Vanguard Institutional Intermediate-Term Bond Fund
Schedule of Investments (unaudited)
As of December 31, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission
(SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The
fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (63.5%) | |||||
U.S. Government Securities (25.3%) | |||||
United States Treasury Note/Bond | 0.125% | 6/30/22 | 250,000 | 250,000 | |
United States Treasury Note/Bond | 0.125% | 7/31/22 | 250,000 | 250,040 | |
United States Treasury Note/Bond | 0.125% | 10/31/22 | 500,000 | 500,000 | |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 50,000 | 51,390 | |
United States Treasury Note/Bond | 0.125% | 11/30/22 | 500,000 | 500,000 | |
United States Treasury Note/Bond | 1.375% | 2/15/23 | 135,000 | 138,544 | |
United States Treasury Note/Bond | 0.500% | 3/15/23 | 380,000 | 383,086 | |
United States Treasury Note/Bond | 0.250% | 4/15/23 | 450,000 | 451,125 | |
United States Treasury Note/Bond | 0.125% | 5/15/23 | 150,000 | 149,953 | |
United States Treasury Note/Bond | 0.250% | 6/15/23 | 400,000 | 401,000 | |
United States Treasury Note/Bond | 0.125% | 9/15/23 | 250,000 | 249,805 | |
1 | United States Treasury Note/Bond | 0.125% | 10/15/23 | 500,000 | 499,610 |
United States Treasury Note/Bond | 0.250% | 11/15/23 | 500,000 | 501,405 | |
United States Treasury Note/Bond | 1.500% | 11/30/24 | 100,000 | 104,859 | |
United States Treasury Note/Bond | 1.750% | 12/31/24 | 75,000 | 79,429 | |
United States Treasury Note/Bond | 1.375% | 1/31/25 | 300,000 | 313,500 | |
United States Treasury Note/Bond | 0.500% | 3/31/25 | 100,000 | 100,906 | |
United States Treasury Note/Bond | 0.250% | 7/31/25 | 200,000 | 199,376 | |
United States Treasury Note/Bond | 0.250% | 8/31/25 | 300,000 | 298,968 | |
United States Treasury Note/Bond | 0.250% | 9/30/25 | 300,000 | 298,782 | |
1 | United States Treasury Note/Bond | 0.250% | 10/31/25 | 500,000 | 497,810 |
United States Treasury Note/Bond | 2.250% | 3/31/26 | 100,000 | 109,641 | |
2 | United States Treasury Note/Bond | 1.625% | 11/30/26 | 175,000 | 186,622 |
United States Treasury Note/Bond | 1.750% | 12/31/26 | 40,000 | 42,969 | |
2,3 | United States Treasury Note/Bond | 1.125% | 2/28/27 | 72,000 | 74,632 |
2,3 | United States Treasury Note/Bond | 0.625% | 3/31/27 | 250,000 | 251,405 |
United States Treasury Note/Bond | 2.250% | 8/15/27 | 88,000 | 97,529 | |
United States Treasury Note/Bond | 0.500% | 8/31/27 | 100,000 | 99,328 | |
2 | United States Treasury Note/Bond | 0.500% | 10/31/27 | 450,000 | 446,202 |
2 | United States Treasury Note/Bond | 0.625% | 11/30/27 | 500,000 | 499,690 |
3 | United States Treasury Note/Bond | 0.625% | 8/15/30 | 200 | 195 |
2 | United States Treasury Note/Bond | 0.875% | 11/15/30 | 200,000 | 199,218 |
8,227,019 | |||||
Agency Bonds and Notes (0.1%) | |||||
4 | Fannie Mae Principal Strip | 0.000% | 1/15/30 | 4,900 | 4,368 |
Federal Home Loan Banks | 3.125% | 6/13/25 | 6,300 | 7,054 | |
Federal Home Loan Banks | 3.125% | 9/12/25 | 7,050 | 7,934 | |
Federal Home Loan Banks | 2.500% | 12/10/27 | 8,450 | 9,443 | |
Federal Home Loan Banks | 3.250% | 6/9/28 | 2,100 | 2,468 | |
Tennessee Valley Authority | 2.875% | 2/1/27 | 1,280 | 1,441 | |
32,708 | |||||
Conventional Mortgage-Backed Securities (32.7%) | |||||
4,5 | Fannie Mae Pool | 2.000% | 5/1/28–8/1/28 | 2,464 | 2,579 |
4,5 | Fannie Mae Pool | 2.500% | 9/1/27–12/1/49 | 45,108 | 47,591 |
4,5 | Fannie Mae Pool | 3.000% | 8/1/21–1/1/50 | 973,430 | 1,022,824 |
4,5 | Fannie Mae Pool | 3.500% | 1/1/22–2/1/50 | 539,104 | 577,116 |
4,5 | Fannie Mae Pool | 4.000% | 3/1/21–3/1/50 | 376,261 | 402,059 |
4,5 | Fannie Mae Pool | 4.500% | 5/1/21–3/1/50 | 415,230 | 455,432 |
4,5 | Fannie Mae Pool | 5.000% | 2/1/21–10/1/49 | 97,254 | 110,057 |
4,5 | Fannie Mae Pool | 5.500% | 6/1/21–5/1/44 | 169,561 | 199,191 |
4,5 | Fannie Mae Pool | 6.000% | 3/1/21–7/1/41 | 82,465 | 98,156 |
4,5 | Fannie Mae Pool | 6.500% | 8/1/21–6/1/40 | 6,232 | 7,236 |
4,5 | Fannie Mae Pool | 7.000% | 9/1/28–12/1/38 | 2,334 | 2,733 |
4,5 | Fannie Mae Pool | 7.500% | 8/1/30–6/1/32 | 173 | 205 |
4,5 | Fannie Mae Pool | 8.000% | 7/1/30–1/1/31 | 8 | 11 |
4,5 | Fannie Mae Pool | 8.500% | 12/1/30 | 7 | 9 |
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–1/1/32 | 4,148 | 4,336 |
4,5 | Freddie Mac Gold Pool | 2.500% | 4/1/27–3/1/47 | 18,073 | 19,096 |
4,5 | Freddie Mac Gold Pool | 3.000% | 2/1/27–8/1/47 | 100,409 | 107,093 |
4,5 | Freddie Mac Gold Pool | 3.500% | 1/1/21–3/1/49 | 180,996 | 193,930 |
4,5 | Freddie Mac Gold Pool | 4.000% | 5/1/24–5/1/49 | 97,390 | 105,163 |
4,5 | Freddie Mac Gold Pool | 4.500% | 3/1/21–2/1/49 | 64,898 | 71,626 |
4,5 | Freddie Mac Gold Pool | 5.000% | 5/1/21–2/1/49 | 12,504 | 14,113 |
4,5 | Freddie Mac Gold Pool | 5.500% | 2/1/32–8/1/40 | 19,398 | 22,112 |
4,5 | Freddie Mac Gold Pool | 6.000% | 10/1/27–5/1/40 | 15,042 | 17,674 |
4,5 | Freddie Mac Gold Pool | 6.500% | 2/1/29–9/1/39 | 6,869 | 7,922 |
4,5 | Freddie Mac Gold Pool | 7.000% | 5/1/28–6/1/38 | 1,322 | 1,501 |
4,5 | Freddie Mac Gold Pool | 7.500% | 3/1/30–5/1/38 | 1,891 | 2,218 |
4,5 | Freddie Mac Gold Pool | 8.000% | 4/1/30–7/1/30 | 8 | 10 |
5 | Ginnie Mae I Pool | 2.500% | 1/15/43–6/15/43 | 684 | 730 |
5 | Ginnie Mae I Pool | 3.000% | 9/15/42–8/15/45 | 22,971 | 23,988 |
5 | Ginnie Mae I Pool | 3.500% | 1/15/42–6/15/47 | 31,319 | 33,112 |
5 | Ginnie Mae I Pool | 4.000% | 4/15/39–12/15/46 | 4,198 | 4,530 |
5 | Ginnie Mae I Pool | 4.500% | 7/15/33–12/15/46 | 20,668 | 23,075 |
5 | Ginnie Mae I Pool | 5.000% | 9/15/33–9/15/41 | 9,944 | 11,406 |
5 | Ginnie Mae I Pool | 5.500% | 3/15/31–2/15/41 | 5,952 | 6,803 |
5 | Ginnie Mae I Pool | 6.000% | 12/15/28–3/15/41 | 3,452 | 3,930 |
5 | Ginnie Mae I Pool | 6.500% | 12/15/27–6/15/38 | 2,274 | 2,616 |
5 | Ginnie Mae I Pool | 7.000% | 8/15/24–11/15/31 | 126 | 143 |
5 | Ginnie Mae I Pool | 7.500% | 4/15/31–3/15/32 | 34 | 41 |
5 | Ginnie Mae I Pool | 8.000% | 4/15/30–10/15/30 | 33 | 39 |
5 | Ginnie Mae I Pool | 8.500% | 7/15/30 | 11 | 13 |
¤,5 | Ginnie Mae II Pool | 2.000% | 1/1/51–2/1/51 | 179,500 | 187,324 |
5 | Ginnie Mae II Pool | 2.500% | 3/20/43–12/20/46 | 3,098 | 3,328 |
5 | Ginnie Mae II Pool | 3.000% | 3/20/27–12/20/49 | 362,196 | 376,844 |
5 | Ginnie Mae II Pool | 3.500% | 6/20/42–12/20/49 | 285,966 | 308,017 |
5 | Ginnie Mae II Pool | 4.000% | 2/20/34–12/20/49 | 182,496 | 196,878 |
5 | Ginnie Mae II Pool | 4.500% | 3/20/33–11/20/49 | 318,187 | 341,283 |
5 | Ginnie Mae II Pool | 5.000% | 5/20/39–11/20/49 | 32,859 | 36,331 |
5 | Ginnie Mae II Pool | 5.500% | 4/20/37–3/20/41 | 2,237 | 2,583 |
5 | Ginnie Mae II Pool | 6.000% | 5/20/36–10/20/41 | 3,860 | 4,532 |
5 | Ginnie Mae II Pool | 6.500% | 3/20/38–7/20/39 | 42 | 50 |
¤,4,5 UMBS Pool | 1.500% | 1/1/36–2/1/51 | 700,500 | 708,326 | |
¤,4,5 UMBS Pool | 2.000% | 12/1/35–2/1/51 | 3,608,000 | 3,743,699 | |
4,5 | UMBS Pool | 2.500% | 11/1/40–5/1/50 | 152,759 | 161,971 |
4,5 | UMBS Pool | 3.000% | 9/1/49–3/1/50 | 376,670 | 395,533 |
4,5 | UMBS Pool | 3.500% | 11/1/40–2/1/50 | 205,372 | 218,509 |
4,5 | UMBS Pool | 4.000% | 2/1/45–12/1/49 | 166,156 | 177,318 |
4,5 | UMBS Pool | 4.500% | 4/1/49–3/1/50 | 83,024 | 87,651 |
4,5 | UMBS Pool | 5.000% | 3/1/42–2/1/50 | 10,492 | 11,707 |
4,5 | UMBS Pool | 5.500% | 4/1/38–4/1/41 | 24,555 | 28,971 |
4,5 | UMBS Pool | 6.000% | 4/1/39 | 17,548 | 20,717 |
10,613,991 | |||||
Nonconventional Mortgage-Backed Securities (5.4%) | |||||
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.410% | 8/1/33 | 18 | 19 | |
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.535% | 8/1/33 | 16 | 17 | |
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.800% | 2.707% | 7/1/33 | 70 | 72 | |
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.960% | 2.710% | 5/1/33 | 3 | 3 | |
4,5,6 Fannie Mae Pool, 1YR CMT + 2.000% | 2.795% | 12/1/32 | 4 | 4 | |
4,5,6 Fannie Mae Pool, 1YR CMT + 2.210% | 3.320% | 5/1/33 | 35 | 37 | |
4,5 | Fannie Mae REMICS | 1.750% | 5/25/43–3/25/46 | 46,142 | 46,965 |
4,5 | Fannie Mae REMICS | 1.850% | 8/25/46 | 11,051 | 11,346 |
4,5 | Fannie Mae REMICS | 2.500% | 9/25/49–12/25/49 | 134,688 | 141,173 |
4,5 | Fannie Mae REMICS | 2.750% | 8/25/47 | 15,639 | 16,240 |
4,5 | Fannie Mae REMICS | 3.000% | 2/25/43–9/25/48 | 108,361 | 113,234 |
4,5 | Fannie Mae REMICS | 3.500% | 12/25/41–7/25/48 | 109,397 | 118,087 |
4,5 | Fannie Mae REMICS | 4.000% | 12/25/47–10/25/48 | 45,069 | 49,740 |
4,5 | Fannie Mae REMICS | 5.250% | 9/25/41 | 6,120 | 7,201 |
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + | |||||
1.750% | 2.536% | 8/1/37 | 49 | 52 | |
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + | |||||
1.961% | 2.461% | 10/1/32 | 9 | 10 | |
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + | |||||
1.961% | 3.961% | 2/1/33 | 8 | 9 | |
4,5 | Freddie Mac REMICS | 2.500% | 9/25/49–2/25/50 | 81,694 | 85,623 |
4,5 | Freddie Mac REMICS | 3.000% | 11/25/47–12/15/47 | 18,595 | 19,307 |
4,5 | Freddie Mac REMICS | 3.500% | 4/15/38–6/15/49 | 204,474 | 221,188 |
4,5 | Freddie Mac REMICS | 4.000% | 8/15/47–5/15/49 | 329,067 | 358,788 |
4,5 | Freddie Mac REMICS | 5.500% | 8/15/38 | 12,030 | 14,014 |
4,5 | Freddie Mac REMICS | 6.500% | 12/15/44–11/15/47 | 87,739 | 107,043 |
5 | Ginnie Mae REMICS | 3.000% | 11/20/45–7/20/48 | 260,425 | 271,399 |
5 | Ginnie Mae REMICS | 3.500% | 4/20/48–5/20/49 | 108,712 | 117,471 |
5 | Ginnie Mae REMICS | 4.000% | 10/20/47–9/20/48 | 21,996 | 23,121 |
5 | Ginnie Mae REMICS | 6.500% | 6/20/47–9/20/47 | 35,021 | 42,137 |
1,764,300 | |||||
Total U.S. Government and Agency Obligations (Cost $20,331,420) | 20,638,018 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (10.4%) | |||||
5 | Ally Auto Receivables Trust 2018-1 | 2.530% | 2/15/23 | 1,770 | 1,790 |
5 | Ally Auto Receivables Trust 2018-3 | 3.000% | 1/17/23 | 880 | 888 |
5 | Ally Auto Receivables Trust 2019-1 | 3.020% | 4/15/24 | 4,910 | 5,111 |
5 | Ally Auto Receivables Trust 2019-3 | 1.930% | 5/15/24 | 12,310 | 12,507 |
5 | Ally Auto Receivables Trust 2019-4 | 1.920% | 1/15/25 | 710 | 730 |
5 | AmeriCredit Automobile Receivables Trust 2020-2 | 0.660% | 12/18/24 | 3,350 | 3,367 |
5 | AmeriCredit Automobile Receivables Trust 2020-3 | 0.530% | 6/18/25 | 6,130 | 6,140 |
5,7 | Aventura Mall Trust 2018-AVM | 4.112% | 7/5/40 | 460 | 500 |
5,7 | Avis Budget Rental Car Funding AESOP LLC 2017- | ||||
1A | 3.070% | 9/20/23 | 2,745 | 2,833 | |
5,7 | Avis Budget Rental Car Funding AESOP LLC 2019- | ||||
1A | 3.450% | 3/20/23 | 4,430 | 4,545 | |
5 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 3.441% | 9/15/48 | 912 | 990 | |
5 | Banc of America Commercial Mortgage Trust 2017- | ||||
BNK3 | 3.574% | 2/15/50 | 330 | 375 | |
5 | BANK 2017 - BNK4 | 3.625% | 5/15/50 | 280 | 320 |
5 | BANK 2017 - BNK6 | 3.254% | 7/15/60 | 4,580 | 5,094 |
5 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 1,110 | 1,267 |
5 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 440 | 493 |
5 | BANK 2017 - BNK7 | 3.175% | 9/15/60 | 13,570 | 15,004 |
5 | BANK 2017 - BNK7 | 3.435% | 9/15/60 | 1,190 | 1,354 |
5 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 4,170 | 4,760 |
5 | BANK 2018 - BNK10 | 3.641% | 2/15/61 | 1,030 | 1,158 |
5 | BANK 2018 - BNK12 | 4.255% | 5/15/61 | 780 | 927 |
5 | BANK 2018 - BNK14 | 4.185% | 9/15/60 | 160 | 185 |
5 | BANK 2018 - BNK14 | 4.231% | 9/15/60 | 1,055 | 1,255 |
5 | BANK 2019 - BNK17 | 3.623% | 4/15/52 | 285 | 326 |
5 | BANK 2019 - BNK17 | 3.714% | 4/15/52 | 4,459 | 5,199 |
5 | BANK 2019 - BNK19 | 3.183% | 8/15/61 | 3,910 | 4,420 |
5 | BANK 2019 - BNK20 | 3.011% | 9/15/62 | 7,180 | 8,031 |
5 | BANK 2019 - BNK23 | 2.846% | 12/15/52 | 1,900 | 2,105 |
5 | BANK 2019 - BNK23 | 2.920% | 12/15/52 | 11,780 | 13,112 |
5 | BANK 2019 - BNK24 | 2.960% | 11/15/62 | 30,620 | 34,216 |
5 | BANK 2020 - BNK28 | 1.725% | 3/15/63 | 7,000 | 7,198 |
5 | BANK 2020 - BNK30 | 1.673% | 12/10/53 | 5,050 | 5,195 |
5 | Barclays Commercial Mortgage Trust 2020-C8 | 1.867% | 10/15/53 | 5,880 | 6,092 |
5 | BBCMS Mortgage Trust 2019-C5 | 3.063% | 11/15/52 | 13,010 | 14,570 |
5 | BBCMS Mortgage Trust 2020-C6 | 2.639% | 2/15/53 | 2,515 | 2,755 |
5 | Benchmark 2018-B10 Mortgage Trust | 3.878% | 1/15/51 | 1,360 | 1,551 |
5 | Benchmark 2019-B10 Mortgage Trust | 3.615% | 3/15/62 | 305 | 348 |
5 | Benchmark 2019-B15 Mortgage Trust | 2.859% | 12/15/72 | 5,250 | 5,806 |
5 | Benchmark 2019-B15 Mortgage Trust | 2.928% | 12/15/72 | 20,500 | 22,795 |
5 | Benchmark 2020-B16 Mortgage Trust | 2.732% | 2/15/53 | 3,320 | 3,639 |
5 | Benchmark 2020-B19 Mortgage Trust | 1.745% | 9/15/53 | 7,163 | 7,373 |
5 | Benchmark 2020-B21 Mortgage Trust | 1.798% | 12/17/53 | 4,400 | 4,594 |
5 | Benchmark 2020-B22 Mortgage Trust | 1.731% | 1/15/54 | 4,550 | 4,693 |
5 | BMW Vehicle Owner Trust 2018-A | 1.920% | 1/25/24 | 24,330 | 24,700 |
5 | BMW Vehicle Owner Trust 2018-A | 2.510% | 6/25/24 | 9,710 | 9,844 |
5 | BMW Vehicle Owner Trust 2020-A | 0.480% | 10/25/24 | 17,400 | 17,479 |
5 | BMW Vehicle Owner Trust 2020-A | 0.620% | 4/26/27 | 2,720 | 2,735 |
5,6 | Brazos Higher Education Authority Inc. Series 2005- | ||||
3, 3M USD LIBOR + 0.200% | 0.451% | 6/25/26 | 799 | 798 | |
5,6 | Brazos Higher Education Authority Inc. Series 2011- | ||||
1, 3M USD LIBOR + 0.800% | 1.006% | 2/25/30 | 724 | 725 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2018 | 3.220% | 9/19/22 | 4,080 | 4,110 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2018 | 3.270% | 12/19/22 | 3,629 | 3,652 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2018 | 3.440% | 8/21/23 | 2,630 | 2,701 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2019 | 2.960% | 6/19/24 | 1,300 | 1,345 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2020 | 1.830% | 7/19/24 | 8,600 | 8,741 | |
5,7 | Canadian Pacer Auto Receivables Trust A Series | ||||
2020 | 1.890% | 3/19/25 | 1,840 | 1,868 | |
5 | Cantor Commercial Real Estate Lending 2019-CF3 | 3.006% | 1/15/53 | 18,800 | 21,094 |
5 | Capital One Auto Receivables Trust 2019-1 | 2.510% | 11/15/23 | 12,470 | 12,682 |
5 | Capital One Auto Receivables Trust 2019-1 | 2.560% | 10/15/24 | 4,210 | 4,387 |
5 | Capital One Auto Receivables Trust 2019-2 | 1.920% | 5/15/24 | 28,620 | 29,137 |
5 | Capital One Auto Receivables Trust 2020-1 | 1.600% | 11/15/24 | 19,830 | 20,211 |
5 | Capital One Auto Receivables Trust 2020-1 | 1.630% | 8/15/25 | 3,550 | 3,657 |
5 | CarMax Auto Owner Trust 2017-3 | 2.220% | 11/15/22 | 9,990 | 10,088 |
5 | CarMax Auto Owner Trust 2017-4 | 2.330% | 5/15/23 | 2,470 | 2,507 |
5 | CarMax Auto Owner Trust 2018-1 | 2.640% | 6/15/23 | 7,400 | 7,562 |
5 | CarMax Auto Owner Trust 2018-3 | 3.130% | 6/15/23 | 12,731 | 12,944 |
5 | CarMax Auto Owner Trust 2018-3 | 3.270% | 3/15/24 | 9,680 | 10,112 |
5 | CarMax Auto Owner Trust 2018-4 | 3.360% | 9/15/23 | 9,962 | 10,174 |
5 | CarMax Auto Owner Trust 2018-4 | 3.480% | 2/15/24 | 4,290 | 4,520 |
5 | CarMax Auto Owner Trust 2019-3 | 2.180% | 8/15/24 | 27,410 | 28,073 |
5 | CarMax Auto Owner Trust 2019-3 | 2.300% | 4/15/25 | 5,000 | 5,229 |
5 | CarMax Auto Owner Trust 2019-4 | 2.020% | 11/15/24 | 33,050 | 33,947 |
5 | CarMax Auto Owner Trust 2019-4 | 2.130% | 7/15/25 | 4,790 | 5,005 |
5 | CarMax Auto Owner Trust 2020-1 | 2.030% | 6/16/25 | 3,040 | 3,163 |
5 | CarMax Auto Owner Trust 2020-3 | 0.620% | 3/17/25 | 25,850 | 25,993 |
5 | CarMax Auto Owner Trust 2020-3 | 0.770% | 3/16/26 | 2,940 | 2,960 |
5 | Carvana Auto Receivables Trust 2020-P1 | 0.610% | 10/8/26 | 2,650 | 2,661 |
5 | CCUBS Commercial Mortgage Trust 2017-C1 | 3.283% | 11/15/50 | 5,000 | 5,564 |
5 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 2,710 | 2,944 |
5 | CD 2017-CD3 Commercial Mortgage Trust | 3.631% | 2/10/50 | 1,250 | 1,425 |
5 | CD 2017-CD4 Commercial Mortgage Trust | 3.514% | 5/10/50 | 480 | 545 |
5 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 785 | 892 |
5,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.739% | 12/15/47 | 2,298 | 2,354 |
5 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 3,376 | 3,696 |
5,7 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 6,330 | 6,401 |
5,7 | Chesapeake Funding II LLC 2019-1 | 2.940% | 4/15/31 | 15,124 | 15,363 |
5,7 | Chesapeake Funding II LLC 2019-2 | 1.950% | 9/15/31 | 11,800 | 11,937 |
5,7 | Chesapeake Funding II LLC 2020-1 | 0.870% | 8/16/32 | 9,882 | 9,925 |
5,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 500 | 515 |
5 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 1,527 | 1,603 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.753% | 3/10/47 | 108 | 116 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 8,709 | 9,511 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.575% | 5/10/47 | 708 | 748 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 4,234 | 4,629 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.356% | 7/10/47 | 705 | 759 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 1,575 | 1,723 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 275 | 300 |
5 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 1,640 | 1,779 |
5 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 4,607 | 5,051 |
5 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 20 | 22 |
5 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 620 | 694 |
5 | Citigroup Commercial Mortgage Trust 2015-GC36 | 3.349% | 2/10/49 | 2,600 | 2,859 |
5 | Citigroup Commercial Mortgage Trust 2016-GC37 | 3.050% | 4/10/49 | 3,846 | 4,081 |
5 | Citigroup Commercial Mortgage Trust 2016-GC37 | 3.314% | 4/10/49 | 4,000 | 4,441 |
5 | Citigroup Commercial Mortgage Trust 2017-C4 | 3.471% | 10/12/50 | 8,583 | 9,766 |
5 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.203% | 9/15/50 | 4,560 | 5,027 |
5 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.465% | 9/15/50 | 2,460 | 2,795 |
5 | Citigroup Commercial Mortgage Trust 2018-C5 | 4.228% | 6/10/51 | 65 | 77 |
5 | Citigroup Commercial Mortgage Trust 2019-C7 | 2.860% | 12/15/72 | 10,150 | 11,064 |
5 | Citigroup Commercial Mortgage Trust 2019-C7 | 3.042% | 12/15/72 | 8,630 | 9,652 |
5 | Citigroup Commercial Mortgage Trust 2019-C7 | 3.102% | 12/15/72 | 20,500 | 23,058 |
5 | CNH Equipment Trust 2017-C | 2.080% | 2/15/23 | 1,124 | 1,130 |
5 | CNH Equipment Trust 2020-A | 1.160% | 6/16/25 | 7,250 | 7,350 |
5 | CNH Equipment Trust 2020-A | 1.510% | 4/15/27 | 2,040 | 2,106 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 666 | 684 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 999 | 1,027 |
5,7 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 770 | 790 |
5 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 1,357 | 1,398 |
5 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 50 | 51 |
5 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 580 | 596 |
5,7 | COMM 2013-300P Mortgage Trust | 4.353% | 8/10/30 | 910 | 974 |
5 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 8/10/50 | 2,059 | 2,222 |
5 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 8/10/50 | 922 | 1,008 |
5 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 371 | 394 |
5 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 2,128 | 2,314 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/46 | 4,200 | 4,601 |
5 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 10 | 11 |
5 | COMM 2013-CCRE9 Mortgage Trust | 4.219% | 7/10/45 | 1,947 | 2,077 |
5,7 | COMM 2013-CCRE9 Mortgage Trust | 4.243% | 7/10/45 | 2,331 | 2,468 |
5 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 160 | 172 |
5 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 748 | 777 |
5,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 1,400 | 1,400 |
5,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 100 | 108 |
5 | COMM 2014-CCRE14 Mortgage Trust | 3.955% | 2/10/47 | 4,000 | 4,338 |
5 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 1,068 | 1,175 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 10 | 11 |
5 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 1,328 | 1,467 |
5 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 330 | 360 |
5 | COMM 2014-CCRE18 Mortgage Trust | 3.550% | 7/15/47 | 6,145 | 6,609 |
5 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 4,082 | 4,503 |
5 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 2,370 | 2,549 |
5 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,587 | 1,750 |
5 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 570 | 628 |
5 | COMM 2015-CCRE24 Mortgage Trust | 3.432% | 8/10/48 | 2,512 | 2,764 |
5 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/48 | 2,916 | 3,273 |
5 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 1,838 | 2,058 |
5 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 3,386 | 3,781 |
5 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 1,195 | 1,299 |
5 | COMM 2019-G44 Mortgage Trust | 2.873% | 8/15/57 | 2,050 | 2,261 |
5 | COMM 2019-G44 Mortgage Trust | 2.950% | 8/15/57 | 9,970 | 11,087 |
5 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 857 | 967 |
5 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.210% | 11/15/49 | 3,283 | 3,609 |
5 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.502% | 11/15/49 | 2,713 | 3,027 |
5 | CSAIL 2017-C8 Commercial Mortgage Trust | 3.392% | 6/15/50 | 1,280 | 1,435 |
5 | CSAIL 2019-C18 Commercial Mortgage Trust | 2.968% | 12/15/52 | 17,500 | 19,517 |
5 | CSAIL 2020-C19 Commercial Mortgage Trust | 2.561% | 3/15/53 | 4,500 | 4,880 |
5,7 | Daimler Trucks Retail Trust 2019-1 | 2.770% | 8/15/22 | 39,662 | 40,068 |
5,7 | Daimler Trucks Retail Trust 2019-1 | 2.790% | 5/15/25 | 7,420 | 7,613 |
5 | DBJPM 16-C3 Mortgage Trust | 2.632% | 8/10/49 | 9,200 | 9,883 |
5 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 3,210 | 3,613 |
5,7 | Dell Equipment Finance Trust 2020-2 | 0.470% | 10/24/22 | 13,380 | 13,404 |
5,7 | Dell Equipment Finance Trust 2020-2 | 0.570% | 10/23/23 | 11,550 | 11,578 |
5,7 | DLL Securitization Trust Series 2018-1 | 3.100% | 4/18/22 | 1,311 | 1,314 |
5,7 | DLL Securitization Trust Series 2018-A3 | 3.460% | 1/20/22 | 4,350 | 4,373 |
5,7 | DLL Securitization Trust Series 2018-A4 | 3.590% | 6/20/24 | 6,870 | 7,002 |
5,7 | DLL Securitization Trust Series 2019-DA1 | 2.890% | 4/20/23 | 4,756 | 4,819 |
5,7 | DLL Securitization Trust Series 2019-DA1 | 2.920% | 4/20/27 | 5,190 | 5,414 |
5,7 | DLL Securitization Trust Series 2019-MT3 | 2.080% | 2/21/23 | 17,800 | 18,078 |
5,7 | DLL Securitization Trust Series 2019-MT3 | 2.150% | 9/21/26 | 10,200 | 10,490 |
5,6,7 Edsouth Indenture No 9 LLC 2015-1, 1M USD | |||||
LIBOR + 0.800% | 0.948% | 10/25/56 | 221 | 220 | |
5,7 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 3,571 | 3,621 |
5,7 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 10,638 | 10,799 |
5,7 | Enterprise Fleet Financing LLC Series 2020-1 | 1.780% | 12/22/25 | 19,007 | 19,302 |
5,7 | Enterprise Fleet Financing LLC Series 2020-1 | 0.610% | 7/20/26 | 10,590 | 10,618 |
4,5 | Fannie Mae Grantor Trust 2017-T1 | 2.898% | 6/25/27 | 6,919 | 7,576 |
4,5 | Federal Home Loan Mortgage Corp 2017- 357A | 2.500% | 9/15/47 | 17,034 | 18,296 |
5 | Fifth Third Auto Trust 2017-1 | 2.030% | 7/15/24 | 11,592 | 11,623 |
5,7 | FirstKey Homes 2020-SFR2 | 1.266% | 10/19/37 | 2,600 | 2,613 |
5,7 | Flagship Credit Auto Trust 2020-1 | 1.490% | 7/15/24 | 4,366 | 4,399 |
5,7 | Fontainebleau Miami Beach Trust 2019-FBLU | 3.144% | 12/10/36 | 4,380 | 4,593 |
5 | Ford Credit Auto Lease Trust 2020-B | 0.620% | 8/15/23 | 27,390 | 27,505 |
5 | Ford Credit Auto Lease Trust 2020-B | 0.690% | 10/15/23 | 4,470 | 4,498 |
5,7 | Ford Credit Auto Owner Trust 2017-1 | 2.620% | 8/15/28 | 26,030 | 26,704 |
5,7 | Ford Credit Auto Owner Trust 2017-2 | 2.360% | 3/15/29 | 13,160 | 13,611 |
5 | Ford Credit Auto Owner Trust 2017-B | 1.870% | 9/15/22 | 5,760 | 5,767 |
5 | Ford Credit Auto Owner Trust 2018-B | 3.240% | 4/15/23 | 16,326 | 16,579 |
5 | Ford Credit Auto Owner Trust 2018-B | 3.380% | 3/15/24 | 8,300 | 8,655 |
5,7 | Ford Credit Auto Owner Trust 2018-REV1 | 3.190% | 7/15/31 | 6,690 | 7,348 |
5,7 | Ford Credit Auto Owner Trust 2018-REV2 | 3.470% | 1/15/30 | 12,560 | 13,510 |
5,7 | Ford Credit Auto Owner Trust 2019-1 | 3.520% | 7/15/30 | 13,211 | 14,403 |
5 | Ford Credit Auto Owner Trust 2019-A | 2.780% | 9/15/23 | 35,430 | 36,050 |
5 | Ford Credit Auto Owner Trust 2019-A | 2.850% | 8/15/24 | 18,600 | 19,427 |
5,7 | Ford Credit Auto Owner Trust 2020-1 | 2.040% | 8/15/31 | 2,940 | 3,098 |
5,7 | Ford Credit Auto Owner Trust 2020-2 | 1.060% | 4/15/33 | 9,740 | 9,809 |
5 | Ford Credit Auto Owner Trust 2020-A | 1.040% | 8/15/24 | 7,830 | 7,919 |
5 | Ford Credit Auto Owner Trust 2020-A | 1.350% | 7/15/25 | 2,250 | 2,311 |
5 | Ford Credit Auto Owner Trust 2020-B | 0.560% | 10/15/24 | 43,000 | 43,194 |
5 | Ford Credit Auto Owner Trust 2020-B | 0.790% | 11/15/25 | 27,800 | 28,099 |
5 | Ford Credit Auto Owner Trust 2020-C | 0.510% | 8/15/26 | 10,470 | 10,520 |
5 | Ford Credit Floorplan Master Owner Trust 2019-A | 2.440% | 9/15/26 | 8,460 | 9,024 |
5 | Ford Credit Floorplan Master Owner Trust A 2019-3 | 2.230% | 9/15/24 | 37,695 | 38,871 |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2018-1 | 2.950% | 5/15/23 | 16,850 | 17,013 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2018-3 | 3.520% | 10/15/23 | 47,855 | 49,055 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2019-1 | 2.840% | 3/15/24 | 14,900 | 15,344 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2020-1 | 0.700% | 9/15/25 | 29,760 | 29,912 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2020-2 | 1.060% | 9/15/27 | 13,150 | 13,331 | |
5 | GM Financial Automobile Leasing Trust 2020-1 | 1.670% | 12/20/22 | 6,480 | 6,565 |
5 | GM Financial Automobile Leasing Trust 2020-2 | 0.800% | 7/20/23 | 12,390 | 12,482 |
5 | GM Financial Automobile Leasing Trust 2020-2 | 1.010% | 7/22/24 | 1,640 | 1,658 |
5 | GM Financial Automobile Leasing Trust 2020-3 | 0.450% | 8/21/23 | 11,650 | 11,674 |
5 | GM Financial Automobile Leasing Trust 2020-3 | 0.510% | 10/21/24 | 3,180 | 3,192 |
5 | GM Financial Consumer Automobile 2018-2 | 3.020% | 12/18/23 | 4,430 | 4,559 |
5 | GM Financial Consumer Automobile 2018-3 | 3.020% | 5/16/23 | 10,207 | 10,341 |
5 | GM Financial Consumer Automobile 2018-3 | 3.160% | 1/16/24 | 5,820 | 6,018 |
5 | GM Financial Consumer Automobile 2018-4 | 3.210% | 10/16/23 | 9,763 | 9,947 |
5 | GM Financial Consumer Automobile 2018-4 | 3.320% | 6/17/24 | 8,450 | 8,859 |
5 | GM Financial Consumer Automobile 2019-1 | 3.110% | 7/16/24 | 11,470 | 11,998 |
5 | GM Financial Consumer Automobile 2019-2 | 2.650% | 2/16/24 | 23,806 | 24,223 |
5 | GM Financial Consumer Automobile 2019-2 | 2.710% | 8/16/24 | 8,260 | 8,594 |
5 | GM Financial Consumer Automobile 2019-3 | 2.180% | 4/16/24 | 15,340 | 15,589 |
5 | GM Financial Consumer Automobile 2019-4 | 1.750% | 7/16/24 | 26,510 | 26,903 |
5 | GM Financial Consumer Automobile 2019-4 | 1.760% | 1/16/25 | 3,710 | 3,817 |
5 | GM Financial Consumer Automobile 2020-1 | 1.840% | 9/16/24 | 8,640 | 8,800 |
5 | GM Financial Consumer Automobile 2020-3 | 0.580% | 1/16/26 | 4,500 | 4,502 |
5,7 | GMF Floorplan Owner Revolving Trust 2019-1 | 2.700% | 4/15/24 | 13,170 | 13,570 |
5,7 | GMF Floorplan Owner Revolving Trust 2019-2 | 2.900% | 4/15/26 | 27,600 | 29,778 |
5,7 | GMF Floorplan Owner Revolving Trust 2020-1 | 0.680% | 8/15/25 | 5,520 | 5,551 |
5,7 | GMF Floorplan Owner Revolving Trust 2020-2 | 0.690% | 10/15/25 | 13,590 | 13,638 |
5,7 | Golden Credit Card Trust 2018-4A | 3.440% | 8/15/25 | 25,470 | 27,349 |
5,6,7 Gosforth Funding 2018-1A plc, 3M USD LIBOR + | |||||
0.450% | 0.656% | 8/25/60 | 5,679 | 5,681 |
5,7 | GRACE Mortgage Trust 2020-A | 2.347% | 12/10/40 | 5,900 | 6,220 |
5,7 | GreatAmerica Leasing Receivables Funding LLC | ||||
Series 2018-1 | 2.830% | 6/17/24 | 3,532 | 3,572 | |
5,7 | GreatAmerica Leasing Receivables Funding LLC | ||||
Series 2019-1 | 3.210% | 2/18/25 | 4,110 | 4,297 | |
5,7 | GreatAmerica Leasing Receivables Funding LLC | ||||
Series 2020-1 | 1.760% | 8/15/23 | 14,300 | 14,576 | |
5,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 233 | 240 |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 1,055 | 1,110 |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 30 | 31 |
5 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 5,884 | 6,407 |
5 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 210 | 231 |
5 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 140 | 154 |
5 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 1,680 | 1,809 |
5 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 3,140 | 3,457 |
5 | GS Mortgage Securities Trust 2015-GC28 | 3.136% | 2/10/48 | 90 | 96 |
5 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 40 | 44 |
5 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 |
5 | GS Mortgage Securities Trust 2015-GC32 | 3.498% | 7/10/48 | 7,000 | 7,500 |
5 | GS Mortgage Securities Trust 2015-GC34 | 3.244% | 10/10/48 | 2,024 | 2,176 |
5 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 1,720 | 1,916 |
5 | GS Mortgage Securities Trust 2016-GS3 | 2.850% | 10/10/49 | 180 | 197 |
5 | GS Mortgage Securities Trust 2017-GS6 | 3.433% | 5/10/50 | 2,490 | 2,811 |
5 | GS Mortgage Securities Trust 2018-GS10 | 4.155% | 7/10/51 | 720 | 853 |
5 | GS Mortgage Securities Trust 2019-GC38 | 3.968% | 2/10/52 | 2,600 | 3,056 |
5 | GS Mortgage Securities Trust 2019-GC40 | 3.160% | 7/10/52 | 1,170 | 1,315 |
5 | GS Mortgage Securities Trust 2019-GS4 | 3.001% | 9/1/52 | 2,400 | 2,675 |
5 | GS Mortgage Securities Trust 2020-GC45 | 2.911% | 2/13/53 | 26,700 | 29,616 |
5 | GS Mortgage Securities Trust-2020-GC45 | 2.843% | 2/13/53 | 5,550 | 6,136 |
5 | GS Mortgages Securities Trust 2020-GSA2 | 2.012% | 12/12/53 | 9,640 | 9,915 |
5 | Harley-Davidson Motorcycle Trust 2019-A | 2.340% | 2/15/24 | 13,310 | 13,471 |
5 | Harley-Davidson Motorcycle Trust 2019-A | 2.390% | 11/15/26 | 2,960 | 3,062 |
5 | Harley-Davidson Motorcycle Trust 2020-A | 1.930% | 4/15/27 | 2,000 | 2,064 |
5 | Harley-Davidson Motorcycles 2020-A | 1.870% | 10/15/24 | 6,220 | 6,333 |
5,7 | Hertz Vehicle Financing II LP 2015-3A | 2.670% | 9/25/21 | 603 | 604 |
5,7 | Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 906 | 906 |
5,7 | Hilton USA Trust 2016-HHV | 3.719% | 11/5/38 | 30 | 33 |
5,6,7 Holmes Master Issuer plc 2018-2A, 3M USD LIBOR | |||||
+ 0.420% | 0.657% | 10/15/54 | 5,601 | 5,601 | |
5 | Honda Auto Receivables 2017-3 Owner Trust | 1.980% | 11/20/23 | 6,295 | 6,307 |
5 | Honda Auto Receivables 2018-3 Owner Trust | 3.070% | 11/21/24 | 5,020 | 5,151 |
5 | Honda Auto Receivables 2018-4 Owner Trust | 2.520% | 6/21/23 | 12,490 | 12,721 |
5 | Honda Auto Receivables 2018-4 Owner Trust | 2.540% | 3/21/25 | 2,530 | 2,628 |
5 | Honda Auto Receivables 2018-4 Owner Trust | 3.300% | 7/15/25 | 11,220 | 11,654 |
5 | Honda Auto Receivables 2019-1 Owner Trust | 2.900% | 6/18/24 | 5,000 | 5,203 |
5 | Honda Auto Receivables 2019-3 Owner Trust | 1.780% | 8/15/23 | 33,200 | 33,737 |
5 | Honda Auto Receivables 2019-3 Owner Trust | 1.850% | 8/15/25 | 9,700 | 9,984 |
5 | Honda Auto Receivables 2020-1 Owner Trust | 1.610% | 4/22/24 | 30,170 | 30,798 |
5 | Honda Auto Receivables 2020-1 Owner Trust | 1.630% | 10/21/26 | 5,610 | 5,783 |
5 | Honda Auto Receivables 2020-2 Owner Trust | 0.820% | 7/15/24 | 16,600 | 16,761 |
5 | Honda Auto Receivables 2020-2 Owner Trust | 1.090% | 10/15/26 | 4,300 | 4,385 |
5 | Honda Auto Receivables 2020-3 Owner Trust | 0.460% | 4/19/27 | 5,290 | 5,307 |
5,7 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 13,080 | 13,425 |
5,7 | HPEFS Equipment Trust 2019-1 | 2.190% | 9/20/29 | 2,728 | 2,739 |
5,7 | HPEFS Equipment Trust 2019-1 | 2.210% | 9/20/29 | 1,500 | 1,516 |
5,7 | HPEFS Equipment Trust 2020-1A | 1.760% | 2/20/30 | 4,800 | 4,870 |
5,7 | Hudson Yards 2019-30HY | 3.228% | 7/10/39 | 910 | 1,024 |
5,7 | Hyundai Auto Lease Securitization Trust 2020-A | 1.950% | 7/17/23 | 8,260 | 8,397 |
5,7 | Hyundai Auto Lease Securitization Trust 2020-B | 0.510% | 9/15/23 | 14,830 | 14,872 |
5,7 | Hyundai Auto Lease Securitization Trust 2020-B | 0.580% | 6/17/24 | 2,490 | 2,501 |
5 | Hyundai Auto Receivables Trust 2019-A | 2.710% | 5/15/25 | 6,050 | 6,295 |
5 | Hyundai Auto Receivables Trust 2019-B | 1.940% | 2/15/24 | 9,820 | 10,000 |
5 | Hyundai Auto Receivables Trust 2019-B | 2.000% | 4/15/25 | 5,740 | 5,956 |
5 | Hyundai Auto Receivables Trust 2020-A | 1.410% | 11/15/24 | 14,260 | 14,532 |
5 | Hyundai Auto Receivables Trust 2020-A | 1.720% | 6/15/26 | 9,420 | 9,793 |
5 | Hyundai Auto Receivables Trust 2020-B | 0.480% | 12/16/24 | 22,790 | 22,881 |
5 | Hyundai Auto Receivables Trust 2020-B | 0.620% | 12/15/25 | 5,050 | 5,087 |
5,7 | Hyundai Floorplan Master Owner Trust Series 2019- | ||||
1A | 2.680% | 4/15/24 | 5,210 | 5,367 | |
5,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 2,184 | 2,293 |
5 | John Deere Owner Trust 2018-B | 3.230% | 6/16/25 | 4,790 | 4,932 |
5 | John Deere Owner Trust 2018-B | 3.000% | 1/15/26 | 4,270 | 4,452 |
5 | John Deere Owner Trust 2019-B | 2.210% | 12/15/23 | 9,580 | 9,766 |
5 | John Deere Owner Trust 2020-B | 0.510% | 11/15/24 | 9,160 | 9,184 |
5 | John Deere Owner Trust 2020-B | 0.720% | 6/15/27 | 2,410 | 2,428 |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 1,328 | 1,327 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.424% | 8/15/46 | 1,383 | 1,408 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-RR1 | 4.717% | 3/16/46 | 9,826 | 9,850 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 314 | 324 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 766 | 788 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 1,523 | 1,577 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 1,589 | 1,633 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 3.994% | 1/15/46 | 2,612 | 2,802 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 184 | 198 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,365 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 2,841 | 2,972 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2016-JP3 | 2.870% | 8/15/49 | 1,525 | 1,667 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2017-JP5 | 3.723% | 3/15/50 | 5,080 | 5,814 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2017-JP6 | 3.224% | 7/15/50 | 3,830 | 4,270 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2017-JP6 | 3.490% | 7/15/50 | 2,170 | 2,461 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2017-JP7 | 3.454% | 9/15/50 | 895 | 1,015 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 3.363% | 7/15/45 | 1,220 | 1,278 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 3.664% | 7/15/45 | 3,137 | 3,339 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 4.038% | 7/15/45 | 1,465 | 1,551 |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C14 | 4.133% | 8/15/46 | 490 | 521 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C17 | 4.199% | 1/15/47 | 4,238 | 4,641 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C18 | 4.079% | 2/15/47 | 3,930 | 4,316 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C18 | 4.439% | 2/15/47 | 450 | 484 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C19 | 3.997% | 4/15/47 | 165 | 181 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C21 | 3.493% | 8/15/47 | 184 | 195 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C24 | 3.639% | 11/15/47 | 1,144 | 1,257 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C26 | 3.231% | 1/15/48 | 84 | 90 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C26 | 3.494% | 1/15/48 | 165 | 181 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C27 | 3.179% | 2/15/48 | 110 | 120 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C31 | 3.801% | 8/15/48 | 250 | 281 | |
5 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C32 | 3.598% | 11/15/48 | 3,489 | 3,895 | |
5 | JPMDB Commercial Mortgage Securities Trust | ||||
2016-C4 | 3.141% | 12/15/49 | 400 | 444 | |
5 | JPMDB Commercial Mortgage Securities Trust | ||||
2017-C7 | 3.409% | 10/15/50 | 360 | 408 | |
5 | JPMDB Commercial Mortgage Securities Trust | ||||
2018-C8 | 4.211% | 6/15/51 | 60 | 71 | |
5,7 | Kubota Credit Owner Trust 2020-1 | 1.960% | 3/15/24 | 7,570 | 7,799 |
5,7 | Kubota Credit Owner Trust 2020-2A | 0.590% | 10/15/24 | 11,050 | 11,100 |
5,7 | Kubota Credit Owner Trust 2020-2A | 0.730% | 6/15/26 | 3,000 | 3,013 |
5,6 | Lanark Master Issuer plc 2018-2A, 3M USD LIBOR | ||||
+ 0.420% | 0.676% | 12/22/69 | 4,435 | 4,438 | |
5,7 | Lanark Master Issuer plc 2020-1A | 2.277% | 12/22/69 | 1,550 | 1,589 |
5 | Mercedes-Benz Auto Lease Trust 2020-B | 0.500% | 6/15/26 | 2,720 | 2,730 |
5 | Mercedes-Benz Auto Receivables Trust 2018-1 | 3.150% | 10/15/24 | 11,460 | 11,877 |
5 | Mercedes-Benz Auto Receivables Trust 2019-1 | 2.040% | 1/15/26 | 11,300 | 11,774 |
5 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.550% | 2/18/25 | 19,060 | 19,154 |
5 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.770% | 10/15/26 | 5,050 | 5,108 |
5,7 | Mercedes-Benz Master Owner Trust 2019-B | 2.610% | 5/15/24 | 17,360 | 17,897 |
5,7 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 204 | 206 |
5,7 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 6,130 | 6,290 |
5,7 | MMAF Equipment Finance LLC 2017-A | 2.410% | 8/16/24 | 4,271 | 4,317 |
5,7 | MMAF Equipment Finance LLC 2017-A | 2.680% | 7/16/27 | 3,090 | 3,206 |
5,7 | MMAF Equipment Finance LLC 2018-A | 3.390% | 1/10/25 | 4,730 | 4,921 |
5,7 | MMAF Equipment Finance LLC 2018-A | 3.610% | 3/10/42 | 2,580 | 2,790 |
5,7 | MMAF Equipment Finance LLC 2019-A | 3.080% | 11/12/41 | 4,430 | 4,792 |
5,7 | MMAF Equipment Finance LLC 2020-B | 0.850% | 4/14/42 | 4,800 | 4,809 |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 2,605 | 2,688 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 1,116 | 1,159 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 1,015 | 1,045 |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.082% | 7/15/46 | 5,387 | 5,763 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.960% | 8/15/46 | 1,236 | 1,305 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.152% | 8/15/46 | 190 | 205 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 4.259% | 10/15/46 | 150 | 163 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 85 | 93 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 400 | 433 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 2/15/47 | 200 | 217 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 3.773% | 4/15/47 | 1,681 | 1,813 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.051% | 4/15/47 | 2,800 | 3,069 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 1,738 | 1,899 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.094% | 6/15/47 | 330 | 360 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 3.741% | 8/15/47 | 370 | 406 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 60 | 66 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 10 | 11 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 60 | 65 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.451% | 7/15/50 | 11,118 | 12,136 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 7,440 | 8,305 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.372% | 10/15/48 | 2,500 | 2,738 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.635% | 10/15/48 | 4,848 | 5,445 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 3.325% | 5/15/49 | 2,055 | 2,274 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C32 | 3.459% | 12/15/49 | 5,600 | 6,269 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C32 | 3.720% | 12/15/49 | 3,763 | 4,304 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2017-C34 | 3.536% | 11/15/52 | 1,250 | 1,420 | |
5,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 2,251 | 2,284 |
5 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 7,386 | 8,312 |
5 | Morgan Stanley Capital I Trust 2016-BNK2 | 3.049% | 11/15/49 | 760 | 838 |
5 | Morgan Stanley Capital I Trust 2016-BNK2 | 2.791% | 11/15/49 | 1,590 | 1,722 |
5 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 487 | 530 |
5 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 5,373 | 5,958 |
5 | Morgan Stanley Capital I Trust 2017-HR2 | 3.509% | 12/15/50 | 1,260 | 1,403 |
5 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 4,257 | 4,829 |
5 | Morgan Stanley Capital I Trust 2019-L3 | 3.127% | 11/15/52 | 13,640 | 15,235 |
5,6,7 Navient Student Loan Trust 2016-2, 1M USD LIBOR | |||||
+ 1.050% | 1.198% | 6/25/65 | 512 | 513 |
5,6,7 Navient Student Loan Trust 2016-3, 1M USD LIBOR | |||||
+ 0.850% | 0.998% | 6/25/65 | 22 | 22 | |
5,6,7 Navient Student Loan Trust 2016-6A, 1M USD | |||||
LIBOR + 0.750% | 0.898% | 3/25/66 | 3,897 | 3,902 | |
5,6,7 Navient Student Loan Trust 2017-1, 1M USD LIBOR | |||||
+ 0.750% | 0.898% | 7/26/66 | 5,861 | 5,862 | |
5 | Nissan Auto Lease Trust 2020-A | 1.840% | 1/17/23 | 11,340 | 11,499 |
5 | Nissan Auto Lease Trust 2020-B | 0.430% | 10/16/23 | 14,820 | 14,839 |
5 | Nissan Auto Lease Trust 2020-B | 0.490% | 1/15/26 | 3,420 | 3,427 |
5 | Nissan Auto Receivables 2017-C Owner Trust | 2.280% | 2/15/24 | 22,360 | 22,651 |
5 | Nissan Auto Receivables 2019-A Owner Trust | 3.160% | 12/16/24 | 6,700 | 6,970 |
5 | Nissan Auto Receivables 2019-A Owner Trust | 3.000% | 9/15/25 | 5,690 | 5,973 |
5 | Nissan Auto Receivables 2019-B Owner Trust | 2.500% | 11/15/23 | 12,860 | 13,108 |
5 | Nissan Auto Receivables 2019-B Owner Trust | 2.540% | 12/15/25 | 2,500 | 2,619 |
5 | Nissan Auto Receivables 2020-A Owner Trust | 1.380% | 12/16/24 | 20,890 | 21,280 |
5 | Nissan Auto Receivables 2020-A Owner Trust | 1.700% | 5/17/27 | 6,910 | 7,185 |
5 | Nissan Auto Receivables 2020-B Owner Trust | 0.550% | 7/15/24 | 23,110 | 23,210 |
5 | Nissan Auto Receivables 2020-B Owner Trust | 0.710% | 2/16/27 | 3,240 | 3,274 |
5,7 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 1,250 | 1,044 |
5,6,7 Pepper Residential Securities Trust 2021-A1U, 1M | |||||
USD LIBOR + 0.880% | 1.033% | 1/16/60 | 397 | 396 | |
5,6,7 Pepper Residential Securities Trust 2022-A1U, 1M | |||||
USD LIBOR + 1.000% | 1.102% | 6/20/60 | 4,896 | 4,862 | |
5,6,7 Pepper Residential Securities Trust 2023-A1U, 1M | |||||
USD LIBOR + 0.950% | 1.108% | 8/18/60 | 2,972 | 2,962 | |
5,7 | PFS Financing Corp. 2020-A | 1.270% | 6/15/25 | 6,100 | 6,183 |
5,7 | PFS Financing Corp. 2020-B | 1.210% | 6/15/24 | 3,700 | 3,735 |
5,7 | PFS Financing Corp. 2020-E | 1.000% | 10/15/25 | 1,760 | 1,772 |
5,7 | PFS Financing Corp. 2020-F | 0.930% | 8/15/24 | 1,350 | 1,358 |
5,6,7 PHEAA Student Loan Trust 2016-2A, 1M USD | |||||
LIBOR + 0.950% | 1.098% | 11/25/65 | 3,719 | 3,711 | |
5,7 | Progress Residential 2018-SFR1 Trust | 2.768% | 8/17/34 | 179 | 180 |
5,7 | Progress Residential 2020-SFR2 Trust | 2.078% | 6/17/37 | 780 | 800 |
5,6,7 Resimac Premier Series 2017-1A, 1M USD LIBOR + | |||||
0.950% | 1.098% | 9/11/48 | 324 | 323 | |
5,6,7 Resimac Premier Series 2018-1A, 1M USD LIBOR + | |||||
0.800% | 0.949% | 11/10/49 | 397 | 396 | |
5,6,7 Resimac Premier Series 2018-1NCA, 1M USD | |||||
LIBOR + 0.850% | 1.003% | 12/5/59 | 509 | 508 | |
5,6,7 Resimac Premier Series 2018-2, 1M USD LIBOR + | |||||
0.850% | 0.999% | 4/10/50 | 2,311 | 2,310 | |
§,5,7 Resimac Premier Series 2020-1A | 1.274% | 2/7/52 | 2,360 | 2,360 | |
5 | Santander Drive Auto Receivables Trust 2020-2 | 0.670% | 4/15/24 | 3,890 | 3,900 |
5 | Santander Drive Auto Receivables Trust 2020-3 | 0.520% | 7/15/24 | 13,870 | 13,901 |
5 | Santander Drive Auto Receivables Trust 2020-4 | 0.480% | 7/15/24 | 5,720 | 5,738 |
5,7 | Santander Retail Auto Lease Trust 2019-A | 2.770% | 6/20/22 | 15,850 | 16,076 |
5,7 | Santander Retail Auto Lease Trust 2020-A | 1.690% | 1/20/23 | 8,848 | 8,941 |
5,7 | Santander Retail Auto Lease Trust 2020-A | 1.740% | 7/20/23 | 13,620 | 13,923 |
5,7 | Santander Retail Auto Lease Trust 2020-A | 1.760% | 3/20/24 | 1,490 | 1,530 |
5,7 | Santander Retail Auto Lease Trust 2020-B | 0.650% | 12/20/24 | 4,600 | 4,617 |
5,7 | Securitized Term Auto Receivables Trust 2018-1A | 3.298% | 11/25/22 | 3,100 | 3,157 |
5,7 | Securitized Term Auto Receivables Trust 2018-2A | 3.544% | 6/26/23 | 5,000 | 5,116 |
5,7 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 179 | 183 |
5,6,7 SMB Private Education Loan Trust 2016-B, 1M USD | |||||
LIBOR + 1.450% | 1.609% | 2/17/32 | 135 | 136 | |
5,6,7 SMB Private Education Loan Trust 2016-C, 1M USD | |||||
LIBOR + 1.100% | 1.259% | 9/15/34 | 218 | 219 |
5,6,7 SMB Private Education Loan Trust 2017-A, 1M USD | |||||
LIBOR + 0.900% | 1.059% | 9/15/34 | 277 | 278 | |
5,7 | SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 355 | 368 |
5,7 | SMB Private Education Loan Trust 2018-A | 3.500% | 2/15/36 | 1,701 | 1,799 |
5,7 | SMB Private Education Loan Trust 2018-B | 3.600% | 1/15/37 | 697 | 733 |
5,7 | SMB Private Education Loan Trust 2018-C | 3.630% | 11/15/35 | 1,203 | 1,289 |
5,7 | SoFi Professional Loan Program 2017-A LLC | 2.400% | 3/26/40 | 39 | 40 |
5,7 | SoFi Professional Loan Program 2017-B LLC | 2.740% | 5/25/40 | 194 | 197 |
5,7 | SoFi Professional Loan Program 2017-D LLC | 2.650% | 9/25/40 | 187 | 192 |
5,7 | SoFi Professional Loan Program 2017-E LLC | 2.720% | 11/26/40 | 185 | 188 |
5,7 | SoFi Professional Loan Program 2017-F LLC | 2.840% | 1/25/41 | 278 | 284 |
5,7 | SoFi Professional Loan Program 2018-A LLC | 2.950% | 2/25/42 | 114 | 117 |
5,7 | SoFi Professional Loan Program 2018-B LLC | 3.340% | 8/25/47 | 939 | 965 |
5,7 | SoFi Professional Loan Program 2018-C LLC | 3.590% | 1/25/48 | 1,450 | 1,501 |
5,7 | SoFi Professional Loan Program 2018-D LLC | 3.600% | 2/25/48 | 1,062 | 1,098 |
5 | Synchrony Card Issuance Trust 2019-2A | 2.340% | 6/15/25 | 14,980 | 15,425 |
5 | Synchrony Credit Card Master Note Trust 2017-2 | 2.620% | 10/15/25 | 6,490 | 6,739 |
5,7 | Tesla Auto Lease Trust 2020-A | 0.680% | 12/20/23 | 4,140 | 4,168 |
5,7 | Tesla Auto Lease Trust 2020-A | 0.780% | 12/20/23 | 750 | 755 |
5,7 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 100 | 107 |
5,7 | Toyota Auto Loan Extended Note Trust 2019-1 | 2.560% | 11/25/31 | 550 | 589 |
5,7 | Toyota Auto Loan Extended Note Trust 2020-1 | 1.350% | 5/25/33 | 8,600 | 8,855 |
5 | Toyota Auto Receivables 2018-B Owner Trust | 3.110% | 11/15/23 | 10,350 | 10,667 |
5 | Toyota Auto Receivables 2018-C Owner Trust | 3.130% | 2/15/24 | 14,720 | 15,257 |
5 | Toyota Auto Receivables 2019-A Owner Trust | 2.910% | 7/17/23 | 41,274 | 41,999 |
5 | Toyota Auto Receivables 2019-A Owner Trust | 3.000% | 5/15/24 | 3,800 | 3,983 |
5 | Toyota Auto Receivables 2019-C Owner Trust | 1.910% | 9/15/23 | 34,940 | 35,489 |
5 | Toyota Auto Receivables 2019-D Owner Trust | 1.990% | 2/18/25 | 6,850 | 7,124 |
5 | Toyota Auto Receivables 2020-A Owner Trust | 1.680% | 5/15/25 | 6,600 | 6,826 |
5 | Toyota Auto Receivables 2020-B Owner Trust | 1.360% | 8/15/24 | 11,210 | 11,412 |
5 | Toyota Auto Receivables 2020-B Owner Trust | 1.660% | 9/15/25 | 4,570 | 4,742 |
5 | Toyota Auto Receivables 2020-C Owner Trust | 0.570% | 10/15/25 | 4,700 | 4,728 |
5,7 | Trafigura Securitisation Finance plc 2018-1A | 3.730% | 3/15/22 | 3,800 | 3,879 |
5 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 273 | 282 |
5 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 2,795 | 3,226 |
5 | UBS Commercial Mortgage Trust 2019-C16 | 3.460% | 4/15/52 | 483 | 545 |
5,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 4,409 | 4,439 |
5 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 1,499 | 1,553 |
5 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.244% | 4/10/46 | 220 | 231 |
5 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 150 | 156 |
5 | Verizon Owner Trust 2019-A | 1.940% | 4/22/24 | 28,360 | 28,965 |
5 | Verizon Owner Trust 2020-A | 1.850% | 7/22/24 | 10,310 | 10,534 |
5 | Verizon Owner Trust 2020-B | 0.470% | 2/20/25 | 36,710 | 36,820 |
5,7 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 2,836 | 2,921 |
5 | Volkswagen Auto Loan Enhanced Trust 2018-1 | 3.020% | 11/21/22 | 8,110 | 8,208 |
5 | Volkswagen Auto Loan Enhanced Trust 2018-1 | 3.150% | 7/22/24 | 5,610 | 5,777 |
5 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.250% | 4/20/23 | 21,354 | 21,732 |
5 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.330% | 2/20/25 | 8,820 | 9,159 |
5 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 0.980% | 11/20/24 | 23,190 | 23,427 |
5 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 1.260% | 8/20/26 | 3,400 | 3,473 |
5,7 | Volvo Financial Equipment LLC Series 2020-1A | 0.510% | 10/15/24 | 12,100 | 12,117 |
5,7 | Volvo Financial Equipment LLC Series 2020-1A | 0.600% | 3/15/28 | 2,300 | 2,303 |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 852 | 879 |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 626 | 646 |
5 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 315 | 338 |
5 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 10 | 11 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 102 | 109 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 3,199 | 3,572 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/58 | 2,380 | 2,668 |
5 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 7,485 | 8,438 |
5 | Wells Fargo Commercial Mortgage Trust 2016- | ||||
BNK1 | 2.652% | 8/15/49 | 300 | 324 | |
5 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 2,139 | 2,384 |
5 | Wells Fargo Commercial Mortgage Trust 2016-C37 | 3.525% | 12/15/49 | 1,810 | 2,019 |
5 | Wells Fargo Commercial Mortgage Trust 2017-C38 | 3.453% | 7/15/50 | 1,285 | 1,457 |
5 | Wells Fargo Commercial Mortgage Trust 2017-C39 | 3.157% | 9/15/50 | 30 | 33 |
5 | Wells Fargo Commercial Mortgage Trust 2017-C40 | 3.581% | 10/15/50 | 3,040 | 3,460 |
5 | Wells Fargo Commercial Mortgage Trust 2017-C41 | 3.472% | 11/15/50 | 3,160 | 3,579 |
5 | Wells Fargo Commercial Mortgage Trust 2017-C42 | 3.589% | 12/15/50 | 4,890 | 5,607 |
5 | Wells Fargo Commercial Mortgage Trust 2017-RC1 | 3.631% | 1/15/60 | 396 | 452 |
5 | Wells Fargo Commercial Mortgage Trust 2018-C46 | 4.152% | 8/15/51 | 1,095 | 1,291 |
5 | Wells Fargo Commercial Mortgage Trust 2018-C47 | 4.442% | 9/15/61 | 870 | 1,045 |
5 | Wells Fargo Commercial Mortgage Trust 2018-C48 | 4.245% | 1/15/52 | 980 | 1,141 |
5 | Wells Fargo Commercial Mortgage Trust 2019-C49 | 3.933% | 3/15/52 | 310 | 359 |
5 | Wells Fargo Commercial Mortgage Trust 2019-C54 | 3.146% | 12/15/52 | 1,280 | 1,443 |
5 | Wells Fargo Commercial Mortgage Trust 2020-C58 | 1.849% | 7/15/53 | 2,850 | 2,956 |
5,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 1,043 | 1,048 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 1,199 | 1,231 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 683 | 687 |
5 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 233 | 240 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 2,374 | 2,451 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 633 | 658 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 255 | 275 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 1,665 | 1,825 |
5 | WFRBS Commercial Mortgage Trust 2014-C19 | 3.829% | 3/15/47 | 1,640 | 1,761 |
5 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 1,215 | 1,338 |
5 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.410% | 8/15/47 | 20 | 21 |
5 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 80 | 88 |
5 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.650% | 10/15/57 | 5,015 | 5,498 |
5 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 925 | 1,024 |
5 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,190 | 2,402 |
5 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.766% | 3/15/47 | 2,471 | 2,664 |
5 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 2,597 | 2,840 |
5,7 | Wheels SPV 2 LLC 2020-1A | 0.510% | 8/20/29 | 5,200 | 5,195 |
5,7 | Wheels SPV 2 LLC 2020-1A | 0.620% | 8/20/29 | 1,700 | 1,698 |
5 | World Omni Auto Receivables Trust 2018-A | 2.730% | 2/15/24 | 10,860 | 11,155 |
5 | World Omni Auto Receivables Trust 2018-D | 3.330% | 4/15/24 | 20,853 | 21,296 |
5 | World Omni Auto Receivables Trust 2018-D | 3.440% | 12/16/24 | 3,070 | 3,225 |
5 | World Omni Auto Receivables Trust 2019-A | 3.220% | 6/16/25 | 5,230 | 5,521 |
5 | World Omni Auto Receivables Trust 2020-B | 0.630% | 5/15/25 | 25,510 | 25,677 |
5 | World Omni Auto Receivables Trust 2020-B | 0.820% | 1/15/26 | 7,580 | 7,655 |
5 | World Omni Auto Receivables Trust 2020-C | 0.610% | 10/15/26 | 5,400 | 5,442 |
5 | World Omni Automobile Lease Securitization Trust | ||||
2019-B | 2.030% | 11/15/22 | 27,800 | 28,268 | |
5 | World Omni Automobile Lease Securitization Trust | ||||
2020-A | 1.790% | 6/16/25 | 9,400 | 9,635 | |
5 | World Omni Automobile Lease Securitization Trust | ||||
2020-B | 0.520% | 2/17/26 | 4,680 | 4,694 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,288,195) | 3,391,460 | ||||
Corporate Bonds (30.0%) | |||||
Finance (17.5%) | |||||
Banking (14.3%) | |||||
American Express Co. | 3.700% | 8/3/23 | 35,905 | 38,824 | |
American Express Co. | 3.400% | 2/22/24 | 11,135 | 12,124 |
American Express Co. | 3.000% | 10/30/24 | 18,265 | 19,931 | |
8 | Australia & New Zealand Banking Group Ltd. | 0.625% | 2/21/23 | 5,825 | 7,252 |
Banco Santander SA | 4.379% | 4/12/28 | 2,585 | 3,007 | |
Banco Santander SA | 3.306% | 6/27/29 | 7,600 | 8,497 | |
Bank of America Corp. | 3.300% | 1/11/23 | 14,870 | 15,761 | |
5 | Bank of America Corp. | 2.816% | 7/21/23 | 44,800 | 46,541 |
8 | Bank of America Corp. | 0.750% | 7/26/23 | 8,000 | 9,994 |
5 | Bank of America Corp. | 3.004% | 12/20/23 | 27,480 | 28,916 |
Bank of America Corp. | 4.125% | 1/22/24 | 10,000 | 11,099 | |
5 | Bank of America Corp. | 3.550% | 3/5/24 | 107,080 | 114,039 |
5 | Bank of America Corp. | 3.864% | 7/23/24 | 33,950 | 36,840 |
5 | Bank of America Corp. | 3.458% | 3/15/25 | 22,500 | 24,378 |
Bank of America Corp. | 3.875% | 8/1/25 | 4,582 | 5,228 | |
5 | Bank of America Corp. | 0.981% | 9/25/25 | 13,670 | 13,802 |
5 | Bank of America Corp. | 3.366% | 1/23/26 | 44,735 | 49,059 |
5 | Bank of America Corp. | 2.015% | 2/13/26 | 10,000 | 10,458 |
Bank of America Corp. | 3.500% | 4/19/26 | 3,998 | 4,529 | |
5 | Bank of America Corp. | 1.319% | 6/19/26 | 10,890 | 11,061 |
5 | Bank of America Corp. | 1.197% | 10/24/26 | 13,480 | 13,633 |
5 | Bank of America Corp. | 3.559% | 4/23/27 | 2,777 | 3,127 |
Bank of America Corp. | 3.248% | 10/21/27 | 4,500 | 5,034 | |
5 | Bank of America Corp. | 3.824% | 1/20/28 | 37,156 | 42,537 |
5 | Bank of America Corp. | 3.705% | 4/24/28 | 5,800 | 6,576 |
5 | Bank of America Corp. | 3.419% | 12/20/28 | 54,922 | 61,961 |
5 | Bank of America Corp. | 3.970% | 3/5/29 | 3,000 | 3,495 |
5 | Bank of America Corp. | 3.974% | 2/7/30 | 1,960 | 2,299 |
5 | Bank of America Corp. | 3.194% | 7/23/30 | 23,795 | 26,540 |
5 | Bank of America Corp. | 2.884% | 10/22/30 | 37,816 | 41,301 |
5 | Bank of America Corp. | 2.496% | 2/13/31 | 75 | 80 |
5 | Bank of America Corp. | 2.592% | 4/29/31 | 7,500 | 8,043 |
5 | Bank of America Corp. | 1.898% | 7/23/31 | 26,656 | 26,838 |
5 | Bank of America Corp. | 1.922% | 10/24/31 | 5,000 | 5,047 |
Bank of Montreal | 3.300% | 2/5/24 | 33,960 | 36,756 | |
Bank of New York Mellon Corp. | 2.950% | 1/29/23 | 19,250 | 20,223 | |
Bank of New York Mellon Corp. | 3.450% | 8/11/23 | 15,780 | 17,026 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 1,100 | 1,202 | |
Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 3,500 | 3,726 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 700 | 768 | |
Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 12,400 | 12,935 | |
Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 2,825 | 3,066 | |
Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 10,000 | 11,319 | |
5 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 7,827 | 8,909 |
Bank of Nova Scotia | 1.950% | 2/1/23 | 16,365 | 16,889 | |
Bank of Nova Scotia | 2.200% | 2/3/25 | 9,530 | 10,024 | |
Bank of Nova Scotia | 1.300% | 6/11/25 | 17,120 | 17,528 | |
Bank of Nova Scotia | 2.700% | 8/3/26 | 7,520 | 8,254 | |
7 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 13,875 | 13,960 |
7 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 37,330 | 38,649 |
7 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 39,510 | 42,662 |
7 | Banque Federative du Credit Mutuel SA | 0.650% | 2/27/24 | 16,800 | 16,794 |
7 | Banque Federative du Credit Mutuel SA | 2.375% | 11/21/24 | 11,000 | 11,645 |
BNP Paribas SA | 5.000% | 1/15/21 | 5,000 | 5,007 | |
5,7 | BNP Paribas SA | 2.219% | 6/9/26 | 7,620 | 7,953 |
7 | BPCE SA | 2.375% | 1/14/25 | 3,500 | 3,676 |
5 | Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 8,335 | 8,618 |
Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 15,975 | 17,313 | |
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 3,800 | 4,109 |
Canadian Imperial Bank of Commerce | 0.950% | 10/23/25 | 7,650 | 7,707 | |
5 | Citigroup Inc. | 2.312% | 11/4/22 | 10,000 | 10,152 |
5 | Citigroup Inc. | 2.876% | 7/24/23 | 20,000 | 20,778 |
5 | Citigroup Inc. | 1.678% | 5/15/24 | 38,445 | 39,615 |
5 | Citigroup Inc. | 3.106% | 4/8/26 | 10,000 | 10,932 |
Citigroup Inc. | 3.200% | 10/21/26 | 3,310 | 3,690 | |
5 | Citigroup Inc. | 2.666% | 1/29/31 | 8,380 | 8,939 |
5 | Citigroup Inc. | 4.412% | 3/31/31 | 11,593 | 14,052 |
5 | Citigroup Inc. | 2.572% | 6/3/31 | 5,000 | 5,319 |
7 | Commonwealth Bank of Australia | 3.150% | 9/19/27 | 12,000 | 13,419 |
Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 54,710 | 57,343 | |
7 | Cooperatieve Rabobank UA | 3.875% | 9/26/23 | 10,635 | 11,592 |
8 | Cooperatieve Rabobank UA | 0.625% | 2/27/24 | 7,300 | 9,127 |
7 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 5,990 | 6,367 |
5,7 | Cooperatieve Rabobank UA | 1.339% | 6/24/26 | 15,000 | 15,266 |
Credit Suisse AG | 1.000% | 5/5/23 | 14,470 | 14,698 | |
Credit Suisse AG | 3.625% | 9/9/24 | 8,000 | 8,870 | |
Credit Suisse AG | 2.950% | 4/9/25 | 23,500 | 25,641 | |
8 | DNB Bank ASA | 0.050% | 11/14/23 | 8,000 | 9,846 |
7 | DNB Bank ASA | 1.127% | 9/16/26 | 9,120 | 9,188 |
Fifth Third Bank | 2.250% | 2/1/27 | 10,000 | 10,651 | |
First Republic Bank | 2.500% | 6/6/22 | 17,170 | 17,653 | |
5 | First Republic Bank | 1.912% | 2/12/24 | 13,330 | 13,723 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 8,200 | 8,663 | |
5 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 6,270 | 6,387 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 295 | 314 | |
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 10,000 | 10,565 | |
5 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 10,600 | 10,976 |
5 | Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 4,750 | 4,927 |
Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 16,250 | 16,304 | |
8 | Goldman Sachs Group Inc. | 1.375% | 5/15/24 | 8,000 | 10,083 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 2,100 | 2,298 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 5,675 | 6,255 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 8,560 | 9,608 | |
Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 26,845 | 27,103 | |
5 | HSBC Holdings plc | 3.262% | 3/13/23 | 48,755 | 50,310 |
HSBC Holdings plc | 3.600% | 5/25/23 | 4,085 | 4,392 | |
5 | HSBC Holdings plc | 3.033% | 11/22/23 | 13,015 | 13,627 |
5 | HSBC Holdings plc | 3.950% | 5/18/24 | 13,280 | 14,309 |
5 | HSBC Holdings plc | 3.803% | 3/11/25 | 1,605 | 1,752 |
5 | HSBC Holdings plc | 2.633% | 11/7/25 | 26,491 | 28,159 |
HSBC Holdings plc | 4.300% | 3/8/26 | 4,840 | 5,578 | |
5 | HSBC Holdings plc | 1.645% | 4/18/26 | 7,150 | 7,297 |
HSBC Holdings plc | 3.900% | 5/25/26 | 3,650 | 4,165 | |
5 | HSBC Holdings plc | 2.099% | 6/4/26 | 25,000 | 25,950 |
5 | HSBC Holdings plc | 4.292% | 9/12/26 | 10,050 | 11,409 |
HSBC Holdings plc | 1.589% | 5/24/27 | 13,330 | 13,514 | |
5 | HSBC Holdings plc | 4.041% | 3/13/28 | 28,181 | 31,984 |
5 | HSBC Holdings plc | 2.013% | 9/22/28 | 25,000 | 25,388 |
5 | HSBC Holdings plc | 4.583% | 6/19/29 | 18,855 | 22,295 |
HSBC Holdings plc | 4.950% | 3/31/30 | 10,000 | 12,422 | |
5 | HSBC Holdings plc | 2.357% | 8/18/31 | 7,440 | 7,641 |
Huntington National Bank | 2.500% | 8/7/22 | 3,685 | 3,803 | |
Huntington National Bank | 3.550% | 10/6/23 | 28,270 | 30,577 | |
ING Groep NV | 4.100% | 10/2/23 | 7,850 | 8,618 | |
8 | JPMorgan Chase & Co. | 2.750% | 8/24/22 | 8,000 | 10,257 |
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 26,183 | 26,906 |
5 | JPMorgan Chase & Co. | 3.207% | 4/1/23 | 33,370 | 34,519 |
5 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 25,120 | 25,933 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 6,106 | 6,412 | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 4,000 | 4,393 | |
5 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 60,810 | 65,110 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 5,500 | 6,078 | |
5 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 30,000 | 30,741 |
5 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 15,235 | 16,737 |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 14,156 | 15,481 | |
5 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 54,505 | 58,715 |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 14,605 | 16,476 | |
5 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 13,250 | 14,057 |
5 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 4,650 | 4,874 |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 930 | 1,039 | |
5 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 25,500 | 26,933 |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 11,430 | 12,800 | |
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 20,000 | 20,217 | |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 8,190 | 9,500 | |
5 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 3,595 | 4,129 |
5 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 26,840 | 30,439 |
5 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 8,575 | 9,764 |
5 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 16,335 | 19,056 |
5 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 37,465 | 45,614 |
5 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 4,600 | 5,304 |
5 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 20,000 | 21,684 |
5 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 12,900 | 15,855 |
5 | JPMorgan Chase & Co. | 2.522% | 4/22/31 | 15,000 | 16,025 |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 15,000 | 16,307 | |
Lloyds Banking Group plc | 3.900% | 3/12/24 | 5,000 | 5,494 | |
5,7 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 3,973 | 4,150 |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 3,700 | 4,015 | |
Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 812 | 822 | |
Mitsubishi UFJ Financial Group Inc. | 3.218% | 3/7/22 | 10,000 | 10,332 | |
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 19,630 | 20,301 | |
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 11,599 | 12,005 | |
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 18,655 | 20,219 | |
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 1,025 | 1,079 | |
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 4,500 | 4,872 | |
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 14,640 | 15,672 | |
5 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 33,375 | 33,495 |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 10,250 | 10,824 | |
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 45,530 | 50,809 | |
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 11,555 | 11,790 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 427 | 491 | |
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 1,807 | 1,976 | |
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 1,163 | 1,322 | |
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 6,550 | 7,686 | |
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 8,000 | 8,969 | |
Mitsubishi UFJ Financial Group Inc. | 2.048% | 7/17/30 | 22,800 | 23,645 | |
7 | Mizuho Bank Ltd. | 3.750% | 4/16/24 | 7,360 | 8,085 |
7 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 6,300 | 6,952 |
5 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 17,100 | 17,265 |
5 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 5,000 | 5,297 |
7 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 12,178 | 13,654 |
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 2,250 | 2,629 | |
5 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 5,400 | 5,966 |
5 | Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 4,000 | 4,337 |
5 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 5,000 | 5,167 |
Morgan Stanley | 5.750% | 1/25/21 | 2,250 | 2,255 | |
Morgan Stanley | 2.625% | 11/17/21 | 12,900 | 13,150 | |
Morgan Stanley | 2.750% | 5/19/22 | 17,825 | 18,404 | |
Morgan Stanley | 3.125% | 1/23/23 | 625 | 660 | |
Morgan Stanley | 3.750% | 2/25/23 | 11,235 | 12,030 | |
Morgan Stanley | 3.875% | 4/29/24 | 17,649 | 19,508 | |
5,8 | Morgan Stanley | 0.637% | 7/26/24 | 8,000 | 9,944 |
Morgan Stanley | 3.700% | 10/23/24 | 10,687 | 11,898 | |
5 | Morgan Stanley | 2.720% | 7/22/25 | 8,670 | 9,274 |
Morgan Stanley | 4.000% | 7/23/25 | 6,355 | 7,243 | |
5 | Morgan Stanley | 0.864% | 10/21/25 | 5,200 | 5,242 |
Morgan Stanley | 3.875% | 1/27/26 | 8,295 | 9,496 | |
5 | Morgan Stanley | 2.188% | 4/28/26 | 32,000 | 33,775 |
Morgan Stanley | 3.125% | 7/27/26 | 6,760 | 7,530 | |
Morgan Stanley | 0.985% | 12/10/26 | 9,470 | 9,524 | |
Morgan Stanley | 3.625% | 1/20/27 | 3,625 | 4,152 | |
5 | Morgan Stanley | 4.431% | 1/23/30 | 15,000 | 18,244 |
5 | Morgan Stanley | 3.622% | 4/1/31 | 10,000 | 11,575 |
Morgan Stanley | 1.794% | 2/13/32 | 11,680 | 11,733 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 3,065 | 3,204 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 1,600 | 1,732 | |
7 | MUFG Bank Ltd. | 2.850% | 9/8/21 | 260 | 264 |
MUFG Union Bank NA | 2.100% | 12/9/22 | 8,000 | 8,255 | |
8 | National Australia Bank Ltd. | 0.250% | 5/20/24 | 5,825 | 7,227 |
8 | Nationwide Building Society | 0.625% | 4/19/23 | 8,000 | 9,945 |
7 | Nationwide Building Society | 1.000% | 8/28/25 | 10,580 | 10,617 |
7 | Nordea Bank Abp | 1.000% | 6/9/23 | 8,680 | 8,785 |
7 | Nordea Bank Abp | 0.750% | 8/28/25 | 34,800 | 34,844 |
PNC Bank NA | 2.700% | 11/1/22 | 2,650 | 2,759 | |
PNC Bank NA | 2.950% | 2/23/25 | 12,514 | 13,696 | |
PNC Bank NA | 3.250% | 6/1/25 | 27 | 30 | |
PNC Bank NA | 3.100% | 10/25/27 | 21,067 | 23,556 | |
PNC Bank NA | 3.250% | 1/22/28 | 6,245 | 7,104 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 1,335 | 1,397 | |
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 7,930 | 8,639 | |
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 3,820 | 4,194 | |
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 4,000 | 4,506 | |
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 11,370 | 13,112 | |
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 5,000 | 5,463 | |
Royal Bank of Canada | 1.600% | 4/17/23 | 12,000 | 12,330 | |
Royal Bank of Canada | 3.700% | 10/5/23 | 9,880 | 10,768 | |
Royal Bank of Canada | 2.550% | 7/16/24 | 14,025 | 15,001 | |
Royal Bank of Canada | 2.250% | 11/1/24 | 28,806 | 30,634 | |
Royal Bank of Canada | 1.150% | 6/10/25 | 19,250 | 19,617 | |
Santander UK plc | 3.400% | 6/1/21 | 53,095 | 53,753 | |
Santander UK plc | 2.875% | 6/18/24 | 3,100 | 3,315 | |
7 | Skandinaviska Enskilda Banken AB | 0.850% | 9/2/25 | 57,625 | 57,760 |
State Street Corp. | 4.375% | 3/7/21 | 5,800 | 5,841 | |
State Street Corp. | 3.300% | 12/16/24 | 35,592 | 39,479 | |
State Street Corp. | 2.901% | 3/30/25 | 2,280 | 2,477 | |
State Street Corp. | 3.550% | 8/18/25 | 2,630 | 2,968 | |
5 | State Street Corp. | 2.354% | 11/1/25 | 2,400 | 2,547 |
State Street Corp. | 2.400% | 1/24/30 | 8,970 | 9,746 | |
State Street Corp. | 3.152% | 3/30/30 | 11,280 | 12,831 | |
Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 2,720 | 2,761 | |
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 9,575 | 9,916 |
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 16,022 | 16,647 | |
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 6,970 | 7,352 | |
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 11,590 | 12,544 | |
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 7,750 | 8,471 | |
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 45,559 | 48,554 | |
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 10,000 | 10,600 | |
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 23,595 | 24,126 | |
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 14,962 | 16,232 | |
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 1,449 | 1,606 | |
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 10,290 | 11,546 | |
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 3,500 | 3,931 | |
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 1,000 | 1,124 | |
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 4,040 | 4,598 | |
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 2,850 | 3,413 | |
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 13,550 | 15,028 | |
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 12,030 | 13,108 | |
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 10,000 | 10,388 | |
7 | Svenska Handelsbanken AB | 0.625% | 6/30/23 | 14,000 | 14,034 |
Svenska Handelsbanken AB | 3.900% | 11/20/23 | 11,255 | 12,301 | |
8 | Svenska Handelsbanken AB | 0.125% | 6/18/24 | 5,825 | 7,201 |
8 | Swedbank AB | 0.300% | 9/6/22 | 8,000 | 9,858 |
7 | Swedbank AB | 0.600% | 9/25/23 | 14,050 | 14,096 |
Toronto-Dominion Bank | 0.750% | 6/12/23 | 43,170 | 43,496 | |
Toronto-Dominion Bank | 3.500% | 7/19/23 | 28,820 | 31,121 | |
8 | Toronto-Dominion Bank | 0.625% | 7/20/23 | 5,825 | 7,276 |
Toronto-Dominion Bank | 2.650% | 6/12/24 | 3,434 | 3,679 | |
Toronto-Dominion Bank | 1.150% | 6/12/25 | 43,550 | 44,343 | |
Toronto-Dominion Bank | 0.750% | 9/11/25 | 16,000 | 16,006 | |
5 | Toronto-Dominion Bank | 3.625% | 9/15/31 | 1,250 | 1,416 |
Truist Bank | 2.750% | 5/1/23 | 4,000 | 4,212 | |
Truist Bank | 3.200% | 4/1/24 | 12,550 | 13,618 | |
5 | Truist Bank | 3.689% | 8/2/24 | 3,135 | 3,391 |
Truist Bank | 2.150% | 12/6/24 | 50,883 | 53,868 | |
Truist Bank | 1.500% | 3/10/25 | 7,500 | 7,749 | |
Truist Bank | 4.050% | 11/3/25 | 34,710 | 39,816 | |
Truist Bank | 2.250% | 3/11/30 | 5,950 | 6,215 | |
Truist Financial Corp. | 2.200% | 3/16/23 | 3,000 | 3,114 | |
Truist Financial Corp. | 3.750% | 12/6/23 | 19,600 | 21,502 | |
Truist Financial Corp. | 2.500% | 8/1/24 | 76,382 | 81,315 | |
Truist Financial Corp. | 1.200% | 8/5/25 | 8,030 | 8,239 | |
Truist Financial Corp. | 1.125% | 8/3/27 | 18,235 | 18,345 | |
Truist Financial Corp. | 1.950% | 6/5/30 | 3,750 | 3,895 | |
5,7 | UBS Group AG | 1.008% | 7/30/24 | 6,665 | 6,723 |
5,7 | UBS Group AG | 1.364% | 1/30/27 | 19,165 | 19,312 |
7 | UBS Group Funding Jersey Ltd. | 2.650% | 2/1/22 | 24,139 | 24,745 |
7 | UBS Group Funding Switzerland AG | 3.491% | 5/23/23 | 3,535 | 3,685 |
5,7 | UBS Group Funding Switzerland AG | 2.859% | 8/15/23 | 26,640 | 27,619 |
7 | UBS Group Funding Switzerland AG | 4.125% | 9/24/25 | 7,590 | 8,691 |
7 | UBS Group Funding Switzerland AG | 4.125% | 4/15/26 | 1,500 | 1,730 |
US Bancorp | 3.700% | 1/30/24 | 4,235 | 4,617 | |
US Bancorp | 3.375% | 2/5/24 | 5,650 | 6,134 | |
US Bancorp | 1.450% | 5/12/25 | 31,180 | 32,285 | |
US Bancorp | 3.950% | 11/17/25 | 10,450 | 12,057 | |
US Bancorp | 3.150% | 4/27/27 | 9,000 | 10,094 | |
US Bancorp | 3.000% | 7/30/29 | 3,000 | 3,336 | |
US Bancorp | 1.375% | 7/22/30 | 10,000 | 9,989 | |
US Bank NA | 2.050% | 1/21/25 | 13,010 | 13,724 |
US Bank NA | 2.800% | 1/27/25 | 3,900 | 4,232 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 2,240 | 2,242 |
Wells Fargo & Co. | 2.625% | 7/22/22 | 19,780 | 20,471 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 8,300 | 8,788 |
Wells Fargo & Co. | 3.750% | 1/24/24 | 18,285 | 19,925 |
8 Wells Fargo & Co. | 0.500% | 4/26/24 | 15,280 | 18,930 |
5 Wells Fargo & Co. | 1.654% | 6/2/24 | 5,000 | 5,118 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 8,943 | 9,798 |
Wells Fargo & Co. | 3.000% | 2/19/25 | 15,170 | 16,450 |
5 Wells Fargo & Co. | 2.406% | 10/30/25 | 14,968 | 15,803 |
5 Wells Fargo & Co. | 2.164% | 2/11/26 | 7,000 | 7,343 |
Wells Fargo & Co. | 3.000% | 4/22/26 | 20,000 | 22,009 |
Wells Fargo & Co. | 2.188% | 4/30/26 | 10,000 | 10,530 |
Wells Fargo & Co. | 3.000% | 10/23/26 | 16,620 | 18,421 |
5 Wells Fargo & Co. | 3.196% | 6/17/27 | 7,100 | 7,850 |
5 Wells Fargo & Co. | 3.584% | 5/22/28 | 10,500 | 11,891 |
5 Wells Fargo & Co. | 2.393% | 6/2/28 | 9,270 | 9,854 |
Wells Fargo & Co. | 4.150% | 1/24/29 | 8,575 | 10,145 |
5 Wells Fargo & Co. | 2.879% | 10/30/30 | 700 | 760 |
5 Wells Fargo & Co. | 2.572% | 2/11/31 | 5,000 | 5,276 |
Wells Fargo Bank NA | 3.550% | 8/14/23 | 30,805 | 33,269 |
Westpac Banking Corp. | 2.750% | 1/11/23 | 19,990 | 20,950 |
8 Westpac Banking Corp. | 0.750% | 10/17/23 | 13,825 | 17,374 |
Westpac Banking Corp. | 3.300% | 2/26/24 | 19,310 | 20,981 |
Westpac Banking Corp. | 2.350% | 2/19/25 | 17,000 | 18,209 |
Westpac Banking Corp. | 3.350% | 3/8/27 | 18,935 | 21,489 |
Westpac Banking Corp. | 2.650% | 1/16/30 | 2,500 | 2,801 |
Brokerage (0.9%) | ||||
Ameriprise Financial Inc. | 3.000% | 3/22/22 | 1,875 | 1,936 |
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 51,737 | 56,381 |
BlackRock Inc. | 3.200% | 3/15/27 | 1,545 | 1,744 |
BlackRock Inc. | 3.250% | 4/30/29 | 3,750 | 4,297 |
BlackRock Inc. | 2.400% | 4/30/30 | 19,497 | 21,252 |
BlackRock Inc. | 1.900% | 1/28/31 | 2,800 | 2,924 |
Brookfield Finance Inc. | 4.350% | 4/15/30 | 7,000 | 8,376 |
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 8,750 | 8,842 |
Charles Schwab Corp. | 3.850% | 5/21/25 | 17,155 | 19,512 |
Charles Schwab Corp. | 0.900% | 3/11/26 | 10,000 | 10,122 |
Charles Schwab Corp. | 3.200% | 1/25/28 | 4,143 | 4,680 |
Charles Schwab Corp. | 4.000% | 2/1/29 | 8,980 | 10,681 |
Charles Schwab Corp. | 3.250% | 5/22/29 | 10,065 | 11,534 |
Charles Schwab Corp. | 4.625% | 3/22/30 | 800 | 1,001 |
Franklin Resources Inc. | 1.600% | 10/30/30 | 5,000 | 4,978 |
Invesco Finance plc | 3.125% | 11/30/22 | 5,203 | 5,464 |
Invesco Finance plc | 4.000% | 1/30/24 | 12,165 | 13,366 |
Invesco Finance plc | 3.750% | 1/15/26 | 1,897 | 2,137 |
7 National Securities Clearing Corp. | 0.400% | 12/7/23 | 14,330 | 14,365 |
7 National Securities Clearing Corp. | 0.750% | 12/7/25 | 50,000 | 50,130 |
7 Nuveen Finance LLC | 4.125% | 11/1/24 | 20,000 | 22,500 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,670 | 4,074 |
TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 4,574 | 5,123 |
Finance Companies (0.0%) | ||||
7 USAA Capital Corp. | 1.500% | 5/1/23 | 2,080 | 2,135 |
7 USAA Capital Corp. | 2.125% | 5/1/30 | 2,400 | 2,520 |
Insurance (1.7%) | ||||
Aflac Inc. | 3.600% | 4/1/30 | 19,050 | 22,349 |
7 AIG Global Funding | 2.700% | 12/15/21 | 2,625 | 2,684 |
7 AIG Global Funding | 0.800% | 7/7/23 | 15,820 | 15,969 |
7 AIG Global Funding | 0.900% | 9/22/25 | 29,000 | 29,037 |
Allstate Corp. | 0.750% | 12/15/25 | 2,000 | 2,009 |
Allstate Corp. | 1.450% | 12/15/30 | 23,000 | 22,883 |
7 Athene Global Funding | 1.200% | 10/13/23 | 4,750 | 4,777 |
Berkshire Hathaway Finance Corp. | 1.850% | 3/12/30 | 9,850 | 10,341 |
8 Berkshire Hathaway Inc. | 0.625% | 1/17/23 | 8,000 | 9,946 |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 1,940 | 2,039 |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 30,810 | 33,617 |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 9,485 | 10,470 |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 8,670 | 9,772 |
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 16,500 | 16,431 |
7 Empower Finance 2020 LP | 1.357% | 9/17/27 | 4,500 | 4,532 |
7 Empower Finance 2020 LP | 1.776% | 3/17/31 | 4,670 | 4,775 |
7 Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 22,980 | 23,453 |
7 Five Corners Funding Trust | 4.419% | 11/15/23 | 15,000 | 16,630 |
7 Health Care Service Corp. | 2.200% | 6/1/30 | 8,000 | 8,357 |
7 Jackson National Life Global Funding | 3.300% | 2/1/22 | 1,625 | 1,676 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 11,420 | 12,446 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 10,130 | 11,232 |
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 18,000 | 19,035 |
7 MassMutual Global Funding II | 2.750% | 6/22/24 | 14,920 | 16,033 |
7 MassMutual Global Funding II | 2.950% | 1/11/25 | 2,500 | 2,724 |
7 MassMutual Global Funding II | 3.400% | 3/8/26 | 13,000 | 14,608 |
MetLife Inc. | 4.550% | 3/23/30 | 13,076 | 16,360 |
7 Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 5,990 | 6,170 |
7 Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 3,820 | 4,175 |
7 Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 4,660 | 5,316 |
7 New York Life Global Funding | 2.350% | 7/14/26 | 5,200 | 5,554 |
7 New York Life Global Funding | 1.200% | 8/7/30 | 15,000 | 14,578 |
7 New York Life Insurance Co. | 1.100% | 5/5/23 | 5,670 | 5,748 |
7 Pacific Life Global Funding II | 0.500% | 9/23/23 | 33,430 | 33,477 |
7 Pricoa Global Funding I | 0.800% | 9/1/25 | 2,445 | 2,434 |
Progressive Corp. | 3.200% | 3/26/30 | 12,320 | 14,190 |
7 Protective Life Global Funding | 0.631% | 10/13/23 | 11,770 | 11,797 |
Prudential Financial Inc. | 1.500% | 3/10/26 | 5,300 | 5,491 |
Prudential plc | 3.125% | 4/14/30 | 3,500 | 3,967 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 1,650 | 1,743 |
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 5,820 | 6,358 |
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 5,025 | 5,358 |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 1,925 | 2,192 |
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 6,810 | 6,989 |
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 21,140 | 24,175 |
UnitedHealth Group Inc. | 3.375% | 4/15/27 | 415 | 473 |
UnitedHealth Group Inc. | 2.950% | 10/15/27 | 13,866 | 15,549 |
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 8,630 | 10,233 |
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 8,345 | 9,978 |
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 3,726 | 4,219 |
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 7,500 | 7,948 |
Real Estate Investment Trusts (0.6%) | ||||
AvalonBay Communities Inc. | 3.350% | 5/15/27 | 2,960 | 3,318 |
AvalonBay Communities Inc. | 3.200% | 1/15/28 | 2,250 | 2,509 |
AvalonBay Communities Inc. | 2.300% | 3/1/30 | 5,000 | 5,299 |
Camden Property Trust | 4.875% | 6/15/23 | 5,935 | 6,476 |
Camden Property Trust | 4.250% | 1/15/24 | 16,018 | 17,500 |
Camden Property Trust | 3.500% | 9/15/24 | 435 | 472 |
ERP Operating LP | 2.850% | 11/1/26 | 6,140 | 6,791 |
ERP Operating LP | 4.150% | 12/1/28 | 11,480 | 13,674 |
ERP Operating LP | 3.000% | 7/1/29 | 8,120 | 9,041 |
ERP Operating LP | 2.500% | 2/15/30 | 1,500 | 1,617 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 5,330 | 5,563 |
Federal Realty Investment Trust | 3.250% | 7/15/27 | 6,335 | 6,914 |
Prologis LP | 3.750% | 11/1/25 | 8,200 | 9,318 |
Prologis LP | 2.125% | 4/15/27 | 3,600 | 3,860 |
Prologis LP | 1.250% | 10/15/30 | 10,000 | 9,874 |
Public Storage | 3.094% | 9/15/27 | 4,000 | 4,471 |
Public Storage | 3.385% | 5/1/29 | 13,880 | 15,840 |
Realty Income Corp. | 3.875% | 4/15/25 | 24,932 | 28,077 |
Realty Income Corp. | 0.750% | 3/15/26 | 4,710 | 4,698 |
Realty Income Corp. | 4.125% | 10/15/26 | 16,355 | 19,212 |
Simon Property Group LP | 3.750% | 2/1/24 | 2,550 | 2,761 |
Simon Property Group LP | 3.375% | 10/1/24 | 1,240 | 1,347 |
Simon Property Group LP | 3.500% | 9/1/25 | 1,003 | 1,111 |
Simon Property Group LP | 3.300% | 1/15/26 | 5,080 | 5,563 |
Simon Property Group LP | 3.375% | 6/15/27 | 10,780 | 11,940 |
Simon Property Group LP | 3.375% | 12/1/27 | 6,775 | 7,560 |
Simon Property Group LP | 2.450% | 9/13/29 | 3,300 | 3,463 |
5,701,152 | ||||
Industrial (10.5%) | ||||
Basic Industry (0.4%) | ||||
7 Air Liquide Finance SA | 2.250% | 9/27/23 | 25,555 | 26,740 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 29 | 30 |
Air Products & Chemicals Inc. | 1.850% | 5/15/27 | 3,620 | 3,833 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 4,005 | 4,120 |
7 Georgia-Pacific LLC | 0.950% | 5/15/26 | 50,855 | 51,095 |
8 Linde Finance BV | 0.250% | 1/18/22 | 8,000 | 9,824 |
Praxair Inc. | 1.100% | 8/10/30 | 12,430 | 12,283 |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 7,025 | 7,934 |
Capital Goods (1.0%) | ||||
3M Co. | 2.000% | 2/14/25 | 28,325 | 30,017 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 7,100 | 7,364 |
Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 7,096 | 7,308 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 6,005 | 6,575 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 95 | 104 |
Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 11,095 | 11,772 |
Caterpillar Financial Services Corp. | 0.800% | 11/13/25 | 15,600 | 15,658 |
Caterpillar Financial Services Corp. | 1.100% | 9/14/27 | 18,610 | 18,760 |
Caterpillar Inc. | 2.600% | 9/19/29 | 12,000 | 13,224 |
Emerson Electric Co. | 0.875% | 10/15/26 | 9,640 | 9,698 |
Emerson Electric Co. | 1.800% | 10/15/27 | 13,090 | 13,812 |
General Dynamics Corp. | 3.250% | 4/1/25 | 22,061 | 24,318 |
General Dynamics Corp. | 3.500% | 5/15/25 | 3,754 | 4,191 |
General Dynamics Corp. | 2.125% | 8/15/26 | 4,694 | 5,026 |
General Dynamics Corp. | 3.500% | 4/1/27 | 16,745 | 19,136 |
General Dynamics Corp. | 2.625% | 11/15/27 | 31,170 | 34,044 |
General Dynamics Corp. | 3.750% | 5/15/28 | 5,580 | 6,518 |
General Dynamics Corp. | 3.625% | 4/1/30 | 4,100 | 4,860 |
Honeywell International Inc. | 1.950% | 6/1/30 | 22,500 | 23,739 |
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 9,640 | 10,632 |
John Deere Capital Corp. | 2.650% | 6/24/24 | 9,000 | 9,694 |
John Deere Capital Corp. | 2.250% | 9/14/26 | 7,790 | 8,402 |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 23,104 | 26,170 |
Lockheed Martin Corp. | 1.850% | 6/15/30 | 8,645 | 9,048 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 10,440 | 10,857 |
Communication (0.8%) | ||||
America Movil SAB de CV | 3.125% | 7/16/22 | 1,160 | 1,207 |
Comcast Corp. | 3.600% | 3/1/24 | 9,390 | 10,304 |
Comcast Corp. | 3.700% | 4/15/24 | 13,085 | 14,380 |
Comcast Corp. | 3.375% | 2/15/25 | 29,805 | 32,926 |
Comcast Corp. | 3.375% | 8/15/25 | 23,444 | 26,057 |
Comcast Corp. | 3.950% | 10/15/25 | 13,900 | 15,919 |
Comcast Corp. | 3.150% | 2/15/28 | 28,825 | 32,291 |
Comcast Corp. | 4.150% | 10/15/28 | 40,135 | 48,019 |
Comcast Corp. | 2.650% | 2/1/30 | 10,970 | 11,943 |
Comcast Corp. | 3.400% | 4/1/30 | 11,500 | 13,215 |
S&P Global Inc. | 2.500% | 12/1/29 | 10,680 | 11,628 |
Walt Disney Co. | 1.750% | 8/30/24 | 18,120 | 18,865 |
Walt Disney Co. | 3.000% | 2/13/26 | 13,228 | 14,626 |
Walt Disney Co. | 3.375% | 11/15/26 | 2,200 | 2,478 |
Walt Disney Co. | 2.200% | 1/13/28 | 11,000 | 11,759 |
Consumer Cyclical (1.9%) | ||||
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 1,550 | 1,705 |
Amazon.com Inc. | 1.200% | 6/3/27 | 17,000 | 17,332 |
Amazon.com Inc. | 3.150% | 8/22/27 | 7,000 | 7,960 |
8 American Honda Finance Corp. | 1.600% | 4/20/22 | 8,000 | 9,999 |
American Honda Finance Corp. | 2.150% | 9/10/24 | 15,000 | 15,854 |
American Honda Finance Corp. | 2.350% | 1/8/27 | 25,000 | 26,847 |
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 20,000 | 19,745 |
7 BMW US Capital LLC | 3.400% | 8/13/21 | 14,100 | 14,328 |
Costco Wholesale Corp. | 3.000% | 5/18/27 | 13,225 | 14,826 |
Costco Wholesale Corp. | 1.375% | 6/20/27 | 8,700 | 8,960 |
Costco Wholesale Corp. | 1.600% | 4/20/30 | 27,777 | 28,419 |
Cummins Inc. | 0.750% | 9/1/25 | 8,000 | 8,048 |
Cummins Inc. | 1.500% | 9/1/30 | 25,000 | 25,126 |
Home Depot Inc. | 2.500% | 4/15/27 | 5,000 | 5,466 |
Home Depot Inc. | 2.800% | 9/14/27 | 14,340 | 15,982 |
Home Depot Inc. | 3.900% | 12/6/28 | 10,000 | 11,981 |
Home Depot Inc. | 2.950% | 6/15/29 | 21,000 | 23,833 |
Mastercard Inc. | 2.000% | 3/3/25 | 15,133 | 16,058 |
Mastercard Inc. | 2.950% | 11/21/26 | 22,315 | 24,928 |
Mastercard Inc. | 2.950% | 6/1/29 | 11,000 | 12,375 |
Target Corp. | 3.375% | 4/15/29 | 4,500 | 5,260 |
Target Corp. | 2.350% | 2/15/30 | 10,000 | 10,876 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 1,100 | 1,149 |
TJX Cos. Inc. | 3.500% | 4/15/25 | 29,720 | 33,161 |
TJX Cos. Inc. | 2.250% | 9/15/26 | 7,870 | 8,484 |
TJX Cos. Inc. | 3.750% | 4/15/27 | 2,241 | 2,589 |
TJX Cos. Inc. | 3.875% | 4/15/30 | 10,000 | 11,982 |
8 Toyota Finance Australia Ltd. | 1.584% | 4/21/22 | 8,000 | 10,012 |
Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 14,000 | 15,385 |
Toyota Motor Credit Corp. | 1.150% | 8/13/27 | 20,000 | 20,098 |
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 20,000 | 23,508 |
8 Toyota Motor Finance Netherlands BV | 0.625% | 9/26/23 | 5,825 | 7,284 |
Visa Inc. | 3.150% | 12/14/25 | 66,090 | 74,084 |
Visa Inc. | 1.900% | 4/15/27 | 14,000 | 14,873 |
Visa Inc. | 2.050% | 4/15/30 | 17,500 | 18,672 |
Walmart Inc. | 2.650% | 12/15/24 | 5,550 | 5,993 |
Walmart Inc. | 3.050% | 7/8/26 | 13,000 | 14,598 |
Walmart Inc. | 3.700% | 6/26/28 | 10,411 | 12,236 |
Walmart Inc. | 3.250% | 7/8/29 | 11,952 | 13,834 |
Consumer Noncyclical (3.0%) | ||||
8 Abbott Ireland Financing DAC | 0.875% | 9/27/23 | 8,000 | 10,063 |
Abbott Laboratories | 2.950% | 3/15/25 | 9,405 | 10,308 |
Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,724 |
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 24,000 | 25,136 |
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 61,181 | 66,132 |
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 23,838 | 27,180 |
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 33,439 | 37,620 |
Bristol-Myers Squibb Co. | 1.125% | 11/13/27 | 25,000 | 25,043 |
Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 4,000 | 4,591 |
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 9,949 | 11,739 |
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 42,525 | 49,049 |
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 16,500 | 16,388 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 5,000 | 5,140 |
Coca-Cola Co. | 1.750% | 9/6/24 | 3,000 | 3,139 |
Coca-Cola Co. | 3.375% | 3/25/27 | 12,000 | 13,730 |
Coca-Cola Co. | 1.000% | 3/15/28 | 17,075 | 17,126 |
Eli Lilly & Co. | 3.375% | 3/15/29 | 8,803 | 10,210 |
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 4,750 | 5,134 |
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 14,500 | 17,233 |
8 GlaxoSmithKline Capital plc | 0.125% | 5/12/23 | 13,825 | 17,009 |
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 21,524 | 23,246 |
GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 25,000 | 29,030 |
Hershey Co. | 2.050% | 11/15/24 | 9,000 | 9,506 |
Hershey Co. | 2.450% | 11/15/29 | 10,000 | 10,913 |
Hershey Co. | 1.700% | 6/1/30 | 5,000 | 5,125 |
Johnson & Johnson | 2.950% | 3/3/27 | 2,385 | 2,668 |
Johnson & Johnson | 0.950% | 9/1/27 | 15,000 | 15,058 |
Johnson & Johnson | 2.900% | 1/15/28 | 15,444 | 17,406 |
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 965 | 1,088 |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 6,906 | 7,450 |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 5,860 | 6,510 |
Kimberly-Clark Corp. | 1.050% | 9/15/27 | 10,000 | 10,100 |
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 10,507 | 12,064 |
7 Mars Inc. | 0.875% | 7/16/26 | 10,000 | 10,035 |
8 Medtronic Global Holdings SCA | 0.000% | 12/2/22 | 8,000 | 9,809 |
Medtronic Inc. | 3.500% | 3/15/25 | 25,799 | 28,896 |
Merck & Co. Inc. | 2.750% | 2/10/25 | 8,200 | 8,906 |
Merck & Co. Inc. | 3.400% | 3/7/29 | 25,000 | 29,061 |
Mercy Health | 4.302% | 7/1/28 | 7,000 | 8,066 |
8 Nestle Finance International Ltd. | 0.000% | 11/12/24 | 8,000 | 9,893 |
7 Nestle Holdings Inc. | 3.350% | 9/24/23 | 15,000 | 16,164 |
7 Nestle Holdings Inc. | 1.000% | 9/15/27 | 24,160 | 24,199 |
Novartis Capital Corp. | 2.000% | 2/14/27 | 15,000 | 15,985 |
Novartis Capital Corp. | 2.200% | 8/14/30 | 27,712 | 29,743 |
8 PepsiCo Inc. | 0.250% | 5/6/24 | 7,280 | 9,021 |
PepsiCo Inc. | 2.850% | 2/24/26 | 6,674 | 7,372 |
PepsiCo Inc. | 2.375% | 10/6/26 | 4,000 | 4,349 |
PepsiCo Inc. | 2.625% | 3/19/27 | 14,500 | 15,945 |
PepsiCo Inc. | 2.625% | 7/29/29 | 1,720 | 1,893 |
PepsiCo Inc. | 1.400% | 2/25/31 | 13,745 | 13,789 |
Pfizer Inc. | 3.400% | 5/15/24 | 13,345 | 14,663 |
Pfizer Inc. | 2.750% | 6/3/26 | 6,550 | 7,228 |
Pfizer Inc. | 3.450% | 3/15/29 | 13,000 | 15,154 |
Pfizer Inc. | 2.625% | 4/1/30 | 8,500 | 9,408 |
Philip Morris International Inc. | 1.125% | 5/1/23 | 5,000 | 5,099 |
Philip Morris International Inc. | 2.875% | 5/1/24 | 4,500 | 4,850 |
Philip Morris International Inc. | 1.500% | 5/1/25 | 10,000 | 10,343 |
Philip Morris International Inc. | 3.125% | 8/17/27 | 5,000 | 5,585 |
Philip Morris International Inc. | 3.375% | 8/15/29 | 3,000 | 3,427 |
Philip Morris International Inc. | 2.100% | 5/1/30 | 5,000 | 5,182 |
Procter & Gamble Co. | 2.850% | 8/11/27 | 2,000 | 2,231 |
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 300 | 326 |
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 5,361 |
7 Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 1,150 | 1,183 |
7 Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 5,000 | 5,322 |
7 Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 25,000 | 27,671 |
7 Roche Holdings Inc. | 2.625% | 5/15/26 | 2,000 | 2,190 |
8 Sanofi | 0.000% | 3/21/22 | 8,000 | 9,811 |
SSM Health Care Corp. | 3.688% | 6/1/23 | 13,650 | 14,590 |
Unilever Capital Corp. | 2.600% | 5/5/24 | 23,425 | 25,005 |
Unilever Capital Corp. | 2.125% | 9/6/29 | 21,050 | 22,460 |
8 Unilever NV | 0.375% | 2/14/23 | 8,000 | 9,913 |
Energy (1.4%) | ||||
BP Capital Markets America Inc. | 2.750% | 5/10/23 | 10,080 | 10,627 |
BP Capital Markets America Inc. | 3.790% | 2/6/24 | 5,950 | 6,508 |
BP Capital Markets America Inc. | 3.224% | 4/14/24 | 8,400 | 9,071 |
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 8,475 | 9,321 |
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 4,935 | 5,594 |
BP Capital Markets America Inc. | 3.119% | 5/4/26 | 19,465 | 21,525 |
BP Capital Markets America Inc. | 3.017% | 1/16/27 | 2,630 | 2,902 |
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 8,930 | 8,945 |
BP Capital Markets plc | 3.561% | 11/1/21 | 2,387 | 2,451 |
BP Capital Markets plc | 3.994% | 9/26/23 | 1,000 | 1,094 |
BP Capital Markets plc | 3.814% | 2/10/24 | 35,250 | 38,684 |
BP Capital Markets plc | 3.535% | 11/4/24 | 8,740 | 9,692 |
BP Capital Markets plc | 3.506% | 3/17/25 | 13,535 | 15,091 |
BP Capital Markets plc | 3.279% | 9/19/27 | 7,530 | 8,469 |
BP Capital Markets plc | 3.723% | 11/28/28 | 2,095 | 2,425 |
Chevron Corp. | 1.554% | 5/11/25 | 24,740 | 25,641 |
Chevron Corp. | 1.995% | 5/11/27 | 11,600 | 12,266 |
Chevron USA Inc. | 0.687% | 8/12/25 | 4,030 | 4,042 |
Chevron USA Inc. | 1.018% | 8/12/27 | 3,920 | 3,922 |
ConocoPhillips Co. | 4.950% | 3/15/26 | 41,760 | 50,130 |
EOG Resources Inc. | 4.375% | 4/15/30 | 11,290 | 13,735 |
Exxon Mobil Corp. | 2.992% | 3/19/25 | 33,865 | 37,020 |
Exxon Mobil Corp. | 2.275% | 8/16/26 | 10,000 | 10,767 |
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 4,350 | 4,462 |
Shell International Finance BV | 3.500% | 11/13/23 | 5,807 | 6,308 |
Shell International Finance BV | 2.375% | 4/6/25 | 15,040 | 16,085 |
Shell International Finance BV | 3.250% | 5/11/25 | 30,615 | 33,900 |
Shell International Finance BV | 2.875% | 5/10/26 | 2,805 | 3,099 |
Shell International Finance BV | 3.875% | 11/13/28 | 2,135 | 2,529 |
Shell International Finance BV | 2.375% | 11/7/29 | 29,195 | 31,275 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 7,599 | 8,044 |
Total Capital International SA | 3.700% | 1/15/24 | 7,867 | 8,623 |
Total Capital International SA | 2.434% | 1/10/25 | 11,830 | 12,608 |
Total Capital International SA | 3.455% | 2/19/29 | 3,250 | 3,755 |
Total Capital International SA | 2.829% | 1/10/30 | 19,635 | 21,927 |
Other Industrial (0.0%) | ||||
Yale University | 1.482% | 4/15/30 | 6,000 | 6,134 |
Technology (1.8%) | ||||
Adobe Inc. | 2.150% | 2/1/27 | 46,105 | 49,597 |
Alphabet Inc. | 0.800% | 8/15/27 | 23,000 | 22,905 |
Apple Inc. | 3.000% | 2/9/24 | 10,675 | 11,482 |
Apple Inc. | 3.450% | 5/6/24 | 6,000 | 6,605 |
Apple Inc. | 2.850% | 5/11/24 | 8,045 | 8,673 |
Apple Inc. | 2.750% | 1/13/25 | 9,240 | 10,009 |
Apple Inc. | 2.500% | 2/9/25 | 3,430 | 3,705 |
Apple Inc. | 1.125% | 5/11/25 | 3,000 | 3,080 |
Apple Inc. | 3.200% | 5/13/25 | 5,635 | 6,286 |
Apple Inc. | 3.250% | 2/23/26 | 11,092 | 12,448 |
Apple Inc. | 2.450% | 8/4/26 | 7,245 | 7,896 |
Apple Inc. | 2.050% | 9/11/26 | 8,000 | 8,545 |
Apple Inc. | 3.350% | 2/9/27 | 13,158 | 14,968 |
Apple Inc. | 3.000% | 6/20/27 | 6,920 | 7,782 |
Apple Inc. | 2.900% | 9/12/27 | 20,825 | 23,295 |
Apple Inc. | 3.000% | 11/13/27 | 6,280 | 7,072 |
Intel Corp. | 3.400% | 3/25/25 | 27,000 | 29,925 |
Intel Corp. | 3.700% | 7/29/25 | 10,000 | 11,273 |
Intel Corp. | 2.600% | 5/19/26 | 4,615 | 5,034 |
Intel Corp. | 3.750% | 3/25/27 | 4,660 | 5,395 |
Intel Corp. | 2.450% | 11/15/29 | 21,350 | 23,029 |
8 International Business Machines Corp. | 0.375% | 1/31/23 | 8,000 | 9,888 |
International Business Machines Corp. | 3.000% | 5/15/24 | 6,703 | 7,245 |
International Business Machines Corp. | 3.450% | 2/19/26 | 2,500 | 2,822 |
International Business Machines Corp. | 3.300% | 5/15/26 | 61,085 | 68,937 |
International Business Machines Corp. | 3.500% | 5/15/29 | 19,985 | 23,116 |
Microsoft Corp. | 3.125% | 11/3/25 | 1,365 | 1,525 |
Microsoft Corp. | 2.400% | 8/8/26 | 4,825 | 5,255 |
Microsoft Corp. | 3.300% | 2/6/27 | 2,020 | 2,298 |
NVIDIA Corp. | 2.850% | 4/1/30 | 5,000 | 5,593 |
Oracle Corp. | 3.400% | 7/8/24 | 10,000 | 10,923 |
Oracle Corp. | 2.950% | 11/15/24 | 20,704 | 22,463 |
Oracle Corp. | 2.500% | 4/1/25 | 19,840 | 21,310 |
Oracle Corp. | 2.950% | 5/15/25 | 5,140 | 5,621 |
Oracle Corp. | 2.650% | 7/15/26 | 5,115 | 5,591 |
Oracle Corp. | 3.250% | 11/15/27 | 14,885 | 16,966 |
Oracle Corp. | 2.950% | 4/1/30 | 5,000 | 5,575 |
QUALCOMM Inc. | 3.250% | 5/20/27 | 10,570 | 11,972 |
7 QUALCOMM Inc. | 1.300% | 5/20/28 | 25,188 | 25,314 |
7 QUALCOMM Inc. | 1.650% | 5/20/32 | 36,117 | 36,055 |
Texas Instruments Inc. | 2.625% | 5/15/24 | 2,980 | 3,181 |
Texas Instruments Inc. | 2.250% | 9/4/29 | 10,000 | 10,738 |
Texas Instruments Inc. | 1.750% | 5/4/30 | 9,245 | 9,513 |
Transportation (0.2%) | ||||
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 1,265 | 1,386 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 12,423 | 13,605 |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 1,175 | 1,286 |
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 3,575 | 4,031 |
Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 8,535 | 9,657 |
5 CSX Transportation Inc. | 6.251% | 1/15/23 | 973 | 1,074 |
8 United Parcel Service Inc. | 0.375% | 11/15/23 | 5,825 | 7,232 |
United Parcel Service Inc. | 2.200% | 9/1/24 | 7,175 | 7,614 |
United Parcel Service Inc. | 3.400% | 3/15/29 | 5,000 | 5,773 |
3,412,473 | ||||
Utilities (2.0%) | ||||
Electric (2.0%) | ||||
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 8,040 | 9,034 |
Ameren Illinois Co. | 1.550% | 11/15/30 | 8,575 | 8,609 |
Arizona Public Service Co. | 2.600% | 8/15/29 | 5,575 | 6,088 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 16,200 | 17,574 |
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 11,165 | 12,692 |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 3,480 | 3,806 |
Connecticut Light & Power Co. | 3.200% | 3/15/27 | 21,650 | 24,290 |
DTE Electric Co. | 2.650% | 6/15/22 | 10,112 | 10,388 |
DTE Electric Co. | 3.650% | 3/15/24 | 8,453 | 9,191 |
DTE Electric Co. | 3.375% | 3/1/25 | 520 | 574 |
DTE Electric Co. | 2.250% | 3/1/30 | 11,838 | 12,693 |
DTE Electric Co. | 2.625% | 3/1/31 | 13,760 | 15,122 |
Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 1,640 | 1,830 |
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 2,215 | 2,616 |
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 7,430 | 7,997 |
Duke Energy Florida LLC | 3.200% | 1/15/27 | 17,632 | 19,714 |
Duke Energy Florida LLC | 3.800% | 7/15/28 | 10,765 | 12,589 |
Duke Energy Florida LLC | 2.500% | 12/1/29 | 21,525 | 23,374 |
Duke Energy Progress LLC | 3.375% | 9/1/23 | 2,500 | 2,687 |
Duke Energy Progress LLC | 3.250% | 8/15/25 | 8,126 | 9,044 |
Duke Energy Progress LLC | 3.700% | 9/1/28 | 12,100 | 14,047 |
Duke Energy Progress LLC | 3.450% | 3/15/29 | 1,520 | 1,744 |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 6,213 | 6,810 |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 10,288 | 11,622 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 8,675 | 10,216 |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 1,000 | 1,048 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 1,075 | 1,168 |
Entergy Louisiana LLC | 2.400% | 10/1/26 | 5,560 | 6,008 |
Entergy Louisiana LLC | 3.120% | 9/1/27 | 15,550 | 17,308 |
Entergy Louisiana LLC | 1.600% | 12/15/30 | 4,435 | 4,464 |
Florida Power & Light Co. | 2.850% | 4/1/25 | 28,543 | 31,098 |
Georgia Power Co. | 2.850% | 5/15/22 | 1,820 | 1,880 |
MidAmerican Energy Co. | 3.100% | 5/1/27 | 3,170 | 3,551 |
MidAmerican Energy Co. | 3.650% | 4/15/29 | 2,010 | 2,380 |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 3,375 | 3,527 |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 4,350 | 4,654 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 11,255 | 12,465 |
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 9,675 | 11,119 |
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 10,945 | 12,845 |
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 18,335 | 21,402 |
Nevada Power Co. | 2.400% | 5/1/30 | 8,360 | 8,932 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 4,490 | 4,625 |
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 20,000 | 21,355 |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 6,350 | 6,945 |
7 Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 23,000 | 22,933 |
Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 8,555 | 9,990 |
Oncor Electric Delivery Co. LLC | 2.750% | 5/15/30 | 4,750 | 5,317 |
PacifiCorp | 3.600% | 4/1/24 | 7,640 | 8,312 |
PacifiCorp | 3.500% | 6/15/29 | 27,904 | 32,066 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 4,925 | 5,344 | |
Public Service Electric & Gas Co. | 3.250% | 9/1/23 | 1,560 | 1,671 | |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 8,385 | 9,169 | |
Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 5,000 | 5,399 | |
Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 5,430 | 5,985 | |
Public Service Electric & Gas Co. | 3.700% | 5/1/28 | 1,980 | 2,271 | |
Public Service Electric & Gas Co. | 3.650% | 9/1/28 | 2,730 | 3,177 | |
Public Service Electric & Gas Co. | 2.450% | 1/15/30 | 7,500 | 8,133 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 14,881 | 16,023 | |
Union Electric Co. | 2.950% | 6/15/27 | 1,177 | 1,298 | |
Union Electric Co. | 2.950% | 3/15/30 | 15,000 | 16,798 | |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,540 | 3,612 | |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 2,515 | 2,628 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,730 | 1,864 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 6,210 | 6,784 | |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 5,700 | 6,302 | |
Virginia Electric & Power Co. | 2.950% | 11/15/26 | 10,000 | 11,082 | |
Virginia Electric & Power Co. | 3.500% | 3/15/27 | 6,260 | 7,067 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 13,385 | 14,571 | |
Natural Gas (0.0%) | |||||
Atmos Energy Corp. | 3.000% | 6/15/27 | 2,835 | 3,139 | |
642,060 | |||||
Total Corporate Bonds (Cost $9,276,007) | 9,755,685 | ||||
Sovereign Bonds (3.7%) | |||||
Arab Petroleum Investments Corp. | 1.460% | 6/30/25 | 2,880 | 2,903 | |
7 | Banco del Estado de Chile | 2.704% | 1/9/25 | 9,000 | 9,518 |
7 | Bermuda | 4.138% | 1/3/23 | 2,700 | 2,876 |
Bermuda | 4.138% | 1/3/23 | 1,150 | 1,225 | |
Bermuda | 4.854% | 2/6/24 | 6,751 | 7,504 | |
7 | Bermuda | 4.854% | 2/6/24 | 3,206 | 3,571 |
5 | Bermuda | 3.717% | 1/25/27 | 8,089 | 9,016 |
5 | Bermuda | 4.750% | 2/15/29 | 3,810 | 4,627 |
5,7 | Bermuda | 2.375% | 8/20/30 | 15,000 | 15,723 |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,519 | 1,662 |
CDP Financial Inc. | 3.150% | 7/24/24 | 20,000 | 21,910 | |
7 | CDP Financial Inc. | 0.875% | 6/10/25 | 40,000 | 40,301 |
CNOOC Finance 2015 USA LLC | 4.375% | 5/2/28 | 5,575 | 6,375 | |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 17,610 | 19,105 | |
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,054 |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 6,291 | 6,608 | |
7,9 | Development Bank of Japan Inc. | 3.125% | 9/6/23 | 12,000 | 12,870 |
Development Bank of Japan Inc. | 2.750% | 9/16/25 | 8,500 | 9,347 | |
7,10 Dexia Credit Local SA | 1.875% | 9/15/21 | 15,000 | 15,168 | |
7 | Dexia Credit Local SA | 2.375% | 9/20/22 | 16,910 | 17,439 |
7 | Dexia Credit Local SA | 3.250% | 9/26/23 | 70,000 | 75,456 |
Emirate of Abu Dhabi | 0.750% | 9/2/23 | 1,516 | 1,517 | |
Emirate of Abu Dhabi | 2.125% | 9/30/24 | 7,840 | 8,232 | |
7 | Emirate of Abu Dhabi | 2.125% | 9/30/24 | 34,200 | 35,913 |
7 | Emirate of Abu Dhabi | 2.500% | 4/16/25 | 33,599 | 35,877 |
Emirate of Abu Dhabi | 3.125% | 10/11/27 | 7,030 | 7,871 | |
Equinor ASA | 3.150% | 1/23/22 | 8,000 | 8,180 | |
Equinor ASA | 2.450% | 1/17/23 | 1,904 | 1,987 | |
Equinor ASA | 3.700% | 3/1/24 | 7,000 | 7,682 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,800 | 2,807 | |
Export-Import Bank of Korea | 2.500% | 5/10/21 | 5,000 | 5,036 |
Export-Import Bank of Korea | 1.875% | 10/21/21 | 10,000 | 10,108 | |
Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,000 | 2,093 | |
Export-Import Bank of Korea | 2.375% | 6/25/24 | 18,000 | 19,025 | |
Export-Import Bank of Korea | 3.250% | 11/10/25 | 10,000 | 11,181 | |
Export-Import Bank of Korea | 2.625% | 5/26/26 | 2,000 | 2,190 | |
7 | Harvest Operations Corp. | 4.200% | 6/1/23 | 8,000 | 8,680 |
Hydro-Quebec | 8.050% | 7/7/24 | 470 | 589 | |
IDB Trust Services Ltd. | 2.393% | 4/12/22 | 25,624 | 26,222 | |
9 | Japan Bank for International Cooperation | 3.375% | 10/31/23 | 10,000 | 10,834 |
9 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 20,000 | 21,380 |
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 12,238 | 12,419 | |
Korea Development Bank | 2.500% | 1/13/21 | 6,000 | 6,003 | |
Korea Development Bank | 4.625% | 11/16/21 | 605 | 627 | |
Korea Development Bank | 3.375% | 3/12/23 | 30,000 | 31,939 | |
Korea Development Bank | 2.125% | 10/1/24 | 33,000 | 34,750 | |
7 | Korea East-West Power Co. Ltd. | 1.750% | 5/6/25 | 15,000 | 15,618 |
Korea Electric Power Corp. | 1.125% | 6/15/25 | 18,400 | 18,679 | |
Korea Hydro & Nuclear Power Co. Ltd. | 4.750% | 7/13/21 | 9,984 | 10,206 | |
11 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 17,930 | 20,102 |
Malaysia Sovereign Sukuk Bhd. | 3.043% | 4/22/25 | 510 | 557 | |
MDGH - GMTN BV | 2.750% | 5/11/23 | 5,000 | 5,218 | |
MDGH - GMTN BV | 2.500% | 11/7/24 | 624 | 659 | |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 20,096 | 20,698 |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,600 | 7,276 |
7 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 24,580 | 27,952 |
7 | Ontario Teachers' Finance Trust | 1.250% | 9/27/30 | 45,000 | 44,039 |
7 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 1,993 | 2,289 |
Province of Manitoba | 2.100% | 9/6/22 | 2,100 | 2,163 | |
Province of Ontario | 1.050% | 5/21/27 | 25,000 | 25,049 | |
Province of Quebec | 2.750% | 8/25/21 | 10,150 | 10,278 | |
Province of Quebec | 7.500% | 7/15/23 | 2,065 | 2,421 | |
Province of Quebec | 7.125% | 2/9/24 | 2,674 | 3,212 | |
8 | Republic of Chile | 1.625% | 1/30/25 | 9,387 | 12,226 |
5 | Republic of Chile | 3.240% | 2/6/28 | 11,616 | 13,156 |
Republic of Latvia | 5.250% | 6/16/21 | 2,000 | 2,042 | |
Republic of Lithuania | 6.125% | 3/9/21 | 58,266 | 58,747 | |
Republic of Lithuania | 6.625% | 2/1/22 | 16,800 | 17,923 | |
Republic of Poland | 5.125% | 4/21/21 | 10,910 | 11,046 | |
Republic of Poland | 5.000% | 3/23/22 | 29,062 | 30,664 | |
Republic of Slovenia | 5.500% | 10/26/22 | 3,385 | 3,701 | |
Republic of Slovenia | 5.250% | 2/18/24 | 18,841 | 21,508 | |
7 | SABIC Capital II BV | 4.000% | 10/10/23 | 17,612 | 18,967 |
7 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 11,000 | 11,124 |
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 888 | 967 | |
Sinopec Group Overseas Development 2014 Ltd. | 4.375% | 4/10/24 | 288 | 316 | |
Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 304 | 327 | |
Slovak Republic | 4.375% | 5/21/22 | 706 | 744 | |
7 | Slovak Republic | 4.375% | 5/21/22 | 2,500 | 2,622 |
State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 800 | 841 | |
State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 12,340 | 12,645 | |
State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 7,920 | 8,790 | |
State of Israel | 2.750% | 7/3/30 | 50,000 | 55,082 | |
State of Kuwait | 2.750% | 3/20/22 | 4,740 | 4,871 | |
State of Kuwait | 3.500% | 3/20/27 | 8,019 | 9,127 | |
State of Qatar | 4.500% | 1/20/22 | 29,000 | 30,201 | |
State of Qatar | 3.875% | 4/23/23 | 2,501 | 2,686 | |
State of Qatar | 3.400% | 4/16/25 | 9,195 | 10,141 |
State of Qatar | 3.250% | 6/2/26 | 3,600 | 4,002 | |
State of Qatar | 4.000% | 3/14/29 | 4,305 | 5,100 | |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 2,000 | 2,083 |
7 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 20,000 | 23,402 |
Total Sovereign Bonds (Cost $1,134,213) | 1,188,867 | ||||
Taxable Municipal Bonds (1.0%) | |||||
California GO | 2.650% | 4/1/26 | 50,000 | 55,049 | |
Dallas TX Waterworks & Sewer System Revenue | 2.589% | 10/1/27 | 1,450 | 1,586 | |
Florida Board of Administration Finance Corp. | |||||
Revenue | 1.705% | 7/1/27 | 75,000 | 77,849 | |
Florida Board of Administration Finance Corp. | |||||
Revenue | 2.154% | 7/1/30 | 55,000 | 57,872 | |
New York City NY GO | 3.750% | 6/1/28 | 1,020 | 1,130 | |
New York City NY GO | 2.330% | 10/1/29 | 5,000 | 5,339 | |
Regents of the University of California Revenue | 3.063% | 7/1/25 | 3,430 | 3,783 | |
Texas GO | 2.531% | 10/1/23 | 480 | 511 | |
University of California Revenue | 3.349% | 7/1/29 | 48,635 | 56,083 | |
University of California Revenue | 1.316% | 5/15/27 | 25,000 | 25,400 | |
University of California Revenue | 1.614% | 5/15/30 | 34,665 | 35,030 | |
12 | Wisconsin GO | 5.700% | 5/1/26 | 2,585 | 3,039 |
Total Taxable Municipal Bonds (Cost $310,181) | 322,671 | ||||
Shares | |||||
Temporary Cash Investment (5.2%) | |||||
Money Market Fund (5.2%) | |||||
13 | Vanguard Market Liquidity Fund (Cost $1,693,081) | 0.111% | 16,930,849 | 1,693,085 | |
Total Investments (113.8%) (Cost $36,033,097) | 36,989,786 | ||||
Other Assets and Liabilities-Net (-13.8%) | (4,486,841) | ||||
Net Assets (100%) | 32,502,945 | ||||
Cost is in $000. |
¤ Includes securities purchased on a when-issued or delayed -delivery basis for which the fund has not taken
delivery as of December 31, 2020.
§ Security value determined using significant unobservable inputs.
1 Securities with a value of $2,797,000 have been segregated as collateral for open forward currency contracts.
2 Securities with a value of $28,217,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $6,534,000 have been segregated as initial margin for open centrally cleared swap
contracts.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
6 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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2020, the
aggregate value of these securities was $2,283,457,000, representing 7.0% of net assets.
8 Face amount denominated in euro.
9 Guaranteed by the Government of Japan.
10 Guaranteed by multiple countries.
11 Guaranteed by the Kingdom of Saudi Arabia.
12 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
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.
12M—12-month.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Unrealized | ||||
Number of Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | March 2021 | 257 | 35,486 | 9 |
Short Futures Contracts | ||||
Ultra 10-Year U.S. Treasury Note | March 2021 | (5,674) | (887,183) | 1,131 |
5-Year U.S. Treasury Note | March 2021 | (3,218) | (405,996) | (814) |
Euro-Schatz | March 2021 | (2,467) | (338,378) | 194 |
2-Year U.S. Treasury Note | March 2021 | (1,107) | (244,621) | (55) |
30-Year U.S. Treasury Bond | March 2021 | (1,101) | (190,679) | 640 |
Ultra Long U.S. Treasury Bond | March 2021 | (209) | (44,635) | 132 |
Euro-Bobl | March 2021 | (58) | (9,578) | (10) |
1,218 | ||||
1,227 |
Forward Currency Contracts | |||||||
Contract | Unrealized | Unrealized | |||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation) | ||||
Counterparty | Date | Receive | Deliver | ($000) | ($000) | ||
Morgan Stanley | |||||||
Capital Services | |||||||
LLC | 1/8/21 | EUR | 274 | USD | 336 | — | (1) |
BNP Paribas | |||||||
1/8/21 | EUR | 104 | USD | 126 | 1 | — | |
Morgan Stanley | |||||||
Capital Services | |||||||
LLC | 1/8/21 | EUR | 68 | USD | 83 | 1 | — |
BNP Paribas | |||||||
1/8/21 | USD | 98,799 | EUR | 82,620 | — | (2,155) | |
Toronto- | |||||||
Dominion Bank | 1/8/21 | USD | 94,546 | EUR | 77,746 | — | (452) |
Deutsche Bank | |||||||
AG | 1/8/21 | USD | 93,377 | EUR | 78,331 | — | (2,337) |
BNP Paribas | |||||||
1/8/21 | USD | 5,700 | EUR | 4,650 | 18 | — | |
J.P. Morgan | |||||||
Securities LLC | 1/8/21 | USD | 222 | EUR | 183 | — | (1) |
Morgan Stanley | |||||||
Capital Services LLC | 1/8/21 | USD | 115 | EUR | 95 | — | — |
1M—1-month.
1YR—1-year.
3M—3-month.
CMT —Constant Maturing Treasury Rate.
GO—General Obligation Bond.
LIBOR—London Interbank Offered Rate.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS —Uniform Mortgage-Backed Securities.
Institutional Intermediate-Term Bond Fund | |||||||
Citigroup Global | |||||||
Markets Inc. | 1/8/21 | USD | 83 | EUR | 67 | — | — |
Brown Brothers | |||||||
Harriman & Co. | 1/8/21 | USD | 21 | EUR | 17 | — | — |
Morgan Stanley | |||||||
Capital Services | |||||||
LLC | 1/8/21 | USD | 10 | EUR | 8 | — | — |
20 | (4,946) |
USD—U.S. dollar.
Over-the-Counter Credit Default Swaps | ||||||||
Remaining | ||||||||
Periodic | Up-Front | |||||||
Premium | Premium | |||||||
Notional | Received | Received | Unrealized | Unrealized | ||||
Reference | Termination | Amount | (Paid)1 | Value | (Paid) | Appreciation | (Depreciation) | |
Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | ($000) | ($000) |
Credit Protection | ||||||||
Sold/Moody’s Rating | ||||||||
America | ||||||||
Movil /A3 | 6/20/23 | BARC | 6,200 | 1.000 | 86 | (55) | 141 | — |
Republic of | ||||||||
Chile/Aa3 | 12/22/25 | MSCS | 11,800 | 1.000 | 308 | 126 | 182 | — |
394 | 71 | 323 | — | |||||
Credit Protection Purchased | ||||||||
State of | ||||||||
Qatar | 6/20/22 | BOANA | 4,080 | (1.000) | (55) | 15 | — | (70) |
State of | 7,920 | |||||||
Qatar | 6/20/22 | CITNA | (1.000) | (106) | 27 | — | (133) | |
(161) | 42 | — | (203) | |||||
233 | 113 | 323 | (203) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit
protection if the reference entity was subject to a credit event.
1 Periodic premium received/paid quarterly.
BARC--Barclays Bank plc.
BOANA—Bank of America, N.A.
CITNA—Citibank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
Centrally Cleared Interest Rate Swaps |
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Future | Notional | Received | Received | Appreciation | ||
Effective | Amount | (Paid)2 | (Paid)3 | Value | (Depreciation) | |
Termination Date | Date | ($000) | (%) | (%) | ($000) | ($000) |
3/17/23 | 3/17/211 | 168,677 | (0.000) | 0.000 | 221 | (65) |
3/17/24 | 3/17/211 | 112,839 | (0.000) | 0.000 | 358 | (80) |
3/17/25 | 3/17/211 | 58,850 | (0.000) | 0.000 | 416 | (63) |
3/17/26 | 3/17/211 | 43,298 | (0.250) | 0.000 | 57 | (44) |
3/17/28 | 3/17/211 | 34,457 | (0.250) | 0.000 | 566 | (46) |
1,618 | (298) |
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 Fixed interest payment received/paid annually.
3 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Floating interest payment
received/paid semiannually.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock
Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash
investments are valued using the latest bid prices or using valuations based on a matrix system
(which considers such factors as security prices, yields, maturities, and ratings), both as furnished by
independent pricing services. Structured debt securities, including mortgages and asset-backed
securities, are valued using the latest bid prices or using valuations based on a matrix system that
considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average
coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard
Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations
are not readily available, or whose values have been affected by events occurring before the fund's
pricing time but after the close of the securities’ primary markets, are valued by methods deemed by
the board of trustees to represent fair value.
B. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with
greater efficiency and lower cost than is possible through direct investment, to add value when these
instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary
risks associated with the use of futures contracts are imperfect correlation between changes in market
values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid
market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the
counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and
clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse
imposes initial margin requirements to secure the fund's performance and requires daily settlement of
variation margin representing changes in the market value of each contract. Any securities pledged as
initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the
contracts are recorded as an asset (liability).
C. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value
of securities and related receivables and payables against changes in future foreign exchange rates.
The fund's risks in using these contracts include movement in the values of the foreign currencies
relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the
Institutional Intermediate-Term Bond Fund
contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only
with a diverse group of prequalified counterparties, monitoring their financial strength, entering into
master netting arrangements with its counterparties, and requiring its counterparties to transfer
collateral as security for their performance. In the absence of a default, the collateral pledged or
received by the fund cannot be repledged, resold, or rehypothecated. The master netting
arrangements provide that, in the event of a counterparty’s default (including bankrupt cy), the fund
may terminate the forward currency contracts, determine the net amount owed by either party in
accordance with its master netting arrangements, and sell or retain any collateral held up to the net
amount owed to the fund under the master netting arrangements. The forward currency contracts
contain provisions whereby a counterparty may terminate open contracts if the fund's net assets
decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at
the time of the termination. The payment amount would be reduced by any collateral the fund has
pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of
Investments. The value of collateral received or pledged is compared daily to the value of the forward
currency contracts exposure with each counterparty, and any difference, if in excess of a specified
minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third
party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the
value of the contracts are recorded as an asset (liability).
D. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund
or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund
may sell credit protection through credit default swaps to simulate investments in long positions that
are either unavailable or considered to be less attractively priced in the bond market. The fund may
purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or
issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller
and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from
the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity
is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the
term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the
swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount
and take delivery of a debt instrument of the reference issuer with a par amount equal to such
notional amount. If the swap is cash settled, the seller agrees to pay the buyer the diff erence between
the notional amount and the final price for the relevant debt instrument, as determined either in a
market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in
interest rates and maintain the ability to generate income at prevailing market rates. Under the terms
of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional
amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on
short-term interest rates, applied to the same notional amount.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified
with respect to the equivalent over-the-counter swaps but with less counterparty risk because a
regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The
clearinghouse imposes initial margin requirements to secure the fund's performance, and requires
daily settlement of variation margin representing changes in the market value of each contract. To
further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing
brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse;
and has entered into agreements with its clearing brokers and executing brokers.
Institutional Intermediate-Term Bond Fund
The primary risk associated with selling credit protection is that, upon the occurrence of a defined
credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap,
the debt instruments used to determine the settlement payment by the fund) will be significantly less
than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid
debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may
default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to
counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its
counterparty risk by entering into swaps only with a diverse group of prequalified counterparties,
monitoring their financial strength, entering into master netting arrangements with its counterparties,
and requiring its counterparties to transfer collateral as security for their performance. In the absence
of a default, the collateral pledged or received by the fund cannot be repledged, resold, or
rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may
terminate any swap contracts with that counterparty, determine the net amount owed by either party
in accordance with its master netting arrangements, and sell or retain any collateral held up to the net
amount owed to the fund under the master netting arrangements. The swap contracts contain
provisions whereby a counterparty may terminate open contracts if the fund's net assets decline
below a certain level, triggering a payment by the fund if the fund is in a net liability position at the
time of the termination. The payment amount would be reduced by any collateral the fund has
pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of
Investments. The value of collateral received or pledged is compared daily to the value of the swap
contracts exposure with each counterparty, and any difference, if in excess of a specified minimum
transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or
recognized dealers and the change in value is recorded as an asset (liability) and as unrealized
appreciation (depreciation) until periodic payments are made, or the termination of the swap, at which
time realized gain (loss) is recorded.
E. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-
backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a
future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-
backed securities market or in order to sell mortgage-backed securities it owns under delayed-
delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term
investments in an amount sufficient to meet the purchase price at the settlement date of the TBA
transaction. The primary risk associated with TBA transactions is that a counterparty may default on
its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit
analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its
exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction
Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for
their performance. In the absence of a default, the collateral pledged or received by the fund cannot
be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including
bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net
amount owed by either party in accordance with its master netting arrangements, and sell or retain
any collateral held up to the net amount owed to the fund under the master netting arrangements.
At December 31, 2020, counterparties had deposited in segregated accounts securities with a value
of $11,834,000 and cash of $17,329,000 in connection with TBA transactions.
F. 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.
Institutional Intermediate-Term Bond Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments). Any investments and derivatives valued with significant unobservable
inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of
December 31, 2020, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | Total | |
($000) | ($000) | ($000) | ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 20,638,018 | — | 20,638,018 |
Asset-Backed/Commercial Mortgage-Backed | ||||
Securities | — | 3,389,100 | 2,360 | 3,391,460 |
Corporate Bonds | — | 9,755,685 | — | 9,755,685 |
Sovereign Bonds | — | 1,188,867 | — | 1,188,867 |
Taxable Municipal Bonds | — | 322,671 | — | 322,671 |
Temporary Cash Investments | 1,693,085 | — | — | 1,693,085 |
Total | 1,693,085 | 35,294,341 | 2,360 | 36,989,786 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 26 | — | — | 26 |
Forward Currency Contracts | — | 20 | — | 20 |
Swap Contracts | 51 | 323 | — | 328 |
Total | 31 | 343 | — | 374 |
Liabilities | ||||
Futures Contracts1 | 1,518 | — | — | 1,518 |
Forward Currency Contracts | — | 4,946 | — | 4,946 |
Swap Contracts | 1251 | 203 | — | 328 |
Total | 1,643 | 5,149 | — | 6,792 |
1 Represents variation margin on the last day of the reporting period. |