Vanguard® Ultra-Short Bond ETF
Schedule of Investments (unaudited)
As of September 30, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Asset-Backed/Commercial Mortgage-Backed Securities (14.6%) | ||||||
1 | Ally Auto Receivables Trust Class A3 Series 2019-3 | 1.930% | 5/15/24 | 514 | 519 | |
1,2 | American Credit Acceptance Receivables Trust Class A Series 2021-2 | 0.370% | 10/15/24 | 3,426 | 3,428 | |
1,2 | American Credit Acceptance Receivables Trust Class B Series 2021-2 | 0.680% | 5/13/25 | 2,500 | 2,505 | |
1 | American Express Credit Account Master Trust Class B Series 2019-2 | 2.860% | 11/15/24 | 1,000 | 1,013 | |
1 | Americredit Automobile Receivables Trust Class A2 Series 2021-2 | 0.260% | 11/18/24 | 5,000 | 5,006 | |
1 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 3,000 | 2,994 | |
1 | AmeriCredit Automobile Receivables Trust Class C Series 2018-1 | 3.500% | 1/18/24 | 2,580 | 2,613 | |
1 | Americredit Automobile Receivables Trust Class C Series 2018-2 | 3.590% | 6/18/24 | 3,000 | 3,062 | |
1,2 | ARI Fleet Lease Trust Class A2 Series 2021-A | 0.370% | 3/15/30 | 6,000 | 5,998 | |
1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A | 3.070% | 9/20/23 | 1,480 | 1,510 | |
1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A | 2.970% | 3/20/24 | 3,500 | 3,607 | |
1 | BMW Vehicle Owner Trust Class A3 Series 2020-A | 0.480% | 10/25/24 | 225 | 226 | |
1,2 | Canadian Pacer Auto Receivables Trust Class A2A Series 2021-1A | 0.240% | 10/19/23 | 680 | 680 | |
1 | CarMax Auto Owner Trust Class A2A Series 2021-2 | 0.270% | 6/17/24 | 5,000 | 5,002 | |
1 | CarMax Auto Owner Trust Class A2A Series 2021-3 | 0.290% | 9/16/24 | 7,050 | 7,051 | |
1 | CarMax Auto Owner Trust Class A2A Series 2021-4 | 0.240% | 11/15/24 | 1,910 | 1,910 | |
1 | Carvana Auto Receivables Trust Class A2 Series 2021-P3 | 0.380% | 1/10/25 | 1,420 | 1,419 | |
1 | CNH Equipment Trust Class A3 Series 2020-A | 1.160% | 6/16/25 | 350 | 353 | |
1,2 | Dell Equipment Finance Trust Class A2 Series 2021-2 | 0.330% | 12/22/26 | 1,310 | 1,309 | |
1,2 | DLL LLC Class A4 Series 2019-MT3 | 2.150% | 9/21/26 | 2,060 | 2,093 | |
1,2 | DLLAA LLC Class A2 Series 2021-1A | 0.360% | 5/17/24 | 5,000 | 5,001 | |
1,2 | DLLAD LLC Class A2 Series 2021-1A | 0.350% | 9/20/24 | 5,000 | 5,000 | |
1,2 | Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2 | 0.560% | 12/11/34 | 2,000 | 2,002 | |
1 | Drive Auto Receivables Trust Class A2 Series 2021-2 | 0.360% | 5/15/24 | 730 | 730 | |
1 | Drive Auto Receivables Trust Class A3 Series 2021-1 | 0.440% | 11/15/24 | 5,000 | 5,006 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
1 | Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.350% | 3/17/25 | 1,740 | 1,740 | |
1 | Drive Auto Receivables Trust Class B Series 2021-1 | 0.650% | 7/15/25 | 2,500 | 2,507 | |
1 | Drive Auto Receivables Trust Class C Series 2019-4 | 2.510% | 11/17/25 | 2,550 | 2,573 | |
1 | Drive Auto Receivables Trust Class D Series 2019-1 | 4.090% | 6/15/26 | 300 | 310 | |
1,2 | DT Auto Owner Trust Class A Series 2021-1A | 0.350% | 1/15/25 | 227 | 227 | |
1,2 | DT Auto Owner Trust Class A Series 2021-2A | 0.410% | 3/17/25 | 3,680 | 3,683 | |
1,2 | DT Auto Owner Trust Class A Series 2021-3A | 0.330% | 4/15/25 | 1,698 | 1,698 | |
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2019-3 | 2.060% | 5/20/25 | 568 | 574 | |
1,2 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 5,000 | 4,988 | |
1 | Exeter Automobile Receivables Trust Class A2 Series 2021-3A | 0.340% | 1/16/24 | 840 | 840 | |
1 | Exeter Automobile Receivables Trust Class A3 Series 2021-2A | 0.300% | 10/15/24 | 7,000 | 7,002 | |
1 | Exeter Automobile Receivables Trust Class A3 Series 2021-3A | 0.350% | 2/18/25 | 1,120 | 1,120 | |
1,2 | Flagship Credit Auto Trust Class A Series 2021-2 | 0.370% | 12/15/26 | 4,031 | 4,033 | |
1,2 | Flagship Credit Auto Trust Class A Series 2021-3 | 0.360% | 7/15/27 | 2,226 | 2,226 | |
1 | Ford Credit Auto Lease Trust Class A2 Series 2021-B | 0.240% | 4/15/24 | 5,730 | 5,726 | |
1 | Ford Credit Auto Lease Trust Class A3 Series 2020-B | 0.620% | 8/15/23 | 300 | 301 | |
1 | Ford Credit Auto Lease Trust Class A3 Series 2021-B | 0.370% | 10/15/24 | 3,780 | 3,776 | |
1,2 | Ford Credit Auto Owner Trust Class A Series 2017-2 | 2.360% | 3/15/29 | 5,000 | 5,100 | |
1 | Ford Credit Auto Owner Trust Class A4 Series 2019-A | 2.850% | 8/15/24 | 1,120 | 1,149 | |
1 | Ford Credit Floorplan Master Owner Trust Class A Series 2017-3 | 2.480% | 9/15/24 | 5,000 | 5,104 | |
1 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3 | 2.230% | 9/15/24 | 1,820 | 1,853 | |
1,2,3,4 | Freddie Mac STACR REMIC Trust Class M1 Series 2021-DNA5, SOFR + 0.650% | 0.700% | 1/25/34 | 681 | 681 | |
1,2 | GLS Auto Receivables Issuer Trust Class A Series 2021-3A | 0.420% | 1/15/25 | 1,350 | 1,350 | |
1,2 | GLS Auto Receivables Trust Class A Series 2021-2A | 0.310% | 11/15/24 | 8,169 | 8,167 | |
1 | GM Financial Automobile Leasing Trust Class D Series 2020-1 | 2.280% | 6/20/24 | 150 | 152 | |
1 | GM Financial Consumer Automobile Receivables Trust Class A4 Series 2018-3 | 3.160% | 1/16/24 | 2,500 | 2,541 | |
1,2 | GMF Floorplan Owner Revolving Trust Class A Series 2019-1 | 2.700% | 4/15/24 | 505 | 512 | |
1,4 | GS Mortgage Securities Trust Class B Series 2013-GC12 | 3.777% | 6/10/46 | 350 | 363 | |
1 | Honda Auto Receivables Owner Trust Class A3 Series 2019-4 | 1.830% | 1/18/24 | 1,727 | 1,743 | |
1,2 | HPEFS Equipment Trust Class A2 Series 2021-2A | 0.300% | 9/20/28 | 4,500 | 4,502 | |
1,2 | HPEFS Equipment Trust Class A3 Series 2021-2A | 0.360% | 9/20/28 | 2,500 | 2,496 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A2 Series 2021-C | 0.240% | 1/16/24 | 3,190 | 3,189 | |
1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B | 0.330% | 6/17/24 | 1,500 | 1,498 | |
1 | Hyundai Auto Receivables Trust Class A2 Series 2021-B | 0.240% | 5/15/24 | 7,380 | 7,383 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
1,2 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-2 | 0.889% | 12/26/28 | 6,000 | 5,998 | |
1 | Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B | 0.400% | 11/15/24 | 5,000 | 5,000 | |
1 | Nissan Auto Lease Trust Class A4 Series 2020-A | 1.880% | 4/15/25 | 6,160 | 6,223 | |
1 | Santander Drive Auto Receivables Trust Class A2 Series 2021-2 | 0.280% | 4/15/24 | 8,454 | 8,456 | |
1 | Santander Drive Auto Receivables Trust Class A3 Series 2021-2 | 0.340% | 2/18/25 | 10,000 | 10,004 | |
1 | Santander Drive Auto Receivables Trust Class B Series 2021-2 | 0.590% | 9/15/25 | 6,000 | 6,005 | |
1 | Santander Drive Auto Receivables Trust Class D Series 2018-3 | 4.070% | 8/15/24 | 1,193 | 1,213 | |
1 | Santander Drive Auto Receivables Trust Class D Series 2018-5 | 4.190% | 12/16/24 | 1,004 | 1,019 | |
1,2 | Santander Retail Auto Lease Trust Class A2 Series 2021-B | 0.310% | 1/22/24 | 5,000 | 4,998 | |
1,2 | Santander Retail Auto Lease Trust Class A2 Series 2021-C | 0.290% | 4/22/24 | 1,370 | 1,367 | |
1,2 | Santander Retail Auto Lease Trust Class A3 Series 2021-B | 0.510% | 8/20/24 | 3,000 | 2,998 | |
1,2 | Santander Retail Auto Lease Trust Class A3 Series 2021-C | 0.500% | 3/20/25 | 610 | 610 | |
1,2 | Santander Retail Auto Lease Trust Class A4 Series 2019-A | 2.820% | 5/22/23 | 1,215 | 1,218 | |
1,2 | Santander Retail Auto Lease Trust Class A4 Series 2020-A | 1.760% | 3/20/24 | 1,000 | 1,016 | |
1,2 | Tesla Auto Lease Trust Class A3 Series 2020-A | 0.680% | 12/20/23 | 8,140 | 8,176 | |
1,2 | Tesla Auto Lease Trust Class A3 Series 2021-B | 0.360% | 9/22/25 | 2,040 | 2,041 | |
1 | Toyota Auto Receivables Owner Trust Class A4 Series 2018-B | 3.110% | 11/15/23 | 280 | 283 | |
1,2 | Toyota Lease Owner Trust Class A2 Series 2021-A | 0.270% | 9/20/23 | 4,895 | 4,897 | |
1,2 | Toyota Lease Owner Trust Class A3 Series 2021-B | 0.420% | 10/21/24 | 1,800 | 1,800 | |
1,2 | Transportation Finance Equipment Trust Class A3 Series 2019-1 | 1.850% | 4/24/23 | 2,386 | 2,404 | |
1 | Verizon Owner Trust Class B Series 2018-A | 3.380% | 4/20/23 | 590 | 596 | |
1 | Verizon Owner Trust Class C Series 2018-A | 3.550% | 4/20/23 | 3,000 | 3,031 | |
1 | Verizon Owner Trust Class C Series 2019-C | 2.160% | 4/22/24 | 3,000 | 3,071 | |
1,2 | Westlake Automobile Receivables Trust Class A2A Series 2021-1A | 0.390% | 10/15/24 | 1,118 | 1,119 | |
1,2 | Westlake Automobile Receivables Trust Class A2A Series 2021-2A | 0.320% | 4/15/25 | 5,000 | 5,001 | |
1 | World Omni Auto Receivables Trust Class A3 Series 2020-A | 1.700% | 1/17/23 | 3,800 | 3,840 | |
1 | World Omni Select Auto Trust Class A2 Series 2021-A | 0.290% | 2/18/25 | 2,050 | 2,050 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $255,867) | 255,578 | |||||
Corporate Bonds (78.2%) | ||||||
Communications (2.4%) | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 2,577 | 2,631 | ||
AT&T Inc. | 3.000% | 6/30/22 | 560 | 568 | ||
AT&T Inc. | 0.900% | 3/25/24 | 199 | 199 | ||
British Telecommunications plc | 4.500% | 12/4/23 | 630 | 680 | ||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.464% | 7/23/22 | 3,070 | 3,148 | ||
2 | Deutsche Telekom International Finance BV | 2.485% | 9/19/23 | 150 | 155 | |
Discovery Communications LLC | 2.950% | 3/20/23 | 2,435 | 2,519 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Interpublic Group of Cos. Inc. | 3.750% | 10/1/21 | 1,040 | 1,040 | ||
2 | NTT Finance Corp. | 0.373% | 3/3/23 | 7,810 | 7,816 | |
2 | Sky Ltd. | 3.125% | 11/26/22 | 10,200 | 10,519 | |
TWDC Enterprises 18 Corp. | 2.550% | 2/15/22 | 2,106 | 2,124 | ||
TWDC Enterprises 18 Corp. | 2.450% | 3/4/22 | 1,849 | 1,866 | ||
TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 861 | 881 | ||
2,5 | Verizon Communications Inc. | 3.500% | 2/17/23 | 1,570 | 1,180 | |
Vodafone Group plc | 2.500% | 9/26/22 | 727 | 742 | ||
2,5 | Vodafone Group plc | 3.250% | 12/13/22 | 470 | 351 | |
Walt Disney Co. | 1.650% | 9/1/22 | 985 | 998 | ||
Walt Disney Co. | 3.000% | 9/15/22 | 4,580 | 4,700 | ||
42,117 | ||||||
Consumer Discretionary (7.5%) | ||||||
Amazon.com Inc. | 2.500% | 11/29/22 | 1,100 | 1,122 | ||
American Honda Finance Corp. | 1.950% | 5/20/22 | 4,201 | 4,247 | ||
American Honda Finance Corp. | 2.200% | 6/27/22 | 1,975 | 2,004 | ||
American Honda Finance Corp. | 0.400% | 10/21/22 | 50 | 50 | ||
American Honda Finance Corp. | 2.600% | 11/16/22 | 385 | 394 | ||
American Honda Finance Corp. | 1.950% | 5/10/23 | 1,715 | 1,757 | ||
American Honda Finance Corp. | 0.875% | 7/7/23 | 2,000 | 2,017 | ||
American Honda Finance Corp. | 3.450% | 7/14/23 | 1,453 | 1,530 | ||
American Honda Finance Corp. | 0.650% | 9/8/23 | 3,500 | 3,514 | ||
AutoZone Inc. | 3.700% | 4/15/22 | 70 | 71 | ||
AutoZone Inc. | 3.125% | 7/15/23 | 2,146 | 2,236 | ||
2 | BMW Finance NV | 2.250% | 8/12/22 | 4,012 | 4,082 | |
2 | BMW U.S. Capital LLC | 2.700% | 4/6/22 | 1,000 | 1,010 | |
2 | BMW U.S. Capital LLC | 2.950% | 4/14/22 | 2,823 | 2,864 | |
2 | BMW U.S. Capital LLC | 3.450% | 4/12/23 | 5,980 | 6,242 | |
2 | BMW U.S. Capital LLC | 2.250% | 9/15/23 | 2,455 | 2,533 | |
2 | Daimler Finance North America LLC | 2.850% | 1/6/22 | 3,640 | 3,664 | |
2 | Daimler Finance North America LLC | 3.400% | 2/22/22 | 1,400 | 1,417 | |
2 | Daimler Finance North America LLC | 2.550% | 8/15/22 | 2,428 | 2,475 | |
2 | Daimler Finance North America LLC | 3.350% | 2/22/23 | 395 | 410 | |
2 | Daimler Finance North America LLC | 1.750% | 3/10/23 | 4,000 | 4,072 | |
eBay Inc. | 2.600% | 7/15/22 | 3,331 | 3,372 | ||
2 | ERAC USA Finance LLC | 3.300% | 10/15/22 | 1,631 | 1,679 | |
2 | ERAC USA Finance LLC | 2.700% | 11/1/23 | 5,018 | 5,215 | |
General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 630 | 634 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 1,301 | 1,315 | ||
General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 4,522 | 4,606 | ||
General Motors Financial Co. Inc. | 3.550% | 7/8/22 | 1,205 | 1,233 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 500 | 516 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 500 | 522 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 900 | 982 | ||
2 | Harley-Davidson Financial Services Inc. | 4.050% | 2/4/22 | 418 | 423 | |
2 | Harley-Davidson Financial Services Inc. | 2.550% | 6/9/22 | 1,009 | 1,020 | |
Home Depot Inc. | 2.625% | 6/1/22 | 239 | 242 | ||
Lennar Corp. | 4.125% | 1/15/22 | 2,000 | 2,003 | ||
Lennar Corp. | 4.750% | 11/15/22 | 2,500 | 2,590 | ||
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 200 | 202 | ||
Marriott International Inc. | 2.300% | 1/15/22 | 520 | 522 | ||
Marriott International Inc. | 3.250% | 9/15/22 | 121 | 123 | ||
Marriott International Inc. | 2.125% | 10/3/22 | 451 | 456 | ||
2 | Nissan Motor Acceptance Co. LLC | 2.800% | 1/13/22 | 192 | 193 | |
2 | Nissan Motor Acceptance Co. LLC | 2.650% | 7/13/22 | 1,386 | 1,407 | |
2 | Nissan Motor Acceptance Co. LLC | 2.600% | 9/28/22 | 996 | 1,014 | |
2 | Nissan Motor Acceptance Co. LLC | 3.450% | 3/15/23 | 1,062 | 1,100 | |
2 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 5,337 | 5,550 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Ralph Lauren Corp. | 1.700% | 6/15/22 | 17,307 | 17,479 | ||
Starbucks Corp. | 2.700% | 6/15/22 | 1,820 | 1,844 | ||
Toyota Motor Corp. | 0.681% | 3/25/24 | 2,000 | 2,003 | ||
Toyota Motor Credit Corp. | 2.600% | 1/11/22 | 1,500 | 1,510 | ||
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 610 | 615 | ||
Toyota Motor Credit Corp. | 2.650% | 4/12/22 | 2,447 | 2,478 | ||
Toyota Motor Credit Corp. | 1.150% | 5/26/22 | 473 | 476 | ||
Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 4,755 | 4,850 | ||
Toyota Motor Credit Corp. | 2.150% | 9/8/22 | 3,131 | 3,188 | ||
5 | Volkswagen Financial Services Australia Pty Ltd. | 3.300% | 2/28/22 | 130 | 95 | |
5 | Volkswagen Financial Services Australia Pty Ltd. | 3.500% | 9/14/22 | 330 | 245 | |
5 | Volkswagen Financial Services Australia Pty Ltd. | 3.100% | 4/17/23 | 1,230 | 920 | |
4,5 | Volkswagen Financial Services Australia Pty Ltd., 3M Australian Bank Bill Rate + 1.300% | 1.311% | 9/14/22 | 650 | 472 | |
2 | Volkswagen Group of America Finance LLC | 4.000% | 11/12/21 | 665 | 668 | |
2 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 5,385 | 5,508 | |
2 | Volkswagen Group of America Finance LLC | 0.750% | 11/23/22 | 154 | 154 | |
2 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 2,250 | 2,338 | |
2 | Volkswagen Group of America Finance LLC | 0.875% | 11/22/23 | 1,250 | 1,256 | |
130,729 | ||||||
Consumer Staples (4.6%) | ||||||
2 | 7-Eleven Inc. | 0.625% | 2/10/23 | 8,500 | 8,502 | |
4,5 | Anheuser-Busch InBev Worldwide Inc., 3M Australian Bank Bill Rate + 0.970% | 0.982% | 9/6/22 | 860 | 625 | |
BAT Capital Corp. | 2.764% | 8/15/22 | 171 | 174 | ||
2 | BAT International Finance plc | 3.250% | 6/7/22 | 100 | 102 | |
Campbell Soup Co. | 2.500% | 8/2/22 | 1,329 | 1,353 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 180 | 188 | ||
Church & Dwight Co. Inc. | 2.450% | 8/1/22 | 1,500 | 1,523 | ||
2 | Coca-Cola Europacific Partners plc | 0.500% | 5/5/23 | 1,500 | 1,498 | |
Conagra Brands Inc. | 3.250% | 9/15/22 | 1,134 | 1,163 | ||
Constellation Brands Inc. | 3.200% | 2/15/23 | 4,000 | 4,141 | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 1,710 | 1,737 | ||
Diageo Investment Corp. | 8.000% | 9/15/22 | 201 | 216 | ||
General Mills Inc. | 2.600% | 10/12/22 | 8,115 | 8,286 | ||
Hormel Foods Corp. | 0.650% | 6/3/24 | 5,000 | 5,004 | ||
Keurig Dr Pepper Inc. | 4.057% | 5/25/23 | 1,000 | 1,057 | ||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 20 | 20 | ||
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 488 | 492 | ||
Kroger Co. | 3.400% | 4/15/22 | 2,393 | 2,414 | ||
Kroger Co. | 2.800% | 8/1/22 | 1,473 | 1,501 | ||
McCormick & Co. Inc. | 2.700% | 8/15/22 | 2,943 | 2,998 | ||
Molson Coors Beverage Co. | 3.500% | 5/1/22 | 308 | 314 | ||
2 | Mondelez International Holdings Netherlands BV | 2.125% | 9/19/22 | 5,094 | 5,185 | |
Mondelez International Inc. | 0.625% | 7/1/22 | 1,225 | 1,228 | ||
PepsiCo Inc. | 3.100% | 7/17/22 | 2,200 | 2,239 | ||
Philip Morris International Inc. | 2.900% | 11/15/21 | 561 | 563 | ||
Philip Morris International Inc. | 2.375% | 8/17/22 | 1,334 | 1,357 | ||
Philip Morris International Inc. | 2.500% | 8/22/22 | 688 | 702 | ||
Philip Morris International Inc. | 2.500% | 11/2/22 | 2,924 | 2,988 | ||
Procter & Gamble Co. | 2.150% | 8/11/22 | 1,583 | 1,610 | ||
2 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 11,309 | 11,465 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 2,220 | 2,404 | ||
Sysco Corp. | 2.600% | 6/12/22 | 7,462 | 7,579 | ||
Tyson Foods Inc. | 4.500% | 6/15/22 | 110 | 112 | ||
80,740 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Energy (5.7%) | ||||||
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. | 2.773% | 12/15/22 | 8,680 | 8,916 | ||
BP Capital Markets America Inc. | 2.937% | 4/6/23 | 1,000 | 1,038 | ||
BP Capital Markets America Inc. | 2.750% | 5/10/23 | 3,605 | 3,741 | ||
BP Capital Markets plc | 2.500% | 11/6/22 | 907 | 929 | ||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 3,185 | 3,278 | ||
Chevron Corp. | 2.411% | 3/3/22 | 263 | 264 | ||
Chevron Corp. | 2.355% | 12/5/22 | 952 | 970 | ||
Chevron USA Inc. | 0.333% | 8/12/22 | 2,041 | 2,044 | ||
ConocoPhillips Co. | 2.400% | 12/15/22 | 9,000 | 9,171 | ||
Diamondback Energy Inc. | 0.900% | 3/24/23 | 70 | 70 | ||
Ecopetrol SA | 5.875% | 9/18/23 | 522 | 562 | ||
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 976 | 998 | ||
Empresa Nacional del Petroleo | 4.750% | 12/6/21 | 2,095 | 2,109 | ||
Enbridge Inc. | 2.900% | 7/15/22 | 1,592 | 1,620 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 5,250 | 5,557 | ||
Enbridge Inc. | 0.550% | 10/4/23 | 800 | 801 | ||
Energy Transfer LP | 4.650% | 2/15/22 | 1,380 | 1,401 | ||
Energy Transfer LP | 3.450% | 1/15/23 | 82 | 84 | ||
Energy Transfer LP | 3.600% | 2/1/23 | 200 | 206 | ||
Energy Transfer LP | 4.250% | 3/15/23 | 4,500 | 4,690 | ||
Energy Transfer LP / Regency Energy Finance Corp. | 5.000% | 10/1/22 | 2,375 | 2,451 | ||
Enterprise Products Operating LLC | 3.500% | 2/1/22 | 1,100 | 1,112 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 4,000 | 4,109 | ||
Exxon Mobil Corp. | 2.397% | 3/6/22 | 75 | 75 | ||
Exxon Mobil Corp. | 1.902% | 8/16/22 | 344 | 349 | ||
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 433 | 440 | ||
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 354 | 363 | ||
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 3,396 | 3,560 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 610 | 630 | ||
2 | Kinder Morgan Inc. | 5.625% | 11/15/23 | 1,770 | 1,928 | |
Marathon Petroleum Corp. | 4.500% | 5/1/23 | 3,000 | 3,171 | ||
ONEOK Partners LP | 3.375% | 10/1/22 | 2,390 | 2,440 | ||
Pertamina Persero PT | 4.875% | 5/3/22 | 200 | 205 | ||
Phillips 66 | 4.300% | 4/1/22 | 3,000 | 3,058 | ||
Phillips 66 | 0.900% | 2/15/24 | 1,975 | 1,975 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 5,000 | 5,004 | ||
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 1,000 | 1,013 | ||
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 725 | 733 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 2,000 | 2,125 | ||
2 | Schlumberger Finance Canada Ltd. | 2.650% | 11/20/22 | 2,060 | 2,108 | |
2 | Schlumberger Investment SA | 2.400% | 8/1/22 | 7,684 | 7,779 | |
Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 543 | 554 | ||
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 410 | 439 | ||
Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 200 | 203 | ||
Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 1,353 | 1,376 | ||
2 | Southern Natural Gas Co. LLC | 0.625% | 4/28/23 | 1,500 | 1,500 | |
Thai Oil PCL | 3.625% | 1/23/23 | 100 | 103 | ||
Thaioil Treasury Center Co. Ltd. | 3.625% | 1/23/23 | 200 | 206 | ||
Williams Cos. Inc. | 3.600% | 3/15/22 | 755 | 762 | ||
Williams Cos. Inc. | 3.350% | 8/15/22 | 125 | 127 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 1,270 | 1,312 | ||
99,659 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Financials (32.6%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.950% | 2/1/22 | 574 | 579 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.500% | 5/26/22 | 3,151 | 3,204 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 7/1/22 | 100 | 103 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.125% | 7/3/23 | 2,925 | 3,081 | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 4,500 | 4,795 | ||
2 | AIG Global Funding | 2.300% | 7/1/22 | 2,891 | 2,937 | |
2 | AIG Global Funding | 0.400% | 9/13/23 | 3,000 | 2,992 | |
2 | AIG Global Funding | 0.450% | 12/8/23 | 5,500 | 5,501 | |
Air Lease Corp. | 3.750% | 2/1/22 | 1,778 | 1,787 | ||
Air Lease Corp. | 2.625% | 7/1/22 | 1,513 | 1,535 | ||
Air Lease Corp. | 3.875% | 7/3/23 | 1,000 | 1,053 | ||
Air Lease Corp. | 3.000% | 9/15/23 | 2,000 | 2,079 | ||
Allstate Corp. | 3.150% | 6/15/23 | 4,573 | 4,788 | ||
Ally Financial Inc. | 4.125% | 2/13/22 | 1,825 | 1,849 | ||
Ally Financial Inc. | 4.625% | 5/19/22 | 1,235 | 1,267 | ||
Ally Financial Inc. | 3.050% | 6/5/23 | 1,000 | 1,038 | ||
American Express Co. | 2.750% | 5/20/22 | 2,531 | 2,566 | ||
American Express Co. | 2.500% | 8/1/22 | 3,352 | 3,410 | ||
American Express Co. | 3.700% | 8/3/23 | 8,000 | 8,463 | ||
American Express Credit Corp. | 2.700% | 3/3/22 | 798 | 805 | ||
Ameriprise Financial Inc. | 3.000% | 3/22/22 | 3,528 | 3,574 | ||
2 | ANZ New Zealand International Ltd. | 2.875% | 1/25/22 | 200 | 202 | |
2 | ANZ New Zealand International Ltd. | 1.900% | 2/13/23 | 2,191 | 2,238 | |
Aon Corp. | 2.200% | 11/15/22 | 1,140 | 1,163 | ||
Aon plc | 4.000% | 11/27/23 | 1,320 | 1,405 | ||
Ares Capital Corp. | 3.625% | 1/19/22 | 535 | 538 | ||
Ares Capital Corp. | 3.500% | 2/10/23 | 716 | 740 | ||
2 | Athene Global Funding | 4.000% | 1/25/22 | 825 | 835 | |
2 | Athene Global Funding | 3.000% | 7/1/22 | 7,400 | 7,545 | |
2 | Athene Global Funding | 2.800% | 5/26/23 | 1,355 | 1,406 | |
2 | Athene Global Funding | 1.200% | 10/13/23 | 3,101 | 3,139 | |
Banco Santander SA | 3.500% | 4/11/22 | 3,744 | 3,805 | ||
Banco Santander SA | 3.125% | 2/23/23 | 2,025 | 2,097 | ||
Banco Santander SA | 0.701% | 6/30/24 | 3,500 | 3,507 | ||
4,5 | Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% | 1.675% | 1/19/23 | 200 | 146 | |
Bank of America Corp. | 5.700% | 1/24/22 | 101 | 103 | ||
Bank of America Corp. | 2.503% | 10/21/22 | 2,000 | 2,002 | ||
Bank of America Corp. | 3.124% | 1/20/23 | 7,465 | 7,527 | ||
Bank of America Corp. | 2.881% | 4/24/23 | 4,551 | 4,614 | ||
Bank of America Corp. | 2.816% | 7/21/23 | 2,178 | 2,220 | ||
Bank of America Corp. | 3.004% | 12/20/23 | 2,677 | 2,758 | ||
Bank of America Corp. | 0.523% | 6/14/24 | 500 | 500 | ||
Bank of Montreal | 2.050% | 11/1/22 | 411 | 419 | ||
Bank of Montreal | 0.400% | 9/15/23 | 15,000 | 15,016 | ||
Bank of Nova Scotia | 2.700% | 3/7/22 | 1,308 | 1,322 | ||
Bank of Nova Scotia | 2.000% | 11/15/22 | 2,195 | 2,237 | ||
Bank of Nova Scotia | 2.375% | 1/18/23 | 300 | 308 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 4,640 | 4,735 | ||
Bank of Nova Scotia | 0.400% | 9/15/23 | 5,000 | 4,998 | ||
2 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 879 | 896 | |
2 | Banque Federative du Credit Mutuel SA | 2.125% | 11/21/22 | 12,536 | 12,790 | |
Barclays Bank plc | 1.700% | 5/12/22 | 310 | 313 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Barclays plc | 4.610% | 2/15/23 | 625 | 635 | ||
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 1,278 | 1,300 | ||
2 | BNP Paribas SA | 2.950% | 5/23/22 | 3,434 | 3,494 | |
2 | BNP Paribas SA | 3.500% | 3/1/23 | 1,000 | 1,042 | |
2 | BNZ International Funding Ltd. | 2.650% | 11/3/22 | 600 | 615 | |
2 | BNZ International Funding Ltd. | 3.375% | 3/1/23 | 687 | 716 | |
2 | BPCE SA | 3.000% | 5/22/22 | 2,000 | 2,034 | |
2 | BPCE SA | 2.750% | 1/11/23 | 1,945 | 2,005 | |
2 | BPCE SA | 5.700% | 10/22/23 | 2,300 | 2,522 | |
4,5 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 1.125% | 4/26/23 | 410 | 300 | |
2 | Brighthouse Financial Global Funding | 0.600% | 6/28/23 | 12,377 | 12,387 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 1,750 | 1,750 | ||
Canadian Imperial Bank of Commerce | 0.950% | 6/23/23 | 2,000 | 2,017 | ||
Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 2,280 | 2,321 | ||
Capital One Bank USA NA | 2.014% | 1/27/23 | 10,700 | 10,756 | ||
Charles Schwab Corp. | 3.225% | 9/1/22 | 252 | 259 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 4,790 | 4,900 | ||
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 1,855 | 1,919 | ||
Citigroup Inc. | 2.750% | 4/25/22 | 100 | 101 | ||
Citigroup Inc. | 4.050% | 7/30/22 | 2,203 | 2,269 | ||
Citigroup Inc. | 2.700% | 10/27/22 | 466 | 477 | ||
6 | Citigroup Inc. | 2.312% | 11/4/22 | 5,485 | 5,494 | |
Citigroup Inc. | 3.142% | 1/24/23 | 1,486 | 1,498 | ||
Citigroup Inc. | 2.876% | 7/24/23 | 7,818 | 7,970 | ||
2 | Citizens Financial Group Inc. | 4.150% | 9/28/22 | 396 | 408 | |
CME Group Inc. | 3.000% | 9/15/22 | 694 | 712 | ||
2 | Commonwealth Bank of Australia | 2.500% | 9/18/22 | 108 | 110 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 225 | 234 | ||
2 | Credit Agricole SA | 3.375% | 1/10/22 | 950 | 958 | |
2 | Credit Agricole SA | 3.750% | 4/24/23 | 3,749 | 3,940 | |
Credit Suisse AG | 1.000% | 5/5/23 | 14,000 | 14,124 | ||
2 | Daiwa Securities Group Inc. | 3.129% | 4/19/22 | 1,426 | 1,446 | |
2 | Danske Bank A/S | 5.000% | 1/12/22 | 455 | 461 | |
2 | Danske Bank A/S | 2.700% | 3/2/22 | 2,825 | 2,852 | |
2 | Danske Bank A/S | 5.000% | 1/12/23 | 1,050 | 1,062 | |
2 | Danske Bank A/S | 1.226% | 6/22/24 | 2,625 | 2,650 | |
Deutsche Bank AG | 5.000% | 2/14/22 | 2,126 | 2,161 | ||
Deutsche Bank AG | 3.300% | 11/16/22 | 1,600 | 1,650 | ||
Discover Bank | 3.350% | 2/6/23 | 1,000 | 1,036 | ||
Discover Financial Services | 5.200% | 4/27/22 | 570 | 585 | ||
E*TRADE Financial Corp. | 2.950% | 8/24/22 | 4,458 | 4,552 | ||
Enstar Group Ltd. | 4.500% | 3/10/22 | 2,282 | 2,311 | ||
2 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 2,939 | 2,944 | |
2 | Equitable Financial Life Global Funding | 0.500% | 11/17/23 | 5,604 | 5,603 | |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 471 | 493 | ||
First Republic Bank | 2.500% | 6/6/22 | 3,125 | 3,166 | ||
2 | Five Corners Funding Trust | 4.419% | 11/15/23 | 4,399 | 4,751 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 252 | 258 | ||
GATX Corp. | 4.750% | 6/15/22 | 162 | 167 | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 763 | 776 | ||
Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 6,340 | 6,351 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 2,236 | 2,330 | ||
Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 7,715 | 7,716 | ||
Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 35 | 36 | ||
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 2,075 | 2,077 | ||
Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 500 | 500 | ||
4,5 | Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% | 1.216% | 5/16/23 | 200 | 146 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
HSBC Holdings plc | 2.650% | 1/5/22 | 350 | 352 | ||
HSBC Holdings plc | 4.875% | 1/14/22 | 249 | 252 | ||
HSBC Holdings plc | 3.262% | 3/13/23 | 8,843 | 8,954 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 2,400 | 2,523 | ||
HSBC Holdings plc | 3.950% | 5/18/24 | 4,150 | 4,370 | ||
Infinity Property and Casualty Corp. | 5.000% | 9/19/22 | 371 | 386 | ||
2 | ING Bank NV | 5.800% | 9/25/23 | 2,000 | 2,194 | |
ING Groep NV | 3.150% | 3/29/22 | 1,300 | 1,319 | ||
Intercontinental Exchange Inc. | 2.350% | 9/15/22 | 785 | 799 | ||
Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 2,611 | 2,623 | ||
International Finance Corp. | 5.875% | 8/15/22 | 100 | 105 | ||
Invesco Finance plc | 3.125% | 11/30/22 | 1,158 | 1,194 | ||
2 | Jackson National Life Global Funding | 2.500% | 6/27/22 | 63 | 64 | |
2 | Jackson National Life Global Funding | 2.375% | 9/15/22 | 200 | 204 | |
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 3,000 | 3,023 | ||
JPMorgan Chase & Co. | 3.207% | 4/1/23 | 2,093 | 2,122 | ||
JPMorgan Chase & Co. | 2.776% | 4/25/23 | 3,088 | 3,129 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 590 | 617 | ||
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 2,500 | 2,585 | ||
JPMorgan Chase & Co. | 0.697% | 3/16/24 | 2,280 | 2,286 | ||
JPMorgan Chase & Co. | 3.559% | 4/23/24 | 97 | 102 | ||
JPMorgan Chase & Co. | 3.797% | 7/23/24 | 1,200 | 1,269 | ||
KeyBank NA | 2.400% | 6/9/22 | 850 | 863 | ||
2 | Liberty Mutual Group Inc. | 4.950% | 5/1/22 | 817 | 838 | |
2 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 526 | 558 | |
Lincoln National Corp. | 4.200% | 3/15/22 | 1,536 | 1,562 | ||
Lloyds Banking Group plc | 3.000% | 1/11/22 | 1,171 | 1,180 | ||
Lloyds Banking Group plc | 2.858% | 3/17/23 | 2,300 | 2,326 | ||
Lloyds Banking Group plc | 1.326% | 6/15/23 | 11,100 | 11,173 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 1,000 | 1,065 | ||
Lloyds Banking Group plc | 2.907% | 11/7/23 | 2,175 | 2,231 | ||
5 | Lloyds Banking Group plc | 3.900% | 11/23/23 | 180 | 139 | |
2 | Macquarie Bank Ltd. | 2.100% | 10/17/22 | 572 | 583 | |
2 | Macquarie Bank Ltd. | 0.441% | 12/16/22 | 3,625 | 3,630 | |
5 | Macquarie Group Ltd. | 3.250% | 12/15/22 | 1,100 | 799 | |
2 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 2,200 | 2,265 | |
Markel Corp. | 4.900% | 7/1/22 | 203 | 210 | ||
Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 1,395 | 1,403 | ||
2 | MassMutual Global Funding II | 2.250% | 7/1/22 | 300 | 305 | |
2 | MassMutual Global Funding II | 2.500% | 10/17/22 | 459 | 470 | |
2 | MassMutual Global Funding II | 0.480% | 8/28/23 | 2,000 | 2,004 | |
2 | Met Tower Global Funding | 0.550% | 7/13/22 | 3,099 | 3,108 | |
2 | Metropolitan Life Global Funding I | 2.650% | 4/8/22 | 150 | 152 | |
2 | Metropolitan Life Global Funding I | 2.400% | 6/17/22 | 635 | 645 | |
2 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 2,761 | 2,853 | |
2 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 6,142 | 6,268 | |
Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 1,010 | 1,021 | ||
Mitsubishi UFJ Financial Group Inc. | 3.218% | 3/7/22 | 2,610 | 2,642 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 3,295 | 3,356 | ||
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 4,960 | 5,057 | ||
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 200 | 209 | ||
2 | Mizuho Bank Ltd. | 2.950% | 10/17/22 | 10,000 | 10,280 | |
Mizuho Financial Group Inc. | 2.953% | 2/28/22 | 500 | 506 | ||
Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 1,637 | 1,673 | ||
Mizuho Financial Group Inc. | 2.721% | 7/16/23 | 705 | 718 | ||
Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 1,400 | 1,416 | ||
Morgan Stanley | 2.750% | 5/19/22 | 1,624 | 1,650 | ||
Morgan Stanley | 4.875% | 11/1/22 | 2,586 | 2,709 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Morgan Stanley | 3.125% | 1/23/23 | 2,000 | 2,071 | ||
Morgan Stanley | 0.560% | 11/10/23 | 4,168 | 4,174 | ||
Morgan Stanley | 0.529% | 1/25/24 | 1,381 | 1,382 | ||
Morgan Stanley | 0.731% | 4/5/24 | 5,050 | 5,067 | ||
MUFG Union Bank NA | 3.150% | 4/1/22 | 1,000 | 1,012 | ||
MUFG Union Bank NA | 2.100% | 12/9/22 | 300 | 306 | ||
Nasdaq Inc. | 0.445% | 12/21/22 | 800 | 800 | ||
National Australia Bank Ltd. | 2.500% | 5/22/22 | 140 | 142 | ||
2 | National Bank of Canada | 2.150% | 10/7/22 | 12,721 | 12,965 | |
National Bank of Canada | 2.100% | 2/1/23 | 260 | 266 | ||
National Bank of Canada | 0.900% | 8/15/23 | 2,500 | 2,510 | ||
2 | Nationwide Building Society | 2.000% | 1/27/23 | 300 | 307 | |
2 | Nationwide Building Society | 3.622% | 4/26/23 | 7,487 | 7,619 | |
NatWest Group plc | 3.498% | 5/15/23 | 1,585 | 1,614 | ||
2 | NatWest Markets plc | 2.375% | 5/21/23 | 2,795 | 2,882 | |
2 | New York Life Global Funding | 2.250% | 7/12/22 | 1,785 | 1,814 | |
2 | Nordea Bank Abp | 4.250% | 9/21/22 | 1,765 | 1,830 | |
2 | Nordea Bank Abp | 3.750% | 8/30/23 | 3,700 | 3,924 | |
Nordea Bank Abp | 3.750% | 8/30/23 | 5,000 | 5,303 | ||
ORIX Corp. | 2.900% | 7/18/22 | 918 | 935 | ||
PNC Bank NA | 2.450% | 7/28/22 | 300 | 305 | ||
2 | Pricoa Global Funding I | 2.450% | 9/21/22 | 936 | 957 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 2,719 | 2,795 | ||
Principal Financial Group Inc. | 3.125% | 5/15/23 | 1,906 | 1,986 | ||
2 | Protective Life Global Funding | 2.924% | 4/15/22 | 217 | 220 | |
2 | Protective Life Global Funding | 2.615% | 8/22/22 | 1,725 | 1,761 | |
2 | Protective Life Global Funding | 0.502% | 4/12/23 | 5,200 | 5,204 | |
2 | Protective Life Global Funding | 0.391% | 7/7/23 | 2,500 | 2,496 | |
2 | Protective Life Global Funding | 0.631% | 10/13/23 | 4,775 | 4,788 | |
Protective Life Global Funding | 0.631% | 10/13/23 | 300 | 301 | ||
2 | Reliance Standard Life Global Funding II | 2.625% | 7/22/22 | 5,898 | 6,009 | |
2 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 895 | 914 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 1,000 | 1,034 | ||
Skandinaviska Enskilda Banken AB | 2.800% | 3/11/22 | 661 | 668 | ||
2 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 6,000 | 6,012 | |
2 | Standard Chartered plc | 4.247% | 1/20/23 | 2,550 | 2,578 | |
2 | Standard Chartered plc | 1.319% | 10/14/23 | 3,990 | 4,016 | |
Standard Chartered plc | 1.319% | 10/14/23 | 200 | 201 | ||
State Street Corp. | 2.825% | 3/30/23 | 180 | 182 | ||
State Street Corp. | 2.653% | 5/15/23 | 275 | 279 | ||
Sumitomo Mitsui Banking Corp. | 4.850% | 3/1/22 | 1,500 | 1,526 | ||
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 1,936 | 1,981 | ||
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 2,336 | 2,380 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 3,492 | 3,583 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 6,500 | 6,728 | ||
4,5 | Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% | 1.289% | 3/29/22 | 200 | 145 | |
2 | Swedbank AB | 2.800% | 3/14/22 | 152 | 154 | |
2 | Swiss Re Treasury U.S. Corp. | 2.875% | 12/6/22 | 257 | 263 | |
Synchrony Financial | 2.850% | 7/25/22 | 445 | 453 | ||
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 1,000 | 1,009 | ||
2 | Toronto-Dominion Bank | 2.500% | 1/18/23 | 790 | 795 | |
Truist Bank | 2.800% | 5/17/22 | 980 | 994 | ||
Truist Financial Corp. | 3.950% | 3/22/22 | 3,025 | 3,068 | ||
Truist Financial Corp. | 2.750% | 4/1/22 | 209 | 211 | ||
Truist Financial Corp. | 3.050% | 6/20/22 | 500 | 509 | ||
U.S. Bancorp | 3.000% | 3/15/22 | 722 | 730 | ||
U.S. Bancorp | 2.950% | 7/15/22 | 460 | 469 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
2 | UBS Group AG | 2.650% | 2/1/22 | 1,000 | 1,008 | |
2 | UBS Group AG | 3.491% | 5/23/23 | 5,951 | 6,066 | |
2 | UBS Group AG | 2.859% | 8/15/23 | 6,594 | 6,731 | |
W R Berkley Corp. | 4.625% | 3/15/22 | 332 | 338 | ||
Wells Fargo & Co. | 3.500% | 3/8/22 | 969 | 983 | ||
Wells Fargo & Co. | 2.625% | 7/22/22 | 1,813 | 1,848 | ||
5 | Wells Fargo & Co. | 5.250% | 9/7/22 | 80 | 60 | |
Wells Fargo & Co. | 3.069% | 1/24/23 | 650 | 656 | ||
Wells Fargo & Co. | 3.450% | 2/13/23 | 6,432 | 6,698 | ||
Wells Fargo & Co. | 4.125% | 8/15/23 | 925 | 986 | ||
Wells Fargo & Co. | 1.654% | 6/2/24 | 2,000 | 2,040 | ||
5 | Westpac Banking Corp. | 4.500% | 3/11/27 | 1,550 | 1,138 | |
4,5 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% | 1.816% | 6/22/28 | 2,200 | 1,621 | |
569,416 | ||||||
Health Care (7.9%) | ||||||
AbbVie Inc. | 3.450% | 3/15/22 | 4,320 | 4,359 | ||
AbbVie Inc. | 3.250% | 10/1/22 | 2,790 | 2,851 | ||
AbbVie Inc. | 3.200% | 11/6/22 | 808 | 829 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 1,910 | 1,951 | ||
AbbVie Inc. | 2.850% | 5/14/23 | 1,500 | 1,552 | ||
Aetna Inc. | 2.750% | 11/15/22 | 3,260 | 3,327 | ||
Aetna Inc. | 2.800% | 6/15/23 | 6,828 | 7,071 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 6,932 | 6,942 | ||
Amgen Inc. | 2.700% | 5/1/22 | 2,100 | 2,121 | ||
Amgen Inc. | 2.650% | 5/11/22 | 2,255 | 2,283 | ||
Amgen Inc. | 3.625% | 5/15/22 | 2,599 | 2,631 | ||
Anthem Inc. | 3.125% | 5/15/22 | 280 | 285 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 4,000 | 4,005 | ||
AstraZeneca plc | 2.375% | 6/12/22 | 180 | 182 | ||
AstraZeneca plc | 0.300% | 5/26/23 | 2,000 | 1,999 | ||
Baxalta Inc. | 3.600% | 6/23/22 | 2,392 | 2,434 | ||
Biogen Inc. | 3.625% | 9/15/22 | 483 | 498 | ||
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 475 | 482 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 10,000 | 10,310 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 3,247 | 3,370 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 4,000 | 4,001 | ||
Cigna Corp. | 3.050% | 11/30/22 | 610 | 627 | ||
Cigna Corp. | 3.750% | 7/15/23 | 3,000 | 3,171 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 857 | 880 | ||
CVS Health Corp. | 3.500% | 7/20/22 | 125 | 128 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 110 | 112 | ||
CVS Health Corp. | 4.750% | 12/1/22 | 1,000 | 1,039 | ||
Eli Lilly & Co. | 2.350% | 5/15/22 | 885 | 897 | ||
Gilead Sciences Inc. | 3.250% | 9/1/22 | 6,255 | 6,396 | ||
GlaxoSmithKline Capital plc | 2.875% | 6/1/22 | 190 | 193 | ||
Humana Inc. | 2.900% | 12/15/22 | 4,905 | 5,044 | ||
Humana Inc. | 0.650% | 8/3/23 | 2,000 | 2,001 | ||
Illumina Inc. | 0.550% | 3/23/23 | 1,000 | 1,000 | ||
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 309 | 314 | ||
McKesson Corp. | 2.700% | 12/15/22 | 4,000 | 4,088 | ||
Merck & Co. Inc. | 2.400% | 9/15/22 | 394 | 400 | ||
2 | Mylan Inc. | 3.125% | 1/15/23 | 800 | 826 | |
Novartis Capital Corp. | 2.400% | 5/17/22 | 280 | 283 | ||
Novartis Capital Corp. | 2.400% | 9/21/22 | 86 | 88 | ||
PerkinElmer Inc. | 0.550% | 9/15/23 | 7,830 | 7,837 | ||
Royalty Pharma plc | 0.750% | 9/2/23 | 3,000 | 3,010 | ||
SSM Health Care Corp. | 3.688% | 6/1/23 | 16,000 | 16,706 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 83 | 83 | ||
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 1,000 | 1,024 | ||
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 2,811 | 2,873 | ||
Viatris Inc. | 0.477% | 10/15/21 | 1,000 | 1,000 | ||
2 | Viatris Inc. | 1.125% | 6/22/22 | 10,006 | 10,059 | |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 4,861 | 4,906 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 610 | 629 | ||
139,097 | ||||||
Industrials (3.7%) | ||||||
Boeing Co. | 2.125% | 3/1/22 | 2,080 | 2,091 | ||
Boeing Co. | 2.700% | 5/1/22 | 230 | 233 | ||
Boeing Co. | 2.200% | 10/30/22 | 309 | 313 | ||
Boeing Co. | 1.167% | 2/4/23 | 1,964 | 1,968 | ||
Boeing Co. | 4.508% | 5/1/23 | 2,585 | 2,730 | ||
Boeing Co. | 1.433% | 2/4/24 | 815 | 816 | ||
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 1,634 | 1,643 | ||
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 4,628 | 4,715 | ||
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 91 | 94 | ||
Caterpillar Financial Services Corp. | 2.950% | 2/26/22 | 211 | 213 | ||
Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 200 | 203 | ||
Caterpillar Financial Services Corp. | 2.550% | 11/29/22 | 805 | 826 | ||
Cintas Corp. No. 2 | 3.250% | 6/1/22 | 210 | 213 | ||
CNH Industrial Capital LLC | 4.375% | 4/5/22 | 4,250 | 4,332 | ||
5 | ConnectEast Finance Pty Ltd. | 4.250% | 2/25/22 | 640 | 465 | |
Deere & Co. | 2.600% | 6/8/22 | 1,641 | 1,658 | ||
General Electric Co. | 3.150% | 9/7/22 | 321 | 330 | ||
Honeywell International Inc. | 2.150% | 8/8/22 | 1,883 | 1,911 | ||
Honeywell International Inc. | 0.483% | 8/19/22 | 298 | 298 | ||
2 | Huntington Ingalls Industries Inc. | 0.670% | 8/16/23 | 3,300 | 3,300 | |
John Deere Capital Corp. | 2.950% | 4/1/22 | 340 | 345 | ||
John Deere Capital Corp. | 1.950% | 6/13/22 | 895 | 906 | ||
John Deere Capital Corp. | 2.700% | 1/6/23 | 136 | 140 | ||
Norfolk Southern Corp. | 3.000% | 4/1/22 | 380 | 383 | ||
PACCAR Financial Corp. | 2.000% | 9/26/22 | 230 | 234 | ||
2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.375% | 2/1/22 | 180 | 181 | |
2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.875% | 7/11/22 | 852 | 881 | |
5 | QPH Finance Co. Pty Ltd. | 3.750% | 6/7/23 | 50 | 37 | |
Rockwell Automation Inc. | 0.350% | 8/15/23 | 2,400 | 2,401 | ||
Ryder System Inc. | 2.875% | 6/1/22 | 1,057 | 1,073 | ||
Ryder System Inc. | 3.875% | 12/1/23 | 3,000 | 3,202 | ||
2 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 2,112 | 2,149 | |
Southwest Airlines Co. | 2.750% | 11/16/22 | 190 | 195 | ||
Southwest Airlines Co. | 4.750% | 5/4/23 | 7,170 | 7,633 | ||
Teledyne Technologies Inc. | 0.650% | 4/1/23 | 1,700 | 1,699 | ||
Tyco Electronics Group SA | 3.500% | 2/3/22 | 462 | 463 | ||
Union Pacific Corp. | 4.163% | 7/15/22 | 5,552 | 5,668 | ||
Union Pacific Corp. | 2.950% | 1/15/23 | 2,488 | 2,554 | ||
United Parcel Service Inc. | 2.350% | 5/16/22 | 502 | 508 | ||
United Parcel Service Inc. | 2.450% | 10/1/22 | 694 | 709 | ||
Waste Management Inc. | 2.900% | 9/15/22 | 4,137 | 4,213 | ||
63,926 | ||||||
Materials (2.3%) | ||||||
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 1,600 | 1,616 | ||
Carlisle Cos. Inc. | 0.550% | 9/1/23 | 690 | 690 | ||
2 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.300% | 5/1/23 | 6,000 | 6,259 | |
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 465 | 499 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Eastman Chemical Co. | 3.600% | 8/15/22 | 7,344 | 7,490 | ||
GC Treasury Center Co. Ltd. | 4.250% | 9/19/22 | 270 | 278 | ||
2 | International Flavors & Fragrances Inc. | 0.697% | 9/15/22 | 928 | 931 | |
Linde Inc. | 2.450% | 2/15/22 | 200 | 201 | ||
Linde Inc. | 2.200% | 8/15/22 | 1,450 | 1,468 | ||
LYB International Finance BV | 4.000% | 7/15/23 | 40 | 42 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 4,000 | 4,007 | ||
Newmont Corp. | 3.500% | 3/15/22 | 218 | 219 | ||
Newmont Corp. | 3.700% | 3/15/23 | 3,000 | 3,109 | ||
Nucor Corp. | 4.125% | 9/15/22 | 5,079 | 5,215 | ||
Nutrien Ltd. | 3.150% | 10/1/22 | 3,739 | 3,817 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 3,000 | 3,064 | ||
Sherwin-Williams Co. | 2.750% | 6/1/22 | 654 | 663 | ||
39,568 | ||||||
Real Estate (2.5%) | ||||||
American Campus Communities Operating Partnership LP | 3.750% | 4/15/23 | 1,275 | 1,327 | ||
American Tower Corp. | 2.250% | 1/15/22 | 1,070 | 1,076 | ||
American Tower Corp. | 4.700% | 3/15/22 | 518 | 527 | ||
American Tower Corp. | 3.500% | 1/31/23 | 70 | 73 | ||
American Tower Corp. | 3.000% | 6/15/23 | 6,922 | 7,211 | ||
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 192 | 197 | ||
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 6,000 | 6,425 | ||
Boston Properties LP | 3.850% | 2/1/23 | 4,581 | 4,744 | ||
Boston Properties LP | 3.125% | 9/1/23 | 300 | 313 | ||
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 1,950 | 2,024 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 707 | 738 | ||
ERP Operating LP | 3.000% | 4/15/23 | 2,125 | 2,197 | ||
Kilroy Realty LP | 3.800% | 1/15/23 | 491 | 507 | ||
Kimco Realty Corp. | 3.125% | 6/1/23 | 2,250 | 2,332 | ||
Office Properties Income Trust | 4.000% | 7/15/22 | 701 | 717 | ||
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 742 | 786 | ||
2 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 1,235 | 1,248 | |
Post Apartment Homes LP | 3.375% | 12/1/22 | 108 | 111 | ||
Public Storage | 2.370% | 9/15/22 | 4,342 | 4,424 | ||
Realty Income Corp. | 4.650% | 8/1/23 | 407 | 434 | ||
Simon Property Group LP | 2.750% | 6/1/23 | 5,088 | 5,254 | ||
SL Green Operating Partnership LP | 3.250% | 10/15/22 | 1,789 | 1,834 | ||
44,499 | ||||||
Technology (3.3%) | ||||||
Apple Inc. | 2.100% | 9/12/22 | 2,078 | 2,112 | ||
Arrow Electronics Inc. | 3.500% | 4/1/22 | 200 | 202 | ||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.650% | 1/15/23 | 238 | 244 | ||
Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 642 | 689 | ||
Fidelity National Information Services Inc. | 0.375% | 3/1/23 | 110 | 110 | ||
Global Payments Inc. | 4.000% | 6/1/23 | 3,000 | 3,164 | ||
Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 100 | 103 | ||
Intel Corp. | 2.350% | 5/11/22 | 440 | 445 | ||
5 | Intel Corp. | 4.000% | 12/1/22 | 1,020 | 769 | |
International Business Machines Corp. | 1.875% | 8/1/22 | 3,131 | 3,173 | ||
International Business Machines Corp. | 2.875% | 11/9/22 | 1,281 | 1,317 | ||
Microsoft Corp. | 2.650% | 11/3/22 | 443 | 453 | ||
Moody's Corp. | 2.625% | 1/15/23 | 1,200 | 1,233 | ||
NVIDIA Corp. | 0.309% | 6/15/23 | 12,550 | 12,546 | ||
Oracle Corp. | 2.500% | 5/15/22 | 2,950 | 2,980 | ||
Oracle Corp. | 2.500% | 10/15/22 | 3,000 | 3,068 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Oracle Corp. | 2.625% | 2/15/23 | 500 | 515 | ||
Oracle Corp. | 2.400% | 9/15/23 | 5,000 | 5,173 | ||
PayPal Holdings Inc. | 2.200% | 9/26/22 | 6,100 | 6,219 | ||
PayPal Holdings Inc. | 1.350% | 6/1/23 | 3,544 | 3,603 | ||
Skyworks Solutions Inc. | 0.900% | 6/1/23 | 2,730 | 2,735 | ||
Texas Instruments Inc. | 1.850% | 5/15/22 | 1,122 | 1,132 | ||
VMware Inc. | 2.950% | 8/21/22 | 4,554 | 4,648 | ||
VMware Inc. | 0.600% | 8/15/23 | 1,000 | 1,001 | ||
57,634 | ||||||
Utilities (5.7%) | ||||||
AEP Texas Inc. | 2.400% | 10/1/22 | 1,000 | 1,019 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 450 | 457 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 210 | 210 | ||
5 | AusNet Services Holdings Pty Ltd. | 5.750% | 6/28/22 | 770 | 578 | |
Baltimore Gas and Electric Co. | 2.800% | 8/15/22 | 2,884 | 2,927 | ||
Baltimore Gas and Electric Co. | 3.350% | 7/1/23 | 190 | 198 | ||
Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 1,222 | 1,258 | ||
Black Hills Corp. | 1.037% | 8/23/24 | 600 | 600 | ||
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 675 | 683 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/22 | 5,495 | 5,598 | ||
CenterPoint Energy Resources Corp. | 0.700% | 3/2/23 | 210 | 210 | ||
CenterPoint Energy Resources Corp. | 3.550% | 4/1/23 | 1,000 | 1,043 | ||
Dominion Energy Inc. | 2.750% | 9/15/22 | 342 | 348 | ||
2 | Dominion Energy Inc. | 2.450% | 1/15/23 | 6,710 | 6,883 | |
DTE Energy Co. | 0.550% | 11/1/22 | 1,080 | 1,082 | ||
DTE Energy Co. | 2.250% | 11/1/22 | 1,082 | 1,103 | ||
Duke Energy Corp. | 2.400% | 8/15/22 | 3,915 | 3,980 | ||
Duke Energy Corp. | 3.050% | 8/15/22 | 2,040 | 2,074 | ||
Duke Energy Progress LLC | 2.800% | 5/15/22 | 720 | 727 | ||
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 2,360 | 2,484 | ||
Edison International | 2.400% | 9/15/22 | 2,719 | 2,763 | ||
Edison International | 3.125% | 11/15/22 | 1,610 | 1,649 | ||
Enel Finance America LLC | 0.356% | 5/12/22 | 660 | 659 | ||
Enel Finance America LLC | 0.351% | 5/18/22 | 1,000 | 998 | ||
Enel Finance America LLC | 0.356% | 5/19/22 | 700 | 698 | ||
Enel Finance America LLC | 0.321% | 6/14/22 | 1,970 | 1,965 | ||
Enel Finance America LLC | 0.322% | 6/17/22 | 2,070 | 2,064 | ||
2 | Engie SA | 2.875% | 10/10/22 | 160 | 164 | |
Entergy Corp. | 4.000% | 7/15/22 | 851 | 870 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 1,180 | 1,180 | ||
Entergy Louisiana LLC | 0.950% | 10/1/24 | 2,000 | 2,001 | ||
Eversource Energy | 2.750% | 3/15/22 | 2,740 | 2,764 | ||
Eversource Energy | 2.800% | 5/1/23 | 650 | 670 | ||
4 | Eversource Energy, SOFR + 0.250% | 0.300% | 8/15/23 | 2,400 | 2,400 | |
Exelon Corp. | 3.497% | 6/1/22 | 852 | 867 | ||
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 1,110 | 1,129 | ||
Georgia Power Co. | 2.850% | 5/15/22 | 6,215 | 6,314 | ||
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 1,383 | 1,387 | ||
National Rural Utilities Cooperative Finance Corp. | 2.400% | 4/25/22 | 2,877 | 2,907 | ||
National Rural Utilities Cooperative Finance Corp. | 2.300% | 9/15/22 | 548 | 558 | ||
NextEra Energy Capital Holdings Inc. | 2.900% | 4/1/22 | 155 | 157 | ||
NextEra Energy Capital Holdings Inc. | 1.950% | 9/1/22 | 799 | 812 | ||
NextEra Energy Capital Holdings Inc. | 2.800% | 1/15/23 | 575 | 591 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 4,500 | 4,517 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 1,405 | 1,427 | ||
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 874 | 927 | ||
PacifiCorp | 2.950% | 2/1/22 | 674 | 675 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.500% | 11/22/21 | 1,500 | 1,504 | ||
Progress Energy Inc. | 3.150% | 4/1/22 | 315 | 317 | ||
Sempra Energy | 2.875% | 10/1/22 | 5,229 | 5,322 | ||
Sempra Energy | 2.900% | 2/1/23 | 1,850 | 1,905 | ||
Southern California Edison Co. | 2.400% | 2/1/22 | 470 | 471 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 210 | 211 | ||
4 | Southern California Edison Co., SOFR + 0.350% | 0.400% | 6/13/22 | 980 | 980 | |
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 645 | 668 | ||
State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 1,258 | 1,308 | ||
State Grid Overseas Investment BVI Ltd. | 2.750% | 5/4/22 | 1,578 | 1,597 | ||
2 | State Grid Overseas Investment BVI Ltd. | 3.750% | 5/2/23 | 2,353 | 2,465 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 589 | 597 | ||
2,5 | United Energy Distribution Pty Ltd. | 3.500% | 9/12/23 | 800 | 603 | |
Virginia Electric and Power Co. | 2.950% | 1/15/22 | 165 | 165 | ||
Virginia Electric and Power Co. | 3.450% | 9/1/22 | 4,348 | 4,436 | ||
Virginia Electric and Power Co. | 2.750% | 3/15/23 | 170 | 175 | ||
99,299 | ||||||
Total Corporate Bonds (Cost $1,366,986) | 1,366,684 | |||||
Sovereign Bonds (1.5%) | ||||||
APICORP Sukuk Ltd. | 3.141% | 11/1/22 | 3,012 | 3,100 | ||
Export-Import Bank of India | 4.000% | 1/14/23 | 619 | 643 | ||
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 450 | 462 | ||
Kingdom of Morocco | 4.250% | 12/11/22 | 200 | 207 | ||
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 1,650 | 1,652 | ||
7 | Korea Monetary Stabilization Bond | 0.880% | 7/9/22 | 20,000,000 | 16,880 | |
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 945 | 957 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.400% | 3/29/22 | 2,000 | 2,026 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 591 | 609 | ||
Republic of Guatemala | 5.750% | 6/6/22 | 206 | 211 | ||
Total Sovereign Bonds (Cost $27,257) | 26,747 | |||||
Shares | ||||||
Temporary Cash Investments (5.5%) | ||||||
Money Market Fund (5.2%) | ||||||
8 | Vanguard Market Liquidity Fund | 0.068% | 914,213 | 91,421 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.3%) | ||||||
U.S. Treasury Bill | 0.074% | 9/8/22 | 5,000 | 4,996 | ||
Total Temporary Cash Investments (Cost $96,418) | 96,417 | |||||
Total Investments (99.8%) (Cost $1,746,528) | 1,745,426 | |||||
Other Assets and Liabilities—Net (0.2%) | 3,198 | |||||
Net Assets (100%) | 1,748,624 | |||||
Cost is in $000. |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | 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 September 30, 2021, the aggregate value was $484,246,000, representing 27.7% of net assets. |
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 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
5 | Face amount denominated in Australian dollars. |
6 | Securities with a value of $230,000 have been segregated as initial margin for open futures contracts. |
7 | Face amount denominated in Korean won. |
8 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3M—3-month. | |
SOFR—Secured Overnight Financing Rate. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2021 | (26) | (5,721) | (1) |
5-Year U.S. Treasury Note | December 2021 | (62) | (7,610) | 55 |
54 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 10/27/21 | USD | 10,404 | AUD | 14,359 | 22 | — |
Citibank, N.A. | 10/27/21 | USD | 567 | AUD | 779 | 4 | — |
BNP Paribas | 10/15/21 | USD | 6,921 | KRW | 8,020,000 | 150 | — |
Citibank, N.A. | 10/15/21 | USD | 6,872 | KRW | 7,960,000 | 151 | — |
JPMorgan Chase Bank, N.A. | 10/15/21 | USD | 3,472 | KRW | 4,020,000 | 78 | — |
405 | — |
AUD—Australian dollar. |
KRW—Korean won. |
USD—U.S. dollar. |
At September 30, 2021, the counterparties had deposited in segregated accounts securities with a value of $22,000 and cash of $100,000 in connection with open forward currency contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been materially 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.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearing house is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open
contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | — | 255,578 | — | 255,578 |
Corporate Bonds | — | 1,366,684 | — | 1,366,684 |
Sovereign Bonds | — | 26,747 | — | 26,747 |
Temporary Cash Investments | 91,421 | 4,996 | — | 96,417 |
Total | 91,421 | 1,654,005 | — | 1,745,426 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 55 | — | — | 55 |
Forward Currency Contracts | — | 405 | — | 405 |
Total | 55 | 405 | — | 460 |
Liabilities | ||||
Futures Contracts1 | 1 | — | — | 1 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |