Vanguard® Institutional Intermediate-Term Bond Fund
Schedule of Investments (unaudited)
As of June 30, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (58.4%) | ||||||
U.S. Government Securities (30.5%) | ||||||
United States Treasury Note/Bond | 0.125% | 10/31/22 | 500,000 | 499,844 | ||
United States Treasury Note/Bond | 0.125% | 11/30/22 | 500,000 | 499,766 | ||
United States Treasury Note/Bond | 1.375% | 2/15/23 | 135,000 | 137,595 | ||
United States Treasury Note/Bond | 0.125% | 2/28/23 | 500,000 | 499,453 | ||
United States Treasury Note/Bond | 0.500% | 3/15/23 | 380,000 | 381,900 | ||
United States Treasury Note/Bond | 0.250% | 4/15/23 | 450,000 | 450,281 | ||
United States Treasury Note/Bond | 0.125% | 4/30/23 | 150,000 | 149,742 | ||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 150,000 | 149,695 | ||
United States Treasury Note/Bond | 0.125% | 5/31/23 | 400,000 | 399,188 | ||
United States Treasury Note/Bond | 0.250% | 6/15/23 | 400,000 | 400,062 | ||
United States Treasury Note/Bond | 0.125% | 9/15/23 | 250,000 | 249,102 | ||
United States Treasury Note/Bond | 0.125% | 10/15/23 | 500,000 | 497,891 | ||
United States Treasury Note/Bond | 0.250% | 11/15/23 | 500,000 | 499,219 | ||
United States Treasury Note/Bond | 0.125% | 2/15/24 | 150,000 | 149,039 | ||
1 | United States Treasury Note/Bond | 0.250% | 3/15/24 | 800,000 | 796,875 | |
United States Treasury Note/Bond | 0.375% | 4/15/24 | 700,000 | 699,125 | ||
United States Treasury Note/Bond | 0.250% | 5/15/24 | 100,000 | 99,469 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 790,000 | 785,186 | ||
United States Treasury Note/Bond | 1.500% | 11/30/24 | 100,000 | 103,187 | ||
2 | United States Treasury Note/Bond | 1.750% | 12/31/24 | 75,000 | 78,047 | |
United States Treasury Note/Bond | 1.375% | 1/31/25 | 300,000 | 308,250 | ||
United States Treasury Note/Bond | 0.500% | 3/31/25 | 100,000 | 99,500 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 200,000 | 196,187 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 300,000 | 293,953 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 300,000 | 293,672 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 500,000 | 488,828 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 150,000 | 147,703 | ||
United States Treasury Note/Bond | 2.250% | 3/31/26 | 100,000 | 106,562 | ||
United States Treasury Note/Bond | 0.875% | 6/30/26 | 300,000 | 299,859 | ||
United States Treasury Note/Bond | 1.625% | 11/30/26 | 175,000 | 181,180 | ||
3 | United States Treasury Note/Bond | 0.625% | 3/31/27 | 150,000 | 146,742 | |
United States Treasury Note/Bond | 2.250% | 5/15/41 | 25,000 | 26,016 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 40,000 | 47,494 | ||
10,160,612 | ||||||
Agency Bonds and Notes (0.1%) | ||||||
Federal Home Loan Banks | 3.125% | 6/13/25 | 6,300 | 6,897 | ||
Federal Home Loan Banks | 3.125% | 9/12/25 | 7,050 | 7,742 | ||
Federal Home Loan Banks | 2.500% | 12/10/27 | 8,450 | 9,142 | ||
Federal Home Loan Banks | 3.250% | 6/9/28 | 2,100 | 2,380 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Federal National Mortgage Assn. | 0.000% | 1/15/30 | 4,900 | 4,271 | |
5 | Tennessee Valley Authority | 2.875% | 2/1/27 | 1,280 | 1,400 | |
31,832 | ||||||
Conventional Mortgage-Backed Securities (26.8%) | ||||||
4,5 | Fannie Mae Pool | 3.000% | 3/1/43–1/1/50 | 25,555 | 26,747 | |
4,5 | Fannie Mae Pool | 3.500% | 7/1/47–2/1/50 | 45,465 | 47,487 | |
4,5 | Fannie Mae Pool | 5.000% | 10/1/49 | 1,035 | 1,108 | |
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–1/1/32 | 3,449 | 3,569 | |
4,5 | Freddie Mac Gold Pool | 2.500% | 4/1/27–3/1/47 | 15,740 | 16,535 | |
4,5 | Freddie Mac Gold Pool | 3.000% | 2/1/27–11/1/49 | 105,773 | 111,619 | |
4,5 | Freddie Mac Gold Pool | 3.500% | 12/1/25–2/1/50 | 174,863 | 184,533 | |
4,5 | Freddie Mac Gold Pool | 4.000% | 5/1/24–12/1/49 | 49,115 | 52,715 | |
4,5 | Freddie Mac Gold Pool | 4.500% | 1/1/22–11/1/49 | 49,596 | 54,566 | |
4,5 | Freddie Mac Gold Pool | 5.000% | 2/1/23–2/1/50 | 14,238 | 15,877 | |
4,5 | Freddie Mac Gold Pool | 5.500% | 2/1/32–8/1/40 | 16,867 | 19,201 | |
4,5 | Freddie Mac Gold Pool | 6.000% | 10/1/27–5/1/40 | 13,020 | 15,334 | |
4,5 | Freddie Mac Gold Pool | 6.500% | 2/1/29–9/1/39 | 6,037 | 6,933 | |
4,5 | Freddie Mac Gold Pool | 7.000% | 5/1/28–6/1/38 | 1,229 | 1,389 | |
4,5 | Freddie Mac Gold Pool | 7.500% | 3/1/30–5/1/38 | 1,588 | 1,843 | |
4,5 | Freddie Mac Gold Pool | 8.000% | 4/1/30–7/1/30 | 7 | 8 | |
5,6 | Ginnie Mae I Pool | 2.500% | 1/15/43–7/15/51 | 200,196 | 207,142 | |
5,6 | Ginnie Mae I Pool | 3.000% | 3/20/27–7/15/51 | 328,607 | 345,217 | |
5 | Ginnie Mae I Pool | 3.500% | 1/15/42–3/20/50 | 388,853 | 414,975 | |
5 | Ginnie Mae I Pool | 4.000% | 2/20/34–12/20/49 | 128,102 | 137,722 | |
5 | Ginnie Mae I Pool | 4.500% | 3/20/33–11/20/49 | 227,027 | 244,046 | |
5 | Ginnie Mae I Pool | 5.000% | 9/15/33–11/20/49 | 31,734 | 35,208 | |
5 | Ginnie Mae I Pool | 5.500% | 3/15/31–3/20/41 | 7,242 | 8,321 | |
5 | Ginnie Mae I Pool | 6.000% | 12/15/28–9/20/41 | 6,365 | 7,337 | |
5 | Ginnie Mae I Pool | 6.500% | 12/15/27–7/20/39 | 1,982 | 2,266 | |
5 | Ginnie Mae I Pool | 7.000% | 8/15/24–11/15/31 | 107 | 118 | |
5 | Ginnie Mae I Pool | 7.500% | 4/15/31–3/15/32 | 33 | 39 | |
5 | Ginnie Mae I Pool | 8.000% | 4/15/30–10/15/30 | 31 | 35 | |
5 | Ginnie Mae I Pool | 8.500% | 7/15/30 | 10 | 12 | |
5,6 | Ginnie Mae II Pool | 2.000% | 7/15/51 | 309,000 | 314,601 | |
4,5,6 | UMBS Pool | 1.500% | 7/25/36–7/25/51 | 244,500 | 243,980 | |
4,5,6 | UMBS Pool | 2.000% | 5/1/28–8/25/51 | 2,182,115 | 2,202,458 | |
4,5,6 | UMBS Pool | 2.500% | 9/1/27–8/25/51 | 1,573,821 | 1,630,177 | |
4,5,6 | UMBS Pool | 3.000% | 8/1/21–8/25/51 | 901,427 | 943,996 | |
4,5 | UMBS Pool | 3.500% | 1/1/22–1/1/51 | 655,488 | 697,903 | |
4,5 | UMBS Pool | 4.000% | 3/1/24–7/1/49 | 457,903 | 489,701 | |
4,5 | UMBS Pool | 4.500% | 5/1/23–4/1/50 | 155,095 | 169,361 | |
4,5 | UMBS Pool | 5.000% | 12/1/22–10/1/49 | 69,512 | 78,183 | |
4,5 | UMBS Pool | 5.500% | 2/1/22–5/1/44 | 130,360 | 152,769 | |
4,5 | UMBS Pool | 6.000% | 3/1/22–7/1/41 | 38,372 | 45,368 | |
4,5 | UMBS Pool | 6.500% | 7/1/29–6/1/40 | 5,625 | 6,470 | |
4,5 | UMBS Pool | 7.000% | 9/1/28–12/1/38 | 2,128 | 2,456 | |
4,5 | UMBS Pool | 7.500% | 8/1/30–6/1/32 | 129 | 152 | |
4,5 | UMBS Pool | 8.000% | 7/1/30–1/1/31 | 8 | 10 | |
4,5 | UMBS Pool | 8.500% | 12/1/30 | 6 | 7 | |
8,939,494 | ||||||
Nonconventional Mortgage-Backed Securities (1.0%) | ||||||
4,5,7 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.410% | 8/1/33 | 10 | 10 | |
4,5,7 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.535% | 8/1/33 | 15 | 16 | |
4,5,7 | Fannie Mae Pool, 12M USD LIBOR + 1.800% | 2.556% | 7/1/33 | 64 | 66 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,5,7 | Fannie Mae Pool, 12M USD LIBOR + 1.960% | 2.710% | 5/1/33 | 3 | 3 | |
4,5,7 | Fannie Mae Pool, 1YR CMT + 2.000% | 2.125% | 12/1/32 | 4 | 4 | |
4,5,7 | Fannie Mae Pool, 1YR CMT + 2.210% | 2.335% | 5/1/33 | 30 | 31 | |
4,5 | Fannie Mae REMICS | 1.750% | 5/25/43 | 17,339 | 17,626 | |
4,5 | Fannie Mae REMICS | 2.500% | 9/25/49–12/25/49 | 29,631 | 30,706 | |
4,5 | Fannie Mae REMICS | 2.750% | 8/25/47 | 10,304 | 10,673 | |
4,5 | Fannie Mae REMICS | 3.000% | 2/25/43–9/25/48 | 32,191 | 33,351 | |
4,5 | Fannie Mae REMICS | 3.500% | 10/25/44–6/25/48 | 24,015 | 25,104 | |
4,5 | Fannie Mae REMICS | 5.250% | 9/25/41 | 4,842 | 5,398 | |
4,5,7 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% | 2.537% | 8/1/37 | 47 | 50 | |
4,5,7 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 2.336% | 2/1/33 | 5 | 6 | |
4,5,7 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 2.461% | 10/1/32 | 9 | 9 | |
4,5 | Freddie Mac REMICS | 3.000% | 12/15/47 | 7,033 | 7,225 | |
4,5 | Freddie Mac REMICS | 3.500% | 6/15/38 | 21,435 | 21,691 | |
5 | Ginnie Mae REMICS | 3.000% | 8/20/46–7/20/48 | 81,514 | 85,383 | |
5 | Ginnie Mae REMICS | 3.500% | 4/20/48–2/20/49 | 74,887 | 80,072 | |
5 | Ginnie Mae REMICS | 4.000% | 10/20/47 | 3,437 | 3,677 | |
321,101 | ||||||
Total U.S. Government and Agency Obligations (Cost $19,389,244) | 19,453,039 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (9.3%) | ||||||
5 | Ally Auto Receivables Trust Series 2018-1 | 2.530% | 2/15/23 | 1,158 | 1,161 | |
5 | Ally Auto Receivables Trust Series 2018-3 | 3.000% | 1/17/23 | 269 | 270 | |
5 | Ally Auto Receivables Trust Series 2019-1 | 3.020% | 4/15/24 | 4,910 | 5,055 | |
5 | Ally Auto Receivables Trust Series 2019-3 | 1.930% | 5/15/24 | 10,217 | 10,319 | |
5 | Ally Auto Receivables Trust Series 2019-4 | 1.920% | 1/15/25 | 710 | 728 | |
5 | AmeriCredit Automobile Receivables Trust Series 2020-2 | 0.660% | 12/18/24 | 3,350 | 3,362 | |
5 | AmeriCredit Automobile Receivables Trust Series 2020-3 | 0.530% | 6/18/25 | 6,130 | 6,149 | |
5 | AmeriCredit Automobile Receivables Trust Series 2021-1 | 0.370% | 8/18/25 | 15,660 | 15,637 | |
5 | AmeriCredit Automobile Receivables Trust Series 2021-2 | 0.340% | 12/18/26 | 6,890 | 6,903 | |
5,8 | Aventura Mall Trust Series 2018-AVM | 4.249% | 7/5/40 | 160 | 182 | |
5,8 | Avis Budget Rental Car Funding AESOP LLC Series 2017-1A | 3.070% | 9/20/23 | 2,745 | 2,820 | |
5,8 | Avis Budget Rental Car Funding AESOP LLC Series 2019-1A | 3.450% | 3/20/23 | 4,430 | 4,501 | |
5 | BA Credit Card Trust Series 2021-A1 | 0.440% | 9/15/26 | 8,220 | 8,198 | |
5 | Banc of America Commercial Mortgage Trust Series 2015-UBS7 | 3.441% | 9/15/48 | 912 | 973 | |
5 | Banc of America Commercial Mortgage Trust Series 2017-BNK3 | 3.574% | 2/15/50 | 330 | 366 | |
5 | BANK Series 2017-BNK4 | 3.625% | 5/15/50 | 280 | 311 | |
5 | BANK Series 2017-BNK6 | 3.254% | 7/15/60 | 4,580 | 4,951 | |
5 | BANK Series 2017-BNK6 | 3.518% | 7/15/60 | 1,110 | 1,230 | |
5 | BANK Series 2017-BNK6 | 3.741% | 7/15/60 | 440 | 483 | |
5 | BANK Series 2017-BNK7 | 3.175% | 9/15/60 | 13,570 | 14,730 | |
5 | BANK Series 2017-BNK7 | 3.435% | 9/15/60 | 1,190 | 1,316 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | BANK Series 2017-BNK8 | 3.488% | 11/15/50 | 4,170 | 4,625 | |
5 | BANK Series 2018-BN10 | 3.641% | 2/15/61 | 1,030 | 1,127 | |
5 | BANK Series 2018-BN12 | 4.255% | 5/15/61 | 780 | 902 | |
5 | BANK Series 2018-BN14 | 4.185% | 9/15/60 | 160 | 180 | |
5 | BANK Series 2018-BN14 | 4.231% | 9/15/60 | 1,055 | 1,225 | |
5 | BANK Series 2019-BN17 | 3.623% | 4/15/52 | 285 | 317 | |
5 | BANK Series 2019-BN17 | 3.714% | 4/15/52 | 4,459 | 5,029 | |
5 | BANK Series 2019-BN19 | 3.183% | 8/15/61 | 3,910 | 4,274 | |
5 | BANK Series 2019-BN20 | 3.011% | 9/15/62 | 7,180 | 7,766 | |
5 | BANK Series 2019-BN23 | 2.846% | 12/15/52 | 1,900 | 2,045 | |
5 | BANK Series 2019-BN23 | 2.920% | 12/15/52 | 11,780 | 12,650 | |
5 | BANK Series 2019-BN24 | 2.960% | 11/15/62 | 30,620 | 33,006 | |
5 | BANK Series 2020-BN28 | 1.725% | 3/15/63 | 7,000 | 7,024 | |
5 | BANK Series 2020-BN30 | 1.673% | 12/15/53 | 5,050 | 5,062 | |
5 | Barclays Commercial Mortgage Trust Series 2019-C5 | 3.063% | 11/15/52 | 13,010 | 14,129 | |
5 | BBCMS Mortgage Trust Series 2020-C6 | 2.639% | 2/15/53 | 2,515 | 2,651 | |
5 | BBCMS Mortgage Trust Series 2020-C8 | 1.867% | 10/15/53 | 5,880 | 5,943 | |
5,6 | BBCMS Trust Series 2021-C10 | 2.492% | 7/15/54 | 5,750 | 5,967 | |
5 | Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | 1,360 | 1,504 | |
5 | Benchmark Mortgage Trust Series 2019-B10 | 3.615% | 3/15/62 | 305 | 339 | |
5 | Benchmark Mortgage Trust Series 2019-B15 | 2.859% | 12/15/72 | 5,250 | 5,646 | |
5 | Benchmark Mortgage Trust Series 2019-B15 | 2.928% | 12/15/72 | 20,500 | 22,043 | |
5 | Benchmark Mortgage Trust Series 2020-B16 | 2.732% | 2/15/53 | 3,320 | 3,518 | |
5 | Benchmark Mortgage Trust Series 2020-B19 | 1.745% | 9/15/53 | 7,163 | 7,192 | |
5 | Benchmark Mortgage Trust Series 2020-B21 | 1.798% | 12/17/53 | 4,400 | 4,456 | |
5 | Benchmark Mortgage Trust Series 2020-B22 | 1.731% | 1/15/54 | 4,550 | 4,585 | |
5 | BMW Vehicle Owner Trust Series 2018-A | 2.510% | 6/25/24 | 6,369 | 6,416 | |
5 | BMW Vehicle Owner Trust Series 2019-A | 1.920% | 1/25/24 | 18,421 | 18,602 | |
5 | BMW Vehicle Owner Trust Series 2020-A | 0.480% | 10/25/24 | 17,400 | 17,448 | |
5 | BMW Vehicle Owner Trust Series 2020-A | 0.620% | 4/26/27 | 2,720 | 2,726 | |
5,7 | Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 0.947% | 2/25/30 | 609 | 611 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2018-2A | 3.270% | 12/19/22 | 1,488 | 1,496 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2018-2A | 3.440% | 8/21/23 | 2,630 | 2,679 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2019-1A | 2.960% | 6/19/24 | 1,300 | 1,340 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.830% | 7/19/24 | 8,600 | 8,709 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.890% | 3/19/25 | 1,840 | 1,869 | |
5 | Cantor Commercial Real Estate Lending Series 2019-CF3 | 3.006% | 1/15/53 | 18,800 | 20,120 | |
5 | Capital One Multi-Asset Execution Trust Series 2019-A3 | 2.060% | 8/15/28 | 22,300 | 23,393 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Capital One Prime Auto Receivables Trust Series 2019-1 | 2.510% | 11/15/23 | 8,017 | 8,112 | |
5 | Capital One Prime Auto Receivables Trust Series 2019-1 | 2.560% | 10/15/24 | 4,210 | 4,339 | |
5 | Capital One Prime Auto Receivables Trust Series 2019-2 | 1.920% | 5/15/24 | 25,587 | 25,872 | |
5 | Capital One Prime Auto Receivables Trust Series 2020-1 | 1.600% | 11/15/24 | 14,610 | 14,799 | |
5 | Capital One Prime Auto Receivables Trust Series 2020-1 | 1.630% | 8/15/25 | 3,550 | 3,635 | |
5,8 | CARDS II Trust Series 2021-1A | 0.602% | 4/15/27 | 28,920 | 28,851 | |
5 | CarMax Auto Owner Trust Series 2017-3 | 2.220% | 11/15/22 | 4,997 | 5,008 | |
5 | CarMax Auto Owner Trust Series 2017-4 | 2.330% | 5/15/23 | 2,185 | 2,197 | |
5 | CarMax Auto Owner Trust Series 2018-1 | 2.640% | 6/15/23 | 7,400 | 7,482 | |
5 | CarMax Auto Owner Trust Series 2018-3 | 3.130% | 6/15/23 | 6,751 | 6,815 | |
5 | CarMax Auto Owner Trust Series 2018-3 | 3.270% | 3/15/24 | 4,300 | 4,423 | |
5 | CarMax Auto Owner Trust Series 2018-4 | 3.360% | 9/15/23 | 6,042 | 6,124 | |
5 | CarMax Auto Owner Trust Series 2018-4 | 3.480% | 2/15/24 | 4,290 | 4,464 | |
5 | CarMax Auto Owner Trust Series 2019-3 | 2.180% | 8/15/24 | 26,838 | 27,226 | |
5 | CarMax Auto Owner Trust Series 2019-3 | 2.300% | 4/15/25 | 5,000 | 5,178 | |
5 | CarMax Auto Owner Trust Series 2019-4 | 2.020% | 11/15/24 | 33,050 | 33,587 | |
5 | CarMax Auto Owner Trust Series 2019-4 | 2.130% | 7/15/25 | 4,790 | 4,959 | |
5 | CarMax Auto Owner Trust Series 2020-1 | 2.030% | 6/16/25 | 3,040 | 3,143 | |
5 | CarMax Auto Owner Trust Series 2020-3 | 0.620% | 3/17/25 | 25,850 | 25,949 | |
5 | CarMax Auto Owner Trust Series 2020-3 | 0.770% | 3/16/26 | 2,940 | 2,948 | |
5 | CarMax Auto Owner Trust Series 2021-2 | 0.520% | 2/17/26 | 13,880 | 13,898 | |
5 | CarMax Auto Owner Trust Series 2021-2 | 0.810% | 12/15/26 | 5,340 | 5,344 | |
5 | Carvana Auto Receivables Trust Series 2020-P1 | 0.610% | 10/8/26 | 2,650 | 2,638 | |
5 | CCUBS Commercial Mortgage Trust Series 2017-C1 | 3.283% | 11/15/50 | 5,000 | 5,397 | |
5 | CD Mortgage Trust Series 2016-CD1 | 2.459% | 8/10/49 | 17,590 | 18,152 | |
5 | CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | 2,710 | 2,879 | |
5 | CD Mortgage Trust Series 2017-CD3 | 3.631% | 2/10/50 | 1,250 | 1,383 | |
5 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 480 | 529 | |
5 | CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | 785 | 863 | |
5,8 | CFCRE Commercial Mortgage Trust Series 2011-C2 | 5.971% | 12/15/47 | 2,298 | 2,308 | |
5 | CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | 3,376 | 3,641 | |
5,8 | Chesapeake Funding II LLC Series 2018-1A | 3.040% | 4/15/30 | 3,656 | 3,665 | |
5,8 | Chesapeake Funding II LLC Series 2019-1A | 2.940% | 4/15/31 | 11,428 | 11,533 | |
5,8 | Chesapeake Funding II LLC Series 2019-2A | 1.950% | 9/15/31 | 9,224 | 9,323 | |
5,8 | Chesapeake Funding II LLC Series 2020-1A | 0.870% | 8/16/32 | 8,440 | 8,490 | |
5 | Citigroup Commercial Mortgage Trust Series 2013-GC11 | 3.093% | 4/10/46 | 1,527 | 1,584 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Citigroup Commercial Mortgage Trust Series 2014-GC19 | 3.753% | 3/10/47 | 108 | 114 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC19 | 4.023% | 3/10/47 | 8,709 | 9,343 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC21 | 3.575% | 5/10/47 | 621 | 650 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC21 | 3.855% | 5/10/47 | 15,000 | 16,103 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.356% | 7/10/47 | 503 | �� 530 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.622% | 7/10/47 | 1,575 | 1,694 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.863% | 7/10/47 | 275 | 295 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.372% | 10/10/47 | 1,480 | 1,568 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.635% | 10/10/47 | 15,000 | 16,202 | |
5 | Citigroup Commercial Mortgage Trust Series 2015-GC27 | 3.137% | 2/10/48 | 20 | 21 | |
5 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | 620 | 679 | |
5 | Citigroup Commercial Mortgage Trust Series 2016-GC36 | 3.349% | 2/10/49 | 2,600 | 2,787 | |
5 | Citigroup Commercial Mortgage Trust Series 2016-GC37 | 3.050% | 4/10/49 | 3,261 | 3,437 | |
5 | Citigroup Commercial Mortgage Trust Series 2016-GC37 | 3.314% | 4/10/49 | 4,000 | 4,337 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-C4 | 3.471% | 10/12/50 | 8,583 | 9,449 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | 4,560 | 4,876 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.465% | 9/15/50 | 2,460 | 2,720 | |
5 | Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | 65 | 75 | |
5 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 2.860% | 12/15/72 | 10,150 | 10,821 | |
5 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 3.042% | 12/15/72 | 8,630 | 9,379 | |
5 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 3.102% | 12/15/72 | 20,500 | 22,322 | |
5 | CNH Equipment Trust Series 2017-C | 2.080% | 2/15/23 | 425 | 426 | |
5 | CNH Equipment Trust Series 2020-A | 1.160% | 6/16/25 | 7,250 | 7,320 | |
5 | CNH Equipment Trust Series 2020-A | 1.510% | 4/15/27 | 2,040 | 2,088 | |
5 | COMM Mortgage Trust Series 2012-CR2 | 3.791% | 8/15/45 | 999 | 1,018 | |
5 | COMM Mortgage Trust Series 2012-CR4 | 2.853% | 10/15/45 | 1,357 | 1,389 | |
5 | COMM Mortgage Trust Series 2012-CR4 | 3.251% | 10/15/45 | 50 | 50 | |
5 | COMM Mortgage Trust Series 2012-CR5 | 2.771% | 12/10/45 | 580 | 595 | |
5 | COMM Mortgage Trust Series 2013-CR11 | 3.983% | 8/10/50 | 2,059 | 2,190 | |
5 | COMM Mortgage Trust Series 2013-CR11 | 4.258% | 8/10/50 | 922 | 989 | |
5 | COMM Mortgage Trust Series 2013-CR12 | 3.765% | 10/10/46 | 371 | 390 | |
5 | COMM Mortgage Trust Series 2013-CR12 | 4.046% | 10/10/46 | 2,128 | 2,258 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | COMM Mortgage Trust Series 2013-CR13 | 4.194% | 11/10/46 | 4,200 | 4,520 | |
5 | COMM Mortgage Trust Series 2013-CR8 | 3.612% | 6/10/46 | 10 | 11 | |
5 | COMM Mortgage Trust Series 2013-CR9 | 4.389% | 7/10/45 | 1,947 | 2,066 | |
5,8 | COMM Mortgage Trust Series 2013-CR9 | 4.413% | 7/10/45 | 2,331 | 2,410 | |
5 | COMM Mortgage Trust Series 2013-LC13 | 4.205% | 8/10/46 | 156 | 166 | |
5 | COMM Mortgage Trust Series 2013-LC6 | 2.941% | 1/10/46 | 748 | 768 | |
5 | COMM Mortgage Trust Series 2014-CR14 | 3.955% | 2/10/47 | 4,000 | 4,255 | |
5 | COMM Mortgage Trust Series 2014-CR14 | 4.236% | 2/10/47 | 1,068 | 1,151 | |
5 | COMM Mortgage Trust Series 2014-CR15 | 4.074% | 2/10/47 | 10 | 11 | |
5 | COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | 15,000 | 16,233 | |
5 | COMM Mortgage Trust Series 2014-CR17 | 4.174% | 5/10/47 | 330 | 355 | |
5 | COMM Mortgage Trust Series 2014-CR18 | 3.550% | 7/15/47 | 5,485 | 5,781 | |
5 | COMM Mortgage Trust Series 2014-CR18 | 3.828% | 7/15/47 | 4,082 | 4,409 | |
5 | COMM Mortgage Trust Series 2014-CR20 | 3.326% | 11/10/47 | 2,186 | 2,309 | |
5 | COMM Mortgage Trust Series 2014-LC17 | 3.917% | 10/10/47 | 1,587 | 1,729 | |
5 | COMM Mortgage Trust Series 2015-CR22 | 3.309% | 3/10/48 | 570 | 614 | |
5 | COMM Mortgage Trust Series 2015-CR24 | 3.432% | 8/10/48 | 2,466 | 2,618 | |
5 | COMM Mortgage Trust Series 2015-CR24 | 3.696% | 8/10/48 | 2,916 | 3,190 | |
5 | COMM Mortgage Trust Series 2015-CR25 | 3.759% | 8/10/48 | 1,838 | 2,021 | |
5 | COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | 3,386 | 3,702 | |
5 | COMM Mortgage Trust Series 2015-LC19 | 3.183% | 2/10/48 | 1,195 | 1,280 | |
5 | COMM Mortgage Trust Series 2019-GC44 | 2.873% | 8/15/57 | 2,050 | 2,203 | |
5 | COMM Mortgage Trust Series 2019-GC44 | 2.950% | 8/15/57 | 9,970 | 10,730 | |
5 | CSAIL Commercial Mortgage Trust Series 2015-C4 | 3.808% | 11/15/48 | 857 | 943 | |
5 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.210% | 11/15/49 | 3,283 | 3,464 | |
5 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | 2,713 | 2,962 | |
5 | CSAIL Commercial Mortgage Trust Series 2017-C8 | 3.392% | 6/15/50 | 1,280 | 1,394 | |
5 | CSAIL Commercial Mortgage Trust Series 2019-C18 | 2.968% | 12/15/52 | 17,500 | 18,746 | |
5 | CSAIL Commercial Mortgage Trust Series 2020-C19 | 2.561% | 3/15/53 | 4,500 | 4,676 | |
5,8 | Daimler Trucks Retail Trust Series 2019-1 | 2.770% | 8/15/22 | 17,904 | 18,000 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | Daimler Trucks Retail Trust Series 2019-1 | 2.790% | 5/15/25 | 7,420 | 7,533 | |
5 | DBJPM Mortgage Trust Series 2016-C3 | 2.632% | 8/10/49 | 9,200 | 9,640 | |
5 | DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | 3,210 | 3,517 | |
5,8 | Dell Equipment Finance Trust Series 2020-2 | 0.470% | 10/24/22 | 12,758 | 12,774 | |
5,8 | Dell Equipment Finance Trust Series 2020-2 | 0.570% | 10/23/23 | 11,550 | 11,579 | |
5,8 | DLL LLC Series 2019-DA1 | 2.890% | 4/20/23 | 2,202 | 2,218 | |
5,8 | DLL LLC Series 2019-MT3 | 2.080% | 2/21/23 | 15,085 | 15,185 | |
5,8 | DLL LLC Series 2019-MT3 | 2.150% | 9/21/26 | 10,200 | 10,392 | |
5,8 | DLLAA LLC Series 2021-1A | 0.670% | 4/17/26 | 12,100 | 12,092 | |
5 | Drive Auto Receivables Trust Series 2021-1 | 0.440% | 11/15/24 | 9,520 | 9,539 | |
5,7,8 | Edsouth Indenture No. 9 LLC Series 2015-1, 1M USD LIBOR + 0.800% | 0.892% | 10/25/56 | 200 | 202 | |
5,8 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 7,796 | ��� 7,896 | |
5,8 | Enterprise Fleet Financing LLC Series 2020-1 | 1.780% | 12/22/25 | 5,819 | 5,889 | |
5,8 | Enterprise Fleet Financing LLC Series 2020-2 | 0.610% | 7/20/26 | 10,348 | 10,378 | |
5,8 | Enterprise Fleet Funding LLC Series 2021-1 | 0.440% | 12/21/26 | 7,520 | 7,520 | |
5,8 | FirstKey Homes Trust Series 2020-SFR2 | 1.266% | 10/19/37 | 2,594 | 2,578 | |
5,8 | Flagship Credit Auto Trust Series 2020-2 | 1.490% | 7/15/24 | 2,661 | 2,674 | |
5 | Ford Credit Auto Lease Trust Series 2020-B | 0.690% | 10/15/23 | 4,470 | 4,489 | |
5,8 | Ford Credit Auto Owner Trust Series 2018-1 | 3.190% | 7/15/31 | 6,690 | 7,216 | |
5 | Ford Credit Auto Owner Trust Series 2018-B | 3.240% | 4/15/23 | 8,073 | 8,142 | |
5 | Ford Credit Auto Owner Trust Series 2018-B | 3.380% | 3/15/24 | 8,300 | 8,529 | |
5,8 | Ford Credit Auto Owner Trust Series 2019-1 | 3.520% | 7/15/30 | 13,211 | 14,196 | |
5 | Ford Credit Auto Owner Trust Series 2019-A | 2.780% | 9/15/23 | 21,481 | 21,727 | |
5 | Ford Credit Auto Owner Trust Series 2019-A | 2.850% | 8/15/24 | 18,600 | 19,292 | |
5,8 | Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | 2,940 | 3,051 | |
5 | Ford Credit Auto Owner Trust Series 2020-A | 1.040% | 8/15/24 | 7,830 | 7,890 | |
5 | Ford Credit Auto Owner Trust Series 2020-A | 1.350% | 7/15/25 | 2,250 | 2,295 | |
5 | Ford Credit Auto Owner Trust Series 2020-B | 0.560% | 10/15/24 | 43,000 | 43,153 | |
5 | Ford Credit Auto Owner Trust Series 2020-B | 0.790% | 11/15/25 | 27,800 | 27,979 | |
5 | Ford Credit Auto Owner Trust Series 2020-C | 0.510% | 8/15/26 | 10,470 | 10,387 | |
5 | Ford Credit Floorplan Master Owner Trust A Series 2018-3 | 3.520% | 10/15/23 | 7,915 | 7,991 | |
5 | Ford Credit Floorplan Master Owner Trust A Series 2019-1 | 2.840% | 3/15/24 | 14,900 | 15,176 | |
5 | Ford Credit Floorplan Master Owner Trust A Series 2019-3 | 2.230% | 9/15/24 | 37,695 | 38,579 | |
5 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 16,880 | 16,964 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | 13,150 | 13,167 | |
5 | GM Financial Automobile Leasing Trust Series 2020-2 | 1.010% | 7/22/24 | 1,640 | 1,657 | |
5 | GM Financial Automobile Leasing Trust Series 2020-3 | 0.450% | 8/21/23 | 11,650 | 11,672 | |
5 | GM Financial Automobile Leasing Trust Series 2020-3 | 0.510% | 10/21/24 | 3,180 | 3,190 | |
5 | GM Financial Automobile Leasing Trust Series 2021-2 | 0.340% | 5/20/24 | 26,760 | 26,709 | |
5 | GM Financial Automobile Leasing Trust Series 2021-2 | 0.410% | 5/20/25 | 3,830 | 3,820 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2018-2 | 3.020% | 12/18/23 | 4,430 | 4,498 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2018-3 | 3.020% | 5/16/23 | 5,186 | 5,227 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2018-3 | 3.160% | 1/16/24 | 5,820 | 5,959 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2018-4 | 3.210% | 10/16/23 | 5,633 | 5,697 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-1 | 3.110% | 7/16/24 | 11,470 | 11,815 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-2 | 2.650% | 2/16/24 | 14,469 | 14,648 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-2 | 2.710% | 8/16/24 | 8,260 | 8,509 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-3 | 2.180% | 4/16/24 | 11,192 | 11,318 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-4 | 1.750% | 7/16/24 | 23,211 | 23,432 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2019-4 | 1.760% | 1/16/25 | 3,710 | 3,794 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2020-1 | 1.840% | 9/16/24 | 8,640 | 8,736 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2020-3 | 0.580% | 1/16/26 | 4,500 | 4,510 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.350% | 10/16/25 | 8,920 | 8,904 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.540% | 5/17/27 | 5,840 | 5,788 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2021-2 | 0.510% | 4/16/26 | 7,850 | 7,863 | |
5 | GM Financial Consumer Automobile Receivables Trust Series 2021-2 | 0.820% | 10/16/26 | 6,480 | 6,494 | |
5,8 | GMF Floorplan Owner Revolving Trust Series 2019-2 | 2.900% | 4/15/26 | 12,600 | 13,434 | |
5,8 | GMF Floorplan Owner Revolving Trust Series 2020-1 | 0.680% | 8/15/25 | 5,520 | 5,538 | |
5,8 | GMF Floorplan Owner Revolving Trust Series 2020-2 | 0.690% | 10/15/25 | 13,590 | 13,645 | |
5,8 | Golden Credit Card Trust Series 2018-4A | 3.440% | 8/15/25 | 25,470 | 27,037 | |
5,7,8 | Gosforth Funding plc Series 2018-1A, 3M USD LIBOR + 0.450% | 0.597% | 8/25/60 | 3,909 | 3,914 | |
5,8 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 1,747 | 1,757 | |
5,8 | GreatAmerica Leasing Receivables Funding LLC Series 2019-1 | 3.210% | 2/18/25 | 4,110 | 4,238 | |
5,8 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | 14,300 | 14,514 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | GS Mortgage Securities Corp. II Series 2018-GS10 | 4.155% | 7/10/51 | 720 | 827 | |
5,8 | GS Mortgage Securities Trust Series 2012-GC6 | 4.948% | 1/10/45 | 233 | 235 | |
5 | GS Mortgage Securities Trust Series 2013-GC12 | 3.135% | 6/10/46 | 1,055 | 1,097 | |
5 | GS Mortgage Securities Trust Series 2013-GC14 | 3.955% | 8/10/46 | 30 | 31 | |
5 | GS Mortgage Securities Trust Series 2014-GC20 | 3.998% | 4/10/47 | 15,000 | 16,058 | |
5 | GS Mortgage Securities Trust Series 2014-GC24 | 3.931% | 9/10/47 | 210 | 228 | |
5 | GS Mortgage Securities Trust Series 2014-GC24 | 4.162% | 9/10/47 | 140 | 151 | |
5 | GS Mortgage Securities Trust Series 2014-GC26 | 3.364% | 11/10/47 | 1,663 | 1,757 | |
5 | GS Mortgage Securities Trust Series 2014-GC26 | 3.629% | 11/10/47 | 3,140 | 3,393 | |
5 | GS Mortgage Securities Trust Series 2015-GC28 | 3.136% | 2/10/48 | 87 | 92 | |
5 | GS Mortgage Securities Trust Series 2015-GC28 | 3.396% | 2/10/48 | 40 | 43 | |
5 | GS Mortgage Securities Trust Series 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 | |
5 | GS Mortgage Securities Trust Series 2015-GC32 | 3.498% | 7/10/48 | 7,000 | 7,511 | |
5 | GS Mortgage Securities Trust Series 2015-GC34 | 3.244% | 10/10/48 | 2,024 | 2,136 | |
5 | GS Mortgage Securities Trust Series 2015-GC34 | 3.506% | 10/10/48 | 1,720 | 1,872 | |
5 | GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | 180 | 192 | |
5 | GS Mortgage Securities Trust Series 2017-GS6 | 3.433% | 5/10/50 | 2,490 | 2,739 | |
5 | GS Mortgage Securities Trust Series 2019-GC38 | 3.968% | 2/10/52 | 2,600 | 2,973 | |
5 | GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | 1,170 | 1,277 | |
5 | GS Mortgage Securities Trust Series 2020-GC45 | 2.843% | 2/13/53 | 5,550 | 5,962 | |
5 | GS Mortgage Securities Trust Series 2020-GC45 | 2.911% | 2/13/53 | 16,325 | 17,525 | |
5 | GS Mortgage Securities Trust Series 2020-GSA2 | 2.012% | 12/12/53 | 9,640 | 9,626 | |
5 | Harley-Davidson Motorcycle Trust Series 2019-A | 2.340% | 2/15/24 | 7,861 | 7,931 | |
5 | Harley-Davidson Motorcycle Trust Series 2019-A | 2.390% | 11/15/26 | 2,960 | 3,042 | |
5 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.870% | 10/15/24 | 6,220 | 6,283 | |
5 | Harley-Davidson Motorcycle Trust Series 2020-A | 1.930% | 4/15/27 | 2,000 | 2,055 | |
5 | Harley-Davidson Motorcycle Trust Series 2021-A | 0.370% | 4/15/26 | 8,180 | 8,169 | |
5,8 | Hertz Vehicle Financing II LP Series 2016-2A | 2.950% | 3/25/22 | 339 | 339 | |
5,8 | Hertz Vehicle Financing III LP Series 2021-2A | 1.680% | 12/27/27 | 15,600 | 15,637 | |
5,8 | Hilton USA Trust Series 2016-HHV | 3.719% | 11/5/38 | 30 | 33 | |
5 | Honda Auto Receivables Owner Trust Series 2018-3 | 3.070% | 11/21/24 | 5,020 | 5,085 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Honda Auto Receivables Owner Trust Series 2018-4 | 3.300% | 7/15/25 | 9,400 | 9,645 | |
5 | Honda Auto Receivables Owner Trust Series 2019-1 | 2.900% | 6/18/24 | 5,000 | 5,118 | |
5 | Honda Auto Receivables Owner Trust Series 2019-2 | 2.520% | 6/21/23 | 8,682 | 8,791 | |
5 | Honda Auto Receivables Owner Trust Series 2019-2 | 2.540% | 3/21/25 | 2,530 | 2,601 | |
5 | Honda Auto Receivables Owner Trust Series 2019-3 | 1.780% | 8/15/23 | 31,050 | 31,334 | |
5 | Honda Auto Receivables Owner Trust Series 2019-3 | 1.850% | 8/15/25 | 3,640 | 3,720 | |
5 | Honda Auto Receivables Owner Trust Series 2020-1 | 1.610% | 4/22/24 | 30,170 | 30,587 | |
5 | Honda Auto Receivables Owner Trust Series 2020-2 | 0.820% | 7/15/24 | 16,600 | 16,706 | |
5 | Honda Auto Receivables Owner Trust Series 2020-2 | 1.090% | 10/15/26 | 4,300 | 4,363 | |
5 | Honda Auto Receivables Owner Trust Series 2020-3 | 0.460% | 4/19/27 | 5,290 | 5,273 | |
5 | Honda Auto Receivables Owner Trust Series 2021-2 | 0.330% | 8/15/25 | 18,810 | 18,746 | |
5 | Honda Auto Receivables Owner Trust Series 2021-2 | 0.550% | 8/16/27 | 7,710 | 7,691 | |
5,8 | HPEFS Equipment Trust Series 2019-1A | 2.210% | 9/20/29 | 1,101 | 1,105 | |
5,8 | HPEFS Equipment Trust Series 2020-1A | 1.760% | 2/20/30 | 4,800 | 4,843 | |
5,8 | Hyundai Auto Lease Securitization Trust Series 2020-B | 0.510% | 9/15/23 | 14,830 | 14,873 | |
5,8 | Hyundai Auto Lease Securitization Trust Series 2020-B | 0.580% | 6/17/24 | 2,490 | 2,499 | |
5,8 | Hyundai Auto Lease Securitization Trust Series 2021-A | 0.420% | 12/16/24 | 3,490 | 3,492 | |
5,8 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.330% | 6/17/24 | 4,060 | 4,053 | |
5,8 | Hyundai Auto Lease Securitization Trust Series 2021-B | 0.380% | 8/15/25 | 4,300 | 4,288 | |
5 | Hyundai Auto Receivables Trust Series 2019-A | 2.710% | 5/15/25 | 6,050 | 6,228 | |
5 | Hyundai Auto Receivables Trust Series 2019-B | 1.940% | 2/15/24 | 9,148 | 9,239 | |
5 | Hyundai Auto Receivables Trust Series 2019-B | 2.000% | 4/15/25 | 5,740 | 5,911 | |
5 | Hyundai Auto Receivables Trust Series 2020-A | 1.410% | 11/15/24 | 14,260 | 14,465 | |
5 | Hyundai Auto Receivables Trust Series 2020-A | 1.720% | 6/15/26 | 9,420 | 9,693 | |
5 | Hyundai Auto Receivables Trust Series 2020-B | 0.480% | 12/16/24 | 22,790 | 22,830 | |
5 | Hyundai Auto Receivables Trust Series 2020-B | 0.620% | 12/15/25 | 5,050 | 5,056 | |
5 | Hyundai Auto Receivables Trust Series 2021-A | 0.380% | 9/15/25 | 15,820 | 15,816 | |
5 | Hyundai Auto Receivables Trust Series 2021-A | 0.620% | 5/17/27 | 12,470 | 12,437 | |
5 | John Deere Owner Trust Series 2019-A | 3.000% | 1/15/26 | 4,270 | 4,376 | |
5 | John Deere Owner Trust Series 2019-B | 2.210% | 12/15/23 | 6,729 | 6,811 | |
5 | John Deere Owner Trust Series 2020-B | 0.510% | 11/15/24 | 9,160 | 9,176 | |
5 | John Deere Owner Trust Series 2020-B | 0.720% | 6/15/27 | 2,410 | 2,423 | |
5,8 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2011-C5 | 5.611% | 8/15/46 | 1,383 | 1,387 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-C6 | 3.507% | 5/15/45 | 314 | 319 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 3.994% | 1/15/46 | 2,612 | 2,766 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | 184 | 194 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,340 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 | 2.960% | 4/15/46 | 2,841 | 2,946 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP3 | 2.870% | 8/15/49 | 1,525 | 1,624 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.363% | 7/15/45 | 1,220 | 1,263 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.664% | 7/15/45 | 3,137 | 3,291 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 4.175% | 7/15/45 | 1,465 | 1,544 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2013-C14 | 4.133% | 8/15/46 | 379 | 397 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2013-C17 | 4.199% | 1/15/47 | 4,238 | 4,561 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.079% | 2/15/47 | 3,930 | 4,228 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 450 | 484 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C19 | 3.997% | 4/15/47 | 165 | 177 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C21 | 3.493% | 8/15/47 | 149 | 157 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C24 | 3.639% | 11/15/47 | 1,144 | 1,233 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C26 | 3.231% | 1/15/48 | 84 | 88 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C26 | 3.494% | 1/15/48 | 15,000 | 16,196 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2015-C27 | 3.179% | 2/15/48 | 110 | 117 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | 250 | 273 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.598% | 11/15/48 | 3,489 | 3,778 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP5 | 3.723% | 3/15/50 | 5,080 | 5,647 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 | 3.224% | 7/15/50 | 3,830 | 4,145 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 | 3.490% | 7/15/50 | 2,170 | 2,392 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP7 | 3.454% | 9/15/50 | 895 | 987 | |
5 | JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | 400 | 434 | |
5 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.409% | 10/15/50 | 360 | 397 | |
5 | JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | 60 | 69 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | Kubota Credit Owner Trust Series 2020-1A | 1.960% | 3/15/24 | 7,570 | 7,716 | |
5,8 | Kubota Credit Owner Trust Series 2020-2A | 0.590% | 10/15/24 | 11,050 | 11,054 | |
5,8 | Kubota Credit Owner Trust Series 2020-2A | 0.730% | 6/15/26 | 3,000 | 2,989 | |
5,8 | Lanark Master Issuer plc Series 2020-1A | 2.277% | 12/22/69 | 1,550 | 1,581 | |
5,8 | Master Credit Card Trust Series 2021-1A | 0.530% | 11/21/25 | 27,400 | 27,319 | |
5 | Mercedes-Benz Auto Lease Trust Series 2020-B | 0.500% | 6/15/26 | 2,720 | 2,725 | |
5 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.400% | 11/15/24 | 15,470 | 15,463 | |
5 | Mercedes-Benz Auto Lease Trust Series 2021-B | 0.510% | 3/15/27 | 8,120 | 8,112 | |
5 | Mercedes-Benz Auto Receivables Trust Series 2018-1 | 3.150% | 10/15/24 | 11,460 | 11,721 | |
5 | Mercedes-Benz Auto Receivables Trust Series 2019-1 | 2.040% | 1/15/26 | 11,300 | 11,605 | |
5 | Mercedes-Benz Auto Receivables Trust Series 2020-1 | 0.550% | 2/18/25 | 19,060 | 19,133 | |
5 | Mercedes-Benz Auto Receivables Trust Series 2020-1 | 0.770% | 10/15/26 | 5,050 | 5,077 | |
5,8 | MMAF Equipment Finance LLC Series 2015-AA | 2.490% | 2/19/36 | 105 | 106 | |
5,8 | MMAF Equipment Finance LLC Series 2016-AA | 2.210% | 12/15/32 | 6,130 | 6,253 | |
5,8 | MMAF Equipment Finance LLC Series 2017-AA | 2.410% | 8/16/24 | 2,084 | 2,092 | |
5,8 | MMAF Equipment Finance LLC Series 2017-AA | 2.680% | 7/16/27 | 3,090 | 3,154 | |
5,8 | MMAF Equipment Finance LLC Series 2018-A | 3.390% | 1/10/25 | 4,730 | 4,866 | |
5,8 | MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | 2,580 | 2,759 | |
5,8 | MMAF Equipment Finance LLC Series 2019-A | 3.080% | 11/12/41 | 4,430 | 4,697 | |
5,8 | MMAF Equipment Finance LLC Series 2020-BA | 0.850% | 4/14/42 | 4,800 | 4,772 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6 | 2.858% | 11/15/45 | 951 | 970 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 | 4.217% | 7/15/46 | 5,387 | 5,684 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 | 3.960% | 8/15/46 | 1,236 | 1,283 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 | 4.296% | 8/15/46 | 190 | 199 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 | 4.259% | 10/15/46 | 150 | 160 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13 | 4.039% | 11/15/46 | 85 | 91 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14 | 4.064% | 2/15/47 | 400 | 430 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14 | 4.384% | 2/15/47 | 200 | 215 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 3.773% | 4/15/47 | 1,681 | 1,785 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 4.051% | 4/15/47 | 2,800 | 3,016 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 3.892% | 6/15/47 | 1,738 | 1,868 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.094% | 6/15/47 | 330 | 354 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17 | 3.741% | 8/15/47 | 370 | 398 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C18 | 3.923% | 10/15/47 | 60 | 65 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19 | 3.526% | 12/15/47 | 10 | 11 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20 | 3.249% | 2/15/48 | 60 | 64 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.451% | 7/15/50 | 11,118 | 11,927 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.719% | 7/15/50 | 7,440 | 8,153 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.372% | 10/15/48 | 2,500 | 2,684 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.635% | 10/15/48 | 4,848 | 5,315 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | 2,055 | 2,215 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.459% | 12/15/49 | 5,600 | 6,091 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | 3,763 | 4,191 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | 1,250 | 1,387 | |
5 | Morgan Stanley Capital I Series 2017-HR2 | 3.509% | 12/15/50 | 1,260 | 1,369 | |
5 | Morgan Stanley Capital I Series 2017-HR2 | 3.587% | 12/15/50 | 4,257 | 4,735 | |
5,6 | Morgan Stanley Capital I Inc. Series 2021-L6 | 2.444% | 6/15/54 | 2,600 | 2,678 | |
5 | Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | 7,386 | 8,136 | |
5 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | 1,590 | 1,674 | |
5 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | 760 | 821 | |
5 | Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | 487 | 519 | |
5 | Morgan Stanley Capital I Trust Series 2016-UBS9 | 3.594% | 3/15/49 | 5,373 | 5,859 | |
5 | Morgan Stanley Capital I Trust Series 2019-L3 | 3.127% | 11/15/52 | 13,640 | 14,820 | |
5,7,8 | Navient Student Loan Trust Series 2016-2A, 1M USD LIBOR + 1.050% | 1.141% | 6/25/65 | 318 | 319 | |
5,7,8 | Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 0.842% | 3/25/66 | 3,227 | 3,236 | |
5,7,8 | Navient Student Loan Trust Series 2017-1A, 1M USD LIBOR + 0.750% | 0.842% | 7/26/66 | 2,842 | 2,845 | |
5 | Nissan Auto Lease Trust Series 2020-B | 0.430% | 10/16/23 | 14,820 | 14,851 | |
5 | Nissan Auto Lease Trust Series 2020-B | 0.490% | 1/15/26 | 3,420 | 3,431 | |
5 | Nissan Auto Receivables Owner Trust Series 2017-C | 2.280% | 2/15/24 | 16,301 | 16,392 | |
5 | Nissan Auto Receivables Owner Trust Series 2018-B | 3.160% | 12/16/24 | 6,700 | 6,882 | |
5 | Nissan Auto Receivables Owner Trust Series 2019-A | 3.000% | 9/15/25 | 5,690 | 5,914 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.500% | 11/15/23 | 9,311 | 9,453 | |
5 | Nissan Auto Receivables Owner Trust Series 2019-B | 2.540% | 12/15/25 | 2,500 | 2,580 | |
5 | Nissan Auto Receivables Owner Trust Series 2020-A | 1.380% | 12/16/24 | 20,890 | 21,156 | |
5 | Nissan Auto Receivables Owner Trust Series 2020-A | 1.700% | 5/17/27 | 6,910 | 7,106 | |
5 | Nissan Auto Receivables Owner Trust Series 2020-B | 0.550% | 7/15/24 | 23,110 | 23,184 | |
5 | Nissan Auto Receivables Owner Trust Series 2020-B | 0.710% | 2/16/27 | 3,240 | 3,260 | |
5,8 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 1,250 | 1,150 | |
5,7,8 | Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 0.955% | 1/16/60 | 285 | 285 | |
5,7,8 | Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 1.091% | 6/20/60 | 3,254 | 3,253 | |
5,7,8 | Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 1.033% | 8/18/60 | 2,053 | 2,052 | |
5,8 | PFS Financing Corp. Series 2020-A | 1.270% | 6/15/25 | 3,000 | 3,043 | |
5,7,8 | PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 1.042% | 11/25/65 | 2,471 | 2,496 | |
5,7,8 | RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 0.930% | 12/5/59 | 400 | 401 | |
5,7,8 | RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 0.927% | 4/10/50 | 1,673 | 1,673 | |
5,7,8 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 0.877% | 11/10/49 | 261 | 261 | |
5,8 | RESIMAC Premier Series 2020-1A | 1.274% | 2/7/52 | 2,060 | 2,060 | |
5 | Santander Drive Auto Receivables Trust Series 2020-2 | 0.670% | 4/15/24 | 3,890 | 3,895 | |
5 | Santander Drive Auto Receivables Trust Series 2020-3 | 0.520% | 7/15/24 | 13,870 | 13,890 | |
5 | Santander Drive Auto Receivables Trust Series 2020-4 | 0.480% | 7/15/24 | 5,720 | 5,729 | |
5 | Santander Drive Auto Receivables Trust Series 2021-1 | 0.320% | 9/16/24 | 11,940 | 11,949 | |
5,8 | Santander Retail Auto Lease Trust Series 2019-A | 2.770% | 6/20/22 | 2,644 | 2,655 | |
5,8 | Santander Retail Auto Lease Trust Series 2020-A | 1.740% | 7/20/23 | 13,620 | 13,834 | |
5,8 | Santander Retail Auto Lease Trust Series 2020-A | 1.760% | 3/20/24 | 1,490 | 1,521 | |
5,8 | Santander Retail Auto Lease Trust Series 2020-B | 0.650% | 12/20/24 | 4,600 | 4,611 | |
5,8 | Santander Retail Auto Lease Trust Series 2021-B | 0.510% | 8/20/24 | 22,520 | 22,467 | |
5,8 | Santander Retail Auto Lease Trust Series 2021-B | 0.540% | 6/20/25 | 5,540 | 5,522 | |
5,8 | Securitized Term Auto Receivables Trust Series 2018-1A | 3.298% | 11/25/22 | 1,804 | 1,817 | |
5,8 | Securitized Term Auto Receivables Trust Series 2018-2A | 3.544% | 6/26/23 | 5,000 | 5,066 | |
5,8 | SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | 153 | 157 | |
5,8 | SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | 310 | 322 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | 614 | 647 | |
5,8 | SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | 1,059 | 1,108 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-A | 2.400% | 3/26/40 | 25 | 25 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | 123 | 125 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | 138 | 141 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | 119 | 121 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | 201 | 206 | |
5,8 | SoFi Professional Loan Program LLC Series 2018-A | 2.950% | 2/25/42 | 80 | 81 | |
5 | Synchrony Credit Card Master Note Trust Series 2017-2 | 2.620% | 10/15/25 | 6,490 | 6,688 | |
5,8 | Tesla Auto Lease Trust Series 2020-A | 0.680% | 12/20/23 | 4,140 | 4,160 | |
5,8 | Tesla Auto Lease Trust Series 2020-A | 0.780% | 12/20/23 | 750 | 755 | |
5,8 | TMSQ Mortgage Trust Series 2014-1500 | 3.680% | 10/10/36 | 100 | 106 | |
5,8 | Toyota Auto Loan Extended Note Trust Series 2019-1A | 2.560% | 11/25/31 | 550 | 580 | |
5,8 | Toyota Auto Loan Extended Note Trust Series 2020-1A | 1.350% | 5/25/33 | 8,600 | 8,727 | |
5,8 | Toyota Auto Loan Extended Note Trust Series 2021-1A | 1.070% | 2/27/34 | 23,810 | 23,836 | |
5 | Toyota Auto Receivables Owner Trust Series 2018-B | 3.110% | 11/15/23 | 10,350 | 10,534 | |
5 | Toyota Auto Receivables Owner Trust Series 2018-C | 3.130% | 2/15/24 | 14,720 | 15,081 | |
5 | Toyota Auto Receivables Owner Trust Series 2019-A | 2.910% | 7/17/23 | 25,498 | 25,833 | |
5 | Toyota Auto Receivables Owner Trust Series 2019-A | 3.000% | 5/15/24 | 3,800 | 3,931 | |
5 | Toyota Auto Receivables Owner Trust Series 2019-C | 1.910% | 9/15/23 | 30,025 | 30,339 | |
5 | Toyota Auto Receivables Owner Trust Series 2019-D | 1.990% | 2/18/25 | 6,850 | 7,056 | |
5 | Toyota Auto Receivables Owner Trust Series 2020-A | 1.680% | 5/15/25 | 6,600 | 6,778 | |
5 | Toyota Auto Receivables Owner Trust Series 2020-B | 1.360% | 8/15/24 | 11,210 | 11,356 | |
5 | Toyota Auto Receivables Owner Trust Series 2020-B | 1.660% | 9/15/25 | 4,570 | 4,692 | |
5 | Toyota Auto Receivables Owner Trust Series 2020-C | 0.570% | 10/15/25 | 4,700 | 4,693 | |
5,8 | Toyota Lease Owner Trust Series 2021-A | 0.390% | 4/22/24 | 21,350 | 21,363 | |
5,8 | Toyota Lease Owner Trust Series 2021-A | 0.500% | 8/20/25 | 3,840 | 3,838 | |
5,8 | Trafigura Securitisation Finance plc Series 2018-1A | 3.730% | 3/15/22 | 3,800 | 3,825 | |
5 | UBS Commercial Mortgage Trust Series 2012-C1 | 4.171% | 5/10/45 | 273 | 279 | |
5 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | 2,795 | 3,088 | |
5 | UBS Commercial Mortgage Trust Series 2019-C16 | 3.460% | 4/15/52 | 483 | 531 | |
5,8 | UBS-BAMLL Trust Series 2012-WRM | 3.663% | 6/10/30 | 4,409 | 4,400 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.244% | 4/10/46 | 220 | 228 | |
5 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | 150 | 155 | |
5 | Verizon Master Trust Series 2021-1 | 0.500% | 5/20/27 | 30,100 | 30,030 | |
5 | Verizon Owner Trust Series 2020-A | 1.850% | 7/22/24 | 10,310 | 10,487 | |
5 | Verizon Owner Trust Series 2020-B | 0.470% | 2/20/25 | 10,590 | 10,618 | |
5 | Volkswagen Auto Loan Enhanced Trust Series 2018-1 | 3.020% | 11/21/22 | 3,200 | 3,216 | |
5 | Volkswagen Auto Loan Enhanced Trust Series 2018-1 | 3.150% | 7/22/24 | 5,610 | 5,687 | |
5 | Volkswagen Auto Loan Enhanced Trust Series 2018-2 | 3.250% | 4/20/23 | 10,592 | 10,702 | |
5 | Volkswagen Auto Loan Enhanced Trust Series 2020-1 | 0.980% | 11/20/24 | 23,190 | 23,363 | |
5 | Volkswagen Auto Loan Enhanced Trust Series 2020-1 | 1.260% | 8/20/26 | 3,400 | 3,458 | |
5,8 | Volvo Financial Equipment LLC Series 2020-1A | 0.510% | 10/15/24 | 12,100 | 12,131 | |
5,8 | Volvo Financial Equipment LLC Series 2020-1A | 0.600% | 3/15/28 | 2,300 | 2,314 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2012-LC5 | 3.539% | 10/15/45 | 626 | 645 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.218% | 7/15/46 | 315 | 332 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2014-LC18 | 3.405% | 12/15/47 | 10 | 11 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-C27 | 3.190% | 2/15/48 | 102 | 107 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-C29 | 3.637% | 6/15/48 | 3,199 | 3,492 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-C30 | 3.664% | 9/15/58 | 2,380 | 2,606 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-LC22 | 3.839% | 9/15/58 | 7,485 | 8,256 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 | 2.652% | 8/15/49 | 300 | 318 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2016-C32 | 3.560% | 1/15/59 | 2,139 | 2,345 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | 1,810 | 1,963 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C38 | 3.453% | 7/15/50 | 1,285 | 1,417 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | 30 | 32 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.581% | 10/15/50 | 3,040 | 3,367 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C41 | 3.472% | 11/15/50 | 3,160 | 3,483 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C42 | 3.589% | 12/15/50 | 4,890 | 5,437 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | 396 | 438 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | 1,095 | 1,259 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2018-C47 | 4.442% | 9/15/61 | 870 | 1,020 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2018-C48 | 4.245% | 1/15/52 | 980 | 1,105 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | 310 | 349 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Wells Fargo Commercial Mortgage Trust Series 2020-C58 | 1.849% | 7/15/53 | 2,850 | 2,883 | |
5 | WFRBS Commercial Mortgage Trust Series 2012-C9 | 3.388% | 11/15/45 | 633 | 651 | |
5 | WFRBS Commercial Mortgage Trust Series 2013-C15 | 4.153% | 8/15/46 | 255 | 269 | |
5 | WFRBS Commercial Mortgage Trust Series 2013-C18 | 4.162% | 12/15/46 | 1,665 | 1,795 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 3.829% | 3/15/47 | 1,640 | 1,743 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C19 | 4.101% | 3/15/47 | 1,215 | 1,311 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.410% | 8/15/47 | 19 | 20 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.678% | 8/15/47 | 15,000 | 16,155 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.650% | 10/15/57 | 4,883 | 5,247 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.917% | 10/15/57 | 925 | 1,006 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C24 | 3.607% | 11/15/47 | 2,190 | 2,358 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 3.766% | 3/15/47 | 2,471 | 2,620 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-LC14 | 4.045% | 3/15/47 | 2,597 | 2,788 | |
5,8 | Wheels SPV 2 LLC Series 2020-1A | 0.510% | 8/20/29 | 4,964 | 4,966 | |
5,8 | Wheels SPV 2 LLC Series 2020-1A | 0.620% | 8/20/29 | 1,700 | 1,699 | |
5 | World Omni Auto Receivables Trust Series 2018-A | 2.730% | 2/15/24 | 10,860 | 11,038 | |
5 | World Omni Auto Receivables Trust Series 2018-D | 3.330% | 4/15/24 | 13,029 | 13,219 | |
5 | World Omni Auto Receivables Trust Series 2018-D | 3.440% | 12/16/24 | 3,070 | 3,194 | |
5 | World Omni Auto Receivables Trust Series 2019-A | 3.220% | 6/16/25 | 5,230 | 5,444 | |
5 | World Omni Auto Receivables Trust Series 2020-A | 1.790% | 6/16/25 | 9,400 | 9,578 | |
5 | World Omni Auto Receivables Trust Series 2020-B | 0.630% | 5/15/25 | 25,510 | 25,616 | |
5 | World Omni Auto Receivables Trust Series 2020-B | 0.820% | 1/15/26 | 7,580 | 7,639 | |
5 | World Omni Auto Receivables Trust Series 2020-C | 0.610% | 10/15/26 | 5,400 | 5,407 | |
5 | World Omni Auto Receivables Trust Series 2021-B | 0.420% | 6/15/26 | 14,390 | 14,361 | |
5 | World Omni Auto Receivables Trust Series 2021-B | 0.690% | 6/15/27 | 3,790 | 3,781 | |
5 | World Omni Automobile Lease Securitization Trust Series 2020-B | 0.520% | 2/17/26 | 4,680 | 4,685 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,027,206) | 3,082,748 | |||||
Corporate Bonds (30.9%) | ||||||
Communications (1.0%) | ||||||
Alphabet Inc. | 0.800% | 8/15/27 | 4,000 | 3,885 | ||
America Movil SAB de CV | 3.125% | 7/16/22 | 1,160 | 1,192 | ||
Comcast Corp. | 3.600% | 3/1/24 | 9,390 | 10,140 | ||
Comcast Corp. | 3.700% | 4/15/24 | 12,085 | 13,099 | ||
Comcast Corp. | 3.375% | 2/15/25 | 29,805 | 32,344 | ||
Comcast Corp. | 3.375% | 8/15/25 | 23,444 | 25,590 | ||
Comcast Corp. | 3.950% | 10/15/25 | 13,900 | 15,557 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Comcast Corp. | 3.150% | 2/15/28 | 28,825 | 31,609 | ||
Comcast Corp. | 4.150% | 10/15/28 | 40,135 | 46,473 | ||
Comcast Corp. | 2.650% | 2/1/30 | 10,970 | 11,543 | ||
Comcast Corp. | 3.400% | 4/1/30 | 11,500 | 12,701 | ||
Comcast Corp. | 1.950% | 1/15/31 | 10,000 | 9,856 | ||
5,8 | NTT Finance Corp. | 0.583% | 3/1/24 | 8,785 | 8,769 | |
5,8 | NTT Finance Corp. | 1.162% | 4/3/26 | 34,635 | 34,534 | |
5,8 | NTT Finance Corp. | 2.065% | 4/3/31 | 4,335 | 4,395 | |
9 | Sky Ltd. | 2.500% | 9/15/26 | 8,970 | 11,952 | |
TWDC Enterprises 18 Corp. | 3.000% | 2/13/26 | 13,228 | 14,367 | ||
Walt Disney Co. | 1.750% | 8/30/24 | 18,120 | 18,722 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 2,200 | 2,426 | ||
Walt Disney Co. | 2.200% | 1/13/28 | 11,000 | 11,398 | ||
320,552 | ||||||
Consumer Discretionary (1.0%) | ||||||
Amazon.com Inc. | 0.450% | 5/12/24 | 7,100 | 7,086 | ||
Amazon.com Inc. | 1.200% | 6/3/27 | 13,000 | 12,933 | ||
Amazon.com Inc. | 3.150% | 8/22/27 | 7,000 | 7,734 | ||
Amazon.com Inc. | 1.650% | 5/12/28 | 10,000 | 10,081 | ||
Amazon.com Inc. | 2.100% | 5/12/31 | 15,000 | 15,253 | ||
5 | American Honda Finance Corp. | 0.550% | 7/12/24 | 14,000 | 13,951 | |
5 | American Honda Finance Corp. | 2.150% | 9/10/24 | 15,000 | 15,678 | |
5 | American Honda Finance Corp. | 2.350% | 1/8/27 | 25,000 | 26,409 | |
5 | American Honda Finance Corp. | 1.800% | 1/13/31 | 20,000 | 19,735 | |
5,8 | BMW US Capital LLC | 3.400% | 8/13/21 | 14,100 | 14,152 | |
5,8 | BMW US Capital LLC | 0.800% | 4/1/24 | 10,000 | 10,053 | |
9 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 7,550 | 9,340 | |
Home Depot Inc. | 2.800% | 9/14/27 | 11,540 | 12,507 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 10,000 | 11,623 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 21,000 | 22,950 | ||
TJX Cos. Inc. | 2.500% | 5/15/23 | 1,100 | 1,138 | ||
TJX Cos. Inc. | 2.250% | 9/15/26 | 7,870 | 8,276 | ||
TJX Cos. Inc. | 3.875% | 4/15/30 | 10,000 | 11,446 | ||
5 | Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 14,000 | 15,045 | |
5 | Toyota Motor Credit Corp. | 1.125% | 6/18/26 | 50,000 | 49,852 | |
5 | Toyota Motor Credit Corp. | 1.150% | 8/13/27 | 15,000 | 14,769 | |
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 20,000 | 22,822 | ||
5,9 | Toyota Motor Finance Netherlands BV | 0.625% | 9/26/23 | 5,825 | 7,040 | |
5 | Yale University | 1.482% | 4/15/30 | 6,000 | 5,924 | |
345,797 | ||||||
Consumer Staples (1.2%) | ||||||
Brown-Forman Corp. | 2.250% | 1/15/23 | 5,000 | 5,114 | ||
Coca-Cola Co. | 3.375% | 3/25/27 | 12,000 | 13,356 | ||
Coca-Cola Co. | 1.000% | 3/15/28 | 14,575 | 14,141 | ||
Coca-Cola Co. | 2.250% | 1/5/32 | 10,000 | 10,239 | ||
Costco Wholesale Corp. | 3.000% | 5/18/27 | 9,225 | 10,124 | ||
Costco Wholesale Corp. | 1.375% | 6/20/27 | 6,700 | 6,746 | ||
Costco Wholesale Corp. | 1.600% | 4/20/30 | 27,777 | 27,373 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 4,750 | 4,962 | ||
Hershey Co. | 2.050% | 11/15/24 | 8,000 | 8,353 | ||
Hershey Co. | 2.450% | 11/15/29 | 10,000 | 10,529 | ||
Hershey Co. | 1.700% | 6/1/30 | 5,000 | 4,972 | ||
9 | JT International Financial Services BV | 1.125% | 9/28/25 | 7,500 | 9,251 | |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 6,906 | 7,319 | ||
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 5,860 | 6,338 | ||
Kimberly-Clark Corp. | 1.050% | 9/15/27 | 2,000 | 1,957 | ||
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 10,507 | 11,595 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | Mars Inc. | 0.875% | 7/16/26 | 10,000 | 9,800 | |
5,9 | Nestle Finance International Ltd. | 0.000% | 11/12/24 | 8,000 | 9,552 | |
5,8 | Nestle Holdings Inc. | 3.350% | 9/24/23 | 13,500 | 14,342 | |
5,8 | Nestle Holdings Inc. | 1.000% | 9/15/27 | 16,825 | 16,400 | |
9 | PepsiCo Inc. | 0.250% | 5/6/24 | 7,280 | 8,756 | |
PepsiCo Inc. | 2.850% | 2/24/26 | 6,674 | 7,208 | ||
PepsiCo Inc. | 2.625% | 3/19/27 | 14,500 | 15,574 | ||
PepsiCo Inc. | 2.625% | 7/29/29 | 1,720 | 1,842 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 11,745 | 11,591 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 2,000 | 2,026 | ||
Philip Morris International Inc. | 2.875% | 5/1/24 | 4,500 | 4,785 | ||
Philip Morris International Inc. | 1.500% | 5/1/25 | 10,000 | 10,203 | ||
Philip Morris International Inc. | 3.125% | 8/17/27 | 5,000 | 5,465 | ||
Philip Morris International Inc. | 3.375% | 8/15/29 | 3,000 | 3,316 | ||
Philip Morris International Inc. | 2.100% | 5/1/30 | 5,000 | 4,987 | ||
5,8 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 1,150 | 1,172 | |
5,8 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 5,000 | 5,281 | |
5,8 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 25,000 | 27,038 | |
Target Corp. | 3.375% | 4/15/29 | 4,500 | 5,055 | ||
Target Corp. | 2.350% | 2/15/30 | 10,000 | 10,440 | ||
Unilever Capital Corp. | 2.600% | 5/5/24 | 23,425 | 24,707 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 21,050 | 21,664 | ||
Walmart Inc. | 2.650% | 12/15/24 | 5,550 | 5,912 | ||
Walmart Inc. | 3.050% | 7/8/26 | 13,000 | 14,231 | ||
Walmart Inc. | 3.700% | 6/26/28 | 9,411 | 10,713 | ||
Walmart Inc. | 3.250% | 7/8/29 | 6,952 | 7,782 | ||
412,211 | ||||||
Energy (1.4%) | ||||||
5 | BP Capital Markets America Inc. | 2.750% | 5/10/23 | 10,080 | 10,509 | |
BP Capital Markets America Inc. | 3.790% | 2/6/24 | 5,950 | 6,418 | ||
5 | BP Capital Markets America Inc. | 3.224% | 4/14/24 | 8,400 | 8,951 | |
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 8,475 | 9,130 | ||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 4,935 | 5,468 | ||
5 | BP Capital Markets America Inc. | 3.119% | 5/4/26 | 19,465 | 21,122 | |
5 | BP Capital Markets America Inc. | 3.017% | 1/16/27 | 2,630 | 2,837 | |
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 8,930 | 8,718 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 1,000 | 1,078 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 35,250 | 38,137 | ||
BP Capital Markets plc | 3.535% | 11/4/24 | 8,740 | 9,516 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 13,535 | 14,814 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 7,530 | 8,245 | ||
BP Capital Markets plc | 3.723% | 11/28/28 | 2,095 | 2,362 | ||
Chevron Corp. | 1.554% | 5/11/25 | 24,740 | 25,334 | ||
Chevron Corp. | 2.954% | 5/16/26 | 5,490 | 5,953 | ||
Chevron Corp. | 1.995% | 5/11/27 | 5,650 | 5,836 | ||
Chevron Corp. | 2.236% | 5/11/30 | 1,300 | 1,341 | ||
Chevron USA Inc. | 0.687% | 8/12/25 | 4,030 | 3,999 | ||
5,8 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,045 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 41,760 | 48,483 | ||
9 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 7,800 | 9,321 | |
Exxon Mobil Corp. | 2.992% | 3/19/25 | 38,590 | 41,406 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 5,275 | 5,564 | ||
5,8 | Harvest Operations Corp. | 4.200% | 6/1/23 | 8,000 | 8,518 | |
5,8 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 1,993 | 2,180 | |
8 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 8,084 | 8,080 | |
8 | SA Global Sukuk Ltd. | 1.602% | 6/17/26 | 23,670 | 23,607 | |
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 4,350 | 4,404 | ||
Shell International Finance BV | 2.375% | 4/6/25 | 15,040 | 15,828 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Shell International Finance BV | 3.250% | 5/11/25 | 30,615 | 33,242 | ||
Shell International Finance BV | 2.875% | 5/10/26 | 2,805 | 3,032 | ||
Shell International Finance BV | 3.875% | 11/13/28 | 2,135 | 2,451 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 29,195 | 30,342 | ||
TotalEnergies Capital Canada Ltd. | 2.750% | 7/15/23 | 2,099 | 2,198 | ||
TotalEnergies Capital International SA | 3.700% | 1/15/24 | 6,254 | 6,742 | ||
TotalEnergies Capital International SA | 2.434% | 1/10/25 | 11,830 | 12,441 | ||
TotalEnergies Capital International SA | 3.455% | 2/19/29 | 12,590 | 14,037 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 10,295 | 11,052 | ||
473,741 | ||||||
Financials (17.8%) | ||||||
Aflac Inc. | 1.125% | 3/15/26 | 6,375 | 6,388 | ||
Aflac Inc. | 3.600% | 4/1/30 | 19,050 | 21,475 | ||
5,8 | AIG Global Funding | 2.700% | 12/15/21 | 285 | 288 | |
5,8 | AIG Global Funding | 0.800% | 7/7/23 | 13,570 | 13,670 | |
8 | AIG Global Funding | 0.650% | 6/17/24 | 13,000 | 12,966 | |
5,8 | AIG Global Funding | 0.900% | 9/22/25 | 29,000 | 28,652 | |
Allstate Corp. | 0.750% | 12/15/25 | 2,000 | 1,983 | ||
Allstate Corp. | 1.450% | 12/15/30 | 18,000 | 17,207 | ||
American Express Co. | 3.700% | 8/3/23 | 35,905 | 38,232 | ||
American Express Co. | 3.400% | 2/22/24 | 11,135 | 11,917 | ||
American Express Co. | 3.000% | 10/30/24 | 18,265 | 19,589 | ||
Ameriprise Financial Inc. | 3.000% | 3/22/22 | 1,125 | 1,147 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 51,737 | 55,418 | ||
5,8 | Athene Global Funding | 1.200% | 10/13/23 | 4,750 | 4,804 | |
Banco Santander SA | 4.379% | 4/12/28 | 2,585 | 2,953 | ||
Banco Santander SA | 3.306% | 6/27/29 | 7,600 | 8,255 | ||
5 | Bank of America Corp. | 3.300% | 1/11/23 | 12,370 | 12,909 | |
5 | Bank of America Corp. | 2.816% | 7/21/23 | 44,800 | 45,914 | |
5,9 | Bank of America Corp. | 0.750% | 7/26/23 | 8,000 | 9,672 | |
5 | Bank of America Corp. | 3.004% | 12/20/23 | 27,480 | 28,483 | |
5 | Bank of America Corp. | 4.125% | 1/22/24 | 10,000 | 10,888 | |
5 | Bank of America Corp. | 3.550% | 3/5/24 | 107,080 | 112,492 | |
5 | Bank of America Corp. | 3.864% | 7/23/24 | 33,950 | 36,182 | |
5 | Bank of America Corp. | 3.458% | 3/15/25 | 22,500 | 24,049 | |
Bank of America Corp. | 0.976% | 4/22/25 | 28,000 | 28,088 | ||
5 | Bank of America Corp. | 3.875% | 8/1/25 | 4,582 | 5,089 | |
5 | Bank of America Corp. | 0.981% | 9/25/25 | 13,670 | 13,654 | |
5 | Bank of America Corp. | 3.366% | 1/23/26 | 44,735 | 48,216 | |
5 | Bank of America Corp. | 2.015% | 2/13/26 | 10,000 | 10,310 | |
5 | Bank of America Corp. | 3.500% | 4/19/26 | 3,998 | 4,401 | |
5 | Bank of America Corp. | 1.319% | 6/19/26 | 10,890 | 10,916 | |
5 | Bank of America Corp. | 1.197% | 10/24/26 | 13,480 | 13,370 | |
5 | Bank of America Corp. | 3.559% | 4/23/27 | 2,777 | 3,040 | |
Bank of America Corp. | 1.734% | 7/22/27 | 8,000 | 8,066 | ||
5 | Bank of America Corp. | 3.248% | 10/21/27 | 4,500 | 4,881 | |
5 | Bank of America Corp. | 3.824% | 1/20/28 | 37,156 | 41,266 | |
5 | Bank of America Corp. | 3.705% | 4/24/28 | 5,800 | 6,414 | |
5 | Bank of America Corp. | 3.419% | 12/20/28 | 54,922 | 59,883 | |
5 | Bank of America Corp. | 3.970% | 3/5/29 | 3,000 | 3,382 | |
5 | Bank of America Corp. | 2.087% | 6/14/29 | 23,300 | 23,490 | |
5 | Bank of America Corp. | 3.974% | 2/7/30 | 1,960 | 2,222 | |
5 | Bank of America Corp. | 3.194% | 7/23/30 | 23,795 | 25,617 | |
5 | Bank of America Corp. | 2.884% | 10/22/30 | 37,816 | 39,809 | |
5 | Bank of America Corp. | 2.496% | 2/13/31 | 75 | 77 | |
5 | Bank of America Corp. | 2.592% | 4/29/31 | 7,500 | 7,721 | |
5 | Bank of America Corp. | 1.898% | 7/23/31 | 26,656 | 25,865 | |
5 | Bank of America Corp. | 1.922% | 10/24/31 | 5,000 | 4,873 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Bank of America Corp. | 2.687% | 4/22/32 | 9,400 | 9,683 | ||
5 | Bank of Montreal | 3.300% | 2/5/24 | 33,960 | 36,369 | |
5 | Bank of New York Mellon Corp. | 3.450% | 8/11/23 | 3,532 | 3,762 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 1,100 | 1,185 | ||
5 | Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 2,500 | 2,620 | |
5 | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 700 | 753 | |
5 | Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 12,400 | 12,729 | |
5 | Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 2,825 | 3,000 | |
5 | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 10,000 | 10,994 | |
5 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 7,827 | 8,621 | |
Bank of Nova Scotia | 0.700% | 4/15/24 | 12,000 | 12,012 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 9,530 | 9,950 | ||
Bank of Nova Scotia | 1.300% | 6/11/25 | 17,120 | 17,284 | ||
Bank of Nova Scotia | 1.050% | 3/2/26 | 14,350 | 14,208 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 15,000 | 14,998 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 7,520 | 8,032 | ||
Bank of Nova Scotia | 2.150% | 8/1/31 | 10,000 | 9,962 | ||
5,8 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 37,330 | 38,250 | |
5,8 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 39,510 | 42,105 | |
5,8 | Banque Federative du Credit Mutuel SA | 0.650% | 2/27/24 | 16,800 | 16,763 | |
5,8 | Banque Federative du Credit Mutuel SA | 2.375% | 11/21/24 | 11,000 | 11,511 | |
9 | Berkshire Hathaway Inc. | 0.625% | 1/17/23 | 8,000 | 9,607 | |
BlackRock Inc. | 3.250% | 4/30/29 | 3,750 | 4,194 | ||
BlackRock Inc. | 2.400% | 4/30/30 | 14,497 | 15,178 | ||
BlackRock Inc. | 1.900% | 1/28/31 | 2,800 | 2,800 | ||
5,8 | BNP Paribas SA | 2.219% | 6/9/26 | 7,620 | 7,857 | |
5,8 | BPCE SA | 1.000% | 1/20/26 | 13,385 | 13,204 | |
Brookfield Finance Inc. | 4.350% | 4/15/30 | 4,000 | 4,622 | ||
Brookfield Finance Inc. | 2.724% | 4/15/31 | 2,000 | 2,063 | ||
5 | Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 8,335 | 8,529 | |
5 | Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 7,975 | 8,516 | |
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 3,800 | 4,040 | ||
Canadian Imperial Bank of Commerce | 0.950% | 10/23/25 | 7,650 | 7,616 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 9,975 | 9,925 | ||
6,8 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 11,670 | 11,660 | |
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 8,750 | 8,442 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 17,155 | 18,970 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 9,000 | 8,936 | ||
Charles Schwab Corp. | 1.150% | 5/13/26 | 10,000 | 9,990 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 4,143 | 4,568 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 10,000 | 10,266 | ||
Charles Schwab Corp. | 4.000% | 2/1/29 | 8,980 | 10,352 | ||
Charles Schwab Corp. | 3.250% | 5/22/29 | 6,955 | 7,674 | ||
Charles Schwab Corp. | 4.625% | 3/22/30 | 800 | 973 | ||
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 440 | 458 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 30,810 | 33,220 | ||
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 9,485 | 10,249 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 8,670 | 9,531 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 16,500 | 15,697 | ||
5 | Citigroup Inc. | 2.312% | 11/4/22 | 10,000 | 10,064 | |
5 | Citigroup Inc. | 2.876% | 7/24/23 | 20,000 | 20,509 | |
5 | Citigroup Inc. | 1.678% | 5/15/24 | 38,445 | 39,259 | |
Citigroup Inc. | 0.981% | 5/1/25 | 10,415 | 10,441 | ||
5 | Citigroup Inc. | 3.106% | 4/8/26 | 10,000 | 10,698 | |
Citigroup Inc. | 3.200% | 10/21/26 | 3,310 | 3,586 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 16,080 | 16,011 | ||
5 | Citigroup Inc. | 2.666% | 1/29/31 | 8,380 | 8,663 | |
5 | Citigroup Inc. | 4.412% | 3/31/31 | 11,593 | 13,553 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Citigroup Inc. | 2.572% | 6/3/31 | 5,000 | 5,138 | |
Citigroup Inc. | 2.561% | 5/1/32 | 10,000 | 10,188 | ||
Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 13,200 | 13,680 | ||
5,8 | Cooperatieve Rabobank UA | 3.875% | 9/26/23 | 10,635 | 11,419 | |
5,9 | Cooperatieve Rabobank UA | 0.625% | 2/27/24 | 7,300 | 8,833 | |
5,8 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 5,990 | 6,311 | |
5,8 | Cooperatieve Rabobank UA | 1.339% | 6/24/26 | 15,000 | 15,054 | |
5,8 | Credit Agricole SA | 1.247% | 1/26/27 | 8,335 | 8,202 | |
Credit Suisse AG | 1.000% | 5/5/23 | 14,470 | 14,617 | ||
5 | Credit Suisse AG | 3.625% | 9/9/24 | 8,000 | 8,688 | |
Credit Suisse AG | 2.950% | 4/9/25 | 23,500 | 25,182 | ||
5,9 | DNB Bank ASA | 0.050% | 11/14/23 | 8,000 | 9,557 | |
5,8 | DNB Bank ASA | 1.127% | 9/16/26 | 9,120 | 9,049 | |
8 | DNB Bank ASA | 1.535% | 5/25/27 | 10,000 | 10,011 | |
8 | Equitable Financial Life Global Funding | 0.500% | 4/6/23 | 18,750 | 18,775 | |
5,8 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 22,980 | 23,207 | |
8 | F&G Global Funding | 1.750% | 6/30/26 | 13,400 | 13,452 | |
5 | Fifth Third Bank NA | 2.250% | 2/1/27 | 10,000 | 10,489 | |
5 | First Republic Bank | 2.500% | 6/6/22 | 15,420 | 15,705 | |
5 | First Republic Bank | 1.912% | 2/12/24 | 13,330 | 13,606 | |
8 | Five Corners Funding Trust | 4.419% | 11/15/23 | 15,000 | 16,342 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 5,000 | 4,805 | ||
5,8 | GA Global Funding Trust | 1.625% | 1/15/26 | 5,600 | 5,668 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 8,200 | 8,454 | ||
5 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 6,270 | 6,319 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 295 | 310 | ||
5 | Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 15,000 | 15,000 | |
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 10,000 | 10,430 | ||
5 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 30,600 | 31,286 | |
5 | Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 4,750 | 4,869 | |
5 | Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 16,250 | 16,259 | |
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 25,000 | 25,045 | ||
5,9 | Goldman Sachs Group Inc. | 1.375% | 5/15/24 | 8,000 | 9,733 | |
5 | Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 2,100 | 2,271 | |
5 | Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 45,375 | 45,294 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 5,675 | 6,135 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 8,560 | 9,366 | ||
Goldman Sachs Group Inc. | 0.855% | 2/12/26 | 9,335 | 9,266 | ||
9 | Goldman Sachs Group Inc. | 2.875% | 6/3/26 | 4,650 | 6,216 | |
5 | Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 26,845 | 26,434 | |
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 25,000 | 24,923 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 8,820 | 8,565 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 6,600 | 6,750 | ||
5 | HSBC Holdings plc | 3.262% | 3/13/23 | 48,755 | 49,739 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 4,085 | 4,325 | ||
5 | HSBC Holdings plc | 3.033% | 11/22/23 | 13,015 | 13,481 | |
5 | HSBC Holdings plc | 3.950% | 5/18/24 | 13,280 | 14,103 | |
9 | HSBC Holdings plc | 0.875% | 9/6/24 | 7,800 | 9,510 | |
5 | HSBC Holdings plc | 3.803% | 3/11/25 | 1,605 | 1,726 | |
HSBC Holdings plc | 0.976% | 5/24/25 | 24,000 | 23,987 | ||
5 | HSBC Holdings plc | 2.633% | 11/7/25 | 26,491 | 27,806 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 4,840 | 5,464 | ||
5 | HSBC Holdings plc | 1.645% | 4/18/26 | 10,440 | 10,580 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 3,650 | 4,057 | ||
5 | HSBC Holdings plc | 2.099% | 6/4/26 | 25,000 | 25,714 | |
5 | HSBC Holdings plc | 4.292% | 9/12/26 | 10,050 | 11,185 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 13,330 | 13,348 | ||
5 | HSBC Holdings plc | 4.041% | 3/13/28 | 28,181 | 31,257 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | HSBC Holdings plc | 2.013% | 9/22/28 | 25,000 | 25,083 | |
5 | HSBC Holdings plc | 4.583% | 6/19/29 | 18,855 | 21,794 | |
HSBC Holdings plc | 4.950% | 3/31/30 | 10,000 | 12,069 | ||
5 | HSBC Holdings plc | 2.357% | 8/18/31 | 7,440 | 7,444 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 10,000 | 10,265 | ||
5 | Huntington National Bank | 2.500% | 8/7/22 | 3,685 | 3,768 | |
5 | Huntington National Bank | 3.550% | 10/6/23 | 27,770 | 29,601 | |
ING Groep NV | 4.100% | 10/2/23 | 7,850 | 8,461 | ||
Invesco Finance plc | 3.125% | 11/30/22 | 5,203 | 5,397 | ||
Invesco Finance plc | 4.000% | 1/30/24 | 12,165 | 13,188 | ||
Invesco Finance plc | 3.750% | 1/15/26 | 1,897 | 2,101 | ||
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 55,761 | 56,553 | ||
5 | JPMorgan Chase & Co. | 3.207% | 4/1/23 | 71,543 | 73,052 | |
5 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 25,120 | 25,602 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 6,106 | 6,347 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 4,000 | 4,335 | ||
5 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 60,810 | 64,125 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 5,500 | 5,961 | ||
5 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 30,000 | 30,567 | |
5 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 15,235 | 16,443 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 14,156 | 15,191 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 10,125 | 10,062 | ||
5 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 54,505 | 57,892 | |
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 20,020 | 19,977 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 8,500 | 8,510 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 14,605 | 16,151 | ||
5 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 13,250 | 13,789 | |
9 | JPMorgan Chase & Co. | 3.000% | 2/19/26 | 6,870 | 9,257 | |
5 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 4,650 | 4,801 | |
5 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 39,500 | 40,847 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 11,430 | 12,447 | ||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 20,000 | 19,752 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 8,190 | 9,269 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 25,000 | 24,573 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 10,000 | 10,054 | ||
5 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 8,595 | 9,538 | |
5 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 21,840 | 23,983 | |
5 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 8,575 | 9,448 | |
5 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 16,335 | 18,502 | |
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 12,500 | 12,596 | ||
5 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 37,465 | 43,792 | |
5 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 4,600 | 5,145 | |
5 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 20,000 | 20,970 | |
5 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 12,900 | 15,289 | |
5 | JPMorgan Chase & Co. | 2.522% | 4/22/31 | 15,000 | 15,416 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 10,000 | 10,274 | ||
Lloyds Banking Group plc | 4.050% | 8/16/23 | 15,000 | 16,078 | ||
Lloyds Banking Group plc | 3.900% | 3/12/24 | 5,000 | 5,417 | ||
5,8 | LSEGA Financing plc | 0.650% | 4/6/24 | 5,000 | 4,990 | |
5,8 | LSEGA Financing plc | 1.375% | 4/6/26 | 14,145 | 14,169 | |
5,8 | Macquarie Group Ltd. | 3.189% | 11/28/23 | 3,973 | 4,116 | |
5,8 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 7,470 | 7,401 | |
8 | Macquarie Group Ltd. | 1.629% | 9/23/27 | 6,665 | 6,634 | |
8 | Macquarie Group Ltd. | 2.691% | 6/23/32 | 10,000 | 10,022 | |
5 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 3,700 | 3,958 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 11,420 | 12,285 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 10,130 | 11,013 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 5,800 | 6,803 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 18,000 | 18,239 | ||
5,8 | MassMutual Global Funding II | 2.750% | 6/22/24 | 14,920 | 15,823 | |
5,8 | MassMutual Global Funding II | 2.950% | 1/11/25 | 2,500 | 2,677 | |
5,8 | MassMutual Global Funding II | 3.400% | 3/8/26 | 13,000 | 14,281 | |
Mastercard Inc. | 2.000% | 3/3/25 | 14,133 | 14,773 | ||
Mastercard Inc. | 2.950% | 11/21/26 | 22,315 | 24,342 | ||
Mastercard Inc. | 2.950% | 6/1/29 | 11,000 | 12,023 | ||
5 | MDGH - GMTN BV | 2.750% | 5/11/23 | 5,000 | 5,207 | |
5 | MDGH - GMTN BV | 2.500% | 11/7/24 | 624 | 656 | |
MetLife Inc. | 4.550% | 3/23/30 | 13,076 | 15,703 | ||
5,8 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 5,990 | 6,134 | |
5,8 | Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 3,820 | 4,104 | |
5,8 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 4,660 | 5,167 | |
Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 812 | 815 | ||
Mitsubishi UFJ Financial Group Inc. | 3.218% | 3/7/22 | 9,250 | 9,437 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 19,630 | 20,101 | ||
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 11,599 | 11,889 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 18,655 | 19,917 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 1,025 | 1,070 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 4,500 | 4,820 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 14,640 | 15,498 | ||
5 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 33,375 | 33,535 | |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 10,250 | 10,668 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 45,530 | 49,987 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 11,555 | 11,679 | ||
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 427 | 477 | ||
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 1,807 | 1,922 | ||
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 1,163 | 1,299 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 6,550 | 7,374 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 8,000 | 8,655 | ||
5,8 | Mizuho Bank Ltd. | 3.750% | 4/16/24 | 7,360 | 7,956 | |
5,8 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 6,300 | 6,835 | |
5 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 17,100 | 17,328 | |
5 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 5,000 | 5,233 | |
5,8 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 12,178 | 13,331 | |
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 10,070 | 9,920 | ||
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 2,250 | 2,566 | ||
5 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 5,400 | 5,818 | |
5 | Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 4,000 | 4,201 | |
5 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 5,000 | 4,993 | |
5 | Morgan Stanley | 2.625% | 11/17/21 | 12,900 | 13,017 | |
Morgan Stanley | 2.750% | 5/19/22 | 17,075 | 17,453 | ||
5 | Morgan Stanley | 3.125% | 1/23/23 | 625 | 652 | |
5 | Morgan Stanley | 3.750% | 2/25/23 | 10,735 | 11,314 | |
5 | Morgan Stanley | 0.529% | 1/25/24 | 21,430 | 21,423 | |
Morgan Stanley | 0.731% | 4/5/24 | 21,355 | 21,402 | ||
5 | Morgan Stanley | 3.875% | 4/29/24 | 17,649 | 19,188 | |
5,9 | Morgan Stanley | 0.637% | 7/26/24 | 8,000 | 9,635 | |
5 | Morgan Stanley | 3.700% | 10/23/24 | 10,687 | 11,653 | |
Morgan Stanley | 0.790% | 5/30/25 | 21,800 | 21,714 | ||
5 | Morgan Stanley | 2.720% | 7/22/25 | 8,670 | 9,128 | |
5 | Morgan Stanley | 4.000% | 7/23/25 | 6,355 | 7,076 | |
5 | Morgan Stanley | 0.864% | 10/21/25 | 5,200 | 5,200 | |
5 | Morgan Stanley | 3.875% | 1/27/26 | 8,295 | 9,272 | |
5 | Morgan Stanley | 2.188% | 4/28/26 | 32,000 | 33,239 | |
5 | Morgan Stanley | 3.125% | 7/27/26 | 6,760 | 7,318 | |
Morgan Stanley | 0.985% | 12/10/26 | 9,470 | 9,330 | ||
Morgan Stanley | 3.625% | 1/20/27 | 3,625 | 4,023 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Morgan Stanley | 1.593% | 5/4/27 | 3,575 | 3,600 | ||
5 | Morgan Stanley | 4.431% | 1/23/30 | 15,000 | 17,590 | |
5 | Morgan Stanley | 3.622% | 4/1/31 | 10,000 | 11,169 | |
5 | Morgan Stanley | 1.794% | 2/13/32 | 11,680 | 11,235 | |
5 | Morgan Stanley | 1.928% | 4/28/32 | 1,285 | 1,250 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 2,065 | 2,129 | ||
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 1,600 | 1,706 | ||
5,8 | MUFG Bank Ltd. | 2.850% | 9/8/21 | 260 | 261 | |
5 | MUFG Union Bank NA | 2.100% | 12/9/22 | 8,000 | 8,188 | |
5,9 | National Australia Bank Ltd. | 0.250% | 5/20/24 | 5,825 | 6,999 | |
5,8 | National Securities Clearing Corp. | 0.750% | 12/7/25 | 50,000 | 49,333 | |
5,9 | Nationwide Building Society | 0.625% | 4/19/23 | 8,000 | 9,654 | |
5,8 | Nationwide Building Society | 1.000% | 8/28/25 | 10,580 | 10,528 | |
5,8 | New York Life Global Funding | 1.100% | 5/5/23 | 3,170 | 3,211 | |
5,8 | New York Life Global Funding | 2.350% | 7/14/26 | 5,200 | 5,458 | |
5,8 | New York Life Global Funding | 1.200% | 8/7/30 | 15,000 | 14,089 | |
5,8 | Nordea Bank Abp | 1.000% | 6/9/23 | 6,680 | 6,758 | |
5,8 | Nordea Bank Abp | 0.750% | 8/28/25 | 34,800 | 34,406 | |
5,8 | Northwestern Mutual Global Funding | 0.800% | 1/14/26 | 8,320 | 8,191 | |
5,8 | Nuveen Finance LLC | 4.125% | 11/1/24 | 20,000 | 22,057 | |
5,8 | Pacific Life Global Funding II | 0.500% | 9/23/23 | 30,430 | 30,474 | |
5,8 | Pacific Life Global Funding II | 1.200% | 6/24/25 | 7,924 | 7,954 | |
5 | PNC Bank NA | 2.950% | 2/23/25 | 12,514 | 13,429 | |
5 | PNC Bank NA | 3.250% | 6/1/25 | 27 | 29 | |
5 | PNC Bank NA | 3.100% | 10/25/27 | 21,067 | 23,069 | |
5 | PNC Bank NA | 3.250% | 1/22/28 | 6,245 | 6,895 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 1,335 | 1,380 | ||
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 7,930 | 8,513 | ||
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 2,820 | 3,006 | ||
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 4,000 | 4,377 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 11,370 | 12,724 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 5,000 | 5,264 | ||
5,8 | Pricoa Global Funding I | 0.800% | 9/1/25 | 2,445 | 2,425 | |
Progressive Corp. | 3.200% | 3/26/30 | 8,620 | 9,482 | ||
8 | Protective Life Global Funding | 0.502% | 4/12/23 | 4,970 | 4,975 | |
5,8 | Protective Life Global Funding | 0.631% | 10/13/23 | 11,770 | 11,804 | |
8 | Protective Life Global Funding | 1.618% | 4/15/26 | 11,760 | 11,924 | |
5 | Prudential Financial Inc. | 1.500% | 3/10/26 | 4,500 | 4,574 | |
Prudential plc | 3.125% | 4/14/30 | 3,500 | 3,770 | ||
5 | Royal Bank of Canada | 3.700% | 10/5/23 | 8,740 | 9,373 | |
5 | Royal Bank of Canada | 2.550% | 7/16/24 | 14,025 | 14,798 | |
9 | Royal Bank of Canada | 0.125% | 7/23/24 | 7,800 | 9,322 | |
5 | Royal Bank of Canada | 2.250% | 11/1/24 | 28,806 | 30,188 | |
5 | Royal Bank of Canada | 1.150% | 6/10/25 | 19,250 | 19,356 | |
Royal Bank of Canada | 1.200% | 4/27/26 | 17,540 | 17,521 | ||
8 | Security Benefit Global Funding | 1.250% | 5/17/24 | 4,000 | 4,005 | |
5,8 | Skandinaviska Enskilda Banken AB | 0.850% | 9/2/25 | 57,625 | 57,103 | |
State Street Corp. | 3.300% | 12/16/24 | 31,592 | 34,426 | ||
State Street Corp. | 3.550% | 8/18/25 | 2,630 | 2,915 | ||
5 | State Street Corp. | 2.354% | 11/1/25 | 1,400 | 1,473 | |
State Street Corp. | 2.901% | 3/30/26 | 2,280 | 2,430 | ||
State Street Corp. | 2.400% | 1/24/30 | 6,970 | 7,273 | ||
State Street Corp. | 3.152% | 3/30/31 | 11,280 | 12,362 | ||
Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 2,720 | 2,738 | ||
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 9,575 | 9,818 | ||
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 16,022 | 16,512 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 6,970 | 7,263 | ||
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 11,590 | 12,364 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 7,750 | 8,360 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 44,049 | 46,559 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 11,660 | 12,186 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 23,595 | 23,866 | ||
Sumitomo Mitsui Financial Group Inc. | 0.948% | 1/12/26 | 6,730 | 6,647 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 14,962 | 15,892 | ||
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 1,449 | 1,564 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 10,290 | 11,326 | ||
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 3,500 | 3,827 | ||
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 1,000 | 1,100 | ||
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 4,040 | 4,471 | ||
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 2,850 | 3,306 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 13,550 | 14,526 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 12,030 | 12,650 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 10,000 | 10,054 | ||
5,8 | Svenska Handelsbanken AB | 0.625% | 6/30/23 | 14,000 | 14,063 | |
8 | Svenska Handelsbanken AB | 0.550% | 6/11/24 | 23,500 | 23,399 | |
5,9 | Svenska Handelsbanken AB | 0.125% | 6/18/24 | 5,825 | 6,983 | |
8 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 5,400 | 5,384 | |
5,8 | Swedbank AB | 0.600% | 9/25/23 | 14,050 | 14,071 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,670 | 4,013 | ||
TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 4,574 | 5,021 | ||
5 | Toronto-Dominion Bank | 0.750% | 6/12/23 | 43,170 | 43,481 | |
5 | Toronto-Dominion Bank | 3.500% | 7/19/23 | 6,905 | 7,343 | |
5,9 | Toronto-Dominion Bank | 0.625% | 7/20/23 | 5,825 | 7,041 | |
Toronto-Dominion Bank | 0.550% | 3/4/24 | 16,780 | 16,767 | ||
5 | Toronto-Dominion Bank | 2.650% | 6/12/24 | 3,434 | 3,636 | |
5 | Toronto-Dominion Bank | 1.150% | 6/12/25 | 43,550 | 43,874 | |
5 | Toronto-Dominion Bank | 0.750% | 9/11/25 | 16,000 | 15,847 | |
5 | Toronto-Dominion Bank | 3.625% | 9/15/31 | 1,250 | 1,383 | |
5 | Truist Bank | 3.200% | 4/1/24 | 12,550 | 13,427 | |
5 | Truist Bank | 3.689% | 8/2/24 | 3,135 | 3,344 | |
5 | Truist Bank | 2.150% | 12/6/24 | 50,883 | 53,218 | |
5 | Truist Bank | 1.500% | 3/10/25 | 7,500 | 7,669 | |
5 | Truist Bank | 4.050% | 11/3/25 | 34,710 | 39,009 | |
5 | Truist Bank | 2.250% | 3/11/30 | 5,950 | 6,035 | |
5 | Truist Financial Corp. | 2.200% | 3/16/23 | 3,000 | 3,088 | |
5 | Truist Financial Corp. | 3.750% | 12/6/23 | 17,600 | 18,928 | |
5 | Truist Financial Corp. | 2.500% | 8/1/24 | 76,382 | 80,536 | |
5 | Truist Financial Corp. | 1.200% | 8/5/25 | 8,030 | 8,101 | |
5 | Truist Financial Corp. | 1.267% | 3/2/27 | 6,620 | 6,614 | |
5 | Truist Financial Corp. | 1.125% | 8/3/27 | 14,735 | 14,384 | |
5 | Truist Financial Corp. | 1.887% | 6/7/29 | 10,000 | 10,052 | |
5 | Truist Financial Corp. | 1.950% | 6/5/30 | 3,750 | 3,755 | |
8 | UBS AG | 0.375% | 6/1/23 | 8,000 | 7,989 | |
5,8 | UBS AG | 0.450% | 2/9/24 | 15,000 | 14,920 | |
8 | UBS AG | 1.250% | 6/1/26 | 12,000 | 11,974 | |
5,8 | UBS Group AG | 2.650% | 2/1/22 | 24,139 | 24,472 | |
5,8 | UBS Group AG | 3.491% | 5/23/23 | 3,535 | 3,630 | |
5,8 | UBS Group AG | 2.859% | 8/15/23 | 26,640 | 27,328 | |
5,8 | UBS Group AG | 1.008% | 7/30/24 | 6,665 | 6,712 | |
5,8 | UBS Group AG | 4.125% | 9/24/25 | 7,590 | 8,462 | |
5,8 | UBS Group AG | 4.125% | 4/15/26 | 1,500 | 1,681 | |
5,8 | UBS Group AG | 1.364% | 1/30/27 | 19,165 | 19,039 | |
5 | US Bancorp | 3.700% | 1/30/24 | 2,235 | 2,408 | |
US Bancorp | 3.375% | 2/5/24 | 5,650 | 6,046 | ||
9 | US Bancorp | 0.850% | 6/7/24 | 15,108 | 18,402 | |
US Bancorp | 1.450% | 5/12/25 | 31,180 | 31,875 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | US Bancorp | 3.950% | 11/17/25 | 9,450 | 10,624 | |
5 | US Bancorp | 3.150% | 4/27/27 | 8,000 | 8,762 | |
5 | US Bancorp | 3.000% | 7/30/29 | 3,000 | 3,246 | |
5 | US Bancorp | 1.375% | 7/22/30 | 10,000 | 9,607 | |
5 | US Bank NA | 2.050% | 1/21/25 | 13,010 | 13,579 | |
5 | US Bank NA | 2.800% | 1/27/25 | 3,900 | 4,167 | |
8 | USAA Capital Corp. | 1.500% | 5/1/23 | 1,580 | 1,612 | |
8 | USAA Capital Corp. | 2.125% | 5/1/30 | 2,400 | 2,427 | |
Visa Inc. | 3.150% | 12/14/25 | 59,590 | 65,197 | ||
Visa Inc. | 1.900% | 4/15/27 | 4,000 | 4,133 | ||
5 | Wells Fargo & Co. | 3.450% | 2/13/23 | 8,300 | 8,699 | |
5 | Wells Fargo & Co. | 3.750% | 1/24/24 | 18,285 | 19,665 | |
5,9 | Wells Fargo & Co. | 0.500% | 4/26/24 | 15,280 | 18,393 | |
5 | Wells Fargo & Co. | 1.654% | 6/2/24 | 5,000 | 5,108 | |
5 | Wells Fargo & Co. | 3.300% | 9/9/24 | 8,943 | 9,639 | |
5 | Wells Fargo & Co. | 3.000% | 2/19/25 | 15,170 | 16,236 | |
Wells Fargo & Co. | 0.805% | 5/19/25 | 9,255 | 9,238 | ||
5 | Wells Fargo & Co. | 2.406% | 10/30/25 | 14,968 | 15,660 | |
5 | Wells Fargo & Co. | 2.164% | 2/11/26 | 7,000 | 7,263 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 20,000 | 21,510 | ||
5 | Wells Fargo & Co. | 2.188% | 4/30/26 | 10,000 | 10,382 | |
Wells Fargo & Co. | 3.000% | 10/23/26 | 16,620 | 17,920 | ||
5 | Wells Fargo & Co. | 3.196% | 6/17/27 | 7,100 | 7,669 | |
5 | Wells Fargo & Co. | 3.584% | 5/22/28 | 10,500 | 11,560 | |
5 | Wells Fargo & Co. | 2.393% | 6/2/28 | 9,270 | 9,612 | |
5 | Wells Fargo & Co. | 4.150% | 1/24/29 | 8,575 | 9,869 | |
5 | Wells Fargo & Co. | 2.879% | 10/30/30 | 700 | 741 | |
5 | Wells Fargo & Co. | 2.572% | 2/11/31 | 5,000 | 5,176 | |
5,9 | Westpac Banking Corp. | 0.750% | 10/17/23 | 13,825 | 16,803 | |
Westpac Banking Corp. | 3.300% | 2/26/24 | 3,830 | 4,106 | ||
Westpac Banking Corp. | 2.350% | 2/19/25 | 17,000 | 17,869 | ||
Westpac Banking Corp. | 3.350% | 3/8/27 | 11,893 | 13,153 | ||
Westpac Banking Corp. | 2.650% | 1/16/30 | 2,500 | 2,679 | ||
Westpac Banking Corp. | 2.150% | 6/3/31 | 12,220 | 12,358 | ||
5,932,657 | ||||||
Health Care (1.9%) | ||||||
9 | Abbott Ireland Financing DAC | 0.875% | 9/27/23 | 8,000 | 9,720 | |
Abbott Laboratories | 2.950% | 3/15/25 | 9,405 | 10,104 | ||
5 | Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,637 | |
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 24,000 | 24,875 | ||
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 39,015 | 41,605 | ||
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 11,229 | 12,495 | ||
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 33,439 | 36,710 | ||
Bristol-Myers Squibb Co. | 1.125% | 11/13/27 | 16,000 | 15,738 | ||
Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 4,000 | 4,461 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 9,949 | 11,383 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 42,525 | 47,636 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 16,500 | 15,951 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 8,803 | 9,879 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 14,500 | 16,615 | ||
5,9 | GlaxoSmithKline Capital plc | 0.125% | 5/12/23 | 13,825 | 16,522 | |
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 21,524 | 22,954 | ||
GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 12,762 | 14,186 | ||
5,8 | Health Care Service Corp. A Mutual Legal Reserve Co. | 2.200% | 6/1/30 | 8,000 | 8,031 | |
Johnson & Johnson | 2.950% | 3/3/27 | 385 | 421 | ||
Johnson & Johnson | 0.950% | 9/1/27 | 6,000 | 5,893 | ||
Johnson & Johnson | 2.900% | 1/15/28 | 12,444 | 13,612 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Medtronic Inc. | 3.500% | 3/15/25 | 25,799 | 28,318 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 8,200 | 8,737 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 25,000 | 28,019 | ||
5 | Mercy Health | 4.302% | 7/1/28 | 7,000 | 8,227 | |
Novartis Capital Corp. | 2.000% | 2/14/27 | 13,000 | 13,518 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 27,712 | 28,659 | ||
Pfizer Inc. | 3.400% | 5/15/24 | 13,345 | 14,448 | ||
Pfizer Inc. | 2.750% | 6/3/26 | 6,550 | 7,087 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 13,000 | 14,625 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 8,500 | 9,064 | ||
5 | Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 300 | 320 | |
5 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 5,241 | |
5,8 | Roche Holdings Inc. | 2.625% | 5/15/26 | 1,000 | 1,068 | |
5 | SSM Health Care Corp. | 3.688% | 6/1/23 | 13,150 | 13,821 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 650 | 678 | ||
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 5,820 | 6,268 | ||
UnitedHealth Group Inc. | 0.550% | 5/15/24 | 21,600 | 21,584 | ||
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 5,025 | 5,287 | ||
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 1,925 | 2,136 | ||
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 6,810 | 6,868 | ||
UnitedHealth Group Inc. | 1.150% | 5/15/26 | 6,460 | 6,464 | ||
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 9,140 | 10,145 | ||
UnitedHealth Group Inc. | 2.950% | 10/15/27 | 1,966 | 2,140 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 8,630 | 9,915 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 8,345 | 9,610 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 1,101 | 1,188 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 11,500 | 11,778 | ||
616,641 | ||||||
Industrials (1.5%) | ||||||
3M Co. | 2.000% | 2/14/25 | 28,325 | 29,509 | ||
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 1,265 | 1,366 | ||
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 12,423 | 13,442 | ||
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 1,175 | 1,266 | ||
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 3,575 | 3,944 | ||
Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 7,535 | 8,301 | ||
5 | Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 6,100 | 6,251 | |
5 | Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 2,596 | 2,650 | |
5 | Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 640 | 691 | |
5 | Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 11,095 | 11,621 | |
5 | Caterpillar Financial Services Corp. | 0.800% | 11/13/25 | 15,600 | 15,509 | |
Caterpillar Inc. | 2.600% | 9/19/29 | 12,000 | 12,808 | ||
5 | CSX Transportation Inc. | 6.251% | 1/15/23 | 973 | 1,047 | |
Cummins Inc. | 0.750% | 9/1/25 | 8,000 | 7,949 | ||
Cummins Inc. | 1.500% | 9/1/30 | 25,000 | 24,121 | ||
Emerson Electric Co. | 0.875% | 10/15/26 | 9,640 | 9,505 | ||
Emerson Electric Co. | 1.800% | 10/15/27 | 879 | 900 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 22,061 | 23,911 | ||
General Dynamics Corp. | 3.500% | 5/15/25 | 3,754 | 4,114 | ||
General Dynamics Corp. | 2.125% | 8/15/26 | 4,694 | 4,907 | ||
General Dynamics Corp. | 3.500% | 4/1/27 | 16,745 | 18,609 | ||
General Dynamics Corp. | 2.625% | 11/15/27 | 31,170 | 33,306 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 5,580 | 6,345 | ||
General Dynamics Corp. | 3.625% | 4/1/30 | 4,100 | 4,638 | ||
General Dynamics Corp. | 2.250% | 6/1/31 | 5,000 | 5,132 | ||
Honeywell International Inc. | 1.950% | 6/1/30 | 22,500 | 22,860 | ||
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 7,640 | 8,194 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | John Deere Capital Corp. | 2.650% | 6/24/24 | 6,600 | 7,023 | |
5 | John Deere Capital Corp. | 1.050% | 6/17/26 | 85,000 | 84,800 | |
5 | John Deere Capital Corp. | 2.250% | 9/14/26 | 3,790 | 3,992 | |
5 | John Deere Capital Corp. | 2.000% | 6/17/31 | 35,000 | 35,298 | |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 14,639 | 16,183 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 5,895 | 5,916 | ||
Precision Castparts Corp. | 2.500% | 1/15/23 | 10,440 | 10,734 | ||
5,8 | Siemens Financieringsmaatschappij NV | 1.200% | 3/11/26 | 35,630 | 35,639 | |
9 | United Parcel Service Inc. | 0.375% | 11/15/23 | 5,825 | 7,003 | |
United Parcel Service Inc. | 2.200% | 9/1/24 | 7,175 | 7,521 | ||
United Parcel Service Inc. | 3.400% | 3/15/29 | 5,000 | 5,616 | ||
502,621 | ||||||
Materials (0.4%) | ||||||
5,8 | Air Liquide Finance SA | 2.250% | 9/27/23 | 25,555 | 26,504 | |
Air Products and Chemicals Inc. | 1.850% | 5/15/27 | 1,120 | 1,150 | ||
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 2,755 | 2,801 | ||
5,8 | Georgia-Pacific LLC | 0.950% | 5/15/26 | 50,855 | 50,041 | |
Linde Inc. | 1.100% | 8/10/30 | 12,430 | 11,686 | ||
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 7,025 | 7,784 | ||
5,8 | SABIC Capital II BV | 4.000% | 10/10/23 | 17,612 | 18,900 | |
118,866 | ||||||
Real Estate (0.8%) | ||||||
5 | AvalonBay Communities Inc. | 3.350% | 5/15/27 | 2,960 | 3,251 | |
5 | AvalonBay Communities Inc. | 3.200% | 1/15/28 | 2,250 | 2,441 | |
5 | AvalonBay Communities Inc. | 2.300% | 3/1/30 | 5,000 | 5,123 | |
Camden Property Trust | 4.875% | 6/15/23 | 5,935 | 6,352 | ||
Camden Property Trust | 4.250% | 1/15/24 | 16,018 | 17,277 | ||
Camden Property Trust | 3.500% | 9/15/24 | 435 | 466 | ||
ERP Operating LP | 2.850% | 11/1/26 | 6,140 | 6,568 | ||
ERP Operating LP | 4.150% | 12/1/28 | 11,480 | 13,192 | ||
ERP Operating LP | 3.000% | 7/1/29 | 8,120 | 8,735 | ||
ERP Operating LP | 2.500% | 2/15/30 | 1,500 | 1,554 | ||
Prologis LP | 2.125% | 4/15/27 | 3,600 | 3,752 | ||
Prologis LP | 1.250% | 10/15/30 | 10,000 | 9,415 | ||
Public Storage | 3.094% | 9/15/27 | 3,000 | 3,294 | ||
Public Storage | 1.850% | 5/1/28 | 5,710 | 5,754 | ||
Public Storage | 3.385% | 5/1/29 | 11,800 | 13,106 | ||
Public Storage | 2.300% | 5/1/31 | 11,670 | 11,910 | ||
7 | Public Storage, SOFR + 0.470% | 0.495% | 4/23/24 | 14,690 | 14,719 | |
Realty Income Corp. | 3.875% | 4/15/25 | 28,632 | 31,607 | ||
Realty Income Corp. | 0.750% | 3/15/26 | 4,710 | 4,619 | ||
Realty Income Corp. | 4.125% | 10/15/26 | 16,355 | 18,541 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 2,550 | 2,734 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 5,740 | 6,179 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 17,754 | 19,444 | ||
Simon Property Group LP | 3.300% | 1/15/26 | 12,080 | 13,146 | ||
Simon Property Group LP | 3.375% | 6/15/27 | 10,780 | 11,743 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 6,775 | 7,384 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 5,000 | 4,981 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 3,300 | 3,395 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 11,500 | 11,931 | ||
262,613 | ||||||
Technology (2.0%) | ||||||
Adobe Inc. | 2.150% | 2/1/27 | 46,105 | 48,294 | ||
Apple Inc. | 3.000% | 2/9/24 | 8,675 | 9,205 | ||
Apple Inc. | 3.450% | 5/6/24 | 6,000 | 6,495 | ||
Apple Inc. | 2.850% | 5/11/24 | 7,045 | 7,479 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Apple Inc. | 2.750% | 1/13/25 | 9,240 | 9,879 | ||
Apple Inc. | 2.500% | 2/9/25 | 3,430 | 3,639 | ||
Apple Inc. | 1.125% | 5/11/25 | 3,000 | 3,036 | ||
Apple Inc. | 3.200% | 5/13/25 | 5,635 | 6,144 | ||
Apple Inc. | 3.250% | 2/23/26 | 11,092 | 12,180 | ||
Apple Inc. | 2.450% | 8/4/26 | 7,245 | 7,707 | ||
Apple Inc. | 2.050% | 9/11/26 | 8,000 | 8,370 | ||
Apple Inc. | 3.350% | 2/9/27 | 13,158 | 14,606 | ||
Apple Inc. | 2.900% | 9/12/27 | 19,825 | 21,611 | ||
Apple Inc. | 3.000% | 11/13/27 | 5,280 | 5,779 | ||
Apple Inc. | 1.200% | 2/8/28 | 38,000 | 37,434 | ||
Apple Inc. | 1.650% | 2/8/31 | 14,000 | 13,777 | ||
Automatic Data Processing Inc. | 1.700% | 5/15/28 | 23,390 | 23,583 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 20,000 | 19,105 | ||
Intel Corp. | 3.400% | 3/25/25 | 27,000 | 29,475 | ||
Intel Corp. | 3.700% | 7/29/25 | 10,000 | 11,050 | ||
Intel Corp. | 3.750% | 3/25/27 | 4,660 | 5,264 | ||
Intel Corp. | 2.450% | 11/15/29 | 21,350 | 22,487 | ||
9 | International Business Machines Corp. | 0.375% | 1/31/23 | 8,000 | 9,586 | |
International Business Machines Corp. | 3.000% | 5/15/24 | 6,703 | 7,143 | ||
International Business Machines Corp. | 3.450% | 2/19/26 | 2,500 | 2,760 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 61,085 | 67,176 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 19,985 | 22,374 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 1,365 | 1,489 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 3,825 | 4,076 | ||
NVIDIA Corp. | 1.550% | 6/15/28 | 50,000 | 49,814 | ||
NVIDIA Corp. | 2.850% | 4/1/30 | 5,000 | 5,414 | ||
NVIDIA Corp. | 2.000% | 6/15/31 | 40,000 | 40,044 | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 10,570 | 11,673 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 25,188 | 24,653 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 21,117 | 20,192 | ||
S&P Global Inc. | 2.500% | 12/1/29 | 10,680 | 11,214 | ||
6 | salesforce.com Inc. | 1.500% | 7/15/28 | 15,000 | 14,998 | |
6 | salesforce.com Inc. | 1.950% | 7/15/31 | 17,500 | 17,527 | |
Texas Instruments Inc. | 2.625% | 5/15/24 | 1,980 | 2,089 | ||
Texas Instruments Inc. | 2.250% | 9/4/29 | 10,000 | 10,412 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 9,245 | 9,190 | ||
658,423 | ||||||
Utilities (1.9%) | ||||||
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 8,040 | 8,735 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 8,575 | 8,252 | ||
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 14,200 | 15,180 | ||
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 11,165 | 12,269 | ||
5 | CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 8,745 | 8,975 | |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 2,480 | 2,639 | ||
5 | Connecticut Light & Power Co. | 3.200% | 3/15/27 | 21,650 | 23,789 | |
5 | Connecticut Light & Power Co. | 2.050% | 7/1/31 | 15,000 | 15,116 | |
DTE Electric Co. | 2.650% | 6/15/22 | 10,112 | 10,279 | ||
DTE Electric Co. | 3.650% | 3/15/24 | 8,453 | 9,074 | ||
DTE Electric Co. | 3.375% | 3/1/25 | 520 | 562 | ||
5 | DTE Electric Co. | 1.900% | 4/1/28 | 4,400 | 4,475 | |
DTE Electric Co. | 2.250% | 3/1/30 | 11,838 | 12,160 | ||
5 | DTE Electric Co. | 2.625% | 3/1/31 | 9,170 | 9,664 | |
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 6,005 | 6,887 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 7,430 | 7,729 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 8,555 | 8,896 | ||
Duke Energy Florida LLC | 3.200% | 1/15/27 | 17,632 | 19,260 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 10,765 | 12,193 | ||
Duke Energy Florida LLC | 2.500% | 12/1/29 | 16,960 | 17,798 | ||
Duke Energy Progress LLC | 3.375% | 9/1/23 | 2,500 | 2,653 | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 8,126 | 8,831 | ||
Duke Energy Progress LLC | 3.700% | 9/1/28 | 12,100 | 13,622 | ||
Duke Energy Progress LLC | 3.450% | 3/15/29 | 1,520 | 1,684 | ||
Entergy Arkansas LLC | 3.700% | 6/1/24 | 6,213 | 6,709 | ||
Entergy Arkansas LLC | 3.500% | 4/1/26 | 10,288 | 11,309 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 8,675 | 9,969 | ||
Entergy Louisiana LLC | 4.050% | 9/1/23 | 1,075 | 1,147 | ||
Entergy Louisiana LLC | 2.400% | 10/1/26 | 5,560 | 5,824 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 11,909 | 12,996 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 4,435 | 4,248 | ||
Entergy Louisiana LLC | 2.350% | 6/15/32 | 3,950 | 4,006 | ||
Evergy Kansas Central Inc. | 2.550% | 7/1/26 | 13,385 | 14,156 | ||
Florida Power & Light Co. | 2.850% | 4/1/25 | 28,543 | 30,502 | ||
Georgia Power Co. | 2.850% | 5/15/22 | 1,820 | 1,861 | ||
5,8 | Korea East-West Power Co. Ltd. | 1.750% | 5/6/25 | 15,000 | 15,315 | |
MidAmerican Energy Co. | 3.100% | 5/1/27 | 1,170 | 1,278 | ||
MidAmerican Energy Co. | 3.650% | 4/15/29 | 2,010 | 2,276 | ||
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 3,375 | 3,490 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 4,350 | 4,592 | ||
National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 11,255 | 12,271 | ||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 9,675 | 10,652 | ||
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 10,945 | 12,433 | ||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 9,996 | 11,210 | ||
5 | Nevada Power Co. | 2.400% | 5/1/30 | 8,360 | 8,619 | |
NSTAR Electric Co. | 2.375% | 10/15/22 | 4,490 | 4,580 | ||
5 | Ohio Power Co. | 1.625% | 1/15/31 | 4,975 | 4,784 | |
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 20,000 | 21,225 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 6,350 | 6,785 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 23,000 | 22,450 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 8,555 | 9,680 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 5/15/30 | 2,750 | 2,930 | ||
PacifiCorp | 3.600% | 4/1/24 | 7,640 | 8,201 | ||
PacifiCorp | 3.500% | 6/15/29 | 27,904 | 30,999 | ||
Potomac Electric Power Co. | 3.600% | 3/15/24 | 4,925 | 5,283 | ||
5 | Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 8,385 | 8,991 | |
5 | Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 5,000 | 5,248 | |
5 | Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 5,430 | 5,874 | |
5 | Public Service Electric & Gas Co. | 3.700% | 5/1/28 | 1,980 | 2,246 | |
5 | Public Service Electric & Gas Co. | 3.650% | 9/1/28 | 2,730 | 3,083 | |
5 | Public Service Electric & Gas Co. | 2.450% | 1/15/30 | 7,500 | 7,821 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 14,881 | 15,822 | ||
Union Electric Co. | 2.950% | 6/15/27 | 1,177 | 1,272 | ||
Union Electric Co. | 2.950% | 3/15/30 | 15,000 | 16,102 | ||
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 2,040 | 2,055 | ||
5 | Virginia Electric & Power Co. | 2.750% | 3/15/23 | 2,515 | 2,602 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,730 | 1,844 | ||
5 | Virginia Electric & Power Co. | 3.100% | 5/15/25 | 6,210 | 6,646 | |
5 | Virginia Electric & Power Co. | 3.150% | 1/15/26 | 5,700 | 6,205 | |
5 | Virginia Electric & Power Co. | 2.950% | 11/15/26 | 10,000 | 10,804 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 6,260 | 6,944 | |
646,061 | ||||||
Total Corporate Bonds (Cost $10,011,134) | 10,290,183 | |||||
Sovereign Bonds (2.6%) | ||||||
5 | Arab Petroleum Investments Corp. | 1.460% | 6/30/25 | 2,880 | 2,913 | |
5,8 | Banco del Estado de Chile | 2.704% | 1/9/25 | 9,000 | 9,389 | |
5,8 | Bermuda | 4.138% | 1/3/23 | 2,700 | 2,843 | |
5 | Bermuda | 4.138% | 1/3/23 | 1,150 | 1,213 | |
5,8 | Bermuda | 4.854% | 2/6/24 | 3,206 | 3,533 | |
5 | Bermuda | 4.854% | 2/6/24 | 13,034 | 14,392 | |
5 | Bermuda | 3.717% | 1/25/27 | 8,089 | 8,867 | |
5 | Bermuda | 4.750% | 2/15/29 | 3,810 | 4,469 | |
5,8 | Bermuda | 2.375% | 8/20/30 | 15,000 | 15,002 | |
5,8 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,519 | 1,636 | |
5 | CDP Financial Inc. | 3.150% | 7/24/24 | 20,000 | 21,544 | |
5,8 | CDP Financial Inc. | 0.875% | 6/10/25 | 40,000 | 40,084 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 6,291 | 6,520 | ||
5,8,10 | Development Bank of Japan Inc. | 3.125% | 9/6/23 | 12,000 | 12,684 | |
5,10 | Development Bank of Japan Inc. | 2.750% | 9/16/25 | 8,500 | 9,123 | |
5,8,11 | Dexia Credit Local SA | 1.875% | 9/15/21 | 14,000 | 14,043 | |
5,8,11 | Dexia Credit Local SA | 2.375% | 9/20/22 | 16,910 | 17,330 | |
5,8,11 | Dexia Credit Local SA | 3.250% | 9/26/23 | 70,000 | 74,246 | |
Equinor ASA | 3.150% | 1/23/22 | 8,000 | 8,127 | ||
Equinor ASA | 2.450% | 1/17/23 | 1,904 | 1,965 | ||
Equinor ASA | 3.700% | 3/1/24 | 7,000 | 7,567 | ||
Export-Import Bank of Korea | 1.875% | 10/21/21 | 10,000 | 10,045 | ||
Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,000 | 2,068 | ||
Export-Import Bank of Korea | 2.375% | 6/25/24 | 18,000 | 18,958 | ||
Export-Import Bank of Korea | 3.250% | 11/10/25 | 10,000 | 10,928 | ||
Export-Import Bank of Korea | 2.625% | 5/26/26 | 2,000 | 2,143 | ||
5 | Hydro-Quebec | 8.050% | 7/7/24 | 470 | 570 | |
5 | IDB Trust Services Ltd. | 2.393% | 4/12/22 | 25,624 | 26,003 | |
10 | Japan Bank for International Cooperation | 3.375% | 10/31/23 | 10,000 | 10,666 | |
5,10 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 20,000 | 21,083 | |
5 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 12,238 | 12,318 | |
5 | Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 5,918 | 6,545 | |
Korea Development Bank | 4.625% | 11/16/21 | 605 | 615 | ||
Korea Development Bank | 3.375% | 3/12/23 | 30,000 | 31,441 | ||
Korea Development Bank | 2.125% | 10/1/24 | 33,000 | 34,606 | ||
5 | Korea Electric Power Corp. | 1.125% | 6/15/25 | 18,400 | 18,354 | |
5 | Korea Hydro & Nuclear Power Co. Ltd. | 4.750% | 7/13/21 | 9,984 | 9,997 | |
8 | Korea Hydro & Nuclear Power Co. Ltd. | 1.250% | 4/27/26 | 35,000 | 34,835 | |
5 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 13,168 | 14,516 | |
5 | Malaysia Sovereign Sukuk Bhd. | 3.043% | 4/22/25 | 510 | 547 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 20,096 | 20,454 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,600 | 7,284 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 24,580 | 28,030 | |
5,8 | Ontario Teachers' Finance Trust | 1.250% | 9/27/30 | 25,000 | 23,910 | |
Province of Manitoba | 2.100% | 9/6/22 | 2,100 | 2,145 | ||
Province of Quebec | 2.750% | 8/25/21 | 10,150 | 10,189 | ||
5 | Province of Quebec | 7.500% | 7/15/23 | 2,065 | 2,353 | |
5 | Province of Quebec | 7.125% | 2/9/24 | 2,674 | 3,117 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
6,8 | Qatar Petroleum | 1.375% | 9/12/26 | 27,202 | 27,176 | |
Republic of Chile | 3.125% | 3/27/25 | 5,000 | 5,373 | ||
5 | Republic of Chile | 3.240% | 2/6/28 | 11,616 | 12,646 | |
5 | Republic of Lithuania | 6.625% | 2/1/22 | 16,800 | 17,414 | |
Republic of Poland | 5.000% | 3/23/22 | 29,062 | 30,078 | ||
5 | Republic of Slovenia | 5.500% | 10/26/22 | 3,385 | 3,617 | |
5 | Republic of Slovenia | 5.250% | 2/18/24 | 18,841 | 21,107 | |
5,8 | Saudi Arabian Oil Co. | 1.250% | 11/24/23 | 11,000 | 11,113 | |
5 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 888 | 958 | |
5 | Sinopec Group Overseas Development 2014 Ltd. | 4.375% | 4/10/24 | 288 | 315 | |
5 | Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 304 | 325 | |
5,8 | Slovak Republic | 4.375% | 5/21/22 | 2,500 | 2,591 | |
5 | Slovak Republic | 4.375% | 5/21/22 | 706 | 733 | |
5 | State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 800 | 835 | |
5 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 12,340 | 12,547 | |
5 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 7,920 | 8,719 | |
State of Israel | 2.750% | 7/3/30 | 11,864 | 12,685 | ||
5 | State of Qatar | 4.500% | 1/20/22 | 29,000 | 29,656 | |
5 | State of Qatar | 3.875% | 4/23/23 | 2,501 | 2,656 | |
5 | State of Qatar | 3.400% | 4/16/25 | 9,195 | 10,031 | |
5 | State of Qatar | 3.250% | 6/2/26 | 3,600 | 3,945 | |
5,8 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 2,000 | 2,060 | |
5,8 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 20,000 | 22,666 | |
Total Sovereign Bonds (Cost $851,263) | 880,456 | |||||
Taxable Municipal Bonds (1.0%) | ||||||
California GO | 2.650% | 4/1/26 | 50,000 | 53,802 | ||
Dallas TX Waterworks & Sewer System Revenue | 2.589% | 10/1/27 | 1,450 | 1,545 | ||
Florida State Board of Administration Finance Corp. Revenue | 1.705% | 7/1/27 | 75,000 | 76,214 | ||
Florida State Board of Administration Finance Corp. Revenue | 2.154% | 7/1/30 | 55,000 | 56,074 | ||
New York City NY GO | 3.750% | 6/1/28 | 1,020 | 1,118 | ||
New York City NY GO | 2.330% | 10/1/29 | 5,000 | 5,239 | ||
Texas Public Finance Authority GO | 2.531% | 10/1/23 | 480 | 502 | ||
University of California Revenue | 3.063% | 7/1/25 | 3,430 | 3,708 | ||
University of California Revenue | 1.316% | 5/15/27 | 25,000 | 25,076 | ||
University of California Revenue | 3.349% | 7/1/29 | 48,635 | 54,826 | ||
University of California Revenue | 1.614% | 5/15/30 | 34,665 | 34,339 | ||
12 | Wisconsin General Fund Annual Appropriation Revenue | 5.700% | 5/1/26 | 2,410 | 2,805 | |
Total Taxable Municipal Bonds (Cost $309,530) | 315,248 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (9.8%) | ||||||
Money Market Fund (9.8%) | ||||||
13 | Vanguard Market Liquidity Fund (Cost $3,279,261) | 0.056% | 32,792,657 | 3,279,266 | ||
Total Investments (112.0%) (Cost $36,867,638) | 37,300,940 | |||||
Other Assets and Liabilities—Net (-12.0%) | (3,986,576) | |||||
Net Assets (100%) | 33,314,364 |
Cost is in $000. |
1 | Securities with a value of $5,076,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $4,800,000 have been segregated as initial margin for open centrally cleared swap contracts. |
3 | Securities with a value of $14,445,000 have been segregated as initial margin for open futures 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2021. |
7 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
8 | 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 June 30, 2021, the aggregate value was $2,284,720,000, representing 6.9% of net assets. |
9 | Face amount denominated in euro. |
10 | Guaranteed by the Government of Japan. |
11 | Guaranteed by multiple countries. |
12 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
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. | |
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. | |
SOFR—Secured Overnight Financing Rate. | |
UMBS—Uniform Mortgage-Backed Securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | September 2021 | 4,906 | 605,546 | (1,611) |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | September 2021 | (267) | (58,825) | (13) |
10-Year U.S. Treasury Note | September 2021 | (1,800) | (238,500) | (515) |
Euro-Bobl | September 2021 | (348) | (55,356) | 59 |
Euro-Schatz | September 2021 | (1,949) | (259,159) | 45 |
Long U.S. Treasury Bond | September 2021 | (765) | (122,974) | (754) |
Ultra 10-Year U.S. Treasury Note | September 2021 | (1,067) | (157,066) | (434) |
Ultra Long U.S. Treasury Bond | September 2021 | (517) | (99,619) | (679) |
(2,291) | ||||
(3,902) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Barclays Bank plc | 7/27/21 | EUR | 5,740 | USD | 6,858 | — | (48) |
Bank of America, N.A. | 7/29/21 | EUR | 855 | USD | 1,021 | — | (7) |
Citibank, N.A. | 7/27/21 | EUR | 66 | USD | 79 | — | — |
State Street Bank & Trust Co. | 7/27/21 | USD | 97,107 | EUR | 81,184 | 792 | — |
Bank of Montreal | 7/27/21 | USD | 92,875 | EUR | 78,000 | 337 | — |
Citibank, N.A. | 7/27/21 | USD | 90,194 | EUR | 75,534 | 582 | — |
Royal Bank of Canada | 7/27/21 | USD | 6,872 | EUR | 5,740 | 62 | — |
State Street Bank & Trust Co. | 7/29/21 | USD | 5,451 | EUR | 4,560 | 41 | — |
Morgan Stanley Capital Services LLC | 7/27/21 | USD | 119 | EUR | 100 | — | — |
BNP Paribas | 7/27/21 | USD | 69 | EUR | 58 | — | — |
Deutsche Bank AG | 7/29/21 | USD | 48 | EUR | 40 | — | — |
1,814 | (55) |
EUR—euro. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
America Movil SAB de CV/A3 | 6/20/23 | BARC | 6,200 | 1.000 | 71 | (44) | 115 | — |
Republic of Chile/A1 | 6/20/26 | BOANA | 7,823 | 1.000 | 162 | 114 | 48 | — |
Republic of Chile/A1 | 6/20/26 | CITNA | 20,000 | 1.000 | 413 | 351 | 62 | — |
Republic of Chile/A1 | 6/20/26 | CITNA | 16,000 | 1.000 | 331 | 265 | 66 | — |
Republic of Chile/A1 | 6/20/26 | DBAG | 8,000 | 1.000 | 165 | 134 | 31 | — |
Republic of Chile/A1 | 6/20/26 | GSI | 26,100 | 1.000 | 539 | 348 | 191 | — |
Republic of Chile/A1 | 6/20/26 | JPMC | 14,855 | 1.000 | 307 | 253 | 54 | — |
Republic of Chile/A1 | 6/20/26 | MSCS | 10,860 | 1.000 | 224 | 214 | 10 | — |
2,212 | 1,635 | 577 | — | |||||
Credit Protection Purchased | ||||||||
State of Qatar | 6/20/22 | BOANA | 4,080 | (1.000) | (37) | 10 | — | (47) |
State of Qatar | 6/20/22 | CITNA | 7,920 | (1.000) | (72) | 18 | — | (90) |
(109) | 28 | — | (137) | |||||
2,103 | 1,663 | 577 | (137) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
BOANA—Bank of America, N.A. |
CITNA—Citibank, N.A. |
DBAG—Deutsche Bank AG. |
GSI—Goldman Sachs International. |
JPMC—JPMorgan Chase Bank, N.A. |
MSCS—Morgan Stanley Capital Services LLC. |
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.
At June 30, 2021, the counterparties had deposited in segregated accounts securities with a value of $990,000 and cash of $881,000 in connection with open forward currency contracts and over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date1 | Notional Amount ($000) | Interest Rate Received2 (%) | Interest Rate (Paid)3 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
9/15/23 | 9/15/21 | 126,304 | 0.000 | (0.000) | 624 | 257 |
9/15/24 | 9/15/21 | 85,854 | 0.000 | (0.250) | 539 | 394 |
9/15/25 | 9/15/21 | 18,145 | 0.000 | (0.250) | 285 | 105 |
9/15/26 | 9/15/21 | 39,193 | 0.000 | (0.250) | 1,051 | 213 |
9/15/28 | 9/15/21 | 33,321 | 0.000 | (0.500) | 1,167 | 71 |
3,666 | 1,040 |
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 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually. |
3 Interest payment received/paid annually. |
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. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is
compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. 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 difference 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 either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In return, the counterparty agrees to pay a different 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.
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 the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
F. 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 June 30, 2021, counterparties had deposited in segregated accounts cash of $1,816,000 in connection with TBA transactions.
G. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.
H. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of June 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 19,453,039 | — | 19,453,039 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 3,082,748 | — | 3,082,748 |
Corporate Bonds | — | 10,290,183 | — | 10,290,183 |
Sovereign Bonds | — | 880,456 | — | 880,456 |
Taxable Municipal Bonds | — | 315,248 | — | 315,248 |
Temporary Cash Investments | 3,279,266 | — | — | 3,279,266 |
Total | 3,279,266 | 34,021,674 | — | 37,300,940 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 104 | — | — | 104 |
Forward Currency Contracts | — | 1,814 | — | 1,814 |
Swap Contracts | 1,0401 | 577 | — | 1,617 |
Total | 1,144 | 2,391 | — | 3,535 |
Liabilities | ||||
Futures Contracts1 | 4,006 | — | — | 4,006 |
Forward Currency Contracts | — | 55 | — | 55 |
Swap Contracts | — | 137 | — | 137 |
Total | 4,006 | 192 | — | 4,198 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |