UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04681
Name of Registrant:
Vanguard Bond Index Funds
Address of Registrant:
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2014 – December 31, 2014
Item 1: Reports to Shareholders
Annual Report | December 31, 2014
Vanguard Bond Index Funds
Vanguard Short-Term Bond Index Fund
Vanguard Intermediate-Term Bond Index Fund
Vanguard Long-Term Bond Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Short-Term Bond Index Fund. | 11 |
Intermediate-Term Bond Index Fund. | 32 |
Long-Term Bond Index Fund. | 54 |
About Your Fund’s Expenses. | 76 |
Glossary. | 79 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Bond Index Fund | ||||
Investor Shares | 0.98% | 1.11% | 0.05% | 1.16% |
Admiral™ Shares | 1.08 | 1.21 | 0.05 | 1.26 |
Institutional Shares | 1.11 | 1.24 | 0.05 | 1.29 |
Institutional Plus Shares | 1.13 | 1.26 | 0.05 | 1.31 |
ETF Shares | 1.08 | |||
Market Price | 1.38 | |||
Net Asset Value | 1.32 | |||
Barclays U.S. 1–5 Year Government/Credit Float | ||||
Adjusted Index | 1.43 | |||
1–5 Year Investment-Grade Debt Funds | ||||
Average | 1.01 | |||
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Bond Index Fund | ||||
Investor Shares | 2.39% | 2.91% | 3.94% | 6.85% |
Admiral Shares | 2.49 | 3.02 | 3.94 | 6.96 |
Institutional Shares | 2.52 | 3.05 | 3.94 | 6.99 |
Institutional Plus Shares | 2.54 | 3.07 | 3.94 | 7.01 |
ETF Shares | 2.49 | |||
Market Price | 7.24 | |||
Net Asset Value | 7.00 | |||
Barclays U.S. 5–10 Year Government/Credit Float | 6.91 | |||
Adjusted Index | ||||
Core Bond Funds Average | 5.28 |
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
1
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Bond Index Fund | ||||
Investor Shares | 3.60% | 4.79% | 14.93% | 19.72% |
Institutional Shares | 3.73 | 4.94 | 14.93 | 19.87 |
Institutional Plus Shares | 3.75 | 4.96 | 14.93 | 19.89 |
ETF Shares | 3.70 | |||
Market Price | 20.15 | |||
Net Asset Value | 19.89 | |||
Barclays U.S. Long Government/Credit Float | ||||
Adjusted Index | 19.31 | |||
Corporate A-Rated Debt Funds Average | 7.54 | |||
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2 |
Your Fund’s Performance at a Glance
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Bond Index Fund | ||||
Investor Shares | $10.49 | $10.48 | $0.116 | $0.015 |
Admiral Shares | 10.49 | 10.48 | 0.126 | 0.015 |
Institutional Shares | 10.49 | 10.48 | 0.130 | 0.015 |
Institutional Plus Shares | 10.49 | 10.48 | 0.132 | 0.015 |
ETF Shares | 79.89 | 79.87 | 0.959 | 0.114 |
Vanguard Intermediate-Term Bond Index Fund | ||||
Investor Shares | $11.09 | $11.46 | $0.316 | $0.067 |
Admiral Shares | 11.09 | 11.46 | 0.327 | 0.067 |
Institutional Shares | 11.09 | 11.46 | 0.331 | 0.067 |
Institutional Plus Shares | 11.09 | 11.46 | 0.333 | 0.067 |
ETF Shares | 81.65 | 84.41 | 2.403 | 0.494 |
Vanguard Long-Term Bond Index Fund | ||||
Investor Shares | $12.41 | $14.26 | $0.556 | $0.003 |
Institutional Shares | 12.41 | 14.26 | 0.573 | 0.003 |
Institutional Plus Shares | 12.41 | 14.26 | 0.576 | 0.003 |
ETF Shares | 81.45 | 93.73 | 3.639 | 0.020 |
3
Chairman’s Letter
Dear Shareholder,
Many investors expected yields to continue climbing in 2014 as the Federal Reserve wound down its unprecedented bond-buying program, which had been designed to speed the economy’s recovery. But markets often do the unexpected, and intermediate- and long-term yields drifted lower over the 12 months ended December 31, 2014. Prospects for global growth grew more clouded, geopolitical tensions simmered, and any acceleration in inflation appeared more distant.
Because bond yields and prices move in opposite directions, the environment was positive overall for the bond market, with a strong recovery playing out among longer-dated securities. Vanguard Long-Term Bond Index Fund returned 19.72% for the 12 months, with roughly three-quarters of that coming from an appreciation in bond prices. (All returns and yields cited in this letter are for the funds’ Investor Shares.) Price appreciation was less pronounced for Vanguard Intermediate-Term Bond Index Fund and Vanguard Short-Term Bond Index Fund, which returned 6.85% and 1.16%, respectively.
Although the returns of the Short- and Intermediate-Term Funds were roughly in line with those of their benchmarks, the Long-Term Fund ran ahead of its benchmark, owing largely to temporary differences in security pricing. All three funds outpaced the average returns of their peer groups.
4
The 30-day SEC yield for the Short-Term Fund climbed to 0.98%, from 0.68% a year earlier. By contrast, that yield fell to 2.39% from 2.73% for the Intermediate-Term Fund and to 3.60% from 4.54% for the Long-Term Fund.
Please note that the conversion of the funds’ Signal Shares to Admiral Shares was completed in October 2014 as part of a yearlong plan to streamline Vanguard’s share-class offerings.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
Investors seemed to be reassured by the Fed’s stance that it will be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant additional stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
5
Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
In a reversal from the previous year, bond prices rose during 2014
The bond market was rattled in 2013 when the Fed indicated its intention to cut back and eventually end its stimulative bond-buying program. The gradual pace of tapering in 2014 helped calm bond investors’ nerves, however, as did the Fed’s repeated assurances that short-term interest rates were likely to remain low even after the program ended.
The economy showed enough strength for the Fed to end the program in October. Gross domestic product continued to gain traction after a disappointing first quarter, the labor market improved, and inflation remained tame with help in the second half of the year from a slide in oil prices.
This environment of moderate economic growth, low inflation, and continued easy monetary policy helped revive investor appetite for bonds. Other factors included the turmoil in the Middle East and Eastern Europe and greater interest in U.S. bonds from foreign investors given the strong dollar and the bonds’ relatively high yields.
With this favorable backdrop, the broad U.S. taxable bond market returned 5.97% for the period. Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply. International
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
Peer | ||||||
Investor | Admiral | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Plus Shares | Shares | Average | |
Short-Term Bond Index Fund | 0.20% | 0.10% | 0.07% | 0.05% | 0.10% | 0.81% |
Intermediate-Term Bond Index Fund | 0.20 | 0.10 | 0.07 | 0.05 | 0.10 | 0.83 |
Long-Term Bond Index Fund | 0.20 | — | 0.07 | 0.05 | 0.10 | 0.93 |
The fund expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the funds’ expense ratios were: for the Short-Term Bond Index Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.20% for Investor Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2013.
Peer groups: For the Short-Term Bond Index Fund, 1–5 Year Investment-Grade Debt Funds; for the Intermediate-Term Bond Index Fund, Core
Bond Funds; for the Long-Term Bond Index Fund, Corporate A-Rated Debt Funds.
6
bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
As for money market funds and savings accounts, their returns remained minuscule, as the Fed kept its target for short-term interest rates between 0% and 0.25%.
Longer-term bonds staged a strong rebound
Over the 12 months, the Treasury yield curve flattened. Yields of short-term Treasuries edged higher on the prospect of a rise in the federal funds target rate down the road, while those of longer-dated Treasuries fell. The 3-year Treasury yield, for example, rose 34 basis points to 1.10%, while the 10-year Treasury yield fell 78 basis points to 2.19% and the 30-year Treasury yield fell 114 basis points to 2.76%. (A basis point is one-hundredth of a percentage point.)
Treasuries in particular benefited as investors looked for a safe haven for their assets. These securities, whose weightings in the funds ranged from roughly 30% to
Total Returns | |
Ten Years Ended December 31, 2014 | |
Average | |
Annual Return | |
Short-Term Bond Index Fund Investor Shares | 3.22% |
Spliced Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index | 3.37 |
1–5 Year Investment-Grade Debt Funds Average | 2.56 |
For a benchmark description, see the Glossary. | |
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Intermediate-Term Bond Index Fund Investor Shares | 5.45% |
Spliced Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index | 5.50 |
Spliced Intermediate Investment-Grade Debt Funds Average | 4.12 |
For a benchmark description, see the Glossary. | |
Spliced Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Long-Term Bond Index Fund Investor Shares | 7.31% |
Spliced Barclays U.S. Long Government/Credit Float Adjusted Index | 7.36 |
Corporate A-Rated Debt Funds Average | 4.46 |
For a benchmark description, see the Glossary. | |
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
7
60%, returned just over 5% for the year. Although short-term Treasuries made modest gains, price appreciation drove their long-term counterparts up by more than 25%. Government agency bonds, given their slightly higher risk profile, produced a return of close to 4%.
Corporate bonds, another heavyweight segment for all three funds, returned more than 7% for the 12 months, even though the spread between their yields and those of comparable Treasuries widened in the second half of the year. Here, too, long-term bonds were a large contributor to overall performance, returning close to 16%.
Within corporate bonds, utilities—generally considered a defensive sector—produced a double-digit return that put them well ahead of bonds issued by industrial companies and financial institutions. The differences in performance by credit quality were more muted, although lower-rated investment-grade corporate bonds tended to fare a little better than their higher-rated counterparts.
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below long-run historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average after-inflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM)
regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual invest-
ment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived
from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014.
Results from the model may vary with each use and over time. For more information, please see page 9.
8
The funds’ low cost was a constant during the market’s ups and downs
Costs are a key factor in determining how much of a fund’s return investors actually get to keep. Over the decade ended December 31, 2014, the average annual return was 3.22% for the Short-Term Fund, 5.45% for the Intermediate-Term Fund, and 7.31% for the Long-Term Fund. The low expense ratios of the funds have helped all three come in 15 basis points or less behind the returns of their expense-free benchmarks. Each of the three funds also outpaced the average return for its peers. With return prospects for bonds looking more muted than in recent years (see the box on page 8), the funds’ low expense ratios will remain key to helping you keep more of what your fund produces.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment
results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios
unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
9
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• Goals. Create clear, appropriate
investment goals.
• Balance. Develop a suitable asset
allocation using broadly diversified funds.
• Cost. Minimize cost.
• Discipline. Maintain perspective and
long-term discipline.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2015
10
Short-Term Bond Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | VBISX | VBIRX | VBITX | VBIPX | BSV |
Expense Ratio1 | 0.20% | 0.10% | 0.07% | 0.05% | 0.10% |
30-Day SEC Yield | 0.98% | 1.08% | 1.11% | 1.13% | 1.08% |
Financial Attributes | |||
Barclays | |||
1–5 Year | |||
Gov/ | Barclays | ||
Credit | Aggregate | ||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 2,049 | 2,886 | 9,054 |
Yield to Maturity | |||
(before expenses) | 1.2% | 1.2% | 2.2% |
Average Coupon | 2.0% | 2.3% | 3.2% |
Average Duration | 2.7 years | 2.7 years | 5.7 years |
Average Effective | |||
Maturity | 2.7 years | 2.8 years | 7.7 years |
Short-Term | |||
Reserves | 0.6% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 10.5% |
Foreign | 7.9 |
Industrial | 12.5 |
Treasury/Agency | 67.6 |
Utilities | 1.2 |
Other | 0.3 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | ||
Barclays | ||
1–5 Year | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.98 | 0.78 |
Beta | 0.95 | 0.34 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 67.4% |
Aaa | 5.4 |
Aa | 4.2 |
A | 13.3 |
Baa | 9.7 |
Credit-quality ratings are obtained from Barclays and are generally from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 2.1% |
1 - 3 Years | 60.7 |
3 - 5 Years | 37.2 |
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares.
11
Short-Term Bond Index Fund
Investment Focus
12
Short-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Short-Term Bond Index Fund Investor | |||||
Shares | 1.16% | 2.00% | 3.22% | $13,725 | |
Spliced Barclays U.S. 1–5 Year | |||||
•••••••• | Government/Credit Float Adjusted | ||||
Index | 1.43 | 2.23 | 3.37 | 13,923 | |
– – – – | 1–5 Year Investment-Grade | ||||
Debt Funds Average | 1.01 | 2.38 | 2.56 | 12,876 | |
Spliced Barclays U.S. Aggregate Float | |||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 | |
For a benchmark description, see the Glossary. | |||||
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Short-Term Bond Index Fund Admiral Shares | 1.26% | 2.11% | 3.31% | $13,851 |
Spliced Barclays U.S. 1–5 Year | ||||
Government/Credit Float Adjusted Index | 1.43 | 2.23 | 3.37 | 13,923 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 |
See Financial Highlights for dividend and capital gains information.
13
Short-Term Bond Index Fund
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (9/27/2011) | Investment | |
Short-Term Bond Index Fund Institutional | |||
Shares | 1.29% | 1.23% | $5,203,932 |
Barclays U.S. 1–5 Year Government/Credit | |||
Float Adjusted Index | 1.43 | 1.34 | 5,220,952 |
Barclays U.S. Aggregate Float | |||
Adjusted Index | 5.85 | 2.94 | 5,495,911 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $100,000,000 | |
Year | (9/29/2011) | Investment | |
Short-Term Bond Index Fund Institutional Plus | |||
Shares | 1.31% | 1.26% | $104,146,721 |
Barclays U.S. 1–5 Year Government/Credit | |||
Float Adjusted Index | 1.43 | 1.34 | 104,411,225 |
Barclays U.S. Aggregate Float Adjusted Index | |||
5.85 | 2.86 | 109,623,027 | |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $10,000 | |
Year | Years | (4/3/2007) | Investment | |
Short-Term Bond Index Fund | ||||
ETF Shares Net Asset Value | 1.32% | 2.10% | 3.36% | $12,917 |
Spliced Barclays U.S. 1–5 Year | ||||
Government/Credit Float Adjusted Index | 1.43 | 2.23 | 3.42 | 12,973 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.03 | 14,629 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: April 3, 2007, Through December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (4/3/2007) | |
Short-Term Bond Index Fund ETF Shares Market | |||
Price | 1.38% | 10.84% | 29.26% |
Short-Term Bond Index Fund ETF Shares Net Asset | |||
Value | 1.32 | 10.97 | 29.17 |
Spliced Barclays U.S. 1–5 Year Government/Credit | |||
Float Adjusted Index | 1.43 | 11.64 | 29.73 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
14
Short-Term Bond Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014 | ||||
Spliced | ||||
Barclays | ||||
1–5 Year | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 3.48% | -2.17% | 1.31% | 1.44% |
2006 | 4.39 | -0.30 | 4.09 | 4.22 |
2007 | 4.79 | 2.43 | 7.22 | 7.27 |
2008 | 3.95 | 1.48 | 5.43 | 5.12 |
2009 | 2.91 | 1.37 | 4.28 | 4.62 |
2010 | 2.22 | 1.70 | 3.92 | 4.08 |
2011 | 1.85 | 1.11 | 2.96 | 3.13 |
2012 | 1.46 | 0.49 | 1.95 | 2.24 |
2013 | 1.10 | -1.03 | 0.07 | 0.29 |
2014 | 1.11 | 0.05 | 1.16 | 1.43 |
For a benchmark description, see the Glossary. |
15
Short-Term Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 1.500% | 11/30/19 | 746,865 | 741,846 | 1.9% |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 539,225 | 539,139 | 1.4% |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 542,814 | 538,742 | 1.4% |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 478,326 | 473,619 | 1.2% |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 461,569 | 461,855 | 1.2% |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 450,000 | 449,226 | 1.2% |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 448,140 | 447,020 | 1.2% |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 440,900 | 440,971 | 1.1% |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 439,100 | 434,230 | 1.1% |
United States Treasury Note/Bond | 2.125% | 12/31/15 | 419,190 | 426,723 | 1.1% |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 406,175 | 406,683 | 1.1% |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 402,200 | 402,264 | 1.0% |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 393,870 | 394,177 | 1.0% |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 383,245 | 382,766 | 1.0% |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 368,231 | 370,186 | 1.0% |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 365,305 | 367,932 | 1.0% |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 357,060 | 357,171 | 0.9% |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 353,085 | 352,866 | 0.9% |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 349,855 | 351,604 | 0.9% |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 351,019 | 351,402 | 0.9% |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 347,190 | 345,239 | 0.9% |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 325,568 | 340,573 | 0.9% |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 333,835 | 333,000 | 0.9% |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 329,325 | 328,604 | 0.9% |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 326,355 | 327,119 | 0.8% |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 314,520 | 310,884 | 0.8% |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 309,605 | 309,992 | 0.8% |
16
Short-Term Bond Index Fund
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 307,450 | 308,028 | 0.8% |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 305,194 | 306,146 | 0.8% |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 304,565 | 303,329 | 0.8% |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 298,780 | 300,134 | 0.8% |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 295,640 | 295,732 | 0.8% |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 291,061 | 292,106 | 0.8% |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 291,475 | 291,976 | 0.8% |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 273,915 | 291,333 | 0.8% |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 288,500 | 288,321 | 0.7% |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 280,142 | 286,972 | 0.7% |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 280,143 | 282,112 | 0.7% |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 278,390 | 279,520 | 0.7% |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 274,315 | 273,201 | 0.7% |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 271,875 | 271,407 | 0.7% |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 267,630 | 267,547 | 0.7% |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 263,815 | 263,113 | 0.7% |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 262,630 | 261,931 | 0.7% |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 259,810 | 260,948 | 0.7% |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 263,060 | 260,224 | 0.7% |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 246,495 | 243,066 | 0.6% |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 243,867 | 241,467 | 0.6% |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 235,350 | 239,506 | 0.6% |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 231,975 | 236,144 | 0.6% |
United States Treasury | |||||
Note/Bond | 0.250%–9.125% | 5/31/15–10/31/19 | 6,166,051 | 6,219,511 | 16.1% |
23,549,607 | 61.1% | ||||
Agency Bonds and Notes | |||||
1 Federal Home Loan Banks | 0.375%–5.625% | 2/19/16–12/13/19 | 471,645 | 485,298 | 1.3% |
2 Federal Home Loan | |||||
Mortgage Corp. | 0.500%–5.500% | 4/18/16–10/2/19 | 771,870 | 784,077 | 2.0% |
2 Federal National | |||||
Mortgage Assn. | 0.000%–5.250% | 3/15/16–11/26/19 | 969,200 | 974,151 | 2.5% |
Agency Bonds and Notes—Other † | 135,969 | 0.4% | |||
2,379,495 | 6.2% | ||||
Total U.S. Government and Agency Obligations (Cost $25,921,055) | 25,929,102 | 67.3% | |||
Corporate Bonds | |||||
Finance | |||||
3 Banking † | 3,159,165 | 8.2% | |||
Brokerage † | 78,815 | 0.2% | |||
3 Finance Companies † | 268,597 | 0.7% | |||
Insurance † | 361,023 | 1.0% | |||
Other Finance † | 7,811 | 0.0% | |||
Real Estate Investment Trusts † | 164,134 | 0.4% | |||
4,039,545 | 10.5% | ||||
Industrial | |||||
Basic Industry † | 345,570 | 0.9% | |||
Capital Goods † | 434,284 | 1.1% | |||
Communication † | 686,132 | 1.8% | |||
3 Consumer Cyclical † | 608,721 | 1.6% | |||
3 Consumer Noncyclical † | 1,195,205 | 3.1% |
17
Short-Term Bond Index Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
3 | Energy † | 811,440 | 2.1% | |||
Other Industrial † | 3,567 | 0.0% | ||||
3 | Technology † | 590,310 | 1.5% | |||
Transportation † | 120,119 | 0.3% | ||||
4,795,348 | 12.4% | |||||
Utilities | ||||||
Electric † | 436,970 | 1.1% | ||||
Natural Gas † | 39,368 | 0.1% | ||||
Other Utility † | 223 | 0.0% | ||||
476,561 | 1.2% | |||||
Total Corporate Bonds (Cost $9,273,694) | 9,311,454 | 24.1% | ||||
Sovereign Bonds (U.S. Dollar-Denominated) | ||||||
European Investment | ||||||
Bank | 0.500%–5.125% | 9/1/15–6/17/19 | 484,850 | 491,116 | 1.3% | |
FMS Wertmanagement | ||||||
AoeR | 0.625%–1.625% | 4/18/16–11/20/18 | 60,425 | 60,289 | 0.1% | |
4 | KFW | 0.500%–5.125% | 10/26/15–10/15/19 | 373,720 | 380,413 | 1.0% |
Sovereign Bonds | ||||||
(U.S. Dollar-Denominated)—Other † | 2,073,767 | 5.4% | ||||
Total Sovereign Bonds (Cost $2,996,874) | 3,005,585 | 7.8% | ||||
Taxable Municipal Bonds (Cost $37,939) † | 38,409 | 0.1% | ||||
Shares | ||||||
Temporary Cash Investment | ||||||
Money Market Fund | ||||||
5 | Vanguard Market Liquidity Fund | |||||
(Cost $230,291) | 0.126% | 230,290,647 | 230,291 | 0.6% | ||
Total Investments (Cost $38,459,853) | 38,514,841 | 99.9% | ||||
Other Assets and Liabilities | ||||||
Other Assets | 887,792 | 2.3% | ||||
Liabilities | (848,131) | (2.2%) | ||||
39,661 | 0.1% | |||||
Net Assets | 38,554,502 | 100.0% |
18
Short-Term Bond Index Fund
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 38,490,411 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 9,103 |
Unrealized Appreciation (Depreciation) | 54,988 |
Net Assets | 38,554,502 |
Investor Shares—Net Assets | |
Applicable to 254,382,244 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,666,939 |
Net Asset Value Per Share—Investor Shares | $10.48 |
Admiral Shares—Net Assets | |
Applicable to 1,260,223,093 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 13,212,168 |
Net Asset Value Per Share—Admiral Shares | $10.48 |
Institutional Shares—Net Assets | |
Applicable to 429,687,368 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,504,846 |
Net Asset Value Per Share—Institutional Shares | $10.48 |
Institutional Plus Shares—Net Assets | |
Applicable to 239,918,692 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,515,306 |
Net Asset Value Per Share—Institutional Plus Shares | $10.48 |
ETF Shares—Net Assets | |
Applicable to 196,012,541 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 15,655,243 |
Net Asset Value Per Share—ETF Shares | $79.87 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $74,034,000, representing 0.2% of net assets.
4 Guaranteed by the Federal Republic of Germany.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Short-Term Bond Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 473,707 |
Total Income | 473,707 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 850 |
Management and Administrative—Investor Shares | 4,923 |
Management and Administrative—Admiral Shares | 6,244 |
Management and Administrative—Signal Shares | 3,135 |
Management and Administrative—Institutional Shares | 1,826 |
Management and Administrative—Institutional Plus Shares | 520 |
Management and Administrative—ETF Shares | 10,331 |
Marketing and Distribution—Investor Shares | 712 |
Marketing and Distribution—Admiral Shares | 1,166 |
Marketing and Distribution—Signal Shares | 1,443 |
Marketing and Distribution—Institutional Shares | 904 |
Marketing and Distribution—Institutional Plus Shares | 486 |
Marketing and Distribution—ETF Shares | 3,428 |
Custodian Fees | 199 |
Auditing Fees | 46 |
Shareholders’ Reports—Investor Shares | 83 |
Shareholders’ Reports—Admiral Shares | 76 |
Shareholders’ Reports—Signal Shares | 123 |
Shareholders’ Reports—Institutional Shares | 13 |
Shareholders’ Reports—Institutional Plus Shares | 17 |
Shareholders’ Reports—ETF Shares | 386 |
Trustees’ Fees and Expenses | 27 |
Total Expenses | 36,938 |
Net Investment Income | 436,769 |
Realized Net Gain (Loss) on Investment Securities Sold | 73,646 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (42,803) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 467,612 |
1 Interest income from an affiliated company of the fund was $186,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Bond Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 436,769 | 362,370 |
Realized Net Gain (Loss) | 73,646 | 102,602 |
Change in Unrealized Appreciation (Depreciation) | (42,803) | (407,270) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 467,612 | 57,702 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (31,983) | (33,136) |
Admiral Shares | (93,269) | (54,985) |
Signal Shares | (58,165) | (76,531) |
Institutional Shares | (50,579) | (33,150) |
Institutional Plus Shares | (27,303) | (18,853) |
ETF Shares | (175,470) | (145,715) |
Realized Capital Gain1 | ||
Investor Shares | (3,865) | (8,859) |
Admiral Shares | (17,249) | (14,411) |
Signal Shares | (1,282) | (19,783) |
Institutional Shares | (6,217) | (8,767) |
Institutional Plus Shares | (3,512) | (5,085) |
ETF Shares | (21,832) | (39,575) |
Total Distributions | (490,726) | (458,850) |
Capital Share Transactions | ||
Investor Shares | (335,640) | (142,927) |
Admiral Shares | 8,220,185 | 696,553 |
Signal Shares | (7,071,916) | 1,545,446 |
Institutional Shares | 1,228,775 | 667,150 |
Institutional Plus Shares | 649,762 | 782,482 |
ETF Shares | 1,738,776 | 4,795,948 |
Net Increase (Decrease) from Capital Share Transactions | 4,429,942 | 8,344,652 |
Total Increase (Decrease) | 4,406,828 | 7,943,504 |
Net Assets | ||
Beginning of Period | 34,147,674 | 26,204,170 |
End of Period | 38,554,502 | 34,147,674 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $7,265,000 and $2,695,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
21
Short-Term Bond Index Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.49 | $10.63 | $10.61 | $10.55 | $10.42 |
Investment Operations | |||||
Net Investment Income | .116 | .116 | .153 | .193 | .229 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .005 | (.109) | .052 | .117 | .177 |
Total from Investment Operations | .121 | .007 | .205 | .310 | .406 |
Distributions | |||||
Dividends from Net Investment Income | (.116) | (.116) | (.153) | (.193) | (. 229) |
Distributions from Realized Capital Gains | (. 015) | (. 031) | (. 032) | (. 057) | (.047) |
Total Distributions | (.131) | (.147) | (.185) | (. 250) | (. 276) |
Net Asset Value, End of Period | $10.48 | $10.49 | $10.63 | $10.61 | $10.55 |
Total Return1 | 1.16% | 0.07% | 1.95% | 2.96% | 3.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,667 | $3,003 | $3,185 | $3,802 | $4,226 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.10% | 1.09% | 1.44% | 1.81% | 2.15% |
Portfolio Turnover Rate2 | 45% | 50% | 51% | 67% | 58% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Bond Index Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.49 | $10.63 | $10.61 | $10.55 | $10.42 |
Investment Operations | |||||
Net Investment Income | .126 | .127 | .164 | .205 | .240 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .005 | (.109) | .052 | .117 | .177 |
Total from Investment Operations | .131 | .018 | .216 | .322 | .417 |
Distributions | |||||
Dividends from Net Investment Income | (.126) | (.127) | (.164) | (. 205) | (. 240) |
Distributions from Realized Capital Gains | (. 015) | (. 031) | (. 032) | (. 057) | (.047) |
Total Distributions | (.141) | (.158) | (.196) | (. 262) | (. 287) |
Net Asset Value, End of Period | $10.48 | $10.49 | $10.63 | $10.61 | $10.55 |
Total Return1 | 1.26% | 0.17% | 2.05% | 3.08% | 4.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,212 | $5,035 | $4,401 | $4,094 | $3,766 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.20% | 1.19% | 1.54% | 1.92% | 2.26% |
Portfolio Turnover Rate2 | 45% | 50% | 51% | 67% | 58% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Bond Index Fund
Financial Highlights
Signal Shares | |||||
Jan. 1, | |||||
2014, to | |||||
For a Share Outstanding | Oct. 24, | Year Ended December 31, | |||
Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.49 | $10.63 | $10.61 | $10.55 | $10.42 |
Investment Operations | |||||
Net Investment Income | .103 | .127 | .164 | .205 | .240 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .062 | (.109) | .052 | .117 | .177 |
Total from Investment Operations | .165 | .018 | .216 | .322 | .417 |
Distributions | |||||
Dividends from Net Investment Income | (.103) | (.127) | (.164) | (.205) | (.240) |
Distributions from Realized Capital Gains | (.002) | (.031) | (.032) | (.057) | (.047) |
Total Distributions | (.105) | (.158) | (.196) | (.262) | (.287) |
Net Asset Value, End of Period | $10.551 | $10.49 | $10.63 | $10.61 | $10.55 |
Total Return | 1.57% | 0.17% | 2.05% | 3.08% | 4.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $— | $7,035 | $5,570 | $6,571 | $6,987 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.20%2 | 1.19% | 1.54% | 1.92% | 2.26% |
Portfolio Turnover Rate3 | 45% | 50% | 51% | 67% | 58% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Bond Index Fund
Financial Highlights
Institutional Shares | ||||
Sept. 27, | ||||
20111 to | ||||
Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.49 | $10.63 | $10.61 | $10.66 |
Investment Operations | ||||
Net Investment Income | .130 | .130 | .167 | .050 |
Net Realized and Unrealized Gain (Loss) on Investments | .005 | (.109) | .052 | (.001) |
Total from Investment Operations | .135 | .021 | . 219 | .049 |
Distributions | ||||
Dividends from Net Investment Income | (.130) | (.130) | (.167) | (.050) |
Distributions from Realized Capital Gains | (. 015) | (. 031) | (. 032) | (. 049) |
Total Distributions | (.145) | (.161) | (.199) | (. 099) |
Net Asset Value, End of Period | $10.48 | $10.49 | $10.63 | $10.61 |
Total Return | 1.29% | 0.20% | 2.08% | 0.47% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $4,505 | $3,282 | $2,652 | $843 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07%2 |
Ratio of Net Investment Income to Average Net Assets | 1.23% | 1.22% | 1.57% | 1.96%2 |
Portfolio Turnover Rate 3 | 45% | 50% | 51% | 67% |
1 Inception. | ||||
2 Annualized. | ||||
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Bond Index Fund
Financial Highlights
Institutional Plus Shares | ||||
Sept. 29, | ||||
20111 to | ||||
Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.49 | $10.63 | $10.61 | $10.66 |
Investment Operations | ||||
Net Investment Income | .132 | .132 | .169 | .051 |
Net Realized and Unrealized Gain (Loss) on Investments | .005 | (.109) | .052 | (.001) |
Total from Investment Operations | .137 | .023 | . 221 | .050 |
Distributions | ||||
Dividends from Net Investment Income | (.132) | (.132) | (.169) | (. 051) |
Distributions from Realized Capital Gains | (. 015) | (. 031) | (. 032) | (. 049) |
Total Distributions | (.147) | (.163) | (. 201) | (.100) |
Net Asset Value, End of Period | $10.48 | $10.49 | $10.63 | $10.61 |
Total Return | 1.31% | 0.22% | 2.10% | 0.47% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $2,515 | $1,868 | $1,103 | $711 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05%2 |
Ratio of Net Investment Income to Average Net Assets | 1.25% | 1.24% | 1.59% | 1.98%2 |
Portfolio Turnover Rate 3 | 45% | 50% | 51% | 67% |
1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||
See accompanying Notes, which are an integral part of the Financial Statements.
26
Short-Term Bond Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $79.89 | $80.94 | $80.80 | $80.35 | $79.35 |
Investment Operations | |||||
Net Investment Income | . 959 | . 950 | 1.239 | 1.538 | 1.796 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .094 | (. 813) | .384 | .885 | 1.359 |
Total from Investment Operations | 1.053 | .137 | 1.623 | 2.423 | 3.155 |
Distributions | |||||
Dividends from Net Investment Income | (.959) | (.950) | (1.239) | (1.538) | (1.796) |
Distributions from Realized Capital Gains | (.114) | (.237) | (. 244) | (. 435) | (. 359) |
Total Distributions | (1.073) | (1.187) | (1.483) | (1.973) | (2.155) |
Net Asset Value, End of Period | $79.87 | $79.89 | $80.94 | $80.80 | $80.35 |
Total Return | 1.32% | 0.17% | 2.02% | 3.04% | 4.00% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $15,655 | $13,926 | $9,292 | $7,482 | $5,640 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.20% | 1.19% | 1.54% | 1.92% | 2.26% |
Portfolio Turnover Rate1 | 45% | 50% | 51% | 67% | 58% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
27
Short-Term Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
28
Short-Term Bond Index Fund
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $3,631,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.45% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 25,929,102 | — |
Corporate Bonds | — | 9,311,454 | — |
Sovereign Bonds | — | 3,005,585 | — |
Taxable Municipal Bonds | — | 38,409 | — |
Temporary Cash Investments | 230,291 | — | — |
Total | 230,291 | 38,284,550 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
29
Short-Term Bond Index Fund
During the year ended December 31, 2014, the fund realized $7,784,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $9,359,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at December 31, 2014, the fund had $11,405,000 of long-term capital gains available for distribution.
For tax purposes, at December 31, 2014, the fund had available capital losses totaling $2,302,000 that may be carried forward indefinitely to offset future net capital gains.
At December 31, 2014, the cost of investment securities for tax purposes was $38,459,853,000. Net unrealized appreciation of investment securities for tax purposes was $54,988,000, consisting of unrealized gains of $135,171,000 on securities that had risen in value since their purchase and $80,183,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2014, the fund purchased $5,490,216,000 of investment securities and sold $3,163,880,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $16,460,788,000 and $14,161,697,000, respectively. Total purchases and sales include $2,890,496,000 and $989,666,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 734,113 | 69,806 | 1,121,489 | 106,261 | |
Issued in Lieu of Cash Distributions | 30,025 | 2,855 | 36,188 | 3,430 | |
Redeemed | (1,099,778) | (104,595) | (1,300,604) | (123,095) | |
Net Increase (Decrease)—Investor Shares | (335,640) | (31,934) | (142,927) | (13,404) | |
Admiral Shares | |||||
Issued1 | 10,637,578 | 1,009,964 | 2,354,277 | 222,983 | |
Issued in Lieu of Cash Distributions | 94,252 | 8,968 | 62,819 | 5,955 | |
Redeemed | (2,511,645) | (238,842) | (1,720,543) | (162,978) | |
Net Increase (Decrease)—Admiral Shares | 8,220,185 | 780,090 | 696,553 | 65,960 | |
Signal Shares | |||||
Issued | 1,694,734 | 161,120 | 4,707,716 | 446,274 | |
Issued in Lieu of Cash Distributions | 29,645 | 2,818 | 64,714 | 6,134 | |
Redeemed1 | (8,796,295) | (834,734) | (3,226,984) | (305,806) | |
Net Increase (Decrease)—Signal Shares | (7,071,916) | (670,796) | 1,545,446 | 146,602 |
30
Short-Term Bond Index Fund
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares | |||||
Issued | 2,459,196 | 233,839 | 1,997,562 | 189,356 | |
Issued in Lieu of Cash Distributions | 52,456 | 4,989 | 37,753 | 3,580 | |
Redeemed | (1,282,877) | (122,048) | (1,368,165) | (129,577) | |
Net Increase (Decrease) —Institutional Shares | 1,228,775 | 116,780 | 667,150 | 63,359 | |
Institutional Plus Shares | |||||
Issued | 1,249,032 | 118,811 | 1,154,151 | 109,576 | |
Issued in Lieu of Cash Distributions | 27,262 | 2,593 | 21,114 | 2,003 | |
Redeemed | (626,532) | (59,603) | (392,783) | (37,299) | |
Net Increase (Decrease) —Institutional Plus Shares | 649,762 | 61,801 | 782,482 | 74,280 | |
ETF Shares | |||||
Issued | 2,741,125 | 34,200 | 5,005,761 | 62,100 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,002,349) | (12,500) | (209,813) | (2,600) | |
Net Increase (Decrease) —ETF Shares | 1,738,776 | 21,700 | 4,795,948 | 59,500 | |
1 Admiral Shares Issued and Signal Shares Redeemed include $6,737,297,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year. | |||||
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
31
Intermediate-Term Bond Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | VBIIX | VBILX | VBIMX | VBIUX | BIV |
Expense Ratio1 | 0.20% | 0.10% | 0.07% | 0.05% | 0.10% |
30-Day SEC Yield | 2.39% | 2.49% | 2.52% | 2.54% | 2.49% |
Financial Attributes | |||
Barclays | |||
5–10 Year | |||
Gov/ | Barclays | ||
Credit | Aggregate | ||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 1,624 | 1,978 | 9,054 |
Yield to Maturity | |||
(before expenses) | 2.6% | 2.6% | 2.2% |
Average Coupon | 3.2% | 3.2% | 3.2% |
Average Duration | 6.4 years | 6.4 years | 5.7 years |
Average Effective | |||
Maturity | 7.2 years | 7.2 years | 7.7 years |
Short-Term | |||
Reserves | 0.5% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 13.0% |
Foreign | 7.3 |
Industrial | 25.2 |
Treasury/Agency | 52.1 |
Utilities | 2.2 |
Other | 0.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | ||
Barclays | ||
5–10 Year | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.99 | 0.96 |
Beta | 1.02 | 1.50 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 52.2% |
Aaa | 2.6 |
Aa | 4.9 |
A | 17.7 |
Baa | 22.6 |
Credit-quality ratings are obtained from Barclays and are generally from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.3% |
1 - 3 Years | 0.1 |
3 - 5 Years | 0.3 |
5 - 10 Years | 99.3 |
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares.
32
Intermediate-Term Bond Index Fund
Investment Focus
33
Intermediate-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Intermediate-Term Bond Index Fund | |||||
Investor Shares | 6.85% | 5.92% | 5.45% | $16,995 | |
Spliced Barclays U.S. 5–10 Year | |||||
•••••••• | Government/Credit Float Adjusted | ||||
Index | 6.91 | 6.08 | 5.50 | 17,085 | |
– – – – | Spliced Intermediate Investment-Grade | ||||
Debt Funds Average | 5.28 | 4.77 | 4.12 | 14,978 | |
Spliced Barclays U.S. Aggregate Float | |||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 | |
For a benchmark description, see the Glossary. | |||||
Spliced Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Bond Index Fund Admiral | ||||
Shares | 6.96% | 6.03% | 5.54% | $17,152 |
Spliced Barclays U.S. 5–10 Year | ||||
Government/Credit Float Adjusted Index | 6.91 | 6.08 | 5.50 | 17,085 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 |
See Financial Highlights for dividend and capital gains information.
34
Intermediate-Term Bond Index Fund
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (1/26/2006) | Investment | |
Intermediate-Term Bond Index Fund | ||||
Institutional Shares | 6.99% | 6.06% | 6.09% | $8,477,080 |
Spliced Barclays U.S. 5–10 Year | ||||
Government/Credit Float Adjusted Index | 6.91 | 6.08 | 6.00 | 8,415,345 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.03 | 7,750,020 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $100,000,000 | |
Year | (11/30/2011) | Investment | |
Intermediate-Term Bond Index Fund | |||
Institutional Plus Shares | 7.01% | 3.96% | $112,721,474 |
Barclays U.S. 5–10 Year Government/Credit | |||
Float Adjusted Index | 6.91 | 3.94 | 112,663,756 |
Barclays U.S. Aggregate Float Adjusted Index | 5.85 | 2.97 | 109,463,865 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $10,000 | |
Year | Years | (4/3/2007) | Investment | |
Intermediate-Term Bond Index Fund | ||||
ETF Shares Net Asset Value | 7.00% | 6.03% | 6.21% | $15,950 |
Spliced Barclays U.S. 5–10 Year | ||||
Government/Credit Float Adjusted Index | 6.91 | 6.08 | 6.18 | 15,914 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.03 | 14,629 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: April 3, 2007, Through December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (4/3/2007) | |
Intermediate-Term Bond Index Fund ETF Shares | |||
Market Price | 7.24% | 33.91% | 59.79% |
Intermediate-Term Bond Index Fund ETF Shares | |||
Net Asset Value | 7.00 | 33.99 | 59.50 |
Spliced Barclays U.S. 5–10 Year Government/Credit | |||
Float Adjusted Index | 6.91 | 34.31 | 59.14 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
35
Intermediate-Term Bond Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014 | ||||
Spliced | ||||
Barclays | ||||
5–10 Year | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 4.64% | -2.89% | 1.75% | 1.83% |
2006 | 4.97 | -1.06 | 3.91 | 3.81 |
2007 | 5.17 | 2.44 | 7.61 | 7.55 |
2008 | 4.93 | 0.00 | 4.93 | 5.06 |
2009 | 4.69 | 2.10 | 6.79 | 6.50 |
2010 | 4.26 | 5.11 | 9.37 | 9.44 |
2011 | 4.01 | 6.61 | 10.62 | 10.79 |
2012 | 3.23 | 3.68 | 6.91 | 7.22 |
2013 | 2.71 | -6.25 | -3.54 | -3.37 |
2014 | 2.91 | 3.94 | 6.85 | 6.91 |
For a benchmark description, see the Glossary. |
36
Intermediate-Term Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 2.500% | 8/15/23 | 574,725 | 592,777 | 3.4% |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 443,205 | 483,231 | 2.8% |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 440,300 | 444,430 | 2.6% |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 376,408 | 379,054 | 2.2% |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 348,864 | 359,166 | 2.1% |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 318,122 | 334,626 | 2.0% |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 324,030 | 315,220 | 1.8% |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 296,273 | 311,596 | 1.8% |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 257,937 | 282,722 | 1.6% |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 242,013 | 259,520 | 1.5% |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 246,989 | 257,755 | 1.5% |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 229,015 | 252,095 | 1.5% |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 256,875 | 248,968 | 1.5% |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 217,156 | 221,058 | 1.3% |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 216,045 | 218,510 | 1.3% |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 214,675 | 215,278 | 1.3% |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 211,630 | 212,094 | 1.2% |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 194,140 | 195,322 | 1.1% |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 193,430 | 194,639 | 1.1% |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 184,932 | 192,906 | 1.1% |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 177,225 | 182,349 | 1.1% |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 176,628 | 175,496 | 1.0% |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 171,105 | 173,485 | 1.0% |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 174,847 | 169,874 | 1.0% |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 147,600 | 148,199 | 0.9% |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 138,925 | 141,747 | 0.8% |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 137,325 | 138,420 | 0.8% |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 135,105 | 137,660 | 0.8% |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 133,500 | 136,149 | 0.8% |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 123,731 | 125,007 | 0.7% |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 120,223 | 121,538 | 0.7% |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 120,980 | 118,635 | 0.7% |
37
Intermediate-Term Bond Index Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
United States Treasury Note/Bond | 2.000% | 10/31/21 | 106,655 | 106,838 | 0.6% | |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 104,100 | 103,563 | 0.6% | |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 102,030 | 98,938 | 0.6% | |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 90,385 | 90,512 | 0.5% | |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 65,980 | 64,815 | 0.4% | |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 45,970 | 63,130 | 0.4% | |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 58,410 | 58,127 | 0.3% | |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 57,000 | 57,953 | 0.3% | |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 38,500 | 51,247 | 0.3% | |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 42,425 | 42,816 | 0.3% | |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 38,324 | 41,510 | 0.2% | |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 39,905 | 40,366 | 0.2% | |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 25,000 | 34,520 | 0.2% | |
United States Treasury | ||||||
Note/Bond | 8.000%–8.750% | 5/15/20–11/15/21 | 48,600 | 67,091 | 0.4% | |
8,660,952 | 50.3% | |||||
Agency Bonds and Notes | ||||||
1 | Federal Home Loan Banks | 4.125% | 3/13/20 | 39,870 | 44,384 | 0.3% |
2 | Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 59,990 | 60,893 | 0.3% |
2 | Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 38,360 | 37,494 | 0.2% |
2,3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 42,740 | 43,379 | 0.2% |
Agency Bonds and Notes—Other † | 132,227 | 0.8% | ||||
318,377 | 1.8% | |||||
Total U.S. Government and Agency Obligations (Cost $8,771,002) | 8,979,329 | 52.1% | ||||
Corporate Bonds | ||||||
Finance | ||||||
4 | Banking † | 1,281,127 | 7.4% | |||
Brokerage † | 85,092 | 0.5% | ||||
Finance Companies † | 160,934 | 0.9% | ||||
Insurance † | 356,158 | 2.1% | ||||
Other Finance † | 1,342 | 0.0% | ||||
Real Estate Investment Trusts † | 330,273 | 1.9% | ||||
2,214,926 | 12.8% | |||||
Industrial | ||||||
4 | Basic Industry † | 430,301 | 2.5% | |||
4 | Capital Goods † | 343,508 | 2.0% | |||
Communication | ||||||
Verizon Communications Inc. | 5.150% | 9/15/23 | 68,590 | 75,973 | 0.4% | |
4 | Communication—Other † | 569,399 | 3.3% | |||
4 | Consumer Cyclical † | 482,450 | 2.8% | |||
4 | Consumer Noncyclical † | 1,007,446 | 5.8% | |||
4 | Energy † | 770,958 | 4.5% | |||
Other Industrial † | 12,758 | 0.1% | ||||
4 | Technology † | 465,453 | 2.7% | |||
Transportation † | 148,562 | 0.9% | ||||
4,306,808 | 25.0% | |||||
Utilities | ||||||
4 | Electric † | 352,902 | 2.1% | |||
Natural Gas † | 19,206 | 0.1% | ||||
372,108 | 2.2% | |||||
Total Corporate Bonds (Cost $6,731,864) | 6,893,842 | 40.0% | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (Cost $1,203,183) † | 1,220,984 | 7.1% | ||||
Taxable Municipal Bonds (Cost $32,098) † | 32,984 | 0.2% |
38
Intermediate-Term Bond Index Fund
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
5 Vanguard Market Liquidity Fund | ||||
(Cost $89,232) | 0.126% | 89,231,680 | 89,232 | 0.5% |
Total Investments (Cost $16,827,379) | 17,216,371 | 99.9% | ||
Other Assets and Liabilities | ||||
Other Assets | 302,096 | 1.8% | ||
Liabilities | (284,320) | (1.7%) | ||
17,776 | 0.1% | |||
Net Assets | 17,234,147 | 100.0% |
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 16,839,496 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 5,674 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 388,992 |
Futures Contracts | (15) |
Net Assets | 17,234,147 |
Investor Shares—Net Assets | |
Applicable to 135,269,630 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,550,676 |
Net Asset Value Per Share—Investor Shares | $11.46 |
Admiral Shares—Net Assets | |
Applicable to 778,319,541 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,922,346 |
Net Asset Value Per Share—Admiral Shares | $11.46 |
Institutional Shares—Net Assets | |
Applicable to 140,415,395 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,609,661 |
Net Asset Value Per Share—Institutional Shares | $11.46 |
39
Intermediate-Term Bond Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 25,589,026 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 293,343 |
Net Asset Value Per Share—Institutional Plus Shares | $11.46 |
ETF Shares—Net Assets | |
Applicable to 57,554,060 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,858,121 |
Net Asset Value Per Share—ETF Shares | $84.41 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Securities with a value of $306,000 have been segregated as initial margin for open futures contracts.
4 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $78,875,000, representing 0.5% of net assets.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Intermediate-Term Bond Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 453,288 |
Total Income | 453,288 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 354 |
Management and Administrative—Investor Shares | 2,590 |
Management and Administrative—Admiral Shares | 5,547 |
Management and Administrative—Signal Shares | 930 |
Management and Administrative—Institutional Shares | 602 |
Management and Administrative—Institutional Plus Shares | 59 |
Management and Administrative—ETF Shares | 2,762 |
Marketing and Distribution—Investor Shares | 372 |
Marketing and Distribution—Admiral Shares | 976 |
Marketing and Distribution—Signal Shares | 473 |
Marketing and Distribution—Institutional Shares | 303 |
Marketing and Distribution—Institutional Plus Shares | 50 |
Marketing and Distribution—ETF Shares | 891 |
Custodian Fees | 99 |
Auditing Fees | 44 |
Shareholders’ Reports—Investor Shares | 65 |
Shareholders’ Reports—Admiral Shares | 42 |
Shareholders’ Reports—Signal Shares | 9 |
Shareholders’ Reports—Institutional Shares | 6 |
Shareholders’ Reports—Institutional Plus Shares | — |
Shareholders’ Reports—ETF Shares | 107 |
Trustees’ Fees and Expenses | 11 |
Total Expenses | 16,292 |
Net Investment Income | 436,996 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 239,115 |
Futures Contracts | (83) |
Realized Net Gain (Loss) | 239,032 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 335,378 |
Futures Contracts | 415 |
Change in Unrealized Appreciation (Depreciation) | 335,793 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,011,821 |
1 Interest income from an affiliated company of the fund was $98,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
41
Intermediate-Term Bond Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 436,996 | 469,217 |
Realized Net Gain (Loss) | 239,032 | 194,934 |
Change in Unrealized Appreciation (Depreciation) | 335,793 | (1,257,384) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,011,821 | (593,233) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (42,655) | (52,656) |
Admiral Shares | (193,828) | (170,522) |
Signal Shares | (42,860) | (83,246) |
Institutional Shares | (39,538) | (34,671) |
Institutional Plus Shares | (6,794) | (6,903) |
ETF Shares | (111,321) | (121,219) |
Realized Capital Gain1 | ||
Investor Shares | (9,006) | (18,973) |
Admiral Shares | (50,515) | (61,326) |
Signal Shares | (961) | (29,225) |
Institutional Shares | (9,229) | (12,508) |
Institutional Plus Shares | (1,665) | (2,471) |
ETF Shares | (27,483) | (43,476) |
Total Distributions | (535,855) | (637,196) |
Capital Share Transactions | ||
Investor Shares | (58,436) | (420,823) |
Admiral Shares | 3,427,351 | (487,937) |
Signal Shares | (2,591,304) | (386,383) |
Institutional Shares | 398,002 | 108,052 |
Institutional Plus Shares | 69,938 | (5,346) |
ETF Shares | 1,045,558 | (336,666) |
Net Increase (Decrease) from Capital Share Transactions | 2,291,109 | (1,529,103) |
Total Increase (Decrease) | 2,767,075 | (2,759,532) |
Net Assets | ||
Beginning of Period | 14,467,072 | 17,226,604 |
End of Period | 17,234,147 | 14,467,072 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $5,740,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
42
Intermediate-Term Bond Index Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.09 | $11.96 | $11.77 | $11.21 | $10.72 |
Investment Operations | |||||
Net Investment Income | .316 | .329 | .370 | .425 | .448 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .437 | (.745) | .432 | .738 | .547 |
Total from Investment Operations | .753 | (.416) | .802 | 1.163 | .995 |
Distributions | |||||
Dividends from Net Investment Income | (.316) | (.329) | (.370) | (. 425) | (. 448) |
Distributions from Realized Capital Gains | (.067) | (.125) | (. 242) | (.178) | (.057) |
Total Distributions | (.383) | (. 454) | (. 612) | (. 603) | (. 505) |
Net Asset Value, End of Period | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Total Return1 | 6.85% | -3.54% | 6.91% | 10.62% | 9.37% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,551 | $1,558 | $2,120 | $2,129 | $2,378 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.76% | 2.84% | 3.07% | 3.65% | 3.97% |
Portfolio Turnover Rate2 | 60% | 70% | 65% | 61% | 46% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
43
Intermediate-Term Bond Index Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.09 | $11.96 | $11.77 | $11.21 | $10.72 |
Investment Operations | |||||
Net Investment Income | . 327 | .340 | .381 | .437 | .461 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .437 | (.745) | .432 | .738 | .547 |
Total from Investment Operations | .764 | (.405) | .813 | 1.175 | 1.008 |
Distributions | |||||
Dividends from Net Investment Income | (.327) | (. 340) | (. 381) | (.437) | (.461) |
Distributions from Realized Capital Gains | (.067) | (.125) | (. 242) | (.178) | (.057) |
Total Distributions | (. 394) | (. 465) | (. 623) | (. 615) | (. 518) |
Net Asset Value, End of Period | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Total Return1 | 6.96% | -3.45% | 7.02% | 10.74% | 9.49% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $8,922 | $5,320 | $6,252 | $5,320 | $4,623 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.86% | 2.94% | 3.17% | 3.76% | 4.08% |
Portfolio Turnover Rate2 | 60% | 70% | 65% | 61% | 46% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
44
Intermediate-Term Bond Index Fund
Financial Highlights
Signal Shares | |||||
Jan. 1, | |||||
2014, to | |||||
For a Share Outstanding | Oct. 24, | Year Ended December 31, | |||
Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.09 | $11.96 | $11.77 | $11.21 | $10.72 |
Investment Operations | |||||
Net Investment Income | .269 | .340 | .381 | .437 | .461 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .475 | (.745) | .432 | .738 | .547 |
Total from Investment Operations | .744 | (.405) | .813 | 1.175 | 1.008 |
Distributions | |||||
Dividends from Net Investment Income | (.269) | (.340) | (.381) | (.437) | (.461) |
Distributions from Realized Capital Gains | (.005) | (.125) | (.242) | (.178) | (.057) |
Total Distributions | (.274) | (.465) | (.623) | (.615) | (.518) |
Net Asset Value, End of Period | $11.561 | $11.09 | $11.96 | $11.77 | $11.21 |
Total Return | 6.76% | -3.45% | 7.02% | 10.74% | 9.49% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $— | $2,506 | $3,106 | $2,690 | $2,255 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.94%2 | 2.94% | 3.17% | 3.76% | 4.08% |
Portfolio Turnover Rate3 | 60% | 70% | 65% | 61% | 46% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
45
Intermediate-Term Bond Index Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.09 | $11.96 | $11.77 | $11.21 | $10.72 |
Investment Operations | |||||
Net Investment Income | .331 | .344 | .385 | .442 | .465 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .437 | (.745) | .432 | .738 | .547 |
Total from Investment Operations | .768 | (. 401) | . 817 | 1.180 | 1.012 |
Distributions | |||||
Dividends from Net Investment Income | (. 331) | (. 344) | (. 385) | (. 442) | (. 465) |
Distributions from Realized Capital Gains | (.067) | (.125) | (. 242) | (.178) | (.057) |
Total Distributions | (.398) | (. 469) | (. 627) | (. 620) | (. 522) |
Net Asset Value, End of Period | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Total Return | 6.99% | -3.42% | 7.05% | 10.78% | 9.53% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,610 | $1,172 | $1,154 | $689 | $582 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.89% | 2.97% | 3.20% | 3.80% | 4.12% |
Portfolio Turnover Rate1 | 60% | 70% | 65% | 61% | 46% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
46
Intermediate-Term Bond Index Fund
Financial Highlights
Institutional Plus Shares | ||||
Nov. 30, | ||||
20111 to | ||||
Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.09 | $11.96 | $11.77 | $11.73 |
Investment Operations | ||||
Net Investment Income | .333 | .346 | .388 | .072 |
Net Realized and Unrealized Gain (Loss) on Investments | .437 | (.745) | .432 | .178 |
Total from Investment Operations | .770 | (.399) | .820 | . 250 |
Distributions | ||||
Dividends from Net Investment Income | (.333) | (.346) | (.388) | (.072) |
Distributions from Realized Capital Gains | (.067) | (.125) | (. 242) | (.138) |
Total Distributions | (.400) | (.471) | (. 630) | (. 210) |
Net Asset Value, End of Period | $11.46 | $11.09 | $11.96 | $11.77 |
Total Return | 7.01% | -3.40% | 7.07% | 1.84% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $293 | $216 | $239 | $107 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05%2 |
Ratio of Net Investment Income to Average Net Assets | 2.91% | 2.99% | 3.22% | 3.82%2 |
Portfolio Turnover Rate 3 | 60% | 70% | 65% | 61% |
1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||
See accompanying Notes, which are an integral part of the Financial Statements.
47
Intermediate-Term Bond Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $81.65 | $88.07 | $86.63 | $82.56 | $78.85 |
Investment Operations | |||||
Net Investment Income | 2.403 | 2.523 | 2.764 | 3.183 | 3.326 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 3.254 | (5.499) | 3.225 | 5.383 | 4.131 |
Total from Investment Operations | 5.657 | (2.976) | 5.989 | 8.566 | 7.457 |
Distributions | |||||
Dividends from Net Investment Income | (2.403) | (2.523) | (2.764) | (3.183) | (3.326) |
Distributions from Realized Capital Gains | (.494) | (.921) | (1.785) | (1.313) | (. 421) |
Total Distributions | (2.897) | (3.444) | (4.549) | (4.496) | (3.747) |
Net Asset Value, End of Period | $84.41 | $81.65 | $88.07 | $86.63 | $82.56 |
Total Return | 7.00% | -3.44% | 7.02% | 10.62% | 9.55% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,858 | $3,695 | $4,356 | $2,781 | $1,932 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.86% | 2.94% | 3.17% | 3.76% | 4.08% |
Portfolio Turnover Rate1 | 60% | 70% | 65% | 61% | 46% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
48
Intermediate-Term Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended December 31, 2014, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of aggregate settlement values at each quarter-end during the period.
49
Intermediate-Term Bond Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $1,605,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.64% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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.
50
Intermediate-Term Bond Index Fund
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).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 8,979,329 | — |
Corporate Bonds | — | 6,893,842 | — |
Sovereign Bonds | — | 1,220,984 | — |
Taxable Municipal Bonds | — | 32,984 | — |
Temporary Cash Investments | 89,232 | — | — |
Futures Contracts—Liabilities1 | (15) | — | — |
Total | 89,217 | 17,127,139 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
10-Year U.S. Treasury Note | March 2015 | (225) | (28,529) | (15) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the year ended December 31, 2014, the fund realized $122,970,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
51
Intermediate-Term Bond Index Fund
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $16,705,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at December 31, 2014, the fund had short-term and long-term capital gains of $269,000 and $5,390,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At December 31, 2014, the cost of investment securities for tax purposes was $16,827,379,000. Net unrealized appreciation of investment securities for tax purposes was $388,992,000, consisting of unrealized gains of $447,602,000 on securities that had risen in value since their purchase and $58,610,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $3,531,085,000 of investment securities and sold $2,643,202,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $9,376,350,000 and $7,991,691,000, respectively. Total purchases and sales include $1,695,703,000 and $1,605,179,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 324,984 | 28,453 | 358,829 | 30,865 | |
Issued in Lieu of Cash Distributions | 45,894 | 4,015 | 62,696 | 5,450 | |
Redeemed | (429,314) | (37,708) | (842,348) | (73,071) | |
Net Increase (Decrease)—Investor Shares | (58,436) | (5,240) | (420,823) | (36,756) | |
Admiral Shares | |||||
Issued1 | 4,443,857 | 387,794 | 1,125,597 | 96,914 | |
Issued in Lieu of Cash Distributions | 214,579 | 18,757 | 204,301 | 17,779 | |
Redeemed | (1,231,085) | (107,913) | (1,817,835) | (157,761) | |
Net Increase (Decrease) —Admiral Shares | 3,427,351 | 298,638 | (487,937) | (43,068) | |
Signal Shares | |||||
Issued | 410,108 | 36,075 | 855,478 | 73,869 | |
Issued in Lieu of Cash Distributions | 32,684 | 2,872 | 92,355 | 8,038 | |
Redeemed1 | (3,034,096) | (264,880) | (1,334,216) | (115,705) | |
Net Increase (Decrease)—Signal Shares | (2,591,304) | (225,933) | (386,383) | (33,798) | |
Institutional Shares | |||||
Issued | 796,017 | 69,731 | 551,727 | 47,829 | |
Issued in Lieu of Cash Distributions | 47,257 | 4,132 | 44,670 | 3,890 | |
Redeemed | (445,272) | (39,093) | (488,345) | (42,542) | |
Net Increase (Decrease) —Institutional Shares | 398,002 | 34,770 | 108,052 | 9,177 |
52
Intermediate-Term Bond Index Fund
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Plus Shares | |||||
Issued | 98,599 | 8,592 | 42,650 | 3,684 | |
Issued in Lieu of Cash Distributions | 8,034 | 703 | 9,150 | 796 | |
Redeemed | (36,695) | (3,221) | (57,146) | (4,975) | |
Net Increase (Decrease) —Institutional Plus Shares | 69,938 | 6,074 | (5,346) | (495) | |
ETF Shares | |||||
Issued | 2,630,431 | 31,300 | 530,844 | 6,200 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,584,873) | (19,000) | (867,510) | (10,400) | |
Net Increase (Decrease) —ETF Shares | 1,045,558 | 12,300 | (336,666) | (4,200) | |
1 Admiral Shares Issued and Signal Shares Redeemed include $1,995,144,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year. | |||||
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
53
Long-Term Bond Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | ||||
Investor | Institutional | Institutional | ||
Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | VBLTX | VBLLX | VBLIX | BLV |
Expense Ratio1 | 0.20% | 0.07% | 0.05% | 0.10% |
30-Day SEC Yield | 3.60% | 3.73% | 3.75% | 3.70% |
Financial Attributes | |||
Barclays | |||
Long | |||
Gov/ | Barclays | ||
Credit | Aggregate | ||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 1,879 | 2,047 | 9,054 |
Yield to Maturity | |||
(before expenses) | 3.8% | 3.8% | 2.2% |
Average Coupon | 5.1% | 5.1% | 3.2% |
Average Duration | 14.7 years | 14.7 years | 5.7 years |
Average Effective | |||
Maturity | 24.1 years | 23.8 years | 7.7 years |
Short-Term | |||
Reserves | 0.4% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 9.5% |
Foreign | 13.1 |
Industrial | 33.8 |
Treasury/Agency | 36.8 |
Utilities | 6.6 |
Other | 0.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | ||
Barclays | ||
Long | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.99 | 0.89 |
Beta | 1.01 | 2.96 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 36.9% |
Aaa | 1.6 |
Aa | 6.9 |
A | 25.3 |
Baa | 29.3 |
Credit-quality ratings are obtained from Barclays and are generally from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.3% |
3 - 5 Years | 0.1 |
5 - 10 Years | 1.5 |
10 - 20 Years | 22.6 |
20 - 30 Years | 72.4 |
Over 30 Years | 3.1 |
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares.
54
Long-Term Bond Index Fund
Investment Focus
55
Long-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Shares | 19.72% | 9.70% | 7.31% | $20,241 |
•••••••• Spliced Barclays U.S. Long | ||||
Government/Credit Float Adjusted | ||||
Index | 19.31 | 9.81 | 7.36 | 20,353 |
– – – – Corporate A-Rated Debt Funds | ||||
Average | 7.54 | 5.36 | 4.46 | 15,476 |
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 |
For a benchmark description, see the Glossary. | ||||
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (2/2/2006) | Investment | |
Long-Term Bond Index Fund Institutional | ||||
Shares | 19.87% | 9.85% | 7.88% | $9,824,645 |
Spliced Barclays U.S. Long | ||||
Government/Credit Float Adjusted Index | 19.31 | 9.81 | 7.79 | 9,753,435 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.05 | 7,756,481 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
56
Long-Term Bond Index Fund
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
Since | Final Value | ||
One | Inception | of a $100,000,000 | |
Year | (10/6/2011) | Investment | |
Long-Term Bond Index Fund Institutional Plus | |||
Shares | 19.89% | 6.57% | $122,866,681 |
Barclays U.S. Long Government/Credit Float | |||
Adjusted Index | 19.31 | 6.43 | 122,321,975 |
Barclays U.S. Aggregate Float Adjusted Index | 5.85 | 2.95 | 109,878,346 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | |||
One | Five | Inception | of a $10,000 | |
Year | Years | (4/3/2007) | Investment | |
Long-Term Bond Index Fund | ||||
ETF Shares Net Asset Value | 19.89% | 9.79% | 8.40% | $18,674 |
Spliced Barclays U.S. Long | ||||
Government/Credit Float Adjusted Index | 19.31 | 9.81 | 8.37 | 18,638 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.03 | 14,629 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: April 3, 2007, Through December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (4/3/2007) | |
Long-Term Bond Index Fund ETF Shares Market | |||
Price | 20.15% | 60.05% | 87.57% |
Long-Term Bond Index Fund ETF Shares Net Asset | |||
Value | 19.89 | 59.55 | 86.74 |
Spliced Barclays U.S. Long Government/Credit Float | |||
Adjusted Index | 19.31 | 59.67 | 86.38 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
57
Long-Term Bond Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
Spliced | ||||
Barclays | ||||
Long | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 5.15% | 0.17% | 5.32% | 5.34% |
2006 | 5.29 | -2.62 | 2.67 | 2.71 |
2007 | 5.55 | 1.04 | 6.59 | 6.60 |
2008 | 5.81 | 2.83 | 8.64 | 8.44 |
2009 | 5.27 | -3.51 | 1.76 | 1.92 |
2010 | 5.21 | 5.06 | 10.27 | 10.16 |
2011 | 5.51 | 16.55 | 22.06 | 22.49 |
2012 | 4.23 | 4.26 | 8.49 | 8.79 |
2013 | 3.76 | -12.89 | -9.13 | -8.83 |
2014 | 4.79 | 14.93 | 19.72 | 19.31 |
For a benchmark description, see the Glossary. |
Long-Term Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 203,520 | 208,225 | 2.5% |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 150,500 | 177,072 | 2.1% |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 143,640 | 154,278 | 1.8% |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 124,658 | 149,901 | 1.8% |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 124,544 | 146,631 | 1.7% |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 134,725 | 144,998 | 1.7% |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 142,190 | 142,123 | 1.7% |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 141,393 | 141,416 | 1.7% |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 78,535 | 101,727 | 1.2% |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 67,618 | 88,949 | 1.0% |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 59,205 | 82,776 | 1.0% |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 54,085 | 80,883 | 1.0% |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 63,837 | 71,896 | 0.8% |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 50,715 | 70,747 | 0.8% |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 51,998 | 68,092 | 0.8% |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 49,095 | 65,143 | 0.8% |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 52,495 | 64,118 | 0.8% |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 47,746 | 63,667 | 0.8% |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 45,951 | 62,443 | 0.7% |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 55,222 | 59,476 | 0.7% |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 54,900 | 57,671 | 0.7% |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 43,570 | 57,145 | 0.7% |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 37,500 | 53,367 | 0.6% |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 32,565 | 47,657 | 0.6% |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 35,942 | 46,230 | 0.5% |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 34,410 | 45,943 | 0.5% |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 31,656 | 45,733 | 0.5% |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 33,795 | 45,064 | 0.5% |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 36,800 | 44,379 | 0.5% |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 29,405 | 39,453 | 0.5% |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 34,795 | 37,573 | 0.4% |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 30,906 | 35,523 | 0.4% |
59
Long-Term Bond Index Fund
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 25,905 | 35,502 | 0.4% |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 25,350 | 34,104 | 0.4% |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 21,190 | 28,951 | 0.3% |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 26,415 | 27,777 | 0.3% |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 13,363 | 19,744 | 0.2% |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 18,635 | 19,599 | 0.2% |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 13,730 | 18,960 | 0.2% |
United States Treasury | |||||
Note/Bond | 2.250%–6.750% | 11/15/23–5/15/37 | 41,993 | 57,992 | 0.7% |
2,942,928 | 34.5% | ||||
Agency Bonds and Notes | |||||
1 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 16,260 | 24,385 | 0.3% |
1 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 16,042 | 23,413 | 0.3% |
1 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 13,400 | 18,721 | 0.2% |
Agency Bonds and Notes—Other † | 118,543 | 1.4% | |||
185,062 | 2.2% | ||||
Total U.S. Government and Agency Obligations (Cost $2,782,813) | 3,127,990 | 36.7% | |||
Corporate Bonds | |||||
Finance | |||||
Banking | |||||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 18,840 | 23,594 | 0.3% |
2 Banking—Other † | 395,161 | 4.6% | |||
Brokerage † | 13,842 | 0.2% | |||
Finance Companies | |||||
General Electric Capital Corp. | 5.875% | 1/14/38 | 21,775 | 27,494 | 0.3% |
General Electric Capital Corp. | 6.750% | 3/15/32 | 18,180 | 24,761 | 0.3% |
General Electric Capital Corp. | 6.875% | 1/10/39 | 14,175 | 20,008 | 0.3% |
General Electric Capital Corp. | 6.150% | 8/7/37 | 8,230 | 10,698 | 0.1% |
Finance Companies—Other † | 984 | 0.0% | |||
Insurance | |||||
Berkshire Hathaway | |||||
Finance Corp. | 4.300%–5.750% | 1/15/40–5/15/43 | 6,800 | 7,968 | 0.1% |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 3,425 | 3,730 | 0.0% |
Insurance—Other † | 248,778 | 2.9% | |||
2 Real Estate Investment Trusts † | 22,525 | 0.3% | |||
799,543 | 9.4% | ||||
Industrial | |||||
Basic Industry | |||||
Lubrizol Corp. | 6.500% | 10/1/34 | 925 | 1,248 | 0.0% |
Basic Industry—Other † | 243,230 | 2.9% | |||
Capital Goods | |||||
General Electric Co. | 4.125%–4.500% | 10/9/42–3/11/44 | 16,280 | 17,368 | 0.2% |
Capital Goods—Other † | 168,392 | 2.0% | |||
Communication | |||||
Alltel Corp. | 7.875% | 7/1/32 | 500 | 734 | 0.0% |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 1,300 | 1,575 | 0.0% |
AT&T Corp. | 8.000% | 11/15/31 | 1,846 | 2,723 | 0.0% |
AT&T Inc. | 4.300%–6.550% | 9/15/34–6/15/45 | 62,726 | 67,851 | 0.8% |
AT&T Mobility LLC | 7.125% | 12/15/31 | 1,950 | 2,612 | 0.0% |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 2,118 | 2,866 | 0.0% |
BellSouth Corp. | 6.000%–6.875% | 10/15/31–11/15/34 | 2,646 | 3,272 | 0.1% |
BellSouth | |||||
Telecommunications LLC | 0.000%–6.375% | 6/1/28–12/15/95 | 2,620 | 3,104 | 0.0% |
60
Long-Term Bond Index Fund
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Deutsche Telekom | |||||
International Finance BV | 8.750% | 6/15/30 | 12,750 | 18,787 | 0.2% |
GTE Corp. | 6.940% | 4/15/28 | 2,675 | 3,362 | 0.1% |
New Cingular Wireless | |||||
Services Inc. | 8.750% | 3/1/31 | 2,235 | 3,469 | 0.1% |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,847 | 2,362 | 0.0% |
Verizon Communications Inc. | 6.550% | 9/15/43 | 36,499 | 46,622 | 0.6% |
2 Verizon Communications Inc. | 5.012% | 8/21/54 | 19,500 | 20,173 | 0.2% |
2 Verizon | |||||
Communications Inc. | 3.850%–7.750% | 12/1/30–8/21/46 | 78,851 | 90,786 | 1.1% |
Verizon Maryland LLC | 5.125% | 6/15/33 | 3,100 | 3,255 | 0.0% |
Verizon New England Inc. | 7.875% | 11/15/29 | 490 | 642 | 0.0% |
Verizon New York Inc. | 7.375% | 4/1/32 | 1,175 | 1,475 | 0.0% |
2 Communication—Other † | 414,468 | 4.9% | |||
2 Consumer Cyclical † | 270,843 | 3.2% | |||
2 Consumer Noncyclical † | 596,381 | 7.0% | |||
2 Energy † | 542,247 | 6.4% | |||
Other Industrial † | 14,370 | 0.2% | |||
2 Technology † | 140,818 | 1.6% | |||
Transportation | |||||
3 BNSF Funding Trust I | 6.613% | 12/15/55 | 850 | 952 | 0.0% |
Burlington Northern | |||||
Santa Fe LLC | 4.375%–7.950% | 12/15/25–9/1/44 | 28,200 | 32,561 | 0.4% |
Transportation—Other † | 108,034 | 1.2% | |||
2,826,582 | 33.2% | ||||
Utilities | |||||
Electric | |||||
2 Berkshire Hathaway | |||||
Energy Co. | 3.500%–8.480% | 2/1/25–2/1/45 | 19,270 | 23,102 | 0.2% |
MidAmerican Energy Co. | 4.800%–6.750% | 12/30/31–9/15/43 | 5,420 | 7,013 | 0.1% |
Nevada Power Co. | 5.375%–6.750% | 4/1/36–5/15/41 | 4,075 | 5,478 | 0.1% |
PacifiCorp | 4.100%–7.700% | 11/15/31–2/1/42 | 12,593 | 16,218 | 0.2% |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 1,170 | 1,643 | 0.0% |
2 Electric—Other † | 469,531 | 5.5% | |||
Natural Gas † | 26,284 | 0.3% | |||
Other Utility † | 9,009 | 0.1% | |||
558,278 | 6.5% | ||||
Total Corporate Bonds (Cost $3,816,396) | 4,184,403 | 49.1% | |||
Sovereign Bonds (U.S. Dollar-Denominated) | |||||
Pemex Project Funding | |||||
Master Trust | 6.625% | 6/15/35–6/15/38 | 11,195 | 12,907 | 0.2% |
2 Petroleos Mexicanos | 4.250%–6.500% | 1/15/25–1/23/45 | 38,650 | 41,964 | 0.5% |
United Mexican States | 3.600%–8.300% | 1/30/25–10/12/10 | 71,797 | 83,106 | 1.0% |
Sovereign Bonds | |||||
(U.S. Dollar-Denominated)—Other † | 472,000 | 5.5% | |||
Total Sovereign Bonds (Cost $583,272) | 609,977 | 7.2% | |||
Taxable Municipal Bonds | |||||
Illinois GO | 5.100% | 6/1/33 | 23,740 | 23,689 | 0.3% |
Taxable Municipal Bonds—Other † | 476,513 | 5.6% | |||
Total Taxable Municipal Bonds (Cost $425,715) | 500,202 | 5.9% |
61
Long-Term Bond Index Fund
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
4 Vanguard Market Liquidity Fund | ||||
(Cost $32,169) | 0.126% | 32,169,204 | 32,169 | 0.4% |
Total Investments (Cost $7,640,365) | 8,454,741 | 99.3% | ||
Other Assets and Liabilities | ||||
Other Assets | 238,798 | 2.8% | ||
Liabilities | (177,165) | (2.1%) | ||
61,633 | 0.7% | |||
Net Assets | 8,516,374 | 100.0% | ||
At December 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 7,693,646 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Gains | 8,352 | |||
Unrealized Appreciation (Depreciation) | 814,376 | |||
Net Assets | 8,516,374 | |||
Investor Shares—Net Assets | ||||
Applicable to 181,920,098 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,594,286 | |||
Net Asset Value Per Share—Investor Shares | $14.26 | |||
Institutional Shares—Net Assets | ||||
Applicable to 160,070,448 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,282,697 | |||
Net Asset Value Per Share—Institutional Shares | $14.26 | |||
Institutional Plus Shares—Net Assets | ||||
Applicable to 180,282,037 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,570,920 | |||
Net Asset Value Per Share—Institutional Plus Shares | $14.26 |
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Long-Term Bond Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 11,400,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,068,471 |
Net Asset Value Per Share—ETF Shares | $93.73 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 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.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $100,232,000, representing 1.2% of net assets.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
See accompanying Notes, which are an integral part of the Financial Statements.
63
Long-Term Bond Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 296,169 |
Total Income | 296,169 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 157 |
Management and Administrative—Investor Shares | 4,049 |
Management and Administrative—Institutional Shares | 879 |
Management and Administrative—Institutional Plus Shares | 462 |
Management and Administrative—ETF Shares | 490 |
Marketing and Distribution—Investor Shares | 465 |
Marketing and Distribution—Institutional Shares | 441 |
Marketing and Distribution—Institutional Plus Shares | 396 |
Marketing and Distribution—ETF Shares | 151 |
Custodian Fees | 49 |
Auditing Fees | 43 |
Shareholders’ Reports—Investor Shares | 22 |
Shareholders’ Reports—Institutional Shares | 2 |
Shareholders’ Reports—Institutional Plus Shares | — |
Shareholders’ Reports—ETF Shares | 58 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 7,669 |
Net Investment Income | 288,500 |
Realized Net Gain (Loss) on Investment Securities Sold | 75,690 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 855,064 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,219,254 |
1 Interest income from an affiliated company of the fund was $42,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
64
Long-Term Bond Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 288,500 | 246,051 |
Realized Net Gain (Loss) | 75,690 | 14,569 |
Change in Unrealized Appreciation (Depreciation) | 855,064 | (825,885) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,219,254 | (565,265) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (95,034) | (101,049) |
Institutional Shares | (84,528) | (71,742) |
Institutional Plus Shares | (78,633) | (44,188) |
ETF Shares | (30,305) | (29,072) |
Realized Capital Gain1 | ||
Investor Shares | (541) | (4,474) |
Institutional Shares | (500) | (2,680) |
Institutional Plus Shares | (540) | (936) |
ETF Shares | (228) | (1,238) |
Total Distributions | (290,309) | (255,379) |
Capital Share Transactions | ||
Investor Shares | 262,379 | (538,463) |
Institutional Shares | 225,367 | 443,518 |
Institutional Plus Shares | 877,354 | 1,159,289 |
ETF Shares | 487,146 | (217,791) |
Net Increase (Decrease) from Capital Share Transactions | 1,852,246 | 846,553 |
Total Increase (Decrease) | 2,781,191 | 25,909 |
Net Assets | ||
Beginning of Period | 5,735,183 | 5,709,274 |
End of Period | 8,516,374 | 5,735,183 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $811,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
65
Long-Term Bond Index Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.41 | $14.27 | $13.91 | $12.04 | $11.56 |
Investment Operations | |||||
Net Investment Income | . 556 | . 557 | .570 | .587 | .595 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.853 | (1.837) | .591 | 1.991 | .583 |
Total from Investment Operations | 2.409 | (1.280) | 1.161 | 2.578 | 1.178 |
Distributions | |||||
Dividends from Net Investment Income | (.556) | (.557) | (.570) | (.587) | (.595) |
Distributions from Realized Capital Gains | (. 003) | (. 023) | (. 231) | (.121) | (.103) |
Total Distributions | (.559) | (.580) | (. 801) | (.708) | (.698) |
Net Asset Value, End of Period | $14.26 | $12.41 | $14.27 | $13.91 | $12.04 |
Total Return1 | 19.72% | -9.13% | 8.49% | 22.06% | 10.27% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,594 | $2,019 | $2,904 | $2,727 | $2,250 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.10% | 4.21% | 4.00% | 4.62% | 4.87% |
Portfolio Turnover Rate2 | 39% | 50% | 41% | 45% | 54% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
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Long-Term Bond Index Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.41 | $14.27 | $13.91 | $12.04 | $11.56 |
Investment Operations | |||||
Net Investment Income | . 573 | .574 | .589 | .606 | .613 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.853 | (1.837) | .591 | 1.991 | .583 |
Total from Investment Operations | 2.426 | (1.263) | 1.180 | 2.597 | 1.196 |
Distributions | |||||
Dividends from Net Investment Income | (.573) | (. 574) | (. 589) | (. 606) | (. 613) |
Distributions from Realized Capital Gains | (. 003) | (. 023) | (. 231) | (.121) | (.103) |
Total Distributions | (.576) | (.597) | (.820) | (.727) | (.716) |
Net Asset Value, End of Period | $14.26 | $12.41 | $14.27 | $13.91 | $12.04 |
Total Return | 19.87% | -9.01% | 8.63% | 22.24% | 10.44% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,283 | $1,784 | $1,576 | $1,174 | $1,229 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.23% | 4.34% | 4.13% | 4.77% | 5.02% |
Portfolio Turnover Rate1 | 39% | 50% | 41% | 45% | 54% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
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Long-Term Bond Index Fund
Financial Highlights
Institutional Plus Shares | ||||
Oct. 6, | ||||
20111 to | ||||
Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $12.41 | $14.27 | $13.91 | $13.69 |
Investment Operations | ||||
Net Investment Income | . 576 | .577 | .592 | .152 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.853 | (1.837) | .591 | .341 |
Total from Investment Operations | 2.429 | (1.260) | 1.183 | .493 |
Distributions | ||||
Dividends from Net Investment Income | (.576) | (.577) | (. 592) | (.152) |
Distributions from Realized Capital Gains | (. 003) | (. 023) | (. 231) | (.121) |
Total Distributions | (.579) | (. 600) | (. 823) | (.273) |
Net Asset Value, End of Period | $14.26 | $12.41 | $14.27 | $13.91 |
Total Return | 19.89% | -8.99% | 8.65% | 3.64% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $2,571 | $1,444 | $424 | $440 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05%2 |
Ratio of Net Investment Income to Average Net Assets | 4.25% | 4.36% | 4.15% | 4.79%2 |
Portfolio Turnover Rate 3 | 39% | 50% | 41% | 45% |
1 Inception. | ||||
2 Annualized. | ||||
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | ||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
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Long-Term Bond Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $81.45 | $93.73 | $91.40 | $79.07 | $75.91 |
Investment Operations | |||||
Net Investment Income | 3.639 | 3.813 | 3.790 | 3.904 | 3.954 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 12.300 | (12.129) | 3.851 | 13.127 | 3.836 |
Total from Investment Operations | 15.939 | (8.316) | 7.641 | 17.031 | 7.790 |
Distributions | |||||
Dividends from Net Investment Income | (3.639) | (3.813) | (3.790) | (3.904) | (3.954) |
Distributions from Realized Capital Gains | (.020) | (.151) | (1.521) | (.797) | (.676) |
Total Distributions | (3.659) | (3.964) | (5.311) | (4.701) | (4.630) |
Net Asset Value, End of Period | $93.73 | $81.45 | $93.73 | $91.40 | $79.07 |
Total Return | 19.89% | -9.03% | 8.49% | 22.18% | 10.36% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,068 | $489 | $806 | $512 | $324 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.20% | 4.31% | 4.10% | 4.73% | 4.98% |
Portfolio Turnover Rate1 | 39% | 50% | 41% | 45% | 54% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, | |||||
including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
69
Long-Term Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers four classes of shares: Investor Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are
70
Long-Term Bond Index Fund
charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $762,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.30% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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).
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Long-Term Bond Index Fund
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 3,127,990 | — |
Corporate Bonds | — | 4,184,403 | — |
Sovereign Bonds | — | 609,977 | — |
Taxable Municipal Bonds | — | 500,202 | — |
Temporary Cash Investments | 32,169 | — | — |
Total | 32,169 | 8,422,572 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the year ended December 31, 2014, the fund realized $41,711,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $739,000 from accumulated net realized gains to paid-in capital.
The fund used capital loss carryforwards of $20,710,000 to offset taxable capital gains realized during the year ended December 31, 2014, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. For tax purposes, at December 31, 2014, the fund had $79,000 of short-term capital gains and $8,274,000 of long-term capital gains available for distribution. Short-term gain distributions are treated as ordinary income for tax purposes.
At December 31, 2014, the cost of investment securities for tax purposes was $7,640,365,000. Net unrealized appreciation of investment securities for tax purposes was $814,376,000, consisting of unrealized gains of $841,199,000 on securities that had risen in value since their purchase and $26,823,000 in unrealized losses on securities that had fallen in value since their purchase.
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Long-Term Bond Index Fund
E. During the year ended December 31, 2014, the fund purchased $1,987,417,000 of investment securities and sold $803,857,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,782,361,000 and $2,076,256,000, respectively. Total purchases and sales include $786,095,000 and $231,238,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 726,447 | 53,789 | 419,097 | 31,273 | |
Issued in Lieu of Cash Distributions | 83,598 | 6,139 | 91,692 | 6,934 | |
Redeemed | (547,666) | (40,722) | (1,049,252) | (79,063) | |
Net Increase (Decrease)—Investor Shares | 262,379 | 19,206 | (538,463) | (40,856) | |
Institutional Shares | |||||
Issued | 776,880 | 56,976 | 803,345 | 61,587 | |
Issued in Lieu of Cash Distributions | 82,728 | 6,069 | 67,973 | 5,171 | |
Redeemed | (634,241) | (46,766) | (427,800) | (33,429) | |
Net Increase (Decrease)—Institutional Shares | 225,367 | 16,279 | 443,518 | 33,329 | |
Institutional Plus Shares | |||||
Issued | 1,054,351 | 76,847 | 1,142,252 | 85,377 | |
Issued in Lieu of Cash Distributions | 72,641 | 5,327 | 45,125 | 3,475 | |
Redeemed | (249,638) | (18,266) | (28,088) | (2,169) | |
Net Increase (Decrease)—Institutional Plus Shares | 877,354 | 63,908 | 1,159,289 | 86,683 | |
ETF Shares | |||||
Issued | 720,949 | 8,000 | 125,513 | 1,400 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (233,803) | (2,600) | (343,304) | (4,000) | |
Net Increase (Decrease)—ETF Shares | 487,146 | 5,400 | (217,791) | (2,600) |
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
73
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund: In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (constituting separate portfolios of Vanguard Bond Index Funds, hereafter referred to as the “Funds”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
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Special 2014 tax information (unaudited) for Vanguard Short-Term Bond Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $54,924,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 82.5% of income dividends are interest-related dividends.
Special 2014 tax information (unaudited) for Vanguard Intermediate-Term Bond Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $115,564,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 84.1% of income dividends are interest-related dividends.
Special 2014 tax information (unaudited) for Vanguard Long-Term Bond Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $2,548,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 76.5% of income dividends are interest-related dividends.
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
6/30/2014 | 12/31/2014 | Period | |
Based on Actual Fund Return | |||
Short-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,002.19 | $1.01 |
Admiral Shares | 1,000.00 | 1,002.69 | 0.50 |
Institutional Shares | 1,000.00 | 1,002.84 | 0.35 |
Institutional Plus Shares | 1,000.00 | 1,002.94 | 0.25 |
ETF Shares | 1,000.00 | 1,003.04 | 0.50 |
Intermediate-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,018.27 | $1.02 |
Admiral Shares | 1,000.00 | 1,018.79 | 0.51 |
Institutional Shares | 1,000.00 | 1,018.94 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,019.04 | 0.25 |
ETF Shares | 1,000.00 | 1,019.20 | 0.51 |
Long-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,068.26 | $1.04 |
Institutional Shares | 1,000.00 | 1,068.95 | 0.37 |
Institutional Plus Shares | 1,000.00 | 1,069.06 | 0.26 |
ETF Shares | 1,000.00 | 1,069.22 | 0.52 |
Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
6/30/2014 | 12/31/2014 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,024.95 | 0.26 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Intermediate-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,024.95 | 0.26 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
Long-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,024.95 | 0.26 |
ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Bond Index Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.20% for Investor Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.10% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. | |||
78
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays using ratings generally derived from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating is shown.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
79
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
Spliced 1–5 Year Investment-Grade Debt Funds Average: Based on average returns for 1–5 Year U.S. Government Funds through December 31, 2001, and average returns for 1–5 Year Investment-Grade Debt Funds thereafter. Derived from data provided by Lipper, a Thomson Reuters Company.
Spliced Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index: Barclays U.S. 1–5 Year Government/Credit Bond Index through December 31, 2009; Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index thereafter.
Spliced Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index: Barclays U.S. 5–10 Year Government/Credit Bond Index through December 31, 2009; Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index thereafter.
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
Spliced Barclays U.S. Long Government/Credit Float Adjusted Index: Barclays U.S. Long Government/Credit Bond Index through December 31, 2009; Barclays U.S. Long Government/Credit Float Adjusted Index thereafter.
Spliced Corporate A-Rated Debt Funds Average: Based on average returns for General Government Funds through December 31, 2001, and average returns for Corporate A-Rated Debt Funds thereafter. Derived from data provided by Lipper, a Thomson Reuters Company.
Spliced Intermediate Investment-Grade Debt Funds Average: Based on average returns for Intermediate U.S. Government Funds through December 31, 2001, Intermediate Investment-Grade Debt Funds through August 31, 2013, and Core Bond Funds thereafter.
80
The Vanguard funds are not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the funds or any member of the public regarding the advisability of investing in securities generally or in the funds particularly or the ability of the Barclays indexes to track general bond market performance. Barclays has not passed on the legality or suitability of the funds with respect to any person or entity. Barclays’ only relationship to Vanguard and the funds is the licensing of the Barclays indexes, which are determined, composed, and calculated by Barclays without regard to Vanguard or the funds or any owners or purchasers of the funds. Barclays has no obligation to take the needs of Vanguard, the funds, or the owners of the funds into consideration in determining, composing, or calculating the Barclays indexes. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the funds to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the funds.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the indexes or any data included therein or for interruptions in the delivery of the indexes. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the funds or any other person or entity from the use of the indexes or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. 1–5 Year Government/ Credit Float Adjusted Index, Barclays U.S. 5–10 Year Government Credit Float Adjusted Index, and Barclays U.S. Long Government/Credit Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to any of the Barclays indexes. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the indexes or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the indexes or any data included therein.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 177 Vanguard funds
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q3140 022015 |
Annual Report | December 31, 2014
Vanguard Total Bond Market Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 10 |
Performance Summary. | 12 |
Financial Statements. | 15 |
About Your Fund’s Expenses. | 34 |
Glossary. | 36 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Total Bond Market Index Fund | ||||
Investor Shares | 1.99% | 2.55% | 3.21% | 5.76% |
Admiral™ Shares | 2.12 | 2.68 | 3.21 | 5.89 |
Institutional Shares | 2.13 | 2.70 | 3.21 | 5.91 |
Institutional Plus Shares | 2.14 | 2.71 | 3.21 | 5.92 |
ETF Shares | 2.12 | |||
Market Price | 5.87 | |||
Net Asset Value | 5.96 | |||
Barclays U.S. Aggregate Float Adjusted Index | 5.85 | |||
Core Bond | ||||
Funds Average | 5.28 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
Many investors expected yields to continue climbing in 2014 as the Federal Reserve wound down its unprecedented bond-buying program, which had been designed to speed the economy’s recovery. But markets often do the unexpected, and intermediate-and long-term yields drifted lower during the year. Prospects for the global economy grew more clouded, geopolitical tensions simmered, and any acceleration in inflation appeared more distant.
Because bond yields and prices move in opposite directions, the environment was positive overall for the bond market, with a strong recovery playing out among longer-dated securities. Vanguard Total Bond Market Index Fund returned 5.76% for the 12 months ended December 31, 2014, with more than half of that coming from an appreciation in bond prices. (All returns and yields cited in this letter are for the fund’s Investor Shares.) That performance came close to matching the 5.85% return of the fund’s benchmark, which incurs no costs, and it was ahead of the average return of 5.28% for its peer group, which includes actively managed funds.
Rising bond prices pushed the fund’s 30-day SEC yield down to 1.99% on December 31, compared with 2.11% a year earlier.
2
Please note that the conversion of the fund’s Signal Shares to Admiral Shares was completed in October as part of a yearlong plan to streamline Vanguard’s share-class offerings.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
Investors seemed to be reassured by the Fed’s stance that it will be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant additional stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
In a reversal from the previous year, bond prices rose during 2014
The bond market was rattled in 2013 when the Fed indicated its intention to cut back and eventually end its stimulative bond-buying program. The gradual pace of tapering in 2014 helped calm bond investors’ nerves, however, as did the Fed’s repeated assurances that short-term interest rates were likely to remain low even after the program ended.
The economy showed enough strength for the Fed to end the program in October. Gross domestic product continued to gain traction after a disappointing first quarter, the labor market improved, and inflation remained tame with help in the second half of the year from a slide in oil prices.
This environment of moderate economic growth, low inflation, and continued easy monetary policy helped revive investor appetite for bonds, as did the turmoil in the Middle East and Eastern Europe. International investors also showed interest given the relative value of U.S. bonds and the strong dollar.
With this favorable backdrop, the broad U.S. taxable bond market returned 5.97% for the period. Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply. International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
Peer | ||||||
Investor | Admiral | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Plus Shares | Shares | Average | |
Total Bond Market Index Fund | 0.20% | 0.08% | 0.07% | 0.05% | 0.08% | 0.83% |
The fund expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the fund’s expense ratios were 0.20% for Investor Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.07% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2013. | ||||||
Peer group: Core Bond Funds Average.
4
As for money market funds and savings accounts, their returns remained minuscule as the Fed kept its target for short-term interest rates between 0% and 0.25%.
Longer-dated bonds staged a strong rebound
Over the 12 months, the Treasury yield curve flattened. Yields of short-term Treasuries edged higher on the prospect of a rise in the federal funds target rate down the road, while those of longer-dated Treasuries fell. The 3-year Treasury yield, for example, rose 34 basis points to 1.10%, while the 10-year Treasury yield fell 78 basis points to 2.19% and the 30-year Treasury yield fell 114 basis points to 2.76%. (A basis point is one-hundredth of a percentage point.)
Treasury bonds in particular benefited from investors seeking a safe place for their money. These securities, which accounted for the largest slice of the fund’s assets, returned just over 5% for the year. Although short-term Treasuries made modest gains, their long-term counterparts were up by more than 25%.
Corporate bonds returned more than 7% for the 12 months, even though the spread between their yields and those of comparable Treasuries widened in the second half of the year. Long-term bonds also boosted this market segment’s performance, with a return of close to 16%. Utilities, generally considered a defensive sector, far outpaced the returns of bonds
Total Returns | |
Ten Years Ended December 31, 2014 | |
Average | |
Annual Return | |
Total Bond Market Index Fund Investor Shares | 4.57% |
Spliced Barclays U.S. Aggregate Float Adjusted Index | 4.72 |
Spliced Intermediate Investment-Grade Debt Funds Average | 4.12 |
For a benchmark description, see the Glossary. | |
Spliced Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
5
issued by industrial companies and financial institutions. The differences in returns by credit quality were more muted.
Government mortgage-backed securities, another large component in the index, returned about 5.6%. There was an uptick in mortgage loan refinancing as the stronger economy and better housing market helped more homeowners qualify to take advantage of lower rates. With interest rates having been low for years, however, prepayment risk was limited, and these securities performed more or less in line with the broad bond market.
The fund’s low cost was a constant during the market’s ups and downs
Costs are a key factor in determining how much of a fund’s return investors actually get to keep. Over the decade ended December 31, 2014, Vanguard Total Bond Market Index Fund’s low expense ratio helped the fund post an average annual return of 4.57%, only 15 basis points behind its expense-free benchmark (+4.72%) and ahead of its peers (+4.12%).
With return prospects for bonds looking more muted than in recent years (see the box below), the fund’s low expense ratio
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below long-run historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average after-inflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual invest- ment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.
6
will remain crucial to helping investors keep more of what investment-grade bonds produce.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success: creating clear, appropriate investment goals; developing a suitable asset allocation using broadly diversified funds; minimizing cost; and maintaining perspective and long-term discipline.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
7
(You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2015
Your Fund’s Performance at a Glance | ||||
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Bond Market Index Fund | ||||
Investor Shares | $10.56 | $10.87 | $0.264 | $0.029 |
Admiral Shares | 10.56 | 10.87 | 0.278 | 0.029 |
Institutional Shares | 10.56 | 10.87 | 0.279 | 0.029 |
Institutional Plus Shares | 10.56 | 10.87 | 0.280 | 0.029 |
ETF Shares | 79.91 | 82.33 | 2.073 | 0.221 |
9
Total Bond Market Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | VBMFX | VBTLX | VBTIX | VBMPX | BND |
Expense Ratio1 | 0.20% | 0.08% | 0.07% | 0.05% | 0.08% |
30-Day SEC Yield | 1.99% | 2.12% | 2.13% | 2.14% | 2.12% |
Financial Attributes | ||
Barclays | ||
Aggregate | ||
Float Adj | ||
Fund | Index | |
Number of Bonds | 7,038 | 9,054 |
Yield to Maturity | ||
(before expenses) | 2.1% | 2.2% |
Average Coupon | 3.3% | 3.2% |
Average Duration | 5.5 years | 5.7 years |
Average Effective | ||
Maturity | 7.5 years | 7.7 years |
Short-Term | ||
Reserves | 0.7% | — |
Sector Diversification (% of portfolio) | |
Asset-Backed | 0.6% |
Commercial Mortgage-Backed | 2.3 |
Finance | 8.8 |
Foreign | 6.9 |
Government Mortgage-Backed | 13.4 |
Industrial | 15.9 |
Treasury/Agency | 45.1 |
Utilities | 2.1 |
Other | 4.9 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | |
Barclays | |
Aggregate | |
Float Adj | |
Index | |
R-Squared | 1.00 |
Beta | 1.01 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months. | |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 58.6% |
Aaa | 10.1 |
Aa | 4.2 |
A | 13.4 |
Baa | 13.7 |
Credit-quality ratings are obtained from Barclays and are generally from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 5.9% |
1 - 3 Years | 26.8 |
3 - 5 Years | 20.8 |
5 - 10 Years | 30.5 |
10 - 20 Years | 3.7 |
20 - 30 Years | 11.8 |
Over 30 Years | 0.5 |
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.07% for ETF Shares.
10
Total Bond Market Index Fund
Investment Focus
Total Bond Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Shares | 5.76% | 4.25% | 4.57% | $15,640 |
•••••••• Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 |
– – – – Spliced Intermediate Investment-Grade | ||||
Debt Funds Average | 5.28 | 4.77 | 4.12 | 14,978 |
For a benchmark description, see the Glossary. | ||||
Spliced Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Total Bond Market Index Fund Admiral | ||||
Shares | 5.89% | 4.37% | 4.68% | $15,803 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 15,867 |
See Financial Highlights for dividend and capital gains information.
12
Total Bond Market Index Fund
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Total Bond Market Index Fund Institutional | ||||
Shares | 5.91% | 4.39% | 4.72% | $7,926,481 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.72 | 7,933,404 |
Final Value | ||||
One | Five | Ten | of a $100,000,000 | |
Year | Years | Years | Investment | |
Total Bond Market Index Fund Institutional | ||||
Plus Shares | 5.92% | 4.41% | 4.72% | $158,668,598 |
Spliced Barclays U.S. Aggregate Float Adjusted | ||||
Index | 5.85 | 4.48 | 4.72 | 158,668,071 |
The creation of the Institutional Plus Shares occurred on February 5, 2010, when Vanguard Total Bond Market Index Fund acquired the net assets of Vanguard Institutional Total Bond Market Index Fund. For the periods ended December 31, 2014, the returns and other data shown in the table above reflect a blend of historical performance of the fund’s Institutional Shares prior to February 5, 2010, and of the Institutional Plus Shares from then on. | ||||
Since | Final Value | |||
One | Five | Inception | of a $10,000 | |
Year | Years | (4/3/2007) | Investment | |
Total Bond Market Index FundETF Shares | ||||
Net Asset Value | 5.96% | 4.35% | 4.96% | $14,554 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 5.03 | 14,629 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard. |
Cumulative Returns of ETF Shares: April 3, 2007, Through December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (4/3/2007) | |
Total Bond Market Index Fund ETF Shares Market | |||
Price | 5.87% | 23.50% | 45.57% |
Total Bond Market Index Fund ETF Shares Net | |||
Asset Value | 5.96 | 23.76 | 45.54 |
Spliced Barclays U.S. Aggregate Float Adjusted | |||
Index | 5.85 | 24.51 | 46.29 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard. |
13
Total Bond Market Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014 | ||||
Spliced | ||||
Barclays | ||||
Aggregate | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 4.43% | -2.03% | 2.40% | 2.43% |
2006 | 4.97 | -0.70 | 4.27 | 4.33 |
2007 | 5.22 | 1.70 | 6.92 | 6.97 |
2008 | 4.85 | 0.20 | 5.05 | 5.24 |
2009 | 4.26 | 1.67 | 5.93 | 5.93 |
2010 | 3.55 | 2.87 | 6.42 | 6.58 |
2011 | 3.30 | 4.26 | 7.56 | 7.92 |
2012 | 2.63 | 1.42 | 4.05 | 4.32 |
2013 | 2.29 | -4.55 | -2.26 | -1.97 |
2014 | 2.55 | 3.21 | 5.76 | 5.85 |
For a benchmark description, see the Glossary. |
14
Total Bond Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 3.625% | 8/15/19 | 734,467 | 800,914 | 0.6% |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 727,923 | 733,040 | 0.5% |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 701,005 | 699,252 | 0.5% |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 613,460 | 673,463 | 0.5% |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 690,748 | 671,967 | 0.5% |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 636,450 | 635,553 | 0.5% |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 609,000 | 607,666 | 0.5% |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 574,125 | 596,550 | 0.4% |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 536,640 | 581,245 | 0.4% |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 578,381 | 575,489 | 0.4% |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 567,800 | 570,372 | 0.4% |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 565,490 | 566,463 | 0.4% |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 556,825 | 557,521 | 0.4% |
United States Treasury Note/Bond | 0.250% | 2/29/16 | 534,170 | 533,417 | 0.4% |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 516,785 | 533,017 | 0.4% |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 397,528 | 529,146 | 0.4% |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 528,189 | 527,941 | 0.4% |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 497,625 | 494,281 | 0.4% |
United States Treasury Note/Bond | 0.375% | 5/31/16 | 492,815 | 492,431 | 0.4% |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 495,010 | 491,763 | 0.4% |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 471,635 | 485,562 | 0.4% |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 465,099 | 485,154 | 0.4% |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 411,117 | 484,024 | 0.4% |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 458,579 | 482,297 | 0.4% |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 474,155 | 469,489 | 0.3% |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 474,265 | 467,967 | 0.3% |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 471,000 | 467,100 | 0.3% |
United States Treasury Note/Bond | 0.750% | 3/15/17 | 467,160 | 467,015 | 0.3% |
United States Treasury Note/Bond | 0.500% | 7/31/16 | 465,289 | 465,363 | 0.3% |
15
Total Bond Market Index Fund
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
United States Treasury Note/Bond | 0.625% | 2/15/17 | 465,800 | 464,561 | 0.3% | |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 461,885 | 461,091 | 0.3% | |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 457,545 | 454,113 | 0.3% | |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 418,462 | 440,172 | 0.3% | |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 421,830 | 439,429 | 0.3% | |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 433,815 | 432,661 | 0.3% | |
United States Treasury Note/Bond | 0.375% | 4/30/16 | 431,350 | 431,147 | 0.3% | |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 426,058 | 428,721 | 0.3% | |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 425,957 | 426,089 | 0.3% | |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 397,275 | 411,676 | 0.3% | |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 404,735 | 404,735 | 0.3% | |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 374,455 | 401,543 | 0.3% | |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 394,450 | 398,951 | 0.3% | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 395,355 | 395,418 | 0.3% | |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 395,000 | 394,321 | 0.3% | |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 368,664 | 392,974 | 0.3% | |
1 | United States Treasury | |||||
Note/Bond | 0.375%–9.875% | 11/15/15–11/15/44 | 29,703,386 | 31,645,787 | 23.2% | |
54,568,851 | 39.9% | |||||
Agency Bonds and Notes | ||||||
2 | Federal Home Loan | |||||
Mortgage Corp. | 0.500%–6.750% | 4/18/16–7/15/32 | 1,458,391 | 1,525,656 | 1.1% | |
2 | Federal National | |||||
Mortgage Assn. | 0.000%–8.200% | 3/10/16–7/15/37 | 1,827,092 | 1,920,393 | 1.4% | |
Agency Bonds and Notes—Other † | 1,292,645 | 1.0% | ||||
4,738,694 | 3.5% | |||||
Conventional Mortgage-Backed Securities | ||||||
2,3,4 Fannie Mae Pool | 4.000% | 1/1/45 | 697,440 | 744,301 | 0.5% | |
2,3,4 Fannie Mae Pool | 3.500% | 1/1/45 | 513,825 | 535,663 | 0.4% | |
2,3,4 Fannie Mae Pool | 2.000%–11.000% | 4/1/15–1/1/45 | 10,034,714 | 10,696,126 | 7.8% | |
2,4 | Freddie Mac Gold Pool | 4.000% | 1/1/45 | 513,775 | 547,653 | 0.4% |
2,3,4 Freddie Mac Gold Pool | 2.000%–10.000% | 2/1/15–1/1/45 | 6,244,145 | 6,643,294 | 4.9% | |
2,4 | Freddie Mac Non | |||||
Gold Pool | 8.000%–10.500% | 12/1/15–3/1/20 | 13 | 15 | 0.0% | |
3,4 | Ginnie Mae I Pool | 3.000%–11.500% | 3/15/15–1/1/45 | 2,034,054 | 2,205,968 | 1.6% |
3,4 | Ginnie Mae II Pool | 4.000% | 1/1/45 | 884,120 | 947,255 | 0.7% |
3,4 | Ginnie Mae II Pool | 3.500% | 1/1/45 | 883,445 | 927,070 | 0.7% |
3,4 | Ginnie Mae II Pool | 2.500%–8.500% | 4/20/18–1/1/45 | 4,214,885 | 4,509,375 | 3.3% |
27,756,720 | 20.3% | |||||
Nonconventional Mortgage-Backed Securities | ||||||
2,4,5 Fannie Mae Pool | 1.467%–6.150% | 11/1/32–12/1/43 | 351,126 | 365,326 | 0.2% | |
2,4,5 Freddie Mac Non Gold Pool | 1.485%–6.215% | 4/1/33–11/1/43 | 107,658 | 113,005 | 0.1% | |
4,5 | Ginnie Mae II Pool | 1.625%–5.000% | 6/20/29–1/20/44 | 133,924 | 139,393 | 0.1% |
617,724 | 0.4% | |||||
Total U.S. Government and Agency Obligations (Cost $85,491,050) | 87,681,989 | 64.1% | ||||
6Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,901,218) † | 4,042,567 | 3.0% |
Total Bond Market Index Fund
Market | Percentage | ||||
Value• | of Net | ||||
($000) | Assets | ||||
Corporate Bonds | |||||
Finance | |||||
6 | Banking † | 7,711,352 | 5.7% | ||
6 | Brokerage † | 320,381 | 0.2% | ||
6 | Finance Companies † | 884,800 | 0.7% | ||
Insurance † | 1,691,380 | 1.2% | |||
Other Finance † | 24,851 | 0.0% | |||
6 | Real Estate Investment Trusts † | 850,253 | 0.6% | ||
11,483,017 | 8.4% | ||||
Industrial | |||||
6 | Basic Industry † | 1,747,400 | 1.3% | ||
6 | Capital Goods † | 1,647,481 | 1.2% | ||
6 | Communication † | 3,765,000 | 2.8% | ||
6 | Consumer Cyclical † | 2,326,783 | 1.7% | ||
6 | Consumer Noncyclical † | 4,825,312 | 3.5% | ||
6 | Energy † | 3,736,147 | 2.7% | ||
Other Industrial † | 94,274 | 0.1% | |||
6 | Technology † | 1,841,013 | 1.3% | ||
Transportation † | 777,846 | 0.6% | |||
20,761,256 | 15.2% | ||||
Utilities | |||||
6 | Electric † | 2,552,435 | 1.9% | ||
Natural Gas † | 146,777 | 0.1% | |||
Other Utility † | 35,118 | 0.0% | |||
2,734,330 | 2.0% | ||||
Total Corporate Bonds (Cost $33,315,255) | 34,978,603 | 25.6% | |||
6Sovereign Bonds (U.S. Dollar-Denominated) (Cost $7,493,805) † | 7,677,847 | 5.6% | |||
Taxable Municipal Bonds (Cost $1,177,386) † | 1,383,580 | 1.0% | |||
Coupon | Shares | ||||
Temporary Cash Investment | |||||
Money Market Fund | |||||
7 | Vanguard Market Liquidity Fund (Cost $6,400,778) | 0.126% | 6,400,778,392 | 6,400,778 | 4.7% |
Total Investments (Cost $137,779,492) | 142,165,364 | 104.0% | |||
Other Assets and Liabilities | |||||
Other Assets | 2,846,347 | 2.1% | |||
Liabilities | (8,339,050) | (6.1%) | |||
(5,492,703) | (4.0%) | ||||
Net Assets | 136,672,661 | 100.0% |
17
Total Bond Market Index Fund
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 135,764,586 |
Affiliated Vanguard Funds | 6,400,778 |
Total Investments in Securities | 142,165,364 |
Receivables for Investment Securities Sold | 1,471,356 |
Receivables for Capital Shares Issued | 414,487 |
Receivables for Accrued Income | 869,967 |
Other Assets | 90,537 |
Total Assets | 145,011,711 |
Liabilities | |
Payables for Investment Securities Purchased | 8,052,970 |
Payables for Capital Shares Redeemed | 152,671 |
Other Liabilities | 133,409 |
Total Liabilities | 8,339,050 |
Net Assets | 136,672,661 |
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 132,260,942 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 25,847 |
Unrealized Appreciation (Depreciation) | 4,385,872 |
Net Assets | 136,672,661 |
Investor Shares—Net Assets | |
Applicable to 650,872,319 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,075,805 |
Net Asset Value Per Share—Investor Shares | $10.87 |
Admiral Shares—Net Assets | |
Applicable to 4,985,457,873 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 54,198,448 |
Net Asset Value Per Share—Admiral Shares | $10.87 |
Institutional Shares—Net Assets | |
Applicable to 2,493,016,570 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 27,102,551 |
Net Asset Value Per Share—Institutional Shares | $10.87 |
18
Total Bond Market Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 2,047,072,514 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 22,254,449 |
Net Asset Value Per Share—Institutional Plus Shares | $10.87 |
ETF Shares—Net Assets | |
Applicable to 316,323,018 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 26,041,408 |
Net Asset Value Per Share—ETF Shares | $82.33 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $148,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2014.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Adjustable-rate security.
6 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $524,974,000, representing 0.4% of net assets.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Total Bond Market Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 3,147,280 |
Total Income | 3,147,280 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,750 |
Management and Administrative—Investor Shares | 12,958 |
Management and Administrative—Admiral Shares | 21,907 |
Management and Administrative—Signal Shares | 2,166 |
Management and Administrative—Institutional Shares | 7,558 |
Management and Administrative—Institutional Plus Shares | 5,246 |
Management and Administrative—ETF Shares | 8,976 |
Marketing and Distribution—Investor Shares | 1,823 |
Marketing and Distribution—Admiral Shares | 5,771 |
Marketing and Distribution—Signal Shares | 2,047 |
Marketing and Distribution—Institutional Shares | 5,122 |
Marketing and Distribution—Institutional Plus Shares | 3,868 |
Marketing and Distribution—ETF Shares | 4,576 |
Custodian Fees | 1,251 |
Auditing Fees | 49 |
Shareholders’ Reports—Investor Shares | 85 |
Shareholders’ Reports—Admiral Shares | 81 |
Shareholders’ Reports—Signal Shares | 74 |
Shareholders’ Reports—Institutional Shares | 171 |
Shareholders’ Reports—Institutional Plus Shares | 72 |
Shareholders’ Reports—ETF Shares | 442 |
Trustees’ Fees and Expenses | 85 |
Total Expenses | 87,078 |
Net Investment Income | 3,060,202 |
Realized Net Gain (Loss) on Investment Securities Sold | 702,381 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,997,245 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,759,828 |
1 Interest income from an affiliated company of the fund was $5,460,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Total Bond Market Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,060,202 | 2,786,567 |
Realized Net Gain (Loss) | 702,381 | 186,970 |
Change in Unrealized Appreciation (Depreciation) | 2,997,245 | (5,493,010) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,759,828 | (2,519,473) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (185,331) | (234,458) |
Admiral Shares | (1,067,164) | (854,682) |
Signal Shares | (171,056) | (297,984) |
Institutional Shares | (585,500) | (522,499) |
Institutional Plus Shares | (511,351) | (442,677) |
ETF Shares | (539,800) | (434,267) |
Realized Capital Gain1 | ||
Investor Shares | (18,976) | (24,380) |
Admiral Shares | (141,765) | (83,008) |
Signal Shares | (936) | (28,879) |
Institutional Shares | (70,829) | (50,535) |
Institutional Plus Shares | (58,057) | (42,229) |
ETF Shares | (70,215) | (42,985) |
Total Distributions | (3,420,980) | (3,058,583) |
Capital Share Transactions | ||
Investor Shares | (1,090,288) | (3,348,785) |
Admiral Shares | 19,668,322 | (375,365) |
Signal Shares | (10,549,767) | (1,712,566) |
Institutional Shares | 6,264,465 | (1,234,164) |
Institutional Plus Shares | 3,084,978 | 3,150,527 |
ETF Shares | 7,840,682 | 545,368 |
Net Increase (Decrease) from Capital Share Transactions | 25,218,392 | (2,974,985) |
Total Increase (Decrease) | 28,557,240 | (8,553,041) |
Net Assets | ||
Beginning of Period | 108,115,421 | 116,668,462 |
End of Period | 136,672,661 | 108,115,421 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $162,608,000 and $10,552,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
21
Total Bond Market Index Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.56 | $11.09 | $11.00 | $10.60 | $10.35 |
Investment Operations | |||||
Net Investment Income | .264 | .256 | .285 | .337 | .362 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .339 | (.504) | .156 | .451 | .297 |
Total from Investment Operations | .603 | (.248) | .441 | .788 | .659 |
Distributions | |||||
Dividends from Net Investment Income | (. 264) | (. 256) | (. 285) | (. 337) | (.362) |
Distributions from Realized Capital Gains | (. 029) | (. 026) | (. 066) | (. 051) | (. 047) |
Total Distributions | (.293) | (.282) | (. 351) | (. 388) | (.409) |
Net Asset Value, End of Period | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Total Return1 | 5.76% | -2.26% | 4.05% | 7.56% | 6.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $7,076 | $7,939 | $11,794 | $12,584 | $14,437 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.44% | 2.37% | 2.55% | 3.12% | 3.38% |
Portfolio Turnover Rate2 | 72%3 | 73%3 | 80%3 | 73%3 | 75%3 |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 3 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
22
Total Bond Market Index Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.56 | $11.09 | $11.00 | $10.60 | $10.35 |
Investment Operations | |||||
Net Investment Income | . 278 | .269 | .296 | .350 | .374 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .339 | (.504) | .156 | .451 | .297 |
Total from Investment Operations | .617 | (. 235) | . 452 | . 801 | .671 |
Distributions | |||||
Dividends from Net Investment Income | (.278) | (. 269) | (. 296) | (. 350) | (. 374) |
Distributions from Realized Capital Gains | (. 029) | (. 026) | (. 066) | (. 051) | (. 047) |
Total Distributions | (.307) | (. 295) | (. 362) | (. 401) | (. 421) |
Net Asset Value, End of Period | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Total Return1 | 5.89% | -2.15% | 4.15% | 7.69% | 6.54% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $54,198 | $33,450 | $35,533 | $31,366 | $27,200 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.57% | 2.49% | 2.65% | 3.24% | 3.49% |
Portfolio Turnover Rate 2 | 72%3 | 73%3 | 80%3 | 73%3 | 75%3 |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 3 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
23
Total Bond Market Index Fund
Financial Highlights
Signal Shares | |||||
Jan. 1, | |||||
2014, to | |||||
For a Share Outstanding | Oct. 24, | Year Ended December 31, | |||
Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.56 | $11.09 | $11.00 | $10.60 | $10.35 |
Investment Operations | |||||
Net Investment Income | .229 | .269 | .296 | .350 | .374 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .331 | (.504) | .156 | .451 | .297 |
Total from Investment Operations | .560 | (.235) | .452 | .801 | .671 |
Distributions | |||||
Dividends from Net Investment Income | (.229) | (.269) | (.296) | (.350) | (.374) |
Distributions from Realized Capital Gains | (.001) | (.026) | (.066) | (.051) | (.047) |
Total Distributions | (.230) | (.295) | (.362) | (.401) | (.421) |
Net Asset Value, End of Period | $10.891 | $10.56 | $11.09 | $11.00 | $10.60 |
Total Return | 5.33% | -2.15% | 4.15% | 7.69% | 6.54% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $— | $10,276 | $12,586 | $10,938 | $8,813 |
Ratio of Total Expenses to Average Net Assets | 0.07%2 | 0.08% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.64%2 | 2.49% | 2.65% | 3.24% | 3.49% |
Portfolio Turnover Rate3 | 72%4 | 73%4 | 80% 4 | 73%4 | 75%4 |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 4 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
24
Total Bond Market Index Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.56 | $11.09 | $11.00 | $10.60 | $10.35 |
Investment Operations | |||||
Net Investment Income | . 279 | .270 | .299 | .353 | .378 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .339 | (.504) | .156 | .451 | .297 |
Total from Investment Operations | .618 | (. 234) | . 455 | . 804 | .675 |
Distributions | |||||
Dividends from Net Investment Income | (.279) | (. 270) | (. 299) | (. 353) | (. 378) |
Distributions from Realized Capital Gains | (. 029) | (. 026) | (. 066) | (. 051) | (. 047) |
Total Distributions | (.308) | (. 296) | (. 365) | (. 404) | (. 425) |
Net Asset Value, End of Period | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Total Return | 5.91% | -2.14% | 4.18% | 7.72% | 6.58% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $27,103 | $20,206 | $22,494 | $22,812 | $20,419 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.58% | 2.50% | 2.68% | 3.27% | 3.53% |
Portfolio Turnover Rate1 | 72%2 | 73%2 | 80%2 | 73%2 | 75%2 |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 2 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
25
Total Bond Market Index Fund
Financial Highlights
Institutional Plus Shares | |||||
Feb. 5, | |||||
20101 to | |||||
Year Ended December 31, | |||||
For a Share Outstanding | Dec. 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.56 | $11.09 | $11.00 | $10.60 | $10.50 |
Investment Operations | |||||
Net Investment Income | . 280 | .272 | .301 | .355 | .343 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .339 | (.504) | .156 | .451 | .147 |
Total from Investment Operations | .619 | (.232) | .457 | .806 | .490 |
Distributions | |||||
Dividends from Net Investment Income | (.280) | (. 272) | (. 301) | (. 355) | (. 343) |
Distributions from Realized Capital Gains | (. 029) | (. 026) | (. 066) | (. 051) | (. 047) |
Total Distributions | (.309) | (.298) | (.367) | (. 406) | (. 390) |
Net Asset Value, End of Period | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Total Return | 5.92% | -2.12% | 4.20% | 7.74% | 4.68% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $22,254 | $18,607 | $16,294 | $9,486 | $6,358 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05%2 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.59% | 2.52% | 2.70% | 3.29% | 3.55%2 |
Portfolio Turnover Rate 3 | 72%4 | 73%4 | 80%4 | 73%4 | 75%4 |
1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 4 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
26
Total Bond Market Index Fund
Financial Highlights
ETF Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $79.91 | $83.92 | $83.31 | $80.21 | $78.31 |
Investment Operations | |||||
Net Investment Income | 2.073 | 2.031 | 2.222 | 2.598 | 2.793 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 2.641 | (3.812) | 1.111 | 3.487 | 2.256 |
Total from Investment Operations | 4.714 | (1.781) | 3.333 | 6.085 | 5.049 |
Distributions | |||||
Dividends from Net Investment Income | (2.073) | (2.031) | (2.222) | (2.598) | (2.793) |
Distributions from Realized Capital Gains | (.221) | (.198) | (. 501) | (. 387) | (.356) |
Total Distributions | (2.294) | (2.229) | (2.723) | (2.985) | (3.149) |
Net Asset Value, End of Period | $82.33 | $79.91 | $83.92 | $83.31 | $80.21 |
Total Return | 5.96% | -2.14% | 4.04% | 7.71% | 6.51% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $26,041 | $17,637 | $17,968 | $14,596 | $9,048 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.57% | 2.49% | 2.65% | 3.24% | 3.49% |
Portfolio Turnover Rate1 | 72%2 | 73%2 | 80%2 | 73%2 | 75%2 |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 2 Includes 38%, 45%, 49%, 34%, and 28% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
Total Bond Market Index Fund
Notes to Financial Statements
Vanguard Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
28
Total Bond Market Index Fund
At December 31, 2014, counterparties had deposited in segregated accounts securities and cash with a value of $1,660,000 in connection with TBA transactions.
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold (Other Assets) or Payables for Investment Securities Purchased (Liabilities) in the Statement of Assets and Liabilities.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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Total Bond Market Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $12,618,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 5.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 87,681,984 | 5 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 4,042,566 | 1 |
Corporate Bonds | — | 34,978,603 | — |
Sovereign Bonds | — | 7,677,847 | — |
Taxable Municipal Bonds | — | 1,383,580 | — |
Temporary Cash Investments | 6,400,778 | — | — |
Total | 6,400,778 | 135,764,580 | 6 |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
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Total Bond Market Index Fund
During the year ended December 31, 2014, the fund realized $265,906,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $52,397,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at December 31, 2014, the fund had short-term and long-term capital gains of $19,839,000 and $22,611,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
At December 31, 2014, the cost of investment securities for tax purposes was $137,796,095,000. Net unrealized appreciation of investment securities for tax purposes was $4,369,269,000, consisting of unrealized gains of $4,722,645,000 on securities that had risen in value since their purchase and $353,376,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2014, the fund purchased $7,031,687,000 of investment securities and sold $2,035,280,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $96,689,191,000 and $82,717,487,000, respectively. Total purchases and sales include $10,873,789,000 and $5,187,703,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Total Bond Market Index Fund
F. Capital share transactions for each class of shares were:
Year Ended December 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,513,130 | 140,315 | 1,420,671 | 130,390 |
Issued in Lieu of Cash Distributions | 196,630 | 18,201 | 246,555 | 22,813 |
Redeemed | (2,800,048) | (259,709) | (5,016,011) | (465,110) |
Net Increase (Decrease)—Investor Shares | (1,090,288) | (101,193) | (3,348,785) | (311,907) |
Admiral Shares | ||||
Issued1 | 24,112,914 | 2,228,800 | 6,534,069 | 604,049 |
Issued in Lieu of Cash Distributions | 1,104,379 | 102,113 | 860,542 | 79,740 |
Redeemed | (5,548,971) | (514,371) | (7,769,976) | (720,245) |
Net Increase (Decrease) —Admiral Shares | 19,668,322 | 1,816,542 | (375,365) | (36,456) |
Signal Shares | ||||
Issued | 2,101,570 | 195,307 | 3,912,890 | 361,499 |
Issued in Lieu of Cash Distributions | 144,029 | 13,381 | 288,775 | 26,743 |
Redeemed1 | (12,795,366) | (1,182,143) | (5,914,231) | (550,120) |
Net Increase (Decrease)—Signal Shares | (10,549,767) | (973,455) | (1,712,566) | (161,878) |
Institutional Shares | ||||
Issued | 10,389,753 | 961,193 | 6,543,589 | 605,896 |
Issued in Lieu of Cash Distributions | 616,393 | 57,013 | 539,989 | 50,025 |
Redeemed | (4,741,681) | (439,384) | (8,317,742) | (770,852) |
Net Increase (Decrease)—Institutional Shares | 6,264,465 | 578,822 | (1,234,164) | (114,931) |
Institutional Plus Shares | ||||
Issued | 5,556,783 | 514,144 | 6,791,909 | 630,634 |
Issued in Lieu of Cash Distributions | 549,200 | 50,809 | 464,040 | 43,038 |
Redeemed | (3,021,005) | (280,632) | (4,105,422) | (380,801) |
Net Increase (Decrease) —Institutional Plus Shares | 3,084,978 | 284,321 | 3,150,527 | 292,871 |
ETF Shares | ||||
Issued | 14,064,655 | 171,800 | 2,356,538 | 29,000 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (6,223,973) | (76,200) | (1,811,170) | (22,400) |
Net Increase (Decrease)—ETF Shares | 7,840,682 | 95,600 | 545,368 | 6,600 |
1 Admiral Shares Issued and Signal Shares Redeemed include $7,788,349,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year. | ||||
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Total Bond Market Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Bond Market Index Fund (constituting a separate portfolio of Vanguard Bond Index Funds, hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
Special 2014 tax information (unaudited) for Vanguard Total Bond Market Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $226,323,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 85.5% of income dividends are interest-related dividends.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Bond Market Index Fund | 6/30/2014 | 12/31/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,018.34 | $1.02 |
Admiral Shares | 1,000.00 | 1,019.00 | 0.36 |
Institutional Shares | 1,000.00 | 1,019.05 | 0.31 |
Institutional Plus Shares | 1,000.00 | 1,019.11 | 0.25 |
ETF Shares | 1,000.00 | 1,019.47 | 0.36 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
Institutional Plus Shares | 1,000.00 | 1,024.95 | 0.26 |
ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.07% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. | |||
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays using ratings generally derived from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating is shown.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
Spliced Intermediate Investment-Grade Debt Funds Average: Based on average returns for Intermediate U.S. Government Funds through December 31, 2001, Intermediate Investment-Grade Debt Funds through August 31, 2013, and Core Bond Funds thereafter.
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Vanguard Total Bond Market Index Fund is not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of
the fund or any member of the public regarding the advisability of investing in securities generally or in the fund particularly or the ability of the Barclays index to track general bond market performance. Barclays has not passed on the legality or suitability of the fund with respect to any person or entity. Barclays’ only relationship to Vanguard and the fund is the licensing of the Barclays index, which is determined, composed, and calculated by Barclays without regard to Vanguard or the fund or any owners or purchasers of the fund. Barclays has no obligation to take the needs of Vanguard, the fund, or the owners of the fund into consideration in determining, composing, or calculating the Barclays index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the fund.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the index or any data included therein or for interruptions in the delivery of the index. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the fund or any other person or entity from the use of the index or any data included therein in connec- tion with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. Aggregate Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to the index. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the index or any data included therein.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 177 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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This material may be used in conjunction | |
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fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
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Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q840 022015 |
Annual Report | December 31, 2014
Vanguard Total Bond Market II Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 9 |
Performance Summary. | 10 |
Financial Statements. | 12 |
About Your Fund’s Expenses. | 142 |
Glossary. | 144 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Total Bond Market II Index Fund | ||||
Investor Shares | 2.04% | 2.35% | 3.58% | 5.93% |
Institutional Shares | 2.09 | 2.41 | 3.58 | 5.99 |
Barclays U.S. Aggregate Float Adjusted Index | 5.85 | |||
Core Bond Funds Average | 5.28 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Institutional Shares are designed for eligible institutional investors who meet specific administrative, service, and account-size criteria. |
Your Fund’s Performance at a Glance | ||||
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Total Bond Market II Index Fund | ||||
Investor Shares | $10.49 | $10.84 | $0.242 | $0.025 |
Institutional Shares | 10.49 | 10.84 | 0.248 | 0.025 |
1
Chairman’s Letter
Dear Shareholder,
Many investors expected yields to continue climbing in 2014 as the Federal Reserve wound down the unprecedented bond-buying program it implemented to speed the economy’s recovery. But markets often do the unexpected, and intermediate- and long-term yields drifted lower during the year. Prospects for the global economy grew more clouded, geopolitical tensions simmered, and any acceleration in inflation appeared more distant.
Because bond yields and prices move in opposite directions, the environment was positive overall for the bond market, with a strong recovery playing out among longer-dated securities. Vanguard Total Bond Market II Index Fund returned 5.93% for the 12 months ended December 31, 2014, with more than half of that coming from an appreciation in bond prices. (All returns and yields cited in this letter are for the fund’s Investor Shares.) That performance was roughly in line with the 5.85% return of the fund’s benchmark, and it was ahead of the average return of 5.28% for its peer group.
The fund’s 30-day SEC yield held fairly steady over the period, finishing at 2.04% on December 31, compared with 2.05% a year earlier.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy,
2
and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
Investors seemed to be reassured by the Fed’s stance that it will be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant additional stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
In a reversal from the previous year, bond prices rose during 2014
The bond market was rattled in 2013 when the Fed indicated its intention to cut back and eventually end its stimulative bond-buying program. The gradual pace of tapering in 2014 helped calm bond investors’ nerves, however, as did the Fed’s repeated assurances that short-term interest rates were likely to remain low even after the program ended.
The economy showed enough strength for the Fed to end the program in October. Gross domestic product continued to gain
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
traction after a disappointing first quarter, the labor market improved, and inflation remained tame with help in the second half of the year from a slide in oil prices.
This environment of moderate economic growth, low inflation, and continued easy monetary policy helped revive investor appetite for bonds, as did the turmoil in the Middle East and Eastern Europe. International investors also showed interest given the relative value of U.S. bonds and the strong dollar.
With this favorable backdrop, the broad U.S. taxable bond market returned 5.97% for the period. Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply. International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
As for money market funds and savings accounts, their returns remained minuscule, as the Fed kept its target for short-term interest rates between 0% and 0.25%.
Longer-dated bonds staged a strong rebound
Over the 12 months, the Treasury yield curve flattened. Yields of short-term Treasuries edged higher on the prospect of a rise in the federal funds target rate down the road, while those of longer-dated Treasuries fell. The 3-year Treasury yield, for example, rose 34 basis points to 1.10%, while the 10-year Treasury yield fell 78
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Institutional | Peer Group | |
Shares | Shares | Average | |
Total Bond Market II Index Fund | 0.12% | 0.05% | 0.83% |
The fund expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the fund’s expense ratios were 0.10% for Investor Shares and 0.05% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2013. | |||
Peer group: Core Bond Funds Average.
4
basis points to 2.19% and the 30-year Treasury yield fell 114 basis points to 2.76%. (A basis point is one-hundredth of a percentage point.)
Treasury bonds in particular benefited from investors seeking a safe place for their money. These securities, which accounted for the largest slice of the fund’s assets, returned just over 5% for the year. Although short-term Treasuries made modest gains, their long-term counterparts were up by more than 25%.
Corporate bonds returned more than 7% for the 12 months, even though the spread between their yields and those of comparable Treasuries widened in the second half of the year. Long-term bonds also boosted this market segment’s performance, with a return of close to 16%. Utilities, generally considered a defensive sector, far outpaced the returns of bonds issued by industrial companies and financial institutions. The differences in returns by credit quality were more muted.
Government mortgage-backed securities, another large component in the index, returned more than 5%. There was an uptick in refinancing as the stronger economy and better housing market helped more homeowners qualify to take advantage of lower mortgage rates. With interest rates having been low for years, however, prepayment risk was limited, and these securities performed more or less in line with the broad bond market.
Total Returns | |
Inception Through December 31, 2014 | |
Average | |
Annual Return | |
Total Bond Market II Index Fund Investor Shares (Returns since inception: 1/26/2009) | 4.65% |
Spliced Barclays U.S. Aggregate Float Adjusted Index | 4.86 |
Spliced Core Bond Funds Average | 6.06 |
For a benchmark description, see the Glossary. |
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
5
The fund closely tracked its target index over time
Costs are a key factor in determining how much of a fund’s return investors get to keep. Since its launch about six years ago, Vanguard Total Bond Market II Index Fund has posted an average annual return of 4.65%, thanks in part to its low expense ratio. That’s not far off the return of 4.86% for its expense-free benchmark. The fund lagged the average return for its peers (+6.06%), which include actively managed funds.
With return prospects for bonds looking more muted than in recent years (see the box below), the fund’s low expense ratio will remain crucial to helping investors keep more of what investment-grade bonds produce.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below long-run historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average after-inflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.
6
topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success: creating clear, appropriate investment goals; developing a suitable asset allocation using broadly diversified funds; minimizing cost; and maintaining perspective and long-term discipline.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain
alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
7
and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2015
Total Bond Market II Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VTBIX | VTBNX |
Expense Ratio1 | 0.12% | 0.05% |
30-Day SEC Yield | 2.04% | 2.09% |
Financial Attributes | ||
Barclays | ||
Aggregate | ||
Float Adj | ||
Fund | Index | |
Number of Bonds | 6,696 | 9,054 |
Yield to Maturity | ||
(before expenses) | 2.2% | 2.2% |
Average Coupon | 3.1% | 3.2% |
Average Duration | 5.7 years | 5.7 years |
Average Effective | ||
Maturity | 7.8 years | 7.7 years |
Short-Term | ||
Reserves | -0.7% | — |
Sector Diversification (% of portfolio) | |
Asset-Backed | 0.6% |
Commercial Mortgage-Backed | 2.1 |
Finance | 8.4 |
Foreign | 6.7 |
Government Mortgage-Backed | 20.6 |
Industrial | 15.1 |
Treasury/Agency | 44.2 |
Utilities | 2.0 |
Other | 0.3 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | |
Barclays | |
Aggregate | |
Float Adj | |
Index | |
R-Squared | 0.99 |
Beta | 1.01 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 1.6% |
1 - 3 Years | 25.6 |
3 - 5 Years | 23.0 |
5 - 10 Years | 34.4 |
10 - 20 Years | 3.4 |
20 - 30 Years | 11.5 |
Over 30 Years | 0.5 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 64.8% |
Aaa | 5.3 |
Aa | 4.0 |
A | 12.9 |
Baa | 13.0 |
Credit-quality ratings are obtained from Barclays and are generally from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.10% for Investor Shares and 0.05% for Institutional Shares.
9
Total Bond Market II Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 26, 2009, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Since | Final Value | |||
One | Five | Inception | of a $10,000 | |
Year | Years | (1/26/2009) | Investment | |
Investor Shares | 5.93% | 4.26% | 4.65% | $13,092 |
••••••• Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.86 | 13,246 |
– – – – Spliced Core Bond Funds Average | 5.28 | 4.77 | 6.06 | 14,176 |
For a benchmark description, see the Glossary. |
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | |||
One | Five | Inception | of a $5,000,000 | |
Year | Years | (2/17/2009) | Investment | |
Total Bond Market II Index Fund Institutional | ||||
Shares | 5.99% | 4.32% | 4.66% | $6,533,004 |
Spliced Barclays U.S. Aggregate Float | ||||
Adjusted Index | 5.85 | 4.48 | 4.83 | 6,593,050 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standard. |
See Financial Highlights for dividend and capital gains information.
10
Total Bond Market II Index Fund
Fiscal-Year Total Returns (%): January 26, 2009, Through December 31, 2014 | ||||
Spliced | ||||
Barclays | ||||
Aggregate | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2009 | 3.68% | 2.60% | 6.28% | 6.39% |
2010 | 3.42 | 3.00 | 6.42 | 6.58 |
2011 | 3.11 | 4.48 | 7.59 | 7.92 |
2012 | 2.36 | 1.55 | 3.91 | 4.32 |
2013 | 2.00 | -4.26 | -2.26 | -1.97 |
2014 | 2.35 | 3.58 | 5.93 | 5.85 |
For a benchmark description, see the Glossary. |
11
Total Bond Market II Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (64.9%) | ||||
U.S. Government Securities (41.0%) | ||||
United States Treasury Note/Bond | 9.875% | 11/15/15 | 59,875 | 64,824 |
United States Treasury Note/Bond | 0.250% | 12/31/15 | 570,430 | 570,253 |
United States Treasury Note/Bond | 0.375% | 1/15/16 | 74,052 | 74,110 |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 2,115 | 2,152 |
United States Treasury Note/Bond | 0.375% | 2/15/16 | 406,825 | 406,890 |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 355,275 | 371,650 |
United States Treasury Note/Bond | 9.250% | 2/15/16 | 17,000 | 18,673 |
United States Treasury Note/Bond | 0.250% | 2/29/16 | 394,905 | 394,348 |
United States Treasury Note/Bond | 2.125% | 2/29/16 | 29,406 | 30,003 |
United States Treasury Note/Bond | 2.625% | 2/29/16 | 20,000 | 20,516 |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 336,750 | 336,750 |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 196,675 | 196,614 |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 44,900 | 45,995 |
United States Treasury Note/Bond | 0.375% | 4/30/16 | 206,300 | 206,203 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 20,000 | 20,409 |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 571,425 | 569,996 |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 155,850 | 165,761 |
United States Treasury Note/Bond | 7.250% | 5/15/16 | 48,425 | 52,859 |
United States Treasury Note/Bond | 0.375% | 5/31/16 | 177,439 | 177,301 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 153,425 | 156,182 |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 33,050 | 34,336 |
United States Treasury Note/Bond | 0.500% | 6/15/16 | 175,825 | 175,934 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 17,000 | 17,252 |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 151,700 | 151,961 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 9,768 | 9,916 |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 211,120 | 211,384 |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 37,875 | 40,520 |
United States Treasury Note/Bond | 0.500% | 8/31/16 | 29,050 | 29,027 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 144,200 | 145,237 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 84,375 | 87,776 |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 765,670 | 769,498 |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 185,775 | 185,513 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 91,350 | 92,007 |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 63,475 | 66,123 |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 196,400 | 196,431 |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 224,633 | 223,649 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 100,862 | 101,571 |
12
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 122,475 | 128,006 |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 756,525 | 756,404 |
United States Treasury Note/Bond | 0.500% | 11/30/16 | 138,442 | 138,096 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 125,208 | 125,736 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 249,165 | 258,937 |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 282,490 | 282,315 |
United States Treasury Note/Bond | 0.625% | 12/31/16 | 200,000 | 199,812 |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 135,000 | 135,485 |
United States Treasury Note/Bond | 3.250% | 12/31/16 | 86,325 | 90,641 |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 123,125 | 123,471 |
United States Treasury Note/Bond | 3.125% | 1/31/17 | 272,675 | 286,181 |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 638,125 | 636,428 |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 3,425 | 3,704 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 60,506 | 60,648 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 5,300 | 5,553 |
United States Treasury Note/Bond | 0.750% | 3/15/17 | 443,610 | 443,472 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 107,855 | 108,327 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 145,650 | 153,616 |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 247,650 | 247,960 |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 527,650 | 528,225 |
United States Treasury Note/Bond | 3.125% | 4/30/17 | 193,275 | 203,542 |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 380,790 | 380,908 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 146,125 | 158,614 |
United States Treasury Note/Bond | 8.750% | 5/15/17 | 56,644 | 67,141 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 115,260 | 114,612 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 163,671 | 171,087 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 325,675 | 325,473 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 182,760 | 182,018 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 91,625 | 95,204 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 174,113 | 173,868 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 350,560 | 346,508 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 207,707 | 215,236 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 154,395 | 153,984 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 45,000 | 49,401 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 56,325 | 67,837 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 236,400 | 234,074 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 101,700 | 104,020 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 183,500 | 183,557 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 52,945 | 52,358 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 77,200 | 78,961 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 404,214 | 402,573 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 6,315 | 6,263 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 25,000 | 25,578 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 160,573 | 159,770 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 3,865 | 4,212 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 77,325 | 76,298 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 250,000 | 249,452 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 50,000 | 49,461 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 127,495 | 126,439 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 2,575 | 2,688 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 41,055 | 43,980 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 96,295 | 94,956 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 82,680 | 81,414 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 94,700 | 92,777 |
United States Treasury Note/Bond | 2.625% | 4/30/18 | 26,125 | 27,309 |
13
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.875% | 5/15/18 | 25,200 | 27,389 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 11,300 | 14,242 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 294,450 | 291,553 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 33,300 | 34,512 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 92,400 | 92,574 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 177,475 | 183,908 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 70,000 | 70,055 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 94,450 | 97,475 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 17,700 | 19,404 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 162,425 | 163,161 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 250,300 | 249,987 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 196,905 | 195,613 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 147,280 | 149,145 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 202,750 | 220,872 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 632,325 | 627,583 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 92,530 | 92,313 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 212,625 | 211,728 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 231,225 | 231,551 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 110,775 | 109,702 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 115,750 | 115,786 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 135,365 | 142,388 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 226,300 | 224,992 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 444,130 | 444,201 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 34,900 | 34,884 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 184,530 | 185,279 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 18,000 | 17,789 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 281,784 | 282,663 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 58,125 | 61,958 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 146,175 | 143,548 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 357,000 | 356,107 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 187,175 | 182,584 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 349,741 | 350,559 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 199,261 | 193,034 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 376,000 | 376,470 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 271,150 | 295,681 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 1,215 | 1,570 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 196,000 | 190,610 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 274,348 | 274,518 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 25,253 | 24,551 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 246,086 | 247,393 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 261,250 | 259,536 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 10,000 | 9,697 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 358,862 | 356,450 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 52,315 | 50,999 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 348,000 | 347,401 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 90,400 | 89,100 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 5,018 | 6,703 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 15,300 | 14,968 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 158,750 | 153,938 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 134,995 | 147,186 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 110,615 | 108,471 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 136,470 | 137,301 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 98,220 | 102,501 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 21,755 | 29,876 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 111,975 | 113,847 |
14
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 68,000 | 68,638 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 142,575 | 141,839 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 80,500 | 83,971 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 278,475 | 280,694 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 134,345 | 138,229 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 149,525 | 151,605 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 35,000 | 38,527 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 22,550 | 30,442 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 233,050 | 234,507 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 316,923 | 323,359 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 164,880 | 168,151 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 63,845 | 68,464 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 160,475 | 161,127 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 353,285 | 357,316 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 147,750 | 150,544 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 276,860 | 279,889 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 34,550 | 47,960 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 243,880 | 244,414 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 173,798 | 175,590 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 220,795 | 221,175 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 251,291 | 251,997 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 9,450 | 13,135 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 172,514 | 171,408 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 200,000 | 201,844 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 115,300 | 115,463 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 25,000 | 24,558 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 25,000 | 24,289 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 75 | 103 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 113,976 | 110,467 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 150 | 212 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 179,625 | 178,756 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 25,675 | 35,452 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 262,500 | 255,363 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 368,810 | 380,394 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 31,045 | 41,324 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 293,215 | 308,427 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 289,774 | 304,761 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 464,891 | 478,619 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 202,739 | 206,382 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 436,443 | 439,511 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 26,650 | 39,375 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 58,750 | 84,876 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 1,750 | 2,398 |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 4,300 | 6,275 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 68,215 | 98,208 |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 39,650 | 57,864 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 11,850 | 17,127 |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 50,350 | 71,654 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 30,775 | 42,046 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 32,342 | 43,394 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 66,575 | 89,564 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 6,930 | 10,142 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 83,435 | 124,775 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 261,875 | 365,316 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 73,300 | 97,867 |
15
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 4.750% | 2/15/37 | 90,000 | 124,285 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 33,084 | 47,238 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 96,700 | 126,632 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 61,079 | 81,445 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 69,935 | 80,382 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 123,367 | 158,681 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 70,306 | 93,749 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 92,905 | 121,850 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 42,305 | 57,489 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 99,820 | 131,310 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 43,050 | 52,582 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 103,577 | 134,164 | |
† | United States Treasury Note/Bond | 4.750% | 2/15/41 | 130,092 | 181,884 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 34,535 | 45,824 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 1,230 | 1,328 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 31,242 | 33,649 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 475,438 | 475,514 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 574,130 | 573,860 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 61,409 | 65,957 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 127,200 | 130,141 | |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 304,652 | 358,441 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 170,106 | 204,552 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 130,994 | 154,225 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 115,990 | 130,634 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 307,029 | 330,439 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 128,500 | 134,985 | |
37,182,547 | |||||
Agency Bonds and Notes (3.3%) | |||||
1 | AID-Israel | 5.500% | 9/18/23 | 6,375 | 7,878 |
1 | AID-Israel | 5.500% | 12/4/23 | 6,502 | 8,022 |
1 | AID-Israel | 5.500% | 4/26/24 | 5,075 | 6,289 |
1 | AID-Jordan | 1.945% | 6/23/19 | 5,200 | 5,226 |
1 | AID-Jordan | 2.503% | 10/30/20 | 6,375 | 6,503 |
1 | AID-Tunisia | 2.452% | 7/24/21 | 2,300 | 2,349 |
1 | AID-Ukraine | 1.844% | 5/16/19 | 3,200 | 3,224 |
2 | Federal Agricultural Mortgage Corp. | 2.000% | 7/27/16 | 1,800 | 1,839 |
2 | Federal Farm Credit Banks | 1.050% | 3/28/16 | 2,000 | 2,016 |
2 | Federal Farm Credit Banks | 5.125% | 8/25/16 | 2,475 | 2,658 |
2 | Federal Farm Credit Banks | 4.875% | 1/17/17 | 7,100 | 7,692 |
2 | Federal Farm Credit Banks | 1.125% | 9/22/17 | 4,425 | 4,423 |
2 | Federal Farm Credit Banks | 1.125% | 12/18/17 | 12,000 | 11,989 |
2 | Federal Farm Credit Banks | 5.150% | 11/15/19 | 5,325 | 6,158 |
2 | Federal Farm Credit Banks | 3.500% | 12/20/23 | 5,000 | 5,416 |
2 | Federal Home Loan Banks | 0.375% | 2/19/16 | 45,300 | 45,311 |
2 | Federal Home Loan Banks | 3.125% | 3/11/16 | 13,525 | 13,961 |
2 | Federal Home Loan Banks | 5.375% | 5/18/16 | 18,800 | 20,064 |
2 | Federal Home Loan Banks | 2.125% | 6/10/16 | 25,400 | 25,983 |
2 | Federal Home Loan Banks | 5.625% | 6/13/16 | 825 | 886 |
2 | Federal Home Loan Banks | 0.375% | 6/24/16 | 25,000 | 24,950 |
2 | Federal Home Loan Banks | 0.500% | 9/28/16 | 82,300 | 82,140 |
2 | Federal Home Loan Banks | 5.125% | 10/19/16 | 8,125 | 8,770 |
2 | Federal Home Loan Banks | 0.625% | 11/23/16 | 25,000 | 24,973 |
2 | Federal Home Loan Banks | 4.750% | 12/16/16 | 10,505 | 11,325 |
2 | Federal Home Loan Banks | 0.625% | 12/28/16 | 9,900 | 9,885 |
2 | Federal Home Loan Banks | 4.875% | 5/17/17 | 10,500 | 11,478 |
16
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
2 Federal Home Loan Banks | 0.875% | 5/24/17 | 54,000 | 54,003 |
2 Federal Home Loan Banks | 1.000% | 6/21/17 | 7,450 | 7,468 |
2 Federal Home Loan Banks | 4.875% | 9/8/17 | 595 | 654 |
2 Federal Home Loan Banks | 5.000% | 11/17/17 | 30,695 | 34,078 |
2 Federal Home Loan Banks | 2.750% | 6/8/18 | 13,550 | 14,172 |
2 Federal Home Loan Banks | 5.375% | 8/15/18 | 5,250 | 5,985 |
2 Federal Home Loan Banks | 5.125% | 8/15/19 | 4,095 | 4,711 |
2 Federal Home Loan Banks | 1.875% | 3/13/20 | 3,425 | 3,431 |
2 Federal Home Loan Banks | 4.125% | 3/13/20 | 11,555 | 12,863 |
2 Federal Home Loan Banks | 3.375% | 6/12/20 | 15,200 | 16,362 |
2 Federal Home Loan Banks | 5.250% | 12/11/20 | 5,000 | 5,902 |
2 Federal Home Loan Banks | 2.250% | 6/11/21 | 30,000 | 30,210 |
2 Federal Home Loan Banks | 5.625% | 6/11/21 | 16,950 | 20,494 |
2 Federal Home Loan Banks | 2.125% | 3/10/23 | 37,600 | 36,944 |
2 Federal Home Loan Banks | 5.375% | 8/15/24 | 1,585 | 1,959 |
2 Federal Home Loan Banks | 5.500% | 7/15/36 | 14,475 | 19,845 |
3 Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 1,400 | 1,487 |
3 Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 20,000 | 20,027 |
3 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 29,725 | 30,567 |
3 Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 775 | 834 |
3 Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 31,545 | 32,277 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 83,000 | 83,356 |
3 Federal Home Loan Mortgage Corp. | 5.000% | 2/16/17 | 19,175 | 20,886 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 50,000 | 50,087 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 18,000 | 18,065 |
3 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 5,000 | 5,470 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 72,500 | 73,071 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 96,000 | 96,159 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 8,750 | 8,753 |
3 Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 11,550 | 12,900 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 98,125 | 97,978 |
3 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 5,950 | 6,625 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 13,375 | 13,202 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 20,900 | 20,666 |
3 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 8,805 | 9,858 |
3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 16,500 | 17,982 |
3 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 35,175 | 35,427 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 43,100 | 42,303 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 43,700 | 42,784 |
3 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 16,700 | 16,323 |
3 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 56,650 | 57,503 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,150 | 1,691 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 13,400 | 20,096 |
3 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 8,382 | 12,234 |
3 Federal National Mortgage Assn. | 5.000% | 3/15/16 | 12,025 | 12,686 |
3 Federal National Mortgage Assn. | 0.500% | 3/30/16 | 74,650 | 74,713 |
3 Federal National Mortgage Assn. | 2.375% | 4/11/16 | 22,775 | 23,337 |
3 Federal National Mortgage Assn. | 0.375% | 7/5/16 | 22,700 | 22,650 |
3 Federal National Mortgage Assn. | 0.625% | 8/26/16 | 50,000 | 50,027 |
3 Federal National Mortgage Assn. | 5.250% | 9/15/16 | 7,225 | 7,790 |
3 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 43,645 | 44,118 |
3 Federal National Mortgage Assn. | 1.375% | 11/15/16 | 31,470 | 31,880 |
3 Federal National Mortgage Assn. | 1.250% | 1/30/17 | 21,100 | 21,312 |
3 Federal National Mortgage Assn. | 5.000% | 2/13/17 | 50,225 | 54,691 |
3 Federal National Mortgage Assn. | 0.750% | 4/20/17 | 31,925 | 31,843 |
17
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
3 Federal National Mortgage Assn. | 1.125% | 4/27/17 | 56,300 | 56,638 |
3 Federal National Mortgage Assn. | 5.000% | 5/11/17 | 11,275 | 12,348 |
3 Federal National Mortgage Assn. | 5.375% | 6/12/17 | 2,800 | 3,098 |
3 Federal National Mortgage Assn. | 0.875% | 8/28/17 | 35,075 | 34,955 |
3 Federal National Mortgage Assn. | 1.000% | 9/27/17 | 20,100 | 20,081 |
3 Federal National Mortgage Assn. | 0.875% | 10/26/17 | 71,575 | 71,138 |
3 Federal National Mortgage Assn. | 0.875% | 12/20/17 | 71,025 | 70,466 |
3 Federal National Mortgage Assn. | 0.875% | 2/8/18 | 64,425 | 63,779 |
3 Federal National Mortgage Assn. | 0.875% | 5/21/18 | 47,380 | 46,691 |
3 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 117,975 | 119,970 |
3 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 41,640 | 41,875 |
3 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 83,000 | 83,971 |
3 Federal National Mortgage Assn. | 1.750% | 6/20/19 | 76,000 | 76,355 |
3 Federal National Mortgage Assn. | 1.750% | 9/12/19 | 67,575 | 67,662 |
3 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 6,640 | 5,987 |
3 Federal National Mortgage Assn. | 1.750% | 11/26/19 | 16,500 | 16,499 |
3 Federal National Mortgage Assn. | 2.625% | 9/6/24 | 40,000 | 40,598 |
3 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 5,550 | 7,754 |
3 Federal National Mortgage Assn. | 7.125% | 1/15/30 | 7,120 | 10,877 |
3 Federal National Mortgage Assn. | 7.250% | 5/15/30 | 28,925 | 44,811 |
3 Federal National Mortgage Assn. | 6.625% | 11/15/30 | 16,295 | 24,180 |
3 Federal National Mortgage Assn. | 5.625% | 7/15/37 | 2,721 | 3,823 |
2 Financing Corp. | 9.800% | 4/6/18 | 850 | 1,072 |
2 Financing Corp. | 10.350% | 8/3/18 | 100 | 130 |
2 Financing Corp. | 9.650% | 11/2/18 | 2,375 | 3,079 |
2 Financing Corp. | 9.700% | 4/5/19 | 425 | 564 |
Private Export Funding Corp. | 1.375% | 2/15/17 | 1,000 | 1,009 |
Private Export Funding Corp. | 2.250% | 12/15/17 | 1,775 | 1,825 |
Private Export Funding Corp. | 1.875% | 7/15/18 | 2,200 | 2,209 |
Private Export Funding Corp. | 4.375% | 3/15/19 | 6,867 | 7,525 |
Private Export Funding Corp. | 1.450% | 8/15/19 | 7,575 | 7,369 |
Private Export Funding Corp. | 2.250% | 3/15/20 | 6,900 | 6,966 |
Private Export Funding Corp. | 4.300% | 12/15/21 | 7,760 | 8,661 |
Private Export Funding Corp. | 2.800% | 5/15/22 | 1,125 | 1,141 |
Private Export Funding Corp. | 2.050% | 11/15/22 | 15,350 | 14,742 |
Private Export Funding Corp. | 3.550% | 1/15/24 | 16,350 | 17,362 |
Private Export Funding Corp. | 2.450% | 7/15/24 | 4,750 | 4,619 |
Resolution Funding Corp. | 8.125% | 10/15/19 | 100 | 129 |
Resolution Funding Corp. | 8.875% | 7/15/20 | 100 | 135 |
2 Tennessee Valley Authority | 5.500% | 7/18/17 | 6,400 | 7,107 |
2 Tennessee Valley Authority | 4.500% | 4/1/18 | 6,425 | 7,084 |
2 Tennessee Valley Authority | 1.750% | 10/15/18 | 9,500 | 9,564 |
2 Tennessee Valley Authority | 3.875% | 2/15/21 | 5,170 | 5,718 |
2 Tennessee Valley Authority | 1.875% | 8/15/22 | 3,750 | 3,641 |
2 Tennessee Valley Authority | 2.875% | 9/15/24 | 15,000 | 15,273 |
2 Tennessee Valley Authority | 6.750% | 11/1/25 | 550 | 750 |
2 Tennessee Valley Authority | 7.125% | 5/1/30 | 8,975 | 13,313 |
2 Tennessee Valley Authority | 4.650% | 6/15/35 | 3,425 | 4,074 |
2 Tennessee Valley Authority | 5.880% | 4/1/36 | 4,265 | 5,823 |
2 Tennessee Valley Authority | 5.500% | 6/15/38 | 850 | 1,125 |
2 Tennessee Valley Authority | 5.250% | 9/15/39 | 3,150 | 4,056 |
2 Tennessee Valley Authority | 3.500% | 12/15/42 | 5,500 | 5,460 |
2 Tennessee Valley Authority | 4.875% | 1/15/48 | 14,075 | 16,815 |
2 Tennessee Valley Authority | 5.375% | 4/1/56 | 2,770 | 3,618 |
2 Tennessee Valley Authority | 4.625% | 9/15/60 | 3,365 | 3,819 |
2,963,480 |
18
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Conventional Mortgage-Backed Securities (20.2%) | |||||
3,4 | Fannie Mae Pool | 2.000% | 8/1/28–10/1/28 | 54,518 | 54,418 |
3,4,5 Fannie Mae Pool | 2.500% | 3/1/27–2/1/43 | 471,250 | 479,775 | |
3,4,5 Fannie Mae Pool | 3.000% | 11/1/20–1/1/45 | 1,415,081 | 1,450,857 | |
3,4,5 Fannie Mae Pool | 3.500% | 9/1/25–1/1/45 | 1,564,727 | 1,640,531 | |
3,4,5 Fannie Mae Pool | 4.000% | 6/1/18–1/1/45 | 1,476,778 | 1,579,829 | |
3,4,5 Fannie Mae Pool | 4.500% | 1/1/15–1/1/45 | 1,015,337 | 1,102,942 | |
3,4,5 Fannie Mae Pool | 5.000% | 3/1/17–1/1/45 | 597,890 | 660,249 | |
3,4,5 Fannie Mae Pool | 5.500% | 7/1/15–1/1/45 | 465,530 | 520,972 | |
3,4,5 Fannie Mae Pool | 6.000% | 4/1/16–1/1/45 | 304,195 | 345,316 | |
3,4 | Fannie Mae Pool | 6.500% | 4/1/16–5/1/40 | 95,800 | 109,259 |
3,4 | Fannie Mae Pool | 7.000% | 11/1/18–12/1/38 | 28,798 | 32,881 |
3,4 | Fannie Mae Pool | 7.500% | 7/1/30–12/1/32 | 254 | 290 |
3,4 | Fannie Mae Pool | 8.000% | 12/1/29 | 30 | 35 |
3,4 | Freddie Mac Gold Pool | 2.000% | 7/1/28–8/1/28 | 27,625 | 27,652 |
3,4,5 Freddie Mac Gold Pool | 2.500% | 5/1/28–3/1/43 | 365,026 | 370,839 | |
3,4,5 Freddie Mac Gold Pool | 3.000% | 11/1/26–1/1/45 | 709,736 | 727,615 | |
3,4,5 Freddie Mac Gold Pool | 3.500% | 9/1/25–1/1/45 | 919,797 | 961,754 | |
3,4,5 Freddie Mac Gold Pool | 4.000% | 3/1/18–1/1/45 | 919,145 | 981,508 | |
3,4,5 Freddie Mac Gold Pool | 4.500% | 3/1/15–1/1/45 | 615,751 | 667,517 | |
3,4 | Freddie Mac Gold Pool | 5.000% | 4/1/17–8/1/44 | 370,122 | 408,171 |
3,4 | Freddie Mac Gold Pool | 5.500% | 3/1/16–6/1/41 | 271,643 | 304,178 |
3,4 | Freddie Mac Gold Pool | 6.000% | 2/1/16–5/1/40 | 171,183 | 194,358 |
3,4 | Freddie Mac Gold Pool | 6.500% | 1/1/16–9/1/39 | 43,471 | 49,584 |
3,4 | Freddie Mac Gold Pool | 7.000% | 6/1/15–12/1/38 | 14,768 | 16,881 |
3,4 | Freddie Mac Gold Pool | 7.500% | 4/1/27–2/1/32 | 154 | 177 |
3,4 | Freddie Mac Gold Pool | 8.000% | 1/1/27–11/1/31 | 199 | 230 |
3,4 | Freddie Mac Gold Pool | 8.500% | 6/1/25 | 35 | 40 |
4 | Ginnie Mae I Pool | 3.000% | 1/15/26–11/15/44 | 140,304 | 144,140 |
4,5 | Ginnie Mae I Pool | 3.500% | 11/15/25–1/1/45 | 162,554 | 171,147 |
4,5 | Ginnie Mae I Pool | 4.000% | 8/15/18–1/1/45 | 273,559 | 293,938 |
4,5 | Ginnie Mae I Pool | 4.500% | 6/15/18–1/1/45 | 336,539 | 368,588 |
4 | Ginnie Mae I Pool | 5.000% | 12/15/17–1/1/45 | 205,465 | 227,018 |
4 | Ginnie Mae I Pool | 5.500% | 4/15/17–9/1/44 | 97,084 | 108,971 |
4 | Ginnie Mae I Pool | 6.000% | 4/15/17–6/15/41 | 66,097 | 74,994 |
4 | Ginnie Mae I Pool | 6.500% | 5/15/24–8/15/39 | 21,391 | 24,405 |
4 | Ginnie Mae I Pool | 7.000% | 7/15/23–9/15/36 | 1,216 | 1,384 |
4 | Ginnie Mae I Pool | 7.500% | 12/15/23 | 32 | 37 |
4 | Ginnie Mae I Pool | 8.000% | 6/15/25–1/15/27 | 77 | 89 |
4 | Ginnie Mae I Pool | 9.000% | 11/15/17–12/15/17 | 37 | 39 |
4 | Ginnie Mae II Pool | 2.500% | 2/20/28–6/20/28 | 19,011 | 19,590 |
4,5 | Ginnie Mae II Pool | 3.000% | 10/20/26–1/1/45 | 648,896 | 665,835 |
4,5 | Ginnie Mae II Pool | 3.500% | 9/20/25–1/1/45 | 1,192,717 | 1,253,257 |
4,5 | Ginnie Mae II Pool | 4.000% | 9/20/25–1/1/45 | 943,354 | 1,011,646 |
4,5 | Ginnie Mae II Pool | 4.500% | 8/20/33–1/1/45 | 669,830 | 734,041 |
4 | Ginnie Mae II Pool | 5.000% | 3/20/18–4/20/44 | 318,154 | 351,632 |
4 | Ginnie Mae II Pool | 5.500% | 8/20/23–7/20/43 | 102,331 | 113,464 |
4 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 41,693 | 47,264 |
4 | Ginnie Mae II Pool | 6.500% | 10/20/28–11/20/39 | 15,445 | 17,597 |
4 | Ginnie Mae II Pool | 7.000% | 8/20/34–11/20/38 | 2,922 | 3,310 |
18,320,244 | |||||
Nonconventional Mortgage-Backed Securities (0.4%) | |||||
3,4,6 Fannie Mae Pool | 1.467% | 4/1/37 | 1,235 | 1,286 | |
3,4,6 Fannie Mae Pool | 1.817% | 9/1/37 | 1,870 | 2,011 | |
3,4,6 Fannie Mae Pool | 2.080% | 8/1/35 | 748 | 798 |
19
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4,6 Fannie Mae Pool | 2.106% | 11/1/36 | 418 | 445 | |
3,4 | Fannie Mae Pool | 2.109% | 3/1/43 | 6,584 | 6,741 |
3,4,6 Fannie Mae Pool | 2.165% | 6/1/36 | 16 | 17 | |
3,4,6 Fannie Mae Pool | 2.188% | 7/1/35 | 633 | 665 | |
3,4,6 Fannie Mae Pool | 2.191% | 10/1/39 | 809 | 834 | |
3,4 | Fannie Mae Pool | 2.193% | 6/1/43 | 6,184 | 6,342 |
3,4 | Fannie Mae Pool | 2.194% | 12/1/41 | 3,690 | 3,810 |
3,4,6 Fannie Mae Pool | 2.195% | 7/1/39–6/1/42 | 12,414 | 12,927 | |
3,4 | Fannie Mae Pool | 2.202% | 9/1/42 | 4,999 | 5,191 |
3,4,6 Fannie Mae Pool | 2.206% | 12/1/33 | 295 | 313 | |
3,4,6 Fannie Mae Pool | 2.224% | 8/1/37 | 853 | 903 | |
3,4,6 Fannie Mae Pool | 2.228% | 2/1/36 | 693 | 707 | |
3,4 | Fannie Mae Pool | 2.232% | 10/1/42 | 4,370 | 4,440 |
3,4,6 Fannie Mae Pool | 2.235% | 6/1/37 | 488 | 517 | |
3,4,6 Fannie Mae Pool | 2.248% | 9/1/34 | 359 | 379 | |
3,4,6 Fannie Mae Pool | 2.262% | 11/1/33 | 211 | 225 | |
3,4 | Fannie Mae Pool | 2.265% | 7/1/43 | 7,459 | 7,476 |
3,4,6 Fannie Mae Pool | 2.304% | 11/1/39 | 509 | 525 | |
3,4,6 Fannie Mae Pool | 2.325% | 7/1/37 | 245 | 254 | |
3,4,6 Fannie Mae Pool | 2.337% | 4/1/36 | 268 | 285 | |
3,4,6 Fannie Mae Pool | 2.356% | 5/1/35 | 783 | 826 | |
3,4,6 Fannie Mae Pool | 2.374% | 2/1/36 | 751 | 803 | |
3,4,6 Fannie Mae Pool | 2.392% | 1/1/37 | 825 | 892 | |
3,4,6 Fannie Mae Pool | 2.393% | 12/1/35 | 609 | 648 | |
3,4 | Fannie Mae Pool | 2.402% | 5/1/42 | 8,661 | 8,772 |
3,4 | Fannie Mae Pool | 2.407% | 7/1/42 | 5,830 | 6,013 |
3,4,6 Fannie Mae Pool | 2.419% | 11/1/34 | 998 | 1,044 | |
3,4,6 Fannie Mae Pool | 2.428% | 11/1/39 | 742 | 765 | |
3,4,6 Fannie Mae Pool | 2.435% | 11/1/33 | 534 | 579 | |
3,4,6 Fannie Mae Pool | 2.438% | 1/1/35 | 918 | 987 | |
3,4 | Fannie Mae Pool | 2.443% | 5/1/43 | 12,089 | 12,512 |
3,4 | Fannie Mae Pool | 2.449% | 10/1/42 | 5,039 | 5,194 |
3,4 | Fannie Mae Pool | 2.464% | 9/1/43 | 1,084 | 1,112 |
3,4 | Fannie Mae Pool | 2.493% | 10/1/40 | 2,245 | 2,374 |
3,4 | Fannie Mae Pool | 2.506% | 12/1/40 | 1,865 | 1,972 |
3,4,6 Fannie Mae Pool | 2.551% | 7/1/42 | 2,657 | 2,794 | |
3,4,6 Fannie Mae Pool | 2.590% | 4/1/37 | 31 | 33 | |
3,4 | Fannie Mae Pool | 2.604% | 12/1/41 | 3,491 | 3,614 |
3,4 | Fannie Mae Pool | 2.624% | 11/1/41 | 3,324 | 3,515 |
3,4 | Fannie Mae Pool | 2.673% | 1/1/42 | 3,617 | 3,827 |
3,4,6 Fannie Mae Pool | 2.691% | 10/1/36 | 531 | 578 | |
3,4 | Fannie Mae Pool | 2.743% | 12/1/43 | 10,486 | 10,851 |
3,4 | Fannie Mae Pool | 2.767% | 3/1/41 | 2,526 | 2,702 |
3,4 | Fannie Mae Pool | 2.775% | 3/1/42 | 5,818 | 5,992 |
3,4 | Fannie Mae Pool | 2.793% | 1/1/42 | 4,175 | 4,371 |
3,4 | Fannie Mae Pool | 2.810% | 11/1/41 | 3,192 | 3,381 |
3,4,6 Fannie Mae Pool | 2.846% | 5/1/42 | 1,775 | 1,850 | |
3,4 | Fannie Mae Pool | 2.911% | 12/1/40 | 1,879 | 1,972 |
3,4 | Fannie Mae Pool | 2.971% | 3/1/42 | 3,944 | 4,085 |
3,4 | Fannie Mae Pool | 2.993% | 9/1/43 | 7,588 | 7,843 |
3,4 | Fannie Mae Pool | 3.050% | 2/1/42 | 3,680 | 3,804 |
3,4 | Fannie Mae Pool | 3.060% | 2/1/41–3/1/41 | 2,301 | 2,417 |
3,4 | Fannie Mae Pool | 3.065% | 3/1/41 | 3,000 | 3,165 |
3,4 | Fannie Mae Pool | 3.128% | 2/1/41 | 3,495 | 3,632 |
3,4 | Fannie Mae Pool | 3.137% | 2/1/42 | 10,162 | 10,898 |
20
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae Pool | 3.163% | 12/1/40 | 1,747 | 1,849 |
3,4 | Fannie Mae Pool | 3.218% | 9/1/40 | 1,692 | 1,786 |
3,4 | Fannie Mae Pool | 3.228% | 12/1/40 | 2,202 | 2,325 |
3,4 | Fannie Mae Pool | 3.230% | 8/1/40 | 1,897 | 1,982 |
3,4,6 Fannie Mae Pool | 3.241% | 1/1/40 | 893 | 922 | |
3,4 | Fannie Mae Pool | 3.251% | 10/1/40 | 2,388 | 2,505 |
3,4 | Fannie Mae Pool | 3.265% | 5/1/41 | 2,704 | 2,871 |
3,4 | Fannie Mae Pool | 3.318% | 11/1/40 | 1,638 | 1,724 |
3,4 | Fannie Mae Pool | 3.331% | 8/1/42 | 4,231 | 4,373 |
3,4 | Fannie Mae Pool | 3.431% | 5/1/40 | 852 | 886 |
3,4 | Fannie Mae Pool | 3.489% | 5/1/40 | 501 | 529 |
3,4 | Fannie Mae Pool | 3.534% | 6/1/41 | 759 | 803 |
3,4 | Fannie Mae Pool | 3.542% | 7/1/41 | 4,580 | 4,695 |
3,4 | Fannie Mae Pool | 3.580% | 8/1/39 | 990 | 1,047 |
3,4 | Fannie Mae Pool | 3.623% | 4/1/41 | 2,217 | 2,334 |
3,4 | Fannie Mae Pool | 3.735% | 6/1/41 | 3,053 | 3,240 |
3,4 | Fannie Mae Pool | 3.808% | 9/1/40 | 3,113 | 3,280 |
3,4 | Fannie Mae Pool | 4.259% | 12/1/39 | 2,367 | 2,422 |
3,4 | Fannie Mae Pool | 4.555% | 7/1/38 | 125 | 131 |
3,4 | Fannie Mae Pool | 5.102% | 3/1/38 | 1,192 | 1,251 |
3,4,6 Fannie Mae Pool | 5.146% | 11/1/39 | 1,386 | 1,466 | |
3,4,6 Fannie Mae Pool | 5.153% | 8/1/39 | 3,069 | 3,210 | |
3,4 | Fannie Mae Pool | 5.259% | 7/1/38 | 144 | 151 |
3,4 | Fannie Mae Pool | 5.278% | 7/1/36 | 445 | 456 |
3,4 | Fannie Mae Pool | 5.555% | 5/1/36 | 232 | 244 |
3,4 | Fannie Mae Pool | 5.568% | 4/1/37 | 842 | 900 |
3,4 | Fannie Mae Pool | 5.762% | 10/1/37 | 570 | 606 |
3,4 | Fannie Mae Pool | 5.784% | 12/1/37 | 1,166 | 1,251 |
3,4 | Fannie Mae Pool | 6.150% | 10/1/37 | 1,712 | 1,779 |
3,4,6 Freddie Mac Non Gold Pool | 1.485% | 10/1/37 | 23 | 23 | |
3,4,6 Freddie Mac Non Gold Pool | 1.730% | 6/1/37 | 531 | 546 | |
3,4,6 Freddie Mac Non Gold Pool | 1.949% | 3/1/37 | 44 | 47 | |
3,4,6 Freddie Mac Non Gold Pool | 2.040% | 1/1/37 | 780 | 826 | |
3,4,6 Freddie Mac Non Gold Pool | 2.160% | 10/1/37 | 983 | 1,036 | |
3,4,6 Freddie Mac Non Gold Pool | 2.165% | 7/1/35 | 393 | 416 | |
3,4,6 Freddie Mac Non Gold Pool | 2.195% | 3/1/37 | 41 | 43 | |
3,4,6 Freddie Mac Non Gold Pool | 2.258% | 12/1/36 | 304 | 319 | |
3,4,6 Freddie Mac Non Gold Pool | 2.259% | 3/1/37 | 201 | 211 | |
3,4,6 Freddie Mac Non Gold Pool | 2.276% | 12/1/34 | 600 | 643 | |
3,4,6 Freddie Mac Non Gold Pool | 2.320% | 2/1/37 | 181 | 189 | |
3,4 | Freddie Mac Non Gold Pool | 2.323% | 5/1/42 | 984 | 1,011 |
3,4,6 Freddie Mac Non Gold Pool | 2.333% | 4/1/35 | 38 | 40 | |
3,4,6 Freddie Mac Non Gold Pool | 2.344% | 12/1/36 | 746 | 802 | |
3,4,6 Freddie Mac Non Gold Pool | 2.351% | 6/1/37 | 777 | 834 | |
3,4,6 Freddie Mac Non Gold Pool | 2.352% | 1/1/35 | 104 | 113 | |
3,4,6 Freddie Mac Non Gold Pool | 2.375% | 11/1/34–11/1/36 | 1,644 | 1,726 | |
3,4,6 Freddie Mac Non Gold Pool | 2.383% | 12/1/35 | 472 | 501 | |
3,4,6 Freddie Mac Non Gold Pool | 2.430% | 1/1/37 | 281 | 297 | |
3,4,6 Freddie Mac Non Gold Pool | 2.486% | 6/1/37 | 546 | 569 | |
3,4 | Freddie Mac Non Gold Pool | 2.573% | 2/1/42 | 1,765 | 1,859 |
3,4,6 Freddie Mac Non Gold Pool | 2.604% | 3/1/37 | 62 | 62 | |
3,4 | Freddie Mac Non Gold Pool | 2.612% | 11/1/43 | 6,034 | 6,230 |
3,4,6 Freddie Mac Non Gold Pool | 2.620% | 3/1/37 | 512 | 537 | |
3,4 | Freddie Mac Non Gold Pool | 2.639% | 12/1/40 | 2,058 | 2,136 |
3,4 | Freddie Mac Non Gold Pool | 2.652% | 11/1/40 | 857 | 885 |
21
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Freddie Mac Non Gold Pool | 2.722% | 12/1/40 | 4,239 | 4,390 |
3,4,6 Freddie Mac Non Gold Pool | 2.740% | 10/1/36 | 770 | 824 | |
3,4 | Freddie Mac Non Gold Pool | 2.742% | 2/1/42 | 3,687 | 3,892 |
3,4 | Freddie Mac Non Gold Pool | 2.781% | 1/1/41 | 3,361 | 3,516 |
3,4 | Freddie Mac Non Gold Pool | 2.866% | 2/1/41 | 3,130 | 3,340 |
3,4 | Freddie Mac Non Gold Pool | 2.917% | 12/1/41 | 3,720 | 3,871 |
3,4 | Freddie Mac Non Gold Pool | 2.962% | 2/1/41 | 1,299 | 1,388 |
3,4 | Freddie Mac Non Gold Pool | 3.096% | 6/1/41 | 1,067 | 1,129 |
3,4 | Freddie Mac Non Gold Pool | 3.105% | 3/1/41 | 1,023 | 1,092 |
3,4 | Freddie Mac Non Gold Pool | 3.132% | 1/1/41 | 770 | 811 |
3,4 | Freddie Mac Non Gold Pool | 3.151% | 11/1/40 | 2,350 | 2,419 |
3,4 | Freddie Mac Non Gold Pool | 3.238% | 6/1/40 | 942 | 966 |
3,4 | Freddie Mac Non Gold Pool | 3.350% | 5/1/40 | 618 | 656 |
3,4 | Freddie Mac Non Gold Pool | 3.420% | 3/1/42 | 4,274 | 4,427 |
3,4 | Freddie Mac Non Gold Pool | 3.451% | 5/1/40 | 548 | 579 |
3,4 | Freddie Mac Non Gold Pool | 3.586% | 6/1/40 | 3,281 | 3,460 |
3,4 | Freddie Mac Non Gold Pool | 3.614% | 6/1/40 | 1,180 | 1,249 |
3,4 | Freddie Mac Non Gold Pool | 3.676% | 9/1/40 | 3,570 | 3,770 |
3,4 | Freddie Mac Non Gold Pool | 4.387% | 5/1/38 | 147 | 160 |
3,4 | Freddie Mac Non Gold Pool | 5.028% | 7/1/38 | 523 | 530 |
3,4 | Freddie Mac Non Gold Pool | 5.280% | 3/1/38 | 770 | 823 |
3,4 | Freddie Mac Non Gold Pool | 5.447% | 1/1/38 | 368 | 379 |
3,4 | Freddie Mac Non Gold Pool | 5.484% | 2/1/36 | 295 | 309 |
3,4 | Freddie Mac Non Gold Pool | 5.784% | 9/1/37 | 401 | 420 |
3,4 | Freddie Mac Non Gold Pool | 5.809% | 5/1/37 | 2,270 | 2,376 |
3,4 | Freddie Mac Non Gold Pool | 6.058% | 12/1/36 | 522 | 538 |
3,4 | Freddie Mac Non Gold Pool | 6.215% | 8/1/37 | 242 | 260 |
4,6 | Ginnie Mae II Pool | 1.625% | 6/20/29 | 38 | 39 |
4,6 | Ginnie Mae II Pool | 2.000% | 4/20/41–6/20/43 | 25,475 | 26,273 |
4,6 | Ginnie Mae II Pool | 2.125% | 5/20/41 | 1,061 | 1,131 |
4,6 | Ginnie Mae II Pool | 2.500% | 10/20/39–5/20/43 | 31,632 | 32,580 |
4 | Ginnie Mae II Pool | 3.000% | 11/20/40–11/20/41 | 13,365 | 14,088 |
4 | Ginnie Mae II Pool | 3.500% | 1/20/41–12/20/43 | 23,418 | 24,610 |
4,6 | Ginnie Mae II Pool | 4.000% | 10/20/38–10/20/41 | 7,940 | 8,323 |
4 | Ginnie Mae II Pool | 5.000% | 7/20/38 | 150 | 153 |
410,598 | |||||
Total U.S. Government and Agency Obligations (Cost $57,806,242) | 58,876,869 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.9%) | |||||
4 | AEP Texas Central Transition Funding II | ||||
LLC 2006-A | 5.170% | 1/1/18 | 1,992 | 2,129 | |
4 | Ally Auto Receivables Trust 2011-2 | 1.980% | 4/15/16 | 562 | 569 |
4 | Ally Auto Receivables Trust 2011-4 | 1.140% | 6/15/16 | 655 | 655 |
4 | Ally Auto Receivables Trust 2012-5 | 0.850% | 1/16/18 | 3,305 | 3,304 |
4 | Ally Auto Receivables Trust 2013-2 | 0.790% | 1/15/18 | 1,100 | 1,101 |
4 | Ally Auto Receivables Trust 2013-2 | 1.240% | 11/15/18 | 700 | 701 |
4 | Ally Auto Receivables Trust 2014-1 | 0.970% | 10/15/18 | 2,700 | 2,700 |
4 | Ally Auto Receivables Trust 2014-1 | 1.530% | 4/15/19 | 1,150 | 1,151 |
4 | Ally Auto Receivables Trust 2014-3 | 1.280% | 6/17/19 | 3,350 | 3,344 |
4 | Ally Auto Receivables Trust 2014-3 | 1.720% | 3/16/20 | 1,325 | 1,322 |
4 | Ally Auto Receivables Trust 2014-SN1 | 0.750% | 2/21/17 | 2,250 | 2,231 |
4 | Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 1,500 | 1,494 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.030% | 9/20/17 | 2,600 | 2,589 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 1,850 | 1,842 |
4 | Ally Master Owner Trust Series 2014-4 | 1.430% | 6/17/19 | 3,800 | 3,792 |
22
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 American Express Credit Account Secured Note | ||||
Trust 2013-3 | 0.980% | 5/15/19 | 1,000 | 998 |
4 American Express Credit Account Secured Note | ||||
Trust 2014-3 | 1.490% | 4/15/20 | 5,750 | 5,767 |
4 American Express Credit Account Secured Note | ||||
Trust 2014-4 | 1.430% | 6/15/20 | 3,025 | 3,023 |
4 AmeriCredit Automobile Receivables Trust 2013-1 | 0.610% | 10/10/17 | 817 | 816 |
4 AmeriCredit Automobile Receivables Trust 2013-2 | 0.650% | 12/8/17 | 719 | 719 |
4 AmeriCredit Automobile Receivables Trust 2013-3 | 0.920% | 4/9/18 | 1,635 | 1,637 |
4 AmeriCredit Automobile Receivables Trust 2013-4 | 0.960% | 4/9/18 | 620 | 621 |
4 AmeriCredit Automobile Receivables Trust 2013-5 | 0.900% | 9/10/18 | 800 | 800 |
4 AmeriCredit Automobile Receivables Trust 2013-5 | 1.520% | 1/8/19 | 400 | 400 |
4 AmeriCredit Automobile Receivables Trust 2014-1 | 0.900% | 2/8/19 | 550 | 549 |
4 AmeriCredit Automobile Receivables Trust 2014-1 | 1.680% | 7/8/19 | 375 | 374 |
4 AmeriCredit Automobile Receivables Trust 2014-2 | 0.940% | 2/8/19 | 1,150 | 1,150 |
4 AmeriCredit Automobile Receivables Trust 2014-3 | 1.150% | 6/10/19 | 1,925 | 1,922 |
4 BA Credit Card Trust 2007-A1 | 5.170% | 6/15/19 | 900 | 971 |
4 Banc of America Commercial Mortgage | ||||
Trust 2005-2 | 4.857% | 7/10/43 | 240 | 241 |
4 Banc of America Commercial Mortgage | ||||
Trust 2005-5 | 5.115% | 10/10/45 | 5,184 | 5,250 |
4 Banc of America Commercial Mortgage | ||||
Trust 2005-6 | 5.152% | 9/10/47 | 2,623 | 2,706 |
4 Banc of America Commercial Mortgage | ||||
Trust 2005-6 | 5.152% | 9/10/47 | 1,500 | 1,543 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-1 | 5.372% | 9/10/45 | 9,560 | 9,811 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-1 | 5.421% | 9/10/45 | 247 | 257 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-2 | 5.728% | 5/10/45 | 7,595 | 7,894 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-2 | 5.763% | 5/10/45 | 1,380 | 1,444 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-3 | 5.889% | 7/10/44 | 373 | 393 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-4 | 5.634% | 7/10/46 | 16,686 | 17,600 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.414% | 9/10/47 | 5,210 | 5,463 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.448% | 9/10/47 | 890 | 932 |
4 Banc of America Commercial Mortgage | ||||
Trust 2007-2 | 5.612% | 4/10/49 | 1,399 | 1,497 |
4 Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.245% | 2/10/51 | 10,494 | 11,601 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2004-PWR6 | 4.868% | 11/11/41 | 12 | 12 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2005-PWR10 | 5.405% | 12/11/40 | 4,775 | 4,889 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2005-PWR8 | 4.750% | 6/11/41 | 2,080 | 2,097 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2005-TOP18 | 4.933% | 2/13/42 | 348 | 349 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2005-TOP20 | 5.129% | 10/12/42 | 5,586 | 5,667 |
23
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR11 | 5.435% | 3/11/39 | 11,238 | 11,627 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR12 | 5.704% | 9/11/38 | 1,760 | 1,844 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR12 | 5.743% | 9/11/38 | 2,225 | 2,336 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR13 | 5.582% | 9/11/41 | 1,125 | 1,195 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-TOP22 | 5.575% | 4/12/38 | 9,224 | 9,562 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-TOP22 | 5.575% | 4/12/38 | 1,700 | 1,787 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-TOP24 | 5.568% | 10/12/41 | 3,675 | 3,909 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR16 | 5.655% | 6/11/40 | 690 | 696 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR16 | 5.707% | 6/11/40 | 3,600 | 3,929 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR17 | 5.694% | 6/11/50 | 14,821 | 16,088 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR17 | 5.896% | 6/11/50 | 4,095 | 4,492 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR18 | 5.700% | 6/11/50 | 6,825 | 7,426 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP26 | 5.471% | 1/12/45 | 3,052 | 3,271 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP26 | 5.513% | 1/12/45 | 2,475 | 2,659 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP28 | 5.742% | 9/11/42 | 8,350 | 9,122 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP28 | 5.793% | 9/11/42 | 829 | 831 |
4 BMW Vehicle Owner Trust 2014-A | 0.970% | 11/26/18 | 3,425 | 3,423 |
4 BMW Vehicle Owner Trust 2014-A | 1.500% | 2/25/21 | 2,275 | 2,276 |
4 Capital Auto Receivables Asset Trust 2013-1 | 0.790% | 6/20/17 | 2,058 | 2,061 |
4 Capital Auto Receivables Asset Trust 2013-3 | 1.040% | 11/21/16 | 2,230 | 2,233 |
4 Capital Auto Receivables Asset Trust 2013-3 | 1.310% | 12/20/17 | 2,233 | 2,243 |
4 Capital Auto Receivables Asset Trust 2013-3 | 1.680% | 4/20/18 | 1,340 | 1,347 |
4 Capital Auto Receivables Asset Trust 2013-4 | 1.090% | 3/20/18 | 1,850 | 1,849 |
4 Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 700 | 701 |
4 Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 700 | 704 |
4 Capital Auto Receivables Asset Trust 2014-1 | 1.320% | 6/20/18 | 4,355 | 4,370 |
4 Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 1,090 | 1,093 |
4 Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 1,116 | 1,122 |
4 Capital Auto Receivables Asset Trust 2014-2 | 0.910% | 4/20/17 | 1,700 | 1,700 |
4 Capital Auto Receivables Asset Trust 2014-2 | 1.260% | 5/21/18 | 975 | 975 |
4 Capital Auto Receivables Asset Trust 2014-2 | 1.620% | 10/22/18 | 775 | 776 |
4 Capital Auto Receivables Asset Trust 2014-3 | 1.480% | 11/20/18 | 1,350 | 1,349 |
4 Capital Auto Receivables Asset Trust 2014-3 | 1.830% | 4/22/19 | 975 | 975 |
4 Capital One Multi-asset Execution Trust 2006-A3 | 5.050% | 12/17/18 | 12,975 | 13,563 |
4 Capital One Multi-asset Execution Trust 2007-A7 | 5.750% | 7/15/20 | 7,190 | 7,980 |
4 Capital One Multi-Asset Execution Trust 2014-A2 | 1.260% | 1/15/20 | 1,325 | 1,327 |
4 Capital One Multi-Asset Execution Trust 2014-A5 | 1.480% | 7/15/20 | 4,700 | 4,711 |
4 CarMax Auto Owner Trust 2012-3 | 0.790% | 4/16/18 | 1,320 | 1,317 |
4 CarMax Auto Owner Trust 2013-2 | 0.640% | 1/16/18 | 1,917 | 1,918 |
24
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Carmax Auto Owner Trust 2013-2 | 0.840% | 11/15/18 | 799 | 793 |
4 Carmax Auto Owner Trust 2013-3 | 0.970% | 4/16/18 | 2,240 | 2,248 |
4 Carmax Auto Owner Trust 2013-3 | 1.490% | 1/15/19 | 1,210 | 1,217 |
4 Carmax Auto Owner Trust 2013-4 | 0.800% | 7/16/18 | 900 | 899 |
4 Carmax Auto Owner Trust 2013-4 | 1.280% | 5/15/19 | 375 | 375 |
4 Carmax Auto Owner Trust 2014-1 | 0.790% | 10/15/18 | 1,105 | 1,101 |
4 Carmax Auto Owner Trust 2014-1 | 1.320% | 7/15/19 | 735 | 732 |
4 Carmax Auto Owner Trust 2014-2 | 0.980% | 1/15/19 | 2,000 | 1,996 |
4 Carmax Auto Owner Trust 2014-2 | 1.610% | 10/15/19 | 1,000 | 999 |
4 Carmax Auto Owner Trust 2014-3 | 1.160% | 6/17/19 | 2,300 | 2,299 |
4 Carmax Auto Owner Trust 2014-3 | 1.730% | 2/18/20 | 1,150 | 1,151 |
4 Carmax Auto Owner Trust 2014-4 | 1.250% | 11/15/19 | 4,150 | 4,142 |
4 CD 2005-CD1 Commercial Mortgage Trust | 5.226% | 7/15/44 | 7,207 | 7,330 |
4 CD 2005-CD1 Commercial Mortgage Trust | 5.226% | 7/15/44 | 2,620 | 2,688 |
4 CD 2006-CD3 Mortgage Trust | 5.617% | 10/15/48 | 13,339 | 14,020 |
4 CD 2006-CD3 Mortgage Trust | 5.648% | 10/15/48 | 4,150 | 4,436 |
4 CD 2007-CD4 Commercial Mortgage Trust | 5.322% | 12/11/49 | 9,395 | 9,962 |
4 CD 2007-CD5 Mortgage Trust | 5.886% | 11/15/44 | 5,306 | 5,788 |
4 CenterPoint Energy Transition Bond Co. II | ||||
LLC 2005-A | 5.170% | 8/1/19 | 967 | 1,014 |
4 CenterPoint Energy Transition Bond Co. II | ||||
LLC 2005-A | 5.302% | 8/1/20 | 654 | 730 |
4 CenterPoint Energy Transition Bond Co. IV | ||||
LLC 2012-1 | 3.028% | 10/15/25 | 5,300 | 5,436 |
4 Chase Issuance Trust 2006-A2 | 5.160% | 4/16/18 | 7,446 | 7,796 |
4 Chase Issuance Trust 2012-A3 | 0.790% | 6/15/17 | 6,116 | 6,123 |
4 Chase Issuance Trust 2012-A4 | 1.580% | 8/16/21 | 5,500 | 5,413 |
4 Chase Issuance Trust 2012-A5 | 0.590% | 8/15/17 | 3,404 | 3,403 |
4 Chase Issuance Trust 2012-A7 | 2.160% | 9/16/24 | 12,805 | 12,489 |
4 Chase Issuance Trust 2013-A1 | 1.300% | 2/18/20 | 9,550 | 9,440 |
4 Chase Issuance Trust 2013-A8 | 1.010% | 10/15/18 | 6,425 | 6,422 |
4 Chase Issuance Trust 2014-A1 | 1.150% | 1/15/19 | 19,175 | 19,182 |
4 Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 7,550 | 7,729 |
4 Chase Issuance Trust 2014-A6 | 1.260% | 7/15/19 | 9,700 | 9,666 |
4 Chase Issuance Trust 2014-A7 | 1.380% | 11/15/19 | 7,400 | 7,384 |
4 Citibank Credit Card Issuance Trust 2003-A7 | 4.150% | 7/7/17 | 4,676 | 4,760 |
4 Citibank Credit Card Issuance Trust 2005-A2 | 4.850% | 3/10/17 | 2,975 | 2,998 |
4 Citibank Credit Card Issuance Trust 2005-A9 | 5.100% | 11/20/17 | 11,399 | 11,820 |
4 Citibank Credit Card Issuance Trust 2007-A8 | 5.650% | 9/20/19 | 7,150 | 7,930 |
4 Citibank Credit Card Issuance Trust 2008-A1 | 5.350% | 2/7/20 | 6,114 | 6,782 |
4 Citibank Credit Card Issuance Trust 2013-A10 | 0.730% | 2/7/18 | 2,900 | 2,894 |
4 Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 15,000 | 15,452 |
4 Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 7,600 | 7,585 |
4 Citibank Credit Card Issuance Trust 2014-A5 | 2.680% | 6/7/23 | 6,525 | 6,634 |
4 Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 15,325 | 15,372 |
4 Citibank Credit Card Issuance Trust 2014-A8 | 1.730% | 4/9/20 | 11,625 | 11,644 |
4 Citigroup Commercial Mortgage Trust 2005-C3 | 4.830% | 5/15/43 | 4,195 | 4,221 |
4 Citigroup Commercial Mortgage Trust 2006-C4 | 5.771% | 3/15/49 | 6,459 | 6,735 |
4 Citigroup Commercial Mortgage Trust 2006-C4 | 5.771% | 3/15/49 | 2,000 | 2,108 |
4 Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 2,275 | 2,399 |
4 Citigroup Commercial Mortgage Trust 2006-C5 | 5.462% | 10/15/49 | 1,585 | 1,684 |
4 Citigroup Commercial Mortgage Trust 2007-C6 | 5.710% | 12/10/49 | 9,305 | 10,121 |
4 Citigroup Commercial Mortgage Trust 2008-C7 | 6.142% | 12/10/49 | 10,516 | 11,529 |
4 Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 3,950 | 3,977 |
4 Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 1,500 | 1,511 |
25
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.422% | 4/10/46 | 1,300 | 1,313 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 1,700 | 1,763 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 800 | 853 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.371% | 9/10/46 | 1,200 | 1,326 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.649% | 9/10/46 | 1,700 | 1,875 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 3.675% | 11/10/46 | 550 | 581 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.131% | 11/10/46 | 1,825 | 1,976 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.544% | 11/10/46 | 750 | 826 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 5.095% | 11/10/46 | 750 | 826 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 2.790% | 3/10/47 | 3,210 | 3,282 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.552% | 3/10/47 | 750 | 785 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 1,150 | 1,235 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.345% | 3/10/47 | 955 | 1,030 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 375 | 391 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 1,675 | 1,779 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 4.328% | 5/10/47 | 1,350 | 1,400 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 2,725 | 2,842 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 5,650 | 5,853 |
4 | COBALT CMBS Commercial Mortgage | ||||
Trust 2007-C2 | 5.484% | 4/15/47 | 5,190 | 5,566 | |
4 | COBALT CMBS Commercial Mortgage | ||||
Trust 2007-C3 | 5.766% | 5/15/46 | 5,899 | 6,402 | |
4 | COMM 2005-C6 Mortgage Trust | 5.116% | 6/10/44 | 11,087 | 11,188 |
4 | COMM 2006-C7 Mortgage Trust | 5.756% | 6/10/46 | 11,045 | 11,560 |
4 | COMM 2006-C7 Mortgage Trust | 5.781% | 6/10/46 | 1,815 | 1,915 |
4 | COMM 2007-C9 Mortgage Trust | 5.796% | 12/10/49 | 7,325 | 7,993 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 1,285 | 1,314 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 1,825 | 1,898 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 5,000 | 4,990 |
4,7 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 2,195 | 2,231 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 6,300 | 6,287 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 1,500 | 1,488 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.047% | 10/10/46 | 1,310 | 1,350 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.660% | 10/10/46 | 1,310 | 1,379 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 1,750 | 1,871 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 2,190 | 2,395 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.715% | 10/10/46 | 1,310 | 1,444 |
4 | COMM 2013-CCRE12 Mortgage Trust | 1.295% | 10/10/46 | 597 | 594 |
4 | COMM 2013-CCRE12 Mortgage Trust | 2.904% | 10/10/46 | 1,075 | 1,107 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,075 | 1,129 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 1,500 | 1,581 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 1,125 | 1,213 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.300% | 10/10/46 | 750 | 809 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.762% | 10/10/46 | 350 | 383 |
4 | COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 433 | 433 |
4 | COMM 2013-CCRE13 Mortgage Trust | 3.039% | 12/10/18 | 550 | 570 |
4 | COMM 2013-CCRE13 Mortgage Trust | 3.706% | 10/10/23 | 375 | 396 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 3,700 | 4,025 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.449% | 12/10/23 | 1,100 | 1,194 |
4 | COMM 2013-CCRE6 Mortgage Trust | 3.101% | 3/10/46 | 1,744 | 1,767 |
4 | COMM 2013-CCRE7 Mortgage Trust | 3.213% | 3/10/46 | 1,425 | 1,453 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 1,888 | 1,980 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.235% | 7/10/45 | 2,295 | 2,522 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.210% | 8/10/46 | 660 | 720 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 2,050 | 2,121 |
26
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 2,020 | 2,196 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,981 | 3,989 |
4 | COMM 2013-LC6 Mortgage Trust | 3.282% | 1/10/46 | 2,184 | 2,188 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 3,275 | 3,389 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 2,450 | 2,667 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.526% | 2/10/47 | 2,725 | 2,969 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.610% | 2/10/47 | 1,650 | 1,806 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 2,712 | 2,783 |
4 | COMM 2014-CCRE15 Mortgage Trust | 3.595% | 2/10/47 | 935 | 980 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 1,737 | 1,875 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.717% | 2/10/47 | 869 | 955 |
4 | COMM 2014-CCRE16 Mortgage Trust | 3.653% | 4/10/47 | 1,500 | 1,569 |
4 | COMM 2014-CCRE16 Mortgage Trust | 4.278% | 4/10/47 | 1,975 | 2,117 |
4 | COMM 2014-CCRE19 Mortgage Trust | 3.796% | 8/10/47 | 5,775 | 6,080 |
4 | COMM 2014-CCRE19 Mortgage Trust | 4.080% | 8/10/47 | 1,550 | 1,630 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.095% | 12/10/47 | 2,916 | 3,001 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 5,625 | 5,820 |
4 | COMM 2014-CR17 Mortgage Trust | 3.012% | 5/10/47 | 1,900 | 1,958 |
4 | COMM 2014-CR17 Mortgage Trust | 3.598% | 5/10/47 | 950 | 995 |
4 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 1,525 | 1,629 |
4 | COMM 2014-CR17 Mortgage Trust | 4.377% | 5/10/47 | 955 | 1,009 |
4 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 1,575 | 1,641 |
4 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 975 | 1,029 |
4 | COMM 2014-CR18 Mortgage Trust | 4.103% | 7/15/47 | 1,281 | 1,362 |
4 | COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 1,525 | 1,583 |
4 | COMM 2014-LC15 Mortgage Trust | 2.840% | 4/10/47 | 1,150 | 1,178 |
4 | COMM 2014-LC15 Mortgage Trust | 4.006% | 4/10/47 | 2,650 | 2,837 |
4 | COMM 2014-LC17 Mortgage Trust | 3.164% | 10/10/47 | 3,900 | 4,043 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,550 | 1,651 |
4 | COMM 2014-UBS2 Mortgage Trust | 2.820% | 3/10/47 | 757 | 775 |
4 | COMM 2014-UBS2 Mortgage Trust | 3.472% | 3/10/47 | 658 | 684 |
4 | COMM 2014-UBS2 Mortgage Trust | 3.961% | 3/10/47 | 1,699 | 1,812 |
4 | COMM 2014-UBS2 Mortgage Trust | 4.199% | 3/10/47 | 475 | 506 |
4 | COMM 2014-UBS2 Mortgage Trust | 4.701% | 3/10/47 | 301 | 325 |
4 | COMM 2014-UBS3 Mortgage Trust | 2.844% | 6/10/47 | 1,150 | 1,181 |
4 | COMM 2014-UBS3 Mortgage Trust | 3.819% | 6/10/47 | 3,075 | 3,246 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.694% | 8/10/47 | 6,000 | 6,223 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.968% | 8/10/47 | 1,502 | 1,548 |
4 | COMM 2014-UBS5 Mortgage Trust | 3.838% | 9/10/47 | 4,575 | 4,824 |
4 | COMM 2014-UBS6 Mortgage Trust | 2.935% | 12/10/47 | 3,850 | 3,950 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.387% | 12/10/47 | 3,850 | 3,960 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.644% | 12/10/47 | 7,200 | 7,438 |
4 | COMM 2014-UBS6 Mortgage Trust | 4.048% | 12/10/47 | 1,925 | 2,003 |
4 | Commercial Mortgage Trust 2005-GG5 | 5.224% | 4/10/37 | 8,200 | 8,319 |
4 | Commercial Mortgage Trust 2005-GG5 | 5.277% | 4/10/37 | 2,050 | 2,104 |
4 | Commercial Mortgage Trust 2006-GG7 | 5.819% | 7/10/38 | 2,191 | 2,294 |
4,7 | Commercial Mortgages Lease-Backed | ||||
Certificates Series 2001-CMLB-1 | 6.746% | 6/20/31 | 337 | 341 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C1 | 5.467% | 2/15/39 | 10,900 | 11,275 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C1 | 5.467% | 2/15/39 | 2,800 | 2,916 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C1 | 5.467% | 2/15/39 | 2,225 | 2,307 |
27
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C3 | 5.806% | 6/15/38 | 5,322 | 5,564 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C3 | 5.806% | 6/15/38 | 2,700 | 2,855 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C4 | 5.509% | 9/15/39 | 550 | 582 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C5 | 5.311% | 12/15/39 | 7,360 | 7,759 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C1 | 5.383% | 2/15/40 | 2,301 | 2,433 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C3 | 5.702% | 6/15/39 | 9,459 | 10,077 | |
4 | CSFB Commercial Mortgage Trust 2005-C1 | 5.075% | 2/15/38 | 1,908 | 1,912 |
4 | CSFB Commercial Mortgage Trust 2005-C4 | 5.190% | 8/15/38 | 1,450 | 1,471 |
4 | CSFB Commercial Mortgage Trust 2005-C5 | 5.100% | 8/15/38 | 4,630 | 4,667 |
4 | CSFB Commercial Mortgage Trust 2005-C5 | 5.100% | 8/15/38 | 570 | 583 |
4 | CSFB Commercial Mortgage Trust 2005-C6 | 5.230% | 12/15/40 | 1,525 | 1,557 |
4 | Discover Card Execution Note Trust 2007-A1 | 5.650% | 3/16/20 | 9,453 | 10,464 |
4 | Discover Card Execution Note Trust 2014-A3 | 1.220% | 10/15/19 | 4,825 | 4,826 |
4 | Discover Card Execution Note Trust 2014-A5 | 1.390% | 4/15/20 | 10,650 | 10,641 |
3,4 | Fannie Mae-Aces 2012-M9 | 1.553% | 4/25/22 | 1,059 | 1,047 |
3,4 | Fannie Mae-Aces 2013-M12 | 2.385% | 3/25/23 | 10,592 | 10,523 |
3,4 | Fannie Mae-Aces 2013-M14 | 2.505% | 4/25/23 | 11,037 | 10,933 |
3,4 | Fannie Mae-Aces 2013-M14 | 3.329% | 10/25/23 | 11,450 | 11,895 |
3,4 | Fannie Mae-Aces 2013-M4 | 2.608% | 3/25/22 | 675 | 679 |
3,4 | Fannie Mae-Aces 2013-M7 | 2.280% | 12/27/22 | 3,850 | 3,740 |
3,4 | Fannie Mae-Aces 2014-M1 | 2.323% | 11/25/18 | 15,264 | 15,493 |
3,4 | Fannie Mae-Aces 2014-M1 | 3.373% | 7/25/23 | 15,075 | 15,709 |
3,4 | Fannie Mae-Aces 2014-M12 | 2.614% | 10/25/21 | 11,300 | 11,419 |
3,4 | Fannie Mae-Aces 2014-M13 | 1.637% | 11/25/17 | 1,975 | 1,984 |
3,4 | Fannie Mae-Aces 2014-M13 | 2.566% | 8/25/24 | 1,671 | 1,687 |
3,4 | Fannie Mae-Aces 2014-M13 | 3.021% | 8/25/24 | 4,500 | 4,590 |
3,4 | Fannie Mae-Aces 2014-M2 | 1.916% | 6/25/21 | 4,681 | 4,719 |
3,4 | Fannie Mae-Aces 2014-M2 | 3.513% | 12/25/23 | 11,322 | 11,965 |
3,4 | Fannie Mae-Aces 2014-M3 | 2.613% | 1/25/24 | 4,437 | 4,511 |
3,4 | Fannie Mae-Aces 2014-M3 | 3.477% | 1/25/24 | 5,400 | 5,699 |
3,4 | Fannie Mae-Aces 2014-M4 | 3.346% | 3/25/24 | 5,650 | 5,912 |
3,4 | Fannie Mae-Aces 2014-M6 | 2.679% | 5/25/21 | 10,600 | 10,613 |
3,4 | Fannie Mae-Aces 2014-M7 | 3.248% | 6/25/24 | 11,610 | 12,160 |
3,4 | Fannie Mae-Aces 2014-M8 | 2.346% | 6/25/24 | 1,899 | 1,907 |
3,4 | Fannie Mae-Aces 2014-M8 | 3.056% | 6/25/24 | 5,850 | 5,936 |
3,4 | Fannie Mae-Aces 2014-M9 | 1.462% | 4/25/17 | 9,100 | 9,138 |
3,4 | Fannie Mae-Aces 2014-M9 | 3.103% | 7/25/24 | 6,825 | 6,986 |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 2.412% | 8/25/18 | 2,425 | 2,473 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 3.320% | 7/25/20 | 9,639 | 10,107 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K014 | 3.871% | 4/25/21 | 4,667 | 5,054 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K017 | 2.873% | 12/25/21 | 12,820 | 13,186 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K019 | 2.272% | 3/25/22 | 5,430 | 5,341 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K020 | 2.373% | 5/25/22 | 13,400 | 13,299 |
28
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 2.396% | 6/25/22 | 8,300 | 8,250 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 3.490% | 1/25/24 | 475 | 506 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K022 | 2.355% | 7/25/22 | 575 | 570 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K026 | 2.510% | 11/25/22 | 11,500 | 11,411 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K027 | 2.637% | 1/25/23 | 11,475 | 11,507 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 3.111% | 2/25/23 | 16,625 | 17,259 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K029 | 3.320% | 2/25/23 | 11,425 | 12,036 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 2.779% | 9/25/22 | 10,544 | 10,859 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 3.250% | 4/25/23 | 11,425 | 11,971 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K031 | 3.300% | 4/25/23 | 11,906 | 12,512 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.016% | 2/25/23 | 10,960 | 11,438 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.310% | 5/25/23 | 11,420 | 12,027 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 2.871% | 2/25/23 | 9,929 | 10,266 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 3.060% | 7/25/23 | 12,300 | 12,685 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K034 | 3.531% | 7/25/23 | 10,633 | 11,355 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K035 | 3.458% | 8/25/23 | 12,575 | 13,362 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K036 | 3.527% | 10/25/23 | 13,185 | 14,080 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 2.604% | 10/25/23 | 3,758 | 3,855 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 3.389% | 3/25/24 | 13,225 | 13,976 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 2.683% | 12/25/23 | 2,662 | 2,739 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 3.303% | 7/25/24 | 7,600 | 7,991 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 2.768% | 4/25/24 | 3,690 | 3,789 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 3.241% | 9/25/24 | 9,300 | 9,722 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K041 | 3.171% | 10/25/24 | 9,300 | 9,649 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K702 | 3.154% | 2/25/18 | 16,408 | 17,092 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K706 | 2.323% | 10/25/18 | 3,900 | 3,962 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K710 | 1.883% | 5/25/19 | 1,005 | 1,003 |
29
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.730% | 7/25/19 | 2,050 | 2,028 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K714 | 3.034% | 10/25/20 | 5,000 | 5,198 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 2.413% | 1/25/21 | 2,684 | 2,751 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 3.130% | 6/25/21 | 9,600 | 10,026 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K717 | 2.991% | 9/25/21 | 7,475 | 7,700 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K005 | 3.484% | 4/25/19 | 8,503 | 8,859 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K006-A1 | 3.398% | 7/25/19 | 6,175 | 6,500 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K007-A1 | 3.342% | 12/25/19 | 4,636 | 4,833 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K009-A1 | 2.757% | 5/25/20 | 8,143 | 8,380 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K503 | 1.384% | 1/25/19 | 5,536 | 5,507 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K503 | 2.456% | 8/25/19 | 11,200 | 11,452 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K708-A1 | 1.670% | 10/25/18 | 2,469 | 2,491 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K711-A1 | 1.321% | 12/25/18 | 8,996 | 9,005 | |
3,4 | FHLMC Multifamily Structures Pass Through | ||||
Certificates_FHMS-K715 | 2.856% | 1/25/21 | 4,225 | 4,354 | |
4 | Fifth Third Auto 2014-1 | 0.680% | 4/16/18 | 2,250 | 2,246 |
4 | Fifth Third Auto 2014-1 | 1.140% | 10/15/20 | 1,500 | 1,497 |
4 | Fifth Third Auto 2014-2 | 0.890% | 11/15/18 | 1,525 | 1,523 |
4 | Fifth Third Auto 2014-2 | 1.380% | 12/15/20 | 975 | 974 |
4 | Ford Credit Auto Lease Trust 2013-B | 0.760% | 9/15/16 | 800 | 800 |
4 | Ford Credit Auto Lease Trust 2013-B | 0.960% | 10/15/16 | 650 | 651 |
4 | Ford Credit Auto Lease Trust 2014-A | 0.680% | 4/15/17 | 1,500 | 1,491 |
4 | Ford Credit Auto Lease Trust 2014-A | 0.900% | 6/15/17 | 575 | 571 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 1,050 | 1,045 |
4 | Ford Credit Auto Lease Trust 2014-B | 0.890% | 9/15/17 | 2,075 | 2,059 |
4 | Ford Credit Auto Owner Trust 2011-A | 1.650% | 5/15/16 | 87 | 87 |
4 | Ford Credit Auto Owner Trust 2012-A | 1.150% | 6/15/17 | 3,525 | 3,535 |
4 | Ford Credit Auto Owner Trust 2012-B | 0.720% | 12/15/16 | 121 | 121 |
4 | Ford Credit Auto Owner Trust 2013-A | 0.550% | 7/15/17 | 1,994 | 1,995 |
4 | Ford Credit Auto Owner Trust 2013-B | 0.570% | 10/15/17 | 1,454 | 1,455 |
4 | Ford Credit Auto Owner Trust 2013-B | 0.760% | 8/15/18 | 800 | 795 |
4 | Ford Credit Auto Owner Trust 2013-C | 0.820% | 12/15/17 | 2,077 | 2,082 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.250% | 10/15/18 | 692 | 694 |
4 | Ford Credit Auto Owner Trust 2013-D | 0.670% | 4/15/18 | 2,100 | 2,100 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.110% | 2/15/19 | 350 | 347 |
4 | Ford Credit Auto Owner Trust 2014-A | 0.790% | 5/15/18 | 4,350 | 4,346 |
4 | Ford Credit Auto Owner Trust 2014-A | 1.290% | 4/15/19 | 800 | 797 |
4 | Ford Credit Auto Owner Trust 2014-B | 0.900% | 10/15/18 | 3,375 | 3,375 |
4 | Ford Credit Auto Owner Trust 2014-B | 1.420% | 8/15/19 | 575 | 575 |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-5 | 1.500% | 9/15/18 | 2,800 | 2,818 |
30
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-1 | 1.200% | 2/15/19 | 3,550 | 3,541 |
4 Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 1.400% | 8/15/19 | 7,725 | 7,713 |
4 GE Capital Credit Card Master Note Trust | ||||
Series 2012-7 | 1.760% | 9/15/22 | 5,644 | 5,558 |
4 GE Commercial Mortgage Corp. Series | ||||
2005-C3 Trust | 4.974% | 7/10/45 | 4,610 | 4,669 |
4 GE Commercial Mortgage Corp. Series | ||||
2005-C4 Trust | 5.312% | 11/10/45 | 2,725 | 2,811 |
4 GE Commercial Mortgage Corp. Series | ||||
2006-C1 Trust | 5.274% | 3/10/44 | 2,825 | 2,970 |
4 GE Commercial Mortgage Corp. Series | ||||
2006-C1 Trust | 5.274% | 3/10/44 | 12,784 | 13,159 |
4 GE Commercial Mortgage Corp. Series | ||||
2007-C1 Trust | 5.543% | 12/10/49 | 4,300 | 4,550 |
4 GMAC Commercial Mortgage Securities Inc. | ||||
Series 2005-C1 Trust | 4.754% | 5/10/43 | 1,155 | 1,166 |
4 GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 1,725 | 1,793 |
4 GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 9,000 | 9,240 |
4 GS Mortgage Securities Trust 2007-GG10 | 5.796% | 8/10/45 | 4,514 | 4,881 |
4 GS Mortgage Securities Trust 2011-GC5 | 3.707% | 8/10/44 | 1,500 | 1,590 |
4 GS Mortgage Securities Trust 2012-GC6 | 3.482% | 1/10/45 | 6,350 | 6,640 |
4 GS Mortgage Securities Trust 2012-GCJ7 | 3.377% | 5/10/45 | 3,825 | 3,971 |
4 GS Mortgage Securities Trust 2012-GCJ9 | 2.773% | 11/10/45 | 2,955 | 2,935 |
4 GS Mortgage Securities Trust 2013-GC10 | 2.943% | 2/10/46 | 3,494 | 3,500 |
4 GS Mortgage Securities Trust 2013-GC10 | 3.279% | 2/10/46 | 1,310 | 1,311 |
4 GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 2,255 | 2,283 |
4 GS Mortgage Securities Trust 2013-GCJ12 | 3.375% | 6/10/46 | 966 | 978 |
4 GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 1,875 | 1,935 |
4 GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 1,340 | 1,419 |
4 GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 6,700 | 7,317 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 3.033% | 11/10/46 | 2,000 | 2,074 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 3.813% | 11/10/46 | 710 | 752 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 4.271% | 11/10/46 | 1,150 | 1,257 |
4 GS Mortgage Securities Trust 2014-GC18 | 1.298% | 1/10/47 | 3,825 | 3,819 |
4 GS Mortgage Securities Trust 2014-GC18 | 4.074% | 1/10/47 | 8,225 | 8,794 |
4 GS Mortgage Securities Trust 2014-GC18 | 4.383% | 1/10/47 | 2,750 | 2,951 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.467% | 6/10/47 | 1,550 | 1,610 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.516% | 6/10/47 | 500 | 519 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.862% | 6/10/47 | 1,350 | 1,428 |
4 GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 4,275 | 4,559 |
4 GS Mortgage Securities Trust 2014-GC24 | 4.507% | 9/10/47 | 1,175 | 1,257 |
4 GS Mortgage Securities Trust 2014-GC26 | 2.902% | 11/10/47 | 1,225 | 1,254 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.365% | 11/10/47 | 2,275 | 2,345 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 7,475 | 7,763 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.964% | 11/10/47 | 1,325 | 1,383 |
4 GS Mortgage Securities Trust 2014-GC26 | 4.215% | 11/10/47 | 1,125 | 1,175 |
4 Honda Auto Receivables 2012-4 Owner Trust | 0.660% | 12/18/18 | 2,950 | 2,952 |
4 Honda Auto Receivables 2013-1 Owner Trust | 0.480% | 11/21/16 | 2,401 | 2,402 |
4 Honda Auto Receivables 2013-1 Owner Trust | 0.620% | 3/21/19 | 2,746 | 2,745 |
4 Honda Auto Receivables 2013-2 Owner Trust | 0.530% | 2/16/17 | 1,077 | 1,077 |
4 Honda Auto Receivables 2013-2 Owner Trust | 0.660% | 6/17/19 | 1,077 | 1,072 |
4 Honda Auto Receivables 2013-4 Owner Trust | 0.690% | 9/18/17 | 1,250 | 1,249 |
4 Honda Auto Receivables 2013-4 Owner Trust | 1.040% | 2/18/20 | 1,100 | 1,095 |
31
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Honda Auto Receivables 2014-1 Owner Trust | 0.670% | 11/21/17 | 2,244 | 2,238 |
4 Honda Auto Receivables 2014-1 Owner Trust | 1.040% | 2/21/20 | 1,122 | 1,118 |
4 Honda Auto Receivables 2014-2 Owner Trust | 0.770% | 3/19/18 | 1,700 | 1,697 |
4 Honda Auto Receivables 2014-2 Owner Trust | 1.180% | 5/18/20 | 1,000 | 997 |
4 Honda Auto Receivables 2014-3 Owner Trust | 0.880% | 6/15/18 | 3,375 | 3,363 |
4 Honda Auto Receivables 2014-3 Owner Trust | 1.310% | 10/15/20 | 1,925 | 1,911 |
4 Hyundai Auto Receivables Trust 2012-C | 0.730% | 6/15/18 | 2,000 | 1,998 |
4 Hyundai Auto Receivables Trust 2013-A | 0.560% | 7/17/17 | 2,116 | 2,117 |
4 Hyundai Auto Receivables Trust 2013-A | 0.750% | 9/17/18 | 4,367 | 4,364 |
4 Hyundai Auto Receivables Trust 2013-B | 0.710% | 9/15/17 | 2,675 | 2,678 |
4 Hyundai Auto Receivables Trust 2013-B | 1.010% | 2/15/19 | 1,325 | 1,326 |
4 Hyundai Auto Receivables Trust 2013-C | 1.010% | 2/15/18 | 7,365 | 7,392 |
4 Hyundai Auto Receivables Trust 2013-C | 1.550% | 3/15/19 | 1,730 | 1,747 |
4 Hyundai Auto Receivables Trust 2014-A | 0.790% | 7/16/18 | 1,725 | 1,723 |
4 Hyundai Auto Receivables Trust 2014-B | 0.900% | 12/17/18 | 3,000 | 2,995 |
4 Hyundai Auto Receivables Trust 2014-B | 1.460% | 11/15/19 | 900 | 899 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-CIBC11 | 5.402% | 8/12/37 | 1,230 | 1,237 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-CIBC13 | 5.284% | 1/12/43 | 1,000 | 1,029 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-LDP2 | 4.780% | 7/15/42 | 1,915 | 1,935 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-LDP4 | 4.918% | 10/15/42 | 10,209 | 10,409 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-LDP5 | 5.236% | 12/15/44 | 6,834 | 6,964 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-LDP5 | 5.278% | 12/15/44 | 1,480 | 1,528 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-LDP5 | 5.357% | 12/15/44 | 585 | 605 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-CB17 | 5.429% | 12/12/43 | 8,000 | 8,409 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-CIBC14 | 5.433% | 12/12/44 | 1,100 | 1,142 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-CIBC16 | 5.593% | 5/12/45 | 4,180 | 4,445 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP6 | 5.475% | 4/15/43 | 3,407 | 3,522 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP7 | 5.865% | 4/15/45 | 10,935 | 11,403 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP7 | 5.865% | 4/15/45 | 2,360 | 2,499 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP8 | 5.440% | 5/15/45 | 1,720 | 1,822 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC18 | 5.440% | 6/12/47 | 6,271 | 6,688 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 5.794% | 2/12/51 | 19,976 | 21,546 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 5.877% | 2/12/51 | 1,650 | 1,817 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP11 | 5.787% | 6/15/49 | 5,610 | 6,017 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP12 | 5.882% | 2/15/51 | 6,620 | 7,208 |
32
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 4,875 | 5,094 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 11,975 | 11,964 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-CIBX | 3.483% | 6/15/45 | 3,816 | 3,989 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-LC9 | 2.840% | 12/15/47 | 2,250 | 2,244 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C10 | 3.143% | 12/15/47 | 1,389 | 1,412 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C10 | 3.372% | 12/15/47 | 1,042 | 1,056 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 1,250 | 1,319 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 1,500 | 1,593 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 2,600 | 2,823 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.517% | 12/15/46 | 1,250 | 1,363 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.944% | 12/15/46 | 1,250 | 1,386 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 1,466 | 1,467 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 2.872% | 7/15/47 | 1,525 | 1,560 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 3.805% | 7/15/47 | 575 | 607 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.664% | 7/15/45 | 1,982 | 2,084 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 4.026% | 7/15/45 | 655 | 697 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.761% | 8/15/46 | 990 | 1,048 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.133% | 8/15/46 | 2,640 | 2,864 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.409% | 8/15/46 | 740 | 802 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 1.233% | 11/15/45 | 1,024 | 1,023 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 5,030 | 5,186 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 3.659% | 11/15/45 | 505 | 533 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.131% | 11/15/45 | 3,520 | 3,817 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.420% | 11/15/45 | 2,010 | 2,180 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 3.003% | 1/15/47 | 1,550 | 1,598 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 3.705% | 1/15/47 | 1,163 | 1,227 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.199% | 1/15/47 | 4,320 | 4,699 |
33
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.458% | 1/15/47 | 775 | 841 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.887% | 1/15/47 | 1,163 | 1,283 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 3,938 | 4,245 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.439% | 2/15/47 | 771 | 835 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.809% | 2/15/47 | 935 | 1,025 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.046% | 4/15/47 | 1,525 | 1,571 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.669% | 4/15/47 | 1,900 | 1,992 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.997% | 4/15/47 | 1,900 | 2,034 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 4.243% | 4/15/47 | 1,525 | 1,627 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 4.110% | 9/15/47 | 1,550 | 1,624 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.428% | 8/15/47 | 979 | 1,014 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.775% | 8/15/47 | 950 | 1,000 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.997% | 8/15/47 | 575 | 601 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C22 | 3.801% | 9/15/47 | 5,850 | 6,163 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C23 | 3.934% | 9/15/47 | 2,919 | 3,107 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C23 | 4.202% | 9/15/47 | 1,722 | 1,827 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 2.940% | 11/15/47 | 1,900 | 1,943 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.639% | 11/15/47 | 1,525 | 1,586 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.914% | 11/15/47 | 2,750 | 2,853 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C25 | 3.672% | 11/15/47 | 6,825 | 7,127 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C25 | 4.065% | 11/15/47 | 1,900 | 1,992 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.019% | 1/15/48 | 3,750 | 3,852 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.494% | 1/15/48 | 5,525 | 5,681 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.800% | 1/15/48 | 1,875 | 1,925 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.951% | 1/15/48 | 1,875 | 1,923 |
4 LB-UBS Commercial Mortgage Trust 2005-C2 | 5.150% | 4/15/30 | 1,712 | 1,716 |
4 LB-UBS Commercial Mortgage Trust 2005-C5 | 5.057% | 9/15/40 | 800 | 815 |
4 LB-UBS Commercial Mortgage Trust 2005-C7 | 5.197% | 11/15/30 | 6,458 | 6,514 |
4 LB-UBS Commercial Mortgage Trust 2006-C1 | 5.217% | 2/15/31 | 3,588 | 3,716 |
4 LB-UBS Commercial Mortgage Trust 2006-C3 | 5.661% | 3/15/39 | 12,960 | 13,449 |
34
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 LB-UBS Commercial Mortgage Trust 2006-C4 | 5.833% | 6/15/38 | 6,613 | 6,942 |
4 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.372% | 9/15/39 | 10,060 | 10,605 |
4 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.413% | 9/15/39 | 1,176 | 1,248 |
4 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 1,150 | 1,226 |
4 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.378% | 11/15/38 | 1,585 | 1,678 |
4 LB-UBS Commercial Mortgage Trust 2007-C1 | 5.424% | 2/15/40 | 4,371 | 4,663 |
4 LB-UBS Commercial Mortgage Trust 2007-C2 | 5.430% | 2/15/40 | 6,376 | 6,828 |
4 LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 9,601 | 10,559 |
4 LB-UBS Commercial Mortgage Trust 2008-C1 | 6.154% | 4/15/41 | 13,125 | 14,487 |
4 Mercedes-Benz Auto Lease Trust 2013-B | 0.760% | 7/15/19 | 350 | 348 |
4 Mercedes-Benz Auto Lease Trust 2014-A | 0.900% | 12/16/19 | 2,700 | 2,674 |
4 Mercedes-Benz Auto Receivables Trust 2013-1 | 0.780% | 8/15/17 | 692 | 695 |
4 Mercedes-Benz Auto Receivables Trust 2013-1 | 1.130% | 11/15/19 | 692 | 693 |
4 Mercedes-Benz Auto Receivables Trust 2014-1 | 0.870% | 10/15/18 | 1,875 | 1,869 |
4 Mercedes-Benz Auto Receivables Trust 2014-1 | 1.310% | 11/16/20 | 600 | 598 |
4 Merrill Lynch Mortgage Trust 2005-CIP1 | 5.107% | 7/12/38 | 856 | 870 |
4 Merrill Lynch Mortgage Trust 2005-LC1 | 5.291% | 1/12/44 | 7,867 | 8,071 |
4 Merrill Lynch Mortgage Trust 2005-MCP1 | 4.747% | 6/12/43 | 1,664 | 1,677 |
4 Merrill Lynch Mortgage Trust 2006-C1 | 5.677% | 5/12/39 | 625 | 654 |
4 Merrill Lynch Mortgage Trust 2006-C1 | 5.677% | 5/12/39 | 9,440 | 9,833 |
4 Merrill Lynch Mortgage Trust 2006-C2 | 5.782% | 8/12/43 | 1,965 | 2,087 |
4 Merrill Lynch Mortgage Trust 2007-C1 | 5.835% | 6/12/50 | 16,435 | 17,813 |
4 Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 5,494 | 5,996 |
4 ML-CFC Commercial Mortgage Trust 2006-2 | 5.869% | 6/12/46 | 13,227 | 13,848 |
4 ML-CFC Commercial Mortgage Trust 2006-3 | 5.456% | 7/12/46 | 435 | 462 |
4 ML-CFC Commercial Mortgage Trust 2006-4 | 5.204% | 12/12/49 | 1,225 | 1,305 |
4 ML-CFC Commercial Mortgage Trust 2007-5 | 5.378% | 8/12/48 | 7,284 | 7,744 |
4 ML-CFC Commercial Mortgage Trust 2007-9 | 5.700% | 9/12/49 | 11,095 | 12,036 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.176% | 8/15/45 | 1,600 | 1,632 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C6 | 2.858% | 11/15/45 | 4,000 | 4,005 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.217% | 8/15/46 | 990 | 1,080 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.417% | 8/15/46 | 490 | 533 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 3.001% | 10/15/46 | 2,260 | 2,331 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 4.259% | 10/15/46 | 3,360 | 3,670 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 2.936% | 11/15/46 | 1,100 | 1,133 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.039% | 11/15/46 | 2,200 | 2,366 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.743% | 11/15/46 | 1,100 | 1,189 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 2.918% | 2/15/46 | 1,707 | 1,709 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 3.214% | 2/15/46 | 341 | 342 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C8 | 3.134% | 12/15/48 | 2,100 | 2,131 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C8 | 3.376% | 12/15/48 | 1,000 | 1,011 |
35
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C9 | 3.102% | 5/15/46 | 1,275 | 1,287 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C9 | 3.456% | 5/15/46 | 975 | 992 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014 C19 | 3.101% | 12/15/47 | 3,775 | 3,890 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014 C19 | 3.326% | 12/15/47 | 2,000 | 2,065 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014 C19 | 3.526% | 12/15/47 | 2,875 | 2,980 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 1.250% | 2/15/47 | 1,035 | 1,032 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 2.916% | 2/15/47 | 1,525 | 1,563 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 3.669% | 2/15/47 | 3,050 | 3,189 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.064% | 2/15/47 | 3,050 | 3,279 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.644% | 2/15/47 | 1,150 | 1,253 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 2.849% | 6/15/47 | 575 | 587 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.477% | 6/15/47 | 775 | 806 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.892% | 6/15/47 | 2,875 | 3,055 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.325% | 6/15/47 | 1,150 | 1,213 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 3.194% | 10/15/47 | 3,500 | 3,631 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 3.923% | 10/15/47 | 1,000 | 1,063 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 4.446% | 10/15/47 | 1,150 | 1,211 |
4 Morgan Stanley Capital I Trust 2005-HQ6 | 4.989% | 8/13/42 | 12,778 | 12,894 |
4 Morgan Stanley Capital I Trust 2005-HQ6 | 5.073% | 8/13/42 | 1,690 | 1,710 |
4 Morgan Stanley Capital I Trust 2005-HQ7 | 5.206% | 11/14/42 | 7,671 | 7,785 |
4 Morgan Stanley Capital I Trust 2005-IQ10 | 5.230% | 9/15/42 | 8,475 | 8,618 |
4 Morgan Stanley Capital I Trust 2005-IQ9 | 4.770% | 7/15/56 | 1,430 | 1,432 |
4 Morgan Stanley Capital I Trust 2005-TOP17 | 4.840% | 12/13/41 | 302 | 303 |
4 Morgan Stanley Capital I Trust 2005-TOP19 | 4.985% | 6/12/47 | 2,200 | 2,224 |
4 Morgan Stanley Capital I Trust 2006-HQ10 | 5.328% | 11/12/41 | 9,679 | 10,156 |
4 Morgan Stanley Capital I Trust 2006-HQ10 | 5.360% | 11/12/41 | 2,626 | 2,792 |
4 Morgan Stanley Capital I Trust 2006-HQ8 | 5.412% | 3/12/44 | 11,420 | 11,734 |
4 Morgan Stanley Capital I Trust 2006-HQ8 | 5.461% | 3/12/44 | 2,503 | 2,609 |
4 Morgan Stanley Capital I Trust 2006-HQ9 | 5.773% | 7/12/44 | 3,425 | 3,636 |
4 Morgan Stanley Capital I Trust 2006-HQ9 | 5.793% | 7/12/44 | 1,475 | 1,549 |
4 Morgan Stanley Capital I Trust 2006-IQ11 | 5.656% | 10/15/42 | 3,673 | 3,774 |
4 Morgan Stanley Capital I Trust 2006-IQ11 | 5.660% | 10/15/42 | 1,750 | 1,816 |
4 Morgan Stanley Capital I Trust 2006-IQ11 | 5.660% | 10/15/42 | 225 | 237 |
4 Morgan Stanley Capital I Trust 2006-IQ12 | 5.332% | 12/15/43 | 7,831 | 8,276 |
4 Morgan Stanley Capital I Trust 2006-IQ12 | 5.370% | 12/15/43 | 1,355 | 1,430 |
4 Morgan Stanley Capital I Trust 2006-TOP21 | 5.204% | 10/12/52 | 2,975 | 3,078 |
4 Morgan Stanley Capital I Trust 2006-TOP23 | 5.809% | 8/12/41 | 775 | 827 |
4 Morgan Stanley Capital I Trust 2007-IQ14 | 5.654% | 4/15/49 | 653 | 665 |
36
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Morgan Stanley Capital I Trust 2007-IQ14 | 5.692% | 4/15/49 | 9,610 | 10,335 |
4 Morgan Stanley Capital I Trust 2007-IQ16 | 5.809% | 12/12/49 | 9,843 | 10,690 |
4 Morgan Stanley Capital I Trust 2007-IQ16 | 6.083% | 12/12/49 | 1,975 | 2,179 |
4 Morgan Stanley Capital I Trust 2007-TOP25 | 5.514% | 11/12/49 | 1,454 | 1,548 |
4 Morgan Stanley Capital I Trust 2007-TOP25 | 5.544% | 11/12/49 | 1,750 | 1,858 |
4 Morgan Stanley Capital I Trust 2007-TOP27 | 5.651% | 6/11/42 | 9,605 | 10,442 |
4 Morgan Stanley Capital I Trust 2007-TOP27 | 5.651% | 6/11/42 | 2,475 | 2,683 |
4 Morgan Stanley Capital I Trust 2008-TOP29 | 6.278% | 1/11/43 | 16,373 | 18,202 |
4 Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 6,000 | 6,157 |
4 Nissan Auto Lease Trust 2014-B | 1.120% | 9/15/17 | 1,125 | 1,123 |
4 Nissan Auto Receivables 2012-B Owner Trust | 0.660% | 12/17/18 | 2,655 | 2,658 |
4 Nissan Auto Receivables 2013-A Owner Trust | 0.500% | 5/15/17 | 2,208 | 2,209 |
4 Nissan Auto Receivables 2013-A Owner Trust | 0.750% | 7/15/19 | 6,100 | 6,077 |
4 Nissan Auto Receivables 2013-B Owner Trust | 0.840% | 11/15/17 | 1,385 | 1,389 |
4 Nissan Auto Receivables 2013-B Owner Trust | 1.310% | 10/15/19 | 1,040 | 1,043 |
4 Nissan Auto Receivables 2013-C Owner Trust | 0.670% | 8/15/18 | 1,850 | 1,847 |
4 Nissan Auto Receivables 2013-C Owner Trust | 1.300% | 6/15/20 | 1,150 | 1,149 |
4 Nissan Auto Receivables 2014-A Owner Trust | 0.720% | 8/15/18 | 1,300 | 1,296 |
4 Nissan Auto Receivables 2014-A Owner Trust | 1.340% | 8/17/20 | 1,475 | 1,470 |
4 Nissan Auto Receivables 2014-B Owner Trust | 1.110% | 5/15/19 | 1,800 | 1,796 |
4 PSE&G Transition Funding LLC Series 2001-1 | 6.890% | 12/15/17 | 10,150 | 10,524 |
4 Royal Bank of Canada | 0.625% | 12/5/16 | 5,000 | 5,002 |
4 Royal Bank of Canada | 1.200% | 9/19/18 | 11,600 | 11,531 |
4 Royal Bank of Canada | 2.000% | 10/1/19 | 12,000 | 12,073 |
4 Santander Drive Auto Receivables Trust 2013-1 | 0.620% | 6/15/17 | 1,088 | 1,088 |
4 Santander Drive Auto Receivables Trust 2013-2 | 0.700% | 9/15/17 | 1,950 | 1,950 |
4 Santander Drive Auto Receivables Trust 2013-3 | 0.700% | 10/16/17 | 1,456 | 1,456 |
4 Santander Drive Auto Receivables Trust 2013-4 | 1.110% | 12/15/17 | 966 | 967 |
4 Santander Drive Auto Receivables Trust 2013-4 | 0.870% | 1/16/18 | 1,450 | 1,452 |
4 Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 2,100 | 2,105 |
4 Santander Drive Auto Receivables Trust 2014-2 | 0.800% | 4/16/18 | 975 | 974 |
4 Santander Drive Auto Receivables Trust 2014-3 | 0.810% | 7/16/18 | 575 | 574 |
4 Santander Drive Auto Receivables Trust 2014-4 | 1.080% | 9/17/18 | 1,950 | 1,950 |
4 Synchrony Credit Card Master Note Trust 2014-1 | 1.610% | 11/15/20 | 2,225 | 2,223 |
4 TIAA Seasoned Commercial Mortgage Trust | ||||
2007-C4 | 5.560% | 8/15/39 | 1,385 | 1,410 |
4 Toyota Auto Receivables 2012-A Owner Trust | 0.990% | 8/15/17 | 5,668 | 5,686 |
4 Toyota Auto Receivables 2013-A Owner Trust | 0.550% | 1/17/17 | 663 | 663 |
4 Toyota Auto Receivables 2013-A Owner Trust | 0.690% | 11/15/18 | 1,160 | 1,156 |
4 Toyota Auto Receivables 2014-A Owner Trust | 0.670% | 12/15/17 | 2,575 | 2,569 |
4 Toyota Auto Receivables 2014-A Owner Trust | 1.180% | 6/17/19 | 850 | 848 |
4 Toyota Auto Receivables 2014-B Owner Trust | 0.760% | 3/15/18 | 950 | 949 |
4 Toyota Auto Receivables 2014-B Owner Trust | 1.310% | 9/16/19 | 750 | 749 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C5 | 3.185% | 3/10/46 | 2,870 | 2,905 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C6 | 3.244% | 4/10/46 | 1,775 | 1,806 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C6 | 3.469% | 4/10/46 | 700 | 705 |
4 USAA Auto Owner Trust 2014-1 | 0.580% | 12/15/17 | 1,125 | 1,117 |
4 USAA Auto Owner Trust 2014-1 | 0.940% | 5/15/19 | 750 | 746 |
4 Volkswagen Auto Lease Trust | 0.800% | 4/20/17 | 735 | 728 |
4 Volkswagen Auto Lease Trust | 0.990% | 7/20/18 | 735 | 730 |
4 Volkswagen Auto Loan Enhanced Trust 2012-1 | 1.150% | 7/20/18 | 6,480 | 6,506 |
4 Volkswagen Auto Loan Enhanced Trust 2013-2 | 0.700% | 4/20/18 | 1,100 | 1,095 |
37
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Volkswagen Auto Loan Enhanced Trust 2013-2 | 1.160% | 3/20/20 | 550 | 543 |
4 Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.910% | 10/22/18 | 2,350 | 2,347 |
4 Volkswagen Auto Loan Enhanced Trust 2014-1 | 1.450% | 9/21/20 | 1,950 | 1,950 |
4 Volkswagen Auto Loan Enhanced Trust 2014-2 | 0.950% | 4/22/19 | 5,550 | 5,523 |
4 Volkswagen Auto Loan Enhanced Trust 2014-2 | 1.390% | 5/20/21 | 1,875 | 1,859 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C17 | 5.224% | 3/15/42 | 675 | 676 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C19 | 4.699% | 5/15/44 | 3,721 | 3,761 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C19 | 4.750% | 5/15/44 | 700 | 710 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C19 | 4.793% | 5/15/44 | 1,425 | 1,437 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C20 | 5.118% | 7/15/42 | 3,111 | 3,130 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C21 | 5.242% | 10/15/44 | 570 | 584 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C21 | 5.242% | 10/15/44 | 15,010 | 15,231 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C22 | 5.269% | 12/15/44 | 9,479 | 9,698 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C22 | 5.319% | 12/15/44 | 475 | 488 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C25 | 5.723% | 5/15/43 | 6,105 | 6,342 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C26 | 5.969% | 6/15/45 | 475 | 502 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C27 | 5.765% | 7/15/45 | 5,876 | 6,155 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C29 | 5.339% | 11/15/48 | 2,400 | 2,538 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2007-C30 | 5.342% | 12/15/43 | 2,040 | 2,177 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2007-C33 | 5.941% | 2/15/51 | 4,200 | 4,481 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 2.918% | 10/15/45 | 1,975 | 1,983 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 2.819% | 8/15/50 | 1,150 | 1,176 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 3.477% | 8/15/50 | 775 | 805 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 3.817% | 8/15/50 | 2,700 | 2,846 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.020% | 8/15/50 | 400 | 419 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 2.954% | 12/15/47 | 2,250 | 2,309 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.244% | 12/15/47 | 1,400 | 1,434 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.271% | 12/15/47 | 2,625 | 2,687 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.405% | 12/15/47 | 3,725 | 3,815 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.808% | 12/15/47 | 1,875 | 1,924 |
38
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 2,500 | 2,495 |
4 WFRBS Commercial Mortgage Trust 2012-C6 | 3.440% | 4/15/45 | 3,875 | 4,047 |
4 WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 3,511 | 3,651 |
4 WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 2,200 | 2,340 |
4 WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 1,600 | 1,616 |
4 WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 3,300 | 3,301 |
4 WFRBS Commercial Mortgage Trust 2013-C11 | 3.071% | 3/15/45 | 2,414 | 2,437 |
4 WFRBS Commercial Mortgage Trust 2013-C12 | 3.198% | 3/15/48 | 1,045 | 1,065 |
4 WFRBS Commercial Mortgage Trust 2013-C12 | 3.560% | 3/15/48 | 495 | 507 |
4 WFRBS Commercial Mortgage Trust 2013-C13 | 3.001% | 5/15/45 | 2,154 | 2,162 |
4 WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 421 | 425 |
4 WFRBS Commercial Mortgage Trust 2013-C14 | 3.337% | 6/15/46 | 3,250 | 3,342 |
4 WFRBS Commercial Mortgage Trust 2013-C14 | 3.488% | 6/15/46 | 1,725 | 1,757 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 660 | 698 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 2,640 | 2,868 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 4.358% | 8/15/46 | 660 | 714 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 3.223% | 9/15/46 | 2,530 | 2,637 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 3.963% | 9/15/46 | 1,520 | 1,629 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 1,520 | 1,681 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 4.668% | 9/15/46 | 2,530 | 2,795 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 2.921% | 12/15/46 | 725 | 746 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 725 | 759 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 925 | 994 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.255% | 12/15/46 | 725 | 777 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.788% | 12/15/46 | 725 | 792 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 750 | 774 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 3.651% | 12/15/46 | 1,500 | 1,571 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 7,268 | 7,886 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.387% | 12/15/46 | 375 | 406 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.673% | 12/15/46 | 563 | 616 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 2.927% | 3/15/46 | 1,850 | 1,908 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 3.591% | 3/15/46 | 1,100 | 1,148 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.079% | 3/15/46 | 1,475 | 1,591 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.632% | 3/15/46 | 375 | 412 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 1.233% | 3/15/47 | 571 | 569 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 3.618% | 3/15/47 | 475 | 499 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 3.660% | 3/15/47 | 650 | 680 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 1,450 | 1,565 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 4.723% | 3/15/47 | 475 | 516 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.036% | 5/15/47 | 775 | 799 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 775 | 814 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 1,150 | 1,231 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 4.176% | 5/15/47 | 1,150 | 1,254 |
4 WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 3,000 | 3,133 |
4 WFRBS Commercial Mortgage Trust 2014-C22 | 3.752% | 9/15/57 | 5,825 | 6,118 |
4 WFRBS Commercial Mortgage Trust 2014-C22 | 4.371% | 9/15/57 | 1,200 | 1,271 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 3.636% | 10/15/57 | 904 | 950 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 1,150 | 1,220 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 4.210% | 10/15/57 | 800 | 845 |
4 WFRBS Commercial Mortgage Trust 2014-C24 | 3.428% | 11/15/47 | 2,075 | 2,133 |
4 WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,075 | 2,150 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 1.193% | 3/15/47 | 1,281 | 1,277 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 2.862% | 3/15/47 | 735 | 754 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 1,840 | 1,919 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 4,415 | 4,736 |
39
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.351% | 3/15/47 | 1,840 | 1,978 |
4 World Financial Network Credit Card Master | ||||
Note Trust Series 2013-A | 1.610% | 12/15/21 | 900 | 895 |
4 World Omni Auto Receivables Trust 2012-B | 0.810% | 1/15/19 | 1,817 | 1,817 |
4 World Omni Auto Receivables Trust 2013-B | 0.830% | 8/15/18 | 1,250 | 1,251 |
4 World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 550 | 551 |
4 World Omni Auto Receivables Trust 2014-A | 0.940% | 4/15/19 | 1,925 | 1,921 |
4 World Omni Auto Receivables Trust 2014-A | 1.530% | 6/15/20 | 1,925 | 1,923 |
4 World Omni Auto Receivables Trust 2014-B | 1.140% | 1/15/20 | 2,475 | 2,463 |
4 World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 1,000 | 994 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2013-A | 1.100% | 12/15/16 | 1,720 | 1,724 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2014-A | 1.160% | 9/15/17 | 1,950 | 1,949 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2014-A | 1.370% | 1/15/20 | 575 | 573 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,509,169) | 2,606,843 | |||
Corporate Bonds (25.0%) | ||||
Finance (8.2%) | ||||
Banking (5.5%) | ||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 3,635 | 3,769 |
Abbey National Treasury Services plc | 1.375% | 3/13/17 | 13,265 | 13,251 |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 5,700 | 5,892 |
Abbey National Treasury Services plc | 2.350% | 9/10/19 | 6,200 | 6,205 |
Abbey National Treasury Services plc | 4.000% | 3/13/24 | 5,350 | 5,571 |
American Express Bank FSB | 6.000% | 9/13/17 | 11,275 | 12,550 |
American Express Centurion Bank | 0.875% | 11/13/15 | 500 | 500 |
American Express Centurion Bank | 5.950% | 6/12/17 | 650 | 718 |
American Express Centurion Bank | 6.000% | 9/13/17 | 8,700 | 9,690 |
American Express Co. | 5.500% | 9/12/16 | 1,025 | 1,100 |
American Express Co. | 6.150% | 8/28/17 | 15,715 | 17,506 |
American Express Co. | 7.000% | 3/19/18 | 15,044 | 17,385 |
American Express Co. | 1.550% | 5/22/18 | 4,675 | 4,615 |
American Express Co. | 2.650% | 12/2/22 | 5,040 | 4,944 |
American Express Co. | 3.625% | 12/5/24 | 5,775 | 5,835 |
American Express Co. | 4.050% | 12/3/42 | 650 | 655 |
4 American Express Co. | 6.800% | 9/1/66 | 2,800 | 2,936 |
American Express Credit Corp. | 5.300% | 12/2/15 | 2,000 | 2,080 |
American Express Credit Corp. | 1.300% | 7/29/16 | 1,900 | 1,909 |
American Express Credit Corp. | 2.800% | 9/19/16 | 13,215 | 13,606 |
American Express Credit Corp. | 2.375% | 3/24/17 | 5,700 | 5,827 |
American Express Credit Corp. | 1.125% | 6/5/17 | 12,600 | 12,560 |
American Express Credit Corp. | 2.125% | 7/27/18 | 10,700 | 10,785 |
American Express Credit Corp. | 2.125% | 3/18/19 | 3,625 | 3,622 |
Associates Corp. of North America | 6.950% | 11/1/18 | 4,815 | 5,625 |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 12,232 | 12,246 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 6/13/17 | 1,250 | 1,247 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 3,750 | 3,785 |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 3,000 | 2,962 |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 2,600 | 2,601 |
Bank of America Corp. | 1.250% | 1/11/16 | 7,100 | 7,106 |
Bank of America Corp. | 3.625% | 3/17/16 | 15,125 | 15,552 |
Bank of America Corp. | 6.050% | 5/16/16 | 7,980 | 8,458 |
Bank of America Corp. | 3.750% | 7/12/16 | 8,695 | 9,003 |
40
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 6.500% | 8/1/16 | 29,070 | 31,329 |
Bank of America Corp. | 5.750% | 8/15/16 | 3,250 | 3,452 |
Bank of America Corp. | 7.800% | 9/15/16 | 2,825 | 3,109 |
Bank of America Corp. | 5.625% | 10/14/16 | 14,700 | 15,740 |
Bank of America Corp. | 1.350% | 11/21/16 | 3,450 | 3,437 |
Bank of America Corp. | 5.420% | 3/15/17 | 7,425 | 7,963 |
Bank of America Corp. | 3.875% | 3/22/17 | 500 | 523 |
Bank of America Corp. | 5.700% | 5/2/17 | 9,035 | 9,763 |
Bank of America Corp. | 1.700% | 8/25/17 | 5,400 | 5,401 |
Bank of America Corp. | 6.400% | 8/28/17 | 16,784 | 18,666 |
Bank of America Corp. | 6.000% | 9/1/17 | 400 | 441 |
Bank of America Corp. | 5.750% | 12/1/17 | 6,880 | 7,608 |
Bank of America Corp. | 2.000% | 1/11/18 | 28,152 | 28,100 |
Bank of America Corp. | 6.875% | 4/25/18 | 26,670 | 30,636 |
Bank of America Corp. | 5.650% | 5/1/18 | 26,030 | 28,913 |
Bank of America Corp. | 6.500% | 7/15/18 | 10,060 | 11,482 |
Bank of America Corp. | 2.600% | 1/15/19 | 31,975 | 32,228 |
Bank of America Corp. | 2.650% | 4/1/19 | 11,325 | 11,405 |
Bank of America Corp. | 7.625% | 6/1/19 | 14,720 | 17,796 |
Bank of America Corp. | 5.625% | 7/1/20 | 10,865 | 12,373 |
Bank of America Corp. | 5.875% | 1/5/21 | 6,890 | 8,015 |
Bank of America Corp. | 5.000% | 5/13/21 | 4,795 | 5,337 |
Bank of America Corp. | 5.700% | 1/24/22 | 3,586 | 4,153 |
Bank of America Corp. | 3.300% | 1/11/23 | 33,600 | 33,529 |
Bank of America Corp. | 4.100% | 7/24/23 | 8,400 | 8,846 |
Bank of America Corp. | 4.125% | 1/22/24 | 16,900 | 17,752 |
Bank of America Corp. | 4.000% | 4/1/24 | 26,000 | 27,079 |
Bank of America Corp. | 4.200% | 8/26/24 | 20,750 | 21,178 |
Bank of America Corp. | 4.250% | 10/22/26 | 17,000 | 16,983 |
Bank of America Corp. | 6.110% | 1/29/37 | 7,615 | 9,083 |
Bank of America Corp. | 7.750% | 5/14/38 | 11,205 | 15,963 |
Bank of America Corp. | 5.875% | 2/7/42 | 10,550 | 13,258 |
Bank of America Corp. | 5.000% | 1/21/44 | 11,500 | 12,875 |
Bank of America Corp. | 4.875% | 4/1/44 | 4,225 | 4,667 |
Bank of America NA | 1.125% | 11/14/16 | 6,975 | 6,951 |
Bank of America NA | 5.300% | 3/15/17 | 15,125 | 16,236 |
Bank of America NA | 6.100% | 6/15/17 | 1,975 | 2,172 |
Bank of America NA | 6.000% | 10/15/36 | 6,975 | 8,723 |
Bank of Montreal | 0.800% | 11/6/15 | 3,900 | 3,909 |
Bank of Montreal | 1.300% | 7/15/16 | 1,900 | 1,911 |
Bank of Montreal | 2.500% | 1/11/17 | 11,225 | 11,496 |
Bank of Montreal | 1.300% | 7/14/17 | 9,000 | 8,963 |
Bank of Montreal | 1.400% | 9/11/17 | 7,000 | 7,004 |
Bank of Montreal | 2.375% | 1/25/19 | 15,775 | 15,911 |
Bank of Montreal | 2.550% | 11/6/22 | 3,925 | 3,828 |
Bank of New York Mellon Corp. | 2.500% | 1/15/16 | 4,050 | 4,123 |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 2,654 | 2,708 |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 725 | 742 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 3,200 | 3,244 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 1,975 | 1,953 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 11,000 | 10,884 |
Bank of New York Mellon Corp. | 2.100% | 8/1/18 | 1,548 | 1,564 |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 2,675 | 2,683 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 7,625 | 7,621 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 6,645 | 7,519 |
41
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 17,000 | 17,028 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 6,975 | 7,686 |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 1,250 | 1,349 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 5,700 | 5,960 |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 3,000 | 3,147 |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 2,875 | 2,916 |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 4,500 | 4,526 |
Bank of Nova Scotia | 2.900% | 3/29/16 | 145 | 149 |
Bank of Nova Scotia | 1.375% | 7/15/16 | 6,450 | 6,495 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 6,830 | 7,050 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 3,800 | 3,788 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 4,590 | 4,556 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 27,525 | 27,564 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 12,930 | 12,870 |
Bank of Nova Scotia | 2.125% | 9/11/19 | 7,400 | 7,421 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 1,570 | 1,746 |
Bank of Nova Scotia | 2.800% | 7/21/21 | 9,325 | 9,323 |
7 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.450% | 9/11/15 | 4,000 | 4,044 |
Bank One Capital III | 8.750% | 9/1/30 | 290 | 418 |
Bank One Corp. | 7.625% | 10/15/26 | 975 | 1,284 |
Bank One Corp. | 8.000% | 4/29/27 | 2,500 | 3,377 |
Bank One Michigan | 8.250% | 11/1/24 | 6,000 | 8,106 |
Barclays Bank plc | 5.000% | 9/22/16 | 16,390 | 17,435 |
Barclays Bank plc | 2.500% | 2/20/19 | 20,206 | 20,450 |
Barclays Bank plc | 6.750% | 5/22/19 | 3,040 | 3,582 |
Barclays Bank plc | 5.125% | 1/8/20 | 1,815 | 2,032 |
Barclays Bank plc | 5.140% | 10/14/20 | 4,745 | 5,153 |
Barclays Bank plc | 3.750% | 5/15/24 | 10,900 | 11,221 |
Barclays plc | 2.750% | 11/8/19 | 3,200 | 3,188 |
BB&T Corp. | 5.200% | 12/23/15 | 10,874 | 11,310 |
BB&T Corp. | 3.200% | 3/15/16 | 7,170 | 7,335 |
BB&T Corp. | 2.150% | 3/22/17 | 3,750 | 3,809 |
BB&T Corp. | 4.900% | 6/30/17 | 100 | 108 |
BB&T Corp. | 1.600% | 8/15/17 | 915 | 916 |
BB&T Corp. | 1.450% | 1/12/18 | 3,925 | 3,889 |
BB&T Corp. | 2.050% | 6/19/18 | 3,000 | 3,017 |
BB&T Corp. | 2.250% | 2/1/19 | 1,800 | 1,803 |
BB&T Corp. | 6.850% | 4/30/19 | 1,261 | 1,496 |
BB&T Corp. | 5.250% | 11/1/19 | 3,650 | 4,064 |
BB&T Corp. | 2.450% | 1/15/20 | 1,500 | 1,496 |
BB&T Corp. | 3.950% | 3/22/22 | 4,049 | 4,251 |
BBVA US Senior SAU | 4.664% | 10/9/15 | 9,955 | 10,226 |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 5,130 | 5,527 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 17,650 | 19,708 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 29,905 | 34,476 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 425 | 459 |
BNP Paribas SA | 3.600% | 2/23/16 | 5,575 | 5,732 |
BNP Paribas SA | 2.375% | 9/14/17 | 16,175 | 16,437 |
BNP Paribas SA | 2.700% | 8/20/18 | 17,950 | 18,336 |
BNP Paribas SA | 2.450% | 3/17/19 | 2,400 | 2,432 |
BNP Paribas SA | 5.000% | 1/15/21 | 13,065 | 14,610 |
BNP Paribas SA | 3.250% | 3/3/23 | 14,325 | 14,623 |
BPCE SA | 1.625% | 2/10/17 | 5,150 | 5,168 |
BPCE SA | 1.613% | 7/25/17 | 7,000 | 6,963 |
BPCE SA | 2.500% | 12/10/18 | 5,500 | 5,576 |
42
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
BPCE SA | 2.500% | 7/15/19 | 6,320 | 6,379 | |
BPCE SA | 4.000% | 4/15/24 | 10,300 | 10,771 | |
Branch Banking & Trust Co. | 5.625% | 9/15/16 | 1,875 | 2,008 | |
Branch Banking & Trust Co. | 1.050% | 12/1/16 | 475 | 474 | |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 10,345 | 10,297 | |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 6,000 | 6,060 | |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 7,000 | 7,030 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 4,300 | 4,365 | |
Canadian Imperial Bank of Commerce | 0.900% | 10/1/15 | 3,475 | 3,487 | |
Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 3,620 | 3,658 | |
Canadian Imperial Bank of Commerce | 1.350% | 7/18/16 | 3,625 | 3,644 | |
Capital One Bank USA NA | 1.300% | 6/5/17 | 4,450 | 4,411 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 10,000 | 9,913 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 7,000 | 6,941 | |
Capital One Bank USA NA | 8.800% | 7/15/19 | 6,825 | 8,510 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 6,085 | 6,031 | |
Capital One Financial Corp. | 3.150% | 7/15/16 | 9,545 | 9,821 | |
Capital One Financial Corp. | 6.150% | 9/1/16 | 3,125 | 3,358 | |
Capital One Financial Corp. | 6.750% | 9/15/17 | 2,070 | 2,333 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 6,875 | 6,860 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 1,545 | 1,700 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 1,210 | 1,221 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 5,400 | 5,476 | |
Capital One NA | 1.500% | 9/5/17 | 2,800 | 2,777 | |
Capital One NA | 1.500% | 3/22/18 | 6,075 | 5,980 | |
Capital One NA | 2.400% | 9/5/19 | 3,150 | 3,134 | |
Capital One NA | 2.950% | 7/23/21 | 18,000 | 17,878 | |
4,7 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 4,025 | 4,924 |
Citigroup Inc. | 5.300% | 1/7/16 | 5,550 | 5,789 | |
Citigroup Inc. | 1.250% | 1/15/16 | 6,575 | 6,572 | |
Citigroup Inc. | 1.300% | 4/1/16 | 6,825 | 6,835 | |
Citigroup Inc. | 3.953% | 6/15/16 | 7,465 | 7,752 | |
Citigroup Inc. | 1.700% | 7/25/16 | 7,050 | 7,095 | |
Citigroup Inc. | 5.850% | 8/2/16 | 265 | 283 | |
Citigroup Inc. | 4.450% | 1/10/17 | 10,650 | 11,267 | |
Citigroup Inc. | 5.500% | 2/15/17 | 12,485 | 13,454 | |
Citigroup Inc. | 1.350% | 3/10/17 | 4,000 | 3,982 | |
Citigroup Inc. | 1.550% | 8/14/17 | 5,275 | 5,263 | |
Citigroup Inc. | 6.000% | 8/15/17 | 3,441 | 3,809 | |
Citigroup Inc. | 6.125% | 11/21/17 | 20,170 | 22,475 | |
Citigroup Inc. | 1.850% | 11/24/17 | 2,000 | 1,999 | |
Citigroup Inc. | 1.750% | 5/1/18 | 10,075 | 9,961 | |
Citigroup Inc. | 6.125% | 5/15/18 | 12,457 | 14,073 | |
Citigroup Inc. | 2.500% | 9/26/18 | 10,875 | 10,997 | |
Citigroup Inc. | 2.550% | 4/8/19 | 30,000 | 30,189 | |
Citigroup Inc. | 8.500% | 5/22/19 | 13,415 | 16,680 | |
Citigroup Inc. | 2.500% | 7/29/19 | 17,225 | 17,223 | |
Citigroup Inc. | 5.375% | 8/9/20 | 14,014 | 15,852 | |
Citigroup Inc. | 4.500% | 1/14/22 | 14,300 | 15,630 | |
Citigroup Inc. | 4.050% | 7/30/22 | 4,300 | 4,436 | |
Citigroup Inc. | 3.375% | 3/1/23 | 6,600 | 6,649 | |
Citigroup Inc. | 3.500% | 5/15/23 | 5,425 | 5,275 | |
Citigroup Inc. | 3.875% | 10/25/23 | 7,425 | 7,697 | |
Citigroup Inc. | 3.750% | 6/16/24 | 14,450 | 14,726 | |
Citigroup Inc. | 4.000% | 8/5/24 | 5,525 | 5,529 |
43
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Citigroup Inc. | 5.500% | 9/13/25 | 6,425 | 7,103 |
Citigroup Inc. | 4.300% | 11/20/26 | 5,000 | 4,981 |
Citigroup Inc. | 6.625% | 1/15/28 | 2,700 | 3,423 |
Citigroup Inc. | 6.625% | 6/15/32 | 1,925 | 2,377 |
Citigroup Inc. | 5.875% | 2/22/33 | 5,180 | 5,953 |
Citigroup Inc. | 6.000% | 10/31/33 | 2,900 | 3,368 |
Citigroup Inc. | 5.850% | 12/11/34 | 530 | 643 |
Citigroup Inc. | 6.125% | 8/25/36 | 12,610 | 14,981 |
Citigroup Inc. | 6.875% | 3/5/38 | 5,919 | 8,047 |
Citigroup Inc. | 8.125% | 7/15/39 | 12,925 | 19,667 |
Citigroup Inc. | 5.875% | 1/30/42 | 4,264 | 5,366 |
Citigroup Inc. | 6.675% | 9/13/43 | 5,000 | 6,464 |
Citigroup Inc. | 4.950% | 11/7/43 | 10,000 | 11,252 |
Citigroup Inc. | 5.300% | 5/6/44 | 7,725 | 8,358 |
Citizens Bank NA | 1.600% | 12/4/17 | 3,000 | 2,987 |
Citizens Bank NA | 2.450% | 12/4/19 | 3,100 | 3,080 |
Comerica Bank | 5.750% | 11/21/16 | 3,775 | 4,086 |
Comerica Bank | 5.200% | 8/22/17 | 2,800 | 3,043 |
Comerica Inc. | 4.800% | 5/1/15 | 1,100 | 1,114 |
Comerica Inc. | 2.125% | 5/23/19 | 1,000 | 993 |
Commonwealth Bank of Australia | 1.250% | 9/18/15 | 9,300 | 9,344 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 7,625 | 7,586 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 2,000 | 2,020 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 4,000 | 4,064 |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 2,000 | 2,013 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 3,600 | 3,611 |
Compass Bank | 1.850% | 9/29/17 | 2,000 | 1,991 |
Compass Bank | 6.400% | 10/1/17 | 1,940 | 2,119 |
Compass Bank | 2.750% | 9/29/19 | 2,000 | 1,999 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 14,150 | 14,748 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 18,700 | 18,821 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 12,265 | 13,518 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 8,025 | 8,539 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 6,250 | 6,368 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 13,525 | 14,350 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 10,115 | 12,125 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 5,425 | 6,494 |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 1,467 | 1,555 |
Credit Suisse | 1.375% | 5/26/17 | 22,600 | 22,533 |
Credit Suisse | 6.000% | 2/15/18 | 15,564 | 17,310 |
Credit Suisse | 2.300% | 5/28/19 | 18,350 | 18,294 |
Credit Suisse | 5.300% | 8/13/19 | 8,700 | 9,756 |
Credit Suisse | 5.400% | 1/14/20 | 12,275 | 13,710 |
Credit Suisse | 4.375% | 8/5/20 | 2,650 | 2,867 |
Credit Suisse AG | 3.000% | 10/29/21 | 7,350 | 7,294 |
Credit Suisse AG | 3.625% | 9/9/24 | 12,275 | 12,470 |
Credit Suisse USA Inc. | 5.375% | 3/2/16 | 680 | 715 |
44
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 5,385 | 7,543 |
Deutsche Bank AG | 3.250% | 1/11/16 | 13,370 | 13,656 |
Deutsche Bank AG | 1.400% | 2/13/17 | 1,600 | 1,596 |
Deutsche Bank AG | 6.000% | 9/1/17 | 15,213 | 16,871 |
Deutsche Bank AG | 2.500% | 2/13/19 | 28,500 | 28,855 |
Deutsche Bank AG | 3.700% | 5/30/24 | 5,000 | 5,111 |
4 Deutsche Bank AG | 4.296% | 5/24/28 | 7,025 | 6,731 |
Discover Bank | 2.000% | 2/21/18 | 14,970 | 14,923 |
Discover Bank | 7.000% | 4/15/20 | 1,350 | 1,593 |
Discover Bank | 3.200% | 8/9/21 | 11,400 | 11,424 |
Discover Bank | 4.200% | 8/8/23 | 1,350 | 1,409 |
Discover Bank | 4.250% | 3/13/26 | 1,925 | 1,982 |
Discover Financial Services | 6.450% | 6/12/17 | 325 | 359 |
Discover Financial Services | 5.200% | 4/27/22 | 950 | 1,051 |
Discover Financial Services | 3.850% | 11/21/22 | 5,630 | 5,695 |
Fifth Third Bancorp | 3.625% | 1/25/16 | 9,340 | 9,574 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 725 | 781 |
Fifth Third Bancorp | 2.300% | 3/1/19 | 4,000 | 3,999 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 6,025 | 6,195 |
Fifth Third Bancorp | 4.300% | 1/16/24 | 8,050 | 8,411 |
Fifth Third Bancorp | 8.250% | 3/1/38 | 3,571 | 5,404 |
Fifth Third Bank | 1.150% | 11/18/16 | 1,950 | 1,947 |
Fifth Third Bank | 1.450% | 2/28/18 | 5,000 | 4,940 |
Fifth Third Bank | 2.375% | 4/25/19 | 10,000 | 10,029 |
First Horizon National Corp. | 5.375% | 12/15/15 | 7,825 | 8,102 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,350 | 1,487 |
FirstMerit Bank NA | 4.270% | 11/25/26 | 4,150 | 4,200 |
FirstMerit Corp. | 4.350% | 2/4/23 | 4,950 | 5,176 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 7,375 | 8,737 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 14,375 | 14,988 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 22,140 | 22,722 |
Goldman Sachs Group Inc. | 5.750% | 10/1/16 | 3,330 | 3,574 |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 7,170 | 7,692 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 12,380 | 13,759 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 6,215 | 6,902 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 27,892 | 28,147 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 28,975 | 32,527 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 24,900 | 25,487 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 18,000 | 18,111 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 19,730 | 23,437 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 10,000 | 9,945 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 23,140 | 25,937 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 18,290 | 21,072 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 17,950 | 20,201 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 29,850 | 34,537 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 9,700 | 9,839 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 15,000 | 15,547 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 4,125 | 4,231 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 4,795 | 5,445 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 7,990 | 9,792 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 10,750 | 12,863 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 34,680 | 43,431 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 7,205 | 9,106 |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 13,975 | 14,829 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 4,275 | 4,719 |
45
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 2,575 | 3,253 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 3,950 | 4,828 |
HSBC Bank USA NA | 7.000% | 1/15/39 | 325 | 465 |
HSBC Holdings plc | 5.100% | 4/5/21 | 12,020 | 13,564 |
HSBC Holdings plc | 4.875% | 1/14/22 | 2,625 | 2,929 |
HSBC Holdings plc | 4.000% | 3/30/22 | 11,725 | 12,458 |
HSBC Holdings plc | 4.250% | 3/14/24 | 20,000 | 20,801 |
HSBC Holdings plc | 7.625% | 5/17/32 | 325 | 446 |
HSBC Holdings plc | 7.350% | 11/27/32 | 600 | 813 |
HSBC Holdings plc | 6.500% | 5/2/36 | 15,765 | 20,080 |
HSBC Holdings plc | 6.500% | 9/15/37 | 13,815 | 17,691 |
HSBC Holdings plc | 6.800% | 6/1/38 | 5,875 | 7,734 |
HSBC Holdings plc | 6.100% | 1/14/42 | 7,225 | 9,643 |
HSBC Holdings plc | 5.250% | 3/14/44 | 5,050 | 5,652 |
HSBC USA Inc. | 1.300% | 6/23/17 | 1,000 | 998 |
HSBC USA Inc. | 1.500% | 11/13/17 | 8,500 | 8,473 |
HSBC USA Inc. | 1.625% | 1/16/18 | 11,975 | 11,916 |
HSBC USA Inc. | 2.625% | 9/24/18 | 9,670 | 9,930 |
HSBC USA Inc. | 2.250% | 6/23/19 | 1,000 | 997 |
HSBC USA Inc. | 2.375% | 11/13/19 | 9,500 | 9,488 |
HSBC USA Inc. | 5.000% | 9/27/20 | 4,455 | 4,868 |
HSBC USA Inc. | 3.500% | 6/23/24 | 11,425 | 11,750 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 1,100 | 1,111 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 6,900 | 8,274 |
Huntington National Bank | 1.350% | 8/2/16 | 800 | 800 |
Huntington National Bank | 1.375% | 4/24/17 | 9,200 | 9,124 |
Huntington National Bank | 2.200% | 4/1/19 | 925 | 919 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 7,650 | 7,781 |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 4,375 | 4,411 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 4,775 | 4,968 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 14,120 | 14,623 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 6,175 | 6,706 |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 4,695 | 4,831 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 4,525 | 4,603 |
JPMorgan Chase & Co. | 1.125% | 2/26/16 | 24,425 | 24,481 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 5,320 | 5,457 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 19,504 | 20,040 |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 2,650 | 2,651 |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,325 | 3,670 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 11,050 | 11,165 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 14,967 | 16,719 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 3,800 | 3,800 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 13,325 | 13,171 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 11,125 | 11,184 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 16,210 | 18,839 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 16,300 | 16,151 |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 1,300 | 1,436 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 10,795 | 11,680 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 16,350 | 17,567 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 1,140 | 1,254 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 25,190 | 27,355 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 11,325 | 12,344 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 25,100 | 25,252 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 21,875 | 21,890 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 9,300 | 9,183 |
46
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 23,025 | 23,963 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 10,325 | 10,551 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 17,000 | 17,019 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 13,000 | 12,969 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 14,865 | 19,418 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 5,825 | 7,003 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 6,300 | 7,626 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 3,375 | 3,972 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 8,560 | 9,967 |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 7,725 | 8,567 |
JPMorgan Chase Bank NA | 5.875% | 6/13/16 | 7,950 | 8,458 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 9,579 | 10,634 |
KeyBank NA | 5.450% | 3/3/16 | 2,500 | 2,624 |
KeyBank NA | 1.650% | 2/1/18 | 11,150 | 11,086 |
KeyBank NA | 2.500% | 12/15/19 | 2,000 | 2,008 |
KeyCorp | 2.300% | 12/13/18 | 3,275 | 3,288 |
KeyCorp | 5.100% | 3/24/21 | 8,490 | 9,596 |
Lloyds Bank plc | 4.875% | 1/21/16 | 5,370 | 5,565 |
Lloyds Bank plc | 4.200% | 3/28/17 | 5,050 | 5,356 |
Lloyds Bank plc | 2.300% | 11/27/18 | 13,850 | 13,963 |
Lloyds Bank plc | 2.350% | 9/5/19 | 5,000 | 4,995 |
Lloyds Bank plc | 6.375% | 1/21/21 | 5,500 | 6,623 |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 4,500 | 4,542 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 4,000 | 3,990 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 2,475 | 2,801 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 6,000 | 5,988 |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 11,000 | 10,975 |
4 Manufacturers & Traders Trust Co. | 5.585% | 12/28/20 | 100 | 104 |
Morgan Stanley | 1.750% | 2/25/16 | 2,800 | 2,816 |
Morgan Stanley | 3.800% | 4/29/16 | 10,290 | 10,620 |
Morgan Stanley | 5.750% | 10/18/16 | 4,700 | 5,044 |
Morgan Stanley | 5.450% | 1/9/17 | 3,815 | 4,095 |
Morgan Stanley | 4.750% | 3/22/17 | 9,990 | 10,641 |
Morgan Stanley | 5.550% | 4/27/17 | 12,000 | 13,006 |
Morgan Stanley | 5.950% | 12/28/17 | 12,065 | 13,391 |
Morgan Stanley | 1.875% | 1/5/18 | 5,000 | 4,983 |
Morgan Stanley | 6.625% | 4/1/18 | 12,465 | 14,202 |
Morgan Stanley | 2.125% | 4/25/18 | 27,475 | 27,468 |
Morgan Stanley | 2.500% | 1/24/19 | 28,575 | 28,604 |
Morgan Stanley | 7.300% | 5/13/19 | 26,185 | 31,025 |
Morgan Stanley | 2.375% | 7/23/19 | 28,700 | 28,433 |
Morgan Stanley | 5.625% | 9/23/19 | 11,555 | 13,045 |
Morgan Stanley | 5.500% | 1/26/20 | 15,250 | 17,161 |
Morgan Stanley | 5.500% | 7/24/20 | 2,150 | 2,426 |
Morgan Stanley | 5.750% | 1/25/21 | 12,940 | 14,850 |
Morgan Stanley | 5.500% | 7/28/21 | 3,175 | 3,606 |
Morgan Stanley | 4.875% | 11/1/22 | 12,625 | 13,412 |
Morgan Stanley | 3.750% | 2/25/23 | 10,400 | 10,679 |
Morgan Stanley | 4.100% | 5/22/23 | 11,975 | 12,135 |
Morgan Stanley | 3.875% | 4/29/24 | 7,700 | 7,903 |
Morgan Stanley | 3.700% | 10/23/24 | 15,850 | 16,057 |
Morgan Stanley | 5.000% | 11/24/25 | 13,250 | 14,143 |
Morgan Stanley | 6.250% | 8/9/26 | 9,100 | 10,937 |
Morgan Stanley | 4.350% | 9/8/26 | 7,275 | 7,308 |
Morgan Stanley | 7.250% | 4/1/32 | 6,895 | 9,438 |
47
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Morgan Stanley | 6.375% | 7/24/42 | 15,075 | 19,898 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 5,400 | 5,561 |
MUFG Union Bank NA | 5.950% | 5/11/16 | 1,375 | 1,459 |
MUFG Union Bank NA | 1.500% | 9/26/16 | 2,275 | 2,284 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 1,800 | 1,819 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 13,800 | 13,972 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 2,375 | 2,367 |
Murray Street Investment Trust I | 4.647% | 3/9/17 | 6,300 | 6,650 |
National Australia Bank Ltd. | 0.900% | 1/20/16 | 7,500 | 7,518 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 6,515 | 6,709 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 3,225 | 3,272 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 3,200 | 3,191 |
National Bank of Canada | 1.450% | 11/7/17 | 2,200 | 2,183 |
National City Bank | 5.800% | 6/7/17 | 2,055 | 2,258 |
National City Corp. | 6.875% | 5/15/19 | 4,965 | 5,831 |
Northern Trust Co. | 6.500% | 8/15/18 | 425 | 490 |
Northern Trust Corp. | 2.375% | 8/2/22 | 10,550 | 10,267 |
Northern Trust Corp. | 3.950% | 10/30/25 | 9,350 | 9,700 |
People’s United Bank | 4.000% | 7/15/24 | 3,000 | 3,043 |
People’s United Financial Inc. | 3.650% | 12/6/22 | 2,945 | 2,975 |
PNC Bank NA | 0.800% | 1/28/16 | 6,500 | 6,505 |
PNC Bank NA | 1.150% | 11/1/16 | 1,250 | 1,252 |
PNC Bank NA | 4.875% | 9/21/17 | 3,575 | 3,854 |
PNC Bank NA | 1.500% | 10/18/17 | 9,000 | 8,980 |
PNC Bank NA | 6.000% | 12/7/17 | 1,950 | 2,176 |
PNC Bank NA | 2.200% | 1/28/19 | 6,475 | 6,482 |
PNC Bank NA | 2.250% | 7/2/19 | 4,400 | 4,388 |
PNC Bank NA | 2.400% | 10/18/19 | 11,700 | 11,746 |
PNC Bank NA | 2.700% | 11/1/22 | 6,251 | 6,007 |
PNC Bank NA | 2.950% | 1/30/23 | 4,500 | 4,383 |
PNC Bank NA | 3.300% | 10/30/24 | 4,950 | 5,041 |
PNC Bank NA | 4.200% | 11/1/25 | 7,000 | 7,399 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 2,875 | 2,840 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 12,450 | 12,673 |
PNC Funding Corp. | 2.700% | 9/19/16 | 1,945 | 1,999 |
PNC Funding Corp. | 5.625% | 2/1/17 | 325 | 351 |
PNC Funding Corp. | 6.700% | 6/10/19 | 6,475 | 7,649 |
PNC Funding Corp. | 5.125% | 2/8/20 | 5,700 | 6,401 |
PNC Funding Corp. | 4.375% | 8/11/20 | 6,975 | 7,581 |
PNC Funding Corp. | 3.300% | 3/8/22 | 4,000 | 4,090 |
Regions Bank | 7.500% | 5/15/18 | 5,000 | 5,796 |
Regions Bank | 6.450% | 6/26/37 | 1,329 | 1,661 |
Regions Financial Corp. | 2.000% | 5/15/18 | 7,000 | 6,923 |
Regions Financial Corp. | 7.375% | 12/10/37 | 7,000 | 9,096 |
Royal Bank of Canada | 2.625% | 12/15/15 | 9,125 | 9,293 |
Royal Bank of Canada | 2.875% | 4/19/16 | 2,425 | 2,488 |
Royal Bank of Canada | 2.300% | 7/20/16 | 19,255 | 19,656 |
Royal Bank of Canada | 1.200% | 1/23/17 | 12,900 | 12,892 |
Royal Bank of Canada | 1.250% | 6/16/17 | 5,700 | 5,676 |
Royal Bank of Canada | 1.400% | 10/13/17 | 3,150 | 3,138 |
Royal Bank of Canada | 1.500% | 1/16/18 | 7,000 | 6,968 |
Royal Bank of Canada | 2.200% | 7/27/18 | 12,375 | 12,468 |
Royal Bank of Canada | 2.200% | 9/23/19 | 24,550 | 24,669 |
Royal Bank of Scotland Group plc | 1.875% | 3/31/17 | 3,400 | 3,399 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 10,630 | 12,298 |
48
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 12,030 | 12,472 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 7,355 | 8,377 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 2,630 | 3,095 |
Santander Bank NA | 8.750% | 5/30/18 | 675 | 804 |
Santander Holdings USA Inc. | 4.625% | 4/19/16 | 4,025 | 4,194 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 5,325 | 5,514 |
Societe Generale SA | 2.625% | 10/1/18 | 17,500 | 17,809 |
State Street Bank & Trust Co. | 5.300% | 1/15/16 | 2,725 | 2,842 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 2,879 | 3,212 |
State Street Corp. | 2.875% | 3/7/16 | 6,235 | 6,376 |
State Street Corp. | 5.375% | 4/30/17 | 185 | 202 |
State Street Corp. | 4.956% | 3/15/18 | 868 | 940 |
State Street Corp. | 4.375% | 3/7/21 | 1,385 | 1,518 |
State Street Corp. | 3.100% | 5/15/23 | 11,175 | 11,037 |
State Street Corp. | 3.700% | 11/20/23 | 7,200 | 7,550 |
Sumitomo Mitsui Banking Corp. | 0.900% | 1/18/16 | 200 | 200 |
Sumitomo Mitsui Banking Corp. | 1.450% | 7/19/16 | 400 | 402 |
Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 1,175 | 1,172 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 5,350 | 5,301 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 6,925 | 6,926 |
Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 2,750 | 2,710 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 7,025 | 7,103 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 4,525 | 4,549 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 5,500 | 5,460 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 2,675 | 2,718 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 550 | 546 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 5,350 | 5,652 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 6,125 | 6,521 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 2,900 | 2,966 |
SunTrust Bank | 7.250% | 3/15/18 | 1,200 | 1,388 |
SunTrust Bank | 2.750% | 5/1/23 | 2,150 | 2,101 |
SunTrust Banks Inc. | 3.600% | 4/15/16 | 4,160 | 4,283 |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 4,070 | 4,238 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,550 | 2,828 |
SunTrust Banks Inc. | 2.350% | 11/1/18 | 7,075 | 7,097 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 2,700 | 2,715 |
Svenska Handelsbanken AB | 2.875% | 4/4/17 | 10,975 | 11,342 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 10,975 | 10,939 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 6,750 | 6,878 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 7,300 | 7,340 |
Synchrony Financial | 1.875% | 8/15/17 | 800 | 799 |
Synchrony Financial | 3.000% | 8/15/19 | 8,000 | 8,074 |
Synchrony Financial | 3.750% | 8/15/21 | 3,500 | 3,573 |
Synchrony Financial | 4.250% | 8/15/24 | 7,250 | 7,445 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 2,495 | 2,557 |
Toronto-Dominion Bank | 2.375% | 10/19/16 | 6,078 | 6,222 |
Toronto-Dominion Bank | 1.125% | 5/2/17 | 7,000 | 6,968 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 11,954 | 11,808 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 10,000 | 10,247 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 4,600 | 4,597 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 13,000 | 13,023 |
UBS AG | 5.875% | 7/15/16 | 3,670 | 3,926 |
UBS AG | 7.375% | 6/15/17 | 3,350 | 3,750 |
UBS AG | 1.375% | 8/14/17 | 14,025 | 13,947 |
UBS AG | 5.875% | 12/20/17 | 9,485 | 10,603 |
49
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
UBS AG | 5.750% | 4/25/18 | 9,140 | 10,248 |
UBS AG | 2.375% | 8/14/19 | 19,600 | 19,602 |
UBS AG | 4.875% | 8/4/20 | 15,550 | 17,322 |
UBS AG | 7.750% | 9/1/26 | 1,325 | 1,755 |
US Bancorp | 3.442% | 2/1/16 | 4,395 | 4,499 |
US Bancorp | 2.200% | 11/15/16 | 9,450 | 9,640 |
US Bancorp | 1.650% | 5/15/17 | 6,650 | 6,700 |
US Bancorp | 1.950% | 11/15/18 | 4,475 | 4,481 |
US Bancorp | 4.125% | 5/24/21 | 4,615 | 5,023 |
US Bancorp | 3.000% | 3/15/22 | 4,225 | 4,288 |
US Bancorp | 2.950% | 7/15/22 | 13,275 | 13,124 |
US Bancorp | 3.700% | 1/30/24 | 11,450 | 12,007 |
US Bancorp | 3.600% | 9/11/24 | 1,375 | 1,395 |
US Bank NA | 1.100% | 1/30/17 | 3,850 | 3,847 |
Vesey Street Investment Trust I | 4.404% | 9/1/16 | 625 | 656 |
Wachovia Bank NA | 6.000% | 11/15/17 | 2,975 | 3,335 |
Wachovia Bank NA | 5.850% | 2/1/37 | 11,275 | 14,128 |
Wachovia Bank NA | 6.600% | 1/15/38 | 9,695 | 13,470 |
Wachovia Corp. | 5.625% | 10/15/16 | 11,800 | 12,698 |
Wachovia Corp. | 5.750% | 6/15/17 | 11,920 | 13,166 |
Wachovia Corp. | 5.750% | 2/1/18 | 12,165 | 13,619 |
Wachovia Corp. | 6.605% | 10/1/25 | 100 | 123 |
Wachovia Corp. | 5.500% | 8/1/35 | 1,775 | 2,078 |
Wachovia Corp. | 6.550% | 10/15/35 | 250 | 316 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 13,820 | 14,339 |
Wells Fargo & Co. | 1.250% | 7/20/16 | 3,900 | 3,914 |
Wells Fargo & Co. | 5.125% | 9/15/16 | 1,060 | 1,131 |
Wells Fargo & Co. | 2.625% | 12/15/16 | 5,400 | 5,559 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 3,625 | 3,687 |
Wells Fargo & Co. | 1.150% | 6/2/17 | 8,675 | 8,640 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 7,825 | 7,818 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 20,451 | 22,766 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 8,800 | 8,737 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 9,250 | 9,260 |
Wells Fargo & Co. | 2.125% | 4/22/19 | 20,950 | 20,917 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 5,000 | 5,110 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 14,640 | 16,270 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 18,200 | 18,998 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 12,575 | 12,690 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 18,350 | 19,265 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 10,000 | 10,641 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 14,250 | 14,308 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 5,125 | 5,223 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 4,475 | 5,362 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 12,379 | 14,080 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 7,500 | 8,827 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 13,975 | 14,417 |
Wells Fargo Bank NA | 5.750% | 5/16/16 | 3,600 | 3,828 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 2,700 | 3,391 |
4 Wells Fargo Capital X | 5.950% | 12/1/86 | 3,600 | 3,672 |
Westpac Banking Corp. | 3.000% | 12/9/15 | 1,735 | 1,772 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 2,550 | 2,556 |
Westpac Banking Corp. | 1.200% | 5/19/17 | 6,300 | 6,280 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 4,750 | 4,813 |
Westpac Banking Corp. | 1.500% | 12/1/17 | 14,375 | 14,381 |
50
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 4,210 | 4,195 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 8,400 | 8,509 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 15,200 | 15,358 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 9,420 | 10,480 |
Brokerage (0.3%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 7,000 | 7,284 |
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 2,500 | 2,601 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 2,575 | 2,922 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 2,400 | 2,536 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 4,500 | 4,611 |
4 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 2,475 | 2,648 |
BlackRock Inc. | 6.250% | 9/15/17 | 1,150 | 1,288 |
BlackRock Inc. | 5.000% | 12/10/19 | 3,840 | 4,337 |
BlackRock Inc. | 4.250% | 5/24/21 | 7,525 | 8,311 |
BlackRock Inc. | 3.375% | 6/1/22 | 7,250 | 7,497 |
BlackRock Inc. | 3.500% | 3/18/24 | 8,000 | 8,222 |
Charles Schwab Corp. | 0.850% | 12/4/15 | 600 | 601 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 1,000 | 1,099 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 5,814 | 5,955 |
CME Group Inc. | 3.000% | 9/15/22 | 6,400 | 6,510 |
CME Group Inc. | 5.300% | 9/15/43 | 6,925 | 8,430 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,925 | 1,968 |
7 FMR LLC | 7.490% | 6/15/19 | 200 | 240 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 1,400 | 1,395 |
Franklin Resources Inc. | 4.625% | 5/20/20 | 700 | 776 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 4,875 | 4,868 |
IntercontinentalExchange Group Inc. | 2.500% | 10/15/18 | 1,100 | 1,120 |
IntercontinentalExchange Group Inc. | 4.000% | 10/15/23 | 14,975 | 15,755 |
Invesco Finance plc | 3.125% | 11/30/22 | 6,575 | 6,512 |
Invesco Finance plc | 4.000% | 1/30/24 | 8,050 | 8,435 |
Invesco Finance plc | 5.375% | 11/30/43 | 5,950 | 7,142 |
Jefferies Group LLC | 5.125% | 4/13/18 | 3,975 | 4,199 |
Jefferies Group LLC | 8.500% | 7/15/19 | 3,000 | 3,585 |
Jefferies Group LLC | 6.875% | 4/15/21 | 7,020 | 7,955 |
Jefferies Group LLC | 5.125% | 1/20/23 | 3,425 | 3,437 |
Jefferies Group LLC | 6.450% | 6/8/27 | 1,175 | 1,212 |
Jefferies Group LLC | 6.250% | 1/15/36 | 1,855 | 1,809 |
Jefferies Group LLC | 6.500% | 1/20/43 | 3,175 | 3,209 |
Lazard Group LLC | 6.850% | 6/15/17 | 2,675 | 2,978 |
Lazard Group LLC | 4.250% | 11/14/20 | 1,675 | 1,761 |
Legg Mason Inc. | 2.700% | 7/15/19 | 800 | 804 |
Legg Mason Inc. | 3.950% | 7/15/24 | 1,475 | 1,496 |
Legg Mason Inc. | 5.625% | 1/15/44 | 4,875 | 5,554 |
Leucadia National Corp. | 5.500% | 10/18/23 | 8,225 | 8,414 |
Leucadia National Corp. | 6.625% | 10/23/43 | 625 | 635 |
NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 6,800 | 7,505 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 275 | 283 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 8,500 | 8,547 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 23,000 | 23,099 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 4,025 | 4,742 |
NYSE Euronext | 2.000% | 10/5/17 | 5,000 | 5,044 |
Raymond James Financial Inc. | 4.250% | 4/15/16 | 1,000 | 1,037 |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 5,000 | 6,203 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 925 | 1,057 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 4,000 | 4,053 |
51
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Finance Companies (0.6%) | ||||
Air Lease Corp. | 5.625% | 4/1/17 | 8,000 | 8,600 |
Air Lease Corp. | 2.125% | 1/15/18 | 4,300 | 4,225 |
Air Lease Corp. | 3.375% | 1/15/19 | 5,000 | 5,062 |
Air Lease Corp. | 4.750% | 3/1/20 | 4,000 | 4,250 |
Air Lease Corp. | 3.875% | 4/1/21 | 10,625 | 10,678 |
Air Lease Corp. | 4.250% | 9/15/24 | 1,100 | 1,111 |
Ares Capital Corp. | 4.875% | 11/30/18 | 7,150 | 7,512 |
Block Financial LLC | 5.500% | 11/1/22 | 1,500 | 1,653 |
Fifth Street Finance Corp. | 4.875% | 3/1/19 | 3,300 | 3,385 |
FS Investment Corp. | 4.000% | 7/15/19 | 2,225 | 2,217 |
FS Investment Corp. | 4.250% | 1/15/20 | 1,000 | 990 |
GATX Corp. | 2.375% | 7/30/18 | 7,000 | 7,046 |
GATX Corp. | 2.500% | 7/30/19 | 300 | 298 |
GATX Corp. | 2.600% | 3/30/20 | 250 | 246 |
GATX Corp. | 4.750% | 6/15/22 | 2,050 | 2,243 |
GATX Corp. | 5.200% | 3/15/44 | 400 | 437 |
4 GE Capital Trust I | 6.375% | 11/15/67 | 3,432 | 3,698 |
General Electric Capital Corp. | 1.000% | 1/8/16 | 5,250 | 5,269 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 150 | 157 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 19,225 | 19,772 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 6,875 | 6,944 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 6,925 | 7,201 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 6,825 | 7,409 |
General Electric Capital Corp. | 2.450% | 3/15/17 | 3,242 | 3,333 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 13,550 | 13,872 |
General Electric Capital Corp. | 1.250% | 5/15/17 | 7,250 | 7,261 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 9,140 | 10,143 |
General Electric Capital Corp. | 1.600% | 11/20/17 | 1,800 | 1,812 |
General Electric Capital Corp. | 1.625% | 4/2/18 | 8,550 | 8,564 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 24,285 | 27,312 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 750 | 762 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 9,975 | 11,599 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 900 | 903 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 15,000 | 17,186 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 18,710 | 21,567 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 11,875 | 13,001 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 12,615 | 14,026 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 15,830 | 18,062 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 25,379 | 28,559 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 11,550 | 11,731 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 20,995 | 21,248 |
General Electric Capital Corp. | 3.450% | 5/15/24 | 3,500 | 3,622 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 27,635 | 37,638 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 11,972 | 15,562 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 36,390 | 45,949 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 22,035 | 31,103 |
4 General Electric Capital Corp. | 6.375% | 11/15/67 | 9,491 | 10,227 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 10,245 | 10,713 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 29,065 | 34,491 |
7 International Lease Finance Corp. | 6.750% | 9/1/16 | 16,350 | 17,494 |
7 International Lease Finance Corp. | 7.125% | 9/1/18 | 12,965 | 14,521 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 2,150 | 2,190 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 750 | 772 |
52
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Insurance (1.2%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 1,000 | 1,492 |
ACE INA Holdings Inc. | 5.600% | 5/15/15 | 1,725 | 1,755 |
ACE INA Holdings Inc. | 5.700% | 2/15/17 | 1,400 | 1,529 |
ACE INA Holdings Inc. | 5.800% | 3/15/18 | 675 | 759 |
ACE INA Holdings Inc. | 5.900% | 6/15/19 | 785 | 903 |
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 2,100 | 2,041 |
ACE INA Holdings Inc. | 3.350% | 5/15/24 | 7,650 | 7,723 |
ACE INA Holdings Inc. | 6.700% | 5/15/36 | 400 | 563 |
ACE INA Holdings Inc. | 4.150% | 3/13/43 | 5,475 | 5,726 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 5,641 | 6,498 |
Aetna Inc. | 1.500% | 11/15/17 | 1,000 | 995 |
Aetna Inc. | 3.950% | 9/1/20 | 5,500 | 5,816 |
Aetna Inc. | 4.125% | 6/1/21 | 2,230 | 2,401 |
Aetna Inc. | 2.750% | 11/15/22 | 14,260 | 13,875 |
Aetna Inc. | 3.500% | 11/15/24 | 2,950 | 2,994 |
Aetna Inc. | 6.625% | 6/15/36 | 3,100 | 4,134 |
Aetna Inc. | 6.750% | 12/15/37 | 1,425 | 1,888 |
Aetna Inc. | 4.500% | 5/15/42 | 5,000 | 5,284 |
Aetna Inc. | 4.125% | 11/15/42 | 1,675 | 1,676 |
Aflac Inc. | 2.650% | 2/15/17 | 2,565 | 2,639 |
Aflac Inc. | 8.500% | 5/15/19 | 4,984 | 6,236 |
Aflac Inc. | 3.625% | 6/15/23 | 10,300 | 10,491 |
Aflac Inc. | 6.900% | 12/17/39 | 1,900 | 2,579 |
Aflac Inc. | 6.450% | 8/15/40 | 1,050 | 1,369 |
AIG Life Holdings Inc. | 8.500% | 7/1/30 | 3,825 | 5,154 |
Alleghany Corp. | 5.625% | 9/15/20 | 1,000 | 1,124 |
Alleghany Corp. | 4.950% | 6/27/22 | 3,200 | 3,520 |
Alleghany Corp. | 4.900% | 9/15/44 | 3,175 | 3,301 |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 6,875 | 7,507 |
Allstate Corp. | 3.150% | 6/15/23 | 2,200 | 2,187 |
Allstate Corp. | 5.350% | 6/1/33 | 225 | 273 |
Allstate Corp. | 5.550% | 5/9/35 | 520 | 644 |
Allstate Corp. | 5.950% | 4/1/36 | 525 | 684 |
Allstate Corp. | 4.500% | 6/15/43 | 1,575 | 1,739 |
4 Allstate Corp. | 5.750% | 8/15/53 | 2,000 | 2,100 |
4 Allstate Corp. | 6.125% | 5/15/67 | 7,734 | 8,179 |
4 Allstate Corp. | 6.500% | 5/15/67 | 3,750 | 4,125 |
Alterra Finance LLC | 6.250% | 9/30/20 | 815 | 946 |
American Financial Group Inc. | 9.875% | 6/15/19 | 2,060 | 2,646 |
American International Group Inc. | 5.600% | 10/18/16 | 4,825 | 5,185 |
American International Group Inc. | 5.450% | 5/18/17 | 2,815 | 3,069 |
American International Group Inc. | 5.850% | 1/16/18 | 10,525 | 11,761 |
American International Group Inc. | 2.300% | 7/16/19 | 3,000 | 3,001 |
American International Group Inc. | 3.375% | 8/15/20 | 1,625 | 1,684 |
American International Group Inc. | 6.400% | 12/15/20 | 11,675 | 13,895 |
American International Group Inc. | 4.875% | 6/1/22 | 10,300 | 11,558 |
American International Group Inc. | 4.125% | 2/15/24 | 5,475 | 5,828 |
American International Group Inc. | 6.250% | 5/1/36 | 15,420 | 19,891 |
American International Group Inc. | 6.820% | 11/15/37 | 1,107 | 1,520 |
American International Group Inc. | 4.500% | 7/16/44 | 4,225 | 4,438 |
4 American International Group Inc. | 8.175% | 5/15/68 | 6,940 | 9,395 |
4 American International Group Inc. | 6.250% | 3/15/87 | 6,348 | 7,083 |
Anthem Inc. | 2.375% | 2/15/17 | 1,700 | 1,732 |
Anthem Inc. | 5.875% | 6/15/17 | 3,725 | 4,097 |
53
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Anthem Inc. | 1.875% | 1/15/18 | 2,975 | 2,970 |
Anthem Inc. | 7.000% | 2/15/19 | 630 | 743 |
Anthem Inc. | 3.700% | 8/15/21 | 5,205 | 5,450 |
Anthem Inc. | 3.125% | 5/15/22 | 9,620 | 9,616 |
Anthem Inc. | 3.300% | 1/15/23 | 4,200 | 4,185 |
Anthem Inc. | 3.500% | 8/15/24 | 10,000 | 10,081 |
Anthem Inc. | 5.950% | 12/15/34 | 5,050 | 6,250 |
Anthem Inc. | 5.850% | 1/15/36 | 2,400 | 2,949 |
Anthem Inc. | 6.375% | 6/15/37 | 3,620 | 4,694 |
Anthem Inc. | 4.625% | 5/15/42 | 7,000 | 7,351 |
Anthem Inc. | 4.650% | 1/15/43 | 8,375 | 8,709 |
Anthem Inc. | 5.100% | 1/15/44 | 730 | 820 |
Anthem Inc. | 4.650% | 8/15/44 | 2,700 | 2,857 |
Anthem Inc. | 4.850% | 8/15/54 | 5,100 | 5,349 |
Aon Corp. | 5.000% | 9/30/20 | 6,370 | 7,110 |
Aon Corp. | 8.205% | 1/1/27 | 475 | 615 |
Aon Corp. | 6.250% | 9/30/40 | 2,125 | 2,707 |
Aon plc | 4.000% | 11/27/23 | 2,675 | 2,816 |
Aon plc | 3.500% | 6/14/24 | 6,550 | 6,559 |
Aon plc | 4.450% | 5/24/43 | 1,350 | 1,343 |
Aon plc | 4.600% | 6/14/44 | 1,400 | 1,451 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 1,175 | 1,629 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 6,050 | 6,758 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 4,250 | 4,861 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 8,900 | 9,238 |
Assurant Inc. | 4.000% | 3/15/23 | 1,000 | 1,025 |
Assurant Inc. | 6.750% | 2/15/34 | 3,825 | 4,728 |
AXA SA | 8.600% | 12/15/30 | 7,170 | 9,724 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 5,300 | 6,000 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 1,075 | 1,078 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 2,600 | 2,832 |
Berkshire Hathaway Finance Corp. | 2.450% | 12/15/15 | 2,050 | 2,086 |
Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 3,400 | 3,430 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 13,645 | 15,280 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 9,750 | 9,854 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 4,550 | 4,661 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 6,020 | 6,616 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 3,325 | 3,371 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 145 | 186 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 2,100 | 2,246 |
Berkshire Hathaway Inc. | 0.800% | 2/11/16 | 2,025 | 2,030 |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 20,370 | 20,795 |
Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 5,000 | 5,079 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 225 | 225 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 7,000 | 7,033 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 1,575 | 1,592 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 8,525 | 9,284 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 3,000 | 3,038 |
Chubb Corp. | 5.750% | 5/15/18 | 9,277 | 10,478 |
Chubb Corp. | 6.000% | 5/11/37 | 1,925 | 2,507 |
4 Chubb Corp. | 6.375% | 3/29/67 | 4,690 | 5,018 |
Cigna Corp. | 2.750% | 11/15/16 | 8,005 | 8,219 |
Cigna Corp. | 5.125% | 6/15/20 | 875 | 975 |
Cigna Corp. | 4.375% | 12/15/20 | 200 | 216 |
Cigna Corp. | 4.500% | 3/15/21 | 1,090 | 1,190 |
54
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Cigna Corp. | 4.000% | 2/15/22 | 1,385 | 1,459 |
Cigna Corp. | 7.875% | 5/15/27 | 425 | 577 |
Cigna Corp. | 6.150% | 11/15/36 | 9,259 | 11,593 |
Cigna Corp. | 5.875% | 3/15/41 | 1,865 | 2,323 |
Cigna Corp. | 5.375% | 2/15/42 | 3,575 | 4,218 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 4,325 | 5,492 |
CNA Financial Corp. | 6.500% | 8/15/16 | 1,750 | 1,892 |
CNA Financial Corp. | 7.350% | 11/15/19 | 3,005 | 3,585 |
CNA Financial Corp. | 5.875% | 8/15/20 | 1,805 | 2,060 |
CNA Financial Corp. | 5.750% | 8/15/21 | 1,515 | 1,732 |
CNA Financial Corp. | 3.950% | 5/15/24 | 2,975 | 3,010 |
Coventry Health Care Inc. | 5.950% | 3/15/17 | 1,800 | 1,970 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 1,985 | 2,269 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 1,279 | 1,592 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 3,000 | 3,153 |
First American Financial Corp. | 4.300% | 2/1/23 | 1,025 | 1,031 |
First American Financial Corp. | 4.600% | 11/15/24 | 3,175 | 3,220 |
Hartford Financial Services Group Inc. | 5.500% | 10/15/16 | 975 | 1,046 |
Hartford Financial Services Group Inc. | 5.375% | 3/15/17 | 900 | 972 |
Hartford Financial Services Group Inc. | 4.000% | 10/15/17 | 5,225 | 5,559 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 2,134 | 2,413 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 925 | 1,051 |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 5,000 | 5,649 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 825 | 926 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 125 | 154 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 1,650 | 2,064 |
Hartford Financial Services Group Inc. | 6.625% | 4/15/42 | 1,793 | 2,405 |
HCC Insurance Holdings Inc. | 6.300% | 11/15/19 | 1,600 | 1,842 |
Humana Inc. | 7.200% | 6/15/18 | 2,375 | 2,768 |
Humana Inc. | 6.300% | 8/1/18 | 150 | 171 |
Humana Inc. | 2.625% | 10/1/19 | 1,525 | 1,524 |
Humana Inc. | 3.150% | 12/1/22 | 3,825 | 3,728 |
Humana Inc. | 3.850% | 10/1/24 | 3,900 | 3,954 |
Humana Inc. | 8.150% | 6/15/38 | 2,025 | 2,936 |
Humana Inc. | 4.625% | 12/1/42 | 2,175 | 2,200 |
Humana Inc. | 4.950% | 10/1/44 | 8,800 | 9,368 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 950 | 1,011 |
Lincoln National Corp. | 8.750% | 7/1/19 | 5,026 | 6,309 |
Lincoln National Corp. | 6.250% | 2/15/20 | 4,745 | 5,531 |
Lincoln National Corp. | 4.850% | 6/24/21 | 1,132 | 1,251 |
Lincoln National Corp. | 4.200% | 3/15/22 | 100 | 106 |
Lincoln National Corp. | 4.000% | 9/1/23 | 325 | 338 |
Lincoln National Corp. | 6.150% | 4/7/36 | 3,450 | 4,277 |
Lincoln National Corp. | 7.000% | 6/15/40 | 1,385 | 1,911 |
4 Lincoln National Corp. | 7.000% | 5/17/66 | 9,635 | 9,659 |
4 Lincoln National Corp. | 6.050% | 4/20/67 | 2,108 | 2,111 |
Loews Corp. | 2.625% | 5/15/23 | 8,800 | 8,319 |
Loews Corp. | 6.000% | 2/1/35 | 200 | 246 |
Loews Corp. | 4.125% | 5/15/43 | 9,175 | 8,710 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 4,875 | 5,370 |
Markel Corp. | 7.125% | 9/30/19 | 825 | 980 |
Markel Corp. | 4.900% | 7/1/22 | 4,865 | 5,337 |
Markel Corp. | 3.625% | 3/30/23 | 2,175 | 2,193 |
Markel Corp. | 5.000% | 3/30/43 | 575 | 611 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 1,000 | 1,003 |
55
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 2,265 | 2,511 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 3,100 | 3,095 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 3,425 | 3,448 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 3,775 | 4,662 |
7 Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 575 | 925 |
MetLife Inc. | 6.750% | 6/1/16 | 895 | 965 |
MetLife Inc. | 1.756% | 12/15/17 | 7,625 | 7,659 |
MetLife Inc. | 1.903% | 12/15/17 | 3,045 | 3,052 |
MetLife Inc. | 6.817% | 8/15/18 | 895 | 1,045 |
MetLife Inc. | 7.717% | 2/15/19 | 1,570 | 1,907 |
MetLife Inc. | 4.750% | 2/8/21 | 8,895 | 9,928 |
MetLife Inc. | 3.048% | 12/15/22 | 2,425 | 2,413 |
MetLife Inc. | 3.600% | 4/10/24 | 16,300 | 16,765 |
MetLife Inc. | 6.500% | 12/15/32 | 250 | 333 |
MetLife Inc. | 6.375% | 6/15/34 | 1,770 | 2,363 |
MetLife Inc. | 5.700% | 6/15/35 | 3,400 | 4,256 |
MetLife Inc. | 5.875% | 2/6/41 | 6,870 | 8,605 |
MetLife Inc. | 4.125% | 8/13/42 | 7,350 | 7,379 |
MetLife Inc. | 4.875% | 11/13/43 | 6,300 | 7,086 |
MetLife Inc. | 4.721% | 12/15/44 | 4,000 | 4,434 |
4 MetLife Inc. | 6.400% | 12/15/66 | 5,235 | 5,837 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 275 | 283 |
Munich Re America Corp. | 7.450% | 12/15/26 | 1,200 | 1,575 |
4 Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 400 | 418 |
Old Republic International Corp. | 4.875% | 10/1/24 | 4,200 | 4,370 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,000 | 1,042 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 8,008 | 9,007 |
Primerica Inc. | 4.750% | 7/15/22 | 475 | 522 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 10,090 | 12,638 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 1,825 | 2,273 |
ProAssurance Corp. | 5.300% | 11/15/23 | 875 | 960 |
Progressive Corp. | 3.750% | 8/23/21 | 10,855 | 11,638 |
Progressive Corp. | 6.625% | 3/1/29 | 725 | 965 |
Progressive Corp. | 4.350% | 4/25/44 | 1,850 | 1,994 |
4 Progressive Corp. | 6.700% | 6/15/67 | 3,815 | 4,125 |
Protective Life Corp. | 7.375% | 10/15/19 | 950 | 1,146 |
Protective Life Corp. | 8.450% | 10/15/39 | 6,144 | 9,252 |
Prudential Financial Inc. | 5.500% | 3/15/16 | 1,575 | 1,660 |
Prudential Financial Inc. | 3.000% | 5/12/16 | 3,150 | 3,233 |
Prudential Financial Inc. | 6.000% | 12/1/17 | 5,000 | 5,603 |
Prudential Financial Inc. | 2.300% | 8/15/18 | 3,400 | 3,435 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 795 | 956 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 2,700 | 2,703 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 6,545 | 7,395 |
Prudential Financial Inc. | 4.500% | 11/15/20 | 5,000 | 5,424 |
Prudential Financial Inc. | 4.500% | 11/16/21 | 1,000 | 1,092 |
Prudential Financial Inc. | 3.500% | 5/15/24 | 2,400 | 2,438 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 1,280 | 1,558 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 2,775 | 3,220 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 2,300 | 2,790 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 7,370 | 8,766 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 2,100 | 2,759 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 3,700 | 4,850 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 1,745 | 2,061 |
4 Prudential Financial Inc. | 5.875% | 9/15/42 | 4,850 | 5,117 |
56
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Prudential Financial Inc. | 5.625% | 6/15/43 | 11,250 | 11,559 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 5,525 | 6,247 |
4 Prudential Financial Inc. | 5.200% | 3/15/44 | 2,875 | 2,846 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 4,300 | 4,528 |
4 Prudential Financial Inc. | 8.875% | 6/15/68 | 2,000 | 2,337 |
Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 1,500 | 1,622 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 1,000 | 1,163 |
4 Reinsurance Group of America Inc. | 6.750% | 12/15/65 | 5,675 | 5,803 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,425 | 3,080 |
Torchmark Corp. | 6.375% | 6/15/16 | 1,225 | 1,315 |
Torchmark Corp. | 9.250% | 6/15/19 | 895 | 1,134 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 6,325 | 9,126 |
Travelers Cos. Inc. | 5.500% | 12/1/15 | 3,815 | 3,971 |
Travelers Cos. Inc. | 6.250% | 6/20/16 | 1,100 | 1,186 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 4,475 | 4,999 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 1,215 | 1,373 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 475 | 550 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 2,170 | 2,327 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 1,525 | 2,130 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 4,885 | 6,502 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 4,245 | 5,177 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,670 | 1,870 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 750 | 776 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 2,325 | 2,660 |
UnitedHealth Group Inc. | 1.875% | 11/15/16 | 325 | 330 |
UnitedHealth Group Inc. | 6.000% | 6/15/17 | 3,825 | 4,248 |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 2,450 | 2,446 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 8,035 | 9,063 |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 7,000 | 6,897 |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 1,050 | 1,053 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 5,000 | 5,328 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 1,135 | 1,264 |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 145 | 151 |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 1,025 | 1,035 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 3,300 | 3,316 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 3,600 | 3,533 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 5,000 | 4,965 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 4,525 | 5,606 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 625 | 835 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 4,550 | 6,176 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 13,420 | 18,944 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 250 | 324 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 8,475 | 9,136 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,000 | 1,065 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 2,200 | 2,192 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 7,225 | 7,552 |
Unum Group | 5.625% | 9/15/20 | 825 | 934 |
Unum Group | 4.000% | 3/15/24 | 6,300 | 6,461 |
Unum Group | 5.750% | 8/15/42 | 1,925 | 2,235 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 2,950 | 4,066 |
Voya Financial Inc. | 2.900% | 2/15/18 | 3,905 | 3,989 |
Voya Financial Inc. | 5.500% | 7/15/22 | 525 | 593 |
Voya Financial Inc. | 5.700% | 7/15/43 | 4,750 | 5,668 |
Willis Group Holdings plc | 4.125% | 3/15/16 | 3,775 | 3,891 |
Willis Group Holdings plc | 5.750% | 3/15/21 | 1,885 | 2,104 |
57
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Willis North America Inc. | 6.200% | 3/28/17 | 1,125 | 1,217 |
WR Berkley Corp. | 5.375% | 9/15/20 | 375 | 418 |
WR Berkley Corp. | 4.625% | 3/15/22 | 7,300 | 7,846 |
WR Berkley Corp. | 4.750% | 8/1/44 | 705 | 723 |
XLIT Ltd. | 5.750% | 10/1/21 | 4,030 | 4,679 |
XLIT Ltd. | 6.375% | 11/15/24 | 175 | 208 |
XLIT Ltd. | 6.250% | 5/15/27 | 2,192 | 2,645 |
XLIT Ltd. | 5.250% | 12/15/43 | 2,550 | 2,877 |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 150 | 155 |
ORIX Corp. | 4.710% | 4/27/15 | 1,500 | 1,518 |
ORIX Corp. | 5.000% | 1/12/16 | 840 | 870 |
ORIX Corp. | 3.750% | 3/9/17 | 2,350 | 2,434 |
XTRA Finance Corp. | 5.150% | 4/1/17 | 4,525 | 4,889 |
Real Estate Investment Trusts (0.6%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 2,000 | 1,978 |
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 2,575 | 2,734 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 375 | 377 |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 2,325 | 2,372 |
American Campus Communities Operating | ||||
Partnership LP | 4.125% | 7/1/24 | 2,200 | 2,227 |
AvalonBay Communities Inc. | 5.750% | 9/15/16 | 275 | 296 |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 6,000 | 6,228 |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 325 | 317 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 2,320 | 2,241 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,655 | 1,760 |
AvalonBay Communities Inc. | 3.500% | 11/15/24 | 850 | 853 |
BioMed Realty LP | 3.850% | 4/15/16 | 2,500 | 2,577 |
BioMed Realty LP | 2.625% | 5/1/19 | 1,200 | 1,198 |
BioMed Realty LP | 4.250% | 7/15/22 | 3,050 | 3,165 |
Boston Properties LP | 3.700% | 11/15/18 | 2,035 | 2,148 |
Boston Properties LP | 5.625% | 11/15/20 | 4,925 | 5,620 |
Boston Properties LP | 4.125% | 5/15/21 | 1,410 | 1,497 |
Boston Properties LP | 3.850% | 2/1/23 | 8,700 | 9,017 |
Boston Properties LP | 3.800% | 2/1/24 | 5,300 | 5,443 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 275 | 297 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 4,225 | 4,513 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 1,300 | 1,311 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 1,950 | 1,969 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 975 | 983 |
Camden Property Trust | 2.950% | 12/15/22 | 5,950 | 5,805 |
CBL & Associates LP | 5.250% | 12/1/23 | 2,950 | 3,155 |
CBL & Associates LP | 4.600% | 10/15/24 | 3,300 | 3,354 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 6,375 | 6,378 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 1,300 | 1,249 |
CubeSmart LP | 4.375% | 12/15/23 | 2,850 | 3,020 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,525 | 1,590 |
DDR Corp. | 7.875% | 9/1/20 | 3,300 | 4,086 |
DDR Corp. | 3.500% | 1/15/21 | 1,950 | 1,966 |
DDR Corp. | 4.625% | 7/15/22 | 4,550 | 4,858 |
DDR Corp. | 3.375% | 5/15/23 | 3,825 | 3,715 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 4,965 | 5,419 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 175 | 172 |
58
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Duke Realty LP | 5.950% | 2/15/17 | 5,170 | 5,608 |
Duke Realty LP | 6.750% | 3/15/20 | 275 | 324 |
Duke Realty LP | 3.875% | 2/15/21 | 10,000 | 10,366 |
Duke Realty LP | 3.625% | 4/15/23 | 4,915 | 4,930 |
Duke Realty LP | 3.750% | 12/1/24 | 1,500 | 1,520 |
EPR Properties | 5.750% | 8/15/22 | 575 | 626 |
EPR Properties | 5.250% | 7/15/23 | 3,375 | 3,521 |
Equity CommonWealth | 6.250% | 6/15/17 | 1,725 | 1,849 |
Equity CommonWealth | 6.650% | 1/15/18 | 975 | 1,069 |
Equity Commonwealth | 5.875% | 9/15/20 | 1,300 | 1,419 |
Equity One Inc. | 3.750% | 11/15/22 | 2,000 | 2,007 |
ERP Operating LP | 5.125% | 3/15/16 | 3,050 | 3,198 |
ERP Operating LP | 5.375% | 8/1/16 | 975 | 1,038 |
ERP Operating LP | 5.750% | 6/15/17 | 550 | 605 |
ERP Operating LP | 4.750% | 7/15/20 | 385 | 421 |
ERP Operating LP | 4.625% | 12/15/21 | 4,400 | 4,819 |
ERP Operating LP | 3.000% | 4/15/23 | 4,875 | 4,794 |
ERP Operating LP | 4.500% | 7/1/44 | 4,600 | 4,811 |
Essex Portfolio LP | 5.500% | 3/15/17 | 975 | 1,054 |
Essex Portfolio LP | 3.375% | 1/15/23 | 1,125 | 1,106 |
Essex Portfolio LP | 3.250% | 5/1/23 | 1,425 | 1,387 |
Excel Trust LP | 4.625% | 5/15/24 | 2,075 | 2,154 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 1,600 | 1,606 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 950 | 915 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 3,800 | 3,956 |
HCP Inc. | 3.750% | 2/1/16 | 7,630 | 7,842 |
HCP Inc. | 6.300% | 9/15/16 | 950 | 1,029 |
HCP Inc. | 6.000% | 1/30/17 | 5,000 | 5,453 |
HCP Inc. | 2.625% | 2/1/20 | 5,000 | 4,949 |
HCP Inc. | 5.375% | 2/1/21 | 3,690 | 4,132 |
HCP Inc. | 3.150% | 8/1/22 | 3,375 | 3,321 |
HCP Inc. | 4.250% | 11/15/23 | 8,750 | 9,191 |
HCP Inc. | 4.200% | 3/1/24 | 9,300 | 9,650 |
HCP Inc. | 6.750% | 2/1/41 | 925 | 1,254 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 175 | 180 |
Health Care REIT Inc. | 6.200% | 6/1/16 | 3,250 | 3,469 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 1,850 | 1,989 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 8,900 | 8,957 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 2,995 | 3,189 |
Health Care REIT Inc. | 6.125% | 4/15/20 | 3,850 | 4,431 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 5,340 | 5,854 |
Health Care REIT Inc. | 5.250% | 1/15/22 | 175 | 194 |
Health Care REIT Inc. | 3.750% | 3/15/23 | 5,250 | 5,316 |
Health Care REIT Inc. | 6.500% | 3/15/41 | 175 | 231 |
Health Care REIT Inc. | 5.125% | 3/15/43 | 4,450 | 4,902 |
Healthcare Realty Trust Inc. | 6.500% | 1/17/17 | 1,600 | 1,747 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 4,666 | 5,226 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 1,500 | 1,481 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,200 | 2,191 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 875 | 868 |
Highwoods Realty LP | 3.200% | 6/15/21 | 4,000 | 3,984 |
Hospitality Properties Trust | 5.625% | 3/15/17 | 3,150 | 3,376 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 6,600 | 7,309 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 3,725 | 3,817 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 1,475 | 1,480 |
59
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kilroy Realty LP | 4.800% | 7/15/18 | 7,125 | 7,667 |
Kilroy Realty LP | 3.800% | 1/15/23 | 4,300 | 4,353 |
Kilroy Realty LP | 4.250% | 8/15/29 | 3,025 | 3,021 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 3,125 | 3,292 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 5,250 | 5,719 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 840 | 895 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 1,750 | 2,072 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 1,775 | 1,740 |
Lexington Realty Trust | 4.400% | 6/15/24 | 1,875 | 1,905 |
Liberty Property LP | 5.125% | 3/2/15 | 4,170 | 4,199 |
Liberty Property LP | 6.625% | 10/1/17 | 1,800 | 2,018 |
Liberty Property LP | 4.750% | 10/1/20 | 450 | 487 |
Liberty Property LP | 3.375% | 6/15/23 | 1,775 | 1,732 |
Liberty Property LP | 4.400% | 2/15/24 | 1,700 | 1,784 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,700 | 1,703 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 4,425 | 5,245 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 3,350 | 3,387 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 3,850 | 3,526 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,200 | 2,317 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 2,800 | 2,820 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 6,950 | 7,893 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 1,600 | 1,640 |
National Retail Properties Inc. | 3.900% | 6/15/24 | 4,600 | 4,663 |
Omega Healthcare Investors Inc. | 6.750% | 10/15/22 | 3,258 | 3,453 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 3,685 | 3,925 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 2,550 | 2,627 |
7 Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 1,850 | 1,841 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 5,975 | 5,796 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 1,800 | 1,855 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 3,025 | 3,003 |
ProLogis LP | 4.500% | 8/15/17 | 775 | 827 |
ProLogis LP | 2.750% | 2/15/19 | 8,025 | 8,146 |
ProLogis LP | 6.875% | 3/15/20 | 3,675 | 4,341 |
ProLogis LP | 4.250% | 8/15/23 | 1,800 | 1,901 |
Realty Income Corp. | 2.000% | 1/31/18 | 700 | 701 |
Realty Income Corp. | 6.750% | 8/15/19 | 5,665 | 6,658 |
Realty Income Corp. | 5.750% | 1/15/21 | 3,000 | 3,416 |
Realty Income Corp. | 3.250% | 10/15/22 | 825 | 813 |
Realty Income Corp. | 4.650% | 8/1/23 | 2,475 | 2,667 |
Regency Centers LP | 5.875% | 6/15/17 | 3,400 | 3,732 |
Regency Centers LP | 4.800% | 4/15/21 | 2,000 | 2,190 |
Regency Centers LP | 3.750% | 6/15/24 | 4,700 | 4,786 |
Retail Opportunity Investments Corp. | 5.000% | 12/15/23 | 1,250 | 1,361 |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 700 | 714 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 4,000 | 4,024 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 1,500 | 1,541 |
Simon Property Group LP | 5.750% | 12/1/15 | 5,975 | 6,177 |
Simon Property Group LP | 5.250% | 12/1/16 | 5,965 | 6,378 |
Simon Property Group LP | 2.800% | 1/30/17 | 3,525 | 3,630 |
Simon Property Group LP | 2.150% | 9/15/17 | 6,250 | 6,371 |
Simon Property Group LP | 6.125% | 5/30/18 | 1,875 | 2,134 |
Simon Property Group LP | 2.200% | 2/1/19 | 12,850 | 12,914 |
Simon Property Group LP | 5.650% | 2/1/20 | 3,875 | 4,451 |
Simon Property Group LP | 4.375% | 3/1/21 | 1,895 | 2,076 |
Simon Property Group LP | 3.375% | 3/15/22 | 1,675 | 1,727 |
60
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Simon Property Group LP | 2.750% | 2/1/23 | 3,650 | 3,587 |
Simon Property Group LP | 3.750% | 2/1/24 | 5,000 | 5,251 |
Simon Property Group LP | 6.750% | 2/1/40 | 3,925 | 5,463 |
Simon Property Group LP | 4.750% | 3/15/42 | 1,300 | 1,448 |
Simon Property Group LP | 4.250% | 10/1/44 | 4,000 | 4,147 |
Tanger Properties LP | 3.875% | 12/1/23 | 725 | 744 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,000 | 1,009 |
UDR Inc. | 4.250% | 6/1/18 | 575 | 614 |
UDR Inc. | 3.700% | 10/1/20 | 1,250 | 1,294 |
UDR Inc. | 4.625% | 1/10/22 | 3,800 | 4,093 |
Ventas Realty LP | 1.250% | 4/17/17 | 2,700 | 2,677 |
Ventas Realty LP | 3.750% | 5/1/24 | 1,400 | 1,411 |
Ventas Realty LP / Ventas Capital Corp. | 3.125% | 11/30/15 | 7,905 | 8,065 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 1,125 | 1,125 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 4,225 | 4,474 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 2,425 | 2,408 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 975 | 1,061 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 1,300 | 1,365 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 5,375 | 5,303 |
Vornado Realty LP | 2.500% | 6/30/19 | 2,400 | 2,377 |
Vornado Realty LP | 5.000% | 1/15/22 | 5,500 | 6,024 |
Washington REIT | 4.950% | 10/1/20 | 800 | 865 |
Washington REIT | 3.950% | 10/15/22 | 1,050 | 1,053 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 675 | 668 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,125 | 2,099 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 600 | 639 |
WP Carey Inc. | 4.600% | 4/1/24 | 3,980 | 4,178 |
7,448,360 | ||||
Industrial (14.8%) | ||||
Basic Industry (1.3%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 1,500 | 1,730 |
Agrium Inc. | 3.150% | 10/1/22 | 13,560 | 13,175 |
Agrium Inc. | 3.500% | 6/1/23 | 7,664 | 7,570 |
Agrium Inc. | 6.125% | 1/15/41 | 275 | 321 |
Agrium Inc. | 4.900% | 6/1/43 | 5,910 | 6,121 |
Agrium Inc. | 5.250% | 1/15/45 | 2,250 | 2,459 |
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 1,050 | 1,068 |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 1,075 | 1,065 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 7,860 | 8,016 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 4,375 | 4,454 |
Airgas Inc. | 1.650% | 2/15/18 | 4,000 | 3,958 |
Airgas Inc. | 2.900% | 11/15/22 | 4,000 | 3,969 |
Airgas Inc. | 3.650% | 7/15/24 | 3,750 | 3,835 |
Albemarle Corp. | 3.000% | 12/1/19 | 4,025 | 4,021 |
Albemarle Corp. | 4.500% | 12/15/20 | 450 | 485 |
Albemarle Corp. | 4.150% | 12/1/24 | 3,200 | 3,268 |
Albemarle Corp. | 5.450% | 12/1/44 | 2,800 | 2,996 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 350 | 399 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 11,700 | 11,260 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 2,475 | 2,413 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 4,400 | 4,162 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 2,650 | 2,978 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 13,635 | 13,769 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 500 | 585 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 4,775 | 4,672 |
61
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 4,625 | 4,630 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 8,194 | 8,087 |
BHP Billiton Finance USA Ltd. | 5.250% | 12/15/15 | 3,000 | 3,125 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 2,800 | 2,842 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 8,050 | 8,097 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 1,425 | 1,549 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 8,767 | 8,797 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 4,390 | 5,152 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 5,150 | 5,262 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 14,675 | 14,559 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 13,725 | 14,485 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 4,100 | 4,001 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 20,460 | 22,822 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 1,500 | 1,523 |
Cabot Corp. | 2.550% | 1/15/18 | 200 | 202 |
Cabot Corp. | 3.700% | 7/15/22 | 400 | 408 |
Carpenter Technology Corp. | 5.200% | 7/15/21 | 5,575 | 5,900 |
Celulosa Arauco y Constitucion SA | 5.625% | 4/20/15 | 1,000 | 1,003 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 800 | 934 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 2,800 | 2,919 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 2,000 | 2,072 |
CF Industries Inc. | 6.875% | 5/1/18 | 11,650 | 13,237 |
CF Industries Inc. | 7.125% | 5/1/20 | 4,010 | 4,767 |
CF Industries Inc. | 3.450% | 6/1/23 | 1,100 | 1,083 |
CF Industries Inc. | 5.150% | 3/15/34 | 5,500 | 5,763 |
CF Industries Inc. | 4.950% | 6/1/43 | 2,900 | 2,924 |
CF Industries Inc. | 5.375% | 3/15/44 | 7,205 | 7,833 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 225 | 226 |
Domtar Corp. | 6.250% | 9/1/42 | 475 | 510 |
Domtar Corp. | 6.750% | 2/15/44 | 3,325 | 3,790 |
Dow Chemical Co. | 2.500% | 2/15/16 | 2,175 | 2,215 |
Dow Chemical Co. | 8.550% | 5/15/19 | 11,389 | 14,158 |
Dow Chemical Co. | 4.250% | 11/15/20 | 9,365 | 10,010 |
Dow Chemical Co. | 4.125% | 11/15/21 | 5,240 | 5,539 |
Dow Chemical Co. | 3.000% | 11/15/22 | 3,000 | 2,936 |
Dow Chemical Co. | 3.500% | 10/1/24 | 1,950 | 1,932 |
Dow Chemical Co. | 7.375% | 11/1/29 | 2,000 | 2,682 |
Dow Chemical Co. | 4.250% | 10/1/34 | 4,500 | 4,484 |
Dow Chemical Co. | 9.400% | 5/15/39 | 5,865 | 9,516 |
Dow Chemical Co. | 5.250% | 11/15/41 | 5,265 | 5,674 |
Dow Chemical Co. | 4.375% | 11/15/42 | 8,950 | 8,696 |
Dow Chemical Co. | 4.625% | 10/1/44 | 3,500 | 3,522 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 6,548 | 6,659 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 4,721 | 5,316 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 5,000 | 5,018 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 6,310 | 6,742 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 9,555 | 9,682 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 4,750 | 4,802 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 2,750 | 2,773 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 6,100 | 6,253 |
Ecolab Inc. | 1.000% | 8/9/15 | 550 | 551 |
Ecolab Inc. | 3.000% | 12/8/16 | 1,875 | 1,936 |
Ecolab Inc. | 1.450% | 12/8/17 | 6,375 | 6,323 |
Ecolab Inc. | 4.350% | 12/8/21 | 5,600 | 6,098 |
Ecolab Inc. | 5.500% | 12/8/41 | 1,500 | 1,806 |
62
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
EI du Pont de Nemours & Co. | 2.750% | 4/1/16 | 1,600 | 1,640 |
EI du Pont de Nemours & Co. | 5.250% | 12/15/16 | 1,330 | 1,438 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 15,590 | 17,742 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 2,615 | 2,885 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 7,068 | 7,469 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 4,450 | 4,870 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 1,750 | 1,721 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 525 | 682 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 8,100 | 8,889 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 1,125 | 1,137 |
FMC Corp. | 3.950% | 2/1/22 | 1,275 | 1,333 |
FMC Corp. | 4.100% | 2/1/24 | 6,500 | 6,739 |
Freeport-McMoRan Copper & Gold Inc. | 2.150% | 3/1/17 | 2,000 | 2,003 |
Freeport-McMoRan Copper & Gold Inc. | 2.375% | 3/15/18 | 10,780 | 10,680 |
Freeport-McMoRan Copper & Gold Inc. | 3.100% | 3/15/20 | 18,625 | 18,134 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 18,074 | 17,064 |
Freeport-McMoRan Copper & Gold Inc. | 3.875% | 3/15/23 | 18,005 | 16,921 |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 3,500 | 3,400 |
Freeport-McMoRan Inc. | 5.400% | 11/14/34 | 4,452 | 4,338 |
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 6,830 | 6,458 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 7,871 | 10,469 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,250 | 2,923 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 1,700 | 2,357 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 4,250 | 6,513 |
Glencore Canada Corp. | 6.000% | 10/15/15 | 325 | 338 |
Glencore Canada Corp. | 5.500% | 6/15/17 | 1,975 | 2,126 |
Goldcorp Inc. | 2.125% | 3/15/18 | 5,800 | 5,756 |
Goldcorp Inc. | 3.700% | 3/15/23 | 4,825 | 4,701 |
Goldcorp Inc. | 5.450% | 6/9/44 | 2,933 | 2,932 |
International Paper Co. | 7.950% | 6/15/18 | 3,000 | 3,535 |
International Paper Co. | 7.500% | 8/15/21 | 7,265 | 9,068 |
International Paper Co. | 4.750% | 2/15/22 | 7,875 | 8,598 |
International Paper Co. | 3.650% | 6/15/24 | 1,000 | 1,000 |
International Paper Co. | 7.300% | 11/15/39 | 4,170 | 5,529 |
International Paper Co. | 6.000% | 11/15/41 | 3,100 | 3,671 |
International Paper Co. | 4.800% | 6/15/44 | 7,400 | 7,570 |
7 Kinross Gold Corp. | 5.950% | 3/15/24 | 4,750 | 4,441 |
Kinross Gold Corp. | 6.875% | 9/1/41 | 1,275 | 1,206 |
Lubrizol Corp. | 8.875% | 2/1/19 | 1,075 | 1,349 |
LYB International Finance BV | 4.000% | 7/15/23 | 3,000 | 3,067 |
LYB International Finance BV | 5.250% | 7/15/43 | 4,516 | 4,899 |
LYB International Finance BV | 4.875% | 3/15/44 | 7,100 | 7,291 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 17,135 | 18,671 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 8,875 | 10,195 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 4,400 | 5,008 |
Monsanto Co. | 1.150% | 6/30/17 | 4,935 | 4,900 |
Monsanto Co. | 5.125% | 4/15/18 | 850 | 936 |
Monsanto Co. | 2.125% | 7/15/19 | 5,000 | 4,975 |
Monsanto Co. | 2.750% | 7/15/21 | 3,550 | 3,535 |
Monsanto Co. | 2.200% | 7/15/22 | 650 | 616 |
Monsanto Co. | 3.375% | 7/15/24 | 4,000 | 4,070 |
Monsanto Co. | 5.500% | 8/15/25 | 3,550 | 4,099 |
Monsanto Co. | 4.200% | 7/15/34 | 2,500 | 2,600 |
Monsanto Co. | 5.875% | 4/15/38 | 950 | 1,184 |
Monsanto Co. | 3.600% | 7/15/42 | 3,000 | 2,737 |
63
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Monsanto Co. | 4.650% | 11/15/43 | 1,500 | 1,600 |
Monsanto Co. | 4.400% | 7/15/44 | 10,400 | 10,775 |
Monsanto Co. | 4.700% | 7/15/64 | 4,200 | 4,395 |
Mosaic Co. | 4.250% | 11/15/23 | 6,850 | 7,190 |
Mosaic Co. | 5.450% | 11/15/33 | 1,600 | 1,812 |
Mosaic Co. | 4.875% | 11/15/41 | 4,045 | 4,155 |
Mosaic Co. | 5.625% | 11/15/43 | 1,600 | 1,836 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 3,525 | 3,777 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 2,900 | 2,720 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 750 | 735 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 8,775 | 8,946 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 5,875 | 5,117 |
Nucor Corp. | 5.750% | 12/1/17 | 7,190 | 7,956 |
Nucor Corp. | 5.850% | 6/1/18 | 1,725 | 1,927 |
Nucor Corp. | 4.125% | 9/15/22 | 300 | 320 |
Nucor Corp. | 4.000% | 8/1/23 | 3,650 | 3,828 |
Nucor Corp. | 6.400% | 12/1/37 | 1,875 | 2,323 |
Nucor Corp. | 5.200% | 8/1/43 | 5,175 | 5,705 |
Packaging Corp. of America | 3.900% | 6/15/22 | 2,275 | 2,336 |
Packaging Corp. of America | 4.500% | 11/1/23 | 11,025 | 11,606 |
Packaging Corp. of America | 3.650% | 9/15/24 | 4,500 | 4,431 |
Placer Dome Inc. | 6.450% | 10/15/35 | 1,050 | 1,152 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 8,151 | 8,823 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 2,330 | 2,569 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 11,539 | 12,837 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 445 | 481 |
Plum Creek Timberlands LP | 3.250% | 3/15/23 | 1,000 | 975 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 8,500 | 8,999 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 1,077 | 1,260 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 7,565 | 8,351 |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 1,000 | 1,029 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 200 | 248 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 4,375 | 5,353 |
PPG Industries Inc. | 1.900% | 1/15/16 | 3,625 | 3,664 |
PPG Industries Inc. | 6.650% | 3/15/18 | 39 | 45 |
PPG Industries Inc. | 2.300% | 11/15/19 | 4,000 | 3,983 |
PPG Industries Inc. | 5.500% | 11/15/40 | 2,950 | 3,569 |
Praxair Inc. | 4.500% | 8/15/19 | 1,300 | 1,427 |
Praxair Inc. | 3.000% | 9/1/21 | 2,225 | 2,275 |
Praxair Inc. | 2.450% | 2/15/22 | 10,000 | 9,801 |
Praxair Inc. | 2.200% | 8/15/22 | 8,025 | 7,697 |
Praxair Inc. | 3.550% | 11/7/42 | 500 | 487 |
Rayonier Inc. | 3.750% | 4/1/22 | 2,000 | 2,029 |
Reliance Steel & Aluminum Co. | 6.200% | 11/15/16 | 100 | 107 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 1,700 | 1,670 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 100 | 117 |
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 3,444 | 4,177 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 3,000 | 3,436 |
Rio Tinto Finance USA Ltd. | 2.500% | 5/20/16 | 145 | 148 |
Rio Tinto Finance USA Ltd. | 2.250% | 9/20/16 | 3,200 | 3,259 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 21,835 | 24,980 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 5,300 | 6,700 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 7,940 | 8,228 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 5,650 | 5,938 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,961 | 6,123 |
64
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 2,225 | 2,929 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 4,560 | 4,859 |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 8,000 | 8,021 |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 3,075 | 3,104 |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 5,075 | 5,058 |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 3,200 | 3,198 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 3,175 | 3,172 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 3,775 | 3,622 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 475 | 485 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 11,850 | 11,392 |
Rock-Tenn Co. | 3.500% | 3/1/20 | 2,000 | 2,028 |
Rock-Tenn Co. | 4.900% | 3/1/22 | 2,000 | 2,150 |
Rock-Tenn Co. | 4.000% | 3/1/23 | 3,500 | 3,573 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 1,657 | 1,836 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 4,775 | 6,617 |
RPM International Inc. | 6.125% | 10/15/19 | 650 | 738 |
RPM International Inc. | 3.450% | 11/15/22 | 2,275 | 2,246 |
Sherwin-Williams Co. | 1.350% | 12/15/17 | 2,825 | 2,807 |
Sherwin-Williams Co. | 4.000% | 12/15/42 | 1,200 | 1,193 |
Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 600 | 621 |
Southern Copper Corp. | 5.375% | 4/16/20 | 400 | 434 |
Southern Copper Corp. | 3.500% | 11/8/22 | 1,550 | 1,450 |
Southern Copper Corp. | 7.500% | 7/27/35 | 8,475 | 9,396 |
Southern Copper Corp. | 6.750% | 4/16/40 | 1,600 | 1,654 |
Southern Copper Corp. | 5.250% | 11/8/42 | 7,625 | 6,807 |
Syngenta Finance NV | 3.125% | 3/28/22 | 2,250 | 2,269 |
Syngenta Finance NV | 4.375% | 3/28/42 | 1,250 | 1,292 |
Teck Resources Ltd. | 5.375% | 10/1/15 | 4,991 | 5,122 |
Teck Resources Ltd. | 3.150% | 1/15/17 | 700 | 720 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 4,000 | 3,899 |
Teck Resources Ltd. | 4.750% | 1/15/22 | 700 | 683 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 5,050 | 4,538 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 2,625 | 2,367 |
Teck Resources Ltd. | 6.000% | 8/15/40 | 6,208 | 5,560 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 5,651 | 5,200 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 1,575 | 1,289 |
Teck Resources Ltd. | 5.400% | 2/1/43 | 475 | 397 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 3,541 | 3,818 |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 1,240 | 1,285 |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 6,850 | 7,278 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 9,525 | 10,147 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 10,835 | 10,988 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 17,805 | 17,173 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 800 | 952 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 20,720 | 21,843 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 7,015 | 7,507 |
Valspar Corp. | 7.250% | 6/15/19 | 1,725 | 2,024 |
Valspar Corp. | 4.200% | 1/15/22 | 375 | 403 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 400 | 396 |
Westvaco Corp. | 7.950% | 2/15/31 | 3,050 | 3,979 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 9,289 | 11,088 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 1,300 | 1,720 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 3,625 | 4,813 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 1,450 | 1,861 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 700 | 740 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 2,370 | 2,322 |
65
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Capital Goods (1.2%) | ||||
3M Co. | 1.375% | 9/29/16 | 1,630 | 1,649 |
3M Co. | 2.000% | 6/26/22 | 5,000 | 4,834 |
3M Co. | 6.375% | 2/15/28 | 1,300 | 1,716 |
3M Co. | 5.700% | 3/15/37 | 2,345 | 3,048 |
ABB Finance USA Inc. | 1.625% | 5/8/17 | 1,200 | 1,203 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 6,110 | 6,132 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,250 | 1,356 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 800 | 888 |
Bemis Co. Inc. | 6.800% | 8/1/19 | 200 | 235 |
Boeing Capital Corp. | 2.125% | 8/15/16 | 885 | 903 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 1,000 | 1,042 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 5,875 | 6,538 |
Boeing Co. | 0.950% | 5/15/18 | 7,500 | 7,327 |
Boeing Co. | 6.000% | 3/15/19 | 5,950 | 6,866 |
Boeing Co. | 4.875% | 2/15/20 | 2,100 | 2,368 |
Boeing Co. | 8.750% | 8/15/21 | 200 | 275 |
Boeing Co. | 7.250% | 6/15/25 | 325 | 432 |
Boeing Co. | 6.125% | 2/15/33 | 6,075 | 8,068 |
Boeing Co. | 6.625% | 2/15/38 | 525 | 747 |
Boeing Co. | 6.875% | 3/15/39 | 1,715 | 2,500 |
Boeing Co. | 5.875% | 2/15/40 | 3,780 | 4,979 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 1,650 | 1,680 |
Caterpillar Financial Services Corp. | 4.625% | 6/1/15 | 2,725 | 2,771 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 3,630 | 3,699 |
Caterpillar Financial Services Corp. | 1.000% | 3/3/17 | 1,344 | 1,340 |
Caterpillar Financial Services Corp. | 1.750% | 3/24/17 | 2,000 | 2,023 |
Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 2,400 | 2,391 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 850 | 847 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 9,142 | 10,201 |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 3,575 | 4,220 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 14,290 | 17,083 |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 5,300 | 5,304 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 2,300 | 2,317 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 6,104 | 6,136 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 4,175 | 4,277 |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 1,600 | 1,624 |
Caterpillar Inc. | 1.500% | 6/26/17 | 6,155 | 6,199 |
Caterpillar Inc. | 3.900% | 5/27/21 | 8,330 | 9,020 |
Caterpillar Inc. | 3.400% | 5/15/24 | 8,500 | 8,747 |
Caterpillar Inc. | 6.050% | 8/15/36 | 3,991 | 5,190 |
Caterpillar Inc. | 5.200% | 5/27/41 | 75 | 89 |
Caterpillar Inc. | 3.803% | 8/15/42 | 16,194 | 15,914 |
Caterpillar Inc. | 4.300% | 5/15/44 | 5,000 | 5,328 |
Caterpillar Inc. | 4.750% | 5/15/64 | 1,000 | 1,085 |
Cooper US Inc. | 5.450% | 4/1/15 | 950 | 961 |
Cooper US Inc. | 2.375% | 1/15/16 | 5,575 | 5,661 |
Cooper US Inc. | 3.875% | 12/15/20 | 200 | 211 |
Crane Co. | 2.750% | 12/15/18 | 2,000 | 2,022 |
Crane Co. | 4.450% | 12/15/23 | 3,390 | 3,582 |
CRH America Inc. | 4.125% | 1/15/16 | 4,050 | 4,167 |
CRH America Inc. | 6.000% | 9/30/16 | 4,500 | 4,843 |
CRH America Inc. | 8.125% | 7/15/18 | 11,275 | 13,472 |
CRH America Inc. | 5.750% | 1/15/21 | 4,115 | 4,737 |
Danaher Corp. | 2.300% | 6/23/16 | 1,800 | 1,841 |
66
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Danaher Corp. | 5.625% | 1/15/18 | 850 | 951 |
Danaher Corp. | 3.900% | 6/23/21 | 5,625 | 6,071 |
Deere & Co. | 2.600% | 6/8/22 | 13,065 | 12,865 |
Deere & Co. | 5.375% | 10/16/29 | 3,695 | 4,484 |
Deere & Co. | 8.100% | 5/15/30 | 2,061 | 3,149 |
Deere & Co. | 3.900% | 6/9/42 | 7,325 | 7,417 |
Dover Corp. | 4.875% | 10/15/15 | 2,225 | 2,304 |
Dover Corp. | 5.450% | 3/15/18 | 2,250 | 2,512 |
Dover Corp. | 4.300% | 3/1/21 | 1,830 | 2,014 |
Dover Corp. | 6.600% | 3/15/38 | 975 | 1,379 |
Dover Corp. | 5.375% | 3/1/41 | 895 | 1,113 |
Eaton Corp. | 1.500% | 11/2/17 | 1,000 | 996 |
Eaton Corp. | 5.600% | 5/15/18 | 6,855 | 7,607 |
Eaton Corp. | 2.750% | 11/2/22 | 11,675 | 11,464 |
Eaton Corp. | 4.000% | 11/2/32 | 4,430 | 4,523 |
Eaton Corp. | 4.150% | 11/2/42 | 3,050 | 3,012 |
7 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 13,454 | 14,280 |
Emerson Electric Co. | 5.125% | 12/1/16 | 2,125 | 2,287 |
Emerson Electric Co. | 5.250% | 10/15/18 | 2,200 | 2,482 |
Emerson Electric Co. | 4.875% | 10/15/19 | 2,275 | 2,542 |
Emerson Electric Co. | 4.250% | 11/15/20 | 4,807 | 5,227 |
Emerson Electric Co. | 2.625% | 2/15/23 | 2,500 | 2,468 |
Emerson Electric Co. | 6.000% | 8/15/32 | 750 | 990 |
Emerson Electric Co. | 6.125% | 4/15/39 | 1,000 | 1,363 |
Emerson Electric Co. | 5.250% | 11/15/39 | 440 | 540 |
Exelis Inc. | 4.250% | 10/1/16 | 1,900 | 1,977 |
Flowserve Corp. | 3.500% | 9/15/22 | 9,980 | 9,993 |
Flowserve Corp. | 4.000% | 11/15/23 | 1,575 | 1,625 |
General Dynamics Corp. | 1.000% | 11/15/17 | 6,225 | 6,165 |
General Dynamics Corp. | 3.875% | 7/15/21 | 5,250 | 5,659 |
General Dynamics Corp. | 2.250% | 11/15/22 | 3,500 | 3,382 |
General Dynamics Corp. | 3.600% | 11/15/42 | 4,150 | 3,990 |
General Electric Co. | 5.250% | 12/6/17 | 30,845 | 34,222 |
General Electric Co. | 2.700% | 10/9/22 | 22,200 | 22,214 |
General Electric Co. | 3.375% | 3/11/24 | 9,000 | 9,327 |
General Electric Co. | 4.125% | 10/9/42 | 24,000 | 24,885 |
General Electric Co. | 4.500% | 3/11/44 | 3,670 | 4,034 |
Honeywell International Inc. | 5.400% | 3/15/16 | 2,330 | 2,464 |
Honeywell International Inc. | 5.300% | 3/15/17 | 2,375 | 2,590 |
Honeywell International Inc. | 5.300% | 3/1/18 | 4,250 | 4,722 |
Honeywell International Inc. | 5.000% | 2/15/19 | 2,520 | 2,830 |
Honeywell International Inc. | 4.250% | 3/1/21 | 4,545 | 5,081 |
Honeywell International Inc. | 3.350% | 12/1/23 | 9,050 | 9,439 |
Honeywell International Inc. | 5.700% | 3/15/36 | 1,600 | 2,041 |
Honeywell International Inc. | 5.700% | 3/15/37 | 1,895 | 2,440 |
Honeywell International Inc. | 5.375% | 3/1/41 | 11,345 | 14,211 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 1,000 | 1,001 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 9,425 | 10,989 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 895 | 950 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 3,000 | 3,122 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 895 | 1,027 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 6,875 | 6,914 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 8,650 | 9,993 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 2,845 | 2,889 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 1,875 | 1,978 |
67
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 2,850 | 3,359 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 3,000 | 2,987 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 1,700 | 1,688 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 3,500 | 3,643 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 175 | 175 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 815 | 828 |
John Deere Capital Corp. | 1.050% | 12/15/16 | 3,000 | 3,013 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 2,350 | 2,390 |
John Deere Capital Corp. | 1.400% | 3/15/17 | 1,600 | 1,607 |
John Deere Capital Corp. | 5.500% | 4/13/17 | 150 | 164 |
John Deere Capital Corp. | 1.125% | 6/12/17 | 3,000 | 2,989 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 4,225 | 4,399 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 4,400 | 4,377 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 825 | 921 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 14,160 | 16,069 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 9,783 | 9,793 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 3,400 | 3,385 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 1,275 | 1,288 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 5,400 | 5,253 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 5,000 | 5,064 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 4,375 | 4,744 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 5,595 | 5,806 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 2,250 | 2,238 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 2,475 | 2,471 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 10,000 | 10,260 |
Joy Global Inc. | 6.000% | 11/15/16 | 575 | 625 |
Kennametal Inc. | 2.650% | 11/1/19 | 4,478 | 4,428 |
Kennametal Inc. | 3.875% | 2/15/22 | 2,050 | 2,110 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 10,230 | 11,219 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 7,950 | 8,511 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 5,100 | 5,535 |
L-3 Communications Corp. | 3.950% | 5/28/24 | 5,061 | 5,104 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 3,725 | 3,786 |
Legrand France SA | 8.500% | 2/15/25 | 400 | 561 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 3,950 | 4,315 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 775 | 789 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 9,168 | 9,998 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 6,945 | 7,228 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 10,635 | 13,897 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 1,945 | 2,386 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 2,626 | 3,349 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 3,000 | 3,376 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 1,850 | 2,098 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 2,334 | 2,441 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 10,525 | 10,546 |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 3,525 | 3,498 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 1,425 | 1,485 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 4,275 | 4,294 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 1,875 | 2,113 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 3,300 | 3,684 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 2,870 | 4,035 |
Owens Corning | 6.500% | 12/1/16 | 240 | 265 |
Owens Corning | 9.000% | 6/15/19 | 228 | 279 |
Owens Corning | 4.200% | 12/15/22 | 4,875 | 4,954 |
Owens Corning | 7.000% | 12/1/36 | 2,175 | 2,646 |
68
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Parker Hannifin Corp. | 5.500% | 5/15/18 | 1,250 | 1,401 |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 1,625 | 1,705 |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 550 | 740 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 3,400 | 3,478 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 5,200 | 5,484 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 4,500 | 4,854 |
Pentair Finance SA | 1.350% | 12/1/15 | 1,500 | 1,504 |
Pentair Finance SA | 2.650% | 12/1/19 | 1,750 | 1,730 |
Pentair Finance SA | 5.000% | 5/15/21 | 4,805 | 5,342 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 1,975 | 1,971 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 3,325 | 3,278 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 6,770 | 6,530 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 3,125 | 3,175 |
Raytheon Co. | 6.400% | 12/15/18 | 100 | 117 |
Raytheon Co. | 4.400% | 2/15/20 | 500 | 546 |
Raytheon Co. | 3.125% | 10/15/20 | 9,075 | 9,382 |
Raytheon Co. | 2.500% | 12/15/22 | 7,875 | 7,675 |
Raytheon Co. | 7.200% | 8/15/27 | 2,010 | 2,716 |
Raytheon Co. | 4.875% | 10/15/40 | 400 | 456 |
Raytheon Co. | 4.700% | 12/15/41 | 4,150 | 4,622 |
Republic Services Inc. | 3.800% | 5/15/18 | 6,970 | 7,370 |
Republic Services Inc. | 5.500% | 9/15/19 | 6,270 | 7,062 |
Republic Services Inc. | 5.000% | 3/1/20 | 6,100 | 6,733 |
Republic Services Inc. | 5.250% | 11/15/21 | 3,650 | 4,143 |
Republic Services Inc. | 3.550% | 6/1/22 | 2,200 | 2,263 |
Republic Services Inc. | 4.750% | 5/15/23 | 525 | 582 |
Republic Services Inc. | 6.086% | 3/15/35 | 825 | 1,022 |
Republic Services Inc. | 6.200% | 3/1/40 | 3,430 | 4,441 |
Republic Services Inc. | 5.700% | 5/15/41 | 3,300 | 4,075 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 600 | 666 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 325 | 422 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 1,500 | 1,951 |
Rockwell Collins Inc. | 5.250% | 7/15/19 | 275 | 308 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,000 | 1,026 |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 1,500 | 1,566 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 2,050 | 2,378 |
Roper Industries Inc. | 1.850% | 11/15/17 | 1,175 | 1,176 |
Roper Industries Inc. | 2.050% | 10/1/18 | 13,250 | 13,127 |
Roper Industries Inc. | 6.250% | 9/1/19 | 5,600 | 6,458 |
Roper Industries Inc. | 3.125% | 11/15/22 | 400 | 389 |
Snap-on Inc. | 6.125% | 9/1/21 | 2,000 | 2,374 |
Sonoco Products Co. | 4.375% | 11/1/21 | 435 | 466 |
Sonoco Products Co. | 5.750% | 11/1/40 | 3,910 | 4,648 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 2,425 | 2,519 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 3,000 | 2,963 |
Textron Inc. | 5.600% | 12/1/17 | 3,416 | 3,757 |
Textron Inc. | 3.650% | 3/1/21 | 1,000 | 1,024 |
Textron Inc. | 4.300% | 3/1/24 | 2,275 | 2,378 |
Textron Inc. | 3.875% | 3/1/25 | 2,500 | 2,509 |
Tyco International Finance SA | 8.500% | 1/15/19 | 1,130 | 1,376 |
Tyco International Finance SA / Tyco Fire & | ||||
Security Finance SCA | 7.000% | 12/15/19 | 1,375 | 1,640 |
Tyco International Finance SA / Tyco Fire & | ||||
Security Finance SCA | 6.875% | 1/15/21 | 2,600 | 3,125 |
United Technologies Corp. | 1.800% | 6/1/17 | 6,085 | 6,173 |
69
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United Technologies Corp. | 5.375% | 12/15/17 | 10,675 | 11,876 |
United Technologies Corp. | 6.125% | 2/1/19 | 12,690 | 14,736 |
United Technologies Corp. | 4.500% | 4/15/20 | 10,255 | 11,363 |
United Technologies Corp. | 3.100% | 6/1/22 | 12,818 | 13,090 |
United Technologies Corp. | 6.700% | 8/1/28 | 325 | 440 |
United Technologies Corp. | 7.500% | 9/15/29 | 3,825 | 5,477 |
United Technologies Corp. | 5.400% | 5/1/35 | 600 | 727 |
United Technologies Corp. | 6.050% | 6/1/36 | 1,915 | 2,530 |
United Technologies Corp. | 6.125% | 7/15/38 | 7,450 | 9,814 |
United Technologies Corp. | 5.700% | 4/15/40 | 7,025 | 8,814 |
United Technologies Corp. | 4.500% | 6/1/42 | 21,990 | 23,864 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 1,100 | 1,113 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 1,850 | 1,867 |
Waste Management Inc. | 2.600% | 9/1/16 | 145 | 148 |
Waste Management Inc. | 6.100% | 3/15/18 | 950 | 1,072 |
Waste Management Inc. | 7.375% | 3/11/19 | 4,670 | 5,586 |
Waste Management Inc. | 4.750% | 6/30/20 | 5,000 | 5,489 |
Waste Management Inc. | 4.600% | 3/1/21 | 6,425 | 7,093 |
Waste Management Inc. | 3.500% | 5/15/24 | 4,800 | 4,877 |
Waste Management Inc. | 7.100% | 8/1/26 | 325 | 426 |
Waste Management Inc. | 7.750% | 5/15/32 | 2,365 | 3,454 |
Waste Management Inc. | 6.125% | 11/30/39 | 4,075 | 5,282 |
Communication (2.6%) | ||||
21st Century Fox America Inc. | 8.000% | 10/17/16 | 1,450 | 1,620 |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 4,340 | 5,117 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 7,050 | 7,718 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 11,850 | 11,769 |
21st Century Fox America Inc. | 4.000% | 10/1/23 | 1,075 | 1,140 |
21st Century Fox America Inc. | 7.700% | 10/30/25 | 200 | 263 |
21st Century Fox America Inc. | 6.550% | 3/15/33 | 5,465 | 7,090 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 6,250 | 7,980 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 12,800 | 16,705 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 275 | 409 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 3,000 | 3,790 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 8,000 | 10,654 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 2,275 | 3,105 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 9,025 | 11,469 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 4,700 | 5,587 |
7 21st Century Fox America Inc. | 4.750% | 9/15/44 | 4,175 | 4,558 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 3,450 | 5,174 |
America Movil SAB de CV | 2.375% | 9/8/16 | 8,500 | 8,663 |
America Movil SAB de CV | 5.625% | 11/15/17 | 1,150 | 1,262 |
America Movil SAB de CV | 5.000% | 10/16/19 | 5,700 | 6,286 |
America Movil SAB de CV | 5.000% | 3/30/20 | 16,173 | 17,859 |
America Movil SAB de CV | 3.125% | 7/16/22 | 5,300 | 5,227 |
America Movil SAB de CV | 6.375% | 3/1/35 | 2,275 | 2,798 |
America Movil SAB de CV | 6.125% | 11/15/37 | 1,825 | 2,187 |
America Movil SAB de CV | 6.125% | 3/30/40 | 14,540 | 17,313 |
America Movil SAB de CV | 4.375% | 7/16/42 | 5,250 | 4,979 |
American Tower Corp. | 7.000% | 10/15/17 | 100 | 113 |
American Tower Corp. | 4.500% | 1/15/18 | 16,300 | 17,312 |
American Tower Corp. | 5.050% | 9/1/20 | 295 | 320 |
American Tower Corp. | 5.900% | 11/1/21 | 5,615 | 6,360 |
American Tower Corp. | 4.700% | 3/15/22 | 5,000 | 5,242 |
70
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
American Tower Corp. | 3.500% | 1/31/23 | 19,050 | 18,383 |
American Tower Corp. | 5.000% | 2/15/24 | 1,735 | 1,838 |
AT&T Corp. | 8.000% | 11/15/31 | 5,149 | 7,595 |
AT&T Inc. | 0.800% | 12/1/15 | 2,600 | 2,599 |
AT&T Inc. | 0.900% | 2/12/16 | 1,275 | 1,275 |
AT&T Inc. | 2.950% | 5/15/16 | 5,740 | 5,886 |
AT&T Inc. | 2.400% | 8/15/16 | 2,355 | 2,401 |
AT&T Inc. | 1.600% | 2/15/17 | 13,965 | 14,012 |
AT&T Inc. | 1.700% | 6/1/17 | 16,086 | 16,144 |
AT&T Inc. | 1.400% | 12/1/17 | 12,660 | 12,530 |
AT&T Inc. | 5.500% | 2/1/18 | 10,265 | 11,339 |
AT&T Inc. | 5.600% | 5/15/18 | 3,700 | 4,121 |
AT&T Inc. | 2.375% | 11/27/18 | 10,000 | 10,079 |
AT&T Inc. | 5.800% | 2/15/19 | 3,900 | 4,425 |
AT&T Inc. | 2.300% | 3/11/19 | 5,300 | 5,293 |
AT&T Inc. | 4.450% | 5/15/21 | 5,590 | 6,016 |
AT&T Inc. | 3.875% | 8/15/21 | 11,485 | 12,090 |
AT&T Inc. | 3.000% | 2/15/22 | 7,975 | 7,819 |
AT&T Inc. | 2.625% | 12/1/22 | 17,850 | 17,029 |
AT&T Inc. | 3.900% | 3/11/24 | 3,200 | 3,287 |
AT&T Inc. | 6.450% | 6/15/34 | 4,195 | 5,126 |
AT&T Inc. | 6.500% | 9/1/37 | 5,931 | 7,346 |
AT&T Inc. | 6.300% | 1/15/38 | 6,840 | 8,286 |
AT&T Inc. | 6.400% | 5/15/38 | 3,100 | 3,834 |
AT&T Inc. | 6.550% | 2/15/39 | 12,315 | 15,159 |
AT&T Inc. | 5.350% | 9/1/40 | 23,153 | 25,105 |
AT&T Inc. | 5.550% | 8/15/41 | 5,250 | 5,841 |
AT&T Inc. | 4.300% | 12/15/42 | 17,836 | 16,690 |
AT&T Inc. | 4.800% | 6/15/44 | 9,700 | 9,938 |
AT&T Inc. | 4.350% | 6/15/45 | 15,158 | 14,313 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 275 | 368 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 2,607 | 3,527 |
BellSouth Corp. | 6.875% | 10/15/31 | 3,486 | 4,389 |
BellSouth Corp. | 6.550% | 6/15/34 | 628 | 784 |
BellSouth Corp. | 6.000% | 11/15/34 | 419 | 489 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 2,875 | 3,455 |
British Telecommunications plc | 1.250% | 2/14/17 | 1,350 | 1,342 |
British Telecommunications plc | 5.950% | 1/15/18 | 13,310 | 14,831 |
British Telecommunications plc | 2.350% | 2/14/19 | 1,325 | 1,318 |
British Telecommunications plc | 9.625% | 12/15/30 | 14,900 | 23,369 |
CBS Corp. | 1.950% | 7/1/17 | 175 | 176 |
CBS Corp. | 4.625% | 5/15/18 | 100 | 108 |
CBS Corp. | 2.300% | 8/15/19 | 7,425 | 7,335 |
CBS Corp. | 5.750% | 4/15/20 | 12,390 | 14,117 |
CBS Corp. | 4.300% | 2/15/21 | 4,150 | 4,471 |
CBS Corp. | 7.875% | 7/30/30 | 25 | 35 |
CBS Corp. | 5.500% | 5/15/33 | 200 | 228 |
CBS Corp. | 4.850% | 7/1/42 | 5,225 | 5,308 |
CBS Corp. | 4.900% | 8/15/44 | 3,050 | 3,080 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 5,050 | 5,035 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 2,000 | 2,875 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 975 | 1,141 |
Comcast Corp. | 5.900% | 3/15/16 | 17,110 | 18,157 |
Comcast Corp. | 6.500% | 1/15/17 | 150 | 166 |
Comcast Corp. | 6.300% | 11/15/17 | 3,775 | 4,273 |
71
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Comcast Corp. | 5.875% | 2/15/18 | 6,750 | 7,593 |
Comcast Corp. | 5.700% | 5/15/18 | 12,675 | 14,278 |
Comcast Corp. | 5.700% | 7/1/19 | 6,645 | 7,630 |
Comcast Corp. | 5.150% | 3/1/20 | 5,055 | 5,722 |
Comcast Corp. | 3.125% | 7/15/22 | 1,925 | 1,961 |
Comcast Corp. | 2.850% | 1/15/23 | 8,666 | 8,635 |
Comcast Corp. | 3.600% | 3/1/24 | 1,425 | 1,492 |
Comcast Corp. | 3.375% | 2/15/25 | 10,100 | 10,312 |
Comcast Corp. | 4.250% | 1/15/33 | 11,700 | 12,405 |
Comcast Corp. | 7.050% | 3/15/33 | 2,300 | 3,195 |
Comcast Corp. | 4.200% | 8/15/34 | 7,075 | 7,408 |
Comcast Corp. | 5.650% | 6/15/35 | 2,900 | 3,566 |
Comcast Corp. | 6.500% | 11/15/35 | 13,475 | 18,011 |
Comcast Corp. | 6.450% | 3/15/37 | 1,825 | 2,422 |
Comcast Corp. | 6.950% | 8/15/37 | 13,450 | 18,874 |
Comcast Corp. | 6.400% | 5/15/38 | 5,975 | 7,934 |
Comcast Corp. | 6.400% | 3/1/40 | 14,300 | 19,332 |
Comcast Corp. | 4.650% | 7/15/42 | 16,325 | 17,867 |
Comcast Corp. | 4.500% | 1/15/43 | 1,425 | 1,530 |
Comcast Corp. | 4.750% | 3/1/44 | 1,375 | 1,540 |
COX Communications Inc. | 5.500% | 10/1/15 | 100 | 103 |
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 2,500 | 2,636 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 9,875 | 11,483 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 6,525 | 7,518 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 25,594 | 37,713 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 100 | 160 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 3.125% | 2/15/16 | 5,700 | 5,833 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 3.500% | 3/1/16 | 3,000 | 3,084 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 1.750% | 1/15/18 | 275 | 273 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 5.875% | 10/1/19 | 5,050 | 5,775 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 5.200% | 3/15/20 | 2,425 | 2,683 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 4.600% | 2/15/21 | 3,075 | 3,286 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 5.000% | 3/1/21 | 19,875 | 21,718 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 3.800% | 3/15/22 | 10,000 | 10,170 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 4.450% | 4/1/24 | 775 | 810 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 3.950% | 1/15/25 | 15,375 | 15,577 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 6.350% | 3/15/40 | 3,500 | 4,069 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 6.000% | 8/15/40 | 675 | 753 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 6.375% | 3/1/41 | 4,100 | 4,826 |
DIRECTV Holdings LLC / DIRECTV Financing | ||||
Co. Inc. | 5.150% | 3/15/42 | 17,200 | 17,747 |
Discovery Communications LLC | 5.050% | 6/1/20 | 8,600 | 9,419 |
72
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Discovery Communications LLC | 4.375% | 6/15/21 | 870 | 921 |
Discovery Communications LLC | 3.300% | 5/15/22 | 4,125 | 4,093 |
Discovery Communications LLC | 3.250% | 4/1/23 | 3,475 | 3,379 |
Discovery Communications LLC | 6.350% | 6/1/40 | 3,035 | 3,637 |
Discovery Communications LLC | 4.950% | 5/15/42 | 6,250 | 6,483 |
Embarq Corp. | 7.082% | 6/1/16 | 4,925 | 5,268 |
Embarq Corp. | 7.995% | 6/1/36 | 9,974 | 11,214 |
Graham Holdings Co. | 7.250% | 2/1/19 | 875 | 988 |
Grupo Televisa SAB | 6.000% | 5/15/18 | 875 | 978 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 1,475 | 1,822 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 275 | 383 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 3,795 | 4,663 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 7,650 | 7,830 |
GTE Corp. | 8.750% | 11/1/21 | 1,700 | 2,220 |
GTE Corp. | 6.940% | 4/15/28 | 1,750 | 2,199 |
Historic TW Inc. | 9.150% | 2/1/23 | 3,425 | 4,625 |
Historic TW Inc. | 6.625% | 5/15/29 | 4,925 | 6,190 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 16,246 | 16,189 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 750 | 764 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 5,500 | 7,725 |
McGraw Hill Financial Inc. | 5.900% | 11/15/17 | 1,750 | 1,903 |
McGraw Hill Financial Inc. | 6.550% | 11/15/37 | 1,600 | 1,743 |
Moody’s Corp. | 5.500% | 9/1/20 | 438 | 497 |
Moody’s Corp. | 4.500% | 9/1/22 | 14,842 | 15,964 |
Moody’s Corp. | 4.875% | 2/15/24 | 2,000 | 2,188 |
Moody’s Corp. | 5.250% | 7/15/44 | 750 | 841 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 5,830 | 5,980 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 8,550 | 9,703 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 3,120 | 3,433 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 9,150 | 9,147 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 8,200 | 10,986 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 2,025 | 2,598 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 5,525 | 5,868 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 1,370 | 2,127 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 825 | 822 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 3,675 | 3,890 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 7,550 | 8,115 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 17,890 | 18,382 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 2,325 | 2,340 |
Orange SA | 2.750% | 9/14/16 | 4,180 | 4,270 |
Orange SA | 2.750% | 2/6/19 | 5,950 | 6,021 |
Orange SA | 5.375% | 7/8/19 | 6,825 | 7,655 |
Orange SA | 4.125% | 9/14/21 | 12,095 | 12,950 |
Orange SA | 9.000% | 3/1/31 | 16,490 | 24,941 |
Orange SA | 5.375% | 1/13/42 | 275 | 317 |
Orange SA | 5.500% | 2/6/44 | 6,575 | 7,673 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 425 | 543 |
Qwest Corp. | 6.500% | 6/1/17 | 1,125 | 1,231 |
Qwest Corp. | 6.750% | 12/1/21 | 7,140 | 8,262 |
Qwest Corp. | 7.250% | 9/15/25 | 1,400 | 1,669 |
Qwest Corp. | 6.875% | 9/15/33 | 3,175 | 3,175 |
Qwest Corp. | 7.125% | 11/15/43 | 4,500 | 4,618 |
Reed Elsevier Capital Inc. | 3.125% | 10/15/22 | 6,234 | 6,167 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 7,350 | 8,477 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 1,575 | 1,527 |
73
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Rogers Communications Inc. | 4.100% | 10/1/23 | 4,250 | 4,483 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 100 | 139 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 125 | 127 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 15,025 | 16,417 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 4,525 | 4,545 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,275 | 2,299 |
TCI Communications Inc. | 7.875% | 2/15/26 | 1,375 | 1,914 |
TCI Communications Inc. | 7.125% | 2/15/28 | 450 | 605 |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 6,190 | 6,378 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 4,975 | 5,332 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 9,700 | 9,961 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 13,400 | 15,269 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 5,545 | 6,121 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 5,540 | 6,201 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 22,500 | 24,004 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 12,760 | 17,005 |
Telefonica Europe BV | 8.250% | 9/15/30 | 1,500 | 2,083 |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 1,750 | 1,744 |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 500 | 498 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 4,225 | 4,815 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 1,625 | 1,760 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 3,500 | 3,686 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 2,675 | 2,843 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 1,000 | 1,010 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 2,975 | 3,374 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 10,610 | 12,498 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 2,500 | 2,897 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 5,600 | 6,115 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 12,625 | 14,478 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 8,100 | 10,027 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 12,550 | 15,359 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 4,295 | 4,732 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 3,806 | 4,054 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 3,050 | 3,227 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 11,970 | 15,411 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 7,733 | 10,648 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 4,572 | 5,977 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 8,475 | 10,076 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 11,100 | 12,783 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 9,725 | 10,012 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 325 | 423 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 7,050 | 9,053 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 1,300 | 1,751 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 3,400 | 5,119 |
Time Warner Inc. | 3.150% | 7/15/15 | 8,518 | 8,639 |
Time Warner Inc. | 5.875% | 11/15/16 | 2,525 | 2,739 |
Time Warner Inc. | 2.100% | 6/1/19 | 3,450 | 3,397 |
Time Warner Inc. | 4.875% | 3/15/20 | 8,360 | 9,218 |
Time Warner Inc. | 4.700% | 1/15/21 | 4,350 | 4,762 |
Time Warner Inc. | 4.750% | 3/29/21 | 7,975 | 8,724 |
Time Warner Inc. | 4.000% | 1/15/22 | 295 | 310 |
Time Warner Inc. | 3.400% | 6/15/22 | 250 | 253 |
Time Warner Inc. | 4.050% | 12/15/23 | 525 | 550 |
Time Warner Inc. | 3.550% | 6/1/24 | 4,000 | 4,028 |
Time Warner Inc. | 7.625% | 4/15/31 | 15,700 | 21,796 |
74
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Time Warner Inc. | 7.700% | 5/1/32 | 4,800 | 6,781 |
Time Warner Inc. | 6.500% | 11/15/36 | 9,090 | 11,446 |
Time Warner Inc. | 6.200% | 3/15/40 | 950 | 1,161 |
Time Warner Inc. | 6.100% | 7/15/40 | 4,150 | 5,018 |
Time Warner Inc. | 6.250% | 3/29/41 | 5,275 | 6,522 |
Time Warner Inc. | 5.375% | 10/15/41 | 295 | 334 |
Time Warner Inc. | 4.900% | 6/15/42 | 2,985 | 3,169 |
Time Warner Inc. | 5.350% | 12/15/43 | 6,200 | 7,042 |
Time Warner Inc. | 4.650% | 6/1/44 | 4,000 | 4,180 |
Verizon Communications Inc. | 0.700% | 11/2/15 | 250 | 250 |
Verizon Communications Inc. | 2.500% | 9/15/16 | 6,752 | 6,898 |
Verizon Communications Inc. | 2.000% | 11/1/16 | 19,546 | 19,840 |
Verizon Communications Inc. | 1.350% | 6/9/17 | 7,350 | 7,319 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 1,350 | 1,331 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 8,575 | 9,510 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 3,245 | 3,672 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 21,120 | 22,306 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 6,925 | 8,026 |
7 Verizon Communications Inc. | 2.625% | 2/21/20 | 12,119 | 11,978 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 32,475 | 35,269 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 9,775 | 9,994 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 6,460 | 6,998 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 5,225 | 5,142 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 7,185 | 7,351 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 11,450 | 10,776 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 68,075 | 75,403 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 5,250 | 5,436 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 9,000 | 8,860 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 3,640 | 5,047 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 25,469 | 31,592 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 14,200 | 15,261 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 10,000 | 10,031 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 7,650 | 8,990 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 4,825 | 5,960 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 12,500 | 15,463 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 5,125 | 6,731 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 8,800 | 12,094 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 5,155 | 6,119 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 8,175 | 8,393 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 4,200 | 3,759 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 66,246 | 84,620 |
7 Verizon Communications Inc. | 4.862% | 8/21/46 | 12,940 | 13,292 |
7 Verizon Communications Inc. | 5.012% | 8/21/54 | 37,502 | 38,796 |
Verizon Maryland LLC | 5.125% | 6/15/33 | 3,025 | 3,176 |
Verizon New England Inc. | 7.875% | 11/15/29 | 1,225 | 1,605 |
Verizon New York Inc. | 7.375% | 4/1/32 | 7,900 | 9,917 |
Viacom Inc. | 2.500% | 12/15/16 | 300 | 310 |
Viacom Inc. | 3.500% | 4/1/17 | 5,335 | 5,557 |
Viacom Inc. | 6.125% | 10/5/17 | 1,250 | 1,393 |
Viacom Inc. | 2.500% | 9/1/18 | 3,025 | 3,058 |
Viacom Inc. | 2.200% | 4/1/19 | 2,075 | 2,046 |
Viacom Inc. | 5.625% | 9/15/19 | 8,470 | 9,514 |
Viacom Inc. | 3.875% | 12/15/21 | 13,790 | 14,287 |
Viacom Inc. | 4.250% | 9/1/23 | 8,600 | 8,863 |
Viacom Inc. | 3.875% | 4/1/24 | 4,000 | 3,992 |
75
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Viacom Inc. | 6.875% | 4/30/36 | 12,335 | 15,657 |
Viacom Inc. | 4.500% | 2/27/42 | 2,500 | 2,363 |
Viacom Inc. | 4.375% | 3/15/43 | 333 | 307 |
Viacom Inc. | 5.850% | 9/1/43 | 7,850 | 8,736 |
Viacom Inc. | 5.250% | 4/1/44 | 2,000 | 2,106 |
Vodafone Group plc | 5.625% | 2/27/17 | 16,490 | 17,869 |
Vodafone Group plc | 1.625% | 3/20/17 | 1,300 | 1,299 |
Vodafone Group plc | 1.250% | 9/26/17 | 13,725 | 13,552 |
Vodafone Group plc | 1.500% | 2/19/18 | 5,400 | 5,306 |
Vodafone Group plc | 4.625% | 7/15/18 | 2,200 | 2,376 |
Vodafone Group plc | 5.450% | 6/10/19 | 10,500 | 11,813 |
Vodafone Group plc | 4.375% | 3/16/21 | 1,343 | 1,431 |
Vodafone Group plc | 2.500% | 9/26/22 | 1,500 | 1,413 |
Vodafone Group plc | 2.950% | 2/19/23 | 7,625 | 7,320 |
Vodafone Group plc | 7.875% | 2/15/30 | 2,588 | 3,592 |
Vodafone Group plc | 6.250% | 11/30/32 | 2,675 | 3,281 |
Vodafone Group plc | 6.150% | 2/27/37 | 8,020 | 9,689 |
Vodafone Group plc | 4.375% | 2/19/43 | 6,175 | 6,027 |
Walt Disney Co. | 0.450% | 12/1/15 | 1,650 | 1,650 |
Walt Disney Co. | 1.350% | 8/16/16 | 235 | 237 |
Walt Disney Co. | 5.625% | 9/15/16 | 3,425 | 3,706 |
Walt Disney Co. | 1.125% | 2/15/17 | 3,775 | 3,780 |
Walt Disney Co. | 0.875% | 5/30/17 | 6,275 | 6,235 |
Walt Disney Co. | 1.100% | 12/1/17 | 4,000 | 3,978 |
Walt Disney Co. | 5.875% | 12/15/17 | 1,875 | 2,112 |
Walt Disney Co. | 1.850% | 5/30/19 | 6,300 | 6,263 |
Walt Disney Co. | 2.350% | 12/1/22 | 4,700 | 4,613 |
Walt Disney Co. | 7.000% | 3/1/32 | 2,025 | 2,935 |
Walt Disney Co. | 4.125% | 12/1/41 | 9,133 | 9,637 |
Walt Disney Co. | 3.700% | 12/1/42 | 3,575 | 3,547 |
Walt Disney Co. | 4.125% | 6/1/44 | 8,575 | 8,994 |
WPP Finance 2010 | 4.750% | 11/21/21 | 7,701 | 8,416 |
WPP Finance 2010 | 3.750% | 9/19/24 | 3,325 | 3,335 |
WPP Finance 2010 | 5.125% | 9/7/42 | 700 | 747 |
WPP Finance 2010 | 5.625% | 11/15/43 | 3,350 | 3,821 |
Consumer Cyclical (1.7%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 1,275 | 1,428 |
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 325 | 345 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 1,850 | 1,976 |
7 Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 9,525 | 9,483 |
7 Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 12,750 | 12,567 |
7 Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 2,300 | 2,274 |
7 Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 7,000 | 6,939 |
7 Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 4,520 | 4,619 |
Amazon.com Inc. | 1.200% | 11/29/17 | 6,650 | 6,578 |
Amazon.com Inc. | 2.600% | 12/5/19 | 4,500 | 4,543 |
Amazon.com Inc. | 3.300% | 12/5/21 | 8,000 | 8,116 |
Amazon.com Inc. | 2.500% | 11/29/22 | 4,300 | 4,071 |
Amazon.com Inc. | 3.800% | 12/5/24 | 3,400 | 3,490 |
Amazon.com Inc. | 4.800% | 12/5/34 | 9,000 | 9,417 |
Amazon.com Inc. | 4.950% | 12/5/44 | 8,000 | 8,271 |
American Honda Finance Corp. | 1.125% | 10/7/16 | 5,000 | 5,024 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 7,700 | 7,673 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 20,000 | 20,067 |
76
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
American Honda Finance Corp. | 2.125% | 10/10/18 | 3,650 | 3,670 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 3,550 | 3,560 |
AutoNation Inc. | 6.750% | 4/15/18 | 2,300 | 2,573 |
AutoZone Inc. | 1.300% | 1/13/17 | 7,950 | 7,926 |
AutoZone Inc. | 7.125% | 8/1/18 | 7,100 | 8,275 |
AutoZone Inc. | 3.700% | 4/15/22 | 3,000 | 3,091 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,000 | 1,012 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 1,475 | 1,510 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 4,525 | 4,714 |
BorgWarner Inc. | 4.625% | 9/15/20 | 400 | 438 |
Brinker International Inc. | 2.600% | 5/15/18 | 6,938 | 6,920 |
Brinker International Inc. | 3.875% | 5/15/23 | 15,225 | 15,133 |
Carnival Corp. | 1.200% | 2/5/16 | 1,600 | 1,599 |
Carnival Corp. | 1.875% | 12/15/17 | 1,250 | 1,240 |
Carnival Corp. | 3.950% | 10/15/20 | 1,175 | 1,229 |
Costco Wholesale Corp. | 0.650% | 12/7/15 | 5,000 | 5,007 |
Costco Wholesale Corp. | 5.500% | 3/15/17 | 5,400 | 5,912 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 8,175 | 8,126 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 6,500 | 6,396 |
Cummins Inc. | 3.650% | 10/1/23 | 2,750 | 2,904 |
Cummins Inc. | 4.875% | 10/1/43 | 3,175 | 3,691 |
CVS Health Corp. | 3.250% | 5/18/15 | 2,245 | 2,267 |
CVS Health Corp. | 6.125% | 8/15/16 | 1,425 | 1,539 |
CVS Health Corp. | 1.200% | 12/5/16 | 650 | 652 |
CVS Health Corp. | 5.750% | 6/1/17 | 7,727 | 8,527 |
CVS Health Corp. | 2.250% | 12/5/18 | 24,600 | 24,829 |
CVS Health Corp. | 2.750% | 12/1/22 | 5,250 | 5,115 |
CVS Health Corp. | 4.000% | 12/5/23 | 5,570 | 5,904 |
CVS Health Corp. | 5.750% | 5/15/41 | 3,595 | 4,467 |
CVS Health Corp. | 5.300% | 12/5/43 | 10,650 | 12,730 |
7 Daimler Finance North America LLC | 2.625% | 9/15/16 | 2,300 | 2,356 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 7,620 | 11,653 |
Darden Restaurants Inc. | 6.450% | 10/15/17 | 2,025 | 2,228 |
Delphi Corp. | 6.125% | 5/15/21 | 1,700 | 1,844 |
Delphi Corp. | 5.000% | 2/15/23 | 5,550 | 5,911 |
Delphi Corp. | 4.150% | 3/15/24 | 1,525 | 1,579 |
Dollar General Corp. | 3.250% | 4/15/23 | 10,420 | 9,487 |
eBay Inc. | 1.350% | 7/15/17 | 5,375 | 5,335 |
eBay Inc. | 2.200% | 8/1/19 | 6,925 | 6,898 |
eBay Inc. | 3.250% | 10/15/20 | 5,425 | 5,499 |
eBay Inc. | 2.875% | 8/1/21 | 4,025 | 3,983 |
eBay Inc. | 2.600% | 7/15/22 | 3,500 | 3,322 |
eBay Inc. | 3.450% | 8/1/24 | 7,125 | 7,005 |
eBay Inc. | 4.000% | 7/15/42 | 3,575 | 3,183 |
Expedia Inc. | 7.456% | 8/15/18 | 250 | 291 |
Expedia Inc. | 5.950% | 8/15/20 | 10,800 | 11,973 |
Family Dollar Stores Inc. | 5.000% | 2/1/21 | 1,275 | 1,342 |
Ford Holdings LLC | 9.300% | 3/1/30 | 175 | 260 |
Ford Motor Co. | 6.500% | 8/1/18 | 1,025 | 1,166 |
Ford Motor Co. | 6.625% | 10/1/28 | 3,075 | 3,725 |
Ford Motor Co. | 6.375% | 2/1/29 | 2,375 | 2,830 |
Ford Motor Co. | 7.450% | 7/16/31 | 9,475 | 12,861 |
Ford Motor Co. | 4.750% | 1/15/43 | 12,825 | 13,465 |
Ford Motor Co. | 7.400% | 11/1/46 | 2,650 | 3,775 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 11,915 | 12,334 |
77
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 1,875 | 1,942 |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 12,075 | 13,526 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 2,750 | 2,889 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 8,500 | 8,723 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 15,225 | 16,980 |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 5,500 | 5,437 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 6,500 | 6,538 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 11,375 | 12,361 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 19,500 | 19,348 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 9,750 | 9,690 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 12,565 | 15,566 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 10,075 | 11,553 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 9,350 | 10,815 |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 4,725 | 5,015 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 8,325 | 8,848 |
Gap Inc. | 5.950% | 4/12/21 | 13,675 | 15,561 |
Home Depot Inc. | 5.400% | 3/1/16 | 7,970 | 8,399 |
Home Depot Inc. | 2.250% | 9/10/18 | 8,800 | 8,975 |
Home Depot Inc. | 2.000% | 6/15/19 | 5,750 | 5,759 |
Home Depot Inc. | 4.400% | 4/1/21 | 3,230 | 3,578 |
Home Depot Inc. | 2.700% | 4/1/23 | 7,000 | 6,923 |
Home Depot Inc. | 3.750% | 2/15/24 | 14,080 | 15,031 |
Home Depot Inc. | 5.875% | 12/16/36 | 15,937 | 20,757 |
Home Depot Inc. | 5.400% | 9/15/40 | 2,490 | 3,071 |
Home Depot Inc. | 5.950% | 4/1/41 | 5,575 | 7,325 |
Home Depot Inc. | 4.200% | 4/1/43 | 5,000 | 5,259 |
Home Depot Inc. | 4.875% | 2/15/44 | 7,800 | 9,047 |
Home Depot Inc. | 4.400% | 3/15/45 | 3,000 | 3,284 |
Host Hotels & Resorts LP | 5.875% | 6/15/19 | 7,701 | 8,086 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 3,000 | 3,450 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 3,794 | 4,121 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 1,125 | 1,119 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 4,450 | 4,387 |
International Game Technology | 7.500% | 6/15/19 | 5,390 | 5,755 |
International Game Technology | 5.500% | 6/15/20 | 2,105 | 2,184 |
Johnson Controls Inc. | 5.500% | 1/15/16 | 4,000 | 4,191 |
Johnson Controls Inc. | 2.600% | 12/1/16 | 1,475 | 1,512 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 2,300 | 2,523 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 5,405 | 5,807 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 1,425 | 1,484 |
Johnson Controls Inc. | 3.625% | 7/2/24 | 5,000 | 5,046 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 350 | 418 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 795 | 941 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 1,475 | 1,648 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 2,500 | 2,569 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 1,425 | 1,472 |
Kohl’s Corp. | 6.250% | 12/15/17 | 2,625 | 2,928 |
Kohl’s Corp. | 4.000% | 11/1/21 | 2,955 | 3,067 |
Kohl’s Corp. | 3.250% | 2/1/23 | 1,750 | 1,699 |
Kohl’s Corp. | 6.000% | 1/15/33 | 5,093 | 5,664 |
Kohl’s Corp. | 6.875% | 12/15/37 | 700 | 884 |
Lowe’s Cos. Inc. | 5.400% | 10/15/16 | 1,925 | 2,071 |
Lowe’s Cos. Inc. | 6.100% | 9/15/17 | 875 | 983 |
Lowe’s Cos. Inc. | 4.625% | 4/15/20 | 3,355 | 3,700 |
Lowe’s Cos. Inc. | 3.750% | 4/15/21 | 4,045 | 4,337 |
78
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Lowe’s Cos. Inc. | 3.800% | 11/15/21 | 3,775 | 4,043 |
Lowe’s Cos. Inc. | 3.120% | 4/15/22 | 2,125 | 2,174 |
Lowe’s Cos. Inc. | 3.875% | 9/15/23 | 5,325 | 5,679 |
Lowe’s Cos. Inc. | 3.125% | 9/15/24 | 13,350 | 13,455 |
Lowe’s Cos. Inc. | 6.875% | 2/15/28 | 350 | 453 |
Lowe’s Cos. Inc. | 6.500% | 3/15/29 | 1,050 | 1,327 |
Lowe’s Cos. Inc. | 5.800% | 10/15/36 | 6,575 | 8,234 |
Lowe’s Cos. Inc. | 5.800% | 4/15/40 | 120 | 152 |
Lowe’s Cos. Inc. | 5.125% | 11/15/41 | 1,200 | 1,402 |
Lowe’s Cos. Inc. | 4.650% | 4/15/42 | 6,800 | 7,559 |
Lowe’s Cos. Inc. | 5.000% | 9/15/43 | 5,650 | 6,613 |
Lowe’s Cos. Inc. | 4.250% | 9/15/44 | 6,250 | 6,614 |
Macy’s Retail Holdings Inc. | 5.900% | 12/1/16 | 2,626 | 2,850 |
Macy’s Retail Holdings Inc. | 3.875% | 1/15/22 | 9,100 | 9,472 |
Macy’s Retail Holdings Inc. | 2.875% | 2/15/23 | 10,608 | 10,296 |
Macy’s Retail Holdings Inc. | 4.375% | 9/1/23 | 5,715 | 6,143 |
Macy’s Retail Holdings Inc. | 7.000% | 2/15/28 | 2,600 | 3,292 |
Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 1,500 | 1,910 |
Macy’s Retail Holdings Inc. | 4.500% | 12/15/34 | 8,000 | 8,056 |
Macy’s Retail Holdings Inc. | 6.375% | 3/15/37 | 2,750 | 3,502 |
Macy’s Retail Holdings Inc. | 5.125% | 1/15/42 | 7,025 | 7,654 |
Magna International Inc. | 3.625% | 6/15/24 | 3,570 | 3,591 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,750 | 1,795 |
Marriott International Inc. | 3.375% | 10/15/20 | 1,050 | 1,078 |
Marriott International Inc. | 3.125% | 10/15/21 | 3,800 | 3,823 |
Marriott International Inc. | 3.250% | 9/15/22 | 7,925 | 7,951 |
MasterCard Inc. | 2.000% | 4/1/19 | 2,175 | 2,179 |
MasterCard Inc. | 3.375% | 4/1/24 | 4,150 | 4,258 |
McDonald’s Corp. | 5.300% | 3/15/17 | 300 | 326 |
McDonald’s Corp. | 5.800% | 10/15/17 | 4,050 | 4,527 |
McDonald’s Corp. | 5.350% | 3/1/18 | 4,995 | 5,534 |
McDonald’s Corp. | 5.000% | 2/1/19 | 4,525 | 5,036 |
McDonald’s Corp. | 1.875% | 5/29/19 | 6,450 | 6,397 |
McDonald’s Corp. | 2.625% | 1/15/22 | 11,090 | 11,037 |
McDonald’s Corp. | 3.250% | 6/10/24 | 600 | 611 |
McDonald’s Corp. | 6.300% | 10/15/37 | 325 | 425 |
McDonald’s Corp. | 6.300% | 3/1/38 | 1,825 | 2,400 |
McDonald’s Corp. | 3.700% | 2/15/42 | 12,525 | 12,015 |
McDonald’s Corp. | 3.625% | 5/1/43 | 1,550 | 1,436 |
NIKE Inc. | 2.250% | 5/1/23 | 375 | 364 |
NIKE Inc. | 3.625% | 5/1/43 | 6,125 | 6,060 |
Nordstrom Inc. | 6.250% | 1/15/18 | 5,625 | 6,355 |
Nordstrom Inc. | 4.750% | 5/1/20 | 2,675 | 2,959 |
Nordstrom Inc. | 4.000% | 10/15/21 | 7,190 | 7,691 |
Nordstrom Inc. | 5.000% | 1/15/44 | 3,335 | 3,795 |
NVR Inc. | 3.950% | 9/15/22 | 6,900 | 7,145 |
O’Reilly Automotive Inc. | 4.875% | 1/14/21 | 600 | 658 |
O’Reilly Automotive Inc. | 3.800% | 9/1/22 | 4,554 | 4,700 |
O’Reilly Automotive Inc. | 3.850% | 6/15/23 | 1,000 | 1,035 |
PACCAR Financial Corp. | 1.150% | 8/16/16 | 5,150 | 5,185 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 3,725 | 3,755 |
PACCAR Financial Corp. | 1.100% | 6/6/17 | 500 | 497 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 2,950 | 2,943 |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,600 | 1,604 |
QVC Inc. | 3.125% | 4/1/19 | 1,550 | 1,550 |
79
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
QVC Inc. | 5.125% | 7/2/22 | 425 | 448 |
QVC Inc. | 4.375% | 3/15/23 | 650 | 652 |
QVC Inc. | 4.850% | 4/1/24 | 4,150 | 4,227 |
QVC Inc. | 5.950% | 3/15/43 | 3,075 | 3,237 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 1,675 | 1,687 |
Ross Stores Inc. | 3.375% | 9/15/24 | 1,500 | 1,501 |
Signet UK Finance plc | 4.700% | 6/15/24 | 2,300 | 2,217 |
Staples Inc. | 2.750% | 1/12/18 | 9,000 | 8,989 |
Staples Inc. | 4.375% | 1/12/23 | 2,628 | 2,636 |
Starbucks Corp. | 0.875% | 12/5/16 | 2,525 | 2,518 |
Starbucks Corp. | 2.000% | 12/5/18 | 1,700 | 1,716 |
Starbucks Corp. | 3.850% | 10/1/23 | 5,350 | 5,714 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 5,500 | 5,333 |
Target Corp. | 5.875% | 7/15/16 | 2,825 | 3,035 |
Target Corp. | 5.375% | 5/1/17 | 850 | 928 |
Target Corp. | 6.000% | 1/15/18 | 7,055 | 7,948 |
Target Corp. | 2.300% | 6/26/19 | 6,950 | 7,027 |
Target Corp. | 3.875% | 7/15/20 | 5,630 | 6,051 |
Target Corp. | 2.900% | 1/15/22 | 10,700 | 10,836 |
Target Corp. | 3.500% | 7/1/24 | 8,000 | 8,314 |
Target Corp. | 6.350% | 11/1/32 | 2,075 | 2,709 |
Target Corp. | 6.500% | 10/15/37 | 9,778 | 13,380 |
Target Corp. | 7.000% | 1/15/38 | 4,000 | 5,767 |
Target Corp. | 4.000% | 7/1/42 | 5,000 | 5,087 |
7 Tiffany & Co. | 3.800% | 10/1/24 | 1,225 | 1,233 |
7 Tiffany & Co. | 4.900% | 10/1/44 | 1,650 | 1,701 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 1,425 | 1,694 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 9,100 | 9,130 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 4,550 | 4,370 |
Toyota Motor Credit Corp. | 2.800% | 1/11/16 | 1,890 | 1,931 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 3,125 | 3,182 |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 15,855 | 16,163 |
Toyota Motor Credit Corp. | 1.125% | 5/16/17 | 4,800 | 4,784 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 9,100 | 9,072 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 6,125 | 6,095 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 7,625 | 7,691 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 9,975 | 10,032 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 7,500 | 7,507 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,723 | 1,899 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 2,200 | 2,416 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 7,500 | 7,590 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 1,845 | 1,930 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 3,725 | 3,872 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 6,975 | 6,903 |
VF Corp. | 5.950% | 11/1/17 | 1,975 | 2,226 |
VF Corp. | 3.500% | 9/1/21 | 4,695 | 4,966 |
VF Corp. | 6.450% | 11/1/37 | 1,275 | 1,715 |
Wal-Mart Stores Inc. | 4.500% | 7/1/15 | 2,225 | 2,270 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 625 | 683 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 8,295 | 9,377 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 10,375 | 10,457 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 4,750 | 5,073 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 6,795 | 7,140 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 13,235 | 14,588 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 5,000 | 4,930 |
80
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 21,000 | 21,644 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 11,800 | 15,087 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 3,650 | 5,381 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 3,280 | 3,953 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 8,515 | 11,669 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 13,305 | 17,844 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 2,050 | 2,605 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 8,595 | 9,978 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 5,300 | 6,266 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 13,545 | 17,244 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 5,000 | 5,176 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 13,350 | 15,566 |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 9,400 | 10,268 |
Walgreen Co. | 1.800% | 9/15/17 | 14,300 | 14,331 |
Walgreen Co. | 5.250% | 1/15/19 | 1,970 | 2,186 |
Walgreen Co. | 3.100% | 9/15/22 | 3,550 | 3,507 |
Walgreen Co. | 4.400% | 9/15/42 | 1,300 | 1,303 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 6,000 | 6,017 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 9,000 | 9,044 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 5,300 | 5,339 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 7,000 | 7,133 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 5,975 | 6,218 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 9,000 | 9,493 |
Western Union Co. | 5.930% | 10/1/16 | 1,825 | 1,960 |
Western Union Co. | 5.253% | 4/1/20 | 347 | 381 |
Western Union Co. | 6.200% | 11/17/36 | 3,350 | 3,437 |
Western Union Co. | 6.200% | 6/21/40 | 1,100 | 1,166 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 975 | 974 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 9,740 | 9,969 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 600 | 593 |
Yum! Brands Inc. | 4.250% | 9/15/15 | 2,000 | 2,047 |
Yum! Brands Inc. | 6.250% | 4/15/16 | 2,850 | 3,024 |
Yum! Brands Inc. | 6.250% | 3/15/18 | 379 | 424 |
Yum! Brands Inc. | 5.300% | 9/15/19 | 685 | 762 |
Yum! Brands Inc. | 3.875% | 11/1/20 | 1,175 | 1,224 |
Yum! Brands Inc. | 5.350% | 11/1/43 | 2,000 | 2,199 |
Consumer Noncyclical (3.4%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 13,902 | 15,579 |
Abbott Laboratories | 4.125% | 5/27/20 | 3,000 | 3,255 |
Abbott Laboratories | 6.150% | 11/30/37 | 2,405 | 3,253 |
Abbott Laboratories | 6.000% | 4/1/39 | 350 | 472 |
Abbott Laboratories | 5.300% | 5/27/40 | 2,255 | 2,758 |
AbbVie Inc. | 1.750% | 11/6/17 | 16,785 | 16,824 |
AbbVie Inc. | 2.000% | 11/6/18 | 12,725 | 12,678 |
AbbVie Inc. | 2.900% | 11/6/22 | 13,182 | 12,963 |
AbbVie Inc. | 4.400% | 11/6/42 | 15,300 | 15,708 |
Actavis Funding SCS | 1.300% | 6/15/17 | 13,600 | 13,341 |
Actavis Funding SCS | 2.450% | 6/15/19 | 4,400 | 4,329 |
Actavis Funding SCS | 3.850% | 6/15/24 | 7,100 | 7,128 |
Actavis Funding SCS | 4.850% | 6/15/44 | 11,050 | 11,187 |
Actavis Inc. | 1.875% | 10/1/17 | 4,525 | 4,496 |
Actavis Inc. | 3.250% | 10/1/22 | 8,300 | 8,088 |
Actavis Inc. | 4.625% | 10/1/42 | 1,225 | 1,200 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 4,315 | 4,216 |
81
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 4,500 | 4,511 |
Allergan Inc. | 5.750% | 4/1/16 | 400 | 421 |
Allergan Inc. | 3.375% | 9/15/20 | 5,000 | 5,058 |
Altria Group Inc. | 9.700% | 11/10/18 | 3,244 | 4,121 |
Altria Group Inc. | 9.250% | 8/6/19 | 401 | 515 |
Altria Group Inc. | 2.625% | 1/14/20 | 11,500 | 11,512 |
Altria Group Inc. | 4.750% | 5/5/21 | 7,150 | 7,910 |
Altria Group Inc. | 2.850% | 8/9/22 | 10,050 | 9,801 |
Altria Group Inc. | 2.950% | 5/2/23 | 425 | 411 |
Altria Group Inc. | 4.000% | 1/31/24 | 15,100 | 15,788 |
Altria Group Inc. | 9.950% | 11/10/38 | 3,559 | 6,103 |
Altria Group Inc. | 10.200% | 2/6/39 | 9,395 | 16,397 |
Altria Group Inc. | 4.250% | 8/9/42 | 3,400 | 3,295 |
Altria Group Inc. | 4.500% | 5/2/43 | 5,175 | 5,211 |
Altria Group Inc. | 5.375% | 1/31/44 | 7,325 | 8,337 |
AmerisourceBergen Corp. | 1.150% | 5/15/17 | 5,070 | 5,032 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 975 | 1,080 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 5,200 | 5,363 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 4,000 | 4,006 |
Amgen Inc. | 2.300% | 6/15/16 | 2,820 | 2,870 |
Amgen Inc. | 2.500% | 11/15/16 | 1,660 | 1,692 |
Amgen Inc. | 2.125% | 5/15/17 | 3,825 | 3,878 |
Amgen Inc. | 1.250% | 5/22/17 | 3,800 | 3,769 |
Amgen Inc. | 5.850% | 6/1/17 | 7,750 | 8,543 |
Amgen Inc. | 6.150% | 6/1/18 | 6,505 | 7,395 |
Amgen Inc. | 5.700% | 2/1/19 | 6,714 | 7,540 |
Amgen Inc. | 2.200% | 5/22/19 | 1,650 | 1,644 |
Amgen Inc. | 3.450% | 10/1/20 | 825 | 858 |
Amgen Inc. | 4.100% | 6/15/21 | 6,765 | 7,255 |
Amgen Inc. | 3.875% | 11/15/21 | 1,660 | 1,747 |
Amgen Inc. | 3.625% | 5/15/22 | 17,075 | 17,569 |
Amgen Inc. | 3.625% | 5/22/24 | 13,500 | 13,720 |
Amgen Inc. | 6.375% | 6/1/37 | 12,200 | 15,275 |
Amgen Inc. | 6.900% | 6/1/38 | 5,023 | 6,654 |
Amgen Inc. | 6.400% | 2/1/39 | 4,250 | 5,388 |
Amgen Inc. | 5.750% | 3/15/40 | 2,665 | 3,188 |
Amgen Inc. | 4.950% | 10/1/41 | 7,275 | 7,821 |
Amgen Inc. | 5.150% | 11/15/41 | 12,311 | 13,892 |
Amgen Inc. | 5.650% | 6/15/42 | 3,800 | 4,521 |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 1,375 | 1,499 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 6,307 | 7,009 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 775 | 1,066 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 2,705 | 3,335 |
Anheuser-Busch InBev Finance Inc. | 0.800% | 1/15/16 | 5,000 | 5,009 |
Anheuser-Busch InBev Finance Inc. | 1.125% | 1/27/17 | 1,500 | 1,503 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 13,465 | 13,310 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 7,000 | 7,027 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 14,425 | 14,001 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 8,850 | 9,203 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 17,825 | 17,630 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 4,225 | 4,588 |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 1,893 | 1,937 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 17,545 | 17,532 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 12,685 | 15,360 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 5,525 | 6,638 |
82
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 16,040 | 18,164 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 4,450 | 4,982 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 3,875 | 4,231 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 11,800 | 11,459 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 4,715 | 7,284 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 3,075 | 4,010 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 10,450 | 9,824 |
Archer-Daniels-Midland Co. | 8.375% | 4/15/17 | 100 | 116 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 6,825 | 7,601 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 2,145 | 2,370 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 650 | 835 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 3,225 | 3,914 |
Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 4,970 | 6,379 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 2,125 | 2,132 |
4 Ascension Health Alliance | 4.847% | 11/15/53 | 4,875 | 5,486 |
AstraZeneca plc | 5.900% | 9/15/17 | 11,965 | 13,374 |
AstraZeneca plc | 1.950% | 9/18/19 | 2,500 | 2,490 |
AstraZeneca plc | 6.450% | 9/15/37 | 16,605 | 22,267 |
AstraZeneca plc | 4.000% | 9/18/42 | 5,925 | 5,825 |
Baptist Health South Florida Obligated | ||||
Group Revenue | 4.590% | 8/15/21 | 850 | 934 |
Baxter International Inc. | 5.900% | 9/1/16 | 1,250 | 1,346 |
Baxter International Inc. | 1.850% | 1/15/17 | 8,350 | 8,444 |
Baxter International Inc. | 4.250% | 3/15/20 | 3,000 | 3,225 |
Baxter International Inc. | 2.400% | 8/15/22 | 8,535 | 8,144 |
Baxter International Inc. | 3.200% | 6/15/23 | 4,911 | 4,933 |
Baxter International Inc. | 3.650% | 8/15/42 | 1,400 | 1,334 |
Beam Suntory Inc. | 1.875% | 5/15/17 | 1,825 | 1,834 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 1,525 | 1,511 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 1,400 | 1,410 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 850 | 837 |
Becton Dickinson & Co. | 1.750% | 11/8/16 | 90 | 91 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 6,000 | 6,025 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 450 | 497 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 3,050 | 3,074 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 8,340 | 8,468 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 2,985 | 2,999 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 6,000 | 6,173 |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 6,622 | 7,150 |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 5,400 | 5,808 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 600 | 691 |
Boston Scientific Corp. | 6.400% | 6/15/16 | 4,500 | 4,814 |
Boston Scientific Corp. | 5.125% | 1/12/17 | 3,750 | 3,992 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 4,050 | 4,080 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 3,870 | 4,358 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 7,600 | 7,770 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 2,850 | 3,650 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 1,125 | 1,509 |
Bottling Group LLC | 5.500% | 4/1/16 | 7,050 | 7,460 |
Bottling Group LLC | 5.125% | 1/15/19 | 4,119 | 4,602 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 3,000 | 2,973 |
Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 5,375 | 5,334 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 3,275 | 3,097 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 100 | 131 |
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 3,625 | 3,714 |
83
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bristol-Myers Squibb Co. | 6.800% | 11/15/26 | 100 | 134 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 2,863 | 3,667 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 910 | 1,189 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 1,925 | 1,689 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 2,000 | 2,187 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 800 | 786 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 1,375 | 1,308 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 1,800 | 1,783 |
Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 575 | 587 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 6,975 | 8,578 |
Campbell Soup Co. | 3.050% | 7/15/17 | 525 | 543 |
Campbell Soup Co. | 4.250% | 4/15/21 | 2,175 | 2,359 |
Campbell Soup Co. | 2.500% | 8/2/22 | 4,000 | 3,831 |
Campbell Soup Co. | 3.800% | 8/2/42 | 2,800 | 2,568 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 3,850 | 3,819 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 4,935 | 5,391 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 5,000 | 5,003 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 3,450 | 3,450 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 475 | 500 |
CareFusion Corp. | 6.375% | 8/1/19 | 8,085 | 9,342 |
Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 2,150 | 2,145 |
4 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 7,400 | 7,347 |
Celgene Corp. | 2.300% | 8/15/18 | 2,500 | 2,517 |
Celgene Corp. | 2.250% | 5/15/19 | 3,975 | 3,945 |
Celgene Corp. | 3.950% | 10/15/20 | 5,075 | 5,370 |
Celgene Corp. | 3.250% | 8/15/22 | 4,750 | 4,782 |
Celgene Corp. | 4.000% | 8/15/23 | 2,050 | 2,155 |
Celgene Corp. | 3.625% | 5/15/24 | 4,375 | 4,457 |
Celgene Corp. | 5.700% | 10/15/40 | 3,707 | 4,494 |
Celgene Corp. | 5.250% | 8/15/43 | 3,100 | 3,529 |
Celgene Corp. | 4.625% | 5/15/44 | 5,750 | 5,966 |
Children’s Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 1,350 | 1,413 |
Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 1,000 | 1,022 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 4,000 | 3,994 |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 10,000 | 10,192 |
Clorox Co. | 5.950% | 10/15/17 | 2,832 | 3,160 |
Clorox Co. | 3.050% | 9/15/22 | 4,800 | 4,777 |
Clorox Co. | 3.500% | 12/15/24 | 3,425 | 3,448 |
Coca-Cola Co. | 1.500% | 11/15/15 | 3,775 | 3,810 |
Coca-Cola Co. | 1.800% | 9/1/16 | 7,900 | 8,032 |
Coca-Cola Co. | 5.350% | 11/15/17 | 7,825 | 8,682 |
Coca-Cola Co. | 1.650% | 3/14/18 | 725 | 732 |
Coca-Cola Co. | 1.150% | 4/1/18 | 4,121 | 4,075 |
Coca-Cola Co. | 1.650% | 11/1/18 | 7,100 | 7,087 |
Coca-Cola Co. | 4.875% | 3/15/19 | 5,910 | 6,627 |
Coca-Cola Co. | 2.450% | 11/1/20 | 6,600 | 6,650 |
Coca-Cola Co. | 3.150% | 11/15/20 | 1,100 | 1,150 |
Coca-Cola Co. | 3.300% | 9/1/21 | 2,530 | 2,656 |
Coca-Cola Co. | 2.500% | 4/1/23 | 5,000 | 4,915 |
Coca-Cola Co. | 3.200% | 11/1/23 | 15,700 | 16,187 |
Coca-Cola Enterprises Inc. | 2.125% | 9/15/15 | 1,595 | 1,612 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 2,350 | 2,440 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 775 | 839 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 10,250 | 10,749 |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 3,500 | 4,040 |
84
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Coca-Cola HBC Finance BV | 5.500% | 9/17/15 | 3,500 | 3,590 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 1,800 | 2,451 |
Colgate-Palmolive Co. | 1.300% | 1/15/17 | 4,375 | 4,398 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 1,510 | 1,510 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 7,025 | 6,922 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 5,250 | 4,977 |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 2,500 | 2,501 |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 138 | 151 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 9,210 | 9,147 |
ConAgra Foods Inc. | 2.100% | 3/15/18 | 4,743 | 4,740 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 919 | 1,075 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 5,000 | 4,933 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 4,594 | 4,463 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 1,515 | 1,942 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 675 | 987 |
ConAgra Foods Inc. | 6.625% | 8/15/39 | 5,500 | 7,038 |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 2,970 | 3,106 |
Covidien International Finance SA | 6.000% | 10/15/17 | 4,332 | 4,845 |
Covidien International Finance SA | 3.200% | 6/15/22 | 5,869 | 5,918 |
Covidien International Finance SA | 2.950% | 6/15/23 | 8,500 | 8,329 |
Covidien International Finance SA | 6.550% | 10/15/37 | 4,699 | 6,138 |
CR Bard Inc. | 1.375% | 1/15/18 | 8,300 | 8,204 |
CR Bard Inc. | 4.400% | 1/15/21 | 2,220 | 2,439 |
Delhaize America LLC | 9.000% | 4/15/31 | 1,530 | 2,071 |
Delhaize Group SA | 6.500% | 6/15/17 | 235 | 259 |
Delhaize Group SA | 5.700% | 10/1/40 | 14,041 | 14,708 |
DENTSPLY International Inc. | 2.750% | 8/15/16 | 100 | 102 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 2,025 | 2,123 |
Diageo Capital plc | 0.625% | 4/29/16 | 1,000 | 996 |
Diageo Capital plc | 5.500% | 9/30/16 | 425 | 458 |
Diageo Capital plc | 1.500% | 5/11/17 | 11,250 | 11,262 |
Diageo Capital plc | 5.750% | 10/23/17 | 8,676 | 9,658 |
Diageo Capital plc | 4.828% | 7/15/20 | 3,300 | 3,673 |
Diageo Capital plc | 2.625% | 4/29/23 | 16,000 | 15,539 |
Diageo Capital plc | 5.875% | 9/30/36 | 200 | 254 |
Diageo Capital plc | 3.875% | 4/29/43 | 1,200 | 1,179 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 9,075 | 9,066 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 200 | 290 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 7,387 | 7,584 |
Dignity Health | 2.637% | 11/1/19 | 3,000 | 3,026 |
Dignity Health | 3.812% | 11/1/24 | 1,750 | 1,811 |
Dignity Health | 5.267% | 11/1/64 | 1,000 | 1,085 |
Dignity Health California GO | 3.125% | 11/1/22 | 900 | 890 |
Dignity Health California GO | 4.500% | 11/1/42 | 4,500 | 4,467 |
Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 3,045 | 3,107 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 1,920 | 2,214 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 9,785 | 9,927 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 2,475 | 2,409 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 1,300 | 1,270 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 425 | 620 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 950 | 962 |
Eli Lilly & Co. | 5.200% | 3/15/17 | 3,925 | 4,269 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 7,750 | 7,787 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 2,950 | 3,561 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 6,100 | 7,405 |
85
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Eli Lilly & Co. | 5.950% | 11/15/37 | 1,010 | 1,318 |
Eli Lilly & Co. | 4.650% | 6/15/44 | 4,600 | 5,161 |
Energizer Holdings Inc. | 4.700% | 5/19/21 | 1,325 | 1,374 |
Energizer Holdings Inc. | 4.700% | 5/24/22 | 1,750 | 1,808 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 6,358 | 6,129 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 200 | 256 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 2,200 | 2,092 |
Express Scripts Holding Co. | 3.125% | 5/15/16 | 5,000 | 5,133 |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 12,015 | 12,287 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 5,738 | 6,337 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 22,150 | 23,171 |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 8,005 | 7,986 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 2,630 | 3,309 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 1,500 | 1,584 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 600 | 567 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 2,600 | 2,487 |
General Mills Inc. | 5.700% | 2/15/17 | 2,525 | 2,759 |
General Mills Inc. | 1.400% | 10/20/17 | 3,500 | 3,486 |
General Mills Inc. | 5.650% | 2/15/19 | 8,175 | 9,263 |
General Mills Inc. | 2.200% | 10/21/19 | 5,700 | 5,661 |
General Mills Inc. | 3.150% | 12/15/21 | 5,875 | 6,071 |
General Mills Inc. | 3.650% | 2/15/24 | 2,725 | 2,832 |
General Mills Inc. | 5.400% | 6/15/40 | 4,505 | 5,325 |
Genzyme Corp. | 3.625% | 6/15/15 | 2,875 | 2,916 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 5,375 | 5,576 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 2,645 | 2,647 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 4,775 | 4,802 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 2,025 | 2,246 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 8,952 | 9,875 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 9,125 | 9,569 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 6,000 | 6,164 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 5,610 | 6,949 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 17,075 | 18,988 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 11,050 | 11,777 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 15,580 | 17,546 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 6,781 | 6,712 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 775 | 947 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 20,760 | 27,546 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 2,175 | 2,240 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 13,500 | 13,564 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 7,725 | 7,725 |
Hasbro Inc. | 6.300% | 9/15/17 | 1,375 | 1,525 |
Hasbro Inc. | 3.150% | 5/15/21 | 6,650 | 6,680 |
Hasbro Inc. | 6.350% | 3/15/40 | 2,200 | 2,700 |
Hasbro Inc. | 5.100% | 5/15/44 | 4,750 | 4,945 |
Hershey Co. | 5.450% | 9/1/16 | 425 | 457 |
Hershey Co. | 1.500% | 11/1/16 | 2,125 | 2,150 |
Hershey Co. | 4.125% | 12/1/20 | 2,295 | 2,488 |
Hershey Co. | 2.625% | 5/1/23 | 1,750 | 1,716 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 625 | 681 |
Ingredion Inc. | 3.200% | 11/1/15 | 1,700 | 1,729 |
Ingredion Inc. | 4.625% | 11/1/20 | 890 | 955 |
Ingredion Inc. | 6.625% | 4/15/37 | 575 | 727 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 525 | 523 |
JM Smucker Co. | 3.500% | 10/15/21 | 995 | 1,044 |
86
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Johnson & Johnson | 5.550% | 8/15/17 | 2,050 | 2,283 |
Johnson & Johnson | 5.150% | 7/15/18 | 4,550 | 5,108 |
Johnson & Johnson | 1.650% | 12/5/18 | 1,250 | 1,252 |
Johnson & Johnson | 2.950% | 9/1/20 | 10,000 | 10,456 |
Johnson & Johnson | 3.550% | 5/15/21 | 2,325 | 2,527 |
Johnson & Johnson | 2.450% | 12/5/21 | 2,000 | 2,018 |
Johnson & Johnson | 6.730% | 11/15/23 | 1,203 | 1,579 |
Johnson & Johnson | 3.375% | 12/5/23 | 4,250 | 4,552 |
Johnson & Johnson | 6.950% | 9/1/29 | 1,300 | 1,868 |
Johnson & Johnson | 4.950% | 5/15/33 | 1,600 | 1,930 |
Johnson & Johnson | 4.375% | 12/5/33 | 19,104 | 21,329 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,330 | 1,797 |
Johnson & Johnson | 5.850% | 7/15/38 | 3,397 | 4,652 |
Johnson & Johnson | 4.500% | 9/1/40 | 1,370 | 1,564 |
Johnson & Johnson | 4.500% | 12/5/43 | 1,000 | 1,156 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 900 | 925 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 8,800 | 10,189 |
Kellogg Co. | 4.450% | 5/30/16 | 3,200 | 3,367 |
Kellogg Co. | 1.875% | 11/17/16 | 4,400 | 4,463 |
Kellogg Co. | 4.000% | 12/15/20 | 9,005 | 9,648 |
Kellogg Co. | 7.450% | 4/1/31 | 1,375 | 1,855 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 10,604 | 11,880 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 800 | 961 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,150 | 3,352 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,940 | 3,211 |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 4,825 | 4,756 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 1,600 | 1,544 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 200 | 285 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 1,950 | 2,415 |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 1,275 | 1,243 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 2,725 | 3,040 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 8,500 | 8,859 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 4,795 | 6,585 |
Koninklijke Philips NV | 5.000% | 3/15/42 | 9,575 | 10,556 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 2,150 | 2,186 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 12,252 | 13,999 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 2,539 | 2,879 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 10,825 | 11,095 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 8,150 | 10,750 |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 8,500 | 10,955 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 5,375 | 5,889 |
Kroger Co. | 3.900% | 10/1/15 | 2,350 | 2,401 |
Kroger Co. | 2.200% | 1/15/17 | 6,775 | 6,886 |
Kroger Co. | 6.400% | 8/15/17 | 435 | 486 |
Kroger Co. | 6.800% | 12/15/18 | 2,400 | 2,796 |
Kroger Co. | 2.300% | 1/15/19 | 5,845 | 5,847 |
Kroger Co. | 6.150% | 1/15/20 | 650 | 752 |
Kroger Co. | 3.300% | 1/15/21 | 1,850 | 1,879 |
Kroger Co. | 2.950% | 11/1/21 | 5,650 | 5,600 |
Kroger Co. | 3.850% | 8/1/23 | 2,500 | 2,594 |
Kroger Co. | 4.000% | 2/1/24 | 1,093 | 1,151 |
Kroger Co. | 7.700% | 6/1/29 | 2,800 | 3,803 |
Kroger Co. | 8.000% | 9/15/29 | 8,675 | 12,004 |
Kroger Co. | 7.500% | 4/1/31 | 625 | 848 |
Kroger Co. | 6.900% | 4/15/38 | 5,000 | 6,618 |
87
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kroger Co. | 5.150% | 8/1/43 | 1,000 | 1,129 |
Laboratory Corp. of America Holdings | 5.625% | 12/15/15 | 1,025 | 1,066 |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 9,175 | 9,267 |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 500 | 498 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 725 | 743 |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 550 | 564 |
Life Technologies Corp. | 3.500% | 1/15/16 | 2,800 | 2,868 |
Life Technologies Corp. | 6.000% | 3/1/20 | 2,340 | 2,671 |
Life Technologies Corp. | 5.000% | 1/15/21 | 1,350 | 1,488 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 13,355 | 13,759 |
Lorillard Tobacco Co. | 2.300% | 8/21/17 | 5,100 | 5,134 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 2,825 | 3,424 |
Lorillard Tobacco Co. | 3.750% | 5/20/23 | 2,475 | 2,452 |
Lorillard Tobacco Co. | 8.125% | 5/1/40 | 2,239 | 3,128 |
Lorillard Tobacco Co. | 7.000% | 8/4/41 | 1,550 | 1,991 |
Mattel Inc. | 2.500% | 11/1/16 | 1,125 | 1,148 |
Mattel Inc. | 1.700% | 3/15/18 | 550 | 546 |
Mattel Inc. | 2.350% | 5/6/19 | 1,000 | 995 |
Mattel Inc. | 3.150% | 3/15/23 | 750 | 739 |
Mattel Inc. | 5.450% | 11/1/41 | 4,250 | 4,820 |
4 Mayo Clinic | 3.774% | 11/15/43 | 5,125 | 5,072 |
4 Mayo Clinic | 4.000% | 11/15/47 | 1,125 | 1,146 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 875 | 945 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,400 | 1,474 |
McKesson Corp. | 3.250% | 3/1/16 | 1,628 | 1,667 |
McKesson Corp. | 5.700% | 3/1/17 | 5,000 | 5,434 |
McKesson Corp. | 1.292% | 3/10/17 | 1,000 | 996 |
McKesson Corp. | 7.500% | 2/15/19 | 1,845 | 2,204 |
McKesson Corp. | 2.284% | 3/15/19 | 6,000 | 5,972 |
McKesson Corp. | 4.750% | 3/1/21 | 1,740 | 1,915 |
McKesson Corp. | 2.700% | 12/15/22 | 5,600 | 5,344 |
McKesson Corp. | 3.796% | 3/15/24 | 6,000 | 6,181 |
McKesson Corp. | 6.000% | 3/1/41 | 5,500 | 6,814 |
McKesson Corp. | 4.883% | 3/15/44 | 2,650 | 2,921 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 2,309 | 2,540 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 6,135 | 7,552 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 3,800 | 4,018 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 9,080 | 10,484 |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 590 | 626 |
Medtronic Inc. | 4.750% | 9/15/15 | 1,775 | 1,828 |
7 Medtronic Inc. | 1.500% | 3/15/18 | 5,950 | 5,922 |
Medtronic Inc. | 1.375% | 4/1/18 | 6,845 | 6,762 |
Medtronic Inc. | 5.600% | 3/15/19 | 1,000 | 1,141 |
7 Medtronic Inc. | 2.500% | 3/15/20 | 8,500 | 8,529 |
Medtronic Inc. | 4.450% | 3/15/20 | 1,650 | 1,804 |
Medtronic Inc. | 4.125% | 3/15/21 | 590 | 635 |
Medtronic Inc. | 3.125% | 3/15/22 | 17,680 | 17,878 |
7 Medtronic Inc. | 3.150% | 3/15/22 | 14,000 | 14,180 |
Medtronic Inc. | 3.625% | 3/15/24 | 5,000 | 5,192 |
7 Medtronic Inc. | 3.500% | 3/15/25 | 14,200 | 14,531 |
7 Medtronic Inc. | 4.375% | 3/15/35 | 22,400 | 23,602 |
Medtronic Inc. | 6.500% | 3/15/39 | 500 | 652 |
Medtronic Inc. | 5.550% | 3/15/40 | 1,725 | 2,035 |
Medtronic Inc. | 4.500% | 3/15/42 | 4,875 | 5,018 |
Medtronic Inc. | 4.625% | 3/15/44 | 4,075 | 4,396 |
88
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
7 Medtronic Inc. | 4.625% | 3/15/45 | 15,600 | 16,881 |
Memorial Sloan-Kettering Cancer Center | ||||
New York GO | 5.000% | 7/1/42 | 700 | 822 |
Memorial Sloan-Kettering Cancer Center | ||||
New York GO | 4.125% | 7/1/52 | 4,425 | 4,424 |
Merck & Co. Inc. | 2.250% | 1/15/16 | 3,850 | 3,916 |
Merck & Co. Inc. | 1.100% | 1/31/18 | 3,775 | 3,734 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 8,750 | 8,545 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 9,500 | 9,443 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 4,622 | 6,412 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 2,715 | 3,856 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 3,300 | 3,190 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 6,175 | 6,597 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 12,845 | 14,454 |
Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 1,300 | 1,670 |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 3,900 | 5,094 |
Molson Coors Brewing Co. | 2.000% | 5/1/17 | 725 | 732 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 800 | 808 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 5,975 | 6,446 |
Mondelez International Inc. | 4.125% | 2/9/16 | 6,590 | 6,811 |
Mondelez International Inc. | 6.500% | 8/11/17 | 11,975 | 13,421 |
Mondelez International Inc. | 6.125% | 2/1/18 | 4,790 | 5,381 |
Mondelez International Inc. | 5.375% | 2/10/20 | 15,386 | 17,418 |
Mondelez International Inc. | 4.000% | 2/1/24 | 10,075 | 10,535 |
Mondelez International Inc. | 6.500% | 11/1/31 | 6,711 | 8,735 |
Mondelez International Inc. | 6.500% | 2/9/40 | 14,115 | 18,837 |
Mylan Inc. | 1.800% | 6/24/16 | 3,500 | 3,522 |
Mylan Inc. | 1.350% | 11/29/16 | 1,300 | 1,294 |
Mylan Inc. | 2.600% | 6/24/18 | 5,020 | 5,078 |
Mylan Inc. | 2.550% | 3/28/19 | 3,000 | 2,988 |
Mylan Inc. | 4.200% | 11/29/23 | 11,215 | 11,679 |
Mylan Inc. | 5.400% | 11/29/43 | 3,500 | 3,887 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 3,200 | 3,196 |
Newell Rubbermaid Inc. | 2.875% | 12/1/19 | 1,500 | 1,500 |
Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 4,520 | 4,694 |
Newell Rubbermaid Inc. | 4.000% | 12/1/24 | 1,800 | 1,841 |
Novant Health Inc. | 5.850% | 11/1/19 | 2,125 | 2,455 |
Novant Health Inc. | 4.371% | 11/1/43 | 1,000 | 1,027 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 26,175 | 25,828 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 3,075 | 3,074 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 12,890 | 14,395 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 10,590 | 11,901 |
NYU Hospitals Center | 4.784% | 7/1/44 | 3,500 | 3,681 |
Owens & Minor Inc. | 4.375% | 12/15/24 | 2,750 | 2,854 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 1,700 | 1,793 |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 375 | 517 |
PepsiAmericas Inc. | 5.000% | 5/15/17 | 1,400 | 1,522 |
PepsiCo Inc. | 0.750% | 3/5/15 | 3,125 | 3,127 |
PepsiCo Inc. | 2.500% | 5/10/16 | 11,390 | 11,637 |
PepsiCo Inc. | 1.250% | 8/13/17 | 9,200 | 9,185 |
PepsiCo Inc. | 5.000% | 6/1/18 | 4,125 | 4,546 |
PepsiCo Inc. | 7.900% | 11/1/18 | 1,575 | 1,914 |
PepsiCo Inc. | 2.250% | 1/7/19 | 10,050 | 10,188 |
PepsiCo Inc. | 4.500% | 1/15/20 | 2,800 | 3,085 |
PepsiCo Inc. | 3.125% | 11/1/20 | 4,925 | 5,112 |
89
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
PepsiCo Inc. | 3.000% | 8/25/21 | 11,530 | 11,866 |
PepsiCo Inc. | 2.750% | 3/5/22 | 16,050 | 16,029 |
PepsiCo Inc. | 2.750% | 3/1/23 | 10,000 | 9,891 |
PepsiCo Inc. | 3.600% | 3/1/24 | 1,200 | 1,251 |
PepsiCo Inc. | 5.500% | 1/15/40 | 5,575 | 6,754 |
PepsiCo Inc. | 4.875% | 11/1/40 | 6,775 | 7,623 |
PepsiCo Inc. | 4.000% | 3/5/42 | 7,600 | 7,643 |
PepsiCo Inc. | 4.250% | 10/22/44 | 2,000 | 2,088 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 1,410 | 1,553 |
Perrigo Co. plc | 2.300% | 11/8/18 | 110 | 110 |
Perrigo Co. plc | 4.000% | 11/15/23 | 6,716 | 6,922 |
Perrigo Co. plc | 5.300% | 11/15/43 | 3,575 | 3,941 |
Perrigo Finance plc | 3.500% | 12/15/21 | 4,000 | 4,047 |
Perrigo Finance plc | 3.900% | 12/15/24 | 4,100 | 4,159 |
Perrigo Finance plc | 4.900% | 12/15/44 | 3,000 | 3,217 |
Pfizer Inc. | 1.100% | 5/15/17 | 5,500 | 5,499 |
Pfizer Inc. | 1.500% | 6/15/18 | 5,675 | 5,665 |
Pfizer Inc. | 6.200% | 3/15/19 | 24,670 | 28,717 |
Pfizer Inc. | 2.100% | 5/15/19 | 7,000 | 7,035 |
Pfizer Inc. | 3.400% | 5/15/24 | 6,000 | 6,254 |
Pfizer Inc. | 7.200% | 3/15/39 | 9,940 | 14,450 |
Pfizer Inc. | 4.300% | 6/15/43 | 7,300 | 7,818 |
Pfizer Inc. | 4.400% | 5/15/44 | 3,000 | 3,263 |
Pharmacia Corp. | 6.500% | 12/1/18 | 6,000 | 7,016 |
Pharmacia Corp. | 6.600% | 12/1/28 | 4,048 | 5,356 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 5,000 | 5,123 |
Philip Morris International Inc. | 1.625% | 3/20/17 | 3,250 | 3,285 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 5,575 | 5,553 |
Philip Morris International Inc. | 1.250% | 11/9/17 | 8,700 | 8,660 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 11,040 | 12,439 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 575 | 631 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 2,758 | 3,000 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 1,500 | 1,516 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 3,000 | 2,934 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 5,125 | 4,986 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 550 | 574 |
Philip Morris International Inc. | 3.250% | 11/10/24 | 5,000 | 5,012 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 5,600 | 7,179 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 3,155 | 3,266 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 10,620 | 11,212 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 5,125 | 4,865 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 2,850 | 2,803 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 6,725 | 7,449 |
4 Procter & Gamble - Esop | 9.360% | 1/1/21 | 2,202 | 2,746 |
Procter & Gamble Co. | 1.450% | 8/15/16 | 9,645 | 9,762 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 10,265 | 11,412 |
Procter & Gamble Co. | 1.900% | 11/1/19 | 1,200 | 1,202 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 5,164 | 5,127 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 12,750 | 16,629 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 5,000 | 6,443 |
Procter & Gamble Co. | 5.800% | 8/15/34 | 250 | 333 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 4,345 | 5,611 |
Quest Diagnostics Inc. | 5.450% | 11/1/15 | 4,000 | 4,142 |
Quest Diagnostics Inc. | 6.400% | 7/1/17 | 175 | 195 |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 7,475 | 7,537 |
90
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,500 | 2,698 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 1,335 | 1,452 |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 1,550 | 1,598 |
Quest Diagnostics Inc. | 6.950% | 7/1/37 | 1,460 | 1,868 |
Reynolds American Inc. | 1.050% | 10/30/15 | 2,125 | 2,127 |
Reynolds American Inc. | 6.750% | 6/15/17 | 2,725 | 3,036 |
Reynolds American Inc. | 7.750% | 6/1/18 | 1,000 | 1,167 |
Reynolds American Inc. | 3.250% | 11/1/22 | 5,850 | 5,700 |
Reynolds American Inc. | 4.850% | 9/15/23 | 900 | 970 |
Reynolds American Inc. | 7.250% | 6/15/37 | 675 | 867 |
Reynolds American Inc. | 4.750% | 11/1/42 | 6,650 | 6,425 |
Reynolds American Inc. | 6.150% | 9/15/43 | 725 | 842 |
Safeway Inc. | 5.000% | 8/15/19 | 1,520 | 1,555 |
Safeway Inc. | 4.750% | 12/1/21 | 575 | 581 |
Sanofi | 2.625% | 3/29/16 | 10,800 | 11,065 |
Sanofi | 1.250% | 4/10/18 | 5,000 | 4,948 |
Sanofi | 4.000% | 3/29/21 | 11,865 | 12,907 |
St. Jude Medical Inc. | 2.500% | 1/15/16 | 1,475 | 1,497 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 14,600 | 14,599 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 5,575 | 5,930 |
Stryker Corp. | 3.000% | 1/15/15 | 800 | 801 |
Stryker Corp. | 2.000% | 9/30/16 | 2,285 | 2,323 |
Stryker Corp. | 4.375% | 1/15/20 | 700 | 749 |
Stryker Corp. | 3.375% | 5/15/24 | 9,500 | 9,587 |
Stryker Corp. | 4.375% | 5/15/44 | 3,150 | 3,294 |
Sysco Corp. | 1.450% | 10/2/17 | 3,000 | 2,999 |
Sysco Corp. | 5.250% | 2/12/18 | 8,095 | 8,985 |
Sysco Corp. | 2.350% | 10/2/19 | 4,450 | 4,476 |
Sysco Corp. | 3.000% | 10/2/21 | 4,150 | 4,213 |
Sysco Corp. | 2.600% | 6/12/22 | 2,325 | 2,292 |
Sysco Corp. | 3.500% | 10/2/24 | 6,775 | 6,978 |
Sysco Corp. | 4.350% | 10/2/34 | 6,825 | 7,357 |
Sysco Corp. | 5.375% | 9/21/35 | 1,948 | 2,345 |
Sysco Corp. | 4.500% | 10/2/44 | 5,600 | 6,088 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 2,060 | 2,098 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 8,398 | 8,607 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 10,225 | 9,962 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 5,325 | 6,570 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 10,575 | 10,384 |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 1,845 | 1,874 |
Thermo Fisher Scientific Inc. | 1.300% | 2/1/17 | 825 | 820 |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 3,000 | 2,982 |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 245 | 245 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 525 | 573 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 8,450 | 9,152 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 5,000 | 5,157 |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 3,000 | 3,008 |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 450 | 443 |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 2,125 | 2,233 |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 8,100 | 9,280 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 2,000 | 2,143 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 5,625 | 5,666 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 5,350 | 5,785 |
Tyson Foods Inc. | 3.950% | 8/15/24 | 5,000 | 5,178 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 9,600 | 10,533 |
91
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Tyson Foods Inc. | 5.150% | 8/15/44 | 2,800 | 3,153 |
Unilever Capital Corp. | 0.850% | 8/2/17 | 9,885 | 9,782 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 200 | 222 |
Unilever Capital Corp. | 2.200% | 3/6/19 | 4,205 | 4,245 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 10,810 | 11,970 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 3,025 | 4,146 |
Whirlpool Corp. | 1.350% | 3/1/17 | 1,400 | 1,397 |
Whirlpool Corp. | 1.650% | 11/1/17 | 5,500 | 5,489 |
Whirlpool Corp. | 4.700% | 6/1/22 | 4,700 | 5,139 |
Whirlpool Corp. | 4.000% | 3/1/24 | 2,500 | 2,603 |
Whirlpool Corp. | 3.700% | 5/1/25 | 2,000 | 2,026 |
Whirlpool Corp. | 5.150% | 3/1/43 | 1,475 | 1,628 |
Wyeth LLC | 5.500% | 2/15/16 | 5,515 | 5,809 |
Wyeth LLC | 5.450% | 4/1/17 | 2,950 | 3,234 |
Wyeth LLC | 6.450% | 2/1/24 | 2,775 | 3,490 |
Wyeth LLC | 6.500% | 2/1/34 | 3,100 | 4,179 |
Wyeth LLC | 6.000% | 2/15/36 | 3,700 | 4,801 |
Wyeth LLC | 5.950% | 4/1/37 | 13,690 | 17,535 |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 2,000 | 2,596 |
Zimmer Holdings Inc. | 4.625% | 11/30/19 | 3,495 | 3,823 |
Zimmer Holdings Inc. | 3.375% | 11/30/21 | 1,550 | 1,574 |
Zimmer Holdings Inc. | 5.750% | 11/30/39 | 4,750 | 5,775 |
Zoetis Inc. | 1.150% | 2/1/16 | 975 | 974 |
Zoetis Inc. | 1.875% | 2/1/18 | 6,350 | 6,294 |
Zoetis Inc. | 3.250% | 2/1/23 | 11,110 | 10,977 |
Zoetis Inc. | 4.700% | 2/1/43 | 5,340 | 5,436 |
Energy (2.7%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 1,425 | 1,707 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 7,125 | 9,365 |
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 11,530 | 12,337 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 5,000 | 5,560 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 4,045 | 4,961 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 450 | 527 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 13,630 | 16,236 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 200 | 272 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 3,450 | 4,019 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 1,000 | 969 |
Apache Corp. | 5.625% | 1/15/17 | 250 | 270 |
Apache Corp. | 1.750% | 4/15/17 | 2,100 | 2,107 |
Apache Corp. | 6.900% | 9/15/18 | 9,745 | 11,288 |
Apache Corp. | 3.625% | 2/1/21 | 6,560 | 6,629 |
Apache Corp. | 3.250% | 4/15/22 | 2,751 | 2,705 |
Apache Corp. | 6.000% | 1/15/37 | 9,775 | 10,623 |
Apache Corp. | 5.100% | 9/1/40 | 8,325 | 8,154 |
Apache Corp. | 5.250% | 2/1/42 | 740 | 746 |
Apache Corp. | 4.750% | 4/15/43 | 7,099 | 6,632 |
Apache Corp. | 4.250% | 1/15/44 | 1,100 | 960 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 3,365 | 4,015 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 10,570 | 10,670 |
Baker Hughes Inc. | 6.875% | 1/15/29 | 300 | 391 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 8,640 | 9,393 |
BJ Services Co. | 6.000% | 6/1/18 | 150 | 169 |
Boardwalk Pipelines LP | 5.500% | 2/1/17 | 925 | 976 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 7,545 | 8,147 |
92
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 3,250 | 2,970 |
BP Capital Markets plc | 3.200% | 3/11/16 | 9,495 | 9,752 |
BP Capital Markets plc | 2.248% | 11/1/16 | 5,775 | 5,887 |
BP Capital Markets plc | 1.846% | 5/5/17 | 4,200 | 4,235 |
BP Capital Markets plc | 1.625% | 8/17/17 | 325 | 325 |
BP Capital Markets plc | 1.375% | 11/6/17 | 1,000 | 989 |
BP Capital Markets plc | 1.375% | 5/10/18 | 4,000 | 3,929 |
BP Capital Markets plc | 2.241% | 9/26/18 | 6,650 | 6,673 |
BP Capital Markets plc | 4.750% | 3/10/19 | 5,675 | 6,208 |
BP Capital Markets plc | 2.237% | 5/10/19 | 6,000 | 5,979 |
BP Capital Markets plc | 2.521% | 1/15/20 | 6,175 | 6,169 |
BP Capital Markets plc | 4.500% | 10/1/20 | 12,150 | 13,075 |
BP Capital Markets plc | 4.742% | 3/11/21 | 10,315 | 11,217 |
BP Capital Markets plc | 3.561% | 11/1/21 | 22,520 | 22,999 |
BP Capital Markets plc | 3.245% | 5/6/22 | 7,200 | 7,077 |
BP Capital Markets plc | 2.500% | 11/6/22 | 7,675 | 7,148 |
BP Capital Markets plc | 2.750% | 5/10/23 | 7,350 | 6,908 |
BP Capital Markets plc | 3.994% | 9/26/23 | 2,700 | 2,768 |
BP Capital Markets plc | 3.814% | 2/10/24 | 2,000 | 2,017 |
Buckeye Partners LP | 6.050% | 1/15/18 | 1,125 | 1,241 |
Buckeye Partners LP | 2.650% | 11/15/18 | 4,175 | 4,098 |
Buckeye Partners LP | 4.150% | 7/1/23 | 3,650 | 3,576 |
Buckeye Partners LP | 5.850% | 11/15/43 | 3,525 | 3,527 |
Buckeye Partners LP | 5.600% | 10/15/44 | 700 | 659 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 975 | 1,354 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 1,775 | 2,505 |
Cameron International Corp. | 6.375% | 7/15/18 | 7,875 | 8,861 |
Cameron International Corp. | 4.000% | 12/15/23 | 1,375 | 1,380 |
Cameron International Corp. | 3.700% | 6/15/24 | 7,500 | 7,267 |
Cameron International Corp. | 7.000% | 7/15/38 | 440 | 540 |
Cameron International Corp. | 5.950% | 6/1/41 | 850 | 955 |
Cameron International Corp. | 5.125% | 12/15/43 | 2,100 | 2,106 |
Canadian Natural Resources Ltd. | 6.000% | 8/15/16 | 1,150 | 1,245 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 1,935 | 2,101 |
Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 8,125 | 8,001 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 8,365 | 8,313 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 5,345 | 5,275 |
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 3,200 | 3,155 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 1,875 | 2,307 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 2,025 | 2,360 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 350 | 385 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 2,200 | 2,541 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,725 | 1,944 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 1,500 | 1,755 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 8,550 | 9,509 |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 3,300 | 3,097 |
Cenovus Energy Inc. | 3.800% | 9/15/23 | 5,000 | 4,905 |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 4,675 | 5,336 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 3,400 | 2,895 |
Cenovus Energy Inc. | 5.200% | 9/15/43 | 4,700 | 4,529 |
CenterPoint Energy Resources Corp. | 6.150% | 5/1/16 | 970 | 1,034 |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 2,636 | 2,975 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 7,501 | 8,229 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 2,300 | 3,090 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 625 | 784 |
93
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Chevron Corp. | 0.889% | 6/24/16 | 6,325 | 6,346 |
Chevron Corp. | 1.345% | 11/15/17 | 10,950 | 10,965 |
Chevron Corp. | 1.104% | 12/5/17 | 2,775 | 2,762 |
Chevron Corp. | 1.718% | 6/24/18 | 12,575 | 12,624 |
Chevron Corp. | 4.950% | 3/3/19 | 2,750 | 3,071 |
Chevron Corp. | 2.193% | 11/15/19 | 11,000 | 11,041 |
Chevron Corp. | 2.355% | 12/5/22 | 9,125 | 8,819 |
Chevron Corp. | 3.191% | 6/24/23 | 10,000 | 10,209 |
Conoco Funding Co. | 7.250% | 10/15/31 | 2,225 | 3,100 |
ConocoPhillips | 6.650% | 7/15/18 | 2,475 | 2,866 |
ConocoPhillips | 5.750% | 2/1/19 | 8,690 | 9,877 |
ConocoPhillips | 6.000% | 1/15/20 | 2,845 | 3,305 |
ConocoPhillips | 5.900% | 10/15/32 | 725 | 891 |
ConocoPhillips | 5.900% | 5/15/38 | 3,145 | 3,911 |
ConocoPhillips | 6.500% | 2/1/39 | 14,388 | 19,090 |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 4,525 | 4,888 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 5,471 | 6,800 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 4,000 | 3,950 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 6,000 | 6,053 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 5,100 | 5,151 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 5,150 | 5,286 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 6,575 | 6,910 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 2,850 | 3,798 |
Continental Resources Inc. | 5.000% | 9/15/22 | 14,975 | 14,488 |
Continental Resources Inc. | 4.500% | 4/15/23 | 8,200 | 7,780 |
Continental Resources Inc. | 3.800% | 6/1/24 | 12,040 | 10,658 |
Continental Resources Inc. | 4.900% | 6/1/44 | 7,750 | 6,564 |
DCP Midstream Operating LP | 2.500% | 12/1/17 | 14,450 | 14,440 |
DCP Midstream Operating LP | 2.700% | 4/1/19 | 2,300 | 2,249 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 1,000 | 1,045 |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 1,260 | 1,206 |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 3,175 | 3,246 |
Devon Energy Corp. | 6.300% | 1/15/19 | 3,275 | 3,734 |
Devon Energy Corp. | 4.000% | 7/15/21 | 2,000 | 2,072 |
Devon Energy Corp. | 3.250% | 5/15/22 | 16,325 | 16,020 |
Devon Energy Corp. | 7.950% | 4/15/32 | 1,350 | 1,866 |
Devon Energy Corp. | 5.600% | 7/15/41 | 3,645 | 4,053 |
Devon Energy Corp. | 4.750% | 5/15/42 | 6,650 | 6,684 |
Devon Financing Corp. LLC | 7.875% | 9/30/31 | 8,525 | 11,635 |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 2,733 | 2,977 |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 4,690 | 4,494 |
Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 5,000 | 4,278 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 10,179 | 10,372 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 1,700 | 1,730 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 5,650 | 6,107 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 2,500 | 2,631 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 1,340 | 1,448 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 9,961 | 11,196 |
El Paso Pipeline Partners Operating Co. LLC | 5.000% | 10/1/21 | 7,265 | 7,641 |
El Paso Pipeline Partners Operating Co. LLC | 4.300% | 5/1/24 | 4,400 | 4,373 |
El Paso Pipeline Partners Operating Co. LLC | 4.700% | 11/1/42 | 6,400 | 5,761 |
7 Enable Midstream Partners LP | 2.400% | 5/15/19 | 2,600 | 2,526 |
7 Enable Midstream Partners LP | 3.900% | 5/15/24 | 2,700 | 2,599 |
7 Enable Midstream Partners LP | 5.000% | 5/15/44 | 2,925 | 2,726 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 5,180 | 6,553 |
94
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 525 | 572 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 5,000 | 5,225 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 4,500 | 5,505 |
Enbridge Inc. | 4.900% | 3/1/15 | 800 | 805 |
Enbridge Inc. | 5.600% | 4/1/17 | 2,160 | 2,348 |
Enbridge Inc. | 3.500% | 6/10/24 | 1,000 | 941 |
Enbridge Inc. | 4.500% | 6/10/44 | 3,350 | 2,885 |
Encana Corp. | 5.900% | 12/1/17 | 2,275 | 2,486 |
Encana Corp. | 3.900% | 11/15/21 | 11,885 | 11,727 |
Encana Corp. | 7.200% | 11/1/31 | 1,800 | 2,122 |
Encana Corp. | 6.500% | 8/15/34 | 4,125 | 4,485 |
Encana Corp. | 6.625% | 8/15/37 | 5,350 | 5,760 |
Encana Corp. | 5.150% | 11/15/41 | 5,600 | 5,164 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 8,700 | 9,425 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 948 | 1,065 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 1,276 | 1,594 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 13,714 | 16,830 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 10,550 | 10,830 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 2,230 | 2,316 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 2,610 | 2,796 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 3,125 | 3,056 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 400 | 552 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 750 | 857 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 3,507 | 4,342 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 11,675 | 12,708 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 8,566 | 9,850 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 5,350 | 5,298 |
Eni USA Inc. | 7.300% | 11/15/27 | 175 | 230 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 2,450 | 2,412 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 1,900 | 1,923 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 1,450 | 1,515 |
Enlink Midstream Partners LP | 5.050% | 4/1/45 | 1,700 | 1,637 |
Ensco plc | 3.250% | 3/15/16 | 6,335 | 6,460 |
Ensco plc | 4.700% | 3/15/21 | 15,575 | 15,648 |
Ensco plc | 5.750% | 10/1/44 | 3,000 | 2,968 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 4,200 | 4,702 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 1,900 | 2,171 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 6,750 | 7,736 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 5,000 | 4,949 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 3,600 | 3,989 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 5,000 | 4,947 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 3,525 | 3,573 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 5,450 | 5,464 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 5,498 | 7,029 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 235 | 297 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 3,130 | 4,303 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 500 | 604 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 2,425 | 3,013 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 13,165 | 15,412 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 2,425 | 2,776 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 5,063 | 5,255 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 9,567 | 9,437 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 6,675 | 6,968 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 5,000 | 5,374 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,625 | 1,669 |
95
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 2,491 | 2,675 |
EOG Resources Inc. | 2.500% | 2/1/16 | 705 | 718 |
EOG Resources Inc. | 5.875% | 9/15/17 | 2,200 | 2,438 |
EOG Resources Inc. | 5.625% | 6/1/19 | 3,350 | 3,781 |
EOG Resources Inc. | 4.400% | 6/1/20 | 1,880 | 2,044 |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,450 | 10,098 |
EOG Resources Inc. | 2.625% | 3/15/23 | 6,750 | 6,486 |
EQT Corp. | 6.500% | 4/1/18 | 3,175 | 3,555 |
EQT Corp. | 8.125% | 6/1/19 | 5,975 | 7,198 |
EQT Corp. | 4.875% | 11/15/21 | 2,500 | 2,687 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 2,500 | 2,482 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 1,400 | 1,365 |
Global Marine Inc. | 7.000% | 6/1/28 | 5,850 | 5,280 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 1,725 | 1,701 |
Halliburton Co. | 1.000% | 8/1/16 | 4,625 | 4,624 |
Halliburton Co. | 2.000% | 8/1/18 | 4,625 | 4,604 |
Halliburton Co. | 5.900% | 9/15/18 | 1,005 | 1,135 |
Halliburton Co. | 6.150% | 9/15/19 | 800 | 927 |
Halliburton Co. | 3.250% | 11/15/21 | 4,235 | 4,313 |
Halliburton Co. | 3.500% | 8/1/23 | 7,650 | 7,809 |
Halliburton Co. | 6.700% | 9/15/38 | 5,720 | 7,397 |
Halliburton Co. | 7.450% | 9/15/39 | 1,859 | 2,603 |
Halliburton Co. | 4.500% | 11/15/41 | 2,607 | 2,641 |
Halliburton Co. | 4.750% | 8/1/43 | 4,200 | 4,405 |
Hess Corp. | 8.125% | 2/15/19 | 9,829 | 11,695 |
Hess Corp. | 3.500% | 7/15/24 | 1,600 | 1,530 |
Hess Corp. | 7.875% | 10/1/29 | 1,950 | 2,537 |
Hess Corp. | 7.300% | 8/15/31 | 950 | 1,180 |
Hess Corp. | 7.125% | 3/15/33 | 2,050 | 2,539 |
Hess Corp. | 6.000% | 1/15/40 | 7,650 | 8,472 |
Hess Corp. | 5.600% | 2/15/41 | 11,330 | 12,149 |
Husky Energy Inc. | 6.150% | 6/15/19 | 200 | 227 |
Husky Energy Inc. | 7.250% | 12/15/19 | 2,020 | 2,373 |
Husky Energy Inc. | 3.950% | 4/15/22 | 1,300 | 1,309 |
Husky Energy Inc. | 6.800% | 9/15/37 | 5,510 | 6,871 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 4,505 | 5,509 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 875 | 1,199 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 6,385 | 6,529 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 8,350 | 9,219 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 9,600 | 9,457 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,127 | 6,215 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 2,300 | 2,642 |
Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 5,000 | 5,382 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 2,825 | 2,847 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 12,725 | 12,625 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 10,425 | 9,982 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 6,500 | 6,181 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 980 | 1,172 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 1,700 | 2,043 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 6,150 | 6,916 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 5,665 | 6,569 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 6,925 | 7,705 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 5,000 | 5,682 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 3,600 | 4,009 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 4,600 | 4,694 |
96
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 2,775 | 2,637 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 3,000 | 2,849 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 1,000 | 1,016 |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 4,450 | 4,938 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 2,750 | 2,737 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 9,500 | 9,413 |
Kinder Morgan Inc. | 6.500% | 9/15/20 | 1,175 | 1,332 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 7,400 | 7,412 |
Kinder Morgan Inc. | 7.800% | 8/1/31 | 3,030 | 3,669 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 5,500 | 6,717 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 5,000 | 5,082 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 12,725 | 13,013 |
Magellan Midstream Partners LP | 5.650% | 10/15/16 | 3,910 | 4,206 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 6,750 | 7,853 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 3,950 | 4,261 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 1,000 | 1,218 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 525 | 481 |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 1,625 | 1,714 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 17,810 | 19,659 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 1,228 | 1,365 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 1,400 | 1,307 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 2,670 | 3,221 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 4,800 | 5,693 |
Marathon Petroleum Corp. | 3.500% | 3/1/16 | 1,000 | 1,025 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 400 | 441 |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 3,200 | 3,122 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 5,639 | 6,702 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 4,250 | 4,014 |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 2,050 | 1,918 |
Murphy Oil Corp. | 2.500% | 12/1/17 | 3,100 | 3,081 |
Murphy Oil Corp. | 3.700% | 12/1/22 | 1,400 | 1,251 |
Murphy Oil Corp. | 7.050% | 5/1/29 | 2,000 | 2,268 |
Murphy Oil Corp. | 5.125% | 12/1/42 | 1,875 | 1,588 |
Nabors Industries Inc. | 2.350% | 9/15/16 | 1,275 | 1,262 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 9,545 | 9,918 |
Nabors Industries Inc. | 9.250% | 1/15/19 | 875 | 1,017 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 5,985 | 5,871 |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 1,875 | 1,852 |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 15,465 | 14,572 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 9,400 | 8,519 |
Nisource Finance Corp. | 5.250% | 9/15/17 | 2,200 | 2,406 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 885 | 1,008 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 3,900 | 4,579 |
Nisource Finance Corp. | 5.450% | 9/15/20 | 1,400 | 1,588 |
Nisource Finance Corp. | 6.125% | 3/1/22 | 12,295 | 14,577 |
Nisource Finance Corp. | 6.250% | 12/15/40 | 2,350 | 3,028 |
Nisource Finance Corp. | 5.950% | 6/15/41 | 5,150 | 6,440 |
Nisource Finance Corp. | 5.800% | 2/1/42 | 3,075 | 3,743 |
Nisource Finance Corp. | 4.800% | 2/15/44 | 2,475 | 2,638 |
Noble Energy Inc. | 8.250% | 3/1/19 | 7,923 | 9,538 |
Noble Energy Inc. | 4.150% | 12/15/21 | 12,300 | 12,485 |
Noble Energy Inc. | 8.000% | 4/1/27 | 4,895 | 6,294 |
Noble Energy Inc. | 6.000% | 3/1/41 | 5,600 | 6,188 |
Noble Energy Inc. | 5.250% | 11/15/43 | 8,060 | 8,173 |
Noble Holding International Ltd. | 3.050% | 3/1/16 | 440 | 447 |
97
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Noble Holding International Ltd. | 2.500% | 3/15/17 | 2,400 | 2,282 |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 1,891 | 1,767 |
Noble Holding International Ltd. | 6.200% | 8/1/40 | 1,400 | 1,279 |
Noble Holding International Ltd. | 6.050% | 3/1/41 | 2,500 | 2,182 |
Noble Holding International Ltd. | 5.250% | 3/15/42 | 2,475 | 1,956 |
Occidental Petroleum Corp. | 2.500% | 2/1/16 | 3,355 | 3,411 |
Occidental Petroleum Corp. | 4.125% | 6/1/16 | 2,620 | 2,737 |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 15,100 | 15,189 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 4,650 | 4,602 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 11,060 | 11,718 |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 7,725 | 7,688 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 5,325 | 5,059 |
Oceaneering International Inc. | 4.650% | 11/15/24 | 2,800 | 2,746 |
ONEOK Partners LP | 3.250% | 2/1/16 | 4,000 | 4,081 |
ONEOK Partners LP | 3.200% | 9/15/18 | 4,400 | 4,465 |
ONEOK Partners LP | 8.625% | 3/1/19 | 2,500 | 3,021 |
ONEOK Partners LP | 3.375% | 10/1/22 | 15,675 | 14,571 |
ONEOK Partners LP | 6.650% | 10/1/36 | 8,728 | 10,043 |
ONEOK Partners LP | 6.850% | 10/15/37 | 2,575 | 3,024 |
ONEOK Partners LP | 6.200% | 9/15/43 | 3,500 | 3,837 |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 4,703 | 5,216 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 325 | 369 |
Petro-Canada | 6.050% | 5/15/18 | 7,250 | 8,173 |
Petro-Canada | 7.875% | 6/15/26 | 500 | 641 |
Petro-Canada | 7.000% | 11/15/28 | 475 | 621 |
Petro-Canada | 5.350% | 7/15/33 | 1,425 | 1,639 |
Petro-Canada | 5.950% | 5/15/35 | 8,455 | 9,816 |
Petro-Canada | 6.800% | 5/15/38 | 5,525 | 6,965 |
Phillips 66 | 2.950% | 5/1/17 | 7,425 | 7,663 |
Phillips 66 | 4.300% | 4/1/22 | 16,885 | 17,829 |
Phillips 66 | 4.650% | 11/15/34 | 5,700 | 5,845 |
Phillips 66 | 5.875% | 5/1/42 | 10,400 | 12,011 |
Phillips 66 | 4.875% | 11/15/44 | 1,000 | 1,022 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 3,230 | 3,640 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 3,810 | 3,771 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 4,378 | 5,329 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 6.125% | 1/15/17 | 2,000 | 2,181 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 8.750% | 5/1/19 | 1,825 | 2,272 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 5.750% | 1/15/20 | 10,200 | 11,529 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 5.000% | 2/1/21 | 3,460 | 3,807 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 3.650% | 6/1/22 | 1,500 | 1,509 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 2.850% | 1/31/23 | 2,200 | 2,081 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 3.850% | 10/15/23 | 1,675 | 1,699 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 3.600% | 11/1/24 | 7,100 | 6,984 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 6.700% | 5/15/36 | 1,320 | 1,623 |
98
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 5.150% | 6/1/42 | 1,825 | 1,914 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 4.300% | 1/31/43 | 6,475 | 6,125 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 4.700% | 6/15/44 | 4,400 | 4,368 |
Pride International Inc. | 6.875% | 8/15/20 | 6,000 | 6,733 |
Pride International Inc. | 7.875% | 8/15/40 | 3,000 | 3,642 |
Questar Corp. | 2.750% | 2/1/16 | 2,075 | 2,113 |
Rowan Cos. Inc. | 7.875% | 8/1/19 | 2,850 | 3,244 |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 6,250 | 6,063 |
Rowan Cos. Inc. | 4.750% | 1/15/24 | 1,150 | 1,087 |
Rowan Cos. Inc. | 5.850% | 1/15/44 | 1,850 | 1,662 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 17,788 | 18,459 |
Shell International Finance BV | 3.100% | 6/28/15 | 14,300 | 14,492 |
Shell International Finance BV | 5.200% | 3/22/17 | 4,150 | 4,504 |
Shell International Finance BV | 1.125% | 8/21/17 | 1,950 | 1,935 |
Shell International Finance BV | 1.900% | 8/10/18 | 6,175 | 6,190 |
Shell International Finance BV | 2.000% | 11/15/18 | 1,725 | 1,727 |
Shell International Finance BV | 4.300% | 9/22/19 | 8,300 | 9,100 |
Shell International Finance BV | 2.375% | 8/21/22 | 11,865 | 11,422 |
Shell International Finance BV | 2.250% | 1/6/23 | 3,250 | 3,105 |
Shell International Finance BV | 3.400% | 8/12/23 | 11,500 | 11,799 |
Shell International Finance BV | 6.375% | 12/15/38 | 12,942 | 17,365 |
Shell International Finance BV | 5.500% | 3/25/40 | 4,025 | 4,893 |
Shell International Finance BV | 3.625% | 8/21/42 | 4,200 | 3,933 |
Shell International Finance BV | 4.550% | 8/12/43 | 8,325 | 9,090 |
7 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 1,950 | 2,100 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 2,299 | 2,978 |
Southern Natural Gas Co. LLC / Southern | ||||
Natural Issuing Corp. | 4.400% | 6/15/21 | 7,315 | 7,610 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 4,125 | 4,630 |
Southwestern Energy Co. | 4.100% | 3/15/22 | 5,650 | 5,546 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 8,600 | 9,570 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 835 | 1,012 |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 725 | 847 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 575 | 585 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 2,240 | 2,605 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 4,475 | 5,016 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 3,625 | 4,812 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 175 | 203 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 15,820 | 19,449 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,455 | 3,058 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 1,600 | 1,535 |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 1,775 | 1,791 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 5,525 | 5,294 |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 4,000 | 4,032 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 7,525 | 7,643 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 11,475 | 13,220 |
Talisman Energy Inc. | 5.850% | 2/1/37 | 300 | 291 |
Talisman Energy Inc. | 6.250% | 2/1/38 | 3,675 | 3,742 |
Talisman Energy Inc. | 5.500% | 5/15/42 | 10,000 | 9,497 |
Tennessee Gas Pipeline Co. LLC | 7.500% | 4/1/17 | 720 | 805 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 725 | 866 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 2,905 | 3,899 |
99
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Tosco Corp. | 7.800% | 1/1/27 | 315 | 435 | |
Tosco Corp. | 8.125% | 2/15/30 | 4,950 | 7,180 | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 10,455 | 10,401 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 6,800 | 6,573 | |
Total Capital International SA | 0.750% | 1/25/16 | 3,400 | 3,396 | |
Total Capital International SA | 1.000% | 8/12/16 | 4,000 | 3,995 | |
Total Capital International SA | 1.500% | 2/17/17 | 1,075 | 1,079 | |
Total Capital International SA | 1.550% | 6/28/17 | 8,350 | 8,365 | |
Total Capital International SA | 2.125% | 1/10/19 | 8,000 | 8,019 | |
Total Capital International SA | 2.100% | 6/19/19 | 11,500 | 11,534 | |
Total Capital International SA | 2.750% | 6/19/21 | 12,625 | 12,629 | |
Total Capital International SA | 2.875% | 2/17/22 | 11,375 | 11,268 | |
Total Capital International SA | 2.700% | 1/25/23 | 7,550 | 7,271 | |
Total Capital International SA | 3.700% | 1/15/24 | 3,625 | 3,745 | |
Total Capital International SA | 3.750% | 4/10/24 | 6,075 | 6,319 | |
Total Capital SA | 2.300% | 3/15/16 | 7,265 | 7,396 | |
Total Capital SA | 2.125% | 8/10/18 | 3,500 | 3,525 | |
Total Capital SA | 4.450% | 6/24/20 | 5,075 | 5,562 | |
Total Capital SA | 4.125% | 1/28/21 | 2,805 | 3,007 | |
TransCanada PipeLines Ltd. | 0.750% | 1/15/16 | 3,025 | 3,018 | |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 12,040 | 13,776 | |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 9,990 | 10,269 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 6,075 | 5,723 | |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 4,775 | 4,785 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 6,150 | 6,223 | |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 1,400 | 1,579 | |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 3,225 | 3,695 | |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 6,975 | 8,209 | |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 2,600 | 3,453 | |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 5,440 | 7,471 | |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 4,000 | 4,654 | |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 6,000 | 6,330 | |
4 | TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 4,075 | 3,957 |
Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 1,545 | 1,732 | |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 3,723 | 3,483 | |
Transocean Inc. | 4.950% | 11/15/15 | 7,262 | 7,289 | |
Transocean Inc. | 5.050% | 12/15/16 | 5,000 | 5,000 | |
Transocean Inc. | 6.000% | 3/15/18 | 16,325 | 15,672 | |
Transocean Inc. | 6.500% | 11/15/20 | 5,015 | 4,727 | |
Transocean Inc. | 6.375% | 12/15/21 | 7,188 | 6,631 | |
Transocean Inc. | 3.800% | 10/15/22 | 9,051 | 7,331 | |
Transocean Inc. | 7.500% | 4/15/31 | 3,075 | 2,829 | |
Transocean Inc. | 6.800% | 3/15/38 | 2,925 | 2,464 | |
Transocean Inc. | 7.350% | 12/15/41 | 575 | 512 | |
Valero Energy Corp. | 6.125% | 6/15/17 | 7,655 | 8,403 | |
Valero Energy Corp. | 9.375% | 3/15/19 | 2,650 | 3,302 | |
Valero Energy Corp. | 6.125% | 2/1/20 | 3,950 | 4,478 | |
Valero Energy Corp. | 7.500% | 4/15/32 | 3,775 | 4,743 | |
Valero Energy Corp. | 6.625% | 6/15/37 | 9,956 | 11,754 | |
Weatherford International LLC | 6.350% | 6/15/17 | 7,593 | 8,127 | |
Weatherford International LLC | 6.800% | 6/15/37 | 250 | 238 | |
Weatherford International Ltd. | 5.500% | 2/15/16 | 2,000 | 2,059 | |
Weatherford International Ltd. | 6.000% | 3/15/18 | 1,890 | 2,000 | |
Weatherford International Ltd. | 9.625% | 3/1/19 | 5,200 | 6,163 | |
Weatherford International Ltd. | 4.500% | 4/15/22 | 7,650 | 6,814 | |
100 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Weatherford International Ltd. | 6.500% | 8/1/36 | 3,200 | 2,935 |
Weatherford International Ltd. | 7.000% | 3/15/38 | 2,480 | 2,385 |
Weatherford International Ltd. | 6.750% | 9/15/40 | 2,595 | 2,431 |
Weatherford International Ltd. | 5.950% | 4/15/42 | 4,450 | 3,768 |
Western Gas Partners LP | 2.600% | 8/15/18 | 1,000 | 1,004 |
Western Gas Partners LP | 5.375% | 6/1/21 | 2,950 | 3,231 |
Western Gas Partners LP | 5.450% | 4/1/44 | 5,025 | 5,301 |
Williams Cos. Inc. | 4.550% | 6/24/24 | 3,800 | 3,536 |
Williams Cos. Inc. | 7.500% | 1/15/31 | 2,304 | 2,444 |
Williams Cos. Inc. | 7.750% | 6/15/31 | 1,967 | 2,106 |
Williams Cos. Inc. | 8.750% | 3/15/32 | 3,560 | 4,154 |
Williams Cos. Inc. | 5.750% | 6/24/44 | 2,300 | 2,000 |
Williams Partners LP | 5.250% | 3/15/20 | 11,901 | 12,921 |
Williams Partners LP | 4.000% | 11/15/21 | 3,000 | 3,007 |
Williams Partners LP | 3.350% | 8/15/22 | 850 | 812 |
Williams Partners LP | 4.500% | 11/15/23 | 1,300 | 1,318 |
Williams Partners LP | 4.300% | 3/4/24 | 1,000 | 992 |
Williams Partners LP | 6.300% | 4/15/40 | 4,495 | 5,024 |
Williams Partners LP | 5.800% | 11/15/43 | 9,125 | 9,481 |
Williams Partners LP | 5.400% | 3/4/44 | 1,450 | 1,430 |
Williams Partners LP/Williams Partners | ||||
Finance Corp. | 7.250% | 2/1/17 | 2,250 | 2,481 |
XTO Energy Inc. | 6.250% | 8/1/17 | 6,250 | 7,030 |
XTO Energy Inc. | 5.500% | 6/15/18 | 100 | 112 |
Other Industrial (0.1%) | ||||
California Institute of Technology GO | 4.700% | 11/1/11 | 5,700 | 6,129 |
Cintas Corp. No 2 | 6.125% | 12/1/17 | 1,825 | 2,045 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,725 | 1,758 |
Fluor Corp. | 3.375% | 9/15/21 | 1,500 | 1,564 |
Fluor Corp. | 3.500% | 12/15/24 | 5,550 | 5,522 |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 3,975 | 4,166 |
4 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 3,600 | 3,759 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 4,250 | 5,821 |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 13,750 | 15,897 |
4 Northwestern University Illinois GO | 4.643% | 12/1/44 | 3,675 | 4,270 |
President & Fellows of Harvard College | ||||
Massachusetts GO | 3.619% | 10/1/37 | 2,400 | 2,412 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 5,500 | 5,843 |
Yale University Connecticut GO | 2.086% | 4/15/19 | 2,000 | 2,009 |
Technology (1.3%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 4,275 | 4,692 |
Altera Corp. | 1.750% | 5/15/17 | 1,250 | 1,252 |
Altera Corp. | 2.500% | 11/15/18 | 12,675 | 12,781 |
Altera Corp. | 4.100% | 11/15/23 | 6,000 | 6,226 |
Amphenol Corp. | 1.550% | 9/15/17 | 1,500 | 1,495 |
Amphenol Corp. | 2.550% | 1/30/19 | 9,225 | 9,285 |
Amphenol Corp. | 3.125% | 9/15/21 | 1,105 | 1,110 |
Analog Devices Inc. | 3.000% | 4/15/16 | 875 | 895 |
Analog Devices Inc. | 2.875% | 6/1/23 | 2,600 | 2,508 |
Apple Inc. | 0.450% | 5/3/16 | 7,200 | 7,194 |
Apple Inc. | 1.050% | 5/5/17 | 14,400 | 14,425 |
Apple Inc. | 1.000% | 5/3/18 | 11,750 | 11,560 |
Apple Inc. | 2.100% | 5/6/19 | 11,350 | 11,443 |
101
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Apple Inc. | 2.850% | 5/6/21 | 31,410 | 32,086 |
Apple Inc. | 2.400% | 5/3/23 | 31,575 | 30,619 |
Apple Inc. | 3.450% | 5/6/24 | 16,900 | 17,711 |
Apple Inc. | 3.850% | 5/4/43 | 17,650 | 17,662 |
Apple Inc. | 4.450% | 5/6/44 | 4,300 | 4,746 |
Applied Materials Inc. | 2.650% | 6/15/16 | 525 | 536 |
Applied Materials Inc. | 4.300% | 6/15/21 | 4,840 | 5,259 |
Applied Materials Inc. | 5.850% | 6/15/41 | 5,885 | 7,162 |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,650 | 2,717 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 515 | 557 |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 3,450 | 3,564 |
Autodesk Inc. | 1.950% | 12/15/17 | 5,300 | 5,317 |
Autodesk Inc. | 3.600% | 12/15/22 | 825 | 816 |
Avnet Inc. | 6.625% | 9/15/16 | 225 | 243 |
Avnet Inc. | 5.875% | 6/15/20 | 4,300 | 4,811 |
Avnet Inc. | 4.875% | 12/1/22 | 1,450 | 1,541 |
Baidu Inc. | 2.250% | 11/28/17 | 7,700 | 7,710 |
Baidu Inc. | 2.750% | 6/9/19 | 2,500 | 2,485 |
Baidu Inc. | 3.500% | 11/28/22 | 7,200 | 7,129 |
Broadcom Corp. | 2.700% | 11/1/18 | 5,385 | 5,537 |
Broadcom Corp. | 2.500% | 8/15/22 | 10,953 | 10,525 |
Broadcom Corp. | 3.500% | 8/1/24 | 2,000 | 2,013 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 650 | 679 |
CA Inc. | 5.375% | 12/1/19 | 3,545 | 3,928 |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 725 | 737 |
Cisco Systems Inc. | 5.500% | 2/22/16 | 11,783 | 12,428 |
Cisco Systems Inc. | 1.100% | 3/3/17 | 4,850 | 4,860 |
Cisco Systems Inc. | 3.150% | 3/14/17 | 11,975 | 12,519 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 5,975 | 6,679 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 12,875 | 12,928 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 8,300 | 9,129 |
Cisco Systems Inc. | 2.900% | 3/4/21 | 1,300 | 1,330 |
Cisco Systems Inc. | 3.625% | 3/4/24 | 4,000 | 4,186 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 1,600 | 2,017 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 21,870 | 26,571 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 100 | 101 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 400 | 447 |
Corning Inc. | 6.625% | 5/15/19 | 275 | 323 |
Corning Inc. | 3.700% | 11/15/23 | 8,650 | 8,934 |
Corning Inc. | 7.250% | 8/15/36 | 100 | 130 |
Corning Inc. | 4.700% | 3/15/37 | 4,000 | 4,289 |
Corning Inc. | 5.750% | 8/15/40 | 7,460 | 8,938 |
Dun & Bradstreet Corp. | 2.875% | 11/15/15 | 350 | 355 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 950 | 975 |
EMC Corp. | 1.875% | 6/1/18 | 12,185 | 12,171 |
EMC Corp. | 2.650% | 6/1/20 | 10,620 | 10,667 |
EMC Corp. | 3.375% | 6/1/23 | 8,825 | 8,802 |
Equifax Inc. | 6.300% | 7/1/17 | 425 | 474 |
Equifax Inc. | 7.000% | 7/1/37 | 1,250 | 1,631 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 925 | 920 |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 7,850 | 8,331 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 11,429 | 11,339 |
Fiserv Inc. | 3.125% | 10/1/15 | 1,000 | 1,018 |
Fiserv Inc. | 3.125% | 6/15/16 | 3,415 | 3,507 |
Fiserv Inc. | 6.800% | 11/20/17 | 2,525 | 2,860 |
102
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Fiserv Inc. | 3.500% | 10/1/22 | 2,425 | 2,448 |
Google Inc. | 2.125% | 5/19/16 | 375 | 383 |
Google Inc. | 3.625% | 5/19/21 | 3,325 | 3,560 |
Harris Corp. | 5.950% | 12/1/17 | 1,300 | 1,451 |
Harris Corp. | 6.375% | 6/15/19 | 250 | 285 |
Harris Corp. | 4.400% | 12/15/20 | 2,675 | 2,864 |
Harris Corp. | 6.150% | 12/15/40 | 750 | 906 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 1,050 | 1,069 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 1,850 | 1,900 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 1,425 | 1,471 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 2,100 | 2,267 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 9,210 | 9,387 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 4,200 | 4,632 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 2,750 | 2,790 |
Hewlett-Packard Co. | 3.750% | 12/1/20 | 12,550 | 12,979 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 3,680 | 3,878 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 16,375 | 17,162 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 16,965 | 18,209 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 7,895 | 8,892 |
Ingram Micro Inc. | 4.950% | 12/15/24 | 8,475 | 8,475 |
Intel Corp. | 1.950% | 10/1/16 | 5,200 | 5,302 |
Intel Corp. | 1.350% | 12/15/17 | 28,105 | 28,060 |
Intel Corp. | 3.300% | 10/1/21 | 2,000 | 2,096 |
Intel Corp. | 2.700% | 12/15/22 | 10,000 | 9,943 |
Intel Corp. | 4.000% | 12/15/32 | 3,300 | 3,387 |
Intel Corp. | 4.800% | 10/1/41 | 9,870 | 10,839 |
Intel Corp. | 4.250% | 12/15/42 | 7,325 | 7,549 |
International Business Machines Corp. | 2.000% | 1/5/16 | 5,925 | 6,013 |
International Business Machines Corp. | 1.950% | 7/22/16 | 12,958 | 13,206 |
International Business Machines Corp. | 1.250% | 2/6/17 | 15,425 | 15,480 |
International Business Machines Corp. | 5.700% | 9/14/17 | 25,325 | 28,234 |
International Business Machines Corp. | 7.625% | 10/15/18 | 10,000 | 12,071 |
International Business Machines Corp. | 1.950% | 2/12/19 | 2,200 | 2,197 |
International Business Machines Corp. | 1.625% | 5/15/20 | 4,475 | 4,312 |
International Business Machines Corp. | 2.900% | 11/1/21 | 7,325 | 7,521 |
International Business Machines Corp. | 3.375% | 8/1/23 | 15,325 | 15,674 |
International Business Machines Corp. | 3.625% | 2/12/24 | 2,000 | 2,084 |
International Business Machines Corp. | 7.000% | 10/30/25 | 4,850 | 6,403 |
International Business Machines Corp. | 6.220% | 8/1/27 | 1,975 | 2,508 |
International Business Machines Corp. | 6.500% | 1/15/28 | 100 | 130 |
International Business Machines Corp. | 5.875% | 11/29/32 | 225 | 287 |
International Business Machines Corp. | 5.600% | 11/30/39 | 1,098 | 1,323 |
International Business Machines Corp. | 4.000% | 6/20/42 | 9,197 | 9,158 |
Intuit Inc. | 5.750% | 3/15/17 | 575 | 628 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 1,375 | 1,464 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 3,000 | 2,978 |
Juniper Networks Inc. | 3.100% | 3/15/16 | 1,000 | 1,020 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 900 | 940 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 5,500 | 5,524 |
7 Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,050 | 3,032 |
7 Keysight Technologies Inc. | 4.550% | 10/30/24 | 3,050 | 3,045 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 9,700 | 9,938 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 3,250 | 3,361 |
Lexmark International Inc. | 6.650% | 6/1/18 | 1,850 | 2,058 |
Lexmark International Inc. | 5.125% | 3/15/20 | 2,450 | 2,615 |
103
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,365 | 3,361 | |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 3,875 | 3,835 | |
Microsoft Corp. | 1.625% | 9/25/15 | 5,405 | 5,457 | |
Microsoft Corp. | 2.500% | 2/8/16 | 425 | 435 | |
Microsoft Corp. | 0.875% | 11/15/17 | 2,550 | 2,526 | |
Microsoft Corp. | 1.000% | 5/1/18 | 4,050 | 3,992 | |
Microsoft Corp. | 1.625% | 12/6/18 | 3,625 | 3,623 | |
Microsoft Corp. | 4.200% | 6/1/19 | 1,465 | 1,611 | |
Microsoft Corp. | 3.000% | 10/1/20 | 4,750 | 4,990 | |
Microsoft Corp. | 4.000% | 2/8/21 | 3,950 | 4,327 | |
Microsoft Corp. | 2.125% | 11/15/22 | 4,350 | 4,228 | |
Microsoft Corp. | 2.375% | 5/1/23 | 3,950 | 3,875 | |
Microsoft Corp. | 3.625% | 12/15/23 | 2,000 | 2,136 | |
Microsoft Corp. | 5.200% | 6/1/39 | 4,375 | 5,237 | |
Microsoft Corp. | 4.500% | 10/1/40 | 2,685 | 2,961 | |
Microsoft Corp. | 5.300% | 2/8/41 | 2,500 | 3,062 | |
Microsoft Corp. | 3.500% | 11/15/42 | 7,830 | 7,434 | |
Microsoft Corp. | 3.750% | 5/1/43 | 1,865 | 1,850 | |
Microsoft Corp. | 4.875% | 12/15/43 | 5,075 | 5,972 | |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 3,000 | 3,006 | |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 4,000 | 4,019 | |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 3,750 | 3,968 | |
NetApp Inc. | 2.000% | 12/15/17 | 4,175 | 4,199 | |
Oracle Corp. | 5.250% | 1/15/16 | 13,250 | 13,883 | |
Oracle Corp. | 1.200% | 10/15/17 | 21,300 | 21,233 | |
Oracle Corp. | 5.750% | 4/15/18 | 8,610 | 9,725 | |
Oracle Corp. | 2.375% | 1/15/19 | 3,825 | 3,890 | |
Oracle Corp. | 5.000% | 7/8/19 | 5,500 | 6,159 | |
Oracle Corp. | 2.250% | 10/8/19 | 10,900 | 10,958 | |
Oracle Corp. | 3.875% | 7/15/20 | 5,668 | 6,110 | |
Oracle Corp. | 2.800% | 7/8/21 | 7,050 | 7,134 | |
Oracle Corp. | 2.500% | 10/15/22 | 14,360 | 13,933 | |
Oracle Corp. | 3.400% | 7/8/24 | 22,650 | 23,186 | |
Oracle Corp. | 4.300% | 7/8/34 | 12,400 | 13,292 | |
Oracle Corp. | 6.500% | 4/15/38 | 2,900 | 3,886 | |
Oracle Corp. | 6.125% | 7/8/39 | 5,355 | 6,937 | |
Oracle Corp. | 5.375% | 7/15/40 | 14,847 | 17,783 | |
Oracle Corp. | 4.500% | 7/8/44 | 7,300 | 7,908 | |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 950 | 1,038 | |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 375 | 423 | |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 7,275 | 7,519 | |
7 | Seagate HDD Cayman | 3.750% | 11/15/18 | 4,625 | 4,752 |
Seagate HDD Cayman | 6.875% | 5/1/20 | 5,000 | 5,250 | |
Seagate HDD Cayman | 4.750% | 6/1/23 | 14,750 | 15,340 | |
7 | Seagate HDD Cayman | 4.750% | 1/1/25 | 10,000 | 10,300 |
7 | Seagate HDD Cayman | 5.750% | 12/1/34 | 2,150 | 2,266 |
Symantec Corp. | 2.750% | 9/15/15 | 2,300 | 2,328 | |
Symantec Corp. | 2.750% | 6/15/17 | 3,275 | 3,319 | |
Symantec Corp. | 3.950% | 6/15/22 | 3,150 | 3,178 | |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 1,250 | 1,314 | |
Texas Instruments Inc. | 0.450% | 8/3/15 | 1,625 | 1,626 | |
Texas Instruments Inc. | 2.375% | 5/16/16 | 4,675 | 4,785 | |
Texas Instruments Inc. | 1.650% | 8/3/19 | 5,300 | 5,203 | |
Texas Instruments Inc. | 2.250% | 5/1/23 | 4,000 | 3,803 | |
Total System Services Inc. | 2.375% | 6/1/18 | 2,100 | 2,082 | |
104 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Total System Services Inc. | 3.750% | 6/1/23 | 100 | 98 |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 2,500 | 2,569 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 6,866 | 7,734 |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 3,750 | 4,117 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 750 | 775 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 4,575 | 6,293 |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 2,300 | 2,595 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 8,700 | 9,069 |
Xerox Corp. | 6.400% | 3/15/16 | 1,525 | 1,618 |
Xerox Corp. | 6.750% | 2/1/17 | 2,750 | 3,032 |
Xerox Corp. | 2.950% | 3/15/17 | 3,425 | 3,522 |
Xerox Corp. | 6.350% | 5/15/18 | 11,270 | 12,740 |
Xerox Corp. | 5.625% | 12/15/19 | 1,165 | 1,310 |
Xerox Corp. | 2.800% | 5/15/20 | 2,500 | 2,457 |
Xerox Corp. | 4.500% | 5/15/21 | 12,765 | 13,644 |
Xerox Corp. | 3.800% | 5/15/24 | 1,300 | 1,272 |
Xilinx Inc. | 2.125% | 3/15/19 | 500 | 497 |
Xilinx Inc. | 3.000% | 3/15/21 | 11,375 | 11,355 |
Transportation (0.5%) | ||||
4 American Airlines 2013-1 Class A Pass | ||||
Through Trust | 4.000% | 1/15/27 | 2,049 | 2,088 |
4 American Airlines 2013-2 Class A Pass | ||||
Through Trust | 4.950% | 1/15/23 | 6,537 | 7,003 |
American Airlines 2014-1 Class A Pass | ||||
Through Trust | 3.700% | 10/1/26 | 4,000 | 4,030 |
Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 525 | 576 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 6,350 | 7,116 |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 3,950 | 4,143 |
Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 590 | 639 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 2,590 | 2,700 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 375 | 375 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 600 | 603 |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 2,900 | 2,891 |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 250 | 263 |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 4,350 | 4,533 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 4,100 | 4,178 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 1,700 | 2,221 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 225 | 292 |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 4,150 | 5,425 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 11,600 | 14,290 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 1,800 | 2,030 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 1,030 | 1,145 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 4,529 | 4,715 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 3,675 | 3,800 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 4,325 | 4,528 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 6,125 | 6,892 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 4,400 | 4,709 |
Canadian National Railway Co. | 5.800% | 6/1/16 | 200 | 214 |
Canadian National Railway Co. | 1.450% | 12/15/16 | 2,870 | 2,890 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 350 | 392 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 5,385 | 6,104 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 11,235 | 11,475 |
Canadian National Railway Co. | 6.900% | 7/15/28 | 100 | 135 |
Canadian National Railway Co. | 6.250% | 8/1/34 | 325 | 429 |
105
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Canadian National Railway Co. | 6.200% | 6/1/36 | 5,850 | 7,789 | |
Canadian National Railway Co. | 6.375% | 11/15/37 | 450 | 616 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 2,945 | 3,518 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 3,830 | 4,204 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,956 | 2,700 | |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 20,110 | 25,865 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 8,375 | 9,264 | |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 1,460 | 1,865 | |
Con-way Inc. | 7.250% | 1/15/18 | 2,825 | 3,213 | |
Con-way Inc. | 6.700% | 5/1/34 | 3,910 | 4,342 | |
4 | Continental Airlines 2007-1 Class A Pass | ||||
Through Trust | 5.983% | 10/19/23 | 268 | 293 | |
4 | Continental Airlines 2009-2 Class A Pass | ||||
Through Trust | 7.250% | 5/10/21 | 930 | 1,071 | |
4 | Continental Airlines 2010-1 Class A Pass | ||||
Through Trust | 4.750% | 7/12/22 | 5,808 | 6,193 | |
4 | Continental Airlines 2012-1 Class A Pass | ||||
Through Trust | 4.150% | 10/11/25 | 6,010 | 6,175 | |
4 | Continental Airlines 2012-2 Class A Pass | ||||
Through Trust | 4.000% | 4/29/26 | 734 | 748 | |
CSX Corp. | 7.900% | 5/1/17 | 9,386 | 10,735 | |
CSX Corp. | 6.250% | 3/15/18 | 3,875 | 4,400 | |
CSX Corp. | 7.375% | 2/1/19 | 5,950 | 7,129 | |
CSX Corp. | 4.250% | 6/1/21 | 590 | 640 | |
CSX Corp. | 3.700% | 11/1/23 | 700 | 731 | |
CSX Corp. | 6.000% | 10/1/36 | 475 | 599 | |
CSX Corp. | 6.150% | 5/1/37 | 900 | 1,161 | |
CSX Corp. | 6.220% | 4/30/40 | 7,164 | 9,331 | |
CSX Corp. | 5.500% | 4/15/41 | 4,800 | 5,773 | |
CSX Corp. | 4.750% | 5/30/42 | 9,840 | 10,757 | |
CSX Corp. | 4.100% | 3/15/44 | 5,225 | 5,184 | |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 1,826 | 2,118 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 3,864 | 4,463 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 1,528 | 1,685 |
4 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,221 | 1,306 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,665 | 1,777 |
FedEx Corp. | 8.000% | 1/15/19 | 4,075 | 4,961 | |
FedEx Corp. | 2.625% | 8/1/22 | 975 | 955 | |
FedEx Corp. | 4.000% | 1/15/24 | 950 | 1,008 | |
FedEx Corp. | 4.900% | 1/15/34 | 1,400 | 1,556 | |
FedEx Corp. | 3.875% | 8/1/42 | 1,000 | 964 | |
FedEx Corp. | 4.100% | 4/15/43 | 2,700 | 2,675 | |
FedEx Corp. | 5.100% | 1/15/44 | 4,050 | 4,669 | |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 13,350 | 13,133 | |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 1,350 | 1,351 | |
JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 2,000 | 2,096 | |
Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 1,375 | 1,318 | |
Kansas City Southern de Mexico SA de CV | 3.000% | 5/15/23 | 7,525 | 7,311 | |
Kansas City Southern Railway Co. | 4.300% | 5/15/43 | 2,925 | 2,979 | |
Norfolk Southern Corp. | 5.750% | 1/15/16 | 2,825 | 2,963 | |
Norfolk Southern Corp. | 7.700% | 5/15/17 | 3,525 | 4,031 | |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 875 | 982 | |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 3,390 | 3,890 | |
106 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 900 | 905 |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 6,053 | 5,985 |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,000 | 2,100 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 133 | 157 |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 675 | 938 |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 811 | 1,122 |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 12,898 | 14,374 |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 2,125 | 2,091 |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 3,000 | 3,893 |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 8,185 | 10,564 |
Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 775 | 1,033 |
4 Northwest Airlines 2007-1 Class A Pass | ||||
Through Trust | 7.027% | 11/1/19 | 406 | 459 |
Ryder System Inc. | 3.600% | 3/1/16 | 2,060 | 2,121 |
Ryder System Inc. | 5.850% | 11/1/16 | 1,125 | 1,216 |
Ryder System Inc. | 3.500% | 6/1/17 | 3,000 | 3,123 |
Ryder System Inc. | 2.500% | 3/1/18 | 4,943 | 5,039 |
Ryder System Inc. | 2.450% | 11/15/18 | 5,400 | 5,400 |
Ryder System Inc. | 2.350% | 2/26/19 | 4,480 | 4,452 |
Ryder System Inc. | 2.550% | 6/1/19 | 11,050 | 11,045 |
Ryder System Inc. | 2.450% | 9/3/19 | 1,050 | 1,041 |
Southwest Airlines Co. | 2.750% | 11/6/19 | 4,000 | 4,020 |
4 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 910 | 1,045 |
Trinity Industries Inc. | 4.550% | 10/1/24 | 2,250 | 2,186 |
4 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 2,331 | 2,567 |
Union Pacific Corp. | 5.700% | 8/15/18 | 850 | 968 |
Union Pacific Corp. | 4.000% | 2/1/21 | 4,325 | 4,721 |
Union Pacific Corp. | 4.163% | 7/15/22 | 4,740 | 5,206 |
Union Pacific Corp. | 2.750% | 4/15/23 | 4,500 | 4,467 |
Union Pacific Corp. | 3.646% | 2/15/24 | 1,698 | 1,797 |
Union Pacific Corp. | 3.250% | 1/15/25 | 2,600 | 2,674 |
Union Pacific Corp. | 6.625% | 2/1/29 | 820 | 1,101 |
Union Pacific Corp. | 4.750% | 9/15/41 | 3,825 | 4,296 |
Union Pacific Corp. | 4.750% | 12/15/43 | 2,725 | 3,076 |
Union Pacific Corp. | 4.821% | 2/1/44 | 7,780 | 8,863 |
Union Pacific Corp. | 4.850% | 6/15/44 | 1,600 | 1,829 |
Union Pacific Corp. | 4.150% | 1/15/45 | 3,625 | 3,781 |
4 Union Pacific Railroad Co. 2007-3 Pass | ||||
Through Trust | 6.176% | 1/2/31 | 376 | 451 |
4 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 9/3/26 | 2,850 | 2,878 |
4 United Airlines Pass Through Trust Series 2013-1 | 4.300% | 2/15/27 | 4,200 | 4,342 |
4 United Airlines Pass Through Trust Series 2014-1 | 4.000% | 10/11/27 | 5,825 | 5,971 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 875 | 871 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 6,505 | 7,273 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 4,875 | 5,480 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 8,300 | 8,697 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 7,925 | 7,814 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 12,160 | 16,148 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 2,000 | 1,958 |
4 US Airways Inc. 2012-2 Class A Pass | ||||
Through Trust | 4.625% | 12/3/26 | 725 | 761 |
13,463,653 |
107
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Utilities (2.0%) | ||||
Electric (1.8%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 2,952 | 3,891 |
Alabama Power Co. | 3.550% | 12/1/23 | 8,800 | 9,281 |
Alabama Power Co. | 5.650% | 3/15/35 | 1,000 | 1,009 |
Alabama Power Co. | 6.125% | 5/15/38 | 1,000 | 1,356 |
Alabama Power Co. | 6.000% | 3/1/39 | 1,750 | 2,306 |
Alabama Power Co. | 5.200% | 6/1/41 | 5,575 | 6,840 |
Alabama Power Co. | 4.100% | 1/15/42 | 1,475 | 1,530 |
Alabama Power Co. | 3.850% | 12/1/42 | 1,850 | 1,876 |
Alabama Power Co. | 4.150% | 8/15/44 | 2,600 | 2,748 |
Ameren Illinois Co. | 2.700% | 9/1/22 | 2,245 | 2,231 |
Ameren Illinois Co. | 3.250% | 3/1/25 | 1,890 | 1,916 |
Ameren Illinois Co. | 4.800% | 12/15/43 | 1,575 | 1,823 |
Ameren Illinois Co. | 4.300% | 7/1/44 | 325 | 344 |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 75 | 75 |
Appalachian Power Co. | 4.600% | 3/30/21 | 16,350 | 18,140 |
Appalachian Power Co. | 5.800% | 10/1/35 | 1,900 | 2,349 |
Appalachian Power Co. | 6.375% | 4/1/36 | 750 | 975 |
Appalachian Power Co. | 6.700% | 8/15/37 | 3,750 | 5,049 |
Appalachian Power Co. | 7.000% | 4/1/38 | 1,665 | 2,324 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 1,298 | 1,633 |
Arizona Public Service Co. | 3.350% | 6/15/24 | 1,975 | 2,040 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 2,100 | 2,626 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 4,525 | 4,838 |
Arizona Public Service Co. | 4.700% | 1/15/44 | 3,250 | 3,701 |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 2,700 | 3,245 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 275 | 298 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 4,825 | 5,065 |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 3,000 | 2,992 |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 3,225 | 3,306 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 250 | 341 |
Berkshire Hathaway Energy Co. | 1.100% | 5/15/17 | 5,000 | 4,954 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 5,961 | 6,683 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 1,000 | 998 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 5,925 | 6,188 |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 100 | 149 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 9,725 | 12,247 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 5,017 | 6,259 |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 8,580 | 11,257 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 5,650 | 6,428 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 1,700 | 1,629 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 100 | 141 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 5,450 | 5,248 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 5,650 | 6,434 |
Cleco Power LLC | 6.000% | 12/1/40 | 1,600 | 1,916 |
Cleveland Electric Illuminating Co. | 5.700% | 4/1/17 | 1,695 | 1,826 |
Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 600 | 697 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 1,800 | 2,132 |
CMS Energy Corp. | 8.750% | 6/15/19 | 7,920 | 9,909 |
CMS Energy Corp. | 3.875% | 3/1/24 | 1,600 | 1,650 |
CMS Energy Corp. | 4.875% | 3/1/44 | 4,400 | 4,771 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 450 | 485 |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 885 | 899 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 15,357 | 17,231 |
108
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 6,635 | 7,469 |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 9,250 | 9,317 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 5,000 | 5,363 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 3,000 | 3,127 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 100 | 125 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,380 | 3,051 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 3,020 | 4,106 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 4,450 | 4,407 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 1,365 | 1,549 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 7,275 | 7,078 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 2,400 | 3,292 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 1,800 | 1,949 |
Consolidated Edison Co. of New York Inc. | 5.375% | 12/15/15 | 3,213 | 3,355 |
Consolidated Edison Co. of New York Inc. | 5.500% | 9/15/16 | 2,225 | 2,393 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 5,150 | 6,078 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 6,000 | 6,610 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 800 | 966 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 3,615 | 4,627 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 1,878 | 2,496 |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 450 | 567 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 500 | 697 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 5,460 | 6,916 |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 4,400 | 4,402 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 12,650 | 13,677 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 3,705 | 4,101 |
Consumers Energy Co. | 5.500% | 8/15/16 | 394 | 423 |
Consumers Energy Co. | 5.650% | 9/15/18 | 1,800 | 2,051 |
Consumers Energy Co. | 6.700% | 9/15/19 | 7,960 | 9,476 |
Consumers Energy Co. | 5.650% | 4/15/20 | 1,375 | 1,576 |
Consumers Energy Co. | 2.850% | 5/15/22 | 13,516 | 13,462 |
Consumers Energy Co. | 3.375% | 8/15/23 | 1,175 | 1,213 |
Consumers Energy Co. | 3.950% | 5/15/43 | 4,225 | 4,371 |
Consumers Energy Co. | 4.350% | 8/31/64 | 1,600 | 1,686 |
Dayton Power & Light Co. | 1.875% | 9/15/16 | 525 | 530 |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 2,175 | 2,254 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 3,650 | 3,750 |
Dominion Resources Inc. | 1.950% | 8/15/16 | 2,150 | 2,174 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 4,075 | 4,040 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 300 | 342 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 300 | 334 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 3,000 | 3,008 |
Dominion Resources Inc. | 2.750% | 9/15/22 | 1,800 | 1,746 |
Dominion Resources Inc. | 3.625% | 12/1/24 | 6,300 | 6,386 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 350 | 455 |
Dominion Resources Inc. | 5.950% | 6/15/35 | 7,200 | 9,151 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 4,450 | 4,903 |
Dominion Resources Inc. | 4.050% | 9/15/42 | 4,997 | 4,869 |
Dominion Resources Inc. | 4.700% | 12/1/44 | 4,500 | 4,788 |
4 Dominion Resources Inc. | 5.750% | 10/1/54 | 3,650 | 3,810 |
4 Dominion Resources Inc. | 7.500% | 6/30/66 | 700 | 738 |
DTE Electric Co. | 3.450% | 10/1/20 | 7,005 | 7,319 |
DTE Electric Co. | 2.650% | 6/15/22 | 6,025 | 5,941 |
DTE Electric Co. | 3.650% | 3/15/24 | 6,325 | 6,648 |
DTE Electric Co. | 3.375% | 3/1/25 | 3,725 | 3,813 |
DTE Electric Co. | 5.700% | 10/1/37 | 2,025 | 2,601 |
109
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
DTE Electric Co. | 3.950% | 6/15/42 | 10,075 | 10,364 |
DTE Energy Co. | 2.400% | 12/1/19 | 1,800 | 1,801 |
DTE Energy Co. | 3.500% | 6/1/24 | 10,900 | 11,030 |
DTE Energy Co. | 6.375% | 4/15/33 | 100 | 129 |
Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 2,785 | 2,825 |
Duke Energy Carolinas LLC | 5.250% | 1/15/18 | 2,000 | 2,213 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 1,900 | 2,109 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 2,500 | 2,714 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 9,068 | 9,757 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 2,994 | 3,782 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 6,425 | 8,674 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 2,225 | 2,894 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 900 | 1,181 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 525 | 695 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 5,290 | 6,530 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 7,375 | 7,896 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 6,125 | 6,326 |
Duke Energy Corp. | 3.350% | 4/1/15 | 4,650 | 4,681 |
Duke Energy Corp. | 2.150% | 11/15/16 | 925 | 942 |
Duke Energy Corp. | 1.625% | 8/15/17 | 525 | 525 |
Duke Energy Corp. | 2.100% | 6/15/18 | 1,650 | 1,665 |
Duke Energy Corp. | 5.050% | 9/15/19 | 6,225 | 6,955 |
Duke Energy Corp. | 3.050% | 8/15/22 | 1,550 | 1,558 |
Duke Energy Corp. | 3.950% | 10/15/23 | 1,850 | 1,963 |
Duke Energy Corp. | 3.750% | 4/15/24 | 5,975 | 6,237 |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 1,175 | 1,325 |
Duke Energy Florida Inc. | 6.350% | 9/15/37 | 775 | 1,074 |
Duke Energy Florida Inc. | 6.400% | 6/15/38 | 6,450 | 8,978 |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 4,200 | 5,456 |
Duke Energy Indiana Inc. | 6.050% | 6/15/16 | 1,600 | 1,716 |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 2,500 | 2,648 |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 325 | 419 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 3,775 | 5,283 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 1,000 | 1,066 |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 1,850 | 2,178 |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 1,700 | 1,925 |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 5,000 | 5,601 |
Duke Energy Progress Inc. | 2.800% | 5/15/22 | 3,000 | 3,006 |
Duke Energy Progress Inc. | 6.300% | 4/1/38 | 3,025 | 4,187 |
Duke Energy Progress Inc. | 4.100% | 5/15/42 | 3,625 | 3,843 |
Duke Energy Progress Inc. | 4.375% | 3/30/44 | 10,650 | 11,691 |
Duke Energy Progress Inc. | 4.150% | 12/1/44 | 2,650 | 2,821 |
Edison International | 3.750% | 9/15/17 | 1,690 | 1,785 |
El Paso Electric Co. | 6.000% | 5/15/35 | 300 | 376 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 3,350 | 3,556 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 4,175 | 4,718 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 8,700 | 9,306 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 9,000 | 10,654 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,650 | 6,059 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 5,127 | 5,991 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 3,750 | 3,852 |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 300 | 299 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 3,000 | 3,543 |
Exelon Corp. | 5.625% | 6/15/35 | 200 | 234 |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 9,320 | 10,358 |
110
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 3,300 | 3,442 |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 6,000 | 6,229 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 4,000 | 4,803 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 4,675 | 5,273 |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 5,848 | 6,541 |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 2,025 | 2,186 |
Florida Power & Light Co. | 5.550% | 11/1/17 | 5,000 | 5,555 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 2,400 | 2,382 |
Florida Power & Light Co. | 3.250% | 6/1/24 | 2,800 | 2,868 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 225 | 297 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 2,160 | 2,739 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 825 | 1,025 |
Florida Power & Light Co. | 6.200% | 6/1/36 | 5,575 | 7,546 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 725 | 935 |
Florida Power & Light Co. | 5.850% | 5/1/37 | 1,265 | 1,658 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 3,250 | 4,319 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 9,950 | 13,320 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 425 | 554 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 975 | 1,210 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 10,575 | 11,288 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 3,250 | 3,285 |
Georgia Power Co. | 3.000% | 4/15/16 | 6,625 | 6,806 |
Georgia Power Co. | 5.700% | 6/1/17 | 2,525 | 2,782 |
Georgia Power Co. | 5.650% | 3/1/37 | 100 | 124 |
Georgia Power Co. | 4.750% | 9/1/40 | 1,200 | 1,350 |
Georgia Power Co. | 4.300% | 3/15/42 | 8,290 | 8,775 |
Georgia Power Co. | 4.300% | 3/15/43 | 3,810 | 4,037 |
Iberdrola International BV | 6.750% | 7/15/36 | 4,285 | 5,430 |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 2,012 | 2,382 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 2,850 | 3,598 |
4 Integrys Energy Group Inc. | 6.110% | 12/1/66 | 2,345 | 2,357 |
Interstate Power & Light Co. | 3.250% | 12/1/24 | 1,400 | 1,425 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 925 | 1,276 |
ITC Holdings Corp. | 4.050% | 7/1/23 | 5,500 | 5,733 |
ITC Holdings Corp. | 5.300% | 7/1/43 | 1,600 | 1,862 |
Jersey Central Power & Light Co. | 5.625% | 5/1/16 | 2,525 | 2,667 |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 2,775 | 3,022 |
4 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 1,281 | 1,456 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 125 | 161 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 4,795 | 5,631 |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 5,145 | 5,326 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 3,575 | 4,316 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 425 | 487 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 1,600 | 1,668 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 3,625 | 3,861 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 2,590 | 3,173 |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 725 | 827 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 1,348 | 1,611 |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 2,810 | 3,127 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 100 | 111 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 4,150 | 5,776 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 1,575 | 2,020 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,350 | 1,736 |
Midamerican Funding LLC | 6.927% | 3/1/29 | 3,935 | 5,226 |
Mississippi Power Co. | 4.250% | 3/15/42 | 4,475 | 4,550 |
111
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 2,950 | 3,032 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 175 | 191 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 4,850 | 5,404 | |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 5,475 | 7,136 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 4,250 | 4,244 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 5,975 | 5,935 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 7,510 | 7,577 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 5,128 | 5,424 | |
Nevada Power Co. | 6.500% | 5/15/18 | 1,865 | 2,148 | |
Nevada Power Co. | 6.500% | 8/1/18 | 14,093 | 16,329 | |
Nevada Power Co. | 7.125% | 3/15/19 | 4,150 | 4,951 | |
Nevada Power Co. | 6.650% | 4/1/36 | 965 | 1,334 | |
Nevada Power Co. | 6.750% | 7/1/37 | 975 | 1,380 | |
Nevada Power Co. | 5.450% | 5/15/41 | 500 | 631 | |
NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 1,500 | 1,596 | |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 3,613 | 4,116 | |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 7,000 | 6,987 | |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 950 | 959 | |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 885 | 956 | |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 3,175 | 3,222 | |
4 | NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 2,075 | 2,070 |
4 | NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 1,503 | 1,518 |
4 | NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 325 | 351 |
Northeast Utilities | 1.450% | 5/1/18 | 1,700 | 1,679 | |
Northern States Power Co. | 1.950% | 8/15/15 | 425 | 427 | |
Northern States Power Co. | 5.250% | 3/1/18 | 1,225 | 1,356 | |
Northern States Power Co. | 2.600% | 5/15/23 | 1,330 | 1,309 | |
Northern States Power Co. | 5.250% | 7/15/35 | 100 | 122 | |
Northern States Power Co. | 6.250% | 6/1/36 | 525 | 715 | |
Northern States Power Co. | 6.200% | 7/1/37 | 1,695 | 2,314 | |
Northern States Power Co. | 5.350% | 11/1/39 | 3,245 | 4,081 | |
Northern States Power Co. | 4.850% | 8/15/40 | 950 | 1,118 | |
Northern States Power Co. | 3.400% | 8/15/42 | 400 | 379 | |
Northern States Power Co. | 4.125% | 5/15/44 | 5,850 | 6,220 | |
NorthWestern Corp. | 4.176% | 11/15/44 | 2,400 | 2,544 | |
NSTAR Electric Co. | 5.625% | 11/15/17 | 4,360 | 4,842 | |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,700 | 1,644 | |
NSTAR Electric Co. | 5.500% | 3/15/40 | 3,505 | 4,487 | |
NSTAR LLC | 4.500% | 11/15/19 | 10,682 | 11,616 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 350 | 449 | |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 5,145 | 6,058 | |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 2,500 | 2,522 | |
Ohio Edison Co. | 6.875% | 7/15/36 | 1,000 | 1,353 | |
Ohio Power Co. | 6.000% | 6/1/16 | 1,520 | 1,622 | |
Ohio Power Co. | 5.375% | 10/1/21 | 3,775 | 4,378 | |
Ohio Power Co. | 5.850% | 10/1/35 | 1,525 | 1,931 | |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 1,200 | 1,571 | |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 1,250 | 1,511 | |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 1,825 | 1,832 | |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 3,225 | 3,278 | |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,000 | 2,175 | |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 3,170 | 3,694 | |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,125 | 2,116 | |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 4,550 | 6,387 | |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 150 | 217 | |
112 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,800 | 2,708 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 7,590 | 8,575 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 2,500 | 3,100 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 9,876 | 10,978 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 4,105 | 4,954 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 3,590 | 3,729 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 4,400 | 4,761 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 9,226 | 9,421 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,397 | 6,159 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 1,675 | 1,682 |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 3,425 | 3,467 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 14,874 | 18,933 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 9,005 | 11,029 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 4,000 | 5,245 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 1,073 | 1,401 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 850 | 1,010 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 11,052 | 11,651 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 2,500 | 2,692 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,700 | 1,878 |
PacifiCorp | 5.650% | 7/15/18 | 3,000 | 3,386 |
PacifiCorp | 5.500% | 1/15/19 | 4,000 | 4,518 |
PacifiCorp | 2.950% | 2/1/22 | 3,250 | 3,293 |
PacifiCorp | 3.600% | 4/1/24 | 4,350 | 4,491 |
PacifiCorp | 7.700% | 11/15/31 | 1,185 | 1,771 |
PacifiCorp | 5.250% | 6/15/35 | 2,900 | 3,519 |
PacifiCorp | 5.750% | 4/1/37 | 10,850 | 13,935 |
PacifiCorp | 4.100% | 2/1/42 | 1,600 | 1,687 |
Peco Energy Co. | 1.200% | 10/15/16 | 2,900 | 2,911 |
Peco Energy Co. | 5.350% | 3/1/18 | 575 | 638 |
Peco Energy Co. | 2.375% | 9/15/22 | 875 | 849 |
Peco Energy Co. | 5.950% | 10/1/36 | 4,275 | 5,674 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 2,075 | 2,487 |
Pepco Holdings Inc. | 2.700% | 10/1/15 | 295 | 299 |
PG&E Corp. | 2.400% | 3/1/19 | 2,425 | 2,426 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 200 | 210 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 4,043 | 5,623 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 5,120 | 5,111 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 490 | 496 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 6,700 | 6,709 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 275 | 287 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 4,300 | 4,657 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 2,000 | 2,225 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 590 | 600 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 800 | 1,101 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,250 | 1,530 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 3,725 | 4,312 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 1,550 | 1,640 |
Progress Energy Inc. | 5.625% | 1/15/16 | 2,795 | 2,929 |
Progress Energy Inc. | 4.875% | 12/1/19 | 150 | 166 |
Progress Energy Inc. | 4.400% | 1/15/21 | 5,186 | 5,655 |
Progress Energy Inc. | 3.150% | 4/1/22 | 5,800 | 5,879 |
Progress Energy Inc. | 7.750% | 3/1/31 | 625 | 905 |
Progress Energy Inc. | 6.000% | 12/1/39 | 3,165 | 4,088 |
PSEG Power LLC | 5.500% | 12/1/15 | 3,125 | 3,254 |
PSEG Power LLC | 2.750% | 9/15/16 | 885 | 907 |
113
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
PSEG Power LLC | 5.125% | 4/15/20 | 415 | 457 |
PSEG Power LLC | 4.150% | 9/15/21 | 1,275 | 1,342 |
PSEG Power LLC | 8.625% | 4/15/31 | 1,610 | 2,359 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 425 | 483 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 3,925 | 4,434 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 5,900 | 6,136 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 1,250 | 1,201 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 475 | 662 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 1,500 | 1,749 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 800 | 778 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 5,450 | 5,941 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 875 | 905 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 650 | 732 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 2,585 | 2,834 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 1,550 | 2,097 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 9,900 | 10,039 |
Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 3,500 | 3,469 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 625 | 658 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 2,700 | 2,597 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 3,275 | 4,262 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 4,189 | 5,277 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 3,800 | 3,931 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 4,575 | 4,507 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 1,300 | 1,354 |
Puget Energy Inc. | 6.500% | 12/15/20 | 2,950 | 3,476 |
Puget Energy Inc. | 6.000% | 9/1/21 | 3,350 | 3,919 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 2,350 | 2,898 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 1,825 | 2,465 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,400 | 1,821 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 1,510 | 1,985 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 600 | 793 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 4,800 | 5,274 |
San Diego Gas & Electric Co. | 5.300% | 11/15/15 | 650 | 676 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 1,350 | 1,383 |
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 4,000 | 5,006 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 250 | 306 |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 1,000 | 1,361 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 2,000 | 2,484 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 3,870 | 4,306 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 400 | 415 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 1,500 | 1,630 |
SCANA Corp. | 6.250% | 4/1/20 | 4,455 | 5,102 |
SCANA Corp. | 4.750% | 5/15/21 | 1,795 | 1,936 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 4,050 | 4,325 |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 1,450 | 1,505 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 1,450 | 2,036 |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 1,500 | 1,693 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 2,700 | 3,151 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 2,525 | 3,494 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 1,550 | 2,018 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 525 | 648 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 7,300 | 8,124 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 1,850 | 1,999 |
Southern California Edison Co. | 4.650% | 4/1/15 | 425 | 429 |
Southern California Edison Co. | 5.000% | 1/15/16 | 1,025 | 1,071 |
114
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Southern California Edison Co. | 1.125% | 5/1/17 | 900 | 898 |
Southern California Edison Co. | 3.875% | 6/1/21 | 2,000 | 2,173 |
Southern California Edison Co. | 3.500% | 10/1/23 | 12,300 | 12,933 |
Southern California Edison Co. | 6.650% | 4/1/29 | 1,550 | 2,050 |
Southern California Edison Co. | 6.000% | 1/15/34 | 1,000 | 1,300 |
Southern California Edison Co. | 5.750% | 4/1/35 | 800 | 1,022 |
Southern California Edison Co. | 5.350% | 7/15/35 | 4,185 | 5,099 |
Southern California Edison Co. | 5.550% | 1/15/36 | 500 | 633 |
Southern California Edison Co. | 5.625% | 2/1/36 | 1,875 | 2,360 |
Southern California Edison Co. | 5.950% | 2/1/38 | 2,800 | 3,700 |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,460 | 1,930 |
Southern California Edison Co. | 4.500% | 9/1/40 | 10,307 | 11,362 |
Southern California Edison Co. | 4.050% | 3/15/42 | 6,450 | 6,691 |
Southern California Edison Co. | 3.900% | 3/15/43 | 725 | 737 |
Southern California Edison Co. | 4.650% | 10/1/43 | 5,725 | 6,531 |
Southern Co. | 2.375% | 9/15/15 | 2,850 | 2,884 |
Southern Co. | 1.950% | 9/1/16 | 590 | 599 |
Southern Co. | 1.300% | 8/15/17 | 2,100 | 2,093 |
Southern Co. | 2.150% | 9/1/19 | 1,650 | 1,635 |
Southern Power Co. | 5.150% | 9/15/41 | 6,640 | 7,709 |
Southern Power Co. | 5.250% | 7/15/43 | 5,275 | 6,087 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 100 | 108 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 75 | 84 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 4,763 | 5,542 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 4,200 | 4,325 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 2,079 | 2,296 |
Tampa Electric Co. | 6.100% | 5/15/18 | 2,175 | 2,478 |
Tampa Electric Co. | 5.400% | 5/15/21 | 2,590 | 3,027 |
Tampa Electric Co. | 2.600% | 9/15/22 | 1,000 | 979 |
Tampa Electric Co. | 6.550% | 5/15/36 | 675 | 939 |
Tampa Electric Co. | 4.350% | 5/15/44 | 3,500 | 3,769 |
TECO Finance Inc. | 4.000% | 3/15/16 | 1,100 | 1,139 |
TECO Finance Inc. | 6.572% | 11/1/17 | 470 | 528 |
TECO Finance Inc. | 5.150% | 3/15/20 | 7,862 | 8,776 |
Toledo Edison Co. | 6.150% | 5/15/37 | 4,244 | 5,275 |
TransAlta Corp. | 4.750% | 1/15/15 | 400 | 400 |
TransAlta Corp. | 6.650% | 5/15/18 | 2,325 | 2,610 |
TransAlta Corp. | 6.500% | 3/15/40 | 2,000 | 2,150 |
7 Tri-State Generation & Transmission | ||||
Association Inc. | 3.700% | 11/1/24 | 1,475 | 1,508 |
7 Tri-State Generation & Transmission | ||||
Association Inc. | 4.700% | 11/1/44 | 1,400 | 1,489 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 1,045 | 1,168 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,000 | 1,063 |
Union Electric Co. | 6.700% | 2/1/19 | 2,432 | 2,861 |
Union Electric Co. | 3.500% | 4/15/24 | 5,300 | 5,500 |
Union Electric Co. | 5.300% | 8/1/37 | 2,919 | 3,565 |
Union Electric Co. | 8.450% | 3/15/39 | 2,000 | 3,391 |
Virginia Electric & Power Co. | 5.400% | 1/15/16 | 5,250 | 5,503 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 2,025 | 2,045 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 11,095 | 11,573 |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 6,300 | 6,231 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 3,540 | 4,620 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 3,000 | 4,170 |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 14,575 | 14,930 |
115
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 2,095 | 2,299 |
Westar Energy Inc. | 8.625% | 12/1/18 | 1,250 | 1,553 |
Westar Energy Inc. | 4.125% | 3/1/42 | 4,375 | 4,601 |
Westar Energy Inc. | 4.100% | 4/1/43 | 900 | 939 |
Westar Energy Inc. | 4.625% | 9/1/43 | 2,900 | 3,311 |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 1,050 | 1,095 |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 2,650 | 2,879 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 400 | 403 |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 3,100 | 3,342 |
4 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 5,175 | 5,201 |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 475 | 530 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 3,850 | 3,768 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 1,625 | 2,254 |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 1,450 | 1,502 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 2,050 | 2,061 |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 3,175 | 3,701 |
Xcel Energy Inc. | 5.613% | 4/1/17 | 275 | 300 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 8,320 | 9,231 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 7,611 | 10,314 |
Natural Gas (0.1%) | ||||
AGL Capital Corp. | 5.250% | 8/15/19 | 1,600 | 1,789 |
AGL Capital Corp. | 3.500% | 9/15/21 | 1,580 | 1,635 |
AGL Capital Corp. | 5.875% | 3/15/41 | 5,700 | 7,147 |
AGL Capital Corp. | 4.400% | 6/1/43 | 1,000 | 1,054 |
Atmos Energy Corp. | 8.500% | 3/15/19 | 760 | 944 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 4,050 | 4,952 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 275 | 279 |
Atmos Energy Corp. | 4.125% | 10/15/44 | 3,050 | 3,139 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 3,375 | 3,897 |
KeySpan Corp. | 8.000% | 11/15/30 | 50 | 70 |
Laclede Group Inc. | 4.700% | 8/15/44 | 3,500 | 3,645 |
National Fuel Gas Co. | 6.500% | 4/15/18 | 5,129 | 5,825 |
National Grid plc | 6.300% | 8/1/16 | 2,450 | 2,645 |
ONE Gas Inc. | 2.070% | 2/1/19 | 2,600 | 2,604 |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,200 | 1,372 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 1,375 | 1,586 |
Sempra Energy | 6.500% | 6/1/16 | 3,885 | 4,174 |
Sempra Energy | 2.300% | 4/1/17 | 175 | 178 |
Sempra Energy | 6.150% | 6/15/18 | 2,775 | 3,145 |
Sempra Energy | 9.800% | 2/15/19 | 1,500 | 1,926 |
Sempra Energy | 2.875% | 10/1/22 | 2,125 | 2,089 |
Sempra Energy | 4.050% | 12/1/23 | 19,085 | 20,196 |
Sempra Energy | 6.000% | 10/15/39 | 6,960 | 8,597 |
Southern California Gas Co. | 5.750% | 11/15/35 | 400 | 523 |
Southern California Gas Co. | 3.750% | 9/15/42 | 3,325 | 3,298 |
Southern California Gas Co. | 4.450% | 3/15/44 | 1,450 | 1,627 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 8,041 | 8,950 |
American Water Capital Corp. | 6.593% | 10/15/37 | 6,125 | 8,483 |
United Utilities plc | 5.375% | 2/1/19 | 6,025 | 6,548 |
Veolia Environnement SA | 6.750% | 6/1/38 | 2,150 | 2,753 |
1,761,127 | ||||
Total Corporate Bonds (Cost $21,687,525) | 22,673,140 |
116
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Sovereign Bonds (U.S. Dollar-Denominated) (5.6%) | ||||
African Development Bank | 1.250% | 9/2/16 | 3,100 | 3,131 |
African Development Bank | 0.750% | 10/18/16 | 8,850 | 8,812 |
African Development Bank | 1.125% | 3/15/17 | 4,200 | 4,220 |
African Development Bank | 0.875% | 3/15/18 | 4,700 | 4,636 |
African Development Bank | 1.625% | 10/2/18 | 16,500 | 16,562 |
African Development Bank | 2.375% | 9/23/21 | 13,000 | 13,239 |
Asian Development Bank | 2.500% | 3/15/16 | 11,150 | 11,417 |
Asian Development Bank | 5.500% | 6/27/16 | 5,450 | 5,843 |
Asian Development Bank | 0.750% | 1/11/17 | 16,575 | 16,561 |
Asian Development Bank | 1.125% | 3/15/17 | 34,275 | 34,445 |
Asian Development Bank | 5.250% | 6/12/17 | 100 | 110 |
Asian Development Bank | 5.593% | 7/16/18 | 1,700 | 1,916 |
Asian Development Bank | 1.750% | 9/11/18 | 1,650 | 1,666 |
Asian Development Bank | 1.500% | 9/28/18 | 15,000 | 15,005 |
Asian Development Bank | 1.875% | 10/23/18 | 5,120 | 5,192 |
Asian Development Bank | 1.750% | 3/21/19 | 14,600 | 14,692 |
Asian Development Bank | 1.875% | 4/12/19 | 13,250 | 13,392 |
Asian Development Bank | 1.375% | 3/23/20 | 2,750 | 2,692 |
Banco do Brasil SA | 3.875% | 1/23/17 | 6,650 | 6,819 |
Banco do Brasil SA | 3.875% | 10/10/22 | 8,875 | 8,163 |
Canada | 0.875% | 2/14/17 | 22,250 | 22,264 |
Canada | 1.625% | 2/27/19 | 1,300 | 1,303 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 2,850 | 2,803 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 13,900 | 13,181 |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 15,100 | 15,052 |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 14,600 | 15,029 |
Corporacion Andina de Fomento | 3.750% | 1/15/16 | 9,460 | 9,699 |
Corporacion Andina de Fomento | 1.500% | 8/8/17 | 8,000 | 8,025 |
Corporacion Andina de Fomento | 8.125% | 6/4/19 | 1,350 | 1,671 |
Corporacion Andina de Fomento | 4.375% | 6/15/22 | 20,817 | 22,437 |
Council Of Europe Development Bank | 2.750% | 2/10/15 | 2,200 | 2,205 |
Council Of Europe Development Bank | 2.625% | 2/16/16 | 4,565 | 4,676 |
Council Of Europe Development Bank | 1.500% | 2/22/17 | 6,000 | 6,076 |
Council Of Europe Development Bank | 1.500% | 6/19/17 | 1,350 | 1,365 |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 10,450 | 10,344 |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 4,550 | 4,508 |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 5,000 | 4,981 |
Ecopetrol SA | 7.625% | 7/23/19 | 8,750 | 10,041 |
Ecopetrol SA | 5.875% | 9/18/23 | 5,800 | 6,189 |
Ecopetrol SA | 4.125% | 1/16/25 | 8,325 | 8,024 |
Ecopetrol SA | 7.375% | 9/18/43 | 10,000 | 10,697 |
Ecopetrol SA | 5.875% | 5/28/45 | 5,100 | 4,743 |
European Bank for Reconstruction & Development | 2.750% | 4/20/15 | 7,700 | 7,754 |
European Bank for Reconstruction & Development | 2.500% | 3/15/16 | 11,975 | 12,266 |
European Bank for Reconstruction & Development | 1.375% | 10/20/16 | 4,735 | 4,790 |
European Bank for Reconstruction & Development | 1.000% | 2/16/17 | 5,000 | 5,014 |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 8,075 | 8,005 |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 2,050 | 2,014 |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 4,675 | 4,697 |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 21,525 | 21,561 |
European Bank for Reconstruction & Development | 1.750% | 11/26/19 | 6,000 | 5,983 |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 10,950 | 10,868 |
European Investment Bank | 1.125% | 4/15/15 | 26,000 | 26,060 |
European Investment Bank | 4.875% | 2/16/16 | 9,500 | 9,966 |
117
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
European Investment Bank | 2.250% | 3/15/16 | 19,400 | 19,816 | |
European Investment Bank | 0.625% | 4/15/16 | 22,700 | 22,743 | |
European Investment Bank | 2.500% | 5/16/16 | 15,700 | 16,119 | |
European Investment Bank | 2.125% | 7/15/16 | 6,000 | 6,140 | |
European Investment Bank | 0.500% | 8/15/16 | 10,000 | 9,974 | |
European Investment Bank | 5.125% | 9/13/16 | 14,700 | 15,798 | |
European Investment Bank | 1.250% | 10/14/16 | 6,650 | 6,717 | |
European Investment Bank | 1.125% | 12/15/16 | 1,500 | 1,502 | |
European Investment Bank | 4.875% | 1/17/17 | 5,500 | 5,946 | |
European Investment Bank | 1.750% | 3/15/17 | 35,100 | 35,756 | |
European Investment Bank | 0.875% | 4/18/17 | 15,100 | 15,025 | |
European Investment Bank | 5.125% | 5/30/17 | 9,150 | 10,050 | |
European Investment Bank | 1.625% | 6/15/17 | 1,000 | 1,016 | |
European Investment Bank | 1.000% | 8/17/17 | 17,000 | 16,945 | |
European Investment Bank | 1.125% | 9/15/17 | 14,425 | 14,442 | |
European Investment Bank | 1.000% | 12/15/17 | 13,850 | 13,784 | |
European Investment Bank | 1.000% | 3/15/18 | 20,575 | 20,385 | |
European Investment Bank | 1.000% | 6/15/18 | 34,600 | 34,147 | |
European Investment Bank | 1.625% | 12/18/18 | 34,225 | 34,346 | |
European Investment Bank | 1.875% | 3/15/19 | 46,000 | 46,508 | |
European Investment Bank | 1.750% | 6/17/19 | 63,470 | 63,575 | |
European Investment Bank | 2.875% | 9/15/20 | 14,650 | 15,414 | |
European Investment Bank | 4.000% | 2/16/21 | 11,575 | 12,923 | |
European Investment Bank | 2.500% | 4/15/21 | 32,125 | 33,099 | |
European Investment Bank | 2.125% | 10/15/21 | 7,600 | 7,630 | |
European Investment Bank | 3.250% | 1/29/24 | 12,900 | 13,906 | |
Export Development Canada | 1.250% | 10/26/16 | 705 | 710 | |
Export Development Canada | 0.625% | 12/15/16 | 1,675 | 1,670 | |
8 | Export Development Canada | 1.000% | 5/15/17 | 7,400 | 7,392 |
Export Development Canada | 0.750% | 12/15/17 | 9,025 | 8,873 | |
Export Development Canada | 1.500% | 10/3/18 | 15,125 | 15,163 | |
8 | Export Development Canada | 1.625% | 12/3/19 | 4,000 | 3,978 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 5,575 | 5,816 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 15,250 | 15,996 | |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 3,675 | 3,653 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 8,000 | 8,208 | |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 5,000 | 5,020 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 5,300 | 5,968 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,500 | 2,679 | |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 4,000 | 4,384 | |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 8,300 | 9,451 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 17,500 | 18,917 | |
Federative Republic of Brazil | 6.000% | 1/17/17 | 21,330 | 23,090 | |
4 | Federative Republic of Brazil | 8.000% | 1/15/18 | 9,421 | 10,269 |
Federative Republic of Brazil | 5.875% | 1/15/19 | 16,050 | 17,816 | |
Federative Republic of Brazil | 8.875% | 10/14/19 | 3,600 | 4,500 | |
Federative Republic of Brazil | 4.875% | 1/22/21 | 7,470 | 7,945 | |
Federative Republic of Brazil | 2.625% | 1/5/23 | 8,025 | 7,355 | |
Federative Republic of Brazil | 4.250% | 1/7/25 | 33,525 | 33,704 | |
Federative Republic of Brazil | 8.750% | 2/4/25 | 3,300 | 4,430 | |
Federative Republic of Brazil | 10.125% | 5/15/27 | 2,000 | 3,050 | |
Federative Republic of Brazil | 8.250% | 1/20/34 | 8,550 | 11,820 | |
Federative Republic of Brazil | 7.125% | 1/20/37 | 9,125 | 11,667 | |
4 | Federative Republic of Brazil | 11.000% | 8/17/40 | 4,350 | 4,633 |
Federative Republic of Brazil | 5.625% | 1/7/41 | 34,950 | 37,397 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 12,035 | 11,794 | |
118 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
FMS Wertmanagement AoeR | 0.625% | 4/18/16 | 15,000 | 15,025 |
FMS Wertmanagement AoeR | 0.625% | 1/30/17 | 17,200 | 17,084 |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 5,700 | 5,700 |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 4,350 | 4,297 |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 11,000 | 11,030 |
Hydro-Quebec | 7.500% | 4/1/16 | 3,650 | 3,948 |
Hydro-Quebec | 2.000% | 6/30/16 | 14,825 | 15,099 |
Hydro-Quebec | 1.375% | 6/19/17 | 9,300 | 9,322 |
Hydro-Quebec | 8.400% | 1/15/22 | 3,040 | 4,054 |
Hydro-Quebec | 8.050% | 7/7/24 | 1,350 | 1,895 |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 4,200 | 4,196 |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 6,100 | 6,168 |
Inter-American Development Bank | 4.250% | 9/14/15 | 3,450 | 3,543 |
Inter-American Development Bank | 0.625% | 9/12/16 | 9,000 | 8,967 |
Inter-American Development Bank | 5.125% | 9/13/16 | 100 | 107 |
Inter-American Development Bank | 1.375% | 10/18/16 | 9,810 | 9,930 |
Inter-American Development Bank | 0.875% | 11/15/16 | 6,025 | 6,031 |
Inter-American Development Bank | 1.125% | 3/15/17 | 10,650 | 10,707 |
Inter-American Development Bank | 1.000% | 7/14/17 | 21,625 | 21,574 |
Inter-American Development Bank | 2.375% | 8/15/17 | 5,100 | 5,272 |
Inter-American Development Bank | 0.875% | 3/15/18 | 9,925 | 9,787 |
Inter-American Development Bank | 1.750% | 8/24/18 | 7,620 | 7,695 |
Inter-American Development Bank | 1.125% | 9/12/19 | 24,800 | 24,131 |
Inter-American Development Bank | 3.875% | 9/17/19 | 16,750 | 18,353 |
Inter-American Development Bank | 1.750% | 10/15/19 | 20,200 | 20,079 |
Inter-American Development Bank | 3.875% | 2/14/20 | 2,300 | 2,529 |
Inter-American Development Bank | 2.125% | 11/9/20 | 10,400 | 10,465 |
Inter-American Development Bank | 3.000% | 10/4/23 | 2,350 | 2,491 |
Inter-American Development Bank | 3.000% | 2/21/24 | 18,000 | 19,058 |
Inter-American Development Bank | 7.000% | 6/15/25 | 1,125 | 1,540 |
Inter-American Development Bank | 3.200% | 8/7/42 | 2,000 | 2,008 |
Inter-American Development Bank | 4.375% | 1/24/44 | 9,500 | 11,616 |
International Bank for Reconstruction | ||||
& Development | 2.125% | 3/15/16 | 24,450 | 24,942 |
International Bank for Reconstruction | ||||
& Development | 5.000% | 4/1/16 | 9,975 | 10,531 |
International Bank for Reconstruction | ||||
& Development | 0.500% | 4/15/16 | 16,700 | 16,703 |
International Bank for Reconstruction | ||||
& Development | 1.000% | 9/15/16 | 5,995 | 6,029 |
International Bank for Reconstruction | ||||
& Development | 0.625% | 10/14/16 | 14,250 | 14,168 |
International Bank for Reconstruction | ||||
& Development | 0.750% | 12/15/16 | 10,625 | 10,620 |
International Bank for Reconstruction | ||||
& Development | 0.875% | 4/17/17 | 33,125 | 33,113 |
International Bank for Reconstruction | ||||
& Development | 1.125% | 7/18/17 | 7,500 | 7,505 |
International Bank for Reconstruction | ||||
& Development | 1.375% | 4/10/18 | 36,200 | 36,228 |
International Bank for Reconstruction | ||||
& Development | 1.875% | 3/15/19 | 43,475 | 43,920 |
International Bank for Reconstruction | ||||
& Development | 1.875% | 10/7/19 | 5,200 | 5,217 |
International Bank for Reconstruction | ||||
& Development | 2.125% | 11/1/20 | 20,400 | 20,645 |
119
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
International Bank for Reconstruction | |||||
& Development | 2.250% | 6/24/21 | 15,250 | 15,601 | |
International Bank for Reconstruction | |||||
& Development | 7.625% | 1/19/23 | 950 | 1,327 | |
International Bank for Reconstruction | |||||
& Development | 2.500% | 11/25/24 | 42,500 | 42,908 | |
International Bank for Reconstruction | |||||
& Development | 8.875% | 3/1/26 | 450 | 703 | |
International Finance Corp. | 2.750% | 4/20/15 | 3,250 | 3,272 | |
International Finance Corp. | 2.250% | 4/11/16 | 5,000 | 5,110 | |
International Finance Corp. | 0.625% | 10/3/16 | 8,475 | 8,467 | |
International Finance Corp. | 0.625% | 11/15/16 | 9,450 | 9,428 | |
International Finance Corp. | 1.125% | 11/23/16 | 14,950 | 15,043 | |
International Finance Corp. | 1.000% | 4/24/17 | 5,650 | 5,639 | |
International Finance Corp. | 2.125% | 11/17/17 | 24,800 | 25,400 | |
International Finance Corp. | 0.625% | 12/21/17 | 6,850 | 6,724 | |
International Finance Corp. | 1.250% | 7/16/18 | 15,500 | 15,376 | |
International Finance Corp. | 1.750% | 9/4/18 | 6,400 | 6,454 | |
International Finance Corp. | 1.750% | 9/16/19 | 10,500 | 10,456 | |
9 | Japan Bank for International Cooperation | 1.875% | 9/24/15 | 6,065 | 6,126 |
9 | Japan Bank for International Cooperation | 2.500% | 1/21/16 | 5,600 | 5,716 |
9 | Japan Bank for International Cooperation | 2.500% | 5/18/16 | 6,200 | 6,362 |
9 | Japan Bank for International Cooperation | 2.250% | 7/13/16 | 5,000 | 5,121 |
9 | Japan Bank for International Cooperation | 1.125% | 7/19/17 | 6,675 | 6,675 |
9 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 13,125 | 13,224 |
9 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 19,900 | 20,003 |
9 | Japan Bank for International Cooperation | 2.125% | 2/7/19 | 5,000 | 5,087 |
9 | Japan Bank for International Cooperation | 3.375% | 7/31/23 | 2,400 | 2,595 |
9 | Japan Bank for International Cooperation | 3.000% | 5/29/24 | 17,000 | 17,693 |
9 | Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 1,600 | 1,746 |
9 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 5,625 | 6,210 |
10 | KFW | 0.500% | 9/30/15 | 34,175 | 34,225 |
10 | KFW | 2.625% | 2/16/16 | 3,450 | 3,536 |
10 | KFW | 5.125% | 3/14/16 | 14,000 | 14,783 |
10 | KFW | 0.500% | 4/19/16 | 16,000 | 16,008 |
10 | KFW | 2.000% | 6/1/16 | 19,000 | 19,400 |
10 | KFW | 0.500% | 7/15/16 | 17,000 | 16,899 |
10 | KFW | 1.250% | 10/5/16 | 11,805 | 11,925 |
10 | KFW | 0.625% | 12/15/16 | 30,150 | 30,093 |
10 | KFW | 4.875% | 1/17/17 | 3,000 | 3,249 |
10 | KFW | 1.250% | 2/15/17 | 29,000 | 29,269 |
10 | KFW | 0.750% | 3/17/17 | 7,000 | 6,955 |
10 | KFW | 0.875% | 9/5/17 | 14,200 | 14,140 |
10 | KFW | 0.875% | 12/15/17 | 8,000 | 7,903 |
10 | KFW | 4.375% | 3/15/18 | 18,850 | 20,662 |
10 | KFW | 1.000% | 6/11/18 | 13,900 | 13,728 |
10 | KFW | 4.500% | 7/16/18 | 6,425 | 7,101 |
10 | KFW | 1.875% | 4/1/19 | 48,500 | 49,042 |
10 | KFW | 4.875% | 6/17/19 | 20,075 | 22,839 |
10 | KFW | 1.750% | 10/15/19 | 23,500 | 23,424 |
10 | KFW | 4.000% | 1/27/20 | 5,500 | 6,079 |
10 | KFW | 2.750% | 9/8/20 | 23,250 | 24,303 |
10 | KFW | 2.750% | 10/1/20 | 13,200 | 13,799 |
10 | KFW | 2.375% | 8/25/21 | 19,590 | 19,995 |
10 | KFW | 2.625% | 1/25/22 | 14,000 | 14,488 |
10 | KFW | 2.000% | 10/4/22 | 24,875 | 24,592 |
120 |
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
10 | KFW | 2.125% | 1/17/23 | 30,000 | 29,922 |
10 | KFW | 2.500% | 11/20/24 | 49,500 | 50,149 |
10 | KFW | 0.000% | 4/18/36 | 7,000 | 3,776 |
10 | KFW | 0.000% | 6/29/37 | 4,450 | 2,308 |
Korea Development Bank | 3.250% | 3/9/16 | 1,180 | 1,208 | |
Korea Development Bank | 4.000% | 9/9/16 | 2,500 | 2,609 | |
Korea Development Bank | 3.875% | 5/4/17 | 2,500 | 2,615 | |
Korea Development Bank | 3.500% | 8/22/17 | 3,450 | 3,593 | |
Korea Development Bank | 1.500% | 1/22/18 | 2,500 | 2,467 | |
Korea Development Bank | 3.000% | 3/17/19 | 4,400 | 4,534 | |
Korea Development Bank | 3.000% | 9/14/22 | 23,750 | 23,833 | |
Korea Development Bank | 3.750% | 1/22/24 | 15,300 | 16,178 | |
Korea Finance Corp. | 3.250% | 9/20/16 | 4,000 | 4,126 | |
Korea Finance Corp. | 2.250% | 8/7/17 | 1,475 | 1,491 | |
Korea Finance Corp. | 4.625% | 11/16/21 | 10,000 | 11,072 | |
10 | Landwirtschaftliche Rentenbank | 4.875% | 11/16/15 | 10,650 | 11,062 |
10 | Landwirtschaftliche Rentenbank | 2.500% | 2/15/16 | 7,220 | 7,379 |
10 | Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 175 | 179 |
10 | Landwirtschaftliche Rentenbank | 5.125% | 2/1/17 | 10,700 | 11,642 |
10 | Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 2,325 | 2,313 |
10 | Landwirtschaftliche Rentenbank | 2.375% | 9/13/17 | 4,000 | 4,137 |
10 | Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 13,000 | 12,856 |
10 | Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 5,600 | 5,681 |
10 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 3,000 | 2,947 |
10 | Landwirtschaftliche Rentenbank | 2.250% | 10/1/21 | 16,700 | 16,842 |
Nexen Energy ULC | 7.875% | 3/15/32 | 325 | 458 | |
Nexen Energy ULC | 5.875% | 3/10/35 | 690 | 815 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 13,400 | 16,831 | |
Nexen Energy ULC | 7.500% | 7/30/39 | 3,400 | 4,666 | |
Nordic Investment Bank | 2.250% | 3/15/16 | 4,250 | 4,340 | |
Nordic Investment Bank | 0.500% | 4/14/16 | 3,150 | 3,150 | |
Nordic Investment Bank | 5.000% | 2/1/17 | 1,150 | 1,247 | |
Nordic Investment Bank | 1.000% | 3/7/17 | 2,250 | 2,255 | |
Nordic Investment Bank | 0.750% | 1/17/18 | 14,450 | 14,234 | |
Nordic Investment Bank | 1.875% | 6/14/19 | 8,300 | 8,351 | |
North American Development Bank | 2.300% | 10/10/18 | 2,387 | 2,406 | |
North American Development Bank | 4.375% | 2/11/20 | 975 | 1,069 | |
North American Development Bank | 2.400% | 10/26/22 | 3,300 | 3,235 | |
11 | Oesterreichische Kontrollbank AG | 2.000% | 6/3/16 | 24,500 | 25,007 |
11 | Oesterreichische Kontrollbank AG | 0.750% | 12/15/16 | 8,000 | 7,997 |
11 | Oesterreichische Kontrollbank AG | 5.000% | 4/25/17 | 4,025 | 4,392 |
11 | Oesterreichische Kontrollbank AG | 1.625% | 3/12/19 | 3,500 | 3,502 |
11 | Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,000 | 5,029 |
4 | Oriental Republic of Uruguay | 8.000% | 11/18/22 | 3,900 | 5,090 |
4 | Oriental Republic of Uruguay | 4.500% | 8/14/24 | 12,000 | 12,601 |
4 | Oriental Republic of Uruguay | 7.625% | 3/21/36 | 4,725 | 6,391 |
4 | Oriental Republic of Uruguay | 4.125% | 11/20/45 | 16,579 | 14,755 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 975 | 973 |
Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 40,575 | 44,024 | |
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 9,100 | 10,510 | |
Pemex Project Funding Master Trust | 6.625% | 6/15/38 | 3,025 | 3,461 | |
Petrobras Global Finance BV | 2.000% | 5/20/16 | 11,700 | 11,183 | |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 22,800 | 21,414 | |
Petrobras Global Finance BV | 4.375% | 5/20/23 | 6,000 | 5,155 | |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 28,500 | 27,082 | |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 3,400 | 2,771 |
121
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Petrobras Global Finance BV | 7.250% | 3/17/44 | 1,225 | 1,206 | |
Petrobras International Finance Co. SA | 3.875% | 1/27/16 | 3,350 | 3,300 | |
Petrobras International Finance Co. SA | 6.125% | 10/6/16 | 3,325 | 3,355 | |
Petrobras International Finance Co. SA | 3.500% | 2/6/17 | 12,250 | 11,754 | |
Petrobras International Finance Co. SA | 5.875% | 3/1/18 | 28,500 | 28,024 | |
Petrobras International Finance Co. SA | 8.375% | 12/10/18 | 2,300 | 2,426 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 7,575 | 7,924 | |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 26,685 | 26,159 | |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 18,325 | 16,914 | |
Petrobras International Finance Co. SA | 6.875% | 1/20/40 | 20,625 | 19,045 | |
Petrobras International Finance Co. SA | 6.750% | 1/27/41 | 8,000 | 7,402 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 6,675 | 7,893 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 5,000 | 5,584 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 26,445 | 28,629 | |
Petroleos Mexicanos | 4.875% | 1/24/22 | 19,350 | 20,271 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 15,850 | 15,138 | |
Petroleos Mexicanos | 4.875% | 1/18/24 | 700 | 725 | |
4 | Petroleos Mexicanos | 2.290% | 2/15/24 | 1,425 | 1,433 |
7 | Petroleos Mexicanos | 4.250% | 1/15/25 | 6,600 | 6,568 |
Petroleos Mexicanos | 2.378% | 4/15/25 | 1,900 | 1,852 | |
Petroleos Mexicanos | 6.500% | 6/2/41 | 10,725 | 12,389 | |
7 | Petroleos Mexicanos | 5.500% | 6/27/44 | 11,500 | 11,701 |
Petroleos Mexicanos | 5.500% | 6/27/44 | 29,400 | 29,914 | |
Petroleos Mexicanos | 6.375% | 1/23/45 | 12,600 | 14,372 | |
Province of British Columbia | 2.100% | 5/18/16 | 5,280 | 5,381 | |
Province of British Columbia | 1.200% | 4/25/17 | 4,900 | 4,922 | |
Province of British Columbia | 2.650% | 9/22/21 | 8,200 | 8,432 | |
Province of British Columbia | 2.000% | 10/23/22 | 10,000 | 9,778 | |
Province of Manitoba | 4.900% | 12/6/16 | 6,065 | 6,533 | |
Province of Manitoba | 1.300% | 4/3/17 | 4,050 | 4,068 | |
Province of Manitoba | 1.125% | 6/1/18 | 1,250 | 1,239 | |
Province of Manitoba | 2.100% | 9/6/22 | 3,000 | 2,935 | |
Province of Manitoba | 3.050% | 5/14/24 | 19,500 | 20,142 | |
Province of New Brunswick | 2.750% | 6/15/18 | 7,575 | 7,881 | |
Province of Nova Scotia | 2.375% | 7/21/15 | 6,390 | 6,464 | |
Province of Nova Scotia | 5.125% | 1/26/17 | 1,000 | 1,093 | |
Province of Nova Scotia | 9.125% | 5/1/21 | 1,280 | 1,769 | |
Province of Ontario | 4.750% | 1/19/16 | 4,325 | 4,507 | |
Province of Ontario | 5.450% | 4/27/16 | 6,125 | 6,499 | |
Province of Ontario | 2.300% | 5/10/16 | 26,290 | 26,825 | |
Province of Ontario | 1.000% | 7/22/16 | 14,100 | 14,134 | |
Province of Ontario | 1.600% | 9/21/16 | 9,200 | 9,303 | |
Province of Ontario | 1.100% | 10/25/17 | 10,650 | 10,546 | |
Province of Ontario | 3.150% | 12/15/17 | 5,525 | 5,798 | |
Province of Ontario | 1.200% | 2/14/18 | 5,600 | 5,561 | |
Province of Ontario | 3.000% | 7/16/18 | 2,550 | 2,674 | |
Province of Ontario | 2.000% | 9/27/18 | 12,500 | 12,630 | |
Province of Ontario | 2.000% | 1/30/19 | 20,000 | 20,147 | |
Province of Ontario | 1.650% | 9/27/19 | 11,000 | 10,832 | |
Province of Ontario | 4.000% | 10/7/19 | 3,750 | 4,079 | |
Province of Ontario | 4.400% | 4/14/20 | 9,200 | 10,318 | |
Province of Ontario | 2.500% | 9/10/21 | 13,500 | 13,563 | |
Province of Ontario | 2.450% | 6/29/22 | 2,025 | 2,014 | |
Province of Ontario | 3.200% | 5/16/24 | 10,000 | 10,470 | |
Quebec | 5.125% | 11/14/16 | 7,275 | 7,833 | |
Quebec | 4.625% | 5/14/18 | 9,050 | 9,975 | |
122 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Quebec | 3.500% | 7/29/20 | 8,770 | 9,359 |
Quebec | 2.750% | 8/25/21 | 13,475 | 13,710 |
Quebec | 2.625% | 2/13/23 | 34,919 | 34,981 |
Quebec | 7.125% | 2/9/24 | 325 | 430 |
Quebec | 2.875% | 10/16/24 | 9,400 | 9,468 |
Quebec | 7.500% | 9/15/29 | 4,875 | 7,250 |
Region of Lombardy Italy | 5.804% | 10/25/32 | 1,050 | 1,148 |
Republic of Chile | 3.875% | 8/5/20 | 1,750 | 1,876 |
Republic of Chile | 3.250% | 9/14/21 | 200 | 205 |
Republic of Chile | 2.250% | 10/30/22 | 10,400 | 9,904 |
Republic of Chile | 3.125% | 3/27/25 | 13,890 | 13,798 |
Republic of Chile | 3.625% | 10/30/42 | 3,600 | 3,256 |
Republic of Colombia | 7.375% | 1/27/17 | 4,900 | 5,421 |
Republic of Colombia | 7.375% | 3/18/19 | 20,510 | 24,130 |
Republic of Colombia | 11.750% | 2/25/20 | 1,050 | 1,476 |
Republic of Colombia | 4.375% | 7/12/21 | 9,795 | 10,270 |
4 Republic of Colombia | 2.625% | 3/15/23 | 11,950 | 11,072 |
Republic of Colombia | 4.000% | 2/26/24 | 12,100 | 12,300 |
Republic of Colombia | 8.125% | 5/21/24 | 2,800 | 3,703 |
Republic of Colombia | 7.375% | 9/18/37 | 11,500 | 15,341 |
Republic of Colombia | 6.125% | 1/18/41 | 8,550 | 10,236 |
4 Republic of Colombia | 5.625% | 2/26/44 | 18,600 | 20,832 |
Republic of Finland | 6.950% | 2/15/26 | 1,000 | 1,353 |
Republic of Italy | 4.750% | 1/25/16 | 14,850 | 15,426 |
Republic of Italy | 5.250% | 9/20/16 | 10,855 | 11,552 |
Republic of Italy | 5.375% | 6/12/17 | 14,400 | 15,592 |
Republic of Italy | 6.875% | 9/27/23 | 12,325 | 15,651 |
Republic of Italy | 5.375% | 6/15/33 | 13,750 | 16,197 |
Republic of Korea | 5.125% | 12/7/16 | 2,955 | 3,185 |
Republic of Korea | 7.125% | 4/16/19 | 16,078 | 19,402 |
Republic of Korea | 3.875% | 9/11/23 | 21,400 | 23,507 |
Republic of Korea | 5.625% | 11/3/25 | 575 | 710 |
Republic of Panama | 5.200% | 1/30/20 | 15,655 | 17,119 |
Republic of Panama | 7.125% | 1/29/26 | 13,500 | 17,010 |
Republic of Panama | 9.375% | 4/1/29 | 5,500 | 8,333 |
4 Republic of Panama | 6.700% | 1/26/36 | 9,848 | 12,573 |
4 Republic of Panama | 4.300% | 4/29/53 | 5,000 | 4,500 |
Republic of Peru | 7.125% | 3/30/19 | 12,550 | 14,840 |
Republic of Peru | 7.350% | 7/21/25 | 6,525 | 8,662 |
Republic of Peru | 8.750% | 11/21/33 | 11,427 | 17,793 |
4 Republic of Peru | 6.550% | 3/14/37 | 10,500 | 13,571 |
Republic of Peru | 5.625% | 11/18/50 | 11,100 | 13,043 |
Republic of Philippines | 9.375% | 1/18/17 | 5,000 | 5,840 |
Republic of Philippines | 8.375% | 6/17/19 | 10,000 | 12,700 |
Republic of Philippines | 6.500% | 1/20/20 | 3,100 | 3,723 |
Republic of Philippines | 4.000% | 1/15/21 | 17,525 | 18,987 |
Republic of Philippines | 4.200% | 1/21/24 | 20,525 | 22,270 |
Republic of Philippines | 10.625% | 3/16/25 | 8,525 | 13,738 |
Republic of Philippines | 5.500% | 3/30/26 | 6,800 | 8,065 |
Republic of Philippines | 9.500% | 2/2/30 | 8,950 | 14,551 |
Republic of Philippines | 7.750% | 1/14/31 | 13,250 | 19,129 |
Republic of Philippines | 6.375% | 1/15/32 | 5,650 | 7,407 |
Republic of Philippines | 6.375% | 10/23/34 | 20,325 | 27,236 |
Republic of Philippines | 5.000% | 1/13/37 | 1,950 | 2,280 |
Republic of Poland | 5.000% | 10/19/15 | 750 | 776 |
Republic of Poland | 6.375% | 7/15/19 | 12,960 | 15,148 |
123
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Poland | 5.125% | 4/21/21 | 20,650 | 23,175 | |
Republic of Poland | 5.000% | 3/23/22 | 23,085 | 25,841 | |
Republic of Poland | 3.000% | 3/17/23 | 25,300 | 25,142 | |
Republic of Poland | 4.000% | 1/22/24 | 425 | 450 | |
Republic of South Africa | 6.875% | 5/27/19 | 7,425 | 8,478 | |
Republic of South Africa | 5.500% | 3/9/20 | 18,890 | 20,590 | |
Republic of South Africa | 4.665% | 1/17/24 | 8,300 | 8,580 | |
Republic of South Africa | 5.875% | 9/16/25 | 10,600 | 11,925 | |
Republic of South Africa | 6.250% | 3/8/41 | 2,100 | 2,481 | |
Republic of South Africa | 5.375% | 7/24/44 | 10,000 | 10,475 | |
Republic of Turkey | 7.000% | 9/26/16 | 13,600 | 14,754 | |
Republic of Turkey | 7.500% | 7/14/17 | 15,275 | 17,077 | |
Republic of Turkey | 6.750% | 4/3/18 | 17,275 | 19,266 | |
Republic of Turkey | 7.000% | 3/11/19 | 17,700 | 20,193 | |
Republic of Turkey | 7.000% | 6/5/20 | 13,100 | 15,237 | |
Republic of Turkey | 5.625% | 3/30/21 | 11,475 | 12,618 | |
Republic of Turkey | 5.125% | 3/25/22 | 8,925 | 9,550 | |
Republic of Turkey | 6.250% | 9/26/22 | 6,000 | 6,851 | |
Republic of Turkey | 5.750% | 3/22/24 | 27,800 | 31,067 | |
Republic of Turkey | 7.375% | 2/5/25 | 22,475 | 27,897 | |
Republic of Turkey | 11.875% | 1/15/30 | 13,000 | 23,043 | |
Republic of Turkey | 8.000% | 2/14/34 | 11,400 | 15,632 | |
Republic of Turkey | 6.875% | 3/17/36 | 14,600 | 18,116 | |
Republic of Turkey | 6.750% | 5/30/40 | 16,000 | 19,760 | |
Republic of Turkey | 6.000% | 1/14/41 | 23,500 | 26,673 | |
Republic of Turkey | 4.875% | 4/16/43 | 4,500 | 4,480 | |
State of Israel | 5.500% | 11/9/16 | 3,480 | 3,772 | |
State of Israel | 5.125% | 3/26/19 | 5,350 | 6,056 | |
State of Israel | 4.000% | 6/30/22 | 15,300 | 16,602 | |
State of Israel | 3.150% | 6/30/23 | 2,300 | 2,339 | |
State of Israel | 4.500% | 1/30/43 | 10,100 | 10,244 | |
Statoil ASA | 1.800% | 11/23/16 | 300 | 304 | |
Statoil ASA | 3.125% | 8/17/17 | 5,590 | 5,829 | |
Statoil ASA | 6.700% | 1/15/18 | 1,000 | 1,139 | |
Statoil ASA | 1.200% | 1/17/18 | 2,000 | 1,975 | |
Statoil ASA | 1.950% | 11/8/18 | 3,500 | 3,494 | |
Statoil ASA | 5.250% | 4/15/19 | 9,090 | 10,210 | |
Statoil ASA | 2.250% | 11/8/19 | 8,000 | 7,996 | |
Statoil ASA | 2.900% | 11/8/20 | 1,000 | 1,021 | |
Statoil ASA | 2.750% | 11/10/21 | 10,400 | 10,418 | |
Statoil ASA | 3.150% | 1/23/22 | 3,175 | 3,208 | |
Statoil ASA | 2.450% | 1/17/23 | 14,300 | 13,591 | |
Statoil ASA | 2.650% | 1/15/24 | 6,500 | 6,210 | |
Statoil ASA | 3.700% | 3/1/24 | 16,800 | 17,389 | |
Statoil ASA | 3.250% | 11/10/24 | 5,100 | 5,081 | |
Statoil ASA | 7.250% | 9/23/27 | 1,975 | 2,700 | |
7 | Statoil ASA | 6.500% | 12/1/28 | 225 | 295 |
Statoil ASA | 7.150% | 1/15/29 | 1,165 | 1,607 | |
Statoil ASA | 5.100% | 8/17/40 | 4,000 | 4,619 | |
Statoil ASA | 4.250% | 11/23/41 | 2,300 | 2,353 | |
Statoil ASA | 3.950% | 5/15/43 | 2,400 | 2,381 | |
Statoil ASA | 4.800% | 11/8/43 | 5,000 | 5,674 | |
Svensk Exportkredit AB | 0.625% | 5/31/16 | 4,100 | 4,104 | |
Svensk Exportkredit AB | 2.125% | 7/13/16 | 7,360 | 7,526 | |
Svensk Exportkredit AB | 5.125% | 3/1/17 | 550 | 599 | |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 4,050 | 4,118 | |
124 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 15,000 | 14,864 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 12,000 | 11,997 |
United Mexican States | 11.375% | 9/15/16 | 1,325 | 1,558 |
United Mexican States | 5.625% | 1/15/17 | 27,465 | 29,559 |
United Mexican States | 5.950% | 3/19/19 | 21,225 | 24,019 |
United Mexican States | 3.500% | 1/21/21 | 12,500 | 12,778 |
United Mexican States | 3.625% | 3/15/22 | 42,050 | 42,781 |
United Mexican States | 4.000% | 10/2/23 | 41,492 | 43,209 |
United Mexican States | 3.600% | 1/30/25 | 10,625 | 10,570 |
United Mexican States | 8.300% | 8/15/31 | 2,500 | 3,744 |
United Mexican States | 6.750% | 9/27/34 | 9,800 | 12,790 |
United Mexican States | 6.050% | 1/11/40 | 25,310 | 30,878 |
United Mexican States | 4.750% | 3/8/44 | 36,183 | 37,696 |
United Mexican States | 5.550% | 1/21/45 | 900 | 1,042 |
United Mexican States | 5.750% | 10/12/10 | 21,260 | 22,791 |
Total Sovereign Bonds (Cost $5,020,800) | 5,120,235 | |||
Taxable Municipal Bonds (1.0%) | ||||
Alameda County CA Joint Powers Authority | ||||
Lease Revenue | 7.046% | 12/1/44 | 4,080 | 5,574 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 7.834% | 2/15/41 | 575 | 872 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 6.053% | 2/15/43 | 400 | 514 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 5.939% | 2/15/47 | 7,445 | 9,382 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 6.270% | 2/15/50 | 1,090 | 1,402 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 7.499% | 2/15/50 | 750 | 1,117 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 8.084% | 2/15/50 | 3,050 | 4,972 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.793% | 4/1/30 | 875 | 1,113 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.918% | 4/1/40 | 1,500 | 2,105 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 8,333 | 11,759 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 1,325 | 1,973 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.907% | 10/1/50 | 4,865 | 7,182 |
California GO | 3.950% | 11/1/15 | 2,550 | 2,625 |
California GO | 5.750% | 3/1/17 | 4,000 | 4,387 |
California GO | 6.200% | 3/1/19 | 1,100 | 1,271 |
California GO | 6.200% | 10/1/19 | 4,935 | 5,849 |
California GO | 5.700% | 11/1/21 | 9,655 | 11,382 |
California GO | 7.500% | 4/1/34 | 19,480 | 29,152 |
California GO | 7.550% | 4/1/39 | 13,855 | 21,357 |
California GO | 7.300% | 10/1/39 | 2,400 | 3,522 |
California GO | 7.350% | 11/1/39 | 7,825 | 11,552 |
California GO | 7.625% | 3/1/40 | 6,425 | 9,862 |
California GO | 7.600% | 11/1/40 | 13,685 | 21,665 |
Central Puget Sound WA Regional Transit | ||||
Authority Sales & Use Tax Revenue | 5.491% | 11/1/39 | 550 | 694 |
Chicago IL Board of Education GO | 6.319% | 11/1/29 | 1,850 | 1,969 |
125
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Chicago IL Board of Education GO | 6.138% | 12/1/39 | 1,900 | 1,893 |
Chicago IL GO | 7.781% | 1/1/35 | 825 | 986 |
Chicago IL GO | 6.314% | 1/1/44 | 6,250 | 6,593 |
Chicago IL Metropolitan Water Reclamation | ||||
District GO | 5.720% | 12/1/38 | 3,060 | 3,795 |
Chicago IL O’Hare International Airport Revenue | 6.845% | 1/1/38 | 400 | 457 |
Chicago IL O’Hare International Airport Revenue | 6.395% | 1/1/40 | 600 | 812 |
Chicago IL Transit Authority Sales Tax | ||||
Receipts Revenue | 6.200% | 12/1/40 | 1,650 | 1,955 |
Chicago IL Transit Authority Transfer Tax | ||||
Receipts Revenue | 6.899% | 12/1/40 | 4,255 | 5,361 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 2,600 | 3,410 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 4,900 | 6,457 |
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 550 | 637 |
Colorado Bridge Enterprise Revenue | 6.078% | 12/1/40 | 3,300 | 4,335 |
Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 6.218% | 6/1/39 | 2,350 | 2,880 |
Connecticut GO | 5.632% | 12/1/29 | 1,110 | 1,326 |
Connecticut GO | 5.090% | 10/1/30 | 800 | 912 |
Connecticut GO | 5.850% | 3/15/32 | 9,015 | 11,324 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.459% | 11/1/30 | 100 | 118 |
Cook County IL GO | 6.229% | 11/15/34 | 1,750 | 1,937 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.960% | 11/1/39 | 1,000 | 1,294 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.792% | 11/1/41 | 1,000 | 1,338 |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 850 | 1,095 |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 1,650 | 1,950 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,100 | 1,494 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 2,825 | 3,459 |
Dallas TX Convention Center Hotel Development | ||||
Corp. Hotel Revenue | 7.088% | 1/1/42 | 5,525 | 7,447 |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 1,500 | 1,805 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 275 | 308 |
Denver CO City & County School District | ||||
No. 1 COP | 7.017% | 12/15/37 | 1,050 | 1,433 |
Denver CO City & County School District | ||||
No. 1 GO | 5.664% | 12/1/33 | 525 | 634 |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 450 | 553 |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 650 | 805 |
District of Columbia Water & Sewer Authority | ||||
Public Utility Revenue | 4.814% | 10/1/14 | 8,200 | 9,290 |
East Baton Rouge LA Sewer | ||||
Commission Revenue | 6.087% | 2/1/45 | 975 | 1,097 |
East Bay CA Municipal Utility District Water | ||||
System Revenue | 5.874% | 6/1/40 | 1,100 | 1,465 |
Emory University Georgia GO | 5.625% | 9/1/19 | 1,430 | 1,659 |
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 2,000 | 1,988 |
Florida Hurricane Catastrophe Fund Finance | ||||
Corp. Revenue | 2.107% | 7/1/18 | 6,650 | 6,701 |
Florida Hurricane Catastrophe Fund Finance | ||||
Corp. Revenue | 2.995% | 7/1/20 | 8,100 | 8,232 |
George Washington University District of | ||||
Columbia GO | 3.485% | 9/15/22 | 5,700 | 5,896 |
126
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
George Washington University District of | |||||
Columbia GO | 4.300% | 9/15/44 | 1,900 | 1,990 | |
Georgia GO | 4.503% | 11/1/25 | 5,300 | 5,923 | |
Georgia Municipal Electric Power | |||||
Authority Revenue | 6.637% | 4/1/57 | 6,645 | 8,871 | |
Georgia Municipal Electric Power | |||||
Authority Revenue | 6.655% | 4/1/57 | 2,250 | 2,957 | |
Georgia Municipal Electric Power | |||||
Authority Revenue | 7.055% | 4/1/57 | 5,100 | 6,206 | |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 2,400 | 2,543 | |
Illinois GO | 4.511% | 3/1/15 | 3,350 | 3,373 | |
Illinois GO | 5.365% | 3/1/17 | 3,000 | 3,218 | |
Illinois GO | 5.665% | 3/1/18 | 5,000 | 5,494 | |
Illinois GO | 4.950% | 6/1/23 | 5,125 | 5,424 | |
Illinois GO | 5.100% | 6/1/33 | 38,940 | 38,857 | |
Illinois GO | 6.630% | 2/1/35 | 5,400 | 6,043 | |
Illinois GO | 6.725% | 4/1/35 | 3,250 | 3,633 | |
Illinois GO | 7.350% | 7/1/35 | 5,950 | 6,975 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 460 | 599 | |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 625 | 811 | |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 3,700 | 4,879 | |
JobsOhio Beverage System Statewide Liquor | |||||
Profits Revenue | 3.985% | 1/1/29 | 3,600 | 3,734 | |
JobsOhio Beverage System Statewide Liquor | |||||
Profits Revenue | 4.532% | 1/1/35 | 2,350 | 2,554 | |
Kansas Department of Transportation | |||||
Highway Revenue | 4.596% | 9/1/35 | 3,000 | 3,409 | |
12 | Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 1,525 | 1,778 | |
Kentucky Asset/Liability Commission General | |||||
Fund Revenue | 3.165% | 4/1/18 | 194 | 200 | |
La Paz County AZ Industrial Development | |||||
Authority Project Revenue (LCS Corrections | |||||
Services, Inc. Project) | 7.000% | 3/1/34 | 1,750 | 1,755 | |
Las Vegas Valley Water District Nevada GO | 7.013% | 6/1/39 | 650 | 710 | |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 3,050 | 4,324 | |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 5,000 | 7,385 | |
Los Angeles CA Department of Airports | |||||
International Airport Revenue | 6.582% | 5/15/39 | 450 | 590 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 5.716% | 7/1/39 | 850 | 1,081 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.008% | 7/1/39 | 2,400 | 3,056 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.166% | 7/1/40 | 600 | 699 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.574% | 7/1/45 | 5,215 | 7,526 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.603% | 7/1/50 | 500 | 736 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,800 | 2,222 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 7,190 | 9,120 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 1,150 | 1,603 | |
Los Angeles County CA Metropolitan | |||||
Transportation Authority Sales Tax Revenue | 5.735% | 6/1/39 | 2,200 | 2,762 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.488% | 8/1/33 | 1,700 | 2,260 |
127
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.618% | 8/1/40 | 850 | 1,236 | |
Maryland Transportation Authority Facilities | |||||
Projects Revenue | 5.888% | 7/1/43 | 800 | 1,044 | |
Massachusetts GO | 4.200% | 12/1/21 | 6,070 | 6,673 | |
Massachusetts GO | 5.456% | 12/1/39 | 5,250 | 6,589 | |
Massachusetts School Building Authority | |||||
Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 2,100 | 2,697 | |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 475 | 618 | |
Massachusetts Water Pollution Abatement | |||||
Trust Revenue | 5.192% | 8/1/40 | 2,415 | 2,804 | |
Metropolitan Government of Nashville & | |||||
Davidson County TN Convention Center | |||||
Authority Tourism Tax Revenue | 6.731% | 7/1/43 | 1,500 | 2,017 | |
Metropolitan Government of Nashville & | |||||
Davidson County TN GO | 5.707% | 7/1/34 | 1,000 | 1,181 | |
Metropolitan Washington DC/VA Airports | |||||
Authority Dulles Toll Road Revenue | 7.462% | 10/1/46 | 525 | 719 | |
Metropolitan Water District of Southern | |||||
California Revenue | 6.947% | 7/1/40 | 650 | 780 | |
Mississippi GO | 5.245% | 11/1/34 | 1,300 | 1,563 | |
Missouri Highways & Transportation | |||||
Commission Road Revenue | 5.445% | 5/1/33 | 600 | 731 | |
13 | New Jersey Economic Development | ||||
Authority Revenue (State Pension Funding) | 7.425% | 2/15/29 | 10,215 | 13,002 | |
New Jersey Transportation Trust Fund | |||||
Authority Transportation System Revenue | 5.754% | 12/15/28 | 7,080 | 8,081 | |
New Jersey Transportation Trust Fund | |||||
Authority Transportation System Revenue | 6.561% | 12/15/40 | 2,680 | 3,491 | |
14 | New Jersey Turnpike Authority Revenue | 4.252% | 1/1/16 | 70 | 70 |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 6,400 | 9,651 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 13,826 | 20,201 | |
New York City NY GO | 6.646% | 12/1/31 | 100 | 120 | |
New York City NY GO | 6.246% | 6/1/35 | 950 | 1,111 | |
New York City NY GO | 5.968% | 3/1/36 | 1,390 | 1,784 | |
New York City NY GO | 5.985% | 12/1/36 | 600 | 760 | |
New York City NY GO | 5.517% | 10/1/37 | 3,225 | 3,956 | |
New York City NY GO | 6.271% | 12/1/37 | 5,950 | 7,907 | |
New York City NY GO | 5.846% | 6/1/40 | 750 | 965 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.750% | 6/15/41 | 500 | 656 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.790% | 6/15/41 | 4,000 | 4,534 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.952% | 6/15/42 | 1,000 | 1,344 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 6.011% | 6/15/42 | 350 | 473 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 6.282% | 6/15/42 | 2,275 | 2,679 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.440% | 6/15/43 | 2,300 | 2,938 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.882% | 6/15/44 | 12,590 | 16,934 | |
New York City NY Transitional Finance | |||||
Authority Building Aid Revenue | 6.828% | 7/15/40 | 2,500 | 3,331 |
128
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
New York City NY Transitional Finance | |||||
Authority Future Tax Revenue | 5.767% | 8/1/36 | 750 | 940 | |
New York City NY Transitional Finance | |||||
Authority Future Tax Revenue | 5.508% | 8/1/37 | 3,300 | 4,110 | |
New York City NY Transitional Finance | |||||
Authority Future Tax Revenue | 5.572% | 11/1/38 | 1,000 | 1,249 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 4,950 | 7,566 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 400 | 528 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Transit Revenue) | 6.548% | 11/15/31 | 300 | 389 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Transit Revenue) | 5.871% | 11/15/39 | 975 | 1,217 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Transit Revenue) | 6.648% | 11/15/39 | 2,540 | 3,457 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Transit Revenue) | 6.668% | 11/15/39 | 5,825 | 8,013 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.500% | 3/15/30 | 3,745 | 4,484 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.289% | 3/15/33 | 1,250 | 1,483 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.628% | 3/15/39 | 900 | 1,123 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.389% | 3/15/40 | 750 | 947 | |
New York State Urban Development Corp. | |||||
Revenue (Personal Income Tax) | 5.770% | 3/15/39 | 2,375 | 2,930 | |
New York State Urban Development Corp. | |||||
Revenue (Personal Income Tax) | 5.838% | 3/15/40 | 650 | 819 | |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 1,850 | 1,874 | |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 3,050 | 3,734 | |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 4,525 | 6,574 | |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 1,575 | 1,923 | |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 5,456 | 5,939 | |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 3,400 | 3,672 | |
Ohio Water Development Authority Water | |||||
Pollution Control Loan Fund Revenue | 4.879% | 12/1/34 | 1,000 | 1,122 | |
Orange County CA Local Transportation | |||||
Authority Sales Tax Revenue | 6.908% | 2/15/41 | 650 | 927 | |
Oregon Department of Transportation | |||||
Highway User Tax Revenue | 5.834% | 11/15/34 | 1,050 | 1,363 | |
Oregon GO | 5.762% | 6/1/23 | 850 | 992 | |
Oregon GO | 5.892% | 6/1/27 | 1,125 | 1,397 | |
14 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 11,450 | 12,739 |
12 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 375 | 437 |
Pennsylvania GO | 4.650% | 2/15/26 | 2,015 | 2,228 | |
Pennsylvania GO | 5.350% | 5/1/30 | 3,000 | 3,326 | |
Pennsylvania Public School Building Authority | |||||
Lease Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 999 | 1,086 | |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 2,250 | 2,777 | |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 550 | 688 | |
Philadelphia PA Industrial Development Authority | |||||
City Service Agreement Revenue | 3.964% | 4/15/26 | 1,500 | 1,510 | |
Port Authority of New York & | |||||
New Jersey Revenue | 6.040% | 12/1/29 | 850 | 1,097 |
129
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Port Authority of New York & | ||||
New Jersey Revenue | 5.647% | 11/1/40 | 4,950 | 6,115 |
Port Authority of New York & | ||||
New Jersey Revenue | 5.647% | 11/1/40 | 4,800 | 5,930 |
Port Authority of New York & | ||||
New Jersey Revenue | 4.960% | 8/1/46 | 5,625 | 6,417 |
Port Authority of New York & | ||||
New Jersey Revenue | 5.310% | 8/1/46 | 3,350 | 3,665 |
Port Authority of New York & | ||||
New Jersey Revenue | 4.926% | 10/1/51 | 7,465 | 8,525 |
Port Authority of New York & | ||||
New Jersey Revenue | 4.458% | 10/1/62 | 10,550 | 11,134 |
President & Fellows of Harvard College | ||||
Massachusetts GO | 4.875% | 10/15/40 | 2,925 | 3,550 |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 3,400 | 3,812 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 1,650 | 2,188 |
Regional Transportation District of Colorado | ||||
Sales Tax Revenue | 5.844% | 11/1/50 | 1,550 | 2,155 |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 2,900 | 3,674 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 4.839% | 1/1/41 | 750 | 891 |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 1,500 | 2,006 |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 1,175 | 1,530 |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 6,950 | 9,237 |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 1,360 | 1,504 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.594% | 7/1/43 | 2,375 | 2,689 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 1,470 | 2,010 |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 3,265 | 4,435 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.000% | 11/1/40 | 1,600 | 2,094 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.950% | 11/1/50 | 5,750 | 8,517 |
Santa Clara Valley CA Transportation Authority | ||||
Sales Tax Revenue | 5.876% | 4/1/32 | 3,355 | 4,072 |
Sonoma County CA Pension Obligation Revenue | 6.000% | 12/1/29 | 775 | 912 |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 6,625 | 9,133 |
Stanford University California GO | 4.250% | 5/1/16 | 1,250 | 1,305 |
Texas GO | 5.517% | 4/1/39 | 6,590 | 8,678 |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 750 | 874 |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,850 | 4,619 |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 4,300 | 4,913 |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 1,375 | 1,614 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 4,700 | 5,114 |
University of California Regents General Revenue | 4.601% | 5/15/31 | 12,830 | 14,079 |
University of California Regents Medical | ||||
Center Revenue | 6.548% | 5/15/48 | 1,675 | 2,302 |
University of California Regents Medical | ||||
Center Revenue | 6.583% | 5/15/49 | 1,055 | 1,452 |
University of California Revenue | 1.796% | 7/1/19 | 1,560 | 1,544 |
University of California Revenue | 5.770% | 5/15/43 | 5,790 | 7,425 |
University of California Revenue | 5.946% | 5/15/45 | 4,950 | 6,330 |
University of California Revenue | 4.858% | 5/15/12 | 5,125 | 5,435 |
University of Massachusetts Building | ||||
Authority Revenue | 5.450% | 11/1/40 | 600 | 724 |
130
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
University of Southern California GO | 5.250% | 10/1/11 | 1,800 | 2,434 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.262% | 7/1/39 | 5,214 | 6,512 |
University of Texas System Revenue Financing | ||||
System Revenue | 6.276% | 8/15/41 | 525 | 602 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.134% | 8/15/42 | 150 | 184 |
University of Texas System Revenue Financing | ||||
System Revenue | 4.794% | 8/15/46 | 1,665 | 1,972 |
University of Virginia Revenue | 6.200% | 9/1/39 | 1,000 | 1,427 |
Utah GO | 4.554% | 7/1/24 | 1,300 | 1,462 |
Utah GO | 3.539% | 7/1/25 | 4,300 | 4,531 |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 3,875 | 5,141 |
Virginia Commonwealth Transportation | ||||
Board Revenue | 5.350% | 5/15/35 | 730 | 869 |
Washington GO | 5.090% | 8/1/33 | 3,825 | 4,465 |
Washington GO | 5.481% | 8/1/39 | 270 | 338 |
Washington GO | 5.140% | 8/1/40 | 1,920 | 2,343 |
12 Wisconsin GO | 5.700% | 5/1/26 | 3,020 | 3,575 |
Total Taxable Municipal Bonds (Cost $773,194) | 889,441 | |||
Shares | ||||
Temporary Cash Investment (5.0%) | ||||
Money Market Fund (5.0%) | ||||
15 Vanguard Market Liquidity Fund | ||||
(Cost $4,536,470) | 0.126% | 4,536,469,517 | 4,536,470 | |
Total Investments (104.4%) (Cost $92,333,400) | 94,702,998 | |||
Other Assets and Liabilities (-4.4%) | ||||
Other Assets | 2,185,283 | |||
Liabilities | (6,135,644) | |||
(3,950,361) | ||||
Net Assets (100%) | 90,752,637 | |||
Amount | ||||
($000) | ||||
Statement of Assets and Liabilities | ||||
Assets | ||||
Investments in Securities, at Value | ||||
Unaffiliated Issuers | 90,166,528 | |||
Affiliated Vanguard Funds | 4,536,470 | |||
Total Investment in Securities | 94,702,998 | |||
Receivables for Investment Securities Sold | 869,837 | |||
Other Assets | 1,315,446 | |||
Total Assets | 96,888,281 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | 6,005,896 | |||
Other Liabilities | 129,748 | |||
Total Liabilities | 6,135,644 | |||
Net Assets | 90,752,637 |
131
Total Bond Market II Index Fund | |
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 88,340,874 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 42,165 |
Unrealized Appreciation (Depreciation) | 2,369,598 |
Net Assets | 90,752,637 |
Investor Shares—Net Assets | |
Applicable to 5,006,928,141 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 54,267,682 |
Net Asset Value Per Share—Investor Shares | $10.84 |
Institutional Shares—Net Assets | |
Applicable to 3,366,153,977 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 36,484,955 |
Net Asset Value Per Share—Institutional Shares | $10.84 |
• See Note A in Notes to Financial Statements.
† Securities with a value of $190,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
1 U.S. government guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2014.
6 Adjustable-rate security.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $313,630,000, representing 0.3% of net assets.
8 Guaranteed by the Government of Canada.
9 Guaranteed by the Government of Japan.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Republic of Austria.
12 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
13 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
14 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
132
Total Bond Market II Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,909,400 |
Total Income | 1,909,400 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,870 |
Management and Administrative—Investor Shares | 37,681 |
Management and Administrative—Institutional Shares | 7,362 |
Marketing and Distribution—Investor Shares | 11,769 |
Marketing and Distribution—Institutional Shares | 6,669 |
Custodian Fees | 847 |
Auditing Fees | 43 |
Shareholders’ Reports—Investor Shares | 3 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 56 |
Total Expenses | 66,301 |
Net Investment Income | 1,843,099 |
Realized Net Gain (Loss) on Investment Securities Sold | 302,470 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,448,655 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,594,224 |
1 Interest income from an affiliated company of the fund was $5,335,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
133
Total Bond Market II Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,843,099 | 1,400,697 |
Realized Net Gain (Loss) | 302,470 | 499,456 |
Change in Unrealized Appreciation (Depreciation) | 2,448,655 | (3,193,047) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,594,224 | (1,292,894) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (1,147,785) | (948,041) |
Institutional Shares | (695,314) | (452,656) |
Realized Capital Gain1 | ||
Investor Shares | (123,015) | (59,345) |
Institutional Shares | (80,330) | (26,449) |
Total Distributions | (2,046,444) | (1,486,491) |
Capital Share Transactions | ||
Investor Shares | 5,148,025 | 3,624,042 |
Institutional Shares | 10,467,385 | 7,282,749 |
Net Increase (Decrease) from Capital Share Transactions | 15,615,410 | 10,906,791 |
Total Increase (Decrease) | 18,163,190 | 8,127,406 |
Net Assets | ||
Beginning of Period | 72,589,447 | 64,462,041 |
End of Period | 90,752,637 | 72,589,447 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $146,408,000 and $6,546,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
134
Total Bond Market II Index Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.49 | $10.97 | $10.87 | $10.50 | $10.26 |
Investment Operations | |||||
Net Investment Income | .242 | .221 | .253 | .315 | .345 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | . 375 | (.467) | .168 | .470 | .308 |
Total from Investment Operations | .617 | (. 246) | . 421 | .785 | .653 |
Distributions | |||||
Dividends from Net Investment Income | (. 242) | (. 221) | (. 253) | (. 315) | (. 345) |
Distributions from Realized Capital Gains | (. 025) | (. 013) | (. 068) | (.100) | (. 068) |
Total Distributions | (.267) | (. 234) | (. 321) | (. 415) | (. 413) |
Net Asset Value, End of Period | $10.84 | $10.49 | $10.97 | $10.87 | $10.50 |
Total Return1 | 5.93% | -2.26% | 3.91% | 7.59% | 6.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $54,268 | $47,497 | $45,758 | $35,626 | $27,807 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.26% | 2.07% | 2.29% | 2.94% | 3.25% |
Portfolio Turnover Rate 3 | 108%2 | 111%2 | 102%2 | 134%2 | 105%2 |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Includes 56%, 52%, 53%, 41%, and 31% attributable to mortgage-dollar-roll activity. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
135
Total Bond Market II Index Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.49 | $10.97 | $10.87 | $10.50 | $10.26 |
Investment Operations | |||||
Net Investment Income | .248 | .228 | .261 | .322 | .350 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | . 375 | (.467) | .168 | .470 | .308 |
Total from Investment Operations | .623 | (. 239) | .429 | .792 | .658 |
Distributions | |||||
Dividends from Net Investment Income | (. 248) | (. 228) | (. 261) | (. 322) | (. 350) |
Distributions from Realized Capital Gains | (. 025) | (. 013) | (. 068) | (.100) | (. 068) |
Total Distributions | (.273) | (. 241) | (. 329) | (. 422) | (. 418) |
Net Asset Value, End of Period | $10.84 | $10.49 | $10.97 | $10.87 | $10.50 |
Total Return | 5.99% | -2.20% | 3.99% | 7.67% | 6.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $36,485 | $25,093 | $18,704 | $14,403 | $10,629 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.31% | 2.14% | 2.36% | 3.01% | 3.30% |
Portfolio Turnover Rate 2 | 108%1 | 111%1 | 102%1 | 134%1 | 105%1 |
1 Includes 56%, 52%, 53%, 41%, and 31% attributable to mortgage-dollar-roll activity. | |||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
136
Total Bond Market II Index Fund
Notes to Financial Statements
Vanguard Total Bond Market II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for Vanguard funds-of-funds as well as certain similar trusts and accounts (“eligible investors”). The fund is not available to other investors. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At December 31, 2014, counterparties had deposited in segregated accounts securities and cash with a value of $1,541,000 in connection with TBA transactions.
137
Total Bond Market II Index Fund
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
138
Total Bond Market II Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $8,424,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 3.37% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 58,876,869 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,606,843 | — |
Corporate Bonds | — | 22,673,140 | — |
Sovereign Bonds | — | 5,120,235 | — |
Taxable Municipal Bonds | — | 889,441 | — |
Temporary Cash Investments | 4,536,470 | — | — |
Total | 4,536,470 | 90,166,528 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $13,065,000 from accumulated net realized gains to paid-in capital.
The fund used capital loss carryforwards of $35,076,000 to offset taxable capital gains realized during the year ended December 31, 2014, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. For tax purposes, at December 31, 2014, the fund had $45,276,000 of short-term capital gains and $21,385,000 of long-term capital gains available for distribution. Short-term gain distributions are treated as ordinary income for tax purposes.
139
Total Bond Market II Index Fund
At December 31, 2014, the cost of investment securities for tax purposes was $92,357,896,000. Net unrealized appreciation of investment securities for tax purposes was $2,345,102,000, consisting of unrealized gains of $2,603,641,000 on securities that had risen in value since their purchase and $258,539,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2014, the fund purchased $11,111,334,000 of investment securities and sold $3,851,404,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $91,127,855,000 and $83,117,327,000, respectively.
F. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 13,057,518 | 1,216,679 | 16,469,680 | 1,533,565 | |
Issued in Lieu of Cash Distributions | 1,270,717 | 118,032 | 1,007,385 | 94,089 | |
Redeemed | (9,180,210) | (853,737) | (13,853,023) | (1,271,087) | |
Net Increase (Decrease)—Investor Shares | 5,148,025 | 480,974 | 3,624,042 | 356,567 | |
Institutional Shares | |||||
Issued | 13,689,756 | 1,274,493 | 10,572,975 | 990,066 | |
Issued in Lieu of Cash Distributions | 775,644 | 72,023 | 479,105 | 44,814 | |
Redeemed | (3,998,015) | (371,581) | (3,769,331) | (347,979) | |
Net Increase (Decrease) —Institutional Shares | 10,467,385 | 974,935 | 7,282,749 | 686,901 |
At December 31, 2014, several Vanguard funds and trusts managed by Vanguard or its affiliates were each a record or beneficial owner of the fund, and had combined ownership of 70% of the fund’s net assets.
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
140
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Total Bond Market II Index Fund:
In our opinion, the accompanying statement of net assets, statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Bond Market II Index Fund (constituting a separate portfolio of Vanguard Bond Index Funds, hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years for the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of Vanguard the transfer agent and the application of alternative auditing procedures where securities purchased had been not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 18, 2015
Special 2014 tax information (unaudited) for Vanguard Total Bond Market II Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $60,726,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 84.7% of income dividends are interest-related dividends.
141
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
142
Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Bond Market II Index Fund | 6/30/2014 | 12/31/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,019.27 | $0.51 |
Institutional Shares | 1,000.00 | 1,019.53 | 0.25 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.10% for Investor Shares and 0.05% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. | |||
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays using ratings generally derived from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating is shown.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
144
Benchmark Information
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
Spliced Core Bond Funds Average: Intermediate Investment-Grade Debt Funds Average through August 31, 2013; Core Bond Funds Average thereafter.
Vanguard Total Bond Market II Index Fund is not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the fund or any member of the public regarding the advisability of investing in securities generally or in the fund particularly or the ability of the Barclays index to track general bond market performance. Barclays has not passed on the legality or suitability of the fund with respect to any person or entity. Barclays’ only relationship to Vanguard and the fund is the licensing of the Barclays index, which is determined, composed, and calculated by Barclays without regard to Vanguard or the fund or any owners or purchasers of the fund. Barclays has no obligation to take the needs of Vanguard, the fund, or the owners of the fund into consideration in determining, composing, or calculating the Barclays index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the fund.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the index or any data included therein or for interruptions in the delivery of the index. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the fund or any other person or entity from the use of the index or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. Aggregate Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to the index. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the index or any data included therein.
146
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 177 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q6350 022015 |
Annual Report | December 31, 2014
Vanguard Inflation-Protected Securities Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 9 |
Fund Profile. | 12 |
Performance Summary. | 13 |
Financial Statements. | 15 |
About Your Fund’s Expenses. | 29 |
Glossary. | 31 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Inflation-Protected Securities Fund | ||||
Investor Shares | 0.19% | 2.15% | 1.68% | 3.83% |
Admiral™ Shares | 0.29 | 2.26 | 1.71 | 3.97 |
Institutional Shares | 0.32 | 2.29 | 1.78 | 4.07 |
Barclays U.S. Treasury Inflation Protected | ||||
Securities Index | 3.64 | |||
Inflation-Protected Bond Funds Average | 1.68 | |||
Inflation-Protected Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Your Fund’s Performance at a Glance | ||||
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Inflation-Protected Securities Fund | ||||
Investor Shares | $12.98 | $13.18 | $0.281 | $0.016 |
Admiral Shares | 25.47 | 25.87 | 0.581 | 0.031 |
Institutional Shares | 10.37 | 10.54 | 0.239 | 0.013 |
1
Chairman’s Letter
Dear Shareholder,
The Investor Shares of Vanguard Inflation-Protected Securities Fund returned 3.83% for the fiscal year ended December 31, 2014. Returns for Admiral and Institutional Shares were slightly higher. The fund’s returns were slightly ahead of the 3.64% result of its benchmark, the Barclays U.S. Treasury Inflation Protected Securities Index, and surpassed the 1.68% average return of its peer group.
After the fund recorded its worst result ever in 2013, it returned to positive territory in 2014 as fixed income investments attracted greater investor interest. The prices of Treasury InflationProtected Securities (TIPS) rose in the first half of the year. However, worries that the rate of inflation was slowing pushed TIPS prices back in the second half. Because bond prices and yields move in opposite directions, the SEC yield of the fund’s Investor Shares rose slightly to end the year at 0.19%.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks, along with global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. taxable bond market returned 5.97% for the 12 months.
Even with the Federal Reserve paring back its bond purchases, prices climbed and yields fell. The yield of the 10year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
As for money market funds and savings accounts, their returns remain minuscule, as the Fed’s target for shortterm interest rates remained between 0% and 0.25%.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over high stock valuations.
Although the Fed ended its stimulative bondbuying program in October, investors seemed to be reassured by its stance that it would be “patient” as it decides when to increase shortterm interest rates. Other central banks—including the Bank
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
of Japan, the European Central Bank, and the People’s Bank of China—also announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emergingmarket stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
The bond rally helped TIPS even as inflation eased
Two trends notably influenced the TIPS market in 2014: Investors bid up bond prices for a variety of reasons, while at the same time, inflation expectations remained tame. The Consumer Price Index (CPI) rose only 0.76% as prices fell for many commodities, particularly oil. The core CPI, which excludes volatile food and energy prices, stayed relatively steady at 1.6%, below the Fed’s 2% target.
The easing of inflation expectations was signaled clearly by the “breakeven inflation rate”—the difference in yields between conventional and inflationprotected Treasury bonds. At the start of 2014, according to this measure, investors expected inflation to average slightly more than 2% annually over the next five years. Twelve months later, the expected rate had declined to about 1.4%.
With signs that the rate of inflation was slowing in many parts of the world as the year progressed, the inflation protection
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
Investor | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Average | |
Inflation-Protected Securities Fund | 0.20% | 0.10% | 0.07% | 0.77% |
The fund expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the fund’s expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2013. | ||||
Peer group: Inflation-Protected Bond Funds.
4
provided by TIPS was less desirable. Consequently, as prices fell a bit, the fund’s “real” SEC yield—representing the annualized income before any inflation adjustment—rose slightly from –0.04% to 0.19% for Investor Shares.
Vanguard InflationProtected Securities Fund’s positive total return stood in contrast to the –1.29% return for the Investor Shares of the fund’s counterpart, Vanguard ShortTerm InflationProtected Securities Index Fund. The difference reflects your fund’s higher yield and the fact that shortterm TIPS declined in price to a greater degree in 2014. Of course, your fund’s longer average maturity and higher return potential comes with the probability that it will experience greater price volatility over the long term.
A note on the fund’s distributions this year
In September, we announced that the fund did not pay out its thirdquarter dividend, the first time it had skipped a quarterly distribution since 2009. This was done to reduce the possibility that its quarterly income distributions would be reclassified as a return of capital, a potential recordkeeping headache for shareholders in taxable accounts. This risk is greatest during periods of deflation, low or slowing inflation, and low or negative yields on inflationindexed securities, conditions that have characterized the TIPS market for much of the past few years.
Total Returns | |
Ten Years Ended December 31, 2014 | |
Average | |
Annual Return | |
Inflation-Protected Securities Fund Investor Shares | 4.15% |
Barclays U.S. Treasury Inflation Protected Securities Index | 4.37 |
Inflation-Protected Bond Funds Average | 3.36 |
Inflation-Protected Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
5
The fund’s advisor offers a more detailed discussion of the investment environment in the Advisor’s Report that follows this letter.
Over the long term, the fund has proven itself
The average annual return of the fund’s Investor Shares over the decade ended December 31, 2014, was 4.15%, slightly behind its index but well ahead of peer funds. The record is a credit to the experienced navigation of the fund’s advisor, Vanguard Fixed Income Group, which had to steer the fund through a variety of unusual conditions, including the 2008–2009 financial crisis that triggered historic market volatility.
The fund was helped by its low expenses, which allow shareholders to keep more of the fund’s return. Cost efficiency also means the fund can forgo extra risks that highercost funds often must take to compete against lowercost rivals.
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below longrun historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average afterinflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and longterm discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.
6
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• Goals. Create clear, appropriate investment goals.
• Balance. Develop a suitable asset allocation using broadly diversified funds.
• Cost. Minimize cost.
• Discipline. Maintain perspective and longterm discipline.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios
unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
7
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your longterm financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 21, 2015
8
Advisor’s Report
For the 12 months ended December 31, 2014, Investor Shares of Vanguard InflationProtected Securities Fund returned 3.83%. The fund’s result was slightly ahead of the 3.64% return of its benchmark, the Barclays U.S. Treasury Inflation Protected Securities Index, and well ahead of the 1.68% average return of peergroup funds.
The investment environment
The year provided both opportunities and challenges for the team managing your fund. The labor market continued to expand even though harsh winter weather slowed economic growth early in the year. Commodity prices held firm in the first half of the year, helping the headline inflation rate of 1.5%, based on the Consumer Price Index for All Urban Consumers (NonSeasonally Adjusted). The CPIU NSA is the measure for imputed inflation accrued to the Treasury InflationProtected Securities (TIPS) in your fund.
Interest rates and breakeven inflation rates rose in the early part of the year as participants were relatively upbeat about prospects for the U.S. economy and inflation. The U.S. dollar rallied throughout the year as the Federal Reserve indicated its preference to move off its emergency federal funds rate of 0%–0.25% by mid2015. This divergence between the Fed’s position and the indications of easier monetary policies to be pursued by the central banks in economies such as China, Europe, and Japan added to the dollar’s strength.
Yields of U.S. Treasury Inflation-Protected Securities | |||
(Real Yields) | |||
December 31, | June 30, | December 31, | |
Maturity | 2013 | 2014 | 2014 |
2 years | 1.22% | 1.35% | 0.37% |
3 years | 0.91 | 1.09 | 0.03 |
5 Years | 0.35 | 0.48 | 0.28 |
7 Years | 0.17 | 0.14 | 0.43 |
10 Years | 0.77 | 0.25 | 0.57 |
20 Years | 1.34 | 0.73 | 0.70 |
30 Years | 1.63 | 1.00 | 0.87 |
Source: Vanguard. |
9
The U.S. dollar’s appreciation modestly dampened inflation expectations for much of the year and attracted foreign capital to the U.S. bond market. U.S. break-even inflation expectations for a 10-year horizon appeared to be capped at 2.30% for the first half of 2014 despite rising expectations for a tightening of the labor market, which could lead to an upturn in wages.
By midyear, global growth slowed. Commodities prices, particularly those in the energy sector, began to decline sharply. Between June and December, oil prices fell over 50%, which had a dramatic impact on the U.S. inflation outlook and the bonds in your fund.
The market environment
The CPI-U NSA for the second half of the year fell to a 0.15% growth rate, more than 1 percentage point lower than in the first half. Interest rates also declined. The 10-year TIPS yield fell to just 0.14% (excluding inflation compensation) as the flight to the U.S. bond market continued ahead of renewed easing at the end of the year from the central banks of China, Japan, and the Eurozone. Break-even inflation spreads sharply narrowed; the 10-year spread declined to just 1.53% in December—the lowest level since 2008. While the Fed initially dismissed the move in break-even inflation spreads as a sign of the deterioration in inflation compensation, the futures market signaled investors’ belief that the Fed would not meet its long-term inflation target of 2%. Yet, as we closed the year, the Fed was still committed to raising rates sometime in 2015.
With oil prices declining rapidly, projections of inflation accretion for the second half of the year were beginning to turn negative (or, deflationary) for that period. We took this into consideration when deciding to skip the fund’s third-quarter dividend payment, the first time the fund has skipped a dividend payment since 2009. This was done to reduce the possibility that we would have distributed a return of capital for the year, a recordkeeping nightmare for shareholders of taxable accounts. Unfortunately, the low (and even negative) interest rate environment, coupled with low inflation, signals that this risk is likely to persist in the TIPS market until either rates or inflation rise significantly.
Our team took a negative view of inflation expectations midyear and overweighted nominal U.S. Treasuries, along with a reasonable cash holding, into year-end. Normal year-end liquidity constraints and the backdrop of a declining accrual of inflation compensation from TIPS prompted these strategies. In addition, the strategic real yield curve flattened (that is, the spread narrowed between short-dated and long-dated TIPS yields), helping to generate the fund’s 3.83% total return.
10
The outlook
As we look ahead to 2015, we are attempting to ascertain the spillover effects of lower energy prices. The U.S. growth trajectory remains quite positive, as lower gasoline prices act as a tax cut for consumers. While headline CPI is expected to be low and potentially deflationary in the first half of 2015, the expected higher energy prices indicated in the futures market and sustained positive readings on home prices, along with service sector inflation, suggest only a small deflationary effect on core inflation readings. These readings are the Fed’s benchmark and, of course, a severe deterioration in core inflation would be likely to delay the first federal funds rate hike.
Vanguard’s economic team anticipates an inflation backdrop similar to that of recent years, with inflation likely to be between 1% and 3% over the mediumterm horizon. Consequently, we anticipate a return to a low but positive headline inflation rate late in 2015.
The Fed remains committed to raising rates in 2015 given the strong performance of the U.S. economy, but we anticipate a slow rise in interest rates as the global growth and slowing inflation backdrop may constrain the Fed. The labor market continues to heal, with the unemployment rate falling near the range of 5%–5.5%, the Fed’s perceived range for full employment. Given that this measurement is imprecise, it is difficult to predict when we may see acceleration in wage inflation. The TIPS market will remain vigilant for incipient signs of inflation acceleration, as well as signs of slowing global inflation spilling over more aggressively to the United States.
Strategies deployed in the fund in 2014 are likely to be sustained in 2015, although the team will remain very tactical should conditions shift demonstrably.
Gemma WrightCasparius, Principal
Vanguard Fixed Income Group
January 22, 2015
11
Inflation-Protected Securities Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | Institutional | |
Shares | Shares | Shares | |
Ticker Symbol | VIPSX | VAIPX | VIPIX |
Expense Ratio1 | 0.20% | 0.10% | 0.07% |
30-Day SEC Yield2 | 0.19% | 0.29% | 0.32% |
Financial Attributes | |||
Barclays | |||
Inflation | Barclays | ||
Protected | Aggregate | ||
Securities | Bond | ||
Fund | Index | Index | |
Number of Bonds | 46 | 35 | 9,054 |
Yield to Maturity | |||
(before expenses) | 2.0% | 2.0% | 2.3% |
Average Coupon | 1.0% | 1.0% | 3.3% |
Average Duration | 7.9 years | 7.8 years | 5.6 years |
Average Effective | |||
Maturity | 8.6 years | 8.4 years | 7.6 years |
Short-Term | |||
Reserves | 2.6% | — | — |
Sector Diversification (% of portfolio) | |
Treasury/Agency | 97.4% |
Other | 2.6 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government. | |
Volatility Measures | ||
Barclays | ||
Inflation | Barclays | |
Protected | Aggregate | |
Securities | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.85 |
Beta | 1.01 | 1.84 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 2.6% |
1 - 3 Years | 14.1 |
3 - 5 Years | 15.2 |
5 - 10 Years | 39.4 |
10 - 20 Years | 20.5 |
20 - 30 Years | 8.2 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 97.4% |
Aaa | 2.6 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated April 29, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares.
2 Yields of inflation-protected securities tend to be lower than those of bonds, because the former do not incorporate market expectations about inflation. The principal amounts—and thus the interest payments—of inflation-protected securities are adjusted over time to reflect inflation.
12
Inflation-Protected Securities Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Investor Shares | 3.83% | 3.95% | 4.15% | $15,024 |
••••••••Barclays U.S. Treasury Inflation | ||||
Protected Securities Index | 3.64 | 4.11 | 4.37 | 15,341 |
– – – – Inflation-Protected Bond Funds Average | 1.68 | 3.22 | 3.36 | 13,911 |
5.97 | 4.45 | 4.71 | 15,842 | |
Inflation-Protected Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Since | Final Value | |||
One | Five | Inception | of a $50,000 | |
Year | Years | (6/10/2005) | Investment | |
Inflation-Protected Securities Fund Admiral | ||||
Shares | 3.97% | 4.06% | 4.27% | $74,539 |
Barclays U.S. Treasury Inflation Protected | ||||
Securities Index | 3.64 | 4.11 | 4.38 | 75,336 |
Barclays U.S. Aggregate Bond Index | 5.97 | 4.45 | 4.73 | 77,780 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
13
Inflation-Protected Securities Fund
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Inflation-Protected Securities Fund | ||||
Institutional Shares | 4.07% | 4.10% | 4.30% | $7,615,604 |
Barclays U.S. Treasury Inflation Protected | ||||
Securities Index | 3.64 | 4.11 | 4.37 | 7,670,710 |
Barclays U.S. Aggregate Bond Index | 5.97 | 4.45 | 4.71 | 7,921,169 |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014 | ||||
Barclays | ||||
Inflation | ||||
Protected | ||||
Securities | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 5.44% | -2.85% | 2.59% | 2.84% |
2006 | 3.40 | -2.97 | 0.43 | 0.41 |
2007 | 5.90 | 5.69 | 11.59 | 11.63 |
2008 | 4.62 | -7.47 | -2.85 | -2.35 |
2009 | 1.86 | 8.94 | 10.80 | 11.41 |
2010 | 2.58 | 3.59 | 6.17 | 6.31 |
2011 | 4.56 | 8.68 | 13.24 | 13.56 |
2012 | 2.62 | 4.16 | 6.78 | 6.98 |
2013 | 1.47 | -10.39 | -8.92 | -8.61 |
2014 | 2.15 | 1.68 | 3.83 | 3.64 |
14
Inflation-Protected Securities Fund
Financial Statements
Statement of Net Assets
As of December 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (97.2%) | |||||
U.S. Government Securities (97.2%) | |||||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/16 | 994,281 | 1,066,010 | |
United States Treasury Inflation Indexed Bonds | 2.500% | 7/15/16 | 419,098 | 513,670 | |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/17 | 344,759 | 426,014 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/17 | 1,147,693 | 1,201,060 | |
United States Treasury Inflation Indexed Bonds | 2.625% | 7/15/17 | 209,040 | 256,951 | |
United States Treasury Inflation Indexed Bonds | 1.625% | 1/15/18 | 342,915 | 407,103 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/18 | 1,316,521 | 1,348,451 | |
United States Treasury Inflation Indexed Bonds | 1.375% | 7/15/18 | 276,795 | 319,388 | |
United States Treasury Inflation Indexed Bonds | 2.125% | 1/15/19 | 343,097 | 408,416 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/19 | 802,730 | 805,898 | |
United States Treasury Inflation Indexed Bonds | 1.875% | 7/15/19 | 382,876 | 457,757 | |
United States Treasury Inflation Indexed Bonds | 1.375% | 1/15/20 | 477,584 | 551,168 | |
United States Treasury Inflation Indexed Bonds | 1.250% | 7/15/20 | 741,410 | 849,065 | |
United States Treasury Inflation Indexed Bonds | 1.125% | 1/15/21 | 845,199 | 955,505 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 7/15/21 | 923,801 | 988,086 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/22 | 1,024,171 | 1,048,032 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/22 | 1,071,719 | 1,081,289 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 1,084,030 | 1,081,970 | |
1 | United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/23 | 1,081,936 | 1,095,058 |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/24 | 1,082,956 | 1,111,295 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/24 | 1,068,471 | 1,033,032 | |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/25 | 612,151 | 908,661 | |
United States Treasury Inflation Indexed Bonds | 2.000% | 1/15/26 | 456,627 | 628,187 | |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/27 | 350,247 | 494,973 | |
United States Treasury Inflation Indexed Bonds | 1.750% | 1/15/28 | 360,466 | 463,939 | |
United States Treasury Inflation Indexed Bonds | 3.625% | 4/15/28 | 247,675 | 501,351 | |
United States Treasury Inflation Indexed Bonds | 2.500% | 1/15/29 | 375,270 | 517,199 | |
United States Treasury Inflation Indexed Bonds | 3.875% | 4/15/29 | 303,542 | 629,524 | |
United States Treasury Inflation Indexed Bonds | 3.375% | 4/15/32 | 118,629 | 225,851 | |
United States Treasury Inflation Indexed Bonds | 2.125% | 2/15/40 | 196,456 | 281,227 | |
United States Treasury Inflation Indexed Bonds | 2.125% | 2/15/41 | 252,858 | 360,081 | |
United States Treasury Inflation Indexed Bonds | 0.750% | 2/15/42 | 458,145 | 470,872 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 2/15/43 | 344,255 | 336,577 | |
United States Treasury Inflation Indexed Bonds | 1.375% | 2/15/44 | 572,035 | 664,815 | |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 140,200 | 136,673 | |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 160,000 | 163,026 | |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 151,000 | 152,557 |
15
Inflation-Protected Securities Fund
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 41,000 | 41,071 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 44,000 | 44,791 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 93,000 | 93,654 |
Total U.S. Government and Agency Obligations (Cost $23,244,814) | 24,120,247 | |||
Shares | ||||
Temporary Cash Investment (2.6%) | ||||
Money Market Fund (2.6%) | ||||
2 Vanguard Market Liquidity Fund (Cost $653,174) | 0.126% | 653,173,977 | 653,174 | |
Expiration Date | Contracts | |||
Options on Futures Purchased (0.0%) | ||||
Put Options on 5-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $118.75 | ||||
(Cost $2,699) | 2/20/15 | 3,701 | 1,822 | |
Total Investments (99.8%) (Cost $23,900,687) | 24,775,243 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.00 | 1/23/15 | 622 | (321) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.50 | 1/23/15 | 621 | (204) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.50 | 1/23/15 | 419 | (59) | |
Call Options on 5-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $119.75 | 2/20/15 | 3,701 | (983) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.50 | 1/23/15 | 419 | (196) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 1/23/15 | 621 | (107) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 1/23/15 | 622 | (58) | |
Put Options on 5-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $117.75 | 2/20/15 | 3,701 | (723) | |
Total Liability for Options Written (Premiums received $3,557) | (2,651) | |||
Other Assets and Liabilities (0.2%) | ||||
Other Assets | 201,564 | |||
Other Liabilities | (142,298) | |||
59,266 | ||||
Net Assets (100%) | 24,831,858 |
16
Inflation-Protected Securities Fund
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 23,988,288 |
Overdistributed Net Investment Income | (33,115) |
Accumulated Net Realized Gains | 1,908 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 875,433 |
Futures Contracts | (685) |
Options on Futures Contracts | 29 |
Net Assets | 24,831,858 |
Investor Shares—Net Assets | |
Applicable to 425,272,811 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,604,219 |
Net Asset Value Per Share—Investor Shares | $13.18 |
Admiral Shares—Net Assets | |
Applicable to 416,691,411 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,778,247 |
Net Asset Value Per Share—Admiral Shares | $25.87 |
Institutional Shares—Net Assets | |
Applicable to 801,944,707 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,449,392 |
Net Asset Value Per Share—Institutional Shares | $10.54 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $8,075,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Inflation-Protected Securities Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 575,332 |
Total Income | 575,332 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,473 |
Management and Administrative—Investor Shares | 10,359 |
Management and Administrative—Admiral Shares | 7,900 |
Management and Administrative—Institutional Shares | 3,374 |
Marketing and Distribution—Investor Shares | 1,308 |
Marketing and Distribution—Admiral Shares | 1,859 |
Marketing and Distribution—Institutional Shares | 1,826 |
Custodian Fees | 137 |
Auditing Fees | 38 |
Shareholders’ Reports—Investor Shares | 151 |
Shareholders’ Reports—Admiral Shares | 66 |
Shareholders’ Reports—Institutional Shares | 76 |
Trustees’ Fees and Expenses | 20 |
Total Expenses | 29,587 |
Net Investment Income | 545,745 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 167,659 |
Futures Contracts | (40,589) |
Options on Futures Contracts | 1,313 |
Realized Net Gain (Loss) | 128,383 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 348,413 |
Futures Contracts | (482) |
Options on Futures Contracts | 29 |
Change in Unrealized Appreciation (Depreciation) | 347,960 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,022,088 |
1 Interest income from an affiliated company of the fund was $302,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Inflation-Protected Securities Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 545,745 | 494,693 |
Realized Net Gain (Loss) | 128,383 | 1,269,050 |
Change in Unrealized Appreciation (Depreciation) | 347,960 | (4,899,067) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,022,088 | (3,135,324) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (123,813) | (118,821) |
Admiral Shares | (238,998) | (211,386) |
Institutional Shares | (191,999) | (173,452) |
Realized Capital Gain1 | ||
Investor Shares | (6,797) | (47,339) |
Admiral Shares | (12,806) | (48,826) |
Institutional Shares | (10,264) | (38,147) |
Total Distributions | (584,677) | (637,971) |
Capital Share Transactions | ||
Investor Shares | (1,090,021) | (8,462,840) |
Admiral Shares | (396,341) | (3,445,883) |
Institutional Shares | (620,855) | (2,394,098) |
Net Increase (Decrease) from Capital Share Transactions | (2,107,217) | (14,302,821) |
Total Increase (Decrease) | (1,669,806) | (18,076,116) |
Net Assets | ||
Beginning of Period | 26,501,664 | 44,577,780 |
End of Period2 | 24,831,858 | 26,501,664 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $8,954,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($33,115,000) and $79,947,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
19
Inflation-Protected Securities Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.98 | $14.53 | $14.11 | $13.00 | $12.55 |
Investment Operations | |||||
Net Investment Income | .224 | .210 | .367 | .568 | .319 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | . 273 | (1.499) | .586 | 1.127 | .448 |
Total from Investment Operations | .497 | (1.289) | .953 | 1.695 | .767 |
Distributions | |||||
Dividends from Net Investment Income | (.281) | (. 216) | (. 366) | (. 567) | (.317) |
Distributions from Realized Capital Gains | (. 016) | (. 045) | (.167) | (.018) | — |
Total Distributions | (.297) | (. 261) | (. 533) | (. 585) | (. 317) |
Net Asset Value, End of Period | $13.18 | $12.98 | $14.53 | $14.11 | $13.00 |
Total Return1 | 3.83% | -8.92% | 6.78% | 13.24% | 6.17% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,604 | $6,577 | $16,075 | $15,220 | $12,979 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.01% | 1.33% | 2.55% | 4.21% | 2.48% |
Portfolio Turnover Rate | 39% | 44%2 | 33% | 28% | 29% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
20
Inflation-Protected Securities Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $25.47 | $28.54 | $27.71 | $25.54 | $24.65 |
Investment Operations | |||||
Net Investment Income | . 468 | .449 | .750 | 1.140 | .654 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .544 | (2.965) | 1.155 | 2.202 | .888 |
Total from Investment Operations | 1.012 | (2.516) | 1.905 | 3.342 | 1.542 |
Distributions | |||||
Dividends from Net Investment Income | (.581) | (. 465) | (.747) | (1.137) | (.652) |
Distributions from Realized Capital Gains | (.031) | (.089) | (. 328) | (.035) | — |
Total Distributions | (.612) | (.554) | (1.075) | (1.172) | (. 652) |
Net Asset Value, End of Period | $25.87 | $25.47 | $28.54 | $27.71 | $25.54 |
Total Return | 3.97% | -8.86% | 6.90% | 13.29% | 6.31% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $10,778 | $11,005 | $16,011 | $13,533 | $11,440 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.11% | 1.43% | 2.65% | 4.30% | 2.59% |
Portfolio Turnover Rate | 39% | 44%1 | 33% | 28% | 29% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Inflation-Protected Securities Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.37 | $11.62 | $11.29 | $10.40 | $10.04 |
Investment Operations | |||||
Net Investment Income | .193 | .187 | .310 | .468 | .271 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | .229 | (1.208) | .463 | .903 | .359 |
Total from Investment Operations | .422 | (1.021) | .773 | 1.371 | .630 |
Distributions | |||||
Dividends from Net Investment Income | (. 239) | (.193) | (. 309) | (. 467) | (.270) |
Distributions from Realized Capital Gains | (. 013) | (. 036) | (.134) | (. 014) | — |
Total Distributions | (. 252) | (. 229) | (. 443) | (. 481) | (.270) |
Net Asset Value, End of Period | $10.54 | $10.37 | $11.62 | $11.29 | $10.40 |
Total Return | 4.07% | -8.83% | 6.87% | 13.39% | 6.33% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $8,449 | $8,919 | $12,491 | $10,367 | $7,720 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.14% | 1.46% | 2.68% | 4.34% | 2.63% |
Portfolio Turnover Rate | 39% | 44%1 | 33% | 28% | 29% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Inflation-Protected Securities Fund
Notes to Financial Statements
Vanguard Inflation-Protected Securities Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market 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 board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended December 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 2% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
23
Inflation-Protected Securities Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended December 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net
24
Inflation-Protected Securities Fund
assets in Vanguard. At December 31, 2014, the fund had contributed capital of $2,425,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.97% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 24,120,247 | — |
Temporary Cash Investments | 653,174 | — | — |
Options on Futures Purchased | 1,822 | — | — |
Liability for Options Written | (2,651) | — | — |
Futures Contracts—Assets1 | 64 | — | — |
Futures Contracts—Liabilities1 | (727) | — | — |
Total | 651,682 | 24,120,247 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
2-Year U.S. Treasury Note | March 2015 | (2,070) | (452,489) | (328) |
5-Year U.S. Treasury Note | March 2015 | (2,162) | (257,126) | (392) |
Ultra Long U. S. Treasury Bond | March 2015 | (586) | (96,800) | (82) |
30-Year U.S. Treasury Bond | March 2015 | (91) | (13,155) | 125 |
10-Year U.S. Treasury Note | March 2015 | (74) | (9,383) | (8) |
(685) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
25
Inflation-Protected Securities Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s U.S. Treasury inflation-indexed securities experienced deflation and amortization adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction will be deferred for tax purposes until it is used to offset future inflation adjustments that increase taxable income. The difference becomes permanent if the securities are sold. During the year ended December 31, 2014, the fund recorded an adjustment as a result of permanent differences related to deferred deflation and amortization; this adjustment represents a reclassification of $103,997,000 from undistributed net investment income to accumulated net realized gains.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $113,491,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at December 31, 2014, the fund had $4,313,000 of ordinary income and $2,710,000 of long-term capital gains available for distribution.
At December 31, 2014, the cost of investment securities for tax purposes was $23,902,614,000. Net unrealized appreciation of investment securities for tax purposes was $870,807,000, consisting of unrealized gains of $1,227,252,000 on securities that had risen in value since their purchase and $356,445,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $10,107,406,000 of investment securities and sold $13,058,105,000 of investment securities, other than temporary cash investments. Purchases and sales include $56,015,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The following table summarizes the fund’s options written during the year ended December 31, 2014.
Premiums | ||
Number of | Received | |
Options Written | Contracts | ($000) |
Balance at December 31, 2013 | — | — |
Options written | 30,648 | 11,032 |
Options expired | (7,340) | (2,449) |
Options closed | (11,258) | (4,614) |
Options exercised | (1,324) | (412) |
Balance at December 31, 2014 | 10,726 | 3,557 |
26
Inflation-Protected Securities Fund
G. Capital share transactions for each class of shares were:
Year Ended December 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 923,903 | 68,793 | 1,984,525 | 140,608 | |
Issued in Lieu of Cash Distributions | 121,281 | 9,138 | 154,507 | 11,388 | |
Redeemed | (2,135,205) | (159,547) | (10,601,872) | (751,523) | |
Net Increase (Decrease)—Investor Shares | (1,090,021) | (81,616) | (8,462,840) | (599,527) | |
Admiral Shares | |||||
Issued | 2,207,405 | 83,744 | 3,171,043 | 115,579 | |
Issued in Lieu of Cash Distributions | 222,967 | 8,564 | 232,213 | 8,799 | |
Redeemed | (2,826,713) | (107,678) | (6,849,139) | (253,390) | |
Net Increase (Decrease)—Admiral Shares | (396,341) | (15,370) | (3,445,883) | (129,012) | |
Institutional Shares | |||||
Issued | 2,449,216 | 228,773 | 2,399,444 | 216,915 | |
Issued in Lieu of Cash Distributions | 193,131 | 18,207 | 200,066 | 18,628 | |
Redeemed | (3,263,202) | (304,746) | (4,993,608) | (450,615) | |
Net Increase (Decrease) —Institutional Shares | (620,855) | (57,766) | (2,394,098) | (215,072) |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
27
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Inflation-Protected Securities Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Inflation-Protected Securities Fund (constituting a separate portfolio of Vanguard Bond Index Funds, hereafter referred to as the “Fund”) at December 31, 2014, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 18, 2015
Special 2014 tax information (unaudited) for Vanguard Inflation-Protected Securities Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $86,328,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
28
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
29
Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Inflation-Protected Securities Fund | 6/30/2014 | 12/31/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $981.48 | $1.00 |
Admiral Shares | 1,000.00 | 981.85 | 0.50 |
Institutional Shares | 1,000.00 | 982.62 | 0.35 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. | |||
30
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the fund’s bonds will fluctuate in response to a change in “real” interest rates—meaning rates without inflation expectations built in. Real interest rates are reflected in market yields for inflation-adjusted securities. To see how the fund’s bond values could change, multiply the average duration by the change in real rates. For example, if the average duration were five years, then the value of the fund’s bonds would decline by about 5% if real interest rates rose by 1 percentage point. Conversely, if real rates fell by a percentage point, the value of the bonds would rise about 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
31
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. This term generally refers to the rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates. For the Inflation-Protected Securities Fund, the calculation is modified by adding in the inflation adjustment made over the past 12 months. This change results in a figure more directly comparable to the yield-to-maturity figures for other types of bond funds. (An unmodified yield to maturity is used in calculating the fund’s 30-Day SEC Yield.)
32
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 177 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1190 022015 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, and André F. Perold.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2014: $263,000 Fiscal Year Ended December 31, 2013: $239,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2014: $6,605,127 Fiscal Year Ended December 31, 2013: $5,714,113
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2014: $2,176,479 Fiscal Year Ended December 31, 2013: $1,552,950
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended December 31, 2014: $316,869
Fiscal Year Ended December 31, 2013: $110,000
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended December 31, 2014: $198,163
Fiscal Year Ended December 31, 2013: $132,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2014: $515,032
Fiscal Year Ended December 31, 2013: $242,000
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Peter F. Volanakis.
Item 6: Investments.Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (67.3%) | ||||
U.S. Government Securities (61.1%) | ||||
United States Treasury Note/Bond | 2.125% | 12/31/15 | 419,190 | 426,723 |
United States Treasury Note/Bond | 0.375% | 1/15/16 | 131,609 | 131,712 |
United States Treasury Note/Bond | 0.375% | 1/31/16 | 33,490 | 33,506 |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 235,350 | 239,506 |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 325,568 | 340,573 |
United States Treasury Note/Bond | 0.250% | 2/29/16 | 8,500 | 8,488 |
United States Treasury Note/Bond | 2.125% | 2/29/16 | 177,200 | 180,799 |
United States Treasury Note/Bond | 2.625% | 2/29/16 | 20,360 | 20,885 |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 159,540 | 159,540 |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 267,630 | 267,547 |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 6,900 | 7,060 |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 280,142 | 286,972 |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 271,875 | 271,407 |
United States Treasury Note/Bond | 0.375% | 4/30/16 | 30,950 | 30,935 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 213,315 | 217,682 |
United States Treasury Note/Bond | 2.625% | 4/30/16 | 73,130 | 75,233 |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 333,835 | 333,000 |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 273,915 | 291,333 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 231,975 | 236,144 |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 225,455 | 234,227 |
United States Treasury Note/Bond | 0.500% | 6/15/16 | 197,500 | 197,622 |
United States Treasury Note/Bond | 0.500% | 6/30/16 | 58,165 | 58,174 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 103,546 | 105,083 |
United States Treasury Note/Bond | 3.250% | 6/30/16 | 4,795 | 4,989 |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 291,475 | 291,976 |
United States Treasury Note/Bond | 0.500% | 7/31/16 | 178,931 | 178,960 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 146,825 | 149,051 |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 406,175 | 406,683 |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 49,200 | 52,636 |
United States Treasury Note/Bond | 0.500% | 8/31/16 | 54,690 | 54,647 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 206,360 | 207,844 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 85,085 | 88,515 |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 349,855 | 351,604 |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 60,725 | 60,639 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 365,305 | 367,932 |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 1,565 | 1,630 |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 440,900 | 440,971 |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 90,189 | 89,794 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 280,143 | 282,112 |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 15,335 | 16,028 |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 539,225 | 539,139 |
United States Treasury Note/Bond | 4.625% | 11/15/16 | 1,070 | 1,149 |
United States Treasury Note/Bond | 0.500% | 11/30/16 | 20,000 | 19,950 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 180,952 | 181,716 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 4,995 | 5,191 |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 353,085 | 352,866 |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 291,061 | 292,106 |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 393,870 | 394,177 |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 48,120 | 48,255 |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 262,630 | 261,931 |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 3,935 | 4,256 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 182,910 | 183,338 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 105,000 | 110,020 |
United States Treasury Note/Bond | 0.750% | 3/15/17 | 225,668 | 225,598 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 259,810 | 260,948 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 1,830 | 1,930 |
1
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 233,965 | 234,258 |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 351,019 | 351,402 |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 167,475 | 167,527 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 73,930 | 80,249 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 347,190 | 345,239 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 4,644 | 4,854 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 288,500 | 288,321 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 304,565 | 303,329 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 172,125 | 171,882 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 314,520 | 310,884 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 86,596 | 89,735 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 263,815 | 263,113 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 63,120 | 69,294 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 478,326 | 473,619 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 67,155 | 68,687 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 295,640 | 295,732 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 439,100 | 434,230 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 34,825 | 35,619 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 274,315 | 273,201 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 177,049 | 175,583 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 14,400 | 14,733 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 218,142 | 217,051 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 213,965 | 211,124 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 2,620 | 2,708 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 329,325 | 328,604 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 263,060 | 260,224 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 92,975 | 97,435 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 162,185 | 160,842 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 75,080 | 80,429 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 246,495 | 243,066 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 1,165 | 1,221 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 210,380 | 207,159 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 6,390 | 6,721 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 187,110 | 183,310 |
United States Treasury Note/Bond | 3.875% | 5/15/18 | 7,840 | 8,521 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 900 | 1,134 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 243,867 | 241,467 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 3,470 | 3,596 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 307,450 | 308,028 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 8,240 | 8,539 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 215,860 | 216,028 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 8,205 | 8,995 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 298,780 | 300,134 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 383,245 | 382,766 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 170,900 | 169,779 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 12,120 | 13,203 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 542,814 | 538,742 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 3,360 | 3,352 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 84,859 | 84,979 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 2,020 | 2,000 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 357,060 | 357,171 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 3,115 | 3,277 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 9,070 | 9,018 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 402,200 | 402,264 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 3,885 | 3,883 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 278,390 | 279,520 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 216 | 214 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 305,194 | 306,146 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 1,140 | 1,215 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 800 | 786 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 448,140 | 447,020 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 21,560 | 21,031 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 326,355 | 327,119 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 52,544 | 50,902 |
2
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 309,605 | 309,992 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 2,660 | 2,587 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 461,569 | 461,855 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 368,231 | 370,186 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 180,151 | 178,969 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 746,865 | 741,846 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 450,000 | 449,226 |
23,549,607 | ||||
Agency Bonds and Notes (6.2%) | ||||
1 AID-Jordan | 1.945% | 6/23/19 | 5,600 | 5,628 |
1 AID-Ukraine | 1.844% | 5/16/19 | 3,400 | 3,425 |
2 Federal Agricultural Mortgage Corp. | 2.000% | 7/27/16 | 2,250 | 2,299 |
2 Federal Farm Credit Banks | 1.050% | 3/28/16 | 3,525 | 3,553 |
2 Federal Farm Credit Banks | 5.125% | 8/25/16 | 14,700 | 15,788 |
2 Federal Farm Credit Banks | 4.875% | 1/17/17 | 1,400 | 1,517 |
2 Federal Farm Credit Banks | 1.125% | 9/22/17 | 6,000 | 5,997 |
2 Federal Farm Credit Banks | 1.125% | 12/18/17 | 15,000 | 14,987 |
2 Federal Farm Credit Banks | 5.150% | 11/15/19 | 7,621 | 8,813 |
2 Federal Home Loan Banks | 0.375% | 2/19/16 | 35,130 | 35,139 |
2 Federal Home Loan Banks | 3.125% | 3/11/16 | 2,650 | 2,735 |
2 Federal Home Loan Banks | 5.375% | 5/18/16 | 1,920 | 2,049 |
2 Federal Home Loan Banks | 5.625% | 6/13/16 | 4,325 | 4,643 |
2 Federal Home Loan Banks | 0.375% | 6/24/16 | 47,000 | 46,905 |
2 Federal Home Loan Banks | 0.500% | 9/28/16 | 79,000 | 78,847 |
2 Federal Home Loan Banks | 0.625% | 11/23/16 | 21,725 | 21,702 |
2 Federal Home Loan Banks | 4.750% | 12/16/16 | 20,640 | 22,251 |
2 Federal Home Loan Banks | 0.625% | 12/28/16 | 61,550 | 61,456 |
2 Federal Home Loan Banks | 4.875% | 5/17/17 | 79,920 | 87,363 |
2 Federal Home Loan Banks | 0.875% | 5/24/17 | 25,000 | 25,001 |
2 Federal Home Loan Banks | 1.000% | 6/21/17 | 42,325 | 42,426 |
2 Federal Home Loan Banks | 2.750% | 6/8/18 | 15,675 | 16,395 |
2 Federal Home Loan Banks | 5.375% | 8/15/18 | 14,025 | 15,988 |
2 Federal Home Loan Banks | 5.375% | 5/15/19 | 11,885 | 13,754 |
2 Federal Home Loan Banks | 1.250% | 12/13/19 | 8,875 | 8,644 |
3 Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 16,500 | 17,523 |
3 Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 15,000 | 15,020 |
3 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 20,420 | 20,998 |
3 Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 25,000 | 26,916 |
3 Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 100,555 | 102,888 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 42,020 | 42,200 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 40,000 | 40,070 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 12,925 | 12,972 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 40,710 | 41,030 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 22,375 | 22,412 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 47,560 | 47,578 |
3 Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 51,130 | 57,105 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 33,700 | 33,649 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 43,755 | 43,190 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 77,175 | 76,310 |
3 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 11,500 | 12,875 |
3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 23,680 | 25,806 |
3 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 27,305 | 27,501 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 120,560 | 118,034 |
3 Federal National Mortgage Assn. | 5.000% | 3/15/16 | 56,600 | 59,712 |
3 Federal National Mortgage Assn. | 0.500% | 3/30/16 | 25,600 | 25,621 |
3 Federal National Mortgage Assn. | 2.375% | 4/11/16 | 42,340 | 43,385 |
3 Federal National Mortgage Assn. | 0.375% | 7/5/16 | 19,325 | 19,282 |
3 Federal National Mortgage Assn. | 0.625% | 8/26/16 | 50,000 | 50,026 |
3 Federal National Mortgage Assn. | 5.250% | 9/15/16 | 5,850 | 6,308 |
3 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 26,115 | 26,398 |
3 Federal National Mortgage Assn. | 1.375% | 11/15/16 | 72,300 | 73,242 |
3 Federal National Mortgage Assn. | 1.250% | 1/30/17 | 20,000 | 20,201 |
3 Federal National Mortgage Assn. | 5.000% | 2/13/17 | 49,000 | 53,357 |
3
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
3 Federal National Mortgage Assn. | 0.750% | 4/20/17 | 23,875 | 23,814 |
3 Federal National Mortgage Assn. | 1.125% | 4/27/17 | 68,390 | 68,801 |
3 Federal National Mortgage Assn. | 0.875% | 8/28/17 | 48,325 | 48,160 |
3 Federal National Mortgage Assn. | 1.000% | 9/27/17 | 17,000 | 16,984 |
3 Federal National Mortgage Assn. | 0.875% | 10/26/17 | 59,200 | 58,839 |
3 Federal National Mortgage Assn. | 0.875% | 12/20/17 | 58,750 | 58,288 |
3 Federal National Mortgage Assn. | 0.875% | 2/8/18 | 58,475 | 57,888 |
3 Federal National Mortgage Assn. | 0.875% | 5/21/18 | 46,360 | 45,686 |
3 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 31,025 | 31,550 |
3 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 61,370 | 61,717 |
3 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 9,000 | 9,105 |
3 Federal National Mortgage Assn. | 1.750% | 6/20/19 | 20,000 | 20,093 |
3 Federal National Mortgage Assn. | 1.750% | 9/12/19 | 35,000 | 35,045 |
3 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 47,300 | 42,650 |
3 Federal National Mortgage Assn. | 1.750% | 11/26/19 | 18,000 | 17,999 |
2 Financing Corp. | 9.800% | 4/6/18 | 1,440 | 1,816 |
2 Financing Corp. | 10.350% | 8/3/18 | 3,755 | 4,892 |
2 Financing Corp. | 9.650% | 11/2/18 | 12,540 | 16,256 |
2 Financing Corp. | 8.600% | 9/26/19 | 1,750 | 2,271 |
Private Export Funding Corp. | 1.375% | 2/15/17 | 500 | 505 |
Private Export Funding Corp. | 2.250% | 12/15/17 | 9,225 | 9,485 |
Private Export Funding Corp. | 1.875% | 7/15/18 | 4,000 | 4,015 |
Private Export Funding Corp. | 4.375% | 3/15/19 | 10,650 | 11,670 |
Private Export Funding Corp. | 1.450% | 8/15/19 | 1,000 | 973 |
2 Tennessee Valley Authority | 5.500% | 7/18/17 | 6,200 | 6,885 |
2 Tennessee Valley Authority | 6.250% | 12/15/17 | 2,600 | 2,983 |
2 Tennessee Valley Authority | 4.500% | 4/1/18 | 8,300 | 9,151 |
2 Tennessee Valley Authority | 1.750% | 10/15/18 | 3,040 | 3,060 |
2,379,495 | ||||
Total U.S. Government and Agency Obligations (Cost $25,921,055) | 25,929,102 | |||
Corporate Bonds (24.1%) | ||||
Finance (10.5%) | ||||
Banking (8.2%) | ||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 9,210 | 9,551 |
Abbey National Treasury Services plc | 1.375% | 3/13/17 | 2,000 | 1,998 |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 7,700 | 7,959 |
Abbey National Treasury Services plc | 2.350% | 9/10/19 | 14,800 | 14,812 |
American Express Bank FSB | 6.000% | 9/13/17 | 500 | 557 |
American Express Centurion Bank | 0.875% | 11/13/15 | 2,000 | 2,002 |
American Express Centurion Bank | 5.950% | 6/12/17 | 2,175 | 2,404 |
American Express Centurion Bank | 6.000% | 9/13/17 | 2,250 | 2,506 |
American Express Co. | 5.500% | 9/12/16 | 2,575 | 2,764 |
American Express Co. | 6.150% | 8/28/17 | 18,375 | 20,469 |
American Express Co. | 7.000% | 3/19/18 | 6,800 | 7,858 |
American Express Co. | 1.550% | 5/22/18 | 5,575 | 5,504 |
4 American Express Co. | 6.800% | 9/1/66 | 5,225 | 5,480 |
American Express Credit Corp. | 1.300% | 7/29/16 | 13,250 | 13,311 |
American Express Credit Corp. | 2.800% | 9/19/16 | 15,550 | 16,010 |
American Express Credit Corp. | 2.375% | 3/24/17 | 13,325 | 13,621 |
American Express Credit Corp. | 1.125% | 6/5/17 | 16,100 | 16,049 |
American Express Credit Corp. | 2.125% | 7/27/18 | 8,925 | 8,996 |
American Express Credit Corp. | 2.125% | 3/18/19 | 7,600 | 7,594 |
Associates Corp. of North America | 6.950% | 11/1/18 | 10,441 | 12,197 |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 6,185 | 6,192 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 1/10/17 | 2,250 | 2,258 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 6/13/17 | 1,350 | 1,347 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 9,300 | 9,387 |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 4,650 | 4,652 |
Bank of America Corp. | 1.250% | 1/11/16 | 4,600 | 4,604 |
Bank of America Corp. | 3.625% | 3/17/16 | 25,940 | 26,672 |
Bank of America Corp. | 6.050% | 5/16/16 | 12,218 | 12,950 |
Bank of America Corp. | 3.750% | 7/12/16 | 16,360 | 16,939 |
4
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 6.500% | 8/1/16 | 21,305 | 22,961 |
Bank of America Corp. | 5.750% | 8/15/16 | 3,900 | 4,143 |
Bank of America Corp. | 7.800% | 9/15/16 | 3,054 | 3,361 |
Bank of America Corp. | 5.625% | 10/14/16 | 1,950 | 2,088 |
Bank of America Corp. | 1.350% | 11/21/16 | 3,100 | 3,088 |
Bank of America Corp. | 5.420% | 3/15/17 | 6,749 | 7,238 |
Bank of America Corp. | 3.875% | 3/22/17 | 3,053 | 3,196 |
Bank of America Corp. | 5.700% | 5/2/17 | 5,000 | 5,403 |
Bank of America Corp. | 1.700% | 8/25/17 | 5,650 | 5,651 |
Bank of America Corp. | 6.400% | 8/28/17 | 12,650 | 14,069 |
Bank of America Corp. | 6.000% | 9/1/17 | 7,467 | 8,230 |
Bank of America Corp. | 5.750% | 12/1/17 | 20,100 | 22,226 |
Bank of America Corp. | 2.000% | 1/11/18 | 12,039 | 12,017 |
Bank of America Corp. | 6.875% | 4/25/18 | 34,160 | 39,239 |
Bank of America Corp. | 5.650% | 5/1/18 | 22,025 | 24,464 |
Bank of America Corp. | 6.875% | 11/15/18 | 5,125 | 5,944 |
Bank of America Corp. | 2.600% | 1/15/19 | 25,400 | 25,601 |
Bank of America Corp. | 5.490% | 3/15/19 | 1,075 | 1,185 |
Bank of America Corp. | 2.650% | 4/1/19 | 15,300 | 15,408 |
Bank of America Corp. | 7.625% | 6/1/19 | 18,525 | 22,397 |
Bank of America NA | 1.125% | 11/14/16 | 17,525 | 17,465 |
Bank of America NA | 1.250% | 2/14/17 | 14,650 | 14,622 |
Bank of America NA | 5.300% | 3/15/17 | 13,075 | 14,035 |
Bank of America NA | 6.100% | 6/15/17 | 1,272 | 1,399 |
Bank of Montreal | 0.800% | 11/6/15 | 5,425 | 5,437 |
Bank of Montreal | 1.300% | 7/15/16 | 5,025 | 5,054 |
Bank of Montreal | 2.500% | 1/11/17 | 11,225 | 11,496 |
Bank of Montreal | 1.300% | 7/14/17 | 3,700 | 3,685 |
Bank of Montreal | 1.400% | 9/11/17 | 2,837 | 2,839 |
Bank of Montreal | 1.450% | 4/9/18 | 11,950 | 11,810 |
Bank of Montreal | 2.375% | 1/25/19 | 4,900 | 4,942 |
Bank of New York Mellon Corp. | 0.700% | 10/23/15 | 2,400 | 2,402 |
Bank of New York Mellon Corp. | 2.500% | 1/15/16 | 3,550 | 3,614 |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 5,125 | 5,230 |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 2,575 | 2,635 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 2,000 | 2,027 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 1,100 | 1,088 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 12,000 | 11,874 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 6,625 | 6,622 |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 9,725 | 9,740 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 2,085 | 2,359 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 3,600 | 3,606 |
Bank of Nova Scotia | 0.950% | 3/15/16 | 4,000 | 4,005 |
Bank of Nova Scotia | 2.900% | 3/29/16 | 3,400 | 3,487 |
Bank of Nova Scotia | 1.375% | 7/15/16 | 3,250 | 3,273 |
Bank of Nova Scotia | 1.100% | 12/13/16 | 5,334 | 5,338 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 16,575 | 17,109 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 4,000 | 3,988 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 5,450 | 5,409 |
Bank of Nova Scotia | 1.450% | 4/25/18 | 1,661 | 1,647 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 9,426 | 9,439 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 12,700 | 12,641 |
5 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.450% | 9/11/15 | 1,975 | 1,997 |
Barclays Bank plc | 5.000% | 9/22/16 | 8,775 | 9,334 |
Barclays Bank plc | 2.500% | 2/20/19 | 13,785 | 13,952 |
Barclays Bank plc | 6.750% | 5/22/19 | 8,725 | 10,281 |
Barclays plc | 2.750% | 11/8/19 | 7,750 | 7,722 |
BB&T Corp. | 5.200% | 12/23/15 | 7,379 | 7,675 |
BB&T Corp. | 3.200% | 3/15/16 | 4,110 | 4,204 |
BB&T Corp. | 3.950% | 4/29/16 | 3,750 | 3,882 |
BB&T Corp. | 2.150% | 3/22/17 | 3,185 | 3,235 |
BB&T Corp. | 4.900% | 6/30/17 | 2,000 | 2,157 |
BB&T Corp. | 1.450% | 1/12/18 | 5,900 | 5,846 |
BB&T Corp. | 2.050% | 6/19/18 | 6,860 | 6,898 |
5
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BB&T Corp. | 2.250% | 2/1/19 | 2,540 | 2,544 |
BB&T Corp. | 6.850% | 4/30/19 | 6,800 | 8,066 |
BB&T Corp. | 2.450% | 1/15/20 | 4,000 | 3,988 |
BBVA US Senior SAU | 4.664% | 10/9/15 | 12,900 | 13,252 |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 8,500 | 9,158 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 14,925 | 16,665 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 22,950 | 26,458 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 4,939 | 5,334 |
BNP Paribas SA | 3.600% | 2/23/16 | 16,315 | 16,773 |
BNP Paribas SA | 1.250% | 12/12/16 | 3,250 | 3,252 |
BNP Paribas SA | 2.375% | 9/14/17 | 17,575 | 17,860 |
BNP Paribas SA | 2.700% | 8/20/18 | 12,075 | 12,334 |
BNP Paribas SA | 2.400% | 12/12/18 | 7,500 | 7,567 |
BNP Paribas SA | 2.450% | 3/17/19 | 5,425 | 5,496 |
BPCE SA | 1.625% | 2/10/17 | 5,500 | 5,519 |
BPCE SA | 1.613% | 7/25/17 | 2,075 | 2,064 |
BPCE SA | 2.500% | 12/10/18 | 7,200 | 7,299 |
BPCE SA | 2.500% | 7/15/19 | 8,175 | 8,252 |
Branch Banking & Trust Co. | 1.450% | 10/3/16 | 4,100 | 4,125 |
Branch Banking & Trust Co. | 1.050% | 12/1/16 | 825 | 824 |
Branch Banking & Trust Co. | 1.000% | 4/3/17 | 2,000 | 1,984 |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 2,875 | 2,862 |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 4,750 | 4,798 |
Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 7,940 | 8,022 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 7,720 | 7,678 |
Capital One Bank USA NA | 1.300% | 6/5/17 | 400 | 396 |
Capital One Bank USA NA | 2.150% | 11/21/18 | 1,200 | 1,197 |
Capital One Bank USA NA | 2.250% | 2/13/19 | 20,200 | 20,025 |
Capital One Bank USA NA | 2.300% | 6/5/19 | 1,150 | 1,140 |
Capital One Bank USA NA | 8.800% | 7/15/19 | 1,925 | 2,400 |
Capital One Financial Corp. | 3.150% | 7/15/16 | 12,450 | 12,810 |
Capital One Financial Corp. | 6.150% | 9/1/16 | 8,075 | 8,677 |
Capital One Financial Corp. | 6.750% | 9/15/17 | 3,787 | 4,267 |
Capital One NA | 1.500% | 9/5/17 | 3,000 | 2,975 |
Capital One NA | 1.500% | 3/22/18 | 2,550 | 2,510 |
Capital One NA | 2.400% | 9/5/19 | 3,300 | 3,284 |
Citigroup Inc. | 5.300% | 1/7/16 | 6,200 | 6,466 |
Citigroup Inc. | 1.250% | 1/15/16 | 8,075 | 8,071 |
Citigroup Inc. | 1.300% | 4/1/16 | 13,524 | 13,543 |
Citigroup Inc. | 3.953% | 6/15/16 | 14,125 | 14,668 |
Citigroup Inc. | 1.700% | 7/25/16 | 6,379 | 6,420 |
Citigroup Inc. | 4.450% | 1/10/17 | 16,825 | 17,800 |
Citigroup Inc. | 5.500% | 2/15/17 | 6,850 | 7,382 |
Citigroup Inc. | 1.350% | 3/10/17 | 5,400 | 5,375 |
Citigroup Inc. | 1.550% | 8/14/17 | 5,500 | 5,487 |
Citigroup Inc. | 6.000% | 8/15/17 | 5,827 | 6,450 |
Citigroup Inc. | 6.125% | 11/21/17 | 20,225 | 22,537 |
Citigroup Inc. | 1.850% | 11/24/17 | 3,075 | 3,073 |
Citigroup Inc. | 1.750% | 5/1/18 | 12,995 | 12,849 |
Citigroup Inc. | 6.125% | 5/15/18 | 10,392 | 11,740 |
Citigroup Inc. | 2.500% | 9/26/18 | 17,275 | 17,470 |
Citigroup Inc. | 2.550% | 4/8/19 | 11,500 | 11,572 |
Citigroup Inc. | 8.500% | 5/22/19 | 16,921 | 21,040 |
Citigroup Inc. | 2.500% | 7/29/19 | 8,575 | 8,574 |
Citizens Bank NA | 1.600% | 12/4/17 | 3,225 | 3,211 |
Citizens Bank NA | 2.450% | 12/4/19 | 3,225 | 3,204 |
Comerica Bank | 5.750% | 11/21/16 | 1,000 | 1,082 |
Comerica Bank | 5.200% | 8/22/17 | 2,900 | 3,152 |
Comerica Inc. | 4.800% | 5/1/15 | 1,500 | 1,519 |
Comerica Inc. | 2.125% | 5/23/19 | 3,000 | 2,980 |
Commonwealth Bank of Australia | 1.125% | 3/13/17 | 7,000 | 6,976 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 4,900 | 4,875 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 8,605 | 8,690 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 5,235 | 5,318 |
6
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 6,175 | 6,217 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 10,500 | 10,532 |
Compass Bank | 1.850% | 9/29/17 | 2,200 | 2,190 |
Compass Bank | 2.750% | 9/29/19 | 2,175 | 2,174 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 15,025 | 15,660 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 1.700% | 3/19/18 | 26,000 | 25,905 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 4,000 | 4,026 |
Corpbanca SA | 3.125% | 1/15/18 | 5,000 | 5,018 |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 7,522 | 7,973 |
Credit Suisse | 1.375% | 5/26/17 | 15,375 | 15,329 |
Credit Suisse | 6.000% | 2/15/18 | 11,075 | 12,317 |
Credit Suisse | 2.300% | 5/28/19 | 17,400 | 17,347 |
Credit Suisse | 5.300% | 8/13/19 | 3,250 | 3,644 |
Credit Suisse USA Inc. | 5.375% | 3/2/16 | 9,096 | 9,570 |
Deutsche Bank AG | 3.250% | 1/11/16 | 16,450 | 16,802 |
Deutsche Bank AG | 1.350% | 5/30/17 | 9,475 | 9,403 |
Deutsche Bank AG | 6.000% | 9/1/17 | 20,120 | 22,312 |
Deutsche Bank AG | 2.500% | 2/13/19 | 10,000 | 10,124 |
Discover Bank | 2.000% | 2/21/18 | 10,338 | 10,306 |
Discover Financial Services | 6.450% | 6/12/17 | 2,575 | 2,846 |
Fifth Third Bancorp | 3.625% | 1/25/16 | 14,425 | 14,786 |
Fifth Third Bancorp | 5.450% | 1/15/17 | 200 | 215 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 4,175 | 4,496 |
Fifth Third Bancorp | 2.300% | 3/1/19 | 2,350 | 2,350 |
Fifth Third Bank | 0.900% | 2/26/16 | 500 | 500 |
Fifth Third Bank | 1.150% | 11/18/16 | 650 | 649 |
Fifth Third Bank | 1.350% | 6/1/17 | 6,400 | 6,377 |
Fifth Third Bank | 1.450% | 2/28/18 | 2,500 | 2,470 |
Fifth Third Bank | 2.375% | 4/25/19 | 1,900 | 1,906 |
First Horizon National Corp. | 5.375% | 12/15/15 | 4,325 | 4,478 |
First Republic Bank | 2.375% | 6/17/19 | 5,708 | 5,728 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 11,650 | 12,147 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 27,820 | 28,551 |
Goldman Sachs Group Inc. | 5.750% | 10/1/16 | 8,450 | 9,070 |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 11,625 | 12,471 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 15,550 | 17,282 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 27,700 | 30,764 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 11,850 | 11,959 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 26,324 | 29,551 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 8,960 | 9,171 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 32,250 | 32,449 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 14,410 | 17,117 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 3,500 | 3,481 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 1,050 | 1,155 |
HSBC USA Inc. | 1.500% | 11/13/17 | 9,575 | 9,545 |
HSBC USA Inc. | 1.625% | 1/16/18 | 11,850 | 11,792 |
HSBC USA Inc. | 2.625% | 9/24/18 | 4,750 | 4,878 |
HSBC USA Inc. | 2.250% | 6/23/19 | 3,000 | 2,992 |
HSBC USA Inc. | 2.375% | 11/13/19 | 7,625 | 7,615 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 1,625 | 1,641 |
Huntington National Bank | 1.350% | 8/2/16 | 1,575 | 1,576 |
Huntington National Bank | 1.300% | 11/20/16 | 2,750 | 2,748 |
Huntington National Bank | 1.375% | 4/24/17 | 2,500 | 2,479 |
Huntington National Bank | 2.200% | 4/1/19 | 3,525 | 3,502 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 11,575 | 11,774 |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 12,650 | 12,755 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 5,825 | 6,060 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 8,425 | 8,725 |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 3,325 | 3,421 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 7,723 | 7,856 |
JPMorgan Chase & Co. | 1.125% | 2/26/16 | 6,195 | 6,209 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 16,265 | 16,684 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 29,024 | 29,821 |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 14,421 | 14,426 |
7
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 9,438 | 9,536 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 27,725 | 30,970 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 3,557 | 3,557 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 12,525 | 12,380 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 12,375 | 12,440 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 20,075 | 23,330 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 11,000 | 10,899 |
JPMorgan Chase Bank NA | 5.875% | 6/13/16 | 375 | 399 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 3,000 | 3,306 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 16,775 | 18,622 |
KeyBank NA | 4.950% | 9/15/15 | 1,050 | 1,079 |
KeyBank NA | 5.450% | 3/3/16 | 3,525 | 3,700 |
KeyBank NA | 1.650% | 2/1/18 | 12,725 | 12,652 |
KeyBank NA | 2.500% | 12/15/19 | 2,000 | 2,008 |
KeyCorp | 2.300% | 12/13/18 | 1,700 | 1,707 |
Lloyds Bank plc | 4.875% | 1/21/16 | 12,800 | 13,265 |
Lloyds Bank plc | 4.200% | 3/28/17 | 1,150 | 1,220 |
Lloyds Bank plc | 2.300% | 11/27/18 | 6,575 | 6,629 |
Lloyds Bank plc | 2.350% | 9/5/19 | 9,000 | 8,992 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 550 | 549 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 3,550 | 4,017 |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 250 | 247 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 12,500 | 12,474 |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 10,500 | 10,476 |
4 Manufacturers & Traders Trust Co. | 5.585% | 12/28/20 | 900 | 933 |
Morgan Stanley | 1.750% | 2/25/16 | 10,517 | 10,578 |
Morgan Stanley | 3.800% | 4/29/16 | 13,500 | 13,932 |
Morgan Stanley | 5.750% | 10/18/16 | 10,150 | 10,893 |
Morgan Stanley | 5.450% | 1/9/17 | 9,975 | 10,708 |
Morgan Stanley | 4.750% | 3/22/17 | 9,605 | 10,231 |
Morgan Stanley | 5.550% | 4/27/17 | 9,750 | 10,568 |
Morgan Stanley | 6.250% | 8/28/17 | 5,925 | 6,580 |
Morgan Stanley | 5.950% | 12/28/17 | 11,950 | 13,263 |
Morgan Stanley | 1.875% | 1/5/18 | 9,250 | 9,218 |
Morgan Stanley | 6.625% | 4/1/18 | 23,709 | 27,013 |
Morgan Stanley | 2.125% | 4/25/18 | 19,500 | 19,495 |
Morgan Stanley | 2.500% | 1/24/19 | 14,880 | 14,895 |
Morgan Stanley | 7.300% | 5/13/19 | 14,730 | 17,453 |
Morgan Stanley | 2.375% | 7/23/19 | 16,100 | 15,950 |
Morgan Stanley | 5.625% | 9/23/19 | 11,275 | 12,729 |
MUFG Union Bank NA | 5.950% | 5/11/16 | 4,105 | 4,354 |
MUFG Union Bank NA | 1.500% | 9/26/16 | 6,675 | 6,702 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 3,575 | 3,613 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 13,450 | 13,618 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 5,900 | 5,880 |
Murray Street Investment Trust I | 4.647% | 3/9/17 | 9,150 | 9,659 |
National Australia Bank Ltd. | 0.900% | 1/20/16 | 2,500 | 2,506 |
National Australia Bank Ltd. | 1.300% | 7/25/16 | 3,050 | 3,069 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 7,025 | 7,234 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 5,225 | 5,302 |
National Bank of Canada | 1.450% | 11/7/17 | 3,350 | 3,325 |
National City Bank | 5.800% | 6/7/17 | 2,225 | 2,445 |
National City Corp. | 6.875% | 5/15/19 | 3,825 | 4,492 |
Northern Trust Co. | 6.500% | 8/15/18 | 1,275 | 1,471 |
PNC Bank NA | 1.150% | 11/1/16 | 4,600 | 4,607 |
PNC Bank NA | 4.875% | 9/21/17 | 4,745 | 5,115 |
PNC Bank NA | 1.500% | 10/18/17 | 5,200 | 5,188 |
PNC Bank NA | 6.000% | 12/7/17 | 6,125 | 6,836 |
PNC Bank NA | 2.200% | 1/28/19 | 7,625 | 7,633 |
PNC Bank NA | 2.250% | 7/2/19 | 6,475 | 6,458 |
PNC Bank NA | 2.400% | 10/18/19 | 5,200 | 5,220 |
PNC Funding Corp. | 2.700% | 9/19/16 | 7,743 | 7,956 |
PNC Funding Corp. | 5.625% | 2/1/17 | 6,977 | 7,533 |
PNC Funding Corp. | 6.700% | 6/10/19 | 3,183 | 3,760 |
8
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Regions Bank | 7.500% | 5/15/18 | 4,000 | 4,637 |
Regions Financial Corp. | 2.000% | 5/15/18 | 7,375 | 7,294 |
Royal Bank of Canada | 2.625% | 12/15/15 | 15,565 | 15,851 |
Royal Bank of Canada | 0.850% | 3/8/16 | 5,060 | 5,069 |
Royal Bank of Canada | 2.875% | 4/19/16 | 200 | 205 |
Royal Bank of Canada | 2.300% | 7/20/16 | 3,325 | 3,394 |
Royal Bank of Canada | 1.450% | 9/9/16 | 4,596 | 4,630 |
Royal Bank of Canada | 1.200% | 1/23/17 | 7,999 | 7,994 |
Royal Bank of Canada | 1.250% | 6/16/17 | 6,000 | 5,975 |
Royal Bank of Canada | 1.400% | 10/13/17 | 3,325 | 3,313 |
Royal Bank of Canada | 1.500% | 1/16/18 | 6,275 | 6,246 |
Royal Bank of Canada | 2.200% | 7/27/18 | 10,126 | 10,202 |
Royal Bank of Canada | 2.150% | 3/15/19 | 7,000 | 7,033 |
Royal Bank of Scotland Group plc | 1.875% | 3/31/17 | 4,400 | 4,399 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 5,705 | 6,600 |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 7,200 | 7,465 |
Santander Bank NA | 8.750% | 5/30/18 | 2,825 | 3,363 |
Santander Holdings USA Inc. | 4.625% | 4/19/16 | 4,250 | 4,428 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 7,394 | 7,657 |
Societe Generale SA | 2.750% | 10/12/17 | 5,675 | 5,820 |
Societe Generale SA | 2.625% | 10/1/18 | 4,435 | 4,513 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 775 | 865 |
State Street Corp. | 2.875% | 3/7/16 | 4,438 | 4,538 |
State Street Corp. | 4.956% | 3/15/18 | 6,619 | 7,167 |
State Street Corp. | 1.350% | 5/15/18 | 4,675 | 4,603 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/18/15 | 4,825 | 4,842 |
Sumitomo Mitsui Banking Corp. | 0.900% | 1/18/16 | 1,300 | 1,299 |
Sumitomo Mitsui Banking Corp. | 1.450% | 7/19/16 | 3,150 | 3,163 |
Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 1,200 | 1,197 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 4,000 | 3,963 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 5,800 | 5,801 |
Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 3,075 | 3,030 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 2,425 | 2,452 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 4,700 | 4,725 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 7,900 | 7,843 |
SunTrust Bank | 1.350% | 2/15/17 | 5,225 | 5,224 |
SunTrust Bank | 7.250% | 3/15/18 | 3,200 | 3,701 |
SunTrust Banks Inc. | 3.600% | 4/15/16 | 10,240 | 10,543 |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 2,135 | 2,223 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 1,615 | 1,791 |
SunTrust Banks Inc. | 2.350% | 11/1/18 | 1,100 | 1,103 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 3,300 | 3,318 |
Svenska Handelsbanken AB | 3.125% | 7/12/16 | 7,500 | 7,749 |
Svenska Handelsbanken AB | 2.875% | 4/4/17 | 8,650 | 8,939 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 8,935 | 8,905 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 8,075 | 8,228 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 5,300 | 5,329 |
Synchrony Financial | 1.875% | 8/15/17 | 2,200 | 2,198 |
Synchrony Financial | 3.000% | 8/15/19 | 12,275 | 12,389 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 4,675 | 4,791 |
Toronto-Dominion Bank | 2.375% | 10/19/16 | 9,435 | 9,658 |
Toronto-Dominion Bank | 1.125% | 5/2/17 | 6,700 | 6,669 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 15,158 | 14,973 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 13,000 | 13,321 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 6,500 | 6,496 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 7,375 | 7,388 |
UBS AG | 5.875% | 7/15/16 | 4,800 | 5,135 |
UBS AG | 1.375% | 8/14/17 | 15,000 | 14,917 |
UBS AG | 5.875% | 12/20/17 | 15,450 | 17,272 |
UBS AG | 5.750% | 4/25/18 | 7,701 | 8,634 |
UBS AG | 2.375% | 8/14/19 | 20,000 | 20,002 |
US Bancorp | 3.442% | 2/1/16 | 4,525 | 4,632 |
US Bancorp | 2.200% | 11/15/16 | 9,605 | 9,798 |
US Bancorp | 1.650% | 5/15/17 | 6,200 | 6,247 |
9
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
US Bancorp | 1.950% | 11/15/18 | 5,225 | 5,232 |
US Bancorp | 2.200% | 4/25/19 | 11,420 | 11,437 |
US Bank NA | 1.100% | 1/30/17 | 3,500 | 3,498 |
US Bank NA | 2.125% | 10/28/19 | 10,000 | 9,969 |
Vesey Street Investment Trust I | 4.404% | 9/1/16 | 1,900 | 1,993 |
Wachovia Bank NA | 5.600% | 3/15/16 | 400 | 422 |
Wachovia Bank NA | 6.000% | 11/15/17 | 1,875 | 2,102 |
Wachovia Corp. | 5.625% | 10/15/16 | 18,250 | 19,640 |
Wachovia Corp. | 5.750% | 6/15/17 | 4,650 | 5,136 |
Wachovia Corp. | 5.750% | 2/1/18 | 17,555 | 19,654 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 25,170 | 26,116 |
Wells Fargo & Co. | 1.250% | 7/20/16 | 11,575 | 11,617 |
Wells Fargo & Co. | 5.125% | 9/15/16 | 2,800 | 2,987 |
Wells Fargo & Co. | 2.625% | 12/15/16 | 8,835 | 9,094 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 3,969 | 4,037 |
Wells Fargo & Co. | 1.150% | 6/2/17 | 10,075 | 10,034 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 11,600 | 11,590 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 21,463 | 23,892 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 5,977 | 5,934 |
Wells Fargo & Co. | 2.125% | 4/22/19 | 16,625 | 16,599 |
Wells Fargo Bank NA | 5.750% | 5/16/16 | 4,825 | 5,131 |
Westpac Banking Corp. | 3.000% | 12/9/15 | 7,980 | 8,150 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 3,825 | 3,834 |
Westpac Banking Corp. | 1.050% | 11/25/16 | 300 | 300 |
Westpac Banking Corp. | 1.200% | 5/19/17 | 5,500 | 5,483 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 17,350 | 17,582 |
Westpac Banking Corp. | 1.500% | 12/1/17 | 3,675 | 3,676 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 5,370 | 5,351 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 400 | 405 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 14,275 | 14,423 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 6,365 | 7,081 |
Brokerage (0.2%) | ||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 1,600 | 1,936 |
4 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 2,000 | 2,140 |
BlackRock Inc. | 1.375% | 6/1/15 | 600 | 602 |
BlackRock Inc. | 6.250% | 9/15/17 | 200 | 224 |
BlackRock Inc. | 5.000% | 12/10/19 | 4,085 | 4,614 |
Charles Schwab Corp. | 0.850% | 12/4/15 | 1,300 | 1,303 |
Charles Schwab Corp. | 2.200% | 7/25/18 | 4,974 | 5,036 |
Eaton Vance Corp. | 6.500% | 10/2/17 | 242 | 271 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 2,300 | 2,292 |
IntercontinentalExchange Group Inc. | 2.500% | 10/15/18 | 3,425 | 3,488 |
Jefferies Group LLC | 3.875% | 11/9/15 | 5,200 | 5,301 |
Jefferies Group LLC | 5.125% | 4/13/18 | 4,250 | 4,489 |
Jefferies Group LLC | 8.500% | 7/15/19 | 1,650 | 1,972 |
Lazard Group LLC | 6.850% | 6/15/17 | 2,992 | 3,331 |
Legg Mason Inc. | 2.700% | 7/15/19 | 3,800 | 3,817 |
NASDAQ OMX Group Inc. | 5.250% | 1/16/18 | 21 | 23 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 7,300 | 7,506 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 9,450 | 9,502 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 9,950 | 9,993 |
NYSE Euronext | 2.000% | 10/5/17 | 9,325 | 9,407 |
Raymond James Financial Inc. | 4.250% | 4/15/16 | 575 | 596 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 850 | 972 |
Finance Companies (0.7%) | ||||
Air Lease Corp. | 4.500% | 1/15/16 | 2,925 | 3,005 |
Air Lease Corp. | 5.625% | 4/1/17 | 6,625 | 7,122 |
Air Lease Corp. | 2.125% | 1/15/18 | 2,925 | 2,874 |
Air Lease Corp. | 3.375% | 1/15/19 | 10,475 | 10,606 |
Ares Capital Corp. | 4.875% | 11/30/18 | 8,000 | 8,406 |
Ares Capital Corp. | 3.875% | 1/15/20 | 2,000 | 1,995 |
Fifth Street Finance Corp. | 4.875% | 3/1/19 | 3,000 | 3,077 |
FS Investment Corp. | 4.000% | 7/15/19 | 2,350 | 2,341 |
10
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
GATX Corp. | 3.500% | 7/15/16 | 2,060 | 2,127 |
GATX Corp. | 1.250% | 3/4/17 | 2,017 | 1,999 |
GATX Corp. | 2.375% | 7/30/18 | 1,450 | 1,460 |
GATX Corp. | 2.500% | 7/30/19 | 1,470 | 1,460 |
4 GE Capital Trust I | 6.375% | 11/15/67 | 4,810 | 5,183 |
General Electric Capital Corp. | 1.000% | 1/8/16 | 6,180 | 6,202 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 7,235 | 7,558 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 29,975 | 30,828 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 575 | 581 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 2,400 | 2,496 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 9,500 | 9,834 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 8,700 | 9,445 |
General Electric Capital Corp. | 2.450% | 3/15/17 | 2,900 | 2,981 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 11,550 | 11,824 |
General Electric Capital Corp. | 1.250% | 5/15/17 | 3,450 | 3,455 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 17,294 | 19,192 |
General Electric Capital Corp. | 1.600% | 11/20/17 | 6,055 | 6,097 |
General Electric Capital Corp. | 1.625% | 4/2/18 | 8,150 | 8,163 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 23,036 | 25,907 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 8,300 | 8,430 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 11,000 | 12,791 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 275 | 276 |
4 General Electric Capital Corp. | 6.375% | 11/15/67 | 9,975 | 10,748 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 16,200 | 16,941 |
5 International Lease Finance Corp. | 6.750% | 9/1/16 | 7,450 | 7,971 |
5 International Lease Finance Corp. | 7.125% | 9/1/18 | 12,000 | 13,440 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 1,750 | 1,782 |
Insurance (1.0%) | ||||
ACE INA Holdings Inc. | 5.600% | 5/15/15 | 2,050 | 2,086 |
ACE INA Holdings Inc. | 5.700% | 2/15/17 | 1,403 | 1,532 |
ACE INA Holdings Inc. | 5.800% | 3/15/18 | 1,500 | 1,687 |
ACE INA Holdings Inc. | 5.900% | 6/15/19 | 2,075 | 2,387 |
Aegon NV | 4.625% | 12/1/15 | 105 | 109 |
Aetna Inc. | 1.750% | 5/15/17 | 2,900 | 2,919 |
Aetna Inc. | 1.500% | 11/15/17 | 12,825 | 12,756 |
Aflac Inc. | 3.450% | 8/15/15 | 999 | 1,017 |
Aflac Inc. | 2.650% | 2/15/17 | 10,755 | 11,067 |
Aflac Inc. | 8.500% | 5/15/19 | 2,000 | 2,503 |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 4,500 | 4,914 |
4 Allstate Corp. | 6.125% | 5/15/67 | 5,150 | 5,446 |
American Financial Group Inc. | 9.875% | 6/15/19 | 2,130 | 2,736 |
American International Group Inc. | 5.050% | 10/1/15 | 2,400 | 2,473 |
American International Group Inc. | 5.600% | 10/18/16 | 2,175 | 2,337 |
American International Group Inc. | 5.450% | 5/18/17 | 5,680 | 6,192 |
American International Group Inc. | 5.850% | 1/16/18 | 13,925 | 15,561 |
American International Group Inc. | 2.300% | 7/16/19 | 7,000 | 7,002 |
Anthem Inc. | 1.250% | 9/10/15 | 5,735 | 5,757 |
Anthem Inc. | 2.375% | 2/15/17 | 1,200 | 1,222 |
Anthem Inc. | 5.875% | 6/15/17 | 2,068 | 2,275 |
Anthem Inc. | 1.875% | 1/15/18 | 625 | 624 |
Anthem Inc. | 2.250% | 8/15/19 | 5,000 | 4,937 |
Aon Corp. | 3.125% | 5/27/16 | 3,000 | 3,079 |
Assurant Inc. | 2.500% | 3/15/18 | 700 | 707 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 2,865 | 2,874 |
Berkshire Hathaway Finance Corp. | 0.950% | 8/15/16 | 35 | 35 |
Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 20,105 | 20,281 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 7,600 | 8,511 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 3,160 | 3,194 |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 3,900 | 3,981 |
Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 11,500 | 11,682 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 1,375 | 1,374 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 10,500 | 10,549 |
Chubb Corp. | 5.750% | 5/15/18 | 10,100 | 11,407 |
11
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
4 Chubb Corp. | 6.375% | 3/29/67 | 2,800 | 2,996 |
Cigna Corp. | 2.750% | 11/15/16 | 9,188 | 9,433 |
Cigna Corp. | 8.500% | 5/1/19 | 575 | 712 |
CNA Financial Corp. | 6.500% | 8/15/16 | 3,950 | 4,271 |
CNA Financial Corp. | 7.350% | 11/15/19 | 375 | 447 |
Hartford Financial Services Group Inc. | 5.500% | 10/15/16 | 4,750 | 5,094 |
Hartford Financial Services Group Inc. | 5.375% | 3/15/17 | 525 | 567 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 680 | 769 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 2,875 | 3,266 |
HCC Insurance Holdings Inc. | 6.300% | 11/15/19 | 600 | 691 |
Humana Inc. | 7.200% | 6/15/18 | 500 | 583 |
Humana Inc. | 2.625% | 10/1/19 | 1,500 | 1,499 |
Lincoln National Corp. | 8.750% | 7/1/19 | 2,025 | 2,542 |
4 Lincoln National Corp. | 7.000% | 5/17/66 | 6,925 | 6,942 |
4 Lincoln National Corp. | 6.050% | 4/20/67 | 1,000 | 1,001 |
Loews Corp. | 5.250% | 3/15/16 | 1,275 | 1,340 |
Manulife Financial Corp. | 3.400% | 9/17/15 | 3,925 | 3,995 |
Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 1,100 | 1,114 |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 400 | 408 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 6,000 | 6,015 |
MetLife Inc. | 6.750% | 6/1/16 | 5,780 | 6,232 |
MetLife Inc. | 1.756% | 12/15/17 | 150 | 151 |
MetLife Inc. | 1.903% | 12/15/17 | 9,200 | 9,221 |
MetLife Inc. | 6.817% | 8/15/18 | 5,218 | 6,092 |
MetLife Inc. | 7.717% | 2/15/19 | 804 | 977 |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,016 | 1,017 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 1,710 | 2,142 |
4 Progressive Corp. | 6.700% | 6/15/67 | 3,775 | 4,082 |
Protective Life Corp. | 7.375% | 10/15/19 | 1,600 | 1,929 |
Prudential Financial Inc. | 3.000% | 5/12/16 | 6,015 | 6,174 |
Prudential Financial Inc. | 6.100% | 6/15/17 | 562 | 621 |
Prudential Financial Inc. | 6.000% | 12/1/17 | 775 | 868 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 4,695 | 5,649 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 9,615 | 9,626 |
4 Prudential Financial Inc. | 8.875% | 6/15/68 | 2,581 | 3,017 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 1,200 | 1,396 |
4 Reinsurance Group of America Inc. | 6.750% | 12/15/65 | 2,800 | 2,863 |
4 StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 1,000 | 1,036 |
Torchmark Corp. | 6.375% | 6/15/16 | 1,250 | 1,342 |
Transatlantic Holdings Inc. | 5.750% | 12/14/15 | 1,800 | 1,865 |
Travelers Cos. Inc. | 5.500% | 12/1/15 | 4,400 | 4,580 |
Travelers Cos. Inc. | 6.250% | 6/20/16 | 1,325 | 1,428 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,825 | 3,191 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 1,756 | 2,032 |
UnitedHealth Group Inc. | 5.375% | 3/15/16 | 16 | 17 |
UnitedHealth Group Inc. | 1.875% | 11/15/16 | 1,462 | 1,486 |
UnitedHealth Group Inc. | 6.000% | 6/15/17 | 2,775 | 3,082 |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 3,000 | 2,996 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 7,475 | 8,431 |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 5,725 | 5,641 |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 3,625 | 3,636 |
Unum Group | 7.125% | 9/30/16 | 3,335 | 3,644 |
Voya Financial Inc. | 2.900% | 2/15/18 | 12,105 | 12,365 |
Willis Group Holdings plc | 4.125% | 3/15/16 | 2,525 | 2,603 |
Willis North America Inc. | 6.200% | 3/28/17 | 2,350 | 2,542 |
XLIT Ltd. | 2.300% | 12/15/18 | 1,376 | 1,376 |
4 XLIT Ltd. | 6.500% | 10/29/49 | 5,000 | 4,775 |
Other Finance (0.0%) | ||||
ORIX Corp. | 5.000% | 1/12/16 | 4,590 | 4,756 |
ORIX Corp. | 3.750% | 3/9/17 | 2,950 | 3,055 |
Real Estate Investment Trusts (0.4%) | ||||
AvalonBay Communities Inc. | 5.750% | 9/15/16 | 1,650 | 1,778 |
AvalonBay Communities Inc. | 5.700% | 3/15/17 | 35 | 38 |
12
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BioMed Realty LP | 3.850% | 4/15/16 | 3,735 | 3,850 |
BioMed Realty LP | 2.625% | 5/1/19 | 1,355 | 1,352 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 3,475 | 3,755 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 926 | 989 |
Digital Realty Trust LP | 4.500% | 7/15/15 | 5,225 | 5,277 |
Duke Realty LP | 7.375% | 2/15/15 | 2,700 | 2,719 |
Duke Realty LP | 8.250% | 8/15/19 | 1,825 | 2,255 |
Equity CommonWealth | 6.250% | 6/15/17 | 2,200 | 2,358 |
Equity CommonWealth | 6.650% | 1/15/18 | 2,850 | 3,124 |
ERP Operating LP | 5.125% | 3/15/16 | 2,565 | 2,689 |
ERP Operating LP | 5.375% | 8/1/16 | 4,675 | 4,979 |
ERP Operating LP | 5.750% | 6/15/17 | 4,507 | 4,959 |
Essex Portfolio LP | 5.500% | 3/15/17 | 2,175 | 2,351 |
HCP Inc. | 3.750% | 2/1/16 | 5,918 | 6,083 |
HCP Inc. | 6.300% | 9/15/16 | 1,000 | 1,083 |
HCP Inc. | 6.000% | 1/30/17 | 5,000 | 5,453 |
HCP Inc. | 5.625% | 5/1/17 | 1,300 | 1,417 |
HCP Inc. | 6.700% | 1/30/18 | 10,735 | 12,218 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 4,950 | 5,096 |
Health Care REIT Inc. | 6.200% | 6/1/16 | 975 | 1,041 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 50 | 54 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 6,514 | 6,556 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 1,631 | 1,737 |
Hospitality Properties Trust | 5.625% | 3/15/17 | 2,575 | 2,759 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 2,000 | 2,215 |
Kilroy Realty LP | 4.800% | 7/15/18 | 1,050 | 1,130 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 1,025 | 1,080 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 5,048 | 5,498 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 1,250 | 1,332 |
Liberty Property LP | 6.625% | 10/1/17 | 268 | 301 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,800 | 1,803 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 1,250 | 1,482 |
Prologis LP | 4.500% | 8/15/17 | 200 | 213 |
ProLogis LP | 2.750% | 2/15/19 | 5,000 | 5,076 |
Realty Income Corp. | 2.000% | 1/31/18 | 3,700 | 3,705 |
Realty Income Corp. | 6.750% | 8/15/19 | 3,225 | 3,790 |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 1,035 | 1,056 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 9,325 | 9,380 |
Simon Property Group LP | 5.250% | 12/1/16 | 6,225 | 6,656 |
Simon Property Group LP | 2.800% | 1/30/17 | 4,500 | 4,634 |
Simon Property Group LP | 2.150% | 9/15/17 | 2,935 | 2,992 |
Simon Property Group LP | 6.125% | 5/30/18 | 4,725 | 5,377 |
Simon Property Group LP | 2.200% | 2/1/19 | 4,000 | 4,020 |
UDR Inc. | 4.250% | 6/1/18 | 850 | 907 |
Ventas Realty LP | 1.250% | 4/17/17 | 3,000 | 2,974 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 8,100 | 8,100 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 2,325 | 2,462 |
Vornado Realty LP | 2.500% | 6/30/19 | 2,000 | 1,981 |
4,039,545 | ||||
Industrial (12.4%) | ||||
Basic Industry (0.9%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 1,250 | 1,442 |
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 3,975 | 4,042 |
Airgas Inc. | 1.650% | 2/15/18 | 1,650 | 1,633 |
Albemarle Corp. | 3.000% | 12/1/19 | 1,500 | 1,499 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 5,425 | 6,190 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 825 | 927 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 5,469 | 5,551 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 14,926 | 15,013 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 1,675 | 1,821 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 12,065 | 12,106 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 7,625 | 8,948 |
Celulosa Arauco y Constitucion SA | 5.625% | 4/20/15 | 3,475 | 3,486 |
13
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 2,100 | 2,452 |
CF Industries Inc. | 6.875% | 5/1/18 | 5,000 | 5,681 |
Dow Chemical Co. | 2.500% | 2/15/16 | 5,930 | 6,040 |
Dow Chemical Co. | 5.700% | 5/15/18 | 5,375 | 5,979 |
Dow Chemical Co. | 8.550% | 5/15/19 | 6,031 | 7,497 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 18,098 | 18,405 |
Ecolab Inc. | 3.000% | 12/8/16 | 7,200 | 7,435 |
Ecolab Inc. | 1.450% | 12/8/17 | 3,725 | 3,695 |
EI du Pont de Nemours & Co. | 2.750% | 4/1/16 | 2,000 | 2,050 |
EI du Pont de Nemours & Co. | 5.250% | 12/15/16 | 6,190 | 6,691 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 7,325 | 8,336 |
Freeport-McMoRan Copper & Gold Inc. | 2.150% | 3/1/17 | 7,020 | 7,031 |
Freeport-McMoRan Copper & Gold Inc. | 2.375% | 3/15/18 | 13,180 | 13,057 |
Freeport-McMoRan Inc. | 2.300% | 11/14/17 | 3,000 | 3,004 |
Georgia-Pacific LLC | 7.700% | 6/15/15 | 1,250 | 1,286 |
Goldcorp Inc. | 2.125% | 3/15/18 | 7,621 | 7,564 |
International Paper Co. | 5.250% | 4/1/16 | 2,230 | 2,347 |
International Paper Co. | 7.950% | 6/15/18 | 5,298 | 6,242 |
International Paper Co. | 9.375% | 5/15/19 | 35 | 45 |
Lubrizol Corp. | 8.875% | 2/1/19 | 150 | 188 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 17,475 | 19,041 |
Methanex Corp. | 3.250% | 12/15/19 | 1,025 | 1,019 |
Monsanto Co. | 2.750% | 4/15/16 | 4,468 | 4,570 |
Monsanto Co. | 1.150% | 6/30/17 | 8,000 | 7,943 |
Monsanto Co. | 5.125% | 4/15/18 | 925 | 1,019 |
Monsanto Co. | 1.850% | 11/15/18 | 800 | 797 |
Monsanto Co. | 2.125% | 7/15/19 | 8,750 | 8,707 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,925 | 2,063 |
Nucor Corp. | 5.750% | 12/1/17 | 5,609 | 6,207 |
Nucor Corp. | 5.850% | 6/1/18 | 2,468 | 2,757 |
Plum Creek Timberlands LP | 5.875% | 11/15/15 | 850 | 884 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 1,225 | 1,297 |
PPG Industries Inc. | 1.900% | 1/15/16 | 3,675 | 3,715 |
PPG Industries Inc. | 6.650% | 3/15/18 | 195 | 223 |
PPG Industries Inc. | 2.300% | 11/15/19 | 10,000 | 9,958 |
Praxair Inc. | 3.250% | 9/15/15 | 200 | 204 |
Praxair Inc. | 5.200% | 3/15/17 | 1,250 | 1,361 |
Praxair Inc. | 1.050% | 11/7/17 | 7,160 | 7,113 |
Praxair Inc. | 1.250% | 11/7/18 | 2,500 | 2,438 |
Rio Tinto Finance USA Ltd. | 2.500% | 5/20/16 | 2,758 | 2,810 |
Rio Tinto Finance USA Ltd. | 2.250% | 9/20/16 | 3,117 | 3,175 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 11,413 | 13,057 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 5,850 | 7,395 |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 6,400 | 6,417 |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 10,700 | 10,800 |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 2,500 | 2,491 |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 4,430 | 4,428 |
Rock-Tenn Co. | 4.450% | 3/1/19 | 2,000 | 2,135 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 1,000 | 1,108 |
RPM International Inc. | 6.500% | 2/15/18 | 1,500 | 1,676 |
RPM International Inc. | 6.125% | 10/15/19 | 325 | 369 |
Teck Resources Ltd. | 3.150% | 1/15/17 | 3,575 | 3,676 |
Teck Resources Ltd. | 3.850% | 8/15/17 | 50 | 51 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 1,950 | 1,901 |
Teck Resources Ltd. | 3.000% | 3/1/19 | 5,200 | 5,082 |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 5,425 | 5,623 |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 11,150 | 11,847 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 1,425 | 1,518 |
Valspar Corp. | 7.250% | 6/15/19 | 863 | 1,012 |
Capital Goods (1.1%) | ||||
3M Co. | 1.375% | 9/29/16 | 5,650 | 5,717 |
3M Co. | 1.000% | 6/26/17 | 3,000 | 2,994 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 675 | 749 |
14
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bemis Co. Inc. | 6.800% | 8/1/19 | 500 | 588 |
Boeing Capital Corp. | 2.125% | 8/15/16 | 4,675 | 4,768 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 11 | 11 |
Boeing Co. | 3.750% | 11/20/16 | 700 | 737 |
Boeing Co. | 0.950% | 5/15/18 | 5,500 | 5,373 |
Boeing Co. | 6.000% | 3/15/19 | 2,225 | 2,567 |
Caterpillar Financial Services Corp. | 2.650% | 4/1/16 | 2,050 | 2,100 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 8,450 | 8,610 |
Caterpillar Financial Services Corp. | 1.000% | 3/3/17 | 8,100 | 8,077 |
Caterpillar Financial Services Corp. | 1.625% | 6/1/17 | 15,030 | 15,148 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 9,297 | 9,263 |
Caterpillar Financial Services Corp. | 1.300% | 3/1/18 | 5,750 | 5,698 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 350 | 391 |
Caterpillar Financial Services Corp. | 2.450% | 9/6/18 | 2,800 | 2,863 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 8,358 | 9,991 |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 750 | 751 |
Caterpillar Inc. | 0.950% | 6/26/15 | 7,230 | 7,253 |
Caterpillar Inc. | 5.700% | 8/15/16 | 675 | 727 |
Caterpillar Inc. | 1.500% | 6/26/17 | 5,125 | 5,162 |
Caterpillar Inc. | 7.900% | 12/15/18 | 1,020 | 1,245 |
Cooper US Inc. | 2.375% | 1/15/16 | 2,518 | 2,557 |
Cooper US Inc. | 6.100% | 7/1/17 | 500 | 552 |
Crane Co. | 2.750% | 12/15/18 | 4,856 | 4,910 |
CRH America Inc. | 4.125% | 1/15/16 | 8,500 | 8,746 |
CRH America Inc. | 6.000% | 9/30/16 | 4,367 | 4,700 |
CRH America Inc. | 8.125% | 7/15/18 | 1,000 | 1,195 |
Danaher Corp. | 2.300% | 6/23/16 | 1,500 | 1,534 |
Danaher Corp. | 5.625% | 1/15/18 | 700 | 783 |
Danaher Corp. | 5.400% | 3/1/19 | 1,510 | 1,703 |
Eaton Corp. | 1.500% | 11/2/17 | 8,750 | 8,713 |
Eaton Corp. | 5.600% | 5/15/18 | 7,725 | 8,573 |
Eaton Corp. | 6.950% | 3/20/19 | 1,028 | 1,204 |
Emerson Electric Co. | 4.875% | 10/15/19 | 3,220 | 3,597 |
Exelis Inc. | 4.250% | 10/1/16 | 1,175 | 1,223 |
General Dynamics Corp. | 1.000% | 11/15/17 | 6,865 | 6,799 |
General Electric Co. | 5.250% | 12/6/17 | 37,850 | 41,994 |
Honeywell International Inc. | 5.300% | 3/1/18 | 6,681 | 7,422 |
Honeywell International Inc. | 5.000% | 2/15/19 | 3,450 | 3,875 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 2,757 | 2,759 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 2,675 | 3,119 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 9,745 | 11,258 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 1,150 | 1,168 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 500 | 500 |
John Deere Capital Corp. | 2.250% | 6/7/16 | 650 | 665 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 5,650 | 5,744 |
John Deere Capital Corp. | 1.050% | 12/15/16 | 3,200 | 3,213 |
John Deere Capital Corp. | 1.400% | 3/15/17 | 8,025 | 8,059 |
John Deere Capital Corp. | 1.125% | 6/12/17 | 6,000 | 5,979 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 1,105 | 1,151 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 3,000 | 2,984 |
John Deere Capital Corp. | 1.550% | 12/15/17 | 6,000 | 6,008 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 300 | 297 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 450 | 502 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 14,500 | 14,515 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 13,155 | 13,096 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 5,685 | 5,745 |
John Deere Capital Corp. | 2.300% | 9/16/19 | 2,500 | 2,514 |
Joy Global Inc. | 6.000% | 11/15/16 | 875 | 951 |
Kennametal Inc. | 2.650% | 11/1/19 | 2,400 | 2,373 |
L-3 Communications Corp. | 3.950% | 11/15/16 | 2,118 | 2,211 |
L-3 Communications Corp. | 1.500% | 5/28/17 | 5,000 | 4,954 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 4,075 | 4,469 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 7,435 | 7,572 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 3,925 | 4,280 |
15
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 100 | 113 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 7,778 | 8,133 |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 2,375 | 2,357 |
Owens Corning | 6.500% | 12/1/16 | 255 | 282 |
Parker Hannifin Corp. | 5.500% | 5/15/18 | 35 | 39 |
Pentair Finance SA | 1.350% | 12/1/15 | 1,070 | 1,073 |
Pentair Finance SA | 1.875% | 9/15/17 | 3,100 | 3,095 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 5,385 | 5,373 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 10,675 | 10,524 |
Raytheon Co. | 6.750% | 3/15/18 | 3,000 | 3,465 |
Raytheon Co. | 6.400% | 12/15/18 | 500 | 583 |
Republic Services Inc. | 3.800% | 5/15/18 | 6,442 | 6,812 |
Republic Services Inc. | 5.500% | 9/15/19 | 2,675 | 3,013 |
Roper Industries Inc. | 1.850% | 11/15/17 | 7,821 | 7,826 |
Roper Industries Inc. | 2.050% | 10/1/18 | 11,050 | 10,947 |
4 Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,490 | 2,689 |
Textron Inc. | 5.600% | 12/1/17 | ,000 | 1,100 |
Textron Inc. | 7.250% | 10/1/19 | 1,070 | 1,271 |
Tyco International Finance SA | 8.500% | 1/15/19 | 2,883 | 3,510 |
United Technologies Corp. | 1.800% | 6/1/17 | 15,505 | 15,730 |
United Technologies Corp. | 5.375% | 12/15/17 | 4,410 | 4,906 |
United Technologies Corp. | 6.125% | 2/1/19 | 1,350 | 1,568 |
Waste Management Inc. | 2.600% | 9/1/16 | 2,500 | 2,559 |
Waste Management Inc. | 6.100% | 3/15/18 | 9,110 | 10,283 |
Xylem Inc. | 3.550% | 9/20/16 | 81 | 84 |
Communication (1.8%) | ||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 6,300 | 7,427 |
America Movil SAB de CV | 2.375% | 9/8/16 | 16,278 | 16,590 |
American Tower Corp. | 4.500% | 1/15/18 | 12,260 | 13,021 |
American Tower Corp. | 3.400% | 2/15/19 | 6,000 | 6,106 |
AT&T Inc. | 0.800% | 12/1/15 | 2,475 | 2,474 |
AT&T Inc. | 0.900% | 2/12/16 | 8,094 | 8,093 |
AT&T Inc. | 2.950% | 5/15/16 | 6,425 | 6,589 |
AT&T Inc. | 2.400% | 8/15/16 | 4,200 | 4,283 |
AT&T Inc. | 1.600% | 2/15/17 | 14,750 | 14,800 |
AT&T Inc. | 1.700% | 6/1/17 | 11,888 | 11,931 |
AT&T Inc. | 1.400% | 12/1/17 | 15,275 | 15,118 |
AT&T Inc. | 5.500% | 2/1/18 | 18,754 | 20,715 |
AT&T Inc. | 5.600% | 5/15/18 | 5,400 | 6,015 |
AT&T Inc. | 2.375% | 11/27/18 | 3,650 | 3,679 |
AT&T Inc. | 2.300% | 3/11/19 | 19,500 | 19,476 |
British Telecommunications plc | 1.625% | 6/28/16 | 200 | 201 |
British Telecommunications plc | 1.250% | 2/14/17 | 850 | 845 |
British Telecommunications plc | 5.950% | 1/15/18 | 5,425 | 6,045 |
British Telecommunications plc | 2.350% | 2/14/19 | 11,775 | 11,715 |
CBS Corp. | 1.950% | 7/1/17 | 1,925 | 1,932 |
CBS Corp. | 2.300% | 8/15/19 | 11,575 | 11,434 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 2.381% | 12/15/17 | 2,430 | 2,450 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 1,100 | 1,287 |
Comcast Corp. | 5.900% | 3/15/16 | 9,322 | 9,892 |
Comcast Corp. | 4.950% | 6/15/16 | 2,175 | 2,305 |
Comcast Corp. | 6.500% | 1/15/17 | 3,093 | 3,418 |
Comcast Corp. | 6.300% | 11/15/17 | 4,500 | 5,093 |
Comcast Corp. | 5.875% | 2/15/18 | 10,425 | 11,727 |
Comcast Corp. | 5.700% | 5/15/18 | 8,686 | 9,785 |
COX Communications Inc. | 5.500% | 10/1/15 | 1,775 | 1,836 |
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 4,125 | 4,350 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 5,400 | 6,279 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 2,850 | 3,284 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.125% | 2/15/16 | 3,765 | 3,853 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 11,350 | 11,666 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 9,000 | 9,169 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 1.750% | 1/15/18 | 8,010 | 7,956 |
16
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 3,300 | 3,774 |
Discovery Communications LLC | 5.625% | 8/15/19 | 725 | 814 |
Embarq Corp. | 7.082% | 6/1/16 | 7,725 | 8,263 |
Historic TW Inc. | 6.875% | 6/15/18 | 800 | 924 |
Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 35 | 35 |
Moody's Corp. | 2.750% | 7/15/19 | 5,275 | 5,317 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 9,250 | 9,488 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 2,375 | 2,367 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 15,015 | 15,893 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 35 | 41 |
Orange SA | 2.750% | 9/14/16 | 3,944 | 4,029 |
Orange SA | 2.750% | 2/6/19 | 12,525 | 12,674 |
Orange SA | 5.375% | 7/8/19 | 3,025 | 3,393 |
Qwest Corp. | 6.500% | 6/1/17 | 4,450 | 4,871 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 7,414 | 8,551 |
Scripps Networks Interactive Inc. | 2.700% | 12/15/16 | 3,125 | 3,212 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 2,850 | 2,863 |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 13,500 | 13,910 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 5,050 | 5,412 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 17,500 | 17,971 |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 9,100 | 9,070 |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 3,550 | 3,536 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 1,730 | 1,971 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 8,950 | 9,773 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 25,925 | 29,730 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 8,941 | 11,068 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 2,055 | 2,515 |
Time Warner Inc. | 3.150% | 7/15/15 | 9,625 | 9,762 |
Time Warner Inc. | 5.875% | 11/15/16 | 50 | 54 |
Time Warner Inc. | 2.100% | 6/1/19 | 5,125 | 5,046 |
Verizon Communications Inc. | 2.500% | 9/15/16 | 13,618 | 13,913 |
Verizon Communications Inc. | 2.000% | 11/1/16 | 7,662 | 7,777 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 5,370 | 5,292 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 11,921 | 13,221 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 3,675 | 4,159 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 29,280 | 30,924 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 10,000 | 11,590 |
Viacom Inc. | 6.250% | 4/30/16 | 7,500 | 8,016 |
Viacom Inc. | 2.500% | 12/15/16 | 1,425 | 1,474 |
Viacom Inc. | 3.500% | 4/1/17 | 2,850 | 2,969 |
Viacom Inc. | 2.500% | 9/1/18 | 6,000 | 6,065 |
Viacom Inc. | 2.200% | 4/1/19 | 12,000 | 11,832 |
Vodafone Group plc | 5.625% | 2/27/17 | 8,762 | 9,494 |
Vodafone Group plc | 1.625% | 3/20/17 | 5,200 | 5,197 |
Vodafone Group plc | 1.250% | 9/26/17 | 4,750 | 4,690 |
Vodafone Group plc | 1.500% | 2/19/18 | 7,000 | 6,878 |
Vodafone Group plc | 4.625% | 7/15/18 | 5,320 | 5,746 |
Vodafone Group plc | 5.450% | 6/10/19 | 9,681 | 10,892 |
Walt Disney Co. | 0.450% | 12/1/15 | 68 | 68 |
Walt Disney Co. | 1.350% | 8/16/16 | 3,825 | 3,862 |
Walt Disney Co. | 1.125% | 2/15/17 | 12,436 | 12,454 |
Walt Disney Co. | 0.875% | 5/30/17 | 6,050 | 6,011 |
Walt Disney Co. | 1.100% | 12/1/17 | 7,075 | 7,036 |
Walt Disney Co. | 1.850% | 5/30/19 | 7,450 | 7,406 |
Consumer Cyclical (1.6%) | ||||
5 Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 7,600 | 7,567 |
5 Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 13,300 | 13,109 |
Amazon.com Inc. | 1.200% | 11/29/17 | 4,200 | 4,154 |
Amazon.com Inc. | 2.600% | 12/5/19 | 5,500 | 5,553 |
American Honda Finance Corp. | 1.125% | 10/7/16 | 5,500 | 5,526 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 2,500 | 2,491 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 11,000 | 11,037 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 5,000 | 5,027 |
17
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
American Honda Finance Corp. | 2.250% | 8/15/19 | 7,500 | 7,522 |
AutoNation Inc. | 6.750% | 4/15/18 | 2,250 | 2,517 |
AutoZone Inc. | 5.500% | 11/15/15 | 1,565 | 1,629 |
AutoZone Inc. | 1.300% | 1/13/17 | 2,775 | 2,766 |
AutoZone Inc. | 7.125% | 8/1/18 | 3,975 | 4,633 |
Brinker International Inc. | 2.600% | 5/15/18 | 10,450 | 10,423 |
Carnival Corp. | 1.200% | 2/5/16 | 1,950 | 1,949 |
Carnival Corp. | 1.875% | 12/15/17 | 2,525 | 2,505 |
5 CDK Global Inc. | 3.300% | 10/15/19 | 1,500 | 1,497 |
Costco Wholesale Corp. | 0.650% | 12/7/15 | 5,825 | 5,833 |
Costco Wholesale Corp. | 5.500% | 3/15/17 | 2,393 | 2,620 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 12,825 | 12,747 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 4,325 | 4,256 |
CVS Health Corp. | 6.125% | 8/15/16 | 614 | 663 |
CVS Health Corp. | 1.200% | 12/5/16 | 8,000 | 8,028 |
CVS Health Corp. | 5.750% | 6/1/17 | 3,038 | 3,353 |
CVS Health Corp. | 2.250% | 12/5/18 | 5,500 | 5,551 |
CVS Health Corp. | 2.250% | 8/12/19 | 10,230 | 10,194 |
Dollar General Corp. | 4.125% | 7/15/17 | 5,638 | 5,820 |
eBay Inc. | 1.350% | 7/15/17 | 4,675 | 4,640 |
eBay Inc. | 2.200% | 8/1/19 | 8,725 | 8,691 |
Expedia Inc. | 7.456% | 8/15/18 | 3,250 | 3,780 |
Ford Motor Co. | 6.500% | 8/1/18 | 1,392 | 1,584 |
Ford Motor Credit Co. LLC | 2.500% | 1/15/16 | 858 | 870 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 17,300 | 17,909 |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 2,250 | 2,330 |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 12,975 | 14,534 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 8,325 | 8,747 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 9,618 | 9,870 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 7,800 | 8,699 |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 9,500 | 9,391 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 23,694 | 23,834 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 11,906 | 12,938 |
Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 4,905 | 4,980 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 3,300 | 3,274 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 2,500 | 2,485 |
Home Depot Inc. | 5.400% | 3/1/16 | 20,825 | 21,946 |
Home Depot Inc. | 2.250% | 9/10/18 | 9,600 | 9,790 |
Home Depot Inc. | 2.000% | 6/15/19 | 5,800 | 5,810 |
Hyatt Hotels Corp. | 3.875% | 8/15/16 | 1,075 | 1,116 |
Johnson Controls Inc. | 5.500% | 1/15/16 | 1,469 | 1,539 |
Johnson Controls Inc. | 2.600% | 12/1/16 | 800 | 820 |
Johnson Controls Inc. | 1.400% | 11/2/17 | 6,000 | 5,950 |
Kohl's Corp. | 6.250% | 12/15/17 | 6,075 | 6,777 |
Lowe's Cos. Inc. | 2.125% | 4/15/16 | 500 | 508 |
Lowe's Cos. Inc. | 5.400% | 10/15/16 | 9,825 | 10,570 |
Lowe's Cos. Inc. | 1.625% | 4/15/17 | 5,800 | 5,849 |
Macy's Retail Holdings Inc. | 5.900% | 12/1/16 | 4,062 | 4,408 |
Marriott International Inc. | 6.200% | 6/15/16 | 1,400 | 1,501 |
Marriott International Inc. | 6.375% | 6/15/17 | 1,310 | 1,450 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,325 | 1,359 |
MasterCard Inc. | 2.000% | 4/1/19 | 3,925 | 3,932 |
McDonald's Corp. | 0.750% | 5/29/15 | 4,500 | 4,507 |
McDonald's Corp. | 5.300% | 3/15/17 | 500 | 543 |
McDonald's Corp. | 5.800% | 10/15/17 | 3,750 | 4,191 |
McDonald's Corp. | 5.350% | 3/1/18 | 5,675 | 6,288 |
McDonald's Corp. | 1.875% | 5/29/19 | 2,500 | 2,480 |
Nordstrom Inc. | 6.250% | 1/15/18 | 4,759 | 5,377 |
PACCAR Financial Corp. | 0.800% | 2/8/16 | 2,900 | 2,904 |
PACCAR Financial Corp. | 1.150% | 8/16/16 | 5,425 | 5,462 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 1,350 | 1,361 |
PACCAR Financial Corp. | 1.100% | 6/6/17 | 4,700 | 4,672 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 1,260 | 1,257 |
QVC Inc. | 3.125% | 4/1/19 | 2,250 | 2,249 |
18
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 1,700 | 1,712 |
Staples Inc. | 2.750% | 1/12/18 | 3,000 | 2,996 |
Starbucks Corp. | 0.875% | 12/5/16 | 8,760 | 8,737 |
Starbucks Corp. | 6.250% | 8/15/17 | 1,275 | 1,434 |
Starbucks Corp. | 2.000% | 12/5/18 | 2,875 | 2,902 |
Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 2,108 | 2,401 |
Target Corp. | 5.875% | 7/15/16 | 3,356 | 3,606 |
Target Corp. | 5.375% | 5/1/17 | 10,875 | 11,875 |
Target Corp. | 6.000% | 1/15/18 | 7,370 | 8,303 |
Target Corp. | 2.300% | 6/26/19 | 6,000 | 6,066 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 2,003 | 2,382 |
Toyota Motor Credit Corp. | 2.800% | 1/11/16 | 10,375 | 10,602 |
Toyota Motor Credit Corp. | 0.800% | 5/17/16 | 70 | 70 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 7,025 | 7,154 |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 10,857 | 11,068 |
Toyota Motor Credit Corp. | 1.125% | 5/16/17 | 2,750 | 2,741 |
Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 75 | 76 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 5,680 | 5,663 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 2,375 | 2,363 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 12,200 | 12,306 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 3,030 | 3,047 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 10,000 | 10,010 |
Wal-Mart Stores Inc. | 1.500% | 10/25/15 | 15,175 | 15,308 |
Wal-Mart Stores Inc. | 0.600% | 4/11/16 | 5,758 | 5,754 |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 300 | 308 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 100 | 109 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 8,427 | 9,526 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 5,694 | 5,628 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 3,975 | 4,006 |
Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 2,040 | 2,224 |
Walgreen Co. | 1.800% | 9/15/17 | 8,000 | 8,018 |
Walgreen Co. | 5.250% | 1/15/19 | 3,733 | 4,142 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 5,900 | 5,917 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 7,000 | 7,035 |
Western Union Co. | 5.930% | 10/1/16 | 2,150 | 2,309 |
Western Union Co. | 2.875% | 12/10/17 | 635 | 649 |
Western Union Co. | 3.650% | 8/22/18 | 3,450 | 3,577 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 3,755 | 3,837 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 560 | 559 |
Yum! Brands Inc. | 6.250% | 4/15/16 | 150 | 159 |
Consumer Noncyclical (3.1%) | ||||
AbbVie Inc. | 1.750% | 11/6/17 | 22,425 | 22,477 |
AbbVie Inc. | 2.000% | 11/6/18 | 6,000 | 5,978 |
Actavis Funding SCS | 1.300% | 6/15/17 | 5,850 | 5,738 |
Actavis Funding SCS | 2.450% | 6/15/19 | 2,800 | 2,755 |
Actavis Inc. | 1.875% | 10/1/17 | 10,400 | 10,334 |
Allergan Inc. | 5.750% | 4/1/16 | 70 | 74 |
Allergan Inc. | 1.350% | 3/15/18 | 2,975 | 2,908 |
Altria Group Inc. | 9.700% | 11/10/18 | 10,233 | 12,999 |
Altria Group Inc. | 9.250% | 8/6/19 | 4,586 | 5,893 |
Altria Group Inc. | 2.625% | 1/14/20 | 1,425 | 1,427 |
AmerisourceBergen Corp. | 1.150% | 5/15/17 | 5,750 | 5,707 |
Amgen Inc. | 2.300% | 6/15/16 | 3,550 | 3,613 |
Amgen Inc. | 2.500% | 11/15/16 | 2,625 | 2,676 |
Amgen Inc. | 2.125% | 5/15/17 | 20,700 | 20,986 |
Amgen Inc. | 1.250% | 5/22/17 | 5,700 | 5,654 |
Amgen Inc. | 5.850% | 6/1/17 | 11,750 | 12,953 |
Amgen Inc. | 2.200% | 5/22/19 | 10,650 | 10,610 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 3,875 | 4,306 |
Anheuser-Busch InBev Finance Inc. | 1.125% | 1/27/17 | 4,500 | 4,509 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 4,150 | 4,102 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 18,575 | 18,646 |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 13,410 | 13,721 |
19
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 19,630 | 19,615 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 13,575 | 16,438 |
Archer-Daniels-Midland Co. | 8.375% | 4/15/17 | 625 | 724 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 4,275 | 4,761 |
AstraZeneca plc | 5.900% | 9/15/17 | 10,988 | 12,282 |
AstraZeneca plc | 1.950% | 9/18/19 | 4,735 | 4,716 |
Baxter International Inc. | 5.900% | 9/1/16 | 3,300 | 3,553 |
Baxter International Inc. | 5.375% | 6/1/18 | 975 | 1,082 |
Baxter International Inc. | 1.850% | 6/15/18 | 8,230 | 8,192 |
Beam Suntory Inc. | 1.875% | 5/15/17 | 875 | 879 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 925 | 916 |
Becton Dickinson & Co. | 1.750% | 11/8/16 | 300 | 302 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 8,200 | 8,234 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 125 | 138 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 4,000 | 4,032 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 3,100 | 3,571 |
Boston Scientific Corp. | 6.400% | 6/15/16 | 6,295 | 6,735 |
Boston Scientific Corp. | 5.125% | 1/12/17 | 2,079 | 2,213 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 5,700 | 5,742 |
Bottling Group LLC | 5.500% | 4/1/16 | 1,500 | 1,587 |
Bottling Group LLC | 5.125% | 1/15/19 | 8,000 | 8,939 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 5,750 | 5,699 |
Brown-Forman Corp. | 2.500% | 1/15/16 | 625 | 636 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 2,275 | 2,234 |
Bunge Ltd. Finance Corp. | 5.100% | 7/15/15 | 1,925 | 1,967 |
Bunge Ltd. Finance Corp. | 4.100% | 3/15/16 | 1,375 | 1,420 |
Bunge Ltd. Finance Corp. | 3.200% | 6/15/17 | 1,050 | 1,084 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 1,750 | 2,152 |
Campbell Soup Co. | 3.050% | 7/15/17 | 1,000 | 1,034 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 8,550 | 8,481 |
CareFusion Corp. | 6.375% | 8/1/19 | 4,785 | 5,529 |
Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 1,450 | 1,447 |
Celgene Corp. | 1.900% | 8/15/17 | 2,150 | 2,160 |
Celgene Corp. | 2.300% | 8/15/18 | 2,188 | 2,203 |
Celgene Corp. | 2.250% | 5/15/19 | 4,250 | 4,218 |
Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 1,243 | 1,270 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 2,000 | 1,997 |
Clorox Co. | 5.950% | 10/15/17 | 70 | 78 |
Coca-Cola Co. | 1.800% | 9/1/16 | 3,200 | 3,253 |
Coca-Cola Co. | 0.750% | 11/1/16 | 1,000 | 1,000 |
Coca-Cola Co. | 5.350% | 11/15/17 | 18,915 | 20,987 |
Coca-Cola Co. | 1.150% | 4/1/18 | 6,989 | 6,912 |
Coca-Cola Co. | 1.650% | 11/1/18 | 14,675 | 14,647 |
Coca-Cola Co. | 4.875% | 3/15/19 | 35 | 39 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 9,000 | 8,938 |
Coca-Cola HBC Finance BV | 5.500% | 9/17/15 | 2,000 | 2,051 |
Colgate-Palmolive Co. | 1.300% | 1/15/17 | 300 | 302 |
Colgate-Palmolive Co. | 2.625% | 5/1/17 | 3,085 | 3,198 |
Colgate-Palmolive Co. | 0.900% | 5/1/18 | 2,050 | 2,014 |
Colgate-Palmolive Co. | 1.500% | 11/1/18 | 1,575 | 1,567 |
Colgate-Palmolive Co. | 1.750% | 3/15/19 | 3,525 | 3,501 |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 8,925 | 8,929 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 11,575 | 11,496 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 1,036 | 1,212 |
Covidien International Finance SA | 2.800% | 6/15/15 | 5,000 | 5,051 |
Covidien International Finance SA | 6.000% | 10/15/17 | 2,500 | 2,796 |
CR BARD Inc. | 2.875% | 1/15/16 | 200 | 204 |
CR Bard Inc. | 1.375% | 1/15/18 | 6,025 | 5,955 |
Delhaize Group SA | 6.500% | 6/15/17 | 1,900 | 2,097 |
DENTSPLY International Inc. | 2.750% | 8/15/16 | 1,500 | 1,533 |
Diageo Capital plc | 5.500% | 9/30/16 | 4,450 | 4,790 |
Diageo Capital plc | 1.500% | 5/11/17 | 10,445 | 10,456 |
Diageo Capital plc | 5.750% | 10/23/17 | 3,875 | 4,314 |
Diageo Capital plc | 1.125% | 4/29/18 | 2,750 | 2,690 |
20
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Diageo Finance BV | 5.300% | 10/28/15 | 3,075 | 3,188 |
Dignity Health | 2.637% | 11/1/19 | 1,950 | 1,967 |
Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 4,715 | 4,811 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 4,962 | 5,723 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 1,550 | 1,572 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 2,925 | 2,963 |
Eli Lilly & Co. | 5.200% | 3/15/17 | 5,785 | 6,292 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 3,250 | 3,266 |
Express Scripts Holding Co. | 3.125% | 5/15/16 | 5,571 | 5,719 |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 20,550 | 21,015 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 2,750 | 3,301 |
General Mills Inc. | 5.700% | 2/15/17 | 335 | 366 |
General Mills Inc. | 1.400% | 10/20/17 | 4,300 | 4,283 |
General Mills Inc. | 5.650% | 2/15/19 | 8,993 | 10,190 |
General Mills Inc. | 2.200% | 10/21/19 | 8,000 | 7,945 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 3,500 | 3,631 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 10,925 | 10,933 |
GlaxoSmithKline Capital Inc. | 0.700% | 3/18/16 | 2,875 | 2,876 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 14,295 | 16,099 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 22,935 | 23,044 |
Hasbro Inc. | 6.300% | 9/15/17 | 375 | 416 |
Hershey Co. | 5.450% | 9/1/16 | 700 | 752 |
Hershey Co. | 1.500% | 11/1/16 | 3,225 | 3,263 |
Hillshire Brands Co. | 2.750% | 9/15/15 | 500 | 504 |
Ingredion Inc. | 3.200% | 11/1/15 | 475 | 483 |
Johnson & Johnson | 2.150% | 5/15/16 | 1,800 | 1,837 |
Johnson & Johnson | 5.550% | 8/15/17 | 4,639 | 5,166 |
Johnson & Johnson | 1.125% | 11/21/17 | 600 | 599 |
Johnson & Johnson | 5.150% | 7/15/18 | 6,600 | 7,409 |
Johnson & Johnson | 1.650% | 12/5/18 | 3,475 | 3,480 |
Johnson & Johnson | 1.875% | 12/5/19 | 1,000 | 999 |
Kellogg Co. | 4.450% | 5/30/16 | 50 | 53 |
Kellogg Co. | 1.875% | 11/17/16 | 5,500 | 5,579 |
Kellogg Co. | 1.750% | 5/17/17 | 475 | 479 |
Kellogg Co. | 3.250% | 5/21/18 | 5,150 | 5,362 |
Kellogg Co. | 4.150% | 11/15/19 | 400 | 431 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 6,644 | 7,443 |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 693 | 800 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 2,765 | 3,322 |
Kimberly-Clark Corp. | 1.900% | 5/22/19 | 4,070 | 4,038 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 6,017 | 6,713 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 10,900 | 11,081 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 13,398 | 15,308 |
Kroger Co. | 2.200% | 1/15/17 | 1,452 | 1,476 |
Kroger Co. | 2.300% | 1/15/19 | 11,500 | 11,504 |
Kroger Co. | 6.150% | 1/15/20 | 3,485 | 4,030 |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 3,125 | 3,157 |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 1,425 | 1,420 |
Life Technologies Corp. | 3.500% | 1/15/16 | 1,725 | 1,767 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 8,150 | 8,396 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 3,425 | 4,151 |
Mattel Inc. | 2.500% | 11/1/16 | 1,764 | 1,801 |
Mattel Inc. | 1.700% | 3/15/18 | 2,606 | 2,588 |
Mattel Inc. | 2.350% | 5/6/19 | 1,670 | 1,662 |
McKesson Corp. | 0.950% | 12/4/15 | 1,294 | 1,297 |
McKesson Corp. | 3.250% | 3/1/16 | 13,875 | 14,206 |
McKesson Corp. | 1.292% | 3/10/17 | 2,000 | 1,992 |
McKesson Corp. | 2.284% | 3/15/19 | 9,000 | 8,958 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 725 | 798 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 8,735 | 10,085 |
Medtronic Inc. | 3.000% | 3/15/15 | 5,300 | 5,327 |
Medtronic Inc. | 2.625% | 3/15/16 | 2,900 | 2,965 |
5 Medtronic Inc. | 1.500% | 3/15/18 | 2,800 | 2,787 |
Medtronic Inc. | 1.375% | 4/1/18 | 4,100 | 4,050 |
21
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Medtronic Inc. | 5.600% | 3/15/19 | 1,000 | 1,141 |
Merck & Co. Inc. | 2.250% | 1/15/16 | 14,700 | 14,950 |
Merck & Co. Inc. | 1.100% | 1/31/18 | 13,350 | 13,205 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 600 | 596 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 6,325 | 7,117 |
Molson Coors Brewing Co. | 2.000% | 5/1/17 | 250 | 252 |
Mondelez International Inc. | 4.125% | 2/9/16 | 12,180 | 12,589 |
Mondelez International Inc. | 6.500% | 8/11/17 | 9,475 | 10,619 |
Mondelez International Inc. | 6.125% | 2/1/18 | 7,050 | 7,920 |
Mondelez International Inc. | 6.125% | 8/23/18 | 1,875 | 2,131 |
Mylan Inc. | 1.800% | 6/24/16 | 5,619 | 5,654 |
Mylan Inc. | 1.350% | 11/29/16 | 2,175 | 2,166 |
Mylan Inc. | 2.600% | 6/24/18 | 10,500 | 10,621 |
Mylan Inc. | 2.550% | 3/28/19 | 8,664 | 8,629 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 1,175 | 1,174 |
Newell Rubbermaid Inc. | 2.875% | 12/1/19 | 2,200 | 2,200 |
Novartis Capital Corp. | 2.900% | 4/24/15 | 13,225 | 13,329 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 5,123 | 5,757 |
PepsiCo Inc. | 0.750% | 3/5/15 | 1,000 | 1,001 |
PepsiCo Inc. | 0.700% | 2/26/16 | 12,000 | 12,013 |
PepsiCo Inc. | 2.500% | 5/10/16 | 5,200 | 5,313 |
PepsiCo Inc. | 0.950% | 2/22/17 | 3,500 | 3,487 |
PepsiCo Inc. | 5.000% | 6/1/18 | 6,938 | 7,646 |
PepsiCo Inc. | 7.900% | 11/1/18 | 6,725 | 8,174 |
PepsiCo Inc. | 2.250% | 1/7/19 | 8,525 | 8,642 |
Perrigo Co. plc | 2.300% | 11/8/18 | 4,850 | 4,842 |
Pfizer Inc. | 0.900% | 1/15/17 | 10,000 | 9,975 |
Pfizer Inc. | 1.100% | 5/15/17 | 6,300 | 6,299 |
Pfizer Inc. | 1.500% | 6/15/18 | 18 | 18 |
Pfizer Inc. | 6.200% | 3/15/19 | 18,748 | 21,824 |
Pfizer Inc. | 2.100% | 5/15/19 | 14,500 | 14,572 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 6,500 | 6,660 |
Philip Morris International Inc. | 1.625% | 3/20/17 | 454 | 459 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 11,760 | 11,714 |
Philip Morris International Inc. | 1.250% | 11/9/17 | 2,000 | 1,991 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 12,025 | 13,549 |
Philip Morris International Inc. | 1.875% | 1/15/19 | 3,925 | 3,901 |
Procter & Gamble Co. | 3.150% | 9/1/15 | 1,300 | 1,322 |
Procter & Gamble Co. | 4.850% | 12/15/15 | 5,500 | 5,725 |
Procter & Gamble Co. | 1.450% | 8/15/16 | 5,463 | 5,529 |
Procter & Gamble Co. | 1.600% | 11/15/18 | 17 | 17 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 7,651 | 8,506 |
Procter & Gamble Co. | 1.900% | 11/1/19 | 1,300 | 1,302 |
Quest Diagnostics Inc. | 3.200% | 4/1/16 | 2,100 | 2,152 |
Quest Diagnostics Inc. | 6.400% | 7/1/17 | 11 | 12 |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 2,900 | 2,924 |
Reynolds American Inc. | 6.750% | 6/15/17 | 4,725 | 5,264 |
Reynolds American Inc. | 7.750% | 6/1/18 | 150 | 175 |
Sanofi | 2.625% | 3/29/16 | 14,255 | 14,604 |
Sanofi | 1.250% | 4/10/18 | 10,410 | 10,301 |
Stryker Corp. | 3.000% | 1/15/15 | 1,500 | 1,501 |
Stryker Corp. | 2.000% | 9/30/16 | 3,118 | 3,170 |
Sysco Corp. | 1.450% | 10/2/17 | 2,750 | 2,749 |
Sysco Corp. | 5.250% | 2/12/18 | 200 | 222 |
Sysco Corp. | 2.350% | 10/2/19 | 5,025 | 5,054 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 3,213 | 3,272 |
Thermo Fisher Scientific Inc. | 3.200% | 5/1/15 | 1,600 | 1,613 |
Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 4,400 | 4,505 |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 8,035 | 8,162 |
Thermo Fisher Scientific Inc. | 1.300% | 2/1/17 | 345 | 343 |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 6,000 | 5,963 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 9,580 | 9,650 |
Unilever Capital Corp. | 0.850% | 8/2/17 | 6,875 | 6,803 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 4,383 | 4,866 |
22
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Unilever Capital Corp. | 2.200% | 3/6/19 | 4,250 | 4,290 |
Whirlpool Corp. | 1.350% | 3/1/17 | 1,525 | 1,522 |
Whirlpool Corp. | 1.650% | 11/1/17 | 1,000 | 998 |
Whirlpool Corp. | 2.400% | 3/1/19 | 7,820 | 7,771 |
Wyeth LLC | 5.500% | 2/15/16 | 6,500 | 6,847 |
Wyeth LLC | 5.450% | 4/1/17 | 900 | 987 |
Zimmer Holdings Inc. | 4.625% | 11/30/19 | 675 | 738 |
Zoetis Inc. | 1.150% | 2/1/16 | 5,400 | 5,395 |
Zoetis Inc. | 1.875% | 2/1/18 | 3,475 | 3,445 |
Energy (2.1%) | ||||
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 1,500 | 1,605 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 17,329 | 19,269 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 3,830 | 4,697 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 3,098 | 3,626 |
Apache Corp. | 5.625% | 1/15/17 | 175 | 189 |
Apache Corp. | 1.750% | 4/15/17 | 7,050 | 7,073 |
Apache Corp. | 6.900% | 9/15/18 | 1,750 | 2,027 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 875 | 1,044 |
Boardwalk Pipelines LP | 5.500% | 2/1/17 | 2,025 | 2,137 |
BP Capital Markets plc | 3.200% | 3/11/16 | 12,850 | 13,197 |
BP Capital Markets plc | 2.248% | 11/1/16 | 2,183 | 2,225 |
BP Capital Markets plc | 1.846% | 5/5/17 | 6,775 | 6,831 |
BP Capital Markets plc | 1.375% | 11/6/17 | 9,150 | 9,050 |
BP Capital Markets plc | 1.375% | 5/10/18 | 9,675 | 9,504 |
BP Capital Markets plc | 2.241% | 9/26/18 | 5,025 | 5,043 |
BP Capital Markets plc | 4.750% | 3/10/19 | 5,500 | 6,017 |
BP Capital Markets plc | 2.237% | 5/10/19 | 12,978 | 12,932 |
Buckeye Partners LP | 6.050% | 1/15/18 | 400 | 441 |
Buckeye Partners LP | 2.650% | 11/15/18 | 1,000 | 982 |
Cameron International Corp. | 1.150% | 12/15/16 | 2,700 | 2,670 |
Cameron International Corp. | 6.375% | 7/15/18 | 4,525 | 5,092 |
Canadian Natural Resources Ltd. | 6.000% | 8/15/16 | 4,000 | 4,329 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 5,175 | 5,618 |
Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 3,150 | 3,102 |
Canadian Natural Resources Ltd. | 5.900% | 2/1/18 | 1,025 | 1,133 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 5,875 | 6,534 |
CenterPoint Energy Resources Corp. | 6.125% | 11/1/17 | 3,587 | 4,017 |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 1,800 | 2,031 |
Chevron Corp. | 0.889% | 6/24/16 | 3,000 | 3,010 |
Chevron Corp. | 1.345% | 11/15/17 | 10,190 | 10,204 |
Chevron Corp. | 1.104% | 12/5/17 | 10,994 | 10,943 |
Chevron Corp. | 1.718% | 6/24/18 | 13,800 | 13,854 |
Chevron Corp. | 4.950% | 3/3/19 | 225 | 251 |
Chevron Corp. | 2.193% | 11/15/19 | 11,075 | 11,117 |
ConocoPhillips | 6.650% | 7/15/18 | 2,180 | 2,524 |
ConocoPhillips | 5.750% | 2/1/19 | 12,375 | 14,065 |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 2,200 | 2,376 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 13,305 | 13,139 |
DCP Midstream Operating LP | 2.500% | 12/1/17 | 12,310 | 12,301 |
DCP Midstream Operating LP | 2.700% | 4/1/19 | 3,125 | 3,056 |
Devon Energy Corp. | 2.250% | 12/15/18 | 6,945 | 6,921 |
Devon Energy Corp. | 6.300% | 1/15/19 | 4,875 | 5,558 |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 35 | 38 |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 5,000 | 5,002 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 3,025 | 3,269 |
5 Enable Midstream Partners LP | 2.400% | 5/15/19 | 3,925 | 3,813 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 4,575 | 5,182 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 2,100 | 2,657 |
Encana Corp. | 5.900% | 12/1/17 | 2,625 | 2,868 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 12,200 | 13,216 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 14,209 | 15,966 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 18 | 22 |
23
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 2,250 | 2,215 |
Ensco plc | 3.250% | 3/15/16 | 15,247 | 15,548 |
Enterprise Products Operating LLC | 3.200% | 2/1/16 | 2,025 | 2,074 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 6,850 | 7,669 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 4,085 | 4,667 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 2,675 | 3,066 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 2,525 | 2,499 |
4 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 4,050 | 4,349 |
4 Enterprise Products Operating LLC | 7.034% | 1/15/68 | 7,822 | 8,575 |
EOG Resources Inc. | 2.950% | 6/1/15 | 1,725 | 1,742 |
EOG Resources Inc. | 2.500% | 2/1/16 | 1,495 | 1,523 |
EOG Resources Inc. | 6.875% | 10/1/18 | 2,850 | 3,332 |
EOG Resources Inc. | 2.450% | 4/1/20 | 2,770 | 2,756 |
EQT Corp. | 6.500% | 4/1/18 | 35 | 39 |
EQT Corp. | 8.125% | 6/1/19 | 6,130 | 7,385 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 1,650 | 1,638 |
Halliburton Co. | 1.000% | 8/1/16 | 2,150 | 2,150 |
Halliburton Co. | 2.000% | 8/1/18 | 1,750 | 1,742 |
Halliburton Co. | 5.900% | 9/15/18 | 6,950 | 7,849 |
Halliburton Co. | 6.150% | 9/15/19 | 425 | 493 |
Hess Corp. | 8.125% | 2/15/19 | 4,300 | 5,116 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 3,122 | 3,193 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 8,000 | 8,643 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 10,903 | 12,037 |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 4,895 | 5,431 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 3,000 | 2,986 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 5,000 | 4,954 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 35 | 41 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 6,725 | 7,474 |
Marathon Petroleum Corp. | 3.500% | 3/1/16 | 3,550 | 3,638 |
Murphy Oil Corp. | 2.500% | 12/1/17 | 3,800 | 3,777 |
Nabors Industries Inc. | 2.350% | 9/15/16 | 7,475 | 7,396 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 5,575 | 5,793 |
Nabors Industries Inc. | 9.250% | 1/15/19 | 675 | 784 |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 3,500 | 3,457 |
Nisource Finance Corp. | 5.250% | 9/15/17 | 3,905 | 4,271 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 7,650 | 8,713 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 1,688 | 1,982 |
Noble Energy Inc. | 8.250% | 3/1/19 | 5,318 | 6,402 |
Noble Holding International Ltd. | 2.500% | 3/15/17 | 1,050 | 998 |
Occidental Petroleum Corp. | 2.500% | 2/1/16 | 11,700 | 11,896 |
Occidental Petroleum Corp. | 4.125% | 6/1/16 | 2,800 | 2,925 |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 11,024 | 11,089 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 1,750 | 1,732 |
ONEOK Partners LP | 3.250% | 2/1/16 | 4,221 | 4,307 |
ONEOK Partners LP | 2.000% | 10/1/17 | 5,900 | 5,868 |
ONEOK Partners LP | 8.625% | 3/1/19 | 2,400 | 2,900 |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 3,000 | 3,327 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 800 | 909 |
Petro-Canada | 6.050% | 5/15/18 | 4,480 | 5,051 |
Phillips 66 | 2.950% | 5/1/17 | 16,792 | 17,331 |
Pioneer Natural Resources Co. | 6.650% | 3/15/17 | 5,075 | 5,548 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 2,620 | 2,952 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.950% | 9/15/15 | 500 | 511 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.125% | 1/15/17 | 2,500 | 2,727 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 1,450 | 1,645 |
Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 1,750 | 2,179 |
Pride International Inc. | 8.500% | 6/15/19 | 1,995 | 2,389 |
Shell International Finance BV | 0.900% | 11/15/16 | 5,500 | 5,481 |
Shell International Finance BV | 5.200% | 3/22/17 | 5,000 | 5,426 |
Shell International Finance BV | 1.125% | 8/21/17 | 9,195 | 9,124 |
Shell International Finance BV | 1.900% | 8/10/18 | 12,975 | 13,006 |
Shell International Finance BV | 2.000% | 11/15/18 | 3,200 | 3,203 |
Shell International Finance BV | 4.300% | 9/22/19 | 11,000 | 12,060 |
24
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 5,325 | 5,734 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 2,620 | 2,941 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 3,300 | 3,672 |
Spectra Energy Partners LP | 2.950% | 6/15/16 | 2,000 | 2,049 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 1,725 | 1,757 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 15,672 | 17,566 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 4,325 | 4,983 |
Texas Gas Transmission LLC | 4.600% | 6/1/15 | 325 | 330 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 10,175 | 10,123 |
Total Capital International SA | 0.750% | 1/25/16 | 3,600 | 3,596 |
Total Capital International SA | 1.000% | 8/12/16 | 700 | 699 |
Total Capital International SA | 1.500% | 2/17/17 | 3,713 | 3,727 |
Total Capital International SA | 1.550% | 6/28/17 | 7,525 | 7,538 |
Total Capital International SA | 2.125% | 1/10/19 | 11,475 | 11,503 |
Total Capital International SA | 2.100% | 6/19/19 | 7,900 | 7,923 |
Total Capital SA | 2.300% | 3/15/16 | 13,244 | 13,482 |
Total Capital SA | 2.125% | 8/10/18 | 5,050 | 5,086 |
TransCanada PipeLines Ltd. | 0.750% | 1/15/16 | 3,566 | 3,558 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 3,200 | 3,661 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 2,575 | 3,004 |
4 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 5,975 | 5,803 |
Transocean Inc. | 4.950% | 11/15/15 | 4,925 | 4,943 |
Transocean Inc. | 5.050% | 12/15/16 | 8,525 | 8,525 |
Transocean Inc. | 2.500% | 10/15/17 | 6,750 | 5,957 |
Transocean Inc. | 6.000% | 3/15/18 | 12,675 | 12,168 |
Valero Energy Corp. | 6.125% | 6/15/17 | 10,028 | 11,007 |
Valero Energy Corp. | 9.375% | 3/15/19 | 2,000 | 2,492 |
Weatherford International LLC | 6.350% | 6/15/17 | 8,970 | 9,601 |
Weatherford International Ltd. | 6.000% | 3/15/18 | 1,404 | 1,486 |
Weatherford International Ltd. | 9.625% | 3/1/19 | 4,127 | 4,891 |
Western Gas Partners LP | 2.600% | 8/15/18 | 4,500 | 4,516 |
Williams Partners LP/Williams Partners Finance Corp. | 7.250% | 2/1/17 | 6,250 | 6,891 |
XTO Energy Inc. | 6.250% | 8/1/17 | 1,557 | 1,751 |
XTO Energy Inc. | 5.500% | 6/15/18 | 2,425 | 2,727 |
Other Industrial (0.0%) | ||||
Yale University Connecticut GO | 2.086% | 4/15/19 | 3,550 | 3,567 |
Technology (1.5%) | ||||
Altera Corp. | 1.750% | 5/15/17 | 3,945 | 3,952 |
Altera Corp. | 2.500% | 11/15/18 | 18,550 | 18,706 |
Amphenol Corp. | 1.550% | 9/15/17 | 3,000 | 2,990 |
Amphenol Corp. | 2.550% | 1/30/19 | 7,435 | 7,483 |
Analog Devices Inc. | 3.000% | 4/15/16 | 2,148 | 2,198 |
Apple Inc. | 0.450% | 5/3/16 | 8,975 | 8,968 |
Apple Inc. | 1.050% | 5/5/17 | 12,225 | 12,246 |
Apple Inc. | 1.000% | 5/3/18 | 22,342 | 21,980 |
Apple Inc. | 2.100% | 5/6/19 | 10,000 | 10,082 |
Applied Materials Inc. | 2.650% | 6/15/16 | 2,705 | 2,764 |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,000 | 2,051 |
Autodesk Inc. | 1.950% | 12/15/17 | 1,975 | 1,981 |
Avnet Inc. | 6.625% | 9/15/16 | 1,435 | 1,552 |
Baidu Inc. | 2.250% | 11/28/17 | 4,600 | 4,606 |
Baidu Inc. | 3.250% | 8/6/18 | 1,400 | 1,430 |
Baidu Inc. | 2.750% | 6/9/19 | 8,000 | 7,952 |
Broadcom Corp. | 2.700% | 11/1/18 | 3,766 | 3,872 |
CA Inc. | 5.375% | 12/1/19 | 725 | 803 |
Cisco Systems Inc. | 5.500% | 2/22/16 | 22,434 | 23,662 |
Cisco Systems Inc. | 1.100% | 3/3/17 | 6,325 | 6,338 |
Cisco Systems Inc. | 3.150% | 3/14/17 | 35 | 37 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 8,542 | 9,548 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 21,310 | 21,398 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 1,000 | 1,009 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 2,525 | 2,822 |
25
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Corning Inc. | 1.450% | 11/15/17 | 6,350 | 6,308 |
Corning Inc. | 6.625% | 5/15/19 | 5,000 | 5,867 |
Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 2,100 | 2,159 |
EMC Corp. | 1.875% | 6/1/18 | 19,475 | 19,452 |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 2,500 | 2,486 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 1,682 | 1,672 |
Fiserv Inc. | 3.125% | 6/15/16 | 1,208 | 1,241 |
Fiserv Inc. | 6.800% | 11/20/17 | 2,725 | 3,087 |
Google Inc. | 2.125% | 5/19/16 | 5,710 | 5,834 |
Harris Corp. | 5.950% | 12/1/17 | 1,750 | 1,953 |
Hewlett-Packard Co. | 2.200% | 12/1/15 | 50 | 50 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 9,860 | 10,043 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 7,660 | 7,868 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 5,365 | 5,539 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 7,730 | 7,878 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 1,660 | 1,831 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 19,200 | 19,478 |
Intel Corp. | 1.950% | 10/1/16 | 11,300 | 11,521 |
Intel Corp. | 1.350% | 12/15/17 | 26,130 | 26,088 |
International Business Machines Corp. | 2.000% | 1/5/16 | 2,500 | 2,537 |
International Business Machines Corp. | 0.450% | 5/6/16 | 2,295 | 2,286 |
International Business Machines Corp. | 1.950% | 7/22/16 | 22,016 | 22,437 |
International Business Machines Corp. | 1.250% | 2/6/17 | 5,665 | 5,685 |
International Business Machines Corp. | 5.700% | 9/14/17 | 15,053 | 16,782 |
International Business Machines Corp. | 1.250% | 2/8/18 | 8,625 | 8,581 |
International Business Machines Corp. | 7.625% | 10/15/18 | 6,610 | 7,979 |
International Business Machines Corp. | 1.950% | 2/12/19 | 10,275 | 10,262 |
Intuit Inc. | 5.750% | 3/15/17 | 2,450 | 2,674 |
Jabil Circuit Inc. | 8.250% | 3/15/18 | 1,350 | 1,556 |
Juniper Networks Inc. | 3.100% | 3/15/16 | 600 | 612 |
5 Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,200 | 3,181 |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 1,275 | 1,283 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,100 | 1,121 |
Lexmark International Inc. | 6.650% | 6/1/18 | 2,675 | 2,976 |
Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,000 | 2,997 |
Microsoft Corp. | 2.500% | 2/8/16 | 4,500 | 4,606 |
Microsoft Corp. | 1.000% | 5/1/18 | 150 | 148 |
Microsoft Corp. | 1.625% | 12/6/18 | 1,000 | 999 |
Microsoft Corp. | 4.200% | 6/1/19 | 5,925 | 6,513 |
National Semiconductor Corp. | 6.600% | 6/15/17 | 2,575 | 2,900 |
NetApp Inc. | 2.000% | 12/15/17 | 4,500 | 4,526 |
Oracle Corp. | 5.250% | 1/15/16 | 4,989 | 5,227 |
Oracle Corp. | 1.200% | 10/15/17 | 20,985 | 20,919 |
Oracle Corp. | 5.750% | 4/15/18 | 5,955 | 6,726 |
Oracle Corp. | 2.375% | 1/15/19 | 6,250 | 6,357 |
Oracle Corp. | 5.000% | 7/8/19 | 14,500 | 16,238 |
Oracle Corp. | 2.250% | 10/8/19 | 15,000 | 15,080 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 2,200 | 2,404 |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 1,825 | 1,984 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 4,549 | 5,133 |
5 Seagate HDD Cayman | 3.750% | 11/15/18 | 12,592 | 12,938 |
Symantec Corp. | 2.750% | 6/15/17 | 2,200 | 2,229 |
Tech Data Corp. | 3.750% | 9/21/17 | 2,500 | 2,584 |
Texas Instruments Inc. | 2.375% | 5/16/16 | 11,225 | 11,490 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 3,400 | 3,337 |
Total System Services Inc. | 2.375% | 6/1/18 | 3,425 | 3,395 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 6,755 | 7,609 |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 3,450 | 3,445 |
Xerox Corp. | 6.400% | 3/15/16 | 3,000 | 3,184 |
Xerox Corp. | 2.950% | 3/15/17 | 5,825 | 5,990 |
Xerox Corp. | 6.350% | 5/15/18 | 1,029 | 1,163 |
Xerox Corp. | 2.750% | 3/15/19 | 13,500 | 13,547 |
Xerox Corp. | 5.625% | 12/15/19 | 1,075 | 1,209 |
Xilinx Inc. | 2.125% | 3/15/19 | 4,725 | 4,696 |
26
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Transportation (0.3%) | ||||
Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 1,725 | 1,894 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 4,821 | 5,402 |
Canadian National Railway Co. | 5.800% | 6/1/16 | 1,250 | 1,338 |
Canadian National Railway Co. | 1.450% | 12/15/16 | 5,425 | 5,463 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 475 | 532 |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 744 | 852 |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 2,905 | 3,470 |
Con-way Inc. | 7.250% | 1/15/18 | 2,670 | 3,036 |
4 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 1,743 | 2,009 |
CSX Corp. | 5.600% | 5/1/17 | 3,400 | 3,724 |
CSX Corp. | 6.250% | 3/15/18 | 8,475 | 9,622 |
CSX Corp. | 7.375% | 2/1/19 | 13 | 16 |
4 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 1,694 | 1,956 |
4 Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 664 | 732 |
4 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,645 | 1,760 |
FedEx Corp. | 8.000% | 1/15/19 | 3,365 | 4,097 |
Norfolk Southern Corp. | 5.750% | 1/15/16 | 1,197 | 1,256 |
Norfolk Southern Corp. | 7.700% | 5/15/17 | 5,600 | 6,403 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 2,150 | 2,467 |
Ryder System Inc. | 3.600% | 3/1/16 | 4,000 | 4,118 |
Ryder System Inc. | 5.850% | 11/1/16 | 100 | 108 |
Ryder System Inc. | 2.500% | 3/1/17 | 2,650 | 2,690 |
Ryder System Inc. | 3.500% | 6/1/17 | 1,000 | 1,041 |
Ryder System Inc. | 2.500% | 3/1/18 | 2,500 | 2,549 |
Ryder System Inc. | 2.450% | 11/15/18 | 7,925 | 7,925 |
Ryder System Inc. | 2.350% | 2/26/19 | 4,135 | 4,109 |
Ryder System Inc. | 2.450% | 9/3/19 | 6,200 | 6,148 |
Southwest Airlines Co. | 5.750% | 12/15/16 | 20 | 22 |
Southwest Airlines Co. | 5.125% | 3/1/17 | 70 | 75 |
Southwest Airlines Co. | 2.750% | 11/6/19 | 5,000 | 5,025 |
4 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 4,161 | 4,582 |
Union Pacific Corp. | 5.750% | 11/15/17 | 1,700 | 1,900 |
Union Pacific Corp. | 5.700% | 8/15/18 | 2,600 | 2,962 |
Union Pacific Corp. | 2.250% | 2/15/19 | 3,200 | 3,239 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 5,975 | 6,681 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 9,711 | 10,916 |
4,795,348 | ||||
Utilities (1.2%) | ||||
Electric (1.1%) | ||||
Ameren Illinois Co. | 6.125% | 11/15/17 | 2,000 | 2,256 |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 5,400 | 5,402 |
Arizona Public Service Co. | 4.650% | 5/15/15 | 975 | 989 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 2,060 | 2,591 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 2,390 | 2,592 |
Berkshire Hathaway Energy Co. | 1.100% | 5/15/17 | 5,425 | 5,375 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 4,525 | 5,073 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 1,825 | 1,822 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 2,550 | 2,904 |
Cleveland Electric Illuminating Co. | 5.700% | 4/1/17 | 519 | 559 |
Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 1,400 | 1,731 |
CMS Energy Corp. | 6.550% | 7/17/17 | 2,500 | 2,790 |
CMS Energy Corp. | 5.050% | 2/15/18 | 2,500 | 2,710 |
CMS Energy Corp. | 8.750% | 6/15/19 | 4,925 | 6,162 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 1,975 | 2,131 |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 4,147 | 4,214 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 2,525 | 2,833 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 500 | 563 |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 4,375 | 4,407 |
Connecticut Light & Power Co. | 5.650% | 5/1/18 | 775 | 870 |
Consolidated Edison Co. of New York Inc. | 5.375% | 12/15/15 | 35 | 37 |
Consolidated Edison Co. of New York Inc. | 5.500% | 9/15/16 | 3,783 | 4,069 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 5,395 | 6,105 |
27
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,675 | 1,986 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 4,550 | 5,370 |
Consumers Energy Co. | 5.500% | 8/15/16 | 1,256 | 1,348 |
Consumers Energy Co. | 5.650% | 9/15/18 | 2,625 | 2,991 |
Consumers Energy Co. | 6.125% | 3/15/19 | 8,600 | 9,981 |
Dayton Power & Light Co. | 1.875% | 9/15/16 | 1,850 | 1,867 |
Dominion Resources Inc. | 2.250% | 9/1/15 | 200 | 202 |
Dominion Resources Inc. | 1.950% | 8/15/16 | 6,050 | 6,117 |
Dominion Resources Inc. | 1.250% | 3/15/17 | 125 | 125 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 200 | 198 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 864 | 986 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 1,625 | 1,812 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 900 | 902 |
DTE Electric Co. | 5.600% | 6/15/18 | 35 | 40 |
DTE Energy Co. | 2.400% | 12/1/19 | 2,850 | 2,851 |
Duke Energy Carolinas LLC | 5.300% | 10/1/15 | 1,993 | 2,063 |
Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 5,000 | 5,073 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 6,692 | 7,427 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 50 | 59 |
Duke Energy Corp. | 1.625% | 8/15/17 | 9,240 | 9,247 |
Duke Energy Corp. | 2.100% | 6/15/18 | 3,950 | 3,986 |
Duke Energy Corp. | 6.250% | 6/15/18 | 695 | 794 |
Duke Energy Corp. | 5.050% | 9/15/19 | 975 | 1,089 |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 4,847 | 5,466 |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 3,500 | 3,921 |
Edison International | 3.750% | 9/15/17 | 475 | 502 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 7,000 | 7,911 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 2,935 | 3,467 |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 5,060 | 5,624 |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 2,100 | 2,320 |
Florida Power & Light Co. | 5.550% | 11/1/17 | 50 | 56 |
Georgia Power Co. | 0.625% | 11/15/15 | 5,730 | 5,726 |
Georgia Power Co. | 3.000% | 4/15/16 | 2,400 | 2,466 |
Georgia Power Co. | 5.700% | 6/1/17 | 3,200 | 3,526 |
Georgia Power Co. | 5.400% | 6/1/18 | 3,500 | 3,908 |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 4,772 | 5,650 |
4 Integrys Energy Group Inc. | 6.110% | 12/1/66 | 1,000 | 1,005 |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 1,125 | 1,225 |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 5,000 | 5,990 |
Kentucky Utilities Co. | 1.625% | 11/1/15 | 2,550 | 2,569 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 1,575 | 1,882 |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 925 | 1,029 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 900 | 1,001 |
Mississippi Power Co. | 2.350% | 10/15/16 | 3,075 | 3,141 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 1,200 | 1,233 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 6,045 | 6,599 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 10,535 | 11,737 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 125 | 163 |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 8,975 | 9,002 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 400 | 399 |
Nevada Power Co. | 6.500% | 5/15/18 | 4,725 | 5,443 |
Nevada Power Co. | 6.500% | 8/1/18 | 6,750 | 7,821 |
Nevada Power Co. | 7.125% | 3/15/19 | 300 | 358 |
NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 3,851 | 4,098 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 2,850 | 3,247 |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 300 | 299 |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 2,000 | 2,020 |
4 NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 2,225 | 2,219 |
4 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 5,050 | 5,100 |
Northeast Utilities | 1.450% | 5/1/18 | 3,700 | 3,653 |
Northern States Power Co. | 1.950% | 8/15/15 | 1,749 | 1,758 |
Northern States Power Co. | 5.250% | 3/1/18 | 2,325 | 2,573 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 3,025 | 3,360 |
NSTAR LLC | 4.500% | 11/15/19 | 375 | 408 |
28
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ohio Power Co. | 6.000% | 6/1/16 | 425 | 453 |
Ohio Power Co. | 6.050% | 5/1/18 | 1,000 | 1,127 |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,000 | 2,175 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 1,715 | 1,999 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 4,400 | 4,381 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 11,820 | 13,139 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 2,625 | 3,168 |
PacifiCorp | 5.650% | 7/15/18 | 6,050 | 6,828 |
PacifiCorp | 5.500% | 1/15/19 | 5,740 | 6,484 |
Peco Energy Co. | 1.200% | 10/15/16 | 5,530 | 5,551 |
Peco Energy Co. | 5.350% | 3/1/18 | 3,782 | 4,194 |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 2,550 | 2,823 |
Pepco Holdings Inc. | 2.700% | 10/1/15 | 2,200 | 2,228 |
PG&E Corp. | 2.400% | 3/1/19 | 5,950 | 5,952 |
Portland General Electric Co. | 6.100% | 4/15/19 | 2,850 | 3,303 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 2,910 | 2,905 |
Progress Energy Inc. | 5.625% | 1/15/16 | 2,800 | 2,935 |
Progress Energy Inc. | 7.050% | 3/15/19 | 1,550 | 1,837 |
Progress Energy Inc. | 4.875% | 12/1/19 | 2,575 | 2,846 |
PSEG Power LLC | 5.500% | 12/1/15 | 3,888 | 4,049 |
PSEG Power LLC | 2.750% | 9/15/16 | 1,857 | 1,902 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 425 | 480 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 3,531 | 4,152 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 250 | 282 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 11,725 | 11,890 |
Public Service Electric & Gas Co. | 2.000% | 8/15/19 | 3,000 | 3,001 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 1,200 | 1,282 |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 5,228 | 5,900 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 713 | 832 |
Southern California Edison Co. | 1.125% | 5/1/17 | 6,960 | 6,946 |
Southern California Edison Co. | 5.500% | 8/15/18 | 5,555 | 6,257 |
Southern Co. | 1.300% | 8/15/17 | 2,250 | 2,243 |
Southern Co. | 2.150% | 9/1/19 | 1,125 | 1,115 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 2,825 | 3,052 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 200 | 223 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,072 | 3,574 |
Tampa Electric Co. | 6.100% | 5/15/18 | 2,845 | 3,242 |
TECO Finance Inc. | 4.000% | 3/15/16 | 3,115 | 3,225 |
TransAlta Corp. | 6.650% | 5/15/18 | 1,725 | 1,936 |
Union Electric Co. | 5.400% | 2/1/16 | 5,000 | 5,243 |
Union Electric Co. | 6.700% | 2/1/19 | 1,325 | 1,559 |
Virginia Electric & Power Co. | 5.400% | 1/15/16 | 100 | 105 |
Virginia Electric & Power Co. | 5.950% | 9/15/17 | 2,575 | 2,873 |
Virginia Electric & Power Co. | 1.200% | 1/15/18 | 6,005 | 5,930 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 125 | 140 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 500 | 498 |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 350 | 380 |
4 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 2,400 | 2,412 |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 2,060 | 2,297 |
Xcel Energy Inc. | 0.750% | 5/9/16 | 1,050 | 1,048 |
Natural Gas (0.1%) | ||||
AGL Capital Corp. | 5.250% | 8/15/19 | 225 | 252 |
Atmos Energy Corp. | 6.350% | 6/15/17 | 35 | 39 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 150 | 173 |
National Grid plc | 6.300% | 8/1/16 | 3,468 | 3,744 |
ONE Gas Inc. | 2.070% | 2/1/19 | 5,675 | 5,683 |
Sempra Energy | 6.500% | 6/1/16 | 4,700 | 5,049 |
Sempra Energy | 2.300% | 4/1/17 | 7,400 | 7,537 |
Sempra Energy | 6.150% | 6/15/18 | 11,000 | 12,467 |
Sempra Energy | 9.800% | 2/15/19 | 3,445 | 4,424 |
29
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 200 | 223 |
476,561 | ||||
Total Corporate Bonds (Cost $9,273,694) | 9,311,454 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (7.8%) | ||||
African Development Bank | 6.875% | 10/15/15 | 105 | 110 |
African Development Bank | 2.500% | 3/15/16 | 250 | 256 |
African Development Bank | 1.250% | 9/2/16 | 5,350 | 5,404 |
African Development Bank | 1.125% | 3/15/17 | 9,085 | 9,127 |
African Development Bank | 0.875% | 5/15/17 | 7,000 | 6,983 |
African Development Bank | 0.875% | 3/15/18 | 30,500 | 30,088 |
Asian Development Bank | 2.500% | 3/15/16 | 26,850 | 27,494 |
Asian Development Bank | 0.500% | 6/20/16 | 20,200 | 20,150 |
Asian Development Bank | 0.750% | 1/11/17 | 14,500 | 14,488 |
Asian Development Bank | 1.125% | 3/15/17 | 10,350 | 10,401 |
Asian Development Bank | 5.250% | 6/12/17 | 2,300 | 2,535 |
Asian Development Bank | 5.593% | 7/16/18 | 6,380 | 7,189 |
Asian Development Bank | 1.750% | 9/11/18 | 7,550 | 7,625 |
Asian Development Bank | 1.875% | 10/23/18 | 4,260 | 4,320 |
Asian Development Bank | 1.750% | 3/21/19 | 13,200 | 13,283 |
Asian Development Bank | 1.875% | 4/12/19 | 3,900 | 3,942 |
Banco do Brasil SA | 3.875% | 1/23/17 | 2,275 | 2,333 |
Canada | 0.875% | 2/14/17 | 24,100 | 24,115 |
Canada | 1.625% | 2/27/19 | 6,350 | 6,364 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 9,475 | 9,318 |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 7,300 | 7,277 |
Corporacion Andina de Fomento | 1.500% | 8/8/17 | 10,800 | 10,834 |
Corporacion Andina de Fomento | 5.125% | 5/5/15 | 2,925 | 2,961 |
Corporacion Andina de Fomento | 3.750% | 1/15/16 | 6,883 | 7,057 |
Corporacion Andina de Fomento | 5.750% | 1/12/17 | 1,400 | 1,516 |
Corporacion Andina de Fomento | 8.125% | 6/4/19 | 3,705 | 4,586 |
Council Of Europe Development Bank | 2.625% | 2/16/16 | 4,600 | 4,712 |
Council Of Europe Development Bank | 1.250% | 9/22/16 | 6,000 | 6,058 |
Council Of Europe Development Bank | 1.500% | 2/22/17 | 1,750 | 1,772 |
Council Of Europe Development Bank | 1.500% | 6/19/17 | 14,175 | 14,333 |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 6,075 | 6,013 |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 6,250 | 6,192 |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 2,000 | 1,992 |
6 Development Bank of Japan Inc. | 5.125% | 2/1/17 | 3,650 | 3,959 |
Ecopetrol SA | 4.250% | 9/18/18 | 5,000 | 5,200 |
Ecopetrol SA | 7.625% | 7/23/19 | 7,050 | 8,090 |
European Bank for Reconstruction & Development | 2.500% | 3/15/16 | 11,950 | 12,240 |
European Bank for Reconstruction & Development | 1.375% | 10/20/16 | 7,600 | 7,688 |
European Bank for Reconstruction & Development | 1.000% | 2/16/17 | 10,300 | 10,329 |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 9,625 | 9,542 |
European Bank for Reconstruction & Development | 1.000% | 6/15/18 | 8,100 | 7,992 |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 18,850 | 18,515 |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 5,475 | 5,501 |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 5,600 | 5,609 |
European Investment Bank | 1.625% | 9/1/15 | 8,750 | 8,830 |
European Investment Bank | 2.250% | 3/15/16 | 9,750 | 9,959 |
European Investment Bank | 0.625% | 4/15/16 | 17,750 | 17,784 |
European Investment Bank | 2.500% | 5/16/16 | 13,325 | 13,681 |
European Investment Bank | 2.125% | 7/15/16 | 20,025 | 20,491 |
European Investment Bank | 0.500% | 8/15/16 | 20,500 | 20,447 |
European Investment Bank | 5.125% | 9/13/16 | 4,000 | 4,299 |
European Investment Bank | 1.250% | 10/14/16 | 25,200 | 25,453 |
European Investment Bank | 1.125% | 12/15/16 | 47,150 | 47,207 |
European Investment Bank | 4.875% | 1/17/17 | 17,100 | 18,487 |
European Investment Bank | 1.750% | 3/15/17 | 25,000 | 25,467 |
European Investment Bank | 0.875% | 4/18/17 | 22,800 | 22,687 |
30
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
European Investment Bank | 5.125% | 5/30/17 | 25,100 | 27,569 |
European Investment Bank | 1.625% | 6/15/17 | 19,000 | 19,298 |
European Investment Bank | 1.000% | 8/17/17 | 30,950 | 30,850 |
European Investment Bank | 1.125% | 9/15/17 | 30,350 | 30,387 |
European Investment Bank | 1.000% | 12/15/17 | 17,500 | 17,417 |
European Investment Bank | 1.000% | 3/15/18 | 15,000 | 14,861 |
European Investment Bank | 1.000% | 6/15/18 | 17,000 | 16,777 |
European Investment Bank | 1.625% | 12/18/18 | 13,500 | 13,548 |
European Investment Bank | 1.875% | 3/15/19 | 40,000 | 40,442 |
European Investment Bank | 1.750% | 6/17/19 | 45,100 | 45,175 |
Export Development Canada | 1.250% | 10/27/15 | 3,000 | 3,013 |
Export Development Canada | 1.250% | 10/26/16 | 8,000 | 8,061 |
Export Development Canada | 0.625% | 12/15/16 | 3,325 | 3,314 |
7 Export Development Canada | 1.000% | 5/15/17 | 9,575 | 9,565 |
Export Development Canada | 0.750% | 12/15/17 | 1,850 | 1,819 |
Export Development Canada | 1.500% | 10/3/18 | 3,775 | 3,784 |
7 Export Development Canada | 1.750% | 8/19/19 | 3,800 | 3,793 |
7 Export Development Canada | 1.625% | 12/3/19 | 11,600 | 11,537 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 2,400 | 2,504 |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 21,000 | 22,027 |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 3,250 | 3,230 |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 7,900 | 8,105 |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 1,650 | 1,657 |
Federative Republic of Brazil | 6.000% | 1/17/17 | 16,850 | 18,240 |
Federative Republic of Brazil | 5.875% | 1/15/19 | 7,300 | 8,103 |
FMS Wertmanagement AoeR | 0.625% | 4/18/16 | 10,750 | 10,768 |
FMS Wertmanagement AoeR | 1.125% | 10/14/16 | 5,000 | 5,037 |
FMS Wertmanagement AoeR | 0.625% | 1/30/17 | 16,100 | 15,991 |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 5,600 | 5,600 |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 9,725 | 9,606 |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 13,250 | 13,287 |
Hydro-Quebec | 2.000% | 6/30/16 | 9,855 | 10,037 |
Hydro-Quebec | 1.375% | 6/19/17 | 5,300 | 5,313 |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 8,900 | 8,891 |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 6,250 | 6,320 |
Inter-American Development Bank | 0.625% | 9/12/16 | 8,000 | 7,971 |
Inter-American Development Bank | 5.125% | 9/13/16 | 500 | 537 |
Inter-American Development Bank | 1.375% | 10/18/16 | 16,750 | 16,955 |
Inter-American Development Bank | 0.875% | 11/15/16 | 25,550 | 25,575 |
Inter-American Development Bank | 1.125% | 3/15/17 | 26,785 | 26,928 |
Inter-American Development Bank | 1.000% | 7/14/17 | 12,400 | 12,371 |
Inter-American Development Bank | 2.375% | 8/15/17 | 7,800 | 8,063 |
Inter-American Development Bank | 0.875% | 3/15/18 | 13,725 | 13,534 |
Inter-American Development Bank | 1.750% | 8/24/18 | 14,625 | 14,769 |
Inter-American Development Bank | 1.125% | 9/12/19 | 9,200 | 8,952 |
Inter-American Development Bank | 3.875% | 9/17/19 | 9,500 | 10,409 |
Inter-American Development Bank | 1.750% | 10/15/19 | 17,400 | 17,296 |
International Bank for Reconstruction & Development | 2.375% | 5/26/15 | 4,000 | 4,034 |
International Bank for Reconstruction & Development | 2.125% | 3/15/16 | 43,725 | 44,604 |
International Bank for Reconstruction & Development | 5.000% | 4/1/16 | 4,600 | 4,857 |
International Bank for Reconstruction & Development | 0.500% | 4/15/16 | 15,000 | 15,003 |
International Bank for Reconstruction & Development | 0.500% | 5/16/16 | 19,100 | 19,081 |
International Bank for Reconstruction & Development | 1.000% | 9/15/16 | 23,400 | 23,534 |
International Bank for Reconstruction & Development | 0.625% | 10/14/16 | 15,250 | 15,162 |
International Bank for Reconstruction & Development | 0.750% | 12/15/16 | 9,750 | 9,746 |
International Bank for Reconstruction & Development | 0.875% | 4/17/17 | 26,500 | 26,491 |
International Bank for Reconstruction & Development | 1.125% | 7/18/17 | 11,700 | 11,709 |
International Bank for Reconstruction & Development | 1.375% | 4/10/18 | 22,500 | 22,517 |
International Bank for Reconstruction & Development | 1.875% | 3/15/19 | 27,500 | 27,782 |
International Bank for Reconstruction & Development | 1.875% | 10/7/19 | 21,800 | 21,873 |
International Finance Corp. | 2.750% | 4/20/15 | 13,550 | 13,643 |
International Finance Corp. | 2.250% | 4/11/16 | 3,500 | 3,577 |
International Finance Corp. | 0.500% | 5/16/16 | 1,850 | 1,849 |
International Finance Corp. | 0.625% | 11/15/16 | 1,500 | 1,496 |
31
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Finance Corp. | 1.125% | 11/23/16 | 32,675 | 32,878 |
International Finance Corp. | 1.000% | 4/24/17 | 17,800 | 17,767 |
International Finance Corp. | 2.125% | 11/17/17 | 50 | 51 |
International Finance Corp. | 0.875% | 6/15/18 | 19,600 | 19,221 |
International Finance Corp. | 1.250% | 7/16/18 | 3,300 | 3,274 |
International Finance Corp. | 1.750% | 9/4/18 | 22,400 | 22,588 |
International Finance Corp. | 1.750% | 9/16/19 | 12,500 | 12,448 |
6 Japan Bank for International Cooperation | 2.500% | 1/21/16 | 6,200 | 6,328 |
6 Japan Bank for International Cooperation | 2.500% | 5/18/16 | 6,800 | 6,978 |
6 Japan Bank for International Cooperation | 2.250% | 7/13/16 | 12,480 | 12,783 |
6 Japan Bank for International Cooperation | 1.125% | 7/19/17 | 12,325 | 12,325 |
6 Japan Bank for International Cooperation | 1.750% | 7/31/18 | 14,500 | 14,609 |
6 Japan Bank for International Cooperation | 1.750% | 11/13/18 | 12,200 | 12,263 |
6 Japan Bank for International Cooperation | 2.125% | 2/7/19 | 6,300 | 6,410 |
6 Japan Bank for International Cooperation | 1.750% | 5/29/19 | 11,950 | 11,909 |
6 Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 4,000 | 4,366 |
8 KFW | 1.250% | 10/26/15 | 27,125 | 27,331 |
8 KFW | 2.625% | 2/16/16 | 18,050 | 18,502 |
8 KFW | 5.125% | 3/14/16 | 11,875 | 12,539 |
8 KFW | 0.500% | 4/19/16 | 29,750 | 29,764 |
8 KFW | 2.000% | 6/1/16 | 21,825 | 22,284 |
8 KFW | 0.500% | 7/15/16 | 26,400 | 26,243 |
8 KFW | 1.250% | 10/5/16 | 18,700 | 18,891 |
8 KFW | 0.625% | 12/15/16 | 21,300 | 21,260 |
8 KFW | 1.250% | 2/15/17 | 23,650 | 23,869 |
8 KFW | 0.750% | 3/17/17 | 27,500 | 27,324 |
8 KFW | 0.875% | 9/5/17 | 27,400 | 27,285 |
8 KFW | 0.875% | 12/15/17 | 18,000 | 17,782 |
8 KFW | 4.375% | 3/15/18 | 18,950 | 20,771 |
8 KFW | 1.000% | 6/11/18 | 34,400 | 33,974 |
8 KFW | 4.500% | 7/16/18 | 13,075 | 14,451 |
8 KFW | 1.875% | 4/1/19 | 8,800 | 8,898 |
8 KFW | 4.875% | 6/17/19 | 17,120 | 19,477 |
8 KFW | 1.750% | 10/15/19 | 9,800 | 9,768 |
Korea Development Bank | 4.375% | 8/10/15 | 6,475 | 6,608 |
Korea Development Bank | 3.250% | 3/9/16 | 1,875 | 1,919 |
Korea Development Bank | 3.875% | 5/4/17 | 14,025 | 14,671 |
Korea Development Bank | 3.500% | 8/22/17 | 6,500 | 6,769 |
Korea Development Bank | 1.500% | 1/22/18 | 1,000 | 987 |
Korea Development Bank | 3.000% | 3/17/19 | 5,400 | 5,565 |
Korea Finance Corp. | 3.250% | 9/20/16 | 12,075 | 12,456 |
Korea Finance Corp. | 2.250% | 8/7/17 | 2,650 | 2,679 |
8 Landwirtschaftliche Rentenbank | 2.500% | 2/15/16 | 10,150 | 10,374 |
8 Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 12,100 | 12,383 |
8 Landwirtschaftliche Rentenbank | 5.000% | 11/8/16 | 800 | 863 |
8 Landwirtschaftliche Rentenbank | 5.125% | 2/1/17 | 6,690 | 7,279 |
8 Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 6,125 | 6,094 |
8 Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 14,200 | 14,042 |
8 Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 10,800 | 10,956 |
8 Landwirtschaftliche Rentenbank | 1.750% | 4/15/19 | 5,925 | 5,922 |
8 Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 3,975 | 3,905 |
Nexen Energy ULC | 6.200% | 7/30/19 | 3,500 | 3,999 |
Nordic Investment Bank | 2.250% | 3/15/16 | 7,275 | 7,429 |
Nordic Investment Bank | 0.500% | 4/14/16 | 14,925 | 14,926 |
Nordic Investment Bank | 5.000% | 2/1/17 | 7,650 | 8,296 |
Nordic Investment Bank | 1.000% | 3/7/17 | 5,150 | 5,162 |
Nordic Investment Bank | 1.875% | 6/14/19 | 11,050 | 11,118 |
North American Development Bank | 2.300% | 10/10/18 | 2,700 | 2,721 |
9 Oesterreichische Kontrollbank AG | 4.875% | 2/16/16 | 5,529 | 5,802 |
9 Oesterreichische Kontrollbank AG | 2.000% | 6/3/16 | 7,850 | 8,012 |
9 Oesterreichische Kontrollbank AG | 0.750% | 12/15/16 | 7,235 | 7,232 |
9 Oesterreichische Kontrollbank AG | 1.125% | 5/29/18 | 12,050 | 11,936 |
9 Oesterreichische Kontrollbank AG | 1.625% | 3/12/19 | 6,500 | 6,504 |
Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 23,875 | 25,904 |
32
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Petrobras Global Finance BV | 2.000% | 5/20/16 | 9,000 | 8,603 |
Petrobras Global Finance BV | 3.250% | 3/17/17 | 2,075 | 1,992 |
Petrobras Global Finance BV | 3.000% | 1/15/19 | 11,500 | 10,184 |
Petrobras International Finance Co. SA | 3.875% | 1/27/16 | 24,625 | 24,256 |
Petrobras International Finance Co. SA | 6.125% | 10/6/16 | 100 | 101 |
Petrobras International Finance Co. SA | 3.500% | 2/6/17 | 13,950 | 13,386 |
Petrobras International Finance Co. SA | 5.875% | 3/1/18 | 9,000 | 8,850 |
Petrobras International Finance Co. SA | 8.375% | 12/10/18 | 2,115 | 2,231 |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 16,400 | 17,156 |
Petroleos Mexicanos | 3.500% | 7/18/18 | 17,000 | 17,277 |
Petroleos Mexicanos | 3.125% | 1/23/19 | 400 | 406 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 6,025 | 7,125 |
Province of British Columbia | 2.850% | 6/15/15 | 3,000 | 3,029 |
Province of British Columbia | 2.100% | 5/18/16 | 8,600 | 8,764 |
Province of British Columbia | 1.200% | 4/25/17 | 4,000 | 4,018 |
Province of Manitoba | 4.900% | 12/6/16 | 4,000 | 4,308 |
Province of Manitoba | 1.300% | 4/3/17 | 1,000 | 1,004 |
Province of Manitoba | 1.125% | 6/1/18 | 2,330 | 2,310 |
Province of Manitoba | 1.750% | 5/30/19 | 5,525 | 5,497 |
Province of New Brunswick | 5.200% | 2/21/17 | 200 | 218 |
Province of New Brunswick | 2.750% | 6/15/18 | 6,425 | 6,685 |
Province of Nova Scotia | 5.125% | 1/26/17 | 245 | 268 |
Province of Ontario | 2.300% | 5/10/16 | 17,500 | 17,856 |
Province of Ontario | 1.000% | 7/22/16 | 21,800 | 21,853 |
Province of Ontario | 1.600% | 9/21/16 | 24,600 | 24,876 |
Province of Ontario | 1.100% | 10/25/17 | 14,800 | 14,656 |
Province of Ontario | 3.150% | 12/15/17 | 1,150 | 1,207 |
Province of Ontario | 1.200% | 2/14/18 | 17,000 | 16,881 |
Province of Ontario | 2.000% | 9/27/18 | 5,950 | 6,012 |
Province of Ontario | 2.000% | 1/30/19 | 15,300 | 15,413 |
Province of Ontario | 1.650% | 9/27/19 | 9,500 | 9,355 |
Province of Ontario | 4.000% | 10/7/19 | 8,900 | 9,681 |
Quebec | 5.125% | 11/14/16 | 22,225 | 23,930 |
Republic of Colombia | 7.375% | 1/27/17 | 9,600 | 10,620 |
Republic of Colombia | 7.375% | 3/18/19 | 11,425 | 13,441 |
Republic of Italy | 4.750% | 1/25/16 | 13,000 | 13,504 |
Republic of Italy | 5.250% | 9/20/16 | 27,100 | 28,841 |
Republic of Italy | 5.375% | 6/12/17 | 500 | 541 |
Republic of Korea | 5.125% | 12/7/16 | 2,800 | 3,018 |
Republic of Korea | 7.125% | 4/16/19 | 10,650 | 12,852 |
Republic of Peru | 8.375% | 5/3/16 | 4,700 | 5,111 |
Republic of Peru | 7.125% | 3/30/19 | 6,900 | 8,159 |
Republic of Philippines | 9.875% | 1/15/19 | 5,000 | 6,528 |
Republic of Philippines | 8.375% | 6/17/19 | 15,825 | 20,098 |
Republic of Poland | 6.375% | 7/15/19 | 23,500 | 27,468 |
Republic of South Africa | 6.875% | 5/27/19 | 10,275 | 11,733 |
Republic of Turkey | 7.000% | 9/26/16 | 16,875 | 18,307 |
Republic of Turkey | 7.500% | 7/14/17 | 11,375 | 12,717 |
Republic of Turkey | 6.750% | 4/3/18 | 15,950 | 17,788 |
Republic of Turkey | 7.000% | 3/11/19 | 14,075 | 16,057 |
Republic of Turkey | 7.500% | 11/7/19 | 2,100 | 2,468 |
State of Israel | 5.500% | 11/9/16 | 4,025 | 4,363 |
State of Israel | 5.125% | 3/26/19 | 12,630 | 14,297 |
Statoil ASA | 1.800% | 11/23/16 | 5,475 | 5,556 |
Statoil ASA | 3.125% | 8/17/17 | 5,675 | 5,918 |
Statoil ASA | 1.250% | 11/9/17 | 6,100 | 6,058 |
Statoil ASA | 6.700% | 1/15/18 | 3,120 | 3,553 |
Statoil ASA | 1.200% | 1/17/18 | 1,475 | 1,457 |
Statoil ASA | 1.150% | 5/15/18 | 5,000 | 4,900 |
Statoil ASA | 1.950% | 11/8/18 | 700 | 699 |
Statoil ASA | 5.250% | 4/15/19 | 7,500 | 8,424 |
Statoil ASA | 2.250% | 11/8/19 | 7,875 | 7,871 |
Svensk Exportkredit AB | 0.625% | 5/31/16 | 10,800 | 10,811 |
Svensk Exportkredit AB | 2.125% | 7/13/16 | 6,100 | 6,237 |
33
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Svensk Exportkredit AB | 5.125% | 3/1/17 | 6,392 | 6,958 |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 3,335 | 3,391 |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 6,000 | 5,946 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 6,700 | 6,698 |
United Mexican States | 11.375% | 9/15/16 | 11,725 | 13,786 |
United Mexican States | 5.625% | 1/15/17 | 24,050 | 25,883 |
United Mexican States | 5.950% | 3/19/19 | 7,500 | 8,487 |
Total Sovereign Bonds (Cost $2,996,874) | 3,005,585 | |||
Taxable Municipal Bonds (0.1%) | ||||
California GO | 5.450% | 4/1/15 | 460 | 466 |
California GO | 3.950% | 11/1/15 | 6,405 | 6,593 |
California GO | 1.050% | 2/1/16 | 145 | 146 |
California GO | 5.950% | 4/1/16 | 2,890 | 3,080 |
California GO | 6.200% | 3/1/19 | 500 | 578 |
California GO | 6.200% | 10/1/19 | 3,325 | 3,940 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 910 | 1,019 |
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 1,650 | 1,640 |
Illinois GO | 4.511% | 3/1/15 | 550 | 554 |
Illinois GO | 5.365% | 3/1/17 | 5,000 | 5,363 |
Illinois GO | 5.665% | 3/1/18 | 8,500 | 9,339 |
Illinois GO | 5.877% | 3/1/19 | 3,980 | 4,412 |
Stanford University California GO | 4.750% | 5/1/19 | 1,150 | 1,279 |
Total Taxable Municipal Bonds (Cost $37,939) | 38,409 | |||
Shares | ||||
Temporary Cash Investment (0.6%) | ||||
Money Market Fund (0.6%) | ||||
10 Vanguard Market Liquidity Fund | ||||
(Cost $230,291) | 0.126% | 230,290,647 | 230,291 | |
Total Investments (99.9%) (Cost $38,459,853) | 38,514,841 | |||
Other Assets and Liabilities—Net (0.1%) | 39,661 | |||
Net Assets (100%) | 38,554,502 |
1 U.S. government guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 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 December 31, 2014, the aggregate value of these securities was $74,034,000, representing 0.2% of net assets.
6 Guaranteed by the Government of Japan.
7 Guaranteed by the Government of Canada.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the Republic of Austria.
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
34
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (52.1%) | |||||
U.S. Government Securities (50.3%) | |||||
United States Treasury Note/Bond | 3.375% | 11/15/19 | 38,324 | 41,510 | |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 257,937 | 282,722 | |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 102,030 | 98,938 | |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 443,205 | 483,231 | |
United States Treasury Note/Bond | 8.750% | 5/15/20 | 15,000 | 20,419 | |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 120,980 | 118,635 | |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 194,140 | 195,322 | |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 39,905 | 40,366 | |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 246,989 | 257,755 | |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 45,970 | 63,130 | |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 57,000 | 57,953 | |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 440,300 | 444,430 | |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 104,100 | 103,563 | |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 184,932 | 192,906 | |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 137,325 | 138,420 | |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 177,225 | 182,349 | |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 171,105 | 173,485 | |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 229,015 | 252,095 | |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 193,430 | 194,639 | |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 138,925 | 141,747 | |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 133,500 | 136,149 | |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 242,013 | 259,520 | |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 147,600 | 148,199 | |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 216,045 | 218,510 | |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 135,105 | 137,660 | |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 120,223 | 121,538 | |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 17,300 | 24,015 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 211,630 | 212,094 | |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 123,731 | 125,007 | |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 106,655 | 106,838 | |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 214,675 | 215,278 | |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 16,300 | 22,657 | |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 176,628 | 175,496 | |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 42,425 | 42,816 | |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 90,385 | 90,512 | |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 65,980 | 64,815 | |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 174,847 | 169,874 | |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 256,875 | 248,968 | |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 58,410 | 58,127 | |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 25,000 | 34,520 | |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 324,030 | 315,220 | |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 574,725 | 592,777 | |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 38,500 | 51,247 | |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 318,122 | 334,626 | |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 296,273 | 311,596 | |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 348,864 | 359,166 | |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 217,156 | 221,058 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 376,408 | 379,054 | |
8,660,952 | |||||
Agency Bonds and Notes (1.8%) | |||||
1 | AID-Israel | 5.500% | 9/18/23 | 1,000 | 1,236 |
1 | AID-Israel | 5.500% | 4/26/24 | 6,785 | 8,408 |
1 | AID-Jordan | 2.503% | 10/30/20 | 7,250 | 7,395 |
1 | AID-Tunisia | 2.452% | 7/24/21 | 2,175 | 2,221 |
2 | Federal Farm Credit Banks | 3.500% | 12/20/23 | 4,250 | 4,604 |
2 | Federal Home Loan Banks | 1.875% | 3/13/20 | 15,125 | 15,150 |
2 | Federal Home Loan Banks | 4.125% | 3/13/20 | 39,870 | 44,384 |
2 | Federal Home Loan Banks | 3.375% | 6/12/20 | 7,025 | 7,562 |
2 | Federal Home Loan Banks | 5.250% | 12/11/20 | 3,250 | 3,836 |
2 | Federal Home Loan Banks | 5.625% | 6/11/21 | 13,365 | 16,160 |
2 | Federal Home Loan Banks | 2.125% | 3/10/23 | 7,200 | 7,074 |
35
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Federal Home Loan Banks | 5.375% | 8/15/24 | 100 | 124 |
3 | Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 38,360 | 37,494 |
3 | Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 59,990 | 60,893 |
3,4 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 42,740 | 43,379 |
Private Export Funding Corp. | 2.250% | 3/15/20 | 4,000 | 4,038 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 9,940 | 11,094 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 3,725 | 3,779 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 10,276 | 9,869 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 3,500 | 3,717 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 3,350 | 3,258 | |
2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 6,100 | 6,747 |
2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 8,175 | 7,937 |
2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 7,875 | 8,018 |
318,377 | |||||
Total U.S. Government and Agency Obligations (Cost $8,771,002) | 8,979,329 | ||||
Corporate Bonds (40.0%) | |||||
Finance (12.8%) | |||||
Banking (7.4%) | |||||
Abbey National Treasury Services plc | 4.000% | 3/13/24 | 5,100 | 5,311 | |
American Express Co. | 2.650% | 12/2/22 | 10,048 | 9,857 | |
American Express Co. | 3.625% | 12/5/24 | 3,775 | 3,814 | |
Bancolombia SA | 5.950% | 6/3/21 | 5,000 | 5,345 | |
Bank of America Corp. | 5.625% | 7/1/20 | 16,670 | 18,983 | |
Bank of America Corp. | 5.875% | 1/5/21 | 7,600 | 8,841 | |
Bank of America Corp. | 5.000% | 5/13/21 | 13,335 | 14,842 | |
Bank of America Corp. | 5.700% | 1/24/22 | 13,175 | 15,256 | |
Bank of America Corp. | 3.300% | 1/11/23 | 23,600 | 23,550 | |
Bank of America Corp. | 4.100% | 7/24/23 | 12,850 | 13,532 | |
Bank of America Corp. | 4.125% | 1/22/24 | 13,000 | 13,656 | |
Bank of America Corp. | 4.000% | 4/1/24 | 17,920 | 18,664 | |
Bank of America Corp. | 4.200% | 8/26/24 | 16,450 | 16,789 | |
Bank of Montreal | 2.550% | 11/6/22 | 6,500 | 6,340 | |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 3,675 | 4,049 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 2,000 | 2,158 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 4,275 | 4,470 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 5,700 | 5,782 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 9,000 | 9,052 | |
Bank of Nova Scotia | 4.375% | 1/13/21 | 4,500 | 5,005 | |
Bank of Nova Scotia | 2.800% | 7/21/21 | 4,000 | 3,999 | |
Barclays Bank plc | 5.125% | 1/8/20 | 8,975 | 10,050 | |
Barclays Bank plc | 5.140% | 10/14/20 | 4,800 | 5,213 | |
Barclays Bank plc | 3.750% | 5/15/24 | 12,400 | 12,765 | |
BB&T Corp. | 2.450% | 1/15/20 | 7,000 | 6,979 | |
BB&T Corp. | 3.950% | 3/22/22 | 1,600 | 1,680 | |
BNP Paribas SA | 5.000% | 1/15/21 | 18,285 | 20,447 | |
BNP Paribas SA | 3.250% | 3/3/23 | 7,333 | 7,486 | |
BPCE SA | 4.000% | 4/15/24 | 7,900 | 8,261 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 8,340 | 8,267 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 7,500 | 8,254 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 5,050 | 5,098 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 2,400 | 2,434 | |
Capital One NA | 2.950% | 7/23/21 | 8,000 | 7,946 | |
5,6 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 2,100 | 2,569 |
Citigroup Inc. | 5.375% | 8/9/20 | 3,350 | 3,789 | |
Citigroup Inc. | 4.500% | 1/14/22 | 13,825 | 15,111 | |
Citigroup Inc. | 4.050% | 7/30/22 | 4,735 | 4,884 | |
Citigroup Inc. | 3.375% | 3/1/23 | 8,575 | 8,639 | |
Citigroup Inc. | 3.500% | 5/15/23 | 9,525 | 9,262 | |
Citigroup Inc. | 3.875% | 10/25/23 | 15,950 | 16,533 | |
Citigroup Inc. | 3.750% | 6/16/24 | 9,634 | 9,818 | |
Citigroup Inc. | 4.000% | 8/5/24 | 1,325 | 1,326 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 3,075 | 3,389 |
36
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 18,530 | 19,716 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 10,375 | 10,571 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 8,875 | 9,416 |
Credit Suisse | 5.400% | 1/14/20 | 7,215 | 8,058 |
Credit Suisse | 4.375% | 8/5/20 | 9,850 | 10,655 |
Credit Suisse | 3.000% | 10/29/21 | 7,100 | 7,046 |
Credit Suisse | 3.625% | 9/9/24 | 19,100 | 19,403 |
Deutsche Bank AG | 3.700% | 5/30/24 | 8,000 | 8,178 |
5 Deutsche Bank AG | 4.296% | 5/24/28 | 7,625 | 7,305 |
Discover Bank | 7.000% | 4/15/20 | 2,485 | 2,933 |
Discover Bank | 3.200% | 8/9/21 | 1,000 | 1,002 |
Discover Bank | 4.200% | 8/8/23 | 12,243 | 12,781 |
Discover Financial Services | 3.850% | 11/21/22 | 5,343 | 5,404 |
Discover Financial Services | 3.950% | 11/6/24 | 1,125 | 1,132 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 2,098 | 2,157 |
Fifth Third Bancorp | 4.300% | 1/16/24 | 4,425 | 4,624 |
Fifth Third Bank | 2.875% | 10/1/21 | 4,700 | 4,700 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,600 | 1,762 |
FirstMerit Corp. | 4.350% | 2/4/23 | 3,420 | 3,576 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 17,115 | 19,183 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 10,780 | 12,420 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 20,395 | 22,953 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 23,560 | 27,260 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 9,482 | 9,617 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 16,705 | 17,314 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 12,350 | 12,666 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 6,350 | 7,010 |
HSBC Holdings plc | 5.100% | 4/5/21 | 15,454 | 17,439 |
HSBC Holdings plc | 4.875% | 1/14/22 | 2,590 | 2,890 |
HSBC Holdings plc | 4.000% | 3/30/22 | 11,279 | 11,984 |
HSBC Holdings plc | 4.250% | 3/14/24 | 10,800 | 11,233 |
HSBC USA Inc. | 5.000% | 9/27/20 | 5,761 | 6,295 |
HSBC USA Inc. | 3.500% | 6/23/24 | 3,800 | 3,908 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 1,600 | 1,919 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 7,000 | 7,601 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 13,815 | 14,948 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 19,650 | 21,112 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 9,208 | 10,127 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 17,175 | 18,651 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 15,000 | 16,350 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 12,475 | 12,551 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 20,400 | 20,414 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 10,550 | 10,417 |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 12,600 | 13,113 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 14,025 | 14,332 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 16,000 | 16,018 |
KeyCorp | 5.100% | 3/24/21 | 6,085 | 6,878 |
Lloyds Bank plc | 6.375% | 1/21/21 | 8,275 | 9,965 |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 3,475 | 3,508 |
Morgan Stanley | 5.500% | 1/26/20 | 9,875 | 11,112 |
Morgan Stanley | 5.500% | 7/24/20 | 8,925 | 10,071 |
Morgan Stanley | 5.750% | 1/25/21 | 7,675 | 8,808 |
Morgan Stanley | 5.500% | 7/28/21 | 16,910 | 19,205 |
Morgan Stanley | 4.875% | 11/1/22 | 12,205 | 12,966 |
Morgan Stanley | 3.750% | 2/25/23 | 23,185 | 23,806 |
Morgan Stanley | 4.100% | 5/22/23 | 11,190 | 11,340 |
Morgan Stanley | 3.875% | 4/29/24 | 12,600 | 12,932 |
Morgan Stanley | 3.700% | 10/23/24 | 18,000 | 18,235 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 3,075 | 3,166 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 4,350 | 4,338 |
Northern Trust Corp. | 3.450% | 11/4/20 | 1,700 | 1,807 |
Northern Trust Corp. | 3.375% | 8/23/21 | 2,750 | 2,884 |
Northern Trust Corp. | 2.375% | 8/2/22 | 4,845 | 4,715 |
People's United Bank | 4.000% | 7/15/24 | 1,675 | 1,699 |
37
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
People's United Financial Inc. | 3.650% | 12/6/22 | 2,425 | 2,450 |
PNC Bank NA | 2.700% | 11/1/22 | 4,400 | 4,228 |
PNC Bank NA | 2.950% | 1/30/23 | 4,800 | 4,675 |
PNC Bank NA | 3.800% | 7/25/23 | 3,375 | 3,482 |
PNC Bank NA | 3.300% | 10/30/24 | 6,262 | 6,378 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 3,625 | 3,581 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 4,550 | 4,632 |
PNC Funding Corp. | 5.125% | 2/8/20 | 6,210 | 6,974 |
PNC Funding Corp. | 4.375% | 8/11/20 | 1,415 | 1,538 |
PNC Funding Corp. | 3.300% | 3/8/22 | 8,075 | 8,256 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 4,025 | 4,584 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 7,700 | 9,061 |
State Street Corp. | 4.375% | 3/7/21 | 4,651 | 5,099 |
State Street Corp. | 3.100% | 5/15/23 | 5,425 | 5,358 |
State Street Corp. | 3.700% | 11/20/23 | 4,415 | 4,629 |
State Street Corp. | 3.300% | 12/16/24 | 4,000 | 4,044 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 4,600 | 4,674 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 875 | 869 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,975 | 5,255 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 2,075 | 2,209 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 3,025 | 3,094 |
SunTrust Bank | 2.750% | 5/1/23 | 2,875 | 2,810 |
Synchrony Financial | 3.750% | 8/15/21 | 3,775 | 3,854 |
Synchrony Financial | 4.250% | 8/15/24 | 6,725 | 6,906 |
UBS AG | 4.875% | 8/4/20 | 11,275 | 12,560 |
US Bancorp | 4.125% | 5/24/21 | 5,975 | 6,504 |
US Bancorp | 3.000% | 3/15/22 | 6,120 | 6,211 |
US Bancorp | 2.950% | 7/15/22 | 7,925 | 7,835 |
US Bancorp | 3.700% | 1/30/24 | 1,700 | 1,783 |
US Bancorp | 3.600% | 9/11/24 | 4,700 | 4,769 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 16,595 | 18,443 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 18,799 | 19,623 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 12,130 | 12,241 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 8,995 | 9,443 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 4,139 | 4,404 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 11,550 | 11,597 |
Brokerage (0.5%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 2,000 | 2,081 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 5,375 | 6,100 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 3,075 | 3,250 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 2,225 | 2,280 |
BlackRock Inc. | 4.250% | 5/24/21 | 3,925 | 4,335 |
BlackRock Inc. | 3.375% | 6/1/22 | 3,775 | 3,904 |
BlackRock Inc. | 3.500% | 3/18/24 | 7,891 | 8,110 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 5,550 | 6,097 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 1,375 | 1,408 |
CME Group Inc. | 3.000% | 9/15/22 | 4,475 | 4,552 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,500 | 1,533 |
Franklin Resources Inc. | 4.625% | 5/20/20 | 2,250 | 2,496 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 2,075 | 2,072 |
IntercontinentalExchange Group Inc. | 4.000% | 10/15/23 | 4,575 | 4,813 |
Invesco Finance plc | 3.125% | 11/30/22 | 4,050 | 4,011 |
Invesco Finance plc | 4.000% | 1/30/24 | 775 | 812 |
Jefferies Group LLC | 6.875% | 4/15/21 | 3,927 | 4,450 |
Jefferies Group LLC | 5.125% | 1/20/23 | 3,450 | 3,462 |
Lazard Group LLC | 4.250% | 11/14/20 | 1,875 | 1,972 |
Legg Mason Inc. | 3.950% | 7/15/24 | 250 | 253 |
Leucadia National Corp. | 5.500% | 10/18/23 | 3,800 | 3,887 |
NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 5,300 | 5,850 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 6,250 | 7,364 |
Finance Companies (0.9%) | ||||
Air Lease Corp. | 4.750% | 3/1/20 | 4,000 | 4,250 |
Air Lease Corp. | 3.875% | 4/1/21 | 2,643 | 2,656 |
38
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Air Lease Corp. | 4.250% | 9/15/24 | 1,800 | 1,818 |
Ares Capital Corp. | 3.875% | 1/15/20 | 1,550 | 1,546 |
Block Financial LLC | 5.500% | 11/1/22 | 2,750 | 3,030 |
FS Investment Corp. | 4.250% | 1/15/20 | 1,300 | 1,287 |
GATX Corp. | 2.600% | 3/30/20 | 1,700 | 1,676 |
GATX Corp. | 4.750% | 6/15/22 | 1,800 | 1,970 |
GATX Corp. | 3.900% | 3/30/23 | 1,275 | 1,324 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 9,625 | 11,028 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 8,375 | 9,654 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 10,050 | 11,003 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 12,192 | 13,556 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 13,402 | 15,291 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 17,875 | 20,115 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 11,700 | 11,883 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 12,950 | 13,106 |
General Electric Capital Corp. | 3.450% | 5/15/24 | 5,786 | 5,987 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 23,924 | 28,390 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 1,325 | 1,364 |
Insurance (2.1%) | ||||
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 1,525 | 1,482 |
ACE INA Holdings Inc. | 3.350% | 5/15/24 | 2,325 | 2,347 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 2,025 | 2,333 |
Aetna Inc. | 4.125% | 6/1/21 | 2,875 | 3,095 |
Aetna Inc. | 2.750% | 11/15/22 | 7,675 | 7,468 |
Aetna Inc. | 3.500% | 11/15/24 | 2,350 | 2,385 |
Aflac Inc. | 4.000% | 2/15/22 | 3,550 | 3,759 |
Aflac Inc. | 3.625% | 6/15/23 | 4,000 | 4,074 |
Alleghany Corp. | 5.625% | 9/15/20 | 1,450 | 1,630 |
Alleghany Corp. | 4.950% | 6/27/22 | 3,000 | 3,300 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 2,225 | 2,478 |
Allstate Corp. | 3.150% | 6/15/23 | 3,120 | 3,102 |
5 Allstate Corp. | 5.750% | 8/15/53 | 4,560 | 4,788 |
Alterra Finance LLC | 6.250% | 9/30/20 | 1,565 | 1,817 |
American International Group Inc. | 3.375% | 8/15/20 | 5,425 | 5,622 |
American International Group Inc. | 6.400% | 12/15/20 | 11,190 | 13,318 |
American International Group Inc. | 4.875% | 6/1/22 | 11,050 | 12,400 |
American International Group Inc. | 4.125% | 2/15/24 | 4,800 | 5,109 |
Anthem Inc. | 4.350% | 8/15/20 | 14,680 | 15,906 |
Anthem Inc. | 3.700% | 8/15/21 | 1,850 | 1,937 |
Anthem Inc. | 3.125% | 5/15/22 | 4,035 | 4,034 |
Anthem Inc. | 3.300% | 1/15/23 | 1,971 | 1,964 |
Anthem Inc. | 3.500% | 8/15/24 | 2,500 | 2,520 |
Aon Corp. | 5.000% | 9/30/20 | 4,550 | 5,078 |
Aon plc | 4.000% | 11/27/23 | 850 | 895 |
Aon plc | 3.500% | 6/14/24 | 2,350 | 2,353 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 1,075 | 1,230 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 2,400 | 2,491 |
Assurant Inc. | 4.000% | 3/15/23 | 1,725 | 1,767 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 5,100 | 5,774 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 4,800 | 4,917 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 7,825 | 8,600 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 3,545 | 3,594 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 4,150 | 4,451 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 3,475 | 3,512 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 2,575 | 2,608 |
Cigna Corp. | 5.125% | 6/15/20 | 1,491 | 1,661 |
Cigna Corp. | 4.375% | 12/15/20 | 1,920 | 2,071 |
Cigna Corp. | 4.500% | 3/15/21 | 1,575 | 1,720 |
Cigna Corp. | 4.000% | 2/15/22 | 3,825 | 4,030 |
CNA Financial Corp. | 5.875% | 8/15/20 | 1,800 | 2,054 |
CNA Financial Corp. | 5.750% | 8/15/21 | 3,455 | 3,949 |
CNA Financial Corp. | 3.950% | 5/15/24 | 3,125 | 3,161 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 5,545 | 6,339 |
39
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 775 | 842 |
First American Financial Corp. | 4.300% | 2/1/23 | 1,425 | 1,433 |
First American Financial Corp. | 4.600% | 11/15/24 | 1,900 | 1,927 |
Hanover Insurance Group Inc. | 6.375% | 6/15/21 | 150 | 170 |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 2,700 | 3,051 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 4,975 | 5,585 |
Humana Inc. | 3.150% | 12/1/22 | 2,275 | 2,217 |
Humana Inc. | 3.850% | 10/1/24 | 3,975 | 4,030 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 1,350 | 1,437 |
Lincoln National Corp. | 6.250% | 2/15/20 | 4,650 | 5,420 |
Lincoln National Corp. | 4.200% | 3/15/22 | 300 | 318 |
Lincoln National Corp. | 4.000% | 9/1/23 | 2,000 | 2,082 |
Loews Corp. | 2.625% | 5/15/23 | 2,425 | 2,293 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 3,834 | 4,223 |
Markel Corp. | 4.900% | 7/1/22 | 3,450 | 3,785 |
Markel Corp. | 3.625% | 3/30/23 | 2,000 | 2,016 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 4,385 | 4,860 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 1,125 | 1,123 |
MetLife Inc. | 4.750% | 2/8/21 | 9,775 | 10,910 |
MetLife Inc. | 3.048% | 12/15/22 | 2,075 | 2,064 |
MetLife Inc. | 4.368% | 9/15/23 | 3,000 | 3,258 |
MetLife Inc. | 3.600% | 4/10/24 | 5,350 | 5,503 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 1,425 | 1,467 |
Navigators Group Inc. | 5.750% | 10/15/23 | 2,000 | 2,157 |
Old Republic International Corp. | 4.875% | 10/1/24 | 2,525 | 2,627 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,425 | 1,485 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 4,200 | 4,724 |
Primerica Inc. | 4.750% | 7/15/22 | 1,750 | 1,923 |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 2,300 | 2,305 |
ProAssurance Corp. | 5.300% | 11/15/23 | 900 | 988 |
Progressive Corp. | 3.750% | 8/23/21 | 3,135 | 3,361 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 2,000 | 2,260 |
Prudential Financial Inc. | 4.500% | 11/15/20 | 10,725 | 11,635 |
Prudential Financial Inc. | 3.500% | 5/15/24 | 3,250 | 3,302 |
5 Prudential Financial Inc. | 5.875% | 9/15/42 | 5,475 | 5,776 |
5 Prudential Financial Inc. | 5.625% | 6/15/43 | 7,275 | 7,475 |
5 Prudential Financial Inc. | 5.200% | 3/15/44 | 3,575 | 3,539 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 3,900 | 4,294 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 500 | 538 |
Symetra Financial Corp. | 4.250% | 7/15/24 | 1,000 | 1,020 |
Torchmark Corp. | 3.800% | 9/15/22 | 2,300 | 2,371 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 2,725 | 3,035 |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 950 | 992 |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 4,550 | 4,593 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 6,754 | 6,786 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 5,000 | 4,907 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 3,725 | 3,699 |
Unum Group | 5.625% | 9/15/20 | 1,650 | 1,868 |
Unum Group | 4.000% | 3/15/24 | 1,750 | 1,795 |
Voya Financial Inc. | 5.500% | 7/15/22 | 3,660 | 4,135 |
Willis Group Holdings plc | 5.750% | 3/15/21 | 3,900 | 4,354 |
WR Berkley Corp. | 5.375% | 9/15/20 | 1,875 | 2,088 |
WR Berkley Corp. | 4.625% | 3/15/22 | 3,050 | 3,278 |
XLIT Ltd. | 5.750% | 10/1/21 | 2,300 | 2,671 |
XLIT Ltd. | 6.375% | 11/15/24 | 875 | 1,040 |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 1,300 | 1,342 |
Real Estate Investment Trusts (1.9%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 1,250 | 1,236 |
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 3,063 | 3,252 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 2,025 | 2,035 |
40
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
American Campus Communities Operating Partnership | ||||
LP | 3.750% | 4/15/23 | 1,800 | 1,797 |
American Campus Communities Operating Partnership | ||||
LP | 4.125% | 7/1/24 | 2,150 | 2,176 |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 4,495 | 4,666 |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 3,025 | 2,949 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,500 | 1,449 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,390 | 1,478 |
BioMed Realty LP | 4.250% | 7/15/22 | 2,000 | 2,076 |
Boston Properties LP | 5.625% | 11/15/20 | 5,425 | 6,191 |
Boston Properties LP | 4.125% | 5/15/21 | 5,310 | 5,637 |
Boston Properties LP | 3.850% | 2/1/23 | 3,800 | 3,939 |
Boston Properties LP | 3.125% | 9/1/23 | 4,237 | 4,147 |
Boston Properties LP | 3.800% | 2/1/24 | 4,000 | 4,108 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 1,600 | 1,613 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 650 | 656 |
Camden Property Trust | 2.950% | 12/15/22 | 10,275 | 10,025 |
Camden Property Trust | 4.250% | 1/15/24 | 900 | 950 |
Camden Property Trust | 3.500% | 9/15/24 | 2,000 | 1,998 |
CBL & Associates LP | 5.250% | 12/1/23 | 2,200 | 2,353 |
CBL & Associates LP | 4.600% | 10/15/24 | 1,500 | 1,525 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 1,900 | 1,901 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 1,950 | 1,873 |
CubeSmart LP | 4.375% | 12/15/23 | 3,150 | 3,338 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,475 | 1,538 |
DDR Corp. | 7.875% | 9/1/20 | 2,000 | 2,476 |
DDR Corp. | 3.500% | 1/15/21 | 1,625 | 1,638 |
DDR Corp. | 4.625% | 7/15/22 | 4,740 | 5,061 |
DDR Corp. | 3.375% | 5/15/23 | 925 | 898 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 5,775 | 6,303 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 1,125 | 1,109 |
Duke Realty LP | 6.750% | 3/15/20 | 350 | 412 |
Duke Realty LP | 3.875% | 10/15/22 | 5,150 | 5,305 |
Duke Realty LP | 3.625% | 4/15/23 | 2,525 | 2,533 |
Duke Realty LP | 3.750% | 12/1/24 | 1,400 | 1,418 |
EPR Properties | 7.750% | 7/15/20 | 500 | 598 |
EPR Properties | 5.750% | 8/15/22 | 2,875 | 3,129 |
EPR Properties | 5.250% | 7/15/23 | 1,800 | 1,878 |
Equity One Inc. | 3.750% | 11/15/22 | 2,000 | 2,007 |
ERP Operating LP | 4.750% | 7/15/20 | 6,250 | 6,836 |
ERP Operating LP | 4.625% | 12/15/21 | 3,770 | 4,129 |
ERP Operating LP | 3.000% | 4/15/23 | 575 | 565 |
Essex Portfolio LP | 3.250% | 5/1/23 | 4,205 | 4,094 |
Excel Trust LP | 4.625% | 5/15/24 | 1,300 | 1,349 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 1,525 | 1,531 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 1,600 | 1,542 |
HCP Inc. | 2.625% | 2/1/20 | 5,228 | 5,175 |
HCP Inc. | 5.375% | 2/1/21 | 8,872 | 9,934 |
HCP Inc. | 4.250% | 11/15/23 | 3,650 | 3,834 |
HCP Inc. | 4.200% | 3/1/24 | 4,225 | 4,384 |
Health Care REIT Inc. | 6.125% | 4/15/20 | 3,750 | 4,315 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 5,425 | 5,948 |
Health Care REIT Inc. | 5.250% | 1/15/22 | 1,800 | 1,992 |
Health Care REIT Inc. | 3.750% | 3/15/23 | 4,100 | 4,152 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 1,500 | 1,680 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 2,625 | 2,592 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 1,500 | 1,494 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,625 | 1,612 |
Highwoods Realty LP | 3.200% | 6/15/21 | 3,600 | 3,585 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 2,275 | 2,395 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 2,875 | 2,919 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 1,275 | 1,307 |
Kilroy Realty LP | 3.800% | 1/15/23 | 375 | 380 |
Kimco Realty Corp. | 3.200% | 5/1/21 | 1,500 | 1,512 |
41
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kimco Realty Corp. | 3.125% | 6/1/23 | 1,250 | 1,225 |
Lexington Realty Trust | 4.400% | 6/15/24 | 3,950 | 4,014 |
Liberty Property LP | 4.750% | 10/1/20 | 6,210 | 6,727 |
Liberty Property LP | 4.400% | 2/15/24 | 25 | 26 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 1,600 | 1,618 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,525 | 2,659 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 1,700 | 1,712 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 1,900 | 1,948 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 4,250 | 4,174 |
National Retail Properties Inc. | 3.900% | 6/15/24 | 3,400 | 3,447 |
Omega Healthcare Investors Inc. | 6.750% | 10/15/22 | 3,550 | 3,763 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 2,075 | 2,210 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 1,250 | 1,288 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,325 | 1,285 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 4,725 | 4,869 |
ProLogis LP | 6.875% | 3/15/20 | 4,450 | 5,256 |
ProLogis LP | 4.250% | 8/15/23 | 8,535 | 9,013 |
Realty Income Corp. | 5.750% | 1/15/21 | 1,000 | 1,139 |
Realty Income Corp. | 3.250% | 10/15/22 | 4,035 | 3,975 |
Realty Income Corp. | 4.650% | 8/1/23 | 3,425 | 3,691 |
Regency Centers LP | 4.800% | 4/15/21 | 2,500 | 2,738 |
Retail Opportunity Investments Corp. | 5.000% | 12/15/23 | 1,150 | 1,252 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 2,375 | 2,440 |
Simon Property Group LP | 5.650% | 2/1/20 | 8,350 | 9,590 |
Simon Property Group LP | 4.375% | 3/1/21 | 7,435 | 8,145 |
Simon Property Group LP | 4.125% | 12/1/21 | 10,575 | 11,483 |
Simon Property Group LP | 3.375% | 3/15/22 | 3,650 | 3,764 |
Simon Property Group LP | 3.750% | 2/1/24 | 1,125 | 1,182 |
Simon Property Group LP | 3.375% | 10/1/24 | 225 | 230 |
Tanger Properties LP | 3.875% | 12/1/23 | 3,175 | 3,258 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,500 | 1,514 |
UDR Inc. | 3.700% | 10/1/20 | 250 | 259 |
UDR Inc. | 4.625% | 1/10/22 | 3,325 | 3,581 |
UDR Inc. | 3.750% | 7/1/24 | 750 | 761 |
Ventas Realty LP | 3.750% | 5/1/24 | 3,400 | 3,426 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 3,318 | 3,609 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 3,252 | 3,413 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 4,650 | 4,588 |
Vornado Realty LP | 5.000% | 1/15/22 | 2,000 | 2,191 |
Washington REIT | 4.950% | 10/1/20 | 3,150 | 3,406 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 1,275 | 1,262 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,275 | 2,247 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 150 | 160 |
WP Carey Inc. | 4.600% | 4/1/24 | 2,675 | 2,808 |
2,214,926 | ||||
Industrial (25.0%) | ||||
Basic Industry (2.5%) | ||||
Agrium Inc. | 3.150% | 10/1/22 | 3,635 | 3,532 |
Agrium Inc. | 3.500% | 6/1/23 | 6,175 | 6,099 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 5,550 | 5,660 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 1,250 | 1,221 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 1,900 | 1,934 |
Airgas Inc. | 2.900% | 11/15/22 | 750 | 744 |
Airgas Inc. | 3.650% | 7/15/24 | 1,650 | 1,687 |
Albemarle Corp. | 4.500% | 12/15/20 | 1,050 | 1,132 |
Albemarle Corp. | 4.150% | 12/1/24 | 1,500 | 1,532 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 8,892 | 8,557 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 6,320 | 6,162 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 6,654 | 6,719 |
Barrick PD Australia Finance Pty Ltd. | 4.950% | 1/15/20 | 3,800 | 4,075 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 5,500 | 5,620 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 4,675 | 4,638 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 11,850 | 12,506 |
42
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 3,625 | 3,681 |
Cabot Corp. | 3.700% | 7/15/22 | 1,200 | 1,223 |
Carpenter Technology Corp. | 5.200% | 7/15/21 | 2,350 | 2,487 |
Carpenter Technology Corp. | 4.450% | 3/1/23 | 925 | 939 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 1,525 | 1,590 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 2,925 | 3,030 |
Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 2,000 | 1,980 |
CF Industries Inc. | 7.125% | 5/1/20 | 9,000 | 10,699 |
CF Industries Inc. | 3.450% | 6/1/23 | 1,250 | 1,230 |
Domtar Corp. | 4.400% | 4/1/22 | 600 | 618 |
Dow Chemical Co. | 4.250% | 11/15/20 | 6,700 | 7,161 |
Dow Chemical Co. | 4.125% | 11/15/21 | 8,150 | 8,616 |
Dow Chemical Co. | 3.000% | 11/15/22 | 7,135 | 6,983 |
Dow Chemical Co. | 3.500% | 10/1/24 | 3,450 | 3,419 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 5,000 | 5,018 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 1,600 | 1,710 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 6,025 | 6,105 |
Ecolab Inc. | 4.350% | 12/8/21 | 6,700 | 7,296 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 4,755 | 5,246 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 7,025 | 7,424 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,000 | 2,189 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 4,800 | 4,721 |
FMC Corp. | 3.950% | 2/1/22 | 3,235 | 3,383 |
FMC Corp. | 4.100% | 2/1/24 | 1,500 | 1,555 |
Freeport-McMoRan Copper & Gold Inc. | 3.100% | 3/15/20 | 11,613 | 11,307 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 12,300 | 11,613 |
Freeport-McMoRan Copper & Gold Inc. | 3.875% | 3/15/23 | 11,939 | 11,221 |
Freeport-McMoRan Inc. | 4.000% | 11/14/21 | 2,500 | 2,474 |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 3,000 | 2,914 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 2,750 | 3,658 |
Goldcorp Inc. | 3.625% | 6/9/21 | 1,500 | 1,501 |
Goldcorp Inc. | 3.700% | 3/15/23 | 6,400 | 6,236 |
International Paper Co. | 7.500% | 8/15/21 | 7,465 | 9,317 |
International Paper Co. | 4.750% | 2/15/22 | 6,335 | 6,917 |
International Paper Co. | 3.650% | 6/15/24 | 2,500 | 2,500 |
Kinross Gold Corp. | 5.125% | 9/1/21 | 2,450 | 2,366 |
6 Kinross Gold Corp. | 5.950% | 3/15/24 | 2,150 | 2,010 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 8,750 | 10,052 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 2,925 | 3,329 |
Monsanto Co. | 2.750% | 7/15/21 | 5,000 | 4,979 |
Monsanto Co. | 2.200% | 7/15/22 | 1,450 | 1,375 |
Monsanto Co. | 3.375% | 7/15/24 | 4,000 | 4,070 |
Mosaic Co. | 3.750% | 11/15/21 | 1,500 | 1,564 |
Mosaic Co. | 4.250% | 11/15/23 | 5,600 | 5,878 |
NewMarket Corp. | 4.100% | 12/15/22 | 300 | 307 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 7,415 | 6,955 |
Nucor Corp. | 4.125% | 9/15/22 | 3,450 | 3,685 |
Nucor Corp. | 4.000% | 8/1/23 | 1,285 | 1,348 |
Packaging Corp. of America | 3.900% | 6/15/22 | 1,900 | 1,951 |
Packaging Corp. of America | 4.500% | 11/1/23 | 5,650 | 5,948 |
Packaging Corp. of America | 3.650% | 9/15/24 | 1,300 | 1,280 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 7,517 | 8,137 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 4,152 | 4,578 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 4,934 | 5,489 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 3,300 | 3,564 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 1,800 | 1,987 |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 6,750 | 6,944 |
PPG Industries Inc. | 3.600% | 11/15/20 | 5,850 | 6,107 |
Praxair Inc. | 4.050% | 3/15/21 | 575 | 625 |
Praxair Inc. | 3.000% | 9/1/21 | 4,425 | 4,524 |
Praxair Inc. | 2.450% | 2/15/22 | 7,350 | 7,204 |
Praxair Inc. | 2.200% | 8/15/22 | 2,250 | 2,158 |
Rayonier Inc. | 3.750% | 4/1/22 | 1,750 | 1,775 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 2,125 | 2,087 |
43
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 3,325 | 3,495 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,775 | 5,932 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 5,500 | 5,495 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 14,775 | 14,176 |
Rock-Tenn Co. | 3.500% | 3/1/20 | 1,795 | 1,820 |
Rock-Tenn Co. | 4.000% | 3/1/23 | 6,500 | 6,636 |
RPM International Inc. | 3.450% | 11/15/22 | 2,900 | 2,862 |
Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 750 | 776 |
Southern Copper Corp. | 5.375% | 4/16/20 | 1,725 | 1,872 |
Southern Copper Corp. | 3.500% | 11/8/22 | 1,500 | 1,404 |
Syngenta Finance NV | 3.125% | 3/28/22 | 2,500 | 2,521 |
Teck Resources Ltd. | 4.750% | 1/15/22 | 5,845 | 5,701 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 3,700 | 3,325 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 5,875 | 5,958 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 11,870 | 11,449 |
Valspar Corp. | 4.200% | 1/15/22 | 1,550 | 1,664 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 550 | 545 |
Weyerhaeuser Co. | 4.625% | 9/15/23 | 1,500 | 1,606 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 1,030 | 1,009 |
Capital Goods (2.0%) | ||||
3M Co. | 2.000% | 6/26/22 | 3,125 | 3,021 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 7,165 | 7,191 |
Boeing Co. | 4.875% | 2/15/20 | 8,200 | 9,245 |
Boeing Co. | 2.350% | 10/30/21 | 2,000 | 1,986 |
Boeing Co. | 7.950% | 8/15/24 | 287 | 402 |
Boeing Co. | 2.850% | 10/30/24 | 1,000 | 996 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,350 | 3,412 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 2,750 | 2,764 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 2,000 | 2,121 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 1,000 | 1,024 |
Caterpillar Inc. | 3.900% | 5/27/21 | 3,385 | 3,665 |
Caterpillar Inc. | 2.600% | 6/26/22 | 5,675 | 5,614 |
Caterpillar Inc. | 3.400% | 5/15/24 | 10,000 | 10,291 |
Cooper US Inc. | 3.875% | 12/15/20 | 5,400 | 5,694 |
Crane Co. | 4.450% | 12/15/23 | 2,790 | 2,948 |
Danaher Corp. | 3.900% | 6/23/21 | 2,675 | 2,887 |
Deere & Co. | 2.600% | 6/8/22 | 13,250 | 13,047 |
Dover Corp. | 4.300% | 3/1/21 | 4,500 | 4,954 |
Eaton Corp. | 2.750% | 11/2/22 | 7,695 | 7,556 |
6 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 4,043 | 4,291 |
Embraer SA | 5.150% | 6/15/22 | 800 | 847 |
Emerson Electric Co. | 4.250% | 11/15/20 | 1,400 | 1,522 |
Emerson Electric Co. | 2.625% | 2/15/23 | 5,525 | 5,455 |
Flowserve Corp. | 3.500% | 9/15/22 | 6,225 | 6,233 |
General Dynamics Corp. | 3.875% | 7/15/21 | 4,075 | 4,392 |
General Dynamics Corp. | 2.250% | 11/15/22 | 5,325 | 5,145 |
General Electric Co. | 2.700% | 10/9/22 | 19,875 | 19,888 |
General Electric Co. | 3.375% | 3/11/24 | 6,300 | 6,529 |
Honeywell International Inc. | 4.250% | 3/1/21 | 7,711 | 8,620 |
IDEX Corp. | 4.200% | 12/15/21 | 400 | 421 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 4,000 | 4,162 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 3,175 | 3,350 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 1,500 | 1,494 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 3,200 | 3,178 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 2,325 | 2,262 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 3,600 | 3,646 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 4,300 | 4,663 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 3,135 | 3,253 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 425 | 423 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 2,775 | 2,771 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 1,500 | 1,539 |
Joy Global Inc. | 5.125% | 10/15/21 | 3,420 | 3,800 |
Kennametal Inc. | 3.875% | 2/15/22 | 2,425 | 2,496 |
44
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
L-3 Communications Corp. | 4.750% | 7/15/20 | 2,718 | 2,910 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 4,900 | 5,318 |
L-3 Communications Corp. | 3.950% | 5/28/24 | 4,200 | 4,236 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 3,200 | 3,252 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 6,425 | 6,687 |
Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 890 | 915 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 7,545 | 7,560 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 6,450 | 6,720 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 5,000 | 5,022 |
Owens Corning | 4.200% | 12/1/24 | 3,250 | 3,216 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 3,500 | 3,580 |
Pentair Finance SA | 5.000% | 5/15/21 | 3,000 | 3,336 |
Pentair Finance SA | 3.150% | 9/15/22 | 3,100 | 3,043 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 5,700 | 5,498 |
Raytheon Co. | 4.400% | 2/15/20 | 1,225 | 1,337 |
Raytheon Co. | 3.125% | 10/15/20 | 6,315 | 6,529 |
Raytheon Co. | 2.500% | 12/15/22 | 7,725 | 7,528 |
Republic Services Inc. | 5.000% | 3/1/20 | 6,575 | 7,257 |
Republic Services Inc. | 5.250% | 11/15/21 | 10,063 | 11,423 |
Republic Services Inc. | 3.550% | 6/1/22 | 1,105 | 1,137 |
Republic Services Inc. | 4.750% | 5/15/23 | 825 | 914 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,800 | 1,847 |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 500 | 522 |
Roper Industries Inc. | 3.125% | 11/15/22 | 2,275 | 2,215 |
Snap-on Inc. | 6.125% | 9/1/21 | 2,825 | 3,354 |
Sonoco Products Co. | 4.375% | 11/1/21 | 1,100 | 1,177 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,775 | 4,960 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 1,825 | 1,802 |
Textron Inc. | 3.650% | 3/1/21 | 3,000 | 3,071 |
Textron Inc. | 4.300% | 3/1/24 | 1,500 | 1,568 |
Tyco International Finance SA / Tyco Fire & Security | ||||
Finance SCA | 7.000% | 12/15/19 | 600 | 716 |
United Technologies Corp. | 4.500% | 4/15/20 | 9,960 | 11,037 |
United Technologies Corp. | 3.100% | 6/1/22 | 14,200 | 14,502 |
Valmont Industries Inc. | 6.625% | 4/20/20 | 464 | 545 |
Waste Management Inc. | 4.750% | 6/30/20 | 4,800 | 5,270 |
Waste Management Inc. | 4.600% | 3/1/21 | 3,900 | 4,306 |
Communication (3.7%) | ||||
21st Century Fox America Inc. | 5.650% | 8/15/20 | 2,500 | 2,862 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 5,050 | 5,529 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 5,120 | 5,085 |
21st Century Fox America Inc. | 8.875% | 4/26/23 | 1,255 | 1,690 |
21st Century Fox America Inc. | 4.000% | 10/1/23 | 1,750 | 1,856 |
6 21st Century Fox America Inc. | 3.700% | 9/15/24 | 2,775 | 2,866 |
America Movil SAB de CV | 5.000% | 3/30/20 | 12,950 | 14,300 |
America Movil SAB de CV | 3.125% | 7/16/22 | 8,050 | 7,939 |
American Tower Corp. | 5.050% | 9/1/20 | 3,070 | 3,333 |
American Tower Corp. | 3.450% | 9/15/21 | 4,100 | 4,027 |
American Tower Corp. | 5.900% | 11/1/21 | 3,400 | 3,851 |
American Tower Corp. | 4.700% | 3/15/22 | 550 | 577 |
American Tower Corp. | 3.500% | 1/31/23 | 10,301 | 9,940 |
American Tower Corp. | 5.000% | 2/15/24 | 3,825 | 4,051 |
AT&T Inc. | 4.450% | 5/15/21 | 6,682 | 7,191 |
AT&T Inc. | 3.875% | 8/15/21 | 9,450 | 9,948 |
AT&T Inc. | 3.000% | 2/15/22 | 10,725 | 10,516 |
AT&T Inc. | 2.625% | 12/1/22 | 7,850 | 7,489 |
AT&T Inc. | 3.900% | 3/11/24 | 3,025 | 3,107 |
CBS Corp. | 5.750% | 4/15/20 | 220 | 251 |
CBS Corp. | 4.300% | 2/15/21 | 1,300 | 1,400 |
CBS Corp. | 3.700% | 8/15/24 | 9,000 | 8,985 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 1,250 | 1,246 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 5,923 | 8,514 |
Comcast Corp. | 5.150% | 3/1/20 | 9,300 | 10,527 |
45
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Comcast Corp. | 3.125% | 7/15/22 | 4,425 | 4,507 |
Comcast Corp. | 2.850% | 1/15/23 | 6,900 | 6,875 |
Comcast Corp. | 3.600% | 3/1/24 | 6,195 | 6,485 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 11,323 | 12,528 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 4,500 | 4,808 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 9,806 | 10,715 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 5,150 | 5,237 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.450% | 4/1/24 | 9,165 | 9,574 |
Discovery Communications LLC | 5.050% | 6/1/20 | 5,700 | 6,243 |
Discovery Communications LLC | 4.375% | 6/15/21 | 4,450 | 4,712 |
Discovery Communications LLC | 3.300% | 5/15/22 | 1,900 | 1,885 |
Interpublic Group of Cos. Inc. | 4.000% | 3/15/22 | 3,000 | 3,064 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 2,000 | 1,993 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 2,675 | 2,724 |
Moody's Corp. | 5.500% | 9/1/20 | 200 | 227 |
Moody's Corp. | 4.500% | 9/1/22 | 7,450 | 8,013 |
Moody's Corp. | 4.875% | 2/15/24 | 4,750 | 5,197 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 11,438 | 12,980 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 5,334 | 5,869 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 7,850 | 7,847 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 10,700 | 11,500 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 3,000 | 3,082 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 2,000 | 2,013 |
Orange SA | 4.125% | 9/14/21 | 8,325 | 8,914 |
Qwest Corp. | 6.750% | 12/1/21 | 5,020 | 5,809 |
Reed Elsevier Capital Inc. | 3.125% | 10/15/22 | 6,313 | 6,245 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 2,665 | 2,584 |
Rogers Communications Inc. | 4.100% | 10/1/23 | 5,350 | 5,643 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,400 | 2,425 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 6,700 | 7,396 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 9,560 | 10,701 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 3,900 | 4,161 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 1,375 | 1,448 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 6,200 | 6,590 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 11,185 | 12,323 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 3,675 | 3,915 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 8,500 | 8,993 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 1,703 | 2,294 |
Time Warner Inc. | 4.875% | 3/15/20 | 6,220 | 6,858 |
Time Warner Inc. | 4.700% | 1/15/21 | 4,285 | 4,691 |
Time Warner Inc. | 4.750% | 3/29/21 | 9,325 | 10,201 |
Time Warner Inc. | 4.000% | 1/15/22 | 5,650 | 5,936 |
Time Warner Inc. | 3.400% | 6/15/22 | 3,226 | 3,268 |
Time Warner Inc. | 4.050% | 12/15/23 | 2,675 | 2,802 |
Time Warner Inc. | 3.550% | 6/1/24 | 1,725 | 1,737 |
6 Verizon Communications Inc. | 2.625% | 2/21/20 | 14,848 | 14,675 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 22,605 | 24,550 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 5,000 | 5,112 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 9,092 | 9,849 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 12,750 | 12,548 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 12,982 | 13,282 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 2,775 | 2,612 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 68,590 | 75,973 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 5,750 | 5,954 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 14,000 | 13,782 |
Viacom Inc. | 4.500% | 3/1/21 | 950 | 1,026 |
Viacom Inc. | 3.125% | 6/15/22 | 4,875 | 4,762 |
Viacom Inc. | 4.250% | 9/1/23 | 7,925 | 8,168 |
Viacom Inc. | 3.875% | 4/1/24 | 7,675 | 7,660 |
Vodafone Group plc | 4.375% | 3/16/21 | 3,000 | 3,197 |
Vodafone Group plc | 2.500% | 9/26/22 | 4,650 | 4,380 |
Vodafone Group plc | 2.950% | 2/19/23 | 9,630 | 9,245 |
Walt Disney Co. | 3.750% | 6/1/21 | 1,600 | 1,727 |
Walt Disney Co. | 2.750% | 8/16/21 | 5,875 | 5,975 |
46
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Walt Disney Co. | 2.550% | 2/15/22 | 6,000 | 5,969 |
Walt Disney Co. | 2.350% | 12/1/22 | 3,875 | 3,803 |
WPP Finance 2010 | 4.750% | 11/21/21 | 9,589 | 10,479 |
WPP Finance 2010 | 3.750% | 9/19/24 | 550 | 552 |
Consumer Cyclical (2.8%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 1,725 | 1,932 |
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,500 | 1,593 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 3,646 | 3,894 |
6 Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 7,500 | 7,415 |
6 Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 11,425 | 11,326 |
Amazon.com Inc. | 3.300% | 12/5/21 | 2,200 | 2,232 |
Amazon.com Inc. | 2.500% | 11/29/22 | 10,125 | 9,586 |
Amazon.com Inc. | 3.800% | 12/5/24 | 3,250 | 3,336 |
AutoZone Inc. | 4.000% | 11/15/20 | 250 | 264 |
AutoZone Inc. | 3.700% | 4/15/22 | 8,650 | 8,911 |
AutoZone Inc. | 3.125% | 7/15/23 | 2,025 | 1,997 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,425 | 1,442 |
BorgWarner Inc. | 4.625% | 9/15/20 | 950 | 1,041 |
Brinker International Inc. | 3.875% | 5/15/23 | 3,550 | 3,528 |
Carnival Corp. | 3.950% | 10/15/20 | 2,775 | 2,903 |
6 CDK Global Inc. | 4.500% | 10/15/24 | 1,450 | 1,471 |
Cummins Inc. | 3.650% | 10/1/23 | 1,339 | 1,414 |
CVS Health Corp. | 4.750% | 5/18/20 | 50 | 55 |
CVS Health Corp. | 2.750% | 12/1/22 | 8,135 | 7,925 |
CVS Health Corp. | 4.000% | 12/5/23 | 8,600 | 9,116 |
CVS Health Corp. | 3.375% | 8/12/24 | 3,750 | 3,794 |
Delphi Corp. | 5.000% | 2/15/23 | 3,070 | 3,270 |
Delphi Corp. | 4.150% | 3/15/24 | 3,000 | 3,107 |
Dollar General Corp. | 3.250% | 4/15/23 | 5,120 | 4,662 |
eBay Inc. | 3.250% | 10/15/20 | 2,935 | 2,975 |
eBay Inc. | 2.875% | 8/1/21 | 3,800 | 3,761 |
eBay Inc. | 2.600% | 7/15/22 | 5,575 | 5,292 |
eBay Inc. | 3.450% | 8/1/24 | 5,975 | 5,874 |
Expedia Inc. | 5.950% | 8/15/20 | 6,175 | 6,846 |
Expedia Inc. | 4.500% | 8/15/24 | 1,980 | 1,995 |
Family Dollar Stores Inc. | 5.000% | 2/1/21 | 1,450 | 1,526 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 11,025 | 13,658 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 9,625 | 11,037 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 9,075 | 10,497 |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 9,650 | 10,242 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 3,000 | 3,188 |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 2,250 | 2,254 |
Gap Inc. | 5.950% | 4/12/21 | 8,555 | 9,735 |
Home Depot Inc. | 3.950% | 9/15/20 | 400 | 431 |
Home Depot Inc. | 4.400% | 4/1/21 | 7,333 | 8,124 |
Home Depot Inc. | 2.700% | 4/1/23 | 2,175 | 2,151 |
Home Depot Inc. | 3.750% | 2/15/24 | 6,375 | 6,806 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 3,000 | 3,450 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 5,500 | 5,974 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 922 | 981 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 375 | 373 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 900 | 1,021 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 2,025 | 1,996 |
International Game Technology | 5.500% | 6/15/20 | 1,575 | 1,634 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 2,850 | 3,127 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 850 | 913 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 3,850 | 4,009 |
Johnson Controls Inc. | 3.625% | 7/2/24 | 2,225 | 2,245 |
Kohl's Corp. | 4.000% | 11/1/21 | 3,800 | 3,945 |
Kohl's Corp. | 3.250% | 2/1/23 | 3,810 | 3,699 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 2,750 | 3,033 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 500 | 536 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 5,620 | 6,019 |
47
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 4,450 | 4,552 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 2,600 | 2,773 |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 2,000 | 2,016 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 8,068 | 8,398 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 1,500 | 1,456 |
Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 575 | 618 |
Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 6,500 | 6,569 |
Magna International Inc. | 3.625% | 6/15/24 | 3,950 | 3,973 |
Marriott International Inc. | 3.375% | 10/15/20 | 3,275 | 3,362 |
Marriott International Inc. | 3.125% | 10/15/21 | 2,500 | 2,515 |
Marriott International Inc. | 3.250% | 9/15/22 | 2,600 | 2,609 |
MasterCard Inc. | 3.375% | 4/1/24 | 5,025 | 5,155 |
McDonald's Corp. | 3.625% | 5/20/21 | 3,500 | 3,752 |
McDonald's Corp. | 2.625% | 1/15/22 | 5,800 | 5,772 |
McDonald's Corp. | 3.250% | 6/10/24 | 800 | 814 |
NIKE Inc. | 2.250% | 5/1/23 | 2,473 | 2,401 |
Nordstrom Inc. | 4.750% | 5/1/20 | 2,675 | 2,959 |
Nordstrom Inc. | 4.000% | 10/15/21 | 3,254 | 3,481 |
NVR Inc. | 3.950% | 9/15/22 | 4,725 | 4,893 |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 2,037 | 2,234 |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 2,500 | 2,580 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 2,175 | 2,251 |
QVC Inc. | 5.125% | 7/2/22 | 2,850 | 3,001 |
QVC Inc. | 4.375% | 3/15/23 | 3,225 | 3,237 |
QVC Inc. | 4.850% | 4/1/24 | 2,475 | 2,521 |
Ross Stores Inc. | 3.375% | 9/15/24 | 1,275 | 1,275 |
Signet UK Finance plc | 4.700% | 6/15/24 | 2,175 | 2,096 |
Staples Inc. | 4.375% | 1/12/23 | 2,875 | 2,884 |
Starbucks Corp. | 3.850% | 10/1/23 | 6,650 | 7,102 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 1,230 | 1,193 |
Target Corp. | 3.875% | 7/15/20 | 5,225 | 5,616 |
Target Corp. | 2.900% | 1/15/22 | 4,475 | 4,532 |
Target Corp. | 3.500% | 7/1/24 | 4,750 | 4,937 |
6 Tiffany & Co. | 3.800% | 10/1/24 | 1,325 | 1,334 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 6,850 | 6,873 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 425 | 408 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 5,200 | 5,731 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 3,475 | 3,817 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 2,950 | 2,985 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 6,005 | 6,283 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 6,800 | 7,068 |
VF Corp. | 3.500% | 9/1/21 | 3,575 | 3,781 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 16,150 | 17,250 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 8,200 | 8,616 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 6,150 | 6,779 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 9,300 | 9,170 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 6,975 | 7,189 |
Walgreen Co. | 3.100% | 9/15/22 | 6,175 | 6,100 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 12,350 | 12,440 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 9,000 | 9,170 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 3,035 | 3,106 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 5,325 | 5,262 |
Consumer Noncyclical (5.8%) | ||||
Abbott Laboratories | 4.125% | 5/27/20 | 4,825 | 5,236 |
AbbVie Inc. | 2.900% | 11/6/22 | 16,290 | 16,020 |
Actavis Funding SCS | 3.850% | 6/15/24 | 7,325 | 7,354 |
Actavis Inc. | 3.250% | 10/1/22 | 8,950 | 8,722 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 3,100 | 3,372 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 4,475 | 4,373 |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 3,000 | 3,007 |
Allergan Inc. | 3.375% | 9/15/20 | 3,018 | 3,053 |
Allergan Inc. | 2.800% | 3/15/23 | 1,350 | 1,256 |
Altria Group Inc. | 2.625% | 1/14/20 | 5,000 | 5,005 |
48
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 4.750% | 5/5/21 | 9,150 | 10,122 |
Altria Group Inc. | 2.850% | 8/9/22 | 8,425 | 8,216 |
Altria Group Inc. | 2.950% | 5/2/23 | 750 | 726 |
Altria Group Inc. | 4.000% | 1/31/24 | 9,525 | 9,959 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 4,900 | 5,054 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 3,200 | 3,205 |
Amgen Inc. | 3.450% | 10/1/20 | 5,800 | 6,029 |
Amgen Inc. | 4.100% | 6/15/21 | 4,100 | 4,397 |
Amgen Inc. | 3.875% | 11/15/21 | 11,800 | 12,420 |
Amgen Inc. | 3.625% | 5/15/22 | 6,100 | 6,277 |
Amgen Inc. | 3.625% | 5/22/24 | 8,200 | 8,333 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 6,375 | 6,188 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 8,715 | 9,062 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 12,100 | 13,702 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 4,680 | 5,240 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,175 | 1,283 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 18,200 | 17,674 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 4,150 | 4,586 |
Baxter International Inc. | 4.250% | 3/15/20 | 2,850 | 3,064 |
Baxter International Inc. | 2.400% | 8/15/22 | 1,625 | 1,551 |
Baxter International Inc. | 3.200% | 6/15/23 | 7,175 | 7,206 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 925 | 932 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 500 | 492 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 5,473 | 5,557 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 5,225 | 5,249 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 8,790 | 9,043 |
Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 2,000 | 2,135 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 4,400 | 4,954 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 4,831 | 4,939 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 6,525 | 6,171 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 425 | 557 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 575 | 547 |
Campbell Soup Co. | 4.250% | 4/15/21 | 1,568 | 1,701 |
Campbell Soup Co. | 2.500% | 8/2/22 | 3,000 | 2,873 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 4,575 | 4,997 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 100 | 100 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 2,950 | 2,950 |
CareFusion Corp. | 3.300% | 3/1/23 | 2,000 | 1,976 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 3,200 | 3,143 |
Celgene Corp. | 3.950% | 10/15/20 | 1,960 | 2,074 |
Celgene Corp. | 3.250% | 8/15/22 | 6,175 | 6,216 |
Celgene Corp. | 4.000% | 8/15/23 | 3,400 | 3,574 |
Celgene Corp. | 3.625% | 5/15/24 | 5,725 | 5,832 |
Clorox Co. | 3.800% | 11/15/21 | 100 | 106 |
Clorox Co. | 3.050% | 9/15/22 | 4,488 | 4,466 |
Clorox Co. | 3.500% | 12/15/24 | 4,000 | 4,027 |
Coca-Cola Co. | 2.450% | 11/1/20 | 8,725 | 8,791 |
Coca-Cola Co. | 3.150% | 11/15/20 | 3,785 | 3,956 |
Coca-Cola Co. | 3.300% | 9/1/21 | 10,925 | 11,471 |
Coca-Cola Co. | 2.500% | 4/1/23 | 925 | 909 |
Coca-Cola Co. | 3.200% | 11/1/23 | 11,650 | 12,011 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 2,350 | 2,440 |
Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 2,000 | 2,197 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,000 | 2,166 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 6,900 | 7,236 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 300 | 409 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 1,500 | 1,500 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 3,000 | 2,956 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 1,550 | 1,482 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 1,500 | 1,552 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 2,875 | 2,836 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 6,515 | 6,330 |
Covidien International Finance SA | 3.200% | 6/15/22 | 6,475 | 6,529 |
Covidien International Finance SA | 2.950% | 6/15/23 | 8,175 | 8,011 |
49
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CR Bard Inc. | 4.400% | 1/15/21 | 2,293 | 2,519 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 2,000 | 2,097 |
Diageo Capital plc | 4.828% | 7/15/20 | 1,415 | 1,575 |
Diageo Capital plc | 2.625% | 4/29/23 | 5,385 | 5,230 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 12,050 | 12,038 |
Dignity Health | 3.812% | 11/1/24 | 3,000 | 3,105 |
Dignity Health California GO | 3.125% | 11/1/22 | 1,600 | 1,583 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 2,500 | 2,554 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 500 | 489 |
Energizer Holdings Inc. | 4.700% | 5/19/21 | 2,400 | 2,489 |
Energizer Holdings Inc. | 4.700% | 5/24/22 | 3,650 | 3,772 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 2,603 | 2,509 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 3,823 | 4,222 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 10,675 | 11,167 |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 5,900 | 5,886 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 1,000 | 1,056 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,600 | 1,511 |
General Mills Inc. | 3.150% | 12/15/21 | 5,000 | 5,167 |
General Mills Inc. | 3.650% | 2/15/24 | 2,264 | 2,353 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 1,000 | 1,006 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 4,585 | 5,086 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 7,325 | 8,080 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 12,800 | 13,422 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 4,650 | 4,603 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 11,875 | 11,875 |
Hasbro Inc. | 3.150% | 5/15/21 | 2,000 | 2,009 |
Hershey Co. | 4.125% | 12/1/20 | 2,000 | 2,168 |
Hershey Co. | 2.625% | 5/1/23 | 3,000 | 2,941 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 173 | 178 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 875 | 953 |
Ingredion Inc. | 4.625% | 11/1/20 | 2,000 | 2,146 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,525 | 1,521 |
JM Smucker Co. | 3.500% | 10/15/21 | 3,950 | 4,144 |
Johnson & Johnson | 2.950% | 9/1/20 | 2,000 | 2,091 |
Johnson & Johnson | 3.550% | 5/15/21 | 675 | 734 |
Johnson & Johnson | 2.450% | 12/5/21 | 3,000 | 3,027 |
Johnson & Johnson | 3.375% | 12/5/23 | 6,000 | 6,427 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 1,825 | 1,875 |
Kellogg Co. | 4.000% | 12/15/20 | 4,923 | 5,275 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 1,000 | 1,064 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,095 | 2,288 |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 1,600 | 1,577 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 1,625 | 1,568 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 6,700 | 6,983 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 1,923 | 2,181 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 14,100 | 14,452 |
Kroger Co. | 6.150% | 1/15/20 | 3,704 | 4,284 |
Kroger Co. | 3.300% | 1/15/21 | 3,625 | 3,682 |
Kroger Co. | 2.950% | 11/1/21 | 750 | 743 |
Kroger Co. | 3.400% | 4/15/22 | 3,000 | 3,044 |
Kroger Co. | 3.850% | 8/1/23 | 1,660 | 1,723 |
Kroger Co. | 4.000% | 2/1/24 | 6,900 | 7,265 |
Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 1,000 | 1,074 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 2,600 | 2,664 |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 1,875 | 1,923 |
Life Technologies Corp. | 6.000% | 3/1/20 | 4,000 | 4,567 |
Life Technologies Corp. | 5.000% | 1/15/21 | 4,025 | 4,438 |
Lorillard Tobacco Co. | 6.875% | 5/1/20 | 3,975 | 4,684 |
Lorillard Tobacco Co. | 3.750% | 5/20/23 | 2,975 | 2,947 |
Mattel Inc. | 3.150% | 3/15/23 | 2,000 | 1,970 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 1,850 | 1,998 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 475 | 500 |
McKesson Corp. | 4.750% | 3/1/21 | 3,300 | 3,632 |
McKesson Corp. | 2.700% | 12/15/22 | 2,000 | 1,909 |
50
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
McKesson Corp. | 3.796% | 3/15/24 | 7,300 | 7,520 |
6 Medtronic Inc. | 2.500% | 3/15/20 | 9,600 | 9,632 |
Medtronic Inc. | 4.450% | 3/15/20 | 10,910 | 11,928 |
Medtronic Inc. | 4.125% | 3/15/21 | 200 | 215 |
Medtronic Inc. | 3.125% | 3/15/22 | 3,385 | 3,423 |
6 Medtronic Inc. | 3.150% | 3/15/22 | 12,000 | 12,154 |
Medtronic Inc. | 2.750% | 4/1/23 | 7,075 | 6,952 |
Medtronic Inc. | 3.625% | 3/15/24 | 2,000 | 2,077 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 11,550 | 12,466 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 6,120 | 5,976 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 10,600 | 10,537 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 2,800 | 2,829 |
Mondelez International Inc. | 5.375% | 2/10/20 | 10,402 | 11,775 |
Mondelez International Inc. | 4.000% | 2/1/24 | 10,147 | 10,610 |
Mylan Inc. | 4.200% | 11/29/23 | 6,725 | 7,003 |
Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 4,400 | 4,569 |
Newell Rubbermaid Inc. | 4.000% | 12/1/24 | 1,100 | 1,125 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 6,300 | 6,965 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 5,727 | 5,651 |
Novartis Capital Corp. | 3.400% | 5/6/24 | 12,725 | 13,231 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 1,325 | 1,398 |
PepsiCo Inc. | 4.500% | 1/15/20 | 1,900 | 2,093 |
PepsiCo Inc. | 3.125% | 11/1/20 | 4,400 | 4,567 |
PepsiCo Inc. | 3.000% | 8/25/21 | 11,650 | 11,989 |
PepsiCo Inc. | 2.750% | 3/5/22 | 6,650 | 6,641 |
PepsiCo Inc. | 2.750% | 3/1/23 | 6,800 | 6,726 |
PepsiCo Inc. | 3.600% | 3/1/24 | 2,625 | 2,737 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 3,850 | 4,241 |
Perrigo Co. plc | 4.000% | 11/15/23 | 4,725 | 4,870 |
Perrigo Finance plc | 3.500% | 12/15/21 | 2,800 | 2,833 |
Perrigo Finance plc | 3.900% | 12/15/24 | 1,900 | 1,927 |
Pfizer Inc. | 3.000% | 6/15/23 | 2,843 | 2,866 |
Pfizer Inc. | 3.400% | 5/15/24 | 12,250 | 12,769 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 1,700 | 1,866 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 2,000 | 2,175 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 5,500 | 5,558 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 3,625 | 3,546 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 3,700 | 3,600 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 3,225 | 3,367 |
Philip Morris International Inc. | 3.250% | 11/10/24 | 5,600 | 5,614 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 5,000 | 4,964 |
Procter & Gamble Co. | 3.100% | 8/15/23 | 8,920 | 9,199 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,100 | 2,266 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 1,350 | 1,468 |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 1,700 | 1,752 |
Reynolds American Inc. | 3.250% | 11/1/22 | 4,350 | 4,238 |
Reynolds American Inc. | 4.850% | 9/15/23 | 3,000 | 3,233 |
Safeway Inc. | 3.950% | 8/15/20 | 3,559 | 3,620 |
Sanofi | 4.000% | 3/29/21 | 14,250 | 15,501 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 6,910 | 6,910 |
Stryker Corp. | 4.375% | 1/15/20 | 2,460 | 2,632 |
Stryker Corp. | 3.375% | 5/15/24 | 3,625 | 3,658 |
Sysco Corp. | 3.000% | 10/2/21 | 4,150 | 4,213 |
Sysco Corp. | 2.600% | 6/12/22 | 1,950 | 1,923 |
Sysco Corp. | 3.500% | 10/2/24 | 7,250 | 7,467 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 8,985 | 9,209 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 8,550 | 8,330 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 1,485 | 1,519 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 2,725 | 2,676 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 650 | 710 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 2,950 | 3,195 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 15,845 | 16,343 |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 2,800 | 2,807 |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 1,275 | 1,255 |
51
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 3,500 | 3,678 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 3,225 | 3,456 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 5,150 | 5,569 |
Tyson Foods Inc. | 3.950% | 8/15/24 | 5,800 | 6,006 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 6,880 | 7,618 |
Whirlpool Corp. | 4.850% | 6/15/21 | 3,500 | 3,842 |
Whirlpool Corp. | 3.700% | 3/1/23 | 1,500 | 1,524 |
Whirlpool Corp. | 4.000% | 3/1/24 | 1,925 | 2,004 |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 3,000 | 3,895 |
Zimmer Holdings Inc. | 3.375% | 11/30/21 | 850 | 863 |
Zoetis Inc. | 3.250% | 2/1/23 | 8,860 | 8,754 |
Energy (4.5%) | ||||
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 5,000 | 4,892 |
Apache Corp. | 3.625% | 2/1/21 | 4,825 | 4,876 |
Apache Corp. | 3.250% | 4/15/22 | 5,286 | 5,198 |
BP Capital Markets plc | 2.521% | 1/15/20 | 2,400 | 2,398 |
BP Capital Markets plc | 4.500% | 10/1/20 | 8,850 | 9,524 |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,900 | 9,678 |
BP Capital Markets plc | 3.561% | 11/1/21 | 2,600 | 2,655 |
BP Capital Markets plc | 3.245% | 5/6/22 | 11,485 | 11,289 |
BP Capital Markets plc | 2.500% | 11/6/22 | 8,275 | 7,707 |
BP Capital Markets plc | 2.750% | 5/10/23 | 17,063 | 16,037 |
BP Capital Markets plc | 3.994% | 9/26/23 | 6,800 | 6,972 |
BP Capital Markets plc | 3.814% | 2/10/24 | 4,155 | 4,191 |
BP Capital Markets plc | 3.535% | 11/4/24 | 375 | 368 |
Buckeye Partners LP | 4.875% | 2/1/21 | 3,785 | 3,974 |
Buckeye Partners LP | 4.150% | 7/1/23 | 4,000 | 3,919 |
Cameron International Corp. | 4.500% | 6/1/21 | 2,575 | 2,711 |
Cameron International Corp. | 3.600% | 4/30/22 | 850 | 840 |
Cameron International Corp. | 4.000% | 12/15/23 | 3,000 | 3,011 |
Cameron International Corp. | 3.700% | 6/15/24 | 4,550 | 4,409 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 875 | 870 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 525 | 518 |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 4,275 | 4,012 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 4,677 | 5,131 |
Chevron Corp. | 2.427% | 6/24/20 | 6,500 | 6,538 |
Chevron Corp. | 2.355% | 12/5/22 | 14,260 | 13,782 |
Chevron Corp. | 3.191% | 6/24/23 | 8,575 | 8,754 |
ConocoPhillips | 6.000% | 1/15/20 | 3,826 | 4,445 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 500 | 504 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 5,095 | 4,898 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 8,700 | 8,787 |
Continental Resources Inc. | 5.000% | 9/15/22 | 12,550 | 12,142 |
Continental Resources Inc. | 4.500% | 4/15/23 | 11,611 | 11,017 |
Continental Resources Inc. | 3.800% | 6/1/24 | 4,700 | 4,160 |
Copano Energy LLC / Copano Energy Finance Corp. | 7.125% | 4/1/21 | 2,970 | 3,260 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 3,050 | 3,187 |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 4,950 | 4,736 |
Devon Energy Corp. | 4.000% | 7/15/21 | 4,000 | 4,144 |
Devon Energy Corp. | 3.250% | 5/15/22 | 3,100 | 3,042 |
Diamond Offshore Drilling Inc. | 3.450% | 11/1/23 | 425 | 395 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 6,791 | 6,920 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 3,500 | 3,934 |
El Paso Pipeline Partners Operating Co. LLC | 5.000% | 10/1/21 | 7,500 | 7,889 |
El Paso Pipeline Partners Operating Co. LLC | 4.300% | 5/1/24 | 3,635 | 3,613 |
6 Enable Midstream Partners LP | 3.900% | 5/15/24 | 2,900 | 2,792 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 2,175 | 2,369 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 3,675 | 3,840 |
Enbridge Inc. | 4.000% | 10/1/23 | 950 | 919 |
Enbridge Inc. | 3.500% | 6/10/24 | 3,650 | 3,434 |
Encana Corp. | 3.900% | 11/15/21 | 3,835 | 3,784 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 2,700 | 2,772 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 425 | 441 |
52
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 8,530 | 9,138 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 9,000 | 8,802 |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 2,000 | 2,095 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 1,575 | 1,594 |
Ensco plc | 4.700% | 3/15/21 | 7,735 | 7,772 |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 7,625 | 8,428 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 5,075 | 5,623 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 2,450 | 2,545 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 9,140 | 9,043 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 2,600 | 2,636 |
EOG Resources Inc. | 4.400% | 6/1/20 | 2,700 | 2,936 |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,675 | 10,339 |
EOG Resources Inc. | 2.625% | 3/15/23 | 5,955 | 5,722 |
EQT Corp. | 4.875% | 11/15/21 | 2,215 | 2,381 |
EQT Midstream Partners LP | 4.000% | 8/1/24 | 2,600 | 2,575 |
Exxon Mobil Corp. | 3.176% | 3/15/24 | 2,000 | 2,067 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 2,975 | 2,900 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 3,175 | 3,131 |
Halliburton Co. | 3.250% | 11/15/21 | 2,200 | 2,241 |
Halliburton Co. | 3.500% | 8/1/23 | 4,575 | 4,670 |
Hess Corp. | 3.500% | 7/15/24 | 1,500 | 1,434 |
Husky Energy Inc. | 4.000% | 4/15/24 | 5,105 | 5,042 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 2,675 | 3,271 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 12,275 | 14,100 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 750 | 740 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 2,150 | 2,381 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 1,475 | 1,487 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 4,175 | 4,142 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 4,050 | 3,878 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 4,850 | 4,612 |
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 3,475 | 3,467 |
Kinder Morgan Inc. | 6.500% | 9/15/20 | 2,000 | 2,267 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 1,300 | 1,402 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 4,750 | 4,434 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 7,660 | 8,441 |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 3,600 | 3,512 |
Murphy Oil Corp. | 4.000% | 6/1/22 | 1,450 | 1,334 |
Murphy Oil Corp. | 3.700% | 12/1/22 | 4,600 | 4,110 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 1,450 | 1,422 |
Nabors Industries Inc. | 4.625% | 9/15/21 | 3,800 | 3,571 |
Nabors Industries Inc. | 5.100% | 9/15/23 | 3,525 | 3,353 |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 10,188 | 9,600 |
Nisource Finance Corp. | 5.450% | 9/15/20 | 4,022 | 4,562 |
Nisource Finance Corp. | 4.450% | 12/1/21 | 1,640 | 1,772 |
Nisource Finance Corp. | 6.125% | 3/1/22 | 3,775 | 4,476 |
Nisource Finance Corp. | 3.850% | 2/15/23 | 600 | 622 |
Noble Energy Inc. | 4.150% | 12/15/21 | 5,925 | 6,014 |
Noble Energy Inc. | 3.900% | 11/15/24 | 3,450 | 3,416 |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 2,790 | 2,607 |
Noble Holding International Ltd. | 4.625% | 3/1/21 | 1,800 | 1,647 |
Noble Holding International Ltd. | 3.950% | 3/15/22 | 2,825 | 2,444 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 8,925 | 9,456 |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 7,725 | 7,688 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 7,600 | 7,220 |
Oceaneering International Inc. | 4.650% | 11/15/24 | 2,775 | 2,721 |
ONEOK Partners LP | 3.375% | 10/1/22 | 5,739 | 5,335 |
ONEOK Partners LP | 5.000% | 9/15/23 | 2,000 | 2,029 |
Phillips 66 | 4.300% | 4/1/22 | 10,550 | 11,140 |
Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 3,600 | 4,215 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 3,000 | 2,969 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 2,760 | 3,120 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 4,975 | 5,474 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 4,805 | 4,833 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 1,464 | 1,485 |
53
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 5,925 | 5,828 |
Pride International Inc. | 6.875% | 8/15/20 | 7,910 | 8,877 |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 5,725 | 5,553 |
Rowan Cos. Inc. | 4.750% | 1/15/24 | 400 | 378 |
Sasol Financing International plc | 4.500% | 11/14/22 | 5,200 | 5,150 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 7,545 | 7,830 |
Shell International Finance BV | 4.375% | 3/25/20 | 7,050 | 7,717 |
Shell International Finance BV | 2.375% | 8/21/22 | 5,345 | 5,145 |
Shell International Finance BV | 2.250% | 1/6/23 | 9,775 | 9,339 |
Shell International Finance BV | 3.400% | 8/12/23 | 6,750 | 6,926 |
Southwestern Energy Co. | 4.100% | 3/15/22 | 5,507 | 5,406 |
Spectra Energy Capital LLC | 3.300% | 3/15/23 | 3,910 | 3,715 |
Spectra Energy Partners LP | 4.600% | 6/15/21 | 1,850 | 2,013 |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 5,900 | 6,246 |
Suncor Energy Inc. | 3.600% | 12/1/24 | 2,250 | 2,220 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 925 | 887 |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 4,800 | 4,843 |
Talisman Energy Inc. | 3.750% | 2/1/21 | 8,850 | 8,582 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 3,400 | 3,287 |
Total Capital International SA | 2.750% | 6/19/21 | 5,000 | 5,001 |
Total Capital International SA | 2.875% | 2/17/22 | 5,215 | 5,166 |
Total Capital International SA | 2.700% | 1/25/23 | 8,800 | 8,474 |
Total Capital International SA | 3.700% | 1/15/24 | 8,525 | 8,807 |
Total Capital International SA | 3.750% | 4/10/24 | 850 | 884 |
Total Capital SA | 4.450% | 6/24/20 | 12,125 | 13,289 |
Total Capital SA | 4.125% | 1/28/21 | 6,130 | 6,572 |
Total Capital SA | 4.250% | 12/15/21 | 2,230 | 2,415 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 4,600 | 4,729 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 8,800 | 8,290 |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 3,600 | 3,608 |
Transocean Inc. | 6.500% | 11/15/20 | 5,825 | 5,490 |
Transocean Inc. | 6.375% | 12/15/21 | 9,138 | 8,430 |
Transocean Inc. | 3.800% | 10/15/22 | 1,525 | 1,235 |
Valero Energy Corp. | 6.125% | 2/1/20 | 2,680 | 3,039 |
Weatherford International Ltd. | 4.500% | 4/15/22 | 6,544 | 5,829 |
Western Gas Partners LP | 5.375% | 6/1/21 | 9,725 | 10,651 |
Williams Cos. Inc. | 7.875% | 9/1/21 | 279 | 322 |
Williams Cos. Inc. | 3.700% | 1/15/23 | 7,000 | 6,288 |
Williams Cos. Inc. | 4.550% | 6/24/24 | 6,000 | 5,583 |
Williams Partners LP | 5.250% | 3/15/20 | 8,835 | 9,592 |
Williams Partners LP | 4.000% | 11/15/21 | 4,625 | 4,636 |
Williams Partners LP | 3.350% | 8/15/22 | 5,150 | 4,922 |
Williams Partners LP | 4.300% | 3/4/24 | 6,250 | 6,203 |
Other Industrial (0.1%) | ||||
Cintas Corp. No 2 | 4.300% | 6/1/21 | 1,300 | 1,405 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,450 | 1,478 |
Fluor Corp. | 3.375% | 9/15/21 | 2,300 | 2,399 |
Fluor Corp. | 3.500% | 12/15/24 | 2,800 | 2,786 |
Howard Hughes Medical Institute | 3.500% | 9/1/23 | 4,476 | 4,690 |
Technology (2.7%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 4,325 | 4,746 |
Altera Corp. | 4.100% | 11/15/23 | 8,025 | 8,327 |
Amphenol Corp. | 3.125% | 9/15/21 | 2,500 | 2,512 |
Amphenol Corp. | 4.000% | 2/1/22 | 1,950 | 2,047 |
Analog Devices Inc. | 2.875% | 6/1/23 | 2,825 | 2,725 |
Apple Inc. | 2.850% | 5/6/21 | 23,425 | 23,929 |
Apple Inc. | 2.400% | 5/3/23 | 27,150 | 26,328 |
Apple Inc. | 3.450% | 5/6/24 | 14,265 | 14,949 |
Applied Materials Inc. | 4.300% | 6/15/21 | 3,725 | 4,048 |
Arrow Electronics Inc. | 6.000% | 4/1/20 | 1,184 | 1,332 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 2,000 | 2,165 |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 1,725 | 1,782 |
Autodesk Inc. | 3.600% | 12/15/22 | 1,550 | 1,533 |
54
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Avnet Inc. | 4.875% | 12/1/22 | 3,725 | 3,959 |
Baidu Inc. | 3.500% | 11/28/22 | 3,725 | 3,688 |
Broadcom Corp. | 2.500% | 8/15/22 | 2,500 | 2,402 |
Broadcom Corp. | 3.500% | 8/1/24 | 2,675 | 2,692 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 1,900 | 1,985 |
CA Inc. | 4.500% | 8/15/23 | 2,800 | 2,922 |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 1,875 | 1,905 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 12,144 | 13,358 |
Cisco Systems Inc. | 2.900% | 3/4/21 | 2,000 | 2,045 |
Cisco Systems Inc. | 3.625% | 3/4/24 | 7,150 | 7,482 |
Corning Inc. | 4.250% | 8/15/20 | 1,657 | 1,801 |
Corning Inc. | 3.700% | 11/15/23 | 2,500 | 2,582 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,225 | 1,257 |
EMC Corp. | 2.650% | 6/1/20 | 10,597 | 10,644 |
EMC Corp. | 3.375% | 6/1/23 | 5,253 | 5,240 |
Equifax Inc. | 3.300% | 12/15/22 | 1,070 | 1,062 |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 2,225 | 2,361 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 14,953 | 14,835 |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 2,760 | 2,791 |
Fiserv Inc. | 4.625% | 10/1/20 | 4,747 | 5,171 |
Fiserv Inc. | 3.500% | 10/1/22 | 1,615 | 1,630 |
Google Inc. | 3.625% | 5/19/21 | 2,435 | 2,607 |
Google Inc. | 3.375% | 2/25/24 | 4,500 | 4,689 |
Harris Corp. | 4.400% | 12/15/20 | 4,740 | 5,074 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 9,425 | 9,931 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 13,950 | 14,621 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 8,550 | 9,177 |
Ingram Micro Inc. | 4.950% | 12/15/24 | 4,350 | 4,350 |
Intel Corp. | 3.300% | 10/1/21 | 13,523 | 14,172 |
Intel Corp. | 2.700% | 12/15/22 | 8,700 | 8,650 |
International Business Machines Corp. | 1.625% | 5/15/20 | 5,296 | 5,103 |
International Business Machines Corp. | 1.875% | 8/1/22 | 7,700 | 7,177 |
International Business Machines Corp. | 3.375% | 8/1/23 | 8,675 | 8,873 |
International Business Machines Corp. | 3.625% | 2/12/24 | 11,900 | 12,401 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 3,188 | 3,395 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 1,700 | 1,687 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 725 | 758 |
Juniper Networks Inc. | 4.500% | 3/15/24 | 2,025 | 2,045 |
6 Keysight Technologies Inc. | 4.550% | 10/30/24 | 3,000 | 2,995 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 3,000 | 3,074 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 6,370 | 6,588 |
Lender Processing Services Inc / Black Knight Lending | ||||
Solutions Inc | 5.750% | 4/15/23 | 3,680 | 3,892 |
Lexmark International Inc. | 5.125% | 3/15/20 | 1,725 | 1,842 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 2,375 | 2,351 |
Microsoft Corp. | 3.000% | 10/1/20 | 4,025 | 4,228 |
Microsoft Corp. | 2.125% | 11/15/22 | 4,100 | 3,985 |
Microsoft Corp. | 2.375% | 5/1/23 | 4,925 | 4,832 |
Microsoft Corp. | 3.625% | 12/15/23 | 6,225 | 6,649 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 6,450 | 6,462 |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 3,450 | 3,466 |
NetApp Inc. | 3.375% | 6/15/21 | 3,400 | 3,407 |
Oracle Corp. | 3.875% | 7/15/20 | 10,940 | 11,793 |
Oracle Corp. | 2.800% | 7/8/21 | 7,440 | 7,528 |
Oracle Corp. | 2.500% | 10/15/22 | 22,254 | 21,592 |
Oracle Corp. | 3.625% | 7/15/23 | 2,900 | 3,035 |
Oracle Corp. | 3.400% | 7/8/24 | 10,140 | 10,380 |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 4,200 | 4,341 |
Seagate HDD Cayman | 6.875% | 5/1/20 | 3,231 | 3,393 |
Seagate HDD Cayman | 4.750% | 6/1/23 | 4,450 | 4,628 |
Symantec Corp. | 4.200% | 9/15/20 | 4,005 | 4,146 |
Symantec Corp. | 3.950% | 6/15/22 | 2,650 | 2,674 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 5,750 | 6,042 |
Total System Services Inc. | 3.750% | 6/1/23 | 1,600 | 1,568 |
55
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 1,500 | 1,542 |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 2,577 | 2,830 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 3,075 | 3,178 |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 950 | 969 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 4,575 | 4,769 |
Xerox Corp. | 2.800% | 5/15/20 | 2,425 | 2,383 |
Xerox Corp. | 4.500% | 5/15/21 | 6,050 | 6,467 |
Xerox Corp. | 3.800% | 5/15/24 | 1,550 | 1,516 |
Xilinx Inc. | 3.000% | 3/15/21 | 3,970 | 3,963 |
Transportation (0.9%) | ||||
5 American Airlines 2011-1 Class A Pass Through Trust | 5.250% | 7/31/22 | 499 | 536 |
5 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 7,033 | 7,534 |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 800 | 839 |
Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 777 | 841 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 5,175 | 5,395 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 4,125 | 4,122 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 4,200 | 4,220 |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 3,700 | 3,689 |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 4,225 | 4,444 |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 2,650 | 2,761 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 3,700 | 3,770 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 2,950 | 3,013 |
Canadian National Railway Co. | 2.250% | 11/15/22 | 1,200 | 1,160 |
Canadian National Railway Co. | 2.950% | 11/21/24 | 500 | 500 |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 2,780 | 3,052 |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 1,600 | 1,770 |
5 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 2,890 | 3,153 |
5 Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 4,053 | 4,322 |
5 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 3,751 | 3,854 |
5 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 3,266 | 3,332 |
CSX Corp. | 4.250% | 6/1/21 | 7,325 | 7,948 |
CSX Corp. | 3.700% | 11/1/23 | 5,375 | 5,613 |
5 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 3,082 | 3,575 |
5 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,730 | 1,846 |
FedEx Corp. | 2.625% | 8/1/22 | 3,528 | 3,455 |
FedEx Corp. | 4.000% | 1/15/24 | 3,975 | 4,219 |
JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 2,300 | 2,411 |
Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 3,325 | 3,187 |
Kansas City Southern de Mexico SA de CV | 3.000% | 5/15/23 | 800 | 777 |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 2,918 | 2,987 |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 2,200 | 2,211 |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 5,099 | 5,042 |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,000 | 2,100 |
Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 411 | 548 |
5 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 933 | 1,071 |
Trinity Industries Inc. | 4.550% | 10/1/24 | 1,500 | 1,457 |
Union Pacific Corp. | 4.000% | 2/1/21 | 5,300 | 5,785 |
Union Pacific Corp. | 4.163% | 7/15/22 | 7,296 | 8,013 |
Union Pacific Corp. | 2.950% | 1/15/23 | 1,575 | 1,590 |
Union Pacific Corp. | 2.750% | 4/15/23 | 1,800 | 1,787 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 6,650 | 6,968 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 13,206 | 13,022 |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 500 | 643 |
4,306,808 | ||||
Utilities (2.2%) | ||||
Electric (2.1%) | ||||
Alabama Power Co. | 3.375% | 10/1/20 | 745 | 779 |
Alabama Power Co. | 3.550% | 12/1/23 | 1,600 | 1,687 |
Ameren Illinois Co. | 2.700% | 9/1/22 | 3,465 | 3,443 |
Appalachian Power Co. | 7.950% | 1/15/20 | 975 | 1,217 |
Appalachian Power Co. | 4.600% | 3/30/21 | 1,700 | 1,886 |
Arizona Public Service Co. | 3.350% | 6/15/24 | 1,450 | 1,497 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 3,575 | 3,753 |
56
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 2,509 | 2,572 |
6 Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 2,000 | 1,991 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 4,575 | 4,778 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 250 | 296 |
CMS Energy Corp. | 6.250% | 2/1/20 | 2,000 | 2,312 |
CMS Energy Corp. | 5.050% | 3/15/22 | 3,500 | 3,858 |
CMS Energy Corp. | 3.875% | 3/1/24 | 4,845 | 4,997 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 3,538 | 3,795 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 2,050 | 2,137 |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 550 | 548 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 5,708 | 5,553 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,000 | 2,203 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 2,835 | 3,138 |
Consumers Energy Co. | 5.650% | 4/15/20 | 1,075 | 1,232 |
Consumers Energy Co. | 2.850% | 5/15/22 | 3,000 | 2,988 |
Consumers Energy Co. | 3.375% | 8/15/23 | 1,700 | 1,754 |
Consumers Energy Co. | 3.125% | 8/31/24 | 3,000 | 3,021 |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,825 | 5,000 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 4,225 | 4,578 |
Dominion Resources Inc. | 2.750% | 9/15/22 | 1,600 | 1,552 |
Dominion Resources Inc. | 3.625% | 12/1/24 | 1,450 | 1,470 |
5 Dominion Resources Inc. | 5.750% | 10/1/54 | 3,600 | 3,758 |
DTE Electric Co. | 3.450% | 10/1/20 | 4,030 | 4,211 |
DTE Electric Co. | 3.900% | 6/1/21 | 800 | 866 |
DTE Electric Co. | 2.650% | 6/15/22 | 1,450 | 1,430 |
DTE Energy Co. | 3.500% | 6/1/24 | 5,083 | 5,144 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 3,075 | 3,338 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 2,000 | 2,152 |
Duke Energy Corp. | 3.050% | 8/15/22 | 3,535 | 3,554 |
Duke Energy Corp. | 3.950% | 10/15/23 | 2,150 | 2,281 |
Duke Energy Corp. | 3.750% | 4/15/24 | 1,750 | 1,827 |
Duke Energy Florida Inc. | 3.100% | 8/15/21 | 2,000 | 2,054 |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 3,899 | 4,130 |
Duke Energy Progress Inc. | 3.000% | 9/15/21 | 5,400 | 5,538 |
Duke Energy Progress Inc. | 2.800% | 5/15/22 | 2,500 | 2,505 |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 3,800 | 3,800 |
Entergy Corp. | 5.125% | 9/15/20 | 2,625 | 2,850 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 2,500 | 2,674 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 300 | 355 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 4,500 | 4,826 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 1,575 | 1,840 |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 175 | 174 |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 5,800 | 6,050 |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 4,000 | 4,152 |
FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 2,600 | 2,880 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 7,125 | 7,072 |
Florida Power & Light Co. | 3.250% | 6/1/24 | 2,400 | 2,459 |
Georgia Power Co. | 2.850% | 5/15/22 | 4,300 | 4,320 |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 4,995 | 5,472 |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 825 | 830 |
Integrys Energy Group Inc. | 4.170% | 11/1/20 | 1,170 | 1,248 |
ITC Holdings Corp. | 4.050% | 7/1/23 | 900 | 938 |
ITC Holdings Corp. | 3.650% | 6/15/24 | 2,025 | 2,054 |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 1,225 | 1,230 |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 2,300 | 2,381 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 5,525 | 5,760 |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 3,300 | 3,416 |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 2,750 | 2,731 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 4,200 | 4,237 |
5 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 2,100 | 2,080 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 3,000 | 3,242 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 325 | 330 |
Northeast Utilities | 2.800% | 5/1/23 | 2,000 | 1,936 |
Northern States Power Co. | 2.150% | 8/15/22 | 825 | 793 |
57
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Northern States Power Co. | 2.600% | 5/15/23 | 1,300 | 1,280 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,575 | 1,523 |
Ohio Power Co. | 5.375% | 10/1/21 | 4,585 | 5,317 |
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 2,950 | 3,170 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 1,660 | 2,103 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 7,985 | 8,295 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 200 | 216 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 2,500 | 2,553 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 2,425 | 2,335 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 2,150 | 2,159 |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 1,800 | 1,875 |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 2,875 | 2,910 |
PacifiCorp | 3.850% | 6/15/21 | 400 | 429 |
PacifiCorp | 2.950% | 2/1/22 | 4,862 | 4,927 |
PacifiCorp | 3.600% | 4/1/24 | 2,925 | 3,020 |
Peco Energy Co. | 2.375% | 9/15/22 | 2,450 | 2,378 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 1,700 | 1,871 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 150 | 157 |
PPL Capital Funding Inc. | 4.200% | 6/15/22 | 2,501 | 2,647 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 1,760 | 1,783 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 7,100 | 7,110 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 975 | 1,017 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 3,600 | 3,659 |
Progress Energy Inc. | 4.400% | 1/15/21 | 2,381 | 2,596 |
Progress Energy Inc. | 3.150% | 4/1/22 | 3,575 | 3,623 |
PSEG Power LLC | 5.125% | 4/15/20 | 3,937 | 4,331 |
PSEG Power LLC | 4.150% | 9/15/21 | 1,225 | 1,289 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 3,300 | 3,432 |
Public Service Co. of Colorado | 2.500% | 3/15/23 | 1,300 | 1,268 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 1,325 | 1,370 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 2,000 | 2,193 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 2,000 | 2,105 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 2,679 | 2,577 |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 2,550 | 2,594 |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 850 | 854 |
Puget Energy Inc. | 6.500% | 12/15/20 | 2,225 | 2,622 |
Puget Energy Inc. | 6.000% | 9/1/21 | 1,750 | 2,047 |
Puget Energy Inc. | 5.625% | 7/15/22 | 4,925 | 5,700 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 1,950 | 1,998 |
San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 4,400 | 4,627 |
SCANA Corp. | 4.750% | 5/15/21 | 3,500 | 3,774 |
SCANA Corp. | 4.125% | 2/1/22 | 2,825 | 2,929 |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 1,400 | 1,454 |
Southern California Edison Co. | 3.875% | 6/1/21 | 2,589 | 2,813 |
Southern California Edison Co. | 3.500% | 10/1/23 | 2,225 | 2,340 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 1,575 | 1,622 |
Tampa Electric Co. | 5.400% | 5/15/21 | 3,500 | 4,091 |
Tampa Electric Co. | 2.600% | 9/15/22 | 2,050 | 2,006 |
TECO Finance Inc. | 5.150% | 3/15/20 | 1,550 | 1,730 |
TransAlta Corp. | 4.500% | 11/15/22 | 2,200 | 2,210 |
6 Tri-State Generation & Transmission Association Inc. | 3.700% | 11/1/24 | 1,325 | 1,354 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 2,050 | 2,292 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,850 | 1,967 |
Union Electric Co. | 3.500% | 4/15/24 | 2,025 | 2,101 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,200 | 3,232 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,550 | 1,617 |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,525 | 1,571 |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 2,275 | 2,373 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 1,850 | 1,811 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 2,435 | 2,702 |
Natural Gas (0.1%) | ||||
Laclede Gas Co. | 3.400% | 8/15/23 | 1,375 | 1,401 |
National Fuel Gas Co. | 4.900% | 12/1/21 | 3,875 | 4,190 |
58
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
National Fuel Gas Co. | 3.750% | 3/1/23 | 4,275 | 4,287 |
ONE Gas Inc. | 3.610% | 2/1/24 | 1,650 | 1,727 |
Sempra Energy | 2.875% | 10/1/22 | 2,350 | 2,310 |
Sempra Energy | 4.050% | 12/1/23 | 5,000 | 5,291 |
372,108 | ||||
Total Corporate Bonds (Cost $6,731,864) | 6,893,842 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (7.1%) | ||||
African Development Bank | 2.375% | 9/23/21 | 5,000 | 5,092 |
Asian Development Bank | 1.375% | 3/23/20 | 4,000 | 3,915 |
Asian Development Bank | 2.125% | 11/24/21 | 5,000 | 5,037 |
Banco do Brasil SA | 3.875% | 10/10/22 | 10,925 | 10,049 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 10,175 | 9,649 |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 12,200 | 12,559 |
Corporacion Andina de Fomento | 4.375% | 6/15/22 | 10,020 | 10,800 |
Ecopetrol SA | 5.875% | 9/18/23 | 6,775 | 7,230 |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 4,050 | 4,020 |
European Investment Bank | 2.875% | 9/15/20 | 14,925 | 15,703 |
European Investment Bank | 4.000% | 2/16/21 | 11,750 | 13,118 |
European Investment Bank | 2.500% | 4/15/21 | 11,375 | 11,720 |
European Investment Bank | 2.125% | 10/15/21 | 17,000 | 17,068 |
European Investment Bank | 3.250% | 1/29/24 | 17,050 | 18,380 |
European Investment Bank | 2.500% | 10/15/24 | 5,750 | 5,775 |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 6,400 | 7,206 |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 8,484 | 9,092 |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 8,000 | 8,769 |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 4,400 | 5,010 |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 4,900 | 5,297 |
Federative Republic of Brazil | 4.875% | 1/22/21 | 15,800 | 16,806 |
Federative Republic of Brazil | 2.625% | 1/5/23 | 9,600 | 8,798 |
Federative Republic of Brazil | 8.875% | 4/15/24 | 8,025 | 10,753 |
Hydro-Quebec | 9.400% | 2/1/21 | 2,000 | 2,755 |
Hydro-Quebec | 8.400% | 1/15/22 | 4,825 | 6,434 |
Hydro-Quebec | 8.050% | 7/7/24 | 3,825 | 5,369 |
Inter-American Development Bank | 3.875% | 2/14/20 | 5,675 | 6,241 |
Inter-American Development Bank | 2.125% | 11/9/20 | 9,250 | 9,308 |
Inter-American Development Bank | 3.000% | 10/4/23 | 7,950 | 8,428 |
Inter-American Development Bank | 3.000% | 2/21/24 | 9,200 | 9,741 |
International Bank for Reconstruction & Development | 2.125% | 11/1/20 | 26,150 | 26,464 |
International Bank for Reconstruction & Development | 2.250% | 6/24/21 | 10,250 | 10,486 |
International Bank for Reconstruction & Development | 7.625% | 1/19/23 | 2,107 | 2,943 |
International Bank for Reconstruction & Development | 2.500% | 11/25/24 | 22,000 | 22,211 |
7 Japan Bank for International Cooperation | 3.375% | 7/31/23 | 2,375 | 2,568 |
7 Japan Bank for International Cooperation | 3.000% | 5/29/24 | 6,200 | 6,453 |
7 Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 6,000 | 6,623 |
8 KFW | 4.000% | 1/27/20 | 19,675 | 21,745 |
8 KFW | 2.750% | 9/8/20 | 26,275 | 27,466 |
8 KFW | 2.750% | 10/1/20 | 7,500 | 7,840 |
8 KFW | 2.375% | 8/25/21 | 15,000 | 15,310 |
8 KFW | 2.625% | 1/25/22 | 15,910 | 16,465 |
8 KFW | 2.000% | 10/4/22 | 15,550 | 15,373 |
8 KFW | 2.125% | 1/17/23 | 19,250 | 19,200 |
8 KFW | 2.500% | 11/20/24 | 30,000 | 30,393 |
Korea Development Bank | 3.000% | 9/14/22 | 7,300 | 7,326 |
Korea Development Bank | 3.750% | 1/22/24 | 6,900 | 7,296 |
Korea Finance Corp. | 4.625% | 11/16/21 | 4,350 | 4,816 |
8 Landwirtschaftliche Rentenbank | 2.250% | 10/1/21 | 7,575 | 7,640 |
North American Development Bank | 4.375% | 2/11/20 | 1,200 | 1,315 |
North American Development Bank | 2.400% | 10/26/22 | 2,500 | 2,451 |
9 Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,000 | 5,029 |
5 Oriental Republic of Uruguay | 8.000% | 11/18/22 | 3,430 | 4,476 |
5 Oriental Republic of Uruguay | 4.500% | 8/14/24 | 4,975 | 5,224 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 15,800 | 14,840 |
59
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Petrobras Global Finance BV | 4.375% | 5/20/23 | 10,100 | 8,677 |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 17,700 | 16,820 |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 9,115 | 8,935 |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 32,792 | 30,268 |
Petroleos Mexicanos | 6.000% | 3/5/20 | 6,825 | 7,621 |
Petroleos Mexicanos | 5.500% | 1/21/21 | 16,660 | 18,036 |
Petroleos Mexicanos | 4.875% | 1/24/22 | 18,100 | 18,962 |
Petroleos Mexicanos | 3.500% | 1/30/23 | 9,175 | 8,763 |
Petroleos Mexicanos | 4.875% | 1/18/24 | 7,400 | 7,662 |
5 Petroleos Mexicanos | 2.290% | 2/15/24 | 1,805 | 1,815 |
Province of British Columbia | 2.650% | 9/22/21 | 5,000 | 5,142 |
Province of British Columbia | 2.000% | 10/23/22 | 7,000 | 6,844 |
Province of Manitoba | 9.250% | 4/1/20 | 1,500 | 2,000 |
Province of Manitoba | 2.100% | 9/6/22 | 3,550 | 3,473 |
Province of Manitoba | 3.050% | 5/14/24 | 13,300 | 13,738 |
Province of Nova Scotia | 8.250% | 7/30/22 | 4,700 | 6,392 |
Province of Ontario | 4.400% | 4/14/20 | 9,700 | 10,879 |
Province of Ontario | 2.500% | 9/10/21 | 11,600 | 11,654 |
Province of Ontario | 2.450% | 6/29/22 | 2,150 | 2,138 |
Province of Ontario | 3.200% | 5/16/24 | 7,800 | 8,166 |
Quebec | 3.500% | 7/29/20 | 2,700 | 2,881 |
Quebec | 2.750% | 8/25/21 | 20,350 | 20,705 |
Quebec | 2.625% | 2/13/23 | 7,075 | 7,088 |
Quebec | 7.125% | 2/9/24 | 3,325 | 4,403 |
Quebec | 2.875% | 10/16/24 | 8,950 | 9,014 |
Republic of Chile | 3.875% | 8/5/20 | 4,800 | 5,147 |
Republic of Chile | 3.250% | 9/14/21 | 8,900 | 9,137 |
Republic of Chile | 2.250% | 10/30/22 | 4,075 | 3,881 |
Republic of Colombia | 11.750% | 2/25/20 | 1,900 | 2,670 |
Republic of Colombia | 4.375% | 7/12/21 | 10,200 | 10,695 |
5 Republic of Colombia | 2.625% | 3/15/23 | 7,225 | 6,694 |
Republic of Colombia | 4.000% | 2/26/24 | 15,150 | 15,400 |
Republic of Colombia | 8.125% | 5/21/24 | 3,690 | 4,880 |
Republic of Italy | 6.875% | 9/27/23 | 18,950 | 24,064 |
Republic of Korea | 3.875% | 9/11/23 | 6,300 | 6,920 |
Republic of Panama | 5.200% | 1/30/20 | 7,895 | 8,633 |
5 Republic of Panama | 4.000% | 9/22/24 | 7,000 | 7,122 |
Republic of Philippines | 6.500% | 1/20/20 | 6,075 | 7,296 |
Republic of Philippines | 4.000% | 1/15/21 | 8,350 | 9,047 |
Republic of Philippines | 4.200% | 1/21/24 | 17,025 | 18,472 |
Republic of Philippines | 9.500% | 10/21/24 | 400 | 592 |
Republic of Poland | 5.125% | 4/21/21 | 11,500 | 12,906 |
Republic of Poland | 5.000% | 3/23/22 | 21,950 | 24,570 |
Republic of Poland | 3.000% | 3/17/23 | 6,805 | 6,762 |
Republic of Poland | 4.000% | 1/22/24 | 10,875 | 11,514 |
Republic of South Africa | 5.500% | 3/9/20 | 13,705 | 14,939 |
Republic of South Africa | 5.875% | 5/30/22 | 3,000 | 3,366 |
Republic of South Africa | 4.665% | 1/17/24 | 5,775 | 5,970 |
Republic of Turkey | 7.000% | 6/5/20 | 5,150 | 5,990 |
Republic of Turkey | 5.625% | 3/30/21 | 17,050 | 18,748 |
Republic of Turkey | 5.125% | 3/25/22 | 8,475 | 9,068 |
Republic of Turkey | 6.250% | 9/26/22 | 19,800 | 22,609 |
Republic of Turkey | 3.250% | 3/23/23 | 3,000 | 2,850 |
Republic of Turkey | 5.750% | 3/22/24 | 16,200 | 18,103 |
State of Israel | 4.000% | 6/30/22 | 9,475 | 10,281 |
State of Israel | 3.150% | 6/30/23 | 3,100 | 3,153 |
Statoil ASA | 2.900% | 11/8/20 | 7,300 | 7,452 |
Statoil ASA | 2.750% | 11/10/21 | 2,000 | 2,003 |
Statoil ASA | 3.150% | 1/23/22 | 975 | 985 |
Statoil ASA | 2.450% | 1/17/23 | 6,742 | 6,408 |
Statoil ASA | 2.650% | 1/15/24 | 4,000 | 3,821 |
Statoil ASA | 3.700% | 3/1/24 | 9,400 | 9,730 |
Statoil ASA | 3.250% | 11/10/24 | 1,100 | 1,096 |
United Mexican States | 5.125% | 1/15/20 | 12,101 | 13,417 |
60
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United Mexican States | 3.500% | 1/21/21 | 9,500 | 9,711 |
United Mexican States | 3.625% | 3/15/22 | 25,899 | 26,349 |
United Mexican States | 4.000% | 10/2/23 | 23,413 | 24,382 |
Total Sovereign Bonds (Cost $1,203,183) | 1,220,984 | |||
Taxable Municipal Bonds (0.2%) | ||||
California GO | 5.700% | 11/1/21 | 1,300 | 1,533 |
California GO | 6.650% | 3/1/22 | 3,500 | 4,317 |
Cornell University New York GO | 5.450% | 2/1/19 | 1,350 | 1,542 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.995% | 7/1/20 | 8,385 | 8,521 |
Illinois GO | 4.950% | 6/1/23 | 1,879 | 1,989 |
Massachusetts GO | 4.200% | 12/1/21 | 6,375 | 7,008 |
10 New Jersey Economic Development Authority Lease | ||||
Revenue | 0.000% | 2/15/22 | 5,000 | 3,774 |
Utah GO | 4.554% | 7/1/24 | 3,825 | 4,300 |
Total Taxable Municipal Bonds (Cost $32,098) | 32,984 | |||
Shares | ||||
Temporary Cash Investment (0.5%) | ||||
Money Market Fund (0.5%) | ||||
11 Vanguard Market Liquidity Fund | ||||
(Cost $89,232) | 0.126% | 89,231,680 | 89,232 | |
Total Investments (99.9%) (Cost $16,827,379) | 17,216,371 | |||
Other Assets and Liabilities—Net (0.1%) | 17,776 | |||
Net Assets (100%) | 17,234,147 |
1 U.S. government guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 Securities with a value of $102,000 have been segregated as initial margin for open futures contracts.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 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 December 31, 2014, the aggregate value of these securities was $78,875,000, representing 0.5% of net assets.
7 Guaranteed by the Government of Japan.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the Republic of Austria.
10 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
61
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (36.7%) | |||||
U.S. Government Securities (34.5%) | |||||
United States Treasury Note/Bond | 2.750% | 11/15/23 | 4,090 | 4,302 | |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 18,635 | 19,599 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 2,563 | 2,581 | |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 13,363 | 19,744 | |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 31,656 | 45,733 | |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 25,905 | 35,502 | |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 10,410 | 15,192 | |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 5,505 | 7,925 | |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 1,500 | 2,189 | |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 11,955 | 17,279 | |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 37,500 | 53,367 | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 21,190 | 28,951 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 29,405 | 39,453 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 25,350 | 34,104 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 32,565 | 47,657 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 54,085 | 80,883 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 50,715 | 70,747 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 34,410 | 45,943 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 13,730 | 18,960 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 5,970 | 8,524 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 51,998 | 68,092 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 33,795 | 45,064 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 30,906 | 35,523 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 35,942 | 46,230 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 47,746 | 63,667 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 43,570 | 57,145 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 45,951 | 62,443 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 67,618 | 88,949 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 52,495 | 64,118 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 78,535 | 101,727 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 59,205 | 82,776 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 49,095 | 65,143 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 36,800 | 44,379 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 34,795 | 37,573 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 55,222 | 59,476 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 26,415 | 27,777 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 141,393 | 141,416 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 142,190 | 142,123 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 143,640 | 154,278 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 203,520 | 208,225 | |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 150,500 | 177,072 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 124,658 | 149,901 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 124,544 | 146,631 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 63,837 | 71,896 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 134,725 | 144,998 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 54,900 | 57,671 | |
2,942,928 | |||||
Agency Bonds and Notes (2.2%) | |||||
1 | Federal Home Loan Banks | 5.625% | 3/14/36 | 1,000 | 1,375 |
1 | Federal Home Loan Banks | 5.500% | 7/15/36 | 6,905 | 9,467 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,890 | 2,779 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 16,260 | 24,385 |
2 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 16,042 | 23,413 |
2 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 13,400 | 18,721 |
2 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 9,175 | 14,016 |
2 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 8,835 | 13,687 |
2 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 9,050 | 13,429 |
2,3 | Federal National Mortgage Assn. | 6.000% | 4/18/36 | 2,000 | 2,121 |
2 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 6,080 | 8,543 |
2 | Federal National Mortgage Assn. | 6.210% | 8/6/38 | 700 | 1,045 |
Resolution Funding Corp. | 8.625% | 1/15/21 | 850 | 1,158 |
62
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | Tennessee Valley Authority | 6.750% | 11/1/25 | 5,330 | 7,267 |
1 | Tennessee Valley Authority | 7.125% | 5/1/30 | 3,970 | 5,889 |
1 | Tennessee Valley Authority | 4.650% | 6/15/35 | 4,510 | 5,365 |
1 | Tennessee Valley Authority | 5.880% | 4/1/36 | 4,535 | 6,192 |
1 | Tennessee Valley Authority | 5.980% | 4/1/36 | 1,000 | 1,388 |
1 | Tennessee Valley Authority | 6.150% | 1/15/38 | 2,450 | 3,490 |
1 | Tennessee Valley Authority | 5.500% | 6/15/38 | 1,175 | 1,555 |
1 | Tennessee Valley Authority | 5.250% | 9/15/39 | 7,260 | 9,348 |
1 | Tennessee Valley Authority | 3.500% | 12/15/42 | 3,150 | 3,127 |
1 | Tennessee Valley Authority | 4.875% | 1/15/48 | 2,650 | 3,166 |
1 | Tennessee Valley Authority | 5.375% | 4/1/56 | 1,950 | 2,547 |
1 | Tennessee Valley Authority | 4.625% | 9/15/60 | 1,400 | 1,589 |
185,062 | |||||
Total U.S. Government and Agency Obligations (Cost $2,782,813) | 3,127,990 | ||||
Corporate Bonds (49.1%) | |||||
Finance (9.4%) | |||||
Banking (4.9%) | |||||
American Express Co. | 4.050% | 12/3/42 | 3,731 | 3,761 | |
Bank of America Corp. | 4.250% | 10/22/26 | 7,375 | 7,368 | |
Bank of America Corp. | 6.110% | 1/29/37 | 6,275 | 7,485 | |
Bank of America Corp. | 7.750% | 5/14/38 | 7,775 | 11,077 | |
Bank of America Corp. | 5.875% | 2/7/42 | 5,370 | 6,749 | |
Bank of America Corp. | 5.000% | 1/21/44 | 6,975 | 7,809 | |
Bank of America Corp. | 4.875% | 4/1/44 | 4,900 | 5,412 | |
Bank of America NA | 6.000% | 10/15/36 | 3,600 | 4,502 | |
Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 1,125 | 1,203 | |
Bank One Capital III | 8.750% | 9/1/30 | 425 | 613 | |
Bank One Corp. | 7.625% | 10/15/26 | 4,975 | 6,550 | |
Bank One Corp. | 8.000% | 4/29/27 | 185 | 250 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 2,400 | 2,436 | |
3,4 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 450 | 550 |
Citigroup Inc. | 5.500% | 9/13/25 | 4,300 | 4,754 | |
Citigroup Inc. | 4.300% | 11/20/26 | 3,200 | 3,188 | |
Citigroup Inc. | 6.625% | 1/15/28 | 125 | 158 | |
Citigroup Inc. | 6.625% | 6/15/32 | 3,350 | 4,136 | |
Citigroup Inc. | 5.875% | 2/22/33 | 3,250 | 3,735 | |
Citigroup Inc. | 6.000% | 10/31/33 | 2,525 | 2,933 | |
Citigroup Inc. | 5.850% | 12/11/34 | 1,636 | 1,986 | |
Citigroup Inc. | 6.125% | 8/25/36 | 6,815 | 8,097 | |
Citigroup Inc. | 6.875% | 3/5/38 | 3,490 | 4,745 | |
Citigroup Inc. | 8.125% | 7/15/39 | 7,695 | 11,709 | |
Citigroup Inc. | 5.875% | 1/30/42 | 3,665 | 4,612 | |
Citigroup Inc. | 6.675% | 9/13/43 | 3,350 | 4,331 | |
Citigroup Inc. | 4.950% | 11/7/43 | 1,825 | 2,053 | |
Citigroup Inc. | 5.300% | 5/6/44 | 4,750 | 5,140 | |
Comerica Inc. | 3.800% | 7/22/26 | 750 | 756 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 4,825 | 5,784 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 4,875 | 5,836 | |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 2,200 | 3,082 | |
Discover Bank | 4.250% | 3/13/26 | 1,175 | 1,210 | |
Fifth Third Bancorp | 8.250% | 3/1/38 | 3,320 | 5,024 | |
FirstMerit Bank NA | 4.270% | 11/25/26 | 1,225 | 1,240 | |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 5,575 | 6,605 | |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 4,583 | 5,204 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 8,950 | 10,968 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 4,200 | 5,025 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 18,840 | 23,594 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 7,300 | 9,226 | |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 7,375 | 7,826 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 4,090 | 5,167 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 3,425 | 4,186 | |
HSBC Bank USA NA | 7.000% | 1/15/39 | 2,825 | 4,038 |
63
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
HSBC Holdings plc | 7.625% | 5/17/32 | 1,050 | 1,442 |
HSBC Holdings plc | 7.350% | 11/27/32 | 200 | 271 |
HSBC Holdings plc | 6.500% | 5/2/36 | 6,925 | 8,821 |
HSBC Holdings plc | 6.500% | 9/15/37 | 7,050 | 9,028 |
HSBC Holdings plc | 6.800% | 6/1/38 | 5,240 | 6,899 |
HSBC Holdings plc | 6.100% | 1/14/42 | 2,450 | 3,270 |
HSBC Holdings plc | 5.250% | 3/14/44 | 7,125 | 7,974 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 7,000 | 6,983 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 6,800 | 8,883 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 4,275 | 5,139 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 6,175 | 7,474 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 4,630 | 5,450 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 4,550 | 5,298 |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 4,825 | 5,351 |
KeyBank NA | 6.950% | 2/1/28 | 868 | 1,131 |
Morgan Stanley | 5.000% | 11/24/25 | 6,100 | 6,511 |
Morgan Stanley | 6.250% | 8/9/26 | 2,325 | 2,794 |
Morgan Stanley | 4.350% | 9/8/26 | 10,175 | 10,220 |
Morgan Stanley | 7.250% | 4/1/32 | 2,875 | 3,935 |
Morgan Stanley | 6.375% | 7/24/42 | 7,350 | 9,701 |
Northern Trust Corp. | 3.950% | 10/30/25 | 2,600 | 2,697 |
PNC Bank NA | 4.200% | 11/1/25 | 1,225 | 1,295 |
Regions Bank | 6.450% | 6/26/37 | 1,750 | 2,187 |
Regions Financial Corp. | 7.375% | 12/10/37 | 1,000 | 1,299 |
UBS AG | 7.750% | 9/1/26 | 1,500 | 1,987 |
Wachovia Bank NA | 5.850% | 2/1/37 | 3,875 | 4,855 |
Wachovia Bank NA | 6.600% | 1/15/38 | 5,875 | 8,163 |
Wachovia Corp. | 6.605% | 10/1/25 | 1,725 | 2,128 |
Wachovia Corp. | 7.574% | 8/1/26 | 125 | 164 |
Wachovia Corp. | 7.500% | 4/15/35 | 1,350 | 1,874 |
Wachovia Corp. | 5.500% | 8/1/35 | 1,510 | 1,768 |
Wachovia Corp. | 6.550% | 10/15/35 | 125 | 158 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 7,000 | 7,134 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 2,450 | 2,936 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 7,610 | 8,656 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 7,110 | 8,368 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 7,125 | 7,350 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 3,155 | 3,962 |
3 Wells Fargo Capital X | 5.950% | 12/1/86 | 3,025 | 3,086 |
Brokerage (0.2%) | ||||
CME Group Inc. | 5.300% | 9/15/43 | 1,850 | 2,252 |
Invesco Finance plc | 5.375% | 11/30/43 | 1,600 | 1,920 |
Jefferies Group LLC | 6.450% | 6/8/27 | 900 | 929 |
Jefferies Group LLC | 6.250% | 1/15/36 | 1,150 | 1,121 |
Jefferies Group LLC | 6.500% | 1/20/43 | 2,325 | 2,350 |
Legg Mason Inc. | 5.625% | 1/15/44 | 1,600 | 1,823 |
Leucadia National Corp. | 6.625% | 10/23/43 | 825 | 838 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 2,575 | 2,609 |
Finance Companies (1.0%) | ||||
GATX Corp. | 5.200% | 3/15/44 | 900 | 984 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 18,180 | 24,761 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 8,230 | 10,698 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 21,775 | 27,494 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 14,175 | 20,008 |
Insurance (3.0%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 1,100 | 1,642 |
ACE INA Holdings Inc. | 6.700% | 5/15/36 | 1,000 | 1,407 |
ACE INA Holdings Inc. | 4.150% | 3/13/43 | 1,350 | 1,412 |
Aetna Inc. | 6.625% | 6/15/36 | 2,700 | 3,600 |
Aetna Inc. | 6.750% | 12/15/37 | 1,725 | 2,285 |
Aetna Inc. | 4.500% | 5/15/42 | 1,550 | 1,638 |
Aetna Inc. | 4.125% | 11/15/42 | 1,375 | 1,376 |
Aetna Inc. | 4.750% | 3/15/44 | 1,950 | 2,136 |
64
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Aflac Inc. | 6.900% | 12/17/39 | 2,525 | 3,427 |
Aflac Inc. | 6.450% | 8/15/40 | 1,585 | 2,066 |
AIG Life Holdings Inc. | 8.500% | 7/1/30 | 250 | 337 |
Alleghany Corp. | 4.900% | 9/15/44 | 1,150 | 1,196 |
Allstate Corp. | 5.350% | 6/1/33 | 1,950 | 2,362 |
Allstate Corp. | 5.550% | 5/9/35 | 1,300 | 1,609 |
Allstate Corp. | 5.950% | 4/1/36 | 950 | 1,237 |
Allstate Corp. | 4.500% | 6/15/43 | 2,125 | 2,346 |
3 Allstate Corp. | 6.500% | 5/15/67 | 1,000 | 1,100 |
American International Group Inc. | 6.250% | 5/1/36 | 2,350 | 3,031 |
American International Group Inc. | 6.820% | 11/15/37 | 1,326 | 1,821 |
American International Group Inc. | 4.500% | 7/16/44 | 8,625 | 9,059 |
3 American International Group Inc. | 8.175% | 5/15/68 | 4,075 | 5,517 |
3 American International Group Inc. | 6.250% | 3/15/87 | 2,475 | 2,762 |
Anthem Inc. | 5.950% | 12/15/34 | 441 | 546 |
Anthem Inc. | 5.850% | 1/15/36 | 2,575 | 3,164 |
Anthem Inc. | 6.375% | 6/15/37 | 2,420 | 3,138 |
Anthem Inc. | 4.625% | 5/15/42 | 3,300 | 3,465 |
Anthem Inc. | 4.650% | 1/15/43 | 3,325 | 3,458 |
Anthem Inc. | 5.100% | 1/15/44 | 3,225 | 3,621 |
Anthem Inc. | 4.650% | 8/15/44 | 3,500 | 3,703 |
Aon Corp. | 8.205% | 1/1/27 | 250 | 324 |
Aon Corp. | 6.250% | 9/30/40 | 1,600 | 2,038 |
Aon plc | 4.250% | 12/12/42 | 575 | 558 |
Aon plc | 4.450% | 5/24/43 | 1,325 | 1,318 |
Aon plc | 4.600% | 6/14/44 | 1,925 | 1,995 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 625 | 867 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 2,025 | 2,262 |
Assurant Inc. | 6.750% | 2/15/34 | 1,419 | 1,754 |
AXA SA | 8.600% | 12/15/30 | 4,405 | 5,974 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 875 | 953 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 3,375 | 4,322 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 1,775 | 1,898 |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 1,650 | 1,748 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 3,425 | 3,730 |
Chubb Corp. | 6.000% | 5/11/37 | 2,650 | 3,451 |
Chubb Corp. | 6.500% | 5/15/38 | 1,375 | 1,896 |
Cigna Corp. | 7.875% | 5/15/27 | 500 | 679 |
Cigna Corp. | 6.150% | 11/15/36 | 525 | 657 |
Cigna Corp. | 5.875% | 3/15/41 | 1,785 | 2,224 |
Cigna Corp. | 5.375% | 2/15/42 | 2,445 | 2,885 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 1,200 | 1,524 |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 1,350 | 1,621 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 1,425 | 1,774 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 1,500 | 1,577 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 2,325 | 2,863 |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 486 | 654 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 2,800 | 3,502 |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 400 | 411 |
Humana Inc. | 8.150% | 6/15/38 | 725 | 1,051 |
Humana Inc. | 4.625% | 12/1/42 | 1,300 | 1,315 |
Humana Inc. | 4.950% | 10/1/44 | 2,675 | 2,848 |
Lincoln National Corp. | 6.150% | 4/7/36 | 2,750 | 3,409 |
Lincoln National Corp. | 7.000% | 6/15/40 | 1,350 | 1,863 |
Loews Corp. | 6.000% | 2/1/35 | 800 | 984 |
Loews Corp. | 4.125% | 5/15/43 | 2,350 | 2,231 |
Markel Corp. | 5.000% | 3/30/43 | 1,300 | 1,381 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 1,375 | 1,384 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 875 | 1,081 |
MetLife Inc. | 6.500% | 12/15/32 | 1,050 | 1,400 |
MetLife Inc. | 6.375% | 6/15/34 | 2,150 | 2,870 |
MetLife Inc. | 5.700% | 6/15/35 | 2,775 | 3,474 |
MetLife Inc. | 5.875% | 2/6/41 | 5,400 | 6,764 |
MetLife Inc. | 4.125% | 8/13/42 | 2,075 | 2,083 |
65
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
MetLife Inc. | 4.875% | 11/13/43 | 2,000 | 2,249 |
MetLife Inc. | 4.721% | 12/15/44 | 1,675 | 1,857 |
3 MetLife Inc. | 6.400% | 12/15/66 | 3,595 | 4,008 |
3 MetLife Inc. | 10.750% | 8/1/69 | 1,340 | 2,177 |
Munich Re America Corp. | 7.450% | 12/15/26 | 1,000 | 1,313 |
3 Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 1,000 | 1,045 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 2,225 | 2,771 |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 375 | 394 |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 800 | 812 |
Progressive Corp. | 6.625% | 3/1/29 | 2,650 | 3,526 |
Progressive Corp. | 4.350% | 4/25/44 | 1,750 | 1,886 |
Protective Life Corp. | 8.450% | 10/15/39 | 1,000 | 1,506 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 150 | 183 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 1,820 | 2,112 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 2,250 | 2,729 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 4,100 | 4,877 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 1,450 | 1,905 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 2,500 | 3,277 |
Prudential Financial Inc. | 6.200% | 11/15/40 | 1,350 | 1,710 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 625 | 738 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 1,650 | 1,866 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 2,400 | 2,527 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 1,115 | 1,416 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 1,300 | 1,876 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 1,000 | 1,397 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 2,175 | 2,895 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 2,125 | 2,592 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 2,975 | 3,331 |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 1,750 | 2,351 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 900 | 1,030 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,635 | 2,026 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 890 | 1,189 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 2,575 | 3,495 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 5,135 | 7,249 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 1,500 | 1,942 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 3,700 | 3,988 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,500 | 1,598 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 1,500 | 1,495 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 2,800 | 2,927 |
Unum Group | 5.750% | 8/15/42 | 650 | 755 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 940 | 1,295 |
Voya Financial Inc. | 5.700% | 7/15/43 | 1,750 | 2,088 |
WR Berkley Corp. | 4.750% | 8/1/44 | 1,350 | 1,384 |
XLIT Ltd. | 6.250% | 5/15/27 | 825 | 995 |
XLIT Ltd. | 5.250% | 12/15/43 | 1,450 | 1,636 |
Real Estate Investment Trusts (0.3%) | ||||
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 1,050 | 1,071 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 775 | 782 |
ERP Operating LP | 4.500% | 7/1/44 | 1,700 | 1,778 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,000 | 1,041 |
HCP Inc. | 6.750% | 2/1/41 | 1,600 | 2,169 |
Health Care REIT Inc. | 6.500% | 3/15/41 | 1,300 | 1,713 |
Health Care REIT Inc. | 5.125% | 3/15/43 | 1,900 | 2,093 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 675 | 677 |
Kilroy Realty LP | 4.250% | 8/15/29 | 1,500 | 1,498 |
4 Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 775 | 771 |
Realty Income Corp. | 5.875% | 3/15/35 | 920 | 1,108 |
Simon Property Group LP | 6.750% | 2/1/40 | 2,550 | 3,549 |
Simon Property Group LP | 4.750% | 3/15/42 | 2,100 | 2,339 |
Simon Property Group LP | 4.250% | 10/1/44 | 1,000 | 1,037 |
Ventas Realty LP | 5.700% | 9/30/43 | 750 | 899 |
799,543 |
66
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Industrial (33.2%) | ||||
Basic Industry (2.9%) | ||||
Agrium Inc. | 6.125% | 1/15/41 | 1,850 | 2,160 |
Agrium Inc. | 4.900% | 6/1/43 | 3,075 | 3,185 |
Agrium Inc. | 5.250% | 1/15/45 | 2,000 | 2,186 |
Albemarle Corp. | 5.450% | 12/1/44 | 1,500 | 1,605 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 3,075 | 2,908 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 850 | 994 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 3,200 | 3,131 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 3,775 | 3,779 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,720 | 1,697 |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 500 | 624 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 3,860 | 3,766 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 9,900 | 11,043 |
CF Industries Inc. | 5.150% | 3/15/34 | 3,125 | 3,275 |
CF Industries Inc. | 4.950% | 6/1/43 | 2,475 | 2,495 |
CF Industries Inc. | 5.375% | 3/15/44 | 2,750 | 2,989 |
Domtar Corp. | 6.250% | 9/1/42 | 1,475 | 1,583 |
Dow Chemical Co. | 7.375% | 11/1/29 | 2,300 | 3,084 |
Dow Chemical Co. | 4.250% | 10/1/34 | 2,200 | 2,192 |
Dow Chemical Co. | 9.400% | 5/15/39 | 3,050 | 4,949 |
Dow Chemical Co. | 5.250% | 11/15/41 | 2,675 | 2,883 |
Dow Chemical Co. | 4.375% | 11/15/42 | 3,350 | 3,255 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 2,800 | 2,831 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 2,225 | 2,243 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 3,100 | 3,178 |
Ecolab Inc. | 5.500% | 12/8/41 | 2,690 | 3,238 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 775 | 1,006 |
EI du Pont de Nemours & Co. | 5.600% | 12/15/36 | 625 | 760 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 2,575 | 2,826 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 2,075 | 2,097 |
Freeport-McMoRan Inc. | 5.400% | 11/14/34 | 3,250 | 3,166 |
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 7,405 | 7,002 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,775 | 3,604 |
Georgia-Pacific LLC | 7.250% | 6/1/28 | 1,200 | 1,584 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 1,215 | 1,685 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 1,500 | 2,299 |
Glencore Canada Corp. | 6.200% | 6/15/35 | 1,000 | 1,072 |
Goldcorp Inc. | 5.450% | 6/9/44 | 1,500 | 1,500 |
International Paper Co. | 8.700% | 6/15/38 | 795 | 1,195 |
International Paper Co. | 7.300% | 11/15/39 | 1,890 | 2,506 |
International Paper Co. | 6.000% | 11/15/41 | 2,250 | 2,664 |
International Paper Co. | 4.800% | 6/15/44 | 3,550 | 3,631 |
Kinross Gold Corp. | 6.875% | 9/1/41 | 895 | 846 |
Lubrizol Corp. | 6.500% | 10/1/34 | 925 | 1,248 |
LYB International Finance BV | 5.250% | 7/15/43 | 1,600 | 1,736 |
LYB International Finance BV | 4.875% | 3/15/44 | 4,550 | 4,673 |
Methanex Corp. | 5.650% | 12/1/44 | 500 | 521 |
Monsanto Co. | 5.500% | 8/15/25 | 1,350 | 1,559 |
Monsanto Co. | 4.200% | 7/15/34 | 3,800 | 3,952 |
Monsanto Co. | 5.875% | 4/15/38 | 1,950 | 2,430 |
Monsanto Co. | 3.600% | 7/15/42 | 425 | 388 |
Monsanto Co. | 4.400% | 7/15/44 | 3,850 | 3,989 |
Monsanto Co. | 4.700% | 7/15/64 | 1,920 | 2,009 |
Mosaic Co. | 5.450% | 11/15/33 | 1,600 | 1,812 |
Mosaic Co. | 4.875% | 11/15/41 | 1,030 | 1,058 |
Mosaic Co. | 5.625% | 11/15/43 | 2,000 | 2,295 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 1,210 | 1,186 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 2,785 | 2,839 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 4,625 | 4,028 |
Nucor Corp. | 6.400% | 12/1/37 | 1,650 | 2,045 |
Nucor Corp. | 5.200% | 8/1/43 | 2,350 | 2,590 |
Placer Dome Inc. | 6.450% | 10/15/35 | 700 | 768 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 1,465 | 1,816 |
67
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 1,850 | 2,263 |
PPG Industries Inc. | 5.500% | 11/15/40 | 1,405 | 1,700 |
Praxair Inc. | 3.550% | 11/7/42 | 1,250 | 1,218 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 350 | 410 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 4,650 | 5,325 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 3,425 | 4,509 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 3,175 | 3,383 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,250 | 1,277 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 4,300 | 4,134 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 3,050 | 4,227 |
Southern Copper Corp. | 7.500% | 7/27/35 | 3,850 | 4,269 |
Southern Copper Corp. | 6.750% | 4/16/40 | 3,045 | 3,147 |
Southern Copper Corp. | 5.250% | 11/8/42 | 3,845 | 3,433 |
Syngenta Finance NV | 4.375% | 3/28/42 | 650 | 672 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 2,025 | 1,826 |
Teck Resources Ltd. | 6.000% | 8/15/40 | 2,775 | 2,485 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 3,150 | 2,899 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 2,095 | 1,715 |
Teck Resources Ltd. | 5.400% | 2/1/43 | 525 | 439 |
The Dow Chemical Company | 4.625% | 10/1/44 | 1,600 | 1,610 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 1,050 | 1,132 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 1,725 | 2,052 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 9,630 | 10,152 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 6,495 | 6,951 |
Vale SA | 5.625% | 9/11/42 | 3,925 | 3,637 |
Westvaco Corp. | 8.200% | 1/15/30 | 250 | 331 |
Westvaco Corp. | 7.950% | 2/15/31 | 2,125 | 2,772 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 875 | 1,157 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 4,175 | 5,543 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 1,100 | 1,412 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 700 | 740 |
Capital Goods (2.2%) | ||||
3M Co. | 3.875% | 6/15/44 | 500 | 514 |
3M Co. | 6.375% | 2/15/28 | 500 | 660 |
3M Co. | 5.700% | 3/15/37 | 1,510 | 1,963 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,525 | 1,654 |
Boeing Co. | 6.125% | 2/15/33 | 1,325 | 1,760 |
Boeing Co. | 6.625% | 2/15/38 | 1,600 | 2,277 |
Boeing Co. | 6.875% | 3/15/39 | 2,525 | 3,681 |
Boeing Co. | 5.875% | 2/15/40 | 1,175 | 1,548 |
Caterpillar Inc. | 5.300% | 9/15/35 | 600 | 734 |
Caterpillar Inc. | 6.050% | 8/15/36 | 1,975 | 2,569 |
Caterpillar Inc. | 5.200% | 5/27/41 | 1,100 | 1,305 |
Caterpillar Inc. | 3.803% | 8/15/42 | 7,341 | 7,214 |
Caterpillar Inc. | 4.300% | 5/15/44 | 2,750 | 2,931 |
Caterpillar Inc. | 4.750% | 5/15/64 | 1,200 | 1,302 |
Deere & Co. | 5.375% | 10/16/29 | 2,825 | 3,428 |
Deere & Co. | 8.100% | 5/15/30 | 1,200 | 1,833 |
Deere & Co. | 7.125% | 3/3/31 | 200 | 287 |
Deere & Co. | 3.900% | 6/9/42 | 4,110 | 4,161 |
Dover Corp. | 5.375% | 10/15/35 | 825 | 1,006 |
Dover Corp. | 6.600% | 3/15/38 | 725 | 1,025 |
Dover Corp. | 5.375% | 3/1/41 | 1,350 | 1,678 |
Eaton Corp. | 4.000% | 11/2/32 | 3,020 | 3,083 |
Eaton Corp. | 4.150% | 11/2/42 | 3,250 | 3,210 |
Emerson Electric Co. | 6.000% | 8/15/32 | 1,650 | 2,177 |
Emerson Electric Co. | 6.125% | 4/15/39 | 825 | 1,125 |
Emerson Electric Co. | 5.250% | 11/15/39 | 175 | 215 |
General Dynamics Corp. | 3.600% | 11/15/42 | 1,900 | 1,827 |
General Electric Co. | 4.125% | 10/9/42 | 8,450 | 8,762 |
General Electric Co. | 4.500% | 3/11/44 | 7,830 | 8,606 |
Honeywell International Inc. | 5.700% | 3/15/36 | 2,400 | 3,061 |
Honeywell International Inc. | 5.700% | 3/15/37 | 1,525 | 1,963 |
68
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Honeywell International Inc. | 5.375% | 3/1/41 | 2,670 | 3,345 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 2,100 | 2,409 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 2,750 | 2,766 |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 1,500 | 1,768 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 2,200 | 2,290 |
Legrand France SA | 8.500% | 2/15/25 | 1,050 | 1,474 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 5,035 | 6,579 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 1,350 | 1,656 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 2,689 | 3,429 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 325 | 366 |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 1,925 | 1,942 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 1,900 | 2,142 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 3,450 | 3,852 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 1,315 | 1,849 |
Owens Corning | 7.000% | 12/1/36 | 2,225 | 2,706 |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 995 | 1,339 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 2,000 | 2,109 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 1,800 | 1,942 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 2,875 | 2,921 |
Raytheon Co. | 7.200% | 8/15/27 | 400 | 540 |
Raytheon Co. | 4.875% | 10/15/40 | 2,300 | 2,623 |
Raytheon Co. | 4.700% | 12/15/41 | 1,950 | 2,172 |
Republic Services Inc. | 6.200% | 3/1/40 | 2,660 | 3,444 |
Republic Services Inc. | 5.700% | 5/15/41 | 2,500 | 3,087 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 300 | 390 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 800 | 1,040 |
Sonoco Products Co. | 5.750% | 11/1/40 | 1,950 | 2,318 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 1,200 | 1,399 |
Textron Inc. | 3.875% | 3/1/25 | 1,000 | 1,004 |
United Technologies Corp. | 6.700% | 8/1/28 | 1,175 | 1,590 |
United Technologies Corp. | 7.500% | 9/15/29 | 1,775 | 2,541 |
United Technologies Corp. | 5.400% | 5/1/35 | 2,275 | 2,756 |
United Technologies Corp. | 6.050% | 6/1/36 | 2,725 | 3,600 |
United Technologies Corp. | 6.125% | 7/15/38 | 2,275 | 2,997 |
United Technologies Corp. | 5.700% | 4/15/40 | 4,635 | 5,815 |
United Technologies Corp. | 4.500% | 6/1/42 | 11,750 | 12,751 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 825 | 834 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 750 | 757 |
Waste Management Inc. | 7.100% | 8/1/26 | 1,745 | 2,288 |
Waste Management Inc. | 7.000% | 7/15/28 | 1,495 | 1,967 |
Waste Management Inc. | 7.750% | 5/15/32 | 1,375 | 2,008 |
Waste Management Inc. | 6.125% | 11/30/39 | 2,620 | 3,396 |
Communication (8.1%) | ||||
21st Century Fox America Inc. | 6.550% | 3/15/33 | 225 | 292 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 5,990 | 7,648 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 3,830 | 4,999 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 1,225 | 1,820 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 2,580 | 3,259 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 1,750 | 2,330 |
21st Century Fox America Inc. | 7.850% | 3/1/39 | 825 | 1,230 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 2,550 | 3,480 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 4,875 | 6,195 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 2,500 | 2,972 |
4 21st Century Fox America Inc. | 4.750% | 9/15/44 | 2,500 | 2,729 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 1,845 | 2,767 |
Alltel Corp. | 7.875% | 7/1/32 | 500 | 734 |
America Movil SAB de CV | 6.375% | 3/1/35 | 3,810 | 4,686 |
America Movil SAB de CV | 6.125% | 11/15/37 | 1,725 | 2,067 |
America Movil SAB de CV | 6.125% | 3/30/40 | 6,300 | 7,502 |
America Movil SAB de CV | 4.375% | 7/16/42 | 4,200 | 3,984 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 1,300 | 1,575 |
AT&T Corp. | 8.000% | 11/15/31 | 1,846 | 2,723 |
AT&T Inc. | 6.150% | 9/15/34 | 2,400 | 2,862 |
69
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AT&T Inc. | 6.500% | 9/1/37 | 3,360 | 4,162 |
AT&T Inc. | 6.300% | 1/15/38 | 5,260 | 6,372 |
AT&T Inc. | 6.400% | 5/15/38 | 2,675 | 3,309 |
AT&T Inc. | 6.550% | 2/15/39 | 6,560 | 8,075 |
AT&T Inc. | 5.350% | 9/1/40 | 10,081 | 10,931 |
AT&T Inc. | 5.550% | 8/15/41 | 6,555 | 7,293 |
AT&T Inc. | 4.300% | 12/15/42 | 8,725 | 8,165 |
AT&T Inc. | 4.800% | 6/15/44 | 6,550 | 6,711 |
AT&T Inc. | 4.350% | 6/15/45 | 10,560 | 9,971 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 1,950 | 2,612 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 2,118 | 2,866 |
BellSouth Corp. | 6.875% | 10/15/31 | 1,202 | 1,513 |
BellSouth Corp. | 6.550% | 6/15/34 | 915 | 1,142 |
BellSouth Corp. | 6.000% | 11/15/34 | 529 | 617 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 2,065 | 2,481 |
BellSouth Telecommunications LLC | 0.000% | 12/15/95 | 555 | 623 |
British Telecommunications plc | 9.625% | 12/15/30 | 8,225 | 12,900 |
CBS Corp. | 7.875% | 7/30/30 | 3,615 | 5,057 |
CBS Corp. | 5.500% | 5/15/33 | 325 | 370 |
CBS Corp. | 5.900% | 10/15/40 | 900 | 1,051 |
CBS Corp. | 4.850% | 7/1/42 | 1,800 | 1,829 |
CBS Corp. | 4.900% | 8/15/44 | 1,750 | 1,768 |
Comcast Corp. | 3.375% | 2/15/25 | 3,250 | 3,318 |
Comcast Corp. | 4.250% | 1/15/33 | 4,875 | 5,169 |
Comcast Corp. | 7.050% | 3/15/33 | 950 | 1,320 |
Comcast Corp. | 4.200% | 8/15/34 | 3,000 | 3,141 |
Comcast Corp. | 5.650% | 6/15/35 | 4,650 | 5,717 |
Comcast Corp. | 6.500% | 11/15/35 | 5,715 | 7,639 |
Comcast Corp. | 6.450% | 3/15/37 | 6,185 | 8,207 |
Comcast Corp. | 6.950% | 8/15/37 | 5,335 | 7,487 |
Comcast Corp. | 6.400% | 5/15/38 | 2,275 | 3,021 |
Comcast Corp. | 6.550% | 7/1/39 | 2,825 | 3,858 |
Comcast Corp. | 6.400% | 3/1/40 | 2,800 | 3,785 |
Comcast Corp. | 4.650% | 7/15/42 | 8,480 | 9,281 |
Comcast Corp. | 4.500% | 1/15/43 | 2,325 | 2,497 |
Comcast Corp. | 4.750% | 3/1/44 | 1,025 | 1,148 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 12,750 | 18,787 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 1,405 | 2,251 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.950% | 1/15/25 | 4,825 | 4,888 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 2,510 | 2,918 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 3,800 | 4,241 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.375% | 3/1/41 | 3,900 | 4,591 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 3,400 | 3,508 |
Discovery Communications LLC | 6.350% | 6/1/40 | 2,400 | 2,876 |
Discovery Communications LLC | 4.950% | 5/15/42 | 1,550 | 1,608 |
Discovery Communications LLC | 4.875% | 4/1/43 | 2,675 | 2,745 |
Embarq Corp. | 7.995% | 6/1/36 | 5,320 | 5,982 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 1,700 | 2,100 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 250 | 348 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 2,035 | 2,500 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 4,000 | 4,094 |
GTE Corp. | 6.940% | 4/15/28 | 2,675 | 3,362 |
Historic TW Inc. | 6.625% | 5/15/29 | 5,575 | 7,007 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 3,575 | 5,021 |
McGraw Hill Financial Inc. | 6.550% | 11/15/37 | 1,150 | 1,253 |
Moody's Corp. | 5.250% | 7/15/44 | 2,700 | 3,026 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 3,695 | 4,950 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 3,100 | 3,977 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 3,775 | 4,010 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 2,235 | 3,469 |
Orange SA | 9.000% | 3/1/31 | 8,690 | 13,143 |
Orange SA | 5.375% | 1/13/42 | 3,575 | 4,118 |
Orange SA | 5.500% | 2/6/44 | 3,000 | 3,501 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,847 | 2,362 |
70
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Qwest Corp. | 7.200% | 11/10/26 | 200 | 201 |
Qwest Corp. | 6.875% | 9/15/33 | 4,450 | 4,450 |
Qwest Corp. | 7.125% | 11/15/43 | 1,500 | 1,539 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 1,955 | 2,709 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 1,325 | 1,342 |
Rogers Communications Inc. | 5.450% | 10/1/43 | 650 | 749 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 4,475 | 4,890 |
TCI Communications Inc. | 7.875% | 2/15/26 | 1,730 | 2,408 |
TCI Communications Inc. | 7.125% | 2/15/28 | 1,095 | 1,472 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 7,825 | 10,428 |
Telefonica Europe BV | 8.250% | 9/15/30 | 4,150 | 5,763 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 2,540 | 2,880 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 2,025 | 2,385 |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 200 | 200 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 1,525 | 1,767 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 5,785 | 7,448 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 4,905 | 6,754 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 5,075 | 6,634 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 4,850 | 5,766 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 4,825 | 5,556 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 4,075 | 4,195 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 2,250 | 2,889 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 3,325 | 5,006 |
Time Warner Inc. | 7.625% | 4/15/31 | 5,525 | 7,670 |
Time Warner Inc. | 7.700% | 5/1/32 | 5,715 | 8,074 |
Time Warner Inc. | 6.500% | 11/15/36 | 2,850 | 3,589 |
Time Warner Inc. | 6.200% | 3/15/40 | 2,350 | 2,873 |
Time Warner Inc. | 6.100% | 7/15/40 | 4,210 | 5,091 |
Time Warner Inc. | 6.250% | 3/29/41 | 2,925 | 3,617 |
Time Warner Inc. | 5.375% | 10/15/41 | 2,350 | 2,658 |
Time Warner Inc. | 4.900% | 6/15/42 | 1,725 | 1,831 |
Time Warner Inc. | 5.350% | 12/15/43 | 1,325 | 1,505 |
Time Warner Inc. | 4.650% | 6/1/44 | 1,500 | 1,568 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 4,700 | 6,516 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 14,798 | 18,356 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 6,400 | 6,878 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 5,625 | 5,643 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 5,425 | 6,375 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 4,625 | 5,713 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 8,215 | 10,162 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 3,500 | 4,597 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 60 | 82 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 4,300 | 5,104 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 2,950 | 3,029 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 3,165 | 2,833 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 36,499 | 46,622 |
4 Verizon Communications Inc. | 4.862% | 8/21/46 | 15,088 | 15,498 |
4 Verizon Communications Inc. | 5.012% | 8/21/54 | 19,500 | 20,173 |
Verizon Maryland LLC | 5.125% | 6/15/33 | 3,100 | 3,255 |
Verizon New England Inc. | 7.875% | 11/15/29 | 490 | 642 |
Verizon New York Inc. | 7.375% | 4/1/32 | 1,175 | 1,475 |
Viacom Inc. | 4.850% | 12/15/34 | 1,750 | 1,792 |
Viacom Inc. | 6.875% | 4/30/36 | 4,310 | 5,471 |
Viacom Inc. | 4.375% | 3/15/43 | 5,437 | 5,014 |
Viacom Inc. | 4.875% | 6/15/43 | 550 | 542 |
Viacom Inc. | 5.850% | 9/1/43 | 4,325 | 4,813 |
Viacom Inc. | 5.250% | 4/1/44 | 1,400 | 1,474 |
Vodafone Group plc | 7.875% | 2/15/30 | 2,700 | 3,747 |
Vodafone Group plc | 6.250% | 11/30/32 | 1,150 | 1,411 |
Vodafone Group plc | 6.150% | 2/27/37 | 5,775 | 6,977 |
Vodafone Group plc | 4.375% | 2/19/43 | 4,375 | 4,270 |
Walt Disney Co. | 7.000% | 3/1/32 | 1,650 | 2,391 |
Walt Disney Co. | 4.375% | 8/16/41 | 1,025 | 1,117 |
Walt Disney Co. | 4.125% | 12/1/41 | 3,305 | 3,487 |
71
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Walt Disney Co. | 3.700% | 12/1/42 | 1,350 | 1,339 |
Walt Disney Co. | 4.125% | 6/1/44 | 850 | 892 |
WPP Finance 2010 | 5.125% | 9/7/42 | 875 | 934 |
WPP Finance 2010 | 5.625% | 11/15/43 | 1,500 | 1,711 |
Consumer Cyclical (3.2%) | ||||
4 Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 3,350 | 3,423 |
Amazon.com Inc. | 4.800% | 12/5/34 | 3,500 | 3,662 |
Amazon.com Inc. | 4.950% | 12/5/44 | 5,100 | 5,273 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 900 | 922 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 3,175 | 3,308 |
Cummins Inc. | 4.875% | 10/1/43 | 2,650 | 3,081 |
CVS Health Corp. | 6.125% | 9/15/39 | 1,500 | 1,939 |
CVS Health Corp. | 5.750% | 5/15/41 | 2,375 | 2,951 |
CVS Health Corp. | 5.300% | 12/5/43 | 3,650 | 4,363 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 4,540 | 6,943 |
Darden Restaurants Inc. | 7.050% | 10/15/37 | 875 | 1,039 |
eBay Inc. | 4.000% | 7/15/42 | 2,150 | 1,914 |
Ford Holdings LLC | 9.300% | 3/1/30 | 1,925 | 2,864 |
Ford Motor Co. | 6.625% | 10/1/28 | 2,125 | 2,574 |
Ford Motor Co. | 6.375% | 2/1/29 | 1,275 | 1,519 |
Ford Motor Co. | 7.450% | 7/16/31 | 5,650 | 7,669 |
Ford Motor Co. | 4.750% | 1/15/43 | 6,625 | 6,956 |
Ford Motor Co. | 7.400% | 11/1/46 | 1,125 | 1,603 |
Home Depot Inc. | 5.875% | 12/16/36 | 9,550 | 12,438 |
Home Depot Inc. | 5.400% | 9/15/40 | 1,625 | 2,004 |
Home Depot Inc. | 5.950% | 4/1/41 | 4,125 | 5,419 |
Home Depot Inc. | 4.200% | 4/1/43 | 2,875 | 3,024 |
Home Depot Inc. | 4.875% | 2/15/44 | 3,500 | 4,060 |
Home Depot Inc. | 4.400% | 3/15/45 | 3,075 | 3,366 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 675 | 807 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 1,100 | 1,302 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 1,135 | 1,268 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 2,100 | 2,158 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 900 | 930 |
Kohl's Corp. | 6.000% | 1/15/33 | 2,043 | 2,272 |
Kohl's Corp. | 6.875% | 12/15/37 | 835 | 1,054 |
Lowe's Cos. Inc. | 6.875% | 2/15/28 | 550 | 712 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 1,300 | 1,643 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 2,250 | 2,818 |
Lowe's Cos. Inc. | 6.650% | 9/15/37 | 625 | 862 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 4,675 | 5,913 |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 1,525 | 1,782 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 2,560 | 2,846 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 3,125 | 3,658 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 500 | 529 |
Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 3,050 | 3,884 |
Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 2,200 | 2,215 |
Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 3,025 | 3,853 |
Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 1,300 | 1,416 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 2,150 | 2,083 |
McDonald's Corp. | 6.300% | 10/15/37 | 1,975 | 2,584 |
McDonald's Corp. | 6.300% | 3/1/38 | 2,700 | 3,551 |
McDonald's Corp. | 5.700% | 2/1/39 | 1,450 | 1,789 |
McDonald's Corp. | 3.700% | 2/15/42 | 3,425 | 3,285 |
McDonald's Corp. | 3.625% | 5/1/43 | 2,375 | 2,200 |
NIKE Inc. | 3.625% | 5/1/43 | 1,475 | 1,459 |
Nordstrom Inc. | 6.950% | 3/15/28 | 1,125 | 1,480 |
Nordstrom Inc. | 5.000% | 1/15/44 | 2,574 | 2,929 |
QVC Inc. | 4.450% | 2/15/25 | 2,000 | 1,955 |
QVC Inc. | 5.450% | 8/15/34 | 1,750 | 1,706 |
QVC Inc. | 5.950% | 3/15/43 | 575 | 605 |
Starwood Hotels & Resorts Worldwide Inc. | 3.750% | 3/15/25 | 1,000 | 1,007 |
Starwood Hotels & Resorts Worldwide Inc. | 4.500% | 10/1/34 | 600 | 611 |
72
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Target Corp. | 6.350% | 11/1/32 | 1,900 | 2,480 |
Target Corp. | 6.500% | 10/15/37 | 4,492 | 6,147 |
Target Corp. | 7.000% | 1/15/38 | 2,994 | 4,317 |
Target Corp. | 4.000% | 7/1/42 | 3,500 | 3,561 |
4 Tiffany & Co. | 4.900% | 10/1/44 | 925 | 953 |
VF Corp. | 6.450% | 11/1/37 | 2,340 | 3,147 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 4,287 | 5,481 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 4,125 | 6,081 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 6,465 | 7,792 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 10,225 | 14,013 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 6,255 | 8,389 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 2,850 | 3,621 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 3,850 | 4,470 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 3,700 | 4,374 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 6,585 | 8,383 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 2,950 | 3,054 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 4,025 | 4,693 |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 3,900 | 4,260 |
Walgreen Co. | 4.400% | 9/15/42 | 1,450 | 1,453 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,800 | 1,873 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 5,550 | 5,854 |
Western Union Co. | 6.200% | 11/17/36 | 1,950 | 2,000 |
Western Union Co. | 6.200% | 6/21/40 | 325 | 345 |
Yum! Brands Inc. | 6.875% | 11/15/37 | 965 | 1,248 |
Yum! Brands Inc. | 5.350% | 11/1/43 | 1,250 | 1,374 |
Consumer Noncyclical (7.0%) | ||||
Abbott Laboratories | 6.150% | 11/30/37 | 3,175 | 4,294 |
Abbott Laboratories | 6.000% | 4/1/39 | 1,225 | 1,653 |
Abbott Laboratories | 5.300% | 5/27/40 | 1,700 | 2,079 |
AbbVie Inc. | 4.400% | 11/6/42 | 8,075 | 8,290 |
Actavis Funding SCS | 4.850% | 6/15/44 | 5,150 | 5,214 |
Actavis Inc. | 4.625% | 10/1/42 | 3,375 | 3,307 |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 1,550 | 1,995 |
Altria Group Inc. | 9.950% | 11/10/38 | 3,039 | 5,211 |
Altria Group Inc. | 10.200% | 2/6/39 | 3,796 | 6,625 |
Altria Group Inc. | 4.250% | 8/9/42 | 2,550 | 2,471 |
Altria Group Inc. | 4.500% | 5/2/43 | 2,900 | 2,920 |
Altria Group Inc. | 5.375% | 1/31/44 | 4,255 | 4,843 |
Amgen Inc. | 6.375% | 6/1/37 | 2,175 | 2,723 |
Amgen Inc. | 6.900% | 6/1/38 | 2,250 | 2,981 |
Amgen Inc. | 6.400% | 2/1/39 | 5,125 | 6,498 |
Amgen Inc. | 5.750% | 3/15/40 | 2,310 | 2,764 |
Amgen Inc. | 4.950% | 10/1/41 | 2,210 | 2,376 |
Amgen Inc. | 5.150% | 11/15/41 | 10,676 | 12,047 |
Amgen Inc. | 5.650% | 6/15/42 | 3,635 | 4,325 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 1,675 | 2,304 |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 650 | 819 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 1,575 | 1,942 |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 650 | 854 |
Anheuser-Busch Cos. LLC | 6.500% | 2/1/43 | 140 | 192 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 3,065 | 3,031 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 3,700 | 4,018 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 4,725 | 7,299 |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 2,025 | 3,105 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 1,225 | 1,597 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 4,700 | 4,418 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 1,880 | 2,415 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 2,225 | 2,700 |
Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 1,700 | 2,182 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 660 | 719 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 910 | 913 |
3 Ascension Health Alliance | 4.847% | 11/15/53 | 1,225 | 1,379 |
AstraZeneca plc | 6.450% | 9/15/37 | 8,550 | 11,465 |
73
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AstraZeneca plc | 4.000% | 9/18/42 | 3,500 | 3,441 |
Baxter International Inc. | 6.250% | 12/1/37 | 800 | 1,052 |
Baxter International Inc. | 3.650% | 8/15/42 | 1,325 | 1,263 |
Baxter International Inc. | 4.500% | 6/15/43 | 1,600 | 1,719 |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 1,750 | 2,170 |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 900 | 972 |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 700 | 753 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 1,875 | 2,401 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 1,850 | 2,481 |
Bristol-Myers Squibb Co. | 6.800% | 11/15/26 | 889 | 1,193 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 2,077 | 2,660 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 2,400 | 3,136 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 1,350 | 1,185 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 1,675 | 1,832 |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 525 | 774 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 825 | 817 |
Campbell Soup Co. | 3.800% | 8/2/42 | 1,100 | 1,009 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 1,775 | 1,869 |
CareFusion Corp. | 4.875% | 5/15/44 | 1,000 | 1,060 |
3 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 2,525 | 2,507 |
Celgene Corp. | 5.700% | 10/15/40 | 600 | 727 |
Celgene Corp. | 5.250% | 8/15/43 | 1,200 | 1,366 |
Celgene Corp. | 4.625% | 5/15/44 | 3,600 | 3,735 |
Children’s Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 1,025 | 1,073 |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 2,500 | 2,548 |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 2,325 | 2,684 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 1,575 | 2,019 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 675 | 870 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 1,650 | 2,413 |
ConAgra Foods Inc. | 6.625% | 8/15/39 | 1,721 | 2,202 |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 2,261 | 2,364 |
Covidien International Finance SA | 6.550% | 10/15/37 | 2,675 | 3,494 |
CR Bard Inc. | 6.700% | 12/1/26 | 500 | 657 |
Delhaize America LLC | 9.000% | 4/15/31 | 500 | 677 |
Delhaize Group SA | 5.700% | 10/1/40 | 3,814 | 3,995 |
Diageo Capital plc | 5.875% | 9/30/36 | 1,750 | 2,221 |
Diageo Capital plc | 3.875% | 4/29/43 | 1,475 | 1,449 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 1,750 | 2,537 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 2,250 | 2,310 |
Dignity Health | 5.267% | 11/1/64 | 2,000 | 2,170 |
Dignity Health California GO | 4.500% | 11/1/42 | 1,050 | 1,042 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 560 | 816 |
Eli Lilly & Co. | 7.125% | 6/1/25 | 1,100 | 1,453 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 3,600 | 4,345 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 2,835 | 3,441 |
Eli Lilly & Co. | 5.950% | 11/15/37 | 450 | 587 |
Eli Lilly & Co. | 4.650% | 6/15/44 | 2,500 | 2,805 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 1,025 | 1,311 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 1,575 | 1,497 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 2,325 | 2,925 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 1,925 | 1,842 |
General Mills Inc. | 5.400% | 6/15/40 | 1,775 | 2,098 |
General Mills Inc. | 4.150% | 2/15/43 | 2,775 | 2,763 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 5,800 | 5,958 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 2,995 | 3,710 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 7,130 | 7,929 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 6,750 | 7,194 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 1,450 | 1,771 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 9,869 | 13,095 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 1,400 | 1,442 |
Hasbro Inc. | 6.350% | 3/15/40 | 1,829 | 2,245 |
Hasbro Inc. | 5.100% | 5/15/44 | 1,500 | 1,562 |
Ingredion Inc. | 6.625% | 4/15/37 | 575 | 727 |
Johnson & Johnson | 6.950% | 9/1/29 | 850 | 1,222 |
74
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Johnson & Johnson | 4.950% | 5/15/33 | 2,425 | 2,925 |
Johnson & Johnson | 4.375% | 12/5/33 | 2,850 | 3,182 |
Johnson & Johnson | 5.950% | 8/15/37 | 3,405 | 4,600 |
Johnson & Johnson | 5.850% | 7/15/38 | 1,775 | 2,431 |
Johnson & Johnson | 4.500% | 9/1/40 | 2,500 | 2,854 |
Johnson & Johnson | 4.850% | 5/15/41 | 1,000 | 1,201 |
Johnson & Johnson | 4.500% | 12/5/43 | 1,200 | 1,387 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 1,701 | 1,970 |
Kellogg Co. | 7.450% | 4/1/31 | 3,775 | 5,092 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 2,925 | 4,166 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 540 | 669 |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 875 | 853 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 2,655 | 3,646 |
Koninklijke Philips NV | 5.000% | 3/15/42 | 3,200 | 3,528 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 2,475 | 3,265 |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 4,325 | 5,574 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 5,695 | 6,240 |
Kroger Co. | 8.000% | 9/15/29 | 2,425 | 3,355 |
Kroger Co. | 7.500% | 4/1/31 | 1,700 | 2,305 |
Kroger Co. | 6.900% | 4/15/38 | 1,200 | 1,588 |
Kroger Co. | 5.400% | 7/15/40 | 750 | 860 |
Kroger Co. | 5.000% | 4/15/42 | 900 | 978 |
Kroger Co. | 5.150% | 8/1/43 | 1,250 | 1,411 |
Lorillard Tobacco Co. | 8.125% | 5/1/40 | 729 | 1,019 |
Lorillard Tobacco Co. | 7.000% | 8/4/41 | 955 | 1,226 |
Mattel Inc. | 5.450% | 11/1/41 | 1,325 | 1,503 |
3 Mayo Clinic | 3.774% | 11/15/43 | 950 | 940 |
3 Mayo Clinic | 4.000% | 11/15/47 | 1,200 | 1,223 |
McKesson Corp. | 6.000% | 3/1/41 | 2,115 | 2,620 |
McKesson Corp. | 4.883% | 3/15/44 | 1,000 | 1,102 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 835 | 1,028 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 1,500 | 1,586 |
4 Medtronic Inc. | 3.500% | 3/15/25 | 11,000 | 11,256 |
4 Medtronic Inc. | 4.375% | 3/15/35 | 10,000 | 10,537 |
Medtronic Inc. | 6.500% | 3/15/39 | 600 | 783 |
Medtronic Inc. | 5.550% | 3/15/40 | 1,400 | 1,652 |
Medtronic Inc. | 4.500% | 3/15/42 | 1,050 | 1,081 |
Medtronic Inc. | 4.000% | 4/1/43 | 2,225 | 2,128 |
Medtronic Inc. | 4.625% | 3/15/44 | 4,100 | 4,423 |
4 Medtronic Inc. | 4.625% | 3/15/45 | 9,000 | 9,739 |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 975 | 1,145 |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 1,400 | 1,400 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 3,270 | 4,537 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 4,255 | 6,043 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 775 | 749 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 6,860 | 7,329 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 3,600 | 3,884 |
Mondelez International Inc. | 6.500% | 11/1/31 | 3,075 | 4,002 |
Mondelez International Inc. | 6.875% | 2/1/38 | 2,885 | 3,859 |
Mondelez International Inc. | 6.875% | 1/26/39 | 1,560 | 2,108 |
Mondelez International Inc. | 6.500% | 2/9/40 | 2,939 | 3,922 |
Mylan Inc. | 5.400% | 11/29/43 | 2,340 | 2,599 |
Novant Health Inc. | 4.371% | 11/1/43 | 975 | 1,002 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 1,500 | 1,500 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 6,050 | 6,756 |
NYU Hospitals Center | 4.784% | 7/1/44 | 1,150 | 1,210 |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 3,775 | 5,209 |
PepsiCo Inc. | 5.500% | 1/15/40 | 2,875 | 3,483 |
PepsiCo Inc. | 4.875% | 11/1/40 | 3,740 | 4,208 |
PepsiCo Inc. | 4.000% | 3/5/42 | 2,970 | 2,987 |
PepsiCo Inc. | 3.600% | 8/13/42 | 1,625 | 1,518 |
Perrigo Co. plc | 5.300% | 11/15/43 | 1,400 | 1,543 |
Perrigo Finance plc | 4.900% | 12/15/44 | 1,500 | 1,609 |
Pfizer Inc. | 7.200% | 3/15/39 | 8,150 | 11,848 |
75
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pfizer Inc. | 4.300% | 6/15/43 | 2,800 | 2,998 |
Pfizer Inc. | 4.400% | 5/15/44 | 1,800 | 1,958 |
Pharmacia Corp. | 6.600% | 12/1/28 | 1,800 | 2,382 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 4,490 | 5,756 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 2,150 | 2,226 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 6,728 | 7,103 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 2,175 | 2,065 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 3,000 | 2,950 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 2,585 | 2,863 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 2,700 | 3,521 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 1,500 | 1,933 |
Procter & Gamble Co. | 5.800% | 8/15/34 | 200 | 267 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 5,425 | 7,005 |
Quest Diagnostics Inc. | 6.950% | 7/1/37 | 715 | 915 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 1,000 | 1,148 |
Reynolds American Inc. | 7.250% | 6/15/37 | 1,450 | 1,862 |
Reynolds American Inc. | 4.750% | 11/1/42 | 2,975 | 2,874 |
Reynolds American Inc. | 6.150% | 9/15/43 | 1,300 | 1,510 |
Safeway Inc. | 7.250% | 2/1/31 | 861 | 861 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 3,125 | 3,324 |
Stryker Corp. | 4.100% | 4/1/43 | 2,000 | 1,998 |
Stryker Corp. | 4.375% | 5/15/44 | 1,575 | 1,647 |
Sysco Corp. | 4.350% | 10/2/34 | 2,725 | 2,937 |
Sysco Corp. | 5.375% | 9/21/35 | 2,425 | 2,920 |
Sysco Corp. | 4.500% | 10/2/44 | 3,975 | 4,322 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 3,755 | 4,633 |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 1,175 | 1,346 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 1,000 | 1,097 |
Tyson Foods Inc. | 5.150% | 8/15/44 | 3,273 | 3,685 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 4,200 | 5,756 |
Whirlpool Corp. | 3.700% | 5/1/25 | 1,500 | 1,519 |
Whirlpool Corp. | 5.150% | 3/1/43 | 1,250 | 1,380 |
Wyeth LLC | 6.500% | 2/1/34 | 3,010 | 4,058 |
Wyeth LLC | 6.000% | 2/15/36 | 2,350 | 3,049 |
Wyeth LLC | 5.950% | 4/1/37 | 6,810 | 8,723 |
Zimmer Holdings Inc. | 5.750% | 11/30/39 | 2,100 | 2,553 |
Zoetis Inc. | 4.700% | 2/1/43 | 3,250 | 3,308 |
Energy (6.4%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 1,000 | 1,198 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 3,335 | 4,383 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 6,025 | 7,177 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 1,050 | 1,429 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 2,800 | 3,262 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 2,875 | 2,786 |
Apache Corp. | 6.000% | 1/15/37 | 3,556 | 3,865 |
Apache Corp. | 5.100% | 9/1/40 | 5,100 | 4,995 |
Apache Corp. | 5.250% | 2/1/42 | 1,575 | 1,587 |
Apache Corp. | 4.750% | 4/15/43 | 5,600 | 5,232 |
Apache Corp. | 4.250% | 1/15/44 | 2,150 | 1,876 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 650 | 885 |
Baker Hughes Inc. | 6.875% | 1/15/29 | 1,200 | 1,564 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 4,965 | 5,398 |
Buckeye Partners LP | 5.850% | 11/15/43 | 1,250 | 1,251 |
Buckeye Partners LP | 5.600% | 10/15/44 | 825 | 776 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 1,050 | 1,458 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 1,675 | 2,364 |
Cameron International Corp. | 7.000% | 7/15/38 | 350 | 430 |
Cameron International Corp. | 5.950% | 6/1/41 | 650 | 730 |
Cameron International Corp. | 5.125% | 12/15/43 | 1,850 | 1,855 |
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 2,700 | 2,662 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 2,275 | 2,799 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 875 | 1,020 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 650 | 714 |
76
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 2,490 | 2,876 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,345 | 2,643 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 1,650 | 1,930 |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 4,755 | 5,427 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 2,600 | 2,214 |
Cenovus Energy Inc. | 5.200% | 9/15/43 | 875 | 843 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 1,600 | 2,007 |
Conoco Funding Co. | 7.250% | 10/15/31 | 1,195 | 1,665 |
ConocoPhillips | 5.900% | 10/15/32 | 2,500 | 3,073 |
ConocoPhillips | 5.900% | 5/15/38 | 2,025 | 2,518 |
ConocoPhillips | 6.500% | 2/1/39 | 9,500 | 12,604 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,100 | 1,367 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 2,525 | 2,592 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 2,600 | 2,732 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 5,750 | 7,663 |
Continental Resources Inc. | 4.900% | 6/1/44 | 2,475 | 2,096 |
DCP Midstream LLC | 8.125% | 8/16/30 | 1,575 | 2,064 |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 1,350 | 1,380 |
Devon Energy Corp. | 7.950% | 4/15/32 | 2,410 | 3,331 |
Devon Energy Corp. | 5.600% | 7/15/41 | 4,260 | 4,737 |
Devon Energy Corp. | 4.750% | 5/15/42 | 3,290 | 3,307 |
Devon Financing Corp. LLC | 7.875% | 9/30/31 | 4,990 | 6,810 |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 2,075 | 1,988 |
Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 2,250 | 1,925 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 2,000 | 2,162 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 1,250 | 1,316 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 782 | 1,028 |
El Paso Pipeline Partners Operating Co. LLC | 7.500% | 11/15/40 | 1,500 | 1,830 |
El Paso Pipeline Partners Operating Co. LLC | 4.700% | 11/1/42 | 1,650 | 1,485 |
4 Enable Midstream Partners LP | 5.000% | 5/15/44 | 1,725 | 1,608 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 2,170 | 2,655 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 425 | 419 |
Enbridge Inc. | 4.500% | 6/10/44 | 1,500 | 1,292 |
Encana Corp. | 7.200% | 11/1/31 | 250 | 295 |
Encana Corp. | 6.500% | 8/15/34 | 3,800 | 4,132 |
Encana Corp. | 6.625% | 8/15/37 | 2,875 | 3,095 |
Encana Corp. | 6.500% | 2/1/38 | 1,775 | 1,892 |
Encana Corp. | 5.150% | 11/15/41 | 2,160 | 1,992 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 1,450 | 2,002 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 750 | 857 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 2,775 | 3,436 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 3,450 | 3,755 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 4,930 | 5,669 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 1,250 | 1,238 |
Eni USA Inc. | 7.300% | 11/15/27 | 600 | 789 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 1,075 | 1,123 |
EnLink Midstream Partners LP | 5.050% | 4/1/45 | 1,000 | 963 |
Ensco plc | 5.750% | 10/1/44 | 2,000 | 1,978 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 3,900 | 3,910 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 2,275 | 2,908 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 1,070 | 1,353 |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 850 | 972 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 1,225 | 1,684 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,500 | 1,812 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 1,275 | 1,584 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 2,350 | 2,751 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 1,225 | 1,402 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 3,960 | 4,110 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 5,150 | 5,080 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 5,325 | 5,559 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 4,100 | 4,407 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,000 | 1,027 |
Global Marine Inc. | 7.000% | 6/1/28 | 1,200 | 1,083 |
77
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Halliburton Co. | 6.700% | 9/15/38 | 5,025 | 6,498 |
Halliburton Co. | 7.450% | 9/15/39 | 275 | 385 |
Halliburton Co. | 4.500% | 11/15/41 | 2,080 | 2,107 |
Halliburton Co. | 4.750% | 8/1/43 | 3,925 | 4,117 |
Hess Corp. | 7.875% | 10/1/29 | 2,625 | 3,415 |
Hess Corp. | 7.300% | 8/15/31 | 895 | 1,112 |
Hess Corp. | 7.125% | 3/15/33 | 925 | 1,146 |
Hess Corp. | 6.000% | 1/15/40 | 4,640 | 5,138 |
Hess Corp. | 5.600% | 2/15/41 | 3,925 | 4,209 |
Husky Energy Inc. | 6.800% | 9/15/37 | 800 | 998 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 1,000 | 1,371 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 500 | 598 |
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 500 | 616 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 1,600 | 1,923 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 2,575 | 2,734 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,950 | 2,193 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 3,979 | 4,614 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 1,875 | 2,086 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 375 | 426 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 1,750 | 1,949 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 4,179 | 4,265 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 1,500 | 1,425 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 1,900 | 1,804 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 3,000 | 3,049 |
Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 600 | 601 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 5,725 | 5,734 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 3,235 | 3,951 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 3,100 | 3,151 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 6,500 | 6,647 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 475 | 579 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 1,150 | 1,053 |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 1,875 | 1,978 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 1,600 | 1,930 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 3,150 | 3,736 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 4,500 | 5,348 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,750 | 1,653 |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 2,200 | 2,058 |
Murphy Oil Corp. | 7.050% | 5/1/29 | 500 | 567 |
Murphy Oil Corp. | 5.125% | 12/1/42 | 1,550 | 1,313 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 5,100 | 4,622 |
NiSource Finance Corp. | 6.250% | 12/15/40 | 2,230 | 2,874 |
Nisource Finance Corp. | 5.950% | 6/15/41 | 2,875 | 3,595 |
Nisource Finance Corp. | 5.250% | 2/15/43 | 2,750 | 3,151 |
Nisource Finance Corp. | 4.800% | 2/15/44 | 1,625 | 1,732 |
Noble Energy Inc. | 8.000% | 4/1/27 | 1,275 | 1,639 |
Noble Energy Inc. | 6.000% | 3/1/41 | 2,700 | 2,984 |
Noble Energy Inc. | 5.250% | 11/15/43 | 4,190 | 4,249 |
Noble Energy Inc. | 5.050% | 11/15/44 | 1,525 | 1,507 |
Noble Holding International Ltd. | 6.200% | 8/1/40 | 1,800 | 1,644 |
Noble Holding International Ltd. | 6.050% | 3/1/41 | 950 | 829 |
Noble Holding International Ltd. | 5.250% | 3/15/42 | 1,425 | 1,126 |
ONEOK Partners LP | 6.650% | 10/1/36 | 2,725 | 3,136 |
ONEOK Partners LP | 6.850% | 10/15/37 | 700 | 822 |
ONEOK Partners LP | 6.125% | 2/1/41 | 3,050 | 3,287 |
ONEOK Partners LP | 6.200% | 9/15/43 | 1,350 | 1,480 |
Petro-Canada | 7.875% | 6/15/26 | 625 | 801 |
Petro-Canada | 7.000% | 11/15/28 | 1,425 | 1,862 |
Petro-Canada | 5.350% | 7/15/33 | 1,350 | 1,553 |
Petro-Canada | 5.950% | 5/15/35 | 2,580 | 2,995 |
Petro-Canada | 6.800% | 5/15/38 | 3,875 | 4,885 |
Phillips 66 | 4.650% | 11/15/34 | 3,300 | 3,384 |
Phillips 66 | 5.875% | 5/1/42 | 5,700 | 6,583 |
Phillips 66 | 4.875% | 11/15/44 | 3,950 | 4,037 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 800 | 974 |
78
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Plains All American Pipeline LP / PAA Finance Corp | 6.700% | 5/15/36 | 845 | 1,039 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 1,650 | 2,037 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 1,800 | 1,888 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 1,925 | 1,821 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 2,425 | 2,407 |
Pride International Inc. | 7.875% | 8/15/40 | 1,500 | 1,821 |
Rowan Cos. Inc. | 5.400% | 12/1/42 | 950 | 822 |
Rowan Cos. Inc. | 5.850% | 1/15/44 | 1,175 | 1,055 |
Shell International Finance BV | 6.375% | 12/15/38 | 9,090 | 12,196 |
Shell International Finance BV | 5.500% | 3/25/40 | 2,525 | 3,070 |
Shell International Finance BV | 3.625% | 8/21/42 | 1,900 | 1,779 |
Shell International Finance BV | 4.550% | 8/12/43 | 5,500 | 6,006 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 3,158 | 4,091 |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 905 | 1,057 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 1,000 | 1,163 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 800 | 1,062 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 555 | 644 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 4,285 | 5,268 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,250 | 2,803 |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 850 | 993 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 1,000 | 1,085 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 700 | 671 |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 2,250 | 2,268 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 3,650 | 3,707 |
Talisman Energy Inc. | 7.250% | 10/15/27 | 450 | 512 |
Talisman Energy Inc. | 5.850% | 2/1/37 | 2,725 | 2,646 |
Talisman Energy Inc. | 5.500% | 5/15/42 | 2,925 | 2,778 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 1,466 | 1,750 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 1,400 | 1,724 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 710 | 889 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 1,100 | 1,477 |
Tosco Corp. | 7.800% | 1/1/27 | 105 | 145 |
Tosco Corp. | 8.125% | 2/15/30 | 3,775 | 5,476 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 3,600 | 3,643 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 1,425 | 1,607 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 3,150 | 3,609 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 2,500 | 2,942 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 3,925 | 5,213 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,665 | 2,286 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 3,475 | 4,043 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 2,075 | 2,189 |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 1,625 | 1,758 |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 1,075 | 1,006 |
Transocean Inc. | 7.500% | 4/15/31 | 1,725 | 1,587 |
Transocean Inc. | 6.800% | 3/15/38 | 3,300 | 2,780 |
Transocean Inc. | 7.350% | 12/15/41 | 855 | 761 |
Valero Energy Corp. | 7.500% | 4/15/32 | 2,321 | 2,916 |
Valero Energy Corp. | 6.625% | 6/15/37 | 6,139 | 7,248 |
Weatherford International LLC | 6.800% | 6/15/37 | 2,900 | 2,758 |
Weatherford International Ltd. | 6.500% | 8/1/36 | 2,430 | 2,229 |
Weatherford International Ltd. | 7.000% | 3/15/38 | 1,400 | 1,346 |
Weatherford International Ltd. | 6.750% | 9/15/40 | 1,950 | 1,827 |
Weatherford International Ltd. | 5.950% | 4/15/42 | 1,350 | 1,143 |
Western Gas Partners LP | 5.450% | 4/1/44 | 1,250 | 1,319 |
Williams Cos. Inc. | 7.500% | 1/15/31 | 1,151 | 1,221 |
Williams Cos. Inc. | 8.750% | 3/15/32 | 1,191 | 1,390 |
Williams Cos. Inc. | 5.750% | 6/24/44 | 2,700 | 2,348 |
Williams Partners LP | 3.900% | 1/15/25 | 2,300 | 2,211 |
Williams Partners LP | 6.300% | 4/15/40 | 2,500 | 2,794 |
Williams Partners LP | 5.800% | 11/15/43 | 3,325 | 3,455 |
Williams Partners LP | 5.400% | 3/4/44 | 1,700 | 1,676 |
Williams Partners LP | 4.900% | 1/15/45 | 1,900 | 1,779 |
XTO Energy Inc. | 6.750% | 8/1/37 | 440 | 644 |
79
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Other Industrial (0.2%) | ||||
California Institute of Technology GO | 4.700% | 11/1/11 | 1,275 | 1,371 |
3 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 1,175 | 1,227 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 3,025 | 4,143 |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 2,075 | 2,399 |
3 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 1,050 | 1,113 |
3 Northwestern University Illinois GO | 4.643% | 12/1/44 | 1,850 | 2,150 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 3.619% | 10/1/37 | 900 | 905 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 1,000 | 1,062 |
Technology (1.6%) | ||||
Apple Inc. | 3.850% | 5/4/43 | 10,235 | 10,242 |
Apple Inc. | 4.450% | 5/6/44 | 4,025 | 4,443 |
Applied Materials Inc. | 5.850% | 6/15/41 | 2,085 | 2,538 |
Broadcom Corp. | 4.500% | 8/1/34 | 750 | 787 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 6,100 | 7,688 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 6,735 | 8,183 |
Corning Inc. | 7.250% | 8/15/36 | 600 | 778 |
Corning Inc. | 4.700% | 3/15/37 | 2,800 | 3,002 |
Corning Inc. | 5.750% | 8/15/40 | 1,450 | 1,737 |
Corning Inc. | 4.750% | 3/15/42 | 1,075 | 1,144 |
Equifax Inc. | 7.000% | 7/1/37 | 750 | 978 |
Harris Corp. | 6.150% | 12/15/40 | 845 | 1,021 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 4,835 | 5,446 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 875 | 1,104 |
Intel Corp. | 4.000% | 12/15/32 | 3,130 | 3,212 |
Intel Corp. | 4.800% | 10/1/41 | 4,945 | 5,431 |
Intel Corp. | 4.250% | 12/15/42 | 2,975 | 3,066 |
International Business Machines Corp. | 7.000% | 10/30/25 | 2,325 | 3,070 |
International Business Machines Corp. | 6.220% | 8/1/27 | 2,450 | 3,111 |
International Business Machines Corp. | 6.500% | 1/15/28 | 1,225 | 1,589 |
International Business Machines Corp. | 5.875% | 11/29/32 | 2,750 | 3,513 |
International Business Machines Corp. | 5.600% | 11/30/39 | 2,728 | 3,288 |
International Business Machines Corp. | 4.000% | 6/20/42 | 3,753 | 3,737 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 1,350 | 1,356 |
Microsoft Corp. | 5.200% | 6/1/39 | 3,505 | 4,196 |
Microsoft Corp. | 4.500% | 10/1/40 | 2,965 | 3,270 |
Microsoft Corp. | 5.300% | 2/8/41 | 3,875 | 4,747 |
Microsoft Corp. | 3.500% | 11/15/42 | 2,825 | 2,682 |
Microsoft Corp. | 3.750% | 5/1/43 | 185 | 183 |
Microsoft Corp. | 4.875% | 12/15/43 | 1,100 | 1,294 |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 1,075 | 1,323 |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 1,200 | 1,270 |
Oracle Corp. | 4.300% | 7/8/34 | 5,750 | 6,163 |
Oracle Corp. | 6.500% | 4/15/38 | 3,200 | 4,288 |
Oracle Corp. | 6.125% | 7/8/39 | 3,675 | 4,761 |
Oracle Corp. | 5.375% | 7/15/40 | 8,745 | 10,475 |
Oracle Corp. | 4.500% | 7/8/44 | 3,875 | 4,198 |
4 Seagate HDD Cayman | 4.750% | 1/1/25 | 4,930 | 5,078 |
4 Seagate HDD Cayman | 5.750% | 12/1/34 | 3,100 | 3,267 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 1,250 | 1,719 |
Xerox Corp. | 6.750% | 12/15/39 | 1,175 | 1,440 |
Transportation (1.6%) | ||||
3 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 968 | 986 |
American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 10/1/26 | 3,300 | 3,325 |
3 BNSF Funding Trust I | 6.613% | 12/15/55 | 850 | 952 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 1,200 | 1,567 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 1,300 | 1,864 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 1,575 | 2,047 |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 2,075 | 2,713 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 2,195 | 2,704 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 1,325 | 1,494 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 1,635 | 1,947 |
80
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 350 | 389 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 2,085 | 2,171 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 3,325 | 3,438 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 2,810 | 2,942 |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 2,000 | 2,305 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 3,825 | 4,304 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 2,500 | 2,676 |
Canadian National Railway Co. | 6.900% | 7/15/28 | 1,500 | 2,032 |
Canadian National Railway Co. | 6.250% | 8/1/34 | 2,450 | 3,237 |
Canadian National Railway Co. | 6.200% | 6/1/36 | 2,097 | 2,792 |
Canadian National Railway Co. | 6.375% | 11/15/37 | 550 | 754 |
Canadian National Railway Co. | 3.500% | 11/15/42 | 1,450 | 1,387 |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,175 | 1,622 |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 1,460 | 1,788 |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 1,670 | 2,148 |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 1,000 | 1,278 |
Con-way Inc. | 6.700% | 5/1/34 | 1,050 | 1,166 |
CSX Corp. | 6.000% | 10/1/36 | 175 | 221 |
CSX Corp. | 6.150% | 5/1/37 | 2,280 | 2,941 |
CSX Corp. | 6.220% | 4/30/40 | 3,850 | 5,015 |
CSX Corp. | 5.500% | 4/15/41 | 1,600 | 1,924 |
CSX Corp. | 4.750% | 5/30/42 | 1,675 | 1,831 |
CSX Corp. | 4.400% | 3/1/43 | 525 | 545 |
CSX Corp. | 4.100% | 3/15/44 | 3,850 | 3,820 |
CSX Corp. | 4.500% | 8/1/54 | 1,500 | 1,570 |
FedEx Corp. | 4.900% | 1/15/34 | 1,675 | 1,861 |
FedEx Corp. | 3.875% | 8/1/42 | 1,250 | 1,205 |
FedEx Corp. | 4.100% | 4/15/43 | 1,700 | 1,684 |
FedEx Corp. | 5.100% | 1/15/44 | 2,500 | 2,882 |
3 Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 2,100 | 2,066 |
Kansas City Southern Railway Co. | 4.300% | 5/15/43 | 1,550 | 1,579 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 631 | 747 |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 2,242 | 3,114 |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 560 | 775 |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 600 | 844 |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 2,823 | 3,146 |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 1,925 | 1,894 |
Norfolk Southern Corp. | 4.800% | 8/15/43 | 1,200 | 1,337 |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 250 | 404 |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 1,800 | 2,336 |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 2,675 | 3,452 |
Union Pacific Corp. | 6.625% | 2/1/29 | 1,900 | 2,550 |
Union Pacific Corp. | 4.750% | 9/15/41 | 3,530 | 3,964 |
Union Pacific Corp. | 4.250% | 4/15/43 | 975 | 1,017 |
Union Pacific Corp. | 4.750% | 12/15/43 | 1,925 | 2,173 |
Union Pacific Corp. | 4.821% | 2/1/44 | 2,440 | 2,780 |
Union Pacific Corp. | 4.850% | 6/15/44 | 1,000 | 1,143 |
Union Pacific Corp. | 4.150% | 1/15/45 | 300 | 313 |
3 Union Pacific Railroad Co. 2007-3 Pass Through Trust | 6.176% | 1/2/31 | 781 | 936 |
3 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 9/3/26 | 2,025 | 2,045 |
3 United Airlines Pass Through Trust Series 2013-1 | 4.300% | 2/15/27 | 3,575 | 3,696 |
3 United Airlines Pass Through Trust Series 2014-1 | 4.000% | 10/11/27 | 2,950 | 3,024 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 3,910 | 5,192 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 2,610 | 3,052 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 2,700 | 2,644 |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 500 | 747 |
3 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 1,675 | 1,719 |
3 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,268 | 1,331 |
2,826,582 | ||||
Utilities (6.5%) | ||||
Electric (6.1%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 2,205 | 2,906 |
81
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Alabama Power Co. | 5.650% | 3/15/35 | 750 | 757 |
Alabama Power Co. | 6.125% | 5/15/38 | 1,180 | 1,601 |
Alabama Power Co. | 6.000% | 3/1/39 | 1,450 | 1,911 |
Alabama Power Co. | 5.500% | 3/15/41 | 1,250 | 1,577 |
Alabama Power Co. | 5.200% | 6/1/41 | 1,075 | 1,319 |
Alabama Power Co. | 4.100% | 1/15/42 | 800 | 830 |
Alabama Power Co. | 3.850% | 12/1/42 | 1,250 | 1,268 |
Alabama Power Co. | 4.150% | 8/15/44 | 1,200 | 1,268 |
Ameren Illinois Co. | 3.250% | 3/1/25 | 900 | 912 |
Ameren Illinois Co. | 4.800% | 12/15/43 | 2,203 | 2,551 |
Appalachian Power Co | 4.400% | 5/15/44 | 1,025 | 1,081 |
Appalachian Power Co. | 5.800% | 10/1/35 | 975 | 1,205 |
Appalachian Power Co. | 6.375% | 4/1/36 | 1,225 | 1,593 |
Appalachian Power Co. | 6.700% | 8/15/37 | 500 | 673 |
Appalachian Power Co. | 7.000% | 4/1/38 | 2,093 | 2,921 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 400 | 500 |
Arizona Public Service Co. | 5.050% | 9/1/41 | 850 | 999 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 1,510 | 1,614 |
Arizona Public Service Co. | 4.700% | 1/15/44 | 1,250 | 1,424 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,075 | 1,466 |
4 Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 2,400 | 2,412 |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 420 | 627 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 6,020 | 7,581 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 1,775 | 2,214 |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 3,680 | 4,828 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 2,475 | 2,816 |
4 Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 2,500 | 2,624 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 1,425 | 2,011 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 1,600 | 1,541 |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 1,625 | 1,832 |
Cleco Power LLC | 6.500% | 12/1/35 | 500 | 648 |
Cleco Power LLC | 6.000% | 12/1/40 | 1,000 | 1,197 |
Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 1,000 | 1,164 |
CMS Energy Corp. | 4.700% | 3/31/43 | 850 | 898 |
CMS Energy Corp. | 4.875% | 3/1/44 | 850 | 922 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 3,500 | 4,487 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 1,075 | 1,462 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 650 | 644 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 3,300 | 3,735 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 1,250 | 1,715 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 525 | 568 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 2,700 | 3,262 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 2,200 | 2,816 |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 1,550 | 1,954 |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 1,300 | 1,731 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 2,025 | 2,821 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 875 | 1,069 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,850 | 2,343 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 1,000 | 1,037 |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 2,600 | 2,601 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 3,150 | 3,406 |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 2,475 | 2,694 |
Consumers Energy Co. | 3.950% | 5/15/43 | 1,800 | 1,862 |
Consumers Energy Co. | 4.350% | 8/31/64 | 750 | 790 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 1,250 | 1,284 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 2,550 | 3,316 |
Dominion Resources Inc. | 5.950% | 6/15/35 | 1,725 | 2,192 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 3,225 | 3,553 |
Dominion Resources Inc. | 4.050% | 9/15/42 | 1,075 | 1,048 |
Dominion Resources Inc. | 4.700% | 12/1/44 | 2,050 | 2,181 |
DTE Electric Co. | 3.375% | 3/1/25 | 1,975 | 2,022 |
DTE Electric Co. | 5.700% | 10/1/37 | 1,710 | 2,196 |
DTE Electric Co. | 3.950% | 6/15/42 | 1,125 | 1,157 |
DTE Electric Co. | 4.000% | 4/1/43 | 2,100 | 2,181 |
82
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
DTE Electric Co. | 4.300% | 7/1/44 | 1,150 | 1,248 |
DTE Energy Co. | 6.375% | 4/15/33 | 1,700 | 2,187 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 1,625 | 2,053 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 1,050 | 1,417 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 2,075 | 2,699 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 1,955 | 2,565 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 3,450 | 4,567 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 2,300 | 2,839 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 2,150 | 2,302 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 1,900 | 1,962 |
Duke Energy Florida Inc. | 6.350% | 9/15/37 | 1,595 | 2,209 |
Duke Energy Florida Inc. | 6.400% | 6/15/38 | 3,350 | 4,663 |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 795 | 1,033 |
Duke Energy Florida Inc. | 3.850% | 11/15/42 | 1,250 | 1,266 |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 1,055 | 1,360 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 2,350 | 3,289 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 700 | 746 |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 1,500 | 1,766 |
Duke Energy Progress Inc. | 6.300% | 4/1/38 | 1,775 | 2,457 |
Duke Energy Progress Inc. | 4.100% | 5/15/42 | 1,625 | 1,723 |
Duke Energy Progress Inc. | 4.100% | 3/15/43 | 1,000 | 1,061 |
Duke Energy Progress Inc. | 4.375% | 3/30/44 | 1,375 | 1,509 |
Duke Energy Progress Inc. | 4.150% | 12/1/44 | 2,400 | 2,555 |
El Paso Electric Co. | 6.000% | 5/15/35 | 850 | 1,065 |
Entergy Louisiana LLC | 4.440% | 1/15/26 | 625 | 697 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,025 | 1,053 |
Exelon Corp. | 5.625% | 6/15/35 | 3,210 | 3,752 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 2,455 | 2,948 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 1,400 | 1,579 |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 4,045 | 4,524 |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 2,845 | 3,071 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 950 | 1,253 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 2,074 | 2,629 |
Florida Power & Light Co. | 4.950% | 6/1/35 | 460 | 546 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 1,190 | 1,479 |
Florida Power & Light Co. | 6.200% | 6/1/36 | 1,150 | 1,556 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 1,525 | 1,966 |
Florida Power & Light Co. | 5.850% | 5/1/37 | 475 | 623 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 2,375 | 3,156 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 1,825 | 2,443 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 750 | 977 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 1,495 | 1,855 |
Florida Power & Light Co. | 5.125% | 6/1/41 | 1,125 | 1,373 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 1,775 | 1,895 |
Florida Power & Light Co. | 4.050% | 6/1/42 | 1,525 | 1,614 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 1,375 | 1,390 |
Florida Power & Light Co. | 4.050% | 10/1/44 | 2,000 | 2,101 |
Georgia Power Co. | 5.650% | 3/1/37 | 2,575 | 3,201 |
Georgia Power Co. | 5.950% | 2/1/39 | 725 | 940 |
Georgia Power Co. | 5.400% | 6/1/40 | 1,710 | 2,075 |
Georgia Power Co. | 4.750% | 9/1/40 | 1,625 | 1,829 |
Georgia Power Co. | 4.300% | 3/15/42 | 4,505 | 4,768 |
Georgia Power Co. | 4.300% | 3/15/43 | 1,000 | 1,060 |
Iberdrola International BV | 6.750% | 7/15/36 | 1,495 | 1,895 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 925 | 1,168 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 1,600 | 2,207 |
ITC Holdings Corp. | 5.300% | 7/1/43 | 1,450 | 1,688 |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 750 | 893 |
3 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 2,195 | 2,494 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 700 | 902 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 1,400 | 1,644 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,800 | 2,173 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 1,800 | 2,061 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 1,975 | 2,419 |
83
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 325 | 371 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 1,795 | 2,498 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 850 | 1,090 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,625 | 2,090 |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 1,150 | 1,335 |
Mississippi Power Co. | 4.250% | 3/15/42 | 1,625 | 1,652 |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 3,040 | 3,216 |
Nevada Power Co. | 6.650% | 4/1/36 | 775 | 1,071 |
Nevada Power Co. | 6.750% | 7/1/37 | 1,800 | 2,547 |
Nevada Power Co. | 5.375% | 9/15/40 | 970 | 1,191 |
Nevada Power Co. | 5.450% | 5/15/41 | 530 | 669 |
Northern States Power Co. | 5.250% | 7/15/35 | 1,175 | 1,434 |
Northern States Power Co. | 6.250% | 6/1/36 | 525 | 715 |
Northern States Power Co. | 6.200% | 7/1/37 | 1,200 | 1,638 |
Northern States Power Co. | 5.350% | 11/1/39 | 625 | 786 |
Northern States Power Co. | 4.850% | 8/15/40 | 1,200 | 1,412 |
Northern States Power Co. | 3.400% | 8/15/42 | 1,650 | 1,563 |
Northern States Power Co. | 4.125% | 5/15/44 | 1,300 | 1,382 |
NorthWestern Corp. | 4.176% | 11/15/44 | 1,500 | 1,590 |
NSTAR Electric Co. | 5.500% | 3/15/40 | 2,550 | 3,265 |
NSTAR Electric Co. | 4.400% | 3/1/44 | 375 | 411 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 750 | 962 |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 1,730 | 2,037 |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 700 | 706 |
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,550 | 1,634 |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 675 | 775 |
Ohio Edison Co. | 6.875% | 7/15/36 | 1,625 | 2,198 |
Ohio Power Co. | 6.600% | 2/15/33 | 900 | 1,198 |
Ohio Power Co. | 5.850% | 10/1/35 | 825 | 1,044 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 350 | 458 |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 750 | 906 |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 1,375 | 1,380 |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 625 | 698 |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 1,350 | 1,372 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 1,550 | 2,176 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 1,080 | 1,564 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,265 | 1,903 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,175 | 1,436 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 1,310 | 1,480 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 1,650 | 2,046 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 9,790 | 12,461 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 3,130 | 3,833 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 2,650 | 3,475 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 2,200 | 2,873 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 1,505 | 1,789 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 750 | 812 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 3,005 | 3,168 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 1,700 | 1,831 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 1,700 | 1,966 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,250 | 1,381 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 2,775 | 2,848 |
PacifiCorp | 7.700% | 11/15/31 | 1,050 | 1,570 |
PacifiCorp | 5.250% | 6/15/35 | 1,150 | 1,395 |
PacifiCorp | 6.100% | 8/1/36 | 1,050 | 1,404 |
PacifiCorp | 5.750% | 4/1/37 | 1,825 | 2,344 |
PacifiCorp | 6.250% | 10/15/37 | 2,143 | 2,903 |
PacifiCorp | 6.350% | 7/15/38 | 1,550 | 2,120 |
PacifiCorp | 6.000% | 1/15/39 | 1,725 | 2,268 |
PacifiCorp | 4.100% | 2/1/42 | 2,100 | 2,214 |
Peco Energy Co. | 5.950% | 10/1/36 | 790 | 1,049 |
PECO Energy Co. | 4.150% | 10/1/44 | 1,830 | 1,948 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 850 | 1,019 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 2,000 | 2,781 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 160 | 261 |
84
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 725 | 765 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 1,575 | 1,706 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 1,000 | 1,113 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 1,275 | 1,754 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 800 | 979 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 150 | 174 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 1,000 | 1,058 |
Progress Energy Inc. | 7.750% | 3/1/31 | 1,875 | 2,715 |
Progress Energy Inc. | 7.000% | 10/30/31 | 900 | 1,237 |
Progress Energy Inc. | 6.000% | 12/1/39 | 2,775 | 3,584 |
PSEG Power LLC | 8.625% | 4/15/31 | 1,650 | 2,418 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 1,025 | 1,428 |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 630 | 897 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 1,300 | 1,516 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 1,850 | 1,800 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 1,850 | 2,017 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 400 | 541 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 1,750 | 2,277 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 2,601 | 3,276 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 2,375 | 2,457 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 2,425 | 2,389 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 875 | 911 |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 1,146 | 1,546 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 1,725 | 2,127 |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 128 | 186 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 2,275 | 3,073 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,450 | 1,887 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 675 | 887 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 1,220 | 1,612 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 325 | 419 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 850 | 934 |
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 500 | 626 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 1,025 | 1,254 |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 841 | 1,145 |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 325 | 431 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 950 | 1,180 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 1,650 | 1,836 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 1,150 | 1,193 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 800 | 869 |
Scottish Power Ltd. | 5.810% | 3/15/25 | 1,160 | 1,343 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 1,170 | 1,643 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 700 | 969 |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 1,850 | 2,214 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 1,200 | 1,562 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 900 | 1,111 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 1,895 | 2,002 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 1,675 | 1,864 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 1,275 | 1,378 |
Southern California Edison Co. | 6.650% | 4/1/29 | 1,075 | 1,422 |
Southern California Edison Co. | 6.000% | 1/15/34 | 1,260 | 1,638 |
Southern California Edison Co. | 5.750% | 4/1/35 | 1,300 | 1,661 |
Southern California Edison Co. | 5.350% | 7/15/35 | 2,400 | 2,924 |
Southern California Edison Co. | 5.550% | 1/15/36 | 100 | 127 |
Southern California Edison Co. | 5.625% | 2/1/36 | 3,200 | 4,027 |
Southern California Edison Co. | 5.550% | 1/15/37 | 500 | 624 |
Southern California Edison Co. | 5.950% | 2/1/38 | 2,675 | 3,535 |
Southern California Edison Co. | 6.050% | 3/15/39 | 325 | 430 |
Southern California Edison Co. | 5.500% | 3/15/40 | 625 | 791 |
Southern California Edison Co. | 4.500% | 9/1/40 | 2,775 | 3,059 |
Southern California Edison Co. | 3.900% | 12/1/41 | 1,425 | 1,445 |
Southern California Edison Co. | 4.050% | 3/15/42 | 2,890 | 2,998 |
Southern California Edison Co. | 3.900% | 3/15/43 | 500 | 508 |
Southern California Edison Co. | 4.650% | 10/1/43 | 2,350 | 2,681 |
Southern Power Co. | 5.150% | 9/15/41 | 1,725 | 2,003 |
85
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southern Power Co. | 5.250% | 7/15/43 | 1,000 | 1,154 |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 1,150 | 1,495 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 1,950 | 2,154 |
Tampa Electric Co. | 6.550% | 5/15/36 | 800 | 1,113 |
Tampa Electric Co. | 6.150% | 5/15/37 | 700 | 938 |
Tampa Electric Co. | 4.100% | 6/15/42 | 1,725 | 1,790 |
Toledo Edison Co. | 6.150% | 5/15/37 | 875 | 1,088 |
TransAlta Corp. | 6.500% | 3/15/40 | 1,000 | 1,075 |
4 Tri-State Generation & Transmission Association Inc. | 4.700% | 11/1/44 | 875 | 931 |
Union Electric Co. | 5.300% | 8/1/37 | 1,675 | 2,046 |
Union Electric Co. | 8.450% | 3/15/39 | 300 | 509 |
Union Electric Co. | 3.900% | 9/15/42 | 1,675 | 1,704 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 1,935 | 2,525 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,725 | 2,278 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 1,800 | 2,502 |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 1,460 | 2,454 |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 2,175 | 2,228 |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 1,700 | 1,916 |
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 2,000 | 2,195 |
Westar Energy Inc. | 4.125% | 3/1/42 | 1,235 | 1,299 |
Westar Energy Inc. | 4.100% | 4/1/43 | 1,700 | 1,774 |
Westar Energy Inc. | 4.625% | 9/1/43 | 2,000 | 2,284 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 450 | 580 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 850 | 1,122 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 325 | 327 |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 1,725 | 1,859 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 975 | 1,352 |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 2,025 | 2,097 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 850 | 854 |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 1,500 | 1,748 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 650 | 881 |
Xcel Energy Inc. | 4.800% | 9/15/41 | 600 | 669 |
Natural Gas (0.3%) | ||||
AGL Capital Corp. | 6.000% | 10/1/34 | 850 | 1,100 |
AGL Capital Corp. | 5.875% | 3/15/41 | 1,935 | 2,426 |
AGL Capital Corp. | 4.400% | 6/1/43 | 1,350 | 1,423 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 1,550 | 1,895 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,400 | 1,422 |
Atmos Energy Corp. | 4.125% | 10/15/44 | 1,450 | 1,492 |
KeySpan Corp. | 8.000% | 11/15/30 | 1,175 | 1,638 |
KeySpan Corp. | 5.803% | 4/1/35 | 1,000 | 1,206 |
Laclede Group Inc. | 4.700% | 8/15/44 | 850 | 885 |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,575 | 1,800 |
Piedmont Natural Gas Co. Inc. | 4.100% | 9/18/34 | 850 | 910 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 850 | 981 |
Sempra Energy | 6.000% | 10/15/39 | 5,550 | 6,855 |
Southern California Gas Co. | 5.750% | 11/15/35 | 75 | 98 |
Southern California Gas Co. | 3.750% | 9/15/42 | 1,350 | 1,339 |
Southern California Gas Co. | 4.450% | 3/15/44 | 725 | 814 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 3.400% | 3/1/25 | 500 | 504 |
American Water Capital Corp. | 6.593% | 10/15/37 | 2,675 | 3,705 |
American Water Capital Corp. | 4.300% | 12/1/42 | 1,250 | 1,278 |
United Utilities plc | 6.875% | 8/15/28 | 1,425 | 1,697 |
Veolia Environnement SA | 6.750% | 6/1/38 | 1,425 | 1,825 |
558,278 | ||||
Total Corporate Bonds (Cost $3,816,396) | 4,184,403 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (7.2%) | ||||
Asian Development Bank | 6.220% | 8/15/27 | 3,000 | 4,087 |
Asian Development Bank | 5.820% | 6/16/28 | 280 | 365 |
CNOOC Finance 2013 Ltd. | 4.250% | 5/9/43 | 2,525 | 2,484 |
86
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CNOOC Nexen Finance 2014 ULC | 4.875% | 4/30/44 | 2,300 | 2,486 |
Ecopetrol SA | 4.125% | 1/16/25 | 4,500 | 4,338 |
Ecopetrol SA | 7.375% | 9/18/43 | 3,000 | 3,209 |
Ecopetrol SA | 5.875% | 5/28/45 | 6,800 | 6,324 |
European Investment Bank | 4.875% | 2/15/36 | 1,755 | 2,266 |
Export-Import Bank of Korea | 3.250% | 8/12/26 | 3,100 | 3,118 |
Federative Republic of Brazil | 4.250% | 1/7/25 | 14,025 | 14,100 |
Federative Republic of Brazil | 8.750% | 2/4/25 | 3,382 | 4,540 |
Federative Republic of Brazil | 10.125% | 5/15/27 | 3,900 | 5,948 |
Federative Republic of Brazil | 12.250% | 3/6/30 | 900 | 1,629 |
Federative Republic of Brazil | 8.250% | 1/20/34 | 6,375 | 8,813 |
Federative Republic of Brazil | 7.125% | 1/20/37 | 7,195 | 9,199 |
3 Federative Republic of Brazil | 11.000% | 8/17/40 | 5,150 | 5,485 |
Federative Republic of Brazil | 5.625% | 1/7/41 | 8,900 | 9,523 |
Federative Republic of Brazil | 5.000% | 1/27/45 | 12,350 | 12,103 |
Hydro-Quebec | 8.500% | 12/1/29 | 1,421 | 2,180 |
Inter-American Development Bank | 7.000% | 6/15/25 | 750 | 1,027 |
Inter-American Development Bank | 3.875% | 10/28/41 | 1,730 | 1,957 |
Inter-American Development Bank | 3.200% | 8/7/42 | 1,750 | 1,757 |
Inter-American Development Bank | 4.375% | 1/24/44 | 3,475 | 4,249 |
International Bank for Reconstruction & Development | 8.875% | 3/1/26 | 1,000 | 1,562 |
International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 1,325 | 1,691 |
5 KFW | 0.000% | 4/18/36 | 11,500 | 6,204 |
5 KFW | 0.000% | 6/29/37 | 1,825 | 947 |
Korea Electric Power Corp. | 7.000% | 2/1/27 | 750 | 982 |
Nexen Energy ULC | 7.875% | 3/15/32 | 1,800 | 2,535 |
Nexen Energy ULC | 5.875% | 3/10/35 | 2,550 | 3,011 |
Nexen Energy ULC | 6.400% | 5/15/37 | 3,940 | 4,949 |
Nexen Energy ULC | 7.500% | 7/30/39 | 1,925 | 2,642 |
3 Oriental Republic of Uruguay | 7.625% | 3/21/36 | 2,743 | 3,710 |
3 Oriental Republic of Uruguay | 4.125% | 11/20/45 | 2,600 | 2,314 |
3 Oriental Republic of Uruguay | 5.100% | 6/18/50 | 7,950 | 7,930 |
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 9,120 | 10,533 |
Pemex Project Funding Master Trust | 6.625% | 6/15/38 | 2,075 | 2,374 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 4,100 | 3,341 |
Petrobras Global Finance BV | 7.250% | 3/17/44 | 1,910 | 1,880 |
Petrobras International Finance Co. SA | 6.875% | 1/20/40 | 8,300 | 7,664 |
Petrobras International Finance Co. SA | 6.750% | 1/27/41 | 8,070 | 7,466 |
4 Petroleos Mexicanos | 4.250% | 1/15/25 | 3,000 | 2,985 |
Petroleos Mexicanos | 6.500% | 6/2/41 | 9,900 | 11,436 |
Petroleos Mexicanos | 5.500% | 6/27/44 | 9,250 | 9,412 |
4 Petroleos Mexicanos | 5.500% | 6/27/44 | 5,600 | 5,698 |
Petroleos Mexicanos | 6.375% | 1/23/45 | 10,900 | 12,433 |
Province of British Columbia | 6.500% | 1/15/26 | 1,935 | 2,597 |
Province of British Columbia | 7.250% | 9/1/36 | 500 | 791 |
Quebec | 7.500% | 9/15/29 | 7,715 | 11,474 |
Region of Lombardy Italy | 5.804% | 10/25/32 | 2,375 | 2,597 |
Republic of Chile | 3.125% | 3/27/25 | 2,250 | 2,235 |
Republic of Chile | 3.625% | 10/30/42 | 2,700 | 2,442 |
Republic of Colombia | 10.375% | 1/28/33 | 700 | 1,093 |
Republic of Colombia | 7.375% | 9/18/37 | 5,997 | 8,000 |
Republic of Colombia | 6.125% | 1/18/41 | 9,425 | 11,284 |
3 Republic of Colombia | 5.625% | 2/26/44 | 8,975 | 10,052 |
Republic of Finland | 6.950% | 2/15/26 | 695 | 940 |
Republic of Italy | 5.375% | 6/15/33 | 5,825 | 6,862 |
Republic of Korea | 5.625% | 11/3/25 | 1,775 | 2,191 |
Republic of Korea | 4.125% | 6/10/44 | 3,200 | 3,788 |
Republic of Panama | 7.125% | 1/29/26 | 4,215 | 5,311 |
Republic of Panama | 8.875% | 9/30/27 | 1,960 | 2,800 |
Republic of Panama | 9.375% | 4/1/29 | 3,235 | 4,901 |
3 Republic of Panama | 6.700% | 1/26/36 | 6,751 | 8,619 |
3 Republic of Panama | 4.300% | 4/29/53 | 3,850 | 3,465 |
Republic of Peru | 7.350% | 7/21/25 | 7,700 | 10,222 |
Republic of Peru | 8.750% | 11/21/33 | 7,450 | 11,600 |
87
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
3 Republic of Peru | 6.550% | 3/14/37 | 3,825 | 4,944 |
Republic of Peru | 5.625% | 11/18/50 | 7,470 | 8,777 |
Republic of Philippines | 10.625% | 3/16/25 | 5,405 | 8,710 |
Republic of Philippines | 5.500% | 3/30/26 | 4,975 | 5,901 |
Republic of Philippines | 9.500% | 2/2/30 | 6,450 | 10,486 |
Republic of Philippines | 7.750% | 1/14/31 | 8,725 | 12,596 |
Republic of Philippines | 6.375% | 1/15/32 | 5,600 | 7,341 |
Republic of Philippines | 6.375% | 10/23/34 | 8,675 | 11,625 |
Republic of Philippines | 5.000% | 1/13/37 | 4,375 | 5,116 |
Republic of South Africa | 5.875% | 9/16/25 | 7,650 | 8,606 |
Republic of South Africa | 6.250% | 3/8/41 | 2,200 | 2,599 |
Republic of South Africa | 5.375% | 7/24/44 | 3,600 | 3,771 |
Republic of Turkey | 7.375% | 2/5/25 | 11,900 | 14,771 |
Republic of Turkey | 11.875% | 1/15/30 | 4,150 | 7,356 |
Republic of Turkey | 8.000% | 2/14/34 | 5,675 | 7,782 |
Republic of Turkey | 6.875% | 3/17/36 | 10,000 | 12,408 |
Republic of Turkey | 7.250% | 3/5/38 | 2,500 | 3,238 |
Republic of Turkey | 6.750% | 5/30/40 | 7,000 | 8,645 |
Republic of Turkey | 6.000% | 1/14/41 | 11,000 | 12,485 |
Republic of Turkey | 4.875% | 4/16/43 | 4,400 | 4,381 |
Republic of Turkey | 6.625% | 2/17/45 | 5,000 | 6,163 |
State of Israel | 4.500% | 1/30/43 | 4,250 | 4,310 |
Statoil ASA | 7.250% | 9/23/27 | 2,500 | 3,417 |
Statoil ASA | 6.800% | 1/15/28 | 185 | 250 |
Statoil ASA | 7.150% | 1/15/29 | 1,290 | 1,780 |
Statoil ASA | 5.100% | 8/17/40 | 3,250 | 3,753 |
Statoil ASA | 4.250% | 11/23/41 | 1,925 | 1,969 |
Statoil ASA | 3.950% | 5/15/43 | 3,870 | 3,839 |
Statoil ASA | 4.800% | 11/8/43 | 1,500 | 1,702 |
United Mexican States | 3.600% | 1/30/25 | 8,000 | 7,959 |
United Mexican States | 8.300% | 8/15/31 | 3,510 | 5,256 |
United Mexican States | 7.500% | 4/8/33 | 3,300 | 4,521 |
United Mexican States | 6.750% | 9/27/34 | 8,047 | 10,502 |
United Mexican States | 6.050% | 1/11/40 | 13,325 | 16,256 |
United Mexican States | 4.750% | 3/8/44 | 15,465 | 16,112 |
United Mexican States | 5.550% | 1/21/45 | 10,550 | 12,209 |
United Mexican States | 5.750% | 10/12/10 | 9,600 | 10,291 |
Total Sovereign Bonds (Cost $583,272) | 609,977 | |||
Taxable Municipal Bonds (5.9%) | ||||
Alameda County CA Joint Powers Authority Lease | ||||
Revenue | 7.046% | 12/1/44 | 1,100 | 1,503 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 6.449% | 2/15/44 | 680 | 898 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.834% | 2/15/41 | 645 | 979 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.053% | 2/15/43 | 550 | 706 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 5.939% | 2/15/47 | 3,200 | 4,033 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.270% | 2/15/50 | 450 | 579 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.499% | 2/15/50 | 175 | 261 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 8.084% | 2/15/50 | 2,995 | 4,883 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 600 | 763 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 1,095 | 1,536 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 4,700 | 6,632 |
88
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 2,850 | 4,243 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.907% | 10/1/50 | 1,540 | 2,273 |
California GO | 7.700% | 11/1/30 | 1,100 | 1,388 |
California GO | 7.500% | 4/1/34 | 9,080 | 13,588 |
California GO | 7.950% | 3/1/36 | 1,450 | 1,801 |
California GO | 7.550% | 4/1/39 | 10,100 | 15,569 |
California GO | 7.300% | 10/1/39 | 5,405 | 7,931 |
California GO | 7.350% | 11/1/39 | 3,675 | 5,425 |
California GO | 7.625% | 3/1/40 | 5,265 | 8,081 |
California GO | 7.600% | 11/1/40 | 5,250 | 8,311 |
California Public Works Board Lease Revenue (Various | ||||
Capital Projects) | 8.361% | 10/1/34 | 725 | 1,071 |
Central Puget Sound WA Regional Transit Authority | ||||
Sales & Use Tax Revenue | 5.491% | 11/1/39 | 800 | 1,010 |
Chicago IL Board of Education GO | 6.319% | 11/1/29 | 1,055 | 1,123 |
Chicago IL Board of Education GO | 6.138% | 12/1/39 | 800 | 797 |
Chicago IL GO | 7.781% | 1/1/35 | 675 | 807 |
Chicago IL GO | 5.432% | 1/1/42 | 900 | 842 |
Chicago IL GO | 6.314% | 1/1/44 | 1,800 | 1,899 |
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 1,625 | 2,015 |
Chicago IL O'Hare International Airport Revenue | 6.845% | 1/1/38 | 600 | 685 |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 1,150 | 1,556 |
Chicago IL Transit Authority Sales Tax Receipts | ||||
Revenue | 6.200% | 12/1/40 | 1,450 | 1,718 |
Chicago IL Transit Authority Transfer Tax Receipts | ||||
Revenue | 6.899% | 12/1/40 | 5,650 | 7,119 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 1,575 | 2,066 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 2,100 | 2,767 |
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 1,650 | 1,912 |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 1,000 | 1,466 |
Colorado Bridge Enterprise Revenue | 6.078% | 12/1/40 | 1,280 | 1,681 |
Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 6.218% | 6/1/39 | 1,190 | 1,458 |
Connecticut GO | 5.632% | 12/1/29 | 2,000 | 2,389 |
Connecticut GO | 5.090% | 10/1/30 | 1,750 | 1,995 |
Connecticut GO | 5.850% | 3/15/32 | 3,350 | 4,208 |
Connecticut Special Tax Revenue (Transportation | ||||
Infrastructure) | 5.459% | 11/1/30 | 900 | 1,064 |
Cook County IL GO | 6.229% | 11/15/34 | 1,050 | 1,162 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.960% | 11/1/39 | 1,220 | 1,579 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.792% | 11/1/41 | 245 | 328 |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 850 | 1,095 |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 890 | 1,052 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,570 | 2,132 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 1,665 | 2,039 |
Dallas TX Convention Center Hotel Development Corp. | ||||
Hotel Revenue | 7.088% | 1/1/42 | 1,240 | 1,671 |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 1,495 | 1,799 |
Denver CO City & County School District No. 1 COP | 4.242% | 12/15/37 | 800 | 823 |
Denver CO City & County School District No. 1 COP | 7.017% | 12/15/37 | 850 | 1,160 |
Denver CO City & County School District No. 1 GO | 5.664% | 12/1/33 | 525 | 634 |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 675 | 830 |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 735 | 910 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 5.522% | 10/1/44 | 575 | 726 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 4.814% | 10/1/14 | 1,575 | 1,784 |
East Baton Rouge LA Sewer Commission Revenue | 6.087% | 2/1/45 | 700 | 788 |
East Bay CA Municipal Utility District Water System | ||||
Revenue | 5.874% | 6/1/40 | 1,990 | 2,651 |
89
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 2,175 | 2,278 |
Georgia GO | 4.503% | 11/1/25 | 1,825 | 2,040 |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 5,975 | 7,977 |
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 2,825 | 3,712 |
Georgia Municipal Electric Power Authority Revenue | 7.055% | 4/1/57 | 850 | 1,034 |
Grand Parkway Transportation Corp. Texas System Toll | ||||
Revenue | 5.184% | 10/1/42 | 1,000 | 1,219 |
Houston TX GO | 6.290% | 3/1/32 | 885 | 1,113 |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 1,200 | 1,271 |
Illinois GO | 5.100% | 6/1/33 | 23,740 | 23,689 |
Illinois GO | 6.630% | 2/1/35 | 3,120 | 3,492 |
Illinois GO | 6.725% | 4/1/35 | 2,000 | 2,235 |
Illinois GO | 7.350% | 7/1/35 | 2,605 | 3,054 |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 1,495 | 1,947 |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 600 | 779 |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 1,075 | 1,417 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 3.985% | 1/1/29 | 1,225 | 1,271 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 4.532% | 1/1/35 | 1,050 | 1,141 |
Kansas Department of Transportation Highway | ||||
Revenue | 4.596% | 9/1/35 | 925 | 1,051 |
6 Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 500 | 583 |
La Paz County AZ Industrial Development Authority | ||||
Project Revenue (LCS Corrections Services, Inc. | ||||
Project) | 7.000% | 3/1/34 | 750 | 752 |
Las Vegas Valley Water District Nevada GO | 7.013% | 6/1/39 | 525 | 573 |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 1,300 | 1,843 |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 1,700 | 2,511 |
Los Angeles CA Department of Airports International | ||||
Airport Revenue | 6.582% | 5/15/39 | 305 | 400 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.716% | 7/1/39 | 2,375 | 3,021 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.008% | 7/1/39 | 795 | 1,012 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.166% | 7/1/40 | 625 | 728 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.574% | 7/1/45 | 1,575 | 2,273 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.603% | 7/1/50 | 1,500 | 2,210 |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,105 | 1,364 |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 3,795 | 4,814 |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 2,660 | 3,709 |
Los Angeles County CA Metropolitan Transportation | ||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 1,150 | 1,444 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 7.488% | 8/1/33 | 1,760 | 2,340 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 7.618% | 8/1/40 | 700 | 1,018 |
Maryland Transportation Authority Facilities Projects | ||||
Revenue | 5.888% | 7/1/43 | 850 | 1,109 |
Massachusetts GO | 4.500% | 8/1/31 | 1,500 | 1,664 |
Massachusetts GO | 5.456% | 12/1/39 | 3,850 | 4,832 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.715% | 8/15/39 | 2,130 | 2,736 |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 1,515 | 1,970 |
Massachusetts Water Pollution Abatement Trust | ||||
Revenue | 5.192% | 8/1/40 | 900 | 1,045 |
Metropolitan Government of Nashville & Davidson | ||||
County TN Convention Center Authority Tourism Tax | ||||
Revenue | 6.731% | 7/1/43 | 1,000 | 1,344 |
90
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Metropolitan Government of Nashville & Davidson | ||||
County TN GO | 5.707% | 7/1/34 | 1,200 | 1,417 |
Metropolitan Washington DC/VA Airports Authority | ||||
Dulles Toll Road Revenue | 7.462% | 10/1/46 | 1,055 | 1,444 |
Metropolitan Water District of Southern California | ||||
Revenue | 6.947% | 7/1/40 | 575 | 690 |
Mississippi GO | 5.245% | 11/1/34 | 1,100 | 1,322 |
Missouri Highways & Transportation Commission Road | ||||
Revenue | 5.445% | 5/1/33 | 600 | 731 |
7 New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 6,900 | 8,782 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.754% | 12/15/28 | 2,650 | 3,025 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 6.104% | 12/15/28 | 2,660 | 2,969 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 6.561% | 12/15/40 | 2,175 | 2,833 |
8 New Jersey Turnpike Authority Revenue | 4.252% | 1/1/16 | 30 | 30 |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 4,689 | 7,071 |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 5,760 | 8,416 |
New York City NY GO | 5.206% | 10/1/31 | 1,070 | 1,227 |
New York City NY GO | 6.646% | 12/1/31 | 400 | 480 |
New York City NY GO | 6.246% | 6/1/35 | 1,075 | 1,257 |
New York City NY GO | 5.968% | 3/1/36 | 1,265 | 1,624 |
New York City NY GO | 5.985% | 12/1/36 | 625 | 792 |
New York City NY GO | 5.517% | 10/1/37 | 1,875 | 2,300 |
New York City NY GO | 6.271% | 12/1/37 | 2,120 | 2,817 |
New York City NY GO | 5.846% | 6/1/40 | 400 | 515 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.750% | 6/15/41 | 900 | 1,180 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.790% | 6/15/41 | 500 | 567 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 1,205 | 1,603 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 800 | 1,075 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 1,475 | 1,994 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.440% | 6/15/43 | 1,995 | 2,549 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 2,570 | 3,457 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 6.828% | 7/15/40 | 800 | 1,066 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.267% | 5/1/27 | 200 | 238 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.767% | 8/1/36 | 775 | 971 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.508% | 8/1/37 | 2,215 | 2,759 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.572% | 11/1/38 | 1,150 | 1,436 |
New York Metropolitan Transportation Authority | ||||
Revenue | 6.687% | 11/15/40 | 730 | 1,006 |
New York Metropolitan Transportation Authority | ||||
Revenue | 6.814% | 11/15/40 | 65 | 91 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 4,025 | 6,152 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 575 | 759 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.548% | 11/15/31 | 500 | 649 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.871% | 11/15/39 | 700 | 874 |
91
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.648% | 11/15/39 | 1,750 | 2,382 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.668% | 11/15/39 | 2,345 | 3,226 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.500% | 3/15/30 | 2,750 | 3,293 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.289% | 3/15/33 | 500 | 593 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.427% | 3/15/39 | 500 | 613 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.628% | 3/15/39 | 2,000 | 2,495 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.389% | 3/15/40 | 635 | 802 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.600% | 3/15/40 | 200 | 254 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.770% | 3/15/39 | 1,625 | 2,005 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.838% | 3/15/40 | 625 | 787 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 1,025 | 1,038 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 925 | 1,133 |
North Carolina Turnpike Authority Revenue | 6.700% | 1/1/39 | 170 | 195 |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 3,635 | 5,281 |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 2,875 | 3,510 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 1,882 | 2,049 |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 900 | 972 |
Ohio Water Development Authority Water Pollution | ||||
Control Loan Fund Revenue | 4.879% | 12/1/34 | 1,125 | 1,263 |
Orange County CA Local Transportation Authority Sales | ||||
Tax Revenue | 6.908% | 2/15/41 | 1,060 | 1,512 |
Oregon Department of Transportation Highway User | ||||
Tax Revenue | 5.834% | 11/15/34 | 1,305 | 1,694 |
Oregon GO | 5.892% | 6/1/27 | 3,500 | 4,346 |
8 Oregon School Boards Association GO | 4.759% | 6/30/28 | 3,550 | 3,949 |
6 Oregon School Boards Association GO | 5.528% | 6/30/28 | 1,500 | 1,748 |
Pennsylvania GO | 4.650% | 2/15/26 | 2,100 | 2,322 |
Pennsylvania GO | 5.350% | 5/1/30 | 1,000 | 1,109 |
Pennsylvania Public School Building Authority Lease | ||||
Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 1,098 | 1,193 |
Pennsylvania Turnpike Commission Revenue | 6.105% | 12/1/39 | 600 | 797 |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 2,075 | 2,561 |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 850 | 1,064 |
Philadelphia PA Industrial Development Authority City | ||||
Service Agreement Revenue | 3.964% | 4/15/26 | 1,000 | 1,007 |
Phoenix AZ GO | 5.269% | 7/1/34 | 100 | 119 |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 2,260 | 2,916 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 3,295 | 4,070 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 1,025 | 1,266 |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 1,650 | 1,882 |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 1,450 | 1,586 |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 1,520 | 1,736 |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 7,325 | 7,730 |
Port of Seattle WA Revenue | 7.000% | 5/1/36 | 100 | 116 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 6.300% | 10/1/37 | 1,000 | 1,065 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 4.875% | 10/15/40 | 1,150 | 1,396 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 1,650 | 2,188 |
Regional Transportation District of Colorado Sales Tax | ||||
Revenue | 5.844% | 11/1/50 | 810 | 1,126 |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 1,185 | 1,501 |
Sacramento CA Municipal Utility District Revenue | 6.156% | 5/15/36 | 905 | 1,164 |
92
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Salt River Project Arizona Agricultural Improvement & | ||||
Power District Revenue | 4.839% | 1/1/41 | 1,100 | 1,306 |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 600 | 802 |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 1,190 | 1,550 |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 2,250 | 2,990 |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 1,100 | 1,216 |
San Diego County CA Regional Airport Authority | ||||
Revenue | 5.594% | 7/1/43 | 900 | 1,019 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 1,365 | 1,866 |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 2,450 | 3,328 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.000% | 11/1/40 | 1,325 | 1,734 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.950% | 11/1/50 | 1,515 | 2,244 |
Santa Clara Valley CA Transportation Authority Sales | ||||
Tax Revenue | 5.876% | 4/1/32 | 1,500 | 1,821 |
Sonoma County CA Pension Obligation Revenue | 6.000% | 12/1/29 | 1,000 | 1,176 |
South Carolina Public Service Authority Revenue | 5.784% | 12/1/41 | 250 | 306 |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 2,100 | 2,895 |
Texas GO | 5.517% | 4/1/39 | 3,490 | 4,596 |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 1,000 | 1,166 |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,650 | 4,379 |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 1,660 | 1,897 |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 950 | 1,115 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 1,035 | 1,126 |
University of California Regents General Revenue | 4.601% | 5/15/31 | 1,500 | 1,646 |
University of California Regents Medical Center | ||||
Revenue | 6.548% | 5/15/48 | 900 | 1,237 |
University of California Regents Medical Center | ||||
Revenue | 6.583% | 5/15/49 | 1,075 | 1,480 |
University of California Revenue | 6.270% | 5/15/31 | 500 | 570 |
University of California Revenue | 5.770% | 5/15/43 | 2,800 | 3,591 |
University of California Revenue | 4.765% | 5/15/44 | 1,400 | 1,502 |
University of California Revenue | 5.946% | 5/15/45 | 1,400 | 1,790 |
University of California Revenue | 4.858% | 5/15/12 | 3,500 | 3,712 |
University of Massachusetts Building Authority | ||||
Revenue | 5.450% | 11/1/40 | 575 | 694 |
University of North Carolina at Chapel Hill Revenue | 3.847% | 12/1/34 | 2,000 | 2,111 |
University of Southern California GO | 5.250% | 10/1/11 | 950 | 1,285 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.262% | 7/1/39 | 1,920 | 2,398 |
University of Texas System Revenue Financing System | ||||
Revenue | 6.276% | 8/15/41 | 890 | 1,021 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.134% | 8/15/42 | 550 | 674 |
University of Texas System Revenue Financing System | ||||
Revenue | 4.794% | 8/15/46 | 1,575 | 1,865 |
University of Virginia Revenue | 6.200% | 9/1/39 | 330 | 471 |
Utah GO | 3.539% | 7/1/25 | 1,200 | 1,265 |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 990 | 1,313 |
Virginia Commonwealth Transportation Board Revenue | 5.350% | 5/15/35 | 640 | 762 |
Washington Convention Center Public Facilities District | ||||
Revenue | 6.790% | 7/1/40 | 600 | 753 |
Washington GO | 5.090% | 8/1/33 | 945 | 1,103 |
Washington GO | 5.481% | 8/1/39 | 1,160 | 1,454 |
Washington GO | 5.140% | 8/1/40 | 1,210 | 1,476 |
6 Wisconsin GO | 5.700% | 5/1/26 | 1,745 | 2,066 |
Total Taxable Municipal Bonds (Cost $425,715) | 500,202 |
93
Vanguard® Long-Term Bond Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.4%) | |||
Money Market Fund (0.4%) | |||
9 Vanguard Market Liquidity Fund (Cost | |||
$32,169) | 0.126% | 32,169,204 | 32,169 |
Total Investments (99.3%) (Cost $7,640,365) | 8,454,741 | ||
Other Assets and Liabilities—Net (0.7%) | 61,633 | ||
Net Assets (100%) | 8,516,374 |
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 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 December 31, 2014, the aggregate value of these securities was $100,232,000, representing 1.2% of net assets.
5 Guaranteed by the Federal Republic of Germany.
6 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
7 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
8 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
9 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
94
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© 2015 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA3140_022015
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (64.1%) | ||||
U.S. Government Securities (39.9%) | ||||
United States Treasury Note/Bond | 9.875% | 11/15/15 | 152,400 | 164,997 |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 237,128 | 248,057 |
United States Treasury Note/Bond | 9.250% | 2/15/16 | 2,010 | 2,208 |
United States Treasury Note/Bond | 0.250% | 2/29/16 | 534,170 | 533,417 |
United States Treasury Note/Bond | 2.125% | 2/29/16 | 76,050 | 77,595 |
United States Treasury Note/Bond | 2.625% | 2/29/16 | 229,617 | 235,537 |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 404,735 | 404,735 |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 1,730 | 1,729 |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 714 | 730 |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 9,010 | 9,230 |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 461,885 | 461,091 |
United States Treasury Note/Bond | 0.375% | 4/30/16 | 431,350 | 431,147 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 78,680 | 80,291 |
United States Treasury Note/Bond | 2.625% | 4/30/16 | 245,800 | 252,867 |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 701,005 | 699,252 |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 272,035 | 289,334 |
United States Treasury Note/Bond | 7.250% | 5/15/16 | 7,835 | 8,552 |
United States Treasury Note/Bond | 0.375% | 5/31/16 | 492,815 | 492,431 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 17,435 | 17,748 |
United States Treasury Note/Bond | 0.500% | 6/15/16 | 137,580 | 137,665 |
United States Treasury Note/Bond | 0.500% | 6/30/16 | 2,050 | 2,050 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 123,634 | 125,469 |
United States Treasury Note/Bond | 3.250% | 6/30/16 | 364,675 | 379,433 |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 565,490 | 566,463 |
United States Treasury Note/Bond | 0.500% | 7/31/16 | 465,289 | 465,363 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 1,060 | 1,076 |
United States Treasury Note/Bond | 3.250% | 7/31/16 | 20,000 | 20,853 |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 337,575 | 337,997 |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 40,433 | 43,257 |
United States Treasury Note/Bond | 0.500% | 8/31/16 | 385,125 | 384,825 |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 141,570 | 142,588 |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 347,417 | 361,421 |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 150,000 | 150,750 |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 636,450 | 635,553 |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 283,555 | 285,594 |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 421,830 | 439,429 |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 220,425 | 220,460 |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 69,125 | 68,822 |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 177,445 | 178,692 |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 197,105 | 206,006 |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 285,250 | 285,204 |
United States Treasury Note/Bond | 4.625% | 11/15/16 | 125,541 | 134,859 |
United States Treasury Note/Bond | 7.500% | 11/15/16 | 84,617 | 95,326 |
United States Treasury Note/Bond | 0.500% | 11/30/16 | 250,447 | 249,821 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 44,186 | 44,372 |
United States Treasury Note/Bond | 2.750% | 11/30/16 | 258,402 | 268,537 |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 170,775 | 170,669 |
United States Treasury Note/Bond | 0.625% | 12/31/16 | 100,000 | 99,906 |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 1,000 | 1,004 |
United States Treasury Note/Bond | 3.250% | 12/31/16 | 80,885 | 84,929 |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 284,545 | 284,767 |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 95,500 | 95,768 |
United States Treasury Note/Bond | 3.125% | 1/31/17 | 306,380 | 321,555 |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 465,800 | 464,561 |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 81,215 | 87,839 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 132,889 | 133,200 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 105,230 | 110,261 |
United States Treasury Note/Bond | 0.750% | 3/15/17 | 467,160 | 467,015 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 304,735 | 306,070 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 136,440 | 143,902 |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 556,825 | 557,521 |
1
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 171,600 | 171,787 |
United States Treasury Note/Bond | 3.125% | 4/30/17 | 18,300 | 19,272 |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 218,285 | 218,353 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 41,205 | 44,727 |
United States Treasury Note/Bond | 8.750% | 5/15/17 | 182,935 | 216,835 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 336,725 | 334,833 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 245,675 | 256,807 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 314,310 | 314,115 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 175,590 | 174,877 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 574,125 | 596,550 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 312,075 | 311,635 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 164,146 | 162,249 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 150,094 | 155,535 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 433,815 | 432,661 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 613,460 | 673,463 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 115,270 | 138,829 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 180,075 | 178,303 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 16,275 | 16,646 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 425,957 | 426,089 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 162,425 | 160,624 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 39,575 | 40,478 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 300,250 | 299,031 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 368,797 | 365,743 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 242,827 | 248,441 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 578,381 | 575,489 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 143,935 | 156,866 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 474,265 | 467,967 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 609,000 | 607,666 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 3,235 | 3,200 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 471,000 | 467,100 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 450 | 470 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 126,705 | 135,733 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 154,735 | 152,583 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 296,045 | 310,199 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 143,065 | 140,875 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 35,725 | 34,999 |
United States Treasury Note/Bond | 2.625% | 4/30/18 | 36,750 | 38,415 |
United States Treasury Note/Bond | 3.875% | 5/15/18 | 271,335 | 294,909 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 20,800 | 26,214 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 474,155 | 469,489 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 370,220 | 383,700 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 137,070 | 137,328 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 397,275 | 411,676 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 189,490 | 189,638 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 58,950 | 60,838 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 15,516 | 17,009 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 567,800 | 570,372 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 260,750 | 260,424 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 56,960 | 56,586 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 179,595 | 181,869 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 308,619 | 336,203 |
United States Treasury Note/Bond | 9.000% | 11/15/18 | 25 | 32 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 457,545 | 454,113 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 57,775 | 57,531 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 11,440 | 11,456 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 14,800 | 14,657 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 101,075 | 101,106 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 207,455 | 218,218 |
United States Treasury Note/Bond | 8.875% | 2/15/19 | 72,020 | 93,446 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 91,425 | 90,897 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 51,050 | 51,058 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 34,345 | 34,329 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 270,785 | 271,884 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 74,706 | 73,830 |
2
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 274,000 | 274,855 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 368,664 | 392,974 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 116,950 | 114,848 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 273,875 | 273,190 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 25,950 | 25,313 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 239,660 | 240,221 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 83,406 | 80,800 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 229,396 | 229,683 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 734,467 | 800,914 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 56,486 | 72,973 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 386,344 | 386,583 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 37,900 | 36,846 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 340,496 | 342,304 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 495,010 | 491,763 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 536,640 | 581,245 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 147,175 | 142,714 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 497,625 | 494,281 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 67,000 | 65,314 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 395,000 | 394,321 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 160,508 | 158,200 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 187,140 | 205,122 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 15,165 | 20,257 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 134,216 | 131,301 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 209,925 | 203,562 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 316,180 | 344,734 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 299,675 | 293,867 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 288,675 | 290,433 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 105,103 | 106,318 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 338,387 | 353,137 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 183,040 | 251,365 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 119,600 | 121,600 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 104,880 | 105,864 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 169,200 | 168,327 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 465,099 | 485,154 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 208,400 | 210,061 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 342,370 | 352,268 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 63,886 | 64,775 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 323,052 | 355,609 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 209,534 | 282,871 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 426,058 | 428,721 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 363,901 | 371,291 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 369,325 | 376,652 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 374,455 | 401,543 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 189,475 | 190,244 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 394,450 | 398,951 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 224,325 | 228,567 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 115,690 | 160,592 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 374,915 | 375,736 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 363,491 | 367,239 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 257,265 | 257,707 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 331,012 | 331,942 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 53,976 | 75,027 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 371,098 | 368,719 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 295,100 | 297,821 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 25,800 | 25,836 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 10,000 | 9,823 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 4,710 | 4,576 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 3,014 | 4,142 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 184,400 | 178,724 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 6,566 | 9,265 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 134,251 | 133,601 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 163,535 | 225,806 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 690,748 | 671,967 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 516,785 | 533,017 |
3
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 397,528 | 529,146 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 418,462 | 440,172 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 458,579 | 482,297 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 471,635 | 485,562 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 280,958 | 286,007 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 727,923 | 733,040 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 1,325 | 1,958 |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 2,112 | 3,163 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 41,145 | 59,442 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 50,679 | 69,454 |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 32,360 | 47,226 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 66,914 | 96,335 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 92,940 | 134,327 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 38,525 | 52,635 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 3,605 | 4,837 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 102,050 | 137,289 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 135,935 | 198,933 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 86,438 | 129,265 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 264,495 | 368,971 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 96,714 | 129,129 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 74,268 | 97,256 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 16,268 | 21,693 |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 115,161 | 132,363 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 102,885 | 132,335 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 65,682 | 87,583 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 237,286 | 311,215 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 190,637 | 259,059 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 226,060 | 297,375 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 113,672 | 138,840 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 213,090 | 276,018 |
1 United States Treasury Note/Bond | 4.750% | 2/15/41 | 206,530 | 288,754 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 129,898 | 172,359 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 10 | 12 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 109,150 | 117,865 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 66,027 | 71,113 |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 119,354 | 125,508 |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 395,355 | 395,418 |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 528,189 | 527,941 |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 156,938 | 168,561 |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 316,260 | 323,572 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 281,650 | 331,378 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 296,127 | 356,093 |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 411,117 | 484,024 |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 179,981 | 202,704 |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 330,469 | 355,667 |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 229,825 | 241,424 |
54,568,851 | ||||
Agency Bonds and Notes (3.5%) | ||||
2 AID-Israel | 5.500% | 9/18/23 | 542 | 670 |
2 AID-Israel | 5.500% | 12/4/23 | 3,268 | 4,032 |
2 AID-Israel | 5.500% | 4/26/24 | 20,405 | 25,286 |
2 AID-Jordan | 1.945% | 6/23/19 | 7,750 | 7,789 |
2 AID-Jordan | 2.503% | 10/30/20 | 10,100 | 10,302 |
2 AID-Tunisia | 2.452% | 7/24/21 | 3,275 | 3,345 |
2 AID-Ukraine | 1.844% | 5/16/19 | 4,650 | 4,685 |
3 Federal Agricultural Mortgage Corp. | 2.000% | 7/27/16 | 3,575 | 3,652 |
3 Federal Farm Credit Banks | 1.050% | 3/28/16 | 4,000 | 4,031 |
3 Federal Farm Credit Banks | 5.125% | 8/25/16 | 9,075 | 9,747 |
3 Federal Farm Credit Banks | 4.875% | 1/17/17 | 8,030 | 8,699 |
3 Federal Farm Credit Banks | 1.125% | 9/22/17 | 5,000 | 4,997 |
3 Federal Farm Credit Banks | 1.125% | 12/18/17 | 16,800 | 16,785 |
3 Federal Farm Credit Banks | 5.150% | 11/15/19 | 15,675 | 18,127 |
3 Federal Farm Credit Banks | 3.500% | 12/20/23 | 5,000 | 5,416 |
3 Federal Home Loan Banks | 0.375% | 2/19/16 | 55,000 | 55,014 |
4
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
3 Federal Home Loan Banks | 3.125% | 3/11/16 | 26,225 | 27,070 |
3 Federal Home Loan Banks | 5.375% | 5/18/16 | 36,700 | 39,168 |
3 Federal Home Loan Banks | 5.625% | 6/13/16 | 3,705 | 3,977 |
3 Federal Home Loan Banks | 0.375% | 6/24/16 | 24,800 | 24,750 |
3 Federal Home Loan Banks | 0.500% | 9/28/16 | 89,275 | 89,102 |
3 Federal Home Loan Banks | 5.125% | 10/19/16 | 15,845 | 17,103 |
3 Federal Home Loan Banks | 0.625% | 11/23/16 | 50,000 | 49,946 |
3 Federal Home Loan Banks | 4.750% | 12/16/16 | 21,510 | 23,189 |
3 Federal Home Loan Banks | 0.625% | 12/28/16 | 16,200 | 16,175 |
3 Federal Home Loan Banks | 4.875% | 5/17/17 | 114,335 | 124,983 |
3 Federal Home Loan Banks | 0.875% | 5/24/17 | 40,000 | 40,002 |
3 Federal Home Loan Banks | 1.000% | 6/21/17 | 129,105 | 129,412 |
3 Federal Home Loan Banks | 5.000% | 11/17/17 | 7,580 | 8,415 |
3 Federal Home Loan Banks | 2.750% | 6/8/18 | 26,950 | 28,188 |
3 Federal Home Loan Banks | 5.375% | 8/15/18 | 4,750 | 5,415 |
3 Federal Home Loan Banks | 1.875% | 3/13/20 | 795 | 796 |
3 Federal Home Loan Banks | 4.125% | 3/13/20 | 8,030 | 8,939 |
3 Federal Home Loan Banks | 3.375% | 6/12/20 | 25,725 | 27,691 |
3 Federal Home Loan Banks | 5.250% | 12/11/20 | 6,850 | 8,086 |
3 Federal Home Loan Banks | 2.250% | 6/11/21 | 30,750 | 30,965 |
3 Federal Home Loan Banks | 5.625% | 6/11/21 | 19,450 | 23,517 |
3 Federal Home Loan Banks | 2.125% | 3/10/23 | 32,200 | 31,638 |
3 Federal Home Loan Banks | 5.375% | 8/15/24 | 24,600 | 30,399 |
3 Federal Home Loan Banks | 5.500% | 7/15/36 | 19,780 | 27,118 |
4 Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 48,925 | 51,957 |
4 Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 26,000 | 26,035 |
4 Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 119,903 | 123,297 |
4 Federal Home Loan Mortgage Corp. | 5.500% | 7/18/16 | 91,500 | 98,512 |
4 Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 49,725 | 50,879 |
4 Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 38,050 | 38,213 |
4 Federal Home Loan Mortgage Corp. | 5.000% | 2/16/17 | 28,225 | 30,744 |
4 Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 39,450 | 39,519 |
4 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 35,000 | 35,127 |
4 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 10,000 | 10,940 |
4 Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 90,075 | 90,784 |
4 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 51,125 | 51,210 |
4 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 122,000 | 122,045 |
4 Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 33,450 | 37,359 |
4 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 87,700 | 87,568 |
4 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 26,045 | 28,999 |
4 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 30,025 | 29,637 |
4 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 28,400 | 28,082 |
4 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 22,750 | 25,470 |
4 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 60,758 | 66,214 |
4 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 62,007 | 62,452 |
4 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 31,840 | 31,251 |
4 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 103,120 | 100,960 |
4 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 63,460 | 62,028 |
4 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 85,494 | 86,781 |
4 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 3,606 | 5,302 |
4 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 61,654 | 92,463 |
4 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 8,104 | 11,828 |
4 Federal National Mortgage Assn. | 8.200% | 3/10/16 | 50 | 55 |
4 Federal National Mortgage Assn. | 5.000% | 3/15/16 | 5,850 | 6,172 |
4 Federal National Mortgage Assn. | 0.500% | 3/30/16 | 43,425 | 43,461 |
4 Federal National Mortgage Assn. | 2.375% | 4/11/16 | 195,490 | 200,313 |
4 Federal National Mortgage Assn. | 0.375% | 7/5/16 | 30,000 | 29,934 |
4 Federal National Mortgage Assn. | 0.625% | 8/26/16 | 55,450 | 55,479 |
4 Federal National Mortgage Assn. | 5.250% | 9/15/16 | 12,850 | 13,856 |
4 Federal National Mortgage Assn. | 1.250% | 9/28/16 | 64,865 | 65,568 |
4 Federal National Mortgage Assn. | 1.375% | 11/15/16 | 74,150 | 75,116 |
4 Federal National Mortgage Assn. | 1.250% | 1/30/17 | 25,100 | 25,352 |
4 Federal National Mortgage Assn. | 5.000% | 2/13/17 | 79,525 | 86,596 |
4 Federal National Mortgage Assn. | 0.750% | 4/20/17 | 13,125 | 13,091 |
5
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Federal National Mortgage Assn. | 1.125% | 4/27/17 | 117,325 | 118,030 |
4 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 142,481 | 156,037 |
4 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 91,570 | 101,331 |
4 | Federal National Mortgage Assn. | 0.875% | 8/28/17 | 7,975 | 7,948 |
4 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 25,000 | 24,976 |
4 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 82,000 | 81,500 |
4 | Federal National Mortgage Assn. | 0.875% | 12/20/17 | 50,000 | 49,607 |
4 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 79,000 | 78,208 |
4 | Federal National Mortgage Assn. | 0.875% | 5/21/18 | 134,005 | 132,057 |
4 | Federal National Mortgage Assn. | 1.875% | 9/18/18 | 41,050 | 41,744 |
4 | Federal National Mortgage Assn. | 1.625% | 11/27/18 | 70,460 | 70,858 |
4 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 53,050 | 53,671 |
4 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 47,825 | 48,048 |
4 | Federal National Mortgage Assn. | 1.750% | 9/12/19 | 67,575 | 67,662 |
4 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 14,545 | 13,115 |
4 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 61,450 | 61,447 |
4 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 31,375 | 31,844 |
4 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 3,995 | 5,581 |
4 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 26,389 | 40,312 |
4 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 47,677 | 73,862 |
4 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 24,700 | 36,652 |
4 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 7,765 | 10,910 |
3 | Financing Corp. | 9.800% | 4/6/18 | 1,750 | 2,207 |
3 | Financing Corp. | 10.350% | 8/3/18 | 4,900 | 6,383 |
3 | Financing Corp. | 9.650% | 11/2/18 | 10,535 | 13,657 |
3 | Financing Corp. | 9.700% | 4/5/19 | 1,575 | 2,089 |
Private Export Funding Corp. | 1.375% | 2/15/17 | 2,025 | 2,044 | |
Private Export Funding Corp. | 2.250% | 12/15/17 | 4,600 | 4,729 | |
Private Export Funding Corp. | 1.875% | 7/15/18 | 4,300 | 4,317 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 8,700 | 9,534 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 13,800 | 13,425 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 8,000 | 8,077 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 10,975 | 12,249 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 2,625 | 2,663 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 8,300 | 7,971 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 4,200 | 4,460 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 8,300 | 8,072 | |
Resolution Funding Corp. | 8.125% | 10/15/19 | 450 | 579 | |
Resolution Funding Corp. | 8.875% | 7/15/20 | 180 | 244 | |
Resolution Funding Corp. | 8.625% | 1/15/30 | 110 | 187 | |
Small Business Administration Variable Rate Interest | |||||
Only Custodial Receipts (U.S. Government | |||||
Guaranteed) | 2.719% | 7/15/17 | 4,449 | 5 | |
3 | Tennessee Valley Authority | 5.500% | 7/18/17 | 17,208 | 19,109 |
3 | Tennessee Valley Authority | 4.500% | 4/1/18 | 6,325 | 6,974 |
3 | Tennessee Valley Authority | 1.750% | 10/15/18 | 6,460 | 6,504 |
3 | Tennessee Valley Authority | 3.875% | 2/15/21 | 9,400 | 10,397 |
3 | Tennessee Valley Authority | 1.875% | 8/15/22 | 7,300 | 7,088 |
3 | Tennessee Valley Authority | 2.875% | 9/15/24 | 15,000 | 15,273 |
3 | Tennessee Valley Authority | 6.750% | 11/1/25 | 2,565 | 3,497 |
3 | Tennessee Valley Authority | 7.125% | 5/1/30 | 27,055 | 40,130 |
3 | Tennessee Valley Authority | 4.650% | 6/15/35 | 15,169 | 18,044 |
3 | Tennessee Valley Authority | 5.880% | 4/1/36 | 10,200 | 13,927 |
3 | Tennessee Valley Authority | 6.150% | 1/15/38 | 920 | 1,311 |
3 | Tennessee Valley Authority | 5.500% | 6/15/38 | 2,550 | 3,376 |
3 | Tennessee Valley Authority | 5.250% | 9/15/39 | 9,028 | 11,624 |
3 | Tennessee Valley Authority | 3.500% | 12/15/42 | 9,000 | 8,935 |
3 | Tennessee Valley Authority | 4.875% | 1/15/48 | 6,951 | 8,304 |
3 | Tennessee Valley Authority | 5.375% | 4/1/56 | 6,250 | 8,163 |
3 | Tennessee Valley Authority | 4.625% | 9/15/60 | 7,468 | 8,476 |
4,738,694 | |||||
Conventional Mortgage-Backed Securities (20.3%) | |||||
4,5 | Fannie Mae Pool | 2.000% | 8/1/28–10/1/28 | 86,696 | 86,536 |
4,5,6 | Fannie Mae Pool | 2.500% | 8/1/27–1/1/44 | 763,369 | 775,934 |
6
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5,6 | Fannie Mae Pool | 3.000% | 9/1/20–1/1/45 | 2,057,031 | 2,109,378 |
4,5,6 | Fannie Mae Pool | 3.500% | 10/1/18–1/1/45 | 2,351,661 | 2,465,366 |
4,5,6 | Fannie Mae Pool | 4.000% | 6/1/18–1/1/45 | 2,193,181 | 2,347,001 |
4,5,6 | Fannie Mae Pool | 4.500% | 1/1/18–1/1/45 | 1,525,601 | 1,657,271 |
4,5,6 | Fannie Mae Pool | 5.000% | 3/1/17–1/1/45 | 932,391 | 1,029,282 |
4,5 | Fannie Mae Pool | 5.500% | 11/1/16–5/1/41 | 675,748 | 755,927 |
4,5 | Fannie Mae Pool | 6.000% | 10/1/15–5/1/41 | 464,873 | 527,221 |
4,5 | Fannie Mae Pool | 6.500% | 5/1/15–10/1/39 | 141,200 | 160,661 |
4,5 | Fannie Mae Pool | 7.000% | 5/1/15–11/1/38 | 48,229 | 54,821 |
4,5 | Fannie Mae Pool | 7.500% | 4/1/15–12/1/32 | 3,839 | 4,270 |
4,5 | Fannie Mae Pool | 8.000% | 6/1/15–9/1/31 | 1,288 | 1,440 |
4,5 | Fannie Mae Pool | 8.500% | 9/1/15–5/1/32 | 534 | 608 |
4,5 | Fannie Mae Pool | 9.000% | 2/1/17–8/1/30 | 149 | 157 |
4,5 | Fannie Mae Pool | 9.500% | 3/1/17–11/1/25 | 185 | 213 |
4,5 | Fannie Mae Pool | 10.000% | 10/1/16–12/1/17 | 4 | 4 |
4,5 | Freddie Mac Gold Pool | 2.000% | 7/1/28–8/1/28 | 37,242 | 37,278 |
4,5,6 | Freddie Mac Gold Pool | 2.500% | 5/1/28–3/1/43 | 534,394 | 543,052 |
4,5,6 | Freddie Mac Gold Pool | 3.000% | 3/1/21–1/1/45 | 1,094,550 | 1,122,166 |
4,5,6 | Freddie Mac Gold Pool | 3.500% | 9/1/25–1/1/45 | 1,389,770 | 1,453,333 |
4,5,6 | Freddie Mac Gold Pool | 4.000% | 3/1/15–1/1/45 | 1,404,156 | 1,499,737 |
4,5,6 | Freddie Mac Gold Pool | 4.500% | 12/1/17–1/1/45 | 935,318 | 1,013,963 |
4,5 | Freddie Mac Gold Pool | 5.000% | 11/1/15–8/1/44 | 553,081 | 609,134 |
4,5 | Freddie Mac Gold Pool | 5.500% | 3/1/16–6/1/41 | 426,996 | 478,244 |
4,5 | Freddie Mac Gold Pool | 6.000% | 4/1/15–5/1/40 | 268,479 | 304,290 |
4,5 | Freddie Mac Gold Pool | 6.500% | 2/1/15–9/1/39 | 81,273 | 92,604 |
4,5 | Freddie Mac Gold Pool | 7.000% | 4/1/15–12/1/38 | 27,334 | 31,160 |
4,5 | Freddie Mac Gold Pool | 7.500% | 3/1/15–2/1/32 | 2,226 | 2,500 |
4,5 | Freddie Mac Gold Pool | 8.000% | 5/1/15–1/1/32 | 2,327 | 2,617 |
4,5 | Freddie Mac Gold Pool | 8.500% | 3/1/21–7/1/31 | 414 | 470 |
4,5 | Freddie Mac Gold Pool | 9.000% | 7/1/20–3/1/31 | 305 | 340 |
4,5 | Freddie Mac Gold Pool | 9.500% | 4/1/16–6/1/25 | 48 | 52 |
4,5 | Freddie Mac Gold Pool | 10.000% | 10/1/16–4/1/25 | 7 | 7 |
4,5 | Freddie Mac Non Gold Pool | 8.000% | 2/1/17–6/1/17 | 3 | 3 |
4,5 | Freddie Mac Non Gold Pool | 8.500% | 6/1/18 | 8 | 9 |
4,5 | Freddie Mac Non Gold Pool | 9.500% | 10/1/18–3/1/20 | 2 | 3 |
5 | Ginnie Mae I Pool | 3.000% | 1/15/26–12/15/44 | 247,558 | 254,164 |
5,6 | Ginnie Mae I Pool | 3.500% | 11/15/25–1/1/45 | 254,423 | 268,008 |
5,6 | Ginnie Mae I Pool | 4.000% | 8/15/18–1/1/45 | 375,572 | 403,707 |
5,6 | Ginnie Mae I Pool | 4.500% | 5/15/18–1/1/45 | 525,677 | 575,909 |
5 | Ginnie Mae I Pool | 4.750% | 8/15/33 | 14 | 15 |
5 | Ginnie Mae I Pool | 5.000% | 1/15/17–1/1/45 | 301,326 | 332,845 |
5 | Ginnie Mae I Pool | 5.500% | 3/15/15–2/15/41 | 156,281 | 175,399 |
5 | Ginnie Mae I Pool | 6.000% | 5/15/16–6/15/41 | 123,002 | 139,491 |
5 | Ginnie Mae I Pool | 6.500% | 2/15/16–1/15/39 | 34,467 | 38,989 |
5 | Ginnie Mae I Pool | 7.000% | 6/15/16–9/15/36 | 8,264 | 9,239 |
5 | Ginnie Mae I Pool | 7.250% | 9/15/25 | 33 | 35 |
5 | Ginnie Mae I Pool | 7.500% | 5/15/17–6/15/32 | 3,552 | 3,925 |
5 | Ginnie Mae I Pool | 7.750% | 2/15/30 | 2 | 3 |
5 | Ginnie Mae I Pool | 8.000% | 1/15/17–12/15/30 | 2,417 | 2,665 |
5 | Ginnie Mae I Pool | 8.250% | 6/15/27 | 2 | 2 |
5 | Ginnie Mae I Pool | 8.500% | 1/15/17–3/15/31 | 516 | 552 |
5 | Ginnie Mae I Pool | 9.000% | 6/15/16–2/15/31 | 653 | 695 |
5 | Ginnie Mae I Pool | 9.500% | 7/15/16–9/15/25 | 194 | 216 |
5 | Ginnie Mae I Pool | 10.000% | 2/15/18–2/15/25 | 65 | 71 |
5 | Ginnie Mae I Pool | 10.500% | 7/15/15–4/15/25 | 36 | 38 |
5 | Ginnie Mae II Pool | 2.500% | 2/20/28–6/20/28 | 27,410 | 28,244 |
5,6 | Ginnie Mae II Pool | 3.000% | 10/20/26–1/1/45 | 951,171 | 975,970 |
5,6 | Ginnie Mae II Pool | 3.500% | 9/20/25–1/1/45 | 1,793,610 | 1,884,823 |
5,6 | Ginnie Mae II Pool | 4.000% | 9/20/25–1/1/45 | 1,468,831 | 1,575,398 |
7
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,6 | Ginnie Mae II Pool | 4.500% | 4/20/18–1/1/45 | 995,725 | 1,091,216 |
5,6 | Ginnie Mae II Pool | 5.000% | 12/20/32–1/1/45 | 495,909 | 548,509 |
5 | Ginnie Mae II Pool | 5.500% | 8/20/23–3/20/44 | 143,753 | 159,221 |
5 | Ginnie Mae II Pool | 6.000% | 7/20/23–12/20/41 | 71,531 | 81,012 |
5 | Ginnie Mae II Pool | 6.500% | 12/20/23–9/20/40 | 29,324 | 33,429 |
5 | Ginnie Mae II Pool | 7.000% | 3/20/28–11/20/38 | 5,166 | 5,855 |
5 | Ginnie Mae II Pool | 7.500% | 8/20/30 | 6 | 7 |
5 | Ginnie Mae II Pool | 8.500% | 10/20/30 | 14 | 16 |
27,756,720 | |||||
Nonconventional Mortgage-Backed Securities (0.4%) | |||||
4,5,7 | Fannie Mae Pool | 1.467% | 4/1/37 | 1,950 | 2,030 |
4,5,7 | Fannie Mae Pool | 1.793% | 7/1/34 | 422 | 450 |
4,5,7 | Fannie Mae Pool | 1.817% | 9/1/37 | 2,118 | 2,279 |
4,5,7 | Fannie Mae Pool | 1.958% | 1/1/35 | 265 | 276 |
4,5,7 | Fannie Mae Pool | 2.063% | 10/1/34 | 23 | 24 |
4,5,7 | Fannie Mae Pool | 2.080% | 8/1/35 | 2,274 | 2,426 |
4,5,7 | Fannie Mae Pool | 2.085% | 2/1/37 | 5 | 5 |
4,5,7 | Fannie Mae Pool | 2.106% | 11/1/36 | 1,278 | 1,362 |
4,5 | Fannie Mae Pool | 2.109% | 3/1/43 | 11,479 | 11,754 |
4,5,7 | Fannie Mae Pool | 2.114% | 12/1/35 | 9 | 10 |
4,5,7 | Fannie Mae Pool | 2.165% | 6/1/36 | 50 | 53 |
4,5,7 | Fannie Mae Pool | 2.188% | 7/1/35 | 1,333 | 1,400 |
4,5,7 | Fannie Mae Pool | 2.191% | 10/1/39 | 1,756 | 1,811 |
4,5 | Fannie Mae Pool | 2.193% | 6/1/43 | 10,781 | 11,057 |
4,5 | Fannie Mae Pool | 2.194% | 12/1/41 | 6,021 | 6,218 |
4,5,7 | Fannie Mae Pool | 2.195% | 7/1/39–6/1/42 | 7,237 | 7,530 |
4,5 | Fannie Mae Pool | 2.202% | 9/1/42 | 9,229 | 9,584 |
4,5,7 | Fannie Mae Pool | 2.206% | 12/1/33 | 837 | 889 |
4,5,7 | Fannie Mae Pool | 2.224% | 8/1/37 | 2,760 | 2,923 |
4,5,7 | Fannie Mae Pool | 2.228% | 2/1/36 | 2,276 | 2,321 |
4,5,7 | Fannie Mae Pool | 2.231% | 4/1/36 | 341 | 359 |
4,5 | Fannie Mae Pool | 2.232% | 10/1/42 | 7,136 | 7,251 |
4,5,7 | Fannie Mae Pool | 2.235% | 6/1/37 | 1,757 | 1,860 |
4,5,7 | Fannie Mae Pool | 2.248% | 9/1/34 | 971 | 1,025 |
4,5,7 | Fannie Mae Pool | 2.262% | 11/1/33 | 601 | 641 |
4,5 | Fannie Mae Pool | 2.265% | 7/1/43 | 12,999 | 13,029 |
4,5,7 | Fannie Mae Pool | 2.304% | 11/1/39 | 1,110 | 1,144 |
4,5,7 | Fannie Mae Pool | 2.310% | 5/1/36 | 137 | 147 |
4,5,7 | Fannie Mae Pool | 2.315% | 12/1/36 | 17 | 18 |
4,5,7 | Fannie Mae Pool | 2.325% | 7/1/37 | 508 | 526 |
4,5,7 | Fannie Mae Pool | 2.337% | 4/1/36 | 949 | 1,009 |
4,5,7 | Fannie Mae Pool | 2.346% | 4/1/37 | 335 | 355 |
4,5,7 | Fannie Mae Pool | 2.356% | 5/1/35 | 1,687 | 1,778 |
4,5,7 | Fannie Mae Pool | 2.360% | 4/1/37 | 455 | 493 |
4,5,7 | Fannie Mae Pool | 2.374% | 2/1/36 | 1,200 | 1,284 |
4,5,7 | Fannie Mae Pool | 2.391% | 10/1/37 | 71 | 74 |
4,5,7 | Fannie Mae Pool | 2.392% | 5/1/33–1/1/37 | 2,345 | 2,534 |
4,5,7 | Fannie Mae Pool | 2.393% | 12/1/35 | 1,507 | 1,604 |
4,5,7 | Fannie Mae Pool | 2.400% | 11/1/32 | 17 | 19 |
4,5 | Fannie Mae Pool | 2.402% | 5/1/42 | 15,406 | 15,602 |
4,5 | Fannie Mae Pool | 2.407% | 7/1/42 | 9,673 | 9,975 |
4,5,7 | Fannie Mae Pool | 2.419% | 11/1/34 | 1,239 | 1,296 |
4,5,7 | Fannie Mae Pool | 2.428% | 11/1/39 | 2,052 | 2,116 |
4,5,7 | Fannie Mae Pool | 2.435% | 9/1/33–11/1/33 | 1,681 | 1,825 |
4,5,7 | Fannie Mae Pool | 2.438% | 1/1/35 | 1,891 | 2,035 |
4,5,7 | Fannie Mae Pool | 2.440% | 11/1/36 | 47 | 49 |
4,5 | Fannie Mae Pool | 2.443% | 5/1/43 | 20,843 | 21,573 |
4,5 | Fannie Mae Pool | 2.449% | 10/1/42 | 8,808 | 9,080 |
4,5 | Fannie Mae Pool | 2.464% | 9/1/43 | 1,671 | 1,714 |
4,5 | Fannie Mae Pool | 2.493% | 10/1/40 | 5,196 | 5,493 |
4,5 | Fannie Mae Pool | 2.506% | 12/1/40 | 3,648 | 3,858 |
4,5,7 | Fannie Mae Pool | 2.507% | 1/1/37 | 111 | 117 |
4,5,7 | Fannie Mae Pool | 2.551% | 7/1/42 | 2,864 | 3,011 |
4,5,7 | Fannie Mae Pool | 2.590% | 4/1/37 | 106 | 111 |
8
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Fannie Mae Pool | 2.604% | 12/1/41 | 6,144 | 6,359 |
4,5 | Fannie Mae Pool | 2.624% | 11/1/41 | 5,849 | 6,185 |
4,5 | Fannie Mae Pool | 2.673% | 1/1/42 | 5,852 | 6,193 |
4,5,7 | Fannie Mae Pool | 2.691% | 10/1/36 | 1,090 | 1,187 |
4,5 | Fannie Mae Pool | 2.743% | 12/1/43 | 5,992 | 6,201 |
4,5 | Fannie Mae Pool | 2.767% | 3/1/41 | 4,692 | 5,018 |
4,5 | Fannie Mae Pool | 2.775% | 3/1/42 | 8,499 | 8,754 |
4,5 | Fannie Mae Pool | 2.793% | 1/1/42 | 5,499 | 5,758 |
4,5 | Fannie Mae Pool | 2.810% | 11/1/41 | 6,093 | 6,454 |
4,5,7 | Fannie Mae Pool | 2.846% | 5/1/42 | 919 | 958 |
4,5 | Fannie Mae Pool | 2.911% | 12/1/40 | 2,865 | 3,006 |
4,5 | Fannie Mae Pool | 2.971% | 3/1/42 | 1,602 | 1,660 |
4,5 | Fannie Mae Pool | 2.993% | 9/1/43 | 12,099 | 12,507 |
4,5 | Fannie Mae Pool | 3.050% | 2/1/42 | 6,011 | 6,212 |
4,5 | Fannie Mae Pool | 3.060% | 2/1/41-3/1/41 | 3,031 | 3,184 |
4,5 | Fannie Mae Pool | 3.065% | 3/1/41 | 6,070 | 6,405 |
4,5 | Fannie Mae Pool | 3.128% | 2/1/41 | 6,150 | 6,373 |
4,5 | Fannie Mae Pool | 3.163% | 12/1/40 | 2,986 | 3,160 |
4,5 | Fannie Mae Pool | 3.218% | 9/1/40 | 4,292 | 4,531 |
4,5 | Fannie Mae Pool | 3.228% | 12/1/40 | 3,671 | 3,876 |
4,5 | Fannie Mae Pool | 3.230% | 8/1/40 | 4,910 | 5,130 |
4,5,7 | Fannie Mae Pool | 3.241% | 1/1/40 | 2,428 | 2,508 |
4,5 | Fannie Mae Pool | 3.251% | 10/1/40 | 3,605 | 3,780 |
4,5 | Fannie Mae Pool | 3.265% | 5/1/41 | 4,969 | 5,276 |
4,5 | Fannie Mae Pool | 3.318% | 11/1/40 | 2,047 | 2,154 |
4,5 | Fannie Mae Pool | 3.331% | 8/1/42 | 7,926 | 8,193 |
4,5,7 | Fannie Mae Pool | 3.332% | 1/1/35 | 6 | 7 |
4,5 | Fannie Mae Pool | 3.431% | 5/1/40 | 1,705 | 1,772 |
4,5 | Fannie Mae Pool | 3.489% | 5/1/40 | 1,030 | 1,088 |
4,5 | Fannie Mae Pool | 3.534% | 6/1/41 | 1,384 | 1,463 |
4,5 | Fannie Mae Pool | 3.542% | 7/1/41 | 8,412 | 8,624 |
4,5 | Fannie Mae Pool | 3.580% | 8/1/39 | 2,002 | 2,119 |
4,5 | Fannie Mae Pool | 3.623% | 4/1/41 | 4,522 | 4,761 |
4,5 | Fannie Mae Pool | 3.735% | 6/1/41 | 5,243 | 5,563 |
4,5 | Fannie Mae Pool | 3.808% | 9/1/40 | 6,015 | 6,337 |
4,5 | Fannie Mae Pool | 4.259% | 12/1/39 | 4,248 | 4,347 |
4,5 | Fannie Mae Pool | 4.555% | 7/1/38 | 448 | 468 |
4,5,7 | Fannie Mae Pool | 4.958% | 6/1/35 | 13 | 13 |
4,5 | Fannie Mae Pool | 5.102% | 3/1/38 | 1,538 | 1,614 |
4,5,7 | Fannie Mae Pool | 5.146% | 11/1/39 | 2,201 | 2,327 |
4,5,7 | Fannie Mae Pool | 5.153% | 8/1/39 | 4,960 | 5,189 |
4,5 | Fannie Mae Pool | 5.159% | 11/1/35 | 3 | 3 |
4,5 | Fannie Mae Pool | 5.259% | 7/1/38 | 427 | 449 |
4,5 | Fannie Mae Pool | 5.278% | 7/1/36 | 897 | 921 |
4,5 | Fannie Mae Pool | 5.555% | 5/1/36 | 845 | 886 |
4,5 | Fannie Mae Pool | 5.568% | 4/1/37 | 1,433 | 1,532 |
4,5 | Fannie Mae Pool | 5.762% | 10/1/37 | 2,043 | 2,172 |
4,5 | Fannie Mae Pool | 5.784% | 12/1/37 | 1,992 | 2,138 |
4,5 | Fannie Mae Pool | 6.150% | 10/1/37 | 2,986 | 3,104 |
4,5,7 | Freddie Mac Non Gold Pool | 1.485% | 10/1/37 | 57 | 58 |
4,5,7 | Freddie Mac Non Gold Pool | 1.730% | 6/1/37 | 1,826 | 1,879 |
4,5,7 | Freddie Mac Non Gold Pool | 1.838% | 5/1/37 | 119 | 126 |
4,5,7 | Freddie Mac Non Gold Pool | 1.917% | 8/1/37 | 96 | 99 |
4,5,7 | Freddie Mac Non Gold Pool | 1.949% | 3/1/37 | 609 | 648 |
4,5,7 | Freddie Mac Non Gold Pool | 2.040% | 1/1/37 | 2,194 | 2,326 |
4,5,7 | Freddie Mac Non Gold Pool | 2.160% | 10/1/37 | 1,456 | 1,533 |
4,5,7 | Freddie Mac Non Gold Pool | 2.165% | 7/1/35 | 1,212 | 1,282 |
4,5,7 | Freddie Mac Non Gold Pool | 2.175% | 4/1/37 | 44 | 46 |
4,5,7 | Freddie Mac Non Gold Pool | 2.195% | 3/1/37 | 123 | 131 |
4,5,7 | Freddie Mac Non Gold Pool | 2.250% | 6/1/35 | 6 | 6 |
4,5,7 | Freddie Mac Non Gold Pool | 2.258% | 12/1/36 | 788 | 828 |
4,5,7 | Freddie Mac Non Gold Pool | 2.259% | 3/1/37 | 428 | 450 |
4,5,7 | Freddie Mac Non Gold Pool | 2.276% | 12/1/34 | 1,663 | 1,780 |
4,5,7 | Freddie Mac Non Gold Pool | 2.320% | 2/1/37 | 443 | 463 |
9
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5,7 | Freddie Mac Non Gold Pool | 2.323% | 3/1/36–5/1/42 | 1,478 | 1,520 |
4,5,7 | Freddie Mac Non Gold Pool | 2.333% | 4/1/35 | 144 | 153 |
4,5,7 | Freddie Mac Non Gold Pool | 2.344% | 12/1/36 | 2,068 | 2,223 |
4,5,7 | Freddie Mac Non Gold Pool | 2.351% | 6/1/37 | 1,760 | 1,889 |
4,5,7 | Freddie Mac Non Gold Pool | 2.352% | 1/1/35 | 304 | 329 |
4,5,7 | Freddie Mac Non Gold Pool | 2.367% | 12/1/34 | 20 | 22 |
4,5,7 | Freddie Mac Non Gold Pool | 2.375% | 4/1/33–11/1/36 | 4,547 | 4,773 |
4,5,7 | Freddie Mac Non Gold Pool | 2.377% | 3/1/36 | 15 | 15 |
4,5,7 | Freddie Mac Non Gold Pool | 2.383% | 12/1/35 | 1,236 | 1,309 |
4,5,7 | Freddie Mac Non Gold Pool | 2.398% | 6/1/36 | 11 | 11 |
4,5,7 | Freddie Mac Non Gold Pool | 2.430% | 1/1/37 | 995 | 1,052 |
4,5,7 | Freddie Mac Non Gold Pool | 2.431% | 5/1/33 | 46 | 49 |
4,5,7 | Freddie Mac Non Gold Pool | 2.440% | 12/1/34 | 43 | 45 |
4,5,7 | Freddie Mac Non Gold Pool | 2.486% | 6/1/37 | 1,468 | 1,531 |
4,5,7 | Freddie Mac Non Gold Pool | 2.534% | 11/1/33 | 5 | 5 |
4,5 | Freddie Mac Non Gold Pool | 2.573% | 2/1/42 | 3,434 | 3,617 |
4,5,7 | Freddie Mac Non Gold Pool | 2.604% | 3/1/37 | 146 | 145 |
4,5 | Freddie Mac Non Gold Pool | 2.612% | 11/1/43 | 3,054 | 3,154 |
4,5,7 | Freddie Mac Non Gold Pool | 2.620% | 3/1/37 | 1,478 | 1,550 |
4,5 | Freddie Mac Non Gold Pool | 2.639% | 12/1/40 | 2,277 | 2,363 |
4,5 | Freddie Mac Non Gold Pool | 2.652% | 11/1/40 | 2,062 | 2,131 |
4,5 | Freddie Mac Non Gold Pool | 2.722% | 12/1/40 | 5,482 | 5,678 |
4,5,7 | Freddie Mac Non Gold Pool | 2.740% | 10/1/36 | 1,555 | 1,662 |
4,5 | Freddie Mac Non Gold Pool | 2.742% | 2/1/42 | 4,038 | 4,263 |
4,5 | Freddie Mac Non Gold Pool | 2.781% | 1/1/41 | 5,047 | 5,279 |
4,5 | Freddie Mac Non Gold Pool | 2.866% | 2/1/41 | 6,670 | 7,119 |
4,5 | Freddie Mac Non Gold Pool | 2.962% | 2/1/41 | 1,507 | 1,609 |
4,5 | Freddie Mac Non Gold Pool | 3.096% | 6/1/41 | 2,267 | 2,399 |
4,5 | Freddie Mac Non Gold Pool | 3.105% | 3/1/41 | 2,239 | 2,391 |
4,5 | Freddie Mac Non Gold Pool | 3.132% | 1/1/41 | 1,124 | 1,184 |
4,5 | Freddie Mac Non Gold Pool | 3.151% | 11/1/40 | 4,057 | 4,176 |
4,5 | Freddie Mac Non Gold Pool | 3.238% | 6/1/40 | 2,361 | 2,422 |
4,5 | Freddie Mac Non Gold Pool | 3.350% | 5/1/40 | 949 | 1,006 |
4,5 | Freddie Mac Non Gold Pool | 3.355% | 6/1/41 | 455 | 462 |
4,5 | Freddie Mac Non Gold Pool | 3.420% | 3/1/42 | 4,306 | 4,460 |
4,5 | Freddie Mac Non Gold Pool | 3.451% | 5/1/40 | 981 | 1,036 |
4,5 | Freddie Mac Non Gold Pool | 3.586% | 6/1/40 | 4,930 | 5,199 |
4,5 | Freddie Mac Non Gold Pool | 3.614% | 6/1/40 | 2,710 | 2,868 |
4,5 | Freddie Mac Non Gold Pool | 3.676% | 9/1/40 | 4,574 | 4,831 |
4,5 | Freddie Mac Non Gold Pool | 4.076% | 12/1/39 | 819 | 855 |
4,5 | Freddie Mac Non Gold Pool | 4.387% | 5/1/38 | 302 | 328 |
4,5 | Freddie Mac Non Gold Pool | 5.028% | 7/1/38 | 1,848 | 1,872 |
4,5 | Freddie Mac Non Gold Pool | 5.280% | 3/1/38 | 2,419 | 2,587 |
4,5 | Freddie Mac Non Gold Pool | 5.447% | 1/1/38 | 774 | 797 |
4,5 | Freddie Mac Non Gold Pool | 5.484% | 2/1/36 | 925 | 970 |
4,5 | Freddie Mac Non Gold Pool | 5.784% | 9/1/37 | 2,055 | 2,151 |
4,5 | Freddie Mac Non Gold Pool | 5.809% | 5/1/37 | 3,008 | 3,148 |
4,5 | Freddie Mac Non Gold Pool | 6.058% | 12/1/36 | 1,907 | 1,964 |
4,5 | Freddie Mac Non Gold Pool | 6.215% | 8/1/37 | 694 | 748 |
5,7 | Ginnie Mae II Pool | 1.625% | 6/20/29 | 145 | 150 |
5,7 | Ginnie Mae II Pool | 2.000% | 4/20/41–6/20/43 | 35,260 | 36,376 |
5,7 | Ginnie Mae II Pool | 2.125% | 5/20/41 | 2,299 | 2,450 |
5,7 | Ginnie Mae II Pool | 2.500% | 10/20/39–1/20/42 | 27,544 | 28,360 |
5 | Ginnie Mae II Pool | 3.000% | 11/20/40–11/20/41 | 20,561 | 21,674 |
5 | Ginnie Mae II Pool | 3.500% | 1/20/41–1/20/44 | 37,825 | 39,606 |
5,7 | Ginnie Mae II Pool | 4.000% | 10/20/38–10/20/41 | 9,812 | 10,289 |
5 | Ginnie Mae II Pool | 5.000% | 7/20/38 | 478 | 488 |
617,724 | |||||
Total U.S. Government and Agency Obligations (Cost $85,491,050) | 87,681,989 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (3.0%) | |||||
5 | AEP Texas Central Transition Funding II LLC 2006-A | 5.170% | 1/1/18 | 3,251 | 3,475 |
5 | Ally Auto Receivables Trust 2011-2 | 1.980% | 4/15/16 | 1,048 | 1,061 |
10
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Ally Auto Receivables Trust 2011-4 | 1.140% | 6/15/16 | 1,186 | 1,186 |
5 Ally Auto Receivables Trust 2012-5 | 0.850% | 1/16/18 | 6,120 | 6,118 |
5 Ally Auto Receivables Trust 2013-2 | 0.790% | 1/15/18 | 1,650 | 1,651 |
5 Ally Auto Receivables Trust 2013-2 | 1.240% | 11/15/18 | 1,125 | 1,127 |
5 Ally Auto Receivables Trust 2014-1 | 0.970% | 10/15/18 | 3,925 | 3,925 |
5 Ally Auto Receivables Trust 2014-1 | 1.530% | 4/15/19 | 1,675 | 1,676 |
5 Ally Auto Receivables Trust 2014-3 | 1.280% | 6/17/19 | 5,000 | 4,991 |
5 Ally Auto Receivables Trust 2014-3 | 1.720% | 3/16/20 | 2,000 | 1,995 |
5 Ally Auto Receivables Trust 2014-SN1 | 0.750% | 2/21/17 | 3,400 | 3,371 |
5 Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 2,275 | 2,266 |
5 Ally Auto Receivables Trust 2014-SN2 | 1.030% | 9/20/17 | 4,025 | 4,008 |
5 Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 2,875 | 2,862 |
5 Ally Master Owner Trust Series 2014-4 | 1.430% | 6/17/19 | 5,475 | 5,463 |
5 American Express Credit Account Secured Note Trust | ||||
2013-3 | 0.980% | 5/15/19 | 1,500 | 1,497 |
5 American Express Credit Account Secured Note Trust | ||||
2014-3 | 1.490% | 4/15/20 | 8,200 | 8,224 |
5 American Express Credit Account Secured Note Trust | ||||
2014-4 | 1.430% | 6/15/20 | 4,550 | 4,547 |
5 AmeriCredit Automobile Receivables Trust 2013-1 | 0.610% | 10/10/17 | 1,430 | 1,429 |
5 AmeriCredit Automobile Receivables Trust 2013-2 | 0.650% | 12/8/17 | 1,162 | 1,162 |
5 AmeriCredit Automobile Receivables Trust 2013-3 | 0.920% | 4/9/18 | 2,960 | 2,963 |
5 AmeriCredit Automobile Receivables Trust 2013-4 | 0.960% | 4/9/18 | 1,040 | 1,042 |
5 AmeriCredit Automobile Receivables Trust 2013-5 | 0.900% | 9/10/18 | 1,200 | 1,200 |
5 AmeriCredit Automobile Receivables Trust 2013-5 | 1.520% | 1/8/19 | 600 | 600 |
5 AmeriCredit Automobile Receivables Trust 2014-1 | 0.900% | 2/8/19 | 850 | 848 |
5 AmeriCredit Automobile Receivables Trust 2014-1 | 1.680% | 7/8/19 | 550 | 548 |
5 AmeriCredit Automobile Receivables Trust 2014-2 | 0.940% | 2/8/19 | 1,700 | 1,700 |
5 AmeriCredit Automobile Receivables Trust 2014-3 | 1.150% | 6/10/19 | 2,800 | 2,796 |
5 Banc of America Commercial Mortgage Trust 2005-5 | 5.115% | 10/10/45 | 13,993 | 14,170 |
5 Banc of America Commercial Mortgage Trust 2005-6 | 5.152% | 9/10/47 | 3,540 | 3,641 |
5 Banc of America Commercial Mortgage Trust 2005-6 | 5.152% | 9/10/47 | 3,500 | 3,611 |
5 Banc of America Commercial Mortgage Trust 2006-1 | 5.372% | 9/10/45 | 20,200 | 20,731 |
5 Banc of America Commercial Mortgage Trust 2006-1 | 5.421% | 9/10/45 | 185 | 192 |
5 Banc of America Commercial Mortgage Trust 2006-2 | 5.728% | 5/10/45 | 11,600 | 12,056 |
5 Banc of America Commercial Mortgage Trust 2006-2 | 5.763% | 5/10/45 | 3,290 | 3,443 |
5 Banc of America Commercial Mortgage Trust 2006-3 | 5.889% | 7/10/44 | 653 | 688 |
5 Banc of America Commercial Mortgage Trust 2006-4 | 5.634% | 7/10/46 | 23,801 | 25,104 |
5 Banc of America Commercial Mortgage Trust 2006-5 | 5.390% | 9/10/47 | 320 | 322 |
5 Banc of America Commercial Mortgage Trust 2006-5 | 5.414% | 9/10/47 | 11,525 | 12,085 |
5 Banc of America Commercial Mortgage Trust 2006-5 | 5.448% | 9/10/47 | 2,175 | 2,277 |
5 Banc of America Commercial Mortgage Trust 2008-1 | 6.245% | 2/10/51 | 17,947 | 19,841 |
8 Banco Bilbao Vizcaya Argentaria SA | 5.750% | 7/20/17 | 1,975 | 2,161 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2004-PWR6 | 4.868% | 11/11/41 | 26 | 26 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR10 | 5.405% | 12/11/40 | 4,276 | 4,378 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR8 | 4.750% | 6/11/41 | 4,175 | 4,208 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR9 | 4.871% | 9/11/42 | 20 | 20 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-TOP18 | 4.933% | 2/13/42 | 509 | 510 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-TOP20 | 5.129% | 10/12/42 | 3,062 | 3,106 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR11 | 5.435% | 3/11/39 | 24,099 | 24,933 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR12 | 5.704% | 9/11/38 | 254 | 266 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR12 | 5.743% | 9/11/38 | 5,500 | 5,775 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.582% | 9/11/41 | 1,625 | 1,726 |
11
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-TOP22 | 5.575% | 4/12/38 | 21,248 | 22,025 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-TOP22 | 5.575% | 4/12/38 | 4,525 | 4,756 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-TOP24 | 5.568% | 10/12/41 | 8,375 | 8,909 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.655% | 6/11/40 | 1,949 | 1,965 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.707% | 6/11/40 | 6,275 | 6,849 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.694% | 6/11/50 | 21,750 | 23,609 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.896% | 6/11/50 | 6,853 | 7,518 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR18 | 5.700% | 6/11/50 | 10,400 | 11,315 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP26 | 5.471% | 1/12/45 | 5,253 | 5,631 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP26 | 5.513% | 1/12/45 | 6,280 | 6,747 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.742% | 9/11/42 | 15,900 | 17,369 |
5 Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.793% | 9/11/42 | 2,279 | 2,285 |
5 BMW Vehicle Owner Trust 2014-A | 0.970% | 11/26/18 | 5,100 | 5,098 |
5 BMW Vehicle Owner Trust 2014-A | 1.500% | 2/25/21 | 3,400 | 3,401 |
5 Capital Auto Receivables Asset Trust 2013-1 | 0.790% | 6/20/17 | 3,603 | 3,608 |
5 Capital Auto Receivables Asset Trust 2013-3 | 1.040% | 11/21/16 | 2,445 | 2,449 |
5 Capital Auto Receivables Asset Trust 2013-3 | 1.310% | 12/20/17 | 2,446 | 2,457 |
5 Capital Auto Receivables Asset Trust 2013-3 | 1.680% | 4/20/18 | 1,470 | 1,478 |
5 Capital Auto Receivables Asset Trust 2013-4 | 1.090% | 3/20/18 | 2,700 | 2,699 |
5 Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 1,000 | 1,001 |
5 Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 1,130 | 1,136 |
5 Capital Auto Receivables Asset Trust 2014-1 | 1.320% | 6/20/18 | 3,150 | 3,161 |
5 Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 785 | 787 |
5 Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 1,042 | 1,048 |
5 Capital Auto Receivables Asset Trust 2014-2 | 0.910% | 4/20/17 | 2,500 | 2,501 |
5 Capital Auto Receivables Asset Trust 2014-2 | 1.260% | 5/21/18 | 1,375 | 1,375 |
5 Capital Auto Receivables Asset Trust 2014-2 | 1.620% | 10/22/18 | 1,100 | 1,102 |
5 Capital Auto Receivables Asset Trust 2014-3 | 1.480% | 11/20/18 | 1,950 | 1,949 |
5 Capital Auto Receivables Asset Trust 2014-3 | 1.830% | 4/22/19 | 1,400 | 1,400 |
5 Capital One Multi-asset Execution Trust 2006-A3 | 5.050% | 12/17/18 | 36,645 | 38,305 |
5 Capital One Multi-asset Execution Trust 2007-A7 | 5.750% | 7/15/20 | 10,300 | 11,432 |
5 Capital One Multi-Asset Execution Trust 2014-A2 | 1.260% | 1/15/20 | 1,925 | 1,928 |
5 Capital One Multi-Asset Execution Trust 2014-A5 | 1.480% | 7/15/20 | 7,000 | 7,017 |
5 CarMax Auto Owner Trust 2012-3 | 0.790% | 4/16/18 | 2,450 | 2,444 |
5 CarMax Auto Owner Trust 2013-2 | 0.640% | 1/16/18 | 3,604 | 3,606 |
5 Carmax Auto Owner Trust 2013-2 | 0.840% | 11/15/18 | 1,502 | 1,491 |
5 Carmax Auto Owner Trust 2013-3 | 0.970% | 4/16/18 | 3,790 | 3,803 |
5 Carmax Auto Owner Trust 2013-3 | 1.490% | 1/15/19 | 2,040 | 2,051 |
5 Carmax Auto Owner Trust 2013-4 | 0.800% | 7/16/18 | 1,450 | 1,448 |
5 Carmax Auto Owner Trust 2013-4 | 1.280% | 5/15/19 | 550 | 549 |
5 Carmax Auto Owner Trust 2014-1 | 0.790% | 10/15/18 | 1,680 | 1,673 |
5 Carmax Auto Owner Trust 2014-1 | 1.320% | 7/15/19 | 1,120 | 1,115 |
5 Carmax Auto Owner Trust 2014-2 | 0.980% | 1/15/19 | 3,650 | 3,643 |
5 Carmax Auto Owner Trust 2014-2 | 1.610% | 10/15/19 | 1,875 | 1,873 |
5 Carmax Auto Owner Trust 2014-3 | 1.160% | 6/17/19 | 3,275 | 3,273 |
5 Carmax Auto Owner Trust 2014-3 | 1.730% | 2/18/20 | 1,625 | 1,627 |
5 Carmax Auto Owner Trust 2014-4 | 1.250% | 11/15/19 | 6,075 | 6,063 |
5 CD 2005-CD1 Commercial Mortgage Trust | 5.226% | 7/15/44 | 16,846 | 17,136 |
5 CD 2005-CD1 Commercial Mortgage Trust | 5.226% | 7/15/44 | 7,000 | 7,182 |
5 CD 2006-CD2 Mortgage Trust | 5.299% | 1/15/46 | 680 | 699 |
5 CD 2006-CD3 Mortgage Trust | 5.617% | 10/15/48 | 9,599 | 10,090 |
5 CD 2006-CD3 Mortgage Trust | 5.648% | 10/15/48 | 8,575 | 9,166 |
12
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | CD 2007-CD4 Commercial Mortgage Trust | 5.322% | 12/11/49 | 13,050 | 13,837 |
5 | CD 2007-CD5 Mortgage Trust | 5.886% | 11/15/44 | 15,988 | 17,441 |
5 | CenterPoint Energy Transition Bond Co. II LLC 2005-A | 5.170% | 8/1/19 | 1,752 | 1,837 |
5 | CenterPoint Energy Transition Bond Co. II LLC 2005-A | 5.302% | 8/1/20 | 1,184 | 1,321 |
5 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 3.028% | 10/15/25 | 9,483 | 9,727 |
5 | Chase Issuance Trust 2006-A2 | 5.160% | 4/16/18 | 14,352 | 15,028 |
5 | Chase Issuance Trust 2012-A3 | 0.790% | 6/15/17 | 10,512 | 10,524 |
5 | Chase Issuance Trust 2012-A4 | 1.580% | 8/16/21 | 8,573 | 8,438 |
5 | Chase Issuance Trust 2012-A5 | 0.590% | 8/15/17 | 5,845 | 5,843 |
5 | Chase Issuance Trust 2012-A7 | 2.160% | 9/16/24 | 20,440 | 19,935 |
5 | Chase Issuance Trust 2013-A1 | 1.300% | 2/18/20 | 13,650 | 13,493 |
5 | Chase Issuance Trust 2013-A8 | 1.010% | 10/15/18 | 10,225 | 10,220 |
5 | Chase Issuance Trust 2014-A1 | 1.150% | 1/15/19 | 14,400 | 14,405 |
5 | Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 11,150 | 11,414 |
5 | Chase Issuance Trust 2014-A6 | 1.260% | 7/15/19 | 13,700 | 13,652 |
5 | Chase Issuance Trust 2014-A7 | 1.380% | 11/15/19 | 11,225 | 11,201 |
5 | Citibank Credit Card Issuance Trust 2003-A7 | 4.150% | 7/7/17 | 9,135 | 9,298 |
5 | Citibank Credit Card Issuance Trust 2005-A2 | 4.850% | 3/10/17 | 4,650 | 4,686 |
5 | Citibank Credit Card Issuance Trust 2005-A9 | 5.100% | 11/20/17 | 13,301 | 13,792 |
5 | Citibank Credit Card Issuance Trust 2007-A8 | 5.650% | 9/20/19 | 10,600 | 11,756 |
5 | Citibank Credit Card Issuance Trust 2008-A1 | 5.350% | 2/7/20 | 11,546 | 12,807 |
5 | Citibank Credit Card Issuance Trust 2013-A10 | 0.730% | 2/7/18 | 4,650 | 4,640 |
5 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 10,450 | 10,765 |
5 | Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 11,150 | 11,128 |
5 | Citibank Credit Card Issuance Trust 2014-A5 | 2.680% | 6/7/23 | 9,525 | 9,684 |
5 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 22,100 | 22,167 |
5 | Citibank Credit Card Issuance Trust 2014-A8 | 1.730% | 4/9/20 | 16,450 | 16,476 |
5 | Citigroup Commercial Mortgage Trust 2005-C3 | 4.830% | 5/15/43 | 6,990 | 7,034 |
5 | Citigroup Commercial Mortgage Trust 2006-C4 | 5.771% | 3/15/49 | 11,053 | 11,525 |
5 | Citigroup Commercial Mortgage Trust 2006-C4 | 5.771% | 3/15/49 | 2,500 | 2,635 |
5 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 3,625 | 3,823 |
5 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.462% | 10/15/49 | 3,375 | 3,586 |
5 | Citigroup Commercial Mortgage Trust 2007-C6 | 5.710% | 12/10/49 | 20,075 | 21,836 |
5 | Citigroup Commercial Mortgage Trust 2008-C7 | 6.142% | 12/10/49 | 20,494 | 22,469 |
5 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,450 | 5,488 |
5 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 2,300 | 2,317 |
5 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.422% | 4/10/46 | 2,000 | 2,020 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 2,900 | 3,008 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 1,200 | 1,280 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.371% | 9/10/46 | 1,975 | 2,182 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.649% | 9/10/46 | 2,875 | 3,171 |
5 | Citigroup Commercial Mortgage Trust 2013-GC17 | 3.675% | 11/10/46 | 875 | 925 |
5 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.131% | 11/10/46 | 2,900 | 3,140 |
5 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.544% | 11/10/46 | 1,150 | 1,266 |
5 | Citigroup Commercial Mortgage Trust 2013-GC17 | 5.095% | 11/10/46 | 1,150 | 1,266 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 2.790% | 3/10/47 | 1,840 | 1,881 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.552% | 3/10/47 | 1,150 | 1,204 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 1,700 | 1,826 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.345% | 3/10/47 | 1,425 | 1,536 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 625 | 651 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 3,025 | 3,212 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 4.328% | 5/10/47 | 2,450 | 2,541 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 3,875 | 4,041 |
5 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 8,525 | 8,832 |
5 | COBALT CMBS Commercial Mortgage Trust 2007-C2 | 5.484% | 4/15/47 | 3,019 | 3,238 |
5 | COBALT CMBS Commercial Mortgage Trust 2007-C3 | 5.766% | 5/15/46 | 10,454 | 11,345 |
5 | COMM 2005-C6 Mortgage Trust | 5.116% | 6/10/44 | 19,257 | 19,434 |
5 | COMM 2006-C7 Mortgage Trust | 5.756% | 6/10/46 | 17,820 | 18,652 |
5 | COMM 2006-C7 Mortgage Trust | 5.781% | 6/10/46 | 4,025 | 4,247 |
5 | COMM 2007-C9 Mortgage Trust | 5.796% | 12/10/49 | 17,413 | 19,000 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,485 | 2,540 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 2,950 | 3,068 |
5 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 5,000 | 4,990 |
5,8 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 3,548 | 3,606 |
13
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 5,150 | 5,140 |
5 COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 1,500 | 1,488 |
5 COMM 2013-CCRE11 Mortgage Trust | 3.047% | 10/10/46 | 1,430 | 1,473 |
5 COMM 2013-CCRE11 Mortgage Trust | 3.660% | 10/10/46 | 1,430 | 1,505 |
5 COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 1,910 | 2,042 |
5 COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 2,390 | 2,614 |
5 COMM 2013-CCRE11 Mortgage Trust | 4.715% | 10/10/46 | 1,430 | 1,576 |
5 COMM 2013-CCRE12 Mortgage Trust | 1.295% | 10/10/46 | 981 | 976 |
5 COMM 2013-CCRE12 Mortgage Trust | 2.904% | 10/10/46 | 1,700 | 1,750 |
5 COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,700 | 1,786 |
5 COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 2,275 | 2,398 |
5 COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 1,700 | 1,832 |
5 COMM 2013-CCRE12 Mortgage Trust | 4.300% | 10/10/46 | 1,150 | 1,241 |
5 COMM 2013-CCRE12 Mortgage Trust | 4.762% | 10/10/46 | 575 | 630 |
5 COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 689 | 688 |
5 COMM 2013-CCRE13 Mortgage Trust | 3.039% | 12/10/18 | 875 | 907 |
5 COMM 2013-CCRE13 Mortgage Trust | 3.706% | 10/10/23 | 575 | 607 |
5 COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 5,850 | 6,364 |
5 COMM 2013-CCRE13 Mortgage Trust | 4.449% | 12/10/23 | 1,750 | 1,899 |
5 COMM 2013-CCRE6 Mortgage Trust | 3.101% | 3/10/46 | 2,908 | 2,947 |
5 COMM 2013-CCRE7 Mortgage Trust | 3.213% | 3/10/46 | 2,300 | 2,346 |
5 COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 3,262 | 3,422 |
5 COMM 2013-CCRE9 Mortgage Trust | 4.235% | 7/10/45 | 4,060 | 4,461 |
5 COMM 2013-CCRE9 Mortgage Trust | 4.210% | 8/10/46 | 1,120 | 1,222 |
5 COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 1,680 | 1,738 |
5 COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 1,680 | 1,827 |
5 COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 4,586 | 4,595 |
5 COMM 2013-LC6 Mortgage Trust | 3.282% | 1/10/46 | 2,547 | 2,552 |
5 COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 2,375 | 2,458 |
5 COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 1,775 | 1,933 |
5 COMM 2014-CCRE14 Mortgage Trust | 4.526% | 2/10/47 | 1,950 | 2,125 |
5 COMM 2014-CCRE14 Mortgage Trust | 4.610% | 2/10/47 | 1,175 | 1,286 |
5 COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 4,124 | 4,232 |
5 COMM 2014-CCRE15 Mortgage Trust | 3.595% | 2/10/47 | 1,422 | 1,490 |
5 COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 2,641 | 2,851 |
5 COMM 2014-CCRE15 Mortgage Trust | 4.717% | 2/10/47 | 1,320 | 1,451 |
5 COMM 2014-CCRE16 Mortgage Trust | 3.653% | 4/10/47 | 2,206 | 2,308 |
5 COMM 2014-CCRE16 Mortgage Trust | 4.278% | 4/10/47 | 2,950 | 3,162 |
5 COMM 2014-CCRE19 Mortgage Trust | 3.796% | 8/10/47 | 8,400 | 8,844 |
5 COMM 2014-CCRE19 Mortgage Trust | 4.080% | 8/10/47 | 2,250 | 2,367 |
5 COMM 2014-CCRE21 Mortgage Trust | 3.095% | 12/10/47 | 4,429 | 4,559 |
5 COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 8,575 | 8,872 |
5 COMM 2014-CR17 Mortgage Trust | 3.012% | 5/10/47 | 2,800 | 2,886 |
5 COMM 2014-CR17 Mortgage Trust | 3.598% | 5/10/47 | 1,400 | 1,466 |
5 COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 2,225 | 2,377 |
5 COMM 2014-CR17 Mortgage Trust | 4.377% | 5/10/47 | 1,375 | 1,452 |
5 COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 2,250 | 2,344 |
5 COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 1,400 | 1,477 |
5 COMM 2014-CR18 Mortgage Trust | 4.103% | 7/15/47 | 1,845 | 1,961 |
5 COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 2,375 | 2,466 |
5 COMM 2014-LC15 Mortgage Trust | 2.840% | 4/10/47 | 1,675 | 1,715 |
5 COMM 2014-LC15 Mortgage Trust | 4.006% | 4/10/47 | 3,950 | 4,228 |
5 COMM 2014-LC17 Mortgage Trust | 3.164% | 10/10/47 | 5,575 | 5,779 |
5 COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 2,225 | 2,370 |
5 COMM 2014-UBS2 Mortgage Trust | 2.820% | 3/10/47 | 1,129 | 1,156 |
5 COMM 2014-UBS2 Mortgage Trust | 3.472% | 3/10/47 | 981 | 1,020 |
5 COMM 2014-UBS2 Mortgage Trust | 3.961% | 3/10/47 | 2,533 | 2,702 |
5 COMM 2014-UBS2 Mortgage Trust | 4.199% | 3/10/47 | 709 | 755 |
COMM 2014-UBS2 Mortgage Trust | 4.701% | 3/10/47 | 449 | 485 |
5 COMM 2014-UBS3 Mortgage Trust | 2.844% | 6/10/47 | 1,675 | 1,720 |
5 COMM 2014-UBS3 Mortgage Trust | 3.819% | 6/10/47 | 4,475 | 4,724 |
5 COMM 2014-UBS4 Mortgage Trust | 3.694% | 8/10/47 | 5,575 | 5,782 |
5 COMM 2014-UBS4 Mortgage Trust | 3.968% | 8/10/47 | 2,144 | 2,210 |
5 COMM 2014-UBS5 Mortgage Trust | 3.838% | 9/10/47 | 6,650 | 7,013 |
14
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | COMM 2014-UBS6 Mortgage Trust | 2.935% | 12/10/47 | 5,600 | 5,745 |
5 | COMM 2014-UBS6 Mortgage Trust | 3.387% | 12/10/47 | 5,600 | 5,760 |
5 | COMM 2014-UBS6 Mortgage Trust | 3.644% | 12/10/47 | 10,500 | 10,847 |
5 | COMM 2014-UBS6 Mortgage Trust | 4.048% | 12/10/47 | 2,800 | 2,914 |
5 | Commercial Mortgage Trust 2005-GG5 | 5.224% | 4/10/37 | 18,908 | 19,183 |
5 | Commercial Mortgage Trust 2005-GG5 | 5.277% | 4/10/37 | 4,475 | 4,592 |
5 | Commercial Mortgage Trust 2006-GG7 | 5.819% | 7/10/38 | 2,504 | 2,621 |
5,8 | Commercial Mortgages Lease-Backed Certificates | ||||
Series 2001-CMLB-1 | 6.746% | 6/20/31 | 863 | 873 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C1 | 5.467% | 2/15/39 | 4,435 | 4,599 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C1 | 5.467% | 2/15/39 | 7,675 | 7,994 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C1 | 5.467% | 2/15/39 | 17,565 | 18,169 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.806% | 6/15/38 | 4,266 | 4,511 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.806% | 6/15/38 | 17,288 | 18,072 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C4 | 5.509% | 9/15/39 | 1,725 | 1,827 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C5 | 5.311% | 12/15/39 | 14,829 | 15,633 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C1 | 5.383% | 2/15/40 | 5,245 | 5,546 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C3 | 5.702% | 6/15/39 | 16,324 | 17,390 | |
5 | CSFB Commercial Mortgage Trust 2005-C1 | 5.075% | 2/15/38 | 4,239 | 4,249 |
5 | CSFB Commercial Mortgage Trust 2005-C4 | 5.190% | 8/15/38 | 3,400 | 3,450 |
5 | CSFB Commercial Mortgage Trust 2005-C5 | 5.100% | 8/15/38 | 1,565 | 1,600 |
5 | CSFB Commercial Mortgage Trust 2005-C5 | 5.100% | 8/15/38 | 12,455 | 12,553 |
5 | CSFB Commercial Mortgage Trust 2005-C6 | 5.230% | 12/15/40 | 3,290 | 3,360 |
5 | Discover Card Execution Note Trust 2007-A1 | 5.650% | 3/16/20 | 14,891 | 16,484 |
5 | Discover Card Execution Note Trust 2014-A3 | 1.220% | 10/15/19 | 6,925 | 6,926 |
5 | Discover Card Execution Note Trust 2014-A5 | 1.390% | 4/15/20 | 16,025 | 16,011 |
4,5 | Fannie Mae-Aces 2012-M9 | 1.553% | 4/25/22 | 1,516 | 1,499 |
4,5 | Fannie Mae-Aces 2013-M12 | 2.385% | 3/25/23 | 15,246 | 15,146 |
4,5 | Fannie Mae-Aces 2013-M14 | 2.505% | 4/25/23 | 15,822 | 15,672 |
4,5 | Fannie Mae-Aces 2013-M14 | 3.329% | 10/25/23 | 16,575 | 17,219 |
4,5 | Fannie Mae-Aces 2013-M4 | 2.608% | 3/25/22 | 1,000 | 1,006 |
4,5 | Fannie Mae-Aces 2013-M7 | 2.280% | 12/27/22 | 5,600 | 5,441 |
4,5 | Fannie Mae-Aces 2014-M1 | 2.323% | 11/25/18 | 22,180 | 22,513 |
4,5 | Fannie Mae-Aces 2014-M1 | 3.373% | 7/25/23 | 21,800 | 22,716 |
4,5 | Fannie Mae-Aces 2014-M12 | 2.614% | 10/25/21 | 16,850 | 17,027 |
4,5 | Fannie Mae-Aces 2014-M13 | 1.637% | 11/25/17 | 2,950 | 2,963 |
4,5 | Fannie Mae-Aces 2014-M13 | 2.566% | 8/25/24 | 2,544 | 2,568 |
4,5 | Fannie Mae-Aces 2014-M13 | 3.021% | 8/25/24 | 6,750 | 6,885 |
4,5 | Fannie Mae-Aces 2014-M2 | 1.916% | 6/25/21 | 6,808 | 6,864 |
4,5 | Fannie Mae-Aces 2014-M2 | 3.513% | 12/25/23 | 16,360 | 17,289 |
4,5 | Fannie Mae-Aces 2014-M3 | 2.613% | 1/25/24 | 6,487 | 6,595 |
4,5 | Fannie Mae-Aces 2014-M3 | 3.477% | 1/25/24 | 7,825 | 8,258 |
4,5 | Fannie Mae-Aces 2014-M4 | 3.346% | 3/25/24 | 8,175 | 8,554 |
4,5 | Fannie Mae-Aces 2014-M6 | 2.679% | 5/25/21 | 19,665 | 19,690 |
4,5 | Fannie Mae-Aces 2014-M7 | 3.557% | 6/25/24 | 16,642 | 17,431 |
4,5 | Fannie Mae-Aces 2014-M8 | 2.346% | 6/25/24 | 2,702 | 2,714 |
4,5 | Fannie Mae-Aces 2014-M8 | 3.056% | 6/25/24 | 8,325 | 8,448 |
4,5 | Fannie Mae-Aces 2014-M9 | 1.462% | 4/25/17 | 13,975 | 14,033 |
4,5 | Fannie Mae-Aces 2014-M9 | 3.103% | 7/25/24 | 10,459 | 10,705 |
Federal Housing Administration | 7.430% | 10/1/20 | 1 | 1 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 2.412% | 8/25/18 | 3,650 | 3,723 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 3.320% | 7/25/20 | 13,949 | 14,627 |
15
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K014 | 3.871% | 4/25/21 | 6,775 | 7,336 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K017 | 2.873% | 12/25/21 | 18,650 | 19,182 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K019 | 2.272% | 3/25/22 | 7,835 | 7,707 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K020 | 2.373% | 5/25/22 | 19,300 | 19,154 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 2.396% | 6/25/22 | 11,840 | 11,769 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 3.490% | 1/25/24 | 675 | 720 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K022 | 2.355% | 7/25/22 | 795 | 788 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K026 | 2.510% | 11/25/22 | 16,600 | 16,472 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K027 | 2.637% | 1/25/23 | 16,625 | 16,672 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 3.111% | 2/25/23 | 23,925 | 24,838 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K029 | 3.320% | 2/25/23 | 16,425 | 17,303 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 2.779% | 9/25/22 | 15,247 | 15,702 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 3.250% | 4/25/23 | 16,425 | 17,210 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K031 | 3.300% | 4/25/23 | 16,400 | 17,235 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.016% | 2/25/23 | 15,831 | 16,521 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.310% | 5/25/23 | 16,400 | 17,272 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 2.871% | 2/25/23 | 14,304 | 14,790 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 3.060% | 7/25/23 | 17,750 | 18,305 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K034 | 3.531% | 7/25/23 | 15,354 | 16,396 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K035 | 3.458% | 8/25/23 | 18,375 | 19,525 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K036 | 3.527% | 10/25/23 | 17,403 | 18,584 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 2.604% | 10/25/23 | 5,467 | 5,607 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 3.389% | 3/25/24 | 19,100 | 20,185 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 2.683% | 12/25/23 | 3,870 | 3,982 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 3.303% | 7/25/24 | 10,850 | 11,408 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 2.768% | 4/25/24 | 5,784 | 5,940 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 3.241% | 9/25/24 | 14,400 | 15,054 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K041 | 3.171% | 10/25/24 | 14,025 | 14,551 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K702 | 3.154% | 2/25/18 | 23,786 | 24,777 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K706 | 2.323% | 10/25/18 | 5,700 | 5,791 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K710 | 1.883% | 5/25/19 | 1,475 | 1,472 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.730% | 7/25/19 | 3,025 | 2,992 |
16
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K714 | 3.034% | 10/25/20 | 7,205 | 7,490 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 2.413% | 1/25/21 | 3,842 | 3,937 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 3.130% | 6/25/21 | 13,700 | 14,307 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K717 | 2.991% | 9/25/21 | 11,200 | 11,537 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K005 | 3.484% | 4/25/19 | 12,127 | 12,636 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K006-A1 | 3.398% | 7/25/19 | 8,920 | 9,389 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K007-A1 | 3.342% | 12/25/19 | 6,766 | 7,055 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K009-A1 | 2.757% | 5/25/20 | 11,745 | 12,086 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K503 | 1.384% | 1/25/19 | 8,502 | 8,457 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K503 | 2.456% | 8/25/19 | 17,225 | 17,613 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K708-A1 | 1.670% | 10/25/18 | 3,568 | 3,600 | |
4,5 | FHLMC Multifamily Structured Pass Through | ||||
Certificates_K711-A1 | 1.321% | 12/25/18 | 13,006 | 13,019 | |
4,5 | FHLMC Multifamily Structures Pass Through | ||||
Certificates_FHMS-K715 | 2.856% | 1/25/21 | 6,150 | 6,338 | |
5 | Fifth Third Auto 2014-1 | 0.680% | 4/16/18 | 3,400 | 3,395 |
5 | Fifth Third Auto 2014-1 | 1.140% | 10/15/20 | 2,370 | 2,365 |
5 | Fifth Third Auto 2014-2 | 0.890% | 11/15/18 | 2,250 | 2,247 |
5 | Fifth Third Auto 2014-2 | 1.380% | 12/15/20 | 1,425 | 1,423 |
5 | Ford Credit Auto Lease Trust 2013-B | 0.760% | 9/15/16 | 1,200 | 1,200 |
5 | Ford Credit Auto Lease Trust 2013-B | 0.960% | 10/15/16 | 850 | 851 |
5 | Ford Credit Auto Lease Trust 2014-A | 0.680% | 4/15/17 | 2,225 | 2,211 |
5 | Ford Credit Auto Lease Trust 2014-A | 0.900% | 6/15/17 | 850 | 845 |
5 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 1,575 | 1,568 |
5 | Ford Credit Auto Lease Trust 2014-B | 0.890% | 9/15/17 | 2,950 | 2,927 |
5 | Ford Credit Auto Owner Trust 2011-A | 1.650% | 5/15/16 | 176 | 176 |
5 | Ford Credit Auto Owner Trust 2012-A | 1.150% | 6/15/17 | 6,825 | 6,844 |
5 | Ford Credit Auto Owner Trust 2012-B | 0.720% | 12/15/16 | 265 | 265 |
5 | Ford Credit Auto Owner Trust 2013-A | 0.550% | 7/15/17 | 3,327 | 3,330 |
5 | Ford Credit Auto Owner Trust 2013-B | 0.570% | 10/15/17 | 2,727 | 2,729 |
5 | Ford Credit Auto Owner Trust 2013-B | 0.760% | 8/15/18 | 1,500 | 1,492 |
5 | Ford Credit Auto Owner Trust 2013-C | 0.820% | 12/15/17 | 3,539 | 3,547 |
5 | Ford Credit Auto Owner Trust 2013-C | 1.250% | 10/15/18 | 1,180 | 1,184 |
5 | Ford Credit Auto Owner Trust 2013-D | 0.670% | 4/15/18 | 3,400 | 3,400 |
5 | Ford Credit Auto Owner Trust 2013-D | 1.110% | 2/15/19 | 550 | 546 |
5 | Ford Credit Auto Owner Trust 2014-A | 0.790% | 5/15/18 | 3,150 | 3,147 |
5 | Ford Credit Auto Owner Trust 2014-A | 1.290% | 4/15/19 | 600 | 598 |
5 | Ford Credit Auto Owner Trust 2014-B | 0.900% | 10/15/18 | 4,900 | 4,900 |
5 | Ford Credit Auto Owner Trust 2014-B | 1.420% | 8/15/19 | 850 | 851 |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-5 | 1.500% | 9/15/18 | 4,675 | 4,705 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.200% | 2/15/19 | 5,400 | 5,386 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 11,200 | 11,182 | |
5 | GE Capital Credit Card Master Note Trust Series 2012-7 | 1.760% | 9/15/22 | 6,545 | 6,445 |
5 | GE Commercial Mortgage Corp. Series 2005-C3 Trust | 4.974% | 7/10/45 | 9,275 | 9,395 |
5 | GE Commercial Mortgage Corp. Series 2005-C4 Trust | 5.312% | 11/10/45 | 7,048 | 7,270 |
5 | GE Commercial Mortgage Corp. Series 2006-C1 Trust | 5.274% | 3/10/44 | 6,675 | 7,018 |
5 | GE Commercial Mortgage Corp. Series 2006-C1 Trust | 5.274% | 3/10/44 | 21,185 | 21,806 |
5 | GE Commercial Mortgage Corp. Series 2007-C1 Trust | 5.543% | 12/10/49 | 5,925 | 6,269 |
17
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 GMAC Commercial Mortgage Securities Inc. Series | ||||
2005-C1 Trust | 4.754% | 5/10/43 | 1,650 | 1,666 |
5 GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 13,665 | 14,029 |
5 GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 4,750 | 4,939 |
5 GS Mortgage Securities Trust 2007-GG10 | 5.796% | 8/10/45 | 5,530 | 5,980 |
5 GS Mortgage Securities Trust 2011-GC5 | 3.707% | 8/10/44 | 3,220 | 3,414 |
5 GS Mortgage Securities Trust 2012-GC6 | 3.482% | 1/10/45 | 12,500 | 13,071 |
5 GS Mortgage Securities Trust 2012-GCJ7 | 3.377% | 5/10/45 | 7,475 | 7,761 |
5 GS Mortgage Securities Trust 2012-GCJ9 | 2.773% | 11/10/45 | 5,530 | 5,493 |
5 GS Mortgage Securities Trust 2013-GC10 | 2.943% | 2/10/46 | 4,077 | 4,084 |
5 GS Mortgage Securities Trust 2013-GC10 | 3.279% | 2/10/46 | 1,529 | 1,530 |
5 GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 5,682 | 5,753 |
GS Mortgage Securities Trust 2013-GCJ12 | 3.375% | 6/10/46 | 1,792 | 1,814 |
5 GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 2,055 | 2,120 |
5 GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 1,470 | 1,557 |
5 GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 7,350 | 8,027 |
5 GS Mortgage Securities Trust 2013-GCJ16 | 3.033% | 11/10/46 | 2,600 | 2,696 |
5 GS Mortgage Securities Trust 2013-GCJ16 | 3.813% | 11/10/46 | 1,100 | 1,165 |
5 GS Mortgage Securities Trust 2013-GCJ16 | 4.271% | 11/10/46 | 1,525 | 1,666 |
5 GS Mortgage Securities Trust 2014-GC18 | 1.298% | 1/10/47 | 2,732 | 2,728 |
5 GS Mortgage Securities Trust 2014-GC18 | 4.074% | 1/10/47 | 5,950 | 6,361 |
5 GS Mortgage Securities Trust 2014-GC18 | 4.383% | 1/10/47 | 1,975 | 2,119 |
5 GS Mortgage Securities Trust 2014-GC18 | 3.467% | 6/10/47 | 2,225 | 2,311 |
5 GS Mortgage Securities Trust 2014-GC18 | 3.516% | 6/10/47 | 500 | 519 |
5 GS Mortgage Securities Trust 2014-GC18 | 3.862% | 6/10/47 | 1,950 | 2,062 |
5 GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 6,125 | 6,532 |
5 GS Mortgage Securities Trust 2014-GC24 | 4.507% | 9/10/47 | 1,675 | 1,792 |
5 GS Mortgage Securities Trust 2014-GC26 | 2.902% | 11/10/47 | 1,850 | 1,893 |
5 GS Mortgage Securities Trust 2014-GC26 | 3.365% | 11/10/47 | 3,400 | 3,504 |
5 GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 11,200 | 11,632 |
5 GS Mortgage Securities Trust 2014-GC26 | 3.964% | 11/10/47 | 2,000 | 2,087 |
5 GS Mortgage Securities Trust 2014-GC26 | 4.215% | 11/10/47 | 1,700 | 1,775 |
5 Honda Auto Receivables 2012-1 Owner Trust | 0.970% | 4/16/18 | 1,025 | 1,026 |
5 Honda Auto Receivables 2012-4 Owner Trust | 0.660% | 12/18/18 | 5,500 | 5,504 |
5 Honda Auto Receivables 2013-1 Owner Trust | 0.480% | 11/21/16 | 4,197 | 4,199 |
5 Honda Auto Receivables 2013-1 Owner Trust | 0.620% | 3/21/19 | 4,802 | 4,800 |
5 Honda Auto Receivables 2013-2 Owner Trust | 0.530% | 2/16/17 | 1,718 | 1,719 |
5 Honda Auto Receivables 2013-2 Owner Trust | 0.660% | 6/17/19 | 1,718 | 1,710 |
5 Honda Auto Receivables 2013-4 Owner Trust | 0.690% | 9/18/17 | 1,975 | 1,974 |
5 Honda Auto Receivables 2013-4 Owner Trust | 1.040% | 2/18/20 | 1,650 | 1,643 |
5 Honda Auto Receivables 2014-1 Owner Trust | 0.670% | 11/21/17 | 3,413 | 3,404 |
5 Honda Auto Receivables 2014-1 Owner Trust | 1.040% | 2/21/20 | 1,707 | 1,701 |
5 Honda Auto Receivables 2014-2 Owner Trust | 0.770% | 3/19/18 | 2,475 | 2,471 |
5 Honda Auto Receivables 2014-2 Owner Trust | 1.180% | 5/18/20 | 1,375 | 1,371 |
5 Honda Auto Receivables 2014-3 Owner Trust | 0.880% | 6/15/18 | 4,900 | 4,883 |
5 Honda Auto Receivables 2014-3 Owner Trust | 1.310% | 10/15/20 | 2,800 | 2,780 |
5 Hyundai Auto Receivables Trust 2012-C | 0.730% | 6/15/18 | 2,575 | 2,573 |
5 Hyundai Auto Receivables Trust 2013-A | 0.560% | 7/17/17 | 2,470 | 2,471 |
5 Hyundai Auto Receivables Trust 2013-A | 0.750% | 9/17/18 | 5,096 | 5,093 |
5 Hyundai Auto Receivables Trust 2013-B | 0.710% | 9/15/17 | 4,800 | 4,805 |
5 Hyundai Auto Receivables Trust 2013-B | 1.010% | 2/15/19 | 2,400 | 2,402 |
5 Hyundai Auto Receivables Trust 2013-C | 1.010% | 2/15/18 | 10,930 | 10,970 |
5 Hyundai Auto Receivables Trust 2013-C | 1.550% | 3/15/19 | 2,890 | 2,918 |
5 Hyundai Auto Receivables Trust 2014-A | 0.790% | 7/16/18 | 2,520 | 2,517 |
5 Hyundai Auto Receivables Trust 2014-B | 0.900% | 12/17/18 | 5,500 | 5,490 |
5 Hyundai Auto Receivables Trust 2014-B | 1.460% | 11/15/19 | 1,370 | 1,368 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-CIBC11 | 5.402% | 8/12/37 | 2,000 | 2,011 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-CIBC13 | 5.284% | 1/12/43 | 1,750 | 1,801 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP2 | 4.738% | 7/15/42 | 940 | 949 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP2 | 4.780% | 7/15/42 | 2,375 | 2,399 |
18
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP4 | 4.918% | 10/15/42 | 10,957 | 11,173 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP5 | 5.236% | 12/15/44 | 6,548 | 6,672 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP5 | 5.278% | 12/15/44 | 4,250 | 4,388 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP5 | 5.357% | 12/15/44 | 1,390 | 1,437 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-CB17 | 5.429% | 12/12/43 | 1,706 | 1,793 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-CIBC14 | 5.433% | 12/12/44 | 3,300 | 3,425 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-CIBC16 | 5.593% | 5/12/45 | 7,121 | 7,572 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.475% | 4/15/43 | 3,572 | 3,692 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.865% | 4/15/45 | 19,218 | 20,041 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.865% | 4/15/45 | 3,300 | 3,495 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP8 | 5.440% | 5/15/45 | 4,525 | 4,794 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC18 | 5.440% | 6/12/47 | 10,273 | 10,957 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.794% | 2/12/51 | 28,300 | 30,524 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.877% | 2/12/51 | 3,350 | 3,689 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP11 | 5.787% | 6/15/49 | 8,035 | 8,618 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.882% | 2/15/51 | 13,170 | 14,340 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 9,250 | 9,666 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 6,675 | 6,669 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 3.483% | 6/15/45 | 7,490 | 7,829 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 3,750 | 3,739 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C10 | 3.143% | 12/15/47 | 2,314 | 2,352 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C10 | 3.372% | 12/15/47 | 1,735 | 1,758 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 1,600 | 1,688 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 2,300 | 2,443 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 3,100 | 3,366 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.517% | 12/15/46 | 1,600 | 1,745 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.944% | 12/15/46 | 1,600 | 1,774 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 2,678 | 2,681 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2014-C20 | 2.872% | 7/15/47 | 2,250 | 2,301 |
5 JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2014-C20 | 3.805% | 7/15/47 | 850 | 897 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 1,776 | 1,867 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.026% | 7/15/45 | 1,184 | 1,260 |
19
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 1,680 | 1,779 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 4,470 | 4,849 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.409% | 8/15/46 | 1,260 | 1,366 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 1.233% | 11/15/45 | 857 | 856 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 4,200 | 4,330 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 420 | 443 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.131% | 11/15/45 | 2,940 | 3,188 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.420% | 11/15/45 | 1,680 | 1,822 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 3.003% | 1/15/47 | 2,200 | 2,268 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 3.705% | 1/15/47 | 1,650 | 1,741 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 5,500 | 5,983 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.458% | 1/15/47 | 1,100 | 1,193 |
5 JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.887% | 1/15/47 | 1,650 | 1,820 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 5,990 | 6,457 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 1,173 | 1,270 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.809% | 2/15/47 | 1,422 | 1,558 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.046% | 4/15/47 | 2,225 | 2,293 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.669% | 4/15/47 | 2,800 | 2,936 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.997% | 4/15/47 | 2,800 | 2,998 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 4.243% | 4/15/47 | 2,225 | 2,374 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 4.110% | 9/15/47 | 2,225 | 2,332 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 1,411 | 1,462 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.775% | 8/15/47 | 1,375 | 1,447 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.997% | 8/15/47 | 850 | 889 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C22 | 3.801% | 9/15/47 | 8,325 | 8,771 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C23 | 3.934% | 9/15/47 | 4,175 | 4,444 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C23 | 4.202% | 9/15/47 | 2,462 | 2,613 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 2.940% | 11/15/47 | 2,850 | 2,915 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 2,275 | 2,366 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.914% | 11/15/47 | 4,125 | 4,279 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C25 | 3.672% | 11/15/47 | 9,975 | 10,417 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C25 | 4.065% | 11/15/47 | 2,775 | 2,909 |
20
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.019% | 1/15/48 | 5,725 | 5,881 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 8,450 | 8,689 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.800% | 1/15/48 | 2,875 | 2,952 |
5 JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.951% | 1/15/48 | 2,875 | 2,949 |
5 LB Commercial Mortgage Trust 2007-C3 | 5.903% | 7/15/44 | 660 | 713 |
5 LB-UBS Commercial Mortgage Trust 2005-C2 | 5.150% | 4/15/30 | 2,451 | 2,457 |
5 LB-UBS Commercial Mortgage Trust 2005-C5 | 5.057% | 9/15/40 | 1,625 | 1,655 |
5 LB-UBS Commercial Mortgage Trust 2005-C7 | 5.197% | 11/15/30 | 15,997 | 16,137 |
5 LB-UBS Commercial Mortgage Trust 2006-C1 | 5.217% | 2/15/31 | 4,599 | 4,764 |
5 LB-UBS Commercial Mortgage Trust 2006-C3 | 5.661% | 3/15/39 | 25,319 | 26,273 |
5 LB-UBS Commercial Mortgage Trust 2006-C4 | 5.833% | 6/15/38 | 9,488 | 9,961 |
5 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.372% | 9/15/39 | 13,351 | 14,075 |
5 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.413% | 9/15/39 | 1,175 | 1,247 |
5 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 3,838 | 4,092 |
5 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.378% | 11/15/38 | 3,125 | 3,309 |
5 LB-UBS Commercial Mortgage Trust 2007-C1 | 5.424% | 2/15/40 | 5,488 | 5,855 |
5 LB-UBS Commercial Mortgage Trust 2007-C2 | 5.430% | 2/15/40 | 10,313 | 11,042 |
5 LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 13,239 | 14,560 |
5 LB-UBS Commercial Mortgage Trust 2008-C1 | 6.154% | 4/15/41 | 22,075 | 24,365 |
5 Mercedes-Benz Auto Lease Trust 2013-B | 0.760% | 7/15/19 | 550 | 548 |
5 Mercedes-Benz Auto Lease Trust 2014-A | 0.900% | 12/16/19 | 3,925 | 3,888 |
5 Mercedes-Benz Auto Receivables Trust 2013-1 | 0.780% | 8/15/17 | 1,180 | 1,185 |
5 Mercedes-Benz Auto Receivables Trust 2013-1 | 1.130% | 11/15/19 | 1,180 | 1,181 |
5 Mercedes-Benz Auto Receivables Trust 2014-1 | 0.870% | 10/15/18 | 2,725 | 2,717 |
5 Mercedes-Benz Auto Receivables Trust 2014-1 | 1.310% | 11/16/20 | 825 | 823 |
5 Merrill Lynch Mortgage Trust 2005-CIP1 | 5.107% | 7/12/38 | 1,915 | 1,946 |
5 Merrill Lynch Mortgage Trust 2005-LC1 | 5.291% | 1/12/44 | 18,472 | 18,952 |
5 Merrill Lynch Mortgage Trust 2005-MCP1 | 4.747% | 6/12/43 | 1,597 | 1,609 |
5 Merrill Lynch Mortgage Trust 2006-C1 | 5.677% | 5/12/39 | 14,050 | 14,634 |
5 Merrill Lynch Mortgage Trust 2006-C1 | 5.677% | 5/12/39 | 1,825 | 1,911 |
5 Merrill Lynch Mortgage Trust 2006-C2 | 5.782% | 8/12/43 | 2,865 | 3,043 |
5 Merrill Lynch Mortgage Trust 2007-C1 | 5.835% | 6/12/50 | 24,868 | 26,954 |
5 Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 15,549 | 16,968 |
5 ML-CFC Commercial Mortgage Trust 2006-2 | 5.869% | 6/12/46 | 20,426 | 21,384 |
5 ML-CFC Commercial Mortgage Trust 2006-3 | 5.456% | 7/12/46 | 3,660 | 3,884 |
5 ML-CFC Commercial Mortgage Trust 2006-4 | 5.204% | 12/12/49 | 2,496 | 2,660 |
5 ML-CFC Commercial Mortgage Trust 2007-5 | 5.378% | 8/12/48 | 14,225 | 15,121 |
5 ML-CFC Commercial Mortgage Trust 2007-8 | 5.845% | 8/12/49 | 36 | 36 |
5 ML-CFC Commercial Mortgage Trust 2007-9 | 5.700% | 9/12/49 | 14,675 | 15,919 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 3,025 | 3,086 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 3,000 | 3,004 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 8,000 | 8,674 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.217% | 8/15/46 | 1,680 | 1,833 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.417% | 8/15/46 | 840 | 914 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.001% | 10/15/46 | 2,340 | 2,413 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 4.259% | 10/15/46 | 3,915 | 4,277 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 2.936% | 11/15/46 | 1,750 | 1,802 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 3,500 | 3,764 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.743% | 11/15/46 | 1,750 | 1,891 |
21
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 3,011 | 3,015 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 599 | 601 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C8 | 3.134% | 12/15/48 | 3,475 | 3,527 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C8 | 3.376% | 12/15/48 | 1,800 | 1,819 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 2,475 | 2,498 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.456% | 5/15/46 | 1,800 | 1,831 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014 C19 | 3.101% | 12/15/47 | 5,700 | 5,873 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014 C19 | 3.326% | 12/15/47 | 3,025 | 3,123 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014 C19 | 3.526% | 12/15/47 | 4,450 | 4,613 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 1.250% | 2/15/47 | 1,440 | 1,436 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 2.916% | 2/15/47 | 2,200 | 2,255 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 3.669% | 2/15/47 | 4,475 | 4,679 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 4,475 | 4,811 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.644% | 2/15/47 | 1,600 | 1,744 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 2.849% | 6/15/47 | 850 | 867 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.477% | 6/15/47 | 1,125 | 1,170 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 4,200 | 4,463 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.325% | 6/15/47 | 1,675 | 1,766 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.194% | 10/15/47 | 5,000 | 5,187 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 1,400 | 1,488 |
5 Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 4.446% | 10/15/47 | 1,675 | 1,764 |
5 Morgan Stanley Capital I Trust 2005-HQ6 | 4.989% | 8/13/42 | 25,014 | 25,240 |
5 Morgan Stanley Capital I Trust 2005-HQ6 | 5.073% | 8/13/42 | 3,730 | 3,774 |
5 Morgan Stanley Capital I Trust 2005-HQ7 | 5.206% | 11/14/42 | 12,815 | 13,006 |
5 Morgan Stanley Capital I Trust 2005-IQ10 | 5.230% | 9/15/42 | 16,681 | 16,962 |
5 Morgan Stanley Capital I Trust 2005-IQ9 | 4.770% | 7/15/56 | 3,295 | 3,300 |
5 Morgan Stanley Capital I Trust 2005-TOP17 | 4.840% | 12/13/41 | 742 | 743 |
5 Morgan Stanley Capital I Trust 2005-TOP19 | 4.985% | 6/12/47 | 3,115 | 3,149 |
5 Morgan Stanley Capital I Trust 2006-HQ10 | 5.328% | 11/12/41 | 5,729 | 6,011 |
5 Morgan Stanley Capital I Trust 2006-HQ10 | 5.360% | 11/12/41 | 7,400 | 7,869 |
5 Morgan Stanley Capital I Trust 2006-HQ8 | 5.412% | 3/12/44 | 19,356 | 19,888 |
5 Morgan Stanley Capital I Trust 2006-HQ8 | 5.461% | 3/12/44 | 4,875 | 5,081 |
5 Morgan Stanley Capital I Trust 2006-HQ9 | 5.773% | 7/12/44 | 4,596 | 4,879 |
5 Morgan Stanley Capital I Trust 2006-HQ9 | 5.793% | 7/12/44 | 4,100 | 4,306 |
5 Morgan Stanley Capital I Trust 2006-IQ11 | 5.656% | 10/15/42 | 6,717 | 6,902 |
5 Morgan Stanley Capital I Trust 2006-IQ11 | 5.660% | 10/15/42 | 4,325 | 4,489 |
5 Morgan Stanley Capital I Trust 2006-IQ11 | 5.660% | 10/15/42 | 700 | 738 |
5 Morgan Stanley Capital I Trust 2006-IQ12 | 5.332% | 12/15/43 | 10,725 | 11,335 |
5 Morgan Stanley Capital I Trust 2006-IQ12 | 5.370% | 12/15/43 | 1,960 | 2,068 |
5 Morgan Stanley Capital I Trust 2006-T23 | 5.809% | 8/12/41 | 2,290 | 2,407 |
5 Morgan Stanley Capital I Trust 2006-TOP21 | 5.204% | 10/12/52 | 6,200 | 6,414 |
5 Morgan Stanley Capital I Trust 2006-TOP23 | 5.809% | 8/12/41 | 2,175 | 2,321 |
5 Morgan Stanley Capital I Trust 2007-IQ14 | 5.654% | 4/15/49 | 860 | 876 |
22
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Morgan Stanley Capital I Trust 2007-IQ14 | 5.692% | 4/15/49 | 14,295 | 15,374 |
5 Morgan Stanley Capital I Trust 2007-IQ16 | 5.809% | 12/12/49 | 13,426 | 14,582 |
5 Morgan Stanley Capital I Trust 2007-IQ16 | 6.083% | 12/12/49 | 4,675 | 5,157 |
5 Morgan Stanley Capital I Trust 2007-TOP25 | 5.514% | 11/12/49 | 2,353 | 2,505 |
5 Morgan Stanley Capital I Trust 2007-TOP25 | 5.544% | 11/12/49 | 4,525 | 4,804 |
5 Morgan Stanley Capital I Trust 2007-TOP27 | 5.651% | 6/11/42 | 5,075 | 5,501 |
5 Morgan Stanley Capital I Trust 2007-TOP27 | 5.651% | 6/11/42 | 20,815 | 22,630 |
5 Morgan Stanley Capital I Trust 2008-TOP29 | 6.278% | 1/11/43 | 22,205 | 24,687 |
5 Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 7,000 | 7,183 |
5 Nissan Auto Lease Trust 2014-B | 1.120% | 9/15/17 | 1,700 | 1,697 |
5 Nissan Auto Receivables 2012-B Owner Trust | 0.660% | 12/17/18 | 4,945 | 4,951 |
5 Nissan Auto Receivables 2013-A Owner Trust | 0.500% | 5/15/17 | 3,894 | 3,897 |
5 Nissan Auto Receivables 2013-A Owner Trust | 0.750% | 7/15/19 | 10,750 | 10,709 |
5 Nissan Auto Receivables 2013-B Owner Trust | 0.840% | 11/15/17 | 2,360 | 2,367 |
5 Nissan Auto Receivables 2013-B Owner Trust | 1.310% | 10/15/19 | 1,770 | 1,775 |
5 Nissan Auto Receivables 2013-C Owner Trust | 0.670% | 8/15/18 | 2,800 | 2,796 |
5 Nissan Auto Receivables 2013-C Owner Trust | 1.300% | 6/15/20 | 1,600 | 1,599 |
5 Nissan Auto Receivables 2014-A Owner Trust | 0.720% | 8/15/18 | 1,975 | 1,969 |
5 Nissan Auto Receivables 2014-A Owner Trust | 1.340% | 8/17/20 | 2,250 | 2,242 |
5 Nissan Auto Receivables 2014-B Owner Trust | 1.110% | 5/15/19 | 2,800 | 2,794 |
5 PSE&G Transition Funding LLC Series 2001-1 | 6.890% | 12/15/17 | 19,691 | 20,416 |
8 Royal Bank of Canada | 3.125% | 4/14/15 | 9,325 | 9,387 |
5 Royal Bank of Canada | 0.625% | 12/5/16 | 9,100 | 9,104 |
5 Royal Bank of Canada | 1.200% | 9/19/18 | 11,315 | 11,248 |
5 Royal Bank of Canada | 2.000% | 10/1/19 | 20,000 | 20,121 |
5 Santander Drive Auto Receivables Trust 2013-1 | 0.620% | 6/15/17 | 1,919 | 1,919 |
5 Santander Drive Auto Receivables Trust 2013-2 | 0.700% | 9/15/17 | 3,237 | 3,238 |
5 Santander Drive Auto Receivables Trust 2013-3 | 0.700% | 10/16/17 | 2,730 | 2,731 |
5 Santander Drive Auto Receivables Trust 2013-4 | 1.110% | 12/15/17 | 1,690 | 1,692 |
5 Santander Drive Auto Receivables Trust 2013-4 | 0.870% | 1/16/18 | 1,250 | 1,251 |
5 Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 2,600 | 2,606 |
5 Santander Drive Auto Receivables Trust 2014-2 | 0.800% | 4/16/18 | 1,375 | 1,374 |
5 Santander Drive Auto Receivables Trust 2014-3 | 0.810% | 7/16/18 | 850 | 849 |
5 Santander Drive Auto Receivables Trust 2014-4 | 1.080% | 9/17/18 | 2,800 | 2,801 |
5 Synchrony Credit Card Master Note Trust 2014-1 | 1.610% | 11/15/20 | 3,325 | 3,322 |
5 TIAA Seasoned Commercial Mortgage Trust 2007-C4 | 5.560% | 8/15/39 | 3,285 | 3,345 |
5 Toyota Auto Receivables 2012-A Owner Trust | 0.990% | 8/15/17 | 10,815 | 10,849 |
5 Toyota Auto Receivables 2013-A Owner Trust | 0.550% | 1/17/17 | 1,074 | 1,074 |
5 Toyota Auto Receivables 2013-A Owner Trust | 0.690% | 11/15/18 | 1,625 | 1,619 |
5 Toyota Auto Receivables 2014-A Owner Trust | 0.670% | 12/15/17 | 3,825 | 3,816 |
5 Toyota Auto Receivables 2014-A Owner Trust | 1.180% | 6/17/19 | 1,250 | 1,247 |
5 Toyota Auto Receivables 2014-B Owner Trust | 0.760% | 3/15/18 | 1,400 | 1,398 |
5 Toyota Auto Receivables 2014-B Owner Trust | 1.310% | 9/16/19 | 1,125 | 1,123 |
5 UBS-Barclays Commercial Mortgage Trust 2013-C5 | 3.185% | 3/10/46 | 4,636 | 4,693 |
5 UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.244% | 4/10/46 | 2,875 | 2,925 |
5 UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 1,150 | 1,159 |
5 USAA Auto Owner Trust 2014-1 | 0.580% | 12/15/17 | 1,675 | 1,664 |
5 USAA Auto Owner Trust 2014-1 | 0.940% | 5/15/19 | 1,150 | 1,144 |
5 Volkswagen Auto Lease Trust | 0.800% | 4/20/17 | 1,120 | 1,110 |
5 Volkswagen Auto Lease Trust | 0.990% | 7/20/18 | 1,120 | 1,113 |
5 Volkswagen Auto Loan Enhanced Trust 2012-1 | 1.150% | 7/20/18 | 12,366 | 12,416 |
5 Volkswagen Auto Loan Enhanced Trust 2013-2 | 0.700% | 4/20/18 | 1,750 | 1,741 |
5 Volkswagen Auto Loan Enhanced Trust 2013-2 | 1.160% | 3/20/20 | 875 | 863 |
5 Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.910% | 10/22/18 | 3,325 | 3,321 |
5 Volkswagen Auto Loan Enhanced Trust 2014-1 | 1.450% | 9/21/20 | 2,775 | 2,775 |
5 Volkswagen Auto Loan Enhanced Trust 2014-2 | 0.950% | 4/22/19 | 8,450 | 8,409 |
5 Volkswagen Auto Loan Enhanced Trust 2014-2 | 1.390% | 5/20/21 | 2,850 | 2,826 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C17 | 5.224% | 3/15/42 | 1,700 | 1,703 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C19 | 4.699% | 5/15/44 | 9,371 | 9,470 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C19 | 4.750% | 5/15/44 | 1,480 | 1,500 |
23
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C19 | 4.793% | 5/15/44 | 3,325 | 3,353 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C20 | 5.118% | 7/15/42 | 5,665 | 5,700 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C21 | 5.242% | 10/15/44 | 16,533 | 16,777 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C21 | 5.242% | 10/15/44 | 1,340 | 1,372 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C22 | 5.269% | 12/15/44 | 20,800 | 21,280 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C22 | 5.319% | 12/15/44 | 790 | 812 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C25 | 5.723% | 5/15/43 | 13,364 | 13,884 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C26 | 5.969% | 6/15/45 | 1,300 | 1,374 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C27 | 5.765% | 7/15/45 | 8,634 | 9,043 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.339% | 11/15/48 | 2,225 | 2,353 |
5 Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C33 | 5.941% | 2/15/51 | 6,633 | 7,077 |
5 Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 3,675 | 3,691 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC16 | 2.819% | 8/15/50 | 1,675 | 1,712 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 1,125 | 1,168 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 3,925 | 4,137 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 550 | 577 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC18 | 2.954% | 12/15/47 | 3,400 | 3,489 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 1,961 | 2,008 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.271% | 12/15/47 | 4,000 | 4,095 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 5,650 | 5,787 |
5 Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.808% | 12/15/47 | 2,850 | 2,924 |
5 WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 3,000 | 2,994 |
5 WFRBS Commercial Mortgage Trust 2012-C6 | 3.440% | 4/15/45 | 7,425 | 7,755 |
5 WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 4,975 | 5,173 |
5 WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 4,400 | 4,681 |
5 WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 3,100 | 3,132 |
5 WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 6,125 | 6,127 |
5 WFRBS Commercial Mortgage Trust 2013-C11 | 3.071% | 3/15/45 | 4,148 | 4,188 |
5 WFRBS Commercial Mortgage Trust 2013-C12 | 3.198% | 3/15/48 | 1,733 | 1,767 |
5 WFRBS Commercial Mortgage Trust 2013-C12 | 3.560% | 3/15/48 | 820 | 841 |
5 WFRBS Commercial Mortgage Trust 2013-C13 | 3.001% | 5/15/45 | 3,436 | 3,449 |
5 WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 673 | 679 |
5 WFRBS Commercial Mortgage Trust 2013-C14 | 3.337% | 6/15/46 | 6,000 | 6,169 |
5 WFRBS Commercial Mortgage Trust 2013-C14 | 3.488% | 6/15/46 | 3,000 | 3,056 |
5 WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 1,120 | 1,185 |
5 WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 4,470 | 4,857 |
5 WFRBS Commercial Mortgage Trust 2013-C15 | 4.358% | 8/15/46 | 1,120 | 1,211 |
5 WFRBS Commercial Mortgage Trust 2013-C16 | 3.223% | 9/15/46 | 2,100 | 2,189 |
5 WFRBS Commercial Mortgage Trust 2013-C16 | 3.963% | 9/15/46 | 1,250 | 1,339 |
5 WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 1,250 | 1,383 |
5 WFRBS Commercial Mortgage Trust 2013-C16 | 4.668% | 9/15/46 | 2,100 | 2,320 |
5 WFRBS Commercial Mortgage Trust 2013-C17 | 2.921% | 12/15/46 | 1,150 | 1,183 |
5 WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 1,150 | 1,204 |
5 WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 1,450 | 1,559 |
5 WFRBS Commercial Mortgage Trust 2013-C17 | 4.255% | 12/15/46 | 1,150 | 1,232 |
5 WFRBS Commercial Mortgage Trust 2013-C17 | 4.788% | 12/15/46 | 1,150 | 1,257 |
5 WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 1,150 | 1,186 |
5 WFRBS Commercial Mortgage Trust 2013-C18 | 3.651% | 12/15/46 | 2,300 | 2,408 |
5 WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 5,010 | 5,436 |
5 WFRBS Commercial Mortgage Trust 2013-C18 | 4.387% | 12/15/46 | 575 | 622 |
5 WFRBS Commercial Mortgage Trust 2013-C18 | 4.673% | 12/15/46 | 862 | 943 |
5 WFRBS Commercial Mortgage Trust 2013-UBS1 | 2.927% | 3/15/46 | 3,100 | 3,196 |
5 WFRBS Commercial Mortgage Trust 2013-UBS1 | 3.591% | 3/15/46 | 1,750 | 1,827 |
24
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.079% | 3/15/46 | 2,350 | 2,534 |
5 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.632% | 3/15/46 | 575 | 631 |
5 WFRBS Commercial Mortgage Trust 2014-C19 | 1.233% | 3/15/47 | 1,098 | 1,095 |
5 WFRBS Commercial Mortgage Trust 2014-C19 | 3.618% | 3/15/47 | 950 | 997 |
5 WFRBS Commercial Mortgage Trust 2014-C19 | 3.660% | 3/15/47 | 1,250 | 1,308 |
5 WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 2,825 | 3,048 |
5 WFRBS Commercial Mortgage Trust 2014-C19 | 4.723% | 3/15/47 | 950 | 1,033 |
5 WFRBS Commercial Mortgage Trust 2014-C20 | 3.036% | 5/15/47 | 1,100 | 1,135 |
5 WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 1,100 | 1,155 |
5 WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 1,675 | 1,792 |
5 WFRBS Commercial Mortgage Trust 2014-C20 | 4.176% | 5/15/47 | 1,675 | 1,826 |
5 WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 4,000 | 4,177 |
5 WFRBS Commercial Mortgage Trust 2014-C22 | 3.752% | 9/15/57 | 8,200 | 8,612 |
5 WFRBS Commercial Mortgage Trust 2014-C22 | 4.371% | 9/15/57 | 1,675 | 1,774 |
5 WFRBS Commercial Mortgage Trust 2014-C23 | 3.636% | 10/15/57 | 1,293 | 1,359 |
5 WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 1,675 | 1,776 |
5 WFRBS Commercial Mortgage Trust 2014-C23 | 4.210% | 10/15/57 | 1,125 | 1,189 |
5 WFRBS Commercial Mortgage Trust 2014-C24 | 3.428% | 11/15/47 | 2,860 | 2,940 |
5 WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,860 | 2,964 |
5 WFRBS Commercial Mortgage Trust 2014-LC14 | 1.193% | 3/15/47 | 1,953 | 1,946 |
5 WFRBS Commercial Mortgage Trust 2014-LC14 | 2.862% | 3/15/47 | 1,120 | 1,149 |
5 WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 2,800 | 2,920 |
5 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 6,720 | 7,209 |
5 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.351% | 3/15/47 | 2,800 | 3,010 |
5 World Omni Auto Receivables Trust 2012-B | 0.810% | 1/15/19 | 3,367 | 3,368 |
5 World Omni Auto Receivables Trust 2013-B | 0.830% | 8/15/18 | 1,975 | 1,976 |
5 World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 825 | 826 |
5 World Omni Auto Receivables Trust 2014-A | 0.940% | 4/15/19 | 2,775 | 2,769 |
5 World Omni Auto Receivables Trust 2014-A | 1.530% | 6/15/20 | 2,775 | 2,772 |
5 World Omni Auto Receivables Trust 2014-B | 1.140% | 1/15/20 | 3,850 | 3,831 |
5 World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 1,530 | 1,520 |
5 World Omni Automobile Lease Securitization Trust | ||||
2013-A | 1.100% | 12/15/16 | 2,860 | 2,866 |
5 World Omni Automobile Lease Securitization Trust | ||||
2014-A | 1.160% | 9/15/17 | 2,800 | 2,798 |
5 World Omni Automobile Lease Securitization Trust | ||||
2014-A | 1.370% | 1/15/20 | 850 | 848 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,901,218) | 4,042,567 | |||
Corporate Bonds (25.6%) | ||||
Finance (8.4%) | ||||
Banking (5.7%) | ||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 13,250 | 13,740 |
Abbey National Treasury Services plc | 1.375% | 3/13/17 | 9,050 | 9,040 |
Abbey National Treasury Services plc | 1.650% | 9/29/17 | 10,000 | 9,980 |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 8,275 | 8,554 |
Abbey National Treasury Services plc | 2.350% | 9/10/19 | 8,825 | 8,832 |
Abbey National Treasury Services plc | 4.000% | 3/13/24 | 15,700 | 16,349 |
American Express Bank FSB | 6.000% | 9/13/17 | 13,151 | 14,638 |
American Express Centurion Bank | 5.950% | 6/12/17 | 2,650 | 2,929 |
American Express Centurion Bank | 6.000% | 9/13/17 | 23,425 | 26,089 |
American Express Co. | 5.500% | 9/12/16 | 3,125 | 3,354 |
American Express Co. | 6.150% | 8/28/17 | 6,279 | 6,994 |
American Express Co. | 7.000% | 3/19/18 | 60,012 | 69,349 |
American Express Co. | 2.650% | 12/2/22 | 2,306 | 2,262 |
American Express Co. | 3.625% | 12/5/24 | 7,000 | 7,072 |
American Express Co. | 4.050% | 12/3/42 | 1,031 | 1,039 |
5 American Express Co. | 6.800% | 9/1/66 | 5,446 | 5,711 |
American Express Credit Corp. | 2.800% | 9/19/16 | 36,860 | 37,951 |
American Express Credit Corp. | 2.375% | 3/24/17 | 2,690 | 2,750 |
American Express Credit Corp. | 1.125% | 6/5/17 | 22,600 | 22,529 |
American Express Credit Corp. | 2.125% | 7/27/18 | 875 | 882 |
American Express Credit Corp. | 2.125% | 3/18/19 | 5,415 | 5,411 |
25
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Associates Corp. of North America | 6.950% | 11/1/18 | 1,876 | 2,191 |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 8,350 | 8,360 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 1/10/17 | 9,635 | 9,670 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 6/13/17 | 5,675 | 5,661 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 4,590 | 4,633 |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 16,300 | 16,306 |
Bancolombia SA | 5.950% | 6/3/21 | 6,025 | 6,441 |
Bank of America Corp. | 5.250% | 12/1/15 | 3,723 | 3,858 |
Bank of America Corp. | 1.250% | 1/11/16 | 13,825 | 13,837 |
Bank of America Corp. | 3.625% | 3/17/16 | 12,700 | 13,058 |
Bank of America Corp. | 6.050% | 5/16/16 | 5,950 | 6,306 |
Bank of America Corp. | 3.750% | 7/12/16 | 12,440 | 12,881 |
Bank of America Corp. | 6.500% | 8/1/16 | 28,665 | 30,893 |
Bank of America Corp. | 5.750% | 8/15/16 | 13,495 | 14,336 |
Bank of America Corp. | 5.625% | 10/14/16 | 7,073 | 7,573 |
Bank of America Corp. | 1.350% | 11/21/16 | 5,125 | 5,106 |
Bank of America Corp. | 5.420% | 3/15/17 | 14,400 | 15,443 |
Bank of America Corp. | 3.875% | 3/22/17 | 13,050 | 13,660 |
Bank of America Corp. | 5.700% | 5/2/17 | 5,600 | 6,051 |
Bank of America Corp. | 1.700% | 8/25/17 | 7,140 | 7,141 |
Bank of America Corp. | 6.400% | 8/28/17 | 14,646 | 16,288 |
Bank of America Corp. | 6.000% | 9/1/17 | 2,825 | 3,114 |
Bank of America Corp. | 5.750% | 12/1/17 | 17,185 | 19,002 |
Bank of America Corp. | 2.000% | 1/11/18 | 43,380 | 43,301 |
Bank of America Corp. | 6.875% | 4/25/18 | 62,359 | 71,631 |
Bank of America Corp. | 5.650% | 5/1/18 | 59,979 | 66,621 |
Bank of America Corp. | 6.500% | 7/15/18 | 2,725 | 3,110 |
Bank of America Corp. | 6.875% | 11/15/18 | 600 | 696 |
Bank of America Corp. | 2.600% | 1/15/19 | 39,650 | 39,963 |
Bank of America Corp. | 2.650% | 4/1/19 | 8,998 | 9,062 |
Bank of America Corp. | 7.625% | 6/1/19 | 32,745 | 39,588 |
Bank of America Corp. | 5.625% | 7/1/20 | 56,745 | 64,619 |
Bank of America Corp. | 5.875% | 1/5/21 | 3,860 | 4,490 |
Bank of America Corp. | 5.000% | 5/13/21 | 11,040 | 12,288 |
Bank of America Corp. | 5.700% | 1/24/22 | 20,918 | 24,223 |
Bank of America Corp. | 3.300% | 1/11/23 | 27,572 | 27,514 |
Bank of America Corp. | 4.100% | 7/24/23 | 8,183 | 8,617 |
Bank of America Corp. | 4.125% | 1/22/24 | 34,070 | 35,788 |
Bank of America Corp. | 4.000% | 4/1/24 | 17,243 | 17,959 |
Bank of America Corp. | 4.200% | 8/26/24 | 26,676 | 27,226 |
Bank of America Corp. | 4.250% | 10/22/26 | 13,200 | 13,187 |
Bank of America Corp. | 6.110% | 1/29/37 | 5,525 | 6,590 |
Bank of America Corp. | 7.750% | 5/14/38 | 20,153 | 28,711 |
Bank of America Corp. | 5.875% | 2/7/42 | 23,044 | 28,960 |
Bank of America Corp. | 5.000% | 1/21/44 | 27,745 | 31,062 |
Bank of America Corp. | 4.875% | 4/1/44 | 8,025 | 8,864 |
Bank of America NA | 1.125% | 11/14/16 | 9,450 | 9,418 |
Bank of America NA | 5.300% | 3/15/17 | 28,615 | 30,717 |
Bank of America NA | 6.100% | 6/15/17 | 6,575 | 7,230 |
Bank of America NA | 6.000% | 10/15/36 | 10,955 | 13,701 |
Bank of Montreal | 0.800% | 11/6/15 | 9,070 | 9,091 |
Bank of Montreal | 1.300% | 7/15/16 | 9,915 | 9,972 |
Bank of Montreal | 2.500% | 1/11/17 | 18,460 | 18,905 |
Bank of Montreal | 1.300% | 7/14/17 | 6,100 | 6,075 |
Bank of Montreal | 1.400% | 9/11/17 | 1,785 | 1,786 |
Bank of Montreal | 1.450% | 4/9/18 | 350 | 346 |
Bank of Montreal | 2.375% | 1/25/19 | 6,575 | 6,632 |
Bank of Montreal | 2.550% | 11/6/22 | 21,975 | 21,434 |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 5,048 | 5,152 |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 19,960 | 20,426 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 6,900 | 6,994 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 3,250 | 3,214 |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 30,076 | 30,165 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 6,643 | 6,640 |
26
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 5,245 | 5,935 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 15,000 | 15,024 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 6,475 | 7,135 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 4,490 | 4,695 |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 1,300 | 1,363 |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 13,650 | 13,728 |
Bank of Nova Scotia | 2.900% | 3/29/16 | 1,130 | 1,159 |
Bank of Nova Scotia | 1.375% | 7/15/16 | 29,515 | 29,721 |
Bank of Nova Scotia | 1.100% | 12/13/16 | 12,050 | 12,059 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 15,760 | 16,268 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 5,975 | 5,956 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 11,525 | 11,439 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 16,885 | 16,909 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 4,690 | 4,668 |
Bank of Nova Scotia | 2.125% | 9/11/19 | 10,500 | 10,530 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 1,400 | 1,557 |
Bank of Nova Scotia | 2.800% | 7/21/21 | 16,325 | 16,322 |
Bank One Capital III | 8.750% | 9/1/30 | 1,675 | 2,416 |
Bank One Corp. | 7.625% | 10/15/26 | 2,055 | 2,706 |
Bank One Corp. | 8.000% | 4/29/27 | 2,500 | 3,377 |
Barclays Bank plc | 5.000% | 9/22/16 | 12,750 | 13,563 |
Barclays Bank plc | 2.500% | 2/20/19 | 21,700 | 21,963 |
Barclays Bank plc | 6.750% | 5/22/19 | 12,400 | 14,611 |
Barclays Bank plc | 5.125% | 1/8/20 | 17,125 | 19,176 |
Barclays Bank plc | 5.140% | 10/14/20 | 1,530 | 1,662 |
Barclays plc | 2.750% | 11/8/19 | 11,823 | 11,780 |
BB&T Corp. | 5.200% | 12/23/15 | 6,249 | 6,499 |
BB&T Corp. | 3.200% | 3/15/16 | 4,018 | 4,110 |
BB&T Corp. | 3.950% | 4/29/16 | 750 | 776 |
BB&T Corp. | 2.150% | 3/22/17 | 6,395 | 6,496 |
BB&T Corp. | 4.900% | 6/30/17 | 1,225 | 1,321 |
BB&T Corp. | 1.600% | 8/15/17 | 4,390 | 4,393 |
BB&T Corp. | 1.450% | 1/12/18 | 4,650 | 4,607 |
BB&T Corp. | 2.050% | 6/19/18 | 11,805 | 11,871 |
BB&T Corp. | 2.250% | 2/1/19 | 3,130 | 3,134 |
BB&T Corp. | 6.850% | 4/30/19 | 3,754 | 4,453 |
BB&T Corp. | 5.250% | 11/1/19 | 10,240 | 11,401 |
BB&T Corp. | 2.450% | 1/15/20 | 9,370 | 9,342 |
BBVA US Senior SAU | 4.664% | 10/9/15 | 19,400 | 19,929 |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 26,200 | 28,228 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 19,620 | 21,908 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 26,975 | 31,098 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 1,650 | 1,782 |
BNP Paribas SA | 3.600% | 2/23/16 | 14,340 | 14,743 |
BNP Paribas SA | 1.250% | 12/12/16 | 14,250 | 14,257 |
BNP Paribas SA | 2.375% | 9/14/17 | 29,271 | 29,745 |
BNP Paribas SA | 2.700% | 8/20/18 | 6,275 | 6,410 |
BNP Paribas SA | 2.400% | 12/12/18 | 12,180 | 12,289 |
BNP Paribas SA | 2.450% | 3/17/19 | 3,485 | 3,531 |
BNP Paribas SA | 5.000% | 1/15/21 | 35,515 | 39,714 |
BNP Paribas SA | 3.250% | 3/3/23 | 13,610 | 13,893 |
BPCE SA | 1.625% | 2/10/17 | 8,500 | 8,530 |
BPCE SA | 1.613% | 7/25/17 | 8,000 | 7,958 |
BPCE SA | 2.500% | 12/10/18 | 8,725 | 8,846 |
BPCE SA | 2.500% | 7/15/19 | 9,100 | 9,185 |
BPCE SA | 4.000% | 4/15/24 | 15,125 | 15,816 |
Branch Banking & Trust Co. | 5.625% | 9/15/16 | 5,825 | 6,239 |
Branch Banking & Trust Co. | 1.450% | 10/3/16 | 1,273 | 1,281 |
Branch Banking & Trust Co. | 1.050% | 12/1/16 | 12,050 | 12,029 |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 5,925 | 5,898 |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 8,200 | 8,282 |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 6,300 | 6,395 |
Canadian Imperial Bank of Commerce | 0.900% | 10/1/15 | 5,500 | 5,519 |
Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 11,557 | 11,677 |
27
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Canadian Imperial Bank of Commerce | 1.350% | 7/18/16 | 5,600 | 5,629 | |
Capital One Bank USA NA | 1.150% | 11/21/16 | 3,150 | 3,134 | |
Capital One Bank USA NA | 1.300% | 6/5/17 | 6,700 | 6,641 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 10,150 | 10,123 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 10,200 | 10,112 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 10,500 | 10,411 | |
Capital One Bank USA NA | 8.800% | 7/15/19 | 5,975 | 7,450 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 19,550 | 19,378 | |
Capital One Financial Corp. | 3.150% | 7/15/16 | 15,800 | 16,256 | |
Capital One Financial Corp. | 6.150% | 9/1/16 | 8,294 | 8,912 | |
Capital One Financial Corp. | 6.750% | 9/15/17 | 10,250 | 11,550 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 8,305 | 8,287 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 9,810 | 10,796 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 3,832 | 3,868 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 5,220 | 5,293 | |
Capital One NA | 1.500% | 9/5/17 | 4,075 | 4,041 | |
Capital One NA | 2.400% | 9/5/19 | 4,775 | 4,751 | |
5,8 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 14,225 | 17,401 |
Citigroup Inc. | 5.300% | 1/7/16 | 7,870 | 8,208 | |
Citigroup Inc. | 1.250% | 1/15/16 | 2,400 | 2,399 | |
Citigroup Inc. | 1.300% | 4/1/16 | 9,600 | 9,614 | |
Citigroup Inc. | 3.953% | 6/15/16 | 13,520 | 14,040 | |
Citigroup Inc. | 1.700% | 7/25/16 | 11,647 | 11,722 | |
Citigroup Inc. | 5.850% | 8/2/16 | 750 | 802 | |
Citigroup Inc. | 1.300% | 11/15/16 | 7,575 | 7,558 | |
Citigroup Inc. | 4.450% | 1/10/17 | 24,045 | 25,439 | |
Citigroup Inc. | 5.500% | 2/15/17 | 11,045 | 11,903 | |
Citigroup Inc. | 1.350% | 3/10/17 | 5,400 | 5,375 | |
Citigroup Inc. | 1.550% | 8/14/17 | 7,825 | 7,807 | |
Citigroup Inc. | 6.000% | 8/15/17 | 24,542 | 27,168 | |
Citigroup Inc. | 6.125% | 11/21/17 | 24,080 | 26,832 | |
Citigroup Inc. | 1.850% | 11/24/17 | 9,340 | 9,334 | |
Citigroup Inc. | 1.750% | 5/1/18 | 18,675 | 18,465 | |
Citigroup Inc. | 6.125% | 5/15/18 | 22,700 | 25,645 | |
Citigroup Inc. | 2.500% | 9/26/18 | 29,468 | 29,800 | |
Citigroup Inc. | 2.550% | 4/8/19 | 19,145 | 19,266 | |
Citigroup Inc. | 8.500% | 5/22/19 | 30,802 | 38,299 | |
Citigroup Inc. | 2.500% | 7/29/19 | 2,875 | 2,875 | |
Citigroup Inc. | 5.375% | 8/9/20 | 25,950 | 29,353 | |
Citigroup Inc. | 4.500% | 1/14/22 | 25,819 | 28,220 | |
Citigroup Inc. | 4.050% | 7/30/22 | 7,950 | 8,201 | |
Citigroup Inc. | 3.375% | 3/1/23 | 13,275 | 13,373 | |
Citigroup Inc. | 3.500% | 5/15/23 | 6,233 | 6,061 | |
Citigroup Inc. | 3.875% | 10/25/23 | 5,947 | 6,165 | |
Citigroup Inc. | 4.000% | 8/5/24 | 21,375 | 21,391 | |
Citigroup Inc. | 5.500% | 9/13/25 | 21,099 | 23,324 | |
Citigroup Inc. | 6.625% | 6/15/32 | 4,340 | 5,358 | |
Citigroup Inc. | 5.875% | 2/22/33 | 17,845 | 20,509 | |
Citigroup Inc. | 6.000% | 10/31/33 | 7,370 | 8,560 | |
Citigroup Inc. | 5.850% | 12/11/34 | 3,069 | 3,726 | |
Citigroup Inc. | 6.125% | 8/25/36 | 14,945 | 17,755 | |
Citigroup Inc. | 6.875% | 3/5/38 | 10,195 | 13,860 | |
Citigroup Inc. | 8.125% | 7/15/39 | 26,195 | 39,859 | |
Citigroup Inc. | 5.875% | 1/30/42 | 7,355 | 9,256 | |
Citigroup Inc. | 6.675% | 9/13/43 | 10,000 | 12,928 | |
Citigroup Inc. | 5.300% | 5/6/44 | 13,725 | 14,850 | |
Citizens Bank NA | 1.600% | 12/4/17 | 4,575 | 4,555 | |
Citizens Bank NA | 2.450% | 12/4/19 | 4,550 | 4,520 | |
Comerica Bank | 5.750% | 11/21/16 | 10,775 | 11,662 | |
Comerica Bank | 5.200% | 8/22/17 | 4,600 | 4,999 | |
Comerica Inc. | 2.125% | 5/23/19 | 1,000 | 993 | |
Commonwealth Bank of Australia | 1.950% | 3/16/15 | 12,625 | 12,664 | |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 10,775 | 10,720 | |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 4,200 | 4,241 |
28
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 2,425 | 2,464 |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 2,875 | 2,894 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 16,500 | 16,550 |
Compass Bank | 1.850% | 9/29/17 | 2,925 | 2,912 |
Compass Bank | 6.400% | 10/1/17 | 1,875 | 2,048 |
Compass Bank | 2.750% | 9/29/19 | 2,850 | 2,848 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 31,815 | 33,160 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 1.700% | 3/19/18 | 13,800 | 13,749 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 18,080 | 18,197 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 20,975 | 23,119 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 33,474 | 35,617 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 25,642 | 26,126 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 9,265 | 9,830 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 10,085 | 12,089 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 6,775 | 8,110 |
5 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 8.400% | 11/29/49 | 125 | 137 |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 1,900 | 2,014 |
Credit Suisse | 1.375% | 5/26/17 | 14,975 | 14,930 |
Credit Suisse | 6.000% | 2/15/18 | 26,300 | 29,250 |
Credit Suisse | 2.300% | 5/28/19 | 26,225 | 26,145 |
Credit Suisse | 5.300% | 8/13/19 | 12,675 | 14,213 |
Credit Suisse | 5.400% | 1/14/20 | 4,636 | 5,178 |
Credit Suisse | 4.375% | 8/5/20 | 14,492 | 15,677 |
Credit Suisse AG | 3.000% | 10/29/21 | 19,425 | 19,277 |
Credit Suisse AG | 3.625% | 9/9/24 | 18,750 | 19,048 |
Credit Suisse USA Inc. | 5.375% | 3/2/16 | 502 | 528 |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 10,479 | 14,679 |
Deutsche Bank AG | 3.250% | 1/11/16 | 15,578 | 15,911 |
Deutsche Bank AG | 1.400% | 2/13/17 | 1,625 | 1,621 |
Deutsche Bank AG | 1.350% | 5/30/17 | 25,550 | 25,355 |
Deutsche Bank AG | 6.000% | 9/1/17 | 18,231 | 20,218 |
Deutsche Bank AG | 2.500% | 2/13/19 | 15,500 | 15,693 |
Deutsche Bank AG | 3.700% | 5/30/24 | 17,795 | 18,192 |
5 Deutsche Bank AG | 4.296% | 5/24/28 | 14,725 | 14,108 |
Discover Bank | 2.000% | 2/21/18 | 14,600 | 14,555 |
Discover Bank | 3.200% | 8/9/21 | 4,440 | 4,449 |
Discover Bank | 4.200% | 8/8/23 | 13,275 | 13,858 |
Discover Bank | 4.250% | 3/13/26 | 2,150 | 2,214 |
Discover Financial Services | 6.450% | 6/12/17 | 1,825 | 2,017 |
Discover Financial Services | 5.200% | 4/27/22 | 1,317 | 1,457 |
Discover Financial Services | 3.850% | 11/21/22 | 9,195 | 9,301 |
Fifth Third Bancorp | 3.625% | 1/25/16 | 16,750 | 17,170 |
Fifth Third Bancorp | 5.450% | 1/15/17 | 10,405 | 11,171 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 1,535 | 1,653 |
Fifth Third Bancorp | 2.300% | 3/1/19 | 4,195 | 4,194 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 1,825 | 1,876 |
Fifth Third Bancorp | 4.300% | 1/16/24 | 8,245 | 8,615 |
Fifth Third Bancorp | 8.250% | 3/1/38 | 7,670 | 11,607 |
Fifth Third Bank | 1.150% | 11/18/16 | 3,200 | 3,195 |
Fifth Third Bank | 1.350% | 6/1/17 | 3,700 | 3,687 |
Fifth Third Bank | 2.375% | 4/25/19 | 7,500 | 7,522 |
Fifth Third Bank | 2.875% | 10/1/21 | 7,250 | 7,250 |
First Horizon National Corp. | 5.375% | 12/15/15 | 13,850 | 14,340 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,675 | 1,844 |
First Republic Bank | 2.375% | 6/17/19 | 4,100 | 4,114 |
FirstMerit Bank NA | 4.270% | 11/25/26 | 5,750 | 5,819 |
FirstMerit Corp. | 4.350% | 2/4/23 | 2,250 | 2,353 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 10,375 | 12,291 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 44,580 | 46,481 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 28,135 | 28,874 |
Goldman Sachs Group Inc. | 5.750% | 10/1/16 | 5,400 | 5,796 |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 21,485 | 23,048 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 21,000 | 23,339 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 31,738 | 35,248 |
29
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 38,640 | 38,994 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 32,978 | 37,021 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 14,800 | 15,149 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 16,425 | 16,526 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 23,090 | 27,428 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 18,800 | 18,696 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 41,280 | 46,269 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 33,292 | 38,356 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 10,065 | 11,327 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 52,127 | 60,312 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 25,800 | 26,168 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 27,886 | 28,902 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 7,750 | 7,949 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 17,381 | 19,736 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 20,454 | 25,066 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 17,590 | 21,047 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 31,381 | 39,299 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 24,002 | 30,336 |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 17,295 | 18,352 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 775 | 852 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 26,350 | 29,089 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 3,850 | 4,864 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 4,132 | 5,050 |
HSBC Bank USA NA | 7.000% | 1/15/39 | 3,744 | 5,352 |
HSBC Holdings plc | 5.100% | 4/5/21 | 41,080 | 46,358 |
HSBC Holdings plc | 4.875% | 1/14/22 | 1,140 | 1,272 |
HSBC Holdings plc | 4.000% | 3/30/22 | 13,906 | 14,775 |
HSBC Holdings plc | 4.250% | 3/14/24 | 19,400 | 20,177 |
HSBC Holdings plc | 7.625% | 5/17/32 | 1,925 | 2,644 |
HSBC Holdings plc | 7.350% | 11/27/32 | 2,040 | 2,764 |
HSBC Holdings plc | 6.500% | 5/2/36 | 26,720 | 34,034 |
HSBC Holdings plc | 6.500% | 9/15/37 | 19,350 | 24,780 |
HSBC Holdings plc | 6.800% | 6/1/38 | 16,510 | 21,736 |
HSBC Holdings plc | 6.100% | 1/14/42 | 6,295 | 8,402 |
HSBC Holdings plc | 5.250% | 3/14/44 | 11,500 | 12,871 |
HSBC USA Inc. | 1.300% | 6/23/17 | 5,400 | 5,392 |
HSBC USA Inc. | 1.500% | 11/13/17 | 17,625 | 17,570 |
HSBC USA Inc. | 1.625% | 1/16/18 | 14,600 | 14,528 |
HSBC USA Inc. | 2.250% | 6/23/19 | 4,750 | 4,737 |
HSBC USA Inc. | 2.375% | 11/13/19 | 14,200 | 14,182 |
HSBC USA Inc. | 5.000% | 9/27/20 | 6,000 | 6,556 |
HSBC USA Inc. | 3.500% | 6/23/24 | 5,400 | 5,553 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 4,200 | 5,036 |
Huntington National Bank | 1.350% | 8/2/16 | 1,125 | 1,126 |
Huntington National Bank | 1.300% | 11/20/16 | 5,025 | 5,022 |
Huntington National Bank | 1.375% | 4/24/17 | 1,000 | 992 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 15,450 | 15,715 |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 9,025 | 9,100 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 10,350 | 10,768 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 9,500 | 9,838 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 23,051 | 25,032 |
JPMorgan Chase & Co. | 3.400% | 6/24/15 | 31,975 | 32,412 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 12,750 | 12,969 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 13,900 | 14,258 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 39,950 | 41,047 |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 10,000 | 10,004 |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 6,931 | 7,649 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 34,750 | 35,110 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 23,234 | 25,954 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 21,141 | 21,139 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 37,925 | 37,486 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 10,000 | 10,053 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 24,325 | 28,270 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 22,125 | 21,923 |
30
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 4,715 | 5,102 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 14,510 | 15,590 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 1,474 | 1,621 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 9,549 | 10,370 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 21,910 | 23,882 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 17,435 | 17,541 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 16,824 | 16,835 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 24,590 | 24,281 |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 16,450 | 17,120 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 55,075 | 56,279 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 11,058 | 11,070 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 17,000 | 16,959 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 24,884 | 32,505 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 30,737 | 36,951 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 11,745 | 14,217 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 7,850 | 9,240 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 11,765 | 13,699 |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 11,550 | 12,809 |
JPMorgan Chase Bank NA | 5.875% | 6/13/16 | 4,346 | 4,624 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 825 | 909 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 21,015 | 23,329 |
KeyBank NA | 5.450% | 3/3/16 | 6,405 | 6,722 |
KeyBank NA | 1.650% | 2/1/18 | 19,365 | 19,254 |
KeyBank NA | 2.500% | 12/15/19 | 3,000 | 3,012 |
KeyBank NA | 6.950% | 2/1/28 | 1,275 | 1,661 |
KeyCorp | 5.100% | 3/24/21 | 9,175 | 10,371 |
Lloyds Bank plc | 4.875% | 1/21/16 | 3,825 | 3,964 |
Lloyds Bank plc | 4.200% | 3/28/17 | 16,244 | 17,229 |
Lloyds Bank plc | 2.300% | 11/27/18 | 9,350 | 9,426 |
Lloyds Bank plc | 2.350% | 9/5/19 | 9,925 | 9,916 |
Lloyds Bank plc | 6.375% | 1/21/21 | 10,425 | 12,554 |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 7,275 | 7,344 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 4,000 | 3,990 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 5,950 | 6,733 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 8,350 | 8,333 |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 8,000 | 7,982 |
5 Manufacturers & Traders Trust Co. | 5.585% | 12/28/20 | 75 | 78 |
Morgan Stanley | 1.750% | 2/25/16 | 6,875 | 6,915 |
Morgan Stanley | 3.800% | 4/29/16 | 3,510 | 3,622 |
Morgan Stanley | 5.750% | 10/18/16 | 19,720 | 21,163 |
Morgan Stanley | 5.450% | 1/9/17 | 30,238 | 32,460 |
Morgan Stanley | 4.750% | 3/22/17 | 24,358 | 25,945 |
Morgan Stanley | 5.550% | 4/27/17 | 12,570 | 13,624 |
Morgan Stanley | 6.250% | 8/28/17 | 13,610 | 15,114 |
Morgan Stanley | 5.950% | 12/28/17 | 19,875 | 22,059 |
Morgan Stanley | 1.875% | 1/5/18 | 7,225 | 7,200 |
Morgan Stanley | 6.625% | 4/1/18 | 37,285 | 42,481 |
Morgan Stanley | 2.125% | 4/25/18 | 30,145 | 30,137 |
Morgan Stanley | 2.500% | 1/24/19 | 27,322 | 27,350 |
Morgan Stanley | 7.300% | 5/13/19 | 37,389 | 44,300 |
Morgan Stanley | 2.375% | 7/23/19 | 17,105 | 16,946 |
Morgan Stanley | 5.625% | 9/23/19 | 43,875 | 49,532 |
Morgan Stanley | 5.500% | 1/26/20 | 10,414 | 11,719 |
Morgan Stanley | 5.500% | 7/24/20 | 1,245 | 1,405 |
Morgan Stanley | 5.750% | 1/25/21 | 21,100 | 24,214 |
Morgan Stanley | 5.500% | 7/28/21 | 10,300 | 11,698 |
Morgan Stanley | 4.875% | 11/1/22 | 19,632 | 20,855 |
Morgan Stanley | 3.750% | 2/25/23 | 25,625 | 26,311 |
Morgan Stanley | 4.100% | 5/22/23 | 19,290 | 19,548 |
Morgan Stanley | 3.875% | 4/29/24 | 10,020 | 10,284 |
Morgan Stanley | 3.700% | 10/23/24 | 25,414 | 25,746 |
Morgan Stanley | 5.000% | 11/24/25 | 20,210 | 21,573 |
Morgan Stanley | 6.250% | 8/9/26 | 9,825 | 11,808 |
Morgan Stanley | 4.350% | 9/8/26 | 15,388 | 15,457 |
31
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Morgan Stanley | 7.250% | 4/1/32 | 7,527 | 10,303 |
Morgan Stanley | 6.375% | 7/24/42 | 14,292 | 18,864 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 11,410 | 11,749 |
MUFG Union Bank NA | 5.950% | 5/11/16 | 4,275 | 4,535 |
MUFG Union Bank NA | 1.500% | 9/26/16 | 3,775 | 3,790 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 2,695 | 2,723 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 16,325 | 16,529 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 4,925 | 4,908 |
Murray Street Investment Trust I | 4.647% | 3/9/17 | 16,688 | 17,616 |
National Australia Bank Ltd. | 0.900% | 1/20/16 | 1,075 | 1,078 |
National Australia Bank Ltd. | 1.300% | 7/25/16 | 10,450 | 10,514 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 4,095 | 4,217 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 11,200 | 11,364 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 5,050 | 5,036 |
National Bank of Canada | 1.450% | 11/7/17 | 3,250 | 3,225 |
National City Bank | 5.800% | 6/7/17 | 1,800 | 1,978 |
National City Corp. | 6.875% | 5/15/19 | 1,615 | 1,897 |
Northern Trust Co. | 6.500% | 8/15/18 | 1,125 | 1,298 |
Northern Trust Corp. | 3.450% | 11/4/20 | 903 | 960 |
Northern Trust Corp. | 3.375% | 8/23/21 | 1,675 | 1,757 |
Northern Trust Corp. | 3.950% | 10/30/25 | 8,475 | 8,792 |
People's United Bank | 4.000% | 7/15/24 | 3,850 | 3,905 |
People's United Financial Inc. | 3.650% | 12/6/22 | 2,450 | 2,475 |
PNC Bank NA | 0.800% | 1/28/16 | 2,050 | 2,052 |
PNC Bank NA | 5.250% | 1/15/17 | 325 | 350 |
PNC Bank NA | 4.875% | 9/21/17 | 9,969 | 10,747 |
PNC Bank NA | 1.500% | 10/18/17 | 10,295 | 10,272 |
PNC Bank NA | 6.000% | 12/7/17 | 1,050 | 1,172 |
PNC Bank NA | 2.250% | 7/2/19 | 5,400 | 5,386 |
PNC Bank NA | 2.400% | 10/18/19 | 19,595 | 19,671 |
PNC Bank NA | 2.700% | 11/1/22 | 6,317 | 6,070 |
PNC Bank NA | 2.950% | 1/30/23 | 7,075 | 6,891 |
PNC Bank NA | 3.800% | 7/25/23 | 15,575 | 16,068 |
PNC Bank NA | 3.300% | 10/30/24 | 8,400 | 8,555 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 9,450 | 9,334 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 18,125 | 18,450 |
PNC Funding Corp. | 2.700% | 9/19/16 | 3,300 | 3,391 |
PNC Funding Corp. | 5.625% | 2/1/17 | 950 | 1,026 |
PNC Funding Corp. | 6.700% | 6/10/19 | 6,354 | 7,506 |
PNC Funding Corp. | 5.125% | 2/8/20 | 13,500 | 15,161 |
PNC Funding Corp. | 4.375% | 8/11/20 | 19,175 | 20,840 |
PNC Funding Corp. | 3.300% | 3/8/22 | 11,875 | 12,141 |
Regions Bank | 7.500% | 5/15/18 | 12,900 | 14,954 |
Regions Financial Corp. | 2.000% | 5/15/18 | 18,150 | 17,950 |
Regions Financial Corp. | 7.375% | 12/10/37 | 2,500 | 3,249 |
Royal Bank of Canada | 2.625% | 12/15/15 | 14,170 | 14,430 |
Royal Bank of Canada | 2.875% | 4/19/16 | 10,452 | 10,722 |
Royal Bank of Canada | 2.300% | 7/20/16 | 31,270 | 31,922 |
Royal Bank of Canada | 1.250% | 6/16/17 | 20,450 | 20,364 |
Royal Bank of Canada | 1.400% | 10/13/17 | 14,375 | 14,322 |
Royal Bank of Canada | 1.500% | 1/16/18 | 300 | 299 |
Royal Bank of Canada | 2.200% | 7/27/18 | 19,900 | 20,049 |
Royal Bank of Canada | 2.200% | 9/23/19 | 22,925 | 23,036 |
Royal Bank of Scotland Group plc | 1.875% | 3/31/17 | 5,300 | 5,298 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 25,230 | 29,188 |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 5,795 | 6,008 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 13,725 | 15,632 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 15,870 | 18,675 |
Santander Bank NA | 8.750% | 5/30/18 | 820 | 976 |
Santander Holdings USA Inc. | 4.625% | 4/19/16 | 10,075 | 10,498 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 9,072 | 9,395 |
Societe Generale SA | 2.750% | 10/12/17 | 9,325 | 9,564 |
Societe Generale SA | 2.625% | 10/1/18 | 9,000 | 9,159 |
State Street Bank & Trust Co. | 5.300% | 1/15/16 | 2,975 | 3,103 |
32
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 275 | 307 |
State Street Corp. | 2.875% | 3/7/16 | 7,350 | 7,516 |
State Street Corp. | 4.956% | 3/15/18 | 5,986 | 6,481 |
State Street Corp. | 1.350% | 5/15/18 | 9,075 | 8,936 |
State Street Corp. | 4.375% | 3/7/21 | 400 | 439 |
State Street Corp. | 3.100% | 5/15/23 | 7,400 | 7,308 |
State Street Corp. | 3.700% | 11/20/23 | 8,275 | 8,677 |
State Street Corp. | 3.300% | 12/16/24 | 2,150 | 2,174 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/18/15 | 7,980 | 8,008 |
Sumitomo Mitsui Banking Corp. | 0.900% | 1/18/16 | 625 | 624 |
Sumitomo Mitsui Banking Corp. | 1.450% | 7/19/16 | 2,900 | 2,912 |
Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 4,275 | 4,264 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 10,650 | 10,552 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 12,675 | 12,676 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 3,325 | 3,362 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 6,825 | 6,861 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 3,850 | 3,822 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 5,025 | 5,106 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 550 | 546 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 9,998 | 10,562 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 9,850 | 10,488 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 13,550 | 13,860 |
SunTrust Bank | 5.000% | 9/1/15 | 39 | 40 |
SunTrust Bank | 7.250% | 3/15/18 | 1,000 | 1,157 |
SunTrust Bank | 2.750% | 5/1/23 | 6,600 | 6,450 |
SunTrust Banks Inc. | 3.600% | 4/15/16 | 14,400 | 14,826 |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 10,115 | 10,534 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,508 | 2,782 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 4,000 | 4,022 |
Svenska Handelsbanken AB | 3.125% | 7/12/16 | 2,200 | 2,273 |
Svenska Handelsbanken AB | 2.875% | 4/4/17 | 38,100 | 39,375 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 5,075 | 5,058 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 9,525 | 9,705 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 10,680 | 10,738 |
Synchrony Financial | 1.875% | 8/15/17 | 1,000 | 999 |
Synchrony Financial | 3.000% | 8/15/19 | 8,450 | 8,529 |
Synchrony Financial | 3.750% | 8/15/21 | 6,263 | 6,394 |
Synchrony Financial | 4.250% | 8/15/24 | 11,635 | 11,949 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 8,280 | 8,485 |
Toronto-Dominion Bank | 2.375% | 10/19/16 | 9,450 | 9,674 |
Toronto-Dominion Bank | 1.125% | 5/2/17 | 550 | 547 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 27,527 | 27,191 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 17,325 | 17,753 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 3,000 | 2,998 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 18,000 | 18,032 |
UBS AG | 5.875% | 7/15/16 | 7,183 | 7,684 |
UBS AG | 7.375% | 6/15/17 | 12,974 | 14,524 |
UBS AG | 1.375% | 8/14/17 | 10,000 | 9,945 |
UBS AG | 5.875% | 12/20/17 | 30,374 | 33,956 |
UBS AG | 5.750% | 4/25/18 | 12,242 | 13,726 |
UBS AG | 2.375% | 8/14/19 | 1,000 | 1,000 |
UBS AG | 4.875% | 8/4/20 | 23,035 | 25,660 |
UBS AG | 7.750% | 9/1/26 | 500 | 662 |
US Bancorp | 3.150% | 3/4/15 | 1,475 | 1,482 |
US Bancorp | 3.442% | 2/1/16 | 18,300 | 18,734 |
US Bancorp | 2.200% | 11/15/16 | 10,050 | 10,252 |
US Bancorp | 1.650% | 5/15/17 | 4,300 | 4,333 |
US Bancorp | 1.950% | 11/15/18 | 5,525 | 5,533 |
US Bancorp | 2.200% | 4/25/19 | 14,020 | 14,041 |
US Bancorp | 4.125% | 5/24/21 | 7,160 | 7,794 |
US Bancorp | 3.000% | 3/15/22 | 2,100 | 2,131 |
US Bancorp | 2.950% | 7/15/22 | 15,384 | 15,209 |
US Bancorp | 3.600% | 9/11/24 | 2,175 | 2,207 |
US Bank NA | 1.375% | 9/11/17 | 6,775 | 6,777 |
33
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
US Bank NA | 2.125% | 10/28/19 | 14,000 | 13,957 |
Vesey Street Investment Trust I | 4.404% | 9/1/16 | 2,225 | 2,334 |
Wachovia Bank NA | 6.000% | 11/15/17 | 8,775 | 9,838 |
Wachovia Bank NA | 5.850% | 2/1/37 | 16,347 | 20,483 |
Wachovia Bank NA | 6.600% | 1/15/38 | 9,235 | 12,831 |
Wachovia Corp. | 5.625% | 10/15/16 | 14,610 | 15,722 |
Wachovia Corp. | 5.750% | 6/15/17 | 31,220 | 34,482 |
Wachovia Corp. | 5.750% | 2/1/18 | 5,225 | 5,850 |
Wachovia Corp. | 6.605% | 10/1/25 | 3,175 | 3,916 |
Wachovia Corp. | 5.500% | 8/1/35 | 11,770 | 13,779 |
Wachovia Corp. | 6.550% | 10/15/35 | 7,625 | 9,639 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 44,705 | 46,385 |
Wells Fargo & Co. | 1.250% | 7/20/16 | 6,750 | 6,774 |
Wells Fargo & Co. | 5.125% | 9/15/16 | 110 | 117 |
Wells Fargo & Co. | 2.625% | 12/15/16 | 42,178 | 43,417 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 21,450 | 21,818 |
Wells Fargo & Co. | 1.150% | 6/2/17 | 7,200 | 7,171 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 22,000 | 21,981 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 24,435 | 27,201 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 3,700 | 3,674 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 5,500 | 5,506 |
Wells Fargo & Co. | 2.125% | 4/22/19 | 21,150 | 21,117 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 15,895 | 16,244 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 19,449 | 21,615 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 14,870 | 15,522 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 13,338 | 13,460 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 11,744 | 12,329 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 6,987 | 7,435 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 19,100 | 19,178 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 13,100 | 13,351 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 13,600 | 16,297 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 20,270 | 23,857 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 18,500 | 19,085 |
Wells Fargo Bank NA | 5.750% | 5/16/16 | 8,150 | 8,667 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 9,635 | 12,100 |
5 Wells Fargo Capital X | 5.950% | 12/1/86 | 3,757 | 3,832 |
Westpac Banking Corp. | 1.125% | 9/25/15 | 9,875 | 9,921 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 6,200 | 6,214 |
Westpac Banking Corp. | 1.200% | 5/19/17 | 8,200 | 8,174 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 5,400 | 5,472 |
Westpac Banking Corp. | 1.500% | 12/1/17 | 10,000 | 10,004 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 11,160 | 11,120 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 16,625 | 16,841 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 13,390 | 13,529 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 15,540 | 17,289 |
Brokerage (0.2%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 6,675 | 6,946 |
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 3,547 | 4,292 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 3,942 | 4,473 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 7,875 | 8,322 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 8,765 | 8,981 |
5 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 4,575 | 4,895 |
BlackRock Inc. | 6.250% | 9/15/17 | 3,375 | 3,779 |
BlackRock Inc. | 5.000% | 12/10/19 | 8,098 | 9,146 |
BlackRock Inc. | 4.250% | 5/24/21 | 6,515 | 7,196 |
BlackRock Inc. | 3.375% | 6/1/22 | 10,800 | 11,168 |
BlackRock Inc. | 3.500% | 3/18/24 | 16,000 | 16,443 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 7,200 | 7,910 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 4,285 | 4,389 |
CME Group Inc. | 3.000% | 9/15/22 | 7,445 | 7,573 |
CME Group Inc. | 5.300% | 9/15/43 | 6,875 | 8,369 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 3,075 | 3,143 |
8 FMR LLC | 7.490% | 6/15/19 | 800 | 960 |
34
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Franklin Resources Inc. | 1.375% | 9/15/17 | 1,600 | 1,595 |
Franklin Resources Inc. | 4.625% | 5/20/20 | 1,950 | 2,163 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 8,650 | 8,638 |
IntercontinentalExchange Group Inc. | 2.500% | 10/15/18 | 4,770 | 4,857 |
IntercontinentalExchange Group Inc. | 4.000% | 10/15/23 | 12,321 | 12,963 |
Invesco Finance plc | 3.125% | 11/30/22 | 6,725 | 6,661 |
Invesco Finance plc | 4.000% | 1/30/24 | 6,278 | 6,578 |
Invesco Finance plc | 5.375% | 11/30/43 | 10,010 | 12,015 |
Jefferies Group LLC | 5.125% | 4/13/18 | 6,155 | 6,502 |
Jefferies Group LLC | 8.500% | 7/15/19 | 8,107 | 9,687 |
Jefferies Group LLC | 6.875% | 4/15/21 | 12,275 | 13,909 |
Jefferies Group LLC | 5.125% | 1/20/23 | 1,400 | 1,405 |
Jefferies Group LLC | 6.450% | 6/8/27 | 2,285 | 2,358 |
Jefferies Group LLC | 6.250% | 1/15/36 | 7,350 | 7,168 |
Jefferies Group LLC | 6.500% | 1/20/43 | 1,500 | 1,516 |
Lazard Group LLC | 6.850% | 6/15/17 | 8,425 | 9,381 |
Legg Mason Inc. | 2.700% | 7/15/19 | 950 | 954 |
Legg Mason Inc. | 3.950% | 7/15/24 | 2,250 | 2,282 |
Legg Mason Inc. | 5.625% | 1/15/44 | 7,200 | 8,203 |
Leucadia National Corp. | 5.500% | 10/18/23 | 5,000 | 5,115 |
Leucadia National Corp. | 6.625% | 10/23/43 | 2,725 | 2,768 |
NASDAQ OMX Group Inc. | 5.550% | 1/15/20 | 9,150 | 10,099 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 16,700 | 16,792 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 20,650 | 20,739 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 8,390 | 9,885 |
NYSE Euronext | 2.000% | 10/5/17 | 7,000 | 7,061 |
Raymond James Financial Inc. | 4.250% | 4/15/16 | 1,975 | 2,048 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 2,425 | 2,772 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 6,200 | 6,282 |
Finance Companies (0.7%) | ||||
Air Lease Corp. | 4.500% | 1/15/16 | 4,075 | 4,187 |
Air Lease Corp. | 5.625% | 4/1/17 | 9,725 | 10,454 |
Air Lease Corp. | 2.125% | 1/15/18 | 4,000 | 3,930 |
Air Lease Corp. | 3.375% | 1/15/19 | 23,600 | 23,895 |
Air Lease Corp. | 4.750% | 3/1/20 | 8,700 | 9,244 |
Air Lease Corp. | 3.875% | 4/1/21 | 4,075 | 4,095 |
Ares Capital Corp. | 4.875% | 11/30/18 | 9,975 | 10,481 |
Block Financial LLC | 5.500% | 11/1/22 | 350 | 386 |
Fifth Street Finance Corp. | 4.875% | 3/1/19 | 4,786 | 4,909 |
FS Investment Corp. | 4.000% | 7/15/19 | 3,225 | 3,213 |
FS Investment Corp. | 4.250% | 1/15/20 | 2,000 | 1,980 |
GATX Corp. | 3.500% | 7/15/16 | 1,475 | 1,523 |
GATX Corp. | 1.250% | 3/4/17 | 1,575 | 1,561 |
GATX Corp. | 2.375% | 7/30/18 | 7,050 | 7,097 |
GATX Corp. | 2.500% | 7/30/19 | 2,025 | 2,011 |
GATX Corp. | 4.750% | 6/15/22 | 4,700 | 5,143 |
GATX Corp. | 5.200% | 3/15/44 | 1,200 | 1,312 |
5 GE Capital Trust I | 6.375% | 11/15/67 | 6,345 | 6,837 |
General Electric Capital Corp. | 1.000% | 1/8/16 | 1,945 | 1,952 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 8,145 | 8,509 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 25,855 | 26,591 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 8,870 | 8,959 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 2,134 | 2,219 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 9,554 | 9,890 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 16,360 | 17,760 |
General Electric Capital Corp. | 2.450% | 3/15/17 | 4,625 | 4,754 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 23,662 | 24,224 |
General Electric Capital Corp. | 1.250% | 5/15/17 | 8,600 | 8,613 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 25,213 | 27,980 |
General Electric Capital Corp. | 1.600% | 11/20/17 | 7,905 | 7,960 |
General Electric Capital Corp. | 1.625% | 4/2/18 | 13,255 | 13,277 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 31,339 | 35,245 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 9,115 | 9,258 |
35
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 15,305 | 17,797 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 4,215 | 4,228 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 19,689 | 22,559 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 14,725 | 16,973 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 13,632 | 14,925 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 21,807 | 24,246 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 22,680 | 25,878 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 24,653 | 27,742 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 17,050 | 17,317 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 31,690 | 32,071 |
General Electric Capital Corp. | 3.450% | 5/15/24 | 7,740 | 8,009 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 47,339 | 64,475 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 26,665 | 34,661 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 53,692 | 67,795 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 33,810 | 47,723 |
5 General Electric Capital Corp. | 6.375% | 11/15/67 | 14,427 | 15,545 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 15,252 | 15,949 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 52,624 | 62,447 |
8 International Lease Finance Corp. | 6.750% | 9/1/16 | 33,065 | 35,380 |
8 International Lease Finance Corp. | 7.125% | 9/1/18 | 12,340 | 13,821 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 3,900 | 3,972 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 1,785 | 1,838 |
Insurance (1.2%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 2,089 | 3,118 |
ACE INA Holdings Inc. | 5.700% | 2/15/17 | 2,948 | 3,220 |
ACE INA Holdings Inc. | 5.800% | 3/15/18 | 1,256 | 1,413 |
ACE INA Holdings Inc. | 5.900% | 6/15/19 | 2,755 | 3,170 |
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 8,648 | 8,405 |
ACE INA Holdings Inc. | 3.350% | 5/15/24 | 4,950 | 4,997 |
ACE INA Holdings Inc. | 6.700% | 5/15/36 | 1,040 | 1,463 |
ACE INA Holdings Inc. | 4.150% | 3/13/43 | 2,583 | 2,701 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 12,100 | 13,939 |
Aetna Inc. | 1.750% | 5/15/17 | 2,675 | 2,693 |
Aetna Inc. | 1.500% | 11/15/17 | 7,650 | 7,609 |
Aetna Inc. | 4.125% | 6/1/21 | 350 | 377 |
Aetna Inc. | 2.750% | 11/15/22 | 9,950 | 9,681 |
Aetna Inc. | 3.500% | 11/15/24 | 11,980 | 12,159 |
Aetna Inc. | 6.625% | 6/15/36 | 9,391 | 12,523 |
Aetna Inc. | 6.750% | 12/15/37 | 6,055 | 8,022 |
Aetna Inc. | 4.500% | 5/15/42 | 2,653 | 2,803 |
Aetna Inc. | 4.125% | 11/15/42 | 1,668 | 1,669 |
Aetna Inc. | 4.750% | 3/15/44 | 3,225 | 3,533 |
Aflac Inc. | 2.650% | 2/15/17 | 7,520 | 7,738 |
Aflac Inc. | 4.000% | 2/15/22 | 4,525 | 4,792 |
Aflac Inc. | 3.625% | 6/15/23 | 6,700 | 6,824 |
Aflac Inc. | 6.900% | 12/17/39 | 4,725 | 6,414 |
Aflac Inc. | 6.450% | 8/15/40 | 5,033 | 6,561 |
AIG Life Holdings Inc. | 8.500% | 7/1/30 | 2,200 | 2,965 |
Alleghany Corp. | 5.625% | 9/15/20 | 1,700 | 1,911 |
Alleghany Corp. | 4.950% | 6/27/22 | 3,550 | 3,906 |
Alleghany Corp. | 4.900% | 9/15/44 | 4,750 | 4,939 |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 15,253 | 16,655 |
Allstate Corp. | 3.150% | 6/15/23 | 9,850 | 9,792 |
Allstate Corp. | 5.350% | 6/1/33 | 1,354 | 1,640 |
Allstate Corp. | 5.550% | 5/9/35 | 2,606 | 3,226 |
Allstate Corp. | 5.950% | 4/1/36 | 53 | 69 |
Allstate Corp. | 4.500% | 6/15/43 | 6,185 | 6,829 |
5 Allstate Corp. | 5.750% | 8/15/53 | 4,000 | 4,200 |
5 Allstate Corp. | 6.125% | 5/15/67 | 1,431 | 1,513 |
5 Allstate Corp. | 6.500% | 5/15/67 | 4,475 | 4,923 |
Alterra Finance LLC | 6.250% | 9/30/20 | 2,035 | 2,363 |
American Financial Group Inc. | 9.875% | 6/15/19 | 8,054 | 10,347 |
American International Group Inc. | 5.600% | 10/18/16 | 6,310 | 6,781 |
36
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
American International Group Inc. | 5.450% | 5/18/17 | 7,450 | 8,122 |
American International Group Inc. | 5.850% | 1/16/18 | 17,133 | 19,146 |
American International Group Inc. | 2.300% | 7/16/19 | 14,000 | 14,004 |
American International Group Inc. | 3.375% | 8/15/20 | 6,450 | 6,684 |
American International Group Inc. | 6.400% | 12/15/20 | 22,084 | 26,284 |
American International Group Inc. | 4.875% | 6/1/22 | 11,998 | 13,464 |
American International Group Inc. | 4.125% | 2/15/24 | 8,965 | 9,542 |
American International Group Inc. | 6.250% | 5/1/36 | 9,285 | 11,977 |
American International Group Inc. | 6.820% | 11/15/37 | 955 | 1,311 |
American International Group Inc. | 4.500% | 7/16/44 | 25,325 | 26,599 |
5 American International Group Inc. | 8.175% | 5/15/68 | 11,738 | 15,890 |
5 American International Group Inc. | 6.250% | 3/15/87 | 4,960 | 5,535 |
Anthem Inc. | 1.250% | 9/10/15 | 3,100 | 3,112 |
Anthem Inc. | 5.875% | 6/15/17 | 425 | 467 |
Anthem Inc. | 1.875% | 1/15/18 | 6,150 | 6,140 |
Anthem Inc. | 7.000% | 2/15/19 | 860 | 1,014 |
Anthem Inc. | 2.250% | 8/15/19 | 1,750 | 1,728 |
Anthem Inc. | 4.350% | 8/15/20 | 6,250 | 6,772 |
Anthem Inc. | 3.700% | 8/15/21 | 7,125 | 7,461 |
Anthem Inc. | 3.125% | 5/15/22 | 3,825 | 3,824 |
Anthem Inc. | 3.300% | 1/15/23 | 9,665 | 9,631 |
Anthem Inc. | 3.500% | 8/15/24 | 7,500 | 7,561 |
Anthem Inc. | 5.950% | 12/15/34 | 7,525 | 9,314 |
Anthem Inc. | 5.850% | 1/15/36 | 6,885 | 8,460 |
Anthem Inc. | 6.375% | 6/15/37 | 6,493 | 8,419 |
Anthem Inc. | 4.625% | 5/15/42 | 11,118 | 11,675 |
Anthem Inc. | 4.650% | 1/15/43 | 12,618 | 13,121 |
Anthem Inc. | 5.100% | 1/15/44 | 8,000 | 8,982 |
Aon Corp. | 5.000% | 9/30/20 | 13,410 | 14,967 |
Aon Corp. | 8.205% | 1/1/27 | 1,669 | 2,161 |
Aon Corp. | 6.250% | 9/30/40 | 3,550 | 4,522 |
Aon plc | 3.500% | 6/14/24 | 5,425 | 5,432 |
Aon plc | 4.450% | 5/24/43 | 1,900 | 1,890 |
Aon plc | 4.600% | 6/14/44 | 9,975 | 10,340 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 4,510 | 6,253 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 750 | 838 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 2,075 | 2,373 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 11,225 | 11,651 |
Assurant Inc. | 4.000% | 3/15/23 | 75 | 77 |
Assurant Inc. | 6.750% | 2/15/34 | 6,000 | 7,417 |
AXA SA | 8.600% | 12/15/30 | 15,032 | 20,387 |
AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 9,775 | 11,066 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 1,000 | 1,003 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 1,225 | 1,334 |
Berkshire Hathaway Finance Corp. | 2.450% | 12/15/15 | 222 | 226 |
Berkshire Hathaway Finance Corp. | 0.950% | 8/15/16 | 150 | 151 |
Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 7,950 | 8,020 |
Berkshire Hathaway Finance Corp. | 1.300% | 5/15/18 | 7,075 | 7,014 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 4,950 | 5,543 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 5,900 | 5,963 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 4,400 | 4,507 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 2,150 | 2,363 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 14,625 | 14,827 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 6,915 | 8,855 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 4,575 | 4,893 |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 4,350 | 4,607 |
Berkshire Hathaway Inc. | 0.800% | 2/11/16 | 1,255 | 1,258 |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 16,825 | 17,176 |
Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 200 | 203 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 975 | 974 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 10,000 | 10,047 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 2,500 | 2,681 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 10,540 | 10,653 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 2,290 | 2,494 |
37
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Brown & Brown Inc. | 4.200% | 9/15/24 | 3,200 | 3,240 |
Chubb Corp. | 5.750% | 5/15/18 | 5,875 | 6,635 |
Chubb Corp. | 6.000% | 5/11/37 | 5,475 | 7,130 |
Chubb Corp. | 6.500% | 5/15/38 | 1,905 | 2,627 |
5 Chubb Corp. | 6.375% | 3/29/67 | 11,075 | 11,850 |
Cigna Corp. | 2.750% | 11/15/16 | 4,910 | 5,041 |
Cigna Corp. | 5.125% | 6/15/20 | 6,525 | 7,271 |
Cigna Corp. | 4.375% | 12/15/20 | 3,600 | 3,883 |
Cigna Corp. | 4.500% | 3/15/21 | 875 | 955 |
Cigna Corp. | 4.000% | 2/15/22 | 7,975 | 8,403 |
Cigna Corp. | 7.875% | 5/15/27 | 1,325 | 1,800 |
Cigna Corp. | 6.150% | 11/15/36 | 3,143 | 3,935 |
Cigna Corp. | 5.875% | 3/15/41 | 2,725 | 3,395 |
Cigna Corp. | 5.375% | 2/15/42 | 8,696 | 10,260 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 3,575 | 4,540 |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 2,045 | 2,456 |
CNA Financial Corp. | 6.500% | 8/15/16 | 3,625 | 3,920 |
CNA Financial Corp. | 7.350% | 11/15/19 | 8,500 | 10,141 |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,870 | 6,698 |
CNA Financial Corp. | 5.750% | 8/15/21 | 1,118 | 1,278 |
Coventry Health Care Inc. | 5.950% | 3/15/17 | 2,250 | 2,462 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 3,675 | 4,201 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 6,875 | 8,560 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 4,500 | 4,730 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 850 | 923 |
First American Financial Corp. | 4.300% | 2/1/23 | 2,675 | 2,689 |
First American Financial Corp. | 4.600% | 11/15/24 | 4,825 | 4,893 |
Hartford Financial Services Group Inc. | 5.500% | 10/15/16 | 3,075 | 3,298 |
Hartford Financial Services Group Inc. | 5.375% | 3/15/17 | 2,400 | 2,593 |
Hartford Financial Services Group Inc. | 4.000% | 10/15/17 | 1,675 | 1,782 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 6,770 | 7,656 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 3,309 | 3,759 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 1,035 | 1,162 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 2,795 | 3,442 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 2,525 | 3,158 |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 6,615 | 6,800 |
HCC Insurance Holdings Inc. | 6.300% | 11/15/19 | 3,250 | 3,742 |
Humana Inc. | 7.200% | 6/15/18 | 6,405 | 7,465 |
Humana Inc. | 6.300% | 8/1/18 | 200 | 228 |
Humana Inc. | 2.625% | 10/1/19 | 2,100 | 2,099 |
Humana Inc. | 3.150% | 12/1/22 | 6,050 | 5,896 |
Humana Inc. | 3.850% | 10/1/24 | 5,675 | 5,753 |
Humana Inc. | 8.150% | 6/15/38 | 5,018 | 7,275 |
Humana Inc. | 4.625% | 12/1/42 | 4,443 | 4,495 |
Humana Inc. | 4.950% | 10/1/44 | 11,475 | 12,216 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 1,975 | 2,102 |
Lincoln National Corp. | 8.750% | 7/1/19 | 197 | 247 |
Lincoln National Corp. | 6.250% | 2/15/20 | 1,018 | 1,187 |
Lincoln National Corp. | 4.200% | 3/15/22 | 2,800 | 2,967 |
Lincoln National Corp. | 4.000% | 9/1/23 | 5,780 | 6,016 |
Lincoln National Corp. | 6.150% | 4/7/36 | 7,325 | 9,081 |
Lincoln National Corp. | 7.000% | 6/15/40 | 1,421 | 1,961 |
5 Lincoln National Corp. | 7.000% | 5/17/66 | 15,300 | 15,338 |
5 Lincoln National Corp. | 6.050% | 4/20/67 | 700 | 701 |
Loews Corp. | 5.250% | 3/15/16 | 3,200 | 3,363 |
Loews Corp. | 2.625% | 5/15/23 | 6,890 | 6,514 |
Loews Corp. | 6.000% | 2/1/35 | 643 | 791 |
Loews Corp. | 4.125% | 5/15/43 | 13,391 | 12,712 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 14,400 | 15,861 |
Markel Corp. | 7.125% | 9/30/19 | 6,660 | 7,911 |
Markel Corp. | 4.900% | 7/1/22 | 700 | 768 |
Markel Corp. | 3.625% | 3/30/23 | 625 | 630 |
Markel Corp. | 5.000% | 3/30/43 | 2,825 | 3,002 |
Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 450 | 456 |
38
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 3,225 | 3,291 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 1,150 | 1,153 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 1,720 | 1,907 |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 4,568 | 4,820 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 5,525 | 5,516 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 6,100 | 6,141 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 2,634 | 3,253 |
MetLife Inc. | 5.000% | 6/15/15 | 6,556 | 6,684 |
MetLife Inc. | 6.750% | 6/1/16 | 7,255 | 7,823 |
MetLife Inc. | 1.756% | 12/15/17 | 6,122 | 6,149 |
MetLife Inc. | 1.903% | 12/15/17 | 5,340 | 5,352 |
MetLife Inc. | 6.817% | 8/15/18 | 3,815 | 4,454 |
MetLife Inc. | 7.717% | 2/15/19 | 4,771 | 5,795 |
MetLife Inc. | 4.750% | 2/8/21 | 4,740 | 5,291 |
MetLife Inc. | 3.048% | 12/15/22 | 4,750 | 4,726 |
MetLife Inc. | 3.600% | 4/10/24 | 15,600 | 16,045 |
MetLife Inc. | 6.500% | 12/15/32 | 2,725 | 3,633 |
MetLife Inc. | 6.375% | 6/15/34 | 2,375 | 3,170 |
MetLife Inc. | 5.700% | 6/15/35 | 11,775 | 14,740 |
MetLife Inc. | 5.875% | 2/6/41 | 11,740 | 14,706 |
MetLife Inc. | 4.125% | 8/13/42 | 8,970 | 9,005 |
MetLife Inc. | 4.875% | 11/13/43 | 5,275 | 5,933 |
MetLife Inc. | 4.721% | 12/15/44 | 8,500 | 9,422 |
5 MetLife Inc. | 6.400% | 12/15/66 | 19,647 | 21,906 |
5 MetLife Inc. | 10.750% | 8/1/69 | 935 | 1,519 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 600 | 618 |
Munich Re America Corp. | 7.450% | 12/15/26 | 2,350 | 3,085 |
5 Nationwide Financial Services Inc. | 6.750% | 5/15/67 | 500 | 523 |
Navigators Group Inc. | 5.750% | 10/15/23 | 2,000 | 2,157 |
Old Republic International Corp. | 4.875% | 10/1/24 | 5,800 | 6,034 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,700 | 1,771 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 14,234 | 16,009 |
Primerica Inc. | 4.750% | 7/15/22 | 900 | 989 |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,300 | 1,301 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 1,238 | 1,551 |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 2,525 | 2,530 |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,645 | 3,593 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 4,400 | 5,481 |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 2,955 | 3,104 |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 968 | 982 |
ProAssurance Corp. | 5.300% | 11/15/23 | 1,375 | 1,509 |
Progressive Corp. | 3.750% | 8/23/21 | 9,923 | 10,638 |
Progressive Corp. | 6.625% | 3/1/29 | 4,600 | 6,120 |
Progressive Corp. | 6.250% | 12/1/32 | 25 | 33 |
Progressive Corp. | 4.350% | 4/25/44 | 2,700 | 2,910 |
5 Progressive Corp. | 6.700% | 6/15/67 | 7,050 | 7,623 |
Protective Life Corp. | 7.375% | 10/15/19 | 4,855 | 5,855 |
Protective Life Corp. | 8.450% | 10/15/39 | 5,810 | 8,749 |
Prudential Financial Inc. | 5.500% | 3/15/16 | 3,773 | 3,976 |
Prudential Financial Inc. | 6.000% | 12/1/17 | 4,174 | 4,677 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 1,070 | 1,287 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 5,500 | 5,506 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 3,205 | 3,621 |
Prudential Financial Inc. | 3.500% | 5/15/24 | 10,450 | 10,617 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 495 | 602 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 9,035 | 10,484 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 11,462 | 13,903 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 11,293 | 13,432 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 578 | 759 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 5,325 | 6,980 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 268 | 317 |
5 Prudential Financial Inc. | 5.875% | 9/15/42 | 4,700 | 4,959 |
5 Prudential Financial Inc. | 5.625% | 6/15/43 | 16,650 | 17,108 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 1,700 | 1,922 |
39
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Prudential Financial Inc. | 5.200% | 3/15/44 | 6,025 | 5,965 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 11,550 | 12,162 |
5 Prudential Financial Inc. | 8.875% | 6/15/68 | 725 | 847 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 5,825 | 6,272 |
5 Reinsurance Group of America Inc. | 6.750% | 12/15/65 | 7,150 | 7,311 |
StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 1,275 | 1,367 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,064 | 2,621 |
Torchmark Corp. | 6.375% | 6/15/16 | 1,500 | 1,610 |
Torchmark Corp. | 3.800% | 9/15/22 | 75 | 77 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 9,588 | 13,834 |
Travelers Cos. Inc. | 5.500% | 12/1/15 | 1,025 | 1,067 |
Travelers Cos. Inc. | 6.250% | 6/20/16 | 2,625 | 2,830 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 3,825 | 4,273 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 150 | 169 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 11,200 | 12,960 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 585 | 627 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 10 | 14 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 5,768 | 7,677 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 2,415 | 2,945 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 14,735 | 16,499 |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 710 | 954 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 3,350 | 3,468 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 3,650 | 4,175 |
UnitedHealth Group Inc. | 5.375% | 3/15/16 | 200 | 211 |
UnitedHealth Group Inc. | 1.875% | 11/15/16 | 900 | 915 |
UnitedHealth Group Inc. | 6.000% | 6/15/17 | 7,650 | 8,495 |
UnitedHealth Group Inc. | 1.400% | 12/15/17 | 7,200 | 7,189 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 10,645 | 12,007 |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 4,725 | 4,655 |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 11,200 | 11,234 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 205 | 218 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 2,550 | 2,840 |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 11,000 | 11,104 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,900 | 2,914 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 5,220 | 5,123 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 5,000 | 4,965 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 2,593 | 3,213 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,425 | 1,903 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 9,025 | 12,251 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 16,883 | 23,833 |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 170 | 213 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 2,705 | 3,502 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 4,830 | 5,207 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 270 | 288 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 7,708 | 7,681 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 8,750 | 9,146 |
Unum Group | 7.125% | 9/30/16 | 3,700 | 4,042 |
Unum Group | 5.625% | 9/15/20 | 2,200 | 2,491 |
Unum Group | 4.000% | 3/15/24 | 2,000 | 2,051 |
Unum Group | 5.750% | 8/15/42 | 1,900 | 2,206 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 3,800 | 5,237 |
Voya Financial Inc. | 2.900% | 2/15/18 | 8,885 | 9,076 |
Voya Financial Inc. | 5.500% | 7/15/22 | 1,050 | 1,186 |
Voya Financial Inc. | 5.700% | 7/15/43 | 9,350 | 11,158 |
Willis Group Holdings plc | 5.750% | 3/15/21 | 9,351 | 10,440 |
Willis North America Inc. | 6.200% | 3/28/17 | 2,495 | 2,699 |
WR Berkley Corp. | 5.375% | 9/15/20 | 550 | 613 |
WR Berkley Corp. | 4.625% | 3/15/22 | 500 | 537 |
XLIT Ltd. | 2.300% | 12/15/18 | 1,050 | 1,050 |
XLIT Ltd. | 5.750% | 10/1/21 | 5,430 | 6,305 |
XLIT Ltd. | 6.375% | 11/15/24 | 560 | 666 |
XLIT Ltd. | 6.250% | 5/15/27 | 2,225 | 2,684 |
XLIT Ltd. | 5.250% | 12/15/43 | 6,850 | 7,728 |
40
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 825 | 851 |
ORIX Corp. | 5.000% | 1/12/16 | 3,235 | 3,352 |
ORIX Corp. | 3.750% | 3/9/17 | 7,600 | 7,871 |
XTRA Finance Corp. | 5.150% | 4/1/17 | 11,825 | 12,777 |
Real Estate Investment Trusts (0.6%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 1,450 | 1,434 |
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 5,025 | 5,336 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 450 | 452 |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 2,875 | 2,933 |
American Campus Communities Operating Partnership | ||||
LP | 4.125% | 7/1/24 | 3,200 | 3,239 |
AvalonBay Communities Inc. | 5.750% | 9/15/16 | 825 | 889 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 8,944 | 8,638 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,555 | 1,654 |
AvalonBay Communities Inc. | 3.500% | 11/15/24 | 4,500 | 4,515 |
BioMed Realty LP | 3.850% | 4/15/16 | 5,525 | 5,694 |
BioMed Realty LP | 2.625% | 5/1/19 | 1,500 | 1,497 |
Boston Properties LP | 3.700% | 11/15/18 | 800 | 844 |
Boston Properties LP | 5.875% | 10/15/19 | 220 | 252 |
Boston Properties LP | 5.625% | 11/15/20 | 9,225 | 10,527 |
Boston Properties LP | 4.125% | 5/15/21 | 3,365 | 3,572 |
Boston Properties LP | 3.850% | 2/1/23 | 10,868 | 11,265 |
Boston Properties LP | 3.125% | 9/1/23 | 2,450 | 2,398 |
Boston Properties LP | 3.800% | 2/1/24 | 7,525 | 7,728 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 6,830 | 7,381 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 3,325 | 3,551 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 3,125 | 3,155 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 2,000 | 2,017 |
Camden Property Trust | 2.950% | 12/15/22 | 6,225 | 6,074 |
Camden Property Trust | 4.875% | 6/15/23 | 3,470 | 3,827 |
Camden Property Trust | 4.250% | 1/15/24 | 3,050 | 3,221 |
CBL & Associates LP | 5.250% | 12/1/23 | 4,750 | 5,081 |
CBL & Associates LP | 4.600% | 10/15/24 | 4,425 | 4,498 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 1,325 | 1,326 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 5,815 | 5,587 |
CubeSmart LP | 4.375% | 12/15/23 | 4,400 | 4,662 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 2,550 | 2,659 |
DDR Corp. | 7.875% | 9/1/20 | 10,000 | 12,381 |
DDR Corp. | 3.500% | 1/15/21 | 11,155 | 11,245 |
DDR Corp. | 4.625% | 7/15/22 | 8,425 | 8,995 |
DDR Corp. | 3.375% | 5/15/23 | 8,225 | 7,988 |
Digital Realty Trust LP | 5.875% | 2/1/20 | 2,175 | 2,432 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 9,145 | 9,980 |
Duke Realty LP | 5.950% | 2/15/17 | 5,400 | 5,857 |
Duke Realty LP | 8.250% | 8/15/19 | 3,700 | 4,571 |
Duke Realty LP | 6.750% | 3/15/20 | 1,043 | 1,227 |
Duke Realty LP | 3.625% | 4/15/23 | 3,948 | 3,960 |
Duke Realty LP | 3.750% | 12/1/24 | 2,300 | 2,330 |
EPR Properties | 5.750% | 8/15/22 | 1,150 | 1,252 |
EPR Properties | 5.250% | 7/15/23 | 6,300 | 6,572 |
Equity CommonWealth | 6.250% | 6/15/17 | 5,075 | 5,440 |
Equity Commonwealth | 5.875% | 9/15/20 | 3,200 | 3,494 |
Equity One Inc. | 3.750% | 11/15/22 | 3,000 | 3,010 |
ERP Operating LP | 5.125% | 3/15/16 | 5,500 | 5,766 |
ERP Operating LP | 5.375% | 8/1/16 | 5,925 | 6,310 |
ERP Operating LP | 5.750% | 6/15/17 | 2,475 | 2,723 |
ERP Operating LP | 4.750% | 7/15/20 | 2,210 | 2,417 |
ERP Operating LP | 4.625% | 12/15/21 | 15,335 | 16,795 |
ERP Operating LP | 3.000% | 4/15/23 | 2,453 | 2,412 |
ERP Operating LP | 4.500% | 7/1/44 | 7,175 | 7,505 |
Essex Portfolio LP | 5.500% | 3/15/17 | 25 | 27 |
Essex Portfolio LP | 3.375% | 1/15/23 | 5,375 | 5,284 |
41
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Essex Portfolio LP | 3.250% | 5/1/23 | 3,025 | 2,945 |
Excel Trust LP | 4.625% | 5/15/24 | 2,600 | 2,699 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 3,050 | 3,062 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 4,285 | 4,128 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 2,525 | 2,629 |
HCP Inc. | 3.750% | 2/1/16 | 25,075 | 25,773 |
HCP Inc. | 6.300% | 9/15/16 | 9,415 | 10,195 |
HCP Inc. | 6.000% | 1/30/17 | 3,220 | 3,512 |
HCP Inc. | 5.625% | 5/1/17 | 100 | 109 |
HCP Inc. | 6.700% | 1/30/18 | 2,820 | 3,209 |
HCP Inc. | 3.750% | 2/1/19 | 9,525 | 9,979 |
HCP Inc. | 2.625% | 2/1/20 | 775 | 767 |
HCP Inc. | 5.375% | 2/1/21 | 4,390 | 4,915 |
HCP Inc. | 3.150% | 8/1/22 | 700 | 689 |
HCP Inc. | 4.250% | 11/15/23 | 1,702 | 1,788 |
HCP Inc. | 4.200% | 3/1/24 | 2,950 | 3,061 |
HCP Inc. | 6.750% | 2/1/41 | 300 | 407 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 2,450 | 2,522 |
Health Care REIT Inc. | 6.200% | 6/1/16 | 9,400 | 10,034 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 4,150 | 4,462 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 4,653 | 4,683 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 4,855 | 5,170 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 8,610 | 9,439 |
Health Care REIT Inc. | 5.250% | 1/15/22 | 8,675 | 9,602 |
Health Care REIT Inc. | 3.750% | 3/15/23 | 4,275 | 4,329 |
Health Care REIT Inc. | 6.500% | 3/15/41 | 3,400 | 4,480 |
Health Care REIT Inc. | 5.125% | 3/15/43 | 4,050 | 4,462 |
Healthcare Realty Trust Inc. | 6.500% | 1/17/17 | 3,929 | 4,291 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 2,550 | 2,856 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 425 | 420 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,800 | 2,789 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,500 | 1,488 |
Highwoods Realty LP | 3.200% | 6/15/21 | 14,100 | 14,043 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 10,375 | 11,489 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 1,255 | 1,321 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 4,050 | 4,112 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 1,175 | 1,204 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 3,300 | 3,310 |
Kilroy Realty LP | 4.800% | 7/15/18 | 10,725 | 11,541 |
Kilroy Realty LP | 3.800% | 1/15/23 | 3,025 | 3,063 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 1,100 | 1,159 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 5,625 | 6,127 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 1,630 | 1,737 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 5,532 | 6,549 |
Kimco Realty Corp. | 3.200% | 5/1/21 | 5,500 | 5,544 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 3,300 | 3,234 |
Lexington Realty Trust | 4.400% | 6/15/24 | 2,775 | 2,820 |
Liberty Property LP | 5.500% | 12/15/16 | 1,875 | 2,007 |
Liberty Property LP | 6.625% | 10/1/17 | 2,900 | 3,252 |
Liberty Property LP | 4.750% | 10/1/20 | 524 | 568 |
Liberty Property LP | 3.375% | 6/15/23 | 1,250 | 1,220 |
Liberty Property LP | 4.400% | 2/15/24 | 1,300 | 1,365 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 650 | 651 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 6,525 | 7,735 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 3,550 | 3,589 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 2,000 | 1,832 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 12,400 | 13,057 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 4,310 | 4,341 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 10,350 | 11,754 |
National Retail Properties Inc. | 5.500% | 7/15/21 | 4,500 | 5,113 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 3,000 | 3,075 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 4,750 | 4,665 |
Omega Healthcare Investors Inc. | 6.750% | 10/15/22 | 2,534 | 2,686 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 1,524 | 1,623 |
42
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 3,975 | 4,094 |
8 Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 3,000 | 2,985 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,912 | 1,855 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 3,450 | 3,555 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 1,825 | 1,812 |
Prologis LP | 4.500% | 8/15/17 | 2,725 | 2,906 |
ProLogis LP | 2.750% | 2/15/19 | 2,400 | 2,436 |
Prologis LP | 6.875% | 3/15/20 | 7,225 | 8,534 |
Prologis LP | 3.350% | 2/1/21 | 4,000 | 4,055 |
ProLogis LP | 4.250% | 8/15/23 | 5,495 | 5,803 |
Realty Income Corp. | 5.950% | 9/15/16 | 150 | 162 |
Realty Income Corp. | 2.000% | 1/31/18 | 1,000 | 1,001 |
Realty Income Corp. | 6.750% | 8/15/19 | 8,310 | 9,766 |
Realty Income Corp. | 5.750% | 1/15/21 | 5,175 | 5,893 |
Realty Income Corp. | 5.875% | 3/15/35 | 8,085 | 9,735 |
Regency Centers LP | 5.250% | 8/1/15 | 2,925 | 2,997 |
Regency Centers LP | 3.750% | 6/15/24 | 6,024 | 6,134 |
Retail Opportunity Investments Corp. | 5.000% | 12/15/23 | 1,675 | 1,823 |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 3,650 | 3,723 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 5,000 | 5,030 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 1,775 | 1,823 |
Simon Property Group LP | 5.750% | 12/1/15 | 15,350 | 15,870 |
Simon Property Group LP | 5.250% | 12/1/16 | 17,641 | 18,862 |
Simon Property Group LP | 2.800% | 1/30/17 | 2,685 | 2,765 |
Simon Property Group LP | 2.150% | 9/15/17 | 6,425 | 6,549 |
Simon Property Group LP | 6.125% | 5/30/18 | 5,450 | 6,202 |
Simon Property Group LP | 5.650% | 2/1/20 | 12,270 | 14,092 |
Simon Property Group LP | 4.375% | 3/1/21 | 8,845 | 9,690 |
Simon Property Group LP | 4.125% | 12/1/21 | 7,313 | 7,941 |
Simon Property Group LP | 3.375% | 3/15/22 | 2,775 | 2,862 |
Simon Property Group LP | 2.750% | 2/1/23 | 2,150 | 2,113 |
Simon Property Group LP | 3.750% | 2/1/24 | 5,600 | 5,881 |
Simon Property Group LP | 6.750% | 2/1/40 | 11,593 | 16,135 |
Simon Property Group LP | 4.750% | 3/15/42 | 1,900 | 2,116 |
Simon Property Group LP | 4.250% | 10/1/44 | 2,060 | 2,136 |
Tanger Properties LP | 3.875% | 12/1/23 | 3,345 | 3,432 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,300 | 1,312 |
UDR Inc. | 4.250% | 6/1/18 | 1,300 | 1,387 |
UDR Inc. | 3.700% | 10/1/20 | 6,110 | 6,327 |
UDR Inc. | 4.625% | 1/10/22 | 12,145 | 13,082 |
Ventas Realty LP | 1.550% | 9/26/16 | 1,400 | 1,406 |
Ventas Realty LP | 1.250% | 4/17/17 | 4,000 | 3,966 |
Ventas Realty LP | 3.750% | 5/1/24 | 2,000 | 2,016 |
Ventas Realty LP | 5.700% | 9/30/43 | 4,475 | 5,364 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 6,423 | 6,423 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 100 | 106 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 3,625 | 3,600 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 4,900 | 5,330 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 620 | 651 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 10,563 | 10,422 |
Vornado Realty LP | 2.500% | 6/30/19 | 8,500 | 8,418 |
Washington REIT | 4.950% | 10/1/20 | 475 | 514 |
Washington REIT | 3.950% | 10/15/22 | 2,650 | 2,659 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 1,275 | 1,262 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 3,925 | 3,877 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 450 | 479 |
WP Carey Inc. | 4.600% | 4/1/24 | 6,025 | 6,325 |
11,483,017 | ||||
Industrial (15.2%) | ||||
Basic Industry (1.3%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 7,080 | 8,166 |
Agrium Inc. | 3.150% | 10/1/22 | 2,101 | 2,041 |
Agrium Inc. | 3.500% | 6/1/23 | 10,000 | 9,878 |
43
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Agrium Inc. | 6.125% | 1/15/41 | 6,693 | 7,814 |
Agrium Inc. | 4.900% | 6/1/43 | 2,200 | 2,279 |
Agrium Inc. | 5.250% | 1/15/45 | 6,815 | 7,447 |
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 5,325 | 5,414 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,325 | 1,351 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 7,125 | 6,958 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 6,350 | 6,464 |
Airgas Inc. | 3.650% | 7/15/24 | 7,000 | 7,158 |
Albemarle Corp. | 3.000% | 12/1/19 | 2,475 | 2,473 |
Albemarle Corp. | 4.500% | 12/15/20 | 500 | 539 |
Albemarle Corp. | 4.150% | 12/1/24 | 4,500 | 4,595 |
Albemarle Corp. | 5.450% | 12/1/44 | 4,950 | 5,297 |
8 Anglo American Capital plc | 4.125% | 9/27/22 | 575 | 569 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 2,134 | 2,435 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 19,312 | 18,585 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 16,770 | 16,351 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 5,875 | 5,557 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 4,325 | 4,861 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 10,737 | 10,842 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 2,950 | 3,451 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 6,988 | 6,837 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 4,106 | 4,111 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 7,643 | 7,543 |
BHP Billiton Finance USA Ltd. | 5.250% | 12/15/15 | 11,721 | 12,209 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 12,858 | 12,933 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 50 | 54 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 2,400 | 2,408 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 15,430 | 18,108 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 5,976 | 6,106 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 18,694 | 18,546 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 14,546 | 15,352 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 11,283 | 11,009 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 28,262 | 31,524 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 1,700 | 1,726 |
Cabot Corp. | 2.550% | 1/15/18 | 475 | 480 |
Cabot Corp. | 3.700% | 7/15/22 | 800 | 815 |
Carpenter Technology Corp. | 5.200% | 7/15/21 | 11,175 | 11,826 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 1,225 | 1,431 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 5,300 | 5,525 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 1,763 | 1,826 |
CF Industries Inc. | 6.875% | 5/1/18 | 16,873 | 19,172 |
CF Industries Inc. | 7.125% | 5/1/20 | 5,275 | 6,271 |
CF Industries Inc. | 3.450% | 6/1/23 | 3,500 | 3,445 |
CF Industries Inc. | 5.150% | 3/15/34 | 10,200 | 10,688 |
CF Industries Inc. | 4.950% | 6/1/43 | 3,755 | 3,786 |
CF Industries Inc. | 5.375% | 3/15/44 | 7,500 | 8,153 |
Domtar Corp. | 6.250% | 9/1/42 | 850 | 912 |
Domtar Corp. | 6.750% | 2/15/44 | 5,000 | 5,698 |
Dow Chemical Co. | 2.500% | 2/15/16 | 1,625 | 1,655 |
Dow Chemical Co. | 5.700% | 5/15/18 | 475 | 528 |
Dow Chemical Co. | 8.550% | 5/15/19 | 15,450 | 19,206 |
Dow Chemical Co. | 4.250% | 11/15/20 | 15,209 | 16,256 |
Dow Chemical Co. | 4.125% | 11/15/21 | 5,996 | 6,339 |
Dow Chemical Co. | 3.000% | 11/15/22 | 15,865 | 15,526 |
Dow Chemical Co. | 3.500% | 10/1/24 | 1,450 | 1,437 |
Dow Chemical Co. | 7.375% | 11/1/29 | 1,998 | 2,679 |
Dow Chemical Co. | 4.250% | 10/1/34 | 10,036 | 10,001 |
Dow Chemical Co. | 9.400% | 5/15/39 | 13,193 | 21,405 |
Dow Chemical Co. | 5.250% | 11/15/41 | 10,393 | 11,200 |
Dow Chemical Co. | 4.375% | 11/15/42 | 5,730 | 5,567 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 15,368 | 15,629 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 4,771 | 5,373 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 11,000 | 11,040 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 775 | 828 |
44
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Eastman Chemical Co. | 3.600% | 8/15/22 | 18,705 | 18,953 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 8,250 | 8,340 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 5,649 | 5,696 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 5,300 | 5,433 |
Ecolab Inc. | 3.000% | 12/8/16 | 14,825 | 15,310 |
Ecolab Inc. | 1.450% | 12/8/17 | 4,807 | 4,768 |
Ecolab Inc. | 4.350% | 12/8/21 | 3,570 | 3,888 |
Ecolab Inc. | 5.500% | 12/8/41 | 9,655 | 11,621 |
EI du Pont de Nemours & Co. | 1.950% | 1/15/16 | 2,800 | 2,834 |
EI du Pont de Nemours & Co. | 2.750% | 4/1/16 | 5,200 | 5,330 |
EI du Pont de Nemours & Co. | 5.250% | 12/15/16 | 750 | 811 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 9,430 | 10,731 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 5,302 | 5,849 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 14,960 | 15,810 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,950 | 3,228 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 9,625 | 9,466 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 1,700 | 2,207 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 10,878 | 11,938 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 4,950 | 5,003 |
FMC Corp. | 3.950% | 2/1/22 | 1,425 | 1,490 |
FMC Corp. | 4.100% | 2/1/24 | 9,750 | 10,109 |
Freeport-McMoRan Copper & Gold Inc. | 2.150% | 3/1/17 | 3,366 | 3,371 |
Freeport-McMoRan Copper & Gold Inc. | 2.375% | 3/15/18 | 29,250 | 28,977 |
Freeport-McMoRan Copper & Gold Inc. | 3.100% | 3/15/20 | 30,010 | 29,220 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 15,091 | 14,248 |
Freeport-McMoRan Copper & Gold Inc. | 3.875% | 3/15/23 | 19,749 | 18,560 |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 6,250 | 6,071 |
Freeport-McMoRan Inc. | 5.400% | 11/14/34 | 5,500 | 5,359 |
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 20,421 | 19,309 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 7,829 | 10,413 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 6,350 | 8,248 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 3,318 | 4,601 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 4,965 | 7,609 |
Glencore Canada Corp. | 5.500% | 6/15/17 | 4,675 | 5,033 |
Goldcorp Inc. | 2.125% | 3/15/18 | 16,060 | 15,939 |
Goldcorp Inc. | 3.700% | 3/15/23 | 9,600 | 9,354 |
Goldcorp Inc. | 5.450% | 6/9/44 | 2,625 | 2,624 |
International Paper Co. | 7.950% | 6/15/18 | 7,318 | 8,622 |
International Paper Co. | 7.500% | 8/15/21 | 10,210 | 12,744 |
International Paper Co. | 3.650% | 6/15/24 | 14,535 | 14,534 |
International Paper Co. | 8.700% | 6/15/38 | 1,200 | 1,803 |
International Paper Co. | 7.300% | 11/15/39 | 643 | 852 |
International Paper Co. | 6.000% | 11/15/41 | 3,000 | 3,552 |
International Paper Co. | 4.800% | 6/15/44 | 14,160 | 14,485 |
Kinross Gold Corp. | 5.125% | 9/1/21 | 3,100 | 2,993 |
8 Kinross Gold Corp. | 5.950% | 3/15/24 | 5,000 | 4,675 |
Kinross Gold Corp. | 6.875% | 9/1/41 | 2,150 | 2,033 |
Lubrizol Corp. | 8.875% | 2/1/19 | 850 | 1,067 |
Lubrizol Corp. | 6.500% | 10/1/34 | 6,025 | 8,131 |
LYB International Finance BV | 5.250% | 7/15/43 | 1,600 | 1,736 |
LYB International Finance BV | 4.875% | 3/15/44 | 17,100 | 17,560 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 33,410 | 36,405 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 14,725 | 16,915 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 7,450 | 8,480 |
Monsanto Co. | 2.750% | 4/15/16 | 1,750 | 1,790 |
Monsanto Co. | 1.150% | 6/30/17 | 8,000 | 7,943 |
Monsanto Co. | 5.125% | 4/15/18 | 3,100 | 3,414 |
Monsanto Co. | 2.125% | 7/15/19 | 7,500 | 7,463 |
Monsanto Co. | 2.750% | 7/15/21 | 6,000 | 5,975 |
Monsanto Co. | 2.200% | 7/15/22 | 7,580 | 7,189 |
Monsanto Co. | 3.375% | 7/15/24 | 5,525 | 5,622 |
Monsanto Co. | 5.500% | 8/15/25 | 23 | 27 |
Monsanto Co. | 4.200% | 7/15/34 | 2,325 | 2,418 |
Monsanto Co. | 5.875% | 4/15/38 | 2,067 | 2,576 |
45
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Monsanto Co. | 3.600% | 7/15/42 | 6,341 | 5,786 |
Monsanto Co. | 4.650% | 11/15/43 | 2,000 | 2,134 |
Monsanto Co. | 4.400% | 7/15/44 | 7,000 | 7,253 |
Monsanto Co. | 4.700% | 7/15/64 | 7,260 | 7,598 |
Mosaic Co. | 3.750% | 11/15/21 | 2,100 | 2,190 |
Mosaic Co. | 4.250% | 11/15/23 | 8,557 | 8,982 |
Mosaic Co. | 5.450% | 11/15/33 | 2,650 | 3,002 |
Mosaic Co. | 4.875% | 11/15/41 | 1,268 | 1,302 |
Mosaic Co. | 5.625% | 11/15/43 | 3,150 | 3,615 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,470 | 1,575 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 6,719 | 6,302 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 2,605 | 2,553 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 16,352 | 16,670 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 4,544 | 3,958 |
Nucor Corp. | 5.750% | 12/1/17 | 1,100 | 1,217 |
Nucor Corp. | 5.850% | 6/1/18 | 6,855 | 7,659 |
Nucor Corp. | 4.125% | 9/15/22 | 382 | 408 |
Nucor Corp. | 4.000% | 8/1/23 | 5,045 | 5,291 |
Nucor Corp. | 6.400% | 12/1/37 | 5,513 | 6,831 |
Nucor Corp. | 5.200% | 8/1/43 | 7,450 | 8,212 |
Packaging Corp. of America | 3.900% | 6/15/22 | 6,000 | 6,160 |
Packaging Corp. of America | 4.500% | 11/1/23 | 15,845 | 16,680 |
Packaging Corp. of America | 3.650% | 9/15/24 | 4,500 | 4,431 |
Placer Dome Inc. | 6.450% | 10/15/35 | 2,175 | 2,386 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 4,574 | 4,951 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 4,500 | 4,961 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 9,850 | 10,958 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 4,405 | 4,758 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 4,441 | 4,702 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 170 | 199 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 7,118 | 7,858 |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 9,925 | 10,210 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 1,075 | 1,333 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 4,318 | 5,283 |
PPG Industries Inc. | 1.900% | 1/15/16 | 6,825 | 6,898 |
PPG Industries Inc. | 6.650% | 3/15/18 | 308 | 352 |
PPG Industries Inc. | 2.300% | 11/15/19 | 6,043 | 6,018 |
PPG Industries Inc. | 3.600% | 11/15/20 | 1,650 | 1,723 |
PPG Industries Inc. | 5.500% | 11/15/40 | 3,075 | 3,720 |
Praxair Inc. | 3.250% | 9/15/15 | 950 | 968 |
Praxair Inc. | 5.200% | 3/15/17 | 1,100 | 1,197 |
Praxair Inc. | 4.500% | 8/15/19 | 2,640 | 2,897 |
Praxair Inc. | 3.000% | 9/1/21 | 3,550 | 3,630 |
Praxair Inc. | 2.450% | 2/15/22 | 19,700 | 19,308 |
Praxair Inc. | 2.200% | 8/15/22 | 4,319 | 4,142 |
Praxair Inc. | 3.550% | 11/7/42 | 1,000 | 975 |
Rayonier Inc. | 3.750% | 4/1/22 | 2,750 | 2,790 |
Reliance Steel & Aluminum Co. | 6.200% | 11/15/16 | 250 | 268 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 2,025 | 1,989 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 1,785 | 2,090 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 10,254 | 11,743 |
Rio Tinto Finance USA Ltd. | 1.875% | 11/2/15 | 13,268 | 13,392 |
Rio Tinto Finance USA Ltd. | 2.500% | 5/20/16 | 1,200 | 1,223 |
Rio Tinto Finance USA Ltd. | 2.250% | 9/20/16 | 2,200 | 2,241 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 18,890 | 21,611 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 13,841 | 17,497 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 11,936 | 12,368 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 4,725 | 4,966 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,139 | 5,279 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 7,009 | 9,228 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 12,081 | 12,873 |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 7,506 | 7,526 |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 7,455 | 7,525 |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 7,025 | 7,001 |
46
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 9,315 | 9,310 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 5,947 | 5,942 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 9,035 | 8,669 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 418 | 427 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 8,953 | 8,607 |
Rock-Tenn Co. | 4.450% | 3/1/19 | 4,150 | 4,431 |
Rock-Tenn Co. | 3.500% | 3/1/20 | 2,085 | 2,114 |
Rock-Tenn Co. | 4.900% | 3/1/22 | 3,650 | 3,923 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 2,791 | 3,093 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 2,750 | 3,811 |
RPM International Inc. | 6.125% | 10/15/19 | 2,493 | 2,832 |
RPM International Inc. | 3.450% | 11/15/22 | 4,585 | 4,526 |
Sherwin-Williams Co. | 4.000% | 12/15/42 | 2,000 | 1,988 |
Sigma-Aldrich Corp. | 3.375% | 11/1/20 | 1,735 | 1,796 |
Southern Copper Corp. | 5.375% | 4/16/20 | 1,813 | 1,967 |
Southern Copper Corp. | 7.500% | 7/27/35 | 16,550 | 18,349 |
Southern Copper Corp. | 6.750% | 4/16/40 | 2,340 | 2,419 |
Southern Copper Corp. | 5.250% | 11/8/42 | 12,820 | 11,445 |
Syngenta Finance NV | 3.125% | 3/28/22 | 4,100 | 4,135 |
Syngenta Finance NV | 4.375% | 3/28/42 | 2,675 | 2,765 |
Teck Resources Ltd. | 3.150% | 1/15/17 | 2,150 | 2,211 |
Teck Resources Ltd. | 3.850% | 8/15/17 | 4,100 | 4,196 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 11,125 | 10,845 |
Teck Resources Ltd. | 4.500% | 1/15/21 | 2,750 | 2,711 |
Teck Resources Ltd. | 4.750% | 1/15/22 | 2,932 | 2,860 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 4,862 | 4,369 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 6,312 | 5,692 |
Teck Resources Ltd. | 6.000% | 8/15/40 | 7,455 | 6,677 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 3,868 | 3,559 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 5,931 | 4,855 |
Teck Resources Ltd. | 5.400% | 2/1/43 | 693 | 580 |
The Dow Chemical Company | 4.625% | 10/1/44 | 1,000 | 1,006 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 1,175 | 1,267 |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 1,750 | 1,814 |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 7,760 | 8,245 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 16,225 | 17,284 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 8,750 | 8,874 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 27,375 | 26,404 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 2,512 | 2,988 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 20,799 | 21,926 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 20,204 | 21,621 |
Vale SA | 5.625% | 9/11/42 | 315 | 292 |
Valspar Corp. | 7.250% | 6/15/19 | 675 | 792 |
Valspar Corp. | 4.200% | 1/15/22 | 975 | 1,047 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 775 | 768 |
Westvaco Corp. | 8.200% | 1/15/30 | 18 | 24 |
Westvaco Corp. | 7.950% | 2/15/31 | 5,253 | 6,852 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 8,291 | 9,897 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 2,400 | 3,174 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 6,968 | 9,252 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 3,175 | 4,074 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 1,300 | 1,374 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 4,115 | 4,032 |
Capital Goods (1.2%) | ||||
3M Co. | 6.375% | 2/15/28 | 3,650 | 4,818 |
3M Co. | 5.700% | 3/15/37 | 6,023 | 7,829 |
ABB Finance USA Inc. | 1.625% | 5/8/17 | 2,500 | 2,507 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 4,965 | 4,983 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,678 | 1,820 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 2,050 | 2,275 |
Avery Dennison Corp. | 3.350% | 4/15/23 | 6,650 | 6,602 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 150 | 156 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 5,000 | 5,564 |
47
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Boeing Co. | 3.750% | 11/20/16 | 40 | 42 |
Boeing Co. | 0.950% | 5/15/18 | 425 | 415 |
Boeing Co. | 6.000% | 3/15/19 | 265 | 306 |
Boeing Co. | 4.875% | 2/15/20 | 7,875 | 8,879 |
Boeing Co. | 8.750% | 8/15/21 | 1,600 | 2,196 |
Boeing Co. | 2.350% | 10/30/21 | 7,645 | 7,592 |
Boeing Co. | 7.950% | 8/15/24 | 3,023 | 4,233 |
Boeing Co. | 2.850% | 10/30/24 | 5,600 | 5,576 |
Boeing Co. | 7.250% | 6/15/25 | 675 | 897 |
Boeing Co. | 8.750% | 9/15/31 | 850 | 1,356 |
Boeing Co. | 6.125% | 2/15/33 | 4,250 | 5,644 |
Boeing Co. | 6.625% | 2/15/38 | 2,805 | 3,991 |
Boeing Co. | 6.875% | 3/15/39 | 1,003 | 1,462 |
Boeing Co. | 5.875% | 2/15/40 | 4,364 | 5,748 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,080 | 3,137 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 28,475 | 29,015 |
Caterpillar Financial Services Corp. | 1.000% | 11/25/16 | 3,000 | 3,006 |
Caterpillar Financial Services Corp. | 1.000% | 3/3/17 | 5,500 | 5,485 |
Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 6,000 | 5,978 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 7,999 | 7,970 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 114 | 127 |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 1,100 | 1,298 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 20,258 | 24,217 |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 2,000 | 2,004 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 3,400 | 3,426 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 5,000 | 5,302 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 2,000 | 2,049 |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 2,200 | 2,234 |
Caterpillar Inc. | 7.900% | 12/15/18 | 500 | 610 |
Caterpillar Inc. | 3.900% | 5/27/21 | 15,253 | 16,516 |
Caterpillar Inc. | 3.400% | 5/15/24 | 22,450 | 23,103 |
Caterpillar Inc. | 6.050% | 8/15/36 | 9,017 | 11,727 |
Caterpillar Inc. | 5.200% | 5/27/41 | 250 | 297 |
Caterpillar Inc. | 3.803% | 8/15/42 | 16,620 | 16,332 |
Caterpillar Inc. | 4.300% | 5/15/44 | 8,950 | 9,538 |
Caterpillar Inc. | 4.750% | 5/15/64 | 2,350 | 2,550 |
Cooper US Inc. | 2.375% | 1/15/16 | 3,025 | 3,072 |
Cooper US Inc. | 3.875% | 12/15/20 | 1,250 | 1,318 |
Crane Co. | 2.750% | 12/15/18 | 750 | 758 |
Crane Co. | 4.450% | 12/15/23 | 2,250 | 2,377 |
CRH America Inc. | 4.125% | 1/15/16 | 6,425 | 6,611 |
CRH America Inc. | 6.000% | 9/30/16 | 17,236 | 18,551 |
CRH America Inc. | 8.125% | 7/15/18 | 9,400 | 11,232 |
CRH America Inc. | 5.750% | 1/15/21 | 6,800 | 7,828 |
Danaher Corp. | 2.300% | 6/23/16 | 1,750 | 1,790 |
Danaher Corp. | 5.625% | 1/15/18 | 2,385 | 2,667 |
Danaher Corp. | 5.400% | 3/1/19 | 1,700 | 1,917 |
Danaher Corp. | 3.900% | 6/23/21 | 5,310 | 5,731 |
Deere & Co. | 4.375% | 10/16/19 | 6,077 | 6,630 |
Deere & Co. | 2.600% | 6/8/22 | 15,853 | 15,610 |
Deere & Co. | 5.375% | 10/16/29 | 8,557 | 10,384 |
Deere & Co. | 8.100% | 5/15/30 | 4,365 | 6,669 |
Deere & Co. | 7.125% | 3/3/31 | 925 | 1,328 |
Deere & Co. | 3.900% | 6/9/42 | 12,370 | 12,525 |
Dover Corp. | 5.450% | 3/15/18 | 7,150 | 7,984 |
Dover Corp. | 4.300% | 3/1/21 | 850 | 936 |
Dover Corp. | 5.375% | 10/15/35 | 550 | 670 |
Dover Corp. | 6.600% | 3/15/38 | 3,115 | 4,405 |
Dover Corp. | 5.375% | 3/1/41 | 1,759 | 2,187 |
Eaton Corp. | 1.500% | 11/2/17 | 13,405 | 13,348 |
Eaton Corp. | 5.600% | 5/15/18 | 12,050 | 13,373 |
Eaton Corp. | 2.750% | 11/2/22 | 14,900 | 14,631 |
Eaton Corp. | 4.000% | 11/2/32 | 6,325 | 6,458 |
Eaton Corp. | 4.150% | 11/2/42 | 4,275 | 4,222 |
48
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
8 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 19,075 | 20,246 |
Embraer SA | 5.150% | 6/15/22 | 2,925 | 3,097 |
Emerson Electric Co. | 5.250% | 10/15/18 | 6,635 | 7,484 |
Emerson Electric Co. | 4.875% | 10/15/19 | 6,370 | 7,116 |
Emerson Electric Co. | 4.250% | 11/15/20 | 720 | 783 |
Emerson Electric Co. | 2.625% | 2/15/23 | 4,275 | 4,221 |
Emerson Electric Co. | 6.000% | 8/15/32 | 940 | 1,240 |
Emerson Electric Co. | 6.125% | 4/15/39 | 1,960 | 2,672 |
Emerson Electric Co. | 5.250% | 11/15/39 | 269 | 330 |
Exelis Inc. | 4.250% | 10/1/16 | 3,525 | 3,668 |
Flowserve Corp. | 3.500% | 9/15/22 | 11,275 | 11,289 |
Flowserve Corp. | 4.000% | 11/15/23 | 4,325 | 4,462 |
General Dynamics Corp. | 1.000% | 11/15/17 | 11,425 | 11,315 |
General Dynamics Corp. | 3.875% | 7/15/21 | 11,125 | 11,992 |
General Dynamics Corp. | 2.250% | 11/15/22 | 14,890 | 14,387 |
General Dynamics Corp. | 3.600% | 11/15/42 | 5,918 | 5,690 |
General Electric Co. | 5.250% | 12/6/17 | 49,430 | 54,842 |
General Electric Co. | 2.700% | 10/9/22 | 39,563 | 39,589 |
General Electric Co. | 3.375% | 3/11/24 | 6,000 | 6,218 |
General Electric Co. | 4.125% | 10/9/42 | 20,865 | 21,635 |
General Electric Co. | 4.500% | 3/11/44 | 25,040 | 27,523 |
Honeywell International Inc. | 5.400% | 3/15/16 | 4,050 | 4,283 |
Honeywell International Inc. | 5.300% | 3/15/17 | 6,485 | 7,071 |
Honeywell International Inc. | 5.300% | 3/1/18 | 2,660 | 2,955 |
Honeywell International Inc. | 5.000% | 2/15/19 | 2,621 | 2,944 |
Honeywell International Inc. | 4.250% | 3/1/21 | 15,971 | 17,854 |
Honeywell International Inc. | 3.350% | 12/1/23 | 9,660 | 10,076 |
Honeywell International Inc. | 5.700% | 3/15/36 | 1,235 | 1,575 |
Honeywell International Inc. | 5.700% | 3/15/37 | 6,751 | 8,691 |
Honeywell International Inc. | 5.375% | 3/1/41 | 13,313 | 16,677 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 1,000 | 1,001 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 12,675 | 14,779 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 45 | 52 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 12,800 | 12,873 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 11,655 | 13,464 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 6,850 | 6,955 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 3,525 | 3,719 |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 3,600 | 4,243 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 4,000 | 3,983 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 3,200 | 3,178 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 3,500 | 3,643 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 2,100 | 2,100 |
John Deere Capital Corp. | 2.250% | 6/7/16 | 300 | 307 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 9,000 | 9,149 |
John Deere Capital Corp. | 1.050% | 12/15/16 | 1,900 | 1,908 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 10,450 | 10,628 |
John Deere Capital Corp. | 5.500% | 4/13/17 | 4,350 | 4,766 |
John Deere Capital Corp. | 1.125% | 6/12/17 | 2,480 | 2,471 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 7,400 | 7,705 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 3,200 | 3,183 |
John Deere Capital Corp. | 1.550% | 12/15/17 | 9,000 | 9,012 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 9,275 | 9,182 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 3,950 | 4,483 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 4,500 | 4,505 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 10,200 | 10,154 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 5,275 | 5,330 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 5,675 | 5,521 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 5,600 | 5,671 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 5,850 | 6,343 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 7,349 | 7,626 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 1,085 | 1,079 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 2,225 | 2,222 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 8,700 | 8,927 |
Joy Global Inc. | 6.000% | 11/15/16 | 1,065 | 1,158 |
49
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kennametal Inc. | 2.650% | 11/1/19 | 3,625 | 3,584 |
Kennametal Inc. | 3.875% | 2/15/22 | 1,900 | 1,955 |
L-3 Communications Corp. | 1.500% | 5/28/17 | 3,200 | 3,171 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 9,050 | 9,925 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 8,400 | 8,993 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 8,500 | 9,226 |
L-3 Communications Corp. | 3.950% | 5/28/24 | 5,150 | 5,194 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 4,900 | 4,980 |
Legrand France SA | 8.500% | 2/15/25 | 625 | 877 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 6,163 | 6,733 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 2,325 | 2,368 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 10,256 | 11,184 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 17,003 | 17,696 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 19,390 | 25,337 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 1,850 | 2,269 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 4,660 | 5,943 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 4,122 | 4,638 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 4,450 | 5,045 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 2,264 | 2,367 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 17,950 | 17,986 |
Northrop Grumman Corp. | 5.050% | 8/1/19 | 3,285 | 3,647 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 9,828 | 10,239 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 5,000 | 5,022 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 6,925 | 7,805 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 6,125 | 6,838 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 381 | 536 |
Owens Corning | 6.500% | 12/1/16 | 1,405 | 1,553 |
Owens Corning | 4.200% | 12/15/22 | 8,254 | 8,387 |
Owens Corning | 4.200% | 12/1/24 | 2,000 | 1,979 |
Owens Corning | 7.000% | 12/1/36 | 1,525 | 1,855 |
Parker Hannifin Corp. | 5.500% | 5/15/18 | 950 | 1,065 |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 500 | 525 |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 4,003 | 5,387 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 5,000 | 5,114 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 7,000 | 7,382 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 4,900 | 5,286 |
Pentair Finance SA | 1.350% | 12/1/15 | 3,463 | 3,471 |
Pentair Finance SA | 2.650% | 12/1/19 | 2,204 | 2,179 |
Pentair Finance SA | 5.000% | 5/15/21 | 1,310 | 1,457 |
Pentair Finance SA | 3.150% | 9/15/22 | 855 | 839 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 4,210 | 4,201 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 12,018 | 11,848 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 9,425 | 9,091 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 4,125 | 4,192 |
Raytheon Co. | 6.400% | 12/15/18 | 275 | 321 |
Raytheon Co. | 4.400% | 2/15/20 | 2,820 | 3,078 |
Raytheon Co. | 3.125% | 10/15/20 | 3,695 | 3,820 |
Raytheon Co. | 2.500% | 12/15/22 | 5,500 | 5,360 |
Raytheon Co. | 7.200% | 8/15/27 | 4,360 | 5,891 |
Raytheon Co. | 4.875% | 10/15/40 | 1,825 | 2,082 |
Raytheon Co. | 4.700% | 12/15/41 | 8,175 | 9,105 |
Republic Services Inc. | 3.800% | 5/15/18 | 3,825 | 4,045 |
Republic Services Inc. | 5.500% | 9/15/19 | 19,800 | 22,300 |
Republic Services Inc. | 5.000% | 3/1/20 | 5,285 | 5,833 |
Republic Services Inc. | 5.250% | 11/15/21 | 10,594 | 12,026 |
Republic Services Inc. | 3.550% | 6/1/22 | 2,550 | 2,624 |
Republic Services Inc. | 4.750% | 5/15/23 | 1,650 | 1,829 |
Republic Services Inc. | 6.086% | 3/15/35 | 2,600 | 3,220 |
Republic Services Inc. | 6.200% | 3/1/40 | 3,773 | 4,885 |
Republic Services Inc. | 5.700% | 5/15/41 | 5,968 | 7,369 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 1,150 | 1,276 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 1,025 | 1,332 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 3,985 | 5,182 |
Rockwell Collins Inc. | 5.250% | 7/15/19 | 850 | 952 |
50
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 2,350 | 2,411 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 3,300 | 3,828 |
Roper Industries Inc. | 1.850% | 11/15/17 | 3,550 | 3,552 |
Roper Industries Inc. | 2.050% | 10/1/18 | 11,700 | 11,591 |
Roper Industries Inc. | 6.250% | 9/1/19 | 3,760 | 4,336 |
Roper Industries Inc. | 3.125% | 11/15/22 | 3,728 | 3,630 |
Snap-on Inc. | 6.125% | 9/1/21 | 3,700 | 4,392 |
Sonoco Products Co. | 4.375% | 11/1/21 | 745 | 797 |
Sonoco Products Co. | 5.750% | 11/1/40 | 7,150 | 8,499 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,325 | 4,492 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 1,841 | 1,818 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 2,075 | 2,418 |
Textron Inc. | 5.600% | 12/1/17 | 1,875 | 2,062 |
Textron Inc. | 7.250% | 10/1/19 | 4,140 | 4,917 |
Textron Inc. | 4.300% | 3/1/24 | 2,725 | 2,849 |
Textron Inc. | 3.875% | 3/1/25 | 5,950 | 5,972 |
Tyco International Finance SA | 8.500% | 1/15/19 | 2,301 | 2,801 |
Tyco International Finance SA / Tyco Fire & Security | ||||
Finance SCA | 7.000% | 12/15/19 | 1,975 | 2,356 |
Tyco International Finance SA / Tyco Fire & Security | ||||
Finance SCA | 6.875% | 1/15/21 | 16,060 | 19,300 |
United Technologies Corp. | 1.800% | 6/1/17 | 11,320 | 11,484 |
United Technologies Corp. | 5.375% | 12/15/17 | 10,306 | 11,465 |
United Technologies Corp. | 6.125% | 2/1/19 | 835 | 970 |
United Technologies Corp. | 4.500% | 4/15/20 | 29,953 | 33,191 |
United Technologies Corp. | 3.100% | 6/1/22 | 26,132 | 26,687 |
United Technologies Corp. | 6.700% | 8/1/28 | 2,397 | 3,245 |
United Technologies Corp. | 7.500% | 9/15/29 | 4,821 | 6,903 |
United Technologies Corp. | 5.400% | 5/1/35 | 7,275 | 8,813 |
United Technologies Corp. | 6.050% | 6/1/36 | 7,452 | 9,846 |
United Technologies Corp. | 6.125% | 7/15/38 | 3,496 | 4,605 |
United Technologies Corp. | 5.700% | 4/15/40 | 7,595 | 9,529 |
United Technologies Corp. | 4.500% | 6/1/42 | 33,483 | 36,336 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 1,200 | 1,214 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 2,400 | 2,422 |
Waste Management Inc. | 2.600% | 9/1/16 | 3,250 | 3,326 |
Waste Management Inc. | 6.100% | 3/15/18 | 950 | 1,072 |
Waste Management Inc. | 7.375% | 3/11/19 | 15,797 | 18,897 |
Waste Management Inc. | 4.750% | 6/30/20 | 10,799 | 11,856 |
Waste Management Inc. | 4.600% | 3/1/21 | 7,120 | 7,861 |
Waste Management Inc. | 3.500% | 5/15/24 | 2,500 | 2,540 |
Waste Management Inc. | 7.000% | 7/15/28 | 458 | 603 |
Waste Management Inc. | 7.750% | 5/15/32 | 1,850 | 2,702 |
Waste Management Inc. | 6.125% | 11/30/39 | 6,606 | 8,563 |
Xylem Inc. | 4.875% | 10/1/21 | 150 | 162 |
Communication (2.8%) | ||||
21st Century Fox America Inc. | 8.000% | 10/17/16 | 3,815 | 4,263 |
21st Century Fox America Inc. | 7.250% | 5/18/18 | 150 | 176 |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 2,770 | 3,266 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 7,350 | 8,047 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 3,050 | 3,029 |
21st Century Fox America Inc. | 7.700% | 10/30/25 | 1,175 | 1,545 |
21st Century Fox America Inc. | 6.550% | 3/15/33 | 13,065 | 16,950 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 14,591 | 18,631 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 24,245 | 31,642 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 2,075 | 3,083 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 9,723 | 12,282 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 660 | 879 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 7,260 | 9,909 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 2,645 | 3,361 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 10,250 | 12,183 |
8 21st Century Fox America Inc. | 4.750% | 9/15/44 | 8,050 | 8,788 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 5,160 | 7,739 |
51
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
America Movil SAB de CV | 2.375% | 9/8/16 | 800 | 815 |
America Movil SAB de CV | 5.625% | 11/15/17 | 6,530 | 7,167 |
America Movil SAB de CV | 5.000% | 10/16/19 | 2,125 | 2,343 |
America Movil SAB de CV | 5.000% | 3/30/20 | 4,600 | 5,080 |
America Movil SAB de CV | 3.125% | 7/16/22 | 33,775 | 33,310 |
America Movil SAB de CV | 6.375% | 3/1/35 | 19,552 | 24,046 |
America Movil SAB de CV | 6.125% | 11/15/37 | 4,818 | 5,773 |
America Movil SAB de CV | 6.125% | 3/30/40 | 12,000 | 14,289 |
America Movil SAB de CV | 4.375% | 7/16/42 | 10,175 | 9,651 |
American Tower Corp. | 4.500% | 1/15/18 | 20,565 | 21,842 |
American Tower Corp. | 3.400% | 2/15/19 | 3,375 | 3,434 |
American Tower Corp. | 5.050% | 9/1/20 | 5,000 | 5,429 |
American Tower Corp. | 3.450% | 9/15/21 | 17,975 | 17,654 |
American Tower Corp. | 5.900% | 11/1/21 | 7,025 | 7,958 |
American Tower Corp. | 3.500% | 1/31/23 | 17,875 | 17,249 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 20 | 24 |
AT&T Corp. | 8.000% | 11/15/31 | 12,759 | 18,820 |
AT&T Inc. | 2.500% | 8/15/15 | 8,028 | 8,079 |
AT&T Inc. | 0.800% | 12/1/15 | 2,670 | 2,669 |
AT&T Inc. | 0.900% | 2/12/16 | 8,075 | 8,074 |
AT&T Inc. | 2.950% | 5/15/16 | 5,175 | 5,307 |
AT&T Inc. | 2.400% | 8/15/16 | 942 | 961 |
AT&T Inc. | 1.600% | 2/15/17 | 950 | 953 |
AT&T Inc. | 1.700% | 6/1/17 | 28,775 | 28,879 |
AT&T Inc. | 1.400% | 12/1/17 | 2,250 | 2,227 |
AT&T Inc. | 5.500% | 2/1/18 | 6,111 | 6,750 |
AT&T Inc. | 5.600% | 5/15/18 | 8,975 | 9,997 |
AT&T Inc. | 2.375% | 11/27/18 | 18,490 | 18,637 |
AT&T Inc. | 5.800% | 2/15/19 | 50,625 | 57,445 |
AT&T Inc. | 2.300% | 3/11/19 | 4,342 | 4,337 |
AT&T Inc. | 3.875% | 8/15/21 | 18,183 | 19,141 |
AT&T Inc. | 3.000% | 2/15/22 | 12,086 | 11,850 |
AT&T Inc. | 2.625% | 12/1/22 | 5,940 | 5,667 |
AT&T Inc. | 3.900% | 3/11/24 | 6,249 | 6,419 |
AT&T Inc. | 6.450% | 6/15/34 | 8,835 | 10,796 |
AT&T Inc. | 6.150% | 9/15/34 | 100 | 119 |
AT&T Inc. | 6.500% | 9/1/37 | 14,128 | 17,499 |
AT&T Inc. | 6.300% | 1/15/38 | 11,200 | 13,568 |
AT&T Inc. | 6.400% | 5/15/38 | 6,320 | 7,817 |
AT&T Inc. | 6.550% | 2/15/39 | 27,629 | 34,009 |
AT&T Inc. | 5.350% | 9/1/40 | 24,537 | 26,606 |
AT&T Inc. | 5.550% | 8/15/41 | 6,135 | 6,826 |
AT&T Inc. | 4.300% | 12/15/42 | 15,450 | 14,458 |
AT&T Inc. | 4.800% | 6/15/44 | 26,390 | 27,038 |
AT&T Inc. | 4.350% | 6/15/45 | 9,080 | 8,574 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 7,665 | 10,267 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 5,215 | 7,056 |
Bellsouth Capital Funding Corp. | 7.120% | 7/15/97 | 350 | 425 |
BellSouth Corp. | 6.875% | 10/15/31 | 7,465 | 9,398 |
BellSouth Corp. | 6.550% | 6/15/34 | 2,680 | 3,344 |
BellSouth Corp. | 6.000% | 11/15/34 | 2,037 | 2,378 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 4,400 | 5,287 |
British Telecommunications plc | 1.625% | 6/28/16 | 4,400 | 4,423 |
British Telecommunications plc | 1.250% | 2/14/17 | 600 | 596 |
British Telecommunications plc | 5.950% | 1/15/18 | 16,850 | 18,776 |
British Telecommunications plc | 2.350% | 2/14/19 | 600 | 597 |
British Telecommunications plc | 9.625% | 12/15/30 | 22,495 | 35,281 |
CBS Corp. | 1.950% | 7/1/17 | 1,125 | 1,129 |
CBS Corp. | 4.625% | 5/15/18 | 4,909 | 5,295 |
CBS Corp. | 2.300% | 8/15/19 | 5,850 | 5,779 |
CBS Corp. | 5.750% | 4/15/20 | 10,060 | 11,463 |
CBS Corp. | 4.300% | 2/15/21 | 5,775 | 6,221 |
CBS Corp. | 3.375% | 3/1/22 | 5,705 | 5,754 |
CBS Corp. | 3.700% | 8/15/24 | 2,750 | 2,745 |
52
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CBS Corp. | 7.875% | 7/30/30 | 1,789 | 2,503 |
CBS Corp. | 5.500% | 5/15/33 | 668 | 760 |
CBS Corp. | 5.900% | 10/15/40 | 1,025 | 1,196 |
CBS Corp. | 4.850% | 7/1/42 | 3,443 | 3,498 |
CBS Corp. | 4.900% | 8/15/44 | 10,250 | 10,353 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 4,745 | 4,731 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 7,256 | 10,431 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 2,875 | 3,365 |
Comcast Corp. | 5.900% | 3/15/16 | 27,419 | 29,097 |
Comcast Corp. | 4.950% | 6/15/16 | 1,200 | 1,272 |
Comcast Corp. | 6.500% | 1/15/17 | 1,315 | 1,453 |
Comcast Corp. | 6.300% | 11/15/17 | 39,555 | 44,769 |
Comcast Corp. | 5.875% | 2/15/18 | 20,503 | 23,063 |
Comcast Corp. | 5.700% | 5/15/18 | 12,390 | 13,957 |
Comcast Corp. | 5.700% | 7/1/19 | 4,975 | 5,712 |
Comcast Corp. | 5.150% | 3/1/20 | 7,498 | 8,487 |
Comcast Corp. | 3.125% | 7/15/22 | 2,629 | 2,678 |
Comcast Corp. | 2.850% | 1/15/23 | 6,120 | 6,098 |
Comcast Corp. | 3.375% | 2/15/25 | 1,882 | 1,922 |
Comcast Corp. | 4.250% | 1/15/33 | 13,410 | 14,218 |
Comcast Corp. | 7.050% | 3/15/33 | 3,000 | 4,167 |
Comcast Corp. | 4.200% | 8/15/34 | 8,600 | 9,004 |
Comcast Corp. | 5.650% | 6/15/35 | 3,171 | 3,899 |
Comcast Corp. | 6.500% | 11/15/35 | 16,050 | 21,453 |
Comcast Corp. | 6.450% | 3/15/37 | 8,204 | 10,886 |
Comcast Corp. | 6.950% | 8/15/37 | 17,276 | 24,243 |
Comcast Corp. | 6.400% | 5/15/38 | 15,321 | 20,345 |
Comcast Corp. | 6.400% | 3/1/40 | 1,000 | 1,352 |
Comcast Corp. | 4.650% | 7/15/42 | 21,772 | 23,829 |
Comcast Corp. | 4.500% | 1/15/43 | 7,250 | 7,786 |
Comcast Corp. | 4.750% | 3/1/44 | 6,690 | 7,492 |
COX Communications Inc. | 5.500% | 10/1/15 | 525 | 543 |
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 10,165 | 10,719 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 4,815 | 5,599 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 8,575 | 9,880 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 36,020 | 53,075 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.125% | 2/15/16 | 7,625 | 7,803 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 12,835 | 13,192 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 14,600 | 14,874 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 23,695 | 27,096 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 11,041 | 12,216 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 6,715 | 7,175 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 3,790 | 4,141 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 21,361 | 21,723 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 4,975 | 5,784 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 9,612 | 10,728 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.375% | 3/1/41 | 4,862 | 5,723 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 21,935 | 22,632 |
Discovery Communications LLC | 5.050% | 6/1/20 | 15,450 | 16,921 |
Discovery Communications LLC | 4.375% | 6/15/21 | 4,900 | 5,189 |
Discovery Communications LLC | 3.300% | 5/15/22 | 6,850 | 6,797 |
Discovery Communications LLC | 3.250% | 4/1/23 | 2,500 | 2,431 |
Discovery Communications LLC | 6.350% | 6/1/40 | 295 | 354 |
Discovery Communications LLC | 4.950% | 5/15/42 | 7,800 | 8,091 |
Discovery Communications LLC | 4.875% | 4/1/43 | 1,075 | 1,103 |
Embarq Corp. | 7.082% | 6/1/16 | 9,456 | 10,114 |
Embarq Corp. | 7.995% | 6/1/36 | 10,435 | 11,733 |
Graham Holdings Co. | 7.250% | 2/1/19 | 3,225 | 3,642 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 3,439 | 4,247 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 585 | 814 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 5,918 | 7,272 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 8,650 | 8,853 |
GTE Corp. | 8.750% | 11/1/21 | 3,435 | 4,486 |
GTE Corp. | 6.940% | 4/15/28 | 13,105 | 16,469 |
53
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Historic TW Inc. | 9.150% | 2/1/23 | 8,925 | 12,053 |
Historic TW Inc. | 6.625% | 5/15/29 | 7,950 | 9,992 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 5,800 | 5,780 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 16,600 | 16,905 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 7,046 | 9,896 |
McGraw Hill Financial Inc. | 5.900% | 11/15/17 | 3,485 | 3,789 |
McGraw Hill Financial Inc. | 6.550% | 11/15/37 | 6,600 | 7,190 |
Moody's Corp. | 2.750% | 7/15/19 | 2,800 | 2,822 |
Moody's Corp. | 5.500% | 9/1/20 | 1,000 | 1,136 |
Moody's Corp. | 4.500% | 9/1/22 | 15,250 | 16,403 |
Moody's Corp. | 4.875% | 2/15/24 | 6,460 | 7,068 |
Moody's Corp. | 5.250% | 7/15/44 | 3,425 | 3,839 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 8,675 | 8,898 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 10,360 | 11,757 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 21,400 | 23,547 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 9,470 | 9,466 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 21,950 | 29,407 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 7,783 | 9,986 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 8,625 | 9,161 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 145 | 225 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 2,125 | 2,118 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 2,550 | 2,699 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 20 | 23 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 21,140 | 22,721 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 23,578 | 24,226 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 2,443 | 2,459 |
Orange SA | 2.750% | 9/14/16 | 8,843 | 9,034 |
Orange SA | 5.375% | 7/8/19 | 6,475 | 7,263 |
Orange SA | 4.125% | 9/14/21 | 12,125 | 12,982 |
Orange SA | 9.000% | 3/1/31 | 27,389 | 41,425 |
Orange SA | 5.375% | 1/13/42 | 9,655 | 11,122 |
Orange SA | 5.500% | 2/6/44 | 5,236 | 6,111 |
Qwest Corp. | 6.500% | 6/1/17 | 5,350 | 5,856 |
Qwest Corp. | 6.750% | 12/1/21 | 11,500 | 13,308 |
Qwest Corp. | 7.250% | 9/15/25 | 1,360 | 1,621 |
Qwest Corp. | 6.875% | 9/15/33 | 11,554 | 11,554 |
Qwest Corp. | 7.125% | 11/15/43 | 13,775 | 14,137 |
Reed Elsevier Capital Inc. | 3.125% | 10/15/22 | 18,518 | 18,318 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 23,190 | 26,747 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 3,175 | 3,078 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 725 | 1,005 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 22,842 | 24,958 |
Scripps Networks Interactive Inc. | 2.700% | 12/15/16 | 2,468 | 2,537 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 5,850 | 5,876 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 3,000 | 3,032 |
TCI Communications Inc. | 7.875% | 2/15/26 | 3,268 | 4,549 |
TCI Communications Inc. | 7.125% | 2/15/28 | 1,347 | 1,811 |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 11,533 | 11,883 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 14,310 | 15,337 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 241 | 266 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 15,650 | 16,071 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,118 | 10,390 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 12,860 | 14,196 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 22,579 | 25,273 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 14,525 | 15,496 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 16,141 | 21,510 |
Telefonica Europe BV | 8.250% | 9/15/30 | 11,977 | 16,631 |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 5,000 | 4,984 |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 8,100 | 8,069 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 1,825 | 1,976 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 8,558 | 9,096 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 6,900 | 6,967 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 7,375 | 8,363 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 6,475 | 7,627 |
54
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 1,500 | 1,499 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 5,900 | 6,836 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 19,220 | 20,987 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 28,419 | 32,590 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 11,155 | 13,809 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 12,436 | 15,219 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 20,245 | 22,305 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 1,850 | 1,971 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 4,525 | 4,787 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 11,621 | 14,961 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 6,733 | 9,271 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 13,825 | 18,072 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 36,033 | 42,840 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 8,050 | 9,270 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 6,995 | 7,202 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 1,680 | 2,189 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 8,362 | 10,738 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 2,005 | 2,701 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 7,175 | 10,803 |
Time Warner Inc. | 3.150% | 7/15/15 | 1,715 | 1,739 |
Time Warner Inc. | 5.875% | 11/15/16 | 18,535 | 20,107 |
Time Warner Inc. | 2.100% | 6/1/19 | 10,525 | 10,363 |
Time Warner Inc. | 4.875% | 3/15/20 | 4,715 | 5,199 |
Time Warner Inc. | 4.700% | 1/15/21 | 4,420 | 4,839 |
Time Warner Inc. | 4.750% | 3/29/21 | 6,876 | 7,522 |
Time Warner Inc. | 4.000% | 1/15/22 | 3,100 | 3,257 |
Time Warner Inc. | 4.050% | 12/15/23 | 525 | 550 |
Time Warner Inc. | 3.550% | 6/1/24 | 7,500 | 7,553 |
Time Warner Inc. | 7.625% | 4/15/31 | 14,390 | 19,977 |
Time Warner Inc. | 7.700% | 5/1/32 | 13,009 | 18,379 |
Time Warner Inc. | 6.500% | 11/15/36 | 6,650 | 8,374 |
Time Warner Inc. | 6.200% | 3/15/40 | 4,895 | 5,984 |
Time Warner Inc. | 6.100% | 7/15/40 | 10,976 | 13,273 |
Time Warner Inc. | 6.250% | 3/29/41 | 11,315 | 13,990 |
Time Warner Inc. | 5.375% | 10/15/41 | 2,275 | 2,573 |
Time Warner Inc. | 5.350% | 12/15/43 | 1,885 | 2,141 |
Time Warner Inc. | 4.650% | 6/1/44 | 8,110 | 8,476 |
Verizon Communications Inc. | 2.500% | 9/15/16 | 13,737 | 14,035 |
Verizon Communications Inc. | 1.350% | 6/9/17 | 9,600 | 9,560 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 2,300 | 2,267 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 21,597 | 23,953 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 5,114 | 5,787 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 35,589 | 37,587 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 55,891 | 64,777 |
8 Verizon Communications Inc. | 2.625% | 2/21/20 | 17,556 | 17,351 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 28,420 | 30,865 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 10,125 | 10,351 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 13,100 | 14,190 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 5,225 | 5,142 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 11,950 | 12,226 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 20,725 | 19,505 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 113,540 | 125,761 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 9,700 | 10,044 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 10,775 | 10,607 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 11,401 | 15,807 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 36,062 | 44,732 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 11,050 | 11,875 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 16,725 | 16,777 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 9,565 | 11,240 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 1,400 | 1,729 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 9,602 | 11,878 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 19,965 | 26,221 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 6,000 | 8,246 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 22,000 | 26,114 |
55
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Verizon Communications Inc. | 4.750% | 11/1/41 | 7,290 | 7,485 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 4,250 | 3,804 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 93,631 | 119,600 |
8 Verizon Communications Inc. | 4.862% | 8/21/46 | 25,561 | 26,256 |
8 Verizon Communications Inc. | 5.012% | 8/21/54 | 53,326 | 55,166 |
Verizon Maryland LLC | 5.125% | 6/15/33 | 2,155 | 2,263 |
Verizon New England Inc. | 7.875% | 11/15/29 | 1,735 | 2,273 |
Verizon New York Inc. | 7.375% | 4/1/32 | 9,462 | 11,877 |
Viacom Inc. | 6.250% | 4/30/16 | 3,525 | 3,768 |
Viacom Inc. | 2.500% | 12/15/16 | 3,450 | 3,569 |
Viacom Inc. | 3.500% | 4/1/17 | 12,025 | 12,526 |
Viacom Inc. | 6.125% | 10/5/17 | 6,405 | 7,136 |
Viacom Inc. | 2.500% | 9/1/18 | 175 | 177 |
Viacom Inc. | 2.200% | 4/1/19 | 12,100 | 11,930 |
Viacom Inc. | 5.625% | 9/15/19 | 20,510 | 23,039 |
Viacom Inc. | 3.875% | 12/15/21 | 3,450 | 3,574 |
Viacom Inc. | 4.250% | 9/1/23 | 2,339 | 2,411 |
Viacom Inc. | 3.875% | 4/1/24 | 6,000 | 5,988 |
Viacom Inc. | 4.850% | 12/15/34 | 5,100 | 5,221 |
Viacom Inc. | 6.875% | 4/30/36 | 9,636 | 12,231 |
Viacom Inc. | 4.500% | 2/27/42 | 3,425 | 3,237 |
Viacom Inc. | 4.375% | 3/15/43 | 1,228 | 1,132 |
Viacom Inc. | 5.850% | 9/1/43 | 9,140 | 10,172 |
Viacom Inc. | 5.250% | 4/1/44 | 10,350 | 10,899 |
Vodafone Group plc | 5.625% | 2/27/17 | 13,056 | 14,147 |
Vodafone Group plc | 1.625% | 3/20/17 | 24,025 | 24,009 |
Vodafone Group plc | 1.250% | 9/26/17 | 20,065 | 19,812 |
Vodafone Group plc | 1.500% | 2/19/18 | 3,200 | 3,144 |
Vodafone Group plc | 4.625% | 7/15/18 | 200 | 216 |
Vodafone Group plc | 5.450% | 6/10/19 | 8,225 | 9,254 |
Vodafone Group plc | 4.375% | 3/16/21 | 3,000 | 3,196 |
Vodafone Group plc | 2.500% | 9/26/22 | 6,025 | 5,675 |
Vodafone Group plc | 2.950% | 2/19/23 | 9,115 | 8,750 |
Vodafone Group plc | 7.875% | 2/15/30 | 780 | 1,083 |
Vodafone Group plc | 6.250% | 11/30/32 | 7,775 | 9,537 |
Vodafone Group plc | 6.150% | 2/27/37 | 8,513 | 10,285 |
Vodafone Group plc | 4.375% | 2/19/43 | 9,720 | 9,488 |
Walt Disney Co. | 0.450% | 12/1/15 | 4,030 | 4,029 |
Walt Disney Co. | 1.350% | 8/16/16 | 2,200 | 2,221 |
Walt Disney Co. | 5.625% | 9/15/16 | 5,775 | 6,248 |
Walt Disney Co. | 1.125% | 2/15/17 | 4,671 | 4,678 |
Walt Disney Co. | 0.875% | 5/30/17 | 5,725 | 5,688 |
Walt Disney Co. | 1.100% | 12/1/17 | 10,408 | 10,350 |
Walt Disney Co. | 5.875% | 12/15/17 | 5,360 | 6,036 |
Walt Disney Co. | 1.850% | 5/30/19 | 5,425 | 5,393 |
Walt Disney Co. | 2.750% | 8/16/21 | 10,568 | 10,747 |
Walt Disney Co. | 2.550% | 2/15/22 | 5,586 | 5,557 |
Walt Disney Co. | 2.350% | 12/1/22 | 5,518 | 5,416 |
Walt Disney Co. | 7.000% | 3/1/32 | 1,993 | 2,888 |
Walt Disney Co. | 4.375% | 8/16/41 | 3,560 | 3,878 |
Walt Disney Co. | 4.125% | 12/1/41 | 10,525 | 11,106 |
Walt Disney Co. | 3.700% | 12/1/42 | 5,454 | 5,411 |
Walt Disney Co. | 4.125% | 6/1/44 | 9,250 | 9,702 |
WPP Finance 2010 | 4.750% | 11/21/21 | 12,689 | 13,867 |
WPP Finance 2010 | 3.625% | 9/7/22 | 10,981 | 11,159 |
WPP Finance 2010 | 3.750% | 9/19/24 | 2,000 | 2,006 |
WPP Finance 2010 | 5.625% | 11/15/43 | 2,000 | 2,281 |
Consumer Cyclical (1.7%) | ||||
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 3,000 | 3,185 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 6,121 | 6,537 |
8 Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 14,145 | 14,083 |
8 Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 19,125 | 18,850 |
8 Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 3,800 | 3,757 |
56
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
8 Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 11,700 | 11,598 |
8 Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 7,050 | 7,204 |
Amazon.com Inc. | 1.200% | 11/29/17 | 5,025 | 4,970 |
Amazon.com Inc. | 2.600% | 12/5/19 | 4,400 | 4,442 |
Amazon.com Inc. | 3.300% | 12/5/21 | 9,800 | 9,943 |
Amazon.com Inc. | 2.500% | 11/29/22 | 17,421 | 16,493 |
Amazon.com Inc. | 3.800% | 12/5/24 | 4,930 | 5,061 |
Amazon.com Inc. | 4.800% | 12/5/34 | 10,550 | 11,038 |
Amazon.com Inc. | 4.950% | 12/5/44 | 11,650 | 12,044 |
American Honda Finance Corp. | 1.125% | 10/7/16 | 11,450 | 11,504 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 5,100 | 5,082 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 21,525 | 21,597 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 6,540 | 6,576 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 9,975 | 10,004 |
AutoNation Inc. | 6.750% | 4/15/18 | 3,300 | 3,692 |
AutoZone Inc. | 1.300% | 1/13/17 | 1,350 | 1,346 |
AutoZone Inc. | 7.125% | 8/1/18 | 7,950 | 9,266 |
AutoZone Inc. | 3.700% | 4/15/22 | 7,071 | 7,285 |
AutoZone Inc. | 2.875% | 1/15/23 | 3,560 | 3,434 |
AutoZone Inc. | 3.125% | 7/15/23 | 375 | 370 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,475 | 1,493 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 2,100 | 2,150 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 6,775 | 7,058 |
BorgWarner Inc. | 4.625% | 9/15/20 | 1,000 | 1,096 |
Brinker International Inc. | 2.600% | 5/15/18 | 4,675 | 4,663 |
Brinker International Inc. | 3.875% | 5/15/23 | 9,800 | 9,741 |
Carnival Corp. | 1.200% | 2/5/16 | 4,650 | 4,648 |
Carnival Corp. | 1.875% | 12/15/17 | 300 | 298 |
Carnival Corp. | 3.950% | 10/15/20 | 780 | 816 |
Costco Wholesale Corp. | 5.500% | 3/15/17 | 11,752 | 12,867 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 3,750 | 3,727 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 10,788 | 10,616 |
Cummins Inc. | 3.650% | 10/1/23 | 4,425 | 4,672 |
Cummins Inc. | 4.875% | 10/1/43 | 5,325 | 6,191 |
CVS Health Corp. | 3.250% | 5/18/15 | 2,450 | 2,474 |
CVS Health Corp. | 6.125% | 8/15/16 | 1,161 | 1,254 |
CVS Health Corp. | 1.200% | 12/5/16 | 600 | 602 |
CVS Health Corp. | 5.750% | 6/1/17 | 5,742 | 6,336 |
CVS Health Corp. | 2.250% | 12/5/18 | 18,150 | 18,319 |
CVS Health Corp. | 2.250% | 8/12/19 | 24,430 | 24,344 |
CVS Health Corp. | 4.750% | 5/18/20 | 625 | 689 |
CVS Health Corp. | 2.750% | 12/1/22 | 10,275 | 10,010 |
CVS Health Corp. | 4.000% | 12/5/23 | 8,848 | 9,379 |
CVS Health Corp. | 3.375% | 8/12/24 | 14,500 | 14,672 |
CVS Health Corp. | 6.125% | 9/15/39 | 3,625 | 4,687 |
CVS Health Corp. | 5.750% | 5/15/41 | 1,361 | 1,691 |
CVS Health Corp. | 5.300% | 12/5/43 | 8,745 | 10,453 |
8 Daimler Finance North America LLC | 2.625% | 9/15/16 | 5,050 | 5,173 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 11,842 | 18,109 |
Darden Restaurants Inc. | 6.450% | 10/15/17 | 8,200 | 9,022 |
Delphi Corp. | 4.150% | 3/15/24 | 5,750 | 5,954 |
Dollar General Corp. | 4.125% | 7/15/17 | 1,250 | 1,290 |
Dollar General Corp. | 3.250% | 4/15/23 | 17,380 | 15,824 |
eBay Inc. | 1.350% | 7/15/17 | 11,256 | 11,171 |
eBay Inc. | 2.200% | 8/1/19 | 8,400 | 8,367 |
eBay Inc. | 3.250% | 10/15/20 | 4,130 | 4,186 |
eBay Inc. | 2.875% | 8/1/21 | 6,350 | 6,284 |
eBay Inc. | 2.600% | 7/15/22 | 5,675 | 5,387 |
eBay Inc. | 3.450% | 8/1/24 | 5,350 | 5,260 |
eBay Inc. | 4.000% | 7/15/42 | 3,368 | 2,998 |
Expedia Inc. | 5.950% | 8/15/20 | 5,950 | 6,596 |
Expedia Inc. | 4.500% | 8/15/24 | 3,270 | 3,295 |
Family Dollar Stores Inc. | 5.000% | 2/1/21 | 2,550 | 2,683 |
Ford Holdings LLC | 9.300% | 3/1/30 | 4,525 | 6,733 |
57
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ford Motor Co. | 6.625% | 10/1/28 | 5,146 | 6,233 |
Ford Motor Co. | 6.375% | 2/1/29 | 6,044 | 7,201 |
Ford Motor Co. | 7.450% | 7/16/31 | 19,820 | 26,903 |
Ford Motor Co. | 4.750% | 1/15/43 | 4,391 | 4,610 |
Ford Motor Co. | 7.400% | 11/1/46 | 5,325 | 7,586 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 10,150 | 10,507 |
Ford Motor Credit Co. LLC | 1.700% | 5/9/16 | 9,875 | 9,915 |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 6,850 | 7,095 |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 8,135 | 9,113 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 8,600 | 9,036 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 18,075 | 18,549 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 13,573 | 15,137 |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 10,000 | 9,885 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 10,563 | 10,625 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 18,920 | 20,559 |
Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 7,595 | 7,711 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 23,905 | 23,718 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 9,000 | 8,945 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 18,545 | 22,974 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 23,950 | 27,464 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 19,329 | 22,358 |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 10,365 | 11,000 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 21,230 | 22,563 |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 3,000 | 3,006 |
Gap Inc. | 5.950% | 4/12/21 | 22,051 | 25,092 |
Home Depot Inc. | 5.400% | 3/1/16 | 12,323 | 12,986 |
Home Depot Inc. | 2.000% | 6/15/19 | 8,350 | 8,364 |
Home Depot Inc. | 3.950% | 9/15/20 | 4,800 | 5,177 |
Home Depot Inc. | 4.400% | 4/1/21 | 40,398 | 44,753 |
Home Depot Inc. | 2.700% | 4/1/23 | 3,675 | 3,635 |
Home Depot Inc. | 3.750% | 2/15/24 | 8,633 | 9,216 |
Home Depot Inc. | 5.875% | 12/16/36 | 18,438 | 24,014 |
Home Depot Inc. | 5.400% | 9/15/40 | 2,668 | 3,291 |
Home Depot Inc. | 5.950% | 4/1/41 | 15,283 | 20,079 |
Home Depot Inc. | 4.200% | 4/1/43 | 9,800 | 10,307 |
Home Depot Inc. | 4.875% | 2/15/44 | 8,399 | 9,742 |
Home Depot Inc. | 4.400% | 3/15/45 | 3,450 | 3,777 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 15,075 | 17,336 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 5,000 | 5,431 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 7,450 | 7,925 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 1,860 | 1,851 |
Hyatt Hotels Corp. | 3.875% | 8/15/16 | 1,475 | 1,531 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 1,322 | 1,500 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 2,881 | 2,840 |
International Game Technology | 7.500% | 6/15/19 | 3,625 | 3,870 |
International Game Technology | 5.500% | 6/15/20 | 2,525 | 2,620 |
Johnson Controls Inc. | 5.500% | 1/15/16 | 2,900 | 3,038 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 21,287 | 23,354 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 50 | 52 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 2,100 | 2,511 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 1,300 | 1,539 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 5,183 | 5,789 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 1,000 | 1,028 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 2,300 | 2,376 |
Kohl's Corp. | 6.250% | 12/15/17 | 2,725 | 3,040 |
Kohl's Corp. | 4.000% | 11/1/21 | 5,725 | 5,943 |
Kohl's Corp. | 3.250% | 2/1/23 | 2,518 | 2,445 |
Kohl's Corp. | 6.000% | 1/15/33 | 3,982 | 4,428 |
Kohl's Corp. | 6.875% | 12/15/37 | 743 | 938 |
Lowe's Cos. Inc. | 2.125% | 4/15/16 | 150 | 152 |
Lowe's Cos. Inc. | 5.400% | 10/15/16 | 15,550 | 16,730 |
Lowe's Cos. Inc. | 1.625% | 4/15/17 | 6,935 | 6,994 |
Lowe's Cos. Inc. | 6.100% | 9/15/17 | 3,350 | 3,762 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 75 | 83 |
58
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 2,575 | 2,758 |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 5,200 | 5,319 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 9,183 | 9,793 |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 20,925 | 21,090 |
Lowe's Cos. Inc. | 6.875% | 2/15/28 | 560 | 725 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 3,694 | 4,668 |
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 318 | 388 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 8,549 | 10,705 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 1,075 | 1,360 |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 5,750 | 6,719 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 14,548 | 16,171 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 1,825 | 2,136 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 5,825 | 6,165 |
Macy's Retail Holdings Inc. | 5.900% | 12/1/16 | 10,015 | 10,868 |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 4,950 | 5,634 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 12,468 | 12,977 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 1,780 | 1,728 |
Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 80 | 99 |
Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 15,485 | 19,717 |
Macy's Retail Holdings Inc. | 6.900% | 1/15/32 | 25 | 32 |
Macy's Retail Holdings Inc. | 6.700% | 7/15/34 | 268 | 343 |
Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 13,250 | 13,343 |
Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 8,925 | 11,367 |
Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 2,240 | 2,441 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 3,618 | 3,505 |
Magna International Inc. | 3.625% | 6/15/24 | 5,700 | 5,734 |
Marriott International Inc. | 6.200% | 6/15/16 | 1,500 | 1,608 |
Marriott International Inc. | 6.375% | 6/15/17 | 1,750 | 1,937 |
Marriott International Inc. | 3.000% | 3/1/19 | 2,400 | 2,462 |
Marriott International Inc. | 3.375% | 10/15/20 | 9,658 | 9,914 |
Marriott International Inc. | 3.125% | 10/15/21 | 6,292 | 6,331 |
MasterCard Inc. | 2.000% | 4/1/19 | 4,875 | 4,884 |
MasterCard Inc. | 3.375% | 4/1/24 | 10,220 | 10,485 |
McDonald's Corp. | 0.750% | 5/29/15 | 2,750 | 2,754 |
McDonald's Corp. | 5.300% | 3/15/17 | 3,350 | 3,638 |
McDonald's Corp. | 5.800% | 10/15/17 | 5,580 | 6,237 |
McDonald's Corp. | 5.350% | 3/1/18 | 9,175 | 10,165 |
McDonald's Corp. | 5.000% | 2/1/19 | 4,150 | 4,619 |
McDonald's Corp. | 1.875% | 5/29/19 | 7,100 | 7,042 |
McDonald's Corp. | 3.500% | 7/15/20 | 100 | 106 |
McDonald's Corp. | 2.625% | 1/15/22 | 3,830 | 3,812 |
McDonald's Corp. | 3.250% | 6/10/24 | 1,530 | 1,557 |
McDonald's Corp. | 6.300% | 10/15/37 | 3,628 | 4,747 |
McDonald's Corp. | 6.300% | 3/1/38 | 8,800 | 11,572 |
McDonald's Corp. | 5.700% | 2/1/39 | 6,452 | 7,958 |
McDonald's Corp. | 3.700% | 2/15/42 | 6,069 | 5,822 |
McDonald's Corp. | 3.625% | 5/1/43 | 6,833 | 6,329 |
NIKE Inc. | 2.250% | 5/1/23 | 805 | 782 |
NIKE Inc. | 3.625% | 5/1/43 | 1,718 | 1,700 |
Nordstrom Inc. | 6.250% | 1/15/18 | 8,105 | 9,157 |
Nordstrom Inc. | 4.750% | 5/1/20 | 2,875 | 3,180 |
Nordstrom Inc. | 4.000% | 10/15/21 | 14,516 | 15,528 |
Nordstrom Inc. | 6.950% | 3/15/28 | 2,925 | 3,849 |
Nordstrom Inc. | 5.000% | 1/15/44 | 4,410 | 5,018 |
NVR Inc. | 3.950% | 9/15/22 | 3,911 | 4,050 |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 900 | 987 |
O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 5,343 | 5,832 |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 4,881 | 5,038 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 1,400 | 1,449 |
PACCAR Financial Corp. | 0.800% | 2/8/16 | 3,650 | 3,655 |
PACCAR Financial Corp. | 1.150% | 8/16/16 | 10,000 | 10,068 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 1,165 | 1,174 |
PACCAR Financial Corp. | 1.100% | 6/6/17 | 500 | 497 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 3,230 | 3,223 |
59
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 2,300 | 2,306 |
QVC Inc. | 3.125% | 4/1/19 | 3,100 | 3,099 |
QVC Inc. | 5.125% | 7/2/22 | 1,160 | 1,221 |
QVC Inc. | 4.375% | 3/15/23 | 1,550 | 1,556 |
QVC Inc. | 4.850% | 4/1/24 | 6,658 | 6,782 |
QVC Inc. | 5.450% | 8/15/34 | 2,750 | 2,680 |
QVC Inc. | 5.950% | 3/15/43 | 4,478 | 4,714 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 2,900 | 2,921 |
Ross Stores Inc. | 3.375% | 9/15/24 | 2,100 | 2,101 |
Signet UK Finance plc | 4.700% | 6/15/24 | 3,400 | 3,277 |
Staples Inc. | 2.750% | 1/12/18 | 9,600 | 9,589 |
Staples Inc. | 4.375% | 1/12/23 | 3,700 | 3,711 |
Starbucks Corp. | 0.875% | 12/5/16 | 6,725 | 6,708 |
Starbucks Corp. | 2.000% | 12/5/18 | 4,600 | 4,643 |
Starbucks Corp. | 3.850% | 10/1/23 | 5,500 | 5,874 |
Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 510 | 581 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 3,116 | 3,021 |
Target Corp. | 5.875% | 7/15/16 | 10,300 | 11,067 |
Target Corp. | 5.375% | 5/1/17 | 9,100 | 9,937 |
Target Corp. | 6.000% | 1/15/18 | 10,250 | 11,547 |
Target Corp. | 2.300% | 6/26/19 | 5,160 | 5,217 |
Target Corp. | 3.875% | 7/15/20 | 2,650 | 2,848 |
Target Corp. | 2.900% | 1/15/22 | 9,890 | 10,016 |
Target Corp. | 3.500% | 7/1/24 | 9,250 | 9,614 |
Target Corp. | 6.350% | 11/1/32 | 7,645 | 9,981 |
Target Corp. | 6.500% | 10/15/37 | 8,617 | 11,792 |
Target Corp. | 7.000% | 1/15/38 | 7,075 | 10,200 |
Target Corp. | 4.000% | 7/1/42 | 12,894 | 13,119 |
8 Tiffany & Co. | 3.800% | 10/1/24 | 2,275 | 2,290 |
8 Tiffany & Co. | 4.900% | 10/1/44 | 2,400 | 2,474 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 17,610 | 20,940 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 2,075 | 2,082 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 50 | 48 |
Toyota Motor Credit Corp. | 2.800% | 1/11/16 | 2,700 | 2,759 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 9,400 | 9,573 |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 18,400 | 18,758 |
Toyota Motor Credit Corp. | 1.125% | 5/16/17 | 6,975 | 6,951 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 6,300 | 6,281 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 12,668 | 12,606 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 5,875 | 5,926 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 5,775 | 5,808 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 14,925 | 14,939 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 5,400 | 5,952 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 4,075 | 4,476 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 7,250 | 7,337 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 8,636 | 9,036 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 16,890 | 17,555 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 13,625 | 13,484 |
VF Corp. | 5.950% | 11/1/17 | 3,950 | 4,451 |
VF Corp. | 3.500% | 9/1/21 | 8,000 | 8,462 |
VF Corp. | 6.450% | 11/1/37 | 2,416 | 3,250 |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 350 | 360 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 2,150 | 2,351 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 13,700 | 15,486 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 1,651 | 1,632 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 38,575 | 41,202 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 29,950 | 31,468 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 17,744 | 19,558 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 12,670 | 12,492 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 9,095 | 9,374 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 18,980 | 24,267 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 13,390 | 19,739 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 7,016 | 8,456 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 29,967 | 41,068 |
60
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 5,819 | 7,804 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 5,400 | 6,861 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 4,225 | 4,905 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 4,500 | 5,320 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 31,776 | 40,453 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 10,081 | 10,435 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 10,440 | 12,173 |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 8,500 | 9,285 |
Walgreen Co. | 1.800% | 9/15/17 | 8,545 | 8,564 |
Walgreen Co. | 5.250% | 1/15/19 | 4,125 | 4,577 |
Walgreen Co. | 3.100% | 9/15/22 | 10,678 | 10,548 |
Walgreen Co. | 4.400% | 9/15/42 | 10,475 | 10,498 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 5,000 | 5,015 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 11,695 | 11,753 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 18,000 | 18,132 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 10,912 | 11,119 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,070 | 1,114 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 18,020 | 19,007 |
Western Union Co. | 5.930% | 10/1/16 | 3,525 | 3,786 |
Western Union Co. | 5.253% | 4/1/20 | 3,946 | 4,331 |
Western Union Co. | 6.200% | 11/17/36 | 5,973 | 6,127 |
Western Union Co. | 6.200% | 6/21/40 | 5,225 | 5,540 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 900 | 920 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 1,650 | 1,648 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 12,608 | 12,904 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,000 | 1,976 |
Yum! Brands Inc. | 6.250% | 4/15/16 | 3,535 | 3,751 |
Yum! Brands Inc. | 6.250% | 3/15/18 | 1,325 | 1,483 |
Yum! Brands Inc. | 3.875% | 11/1/20 | 860 | 896 |
Yum! Brands Inc. | 5.350% | 11/1/43 | 2,750 | 3,023 |
Consumer Noncyclical (3.5%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 20,451 | 22,918 |
Abbott Laboratories | 4.125% | 5/27/20 | 9,478 | 10,285 |
Abbott Laboratories | 6.150% | 11/30/37 | 3,861 | 5,222 |
Abbott Laboratories | 6.000% | 4/1/39 | 1,175 | 1,585 |
Abbott Laboratories | 5.300% | 5/27/40 | 803 | 982 |
AbbVie Inc. | 1.750% | 11/6/17 | 28,425 | 28,491 |
AbbVie Inc. | 2.000% | 11/6/18 | 12,850 | 12,802 |
AbbVie Inc. | 2.900% | 11/6/22 | 25,113 | 24,696 |
AbbVie Inc. | 4.400% | 11/6/42 | 22,469 | 23,068 |
Actavis Funding SCS | 1.300% | 6/15/17 | 13,900 | 13,635 |
Actavis Funding SCS | 3.850% | 6/15/24 | 4,475 | 4,492 |
Actavis Funding SCS | 4.850% | 6/15/44 | 16,540 | 16,745 |
Actavis Inc. | 1.875% | 10/1/17 | 9,065 | 9,007 |
Actavis Inc. | 6.125% | 8/15/19 | 5,375 | 6,095 |
Actavis Inc. | 3.250% | 10/1/22 | 19,248 | 18,757 |
Actavis Inc. | 4.625% | 10/1/42 | 5,463 | 5,353 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 4,400 | 4,786 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 6,200 | 6,058 |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 3,656 | 3,665 |
Allergan Inc. | 5.750% | 4/1/16 | 4,495 | 4,734 |
Allergan Inc. | 3.375% | 9/15/20 | 3,335 | 3,374 |
Allergan Inc. | 2.800% | 3/15/23 | 3,775 | 3,511 |
Altria Group Inc. | 9.700% | 11/10/18 | 7,333 | 9,315 |
Altria Group Inc. | 9.250% | 8/6/19 | 11,270 | 14,482 |
Altria Group Inc. | 2.625% | 1/14/20 | 5,000 | 5,005 |
Altria Group Inc. | 4.750% | 5/5/21 | 14,510 | 16,052 |
Altria Group Inc. | 2.850% | 8/9/22 | 15,050 | 14,677 |
Altria Group Inc. | 2.950% | 5/2/23 | 7,860 | 7,605 |
Altria Group Inc. | 4.000% | 1/31/24 | 7,855 | 8,213 |
Altria Group Inc. | 9.950% | 11/10/38 | 5,484 | 9,404 |
Altria Group Inc. | 10.200% | 2/6/39 | 12,135 | 21,180 |
Altria Group Inc. | 4.250% | 8/9/42 | 15,947 | 15,453 |
61
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 4.500% | 5/2/43 | 10,592 | 10,666 |
Altria Group Inc. | 5.375% | 1/31/44 | 11,425 | 13,003 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 5,380 | 5,958 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 7,169 | 7,394 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 5,700 | 5,709 |
Amgen Inc. | 2.300% | 6/15/16 | 11,955 | 12,166 |
Amgen Inc. | 2.500% | 11/15/16 | 9,347 | 9,529 |
Amgen Inc. | 2.125% | 5/15/17 | 7,435 | 7,538 |
Amgen Inc. | 5.850% | 6/1/17 | 8,745 | 9,640 |
Amgen Inc. | 5.700% | 2/1/19 | 19,675 | 22,096 |
Amgen Inc. | 2.200% | 5/22/19 | 11,318 | 11,275 |
Amgen Inc. | 3.450% | 10/1/20 | 7,700 | 8,004 |
Amgen Inc. | 4.100% | 6/15/21 | 17,505 | 18,773 |
Amgen Inc. | 3.875% | 11/15/21 | 10,955 | 11,531 |
Amgen Inc. | 3.625% | 5/15/22 | 12,789 | 13,159 |
Amgen Inc. | 3.625% | 5/22/24 | 9,890 | 10,051 |
Amgen Inc. | 6.375% | 6/1/37 | 2,568 | 3,215 |
Amgen Inc. | 6.900% | 6/1/38 | 11,080 | 14,678 |
Amgen Inc. | 6.400% | 2/1/39 | 12,321 | 15,621 |
Amgen Inc. | 5.750% | 3/15/40 | 5,085 | 6,084 |
Amgen Inc. | 4.950% | 10/1/41 | 4,270 | 4,591 |
Amgen Inc. | 5.150% | 11/15/41 | 26,680 | 30,105 |
Amgen Inc. | 5.650% | 6/15/42 | 9,521 | 11,328 |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 8,850 | 9,650 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 12,448 | 13,833 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 2,275 | 3,129 |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 10 | 13 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 5,995 | 7,392 |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 670 | 880 |
Anheuser-Busch InBev Finance Inc. | 1.125% | 1/27/17 | 5,200 | 5,210 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 10,950 | 10,824 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 20,000 | 20,077 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 19,896 | 19,311 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 11,950 | 12,426 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 9,415 | 9,312 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 6,400 | 6,949 |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 2,000 | 2,046 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 11,522 | 11,513 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 14,962 | 18,117 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 6,900 | 8,290 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 28,707 | 32,508 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 10,340 | 11,577 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 6,350 | 6,934 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 19,399 | 18,839 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 2,818 | 4,353 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 10,603 | 13,827 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 21,455 | 20,169 |
Archer-Daniels-Midland Co. | 8.375% | 4/15/17 | 525 | 608 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 8,900 | 9,911 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 5,100 | 5,635 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 4,275 | 5,492 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 3,618 | 4,391 |
Archer-Daniels-Midland Co. | 5.765% | 3/1/41 | 8,285 | 10,633 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 18 | 20 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 3,565 | 3,577 |
5 Ascension Health Alliance | 4.847% | 11/15/53 | 9,100 | 10,241 |
AstraZeneca plc | 5.900% | 9/15/17 | 3,208 | 3,586 |
AstraZeneca plc | 1.950% | 9/18/19 | 1,655 | 1,648 |
AstraZeneca plc | 6.450% | 9/15/37 | 28,261 | 37,897 |
AstraZeneca plc | 4.000% | 9/18/42 | 9,806 | 9,641 |
Baptist Health South Florida Obligated Group Revenue | 4.590% | 8/15/21 | 1,000 | 1,098 |
Baxter International Inc. | 5.900% | 9/1/16 | 1,700 | 1,831 |
Baxter International Inc. | 5.375% | 6/1/18 | 5,000 | 5,547 |
Baxter International Inc. | 1.850% | 6/15/18 | 10,675 | 10,625 |
62
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Baxter International Inc. | 2.400% | 8/15/22 | 3,895 | 3,716 |
Baxter International Inc. | 3.200% | 6/15/23 | 5,000 | 5,022 |
Baxter International Inc. | 6.250% | 12/1/37 | 3,925 | 5,159 |
Baxter International Inc. | 3.650% | 8/15/42 | 6,278 | 5,982 |
Beam Suntory Inc. | 5.375% | 1/15/16 | 5 | 5 |
Beam Suntory Inc. | 1.875% | 5/15/17 | 1,025 | 1,030 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 2,775 | 2,749 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 2,050 | 2,065 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 550 | 542 |
Becton Dickinson & Co. | 1.750% | 11/8/16 | 1,700 | 1,713 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 5,500 | 5,523 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 1,475 | 1,630 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 4,000 | 4,032 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 6,325 | 6,422 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 15,293 | 15,363 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 10,450 | 10,751 |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 1,000 | 1,240 |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 175 | 189 |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 7,775 | 8,363 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 12,825 | 14,772 |
Boston Scientific Corp. | 5.125% | 1/12/17 | 10,180 | 10,838 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 5,650 | 5,692 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 7,629 | 8,590 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 5,150 | 5,265 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 6,400 | 8,197 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 2,390 | 3,205 |
Bottling Group LLC | 5.500% | 4/1/16 | 19,185 | 20,301 |
Bottling Group LLC | 5.125% | 1/15/19 | 5,425 | 6,062 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 9,875 | 9,788 |
Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 1,750 | 1,737 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 8,015 | 7,580 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 400 | 524 |
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 2,975 | 3,048 |
Bristol-Myers Squibb Co. | 6.800% | 11/15/26 | 638 | 856 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 13,857 | 17,747 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 2,468 | 3,224 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 4,411 | 3,871 |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 1,030 | 1,519 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 1,275 | 1,252 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 2,435 | 2,316 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 2,675 | 2,649 |
Bunge Ltd. Finance Corp. | 4.100% | 3/15/16 | 3,750 | 3,873 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 14,450 | 17,770 |
Campbell Soup Co. | 3.050% | 7/15/17 | 1,275 | 1,319 |
Campbell Soup Co. | 4.250% | 4/15/21 | 3,850 | 4,176 |
Campbell Soup Co. | 2.500% | 8/2/22 | 3,575 | 3,424 |
Campbell Soup Co. | 3.800% | 8/2/42 | 3,228 | 2,961 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 3,325 | 3,298 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 14,440 | 15,773 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 2,920 | 2,922 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 7,533 | 7,533 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 2,125 | 2,237 |
CareFusion Corp. | 6.375% | 8/1/19 | 17,482 | 20,201 |
5 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 9,250 | 9,183 |
Celgene Corp. | 1.900% | 8/15/17 | 2,175 | 2,185 |
Celgene Corp. | 2.300% | 8/15/18 | 1,075 | 1,082 |
Celgene Corp. | 2.250% | 5/15/19 | 6,950 | 6,898 |
Celgene Corp. | 3.950% | 10/15/20 | 2,955 | 3,127 |
Celgene Corp. | 3.250% | 8/15/22 | 21,075 | 21,216 |
Celgene Corp. | 4.000% | 8/15/23 | 2,700 | 2,838 |
Celgene Corp. | 3.625% | 5/15/24 | 10,375 | 10,568 |
Celgene Corp. | 5.700% | 10/15/40 | 1,650 | 2,000 |
Celgene Corp. | 5.250% | 8/15/43 | 5,000 | 5,691 |
Celgene Corp. | 4.625% | 5/15/44 | 8,600 | 8,923 |
63
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 2,100 | 2,198 |
Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 2,375 | 2,427 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 4,825 | 4,818 |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 14,650 | 14,931 |
Clorox Co. | 5.950% | 10/15/17 | 15,415 | 17,198 |
Clorox Co. | 3.800% | 11/15/21 | 100 | 106 |
Clorox Co. | 3.050% | 9/15/22 | 1,057 | 1,052 |
Clorox Co. | 3.500% | 12/15/24 | 1,000 | 1,007 |
Coca-Cola Co. | 1.500% | 11/15/15 | 11,645 | 11,753 |
Coca-Cola Co. | 1.800% | 9/1/16 | 12,987 | 13,203 |
Coca-Cola Co. | 5.350% | 11/15/17 | 6,205 | 6,885 |
Coca-Cola Co. | 1.150% | 4/1/18 | 5,344 | 5,285 |
Coca-Cola Co. | 1.650% | 11/1/18 | 31,364 | 31,305 |
Coca-Cola Co. | 4.875% | 3/15/19 | 11,175 | 12,532 |
Coca-Cola Co. | 2.450% | 11/1/20 | 9,805 | 9,879 |
Coca-Cola Co. | 3.150% | 11/15/20 | 8,344 | 8,721 |
Coca-Cola Co. | 3.300% | 9/1/21 | 3,487 | 3,661 |
Coca-Cola Co. | 3.200% | 11/1/23 | 13,284 | 13,696 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 3,550 | 3,685 |
Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 1,575 | 1,617 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 450 | 447 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 1,550 | 1,678 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 12,500 | 13,108 |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 15,650 | 18,064 |
Coca-Cola HBC Finance BV | 5.500% | 9/17/15 | 1,150 | 1,179 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 6,361 | 8,662 |
Colgate-Palmolive Co. | 3.150% | 8/5/15 | 75 | 76 |
Colgate-Palmolive Co. | 1.300% | 1/15/17 | 7,175 | 7,213 |
Colgate-Palmolive Co. | 2.625% | 5/1/17 | 700 | 726 |
Colgate-Palmolive Co. | 2.950% | 11/1/20 | 2,370 | 2,459 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 3,500 | 3,500 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 1,750 | 1,659 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 5,133 | 4,908 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 4,625 | 4,785 |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 650 | 650 |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 581 | 636 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 16,975 | 16,860 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 656 | 767 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 9,912 | 9,778 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 9,898 | 9,616 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 3,245 | 4,159 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 1,020 | 1,314 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 4,799 | 7,019 |
ConAgra Foods Inc. | 6.625% | 8/15/39 | 6,983 | 8,936 |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 5,809 | 6,074 |
Covidien International Finance SA | 6.000% | 10/15/17 | 4,973 | 5,562 |
Covidien International Finance SA | 3.200% | 6/15/22 | 14,625 | 14,747 |
Covidien International Finance SA | 2.950% | 6/15/23 | 8,600 | 8,427 |
Covidien International Finance SA | 6.550% | 10/15/37 | 13,931 | 18,197 |
CR Bard Inc. | 1.375% | 1/15/18 | 7,350 | 7,265 |
CR Bard Inc. | 6.700% | 12/1/26 | 5,250 | 6,904 |
Delhaize America LLC | 9.000% | 4/15/31 | 4,880 | 6,607 |
Delhaize Group SA | 6.500% | 6/15/17 | 3,700 | 4,083 |
Delhaize Group SA | 4.125% | 4/10/19 | 5,500 | 5,770 |
Delhaize Group SA | 5.700% | 10/1/40 | 5,550 | 5,814 |
DENTSPLY International Inc. | 2.750% | 8/15/16 | 2,800 | 2,862 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 4,325 | 4,535 |
Diageo Capital plc | 0.625% | 4/29/16 | 5,700 | 5,676 |
Diageo Capital plc | 5.500% | 9/30/16 | 1,275 | 1,372 |
Diageo Capital plc | 1.500% | 5/11/17 | 14,345 | 14,360 |
Diageo Capital plc | 5.750% | 10/23/17 | 4,687 | 5,217 |
Diageo Capital plc | 1.125% | 4/29/18 | 3,267 | 3,195 |
Diageo Capital plc | 4.828% | 7/15/20 | 1,830 | 2,037 |
Diageo Capital plc | 2.625% | 4/29/23 | 16,381 | 15,909 |
64
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Diageo Capital plc | 5.875% | 9/30/36 | 3,047 | 3,867 |
Diageo Capital plc | 3.875% | 4/29/43 | 5,000 | 4,914 |
Diageo Finance BV | 3.250% | 1/15/15 | 375 | 375 |
Diageo Finance BV | 5.300% | 10/28/15 | 8,301 | 8,606 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 21,625 | 21,603 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 1,250 | 1,812 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 4,447 | 4,566 |
Dignity Health | 2.637% | 11/1/19 | 3,000 | 3,026 |
Dignity Health | 3.812% | 11/1/24 | 2,500 | 2,587 |
Dignity Health | 5.267% | 11/1/64 | 1,200 | 1,302 |
Dignity Health California GO | 3.125% | 11/1/22 | 2,100 | 2,078 |
Dignity Health California GO | 4.500% | 11/1/42 | 8,325 | 8,265 |
Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 1,150 | 1,174 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 5,847 | 6,743 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 7,050 | 7,152 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 275 | 268 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 10,549 | 10,777 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 2,697 | 2,635 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 950 | 1,385 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 1,550 | 1,570 |
Eli Lilly & Co. | 5.200% | 3/15/17 | 7,775 | 8,457 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 9,175 | 9,219 |
Eli Lilly & Co. | 7.125% | 6/1/25 | 220 | 291 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 7,836 | 9,458 |
Eli Lilly & Co. | 6.770% | 1/1/36 | 1,440 | 2,024 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 4,354 | 5,285 |
Eli Lilly & Co. | 5.950% | 11/15/37 | 1,980 | 2,585 |
Eli Lilly & Co. | 4.650% | 6/15/44 | 5,450 | 6,115 |
Energizer Holdings Inc. | 4.700% | 5/19/21 | 4,335 | 4,496 |
Energizer Holdings Inc. | 4.700% | 5/24/22 | 938 | 969 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 8,500 | 8,194 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 3,042 | 3,890 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 7,790 | 7,406 |
Express Scripts Holding Co. | 3.125% | 5/15/16 | 7,550 | 7,750 |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 24,525 | 25,080 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 1,945 | 2,335 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 13,871 | 15,320 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 20,642 | 21,593 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 8,046 | 10,122 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,400 | 2,535 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,000 | 945 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 4,215 | 4,033 |
General Mills Inc. | 0.875% | 1/29/16 | 250 | 250 |
General Mills Inc. | 5.700% | 2/15/17 | 27,135 | 29,648 |
General Mills Inc. | 1.400% | 10/20/17 | 2,500 | 2,490 |
General Mills Inc. | 5.650% | 2/15/19 | 20,663 | 23,412 |
General Mills Inc. | 2.200% | 10/21/19 | 1,000 | 993 |
General Mills Inc. | 3.150% | 12/15/21 | 13,353 | 13,799 |
General Mills Inc. | 5.400% | 6/15/40 | 550 | 650 |
General Mills Inc. | 4.150% | 2/15/43 | 1,875 | 1,867 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 7,975 | 8,273 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 4,430 | 4,433 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 10,656 | 11,820 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 19,038 | 21,000 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 17,553 | 18,407 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 12,900 | 13,252 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 8,985 | 11,130 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 18,240 | 20,283 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 18,075 | 19,263 |
GlaxoSmithKline Capital Inc. | 0.700% | 3/18/16 | 9,625 | 9,627 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 22,474 | 25,310 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 10,005 | 9,903 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 3,723 | 4,547 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 27,019 | 35,851 |
65
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 6,300 | 6,489 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 12,500 | 12,559 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 7,916 | 7,916 |
Hasbro Inc. | 6.300% | 9/15/17 | 4,800 | 5,325 |
Hasbro Inc. | 6.350% | 3/15/40 | 9,826 | 12,061 |
Hasbro Inc. | 5.100% | 5/15/44 | 6,150 | 6,403 |
Hershey Co. | 5.450% | 9/1/16 | 1,275 | 1,370 |
Hershey Co. | 4.125% | 12/1/20 | 7,160 | 7,762 |
Hershey Co. | 2.625% | 5/1/23 | 2,150 | 2,108 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 187 | 193 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 1,450 | 1,579 |
Ingredion Inc. | 3.200% | 11/1/15 | 650 | 661 |
Ingredion Inc. | 4.625% | 11/1/20 | 920 | 987 |
Ingredion Inc. | 6.625% | 4/15/37 | 1,175 | 1,486 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,785 | 1,780 |
JM Smucker Co. | 3.500% | 10/15/21 | 3,700 | 3,882 |
Johnson & Johnson | 5.550% | 8/15/17 | 6,820 | 7,595 |
Johnson & Johnson | 1.125% | 11/21/17 | 6,100 | 6,086 |
Johnson & Johnson | 5.150% | 7/15/18 | 5,415 | 6,079 |
Johnson & Johnson | 1.650% | 12/5/18 | 6,250 | 6,259 |
Johnson & Johnson | 1.875% | 12/5/19 | 5,900 | 5,896 |
Johnson & Johnson | 2.450% | 12/5/21 | 2,800 | 2,825 |
Johnson & Johnson | 3.375% | 12/5/23 | 9,050 | 9,694 |
Johnson & Johnson | 6.950% | 9/1/29 | 4,600 | 6,611 |
Johnson & Johnson | 4.950% | 5/15/33 | 5,025 | 6,062 |
Johnson & Johnson | 4.375% | 12/5/33 | 11,499 | 12,838 |
Johnson & Johnson | 5.950% | 8/15/37 | 5,353 | 7,231 |
Johnson & Johnson | 5.850% | 7/15/38 | 4,067 | 5,570 |
Johnson & Johnson | 4.500% | 9/1/40 | 2,355 | 2,688 |
Johnson & Johnson | 4.850% | 5/15/41 | 20 | 24 |
Johnson & Johnson | 4.500% | 12/5/43 | 4,975 | 5,750 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 1,350 | 1,387 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 6,775 | 7,844 |
Kellogg Co. | 4.450% | 5/30/16 | 50 | 53 |
Kellogg Co. | 1.875% | 11/17/16 | 15,850 | 16,078 |
Kellogg Co. | 3.250% | 5/21/18 | 7,600 | 7,913 |
Kellogg Co. | 4.150% | 11/15/19 | 1,100 | 1,185 |
Kellogg Co. | 4.000% | 12/15/20 | 7,125 | 7,634 |
Kellogg Co. | 7.450% | 4/1/31 | 6,475 | 8,734 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 13,950 | 15,628 |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 175 | 202 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 8,424 | 8,963 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 425 | 464 |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 5,900 | 5,816 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 4,372 | 4,219 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 1,760 | 2,507 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 6,418 | 7,948 |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 2,085 | 2,033 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 10,325 | 11,518 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 16,600 | 17,301 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 5,018 | 6,892 |
Koninklijke Philips NV | 5.000% | 3/15/42 | 6,450 | 7,111 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 9,000 | 9,150 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 18,666 | 21,327 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 7,888 | 8,946 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 11,486 | 11,773 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 12,016 | 15,850 |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 3,180 | 4,099 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 19,097 | 20,924 |
Kroger Co. | 2.200% | 1/15/17 | 400 | 407 |
Kroger Co. | 6.400% | 8/15/17 | 8,675 | 9,700 |
Kroger Co. | 6.800% | 12/15/18 | 2,175 | 2,534 |
Kroger Co. | 2.300% | 1/15/19 | 10,200 | 10,203 |
Kroger Co. | 6.150% | 1/15/20 | 13,920 | 16,098 |
66
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kroger Co. | 3.300% | 1/15/21 | 5,750 | 5,841 |
Kroger Co. | 2.950% | 11/1/21 | 5,034 | 4,990 |
Kroger Co. | 3.400% | 4/15/22 | 3,875 | 3,932 |
Kroger Co. | 3.850% | 8/1/23 | 2,525 | 2,620 |
Kroger Co. | 4.000% | 2/1/24 | 2,750 | 2,895 |
Kroger Co. | 7.700% | 6/1/29 | 8,200 | 11,138 |
Kroger Co. | 8.000% | 9/15/29 | 1,435 | 1,986 |
Kroger Co. | 7.500% | 4/1/31 | 7,570 | 10,265 |
Kroger Co. | 6.900% | 4/15/38 | 6,318 | 8,363 |
Kroger Co. | 5.400% | 7/15/40 | 18 | 21 |
Kroger Co. | 5.000% | 4/15/42 | 925 | 1,005 |
Kroger Co. | 5.150% | 8/1/43 | 700 | 790 |
Laboratory Corp. of America Holdings | 5.625% | 12/15/15 | 2,500 | 2,601 |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 2,355 | 2,379 |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 2,025 | 2,018 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 860 | 881 |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 1,775 | 1,820 |
Life Technologies Corp. | 3.500% | 1/15/16 | 12,185 | 12,479 |
Life Technologies Corp. | 6.000% | 3/1/20 | 4,000 | 4,567 |
Life Technologies Corp. | 5.000% | 1/15/21 | 2,200 | 2,426 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 11,245 | 11,585 |
Lorillard Tobacco Co. | 2.300% | 8/21/17 | 175 | 176 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 7,728 | 9,367 |
Lorillard Tobacco Co. | 6.875% | 5/1/20 | 100 | 118 |
Lorillard Tobacco Co. | 3.750% | 5/20/23 | 8,325 | 8,248 |
Lorillard Tobacco Co. | 8.125% | 5/1/40 | 4,000 | 5,589 |
Lorillard Tobacco Co. | 7.000% | 8/4/41 | 4,375 | 5,619 |
Mattel Inc. | 2.500% | 11/1/16 | 450 | 459 |
Mattel Inc. | 1.700% | 3/15/18 | 2,710 | 2,692 |
Mattel Inc. | 2.350% | 5/6/19 | 1,050 | 1,045 |
Mattel Inc. | 3.150% | 3/15/23 | 800 | 788 |
Mattel Inc. | 5.450% | 11/1/41 | 3,768 | 4,274 |
5 Mayo Clinic | 3.774% | 11/15/43 | 7,800 | 7,719 |
5 Mayo Clinic | 4.000% | 11/15/47 | 4,025 | 4,101 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 2,525 | 2,727 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,871 | 1,969 |
McKesson Corp. | 0.950% | 12/4/15 | 4,690 | 4,701 |
McKesson Corp. | 3.250% | 3/1/16 | 1,475 | 1,510 |
McKesson Corp. | 5.700% | 3/1/17 | 2,321 | 2,522 |
McKesson Corp. | 1.292% | 3/10/17 | 5,000 | 4,979 |
McKesson Corp. | 7.500% | 2/15/19 | 3,034 | 3,624 |
McKesson Corp. | 2.284% | 3/15/19 | 11,900 | 11,845 |
McKesson Corp. | 4.750% | 3/1/21 | 14,695 | 16,173 |
McKesson Corp. | 2.700% | 12/15/22 | 2,050 | 1,956 |
McKesson Corp. | 3.796% | 3/15/24 | 8,650 | 8,911 |
McKesson Corp. | 6.000% | 3/1/41 | 4,189 | 5,189 |
McKesson Corp. | 4.883% | 3/15/44 | 6,400 | 7,055 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 5,435 | 5,979 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 6,250 | 7,694 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 15,138 | 17,478 |
Medtronic Inc. | 4.750% | 9/15/15 | 4,500 | 4,634 |
8 Medtronic Inc. | 1.500% | 3/15/18 | 8,000 | 7,963 |
Medtronic Inc. | 1.375% | 4/1/18 | 13,750 | 13,584 |
Medtronic Inc. | 5.600% | 3/15/19 | 1,450 | 1,654 |
8 Medtronic Inc. | 2.500% | 3/15/20 | 14,000 | 14,047 |
Medtronic Inc. | 4.450% | 3/15/20 | 4,120 | 4,504 |
8 Medtronic Inc. | 3.150% | 3/15/22 | 22,050 | 22,334 |
Medtronic Inc. | 2.750% | 4/1/23 | 16,100 | 15,819 |
Medtronic Inc. | 3.625% | 3/15/24 | 7,550 | 7,840 |
8 Medtronic Inc. | 3.500% | 3/15/25 | 18,500 | 18,931 |
8 Medtronic Inc. | 4.375% | 3/15/35 | 28,300 | 29,819 |
Medtronic Inc. | 6.500% | 3/15/39 | 2,445 | 3,189 |
Medtronic Inc. | 5.550% | 3/15/40 | 4,275 | 5,044 |
Medtronic Inc. | 4.500% | 3/15/42 | 4,668 | 4,805 |
67
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Medtronic Inc. | 4.000% | 4/1/43 | 4,700 | 4,496 |
Medtronic Inc. | 4.625% | 3/15/44 | 5,015 | 5,410 |
8 Medtronic Inc. | 4.625% | 3/15/45 | 21,350 | 23,103 |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 1,250 | 1,468 |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 8,100 | 8,099 |
Merck & Co. Inc. | 2.250% | 1/15/16 | 34,980 | 35,575 |
Merck & Co. Inc. | 1.100% | 1/31/18 | 4,169 | 4,124 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 12,925 | 12,836 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 12,695 | 13,702 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 20,800 | 20,676 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 3,268 | 4,534 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 6,063 | 8,611 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 4,497 | 4,347 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 11,332 | 12,107 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 11,335 | 12,755 |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 2,000 | 2,612 |
Molson Coors Brewing Co. | 2.000% | 5/1/17 | 1,300 | 1,312 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,450 | 1,465 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 11,865 | 12,800 |
Mondelez International Inc. | 4.125% | 2/9/16 | 13,000 | 13,437 |
Mondelez International Inc. | 6.500% | 8/11/17 | 2,905 | 3,256 |
Mondelez International Inc. | 6.125% | 2/1/18 | 635 | 713 |
Mondelez International Inc. | 5.375% | 2/10/20 | 40,181 | 45,486 |
Mondelez International Inc. | 4.000% | 2/1/24 | 22,500 | 23,527 |
Mondelez International Inc. | 6.500% | 11/1/31 | 12,090 | 15,736 |
Mondelez International Inc. | 6.875% | 2/1/38 | 3,363 | 4,499 |
Mondelez International Inc. | 6.875% | 1/26/39 | 1,300 | 1,757 |
Mondelez International Inc. | 6.500% | 2/9/40 | 13,460 | 17,963 |
Mylan Inc. | 1.800% | 6/24/16 | 4,100 | 4,125 |
Mylan Inc. | 1.350% | 11/29/16 | 20,100 | 20,013 |
Mylan Inc. | 2.600% | 6/24/18 | 2,600 | 2,630 |
Mylan Inc. | 2.550% | 3/28/19 | 9,916 | 9,876 |
Mylan Inc. | 4.200% | 11/29/23 | 14,758 | 15,369 |
Mylan Inc. | 5.400% | 11/29/43 | 3,550 | 3,943 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 2,525 | 2,522 |
Newell Rubbermaid Inc. | 2.875% | 12/1/19 | 6,850 | 6,851 |
Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 450 | 467 |
Newell Rubbermaid Inc. | 4.000% | 12/1/24 | 4,500 | 4,603 |
Novant Health Inc. | 5.850% | 11/1/19 | 6,125 | 7,075 |
Novant Health Inc. | 4.371% | 11/1/43 | 7,100 | 7,294 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 2,081 | 2,301 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 25,369 | 25,033 |
Novartis Capital Corp. | 3.400% | 5/6/24 | 17,150 | 17,832 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 3,950 | 3,949 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,146 | 23,614 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 13,200 | 14,834 |
NYU Hospitals Center | 4.784% | 7/1/44 | 4,425 | 4,654 |
Owens & Minor Inc. | 4.375% | 12/15/24 | 2,250 | 2,335 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 3,450 | 3,639 |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 10,024 | 13,831 |
PepsiAmericas Inc. | 4.875% | 1/15/15 | 1,275 | 1,276 |
PepsiAmericas Inc. | 5.000% | 5/15/17 | 3,800 | 4,131 |
PepsiCo Inc. | 2.500% | 5/10/16 | 10,696 | 10,928 |
PepsiCo Inc. | 1.250% | 8/13/17 | 12,275 | 12,254 |
PepsiCo Inc. | 5.000% | 6/1/18 | 14,670 | 16,166 |
PepsiCo Inc. | 7.900% | 11/1/18 | 4,560 | 5,542 |
PepsiCo Inc. | 2.250% | 1/7/19 | 14,450 | 14,649 |
PepsiCo Inc. | 4.500% | 1/15/20 | 7,930 | 8,737 |
PepsiCo Inc. | 3.125% | 11/1/20 | 75 | 78 |
PepsiCo Inc. | 3.000% | 8/25/21 | 7,687 | 7,911 |
PepsiCo Inc. | 2.750% | 3/5/22 | 10,550 | 10,536 |
PepsiCo Inc. | 2.750% | 3/1/23 | 1,600 | 1,583 |
PepsiCo Inc. | 3.600% | 3/1/24 | 7,350 | 7,664 |
PepsiCo Inc. | 5.500% | 1/15/40 | 9,525 | 11,539 |
68
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
PepsiCo Inc. | 4.875% | 11/1/40 | 4,650 | 5,232 |
PepsiCo Inc. | 4.000% | 3/5/42 | 11,875 | 11,942 |
PepsiCo Inc. | 3.600% | 8/13/42 | 4,256 | 3,976 |
PepsiCo Inc. | 4.250% | 10/22/44 | 1,900 | 1,984 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 775 | 854 |
Perrigo Co. plc | 2.300% | 11/8/18 | 4,360 | 4,353 |
Perrigo Co. plc | 4.000% | 11/15/23 | 15,835 | 16,320 |
Perrigo Co. plc | 5.300% | 11/15/43 | 1,700 | 1,874 |
Perrigo Finance plc | 3.500% | 12/15/21 | 2,000 | 2,024 |
Perrigo Finance plc | 3.900% | 12/15/24 | 4,650 | 4,717 |
Perrigo Finance plc | 4.900% | 12/15/44 | 4,500 | 4,826 |
Pfizer Inc. | 5.350% | 3/15/15 | 16,395 | 16,551 |
Pfizer Inc. | 1.100% | 5/15/17 | 2,450 | 2,450 |
Pfizer Inc. | 1.500% | 6/15/18 | 6,350 | 6,339 |
Pfizer Inc. | 6.200% | 3/15/19 | 36,370 | 42,336 |
Pfizer Inc. | 2.100% | 5/15/19 | 13,700 | 13,768 |
Pfizer Inc. | 3.000% | 6/15/23 | 6,215 | 6,266 |
Pfizer Inc. | 3.400% | 5/15/24 | 7,850 | 8,182 |
Pfizer Inc. | 7.200% | 3/15/39 | 9,936 | 14,444 |
Pfizer Inc. | 4.300% | 6/15/43 | 1,318 | 1,411 |
Pfizer Inc. | 4.400% | 5/15/44 | 5,400 | 5,873 |
Pharmacia Corp. | 6.600% | 12/1/28 | 8,750 | 11,578 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 4,395 | 4,503 |
Philip Morris International Inc. | 1.625% | 3/20/17 | 5,450 | 5,509 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 250 | 249 |
Philip Morris International Inc. | 1.250% | 11/9/17 | 8,100 | 8,063 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 18,716 | 21,087 |
Philip Morris International Inc. | 1.875% | 1/15/19 | 12,650 | 12,574 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 800 | 870 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 5,200 | 5,059 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 10,100 | 10,544 |
Philip Morris International Inc. | 3.250% | 11/10/24 | 9,325 | 9,348 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 21,267 | 27,263 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 8,750 | 9,058 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 5,118 | 5,403 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 7,285 | 6,916 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 4,050 | 3,983 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 8,273 | 9,163 |
5 Procter & Gamble - Esop | 9.360% | 1/1/21 | 5,688 | 7,092 |
Procter & Gamble Co. | 3.500% | 2/15/15 | 7,900 | 7,928 |
Procter & Gamble Co. | 4.850% | 12/15/15 | 1,299 | 1,352 |
Procter & Gamble Co. | 1.450% | 8/15/16 | 2,700 | 2,733 |
Procter & Gamble Co. | 1.600% | 11/15/18 | 6,700 | 6,685 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 3,445 | 3,830 |
Procter & Gamble Co. | 1.900% | 11/1/19 | 8,800 | 8,812 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 19,150 | 19,013 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 6,436 | 8,394 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 6,363 | 8,200 |
Procter & Gamble Co. | 5.800% | 8/15/34 | 420 | 560 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 14,946 | 19,300 |
Quest Diagnostics Inc. | 5.450% | 11/1/15 | 7,090 | 7,342 |
Quest Diagnostics Inc. | 6.400% | 7/1/17 | 140 | 156 |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 6,700 | 6,756 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,700 | 2,914 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 1,600 | 1,740 |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 4,487 | 4,625 |
Quest Diagnostics Inc. | 6.950% | 7/1/37 | 4,175 | 5,343 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 18 | 21 |
Reynolds American Inc. | 6.750% | 6/15/17 | 5,836 | 6,501 |
Reynolds American Inc. | 4.850% | 9/15/23 | 3,425 | 3,691 |
Reynolds American Inc. | 7.250% | 6/15/37 | 3,258 | 4,185 |
Reynolds American Inc. | 4.750% | 11/1/42 | 10,125 | 9,782 |
Reynolds American Inc. | 6.150% | 9/15/43 | 1,300 | 1,510 |
Safeway Inc. | 3.950% | 8/15/20 | 1,200 | 1,220 |
69
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sanofi | 2.625% | 3/29/16 | 33,676 | 34,501 |
Sanofi | 1.250% | 4/10/18 | 12,935 | 12,799 |
Sanofi | 4.000% | 3/29/21 | 12,203 | 13,274 |
St. Jude Medical Inc. | 2.500% | 1/15/16 | 915 | 929 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 17,425 | 17,424 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 9,950 | 10,584 |
Stryker Corp. | 3.000% | 1/15/15 | 2,100 | 2,101 |
Stryker Corp. | 2.000% | 9/30/16 | 5,790 | 5,887 |
Stryker Corp. | 4.375% | 1/15/20 | 2,711 | 2,900 |
Stryker Corp. | 3.375% | 5/15/24 | 11,110 | 11,212 |
Stryker Corp. | 4.375% | 5/15/44 | 5,400 | 5,646 |
Sysco Corp. | 1.450% | 10/2/17 | 7,525 | 7,522 |
Sysco Corp. | 5.250% | 2/12/18 | 2,125 | 2,359 |
Sysco Corp. | 2.350% | 10/2/19 | 7,310 | 7,352 |
Sysco Corp. | 3.000% | 10/2/21 | 9,050 | 9,188 |
Sysco Corp. | 3.500% | 10/2/24 | 14,175 | 14,599 |
Sysco Corp. | 4.350% | 10/2/34 | 6,350 | 6,845 |
Sysco Corp. | 5.375% | 9/21/35 | 6,375 | 7,676 |
Sysco Corp. | 4.500% | 10/2/44 | 6,350 | 6,904 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 6,890 | 7,017 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 9,525 | 9,763 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 21,525 | 20,972 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 8,094 | 9,987 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 4,839 | 4,951 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 12,124 | 11,905 |
Thermo Fisher Scientific Inc. | 3.200% | 5/1/15 | 6,650 | 6,706 |
Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 12,165 | 12,456 |
Thermo Fisher Scientific Inc. | 1.300% | 2/1/17 | 1,550 | 1,541 |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 5,110 | 5,079 |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 6,262 | 6,264 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 725 | 792 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 10,800 | 11,697 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 1,539 | 1,587 |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 11,000 | 11,028 |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 1,575 | 1,655 |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 2,047 | 2,345 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 2,900 | 3,108 |
Tyson Foods Inc. | 6.600% | 4/1/16 | 70 | 75 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 3,300 | 3,324 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 17,813 | 19,261 |
Tyson Foods Inc. | 3.950% | 8/15/24 | 9,000 | 9,320 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 7,600 | 8,338 |
Tyson Foods Inc. | 5.150% | 8/15/44 | 2,800 | 3,153 |
Unilever Capital Corp. | 0.450% | 7/30/15 | 450 | 450 |
Unilever Capital Corp. | 2.750% | 2/10/16 | 300 | 307 |
Unilever Capital Corp. | 0.850% | 8/2/17 | 5,200 | 5,146 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 5,986 | 6,646 |
Unilever Capital Corp. | 2.200% | 3/6/19 | 6,600 | 6,663 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 6,670 | 7,386 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 4,125 | 5,654 |
Whirlpool Corp. | 1.350% | 3/1/17 | 4,750 | 4,739 |
Whirlpool Corp. | 1.650% | 11/1/17 | 3,300 | 3,293 |
Whirlpool Corp. | 4.850% | 6/15/21 | 2,763 | 3,033 |
Whirlpool Corp. | 4.700% | 6/1/22 | 2,155 | 2,356 |
Whirlpool Corp. | 4.000% | 3/1/24 | 5,234 | 5,450 |
Whirlpool Corp. | 3.700% | 5/1/25 | 4,655 | 4,715 |
Whirlpool Corp. | 5.150% | 3/1/43 | 2,420 | 2,671 |
Wyeth LLC | 5.500% | 2/15/16 | 2,985 | 3,144 |
Wyeth LLC | 5.450% | 4/1/17 | 925 | 1,014 |
Wyeth LLC | 6.450% | 2/1/24 | 1,500 | 1,886 |
Wyeth LLC | 6.500% | 2/1/34 | 6,675 | 8,999 |
Wyeth LLC | 6.000% | 2/15/36 | 10,880 | 14,116 |
Wyeth LLC | 5.950% | 4/1/37 | 26,288 | 33,672 |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 3,175 | 4,122 |
70
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Zimmer Holdings Inc. | 4.625% | 11/30/19 | 1,825 | 1,997 |
Zimmer Holdings Inc. | 3.375% | 11/30/21 | 5,175 | 5,256 |
Zimmer Holdings Inc. | 5.750% | 11/30/39 | 3,958 | 4,812 |
Zoetis Inc. | 1.150% | 2/1/16 | 14,500 | 14,487 |
Zoetis Inc. | 1.875% | 2/1/18 | 1,525 | 1,512 |
Zoetis Inc. | 3.250% | 2/1/23 | 12,235 | 12,089 |
Zoetis Inc. | 4.700% | 2/1/43 | 4,503 | 4,584 |
Energy (2.7%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 3,909 | 4,682 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 7,751 | 10,188 |
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 36,756 | 39,328 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 9,155 | 10,180 |
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 5,064 | 4,955 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 10,793 | 12,856 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 3,475 | 4,731 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 8,955 | 10,433 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 2,000 | 1,938 |
Apache Corp. | 5.625% | 1/15/17 | 925 | 1,000 |
Apache Corp. | 1.750% | 4/15/17 | 800 | 803 |
Apache Corp. | 6.900% | 9/15/18 | 7,100 | 8,224 |
Apache Corp. | 3.625% | 2/1/21 | 5,100 | 5,154 |
Apache Corp. | 3.250% | 4/15/22 | 5,543 | 5,451 |
Apache Corp. | 6.000% | 1/15/37 | 18,085 | 19,655 |
Apache Corp. | 5.100% | 9/1/40 | 12,843 | 12,580 |
Apache Corp. | 5.250% | 2/1/42 | 9,800 | 9,876 |
Apache Corp. | 4.750% | 4/15/43 | 13,924 | 13,008 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 1,130 | 1,538 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 10,852 | 10,955 |
Baker Hughes Inc. | 6.875% | 1/15/29 | 990 | 1,291 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 15,430 | 16,775 |
BJ Services Co. | 6.000% | 6/1/18 | 4,450 | 5,017 |
Boardwalk Pipelines LP | 5.500% | 2/1/17 | 3,725 | 3,931 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 50 | 54 |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 5,025 | 4,591 |
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 3,600 | 3,580 |
BP Capital Markets plc | 3.200% | 3/11/16 | 20,750 | 21,311 |
BP Capital Markets plc | 2.248% | 11/1/16 | 11,055 | 11,268 |
BP Capital Markets plc | 1.846% | 5/5/17 | 17,970 | 18,119 |
BP Capital Markets plc | 1.375% | 11/6/17 | 3,850 | 3,808 |
BP Capital Markets plc | 1.375% | 5/10/18 | 33,696 | 33,101 |
BP Capital Markets plc | 2.241% | 9/26/18 | 6,375 | 6,397 |
BP Capital Markets plc | 4.750% | 3/10/19 | 12,285 | 13,440 |
BP Capital Markets plc | 2.237% | 5/10/19 | 23,850 | 23,766 |
BP Capital Markets plc | 2.521% | 1/15/20 | 1,750 | 1,748 |
BP Capital Markets plc | 4.742% | 3/11/21 | 18,589 | 20,214 |
BP Capital Markets plc | 3.561% | 11/1/21 | 16,105 | 16,448 |
BP Capital Markets plc | 3.245% | 5/6/22 | 16,540 | 16,258 |
BP Capital Markets plc | 2.500% | 11/6/22 | 13,137 | 12,234 |
BP Capital Markets plc | 2.750% | 5/10/23 | 18,670 | 17,547 |
BP Capital Markets plc | 3.994% | 9/26/23 | 4,800 | 4,921 |
BP Capital Markets plc | 3.814% | 2/10/24 | 4,605 | 4,645 |
Buckeye Partners LP | 6.050% | 1/15/18 | 360 | 397 |
Buckeye Partners LP | 2.650% | 11/15/18 | 7,000 | 6,871 |
Buckeye Partners LP | 4.150% | 7/1/23 | 3,075 | 3,012 |
Buckeye Partners LP | 5.850% | 11/15/43 | 5,150 | 5,153 |
Buckeye Partners LP | 5.600% | 10/15/44 | 1,500 | 1,412 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 750 | 1,041 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 4,275 | 6,034 |
Cameron International Corp. | 1.150% | 12/15/16 | 2,200 | 2,176 |
Cameron International Corp. | 6.375% | 7/15/18 | 8,157 | 9,179 |
Cameron International Corp. | 4.000% | 12/15/23 | 4,390 | 4,406 |
Cameron International Corp. | 3.700% | 6/15/24 | 10,750 | 10,416 |
Cameron International Corp. | 7.000% | 7/15/38 | 1,407 | 1,727 |
71
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cameron International Corp. | 5.950% | 6/1/41 | 418 | 469 |
Cameron International Corp. | 5.125% | 12/15/43 | 2,875 | 2,883 |
Canadian Natural Resources Ltd. | 6.000% | 8/15/16 | 4,625 | 5,006 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 13,361 | 14,505 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 525 | 522 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 3,563 | 3,516 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 4,818 | 5,928 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 5,865 | 6,836 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 175 | 192 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 9,540 | 11,018 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,994 | 3,375 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 8,354 | 9,291 |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 800 | 751 |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 22,191 | 25,327 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 3,538 | 3,012 |
CenterPoint Energy Resources Corp. | 6.150% | 5/1/16 | 5,350 | 5,705 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 13,622 | 14,945 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 500 | 672 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 9,250 | 11,606 |
Chevron Corp. | 0.889% | 6/24/16 | 2,725 | 2,734 |
Chevron Corp. | 1.104% | 12/5/17 | 6,875 | 6,843 |
Chevron Corp. | 1.718% | 6/24/18 | 16,365 | 16,429 |
Chevron Corp. | 4.950% | 3/3/19 | 28,175 | 31,462 |
Chevron Corp. | 2.193% | 11/15/19 | 6,325 | 6,349 |
Chevron Corp. | 2.427% | 6/24/20 | 5,000 | 5,030 |
Chevron Corp. | 2.355% | 12/5/22 | 9,961 | 9,627 |
Chevron Corp. | 3.191% | 6/24/23 | 16,900 | 17,254 |
ConocoPhillips | 6.650% | 7/15/18 | 35 | 41 |
ConocoPhillips | 5.750% | 2/1/19 | 29,495 | 33,523 |
ConocoPhillips | 5.900% | 10/15/32 | 11,001 | 13,520 |
ConocoPhillips | 5.900% | 5/15/38 | 4,287 | 5,331 |
ConocoPhillips | 6.500% | 2/1/39 | 17,143 | 22,745 |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 28,725 | 31,028 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 4,470 | 5,556 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 1,000 | 988 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 2,000 | 2,018 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 7,200 | 6,921 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 3,763 | 3,801 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 6,361 | 6,530 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 8,390 | 11,181 |
Continental Resources Inc. | 5.000% | 9/15/22 | 21,186 | 20,497 |
Continental Resources Inc. | 4.500% | 4/15/23 | 13,273 | 12,593 |
Continental Resources Inc. | 3.800% | 6/1/24 | 16,225 | 14,363 |
Continental Resources Inc. | 4.900% | 6/1/44 | 7,475 | 6,331 |
DCP Midstream LLC | 8.125% | 8/16/30 | 3,317 | 4,347 |
DCP Midstream Operating LP | 2.500% | 12/1/17 | 7,170 | 7,165 |
DCP Midstream Operating LP | 2.700% | 4/1/19 | 3,000 | 2,934 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 3,604 | 3,766 |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 6,419 | 6,142 |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 3,950 | 4,038 |
Devon Energy Corp. | 6.300% | 1/15/19 | 10 | 11 |
Devon Energy Corp. | 4.000% | 7/15/21 | 4,925 | 5,102 |
Devon Energy Corp. | 3.250% | 5/15/22 | 14,075 | 13,812 |
Devon Energy Corp. | 7.950% | 4/15/32 | 8,010 | 11,070 |
Devon Energy Corp. | 5.600% | 7/15/41 | 6,531 | 7,262 |
Devon Energy Corp. | 4.750% | 5/15/42 | 372 | 374 |
Devon Financing Corp. LLC | 7.875% | 9/30/31 | 16,086 | 21,954 |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 3,975 | 4,330 |
Diamond Offshore Drilling Inc. | 3.450% | 11/1/23 | 2,075 | 1,928 |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 4,760 | 4,561 |
Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 5,525 | 4,727 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 12,925 | 13,170 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 5,475 | 5,571 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 3,075 | 3,324 |
72
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 4,825 | 5,078 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 10,880 | 11,756 |
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 6,755 | 8,557 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 1,330 | 1,749 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 2,200 | 2,473 |
El Paso Pipeline Partners Operating Co. LLC | 5.000% | 10/1/21 | 10,450 | 10,992 |
El Paso Pipeline Partners Operating Co. LLC | 4.300% | 5/1/24 | 4,500 | 4,472 |
El Paso Pipeline Partners Operating Co. LLC | 7.500% | 11/15/40 | 6,235 | 7,606 |
El Paso Pipeline Partners Operating Co. LLC | 4.700% | 11/1/42 | 8,100 | 7,291 |
8 Enable Midstream Partners LP | 2.400% | 5/15/19 | 4,000 | 3,886 |
8 Enable Midstream Partners LP | 3.900% | 5/15/24 | 3,950 | 3,803 |
8 Enable Midstream Partners LP | 5.000% | 5/15/44 | 4,275 | 3,984 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 6,083 | 6,890 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 8,215 | 10,392 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 12,585 | 15,395 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 43 | 42 |
Enbridge Inc. | 5.600% | 4/1/17 | 3,825 | 4,157 |
Enbridge Inc. | 3.500% | 6/10/24 | 3,175 | 2,987 |
Enbridge Inc. | 4.500% | 6/10/44 | 4,300 | 3,704 |
Encana Corp. | 5.900% | 12/1/17 | 6,171 | 6,743 |
Encana Corp. | 3.900% | 11/15/21 | 6,450 | 6,364 |
Encana Corp. | 7.200% | 11/1/31 | 5,675 | 6,689 |
Encana Corp. | 6.500% | 8/15/34 | 8,598 | 9,349 |
Encana Corp. | 6.625% | 8/15/37 | 7,129 | 7,675 |
Encana Corp. | 6.500% | 2/1/38 | 4,431 | 4,722 |
Encana Corp. | 5.150% | 11/15/41 | 342 | 315 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 1,000 | 1,083 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 8,057 | 9,053 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 33,863 | 41,557 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 10,846 | 11,133 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 7,150 | 7,426 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 8,091 | 8,668 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 8,108 | 7,930 |
Energy Transfer Partners LP | 7.600% | 2/1/24 | 4,822 | 5,937 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 10 | 14 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 2,235 | 2,553 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 2,507 | 3,104 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 2,850 | 3,102 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 23,420 | 26,930 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 1,000 | 990 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 5,250 | 5,169 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 2,775 | 2,808 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 2,250 | 2,351 |
Enlink Midstream Partners LP | 5.050% | 4/1/45 | 2,500 | 2,408 |
Ensco plc | 3.250% | 3/15/16 | 12,225 | 12,466 |
Ensco plc | 4.700% | 3/15/21 | 10,948 | 11,000 |
Ensco plc | 5.750% | 10/1/44 | 4,000 | 3,957 |
Enterprise Products Operating LLC | 5.000% | 3/1/15 | 3,185 | 3,206 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 13,250 | 14,833 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 5,950 | 6,798 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 9,429 | 10,807 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 13,960 | 13,816 |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 805 | 890 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 985 | 1,091 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 225 | 234 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 10,261 | 10,152 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 13,100 | 13,280 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 10,225 | 10,250 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 5,393 | 6,895 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 5,825 | 7,368 |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 4,700 | 5,374 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 2,969 | 4,082 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 5,260 | 6,354 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 743 | 923 |
73
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 1,769 | 2,071 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 6,945 | 7,949 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 7,775 | 8,070 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 9,042 | 8,919 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 16,387 | 17,106 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 10,840 | 11,652 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,725 | 1,772 |
5 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 5,450 | 5,852 |
EOG Resources Inc. | 2.950% | 6/1/15 | 6,185 | 6,245 |
EOG Resources Inc. | 5.875% | 9/15/17 | 5,325 | 5,902 |
EOG Resources Inc. | 5.625% | 6/1/19 | 481 | 543 |
EOG Resources Inc. | 4.400% | 6/1/20 | 6,675 | 7,259 |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,550 | 10,205 |
EOG Resources Inc. | 2.625% | 3/15/23 | 10,083 | 9,689 |
EQT Corp. | 6.500% | 4/1/18 | 16,425 | 18,393 |
EQT Corp. | 8.125% | 6/1/19 | 4,125 | 4,969 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 5,050 | 5,013 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 1,242 | 1,211 |
Global Marine Inc. | 7.000% | 6/1/28 | 3,550 | 3,204 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 1,050 | 1,035 |
Halliburton Co. | 1.000% | 8/1/16 | 5,125 | 5,124 |
Halliburton Co. | 2.000% | 8/1/18 | 5,125 | 5,102 |
Halliburton Co. | 5.900% | 9/15/18 | 2,965 | 3,348 |
Halliburton Co. | 6.150% | 9/15/19 | 2,120 | 2,457 |
Halliburton Co. | 3.500% | 8/1/23 | 5,125 | 5,231 |
Halliburton Co. | 6.700% | 9/15/38 | 10,240 | 13,242 |
Halliburton Co. | 7.450% | 9/15/39 | 5,688 | 7,963 |
Halliburton Co. | 4.500% | 11/15/41 | 5,371 | 5,441 |
Halliburton Co. | 4.750% | 8/1/43 | 6,050 | 6,346 |
Hess Corp. | 8.125% | 2/15/19 | 13,439 | 15,990 |
Hess Corp. | 3.500% | 7/15/24 | 2,500 | 2,390 |
Hess Corp. | 7.875% | 10/1/29 | 5,913 | 7,692 |
Hess Corp. | 7.300% | 8/15/31 | 4,628 | 5,750 |
Hess Corp. | 7.125% | 3/15/33 | 4,241 | 5,253 |
Hess Corp. | 6.000% | 1/15/40 | 10,618 | 11,758 |
Hess Corp. | 5.600% | 2/15/41 | 6,231 | 6,681 |
Husky Energy Inc. | 6.150% | 6/15/19 | 800 | 908 |
Husky Energy Inc. | 7.250% | 12/15/19 | 6,205 | 7,289 |
Husky Energy Inc. | 3.950% | 4/15/22 | 4,721 | 4,756 |
Husky Energy Inc. | 4.000% | 4/15/24 | 7,520 | 7,428 |
Husky Energy Inc. | 6.800% | 9/15/37 | 2,500 | 3,118 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 9,020 | 11,031 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 1,604 | 2,198 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 300 | 307 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 230 | 248 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 19,400 | 21,418 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 12,765 | 12,574 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 1,245 | 1,430 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 10,350 | 10,208 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,240 | 5,804 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 650 | 645 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 5,380 | 5,151 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 9,363 | 8,904 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 10 | 12 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 2,465 | 2,962 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 5,680 | 6,031 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 20,690 | 23,266 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 3,450 | 4,001 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 5,145 | 5,725 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 4,750 | 5,398 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 9,350 | 9,542 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 1,345 | 1,278 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 4,900 | 4,654 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 10,975 | 11,155 |
74
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 6,600 | 7,323 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 5,000 | 4,977 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 11,900 | 11,791 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 16,000 | 16,025 |
Kinder Morgan Inc. | 7.800% | 8/1/31 | 4,550 | 5,510 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 8,500 | 10,382 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 9,275 | 9,427 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 14,625 | 14,956 |
Magellan Midstream Partners LP | 6.400% | 7/15/18 | 9,000 | 10,209 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 9,625 | 11,197 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 3,920 | 4,228 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 2,900 | 3,533 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 2,100 | 1,924 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 14,175 | 15,647 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 4,047 | 4,498 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 10,925 | 10,198 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 7,367 | 8,888 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 4,438 | 5,263 |
Marathon Petroleum Corp. | 3.500% | 3/1/16 | 3,000 | 3,074 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 7,100 | 7,824 |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 6,000 | 5,853 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 14,185 | 16,859 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 4,800 | 4,533 |
Murphy Oil Corp. | 3.700% | 12/1/22 | 5,270 | 4,709 |
Murphy Oil Corp. | 7.050% | 5/1/29 | 4,735 | 5,369 |
Murphy Oil Corp. | 5.125% | 12/1/42 | 2,186 | 1,851 |
Nabors Industries Inc. | 2.350% | 9/15/16 | 3,050 | 3,018 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 22,755 | 23,644 |
Nabors Industries Inc. | 9.250% | 1/15/19 | 1,600 | 1,859 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 2,325 | 2,281 |
Nabors Industries Inc. | 5.100% | 9/15/23 | 1,325 | 1,261 |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 13,150 | 12,989 |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 16,598 | 15,640 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 15,098 | 13,683 |
Nisource Finance Corp. | 5.250% | 9/15/17 | 1,045 | 1,143 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 17,415 | 19,834 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 1,250 | 1,468 |
Nisource Finance Corp. | 5.450% | 9/15/20 | 1,615 | 1,832 |
Nisource Finance Corp. | 4.450% | 12/1/21 | 3,800 | 4,107 |
Nisource Finance Corp. | 6.125% | 3/1/22 | 525 | 622 |
NiSource Finance Corp. | 6.250% | 12/15/40 | 8,375 | 10,793 |
Nisource Finance Corp. | 5.950% | 6/15/41 | 4,090 | 5,114 |
Nisource Finance Corp. | 5.800% | 2/1/42 | 10,810 | 13,157 |
Nisource Finance Corp. | 4.800% | 2/15/44 | 1,050 | 1,119 |
Noble Energy Inc. | 8.250% | 3/1/19 | 2,789 | 3,358 |
Noble Energy Inc. | 4.150% | 12/15/21 | 8,975 | 9,110 |
Noble Energy Inc. | 3.900% | 11/15/24 | 6,350 | 6,288 |
Noble Energy Inc. | 8.000% | 4/1/27 | 525 | 675 |
Noble Energy Inc. | 6.000% | 3/1/41 | 14,601 | 16,135 |
Noble Energy Inc. | 5.250% | 11/15/43 | 8,125 | 8,239 |
Noble Energy Inc. | 5.050% | 11/15/44 | 3,025 | 2,990 |
Noble Holding International Ltd. | 3.050% | 3/1/16 | 7,350 | 7,469 |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 4,475 | 4,181 |
Noble Holding International Ltd. | 3.950% | 3/15/22 | 1,325 | 1,146 |
Noble Holding International Ltd. | 6.200% | 8/1/40 | 4,468 | 4,081 |
Noble Holding International Ltd. | 6.050% | 3/1/41 | 1,020 | 890 |
Noble Holding International Ltd. | 5.250% | 3/15/42 | 1,495 | 1,181 |
Occidental Petroleum Corp. | 2.500% | 2/1/16 | 10,775 | 10,955 |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 5,001 | 5,030 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,250 | 2,227 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 20,495 | 21,713 |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 4,825 | 4,802 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 11,068 | 10,515 |
Oceaneering International Inc. | 4.650% | 11/15/24 | 4,331 | 4,247 |
75
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
ONEOK Partners LP | 3.250% | 2/1/16 | 3,150 | 3,214 |
ONEOK Partners LP | 6.150% | 10/1/16 | 4,540 | 4,877 |
ONEOK Partners LP | 8.625% | 3/1/19 | 10,130 | 12,240 |
ONEOK Partners LP | 3.375% | 10/1/22 | 16,407 | 15,252 |
ONEOK Partners LP | 6.650% | 10/1/36 | 13,873 | 15,963 |
ONEOK Partners LP | 6.850% | 10/15/37 | 1,575 | 1,850 |
ONEOK Partners LP | 6.125% | 2/1/41 | 4,665 | 5,027 |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 13,347 | 14,804 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 300 | 341 |
Petro-Canada | 6.050% | 5/15/18 | 12,350 | 13,923 |
Petro-Canada | 7.875% | 6/15/26 | 2,800 | 3,588 |
Petro-Canada | 5.350% | 7/15/33 | 4,825 | 5,550 |
Petro-Canada | 5.950% | 5/15/35 | 7,060 | 8,197 |
Petro-Canada | 6.800% | 5/15/38 | 8,159 | 10,286 |
Phillips 66 | 2.950% | 5/1/17 | 18,950 | 19,558 |
Phillips 66 | 4.300% | 4/1/22 | 15,340 | 16,198 |
Phillips 66 | 4.650% | 11/15/34 | 8,150 | 8,357 |
Phillips 66 | 5.875% | 5/1/42 | 11,688 | 13,498 |
Phillips 66 | 4.875% | 11/15/44 | 5,220 | 5,335 |
Pioneer Natural Resources Co. | 5.875% | 7/15/16 | 425 | 452 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 9,850 | 11,100 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 35,745 | 35,377 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.125% | 1/15/17 | 4,440 | 4,843 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 1,695 | 1,923 |
Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 2,971 | 3,699 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 9,841 | 11,123 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 6,437 | 7,083 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 7,150 | 7,191 |
Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 11,970 | 11,321 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 11,600 | 11,410 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.700% | 5/15/36 | 400 | 492 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 800 | 988 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 5,725 | 6,005 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 9,697 | 9,173 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 1,610 | 1,598 |
Pride International Inc. | 8.500% | 6/15/19 | 3,725 | 4,461 |
Pride International Inc. | 6.875% | 8/15/20 | 17,622 | 19,776 |
Pride International Inc. | 7.875% | 8/15/40 | 8,950 | 10,866 |
Questar Corp. | 2.750% | 2/1/16 | 680 | 692 |
Rowan Cos. Inc. | 7.875% | 8/1/19 | 6,350 | 7,229 |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 1,200 | 1,164 |
Rowan Cos. Inc. | 4.750% | 1/15/24 | 1,650 | 1,559 |
Rowan Cos. Inc. | 5.400% | 12/1/42 | 4,225 | 3,656 |
Rowan Cos. Inc. | 5.850% | 1/15/44 | 3,000 | 2,695 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 19,890 | 20,640 |
Shell International Finance BV | 3.100% | 6/28/15 | 14,225 | 14,416 |
Shell International Finance BV | 0.900% | 11/15/16 | 12,115 | 12,072 |
Shell International Finance BV | 1.125% | 8/21/17 | 8,925 | 8,856 |
Shell International Finance BV | 1.900% | 8/10/18 | 5,140 | 5,152 |
Shell International Finance BV | 2.000% | 11/15/18 | 3,575 | 3,579 |
Shell International Finance BV | 4.300% | 9/22/19 | 21,090 | 23,122 |
Shell International Finance BV | 4.375% | 3/25/20 | 1,425 | 1,560 |
Shell International Finance BV | 2.375% | 8/21/22 | 6,975 | 6,714 |
Shell International Finance BV | 2.250% | 1/6/23 | 7,956 | 7,601 |
Shell International Finance BV | 3.400% | 8/12/23 | 15,345 | 15,744 |
Shell International Finance BV | 6.375% | 12/15/38 | 26,917 | 36,115 |
Shell International Finance BV | 5.500% | 3/25/40 | 6,158 | 7,486 |
Shell International Finance BV | 4.550% | 8/12/43 | 12,041 | 13,148 |
8 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 5,690 | 6,127 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 5,850 | 7,578 |
Southern Natural Gas Co. LLC / Southern Natural | ||||
Issuing Corp. | 4.400% | 6/15/21 | 3,575 | 3,719 |
Southwestern Energy Co. | 4.100% | 3/15/22 | 11,597 | 11,384 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 14,085 | 15,674 |
76
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 3,050 | 3,563 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 300 | 362 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 875 | 891 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 1,475 | 1,653 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 4,903 | 6,509 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 260 | 302 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 26,652 | 32,765 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,709 | 3,375 |
Sunoco Logistics Partners Operations LP | 5.500% | 2/15/20 | 3,305 | 3,616 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 799 | 766 |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 2,450 | 2,472 |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 750 | 876 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 10,440 | 11,323 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 225 | 216 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 9,500 | 9,649 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 26,223 | 30,211 |
Talisman Energy Inc. | 3.750% | 2/1/21 | 5,804 | 5,628 |
Talisman Energy Inc. | 7.250% | 10/15/27 | 850 | 967 |
Talisman Energy Inc. | 5.850% | 2/1/37 | 6,618 | 6,425 |
Talisman Energy Inc. | 6.250% | 2/1/38 | 978 | 996 |
Talisman Energy Inc. | 5.500% | 5/15/42 | 6,036 | 5,732 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 1,720 | 2,118 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 1,342 | 1,681 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 5,000 | 6,712 |
Tosco Corp. | 7.800% | 1/1/27 | 725 | 1,000 |
Tosco Corp. | 8.125% | 2/15/30 | 16,855 | 24,448 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 5,075 | 5,049 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 35,200 | 34,025 |
Total Capital International SA | 0.750% | 1/25/16 | 8,300 | 8,291 |
Total Capital International SA | 1.000% | 8/12/16 | 1,700 | 1,698 |
Total Capital International SA | 1.500% | 2/17/17 | 300 | 301 |
Total Capital International SA | 1.550% | 6/28/17 | 9,525 | 9,542 |
Total Capital International SA | 2.125% | 1/10/19 | 12,900 | 12,931 |
Total Capital International SA | 2.100% | 6/19/19 | 3,900 | 3,911 |
Total Capital International SA | 2.750% | 6/19/21 | 17,500 | 17,505 |
Total Capital International SA | 2.875% | 2/17/22 | 4,605 | 4,562 |
Total Capital International SA | 2.700% | 1/25/23 | 5,400 | 5,200 |
Total Capital International SA | 3.700% | 1/15/24 | 10,500 | 10,847 |
Total Capital International SA | 3.750% | 4/10/24 | 9,392 | 9,769 |
Total Capital SA | 2.300% | 3/15/16 | 14,675 | 14,939 |
Total Capital SA | 2.125% | 8/10/18 | 7,535 | 7,589 |
Total Capital SA | 4.450% | 6/24/20 | 6,440 | 7,058 |
Total Capital SA | 4.125% | 1/28/21 | 23,100 | 24,766 |
TransCanada PipeLines Ltd. | 0.750% | 1/15/16 | 400 | 399 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 16,650 | 19,051 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 925 | 1,079 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 14,300 | 14,700 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 11,575 | 10,905 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 4,800 | 4,857 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 3,055 | 3,445 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 13,785 | 15,794 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 8,035 | 9,457 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 4,436 | 5,891 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 7,774 | 10,676 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 6,975 | 7,358 |
5 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 15,526 | 15,078 |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 18 | 19 |
Transocean Inc. | 4.950% | 11/15/15 | 8,849 | 8,882 |
Transocean Inc. | 5.050% | 12/15/16 | 7,250 | 7,250 |
Transocean Inc. | 2.500% | 10/15/17 | 5,750 | 5,074 |
Transocean Inc. | 6.000% | 3/15/18 | 12,302 | 11,810 |
Transocean Inc. | 6.500% | 11/15/20 | 7,960 | 7,502 |
Transocean Inc. | 6.375% | 12/15/21 | 9,300 | 8,579 |
Transocean Inc. | 3.800% | 10/15/22 | 5,850 | 4,739 |
77
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Transocean Inc. | 7.500% | 4/15/31 | 4,788 | 4,405 |
Transocean Inc. | 6.800% | 3/15/38 | 5,863 | 4,940 |
Transocean Inc. | 7.350% | 12/15/41 | 5,231 | 4,656 |
Valero Energy Corp. | 9.375% | 3/15/19 | 9,601 | 11,964 |
Valero Energy Corp. | 6.125% | 2/1/20 | 12,675 | 14,371 |
Valero Energy Corp. | 7.500% | 4/15/32 | 10,571 | 13,283 |
Valero Energy Corp. | 6.625% | 6/15/37 | 9,028 | 10,659 |
Valero Energy Corp. | 10.500% | 3/15/39 | 23 | 37 |
Weatherford International LLC | 6.350% | 6/15/17 | 5,850 | 6,261 |
Weatherford International LLC | 6.800% | 6/15/37 | 275 | 261 |
Weatherford International Ltd. | 5.500% | 2/15/16 | 10 | 10 |
Weatherford International Ltd. | 6.000% | 3/15/18 | 8,360 | 8,845 |
Weatherford International Ltd. | 9.625% | 3/1/19 | 39,856 | 47,235 |
Weatherford International Ltd. | 4.500% | 4/15/22 | 6,000 | 5,345 |
Weatherford International Ltd. | 6.500% | 8/1/36 | 539 | 494 |
Weatherford International Ltd. | 7.000% | 3/15/38 | 1,750 | 1,683 |
Weatherford International Ltd. | 6.750% | 9/15/40 | 1,018 | 954 |
Weatherford International Ltd. | 5.950% | 4/15/42 | 14,968 | 12,673 |
Western Gas Partners LP | 2.600% | 8/15/18 | 5,950 | 5,972 |
Western Gas Partners LP | 5.450% | 4/1/44 | 7,650 | 8,070 |
Williams Cos. Inc. | 7.875% | 9/1/21 | 694 | 802 |
Williams Cos. Inc. | 4.550% | 6/24/24 | 8,900 | 8,282 |
Williams Cos. Inc. | 7.500% | 1/15/31 | 6,696 | 7,104 |
Williams Cos. Inc. | 7.750% | 6/15/31 | 2,085 | 2,233 |
Williams Cos. Inc. | 8.750% | 3/15/32 | 3,749 | 4,375 |
Williams Cos. Inc. | 5.750% | 6/24/44 | 4,800 | 4,175 |
Williams Partners LP | 5.250% | 3/15/20 | 10,885 | 11,818 |
Williams Partners LP | 4.000% | 11/15/21 | 2,600 | 2,606 |
Williams Partners LP | 3.350% | 8/15/22 | 6,000 | 5,735 |
Williams Partners LP | 4.300% | 3/4/24 | 14,300 | 14,192 |
Williams Partners LP | 6.300% | 4/15/40 | 2,840 | 3,174 |
Williams Partners LP | 5.800% | 11/15/43 | 15,705 | 16,319 |
Williams Partners LP | 5.400% | 3/4/44 | 4,000 | 3,944 |
Williams Partners LP/Williams Partners Finance Corp. | 7.250% | 2/1/17 | 11,225 | 12,376 |
XTO Energy Inc. | 6.250% | 8/1/17 | 9,075 | 10,208 |
XTO Energy Inc. | 5.500% | 6/15/18 | 500 | 562 |
XTO Energy Inc. | 6.750% | 8/1/37 | 600 | 879 |
Other Industrial (0.1%) | ||||
California Institute of Technology GO | 4.700% | 11/1/11 | 11,700 | 12,581 |
Cintas Corp. No 2 | 6.125% | 12/1/17 | 1,625 | 1,821 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 4,000 | 4,076 |
Fluor Corp. | 3.375% | 9/15/21 | 2,225 | 2,320 |
Fluor Corp. | 3.500% | 12/15/24 | 8,200 | 8,158 |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 8,791 | 9,212 |
5 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 4,125 | 4,308 |
5 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 7,975 | 8,458 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 9,085 | 12,442 |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 4,450 | 5,145 |
5 Northwestern University Illinois GO | 4.643% | 12/1/44 | 3,750 | 4,358 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 3.619% | 10/1/37 | 2,500 | 2,513 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 10,350 | 10,995 |
Yale University Connecticut GO | 2.086% | 4/15/19 | 7,850 | 7,887 |
Technology (1.3%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 5,625 | 6,173 |
Altera Corp. | 1.750% | 5/15/17 | 10,210 | 10,227 |
Altera Corp. | 2.500% | 11/15/18 | 12,796 | 12,904 |
Altera Corp. | 4.100% | 11/15/23 | 5,855 | 6,075 |
Amphenol Corp. | 1.550% | 9/15/17 | 1,950 | 1,944 |
Amphenol Corp. | 2.550% | 1/30/19 | 14,865 | 14,962 |
Amphenol Corp. | 4.000% | 2/1/22 | 640 | 672 |
Analog Devices Inc. | 3.000% | 4/15/16 | 1,075 | 1,100 |
Analog Devices Inc. | 2.875% | 6/1/23 | 5,525 | 5,330 |
78
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Apple Inc. | 0.450% | 5/3/16 | 14,700 | 14,688 |
Apple Inc. | 1.050% | 5/5/17 | 11,675 | 11,695 |
Apple Inc. | 1.000% | 5/3/18 | 29,518 | 29,040 |
Apple Inc. | 2.100% | 5/6/19 | 13,525 | 13,636 |
Apple Inc. | 2.850% | 5/6/21 | 42,715 | 43,634 |
Apple Inc. | 2.400% | 5/3/23 | 47,403 | 45,967 |
Apple Inc. | 3.450% | 5/6/24 | 21,812 | 22,859 |
Apple Inc. | 3.850% | 5/4/43 | 29,880 | 29,900 |
Apple Inc. | 4.450% | 5/6/44 | 9,775 | 10,790 |
Applied Materials Inc. | 2.650% | 6/15/16 | 1,100 | 1,124 |
Applied Materials Inc. | 4.300% | 6/15/21 | 7,430 | 8,073 |
Applied Materials Inc. | 5.850% | 6/15/41 | 6,966 | 8,478 |
Arrow Electronics Inc. | 3.375% | 11/1/15 | 2,635 | 2,683 |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,500 | 2,564 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 1,185 | 1,283 |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,154 | 2,225 |
Autodesk Inc. | 1.950% | 12/15/17 | 9,014 | 9,043 |
Autodesk Inc. | 3.600% | 12/15/22 | 1,650 | 1,632 |
Avnet Inc. | 6.625% | 9/15/16 | 885 | 957 |
Avnet Inc. | 5.875% | 6/15/20 | 120 | 134 |
Avnet Inc. | 4.875% | 12/1/22 | 4,825 | 5,129 |
Baidu Inc. | 2.250% | 11/28/17 | 5,250 | 5,256 |
Baidu Inc. | 3.250% | 8/6/18 | 200 | 204 |
Baidu Inc. | 2.750% | 6/9/19 | 3,675 | 3,653 |
Baidu Inc. | 3.500% | 11/28/22 | 14,975 | 14,828 |
Broadcom Corp. | 2.700% | 11/1/18 | 7,105 | 7,305 |
Broadcom Corp. | 2.500% | 8/15/22 | 10,750 | 10,330 |
Broadcom Corp. | 3.500% | 8/1/24 | 4,600 | 4,630 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 1,100 | 1,149 |
CA Inc. | 2.875% | 8/15/18 | 3,000 | 3,051 |
CA Inc. | 5.375% | 12/1/19 | 3,500 | 3,878 |
CA Inc. | 4.500% | 8/15/23 | 4,275 | 4,461 |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 725 | 737 |
Cisco Systems Inc. | 5.500% | 2/22/16 | 14,155 | 14,930 |
Cisco Systems Inc. | 1.100% | 3/3/17 | 6,125 | 6,137 |
Cisco Systems Inc. | 3.150% | 3/14/17 | 7,165 | 7,490 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 25,514 | 28,520 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 19,700 | 19,781 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 29,815 | 32,794 |
Cisco Systems Inc. | 2.900% | 3/4/21 | 1,550 | 1,585 |
Cisco Systems Inc. | 3.625% | 3/4/24 | 5,100 | 5,337 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 30,033 | 37,853 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 4,371 | 5,311 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 2,500 | 2,523 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 5,120 | 5,722 |
Corning Inc. | 1.450% | 11/15/17 | 800 | 795 |
Corning Inc. | 6.625% | 5/15/19 | 3,855 | 4,523 |
Corning Inc. | 4.250% | 8/15/20 | 7,459 | 8,109 |
Corning Inc. | 3.700% | 11/15/23 | 4,900 | 5,061 |
Corning Inc. | 7.250% | 8/15/36 | 300 | 389 |
Corning Inc. | 4.700% | 3/15/37 | 8,368 | 8,973 |
Corning Inc. | 5.750% | 8/15/40 | 5,256 | 6,298 |
Corning Inc. | 4.750% | 3/15/42 | 1,078 | 1,147 |
Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 800 | 822 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,725 | 1,770 |
EMC Corp. | 1.875% | 6/1/18 | 21,904 | 21,878 |
EMC Corp. | 2.650% | 6/1/20 | 10,925 | 10,974 |
EMC Corp. | 3.375% | 6/1/23 | 15,703 | 15,663 |
Equifax Inc. | 6.300% | 7/1/17 | 1,075 | 1,198 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 1,897 | 1,886 |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 8,294 | 8,802 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 10,425 | 10,343 |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 10,350 | 10,468 |
Fiserv Inc. | 3.125% | 10/1/15 | 1,100 | 1,119 |
79
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Fiserv Inc. | 3.125% | 6/15/16 | 1,025 | 1,053 |
Fiserv Inc. | 6.800% | 11/20/17 | 5,950 | 6,740 |
Fiserv Inc. | 3.500% | 10/1/22 | 8,081 | 8,157 |
Google Inc. | 2.125% | 5/19/16 | 3,893 | 3,977 |
Google Inc. | 3.625% | 5/19/21 | 13,265 | 14,203 |
Harris Corp. | 5.950% | 12/1/17 | 2,975 | 3,320 |
Harris Corp. | 4.400% | 12/15/20 | 1,725 | 1,847 |
Harris Corp. | 6.150% | 12/15/40 | 3,493 | 4,220 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 2,510 | 2,557 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 19,225 | 19,746 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 10,710 | 11,057 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 2,035 | 2,196 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 8,710 | 8,877 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 1,825 | 2,013 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 4,912 | 4,983 |
Hewlett-Packard Co. | 3.750% | 12/1/20 | 7,175 | 7,420 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 14,430 | 15,205 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 16,350 | 17,136 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 26,805 | 28,770 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 9,168 | 10,326 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 1,950 | 2,461 |
Ingram Micro Inc. | 4.950% | 12/15/24 | 12,725 | 12,724 |
Intel Corp. | 1.950% | 10/1/16 | 6,425 | 6,551 |
Intel Corp. | 1.350% | 12/15/17 | 50,358 | 50,277 |
Intel Corp. | 3.300% | 10/1/21 | 13,080 | 13,708 |
Intel Corp. | 2.700% | 12/15/22 | 12,570 | 12,498 |
Intel Corp. | 4.000% | 12/15/32 | 4,825 | 4,952 |
Intel Corp. | 4.800% | 10/1/41 | 21,604 | 23,725 |
Intel Corp. | 4.250% | 12/15/42 | 13,550 | 13,964 |
International Business Machines Corp. | 0.550% | 2/6/15 | 7,600 | 7,602 |
International Business Machines Corp. | 2.000% | 1/5/16 | 2,525 | 2,563 |
International Business Machines Corp. | 1.950% | 7/22/16 | 37,725 | 38,447 |
International Business Machines Corp. | 1.250% | 2/6/17 | 7,100 | 7,125 |
International Business Machines Corp. | 5.700% | 9/14/17 | 17,686 | 19,718 |
International Business Machines Corp. | 1.250% | 2/8/18 | 1,300 | 1,293 |
International Business Machines Corp. | 7.625% | 10/15/18 | 10,075 | 12,162 |
International Business Machines Corp. | 1.950% | 2/12/19 | 10,350 | 10,337 |
International Business Machines Corp. | 1.875% | 8/1/22 | 3,300 | 3,076 |
International Business Machines Corp. | 3.375% | 8/1/23 | 12,500 | 12,785 |
International Business Machines Corp. | 3.625% | 2/12/24 | 19,325 | 20,139 |
International Business Machines Corp. | 7.000% | 10/30/25 | 965 | 1,274 |
International Business Machines Corp. | 6.220% | 8/1/27 | 9,850 | 12,509 |
International Business Machines Corp. | 6.500% | 1/15/28 | 620 | 804 |
International Business Machines Corp. | 5.600% | 11/30/39 | 10,380 | 12,509 |
International Business Machines Corp. | 4.000% | 6/20/42 | 11,167 | 11,119 |
Intuit Inc. | 5.750% | 3/15/17 | 4,350 | 4,748 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 2,650 | 2,822 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 150 | 149 |
Juniper Networks Inc. | 3.100% | 3/15/16 | 1,095 | 1,116 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 3,560 | 3,720 |
Juniper Networks Inc. | 4.500% | 3/15/24 | 2,100 | 2,120 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 2,900 | 2,913 |
8 Keysight Technologies Inc. | 3.300% | 10/30/19 | 4,600 | 4,573 |
8 Keysight Technologies Inc. | 4.550% | 10/30/24 | 5,325 | 5,316 |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 3,525 | 3,547 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 2,600 | 2,649 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 10,000 | 10,246 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 4,024 | 4,162 |
Lexmark International Inc. | 6.650% | 6/1/18 | 4,950 | 5,506 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 6,025 | 5,963 |
Microsoft Corp. | 1.625% | 9/25/15 | 19,880 | 20,071 |
Microsoft Corp. | 1.000% | 5/1/18 | 4,300 | 4,239 |
Microsoft Corp. | 1.625% | 12/6/18 | 3,025 | 3,023 |
Microsoft Corp. | 4.200% | 6/1/19 | 8,045 | 8,844 |
80
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Microsoft Corp. | 3.000% | 10/1/20 | 7,815 | 8,210 |
Microsoft Corp. | 2.125% | 11/15/22 | 2,013 | 1,957 |
Microsoft Corp. | 2.375% | 5/1/23 | 9,521 | 9,340 |
Microsoft Corp. | 3.625% | 12/15/23 | 2,700 | 2,884 |
Microsoft Corp. | 5.200% | 6/1/39 | 5,563 | 6,659 |
Microsoft Corp. | 4.500% | 10/1/40 | 5,543 | 6,113 |
Microsoft Corp. | 5.300% | 2/8/41 | 5,985 | 7,331 |
Microsoft Corp. | 3.500% | 11/15/42 | 12,575 | 11,938 |
Microsoft Corp. | 3.750% | 5/1/43 | 1,981 | 1,965 |
Microsoft Corp. | 4.875% | 12/15/43 | 1,075 | 1,265 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 6,975 | 6,988 |
Motorola Solutions Inc. | 3.500% | 3/1/23 | 2,000 | 1,962 |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 5,600 | 5,626 |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 410 | 505 |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 5,750 | 6,085 |
NetApp Inc. | 2.000% | 12/15/17 | 5,905 | 5,939 |
NetApp Inc. | 3.250% | 12/15/22 | 1,000 | 990 |
Oracle Corp. | 5.250% | 1/15/16 | 29,496 | 30,904 |
Oracle Corp. | 1.200% | 10/15/17 | 19,745 | 19,683 |
Oracle Corp. | 5.750% | 4/15/18 | 19,827 | 22,393 |
Oracle Corp. | 2.375% | 1/15/19 | 14,300 | 14,545 |
Oracle Corp. | 5.000% | 7/8/19 | 17,102 | 19,152 |
Oracle Corp. | 2.250% | 10/8/19 | 10,795 | 10,853 |
Oracle Corp. | 3.875% | 7/15/20 | 12,165 | 13,114 |
Oracle Corp. | 2.800% | 7/8/21 | 10,165 | 10,286 |
Oracle Corp. | 2.500% | 10/15/22 | 14,838 | 14,397 |
Oracle Corp. | 3.400% | 7/8/24 | 26,790 | 27,424 |
Oracle Corp. | 4.300% | 7/8/34 | 15,420 | 16,529 |
Oracle Corp. | 6.500% | 4/15/38 | 4,140 | 5,548 |
Oracle Corp. | 6.125% | 7/8/39 | 7,758 | 10,050 |
Oracle Corp. | 5.375% | 7/15/40 | 27,718 | 33,200 |
Oracle Corp. | 4.500% | 7/8/44 | 9,600 | 10,399 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 6,975 | 7,623 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 200 | 226 |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 12,500 | 12,920 |
8 Seagate HDD Cayman | 3.750% | 11/15/18 | 20,125 | 20,678 |
Seagate HDD Cayman | 4.750% | 6/1/23 | 10,200 | 10,608 |
8 Seagate HDD Cayman | 4.750% | 1/1/25 | 22,375 | 23,046 |
8 Seagate HDD Cayman | 5.750% | 12/1/34 | 3,175 | 3,346 |
Symantec Corp. | 2.750% | 6/15/17 | 4,400 | 4,459 |
Symantec Corp. | 4.200% | 9/15/20 | 7,200 | 7,454 |
Symantec Corp. | 3.950% | 6/15/22 | 5,925 | 5,978 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 5,684 | 5,973 |
Texas Instruments Inc. | 0.450% | 8/3/15 | 9,750 | 9,756 |
Texas Instruments Inc. | 2.375% | 5/16/16 | 4,875 | 4,990 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 9,250 | 9,080 |
Total System Services Inc. | 2.375% | 6/1/18 | 3,025 | 2,999 |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 4,000 | 4,111 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 3,743 | 4,216 |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 2,750 | 2,746 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 2,225 | 2,300 |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 4,400 | 4,490 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 14,100 | 19,394 |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 2,125 | 2,397 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 5,439 | 5,670 |
Xerox Corp. | 6.400% | 3/15/16 | 8,045 | 8,538 |
Xerox Corp. | 6.750% | 2/1/17 | 3,060 | 3,374 |
Xerox Corp. | 2.950% | 3/15/17 | 250 | 257 |
Xerox Corp. | 6.350% | 5/15/18 | 17,175 | 19,415 |
Xerox Corp. | 2.750% | 3/15/19 | 7,454 | 7,480 |
Xerox Corp. | 5.625% | 12/15/19 | 5,675 | 6,382 |
Xerox Corp. | 2.800% | 5/15/20 | 3,950 | 3,882 |
Xerox Corp. | 4.500% | 5/15/21 | 5,840 | 6,242 |
Xerox Corp. | 3.800% | 5/15/24 | 1,800 | 1,761 |
81
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Xilinx Inc. | 2.125% | 3/15/19 | 575 | 571 |
Xilinx Inc. | 3.000% | 3/15/21 | 7,975 | 7,961 |
Transportation (0.6%) | ||||
5 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 740 | 754 |
5 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 1/15/23 | 11,186 | 11,983 |
American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 10/1/26 | 6,150 | 6,196 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 6,037 | 6,765 |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 5,800 | 6,084 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 5,875 | 6,124 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 2,850 | 2,848 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 4,537 | 4,558 |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 5,066 | 5,051 |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 4,000 | 4,207 |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 3,212 | 3,347 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 6,050 | 6,165 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 6,436 | 8,407 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 80 | 115 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 3,200 | 4,159 |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 3,009 | 3,934 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 8,115 | 9,997 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 8,180 | 9,226 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 7,250 | 8,635 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 1,775 | 1,973 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 5,523 | 5,750 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 5,525 | 5,713 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 5,495 | 5,752 |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 7,675 | 8,847 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 6,590 | 7,415 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 1,475 | 1,579 |
Canadian National Railway Co. | 5.800% | 6/1/16 | 750 | 803 |
Canadian National Railway Co. | 1.450% | 12/15/16 | 1,850 | 1,863 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 175 | 196 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 2,260 | 2,562 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 1,060 | 1,083 |
Canadian National Railway Co. | 2.250% | 11/15/22 | 8,240 | 7,966 |
Canadian National Railway Co. | 2.950% | 11/21/24 | 700 | 701 |
Canadian National Railway Co. | 6.900% | 7/15/28 | 2,625 | 3,556 |
Canadian National Railway Co. | 6.250% | 8/1/34 | 1,075 | 1,420 |
Canadian National Railway Co. | 6.200% | 6/1/36 | 2,693 | 3,586 |
Canadian National Railway Co. | 6.375% | 11/15/37 | 2,218 | 3,039 |
Canadian National Railway Co. | 3.500% | 11/15/42 | 10,925 | 10,453 |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 7,664 | 9,154 |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 4,403 | 4,833 |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,510 | 2,085 |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 16,714 | 21,497 |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 3,650 | 4,037 |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 19,230 | 24,566 |
Con-way Inc. | 7.250% | 1/15/18 | 1,610 | 1,831 |
Con-way Inc. | 6.700% | 5/1/34 | 5,425 | 6,024 |
5 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 5,456 | 5,954 |
5 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 755 | 870 |
5 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 15,027 | 15,440 |
5 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 6,578 | 6,710 |
CSX Corp. | 7.900% | 5/1/17 | 1,795 | 2,053 |
CSX Corp. | 6.250% | 3/15/18 | 2,850 | 3,236 |
CSX Corp. | 7.375% | 2/1/19 | 42,150 | 50,503 |
CSX Corp. | 3.700% | 10/30/20 | 755 | 797 |
CSX Corp. | 4.250% | 6/1/21 | 2,665 | 2,892 |
CSX Corp. | 3.700% | 11/1/23 | 2,000 | 2,089 |
82
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CSX Corp. | 6.000% | 10/1/36 | 5,969 | 7,524 |
CSX Corp. | 6.150% | 5/1/37 | 2,385 | 3,076 |
CSX Corp. | 6.220% | 4/30/40 | 6,455 | 8,408 |
CSX Corp. | 5.500% | 4/15/41 | 9,000 | 10,825 |
CSX Corp. | 4.750% | 5/30/42 | 5,115 | 5,591 |
CSX Corp. | 4.400% | 3/1/43 | 18 | 19 |
CSX Corp. | 4.100% | 3/15/44 | 9,450 | 9,377 |
CSX Corp. | 4.500% | 8/1/54 | 25 | 26 |
5 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 6,212 | 7,206 |
5 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 6,435 | 7,433 |
5 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 2,611 | 2,794 |
5 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 843 | 900 |
FedEx Corp. | 8.000% | 1/15/19 | 5,265 | 6,410 |
FedEx Corp. | 2.625% | 8/1/22 | 2,050 | 2,008 |
FedEx Corp. | 3.875% | 8/1/42 | 1,800 | 1,735 |
FedEx Corp. | 4.100% | 4/15/43 | 4,225 | 4,186 |
FedEx Corp. | 5.100% | 1/15/44 | 6,200 | 7,147 |
5 Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 11,790 | 11,598 |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 1,255 | 1,256 |
Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 1,400 | 1,342 |
Kansas City Southern de Mexico SA de CV | 3.000% | 5/15/23 | 5,955 | 5,786 |
Kansas City Southern Railway Co. | 4.300% | 5/15/43 | 5,700 | 5,805 |
Norfolk Southern Corp. | 5.750% | 1/15/16 | 8,200 | 8,602 |
Norfolk Southern Corp. | 7.700% | 5/15/17 | 5,125 | 5,860 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 2,575 | 2,890 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 9,350 | 10,729 |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 4,319 | 4,421 |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 83 | 83 |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 2,518 | 2,490 |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,000 | 2,100 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 102 | 121 |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 4,400 | 6,112 |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 4,062 | 5,621 |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 2,000 | 2,814 |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 16,131 | 17,977 |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 475 | 769 |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 2,425 | 3,147 |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 11,175 | 14,423 |
Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 1,559 | 2,078 |
5 Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 11/1/19 | 1,483 | 1,676 |
Ryder System Inc. | 3.600% | 3/1/16 | 4,380 | 4,509 |
Ryder System Inc. | 5.850% | 11/1/16 | 8,425 | 9,105 |
Ryder System Inc. | 3.500% | 6/1/17 | 1,625 | 1,692 |
Ryder System Inc. | 2.500% | 3/1/18 | 3,807 | 3,881 |
Ryder System Inc. | 2.450% | 11/15/18 | 12,590 | 12,589 |
Ryder System Inc. | 2.350% | 2/26/19 | 13,312 | 13,228 |
Ryder System Inc. | 2.550% | 6/1/19 | 10,170 | 10,165 |
Southwest Airlines Co. | 5.750% | 12/15/16 | 3,355 | 3,629 |
Southwest Airlines Co. | 2.750% | 11/6/19 | 3,100 | 3,115 |
5 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,651 | 1,895 |
Trinity Industries Inc. | 4.550% | 10/1/24 | 4,305 | 4,182 |
5 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 1,023 | 1,126 |
Union Pacific Corp. | 5.750% | 11/15/17 | 5 | 6 |
Union Pacific Corp. | 5.700% | 8/15/18 | 1,181 | 1,346 |
Union Pacific Corp. | 4.000% | 2/1/21 | 2,450 | 2,674 |
Union Pacific Corp. | 4.163% | 7/15/22 | 31,269 | 34,342 |
Union Pacific Corp. | 2.750% | 4/15/23 | 75 | 74 |
Union Pacific Corp. | 3.646% | 2/15/24 | 1,375 | 1,455 |
Union Pacific Corp. | 3.250% | 1/15/25 | 3,800 | 3,908 |
Union Pacific Corp. | 6.625% | 2/1/29 | 2,260 | 3,033 |
Union Pacific Corp. | 4.750% | 9/15/41 | 6,922 | 7,774 |
Union Pacific Corp. | 4.250% | 4/15/43 | 1,156 | 1,205 |
Union Pacific Corp. | 4.821% | 2/1/44 | 5,534 | 6,304 |
83
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Union Pacific Corp. | 4.850% | 6/15/44 | 1,295 | 1,481 |
Union Pacific Corp. | 4.150% | 1/15/45 | 5,175 | 5,397 |
5 Union Pacific Railroad Co. 2007-3 Pass Through Trust | 6.176% | 1/2/31 | 1,124 | 1,347 |
5 United Airlines Pass Through Trust Series 2013-1 | 4.300% | 2/15/27 | 7,900 | 8,167 |
5 United Airlines Pass Through Trust Series 2014-1 | 4.000% | 10/11/27 | 9,110 | 9,338 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 2,500 | 2,490 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 2,395 | 2,678 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 5,693 | 6,399 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 7,324 | 7,675 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 10,990 | 10,837 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 21,020 | 27,914 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 4,742 | 5,545 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 3,768 | 3,690 |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 10 | 13 |
5 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 313 | 350 |
5 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 1,481 | 1,519 |
5 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,925 | 2,021 |
20,761,256 | ||||
Utilities (2.0%) | ||||
Electric (1.9%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 3,675 | 4,844 |
Alabama Power Co. | 6.125% | 5/15/38 | 18 | 24 |
Alabama Power Co. | 6.000% | 3/1/39 | 145 | 191 |
Alabama Power Co. | 5.500% | 3/15/41 | 475 | 599 |
Alabama Power Co. | 5.200% | 6/1/41 | 2,800 | 3,435 |
Alabama Power Co. | 4.100% | 1/15/42 | 4,925 | 5,108 |
Alabama Power Co. | 3.850% | 12/1/42 | 1,250 | 1,268 |
Alabama Power Co. | 4.150% | 8/15/44 | 3,525 | 3,726 |
Ameren Illinois Co. | 6.125% | 11/15/17 | 1,419 | 1,601 |
Ameren Illinois Co. | 2.700% | 9/1/22 | 12,581 | 12,503 |
Ameren Illinois Co. | 3.250% | 3/1/25 | 1,285 | 1,303 |
Ameren Illinois Co. | 4.800% | 12/15/43 | 2,375 | 2,750 |
Ameren Illinois Co. | 4.300% | 7/1/44 | 3,300 | 3,496 |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 5,525 | 5,527 |
American Electric Power Co. Inc. | 2.950% | 12/15/22 | 4,850 | 4,769 |
Appalachian Power Co. | 7.950% | 1/15/20 | 385 | 481 |
Appalachian Power Co. | 4.600% | 3/30/21 | 5,372 | 5,960 |
Appalachian Power Co. | 5.800% | 10/1/35 | 2,193 | 2,711 |
Appalachian Power Co. | 6.375% | 4/1/36 | 2,800 | 3,640 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 1,300 | 1,635 |
Arizona Public Service Co. | 3.350% | 6/15/24 | 2,625 | 2,711 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 3,580 | 4,477 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 8,043 | 8,599 |
Arizona Public Service Co. | 4.700% | 1/15/44 | 5,651 | 6,435 |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 4,225 | 5,078 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 3,525 | 3,823 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 1,738 | 1,824 |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 10,850 | 11,124 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 643 | 877 |
Berkshire Hathaway Energy Co. | 1.100% | 5/15/17 | 9,600 | 9,512 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 13,925 | 15,612 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 2,200 | 2,197 |
8 Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 5,475 | 5,451 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 7,550 | 7,886 |
8 Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 6,750 | 6,783 |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 1,055 | 1,575 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 3,930 | 4,949 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 9,250 | 11,540 |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 1,255 | 1,647 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 6,550 | 7,452 |
8 Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 6,425 | 6,744 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 5,300 | 5,078 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 300 | 423 |
84
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 11,122 | 10,710 |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 2,200 | 2,480 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 470 | 535 |
Cleco Power LLC | 6.500% | 12/1/35 | 4,300 | 5,570 |
Cleco Power LLC | 6.000% | 12/1/40 | 4,075 | 4,879 |
Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 2,742 | 3,187 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 5,515 | 6,532 |
CMS Energy Corp. | 8.750% | 6/15/19 | 9,710 | 12,148 |
CMS Energy Corp. | 6.250% | 2/1/20 | 3,476 | 4,017 |
CMS Energy Corp. | 3.875% | 3/1/24 | 2,524 | 2,603 |
CMS Energy Corp. | 4.700% | 3/31/43 | 6,300 | 6,654 |
CMS Energy Corp. | 4.875% | 3/1/44 | 2,300 | 2,494 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 11,605 | 12,521 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 13,670 | 15,338 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 10,585 | 11,916 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 3,795 | 4,070 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 4,250 | 4,430 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 590 | 740 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 3,086 | 3,956 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 9,223 | 12,539 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 1,764 | 1,747 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 3,315 | 3,752 |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 6,263 | 7,180 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 6,840 | 6,655 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 5,100 | 6,996 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 7,075 | 7,661 |
Consolidated Edison Co. of New York Inc. | 5.375% | 12/15/15 | 1,400 | 1,462 |
Consolidated Edison Co. of New York Inc. | 5.500% | 9/15/16 | 5,840 | 6,282 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 755 | 854 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,200 | 1,423 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 13,175 | 15,549 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,250 | 2,479 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 6,475 | 7,822 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 4,640 | 5,939 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 3,020 | 4,014 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 1,280 | 1,783 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 328 | 401 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 6,725 | 8,518 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 18 | 19 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 13,075 | 14,137 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 6,863 | 7,596 |
Consumers Energy Co. | 5.500% | 8/15/16 | 886 | 951 |
Consumers Energy Co. | 6.125% | 3/15/19 | 19,141 | 22,214 |
Consumers Energy Co. | 6.700% | 9/15/19 | 12,211 | 14,537 |
Consumers Energy Co. | 2.850% | 5/15/22 | 8,925 | 8,889 |
Consumers Energy Co. | 3.375% | 8/15/23 | 3,185 | 3,287 |
Consumers Energy Co. | 3.950% | 5/15/43 | 3,693 | 3,820 |
Consumers Energy Co. | 4.350% | 8/31/64 | 2,225 | 2,344 |
Dayton Power & Light Co. | 1.875% | 9/15/16 | 1,550 | 1,564 |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 3,175 | 3,290 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 225 | 231 |
Dominion Resources Inc. | 2.250% | 9/1/15 | 2,980 | 3,009 |
Dominion Resources Inc. | 1.950% | 8/15/16 | 5,450 | 5,510 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 400 | 397 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 290 | 331 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 3,500 | 3,509 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 13,979 | 15,149 |
Dominion Resources Inc. | 3.625% | 12/1/24 | 12,000 | 12,164 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 8,275 | 10,759 |
Dominion Resources Inc. | 5.250% | 8/1/33 | 2,195 | 2,575 |
Dominion Resources Inc. | 5.950% | 6/15/35 | 8,785 | 11,166 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 2,195 | 2,418 |
Dominion Resources Inc. | 4.050% | 9/15/42 | 675 | 658 |
Dominion Resources Inc. | 4.700% | 12/1/44 | 6,750 | 7,182 |
85
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Dominion Resources Inc. | 5.750% | 10/1/54 | 5,250 | 5,480 |
5 Dominion Resources Inc. | 7.500% | 6/30/66 | 3,775 | 3,983 |
DTE Electric Co. | 3.450% | 10/1/20 | 1,700 | 1,776 |
DTE Electric Co. | 3.900% | 6/1/21 | 575 | 622 |
DTE Electric Co. | 2.650% | 6/15/22 | 5,975 | 5,891 |
DTE Electric Co. | 3.650% | 3/15/24 | 18,725 | 19,680 |
DTE Electric Co. | 3.375% | 3/1/25 | 8,125 | 8,318 |
DTE Electric Co. | 3.950% | 6/15/42 | 10,505 | 10,806 |
DTE Electric Co. | 4.000% | 4/1/43 | 6,575 | 6,828 |
DTE Electric Co. | 4.300% | 7/1/44 | 375 | 407 |
DTE Energy Co. | 2.400% | 12/1/19 | 3,000 | 3,001 |
DTE Energy Co. | 3.500% | 6/1/24 | 9,981 | 10,100 |
DTE Energy Co. | 6.375% | 4/15/33 | 4,425 | 5,692 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 5,700 | 6,188 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 900 | 968 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,170 | 6,530 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 1,575 | 2,126 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 14,563 | 18,939 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 6,145 | 8,064 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,461 | 5,905 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 2,845 | 3,512 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 5,525 | 5,916 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 595 | 615 |
Duke Energy Corp. | 2.150% | 11/15/16 | 9,171 | 9,344 |
Duke Energy Corp. | 1.625% | 8/15/17 | 8,991 | 8,998 |
Duke Energy Corp. | 2.100% | 6/15/18 | 8,375 | 8,452 |
Duke Energy Corp. | 5.050% | 9/15/19 | 11,200 | 12,513 |
Duke Energy Corp. | 3.550% | 9/15/21 | 4,386 | 4,577 |
Duke Energy Corp. | 3.050% | 8/15/22 | 13,015 | 13,085 |
Duke Energy Florida Inc. | 6.350% | 9/15/37 | 10,725 | 14,856 |
Duke Energy Florida Inc. | 6.400% | 6/15/38 | 8,575 | 11,936 |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 1,000 | 1,299 |
Duke Energy Indiana Inc. | 6.050% | 6/15/16 | 325 | 349 |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 514 | 544 |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 1,178 | 1,519 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 8,629 | 12,077 |
Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 1,225 | 1,732 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 2,875 | 3,065 |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 1,450 | 1,707 |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 908 | 1,028 |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 42,255 | 47,338 |
Duke Energy Progress Inc. | 3.000% | 9/15/21 | 4,300 | 4,410 |
Duke Energy Progress Inc. | 6.300% | 4/1/38 | 5,599 | 7,749 |
Duke Energy Progress Inc. | 4.100% | 5/15/42 | 18 | 19 |
Duke Energy Progress Inc. | 4.100% | 3/15/43 | 525 | 557 |
Duke Energy Progress Inc. | 4.375% | 3/30/44 | 6,375 | 6,998 |
Duke Energy Progress Inc. | 4.150% | 12/1/44 | 5,000 | 5,323 |
El Paso Electric Co. | 6.000% | 5/15/35 | 1,725 | 2,161 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 10,575 | 11,227 |
Entergy Corp. | 4.700% | 1/15/17 | 3,060 | 3,217 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 3,725 | 4,210 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,155 | 2,551 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 6,600 | 7,077 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 1,725 | 2,016 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 5,500 | 5,650 |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 1,787 | 1,780 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 16,325 | 19,282 |
Exelon Corp. | 5.625% | 6/15/35 | 2,205 | 2,577 |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 5,255 | 5,840 |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 119 | 131 |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 8,641 | 9,013 |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 20,100 | 20,866 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 7,393 | 8,878 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 1,825 | 2,058 |
86
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 7,601 | 8,502 |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 1,553 | 1,677 |
Florida Power & Light Co. | 5.550% | 11/1/17 | 720 | 800 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 5,625 | 5,583 |
Florida Power & Light Co. | 3.250% | 6/1/24 | 4,800 | 4,917 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 225 | 297 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 3,870 | 4,907 |
Florida Power & Light Co. | 4.950% | 6/1/35 | 645 | 765 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 5,650 | 7,022 |
Florida Power & Light Co. | 6.200% | 6/1/36 | 4,900 | 6,632 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 2,754 | 3,551 |
Florida Power & Light Co. | 5.850% | 5/1/37 | 3,845 | 5,040 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 9,800 | 13,023 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 15,168 | 16,191 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 5,095 | 5,150 |
Florida Power & Light Co. | 4.050% | 10/1/44 | 4,000 | 4,201 |
Georgia Power Co. | 0.750% | 8/10/15 | 10,675 | 10,677 |
Georgia Power Co. | 3.000% | 4/15/16 | 3,400 | 3,493 |
Georgia Power Co. | 5.700% | 6/1/17 | 16,444 | 18,119 |
Georgia Power Co. | 4.250% | 12/1/19 | 20 | 22 |
Georgia Power Co. | 2.850% | 5/15/22 | 8,650 | 8,690 |
Georgia Power Co. | 5.650% | 3/1/37 | 343 | 426 |
Georgia Power Co. | 5.950% | 2/1/39 | 2,000 | 2,593 |
Georgia Power Co. | 5.400% | 6/1/40 | 4,040 | 4,902 |
Georgia Power Co. | 4.750% | 9/1/40 | 4,400 | 4,951 |
Georgia Power Co. | 4.300% | 3/15/42 | 13,873 | 14,684 |
Georgia Power Co. | 4.300% | 3/15/43 | 4,000 | 4,239 |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 1,253 | 1,373 |
Iberdrola International BV | 6.750% | 7/15/36 | 3,375 | 4,277 |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 4,475 | 5,298 |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 7,277 | 7,318 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 7,250 | 9,153 |
5 Integrys Energy Group Inc. | 6.110% | 12/1/66 | 4,990 | 5,015 |
Interstate Power & Light Co. | 3.250% | 12/1/24 | 2,375 | 2,417 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 3,314 | 4,571 |
ITC Holdings Corp. | 4.050% | 7/1/23 | 2,925 | 3,049 |
ITC Holdings Corp. | 3.650% | 6/15/24 | 1,500 | 1,522 |
ITC Holdings Corp. | 5.300% | 7/1/43 | 3,375 | 3,928 |
Jersey Central Power & Light Co. | 5.625% | 5/1/16 | 8,900 | 9,400 |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 4,600 | 5,009 |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 6,273 | 7,469 |
5 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 2,514 | 2,856 |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 3,150 | 3,774 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 1,725 | 2,223 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 5,493 | 6,451 |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,350 | 3,468 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 2,598 | 3,136 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 11,820 | 13,533 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 11,800 | 12,302 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 75 | 80 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 1,675 | 2,052 |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 8,400 | 9,585 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 5,236 | 6,256 |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 1,825 | 2,031 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 800 | 890 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 9,000 | 12,527 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 1,400 | 1,796 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 275 | 354 |
Mississippi Power Co. | 4.250% | 3/15/42 | 7,875 | 8,006 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 500 | 546 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 6,885 | 7,671 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 22,480 | 29,298 |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 6,175 | 6,193 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 4,600 | 4,593 |
87
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 4,600 | 4,569 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 1,717 | 1,732 |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 5,583 | 5,906 |
5 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,500 | 1,486 |
Nevada Power Co. | 6.500% | 5/15/18 | 3,592 | 4,138 |
Nevada Power Co. | 7.125% | 3/15/19 | 17,761 | 21,187 |
Nevada Power Co. | 6.650% | 4/1/36 | 6,100 | 8,434 |
Nevada Power Co. | 6.750% | 7/1/37 | 6,672 | 9,443 |
Nevada Power Co. | 5.375% | 9/15/40 | 3,905 | 4,793 |
Nevada Power Co. | 5.450% | 5/15/41 | 1,225 | 1,546 |
NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 653 | 695 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 20,650 | 23,524 |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 8,325 | 8,309 |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 2,575 | 2,601 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 6,825 | 6,927 |
5 NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 2,175 | 2,170 |
5 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 2,640 | 2,666 |
Northeast Utilities | 1.450% | 5/1/18 | 2,300 | 2,271 |
Northern States Power Co. | 5.250% | 3/1/18 | 1,875 | 2,075 |
Northern States Power Co. | 5.250% | 7/15/35 | 325 | 397 |
Northern States Power Co. | 6.250% | 6/1/36 | 2,170 | 2,957 |
Northern States Power Co. | 6.200% | 7/1/37 | 5,443 | 7,429 |
Northern States Power Co. | 5.350% | 11/1/39 | 9,296 | 11,690 |
Northern States Power Co. | 4.850% | 8/15/40 | 525 | 618 |
Northern States Power Co. | 3.400% | 8/15/42 | 18 | 17 |
NorthWestern Corp. | 4.176% | 11/15/44 | 3,425 | 3,630 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 5,350 | 5,942 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 7,725 | 7,470 |
NSTAR Electric Co. | 5.500% | 3/15/40 | 4,371 | 5,596 |
NSTAR LLC | 4.500% | 11/15/19 | 7,553 | 8,214 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 1,700 | 2,181 |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 4,800 | 5,652 |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 18 | 21 |
Ohio Power Co. | 6.000% | 6/1/16 | 3,863 | 4,121 |
Ohio Power Co. | 5.375% | 10/1/21 | 4,241 | 4,918 |
Ohio Power Co. | 6.600% | 2/15/33 | 1,500 | 1,997 |
Ohio Power Co. | 5.850% | 10/1/35 | 4,468 | 5,657 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 2,925 | 3,829 |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 3,500 | 3,514 |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 135 | 151 |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 4,825 | 4,904 |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,300 | 2,501 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 5,750 | 6,701 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 5,150 | 5,128 |
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 1,750 | 1,880 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 5,496 | 6,963 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 2,600 | 3,650 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 3,680 | 5,328 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,601 | 2,408 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 925 | 1,131 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 4,324 | 4,885 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 425 | 527 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 6,930 | 7,704 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 23,700 | 24,620 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 9,150 | 9,901 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 750 | 766 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 9,980 | 10,024 |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 3,250 | 3,385 |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 5,325 | 5,390 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 30,737 | 39,124 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 8,795 | 10,772 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 650 | 852 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 4,575 | 5,975 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 10 | 12 |
88
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 2,469 | 2,603 |
Pacific Gas & Electric Co. | 3.750% | 8/15/42 | 175 | 167 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 9,475 | 10,204 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 4,368 | 4,826 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 1,475 | 1,514 |
PacifiCorp | 5.650% | 7/15/18 | 4,000 | 4,514 |
PacifiCorp | 5.500% | 1/15/19 | 6,900 | 7,794 |
PacifiCorp | 2.950% | 2/1/22 | 8,000 | 8,107 |
PacifiCorp | 3.600% | 4/1/24 | 6,450 | 6,660 |
PacifiCorp | 7.700% | 11/15/31 | 1,174 | 1,755 |
PacifiCorp | 5.250% | 6/15/35 | 100 | 121 |
PacifiCorp | 5.750% | 4/1/37 | 3,125 | 4,014 |
PacifiCorp | 6.250% | 10/15/37 | 20,655 | 27,985 |
PacifiCorp | 6.000% | 1/15/39 | 3,425 | 4,503 |
PacifiCorp | 4.100% | 2/1/42 | 4,845 | 5,109 |
Peco Energy Co. | 1.200% | 10/15/16 | 12,675 | 12,723 |
Peco Energy Co. | 5.350% | 3/1/18 | 675 | 748 |
Peco Energy Co. | 2.375% | 9/15/22 | 2,925 | 2,839 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 5,400 | 5,944 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 10,400 | 12,463 |
Pepco Holdings Inc. | 2.700% | 10/1/15 | 150 | 152 |
PG&E Corp. | 2.400% | 3/1/19 | 3,700 | 3,701 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 3,625 | 3,798 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 7,907 | 10,996 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 1,225 | 1,223 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 1,795 | 1,818 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 3,495 | 3,500 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 1,040 | 1,085 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 2,250 | 2,437 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 7,725 | 8,595 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 1,075 | 1,093 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 5,552 | 7,638 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 3,890 | 4,760 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 2,175 | 2,301 |
Progress Energy Inc. | 4.875% | 12/1/19 | 4,035 | 4,460 |
Progress Energy Inc. | 4.400% | 1/15/21 | 8,255 | 9,001 |
Progress Energy Inc. | 7.750% | 3/1/31 | 1,885 | 2,729 |
Progress Energy Inc. | 7.000% | 10/30/31 | 500 | 687 |
Progress Energy Inc. | 6.000% | 12/1/39 | 6,720 | 8,679 |
PSEG Power LLC | 5.500% | 12/1/15 | 14,240 | 14,830 |
PSEG Power LLC | 2.750% | 9/15/16 | 4,400 | 4,507 |
PSEG Power LLC | 5.125% | 4/15/20 | 1,276 | 1,404 |
PSEG Power LLC | 4.150% | 9/15/21 | 4,269 | 4,493 |
PSEG Power LLC | 8.625% | 4/15/31 | 350 | 513 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 1,475 | 1,676 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 9,725 | 10,985 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 4,100 | 4,264 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,650 | 5,428 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 2,325 | 3,239 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 2,925 | 3,411 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 11,100 | 10,801 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 1,804 | 1,865 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 100 | 113 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 4,675 | 6,324 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 6,200 | 6,287 |
Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 2,050 | 2,032 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 500 | 526 |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 4,200 | 4,273 |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 650 | 653 |
Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 3,382 | 4,369 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 4,900 | 6,377 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 5,972 | 7,523 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 15,220 | 15,745 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 2,200 | 2,291 |
89
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Puget Energy Inc. | 6.500% | 12/15/20 | 18,200 | 21,444 |
Puget Energy Inc. | 6.000% | 9/1/21 | 2,840 | 3,322 |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 1,000 | 1,349 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 805 | 993 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 5,175 | 6,991 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 2,675 | 3,480 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 1,624 | 2,134 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 2,045 | 2,703 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 3,718 | 4,798 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 4,009 | 4,405 |
San Diego Gas & Electric Co. | 5.300% | 11/15/15 | 2,100 | 2,184 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 3,000 | 3,074 |
San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 3,675 | 3,865 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 1,200 | 1,468 |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 118 | 161 |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 905 | 1,201 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 2,760 | 3,428 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 2,770 | 3,082 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 8,575 | 8,897 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 1,945 | 2,114 |
SCANA Corp. | 4.750% | 5/15/21 | 2,900 | 3,127 |
SCANA Corp. | 4.125% | 2/1/22 | 2,430 | 2,520 |
Scottish Power Ltd. | 5.810% | 3/15/25 | 900 | 1,042 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 4,925 | 5,260 |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 10,848 | 11,263 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 4,250 | 5,967 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 1,660 | 1,937 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 5,725 | 7,922 |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 243 | 291 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 3,635 | 4,732 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 4,120 | 5,084 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 7,418 | 7,836 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 10,133 | 11,276 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 2,700 | 2,918 |
Southern California Edison Co. | 5.000% | 1/15/16 | 1,175 | 1,227 |
Southern California Edison Co. | 3.875% | 6/1/21 | 30,450 | 33,081 |
Southern California Edison Co. | 6.650% | 4/1/29 | 2,056 | 2,720 |
Southern California Edison Co. | 6.000% | 1/15/34 | 6,035 | 7,844 |
Southern California Edison Co. | 5.750% | 4/1/35 | 2,913 | 3,721 |
Southern California Edison Co. | 5.350% | 7/15/35 | 7,323 | 8,922 |
Southern California Edison Co. | 5.550% | 1/15/36 | 1,400 | 1,772 |
Southern California Edison Co. | 5.625% | 2/1/36 | 6,925 | 8,714 |
Southern California Edison Co. | 5.550% | 1/15/37 | 7,350 | 9,173 |
Southern California Edison Co. | 5.950% | 2/1/38 | 5,463 | 7,219 |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,110 | 1,467 |
Southern California Edison Co. | 5.500% | 3/15/40 | 1,148 | 1,452 |
Southern California Edison Co. | 4.500% | 9/1/40 | 6,075 | 6,697 |
Southern California Edison Co. | 3.900% | 12/1/41 | 300 | 304 |
Southern California Edison Co. | 4.050% | 3/15/42 | 5,250 | 5,447 |
Southern California Edison Co. | 4.650% | 10/1/43 | 2,379 | 2,714 |
Southern Co. | 1.300% | 8/15/17 | 3,400 | 3,389 |
Southern Co. | 2.150% | 9/1/19 | 2,800 | 2,775 |
Southern Power Co. | 5.150% | 9/15/41 | 11,090 | 12,875 |
Southern Power Co. | 5.250% | 7/15/43 | 150 | 173 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 1,128 | 1,219 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 1,317 | 1,471 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,625 | 4,218 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 6,954 | 7,161 |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 2,060 | 2,678 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 3,645 | 4,026 |
Tampa Electric Co. | 6.100% | 5/15/18 | 275 | 313 |
Tampa Electric Co. | 5.400% | 5/15/21 | 2,262 | 2,644 |
Tampa Electric Co. | 2.600% | 9/15/22 | 3,025 | 2,961 |
Tampa Electric Co. | 6.550% | 5/15/36 | 3,000 | 4,174 |
90
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tampa Electric Co. | 4.350% | 5/15/44 | 6,500 | 7,000 |
TECO Finance Inc. | 4.000% | 3/15/16 | 2,650 | 2,744 |
TECO Finance Inc. | 6.572% | 11/1/17 | 2,200 | 2,471 |
TECO Finance Inc. | 5.150% | 3/15/20 | 3,502 | 3,909 |
TransAlta Corp. | 4.750% | 1/15/15 | 1,575 | 1,577 |
TransAlta Corp. | 6.650% | 5/15/18 | 1,325 | 1,487 |
TransAlta Corp. | 6.500% | 3/15/40 | 3,044 | 3,273 |
8 Tri-State Generation & Transmission Association Inc. | 3.700% | 11/1/24 | 2,600 | 2,658 |
8 Tri-State Generation & Transmission Association Inc. | 4.700% | 11/1/44 | 2,350 | 2,500 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 2,125 | 2,375 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,650 | 1,754 |
Union Electric Co. | 6.700% | 2/1/19 | 4,991 | 5,871 |
Union Electric Co. | 3.500% | 4/15/24 | 7,135 | 7,404 |
Union Electric Co. | 5.300% | 8/1/37 | 3,325 | 4,061 |
Union Electric Co. | 8.450% | 3/15/39 | 1,725 | 2,924 |
Union Electric Co. | 3.900% | 9/15/42 | 2,225 | 2,264 |
Virginia Electric & Power Co. | 5.400% | 1/15/16 | 1,320 | 1,384 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 3,345 | 3,740 |
Virginia Electric & Power Co. | 5.000% | 6/30/19 | 3,300 | 3,696 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,600 | 3,636 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 665 | 694 |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 2,825 | 2,910 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 5,575 | 7,276 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 3,100 | 4,095 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 3,450 | 4,796 |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 28 | 47 |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 3,653 | 3,742 |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 7,250 | 8,173 |
Virginia Electric and Power Co. | 4.450% | 2/15/44 | 9,475 | 10,399 |
Westar Energy Inc. | 8.625% | 12/1/18 | 1,150 | 1,429 |
Westar Energy Inc. | 4.125% | 3/1/42 | 8,530 | 8,971 |
Westar Energy Inc. | 4.100% | 4/1/43 | 5,475 | 5,712 |
Westar Energy Inc. | 4.625% | 9/1/43 | 875 | 999 |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 2,650 | 2,764 |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 4,600 | 4,998 |
Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 2,500 | 2,550 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 1,025 | 1,320 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 1,250 | 1,651 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 418 | 421 |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 3,425 | 3,692 |
5 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 14,770 | 14,844 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 3,075 | 3,010 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 4,875 | 6,761 |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 900 | 932 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 1,625 | 1,633 |
Xcel Energy Inc. | 0.750% | 5/9/16 | 6,250 | 6,241 |
Xcel Energy Inc. | 5.613% | 4/1/17 | 592 | 646 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 1,000 | 1,110 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 3,065 | 4,153 |
Natural Gas (0.1%) | ||||
AGL Capital Corp. | 5.250% | 8/15/19 | 885 | 989 |
AGL Capital Corp. | 3.500% | 9/15/21 | 4,845 | 5,015 |
AGL Capital Corp. | 5.875% | 3/15/41 | 2,560 | 3,210 |
AGL Capital Corp. | 4.400% | 6/1/43 | 3,675 | 3,874 |
Atmos Energy Corp. | 8.500% | 3/15/19 | 1,810 | 2,248 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 10,395 | 12,709 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 9,400 | 9,545 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 5,305 | 6,126 |
KeySpan Corp. | 8.000% | 11/15/30 | 60 | 84 |
Laclede Group Inc. | 4.700% | 8/15/44 | 4,925 | 5,129 |
National Fuel Gas Co. | 6.500% | 4/15/18 | 3,000 | 3,407 |
National Fuel Gas Co. | 4.900% | 12/1/21 | 550 | 595 |
National Fuel Gas Co. | 3.750% | 3/1/23 | 5,575 | 5,590 |
91
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
National Grid plc | 6.300% | 8/1/16 | 8,800 | 9,502 |
ONE Gas Inc. | 2.070% | 2/1/19 | 3,750 | 3,755 |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,525 | 1,743 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 2,350 | 2,711 |
Sempra Energy | 6.500% | 6/1/16 | 11,413 | 12,262 |
Sempra Energy | 2.300% | 4/1/17 | 6,275 | 6,391 |
Sempra Energy | 6.150% | 6/15/18 | 2,500 | 2,833 |
Sempra Energy | 9.800% | 2/15/19 | 2,260 | 2,902 |
Sempra Energy | 2.875% | 10/1/22 | 3,406 | 3,349 |
Sempra Energy | 4.050% | 12/1/23 | 11,535 | 12,206 |
Sempra Energy | 6.000% | 10/15/39 | 17,870 | 22,072 |
Southern California Gas Co. | 5.750% | 11/15/35 | 960 | 1,254 |
Southern California Gas Co. | 3.750% | 9/15/42 | 4,620 | 4,583 |
Southern California Gas Co. | 4.450% | 3/15/44 | 2,400 | 2,693 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 7,020 | 7,814 |
American Water Capital Corp. | 3.850% | 3/1/24 | 8,050 | 8,468 |
American Water Capital Corp. | 6.593% | 10/15/37 | 5,670 | 7,853 |
United Utilities plc | 5.375% | 2/1/19 | 5,455 | 5,928 |
United Utilities plc | 6.875% | 8/15/28 | 885 | 1,054 |
Veolia Environnement SA | 6.750% | 6/1/38 | 3,124 | 4,001 |
2,734,330 | ||||
Total Corporate Bonds (Cost $33,315,255) | 34,978,603 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (5.6%) | ||||
African Development Bank | 2.500% | 3/15/16 | 750 | 768 |
African Development Bank | 1.250% | 9/2/16 | 1,850 | 1,869 |
African Development Bank | 1.125% | 3/15/17 | 8,385 | 8,424 |
African Development Bank | 0.875% | 5/15/17 | 3,000 | 2,993 |
African Development Bank | 0.875% | 3/15/18 | 9,150 | 9,026 |
African Development Bank | 1.625% | 10/2/18 | 22,350 | 22,434 |
African Development Bank | 2.375% | 9/23/21 | 29,200 | 29,737 |
Asian Development Bank | 0.500% | 8/17/15 | 18,450 | 18,467 |
Asian Development Bank | 2.500% | 3/15/16 | 18,375 | 18,815 |
Asian Development Bank | 0.500% | 6/20/16 | 5,025 | 5,013 |
Asian Development Bank | 5.500% | 6/27/16 | 5,225 | 5,602 |
Asian Development Bank | 0.750% | 1/11/17 | 35,300 | 35,271 |
Asian Development Bank | 1.125% | 3/15/17 | 20,100 | 20,199 |
Asian Development Bank | 5.250% | 6/12/17 | 600 | 661 |
Asian Development Bank | 5.593% | 7/16/18 | 3,498 | 3,942 |
Asian Development Bank | 1.750% | 9/11/18 | 21,325 | 21,537 |
Asian Development Bank | 1.875% | 10/23/18 | 13,850 | 14,045 |
Asian Development Bank | 1.750% | 3/21/19 | 3,670 | 3,693 |
Asian Development Bank | 1.875% | 4/12/19 | 5,700 | 5,761 |
Asian Development Bank | 1.375% | 3/23/20 | 12,500 | 12,235 |
Asian Development Bank | 2.125% | 11/24/21 | 20,000 | 20,147 |
Asian Development Bank | 5.820% | 6/16/28 | 148 | 193 |
Banco do Brasil SA | 3.875% | 1/23/17 | 12,176 | 12,485 |
Banco do Brasil SA | 3.875% | 10/10/22 | 9,975 | 9,175 |
Canada | 0.875% | 2/14/17 | 35,750 | 35,772 |
Canada | 1.625% | 2/27/19 | 1,000 | 1,002 |
CNOOC Curtis Funding No 1 pty Ltd. | 4.500% | 10/3/23 | 5,000 | 5,269 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 6,250 | 5,927 |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 5,150 | 5,134 |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 38,200 | 39,323 |
Corporacion Andina de Fomento | 3.750% | 1/15/16 | 12,925 | 13,251 |
Corporacion Andina de Fomento | 8.125% | 6/4/19 | 19,400 | 24,012 |
Corporacion Andina de Fomento | 4.375% | 6/15/22 | 25,044 | 26,993 |
Council Of Europe Development Bank | 2.625% | 2/16/16 | 6,900 | 7,068 |
Council Of Europe Development Bank | 1.500% | 2/22/17 | 13,150 | 13,317 |
Council Of Europe Development Bank | 1.500% | 6/19/17 | 3,300 | 3,337 |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 13,500 | 13,363 |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 12,620 | 12,504 |
92
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 2,900 | 2,889 |
Ecopetrol SA | 4.250% | 9/18/18 | 3,015 | 3,136 |
Ecopetrol SA | 7.625% | 7/23/19 | 11,500 | 13,196 |
Ecopetrol SA | 5.875% | 9/18/23 | 18,735 | 19,993 |
Ecopetrol SA | 4.125% | 1/16/25 | 11,200 | 10,796 |
Ecopetrol SA | 7.375% | 9/18/43 | 5,000 | 5,349 |
Ecopetrol SA | 5.875% | 5/28/45 | 14,900 | 13,857 |
European Bank for Reconstruction & Development | 2.750% | 4/20/15 | 19,450 | 19,587 |
European Bank for Reconstruction & Development | 2.500% | 3/15/16 | 20,100 | 20,588 |
European Bank for Reconstruction & Development | 1.375% | 10/20/16 | 2,550 | 2,580 |
European Bank for Reconstruction & Development | 1.000% | 2/16/17 | 5,050 | 5,064 |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 11,400 | 11,302 |
European Bank for Reconstruction & Development | 1.000% | 6/15/18 | 5,300 | 5,229 |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 4,250 | 4,175 |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 9,300 | 9,343 |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 20,200 | 20,234 |
European Bank for Reconstruction & Development | 1.750% | 11/26/19 | 13,000 | 12,963 |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 10,500 | 10,421 |
European Investment Bank | 2.750% | 3/23/15 | 20,800 | 20,912 |
European Investment Bank | 4.875% | 2/16/16 | 19,250 | 20,194 |
European Investment Bank | 0.625% | 4/15/16 | 40,700 | 40,777 |
European Investment Bank | 2.500% | 5/16/16 | 31,450 | 32,290 |
European Investment Bank | 2.125% | 7/15/16 | 22,200 | 22,716 |
European Investment Bank | 0.500% | 8/15/16 | 29,775 | 29,698 |
European Investment Bank | 5.125% | 9/13/16 | 19,100 | 20,526 |
European Investment Bank | 1.250% | 10/14/16 | 23,825 | 24,064 |
European Investment Bank | 1.125% | 12/15/16 | 18,500 | 18,522 |
European Investment Bank | 4.875% | 1/17/17 | 31,725 | 34,299 |
European Investment Bank | 1.750% | 3/15/17 | 44,825 | 45,663 |
European Investment Bank | 0.875% | 4/18/17 | 18,250 | 18,159 |
European Investment Bank | 5.125% | 5/30/17 | 45,555 | 50,035 |
European Investment Bank | 1.625% | 6/15/17 | 5,500 | 5,586 |
European Investment Bank | 1.000% | 8/17/17 | 23,925 | 23,848 |
European Investment Bank | 1.125% | 9/15/17 | 31,575 | 31,613 |
European Investment Bank | 1.000% | 12/15/17 | 21,900 | 21,796 |
European Investment Bank | 1.000% | 3/15/18 | 16,225 | 16,075 |
European Investment Bank | 1.000% | 6/15/18 | 6,850 | 6,760 |
European Investment Bank | 1.625% | 12/18/18 | 23,075 | 23,156 |
European Investment Bank | 1.875% | 3/15/19 | 77,000 | 77,850 |
European Investment Bank | 1.750% | 6/17/19 | 66,480 | 66,590 |
European Investment Bank | 2.875% | 9/15/20 | 18,600 | 19,570 |
European Investment Bank | 4.000% | 2/16/21 | 30,400 | 33,940 |
European Investment Bank | 2.500% | 4/15/21 | 40,000 | 41,212 |
European Investment Bank | 2.125% | 10/15/21 | 4,550 | 4,568 |
European Investment Bank | 3.250% | 1/29/24 | 18,500 | 19,943 |
European Investment Bank | 2.500% | 10/15/24 | 23,600 | 23,701 |
European Investment Bank | 4.875% | 2/15/36 | 935 | 1,207 |
Export Development Canada | 1.250% | 10/27/15 | 300 | 301 |
Export Development Canada | 1.250% | 10/26/16 | 12,750 | 12,847 |
9 Export Development Canada | 1.000% | 5/15/17 | 6,000 | 5,994 |
Export Development Canada | 0.750% | 12/15/17 | 14,875 | 14,625 |
Export Development Canada | 1.500% | 10/3/18 | 4,275 | 4,286 |
9 Export Development Canada | 1.750% | 8/19/19 | 8,200 | 8,185 |
9 Export Development Canada | 1.625% | 12/3/19 | 4,000 | 3,978 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 11,550 | 12,050 |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 24,050 | 25,226 |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 16,725 | 16,623 |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 10,400 | 10,670 |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 7,000 | 7,028 |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 6,300 | 7,094 |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,800 | 3,001 |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 3,925 | 4,302 |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 4,150 | 4,726 |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 34,750 | 37,563 |
93
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Federative Republic of Brazil | 6.000% | 1/17/17 | 33,030 | 35,755 |
5 Federative Republic of Brazil | 8.000% | 1/15/18 | 9,831 | 10,716 |
Federative Republic of Brazil | 5.875% | 1/15/19 | 18,475 | 20,507 |
Federative Republic of Brazil | 8.875% | 10/14/19 | 12,270 | 15,338 |
Federative Republic of Brazil | 4.875% | 1/22/21 | 16,950 | 18,029 |
Federative Republic of Brazil | 2.625% | 1/5/23 | 9,750 | 8,936 |
Federative Republic of Brazil | 8.875% | 4/15/24 | 170 | 228 |
Federative Republic of Brazil | 4.250% | 1/7/25 | 34,500 | 34,684 |
Federative Republic of Brazil | 8.750% | 2/4/25 | 10,068 | 13,516 |
Federative Republic of Brazil | 10.125% | 5/15/27 | 8,742 | 13,332 |
Federative Republic of Brazil | 8.250% | 1/20/34 | 13,345 | 18,449 |
Federative Republic of Brazil | 7.125% | 1/20/37 | 17,591 | 22,491 |
5 Federative Republic of Brazil | 11.000% | 8/17/40 | 14,037 | 14,949 |
Federative Republic of Brazil | 5.625% | 1/7/41 | 32,750 | 35,043 |
Federative Republic of Brazil | 5.000% | 1/27/45 | 33,331 | 32,664 |
FMS Wertmanagement AoeR | 0.625% | 4/18/16 | 8,050 | 8,064 |
FMS Wertmanagement AoeR | 1.125% | 10/14/16 | 13,600 | 13,701 |
FMS Wertmanagement AoeR | 0.625% | 1/30/17 | 33,800 | 33,572 |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 8,500 | 8,501 |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 8,500 | 8,396 |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 22,200 | 22,261 |
Hydro-Quebec | 7.500% | 4/1/16 | 2,155 | 2,331 |
Hydro-Quebec | 2.000% | 6/30/16 | 26,495 | 26,985 |
Hydro-Quebec | 1.375% | 6/19/17 | 3,700 | 3,709 |
Hydro-Quebec | 8.400% | 1/15/22 | 8,195 | 10,928 |
Hydro-Quebec | 8.050% | 7/7/24 | 3,310 | 4,646 |
Hydro-Quebec | 8.500% | 12/1/29 | 825 | 1,265 |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 5,450 | 5,445 |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 4,400 | 4,449 |
Inter-American Development Bank | 4.250% | 9/14/15 | 7,395 | 7,595 |
Inter-American Development Bank | 0.625% | 9/12/16 | 4,000 | 3,985 |
Inter-American Development Bank | 5.125% | 9/13/16 | 8,750 | 9,400 |
Inter-American Development Bank | 1.375% | 10/18/16 | 750 | 759 |
Inter-American Development Bank | 0.875% | 11/15/16 | 14,000 | 14,014 |
Inter-American Development Bank | 1.125% | 3/15/17 | 20,300 | 20,409 |
Inter-American Development Bank | 1.000% | 7/14/17 | 20,010 | 19,963 |
Inter-American Development Bank | 2.375% | 8/15/17 | 25,216 | 26,067 |
Inter-American Development Bank | 0.875% | 3/15/18 | 19,100 | 18,834 |
Inter-American Development Bank | 1.750% | 8/24/18 | 4,900 | 4,948 |
Inter-American Development Bank | 4.250% | 9/10/18 | 2,950 | 3,243 |
Inter-American Development Bank | 1.125% | 9/12/19 | 1,150 | 1,119 |
Inter-American Development Bank | 3.875% | 9/17/19 | 57,040 | 62,500 |
Inter-American Development Bank | 1.750% | 10/15/19 | 30,750 | 30,566 |
Inter-American Development Bank | 3.875% | 2/14/20 | 6,475 | 7,120 |
Inter-American Development Bank | 2.125% | 11/9/20 | 9,900 | 9,962 |
Inter-American Development Bank | 3.000% | 10/4/23 | 6,200 | 6,573 |
Inter-American Development Bank | 3.000% | 2/21/24 | 34,200 | 36,210 |
Inter-American Development Bank | 7.000% | 6/15/25 | 2,950 | 4,039 |
Inter-American Development Bank | 3.875% | 10/28/41 | 45 | 51 |
Inter-American Development Bank | 3.200% | 8/7/42 | 5,575 | 5,596 |
Inter-American Development Bank | 4.375% | 1/24/44 | 3,500 | 4,280 |
International Bank for Reconstruction & Development | 2.125% | 3/15/16 | 47,425 | 48,379 |
International Bank for Reconstruction & Development | 5.000% | 4/1/16 | 18,735 | 19,780 |
International Bank for Reconstruction & Development | 0.500% | 4/15/16 | 32,275 | 32,280 |
International Bank for Reconstruction & Development | 1.000% | 9/15/16 | 14,100 | 14,181 |
International Bank for Reconstruction & Development | 0.625% | 10/14/16 | 18,000 | 17,896 |
International Bank for Reconstruction & Development | 0.750% | 12/15/16 | 15,475 | 15,468 |
International Bank for Reconstruction & Development | 0.875% | 4/17/17 | 58,700 | 58,679 |
International Bank for Reconstruction & Development | 1.125% | 7/18/17 | 2,350 | 2,352 |
International Bank for Reconstruction & Development | 1.375% | 4/10/18 | 32,000 | 32,024 |
International Bank for Reconstruction & Development | 1.875% | 3/15/19 | 65,700 | 66,373 |
International Bank for Reconstruction & Development | 1.875% | 10/7/19 | 43,600 | 43,746 |
International Bank for Reconstruction & Development | 2.125% | 11/1/20 | 8,400 | 8,501 |
International Bank for Reconstruction & Development | 2.250% | 6/24/21 | 22,350 | 22,864 |
94
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Bank for Reconstruction & Development | 7.625% | 1/19/23 | 4,000 | 5,587 |
International Bank for Reconstruction & Development | 2.500% | 11/25/24 | 72,500 | 73,195 |
International Bank for Reconstruction & Development | 8.875% | 3/1/26 | 1,050 | 1,640 |
International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 1,823 | 2,327 |
International Finance Corp. | 2.750% | 4/20/15 | 10,375 | 10,446 |
International Finance Corp. | 2.250% | 4/11/16 | 10,900 | 11,140 |
International Finance Corp. | 0.500% | 5/16/16 | 2,800 | 2,798 |
International Finance Corp. | 0.625% | 10/3/16 | 2,875 | 2,872 |
International Finance Corp. | 0.625% | 11/15/16 | 7,500 | 7,482 |
International Finance Corp. | 1.125% | 11/23/16 | 32,200 | 32,400 |
International Finance Corp. | 1.000% | 4/24/17 | 3,975 | 3,968 |
International Finance Corp. | 2.125% | 11/17/17 | 16,875 | 17,283 |
International Finance Corp. | 0.625% | 12/21/17 | 12,200 | 11,975 |
International Finance Corp. | 0.875% | 6/15/18 | 1,600 | 1,569 |
International Finance Corp. | 1.250% | 7/16/18 | 8,600 | 8,531 |
International Finance Corp. | 1.750% | 9/4/18 | 29,050 | 29,294 |
International Finance Corp. | 1.750% | 9/16/19 | 15,500 | 15,435 |
10 Japan Bank for International Cooperation | 2.500% | 1/21/16 | 6,300 | 6,431 |
10 Japan Bank for International Cooperation | 2.500% | 5/18/16 | 6,700 | 6,876 |
10 Japan Bank for International Cooperation | 2.250% | 7/13/16 | 12,775 | 13,085 |
10 Japan Bank for International Cooperation | 1.125% | 7/19/17 | 39,500 | 39,500 |
10 Japan Bank for International Cooperation | 1.750% | 7/31/18 | 15,000 | 15,113 |
10 Japan Bank for International Cooperation | 1.750% | 11/13/18 | 19,000 | 19,098 |
10 Japan Bank for International Cooperation | 3.375% | 7/31/23 | 6,600 | 7,137 |
10 Japan Bank for International Cooperation | 3.000% | 5/29/24 | 25,500 | 26,539 |
10 Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 4,050 | 4,421 |
10 Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 10,400 | 11,481 |
11 KFW | 0.625% | 4/24/15 | 33,225 | 33,256 |
11 KFW | 2.625% | 2/16/16 | 32,400 | 33,212 |
11 KFW | 5.125% | 3/14/16 | 36,950 | 39,017 |
11 KFW | 0.500% | 4/19/16 | 20,600 | 20,610 |
11 KFW | 2.000% | 6/1/16 | 35,750 | 36,503 |
11 KFW | 0.500% | 7/15/16 | 22,200 | 22,068 |
11 KFW | 1.250% | 10/5/16 | 34,725 | 35,079 |
11 KFW | 0.625% | 12/15/16 | 22,600 | 22,558 |
11 KFW | 4.875% | 1/17/17 | 3,780 | 4,093 |
11 KFW | 1.250% | 2/15/17 | 66,025 | 66,637 |
11 KFW | 0.750% | 3/17/17 | 36,100 | 35,869 |
11 KFW | 0.875% | 9/5/17 | 26,550 | 26,438 |
11 KFW | 0.875% | 12/15/17 | 44,000 | 43,468 |
11 KFW | 4.375% | 3/15/18 | 18,650 | 20,442 |
11 KFW | 4.500% | 7/16/18 | 14,325 | 15,832 |
11 KFW | 1.875% | 4/1/19 | 36,310 | 36,716 |
11 KFW | 4.875% | 6/17/19 | 28,105 | 31,975 |
11 KFW | 1.750% | 10/15/19 | 9,700 | 9,669 |
11 KFW | 4.000% | 1/27/20 | 43,850 | 48,464 |
11 KFW | 2.750% | 9/8/20 | 45,050 | 47,091 |
11 KFW | 2.750% | 10/1/20 | 43,850 | 45,839 |
11 KFW | 2.375% | 8/25/21 | 11,935 | 12,182 |
11 KFW | 2.000% | 10/4/22 | 23,500 | 23,232 |
11 KFW | 2.125% | 1/17/23 | 41,575 | 41,467 |
11 KFW | 2.500% | 11/20/24 | 35,000 | 35,459 |
11 KFW | 0.000% | 4/18/36 | 14,500 | 7,822 |
11 KFW | 0.000% | 6/29/37 | 220 | 114 |
Korea Development Bank | 3.250% | 3/9/16 | 13,200 | 13,508 |
Korea Development Bank | 4.000% | 9/9/16 | 4,250 | 4,436 |
Korea Development Bank | 3.875% | 5/4/17 | 15,500 | 16,214 |
Korea Development Bank | 3.500% | 8/22/17 | 5,400 | 5,623 |
Korea Development Bank | 1.500% | 1/22/18 | 11,000 | 10,857 |
Korea Development Bank | 3.000% | 3/17/19 | 5,000 | 5,153 |
Korea Development Bank | 2.500% | 3/11/20 | 2,500 | 2,499 |
Korea Development Bank | 3.000% | 9/14/22 | 20,000 | 20,070 |
Korea Development Bank | 3.750% | 1/22/24 | 14,400 | 15,226 |
Korea Finance Corp. | 3.250% | 9/20/16 | 11,100 | 11,450 |
95
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Korea Finance Corp. | 2.250% | 8/7/17 | 850 | 859 |
Korea Finance Corp. | 4.625% | 11/16/21 | 5,975 | 6,616 |
Landesbank Baden-Wuerttemberg | 7.625% | 2/1/23 | 1,000 | 1,249 |
11 Landwirtschaftliche Rentenbank | 3.125% | 7/15/15 | 12,505 | 12,693 |
11 Landwirtschaftliche Rentenbank | 2.500% | 2/15/16 | 3,325 | 3,398 |
11 Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 11,250 | 11,513 |
11 Landwirtschaftliche Rentenbank | 5.000% | 11/8/16 | 5,556 | 5,990 |
11 Landwirtschaftliche Rentenbank | 5.125% | 2/1/17 | 9,795 | 10,657 |
11 Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 11,825 | 11,766 |
11 Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 7,200 | 7,120 |
11 Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 12,500 | 12,681 |
11 Landwirtschaftliche Rentenbank | 1.750% | 4/15/19 | 3,400 | 3,398 |
11 Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 12,650 | 12,426 |
Nexen Energy ULC | 6.200% | 7/30/19 | 3,500 | 3,999 |
Nexen Energy ULC | 7.875% | 3/15/32 | 9,965 | 14,033 |
Nexen Energy ULC | 5.875% | 3/10/35 | 4,687 | 5,535 |
Nexen Energy ULC | 6.400% | 5/15/37 | 9,880 | 12,409 |
Nexen Energy ULC | 7.500% | 7/30/39 | 6,755 | 9,271 |
Nordic Investment Bank | 2.250% | 3/15/16 | 3,775 | 3,855 |
Nordic Investment Bank | 0.500% | 4/14/16 | 10,700 | 10,701 |
Nordic Investment Bank | 5.000% | 2/1/17 | 5,200 | 5,639 |
Nordic Investment Bank | 1.000% | 3/7/17 | 2,450 | 2,456 |
Nordic Investment Bank | 0.750% | 1/17/18 | 18,350 | 18,076 |
Nordic Investment Bank | 1.875% | 6/14/19 | 13,500 | 13,583 |
North American Development Bank | 2.300% | 10/10/18 | 2,138 | 2,155 |
North American Development Bank | 4.375% | 2/11/20 | 2,600 | 2,850 |
North American Development Bank | 2.400% | 10/26/22 | 6,000 | 5,881 |
12 Oesterreichische Kontrollbank AG | 1.750% | 10/5/15 | 5,800 | 5,860 |
12 Oesterreichische Kontrollbank AG | 2.000% | 6/3/16 | 11,925 | 12,172 |
12 Oesterreichische Kontrollbank AG | 0.750% | 12/15/16 | 15,700 | 15,693 |
12 Oesterreichische Kontrollbank AG | 5.000% | 4/25/17 | 20,045 | 21,875 |
12 Oesterreichische Kontrollbank AG | 1.125% | 5/29/18 | 8,150 | 8,073 |
12 Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,000 | 5,029 |
5 Oriental Republic of Uruguay | 4.500% | 8/14/24 | 17,183 | 18,044 |
5 Oriental Republic of Uruguay | 7.625% | 3/21/36 | 4,845 | 6,553 |
5 Oriental Republic of Uruguay | 4.125% | 11/20/45 | 24,775 | 22,050 |
5 Oriental Republic of Uruguay | 5.100% | 6/18/50 | 8,440 | 8,419 |
Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 50,535 | 54,830 |
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 25,811 | 29,809 |
Pemex Project Funding Master Trust | 6.625% | 6/15/38 | 6,975 | 7,980 |
Petrobras Global Finance BV | 2.000% | 5/20/16 | 12,550 | 11,996 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 24,200 | 22,729 |
Petrobras Global Finance BV | 4.375% | 5/20/23 | 1,000 | 859 |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 42,623 | 40,503 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 5,475 | 4,462 |
Petrobras Global Finance BV | 7.250% | 3/17/44 | 1,710 | 1,683 |
Petrobras International Finance Co. SA | 3.875% | 1/27/16 | 25,200 | 24,822 |
Petrobras International Finance Co. SA | 6.125% | 10/6/16 | 15,343 | 15,482 |
Petrobras International Finance Co. SA | 3.500% | 2/6/17 | 17,397 | 16,693 |
Petrobras International Finance Co. SA | 5.875% | 3/1/18 | 30,735 | 30,221 |
Petrobras International Finance Co. SA | 8.375% | 12/10/18 | 10,250 | 10,810 |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 6,778 | 7,090 |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 14,027 | 13,750 |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 41,175 | 38,005 |
Petrobras International Finance Co. SA | 6.875% | 1/20/40 | 19,100 | 17,636 |
Petrobras International Finance Co. SA | 6.750% | 1/27/41 | 36,445 | 33,719 |
Petroleos Mexicanos | 3.500% | 7/18/18 | 11,560 | 11,748 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 18,486 | 21,860 |
Petroleos Mexicanos | 6.000% | 3/5/20 | 11,243 | 12,555 |
Petroleos Mexicanos | 5.500% | 1/21/21 | 15,720 | 17,018 |
Petroleos Mexicanos | 4.875% | 1/24/22 | 15,000 | 15,714 |
Petroleos Mexicanos | 3.500% | 1/30/23 | 25,350 | 24,211 |
Petroleos Mexicanos | 4.875% | 1/18/24 | 14,200 | 14,702 |
5 Petroleos Mexicanos | 2.290% | 2/15/24 | 2,256 | 2,269 |
96
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
8 Petroleos Mexicanos | 4.250% | 1/15/25 | 7,300 | 7,264 |
Petroleos Mexicanos | 2.378% | 4/15/25 | 2,825 | 2,754 |
Petroleos Mexicanos | 6.500% | 6/2/41 | 18,630 | 21,520 |
Petroleos Mexicanos | 5.500% | 6/27/44 | 29,747 | 30,267 |
8 Petroleos Mexicanos | 5.500% | 6/27/44 | 14,750 | 15,008 |
Petroleos Mexicanos | 6.375% | 1/23/45 | 23,350 | 26,635 |
8 Petronas Capital Ltd. | 5.250% | 8/12/19 | 525 | 583 |
Province of British Columbia | 2.100% | 5/18/16 | 21,900 | 22,318 |
Province of British Columbia | 1.200% | 4/25/17 | 7,000 | 7,031 |
Province of British Columbia | 2.650% | 9/22/21 | 16,620 | 17,091 |
Province of British Columbia | 2.000% | 10/23/22 | 6,400 | 6,258 |
Province of British Columbia | 6.500% | 1/15/26 | 266 | 357 |
Province of Manitoba | 4.900% | 12/6/16 | 13,400 | 14,434 |
Province of Manitoba | 1.300% | 4/3/17 | 3,565 | 3,581 |
Province of Manitoba | 1.125% | 6/1/18 | 3,770 | 3,738 |
Province of Manitoba | 1.750% | 5/30/19 | 4,000 | 3,980 |
Province of Manitoba | 2.100% | 9/6/22 | 6,375 | 6,236 |
Province of Manitoba | 3.050% | 5/14/24 | 24,750 | 25,564 |
Province of New Brunswick | 2.750% | 6/15/18 | 14,750 | 15,346 |
Province of Nova Scotia | 2.375% | 7/21/15 | 8,690 | 8,791 |
Province of Nova Scotia | 5.125% | 1/26/17 | 3,500 | 3,824 |
Province of Ontario | 4.750% | 1/19/16 | 5,375 | 5,601 |
Province of Ontario | 5.450% | 4/27/16 | 30,325 | 32,179 |
Province of Ontario | 2.300% | 5/10/16 | 8,850 | 9,030 |
Province of Ontario | 1.000% | 7/22/16 | 15,025 | 15,061 |
Province of Ontario | 1.600% | 9/21/16 | 13,025 | 13,171 |
Province of Ontario | 1.100% | 10/25/17 | 17,750 | 17,577 |
Province of Ontario | 3.150% | 12/15/17 | 13,000 | 13,644 |
Province of Ontario | 1.200% | 2/14/18 | 1,450 | 1,440 |
Province of Ontario | 3.000% | 7/16/18 | 8,475 | 8,887 |
Province of Ontario | 2.000% | 9/27/18 | 9,700 | 9,801 |
Province of Ontario | 2.000% | 1/30/19 | 4,625 | 4,659 |
Province of Ontario | 1.650% | 9/27/19 | 8,800 | 8,666 |
Province of Ontario | 4.000% | 10/7/19 | 20,780 | 22,605 |
Province of Ontario | 4.400% | 4/14/20 | 29,915 | 33,552 |
Province of Ontario | 2.500% | 9/10/21 | 34,550 | 34,712 |
Province of Ontario | 2.450% | 6/29/22 | 9,975 | 9,919 |
Province of Ontario | 3.200% | 5/16/24 | 1,950 | 2,042 |
Quebec | 5.000% | 3/1/16 | 305 | 320 |
Quebec | 5.125% | 11/14/16 | 21,210 | 22,837 |
Quebec | 4.625% | 5/14/18 | 12,585 | 13,872 |
Quebec | 3.500% | 7/29/20 | 17,120 | 18,269 |
Quebec | 2.750% | 8/25/21 | 16,875 | 17,169 |
Quebec | 2.625% | 2/13/23 | 29,550 | 29,603 |
Quebec | 7.500% | 7/15/23 | 250 | 337 |
Quebec | 7.125% | 2/9/24 | 2,375 | 3,145 |
Quebec | 2.875% | 10/16/24 | 11,900 | 11,985 |
Quebec | 7.500% | 9/15/29 | 10,885 | 16,189 |
8 Ras Laffan Liquefied Natural Gas Co. Ltd. III | 6.750% | 9/30/19 | 350 | 411 |
Region of Lombardy Italy | 5.804% | 10/25/32 | 6,458 | 7,063 |
Republic of Chile | 3.875% | 8/5/20 | 3,600 | 3,860 |
Republic of Chile | 3.250% | 9/14/21 | 2,675 | 2,746 |
Republic of Chile | 2.250% | 10/30/22 | 9,975 | 9,499 |
Republic of Chile | 3.125% | 3/27/25 | 22,099 | 21,952 |
Republic of Chile | 3.625% | 10/30/42 | 9,050 | 8,185 |
Republic of Colombia | 7.375% | 1/27/17 | 20,475 | 22,650 |
Republic of Colombia | 7.375% | 3/18/19 | 13,450 | 15,824 |
Republic of Colombia | 11.750% | 2/25/20 | 3,350 | 4,708 |
Republic of Colombia | 4.375% | 7/12/21 | 17,675 | 18,532 |
5 Republic of Colombia | 2.625% | 3/15/23 | 25,000 | 23,163 |
Republic of Colombia | 4.000% | 2/26/24 | 6,400 | 6,506 |
Republic of Colombia | 8.125% | 5/21/24 | 6,440 | 8,517 |
Republic of Colombia | 7.375% | 9/18/37 | 9,872 | 13,169 |
Republic of Colombia | 6.125% | 1/18/41 | 25,625 | 30,679 |
97
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Republic of Colombia | 5.625% | 2/26/44 | 25,350 | 28,392 |
Republic of Finland | 6.950% | 2/15/26 | 1,905 | 2,577 |
Republic of Italy | 4.750% | 1/25/16 | 24,850 | 25,813 |
Republic of Italy | 5.250% | 9/20/16 | 35,426 | 37,702 |
Republic of Italy | 5.375% | 6/12/17 | 9,050 | 9,799 |
Republic of Italy | 6.875% | 9/27/23 | 21,615 | 27,449 |
Republic of Italy | 5.375% | 6/15/33 | 16,595 | 19,549 |
Republic of Korea | 7.125% | 4/16/19 | 18,013 | 21,737 |
Republic of Korea | 3.875% | 9/11/23 | 26,100 | 28,670 |
Republic of Korea | 5.625% | 11/3/25 | 425 | 525 |
Republic of Korea | 4.125% | 6/10/44 | 11,900 | 14,087 |
Republic of Panama | 5.200% | 1/30/20 | 16,125 | 17,633 |
5 Republic of Panama | 4.000% | 9/22/24 | 7,350 | 7,479 |
Republic of Panama | 7.125% | 1/29/26 | 22,150 | 27,909 |
Republic of Panama | 8.875% | 9/30/27 | 650 | 929 |
Republic of Panama | 9.375% | 4/1/29 | 6,545 | 9,916 |
5 Republic of Panama | 6.700% | 1/26/36 | 16,795 | 21,442 |
5 Republic of Panama | 4.300% | 4/29/53 | 5,000 | 4,500 |
Republic of Peru | 7.125% | 3/30/19 | 20,750 | 24,537 |
Republic of Peru | 7.350% | 7/21/25 | 11,275 | 14,968 |
Republic of Peru | 8.750% | 11/21/33 | 14,037 | 21,856 |
5 Republic of Peru | 6.550% | 3/14/37 | 11,781 | 15,227 |
Republic of Peru | 5.625% | 11/18/50 | 23,695 | 27,842 |
Republic of Philippines | 8.375% | 6/17/19 | 20,000 | 25,400 |
Republic of Philippines | 6.500% | 1/20/20 | 4,600 | 5,525 |
Republic of Philippines | 4.000% | 1/15/21 | 15,675 | 16,983 |
Republic of Philippines | 4.200% | 1/21/24 | 24,250 | 26,311 |
Republic of Philippines | 9.500% | 10/21/24 | 900 | 1,332 |
Republic of Philippines | 10.625% | 3/16/25 | 17,325 | 27,919 |
Republic of Philippines | 5.500% | 3/30/26 | 11,325 | 13,432 |
Republic of Philippines | 9.500% | 2/2/30 | 16,350 | 26,582 |
Republic of Philippines | 7.750% | 1/14/31 | 21,600 | 31,184 |
Republic of Philippines | 6.375% | 1/15/32 | 4,500 | 5,899 |
Republic of Philippines | 6.375% | 10/23/34 | 38,690 | 51,845 |
Republic of Philippines | 5.000% | 1/13/37 | 975 | 1,140 |
Republic of Poland | 5.000% | 10/19/15 | 2,800 | 2,899 |
Republic of Poland | 6.375% | 7/15/19 | 40,890 | 47,795 |
Republic of Poland | 5.125% | 4/21/21 | 21,425 | 24,045 |
Republic of Poland | 5.000% | 3/23/22 | 17,602 | 19,703 |
Republic of Poland | 3.000% | 3/17/23 | 8,050 | 8,000 |
Republic of Poland | 4.000% | 1/22/24 | 16,325 | 17,284 |
Republic of South Africa | 6.875% | 5/27/19 | 15,575 | 17,785 |
Republic of South Africa | 5.500% | 3/9/20 | 9,250 | 10,083 |
Republic of South Africa | 4.665% | 1/17/24 | 13,575 | 14,033 |
Republic of South Africa | 5.875% | 9/16/25 | 16,000 | 18,000 |
Republic of South Africa | 6.250% | 3/8/41 | 6,900 | 8,151 |
Republic of South Africa | 5.375% | 7/24/44 | 11,900 | 12,465 |
Republic of Turkey | 7.000% | 9/26/16 | 32,225 | 34,960 |
Republic of Turkey | 7.500% | 7/14/17 | 26,025 | 29,096 |
Republic of Turkey | 6.750% | 4/3/18 | 18,425 | 20,548 |
Republic of Turkey | 7.000% | 3/11/19 | 23,650 | 26,981 |
Republic of Turkey | 7.000% | 6/5/20 | 28,075 | 32,655 |
Republic of Turkey | 5.625% | 3/30/21 | 20,675 | 22,734 |
Republic of Turkey | 5.125% | 3/25/22 | 13,085 | 14,001 |
Republic of Turkey | 6.250% | 9/26/22 | 24,000 | 27,405 |
Republic of Turkey | 3.250% | 3/23/23 | 12,000 | 11,400 |
Republic of Turkey | 5.750% | 3/22/24 | 21,200 | 23,691 |
Republic of Turkey | 7.375% | 2/5/25 | 31,075 | 38,572 |
Republic of Turkey | 11.875% | 1/15/30 | 9,700 | 17,193 |
Republic of Turkey | 8.000% | 2/14/34 | 2,450 | 3,360 |
Republic of Turkey | 6.875% | 3/17/36 | 23,100 | 28,663 |
Republic of Turkey | 6.750% | 5/30/40 | 14,700 | 18,155 |
Republic of Turkey | 6.000% | 1/14/41 | 34,750 | 39,441 |
Republic of Turkey | 4.875% | 4/16/43 | 14,200 | 14,138 |
98
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Republic of Turkey | 6.625% | 2/17/45 | 12,850 | 15,838 |
State of Israel | 5.500% | 11/9/16 | 8,100 | 8,779 |
State of Israel | 5.125% | 3/26/19 | 15,295 | 17,313 |
State of Israel | 4.000% | 6/30/22 | 9,100 | 9,874 |
State of Israel | 3.150% | 6/30/23 | 13,000 | 13,223 |
State of Israel | 4.500% | 1/30/43 | 11,700 | 11,866 |
Statoil ASA | 1.800% | 11/23/16 | 3,550 | 3,602 |
Statoil ASA | 3.125% | 8/17/17 | 9,325 | 9,724 |
Statoil ASA | 1.250% | 11/9/17 | 7,800 | 7,747 |
Statoil ASA | 1.200% | 1/17/18 | 2,050 | 2,024 |
Statoil ASA | 1.950% | 11/8/18 | 5,400 | 5,391 |
Statoil ASA | 5.250% | 4/15/19 | 17,953 | 20,165 |
Statoil ASA | 2.250% | 11/8/19 | 15,200 | 15,193 |
Statoil ASA | 2.900% | 11/8/20 | 4,450 | 4,543 |
Statoil ASA | 2.750% | 11/10/21 | 16,000 | 16,027 |
Statoil ASA | 3.150% | 1/23/22 | 11,300 | 11,418 |
Statoil ASA | 2.450% | 1/17/23 | 4,900 | 4,657 |
Statoil ASA | 7.750% | 6/15/23 | 25 | 32 |
Statoil ASA | 2.650% | 1/15/24 | 14,030 | 13,403 |
Statoil ASA | 3.700% | 3/1/24 | 13,725 | 14,206 |
Statoil ASA | 3.250% | 11/10/24 | 8,000 | 7,970 |
Statoil ASA | 7.250% | 9/23/27 | 5,375 | 7,347 |
8 Statoil ASA | 6.500% | 12/1/28 | 975 | 1,277 |
Statoil ASA | 7.150% | 1/15/29 | 2,950 | 4,070 |
Statoil ASA | 5.100% | 8/17/40 | 6,310 | 7,286 |
Statoil ASA | 4.250% | 11/23/41 | 8,395 | 8,589 |
Statoil ASA | 3.950% | 5/15/43 | 5,680 | 5,635 |
Statoil ASA | 4.800% | 11/8/43 | 7,500 | 8,511 |
Svensk Exportkredit AB | 0.625% | 9/4/15 | 15,800 | 15,826 |
Svensk Exportkredit AB | 0.625% | 5/31/16 | 5,200 | 5,205 |
Svensk Exportkredit AB | 2.125% | 7/13/16 | 7,950 | 8,129 |
Svensk Exportkredit AB | 5.125% | 3/1/17 | 1,400 | 1,524 |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 8,900 | 9,050 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 11,000 | 10,997 |
8 Temasek Financial I Ltd. | 5.375% | 11/23/39 | 225 | 285 |
United Mexican States | 11.375% | 9/15/16 | 5,300 | 6,232 |
United Mexican States | 5.625% | 1/15/17 | 43,084 | 46,368 |
United Mexican States | 5.950% | 3/19/19 | 9,900 | 11,203 |
United Mexican States | 5.125% | 1/15/20 | 17,700 | 19,624 |
United Mexican States | 3.500% | 1/21/21 | 19,150 | 19,576 |
United Mexican States | 3.625% | 3/15/22 | 31,450 | 31,997 |
United Mexican States | 4.000% | 10/2/23 | 40,032 | 41,689 |
United Mexican States | 3.600% | 1/30/25 | 32,625 | 32,457 |
United Mexican States | 8.300% | 8/15/31 | 18,350 | 27,479 |
United Mexican States | 6.750% | 9/27/34 | 38,466 | 50,200 |
United Mexican States | 6.050% | 1/11/40 | 7,641 | 9,322 |
United Mexican States | 4.750% | 3/8/44 | 69,102 | 71,992 |
United Mexican States | 5.550% | 1/21/45 | 15,450 | 17,880 |
United Mexican States | 5.750% | 10/12/10 | 13,130 | 14,075 |
Total Sovereign Bonds (Cost $7,493,805) | 7,677,847 | |||
Taxable Municipal Bonds (1.0%) | ||||
Alameda County CA Joint Powers Authority Lease | ||||
Revenue | 7.046% | 12/1/44 | 200 | 273 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 6.449% | 2/15/44 | 50 | 66 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.834% | 2/15/41 | 1,025 | 1,555 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.053% | 2/15/43 | 1,000 | 1,284 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 5.939% | 2/15/47 | 6,040 | 7,612 |
99
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.270% | 2/15/50 | 1,775 | 2,283 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.499% | 2/15/50 | 1,550 | 2,308 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 8.084% | 2/15/50 | 7,725 | 12,594 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 2,375 | 3,020 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 4,075 | 5,718 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 7,285 | 10,280 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 1,000 | 1,489 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.907% | 10/1/50 | 7,530 | 11,116 |
California GO | 5.750% | 3/1/17 | 10,750 | 11,790 |
California GO | 6.200% | 3/1/19 | 1,400 | 1,617 |
California GO | 6.200% | 10/1/19 | 11,600 | 13,748 |
California GO | 5.700% | 11/1/21 | 24,250 | 28,587 |
California GO | 7.500% | 4/1/34 | 27,750 | 41,528 |
California GO | 7.950% | 3/1/36 | 550 | 683 |
California GO | 7.550% | 4/1/39 | 6,130 | 9,449 |
California GO | 7.300% | 10/1/39 | 6,010 | 8,819 |
California GO | 7.350% | 11/1/39 | 22,025 | 32,515 |
California GO | 7.625% | 3/1/40 | 14,550 | 22,334 |
California GO | 7.600% | 11/1/40 | 11,200 | 17,731 |
Central Puget Sound WA Regional Transit Authority | ||||
Sales & Use Tax Revenue | 5.491% | 11/1/39 | 1,510 | 1,907 |
Chicago IL Board of Education GO | 6.319% | 11/1/29 | 5,575 | 5,934 |
Chicago IL Board of Education GO | 6.138% | 12/1/39 | 3,150 | 3,138 |
Chicago IL GO | 7.781% | 1/1/35 | 1,860 | 2,223 |
Chicago IL GO | 6.314% | 1/1/44 | 11,000 | 11,603 |
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 10,100 | 12,526 |
Chicago IL O'Hare International Airport Revenue | 6.845% | 1/1/38 | 1,450 | 1,655 |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 1,500 | 2,029 |
Chicago IL Transit Authority Sales Tax Receipts | ||||
Revenue | 6.200% | 12/1/40 | 2,850 | 3,377 |
Chicago IL Transit Authority Transfer Tax Receipts | ||||
Revenue | 6.899% | 12/1/40 | 6,985 | 8,801 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 3,700 | 4,852 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 4,350 | 5,732 |
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 475 | 550 |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 20 | 29 |
Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 6.218% | 6/1/39 | 6,375 | 7,813 |
Connecticut GO | 5.090% | 10/1/30 | 8,270 | 9,428 |
Connecticut GO | 5.850% | 3/15/32 | 6,610 | 8,303 |
Connecticut Special Tax Revenue (Transportation | ||||
Infrastructure) | 5.459% | 11/1/30 | 3,300 | 3,900 |
Cook County IL GO | 6.229% | 11/15/34 | 5,550 | 6,143 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.960% | 11/1/39 | 3,000 | 3,883 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.792% | 11/1/41 | 3,000 | 4,014 |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 2,100 | 2,706 |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 6,850 | 8,095 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,050 | 1,426 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 4,000 | 4,898 |
Dallas TX Convention Center Hotel Development Corp. | ||||
Hotel Revenue | 7.088% | 1/1/42 | 4,675 | 6,301 |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 3,750 | 4,513 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 1,185 | 1,327 |
Denver CO City & County School District No. 1 COP | 4.242% | 12/15/37 | 215 | 221 |
100
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Denver CO City & County School District No. 1 COP | 7.017% | 12/15/37 | 2,100 | 2,866 |
Denver CO City & County School District No. 1 GO | 5.664% | 12/1/33 | 1,325 | 1,600 |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 1,125 | 1,383 |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 1,600 | 1,982 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 5.522% | 10/1/44 | 700 | 883 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 4.814% | 10/1/14 | 11,800 | 13,368 |
East Baton Rouge LA Sewer Commission Revenue | 6.087% | 2/1/45 | 2,300 | 2,589 |
East Bay CA Municipal Utility District Water System | ||||
Revenue | 5.874% | 6/1/40 | 5,220 | 6,954 |
Emory University Georgia GO | 5.625% | 9/1/19 | 8,000 | 9,282 |
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 4,000 | 3,975 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.107% | 7/1/18 | 7,800 | 7,860 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.995% | 7/1/20 | 12,350 | 12,551 |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 7,450 | 7,707 |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 5,100 | 5,341 |
Georgia GO | 4.503% | 11/1/25 | 7,220 | 8,069 |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 9,550 | 12,749 |
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 5,980 | 7,858 |
Georgia Municipal Electric Power Authority Revenue | 7.055% | 4/1/57 | 3,425 | 4,168 |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 3,050 | 3,231 |
Illinois GO | 4.511% | 3/1/15 | 11,650 | 11,731 |
Illinois GO | 5.365% | 3/1/17 | 15,925 | 17,082 |
Illinois GO | 5.877% | 3/1/19 | 8,295 | 9,195 |
Illinois GO | 4.950% | 6/1/23 | 13,275 | 14,049 |
Illinois GO | 5.100% | 6/1/33 | 49,224 | 49,119 |
Illinois GO | 6.630% | 2/1/35 | 7,055 | 7,895 |
Illinois GO | 6.725% | 4/1/35 | 5,275 | 5,896 |
Illinois GO | 7.350% | 7/1/35 | 650 | 762 |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 880 | 1,146 |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 1,650 | 2,142 |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 9,700 | 12,790 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 3.985% | 1/1/29 | 6,600 | 6,846 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 4.532% | 1/1/35 | 4,175 | 4,537 |
Kansas Department of Transportation Highway | ||||
Revenue | 4.596% | 9/1/35 | 2,000 | 2,273 |
13 Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 4,300 | 5,013 |
Kentucky Asset/Liability Commission General Fund | ||||
Revenue | 3.165% | 4/1/18 | 518 | 533 |
La Paz County AZ Industrial Development Authority | ||||
Project Revenue (LCS Corrections Services, Inc. | ||||
Project) | 7.000% | 3/1/34 | 2,350 | 2,356 |
Las Vegas Valley Water District Nevada GO | 7.013% | 6/1/39 | 1,700 | 1,857 |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 4,325 | 6,132 |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 3,000 | 4,431 |
Los Angeles CA Department of Airports International | ||||
Airport Revenue | 6.582% | 5/15/39 | 20 | 26 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.716% | 7/1/39 | 3,540 | 4,502 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.008% | 7/1/39 | 6,350 | 8,085 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.166% | 7/1/40 | 1,550 | 1,805 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.574% | 7/1/45 | 2,700 | 3,896 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.603% | 7/1/50 | 350 | 516 |
101
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 9,225 | 11,702 |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 7,210 | 10,053 |
Los Angeles County CA Metropolitan Transportation | ||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 5,200 | 6,529 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 7.488% | 8/1/33 | 4,300 | 5,716 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 7.618% | 8/1/40 | 2,250 | 3,272 |
Maryland Transportation Authority Facilities Projects | ||||
Revenue | 5.888% | 7/1/43 | 2,330 | 3,040 |
Massachusetts GO | 4.200% | 12/1/21 | 5,000 | 5,497 |
Massachusetts GO | 4.500% | 8/1/31 | 500 | 555 |
Massachusetts GO | 5.456% | 12/1/39 | 4,600 | 5,773 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.715% | 8/15/39 | 2,550 | 3,275 |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 1,000 | 1,301 |
Massachusetts Water Pollution Abatement Trust | ||||
Revenue | 5.192% | 8/1/40 | 2,825 | 3,280 |
Metropolitan Government of Nashville & Davidson | ||||
County TN Convention Center Authority Tourism Tax | ||||
Revenue | 6.731% | 7/1/43 | 2,360 | 3,173 |
Metropolitan Government of Nashville & Davidson | ||||
County TN GO | 5.707% | 7/1/34 | 2,625 | 3,099 |
Metropolitan Washington DC/VA Airports Authority | ||||
Dulles Toll Road Revenue | 7.462% | 10/1/46 | 1,475 | 2,019 |
Metropolitan Water District of Southern California | ||||
Revenue | 6.947% | 7/1/40 | 1,670 | 2,004 |
Mississippi GO | 5.245% | 11/1/34 | 1,375 | 1,653 |
Missouri Highways & Transportation Commission Road | ||||
Revenue | 5.445% | 5/1/33 | 1,650 | 2,012 |
14 New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 15,150 | 19,283 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.754% | 12/15/28 | 12,075 | 13,783 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 6.104% | 12/15/28 | 14,355 | 16,022 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 6.561% | 12/15/40 | 3,585 | 4,670 |
New Jersey Turnpike Authority Revenue | 4.252% | 1/1/16 | 200 | 200 |
15 New Jersey Turnpike Authority Revenue | 4.252% | 1/1/16 | 175,000 | 176 |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 14,100 | 21,263 |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 8,450 | 12,346 |
New York City NY GO | 6.646% | 12/1/31 | 20 | 24 |
New York City NY GO | 6.246% | 6/1/35 | 2,150 | 2,514 |
New York City NY GO | 5.968% | 3/1/36 | 3,200 | 4,107 |
New York City NY GO | 5.985% | 12/1/36 | 1,650 | 2,090 |
New York City NY GO | 5.517% | 10/1/37 | 6,800 | 8,341 |
New York City NY GO | 6.271% | 12/1/37 | 2,000 | 2,658 |
New York City NY GO | 5.846% | 6/1/40 | 2,100 | 2,703 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.750% | 6/15/41 | 1,435 | 1,882 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 470 | 625 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 2,900 | 3,896 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 1,050 | 1,420 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.440% | 6/15/43 | 4,400 | 5,621 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 20,850 | 28,045 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 6.828% | 7/15/40 | 6,300 | 8,395 |
102
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.767% | 8/1/36 | 2,125 | 2,663 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.508% | 8/1/37 | 8,950 | 11,147 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 9,755 | 14,910 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 975 | 1,287 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.548% | 11/15/31 | 700 | 908 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.871% | 11/15/39 | 2,200 | 2,746 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.648% | 11/15/39 | 4,170 | 5,675 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.500% | 3/15/30 | 6,900 | 8,262 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.289% | 3/15/33 | 3,150 | 3,737 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.628% | 3/15/39 | 2,215 | 2,763 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.389% | 3/15/40 | 1,425 | 1,799 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.770% | 3/15/39 | 5,875 | 7,248 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.838% | 3/15/40 | 1,600 | 2,015 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 3,500 | 3,546 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 5,050 | 6,183 |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 11,070 | 16,083 |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 4,410 | 5,383 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 2,675 | 2,912 |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 5,450 | 5,887 |
Ohio Water Development Authority Water Pollution | ||||
Control Loan Fund Revenue | 4.879% | 12/1/34 | 2,550 | 2,862 |
Orange County CA Local Transportation Authority Sales | ||||
Tax Revenue | 6.908% | 2/15/41 | 2,090 | 2,980 |
Oregon Department of Transportation Highway User | ||||
Tax Revenue | 5.834% | 11/15/34 | 2,425 | 3,147 |
Oregon GO | 5.762% | 6/1/23 | 1,950 | 2,276 |
Oregon GO | 5.892% | 6/1/27 | 2,730 | 3,390 |
15 Oregon School Boards Association GO | 4.759% | 6/30/28 | 9,955 | 11,075 |
13 Oregon School Boards Association GO | 5.528% | 6/30/28 | 1,200 | 1,398 |
Pennsylvania GO | 4.650% | 2/15/26 | 2,875 | 3,179 |
Pennsylvania GO | 5.350% | 5/1/30 | 7,400 | 8,205 |
Pennsylvania Public School Building Authority Lease | ||||
Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 2,617 | 2,845 |
Pennsylvania Turnpike Commission Revenue | 6.105% | 12/1/39 | 400 | 531 |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 1,450 | 1,789 |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 1,475 | 1,846 |
Philadelphia PA Industrial Development Authority City | ||||
Service Agreement Revenue | 3.964% | 4/15/26 | 2,285 | 2,301 |
Phoenix AZ GO | 5.269% | 7/1/34 | 5 | 6 |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 2,550 | 3,291 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 11,575 | 14,299 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 4,955 | 6,121 |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 6,300 | 7,187 |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 4,625 | 5,059 |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 1,200 | 1,370 |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 21,400 | 22,584 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 4.875% | 10/15/40 | 7,750 | 9,406 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 3,725 | 4,939 |
Regional Transportation District of Colorado Sales Tax | ||||
Revenue | 5.844% | 11/1/50 | 3,500 | 4,867 |
103
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
December 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 3,225 | 4,086 |
Salt River Project Arizona Agricultural Improvement & | ||||
Power District Revenue | 4.839% | 1/1/41 | 1,900 | 2,256 |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 4,335 | 5,796 |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 2,725 | 3,549 |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 6,250 | 8,307 |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 5,500 | 6,082 |
San Diego County CA Regional Airport Authority | ||||
Revenue | 5.594% | 7/1/43 | 3,350 | 3,792 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 2,075 | 2,837 |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 2,320 | 3,151 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.000% | 11/1/40 | 4,950 | 6,480 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.950% | 11/1/50 | 5,000 | 7,406 |
Santa Clara Valley CA Transportation Authority Sales | ||||
Tax Revenue | 5.876% | 4/1/32 | 8,800 | 10,681 |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 8,300 | 11,442 |
Stanford University California GO | 4.250% | 5/1/16 | 2,250 | 2,349 |
Stanford University California GO | 4.750% | 5/1/19 | 20 | 22 |
Texas GO | 5.517% | 4/1/39 | 4,815 | 6,341 |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 2,100 | 2,448 |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 5,035 | 6,041 |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 7,950 | 9,083 |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 2,750 | 3,227 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 8,425 | 9,168 |
University of California Regents Medical Center | ||||
Revenue | 6.548% | 5/15/48 | 4,250 | 5,841 |
University of California Regents Medical Center | ||||
Revenue | 6.583% | 5/15/49 | 2,575 | 3,544 |
University of California Revenue | 1.796% | 7/1/19 | 8,165 | 8,080 |
University of California Revenue | 6.270% | 5/15/31 | 500 | 570 |
University of California Revenue | 5.770% | 5/15/43 | 1,220 | 1,565 |
University of California Revenue | 4.765% | 5/15/44 | 5,350 | 5,741 |
University of California Revenue | 5.946% | 5/15/45 | 13,100 | 16,753 |
University of California Revenue | 4.858% | 5/15/12 | 18,000 | 19,090 |
University of Massachusetts Building Authority | ||||
Revenue | 5.450% | 11/1/40 | 1,700 | 2,053 |
University of North Carolina at Chapel Hill Revenue | 3.847% | 12/1/34 | 3,000 | 3,167 |
University of Southern California GO | 5.250% | 10/1/11 | 3,900 | 5,275 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.262% | 7/1/39 | 1,650 | 2,061 |
University of Texas System Revenue Financing System | ||||
Revenue | 6.276% | 8/15/41 | 1,525 | 1,750 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.134% | 8/15/42 | 100 | 123 |
University of Texas System Revenue Financing System | ||||
Revenue | 4.794% | 8/15/46 | 1,310 | 1,552 |
University of Virginia Revenue | 6.200% | 9/1/39 | 3,000 | 4,280 |
Utah GO | 4.554% | 7/1/24 | 2,525 | 2,839 |
Utah GO | 3.539% | 7/1/25 | 6,310 | 6,649 |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 3,330 | 4,418 |
Washington Convention Center Public Facilities District | ||||
Revenue | 6.790% | 7/1/40 | 400 | 502 |
Washington GO | 5.090% | 8/1/33 | 9,025 | 10,534 |
Washington GO | 5.481% | 8/1/39 | 870 | 1,090 |
Washington GO | 5.140% | 8/1/40 | 6,035 | 7,363 |
13 Wisconsin GO | 5.700% | 5/1/26 | 2,800 | 3,315 |
Total Taxable Municipal Bonds (Cost $1,177,386) | 1,383,580 |
104
Vanguard® Total Bond Market Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (4.7%) | |||
Money Market Fund (4.7%) | |||
16 Vanguard Market Liquidity Fund (Cost | |||
$6,400,778) | 0.126% | 6,400,778,392 | 6,400,778 |
Total Investments (104.0%) (Cost $137,779,492) | 142,165,364 | ||
Other Assets and Liabilities—Net (-4.0%) | (5,492,703) | ||
Net Assets (100%) | 136,672,661 |
1 Securities with a value of $148,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 U.S. government guaranteed.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2014.
7 Adjustable-rate security.
8 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate value of these securities was $524,974,000, representing 0.4% of net assets.
9 Guaranteed by the Government of Canada.
10 Guaranteed by the Government of Japan.
11 Guaranteed by the Federal Republic of Germany.
12 Guaranteed by the Republic of Austria.
13 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
16 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
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105
© 2015 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA840 022015
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund:
In our opinion, the accompanying statements of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (the "Funds") at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedules of investments (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 10, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Total Bond Market Index Fund:
In our opinion, the accompanying statement of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Total Bond Market Index Fund (the "Fund") at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 10, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: February 18, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: February 18, 2015 | |
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: February 18, 2015 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number
2-17620, Incorporated by Reference.