Vanguard® Ultra-Short Bond ETF
Schedule of Investments (unaudited)
As of March 31, 2024
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| U.S. Government and Agency Obligations (3.6%) | ||||||
| U.S. Government Securities (3.6%) | ||||||
| United States Treasury Inflation Indexed Bonds | 0.250% | 1/15/25 | 154,954 | 152,267 | ||
| Total U.S. Government and Agency Obligations (Cost $152,388) | 152,267 | |||||
| Asset-Backed/Commercial Mortgage-Backed Securities (25.3%) | ||||||
| 1 | Ally Auto Receivables Trust Class A3 Series 2022-1 | 3.310% | 11/15/26 | 2,746 | 2,709 | |
| 1 | Ally Auto Receivables Trust Class A3 Series 2023-1 | 5.460% | 5/15/28 | 1,990 | 2,001 | |
| 1 | Ally Auto Receivables Trust Class A3 Series 2024-1 | 5.080% | 12/15/28 | 6,430 | 6,430 | |
| 1,2 | Ally Auto Receivables Trust Class B Series 2023-A | 6.010% | 1/17/34 | 3,240 | 3,238 | |
| 1 | American Express Credit Account Master Trust Class A Series 2022-2 | 3.390% | 5/15/27 | 9,350 | 9,157 | |
| 1 | American Express Credit Account Master Trust Class A Series 2022-3 | 3.750% | 8/15/27 | 11,420 | 11,200 | |
| 1 | Americredit Automobile Receivables Trust Class A2 Series 2023-2 | 6.190% | 4/19/27 | 9,904 | 9,935 | |
| 1 | AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2 | 4.200% | 12/18/25 | 947 | 946 | |
| 1 | AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 | 0.340% | 12/18/26 | 269 | 268 | |
| 1 | AmeriCredit Automobile Receivables Trust Class A3 Series 2023-1 | 5.620% | 11/18/27 | 4,850 | 4,873 | |
| 1 | Americredit Automobile Receivables Trust Class A3 Series 2023-2 | 5.810% | 5/18/28 | 4,000 | 4,021 | |
| 1 | AmeriCredit Automobile Receivables Trust Class D Series 2020-2 | 2.130% | 3/18/26 | 2,200 | 2,148 | |
| 1,2 | ARI Fleet Lease Trust Class A2 Series 2022-A | 3.120% | 1/15/31 | 275 | 273 | |
| 1,2 | ARI Fleet Lease Trust Class A2 Series 2023-A | 5.410% | 2/17/32 | 2,180 | 2,174 | |
| 1,2 | ARI Fleet Lease Trust Class A2 Series 2023-B | 6.050% | 7/15/32 | 4,990 | 5,022 | |
| 1,2 | ARI Fleet Lease Trust Class A2 Series 2024-A | 5.300% | 11/15/32 | 3,020 | 3,013 | |
| 1,2 | ARI Fleet Lease Trust Class A3 Series 2022-A | 3.430% | 1/15/31 | 500 | 490 | |
| 1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-3A | 2.360% | 3/20/26 | 8,390 | 8,189 | |
| 1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2020-1A | 2.330% | 8/20/26 | 4,640 | 4,472 | |
| 1,2 | Avis Budget Rental Car Funding AESOP LLC Class A Series 2020-2A | 2.020% | 2/20/27 | 2,790 | 2,633 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2 | Avis Budget Rental Car Funding AESOP LLC Class C Series 2023-2A | 6.180% | 10/20/27 | 480 | 481 | |
| 1,2 | Avis Budget Rental Car Funding AESOP LLC Class CN Series 2022-5A | 6.240% | 4/20/27 | 150 | 150 | |
| 1 | BA Credit Card Trust Class A1 Series 2022-A1 | 3.530% | 11/15/27 | 11,560 | 11,329 | |
| 1 | BA Credit Card Trust Class A2 Series 2022-A2 | 5.000% | 4/15/28 | 4,480 | 4,468 | |
| 1,2 | Bank of America Auto Trust Class A2 Series 2023-2A | 5.850% | 8/17/26 | 5,500 | 5,512 | |
| 1,2 | Bank of America Auto Trust Class A3 Series 2023-1A | 5.530% | 2/15/28 | 5,130 | 5,154 | |
| 1,2 | Bank of America Auto Trust Class A3 Series 2023-2A | 5.740% | 6/15/28 | 5,220 | 5,281 | |
| 1 | BMW Vehicle Lease Trust Class A3 Series 2023-1 | 5.160% | 11/25/25 | 2,500 | 2,494 | |
| 1 | BMW Vehicle Lease Trust Class A3 Series 2023-2 | 5.990% | 9/25/26 | 7,700 | 7,762 | |
| 1 | BMW Vehicle Lease Trust Class A3 Series 2024-1 | 4.980% | 3/25/27 | 11,090 | 11,074 | |
| 1 | BMW Vehicle Owner Trust Class A3 Series 2022-A | 3.210% | 8/25/26 | 3,376 | 3,324 | |
| 1 | BMW Vehicle Owner Trust Class A3 Series 2023-A | 5.470% | 2/25/28 | 2,770 | 2,781 | |
| 1,2 | BOF URSA VI Funding Trust I Class B Series 2024-SN1 | 5.670% | 8/15/28 | 1,350 | 1,352 | |
| 1 | Capital One Multi-Asset Execution Trust Class A Series 2022-A3 | 4.950% | 10/15/27 | 1,500 | 1,494 | |
| 1 | Capital One Multi-Asset Execution Trust Class A3 Series 2021-A3 | 1.040% | 11/15/26 | 1,181 | 1,148 | |
| 1 | Capital One Prime Auto Receivables Trust Class A2A Series 2022-2 | 3.740% | 9/15/25 | 1,460 | 1,456 | |
| 1 | Carmax Auto Owner Trust Class A2A Series 2023-3 | 5.720% | 11/16/26 | 5,902 | 5,905 | |
| 1 | CarMax Auto Owner Trust Class A2A Series 2024-1 | 5.300% | 3/15/27 | 2,370 | 2,368 | |
| 1 | CarMax Auto Owner Trust Class A3 Series 2022-2 | 3.490% | 2/16/27 | 997 | 982 | |
| 1 | Carmax Auto Owner Trust Class A3 Series 2023-2 | 5.050% | 1/18/28 | 6,240 | 6,221 | |
| 1 | Carvana Auto Receivables Trust Class A3 Series 2022-P1 | 3.350% | 2/10/27 | 1,189 | 1,170 | |
| 1,2 | CCG Receivables Trust Class A2 Series 2023-2 | 6.280% | 4/14/32 | 1,760 | 1,780 | |
| 1,2 | Chase Auto Owner Trust Class A2 Series 2022-AA | 3.860% | 10/27/25 | 327 | 327 | |
| 1,2 | Chase Auto Owner Trust Class A2 Series 2023-AA | 5.900% | 3/25/27 | 7,340 | 7,355 | |
| 1,2 | Chase Auto Owner Trust Class A3 Series 2024-1A | 5.130% | 5/25/29 | 3,290 | 3,294 | |
| 1,2 | Chesapeake Funding II LLC Class A1 Series 2023-1A | 5.650% | 5/15/35 | 2,281 | 2,283 | |
| 1,2 | Chesapeake Funding II LLC Class A1 Series 2023-2A | 6.160% | 10/15/35 | 5,790 | 5,825 | |
| 1 | Citibank Credit Card Issuance Trust Class A1 Series 2023-A1 | 5.230% | 12/8/27 | 5,630 | 5,631 | |
| 1,2 | Citizens Auto Receivables Trust Class A3 Series 2023-1 | 5.840% | 1/18/28 | 4,510 | 4,548 | |
| 1,2 | Citizens Auto Receivables Trust Class A3 Series 2023-2 | 5.830% | 2/15/28 | 7,500 | 7,568 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2 | Citizens Auto Receivables Trust Class A3 Series 2024-1 | 5.110% | 4/17/28 | 7,540 | 7,531 | |
| 1 | CNH Equipment Trust Class A2 Series 2022-B | 3.940% | 12/15/25 | 551 | 550 | |
| 1 | CNH Equipment Trust Class A2 Series 2023-A | 5.340% | 9/15/26 | 1,130 | 1,128 | |
| 1 | CNH Equipment Trust Class A2 Series 2023-B | 5.900% | 2/16/27 | 7,350 | 7,366 | |
| 1 | CNH Equipment Trust Class A2 Series 2024-A | 5.190% | 7/15/27 | 3,760 | 3,752 | |
| 1 | CNH Equipment Trust Class A3 Series 2022-A | 2.940% | 7/15/27 | 4,668 | 4,553 | |
| 1,2 | Dell Equipment Finance Trust Class A2 Series 2022-2 | 4.030% | 7/22/27 | 196 | 196 | |
| 1,2 | Dell Equipment Finance Trust Class A2 Series 2023-3 | 6.100% | 4/23/29 | 7,100 | 7,122 | |
| 1,2 | Dell Equipment Finance Trust Class A3 Series 2023-1 | 5.650% | 9/22/28 | 5,590 | 5,603 | |
| 1,2 | Dell Equipment Finance Trust Class A3 Series 2023-2 | 5.650% | 1/22/29 | 2,540 | 2,550 | |
| 1,2 | Dell Equipment Finance Trust Class A3 Series 2023-3 | 5.930% | 4/23/29 | 7,120 | 7,204 | |
| 1 | Discover Card Execution Note Trust Class A Series 2022-A4 | 5.030% | 10/15/27 | 7,500 | 7,486 | |
| 1 | Discover Card Execution Note Trust Class A3 Series 2022-A3 | 3.560% | 7/15/27 | 14,695 | 14,376 | |
| 1,2 | DLLAA LLC Class A2 Series 2023-1A | 5.930% | 7/20/26 | 2,128 | 2,132 | |
| 1,2 | DLLAD LLC Class A2 Series 2023-1A | 5.190% | 4/20/26 | 1,530 | 1,526 | |
| 1,2 | DLLMT LLC Class A2 Series 2023-1A | 5.780% | 11/20/25 | 3,699 | 3,698 | |
| 1,2 | DLLST LLC Class A2 Series 2024-1A | 5.330% | 1/20/26 | 3,190 | 3,183 | |
| 1,2 | DLLST LLC Class A3 Series 2022-1A | 3.400% | 1/21/25 | 972 | 968 | |
| 1,2 | DLLST LLC Class A3 Series 2024-1A | 5.050% | 8/20/27 | 2,810 | 2,796 | |
| 1,2 | DLLST LLC Class A4 Series 2022-1A | 3.690% | 9/20/28 | 1,500 | 1,479 | |
| 1,2 | Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2 | 0.560% | 12/11/34 | 98 | 98 | |
| 1 | Drive Auto Receivables Trust Class A3 Series 2024-1 | 5.350% | 2/15/28 | 8,460 | 8,452 | |
| 1 | Drive Auto Receivables Trust Class B Series 2024-1 | 5.310% | 1/16/29 | 4,060 | 4,052 | |
| 1,2 | Ent Auto Receivables Trust Class A2 Series 2023-1A | 6.220% | 8/16/27 | 2,186 | 2,192 | |
| 1,2 | Enterprise Fleet Financing LLC Class A2 Series 2021-2 | 0.480% | 5/20/27 | 1,036 | 1,018 | |
| 1,2 | Enterprise Fleet Financing LLC Class A2 Series 2023-1 | 5.510% | 1/22/29 | 4,243 | 4,239 | |
| 1,2 | Enterprise Fleet Financing LLC Class A2 Series 2023-2 | 5.560% | 4/22/30 | 3,877 | 3,881 | |
| 1,2 | Enterprise Fleet Financing LLC Class A2 Series 2023-3 | 6.400% | 3/20/30 | 6,400 | 6,498 | |
| 1,2 | Enterprise Fleet Financing LLC Class A2 Series 2024-1 | 5.230% | 3/20/30 | 2,090 | 2,087 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR30A + 0.900% | 6.220% | 11/25/41 | 698 | 698 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust 2024-R02, SOFR30A + 1.100% | 6.420% | 2/25/44 | 1,340 | 1,340 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR30A + 0.750% | 6.070% | 10/25/41 | 30 | 30 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2023-R06, SOFR30A + 1.700% | 7.020% | 7/25/43 | 1,012 | 1,021 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2023-R08, SOFR30A + 1.500% | 6.820% | 10/25/43 | 2,623 | 2,635 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2024-R01, SOFR30A + 1.050% | 6.370% | 1/25/44 | 7,667 | 7,668 | |
| 1,2,3,4 | Fannie Mae Connecticut Avenue Securities Trust Class 2M1 Series 2023-R07, SOFR30A + 1.950% | 7.271% | 9/25/43 | 3,186 | 3,216 | |
| 1 | Fifth Third Auto Trust Class A3 Series 2023-1 | 5.530% | 8/15/28 | 13,130 | 13,215 | |
| 1,2 | Flagship Credit Auto Trust Class A Series 2021-3 | 0.360% | 7/15/27 | 117 | 116 | |
| 1,2 | Flagship Credit Auto Trust Class A Series 2021-4 | 0.810% | 7/17/26 | 195 | 193 | |
| 1 | Ford Credit Auto Lease Trust Class A3 Series 2023-B | 5.910% | 10/15/26 | 9,630 | 9,690 | |
| 1 | Ford Credit Auto Lease Trust Class A3 Series 2024-A | 5.060% | 5/15/27 | 8,110 | 8,098 | |
| 1 | Ford Credit Auto Lease Trust Class A4 Series 2022-A | 3.370% | 7/15/25 | 1,750 | 1,742 | |
| 1 | Ford Credit Auto Lease Trust Class A4 Series 2023-B | 5.870% | 1/15/27 | 870 | 878 | |
| 1 | Ford Credit Auto Lease Trust Class A4 Series 2024-A | 5.050% | 6/15/27 | 720 | 717 | |
| 1 | Ford Credit Auto Lease Trust Class B Series 2023-B | 6.200% | 2/15/27 | 3,360 | 3,404 | |
| 1 | Ford Credit Auto Lease Trust Class B Series 2024-A | 5.290% | 6/15/27 | 3,190 | 3,181 | |
| 1 | Ford Credit Auto Lease Trust Class C Series 2022-A | 4.180% | 10/15/25 | 1,250 | 1,236 | |
| 1,2 | Ford Credit Auto Owner Trust Class A Series 2018-1 | 3.190% | 7/15/31 | 6,770 | 6,646 | |
| 1,2 | Ford Credit Auto Owner Trust Class A Series 2020-1 | 2.040% | 8/15/31 | 13,550 | 13,150 | |
| 1,2 | Ford Credit Auto Owner Trust Class A Series 2020-2 | 1.060% | 4/15/33 | 15,900 | 14,895 | |
| 1 | Ford Credit Auto Owner Trust Class A2A Series 2022-C | 4.520% | 4/15/25 | 145 | 145 | |
| 1 | Ford Credit Auto Owner Trust Class A3 Series 2023-A | 4.650% | 2/15/28 | 3,580 | 3,548 | |
| 1 | Ford Credit Auto Owner Trust Class A3 Series 2023-B | 5.230% | 5/15/28 | 3,580 | 3,587 | |
| 1,2 | Ford Credit Auto Owner Trust Class B Series 2020-2 | 1.490% | 4/15/33 | 2,690 | 2,523 | |
| 1,2 | Ford Credit Auto Owner Trust Class C Series 2020-1 | 2.540% | 8/15/31 | 3,000 | 2,906 | |
| 1 | Ford Credit Floorplan Master Owner Trust Class A Series 2020-2 | 1.060% | 9/15/27 | 13,980 | 13,144 | |
| 1,2 | Ford Credit Floorplan Master Owner Trust Class A1 Series 2023-1 | 4.920% | 5/15/28 | 3,010 | 2,995 | |
| 1,2,3,4 | Freddie Mac STACR REMICS Trust 2024-HQA1, SOFR30A + 1.250% | 6.569% | 3/25/44 | 3,100 | 3,101 | |
| 1,2,3,4 | Freddie Mac STACR REMICS Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800% | 6.120% | 10/25/41 | 664 | 664 | |
| 1,2,3,4 | Freddie Mac STACR REMICS Trust Class M1 Series 2023-HQA3, SOFR30A + 1.850% | 7.170% | 11/25/43 | 2,012 | 2,032 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2,3,4 | Freddie Mac STACR REMICS Trust Class M1 Series 2024-DNA1, SOFR30A + 1.350% | 6.670% | 2/25/44 | 6,508 | 6,520 | |
| 1 | GM Financial Automobile Leasing Trust Class A3 Series 2023-1 | 5.160% | 4/20/26 | 3,500 | 3,492 | |
| 1 | GM Financial Automobile Leasing Trust Class A3 Series 2023-2 | 5.050% | 7/20/26 | 2,500 | 2,491 | |
| 1 | GM Financial Automobile Leasing Trust Class A3 Series 2023-3 | 5.380% | 11/20/26 | 4,500 | 4,504 | |
| 1 | GM Financial Automobile Leasing Trust Class A3 Series 2024-1 | 5.090% | 3/22/27 | 8,430 | 8,424 | |
| 1 | GM Financial Automobile Leasing Trust Class A4 Series 2022-2 | 3.540% | 5/20/26 | 2,750 | 2,728 | |
| 1 | GM Financial Automobile Leasing Trust Class A4 Series 2023-2 | 5.090% | 5/20/27 | 670 | 668 | |
| 1 | GM Financial Automobile Leasing Trust Class A4 Series 2023-3 | 5.440% | 8/20/27 | 2,750 | 2,757 | |
| 1 | GM Financial Automobile Leasing Trust Class B Series 2022-2 | 4.020% | 5/20/26 | 1,750 | 1,730 | |
| 1 | GM Financial Automobile Leasing Trust Class B Series 2023-3 | 5.880% | 8/20/27 | 2,020 | 2,029 | |
| 1 | GM Financial Automobile Leasing Trust Class B Series 2024-1 | 5.330% | 3/20/28 | 3,500 | 3,499 | |
| 1 | GM Financial Consumer Automobile Receivables Trust Class A2A Series 2022-3 | 3.500% | 9/16/25 | 1,262 | 1,260 | |
| 1 | GM Financial Consumer Automobile Receivables Trust Class A2A Series 2023-1 | 5.190% | 3/16/26 | 1,669 | 1,666 | |
| 1 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2023-3 | 5.450% | 6/16/28 | 380 | 382 | |
| 1 | GM Financial Consumer Automobile Receivables Trust Class A3 Series 2024-1 | 4.850% | 12/18/28 | 2,740 | 2,732 | |
| 1,2 | GreatAmerica Leasing Receivables Class A2, Series 2024-1 | 5.320% | 8/17/26 | 5,830 | 5,820 | |
| 1,2 | GreenState Auto Receivables Trust Class A2 Series 2024-1A | 5.530% | 8/16/27 | 3,510 | 3,507 | |
| 1 | Harley-Davidson Motorcycle Trust Class A2 Series 2023-B | 5.920% | 12/15/26 | 6,966 | 6,978 | |
| 1 | Harley-Davidson Motorcycle Trust Class A2A Series 2023-A | 5.320% | 6/15/26 | 1,702 | 1,700 | |
| 1 | Harley-Davidson Motorcycle Trust Class A3 Series 2022-A | 3.060% | 2/15/27 | 894 | 880 | |
| 1,2 | Hertz Vehicle Financing LLC Class A Series 2022-4A | 3.730% | 9/25/26 | 9,130 | 8,922 | |
| 1 | Honda Auto Receivables Owner Trust Class A2 Series 2022-2 | 3.810% | 3/18/25 | 477 | 477 | |
| 1 | Honda Auto Receivables Owner Trust Class A3 Series 2023-1 | 5.040% | 4/21/27 | 3,500 | 3,491 | |
| 1 | Honda Auto Receivables Owner Trust Class A3 Series 2023-2 | 4.930% | 11/15/27 | 2,640 | 2,632 | |
| 1 | Honda Auto Receivables Owner Trust Class A3 Series 2023-3 | 5.410% | 2/18/28 | 12,000 | 12,058 | |
| 1 | Honda Auto Receivables Owner Trust Class A3 Series 2023-4 | 5.670% | 6/21/28 | 3,470 | 3,512 | |
| 1 | Honda Auto Receivables Owner Trust Class A3 series 2024-1 | 5.210% | 8/15/28 | 5,280 | 5,302 | |
| 1,2 | HPEFS Equipment Trust Class A2 Series 2023-2A | 6.040% | 1/21/31 | 4,350 | 4,367 | |
| 1,2 | HPEFS Equipment Trust Class A3 Series 2022-2A | 3.760% | 9/20/29 | 1,780 | 1,767 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2 | HPEFS Equipment Trust Class A3 Series 2023-2A | 5.990% | 1/21/31 | 1,420 | 1,432 | |
| 1,2 | HPEFS Equipment Trust Class A3 Series 2024-1A | 5.180% | 5/20/31 | 6,690 | 6,676 | |
| 1,2 | HPEFS Equipment Trust Class B Series 2024-1A | 5.180% | 5/20/31 | 1,370 | 1,364 | |
| 1,2 | HPEFS Equipment Trust Class C Series 2024-1A | 5.330% | 5/20/31 | 1,930 | 1,920 | |
| 1,2 | Huntington Auto Trust Class A3 Series 2024-1A | 5.230% | 1/16/29 | 5,640 | 5,649 | |
| 1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2023-B | 5.150% | 6/15/26 | 4,280 | 4,268 | |
| 1,2 | Hyundai Auto Lease Securitization Trust Class A3 Series 2024-A | 5.020% | 3/15/27 | 1,640 | 1,632 | |
| 1,2 | Hyundai Auto Lease Securitization Trust Class A4 Series 2022-C | 4.480% | 8/17/26 | 12,230 | 12,129 | |
| 1,2 | Hyundai Auto Lease Securitization Trust Class A4 Series 2023-B | 5.170% | 4/15/27 | 3,040 | 3,027 | |
| 1 | Hyundai Auto Receivables Trust Class A2A Series 2022-B | 3.640% | 5/15/25 | 305 | 304 | |
| 1 | Hyundai Auto Receivables Trust Class A2A Series 2023-C | 5.800% | 1/15/27 | 8,580 | 8,602 | |
| 1 | Hyundai Auto Receivables Trust Class A3 Series 2023-A | 4.580% | 4/15/27 | 3,600 | 3,568 | |
| 1 | Hyundai Auto Receivables Trust Class A3 Series 2023-B | 5.480% | 4/17/28 | 2,330 | 2,345 | |
| 1 | John Deere Owner Trust Class A2 Series 2022-B | 3.730% | 6/16/25 | 274 | 273 | |
| 1 | John Deere Owner Trust Class A3 Series 2023-A | 5.010% | 11/15/27 | 4,000 | 3,988 | |
| 1,2 | JPMorgan Chase Bank NA - CACLN Class B Series 2021-2 | 0.889% | 12/26/28 | 644 | 633 | |
| 1,2 | Kubota Credit Owner Trust Class A2 Series 2022-2A | 4.070% | 6/17/25 | 873 | 870 | |
| 1,2 | Kubota Credit Owner Trust Class A2 Series 2023-2A | 5.610% | 7/15/26 | 5,141 | 5,141 | |
| 1,2 | Kubota Credit Owner Trust Class A2 Series 2024-1A | 5.390% | 1/15/27 | 13,480 | 13,473 | |
| 1,2 | Kubota Credit Owner Trust Class A3 Series 2022-2A | 4.090% | 12/15/26 | 3,460 | 3,411 | |
| 1,2 | LAD Auto Receivables Trust Class A3 2024-1A | 5.230% | 1/18/28 | 2,610 | 2,601 | |
| 1,2 | Master Credit Card Trust II Class A Series 2022-1A | 1.660% | 7/21/26 | 6,720 | 6,515 | |
| 1,2,4 | Master Credit Card Trust II Class A Series 2024-1A, SOFR30A + 0.850% | 6.069% | 1/21/28 | 9,950 | 9,959 | |
| 1 | Mercedes-Benz Auto Lease Trust Class A3 Series 2023-A | 4.740% | 1/15/27 | 8,660 | 8,607 | |
| 1,2 | MMAF Equipment Finance LLC Class A2 Series 2024-A | 5.200% | 9/13/27 | 7,170 | 7,150 | |
| 1,2 | Navistar Financial Dealer Note Master Owner Trust II Class A Series 2023-1 | 6.180% | 8/25/28 | 3,800 | 3,830 | |
| 1 | Nissan Auto Lease Trust Class A3 Series 2023-B | 5.690% | 7/15/26 | 1,490 | 1,495 | |
| 1 | Nissan Auto Lease Trust Class A3 Series 2024-A | 4.910% | 4/15/27 | 8,960 | 8,917 | |
| 1 | Nissan Auto Lease Trust Class A4 Series 2024-A | 4.970% | 9/15/28 | 1,060 | 1,055 | |
| 1 | Nissan Auto Receivables Owner Trust Class A3 Series 2023-A | 4.910% | 11/15/27 | 9,210 | 9,168 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1 | Nissan Auto Receivables Owner Trust Class A3 Series 2023-B | 5.930% | 3/15/28 | 8,340 | 8,465 | |
| 1,2 | PFS Financing Corp. Class A Series 2022-C | 3.890% | 5/15/27 | 1,850 | 1,818 | |
| 1,2 | PFS Financing Corp. Class A Series 2022-D | 4.270% | 8/15/27 | 7,430 | 7,313 | |
| 1,2,4 | PFS Financing Corp. Class A Series 2024-A, SOFR30A + 0.850% | 6.169% | 1/15/28 | 9,020 | 9,051 | |
| 1,2 | Porsche Financial Auto Securitization Trust Class A2A Series 2023-2A | 5.880% | 11/23/26 | 5,395 | 5,401 | |
| 1,2 | Porsche Financial Auto Securitization Trust Class A3 Series 2023-1A | 4.810% | 9/22/28 | 3,140 | 3,122 | |
| 1,2 | Porsche Financial Auto Securitization Trust Class A3 Series 2023-2A | 5.790% | 1/22/29 | 3,960 | 4,003 | |
| 1,2 | Progress Residential Trust Class A Series 2020-SFR1 | 1.732% | 4/17/37 | 4,142 | 3,980 | |
| 1,2,4 | RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740% | 6.080% | 2/3/53 | 437 | 433 | |
| 1,2 | Santander Bank Auto Credit-Linked Notes Class B Series 2023-B | 5.640% | 12/15/33 | 330 | 330 | |
| 1,2 | Santander Bank Auto Credit-Linked Notes Class C Series 2023-B | 5.933% | 12/15/33 | 700 | 701 | |
| 1,2 | Santander Bank Auto Credit-Linked Notes Class D Series 2023-B | 6.663% | 12/15/33 | 770 | 774 | |
| 1,2 | Santander Bank NA - SBCLN Class B Series 2021-1A | 1.833% | 12/15/31 | 239 | 236 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2022-3 | 3.400% | 12/15/26 | 1,366 | 1,359 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2022-5 | 4.110% | 8/17/26 | 1,387 | 1,383 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2022-6 | 4.490% | 11/16/26 | 567 | 565 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2023-1 | 4.880% | 4/15/27 | 4,390 | 4,377 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2023-2 | 5.210% | 7/15/27 | 3,090 | 3,080 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2023-3 | 5.610% | 10/15/27 | 2,730 | 2,738 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2023-4 | 5.730% | 4/17/28 | 4,740 | 4,758 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2023-6 | 5.930% | 7/17/28 | 1,610 | 1,633 | |
| 1 | Santander Drive Auto Receivables Trust Class A3 Series 2024 -1 | 5.250% | 4/17/28 | 9,000 | 8,993 | |
| 1 | Santander Drive Auto Receivables Trust Class B Series 2024 -1 | 5.230% | 12/15/28 | 2,030 | 2,026 | |
| 1,2 | Santander Retail Auto Lease Trust Class A4 Series 2022-B | 3.330% | 10/20/26 | 15,755 | 15,495 | |
| 1,2 | Santander Retail Auto Lease Trust Class B Series 2022-B | 3.850% | 3/22/27 | 4,400 | 4,328 | |
| 1,2 | SBNA Auto Lease Trust Class A3 Series 2023-A | 6.510% | 4/20/27 | 6,330 | 6,429 | |
| 1,2 | SBNA Auto Lease Trust Class A3 Series 2024-A | 5.390% | 11/20/26 | 7,210 | 7,210 | |
| 1,2 | SBNA Auto Lease Trust Class A4 Series 2024-A | 5.240% | 1/22/29 | 3,000 | 2,993 | |
| 1,2 | SBNA Auto Receivables Trust Class A3 Series 2024-A | 5.320% | 12/15/28 | 2,900 | 2,897 | |
| 1,2 | SCCU Auto Receivables Trust Class A2 Series 2023-1A | 5.850% | 5/17/27 | 2,380 | 2,382 | |
| 1,2 | SCCU Auto Receivables Trust Class A3 Series 2023-1A | 5.700% | 10/16/28 | 3,440 | 3,466 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2 | SFS Auto Receivables Securitization Trust Class A2 Series 2024-1A | 5.350% | 6/21/27 | 4,950 | 4,942 | |
| 1,2 | SFS Auto Receivables Securitization Trust Class A2A Series 2023-1A | 5.890% | 3/22/27 | 1,907 | 1,910 | |
| 1,2 | SFS Auto Receivables Securitization Trust Class A3 Series 2024-1A | 4.950% | 5/21/29 | 5,590 | 5,563 | |
| 1 | Synchrony Card Funding LLC Class A Series 2022-A1 | 3.370% | 4/15/28 | 7,670 | 7,508 | |
| 1 | Synchrony Card Funding LLC Class A Series 2022-A2 | 3.860% | 7/15/28 | 17,750 | 17,407 | |
| 1,2 | Tesla Auto Lease Trust Class A3 Series 2023-A | 5.890% | 6/22/26 | 6,020 | 6,053 | |
| 1,2 | Tesla Auto Lease Trust Class A3 Series 2023-B | 6.130% | 9/21/26 | 11,610 | 11,716 | |
| 1,2 | Tesla Auto Lease Trust Class A3 Series 2024-A | 5.300% | 6/21/27 | 4,390 | 4,381 | |
| 1,2 | Tesla Auto Lease Trust Class A4 Series 2023-A | 5.940% | 7/20/27 | 1,410 | 1,421 | |
| 1,2 | Tesla Auto Lease Trust Class A4 Series 2023-B | 6.220% | 3/22/27 | 1,460 | 1,479 | |
| 1,2 | Tesla Electric Vehicle Trust Class A3 Series 2023-1 | 5.380% | 6/20/28 | 3,710 | 3,724 | |
| 1,2 | T-Mobile US Trust Class A Series 2024-1A | 5.050% | 9/20/29 | 6,690 | 6,689 | |
| 1,2 | Toyota Auto Loan Extended Note Trust Class A Series 2020-1A | 1.350% | 5/25/33 | 14,500 | 13,841 | |
| 1 | Toyota Auto Receivables Owner Trust Class A3 Series 2023-B | 4.710% | 2/15/28 | 3,140 | 3,117 | |
| 1 | Toyota Auto Receivables Owner Trust Class A3 Series 2023-C | 5.160% | 4/17/28 | 4,500 | 4,504 | |
| 1 | Toyota Auto Receivables Owner Trust Class A3 Series 2024-A | 4.830% | 10/16/28 | 7,220 | 7,192 | |
| 1,2 | Toyota Lease Owner Trust Class A2A Series 2023-B | 5.730% | 4/20/26 | 9,149 | 9,169 | |
| 1,2 | Toyota Lease Owner Trust Class A3 Series 2023-A | 4.930% | 4/20/26 | 17,080 | 17,004 | |
| 1,2 | Toyota Lease Owner Trust Class A3 Series 2023-B | 5.660% | 11/20/26 | 5,130 | 5,166 | |
| 1,2 | Toyota Lease Owner Trust Class A3 Series 2024-A | 5.250% | 4/20/27 | 3,360 | 3,370 | |
| 1,2 | Toyota Lease Owner Trust Class A4 Series 2024-A | 5.260% | 6/20/28 | 930 | 931 | |
| 1,2,4 | Trillium Credit Card Trust II Class A Series 2024-1A, SOFR + 0.750% | 6.086% | 12/26/28 | 9,010 | 9,010 | |
| 1,2 | US Bank NA Class B Series 2023-1 | 6.789% | 8/25/32 | 1,125 | 1,132 | |
| 1,2 | USAA Auto Owner Trust Class A3 Series 2023-A | 5.580% | 5/15/28 | 9,860 | 9,932 | |
| 1 | Verizon Master Trust Class A Series 2022-6 | 3.670% | 1/22/29 | 4,820 | 4,720 | |
| 1 | Verizon Master Trust Class A Series 2023-2 | 4.890% | 4/13/28 | 3,730 | 3,710 | |
| 1 | Verizon Master Trust Class A1A Series 2023-5 | 5.610% | 9/8/28 | 3,000 | 3,013 | |
| 1 | Verizon Master Trust Class A1A Series 2024-1 | 5.000% | 12/20/28 | 13,080 | 13,040 | |
| 1 | Verizon Master Trust Class C Series 2021-2 | 1.380% | 4/20/28 | 2,290 | 2,232 | |
| 1 | Verizon Master Trust Class C Series 2024-1 | 5.490% | 12/20/28 | 3,870 | 3,851 | |
| 1 | Volkswagen Auto Lease Trust Class A3 Series 2023-A | 5.810% | 10/20/26 | 13,200 | 13,295 | |
| 1 | Volkswagen Auto Lease Trust Class A3 Series 2024-A | 5.210% | 6/21/27 | 7,370 | 7,378 | |
| 1 | Volkswagen Auto Loan Enhanced Trust Class A2A Series 2023-1 | 5.500% | 12/21/26 | 6,642 | 6,640 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 1,2 | Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A | 2.470% | 10/18/36 | 249 | 247 | |
| 1 | World Omni Auto Receivables Trust Class A2A Series 2023-D | 5.910% | 2/16/27 | 7,500 | 7,529 | |
| 1 | World Omni Auto Receivables Trust Class A3 Series 2023-B | 4.660% | 5/15/28 | 800 | 793 | |
| 1 | World Omni Automobile Lease Securitization Trust Class A3 Series 2023-A | 5.070% | 9/15/26 | 9,060 | 9,032 | |
| 1 | World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A | 3.340% | 6/15/27 | 540 | 536 | |
| 1 | World Omni Automobile Lease Securitization Trust Class A4 Series 2023-A | 5.040% | 7/17/28 | 2,850 | 2,835 | |
| 1 | World Omni Automobile Lease Securitization Trust Class B Series 2022-A | 3.670% | 6/15/27 | 790 | 781 | |
| Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,051,818) | 1,054,668 | |||||
| Corporate Bonds (60.5%) | ||||||
| Communications (3.2%) | ||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | 26,960 | 26,637 | ||
| Discovery Communications LLC | 3.900% | 11/15/24 | 7,356 | 7,268 | ||
| Discovery Communications LLC | 3.450% | 3/15/25 | 1,300 | 1,272 | ||
| Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 4,096 | 4,090 | ||
| 2 | Netflix Inc. | 3.625% | 6/15/25 | 25,285 | 24,751 | |
| Rogers Communications Inc. | 2.950% | 3/15/25 | 200 | 195 | ||
| Rogers Communications Inc. | 3.625% | 12/15/25 | 3,390 | 3,292 | ||
| Sprint LLC | 7.625% | 2/15/25 | 20,131 | 20,378 | ||
| Sprint LLC | 7.625% | 3/1/26 | 1,460 | 1,507 | ||
| Take-Two Interactive Software Inc. | 3.550% | 4/14/25 | 300 | 294 | ||
| Take-Two Interactive Software Inc. | 5.000% | 3/28/26 | 862 | 858 | ||
| T-Mobile USA Inc. | 3.500% | 4/15/25 | 7,944 | 7,787 | ||
| T-Mobile USA Inc. | 2.250% | 2/15/26 | 7,565 | 7,156 | ||
| Verizon Communications Inc. | 0.850% | 11/20/25 | 6,350 | 5,918 | ||
| Vodafone Group plc | 4.125% | 5/30/25 | 1,403 | 1,382 | ||
| Warnermedia Holdings Inc. | 3.638% | 3/15/25 | 20,560 | 20,151 | ||
| Warnermedia Holdings Inc. | 3.788% | 3/15/25 | 689 | 676 | ||
| 133,612 | ||||||
| Consumer Discretionary (5.2%) | ||||||
| American Honda Finance Corp. | 4.600% | 4/17/25 | 26,000 | 25,811 | ||
| American Honda Finance Corp. | 4.950% | 1/9/26 | 7,770 | 7,750 | ||
| AutoZone Inc. | 3.250% | 4/15/25 | 6,850 | 6,690 | ||
| 2 | BMW US Capital LLC | 0.800% | 4/1/24 | 2,615 | 2,615 | |
| 2 | BMW US Capital LLC | 5.050% | 4/2/26 | 22,500 | 22,475 | |
| 2 | ERAC USA Finance LLC | 3.800% | 11/1/25 | 5,123 | 4,993 | |
| Ford Motor Credit Co. LLC | 5.125% | 6/16/25 | 8,820 | 8,743 | ||
| Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 3,142 | 3,072 | ||
| Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 10,750 | 10,343 | ||
| General Motors Co. | 6.125% | 10/1/25 | 5,910 | 5,960 | ||
| General Motors Financial Co. Inc. | 1.200% | 10/15/24 | 10,865 | 10,603 | ||
| General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 1,040 | 1,014 | ||
| General Motors Financial Co. Inc. | 3.800% | 4/7/25 | 4,760 | 4,672 | ||
| General Motors Financial Co. Inc. | 6.050% | 10/10/25 | 995 | 1,002 | ||
| General Motors Financial Co. Inc. | 1.500% | 6/10/26 | 2,845 | 2,618 | ||
| Marriott International Inc. | 3.750% | 10/1/25 | 3,634 | 3,545 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| 2 | Mercedes-Benz Finance North America LLC | 5.375% | 8/1/25 | 16,095 | 16,123 | |
| 2 | Mercedes-Benz Finance North America LLC | 4.900% | 1/9/26 | 11,000 | 10,970 | |
| 2 | Mercedes-Benz Finance North America LLC | 1.450% | 3/2/26 | 3,356 | 3,130 | |
| Tapestry Inc. | 7.050% | 11/27/25 | 12,385 | 12,641 | ||
| 5 | Volkswagen Financial Services Australia Pty Ltd. | 2.400% | 8/28/24 | 4,460 | 2,875 | |
| 2 | Volkswagen Group of America Finance LLC | 3.350% | 5/13/25 | 7,865 | 7,677 | |
| 2 | Volkswagen Group of America Finance LLC | 3.950% | 6/6/25 | 340 | 334 | |
| 2 | Volkswagen Group of America Finance LLC | 5.800% | 9/12/25 | 8,691 | 8,730 | |
| 2 | Volkswagen Group of America Finance LLC | 1.250% | 11/24/25 | 7,880 | 7,365 | |
| 2 | Volkswagen Group of America Finance LLC | 5.400% | 3/20/26 | 23,945 | 23,950 | |
| 215,701 | ||||||
| Consumer Staples (2.5%) | ||||||
| Altria Group Inc. | 4.400% | 2/14/26 | 6,700 | 6,600 | ||
| BAT Capital Corp. | 3.222% | 8/15/24 | 7,156 | 7,083 | ||
| BAT Capital Corp. | 2.789% | 9/6/24 | 4,629 | 4,571 | ||
| 2 | BAT International Finance plc | 3.950% | 6/15/25 | 1,300 | 1,273 | |
| BAT International Finance plc | 1.668% | 3/25/26 | 5,550 | 5,168 | ||
| Campbell Soup Co. | 3.950% | 3/15/25 | 3,939 | 3,879 | ||
| Campbell Soup Co. | 5.300% | 3/20/26 | 4,685 | 4,690 | ||
| Conagra Brands Inc. | 4.600% | 11/1/25 | 175 | 173 | ||
| Constellation Brands Inc. | 3.600% | 5/9/24 | 4,556 | 4,544 | ||
| Constellation Brands Inc. | 4.750% | 11/15/24 | 3,300 | 3,280 | ||
| Constellation Brands Inc. | 4.400% | 11/15/25 | 677 | 667 | ||
| Dollar General Corp. | 4.150% | 11/1/25 | 23,264 | 22,813 | ||
| Haleon UK Capital plc | 3.125% | 3/24/25 | 8,690 | 8,482 | ||
| McCormick & Co. Inc. | 0.900% | 2/15/26 | 1,730 | 1,599 | ||
| 2 | Mondelez International Holdings Netherlands BV | 4.250% | 9/15/25 | 890 | 876 | |
| Philip Morris International Inc. | 2.875% | 5/1/24 | 281 | 280 | ||
| Philip Morris International Inc. | 5.000% | 11/17/25 | 10,100 | 10,079 | ||
| Philip Morris International Inc. | 0.875% | 5/1/26 | 5,288 | 4,855 | ||
| Philip Morris International Inc. | 4.750% | 2/12/27 | 2,525 | 2,509 | ||
| Reynolds American Inc. | 4.450% | 6/12/25 | 8,381 | 8,269 | ||
| 101,690 | ||||||
| Energy (3.2%) | ||||||
| Boardwalk Pipelines LP | 5.950% | 6/1/26 | 1,310 | 1,322 | ||
| Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 900 | 899 | ||
| Canadian Natural Resources Ltd. | 2.050% | 7/15/25 | 6,076 | 5,813 | ||
| Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 4,880 | 4,883 | ||
| Enbridge Energy Partners LP | 5.875% | 10/15/25 | 9,699 | 9,755 | ||
| Energy Transfer LP | 4.500% | 4/15/24 | 252 | 252 | ||
| Energy Transfer LP | 3.900% | 5/15/24 | 2,000 | 1,995 | ||
| Energy Transfer LP | 2.900% | 5/15/25 | 5,730 | 5,561 | ||
| Energy Transfer LP | 4.750% | 1/15/26 | 5,695 | 5,636 | ||
| EQT Corp. | 6.125% | 2/1/25 | 2,269 | 2,274 | ||
| 2 | EQT Corp. | 3.125% | 5/15/26 | 1,122 | 1,066 | |
| Galaxy Pipeline Assets Bidco Ltd. | 1.750% | 9/30/27 | 5,135 | 4,818 | ||
| Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 2,977 | 2,972 | ||
| Marathon Petroleum Corp. | 4.700% | 5/1/25 | 25,347 | 25,130 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| MPLX LP | 4.000% | 2/15/25 | 776 | 765 | ||
| MPLX LP | 4.875% | 6/1/25 | 7,935 | 7,869 | ||
| Occidental Petroleum Corp. | 5.875% | 9/1/25 | 7,021 | 7,046 | ||
| Occidental Petroleum Corp. | 5.500% | 12/1/25 | 2,650 | 2,647 | ||
| ONEOK Inc. | 2.200% | 9/15/25 | 11,245 | 10,737 | ||
| Ovintiv Inc. | 5.650% | 5/15/25 | 6,455 | 6,456 | ||
| Ovintiv Inc. | 5.375% | 1/1/26 | 379 | 378 | ||
| Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 440 | 434 | ||
| Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 11,580 | 11,426 | ||
| Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 53 | 53 | ||
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 550 | 546 | ||
| Transcontinental Gas Pipe Line Co. LLC | 7.850% | 2/1/26 | 1,662 | 1,724 | ||
| Western Midstream Operating LP | 3.100% | 2/1/25 | 6,479 | 6,337 | ||
| Western Midstream Operating LP | 3.950% | 6/1/25 | 450 | 441 | ||
| Williams Cos. Inc. | 3.900% | 1/15/25 | 5,160 | 5,084 | ||
| Williams Cos. Inc. | 4.000% | 9/15/25 | 650 | 638 | ||
| 134,957 | ||||||
| Financials (26.6%) | ||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 10/29/24 | 8,184 | 7,989 | ||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 10/1/25 | 3,329 | 3,278 | ||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.750% | 1/30/26 | 13,500 | 12,612 | ||
| Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 25,806 | 25,132 | ||
| Air Lease Corp. | 4.250% | 9/15/24 | 5,754 | 5,711 | ||
| Air Lease Corp. | 2.300% | 2/1/25 | 976 | 948 | ||
| Air Lease Corp. | 3.250% | 3/1/25 | 103 | 101 | ||
| Air Lease Corp. | 2.875% | 1/15/26 | 6,760 | 6,467 | ||
| Allstate Corp. | 0.750% | 12/15/25 | 2,350 | 2,179 | ||
| American Express Co. | 3.950% | 8/1/25 | 11,500 | 11,303 | ||
| American Express Co. | 4.990% | 5/1/26 | 20,250 | 20,127 | ||
| American Express Co. | 6.338% | 10/30/26 | 6,083 | 6,163 | ||
| American Express Co. | 5.098% | 2/16/28 | 3,880 | 3,875 | ||
| Ameriprise Financial Inc. | 3.000% | 4/2/25 | 2,100 | 2,050 | ||
| 2 | Athene Global Funding | 5.684% | 2/23/26 | 13,170 | 13,244 | |
| Australia & New Zealand Banking Group Ltd. | 5.000% | 3/18/26 | 41,960 | 41,928 | ||
| 4,5 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 6.356% | 7/26/29 | 6,606 | 4,317 | |
| Banco Santander SA | 3.496% | 3/24/25 | 1,350 | 1,325 | ||
| Banco Santander SA | 2.746% | 5/28/25 | 2,800 | 2,706 | ||
| Banco Santander SA | 5.147% | 8/18/25 | 800 | 794 | ||
| Bank of America Corp. | 3.950% | 4/21/25 | 5,870 | 5,773 | ||
| Bank of America Corp. | 3.366% | 1/23/26 | 5,000 | 4,907 | ||
| Bank of America Corp. | 2.015% | 2/13/26 | 9,650 | 9,349 | ||
| Bank of America Corp. | 3.384% | 4/2/26 | 4,050 | 3,961 | ||
| Bank of America Corp. | 1.319% | 6/19/26 | 4,455 | 4,234 | ||
| Bank of America Corp. | 1.197% | 10/24/26 | 2,548 | 2,385 | ||
| Bank of Montreal | 5.920% | 9/25/25 | 34,091 | 34,437 | ||
| Bank of New York Mellon Corp. | 5.148% | 5/22/26 | 8,985 | 8,981 | ||
| Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 3,725 | 3,679 | ||
| Bank of Nova Scotia | 2.200% | 2/3/25 | 5,000 | 4,864 | ||
| Bank of Nova Scotia | 1.300% | 6/11/25 | 1,720 | 1,640 | ||
| Bank of Nova Scotia | 5.450% | 6/12/25 | 40,000 | 40,027 | ||
| Bank of Nova Scotia | 4.750% | 2/2/26 | 1,874 | 1,861 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| Bank of Nova Scotia | 1.050% | 3/2/26 | 1,914 | 1,771 | ||
| 2 | Banque Federative du Credit Mutuel SA | 5.896% | 7/13/26 | 14,150 | 14,334 | |
| Barclays plc | 3.650% | 3/16/25 | 1,575 | 1,545 | ||
| 2 | BPCE SA | 4.625% | 7/11/24 | 2,925 | 2,910 | |
| 2 | BPCE SA | 5.100% | 1/26/26 | 12,500 | 12,404 | |
| Canadian Imperial Bank of Commerce | 3.300% | 4/7/25 | 5,000 | 4,893 | ||
| Canadian Imperial Bank of Commerce | 5.144% | 4/28/25 | 30,500 | 30,407 | ||
| Charles Schwab Corp. | 3.450% | 2/13/26 | 2,745 | 2,660 | ||
| Citibank NA | 5.864% | 9/29/25 | 8,520 | 8,599 | ||
| Citigroup Inc. | 0.981% | 5/1/25 | 4,998 | 4,975 | ||
| Citigroup Inc. | 3.700% | 1/12/26 | 2,130 | 2,074 | ||
| Citigroup Inc. | 2.014% | 1/25/26 | 2,550 | 2,472 | ||
| Citigroup Inc. | 3.290% | 3/17/26 | 1,500 | 1,466 | ||
| Cooperatieve Rabobank UA | 4.850% | 1/9/26 | 30,000 | 29,928 | ||
| Credit Suisse AG | 2.950% | 4/9/25 | 5,200 | 5,061 | ||
| Credit Suisse AG | 1.250% | 8/7/26 | 3,846 | 3,505 | ||
| 2 | Danske Bank A/S | 6.259% | 9/22/26 | 20,030 | 20,228 | |
| Franklin Resources Inc. | 2.850% | 3/30/25 | 1,300 | 1,267 | ||
| 2 | GA Global Funding Trust | 1.000% | 4/8/24 | 7,590 | 7,581 | |
| 2 | GA Global Funding Trust | 3.850% | 4/11/25 | 1,080 | 1,060 | |
| Goldman Sachs Bank USA | 5.283% | 3/18/27 | 28,000 | 27,972 | ||
| Goldman Sachs Group Inc. | 5.798% | 8/10/26 | 23,235 | 23,313 | ||
| HSBC Holdings plc | 4.180% | 12/9/25 | 1,600 | 1,580 | ||
| HSBC Holdings plc | 2.999% | 3/10/26 | 7,420 | 7,229 | ||
| HSBC Holdings plc | 1.645% | 4/18/26 | 7,235 | 6,931 | ||
| HSBC Holdings plc | 2.099% | 6/4/26 | 12,965 | 12,432 | ||
| HSBC Holdings plc | 4.292% | 9/12/26 | 12,435 | 12,204 | ||
| HSBC USA Inc. | 5.625% | 3/17/25 | 3,690 | 3,696 | ||
| Huntington Bancshares Inc. | 4.000% | 5/15/25 | 3,905 | 3,834 | ||
| Huntington National Bank | 5.699% | 11/18/25 | 5,062 | 5,025 | ||
| Intercontinental Exchange Inc. | 3.650% | 5/23/25 | 41,891 | 41,119 | ||
| Invesco Finance plc | 3.750% | 1/15/26 | 7,860 | 7,663 | ||
| JPMorgan Chase & Co. | 1.561% | 12/10/25 | 5,017 | 4,877 | ||
| JPMorgan Chase & Co. | 2.595% | 2/24/26 | 4,904 | 4,778 | ||
| JPMorgan Chase & Co. | 2.005% | 3/13/26 | 7,465 | 7,215 | ||
| JPMorgan Chase & Co. | 2.083% | 4/22/26 | 7,054 | 6,798 | ||
| JPMorgan Chase & Co. | 4.080% | 4/26/26 | 7,000 | 6,892 | ||
| JPMorgan Chase & Co. | 1.040% | 2/4/27 | 2,395 | 2,215 | ||
| Lloyds Banking Group plc | 4.450% | 5/8/25 | 10,000 | 9,877 | ||
| Lloyds Banking Group plc | 2.438% | 2/5/26 | 1,000 | 972 | ||
| Lloyds Banking Group plc | 3.511% | 3/18/26 | 5,095 | 4,984 | ||
| Lloyds Banking Group plc | 4.716% | 8/11/26 | 5,060 | 4,998 | ||
| 2 | Macquarie Group Ltd. | 6.207% | 11/22/24 | 18,000 | 18,039 | |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 930 | 907 | ||
| Manufacturers & Traders Trust Co. | 4.650% | 1/27/26 | 1,109 | 1,085 | ||
| Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 20,745 | 20,147 | ||
| Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 3,990 | 3,929 | ||
| Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 263 | 250 | ||
| Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | 1,524 | 1,518 | ||
| Mitsubishi UFJ Financial Group Inc. | 5.719% | 2/20/26 | 7,240 | 7,246 | ||
| Mitsubishi UFJ Financial Group Inc. | 5.541% | 4/17/26 | 4,060 | 4,059 | ||
| Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 1,630 | 1,571 | ||
| Morgan Stanley | 2.630% | 2/18/26 | 3,400 | 3,309 | ||
| Morgan Stanley | 2.188% | 4/28/26 | 3,895 | 3,758 | ||
| Morgan Stanley | 1.593% | 5/4/27 | 10,440 | 9,654 | ||
| Morgan Stanley | 1.512% | 7/20/27 | 1,980 | 1,817 | ||
| Nasdaq Inc. | 5.650% | 6/28/25 | 17,356 | 17,413 | ||
| National Australia Bank Ltd. | 4.750% | 12/10/25 | 12,720 | 12,672 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| National Bank of Canada | 5.250% | 1/17/25 | 8,460 | 8,441 | ||
| 2 | Nationwide Building Society | 1.000% | 8/28/25 | 8,000 | 7,537 | |
| 2 | New York Life Global Funding | 1.150% | 6/9/26 | 5,461 | 5,010 | |
| Nomura Holdings Inc. | 2.648% | 1/16/25 | 3,610 | 3,524 | ||
| Nomura Holdings Inc. | 1.851% | 7/16/25 | 9,450 | 9,001 | ||
| 2 | Nordea Bank Abp | 4.750% | 9/22/25 | 1,790 | 1,777 | |
| 2 | Nuveen Finance LLC | 4.125% | 11/1/24 | 7,265 | 7,199 | |
| 2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.000% | 7/15/25 | 9,923 | 9,719 | |
| 2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 5.750% | 5/24/26 | 6,064 | 6,107 | |
| 2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 1.700% | 6/15/26 | 858 | 791 | |
| 2 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 5.350% | 1/12/27 | 1,710 | 1,712 | |
| PNC Bank NA | 2.950% | 2/23/25 | 625 | 611 | ||
| PNC Bank NA | 3.250% | 6/1/25 | 5,214 | 5,082 | ||
| PNC Financial Services Group Inc. | 2.200% | 11/1/24 | 4,413 | 4,324 | ||
| PNC Financial Services Group Inc. | 5.671% | 10/28/25 | 16,750 | 16,741 | ||
| PNC Financial Services Group Inc. | 5.812% | 6/12/26 | 15,063 | 15,115 | ||
| 2 | Protective Life Global Funding | 3.104% | 4/15/24 | 372 | 372 | |
| Royal Bank of Canada | 5.200% | 7/20/26 | 7,880 | 7,903 | ||
| 4,5 | Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850% | 6.194% | 6/28/25 | 10,060 | 6,567 | |
| State Street Corp. | 2.354% | 11/1/25 | 6,687 | 6,559 | ||
| State Street Corp. | 4.857% | 1/26/26 | 4,727 | 4,699 | ||
| State Street Corp. | 2.901% | 3/30/26 | 1,058 | 1,030 | ||
| State Street Corp. | 5.104% | 5/18/26 | 33,000 | 32,886 | ||
| State Street Corp. | 5.751% | 11/4/26 | 500 | 503 | ||
| Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 13,921 | 13,256 | ||
| Toronto-Dominion Bank | 0.750% | 9/11/25 | 9,278 | 8,715 | ||
| Toronto-Dominion Bank | 1.200% | 6/3/26 | 5,170 | 4,757 | ||
| Toronto-Dominion Bank | 5.532% | 7/17/26 | 2,944 | 2,969 | ||
| Truist Bank | 1.500% | 3/10/25 | 8,256 | 7,957 | ||
| Truist Financial Corp. | 3.700% | 6/5/25 | 12,247 | 12,007 | ||
| Truist Financial Corp. | 1.200% | 8/5/25 | 220 | 208 | ||
| UBS AG | 5.800% | 9/11/25 | 34,154 | 34,393 | ||
| 2 | UBS Group AG | 5.711% | 1/12/27 | 478 | 480 | |
| 2 | UBS Group AG | 1.305% | 2/2/27 | 8,560 | 7,906 | |
| US Bancorp | 3.950% | 11/17/25 | 15,000 | 14,695 | ||
| US Bancorp | 2.375% | 7/22/26 | 2,257 | 2,127 | ||
| US Bancorp | 5.727% | 10/21/26 | 27,000 | 27,144 | ||
| Wells Fargo & Co. | 3.550% | 9/29/25 | 3,620 | 3,529 | ||
| Wells Fargo & Co. | 2.406% | 10/30/25 | 5,582 | 5,475 | ||
| Wells Fargo & Co. | 2.164% | 2/11/26 | 8,452 | 8,198 | ||
| Wells Fargo & Co. | 2.188% | 4/30/26 | 5,960 | 5,740 | ||
| Wells Fargo & Co. | 4.540% | 8/15/26 | 5,320 | 5,252 | ||
| Wells Fargo Bank NA | 4.811% | 1/15/26 | 3,500 | 3,482 | ||
| Westpac Banking Corp. | 5.512% | 11/17/25 | 4,980 | 5,016 | ||
| 4,5 | Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.980% | 6.315% | 8/27/29 | 2,600 | 1,701 | |
| 1,109,682 | ||||||
| Health Care (3.5%) | ||||||
| AbbVie Inc. | 4.800% | 3/15/27 | 24,725 | 24,734 | ||
| Aetna Inc. | 3.500% | 11/15/24 | 1,396 | 1,377 | ||
| Amgen Inc. | 3.125% | 5/1/25 | 7,190 | 7,019 | ||
| Baxalta Inc. | 4.000% | 6/23/25 | 7,638 | 7,511 | ||
| Baxter International Inc. | 1.322% | 11/29/24 | 2,180 | 2,117 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| Bristol-Myers Squibb Co. | 4.900% | 2/22/27 | 980 | 983 | ||
| Cencora Inc. | 3.400% | 5/15/24 | 11,650 | 11,613 | ||
| Cigna Group | 1.250% | 3/15/26 | 2,000 | 1,853 | ||
| CVS Health Corp. | 3.875% | 7/20/25 | 9,711 | 9,530 | ||
| Elevance Health Inc. | 2.375% | 1/15/25 | 1,633 | 1,593 | ||
| Elevance Health Inc. | 5.350% | 10/15/25 | 3,560 | 3,563 | ||
| GE HealthCare Technologies Inc. | 5.550% | 11/15/24 | 2,620 | 2,615 | ||
| GE HealthCare Technologies Inc. | 5.600% | 11/15/25 | 25,232 | 25,317 | ||
| HCA Inc. | 5.375% | 2/1/25 | 18,485 | 18,432 | ||
| Humana Inc. | 3.850% | 10/1/24 | 4,290 | 4,250 | ||
| Pfizer Investment Enterprises Pte Ltd. | 4.450% | 5/19/26 | 3,160 | 3,128 | ||
| Quest Diagnostics Inc. | 3.500% | 3/30/25 | 15,485 | 15,178 | ||
| Zoetis Inc. | 4.500% | 11/13/25 | 5,000 | 4,940 | ||
| Zoetis Inc. | 5.400% | 11/14/25 | 1,695 | 1,697 | ||
| 147,450 | ||||||
| Industrials (4.0%) | ||||||
| 5 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 7,160 | 4,666 | |
| 2 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 4,143 | 4,099 | |
| 2 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 3,000 | 2,928 | |
| Boeing Co. | 4.875% | 5/1/25 | 19,699 | 19,478 | ||
| Boeing Co. | 2.750% | 2/1/26 | 1,310 | 1,242 | ||
| Boeing Co. | 2.196% | 2/4/26 | 1,470 | 1,376 | ||
| 5 | Brisbane Airport Corp. Pty Ltd. | 3.900% | 4/24/25 | 7,500 | 4,841 | |
| Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 17,500 | 17,104 | ||
| Carrier Global Corp. | 2.242% | 2/15/25 | 10,928 | 10,596 | ||
| Carrier Global Corp. | 5.800% | 11/30/25 | 4,342 | 4,370 | ||
| CNH Industrial Capital LLC | 5.450% | 10/14/25 | 2,820 | 2,827 | ||
| 2 | Daimler Truck Finance North America LLC | 3.500% | 4/7/25 | 334 | 327 | |
| 2 | Daimler Truck Finance North America LLC | 5.600% | 8/8/25 | 11,745 | 11,755 | |
| 2 | Daimler Truck Finance North America LLC | 5.150% | 1/16/26 | 3,848 | 3,837 | |
| 2 | Daimler Truck Finance North America LLC | 5.000% | 1/15/27 | 5,075 | 5,064 | |
| GE Capital International Funding Co. Unlimited Co. | 3.373% | 11/15/25 | 6,143 | 5,944 | ||
| Huntington Ingalls Industries Inc. | 3.844% | 5/1/25 | 9,140 | 8,962 | ||
| L3Harris Technologies Inc. | 3.950% | 5/28/24 | 2,400 | 2,392 | ||
| L3Harris Technologies Inc. | 3.832% | 4/27/25 | 279 | 274 | ||
| 5 | Lonsdale Finance Pty Ltd. | 3.900% | 10/15/25 | 7,100 | 4,554 | |
| Otis Worldwide Corp. | 2.056% | 4/5/25 | 381 | 368 | ||
| 5 | Pacific National Finance Pty Ltd. | 5.250% | 5/19/25 | 1,320 | 859 | |
| Parker-Hannifin Corp. | 3.300% | 11/21/24 | 2,875 | 2,833 | ||
| Republic Services Inc. | 0.875% | 11/15/25 | 10,718 | 9,994 | ||
| RTX Corp. | 3.950% | 8/16/25 | 3,120 | 3,068 | ||
| Ryder System Inc. | 4.625% | 6/1/25 | 9,731 | 9,631 | ||
| Ryder System Inc. | 3.350% | 9/1/25 | 3,899 | 3,787 | ||
| Southwest Airlines Co. | 5.250% | 5/4/25 | 20,699 | 20,614 | ||
| 167,790 | ||||||
| Materials (1.6%) | ||||||
| Celanese US Holdings LLC | 3.500% | 5/8/24 | 1,762 | 1,757 | ||
| DuPont de Nemours Inc. | 4.493% | 11/15/25 | 11,269 | 11,121 | ||
| Eastman Chemical Co. | 3.800% | 3/15/25 | 3,105 | 3,050 | ||
| Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 4,935 | 4,897 | ||
| 2 | Georgia-Pacific LLC | 0.950% | 5/15/26 | 2,642 | 2,422 | |
| 2 | Glencore Funding LLC | 4.000% | 4/16/25 | 4,546 | 4,469 | |
| 2 | Glencore Funding LLC | 1.625% | 9/1/25 | 6,265 | 5,930 | |
| 2 | Newmont Corp./Newcrest Finance Pty. Ltd. | 5.300% | 3/15/26 | 8,920 | 8,943 | |
| Nutrien Ltd. | 5.950% | 11/7/25 | 23,268 | 23,464 | ||
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| Packaging Corp. of America | 3.650% | 9/15/24 | 1,160 | 1,148 | ||
| 67,201 | ||||||
| Real Estate (3.7%) | ||||||
| Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 1,000 | 984 | ||
| American Tower Corp. | 2.950% | 1/15/25 | 8,758 | 8,571 | ||
| American Tower Corp. | 2.400% | 3/15/25 | 400 | 388 | ||
| American Tower Corp. | 4.000% | 6/1/25 | 16,593 | 16,293 | ||
| American Tower Corp. | 1.300% | 9/15/25 | 4,822 | 4,546 | ||
| Boston Properties LP | 3.650% | 2/1/26 | 6,036 | 5,816 | ||
| Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 6,010 | 5,906 | ||
| Crown Castle Inc. | 3.700% | 6/15/26 | 2,760 | 2,665 | ||
| Equinix Inc. | 1.250% | 7/15/25 | 1,151 | 1,089 | ||
| Equinix Inc. | 1.000% | 9/15/25 | 750 | 701 | ||
| ERP Operating LP | 3.375% | 6/1/25 | 19,420 | 18,962 | ||
| Essex Portfolio LP | 3.500% | 4/1/25 | 11,460 | 11,225 | ||
| Extra Space Storage LP | 3.500% | 7/1/26 | 3,764 | 3,617 | ||
| 5 | General Property Trust | 3.673% | 9/19/24 | 580 | 375 | |
| Healthpeak OP LLC | 3.400% | 2/1/25 | 1,050 | 1,030 | ||
| Healthpeak OP LLC | 4.000% | 6/1/25 | 5,870 | 5,760 | ||
| Kimco Realty OP LLC | 3.300% | 2/1/25 | 5,010 | 4,910 | ||
| Mid-America Apartments LP | 4.000% | 11/15/25 | 6,070 | 5,950 | ||
| NNN REIT Inc. | 3.900% | 6/15/24 | 4,510 | 4,487 | ||
| NNN REIT Inc. | 4.000% | 11/15/25 | 1,690 | 1,653 | ||
| Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 870 | 860 | ||
| Realty Income Corp. | 3.875% | 4/15/25 | 8,071 | 7,941 | ||
| Realty Income Corp. | 4.625% | 11/1/25 | 9,320 | 9,229 | ||
| 5 | Region Retail Trust | 3.900% | 6/7/24 | 2,220 | 1,444 | |
| Simon Property Group LP | 3.375% | 10/1/24 | 11,533 | 11,401 | ||
| Simon Property Group LP | 3.300% | 1/15/26 | 1,620 | 1,567 | ||
| Ventas Realty LP | 3.500% | 4/15/24 | 1,400 | 1,399 | ||
| Ventas Realty LP | 2.650% | 1/15/25 | 3,585 | 3,495 | ||
| Ventas Realty LP | 4.125% | 1/15/26 | 400 | 391 | ||
| Welltower OP LLC | 4.000% | 6/1/25 | 11,738 | 11,538 | ||
| 154,193 | ||||||
| Technology (2.9%) | ||||||
| Broadcom Inc. | 3.625% | 10/15/24 | 10,240 | 10,126 | ||
| Dell International LLC / EMC Corp. | 5.850% | 7/15/25 | 6,202 | 6,233 | ||
| Equifax Inc. | 2.600% | 12/15/25 | 4,892 | 4,669 | ||
| Global Payments Inc. | 2.650% | 2/15/25 | 6,973 | 6,792 | ||
| Hewlett Packard Enterprise Co. | 5.900% | 10/1/24 | 22,602 | 22,621 | ||
| Hewlett Packard Enterprise Co. | 1.750% | 4/1/26 | 7,581 | 7,079 | ||
| HP Inc. | 2.200% | 6/17/25 | 26,394 | 25,393 | ||
| NXP BV / NXP Funding LLC | 5.350% | 3/1/26 | 2,422 | 2,422 | ||
| NXP BV / NXP Funding LLC / NXP USA Inc. | 3.875% | 6/18/26 | 7,695 | 7,469 | ||
| Oracle Corp. | 3.400% | 7/8/24 | 2,942 | 2,922 | ||
| Oracle Corp. | 2.500% | 4/1/25 | 15,989 | 15,508 | ||
| Oracle Corp. | 2.950% | 5/15/25 | 1,250 | 1,217 | ||
| Oracle Corp. | 5.800% | 11/10/25 | 2,093 | 2,110 | ||
| Verisk Analytics Inc. | 4.000% | 6/15/25 | 7,590 | 7,453 | ||
| 122,014 | ||||||
| Utilities (4.1%) | ||||||
| Abu Dhabi National Energy Co. PJSC | 3.875% | 5/6/24 | 1,100 | 1,098 | ||
| American Electric Power Co. Inc. | 5.699% | 8/15/25 | 10,000 | 10,016 | ||
| Appalachian Power Co. | 3.400% | 6/1/25 | 6,129 | 5,976 | ||
| 5 | Ausgrid Finance Pty Ltd. | 3.750% | 10/30/24 | 11,300 | 7,310 | |
| 4,5 | Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400% | 4.743% | 7/1/24 | 4,500 | 2,928 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | 5,874 | 5,797 | ||
| CenterPoint Energy Inc. | 2.500% | 9/1/24 | 4,089 | 4,031 | ||
| Constellation Energy Generation LLC | 3.250% | 6/1/25 | 14,355 | 14,028 | ||
| 5 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 4,850 | 3,120 | |
| DTE Energy Co. | 1.050% | 6/1/25 | 5,350 | 5,081 | ||
| Duke Energy Corp. | 0.900% | 9/15/25 | 3,887 | 3,649 | ||
| 5 | Energy Partnership Gas Pty Ltd. | 3.642% | 12/11/24 | 7,020 | 4,531 | |
| Eversource Energy | 0.800% | 8/15/25 | 1,258 | 1,178 | ||
| Exelon Corp. | 3.950% | 6/15/25 | 1,118 | 1,097 | ||
| ITC Holdings Corp. | 3.650% | 6/15/24 | 7 | 7 | ||
| 5 | Network Finance Co. Pty Ltd. | 3.500% | 12/6/24 | 8,380 | 5,411 | |
| NextEra Energy Capital Holdings Inc. | 5.749% | 9/1/25 | 5,630 | 5,655 | ||
| NextEra Energy Capital Holdings Inc. | 4.950% | 1/29/26 | 17,720 | 17,638 | ||
| NiSource Inc. | 0.950% | 8/15/25 | 25,530 | 24,026 | ||
| Public Service Enterprise Group Inc. | 0.800% | 8/15/25 | 4,865 | 4,572 | ||
| Sempra | 5.400% | 8/1/26 | 3,774 | 3,787 | ||
| Sierra Pacific Power Co. | 2.600% | 5/1/26 | 2,713 | 2,577 | ||
| Southern Co. | 5.150% | 10/6/25 | 16,535 | 16,512 | ||
| 5 | United Energy Distribution Pty Ltd. | 3.850% | 10/23/24 | 4,230 | 2,741 | |
| 4,5 | Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.500% | 4.835% | 8/23/24 | 3,100 | 2,018 | |
| Virginia Electric and Power Co. | 3.150% | 1/15/26 | 5,320 | 5,138 | ||
| 1 | Virginia Power Fuel Securitization LLC | 5.088% | 5/1/29 | 3,540 | 3,532 | |
| WEC Energy Group Inc. | 5.000% | 9/27/25 | 2,560 | 2,546 | ||
| WEC Energy Group Inc. | 4.750% | 1/9/26 | 2,593 | 2,570 | ||
| 168,570 | ||||||
| Total Corporate Bonds (Cost $2,520,997) | 2,522,860 | |||||
| Sovereign Bonds (0.4%) | ||||||
| 6 | Republic of Indonesia | 1.750% | 4/24/25 | 2,500 | 2,626 | |
| Republic of Peru | 7.350% | 7/21/25 | 2,195 | 2,247 | ||
| Socialist Republic of Vietnam | 4.800% | 11/19/24 | 7,620 | 7,571 | ||
| Sultanate of Oman | 4.875% | 2/1/25 | 3,120 | 3,090 | ||
| Total Sovereign Bonds (Cost $15,579) | 15,534 | |||||
| Shares | ||||||
| Temporary Cash Investments (9.8%) | ||||||
| Money Market Fund (2.1%) | ||||||
| 7 | Vanguard Market Liquidity Fund | 5.407% | 863,959 | 86,379 | ||
| Maturity Date | Face Amount ($000) | |||||
| Commercial Paper (0.4%) | ||||||
| 8 | CDP Financial Inc. | 5.497% | 4/15/24 | 15,270 | 15,229 | |
| Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
| U.S. Government and Agency Obligations (7.3%) | ||||||
| 9 | United States Treasury Bill | 5.020%–5.069% | 2/20/25 | 321,000 | 307,018 | |
| Total Temporary Cash Investments (Cost $408,828) | 408,626 | |||||
| Total Investments (99.6%) (Cost $4,149,610) | 4,153,955 | |||||
| Other Assets and Liabilities—Net (0.4%) | 15,627 | |||||
| Net Assets (100%) | 4,169,582 | |||||
| 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 March 31, 2024, the aggregate value was $859,381,000, representing 20.6% 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 | Face amount denominated in euro. |
| 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. |
| 8 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.“ At March 31, 2024, the aggregate value of these securities was $15,229,000, representing 0.4% of net assets. |
| 9 | Securities with a value of $2,502,000 have been segregated as initial margin for open futures contracts. |
| 3M—3-month. | |
| DAC—Designated Activity Company. | |
| REIT—Real Estate Investment Trust. | |
| REMICS—Real Estate Mortgage Investment Conduits. | |
| SOFR—Secured Overnight Financing Rate. | |
| SOFR30A—30 Day Average 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 | June 2024 | (1,385) | (283,211) | 399 |
| 5-Year U.S. Treasury Note | June 2024 | (623) | (66,671) | (13) |
| 386 | ||||
| Forward Currency Contracts | |||||||
| Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
| Counterparty | Receive | Deliver | |||||
| Deutsche Bank AG | 4/26/24 | AUD | 1,845 | USD | 1,207 | — | (3) |
| Forward Currency Contracts (continued) | |||||||
| Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
| Counterparty | Receive | Deliver | |||||
| JPMorgan Chase Bank, N.A. | 4/26/24 | USD | 61,790 | AUD | 93,312 | 938 | — |
| JPMorgan Chase Bank, N.A. | 4/26/24 | USD | 2,693 | EUR | 2,463 | 33 | — |
| 971 | (3) | ||||||
| AUD—Australian dollar. |
| EUR—euro. |
| USD—U.S. dollar. |
At March 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $770,000 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 other temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. Risks associated with these types of forward currency contracts include movement in the
values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
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 March 31, 2024, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 152,267 | — | 152,267 |
| Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,054,668 | — | 1,054,668 |
| Corporate Bonds | — | 2,522,860 | — | 2,522,860 |
| Sovereign Bonds | — | 15,534 | — | 15,534 |
| Temporary Cash Investments | 86,379 | 322,247 | — | 408,626 |
| Total | 86,379 | 4,067,576 | — | 4,153,955 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 399 | — | — | 399 |
| Forward Currency Contracts | — | 971 | — | 971 |
| Total | 399 | 971 | — | 1,370 |
| Liabilities | ||||
| Futures Contracts1 | 13 | — | — | 13 |
| Forward Currency Contracts | — | 3 | — | 3 |
| Total | 13 | 3 | — | 16 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |