Vanguard® Core-Plus Bond Fund
Schedule of Investments (unaudited)
As of December 31, 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 (49.5%) | ||||||
U.S. Government Securities (35.9%) | ||||||
United States Treasury Note/Bond | 0.125% | 7/31/23 | 30,000 | 29,761 | ||
United States Treasury Note/Bond | 0.375% | 10/31/23 | 6,000 | 5,966 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 10,000 | 9,858 | ||
United States Treasury Note/Bond | 0.625% | 10/15/24 | 22,000 | 21,821 | ||
United States Treasury Note/Bond | 0.875% | 9/30/26 | 20,000 | 19,644 | ||
United States Treasury Note/Bond | 1.250% | 11/30/26 | 14,000 | 13,993 | ||
United States Treasury Note/Bond | 1.250% | 9/30/28 | 9,000 | 8,896 | ||
United States Treasury Note/Bond | 1.375% | 10/31/28 | 7,000 | 6,971 | ||
1,2 | United States Treasury Note/Bond | 1.250% | 8/15/31 | 7,500 | 7,329 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 4,000 | 5,817 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 3,500 | 3,671 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 7,000 | 7,067 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 1,000 | 1,211 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 9,000 | 10,922 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 7,000 | 7,135 | ||
160,062 | ||||||
Conventional Mortgage-Backed Securities (13.6%) | ||||||
3,4 | Ginnie Mae II Pool | 2.000% | 1/15/52 | 3,500 | 3,531 | |
3,4 | Ginnie Mae II Pool | 2.500% | 1/15/52 | 2,500 | 2,562 | |
3,4 | Ginnie Mae II Pool | 3.000% | 1/15/52 | 4,500 | 4,657 | |
3,4,5 | UMBS Pool | 1.500% | 1/25/37–2/25/52 | 2,500 | 2,411 | |
3,4,5 | UMBS Pool | 2.000% | 1/25/37–1/25/52 | 25,140 | 25,417 | |
3,4,5 | UMBS Pool | 2.500% | 10/1/50–1/25/52 | 827 | 934 | |
3,4,5 | UMBS Pool | 3.000% | 12/1/51–2/25/52 | 13,491 | 13,996 | |
3,4,5 | UMBS Pool | 3.500% | 1/25/52–3/25/52 | 5,500 | 5,774 | |
3,5 | UMBS Pool | 4.000% | 7/1/47 | 805 | 865 | |
3,4,5 | UMBS Pool | 4.500% | 5/1/50–1/25/52 | 689 | 739 | |
60,886 | ||||||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
3,5 | Freddie Mac REMICS | 2.000% | 1/25/52 | 207 | 204 | |
Total U.S. Government and Agency Obligations (Cost $221,504) | 221,152 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.7%) | ||||||
3 | BANK Series 2019-BN23 | 2.920% | 12/15/52 | 1,300 | 1,375 | |
3 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 1,130 | 1,214 | |
3 | Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | 1,300 | 1,386 | |
3 | COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | 1,300 | 1,385 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,5 | FHLMC Multifamily Structured Pass-Through Certificates Series K028 | 3.111% | 2/25/23 | 596 | 608 | |
3,5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series K069 | 0.362% | 9/25/27 | 1,669 | 33 | |
3,5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series K135 | 0.191% | 10/25/31 | 13,000 | 218 | |
3,5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series KG05 | 0.312% | 1/25/31 | 4,915 | 127 | |
3,5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series KG06 | 0.532% | 10/25/31 | 8,999 | 410 | |
3,5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series KSG2 | 0.122% | 11/25/31 | 17,708 | 208 | |
3,7 | Ford Credit Auto Owner Trust Series 2018-1 | 3.190% | 7/15/31 | 500 | 525 | |
3,7 | JP Morgan Mortgage Trust Series 2021-15 | 3.000% | 6/25/52 | 2,000 | 2,034 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 700 | 735 | |
3 | JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | 1,295 | 1,367 | |
3 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 4.734% | 5/15/49 | 100 | 102 | |
3,7 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 350 | 327 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $12,089) | 12,054 | |||||
Corporate Bonds (32.6%) | ||||||
Communications (2.4%) | ||||||
AT&T Inc. | 1.700% | 3/25/26 | 283 | 282 | ||
AT&T Inc. | 4.350% | 3/1/29 | 283 | 318 | ||
AT&T Inc. | 4.900% | 8/15/37 | 113 | 136 | ||
AT&T Inc. | 6.300% | 1/15/38 | 140 | 191 | ||
AT&T Inc. | 3.100% | 2/1/43 | 73 | 71 | ||
AT&T Inc. | 5.150% | 2/15/50 | 226 | 290 | ||
AT&T Inc. | 3.550% | 9/15/55 | 254 | 254 | ||
AT&T Inc. | 3.800% | 12/1/57 | 60 | 63 | ||
AT&T Inc. | 3.650% | 9/15/59 | 85 | 86 | ||
7 | Cable One Inc. | 4.000% | 11/15/30 | 280 | 276 | |
7 | CCO Holdings LLC | 5.000% | 2/1/28 | 130 | 135 | |
7 | CCO Holdings LLC | 4.750% | 3/1/30 | 130 | 136 | |
Charter Communications Operating LLC | 3.750% | 2/15/28 | 226 | 242 | ||
Charter Communications Operating LLC | 3.850% | 4/1/61 | 283 | 267 | ||
Comcast Corp. | 2.350% | 1/15/27 | 452 | 467 | ||
Comcast Corp. | 4.150% | 10/15/28 | 141 | 160 | ||
Comcast Corp. | 3.750% | 4/1/40 | 283 | 317 | ||
Comcast Corp. | 3.450% | 2/1/50 | 73 | 78 | ||
7 | Comcast Corp. | 2.987% | 11/1/63 | 367 | 349 | |
7 | CSC Holdings LLC | 4.625% | 12/1/30 | 70 | 66 | |
7 | Directv Financing LLC | 5.875% | 8/15/27 | 275 | 282 | |
Discovery Communications LLC | 3.950% | 3/20/28 | 113 | 123 | ||
Discovery Communications LLC | 6.350% | 6/1/40 | 107 | 147 | ||
7 | DISH DBS Corp. | 5.250% | 12/1/26 | 110 | 112 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Expedia Group Inc. | 2.950% | 3/15/31 | 209 | 209 | ||
7 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 130 | 131 | |
7 | Gray Escrow II Inc. | 5.375% | 11/15/31 | 140 | 144 | |
Interpublic Group of Cos. Inc. | 3.375% | 3/1/41 | 140 | 143 | ||
7 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 170 | 169 | |
Netflix Inc. | 4.875% | 4/15/28 | 200 | 228 | ||
7 | News Corp. | 3.875% | 5/15/29 | 180 | 182 | |
7 | Nexstar Media Inc. | 5.625% | 7/15/27 | 260 | 274 | |
Sprint Corp. | 7.125% | 6/15/24 | 240 | 270 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 170 | 187 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 170 | 211 | ||
Time Warner Cable LLC | 4.500% | 9/15/42 | 226 | 246 | ||
T-Mobile USA Inc. | 3.750% | 4/15/27 | 253 | 274 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 275 | 271 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 100 | 102 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 271 | 264 | ||
7 | T-Mobile USA Inc. | 3.400% | 10/15/52 | 113 | 113 | |
Verizon Communications Inc. | 3.000% | 3/22/27 | 226 | 238 | ||
Verizon Communications Inc. | 2.550% | 3/21/31 | 226 | 228 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 209 | 259 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 210 | 270 | ||
Verizon Communications Inc. | 5.012% | 4/15/49 | 311 | 415 | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 113 | 124 | ||
ViacomCBS Inc. | 4.200% | 6/1/29 | 141 | 157 | ||
ViacomCBS Inc. | 4.375% | 3/15/43 | 170 | 193 | ||
ViacomCBS Inc. | 4.950% | 5/19/50 | 85 | 108 | ||
Walt Disney Co. | 3.700% | 3/23/27 | 113 | 124 | ||
Walt Disney Co. | 4.750% | 11/15/46 | 113 | 145 | ||
7 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 140 | 138 | |
10,665 | ||||||
Consumer Discretionary (3.3%) | ||||||
7 | 1011778 BC ULC | 3.875% | 1/15/28 | 140 | 142 | |
3 | American Honda Finance Corp. | 3.625% | 10/10/23 | 315 | 330 | |
3 | American Honda Finance Corp. | 0.750% | 8/9/24 | 815 | 806 | |
8 | American Honda Finance Corp. | 1.950% | 10/18/24 | 200 | 240 | |
7 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 400 | 413 | |
AutoZone Inc. | 4.000% | 4/15/30 | 179 | 200 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 30 | 28 | ||
7 | BMW US Capital LLC | 2.800% | 4/11/26 | 390 | 408 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 130 | 134 | ||
7 | Carnival Corp. | 5.750% | 3/1/27 | 100 | 100 | |
7 | Carnival Corp. | 4.000% | 8/1/28 | 200 | 199 | |
7 | Cedar Fair LP | 5.500% | 5/1/25 | 260 | 270 | |
4,9,10,11 | Churchill Downs Inc. Bank Loan, 12M USD LIBOR + 2.000% | —% | 12/27/24 | 997 | 992 | |
7 | Clarios Global LP | 8.500% | 5/15/27 | 130 | 138 | |
7 | Daimler Finance North America LLC | 1.450% | 3/2/26 | 791 | 784 | |
Dana Inc. | 4.500% | 2/15/32 | 65 | 65 | ||
Ford Motor Co. | 3.250% | 2/12/32 | 250 | 256 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 200 | 207 | ||
Ford Motor Credit Co. LLC | 4.271% | 1/9/27 | 190 | 205 | ||
General Motors Co. | 5.200% | 4/1/45 | 170 | 210 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 452 | 442 | ||
Home Depot Inc. | 1.375% | 3/15/31 | 402 | 379 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 170 | 169 | ||
Lennar Corp. | 5.250% | 6/1/26 | 1,554 | 1,747 | ||
7 | Lithia Motors Inc. | 4.625% | 12/15/27 | 260 | 273 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Lithia Motors Inc. | 3.875% | 6/1/29 | 70 | 72 | |
7 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 190 | 208 | |
7 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 140 | 139 | |
7 | NCL Corp. Ltd. | 5.875% | 3/15/26 | 100 | 100 | |
7 | Nissan Motor Acceptance Co. LLC | 2.450% | 9/15/28 | 1,096 | 1,070 | |
7 | Nissan Motor Co. Ltd. | 3.522% | 9/17/25 | 1,808 | 1,895 | |
3,8 | Nissan Motor Co. Ltd. | 3.201% | 9/17/28 | 200 | 253 | |
7 | Thor Industries Inc. | 4.000% | 10/15/29 | 140 | 139 | |
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 250 | 280 | ||
3,12 | Volkswagen Financial Services NV | 1.125% | 9/18/23 | 300 | 404 | |
3,8 | Volkswagen International Finance NV | 3.375% | 6/27/70 | 100 | 120 | |
3,8 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 100 | 118 | |
7 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 300 | 300 | |
4,9,10,11 | Wyndham Hotels & Resorts Inc. Bank Loan, 12M USD LIBOR + 1.750% | —% | 5/30/25 | 399 | 395 | |
14,630 | ||||||
Consumer Staples (2.2%) | ||||||
7 | 7-Eleven Inc. | 1.800% | 2/10/31 | 424 | 402 | |
7 | 7-Eleven Inc. | 2.500% | 2/10/41 | 339 | 312 | |
7 | 7-Eleven Inc. | 2.800% | 2/10/51 | 198 | 184 | |
8 | Altria Group Inc. | 1.700% | 6/15/25 | 100 | 118 | |
Altria Group Inc. | 3.875% | 9/16/46 | 170 | 165 | ||
Altria Group Inc. | 3.700% | 2/4/51 | 170 | 159 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.900% | 1/23/31 | 520 | 626 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 429 | 466 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 4/15/58 | 441 | 555 | ||
3,12 | BAT Capital Corp. | 2.125% | 8/15/25 | 100 | 135 | |
BAT Capital Corp. | 4.540% | 8/15/47 | 429 | 448 | ||
BAT International Finance plc | 1.668% | 3/25/26 | 1,582 | 1,555 | ||
8 | CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | 100 | 118 | |
Constellation Brands Inc. | 3.600% | 2/15/28 | 791 | 854 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 876 | 898 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 283 | 310 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 130 | 140 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 330 | 357 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 120 | 151 | ||
7 | Performance Food Group Inc. | 4.250% | 8/1/29 | 140 | 139 | |
Philip Morris International Inc. | 2.100% | 5/1/30 | 887 | 871 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 106 | 123 | ||
7 | Post Holdings Inc. | 5.500% | 12/15/29 | 200 | 210 | |
7 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 565 | 599 | |
9,895 | ||||||
Energy (4.0%) | ||||||
7 | Antero Resources Corp. | 5.375% | 3/1/30 | 130 | 139 | |
Baker Hughes Holdings LLC | 1.231% | 12/15/23 | 200 | 201 | ||
BP Capital Markets America Inc. | 3.937% | 9/21/28 | 339 | 376 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 226 | 229 | ||
8 | BP Capital Markets plc | 3.250% | 6/22/70 | 100 | 120 | |
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 200 | 215 | ||
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 113 | 149 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 700 | 775 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 130 | 137 | ||
7 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 180 | 186 | |
7 | ConocoPhillips | 3.750% | 10/1/27 | 320 | 350 | |
7 | ConocoPhillips | 2.400% | 2/15/31 | 213 | 214 | |
7 | ConocoPhillips | 4.875% | 10/1/47 | 57 | 75 | |
7 | Continental Resources Inc. | 2.268% | 11/15/26 | 200 | 199 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Continental Resources Inc. | 2.875% | 4/1/32 | 200 | 196 | |
7 | CrownRock LP | 5.625% | 10/15/25 | 130 | 133 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 240 | 272 | ||
Devon Energy Corp. | 5.250% | 9/15/24 | 226 | 244 | ||
Devon Energy Corp. | 4.750% | 5/15/42 | 113 | 131 | ||
7 | DT Midstream Inc. | 4.125% | 6/15/29 | 270 | 278 | |
7 | Endeavor Energy Resources LP | 6.625% | 7/15/25 | 130 | 138 | |
Energy Transfer LP | 4.950% | 5/15/28 | 845 | 940 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 339 | 400 | ||
7 | EnLink Midstream LLC | 5.625% | 1/15/28 | 190 | 198 | |
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 305 | 321 | ||
8 | Exxon Mobil Corp. | 0.142% | 6/26/24 | 200 | 228 | |
Exxon Mobil Corp. | 2.992% | 3/19/25 | 452 | 475 | ||
Exxon Mobil Corp. | 2.995% | 8/16/39 | 339 | 347 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 226 | 229 | ||
3 | Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 550 | 590 | |
3 | Harvest Operations Corp. | 1.000% | 4/26/24 | 1,875 | 1,869 | |
3 | KazMunayGas National Co. JSC | 5.375% | 4/24/30 | 1,000 | 1,167 | |
Marathon Petroleum Corp. | 5.125% | 12/15/26 | 400 | 456 | ||
7 | MEG Energy Corp. | 6.500% | 1/15/25 | 130 | 132 | |
MPLX LP | 4.500% | 4/15/38 | 396 | 446 | ||
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 330 | 338 | ||
Occidental Petroleum Corp. | 4.400% | 8/15/49 | 100 | 102 | ||
Petrobras Global Finance BV | 6.250% | 3/17/24 | 1,100 | 1,188 | ||
3 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 1,100 | 1,084 | |
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 350 | 396 | ||
Southwestern Energy Co. | 4.750% | 2/1/32 | 100 | 105 | ||
4,9,10,11 | Southwestern Energy Co. Bank Loan, 4M USD LIBOR + 2.500% | —% | 6/22/27 | 265 | 265 | |
Suncor Energy Inc. | 4.000% | 11/15/47 | 147 | 165 | ||
7 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 70 | 73 | |
3,8 | TotalEnergies SE | 1.750% | 4/4/70 | 100 | 116 | |
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 655 | 731 | ||
Valero Energy Corp. | 3.650% | 12/1/51 | 370 | 368 | ||
7 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 200 | 208 | |
Western Midstream Operating LP | 5.300% | 2/1/30 | 60 | 66 | ||
17,760 | ||||||
Financials (7.3%) | ||||||
AerCap Ireland Capital DAC | 3.150% | 2/15/24 | 1,000 | 1,031 | ||
AerCap Ireland Capital DAC | 3.500% | 1/15/25 | 565 | 591 | ||
AerCap Ireland Capital DAC | 2.450% | 10/29/26 | 1,000 | 1,007 | ||
AerCap Ireland Capital DAC | 3.300% | 1/30/32 | 650 | 663 | ||
AerCap Ireland Capital DAC | 3.850% | 10/29/41 | 400 | 415 | ||
3 | Air Lease Corp. | 3.000% | 2/1/30 | 275 | 276 | |
3,8 | Athene Global Funding | 1.875% | 6/23/23 | 300 | 351 | |
3,8 | Athene Global Funding | 1.125% | 9/2/25 | 100 | 117 | |
7 | Athene Global Funding | 1.985% | 8/19/28 | 750 | 730 | |
12 | Aviva plc | 6.125% | 11/14/36 | 100 | 158 | |
3,8 | Banco Bilbao Vizcaya Argentaria SA | 2.575% | 2/22/29 | 100 | 118 | |
Bank of America Corp. | 0.976% | 4/22/25 | 1,600 | 1,587 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 900 | 893 | ||
Bank of America Corp. | 2.687% | 4/22/32 | 550 | 559 | ||
Bank of America Corp. | 2.972% | 7/21/52 | 275 | 276 | ||
3,12 | Barclays plc | 3.125% | 1/17/24 | 100 | 140 | |
Barclays plc | 5.200% | 5/12/26 | 1,000 | 1,119 | ||
Barclays plc | 3.811% | 3/10/42 | 225 | 239 | ||
Barclays plc | 3.330% | 11/24/42 | 500 | 508 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 200 | 186 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7,8 | Blackstone Private Credit Fund | 1.750% | 11/30/26 | 100 | 113 | |
3,8 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 100 | 114 | |
3,8 | Blackstone Property Partners Europe Holdings Sarl | 2.200% | 7/24/25 | 100 | 120 | |
3,8 | BNP Paribas SA | 0.500% | 7/15/25 | 200 | 230 | |
7 | BNP Paribas SA | 1.323% | 1/13/27 | 1,000 | 973 | |
3,8 | CaixaBank SA | 2.250% | 4/17/30 | 100 | 118 | |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 271 | 337 | ||
Citigroup Inc. | 4.125% | 7/25/28 | 550 | 605 | ||
Citigroup Inc. | 2.561% | 5/1/32 | 415 | 417 | ||
3,8 | Commonwealth Bank of Australia | 1.936% | 10/3/29 | 200 | 236 | |
8 | Credit Agricole Assurances SA | 4.250% | 1/13/70 | 100 | 125 | |
3,8 | Danske Bank A/S | 2.500% | 6/21/29 | 100 | 119 | |
3 | Deutsche Bank AG | 0.962% | 11/8/23 | 2,200 | 2,194 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 1,500 | 1,498 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 150 | 188 | ||
8 | Goldman Sachs Group Inc. | 3.375% | 3/27/25 | 200 | 251 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 1,400 | 1,494 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 275 | 276 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 225 | 224 | ||
12 | Hastings Group Finance plc | 3.000% | 5/24/25 | 100 | 142 | |
12 | HSBC Holdings plc | 1.750% | 7/24/27 | 200 | 267 | |
HSBC Holdings plc | 2.206% | 8/17/29 | 1,400 | 1,373 | ||
3,8 | Intesa Sanpaolo SpA | 1.000% | 7/4/24 | 200 | 232 | |
3,8 | Intesa Sanpaolo SpA | 0.625% | 2/24/26 | 300 | 339 | |
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 1,550 | 1,537 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 315 | 328 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 225 | 225 | ||
Morgan Stanley | 0.790% | 5/30/25 | 1,350 | 1,332 | ||
8 | Morgan Stanley | 0.406% | 10/29/27 | 100 | 113 | |
Morgan Stanley | 4.300% | 1/27/45 | 180 | 221 | ||
3,8 | Nationwide Building Society | 2.000% | 7/25/29 | 200 | 236 | |
3,12 | NIBC Bank NV | 3.125% | 11/15/23 | 200 | 279 | |
Nomura Holdings Inc. | 2.679% | 7/16/30 | 200 | 200 | ||
12 | Pension Insurance Corp. plc | 6.500% | 7/3/24 | 100 | 150 | |
12 | Phoenix Group Holdings plc | 6.625% | 12/18/25 | 100 | 157 | |
Prudential Financial Inc. | 3.935% | 12/7/49 | 250 | 293 | ||
12 | Rothesay Life plc | 8.000% | 10/30/25 | 100 | 163 | |
12 | Scottish Widows Ltd. | 5.500% | 6/16/23 | 100 | 143 | |
4,9,10,11 | Setanta Aircraft Leasing DAC Bank Loan, 2M USD LIBOR + 2.000% | —% | 11/5/28 | 400 | 400 | |
Synchrony Financial | 3.950% | 12/1/27 | 815 | 876 | ||
3,12 | Virgin Money UK plc | 2.625% | 8/19/31 | 100 | 134 | |
3,12 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 200 | 287 | |
3 | Westpac Banking Corp. | 4.322% | 11/23/31 | 905 | 979 | |
Westpac Banking Corp. | 3.133% | 11/18/41 | 500 | 496 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 904 | 928 | ||
32,426 | ||||||
Health Care (2.4%) | ||||||
AbbVie Inc. | 3.200% | 11/21/29 | 678 | 726 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 452 | 585 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 170 | 204 | ||
3 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 350 | 346 | |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 300 | 352 | ||
Anthem Inc. | 3.650% | 12/1/27 | 315 | 346 | ||
Anthem Inc. | 3.125% | 5/15/50 | 135 | 139 | ||
AstraZeneca plc | 4.375% | 8/17/48 | 311 | 401 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 200 | 204 | |
7 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 80 | 71 | |
7 | Baxter International Inc. | 2.272% | 12/1/28 | 225 | 227 | |
7 | Baxter International Inc. | 3.132% | 12/1/51 | 250 | 258 | |
3 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 240 | 238 | |
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 254 | 240 | ||
Centene Corp. | 2.450% | 7/15/28 | 210 | 208 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 1,074 | 1,206 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 876 | 836 | ||
GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 452 | 492 | ||
4,9,10,11 | Medline Borrower LP Bank Loan, 12M USD LIBOR + 3.250% | —% | 10/23/28 | 1,000 | 999 | |
7 | Option Care Health Inc. | 4.375% | 10/31/29 | 140 | 140 | |
7 | Roche Holdings Inc. | 1.930% | 12/13/28 | 450 | 453 | |
7 | Roche Holdings Inc. | 2.076% | 12/13/31 | 285 | 284 | |
7 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 130 | 134 | |
7 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 130 | 132 | |
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 315 | 318 | ||
3,8 | Utah Acquisition Sub Inc. | 2.250% | 11/22/24 | 200 | 241 | |
7 | Viatris Inc. | 2.700% | 6/22/30 | 339 | 340 | |
7 | Viatris Inc. | 4.000% | 6/22/50 | 735 | 786 | |
10,906 | ||||||
Industrials (4.1%) | ||||||
4,9,10,11 | AAdvantage Loyalty IP Ltd. Bank Loan, 4M USD LIBOR + 4.750% | —% | 4/20/28 | 2,000 | 2,070 | |
7 | Air Canada | 3.875% | 8/15/26 | 200 | 205 | |
7 | Allison Transmission Inc. | 4.750% | 10/1/27 | 200 | 208 | |
7 | American Airlines Inc. | 11.750% | 7/15/25 | 140 | 174 | |
7 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 270 | 276 | |
7 | Aramark Services Inc. | 5.000% | 2/1/28 | 130 | 135 | |
Boeing Co. | 4.875% | 5/1/25 | 565 | 619 | ||
Boeing Co. | 5.150% | 5/1/30 | 254 | 296 | ||
Boeing Co. | 5.705% | 5/1/40 | 678 | 871 | ||
Canadian Pacific Railway Co. | 1.750% | 12/2/26 | 120 | 121 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 330 | 336 | ||
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 515 | 662 | ||
4,9,10,11 | Clean Harbors Inc. Bank Loan, 12M USD LIBOR + 2.000% | —% | 10/8/28 | 1,000 | 998 | |
CSX Corp. | 3.800% | 11/1/46 | 283 | 320 | ||
7 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 680 | 680 | |
7 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 1,130 | 1,236 | |
3,8 | easyJet plc | 0.875% | 6/11/25 | 100 | 114 | |
General Dynamics Corp. | 3.750% | 5/15/28 | 452 | 500 | ||
General Dynamics Corp. | 2.850% | 6/1/41 | 226 | 231 | ||
3,12 | Heathrow Funding Ltd. | 6.750% | 12/3/26 | 100 | 164 | |
7 | Hertz Corp. | 4.625% | 12/1/26 | 20 | 20 | |
7 | Hertz Corp. | 5.000% | 12/1/29 | 15 | 15 | |
7 | Huntington Ingalls Industries Inc. | 2.043% | 8/16/28 | 283 | 277 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 113 | 126 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 198 | 227 | ||
7 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 3,390 | 3,624 | |
7 | Performance Food Group Inc. | 5.500% | 10/15/27 | 130 | 136 | |
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 283 | 317 | ||
Raytheon Technologies Corp. | 4.625% | 11/16/48 | 170 | 218 | ||
7 | Ritchie Bros Holdings Inc. | 4.750% | 12/15/31 | 145 | 151 | |
Rockwell Automation Inc. | 2.800% | 8/15/61 | 158 | 155 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7 | Rolls-Royce plc | 3.625% | 10/14/25 | 180 | 183 | |
4,9,10,11 | SkyMiles IP Ltd. Bank Loan, 4M USD LIBOR + 3.750% | —% | 10/20/27 | 1,714 | 1,810 | |
7 | TransDigm Inc. | 6.250% | 3/15/26 | 130 | 135 | |
TransDigm Inc. | 4.875% | 5/1/29 | 180 | 180 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 170 | 200 | ||
7 | United Airlines Inc. | 4.375% | 4/15/26 | 260 | 271 | |
7 | Vertiv Group Corp. | 4.125% | 11/15/28 | 140 | 142 | |
3,8 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 100 | 115 | |
18,518 | ||||||
Materials (1.5%) | ||||||
Air Products and Chemicals Inc. | 2.800% | 5/15/50 | 113 | 115 | ||
Allegheny Technologies Inc. | 4.875% | 10/1/29 | 140 | 140 | ||
7 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 180 | 188 | |
3,8 | Berry Global Inc. | 1.000% | 1/15/25 | 200 | 229 | |
4,9,10,11 | Berry Global Inc. Bank Loan, 6M USD LIBOR + 1.750% | —% | 7/1/26 | 1,000 | 993 | |
7 | Big River Steel LLC | 6.625% | 1/31/29 | 190 | 206 | |
7 | Canpack SA | 3.875% | 11/15/29 | 270 | 263 | |
7 | Chevron Phillips Chemical Co. LLC | 3.400% | 12/1/26 | 283 | 303 | |
7 | Cleveland-Cliffs Inc. | 6.750% | 3/15/26 | 130 | 138 | |
Dow Chemical Co. | 2.100% | 11/15/30 | 150 | 148 | ||
Dow Chemical Co. | 3.600% | 11/15/50 | 50 | 54 | ||
7 | Element Solutions Inc. | 3.875% | 9/1/28 | 270 | 273 | |
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 260 | 275 | ||
3,8 | Glencore Finance Europe Ltd. | 1.750% | 3/17/25 | 100 | 119 | |
7 | Glencore Funding LLC | 4.000% | 3/27/27 | 339 | 366 | |
7 | Graphic Packaging International LLC | 3.750% | 2/1/30 | 120 | 121 | |
7 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 140 | 140 | |
LYB International Finance III LLC | 3.375% | 10/1/40 | 339 | 353 | ||
7 | Minsur SA | 4.500% | 10/28/31 | 1,250 | 1,269 | |
7 | Olympus Water US Holding Corp. | 4.250% | 10/1/28 | 140 | 138 | |
Packaging Corp. of America | 3.000% | 12/15/29 | 113 | 118 | ||
Packaging Corp. of America | 3.050% | 10/1/51 | 57 | 57 | ||
Rio Tinto Finance USA Ltd. | 2.750% | 11/2/51 | 180 | 179 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 226 | 238 | ||
Sherwin-Williams Co. | 3.300% | 5/15/50 | 226 | 238 | ||
6,661 | ||||||
Real Estate (1.3%) | ||||||
3,12 | Akelius Residential Property AB | 2.375% | 8/15/25 | 100 | 138 | |
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 275 | 273 | ||
American Homes 4 Rent LP | 3.375% | 7/15/51 | 135 | 137 | ||
American Tower Corp. | 1.450% | 9/15/26 | 396 | 388 | ||
American Tower Corp. | 3.700% | 10/15/49 | 170 | 182 | ||
3,8 | Aroundtown SA | 0.625% | 7/9/25 | 200 | 230 | |
3,8 | Aroundtown SA | 1.625% | 7/15/70 | 100 | 109 | |
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 815 | 814 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 545 | 551 | ||
Corporate Office Properties LP | 2.000% | 1/15/29 | 365 | 351 | ||
8 | Digital Dutch Finco BV | 0.625% | 7/15/25 | 100 | 115 | |
8 | Fastighets AB Balder | 1.875% | 3/14/25 | 100 | 118 | |
12 | Hammerson plc | 3.500% | 10/27/25 | 100 | 137 | |
Healthpeak Properties Inc. | 2.875% | 1/15/31 | 550 | 572 | ||
3,8 | Heimstaden Bostad AB | 1.125% | 1/21/26 | 200 | 232 | |
3 | Host Hotels & Resorts LP | 2.900% | 12/15/31 | 425 | 411 | |
3,8 | Logicor Financing Sarl | 0.750% | 7/15/24 | 100 | 115 | |
7 | MGM Growth Properties Operating Partnership LP | 4.625% | 6/15/25 | 190 | 203 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3,8 | Samhallsbyggnadsbolaget i Norden AB | 1.750% | 1/14/25 | 100 | 117 | |
Simon Property Group LP | 2.200% | 2/1/31 | 315 | 309 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 135 | 139 | ||
12 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 100 | 136 | |
5,777 | ||||||
Technology (2.0%) | ||||||
Apple Inc. | 1.200% | 2/8/28 | 452 | 439 | ||
Apple Inc. | 2.375% | 2/8/41 | 226 | 219 | ||
Apple Inc. | 4.250% | 2/9/47 | 113 | 142 | ||
7 | Clarivate Science Holdings Corp. | 3.875% | 7/1/28 | 140 | 141 | |
7 | CommScope Inc. | 6.000% | 3/1/26 | 100 | 104 | |
Dell International LLC | 6.020% | 6/15/26 | 1,130 | 1,309 | ||
7 | Dell International LLC | 3.375% | 12/15/41 | 380 | 376 | |
Emerson Electric Co. | 2.000% | 12/21/28 | 1,300 | 1,299 | ||
Emerson Electric Co. | 2.200% | 12/21/31 | 260 | 259 | ||
7 | Fair Isaac Corp. | 4.000% | 6/15/28 | 200 | 205 | |
Global Payments Inc. | 1.500% | 11/15/24 | 170 | 170 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 350 | 352 | ||
7 | HP Inc. | 2.650% | 6/17/31 | 396 | 391 | |
7 | II-VI Inc. | 5.000% | 12/15/29 | 140 | 143 | |
Intel Corp. | 2.450% | 11/15/29 | 452 | 468 | ||
Intel Corp. | 4.100% | 5/19/46 | 186 | 220 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 283 | 324 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 141 | 138 | ||
7 | MSCI Inc. | 3.625% | 11/1/31 | 200 | 208 | |
Oracle Corp. | 2.500% | 4/1/25 | 311 | 319 | ||
Oracle Corp. | 3.250% | 5/15/30 | 424 | 438 | ||
Oracle Corp. | 4.000% | 11/15/47 | 424 | 440 | ||
salesforce.com Inc. | 2.700% | 7/15/41 | 678 | 676 | ||
7 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 75 | 79 | |
Western Digital Corp. | 4.750% | 2/15/26 | 190 | 208 | ||
9,067 | ||||||
Utilities (2.1%) | ||||||
3 | AEP Transmission Co. LLC | 3.650% | 4/1/50 | 200 | 222 | |
Ameren Corp. | 1.950% | 3/15/27 | 100 | 100 | ||
Ameren Corp. | 1.750% | 3/15/28 | 439 | 425 | ||
3 | Appalachian Power Co. | 2.700% | 4/1/31 | 565 | 578 | |
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 260 | 276 | ||
Berkshire Hathaway Energy Co. | 1.650% | 5/15/31 | 226 | 214 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 339 | 414 | ||
7 | Calpine Corp. | 4.500% | 2/15/28 | 130 | 135 | |
7 | Calpine Corp. | 5.125% | 3/15/28 | 140 | 142 | |
CenterPoint Energy Inc. | 2.950% | 3/1/30 | 339 | 350 | ||
CenterPoint Energy Inc. | 3.700% | 9/1/49 | 200 | 218 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 240 | 293 | ||
3 | DTE Electric Co. | 2.625% | 3/1/31 | 226 | 233 | |
DTE Electric Co. | 4.300% | 7/1/44 | 226 | 275 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 226 | 230 | ||
3,8 | Enel SpA | 3.375% | 11/24/70 | 100 | 124 | |
3 | Exelon Corp. | 3.950% | 6/15/25 | 665 | 712 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 280 | 277 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 552 | 548 | ||
7 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 140 | 151 | |
Pacific Gas & Electric Co. | 3.150% | 1/1/26 | 225 | 230 | ||
Pacific Gas & Electric Co. | 2.500% | 2/1/31 | 57 | 54 | ||
Pacific Gas & Electric Co. | 4.500% | 7/1/40 | 79 | 83 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Pacific Gas & Electric Co. | 3.500% | 8/1/50 | 57 | 53 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 500 | 566 | ||
PG&E Corp. | 5.250% | 7/1/30 | 200 | 210 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 565 | 624 | ||
3 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 500 | 541 | |
3 | Virginia Electric & Power Co. | 3.800% | 9/15/47 | 200 | 227 | |
7 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 130 | 135 | |
12 | Western Power Distribution plc | 3.625% | 11/6/23 | 100 | 141 | |
Xcel Energy Inc. | 2.350% | 11/15/31 | 200 | 200 | ||
Xcel Energy Inc. | 3.500% | 12/1/49 | 200 | 215 | ||
9,196 | ||||||
Total Corporate Bonds (Cost $145,567) | 145,501 | |||||
Sovereign Bonds (8.6%) | ||||||
3 | Dominican Republic | 5.875% | 1/30/60 | 375 | 360 | |
3 | Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 300 | 324 | |
3 | Federal Republic of Nigeria | 7.625% | 11/28/47 | 550 | 493 | |
3 | Federative Republic of Brazil | 4.625% | 1/13/28 | 750 | 783 | |
3 | Federative Republic of Brazil | 4.750% | 1/14/50 | 650 | 578 | |
3 | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 450 | 407 | |
3 | Islamic Republic of Pakistan | 8.875% | 4/8/51 | 600 | 597 | |
3 | Kingdom of Bahrain | 6.000% | 9/19/44 | 700 | 635 | |
3 | Oman Government Bond | 6.500% | 3/8/47 | 450 | 446 | |
3,8 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 2.875% | 10/25/25 | 800 | 968 | |
3,7 | Petroleos Mexicanos | 6.700% | 2/16/32 | 2,239 | 2,255 | |
3 | Republic of Colombia | 2.625% | 3/15/23 | 2,600 | 2,619 | |
3 | Republic of Colombia | 4.125% | 5/15/51 | 675 | 548 | |
3 | Republic of Ecuador | 1.000% | 7/31/35 | 1,100 | 721 | |
3 | Republic of El Salvador | 7.625% | 2/1/41 | 600 | 336 | |
3 | Republic of Guatemala | 5.750% | 6/6/22 | 430 | 438 | |
3 | Republic of Guatemala | 4.500% | 5/3/26 | 2,000 | 2,110 | |
3 | Republic of Honduras | 7.500% | 3/15/24 | 600 | 636 | |
Republic of Hungary | 5.375% | 2/21/23 | 6,900 | 7,249 | ||
Republic of Hungary | 5.375% | 3/25/24 | 900 | 978 | ||
8 | Republic of Hungary | 1.625% | 4/28/32 | 650 | 773 | |
3 | Republic of Panama | 4.000% | 9/22/24 | 1,600 | 1,700 | |
3 | Republic of Panama | 4.500% | 4/16/50 | 550 | 606 | |
3 | Republic of Paraguay | 4.625% | 1/25/23 | 1,001 | 1,038 | |
3 | Republic of Peru | 3.600% | 1/15/72 | 425 | 415 | |
3 | Republic of Uzbekistan International Bond | 4.750% | 2/20/24 | 550 | 574 | |
8 | Russian Federal Bond | 1.125% | 11/20/27 | 1,100 | 1,245 | |
3,8 | Serbia International Bond | 1.500% | 6/26/29 | 900 | 990 | |
3 | State of Qatar | 4.500% | 1/20/22 | 249 | 250 | |
3 | Ukraine Government Bond | 7.750% | 9/1/24 | 600 | 583 | |
3 | Ukraine Government Bond | 6.876% | 5/21/29 | 1,050 | 933 | |
3,13 | United Mexican States | 7.750% | 5/29/31 | 58,000 | 2,864 | |
3,13 | United Mexican States | 8.500% | 11/18/38 | 19,000 | 975 | |
3 | United Mexican States | 3.771% | 5/24/61 | 875 | 806 | |
3,7 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 1,100 | 1,060 | |
Total Sovereign Bonds (Cost $38,869) | 38,293 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (9.0%) | ||||||
Money Market Fund (9.0%) | ||||||
14 | Vanguard Market Liquidity Fund (Cost $40,035) | 0.090% | 400,373 | 40,033 | ||
Total Investments (102.4%) (Cost $458,064) | 457,033 | |||||
Other Assets and Liabilities—Net (-2.4%) | (10,645) | |||||
Net Assets (100%) | 446,388 |
Cost is in $000. |
1 | Securities with a value of $226,000 have been segregated as initial margin for open centrally cleared swap contracts. |
2 | Securities with a value of $418,000 have been segregated as initial margin for open futures contracts. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2021. |
5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
6 | Interest-only security. |
7 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the aggregate value was $38,254,000, representing 8.6% of net assets. |
8 | Face amount denominated in euro. |
9 | Represents an unsettled loan as of December 31, 2021. The coupon rate is not known until the settlement date. |
10 | Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At December 31, 2021, the aggregate value of these securities was $8,922,000, representing 2.0% of net assets. |
11 | 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. |
12 | Face amount denominated in British pounds. |
13 | Face amount denominated in Mexican pesos. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
2M—2-month. | |
4M—4-month. | |
6M—6-month. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
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 | March 2022 | 64 | 7,743 | (1) |
10-Year U.S. Treasury Note | March 2022 | 11 | 1,435 | — |
Long U.S. Treasury Bond | March 2022 | 38 | 6,097 | (32) |
Ultra 10-Year U.S. Treasury Note | March 2022 | 16 | 2,343 | 3 |
Ultra Long U.S. Treasury Bond | March 2022 | 26 | 5,125 | (46) |
(76) | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | March 2022 | (16) | (3,491) | (1) |
Euro-Bobl | March 2022 | (31) | (4,703) | 34 |
Euro-Bund | March 2022 | (11) | (2,146) | 34 |
Euro-Schatz | March 2022 | (13) | (1,658) | 3 |
70 | ||||
(6) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Barclays Bank plc | 1/14/22 | USD | 11,362 | EUR | 10,068 | — | (102) |
BNP Paribas | 1/14/22 | USD | 3,375 | GBP | 2,550 | — | (77) |
Goldman Sachs Bank USA | 1/14/22 | USD | 2,900 | MXN | 61,780 | — | (112) |
Barclays Bank plc | 1/14/22 | USD | 982 | MXN | 20,472 | — | (17) |
Barclays Bank plc | 3/16/22 | USD | 2,584 | RUB | 196,530 | 9 | — |
9 | (308) |
EUR—euro. |
GBP—British pound. |
MXN—Mexican peso. |
RUB—Russian ruble. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 230 | 1.000 | 3 | 3 | — | — |
Republic of Chile/A1 | 12/20/26 | GSI | 3,000 | 1.000 | 43 | 20 | 23 | — |
46 | 23 | 23 | — | |||||
Credit Protection Purchased | ||||||||
Petroleos Mexicanos | 12/20/26 | BARC | 2,000 | (1.000) | 186 | 207 | — | (21) |
232 | 230 | 23 | (21) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
GSI—Goldman Sachs International. |
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.
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount (000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
3/16/24 | 3/16/221 | 1,1002 | 0.0003 | (0.250)4 | 25 | 6 |
3/16/25 | 3/16/221 | 7502 | 0.0003 | (0.500)4 | 19 | 7 |
1/4/27 | N/A | 11,8685 | 11.6506 | (6.150)7 | 178 | 178 |
3/16/27 | 3/16/221 | 6002 | 0.0003 | (0.500)4 | 22 | 9 |
244 | 200 |
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
2 Notional amount denominated in British pound. |
3 Based on 1-Day Sterling Overnight Interbank Average Rate (SONIA) as of the most recent payment date. Interest payment received/paid annually. |
4 Interest payment received/paid annually. |
5 Notional amount denominated in Brazilian real. |
6 Interest payment received/paid at maturity. |
7 Based on 1-Day Overnight Brazil CETIP Interbank Deposit Rate as of the most recent payment date. Interest payment received/paid at maturity. |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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 and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities
pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. 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 and credit default 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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
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 also enters 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 December 31, 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 | — | 221,152 | — | 221,152 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 12,054 | — | 12,054 |
Corporate Bonds | — | 145,501 | — | 145,501 |
Sovereign Bonds | — | 38,293 | — | 38,293 |
Temporary Cash Investments | 40,033 | — | — | 40,033 |
Total | 40,033 | 417,000 | — | 457,033 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 74 | — | — | 74 |
Forward Currency Contracts | — | 9 | — | 9 |
Swap Contracts | 2001 | 23 | — | 223 |
Total | 274 | 32 | — | 306 |
Liabilities | ||||
Futures Contracts1 | 80 | — | — | 80 |
Forward Currency Contracts | — | 308 | — | 308 |
Swap Contracts | — | 21 | — | 21 |
Total | 80 | 329 | — | 409 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |