UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05628
Name of Registrant: | Vanguard Malvern Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: September 30
Date of reporting period: October 1, 2021—September 30, 2022
Item 1: Reports to Shareholders
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Performance Summary | 4 |
Financial Statements | 7 |
• | The 12 months ended September 30, 2022, were a challenging period for financial markets. Returns for Vanguard Short-Term Inflation-Protected Securities Index Fund ranged from –3.01% for Investor Shares to –2.92% for ETF Shares (based on net asset value). The fund’s benchmark, which incurs no expenses, returned –2.86%. |
• | Early on, pent-up demand helped spur global growth and push unemployment rates down. The economic backdrop deteriorated, however, as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | With yields rising and bond prices falling, the U.S. investment-grade bond market returned -14.61% for the 12 months, as measured by the Bloomberg U.S. Aggregate Float Adjusted Index. |
• | Elevated inflation contributed to a rise in the principal value of the bonds in the fund’s portfolio. However, rising U.S. Treasury yields put downward pressure on bond prices, including those of inflation-protected securities. Fed rate hikes lowered inflation expectations, which also weighed on Treasury Inflation-Protected Securities (TIPS) prices. |
Average Annual Total Returns Periods Ended September 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -17.22% | 7.95% | 9.00% |
Russell 2000 Index (Small-caps) | -23.50 | 4.29 | 3.55 |
Russell 3000 Index (Broad U.S. market) | -17.63 | 7.70 | 8.62 |
FTSE All-World ex US Index (International) | -24.76 | -0.95 | -0.38 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -14.61% | -3.22% | -0.23% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -11.50 | -1.85 | 0.59 |
FTSE Three-Month U.S. Treasury Bill Index | 0.63 | 0.57 | 1.12 |
CPI | |||
Consumer Price Index | 8.20% | 4.95% | 3.76% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Inflation-Protected Securities Index Fund | |||
Investor Shares | $1,000.00 | $962.40 | $0.69 |
ETF Shares | 1,000.00 | 962.70 | 0.20 |
Admiral™ Shares | 1,000.00 | 962.50 | 0.30 |
Institutional Shares | 1,000.00 | 962.60 | 0.20 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Inflation-Protected Securities Index Fund | |||
Investor Shares | $1,000.00 | $1,024.37 | $0.71 |
ETF Shares | 1,000.00 | 1,024.87 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.77 | 0.30 |
Institutional Shares | 1,000.00 | 1,024.87 | 0.20 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Since Inception (10/16/2012) | Final Value of a $10,000 Investment | ||
Short-Term Inflation-Protected Securities Index Fund Investor Shares | -3.01% | 2.21% | 1.15% | $11,206 | |
Bloomberg U.S. 0-5 Year Treasury Inflation-Protected Securities Index | -2.86 | 2.35 | 1.26 | 11,333 | |
Bloomberg U.S. Aggregate Bond Index | -14.60 | -0.27 | 0.89 | 10,925 |
One Year | Five Years | Since Inception (10/12/2012) | Final Value of a $10,000 Investment | ||
Short-Term Inflation-Protected Securities Index Fund ETF Shares Net Asset Value | -2.92% | 2.31% | 1.24% | $11,308 | |
Short-Term Inflation-Protected Securities Index Fund ETF Shares Market Price Value | -2.97 | 2.29 | 1.24 | 11,308 | |
Bloomberg U.S. 0-5 Year Treasury Inflation Protected Securities Index | -2.86 | 2.35 | 1.26 | 11,331 | |
Bloomberg U.S. Aggregate Bond Index | -14.60 | -0.27 | 0.88 | 10,910 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Since Inception (10/16/2012) | Final Value of a $10,000 Investment | ||
Short-Term Inflation-Protected Securities Index Fund Admiral Shares | -2.92% | 2.30% | 1.24% | $11,303 | |
Bloomberg U.S. 0-5 Year Treasury Inflation-Protected Securities Index | -2.86 | 2.35 | 1.26 | 11,333 | |
Bloomberg U.S. Aggregate Bond Index | -14.60 | -0.27 | 0.89 | 10,925 |
One Year | Five Years | Since Inception (10/17/2012) | Final Value of a $5,000,000 Investment | ||
Short-Term Inflation-Protected Securities Index Fund Institutional Shares | -2.94% | 2.31% | 1.26% | $5,665,763 | |
Bloomberg U.S. 0-5 Year Treasury Inflation-Protected Securities Index | -2.86 | 2.35 | 1.27 | 5,670,125 | |
Bloomberg U.S. Aggregate Bond Index | -14.60 | -0.27 | 0.92 | 5,475,024 |
One Year | Five Years | Since Inception (10/12/2012) | |
Short-Term Inflation-Protected Securities Index Fund ETF Shares Market Price | -2.97% | 11.99% | 13.08% |
Short-Term Inflation-Protected Securities Index Fund ETF Shares Net Asset Value | -2.92 | 12.09 | 13.08 |
Bloomberg U.S. 0-5 Year Treasury Inflation-Protected Securities Index | -2.86 | 12.31 | 13.31 |
Under 1 Year | 19.5% |
1 - 2 Years | 15.4 |
2 - 3 Years | 23.3 |
3 - 4 Years | 20.2 |
4 - 5 Years | 21.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.2%) | ||||||
U.S. Government Securities (99.2%) | ||||||
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 3,959,447 | 3,916,140 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 4/15/23 | 3,379,383 | 3,327,108 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/23 | 3,800,921 | 3,736,780 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/24 | 3,619,007 | 3,532,491 | ||
United States Treasury Inflation Indexed Bonds | 0.500% | 4/15/24 | 2,031,642 | 1,972,598 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/24 | 3,285,529 | 3,170,535 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/24 | 2,931,199 | 2,816,699 | ||
United States Treasury Inflation Indexed Bonds | 0.250% | 1/15/25 | 3,004,742 | 2,872,815 | ||
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/25 | 2,047,702 | 2,052,181 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/25 | 2,400,534 | 2,275,256 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/25 | 3,294,966 | 3,146,178 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/25 | 2,920,843 | 2,758,371 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 2,774,043 | 2,647,477 | ||
United States Treasury Inflation Indexed Bonds | 2.000% | 1/15/26 | 1,321,346 | 1,316,597 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/26 | 2,256,805 | 2,107,292 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 2,764,872 | 2,585,588 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/26 | 3,122,201 | 2,908,037 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 1/15/27 | 2,574,775 | 2,404,196 | ||
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/27 | 1,277,778 | 1,296,746 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/27 | 3,190,111 | 2,940,385 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/27 | 2,839,311 | 2,648,545 | ||
Total U.S. Government and Agency Obligations (Cost $60,811,433) | 56,432,015 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $4,026) | 2.828% | 40,279 | 4,027 | ||
Total Investments (99.2%) (Cost $60,815,459) | 56,436,042 | |||||
Other Assets and Liabilities—Net (0.8%) | 434,355 | |||||
Net Assets (100%) | 56,870,397 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $60,811,433) | 56,432,015 |
Affiliated Issuers (Cost $4,026) | 4,027 |
Total Investments in Securities | 56,436,042 |
Investment in Vanguard | 2,243 |
Cash | 9,816 |
Receivables for Investment Securities Sold | 428,464 |
Receivables for Accrued Income | 69,250 |
Receivables for Capital Shares Issued | 6,827 |
Total Assets | 56,952,642 |
Liabilities | |
Payables for Investment Securities Purchased | 35 |
Payables for Capital Shares Redeemed | 46,968 |
Payables for Distributions | 34,106 |
Payables to Vanguard | 1,136 |
Total Liabilities | 82,245 |
Net Assets | 56,870,397 |
Statement of Assets and Liabilities (continued) | |
At September 30, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 60,215,776 |
Total Distributable Earnings (Loss) | (3,345,379) |
Net Assets | 56,870,397 |
Investor Shares—Net Assets | |
Applicable to 384,029 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,086 |
Net Asset Value Per Share—Investor Shares | $23.66 |
ETF Shares—Net Assets | |
Applicable to 398,856,763 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,191,091 |
Net Asset Value Per Share—ETF Shares | $48.12 |
Admiral Shares—Net Assets | |
Applicable to 878,225,083 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,803,059 |
Net Asset Value Per Share—Admiral Shares | $23.69 |
Institutional Shares—Net Assets | |
Applicable to 711,555,606 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,867,161 |
Net Asset Value Per Share—Institutional Shares | $23.70 |
Year Ended September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,150,060 |
Total Income | 4,150,060 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,889 |
Management and Administrative—Investor Shares | 3,393 |
Management and Administrative—ETF Shares | 5,701 |
Management and Administrative—Admiral Shares | 9,323 |
Management and Administrative—Institutional Shares | 5,685 |
Marketing and Distribution—Investor Shares | 257 |
Marketing and Distribution—ETF Shares | 1,093 |
Marketing and Distribution—Admiral Shares | 1,061 |
Marketing and Distribution—Institutional Shares | 726 |
Custodian Fees | 227 |
Auditing Fees | 50 |
Shareholders’ Reports—Investor Shares | 24 |
Shareholders’ Reports—ETF Shares | 531 |
Shareholders’ Reports—Admiral Shares | 220 |
Shareholders’ Reports—Institutional Shares | 3 |
Trustees’ Fees and Expenses | 22 |
Other Expenses | 58 |
Total Expenses | 30,263 |
Net Investment Income | 4,119,797 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (192,050) |
Futures Contracts | 2,980 |
Realized Net Gain (Loss) | (189,070) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (5,743,140) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,812,413) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,394,000, ($8,000), $13,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $9,155,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended September 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,119,797 | 2,145,662 |
Realized Net Gain (Loss) | (189,070) | 2,883 |
Change in Unrealized Appreciation (Depreciation) | (5,743,140) | 254,644 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,812,413) | 2,403,189 |
Distributions | ||
Investor Shares | (141,339) | (267,087) |
ETF Shares | (1,128,660) | (276,171) |
Admiral Shares | (1,184,530) | (421,435) |
Institutional Shares | (1,036,198) | (511,461) |
Total Distributions | (3,490,727) | (1,476,154) |
Capital Share Transactions | ||
Investor Shares | (7,644,982) | (405,652) |
ETF Shares | 3,770,726 | 7,596,315 |
Admiral Shares | 8,726,253 | 5,184,660 |
Institutional Shares | 2,176,783 | 4,141,108 |
Net Increase (Decrease) from Capital Share Transactions | 7,028,780 | 16,516,431 |
Total Increase (Decrease) | 1,725,640 | 17,443,466 |
Net Assets | ||
Beginning of Period | 55,144,757 | 37,701,291 |
End of Period | 56,870,397 | 55,144,757 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $25.90 | $25.41 | $24.57 | $24.23 | $24.77 |
Investment Operations | |||||
Net Investment Income1 | .991 | 1.099 | .272 | .483 | .669 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.734) | .258 | .862 | .324 | (.448) |
Total from Investment Operations | (.743) | 1.357 | 1.134 | .807 | .221 |
Distributions | |||||
Dividends from Net Investment Income | (1.497) | (.867) | (.294) | (.467) | (.761) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.497) | (.867) | (.294) | (.467) | (.761) |
Net Asset Value, End of Period | $23.66 | $25.90 | $25.41 | $24.57 | $24.23 |
Total Return2 | -3.01% | 5.38% | 4.64% | 3.36% | 0.91% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $9 | $7,825 | $8,063 | $7,014 | $6,679 |
Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 3.83% | 4.25% | 1.09% | 1.98% | 2.73% |
Portfolio Turnover Rate3 | 26% | 19% | 37% | 26% | 25% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $52.56 | $50.99 | $49.03 | $48.34 | $49.41 |
Investment Operations | |||||
Net Investment Income1 | 3.544 | 2.562 | .634 | 1.003 | 1.358 |
Net Realized and Unrealized Gain (Loss) on Investments | (4.980) | .195 | 1.677 | .652 | (.869) |
Total from Investment Operations | (1.436) | 2.757 | 2.311 | 1.655 | .489 |
Distributions | |||||
Dividends from Net Investment Income | (3.004) | (1.187) | (.351) | (.965) | (1.559) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.004) | (1.187) | (.351) | (.965) | (1.559) |
Net Asset Value, End of Period | $48.12 | $52.56 | $50.99 | $49.03 | $48.34 |
Total Return | -2.92% | 5.48% | 4.74% | 3.46% | 1.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $19,191 | $17,203 | $9,217 | $6,884 | $5,453 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 6.98% | 4.95% | 1.27% | 2.07% | 2.81% |
Portfolio Turnover Rate2 | 26% | 19% | 37% | 26% | 25% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $25.93 | $25.44 | $24.60 | $24.25 | $24.79 |
Investment Operations | |||||
Net Investment Income1 | 1.843 | 1.257 | .294 | .500 | .692 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.565) | .123 | .860 | .332 | (.450) |
Total from Investment Operations | (.722) | 1.380 | 1.154 | .832 | .242 |
Distributions | |||||
Dividends from Net Investment Income | (1.518) | (.890) | (.314) | (.482) | (.782) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.518) | (.890) | (.314) | (.482) | (.782) |
Net Asset Value, End of Period | $23.69 | $25.93 | $25.44 | $24.60 | $24.25 |
Total Return2 | -2.92% | 5.47% | 4.72% | 3.46% | 1.00% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $20,803 | $13,879 | $8,541 | $7,333 | $6,525 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 7.25% | 4.84% | 1.18% | 2.06% | 2.81% |
Portfolio Turnover Rate3 | 26% | 19% | 37% | 26% | 25% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $25.95 | $25.46 | $24.62 | $24.27 | $24.81 |
Investment Operations | |||||
Net Investment Income1 | 1.760 | 1.219 | .306 | .517 | .696 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.487) | .166 | .853 | .319 | (.449) |
Total from Investment Operations | (.727) | 1.385 | 1.159 | .836 | .247 |
Distributions | |||||
Dividends from Net Investment Income | (1.523) | (.895) | (.319) | (.486) | (.787) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.523) | (.895) | (.319) | (.486) | (.787) |
Net Asset Value, End of Period | $23.70 | $25.95 | $25.46 | $24.62 | $24.27 |
Total Return | -2.94% | 5.49% | 4.73% | 3.48% | 1.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $16,867 | $16,238 | $11,880 | $9,967 | $8,067 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 6.90% | 4.69% | 1.22% | 2.08% | 2.83% |
Portfolio Turnover Rate2 | 26% | 19% | 37% | 26% | 25% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 56,432,015 | — | 56,432,015 |
Temporary Cash Investments | 4,027 | — | — | 4,027 |
Total | 4,027 | 56,432,015 | — | 56,436,042 |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 7,858 |
Total Distributable Earnings (Loss) | (7,858) |
Amount ($000) | |
Undistributed Ordinary Income | 1,463,784 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (379,238) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (4,395,819) |
Year Ended September 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 3,490,727 | 1,476,154 |
Long-Term Capital Gains | — | — |
Total | 3,490,727 | 1,476,154 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 60,831,861 |
Gross Unrealized Appreciation | 39,123 |
Gross Unrealized Depreciation | (4,434,942) |
Net Unrealized Appreciation (Depreciation) | (4,395,819) |
E. | During the year ended September 30, 2022, the fund purchased $24,155,108,000 of investment securities and sold $19,510,024,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,671,412,000 and $4,276,979,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended September 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 587,462 | 22,993 | 608,187 | 23,656 | |
Issued in Lieu of Cash Distributions | 141,339 | 5,515 | 267,087 | 10,333 | |
Redeemed | (8,373,783) | (330,254) | (1,280,926) | (49,175) | |
Net Increase (Decrease)—Investor Shares | (7,644,982) | (301,746) | (405,652) | (15,186) | |
ETF Shares | |||||
Issued | 8,166,361 | 159,299 | 8,003,265 | 154,398 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (4,395,635) | (87,750) | (406,950) | (7,875) | |
Net Increase (Decrease)—ETF Shares | 3,770,726 | 71,549 | 7,596,315 | 146,523 | |
Admiral Shares | |||||
Issued | 14,127,730 | 554,605 | 6,262,818 | 241,067 | |
Issued in Lieu of Cash Distributions | 1,083,648 | 43,847 | 381,191 | 14,717 | |
Redeemed | (6,485,125) | (255,425) | (1,459,349) | (56,287) | |
Net Increase (Decrease)—Admiral Shares | 8,726,253 | 343,027 | 5,184,660 | 199,497 | |
Institutional Shares | |||||
Issued | 4,544,360 | 178,115 | 5,370,011 | 206,636 | |
Issued in Lieu of Cash Distributions | 1,022,519 | 41,224 | 503,632 | 19,434 | |
Redeemed | (3,390,096) | (133,497) | (1,732,535) | (67,005) | |
Net Increase (Decrease)—Institutional Shares | 2,176,783 | 85,842 | 4,141,108 | 159,065 |
G. | Management has determined that no events or transactions occurred subsequent to September 30, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
November 17, 2022
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
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• | The 12 months ended September 30, 2022, were a challenging period for financial markets. Vanguard Core Bond Fund returned –15.06% for Investor Shares and –14.93% for Admiral Shares. Those results were lower than the –14.61% return of its benchmark, the Bloomberg U.S. Aggregate Float Adjusted Index. |
• | The economic backdrop deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | The fund returned less than its benchmark primarily because of its modest overweight to credit as spreads widened significantly. An out-of-benchmark allocation to Treasury Inflation-Protected Securities (TIPS) detracted as well. |
• | On the other hand, an underweight allocation to mortgage-backed securities, good security selection in credit sectors, and a slightly shorter-than-benchmark duration early in the period added value. |
Average Annual Total Returns Periods Ended September 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -17.22% | 7.95% | 9.00% |
Russell 2000 Index (Small-caps) | -23.50 | 4.29 | 3.55 |
Russell 3000 Index (Broad U.S. market) | -17.63 | 7.70 | 8.62 |
FTSE All-World ex US Index (International) | -24.76 | -0.95 | -0.38 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -14.61% | -3.22% | -0.23% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -11.50 | -1.85 | 0.59 |
FTSE Three-Month U.S. Treasury Bill Index | 0.63 | 0.57 | 1.12 |
CPI | |||
Consumer Price Index | 8.20% | 4.95% | 3.76% |
Yields of U.S. Treasury (Real Yields) | ||
Maturity | September 30, 2021 | September 30, 2022 |
2 Years | 0.28% | 4.28% |
5 Years | 0.96 | 4.09 |
10 Years | 1.49 | 3.83 |
30 Years | 2.04 | 3.78 |
Source: Vanguard. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Core Bond Fund | |||
Investor Shares | $1,000.00 | $904.70 | $0.95 |
Admiral™ Shares | 1,000.00 | 905.70 | 0.48 |
Based on Hypothetical 5% Yearly Return | |||
Core Bond Fund | |||
Investor Shares | $1,000.00 | $1,024.07 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.57 | 0.51 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Since Inception (3/28/2016) | Final Value of a $10,000 Investment | ||
Core Bond Fund Investor Shares | -15.06% | 0.11% | 0.63% | $10,418 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -14.61 | -0.23 | 0.33 | 10,219 |
One Year | Five Years | Since Inception (3/28/2016) | Final Value of a $50,000 Investment | ||
Core Bond Fund Admiral Shares | -14.93% | 0.24% | 0.75% | $52,507 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -14.61 | -0.23 | 0.33 | 51,095 |
Asset-Backed/Commercial Mortgage-Backed Securities | 11.0% |
Corporate Bonds | 32.7 |
Floating Rate Loan Interests | 0.1 |
Sovereign Bonds | 4.0 |
Taxable Municipal Bonds | 0.0 |
U.S. Government and Agency Obligations | 52.2 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (46.8%) | ||||||
U.S. Government Securities (17.8%) | ||||||
United States Treasury Note/Bond | 3.000% | 7/31/24 | 104,000 | 101,676 | ||
1 | United States Treasury Note/Bond | 4.250% | 9/30/24 | 168,000 | 168,079 | |
United States Treasury Note/Bond | 2.875% | 6/15/25 | 25,000 | 24,109 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 31,900 | 28,506 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 91,000 | 88,213 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 19,800 | 17,551 | ||
2 | United States Treasury Note/Bond | 0.500% | 2/28/26 | 120,200 | 106,058 | |
United States Treasury Note/Bond | 0.750% | 3/31/26 | 75,000 | 66,586 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 80,000 | 70,850 | ||
United States Treasury Note/Bond | 3.125% | 8/31/27 | 13,270 | 12,731 | ||
United States Treasury Note/Bond | 1.375% | 10/31/28 | 53,204 | 45,572 | ||
United States Treasury Note/Bond | 1.500% | 11/30/28 | 82,000 | 70,687 | ||
United States Treasury Note/Bond | 2.625% | 7/31/29 | 16,820 | 15,459 | ||
United States Treasury Note/Bond | 2.750% | 8/15/32 | 21,620 | 19,775 | ||
United States Treasury Note/Bond | 1.125% | 5/15/40 | 2,000 | 1,248 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 7,200 | 4,456 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 5,500 | 3,553 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 58,000 | 41,062 | ||
2,3 | United States Treasury Note/Bond | 2.250% | 5/15/41 | 20,000 | 15,106 | |
United States Treasury Note/Bond | 2.000% | 11/15/41 | 47,400 | 33,898 | ||
3 | United States Treasury Note/Bond | 2.375% | 2/15/42 | 54,700 | 41,897 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 9,000 | 7,307 | ||
United States Treasury Note/Bond | 3.375% | 8/15/42 | 22,000 | 19,931 | ||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 8,000 | 6,830 | ||
United States Treasury Note/Bond | 2.750% | 11/15/47 | 22,600 | 18,066 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 10,820 | 9,102 | ||
United States Treasury Note/Bond | 3.000% | 8/15/52 | 121,020 | 104,474 | ||
1,142,782 | ||||||
Agency Bonds and Notes (7.8%) | ||||||
4,5 | Federal Home Loan Mortgage Corp. | 4.000% | 8/28/24 | 45,000 | 44,480 | |
4,5 | Federal Home Loan Mortgage Corp. | 4.000% | 2/28/25 | 210,400 | 206,989 | |
4,5 | Federal Home Loan Mortgage Corp. | 4.050% | 8/28/25 | 117,000 | 114,578 | |
4,5 | Federal Home Loan Mortgage Corp. | 4.200% | 8/28/25 | 140,000 | 137,462 | |
503,509 | ||||||
Conventional Mortgage-Backed Securities (21.2%) | ||||||
4,5 | Fannie Mae Pool | 3.000% | 10/1/46–3/1/48 | 568 | 484 | |
4,5 | Fannie Mae Pool | 3.500% | 7/1/47–2/1/50 | 1,289 | 1,154 | |
4,5 | Fannie Mae Pool | 4.000% | 9/1/42 | 195 | 184 | |
4,5 | Fannie Mae Pool | 5.000% | 10/1/49 | 31 | 30 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,5 | Freddie Mac Gold Pool | 3.000% | 9/1/46–8/1/47 | 21,046 | 18,641 | |
4,5 | Freddie Mac Gold Pool | 3.500% | 3/1/45–2/1/50 | 1,858 | 1,662 | |
4,5 | Freddie Mac Gold Pool | 4.000% | 7/1/39–12/1/49 | 1,369 | 1,287 | |
4,5 | Freddie Mac Gold Pool | 4.500% | 12/1/39–2/1/49 | 1,783 | 1,730 | |
4,5 | Freddie Mac Gold Pool | 5.000% | 12/1/35–6/1/40 | 683 | 700 | |
4,5 | Freddie Mac Gold Pool | 5.500% | 5/1/40 | 91 | 94 | |
4 | Ginnie Mae I Pool | 3.000% | 4/15/45 | 149 | 131 | |
4 | Ginnie Mae I Pool | 3.500% | 6/15/47 | 592 | 547 | |
4 | Ginnie Mae I Pool | 4.000% | 7/15/45–8/15/45 | 43 | 40 | |
4 | Ginnie Mae I Pool | 4.500% | 2/15/39–9/15/46 | 593 | 579 | |
4 | Ginnie Mae I Pool | 6.000% | 7/15/37 | 25 | 27 | |
4,6 | Ginnie Mae II Pool | 2.000% | 11/20/50–10/15/52 | 53,147 | 44,104 | |
4,6 | Ginnie Mae II Pool | 2.500% | 5/20/50–10/15/52 | 52,983 | 43,965 | |
4,6 | Ginnie Mae II Pool | 3.000% | 5/20/43–11/15/52 | 68,944 | 60,898 | |
4,6 | Ginnie Mae II Pool | 3.500% | 4/20/43–11/15/52 | 31,535 | 28,922 | |
4,6 | Ginnie Mae II Pool | 4.000% | 11/20/42–10/15/52 | 65,235 | 61,041 | |
4,6 | Ginnie Mae II Pool | 4.500% | 12/20/45–10/15/52 | 17,336 | 16,824 | |
4,6 | Ginnie Mae II Pool | 5.000% | 8/20/48–10/15/52 | 11,408 | 11,143 | |
4,5,6 | UMBS Pool | 1.500% | 12/1/36–4/1/52 | 44,478 | 34,712 | |
4,5,6 | UMBS Pool | 2.000% | 10/1/35–10/25/52 | 208,423 | 171,708 | |
4,5,6 | UMBS Pool | 2.500% | 8/1/35–11/25/52 | 400,961 | 340,667 | |
4,5,6 | UMBS Pool | 3.500% | 7/1/38–11/25/52 | 50,104 | 46,317 | |
4,5,6 | UMBS Pool | 4.000% | 12/1/38–11/25/52 | 68,855 | 65,926 | |
4,5,6 | UMBS Pool | 4.500% | 4/1/39–11/25/52 | 50,829 | 48,939 | |
4,5,6 | UMBS Pool | 5.000% | 8/1/39–10/25/52 | 42,277 | 41,396 | |
4,5,6 | UMBS Pool | 5.500% | 12/1/38–10/25/52 | 189,673 | 188,271 | |
4,5,6 | UMBS Pool | 6.000% | 10/1/39–10/25/52 | 127,521 | 129,355 | |
4,5 | UMBS Pool | 6.500% | 9/1/36 | 8 | 9 | |
1,361,487 | ||||||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
4,5 | Freddie Mac REMICS | 2.000% | 1/25/52 | 2,390 | 1,459 | |
4 | Ginnie Mae REMICS | 2.000% | 2/20/51 | 1,855 | 1,690 | |
3,149 | ||||||
Total U.S. Government and Agency Obligations (Cost $3,256,931) | 3,010,927 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (9.5%) | ||||||
4 | AmeriCredit Automobile Receivables Trust Series 2018-2 | 4.010% | 7/18/24 | 390 | 388 | |
4 | AmeriCredit Automobile Receivables Trust Series 2019-1 | 3.620% | 3/18/25 | 580 | 574 | |
4 | AmeriCredit Automobile Receivables Trust Series 2020-2 | 2.130% | 3/18/26 | 240 | 226 | |
4,7 | Aventura Mall Trust Series 2018-AVM | 4.249% | 7/5/40 | 399 | 366 | |
4 | BA Credit Card Trust Series 2021-A1 | 0.440% | 9/15/26 | 1,250 | 1,176 | |
4,7 | BAMLL Commercial Mortgage Securities Trust Series 2019-BPR | 3.112% | 11/5/32 | 1,100 | 1,019 | |
4 | BANK Series 2017-BNK4 | 3.625% | 5/15/50 | 19 | 18 | |
4 | BANK Series 2017-BNK6 | 3.741% | 7/15/60 | 50 | 46 | |
4 | BANK Series 2017-BNK7 | 3.175% | 9/15/60 | 1,341 | 1,222 | |
4 | BANK Series 2017-BNK8 | 3.488% | 11/15/50 | 80 | 74 | |
4 | BANK Series 2018-BNK14 | 4.185% | 9/15/60 | 25 | 24 | |
4 | BANK Series 2018-BNK14 | 4.231% | 9/15/60 | 15 | 14 | |
4 | BANK Series 2019-BNK17 | 3.714% | 4/15/52 | 280 | 258 | |
4 | BANK Series 2019-BNK18 | 3.584% | 5/15/62 | 280 | 255 | |
4 | BANK Series 2019-BNK20 | 3.011% | 9/15/62 | 200 | 175 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | BANK Series 2019-BNK23 | 2.846% | 12/15/52 | 130 | 118 | |
4 | BANK Series 2022-BNK40 | 3.507% | 3/15/64 | 90 | 79 | |
4,7 | Bayview MSR Opportunity Master Fund Trust Series 2021-4 | 2.500% | 10/25/51 | 3,445 | 2,954 | |
4 | BBCMS Mortgage Trust Series 2020-C6 | 2.639% | 2/15/53 | 200 | 169 | |
4 | BBCMS Mortgage Trust Series 2022-C16 | 4.600% | 6/15/55 | 320 | 308 | |
4 | Benchmark Mortgage Trust Series 2018-B1 | 3.666% | 1/15/51 | 340 | 316 | |
4 | Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | 70 | 64 | |
4 | Benchmark Mortgage Trust Series 2018-B2 | 3.882% | 2/15/51 | 360 | 337 | |
4 | Benchmark Mortgage Trust Series 2019-B15 | 2.859% | 12/15/72 | 300 | 272 | |
4 | Benchmark Mortgage Trust Series 2019-B15 | 2.928% | 12/15/72 | 250 | 215 | |
4 | Benchmark Mortgage Trust Series 2020-B16 | 2.732% | 2/15/53 | 200 | 169 | |
4,7 | BX Trust Series 2019-OC11 | 3.202% | 12/9/41 | 110 | 92 | |
4 | Cantor Commercial Real Estate Lending Series 2019-CF3 | 3.006% | 1/15/53 | 250 | 215 | |
4 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.740% | 9/15/25 | 6,690 | 6,651 | |
4 | CarMax Auto Owner Trust Series 2018-4 | 3.850% | 7/15/24 | 70 | 70 | |
4 | CarMax Auto Owner Trust Series 2018-4 | 4.150% | 4/15/25 | 100 | 100 | |
4 | CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | 10 | 9 | |
4 | CD Mortgage Trust Series 2016-CD1 | 3.631% | 8/10/49 | 270 | 235 | |
4 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 60 | 56 | |
4 | CD Mortgage Trust Series 2017-CD4 | 3.747% | 5/10/50 | 50 | 46 | |
4 | CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | 19 | 18 | |
4 | CD Mortgage Trust Series 2017-CD6 | 3.709% | 11/13/50 | 130 | 119 | |
4 | CD Mortgage Trust Series 2018-CD7 | 5.012% | 8/15/51 | 100 | 92 | |
4 | CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | 60 | 56 | |
4 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 4.175% | 7/10/47 | 230 | 225 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | 20 | 18 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.789% | 9/15/50 | 30 | 27 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 4.192% | 9/15/50 | 60 | 55 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 4.406% | 9/15/50 | 40 | 36 | |
4 | Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | 45 | 43 | |
4 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 2.860% | 12/15/72 | 250 | 216 | |
4 | CNH Equipment Trust Series 2022-B | 3.940% | 12/15/25 | 2,200 | 2,186 | |
4,7 | COMM Mortgage Trust Series 2013-CR6 | 3.397% | 3/10/46 | 210 | 208 | |
4 | COMM Mortgage Trust Series 2013-CR8 | 3.612% | 6/10/46 | 10 | 10 | |
4,7 | COMM Mortgage Trust Series 2013-CR9 | 4.435% | 7/10/45 | 230 | 218 | |
4 | COMM Mortgage Trust Series 2014-CR17 | 3.700% | 5/10/47 | 18 | 18 | |
4 | COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | 153 | 150 | |
4 | COMM Mortgage Trust Series 2014-CR20 | 3.326% | 11/10/47 | 7,602 | 7,395 | |
4 | COMM Mortgage Trust Series 2019-GC44 | 2.873% | 8/15/57 | 150 | 136 | |
4,7,8 | Connecticut Avenue Securities Trust Series 2021-R01, SOFR30A + 0.750% | 3.031% | 10/25/41 | 3,627 | 3,619 | |
4,7,8 | Connecticut Avenue Securities Trust Series 2022-R02, SOFR30A + 1.200% | 3.481% | 1/25/42 | 2,698 | 2,684 | |
4,7,8 | Connecticut Avenue Securities Trust Series 2022-R07, SOFR30A + 2.950% | 5.255% | 6/25/42 | 25,109 | 25,418 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7,8 | Connecticut Avenue Securities Trust Series 2022-R08, SOFR30A + 2.550% | 4.855% | 7/25/42 | 35,016 | 35,150 | |
4 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | 12 | 11 | |
4 | CSAIL Commercial Mortgage Trust Series 2020-C19 | 2.561% | 3/15/53 | 250 | 207 | |
4 | DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | 70 | 65 | |
4,7 | Dell Equipment Finance Trust Series 2022-2 | 4.030% | 7/22/27 | 3,990 | 3,961 | |
4 | Drive Auto Receivables Trust Series 2018-3 | 4.300% | 9/16/24 | 16 | 16 | |
4 | Drive Auto Receivables Trust Series 2018-5 | 4.300% | 4/15/26 | 414 | 414 | |
4 | Drive Auto Receivables Trust Series 2019-4 | 2.700% | 2/16/27 | 180 | 177 | |
4 | Drive Auto Receivables Trust Series 2020-1 | 2.700% | 5/17/27 | 180 | 177 | |
4 | Drive Auto Receivables Trust Series 2020-2 | 3.050% | 5/15/28 | 140 | 137 | |
4,7 | EDvestinU Private Education Loan Issue No. 1 LLC Series 2019-A | 3.580% | 11/25/38 | 37 | 35 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K035 | 0.450% | 8/25/23 | 4,862 | 12 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K036 | 0.834% | 10/25/23 | 2,592 | 15 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K037 | 1.074% | 1/25/24 | 37,899 | 353 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K038 | 1.240% | 3/25/24 | 1,591 | 19 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K040 | 0.835% | 9/25/24 | 3,098 | 32 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K043 | 0.641% | 12/25/24 | 11,185 | 112 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K052 | 0.773% | 11/25/25 | 13,721 | 220 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K053 | 1.016% | 12/25/25 | 5,818 | 132 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K054 | 1.298% | 1/25/26 | 42,874 | 1,326 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K055 | 1.483% | 3/25/26 | 2,780 | 104 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K057 | 1.305% | 7/25/26 | 39,679 | 1,376 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K058 | 1.045% | 8/25/26 | 3,849 | 112 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K059 | 0.426% | 9/25/26 | 2,294 | 22 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K060 | 0.191% | 10/25/26 | 8,352 | 25 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K062 | 0.424% | 12/25/26 | 52,069 | 575 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K064 | 0.739% | 3/25/27 | 2,036 | 45 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K065 | 0.810% | 4/25/27 | 20,333 | 508 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K068 | 0.558% | 8/25/27 | 3,039 | 53 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K088 | 0.655% | 1/25/29 | 248,874 | 6,820 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K104 | 1.245% | 1/25/30 | 51,198 | 3,204 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K105 | 1.645% | 1/25/30 | 73,255 | 6,267 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K110 | 1.814% | 4/25/30 | 19,188 | 1,823 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K135 | 0.284% | 10/25/31 | 257,412 | 3,501 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K139 | 0.195% | 1/25/32 | 391,563 | 3,265 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K140 | 0.392% | 3/25/54 | 124,930 | 2,838 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K148 | 0.391% | 7/25/32 | 156,519 | 3,505 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG02 | 1.148% | 8/25/29 | 11,150 | 584 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG04 | 0.939% | 11/25/30 | 7,764 | 403 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG05 | 0.402% | 1/25/31 | 63,628 | 1,337 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG06 | 0.626% | 10/25/31 | 29,988 | 1,100 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG07 | 0.122% | 8/25/32 | 214,587 | 875 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KIR1 | 1.183% | 3/25/26 | 72,669 | 2,189 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KSG2 | 0.213% | 11/25/31 | 256,668 | 2,486 | |
4,5,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KW10 | 0.762% | 9/25/29 | 49,837 | 1,765 | |
4,7 | Ford Credit Auto Owner Trust Series 2018-2 | 3.760% | 1/15/30 | 120 | 118 | |
4,7 | Ford Credit Auto Owner Trust Series 2019-1 | 3.520% | 7/15/30 | 7,770 | 7,645 | |
4,7 | Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | 100 | 93 | |
4,7 | Ford Credit Auto Owner Trust Series 2020-1 | 2.540% | 8/15/31 | 100 | 93 | |
4,7 | Ford Credit Auto Owner Trust Series 2022-1 | 3.880% | 11/15/34 | 410 | 394 | |
4,7 | Ford Credit Auto Owner Trust Series 2022-1 | 4.670% | 11/15/34 | 1,250 | 1,198 | |
4 | Ford Credit Auto Owner Trust Series 2022-B | 3.740% | 9/15/26 | 2,700 | 2,667 | |
4 | Ford Credit Auto Owner Trust Series 2022-B | 3.930% | 8/15/27 | 1,100 | 1,080 | |
4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 6,385 | 6,145 | |
4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 2.120% | 9/15/25 | 230 | 223 | |
4,5,7,8 | Freddie Mac STACR REMIC Trust Series 2020-DNA6, SOFR30A + 2.000% | 4.281% | 12/25/50 | 1,757 | 1,752 | |
4,5,7,8 | Freddie Mac STACR REMIC Trust Series 2021-DNA5, SOFR30A + 1.650% | 3.931% | 1/25/34 | 20,455 | 19,949 | |
4,5,7,8 | Freddie Mac STACR REMIC Trust Series 2022-HQA3, SOFR30A + 2.300% | 4.581% | 8/25/42 | 34,795 | 34,705 | |
4,5,7,8 | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2022-HQA2, SOFR30A + 2.650% | 4.931% | 7/25/42 | 16,378 | 16,299 | |
4,7,9 | FREMF Mortgage Trust Series 2015-K42 | 0.100% | 1/25/48 | 1,032,270 | 1,644 | |
4,7 | GCAT Trust Series 2022-INV1 | 3.000% | 12/25/51 | 30,532 | 25,313 | |
4,7 | GCAT Trust Series 2022-INV3 | 4.000% | 8/25/52 | 7,934 | 7,166 | |
4,7 | GCAT Trust Series 2022-INV3 | 4.000% | 8/25/52 | 9,347 | 8,118 | |
4,7 | GCAT Trust Series 2022-INV3 | 4.500% | 8/25/52 | 5,291 | 4,946 | |
4 | GM Financial Automobile Leasing Trust Series 2020-2 | 3.210% | 12/20/24 | 140 | 139 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2022-3 | 3.500% | 9/16/25 | 5,830 | 5,771 | |
4,7 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.170% | 6/12/34 | 520 | 444 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.490% | 6/12/34 | 70 | 61 | |
4,7 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.670% | 6/12/34 | 120 | 103 | |
4,7 | GMF Floorplan Owner Revolving Trust Series 2020-1 | 1.480% | 8/15/25 | 120 | 116 | |
4 | GS Mortgage Securities Trust Series 2014-GC24 | 3.666% | 9/10/47 | 7,194 | 7,007 | |
4 | GS Mortgage Securities Trust Series 2014-GC24 | 4.644% | 9/10/47 | 170 | 160 | |
4 | GS Mortgage Securities Trust Series 2014-GC24 | 4.665% | 9/10/47 | 150 | 136 | |
4 | GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | 60 | 55 | |
4 | GS Mortgage Securities Trust Series 2019-GC38 | 3.968% | 2/10/52 | 150 | 140 | |
4 | GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | 60 | 53 | |
4 | GS Mortgage Securities Trust Series 2020-GC45 | 2.843% | 2/13/53 | 325 | 295 | |
4 | GS Mortgage Securities Trust Series 2020-GC45 | 2.911% | 2/13/53 | 630 | 543 | |
4,7 | GS Mortgage-Backed Securities Corp. Trust Series 2022-PJ4 | 2.500% | 9/25/52 | 10,541 | 8,221 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2021-PJ7 | 2.500% | 1/25/52 | 4,438 | 3,544 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ1 | 2.500% | 5/28/52 | 9,191 | 7,167 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ3 | 3.000% | 8/25/52 | 1,062 | 881 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ6 | 3.000% | 1/25/53 | 32,500 | 28,128 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ6 | 3.000% | 1/25/53 | 37,012 | 31,293 | |
4,7 | Hertz Vehicle Financing III LLC Series 2022-1A | 2.630% | 6/25/26 | 160 | 144 | |
4,7 | Hertz Vehicle Financing III LP Series 2021-2A | 1.680% | 12/27/27 | 100 | 86 | |
4 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.810% | 3/18/25 | 2,650 | 2,632 | |
4,7 | Hudson Yards Mortgage Trust Series 2019-30HY | 3.228% | 7/10/39 | 250 | 218 | |
4,7 | Hudsons Bay Simon JV Trust Series 2015-HB7 | 3.914% | 8/5/34 | 100 | 93 | |
4 | Hyundai Auto Receivables Trust Series 2022-B | 3.640% | 5/15/25 | 6,760 | 6,708 | |
4,7,8 | Invitation Homes Trust Series 2018-SFR1, 1M USD LIBOR + 0.700% | 3.693% | 3/17/37 | 242 | 239 | |
4,7,8 | Invitation Homes Trust Series 2018-SFR1, 1M USD LIBOR + 0.950% | 3.943% | 3/17/37 | 100 | 99 | |
4 | John Deere Owner Trust Series 2022-B | 3.730% | 6/16/25 | 3,220 | 3,196 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 4.212% | 1/15/46 | 230 | 226 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | 6 | 6 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 4.166% | 12/15/46 | 147 | 145 | |
4,7 | JP Morgan Mortgage Trust Series 2021-6 | 2.500% | 10/25/51 | 2,854 | 2,279 | |
4,7 | JP Morgan Mortgage Trust Series 2021-15 | 3.000% | 6/25/52 | 25,290 | 20,967 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | JP Morgan Mortgage Trust Series 2021-INV4 | 3.000% | 1/25/52 | 1,517 | 1,258 | |
4,7 | JP Morgan Mortgage Trust Series 2021-INV6 | 3.000% | 4/25/52 | 1,485 | 1,231 | |
4,7 | JP Morgan Mortgage Trust Series 2022-1 | 3.000% | 7/25/52 | 7,086 | 5,875 | |
4,7 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 5,813 | 4,820 | |
4,7 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 2,422 | 2,008 | |
4,7 | JP Morgan Mortgage Trust Series 2022-INV1 | 3.000% | 3/25/52 | 25,347 | 21,014 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 300 | 294 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.947% | 2/15/47 | 370 | 344 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C19 | 3.997% | 4/15/47 | 10 | 10 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP5 | 3.723% | 3/15/50 | 70 | 66 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP7 | 3.454% | 9/15/50 | 60 | 56 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | 30 | 28 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.409% | 10/15/50 | 60 | 55 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.713% | 10/15/50 | 80 | 73 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | 50 | 48 | |
4,7 | Kubota Credit Owner Trust Series 2022-2A | 4.070% | 6/17/25 | 5,680 | 5,632 | |
4,7 | Lanark Master Issuer plc Series 2020-1A | 2.277% | 12/22/69 | 170 | 170 | |
4,7 | Laurel Road Prime Student Loan Trust Series 2017-C | 2.810% | 11/25/42 | 26 | 25 | |
4,7 | Laurel Road Prime Student Loan Trust Series 2018-B | 3.540% | 5/26/43 | 51 | 51 | |
4,7 | Mello Mortgage Capital Acceptance Series 2021-INV1 | 2.500% | 6/25/51 | 4,062 | 3,244 | |
4,7 | Mello Mortgage Capital Acceptance Series 2021-MTG2 | 2.500% | 6/25/51 | 1,510 | 1,189 | |
4,7 | MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | 100 | 97 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 | 4.205% | 7/15/46 | 200 | 183 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 | 4.259% | 10/15/46 | 400 | 397 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 5.054% | 4/15/47 | 150 | 146 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.476% | 6/15/47 | 80 | 78 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | 133 | 125 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 4.886% | 5/15/49 | 160 | 145 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | 270 | 254 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | 90 | 83 | |
4 | Morgan Stanley Capital I Series 2017-HR2 | 3.587% | 12/15/50 | 55 | 51 | |
4 | Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | 522 | 500 | |
4 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | 110 | 101 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | 50 | 46 | |
4 | Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | 100 | 91 | |
4,7 | MSBAM Commercial Mortgage Securities Trust Series 2012-CKSV | 3.277% | 10/15/30 | 998 | 944 | |
4,7 | Navient Private Education Loan Trust Series 2017-A | 2.880% | 12/16/58 | 49 | 48 | |
4,7 | Navient Private Education Loan Trust Series 2018-BA | 3.610% | 12/15/59 | 189 | 184 | |
4,7 | Navient Private Education Refi Loan Trust Series 2018-DA | 4.000% | 12/15/59 | 368 | 355 | |
4,7,8 | Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 3.834% | 3/25/66 | 15 | 15 | |
4,7 | New Residential Mortgage Loan Trust Series 2021-INV2 | 3.000% | 9/25/51 | 8,423 | 7,033 | |
4,7 | OBX Trust Series 2022-J2 | 3.000% | 8/25/52 | 17,768 | 14,731 | |
4,7 | OBX Trust Series 2022-J2 | 3.000% | 8/25/52 | 11,031 | 8,967 | |
4,7 | OBX Trust Series 2022-J2 | 3.500% | 8/25/52 | 25,769 | 22,047 | |
4,7 | OBX Trust Series 2022-J2 | 3.500% | 8/25/52 | 16,498 | 13,882 | |
4,7 | One Bryant Park Trust Series 2019-OBP | 2.516% | 9/15/54 | 100 | 83 | |
4,7 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 700 | 633 | |
4,7,8 | Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 3.819% | 1/16/60 | 34 | 34 | |
4,7,8 | Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 3.993% | 6/20/60 | 32 | 32 | |
4,7,8 | Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 3.943% | 8/18/60 | 37 | 37 | |
4,7,8 | PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 4.034% | 11/25/65 | 52 | 51 | |
4,7 | Progress Residential Trust Series 2022-SFR3 | 3.200% | 4/17/39 | 140 | 128 | |
4,7 | Progress Residential Trust Series 2022-SFR3 | 3.600% | 4/17/39 | 100 | 91 | |
4,7 | Progress Residential Trust Series 2022-SFR5 | 4.451% | 6/17/39 | 120 | 115 | |
4,7 | Progress Residential Trust Series 2022-SFR5 | 4.896% | 6/17/39 | 100 | 95 | |
4,7 | RCKT Mortgage Trust Series 2021-3 | 2.500% | 7/25/51 | 4,188 | 3,344 | |
4,7 | RCKT Mortgage Trust Series 2022-4 | 3.500% | 6/25/52 | 14,027 | 12,013 | |
4,7,8 | RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 3.483% | 12/5/59 | 53 | 53 | |
4,7,8 | RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 3.606% | 4/10/50 | 15 | 15 | |
4,7,8 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 3.556% | 11/10/49 | 12 | 13 | |
4 | Santander Drive Auto Receivables Trust Series 2020-2 | 2.220% | 9/15/26 | 790 | 772 | |
4 | Santander Drive Auto Receivables Trust Series 2022-3 | 4.130% | 8/16/27 | 950 | 928 | |
4 | Santander Drive Auto Receivables Trust Series 2022-3 | 4.490% | 8/15/29 | 730 | 709 | |
4 | Santander Drive Auto Receivables Trust Series 2022-4 | 4.140% | 2/16/27 | 8,110 | 8,032 | |
4 | Santander Drive Auto Receivables Trust Series 2022-5 | 4.110% | 8/17/26 | 3,260 | 3,225 | |
4 | Santander Drive Auto Receivables Trust Series 2022-6 | 4.490% | 11/16/26 | 530 | 526 | |
4,7 | Santander Retail Auto Lease Trust Series 2020-A | 2.520% | 11/20/24 | 170 | 167 | |
4,7 | Santander Retail Auto Lease Trust Series 2020-B | 1.980% | 10/20/25 | 800 | 760 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Sequoia Mortgage Trust Series 2021-3 | 2.500% | 5/25/51 | 3,064 | 2,447 | |
4,7 | SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | 99 | 97 | |
4,7 | SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | 105 | 101 | |
4,7 | SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | 226 | 218 | |
4,7 | SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | 300 | 290 | |
4,7 | SoFi Professional Loan Program LLC Series 2016-B | 2.740% | 10/25/32 | 9 | 9 | |
4,7 | SoFi Professional Loan Program LLC Series 2016-C | 2.360% | 12/27/32 | 2 | 2 | |
4,7 | SoFi Professional Loan Program LLC Series 2016-D | 2.340% | 4/25/33 | 9 | 9 | |
4,7,8 | SoFi Professional Loan Program LLC Series 2016-D, 1M USD LIBOR + 0.950% | 4.034% | 1/25/39 | 4 | 5 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | 1 | 1 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | 24 | 23 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | 13 | 12 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | 42 | 41 | |
4,7 | SoFi Professional Loan Program LLC Series 2018-A | 2.950% | 2/25/42 | 27 | 27 | |
4,7 | Tesla Auto Lease Trust Series 2020-A | 1.680% | 2/20/24 | 100 | 99 | |
4,7 | Tidewater Auto Receivables Trust Series 2018-AA | 4.300% | 11/15/24 | 21 | 21 | |
4,7 | TMSQ Mortgage Trust Series 2014-1500 | 3.680% | 10/10/36 | 100 | 95 | |
4,7 | Toyota Auto Loan Extended Note Trust Series 2022-1A | 3.820% | 4/25/35 | 800 | 770 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.830% | 8/15/25 | 3,880 | 3,858 | |
4,7 | Trinity Rail Leasing LLC Series 2018-1A | 4.620% | 6/17/48 | 440 | 414 | |
4 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | 112 | 104 | |
4 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | 10 | 10 | |
4,7 | UWM Mortgage Trust Series 2021-INV3 | 2.500% | 11/25/51 | 4,394 | 3,509 | |
4 | Verizon Master Trust Series 2022-5 | 3.720% | 7/20/27 | 3,560 | 3,517 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.433% | 7/15/46 | 450 | 441 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2015-LC20 | 2.925% | 4/15/50 | 6,600 | 6,296 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2015-LC22 | 4.707% | 9/15/58 | 160 | 147 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | 90 | 85 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | 10 | 9 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | 42 | 39 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C43 | 4.514% | 3/15/51 | 50 | 44 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | 30 | 28 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | 80 | 76 | |
4 | WFRBS Commercial Mortgage Trust Series 2013-C18 | 4.162% | 12/15/46 | 20 | 20 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 3.829% | 3/15/47 | 10,172 | 10,034 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.650% | 10/15/57 | 201 | 196 | |
4 | World Omni Auto Receivables Trust Series 2019-B | 2.860% | 6/16/25 | 110 | 109 | |
4 | World Omni Auto Receivables Trust Series 2022-C | 3.730% | 3/16/26 | 5,920 | 5,863 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $644,678) | 608,369 | |||||
Corporate Bonds (28.2%) | ||||||
Communications (2.5%) | ||||||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 4,750 | 2,890 | ||
Alphabet Inc. | 2.250% | 8/15/60 | 1,930 | 1,096 | ||
10 | AT&T Inc. | 1.800% | 9/5/26 | 4,600 | 4,188 | |
AT&T Inc. | 4.350% | 3/1/29 | 933 | 872 | ||
4 | AT&T Inc. | 4.300% | 2/15/30 | 1,685 | 1,542 | |
AT&T Inc. | 4.500% | 5/15/35 | 700 | 606 | ||
AT&T Inc. | 4.900% | 8/15/37 | 500 | 442 | ||
AT&T Inc. | 3.500% | 9/15/53 | 3,650 | 2,432 | ||
AT&T Inc. | 3.550% | 9/15/55 | 4,238 | 2,783 | ||
AT&T Inc. | 3.650% | 9/15/59 | 567 | 368 | ||
7 | Cable One Inc. | 4.000% | 11/15/30 | 350 | 272 | |
7 | CCO Holdings LLC | 5.000% | 2/1/28 | 395 | 344 | |
7 | CCO Holdings LLC | 6.375% | 9/1/29 | 915 | 840 | |
7 | CCO Holdings LLC | 4.750% | 3/1/30 | 890 | 721 | |
Charter Communications Operating LLC | 4.908% | 7/23/25 | 589 | 575 | ||
Charter Communications Operating LLC | 2.250% | 1/15/29 | 200 | 157 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 1,480 | 1,360 | ||
Charter Communications Operating LLC | 3.500% | 3/1/42 | 3,580 | 2,266 | ||
Charter Communications Operating LLC | 6.484% | 10/23/45 | 2,100 | 1,855 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 1,390 | 994 | ||
11 | CK Hutchison Group Telecom Finance SA | 2.625% | 10/17/34 | 200 | 139 | |
7 | Cogent Communications Group Inc. | 7.000% | 6/15/27 | 318 | 301 | |
Comcast Corp. | 3.375% | 8/15/25 | 5,304 | 5,094 | ||
Comcast Corp. | 3.150% | 3/1/26 | 452 | 426 | ||
Comcast Corp. | 2.350% | 1/15/27 | 445 | 399 | ||
Comcast Corp. | 3.150% | 2/15/28 | 468 | 425 | ||
Comcast Corp. | 4.150% | 10/15/28 | 2,303 | 2,175 | ||
Comcast Corp. | 3.400% | 4/1/30 | 229 | 202 | ||
Comcast Corp. | 3.250% | 11/1/39 | 1,990 | 1,463 | ||
Comcast Corp. | 3.750% | 4/1/40 | 3,800 | 2,984 | ||
Comcast Corp. | 4.650% | 7/15/42 | 1,200 | 1,028 | ||
Comcast Corp. | 4.700% | 10/15/48 | 168 | 144 | ||
Comcast Corp. | 3.450% | 2/1/50 | 1,500 | 1,046 | ||
Comcast Corp. | 2.650% | 8/15/62 | 300 | 162 | ||
Comcast Corp. | 2.987% | 11/1/63 | 5,000 | 2,901 | ||
7 | CSC Holdings LLC | 5.375% | 2/1/28 | 245 | 214 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 755 | 513 | |
7 | CSC Holdings LLC | 3.375% | 2/15/31 | 255 | 180 | |
4,11 | Deutsche Telekom AG | 3.125% | 2/6/34 | 1,200 | 1,025 | |
7 | Directv Financing LLC | 5.875% | 8/15/27 | 370 | 320 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Discovery Communications LLC | 3.900% | 11/15/24 | 35 | 34 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 2,000 | 1,191 | ||
7 | DISH DBS Corp. | 5.250% | 12/1/26 | 290 | 239 | |
7 | DISH DBS Corp. | 5.750% | 12/1/28 | 160 | 121 | |
DISH DBS Corp. | 5.125% | 6/1/29 | 370 | 217 | ||
Expedia Group Inc. | 3.800% | 2/15/28 | 3,000 | 2,658 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 270 | 208 | ||
Fox Corp. | 5.476% | 1/25/39 | 3,780 | 3,281 | ||
7 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 95 | 85 | |
7 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 230 | 197 | |
7 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 665 | 523 | |
7 | Frontier Communications Holdings LLC | 8.750% | 5/15/30 | 140 | 140 | |
Interpublic Group of Cos. Inc. | 3.375% | 3/1/41 | 2,040 | 1,351 | ||
7 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 240 | 200 | |
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 295 | 230 | |
7 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 410 | 304 | |
7 | Meta Platforms Inc. | 3.500% | 8/15/27 | 15,090 | 14,104 | |
7 | Meta Platforms Inc. | 3.850% | 8/15/32 | 6,230 | 5,489 | |
7 | Meta Platforms Inc. | 4.450% | 8/15/52 | 2,940 | 2,402 | |
7 | Netflix Inc. | 3.625% | 6/15/25 | 425 | 401 | |
Netflix Inc. | 4.875% | 4/15/28 | 4,055 | 3,798 | ||
Netflix Inc. | 5.875% | 11/15/28 | 795 | 772 | ||
Netflix Inc. | 6.375% | 5/15/29 | 1,960 | 1,952 | ||
7 | News Corp. | 3.875% | 5/15/29 | 674 | 572 | |
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 295 | 272 | |
7 | Nexstar Media Inc. | 4.750% | 11/1/28 | 435 | 370 | |
Paramount Global | 4.750% | 5/15/25 | 1,108 | 1,088 | ||
Paramount Global | 4.200% | 6/1/29 | 2,368 | 2,083 | ||
Paramount Global | 4.850% | 7/1/42 | 3,042 | 2,188 | ||
Paramount Global | 4.375% | 3/15/43 | 3,250 | 2,173 | ||
7 | Rogers Communications Inc. | 3.800% | 3/15/32 | 2,140 | 1,845 | |
7 | Rogers Communications Inc. | 4.550% | 3/15/52 | 2,040 | 1,634 | |
7 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 280 | 213 | |
7 | Scripps Escrow Inc. | 5.875% | 7/15/27 | 280 | 244 | |
7 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 90 | 79 | |
7 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 70 | 64 | |
7 | Sky Ltd. | 3.750% | 9/16/24 | 200 | 195 | |
Sprint Corp. | 7.125% | 6/15/24 | 420 | 427 | ||
Sprint Corp. | 7.625% | 3/1/26 | 795 | 825 | ||
Take-Two Interactive Software Inc. | 4.000% | 4/14/32 | 2,905 | 2,522 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 3,000 | 2,770 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 4,056 | 3,176 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 2,000 | 1,523 | ||
Time Warner Cable LLC | 4.500% | 9/15/42 | 6,620 | 4,590 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 5,805 | 4,792 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 4,770 | 4,120 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 1,224 | 1,085 | ||
T-Mobile USA Inc. | 2.875% | 2/15/31 | 1,025 | 823 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 1,990 | 1,327 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 2,442 | 1,579 | ||
T-Mobile USA Inc. | 5.800% | 9/15/62 | 3,740 | 3,467 | ||
4 | TWDC Enterprises 18 Corp. | 4.125% | 12/1/41 | 400 | 330 | |
7 | Univision Communications Inc. | 7.375% | 6/30/30 | 335 | 318 | |
4,12 | Verizon Communications Inc. | 4.050% | 2/17/25 | 1,250 | 780 | |
Verizon Communications Inc. | 4.125% | 3/16/27 | 458 | 438 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,12 | Verizon Communications Inc. | 4.500% | 8/17/27 | 500 | 303 | |
Verizon Communications Inc. | 4.329% | 9/21/28 | 200 | 188 | ||
4,10 | Verizon Communications Inc. | 2.875% | 1/15/38 | 600 | 490 | |
Verizon Communications Inc. | 2.650% | 11/20/40 | 850 | 551 | ||
Verizon Communications Inc. | 3.850% | 11/1/42 | 1,800 | 1,366 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 3,000 | 2,604 | ||
Verizon Communications Inc. | 3.875% | 3/1/52 | 2,020 | 1,501 | ||
Verizon Communications Inc. | 3.000% | 11/20/60 | 1,800 | 1,047 | ||
Verizon Communications Inc. | 3.700% | 3/22/61 | 2,065 | 1,405 | ||
7 | Videotron Ltd. | 3.625% | 6/15/29 | 365 | 296 | |
Vodafone Group plc | 4.375% | 5/30/28 | 327 | 308 | ||
4,10 | Vodafone Group plc | 2.500% | 5/24/39 | 1,300 | 966 | |
Vodafone Group plc | 4.125% | 6/4/81 | 2,295 | 1,594 | ||
7 | VZ Secured Financing BV | 5.000% | 1/15/32 | 370 | 283 | |
Walt Disney Co. | 3.350% | 3/24/25 | 170 | 164 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 439 | 397 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 375 | 353 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 273 | 223 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 1,200 | 927 | ||
Walt Disney Co. | 4.700% | 3/23/50 | 1,000 | 891 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 825 | 614 | ||
7 | Warnermedia Holdings Inc. | 3.428% | 3/15/24 | 3,910 | 3,782 | |
7 | Warnermedia Holdings Inc. | 3.755% | 3/15/27 | 2,510 | 2,253 | |
7 | Warnermedia Holdings Inc. | 5.050% | 3/15/42 | 971 | 727 | |
7 | Warnermedia Holdings Inc. | 5.141% | 3/15/52 | 1,930 | 1,402 | |
7 | Warnermedia Holdings Inc. | 5.391% | 3/15/62 | 4,340 | 3,146 | |
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 500 | 402 | |
163,736 | ||||||
Consumer Discretionary (2.5%) | ||||||
7 | 1011778 BC ULC | 3.875% | 1/15/28 | 156 | 136 | |
7 | 1011778 BC ULC | 4.375% | 1/15/28 | 214 | 185 | |
10 | Aliaxis Finance SA | 0.875% | 11/8/28 | 1,400 | 982 | |
Amazon.com Inc. | 3.150% | 8/22/27 | 692 | 645 | ||
Amazon.com Inc. | 3.950% | 4/13/52 | 1,685 | 1,385 | ||
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 961 | 808 | ||
7 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 100 | 77 | |
AutoZone Inc. | 4.000% | 4/15/30 | 1,190 | 1,069 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 831 | 618 | ||
Bath & Body Works Inc. | 7.500% | 6/15/29 | 310 | 284 | ||
Boyd Gaming Corp. | 4.750% | 12/1/27 | 200 | 177 | ||
7 | Caesars Resort Collection LLC | 5.750% | 7/1/25 | 294 | 284 | |
7 | Camelot Return Merger Sub Inc. | 8.750% | 8/1/28 | 560 | 463 | |
7 | Carnival Corp. | 5.750% | 3/1/27 | 965 | 677 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 610 | 492 | |
7 | Cedar Fair LP | 5.500% | 5/1/25 | 960 | 925 | |
7 | Churchill Downs Inc. | 5.500% | 4/1/27 | 780 | 723 | |
7 | Churchill Downs Inc. | 4.750% | 1/15/28 | 298 | 259 | |
7 | Clarios Global LP | 6.750% | 5/15/25 | 46 | 45 | |
7 | Clarios Global LP | 8.500% | 5/15/27 | 310 | 296 | |
Dana Inc. | 4.500% | 2/15/32 | 820 | 594 | ||
Ford Motor Credit Co. LLC | 4.950% | 5/28/27 | 1,085 | 971 | ||
Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 100 | 86 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 365 | 307 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 440 | 346 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/10/29 | 845 | 642 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Ford Motor Credit Co. LLC | 4.000% | 11/13/30 | 280 | 218 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 830 | 617 | ||
General Motors Co. | 4.875% | 10/2/23 | 6,000 | 5,975 | ||
General Motors Co. | 5.400% | 10/2/23 | 1,000 | 1,000 | ||
General Motors Co. | 6.125% | 10/1/25 | 1,000 | 1,002 | ||
General Motors Co. | 5.200% | 4/1/45 | 1,600 | 1,226 | ||
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 1,242 | 1,192 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 157 | 147 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 103 | 100 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 1,770 | 1,630 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 3,000 | 2,579 | ||
General Motors Financial Co. Inc. | 2.400% | 10/15/28 | 1,000 | 792 | ||
Goodyear Tire & Rubber Co. | 5.000% | 7/15/29 | 250 | 205 | ||
7 | Harley-Davidson Financial Services Inc. | 3.050% | 2/14/27 | 3,310 | 2,840 | |
7 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 270 | 254 | |
Home Depot Inc. | 4.000% | 9/15/25 | 1,820 | 1,791 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 167 | 159 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 2,328 | 2,059 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 480 | 410 | ||
Home Depot Inc. | 4.500% | 9/15/32 | 2,435 | 2,330 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 3,290 | 3,418 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 720 | 604 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 100 | 80 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 500 | 437 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 750 | 515 | ||
Home Depot Inc. | 4.950% | 9/15/52 | 1,665 | 1,561 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 1,660 | 1,179 | ||
Honda Motor Co. Ltd. | 2.967% | 3/10/32 | 3,155 | 2,664 | ||
7 | International Game Technology plc | 6.250% | 1/15/27 | 25 | 24 | |
KB Home | 7.250% | 7/15/30 | 320 | 291 | ||
7 | Lithia Motors Inc. | 4.625% | 12/15/27 | 285 | 248 | |
7 | Lithia Motors Inc. | 3.875% | 6/1/29 | 1,180 | 947 | |
7 | Lithia Motors Inc. | 4.375% | 1/15/31 | 20 | 16 | |
7 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 20 | 19 | |
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 900 | 868 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 15 | 13 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 880 | 808 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 1,050 | 851 | ||
Lowe's Cos. Inc. | 1.700% | 9/15/28 | 1,840 | 1,502 | ||
Lowe's Cos. Inc. | 4.450% | 4/1/62 | 3,165 | 2,373 | ||
Magna International Inc. | 2.450% | 6/15/30 | 200 | 162 | ||
4 | Marriott International Inc. | 4.625% | 6/15/30 | 4,180 | 3,783 | |
7 | Mattel Inc. | 3.375% | 4/1/26 | 250 | 224 | |
7 | Mattel Inc. | 5.875% | 12/15/27 | 265 | 255 | |
4,11 | McDonald's Corp. | 3.750% | 5/31/38 | 700 | 608 | |
7 | Mercedes-Benz Finance North America LLC | 0.750% | 3/1/24 | 7,570 | 7,134 | |
7 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,030 | 819 | |
7 | MIWD Holdco II LLC | 5.500% | 2/1/30 | 185 | 138 | |
7 | NCL Corp. Ltd. | 5.875% | 2/15/27 | 314 | 261 | |
7 | NCL Corp. Ltd. | 7.750% | 2/15/29 | 178 | 134 | |
Newell Brands Inc. | 4.450% | 4/1/26 | 35 | 32 | ||
Newell Brands Inc. | 6.375% | 9/15/27 | 35 | 35 | ||
Newell Brands Inc. | 6.625% | 9/15/29 | 75 | 73 | ||
7 | Nissan Motor Acceptance Co. LLC | 1.050% | 3/8/24 | 3,000 | 2,795 | |
7 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 7,100 | 6,927 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
��� 7 | Penn Entertainment Inc. | 5.625% | 1/15/27 | 85 | 75 | |
7 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 30 | 31 | |
7 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 36 | 38 | |
6,7 | Royal Caribbean Cruises Ltd. | 8.250% | 1/15/29 | 60 | 58 | |
Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 265 | 251 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 1,126 | 910 | ||
Starbucks Corp. | 3.500% | 11/15/50 | 600 | 421 | ||
7 | Stellantis Finance US Inc. | 1.711% | 1/29/27 | 760 | 634 | |
7 | Studio City Co. Ltd. | 7.000% | 2/15/27 | 240 | 201 | |
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 4,320 | 3,787 | ||
4 | Toyota Motor Credit Corp. | 4.400% | 9/20/24 | 26,310 | 26,147 | |
Toyota Motor Credit Corp. | 3.950% | 6/30/25 | 25,120 | 24,545 | ||
4 | Toyota Motor Credit Corp. | 1.900% | 1/13/27 | 4,045 | 3,568 | |
Toyota Motor Credit Corp. | 3.050% | 3/22/27 | 3,775 | 3,478 | ||
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 279 | 258 | ||
7 | Vail Resorts Inc. | 6.250% | 5/15/25 | 1,501 | 1,482 | |
4,11 | Volkswagen Financial Services NV | 1.125% | 9/18/23 | 6,600 | 7,000 | |
4,11 | Volkswagen Financial Services NV | 1.375% | 9/14/28 | 1,300 | 1,040 | |
7 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 1,000 | 988 | |
4,10 | Volkswagen Leasing GmbH | 0.375% | 7/20/26 | 1,147 | 981 | |
7 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 129 | 113 | |
7 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 1,255 | 1,042 | |
7 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 485 | 427 | |
7 | Wynn Resorts Finance LLC | 7.750% | 4/15/25 | 335 | 329 | |
159,604 | ||||||
Consumer Staples (1.8%) | ||||||
Altria Group Inc. | 2.350% | 5/6/25 | 880 | 817 | ||
Altria Group Inc. | 4.400% | 2/14/26 | 2,570 | 2,480 | ||
Altria Group Inc. | 5.800% | 2/14/39 | 2,000 | 1,733 | ||
Altria Group Inc. | 3.400% | 2/4/41 | 3,000 | 1,892 | ||
Altria Group Inc. | 5.375% | 1/31/44 | 325 | 263 | ||
Altria Group Inc. | 5.950% | 2/14/49 | 135 | 112 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 300 | 200 | ||
4 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 3,090 | 2,786 | |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 4,250 | 3,518 | ||
4,11 | Anheuser-Busch InBev SA/NV | 2.850% | 5/25/37 | 1,100 | 839 | |
4,10 | Anheuser-Busch InBev SA/NV | 3.700% | 4/2/40 | 400 | 354 | |
Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 6,230 | 5,912 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.350% | 6/1/40 | 1,000 | 846 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 1,117 | 993 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,300 | 1,751 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 3,545 | 2,939 | ||
BAT Capital Corp. | 3.215% | 9/6/26 | 200 | 179 | ||
BAT Capital Corp. | 4.390% | 8/15/37 | 1,050 | 750 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 1,550 | 1,032 | ||
BAT Capital Corp. | 3.984% | �� 9/25/50 | 975 | 603 | ||
BAT International Finance plc | 1.668% | 3/25/26 | 70 | 60 | ||
10 | CK Hutchison Europe Finance 18 Ltd. | 2.000% | 4/13/30 | 2,800 | 2,274 | |
Coca-Cola Co. | 3.000% | 3/5/51 | 1,800 | 1,258 | ||
Colgate-Palmolive Co. | 3.250% | 8/15/32 | 4,530 | 4,043 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 4,000 | 3,316 | ||
Constellation Brands Inc. | 2.250% | 8/1/31 | 2,310 | 1,772 | ||
Dollar General Corp. | 4.125% | 5/1/28 | 250 | 236 | ||
7 | Energizer Holdings Inc. | 4.750% | 6/15/28 | 529 | 419 | |
7 | Energizer Holdings Inc. | 4.375% | 3/31/29 | 525 | 392 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
General Mills Inc. | 2.600% | 10/12/22 | 5,000 | 4,998 | ||
General Mills Inc. | 2.875% | 4/15/30 | 205 | 174 | ||
4,10 | GSK Consumer Healthcare Capital NL BV | 1.250% | 3/29/26 | 878 | 789 | |
7 | GSK Consumer Healthcare Capital US LLC | 3.625% | 3/24/32 | 3,790 | 3,210 | |
7 | GSK Consumer Healthcare Capital US LLC | 4.000% | 3/24/52 | 725 | 534 | |
Hormel Foods Corp. | 1.700% | 6/3/28 | 1,160 | 988 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 275 | 220 | ||
J M Smucker Co. | 3.375% | 12/15/27 | 273 | 248 | ||
Kellogg Co. | 4.500% | 4/1/46 | 530 | 452 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 4,140 | 3,870 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 1,350 | 1,190 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 555 | 459 | ||
Kroger Co. | 2.200% | 5/1/30 | 1,000 | 794 | ||
Kroger Co. | 3.875% | 10/15/46 | 3,125 | 2,368 | ||
7 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 280 | 255 | |
10 | Louis Dreyfus Co. Finance BV | 2.375% | 11/27/25 | 975 | 899 | |
7 | Mondelez International Holdings Netherlands BV | 1.250% | 9/24/26 | 5,000 | 4,293 | |
Mondelez International Inc. | 2.750% | 4/13/30 | 1,289 | 1,072 | ||
Mondelez International Inc. | 1.500% | 2/4/31 | 2,600 | 1,918 | ||
7 | Nestle Holdings Inc. | 1.000% | 9/15/27 | 2,500 | 2,091 | |
7 | Nestle Holdings Inc. | 4.000% | 9/24/48 | 150 | 124 | |
PepsiCo Inc. | 2.625% | 7/29/29 | 3,025 | 2,633 | ||
11 | PepsiCo Inc. | 3.550% | 7/22/34 | 1,100 | 1,016 | |
PepsiCo Inc. | 4.450% | 4/14/46 | 1,000 | 921 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 1,000 | 783 | ||
7 | Performance Food Group Inc. | 6.875% | 5/1/25 | 65 | 65 | |
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 270 | 245 | |
7 | Performance Food Group Inc. | 4.250% | 8/1/29 | 80 | 67 | |
Philip Morris International Inc. | 2.100% | 5/1/30 | 200 | 152 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 2,050 | 1,435 | ||
Reynolds American Inc. | 4.450% | 6/12/25 | 529 | 512 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 294 | 244 | ||
Walmart Inc. | 3.900% | 9/9/25 | 26,370 | 25,909 | ||
Walmart Inc. | 1.500% | 9/22/28 | 1,810 | 1,513 | ||
Walmart Inc. | 3.950% | 6/28/38 | 3,685 | 3,277 | ||
113,487 | ||||||
Energy (2.1%) | ||||||
7 | Antero Resources Corp. | 5.375% | 3/1/30 | 285 | 256 | |
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 444 | 422 | ||
4 | BP Capital Markets America Inc. | 3.119% | 5/4/26 | 679 | 635 | |
4 | BP Capital Markets America Inc. | 3.017% | 1/16/27 | 248 | 227 | |
BP Capital Markets America Inc. | 3.543% | 4/6/27 | 3,000 | 2,806 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 6,933 | 6,520 | ||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 2,475 | 2,010 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 2,400 | 1,524 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 800 | 517 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 278 | 255 | ||
7 | Cameron LNG LLC | 3.701% | 1/15/39 | 1,655 | 1,275 | |
Canadian Natural Resources Ltd. | 2.950% | 7/15/30 | 2,000 | 1,647 | ||
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,670 | 1,609 | ||
4 | Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 1,400 | 1,191 | |
Cenovus Energy Inc. | 6.750% | 11/15/39 | 500 | 496 | ||
Cenovus Energy Inc. | 5.400% | 6/15/47 | 1,000 | 862 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 2,000 | 2,033 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Cheniere Corpus Christi Holdings LLC | 3.700% | 11/15/29 | 1,000 | 869 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 305 | 280 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 450 | 378 | ||
Cheniere Energy Partners LP | 3.250% | 1/31/32 | 240 | 184 | ||
Chevron USA Inc. | 3.250% | 10/15/29 | 1,000 | 894 | ||
7 | Civitas Resources Inc. | 5.000% | 10/15/26 | 240 | 218 | |
7 | CNX Resources Corp. | 7.375% | 1/15/31 | 115 | 113 | |
7 | Colgate Energy Partners III LLC | 7.750% | 2/15/26 | 210 | 208 | |
7 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 615 | 549 | |
ConocoPhillips Co. | 6.950% | 4/15/29 | 1,000 | 1,097 | ||
ConocoPhillips Co. | 4.300% | 11/15/44 | 265 | 220 | ||
ConocoPhillips Co. | 3.800% | 3/15/52 | 5,000 | 3,833 | ||
7 | Continental Resources Inc. | 2.268% | 11/15/26 | 2,000 | 1,709 | |
Continental Resources Inc. | 4.375% | 1/15/28 | 425 | 380 | ||
7 | Coterra Energy Inc. | 3.900% | 5/15/27 | 655 | 609 | |
7 | Coterra Energy Inc. | 4.375% | 3/15/29 | 2,440 | 2,257 | |
7 | CrownRock LP | 5.625% | 10/15/25 | 180 | 172 | |
7 | CrownRock LP | 5.000% | 5/1/29 | 150 | 133 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 59 | 57 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 350 | 328 | ||
Devon Energy Corp. | 5.250% | 10/15/27 | 425 | 421 | ||
Devon Energy Corp. | 5.875% | 6/15/28 | 307 | 308 | ||
Devon Energy Corp. | 4.500% | 1/15/30 | 1,038 | 950 | ||
Devon Energy Corp. | 5.600% | 7/15/41 | 200 | 179 | ||
Diamondback Energy Inc. | 4.250% | 3/15/52 | 3,000 | 2,200 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 455 | 384 | |
7 | DT Midstream Inc. | 4.375% | 6/15/31 | 315 | 260 | |
4 | Eastern Gas Transmission & Storage Inc. | 3.600% | 12/15/24 | 66 | 64 | |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 125 | 114 | ||
Enbridge Inc. | 2.500% | 2/14/25 | 920 | 865 | ||
Enbridge Inc. | 3.125% | 11/15/29 | 450 | 385 | ||
7 | Endeavor Energy Resources LP | 5.750% | 1/30/28 | 105 | 100 | |
Energy Transfer LP | 3.900% | 5/15/24 | 280 | 272 | ||
Energy Transfer LP | 3.750% | 5/15/30 | 3,770 | 3,200 | ||
Energy Transfer LP | 6.050% | 6/1/41 | 700 | 629 | ||
Energy Transfer LP | 6.500% | 2/1/42 | 1,400 | 1,302 | ||
Energy Transfer LP | 5.300% | 4/1/44 | 1,825 | 1,457 | ||
Energy Transfer LP | 5.150% | 3/15/45 | 1,520 | 1,203 | ||
Energy Transfer LP | 6.250% | 4/15/49 | 400 | 357 | ||
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 100 | 94 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 260 | 238 | ||
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 380 | 364 | ||
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 2,400 | 2,006 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 2,000 | 1,713 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 860 | 733 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 1,000 | 704 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 200 | 171 | ||
7 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 150 | 143 | |
7 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 155 | 144 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 295 | 253 | ||
7 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 147 | 139 | |
6 | EQT Corp. | 5.678% | 10/1/25 | 2,950 | 2,929 | |
7 | EQT Corp. | 3.125% | 5/15/26 | 150 | 137 | |
EQT Corp. | 3.900% | 10/1/27 | 2,198 | 2,002 | ||
EQT Corp. | 5.000% | 1/15/29 | 330 | 309 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | EQT Corp. | 3.625% | 5/15/31 | 1,170 | 976 | |
Exxon Mobil Corp. | 3.482% | 3/19/30 | 4,486 | 4,080 | ||
Exxon Mobil Corp. | 4.227% | 3/19/40 | 2,235 | 1,943 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 1,000 | 828 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 655 | 487 | ||
4,10 | Gazprom PJSC Via Gaz Capital SA | 3.125% | 11/17/23 | 300 | 155 | |
10 | Gazprom PJSC Via Gaz Capital SA | 2.949% | 1/24/24 | 1,800 | 917 | |
10 | Gazprom PJSC Via Gaz Capital SA | 2.250% | 11/22/24 | 500 | 242 | |
Helmerich & Payne Inc. | 2.900% | 9/29/31 | 2,670 | 2,086 | ||
7 | Hess Midstream Operations LP | 5.500% | ��� 10/15/30 | 135 | 116 | |
7 | Hilcorp Energy I LP | 5.750% | 2/1/29 | 80 | 71 | |
7 | Hilcorp Energy I LP | 6.000% | 2/1/31 | 95 | 83 | |
4 | KazTransGas JSC | 4.375% | 9/26/27 | 1,269 | 1,072 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 2,891 | 2,707 | ||
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 800 | 673 | ||
7 | MEG Energy Corp. | 5.875% | 2/1/29 | 60 | 54 | |
MPLX LP | 1.750% | 3/1/26 | 2,000 | 1,753 | ||
MPLX LP | 4.500% | 4/15/38 | 1,850 | 1,486 | ||
MPLX LP | 4.950% | 3/14/52 | 1,500 | 1,180 | ||
NuStar Logistics LP | 5.750% | 10/1/25 | 55 | 51 | ||
NuStar Logistics LP | 6.375% | 10/1/30 | 230 | 197 | ||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 200 | 200 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 1,035 | 1,032 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 220 | 217 | ||
Occidental Petroleum Corp. | 7.500% | 5/1/31 | 760 | 794 | ||
ONEOK Inc. | 4.000% | 7/13/27 | 1,000 | 919 | ||
ONEOK Inc. | 3.400% | 9/1/29 | 500 | 420 | ||
ONEOK Inc. | 4.950% | 7/13/47 | 500 | 386 | ||
ONEOK Inc. | 5.200% | 7/15/48 | 435 | 349 | ||
ONEOK Partners LP | 6.125% | 2/1/41 | 3,355 | 2,978 | ||
Ovintiv Exploration Inc. | 5.375% | 1/1/26 | 2,945 | 2,919 | ||
7 | Parkland Corp. | 4.500% | 10/1/29 | 300 | 244 | |
Phillips 66 | 3.700% | 4/6/23 | 450 | 448 | ||
Phillips 66 | 4.650% | 11/15/34 | 1,035 | 925 | ||
7 | Phillips 66 Co. | 3.605% | 2/15/25 | 305 | 293 | |
7 | Phillips 66 Co. | 3.150% | 12/15/29 | 2,569 | 2,164 | |
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 2,000 | 1,532 | ||
Plains All American Pipeline LP | 3.550% | 12/15/29 | 1,000 | 834 | ||
Plains All American Pipeline LP | 4.900% | 2/15/45 | 410 | 302 | ||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 570 | 569 | ||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 1,669 | 1,668 | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 2,964 | 2,706 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 2,000 | 1,823 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 1,245 | 1,047 | ||
Shell International Finance BV | 2.750% | 4/6/30 | 4,130 | 3,531 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 500 | 433 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 500 | 421 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 550 | 420 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 1,300 | 894 | ||
Suncor Energy Inc. | 6.500% | 6/15/38 | 855 | 845 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 1,430 | 1,002 | ||
7 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 420 | 384 | |
Targa Resources Partners LP | 6.500% | 7/15/27 | 120 | 119 | ||
Targa Resources Partners LP | 5.000% | 1/15/28 | 1,500 | 1,388 | ||
Targa Resources Partners LP | 6.875% | 1/15/29 | �� 655 | 647 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Targa Resources Partners LP | 4.875% | 2/1/31 | 1,500 | 1,290 | ||
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,155 | 1,008 | ||
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 900 | 892 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.000% | 3/15/28 | 75 | 69 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 780 | 659 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.600% | 3/15/48 | 400 | 330 | ||
Valero Energy Corp. | 4.350% | 6/1/28 | 205 | 196 | ||
Valero Energy Corp. | 3.650% | 12/1/51 | 3,000 | 2,046 | ||
7 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 475 | 408 | |
Western Midstream Operating LP | 4.500% | 3/1/28 | 1,198 | 1,070 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 2,480 | 2,252 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 390 | 332 | ||
Williams Cos. Inc. | 4.650% | 8/15/32 | 2,100 | 1,908 | ||
Williams Cos. Inc. | 6.300% | 4/15/40 | 200 | 195 | ||
Williams Cos. Inc. | 5.100% | 9/15/45 | 535 | 453 | ||
134,620 | ||||||
Financials (8.8%) | ||||||
AerCap Ireland Capital DAC | 4.500% | 9/15/23 | 4,525 | 4,465 | ||
AerCap Ireland Capital DAC | 1.150% | 10/29/23 | 8,650 | 8,231 | ||
AerCap Ireland Capital DAC | 1.650% | 10/29/24 | 7,000 | 6,393 | ||
AerCap Ireland Capital DAC | 2.450% | 10/29/26 | 1,001 | 846 | ||
AerCap Ireland Capital DAC | 3.300% | 1/30/32 | 2,450 | 1,848 | ||
AerCap Ireland Capital DAC | 3.850% | 10/29/41 | 2,700 | 1,799 | ||
Aflac Inc. | 4.750% | 1/15/49 | 850 | 749 | ||
4 | Air Lease Corp. | 2.875% | 1/15/26 | 1,600 | 1,435 | |
4 | Air Lease Corp. | 3.750% | 6/1/26 | 1,269 | 1,160 | |
7 | Alliant Holdings Intermediate LLC | 6.750% | 10/15/27 | 345 | 299 | |
Ally Financial Inc. | 1.450% | 10/2/23 | 1,545 | 1,491 | ||
American Express Co. | 3.950% | 8/1/25 | 14,600 | 14,149 | ||
American Express Co. | 2.550% | 3/4/27 | 3,900 | 3,482 | ||
American Express Co. | 4.420% | 8/3/33 | 1,500 | 1,365 | ||
American International Group Inc. | 2.500% | 6/30/25 | 245 | 228 | ||
American International Group Inc. | 4.800% | 7/10/45 | 715 | 616 | ||
American International Group Inc. | 4.375% | 6/30/50 | 1,716 | 1,385 | ||
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 207 | 202 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 694 | 663 | ||
Aon Corp. | 2.800% | 5/15/30 | 200 | 166 | ||
Aon Global Ltd. | 4.600% | 6/14/44 | 478 | 401 | ||
Aon Global Ltd. | 4.750% | 5/15/45 | 505 | 431 | ||
7 | Athene Global Funding | 0.950% | 1/8/24 | 2,000 | 1,887 | |
4,10 | Athene Global Funding | 1.125% | 9/2/25 | 6,693 | 5,993 | |
8,12 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 4.251% | 7/26/29 | 8,000 | 5,144 | |
7 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 2,000 | 1,685 | |
7 | Avolon Holdings Funding Ltd. | 4.250% | 4/15/26 | 2,175 | 1,956 | |
4,10 | AXA SA | 3.875% | Perpetual | 1,287 | 1,169 | |
Banco Santander SA | 5.147% | 8/18/25 | 10,000 | 9,727 | ||
Banco Santander SA | 5.294% | 8/18/27 | 6,600 | 6,236 | ||
Banco Santander SA | 3.490% | 5/28/30 | 200 | 162 | ||
Banco Santander SA | 2.749% | 12/3/30 | 2,130 | 1,511 | ||
4 | Bank of America Corp. | 3.864% | 7/23/24 | 2,610 | 2,573 | |
4 | Bank of America Corp. | 0.810% | 10/24/24 | 5,000 | 4,752 | |
4 | Bank of America Corp. | 4.000% | 1/22/25 | 1,000 | 969 | |
4 | Bank of America Corp. | 0.981% | 9/25/25 | 4,000 | 3,640 | |
4 | Bank of America Corp. | 3.093% | 10/1/25 | 479 | 455 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Bank of America Corp. | 3.366% | 1/23/26 | 4,099 | 3,880 | |
4 | Bank of America Corp. | 2.015% | 2/13/26 | 356 | 327 | |
4 | Bank of America Corp. | 1.319% | 6/19/26 | 1,755 | 1,556 | |
4 | Bank of America Corp. | 3.559% | 4/23/27 | 242 | 223 | |
4 | Bank of America Corp. | 3.824% | 1/20/28 | 433 | 399 | |
4 | Bank of America Corp. | 3.705% | 4/24/28 | 244 | 222 | |
Bank of America Corp. | 4.948% | 7/22/28 | 1,010 | 971 | ||
4 | Bank of America Corp. | 3.419% | 12/20/28 | 520 | 461 | |
4 | Bank of America Corp. | 3.970% | 3/5/29 | 1,635 | 1,475 | |
4 | Bank of America Corp. | 2.087% | 6/14/29 | 5,000 | 4,060 | |
4 | Bank of America Corp. | 4.271% | 7/23/29 | 201 | 183 | |
4 | Bank of America Corp. | 3.194% | 7/23/30 | 1,050 | 884 | |
4 | Bank of America Corp. | 1.898% | 7/23/31 | 1,550 | 1,155 | |
4,10 | Bank of America Corp. | 0.654% | 10/26/31 | 1,300 | 935 | |
Bank of America Corp. | 2.299% | 7/21/32 | 6,800 | 5,088 | ||
Bank of America Corp. | 4.571% | 4/27/33 | 2,500 | 2,243 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 4,330 | 4,028 | ||
4 | Bank of America Corp. | 2.676% | 6/19/41 | 1,700 | 1,096 | |
Bank of America Corp. | 3.311% | 4/22/42 | 400 | 282 | ||
4 | Bank of America Corp. | 4.875% | 4/1/44 | 1,000 | 857 | |
4 | Bank of America Corp. | 3.946% | 1/23/49 | 1,000 | 736 | |
4 | Bank of America Corp. | 4.083% | 3/20/51 | 2,000 | 1,497 | |
4 | Bank of America Corp. | 2.831% | 10/24/51 | 1,000 | 593 | |
Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 4,300 | 4,204 | ||
Bank of New York Mellon Corp. | 4.596% | 7/26/30 | 2,900 | 2,753 | ||
Bank of Nova Scotia | 3.450% | 4/11/25 | 6,270 | 6,006 | ||
Barclays plc | 4.375% | 9/11/24 | 510 | 494 | ||
Barclays plc | 1.007% | 12/10/24 | 3,820 | 3,596 | ||
Barclays plc | 5.200% | 5/12/26 | 2,000 | 1,895 | ||
Barclays plc | 5.304% | 8/9/26 | 3,400 | 3,268 | ||
Barclays plc | 4.337% | 1/10/28 | 2,844 | 2,540 | ||
Barclays plc | 3.330% | 11/24/42 | 6,000 | 3,810 | ||
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 2,100 | 1,771 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 420 | 348 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 3,300 | 1,976 | ||
Berkshire Hathaway Finance Corp. | 3.850% | 3/15/52 | 5,780 | 4,438 | ||
Capital One Financial Corp. | 5.268% | 5/10/33 | 3,300 | 3,061 | ||
Charles Schwab Corp. | 2.450% | 3/3/27 | 2,485 | 2,236 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 1,710 | 1,448 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 3,625 | 3,363 | ||
Citigroup Inc. | 4.140% | 5/24/25 | 3,335 | 3,260 | ||
Citigroup Inc. | 2.014% | 1/25/26 | 6,800 | 6,256 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 1,524 | 1,396 | ||
Citigroup Inc. | 4.450% | 9/29/27 | 1,907 | 1,769 | ||
Citigroup Inc. | 4.658% | 5/24/28 | 2,615 | 2,485 | ||
4 | Citigroup Inc. | 3.668% | 7/24/28 | 1,198 | 1,083 | |
4 | Citigroup Inc. | 3.520% | 10/27/28 | 200 | 179 | |
4 | Citigroup Inc. | 4.412% | 3/31/31 | 248 | 223 | |
4 | Citigroup Inc. | 2.572% | 6/3/31 | 650 | 512 | |
Citigroup Inc. | 2.561% | 5/1/32 | 3,000 | 2,304 | ||
4 | Citigroup Inc. | 3.878% | 1/24/39 | 1,500 | 1,210 | |
Citigroup Inc. | 4.650% | 7/30/45 | 2,316 | 1,858 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 1,000 | 812 | ||
CME Group Inc. | 2.650% | 3/15/32 | 3,500 | 2,877 | ||
4,8,12 | Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.800% | 4.473% | 9/10/30 | 6,800 | 4,309 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Corebridge Financial Inc. | 3.500% | 4/4/25 | 1,800 | 1,711 | |
7 | Corebridge Financial Inc. | 3.650% | 4/5/27 | 1,940 | 1,773 | |
7 | Corebridge Financial Inc. | 3.850% | 4/5/29 | 4,020 | 3,551 | |
7 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 2,410 | 2,034 | |
7 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 2,260 | 1,753 | |
7 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 3,630 | 2,774 | |
Credit Suisse AG | 4.750% | 8/9/24 | 20,000 | 19,476 | ||
Credit Suisse AG | 5.000% | 7/9/27 | 7,000 | 6,458 | ||
7 | Credit Suisse Group AG | 6.373% | 7/15/26 | 4,100 | 3,963 | |
10 | Credit Suisse Group AG | 2.125% | 10/13/26 | 2,016 | 1,771 | |
7 | Credit Suisse Group AG | 6.442% | 8/11/28 | 2,100 | 1,953 | |
7 | Credit Suisse Group AG | 3.091% | 5/14/32 | 3,300 | 2,320 | |
7 | Credit Suisse Group AG | 6.537% | 8/12/33 | 6,450 | 5,809 | |
7 | Danske Bank A/S | 1.171% | 12/8/23 | 4,000 | 3,964 | |
4 | Deutsche Bank AG | 2.222% | 9/18/24 | 1,350 | 1,287 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 1,870 | 1,590 | ||
Deutsche Bank AG | 2.311% | 11/16/27 | 3,400 | 2,761 | ||
4 | Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 1,071 | 1,067 | |
7 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 1,024 | 790 | |
4 | Discover Bank | 4.250% | 3/13/26 | 2,700 | 2,549 | |
4,10 | DNB Bank ASA | 1.625% | 5/31/26 | 5,075 | 4,724 | |
Enstar Group Ltd. | 4.950% | 6/1/29 | 1,630 | 1,461 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 290 | 243 | ||
Everest Reinsurance Holdings Inc. | 3.500% | 10/15/50 | 1,500 | 998 | ||
FS KKR Capital Corp. | 3.400% | 1/15/26 | 1,200 | 1,058 | ||
GATX Corp. | 3.500% | 6/1/32 | 3,200 | 2,573 | ||
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 17,723 | 15,898 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 359 | 345 | ||
Goldman Sachs Group Inc. | 1.757% | 1/24/25 | 3,335 | 3,170 | ||
4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 253 | 241 | |
4,11 | Goldman Sachs Group Inc. | 1.000% | 12/16/25 | 3,043 | 3,008 | |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 207 | 196 | ||
4 | Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 1,430 | 1,235 | |
Goldman Sachs Group Inc. | 2.640% | 2/24/28 | 3,530 | 3,066 | ||
4,11 | Goldman Sachs Group Inc. | 7.250% | 4/10/28 | 1,300 | 1,464 | |
4 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 344 | 312 | |
4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 1,750 | 1,594 | |
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 207 | 167 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 4,000 | 2,959 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 2,000 | 1,550 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 3,350 | 2,567 | ||
4,10 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 900 | 605 | |
4 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 958 | 797 | |
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 1,500 | 1,013 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 2,180 | 1,815 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 2,900 | 2,665 | ||
HSBC Holdings plc | 4.300% | 3/8/26 | 215 | 206 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 8,000 | 7,397 | ||
HSBC Holdings plc | 3.900% | 5/25/26 | 257 | 241 | ||
4 | HSBC Holdings plc | 2.099% | 6/4/26 | 4,449 | 3,987 | |
4 | HSBC Holdings plc | 4.292% | 9/12/26 | 200 | 189 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 2,910 | 2,433 | ||
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 652 | 586 | |
4 | HSBC Holdings plc | 4.583% | 6/19/29 | 348 | 310 | |
10 | HSBC Holdings plc | 0.641% | 9/24/29 | 1,600 | 1,224 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | HSBC Holdings plc | 3.973% | 5/22/30 | 248 | 209 | |
4 | HSBC Holdings plc | 2.357% | 8/18/31 | 1,000 | 736 | |
4,11 | HSBC Holdings plc | 6.000% | 3/29/40 | 900 | 815 | |
ING Groep NV | 3.950% | 3/29/27 | 214 | 197 | ||
ING Groep NV | 4.050% | 4/9/29 | 236 | 209 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 1,600 | 1,418 | ||
Intercontinental Exchange Inc. | 5.200% | 6/15/62 | 2,145 | 1,924 | ||
Invesco Finance plc | 4.000% | 1/30/24 | ��� 200 | 197 | ||
Invesco Finance plc | 5.375% | 11/30/43 | 590 | 530 | ||
10 | JAB Holdings BV | 4.750% | 6/29/32 | 800 | 738 | |
10 | JAB Holdings BV | 2.250% | 12/19/39 | 500 | 295 | |
4 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 7,223 | 7,109 | |
4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 284 | 275 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 256 | 248 | ||
4 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 2,110 | 1,931 | |
JPMorgan Chase & Co. | 4.080% | 4/26/26 | 5,100 | 4,900 | ||
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 303 | 281 | ||
JPMorgan Chase & Co. | 2.947% | 2/24/28 | 207 | 183 | ||
JPMorgan Chase & Co. | 4.323% | 4/26/28 | 6,430 | 6,048 | ||
JPMorgan Chase & Co. | 4.851% | 7/25/28 | 3,370 | 3,233 | ||
4 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 473 | 419 | |
4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 384 | 347 | |
4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 200 | 183 | |
4 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 229 | 187 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 3,500 | 2,709 | ||
JPMorgan Chase & Co. | 2.963% | 1/25/33 | 2,200 | 1,733 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 1,700 | 1,531 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 2,960 | 2,734 | ||
4 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 2,750 | 2,157 | |
JPMorgan Chase & Co. | 2.525% | 11/19/41 | 2,620 | 1,641 | ||
4 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 660 | 494 | |
4 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 3,600 | 2,258 | |
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 1,750 | 1,145 | ||
4 | KeyBank NA | 3.300% | 6/1/25 | 200 | 191 | |
4 | KeyBank NA | 4.150% | 8/8/25 | 2,200 | 2,138 | |
Lazard Group LLC | 4.500% | 9/19/28 | 262 | 240 | ||
4 | Lloyds Banking Group plc | 3.870% | 7/9/25 | 1,593 | 1,536 | |
Lloyds Banking Group plc | 4.716% | 8/11/26 | 3,300 | 3,174 | ||
Lloyds Banking Group plc | 4.375% | 3/22/28 | 248 | 226 | ||
4,8,12 | Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 1.400% | 3.985% | 3/7/25 | 1,000 | 631 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 254 | 245 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 336 | 320 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 3,250 | 2,038 | ||
Mastercard Inc. | 2.950% | 3/15/51 | 2,000 | 1,363 | ||
MetLife Inc. | 4.125% | 8/13/42 | 1,000 | 817 | ||
MetLife Inc. | 4.875% | 11/13/43 | 2,200 | 1,967 | ||
MetLife Inc. | 5.000% | 7/15/52 | 5,675 | 5,174 | ||
7 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 347 | 266 | |
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 753 | 729 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 1,000 | 897 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 360 | 322 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 265 | 224 | ||
Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 515 | 403 | ||
4 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 248 | 233 | |
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 4,540 | 3,842 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 200 | 166 | |
4 | Morgan Stanley | 0.560% | 11/10/23 | 4,127 | 4,106 | |
4 | Morgan Stanley | 2.720% | 7/22/25 | 7,830 | 7,424 | |
4 | Morgan Stanley | 4.000% | 7/23/25 | 244 | 237 | |
4 | Morgan Stanley | 3.875% | 1/27/26 | 707 | 674 | |
4 | Morgan Stanley | 2.188% | 4/28/26 | 2,070 | 1,899 | |
Morgan Stanley | 4.679% | 7/17/26 | 2,360 | 2,298 | ||
Morgan Stanley | 3.625% | 1/20/27 | 573 | 534 | ||
Morgan Stanley | 1.593% | 5/4/27 | 3,900 | 3,369 | ||
Morgan Stanley | 2.475% | 1/21/28 | 3,500 | 3,062 | ||
4 | Morgan Stanley | 3.591% | 7/22/28 | 751 | 678 | |
4 | Morgan Stanley | 2.699% | 1/22/31 | 500 | 405 | |
4 | Morgan Stanley | 3.622% | 4/1/31 | 265 | 228 | |
Morgan Stanley | 4.889% | 7/20/33 | 1,970 | 1,832 | ||
4 | Morgan Stanley | 3.971% | 7/22/38 | 1,000 | 798 | |
4 | Morgan Stanley | 4.457% | 4/22/39 | 525 | 444 | |
Morgan Stanley | 3.217% | 4/22/42 | 1,735 | 1,210 | ||
Morgan Stanley | 4.300% | 1/27/45 | 725 | 576 | ||
4 | Morgan Stanley | 2.802% | 1/25/52 | 1,215 | 733 | |
Nasdaq Inc. | 2.500% | 12/21/40 | 1,675 | 1,052 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 665 | 494 | ||
4 | NatWest Group plc | 4.269% | 3/22/25 | 700 | 680 | |
4 | NatWest Group plc | 3.073% | 5/22/28 | 1,175 | 1,011 | |
4 | NatWest Group plc | 4.892% | 5/18/29 | 3,400 | 3,098 | |
4,11 | NIBC Bank NV | 3.125% | 11/15/23 | 3,300 | 3,542 | |
Nomura Holdings Inc. | 2.710% | 1/22/29 | 1,300 | 1,061 | ||
Northern Trust Corp. | 4.000% | 5/10/27 | 4,000 | 3,873 | ||
OneMain Finance Corp. | 3.500% | 1/15/27 | 305 | 238 | ||
4 | PNC Bank NA | 3.100% | 10/25/27 | 262 | 239 | |
4 | PNC Bank NA | 3.250% | 1/22/28 | 250 | 229 | |
4 | PNC Bank NA | 2.700% | 10/22/29 | 200 | 164 | |
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 403 | 361 | ||
Progressive Corp. | 2.500% | 3/15/27 | 1,800 | 1,625 | ||
7 | Protective Life Corp. | 4.300% | 9/30/28 | 200 | 185 | |
Prudential Financial Inc. | 3.935% | �� 12/7/49 | 2,530 | 1,933 | ||
4 | Prudential Financial Inc. | 4.350% | 2/25/50 | 500 | 414 | |
4 | Prudential Financial Inc. | 3.700% | 3/13/51 | 1,660 | 1,224 | |
10 | Raiffeisen Bank International AG | 1.375% | 6/17/33 | 1,000 | 671 | |
11 | Rothesay Life plc | 8.000% | 10/30/25 | 1,189 | 1,313 | |
4 | Royal Bank of Canada | 3.970% | 7/26/24 | 8,000 | 7,864 | |
Santander Holdings USA Inc. | 3.500% | 6/7/24 | 290 | 281 | ||
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 4,500 | 3,731 | ||
11 | Scottish Widows Ltd. | 5.500% | 6/16/23 | 3,236 | 3,581 | |
7 | Standard Chartered plc | 1.319% | 10/14/23 | 1,260 | 1,258 | |
State Street Corp. | 3.550% | 8/18/25 | 282 | 272 | ||
4 | State Street Corp. | 2.354% | 11/1/25 | 244 | 231 | |
State Street Corp. | 3.152% | 3/30/31 | 223 | 191 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 220 | 206 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 290 | 275 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 427 | 386 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 200 | 184 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 588 | 494 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 273 | 221 | ||
SVB Financial Group | 2.100% | 5/15/28 | 3,775 | 3,071 | ||
Toronto-Dominion Bank | 3.766% | 6/6/25 | 4,000 | 3,865 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Truist Bank | 1.500% | 3/10/25 | 200 | 184 | |
4 | Truist Bank | 3.625% | 9/16/25 | 250 | 239 | |
4 | US Bancorp | 3.150% | 4/27/27 | 256 | 238 | |
US Bancorp | 4.548% | 7/22/28 | 7,900 | 7,635 | ||
4 | US Bancorp | 3.000% | 7/30/29 | 200 | 172 | |
US Bancorp | 4.967% | 7/22/33 | 6,500 | 6,098 | ||
11 | Utmost Group plc | 4.000% | 12/15/31 | 700 | 563 | |
4 | Wells Fargo & Co. | 3.000% | 2/19/25 | 544 | 517 | |
4 | Wells Fargo & Co. | 2.164% | 2/11/26 | 3,256 | 2,998 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 504 | 462 | ||
4 | Wells Fargo & Co. | 2.188% | 4/30/26 | 3,600 | 3,291 | |
Wells Fargo & Co. | 3.000% | 10/23/26 | 545 | 494 | ||
4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 200 | 182 | |
4 | Wells Fargo & Co. | 3.584% | 5/22/28 | 244 | 221 | |
4 | Wells Fargo & Co. | 4.808% | 7/25/28 | 3,370 | 3,220 | |
4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 2,332 | 1,920 | |
4 | Wells Fargo & Co. | 4.897% | 7/25/33 | 3,950 | 3,634 | |
4 | Wells Fargo & Co. | 3.068% | 4/30/41 | 2,750 | 1,891 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 2,550 | 2,221 | ||
4 | Wells Fargo & Co. | 4.650% | 11/4/44 | 1,000 | 794 | |
4 | Wells Fargo & Co. | 4.400% | 6/14/46 | 750 | 573 | |
4 | Wells Fargo & Co. | 5.013% | 4/4/51 | 450 | 386 | |
4 | Wells Fargo & Co. | 4.611% | 4/25/53 | 1,750 | 1,422 | |
4,11 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 6,550 | 7,256 | |
Westpac Banking Corp. | 1.953% | 11/20/28 | 5,000 | 4,165 | ||
4,12 | Westpac Banking Corp. | 4.334% | 8/16/29 | 1,920 | 1,201 | |
4 | Westpac Banking Corp. | 2.894% | 2/4/30 | 2,700 | 2,486 | |
Westpac Banking Corp. | 2.963% | 11/16/40 | 1,175 | ��� 750 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 1,585 | 1,304 | ||
Willis North America Inc. | 3.875% | 9/15/49 | 680 | 475 | ||
565,378 | ||||||
Health Care (1.8%) | ||||||
7 | 1375209 BC Ltd. | 9.000% | 1/30/28 | 31 | 31 | |
Abbott Laboratories | 4.900% | 11/30/46 | 1,019 | 980 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 313 | 275 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 16,632 | 13,469 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 2,395 | 2,103 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 725 | 582 | ||
4 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 5,700 | 3,647 | |
4 | Allina Health System | 3.887% | 4/15/49 | 1,135 | 897 | |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 3,400 | 2,719 | ||
Amgen Inc. | 2.200% | 2/21/27 | 2,609 | 2,324 | ||
Amgen Inc. | 3.150% | 2/21/40 | 2,250 | 1,622 | ||
Amgen Inc. | 3.375% | 2/21/50 | 750 | 512 | ||
Amgen Inc. | 4.663% | 6/15/51 | 2,160 | 1,826 | ||
Amgen Inc. | 4.400% | 2/22/62 | 3,330 | 2,590 | ||
AstraZeneca Finance LLC | 1.200% | 5/28/26 | 1,000 | 879 | ||
AstraZeneca Finance LLC | 1.750% | 5/28/28 | 1,800 | 1,517 | ||
AstraZeneca plc | 4.000% | 9/18/42 | 3,990 | 3,347 | ||
7 | Bausch Health Cos. Inc. | 11.000% | 9/30/28 | 56 | 45 | |
7 | Bausch Health Cos. Inc. | 14.000% | 10/15/30 | 11 | 6 | |
Baxter International Inc. | 3.132% | 12/1/51 | 2,000 | 1,284 | ||
Becton Dickinson & Co. | 4.669% | 6/6/47 | 300 | 258 | ||
4 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 3,635 | 2,281 | |
Boston Scientific Corp. | 1.900% | 6/1/25 | 1,000 | 922 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Boston Scientific Corp. | 4.550% | 3/1/39 | 392 | 339 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 1,116 | 1,014 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 75 | 58 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 3,000 | 2,575 | ||
10 | Bristol-Myers Squibb Co. | 1.750% | 5/15/35 | 600 | 458 | |
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 680 | 597 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 450 | 377 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 1,500 | 927 | ||
Centene Corp. | 2.450% | 7/15/28 | 2,990 | 2,431 | ||
Centene Corp. | 3.000% | 10/15/30 | 227 | 180 | ||
Centene Corp. | 2.625% | 8/1/31 | 1,290 | 977 | ||
4 | Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 2,850 | 1,769 | |
4 | CHRISTUS Health | 4.341% | 7/1/28 | 200 | 187 | |
Cigna Corp. | 3.750% | 7/15/23 | 1,084 | 1,075 | ||
Cigna Corp. | 1.250% | 3/15/26 | 1,500 | 1,314 | ||
Cigna Corp. | 4.800% | 8/15/38 | 1,730 | 1,535 | ||
Cigna Corp. | 3.400% | 3/15/50 | 1,550 | 1,052 | ||
4 | City of Hope | 4.378% | 8/15/48 | 80 | 68 | |
CommonSpirit Health | 2.760% | 10/1/24 | 615 | 586 | ||
CVS Health Corp. | 2.625% | 8/15/24 | 200 | 192 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 1,419 | 1,329 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 20 | 17 | ||
CVS Health Corp. | 4.780% | 3/25/38 | 6,147 | 5,387 | ||
CVS Health Corp. | 2.700% | 8/21/40 | 1,300 | 850 | ||
7 | DaVita Inc. | 3.750% | 2/15/31 | 555 | 396 | |
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 500 | 427 | ||
DH Europe Finance II Sarl | 3.400% | 11/15/49 | 1,120 | 797 | ||
Elevance Health Inc. | 3.650% | 12/1/27 | 1,985 | 1,847 | ||
Elevance Health Inc. | 3.125% | 5/15/50 | 2,450 | 1,626 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 200 | 186 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 1,800 | 1,066 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 635 | 548 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 675 | 652 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 433 | 412 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 1,660 | 1,313 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 298 | 281 | ||
HCA Inc. | 5.250% | 6/15/26 | 757 | 733 | ||
Johnson & Johnson | 2.450% | 9/1/60 | 1,700 | 996 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 3,550 | 3,301 | ||
7 | Medline Borrower LP | 3.875% | 4/1/29 | 185 | 149 | |
10 | Medtronic Global Holdings SCA | 3.375% | 10/15/34 | 1,300 | 1,202 | |
Medtronic Inc. | 4.625% | 3/15/45 | 500 | 452 | ||
Merck & Co. Inc. | 1.900% | 12/10/28 | 150 | 126 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 1,421 | 1,305 | ||
Merck & Co. Inc. | 2.150% | 12/10/31 | 5,000 | 4,021 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 925 | 763 | ||
4 | Mount Sinai Hospitals Group Inc. | 3.737% | 7/1/49 | 1,200 | 910 | |
Mylan Inc. | 4.550% | 4/15/28 | 100 | 88 | ||
Novartis Capital Corp. | 2.750% | 8/14/50 | 850 | 577 | ||
7 | Organon & Co. | 4.125% | 4/30/28 | 450 | 385 | |
Pfizer Inc. | 3.450% | 3/15/29 | 382 | 352 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 1,610 | 1,384 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 200 | 160 | ||
Pfizer Inc. | 1.750% | 8/18/31 | 440 | 344 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 1,546 | 1,084 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | Roche Holdings Inc. | 2.076% | 12/13/31 | 4,255 | 3,409 | |
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 2 | 2 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 248 | 197 | ||
10 | Takeda Pharmaceutical Co. Ltd. | 2.000% | 7/9/40 | 500 | 350 | |
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 4,000 | 2,829 | ||
Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 355 | 236 | ||
7 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 15 | 15 | |
7 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 630 | 585 | |
7 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 205 | 191 | |
7 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 135 | 119 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 118 | 98 | |
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 1,000 | 838 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 2,000 | 1,577 | ||
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 3,660 | 2,568 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 245 | 231 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 850 | 595 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,170 | 1,003 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 1,750 | 1,219 | ||
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 200 | 182 | ||
Viatris Inc. | 2.300% | 6/22/27 | 200 | 163 | ||
Zoetis Inc. | 4.700% | 2/1/43 | 1,820 | 1,596 | ||
Zoetis Inc. | 3.950% | 9/12/47 | 1,660 | 1,304 | ||
116,600 | ||||||
Industrials (2.7%) | ||||||
4 | 3M Co. | 2.250% | 9/19/26 | 100 | 90 | |
3M Co. | 3.700% | 4/15/50 | 796 | 585 | ||
7 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 90 | 87 | |
7 | Air Canada | 3.875% | 8/15/26 | 390 | 335 | |
4,10 | Airbus SE | 2.375% | 6/9/40 | 600 | 443 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 400 | 354 | |
7 | American Airlines Inc. | 11.750% | 7/15/25 | 107 | 112 | |
7 | American Airlines Inc. | 5.500% | 4/20/26 | 540 | 507 | |
7 | American Airlines Inc. | 5.750% | 4/20/29 | 1,230 | 1,073 | |
7 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 260 | 204 | |
7 | Aramark Services Inc. | 6.375% | 5/1/25 | 470 | 460 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 25 | 22 | |
4,12 | Aurizon Finance Pty. Ltd. | 3.000% | 3/9/28 | 3,900 | 2,053 | |
4,12 | Aurizon Network Pty. Ltd. | 4.000% | 6/21/24 | 2,500 | 1,568 | |
Boeing Co. | 2.800% | 3/1/24 | 245 | 236 | ||
Boeing Co. | 4.875% | 5/1/25 | 1,779 | 1,736 | ||
Boeing Co. | 2.750% | 2/1/26 | 2,330 | 2,109 | ||
Boeing Co. | 2.250% | 6/15/26 | 790 | 696 | ||
Boeing Co. | 2.700% | 2/1/27 | 1,420 | 1,235 | ||
Boeing Co. | 5.040% | 5/1/27 | 248 | 239 | ||
Boeing Co. | 3.250% | 2/1/28 | 2,400 | 2,093 | ||
Boeing Co. | 3.200% | 3/1/29 | 1,780 | 1,488 | ||
Boeing Co. | 5.150% | 5/1/30 | 829 | 768 | ||
Boeing Co. | 3.550% | 3/1/38 | 2,500 | 1,710 | ||
Boeing Co. | 5.705% | 5/1/40 | 1,650 | 1,440 | ||
Boeing Co. | 5.805% | 5/1/50 | 1,546 | 1,345 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 6,800 | 6,875 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,000 | 914 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 304 | 227 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 1,520 | 1,034 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Canadian National Railway Co. | 3.850% | 8/5/32 | 5,500 | 5,024 | ||
Canadian National Railway Co. | 4.400% | 8/5/52 | 5,780 | 4,988 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 2,500 | 2,004 | ||
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 7,600 | 6,720 | ||
7 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 275 | 237 | |
Carrier Global Corp. | 3.377% | 4/5/40 | 4,975 | 3,592 | ||
7 | Clean Harbors Inc. | 4.875% | 7/15/27 | 365 | 333 | |
CSX Corp. | 4.250% | 3/15/29 | 2,860 | 2,699 | ||
CSX Corp. | 4.750% | 11/15/48 | 2,000 | 1,765 | ||
CSX Corp. | 3.800% | 4/15/50 | 900 | 680 | ||
CSX Corp. | 4.250% | 11/1/66 | 1,000 | 762 | ||
7 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 10,185 | 9,708 | |
7 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 4,119 | 3,838 | |
Delta Air Lines Inc. | 3.750% | 10/28/29 | 325 | 254 | ||
Emerson Electric Co. | 1.800% | 10/15/27 | 200 | 173 | ||
Emerson Electric Co. | 2.200% | 12/21/31 | 1,820 | 1,456 | ||
FedEx Corp. | 3.875% | 8/1/42 | 2,300 | 1,697 | ||
7 | Gates Global LLC | 6.250% | 1/15/26 | 91 | 85 | |
General Dynamics Corp. | 4.250% | 4/1/40 | 1,720 | 1,510 | ||
4 | General Electric Co. | 6.750% | 3/15/32 | 1,189 | 1,285 | |
10 | Heathrow Funding Ltd. | 1.500% | 10/12/25 | 2,200 | 1,985 | |
Honeywell International Inc. | 1.950% | 6/1/30 | 286 | 234 | ||
Honeywell International Inc. | 5.700% | 3/15/37 | 5,000 | 5,219 | ||
13 | Kazakhstan Temir Zholy National Co. JSC | 3.250% | 12/5/23 | 2,000 | 1,775 | |
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 1,102 | 1,096 | ||
4 | L3Harris Technologies Inc. | 4.400% | 6/15/28 | 1,200 | 1,129 | |
L3Harris Technologies Inc. | 5.054% | 4/27/45 | 1,200 | 1,060 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 1,660 | 1,505 | ||
Lockheed Martin Corp. | 4.300% | 6/15/62 | 2,540 | 2,120 | ||
7 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 10,834 | 10,611 | |
7 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 300 | 256 | |
Norfolk Southern Corp. | 3.050% | 5/15/50 | 860 | 561 | ||
Norfolk Southern Corp. | 4.550% | 6/1/53 | 2,050 | 1,738 | ||
Northrop Grumman Corp. | 5.250% | 5/1/50 | 1,340 | 1,282 | ||
PACCAR Financial Corp. | 2.850% | 4/7/25 | 7,863 | 7,532 | ||
Parker-Hannifin Corp. | 3.650% | 6/15/24 | 6,740 | 6,592 | ||
4,12 | Qantas Airways Ltd. | 3.150% | 9/27/28 | 10,000 | 5,305 | |
Raytheon Technologies Corp. | 4.625% | 11/16/48 | 2,900 | 2,504 | ||
Republic Services Inc. | 1.750% | 2/15/32 | 864 | 645 | ||
Rockwell Automation Inc. | 2.800% | 8/15/61 | 2,700 | 1,590 | ||
7 | Rolls-Royce plc | 5.750% | 10/15/27 | 830 | 721 | |
4,10 | Siemens Financieringsmaatschappij NV | 0.500% | 2/20/32 | 1,600 | 1,179 | |
Southwest Airlines Co. | 5.250% | 5/4/25 | 938 | 937 | ||
Southwest Airlines Co. | 2.625% | 2/10/30 | 2,250 | 1,807 | ||
7 | Spirit AeroSystems Inc. | 7.500% | 4/15/25 | 55 | 52 | |
Spirit AeroSystems Inc. | 4.600% | 6/15/28 | 123 | 89 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 8,000 | 6,312 | ||
7 | TopBuild Corp. | 3.625% | 3/15/29 | 110 | 87 | |
7 | TopBuild Corp. | 4.125% | 2/15/32 | 310 | 238 | |
7 | TransDigm Inc. | 8.000% | 12/15/25 | 675 | 685 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 831 | 806 | |
TransDigm Inc. | 5.500% | 11/15/27 | 465 | 404 | ||
TransDigm Inc. | 4.875% | 5/1/29 | 605 | 488 | ||
Triton Container International Ltd. | 3.250% | 3/15/32 | 5,670 | 4,153 | ||
Tyco Electronics Group SA | 3.700% | 2/15/26 | 209 | 201 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Tyco Electronics Group SA | 3.125% | 8/15/27 | 238 | 218 | ||
Tyco Electronics Group SA | 2.500% | 2/4/32 | 3,260 | 2,648 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 905 | 640 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 1,000 | 744 | ||
Union Pacific Corp. | 3.850% | 2/14/72 | 3,100 | 2,222 | ||
7 | United Airlines Inc. | 4.375% | 4/15/26 | 818 | 730 | |
7 | United Airlines Inc. | 4.625% | 4/15/29 | 610 | 507 | |
4 | United Airlines Pass-Through Trust Class A Series 2020-1 | 5.875% | 10/15/27 | 991 | 950 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 6,710 | 7,244 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 875 | 879 | ||
7 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 270 | 266 | |
4,10 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 1,300 | 1,182 | |
171,976 | ||||||
Materials (1.1%) | ||||||
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 1,040 | 748 | ||
Albemarle Corp. | 4.650% | 6/1/27 | 1,000 | 956 | ||
Albemarle Corp. | 5.050% | 6/1/32 | 1,930 | 1,791 | ||
7 | Arconic Corp. | 6.000% | 5/15/25 | 60 | 58 | |
7 | Arconic Corp. | 6.125% | 2/15/28 | 225 | 198 | |
7 | Ardagh Packaging Finance plc | 5.250% | 4/30/25 | 116 | 109 | |
7 | ASP Unifrax Holdings Inc. | 5.250% | 9/30/28 | 360 | 277 | |
7 | Avient Corp. | 7.125% | 8/1/30 | 275 | 255 | |
7 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 180 | 161 | |
Ball Corp. | 2.875% | 8/15/30 | 291 | 224 | ||
Ball Corp. | 3.125% | 9/15/31 | 300 | 225 | ||
7 | Berry Global Inc. | 4.875% | 7/15/26 | 172 | 162 | |
7 | Big River Steel LLC | 6.625% | 1/31/29 | 354 | 327 | |
7 | Canpack SA | 3.875% | 11/15/29 | 850 | 666 | |
Celanese US Holdings LLC | 5.900% | 7/5/24 | 3,560 | 3,512 | ||
Celanese US Holdings LLC | 6.050% | 3/15/25 | 1,190 | 1,163 | ||
Celanese US Holdings LLC | 6.165% | 7/15/27 | 2,380 | 2,248 | ||
7 | Chemours Co. | 4.625% | 11/15/29 | 765 | 569 | |
Dow Chemical Co. | 2.100% | 11/15/30 | 2,000 | 1,537 | ||
10 | Dow Chemical Co. | 1.875% | 3/15/40 | 800 | 474 | |
Dow Chemical Co. | 4.375% | 11/15/42 | 300 | 237 | ||
Dow Chemical Co. | 3.600% | 11/15/50 | 1,000 | 681 | ||
DuPont de Nemours Inc. | 5.319% | 11/15/38 | 380 | 346 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 328 | 264 | |
FMC Corp. | 4.500% | 10/1/49 | 135 | 104 | ||
7 | Freeport Indonesia PT | 6.200% | 4/14/52 | 6,100 | 4,644 | |
Freeport-McMoRan Inc. | 4.125% | 3/1/28 | 1,285 | 1,152 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 625 | 566 | ||
Freeport-McMoRan Inc. | 5.250% | 9/1/29 | 780 | 725 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 230 | 197 | ||
Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 660 | 583 | ||
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 150 | 124 | ||
7 | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 8,727 | 7,479 | |
7 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 1,785 | 1,622 | |
7 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 207 | 183 | |
7 | Graham Packaging Co. Inc. | 7.125% | 8/15/28 | 370 | 299 | |
7 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 312 | 267 | |
7 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 790 | 657 | |
7 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 160 | 133 | |
7 | Ingevity Corp. | 3.875% | 11/1/28 | 220 | 182 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
International Paper Co. | 4.800% | 6/15/44 | 549 | 458 | ||
4 | Inversiones CMPC SA | 4.750% | 9/15/24 | 2,000 | 1,948 | |
7 | Kaiser Aluminum Corp. | 4.500% | 6/1/31 | 730 | 530 | |
4,10 | Koninklijke DSM NV | 0.625% | 6/23/32 | 1,800 | 1,277 | |
Linde Inc. | 2.000% | 8/10/50 | 1,000 | 557 | ||
4,10 | Linde plc | 1.000% | 9/30/51 | 900 | 436 | |
LYB International Finance III LLC | 3.375% | 10/1/40 | 2,600 | 1,789 | ||
Mosaic Co. | 4.875% | 11/15/41 | 440 | 356 | ||
Newmont Corp. | 2.800% | 10/1/29 | 3,385 | 2,809 | ||
Newmont Corp. | 2.250% | 10/1/30 | 2,540 | 1,968 | ||
7 | Novelis Corp. | 4.750% | 1/30/30 | 315 | 258 | |
Nucor Corp. | 3.125% | 4/1/32 | 3,590 | 2,943 | ||
Nucor Corp. | 4.400% | 5/1/48 | 1,650 | 1,334 | ||
Nucor Corp. | 3.850% | 4/1/52 | 1,500 | 1,097 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 2,042 | 1,896 | ||
Nutrien Ltd. | 2.950% | 5/13/30 | 1,000 | 837 | ||
Nutrien Ltd. | 4.125% | 3/15/35 | 180 | 153 | ||
7 | Olympus Water US Holding Corp. | 4.250% | 10/1/28 | 40 | 31 | |
Packaging Corp. of America | 3.400% | 12/15/27 | 230 | 209 | ||
Packaging Corp. of America | 4.050% | 12/15/49 | 150 | 113 | ||
7 | Pactiv Evergreen Group Issuer Inc. | 4.000% | 10/15/27 | 178 | 149 | |
10 | PPG Industries Inc. | 2.750% | 6/1/29 | 800 | 707 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 6,290 | 6,100 | ||
RPM International Inc. | 4.550% | 3/1/29 | 1,660 | 1,515 | ||
Sherwin-Williams Co. | 4.500% | 6/1/47 | 310 | 253 | ||
Sherwin-Williams Co. | 3.300% | 5/15/50 | 1,000 | 660 | ||
7 | SPCM SA | 3.125% | 3/15/27 | 155 | 136 | |
7 | SPCM SA | 3.375% | 3/15/30 | 425 | 332 | |
Steel Dynamics Inc. | 2.400% | 6/15/25 | 555 | 513 | ||
Steel Dynamics Inc. | 3.450% | 4/15/30 | 1,570 | 1,327 | ||
United States Steel Corp. | 6.875% | 3/1/29 | 42 | 38 | ||
Westlake Corp. | 3.125% | 8/15/51 | 1,000 | 617 | ||
WRKCo Inc. | 3.900% | 6/1/28 | 325 | 299 | ||
69,750 | ||||||
Real Estate (0.9%) | ||||||
Agree LP | 2.000% | 6/15/28 | 1,120 | 905 | ||
Agree LP | 2.600% | 6/15/33 | 1,130 | 824 | ||
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 206 | 198 | ||
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 3,200 | 1,948 | ||
4,10 | Aroundtown SA | 0.000% | 7/16/26 | 2,200 | 1,698 | |
4,10 | Aroundtown SA | 2.875% | Perpetual | 400 | 252 | |
4,10 | Blackstone Property Partners Europe Holdings Sarl | 1.000% | 10/20/26 | 2,054 | 1,667 | |
Camden Property Trust | 3.350% | 11/1/49 | 2,480 | 1,726 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 2,000 | 1,748 | ||
Corporate Office Properties LP | 2.750% | 4/15/31 | 2,870 | 2,124 | ||
Crown Castle Inc. | 4.450% | 2/15/26 | 310 | 299 | ||
Crown Castle Inc. | 3.800% | 2/15/28 | 1,093 | 990 | ||
Crown Castle Inc. | 4.750% | 5/15/47 | 700 | 574 | ||
Crown Castle Inc. | 5.200% | 2/15/49 | 200 | 173 | ||
10 | Digital Euro Finco LLC | 2.625% | 4/15/24 | 4,542 | 4,314 | |
Digital Realty Trust LP | 3.600% | 7/1/29 | 200 | 175 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 920 | 737 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 4,825 | 4,767 | ||
Healthcare Realty Holdings LP | 3.875% | 5/1/25 | 775 | 739 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Kimco Realty Corp. | 1.900% | 3/1/28 | 4,000 | 3,300 | ||
Kimco Realty Corp. | 4.250% | 4/1/45 | 2,180 | 1,659 | ||
Kimco Realty Corp. | 3.700% | 10/1/49 | 1,660 | 1,145 | ||
7 | Ladder Capital Finance Holdings LLLP | 4.750% | 6/15/29 | 555 | 416 | |
Mid-America Apartments LP | 2.750% | 3/15/30 | 200 | 167 | ||
MPT Operating Partnership LP | 3.500% | 3/15/31 | 575 | 400 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 200 | 194 | ||
Omega Healthcare Investors Inc. | 3.375% | 2/1/31 | 3,000 | 2,295 | ||
4,10 | Prologis International Funding II SA | 1.625% | 6/17/32 | 2,062 | 1,512 | |
Prologis LP | 4.625% | 1/15/33 | 3,300 | 3,134 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 2,391 | 2,245 | ||
SBA Communications Corp. | 3.125% | 2/1/29 | 645 | 519 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 236 | 233 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 189 | 179 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 1,200 | 1,146 | ||
Simon Property Group LP | 3.250% | 11/30/26 | 203 | 188 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 200 | 166 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 1,000 | 809 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 250 | 175 | ||
4 | UDR Inc. | 2.950% | 9/1/26 | 185 | 168 | |
7 | Uniti Group LP | 7.875% | 2/15/25 | 190 | 185 | |
7 | VICI Properties LP | 5.625% | 5/1/24 | 235 | 231 | |
7 | VICI Properties LP | 4.625% | 6/15/25 | 641 | 603 | |
4,10 | Vonovia SE | 0.000% | 12/1/25 | 2,100 | 1,793 | |
10 | Vonovia SE | 1.500% | 6/14/41 | 800 | 423 | |
Welltower Inc. | 4.250% | 4/1/26 | 600 | 575 | ||
11 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 3,724 | 3,570 | |
Weyerhaeuser Co. | 4.000% | 11/15/29 | 2,479 | 2,228 | ||
Weyerhaeuser Co. | 4.000% | 4/15/30 | 145 | 128 | ||
Weyerhaeuser Co. | 3.375% | 3/9/33 | 2,850 | 2,316 | ||
57,960 | ||||||
Technology (1.7%) | ||||||
Apple Inc. | 1.200% | 2/8/28 | 1,580 | 1,323 | ||
Apple Inc. | 3.250% | 8/8/29 | 13,690 | 12,515 | ||
Apple Inc. | 2.375% | 2/8/41 | 2,825 | 1,960 | ||
Apple Inc. | 3.850% | 5/4/43 | 1,715 | 1,443 | ||
Apple Inc. | 3.850% | 8/4/46 | 1,660 | 1,375 | ||
Apple Inc. | 2.950% | 9/11/49 | 925 | 653 | ||
Apple Inc. | 2.650% | 5/11/50 | 1,660 | 1,096 | ||
Apple Inc. | 2.700% | 8/5/51 | 4,150 | 2,735 | ||
Apple Inc. | 4.100% | 8/8/62 | 6,980 | 5,723 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 1,450 | 1,348 | ||
7 | Broadcom Inc. | 3.187% | 11/15/36 | 3,300 | 2,260 | |
7 | Broadcom Inc. | 3.500% | 2/15/41 | 800 | 540 | |
7 | Clarivate Science Holdings Corp. | 4.875% | 7/1/29 | 450 | 352 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 45 | 41 | |
7 | CommScope Inc. | 7.125% | 7/1/28 | 239 | 185 | |
7 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 755 | 618 | |
Dell International LLC | 6.100% | 7/15/27 | 1,490 | 1,502 | ||
Dell International LLC | 6.200% | 7/15/30 | 2,051 | 1,996 | ||
7 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 4,380 | 3,886 | |
7 | Entegris Escrow Corp. | 5.950% | 6/15/30 | 865 | 789 | |
Global Payments Inc. | 1.500% | 11/15/24 | ���2,560 | 2,358 | ||
HP Inc. | 4.000% | 4/15/29 | 5,030 | 4,424 | ||
HP Inc. | 4.200% | 4/15/32 | 3,590 | 2,923 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Intel Corp. | 3.150% | 5/11/27 | 44 | 41 | ||
Intel Corp. | 2.450% | 11/15/29 | 237 | 198 | ||
Intel Corp. | 4.150% | 8/5/32 | 1,090 | 995 | ||
Intel Corp. | 4.750% | 3/25/50 | 1,345 | 1,160 | ||
Intel Corp. | 3.050% | 8/12/51 | 2,400 | 1,535 | ||
Intel Corp. | 4.900% | 8/5/52 | 5,790 | 5,110 | ||
KLA Corp. | 5.000% | 3/15/49 | 2,820 | 2,577 | ||
7 | MSCI Inc. | 3.625% | 9/1/30 | 305 | 255 | |
7 | Nielsen Finance LLC | 5.625% | 10/1/28 | 152 | 151 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 1,710 | 1,333 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 500 | 358 | ||
NXP BV | 3.250% | 5/11/41 | 2,350 | 1,541 | ||
Oracle Corp. | 2.400% | 9/15/23 | 4,979 | 4,856 | ||
Oracle Corp. | 3.400% | 7/8/24 | 100 | 97 | ||
Oracle Corp. | 2.950% | 11/15/24 | 371 | 354 | ||
Oracle Corp. | 2.950% | 5/15/25 | 328 | 308 | ||
Oracle Corp. | 2.650% | 7/15/26 | 298 | 268 | ||
Oracle Corp. | 2.300% | 3/25/28 | 3,315 | 2,767 | ||
Oracle Corp. | 2.950% | 4/1/30 | 921 | 743 | ||
Oracle Corp. | 2.875% | 3/25/31 | 4,440 | 3,498 | ||
Oracle Corp. | 3.600% | 4/1/40 | 1,300 | 882 | ||
Oracle Corp. | 3.650% | 3/25/41 | 2,250 | 1,527 | ||
Oracle Corp. | 3.950% | 3/25/51 | 1,610 | 1,069 | ||
PayPal Holdings Inc. | 3.900% | 6/1/27 | 1,120 | 1,073 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 1,000 | 842 | ||
7 | S&P Global Inc. | 2.700% | 3/1/29 | 6,460 | 5,588 | |
7 | S&P Global Inc. | 2.900% | 3/1/32 | 2,470 | 2,064 | |
7 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 144 | 129 | |
Salesforce Inc. | 2.700% | 7/15/41 | 6,500 | 4,481 | ||
Skyworks Solutions Inc. | 1.800% | 6/1/26 | 1,020 | 887 | ||
Skyworks Solutions Inc. | 3.000% | 6/1/31 | 4,110 | 3,124 | ||
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 110 | 101 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 4,200 | 3,949 | ||
VMware Inc. | 1.800% | 8/15/28 | 3,960 | 3,138 | ||
VMware Inc. | 4.700% | 5/15/30 | 500 | 449 | ||
Workday Inc. | 3.700% | 4/1/29 | 3,160 | 2,834 | ||
112,327 | ||||||
Utilities (2.3%) | ||||||
4 | AEP Transmission Co. LLC | 3.650% | 4/1/50 | 2,800 | 2,067 | |
4 | AEP Transmission Co. LLC | 2.750% | 8/15/51 | 1,500 | 938 | |
4 | Alabama Power Co. | 1.450% | 9/15/30 | 2,000 | 1,530 | |
Ameren Corp. | 3.500% | 1/15/31 | 700 | 603 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 1,500 | 1,148 | ||
American Electric Power Co. Inc. | 2.031% | 3/15/24 | 2,100 | 2,008 | ||
4 | Appalachian Power Co. | 2.700% | 4/1/31 | 2,000 | 1,603 | |
4 | Appalachian Power Co. | 4.500% | 8/1/32 | 10,970 | 9,876 | |
4 | Appalachian Power Co. | 4.500% | 3/1/49 | 500 | 406 | |
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 3,200 | 1,981 | ||
7 | Calpine Corp. | 5.125% | 3/15/28 | 590 | 510 | |
4 | CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 1,165 | 952 | |
4 | CenterPoint Energy Houston Electric LLC | 3.000% | 3/1/32 | 1,944 | 1,646 | |
4 | CenterPoint Energy Houston Electric LLC | 4.450% | 10/1/32 | 4,400 | 4,181 | |
CenterPoint Energy Inc. | 4.250% | 11/1/28 | 319 | 292 | ||
CenterPoint Energy Inc. | 2.650% | 6/1/31 | 2,730 | 2,181 | ||
4,11 | Centrica plc | 4.375% | 3/13/29 | 1,400 | 1,363 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CMS Energy Corp. | 4.875% | 3/1/44 | 1,135 | 976 | ||
Commonwealth Edison Co. | 3.800% | 10/1/42 | 685 | 544 | ||
4 | Commonwealth Edison Co. | 3.750% | 8/15/47 | 490 | 379 | |
4 | Connecticut Light & Power Co. | 4.150% | 6/1/45 | 250 | 202 | |
Connecticut Light & Power Co. | 4.000% | 4/1/48 | 307 | 251 | ||
Constellation Energy Generation LLC | 6.250% | 10/1/39 | 2,530 | 2,466 | ||
Consumers Energy Co. | 3.600% | 8/15/32 | 900 | 804 | ||
Consumers Energy Co. | 3.950% | 7/15/47 | 900 | 723 | ||
Consumers Energy Co. | 4.200% | 9/1/52 | 1,770 | 1,471 | ||
4,12 | DBNGP Finance Co. Pty. Ltd. | 4.225% | 5/28/25 | 5,550 | 3,449 | |
4 | Dominion Energy Inc. | 3.375% | 4/1/30 | 1,000 | 862 | |
4 | Dominion Energy Inc. | 4.050% | 9/15/42 | 500 | 392 | |
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 530 | 459 | ||
4 | DTE Electric Co. | 1.900% | 4/1/28 | 615 | 523 | |
DTE Electric Co. | 4.300% | 7/1/44 | 2,490 | 2,100 | ||
DTE Energy Co. | 2.950% | 3/1/30 | 1,000 | 839 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 970 | 822 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 585 | 489 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 860 | 705 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 250 | 238 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 1,528 | 1,279 | ||
10 | Duke Energy Corp. | 3.100% | 6/15/28 | 4,231 | 3,868 | |
10 | Duke Energy Corp. | 3.850% | 6/15/34 | 500 | 427 | |
Duke Energy Corp. | 3.300% | 6/15/41 | 500 | 349 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 500 | 337 | ||
Duke Energy Corp. | 5.000% | 8/15/52 | 4,230 | 3,613 | ||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 241 | 225 | ||
Duke Energy Florida LLC | 1.750% | 6/15/30 | 290 | 227 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 2,000 | 1,717 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 400 | 323 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 3,483 | 2,083 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 1,000 | 783 | ||
4,10 | Engie SA | 2.000% | 9/28/37 | 1,500 | 1,034 | |
Entergy Arkansas LLC | 3.500% | 4/1/26 | 202 | 192 | ||
Entergy Arkansas LLC | 2.650% | 6/15/51 | 1,990 | 1,204 | ||
Entergy Corp. | 2.800% | 6/15/30 | 1,721 | 1,392 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 1,200 | 1,212 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 515 | 387 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 500 | 403 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 1,900 | 1,301 | ||
Eversource Energy | 4.200% | 6/27/24 | 8,930 | 8,805 | ||
4 | Eversource Energy | 1.400% | 8/15/26 | 1,400 | 1,211 | |
Exelon Corp. | 4.050% | 4/15/30 | 400 | 363 | ||
7 | Exelon Corp. | 3.350% | 3/15/32 | 2,600 | 2,182 | |
Exelon Corp. | 5.625% | 6/15/35 | 200 | 196 | ||
Exelon Corp. | 5.100% | 6/15/45 | 1,000 | 898 | ||
Exelon Corp. | 4.450% | 4/15/46 | 1,000 | 818 | ||
7 | Exelon Corp. | 4.100% | 3/15/52 | 1,400 | 1,083 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 3,190 | 2,582 | ||
4 | FirstEnergy Corp. | 2.250% | 9/1/30 | 1,435 | 1,115 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 1,035 | 836 | ||
7 | ITC Holdings Corp. | 4.950% | 9/22/27 | 1,250 | 1,219 | |
4,10 | National Grid plc | 0.750% | 9/1/33 | 2,300 | 1,514 | |
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 177 | 162 | ||
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 3,200 | 3,059 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Northern States Power Co. | 6.250% | 6/1/36 | 500 | 530 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 55 | 54 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 3,000 | 2,653 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 1,010 | 801 | ||
Pacific Gas & Electric Co. | 3.150% | 1/1/26 | 2,000 | 1,797 | ||
Pacific Gas & Electric Co. | 3.000% | 6/15/28 | 1,000 | 825 | ||
Pacific Gas & Electric Co. | 2.500% | 2/1/31 | 3,000 | 2,184 | ||
Pacific Gas & Electric Co. | 4.500% | 7/1/40 | 1,472 | 1,072 | ||
Pacific Gas & Electric Co. | 3.500% | 8/1/50 | 1,172 | 714 | ||
PacifiCorp | 5.250% | 6/15/35 | 313 | 297 | ||
PacifiCorp | 4.125% | 1/15/49 | 525 | 419 | ||
PacifiCorp | 4.150% | 2/15/50 | 865 | 695 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 1,515 | 1,254 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 1,285 | 986 | ||
4 | Public Service Co. of Colorado | 6.250% | 9/1/37 | 550 | 585 | |
Public Service Co. of Colorado | 3.800% | 6/15/47 | 1,000 | 776 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 500 | 403 | ||
4 | Public Service Electric & Gas Co. | 3.200% | 5/15/29 | 261 | 235 | |
4 | Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 806 | 661 | |
4 | Public Service Electric & Gas Co. | 3.600% | 12/1/47 | 500 | 378 | |
7 | Rayburn Country Securitization LLC | 2.307% | 12/1/30 | 2,847 | 2,590 | |
4,10 | RWE AG | 2.750% | 5/24/30 | 1,800 | 1,591 | |
Sempra Energy | 3.700% | 4/1/29 | 4,000 | 3,574 | ||
4 | Southern California Edison Co. | 4.200% | 3/1/29 | 1,800 | 1,665 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 1,775 | 1,430 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 615 | 449 | ||
Southern California Edison Co. | 3.450% | 2/1/52 | 700 | 471 | ||
Southern Co. | 4.475% | 8/1/24 | 4,480 | 4,422 | ||
4 | Southern Co. | 3.700% | 4/30/30 | 700 | 617 | |
Southern Co. | 4.400% | 7/1/46 | 350 | 275 | ||
4 | Southwestern Electric Power Co. | 4.100% | 9/15/28 | 207 | 191 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 257 | 250 | ||
Tampa Electric Co. | 3.875% | 7/12/24 | 1,580 | 1,551 | ||
Union Electric Co. | 3.900% | 9/15/42 | 454 | 363 | ||
Union Electric Co. | 4.000% | 4/1/48 | 910 | 724 | ||
Union Electric Co. | 3.900% | 4/1/52 | 1,500 | 1,180 | ||
4 | Virginia Electric & Power Co. | 3.150% | 1/15/26 | 425 | 401 | |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,180 | 927 | ||
4 | Virginia Electric & Power Co. | 3.800% | 9/15/47 | 500 | 383 | |
7 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 530 | 495 | |
7 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 65 | 61 | |
WEC Energy Group Inc. | 5.000% | 9/27/25 | 5,000 | 4,983 | ||
146,290 | ||||||
Total Corporate Bonds (Cost $2,161,887) | 1,811,728 | |||||
Floating Rate Loan Interests (0.1%) | ||||||
8 | AAdvantage Loyalty IP Ltd. Initial Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 155 | 150 | |
8 | Bausch Health Cos. Inc. Second Amendment Term Loan, TSFR1M + 5.250% | 8.098% | 2/1/27 | 415 | 317 | |
8 | Central Parent Inc. First Lien Initial Term Loan, TSFR3M + 4.500% | 6.610% | 7/6/29 | 150 | 144 | |
8 | Directv Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 8.115% | 8/2/27 | 439 | 408 | |
8 | First Student Bidco Inc. Incremental Term Loan B, TSFR3M + 4.000% | 6.154% | 7/21/28 | 416 | 395 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
8 | First Student Bidco Inc. Incremental Term Loan C, TSFR3M + 4.000% | 6.154% | 7/21/28 | 28 | 27 | |
8 | McAfee Corp. Tranche B-1 Term Loan, TSFR1M + 3.750% | 6.362% | 3/1/29 | 179 | 163 | |
8 | Medline Borrower LP Initial Dollar Term Loan, 1M USD LIBOR + 3.250% | 6.365% | 10/23/28 | 204 | 187 | |
8 | SBA Senior Finance II LLC Initial Term Loan, 1M USD LIBOR + 1.750% | 4.870% | 4/11/25 | 20 | 19 | |
8 | Setanta Aircraft Leasing DAC Term Loan, 3M USD LIBOR + 2.000% | 5.674% | 11/5/28 | 1,745 | 1,705 | |
8 | SS&C Technologies Holdings Inc. Term Loan B-6, TSFR1M + 2.250% | 5.384% | 3/22/29 | 117 | 113 | |
8 | SS&C Technologies Holdings Inc. Term Loan B-7, TSFR1M + 2.250% | 5.384% | 3/22/29 | 166 | 160 | |
Total Floating Rate Loan Interests (Cost $3,967) | 3,788 | |||||
Sovereign Bonds (3.5%) | ||||||
4 | Bermuda | 3.717% | 1/25/27 | 700 | 654 | |
4 | Bermuda | 2.375% | 8/20/30 | 2,080 | 1,648 | |
4,7 | Bermuda | 5.000% | 7/15/32 | 22,300 | 21,116 | |
4 | Bermuda | 3.375% | 8/20/50 | 3,881 | 2,554 | |
4,7 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 865 | 712 | |
4 | Dominican Republic | 5.950% | 1/25/27 | 3,590 | 3,347 | |
4 | Dominican Republic | 5.500% | 2/22/29 | 1,500 | 1,297 | |
4,7 | Dominican Republic | 6.000% | 2/22/33 | 602 | 489 | |
4 | Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 4,188 | 3,764 | |
4 | Eskom Holdings SOC Ltd. | 7.125% | 2/11/25 | 4,500 | 3,992 | |
4,7 | Export-Import Bank of India | 3.875% | 2/1/28 | 240 | 218 | |
4,7 | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 2,548 | 2,388 | |
4,7 | Korea Electric Power Corp. | 3.625% | 6/14/25 | 5,333 | 5,134 | |
4,6,7 | Korea Electric Power Corp. | 5.375% | 4/6/26 | 9,680 | 9,667 | |
4,7 | Korea Electric Power Corp. | 4.000% | 6/14/27 | 6,000 | 5,704 | |
4 | Korea National Oil Corp. | 0.875% | 10/5/25 | 5,000 | 4,407 | |
4 | NTPC Ltd. | 4.250% | 2/26/26 | 250 | 240 | |
4,7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 200 | 186 | |
4,7 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 560 | 517 | |
4 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 954 | 908 | |
4 | Petroleos del Peru SA | 5.625% | 6/19/47 | 4,740 | 2,816 | |
Petroleos Mexicanos | 6.490% | 1/23/27 | 6,590 | 5,517 | ||
Petroleos Mexicanos | 6.500% | 3/13/27 | 3,583 | 3,002 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 1,134 | 648 | ||
Petroleos Mexicanos | 6.750% | 9/21/47 | 1,135 | 632 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 2,731 | 1,465 | ||
4 | Republic of Colombia | 2.625% | 3/15/23 | 10,750 | 10,617 | |
4 | Republic of Colombia | 4.500% | 1/28/26 | 12,545 | 11,510 | |
4 | Republic of Croatia | 5.500% | 4/4/23 | 5,608 | 5,605 | |
4 | Republic of El Salvador | 8.625% | 2/28/29 | 5,100 | 1,862 | |
Republic of Hungary | 5.375% | 2/21/23 | 3,138 | 3,132 | ||
Republic of Hungary | 5.750% | 11/22/23 | 992 | 984 | ||
Republic of Hungary | 5.375% | 3/25/24 | 1,782 | 1,752 | ||
4 | Republic of Indonesia | 4.650% | 9/20/32 | 17,560 | 16,490 | |
4 | Republic of Kazakhstan | 4.875% | 10/14/44 | 200 | 154 | |
4 | Republic of Kenya | 8.000% | 5/22/32 | 2,000 | 1,362 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Republic of Panama | 8.125% | 4/28/34 | 780 | 897 | ||
4 | Republic of Panama | 3.870% | 7/23/60 | 5,442 | 3,220 | |
4 | Republic of Paraguay | 4.625% | 1/25/23 | 2,000 | 1,992 | |
Republic of Peru | 7.350% | 7/21/25 | 967 | 1,015 | ||
4,10 | Republic of Romania | 2.125% | 3/7/28 | 6,689 | 5,053 | |
7,10 | Republic of Romania | 6.625% | 9/27/29 | 10,660 | 9,828 | |
4,10 | Republic of Romania | 1.375% | 12/2/29 | 2,000 | 1,284 | |
4,10 | Republic of Romania | 1.750% | 7/13/30 | 1,700 | 1,070 | |
4,7 | Republic of Romania | 6.000% | 5/25/34 | 6,960 | 5,838 | |
10 | Republic of the Philippines | 0.250% | 4/28/25 | 1,185 | 1,060 | |
10 | Republic of the Philippines | 1.750% | 4/28/41 | 5,744 | 3,368 | |
4 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 2,500 | 2,419 | |
4,10 | Serbia International Bond | 3.125% | 5/15/27 | 3,536 | 2,818 | |
4,10 | Serbia International Bond | 1.650% | 3/3/33 | 1,349 | 728 | |
4,7,10 | Serbia International Bond | 2.050% | 9/23/36 | 3,451 | 1,753 | |
4,7,14 | Ukraine Government Bond | 6.876% | 5/21/31 | 5,000 | 916 | |
11 | United Kingdom of Great Britain and Northern Ireland | 2.750% | 9/7/24 | 2,586 | 2,815 | |
4,15 | United Mexican States | 7.750% | 5/29/31 | 100,000 | 4,410 | |
4,15 | United Mexican States | 10.000% | 11/20/36 | 140,000 | 7,133 | |
4,15 | United Mexican States | 8.500% | 11/18/38 | 264,500 | 11,846 | |
4,15 | United Mexican States | 7.750% | 11/13/42 | 152,000 | 6,269 | |
4 | United Mexican States | 4.400% | 2/12/52 | 13,113 | 9,051 | |
4 | United Mexican States | 5.750% | 10/12/10 | 1,150 | 888 | |
Total Sovereign Bonds (Cost $255,842) | 222,161 | |||||
Taxable Municipal Bonds (0.0%) | ||||||
Houston TX GO | 6.290% | 3/1/32 | 1,585 | 1,665 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 5.871% | 11/15/39 | 700 | 700 | ||
Texas Private Activity Bond Surface Transportation Corp. Revenue (NTE Mobility Partners) | 3.922% | 12/31/49 | 700 | 530 | ||
Wisconsin General Fund Annual Appropriation Revenue | 3.954% | 5/1/36 | 500 | 447 | ||
Total Taxable Municipal Bonds (Cost $3,853) | 3,342 | |||||
Temporary Cash Investments (8.2%) | ||||||
Commercial Paper (1.9%) | ||||||
16 | CDP Financial Inc. | 3.796% | 6/28/23 | 40,000 | 38,691 | |
16 | CDP Financial Inc. | 3.745% | 7/3/23 | 38,600 | 37,308 | |
16 | Enbridge US Inc. | 2.993% | 12/30/22 | 16,900 | 16,727 | |
16 | Raytheon Technologies Corp. | 3.745% | 12/1/22 | 4,000 | 3,974 | |
16 | Raytheon Technologies Corp. | 3.751% | 12/19/22 | 2,900 | 2,875 | |
16 | Raytheon Technologies Corp. | 3.808% | 12/30/22 | 26,100 | 25,838 | |
125,413 | ||||||
Shares | ||||||
Money Market Fund (6.3%) | ||||||
17 | Vanguard Market Liquidity Fund | 2.828% | 4,050,271 | 404,906 | ||
Total Temporary Cash Investments (Cost $530,808) | 530,319 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value• ($000) | ||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Call Swaptions | ||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 38,496 | — | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 36,827 | — | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 36,930 | — | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 38,496 | — | |
— | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-IG-S38-V1, Credit Protection Purchased, Pays 1.000% Quarterly | GSI | 11/16/22 | 1.000% | 72,620 | 298 | |
Total Options Purchased (Cost $895) | 298 | |||||
Total Investments (96.3%) (Cost $6,858,861) | 6,190,932 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.8%) | ||||||
4,5,6 | UMBS Pool (Proceeds $110,005) | 3.000% | 10/25/37–11/25/52 | (137,768) | (117,412) | |
Other Assets and Liabilities—Net (5.5%) | 354,644 | |||||
Net Assets (100%) | 6,428,164 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $1,161,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $5,068,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $32,449,000 have been segregated as initial margin for open futures contracts. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
6 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2022. |
7 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $744,057,000, representing 11.6% of net assets. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Interest-only security. |
10 | Face amount denominated in euro. |
11 | Face amount denominated in British pounds. |
12 | Face amount denominated in Australian dollars. |
13 | Face amount denominated in Swiss francs. |
14 | Non-income-producing security—security in default. |
15 | Face amount denominated in Mexican pesos. |
16 | 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 September 30, 2022, the aggregate value of these securities was $125,413,000, representing 1.9% of net assets. |
17 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank, N.A. | |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SOFR30A—30 Day Average Secured Overnight Financing Rate. | |
TSFR1M—CME Term Secured Overnight Financing Rate 1-Month. | |
TSFR3M—CME Term Secured Overnight Financing Rate 3-Month. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Options Written | |||||
Counterparty | Expiration Date | Excercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | |
Over-the-Counter Swaptions | |||||
Put Swaptions | |||||
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 10/19/22 | 1.050% | 198,665 | (347) |
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 11/16/22 | 1.050% | 198,665 | (659) |
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 11/16/22 | 1.400% | 72,620 | (61) |
Total Options Written (Premiums Received $740) | (1,067) |
GSI—Goldman Sachs International. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 52 | 10,680 | (4) |
5-Year U.S. Treasury Note | December 2022 | 5,707 | 613,547 | (15,657) |
10-Year U.S. Treasury Note | December 2022 | 3,442 | 385,719 | (15,723) |
Euro-Bobl | December 2022 | 9 | 1,056 | 7 |
Long U.S. Treasury Bond | December 2022 | 564 | 71,293 | (3,419) |
Ultra 10-Year U.S. Treasury Note | December 2022 | 481 | 56,991 | (910) |
Ultra Long U.S. Treasury Bond | December 2022 | 1,624 | 222,488 | (18,057) |
(53,763) |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
10-Year Japanese Government Bond | December 2022 | (86) | (88,121) | 63 |
AUD 3-Year Treasury Bond | December 2022 | (106) | (7,225) | 85 |
AUD 10-Year Treasury Bond | December 2022 | (81) | (6,068) | 139 |
Euro-Bund | December 2022 | (135) | (18,323) | 927 |
Euro-Buxl | December 2022 | (45) | (6,467) | 691 |
Euro-Schatz | December 2022 | (1,015) | (106,603) | (199) |
Long Gilt | December 2022 | (104) | (11,194) | 1,535 |
3,241 | ||||
(50,522) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 11/2/22 | AUD | 497 | USD | 324 | — | (6) |
Bank of Montreal | 11/2/22 | CAD | 27 | USD | 20 | — | (1) |
JPMorgan Chase Bank, N.A. | 11/2/22 | EUR | 1,504 | USD | 1,509 | — | (32) |
Credit Agricole CIB | 11/2/22 | EUR | 894 | USD | 868 | 10 | — |
Bank of America, N.A. | 11/2/22 | EUR | 875 | USD | 867 | — | (8) |
State Street Bank & Trust Co. | 11/2/22 | EUR | 621 | USD | 599 | 11 | — |
Royal Bank of Canada | 11/2/22 | GBP | 2,283 | USD | 2,444 | 107 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | GBP | 748 | USD | 848 | — | (12) |
Morgan Stanley Capital Services LLC | 11/2/22 | GBP | 306 | USD | 331 | 10 | — |
HSBC Bank plc | 11/2/22 | GBP | 305 | USD | 329 | 12 | — |
State Street Bank & Trust Co. | 11/2/22 | JPY | 76,667 | USD | 532 | — | (1) |
Royal Bank of Canada | 11/2/22 | JPY | 48,827 | USD | 342 | — | (4) |
Credit Agricole CIB | 11/2/22 | USD | 27,236 | AUD | 40,419 | 1,374 | — |
Royal Bank of Canada | 11/2/22 | USD | 1,978 | CHF | 1,888 | 59 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 81,927 | EUR | 81,726 | 1,667 | — |
Bank of America, N.A. | 11/2/22 | USD | 9,363 | EUR | 9,607 | — | (72) |
Morgan Stanley Capital Services LLC | 11/2/22 | USD | 911 | EUR | 908 | 20 | — |
Bank of America, N.A. | 11/2/22 | USD | 502 | EUR | 503 | 8 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Morgan Stanley Capital Services LLC | 11/2/22 | USD | 360 | EUR | 367 | — | — |
Citibank, N.A. | 11/2/22 | USD | 331 | EUR | 329 | 7 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 268 | EUR | 267 | 5 | — |
Morgan Stanley Capital Services LLC | 11/2/22 | USD | 22,089 | GBP | 19,192 | 646 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 21,996 | GBP | 19,115 | 639 | — |
Standard Chartered Bank | 11/2/22 | USD | 2,370 | GBP | 2,225 | — | (116) |
State Street Bank & Trust Co. | 11/2/22 | USD | 1,104 | GBP | 998 | — | (10) |
Bank of America, N.A. | 11/2/22 | USD | 473 | GBP | 432 | — | (10) |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 383 | JPY | 54,639 | 4 | — |
Bank of America, N.A. | 11/2/22 | USD | 179 | JPY | 25,137 | 5 | — |
Royal Bank of Canada | 11/2/22 | USD | 72 | JPY | 10,250 | 1 | — |
Morgan Stanley Capital Services LLC | 11/2/22 | USD | 60 | JPY | 8,600 | — | — |
State Street Bank & Trust Co. | 11/3/22 | USD | 33,761 | MXN | 682,325 | 74 | — |
Morgan Stanley Capital Services LLC | 11/2/22 | USD | 6 | ZAR | 106 | — | — |
4,659 | (272) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican peso. |
USD—U.S. dollar. |
ZAR—South African rand. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Purchased | ||||||
CDX-NA-IG-S39-V1 | 12/20/27 | USD | 166,180 | (1.000) | 477 | 592 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 13,530 | 1.000 | (19) | 98 | — | (117) |
AT&T Inc./Baa2 | 12/20/23 | BARC | 3,370 | 1.000 | (5) | 25 | — | (30) |
Berkshire Hathaway Inc./Aa2 | 12/20/22 | BARC | 400 | 1.000 | 1 | — | 1 | — |
Berkshire Hathaway Inc./Aa2 | 12/20/24 | BARC | 600 | 1.000 | 12 | 8 | 4 | — |
Berkshire Hathaway Inc./Aa2 | 12/20/24 | JPMC | 600 | 1.000 | 12 | 9 | 3 | — |
Credit Suisse Group Finance Guernsey Ltd./WR | 6/20/27 | JPMC | 1,8002 | 1.000 | (102) | (20) | — | (82) |
Credit Suisse Group Finance Guernsey Ltd./WR | 6/20/27 | JPMC | 9002 | 1.000 | (51) | (14) | — | (37) |
MetLife Inc./A3 | 6/20/24 | BARC | 700 | 1.000 | 7 | — | 7 | — |
Republic of Chile/A2 | 12/20/27 | BARC | 12,070 | 1.000 | (381) | (381) | — | — |
Republic of Chile/A2 | 12/20/27 | CITNA | 4,290 | 1.000 | (132) | (109) | — | (23) |
Republic of Chile/A2 | 12/20/27 | JPMC | 700 | 1.000 | (22) | (19) | — | (3) |
Republic of Chile/A2 | 12/20/27 | MSCS | 3,870 | 1.000 | (119) | (88) | — | (31) |
Republic of South Africa/Ba2 | 12/20/25 | BARC | 360 | 1.000 | (17) | (11) | — | (6) |
United Mexican States/Baa2 | 12/20/27 | GSI | 8,350 | 1.000 | (356) | (269) | — | (87) |
(1,172) | (771) | 15 | (416) | |||||
Credit Protection Purchased | ||||||||
Deutsche Bank AG | 12/20/22 | JPMC | 265 | (1.000) | — | — | — | — |
People's Republic of China | 6/20/23 | GSI | 1,200 | (1.000) | (6) | (2) | — | (4) |
Republic of Colombia | 6/20/27 | BARC | 5,380 | (1.000) | 442 | 427 | 15 | — |
Republic of Colombia | 6/20/27 | BARC | 4,650 | (1.000) | 382 | 369 | 13 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Republic of Colombia | 6/20/27 | MSCS | 2,400 | (1.000) | 197 | 104 | 93 | — |
Standard Chartered plc | 12/20/27 | JPMC | 3,8002 | (1.000) | 38 | 32 | 6 | — |
1,053 | 930 | 127 | (4) | |||||
(119) | 159 | 142 | (420) |
1 Periodic premium received/paid quarterly. |
2 Notional amount denominated in euro. |
BARC—Barclays Bank plc. |
CITNA—Citibank, N.A. |
GSI—Goldman Sachs International. |
JPMC—JPMorgan Chase Bank, N.A. |
MSCS—Morgan Stanley Capital Services LLC. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount (000)1 | Interest Rate Received2 (%) | Interest Rate (Paid)3 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
8/23/25 | N/A | 117,500 | 2.980 | (3.120) | 2,824 | 2,838 |
1 Notional amount denominated in U.S. dollar. |
2 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually. |
3 Interest payment received/paid annually. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,453,973) | 5,786,026 |
Affiliated Issuers (Cost $404,888) | 404,906 |
Total Investments in Securities | 6,190,932 |
Investment in Vanguard | 237 |
Cash | 43,570 |
Foreign Currency, at Value (Cost $1,683) | 1,676 |
Receivables for Investment Securities Sold | 1,714,671 |
Receivables for Accrued Income | 34,723 |
Receivables for Capital Shares Issued | 16,618 |
Swap Premiums Paid | 1,072 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 165 |
Unrealized Appreciation—Forward Currency Contracts | 4,659 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 142 |
Total Assets | 8,008,465 |
Liabilities | |
Liability for Sale Commitments, at Value (Proceeds $110,005) | 117,412 |
Payables for Investment Securities Purchased | 1,433,784 |
Payables for Capital Shares Redeemed | 17,624 |
Payables for Distributions | 2,188 |
Payables to Vanguard | 276 |
Options Written, at Value (Premiums Received $740) | 1,067 |
Swap Premiums Received | 913 |
Variation Margin Payable—Futures Contracts | 6,345 |
Unrealized Depreciation—Forward Currency Contracts | 272 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 420 |
Total Liabilities | 1,580,301 |
Net Assets | 6,428,164 |
Statement of Assets and Liabilities (continued) | |
At September 30, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 7,554,918 |
Total Distributable Earnings (Loss) | (1,126,754) |
Net Assets | 6,428,164 |
Investor Shares—Net Assets | |
Applicable to 22,923,503 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 203,135 |
Net Asset Value Per Share—Investor Shares | $8.86 |
Admiral Shares—Net Assets | |
Applicable to 351,366,041 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,225,029 |
Net Asset Value Per Share—Admiral Shares | $17.72 |
Year Ended September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 151,001 |
Total Income | 151,001 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 441 |
Management and Administrative—Investor Shares | 396 |
Management and Administrative—Admiral Shares | 4,868 |
Marketing and Distribution—Investor Shares | 25 |
Marketing and Distribution—Admiral Shares | 327 |
Custodian Fees | 102 |
Auditing Fees | 40 |
Shareholders’ Reports—Investor Shares | 16 |
Shareholders’ Reports—Admiral Shares | 96 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 20 |
Total Expenses | 6,333 |
Expenses Paid Indirectly | (29) |
Net Expenses | 6,304 |
Net Investment Income | 144,697 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (392,138) |
Futures Contracts | (55,018) |
Options Purchased | 835 |
Options Written | 892 |
Swap Contracts | 4,314 |
Forward Currency Contracts | 30,808 |
Foreign Currencies | (1,374) |
Realized Net Gain (Loss) | (411,681) |
Statement of Operations (continued) | |
Year Ended September 30, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (680,370) |
Futures Contracts | (49,055) |
Options Purchased | (149) |
Options Written | (331) |
Swap Contracts | 2,929 |
Forward Currency Contracts | (1,117) |
Foreign Currencies | 59 |
Change in Unrealized Appreciation (Depreciation) | (728,034) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (995,018) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,228,000, ($93,000), $8,000, and $8,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended September 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 144,697 | 58,816 |
Realized Net Gain (Loss) | (411,681) | 4,881 |
Change in Unrealized Appreciation (Depreciation) | (728,034) | (62,648) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (995,018) | 1,049 |
Distributions | ||
Investor Shares | (5,087) | (6,153) |
Admiral Shares | (140,975) | (104,291) |
Total Distributions | (146,062) | (110,444) |
Capital Share Transactions | ||
Investor Shares | (642) | 16,198 |
Admiral Shares | 1,766,325 | 2,448,417 |
Net Increase (Decrease) from Capital Share Transactions | 1,765,683 | 2,464,615 |
Total Increase (Decrease) | 624,603 | 2,355,220 |
Net Assets | ||
Beginning of Period | 5,803,561 | 3,448,341 |
End of Period | 6,428,164 | 5,803,561 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $10.67 | $10.93 | $10.24 | $9.59 | $10.00 |
Investment Operations | |||||
Net Investment Income1 | .221 | .125 | .209 | .311 | .269 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.810) | (.126) | .697 | .645 | (.400) |
Total from Investment Operations | (1.589) | (.001) | .906 | .956 | (.131) |
Distributions | |||||
Dividends from Net Investment Income | (.213) | (.117) | (.216) | (.306) | (.279) |
Distributions from Realized Capital Gains | (.008) | (.142) | — | — | — |
Total Distributions | (.221) | (.259) | (.216) | (.306) | (.279) |
Net Asset Value, End of Period | $8.86 | $10.67 | $10.93 | $10.24 | $9.59 |
Total Return2 | -15.06% | -0.03% | 8.95% | 10.15% | -1.32% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $203 | $246 | $236 | $117 | $80 |
Ratio of Total Expenses to Average Net Assets | 0.20%3 | 0.20% | 0.25% | 0.25% | 0.25% |
Ratio of Net Investment Income to Average Net Assets | 2.22% | 1.16% | 1.96% | 3.16% | 2.76% |
Portfolio Turnover Rate4 | 499% | 473% | 383% | 406% | 263% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
4 | Includes 146%, 167%, 68%, 32%, and 60%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $21.33 | $21.86 | $20.48 | $19.18 | $20.00 |
Investment Operations | |||||
Net Investment Income1 | .473 | .266 | .436 | .651 | .563 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.622) | (.257) | 1.407 | 1.290 | (.800) |
Total from Investment Operations | (3.149) | .009 | 1.843 | 1.941 | (.237) |
Distributions | |||||
Dividends from Net Investment Income | (.446) | (.256) | (.463) | (.641) | (.583) |
Distributions from Realized Capital Gains | (.015) | (.283) | — | — | — |
Total Distributions | (.461) | (.539) | (.463) | (.641) | (.583) |
Net Asset Value, End of Period | $17.72 | $21.33 | $21.86 | $20.48 | $19.18 |
Total Return2 | -14.93% | 0.03% | 9.11% | 10.31% | -1.19% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,225 | $5,558 | $3,212 | $1,114 | $905 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 2.39% | 1.24% | 2.04% | 3.31% | 2.88% |
Portfolio Turnover Rate4 | 499% | 473% | 383% | 406% | 263% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
4 | Includes 146%, 167%, 68%, 32%, and 60%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 3,010,927 | — | 3,010,927 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 608,369 | — | 608,369 |
Corporate Bonds | — | 1,811,728 | — | 1,811,728 |
Floating Rate Loan Interests | — | 3,788 | — | 3,788 |
Sovereign Bonds | — | 222,161 | — | 222,161 |
Taxable Municipal Bonds | — | 3,342 | — | 3,342 |
Temporary Cash Investments | 404,906 | 125,413 | — | 530,319 |
Options Purchased | — | 298 | — | 298 |
Total | 404,906 | 5,786,026 | — | 6,190,932 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 117,412 | — | 117,412 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,447 | — | — | 3,447 |
Forward Currency Contracts | — | 4,659 | — | 4,659 |
Swap Contracts | 3,4301 | 142 | — | 3,572 |
Total | 6,877 | 4,801 | — | 11,678 |
Liabilities | ||||
Options Written | — | 1,067 | — | 1,067 |
Futures Contracts1 | 53,969 | — | — | 53,969 |
Forward Currency Contracts | — | 272 | — | 272 |
Swap Contracts | — | 420 | — | 420 |
Total | 53,969 | 1,759 | — | 55,728 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Securities, at Value—Unaffiliated Issuers (Options Purchased) | — | — | 298 | 298 |
Swap Premiums Paid | — | — | 1,072 | 1,072 |
Unrealized Appreciation—Futures Contracts1 | 3,447 | — | — | 3,447 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | 2,838 | — | 592 | 3,430 |
Unrealized Appreciation—Forward Currency Contracts | — | 4,659 | — | 4,659 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 142 | 142 |
Total Assets | 6,285 | 4,659 | 2,104 | 13,048 |
Options Written, at Value | — | — | 1,067 | 1,067 |
Swap Premiums Received | — | — | 913 | 913 |
Unrealized Depreciation—Futures Contracts1 | 53,969 | — | — | 53,969 |
Unrealized Depreciation—Forward Currency Contracts | — | 272 | — | 272 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 420 | 420 |
Total Liabilities | 53,969 | 272 | 2,400 | 56,641 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (55,018) | — | — | (55,018) |
Options Purchased | — | — | 835 | 835 |
Options Written | — | — | 892 | 892 |
Swap Contracts | (527) | — | 4,841 | 4,314 |
Forward Currency Contracts | — | 30,808 | — | 30,808 |
Realized Net Gain (Loss) on Derivatives | (55,545) | 30,808 | 6,568 | (18,169) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (49,055) | — | — | (49,055) |
Options Purchased | (223) | — | 74 | (149) |
Options Written | — | — | (331) | (331) |
Swap Contracts | 2,838 | — | 91 | 2,929 |
Forward Currency Contracts | — | (1,117) | — | (1,117) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (46,440) | (1,117) | (166) | (47,723) |
Amount ($000) | |
Undistributed Ordinary Income | 2,315 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (466,331) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (660,550) |
Year Ended September 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 146,062 | 103,087 |
Long-Term Capital Gains | — | 7,357 |
Total | 146,062 | 110,444 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,846,319 |
Gross Unrealized Appreciation | 85,891 |
Gross Unrealized Depreciation | (746,441) |
Net Unrealized Appreciation (Depreciation) | (660,550) |
Year Ended September 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 111,923 | 11,178 | 182,294 | 16,858 | |
Issued in Lieu of Cash Distributions | 4,644 | 479 | 5,618 | 520 | |
Redeemed | (117,209) | (11,752) | (171,714) | (15,960) | |
Net Increase (Decrease)—Investor Shares | (642) | (95) | 16,198 | 1,418 |
Year Ended September 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 4,224,829 | 216,128 | 3,851,725 | 179,091 | |
Issued in Lieu of Cash Distributions | 121,763 | 6,295 | 91,424 | 4,234 | |
Redeemed | (2,580,267) | (131,633) | (1,494,732) | (69,724) | |
Net Increase (Decrease)—Admiral Shares | 1,766,325 | 90,790 | 2,448,417 | 113,601 |
Philadelphia, Pennsylvania
November 17, 2022
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisor’s Report | 2 |
About Your Fund’s Expenses | 5 |
Performance Summary | 7 |
Financial Statements | 9 |
• | The 12 months ended September 30, 2022, were a challenging period for financial markets. Vanguard Emerging Markets Bond Fund returned –21.51% for Investor Shares and –21.39% for Admiral Shares. The fund outpaced its benchmark, which returned –24.28%. |
• | The economic backdrop deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | Country and security selection proved especially important in this environment. In particular, the fund benefited from an underweight to Russian sovereign bonds. |
• | The fund took on more risk to capture value at discounted prices in the summer; this was another positive for relative performance. The fund’s shorter duration in a rising rate environment also helped. |
• | The use of derivatives had a net positive contribution to performance. |
Average Annual Total Returns Periods Ended September 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -17.22% | 7.95% | 9.00% |
Russell 2000 Index (Small-caps) | -23.50 | 4.29 | 3.55 |
Russell 3000 Index (Broad U.S. market) | -17.63 | 7.70 | 8.62 |
FTSE All-World ex US Index (International) | -24.76 | -0.95 | -0.38 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -14.61% | -3.22% | -0.23% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -11.50 | -1.85 | 0.59 |
FTSE Three-Month U.S. Treasury Bill Index | 0.63 | 0.57 | 1.12 |
CPI | |||
Consumer Price Index | 8.20% | 4.95% | 3.76% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Emerging Markets Bond Fund | |||
Investor Shares | $1,000.00 | $861.90 | $2.57 |
Admiral™ Shares | 1,000.00 | 862.20 | 1.87 |
Based on Hypothetical 5% Yearly Return | |||
Emerging Markets Bond Fund | |||
Investor Shares | $1,000.00 | $1,022.31 | $2.79 |
Admiral Shares | 1,000.00 | 1,023.06 | 2.03 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Since Inception (3/10/2016) | Final Value of a $10,000 Investment | ||
Emerging Markets Bond Fund Investor Shares | -21.51% | 1.33% | 4.05% | $12,975 | |
JP Morgan EMBI Global Diversified | -24.28 | -2.62 | 0.31 | 10,202 |
One Year | Since Inception (12/6/2017) | Final Value of a $50,000 Investment | ||
Emerging Markets Bond Fund Admiral Shares | -21.39% | 1.19% | $52,942 | |
JP Morgan EMBI Global Diversified | -24.28 | -2.87 | 43,450 |
Mexico | 9.8% |
Indonesia | 9.0 |
South Africa | 5.3 |
Dominican Republic | 4.9 |
Romania | 4.4 |
Chile | 3.6 |
Peru | 3.2 |
United Arab Emirates | 3.0 |
United States | 2.9 |
Egypt | 2.6 |
South Korea | 2.5 |
Uzbekistan | 2.4 |
Malaysia | 2.4 |
Panama | 2.3 |
Serbia | 2.2 |
Colombia | 2.1 |
Azerbaijan | 2.1 |
Kazakhstan | 2.1 |
Poland | 1.7 |
Thailand | 1.7 |
Nigeria | 1.7 |
Ecuador | 1.5 |
Bermuda | 1.5 |
Jordan | 1.5 |
Oman | 1.4 |
Croatia | 1.4 |
Brazil | 1.4 |
Senegal | 1.2 |
Saudi Arabia | 1.1 |
Argentina | 1.0 |
Morocco | 1.0 |
Ukraine | 1.0 |
Russia | 1.0 |
El Salvador | 1.0 |
Georgia | 1.0 |
Other | 11.1 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (1.7%) | |||||
United States Treasury Note/Bond | 2.750% | 8/15/32 | 26,500 | 24,239 | |
1 | United States Treasury Note/Bond | 3.000% | 8/15/52 | 11,875 | 10,252 |
Total U.S. Government and Agency Obligations (Cost $35,514) | 34,491 | ||||
Corporate Bonds (22.8%) | |||||
Azerbaijan (1.2%) | |||||
2 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 23,215 | 22,607 |
State Oil Co. of The Azerbaijan Republic | 6.950% | 3/18/30 | 1,335 | 1,294 | |
23,901 | |||||
Brazil (1.2%) | |||||
Embraer Netherlands Finance BV | 6.950% | 1/17/28 | 17,258 | 16,223 | |
3 | Globo Comunicacao e Participacoes SA | 5.500% | 1/14/32 | 11,870 | 8,911 |
25,134 | |||||
Chile (2.1%) | |||||
Antofagasta plc | 2.375% | 10/14/30 | 2,480 | 1,838 | |
3 | Antofagasta plc | 5.625% | 5/13/32 | 11,225 | 10,324 |
3 | Empresa de los Ferrocarriles del Estado | 3.830% | 9/14/61 | 4,356 | 2,918 |
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 7,709 | 7,526 | |
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 15,771 | 14,175 | |
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 3,418 | 3,159 | |
Inversiones CMPC SA | 4.750% | 9/15/24 | 3,980 | 3,877 | |
43,817 | |||||
Ghana (0.0%) | |||||
Tullow Oil plc | 7.000% | 3/1/25 | 800 | 516 | |
India (0.3%) | |||||
3 | JSW Infrastructure Ltd. | 4.950% | 1/21/29 | 5,325 | 4,174 |
Network i2i Ltd. | 5.650% | 12/31/99 | 2,400 | 2,207 | |
6,381 | |||||
Indonesia (3.4%) | |||||
3 | Freeport Indonesia PT | 5.315% | 4/14/32 | 9,570 | 7,894 |
Freeport Indonesia PT | 5.315% | 4/14/32 | 4,704 | 3,892 | |
3 | Freeport Indonesia PT | 6.200% | 4/14/52 | 8,535 | 6,497 |
Indofood CBP Sukses Makmur Tbk PT | 4.745% | 6/9/51 | 10,680 | 6,790 | |
Indonesia Asahan Aluminium Persero PT | 4.750% | 5/15/25 | 3,270 | 3,190 | |
Indonesia Asahan Aluminium Persero PT | 5.450% | 5/15/30 | 4,100 | 3,667 | |
Indonesia Asahan Aluminium Persero PT | 5.800% | 5/15/50 | 9,856 | 7,417 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 6,497 | 5,938 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 19,998 | 19,025 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 3.875% | 7/17/29 | 3,000 | 2,542 | |
3,4 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 4,400 | 3,100 |
69,952 | |||||
Kazakhstan (1.3%) | |||||
Kazakhstan Temir Zholy Finance BV | 6.950% | 7/10/42 | 4,115 | 4,056 | |
5 | Kazakhstan Temir Zholy National Co. JSC | 3.250% | 12/5/23 | 1,750 | 1,553 |
KazMunayGas National Co. JSC | 5.375% | 4/24/30 | 400 | 310 | |
KazMunayGas National Co. JSC | 5.750% | 4/19/47 | 1,840 | 1,212 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 13,500 | 9,421 | |
KazTransGas JSC | 4.375% | 9/26/27 | 11,599 | 9,801 | |
26,353 | |||||
Malaysia (2.1%) | |||||
Petronas Capital Ltd. | 3.500% | 4/21/30 | 44,968 | 40,556 | |
Petronas Capital Ltd. | 3.404% | 4/28/61 | 3,930 | 2,666 | |
43,222 | |||||
Mauritius (0.1%) | |||||
3 | Axian Telecom Co. | 7.375% | 2/16/27 | 3,071 | 2,787 |
Mexico (5.3%) | |||||
3 | America Movil SAB de CV | 5.375% | 4/4/32 | 9,556 | 8,235 |
3 | CIBANCO SA Institucion de Banca Multiple Trust CIB | 4.375% | 7/22/31 | 8,565 | 6,074 |
Comision Federal de Electricidad | 4.688% | 5/15/29 | 7,300 | 6,121 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 7,850 | 7,735 | |
Petroleos Mexicanos | 4.625% | 9/21/23 | 2,716 | 2,642 | |
Petroleos Mexicanos | 6.490% | 1/23/27 | 26,768 | 22,409 | |
Petroleos Mexicanos | 6.500% | 3/13/27 | 6,145 | 5,149 | |
Petroleos Mexicanos | 5.950% | 1/28/31 | 7,640 | 5,157 | |
Petroleos Mexicanos | 6.500% | 6/2/41 | 4,000 | 2,284 | |
Petroleos Mexicanos | 6.375% | 1/23/45 | 2,137 | 1,176 | |
Petroleos Mexicanos | 5.625% | 1/23/46 | 1 | 1 | |
Petroleos Mexicanos | 6.750% | 9/21/47 | 39,457 | 21,977 | |
Petroleos Mexicanos | 6.350% | 2/12/48 | 10,894 | 5,845 | |
Petroleos Mexicanos | 7.690% | 1/23/50 | 9,453 | 5,780 | |
Petroleos Mexicanos | 6.950% | 1/28/60 | 7,945 | 4,393 | |
6 | Petroleos Mexicanos | 6.700% | 2/16/32 | 4,278 | 3,009 |
107,987 | |||||
Peru (1.1%) | |||||
3 | Consorcio Transmantaro SA | 5.200% | 4/11/38 | 6,090 | 5,198 |
3 | Petroleos del Peru SA | 5.625% | 6/19/47 | 8,750 | 5,252 |
Petroleos del Peru SA | 5.625% | 6/19/47 | 21,928 | 13,028 | |
23,478 | |||||
Russia (0.5%) | |||||
Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 20,522 | 9,974 | |
Saudi Arabia (0.5%) | |||||
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 10,280 | 9,946 | |
South Africa (1.3%) | |||||
Eskom Holdings SOC Ltd. | 6.750% | 8/6/23 | 15,667 | 14,846 | |
Eskom Holdings SOC Ltd. | 7.125% | 2/11/25 | 14,447 | 12,817 | |
27,663 | |||||
Thailand (1.5%) | |||||
Bangkok Bank PCL | 3.733% | 9/25/34 | 10,552 | 8,603 | |
3 | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 16,695 | 14,307 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
GC Treasury Center Co. Ltd. | 4.300% | 3/18/51 | 3,500 | 2,453 | |
Thaioil Treasury Center Co. Ltd. | 5.375% | 11/20/48 | 5,000 | 3,967 | |
Thaioil Treasury Center Co. Ltd. | 3.750% | 6/18/50 | 3,500 | 2,096 | |
31,426 | |||||
United States (0.9%) | |||||
3 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc. | 5.750% | 4/1/33 | 19,341 | 17,496 |
Venezuela (0.0%) | |||||
6,7 | Petroleos de Venezuela SA | 6.000% | 11/15/26 | 2,850 | 61 |
7 | Petroleos de Venezuela SA | 5.375% | 4/12/27 | 462 | 13 |
74 | |||||
Total Corporate Bonds (Cost $584,288) | 470,107 | ||||
Sovereign Bonds (64.0%) | |||||
Angola (0.6%) | |||||
3 | Republic of Angola | 8.750% | 4/14/32 | 12,500 | 9,264 |
Republic of Angola | 9.125% | 11/26/49 | 6,112 | 4,122 | |
13,386 | |||||
Argentina (0.9%) | |||||
Republic of Argentina | 1.000% | 7/9/29 | 926 | 178 | |
8 | Republic of Argentina, 0.750% coupon rate effective 7/9/23 | 0.500% | 7/9/30 | 47,788 | 9,595 |
8 | Republic of Argentina, 3.625% coupon rate effective 7/9/23 | 1.500% | 7/9/35 | 41,371 | 7,519 |
8 | Republic of Argentina, 4.875% coupon rate effective 7/9/29 | 3.500% | 7/9/41 | 8,000 | 1,719 |
19,011 | |||||
Azerbaijan (0.7%) | |||||
Republic of Azerbaijan | 4.750% | 3/18/24 | 6,848 | 6,704 | |
6 | Republic of Azerbaijan | 3.500% | 9/1/32 | 10,500 | 8,426 |
15,130 | |||||
Bahrain (0.7%) | |||||
Kingdom of Bahrain | 6.250% | 1/25/51 | 19,637 | 13,640 | |
Belarus (0.1%) | |||||
Republic of Belarus | 7.625% | 6/29/27 | 2,200 | 506 | |
Republic of Belarus | 6.200% | 2/28/30 | 1,760 | 408 | |
Republic of Belarus | 6.378% | 2/24/31 | 8,460 | 1,946 | |
2,860 | |||||
Bermuda (1.3%) | |||||
3 | Government of Bermuda | 5.000% | 7/15/32 | 28,430 | 26,921 |
Cameroon (0.2%) | |||||
3,4 | Republic of Cameroon | 5.950% | 7/7/32 | 6,192 | 3,982 |
Chile (1.0%) | |||||
Republic of Chile | 2.750% | 1/31/27 | 6,300 | 5,682 | |
Republic of Chile | 2.550% | 7/27/33 | 7,747 | 5,811 | |
Republic of Chile | 3.500% | 1/31/34 | 8,873 | 7,241 | |
Republic of Chile | 3.500% | 4/15/53 | 4,172 | 2,767 | |
21,501 | |||||
Colombia (1.9%) | |||||
Republic of Colombia | 2.625% | 3/15/23 | 5,490 | 5,422 | |
Republic of Colombia | 5.000% | 6/15/45 | 32,587 | 19,869 | |
Republic of Colombia | 5.200% | 5/15/49 | 22,349 | 13,793 | |
39,084 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Croatia (1.2%) | |||||
Republic of Croatia | 5.500% | 4/4/23 | 8,000 | 7,995 | |
4 | Republic of Croatia | 1.125% | 6/19/29 | 3,000 | 2,438 |
4 | Republic of Croatia | 2.750% | 1/27/30 | 4,616 | 4,080 |
4 | Republic of Croatia | 1.500% | 6/17/31 | 14,019 | 10,849 |
25,362 | |||||
Dominican Republic (4.3%) | |||||
Dominican Republic | 6.875% | 1/29/26 | 6,000 | 5,864 | |
Dominican Republic | 5.950% | 1/25/27 | 3,110 | 2,900 | |
3 | Dominican Republic | 5.500% | 2/22/29 | 41,335 | 35,607 |
Dominican Republic | 4.500% | 1/30/30 | 13,209 | 10,445 | |
Dominican Republic | 4.875% | 9/23/32 | 10,229 | 7,708 | |
3 | Dominican Republic | 6.000% | 2/22/33 | 8,574 | 6,965 |
Dominican Republic | 6.000% | 2/22/33 | 3,985 | 3,247 | |
Dominican Republic | 5.875% | 1/30/60 | 24,589 | 16,198 | |
88,934 | |||||
Ecuador (1.3%) | |||||
8 | Republic of Ecuador, 3.500% coupon rate effective 7/31/23 | 2.500% | 7/31/35 | 36,245 | 11,976 |
8 | Republic of Ecuador, 6.000% coupon rate effective 7/31/23 | 5.500% | 7/31/30 | 32,990 | 15,532 |
27,508 | |||||
Egypt (2.3%) | |||||
Arab Republic of Egypt | 8.500% | 1/31/47 | 10,059 | 5,612 | |
Arab Republic of Egypt | 7.903% | 2/21/48 | 21,231 | 11,101 | |
Arab Republic of Egypt | 8.700% | 3/1/49 | 20,457 | 11,376 | |
Arab Republic of Egypt | 8.875% | 5/29/50 | 2,518 | 1,408 | |
Arab Republic of Egypt | 8.750% | 9/30/51 | 14,258 | 7,887 | |
Arab Republic of Egypt | 8.150% | 11/20/59 | 16,204 | 8,777 | |
Arab Republic of Egypt | 7.500% | 2/16/61 | 2,300 | 1,191 | |
47,352 | |||||
El Salvador (0.9%) | |||||
Republic of El Salvador | 8.625% | 2/28/29 | 14,836 | 5,415 | |
Republic of El Salvador | 8.250% | 4/10/32 | 8,500 | 3,102 | |
Republic of El Salvador | 7.125% | 1/20/50 | 21,740 | 6,957 | |
Republic of El Salvador | 9.500% | 7/15/52 | 6,855 | 2,405 | |
17,879 | |||||
Gabon (0.7%) | |||||
Republic of Gabon | 6.950% | 6/16/25 | 7,500 | 6,209 | |
6 | Republic of Gabon | 6.625% | 2/6/31 | 7,000 | 4,603 |
Republic of Gabon | 7.000% | 11/24/31 | 4,678 | 3,089 | |
13,901 | |||||
Georgia (0.8%) | |||||
Republic of Georgia | 2.750% | 4/22/26 | 20,340 | 17,233 | |
Ghana (0.2%) | |||||
Republic of Ghana | 8.875% | 5/7/42 | 900 | 334 | |
6 | Republic of Ghana | 8.950% | 3/26/51 | 9,212 | 3,421 |
3,755 | |||||
Honduras (0.6%) | |||||
6 | Republic of Honduras | 7.500% | 3/15/24 | 12,689 | 12,444 |
Hungary (0.6%) | |||||
Republic of Hungary | 5.375% | 2/21/23 | 1 | 1 | |
Republic of Hungary | 5.375% | 3/25/24 | 3,970 | 3,903 | |
4 | Republic of Hungary | 1.625% | 4/28/32 | 6,800 | 4,443 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Republic of Hungary | 3.125% | 9/21/51 | 8,905 | 4,764 | |
13,111 | |||||
India (0.1%) | |||||
Export-Import Bank of India | 3.250% | 1/15/30 | 3,000 | 2,494 | |
Indonesia (4.6%) | |||||
3 | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 6/6/27 | 2,840 | 2,731 |
Republic of Indonesia | 4.150% | 9/20/27 | 43,926 | 41,811 | |
Republic of Indonesia | 4.650% | 9/20/32 | 29,060 | 27,290 | |
Republic of Indonesia | 6.625% | 2/17/37 | 15,123 | 15,690 | |
Republic of Indonesia | 5.250% | 1/17/42 | 3,273 | 2,967 | |
Republic of Indonesia | 4.450% | 4/15/70 | 5,195 | 3,949 | |
94,438 | |||||
Ivory Coast (0.4%) | |||||
4 | Republic of Cote d'Ivoire | 6.875% | 10/17/40 | 2,815 | 1,710 |
3,4,6 | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 10,599 | 6,068 |
7,778 | |||||
Jamaica (0.2%) | |||||
6 | Jamaica | 7.625% | 7/9/25 | 4,048 | 4,186 |
Jordan (1.3%) | |||||
3 | Kingdom of Jordan | 7.750% | 1/15/28 | 20,490 | 19,382 |
Kingdom of Jordan | 7.375% | 10/10/47 | 10,151 | 7,410 | |
26,792 | |||||
Kazakhstan (0.6%) | |||||
3,9 | Development Bank of Kazakhstan JSC | 10.950% | 5/6/26 | 3,450,000 | 5,775 |
Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 3,849 | 2,982 | |
Republic of Kazakhstan | 4.875% | 10/14/44 | 4,288 | 3,307 | |
12,064 | |||||
Kenya (0.7%) | |||||
Republic of Kenya | 7.000% | 5/22/27 | 11,068 | 8,517 | |
Republic of Kenya | 7.250% | 2/28/28 | 7,000 | 5,123 | |
13,640 | |||||
Lebanon (0.1%) | |||||
7 | Lebanon Republic | 8.250% | 4/12/21 | 2,430 | 286 |
7 | Lebanon Republic | 6.100% | 10/4/22 | 2,250 | 137 |
7 | Lebanon Republic | 6.650% | 4/22/24 | 2,890 | 167 |
7 | Lebanon Republic | 7.000% | 3/20/28 | 6,310 | 383 |
7 | Lebanon Republic | 6.650% | 2/26/30 | 4,900 | 294 |
7 | Lebanon Republic | 7.150% | 11/20/31 | 1,445 | 88 |
7 | Lebanon Republic | 8.200% | 5/17/33 | 1,445 | 86 |
7 | Lebanon Republic | 8.250% | 5/17/34 | 1,445 | 87 |
1,528 | |||||
Mexico (3.4%) | |||||
10 | Mexican Bonos | 7.750% | 5/29/31 | 150,000 | 6,615 |
10 | Mexican Bonos | 7.750% | 11/13/42 | 796,000 | 32,828 |
United Mexican States | 4.400% | 2/12/52 | 41,523 | 28,659 | |
United Mexican States | 5.750% | 10/12/10 | 3,520 | 2,719 | |
70,821 | |||||
Mongolia (0.4%) | |||||
Mongolia | 5.625% | 5/1/23 | 6,263 | 5,728 | |
3 | Mongolia | 5.125% | 4/7/26 | 3,020 | 2,394 |
8,122 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Morocco (0.9%) | |||||
3,4 | Kingdom of Morocco | 2.000% | 9/30/30 | 10,430 | 7,228 |
Kingdom of Morocco | 3.000% | 12/15/32 | 2,635 | 1,850 | |
Kingdom of Morocco | 4.000% | 12/15/50 | 16,713 | 9,549 | |
18,627 | |||||
Namibia (0.2%) | |||||
Republic of Namibia | 5.250% | 10/29/25 | 4,402 | 3,941 | |
Nigeria (1.5%) | |||||
Republic of Nigeria | 6.125% | 9/28/28 | 6,164 | 4,096 | |
3 | Republic of Nigeria | 8.375% | 3/24/29 | 12,408 | 8,876 |
Republic of Nigeria | 7.875% | 2/16/32 | 10,532 | 6,782 | |
3 | Republic of Nigeria | 8.250% | 9/28/51 | 20,202 | 11,323 |
31,077 | |||||
North Macedonia (0.1%) | |||||
4 | North Macedonia | 2.750% | 1/18/25 | 869 | 771 |
3,4 | North Macedonia | 1.625% | 3/10/28 | 1,114 | 794 |
1,565 | |||||
Oman (1.3%) | |||||
Sultanate of Oman | 6.500% | 3/8/47 | 11,031 | 8,664 | |
3 | Sultanate of Oman | 7.000% | 1/25/51 | 9,512 | 7,806 |
Sultanate of Oman | 7.000% | 1/25/51 | 11,613 | 9,596 | |
26,066 | |||||
Pakistan (0.6%) | |||||
Islamic Republic of Pakistan | 8.875% | 4/8/51 | 31,846 | 11,385 | |
Panama (2.1%) | |||||
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 1,941 | 1,595 | |
6 | Republic of Panama | 3.870% | 7/23/60 | 51,178 | 30,284 |
Republic of Panama | 4.500% | 1/19/63 | 16,572 | 10,843 | |
42,722 | |||||
Paraguay (0.7%) | |||||
Republic of Paraguay | 4.625% | 1/25/23 | 6,710 | 6,682 | |
Republic of Paraguay | 5.000% | 4/15/26 | 3,512 | 3,393 | |
6 | Republic of Paraguay | 5.400% | 3/30/50 | 7,047 | 5,227 |
15,302 | |||||
Peru (1.7%) | |||||
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 203 | 196 | |
3 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 1,903 | 1,567 |
3 | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 7,168 | 6,717 |
Republic of Peru | 7.350% | 7/21/25 | 9,005 | 9,455 | |
Republic of Peru | 2.783% | 1/23/31 | 6,000 | 4,772 | |
Republic of Peru | 3.000% | 1/15/34 | 16,124 | 12,136 | |
34,843 | |||||
Philippines (0.5%) | |||||
4 | Republic of Philippines | 1.750% | 4/28/41 | 16,378 | 9,603 |
Poland (1.5%) | |||||
11 | Republic of Poland | 3.750% | 5/25/27 | 183,325 | 31,731 |
Romania (3.9%) | |||||
3 | Romania | 5.250% | 11/25/27 | 21,839 | 19,721 |
4 | Romania | 2.125% | 3/7/28 | 4,600 | 3,475 |
4 | Romania | 2.875% | 5/26/28 | 6,400 | 4,922 |
4 | Romania | 6.625% | 9/27/29 | 18,750 | 17,287 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3,4 | Romania | 1.750% | 7/13/30 | 19,185 | 12,080 |
4 | Romania | 1.750% | 7/13/30 | 7,460 | 4,697 |
3 | Romania | 6.000% | 5/25/34 | 14,596 | 12,242 |
3,4 | Romania | 2.750% | 4/14/41 | 5,200 | 2,583 |
4 | Romania | 2.750% | 4/14/41 | 5,771 | 2,867 |
79,874 | |||||
Russia (0.4%) | |||||
7,12 | Russian Federation | 6.900% | 7/23/31 | 928,956 | 3,781 |
4 | Russian Federation | 2.650% | 5/27/36 | 11,900 | 4,637 |
8,418 | |||||
Saudi Arabia (0.5%) | |||||
Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 5,064 | 5,027 | |
Kingdom of Saudi Arabia | 3.250% | 11/17/51 | 6,400 | 4,345 | |
9,372 | |||||
Senegal (1.1%) | |||||
6 | Republic of Senegal | 6.250% | 5/23/33 | 5,046 | 3,800 |
6 | Republic of Senegal | 6.750% | 3/13/48 | 29,675 | 18,529 |
22,329 | |||||
Serbia (2.0%) | |||||
4 | Republic of Serbia | 3.125% | 5/15/27 | 43,998 | 35,064 |
3,4 | Republic of Serbia | 2.050% | 9/23/36 | 10,316 | 5,240 |
40,304 | |||||
South Africa (3.4%) | |||||
Republic of South Africa | 4.665% | 1/17/24 | 1,915 | 1,872 | |
Republic of South Africa | 4.300% | 10/12/28 | 20,955 | 17,424 | |
Republic of South Africa | 4.850% | 9/30/29 | 12,234 | 10,085 | |
Republic of South Africa | 5.875% | 4/20/32 | 16,480 | 13,571 | |
Republic of South Africa | 5.650% | 9/27/47 | 6,502 | 4,146 | |
Republic of South Africa | 5.750% | 9/30/49 | 7,037 | 4,490 | |
Republic of South Africa | 7.300% | 4/20/52 | 23,679 | 17,923 | |
69,511 | |||||
South Korea (2.2%) | |||||
Export-Import Bank of Korea | 4.000% | 9/15/24 | 9,323 | 9,216 | |
Korea Development Bank | 4.000% | 9/8/25 | 6,820 | 6,680 | |
Korea Electric Power Co. | 5.375% | 4/6/26 | 8,500 | 8,488 | |
3 | Korea National Oil Corp. | 1.750% | 4/18/25 | 22,153 | 20,381 |
44,765 | |||||
Sri Lanka (0.5%) | |||||
7 | Republic of Sri Lanka | 6.125% | 6/3/25 | 8,504 | 2,313 |
7 | Republic of Sri Lanka | 6.825% | 7/18/26 | 12,679 | 3,201 |
7 | Republic of Sri Lanka | 6.750% | 4/18/28 | 5,319 | 1,316 |
7 | Republic of Sri Lanka | 7.850% | 3/14/29 | 14,755 | 3,652 |
7 | Republic of Sri Lanka | 7.550% | 3/28/30 | 1,686 | 414 |
10,896 | |||||
Tunisia (0.4%) | |||||
Tunisian Republic | 5.750% | 1/30/25 | 13,250 | 7,955 | |
Turkey (0.6%) | |||||
Republic of Turkey | 5.750% | 5/11/47 | 18,980 | 11,377 | |
Ukraine (0.9%) | |||||
7 | Ukraine | 7.750% | 9/1/25 | 11,800 | 2,735 |
7 | Ukraine | 8.994% | 2/1/26 | 14,610 | 3,025 |
7 | Ukraine | 7.750% | 9/1/26 | 10,557 | 2,148 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
7 | Ukraine | 7.750% | 9/1/27 | 22,715 | 4,484 |
7 | Ukraine | 7.750% | 9/1/28 | 12,465 | 2,577 |
7 | Ukraine | 9.750% | 11/1/30 | 501 | 106 |
7 | Ukraine | 6.876% | 5/21/31 | 5,900 | 1,085 |
4,7 | Ukraine | 4.375% | 1/27/32 | 4,700 | 813 |
7 | Ukraine | 7.253% | 3/15/35 | 8,200 | 1,508 |
6,7 | Ukreximbank Via Biz Finance plc | 9.750% | 1/22/25 | 63 | 21 |
18,502 | |||||
United Arab Emirates (2.6%) | |||||
3 | Emirate of Abu Dhabi | 4.951% | 7/7/52 | 48,390 | 46,223 |
3 | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 2,646 | 1,560 |
Finance Department Government of Sharjah | 4.000% | 7/28/50 | 5,860 | 3,444 | |
Finance Department Government of Sharjah | 4.375% | 3/10/51 | 4,060 | 2,483 | |
53,710 | |||||
Uzbekistan (2.1%) | |||||
Republic of Uzbekistan | 4.750% | 2/20/24 | 24,199 | 22,792 | |
3 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 27,361 | 20,616 |
43,408 | |||||
Venezuela (0.0%) | |||||
7 | Republic of Venezuela | 11.750% | 10/21/26 | 640 | 48 |
7 | Republic of Venezuela | 7.000% | 3/31/38 | 1,500 | 120 |
168 | |||||
Vietnam (0.2%) | |||||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 4,700 | 4,624 | |
Total Sovereign Bonds (Cost $1,797,894) | 1,316,932 | ||||
Shares | |||||
Temporary Cash Investments (11.5%) | |||||
Money Market Fund (11.5%) | |||||
13 | Vanguard Market Liquidity Fund (Cost $237,594) | 2.828% | 2,376,888 | 237,617 |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | |||
Options Purchased (0.0%) | ||||||
Foreign Currency Options (0.0%) | ||||||
Call Options | ||||||
EUR | BARC | 10/21/22 | USD 1.220 | EUR 110,665 | — |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | Market Value• ($000) | ||
EUR | BANA | 10/14/22 | USD 1.040 | EUR 43,905 | 8 | |
8 | ||||||
Total Options Purchased (Cost $1,132) | 8 | |||||
Total Investments (100.0%) (Cost $2,656,422) | 2,059,155 | |||||
Other Assets and Liabilities—Net (0.0%) | 408 | |||||
Net Assets (100.0%) | 2,059,563 | |||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $604,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Guaranteed by the Republic of Azerbaijan. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $407,213,000, representing 19.8% of net assets. |
4 | Face amount denominated in euro. |
5 | Face amount denominated in Swiss francs. |
6 | 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. |
7 | Non-income-producing security—security in default. |
8 | Step bond. |
9 | Face amount denominated in Kazakhstan Tenge. |
10 | Face amount denominated in Mexican pesos. |
11 | Guaranteed by the Republic of Poland. |
12 | Face amount denominated in Russian rubles. |
13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
BANA—Bank of America, N.A. | |
BARC—Barclays Bank plc. | |
EUR—euro. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 40 | 8,216 | 1 |
5-Year U.S. Treasury Note | December 2022 | 532 | 57,194 | 372 |
Long U.S. Treasury Bond | December 2022 | 81 | 10,239 | (849) |
Ultra 10-Year U.S. Treasury Note | December 2022 | 346 | 40,996 | (2,684) |
Ultra Long U.S. Treasury Bond | December 2022 | 369 | 50,553 | (3,427) |
(6,587) |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
10-Year Japanese Government Bond | December 2022 | (29) | (29,715) | 21 |
10-Year U.S. Treasury Note | December 2022 | (43) | (4,819) | 32 |
Euro-Bobl | December 2022 | (346) | (40,607) | 1,185 |
Euro-Bund | December 2022 | (201) | (27,281) | 1,470 |
Euro-Schatz | December 2022 | (968) | (101,666) | 1,112 |
3,820 | ||||
(2,767) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Morgan Stanley Capital Services Inc. | 12/21/22 | CNY | 223,765 | USD | 31,448 | — | (51) |
Royal Bank of Canada | 12/21/22 | EUR | 211 | USD | 209 | — | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | ILS | 73,151 | USD | 21,303 | — | (637) |
Bank of America, N.A. | 12/21/22 | ILS | 36,392 | USD | 10,310 | — | (29) |
Morgan Stanley Capital Services Inc. | 12/21/22 | JPY | 1,538,789 | USD | 10,723 | 12 | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | TRY | 360,912 | USD | 17,565 | — | — |
Standard Chartered Bank | 12/21/22 | TRY | 22,802 | USD | 1,138 | — | (29) |
Standard Chartered Bank | 12/21/22 | USD | 1,722 | CHF | 1,652 | 33 | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | USD | 32,456 | CNY | 227,094 | 592 | — |
Morgan Stanley Capital Services Inc. | 10/11/22 | USD | 10,370 | CNY | 73,895 | 18 | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | USD | 14,687 | COP | 66,326,613 | 518 | — |
UBS AG | 12/21/22 | USD | 1,179 | CZK | 29,200 | 23 | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | USD | 184,838 | EUR | 183,754 | 3,548 | — |
Bank of America, N.A. | 12/21/22 | USD | 18,178 | EUR | 18,675 | — | (247) |
Goldman Sachs & Co. | 12/21/22 | USD | 10,548 | EUR | 10,710 | — | (18) |
Goldman Sachs & Co. | 12/21/22 | USD | 226 | HUF | 93,022 | 16 | — |
Standard Chartered Bank | 12/21/22 | USD | — | HUF | 152 | — | — |
JPMorgan Chase Bank, N.A. | 12/21/22 | USD | 21,730 | ILS | 75,490 | 403 | — |
Standard Chartered Bank | 12/21/22 | USD | 16,386 | JPY | 2,329,678 | 134 | — |
Bank of America, N.A. | 12/21/22 | USD | 10,655 | JPY | 1,522,577 | 33 | — |
Royal Bank of Canada | 12/21/22 | USD | 43,500 | MXN | 885,789 | 169 | — |
Bank of America, N.A. | 12/21/22 | USD | 37,106 | PLN | 176,825 | 1,940 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Morgan Stanley Capital Services Inc. | 10/13/22 | USD | 17,565 | TRY | 331,754 | 4 | — |
Morgan Stanley Capital Services Inc. | 12/21/22 | USD | 9,599 | TRY | 204,940 | — | (375) |
Goldman Sachs & Co. | 12/21/22 | USD | 5,075 | TRY | 101,201 | 150 | — |
Citibank, N.A. | 12/21/22 | USD | 1,789 | TRY | 35,830 | 45 | — |
UBS AG | 12/21/22 | USD | 182 | TRY | 3,665 | 3 | — |
Bank of America, N.A. | 12/21/22 | USD | 3 | TRY | 68 | — | — |
7,641 | (1,386) |
CHF—Swiss franc. |
CNY—Chinese renminbi. |
COP—Colombia peso. |
CZK—Czech koruna. |
EUR—euro. |
HUF—Hungarian forint. |
ILS—Israeli shekel. |
JPY—Japanese yen. |
MXN—Mexican peso. |
PLN—Polish zloty. |
TRY—Turkish lira. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Federation of Malaysia/A3 | 12/21/27 | BARC | 39,900 | 1.000 | (364) | (127) | — | (237) |
Federation of Malaysia/A3 | 12/21/27 | MSCS | 24,000 | 1.000 | (220) | (153) | — | (67) |
Federation of Malaysia/A3 | 12/21/27 | MSCS | 5,560 | 1.000 | (51) | (38) | — | (13) |
Republic of Chile/A2 | 12/21/27 | BARC | 27,860 | 1.000 | (858) | (879) | 21 | — |
Republic of Chile/A2 | 12/21/27 | JPMC | 8,250 | 1.000 | (254) | (223) | — | (31) |
Republic of Chile/A2 | 12/21/27 | MSCS | 15,730 | 1.000 | (485) | (356) | — | (129) |
Republic of Philippines/Baa2 | 12/21/27 | BARC | 6,790 | 1.000 | (146) | (116) | — | (30) |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Philippines/Baa2 | 12/21/27 | GSI | 38,470 | 1.000 | (824) | (132) | — | (692) |
Republic of Turkey/B3 | 12/21/27 | BANA | 41,570 | 1.000 | (10,435) | (10,458) | 23 | — |
(13,637) | (12,482) | 44 | (1,199) | |||||
Credit Protection Purchased | ||||||||
Petroleos Mexicanos | 12/22/26 | BARC | 15,300 | (1.000) | 3,153 | 1,342 | 1,811 | — |
Republic of Colombia | 6/22/27 | BANA | 11,960 | (1.000) | 983 | 609 | 374 | — |
Republic of Colombia | 6/22/27 | JPMC | 8,395 | (1.000) | 690 | 526 | 164 | — |
Republic of Colombia | 6/22/27 | MSCS | 14,280 | (1.000) | 1,174 | 616 | 558 | — |
Republic of Korea | 6/22/27 | BNPSW | 12,250 | (1.000) | (238) | (296) | 58 | — |
Republic of South Africa | 6/22/27 | BNPSW | 12,000 | (1.000) | 1,062 | 902 | 160 | — |
Republic of South Africa | 6/22/27 | MSCS | 11,955 | (1.000) | 1,058 | 898 | 160 | — |
7,882 | 4,597 | 3,285 | — | |||||
(5,755) | (7,885) | 3,329 | (1,199) |
1 Periodic premium received/paid quarterly. |
BANA—Bank of America, N.A. |
BARC—Barclays Bank plc. |
BNPSW—BNP Paribas. |
GSI—Goldman Sachs International. |
JPMC—JPMorgan Chase Bank, N.A. |
MSCS—Morgan Stanley Capital Services LLC. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
6/28/24 | 6/28/231 | 1,267,9702 | 0.0003 | (6.165)4 | 158 | 158 |
8/9/24 | 8/9/231 | 1,759,4552 | 0.0003 | (5.301)4 | 636 | 636 |
1/2/25 | N/A | 183,1435 | 11.8504 | (0.000)6 | 141 | 141 |
Centrally Cleared Interest Rate Swaps (continued) | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
3/16/26 | 3/16/231 | 18,783,3757 | 0.0008 | (11.780)9 | (154) | (42) |
12/21/27 | 12/21/221 | 2,958,91510 | 0.00011 | (6.805)12 | 244 | 244 |
1,025 | 1,137 |
1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
2 | Notional amount denominated in Czeck koruna. |
3 | Based on Prague Interbank Offered Rate as of the most recent payment date. Interest payment received/paid semiannually. |
4 | Interest payment received/paid at maturity. |
5 | Notional amount denominated in Brazilian real. |
6 | Based on Brazil Interbank Deposit Certificate (CDI) as of the most recent payment date. Interest payment received/paid daily. |
7 | Notional amount denominated in Hungarian Forint. |
8 | Based on Budapest Interbank Offered Rate as of the most recent payment date. Interest payment received/paid semiannually. |
9 | Interest payment received/paid annually. |
10 | Notional amount denominated in Indian rupee. |
11 | Based on 1-day Overnight Mumbai Interbank Outright Rate as of the most recent payment date. Interest payment received/paid semiannually. |
12 | Interest payment received/paid semiannually. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,418,828) | 1,821,538 |
Affiliated Issuers (Cost $237,594) | 237,617 |
Total Investments in Securities | 2,059,155 |
Investment in Vanguard | 82 |
Cash Collateral Pledged—Futures Contracts | 7,519 |
Cash Collateral Pledged—Foward Currency Contracts and Over-the-Counter Swap Contracts | 6,100 |
Cash Collateral Pledged—Centrally Cleared Swap Contracts | 3,832 |
Foreign Currency, at Value (Cost $169) | 135 |
Receivables for Investment Securities Sold | 16,424 |
Receivables for Accrued Income | 31,121 |
Receivables for Capital Shares Issued | 1,881 |
Swap Premiums Paid | 4,893 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 252 |
Unrealized Appreciation—Forward Currency Contracts | 7,641 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 3,329 |
Total Assets | 2,142,364 |
Liabilities | |
Due to Custodian | 6,091 |
Payables for Investment Securities Purchased | 46,185 |
Payables for Capital Shares Redeemed | 11,964 |
Payables for Distributions | 1,398 |
Payables to Vanguard | 365 |
Swap Premiums Received | 12,778 |
Variation Margin Payable—Futures Contracts | 1,435 |
Unrealized Depreciation—Forward Currency Contracts | 1,386 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,199 |
Total Liabilities | 82,801 |
Net Assets | 2,059,563 |
Statement of Assets and Liabilities (continued) | |
At September 30, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 2,761,813 |
Total Distributable Earnings (Loss) | (702,250) |
Net Assets | 2,059,563 |
Investor Shares—Net Assets | |
Applicable to 19,444,235 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 169,948 |
Net Asset Value Per Share—Investor Shares | $8.74 |
Admiral Shares—Net Assets | |
Applicable to 92,934,907 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,889,615 |
Net Asset Value Per Share—Admiral Shares | $20.33 |
Year Ended September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1,2 | 122,157 |
Total Income | 122,157 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 182 |
Management and Administrative—Investor Shares | 1,161 |
Management and Administrative—Admiral Shares | 8,073 |
Marketing and Distribution—Investor Shares | 27 |
Marketing and Distribution—Admiral Shares | 118 |
Custodian Fees | 84 |
Auditing Fees | 42 |
Shareholders’ Reports—Investor Shares | 17 |
Shareholders’ Reports—Admiral Shares | 62 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 20 |
Total Expenses | 9,787 |
Expenses Paid Indirectly | (3) |
Net Expenses | 9,784 |
Net Investment Income | 112,373 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,3 | (177,074) |
Futures Contracts | 19,183 |
Options Purchased | (1,953) |
Options Written | 913 |
Swap Contracts | 12,656 |
Forward Currency Contracts | 45,199 |
Foreign Currencies | (7,158) |
Realized Net Gain (Loss) | (108,234) |
Statement of Operations (continued) | |
Year Ended September 30, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (548,769) |
Futures Contracts | (4,193) |
Options Purchased | (574) |
Swap Contracts | 2,386 |
Forward Currency Contracts | (5,542) |
Foreign Currencies | (1,961) |
Change in Unrealized Appreciation (Depreciation) | (558,653) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (554,514) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,702,000, ($67,000), $8,000, and $14,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Interest is net of foreign withholding taxes of $56,000. |
3 | Realized gain (loss) is net of foreign capital gain taxes of $17,000. |
Year Ended September 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 112,373 | 64,858 |
Realized Net Gain (Loss) | (108,234) | 51,799 |
Change in Unrealized Appreciation (Depreciation) | (558,653) | (38,880) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (554,514) | 77,777 |
Distributions | ||
Investor Shares | (16,513) | (11,494) |
Admiral Shares | (140,877) | (71,973) |
Total Distributions | (157,390) | (83,467) |
Capital Share Transactions | ||
Investor Shares | (110,539) | 220,426 |
Admiral Shares | 351,587 | 1,332,635 |
Net Increase (Decrease) from Capital Share Transactions | 241,048 | 1,553,061 |
Total Increase (Decrease) | (470,856) | 1,547,371 |
Net Assets | ||
Beginning of Period | 2,530,419 | 983,048 |
End of Period | 2,059,563 | 2,530,419 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $11.88 | $11.73 | $11.19 | $10.36 | $10.76 |
Investment Operations | |||||
Net Investment Income1 | .470 | .386 | .495 | .524 | .443 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.929) | .304 | .655 | .826 | (.193) |
Total from Investment Operations | (2.459) | .690 | 1.150 | 1.350 | .250 |
Distributions | |||||
Dividends from Net Investment Income | (.488) | (.391) | (.400) | (.520) | (.439) |
Distributions from Realized Capital Gains | (.193) | (.149) | (.210) | — | (.211) |
Total Distributions | (.681) | (.540) | (.610) | (.520) | (.650) |
Net Asset Value, End of Period | $8.74 | $11.88 | $11.73 | $11.19 | $10.36 |
Total Return2 | -21.51% | 5.91% | 10.67% | 13.40% | 2.39% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $170 | $348 | $129 | $64 | $25 |
Ratio of Total Expenses to Average Net Assets | 0.55%3 | 0.55% | 0.60% | 0.60% | 0.60% |
Ratio of Net Investment Income to Average Net Assets | 4.44% | 3.21% | 4.40% | 4.73% | 4.29% |
Portfolio Turnover Rate | 168% | 186% | 266% | 272% | 350% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.55%. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended September 30, | December 6, 20171 to September 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $27.64 | $27.30 | $26.03 | $24.11 | $24.80 |
Investment Operations | |||||
Net Investment Income2 | 1.160 | .942 | 1.192 | 1.228 | .875 |
Net Realized and Unrealized Gain (Loss) on Investments | (6.844) | .695 | 1.535 | 1.940 | (.659) |
Total from Investment Operations | (5.684) | 1.637 | 2.727 | 3.168 | .216 |
Distributions | |||||
Dividends from Net Investment Income | (1.176) | (.950) | (.969) | (1.248) | (.906) |
Distributions from Realized Capital Gains | (.450) | (.347) | (.488) | — | — |
Total Distributions | (1.626) | (1.297) | (1.457) | (1.248) | (.906) |
Net Asset Value, End of Period | $20.33 | $27.64 | $27.30 | $26.03 | $24.11 |
Total Return3 | -21.39% | 6.03% | 10.89% | 13.53% | 0.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,890 | $2,182 | $854 | $306 | $76 |
Ratio of Total Expenses to Average Net Assets | 0.40%4 | 0.40% | 0.45% | 0.45% | 0.45%5 |
Ratio of Net Investment Income to Average Net Assets | 4.81% | 3.37% | 4.54% | 4.88% | 4.44%5 |
Portfolio Turnover Rate | 168% | 186% | 266% | 272% | 350% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.40%. |
5 | Annualized. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
Assets Reflected in Statement of Assets and Liabilities1 ($000) | Liabilities Reflected in Statement of Assets and Liabilities1 ($000) | Net Amount Receivable (Payable) ($000) | Amounts Not Offset in the Statement of Assets and Liabilities | Net Exposure3 (Not Less Than $0) ($000) | ||
Collateral Pledged2 ($000) | Collateral Received2 ($000) | |||||
Derivatives Subject to Offsetting Arrangements, by Counterparty | ||||||
Bank of America, N.A. | 2,378 | (276) | 2,102 | 6,100 | — | 2,102 |
Barclays Bank plc | 1,832 | (267) | 1,565 | — | 2,009 | — |
BNP Paribas | 218 | — | 218 | — | 674 | — |
Citibank, N.A. | 45 | — | 45 | — | 10 | 35 |
Goldman Sachs & Co. | 166 | (18) | 148 | — | — | 148 |
Goldman Sachs International | — | (692) | (692) | 604 | — | — |
JPMorgan Chase Bank, N.A. | 567 | (31) | 536 | — | 855 | — |
Morgan Stanley Capital Services Inc. | 5,410 | (1,272) | 4,138 | — | 5,870 | — |
Royal Bank of Canada | 169 | — | 169 | — | 510 | — |
Standard Chartered Bank | 167 | (29) | 138 | — | — | 138 |
UBS AG | 26 | — | 26 | — | — | 26 |
Centrally Cleared Swap Contracts | 252 | — | 252 | 3,832 | — | — |
Exchange-Traded Futures Contracts | — | (1,435) | (1,435) | 7,519 | — | — |
Total | 11,230 | (4,020) | 7,210 | 18,055 | 9,928 | 2,449 |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended September 30, 2022, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets). |
D. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 34,491 | — | 34,491 |
Corporate Bonds | — | 470,107 | — | 470,107 |
Sovereign Bonds | — | 1,316,932 | — | 1,316,932 |
Temporary Cash Investments | 237,617 | — | — | 237,617 |
Options Purchased | — | 8 | — | 8 |
Total | 237,617 | 1,821,538 | — | 2,059,155 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,193 | — | — | 4,193 |
Forward Currency Contracts | — | 7,641 | — | 7,641 |
Swap Contracts | 1,1791 | 3,329 | — | 4,508 |
Total | 5,372 | 10,970 | — | 16,342 |
Liabilities | ||||
Futures Contracts1 | 6,960 | — | — | 6,960 |
Forward Currency Contracts | — | 1,386 | — | 1,386 |
Swap Contracts | 421 | 1,199 | — | 1,241 |
Total | 7,002 | 2,585 | — | 9,587 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | At September 30, 2022, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) | — | 8 | — | 8 |
Swap Premiums Paid | — | — | 4,893 | 4,893 |
Unrealized Appreciation—Futures Contracts1 | 4,193 | — | — | 4,193 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | 1,179 | — | — | 1,179 |
Unrealized Appreciation—Forward Currency Contracts | — | 7,641 | — | 7,641 |
Unrealized Appreciation— Over-the-Counter Swap Contracts | — | — | 3,329 | 3,329 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Total Assets | 5,372 | 7,649 | 8,222 | 21,243 |
Swap Premiums Received | — | — | 12,778 | 12,778 |
Unrealized Depreciation—Futures Contracts1 | 6,960 | — | — | 6,960 |
Unrealized Depreciation—Centrally Cleared Swap Contracts1 | 42 | — | — | 42 |
Unrealized Depreciation—Forward Currency Contracts | — | 1,386 | — | 1,386 |
Unrealized Depreciation— Over-the-Counter Swap Contracts | — | — | 1,199 | 1,199 |
Total Liabilities | 7,002 | 1,386 | 13,977 | 22,365 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | 19,183 | — | — | 19,183 |
Options Purchased | — | (1,953) | — | (1,953) |
Options Written | — | 913 | — | 913 |
Swap Contracts | 8,299 | — | 4,357 | 12,656 |
Forward Currency Contracts | — | 45,199 | — | 45,199 |
Realized Net Gain (Loss) on Derivatives | 27,482 | 44,159 | 4,357 | 75,998 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (4,193) | — | — | (4,193) |
Options Purchased | — | (574) | — | (574) |
Swap Contracts | 1,137 | — | 1,249 | 2,386 |
Forward Currency Contracts | — | (5,542) | — | (5,542) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (3,056) | (6,116) | 1,249 | (7,923) |
F. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable foreign currency transactions, corporate actions, swap agreements, and tax expense on capital gains were reclassified between the individual components of total distributable earnings (loss). |
Amount ($000) | |
Undistributed Ordinary Income | 2,576 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (211,431) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (491,997) |
Year Ended September 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 146,873 | 83,228 |
Long-Term Capital Gains | 10,517 | 239 |
Total | 157,390 | 83,467 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 2,546,489 |
Gross Unrealized Appreciation | 42,106 |
Gross Unrealized Depreciation | (534,103) |
Net Unrealized Appreciation (Depreciation) | (491,997) |
G. | During the year ended September 30, 2022, the fund purchased $3,348,006,000 of investment securities and sold $3,034,289,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $394,803,000 and $356,614,000, respectively. |
H. | Capital share transactions for each class of shares were: |
Year Ended September 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 149,839 | 14,152 | 319,072 | 26,518 | |
Issued in Lieu of Cash Distributions | 15,184 | 1,423 | 10,533 | 876 | |
Redeemed | (275,562) | (25,467) | (109,179) | (9,091) | |
Net Increase (Decrease)—Investor Shares | (110,539) | (9,892) | 220,426 | 18,303 | |
Admiral Shares | |||||
Issued | 1,382,857 | 57,046 | 1,672,098 | 59,838 | |
Issued in Lieu of Cash Distributions | 120,787 | 4,991 | 60,074 | 2,148 | |
Redeemed | (1,152,057) | (48,043) | (399,537) | (14,310) | |
Net Increase (Decrease)—Admiral Shares | 351,587 | 13,994 | 1,332,635 | 47,676 |
I. | Management has determined that no events or transactions occurred subsequent to September 30, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
November 17, 2022
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard Institutional Short-Term Bond Fund |
Vanguard Institutional Intermediate-Term Bond Fund |
1 | |
2 | |
4 | |
44 |
• | The 12 months ended September 30, 2022, were a challenging time for financial markets. Vanguard Institutional Short-Term Bond Fund returned –4.89% for the period, outpacing its benchmark, the Bloomberg U.S. Government/Credit 1–3 Year ex Baa Index, which returned –5.07%. Vanguard Institutional Intermediate-Term Bond Fund also held up relatively well. The fund returned –9.93%, while its benchmark, the Bloomberg U.S. Intermediate Aggregate ex Baa Index, returned –11.33%. |
• | The economic backdrop deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s February invasion of Ukraine. Price increases then broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That in turn prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | The Short-Term Fund fared a bit better than its benchmark index thanks to its holdings in government agency bonds and security selection in investment-grade corporate bonds. |
• | The primary driver of the Intermediate-Term Fund’s outperformance versus its benchmark was its shorter duration (a measure, in years, of a portfolio’s sensitivity to changes in interest rates). |
Average Annual Total Returns Periods Ended September 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -17.22% | 7.95% | 9.00% |
Russell 2000 Index (Small-caps) | -23.50 | 4.29 | 3.55 |
Russell 3000 Index (Broad U.S. market) | -17.63 | 7.70 | 8.62 |
FTSE All-World ex US Index (International) | -24.76 | -0.95 | -0.38 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -14.61% | -3.22% | -0.23% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -11.50 | -1.85 | 0.59 |
FTSE Three-Month U.S. Treasury Bill Index | 0.63 | 0.57 | 1.12 |
CPI | |||
Consumer Price Index | 8.20% | 4.95% | 3.76% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Institutional Short-Term Bond Fund | $1,000.00 | $979.70 | $0.10 |
Institutional Intermediate-Term Bond Fund | $1,000.00 | $945.80 | $0.10 |
Based on Hypothetical 5% Yearly Return | |||
Institutional Short-Term Bond Fund | $1,000.00 | $1,024.97 | $0.10 |
Institutional Intermediate-Term Bond Fund | $1,000.00 | $1,024.97 | $0.10 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000,000 Investment | ||
Institutional Short-Term Bond Fund Institutional Plus Shares | -4.89% | 1.02% | 1.09% | $11,148,907 | |
Bloomberg U.S. Government/Credit 1–3 Year ex Baa Index | -5.07 | 0.64 | 0.72 | 10,739,725 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -14.61 | -0.23 | 0.91 | 10,952,804 |
Asset-Backed/Commercial Mortgage-Backed Securities | 34.6% |
Corporate Bonds | 32.2 |
Sovereign Bonds | 4.8 |
Taxable Municipal Bonds | 0.8 |
U.S. Government and Agency Obligations | 27.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (28.1%) | ||||||
U.S. Government Securities (26.6%) | ||||||
United States Treasury Note/Bond | 0.125% | 7/31/23 | 250,000 | 241,641 | ||
1,2 | United States Treasury Note/Bond | 0.500% | 11/30/23 | 254,000 | 243,046 | |
United States Treasury Note/Bond | 0.750% | 12/31/23 | 227,000 | 217,211 | ||
United States Treasury Note/Bond | 2.625% | 12/31/23 | 74,000 | 72,462 | ||
United States Treasury Note/Bond | 2.500% | 5/31/24 | 200,660 | 194,828 | ||
2 | United States Treasury Note/Bond | 3.000% | 7/31/24 | 408,972 | 399,834 | |
United States Treasury Note/Bond | 3.250% | 8/31/24 | 183,000 | 179,683 | ||
United States Treasury Note/Bond | 0.750% | 11/15/24 | 25,000 | 23,223 | ||
United States Treasury Note/Bond | 1.500% | 2/15/25 | 5,600 | 5,248 | ||
2 | United States Treasury Note/Bond | 2.625% | 4/15/25 | 502,325 | 482,310 | |
United States Treasury Note/Bond | 2.875% | 6/15/25 | 200,560 | 193,415 | ||
United States Treasury Note/Bond | 3.000% | 7/15/25 | 66,750 | 64,518 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 210,000 | 203,569 | ||
2,520,988 | ||||||
Conventional Mortgage-Backed Securities (1.0%) | ||||||
3,4,5 | UMBS Pool | 2.500% | 10/25/52 | 107,000 | 89,763 | |
Nonconventional Mortgage-Backed Securities (0.5%) | ||||||
3,4 | Fannie Mae REMICS | 3.000% | 9/25/50–12/25/51 | 7,333 | 5,954 | |
3,4 | Freddie Mac REMICS | 2.000% | 12/25/51 | 349 | 260 | |
3,4 | Freddie Mac REMICS | 3.000% | 7/25/51–10/25/51 | 5,673 | 4,477 | |
3 | Ginnie Mae REMICS | 1.500% | 5/20/51–12/20/51 | 2,035 | 1,720 | |
3 | Ginnie Mae REMICS | 2.000% | 11/20/51 | 1,991 | 1,420 | |
3 | Ginnie Mae REMICS | 2.500% | 9/20/51 | 4,073 | 3,459 | |
3 | Ginnie Mae REMICS | 3.000% | 11/20/50–12/20/51 | 40,726 | 33,734 | |
3 | Ginnie Mae REMICS | 3.500% | 11/20/51 | 731 | 617 | |
51,641 | ||||||
Total U.S. Government and Agency Obligations (Cost $2,745,899) | 2,662,392 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (33.8%) | ||||||
3 | Ally Auto Receivables Trust Series 2019-1 | 3.020% | 4/15/24 | 3,569 | 3,568 | |
3 | Ally Auto Receivables Trust Series 2019-3 | 1.930% | 5/15/24 | 1,498 | 1,495 | |
3 | Ally Auto Receivables Trust Series 2022-1 | 3.310% | 11/15/26 | 12,080 | 11,835 | |
3 | Ally Auto Receivables Trust Series 2022-1 | 3.450% | 6/15/27 | 5,930 | 5,702 | |
3 | American Express Credit Account Master Trust Series 2022-2 | 3.390% | 5/15/27 | 35,880 | 34,765 | |
3 | American Express Credit Account Master Trust Series 2022-3 | 3.750% | 8/15/27 | 91,370 | 89,205 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | AmeriCredit Automobile Receivables Trust Series 2020-2 | 0.660% | 12/18/24 | 1,948 | 1,937 | |
3 | AmeriCredit Automobile Receivables Trust Series 2021-1 | 0.370% | 8/18/25 | 16,968 | 16,692 | |
3 | AmeriCredit Automobile Receivables Trust Series 2021-3 | 0.760% | 8/18/26 | 8,010 | 7,701 | |
3 | AmeriCredit Automobile Receivables Trust Series 2022-1 | 2.450% | 11/18/26 | 29,820 | 28,704 | |
3,6 | ARI Fleet Lease Trust Series 2022-A | 3.120% | 1/15/31 | 7,510 | 7,366 | |
3,6 | ARI Fleet Lease Trust Series 2022-A | 3.430% | 1/15/31 | 4,150 | 3,969 | |
3,6 | Aventura Mall Trust Series 2018-AVM | 4.249% | 7/5/40 | 240 | 220 | |
3,6 | Avis Budget Rental Car Funding AESOP LLC Series 2019-2A | 3.350% | 9/22/25 | 12,150 | 11,683 | |
3 | BA Credit Card Trust Series 2021-A1 | 0.440% | 9/15/26 | 8,540 | 8,032 | |
3 | BA Credit Card Trust Series 2022-A1 | 3.530% | 11/15/27 | 18,130 | 17,644 | |
3 | Banc of America Commercial Mortgage Trust Series 2015-UBS7 | 3.441% | 9/15/48 | 3,506 | 3,323 | |
3 | BANK Series 2017-BNK6 | 3.254% | 7/15/60 | 440 | 408 | |
3 | BANK Series 2017-BNK6 | 3.518% | 7/15/60 | 420 | 392 | |
3 | BANK Series 2017-BNK6 | 3.741% | 7/15/60 | 30 | 28 | |
3 | BANK Series 2017-BNK7 | 3.435% | 9/15/60 | 280 | 260 | |
3 | BANK Series 2017-BNK8 | 3.488% | 11/15/50 | 1,120 | 1,036 | |
3 | BANK Series 2017-BNK9 | 3.538% | 11/15/54 | 4,800 | 4,449 | |
3 | BANK Series 2018-BNK10 | 3.641% | 2/15/61 | 380 | 364 | |
3 | BANK Series 2018-BNK12 | 4.255% | 5/15/61 | 250 | 238 | |
3 | BANK Series 2018-BNK14 | 4.185% | 9/15/60 | 445 | 430 | |
3 | BANK Series 2018-BNK14 | 4.231% | 9/15/60 | 250 | 239 | |
3 | BANK Series 2019-BNK17 | 3.623% | 4/15/52 | 181 | 170 | |
3 | BANK Series 2019-BNK17 | 3.714% | 4/15/52 | 576 | 531 | |
3 | BANK Series 2019-BNK19 | 3.183% | 8/15/61 | 470 | 417 | |
3 | BANK Series 2019-BNK20 | 3.011% | 9/15/62 | 100 | 88 | |
3 | BANK Series 2020-BNK28 | 1.725% | 3/15/63 | 1,000 | 851 | |
3 | BANK Series 2020-BNK30 | 1.673% | 12/15/53 | 700 | 588 | |
3 | Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3 | 3.574% | 2/15/50 | 160 | 150 | |
3 | BBCMS Mortgage Trust Series 2020-C8 | 1.867% | 10/15/53 | 1,620 | 1,383 | |
3 | BBCMS Mortgage Trust Series 2022-C16 | 4.021% | 6/15/55 | 902 | 876 | |
3 | Benchmark Mortgage Trust Series 2018-B1 | 3.666% | 1/15/51 | 530 | 493 | |
3 | Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | 60 | 55 | |
3 | Benchmark Mortgage Trust Series 2018-B2 | 3.882% | 2/15/51 | 580 | 543 | |
3 | Benchmark Mortgage Trust Series 2018-B8 | 3.963% | 1/15/52 | 400 | 380 | |
3 | Benchmark Mortgage Trust Series 2019-B10 | 3.615% | 3/15/62 | 194 | 182 | |
3 | Benchmark Mortgage Trust Series 2020-B19 | 1.745% | 9/15/53 | 1,000 | 845 | |
3 | Benchmark Mortgage Trust Series 2020-B21 | 1.798% | 12/17/53 | 600 | 507 | |
3 | Benchmark Mortgage Trust Series 2020-B22 | 1.731% | 1/15/54 | 700 | 587 | |
3 | Benchmark Mortgage Trust Series 2022-B34 | 3.961% | 4/15/55 | 4,800 | 4,468 | |
3 | BMW Vehicle Owner Trust Series 2019-A | 1.920% | 1/25/24 | 1,221 | 1,219 | |
3 | BMW Vehicle Owner Trust Series 2020-A | 0.620% | 4/26/27 | 4,550 | 4,347 | |
3 | BMW Vehicle Owner Trust Series 2022-A | 3.440% | 12/26/28 | 14,200 | 13,589 | |
3,7 | Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 3.797% | 2/25/30 | 481 | 480 | |
3,6 | BX Trust Series 2019-OC11 | 3.202% | 12/9/41 | 760 | 636 | |
3,6 | Canadian Pacer Auto Receivables Trust Series 2019-1A | 2.960% | 6/19/24 | 1,794 | 1,785 | |
3,6 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.830% | 7/19/24 | 3,636 | 3,598 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.890% | 3/19/25 | 2,150 | 2,080 | |
3,6 | Canadian Pacer Auto Receivables Trust Series 2021-1A | 0.500% | 10/20/25 | 10,410 | 9,969 | |
3 | Capital One Multi-Asset Execution Trust Series 2019-A3 | 2.060% | 8/15/28 | 29,960 | 27,220 | |
3 | Capital One Multi-Asset Execution Trust Series 2021-A3 | 1.040% | 11/15/26 | 28,550 | 26,541 | |
3 | Capital One Multi-Asset Execution Trust Series 2022-A1 | 2.800% | 3/15/27 | 28,420 | 27,305 | |
3 | Capital One Multi-Asset Execution Trust Series 2022-A2 | 3.490% | 5/15/27 | 55,390 | 53,711 | |
3 | Capital One Prime Auto Receivables Trust Series 2019-1 | 2.560% | 10/15/24 | 5,013 | 4,997 | |
3 | Capital One Prime Auto Receivables Trust Series 2020-1 | 1.630% | 8/15/25 | 4,340 | 4,213 | |
3 | Capital One Prime Auto Receivables Trust Series 2021-1 | 0.770% | 9/15/26 | 10,630 | 10,047 | |
3 | Capital One Prime Auto Receivables Trust Series 2021-1 | 1.040% | 4/15/27 | 7,670 | 6,925 | |
3 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.660% | 5/17/27 | 15,660 | 15,314 | |
3 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.690% | 12/15/27 | 14,330 | 13,808 | |
3,6 | CARDS II Trust Series 2021-1A | 0.602% | 4/15/27 | 38,910 | 36,630 | |
3 | CarMax Auto Owner Trust Series 2018-4 | 3.480% | 2/15/24 | 3,223 | 3,224 | |
3 | CarMax Auto Owner Trust Series 2019-3 | 2.300% | 4/15/25 | 5,400 | 5,294 | |
3 | CarMax Auto Owner Trust Series 2019-4 | 2.130% | 7/15/25 | 3,830 | 3,742 | |
3 | CarMax Auto Owner Trust Series 2020-1 | 2.030% | 6/16/25 | 5,620 | 5,459 | |
3 | CarMax Auto Owner Trust Series 2020-3 | 0.770% | 3/16/26 | 4,900 | 4,675 | |
3 | CarMax Auto Owner Trust Series 2021-2 | 0.520% | 2/17/26 | 18,620 | 18,028 | |
3 | CarMax Auto Owner Trust Series 2021-2 | 0.810% | 12/15/26 | 7,160 | 6,601 | |
3 | CarMax Auto Owner Trust Series 2021-3 | 0.550% | 6/15/26 | 16,480 | 15,697 | |
3 | CarMax Auto Owner Trust Series 2021-4 | 0.560% | 9/15/26 | 14,320 | 13,679 | |
3 | CarMax Auto Owner Trust Series 2022-1 | 1.470% | 12/15/26 | 23,660 | 22,712 | |
3 | CarMax Auto Owner Trust Series 2022-1 | 1.700% | 8/16/27 | 18,560 | 17,001 | |
3 | CarMax Auto Owner Trust Series 2022-2 | 3.490% | 2/16/27 | 11,460 | 11,216 | |
3 | CarMax Auto Owner Trust Series 2022-2 | 3.620% | 9/15/27 | 11,400 | 11,045 | |
3 | Carvana Auto Receivables Trust Series 2020-P1 | 0.610% | 10/8/26 | 4,850 | 4,547 | |
3 | Carvana Auto Receivables Trust Series 2021-P3 | 0.700% | 11/10/26 | 11,650 | 10,960 | |
3 | Carvana Auto Receivables Trust Series 2021-P3 | 1.030% | 6/10/27 | 5,590 | 4,984 | |
3 | Carvana Auto Receivables Trust Series 2022-P1 | 3.350% | 2/10/27 | 15,500 | 15,066 | |
3 | CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | 540 | 491 | |
3 | CD Mortgage Trust Series 2016-CD1 | 2.926% | 8/10/49 | 4,800 | 4,300 | |
3 | CD Mortgage Trust Series 2017-CD5 | 3.684% | 8/15/50 | 4,708 | 4,319 | |
3 | CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | 1,130 | 1,049 | |
3 | CD Mortgage Trust Series 2017-CD6 | 3.709% | 11/13/50 | 650 | 593 | |
3 | CD Mortgage Trust Series 2018-CD7 | 4.013% | 8/15/51 | 800 | 750 | |
3 | CD Mortgage Trust Series 2018-CD7 | 4.279% | 8/15/51 | 900 | 861 | |
3 | CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | 472 | 440 | |
3,6 | Chesapeake Funding II LLC Series 2019-1A | 2.940% | 4/15/31 | 208 | 208 | |
3,6 | Chesapeake Funding II LLC Series 2019-2A | 1.950% | 9/15/31 | 1,302 | 1,301 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Chesapeake Funding II LLC Series 2020-1A | 0.870% | 8/15/32 | 7,475 | 7,396 | |
3 | Citigroup Commercial Mortgage Trust Series 2014-GC21 | 3.855% | 5/10/47 | 1,054 | 1,034 | |
3 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.863% | 7/10/47 | 255 | 247 | |
3 | Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.635% | 10/10/47 | 2,250 | 2,180 | |
3 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.497% | 6/10/48 | 4,347 | 4,164 | |
3 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | 850 | 816 | |
3 | Citigroup Commercial Mortgage Trust Series 2015-GC35 | 3.549% | 11/10/48 | 4,800 | 4,558 | |
3 | Citigroup Commercial Mortgage Trust Series 2016-GC36 | 3.349% | 2/10/49 | 570 | 542 | |
3 | Citigroup Commercial Mortgage Trust Series 2017-C4 | 3.471% | 10/12/50 | 520 | 481 | |
3 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | 800 | 737 | |
3 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.465% | 9/15/50 | 1,085 | 1,005 | |
3 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.789% | 9/15/50 | 170 | 154 | |
3 | Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | 230 | 219 | |
3 | CNH Equipment Trust Series 2020-A | 1.510% | 4/15/27 | 2,310 | 2,209 | |
3 | CNH Equipment Trust Series 2022-A | 2.940% | 7/15/27 | 10,960 | 10,522 | |
3 | CNH Equipment Trust Series 2022-A | 3.030% | 3/15/29 | 9,390 | 8,846 | |
3 | CNH Equipment Trust Series 2022-B | 3.890% | 8/16/27 | 10,540 | 10,333 | |
3 | CNH Equipment Trust Series 2022-B | 3.910% | 3/15/28 | 5,460 | 5,284 | |
3 | COMM Mortgage Trust Series 2012-CR5 | 2.771% | 12/10/45 | 107 | 107 | |
3 | COMM Mortgage Trust Series 2013-CR8 | 3.612% | 6/10/46 | 20 | 20 | |
3 | COMM Mortgage Trust Series 2013-CR9 | 4.411% | 7/10/45 | 731 | 726 | |
3,6 | COMM Mortgage Trust Series 2013-CR9 | 4.435% | 7/10/45 | 3,169 | 3,119 | |
3 | COMM Mortgage Trust Series 2013-CR11 | 4.258% | 8/10/50 | 813 | 808 | |
3 | COMM Mortgage Trust Series 2013-CR13 | 4.194% | 11/10/46 | 837 | 827 | |
3 | COMM Mortgage Trust Series 2013-LC6 | 2.941% | 1/10/46 | 328 | 328 | |
3 | COMM Mortgage Trust Series 2013-LC13 | 4.205% | 8/10/46 | 143 | 142 | |
3 | COMM Mortgage Trust Series 2014-CR14 | 3.955% | 2/10/47 | 20 | 20 | |
3 | COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | 500 | 490 | |
3 | COMM Mortgage Trust Series 2014-CR17 | 4.174% | 5/10/47 | 350 | 341 | |
3 | COMM Mortgage Trust Series 2015-CR26 | 3.359% | 10/10/48 | 4,286 | 4,101 | |
3 | COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | 950 | 905 | |
3 | CSAIL Commercial Mortgage Trust Series 2015-C3 | 3.447% | 8/15/48 | 1,261 | 1,207 | |
3 | CSAIL Commercial Mortgage Trust Series 2015-C4 | 3.808% | 11/15/48 | 1,500 | 1,435 | |
3 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | 900 | 843 | |
3 | CSAIL Commercial Mortgage Trust Series 2017-C8 | 3.392% | 6/15/50 | 1,240 | 1,148 | |
3 | DBJPM Mortgage Trust Series 2016-C3 | 2.632% | 8/10/49 | 900 | 828 | |
3 | DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | 740 | 683 | |
3,6 | Dell Equipment Finance Trust Series 2020-2 | 0.570% | 10/23/23 | 12,050 | 11,918 | |
3 | Discover Card Execution Note Trust Series 2021-A2 | 1.030% | 9/15/28 | 6,730 | 5,870 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Discover Card Execution Note Trust Series 2022-A2 | 3.320% | 5/15/27 | 52,450 | 50,826 | |
3 | Discover Card Execution Note Trust Series 2022-A3 | 3.560% | 7/15/27 | 80,410 | 77,834 | |
3,6 | DLLAA LLC Series 2021-1A | 0.670% | 4/17/26 | 22,900 | 21,596 | |
3,6 | DLLAD LLC Series 2021-1A | 0.640% | 9/21/26 | 7,550 | 7,011 | |
3,6 | DLLMT LLC Series 2021-1A | 1.000% | 7/21/25 | 7,330 | 6,961 | |
3,6 | DLLMT LLC Series 2021-1A | 1.240% | 6/20/29 | 4,890 | 4,481 | |
3,6 | DLLST LLC Series 2022-1A | 3.690% | 9/20/28 | 3,060 | 2,964 | |
3,6,7 | Edsouth Indenture No. 9 LLC Series 2015-1, 1M USD LIBOR + 0.800% | 3.884% | 10/25/56 | 304 | 301 | |
3,6 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 757 | 756 | |
3,6 | Enterprise Fleet Financing LLC Series 2020-2 | 0.610% | 7/20/26 | 8,734 | 8,491 | |
3,6 | Enterprise Fleet Financing LLC Series 2021-2 | 0.480% | 5/20/27 | 8,739 | 8,371 | |
3,6 | Enterprise Fleet Financing LLC Series 2021-3 | 0.770% | 8/20/27 | 9,285 | 8,887 | |
3,6 | Enterprise Fleet Financing LLC Series 2022-1 | 3.030% | 1/20/28 | 15,030 | 14,693 | |
3,6 | Evergreen Credit Card Trust Series 2021-1 | 0.900% | 10/15/26 | 14,410 | 13,288 | |
3,4 | FHLMC Multifamily Structured Pass-Through Certificates Series K041 | 3.171% | 10/25/24 | 36,000 | 35,056 | |
3,4 | FHLMC Multifamily Structured Pass-Through Certificates Series K044 | 2.811% | 1/25/25 | 33,338 | 32,104 | |
3,4 | FHLMC Multifamily Structured Pass-Through Certificates Series K045 | 3.023% | 1/25/25 | 25,683 | 24,820 | |
3,4 | FHLMC Multifamily Structured Pass-Through Certificates Series K046 | 3.205% | 3/25/25 | 42,500 | 41,149 | |
3 | Ford Credit Auto Lease Trust Series 2020-B | 0.690% | 10/15/23 | 2,016 | 2,014 | |
3 | Ford Credit Auto Lease Trust Series 2022-A | 3.370% | 7/15/25 | 9,330 | 9,082 | |
3 | Ford Credit Auto Owner Trust Series 2019-A | 2.850% | 8/15/24 | 12,886 | 12,863 | |
3,6 | Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | 7,390 | 6,885 | |
3 | Ford Credit Auto Owner Trust Series 2020-A | 1.040% | 8/15/24 | 3,092 | 3,059 | |
3 | Ford Credit Auto Owner Trust Series 2020-A | 1.350% | 7/15/25 | 2,660 | 2,575 | |
3 | Ford Credit Auto Owner Trust Series 2020-B | 0.790% | 11/15/25 | 27,200 | 26,096 | |
3 | Ford Credit Auto Owner Trust Series 2020-C | 0.510% | 8/15/26 | 18,530 | 17,231 | |
3,6 | Ford Credit Auto Owner Trust Series 2022-1 | 3.880% | 11/15/34 | 17,480 | 16,816 | |
3 | Ford Credit Auto Owner Trust Series 2022-A | 1.290% | 6/15/26 | 15,560 | 14,812 | |
3 | Ford Credit Auto Owner Trust Series 2022-A | 1.560% | 5/15/27 | 18,150 | 16,676 | |
3 | Ford Credit Auto Owner Trust Series 2022-B | 3.740% | 9/15/26 | 22,300 | 22,025 | |
3 | Ford Credit Auto Owner Trust Series 2022-B | 3.930% | 8/15/27 | 8,900 | 8,740 | |
3 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 16,380 | 15,765 | |
3 | Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | 22,350 | 19,989 | |
3 | GM Financial Automobile Leasing Trust Series 2020-2 | 1.010% | 7/22/24 | 1,596 | 1,594 | |
3 | GM Financial Automobile Leasing Trust Series 2020-3 | 0.510% | 10/21/24 | 5,380 | 5,347 | |
3 | GM Financial Automobile Leasing Trust Series 2021-2 | 0.410% | 5/20/25 | 5,110 | 4,899 | |
3 | GM Financial Automobile Leasing Trust Series 2021-3 | 0.390% | 10/21/24 | 27,420 | 26,514 | |
3 | GM Financial Automobile Leasing Trust Series 2021-3 | 0.500% | 7/21/25 | 1,370 | 1,295 | |
3 | GM Financial Automobile Leasing Trust Series 2022-2 | 3.540% | 5/20/26 | 13,420 | 13,120 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2019-1 | 3.110% | 7/16/24 | 7,959 | 7,959 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | GM Financial Consumer Automobile Receivables Trust Series 2019-2 | 2.710% | 8/16/24 | 5,914 | 5,904 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2019-3 | 2.180% | 4/16/24 | 1,762 | 1,761 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2019-4 | 1.760% | 1/16/25 | 3,810 | 3,752 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2020-1 | 1.840% | 9/16/24 | 3,923 | 3,902 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2020-3 | 0.580% | 1/16/26 | 13,500 | 12,776 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.350% | 10/16/25 | 10,096 | 9,799 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.540% | 5/17/27 | 7,910 | 7,357 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-2 | 0.820% | 10/16/26 | 8,690 | 7,985 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-3 | 0.480% | 6/16/26 | 19,990 | 19,075 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-3 | 0.730% | 8/16/27 | 9,190 | 8,399 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.680% | 9/16/26 | 14,120 | 13,320 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.990% | 10/18/27 | 7,000 | 6,336 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2022-1 | 1.510% | 4/17/28 | 13,020 | 11,904 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.100% | 2/16/27 | 14,810 | 14,360 | |
3 | GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.250% | 4/17/28 | 13,910 | 13,350 | |
3,6 | GMF Floorplan Owner Revolving Trust Series 2019-2 | 2.900% | 4/15/26 | 8,400 | 8,177 | |
3,6 | GMF Floorplan Owner Revolving Trust Series 2020-1 | 0.680% | 8/15/25 | 9,540 | 9,223 | |
3,6 | GMF Floorplan Owner Revolving Trust Series 2020-2 | 0.690% | 10/15/25 | 23,510 | 22,589 | |
3,6 | Golden Credit Card Trust Series 2018-4A | 3.440% | 8/15/25 | 19,010 | 18,802 | |
3,6 | Golden Credit Card Trust Series 2021-1A | 1.140% | 8/15/28 | 12,890 | 11,300 | |
3,6 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | 8,193 | 8,151 | |
3 | GS Mortgage Securities Corp. II Series 2018-GS10 | 4.155% | 7/10/51 | 250 | 234 | |
3 | GS Mortgage Securities Trust Series 2013-GC12 | 3.135% | 6/10/46 | 1,176 | 1,165 | |
3 | GS Mortgage Securities Trust Series 2014-GC20 | 3.998% | 4/10/47 | 1,000 | 984 | |
3 | GS Mortgage Securities Trust Series 2014-GC24 | 3.931% | 9/10/47 | 110 | 107 | |
3 | GS Mortgage Securities Trust Series 2014-GC24 | 4.162% | 9/10/47 | 60 | 58 | |
3 | GS Mortgage Securities Trust Series 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 | |
3 | GS Mortgage Securities Trust Series 2015-GC32 | 3.498% | 7/10/48 | 4,539 | 4,331 | |
3 | GS Mortgage Securities Trust Series 2015-GC34 | 3.244% | 10/10/48 | 4,027 | 3,827 | |
3 | GS Mortgage Securities Trust Series 2015-GC34 | 3.506% | 10/10/48 | 770 | 731 | |
3 | GS Mortgage Securities Trust Series 2015-GS1 | 3.470% | 11/10/48 | 4,800 | 4,569 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | 580 | 533 | |
3 | GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | 140 | ��� 125 | |
3 | GS Mortgage Securities Trust Series 2019-GC42 | 3.001% | 9/1/52 | 500 | 441 | |
3 | GS Mortgage Securities Trust Series 2020-GSA2 | 2.012% | 12/12/53 | 1,360 | 1,069 | |
3 | Harley-Davidson Motorcycle Trust Series 2019-A | 2.390% | 11/15/26 | 2,607 | 2,600 | |
3 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.870% | 10/15/24 | 2,000 | 1,993 | |
3 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.930% | 4/15/27 | 3,640 | 3,583 | |
3 | Harley-Davidson Motorcycle Trust Series 2021-A | 0.370% | 4/15/26 | 8,558 | 8,368 | |
3 | Harley-Davidson Motorcycle Trust Series 2021-B | 0.560% | 11/16/26 | 16,050 | 15,497 | |
3 | Harley-Davidson Motorcycle Trust Series 2022-A | 3.060% | 2/15/27 | 15,870 | 15,333 | |
3 | Harley-Davidson Motorcycle Trust Series 2022-A | 3.260% | 1/15/30 | 11,160 | 10,560 | |
3,6 | Hertz Vehicle Financing III LLC Series 2022-1A | 1.990% | 6/25/26 | 12,330 | 11,332 | |
3,6 | Hertz Vehicle Financing III LLC Series 2022-3A | 3.370% | 3/25/25 | 16,790 | 16,413 | |
3 | Honda Auto Receivables Owner Trust Series 2019-2 | 2.540% | 3/21/25 | 1,201 | 1,200 | |
3 | Honda Auto Receivables Owner Trust Series 2019-3 | 1.780% | 8/15/23 | 1,821 | 1,819 | |
3 | Honda Auto Receivables Owner Trust Series 2020-2 | 1.090% | 10/15/26 | 4,970 | 4,794 | |
3 | Honda Auto Receivables Owner Trust Series 2020-3 | 0.460% | 4/19/27 | 8,970 | 8,562 | |
3 | Honda Auto Receivables Owner Trust Series 2021-2 | 0.550% | 8/16/27 | 10,300 | 9,479 | |
3 | Honda Auto Receivables Owner Trust Series 2021-3 | 0.410% | 11/18/25 | 13,380 | 12,752 | |
3 | Honda Auto Receivables Owner Trust Series 2021-3 | 0.600% | 12/20/27 | 1,890 | 1,720 | |
3 | Honda Auto Receivables Owner Trust Series 2021-4 | 0.880% | 1/21/26 | 10,130 | 9,601 | |
3 | Honda Auto Receivables Owner Trust Series 2021-4 | 1.140% | 6/21/28 | 5,420 | 4,945 | |
3 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.730% | 7/20/26 | 14,470 | 14,165 | |
3 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.760% | 12/18/28 | 6,080 | 5,927 | |
3,6 | HPEFS Equipment Trust Series 2022-2A | 3.760% | 9/20/29 | 9,510 | 9,344 | |
3,6 | Hudson Yards Mortgage Trust Series 2019-30HY | 3.228% | 7/10/39 | 950 | 829 | |
3,6 | Hyundai Auto Lease Securitization Trust Series 2020-B | 0.580% | 6/17/24 | 4,230 | 4,182 | |
3,6 | Hyundai Auto Lease Securitization Trust Series 2021-A | 0.420% | 12/16/24 | 4,730 | 4,621 | |
3,6 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.330% | 6/17/24 | 5,470 | 5,339 | |
3,6 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.380% | 8/15/25 | 5,780 | 5,526 | |
3,6 | Hyundai Auto Lease Securitization Trust Series 2022-A | 1.320% | 12/15/25 | 20,330 | 19,342 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Hyundai Auto Lease Securitization Trust Series 2022-B | 3.500% | 4/15/26 | 13,220 | 12,870 | |
3 | Hyundai Auto Receivables Trust Series 2019-A | 2.710% | 5/15/25 | 1,521 | 1,519 | |
3 | Hyundai Auto Receivables Trust Series 2019-B | 2.000% | 4/15/25 | 10,320 | 10,205 | |
3 | Hyundai Auto Receivables Trust Series 2020-A | 1.720% | 6/15/26 | 10,777 | 10,399 | |
3 | Hyundai Auto Receivables Trust Series 2020-B | 0.620% | 12/15/25 | 8,430 | 8,097 | |
3 | Hyundai Auto Receivables Trust Series 2021-A | 0.620% | 5/17/27 | 17,030 | 15,726 | |
3 | Hyundai Auto Receivables Trust Series 2021-B | 0.380% | 1/15/26 | 20,010 | 19,086 | |
3 | Hyundai Auto Receivables Trust Series 2021-B | 0.600% | 2/16/27 | 11,800 | 10,772 | |
3 | Hyundai Auto Receivables Trust Series 2021-C | 0.740% | 5/15/26 | 5,140 | 4,854 | |
3 | Hyundai Auto Receivables Trust Series 2021-C | 1.030% | 12/15/27 | 1,790 | 1,627 | |
3 | Hyundai Auto Receivables Trust Series 2022-A | 2.350% | 4/17/28 | 14,750 | 13,784 | |
3 | John Deere Owner Trust Series 2019-B | 2.210% | 12/15/23 | 886 | 886 | |
3 | John Deere Owner Trust Series 2020-B | 0.510% | 11/15/24 | 7,600 | 7,456 | |
3 | John Deere Owner Trust Series 2020-B | 0.720% | 6/15/27 | 4,020 | 3,828 | |
3 | John Deere Owner Trust Series 2022-A | 2.490% | 1/16/29 | 26,445 | 24,939 | |
3 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 3.994% | 1/15/46 | 657 | 651 | |
3 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | 158 | 156 | |
3 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,236 | |
3 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 | 2.960% | 4/15/46 | 800 | 791 | |
3 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP3 | 2.870% | 8/15/49 | 900 | 823 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.664% | 7/15/45 | 2,043 | 2,024 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 4.171% | 7/15/45 | 1,835 | 1,811 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2013-C14 | 4.133% | 8/15/46 | 209 | 207 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2013-C17 | 4.199% | 1/15/47 | 2,947 | 2,917 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.079% | 2/15/47 | 1,160 | 1,141 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 700 | 686 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C19 | 3.997% | 4/15/47 | 120 | 118 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C21 | 3.493% | 8/15/47 | 152 | 148 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C24 | 3.639% | 11/15/47 | 500 | 484 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C26 | 3.494% | 1/15/48 | 1,654 | 1,595 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | 799 | 768 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.329% | 11/15/48 | 4,800 | 4,706 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.598% | 11/15/48 | 600 | 568 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2015-C33 | 3.504% | 12/15/48 | 3,931 | 3,728 | |
3 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 | 3.490% | 7/15/50 | 310 | 289 | |
3 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP7 | 3.454% | 9/15/50 | 340 | 315 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | 80 | 74 | |
3 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.713% | 10/15/50 | 710 | 650 | |
3 | JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | 230 | 219 | |
3,6 | Kubota Credit Owner Trust Series 2020-1A | 1.960% | 3/15/24 | 3,628 | 3,603 | |
3,6 | Kubota Credit Owner Trust Series 2020-2A | 0.590% | 10/15/24 | 14,250 | 13,903 | |
3,6 | Kubota Credit Owner Trust Series 2020-2A | 0.730% | 6/15/26 | 4,950 | 4,663 | |
3,6 | Kubota Credit Owner Trust Series 2022-1A | 2.670% | 10/15/26 | 18,060 | 17,128 | |
3,6 | Kubota Credit Owner Trust Series 2022-1A | 2.780% | 2/15/28 | 10,320 | 9,608 | |
3,6 | Lanark Master Issuer plc Series 2020-1A | 2.277% | 12/22/69 | 2,050 | 2,049 | |
3,6 | Master Credit Card Trust Series 2021-1A | 0.530% | 11/21/25 | 36,840 | 34,291 | |
3,6 | Master Credit Card Trust II Series 2020-1A | 1.990% | 9/21/24 | 5,680 | 5,618 | |
3,6 | Master Credit Card Trust II Series 2022-1A | 1.660% | 7/21/26 | 15,820 | 14,773 | |
3 | Mercedes-Benz Auto Lease Trust Series 2020-B | 0.500% | 6/15/26 | 4,680 | 4,606 | |
3 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.400% | 11/15/24 | 20,810 | 20,100 | |
3 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.510% | 3/15/27 | 10,930 | 10,320 | |
3 | Mercedes-Benz Auto Receivables Trust Series 2020-1 | 0.770% | 10/15/26 | 4,950 | 4,721 | |
3 | Mercedes-Benz Auto Receivables Trust Series 2021-1 | 0.460% | 6/15/26 | 16,720 | 15,815 | |
3,6 | MMAF Equipment Finance LLC Series 2016-AA | 2.210% | 12/15/32 | 2,626 | 2,607 | |
3,6 | MMAF Equipment Finance LLC Series 2017-AA | 2.680% | 7/16/27 | 1,639 | 1,627 | |
3,6 | MMAF Equipment Finance LLC Series 2018-A | 3.390% | 1/10/25 | 3,678 | 3,668 | |
3,6 | MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | 3,550 | 3,451 | |
3,6 | MMAF Equipment Finance LLC Series 2019-A | 3.080% | 11/12/41 | 4,320 | 4,156 | |
3,6 | MMAF Equipment Finance LLC Series 2020-A | 0.740% | 4/9/24 | 3,319 | 3,276 | |
3,6 | MMAF Equipment Finance LLC Series 2020-A | 0.970% | 4/9/27 | 20,500 | 18,923 | |
3,6 | MMAF Equipment Finance LLC Series 2020-BA | 0.850% | 4/14/42 | 8,340 | 7,513 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 | 4.259% | 10/15/46 | 70 | 69 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13 | 4.039% | 11/15/46 | 150 | 148 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14 | 4.384% | 2/15/47 | 250 | 246 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 3.773% | 4/15/47 | 451 | 444 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 4.051% | 4/15/47 | 1,065 | 1,049 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.094% | 6/15/47 | 465 | 451 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C18 | 3.923% | 10/15/47 | 20 | 20 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20 | 3.249% | 2/15/48 | 1,690 | 1,618 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C21 | 3.077% | 3/15/48 | 4,194 | 4,026 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.719% | 7/15/50 | 1,450 | 1,399 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 | 3.479% | 5/15/48 | 4,305 | 4,130 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.635% | 10/15/48 | 200 | 191 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 | 3.473% | 12/15/47 | 4,609 | 4,439 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | 900 | 844 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.459% | 12/15/49 | 285 | 266 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | 600 | 565 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | 460 | 426 | |
3 | Morgan Stanley Capital I Series 2017-HR2 | 3.509% | 12/15/50 | 180 | 172 | |
3 | Morgan Stanley Capital I Series 2017-HR2 | 3.587% | 12/15/50 | 222 | 204 | |
3 | Morgan Stanley Capital I Trust Series 2015-MS1 | 3.510% | 5/15/48 | 4,452 | 4,280 | |
3 | Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | 2,000 | 1,913 | |
3 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | 1,040 | 952 | |
3 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | 150 | 138 | |
3 | Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | 600 | 547 | |
3 | Morgan Stanley Capital I Trust Series 2016-UBS9 | 3.594% | 3/15/49 | 900 | 854 | |
3,6,7 | Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 3.834% | 3/25/66 | 5,680 | 5,674 | |
3 | Nissan Auto Lease Trust Series 2020-B | 0.490% | 1/15/26 | 5,800 | 5,728 | |
3 | Nissan Auto Receivables Owner Trust Series 2018-B | 3.160% | 12/16/24 | 3,101 | 3,101 | |
3 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.500% | 11/15/23 | 297 | 297 | |
3 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.540% | 12/15/25 | 1,250 | 1,242 | |
3 | Nissan Auto Receivables Owner Trust Series 2020-A | 1.700% | 5/17/27 | 7,760 | 7,426 | |
3 | Nissan Auto Receivables Owner Trust Series 2020-B | 0.710% | 2/16/27 | 5,030 | 4,822 | |
3,6 | One Bryant Park Trust Series 2019-OBP | 2.516% | 9/15/54 | 900 | 747 | |
3,6 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 510 | 461 | |
3,6,7 | Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 3.819% | 1/16/60 | 146 | 146 | |
3,6,7 | Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 3.993% | 6/20/60 | 1,078 | 1,074 | |
3,6,7 | Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 3.943% | 8/18/60 | 587 | 584 | |
3,6,7 | PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 4.034% | 11/25/65 | 4,530 | 4,485 | |
3,6 | Progress Residential Trust Series 2022-SFR3 | 3.200% | 4/17/39 | 4,060 | 3,702 | |
3,6 | Progress Residential Trust Series 2022-SFR5 | 4.451% | 6/17/39 | 3,940 | 3,791 | |
3,6,7 | RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 3.483% | 12/5/59 | 230 | 230 | |
3,6,7 | RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 3.606% | 4/10/50 | 536 | 535 | |
3,6,7 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 3.556% | 11/10/49 | 50 | 50 | |
3,6 | RESIMAC Premier Series 2020-1A | 1.274% | 2/7/52 | 1,813 | 1,812 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Santander Drive Auto Receivables Trust Series 2022-2 | 2.980% | 10/15/26 | 17,240 | 16,885 | |
3 | Santander Drive Auto Receivables Trust Series 2022-3 | 3.400% | 12/15/26 | 9,060 | 8,898 | |
3 | Santander Drive Auto Receivables Trust Series 2022-5 | 4.110% | 8/17/26 | 26,770 | 26,481 | |
3 | Santander Drive Auto Receivables Trust Series 2022-6 | 4.490% | 11/16/26 | 19,650 | 19,489 | |
3,6 | Santander Retail Auto Lease Trust Series 2020-B | 0.650% | 12/20/24 | 7,950 | 7,617 | |
3,6 | Santander Retail Auto Lease Trust Series 2021-B | 0.510% | 8/20/24 | 30,290 | 29,091 | |
3,6 | Santander Retail Auto Lease Trust Series 2021-B | 0.540% | 6/20/25 | 7,460 | 7,018 | |
3,6 | Santander Retail Auto Lease Trust Series 2021-C | 0.590% | 3/20/26 | 5,340 | 5,021 | |
3,6 | Santander Retail Auto Lease Trust Series 2022-B | 3.280% | 11/20/25 | 27,920 | 27,235 | |
3,6 | Santander Retail Auto Lease Trust Series 2022-B | 3.330% | 10/20/26 | 14,630 | 14,064 | |
3,6 | SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | 130 | 127 | |
3,6 | SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | 319 | 306 | |
3,6 | SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | 687 | 664 | |
3,6 | SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | 1,331 | 1,285 | |
3,6 | SoFi Professional Loan Program LLC Series 2017-A | 2.400% | 3/26/40 | 191 | 190 | |
3,6,7 | SoFi Professional Loan Program LLC Series 2017-A, 1M USD LIBOR + 0.700% | 3.784% | 3/26/40 | 192 | 192 | |
3,6 | SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | 67 | 66 | |
3,6 | SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | 118 | 113 | |
3,6 | SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | 34 | 34 | |
3,6 | SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | 135 | 132 | |
3,6 | SoFi Professional Loan Program LLC Series 2018-A | 2.950% | 2/25/42 | 63 | 62 | |
3 | Synchrony Card Funding LLC Series 2022-A1 | 3.370% | 4/15/28 | 38,480 | 37,307 | |
3 | Synchrony Card Funding LLC Series 2022-A2 | 3.860% | 7/15/28 | 28,500 | 27,797 | |
3 | Synchrony Credit Card Master Note Trust Series 2017-2 | 2.620% | 10/15/25 | 8,520 | 8,518 | |
3,6 | Tesla Auto Lease Trust Series 2020-A | 0.680% | 12/20/23 | 3,530 | 3,505 | |
3,6 | Tesla Auto Lease Trust Series 2020-A | 0.780% | 12/20/23 | 1,230 | 1,216 | |
3,6 | Tesla Auto Lease Trust Series 2021-B | 0.600% | 9/22/25 | 8,970 | 8,423 | |
3,6 | Tesla Auto Lease Trust Series 2021-B | 0.630% | 9/22/25 | 4,620 | 4,327 | |
3,6 | TMSQ Mortgage Trust Series 2014-1500 | 3.680% | 10/10/36 | 100 | 95 | |
3,6 | Toyota Auto Loan Extended Note Trust Series 2019-1A | 2.560% | 11/25/31 | 900 | 868 | |
3,6 | Toyota Auto Loan Extended Note Trust Series 2020-1A | 1.350% | 5/25/33 | 13,400 | 12,164 | |
3,6 | Toyota Auto Loan Extended Note Trust Series 2021-1A | 1.070% | 2/27/34 | 32,040 | 28,133 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Toyota Auto Loan Extended Note Trust Series 2022-1A | 3.820% | 4/25/35 | 25,700 | 24,751 | |
3 | Toyota Auto Receivables Owner Trust Series 2018-C | 3.130% | 2/15/24 | 3,961 | 3,961 | |
3 | Toyota Auto Receivables Owner Trust Series 2019-A | 3.000% | 5/15/24 | 4,008 | 4,004 | |
3 | Toyota Auto Receivables Owner Trust Series 2019-C | 1.910% | 9/15/23 | 1,517 | 1,516 | |
3 | Toyota Auto Receivables Owner Trust Series 2020-A | 1.680% | 5/15/25 | 8,300 | 8,067 | |
3 | Toyota Auto Receivables Owner Trust Series 2020-B | 1.660% | 9/15/25 | 5,220 | 5,040 | |
3 | Toyota Auto Receivables Owner Trust Series 2020-C | 0.570% | 10/15/25 | 7,770 | 7,359 | |
3 | Toyota Auto Receivables Owner Trust Series 2021-C | 0.430% | 1/15/26 | 19,620 | 18,559 | |
3 | Toyota Auto Receivables Owner Trust Series 2021-C | 0.720% | 1/15/27 | 15,170 | 13,707 | |
3 | Toyota Auto Receivables Owner Trust Series 2021-D | 0.710% | 4/15/26 | 9,290 | 8,803 | |
3 | Toyota Auto Receivables Owner Trust Series 2021-D | 1.020% | 3/15/27 | 6,900 | 6,203 | |
3 | Toyota Auto Receivables Owner Trust Series 2022-A | 1.540% | 5/17/27 | 14,960 | 13,663 | |
3 | Toyota Auto Receivables Owner Trust Series 2022-B | 2.930% | 9/15/26 | 27,030 | 26,199 | |
3 | Toyota Auto Receivables Owner Trust Series 2022-B | 3.110% | 8/16/27 | 12,010 | 11,489 | |
3 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.760% | 4/15/27 | 20,290 | 19,910 | |
3 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.770% | 2/15/28 | 10,960 | 10,707 | |
3,6 | Toyota Lease Owner Trust Series 2021-A | 0.500% | 8/20/25 | 5,150 | 4,963 | |
3,6 | Toyota Lease Owner Trust Series 2021-B | 0.420% | 10/21/24 | 23,600 | 22,739 | |
3,6 | Trafigura Securitisation Finance plc Series 2021-1A | 1.080% | 1/15/25 | 15,430 | 14,099 | |
3 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.418% | 12/15/50 | 4,800 | 4,492 | |
3 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | 1,495 | 1,391 | |
3 | UBS Commercial Mortgage Trust Series 2019-C16 | 3.460% | 4/15/52 | 214 | 199 | |
3,6 | UBS-BAMLL Trust Series 2012-WRM | 3.663% | 6/10/30 | 75 | 74 | |
3 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | 60 | 59 | |
3 | Verizon Master Trust Series 2021-1 | 0.500% | 5/20/27 | 40,190 | 37,535 | |
3 | Verizon Master Trust Series 2021-2 | 0.990% | 4/20/28 | 11,230 | 10,398 | |
3 | Verizon Master Trust Series 2022-2 | 1.530% | 7/20/28 | 28,530 | 26,479 | |
3 | Verizon Master Trust Series 2022-6 | 3.670% | 1/22/29 | 16,200 | 15,780 | |
3 | Volkswagen Auto Loan Enhanced Trust Series 2020-1 | 1.260% | 8/20/26 | 4,010 | 3,871 | |
3 | Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.020% | 6/22/26 | 14,210 | 13,482 | |
3 | Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.260% | 10/20/28 | 9,200 | 8,422 | |
3,6 | Volvo Financial Equipment LLC Series 2020-1A | 0.510% | 10/15/24 | 14,912 | 14,650 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Volvo Financial Equipment LLC Series 2020-1A | 0.600% | 3/15/28 | 4,000 | 3,754 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.218% | 7/15/46 | 800 | 792 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.433% | 7/15/46 | 350 | 343 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2015-C29 | 3.637% | 6/15/48 | 1,250 | 1,199 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2015-C30 | 3.664% | 9/15/58 | 700 | 670 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 | 2.652% | 8/15/49 | 280 | 256 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2016-C32 | 3.560% | 1/15/59 | 900 | 856 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | 260 | 244 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-C38 | 3.453% | 7/15/50 | 520 | 482 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | 190 | 175 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.317% | 10/15/50 | 600 | 552 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.581% | 10/15/50 | 1,160 | 1,076 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-C41 | 3.472% | 11/15/50 | 1,430 | 1,318 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | 246 | 231 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2018-C44 | 4.212% | 5/15/51 | 530 | 504 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | 235 | 222 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2018-C48 | 4.245% | 1/15/52 | 280 | 271 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | 230 | 219 | |
3 | Wells Fargo Commercial Mortgage Trust Series 2020-C58 | 1.849% | 7/15/53 | 1,400 | 1,185 | |
3 | WFRBS Commercial Mortgage Trust Series 2013-C15 | 4.153% | 8/15/46 | 526 | 521 | |
3 | WFRBS Commercial Mortgage Trust Series 2013-C18 | 4.162% | 12/15/46 | 1,042 | 1,027 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 3.829% | 3/15/47 | 633 | 625 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.410% | 8/15/47 | 158 | 153 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.678% | 8/15/47 | 1,584 | 1,545 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.650% | 10/15/57 | 653 | 636 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.917% | 10/15/57 | 1,038 | 1,013 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 3.766% | 3/15/47 | 40 | 39 | |
3 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 4.045% | 3/15/47 | 500 | 492 | |
3,6 | Wheels Fleet Lease Funding LLC Series 2022-1A | 2.470% | 10/18/36 | 18,620 | 18,171 | |
3,6 | Wheels SPV 2 LLC Series 2020-1A | 0.510% | 8/20/29 | 2,898 | 2,864 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,6 | Wheels SPV 2 LLC Series 2020-1A | 0.620% | 8/20/29 | 3,000 | 2,874 | |
3 | World Omni Auto Receivables Trust Series 2018-D | 3.330% | 4/15/24 | 23 | 23 | |
3 | World Omni Auto Receivables Trust Series 2018-D | 3.440% | 12/16/24 | 5,870 | 5,870 | |
3 | World Omni Auto Receivables Trust Series 2019-A | 3.220% | 6/16/25 | 6,420 | 6,405 | |
3 | World Omni Auto Receivables Trust Series 2020-A | 1.100% | 4/15/25 | 441 | 436 | |
3 | World Omni Auto Receivables Trust Series 2020-B | 0.820% | 1/15/26 | 7,420 | 7,059 | |
3 | World Omni Auto Receivables Trust Series 2020-C | 0.610% | 10/15/26 | 16,350 | 15,305 | |
3 | World Omni Auto Receivables Trust Series 2021-B | 0.420% | 6/15/26 | 12,620 | 12,109 | |
3 | World Omni Auto Receivables Trust Series 2021-C | 0.440% | 8/17/26 | 13,360 | 12,726 | |
3 | World Omni Auto Receivables Trust Series 2021-D | 0.810% | 10/15/26 | 11,160 | 10,627 | |
3 | World Omni Auto Receivables Trust Series 2021-D | 1.100% | 11/15/27 | 8,060 | 7,372 | |
3 | World Omni Auto Receivables Trust Series 2022-A | 1.900% | 3/15/28 | 13,580 | 12,499 | |
3 | World Omni Auto Receivables Trust Series 2022-B | 3.440% | 3/15/28 | 14,430 | 13,800 | |
3 | World Omni Auto Receivables Trust Series 2022-C | 3.660% | 10/15/27 | 11,060 | 10,772 | |
3 | World Omni Auto Receivables Trust Series 2022-C | 3.680% | 9/15/28 | 11,930 | 11,476 | |
3 | World Omni Automobile Lease Securitization Trust Series 2020-A | 1.790% | 6/16/25 | 6,384 | 6,381 | |
3 | World Omni Automobile Lease Securitization Trust Series 2020-B | 0.520% | 2/17/26 | 8,320 | 8,130 | |
3 | World Omni Automobile Lease Securitization Trust Series 2021-A | 0.420% | 8/15/24 | 9,330 | 8,988 | |
3 | World Omni Automobile Lease Securitization Trust Series 2021-A | 0.500% | 11/16/26 | 7,190 | 6,807 | |
3 | World Omni Automobile Lease Securitization Trust Series 2022-A | 3.210% | 2/18/25 | 3,920 | 3,855 | |
3 | World Omni Automobile Lease Securitization Trust Series 2022-A | 3.340% | 6/15/27 | 6,420 | 6,258 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,356,306) | 3,210,191 | |||||
Corporate Bonds (31.5%) | ||||||
Communications (0.9%) | ||||||
Comcast Corp. | 3.375% | 2/15/25 | 1,000 | 967 | ||
8 | Comcast Corp. | 0.000% | 9/14/26 | 3,839 | 3,285 | |
6 | Meta Platforms Inc. | 3.500% | 8/15/27 | 27,964 | 26,136 | |
6 | NTT Finance Corp. | 0.583% | 3/1/24 | 9,045 | 8,523 | |
6 | NTT Finance Corp. | 1.162% | 4/3/26 | 18,891 | 16,502 | |
3 | Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 15,790 | 15,668 | |
6 | Sky Ltd. | 3.125% | 11/26/22 | 9,480 | 9,465 | |
3,8 | Sky Ltd. | 2.500% | 9/15/26 | 2,570 | 2,442 | |
82,988 | ||||||
Consumer Discretionary (3.1%) | ||||||
3 | American Honda Finance Corp. | 1.950% | 5/10/23 | 30,000 | 29,591 | |
3 | American Honda Finance Corp. | 0.875% | 7/7/23 | 975 | 948 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | American Honda Finance Corp. | 3.550% | 1/12/24 | 1,500 | 1,479 | |
3 | American Honda Finance Corp. | 0.550% | 7/12/24 | 9,070 | 8,426 | |
3 | American Honda Finance Corp. | 0.750% | 8/9/24 | 9,925 | 9,227 | |
3 | American Honda Finance Corp. | 1.500% | 1/13/25 | 1,000 | 929 | |
6 | BMW US Capital LLC | 0.800% | 4/1/24 | 9,750 | 9,192 | |
Home Depot Inc. | 2.700% | 4/15/25 | 5,000 | 4,773 | ||
Home Depot Inc. | 4.000% | 9/15/25 | 4,555 | 4,483 | ||
Honda Motor Co. Ltd. | 2.271% | 3/10/25 | 10,715 | 10,093 | ||
9 | Toyota Finance Australia Ltd. | 3.300% | 11/22/23 | 22,800 | 14,352 | |
3,8 | Toyota Finance Australia Ltd. | 0.064% | 1/13/25 | 2,400 | 2,193 | |
3 | Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 31,431 | 31,191 | |
3 | Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 30,925 | 30,280 | |
Toyota Motor Credit Corp. | 2.500% | 3/22/24 | 46,600 | 45,176 | ||
3 | Toyota Motor Credit Corp. | 0.500% | 6/18/24 | 50,000 | 46,589 | |
Toyota Motor Credit Corp. | 0.625% | ��� 9/13/24 | 880 | 814 | ||
3 | Toyota Motor Credit Corp. | 4.400% | 9/20/24 | 11,150 | 11,081 | |
3 | Toyota Motor Credit Corp. | 1.450% | 1/13/25 | 7,085 | 6,573 | |
3 | Toyota Motor Credit Corp. | 3.650% | 8/18/25 | 26,150 | 25,309 | |
292,699 | ||||||
Consumer Staples (0.6%) | ||||||
8 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 2,790 | 2,574 | |
Colgate-Palmolive Co. | 3.100% | 8/15/25 | 4,760 | 4,600 | ||
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 7,920 | 7,577 | ||
3,8 | Nestle Finance International Ltd. | 0.000% | 11/12/24 | 3,100 | 2,886 | |
6 | Nestle Holdings Inc. | 3.350% | 9/24/23 | 11,000 | 10,864 | |
3,8 | PepsiCo Inc. | 2.625% | 4/28/26 | 2,117 | 2,043 | |
PepsiCo Inc. | 3.600% | 2/18/28 | 3,760 | 3,557 | ||
Philip Morris International Inc. | 3.375% | 8/11/25 | 5,500 | 5,265 | ||
8 | Procter & Gamble Co. | 4.875% | 5/11/27 | 2,117 | 2,217 | |
Target Corp. | 3.500% | 7/1/24 | 13,000 | 12,785 | ||
3,8 | Unilever Finance Netherlands BV | 1.250% | 3/25/25 | 2,400 | 2,259 | |
Walmart Inc. | 3.400% | 6/26/23 | 500 | 497 | ||
57,124 | ||||||
Energy (1.0%) | ||||||
EOG Resources Inc. | 3.150% | 4/1/25 | 10,000 | 9,626 | ||
8 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 2,200 | 2,052 | |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 15,000 | 14,342 | ||
Exxon Mobil Corp. | 2.992% | 3/19/25 | 3,600 | 3,460 | ||
6 | Harvest Operations Corp. | 4.200% | 6/1/23 | 2,000 | 1,996 | |
3 | Harvest Operations Corp. | 1.000% | 4/26/24 | 4,125 | 3,879 | |
6 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 2,316 | 2,161 | |
3 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 23,000 | 21,455 | |
Schlumberger Investment SA | 3.650% | 12/1/23 | 30,000 | 29,564 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 4,500 | 4,326 | ||
3,8 | Shell International Finance BV | 2.500% | 3/24/26 | 2,117 | 2,031 | |
94,892 | ||||||
Financials (20.8%) | ||||||
6 | AIG Global Funding | 0.650% | 6/17/24 | 12,000 | 11,153 | |
Allstate Corp. | 0.750% | 12/15/25 | 5,000 | 4,365 | ||
American Express Co. | 3.400% | 2/22/24 | 3,039 | 2,982 | ||
American Express Co. | 3.375% | 5/3/24 | 8,424 | 8,216 | ||
American Express Co. | 2.250% | 3/4/25 | 4,900 | 4,598 | ||
American Express Co. | 3.950% | 8/1/25 | 22,500 | 21,804 | ||
6 | ANZ New Zealand Int'l Ltd. | 1.900% | 2/13/23 | 3,840 | 3,806 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Athene Global Funding | 2.800% | 5/26/23 | 9,400 | 9,258 | |
6 | Athene Global Funding | 1.200% | 10/13/23 | 14,361 | 13,753 | |
6 | Athene Global Funding | 0.950% | 1/8/24 | 4,445 | 4,194 | |
6 | Athene Global Funding | 0.914% | 8/19/24 | 1,440 | 1,315 | |
Banco Santander SA | 2.706% | 6/27/24 | 10,000 | 9,557 | ||
Bank of America Corp. | 4.100% | 7/24/23 | 5,000 | 4,984 | ||
3 | Bank of America Corp. | 3.004% | 12/20/23 | 90,486 | 90,028 | |
3 | Bank of America Corp. | 4.125% | 1/22/24 | 8,000 | 7,935 | |
3 | Bank of America Corp. | 3.550% | 3/5/24 | 12,567 | 12,471 | |
3 | Bank of America Corp. | 0.523% | 6/14/24 | 8,000 | 7,726 | |
3 | Bank of America Corp. | 3.864% | 7/23/24 | 10,000 | 9,858 | |
3 | Bank of America Corp. | 0.810% | 10/24/24 | 7,470 | 7,100 | |
Bank of America Corp. | 1.843% | 2/4/25 | 21,000 | 19,968 | ||
Bank of America Corp. | 0.976% | 4/22/25 | 20,000 | 18,590 | ||
3 | Bank of America Corp. | 3.875% | 8/1/25 | 5,000 | 4,855 | |
3 | Bank of America Corp. | 2.015% | 2/13/26 | 9,753 | 8,946 | |
3 | Bank of America Corp. | 3.384% | 4/2/26 | 14,500 | 13,705 | |
3 | Bank of America Corp. | 1.319% | 6/19/26 | 4,763 | 4,224 | |
Bank of America Corp. | 4.827% | 7/22/26 | 34,000 | 33,197 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 7,000 | 6,005 | ||
3 | Bank of Montreal | 0.400% | 9/15/23 | 35,000 | 33,497 | |
3 | Bank of Montreal | 3.300% | 2/5/24 | 7,290 | 7,136 | |
3 | Bank of Montreal | 2.150% | 3/8/24 | 25,000 | 24,025 | |
3 | Bank of Montreal | 0.625% | 7/9/24 | 13,530 | 12,529 | |
3 | Bank of Montreal | 3.700% | 6/7/25 | 3,000 | 2,886 | |
3,7,9 | Bank of Montreal, 3M Australian Bank Bill Rate + 0.990% | 3.575% | 9/7/23 | 21,500 | 13,796 | |
Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 14,300 | 13,981 | ||
3 | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 3,420 | 3,199 | |
Bank of Nova Scotia | 1.625% | 5/1/23 | 15,000 | 14,754 | ||
Bank of Nova Scotia | 0.400% | 9/15/23 | 6,700 | 6,413 | ||
Bank of Nova Scotia | 0.650% | 7/31/24 | 4,090 | 3,774 | ||
Bank of Nova Scotia | 1.450% | 1/10/25 | 6,400 | 5,873 | ||
Bank of Nova Scotia | 3.450% | 4/11/25 | 16,200 | 15,517 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 8,125 | 7,075 | ||
6 | Bank of Nova Scotia | 1.188% | 10/13/26 | 11,030 | 9,605 | |
3,7,9 | Bank of Nova Scotia, 3M Australian Bank Bill Rate + 0.980% | 3.565% | 9/7/23 | 22,430 | 14,384 | |
8 | Berkshire Hathaway Inc. | 0.000% | 3/12/25 | 2,400 | 2,182 | |
6 | BNP Paribas SA | 3.800% | 1/10/24 | 5,000 | 4,908 | |
BPCE SA | 4.000% | 4/15/24 | 6,241 | 6,127 | ||
3,7,9 | BPCE SA, 3M Australian Bank Bill Rate + 1.100% | 3.351% | 4/26/23 | 10,000 | 6,408 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 16,640 | 16,151 | ||
Canadian Imperial Bank of Commerce | 3.945% | 8/4/25 | 3,000 | 2,900 | ||
Canadian Imperial Bank of Commerce | 3.450% | 4/7/27 | 6,200 | 5,705 | ||
Charles Schwab Corp. | 1.150% | 5/13/26 | 10,000 | 8,743 | ||
Citigroup Inc. | 3.875% | 10/25/23 | 4,500 | 4,442 | ||
Citigroup Inc. | 0.776% | 10/30/24 | 3,230 | 3,072 | ||
3 | Citigroup Inc. | 3.352% | 4/24/25 | 6,085 | 5,873 | |
Citigroup Inc. | 0.981% | 5/1/25 | 5,415 | 5,023 | ||
Citigroup Inc. | 4.140% | 5/24/25 | 3,000 | 2,933 | ||
Citigroup Inc. | 1.281% | 11/3/25 | 2,000 | 1,829 | ||
Citigroup Inc. | 2.014% | 1/25/26 | 4,975 | 4,577 | ||
3,8 | Cooperatieve Rabobank UA | 0.625% | 2/27/24 | 3,100 | 2,940 | |
Cooperatieve Rabobank UA | 3.875% | 8/22/24 | 1,700 | 1,667 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Credit Suisse AG | 1.000% | 5/5/23 | 18,780 | 18,355 | ||
3 | Credit Suisse AG | 0.520% | 8/9/23 | 25,000 | 23,936 | |
Credit Suisse AG | 0.495% | 2/2/24 | 1,000 | 931 | ||
Credit Suisse AG | 4.750% | 8/9/24 | 3,800 | 3,700 | ||
3 | Credit Suisse AG | 3.625% | 9/9/24 | 1,000 | 953 | |
Credit Suisse AG | 3.700% | 2/21/25 | 3,500 | 3,286 | ||
3,8 | Credit Suisse AG | 1.500% | 4/10/26 | 2,400 | 2,119 | |
6 | Danske Bank A/S | 0.976% | 9/10/25 | 3,360 | 3,045 | |
6 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 22,250 | 21,899 | |
6 | F&G Global Funding | 0.900% | 9/20/24 | 2,244 | 2,042 | |
6 | F&G Global Funding | 1.750% | 6/30/26 | 2,361 | 2,050 | |
3 | First Republic Bank | 1.912% | 2/12/24 | 15,840 | 15,657 | |
6 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,000 | 4,957 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 4,300 | 4,293 | ||
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 8,000 | 7,957 | ||
Goldman Sachs Group Inc. | 0.523% | 3/8/23 | 16,000 | 15,752 | ||
3 | Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 15,630 | 15,533 | |
Goldman Sachs Group Inc. | 1.217% | 12/6/23 | 5,000 | 4,796 | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 15,000 | 14,792 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 10,000 | 9,770 | ||
3 | Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 24,950 | 23,768 | |
Goldman Sachs Group Inc. | 0.925% | 10/21/24 | 13,350 | 12,671 | ||
Goldman Sachs Group Inc. | 1.757% | 1/24/25 | 7,935 | 7,543 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 12,982 | 12,414 | ||
3,8 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 1,350 | 1,266 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 10,634 | 10,535 | ||
3 | HSBC Holdings plc | 3.950% | 5/18/24 | 14,505 | 14,321 | |
HSBC Holdings plc | 0.732% | 8/17/24 | 7,000 | 6,682 | ||
HSBC Holdings plc | 1.162% | 11/22/24 | 3,200 | 3,025 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 10,000 | 9,188 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 6,150 | 5,686 | ||
3 | HSBC Holdings plc | 1.645% | 4/18/26 | 2,385 | 2,123 | |
ING Groep NV | 4.100% | 10/2/23 | 2,150 | 2,122 | ||
Intercontinental Exchange Inc. | 3.650% | 5/23/25 | 7,800 | 7,546 | ||
Intercontinental Exchange Inc. | 4.000% | 9/15/27 | 5,000 | 4,741 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 1,000 | 994 | ||
3 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 61,290 | 60,665 | |
3 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 5,000 | 4,883 | |
3 | JPMorgan Chase & Co. | 3.797% | 7/23/24 | 12,460 | 12,302 | |
3 | JPMorgan Chase & Co. | 0.653% | 9/16/24 | 3,000 | 2,862 | |
3 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 23,163 | 22,798 | |
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 3,375 | 3,157 | ||
3 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 38,468 | 37,228 | |
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 5,720 | 5,293 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 7,500 | 6,940 | ||
3 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 2,767 | 2,595 | |
JPMorgan Chase & Co. | 1.561% | 12/10/25 | 15,000 | 13,753 | ||
JPMorgan Chase & Co. | 4.080% | 4/26/26 | 8,500 | 8,167 | ||
JPMorgan Chase & Co. | 4.851% | 7/25/28 | 8,000 | 7,676 | ||
3 | KeyBank NA | 3.375% | 3/7/23 | 4,000 | 3,982 | |
3 | KeyBank NA | 4.150% | 8/8/25 | 3,300 | 3,207 | |
6 | Kookmin Bank | 2.125% | 2/15/25 | 25,000 | 23,390 | |
Legg Mason Inc. | 3.950% | 7/15/24 | 5,000 | 4,894 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 5,000 | 4,943 | ||
3 | Lloyds Banking Group plc | 2.907% | 11/7/23 | 10,010 | 9,985 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Loews Corp. | 2.625% | 5/15/23 | 2,000 | 1,979 | ||
6 | LSEGA Financing plc | 0.650% | 4/6/24 | 4,135 | 3,875 | |
6 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 5,792 | 5,774 | |
6 | Macquarie Group Ltd. | 1.201% | 10/14/25 | 50,000 | 45,597 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 1,500 | 1,484 | ||
6 | Metropolitan Life Global Funding I | 0.400% | 1/7/24 | 4,210 | 3,980 | |
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 5,750 | 5,686 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 16,150 | 15,752 | ||
3 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 29,080 | 27,741 | |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 2,711 | 2,513 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 4,812 | 4,317 | ||
Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | 3,500 | 3,453 | ||
Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | 11,915 | 10,967 | ||
Mitsubishi UFJ Financial Group Inc. | 0.962% | 10/11/25 | 3,900 | 3,551 | ||
6 | Mizuho Bank Ltd. | 2.950% | 10/17/22 | 940 | 939 | |
6 | Mizuho Bank Ltd. | 3.500% | 3/21/23 | 4,550 | 4,528 | |
3 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 21,453 | 20,749 | |
3 | Morgan Stanley | 0.560% | 11/10/23 | 30,630 | 30,471 | |
3 | Morgan Stanley | 0.529% | 1/25/24 | 21,430 | 21,085 | |
Morgan Stanley | 0.731% | 4/5/24 | 6,960 | 6,795 | ||
3 | Morgan Stanley | 3.737% | 4/24/24 | 5,000 | 4,947 | |
3 | Morgan Stanley | 0.791% | 1/22/25 | 22,500 | 21,076 | |
Morgan Stanley | 3.620% | 4/17/25 | 10,000 | 9,710 | ||
Morgan Stanley | 0.790% | 5/30/25 | 16,600 | 15,282 | ||
3 | Morgan Stanley | 2.720% | 7/22/25 | 2,854 | 2,706 | |
3 | Morgan Stanley | 2.188% | 4/28/26 | 15,000 | 13,764 | |
8 | Morgan Stanley | 2.103% | 5/8/26 | 1,333 | 1,241 | |
Morgan Stanley | 4.679% | 7/17/26 | 6,000 | 5,841 | ||
6 | National Bank of Canada | 2.150% | 10/7/22 | 11,780 | 11,778 | |
3 | National Bank of Canada | 2.100% | 2/1/23 | 4,000 | 3,962 | |
3 | National Bank of Canada | 0.550% | 11/15/24 | 4,600 | 4,359 | |
6 | Nationwide Building Society | 2.000% | 1/27/23 | 4,625 | 4,587 | |
6 | Nationwide Building Society | 3.900% | 7/21/25 | 7,000 | 6,662 | |
6 | Nationwide Building Society | 1.000% | 8/28/25 | 2,870 | 2,517 | |
6 | NongHyup Bank | 0.875% | 7/28/24 | 20,000 | 18,626 | |
Northern Trust Corp. | 4.000% | 5/10/27 | 4,300 | 4,163 | ||
3 | PNC Bank NA | 3.500% | 6/8/23 | 5,165 | 5,131 | |
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 2,070 | 2,037 | ||
Progressive Corp. | 2.500% | 3/15/27 | 2,100 | 1,896 | ||
6 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 2,000 | 1,983 | |
3 | Royal Bank of Canada | 3.700% | 10/5/23 | 3,600 | 3,565 | |
3 | Royal Bank of Canada | 2.550% | 7/16/24 | 1,940 | 1,863 | |
3 | Royal Bank of Canada | 3.970% | 7/26/24 | 15,250 | 14,991 | |
3 | Royal Bank of Canada | 0.750% | 10/7/24 | 6,656 | 6,117 | |
3 | Royal Bank of Canada | 1.600% | 1/21/25 | 8,000 | 7,405 | |
Royal Bank of Canada | 3.375% | 4/14/25 | 7,600 | 7,310 | ||
Royal Bank of Canada | 1.200% | 4/27/26 | 4,960 | 4,320 | ||
3 | Royal Bank of Canada | 1.150% | 7/14/26 | 10,350 | 8,926 | |
Royal Bank of Canada | 3.625% | 5/4/27 | 2,100 | 1,953 | ||
6 | Security Benefit Global Funding | 1.250% | 5/17/24 | 14,420 | 13,420 | |
6 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 8,560 | 8,213 | |
6 | Skandinaviska Enskilda Banken AB | 0.650% | 9/9/24 | 15,000 | 13,770 | |
6 | Standard Chartered plc | 1.319% | 10/14/23 | 3,350 | 3,346 | |
State Street Corp. | 2.901% | 3/30/26 | 15,273 | 14,416 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 5,408 | 5,406 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 3,670 | 3,656 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 900 | 848 | ||
Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | 7,892 | 7,467 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 12,147 | 10,944 | ||
6 | Sumitomo Mitsui Trust Bank Ltd. | 2.550% | 3/10/25 | 3,450 | 3,234 | |
6 | Svenska Handelsbanken AB | 0.625% | 6/30/23 | 5,000 | 4,850 | |
6 | Svenska Handelsbanken AB | 0.550% | 6/11/24 | 28,500 | 26,523 | |
6 | Swedbank AB | 0.600% | 9/25/23 | 3,835 | 3,672 | |
3 | Toronto-Dominion Bank | 0.750% | 6/12/23 | 6,375 | 6,199 | |
3 | Toronto-Dominion Bank | 0.450% | 9/11/23 | 7,365 | 7,058 | |
Toronto-Dominion Bank | 0.550% | 3/4/24 | 4,730 | 4,447 | ||
3 | Toronto-Dominion Bank | 2.350% | 3/8/24 | 18,672 | 18,012 | |
3 | Toronto-Dominion Bank | 2.650% | 6/12/24 | 1,225 | 1,176 | |
3 | Toronto-Dominion Bank | 0.700% | 9/10/24 | 20,000 | 18,433 | |
3 | Toronto-Dominion Bank | 4.285% | 9/13/24 | 8,000 | 7,880 | |
Toronto-Dominion Bank | 3.766% | 6/6/25 | 15,500 | 14,976 | ||
3 | Toronto-Dominion Bank | 1.250% | 9/10/26 | 20,000 | 17,106 | |
3 | Truist Bank | 3.000% | 2/2/23 | 3,000 | 2,986 | |
3 | Truist Bank | 1.500% | 3/10/25 | 440 | 405 | |
3 | Truist Financial Corp. | 3.750% | 12/6/23 | 6,610 | 6,551 | |
3 | Truist Financial Corp. | 2.500% | 8/1/24 | 11,215 | 10,741 | |
6 | UBS AG | 0.375% | 6/1/23 | 12,000 | 11,652 | |
7,9 | UBS AG, 3M Australian Bank Bill Rate + 0.670% | 2.791% | 7/30/23 | 29,512 | 18,870 | |
3,7,9 | UBS AG, 3M Australian Bank Bill Rate + 0.870% | 2.991% | 7/30/25 | 15,000 | 9,559 | |
6 | UBS Group AG | 1.008% | 7/30/24 | 4,445 | 4,288 | |
3,8 | US Bancorp | 0.850% | 6/7/24 | 4,292 | 4,029 | |
US Bancorp | 4.548% | 7/22/28 | 19,400 | 18,749 | ||
Visa Inc. | 3.150% | 12/14/25 | 26,270 | 25,114 | ||
8 | Visa Inc. | 1.500% | 6/15/26 | 2,865 | 2,644 | |
3 | Wells Fargo & Co. | 3.750% | 1/24/24 | 16,850 | 16,596 | |
3,8 | Wells Fargo & Co. | 0.500% | 4/26/24 | 4,025 | 3,766 | |
3 | Wells Fargo & Co. | 1.654% | 6/2/24 | 19,270 | 18,815 | |
3 | Wells Fargo & Co. | 0.805% | 5/19/25 | 2,750 | 2,549 | |
3 | Wells Fargo & Co. | 3.550% | 9/29/25 | 3,788 | 3,607 | |
3 | Wells Fargo & Co. | 4.808% | 7/25/28 | 8,000 | 7,643 | |
6 | Westpac Banking Corp. | 1.552% | 9/30/26 | 11,090 | 9,818 | |
3,8 | Westpac Securities NZ Ltd. | 0.427% | 12/14/26 | 2,100 | 1,788 | |
1,972,861 | ||||||
Health Care (0.8%) | ||||||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 5,000 | 4,974 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 17,590 | 16,854 | ||
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 5,000 | 4,851 | ||
GlaxoSmithKline Capital plc | 0.534% | 10/1/23 | 6,125 | 5,885 | ||
6 | Roche Holdings Inc. | 1.882% | 3/8/24 | 20,000 | 19,302 | |
6 | Roche Holdings Inc. | 2.132% | 3/10/25 | 9,925 | 9,382 | |
3 | SSM Health Care Corp. | 3.688% | 6/1/23 | 5,985 | 5,947 | |
UnitedHealth Group Inc. | 0.550% | 5/15/24 | 4,800 | 4,498 | ||
UnitedHealth Group Inc. | 1.150% | 5/15/26 | 1,845 | 1,628 | ||
73,321 | ||||||
Industrials (1.7%) | ||||||
3M Co. | 2.650% | 4/15/25 | 900 | 850 | ||
3 | Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 6,120 | 5,820 | |
3 | Caterpillar Financial Services Corp. | 3.400% | 5/13/25 | 20,000 | 19,344 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Caterpillar Financial Services Corp. | 1.450% | 5/15/25 | 5,000 | 4,604 | |
Deere & Co. | 2.750% | 4/15/25 | 20,000 | 19,101 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 900 | 869 | ||
3 | John Deere Capital Corp. | 1.250% | 1/10/25 | 1,000 | 928 | |
3 | John Deere Capital Corp. | 2.125% | 3/7/25 | 13,570 | 12,769 | |
John Deere Capital Corp. | 3.400% | 6/6/25 | 8,315 | 8,040 | ||
3 | PACCAR Financial Corp. | 3.150% | 6/13/24 | 13,335 | 13,021 | |
3 | PACCAR Financial Corp. | 3.550% | 8/11/25 | 10,000 | 9,710 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 5,500 | 5,473 | ||
Rockwell Automation Inc. | 2.875% | 3/1/25 | 20,000 | 19,121 | ||
6 | Siemens Financieringsmaatschappij NV | 0.650% | 3/11/24 | 9,445 | 8,917 | |
6 | Siemens Financieringsmaatschappij NV | 3.250% | 5/27/25 | 31,218 | 29,904 | |
United Parcel Service Inc. | 3.900% | 4/1/25 | 900 | 884 | ||
159,355 | ||||||
Materials (0.1%) | ||||||
6 | Georgia-Pacific LLC | 0.625% | 5/15/24 | 15,265 | 14,176 | |
Real Estate (0.8%) | ||||||
Camden Property Trust | 2.950% | 12/15/22 | 3,080 | 3,070 | ||
Camden Property Trust | 4.250% | 1/15/24 | 3,890 | 3,840 | ||
Public Storage | 1.500% | 11/9/26 | 2,200 | 1,940 | ||
7 | Public Storage, SOFR + 0.470% | 2.789% | 4/23/24 | 6,465 | 6,426 | |
Realty Income Corp. | 4.600% | 2/6/24 | 2,500 | 2,491 | ||
Realty Income Corp. | 3.875% | 4/15/25 | 10,000 | 9,721 | ||
3,10 | Realty Income Corp. | 1.875% | 1/14/27 | 697 | 644 | |
10 | Realty Income Corp. | 1.125% | 7/13/27 | 1,300 | 1,130 | |
Simon Property Group LP | 2.750% | 6/1/23 | 1,970 | 1,946 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 9,346 | 9,210 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 6,140 | 5,802 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 16,740 | 16,242 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 10,000 | 9,549 | ||
72,011 | ||||||
Technology (1.3%) | ||||||
Analog Devices Inc. | 2.950% | 4/1/25 | 5,000 | 4,804 | ||
7 | Analog Devices Inc., SOFR + 0.250% | 1.780% | 10/1/24 | 25,000 | 24,547 | |
8 | Apple Inc. | 0.875% | 5/24/25 | 2,400 | 2,240 | |
8 | Apple Inc. | 1.625% | 11/10/26 | 2,117 | 1,967 | |
Intel Corp. | 3.400% | 3/25/25 | 5,000 | 4,848 | ||
Intuit Inc. | 0.950% | 7/15/25 | 5,000 | 4,508 | ||
NVIDIA Corp. | 0.584% | 6/14/24 | 74,836 | 69,949 | ||
PayPal Holdings Inc. | 2.400% | 10/1/24 | 6,100 | 5,827 | ||
TSMC Arizona Corp. | 3.875% | 4/22/27 | 4,166 | 3,970 | ||
122,660 | ||||||
Utilities (0.4%) | ||||||
Atlantic City Electric Co. | 3.375% | 9/1/24 | 15,000 | 14,561 | ||
Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | 2,565 | 2,523 | ||
3 | Duke Energy Carolinas NC Storm Funding LLC | 1.679% | 7/1/31 | 5,365 | 4,670 | |
Entergy Louisiana LLC | 0.620% | 11/17/23 | 7,645 | 7,316 | ||
Florida Power & Light Co. | 2.850% | 4/1/25 | 900 | 861 | ||
6 | Korea East-West Power Co. Ltd. | 3.600% | 5/6/25 | 3,565 | 3,436 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 8,500 | 8,378 | ||
Southern California Gas Co. | 3.150% | 9/15/24 | 1,100 | 1,066 | ||
42,811 | ||||||
Total Corporate Bonds (Cost $3,152,913) | 2,984,898 | |||||
Sovereign Bonds (4.7%) | ||||||
3 | Abu Dhabi National Energy Co. PJSC | 3.625% | 1/12/23 | 543 | 540 | |
3 | Arab Petroleum Investments Corp. | 4.125% | 9/18/23 | 5,882 | 5,861 | |
3,6 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,750 | 1,710 | |
Corp. Andina de Fomento | 2.375% | 5/12/23 | 10,000 | 9,852 | ||
Corp. Andina de Fomento | 1.250% | 10/26/24 | 24,000 | 22,271 | ||
3,6,11 | Dexia Credit Local SA | 3.250% | 9/26/23 | 50,000 | 49,370 | |
3 | Emirate of Abu Dhabi | 2.500% | 10/11/22 | 17,000 | 16,982 | |
Equinor ASA | 2.650% | 1/15/24 | 2,000 | 1,947 | ||
Equinor ASA | 1.750% | 1/22/26 | 5,000 | 4,503 | ||
Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,400 | 2,397 | ||
Export-Import Bank of Korea | 4.000% | 9/15/24 | 33,333 | 32,951 | ||
Export-Import Bank of Korea | 1.250% | 1/18/25 | 80,000 | 73,960 | ||
Export-Import Bank of Korea | 3.250% | 11/10/25 | 25,000 | 23,873 | ||
3,12 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 5,000 | 4,839 | |
Korea Development Bank | 0.500% | 10/27/23 | 24,000 | 23,022 | ||
Korea Development Bank | 3.750% | 1/22/24 | 10,000 | 9,898 | ||
3 | Korea Development Bank | 1.750% | 2/18/25 | 7,000 | 6,529 | |
Korea Development Bank | 2.000% | 2/24/25 | 20,000 | 18,750 | ||
3,6 | Korea Electric Power Corp. | 3.625% | 6/14/25 | 18,667 | 17,969 | |
3,6 | Korea National Oil Corp. | 1.750% | 4/18/25 | 24,000 | 22,080 | |
3 | Korea National Oil Corp. | 0.875% | 10/5/25 | 5,000 | 4,407 | |
3,6 | Qatar Energy | 1.375% | 9/12/26 | 7,798 | 6,792 | |
Republic of Chile | 2.250% | 10/30/22 | 6,803 | 6,786 | ||
3 | Republic of Chile | 2.750% | 1/31/27 | 29,137 | 26,279 | |
3 | Republic of Slovenia | 5.500% | 10/26/22 | 303 | 302 | |
3,6 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 3,000 | 2,882 | |
3 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 14,850 | 14,367 | |
3 | State of Qatar | 3.875% | 4/23/23 | 10,734 | 10,690 | |
3,6 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 4,971 | |
3,6 | Tokyo Metropolitan Government | 0.750% | 7/16/25 | 21,000 | 18,797 | |
Total Sovereign Bonds (Cost $470,425) | 445,577 | |||||
Taxable Municipal Bonds (0.8%) | ||||||
Florida State Board of Administration Finance Corp. Revenue | 1.258% | 7/1/25 | 56,750 | 51,378 | ||
University of California Revenue | 0.883% | 5/15/25 | 27,000 | 24,580 | ||
Total Taxable Municipal Bonds (Cost $83,750) | 75,958 | |||||
Shares | ||||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
13 | Vanguard Market Liquidity Fund (Cost $147,342) | 2.828% | 1,473,896 | 147,345 | ||
Total Investments (100.4%) (Cost $9,956,635) | 9,526,361 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.1%) | ||||||
3,4,5 | UMBS Pool | 2.000% | 10/25/52 | (53,500) | (43,193) | |
3,4,5 | UMBS Pool | 3.000% | 10/25/52–11/25/52 | (73,000) | (63,455) | |
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $112,595) | (106,648) | |||||
Other Assets and Liabilities—Net (0.7%) | 67,830 | |||||
Net Assets (100%) | 9,487,543 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $8,313,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $2,448,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2022. |
6 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $1,449,988,000, representing 15.3% of net assets. |
7 | 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. |
8 | Face amount denominated in euro. |
9 | Face amount denominated in Australian dollars. |
10 | Face amount denominated in British pounds. |
11 | Guaranteed by multiple countries. |
12 | Guaranteed by the Government of Japan. |
13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SOFR—Secured Overnight Financing Rate. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 5,444 | 1,118,146 | (15,336) |
10-Year U.S. Treasury Note | December 2022 | 284 | 31,826 | (1,581) |
Long U.S. Treasury Bond | December 2022 | 132 | 16,686 | (457) |
(17,374) | ||||
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | December 2022 | (120) | (12,901) | 87 |
Euro-Bobl | December 2022 | (168) | (19,717) | 581 |
Euro-Schatz | December 2022 | (191) | (20,060) | 215 |
Long Gilt | December 2022 | (9) | (969) | 135 |
Ultra 10-Year U.S. Treasury Note | December 2022 | (457) | (54,147) | 2,304 |
3,322 | ||||
(14,052) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 11/2/22 | EUR | 1,114 | USD | 1,116 | — | (22) |
Credit Agricole CIB | 11/2/22 | EUR | 521 | USD | 505 | 6 | — |
Morgan Stanley Capital Services LLC | 11/2/22 | EUR | 491 | USD | 493 | — | (10) |
Credit Agricole CIB | 11/2/22 | USD | 84,302 | AUD | 125,160 | 4,216 | — |
State Street Bank & Trust Co. | 10/27/22 | USD | 53,305 | EUR | 53,093 | 1,187 | — |
Standard Chartered Bank | 10/13/22 | USD | 2,303 | GBP | 1,984 | 87 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 360 | GBP | 313 | 11 | — |
5,507 | (32) |
AUD—Australian dollar. |
EUR—euro. |
GBP—British pound. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Corp. Nacional del Cobre de Chile/A3 | 12/20/22 | MSCS | 15,000 | 1.000 | (1) | 12 | — | (13) |
Republic of Chile/A2 | 12/20/27 | MSCS | 1,920 | 1.000 | (59) | (43) | — | (16) |
(60) | (31) | — | (29) |
1 Periodic premium received/paid quarterly. |
MSCS—Morgan Stanley Capital Services LLC. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $9,809,293) | 9,379,016 |
Affiliated Issuers (Cost $147,342) | 147,345 |
Total Investments in Securities | 9,526,361 |
Investment in Vanguard | 357 |
Cash | 1,520 |
Foreign Currency, at Value (Cost $1,430) | 1,407 |
Receivables for Investment Securities Sold | 137,163 |
Receivables for Accrued Income | 37,960 |
Swap Premiums Paid | 12 |
Unrealized Appreciation—Forward Currency Contracts | 5,507 |
Total Assets | 9,710,287 |
Liabilities | |
Liability for Sale Commitments, at Value (Proceeds $112,595) | 106,648 |
Payables for Investment Securities Purchased | 115,600 |
Payables to Vanguard | 78 |
Swap Premiums Received | 43 |
Variation Margin Payable—Futures Contracts | 314 |
Unrealized Depreciation—Forward Currency Contracts | 32 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 29 |
Total Liabilities | 222,744 |
Net Assets | 9,487,543 |
At September 30, 2022, net assets consisted of: | |
Paid-in Capital | 10,064,521 |
Total Distributable Earnings (Loss) | (576,978) |
Net Assets | 9,487,543 |
Net Assets | |
Applicable to 729,999,841 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,487,543 |
Net Asset Value Per Share | $13.00 |
Year Ended September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 132,730 |
Total Income | 132,730 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 626 |
Management and Administrative | 1,073 |
Marketing and Distribution | 154 |
Custodian Fees | 41 |
Auditing Fees | 32 |
Shareholders’ Reports | 17 |
Trustees’ Fees and Expenses | 4 |
Other Expenses | 14 |
Total Expenses | 1,961 |
Expenses Paid Indirectly | (16) |
Net Expenses | 1,945 |
Net Investment Income | 130,785 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (126,269) |
Futures Contracts | (42,059) |
Swap Contracts | 4,951 |
Forward Currency Contracts | 17,320 |
Foreign Currencies | 782 |
Realized Net Gain (Loss) | (145,275) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (463,575) |
Futures Contracts | (13,272) |
Swap Contracts | (1,782) |
Forward Currency Contracts | 3,547 |
Foreign Currencies | (45) |
Change in Unrealized Appreciation (Depreciation) | (475,127) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (489,617) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,504,000, ($78,000), $2,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended September 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 130,785 | 108,485 |
Realized Net Gain (Loss) | (145,275) | 75,966 |
Change in Unrealized Appreciation (Depreciation) | (475,127) | (121,476) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (489,617) | 62,975 |
Distributions | ||
Total Distributions | (190,845) | (140,615) |
Capital Share Transactions | ||
Issued | 992,071 | 2,387,279 |
Issued in Lieu of Cash Distributions | 190,845 | 140,615 |
Redeemed | (664,216) | (1,057,380) |
Net Increase (Decrease) from Capital Share Transactions | 518,700 | 1,470,514 |
Total Increase (Decrease) | (161,762) | 1,392,874 |
Net Assets | ||
Beginning of Period | 9,649,305 | 8,256,431 |
End of Period | 9,487,543 | 9,649,305 |
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $13.94 | $14.06 | $13.82 | $13.55 | $13.75 |
Investment Operations | |||||
Net Investment Income1 | .181 | .165 | .316 | .373 | .293 |
Net Realized and Unrealized Gain (Loss) on Investments | (.855) | (.070) | .244 | .271 | (.202) |
Total from Investment Operations | (.674) | .095 | .560 | .644 | .091 |
Distributions | |||||
Dividends from Net Investment Income | (.177) | (.165) | (.320) | (.374) | (.291) |
Distributions from Realized Capital Gains | (.089) | (.050) | — | — | — |
Total Distributions | (.266) | (.215) | (.320) | (.374) | (.291) |
Net Asset Value, End of Period | $13.00 | $13.94 | $14.06 | $13.82 | $13.55 |
Total Return | -4.89% | 0.68% | 4.10% | 4.81% | 0.67% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $9,488 | $9,649 | $8,256 | $7,781 | $7,796 |
Ratio of Total Expenses to Average Net Assets | 0.02%2 | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.18% | 2.27% | 2.73% | 2.15% |
Portfolio Turnover Rate | 122%3 | 134%3 | 118% | 83% | 118%4 |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.02%. |
3 | Includes 5% and 16%, respectively, attributable to mortgage-dollar-roll activity. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 2,662,392 | — | 2,662,392 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 3,210,191 | — | 3,210,191 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Corporate Bonds | — | 2,984,898 | — | 2,984,898 |
Sovereign Bonds | — | 445,577 | — | 445,577 |
Taxable Municipal Bonds | — | 75,958 | — | 75,958 |
Temporary Cash Investments | 147,345 | — | — | 147,345 |
Total | 147,345 | 9,379,016 | — | 9,526,361 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 106,648 | — | 106,648 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,322 | — | — | 3,322 |
Forward Currency Contracts | — | 5,507 | — | 5,507 |
Total | 3,322 | 5,507 | — | 8,829 |
Liabilities | ||||
Futures Contracts1 | 17,374 | — | — | 17,374 |
Forward Currency Contracts | — | 32 | — | 32 |
Swap Contracts | — | 29 | — | 29 |
Total | 17,374 | 61 | — | 17,435 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Paid | — | — | 12 | 12 |
Unrealized Appreciation—Futures Contracts1 | 3,322 | — | — | 3,322 |
Unrealized Appreciation—Forward Currency Contracts | — | 5,507 | — | 5,507 |
Total Assets | 3,322 | 5,507 | 12 | 8,841 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Received | — | — | 43 | 43 |
Unrealized Depreciation—Futures Contracts1 | 17,374 | — | — | 17,374 |
Unrealized Depreciation—Forward Currency Contracts | — | 32 | — | 32 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 29 | 29 |
Total Liabilities | 17,374 | 32 | 72 | 17,478 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (42,059) | — | — | (42,059) |
Swap Contracts | 4,872 | — | 79 | 4,951 |
Forward Currency Contracts | — | 17,320 | — | 17,320 |
Realized Net Gain (Loss) on Derivatives | (37,187) | 17,320 | 79 | (19,788) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (13,272) | — | — | (13,272) |
Swap Contracts | (1,815) | — | 33 | (1,782) |
Forward Currency Contracts | — | 3,547 | — | 3,547 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (15,087) | 3,547 | 33 | (11,507) |
Amount ($000) | |
Undistributed Ordinary Income | 1,088 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (176,754) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (401,312) |
Year Ended September 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 145,800 | 112,001 |
Long-Term Capital Gains | 45,045 | 28,614 |
Total | 190,845 | 140,615 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 9,933,560 |
Gross Unrealized Appreciation | 23,366 |
Gross Unrealized Depreciation | (424,678) |
Net Unrealized Appreciation (Depreciation) | (401,312) |
Year Ended September 30, | ||||
2022 Shares (000) | 2021 Shares (000) | |||
Issued | 72,497 | 170,433 | ||
Issued in Lieu of Cash Distributions | 14,142 | 10,049 | ||
Redeemed | (48,766) | (75,571) | ||
Net Increase (Decrease) in Shares Outstanding | 37,873 | 104,911 |
Average Annual Total Returns Periods Ended September 30, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000,000 Investment | ||
Institutional Intermediate-Term Bond Fund Institutional Plus Shares | -9.93% | 0.38% | 1.02% | $11,071,748 | |
Bloomberg U.S. Intermediate Aggregate ex Baa Index | -11.33 | -0.15 | 0.71 | 10,736,870 | |
Bloomberg U.S. Aggregate Bond Index | -14.60 | -0.27 | 0.89 | 10,926,793 |
Asset-Backed/Commercial Mortgage-Backed Securities | 14.2% |
Corporate Bonds | 26.7 |
Sovereign Bonds | 2.9 |
Taxable Municipal Bonds | 0.9 |
U.S. Government and Agency Obligations | 55.3 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (52.8%) | ||||||
U.S. Government Securities (26.3%) | ||||||
United States Treasury Note/Bond | 0.500% | 3/15/23 | 175,000 | 172,348 | ||
United States Treasury Note/Bond | 0.250% | 6/15/23 | 303,000 | 294,857 | ||
1 | United States Treasury Note/Bond | 0.125% | 10/15/23 | 300,000 | 287,344 | |
United States Treasury Note/Bond | 0.250% | 11/15/23 | 400,000 | 382,250 | ||
United States Treasury Note/Bond | 0.500% | 11/30/23 | 57,000 | 54,542 | ||
2,3 | United States Treasury Note/Bond | 2.500% | 4/30/24 | 843,000 | 819,291 | |
United States Treasury Note/Bond | 0.250% | 5/15/24 | 100,000 | 93,656 | ||
United States Treasury Note/Bond | 2.500% | 5/31/24 | 26,000 | 25,244 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 98,000 | 91,507 | ||
United States Treasury Note/Bond | 3.000% | 6/30/24 | 173,000 | 169,216 | ||
United States Treasury Note/Bond | 3.000% | 7/31/24 | 685,000 | 669,694 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 400,000 | 372,000 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 100,000 | 92,719 | ||
United States Treasury Note/Bond | 0.750% | 11/15/24 | 49,500 | 45,981 | ||
United States Treasury Note/Bond | 1.000% | 12/15/24 | 62,300 | 58,036 | ||
United States Treasury Note/Bond | 1.750% | 12/31/24 | 75,000 | 71,039 | ||
United States Treasury Note/Bond | 1.375% | 1/31/25 | 62,500 | 58,516 | ||
United States Treasury Note/Bond | 1.500% | 2/15/25 | 250,500 | 234,765 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 160,000 | 150,625 | ||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 330,000 | 316,852 | ||
United States Treasury Note/Bond | 0.375% | 4/30/25 | 146,000 | 132,221 | ||
United States Treasury Note/Bond | 2.750% | 5/15/25 | 135,640 | 130,511 | ||
2 | United States Treasury Note/Bond | 2.875% | 6/15/25 | 460,000 | 443,612 | |
United States Treasury Note/Bond | 0.250% | 7/31/25 | 400,000 | 357,438 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 165,000 | 159,947 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 300,000 | 267,187 | ||
2 | United States Treasury Note/Bond | 0.250% | 10/31/25 | 500,000 | 442,656 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 278,200 | 261,943 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 150,000 | 132,352 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 100,000 | 88,328 | ||
United States Treasury Note/Bond | 0.875% | 6/30/26 | 300,000 | 265,594 | ||
United States Treasury Note/Bond | 0.625% | 7/31/26 | 200,000 | 174,969 | ||
United States Treasury Note/Bond | 0.875% | 9/30/26 | 184,800 | 162,595 | ||
United States Treasury Note/Bond | 1.125% | 10/31/26 | 381,400 | 338,195 | ||
United States Treasury Note/Bond | 1.250% | 12/31/26 | 58,000 | 51,520 | ||
United States Treasury Note/Bond | 1.500% | 1/31/27 | 22,000 | 19,724 | ||
United States Treasury Note/Bond | 2.750% | 7/31/27 | 75,000 | 70,629 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 3.250% | 6/30/29 | 500 | 478 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 25,000 | 23,125 | ||
7,983,506 | ||||||
Agency Bonds and Notes (0.1%) | ||||||
Federal Home Loan Banks | 3.125% | 6/13/25 | 6,300 | 6,106 | ||
Federal Home Loan Banks | 3.125% | 9/12/25 | 7,050 | 6,818 | ||
Federal Home Loan Banks | 2.500% | 12/10/27 | 8,450 | 7,803 | ||
Federal Home Loan Banks | 3.250% | 6/9/28 | 2,100 | 2,004 | ||
4 | Tennessee Valley Authority | 2.875% | 2/1/27 | 1,280 | 1,213 | |
��� | 23,944 | |||||
Conventional Mortgage-Backed Securities (26.4%) | ||||||
4,5 | Fannie Mae Pool | 3.000% | 3/1/43–3/1/48 | 14,491 | 12,512 | |
4,5 | Fannie Mae Pool | 3.500% | 7/1/47–2/1/50 | 23,654 | 21,122 | |
4,5 | Fannie Mae Pool | 5.000% | 10/1/49 | 564 | 538 | |
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–1/1/32 | 2,375 | 2,143 | |
4,5 | Freddie Mac Gold Pool | 2.500% | 1/1/43–3/1/47 | 1,753 | 1,507 | |
4,5 | Freddie Mac Gold Pool | 3.000% | 8/1/32–8/1/47 | 139,113 | 123,067 | |
4,5 | Freddie Mac Gold Pool | 3.500% | 8/1/32–2/1/50 | 98,304 | 89,034 | |
4,5 | Freddie Mac Gold Pool | 4.000% | 7/1/29–12/1/49 | 28,157 | 26,425 | |
4,5 | Freddie Mac Gold Pool | 4.500% | 5/1/39–2/1/49 | 28,519 | 27,813 | |
4,5 | Freddie Mac Gold Pool | 5.000% | 7/1/39–2/1/49 | 3,819 | 3,882 | |
4,5 | Freddie Mac Gold Pool | 5.500% | 5/1/40 | 1,592 | 1,642 | |
4,5 | Freddie Mac Gold Pool | 6.000% | 6/1/37–3/1/39 | 496 | 496 | |
4,5 | Freddie Mac Gold Pool | 6.500% | 5/1/37 | 37 | 39 | |
4,5 | Freddie Mac Gold Pool | 7.000% | 5/1/38 | 45 | 45 | |
4 | Ginnie Mae I Pool | 2.500% | 1/15/43–6/15/43 | 531 | 456 | |
4 | Ginnie Mae I Pool | 3.000% | 9/15/42–8/15/45 | 13,116 | 11,756 | |
4 | Ginnie Mae I Pool | 3.500% | 1/15/42–6/15/47 | 18,628 | 17,202 | |
4 | Ginnie Mae I Pool | 4.000% | 4/15/39–12/15/46 | 2,527 | 2,425 | |
4 | Ginnie Mae I Pool | 4.500% | 2/15/39–12/15/46 | 12,744 | 12,560 | |
4 | Ginnie Mae I Pool | 5.000% | 2/15/40–9/15/41 | 485 | 493 | |
4 | Ginnie Mae I Pool | 5.500% | 3/15/40–2/15/41 | 137 | 136 | |
4 | Ginnie Mae I Pool | 6.000% | 5/15/36–3/15/40 | 807 | 839 | |
4 | Ginnie Mae II Pool | 2.000% | 11/20/50–8/20/51 | 382,246 | 318,130 | |
4,6 | Ginnie Mae II Pool | 2.500% | 3/20/43–10/15/52 | 327,663 | 273,912 | |
4,6 | Ginnie Mae II Pool | 3.000% | 3/20/27–11/15/52 | 399,235 | 351,818 | |
4,6 | Ginnie Mae II Pool | 3.500% | 6/20/42–11/15/52 | 276,064 | 253,958 | |
4,6 | Ginnie Mae II Pool | 4.000% | 2/20/34–10/15/52 | 292,569 | 274,644 | |
4,6 | Ginnie Mae II Pool | 4.500% | 12/20/45–10/15/52 | 107,242 | 103,724 | |
4 | Ginnie Mae II Pool | 5.000% | 4/20/40–11/20/49 | 13,788 | 13,872 | |
4 | Ginnie Mae II Pool | 5.500% | 4/20/40 | 63 | 63 | |
4 | Ginnie Mae II Pool | 6.000% | 2/20/41 | 5 | 5 | |
4,5,6 | UMBS Pool | 1.500% | 12/1/36–4/1/52 | 274,632 | 213,592 | |
4,5,6 | UMBS Pool | 2.000% | 5/1/28–11/25/52 | 1,446,621 | 1,191,012 | |
4,5,6 | UMBS Pool | 2.500% | 2/1/36–11/25/52 | 2,314,769 | 1,971,827 | |
4,5,6 | UMBS Pool | 3.500% | 11/1/31–11/25/52 | 307,508 | 282,083 | |
4,5,6 | UMBS Pool | 4.000% | 5/1/32–11/25/52 | 469,602 | 446,342 | |
4,5,6 | UMBS Pool | 4.500% | 12/1/39–11/25/52 | 282,873 | 271,714 | |
4,5,6 | UMBS Pool | 5.000% | 6/1/39–10/25/52 | 172,269 | 169,317 | |
4,5,6 | UMBS Pool | 5.500% | 12/1/38–10/25/52 | 889,711 | 884,475 | |
4,5,6 | UMBS Pool | 6.000% | 10/1/39–10/25/52 | 603,239 | 611,926 | |
4,5 | UMBS Pool | 6.500% | 9/1/36–4/1/39 | 159 | 174 | |
4,5 | UMBS Pool | 7.000% | 10/1/37–9/1/38 | 169 | 178 | |
7,988,898 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
4,5 | Freddie Mac REMICS | 2.000% | 1/25/52 | 10,371 | 6,330 | |
4 | Ginnie Mae REMICS | 2.000% | 2/20/51 | 8,519 | 7,765 | |
14,095 | ||||||
Total U.S. Government and Agency Obligations (Cost $17,336,967) | 16,010,443 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (13.5%) | ||||||
4 | Ally Auto Receivables Trust Series 2019-1 | 3.020% | 4/15/24 | 3,174 | 3,174 | |
4 | Ally Auto Receivables Trust Series 2019-3 | 1.930% | 5/15/24 | 1,580 | 1,577 | |
4 | Ally Auto Receivables Trust Series 2022-1 | 3.310% | 11/15/26 | 16,420 | 16,087 | |
4 | Ally Auto Receivables Trust Series 2022-1 | 3.450% | 6/15/27 | 8,070 | 7,760 | |
4 | American Express Credit Account Master Trust Series 2022-2 | 3.390% | 5/15/27 | 34,970 | 33,884 | |
4 | American Express Credit Account Master Trust Series 2022-3 | 3.750% | 8/15/27 | 59,360 | 57,954 | |
4 | AmeriCredit Automobile Receivables Trust Series 2020-2 | 0.660% | 12/18/24 | 1,170 | 1,163 | |
4 | AmeriCredit Automobile Receivables Trust Series 2021-1 | 0.370% | 8/18/25 | 12,593 | 12,388 | |
4 | AmeriCredit Automobile Receivables Trust Series 2021-3 | 0.760% | 8/18/26 | 11,490 | 11,047 | |
4 | AmeriCredit Automobile Receivables Trust Series 2022-1 | 2.450% | 11/18/26 | 7,680 | 7,393 | |
4,7 | ARI Fleet Lease Trust Series 2022-A | 3.120% | 1/15/31 | 5,960 | 5,846 | |
4,7 | ARI Fleet Lease Trust Series 2022-A | 3.430% | 1/15/31 | 3,300 | 3,156 | |
4,7 | Aventura Mall Trust Series 2018-AVM | 4.249% | 7/5/40 | 160 | 147 | |
4 | BA Credit Card Trust Series 2021-A1 | 0.440% | 9/15/26 | 8,120 | 7,637 | |
4 | BA Credit Card Trust Series 2022-A1 | 3.530% | 11/15/27 | 17,100 | 16,641 | |
4 | Banc of America Commercial Mortgage Trust Series 2015-UBS7 | 3.441% | 9/15/48 | 7,333 | 6,950 | |
4 | BANK Series 2017-BNK4 | 3.625% | 5/15/50 | 280 | 263 | |
4 | BANK Series 2017-BNK6 | 3.254% | 7/15/60 | 4,580 | 4,250 | |
4 | BANK Series 2017-BNK6 | 3.518% | 7/15/60 | 1,110 | 1,037 | |
4 | BANK Series 2017-BNK6 | 3.741% | 7/15/60 | 440 | 404 | |
4 | BANK Series 2017-BNK7 | 3.175% | 9/15/60 | 13,570 | 12,370 | |
4 | BANK Series 2017-BNK7 | 3.435% | 9/15/60 | 1,190 | 1,105 | |
4 | BANK Series 2017-BNK8 | 3.488% | 11/15/50 | 4,170 | 3,856 | |
4 | BANK Series 2017-BNK9 | 3.538% | 11/15/54 | 3,700 | 3,430 | |
4 | BANK Series 2018-BNK10 | 3.641% | 2/15/61 | 1,030 | 986 | |
4 | BANK Series 2018-BNK12 | 4.255% | 5/15/61 | 780 | 744 | |
4 | BANK Series 2018-BNK14 | 4.185% | 9/15/60 | 160 | 154 | |
4 | BANK Series 2018-BNK14 | 4.231% | 9/15/60 | 1,055 | 1,007 | |
4 | BANK Series 2019-BNK17 | 3.623% | 4/15/52 | 285 | 268 | |
4 | BANK Series 2019-BNK17 | 3.714% | 4/15/52 | 4,459 | 4,112 | |
4 | BANK Series 2019-BNK19 | 3.183% | 8/15/61 | 3,910 | 3,468 | |
4 | BANK Series 2019-BNK20 | 3.011% | 9/15/62 | 7,180 | 6,294 | |
4 | BANK Series 2019-BNK23 | 2.846% | 12/15/52 | 1,900 | 1,723 | |
4 | BANK Series 2019-BNK23 | 2.920% | 12/15/52 | 11,780 | 10,154 | |
4 | BANK Series 2019-BNK24 | 2.960% | 11/15/62 | 17,620 | 15,332 | |
4 | BANK Series 2020-BNK28 | 1.725% | 3/15/63 | 7,000 | 5,955 | |
4 | BANK Series 2020-BNK30 | 1.673% | 12/15/53 | 5,050 | 4,242 | |
4 | BANK Series 2022-BNK40 | 3.507% | 3/15/64 | 3,880 | 3,401 | |
4 | BANK Series 2022-BNK43 | 4.399% | 8/15/55 | 9,800 | 9,283 | |
4 | Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3 | 3.574% | 2/15/50 | 330 | 310 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Barclays Commercial Mortgage Trust Series 2019-C5 | 3.063% | 11/15/52 | 13,010 | 11,348 | |
4 | BBCMS Mortgage Trust Series 2020-C6 | 2.639% | 2/15/53 | 2,515 | 2,121 | |
4 | BBCMS Mortgage Trust Series 2020-C8 | 1.867% | 10/15/53 | 5,880 | 5,019 | |
4 | BBCMS Mortgage Trust Series 2022-C16 | 4.600% | 6/15/55 | 5,750 | 5,536 | |
4 | BBCMS Mortgage Trust Series 2022-C17 | 4.441% | 9/15/55 | 5,750 | 5,466 | |
4 | BBCMS Trust Series 2021-C10 | 2.492% | 7/15/54 | 5,750 | 4,723 | |
4 | Benchmark Mortgage Trust Series 2018-B1 | 3.666% | 1/15/51 | 4,070 | 3,782 | |
4 | Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | 1,360 | 1,253 | |
4 | Benchmark Mortgage Trust Series 2018-B2 | 3.882% | 2/15/51 | 4,440 | 4,159 | |
4 | Benchmark Mortgage Trust Series 2018-B8 | 3.963% | 1/15/52 | 1,100 | 1,045 | |
4 | Benchmark Mortgage Trust Series 2019-B10 | 3.615% | 3/15/62 | 305 | 287 | |
4 | Benchmark Mortgage Trust Series 2019-B15 | 2.859% | 12/15/72 | 5,250 | 4,761 | |
4 | Benchmark Mortgage Trust Series 2019-B15 | 2.928% | 12/15/72 | 6,000 | 5,162 | |
4 | Benchmark Mortgage Trust Series 2020-B19 | 1.745% | 9/15/53 | 7,163 | 6,052 | |
4 | Benchmark Mortgage Trust Series 2020-B21 | 1.798% | 12/17/53 | 4,400 | 3,715 | |
4 | Benchmark Mortgage Trust Series 2020-B22 | 1.731% | 1/15/54 | 4,550 | 3,817 | |
4 | Benchmark Mortgage Trust Series 2022-B34 | 3.961% | 4/15/55 | 3,221 | 2,998 | |
4 | Benchmark Mortgage Trust Series 2022-B36 | 4.470% | 7/15/55 | 11,500 | 10,915 | |
4 | BMW Vehicle Owner Trust Series 2019-A | 1.920% | 1/25/24 | 1,288 | 1,286 | |
4 | BMW Vehicle Owner Trust Series 2020-A | 0.620% | 4/26/27 | 2,720 | 2,599 | |
4 | BMW Vehicle Owner Trust Series 2022-A | 3.440% | 12/26/28 | 11,800 | 11,292 | |
4,8 | Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 3.797% | 2/25/30 | 222 | 222 | |
4,7 | BX Trust Series 2019-OC11 | 3.202% | 12/9/41 | 5,550 | 4,645 | |
4,7 | Canadian Pacer Auto Receivables Trust Series 2019-1A | 2.960% | 6/19/24 | 1,228 | 1,222 | |
4,7 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.830% | 7/19/24 | 3,114 | 3,082 | |
4,7 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.890% | 3/19/25 | 1,840 | 1,780 | |
4,7 | Canadian Pacer Auto Receivables Trust Series 2021-1A | 0.500% | 10/20/25 | 15,590 | 14,930 | |
4 | Cantor Commercial Real Estate Lending Series 2019-CF3 | 3.006% | 1/15/53 | 6,000 | 5,169 | |
4 | Capital One Multi-Asset Execution Trust Series 2019-A3 | 2.060% | 8/15/28 | 22,300 | 20,261 | |
4 | Capital One Multi-Asset Execution Trust Series 2021-A3 | 1.040% | 11/15/26 | 39,720 | 36,924 | |
4 | Capital One Multi-Asset Execution Trust Series 2022-A1 | 2.800% | 3/15/27 | 21,580 | 20,734 | |
4 | Capital One Multi-Asset Execution Trust Series 2022-A2 | 3.490% | 5/15/27 | 52,660 | 51,064 | |
4 | Capital One Prime Auto Receivables Trust Series 2019-1 | 2.560% | 10/15/24 | 3,923 | 3,910 | |
4 | Capital One Prime Auto Receivables Trust Series 2020-1 | 1.630% | 8/15/25 | 3,550 | 3,446 | |
4 | Capital One Prime Auto Receivables Trust Series 2021-1 | 0.770% | 9/15/26 | 15,280 | 14,442 | |
4 | Capital One Prime Auto Receivables Trust Series 2021-1 | 1.040% | 4/15/27 | 10,950 | 9,887 | |
4 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.660% | 5/17/27 | 3,400 | 3,325 | |
4 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.690% | 12/15/27 | 2,000 | 1,927 | |
4,7 | CARDS II Trust Series 2021-1A | 0.602% | 4/15/27 | 28,920 | 27,225 | |
4 | CarMax Auto Owner Trust Series 2018-4 | 3.480% | 2/15/24 | 2,599 | 2,600 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | CarMax Auto Owner Trust Series 2019-3 | 2.300% | 4/15/25 | 5,000 | 4,902 | |
4 | CarMax Auto Owner Trust Series 2019-4 | 2.130% | 7/15/25 | 4,790 | 4,679 | |
4 | CarMax Auto Owner Trust Series 2020-1 | 2.030% | 6/16/25 | 3,040 | 2,953 | |
4 | CarMax Auto Owner Trust Series 2020-3 | 0.770% | 3/16/26 | 2,940 | 2,805 | |
4 | CarMax Auto Owner Trust Series 2021-2 | 0.520% | 2/17/26 | 13,880 | 13,439 | |
4 | CarMax Auto Owner Trust Series 2021-2 | 0.810% | 12/15/26 | 5,340 | 4,923 | |
4 | CarMax Auto Owner Trust Series 2021-3 | 0.550% | 6/15/26 | 12,610 | 12,011 | |
4 | CarMax Auto Owner Trust Series 2021-4 | 0.560% | 9/15/26 | 20,680 | 19,754 | |
4 | CarMax Auto Owner Trust Series 2022-1 | 1.470% | 12/15/26 | 12,840 | 12,325 | |
4 | CarMax Auto Owner Trust Series 2022-1 | 1.700% | 8/16/27 | 10,070 | 9,224 | |
4 | CarMax Auto Owner Trust Series 2022-2 | 3.490% | 2/16/27 | 9,660 | 9,454 | |
4 | CarMax Auto Owner Trust Series 2022-2 | 3.620% | 9/15/27 | 9,600 | 9,301 | |
4 | Carvana Auto Receivables Trust Series 2020-P1 | 0.610% | 10/8/26 | 2,650 | 2,485 | |
4 | Carvana Auto Receivables Trust Series 2021-P3 | 0.700% | 11/10/26 | 17,410 | 16,379 | |
4 | Carvana Auto Receivables Trust Series 2021-P3 | 1.030% | 6/10/27 | 8,360 | 7,454 | |
4 | Carvana Auto Receivables Trust Series 2022-P1 | 3.350% | 2/10/27 | 6,500 | 6,318 | |
4 | CCUBS Commercial Mortgage Trust Series 2017-C1 | 3.283% | 11/15/50 | 5,000 | 4,615 | |
4 | CD Mortgage Trust Series 2016-CD1 | 2.459% | 8/10/49 | 15,263 | 14,101 | |
4 | CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | 2,710 | 2,466 | |
4 | CD Mortgage Trust Series 2016-CD1 | 2.926% | 8/10/49 | 1,360 | 1,218 | |
4 | CD Mortgage Trust Series 2017-CD3 | 3.631% | 2/10/50 | 1,250 | 1,172 | |
4 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 480 | 449 | |
4 | CD Mortgage Trust Series 2017-CD5 | 3.684% | 8/15/50 | 320 | 294 | |
4 | CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | 785 | 729 | |
4 | CD Mortgage Trust Series 2017-CD6 | 3.709% | 11/13/50 | 3,350 | 3,055 | |
4 | CD Mortgage Trust Series 2018-CD7 | 4.013% | 8/15/51 | 2,700 | 2,532 | |
4 | CD Mortgage Trust Series 2018-CD7 | 4.279% | 8/15/51 | 5,320 | 5,090 | |
4 | CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | 3,376 | 3,144 | |
4,7 | Chesapeake Funding II LLC Series 2019-1A | 2.940% | 4/15/31 | 613 | 613 | |
4,7 | Chesapeake Funding II LLC Series 2019-2A | 1.950% | 9/15/31 | 1,857 | 1,857 | |
4,7 | Chesapeake Funding II LLC Series 2020-1A | 0.870% | 8/15/32 | 4,482 | 4,434 | |
4 | Citigroup Commercial Mortgage Trust Series 2014-GC19 | 3.753% | 3/10/47 | 94 | 93 | |
4 | Citigroup Commercial Mortgage Trust Series 2014-GC21 | 3.855% | 5/10/47 | 15,000 | 14,707 | |
4 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.863% | 7/10/47 | 275 | 266 | |
4 | Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.635% | 10/10/47 | 15,000 | 14,536 | |
4 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.497% | 6/10/48 | 4,709 | 4,511 | |
4 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | 520 | 499 | |
4 | Citigroup Commercial Mortgage Trust Series 2015-GC35 | 3.549% | 11/10/48 | 11,368 | 10,796 | |
4 | Citigroup Commercial Mortgage Trust Series 2016-GC36 | 3.349% | 2/10/49 | 2,600 | 2,473 | |
4 | Citigroup Commercial Mortgage Trust Series 2016-GC37 | 3.314% | 4/10/49 | 4,000 | 3,757 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-C4 | 3.471% | 10/12/50 | 8,583 | 7,939 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | 4,560 | 4,201 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.465% | 9/15/50 | 2,460 | 2,278 | |
4 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.789% | 9/15/50 | 860 | 777 | |
4 | Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | 65 | 62 | |
4 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 2.860% | 12/15/72 | 6,000 | 5,179 | |
4 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 3.042% | 12/15/72 | 8,630 | 7,875 | |
4 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 3.102% | 12/15/72 | 15,500 | 13,509 | |
4 | CNH Equipment Trust Series 2020-A | 1.510% | 4/15/27 | 2,040 | 1,951 | |
4 | CNH Equipment Trust Series 2022-A | 2.940% | 7/15/27 | 3,040 | 2,919 | |
4 | CNH Equipment Trust Series 2022-A | 3.030% | 3/15/29 | 2,610 | 2,459 | |
4 | CNH Equipment Trust Series 2022-B | 3.890% | 8/16/27 | 6,870 | 6,735 | |
4 | CNH Equipment Trust Series 2022-B | 3.910% | 3/15/28 | 2,200 | 2,129 | |
4 | COMM Mortgage Trust Series 2012-CR5 | 2.771% | 12/10/45 | 213 | 212 | |
4 | COMM Mortgage Trust Series 2013-CR8 | 3.612% | 6/10/46 | 10 | 10 | |
4 | COMM Mortgage Trust Series 2013-CR9 | 4.411% | 7/10/45 | 1,778 | 1,767 | |
4,7 | COMM Mortgage Trust Series 2013-CR9 | 4.435% | 7/10/45 | 2,331 | 2,294 | |
4 | COMM Mortgage Trust Series 2013-CR11 | 4.258% | 8/10/50 | 922 | 916 | |
4 | COMM Mortgage Trust Series 2013-CR12 | 3.765% | 10/10/46 | 347 | 342 | |
4 | COMM Mortgage Trust Series 2013-CR13 | 4.194% | 11/10/46 | 4,200 | 4,149 | |
4 | COMM Mortgage Trust Series 2013-LC6 | 2.941% | 1/10/46 | 311 | 311 | |
4 | COMM Mortgage Trust Series 2013-LC13 | 4.205% | 8/10/46 | 152 | 151 | |
4 | COMM Mortgage Trust Series 2014-CR14 | 3.955% | 2/10/47 | 4,000 | 3,943 | |
4 | COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | 15,000 | 14,703 | |
4 | COMM Mortgage Trust Series 2014-CR17 | 4.174% | 5/10/47 | 330 | 321 | |
4 | COMM Mortgage Trust Series 2014-CR18 | 3.550% | 7/15/47 | 3,951 | 3,816 | |
4 | COMM Mortgage Trust Series 2014-CR18 | 3.828% | 7/15/47 | 4,082 | 3,989 | |
4 | COMM Mortgage Trust Series 2015-CR24 | 3.432% | 8/10/48 | 1,654 | 1,594 | |
4 | COMM Mortgage Trust Series 2015-CR24 | 3.696% | 8/10/48 | 2,916 | 2,805 | |
4 | COMM Mortgage Trust Series 2015-CR25 | 3.759% | 8/10/48 | 1,838 | 1,766 | |
4 | COMM Mortgage Trust Series 2015-CR26 | 3.359% | 10/10/48 | 11,155 | 10,671 | |
4 | COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | 3,386 | 3,226 | |
4 | COMM Mortgage Trust Series 2019-GC44 | 2.873% | 8/15/57 | 2,050 | 1,859 | |
4 | COMM Mortgage Trust Series 2019-GC44 | 2.950% | 8/15/57 | 9,970 | 8,739 | |
4 | CSAIL Commercial Mortgage Trust Series 2015-C4 | 3.808% | 11/15/48 | 857 | 819 | |
4 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.210% | 11/15/49 | 3,283 | 3,049 | |
4 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | 2,713 | 2,542 | |
4 | CSAIL Commercial Mortgage Trust Series 2017-C8 | 3.392% | 6/15/50 | 8,560 | 7,924 | |
4 | CSAIL Commercial Mortgage Trust Series 2019-C18 | 2.968% | 12/15/52 | 17,500 | 15,049 | |
4 | CSAIL Commercial Mortgage Trust Series 2020-C19 | 2.561% | 3/15/53 | 4,500 | 3,724 | |
4 | DBJPM Mortgage Trust Series 2016-C3 | 2.632% | 8/10/49 | 9,200 | 8,465 | |
4 | DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | 3,210 | 2,963 | |
4,7 | Dell Equipment Finance Trust Series 2020-2 | 0.570% | 10/23/23 | 7,083 | 7,005 | |
4 | Discover Card Execution Note Trust Series 2021-A2 | 1.030% | 9/15/28 | 9,780 | 8,530 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Discover Card Execution Note Trust Series 2022-A2 | 3.320% | 5/15/27 | 51,070 | 49,488 | |
4 | Discover Card Execution Note Trust Series 2022-A3 | 3.560% | 7/15/27 | 62,890 | 60,875 | |
4,7 | DLLAA LLC Series 2021-1A | 0.670% | 4/17/26 | 12,100 | 11,411 | |
4,7 | DLLAD LLC Series 2021-1A | 0.640% | 9/21/26 | 10,300 | 9,565 | |
4,7 | DLLMT LLC Series 2021-1A | 1.000% | 7/21/25 | 10,410 | 9,886 | |
4,7 | DLLMT LLC Series 2021-1A | 1.240% | 6/20/29 | 6,940 | 6,360 | |
4,7 | DLLST LLC Series 2022-1A | 3.690% | 9/20/28 | 1,470 | 1,424 | |
4,7,8 | Edsouth Indenture No. 9 LLC Series 2015-1, 1M USD LIBOR + 0.800% | 3.884% | 10/25/56 | 154 | 153 | |
4,7 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 1,080 | 1,079 | |
4,7 | Enterprise Fleet Financing LLC Series 2020-2 | 0.610% | 7/20/26 | 5,147 | 5,004 | |
4,7 | Enterprise Fleet Financing LLC Series 2021-2 | 0.480% | 5/20/27 | 6,644 | 6,364 | |
4,7 | Enterprise Fleet Financing LLC Series 2021-3 | 0.770% | 8/20/27 | 13,185 | 12,620 | |
4,7 | Enterprise Fleet Financing LLC Series 2022-1 | 3.030% | 1/20/28 | 11,970 | 11,702 | |
4,7 | Evergreen Credit Card Trust Series 2021-1 | 0.900% | 10/15/26 | 20,590 | 18,986 | |
4 | Ford Credit Auto Lease Trust Series 2020-B | 0.690% | 10/15/23 | 1,221 | 1,220 | |
4 | Ford Credit Auto Lease Trust Series 2022-A | 3.370% | 7/15/25 | 6,290 | 6,123 | |
4,7 | Ford Credit Auto Owner Trust Series 2019-1 | 3.520% | 7/15/30 | 13,211 | 12,998 | |
4 | Ford Credit Auto Owner Trust Series 2019-A | 2.850% | 8/15/24 | 13,212 | 13,189 | |
4,7 | Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | 9,298 | 8,662 | |
4 | Ford Credit Auto Owner Trust Series 2020-A | 1.040% | 8/15/24 | 2,614 | 2,586 | |
4 | Ford Credit Auto Owner Trust Series 2020-A | 1.350% | 7/15/25 | 2,250 | 2,178 | |
4 | Ford Credit Auto Owner Trust Series 2020-B | 0.790% | 11/15/25 | 27,800 | 26,672 | |
4 | Ford Credit Auto Owner Trust Series 2020-C | 0.510% | 8/15/26 | 10,470 | 9,736 | |
4,7 | Ford Credit Auto Owner Trust Series 2022-1 | 3.880% | 11/15/34 | 20,470 | 19,692 | |
4 | Ford Credit Auto Owner Trust Series 2022-A | 1.290% | 6/15/26 | 8,440 | 8,035 | |
4 | Ford Credit Auto Owner Trust Series 2022-A | 1.560% | 5/15/27 | 9,850 | 9,050 | |
4 | Ford Credit Auto Owner Trust Series 2022-B | 3.740% | 9/15/26 | 30,400 | 30,025 | |
4 | Ford Credit Auto Owner Trust Series 2022-B | 3.930% | 8/15/27 | 12,000 | 11,784 | |
4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 9,520 | 9,163 | |
4 | Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | 13,150 | 11,761 | |
4,7 | GCAT Trust Series 2022-INV1 | 3.000% | 12/25/51 | 154,667 | 128,228 | |
4,7 | GCAT Trust Series 2022-INV3 | 4.000% | 8/25/52 | 38,610 | 34,874 | |
4,7 | GCAT Trust Series 2022-INV3 | 4.500% | 8/25/52 | 25,853 | 24,165 | |
4 | GM Financial Automobile Leasing Trust Series 2020-2 | 1.010% | 7/22/24 | 1,415 | 1,413 | |
4 | GM Financial Automobile Leasing Trust Series 2020-3 | 0.510% | 10/21/24 | 3,180 | 3,160 | |
4 | GM Financial Automobile Leasing Trust Series 2021-2 | 0.410% | 5/20/25 | 3,830 | 3,672 | |
4 | GM Financial Automobile Leasing Trust Series 2021-3 | 0.390% | 10/21/24 | 28,600 | 27,655 | |
4 | GM Financial Automobile Leasing Trust Series 2021-3 | 0.500% | 7/21/25 | 8,420 | 7,958 | |
4 | GM Financial Automobile Leasing Trust Series 2022-2 | 3.540% | 5/20/26 | 6,360 | 6,218 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2019-1 | 3.110% | 7/16/24 | 6,493 | 6,493 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2019-2 | 2.710% | 8/16/24 | 7,132 | 7,119 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2019-3 | 2.180% | 4/16/24 | 1,077 | 1,076 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | GM Financial Consumer Automobile Receivables Trust Series 2019-4 | 1.760% | 1/16/25 | 3,710 | 3,653 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2020-1 | 1.840% | 9/16/24 | 2,135 | 2,123 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2020-3 | 0.580% | 1/16/26 | 4,500 | 4,259 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.350% | 10/16/25 | 7,455 | 7,235 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.540% | 5/17/27 | 5,840 | 5,432 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-2 | 0.820% | 10/16/26 | 6,480 | 5,954 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-3 | 0.480% | 6/16/26 | 14,910 | 14,227 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-3 | 0.730% | 8/16/27 | 10,650 | 9,733 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.680% | 9/16/26 | 12,410 | 11,707 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.990% | 10/18/27 | 10,000 | 9,052 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2022-1 | 1.510% | 4/17/28 | 6,980 | 6,382 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.100% | 2/16/27 | 9,690 | 9,396 | |
4 | GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.250% | 4/17/28 | 9,090 | 8,724 | |
4,7 | GMF Floorplan Owner Revolving Trust Series 2019-2 | 2.900% | 4/15/26 | 12,600 | 12,266 | |
4,7 | GMF Floorplan Owner Revolving Trust Series 2020-1 | 0.680% | 8/15/25 | 5,520 | 5,337 | |
4,7 | GMF Floorplan Owner Revolving Trust Series 2020-2 | 0.690% | 10/15/25 | 13,590 | 13,058 | |
4,7 | Golden Credit Card Trust Series 2018-4A | 3.440% | 8/15/25 | 15,990 | 15,815 | |
4,7 | Golden Credit Card Trust Series 2021-1A | 1.140% | 8/15/28 | 23,300 | 20,426 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | 4,382 | 4,359 | |
4 | GS Mortgage Securities Corp. II Series 2018-GS10 | 4.155% | 7/10/51 | 720 | 673 | |
4 | GS Mortgage Securities Trust Series 2013-GC12 | 3.135% | 6/10/46 | 1,055 | 1,046 | |
4 | GS Mortgage Securities Trust Series 2014-GC20 | 3.998% | 4/10/47 | 10,200 | 10,041 | |
4 | GS Mortgage Securities Trust Series 2014-GC24 | 3.931% | 9/10/47 | 210 | 204 | |
4 | GS Mortgage Securities Trust Series 2014-GC24 | 4.162% | 9/10/47 | 140 | 135 | |
4 | GS Mortgage Securities Trust Series 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 | |
4 | GS Mortgage Securities Trust Series 2015-GC32 | 3.498% | 7/10/48 | 6,354 | 6,063 | |
4 | GS Mortgage Securities Trust Series 2015-GC34 | 3.244% | 10/10/48 | 7,779 | 7,392 | |
4 | GS Mortgage Securities Trust Series 2015-GC34 | 3.506% | 10/10/48 | 1,720 | 1,633 | |
4 | GS Mortgage Securities Trust Series 2015-GS1 | 3.470% | 11/10/48 | 5,343 | 5,086 | |
4 | GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | 180 | 166 | |
4 | GS Mortgage Securities Trust Series 2017-GS6 | 3.433% | 5/10/50 | 2,490 | 2,314 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | GS Mortgage Securities Trust Series 2019-GC38 | 3.968% | 2/10/52 | 2,600 | 2,434 | |
4 | GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | 1,170 | 1,043 | |
4 | GS Mortgage Securities Trust Series 2020-GC45 | 2.843% | 2/13/53 | 5,550 | 5,034 | |
4 | GS Mortgage Securities Trust Series 2020-GSA2 | 2.012% | 12/12/53 | 9,640 | 7,576 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2021-PJ7 | 2.500% | 1/25/52 | 21,670 | 17,305 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ3 | 3.000% | 8/25/52 | 5,070 | 4,204 | |
4,7 | GS Mortgage-Backed Securities Trust Series 2022-PJ6 | 3.000% | 1/25/53 | 152,160 | 131,690 | |
4 | Harley-Davidson Motorcycle Trust Series 2019-A | 2.390% | 11/15/26 | 2,143 | 2,138 | |
4 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.870% | 10/15/24 | 1,098 | 1,094 | |
4 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.930% | 4/15/27 | 2,000 | 1,969 | |
4 | Harley-Davidson Motorcycle Trust Series 2021-A | 0.370% | 4/15/26 | 6,370 | 6,228 | |
4 | Harley-Davidson Motorcycle Trust Series 2021-B | 0.560% | 11/16/26 | 16,740 | 16,163 | |
4 | Harley-Davidson Motorcycle Trust Series 2022-A | 3.060% | 2/15/27 | 15,220 | 14,705 | |
4 | Harley-Davidson Motorcycle Trust Series 2022-A | 3.260% | 1/15/30 | 5,340 | 5,053 | |
4,7 | Hertz Vehicle Financing III LLC Series 2022-1A | 1.990% | 6/25/26 | 7,800 | 7,168 | |
4,7 | Hertz Vehicle Financing III LLC Series 2022-3A | 3.370% | 3/25/25 | 4,750 | 4,643 | |
4,7 | Hertz Vehicle Financing III LP Series 2021-2A | 1.680% | 12/27/27 | 11,710 | 10,051 | |
4 | Honda Auto Receivables Owner Trust Series 2019-2 | 2.540% | 3/21/25 | 2,392 | 2,391 | |
4 | Honda Auto Receivables Owner Trust Series 2019-3 | 1.780% | 8/15/23 | 2,255 | 2,254 | |
4 | Honda Auto Receivables Owner Trust Series 2020-2 | 1.090% | 10/15/26 | 4,300 | 4,148 | |
4 | Honda Auto Receivables Owner Trust Series 2020-3 | 0.460% | 4/19/27 | 5,290 | 5,049 | |
4 | Honda Auto Receivables Owner Trust Series 2021-2 | 0.550% | 8/16/27 | 7,710 | 7,096 | |
4 | Honda Auto Receivables Owner Trust Series 2021-3 | 0.410% | 11/18/25 | 13,940 | 13,286 | |
4 | Honda Auto Receivables Owner Trust Series 2021-3 | 0.600% | 12/20/27 | 9,760 | 8,881 | |
4 | Honda Auto Receivables Owner Trust Series 2021-4 | 0.880% | 1/21/26 | 12,870 | 12,198 | |
4 | Honda Auto Receivables Owner Trust Series 2021-4 | 1.140% | 6/21/28 | 7,530 | 6,870 | |
4 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.730% | 7/20/26 | 5,250 | 5,139 | |
4 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.760% | 12/18/28 | 1,220 | 1,189 | |
4,7 | HPEFS Equipment Trust Series 2022-2A | 3.760% | 9/20/29 | 12,990 | 12,763 | |
4,7 | Hudson Yards Mortgage Trust Series 2019-30HY | 3.228% | 7/10/39 | 5,180 | 4,522 | |
4,7 | Hyundai Auto Lease Securitization Trust Series 2020-B | 0.580% | 6/17/24 | 2,490 | 2,462 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Hyundai Auto Lease Securitization Trust Series 2021-A | 0.420% | 12/16/24 | 3,490 | 3,409 | |
4,7 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.330% | 6/17/24 | 4,060 | 3,963 | |
4,7 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.380% | 8/15/25 | 4,300 | 4,111 | |
4,7 | Hyundai Auto Lease Securitization Trust Series 2022-A | 1.320% | 12/15/25 | 14,670 | 13,957 | |
4,7 | Hyundai Auto Lease Securitization Trust Series 2022-B | 3.500% | 4/15/26 | 20,780 | 20,230 | |
4 | Hyundai Auto Receivables Trust Series 2019-A | 2.710% | 5/15/25 | 2,822 | 2,820 | |
4 | Hyundai Auto Receivables Trust Series 2019-B | 2.000% | 4/15/25 | 5,740 | 5,676 | |
4 | Hyundai Auto Receivables Trust Series 2020-A | 1.720% | 6/15/26 | 9,420 | 9,090 | |
4 | Hyundai Auto Receivables Trust Series 2020-B | 0.620% | 12/15/25 | 5,050 | 4,851 | |
4 | Hyundai Auto Receivables Trust Series 2021-A | 0.620% | 5/17/27 | 12,470 | 11,515 | |
4 | Hyundai Auto Receivables Trust Series 2021-B | 0.380% | 1/15/26 | 15,210 | 14,508 | |
4 | Hyundai Auto Receivables Trust Series 2021-B | 0.600% | 2/16/27 | 16,090 | 14,688 | |
4 | Hyundai Auto Receivables Trust Series 2021-C | 0.740% | 5/15/26 | 7,170 | 6,771 | |
4 | Hyundai Auto Receivables Trust Series 2021-C | 1.030% | 12/15/27 | 7,710 | 7,007 | |
4 | Hyundai Auto Receivables Trust Series 2022-A | 2.350% | 4/17/28 | 3,750 | 3,504 | |
4 | John Deere Owner Trust Series 2019-B | 2.210% | 12/15/23 | 542 | 542 | |
4 | John Deere Owner Trust Series 2020-B | 0.510% | 11/15/24 | 4,553 | 4,467 | |
4 | John Deere Owner Trust Series 2020-B | 0.720% | 6/15/27 | 2,410 | 2,295 | |
4 | John Deere Owner Trust Series 2022-A | 2.490% | 1/16/29 | 6,800 | 6,413 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 3.994% | 1/15/46 | 2,612 | 2,590 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | 110 | 109 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,236 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 | 2.960% | 4/15/46 | 2,841 | 2,809 | |
4 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP3 | 2.870% | 8/15/49 | 1,525 | 1,395 | |
4,7 | JP Morgan Mortgage Trust Series 2021-6 | 2.500% | 10/25/51 | 14,128 | 11,282 | |
4,7 | JP Morgan Mortgage Trust Series 2021-15 | 3.000% | 6/25/52 | 133,805 | 110,932 | |
4,7 | JP Morgan Mortgage Trust Series 2021-INV4 | 3.000% | 1/25/52 | 7,319 | 6,068 | |
4,7 | JP Morgan Mortgage Trust Series 2021-INV6 | 3.000% | 4/25/52 | 7,161 | 5,937 | |
4,7 | JP Morgan Mortgage Trust Series 2022-1 | 3.000% | 7/25/52 | 36,815 | 30,522 | |
4,7 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 26,505 | 21,974 | |
4,7 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 10,028 | 8,314 | |
4,7 | JP Morgan Mortgage Trust Series 2022-INV1 | 3.000% | 3/25/52 | 129,541 | 107,398 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.363% | 7/15/45 | 837 | 828 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.664% | 7/15/45 | 3,137 | 3,106 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 4.171% | 7/15/45 | 1,465 | 1,447 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2013-C14 | 4.133% | 8/15/46 | 369 | 366 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2013-C17 | 4.199% | 1/15/47 | 4,238 | 4,194 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.079% | 2/15/47 | 3,930 | 3,865 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 450 | 441 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C19 | 3.997% | 4/15/47 | 165 | 162 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C21 | 3.493% | 8/15/47 | 120 | 117 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C24 | 3.639% | 11/15/47 | 1,144 | 1,107 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2014-C26 | 3.494% | 1/15/48 | 15,000 | 14,466 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2015-C27 | 3.179% | 2/15/48 | 110 | 105 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | 217 | 209 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.329% | 11/15/48 | 6,856 | 6,722 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.598% | 11/15/48 | 3,488 | 3,305 | |
4 | JPMBB Commercial Mortgage Securities Trust Series 2015-C33 | 3.504% | 12/15/48 | 8,353 | 7,922 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP5 | 3.723% | 3/15/50 | 5,080 | 4,788 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 | 3.224% | 7/15/50 | 3,830 | 3,582 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 | 3.490% | 7/15/50 | 2,170 | 2,020 | |
4 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP7 | 3.454% | 9/15/50 | 895 | 829 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | 400 | 369 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.409% | 10/15/50 | 360 | 332 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.713% | 10/15/50 | 3,720 | 3,406 | |
4 | JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | 60 | 57 | |
4,7 | Kubota Credit Owner Trust Series 2020-1A | 1.960% | 3/15/24 | 3,273 | 3,251 | |
4,7 | Kubota Credit Owner Trust Series 2020-2A | 0.590% | 10/15/24 | 8,628 | 8,418 | |
4,7 | Kubota Credit Owner Trust Series 2020-2A | 0.730% | 6/15/26 | 3,000 | 2,826 | |
4,7 | Kubota Credit Owner Trust Series 2022-1A | 2.670% | 10/15/26 | 16,940 | 16,066 | |
4,7 | Kubota Credit Owner Trust Series 2022-1A | 2.780% | 2/15/28 | 9,680 | 9,012 | |
4,7 | Lanark Master Issuer plc Series 2020-1A | 2.277% | 12/22/69 | 1,550 | 1,549 | |
4,7 | Master Credit Card Trust Series 2021-1A | 0.530% | 11/21/25 | 27,400 | 25,504 | |
4,7 | Master Credit Card Trust II Series 2022-1A | 1.660% | 7/21/26 | 22,370 | 20,889 | |
4,7 | Mello Mortgage Capital Acceptance Series 2021-INV1 | 2.500% | 6/25/51 | 17,286 | 13,805 | |
4,7 | Mello Mortgage Capital Acceptance Series 2021-MTG2 | 2.500% | 6/25/51 | 7,423 | 5,844 | |
4 | Mercedes-Benz Auto Lease Trust Series 2020-B | 0.500% | 6/15/26 | 2,720 | 2,677 | |
4 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.400% | 11/15/24 | 15,470 | 14,942 | |
4 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.510% | 3/15/27 | 8,120 | 7,667 | |
4 | Mercedes-Benz Auto Receivables Trust Series 2020-1 | 0.770% | 10/15/26 | 5,050 | 4,817 | |
4 | Mercedes-Benz Auto Receivables Trust Series 2021-1 | 0.460% | 6/15/26 | 25,280 | 23,911 | |
4,7 | MMAF Equipment Finance LLC Series 2016-AA | 2.210% | 12/15/32 | 1,919 | 1,905 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | MMAF Equipment Finance LLC Series 2017-AA | 2.680% | 7/16/27 | 982 | 974 | |
4,7 | MMAF Equipment Finance LLC Series 2018-A | 3.390% | 1/10/25 | 1,853 | 1,848 | |
4,7 | MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | 2,580 | 2,508 | |
4,7 | MMAF Equipment Finance LLC Series 2019-A | 3.080% | 11/12/41 | 4,430 | 4,262 | |
4,7 | MMAF Equipment Finance LLC Series 2020-BA | 0.850% | 4/14/42 | 4,800 | 4,324 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 | 4.259% | 10/15/46 | 150 | 149 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13 | 4.039% | 11/15/46 | 85 | 84 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14 | 4.384% | 2/15/47 | 200 | 197 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 3.773% | 4/15/47 | 586 | 577 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 4.051% | 4/15/47 | 2,800 | 2,759 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.094% | 6/15/47 | 330 | 320 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C18 | 3.923% | 10/15/47 | 60 | 59 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20 | 3.249% | 2/15/48 | 60 | 57 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C21 | 3.077% | 3/15/48 | 8,913 | 8,554 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.451% | 7/15/50 | 8,939 | 8,596 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.719% | 7/15/50 | 7,440 | 7,180 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 | 3.479% | 5/15/48 | 9,865 | 9,464 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.372% | 10/15/48 | 2,500 | 2,386 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.635% | 10/15/48 | 1,648 | 1,576 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 | 3.473% | 12/15/47 | 9,793 | 9,432 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | 2,055 | 1,927 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.459% | 12/15/49 | 5,311 | 4,973 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | 2,663 | 2,508 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | 1,250 | 1,158 | |
4 | Morgan Stanley Capital I Series 2017-HR2 | 3.509% | 12/15/50 | 1,260 | 1,207 | |
4 | Morgan Stanley Capital I Series 2017-HR2 | 3.587% | 12/15/50 | 4,257 | 3,920 | |
4 | Morgan Stanley Capital I Trust Series 2015-MS1 | 3.510% | 5/15/48 | 9,460 | 9,096 | |
4 | Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | 7,386 | 7,067 | |
4 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | 1,590 | 1,455 | |
4 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | 760 | 702 | |
4 | Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | 487 | 444 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Morgan Stanley Capital I Trust Series 2016-UBS9 | 3.594% | 3/15/49 | 5,373 | 5,100 | |
4 | Morgan Stanley Capital I Trust Series 2019-L3 | 3.127% | 11/15/52 | 13,640 | 12,016 | |
4 | Morgan Stanley Capital I Trust Series 2021-L6 | 2.444% | 6/15/54 | 2,600 | 2,115 | |
4,7,8 | Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 3.834% | 3/25/66 | 1,146 | 1,145 | |
4,7 | New Residential Mortgage Loan Trust Series 2021-INV2 | 3.000% | 9/25/51 | 40,539 | 33,847 | |
4 | Nissan Auto Lease Trust Series 2020-B | 0.490% | 1/15/26 | 3,420 | 3,378 | |
4 | Nissan Auto Receivables Owner Trust Series 2018-B | 3.160% | 12/16/24 | 1,688 | 1,688 | |
4 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.500% | 11/15/23 | 596 | 596 | |
4 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.540% | 12/15/25 | 2,500 | 2,484 | |
4 | Nissan Auto Receivables Owner Trust Series 2020-A | 1.700% | 5/17/27 | 6,910 | 6,613 | |
4 | Nissan Auto Receivables Owner Trust Series 2020-B | 0.710% | 2/16/27 | 3,240 | 3,106 | |
4,7 | OBX Trust Series 2022-J2 | 3.000% | 8/25/52 | 84,244 | 69,843 | |
4,7 | OBX Trust Series 2022-J2 | 3.500% | 8/25/52 | 127,200 | 108,829 | |
4,7 | One Bryant Park Trust Series 2019-OBP | 2.516% | 9/15/54 | 5,100 | 4,231 | |
4,7 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 1,250 | 1,129 | |
4,7,8 | Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 3.819% | 1/16/60 | 77 | 77 | |
4,7,8 | Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 3.993% | 6/20/60 | 1,261 | 1,256 | |
4,7,8 | Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 3.943% | 8/18/60 | 874 | 871 | |
4,7,8 | PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 4.034% | 11/25/65 | 1,882 | 1,863 | |
4,7 | Progress Residential Trust Series 2022-SFR3 | 3.200% | 4/17/39 | 4,420 | 4,031 | |
4,7 | Progress Residential Trust Series 2022-SFR5 | 4.451% | 6/17/39 | 5,386 | 5,183 | |
4,7 | RCKT Mortgage Trust Series 2021-3 | 2.500% | 7/25/51 | 20,687 | 16,521 | |
4,7 | RCKT Mortgage Trust Series 2022-4 | 3.500% | 6/25/52 | 73,749 | 63,159 | |
4,7,8 | RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 3.483% | 12/5/59 | 127 | 127 | |
4,7,8 | RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 3.606% | 4/10/50 | 543 | 542 | |
4,7,8 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 3.556% | 11/10/49 | 26 | 26 | |
4,7 | RESIMAC Premier Series 2020-1A | 1.274% | 2/7/52 | 1,079 | 1,079 | |
4 | Santander Drive Auto Receivables Trust Series 2022-2 | 2.980% | 10/15/26 | 13,960 | 13,672 | |
4 | Santander Drive Auto Receivables Trust Series 2022-3 | 3.400% | 12/15/26 | 11,990 | 11,776 | |
4 | Santander Drive Auto Receivables Trust Series 2022-5 | 4.110% | 8/17/26 | 17,450 | 17,261 | |
4 | Santander Drive Auto Receivables Trust Series 2022-6 | 4.490% | 11/16/26 | 11,890 | 11,792 | |
4,7 | Santander Retail Auto Lease Trust Series 2020-B | 0.650% | 12/20/24 | 4,600 | 4,408 | |
4,7 | Santander Retail Auto Lease Trust Series 2021-B | 0.510% | 8/20/24 | 22,520 | 21,629 | |
4,7 | Santander Retail Auto Lease Trust Series 2021-B | 0.540% | 6/20/25 | 5,540 | 5,212 | |
4,7 | Santander Retail Auto Lease Trust Series 2021-C | 0.590% | 3/20/26 | 10,220 | 9,609 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,7 | Santander Retail Auto Lease Trust Series 2022-B | 3.280% | 11/20/25 | 22,080 | 21,538 | |
4,7 | Santander Retail Auto Lease Trust Series 2022-B | 3.330% | 10/20/26 | 11,570 | 11,123 | |
4,7 | Sequoia Mortgage Trust Series 2021-3 | 2.500% | 5/25/51 | 12,957 | 10,347 | |
4,7 | SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | 86 | 84 | |
4,7 | SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | 210 | 201 | |
4,7 | SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | 421 | 407 | |
4,7 | SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | 731 | 706 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-A | 2.400% | 3/26/40 | 5 | 5 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | 33 | 33 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | 67 | 64 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | 24 | 24 | |
4,7 | SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | 91 | 89 | |
4,7 | SoFi Professional Loan Program LLC Series 2018-A | 2.950% | 2/25/42 | 36 | 35 | |
4 | Synchrony Card Funding LLC Series 2022-A1 | 3.370% | 4/15/28 | 23,430 | 22,716 | |
4 | Synchrony Card Funding LLC Series 2022-A2 | 3.860% | 7/15/28 | 26,050 | 25,408 | |
4 | Synchrony Credit Card Master Note Trust Series 2017-2 | 2.620% | 10/15/25 | 6,490 | 6,489 | |
4,7 | Tesla Auto Lease Trust Series 2020-A | 0.680% | 12/20/23 | 2,143 | 2,128 | |
4,7 | Tesla Auto Lease Trust Series 2020-A | 0.780% | 12/20/23 | 750 | 742 | |
4,7 | Tesla Auto Lease Trust Series 2021-B | 0.600% | 9/22/25 | 13,310 | 12,498 | |
4,7 | Tesla Auto Lease Trust Series 2021-B | 0.630% | 9/22/25 | 6,830 | 6,398 | |
4,7 | TMSQ Mortgage Trust Series 2014-1500 | 3.680% | 10/10/36 | 100 | 95 | |
4,7 | Toyota Auto Loan Extended Note Trust Series 2019-1A | 2.560% | 11/25/31 | 550 | 531 | |
4,7 | Toyota Auto Loan Extended Note Trust Series 2020-1A | 1.350% | 5/25/33 | 8,600 | 7,806 | |
4,7 | Toyota Auto Loan Extended Note Trust Series 2021-1A | 1.070% | 2/27/34 | 23,810 | 20,906 | |
4,7 | Toyota Auto Loan Extended Note Trust Series 2022-1A | 3.820% | 4/25/35 | 24,670 | 23,759 | |
4 | Toyota Auto Receivables Owner Trust Series 2018-C | 3.130% | 2/15/24 | 2,895 | 2,895 | |
4 | Toyota Auto Receivables Owner Trust Series 2019-A | 3.000% | 5/15/24 | 3,559 | 3,555 | |
4 | Toyota Auto Receivables Owner Trust Series 2019-C | 1.910% | 9/15/23 | 1,612 | 1,612 | |
4 | Toyota Auto Receivables Owner Trust Series 2020-A | 1.680% | 5/15/25 | 6,600 | 6,415 | |
4 | Toyota Auto Receivables Owner Trust Series 2020-B | 1.660% | 9/15/25 | 4,570 | 4,412 | |
4 | Toyota Auto Receivables Owner Trust Series 2020-C | 0.570% | 10/15/25 | 4,700 | 4,451 | |
4 | Toyota Auto Receivables Owner Trust Series 2021-C | 0.430% | 1/15/26 | 25,380 | 24,007 | |
4 | Toyota Auto Receivables Owner Trust Series 2021-C | 0.720% | 1/15/27 | 19,620 | 17,728 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Toyota Auto Receivables Owner Trust Series 2021-D | 0.710% | 4/15/26 | 12,960 | 12,280 | |
4 | Toyota Auto Receivables Owner Trust Series 2021-D | 1.020% | 3/15/27 | 7,930 | 7,129 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-A | 1.540% | 5/17/27 | 9,540 | 8,713 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-B | 2.930% | 9/15/26 | 17,970 | 17,418 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-B | 3.110% | 8/16/27 | 7,990 | 7,643 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.760% | 4/15/27 | 5,400 | 5,299 | |
4 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.770% | 2/15/28 | 2,630 | 2,569 | |
4,7 | Toyota Lease Owner Trust Series 2021-A | 0.500% | 8/20/25 | 3,840 | 3,701 | |
4,7 | Toyota Lease Owner Trust Series 2021-B | 0.420% | 10/21/24 | 18,100 | 17,440 | |
4,7 | Trafigura Securitisation Finance plc Series 2021-1A | 1.080% | 1/15/25 | 11,570 | 10,572 | |
4 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.418% | 12/15/50 | 3,700 | 3,463 | |
4 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | 2,795 | 2,600 | |
4 | UBS Commercial Mortgage Trust Series 2019-C16 | 3.460% | 4/15/52 | 483 | 449 | |
4,7 | UBS-BAMLL Trust Series 2012-WRM | 3.663% | 6/10/30 | 140 | 139 | |
4 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | 150 | 148 | |
4,7 | UWM Mortgage Trust Series 2021-INV3 | 2.500% | 11/25/51 | 21,503 | 17,172 | |
4 | Verizon Master Trust Series 2021-1 | 0.500% | 5/20/27 | 30,100 | 28,111 | |
4 | Verizon Master Trust Series 2021-2 | 0.990% | 4/20/28 | 15,980 | 14,796 | |
4 | Verizon Master Trust Series 2022-2 | 1.530% | 7/20/28 | 21,470 | 19,927 | |
4 | Verizon Master Trust Series 2022-6 | 3.670% | 1/22/29 | 3,340 | 3,253 | |
4 | Volkswagen Auto Loan Enhanced Trust Series 2020-1 | 1.260% | 8/20/26 | 3,400 | 3,282 | |
4 | Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.020% | 6/22/26 | 19,790 | 18,776 | |
4 | Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.260% | 10/20/28 | 12,800 | 11,718 | |
4,7 | Volvo Financial Equipment LLC Series 2020-1A | 0.510% | 10/15/24 | 8,759 | 8,605 | |
4,7 | Volvo Financial Equipment LLC Series 2020-1A | 0.600% | 3/15/28 | 2,300 | 2,158 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.218% | 7/15/46 | 315 | 311 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2015-C29 | 3.637% | 6/15/48 | 3,199 | 3,067 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2015-C30 | 3.664% | 9/15/58 | 2,380 | 2,277 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 | 2.652% | 8/15/49 | 300 | 274 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2016-C32 | 3.560% | 1/15/59 | 2,139 | 2,034 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | 1,310 | 1,232 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C38 | 3.453% | 7/15/50 | 1,285 | 1,190 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | 3,825 | 3,520 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.317% | 10/15/50 | 3,200 | 2,942 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.581% | 10/15/50 | 3,040 | 2,821 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C41 | 3.472% | 11/15/50 | 3,160 | 2,912 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-C42 | 3.589% | 12/15/50 | 4,890 | 4,526 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | 396 | 372 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C44 | 4.212% | 5/15/51 | 4,450 | 4,232 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | 1,095 | 1,035 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C47 | 4.442% | 9/15/61 | 870 | 838 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2018-C48 | 4.245% | 1/15/52 | 980 | 949 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | 310 | 295 | |
4 | Wells Fargo Commercial Mortgage Trust Series 2020-C58 | 1.849% | 7/15/53 | 2,850 | 2,412 | |
4 | WFRBS Commercial Mortgage Trust Series 2013-C15 | 4.153% | 8/15/46 | 255 | 253 | |
4 | WFRBS Commercial Mortgage Trust Series 2013-C18 | 4.162% | 12/15/46 | 1,665 | 1,642 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 3.829% | 3/15/47 | 1,574 | 1,552 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.410% | 8/15/47 | 16 | 15 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.678% | 8/15/47 | 15,000 | 14,633 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.650% | 10/15/57 | 4,492 | 4,371 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.917% | 10/15/57 | 925 | 903 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-C24 | 3.607% | 11/15/47 | 2,190 | 2,116 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 3.766% | 3/15/47 | 1,707 | 1,683 | |
4 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 4.045% | 3/15/47 | 2,597 | 2,556 | |
4,7 | Wheels Fleet Lease Funding LLC Series 2022-1A | 2.470% | 10/18/36 | 5,060 | 4,938 | |
4,7 | Wheels SPV 2 LLC Series 2020-1A | 0.510% | 8/20/29 | 1,674 | 1,655 | |
4,7 | Wheels SPV 2 LLC Series 2020-1A | 0.620% | 8/20/29 | 1,700 | 1,629 | |
4 | World Omni Auto Receivables Trust Series 2018-D | 3.330% | 4/15/24 | 12 | 12 | |
4 | World Omni Auto Receivables Trust Series 2018-D | 3.440% | 12/16/24 | 3,070 | 3,070 | |
4 | World Omni Auto Receivables Trust Series 2019-A | 3.220% | 6/16/25 | 5,230 | 5,218 | |
4 | World Omni Auto Receivables Trust Series 2020-B | 0.820% | 1/15/26 | 7,580 | 7,211 | |
4 | World Omni Auto Receivables Trust Series 2020-C | 0.610% | 10/15/26 | 5,400 | 5,055 | |
4 | World Omni Auto Receivables Trust Series 2021-B | 0.420% | 6/15/26 | 9,380 | 9,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | World Omni Auto Receivables Trust Series 2021-C | 0.440% | 8/17/26 | 13,980 | 13,316 | |
4 | World Omni Auto Receivables Trust Series 2021-D | 0.810% | 10/15/26 | 15,840 | 15,083 | |
4 | World Omni Auto Receivables Trust Series 2021-D | 1.100% | 11/15/27 | 11,450 | 10,472 | |
4 | World Omni Auto Receivables Trust Series 2022-A | 1.900% | 3/15/28 | 9,420 | 8,670 | |
4 | World Omni Auto Receivables Trust Series 2022-B | 3.440% | 3/15/28 | 7,570 | 7,239 | |
4 | World Omni Auto Receivables Trust Series 2022-C | 3.660% | 10/15/27 | 2,400 | 2,338 | |
4 | World Omni Auto Receivables Trust Series 2022-C | 3.680% | 9/15/28 | 1,670 | 1,606 | |
4 | World Omni Automobile Lease Securitization Trust Series 2020-A | 1.790% | 6/16/25 | 3,410 | 3,408 | |
4 | World Omni Automobile Lease Securitization Trust Series 2020-B | 0.520% | 2/17/26 | 4,680 | 4,573 | |
4 | World Omni Automobile Lease Securitization Trust Series 2021-A | 0.420% | 8/15/24 | 6,960 | 6,705 | |
4 | World Omni Automobile Lease Securitization Trust Series 2021-A | 0.500% | 11/16/26 | 8,340 | 7,896 | |
4 | World Omni Automobile Lease Securitization Trust Series 2022-A | 3.210% | 2/18/25 | 3,080 | 3,029 | |
4 | World Omni Automobile Lease Securitization Trust Series 2022-A | 3.340% | 6/15/27 | 1,840 | 1,794 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,401,536) | 4,083,663 | |||||
Corporate Bonds (25.2%) | ||||||
Communications (1.0%) | ||||||
Comcast Corp. | 3.375% | 2/15/25 | 15,000 | 14,506 | ||
Comcast Corp. | 3.375% | 8/15/25 | 15,000 | 14,408 | ||
Comcast Corp. | 3.950% | 10/15/25 | 12,400 | 12,061 | ||
9 | Comcast Corp. | 0.000% | 9/14/26 | 13,316 | 11,397 | |
Comcast Corp. | 3.150% | 2/15/28 | 28,825 | 26,172 | ||
Comcast Corp. | 4.150% | 10/15/28 | 40,135 | 37,906 | ||
Comcast Corp. | 2.650% | 2/1/30 | 10,970 | 9,182 | ||
Comcast Corp. | 3.400% | 4/1/30 | 11,500 | 10,126 | ||
Comcast Corp. | 1.950% | 1/15/31 | 10,000 | 7,771 | ||
7 | Meta Platforms Inc. | 3.500% | 8/15/27 | 71,962 | 67,259 | |
7 | Meta Platforms Inc. | 3.850% | 8/15/32 | 45,230 | 39,852 | |
7 | NTT Finance Corp. | 1.162% | 4/3/26 | 34,635 | 30,255 | |
7 | NTT Finance Corp. | 2.065% | 4/3/31 | 4,335 | 3,411 | |
4,9 | Sky Ltd. | 2.500% | 9/15/26 | 8,970 | 8,522 | |
TWDC Enterprises 18 Corp. | 3.000% | 2/13/26 | 13,228 | 12,408 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 2,200 | 2,072 | ||
307,308 | ||||||
Consumer Discretionary (0.9%) | ||||||
Amazon.com Inc. | 3.150% | 8/22/27 | 7,000 | 6,523 | ||
Amazon.com Inc. | 1.650% | 5/12/28 | 10,000 | 8,498 | ||
Amazon.com Inc. | 1.500% | 6/3/30 | 8,152 | 6,434 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 8,000 | 7,266 | ||
4 | American Honda Finance Corp. | 0.550% | 7/12/24 | 8,755 | 8,133 | |
4 | American Honda Finance Corp. | 2.150% | 9/10/24 | 8,750 | 8,326 | |
4 | American Honda Finance Corp. | 2.350% | 1/8/27 | 25,000 | 22,398 | |
4 | American Honda Finance Corp. | 1.800% | 1/13/31 | 20,000 | 15,518 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Home Depot Inc. | 1.500% | 9/15/28 | 6,670 | 5,542 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 7,700 | 7,311 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 19,485 | 17,230 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 15,200 | 12,995 | ||
Home Depot Inc. | 1.875% | 9/15/31 | 8,965 | 6,963 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 12,425 | 10,771 | ||
TJX Cos. Inc. | 2.250% | 9/15/26 | 7,870 | 7,168 | ||
TJX Cos. Inc. | 3.875% | 4/15/30 | 10,000 | 9,171 | ||
4,9 | Toyota Finance Australia Ltd. | 0.064% | 1/13/25 | 7,600 | 6,944 | |
4 | Toyota Motor Credit Corp. | 3.000% | ��� 4/1/25 | 14,000 | 13,411 | |
4 | Toyota Motor Credit Corp. | 1.125% | 6/18/26 | 40,000 | 35,029 | |
4 | Toyota Motor Credit Corp. | 1.150% | 8/13/27 | 15,000 | 12,548 | |
4 | Toyota Motor Credit Corp. | 4.550% | 9/20/27 | 31,620 | 30,879 | |
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 20,000 | 18,519 | ||
4 | Yale University | 1.482% | 4/15/30 | 6,000 | 4,805 | |
282,382 | ||||||
Consumer Staples (0.9%) | ||||||
9 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 9,760 | 9,004 | |
Coca-Cola Co. | 3.375% | 3/25/27 | 12,000 | 11,441 | ||
Coca-Cola Co. | 1.000% | 3/15/28 | 6,717 | 5,534 | ||
Coca-Cola Co. | 1.375% | 3/15/31 | 5,000 | 3,818 | ||
Colgate-Palmolive Co. | 3.100% | 8/15/25 | 15,640 | 15,116 | ||
Colgate-Palmolive Co. | 3.100% | 8/15/27 | 13,620 | 12,812 | ||
Colgate-Palmolive Co. | 3.250% | 8/15/32 | 22,460 | 20,046 | ||
Costco Wholesale Corp. | 1.600% | 4/20/30 | 42,322 | 34,077 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 4,750 | 4,012 | ||
Hershey Co. | 2.450% | 11/15/29 | 10,000 | 8,515 | ||
Hershey Co. | 1.700% | 6/1/30 | 5,000 | 3,947 | ||
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 6,906 | 6,565 | ||
Kimberly-Clark Corp. | 1.050% | 9/15/27 | 2,000 | 1,681 | ||
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 10,507 | 9,284 | ||
4,9 | Nestle Finance International Ltd. | 0.000% | 11/12/24 | 8,000 | 7,447 | |
PepsiCo Inc. | 2.850% | 2/24/26 | 6,674 | 6,292 | ||
4,9 | PepsiCo Inc. | 2.625% | 4/28/26 | 6,883 | 6,641 | |
PepsiCo Inc. | 3.600% | 2/18/28 | 7,520 | 7,115 | ||
PepsiCo Inc. | 2.625% | 7/29/29 | 1,720 | 1,497 | ||
PepsiCo Inc. | 2.750% | 3/19/30 | 2,130 | 1,846 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 11,745 | 9,411 | ||
PepsiCo Inc. | 1.950% | 10/21/31 | 1,430 | 1,138 | ||
PepsiCo Inc. | 3.900% | 7/18/32 | 2,135 | 1,975 | ||
Philip Morris International Inc. | 1.500% | 5/1/25 | 10,000 | 9,165 | ||
Philip Morris International Inc. | 3.125% | 8/17/27 | 5,000 | 4,549 | ||
Philip Morris International Inc. | 3.375% | 8/15/29 | 2,000 | 1,710 | ||
Philip Morris International Inc. | 2.100% | 5/1/30 | 5,000 | 3,798 | ||
9 | Procter & Gamble Co. | 4.875% | 5/11/27 | 6,883 | 7,209 | |
7 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 3,340 | 3,215 | |
7 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 7,000 | 6,427 | |
Target Corp. | 3.375% | 4/15/29 | 870 | 799 | ||
Target Corp. | 2.350% | 2/15/30 | 11,910 | 9,943 | ||
Target Corp. | 2.650% | 9/15/30 | 1,435 | 1,209 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 21,050 | 17,501 | ||
4,9 | Unilever Finance Netherlands BV | 1.250% | 3/25/25 | 7,600 | 7,155 | |
261,894 | ||||||
Energy (0.9%) | ||||||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 4,935 | 4,811 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 15,500 | 14,751 | ||
4 | BP Capital Markets America Inc. | 3.119% | 5/4/26 | 19,465 | 18,195 | |
4 | BP Capital Markets America Inc. | 3.017% | 1/16/27 | 2,630 | 2,404 | |
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 8,000 | 7,523 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 8,930 | 6,959 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 13,162 | 12,080 | ||
BP Capital Markets plc | 3.723% | 11/28/28 | 2,095 | 1,920 | ||
Chevron Corp. | 1.554% | 5/11/25 | 8,810 | 8,153 | ||
Chevron Corp. | 2.954% | 5/16/26 | 5,490 | 5,170 | ||
Chevron Corp. | 1.995% | 5/11/27 | 19,000 | 16,855 | ||
Chevron Corp. | 2.236% | 5/11/30 | 1,300 | 1,082 | ||
Chevron USA Inc. | 3.850% | 1/15/28 | 5,870 | 5,583 | ||
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 994 | |
9 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 7,800 | 7,276 | |
Exxon Mobil Corp. | 2.992% | 3/19/25 | 26,140 | 25,124 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 5,275 | 4,987 | ||
7 | Harvest Operations Corp. | 4.200% | 6/1/23 | 8,000 | 7,983 | |
4 | Harvest Operations Corp. | 1.000% | 4/26/24 | 14,000 | 13,164 | |
7 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 1,993 | 1,802 | |
4 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 6,750 | 6,088 | |
4 | Petronas Energy Canada Ltd. | 2.112% | 3/23/28 | 13,860 | 11,952 | |
7 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 8,084 | 7,543 | |
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 4,350 | 3,947 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 24,880 | 23,920 | ||
4,9 | Shell International Finance BV | 2.500% | 3/24/26 | 6,883 | 6,602 | |
Shell International Finance BV | 2.875% | 5/10/26 | 2,805 | 2,615 | ||
Shell International Finance BV | 3.875% | 11/13/28 | 2,135 | 2,001 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 29,195 | 24,546 | ||
TotalEnergies Capital International SA | 2.434% | 1/10/25 | 10,450 | 9,921 | ||
TotalEnergies Capital International SA | 3.455% | 2/19/29 | 12,590 | 11,490 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 10,295 | 8,886 | ||
286,327 | ||||||
Financials (15.0%) | ||||||
Aflac Inc. | 1.125% | 3/15/26 | 3,375 | 2,972 | ||
Allstate Corp. | 0.750% | 12/15/25 | 2,000 | 1,746 | ||
Allstate Corp. | 1.450% | 12/15/30 | 5,000 | 3,781 | ||
American Express Co. | 3.700% | 8/3/23 | 35,905 | 35,653 | ||
American Express Co. | 3.400% | 2/22/24 | 11,135 | 10,925 | ||
American Express Co. | 3.375% | 5/3/24 | 11,456 | 11,173 | ||
American Express Co. | 3.000% | 10/30/24 | 18,265 | 17,603 | ||
American Express Co. | 2.250% | 3/4/25 | 16,000 | 15,013 | ||
American Express Co. | 2.550% | 3/4/27 | 15,400 | 13,751 | ||
American Express Co. | 4.050% | 5/3/29 | 19,800 | 18,224 | ||
American Express Co. | 4.420% | 8/3/33 | 4,500 | 4,096 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 30,000 | 28,666 | ||
7 | Athene Global Funding | 0.914% | 8/19/24 | 4,880 | 4,456 | |
Banco Santander SA | 4.379% | 4/12/28 | 2,585 | 2,311 | ||
Banco Santander SA | 3.306% | 6/27/29 | 5,800 | 4,939 | ||
4 | Bank of America Corp. | 3.004% | 12/20/23 | 27,480 | 27,341 | |
4 | Bank of America Corp. | 4.125% | 1/22/24 | 10,000 | 9,918 | |
4 | Bank of America Corp. | 3.550% | 3/5/24 | 102,080 | 101,297 | |
4 | Bank of America Corp. | 3.864% | 7/23/24 | 33,950 | 33,469 | |
Bank of America Corp. | 1.843% | 2/4/25 | 21,000 | 19,968 | ||
4 | Bank of America Corp. | 3.458% | 3/15/25 | 22,500 | 21,801 | |
Bank of America Corp. | 0.976% | 4/22/25 | 19,688 | 18,300 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Bank of America Corp. | 3.875% | 8/1/25 | 9,582 | 9,304 | |
4 | Bank of America Corp. | 0.981% | 9/25/25 | 13,670 | 12,441 | |
4 | Bank of America Corp. | 3.366% | 1/23/26 | 44,735 | 42,342 | |
4 | Bank of America Corp. | 2.015% | 2/13/26 | 10,000 | 9,172 | |
4 | Bank of America Corp. | 3.384% | 4/2/26 | 47,300 | 44,706 | |
4 | Bank of America Corp. | 3.500% | 4/19/26 | 3,998 | 3,755 | |
4 | Bank of America Corp. | 1.319% | 6/19/26 | 10,890 | 9,657 | |
Bank of America Corp. | 4.827% | 7/22/26 | 34,100 | 33,294 | ||
4 | Bank of America Corp. | 3.559% | 4/23/27 | 2,777 | 2,563 | |
Bank of America Corp. | 1.734% | 7/22/27 | 28,000 | 24,021 | ||
4 | Bank of America Corp. | 3.824% | 1/20/28 | 37,156 | 34,220 | |
Bank of America Corp. | 2.551% | 2/4/28 | 14,330 | 12,477 | ||
4 | Bank of America Corp. | 3.705% | 4/24/28 | 5,800 | 5,279 | |
Bank of America Corp. | 4.376% | 4/27/28 | 4,500 | 4,218 | ||
Bank of America Corp. | 4.948% | 7/22/28 | 11,480 | 11,040 | ||
4 | Bank of America Corp. | 3.419% | 12/20/28 | 34,922 | 30,978 | |
4 | Bank of America Corp. | 3.970% | 3/5/29 | 3,000 | 2,707 | |
4 | Bank of America Corp. | 2.087% | 6/14/29 | 23,300 | 18,917 | |
4 | Bank of America Corp. | 3.974% | 2/7/30 | 1,960 | 1,749 | |
4 | Bank of America Corp. | 3.194% | 7/23/30 | 23,795 | 20,041 | |
4 | Bank of America Corp. | 2.884% | 10/22/30 | 17,816 | 14,624 | |
4 | Bank of America Corp. | 2.496% | 2/13/31 | 75 | 59 | |
4 | Bank of America Corp. | 2.592% | 4/29/31 | 7,500 | 5,958 | |
4 | Bank of America Corp. | 1.898% | 7/23/31 | 19,543 | 14,558 | |
4 | Bank of America Corp. | 1.922% | 10/24/31 | 5,000 | 3,701 | |
Bank of America Corp. | 2.687% | 4/22/32 | 13,800 | 10,753 | ||
Bank of America Corp. | 2.299% | 7/21/32 | 25,200 | 18,856 | ||
Bank of America Corp. | 4.571% | 4/27/33 | 22,100 | 19,832 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 30,330 | 28,216 | ||
4 | Bank of Montreal | 3.300% | 2/5/24 | 28,160 | 27,563 | |
4 | Bank of Montreal | 0.625% | 7/9/24 | 17,014 | 15,755 | |
4 | Bank of Montreal | 1.250% | 9/15/26 | 11,520 | 9,859 | |
4 | Bank of Montreal | 2.650% | 3/8/27 | 11,900 | 10,623 | |
��� 4 | Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 12,400 | 11,448 | |
Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 14,400 | 14,078 | ||
4 | Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 2,825 | 2,588 | |
4 | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 21,080 | 19,716 | |
4 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 7,827 | 7,224 | |
Bank of New York Mellon Corp. | 4.596% | 7/26/30 | 9,650 | 9,162 | ||
Bank of Nova Scotia | 0.400% | 9/15/23 | 23,300 | 22,301 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 9,530 | 8,905 | ||
Bank of Nova Scotia | 3.450% | 4/11/25 | 23,000 | 22,030 | ||
Bank of Nova Scotia | 1.050% | 3/2/26 | 14,350 | 12,509 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 5,000 | 4,354 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 7,520 | 6,862 | ||
Bank of Nova Scotia | 1.300% | 9/15/26 | 7,200 | 6,183 | ||
7 | Bank of Nova Scotia | 1.188% | 10/13/26 | 15,910 | 13,854 | |
Bank of Nova Scotia | 1.950% | 2/2/27 | 2,700 | 2,349 | ||
Bank of Nova Scotia | 2.150% | 8/1/31 | 10,000 | 7,576 | ||
Bank of Nova Scotia | 2.450% | 2/2/32 | 5,000 | 3,808 | ||
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 10,700 | 9,022 | ||
9 | Berkshire Hathaway Inc. | 0.000% | 3/12/25 | 7,600 | 6,909 | |
BlackRock Inc. | 3.250% | 4/30/29 | 3,750 | 3,369 | ||
BlackRock Inc. | 2.400% | 4/30/30 | 3,000 | 2,481 | ||
BlackRock Inc. | 1.900% | 1/28/31 | 2,800 | 2,191 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
7 | BPCE SA | 1.000% | 1/20/26 | 13,385 | 11,563 | |
Canadian Imperial Bank of Commerce | 3.300% | 4/7/25 | 18,736 | 17,884 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 9,975 | 8,638 | ||
Canadian Imperial Bank of Commerce | 3.600% | 4/7/32 | 4,000 | 3,386 | ||
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 7,008 | 5,322 | ||
Cboe Global Markets Inc. | 3.000% | 3/16/32 | 9,500 | 7,854 | ||
Charles Schwab Corp. | 3.625% | 4/1/25 | 3,670 | 3,556 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 7,000 | 6,087 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 10,000 | 9,326 | ||
Charles Schwab Corp. | 2.450% | 3/3/27 | 23,980 | 21,574 | ||
Charles Schwab Corp. | 3.300% | 4/1/27 | 4,574 | 4,275 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 4,143 | 3,796 | ||
Charles Schwab Corp. | 4.000% | 2/1/29 | 8,980 | 8,453 | ||
Charles Schwab Corp. | 3.250% | 5/22/29 | 6,955 | 6,268 | ||
Charles Schwab Corp. | 4.625% | 3/22/30 | 800 | 773 | ||
Charles Schwab Corp. | 2.900% | 3/3/32 | 9,500 | 7,845 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 25,075 | 24,485 | ||
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 4,485 | 4,307 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 5,000 | 4,722 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 16,500 | 12,462 | ||
4 | Citigroup Inc. | 1.678% | 5/15/24 | 38,445 | 37,632 | |
Citigroup Inc. | 0.981% | 5/1/25 | 10,415 | 9,662 | ||
Citigroup Inc. | 1.281% | 11/3/25 | 3,300 | 3,018 | ||
Citigroup Inc. | 2.014% | 1/25/26 | 5,300 | 4,876 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 3,310 | 3,032 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 16,080 | 13,689 | ||
4 | Citigroup Inc. | 2.666% | 1/29/31 | 8,380 | 6,691 | |
4 | Citigroup Inc. | 2.572% | 6/3/31 | 5,000 | 3,938 | |
Citigroup Inc. | 3.057% | 1/25/33 | 11,600 | 9,147 | ||
Citigroup Inc. | 3.785% | 3/17/33 | 1,600 | 1,342 | ||
Citigroup Inc. | 4.910% | 5/24/33 | 3,100 | 2,852 | ||
CME Group Inc. | 2.650% | 3/15/32 | 15,300 | 12,576 | ||
4,9 | Cooperatieve Rabobank UA | 0.625% | 2/27/24 | 7,300 | 6,923 | |
Cooperatieve Rabobank UA | 3.875% | 8/22/24 | 5,000 | 4,903 | ||
Credit Suisse AG | 1.000% | 5/5/23 | 14,470 | 14,142 | ||
Credit Suisse AG | 4.750% | 8/9/24 | 7,900 | 7,693 | ||
4 | Credit Suisse AG | 3.625% | 9/9/24 | 8,000 | 7,623 | |
Credit Suisse AG | 3.700% | 2/21/25 | 10,400 | 9,765 | ||
Credit Suisse AG | 2.950% | 4/9/25 | 23,500 | 21,592 | ||
4,9 | Credit Suisse AG | 1.500% | 4/10/26 | 7,600 | 6,710 | |
Credit Suisse AG | 5.000% | 7/9/27 | 7,000 | 6,458 | ||
7 | Danske Bank A/S | 1.549% | 9/10/27 | 5,031 | 4,234 | |
7 | DNB Bank ASA | 1.535% | 5/25/27 | 10,000 | 8,621 | |
4 | First Republic Bank | 1.912% | 2/12/24 | 13,330 | 13,176 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 5,000 | 3,761 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 295 | 295 | ||
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 10,000 | 9,946 | ||
4 | Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 16,250 | 16,149 | |
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 25,000 | 24,424 | ||
Goldman Sachs Group Inc. | 3.000% | 3/15/24 | 2,500 | 2,430 | ||
4 | Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 45,375 | 43,226 | |
Goldman Sachs Group Inc. | 0.925% | 10/21/24 | 10,650 | 10,108 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 5,675 | 5,454 | ||
Goldman Sachs Group Inc. | 1.757% | 1/24/25 | 26,935 | 25,603 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 8,560 | 8,214 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4,9 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 4,650 | 4,362 | |
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 15,000 | 12,689 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 8,820 | 6,525 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 6,600 | 5,116 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 5,600 | 4,291 | ||
4 | HSBC Holdings plc | 3.950% | 5/18/24 | 13,280 | 13,112 | |
HSBC Holdings plc | 1.162% | 11/22/24 | 10,600 | 10,021 | ||
4 | HSBC Holdings plc | 3.803% | 3/11/25 | 1,605 | 1,552 | |
HSBC Holdings plc | 0.976% | 5/24/25 | 24,000 | 22,052 | ||
4 | HSBC Holdings plc | 2.633% | 11/7/25 | 26,491 | 24,538 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 4,840 | 4,637 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 9,200 | 8,506 | ||
4 | HSBC Holdings plc | 1.645% | 4/18/26 | 10,440 | 9,294 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 3,650 | 3,421 | ||
4 | HSBC Holdings plc | 2.099% | 6/4/26 | 25,000 | 22,405 | |
4 | HSBC Holdings plc | 4.292% | 9/12/26 | 10,050 | 9,482 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 13,330 | 11,143 | ||
HSBC Holdings plc | 2.251% | 11/22/27 | 6,200 | 5,208 | ||
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 28,181 | 25,325 | |
HSBC Holdings plc | 4.755% | 6/9/28 | 5,500 | 5,046 | ||
4 | HSBC Holdings plc | 2.013% | 9/22/28 | 25,000 | 20,115 | |
4 | HSBC Holdings plc | 4.583% | 6/19/29 | 18,855 | 16,795 | |
HSBC Holdings plc | 2.206% | 8/17/29 | 10,000 | 7,770 | ||
HSBC Holdings plc | 4.950% | 3/31/30 | 10,000 | 9,202 | ||
4 | HSBC Holdings plc | 2.357% | 8/18/31 | 7,440 | 5,478 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 10,000 | 7,352 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 4,000 | 2,917 | ||
HSBC Holdings plc | 5.402% | 8/11/33 | 3,000 | 2,656 | ||
4 | Huntington National Bank | 3.550% | 10/6/23 | 10,000 | 9,887 | |
ING Groep NV | 4.100% | 10/2/23 | 7,850 | 7,747 | ||
Intercontinental Exchange Inc. | 4.000% | 9/15/27 | 10,500 | 9,957 | ||
Intercontinental Exchange Inc. | 4.350% | 6/15/29 | 19,900 | 18,811 | ||
Intercontinental Exchange Inc. | 4.600% | 3/15/33 | 12,500 | 11,651 | ||
Invesco Finance plc | 4.000% | 1/30/24 | 12,165 | 11,982 | ||
Invesco Finance plc | 3.750% | 1/15/26 | 1,897 | 1,813 | ||
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 6,106 | 6,048 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 4,000 | 3,960 | ||
4 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 60,810 | 60,190 | |
4 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 30,000 | 29,298 | |
4 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 15,235 | 14,995 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 10,000 | 9,587 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 10,125 | 9,472 | ||
4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 54,505 | 52,748 | |
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 15,020 | 13,898 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 13,500 | 12,492 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 14,605 | 14,143 | ||
4 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 12,250 | 11,489 | |
JPMorgan Chase & Co. | 1.561% | 12/10/25 | 11,000 | 10,085 | ||
4 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 4,650 | 4,256 | |
4 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 39,500 | 35,985 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 11,430 | 10,611 | ||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 20,000 | 17,323 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 8,190 | 7,737 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 25,000 | 21,343 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 10,000 | 8,644 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
JPMorgan Chase & Co. | 1.470% | 9/22/27 | 12,000 | 10,158 | ||
4 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 3,910 | 3,586 | |
JPMorgan Chase & Co. | 2.947% | 2/24/28 | 4,685 | 4,152 | ||
4 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 21,840 | 19,788 | |
4 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 8,575 | 7,596 | |
4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 16,335 | 14,775 | |
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 2,500 | 2,030 | ||
4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 37,465 | 34,270 | |
4 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 4,600 | 4,023 | |
4 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 20,000 | 16,299 | |
4 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 12,900 | 11,756 | |
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 5,000 | 3,667 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 10,000 | 7,739 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 8,790 | 7,915 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 11,930 | 11,018 | ||
4 | KeyBank NA | 4.150% | 8/8/25 | 10,650 | 10,351 | |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 15,000 | 14,830 | ||
Lloyds Banking Group plc | 3.900% | 3/12/24 | 5,000 | 4,896 | ||
7 | LSEGA Financing plc | 0.650% | 4/6/24 | 5,000 | 4,686 | |
7 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 9,270 | 7,937 | |
4 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 3,700 | 3,523 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 5,000 | 4,824 | ||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 5,800 | 4,591 | ||
Mastercard Inc. | 2.000% | 3/3/25 | 14,133 | 13,315 | ||
Mastercard Inc. | 2.950% | 11/21/26 | 22,315 | 20,843 | ||
Mastercard Inc. | 2.950% | 6/1/29 | 11,000 | 9,798 | ||
Mastercard Inc. | 2.000% | 11/18/31 | 5,850 | 4,625 | ||
4 | MDGH GMTN RSC Ltd. | 2.500% | 11/7/24 | 624 | 595 | |
MetLife Inc. | 4.550% | 3/23/30 | 13,076 | 12,535 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 5,000 | 4,945 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 1,025 | 1,000 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 4,500 | 4,398 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 14,640 | 14,046 | ||
4 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 33,375 | 31,838 | |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 3,997 | 3,705 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 45,530 | 44,084 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 10,785 | 9,677 | ||
Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | 6,900 | 6,807 | ||
Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | 20,165 | 18,561 | ||
Mitsubishi UFJ Financial Group Inc. | 0.962% | 10/11/25 | 13,300 | 12,110 | ||
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 1,807 | 1,630 | ||
Mitsubishi UFJ Financial Group Inc. | 1.538% | 7/20/27 | 10,800 | 9,224 | ||
Mitsubishi UFJ Financial Group Inc. | 1.640% | 10/13/27 | 11,500 | 9,768 | ||
Mitsubishi UFJ Financial Group Inc. | 5.017% | �� 7/20/28 | 3,300 | 3,170 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 6,550 | 5,860 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 8,000 | 6,759 | ||
Mitsubishi UFJ Financial Group Inc. | 2.309% | 7/20/32 | 15,000 | 11,240 | ||
Mitsubishi UFJ Financial Group Inc. | 2.494% | 10/13/32 | 7,000 | 5,289 | ||
Mitsubishi UFJ Financial Group Inc. | 2.852% | 1/19/33 | 10,000 | 7,749 | ||
Mitsubishi UFJ Financial Group Inc. | 5.133% | 7/20/33 | 3,800 | 3,561 | ||
7 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 6,300 | 6,114 | |
4 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 17,100 | 16,539 | |
4 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 5,000 | 4,702 | |
7 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 12,178 | 11,287 | |
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 6,167 | 5,219 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mizuho Financial Group Inc. | 1.554% | 7/9/27 | 8,000 | 6,799 | ||
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 2,250 | 2,058 | ||
4 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 5,400 | 4,495 | |
4 | Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 4,000 | 3,252 | |
4 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 5,000 | 3,786 | |
Mizuho Financial Group Inc. | 2.260% | 7/9/32 | 8,000 | 5,904 | ||
4 | Morgan Stanley | 0.529% | 1/25/24 | 21,430 | 21,085 | |
Morgan Stanley | 0.731% | 4/5/24 | 21,355 | 20,848 | ||
4 | Morgan Stanley | 3.875% | 4/29/24 | 17,649 | 17,349 | |
Morgan Stanley | 0.790% | 5/30/25 | 21,800 | 20,069 | ||
4 | Morgan Stanley | 2.720% | 7/22/25 | 8,670 | 8,220 | |
4 | Morgan Stanley | 4.000% | 7/23/25 | 6,355 | 6,168 | |
4 | Morgan Stanley | 0.864% | 10/21/25 | 5,200 | 4,715 | |
4 | Morgan Stanley | 3.875% | 1/27/26 | 8,000 | 7,632 | |
9 | Morgan Stanley | 2.103% | 5/8/26 | 4,222 | 3,931 | |
Morgan Stanley | 3.625% | 1/20/27 | 3,625 | 3,377 | ||
Morgan Stanley | 1.593% | 5/4/27 | 3,575 | 3,089 | ||
Morgan Stanley | 2.475% | 1/21/28 | 11,900 | 10,412 | ||
4 | Morgan Stanley | 3.622% | 4/1/31 | 10,000 | 8,609 | |
4 | Morgan Stanley | 1.928% | 4/28/32 | 1,285 | 945 | |
4 | Morgan Stanley | 2.239% | 7/21/32 | 21,500 | 16,167 | |
Morgan Stanley | 4.889% | 7/20/33 | 7,950 | 7,392 | ||
7 | Nationwide Building Society | 1.000% | 8/28/25 | 10,580 | 9,279 | |
7 | New York Life Global Funding | 1.850% | 8/1/31 | 5,000 | 3,856 | |
7 | NongHyup Bank | 1.250% | 7/28/26 | 20,000 | 17,382 | |
7 | NongHyup Bank | 4.250% | 7/6/27 | 17,500 | 16,862 | |
Northern Trust Corp. | 4.000% | 5/10/27 | 15,400 | 14,909 | ||
7 | Nuveen Finance LLC | 4.125% | 11/1/24 | 20,000 | 19,506 | |
4 | PNC Bank NA | 2.950% | 2/23/25 | 12,514 | 11,961 | |
4 | PNC Bank NA | 3.100% | 10/25/27 | 17,317 | 15,816 | |
4 | PNC Bank NA | 3.250% | 1/22/28 | 6,245 | 5,730 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 1,335 | 1,334 | ||
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 7,930 | 7,804 | ||
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 2,820 | 2,577 | ||
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 4,000 | 3,675 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 11,370 | 10,191 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 5,000 | 4,127 | ||
Progressive Corp. | 2.500% | 3/15/27 | 6,700 | 6,048 | ||
Progressive Corp. | 3.200% | 3/26/30 | 8,620 | 7,580 | ||
Progressive Corp. | 3.000% | 3/15/32 | 3,300 | 2,776 | ||
4 | Prudential Financial Inc. | 1.500% | 3/10/26 | 4,500 | 4,016 | |
Prudential plc | 3.125% | 4/14/30 | 3,500 | 2,921 | ||
4 | Royal Bank of Canada | 3.700% | 10/5/23 | 7,665 | 7,590 | |
4 | Royal Bank of Canada | 2.550% | 7/16/24 | 13,603 | 13,061 | |
4 | Royal Bank of Canada | 0.750% | 10/7/24 | 22,907 | 21,051 | |
4 | Royal Bank of Canada | 2.250% | 11/1/24 | 17,806 | 16,864 | |
Royal Bank of Canada | 3.375% | 4/14/25 | 10,400 | 10,004 | ||
4 | Royal Bank of Canada | 1.150% | 6/10/25 | 10,000 | 9,020 | |
Royal Bank of Canada | 1.200% | 4/27/26 | 17,540 | 15,275 | ||
4 | Royal Bank of Canada | 1.150% | 7/14/26 | 18,870 | 16,273 | |
4 | Royal Bank of Canada | 1.400% | 11/2/26 | 6,500 | 5,572 | |
Royal Bank of Canada | 3.625% | 5/4/27 | 6,700 | 6,231 | ||
4 | Royal Bank of Canada | 4.240% | 8/3/27 | 1,400 | 1,338 | |
Royal Bank of Canada | 3.875% | 5/4/32 | 7,300 | 6,432 | ||
State Street Corp. | 3.550% | 8/18/25 | 2,630 | 2,541 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | State Street Corp. | 2.354% | 11/1/25 | 1,400 | 1,324 | |
State Street Corp. | 2.400% | 1/24/30 | 6,970 | 5,812 | ||
State Street Corp. | 3.152% | 3/30/31 | 11,280 | 9,662 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 16,022 | 16,017 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 3,970 | 3,955 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 39,186 | 37,459 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 11,660 | 10,917 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 18,295 | 16,483 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 14,962 | 13,522 | ||
Sumitomo Mitsui Financial Group Inc. | 1.402% | 9/17/26 | 14,400 | 12,320 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 10,290 | 9,469 | ||
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 1,980 | 1,802 | ||
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 1,000 | 894 | ||
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 4,040 | 3,649 | ||
Sumitomo Mitsui Financial Group Inc. | 1.902% | 9/17/28 | 17,400 | 13,952 | ||
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 2,850 | 2,683 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 13,550 | 11,386 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 12,030 | 9,758 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | �� 10,000 | 7,667 | ||
Sumitomo Mitsui Financial Group Inc. | 2.222% | 9/17/31 | 13,900 | 10,421 | ||
7 | Svenska Handelsbanken AB | 0.625% | 6/30/23 | 7,000 | 6,790 | |
7 | Svenska Handelsbanken AB | 3.950% | 6/10/27 | 23,250 | 22,067 | |
7 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 5,400 | 4,653 | |
4 | Toronto-Dominion Bank | 0.750% | 6/12/23 | 20,384 | 19,821 | |
Toronto-Dominion Bank | 0.550% | 3/4/24 | 16,780 | 15,777 | ||
4 | Toronto-Dominion Bank | 2.350% | 3/8/24 | 38,298 | 36,944 | |
4 | Toronto-Dominion Bank | 4.285% | 9/13/24 | 8,000 | 7,880 | |
Toronto-Dominion Bank | 3.766% | 6/6/25 | 34,400 | 33,238 | ||
4 | Toronto-Dominion Bank | 1.150% | 6/12/25 | 43,550 | 39,216 | |
4 | Toronto-Dominion Bank | 0.750% | 9/11/25 | 19,000 | 16,767 | |
4 | Toronto-Dominion Bank | 1.250% | 9/10/26 | 12,880 | 11,016 | |
4 | Toronto-Dominion Bank | 2.800% | 3/10/27 | 27,500 | 24,814 | |
Toronto-Dominion Bank | 4.108% | 6/8/27 | 26,700 | 25,229 | ||
4 | Toronto-Dominion Bank | 4.693% | 9/15/27 | 10,000 | 9,669 | |
4 | Toronto-Dominion Bank | 2.000% | 9/10/31 | 15,000 | 11,223 | |
4 | Toronto-Dominion Bank | 3.625% | 9/15/31 | 1,250 | 1,145 | |
4 | Toronto-Dominion Bank | 3.200% | 3/10/32 | 37,600 | 30,898 | |
Toronto-Dominion Bank | 4.456% | 6/8/32 | 16,785 | 15,316 | ||
4 | Truist Bank | 2.150% | 12/6/24 | 44,575 | 41,959 | |
4 | Truist Bank | 1.500% | 3/10/25 | 7,500 | 6,899 | |
4 | Truist Bank | 4.050% | 11/3/25 | 34,710 | 33,678 | |
4 | Truist Bank | 2.250% | 3/11/30 | 5,950 | 4,666 | |
4 | Truist Financial Corp. | 3.750% | 12/6/23 | 15,600 | 15,460 | |
4 | Truist Financial Corp. | 2.500% | 8/1/24 | 56,382 | 54,001 | |
4 | Truist Financial Corp. | 1.200% | 8/5/25 | 8,030 | 7,226 | |
4 | Truist Financial Corp. | 1.267% | 3/2/27 | 6,620 | 5,772 | |
7 | UBS AG | 0.375% | 6/1/23 | 8,000 | 7,768 | |
7 | UBS AG | 0.450% | 2/9/24 | 15,000 | 14,101 | |
7 | UBS Group AG | 4.125% | 9/24/25 | 7,590 | 7,266 | |
7 | UBS Group AG | 4.125% | 4/15/26 | 1,500 | 1,420 | |
4,9 | US Bancorp | 0.850% | 6/7/24 | 15,108 | 14,183 | |
US Bancorp | 1.450% | 5/12/25 | 31,180 | 28,656 | ||
4 | US Bancorp | 3.950% | 11/17/25 | 9,450 | 9,209 | |
4 | US Bancorp | 3.150% | 4/27/27 | 8,000 | 7,427 | |
US Bancorp | 4.548% | 7/22/28 | 23,900 | 23,098 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | US Bancorp | 3.000% | 7/30/29 | 3,000 | 2,587 | |
4 | US Bancorp | 1.375% | 7/22/30 | 10,000 | 7,531 | |
US Bancorp | 4.967% | 7/22/33 | 51,985 | 48,767 | ||
4 | US Bank NA | 2.800% | 1/27/25 | 3,900 | 3,730 | |
7 | USAA Capital Corp. | 1.500% | 5/1/23 | 1,580 | 1,553 | |
Visa Inc. | 3.150% | 12/14/25 | 49,590 | 47,407 | ||
9 | Visa Inc. | 1.500% | 6/15/26 | 9,350 | 8,629 | |
4 | Wells Fargo & Co. | 3.750% | 1/24/24 | 18,285 | 18,010 | |
4,9 | Wells Fargo & Co. | 0.500% | 4/26/24 | 15,280 | 14,298 | |
4 | Wells Fargo & Co. | 1.654% | 6/2/24 | 5,000 | 4,882 | |
4 | Wells Fargo & Co. | 3.000% | 2/19/25 | 24,070 | 22,873 | |
4 | Wells Fargo & Co. | 0.805% | 5/19/25 | 9,255 | 8,579 | |
4 | Wells Fargo & Co. | 2.406% | 10/30/25 | 14,968 | 13,987 | |
4 | Wells Fargo & Co. | 2.164% | 2/11/26 | 7,000 | 6,446 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 20,000 | 18,322 | ||
4 | Wells Fargo & Co. | 2.188% | 4/30/26 | 10,000 | 9,142 | |
Wells Fargo & Co. | 3.000% | 10/23/26 | 16,620 | 15,066 | ||
4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 7,100 | 6,463 | |
4 | Wells Fargo & Co. | 3.526% | 3/24/28 | 12,000 | 10,891 | |
4 | Wells Fargo & Co. | 3.584% | 5/22/28 | 10,500 | 9,497 | |
4 | Wells Fargo & Co. | 2.393% | 6/2/28 | 9,270 | 7,948 | |
4 | Wells Fargo & Co. | 4.150% | 1/24/29 | 8,575 | 7,889 | |
4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 700 | 576 | |
4 | Wells Fargo & Co. | 2.572% | 2/11/31 | 5,000 | 4,002 | |
4 | Wells Fargo & Co. | 4.897% | 7/25/33 | 15,900 | 14,626 | |
7 | Westpac Banking Corp. | 1.552% | 9/30/26 | 15,440 | 13,669 | |
Westpac Banking Corp. | 3.350% | 3/8/27 | 1,170 | 1,093 | ||
Westpac Banking Corp. | 1.953% | 11/20/28 | 11,300 | 9,413 | ||
4,9 | Westpac Securities NZ Ltd. | 0.427% | 12/14/26 | 6,800 | 5,789 | |
4,548,579 | ||||||
Health Care (1.1%) | ||||||
Abbott Laboratories | 2.950% | 3/15/25 | 9,405 | 9,049 | ||
4 | Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,114 | |
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 24,000 | 23,873 | ||
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 17,455 | 16,538 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 27,490 | 24,975 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 13,160 | 10,154 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 21,000 | 18,027 | ||
4 | Cedars-Sinai Health System | 2.288% | 8/15/31 | 2,000 | 1,588 | |
7 | CSL Finance plc | 4.250% | 4/27/32 | 13,335 | 12,155 | |
Eli Lilly & Co. | 3.375% | 3/15/29 | 8,803 | 8,167 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 4,500 | 4,239 | ||
GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 12,762 | 11,586 | ||
Johnson & Johnson | 2.950% | 3/3/27 | 385 | 361 | ||
Johnson & Johnson | 2.900% | 1/15/28 | 12,444 | 11,474 | ||
Merck & Co. Inc. | 1.900% | 12/10/28 | 2,560 | 2,147 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 24,790 | 22,767 | ||
Merck & Co. Inc. | 1.450% | 6/24/30 | 12,925 | 10,120 | ||
Merck & Co. Inc. | 2.150% | 12/10/31 | 10,830 | 8,710 | ||
4 | Mercy Health | 4.302% | 7/1/28 | 7,000 | 6,586 | |
Novartis Capital Corp. | 2.000% | 2/14/27 | 13,000 | 11,661 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 27,712 | 23,156 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 13,000 | 11,975 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 8,500 | 7,309 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 278 | 255 | |
4 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 4,131 | |
7 | Roche Holdings Inc. | 2.625% | 5/15/26 | 1,000 | 931 | |
7 | Roche Holdings Inc. | 1.930% | 12/13/28 | 22,500 | 18,923 | |
UnitedHealth Group Inc. | 0.550% | 5/15/24 | 14,400 | 13,495 | ||
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 6,810 | 6,074 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 8,630 | 8,122 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 8,345 | 7,829 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 1,101 | 961 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 11,500 | 9,251 | ||
328,703 | ||||||
Industrials (1.2%) | ||||||
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 12,423 | 12,150 | ||
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 3,575 | 3,460 | ||
Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 7,535 | 7,077 | ||
Canadian National Railway Co. | 3.850% | 8/5/32 | 26,900 | 24,574 | ||
4 | CSX Transportation Inc. | 6.251% | 1/15/23 | 86 | 86 | |
Emerson Electric Co. | 1.800% | 10/15/27 | 879 | 760 | ||
Emerson Electric Co. | 2.000% | 12/21/28 | 17,890 | 15,149 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 22,061 | 21,306 | ||
General Dynamics Corp. | 3.500% | 5/15/25 | 3,754 | 3,652 | ||
General Dynamics Corp. | 2.125% | 8/15/26 | 4,694 | 4,251 | ||
General Dynamics Corp. | 3.500% | 4/1/27 | 16,745 | 15,825 | ||
General Dynamics Corp. | 2.625% | 11/15/27 | 31,170 | 27,911 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 5,580 | 5,243 | ||
General Dynamics Corp. | 3.625% | 4/1/30 | 4,100 | 3,758 | ||
General Dynamics Corp. | 2.250% | 6/1/31 | 5,000 | 4,084 | ||
Honeywell International Inc. | 1.750% | 9/1/31 | 20,250 | 15,813 | ||
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 7,640 | 7,090 | ||
4 | John Deere Capital Corp. | 2.650% | 6/24/24 | 4,600 | 4,451 | |
John Deere Capital Corp. | 3.400% | 6/6/25 | 10,625 | 10,274 | ||
4 | John Deere Capital Corp. | 1.050% | 6/17/26 | 37,500 | 32,905 | |
4 | John Deere Capital Corp. | 2.250% | 9/14/26 | 3,790 | 3,477 | |
4 | John Deere Capital Corp. | 2.350% | 3/8/27 | 13,070 | 11,787 | |
4 | John Deere Capital Corp. | 2.000% | 6/17/31 | 25,000 | 19,827 | |
John Deere Capital Corp. | 3.900% | 6/7/32 | 2,665 | 2,445 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 5,895 | 4,789 | ||
Lockheed Martin Corp. | 3.900% | 6/15/32 | 14,670 | 13,575 | ||
Precision Castparts Corp. | 2.500% | 1/15/23 | 10,440 | 10,389 | ||
Rockwell Automation Inc. | 1.750% | 8/15/31 | 7,500 | 5,755 | ||
7 | Siemens Financieringsmaatschappij NV | 1.200% | 3/11/26 | 58,305 | 50,896 | |
United Parcel Service Inc. | 3.400% | 3/15/29 | 5,000 | 4,596 | ||
347,355 | ||||||
Materials (0.2%) | ||||||
7 | Georgia-Pacific LLC | 0.950% | 5/15/26 | 50,855 | 44,070 | |
Linde Inc. | 1.100% | 8/10/30 | 12,430 | 9,388 | ||
7 | SABIC Capital II BV | 4.000% | 10/10/23 | 17,612 | 17,389 | |
70,847 | ||||||
Real Estate (0.7%) | ||||||
4 | AvalonBay Communities Inc. | 3.350% | 5/15/27 | 2,960 | 2,713 | |
4 | AvalonBay Communities Inc. | 3.200% | 1/15/28 | 2,250 | 2,039 | |
AvalonBay Communities Inc. | 1.900% | 12/1/28 | 5,000 | 4,120 | ||
4 | AvalonBay Communities Inc. | 2.300% | 3/1/30 | 5,000 | 4,116 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Camden Property Trust | 4.875% | 6/15/23 | 5,935 | 5,928 | ||
Camden Property Trust | 4.250% | 1/15/24 | 16,018 | 15,813 | ||
Camden Property Trust | 3.500% | 9/15/24 | 435 | 420 | ||
ERP Operating LP | 2.850% | 11/1/26 | 3,000 | 2,754 | ||
ERP Operating LP | 4.150% | 12/1/28 | 11,480 | 10,563 | ||
ERP Operating LP | 3.000% | 7/1/29 | 8,120 | 7,051 | ||
ERP Operating LP | 2.500% | 2/15/30 | 1,500 | 1,234 | ||
ERP Operating LP | 1.850% | 8/1/31 | 4,750 | 3,635 | ||
Prologis LP | 2.125% | 4/15/27 | 3,600 | 3,193 | ||
Prologis LP | 1.250% | 10/15/30 | 10,000 | 7,460 | ||
Prologis LP | 4.625% | 1/15/33 | 15,600 | 14,817 | ||
Public Storage | 1.850% | 5/1/28 | 5,710 | 4,813 | ||
Public Storage | 1.950% | 11/9/28 | 3,500 | 2,914 | ||
Public Storage | 3.385% | 5/1/29 | 11,800 | 10,640 | ||
Public Storage | 2.300% | 5/1/31 | 9,170 | 7,331 | ||
8 | Public Storage, SOFR + 0.470% | 2.789% | 4/23/24 | 14,690 | 14,601 | |
Realty Income Corp. | 3.875% | 4/15/25 | 18,632 | 18,112 | ||
Realty Income Corp. | 0.750% | 3/15/26 | 4,710 | 4,046 | ||
Realty Income Corp. | 4.125% | 10/15/26 | 16,355 | 15,688 | ||
4,10 | Realty Income Corp. | 1.875% | 1/14/27 | 2,307 | 2,131 | |
10 | Realty Income Corp. | 1.125% | 7/13/27 | 4,500 | 3,913 | |
Simon Property Group LP | 3.500% | 9/1/25 | 7,754 | 7,404 | ||
Simon Property Group LP | 1.375% | 1/15/27 | 5,000 | 4,271 | ||
Simon Property Group LP | 3.375% | 6/15/27 | 10,780 | 9,889 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 6,775 | 6,142 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 5,000 | 4,150 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 3,300 | 2,689 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 11,500 | 9,300 | ||
213,890 | ||||||
Technology (1.8%) | ||||||
Adobe Inc. | 2.150% | 2/1/27 | 46,105 | 41,640 | ||
Analog Devices Inc. | 1.700% | 10/1/28 | 9,350 | 7,821 | ||
Analog Devices Inc. | 2.100% | 10/1/31 | 14,030 | 11,140 | ||
9 | Apple Inc. | 0.875% | 5/24/25 | 7,600 | 7,093 | |
Apple Inc. | 3.250% | 2/23/26 | 11,092 | 10,640 | ||
Apple Inc. | 2.450% | 8/4/26 | 7,245 | 6,694 | ||
Apple Inc. | 2.050% | 9/11/26 | 5,920 | 5,385 | ||
9 | Apple Inc. | 1.625% | 11/10/26 | 6,883 | 6,395 | |
Apple Inc. | 3.350% | 2/9/27 | 13,158 | 12,567 | ||
Apple Inc. | 2.900% | 9/12/27 | 11,255 | 10,385 | ||
Apple Inc. | 3.000% | 11/13/27 | 5,280 | 4,885 | ||
Apple Inc. | 1.200% | 2/8/28 | 31,570 | 26,429 | ||
Apple Inc. | 3.250% | 8/8/29 | 67,870 | 62,043 | ||
Apple Inc. | 1.250% | 8/20/30 | 1,710 | 1,320 | ||
Apple Inc. | 1.650% | 2/8/31 | 7,290 | 5,746 | ||
Apple Inc. | 3.350% | 8/8/32 | 38,150 | 33,944 | ||
Automatic Data Processing Inc. | 1.700% | 5/15/28 | 23,390 | 20,050 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 8,000 | 6,175 | ||
Intel Corp. | 3.400% | 3/25/25 | 15,265 | 14,801 | ||
Intel Corp. | 3.750% | 3/25/27 | 4,660 | 4,460 | ||
Intel Corp. | 1.600% | 8/12/28 | 19,100 | 15,843 | ||
Intel Corp. | 2.450% | 11/15/29 | 14,155 | 11,830 | ||
International Business Machines Corp. | 3.450% | 2/19/26 | 2,500 | 2,385 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 46,875 | 44,203 | ||
NVIDIA Corp. | 1.550% | 6/15/28 | 30,000 | 24,874 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
QUALCOMM Inc. | 1.300% | 5/20/28 | 25,188 | 20,807 | ||
7 | S&P Global Inc. | 2.700% | 3/1/29 | 48,460 | 41,922 | |
S&P Global Inc. | 2.500% | 12/1/29 | 10,680 | 8,953 | ||
7 | S&P Global Inc. | 2.900% | 3/1/32 | 12,820 | 10,711 | |
Salesforce Inc. | 1.500% | 7/15/28 | 14,138 | 11,871 | ||
Salesforce Inc. | 1.950% | 7/15/31 | 7,425 | 5,855 | ||
Texas Instruments Inc. | 2.250% | 9/4/29 | 10,000 | 8,447 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 9,245 | 7,417 | ||
Texas Instruments Inc. | 3.650% | 8/16/32 | 6,365 | 5,754 | ||
TSMC Arizona Corp. | 3.875% | 4/22/27 | 13,439 | 12,806 | ||
533,291 | ||||||
Utilities (1.5%) | ||||||
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 8,040 | 7,478 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 8,575 | 6,565 | ||
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 11,165 | 10,123 | ||
4 | CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 8,745 | 7,148 | |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 2,480 | 2,288 | ||
4 | Commonwealth Edison Co. | 3.150% | 3/15/32 | 3,000 | 2,587 | |
4 | Connecticut Light & Power Co. | 3.200% | 3/15/27 | 21,650 | 20,165 | |
Consumers Energy Co. | 3.600% | 8/15/32 | 4,500 | 4,022 | ||
4 | Dominion Energy South Carolina Inc. | 2.300% | 12/1/31 | 10,000 | 7,924 | |
4 | DTE Electric Co. | 1.900% | 4/1/28 | 4,400 | 3,745 | |
DTE Electric Co. | 2.250% | 3/1/30 | 6,000 | 4,950 | ||
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 6,005 | 5,635 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 7,430 | 6,296 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 2,735 | 2,288 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 6,145 | 5,038 | ||
4 | Duke Energy Carolinas NC Storm Funding LLC | 1.679% | 7/1/31 | 7,465 | 6,498 | |
Duke Energy Florida LLC | 3.200% | 1/15/27 | 17,632 | 16,489 | ||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 10,765 | 10,073 | ||
Duke Energy Florida LLC | 2.500% | 12/1/29 | 16,960 | 14,332 | ||
Duke Energy Florida LLC | 2.400% | 12/15/31 | 5,000 | 3,970 | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 8,126 | 7,787 | ||
Duke Energy Progress LLC | 3.700% | 9/1/28 | 12,100 | 11,249 | ||
Duke Energy Progress LLC | 3.450% | 3/15/29 | 1,520 | 1,376 | ||
Duke Energy Progress LLC | 2.000% | 8/15/31 | 12,500 | 9,664 | ||
Entergy Arkansas LLC | 3.700% | 6/1/24 | 6,213 | 6,112 | ||
Entergy Arkansas LLC | 3.500% | 4/1/26 | 10,288 | 9,777 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 8,675 | 8,761 | ||
Entergy Louisiana LLC | 2.400% | 10/1/26 | 5,560 | 4,969 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 4,435 | 3,336 | ||
Evergy Kansas Central Inc. | 2.550% | 7/1/26 | 13,385 | 12,209 | ||
Florida Power & Light Co. | 2.450% | 2/3/32 | 5,000 | 4,067 | ||
7 | Korea East-West Power Co. Ltd. | 1.750% | 5/6/25 | 15,000 | 13,791 | |
7 | Korea East-West Power Co. Ltd. | 3.600% | 5/6/25 | 11,435 | 11,021 | |
MidAmerican Energy Co. | 3.100% | 5/1/27 | 1,170 | 1,085 | ||
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 3,375 | 3,351 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 4,350 | 4,248 | ||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 9,675 | 8,914 | ||
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 10,945 | 10,146 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 9,996 | 9,134 | ||
4 | Nevada Power Co. | 2.400% | 5/1/30 | 8,360 | 6,880 | |
4 | Ohio Power Co. | 1.625% | 1/15/31 | 4,975 | 3,750 | |
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 14,205 | 13,738 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 13,000 | 11,495 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 8,555 | 7,932 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 5/15/30 | 12,750 | 10,901 | ||
PacifiCorp | 3.500% | 6/15/29 | 27,904 | 25,219 | ||
4 | Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 8,385 | 7,990 | |
4 | Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 5,000 | 4,514 | |
4 | Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 5,430 | 5,012 | |
4 | Public Service Electric & Gas Co. | 3.700% | 5/1/28 | 1,980 | 1,848 | |
4 | Public Service Electric & Gas Co. | 3.650% | 9/1/28 | 2,730 | 2,524 | |
4 | Public Service Electric & Gas Co. | 2.450% | 1/15/30 | 7,500 | 6,337 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 14,881 | 14,495 | ||
Union Electric Co. | 2.950% | 6/15/27 | 1,177 | 1,073 | ||
Union Electric Co. | 2.950% | 3/15/30 | 15,000 | 12,981 | ||
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,730 | 1,696 | ||
4 | Virginia Electric & Power Co. | 3.100% | 5/15/25 | 6,210 | 5,937 | |
4 | Virginia Electric & Power Co. | 3.150% | 1/15/26 | 5,700 | 5,373 | |
4 | Virginia Electric & Power Co. | 2.950% | 11/15/26 | 10,000 | 9,216 | |
4 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 6,260 | 5,866 | |
Wisconsin Electric Power Co. | 4.750% | 9/30/32 | 7,500 | 7,232 | ||
460,620 | ||||||
Total Corporate Bonds (Cost $8,516,203) | 7,641,196 | |||||
Sovereign Bonds (2.7%) | ||||||
4 | Arab Petroleum Investments Corp. | 1.460% | 6/30/25 | 2,880 | 2,632 | |
4,7 | Banco del Estado de Chile | 2.704% | 1/9/25 | 9,000 | 8,420 | |
4 | Bermuda | 3.717% | 1/25/27 | 11,758 | 10,985 | |
4 | Bermuda | 4.750% | 2/15/29 | 3,810 | 3,663 | |
4,7 | Bermuda | 4.750% | 2/15/29 | 5,000 | 4,808 | |
4,7 | Bermuda | 2.375% | 8/20/30 | 5,000 | 3,995 | |
4,7 | Bermuda | 5.000% | 7/15/32 | 15,000 | 14,204 | |
4,7 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,519 | 1,485 | |
4 | CDP Financial Inc. | 3.150% | 7/24/24 | 20,000 | 19,543 | |
4,7 | CDP Financial Inc. | 0.875% | 6/10/25 | 40,000 | 36,347 | |
Corp. Andina de Fomento | 1.250% | 10/26/24 | 36,000 | 33,407 | ||
4,7,11 | Development Bank of Japan Inc. | 3.125% | 9/6/23 | 12,000 | 11,856 | |
4,11 | Development Bank of Japan Inc. | 2.750% | 9/16/25 | 8,500 | 8,046 | |
4,7,12 | Dexia Credit Local SA | 3.250% | 9/26/23 | 70,000 | 69,118 | |
Equinor ASA | 2.450% | 1/17/23 | 1,904 | 1,893 | ||
Equinor ASA | 3.700% | 3/1/24 | 7,000 | 6,901 | ||
Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,000 | 1,998 | ||
Export-Import Bank of Korea | 2.375% | 6/25/24 | 18,000 | 17,338 | ||
Export-Import Bank of Korea | 3.250% | 11/10/25 | 10,000 | 9,549 | ||
Export-Import Bank of Korea | 2.625% | 5/26/26 | 2,000 | 1,863 | ||
4 | Hydro-Quebec | 8.050% | 7/7/24 | 470 | 496 | |
11 | Japan Bank for International Cooperation | 3.375% | 10/31/23 | 10,000 | 9,879 | |
4,11 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 20,000 | 19,355 | |
4 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 19,279 | 19,140 | |
Korea Development Bank | 3.375% | 3/12/23 | 30,000 | 29,865 | ||
Korea Development Bank | 2.125% | 10/1/24 | 33,000 | 31,413 | ||
Korea Development Bank | 2.000% | 2/24/25 | 20,000 | 18,750 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
4 | Korea Electric Power Corp. | 1.125% | 6/15/25 | 18,400 | 16,534 | |
4,7 | Korea Gas Corp. | 3.875% | 7/13/27 | 35,000 | 33,160 | |
4,7 | Korea Hydro & Nuclear Power Co. Ltd. | 1.250% | 4/27/26 | 35,000 | 30,447 | |
4,7 | Korea Hydro & Nuclear Power Co. Ltd. | 4.250% | 7/27/27 | 35,000 | 33,631 | |
4 | Malaysia Sovereign Sukuk Bhd. | 3.043% | 4/22/25 | 510 | 492 | |
4,7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,600 | 6,137 | |
4,7 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 24,580 | 22,688 | |
4,7 | Ontario Teachers' Finance Trust | 1.250% | 9/27/30 | 25,000 | 19,538 | |
4 | Province of Quebec | 7.500% | 7/15/23 | 2,065 | 2,113 | |
4 | Province of Quebec | 7.125% | 2/9/24 | 2,674 | 2,762 | |
4,7 | Qatar Energy | 1.375% | 9/12/26 | 27,202 | 23,692 | |
Republic of Chile | 3.125% | 3/27/25 | 1,550 | 1,483 | ||
4 | Republic of Chile | 2.750% | 1/31/27 | 26,182 | 23,614 | |
4 | Republic of Chile | 2.450% | 1/31/31 | 17,771 | 14,257 | |
4 | Republic of Slovenia | 5.500% | 10/26/22 | 3,385 | 3,378 | |
4,7 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 11,000 | 10,568 | |
4 | Saudi Arabian Oil Co. | 2.250% | 11/24/30 | 12,863 | 10,411 | |
4 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 888 | 886 | |
4 | Sinopec Group Overseas Development 2014 Ltd. | 4.375% | 4/10/24 | 288 | 287 | |
4 | State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 800 | 793 | |
State of Israel | 2.750% | 7/3/30 | 11,864 | 10,486 | ||
4 | State of Qatar | 3.875% | 4/23/23 | 2,501 | 2,491 | |
4 | State of Qatar | 3.250% | 6/2/26 | 3,600 | 3,420 | |
4,7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 2,000 | 1,988 | |
4,7 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 20,000 | 19,075 | |
4 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 9,500 | 9,060 | |
4 | Temasek Financial I Ltd. | 1.000% | 10/6/30 | 5,000 | 3,853 | |
4,7 | Temasek Financial I Ltd. | 1.625% | 8/2/31 | 125,000 | 99,195 | |
4,7 | UAE International Government Bond | 4.050% | 7/7/32 | 30,000 | 28,039 | |
Total Sovereign Bonds (Cost $909,835) | 831,427 | |||||
Taxable Municipal Bonds (0.9%) | ||||||
California GO | 2.650% | 4/1/26 | 50,000 | 46,975 | ||
Dallas TX Waterworks & Sewer System Revenue | 2.589% | 10/1/27 | 1,450 | 1,319 | ||
Florida State Board of Administration Finance Corp. Revenue | 1.705% | 7/1/27 | 75,000 | 64,138 | ||
Florida State Board of Administration Finance Corp. Revenue | 2.154% | 7/1/30 | 55,000 | 44,157 | ||
New York City NY GO | 3.750% | 6/1/28 | 1,020 | 958 | ||
New York City NY GO | 2.330% | 10/1/29 | 5,000 | 4,178 | ||
Texas Public Finance Authority GO | 2.531% | 10/1/23 | 480 | 473 | ||
University of California Revenue | 3.063% | 7/1/25 | 3,430 | 3,293 | ||
University of California Revenue | 1.316% | 5/15/27 | 25,000 | 21,482 | ||
University of California Revenue | 3.349% | 7/1/29 | 48,635 | 43,872 | ||
University of California Revenue | 1.614% | 5/15/30 | 34,665 | 27,235 | ||
13 | Wisconsin General Fund Annual Appropriation Revenue | 5.700% | 5/1/26 | 2,205 | 2,261 | |
Total Taxable Municipal Bonds (Cost $308,146) | 260,341 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
14 | Vanguard Market Liquidity Fund (Cost $197,020) | 2.828% | 1,970,892 | 197,030 | ||
Total Investments (95.7%) (Cost $31,669,707) | 29,024,100 | |||||
Maturity Date | Face Amount ($000) | |||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.6%) | ||||||
4,5,6 | UMBS Pool (Proceeds $111,953) | 3.000% | 7/1/32–11/25/52 | (219,025) | (176,845) | |
Other Assets and Liabilities—Net (4.9%) | 1,470,703 | |||||
Net Assets (100%) | 30,317,958 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $24,172,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $1,885,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Securities with a value of $2,584,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
6 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2022. |
7 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $2,768,570,000, representing 9.1% of net assets. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Face amount denominated in euro. |
10 | Face amount denominated in British pounds. |
11 | Guaranteed by the Government of Japan. |
12 | Guaranteed by multiple countries. |
13 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SOFR—Secured Overnight Financing Rate. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 2,831 | 581,461 | (7,899) |
5-Year U.S. Treasury Note | December 2022 | 21,335 | 2,293,679 | (53,201) |
Long U.S. Treasury Bond | December 2022 | 46 | 5,815 | (1) |
Ultra Long U.S. Treasury Bond | December 2022 | 167 | 22,879 | 21 |
(61,080) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | December 2022 | (2,520) | (282,398) | 6,747 |
Euro-Bobl | December 2022 | (567) | (66,544) | 1,960 |
Euro-Schatz | December 2022 | (603) | (63,331) | 678 |
Long Gilt | December 2022 | (31) | (3,337) | 467 |
Ultra 10-Year U.S. Treasury Note | December 2022 | (3,428) | (406,164) | 9,612 |
19,464 | ||||
(41,616) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Credit Agricole CIB | 11/2/22 | EUR | 1,739 | USD | 1,688 | 20 | — |
Morgan Stanley Capital Services LLC | 11/2/22 | EUR | 1,660 | USD | 1,666 | — | (36) |
State Street Bank & Trust Co. | 10/27/22 | USD | 173,689 | EUR | 172,994 | 3,868 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 3,279 | EUR | 3,274 | 64 | — |
Standard Chartered Bank | 10/13/22 | USD | 7,853 | GBP | 6,765 | 298 | — |
State Street Bank & Trust Co. | 11/2/22 | USD | 1,158 | GBP | 1,005 | 35 | — |
4,285 | (36) |
EUR—euro. |
GBP—British pound. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
America Movil SAB de CV/Baa1 | 6/20/23 | BARC | 6,200 | 1.000 | 24 | (16) | 40 | — |
Federation of Malaysia/A3 | 12/20/27 | MSCS | 2,438 | 1.000 | (270) | (16) | — | (254) |
Republic of Chile/A2 | 12/20/27 | BARC | 6,500 | 1.000 | (200) | (141) | — | (59) |
Republic of Chile/A2 | 12/20/27 | BARC | 3,600 | 1.000 | (111) | (82) | — | (29) |
Republic of Chile/A2 | 12/20/27 | CITNA | 44,210 | 1.000 | (1,361) | (1,120) | — | (241) |
Republic of Chile/A2 | 12/20/27 | JPMC | 40,720 | 1.000 | (1,254) | (1,101) | — | (153) |
Republic of Chile/A2 | 12/20/27 | MSCS | 20,850 | 1.000 | (642) | (472) | — | (170) |
(3,814) | (2,948) | 40 | (906) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
CITNA—Citibank, N.A. |
JPMC—JPMorgan Chase Bank, N.A. |
MSCS—Morgan Stanley Capital Services LLC. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $31,472,687) | 28,827,070 |
Affiliated Issuers (Cost $197,020) | 197,030 |
Total Investments in Securities | 29,024,100 |
Investment in Vanguard | 1,159 |
Cash | 368,388 |
Foreign Currency, at Value (Cost $3,163) | 3,143 |
Receivables for Investment Securities Sold | 7,807,015 |
Receivables for Accrued Income | 127,854 |
Unrealized Appreciation—Forward Currency Contracts | 4,285 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 40 |
Total Assets | 37,335,984 |
Liabilities | |
Liability for Sale Commitments, at Value (Proceeds $111,953) | 176,845 |
Payables for Investment Securities Purchased | 6,833,498 |
Payables to Vanguard | 251 |
Swap Premiums Received | 2,948 |
Variation Margin Payable—Futures Contracts | 3,542 |
Unrealized Depreciation—Forward Currency Contracts | 36 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 906 |
Total Liabilities | 7,018,026 |
Net Assets | 30,317,958 |
At September 30, 2022, net assets consisted of: | |
Paid-in Capital | 33,868,370 |
Total Distributable Earnings (Loss) | (3,550,412) |
Net Assets | 30,317,958 |
Net Assets | |
Applicable to 1,451,322,316 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 30,317,958 |
Net Asset Value Per Share | $20.89 |
Year Ended September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 528,684 |
Total Income | 528,684 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,303 |
Management and Administrative | 3,343 |
Marketing and Distribution | 500 |
Custodian Fees | 197 |
Auditing Fees | 43 |
Shareholders’ Reports | 17 |
Trustees’ Fees and Expenses | 12 |
Other Expenses | 14 |
Total Expenses | 6,429 |
Expenses Paid Indirectly | (75) |
Net Expenses | 6,354 |
Net Investment Income | 522,330 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (703,231) |
Futures Contracts | (111,752) |
Swap Contracts | 2,720 |
Forward Currency Contracts | 38,043 |
Foreign Currencies | (494) |
Realized Net Gain (Loss) | (774,714) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (2,995,767) |
Futures Contracts | (36,329) |
Swap Contracts | (2,292) |
Forward Currency Contracts | (257) |
Foreign Currencies | (19) |
Change in Unrealized Appreciation (Depreciation) | (3,034,664) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,287,048) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,815,000, ($1,066,000), $42,000, and $6,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended September 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 522,330 | 412,315 |
Realized Net Gain (Loss) | (774,714) | 258,364 |
Change in Unrealized Appreciation (Depreciation) | (3,034,664) | (708,576) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,287,048) | (37,897) |
Distributions | ||
Total Distributions | (755,259) | (713,612) |
Capital Share Transactions | ||
Issued | 2,055,419 | 6,187,058 |
Issued in Lieu of Cash Distributions | 755,259 | 713,612 |
Redeemed | (1,487,651) | (3,161,073) |
Net Increase (Decrease) from Capital Share Transactions | 1,323,027 | 3,739,597 |
Total Increase (Decrease) | (2,719,280) | 2,988,088 |
Net Assets | ||
Beginning of Period | 33,037,238 | 30,049,150 |
End of Period | 30,317,958 | 33,037,238 |
For a Share Outstanding Throughout Each Period | Year Ended September 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $23.75 | $24.31 | $23.43 | $22.39 | $23.12 |
Investment Operations | |||||
Net Investment Income1 | .370 | .304 | .517 | .656 | .561 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.693) | (.334) | .880 | 1.034 | (.736) |
Total from Investment Operations | (2.323) | (.030) | 1.397 | 1.690 | (.175) |
Distributions | |||||
Dividends from Net Investment Income | (.366) | (.304) | (.517) | (.650) | (.555) |
Distributions from Realized Capital Gains | (.171) | (.226) | — | — | — |
Total Distributions | (.537) | (.530) | (.517) | (.650) | (.555) |
Net Asset Value, End of Period | $20.89 | $23.75 | $24.31 | $23.43 | $22.39 |
Total Return | -9.93% | -0.13% | 6.02% | 7.66% | -0.75% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $30,318 | $33,037 | $30,049 | $21,906 | $16,527 |
Ratio of Total Expenses to Average Net Assets | 0.02%2 | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.64% | 1.27% | 2.16% | 2.86% | 2.48% |
Portfolio Turnover Rate3 | 426% | 414% | 347% | 323% | 182% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.02%. |
3 | Includes 146%, 151%, 114%, 46%, and 67%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 16,010,443 | — | 16,010,443 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 4,083,663 | — | 4,083,663 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Corporate Bonds | — | 7,641,196 | — | 7,641,196 |
Sovereign Bonds | — | 831,427 | — | 831,427 |
Taxable Municipal Bonds | — | 260,341 | — | 260,341 |
Temporary Cash Investments | 197,030 | — | — | 197,030 |
Total | 197,030 | 28,827,070 | — | 29,024,100 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 176,845 | — | 176,845 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 19,485 | — | — | 19,485 |
Forward Currency Contracts | — | 4,285 | — | 4,285 |
Swap Contracts | — | 40 | — | 40 |
Total | 19,485 | 4,325 | — | 23,810 |
Liabilities | ||||
Futures Contracts1 | 61,101 | — | — | 61,101 |
Forward Currency Contracts | — | 36 | — | 36 |
Swap Contracts | — | 906 | — | 906 |
Total | 61,101 | 942 | — | 62,043 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 19,485 | — | — | 19,485 |
Unrealized Appreciation—Forward Currency Contracts | — | 4,285 | — | 4,285 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 40 | 40 |
Total Assets | 19,485 | 4,285 | 40 | 23,810 |
Swap Premiums Received | — | — | 2,948 | 2,948 |
Unrealized Depreciation—Futures Contracts1 | 61,101 | — | — | 61,101 |
Unrealized Depreciation—Forward Currency Contracts | — | 36 | — | 36 |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 906 | 906 |
Total Liabilities | 61,101 | 36 | 3,854 | 64,991 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (111,752) | — | — | (111,752) |
Swap Contracts | 3,940 | — | (1,220) | 2,720 |
Forward Currency Contracts | — | 38,043 | — | 38,043 |
Realized Net Gain (Loss) on Derivatives | (107,812) | 38,043 | (1,220) | (70,989) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (36,329) | — | — | (36,329) |
Swap Contracts | (1,386) | — | (906) | (2,292) |
Forward Currency Contracts | — | (257) | — | (257) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (37,715) | (257) | (906) | (38,878) |
Amount ($000) | |
Undistributed Ordinary Income | 2,970 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (868,111) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (2,685,271) |
Year Ended September 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 520,177 | 603,341 |
Long-Term Capital Gains | 235,082 | 110,271 |
Total | 755,259 | 713,612 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 31,640,665 |
Gross Unrealized Appreciation | 318,160 |
Gross Unrealized Depreciation | (3,003,431) |
Net Unrealized Appreciation (Depreciation) | (2,685,271) |
Year Ended September 30, | ||||
2022 Shares (000) | 2021 Shares (000) | |||
Issued | 91,290 | 257,053 | ||
Issued in Lieu of Cash Distributions | 33,517 | 29,715 | ||
Redeemed | (64,422) | (131,881) | ||
Net Increase (Decrease) in Shares Outstanding | 60,385 | 154,887 |
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November 18, 2022
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• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Multi-Sector Income Bond Fund | |||
Investor Shares | $1,000.00 | $907.90 | $1.91 |
Admiral™ Shares | 1,000.00 | 907.30 | 1.43 |
Based on Hypothetical 5% Yearly Return | |||
Multi-Sector Income Bond Fund | |||
Investor Shares | $1,000.00 | $1,023.06 | $2.03 |
Admiral Shares | 1,000.00 | 1,023.56 | 1.52 |
Total Returns Period Ended September 30, 2022 | |||
Since Inception (10/12/2021) | Final Value of a $10,000 Investment | ||
Multi-Sector Income Bond Fund Investor Shares | -13.94% | $8,606 | |
Bloomberg Multi-Sector Income Composite Index | -14.52 | 8,548 |
Since Inception (10/12/2021) | Final Value of a $50,000 Investment | ||
Multi-Sector Income Bond Fund Admiral Shares | -13.91% | $43,046 | |
Bloomberg Multi-Sector Income Composite Index | -14.52 | 42,741 |
United States | 75.0% |
United Kingdom | 3.6 |
Japan | 3.2 |
Canada | 2.5 |
Indonesia | 1.6 |
Mexico | 1.4 |
Switzerland | 1.2 |
Peru | 1.0 |
Other | 10.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (6.9%) | ||||||
1,2 | United States Treasury Note/Bond | 1.750% | 3/15/25 | 226 | 213 | |
United States Treasury Note/Bond | 1.875% | 11/15/51 | 119 | 79 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 40 | 29 | ||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 285 | 274 | ||
United States Treasury Note/Bond | 2.750% | 8/15/32–11/15/47 | 79 | 67 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 147 | 123 | ||
United States Treasury Note/Bond | 3.000% | 7/15/25–2/15/48 | 580 | 550 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 60 | 58 | ||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 10 | 9 | ||
United States Treasury Note/Bond | 3.375% | 8/15/42 | 90 | 81 | ||
Total U.S. Government and Agency Obligations (Cost $1,581) | 1,483 | |||||
Corporate Bonds (73.9%) | ||||||
Belgium (0.5%) | ||||||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 113 | 110 | ||
Canada (2.3%) | ||||||
3 | 1011778 BC ULC | 3.875% | 1/15/28 | 50 | 43 | |
3 | 1375209 BC Ltd. | 9.000% | 1/30/28 | 6 | 6 | |
3 | Air Canada | 3.875% | 8/15/26 | 120 | 103 | |
3 | Antares Holdings LP | 3.950% | 7/15/26 | 250 | 211 | |
4 | Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 10 | 9 | |
Canadian Pacific Railway Co. | 1.750% | 12/2/26 | 10 | 9 | ||
3 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 80 | 66 | |
Nutrien Ltd. | 4.200% | 4/1/29 | 20 | 19 | ||
3 | Videotron Ltd. | 3.625% | 6/15/29 | 40 | 32 | |
498 | ||||||
France (0.5%) | ||||||
3 | SPCM SA | 3.125% | 3/15/27 | 50 | 44 | |
3 | SPCM SA | 3.375% | 3/15/30 | 70 | 55 | |
99 | ||||||
Indonesia (0.7%) | ||||||
3 | Freeport Indonesia PT | 6.200% | 4/14/52 | 200 | 152 | |
Ireland (0.7%) | ||||||
AerCap Ireland Capital DAC | 1.150% | 10/29/23 | 150 | 143 | ||
Japan (3.0%) | ||||||
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 200 | 190 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 315 | 307 | |
Nomura Holdings Inc. | 2.172% | 7/14/28 | 200 | 160 | ||
657 | ||||||
Macao (0.2%) | ||||||
3 | Studio City Co. Ltd. | 7.000% | 2/15/27 | 50 | 42 | |
Netherlands (0.1%) | ||||||
3 | VZ Secured Financing BV | 5.000% | 1/15/32 | 30 | 23 | |
Poland (0.5%) | ||||||
3 | Canpack SA | 3.875% | 11/15/29 | 145 | 114 | |
Switzerland (1.1%) | ||||||
Credit Suisse AG | 4.750% | 8/9/24 | 250 | 243 | ||
Thailand (0.8%) | ||||||
3 | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 200 | 171 | |
United Kingdom (3.4%) | ||||||
AstraZeneca Finance LLC | 1.200% | 5/28/26 | 60 | 53 | ||
Barclays plc | 4.375% | 9/11/24 | 200 | 193 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 200 | 185 | ||
4 | NatWest Group plc | 3.754% | 11/1/29 | 200 | 185 | |
3 | Rolls-Royce plc | 3.625% | 10/14/25 | 125 | 108 | |
724 | ||||||
United States (60.1%) | ||||||
AbbVie Inc. | 3.200% | 5/14/26 | 75 | 70 | ||
AbbVie Inc. | 4.250% | 11/14/28 | 113 | 106 | ||
3 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 50 | 48 | |
Albemarle Corp. | 4.650% | 6/1/27 | 5 | 5 | ||
Albemarle Corp. | 5.050% | 6/1/32 | 10 | 9 | ||
3 | Allison Transmission Inc. | 4.750% | 10/1/27 | 80 | 71 | |
3 | American Airlines Inc. | 11.750% | 7/15/25 | 55 | 58 | |
3 | American Airlines Inc. | 5.500% | 4/20/26 | 150 | 141 | |
American Express Co. | 3.950% | 8/1/25 | 50 | 48 | ||
Amgen Inc. | 3.000% | 2/22/29 | 40 | 35 | ||
3 | Antero Resources Corp. | 5.375% | 3/1/30 | 80 | 72 | |
Apple Inc. | 3.350% | 8/8/32 | 70 | 62 | ||
3 | Aramark Services Inc. | 5.000% | 2/1/28 | 55 | 49 | |
3 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 50 | 39 | |
AT&T Inc. | 2.750% | 6/1/31 | 60 | 48 | ||
3 | Avient Corp. | 7.125% | 8/1/30 | 50 | 46 | |
3 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 160 | 143 | |
Ball Corp. | 3.125% | 9/15/31 | 60 | 45 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 88 | 75 | ||
4 | Bank of America Corp. | 4.271% | 7/23/29 | 40 | 36 | |
4 | Bank of America Corp. | 1.922% | 10/24/31 | 35 | 26 | |
Bath & Body Works Inc. | 7.500% | 6/15/29 | 55 | 50 | ||
3 | Bausch Health Cos. Inc. | 11.000% | 9/30/28 | 10 | 8 | |
3 | Bausch Health Cos. Inc. | 14.000% | 10/15/30 | 2 | 1 | |
3 | Big River Steel LLC | 6.625% | 1/31/29 | 110 | 102 | |
Boeing Co. | 2.750% | 2/1/26 | 113 | 102 | ||
Boston Properties LP | 3.650% | 2/1/26 | 60 | 57 | ||
Boyd Gaming Corp. | 4.750% | 12/1/27 | 80 | 71 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 80 | 75 | ||
3 | Cable One Inc. | 4.000% | 11/15/30 | 75 | 58 | |
3 | Caesars Resort Collection LLC | 5.750% | 7/1/25 | 35 | 34 | |
3 | Calpine Corp. | 5.125% | 3/15/28 | 80 | 69 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Camelot Return Merger Sub Inc. | 8.750% | 8/1/28 | 65 | 54 | |
3 | Carnival Corp. | 4.000% | 8/1/28 | 130 | 105 | |
3 | CCO Holdings LLC | 5.000% | 2/1/28 | 80 | 70 | |
3 | CCO Holdings LLC | 6.375% | 9/1/29 | 80 | 73 | |
3 | CCO Holdings LLC | 4.750% | 3/1/30 | 80 | 65 | |
3 | Cedar Fair LP | 5.500% | 5/1/25 | 150 | 144 | |
Celanese US Holdings LLC | 5.900% | 7/5/24 | 20 | 20 | ||
Celanese US Holdings LLC | 6.165% | 7/15/27 | 10 | 9 | ||
Centene Corp. | 2.450% | 7/15/28 | 120 | 98 | ||
Centene Corp. | 3.000% | 10/15/30 | 40 | 32 | ||
3 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 50 | 44 | |
Charter Communications Operating LLC | 4.908% | 7/23/25 | 120 | 117 | ||
3 | Chemours Co. | 4.625% | 11/15/29 | 75 | 56 | |
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 30 | 30 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 80 | 67 | ||
3 | Churchill Downs Inc. | 4.750% | 1/15/28 | 150 | 130 | |
4 | Citigroup Inc. | 3.352% | 4/24/25 | 85 | 82 | |
Citigroup Inc. | 4.400% | 6/10/25 | 55 | 53 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 35 | 32 | ||
4 | Citigroup Inc. | 2.666% | 1/29/31 | 45 | 36 | |
3 | Clarios Global LP | 6.250% | 5/15/26 | 80 | 76 | |
3 | Clarios Global LP | 8.500% | 5/15/27 | 110 | 105 | |
3 | Clean Harbors Inc. | 4.875% | 7/15/27 | 80 | 73 | |
3 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 90 | 80 | |
3 | Cleveland-Cliffs Inc. | 6.750% | 3/15/26 | 50 | 49 | |
3 | CNX Resources Corp. | 7.375% | 1/15/31 | 15 | 15 | |
3 | Cogent Communications Group Inc. | 7.000% | 6/15/27 | 35 | 33 | |
3 | Colgate Energy Partners III LLC | 7.750% | 2/15/26 | 40 | 40 | |
3 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 85 | 76 | |
3 | CommScope Inc. | 6.000% | 3/1/26 | 80 | 74 | |
3 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 60 | 49 | |
ConocoPhillips Co. | 6.950% | 4/15/29 | 10 | 11 | ||
3 | Corebridge Financial Inc. | 3.500% | 4/4/25 | 10 | 10 | |
3 | Corebridge Financial Inc. | 3.650% | 4/5/27 | 10 | 9 | |
3 | Corebridge Financial Inc. | 3.850% | 4/5/29 | 10 | 9 | |
3 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 10 | 8 | |
3 | CrownRock LP | 5.625% | 10/15/25 | 80 | 77 | |
3 | CSC Holdings LLC | 4.625% | 12/1/30 | 40 | 27 | |
3 | CSC Holdings LLC | 3.375% | 2/15/31 | 25 | 18 | |
CVS Health Corp. | 4.300% | 3/25/28 | 113 | 107 | ||
Dana Inc. | 4.500% | 2/15/32 | 70 | 51 | ||
3 | DaVita Inc. | 3.750% | 2/15/31 | 70 | 50 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 140 | 135 | ||
Dell International LLC | 5.850% | 7/15/25 | 115 | 116 | ||
3 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 142 | 133 | |
Devon Energy Corp. | 5.850% | 12/15/25 | 50 | 51 | ||
3 | Directv Financing LLC | 5.875% | 8/15/27 | 100 | 86 | |
3 | DISH DBS Corp. | 5.250% | 12/1/26 | 45 | 37 | |
3 | DISH DBS Corp. | 5.750% | 12/1/28 | 15 | 11 | |
DISH DBS Corp. | 5.125% | 6/1/29 | 30 | 18 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 30 | 23 | ||
3 | DT Midstream Inc. | 4.125% | 6/15/29 | 160 | 135 | |
Duke Energy Progress LLC | 3.400% | 4/1/32 | 30 | 26 | ||
3 | Element Solutions Inc. | 3.875% | 9/1/28 | 80 | 64 | |
Encompass Health Corp. | 4.500% | 2/1/28 | 40 | 34 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Energizer Holdings Inc. | 4.750% | 6/15/28 | 97 | 77 | |
3 | Energizer Holdings Inc. | 4.375% | 3/31/29 | 70 | 52 | |
4 | Energy Transfer LP | 5.500% | 6/1/27 | 50 | 49 | |
3 | EnLink Midstream LLC | 5.625% | 1/15/28 | 110 | 103 | |
3 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 30 | 27 | |
3 | Entegris Escrow Corp. | 5.950% | 6/15/30 | 100 | 91 | |
3 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 30 | 29 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 100 | 86 | ||
3 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 50 | 47 | |
EQT Corp. | 6.125% | 2/1/25 | 25 | 25 | ||
5 | EQT Corp. | 5.678% | 10/1/25 | 15 | 15 | |
3 | Exelon Corp. | 3.350% | 3/15/32 | 50 | 42 | |
Exxon Mobil Corp. | 3.482% | 3/19/30 | 45 | 41 | ||
4 | FirstEnergy Corp. | 1.600% | 1/15/26 | 50 | 44 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 110 | 89 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 40 | 32 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/10/29 | 150 | 114 | ||
Ford Motor Credit Co. LLC | 4.000% | 11/13/30 | 25 | 20 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 35 | 26 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 10 | 9 | ||
3 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 70 | 55 | |
3 | Frontier Communications Holdings LLC | 8.750% | 5/15/30 | 50 | 50 | |
3 | Gates Global LLC | 6.250% | 1/15/26 | 10 | 9 | |
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 200 | 179 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 98 | 95 | ||
Global Payments Inc. | 1.500% | 11/15/24 | 10 | 9 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 20 | 17 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 60 | 57 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 25 | 19 | ||
Goodyear Tire & Rubber Co. | 5.000% | 7/15/29 | 50 | 41 | ||
3 | Graham Packaging Co. Inc. | 7.125% | 8/15/28 | 50 | 40 | |
3 | GSK Consumer Healthcare Capital US LLC | 3.625% | 3/24/32 | 15 | 13 | |
3 | GSK Consumer Healthcare Capital US LLC | 4.000% | 3/24/52 | 10 | 7 | |
3 | Harley-Davidson Financial Services Inc. | 3.050% | 2/14/27 | 20 | 17 | |
3 | HCA Inc. | 3.625% | 3/15/32 | 30 | 24 | |
Home Depot Inc. | 1.875% | 9/15/31 | 5 | 4 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 10 | 9 | ||
Home Depot Inc. | 4.500% | 9/15/32 | 25 | 24 | ||
3 | ITC Holdings Corp. | 4.950% | 9/22/27 | 150 | 146 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 65 | 62 | ||
4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 95 | 92 | |
JPMorgan Chase & Co. | 1.470% | 9/22/27 | 65 | 55 | ||
JPMorgan Chase & Co. | 4.323% | 4/26/28 | 30 | 28 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 40 | 32 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 50 | 37 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 5 | 5 | ||
3 | Kaiser Aluminum Corp. | 4.500% | 6/1/31 | 75 | 54 | |
KB Home | 7.250% | 7/15/30 | 30 | 27 | ||
Kilroy Realty LP | 4.750% | 12/15/28 | 60 | 55 | ||
KLA Corp. | 4.650% | 7/15/32 | 20 | 19 | ||
KLA Corp. | 5.000% | 3/15/49 | 10 | 9 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 80 | 71 | ||
3 | Ladder Capital Finance Holdings LLLP | 4.750% | 6/15/29 | 45 | 34 | |
3 | Lamb Weston Holdings Inc. | 4.125% | 1/31/30 | 65 | 55 | |
3 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 120 | 94 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Lithia Motors Inc. | 4.625% | 12/15/27 | 110 | 96 | |
3 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 110 | 106 | |
Lowe's Cos. Inc. | 3.350% | 4/1/27 | 5 | 5 | ||
Lowe's Cos. Inc. | 3.750% | 4/1/32 | 15 | 13 | ||
Lowe's Cos. Inc. | 4.450% | 4/1/62 | 10 | 8 | ||
3 | Mattel Inc. | ���3.375% | 4/1/26 | 20 | 18 | |
3 | Mattel Inc. | 5.875% | 12/15/27 | 15 | 14 | |
Merck & Co. Inc. | 2.150% | 12/10/31 | 40 | 32 | ||
3 | Meta Platforms Inc. | 3.500% | 8/15/27 | 60 | 56 | |
3 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 172 | 168 | |
3 | MIWD Holdco II LLC | 5.500% | 2/1/30 | 15 | 11 | |
Mondelez International Inc. | 2.750% | 4/13/30 | 28 | 23 | ||
4 | Morgan Stanley | 1.512% | 7/20/27 | 85 | 72 | |
Morgan Stanley | 4.889% | 7/20/33 | 30 | 28 | ||
MPLX LP | 4.000% | 3/15/28 | 25 | 23 | ||
MPT Operating Partnership LP | 3.500% | 3/15/31 | 75 | 52 | ||
3 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 75 | 64 | |
3 | NCL Corp. Ltd. | 5.875% | 2/15/27 | 75 | 62 | |
3 | NCL Corp. Ltd. | 7.750% | 2/15/29 | 35 | 26 | |
Netflix Inc. | 4.875% | 4/15/28 | 120 | 112 | ||
Newell Brands Inc. | 4.450% | 4/1/26 | 5 | 5 | ||
Newell Brands Inc. | 6.375% | 9/15/27 | 5 | 5 | ||
Newell Brands Inc. | 6.625% | 9/15/29 | 10 | 10 | ||
Newmont Corp. | 2.800% | 10/1/29 | 55 | 46 | ||
3 | News Corp. | 3.875% | 5/15/29 | 200 | 170 | |
3 | Nexstar Media Inc. | 5.625% | 7/15/27 | 150 | 138 | |
NextEra Energy Capital Holdings Inc. | 2.440% | 1/15/32 | 15 | 12 | ||
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 20 | 19 | ||
3 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 4 | 4 | |
3 | Novelis Corp. | 4.750% | 1/30/30 | 60 | 49 | |
Nucor Corp. | 3.125% | 4/1/32 | 10 | 8 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 50 | 50 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 100 | 98 | ||
3 | Olympus Water US Holding Corp. | 4.250% | 10/1/28 | 80 | 61 | |
OneMain Finance Corp. | 3.500% | 1/15/27 | 25 | 20 | ||
3 | Organon & Co. | 4.125% | 4/30/28 | 160 | 137 | |
Ovintiv Exploration Inc. | 5.375% | 1/1/26 | 50 | 50 | ||
Pacific Gas & Electric Co. | 2.100% | 8/1/27 | 40 | 32 | ||
Paramount Global | 4.000% | 1/15/26 | 85 | 80 | ||
3 | Performance Food Group Inc. | 5.500% | 10/15/27 | 70 | 64 | |
3 | Performance Food Group Inc. | 4.250% | 8/1/29 | 30 | 25 | |
Philip Morris International Inc. | 3.250% | 11/10/24 | 60 | 58 | ||
Philip Morris International Inc. | 0.875% | 5/1/26 | 60 | 52 | ||
3 | Picard Midco Inc. | 6.500% | 3/31/29 | 85 | 72 | |
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 50 | 38 | ||
Realty Income Corp. | 4.625% | 11/1/25 | 60 | 59 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 70 | 59 | ||
3,5 | Royal Caribbean Cruises Ltd. | 8.250% | 1/15/29 | 8 | 8 | |
3 | S&P Global Inc. | 2.700% | 3/1/29 | 160 | 138 | |
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 50 | 46 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 50 | 47 | ||
3 | SBL Holdings Inc. | 5.000% | 2/18/31 | 50 | 38 | |
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 50 | 45 | ||
3 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 25 | 19 | |
3 | Scripps Escrow Inc. | 5.875% | 7/15/27 | 40 | 35 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Spirit AeroSystems Inc. | 7.500% | 4/15/25 | 8 | 8 | |
Spirit AeroSystems Inc. | 4.600% | 6/15/28 | 29 | 21 | ||
Take-Two Interactive Software Inc. | 3.300% | 3/28/24 | 15 | 15 | ||
Take-Two Interactive Software Inc. | 3.700% | 4/14/27 | 10 | 9 | ||
Take-Two Interactive Software Inc. | 4.000% | 4/14/32 | 10 | 9 | ||
3 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 40 | 37 | |
Targa Resources Partners LP | 4.000% | 1/15/32 | 8 | 7 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 30 | 24 | ||
3 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 80 | 75 | |
3 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 40 | 35 | |
3 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 40 | 33 | |
Thermo Fisher Scientific Inc. | 2.600% | 10/1/29 | 60 | 52 | ||
T-Mobile USA Inc. | 2.625% | 4/15/26 | 85 | 77 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 130 | 107 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 50 | 43 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 60 | 53 | ||
3 | TopBuild Corp. | 3.625% | 3/15/29 | 50 | 40 | |
4 | Toyota Motor Credit Corp. | 4.400% | 9/20/24 | 100 | 99 | |
Toyota Motor Credit Corp. | 3.050% | 3/22/27 | 20 | 18 | ||
3 | TransDigm Inc. | 8.000% | 12/15/25 | 35 | 36 | |
3 | TransDigm Inc. | 6.250% | 3/15/26 | 80 | 78 | |
TransDigm Inc. | 4.875% | 5/1/29 | 120 | 97 | ||
3 | United Airlines Inc. | 4.375% | 4/15/26 | 160 | 143 | |
3 | Univision Communications Inc. | 7.375% | 6/30/30 | 70 | 67 | |
US Bancorp | 4.548% | 7/22/28 | 50 | 48 | ||
US Bancorp | 4.967% | 7/22/33 | 35 | 33 | ||
3 | Vail Resorts Inc. | 6.250% | 5/15/25 | 70 | 69 | |
3 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 120 | 103 | |
Viatris Inc. | 2.300% | 6/22/27 | 90 | 74 | ||
3 | Vistra Operations Co. LLC | 5.125% | 5/13/25 | 25 | 24 | |
3 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 80 | 72 | |
VMware Inc. | 4.700% | 5/15/30 | 81 | 73 | ||
Walmart Inc. | 3.900% | 9/9/25 | 105 | 103 | ||
3 | Warnermedia Holdings Inc. | 3.428% | 3/15/24 | 20 | 19 | |
3 | Warnermedia Holdings Inc. | 3.755% | 3/15/27 | 70 | 63 | |
3 | Warnermedia Holdings Inc. | 4.054% | 3/15/29 | 40 | 35 | |
3 | Warnermedia Holdings Inc. | 4.279% | 3/15/32 | 30 | 25 | |
4 | Wells Fargo & Co. | 4.100% | 6/3/26 | 50 | 48 | |
Western Midstream Operating LP | 4.500% | 3/1/28 | 55 | 49 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 25 | 23 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 40 | 34 | ||
Willis North America Inc. | 4.500% | 9/15/28 | 35 | 32 | ||
3 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 125 | 104 | |
3 | Wynn Resorts Finance LLC | 7.750% | 4/15/25 | 40 | 39 | |
Xcel Energy Inc. | 4.000% | 6/15/28 | 50 | 47 | ||
Xcel Energy Inc. | 4.600% | 6/1/32 | 50 | 46 | ||
3 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 190 | 153 | |
12,939 | ||||||
Total Corporate Bonds (Cost $18,054) | 15,915 | |||||
Floating Rate Loan Interests (3.7%) | ||||||
United States (3.7%) | ||||||
6 | AAdvantage Loyalty IP Ltd. Initial Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 55 | 53 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Bausch Health Cos. Inc. Second Amendment Term Loan, TSFR1M + 5.250% | 8.098% | 2/1/27 | 54 | 42 | |
6 | Central Parent Inc. First Lien Initial Term Loan, TSFR3M + 4.500% | 6.610% | 7/6/29 | 50 | 48 | |
6 | Churchill Downs Inc. Term Loan B, 1M USD LIBOR + 2.000% | 5.120% | 12/27/24 | 50 | 49 | |
6 | Clarios Global LP First Lien Dollar Term Loan, 1M USD LIBOR + 3.250% | 6.365% | 4/30/26 | 5 | 5 | |
6 | DaVita Inc. Tranche B-1 Term Loan, 1M USD LIBOR + 1.750% | 4.865% | 8/12/26 | 45 | 43 | |
6 | Directv Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 8.115% | 8/2/27 | 24 | 22 | |
6 | First Student Bidco Inc. Incremental Term Loan B, TSFR3M + 4.000% | 6.154% | 7/21/28 | 36 | 34 | |
6 | First Student Bidco Inc. Incremental Term Loan C, TSFR3M + 4.000% | 6.154% | 7/21/28 | 4 | 4 | |
6 | McAfee Corp. Tranche B-1 Term Loan, TSFR1M + 3.750% | 6.362% | 3/1/29 | 40 | 36 | |
6 | SBA Senior Finance II LLC Initial Term Loan, 1M USD LIBOR + 1.750% | 4.870% | 4/11/25 | 30 | 29 | |
6 | SkyMiles IP Ltd. Initial Term Loan, 3M USD LIBOR + 3.750% | 6.460% | 10/20/27 | 245 | 245 | |
6 | Spirit Aerosystems Inc. 2021 Refinancing Term Loan, 1M USD LIBOR + 3.750% | 6.865% | 1/15/25 | 50 | 49 | |
6 | SS&C Technologies Holdings Inc. Term Loan B-6, TSFR1M + 2.250% | 5.384% | 3/22/29 | 22 | 21 | |
6 | SS&C Technologies Holdings Inc. Term Loan B-7, TSFR1M + 2.250% | 5.384% | 3/22/29 | 31 | 30 | |
6 | TIBCO Software Inc. Dollar Term Loan B, TSFR3M + 4.500% | 8.093% | 3/30/29 | 5 | 4 | |
6 | Wyndham Hotels & Resorts Inc. Term Loan B, 1M USD LIBOR + 1.750% | 4.865% | 5/30/25 | 88 | 86 | |
Total Floating Rate Loan Interests (Cost $835) | 800 | |||||
Sovereign Bonds (9.7%) | ||||||
Argentina (0.3%) | ||||||
4 | Argentine Republic | 0.500% | 7/9/30 | 300 | 60 | |
Chile (0.8%) | ||||||
4 | Republic of Chile | 2.750% | 1/31/27 | 200 | 180 | |
Colombia (0.6%) | ||||||
4 | Republic of Colombia | 5.000% | 6/15/45 | 200 | 122 | |
Ecuador (0.1%) | ||||||
4 | Republic of Ecuador | 1.500% | 7/31/40 | 95 | 28 | |
Egypt (0.5%) | ||||||
4 | Arab Republic of Egypt | 8.700% | 3/1/49 | 200 | 111 | |
El Salvador (0.1%) | ||||||
4 | Republic of El Salvador | 8.625% | 2/28/29 | 85 | 31 | |
Gabon (0.6%) | ||||||
4 | Gabonese Republic | 7.000% | 11/24/31 | 200 | 132 | |
Indonesia (0.8%) | ||||||
4 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 3.875% | 7/17/29 | 200 | 170 | |
Mexico (1.3%) | ||||||
Petroleos Mexicanos | 6.500% | 6/2/41 | 31 | 18 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Petroleos Mexicanos | 6.750% | 9/21/47 | 159 | 89 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 69 | 37 | ||
4,7 | United Mexican States | 10.000% | 11/20/36 | 2,600 | 132 | |
276 | ||||||
Nigeria (0.5%) | ||||||
4 | Federal Republic of Nigeria | 7.625% | 11/28/47 | 200 | 112 | |
Peru (1.0%) | ||||||
4 | Petroleos del Peru SA | 5.625% | 6/19/47 | 350 | 208 | |
Romania (0.7%) | ||||||
4,8 | Republic of Romania | 2.125% | 3/7/28 | 200 | 151 | |
South Africa (0.8%) | ||||||
Republic of South Africa | 5.875% | 4/20/32 | 220 | 181 | ||
Turkey (0.6%) | ||||||
Republic of Turkey | 5.750% | 5/11/47 | 200 | 120 | ||
Ukraine (0.3%) | ||||||
4,9 | Ukraine Government Bond | 7.375% | 9/25/34 | 300 | 55 | |
Uzbekistan (0.7%) | ||||||
3,4 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 200 | 151 | |
Total Sovereign Bonds (Cost $2,998) | 2,088 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (3.0%) | ||||||
Money Market Fund (3.0%) | ||||||
10 | Vanguard Market Liquidity Fund (Cost $648) | 2.828% | 6,478 | 648 | ||
Total Investments (97.2%) (Cost $24,116) | 20,934 | |||||
Other Assets and Liabilities—Net (2.8%) | 594 | |||||
Net Assets (100%) | 21,528 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $37,000 have been segregated as initial margin for open centrally cleared swap contracts. |
2 | Securities with a value of $31,000 have been segregated as initial margin for open futures contracts. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $8,555,000, representing 39.7% of net assets. |
4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2022. |
6 | 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. |
7 | Face amount denominated in Mexican pesos. |
8 | Face amount denominated in euro. |
9 | Non-income-producing security—security in default. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
LIBOR—London Interbank Offered Rate. | |
TSFR1M—CME Term Secured Overnight Financing Rate 1-Month. | |
TSFR3M—CME Term Secured Overnight Financing Rate 3-Month. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 3 | 616 | (3) |
10-Year U.S. Treasury Note | December 2022 | 2 | 224 | (4) |
Long U.S. Treasury Bond | December 2022 | 1 | 126 | (10) |
Ultra 10-Year U.S. Treasury Note | December 2022 | 5 | 593 | (22) |
(39) | ||||
Short Futures Contracts | ||||
Euro-Bobl | December 2022 | (1) | (117) | 3 |
Euro-Schatz | December 2022 | (1) | (105) | 1 |
4 | ||||
(35) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 173 | EUR | 172 | 4 | — |
JPMorgan Chase Bank, N.A. | 11/3/22 | USD | 148 | MXN | 2,999 | — | — |
4 | — |
EUR—euro. |
MXN—Mexican peso. |
USD—U.S. dollar. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Sold | ||||||
CDX-NA-IG-S39-V1 | 12/20/27 | USD | 700 | 1.000 | (2) | 1 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 60 | 1.000 | — | 1 | — | (1) |
AT&T Inc./Baa2 | 12/20/23 | BARC | 10 | 1.000 | — | — | — | — |
Republic of Chile/A2 | 12/20/27 | JPMC | 510 | 1.000 | (16) | (14) | — | (2) |
United Mexican States/Baa2 | 12/20/27 | BARC | 655 | 1.000 | (28) | (25) | — | (3) |
(44) | (38) | — | (6) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
JPMC—JPMorgan Chase Bank, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $23,468) | 20,286 |
Affiliated Issuers (Cost $648) | 648 |
Total Investments in Securities | 20,934 |
Investment in Vanguard | 1 |
Cash | 57 |
Foreign Currency, at Value (Cost $21) | 21 |
Receivables for Investment Securities Sold | 433 |
Receivables for Accrued Income | 253 |
Swap Premiums Paid | 1 |
Unrealized Appreciation—Forward Currency Contracts | 4 |
Total Assets | 21,704 |
Liabilities | |
Payables for Investment Securities Purchased | 125 |
Payables to Vanguard | 2 |
Swap Premiums Received | 39 |
Variation Margin Payable—Futures Contracts | 4 |
Variation Margin Payable—Centrally Cleared Swap Contracts | — |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 6 |
Total Liabilities | 176 |
Net Assets | 21,528 |
Statement of Assets and Liabilities (continued) | |
At September 30, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 25,811 |
Total Distributable Earnings (Loss) | (4,283) |
Net Assets | 21,528 |
Investor Shares—Net Assets | |
Applicable to 103,438 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 861 |
Net Asset Value Per Share—Investor Shares | $8.32 |
Admiral Shares—Net Assets | |
Applicable to 1,242,457 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,667 |
Net Asset Value Per Share—Admiral Shares | $16.63 |
October 12, 20211 to September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest2 | 844 |
Total Income | 844 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Investor Shares | — |
Management and Administrative—Admiral Shares | 3 |
Custodian Fees | 8 |
Auditing Fees | 41 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—Admiral Shares | 18 |
Trustees’ Fees and Expenses | — |
Professional Services | 15 |
Total Expenses | 86 |
Expense Reduction—Note C | (16) |
Net Expenses | 70 |
Net Investment Income | 774 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (1,017) |
Futures Contracts | (31) |
Swap Contracts | (7) |
Forward Currency Contracts | 41 |
Foreign Currencies | (14) |
Realized Net Gain (Loss) | (1,028) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (3,182) |
Futures Contracts | (35) |
Swap Contracts | (5) |
Forward Currency Contracts | 4 |
Foreign Currencies | — |
Change in Unrealized Appreciation (Depreciation) | (3,218) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,472) |
1 | Inception. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
October 12, 20211 to September 30, 2022 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 774 |
Realized Net Gain (Loss) | (1,028) |
Change in Unrealized Appreciation (Depreciation) | (3,218) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,472) |
Distributions | |
Investor Shares | (32) |
Admiral Shares | (779) |
Total Distributions | (811) |
Capital Share Transactions | |
Investor Shares | 1,031 |
Admiral Shares | 24,780 |
Net Increase (Decrease) from Capital Share Transactions | 25,811 |
Total Increase (Decrease) | 21,528 |
Net Assets | |
Beginning of Period | — |
End of Period | 21,528 |
1 | Inception. |
Investor Shares | |
For a Share Outstanding Throughout the Period | October 12, 20211 to September 30, 2022 |
Net Asset Value, Beginning of Period | $10.00 |
Investment Operations | |
Net Investment Income2 | .296 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.665) |
Total from Investment Operations | (1.369) |
Distributions | |
Dividends from Net Investment Income | (.294) |
Distributions from Realized Capital Gains | (.017) |
Total Distributions | (.311) |
Net Asset Value, End of Period | $8.32 |
Total Return3 | -13.94% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $1 |
Ratio of Total Expenses to Average Net Assets | 0.40%4 |
Ratio of Net Investment Income to Average Net Assets | 3.30%4 |
Portfolio Turnover Rate | 118% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Annualized. |
Admiral Shares | |
For a Share Outstanding Throughout the Period | October 12, 20211 to September 30, 2022 |
Net Asset Value, Beginning of Period | $20.00 |
Investment Operations | |
Net Investment Income2 | .611 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.341) |
Total from Investment Operations | (2.730) |
Distributions | |
Dividends from Net Investment Income | (.606) |
Distributions from Realized Capital Gains | (.034) |
Total Distributions | (.640) |
Net Asset Value, End of Period | $16.63 |
Total Return3 | -13.91% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $21 |
Ratio of Total Expenses to Average Net Assets | 0.30%4 |
Ratio of Net Investment Income to Average Net Assets | 3.40%4 |
Portfolio Turnover Rate | 118% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Annualized. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 1,483 | — | 1,483 |
Corporate Bonds | — | 15,915 | — | 15,915 |
Floating Rate Loan Interests | — | 800 | — | 800 |
Sovereign Bonds | — | 2,088 | — | 2,088 |
Temporary Cash Investments | 648 | — | — | 648 |
Total | 648 | 20,286 | — | 20,934 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4 | — | — | 4 |
Forward Currency Contracts | — | 4 | — | 4 |
Swap Contracts | 11 | — | — | 1 |
Total | 5 | 4 | — | 9 |
Liabilities | ||||
Futures Contracts1 | 39 | — | — | 39 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Derivative Financial Instruments | ||||
Swap Contracts | — | 6 | — | 6 |
Total | 39 | 6 | — | 45 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Swap Premiums Paid | — | — | 1 | 1 |
Unrealized Appreciation—Futures Contracts1 | 4 | — | — | 4 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | 1 | 1 |
Unrealized Appreciation—Forward Currency Contracts | — | 4 | — | 4 |
Total Assets | 4 | 4 | 2 | 10 |
Swap Premiums Received | — | — | 39 | 39 |
Unrealized Depreciation—Futures Contracts1 | 39 | — | — | 39 |
Unrealized Depreciation—Forward Currency Contracts | — | — | — | — |
Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 6 | 6 |
Total Liabilities | 39 | — | 45 | 84 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (31) | — | — | (31) |
Swap Contracts | (16) | — | 9 | (7) |
Forward Currency Contracts | — | 41 | — | 41 |
Realized Net Gain (Loss) on Derivatives | (47) | 41 | 9 | 3 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (35) | — | — | (35) |
Swap Contracts | — | — | (5) | (5) |
Forward Currency Contracts | — | 4 | — | 4 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (35) | 4 | (5) | (36) |
Amount ($000) | |
Undistributed Ordinary Income | 6 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | (1,084) |
Net Unrealized Gains (Losses) | (3,205) |
Period Ended September 30, 2022 | |
Amount ($000) | |
Ordinary Income* | 804 |
Long-Term Capital Gains | 7 |
Total | 811 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 24,096 |
Gross Unrealized Appreciation | 60 |
Gross Unrealized Depreciation | (3,265) |
Net Unrealized Appreciation (Depreciation) | (3,205) |
October 12, 20211 to September 30, 2022 | ||
Amount ($000) | Shares (000) | |
Investor Shares | ||
Issued | 1,000 | 100 |
Issued in Lieu of Cash Distributions | 32 | 3 |
Redeemed | (1) | — |
Net Increase (Decrease)—Investor Shares | 1,031 | 103 |
October 12, 20211 to September 30, 2022 | ||
Amount ($000) | Shares (000) | |
Admiral Shares | ||
Issued | 24,001 | 1,200 |
Issued in Lieu of Cash Distributions | 779 | 42 |
Redeemed | — | — |
Net Increase (Decrease)—Admiral Shares | 24,780 | 1,242 |
1 | Inception. |
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November 18, 2022
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• | From its October 25, 2021, inception through September 30, 2022, Vanguard Core-Plus Bond Fund returned –14.57% for Investor Shares and –14.49% for Admiral Shares. Those results were in line with the –14.51% return of its benchmark, the Bloomberg U.S. Universal Bond Index. |
• | It was a challenging period for financial markets. Early on, pent-up demand helped spur global growth and push down unemployment rates. The economic backdrop deteriorated, however, as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | Although security selection was positive, a modest overweight to credit hurt the fund’s performance. An out-of-benchmark allocation to Treasury Inflation-Protected Securities (TIPS) detracted as well. |
• | The advisor added value through a conservative approach to riskier assets, underweight allocations to Russia and mortgage-backed securities, and a slightly shorter-than-benchmark duration early in the period. |
Average Annual Total Returns Periods Ended September 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -17.22% | 7.95% | 9.00% |
Russell 2000 Index (Small-caps) | -23.50 | 4.29 | 3.55 |
Russell 3000 Index (Broad U.S. market) | -17.63 | 7.70 | 8.62 |
FTSE All-World ex US Index (International) | -24.76 | -0.95 | -0.38 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -14.61% | -3.22% | -0.23% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -11.50 | -1.85 | 0.59 |
FTSE Three-Month U.S. Treasury Bill Index | 0.63 | 0.57 | 1.12 |
CPI | |||
Consumer Price Index | 8.20% | 4.95% | 3.76% |
Yields of U.S. Treasury (Real Yields) | ||
Maturity | September 30, 2021 | September 30, 2022 |
2 Years | 0.28% | 4.28% |
5 Years | 0.96 | 4.09 |
10 Years | 1.49 | 3.83 |
30 Years | 2.04 | 3.78 |
Source: Vanguard. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended September 30, 2022 | |||
Beginning Account Value 3/31/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Core-Plus Bond Fund | |||
Investor Shares | $1,000.00 | $905.50 | $1.43 |
Admiral™ Shares | 1,000.00 | 905.50 | 0.96 |
Based on Hypothetical 5% Yearly Return | |||
Core-Plus Bond Fund | |||
Investor Shares | $1,000.00 | $1,023.56 | $1.52 |
Admiral Shares | 1,000.00 | 1,024.07 | 1.01 |
Total Returns Period Ended September 30, 2022 | |||
Since Inception (10/25/2021) | Final Value of a $10,000 Investment | ||
Core-Plus Bond Fund Investor Shares | -14.57% | $8,543 | |
Bloomberg U.S. Universal Bond Index | -14.51 | 8,549 |
Since Inception (10/25/2021) | Final Value of a $50,000 Investment | ||
Core-Plus Bond Fund Admiral Shares | -14.49% | $42,754 | |
Bloomberg U.S. Universal Bond Index | -14.51 | 42,744 |
Asset-Backed/Commercial Mortgage-Backed Securities | 12.3% |
Corporate Bonds | 31.1 |
Floating Rate Loan Interests | 2.3 |
Sovereign Bonds | 9.8 |
U.S. Government and Agency Obligations | 44.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (40.4%) | ||||||
U.S. Government Securities (8.8%) | ||||||
United States Treasury Note/Bond | 3.000% | 7/31/24 | 5,500 | 5,377 | ||
United States Treasury Note/Bond | 4.250% | 9/30/24 | 11,000 | 11,005 | ||
1 | United States Treasury Note/Bond | 3.125% | 8/15/25 | 10,250 | 9,936 | |
United States Treasury Note/Bond | 2.000% | 11/15/41 | 4,900 | 3,504 | ||
United States Treasury Note/Bond | 2.750% | 8/15/42 | 2,000 | 1,624 | ||
United States Treasury Note/Bond | 3.375% | 8/15/42 | 2,500 | 2,265 | ||
United States Treasury Note/Bond | 3.000% | 8/15/52 | 6,000 | 5,180 | ||
38,891 | ||||||
Agency Bonds and Notes (7.4%) | ||||||
2,3 | Federal Home Loan Mortgage Corp. | 4.000% | 8/28/24 | 3,000 | 2,965 | |
2,3 | Federal Home Loan Mortgage Corp. | 4.000% | 2/28/25 | 13,400 | 13,183 | |
2,3 | Federal Home Loan Mortgage Corp. | 4.050% | 8/28/25 | 7,700 | 7,540 | |
2,3 | Federal Home Loan Mortgage Corp. | 4.200% | 8/28/25 | 9,000 | 8,837 | |
32,525 | ||||||
Conventional Mortgage-Backed Securities (24.2%) | ||||||
2,3 | Freddie Mac Gold Pool | 3.000% | 5/1/47 | 1,243 | 1,102 | |
2,4 | Ginnie Mae II Pool | 2.000% | 11/20/50–10/15/52 | 5,214 | 4,333 | |
2,4,5 | Ginnie Mae II Pool | 2.500% | 5/20/50–10/15/52 | 5,474 | 4,609 | |
1,2,4,5 | Ginnie Mae II Pool | 3.000% | 3/20/47–11/15/52 | 5,787 | 5,061 | |
2,4 | Ginnie Mae II Pool | 3.500% | 4/20/47–11/15/52 | 2,708 | 2,478 | |
2,4 | Ginnie Mae II Pool | 4.000% | 6/20/47–10/15/52 | 2,987 | 2,800 | |
2,4 | Ginnie Mae II Pool | 4.500% | 4/20/48–10/15/52 | 1,325 | 1,281 | |
2,3,4 | UMBS Pool | 1.500% | 12/1/36–3/1/52 | 2,895 | 2,253 | |
2,3,4 | UMBS Pool | 2.000% | 10/1/35–10/25/52 | 20,100 | 16,502 | |
2,3,4 | UMBS Pool | 2.500% | 8/1/35–11/25/52 | 30,847 | 26,225 | |
2,3,4 | UMBS Pool | 3.500% | 2/1/46–11/25/52 | 2,791 | 2,586 | |
2,3,4 | UMBS Pool | 4.000% | 6/1/42–11/25/52 | 4,904 | 4,671 | |
2,3,4 | UMBS Pool | 4.500% | 2/1/45–11/25/52 | 3,667 | 3,539 | |
2,3,4 | UMBS Pool | 5.000% | 3/1/50–10/25/52 | 9,431 | 9,187 | |
2,3,4 | UMBS Pool | 5.500% | 10/25/52 | 11,700 | 11,607 | |
2,3,4 | UMBS Pool | 6.000% | 10/25/52 | 8,800 | 8,927 | |
107,161 | ||||||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
2,3 | Freddie Mac REMICS | 2.000% | 1/25/52 | 187 | 114 | |
2 | Ginnie Mae REMICS | 2.000% | 2/20/51 | 128 | 117 | |
231 | ||||||
Total U.S. Government and Agency Obligations (Cost $190,140) | 178,808 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Asset-Backed/Commercial Mortgage-Backed Securities (10.6%) | ||||||
2 | BANK Series 2019-BNK23 | 2.920% | 12/15/52 | 1,300 | 1,120 | |
2,6 | Bayview MSR Opportunity Master Fund Trust Series 2021-4 | 2.500% | 10/25/51 | 238 | 204 | |
2 | BBCMS Mortgage Trust Series 2022-C16 | 4.600% | 6/15/55 | 100 | 96 | |
2 | Capital One Prime Auto Receivables Trust Series 2022-2 | 3.740% | 9/15/25 | 530 | 527 | |
2 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 1,130 | 1,057 | |
2 | CD Mortgage Trust Series 2018-CD7 | 5.012% | 8/15/51 | 50 | 46 | |
2 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | 1,300 | 1,248 | |
2 | CNH Equipment Trust Series 2022-B | 3.940% | 12/15/25 | 180 | 179 | |
2 | COMM Mortgage Trust Series 2014-CR20 | 3.326% | 11/10/47 | 661 | 643 | |
2 | COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | 1,300 | 1,238 | |
2,6,7 | Connecticut Avenue Securities Trust Series 2021-R01, SOFR30A + 0.750% | 3.031% | 10/25/41 | 234 | 233 | |
2,6,7 | Connecticut Avenue Securities Trust Series 2022-R02, SOFR30A + 1.200% | 3.481% | 1/25/42 | 167 | 166 | |
2,6,7 | Connecticut Avenue Securities Trust Series 2022-R07, SOFR30A + 2.950% | 5.255% | 6/25/42 | 1,604 | 1,624 | |
2,6,7 | Connecticut Avenue Securities Trust Series 2022-R08, SOFR30A + 2.550% | 4.855% | 7/25/42 | 2,251 | 2,260 | |
2,6 | Dell Equipment Finance Trust Series 2022-2 | 4.030% | 7/22/27 | 330 | 328 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K035 | 0.450% | 8/25/23 | 350 | 1 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K036 | 0.834% | 10/25/23 | 186 | 1 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K038 | 1.240% | 3/25/24 | 114 | 1 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K040 | 0.835% | 9/25/24 | 223 | 2 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K052 | 0.773% | 11/25/25 | 127 | 2 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K053 | 1.016% | 12/25/25 | 1,888 | 43 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K054 | 1.298% | 1/25/26 | 94 | 3 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K055 | 1.483% | 3/25/26 | 1,403 | 53 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K057 | 1.305% | 7/25/26 | 1,834 | 64 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K058 | 1.045% | 8/25/26 | 1,841 | 53 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K059 | 0.426% | 9/25/26 | 165 | 2 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K060 | 0.191% | 10/25/26 | 601 | 2 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K068 | 0.558% | 8/25/27 | 164 | 3 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K069 | 0.478% | 9/25/27 | 1,597 | 24 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K088 | 0.655% | 1/25/29 | 15,928 | 436 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K104 | 1.245% | 1/25/30 | 3,254 | 204 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K105 | 1.645% | 1/25/30 | 4,791 | 410 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K110 | 1.814% | 4/25/30 | 1,246 | 118 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K135 | 0.284% | 10/25/31 | 17,494 | 238 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K139 | 0.195% | 1/25/32 | 25,998 | 217 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K140 | 0.392% | 3/25/54 | 7,996 | 182 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series K148 | 0.391% | 7/25/32 | 10,000 | 224 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KG05 | 0.402% | 1/25/31 | 4,915 | 103 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KG06 | 0.626% | 10/25/31 | 8,996 | 330 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KG07 | 0.122% | 8/25/32 | 13,800 | 56 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KIR1 | 1.183% | 3/25/26 | 4,874 | 147 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KSG2 | 0.213% | 11/25/31 | 17,685 | 171 | |
2,3,8 | FHLMC Multifamily Structured Pass-Through Certificates Series KW10 | 0.762% | 9/25/29 | 3,163 | 112 | |
2,6 | Ford Credit Auto Owner Trust Series 2019-1 | 3.520% | 7/15/30 | 630 | 620 | |
2,6 | Ford Credit Auto Owner Trust Series 2022-1 | 4.670% | 11/15/34 | 150 | 144 | |
2 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 520 | 500 | |
2,3,6,7 | Freddie Mac STACR REMIC Trust Series 2020-DNA6, SOFR30A + 2.000% | 4.281% | 12/25/50 | 116 | 115 | |
2,3,6,7 | Freddie Mac STACR REMIC Trust Series 2021-DNA5, SOFR30A + 1.650% | 3.931% | 1/25/34 | 1,303 | 1,270 | |
2,3,6,7 | Freddie Mac STACR REMIC Trust Series 2022-HQA3, SOFR30A + 2.300% | 4.581% | 8/25/42 | 2,248 | 2,242 | |
2,3,6,7 | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2022-HQA2, SOFR30A + 2.650% | 4.931% | 7/25/42 | 1,052 | 1,047 | |
2,6 | GCAT Trust Series 2022-INV1 | 3.000% | 12/25/51 | 2,313 | 1,918 | |
2,6 | GCAT Trust Series 2022-INV3 | 4.000% | 8/25/52 | 496 | 448 | |
2,6 | GCAT Trust Series 2022-INV3 | 4.000% | 8/25/52 | 595 | 517 | |
2,6 | GCAT Trust Series 2022-INV3 | 4.500% | 8/25/52 | 346 | 323 | |
2 | GM Financial Consumer Automobile Receivables Trust Series 2022-3 | 3.500% | 9/16/25 | 200 | 198 | |
2 | GS Mortgage Securities Trust Series 2014-GC24 | 3.666% | 9/10/47 | 583 | 568 | |
2,6 | GS Mortgage-Backed Securities Corp. Trust Series 2022-PJ4 | 2.500% | 9/25/52 | 675 | 527 | |
2,6 | GS Mortgage-Backed Securities Trust Series 2021-PJ7 | 2.500% | 1/25/52 | 266 | 213 | |
2,6 | GS Mortgage-Backed Securities Trust Series 2022-PJ1 | 2.500% | 5/28/52 | 566 | 442 | |
2,6 | GS Mortgage-Backed Securities Trust Series 2022-PJ3 | 3.000% | 8/25/52 | 97 | 80 | |
2,6 | GS Mortgage-Backed Securities Trust Series 2022-PJ6 | 3.000% | 1/25/53 | 2,200 | 1,904 | |
2,6 | GS Mortgage-Backed Securities Trust Series 2022-PJ6 | 3.000% | 1/25/53 | 2,500 | 2,114 | |
2,6 | Hertz Vehicle Financing III LLC Series 2022-1A | 2.630% | 6/25/26 | 100 | 90 | |
2 | Honda Auto Receivables Owner Trust Series 2022-2 | 3.810% | 3/18/25 | 210 | 209 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Hyundai Auto Receivables Trust Series 2022-B | 3.640% | 5/15/25 | 550 | 546 | |
2 | John Deere Owner Trust Series 2022-B | 3.730% | 6/16/25 | 270 | 268 | |
2,6 | JP Morgan Mortgage Trust Series 2021-6 | 2.500% | 10/25/51 | 168 | 134 | |
2,6 | JP Morgan Mortgage Trust Series 2021-15 | 3.000% | 6/25/52 | 1,839 | 1,525 | |
2,6 | JP Morgan Mortgage Trust Series 2021-INV4 | 3.000% | 1/25/52 | 89 | 74 | |
2,6 | JP Morgan Mortgage Trust Series 2021-INV6 | 3.000% | 4/25/52 | 87 | 72 | |
2,6 | JP Morgan Mortgage Trust Series 2022-1 | 3.000% | 7/25/52 | 472 | 392 | |
2,6 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 388 | 321 | |
2,6 | JP Morgan Mortgage Trust Series 2022-4 | 3.000% | 10/25/52 | 145 | 120 | |
2,6 | JP Morgan Mortgage Trust Series 2022-INV1 | 3.000% | 3/25/52 | 1,871 | 1,551 | |
2 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 700 | 686 | |
2 | JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | 1,129 | 1,086 | |
2,6 | Kubota Credit Owner Trust Series 2022-2A | 4.070% | 6/17/25 | 470 | 466 | |
2,6 | Mello Mortgage Capital Acceptance Series 2021-INV1 | 2.500% | 6/25/51 | 259 | 207 | |
2,6 | Mello Mortgage Capital Acceptance Series 2021-MTG2 | 2.500% | 6/25/51 | 96 | 76 | |
2 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 4.886% | 5/15/49 | 100 | 91 | |
2,6 | New Residential Mortgage Loan Trust Series 2021-INV2 | 3.000% | 9/25/51 | 586 | 489 | |
2,6 | OBX Trust Series 2022-J2 | 3.000% | 8/25/52 | 1,090 | 904 | |
2,6 | OBX Trust Series 2022-J2 | 3.000% | 8/25/52 | 695 | 565 | |
2,6 | OBX Trust Series 2022-J2 | 3.500% | 8/25/52 | 1,685 | 1,441 | |
2,6 | OBX Trust Series 2022-J2 | 3.500% | 8/25/52 | 1,092 | 919 | |
2,6 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 350 | 316 | |
2,6 | Progress Residential Trust Series 2022-SFR3 | 3.200% | 4/17/39 | 100 | 91 | |
2,6 | Progress Residential Trust Series 2022-SFR5 | 4.896% | 6/17/39 | 100 | 95 | |
2,6 | RCKT Mortgage Trust Series 2021-3 | 2.500% | 7/25/51 | 251 | 201 | |
2,6 | RCKT Mortgage Trust Series 2022-4 | 3.500% | 6/25/52 | 983 | 842 | |
2 | Santander Drive Auto Receivables Trust Series 2022-3 | 4.130% | 8/16/27 | 80 | 78 | |
2 | Santander Drive Auto Receivables Trust Series 2022-3 | 4.490% | 8/15/29 | 60 | 58 | |
2 | Santander Drive Auto Receivables Trust Series 2022-4 | 4.140% | 2/16/27 | 660 | 654 | |
2 | Santander Drive Auto Receivables Trust Series 2022-5 | 4.110% | 8/17/26 | 260 | 257 | |
2 | Santander Drive Auto Receivables Trust Series 2022-6 | 4.490% | 11/16/26 | 40 | 40 | |
2,6 | Sequoia Mortgage Trust Series 2021-3 | 2.500% | 5/25/51 | 175 | 140 | |
2,6 | Toyota Auto Loan Extended Note Trust Series 2022-1A | 3.820% | 4/25/35 | 60 | 58 | |
2 | Toyota Auto Receivables Owner Trust Series 2022-C | 3.830% | 8/15/25 | 310 | 308 | |
2,6 | UWM Mortgage Trust Series 2021-INV3 | 2.500% | 11/25/51 | 280 | 224 | |
2 | Verizon Master Trust Series 2022-5 | 3.720% | 7/20/27 | 280 | 277 | |
2 | Wells Fargo Commercial Mortgage Trust Series 2015-LC20 | 2.925% | 4/15/50 | 560 | 534 | |
2 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 3.829% | 3/15/47 | 864 | 852 | |
2 | World Omni Auto Receivables Trust Series 2022-C | 3.730% | 3/16/26 | 470 | 465 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $50,351) | 47,083 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Corporate Bonds (27.1%) | ||||||
Communications (2.3%) | ||||||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 296 | 180 | ||
AT&T Inc. | 4.350% | 3/1/29 | 24 | 22 | ||
AT&T Inc. | 4.900% | 8/15/37 | 113 | 100 | ||
AT&T Inc. | 3.550% | 9/15/55 | 224 | 147 | ||
AT&T Inc. | 3.650% | 9/15/59 | 85 | 55 | ||
6 | Cable One Inc. | 4.000% | 11/15/30 | 195 | 152 | |
6 | CCO Holdings LLC | 5.000% | 2/1/28 | 130 | 113 | |
6 | CCO Holdings LLC | 6.375% | 9/1/29 | 275 | 252 | |
6 | CCO Holdings LLC | 4.750% | 3/1/30 | 130 | 105 | |
Charter Communications Operating LLC | 6.484% | 10/23/45 | 140 | 124 | ||
6 | Cogent Communications Group Inc. | 7.000% | 6/15/27 | 115 | 109 | |
Comcast Corp. | 4.150% | 10/15/28 | 141 | 133 | ||
Comcast Corp. | 3.750% | 4/1/40 | 283 | 222 | ||
Comcast Corp. | 3.450% | 2/1/50 | 73 | 51 | ||
Comcast Corp. | 2.987% | 11/1/63 | 367 | 213 | ||
6 | Cox Communications Inc. | 4.800% | 2/1/35 | 170 | 150 | |
6 | CSC Holdings LLC | 4.625% | 12/1/30 | 70 | 48 | |
6 | CSC Holdings LLC | 3.375% | 2/15/31 | 75 | 53 | |
6 | Directv Financing LLC | 5.875% | 8/15/27 | 180 | 156 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 113 | 99 | ||
Discovery Communications LLC | 6.350% | 6/1/40 | 107 | 94 | ||
6 | DISH DBS Corp. | 5.250% | 12/1/26 | 110 | 91 | |
6 | DISH DBS Corp. | 5.750% | 12/1/28 | 55 | 41 | |
DISH DBS Corp. | 5.125% | 6/1/29 | 75 | 44 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 57 | 44 | ||
Fox Corp. | 5.476% | 1/25/39 | 240 | 208 | ||
6 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 130 | 102 | |
6 | Frontier Communications Holdings LLC | 8.750% | 5/15/30 | 180 | 180 | |
Interpublic Group of Cos. Inc. | 3.375% | 3/1/41 | 140 | 93 | ||
6 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 170 | 133 | |
6 | Meta Platforms Inc. | 3.500% | 8/15/27 | 970 | 907 | |
6 | Meta Platforms Inc. | 3.850% | 8/15/32 | 390 | 344 | |
Netflix Inc. | 4.875% | 4/15/28 | 530 | 496 | ||
6 | News Corp. | 3.875% | 5/15/29 | 320 | 272 | |
6 | Nexstar Media Inc. | 5.625% | 7/15/27 | 335 | 308 | |
Paramount Global | 4.200% | 6/1/29 | 141 | 124 | ||
Paramount Global | 4.850% | 7/1/42 | 190 | 137 | ||
Paramount Global | 4.375% | 3/15/43 | 170 | 114 | ||
6 | Rogers Communications Inc. | 3.800% | 3/15/32 | 148 | 128 | |
6 | Rogers Communications Inc. | 4.550% | 3/15/52 | 120 | 96 | |
6 | Scripps Escrow II Inc. | 5.375% | 1/15/31 | 85 | 65 | |
6 | Scripps Escrow Inc. | 5.875% | 7/15/27 | 85 | 74 | |
Sprint Corp. | 7.125% | 6/15/24 | 240 | 244 | ||
Take-Two Interactive Software Inc. | 4.000% | 4/14/32 | 200 | 174 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 170 | 157 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 300 | 235 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 170 | 129 | ||
Time Warner Cable LLC | 4.500% | 9/15/42 | 586 | 406 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 320 | 264 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 100 | 86 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 161 | 107 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 137 | 89 | ||
T-Mobile USA Inc. | 5.800% | 9/15/62 | 260 | 241 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Univision Communications Inc. | 7.375% | 6/30/30 | 180 | 171 | |
Verizon Communications Inc. | 4.862% | 8/21/46 | 210 | 182 | ||
Verizon Communications Inc. | 5.012% | 4/15/49 | 311 | 278 | ||
6 | Videotron Ltd. | 5.125% | 4/15/27 | 50 | 46 | |
6 | Videotron Ltd. | 3.625% | 6/15/29 | 130 | 106 | |
6 | VZ Secured Financing BV | 5.000% | 1/15/32 | 80 | 61 | |
Walt Disney Co. | 4.750% | 11/15/46 | 113 | 101 | ||
6 | Warnermedia Holdings Inc. | 3.428% | 3/15/24 | 175 | 169 | |
6 | Warnermedia Holdings Inc. | 5.050% | 3/15/42 | 73 | 55 | |
6 | Warnermedia Holdings Inc. | 5.141% | 3/15/52 | 130 | 94 | |
6 | Warnermedia Holdings Inc. | 5.391% | 3/15/62 | 210 | 152 | |
6 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 140 | 113 | |
10,239 | ||||||
Consumer Discretionary (2.5%) | ||||||
6 | 1011778 BC ULC | 3.875% | 1/15/28 | 85 | 74 | |
Amazon.com Inc. | 3.950% | 4/13/52 | 140 | 115 | ||
9 | American Honda Finance Corp. | 1.950% | 10/18/24 | 200 | 191 | |
6 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 150 | 116 | |
AutoZone Inc. | 4.000% | 4/15/30 | 179 | 161 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 25 | 19 | ||
Bath & Body Works Inc. | 7.500% | 6/15/29 | 135 | 124 | ||
6 | BMW US Capital LLC | 2.800% | 4/11/26 | 390 | 361 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 130 | 115 | ||
6 | Caesars Resort Collection LLC | 5.750% | 7/1/25 | 85 | 82 | |
6 | Camelot Return Merger Sub Inc. | 8.750% | 8/1/28 | 170 | 141 | |
6 | Carnival Corp. | 5.750% | 3/1/27 | 100 | 70 | |
6 | Carnival Corp. | 4.000% | 8/1/28 | 200 | 161 | |
6 | Cedar Fair LP | 5.500% | 5/1/25 | 290 | 279 | |
6 | Clarios Global LP | 8.500% | 5/15/27 | 95 | 91 | |
Dana Inc. | 4.500% | 2/15/32 | 165 | 120 | ||
Ford Motor Credit Co. LLC | 4.950% | 5/28/27 | 75 | 67 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/16/28 | 450 | 354 | ||
Ford Motor Credit Co. LLC | 2.900% | 2/10/29 | 310 | 236 | ||
Ford Motor Credit Co. LLC | 4.000% | 11/13/30 | 100 | 78 | ||
Ford Motor Credit Co. LLC | 3.625% | 6/17/31 | 90 | 67 | ||
General Motors Co. | 5.200% | 4/1/45 | 170 | 130 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 452 | 389 | ||
Goodyear Tire & Rubber Co. | 5.000% | 7/15/29 | 70 | 57 | ||
6 | Harley-Davidson Financial Services Inc. | 3.050% | 2/14/27 | 215 | 184 | |
Home Depot Inc. | 4.000% | 9/15/25 | 140 | 138 | ||
Home Depot Inc. | 4.500% | 9/15/32 | 160 | 153 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 210 | 218 | ||
Home Depot Inc. | 4.950% | 9/15/52 | 110 | 103 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 110 | 78 | ||
Honda Motor Co. Ltd. | 2.967% | 3/10/32 | 265 | 224 | ||
KB Home | 7.250% | 7/15/30 | 115 | 104 | ||
6 | Lithia Motors Inc. | 4.625% | 12/15/27 | 260 | 227 | |
6 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 190 | 183 | |
Lowe's Cos. Inc. | 4.450% | 4/1/62 | 210 | 157 | ||
6 | Mattel Inc. | 3.375% | 4/1/26 | 55 | 49 | |
6 | Mattel Inc. | 5.875% | 12/15/27 | 25 | 24 | |
6 | MIWD Holdco II LLC | 5.500% | 2/1/30 | 40 | 30 | |
6 | NCL Corp. Ltd. | 5.875% | 2/15/27 | 200 | 167 | |
6 | NCL Corp. Ltd. | 7.750% | 2/15/29 | 110 | 83 | |
Newell Brands Inc. | 4.450% | 4/1/26 | 15 | 14 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Newell Brands Inc. | 6.375% | 9/15/27 | 15 | 15 | ||
Newell Brands Inc. | 6.625% | 9/15/29 | 30 | 29 | ||
6 | Nissan Motor Acceptance Co. LLC | 2.450% | 9/15/28 | 200 | 151 | |
6 | Nissan Motor Co. Ltd. | 3.522% | 9/17/25 | 508 | 469 | |
2,9 | Nissan Motor Co. Ltd. | 3.201% | 9/17/28 | 200 | 167 | |
4,6 | Royal Caribbean Cruises Ltd. | 8.250% | 1/15/29 | 24 | 23 | |
6 | Studio City Co. Ltd. | 7.000% | 2/15/27 | 125 | 105 | |
2 | Toyota Motor Credit Corp. | 4.400% | 9/20/24 | 1,630 | 1,620 | |
Toyota Motor Credit Corp. | 3.950% | 6/30/25 | 1,590 | 1,554 | ||
Toyota Motor Credit Corp. | 3.050% | 3/22/27 | 375 | 346 | ||
6 | Vail Resorts Inc. | 6.250% | 5/15/25 | 145 | 143 | |
2,10 | Volkswagen Financial Services NV | 1.125% | 9/18/23 | 300 | 318 | |
2,9 | Volkswagen International Finance NV | 3.375% | Perpetual | 100 | 92 | |
2,9 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 100 | 93 | |
6 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 300 | 249 | |
6 | Wynn Resorts Finance LLC | 7.750% | 4/15/25 | 100 | 98 | |
11,206 | ||||||
Consumer Staples (1.7%) | ||||||
9 | Altria Group Inc. | 1.700% | 6/15/25 | 100 | 92 | |
Altria Group Inc. | 3.400% | 2/4/41 | 155 | 98 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 170 | 108 | ||
Altria Group Inc. | 3.700% | 2/4/51 | 170 | 102 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.900% | 1/23/31 | 320 | 313 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 300 | 285 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 429 | 326 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 4/15/58 | 341 | 278 | ||
2,10 | BAT Capital Corp. | 2.125% | 8/15/25 | 100 | 97 | |
BAT Capital Corp. | 4.540% | 8/15/47 | 104 | 69 | ||
2,10 | BAT International Finance plc | 4.000% | 9/4/26 | 100 | 98 | |
9 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 100 | 92 | |
Colgate-Palmolive Co. | 3.250% | 8/15/32 | 290 | 259 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 376 | 312 | ||
Constellation Brands Inc. | 2.250% | 8/1/31 | 91 | 70 | ||
6 | Energizer Holdings Inc. | 4.750% | 6/15/28 | 208 | 165 | |
6 | Energizer Holdings Inc. | 4.375% | 3/31/29 | 210 | 157 | |
6 | GSK Consumer Healthcare Capital US LLC | 3.625% | 3/24/32 | 305 | 258 | |
6 | GSK Consumer Healthcare Capital US LLC | 4.000% | 3/24/52 | 110 | 81 | |
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 130 | 121 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 180 | 159 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 120 | 99 | ||
Kroger Co. | 4.450% | 2/1/47 | 93 | 76 | ||
6 | Lamb Weston Holdings Inc. | 4.125% | 1/31/30 | 15 | 13 | |
PepsiCo Inc. | 2.625% | 7/29/29 | 405 | 352 | ||
6 | Performance Food Group Inc. | 5.500% | 10/15/27 | 60 | 54 | |
6 | Performance Food Group Inc. | 4.250% | 8/1/29 | 20 | 17 | |
Philip Morris International Inc. | 2.100% | 5/1/30 | 887 | 674 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 106 | 78 | ||
Target Corp. | 2.950% | 1/15/52 | 180 | 121 | ||
Walmart Inc. | 3.900% | 9/9/25 | 2,110 | 2,073 | ||
Walmart Inc. | 3.950% | 6/28/38 | 200 | 178 | ||
7,275 | ||||||
Energy (2.4%) | ||||||
6 | Antero Resources Corp. | 5.375% | 3/1/30 | 130 | 117 | |
BP Capital Markets America Inc. | 3.937% | 9/21/28 | 339 | 315 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 350 | 329 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 175 | 142 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 226 | 162 | ||
9 | BP Capital Markets plc | 3.250% | Perpetual | 100 | 87 | |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 113 | 109 | ||
2 | Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 90 | 77 | |
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 500 | 508 | ||
Cheniere Corpus Christi Holdings LLC | 3.700% | 11/15/29 | 200 | 174 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 130 | 109 | ||
6 | CNX Resources Corp. | 7.375% | 1/15/31 | 45 | 44 | |
6 | Colgate Energy Partners III LLC | 7.750% | 2/15/26 | 110 | 109 | |
6 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 180 | 161 | |
ConocoPhillips Co. | 6.950% | 4/15/29 | 50 | 55 | ||
ConocoPhillips Co. | 3.800% | 3/15/52 | 350 | 268 | ||
6 | Continental Resources Inc. | 2.268% | 11/15/26 | 200 | 171 | |
6 | CrownRock LP | 5.625% | 10/15/25 | 130 | 124 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 240 | 232 | ||
Devon Energy Corp. | 5.250% | 9/15/24 | 226 | 226 | ||
Devon Energy Corp. | 4.750% | 5/15/42 | 113 | 92 | ||
Diamondback Energy Inc. | 4.250% | 3/15/52 | 200 | 147 | ||
6 | DT Midstream Inc. | 4.125% | 6/15/29 | 270 | 228 | |
Energy Transfer LP | 5.300% | 4/1/44 | 120 | 96 | ||
Energy Transfer LP | 5.150% | 3/15/45 | 200 | 158 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 339 | 275 | ||
6 | EnLink Midstream LLC | 5.625% | 1/15/28 | 190 | 179 | |
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 305 | 215 | ||
6 | EQM Midstream Partners LP | 7.500% | 6/1/27 | 80 | 76 | |
EQM Midstream Partners LP | 5.500% | 7/15/28 | 250 | 214 | ||
6 | EQM Midstream Partners LP | 7.500% | 6/1/30 | 125 | 118 | |
4 | EQT Corp. | 5.678% | 10/1/25 | 195 | 194 | |
6 | EQT Corp. | 3.625% | 5/15/31 | 200 | 167 | |
9 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 200 | 187 | |
Exxon Mobil Corp. | 2.995% | 8/16/39 | 339 | 253 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 226 | 158 | ||
2 | KazMunayGas National Co. JSC | 5.375% | 4/24/30 | 1,000 | 775 | |
MPLX LP | 4.500% | 4/15/38 | 200 | 161 | ||
MPLX LP | 4.950% | 3/14/52 | 50 | 39 | ||
Occidental Petroleum Corp. | 6.375% | 9/1/28 | 150 | 150 | ||
Occidental Petroleum Corp. | 6.125% | 1/1/31 | 167 | 164 | ||
Occidental Petroleum Corp. | 7.500% | 5/1/31 | 50 | 52 | ||
ONEOK Partners LP | 6.125% | 2/1/41 | 100 | 89 | ||
Ovintiv Exploration Inc. | 5.375% | 1/1/26 | 500 | 496 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 700 | 638 | ||
Shell International Finance BV | 2.750% | 4/6/30 | 300 | 256 | ||
Suncor Energy Inc. | 4.000% | 11/15/47 | 147 | 110 | ||
6 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 70 | 64 | |
Targa Resources Partners LP | 6.875% | 1/15/29 | 45 | 44 | ||
Targa Resources Partners LP | 4.875% | 2/1/31 | 100 | 86 | ||
2,9 | TotalEnergies SE | 1.750% | Perpetual | 100 | 90 | |
Valero Energy Corp. | 3.650% | 12/1/51 | 250 | 171 | ||
6 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 200 | 172 | |
Western Midstream Operating LP | 4.500% | 3/1/28 | 235 | 210 | ||
Western Midstream Operating LP | 4.750% | 8/15/28 | 230 | 209 | ||
Western Midstream Operating LP | 4.300% | 2/1/30 | 75 | 64 | ||
Williams Cos. Inc. | 4.650% | 8/15/32 | 150 | 136 | ||
10,452 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Financials (7.5%) | ||||||
AerCap Ireland Capital DAC | 3.150% | 2/15/24 | 1,000 | 960 | ||
AerCap Ireland Capital DAC | 3.500% | 1/15/25 | 565 | 532 | ||
AerCap Ireland Capital DAC | 2.450% | 10/29/26 | 150 | 127 | ||
AerCap Ireland Capital DAC | 3.850% | 10/29/41 | 300 | 200 | ||
Aflac Inc. | 4.750% | 1/15/49 | 100 | 88 | ||
American Express Co. | 3.950% | 8/1/25 | 1,000 | 969 | ||
American Express Co. | 2.550% | 3/4/27 | 400 | 357 | ||
American Express Co. | 4.420% | 8/3/33 | 100 | 91 | ||
2,9 | Athene Global Funding | 1.875% | 6/23/23 | 300 | 291 | |
2,9 | Athene Global Funding | 1.125% | 9/2/25 | 100 | 90 | |
6 | Athene Global Funding | 1.985% | 8/19/28 | 750 | 593 | |
10 | Aviva plc | 6.125% | 11/14/36 | 100 | 103 | |
2,9 | Banco Bilbao Vizcaya Argentaria SA | 2.575% | 2/22/29 | 100 | 94 | |
Banco Santander SA | 5.147% | 8/18/25 | 700 | 681 | ||
Banco Santander SA | 5.294% | 8/18/27 | 500 | 472 | ||
Bank of America Corp. | 4.948% | 7/22/28 | 40 | 38 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 330 | 307 | ||
2 | Bank of America Corp. | 2.831% | 10/24/51 | 100 | 59 | |
Bank of America Corp. | 2.972% | 7/21/52 | 275 | 168 | ||
Bank of New York Mellon Corp. | 4.414% | 7/24/26 | 300 | 293 | ||
Bank of New York Mellon Corp. | 4.596% | 7/26/30 | 200 | 190 | ||
Bank of Nova Scotia | 3.450% | 4/11/25 | 440 | 421 | ||
2,10 | Barclays plc | 3.125% | 1/17/24 | 100 | 107 | |
Barclays plc | 5.304% | 8/9/26 | 200 | 192 | ||
Barclays plc | 3.330% | 11/24/42 | 200 | 127 | ||
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 100 | 84 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 100 | 83 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 200 | 120 | ||
Berkshire Hathaway Finance Corp. | 3.850% | 3/15/52 | 400 | 307 | ||
2,9 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 100 | 94 | |
2,9 | Blackstone Property Partners Europe Holdings Sarl | 2.200% | 7/24/25 | 100 | 89 | |
2,9 | BNP Paribas SA | 0.500% | 7/15/25 | 200 | 185 | |
Capital One Financial Corp. | 5.268% | 5/10/33 | 200 | 186 | ||
Charles Schwab Corp. | 2.450% | 3/3/27 | 215 | 193 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 271 | 229 | ||
9 | Cia de Seguros Fidelidade SA | 4.250% | 9/4/31 | 100 | 79 | |
Citigroup Inc. | 4.140% | 5/24/25 | 398 | 389 | ||
Citigroup Inc. | 2.014% | 1/25/26 | 500 | 460 | ||
Citigroup Inc. | 4.658% | 5/24/28 | 140 | 133 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 550 | 497 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 415 | 319 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 145 | 116 | ||
Citigroup Inc. | 4.650% | 7/23/48 | 40 | 33 | ||
CME Group Inc. | 2.650% | 3/15/32 | 300 | 247 | ||
6 | Corebridge Financial Inc. | 3.500% | 4/4/25 | 100 | 95 | |
6 | Corebridge Financial Inc. | 3.650% | 4/5/27 | 150 | 137 | |
6 | Corebridge Financial Inc. | 3.850% | 4/5/29 | 330 | 292 | |
6 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 200 | 169 | |
6 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 190 | 147 | |
6 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 300 | 229 | |
9 | Credit Agricole Assurances SA | 4.250% | Perpetual | 100 | 93 | |
Credit Suisse AG | 4.750% | 8/9/24 | 1,250 | 1,217 | ||
Credit Suisse AG | 5.000% | 7/9/27 | 390 | 360 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Credit Suisse Group AG | 6.373% | 7/15/26 | 250 | 242 | |
6 | Credit Suisse Group AG | 6.442% | 8/11/28 | 250 | 233 | |
6 | Credit Suisse Group AG | 6.537% | 8/12/33 | 250 | 225 | |
2,9 | Danske Bank A/S | 2.500% | 6/21/29 | 100 | 93 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 1,500 | 1,275 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 150 | 125 | ||
GATX Corp. | 3.500% | 6/1/32 | 300 | 241 | ||
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 1,260 | 1,130 | ||
Goldman Sachs Group Inc. | 1.757% | 1/24/25 | 335 | 318 | ||
9 | Goldman Sachs Group Inc. | 3.375% | 3/27/25 | 200 | 195 | |
Goldman Sachs Group Inc. | 2.640% | 2/24/28 | 280 | 243 | ||
2,10 | Goldman Sachs Group Inc. | 7.250% | 4/10/28 | 100 | 113 | |
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 275 | 213 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 225 | 145 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 144 | 120 | ||
HSBC Holdings plc | 2.999% | 3/10/26 | 800 | 740 | ||
2,10 | HSBC Holdings plc | 1.750% | 7/24/27 | 200 | 180 | |
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 100 | 89 | ||
Intercontinental Exchange Inc. | 5.200% | 6/15/62 | 90 | 81 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 750 | 694 | ||
JPMorgan Chase & Co. | 4.080% | 4/26/26 | 300 | 288 | ||
JPMorgan Chase & Co. | 4.323% | 4/26/28 | 175 | 165 | ||
JPMorgan Chase & Co. | 4.851% | 7/25/28 | 220 | 211 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 1,550 | 1,258 | ||
JPMorgan Chase & Co. | 2.963% | 1/25/33 | 180 | 142 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 100 | 90 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 230 | 212 | ||
2 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 65 | 51 | |
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 315 | 216 | ||
2 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 170 | 107 | |
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 30 | 20 | ||
2 | KeyBank NA | 4.150% | 8/8/25 | 250 | 243 | |
Lloyds Banking Group plc | 4.716% | 8/11/26 | 200 | 192 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 225 | 141 | ||
MetLife Inc. | 4.875% | 11/13/43 | 140 | 125 | ||
MetLife Inc. | 5.000% | 7/15/52 | 375 | 342 | ||
Morgan Stanley | 4.679% | 7/17/26 | 160 | 156 | ||
Morgan Stanley | 1.593% | 5/4/27 | 475 | 410 | ||
9 | Morgan Stanley | 0.406% | 10/29/27 | 100 | 84 | |
Morgan Stanley | 2.475% | 1/21/28 | 300 | 263 | ||
Morgan Stanley | 4.889% | 7/20/33 | 150 | 139 | ||
2 | Morgan Stanley | 3.971% | 7/22/38 | 175 | 140 | |
Morgan Stanley | 4.300% | 1/27/45 | 180 | 143 | ||
2 | Morgan Stanley | 2.802% | 1/25/52 | 50 | 30 | |
Nasdaq Inc. | 3.950% | 3/7/52 | 45 | 33 | ||
2,9 | Nationwide Building Society | 2.000% | 7/25/29 | 200 | 183 | |
2,9 | NatWest Group plc | 1.750% | 3/2/26 | 100 | 92 | |
2 | NatWest Group plc | 4.892% | 5/18/29 | 200 | 182 | |
2,10 | NIBC Bank NV | 3.125% | 11/15/23 | 200 | 215 | |
Nomura Holdings Inc. | 2.679% | 7/16/30 | 200 | 153 | ||
Northern Trust Corp. | 4.000% | 5/10/27 | 250 | 242 | ||
OneMain Finance Corp. | 3.500% | 1/15/27 | 65 | 51 | ||
10 | Pension Insurance Corp. plc | 6.500% | 7/3/24 | 100 | 109 | |
10 | Phoenix Group Holdings plc | 6.625% | 12/18/25 | 100 | 104 | |
Progressive Corp. | 2.500% | 3/15/27 | 200 | 181 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Prudential Financial Inc. | 3.935% | 12/7/49 | 250 | 191 | ||
2 | Prudential Financial Inc. | 3.700% | 3/13/51 | 110 | 81 | |
10 | Rothesay Life plc | 8.000% | 10/30/25 | 100 | 110 | |
2 | Royal Bank of Canada | 3.970% | 7/26/24 | 500 | 492 | |
10 | Scottish Widows Ltd. | 5.500% | 6/16/23 | 200 | 221 | |
Toronto-Dominion Bank | 3.766% | 6/6/25 | 400 | 387 | ||
US Bancorp | 4.548% | 7/22/28 | 500 | 483 | ||
US Bancorp | 4.967% | 7/22/33 | 400 | 375 | ||
2 | Wells Fargo & Co. | 2.164% | 2/11/26 | 650 | 599 | |
2 | Wells Fargo & Co. | 4.808% | 7/25/28 | 220 | 210 | |
2 | Wells Fargo & Co. | 2.879% | 10/30/30 | 300 | 247 | |
2 | Wells Fargo & Co. | 4.897% | 7/25/33 | 300 | 276 | |
2 | Wells Fargo & Co. | 3.068% | 4/30/41 | 175 | 120 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 155 | 135 | ||
2 | Wells Fargo & Co. | 4.611% | 4/25/53 | 125 | 102 | |
2,10 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 200 | 222 | |
Westpac Banking Corp. | 1.953% | 11/20/28 | 500 | 417 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 904 | 744 | ||
32,952 | ||||||
Health Care (1.7%) | ||||||
6 | 1375209 BC Ltd. | 9.000% | 1/30/28 | 38 | 38 | |
AbbVie Inc. | 4.050% | 11/21/39 | 1,302 | 1,054 | ||
2 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 350 | 224 | |
9 | American Medical Systems Europe BV | 0.750% | 3/8/25 | 278 | 256 | |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 300 | 240 | ||
Amgen Inc. | 4.663% | 6/15/51 | 110 | 93 | ||
Amgen Inc. | 4.400% | 2/22/62 | 230 | 179 | ||
AstraZeneca plc | 4.000% | 9/18/42 | 260 | 218 | ||
AstraZeneca plc | 4.375% | 8/17/48 | 311 | 273 | ||
6 | Bausch Health Cos. Inc. | 11.000% | 9/30/28 | 67 | 54 | |
6 | Bausch Health Cos. Inc. | 14.000% | 10/15/30 | 13 | 7 | |
Baxter International Inc. | 3.132% | 12/1/51 | 125 | 80 | ||
2 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 240 | 151 | |
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 250 | 215 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 254 | 170 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 110 | 68 | ||
Centene Corp. | 2.450% | 7/15/28 | 210 | 171 | ||
Centene Corp. | 3.000% | 10/15/30 | 180 | 142 | ||
6 | Charles River Laboratories International Inc. | 4.250% | 5/1/28 | 135 | 118 | |
Cigna Corp. | 4.800% | 8/15/38 | 100 | 89 | ||
2 | CommonSpirit Health | 4.350% | 11/1/42 | 300 | 235 | |
CVS Health Corp. | 4.300% | 3/25/28 | 574 | 543 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 476 | 364 | ||
6 | DaVita Inc. | 3.750% | 2/15/31 | 195 | 139 | |
Elevance Health Inc. | 3.650% | 12/1/27 | 315 | 293 | ||
Elevance Health Inc. | 3.125% | 5/15/50 | 135 | 90 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 75 | 65 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 110 | 87 | ||
6 | Medline Borrower LP | 3.875% | 4/1/29 | 80 | 64 | |
Merck & Co. Inc. | 2.150% | 12/10/31 | 400 | 322 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 120 | 103 | ||
6 | Roche Holdings Inc. | 2.076% | 12/13/31 | 285 | 228 | |
Takeda Pharmaceutical Co. Ltd. | 3.375% | 7/9/60 | 200 | 129 | ||
6 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 130 | 121 | |
6 | Tenet Healthcare Corp. | 6.125% | 10/1/28 | 70 | 62 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 60 | 50 | |
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 300 | 237 | ||
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 110 | 77 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 315 | 220 | ||
Zoetis Inc. | 4.700% | 2/1/43 | 105 | 92 | ||
Zoetis Inc. | 3.950% | 9/12/47 | 110 | 86 | ||
7,447 | ||||||
Industrials (2.8%) | ||||||
6 | Advanced Drainage Systems Inc. | 6.375% | 6/15/30 | 125 | 121 | |
6 | Air Canada | 3.875% | 8/15/26 | 200 | 172 | |
6 | Allison Transmission Inc. | 4.750% | 10/1/27 | 155 | 137 | |
6 | American Airlines Inc. | 11.750% | 7/15/25 | 70 | 73 | |
6 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 185 | 162 | |
6 | Aramark Services Inc. | 5.000% | 2/1/28 | 55 | 49 | |
Boeing Co. | 4.875% | 5/1/25 | 465 | 454 | ||
Boeing Co. | 5.150% | 5/1/30 | 254 | 235 | ||
Boeing Co. | 5.705% | 5/1/40 | 478 | 417 | ||
Boeing Co. | 5.930% | 5/1/60 | 90 | 77 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 450 | 455 | ||
Canadian National Railway Co. | 3.850% | 8/5/32 | 200 | 183 | ||
Canadian National Railway Co. | 4.400% | 8/5/52 | 380 | 328 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 160 | 128 | ||
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 515 | 455 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 100 | 72 | ||
6 | Clean Harbors Inc. | 4.875% | 7/15/27 | 75 | 68 | |
CSX Corp. | 3.800% | 11/1/46 | 283 | 216 | ||
6 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 680 | 648 | |
6 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 340 | 317 | |
2,9 | easyJet plc | 0.875% | 6/11/25 | 100 | 88 | |
Emerson Electric Co. | 2.200% | 12/21/31 | 130 | 104 | ||
6 | Gates Global LLC | 6.250% | 1/15/26 | 33 | 31 | |
General Dynamics Corp. | 3.750% | 5/15/28 | 236 | 222 | ||
General Dynamics Corp. | 2.850% | 6/1/41 | 226 | 162 | ||
2,10 | Heathrow Funding Ltd. | 6.750% | 12/3/26 | 100 | 109 | |
Honeywell International Inc. | 5.700% | 3/15/37 | 350 | 365 | ||
6 | JSW Infrastructure Ltd. | 4.950% | 1/21/29 | 930 | 729 | |
11 | Kazakhstan Temir Zholy National Co. JSC | 3.250% | 12/5/23 | 350 | 311 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 113 | 97 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 110 | 100 | ||
Lockheed Martin Corp. | 4.300% | 6/15/62 | 170 | 142 | ||
6 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 999 | 979 | |
6 | Mueller Water Products Inc. | 4.000% | 6/15/29 | 150 | 128 | |
Norfolk Southern Corp. | 4.550% | 6/1/53 | 180 | 153 | ||
PACCAR Financial Corp. | 2.850% | 4/7/25 | 525 | 503 | ||
Parker-Hannifin Corp. | 3.650% | 6/15/24 | 440 | 430 | ||
Rockwell Automation Inc. | 2.800% | 8/15/61 | 158 | 93 | ||
6 | Rolls-Royce plc | 3.625% | 10/14/25 | 180 | 155 | |
6 | Spirit AeroSystems Inc. | 7.500% | 4/15/25 | 22 | 21 | |
Spirit AeroSystems Inc. | 4.600% | 6/15/28 | 50 | 36 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 700 | 552 | ||
6 | TopBuild Corp. | 3.625% | 3/15/29 | 135 | 107 | |
6 | TopBuild Corp. | 4.125% | 2/15/32 | 35 | 27 | |
6 | TransDigm Inc. | 8.000% | 12/15/25 | 85 | 86 | |
6 | TransDigm Inc. | 6.250% | 3/15/26 | 130 | 126 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
TransDigm Inc. | 4.875% | 5/1/29 | 180 | 145 | ||
Triton Container International Ltd. | 3.250% | 3/15/32 | 410 | 300 | ||
Tyco Electronics Group SA | 2.500% | 2/4/32 | 240 | 195 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 170 | 126 | ||
Union Pacific Corp. | 3.850% | 2/14/72 | 200 | 143 | ||
6 | United Airlines Inc. | 4.375% | 4/15/26 | 260 | 232 | |
2 | United Airlines Pass-Through Trust Class A Series 2020-1 | 5.875% | 10/15/27 | 74 | 71 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 440 | 475 | ||
6 | Vertiv Group Corp. | 4.125% | 11/15/28 | 140 | 113 | |
2,9 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 100 | 91 | |
12,514 | ||||||
Materials (1.7%) | ||||||
Air Products and Chemicals Inc. | 2.800% | 5/15/50 | 113 | 75 | ||
Albemarle Corp. | 4.650% | 6/1/27 | 100 | 96 | ||
Albemarle Corp. | 5.050% | 6/1/32 | 130 | 121 | ||
6 | Avient Corp. | 7.125% | 8/1/30 | 125 | 116 | |
6 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 180 | 161 | |
Ball Corp. | 2.875% | 8/15/30 | 70 | 54 | ||
Ball Corp. | 3.125% | 9/15/31 | 90 | 67 | ||
6 | Big River Steel LLC | 6.625% | 1/31/29 | 190 | 175 | |
6 | Canpack SA | 3.875% | 11/15/29 | 245 | 192 | |
Celanese US Holdings LLC | 5.900% | 7/5/24 | 240 | 237 | ||
Celanese US Holdings LLC | 6.050% | 3/15/25 | 80 | 78 | ||
Celanese US Holdings LLC | 6.165% | 7/15/27 | 160 | 151 | ||
6 | Chemours Co. | 4.625% | 11/15/29 | 210 | 156 | |
6 | Cleveland-Cliffs Inc. | 6.750% | 3/15/26 | 130 | 128 | |
Dow Chemical Co. | 2.100% | 11/15/30 | 150 | 115 | ||
Dow Chemical Co. | 3.600% | 11/15/50 | 50 | 34 | ||
6 | Element Solutions Inc. | 3.875% | 9/1/28 | 270 | 217 | |
6 | Freeport Indonesia PT | 5.315% | 4/14/32 | 1,210 | 998 | |
2 | Freeport Indonesia PT | 5.315% | 4/14/32 | 248 | 205 | |
6 | Freeport Indonesia PT | 6.200% | 4/14/52 | 600 | 457 | |
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 260 | 223 | ||
6 | GC Treasury Center Co. Ltd. | 4.400% | 3/30/32 | 510 | 437 | |
2,9 | Glencore Finance Europe Ltd. | 1.750% | 3/17/25 | 100 | 93 | |
6 | Glencore Funding LLC | 4.000% | 3/27/27 | 339 | 316 | |
6 | Graham Packaging Co. Inc. | 7.125% | 8/15/28 | 140 | 113 | |
6 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 190 | 158 | |
2 | Inversiones CMPC SA | 4.750% | 9/15/24 | 200 | 195 | |
6 | Kaiser Aluminum Corp. | 4.500% | 6/1/31 | 210 | 153 | |
LYB International Finance III LLC | 3.375% | 10/1/40 | 339 | 233 | ||
6 | Novelis Corp. | 4.750% | 1/30/30 | 205 | 168 | |
Nucor Corp. | 3.125% | 4/1/32 | 260 | 213 | ||
Nucor Corp. | 4.400% | �� 5/1/48 | 110 | 89 | ||
Nucor Corp. | 3.850% | 4/1/52 | 100 | 73 | ||
Nutrien Ltd. | 2.950% | 5/13/30 | 100 | 84 | ||
6 | Olympus Water US Holding Corp. | 4.250% | 10/1/28 | 156 | 120 | |
9 | PPG Industries Inc. | 1.875% | 6/1/25 | 125 | 117 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 410 | 398 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 55 | 47 | ||
Sherwin-Williams Co. | 2.200% | 3/15/32 | 95 | 72 | ||
Sherwin-Williams Co. | 3.300% | 5/15/50 | 100 | 66 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | SPCM SA | 3.125% | 3/15/27 | 55 | 48 | |
6 | SPCM SA | 3.375% | 3/15/30 | 255 | 199 | |
7,448 | ||||||
Real Estate (0.9%) | ||||||
2,10 | Akelius Residential Property AB | 2.375% | 8/15/25 | 100 | 98 | |
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 325 | 198 | ||
9 | American Tower Corp. | 0.450% | 1/15/27 | 150 | 124 | |
2,9 | Aroundtown SA | 0.625% | 7/9/25 | 200 | 169 | |
9 | Aroundtown SA | 3.375% | Perpetual | 100 | 63 | |
2,9 | Aroundtown SA | 1.625% | Perpetual | 100 | 63 | |
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 815 | 660 | ||
Camden Property Trust | 3.350% | 11/1/49 | 170 | 118 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 545 | 476 | ||
Corporate Office Properties LP | 2.000% | 1/15/29 | 365 | 275 | ||
9 | Digital Dutch Finco BV | 0.625% | 7/15/25 | 100 | 88 | |
9 | Fastighets AB Balder | 1.875% | 3/14/25 | 100 | 86 | |
10 | Hammerson plc | 3.500% | 10/27/25 | 100 | 93 | |
2,9 | Heimstaden Bostad AB | 1.125% | 1/21/26 | 200 | 168 | |
Kimco Realty Corp. | 4.250% | 4/1/45 | 75 | 57 | ||
Kimco Realty Corp. | 3.700% | 10/1/49 | 110 | 76 | ||
6 | Ladder Capital Finance Holdings LLLP | 4.750% | 6/15/29 | 95 | 71 | |
2,9 | Logicor Financing Sarl | 0.750% | 7/15/24 | 100 | 91 | |
MPT Operating Partnership LP | 3.500% | 3/15/31 | 170 | 118 | ||
Prologis LP | 4.625% | 1/15/33 | 200 | 190 | ||
2,10 | Realty Income Corp. | 1.875% | 1/14/27 | 100 | 92 | |
2,9 | Samhallsbyggnadsbolaget i Norden AB | 1.750% | 1/14/25 | 100 | 81 | |
2,9 | Samhallsbyggnadsbolaget i Norden AB | 1.125% | 9/4/26 | 100 | 73 | |
6 | VICI Properties LP | 4.625% | 6/15/25 | 190 | 179 | |
10 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 100 | 96 | |
Weyerhaeuser Co. | 3.375% | 3/9/33 | 210 | 171 | ||
3,974 | ||||||
Technology (1.4%) | ||||||
Apple Inc. | 3.250% | 8/8/29 | 890 | 814 | ||
Apple Inc. | 2.375% | 2/8/41 | 226 | 157 | ||
Apple Inc. | 4.250% | 2/9/47 | 113 | 100 | ||
Apple Inc. | 2.650% | 5/11/50 | 110 | 73 | ||
Apple Inc. | 4.100% | 8/8/62 | 440 | 361 | ||
6 | Broadcom Inc. | 3.187% | 11/15/36 | 225 | 154 | |
6 | CommScope Inc. | 6.000% | 3/1/26 | 100 | 92 | |
6 | Condor Merger Sub Inc. | 7.375% | 2/15/30 | 160 | 131 | |
6 | Entegris Escrow Corp. | 4.750% | 4/15/29 | 395 | 350 | |
6 | Entegris Escrow Corp. | 5.950% | 6/15/30 | 300 | 274 | |
Global Payments Inc. | 1.500% | 11/15/24 | 170 | 157 | ||
HP Inc. | 4.000% | 4/15/29 | 280 | 246 | ||
HP Inc. | 4.200% | 4/15/32 | 250 | 203 | ||
Intel Corp. | 2.450% | 11/15/29 | 452 | 378 | ||
Intel Corp. | 4.150% | 8/5/32 | 100 | 91 | ||
Intel Corp. | 4.100% | 5/19/46 | 186 | 149 | ||
Intel Corp. | 4.900% | 8/5/52 | 400 | 353 | ||
KLA Corp. | 5.000% | 3/15/49 | 187 | 171 | ||
Oracle Corp. | 3.250% | 5/15/30 | 424 | 349 | ||
Oracle Corp. | 4.000% | 11/15/47 | 424 | 285 | ||
PayPal Holdings Inc. | 3.900% | 6/1/27 | 80 | 77 | ||
6 | Picard Midco Inc. | 6.500% | 3/31/29 | 50 | 42 | |
6 | S&P Global Inc. | 2.700% | 3/1/29 | 480 | 415 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
6 | S&P Global Inc. | 2.900% | 3/1/32 | 180 | 150 | |
Salesforce Inc. | 2.700% | 7/15/41 | 278 | 192 | ||
Verisk Analytics Inc. | 5.500% | 6/15/45 | 270 | 254 | ||
Workday Inc. | 3.700% | 4/1/29 | 230 | 206 | ||
6,224 | ||||||
Utilities (2.2%) | ||||||
2 | AEP Transmission Co. LLC | 3.650% | 4/1/50 | 200 | 148 | |
American Electric Power Co. Inc. | 2.031% | 3/15/24 | 150 | 143 | ||
2 | Appalachian Power Co. | 2.700% | 4/1/31 | 565 | 453 | |
2 | Appalachian Power Co. | 4.500% | 8/1/32 | 700 | 630 | |
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 260 | 253 | ||
Berkshire Hathaway Energy Co. | 1.650% | 5/15/31 | 226 | 171 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 339 | 274 | ||
6 | Calpine Corp. | 5.125% | 3/15/28 | 140 | 121 | |
2 | CenterPoint Energy Houston Electric LLC | 4.450% | 10/1/32 | 300 | 285 | |
CenterPoint Energy Inc. | 3.700% | 9/1/49 | 200 | 143 | ||
6 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 100 | 89 | |
Constellation Energy Generation LLC | 6.250% | 10/1/39 | 170 | 166 | ||
Consumers Energy Co. | 3.600% | 8/15/32 | 60 | 54 | ||
Consumers Energy Co. | 4.200% | 9/1/52 | 120 | 100 | ||
2 | Dominion Energy Inc. | 3.375% | 4/1/30 | 200 | 172 | |
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 240 | 208 | ||
DTE Electric Co. | 4.300% | 7/1/44 | 226 | 191 | ||
DTE Energy Co. | 2.950% | 3/1/30 | 200 | 168 | ||
Duke Energy Carolinas LLC | 2.850% | 3/15/32 | 250 | 207 | ||
Duke Energy Corp. | 3.300% | ��� 6/15/41 | 226 | 158 | ||
Duke Energy Corp. | 5.000% | 8/15/52 | 270 | 231 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 300 | 258 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 200 | 157 | ||
2,9 | Elia Transmission Belgium SA | 0.875% | 4/28/30 | 100 | 78 | |
2,9 | Enel SpA | 3.375% | Perpetual | 100 | 83 | |
Eversource Energy | 4.200% | 6/27/24 | 572 | 564 | ||
6 | Exelon Corp. | 3.350% | 3/15/32 | 200 | 168 | |
Exelon Corp. | 4.450% | 4/15/46 | 140 | 115 | ||
6 | Exelon Corp. | 4.100% | 3/15/52 | 100 | 77 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 120 | 97 | ||
2 | FirstEnergy Corp. | 2.250% | 9/1/30 | 70 | 54 | |
6 | FirstEnergy Transmission LLC | 4.550% | 4/1/49 | 180 | 140 | |
6 | ITC Holdings Corp. | 4.950% | 9/22/27 | 80 | 78 | |
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 400 | 382 | ||
6 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 17 | 16 | |
Pacific Gas & Electric Co. | 3.150% | 1/1/26 | 225 | 202 | ||
Pacific Gas & Electric Co. | 2.500% | 2/1/31 | 57 | 41 | ||
Pacific Gas & Electric Co. | 4.500% | 7/1/40 | 79 | 57 | ||
Pacific Gas & Electric Co. | 3.300% | 8/1/40 | 80 | 51 | ||
Pacific Gas & Electric Co. | 3.500% | 8/1/50 | 57 | 35 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 500 | 383 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 565 | 435 | ||
6 | Rayburn Country Securitization LLC | 2.307% | 12/1/30 | 210 | 191 | |
Sempra Energy | 3.700% | 4/1/29 | 300 | 268 | ||
Southern California Edison Co. | 3.450% | 2/1/52 | 150 | 101 | ||
Southern Co. | 4.475% | 8/1/24 | 750 | 740 | ||
Tampa Electric Co. | 3.875% | 7/12/24 | 100 | 98 | ||
2 | Virginia Electric & Power Co. | 3.800% | 9/15/47 | 200 | 153 | |
6 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 130 | 117 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
WEC Energy Group Inc. | 5.000% | 9/27/25 | 270 | 269 | ||
10 | Western Power Distribution plc | 3.625% | 11/6/23 | 100 | 109 | |
9,882 | ||||||
Total Corporate Bonds (Cost $142,081) | 119,613 | |||||
Floating Rate Loan Interests (2.0%) | ||||||
7 | AAdvantage Loyalty IP Ltd. Initial Term Loan, 3M USD LIBOR + 4.750% | 7.460% | 4/20/28 | 2,070 | 2,002 | |
7 | Bausch Health Cos. Inc. Second Amendment Term Loan, TSFR1M + 5.250% | 8.098% | 2/1/27 | 163 | 125 | |
7 | Berry Global Inc. Term Loan Z, 3M USD LIBOR + 1.750% | 4.178% | 7/1/26 | 1,000 | 967 | |
7 | Central Parent Inc. First Lien Initial Term Loan, TSFR3M + 4.500% | 6.610% | 7/6/29 | 155 | 149 | |
7 | Churchill Downs Inc. Term Loan B, 1M USD LIBOR + 2.000% | 5.120% | 12/27/24 | 989 | 974 | |
7 | Clarios Global LP First Lien Dollar Term Loan, 1M USD LIBOR + 3.250% | 6.365% | 4/30/26 | 15 | 14 | |
7 | Clean Harbors Inc. Incremental Term Loan, 1M USD LIBOR + 2.000% | 4.524% | 10/8/28 | 992 | 983 | |
7 | DaVita Inc. Tranche B-1 Term Loan, 1M USD LIBOR + 1.750% | 4.865% | 8/12/26 | 129 | 123 | |
7 | Directv Financing LLC Term Loan, 1M USD LIBOR + 5.000% | 8.115% | �� 8/2/27 | 218 | 203 | |
7 | First Student Bidco Inc. Incremental Term Loan B, TSFR3M + 4.000% | 6.154% | 7/21/28 | 108 | 102 | |
7 | First Student Bidco Inc. Incremental Term Loan C, TSFR3M + 4.000% | 6.154% | 7/21/28 | 8 | 8 | |
7 | McAfee Corp. Tranche B-1 Term Loan, TSFR1M + 3.750% | 6.362% | 3/1/29 | 110 | 100 | |
7 | Medline Borrower LP Initial Dollar Term Loan, 1M USD LIBOR + 3.250% | 6.365% | 10/23/28 | 453 | 416 | |
7 | SBA Senior Finance II LLC Initial Term Loan, 1M USD LIBOR + 1.750% | 4.870% | 4/11/25 | 75 | 73 | |
7 | SkyMiles IP Ltd. Initial Term Loan, 3M USD LIBOR + 3.750% | 6.460% | 10/20/27 | 1,714 | 1,714 | |
7 | Southwestern Energy Co. Initial Term Loan, TSFR3M + 2.500% | 6.203% | 6/22/27 | 263 | 258 | |
7 | Spirit Aerosystems Inc. 2021 Refinancing Term Loan, 1M USD LIBOR + 3.750% | 6.865% | 1/15/25 | 140 | 138 | |
7 | SS&C Technologies Holdings Inc. Term Loan B-6, TSFR1M + 2.250% | 5.384% | 3/22/29 | 79 | 76 | |
7 | SS&C Technologies Holdings Inc. Term Loan B-7, TSFR1M + 2.250% | 5.384% | 3/22/29 | 111 | 107 | |
7 | TIBCO Software Inc. Dollar Term Loan B, TSFR1M + 4.500% | 8.093% | 3/30/29 | 15 | 13 | |
7 | Wyndham Hotels & Resorts Inc. Term Loan B, 1M USD LIBOR + 1.750% | 4.865% | 5/30/25 | 295 | 287 | |
Total Floating Rate Loan Interests (Cost $9,230) | 8,832 | |||||
Sovereign Bonds (8.5%) | ||||||
2 | Arab Republic of Egypt | 8.700% | 3/1/49 | 350 | 195 | |
2,6 | Bermuda | 5.000% | 7/15/32 | 1,200 | 1,136 | |
2 | Dominican Republic | 5.950% | 1/25/27 | 1,200 | 1,119 | |
2 | Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 430 | 386 | |
2 | Eskom Holdings SOC Ltd. | 7.125% | 2/11/25 | 680 | 603 | |
2 | Export-Import Bank of India | 4.000% | 1/14/23 | 1,250 | 1,247 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Federal Republic of Nigeria | 7.875% | 2/16/32 | 275 | 177 | |
2 | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 450 | 264 | |
2,6 | Fondo MIVIVIENDA SA | 4.625% | 4/12/27 | 188 | 176 | |
2 | Gabonese Republic | 6.950% | 6/16/25 | 630 | 522 | |
2 | Indonesia Asahan Aluminium Persero PT | 5.450% | 5/15/30 | 217 | 194 | |
2 | Kingdom of Morocco | 4.250% | 12/11/22 | 1,555 | 1,549 | |
2,6 | Korea Electric Power Corp. | 3.625% | 6/14/25 | 1,000 | 963 | |
2,4,6 | Korea Electric Power Corp. | 5.375% | 4/6/26 | 840 | 839 | |
2,6 | Korea Electric Power Corp. | 4.000% | 6/14/27 | 900 | 856 | |
2 | Oman Government Bond | 4.125% | 1/17/23 | 600 | 596 | |
2 | Oman Government Bond | 6.500% | 3/8/47 | 450 | 353 | |
2 | Paraguay Government International Bond | 5.400% | 3/30/50 | 400 | 297 | |
2,9 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 2.875% | 10/25/25 | 800 | 744 | |
2 | Petroleos del Peru SA | 5.625% | 6/19/47 | 627 | 373 | |
Petroleos Mexicanos | 6.490% | 1/23/27 | 3,400 | 2,846 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 186 | 106 | ||
Petroleos Mexicanos | 6.750% | 9/21/47 | 825 | 459 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 434 | 233 | ||
Petroleos Mexicanos | 6.950% | 1/28/60 | 555 | 307 | ||
2 | Republic of Colombia | 2.625% | 3/15/23 | 2,600 | 2,568 | |
2 | Republic of Colombia | 4.500% | 1/28/26 | 2,020 | 1,853 | |
2 | Republic of Ecuador | 1.500% | 7/31/40 | 255 | 75 | |
2 | Republic of El Salvador | 7.650% | 6/15/35 | 680 | 229 | |
2 | Republic of Honduras | 7.500% | 3/15/24 | 400 | 392 | |
Republic of Hungary | 5.375% | 3/25/24 | 900 | 885 | ||
2,6 | Republic of Hungary | 5.250% | 6/16/29 | 200 | 182 | |
2 | Republic of Indonesia | 4.650% | 9/20/32 | 1,750 | 1,643 | |
2 | Republic of Indonesia | 6.625% | 2/17/37 | 750 | 778 | |
2 | Republic of Kenya | 8.000% | 5/22/32 | 200 | 136 | |
2 | Republic of Panama | 3.870% | 7/23/60 | 700 | 414 | |
2 | Republic of Paraguay | 4.625% | 1/25/23 | 1,500 | 1,494 | |
Republic of Peru | 7.350% | 7/21/25 | 100 | 105 | ||
2,9 | Republic of Romania | 2.125% | 3/7/28 | 633 | 478 | |
2,9 | Republic of Romania | 2.875% | 5/26/28 | 500 | 384 | |
6,9 | Republic of Romania | 6.625% | 9/27/29 | 1,440 | 1,328 | |
2,6 | Republic of Romania | 6.000% | 5/25/34 | 464 | 389 | |
Republic of South Africa | 4.300% | 10/12/28 | 400 | 333 | ||
Republic of Turkey | 5.750% | 5/11/47 | 200 | 120 | ||
2 | Republic of Uzbekistan International Bond | 4.750% | 2/20/24 | 550 | 518 | |
2 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 1,200 | 1,161 | |
2,9 | Serbia International Bond | 1.500% | 6/26/29 | 900 | 583 | |
2,12 | Ukraine Government Bond | 7.750% | 9/1/26 | 600 | 122 | |
2,12 | Ukraine Government Bond | 6.876% | 5/21/31 | 1,050 | 193 | |
2,13 | United Mexican States | 7.750% | 5/29/31 | 60,000 | 2,646 | |
2,13 | United Mexican States | 8.500% | 11/18/38 | 9,500 | 425 | |
2,13 | United Mexican States | 7.750% | 11/13/42 | 7,000 | 289 | |
2 | United Mexican States | 4.400% | 2/12/52 | 589 | 407 | |
2,6 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 1,100 | 829 | |
Total Sovereign Bonds (Cost $43,369) | 37,499 | |||||
Temporary Cash Investments (8.0%) | ||||||
Commercial Paper (0.8%) | ||||||
14 | Enbridge US Inc. | 2.993% | 12/30/22 | 1,110 | 1,098 | |
14 | Raytheon Technologies Corp. | 3.745% | 12/1/22 | 300 | 298 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
14 | Raytheon Technologies Corp. | 3.750% | 12/19/22 | 200 | 198 | |
14 | Raytheon Technologies Corp. | 3.808% | 12/30/22 | 1,900 | 1,881 | |
3,475 | ||||||
Shares | ||||||
Money Market Fund (7.2%) | ||||||
15 | Vanguard Market Liquidity Fund | 2.828% | 318,182 | 31,809 | ||
Total Temporary Cash Investments (Cost $35,288) | 35,284 | |||||
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | |||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-IG-S38-V1, Credit Protection Purchased, Pays 1.000% Quarterly (Cost $20) | GSI | 11/16/22 | 1.000% | 6,250 | 26 | |
Total Investments (96.6%) (Cost $470,479) | 427,145 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.8%) | ||||||
2,3,4 | UMBS Pool (Proceeds $7,382) | 3.000% | 10/25/37–11/25/52 | (9,358) | (7,977) | |
Other Assets and Liabilities—Net (5.2%) | 23,027 | |||||
Net Assets (100%) | 442,195 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Securities with a value of $669,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2022. |
5 | Securities with a value of $2,379,000 have been segregated as initial margin for open futures contracts. |
6 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the aggregate value was $62,522,000, representing 14.1% of net assets. |
7 | 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. |
8 | Interest-only security. |
9 | Face amount denominated in euro. |
10 | Face amount denominated in British pounds. |
11 | Face amount denominated in Swiss francs. |
12 | Non-income-producing security—security in default. |
13 | Face amount denominated in Mexican pesos. |
14 | 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 September 30, 2022, the aggregate value of these securities was $3,475,000, representing 0.8% of net assets. |
15 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SOFR30A—30 Day Average Secured Overnight Financing Rate. | |
TSFR1M—CME Term Secured Overnight Financing Rate 1-Month. | |
TSFR3M—CME Term Secured Overnight Financing Rate 3-Month. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Options Written | |||||
Counterparty | Expiration Date | Excercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | |
Over-the-Counter Swaptions | |||||
Put Swaptions | |||||
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 10/19/22 | 1.050% | 13,500 | (24) |
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 11/16/22 | 1.050% | 13,500 | (45) |
5-Year CDX-NA-IG-S38-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 11/16/22 | 1.400% | 6,250 | (5) |
Total Options Written (Premiums Received $52) | (74) |
GSI—Goldman Sachs International. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | December 2022 | 429 | 46,121 | (1,083) |
10-Year U.S. Treasury Note | December 2022 | 217 | 24,318 | (895) |
Euro-Bobl | December 2022 | 4 | 469 | 3 |
Long U.S. Treasury Bond | December 2022 | 62 | 7,837 | (356) |
Ultra 10-Year U.S. Treasury Note | December 2022 | 32 | 3,792 | (52) |
Ultra Long U.S. Treasury Bond | December 2022 | 110 | 15,070 | (981) |
(3,364) | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | (31) | (6,367) | (4) |
10-Year Japanese Government Bond | December 2022 | (6) | (6,148) | 4 |
Euro-Bund | December 2022 | (4) | (543) | 29 |
Euro-Schatz | December 2022 | (131) | (13,759) | (2) |
Long Gilt | December 2022 | (2) | (215) | 30 |
57 | ||||
(3,307) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 346 | CHF | 330 | 11 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 7,338 | EUR | 7,327 | 143 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 1,148 | EUR | 1,190 | — | (21) |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 2,889 | GBP | 2,508 | 87 | — |
JPMorgan Chase Bank, N.A. | 11/2/22 | USD | 21 | JPY | 2,872 | — | — |
JPMorgan Chase Bank, N.A. | 11/3/22 | USD | 3,641 | MXN | 73,612 | 6 | — |
247 | (21) |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
MXN—Mexican peso. |
USD—U.S. dollar. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Purchased | ||||||
CDX-NA-IG-S39-V1 | 12/20/27 | USD | 7,270 | (1.000) | 21 | 26 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 230 | 1.000 | — | 1 | — | (1) |
Financial Guaranty Insurance Co./WR | 12/20/27 | BARC | 835 | 1.000 | (93) | (3) | — | (90) |
Republic of Chile/A2 | 12/20/27 | BARC | 1,860 | 1.000 | (59) | (59) | — | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Republic of Chile/A2 | 12/20/27 | JPMC | 1,480 | 1.000 | (45) | (40) | — | (5) |
United Mexican States/Baa2 | 12/20/27 | GSI | 2,100 | 1.000 | (90) | (68) | — | (22) |
(287) | (169) | — | (118) | |||||
Credit Protection Purchased | ||||||||
Petroleos Mexicanos | 12/20/26 | BARC | 2,000 | (1.000) | 412 | 176 | 236 | — |
Republic of Colombia | 6/20/27 | BARC | 865 | (1.000) | 72 | 69 | 3 | — |
Republic of Colombia | 6/20/27 | BARC | 750 | (1.000) | 62 | 60 | 2 | — |
546 | 305 | 241 | — | |||||
259 | 136 | 241 | (118) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
GSI—Goldman Sachs International. |
JPMC—JPMorgan Chase Bank, N.A. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount (000) | Interest Rate Received (%) | Interest Rate (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
8/23/25 | N/A | 7,5002 | 2.9803 | (3.120) | 180 | 181 |
12/21/25 | 12/21/224 | 5005 | 0.0006 | (2.500) | 45 | 21 |
12/21/27 | 12/21/224 | 6005 | 0.0006 | (2.500) | 75 | 38 |
300 | 240 |
1 Interest payment received/paid annually. |
2 Notional amount denominated in U.S. dollar. |
3 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually. |
4 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
5 Notional amount denominated in British pound. |
6 Based on 1-Day Sterling Overnight Index Average Rate (SONIA) as of the most recent payment date. Interest payment received/paid annually. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $438,671) | 395,336 |
Affiliated Issuers (Cost $31,808) | 31,809 |
Total Investments in Securities | 427,145 |
Investment in Vanguard | 15 |
Cash | 3,511 |
Foreign Currency, at Value (Cost $266) | 269 |
Cash Collateral Pledged—Centrally Cleared Swaps | 280 |
Receivables for Investment Securities Sold | 125,409 |
Receivables for Accrued Income | 2,718 |
Receivables for Capital Shares Issued | 2,219 |
Swap Premiums Paid | 306 |
Variation Margin Receivable—Centrally Cleared Swap Contracts | 16 |
Unrealized Appreciation—Forward Currency Contracts | 247 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 241 |
Total Assets | 562,376 |
Liabilities | |
Liability for Sale Commitments, at Value (Proceeds $7,382) | 7,977 |
Payables for Investment Securities Purchased | 110,105 |
Payables for Capital Shares Redeemed | 859 |
Payables for Distributions | 370 |
Payables to Vanguard | 38 |
Options Written, at Value (Premiums Received $52) | 74 |
Swap Premiums Received | 170 |
Variation Margin Payable—Futures Contracts | 449 |
Unrealized Depreciation—Forward Currency Contracts | 21 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 118 |
Total Liabilities | 120,181 |
Net Assets | 442,195 |
Statement of Assets and Liabilities (continued) | |
At September 30, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 519,028 |
Total Distributable Earnings (Loss) | (76,833) |
Net Assets | 442,195 |
Investor Shares—Net Assets | |
Applicable to 4,490,782 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 37,504 |
Net Asset Value Per Share—Investor Shares | $8.35 |
Admiral Shares—Net Assets | |
Applicable to 24,229,902 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 404,691 |
Net Asset Value Per Share—Admiral Shares | $16.70 |
October 12, 20211 to September 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest2 | 10,826 |
Total Income | 10,826 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 25 |
Management and Administrative—Investor Shares | 95 |
Management and Administrative—Admiral Shares | 575 |
Marketing and Distribution—Investor Shares | 4 |
Marketing and Distribution—Admiral Shares | 20 |
Custodian Fees | 27 |
Auditing Fees | 42 |
Shareholders’ Reports—Investor Shares | 9 |
Shareholders’ Reports—Admiral Shares | 9 |
Trustees’ Fees and Expenses | — |
Other Expenses | 11 |
Total Expenses | 817 |
Expenses Paid Indirectly | (5) |
Net Expenses | 812 |
Net Investment Income | 10,014 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (28,763) |
Futures Contracts | (3,743) |
Options Purchased | 85 |
Swap Contracts | 320 |
Forward Currency Contracts | 1,795 |
Foreign Currencies | (23) |
Realized Net Gain (Loss) | (30,329) |
Statement of Operations (continued) | |
October 12, 20211 to September 30, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (43,935) |
Futures Contracts | (3,307) |
Options Purchased | 6 |
Options Written | (22) |
Swap Contracts | 389 |
Forward Currency Contracts | 226 |
Foreign Currencies | (7) |
Change in Unrealized Appreciation (Depreciation) | (46,650) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (66,965) |
1 | Commencement of subscription period for the fund. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $131,000, ($11,000), $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
October 12, 20211 to September 30, 2022 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 10,014 |
Realized Net Gain (Loss) | (30,329) |
Change in Unrealized Appreciation (Depreciation) | (46,650) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (66,965) |
Distributions | |
Investor Shares | (943) |
Admiral Shares | (8,925) |
Total Distributions | (9,868) |
Capital Share Transactions | |
Investor Shares | 45,286 |
Admiral Shares | 473,742 |
Net Increase (Decrease) from Capital Share Transactions | 519,028 |
Total Increase (Decrease) | 442,195 |
Net Assets | |
Beginning of Period | — |
End of Period | 442,195 |
1 | Commencement of subscription period for the fund. |
Investor Shares | |
For a Share Outstanding Throughout the Period | October 12, 20211 to September 30, 2022 |
Net Asset Value, Beginning of Period | $10.00 |
Investment Operations | |
Net Investment Income2 | .213 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.655) |
Total from Investment Operations | (1.442) |
Distributions | |
Dividends from Net Investment Income | (.208) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.208) |
Net Asset Value, End of Period | $8.35 |
Total Return3 | -14.57% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $38 |
Ratio of Total Expenses to Average Net Assets | 0.30%4,5 |
Ratio of Net Investment Income to Average Net Assets | 2.46%4 |
Portfolio Turnover Rate6 | 542% |
1 | Subscription period for the fund was October 12, 2021, to October 22, 2021, during which time all assets were held in cash. Performance measurement began October 25, 2021, the first business day after the subscription period, at a net asset value of $10.00. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.30%. |
6 | Includes 150% attributable to mortgage-dollar-roll activity. |
Admiral Shares | |
For a Share Outstanding Throughout the Period | October 12, 20211 to September 30, 2022 |
Net Asset Value, Beginning of Period | $20.00 |
Investment Operations | |
Net Investment Income2 | .451 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.318) |
Total from Investment Operations | (2.867) |
Distributions | |
Dividends from Net Investment Income | (.433) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.433) |
Net Asset Value, End of Period | $16.70 |
Total Return3 | -14.49% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $405 |
Ratio of Total Expenses to Average Net Assets | 0.20%4,5 |
Ratio of Net Investment Income to Average Net Assets | 2.61%4 |
Portfolio Turnover Rate6 | 542% |
1 | Subscription period for the fund was October 12, 2021, to October 22, 2021, during which time all assets were held in cash. Performance measurement began October 25, 2021, the first business day after the subscription period, at a net asset value of $20.00. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
6 | Includes 150% attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 178,808 | — | 178,808 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 47,083 | — | 47,083 |
Corporate Bonds | — | 119,613 | — | 119,613 |
Floating Rate Loan Interests | — | 8,832 | — | 8,832 |
Sovereign Bonds | — | 37,499 | — | 37,499 |
Temporary Cash Investments | 31,809 | 3,475 | — | 35,284 |
Options Purchased | — | 26 | — | 26 |
Total | 31,809 | 395,336 | — | 427,145 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 7,977 | — | 7,977 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 66 | — | — | 66 |
Forward Currency Contracts | — | 247 | — | 247 |
Swap Contracts | 2661 | 241 | — | 507 |
Total | 332 | 488 | — | 820 |
Liabilities | ||||
Options Written | — | 74 | — | 74 |
Futures Contracts1 | 3,373 | — | — | 3,373 |
Forward Currency Contracts | — | 21 | — | 21 |
Swap Contracts | — | 118 | — | 118 |
Total | 3,373 | 213 | — | 3,586 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Investments in Securities, at Value—Unaffiliated Issuers (Options Purchased) | — | — | 26 | 26 |
Swap Premiums Paid | — | — | 306 | 306 |
Unrealized Appreciation—Futures Contracts1 | 66 | — | — | 66 |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | 240 | — | 26 | 266 |
Unrealized Appreciation—Forward Currency Contracts | — | 247 | — | 247 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 241 | 241 |
Total Assets | 306 | 247 | 599 | 1,152 |
Options Written, at Value | — | — | 74 | 74 |
Swap Premiums Received | — | — | 170 | 170 |
Unrealized Depreciation—Futures Contracts1 | 3,373 | — | — | 3,373 |
Unrealized Depreciation—Forward Currency Contracts | — | 21 | — | 21 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 118 | 118 |
Total Liabilities | 3,373 | 21 | 362 | 3,756 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (3,743) | — | — | (3,743) |
Options Purchased | — | — | 85 | 85 |
Swap Contracts | 266 | — | 54 | 320 |
Forward Currency Contracts | — | 1,795 | — | 1,795 |
Realized Net Gain (Loss) on Derivatives | (3,477) | 1,795 | 139 | (1,543) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (3,307) | — | — | (3,307) |
Options Purchased | — | — | 6 | 6 |
Options Written | — | — | (22) | (22) |
Swap Contracts | 240 | — | 149 | 389 |
Forward Currency Contracts | — | 226 | — | 226 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (3,067) | 226 | 133 | (2,708) |
Amount ($000) | |
Undistributed Ordinary Income | 412 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (33,785) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (43,090) |
Period Ended September 30, 2022 | |
Amount ($000) | |
Ordinary Income* | 9,868 |
Long-Term Capital Gains | — |
Total | 9,868 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 470,091 |
Gross Unrealized Appreciation | 13,370 |
Gross Unrealized Depreciation | (56,460) |
Net Unrealized Appreciation (Depreciation) | (43,090) |
October 12, 20211 to September 30, 2022 | ||
Amount ($000) | Shares (000) | |
Investor Shares | ||
Issued | 75,023 | 7,611 |
Issued in Lieu of Cash Distributions | 762 | 84 |
Redeemed | (30,499) | (3,204) |
Net Increase (Decrease)—Investor Shares | 45,286 | 4,491 |
October 12, 20211 to September 30, 2022 | ||
Amount ($000) | Shares (000) | |
Admiral Shares | ||
Issued | 669,147 | 34,655 |
Issued in Lieu of Cash Distributions | 6,806 | 374 |
Redeemed | (202,211) | (10,799) |
Net Increase (Decrease)—Admiral Shares | 473,742 | 24,230 |
1 | Commencement of subscription period for the fund. |
Philadelphia, Pennsylvania
November 18, 2022
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) | Audit Fees. |
Audit Fees of the Registrant.
Fiscal Year Ended September 30, 2022: $290,000
Fiscal Year Ended September 30, 2021: $238,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended September 30, 2022: $10,494,508
Fiscal Year Ended September 30, 2021: $11,244,694
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) | Audit-Related Fees. |
Fiscal Year Ended September 30, 2022: $2,757,764
Fiscal Year Ended September 30, 2021: $2,955,181
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) | Tax Fees. |
Fiscal Year Ended September 30, 2022: $5,202,689
Fiscal Year Ended September 30, 2021: $2,047,574
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) | All Other Fees. |
Fiscal Year Ended September 30, 2022: $298,000
Fiscal Year Ended September 30, 2021: $280,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended September 30, 2022: $5,500,689
Fiscal Year Ended September 30, 2021: $2,327,574
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications field herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD MALVERN FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: November 21, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD MALVERN FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: November 21, 2022
VANGUARD MALVERN FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: November 21, 2022
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on October 11, 2022 (see File Number 333-11763), Incorporated by Reference.