Vanguard® Core 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 (54.5%) | ||||||
U.S. Government Securities (42.0%) | ||||||
United States Treasury Note/Bond | 0.125% | 1/31/23 | 28,100 | 28,003 | ||
United States Treasury Note/Bond | 0.125% | 2/28/23 | 170,000 | 169,309 | ||
United States Treasury Note/Bond | 0.500% | 3/15/23 | 55,000 | 55,009 | ||
United States Treasury Note/Bond | 2.500% | 3/31/23 | 30,000 | 30,736 | ||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 25,000 | 24,856 | ||
United States Treasury Note/Bond | 0.125% | 7/31/23 | 38,800 | 38,491 | ||
United States Treasury Note/Bond | 0.250% | 9/30/23 | 60,000 | 59,578 | ||
United States Treasury Note/Bond | 0.125% | 10/15/23 | 100,000 | 99,000 | ||
1,2 | United States Treasury Note/Bond | 0.250% | 3/15/24 | 65,100 | 64,327 | |
1,2 | United States Treasury Note/Bond | 0.375% | 4/15/24 | 300,000 | 296,953 | |
United States Treasury Note/Bond | 1.000% | 12/15/24 | 210,000 | 210,197 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 31,900 | 30,938 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 2,000 | 1,936 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 45,800 | 44,412 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 187,200 | 181,847 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 75,000 | 73,570 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 100,000 | 98,000 | ||
United States Treasury Note/Bond | 1.125% | 2/28/27 | 3,241 | 3,215 | ||
United States Treasury Note/Bond | 0.625% | 3/31/27 | 1,035 | 1,000 | ||
United States Treasury Note/Bond | 0.500% | 4/30/27 | 414 | 397 | ||
United States Treasury Note/Bond | 0.500% | 5/31/27 | 400 | 383 | ||
United States Treasury Note/Bond | 1.250% | 3/31/28 | 25,000 | 24,781 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 140,000 | 138,731 | ||
United States Treasury Note/Bond | 2.875% | 5/15/28 | 16,200 | 17,648 | ||
United States Treasury Note/Bond | 1.250% | 5/31/28 | 30,000 | 29,705 | ||
United States Treasury Note/Bond | 1.375% | 10/31/28 | 52,000 | 51,789 | ||
2 | United States Treasury Note/Bond | 1.500% | 2/15/30 | 29,842 | 29,987 | |
United States Treasury Note/Bond | 0.625% | 5/15/30 | 24,000 | 22,436 | ||
United States Treasury Note/Bond | 0.625% | 8/15/30 | 25,200 | 23,495 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 109,000 | 105,764 | ||
United States Treasury Note/Bond | 5.000% | 5/15/37 | 55,000 | 79,982 | ||
United States Treasury Note/Bond | 1.125% | 5/15/40 | 2,000 | 1,749 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 19,800 | 17,248 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 17,500 | 15,906 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 90,300 | 89,228 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 30,300 | 31,777 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 11,500 | 11,125 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 27,000 | 27,257 | ||
United States Treasury Note/Bond | 3.625% | 8/15/43 | 2,200 | 2,852 | ||
United States Treasury Note/Bond | 3.375% | 5/15/44 | 4,000 | 5,035 | ||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 12,000 | 14,559 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 153,500 | 185,831 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 6,000 | 7,321 | ||
United States Treasury Note/Bond | 3.125% | 5/15/48 | 5,500 | 6,872 | ||
United States Treasury Note/Bond | 3.375% | 11/15/48 | 5,000 | 6,542 | ||
United States Treasury Note/Bond | 2.250% | 8/15/49 | 5,000 | 5,352 | ||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 11,000 | 12,086 | ||
3,4 | United States Treasury Note/Bond | 2.000% | 2/15/50 | 19,000 | 19,288 | |
United States Treasury Note/Bond | 1.375% | 8/15/50 | 26,100 | 22,854 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 17,100 | 15,919 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 47,000 | 51,920 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 11,500 | 11,723 | ||
2,598,919 | ||||||
Conventional Mortgage-Backed Securities (12.4%) | ||||||
5,6 | Fannie Mae Pool | 3.000% | 10/1/46–3/1/48 | 710 | 731 | |
5,6 | Fannie Mae Pool | 3.500% | 7/1/47–2/1/50 | 1,628 | 1,696 | |
5,6 | Fannie Mae Pool | 4.000% | 9/1/42 | 223 | 239 | |
5,6 | Fannie Mae Pool | 5.000% | 10/1/49 | 31 | 34 | |
5,6 | Freddie Mac Gold Pool | 3.000% | 9/1/46–8/1/47 | 2,342 | 2,473 | |
5,6 | Freddie Mac Gold Pool | 3.500% | 3/1/45–2/1/50 | 2,572 | 2,687 | |
5,6 | Freddie Mac Gold Pool | 4.000% | 7/1/39–12/1/49 | 1,903 | 2,060 | |
5,6 | Freddie Mac Gold Pool | 4.500% | 12/1/39–2/1/49 | 2,082 | 2,282 | |
5,6 | Freddie Mac Gold Pool | 5.000% | 12/1/35–2/1/50 | 936 | 1,056 | |
5,6 | Freddie Mac Gold Pool | 5.500% | 5/1/40 | 106 | 119 | |
5 | Ginnie Mae I Pool | 3.000% | 4/15/45 | 168 | 173 | |
5 | Ginnie Mae I Pool | 3.500% | 6/15/47 | 680 | 732 | |
5 | Ginnie Mae I Pool | 4.000% | 7/15/45–8/15/45 | 56 | 60 | |
5 | Ginnie Mae I Pool | 4.500% | 2/15/39–9/15/46 | 777 | 876 | |
5 | Ginnie Mae I Pool | 6.000% | 7/15/37 | 26 | 29 | |
5,7 | Ginnie Mae II Pool | 2.000% | 1/15/52 | 36,000 | 36,315 | |
5,7 | Ginnie Mae II Pool | 2.500% | 1/15/52 | 33,000 | 33,816 | |
5 | Ginnie Mae II Pool | 3.000% | 5/20/43–11/20/47 | 47,807 | 49,969 | |
5 | Ginnie Mae II Pool | 3.500% | 4/20/43–3/20/50 | 24,176 | 25,593 | |
5 | Ginnie Mae II Pool | 4.000% | 11/20/42–12/20/49 | 2,990 | 3,157 | |
5 | Ginnie Mae II Pool | 5.000% | 8/20/48–11/20/49 | 532 | 560 | |
5,6,7 | UMBS Pool | 1.500% | 1/25/37–2/25/52 | 34,500 | 33,278 | |
5,6,7 | UMBS Pool | 2.000% | 1/25/37–1/25/52 | 223,929 | 227,618 | |
5,6,7 | UMBS Pool | 2.500% | 11/1/40–1/25/52 | 9,114 | 10,599 | |
5,6,7 | UMBS Pool | 3.000% | 12/1/37–2/25/52 | 185,828 | 192,914 | |
5,6,7 | UMBS Pool | 3.500% | 7/1/38–3/25/52 | 73,658 | 77,474 | |
5,6 | UMBS Pool | 4.000% | 12/1/38–7/1/49 | 26,740 | 28,898 | |
5,6,7 | UMBS Pool | 4.500% | 4/1/39–1/25/52 | 23,174 | 25,140 | |
5,6 | UMBS Pool | 5.000% | 8/1/39–10/1/49 | 2,674 | 2,996 | |
5,6 | UMBS Pool | 5.500% | 12/1/38–5/1/44 | 4,244 | 4,974 | |
5,6 | UMBS Pool | 6.000% | 10/1/39 | 26 | 31 | |
5,6 | UMBS Pool | 6.500% | 9/1/36 | 10 | 11 | |
768,590 | ||||||
Nonconventional Mortgage-Backed Securities (0.1%) | ||||||
5,6 | Freddie Mac REMICS | 2.000% | 1/25/52 | 2,650 | 2,600 | |
Total U.S. Government and Agency Obligations (Cost $3,382,043) | 3,370,109 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.3%) | ||||||
5 | AmeriCredit Automobile Receivables Trust Series 2018-2 | 4.010% | 7/18/24 | 390 | 402 | |
5 | AmeriCredit Automobile Receivables Trust Series 2019-1 | 3.620% | 3/18/25 | 580 | 599 | |
5 | AmeriCredit Automobile Receivables Trust Series 2020-2 | 2.130% | 3/18/26 | 240 | 243 | |
5,8 | Aventura Mall Trust Series 2018-AVM | 4.112% | 7/5/40 | 399 | 443 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | Avis Budget Rental Car Funding AESOP LLC Series 2019-1A | 3.450% | 3/20/23 | 65 | 65 | |
5,8 | BAMLL Commercial Mortgage Securities Trust Series 2019-BPR | 3.112% | 11/5/32 | 1,100 | 1,121 | |
5 | BANK Series 2017-BNK4 | 3.625% | 5/15/50 | 19 | 21 | |
5 | BANK Series 2017-BNK6 | 3.741% | 7/15/60 | 50 | 54 | |
5 | BANK Series 2017-BNK7 | 3.175% | 9/15/60 | 1,341 | 1,420 | |
5 | BANK Series 2017-BNK8 | 3.488% | 11/15/50 | 80 | 87 | |
5 | BANK Series 2018-BN14 | 4.185% | 9/15/60 | 25 | 27 | |
5 | BANK Series 2018-BN14 | 4.231% | 9/15/60 | 15 | 17 | |
5 | BANK Series 2019-BN17 | 3.714% | 4/15/52 | 280 | 309 | |
5 | BANK Series 2019-BN18 | 3.584% | 5/15/62 | 280 | 307 | |
5 | BANK Series 2019-BN20 | 3.011% | 9/15/62 | 200 | 213 | |
5 | BANK Series 2019-BN23 | 2.846% | 12/15/52 | 130 | 137 | |
5 | BBCMS Mortgage Trust Series 2020-C6 | 2.639% | 2/15/53 | 200 | 206 | |
5 | Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | 70 | 76 | |
5 | Benchmark Mortgage Trust Series 2019-B15 | 2.859% | 12/15/72 | 300 | 316 | |
5 | Benchmark Mortgage Trust Series 2019-B15 | 2.928% | 12/15/72 | 250 | 264 | |
5 | Benchmark Mortgage Trust Series 2020-B16 | 2.732% | 2/15/53 | 200 | 208 | |
5,8 | Canadian Pacer Auto Receivables Trust Series 2018-2A | 3.440% | 8/21/23 | 46 | 46 | |
5 | Cantor Commercial Real Estate Lending Series 2019-CF3 | 3.006% | 1/15/53 | 250 | 264 | |
5 | CarMax Auto Owner Trust Series 2018-1 | 2.950% | 11/15/23 | 50 | 50 | |
5 | CarMax Auto Owner Trust Series 2018-4 | 3.670% | 5/15/24 | 100 | 103 | |
5 | CarMax Auto Owner Trust Series 2018-4 | 3.850% | 7/15/24 | 70 | 72 | |
5 | CarMax Auto Owner Trust Series 2018-4 | 4.150% | 4/15/25 | 100 | 103 | |
5 | CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | 10 | 10 | |
5 | CD Mortgage Trust Series 2016-CD1 | 3.631% | 8/10/49 | 270 | 266 | |
5 | CD Mortgage Trust Series 2017-CD4 | 3.514% | 5/10/50 | 60 | 64 | |
5 | CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | 19 | 20 | |
5 | CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | 61 | 64 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC19 | 4.023% | 3/10/47 | 80 | 84 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.356% | 7/10/47 | 55 | 57 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC23 | 4.175% | 7/10/47 | 230 | 242 | |
5 | Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.372% | 10/10/47 | 9 | 9 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | 20 | 21 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 4.192% | 9/15/50 | 60 | 65 | |
5 | Citigroup Commercial Mortgage Trust Series 2017-P8 | 4.265% | 9/15/50 | 10 | 11 | |
5 | Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | 45 | 51 | |
5 | Citigroup Commercial Mortgage Trust Series 2019-C7 | 2.860% | 12/15/72 | 250 | 262 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | COMM Mortgage Trust Series 2012-CR4 | 3.251% | 10/15/45 | 500 | 502 | |
5,8 | COMM Mortgage Trust Series 2013-CR6 | 3.397% | 3/10/46 | 210 | 213 | |
5 | COMM Mortgage Trust Series 2013-CR8 | 3.612% | 6/10/46 | 10 | 10 | |
5,8 | COMM Mortgage Trust Series 2013-CR9 | 4.279% | 7/10/45 | 230 | 218 | |
5 | COMM Mortgage Trust Series 2013-CR12 | 4.046% | 10/10/46 | 103 | 107 | |
5 | COMM Mortgage Trust Series 2014-CR14 | 4.236% | 2/10/47 | 30 | 32 | |
5 | COMM Mortgage Trust Series 2014-CR17 | 3.700% | 5/10/47 | 18 | 19 | |
5 | COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | 154 | 162 | |
5 | COMM Mortgage Trust Series 2014-CR18 | 3.550% | 7/15/47 | 26 | 27 | |
5 | COMM Mortgage Trust Series 2015-CR22 | 3.309% | 3/10/48 | 227 | 239 | |
5 | COMM Mortgage Trust Series 2019-GC44 | 2.873% | 8/15/57 | 150 | 158 | |
5 | CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | 12 | 13 | |
5 | CSAIL Commercial Mortgage Trust Series 2020-C19 | 2.561% | 3/15/53 | 250 | 256 | |
5 | DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | 70 | 75 | |
5 | Drive Auto Receivables Trust Series 2018-3 | 4.300% | 9/16/24 | 120 | 122 | |
5 | Drive Auto Receivables Trust Series 2018-5 | 3.990% | 1/15/25 | 94 | 95 | |
5 | Drive Auto Receivables Trust Series 2018-5 | 4.300% | 4/15/26 | 650 | 666 | |
5 | Drive Auto Receivables Trust Series 2019-4 | 2.700% | 2/16/27 | 180 | 183 | |
5 | Drive Auto Receivables Trust Series 2020-1 | 2.700% | 5/17/27 | 180 | 183 | |
5 | Drive Auto Receivables Trust Series 2020-2 | 3.050% | 5/15/28 | 140 | 144 | |
5,8 | EDvestinU Private Education Loan Issue No. 1 LLC Series 2019-A | 3.580% | 11/25/38 | 50 | 51 | |
5,8 | Fair Square Issuance Trust Series 2020-AA | 2.900% | 9/20/24 | 210 | 210 | |
5,6 | FHLMC Multifamily Structured Pass-Through Certificates Series K028 | 3.111% | 2/25/23 | 596 | 608 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K037 | 0.934% | 1/25/24 | 38,696 | 625 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K043 | 0.519% | 12/25/24 | 11,340 | 161 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K052 | 0.644% | 11/25/25 | 12,163 | 268 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K053 | 0.880% | 12/25/25 | 5,883 | 179 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K054 | 1.163% | 1/25/26 | 42,330 | 1,742 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K055 | 1.354% | 3/25/26 | 2,856 | 141 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K057 | 1.173% | 7/25/26 | 40,212 | 1,815 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K058 | 0.921% | 8/25/26 | 3,905 | 147 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K062 | 0.298% | 12/25/26 | 52,861 | 747 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K064 | 0.604% | 3/25/27 | 2,064 | 58 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K065 | 0.669% | 4/25/27 | 20,566 | 655 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K068 | 0.429% | 8/25/27 | 1,419 | 32 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series K135 | 0.191% | 10/25/31 | 191,000 | 3,200 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG02 | 1.022% | 8/25/29 | 11,500 | 754 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG04 | 0.853% | 11/25/30 | 7,769 | 498 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG05 | 0.312% | 1/25/31 | 63,628 | 1,649 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KG06 | 0.532% | 10/25/31 | 29,999 | 1,365 | |
5,6,9 | FHLMC Multifamily Structured Pass-Through Certificates Series KSG2 | 0.122% | 11/25/31 | 257,000 | 3,026 | |
5,8 | FirstKey Homes Trust Series 2020-SFR2 | 1.266% | 10/19/37 | 499 | 486 | |
5,8 | Ford Credit Auto Owner Trust Series 2018-1 | 3.190% | 7/15/31 | 490 | 514 | |
5,8 | Ford Credit Auto Owner Trust Series 2018-2 | 3.760% | 1/15/30 | 120 | 124 | |
5 | Ford Credit Auto Owner Trust Series 2019-A | 3.250% | 9/15/25 | 340 | 349 | |
5,8 | Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | 220 | 224 | |
5,8 | Ford Credit Auto Owner Trust Series 2020-1 | 2.540% | 8/15/31 | 100 | 102 | |
5 | Ford Credit Auto Owner Trust Series 2020-B | 2.040% | 12/15/26 | 300 | 305 | |
5 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 2.120% | 9/15/25 | 230 | 233 | |
5,8,9 | FREMF Mortgage Trust Series 2015-K42 | 0.100% | 1/25/48 | 1,047,998 | 2,387 | |
5 | GM Financial Automobile Leasing Trust Series 2020-1 | 2.280% | 6/20/24 | 100 | 101 | |
5 | GM Financial Automobile Leasing Trust Series 2020-2 | 3.210% | 12/20/24 | 140 | 143 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.170% | 6/12/34 | 1,180 | 1,158 | |
5,8 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.490% | 6/12/34 | 70 | 69 | |
5,8 | GM Financial Revolving Receivables Trust Series 2021-1 | 1.670% | 6/12/34 | 120 | 118 | |
5,8 | GMF Floorplan Owner Revolving Trust Series 2020-1 | 1.480% | 8/15/25 | 120 | 120 | |
5,8,10 | Gosforth Funding plc Series 2018-1A, 3M USD LIBOR + 0.450% | 0.628% | 8/25/60 | 49 | 49 | |
5 | GS Mortgage Securities Trust Series 2014-GC24 | 4.512% | 9/10/47 | 170 | 174 | |
5 | GS Mortgage Securities Trust Series 2014-GC24 | 4.533% | 9/10/47 | 150 | 141 | |
5 | GS Mortgage Securities Trust Series 2014-GC26 | 3.364% | 11/10/47 | 125 | 130 | |
5 | GS Mortgage Securities Trust Series 2015-GC28 | 3.396% | 2/10/48 | 203 | 213 | |
5 | GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | 60 | 63 | |
5 | GS Mortgage Securities Trust Series 2019-GC38 | 3.968% | 2/10/52 | 150 | 168 | |
5 | GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | 60 | 64 | |
5 | GS Mortgage Securities Trust Series 2020-GC45 | 2.843% | 2/13/53 | 325 | 342 | |
5 | GS Mortgage Securities Trust Series 2020-GC45 | 2.911% | 2/13/53 | 630 | 664 | |
5,8 | Harley Marine Financing LLC Series 2018-1A | 5.682% | 5/15/43 | 89 | 88 | |
5,8 | Hertz Vehicle Financing III LP Series 2021-2A | 1.680% | 12/27/27 | 100 | 99 | |
5,8 | Hudsons Bay Simon JV Trust Series 2015-HB7 | 3.914% | 8/5/34 | 100 | 91 | |
5,8,10 | Invitation Homes Trust Series 2018-SFR1, 1M USD LIBOR + 0.700% | 0.809% | 3/17/37 | 247 | 247 | |
5,8,10 | Invitation Homes Trust Series 2018-SFR1, 1M USD LIBOR + 0.950% | 1.059% | 3/17/37 | 100 | 100 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 4.077% | 1/15/46 | 230 | 236 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | 6 | 7 | |
5 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 4.166% | 12/15/46 | 147 | 154 | |
5,8 | JP Morgan Mortgage Trust Series 2021-15 | 3.000% | 6/25/52 | 27,500 | 27,964 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | 300 | 315 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.793% | 2/15/47 | 370 | 354 | |
5 | JPMBB Commercial Mortgage Securities Trust Series 2014-C19 | 3.997% | 4/15/47 | 10 | 10 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP5 | 3.723% | 3/15/50 | 70 | 76 | |
5 | JPMCC Commercial Mortgage Securities Trust Series 2017-JP7 | 3.454% | 9/15/50 | 60 | 64 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | 30 | 32 | |
5 | JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.409% | 10/15/50 | 60 | 64 | |
5 | JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | 50 | 56 | |
5,8 | Lanark Master Issuer plc Series 2020-1A | 2.277% | 12/22/69 | 170 | 173 | |
5,8 | Laurel Road Prime Student Loan Trust Series 2017-C | 2.810% | 11/25/42 | 57 | 57 | |
5,8 | Laurel Road Prime Student Loan Trust Series 2018-B | 3.540% | 5/26/43 | 113 | 116 | |
5,8 | MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | 100 | 105 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 | 4.075% | 7/15/46 | 200 | 177 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C12 | 4.259% | 10/15/46 | 400 | 417 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 4.898% | 4/15/47 | 150 | 157 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.332% | 6/15/47 | 80 | 82 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | 133 | 141 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 4.734% | 5/15/49 | 160 | 164 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | 270 | 293 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | 90 | 97 | |
5 | Morgan Stanley Capital I Series 2017-HR2 | 3.587% | 12/15/50 | 55 | 60 | |
5 | Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | 522 | 560 | |
5 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | 110 | 114 | |
5 | Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | 50 | 53 | |
5 | Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | 100 | 104 | |
5,8 | MSBAM Commercial Mortgage Securities Trust Series 2012-CKSV | 3.277% | 10/15/30 | 1,130 | 1,124 | |
5,8 | Navient Private Education Loan Trust Series 2017-A | 2.880% | 12/16/58 | 88 | 89 | |
5,8 | Navient Private Education Loan Trust Series 2018-BA | 3.610% | 12/15/59 | 246 | 254 | |
5,8 | Navient Private Education Refi Loan Trust Series 2018-DA | 4.000% | 12/15/59 | 449 | 466 | |
5,8,10 | Navient Student Loan Trust Series 2016-2A, 1M USD LIBOR + 1.050% | 1.153% | 6/25/65 | 15 | 15 | |
5,8,10 | Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 0.853% | 3/25/66 | 34 | 34 | |
5,8 | Palisades Center Trust Series 2016-PLSD | 2.713% | 4/13/33 | 700 | 655 | |
5,8,10 | Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 0.988% | 1/16/60 | 83 | 83 | |
5,8,10 | Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 1.104% | 6/20/60 | 60 | 60 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5,8,10 | Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 1.054% | 8/18/60 | 64 | 64 | |
5,8,10 | PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 1.053% | 11/25/65 | 62 | 63 | |
5,8,10 | RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 0.953% | 12/5/59 | 122 | 122 | |
5,8,10 | RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 0.951% | 4/10/50 | 32 | 32 | |
5,8,10 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 0.901% | 11/10/49 | 76 | 76 | |
5 | Santander Drive Auto Receivables Trust Series 2020-2 | 2.220% | 9/15/26 | 790 | 801 | |
5 | Santander Drive Auto Receivables Trust Series 2021-1 | 1.130% | 11/16/26 | 140 | 139 | |
5,8 | Santander Retail Auto Lease Trust Series 2020-A | 2.520% | 11/20/24 | 170 | 172 | |
5,8 | Santander Retail Auto Lease Trust Series 2020-B | 1.980% | 10/20/25 | 800 | 804 | |
5,8 | Securitized Term Auto Receivables Trust Series 2018-2A | 3.544% | 6/26/23 | 86 | 87 | |
5,8 | SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | 148 | 150 | |
5,8 | SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | 134 | 136 | |
5,8 | SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | 287 | 302 | |
5,8 | SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | 379 | 395 | |
5,8 | SoFi Professional Loan Program LLC Series 2016-B | 2.740% | 10/25/32 | 42 | 42 | |
5,8 | SoFi Professional Loan Program LLC Series 2016-C | 2.360% | 12/27/32 | 51 | 51 | |
5,8 | SoFi Professional Loan Program LLC Series 2016-D | 2.340% | 4/25/33 | 16 | 17 | |
5,8,10 | SoFi Professional Loan Program LLC Series 2016-D, 1M USD LIBOR + 0.950% | 1.053% | 1/25/39 | 7 | 7 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | 2 | 2 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | 35 | 35 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | 37 | 37 | |
5,8 | SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | 65 | 66 | |
5,8 | SoFi Professional Loan Program LLC Series 2018-A | 2.950% | 2/25/42 | 43 | 44 | |
5 | Synchrony Credit Card Master Note Trust Series 2017-2 | 3.010% | 10/15/25 | 230 | 234 | |
5,8 | Tesla Auto Lease Trust Series 2020-A | 1.680% | 2/20/24 | 100 | 101 | |
5,8 | Tidewater Auto Receivables Trust Series 2018-AA | 4.300% | 11/15/24 | 94 | 94 | |
5,8 | TMSQ Mortgage Trust Series 2014-1500 | 3.680% | 10/10/36 | 100 | 104 | |
5,8 | Trinity Rail Leasing LLC Series 2018-1A | 4.620% | 6/17/48 | 440 | 449 | |
5 | UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | 112 | 121 | |
5 | UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | 10 | 10 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.306% | 7/15/46 | 450 | 465 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-C27 | 3.190% | 2/15/48 | 259 | 267 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2015-LC22 | 4.557% | 9/15/58 | 160 | 163 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | 90 | 96 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | 10 | 10 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | 42 | 46 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2018-C43 | 4.514% | 3/15/51 | 50 | 51 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | 30 | 34 | |
5 | Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | 80 | 88 | |
5 | WFRBS Commercial Mortgage Trust Series 2013-C18 | 4.162% | 12/15/46 | 20 | 21 | |
5 | WFRBS Commercial Mortgage Trust Series 2014-C23 | 3.650% | 10/15/57 | 213 | 223 | |
5 | World Omni Auto Receivables Trust Series 2018-A | 2.890% | 4/15/25 | 40 | 40 | |
5 | World Omni Auto Receivables Trust Series 2019-B | 2.860% | 6/16/25 | 110 | 112 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $79,204) | 80,175 | |||||
Corporate Bonds (33.5%) | ||||||
Communications (3.1%) | ||||||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 1,790 | 1,571 | ||
Alphabet Inc. | 2.250% | 8/15/60 | 1,930 | 1,725 | ||
AT&T Inc. | 1.700% | 3/25/26 | 6,400 | 6,374 | ||
AT&T Inc. | 1.650% | 2/1/28 | 500 | 490 | ||
AT&T Inc. | 4.350% | 3/1/29 | 4,733 | 5,325 | ||
5 | AT&T Inc. | 4.300% | 2/15/30 | 1,685 | 1,898 | |
AT&T Inc. | 4.500% | 5/15/35 | 700 | 808 | ||
AT&T Inc. | 4.900% | 8/15/37 | 500 | 602 | ||
AT&T Inc. | 6.300% | 1/15/38 | 2,040 | 2,783 | ||
AT&T Inc. | 3.100% | 2/1/43 | 1,500 | 1,453 | ||
AT&T Inc. | 5.150% | 2/15/50 | 1,100 | 1,411 | ||
AT&T Inc. | 3.500% | 9/15/53 | 3,650 | 3,689 | ||
AT&T Inc. | 3.550% | 9/15/55 | 4,638 | 4,647 | ||
AT&T Inc. | 3.800% | 12/1/57 | 2,102 | 2,190 | ||
AT&T Inc. | 3.650% | 9/15/59 | 567 | 572 | ||
8 | Cable One Inc. | 4.000% | 11/15/30 | 600 | 592 | |
8 | CCO Holdings LLC | 4.750% | 3/1/30 | 890 | 928 | |
Charter Communications Operating LLC | 4.908% | 7/23/25 | 589 | 649 | ||
Charter Communications Operating LLC | 4.200% | 3/15/28 | 1,190 | 1,301 | ||
Charter Communications Operating LLC | 2.250% | 1/15/29 | 4,100 | 4,010 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 1,480 | 1,701 | ||
Charter Communications Operating LLC | 3.500% | 3/1/42 | 3,580 | 3,474 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 1,390 | 1,558 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 750 | 725 | ||
Charter Communications Operating LLC | 3.850% | 4/1/61 | 3,000 | 2,830 | ||
Comcast Corp. | 3.375% | 8/15/25 | 5,304 | 5,660 | ||
Comcast Corp. | 3.150% | 3/1/26 | 452 | 482 | ||
Comcast Corp. | 2.350% | 1/15/27 | 445 | 460 | ||
Comcast Corp. | 3.150% | 2/15/28 | 468 | 503 | ||
Comcast Corp. | 4.150% | 10/15/28 | 2,303 | 2,613 | ||
Comcast Corp. | 3.400% | 4/1/30 | 229 | 250 | ||
Comcast Corp. | 3.250% | 11/1/39 | 1,990 | 2,096 | ||
Comcast Corp. | 3.750% | 4/1/40 | 3,800 | 4,251 | ||
Comcast Corp. | 4.650% | 7/15/42 | 1,200 | 1,477 | ||
Comcast Corp. | 4.700% | 10/15/48 | 168 | 215 | ||
Comcast Corp. | 3.450% | 2/1/50 | 1,500 | 1,603 | ||
Comcast Corp. | 2.650% | 8/15/62 | 300 | 266 | ||
8 | Comcast Corp. | 2.987% | 11/1/63 | 5,000 | 4,752 | |
8 | CSC Holdings LLC | 5.375% | 2/1/28 | 245 | 253 | |
8 | CSC Holdings LLC | 4.625% | 12/1/30 | 755 | 714 | |
8 | Directv Financing LLC | 5.875% | 8/15/27 | 350 | 359 | |
Discovery Communications LLC | 3.900% | 11/15/24 | 35 | 37 | ||
Discovery Communications LLC | 4.900% | 3/11/26 | 1,747 | 1,949 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 765 | 900 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 5,000 | 5,265 | ||
8 | DISH DBS Corp. | 5.250% | 12/1/26 | 290 | 295 | |
Electronic Arts Inc. | 1.850% | 2/15/31 | 2,680 | 2,565 | ||
Electronic Arts Inc. | 2.950% | 2/15/51 | 2,500 | 2,373 | ||
8 | Expedia Group Inc. | 6.250% | 5/1/25 | 36 | 41 | |
Expedia Group Inc. | 3.800% | 2/15/28 | 3,000 | 3,203 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 2,000 | 2,001 | ||
Fox Corp. | 4.030% | 1/25/24 | 2,550 | 2,693 | ||
Fox Corp. | 3.050% | 4/7/25 | 180 | 189 | ||
Fox Corp. | 5.476% | 1/25/39 | 2,020 | 2,599 | ||
8 | Frontier Communications Holdings LLC | 5.875% | 10/15/27 | 95 | 101 | |
8 | Frontier Communications Holdings LLC | 5.000% | 5/1/28 | 400 | 413 | |
8 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 665 | 668 | |
8 | Gray Escrow II Inc. | 5.375% | 11/15/31 | 1,610 | 1,656 | |
Interpublic Group of Cos. Inc. | 3.375% | 3/1/41 | 2,040 | 2,090 | ||
8 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 240 | 245 | |
8 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 295 | 294 | |
8 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 410 | 392 | |
8 | Netflix Inc. | 3.625% | 6/15/25 | 425 | 449 | |
Netflix Inc. | 4.875% | 4/15/28 | 2,465 | 2,816 | ||
Netflix Inc. | 5.875% | 11/15/28 | 795 | 959 | ||
8 | News Corp. | 3.875% | 5/15/29 | 469 | 474 | |
8 | Nexstar Media Inc. | 5.625% | 7/15/27 | 75 | 79 | |
8 | Nexstar Media Inc. | 4.750% | 11/1/28 | 435 | 445 | |
8 | NTT Finance Corp. | 2.065% | 4/3/31 | 620 | 619 | |
5,11 | Omnicom Capital Holdings plc | 2.250% | 11/22/33 | 967 | 1,297 | |
8 | Sirius XM Radio Inc. | 3.125% | 9/1/26 | 90 | 90 | |
8 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 70 | 73 | |
8 | Sirius XM Radio Inc. | 4.000% | 7/15/28 | 75 | 76 | |
8 | Sky Ltd. | 3.750% | 9/16/24 | 200 | 213 | |
Sprint Capital Corp. | 6.875% | 11/15/28 | 970 | 1,227 | ||
Sprint Corp. | 7.125% | 6/15/24 | 420 | 472 | ||
Sprint Corp. | 7.625% | 3/1/26 | 795 | 953 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 3,000 | 3,303 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 400 | 462 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 2,000 | 2,482 | ||
Time Warner Cable LLC | 4.500% | 9/15/42 | 1,200 | 1,304 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 1,250 | 1,230 | ||
8 | T-Mobile USA Inc. | 3.375% | 4/15/29 | 285 | 291 | |
T-Mobile USA Inc. | 3.375% | 4/15/29 | 300 | 306 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 1,224 | 1,339 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 3,590 | 3,498 | ||
T-Mobile USA Inc. | 3.600% | 11/15/60 | 2,600 | 2,590 | ||
5 | TWDC Enterprises 18 Corp. | 4.125% | 12/1/41 | 400 | 473 | |
5,12 | Verizon Communications Inc. | 4.050% | 2/17/25 | 1,250 | 966 | |
Verizon Communications Inc. | 4.125% | 3/16/27 | 458 | 509 | ||
Verizon Communications Inc. | 3.000% | 3/22/27 | 2,675 | 2,823 | ||
5,12 | Verizon Communications Inc. | 4.500% | 8/17/27 | 500 | 399 | |
Verizon Communications Inc. | 2.100% | 3/22/28 | 3,130 | 3,140 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 200 | 227 | ||
Verizon Communications Inc. | 4.016% | 12/3/29 | 3,980 | 4,461 | ||
Verizon Communications Inc. | 2.550% | 3/21/31 | 1,895 | 1,914 | ||
Verizon Communications Inc. | 2.650% | 11/20/40 | 850 | 807 | ||
Verizon Communications Inc. | 3.850% | 11/1/42 | 600 | 669 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 3,000 | 3,864 | ||
Verizon Communications Inc. | 3.550% | 3/22/51 | 3,414 | 3,679 | ||
Verizon Communications Inc. | 3.000% | 11/20/60 | 1,800 | 1,704 | ||
Verizon Communications Inc. | 3.700% | 3/22/61 | 2,065 | 2,235 | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 2,510 | 2,755 | ||
ViacomCBS Inc. | 4.200% | 6/1/29 | 2,368 | 2,630 | ||
ViacomCBS Inc. | 4.375% | 3/15/43 | 3,250 | 3,697 | ||
ViacomCBS Inc. | 4.950% | 5/19/50 | 1,500 | 1,905 | ||
Vodafone Group plc | 4.375% | 5/30/28 | 327 | 368 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 1,500 | 1,959 | ||
Vodafone Group plc | 4.875% | 6/19/49 | 5,000 | 6,308 | ||
Vodafone Group plc | 4.125% | 6/4/81 | 2,515 | 2,491 | ||
Walt Disney Co. | 1.750% | 8/30/24 | 945 | 961 | ||
Walt Disney Co. | 3.350% | 3/24/25 | 170 | 181 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 439 | 444 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 375 | 403 | ||
Walt Disney Co. | 3.700% | 3/23/27 | 1,630 | 1,791 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 273 | 272 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 1,200 | 1,315 | ||
Walt Disney Co. | 4.700% | 3/23/50 | 1,000 | 1,318 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 825 | 934 | ||
8 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 500 | 493 | |
8 | Zayo Group Holdings Inc. | 6.125% | 3/1/28 | 675 | 666 | |
195,037 | ||||||
Consumer Discretionary (2.4%) | ||||||
8 | 1011778 BC ULC | 3.875% | 1/15/28 | 320 | 324 | |
8 | 1011778 BC ULC | 4.375% | 1/15/28 | 305 | 312 | |
Amazon.com Inc. | 1.200% | 6/3/27 | 248 | 245 | ||
Amazon.com Inc. | 3.150% | 8/22/27 | 692 | 748 | ||
5 | American Honda Finance Corp. | 0.650% | 9/8/23 | 5,168 | 5,156 | |
5 | American Honda Finance Corp. | 2.150% | 9/10/24 | 372 | 381 | |
Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 961 | 982 | ||
Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 605 | 619 | ||
8 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 178 | 184 | |
AutoZone Inc. | 3.625% | 4/15/25 | 1,278 | 1,362 | ||
AutoZone Inc. | 4.000% | 4/15/30 | 1,190 | 1,328 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 2,611 | 2,459 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
BorgWarner Inc. | 2.650% | 7/1/27 | 207 | 214 | ||
8 | Boyd Gaming Corp. | 8.625% | 6/1/25 | 194 | 208 | |
Boyd Gaming Corp. | 4.750% | 12/1/27 | 200 | 206 | ||
Brunswick Corp. | 2.400% | 8/18/31 | 1,500 | 1,446 | ||
8 | Caesars Resort Collection LLC | 5.750% | 7/1/25 | 19 | 20 | |
8 | Carnival Corp. | 5.750% | 3/1/27 | 965 | 965 | |
8 | Carnival Corp. | 4.000% | 8/1/28 | 895 | 888 | |
8 | Cedar Fair LP | 5.500% | 5/1/25 | 960 | 998 | |
8 | Churchill Downs Inc. | 5.500% | 4/1/27 | 1,530 | 1,589 | |
8 | Churchill Downs Inc. | 4.750% | 1/15/28 | 298 | 310 | |
8 | Clarios Global LP | 6.750% | 5/15/25 | 46 | 48 | |
8 | Clarios Global LP | 8.500% | 5/15/27 | 640 | 678 | |
8 | Daimler Finance North America LLC | 0.750% | 3/1/24 | 7,570 | 7,498 | |
Dana Inc. | 4.500% | 2/15/32 | 485 | 488 | ||
Ford Motor Co. | 3.250% | 2/12/32 | 670 | 686 | ||
Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 320 | 325 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 590 | 612 | ||
Ford Motor Credit Co. LLC | 4.271% | 1/9/27 | 450 | 485 | ||
Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 645 | 682 | ||
General Motors Co. | 4.875% | 10/2/23 | 6,000 | 6,374 | ||
General Motors Co. | 5.400% | 10/2/23 | 1,000 | 1,071 | ||
General Motors Co. | 6.125% | 10/1/25 | 1,000 | 1,150 | ||
General Motors Co. | 5.200% | 4/1/45 | 1,600 | 1,980 | ||
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 1,242 | 1,305 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 157 | 163 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 263 | 283 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 1,770 | 1,828 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 3,000 | 2,933 | ||
General Motors Financial Co. Inc. | 2.400% | 10/15/28 | 4,000 | 3,989 | ||
8 | Group 1 Automotive Inc. | 4.000% | 8/15/28 | 363 | 363 | |
8 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 1,020 | 1,060 | |
8 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 270 | 289 | |
Home Depot Inc. | 2.800% | 9/14/27 | 225 | 239 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 217 | 245 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 2,763 | 2,944 | ||
Home Depot Inc. | 1.375% | 3/15/31 | 1,500 | 1,414 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 720 | 885 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 100 | 117 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 500 | 648 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 750 | 791 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 2,000 | 1,985 | ||
8 | International Game Technology plc | 4.125% | 4/15/26 | 110 | 113 | |
8 | International Game Technology plc | 6.250% | 1/15/27 | 25 | 28 | |
Lennar Corp. | 5.250% | 6/1/26 | 100 | 112 | ||
Lennar Corp. | 4.750% | 11/29/27 | 5 | 6 | ||
8 | Lithia Motors Inc. | 4.625% | 12/15/27 | 285 | 300 | |
8 | Lithia Motors Inc. | 3.875% | 6/1/29 | 525 | 539 | |
8 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 20 | 21 | |
8 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 900 | 985 | |
8 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 110 | 109 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 880 | 939 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 1,050 | 1,007 | ||
Lowe's Cos. Inc. | 1.700% | 9/15/28 | 1,840 | 1,803 | ||
Lowe's Cos. Inc. | 4.050% | 5/3/47 | 250 | 289 | ||
Magna International Inc. | 2.450% | 6/15/30 | 200 | 203 | ||
5 | Marriott International Inc. | 4.625% | 6/15/30 | 4,180 | 4,723 | |
5 | McDonald's Corp. | 2.625% | 9/1/29 | 1,311 | 1,351 | |
5 | McDonald's Corp. | 3.625% | 9/1/49 | 1,175 | 1,299 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | McDonald's Corp. | 4.200% | 4/1/50 | 1,745 | 2,118 | |
8 | Meritage Homes Corp. | 3.875% | 4/15/29 | 1,030 | 1,085 | |
8 | NCL Corp. Ltd. | 5.875% | 3/15/26 | 565 | 566 | |
8 | Nissan Motor Acceptance Co. LLC | 1.050% | 3/8/24 | 3,000 | 2,964 | |
8 | Nissan Motor Acceptance Co. LLC | 2.450% | 9/15/28 | 1,710 | 1,669 | |
8 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 7,100 | 7,287 | |
8 | Nissan Motor Co. Ltd. | 4.345% | 9/17/27 | 3,750 | 4,049 | |
5,13 | Nissan Motor Co. Ltd. | 3.201% | 9/17/28 | 1,400 | 1,773 | |
8 | Penn National Gaming Inc. | 5.625% | 1/15/27 | 85 | 87 | |
PulteGroup Inc. | 5.500% | 3/1/26 | 280 | 319 | ||
PulteGroup Inc. | 5.000% | 1/15/27 | 100 | 114 | ||
8 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 30 | 33 | |
8 | Royal Caribbean Cruises Ltd. | 9.125% | 6/15/23 | 25 | 27 | |
8 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 36 | 40 | |
Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 265 | 283 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 1,126 | 1,138 | ||
Starbucks Corp. | 3.500% | 3/1/28 | 335 | 363 | ||
Starbucks Corp. | 3.500% | 11/15/50 | 600 | 647 | ||
8 | Stellantis Finance US Inc. | 1.711% | 1/29/27 | 760 | 748 | |
8 | Thor Industries Inc. | 4.000% | 10/15/29 | 365 | 362 | |
Toll Brothers Finance Corp. | 4.350% | 2/15/28 | 4,320 | 4,746 | ||
Toll Brothers Finance Corp. | 3.800% | 11/1/29 | 2,705 | 2,918 | ||
5 | Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 4,000 | 4,112 | |
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 279 | 311 | ||
8 | Vail Resorts Inc. | 6.250% | 5/15/25 | 1,091 | 1,142 | |
5,13 | Volkswagen Financial Services AG | 2.250% | 10/16/26 | 2,100 | 2,591 | |
5,11 | Volkswagen Financial Services NV | 1.125% | 9/18/23 | 6,600 | 8,882 | |
8 | Volkswagen Group of America Finance LLC | 2.900% | 5/13/22 | 3,000 | 3,022 | |
8 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 4,000 | 4,057 | |
8 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 1,000 | 1,028 | |
8 | Volkswagen Group of America Finance LLC | 1.625% | 11/24/27 | 5,000 | 4,857 | |
5,13 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 2,142 | 2,522 | |
5,13 | Volkswagen Leasing GmbH | 0.375% | 7/20/26 | 1,147 | 1,302 | |
8 | William Carter Co. | 5.500% | 5/15/25 | 230 | 240 | |
8 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 129 | 133 | |
8 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 1,505 | 1,503 | |
8 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 485 | 500 | |
147,867 | ||||||
Consumer Staples (2.1%) | ||||||
8 | 7-Eleven Inc. | 1.300% | 2/10/28 | 2,650 | 2,521 | |
8 | 7-Eleven Inc. | 1.800% | 2/10/31 | 1,500 | 1,422 | |
8 | 7-Eleven Inc. | 2.800% | 2/10/51 | 4,660 | 4,325 | |
8 | Alimentation Couche-Tard Inc. | 3.550% | 7/26/27 | 221 | 237 | |
Altria Group Inc. | 2.350% | 5/6/25 | 1,000 | 1,024 | ||
Altria Group Inc. | 4.400% | 2/14/26 | 2,570 | 2,822 | ||
Altria Group Inc. | 5.800% | 2/14/39 | 2,000 | 2,408 | ||
Altria Group Inc. | 3.400% | 2/4/41 | 6,000 | 5,532 | ||
Altria Group Inc. | 5.375% | 1/31/44 | 325 | 376 | ||
Altria Group Inc. | 5.950% | 2/14/49 | 135 | 169 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 300 | 312 | ||
5 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 3,090 | 3,733 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 250 | 269 | ||
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 4,250 | 5,140 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 198 | 220 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 2,000 | 2,329 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.500% | 6/1/30 | 150 | 164 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 750 | 983 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.350% | 6/1/40 | 1,000 | 1,176 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 1,117 | 1,402 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,300 | 2,501 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 545 | 667 | ||
BAT Capital Corp. | 3.215% | 9/6/26 | 200 | 208 | ||
BAT Capital Corp. | 4.390% | 8/15/37 | 1,050 | 1,108 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 1,550 | 1,620 | ||
BAT Capital Corp. | 3.984% | 9/25/50 | 975 | 943 | ||
BAT International Finance plc | 1.668% | 3/25/26 | 6,660 | 6,545 | ||
5,11 | BAT International Finance plc | 2.250% | 9/9/52 | 500 | 460 | |
Coca-Cola Co. | 3.000% | 3/5/51 | 1,800 | 1,910 | ||
Constellation Brands Inc. | 3.200% | 2/15/23 | 550 | 563 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 4,000 | 4,101 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 1,200 | 1,313 | ||
Costco Wholesale Corp. | 1.375% | 6/20/27 | 3,000 | 2,978 | ||
Dollar General Corp. | 4.125% | 5/1/28 | 250 | 278 | ||
General Mills Inc. | 2.600% | 10/12/22 | 5,000 | 5,069 | ||
General Mills Inc. | 2.875% | 4/15/30 | 205 | 214 | ||
General Mills Inc. | 3.000% | 2/1/51 | 1,042 | 1,044 | ||
Hormel Foods Corp. | 0.650% | 6/3/24 | 2,000 | 1,985 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 2,200 | 2,194 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 90 | 88 | ||
J M Smucker Co. | 3.375% | 12/15/27 | 273 | 294 | ||
J M Smucker Co. | 3.550% | 3/15/50 | 1,200 | 1,295 | ||
Kellogg Co. | 4.500% | 4/1/46 | 530 | 656 | ||
Keurig Dr Pepper Inc. | 3.350% | 3/15/51 | 4,000 | 4,163 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 3,935 | 4,250 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 1,350 | 1,459 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 555 | 699 | ||
Kroger Co. | 2.200% | 5/1/30 | 1,000 | 996 | ||
Kroger Co. | 3.875% | 10/15/46 | 3,125 | 3,487 | ||
8 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 450 | 488 | |
13 | Louis Dreyfus Co. Finance BV | 2.375% | 11/27/25 | 4,400 | 5,331 | |
8 | Mondelez International Holdings Netherlands BV | 1.250% | 9/24/26 | 5,000 | 4,875 | |
Mondelez International Inc. | 2.750% | 4/13/30 | 2,807 | 2,908 | ||
Mondelez International Inc. | 1.500% | 2/4/31 | 2,600 | 2,434 | ||
8 | Nestle Holdings Inc. | 1.000% | 9/15/27 | 2,500 | 2,401 | |
8 | Nestle Holdings Inc. | 4.000% | 9/24/48 | 150 | 185 | |
PepsiCo Inc. | 4.450% | 4/14/46 | 1,000 | 1,313 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 1,000 | 1,129 | ||
8 | Performance Food Group Inc. | 4.250% | 8/1/29 | 590 | 585 | |
Philip Morris International Inc. | 2.100% | 5/1/30 | 200 | 196 | ||
13 | Philip Morris International Inc. | 2.000% | 5/9/36 | 1,400 | 1,623 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 2,050 | 2,340 | ||
8 | Pilgrim's Pride Corp. | 3.500% | 3/1/32 | 355 | 360 | |
8 | Post Holdings Inc. | 5.750% | 3/1/27 | 70 | 72 | |
8 | Post Holdings Inc. | 5.625% | 1/15/28 | 230 | 244 | |
8 | Post Holdings Inc. | 5.500% | 12/15/29 | 90 | 95 | |
Procter & Gamble Co. | 2.800% | 3/25/27 | 130 | 138 | ||
8 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 230 | 244 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 599 | 647 | ||
Tyson Foods Inc. | 4.000% | 3/1/26 | 348 | 378 | ||
Tyson Foods Inc. | 4.350% | 3/1/29 | 259 | 293 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Tyson Foods Inc. | 4.550% | 6/2/47 | 2,000 | 2,479 | ||
Tyson Foods Inc. | 5.100% | 9/28/48 | 910 | 1,224 | ||
Unilever Capital Corp. | 2.600% | 5/5/24 | 400 | 414 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 294 | 297 | ||
5 | Unilever Capital Corp. | 2.625% | 8/12/51 | 3,500 | 3,468 | |
Walmart Inc. | 1.500% | 9/22/28 | 1,810 | 1,800 | ||
Walmart Inc. | 2.650% | 9/22/51 | 2,000 | 2,044 | ||
129,657 | ||||||
Energy (3.1%) | ||||||
8 | Antero Resources Corp. | 5.375% | 3/1/30 | 625 | 668 | |
Baker Hughes Holdings LLC | 1.231% | 12/15/23 | 2,500 | 2,511 | ||
Baker Hughes Holdings LLC | 3.337% | 12/15/27 | 248 | 265 | ||
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 248 | 261 | ||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 347 | 374 | ||
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 444 | 475 | ||
5 | BP Capital Markets America Inc. | 3.119% | 5/4/26 | 679 | 719 | |
5 | BP Capital Markets America Inc. | 3.017% | 1/16/27 | 248 | 262 | |
BP Capital Markets America Inc. | 3.543% | 4/6/27 | 3,000 | 3,247 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 925 | 1,048 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 1,024 | 1,101 | ||
8 | Cameron LNG LLC | 3.701% | 1/15/39 | 1,655 | 1,797 | |
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 600 | 611 | ||
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 520 | 545 | ||
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 3,640 | 3,914 | ||
Canadian Natural Resources Ltd. | 2.950% | 7/15/30 | 2,000 | 2,044 | ||
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,170 | 1,540 | ||
Cenovus Energy Inc. | 4.250% | 4/15/27 | 1,490 | 1,626 | ||
Cenovus Energy Inc. | 2.650% | 1/15/32 | 850 | 832 | ||
Cenovus Energy Inc. | 6.750% | 11/15/39 | 500 | 679 | ||
Cenovus Energy Inc. | 5.400% | 6/15/47 | 1,000 | 1,245 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 3,000 | 3,321 | ||
Cheniere Energy Inc. | 4.625% | 10/15/28 | 305 | 324 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 450 | 473 | ||
8 | Cheniere Energy Partners LP | 3.250% | 1/31/32 | 240 | 243 | |
Chevron Corp. | 2.954% | 5/16/26 | 195 | 207 | ||
Chevron Corp. | 2.978% | 5/11/40 | 500 | 513 | ||
Chevron USA Inc. | 3.250% | 10/15/29 | 1,000 | 1,085 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 500 | 462 | ||
8 | Civitas Resources Inc. | 5.000% | 10/15/26 | 240 | 243 | |
8 | CNX Resources Corp. | 6.000% | 1/15/29 | 515 | 536 | |
8 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 615 | 634 | |
8 | Comstock Resources Inc. | 5.875% | 1/15/30 | 865 | 886 | |
8 | ConocoPhillips | 3.750% | 10/1/27 | 890 | 974 | |
8 | ConocoPhillips | 2.400% | 2/15/31 | 350 | 352 | |
8 | ConocoPhillips | 4.875% | 10/1/47 | 440 | 581 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 1,197 | 1,353 | ||
ConocoPhillips Co. | 4.300% | 11/15/44 | 265 | 319 | ||
8 | Continental Resources Inc. | 2.268% | 11/15/26 | 2,000 | 1,986 | |
Continental Resources Inc. | 4.375% | 1/15/28 | 1,200 | 1,299 | ||
8 | Continental Resources Inc. | 2.875% | 4/1/32 | 2,300 | 2,251 | |
8 | Coterra Energy Inc. | 3.900% | 5/15/27 | 655 | 706 | |
8 | Coterra Energy Inc. | 4.375% | 3/15/29 | 2,440 | 2,742 | |
8 | CrownRock LP | 5.625% | 10/15/25 | 180 | 185 | |
8 | CrownRock LP | 5.000% | 5/1/29 | 150 | 156 | |
DCP Midstream Operating LP | 5.625% | 7/15/27 | 59 | 67 | ||
DCP Midstream Operating LP | 5.125% | 5/15/29 | 350 | 395 | ||
Devon Energy Corp. | 5.250% | 10/15/27 | 425 | 448 | ||
Devon Energy Corp. | 5.875% | 6/15/28 | 307 | 333 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Devon Energy Corp. | 4.500% | 1/15/30 | 1,038 | 1,114 | ||
Devon Energy Corp. | 5.600% | 7/15/41 | 200 | 252 | ||
Diamondback Energy Inc. | 3.250% | 12/1/26 | 2,217 | 2,340 | ||
Diamondback Energy Inc. | 4.400% | 3/24/51 | 1,740 | 1,997 | ||
8 | DT Midstream Inc. | 4.125% | 6/15/29 | 455 | 468 | |
8 | DT Midstream Inc. | 4.375% | 6/15/31 | 315 | 328 | |
8 | Eastern Gas Transmission & Storage Inc. | 3.600% | 12/15/24 | 66 | 70 | |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 125 | 160 | ||
Enbridge Inc. | 3.700% | 7/15/27 | 1,200 | 1,297 | ||
Enbridge Inc. | 3.125% | 11/15/29 | 450 | 472 | ||
8 | Endeavor Energy Resources LP | 6.625% | 7/15/25 | 45 | 48 | |
8 | Endeavor Energy Resources LP | 5.750% | 1/30/28 | 105 | 112 | |
Energy Transfer LP | 3.900% | 5/15/24 | 280 | 293 | ||
Energy Transfer LP | 5.950% | 12/1/25 | 2,000 | 2,279 | ||
Energy Transfer LP | 4.950% | 5/15/28 | 3,380 | 3,759 | ||
Energy Transfer LP | 4.150% | 9/15/29 | 4,300 | 4,620 | ||
Energy Transfer LP | 3.750% | 5/15/30 | 3,770 | 4,007 | ||
Energy Transfer LP | 6.050% | 6/1/41 | 700 | 859 | ||
Energy Transfer LP | 6.500% | 2/1/42 | 1,400 | 1,798 | ||
Energy Transfer LP | 6.250% | 4/15/49 | 400 | 523 | ||
8 | EnLink Midstream LLC | 5.625% | 1/15/28 | 100 | 104 | |
EnLink Midstream LLC | 5.375% | 6/1/29 | 260 | 266 | ||
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 380 | 506 | ||
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 2,400 | 2,889 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 2,000 | 2,486 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 860 | 1,046 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 1,000 | 1,053 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 200 | 227 | ||
8 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 155 | 174 | |
EQT Corp. | 3.000% | 10/1/22 | 20 | 20 | ||
8 | EQT Corp. | 3.125% | 5/15/26 | 150 | 154 | |
EQT Corp. | 5.000% | 1/15/29 | 330 | 367 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 1,731 | 1,796 | ||
13 | Exxon Mobil Corp. | 1.408% | 6/26/39 | 1,200 | 1,309 | |
Exxon Mobil Corp. | 4.227% | 3/19/40 | 2,235 | 2,640 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 1,000 | 1,169 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 655 | 711 | ||
5,13 | Gazprom PJSC Via Gaz Capital SA | 3.125% | 11/17/23 | 300 | 356 | |
13 | Gazprom PJSC Via Gaz Capital SA | 2.949% | 1/24/24 | 1,800 | 2,133 | |
13 | Gazprom PJSC Via Gaz Capital SA | 2.250% | 11/22/24 | 500 | 587 | |
5 | Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 3,776 | 4,053 | |
8 | Helmerich & Payne Inc. | 2.900% | 9/29/31 | 2,670 | 2,635 | |
8 | Hilcorp Energy I LP | 5.750% | 2/1/29 | 80 | 82 | |
8 | Hilcorp Energy I LP | 6.000% | 2/1/31 | 95 | 98 | |
5 | KazTransGas JSC | 4.375% | 9/26/27 | 1,269 | 1,383 | |
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 500 | 531 | ||
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 2,891 | 3,634 | ||
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 800 | 983 | ||
5 | Lukoil International Finance BV | 4.750% | 11/2/26 | 1,536 | 1,643 | |
Marathon Petroleum Corp. | 5.125% | 12/15/26 | 2,290 | 2,611 | ||
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 500 | 690 | ||
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 500 | 590 | ||
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 845 | 997 | ||
8 | MEG Energy Corp. | 6.500% | 1/15/25 | 402 | 410 | |
8 | MEG Energy Corp. | 5.875% | 2/1/29 | 60 | 63 | |
MPLX LP | 4.875% | 6/1/25 | 3,000 | 3,283 | ||
MPLX LP | 1.750% | 3/1/26 | 2,650 | 2,632 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
MPLX LP | 4.500% | 4/15/38 | 1,850 | 2,082 | ||
NuStar Logistics LP | 5.750% | 10/1/25 | 55 | 59 | ||
NuStar Logistics LP | 6.375% | 10/1/30 | 230 | 256 | ||
Occidental Petroleum Corp. | 5.550% | 3/15/26 | 200 | 223 | ||
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 75 | 77 | ||
Occidental Petroleum Corp. | 3.200% | 8/15/26 | 855 | 880 | ||
Occidental Petroleum Corp. | 3.000% | 2/15/27 | 170 | 173 | ||
Occidental Petroleum Corp. | 4.400% | 8/15/49 | 305 | 310 | ||
ONEOK Inc. | 4.000% | 7/13/27 | 1,000 | 1,081 | ||
ONEOK Inc. | 3.400% | 9/1/29 | 500 | 518 | ||
ONEOK Inc. | 4.950% | 7/13/47 | 500 | 583 | ||
ONEOK Inc. | 5.200% | 7/15/48 | 435 | 527 | ||
Ovintiv Exploration Inc. | 5.375% | 1/1/26 | 945 | 1,049 | ||
8 | Parkland Corp. | 4.500% | 10/1/29 | 300 | 300 | |
Phillips 66 | 3.700% | 4/6/23 | 450 | 465 | ||
Phillips 66 | 3.850% | 4/9/25 | 202 | 215 | ||
Phillips 66 | 4.650% | 11/15/34 | 1,035 | 1,215 | ||
Phillips 66 Partners LP | 3.605% | 2/15/25 | 305 | 321 | ||
Phillips 66 Partners LP | 3.750% | 3/1/28 | 885 | 951 | ||
Phillips 66 Partners LP | 3.150% | 12/15/29 | 2,569 | 2,659 | ||
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 2,000 | 1,899 | ||
Plains All American Pipeline LP | 4.650% | 10/15/25 | 2,000 | 2,182 | ||
Plains All American Pipeline LP | 4.500% | 12/15/26 | 4,010 | 4,402 | ||
Plains All American Pipeline LP | 3.550% | 12/15/29 | 1,000 | 1,040 | ||
Plains All American Pipeline LP | 4.900% | 2/15/45 | 410 | 448 | ||
8 | SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 5,893 | 5,805 | |
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 570 | 633 | ||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 1,669 | 1,915 | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 2,964 | 3,254 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 2,000 | 2,260 | ||
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 475 | 474 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 1,245 | 1,274 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 500 | 625 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 500 | 609 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 550 | 619 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 1,300 | 1,340 | ||
Southwestern Energy Co. | 4.750% | 2/1/32 | 235 | 248 | ||
Spectra Energy Partners LP | 4.500% | 3/15/45 | 300 | 346 | ||
Suncor Energy Inc. | 3.100% | 5/15/25 | 1,485 | 1,554 | ||
Suncor Energy Inc. | 6.500% | 6/15/38 | 855 | 1,172 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 1,430 | 1,550 | ||
8 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 420 | 436 | |
Targa Resources Partners LP | 6.500% | 7/15/27 | 120 | 129 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 200 | 210 | ||
TransCanada PipeLines Ltd. | 1.000% | 10/12/24 | 3,000 | 2,979 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 244 | 272 | ||
TransCanada PipeLines Ltd. | 4.250% | 5/15/28 | 155 | 173 | ||
TransCanada PipeLines Ltd. | 2.500% | 10/12/31 | 3,000 | 2,983 | ||
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,155 | 1,360 | ||
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 900 | 1,226 | ||
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 1,000 | 1,250 | ||
TransCanada PipeLines Ltd. | 4.875% | 5/15/48 | 500 | 638 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.000% | 3/15/28 | 75 | 82 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 780 | 822 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.600% | 3/15/48 | 400 | 486 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Valero Energy Corp. | 4.350% | 6/1/28 | 300 | 331 | ||
Valero Energy Corp. | 4.900% | 3/15/45 | 100 | 119 | ||
Valero Energy Corp. | 3.650% | 12/1/51 | 5,290 | 5,263 | ||
8 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 475 | 494 | |
Western Midstream Operating LP | 5.300% | 2/1/30 | 160 | 176 | ||
Williams Cos. Inc. | 6.300% | 4/15/40 | 200 | 271 | ||
Williams Cos. Inc. | 5.100% | 9/15/45 | 535 | 660 | ||
189,898 | ||||||
Financials (9.7%) | ||||||
AerCap Ireland Capital DAC | 4.500% | 9/15/23 | 4,525 | 4,749 | ||
AerCap Ireland Capital DAC | 1.150% | 10/29/23 | 10,000 | 9,958 | ||
AerCap Ireland Capital DAC | 1.650% | 10/29/24 | 7,000 | 6,991 | ||
AerCap Ireland Capital DAC | 4.450% | 4/3/26 | 2,050 | 2,227 | ||
AerCap Ireland Capital DAC | 2.450% | 10/29/26 | 2,500 | 2,519 | ||
AerCap Ireland Capital DAC | 3.000% | 10/29/28 | 6,400 | 6,496 | ||
AerCap Ireland Capital DAC | 3.300% | 1/30/32 | 11,000 | 11,218 | ||
AerCap Ireland Capital DAC | 3.850% | 10/29/41 | 5,200 | 5,397 | ||
Aflac Inc. | 1.125% | 3/15/26 | 910 | 896 | ||
Aflac Inc. | 4.750% | 1/15/49 | 850 | 1,131 | ||
5 | Air Lease Corp. | 2.875% | 1/15/26 | 1,600 | 1,650 | |
5 | Air Lease Corp. | 3.750% | 6/1/26 | 1,269 | 1,353 | |
Air Lease Corp. | 3.125% | 12/1/30 | 2,000 | 2,042 | ||
8 | Alliant Holdings Intermediate LLC | 6.750% | 10/15/27 | 345 | 358 | |
Ally Financial Inc. | 1.450% | 10/2/23 | 1,545 | 1,550 | ||
American Express Co. | 3.400% | 2/22/24 | 331 | 347 | ||
American Express Co. | 2.500% | 7/30/24 | 354 | 366 | ||
American Express Co. | 3.000% | 10/30/24 | 5,726 | 6,002 | ||
American International Group Inc. | 2.500% | 6/30/25 | 245 | 253 | ||
American International Group Inc. | 4.500% | 7/16/44 | 1,367 | 1,685 | ||
American International Group Inc. | 4.800% | 7/10/45 | 715 | 907 | ||
American International Group Inc. | 4.375% | 6/30/50 | 1,716 | 2,137 | ||
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 207 | 221 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 694 | 725 | ||
Aon Corp. | 2.800% | 5/15/30 | 200 | 206 | ||
Aon plc | 4.600% | 6/14/44 | 478 | 589 | ||
Aon plc | 4.750% | 5/15/45 | 505 | 630 | ||
5,13 | ASB Finance Ltd. | 0.250% | 9/8/28 | 3,400 | 3,775 | |
5,13 | ASB Finance Ltd. | 0.500% | 9/24/29 | 1,402 | 1,571 | |
8 | Athene Global Funding | 0.950% | 1/8/24 | 2,000 | 1,988 | |
5,13 | Athene Global Funding | 1.125% | 9/2/25 | 5,830 | 6,808 | |
5,11 | Athene Global Funding | 1.875% | 11/30/28 | 700 | 930 | |
8 | Australia & New Zealand Banking Group Ltd. | 2.950% | 7/22/30 | 5,200 | 5,329 | |
10,12 | Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% | 2.040% | 7/26/29 | 8,000 | 5,965 | |
11 | Aviva plc | 6.125% | 11/14/36 | 1,790 | 2,828 | |
8 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 2,000 | 1,965 | |
8 | Avolon Holdings Funding Ltd. | 4.250% | 4/15/26 | 2,175 | 2,317 | |
5,11 | AXA SA | 5.625% | 1/16/54 | 1,000 | 1,654 | |
Banco Santander SA | 2.746% | 5/28/25 | 200 | 207 | ||
Banco Santander SA | 3.490% | 5/28/30 | 200 | 212 | ||
Banco Santander SA | 2.749% | 12/3/30 | 2,130 | 2,083 | ||
5 | Bank of America Corp. | 2.816% | 7/21/23 | 4,002 | 4,047 | |
5 | Bank of America Corp. | 3.864% | 7/23/24 | 2,610 | 2,720 | |
5 | Bank of America Corp. | 0.810% | 10/24/24 | 5,000 | 4,966 | |
5 | Bank of America Corp. | 4.000% | 1/22/25 | 1,000 | 1,069 | |
5 | Bank of America Corp. | 0.981% | 9/25/25 | 4,000 | 3,953 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Bank of America Corp. | 3.093% | 10/1/25 | 479 | 499 | |
5 | Bank of America Corp. | 3.366% | 1/23/26 | 4,099 | 4,315 | |
5 | Bank of America Corp. | 2.015% | 2/13/26 | 356 | 361 | |
5 | Bank of America Corp. | 1.319% | 6/19/26 | 1,755 | 1,737 | |
5 | Bank of America Corp. | 3.559% | 4/23/27 | 242 | 259 | |
Bank of America Corp. | 1.734% | 7/22/27 | 6,520 | 6,471 | ||
5 | Bank of America Corp. | 3.824% | 1/20/28 | 433 | 469 | |
5 | Bank of America Corp. | 3.705% | 4/24/28 | 244 | 265 | |
5 | Bank of America Corp. | 3.419% | 12/20/28 | 520 | 556 | |
5 | Bank of America Corp. | 3.970% | 3/5/29 | 1,635 | 1,790 | |
5 | Bank of America Corp. | 2.087% | 6/14/29 | 5,000 | 4,971 | |
5 | Bank of America Corp. | 4.271% | 7/23/29 | 201 | 224 | |
5 | Bank of America Corp. | 3.194% | 7/23/30 | 1,050 | 1,107 | |
5 | Bank of America Corp. | 1.898% | 7/23/31 | 1,550 | 1,486 | |
5,13 | Bank of America Corp. | 0.654% | 10/26/31 | 1,300 | 1,439 | |
Bank of America Corp. | 2.687% | 4/22/32 | 2,500 | 2,539 | ||
Bank of America Corp. | 2.299% | 7/21/32 | 6,800 | 6,678 | ||
5 | Bank of America Corp. | 2.676% | 6/19/41 | 1,700 | 1,634 | |
Bank of America Corp. | 3.311% | 4/22/42 | 400 | 420 | ||
5 | Bank of America Corp. | 4.875% | 4/1/44 | 1,000 | 1,303 | |
5 | Bank of America Corp. | 3.946% | 1/23/49 | 1,000 | 1,167 | |
5 | Bank of America Corp. | 4.083% | 3/20/51 | 2,000 | 2,404 | |
5 | Bank of America Corp. | 2.831% | 10/24/51 | 1,000 | 981 | |
5 | Bank of Montreal | 3.300% | 2/5/24 | 431 | 451 | |
5 | Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 200 | 205 | |
Bank of Nova Scotia | 2.200% | 2/3/25 | 278 | 285 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 269 | 281 | ||
8 | Bank of Nova Scotia | 1.188% | 10/13/26 | 1,420 | 1,397 | |
Barclays plc | 3.684% | 1/10/23 | 5,000 | 5,002 | ||
Barclays plc | 4.375% | 9/11/24 | 510 | 544 | ||
Barclays plc | 1.007% | 12/10/24 | 3,820 | 3,792 | ||
5 | Barclays plc | 3.932% | 5/7/25 | 1,200 | 1,263 | |
5 | Barclays plc | 2.852% | 5/7/26 | 414 | 427 | |
Barclays plc | 5.200% | 5/12/26 | 2,000 | 2,238 | ||
Barclays plc | 4.337% | 1/10/28 | 2,844 | 3,113 | ||
Barclays plc | 3.564% | 9/23/35 | 1,000 | 1,024 | ||
Barclays plc | 3.330% | 11/24/42 | 6,000 | 6,093 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 420 | 510 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 3,300 | 3,071 | ||
BlackRock Inc. | 3.200% | 3/15/27 | 200 | 216 | ||
5,13 | Blackstone Property Partners Europe Holdings Sarl | 1.750% | 3/12/29 | 1,800 | 2,082 | |
8 | BNP Paribas SA | 2.219% | 6/9/26 | 1,360 | 1,374 | |
8 | BNP Paribas SA | 1.323% | 1/13/27 | 2,770 | 2,695 | |
5,13 | BNP Paribas SA | 1.125% | 1/15/32 | 1,200 | 1,366 | |
8 | BPCE SA | 3.250% | 1/11/28 | 200 | 213 | |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 200 | 214 | ||
Brookfield Finance Inc. | 3.900% | 1/25/28 | 200 | 220 | ||
5 | Capital One Bank USA NA | 2.280% | 1/28/26 | 1,853 | 1,889 | |
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 3,740 | 3,553 | ||
13 | CBRE Global Investors Open-Ended Fund SCA SICAV-SIF Pan European Core Fund | 0.500% | 1/27/28 | 2,800 | 3,104 | |
Charles Schwab Corp. | 0.750% | 3/18/24 | 2,200 | 2,190 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 422 | 455 | ||
Charles Schwab Corp. | 3.300% | 4/1/27 | 200 | 215 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 206 | 221 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 270 | 285 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 1,710 | 2,125 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 3,625 | 3,599 | ||
5 | Citigroup Inc. | 3.106% | 4/8/26 | 210 | 220 | |
Citigroup Inc. | 3.400% | 5/1/26 | 331 | 355 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 1,524 | 1,615 | ||
Citigroup Inc. | 4.450% | 9/29/27 | 1,907 | 2,126 | ||
5 | Citigroup Inc. | 3.887% | 1/10/28 | 200 | 217 | |
5 | Citigroup Inc. | 3.668% | 7/24/28 | 1,198 | 1,292 | |
5 | Citigroup Inc. | 3.520% | 10/27/28 | 200 | 214 | |
5 | Citigroup Inc. | 3.980% | 3/20/30 | 207 | 228 | |
5 | Citigroup Inc. | 4.412% | 3/31/31 | 248 | 283 | |
5 | Citigroup Inc. | 2.572% | 6/3/31 | 650 | 655 | |
Citigroup Inc. | 2.561% | 5/1/32 | 3,000 | 3,017 | ||
5 | Citigroup Inc. | 3.878% | 1/24/39 | 1,500 | 1,701 | |
Citigroup Inc. | 4.650% | 7/23/48 | 1,000 | 1,288 | ||
8 | Coinbase Global Inc. | 3.625% | 10/1/31 | 355 | 327 | |
5,10,12 | Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.800% | 1.862% | 9/10/30 | 6,800 | 5,036 | |
8 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 200 | 207 | |
5 | Credit Suisse AG | 3.625% | 9/9/24 | 556 | 590 | |
5,13 | Credit Suisse Group AG | 0.650% | 1/14/28 | 1,600 | 1,802 | |
5,11 | Credit Suisse Group AG | 2.250% | 6/9/28 | 1,700 | 2,300 | |
8 | Credit Suisse Group AG | 3.091% | 5/14/32 | 3,300 | 3,355 | |
8 | Danske Bank A/S | 1.171% | 12/8/23 | 4,000 | 3,999 | |
5,11 | Danske Bank A/S | 2.250% | 1/14/28 | 2,300 | 3,125 | |
5 | Deutsche Bank AG | 0.962% | 11/8/23 | 18,400 | 18,354 | |
5 | Deutsche Bank AG | 2.222% | 9/18/24 | 1,350 | 1,368 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 1,870 | 1,868 | ||
Deutsche Bank AG | 2.311% | 11/16/27 | 3,400 | 3,399 | ||
Deutsche Bank AG | 3.035% | 5/28/32 | 4,000 | 4,029 | ||
5 | Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 8,118 | 8,310 | |
8 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 1,024 | 1,020 | |
5 | Discover Bank | 4.250% | 3/13/26 | 2,700 | 2,949 | |
Enstar Group Ltd. | 4.950% | 6/1/29 | 1,630 | 1,821 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 290 | 363 | ||
Everest Reinsurance Holdings Inc. | 3.500% | 10/15/50 | 1,500 | 1,577 | ||
Fidelity National Financial Inc. | 3.200% | 9/17/51 | 3,645 | 3,498 | ||
FS KKR Capital Corp. | 3.400% | 1/15/26 | 1,200 | 1,223 | ||
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 2,701 | 3,239 | ||
5 | Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 10,015 | 10,127 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 359 | 379 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 1,859 | 1,984 | ||
5 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 253 | 265 | |
5,11 | Goldman Sachs Group Inc. | 1.000% | 12/16/25 | 5,600 | 7,421 | |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 207 | 223 | ||
5 | Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 1,430 | 1,393 | |
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 200 | 215 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 3,865 | 3,786 | ||
5 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 344 | 371 | |
5 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 1,750 | 1,945 | |
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 207 | 210 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 4,000 | 3,828 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 2,000 | 2,010 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 3,350 | 3,372 | ||
5,13 | Goldman Sachs Group Inc. | 1.000% | 3/18/33 | 900 | 1,006 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 958 | 1,143 | |
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 1,500 | 1,553 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 2,900 | 2,865 | ||
5 | HSBC Holdings plc | 2.633% | 11/7/25 | 1,670 | 1,715 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 215 | 235 | ||
5 | HSBC Holdings plc | 1.645% | 4/18/26 | 1,905 | 1,892 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 257 | 278 | ||
5 | HSBC Holdings plc | 2.099% | 6/4/26 | 4,449 | 4,476 | |
5 | HSBC Holdings plc | 4.292% | 9/12/26 | 200 | 216 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 2,910 | 2,843 | ||
11 | HSBC Holdings plc | 1.750% | 7/24/27 | 2,000 | 2,672 | |
5 | HSBC Holdings plc | 4.041% | 3/13/28 | 652 | 705 | |
5 | HSBC Holdings plc | 2.013% | 9/22/28 | 2,000 | 1,958 | |
5 | HSBC Holdings plc | 4.583% | 6/19/29 | 348 | 390 | |
5 | HSBC Holdings plc | 3.973% | 5/22/30 | 248 | 270 | |
5 | HSBC Holdings plc | 2.357% | 8/18/31 | 1,000 | 977 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 3,100 | 3,115 | ||
5,11 | HSBC Holdings plc | 6.000% | 3/29/40 | 500 | 939 | |
ING Groep NV | 3.950% | 3/29/27 | 214 | 235 | ||
ING Groep NV | 4.050% | 4/9/29 | 236 | 264 | ||
Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 2,120 | 2,118 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 1,730 | 1,681 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 1,470 | 1,453 | ||
8 | Intesa Sanpaolo SpA | 3.250% | 9/23/24 | 500 | 520 | |
8 | Intesa Sanpaolo SpA | 4.000% | 9/23/29 | 200 | 215 | |
Invesco Finance plc | 4.000% | 1/30/24 | 200 | 211 | ||
Invesco Finance plc | 5.375% | 11/30/43 | 590 | 779 | ||
13 | JAB Holdings BV | 3.375% | 4/17/35 | 700 | 951 | |
13 | JAB Holdings BV | 2.250% | 12/19/39 | 500 | 589 | |
5 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 7,223 | 7,608 | |
5 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 284 | 295 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 256 | 277 | ||
5 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 2,110 | 2,136 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 303 | 322 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 4,000 | 3,953 | ||
5 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 207 | 224 | |
5 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 3,807 | 4,097 | |
5 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 473 | 507 | |
5 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 384 | 424 | |
5 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 200 | 227 | |
5 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 229 | 235 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 3,500 | 3,544 | ||
5 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 2,750 | 3,115 | |
JPMorgan Chase & Co. | 2.525% | 11/19/41 | 2,620 | 2,494 | ||
5 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 660 | 773 | |
5 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 3,600 | 3,715 | |
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 1,750 | 1,887 | ||
5 | KeyBank NA | 3.300% | 6/1/25 | 200 | 213 | |
Lazard Group LLC | 4.500% | 9/19/28 | 262 | 299 | ||
Lloyds Banking Group plc | 0.695% | 5/11/24 | 9,840 | 9,797 | ||
Lloyds Banking Group plc | 4.450% | 5/8/25 | 240 | 261 | ||
5 | Lloyds Banking Group plc | 3.870% | 7/9/25 | 1,593 | 1,684 | |
Lloyds Banking Group plc | 3.750% | 1/11/27 | 576 | 623 | ||
Lloyds Banking Group plc | 4.375% | 3/22/28 | 248 | 279 | ||
Lloyds Banking Group plc | 4.550% | 8/16/28 | 200 | 228 | ||
5,10,12 | Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 1.400% | 1.458% | 3/7/25 | 1,000 | 740 | |
8 | Macquarie Group Ltd. | 1.340% | 1/12/27 | 4,800 | 4,672 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 343 | 362 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 254 | 269 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 336 | 384 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 3,250 | 3,249 | ||
Mastercard Inc. | 3.300% | 3/26/27 | 200 | 216 | ||
Mastercard Inc. | 3.650% | 6/1/49 | 614 | 711 | ||
Mastercard Inc. | 2.950% | 3/15/51 | 2,000 | 2,083 | ||
MetLife Inc. | 4.550% | 3/23/30 | 2,055 | 2,431 | ||
MetLife Inc. | 4.125% | 8/13/42 | 1,000 | 1,183 | ||
8 | Midcap Financial Issuer Trust | 5.625% | 1/15/30 | 347 | 348 | |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 200 | 204 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 753 | 806 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 1,000 | 994 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 360 | 394 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 265 | 280 | ||
Mitsubishi UFJ Financial Group Inc. | 2.309% | 7/20/32 | 8,400 | 8,292 | ||
Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 515 | 583 | ||
5 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 248 | 255 | |
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 4,540 | 4,399 | ||
5 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 200 | 210 | |
Morgan Stanley | 2.750% | 5/19/22 | 2,100 | 2,118 | ||
5 | Morgan Stanley | 3.125% | 1/23/23 | 2,597 | 2,661 | |
5 | Morgan Stanley | 0.560% | 11/10/23 | 4,127 | 4,120 | |
5 | Morgan Stanley | 2.720% | 7/22/25 | 7,830 | 8,071 | |
5 | Morgan Stanley | 4.000% | 7/23/25 | 244 | 265 | |
5 | Morgan Stanley | 3.875% | 1/27/26 | 707 | 767 | |
5 | Morgan Stanley | 2.188% | 4/28/26 | 2,070 | 2,110 | |
Morgan Stanley | 3.625% | 1/20/27 | 573 | 622 | ||
Morgan Stanley | 1.593% | 5/4/27 | 3,900 | 3,860 | ||
5 | Morgan Stanley | 3.591% | 7/22/28 | 751 | 810 | |
5 | Morgan Stanley | 2.699% | 1/22/31 | 500 | 512 | |
5 | Morgan Stanley | 3.622% | 4/1/31 | 265 | 289 | |
5 | Morgan Stanley | 1.794% | 2/13/32 | 4,500 | 4,264 | |
5 | Morgan Stanley | 3.971% | 7/22/38 | 1,000 | 1,138 | |
5 | Morgan Stanley | 4.457% | 4/22/39 | 525 | 630 | |
Morgan Stanley | 3.217% | 4/22/42 | 1,735 | 1,820 | ||
Morgan Stanley | 4.300% | 1/27/45 | 725 | 891 | ||
5 | Morgan Stanley | 2.802% | 1/25/52 | 1,215 | 1,193 | |
Nasdaq Inc. | 2.500% | 12/21/40 | 1,675 | 1,550 | ||
NatWest Group plc | 3.875% | 9/12/23 | 600 | 626 | ||
5 | NatWest Group plc | 4.269% | 3/22/25 | 700 | 741 | |
5 | NatWest Group plc | 3.073% | 5/22/28 | 1,175 | 1,224 | |
5,11 | NIBC Bank NV | 3.125% | 11/15/23 | 2,700 | 3,766 | |
5,13 | Phoenix Group Holdings plc | 4.375% | 1/24/29 | 1,600 | 2,111 | |
5 | PNC Bank NA | 2.950% | 2/23/25 | 259 | 272 | |
5 | PNC Bank NA | 3.100% | 10/25/27 | 262 | 281 | |
5 | PNC Bank NA | 3.250% | 1/22/28 | 250 | 268 | |
5 | PNC Bank NA | 2.700% | 10/22/29 | 200 | 206 | |
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 403 | 439 | ||
8 | Protective Life Corp. | 4.300% | 9/30/28 | 200 | 226 | |
Prudential Financial Inc. | 3.935% | 12/7/49 | 2,530 | 2,963 | ||
5 | Prudential Financial Inc. | 4.350% | 2/25/50 | 500 | 624 | |
8 | Rocket Mortgage LLC | 4.000% | 10/15/33 | 240 | 243 | |
11 | Rothesay Life plc | 8.000% | 10/30/25 | 1,189 | 1,937 | |
5 | Royal Bank of Canada | 2.550% | 7/16/24 | 1,520 | 1,571 | |
Santander Holdings USA Inc. | 3.500% | 6/7/24 | 290 | 302 | ||
Santander Holdings USA Inc. | 4.400% | 7/13/27 | 1,746 | 1,919 | ||
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 4,500 | 4,411 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
7,10,14,15 | Setanta Aircraft Leasing DAC Bank Loan, 2M USD LIBOR + 2.000% | —% | 11/5/28 | 1,745 | 1,744 | |
8 | Standard Chartered plc | 1.319% | 10/14/23 | 1,260 | 1,262 | |
State Street Corp. | 2.825% | 3/30/23 | 200 | 201 | ||
State Street Corp. | 3.300% | 12/16/24 | 289 | 308 | ||
State Street Corp. | 3.550% | 8/18/25 | 282 | 304 | ||
5 | State Street Corp. | 2.354% | 11/1/25 | 244 | 251 | |
State Street Corp. | 3.152% | 3/30/31 | 223 | 241 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 220 | 225 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 290 | 313 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 427 | 443 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 200 | 215 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 588 | 614 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 273 | 279 | ||
SVB Financial Group | 2.100% | 5/15/28 | 3,775 | 3,778 | ||
Synchrony Financial | 3.950% | 12/1/27 | 6,640 | 7,139 | ||
5 | Toronto-Dominion Bank | 2.650% | 6/12/24 | 146 | 151 | |
5 | Toronto-Dominion Bank | 1.150% | 6/12/25 | 230 | 228 | |
5 | Truist Bank | 3.200% | 4/1/24 | 517 | 541 | |
5 | Truist Bank | 1.500% | 3/10/25 | 200 | 201 | |
5 | Truist Bank | 3.625% | 9/16/25 | 250 | 268 | |
5,13 | UniCredit SpA | 1.200% | 1/20/26 | 5,834 | 6,744 | |
5 | US Bancorp | 3.700% | 1/30/24 | 366 | 386 | |
US Bancorp | 2.400% | 7/30/24 | 99 | 102 | ||
5 | US Bancorp | 3.150% | 4/27/27 | 256 | 275 | |
5 | US Bancorp | 3.000% | 7/30/29 | 200 | 211 | |
Visa Inc. | 1.900% | 4/15/27 | 200 | 203 | ||
5 | Wells Fargo & Co. | 3.000% | 2/19/25 | 544 | 568 | |
5 | Wells Fargo & Co. | 2.164% | 2/11/26 | 3,256 | 3,310 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 504 | 530 | ||
5 | Wells Fargo & Co. | 2.188% | 4/30/26 | 3,600 | 3,668 | |
Wells Fargo & Co. | 3.000% | 10/23/26 | 545 | 573 | ||
5 | Wells Fargo & Co. | 3.196% | 6/17/27 | 200 | 211 | |
5 | Wells Fargo & Co. | 4.300% | 7/22/27 | 4,500 | 5,030 | |
5 | Wells Fargo & Co. | 3.584% | 5/22/28 | 244 | 262 | |
5 | Wells Fargo & Co. | 2.879% | 10/30/30 | 2,332 | 2,425 | |
5 | Wells Fargo & Co. | 3.068% | 4/30/41 | 2,750 | 2,813 | |
5 | Wells Fargo & Co. | 4.650% | 11/4/44 | 1,000 | 1,212 | |
5 | Wells Fargo & Co. | 4.400% | 6/14/46 | 750 | 888 | |
5 | Wells Fargo & Co. | 5.013% | 4/4/51 | 450 | 615 | |
5,11 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 6,550 | 9,386 | |
8 | Westpac Banking Corp. | 1.552% | 9/30/26 | 640 | 641 | |
5,12 | Westpac Banking Corp. | 4.334% | 8/16/29 | 1,920 | 1,471 | |
5 | Westpac Banking Corp. | 2.894% | 2/4/30 | 2,700 | 2,757 | |
Westpac Banking Corp. | 2.963% | 11/16/40 | 1,175 | 1,150 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 1,585 | 1,627 | ||
Willis North America Inc. | 3.875% | 9/15/49 | 680 | 739 | ||
599,146 | ||||||
Health Care (3.0%) | ||||||
Abbott Laboratories | 4.900% | 11/30/46 | 1,019 | 1,399 | ||
AbbVie Inc. | 2.600% | 11/21/24 | 1,573 | 1,631 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 1,188 | 1,267 | ||
AbbVie Inc. | 2.950% | 11/21/26 | 1,813 | 1,910 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 313 | 335 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 1,265 | 1,450 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 4,895 | 6,336 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 725 | 870 | ||
5 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 5,700 | 5,632 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Allina Health System | 3.887% | 4/15/49 | 1,135 | 1,332 | |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 3,400 | 3,990 | ||
Amgen Inc. | 2.200% | 2/21/27 | 2,609 | 2,669 | ||
Amgen Inc. | 3.150% | 2/21/40 | 2,250 | 2,303 | ||
Amgen Inc. | 3.375% | 2/21/50 | 750 | 779 | ||
Amgen Inc. | 4.663% | 6/15/51 | 500 | 637 | ||
Anthem Inc. | 3.650% | 12/1/27 | 1,985 | 2,179 | ||
Anthem Inc. | 3.125% | 5/15/50 | 2,450 | 2,523 | ||
AstraZeneca Finance LLC | 1.200% | 5/28/26 | 1,000 | 988 | ||
AstraZeneca Finance LLC | 1.750% | 5/28/28 | 1,800 | 1,788 | ||
8 | Avantor Funding Inc. | 3.875% | 11/1/29 | 851 | 860 | |
8 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 222 | 227 | |
8 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 45 | 46 | |
8 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 95 | 99 | |
8 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 220 | 221 | |
8 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 210 | 185 | |
8 | Baxter International Inc. | 2.272% | 12/1/28 | 2,820 | 2,843 | |
8 | Baxter International Inc. | 3.132% | 12/1/51 | 3,500 | 3,611 | |
Becton Dickinson & Co. | 3.700% | 6/6/27 | 338 | 369 | ||
Becton Dickinson & Co. | 4.669% | 6/6/47 | 300 | 378 | ||
5 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 3,635 | 3,607 | |
Boston Scientific Corp. | 1.900% | 6/1/25 | 1,000 | 1,013 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 500 | 555 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 800 | 957 | ||
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 95 | 103 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 195 | 217 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 2,962 | 3,240 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 75 | 71 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 875 | 1,118 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 450 | 557 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 1,500 | 1,423 | ||
Centene Corp. | 2.450% | 7/15/28 | 2,990 | 2,958 | ||
Centene Corp. | 3.000% | 10/15/30 | 140 | 142 | ||
Centene Corp. | 2.625% | 8/1/31 | 1,290 | 1,269 | ||
5 | Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 2,850 | 2,780 | |
5 | CHRISTUS Health | 4.341% | 7/1/28 | 200 | 225 | |
Cigna Corp. | 3.750% | 7/15/23 | 1,084 | 1,128 | ||
Cigna Corp. | 1.250% | 3/15/26 | 1,500 | 1,481 | ||
Cigna Corp. | 4.800% | 8/15/38 | 1,730 | 2,126 | ||
Cigna Corp. | 3.400% | 3/15/51 | 3,550 | 3,732 | ||
5 | City of Hope | 4.378% | 8/15/48 | 80 | 100 | |
CommonSpirit Health | 2.760% | 10/1/24 | 615 | 635 | ||
CVS Health Corp. | 2.625% | 8/15/24 | 200 | 207 | ||
CVS Health Corp. | 4.100% | 3/25/25 | 413 | 445 | ||
CVS Health Corp. | 3.875% | 7/20/25 | 645 | 694 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 1,419 | 1,539 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 25 | 27 | ||
CVS Health Corp. | 4.780% | 3/25/38 | 4,150 | 5,057 | ||
CVS Health Corp. | 2.700% | 8/21/40 | 1,300 | 1,249 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 400 | 523 | ||
CVS Health Corp. | 4.250% | 4/1/50 | 400 | 483 | ||
DH Europe Finance II Sarl | 2.200% | 11/15/24 | 290 | 297 | ||
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 500 | 516 | ||
DH Europe Finance II Sarl | 3.400% | 11/15/49 | 1,120 | 1,220 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 200 | 219 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 1,800 | 1,688 | ||
Encompass Health Corp. | 4.500% | 2/1/28 | 420 | 433 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 3,224 | 3,209 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 675 | 714 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 433 | 467 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 298 | 333 | ||
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 4,932 | 5,151 | ||
HCA Inc. | 5.375% | 2/1/25 | 275 | 302 | ||
HCA Inc. | 5.250% | 6/15/26 | 757 | 852 | ||
HCA Inc. | 5.250% | 6/15/49 | 975 | 1,257 | ||
8 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 495 | 518 | |
Johnson & Johnson | 2.450% | 9/1/60 | 1,700 | 1,607 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 3,550 | 3,784 | ||
7,10,14,15 | Medline Borrower LP Bank Loan, 12M USD LIBOR + 3.250% | —% | 10/23/28 | 450 | 450 | |
Medtronic Inc. | 4.625% | 3/15/45 | 500 | 656 | ||
Merck & Co. Inc. | 1.700% | 6/10/27 | 2,455 | 2,471 | ||
Merck & Co. Inc. | 1.900% | 12/10/28 | 2,765 | 2,777 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 631 | 688 | ||
Merck & Co. Inc. | 2.150% | 12/10/31 | 5,415 | 5,431 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 925 | 1,126 | ||
5 | Mount Sinai Hospitals Group Inc. | 3.737% | 7/1/49 | 1,200 | 1,302 | |
13 | Mylan Inc. | 2.125% | 5/23/25 | 5,170 | 6,227 | |
Mylan Inc. | 4.550% | 4/15/28 | 200 | 224 | ||
Mylan Inc. | 5.200% | 4/15/48 | 3,575 | 4,427 | ||
Novartis Capital Corp. | 2.000% | 2/14/27 | 1,000 | 1,019 | ||
Novartis Capital Corp. | 2.750% | 8/14/50 | 850 | 861 | ||
8 | Option Care Health Inc. | 4.375% | 10/31/29 | 340 | 341 | |
8 | Organon & Co. | 4.125% | 4/30/28 | 505 | 518 | |
8 | Organon & Co. | 5.125% | 4/30/31 | 300 | 313 | |
Pfizer Inc. | 3.450% | 3/15/29 | 382 | 421 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 200 | 196 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 1,546 | 1,537 | ||
8 | Roche Holdings Inc. | 1.930% | 12/13/28 | 6,000 | 6,035 | |
8 | Roche Holdings Inc. | 2.076% | 12/13/31 | 4,255 | 4,243 | |
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 642 | 681 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 248 | 242 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 4,000 | 4,028 | ||
Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 1,500 | 1,521 | ||
8 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 15 | 15 | |
8 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 15 | 16 | |
8 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 630 | 647 | |
8 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 205 | 212 | |
8 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 253 | 258 | |
13 | Thermo Fisher Scientific Finance I BV | 1.625% | 10/18/41 | 1,000 | 1,160 | |
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 1,000 | 994 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 2,000 | 1,971 | ||
5,13 | Thermo Fisher Scientific Inc. | 1.500% | 10/1/39 | 200 | 230 | |
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 2,000 | 2,020 | ||
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 1,275 | 1,320 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 245 | 273 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 850 | 857 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,170 | 1,423 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 1,750 | 1,895 | ||
13 | Upjohn Finance BV | 1.908% | 6/23/32 | 1,200 | 1,429 | |
5,13 | Utah Acquisition Sub Inc. | 2.250% | 11/22/24 | 600 | 722 | |
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 200 | 216 | ||
Viatris Inc. | 2.300% | 6/22/27 | 200 | 202 | ||
Viatris Inc. | 2.700% | 6/22/30 | 3,160 | 3,172 | ||
Viatris Inc. | 3.850% | 6/22/40 | 5,450 | 5,813 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Zoetis Inc. | 3.000% | 5/15/50 | 1,670 | 1,745 | ||
185,410 | ||||||
Industrials (2.8%) | ||||||
5 | 3M Co. | 2.250% | 9/19/26 | 100 | 104 | |
3M Co. | 3.700% | 4/15/50 | 796 | 942 | ||
8 | Air Canada | 3.875% | 8/15/26 | 390 | 399 | |
8 | Airbus SE | 3.150% | 4/10/27 | 221 | 234 | |
5,13 | Airbus SE | 2.375% | 6/9/40 | 600 | 762 | |
8 | Allison Transmission Inc. | 4.750% | 10/1/27 | 525 | 546 | |
8 | American Airlines Inc. | 11.750% | 7/15/25 | 215 | 267 | |
8 | American Airlines Inc. | 5.500% | 4/20/26 | 540 | 562 | |
8 | American Airlines Inc. | 5.750% | 4/20/29 | 1,230 | 1,315 | |
8 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 310 | 317 | |
8 | American Builders & Contractors Supply Co. Inc. | 3.875% | 11/15/29 | 750 | 749 | |
8 | Aramark Services Inc. | 6.375% | 5/1/25 | 470 | 491 | |
8 | Aramark Services Inc. | 5.000% | 2/1/28 | 60 | 62 | |
5,12 | Aurizon Finance Pty. Ltd. | 3.000% | 3/9/28 | 3,900 | 2,742 | |
5,12 | Aurizon Network Pty. Ltd. | 4.000% | 6/21/24 | 2,500 | 1,904 | |
Boeing Co. | 2.700% | 5/1/22 | 365 | 368 | ||
Boeing Co. | 2.800% | 3/1/24 | 245 | 252 | ||
Boeing Co. | 4.875% | 5/1/25 | 1,779 | 1,948 | ||
Boeing Co. | 2.750% | 2/1/26 | 2,330 | 2,400 | ||
Boeing Co. | 2.250% | 6/15/26 | 790 | 794 | ||
Boeing Co. | 2.700% | 2/1/27 | 1,420 | 1,448 | ||
Boeing Co. | 5.040% | 5/1/27 | 248 | 280 | ||
Boeing Co. | 3.450% | 11/1/28 | 2,400 | 2,519 | ||
Boeing Co. | 3.200% | 3/1/29 | 1,780 | 1,840 | ||
Boeing Co. | 5.150% | 5/1/30 | 829 | 967 | ||
Boeing Co. | 5.705% | 5/1/40 | 1,650 | 2,120 | ||
Boeing Co. | 5.805% | 5/1/50 | 4,046 | 5,477 | ||
Boeing Co. | 5.930% | 5/1/60 | 925 | 1,282 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,000 | 1,309 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 304 | 342 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 1,520 | 1,576 | ||
Canadian Pacific Railway Co. | 1.750% | 12/2/26 | 1,720 | 1,728 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 4,780 | 4,865 | ||
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 4,600 | 5,909 | ||
8 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 510 | 520 | |
Carrier Global Corp. | 2.242% | 2/15/25 | 496 | 508 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 2,825 | 2,947 | ||
5 | Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 180 | 184 | |
5 | Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 200 | 206 | |
5 | Caterpillar Financial Services Corp. | 1.100% | 9/14/27 | 4,935 | 4,792 | |
Caterpillar Inc. | 3.250% | 4/9/50 | 2,000 | 2,210 | ||
8 | Clark Equipment Co. | 5.875% | 6/1/25 | 170 | 176 | |
8 | Clean Harbors Inc. | 4.875% | 7/15/27 | 480 | 496 | |
CSX Corp. | 3.250% | 6/1/27 | 253 | 272 | ||
CSX Corp. | 4.250% | 3/15/29 | 2,860 | 3,232 | ||
CSX Corp. | 4.750% | 11/15/48 | 2,000 | 2,596 | ||
CSX Corp. | 3.800% | 4/15/50 | 900 | 1,030 | ||
CSX Corp. | 2.500% | 5/15/51 | 1,000 | 926 | ||
8 | Daimler Trucks Finance North America LLC | 1.125% | 12/14/23 | 10,185 | 10,187 | |
8 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 735 | 841 | |
8 | Delta Air Lines Inc. | 4.500% | 10/20/25 | 2,249 | 2,366 | |
8 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 11,679 | 12,775 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Delta Air Lines Inc. | 3.750% | 10/28/29 | 325 | 333 | ||
Embraer SA | 5.150% | 6/15/22 | 1,400 | 1,420 | ||
Emerson Electric Co. | 1.800% | 10/15/27 | 200 | 201 | ||
13 | FedEx Corp. | 0.950% | 5/4/33 | 482 | 527 | |
FedEx Corp. | 3.250% | 5/15/41 | 2,020 | 2,067 | ||
FedEx Corp. | 3.875% | 8/1/42 | 300 | 329 | ||
FedEx Corp. | 5.250% | 5/15/50 | 900 | 1,206 | ||
General Dynamics Corp. | 2.625% | 11/15/27 | 200 | 209 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 200 | 221 | ||
General Dynamics Corp. | 4.250% | 4/1/40 | 1,720 | 2,103 | ||
General Dynamics Corp. | 4.250% | 4/1/50 | 520 | 666 | ||
5 | General Electric Co. | 6.750% | 3/15/32 | 1,189 | 1,621 | |
5,11 | Heathrow Funding Ltd. | 6.750% | 12/3/26 | 895 | 1,468 | |
8 | Hertz Corp. | 4.625% | 12/1/26 | 120 | 121 | |
8 | Hertz Corp. | 5.000% | 12/1/29 | 120 | 120 | |
Honeywell International Inc. | 1.950% | 6/1/30 | 286 | 285 | ||
8 | Huntington Ingalls Industries Inc. | 2.043% | 8/16/28 | 4,000 | 3,919 | |
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 1,102 | 1,145 | ||
L3Harris Technologies Inc. | 3.850% | 12/15/26 | 223 | 243 | ||
5 | L3Harris Technologies Inc. | 4.400% | 6/15/28 | 2,200 | 2,471 | |
L3Harris Technologies Inc. | 5.054% | 4/27/45 | 1,200 | 1,579 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 675 | 664 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 3,303 | 3,784 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 60 | 78 | ||
8 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 4,864 | 5,199 | |
Norfolk Southern Corp. | 3.050% | 5/15/50 | 860 | 873 | ||
Northrop Grumman Corp. | 3.250% | 1/15/28 | 513 | 549 | ||
Northrop Grumman Corp. | 4.030% | 10/15/47 | 2,270 | 2,680 | ||
Northrop Grumman Corp. | 5.250% | 5/1/50 | 1,340 | 1,881 | ||
Otis Worldwide Corp. | 2.293% | 4/5/27 | 1,220 | 1,244 | ||
8 | Performance Food Group Inc. | 6.875% | 5/1/25 | 65 | 68 | |
8 | Performance Food Group Inc. | 5.500% | 10/15/27 | 580 | 606 | |
Precision Castparts Corp. | 3.250% | 6/15/25 | 100 | 106 | ||
5,12 | Qantas Airways Ltd. | 3.150% | 9/27/28 | 10,000 | 7,020 | |
Raytheon Technologies Corp. | 3.200% | 3/15/24 | 1,745 | 1,816 | ||
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 120 | 130 | ||
Raytheon Technologies Corp. | 3.125% | 5/4/27 | 529 | 563 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 1,835 | 2,053 | ||
Raytheon Technologies Corp. | 4.625% | 11/16/48 | 2,900 | 3,713 | ||
Republic Services Inc. | 1.750% | 2/15/32 | 864 | 815 | ||
8 | Ritchie Bros Holdings Inc. | 4.750% | 12/15/31 | 223 | 233 | |
Rockwell Automation Inc. | 2.800% | 8/15/61 | 2,700 | 2,653 | ||
8 | Roller Bearing Co. of America Inc. | 4.375% | 10/15/29 | 240 | 245 | |
8 | Rolls-Royce plc | 5.750% | 10/15/27 | 600 | 663 | |
Southwest Airlines Co. | 5.250% | 5/4/25 | 938 | 1,042 | ||
Southwest Airlines Co. | 5.125% | 6/15/27 | 1,000 | 1,145 | ||
Southwest Airlines Co. | 2.625% | 2/10/30 | 2,250 | 2,250 | ||
8 | TransDigm Inc. | 8.000% | 12/15/25 | 270 | 285 | |
8 | TransDigm Inc. | 6.250% | 3/15/26 | 831 | 864 | |
TransDigm Inc. | 5.500% | 11/15/27 | 465 | 479 | ||
TransDigm Inc. | 4.875% | 5/1/29 | 605 | 607 | ||
Tyco Electronics Group SA | 3.700% | 2/15/26 | 209 | 225 | ||
Tyco Electronics Group SA | 3.125% | 8/15/27 | 238 | 254 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 275 | 285 | ||
Union Pacific Corp. | 3.150% | 3/1/24 | 370 | 387 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 905 | 972 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 1,000 | 1,176 | ||
8 | United Airlines Inc. | 4.375% | 4/15/26 | 818 | 854 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | United Airlines Inc. | 4.625% | 4/15/29 | 610 | 633 | |
United Parcel Service Inc. | 2.200% | 9/1/24 | 107 | 110 | ||
United Parcel Service Inc. | 3.900% | 4/1/25 | 200 | 216 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 875 | 1,294 | ||
8 | Vertiv Group Corp. | 4.125% | 11/15/28 | 265 | 268 | |
8 | Wabash National Corp. | 4.500% | 10/15/28 | 360 | 363 | |
Waste Management Inc. | 1.150% | 3/15/28 | 900 | 858 | ||
8 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 540 | 594 | |
5,13 | Wizz Air Finance Co. BV | 1.350% | 1/19/24 | 1,300 | 1,493 | |
171,628 | ||||||
Materials (1.1%) | ||||||
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 1,040 | 1,048 | ||
Allegheny Technologies Inc. | 4.875% | 10/1/29 | 120 | 120 | ||
Allegheny Technologies Inc. | 5.125% | 10/1/31 | 120 | 121 | ||
8 | Arconic Corp. | 6.000% | 5/15/25 | 60 | 63 | |
8 | Arconic Corp. | 6.125% | 2/15/28 | 225 | 239 | |
8 | Ardagh Packaging Finance plc | 5.250% | 4/30/25 | 116 | 120 | |
8 | Ardagh Packaging Finance plc | 4.125% | 8/15/26 | 315 | 322 | |
8 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 90 | 94 | |
Ball Corp. | 2.875% | 8/15/30 | 115 | 112 | ||
5,13 | Berry Global Inc. | 1.000% | 1/15/25 | 1,400 | 1,606 | |
8 | Berry Global Inc. | 4.875% | 7/15/26 | 172 | 178 | |
8 | Berry Global Inc. | 5.625% | 7/15/27 | 1,120 | 1,170 | |
8 | Big River Steel LLC | 6.625% | 1/31/29 | 354 | 384 | |
8 | Canpack SA | 3.875% | 11/15/29 | 905 | 883 | |
8 | Chemours Co. | 4.625% | 11/15/29 | 475 | 471 | |
8 | Chevron Phillips Chemical Co. LLC | 3.400% | 12/1/26 | 2,852 | 3,057 | |
8 | Chevron Phillips Chemical Co. LLC | 3.700% | 6/1/28 | 200 | 218 | |
Dow Chemical Co. | 3.625% | 5/15/26 | 257 | 277 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 2,000 | 1,967 | ||
13 | Dow Chemical Co. | 1.125% | 3/15/32 | 2,600 | 2,955 | |
Dow Chemical Co. | 4.375% | 11/15/42 | 300 | 358 | ||
Dow Chemical Co. | 3.600% | 11/15/50 | 1,000 | 1,084 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 500 | 529 | ||
DuPont de Nemours Inc. | 4.493% | 11/15/25 | 997 | 1,102 | ||
DuPont de Nemours Inc. | 5.319% | 11/15/38 | 380 | 489 | ||
8 | Element Solutions Inc. | 3.875% | 9/1/28 | 655 | 663 | |
FMC Corp. | 4.500% | 10/1/49 | 135 | 162 | ||
8 | FMG Resources August 2006 Pty. Ltd. | 4.500% | 9/15/27 | 60 | 64 | |
Freeport-McMoRan Inc. | 4.125% | 3/1/28 | 1,285 | 1,332 | ||
Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 625 | 656 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 230 | 243 | ||
Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 425 | 456 | ||
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 150 | 189 | ||
8 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 1,785 | 1,794 | |
8 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 207 | 210 | |
5,13 | Glencore Capital Finance DAC | 1.250% | 3/1/33 | 1,100 | 1,194 | |
11 | Glencore Finance Europe Ltd. | 6.000% | 4/3/22 | 3,087 | 4,230 | |
8 | Graphic Packaging International LLC | 4.750% | 7/15/27 | 200 | 217 | |
8 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 370 | 372 | |
8 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 86 | 86 | |
8 | Graphic Packaging International LLC | 3.750% | 2/1/30 | 345 | 349 | |
8 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 485 | 485 | |
8 | INEOS Quattro Finance 2 plc | 3.375% | 1/15/26 | 160 | 161 | |
8 | Ingevity Corp. | 3.875% | 11/1/28 | 220 | 214 | |
International Paper Co. | 4.800% | 6/15/44 | 549 | 694 | ||
International Paper Co. | 4.350% | 8/15/48 | 213 | 262 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
8 | Kraton Polymers LLC | 4.250% | 12/15/25 | 150 | 155 | |
Linde Inc. | 2.000% | 8/10/50 | 1,000 | 873 | ||
LYB International Finance III LLC | 3.375% | 10/1/40 | 2,600 | 2,706 | ||
8 | Minsur SA | 4.500% | 10/28/31 | 5,835 | 5,923 | |
Mosaic Co. | 4.875% | 11/15/41 | 440 | 518 | ||
Newmont Corp. | 2.800% | 10/1/29 | 3,385 | 3,480 | ||
Newmont Corp. | 2.250% | 10/1/30 | 2,540 | 2,507 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 2,042 | 2,303 | ||
Nutrien Ltd. | 4.125% | 3/15/35 | 180 | 205 | ||
Packaging Corp. of America | 3.400% | 12/15/27 | 230 | 248 | ||
Packaging Corp. of America | 4.050% | 12/15/49 | 150 | 175 | ||
8 | Pactiv Evergreen Group Issuer Inc. | 4.000% | 10/15/27 | 285 | 277 | |
PPG Industries Inc. | 1.200% | 3/15/26 | 1,950 | 1,909 | ||
Rio Tinto Finance USA Ltd. | 2.750% | 11/2/51 | 3,080 | 3,057 | ||
RPM International Inc. | 3.750% | 3/15/27 | 1,505 | 1,640 | ||
RPM International Inc. | 4.550% | 3/1/29 | 1,660 | 1,883 | ||
Sherwin-Williams Co. | 4.500% | 6/1/47 | 310 | 387 | ||
Sherwin-Williams Co. | 3.300% | 5/15/50 | 1,000 | 1,054 | ||
Steel Dynamics Inc. | 2.400% | 6/15/25 | 555 | 569 | ||
Steel Dynamics Inc. | 3.450% | 4/15/30 | 1,570 | 1,677 | ||
8 | Unifrax Escrow Issuer Corp. | 5.250% | 9/30/28 | 360 | 364 | |
United States Steel Corp. | 6.875% | 3/1/29 | 580 | 624 | ||
Westlake Chemical Corp. | 3.125% | 8/15/51 | 1,000 | 965 | ||
WRKCo Inc. | 4.000% | 3/15/28 | 325 | 359 | ||
66,858 | ||||||
Real Estate (1.5%) | ||||||
13 | Acef Holding SCA | 0.750% | 6/14/28 | 3,574 | 3,998 | |
Agree LP | 2.000% | 6/15/28 | 1,120 | 1,101 | ||
Agree LP | 2.600% | 6/15/33 | 1,130 | 1,112 | ||
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 206 | 219 | ||
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 3,200 | 3,178 | ||
American Homes 4 Rent LP | 3.375% | 7/15/51 | 3,835 | 3,879 | ||
American Tower Corp. | 2.400% | 3/15/25 | 200 | 205 | ||
American Tower Corp. | 3.375% | 10/15/26 | 1,640 | 1,742 | ||
American Tower Corp. | 2.750% | 1/15/27 | 200 | 206 | ||
American Tower Corp. | 3.600% | 1/15/28 | 2,435 | 2,615 | ||
American Tower Corp. | 3.700% | 10/15/49 | 900 | 965 | ||
5 | AvalonBay Communities Inc. | 2.950% | 5/11/26 | 200 | 211 | |
5 | AvalonBay Communities Inc. | 2.300% | 3/1/30 | 248 | 252 | |
8 | Blackstone Mortgage Trust Inc. | 3.750% | 1/15/27 | 320 | 319 | |
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 1,750 | 1,747 | ||
Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 2,500 | 2,745 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 2,000 | 2,021 | ||
Corporate Office Properties LP | 2.750% | 4/15/31 | 2,870 | 2,855 | ||
Crown Castle International Corp. | 4.450% | 2/15/26 | 310 | 339 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 2,491 | 2,672 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 1,093 | 1,188 | ||
Crown Castle International Corp. | 4.750% | 5/15/47 | 700 | 859 | ||
Crown Castle International Corp. | 5.200% | 2/15/49 | 1,465 | 1,884 | ||
8 | CTR Partnership LP | 3.875% | 6/30/28 | 252 | 258 | |
Digital Realty Trust LP | 3.600% | 7/1/29 | 200 | 217 | ||
ERP Operating LP | 3.375% | 6/1/25 | 200 | 212 | ||
ERP Operating LP | 4.150% | 12/1/28 | 229 | 259 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 920 | 1,133 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 4,825 | 5,056 | ||
8 | HAT Holdings I LLC | 3.375% | 6/15/26 | 295 | 299 | |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 775 | 824 | ||
5,13 | Heimstaden Bostad Treasury BV | 0.750% | 9/6/29 | 1,500 | 1,631 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Kimco Realty Corp. | 3.300% | 2/1/25 | 400 | 420 | ||
Kimco Realty Corp. | 1.900% | 3/1/28 | 4,000 | 3,946 | ||
Kimco Realty Corp. | 4.250% | 4/1/45 | 2,180 | 2,508 | ||
8 | Ladder Capital Finance Holdings LLLP | 5.250% | 10/1/25 | 255 | 258 | |
MGM Growth Properties Operating Partnership LP | 5.625% | 5/1/24 | 235 | 251 | ||
8 | MGM Growth Properties Operating Partnership LP | 4.625% | 6/15/25 | 641 | 684 | |
MGM Growth Properties Operating Partnership LP | 4.500% | 9/1/26 | 122 | 131 | ||
Mid-America Apartments LP | 2.750% | 3/15/30 | 200 | 207 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 200 | 223 | ||
Omega Healthcare Investors Inc. | 3.375% | 2/1/31 | 5,200 | 5,242 | ||
13 | Prologis Euro Finance LLC | 1.000% | 2/16/41 | 500 | 519 | |
5,13 | Prologis International Funding II SA | 1.625% | 6/17/32 | 1,362 | 1,619 | |
Public Storage | 1.950% | 11/9/28 | 2,100 | 2,097 | ||
8 | Realogy Group LLC | 7.625% | 6/15/25 | 75 | 80 | |
Realty Income Corp. | 3.875% | 4/15/25 | 208 | 224 | ||
Realty Income Corp. | 4.125% | 10/15/26 | 384 | 424 | ||
Realty Income Corp. | 3.400% | 1/15/28 | 1,550 | 1,673 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 2,180 | 2,202 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 2,391 | 2,634 | ||
Sabra Health Care LP | 3.900% | 10/15/29 | 200 | 209 | ||
8 | SBA Communications Corp. | 3.125% | 2/1/29 | 645 | 621 | |
13 | Simon International Finance SCA | 1.125% | 3/19/33 | 1,800 | 2,011 | |
Simon Property Group LP | 3.750% | 2/1/24 | 236 | 247 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 214 | 218 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 1,200 | 1,280 | ||
Simon Property Group LP | 3.250% | 11/30/26 | 203 | 217 | ||
Simon Property Group LP | 1.750% | 2/1/28 | 200 | 197 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 1,000 | 1,020 | ||
Simon Property Group LP | 2.200% | 2/1/31 | 3,500 | 3,430 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 1,500 | 1,542 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 250 | 281 | ||
5 | UDR Inc. | 2.950% | 9/1/26 | 185 | 193 | |
8 | Uniti Group LP | 7.875% | 2/15/25 | 190 | 198 | |
8 | Uniti Group LP | 4.750% | 4/15/28 | 240 | 238 | |
5,13 | Vonovia Finance BV | 1.625% | 10/7/39 | 1,000 | 1,122 | |
Welltower Inc. | 4.250% | 4/1/26 | 600 | 658 | ||
11 | Westfield America Management Ltd. | 2.125% | 3/30/25 | 3,724 | 5,051 | |
Weyerhaeuser Co. | 4.000% | 11/15/29 | 2,479 | 2,766 | ||
Weyerhaeuser Co. | 4.000% | 4/15/30 | 145 | 162 | ||
93,204 | ||||||
Technology (2.5%) | ||||||
Adobe Inc. | 2.150% | 2/1/27 | 2,309 | 2,373 | ||
Apple Inc. | 3.250% | 2/23/26 | 630 | 674 | ||
Apple Inc. | 2.450% | 8/4/26 | 577 | 603 | ||
Apple Inc. | 2.050% | 9/11/26 | 579 | 595 | ||
Apple Inc. | 3.350% | 2/9/27 | 241 | 262 | ||
Apple Inc. | 3.200% | 5/11/27 | 464 | 501 | ||
Apple Inc. | 2.900% | 9/12/27 | 422 | 450 | ||
Apple Inc. | 1.200% | 2/8/28 | 1,400 | 1,360 | ||
Apple Inc. | 1.250% | 8/20/30 | 280 | 264 | ||
Apple Inc. | 1.650% | 2/8/31 | 1,220 | 1,189 | ||
Apple Inc. | 2.375% | 2/8/41 | 2,825 | 2,741 | ||
Apple Inc. | 3.850% | 5/4/43 | 1,715 | 2,026 | ||
Apple Inc. | 3.850% | 8/4/46 | 1,660 | 1,967 | ||
Apple Inc. | 2.950% | 9/11/49 | 925 | 956 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Apple Inc. | 2.700% | 8/5/51 | 4,150 | 4,118 | ||
Applied Materials Inc. | 3.300% | 4/1/27 | 284 | 307 | ||
Block Financial LLC | 3.875% | 8/15/30 | 1,200 | 1,285 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 1,540 | 1,684 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 1,450 | 1,688 | ||
8 | Broadcom Inc. | 3.500% | 2/15/41 | 800 | 815 | |
CDW LLC | 4.125% | 5/1/25 | 125 | 128 | ||
8 | Clarivate Science Holdings Corp. | 3.875% | 7/1/28 | 290 | 292 | |
8 | Clarivate Science Holdings Corp. | 4.875% | 7/1/29 | 450 | 457 | |
8 | CommScope Inc. | 6.000% | 3/1/26 | 45 | 47 | |
8 | CommScope Inc. | 7.125% | 7/1/28 | 329 | 325 | |
8 | CommScope Inc. | 4.750% | 9/1/29 | 325 | 323 | |
Dell International LLC | 6.020% | 6/15/26 | 1,090 | 1,263 | ||
Dell International LLC | 6.100% | 7/15/27 | 1,490 | 1,785 | ||
Dell International LLC | 5.300% | 10/1/29 | 9,166 | 10,767 | ||
Dell International LLC | 6.200% | 7/15/30 | 2,051 | 2,593 | ||
8 | Dell International LLC | 3.375% | 12/15/41 | 5,340 | 5,287 | |
5,13 | DXC Capital Funding DAC | 0.950% | 9/15/31 | 1,100 | 1,192 | |
DXC Technology Co. | 1.800% | 9/15/26 | 9,000 | 8,913 | ||
Emerson Electric Co. | 2.000% | 12/21/28 | 18,300 | 18,291 | ||
Emerson Electric Co. | 2.200% | 12/21/31 | 3,640 | 3,625 | ||
8 | Entegris Inc. | 3.625% | 5/1/29 | 285 | 288 | |
8 | Fair Isaac Corp. | 4.000% | 6/15/28 | 640 | 658 | |
Global Payments Inc. | 1.500% | 11/15/24 | 2,560 | 2,561 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 5,050 | 5,074 | ||
8 | HP Inc. | 2.650% | 6/17/31 | 1,874 | 1,850 | |
8 | II-VI Inc. | 5.000% | 12/15/29 | 165 | 169 | |
Intel Corp. | 3.150% | 5/11/27 | 44 | 47 | ||
Intel Corp. | 2.450% | 11/15/29 | 237 | 245 | ||
Intel Corp. | 4.750% | 3/25/50 | 1,345 | 1,789 | ||
Intel Corp. | 3.050% | 8/12/51 | 2,400 | 2,462 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 306 | 322 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 2,696 | 2,886 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 296 | 322 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 275 | 334 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 2,700 | 2,650 | ||
8 | MSCI Inc. | 3.625% | 9/1/30 | 305 | 313 | |
8 | MSCI Inc. | 3.625% | 11/1/31 | 375 | 390 | |
8 | Nielsen Finance LLC | 5.625% | 10/1/28 | 380 | 392 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 2,710 | 3,042 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 500 | 597 | ||
8 | NXP BV | 3.250% | 5/11/41 | 4,350 | 4,472 | |
Oracle Corp. | 3.400% | 7/8/24 | 100 | 105 | ||
Oracle Corp. | 2.950% | 11/15/24 | 371 | 386 | ||
Oracle Corp. | 2.950% | 5/15/25 | 328 | 340 | ||
Oracle Corp. | 2.650% | 7/15/26 | 298 | 307 | ||
Oracle Corp. | 2.300% | 3/25/28 | 3,315 | 3,300 | ||
Oracle Corp. | 2.950% | 4/1/30 | 921 | 931 | ||
Oracle Corp. | 2.875% | 3/25/31 | 5,160 | 5,186 | ||
Oracle Corp. | 3.600% | 4/1/40 | 1,300 | 1,307 | ||
Oracle Corp. | 3.650% | 3/25/41 | 2,250 | 2,278 | ||
Oracle Corp. | 3.950% | 3/25/51 | 1,610 | 1,675 | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 569 | 614 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 1,000 | 1,050 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Roper Technologies Inc. | 2.000% | 6/30/30 | 200 | 193 | ||
8 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 144 | 150 | |
salesforce.com Inc. | 2.700% | 7/15/41 | 11,000 | 10,971 | ||
Skyworks Solutions Inc. | 1.800% | 6/1/26 | 1,020 | 1,010 | ||
Skyworks Solutions Inc. | 3.000% | 6/1/31 | 4,110 | 4,135 | ||
8 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 190 | 199 | |
VMware Inc. | 3.900% | 8/21/27 | 4,740 | 5,178 | ||
VMware Inc. | 1.800% | 8/15/28 | 3,960 | 3,857 | ||
VMware Inc. | 4.700% | 5/15/30 | 500 | 581 | ||
Western Digital Corp. | 4.750% | 2/15/26 | 343 | 375 | ||
156,137 | ||||||
Utilities (2.2%) | ||||||
AEP Transmission Co. LLC | 3.800% | 6/15/49 | 750 | 855 | ||
5 | AEP Transmission Co. LLC | 3.650% | 4/1/50 | 2,800 | 3,101 | |
5 | AEP Transmission Co. LLC | 2.750% | 8/15/51 | 1,500 | 1,437 | |
5 | Alabama Power Co. | 1.450% | 9/15/30 | 2,000 | 1,883 | |
Ameren Corp. | 1.950% | 3/15/27 | 1,330 | 1,335 | ||
Ameren Corp. | 3.500% | 1/15/31 | 700 | 758 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 1,500 | 1,421 | ||
5,13 | Amprion GmbH | 0.625% | 9/23/33 | 1,800 | 1,971 | |
5 | Appalachian Power Co. | 2.700% | 4/1/31 | 2,000 | 2,047 | |
5 | Appalachian Power Co. | 4.500% | 3/1/49 | 500 | 607 | |
5,13 | APT Pipelines Ltd. | 1.250% | 3/15/33 | 800 | 880 | |
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 1,880 | 2,017 | ||
Berkshire Hathaway Energy Co. | 3.700% | 7/15/30 | 2,200 | 2,443 | ||
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 3,200 | 3,078 | ||
Black Hills Corp. | 3.150% | 1/15/27 | 2,000 | 2,091 | ||
8 | Calpine Corp. | 4.500% | 2/15/28 | 320 | 332 | |
8 | Calpine Corp. | 5.125% | 3/15/28 | 590 | 600 | |
5 | CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 1,165 | 1,186 | |
CenterPoint Energy Inc. | 4.250% | 11/1/28 | 1,085 | 1,211 | ||
CenterPoint Energy Inc. | 2.650% | 6/1/31 | 2,730 | 2,763 | ||
Commonwealth Edison Co. | 3.800% | 10/1/42 | 685 | 773 | ||
5 | Commonwealth Edison Co. | 3.750% | 8/15/47 | 490 | 557 | |
5 | Connecticut Light & Power Co. | 4.150% | 6/1/45 | 250 | 301 | |
Connecticut Light & Power Co. | 4.000% | 4/1/48 | 307 | 369 | ||
Consumers Energy Co. | 3.950% | 7/15/47 | 900 | 1,062 | ||
5,12 | DBNGP Finance Co. Pty. Ltd. | 4.225% | 5/28/25 | 5,550 | 4,277 | |
5 | Dominion Energy Inc. | 3.300% | 3/15/25 | 1,125 | 1,180 | |
5 | Dominion Energy Inc. | 4.050% | 9/15/42 | 500 | 563 | |
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 530 | 648 | ||
5 | DTE Electric Co. | 1.900% | 4/1/28 | 615 | 611 | |
DTE Electric Co. | 4.300% | 7/1/44 | 2,490 | 3,025 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 225 | 251 | ||
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 255 | 284 | ||
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 970 | 992 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 585 | 594 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 860 | 881 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 250 | 329 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 1,528 | 1,799 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 500 | 509 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 2,000 | 2,079 | ||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 241 | 266 | ||
Duke Energy Florida LLC | 1.750% | 6/15/30 | 290 | 279 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 400 | 464 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 3,483 | 3,240 | ||
Entergy Arkansas LLC | 3.500% | 4/1/26 | 202 | 216 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Entergy Arkansas LLC | 2.650% | 6/15/51 | 1,990 | 1,862 | ||
Entergy Corp. | 1.900% | 6/15/28 | 1,000 | 981 | ||
Entergy Corp. | 2.800% | 6/15/30 | 1,721 | 1,745 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 1,200 | 1,324 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 170 | 179 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 515 | 486 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 500 | 599 | ||
Entergy Texas Inc. | 3.550% | 9/30/49 | 705 | 747 | ||
Evergy Inc. | 2.900% | 9/15/29 | 2,000 | 2,053 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 1,900 | 1,977 | ||
5 | Eversource Energy | 1.400% | 8/15/26 | 1,400 | 1,374 | |
5 | Exelon Corp. | 3.950% | 6/15/25 | 330 | 354 | |
Exelon Corp. | 4.050% | 4/15/30 | 400 | 446 | ||
Exelon Corp. | 5.625% | 6/15/35 | 200 | 255 | ||
Exelon Corp. | 5.100% | 6/15/45 | 1,000 | 1,295 | ||
Exelon Corp. | 4.450% | 4/15/46 | 1,000 | 1,207 | ||
5 | FirstEnergy Corp. | 4.400% | 7/15/27 | 515 | 555 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 3,480 | 3,443 | ||
5 | FirstEnergy Corp. | 3.400% | 3/1/50 | 155 | 152 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 1,035 | 1,194 | ||
5 | Georgia Power Co. | 2.200% | 9/15/24 | 207 | 212 | |
5,13 | IE2 Holdco SAU | 2.875% | 6/1/26 | 6,700 | 8,288 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 1,215 | 1,286 | ||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 177 | 194 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 1,000 | 997 | ||
8 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 830 | 895 | |
Northern States Power Co. | 6.250% | 6/1/36 | 500 | 714 | ||
NRG Energy Inc. | 6.625% | 1/15/27 | 55 | 57 | ||
8 | NRG Energy Inc. | 2.450% | 12/2/27 | 1,544 | 1,532 | |
NSTAR Electric Co. | 3.200% | 5/15/27 | 421 | 450 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 3,000 | 2,890 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 1,010 | 1,172 | ||
Pacific Gas & Electric Co. | 3.150% | 1/1/26 | 2,000 | 2,048 | ||
Pacific Gas & Electric Co. | 3.000% | 6/15/28 | 1,000 | 1,002 | ||
Pacific Gas & Electric Co. | 2.500% | 2/1/31 | 3,000 | 2,858 | ||
Pacific Gas & Electric Co. | 4.500% | 7/1/40 | 1,472 | 1,543 | ||
Pacific Gas & Electric Co. | 3.500% | 8/1/50 | 1,172 | 1,096 | ||
PacifiCorp | 5.250% | 6/15/35 | 313 | 393 | ||
PacifiCorp | 4.125% | 1/15/49 | 525 | 606 | ||
PacifiCorp | 4.150% | 2/15/50 | 865 | 1,026 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 1,515 | 1,800 | ||
PECO Energy Co. | 3.700% | 9/15/47 | 1,285 | 1,453 | ||
PECO Energy Co. | 3.900% | 3/1/48 | 90 | 106 | ||
PG&E Corp. | 5.250% | 7/1/30 | 485 | 508 | ||
5 | Public Service Co. of Colorado | 6.250% | 9/1/37 | 550 | 803 | |
Public Service Co. of Colorado | 3.800% | 6/15/47 | 1,000 | 1,134 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 500 | 598 | ||
5 | Public Service Electric & Gas Co. | 3.200% | 5/15/29 | 261 | 281 | |
5 | Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 806 | 935 | |
5 | Public Service Electric & Gas Co. | 3.600% | 12/1/47 | 500 | 562 | |
Sempra Energy | 3.250% | 6/15/27 | 800 | 846 | ||
Sempra Energy | 4.000% | 2/1/48 | 180 | 201 | ||
5 | Southern California Edison Co. | 4.200% | 3/1/29 | 2,275 | 2,541 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 1,775 | 2,021 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 615 | 679 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Southern California Edison Co. | 4.875% | 3/1/49 | 95 | 117 | |
5 | Southern Co. | 3.700% | 4/30/30 | 700 | 761 | |
Southern Co. | 4.400% | 7/1/46 | 350 | 413 | ||
5 | Southwestern Electric Power Co. | 4.100% | 9/15/28 | 207 | 229 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 257 | 268 | ||
Union Electric Co. | 3.900% | 9/15/42 | 454 | 516 | ||
Union Electric Co. | 4.000% | 4/1/48 | 910 | 1,076 | ||
5 | Virginia Electric & Power Co. | 3.150% | 1/15/26 | 425 | 449 | |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,180 | 1,360 | ||
5 | Virginia Electric & Power Co. | 3.800% | 9/15/47 | 500 | 567 | |
8 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 530 | 545 | |
8 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 65 | 67 | |
WEC Energy Group Inc. | 1.800% | 10/15/30 | 2,000 | 1,886 | ||
Xcel Energy Inc. | 2.350% | 11/15/31 | 3,290 | 3,286 | ||
Xcel Energy Inc. | 3.500% | 12/1/49 | 2,000 | 2,147 | ||
137,207 | ||||||
Total Corporate Bonds (Cost $2,071,105) | 2,072,049 | |||||
Sovereign Bonds (3.7%) | ||||||
5 | Bermuda | 4.854% | 2/6/24 | 2,799 | 3,006 | |
5 | Comision Federal de Electricidad | 3.348% | 2/9/31 | 967 | 949 | |
5,8 | Comision Federal de Electricidad | 3.875% | 7/26/33 | 570 | 559 | |
5 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 2,800 | 2,813 | |
5,8 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 1,728 | 1,680 | |
5 | Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 4,188 | 4,305 | |
5,8 | Empresa Nacional del Petroleo | 3.450% | 9/16/31 | 5,830 | 5,538 | |
5,8 | Export-Import Bank of India | 3.875% | 2/1/28 | 240 | 257 | |
5 | Federative Republic of Brazil | 4.750% | 1/14/50 | 4,810 | 4,276 | |
5,8,13 | Kingdom of Morocco | 1.375% | 3/30/26 | 5,800 | 6,628 | |
5,8,13 | Kingdom of Morocco | 2.000% | 9/30/30 | 5,500 | 6,090 | |
5 | Korea National Oil Corp. | 0.875% | 10/5/25 | 5,000 | 4,879 | |
5 | KSA Sukuk Ltd. | 2.894% | 4/20/22 | 522 | 526 | |
5 | NTPC Ltd. | 4.250% | 2/26/26 | 250 | 268 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 200 | 201 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 200 | 219 | |
5,8 | Ontario Teachers' Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 560 | 623 | |
5 | Pertamina Persero PT | 4.875% | 5/3/22 | 414 | 420 | |
5 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 3,022 | 3,223 | |
5 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.450% | 5/21/28 | 954 | 1,093 | |
5 | Republic of Azerbaijan | 4.750% | 3/18/24 | 5,766 | 6,122 | |
5 | Republic of Chile | 3.240% | 2/6/28 | 1,150 | 1,211 | |
5 | Republic of Chile | 2.550% | 7/27/33 | 2,884 | 2,807 | |
5 | Republic of Colombia | 2.625% | 3/15/23 | 11,000 | 11,080 | |
5 | Republic of Colombia | 4.000% | 2/26/24 | 2,319 | 2,393 | |
5 | Republic of Colombia | 4.500% | 1/28/26 | 10,350 | 10,839 | |
Republic of Colombia | 10.375% | 1/28/33 | 933 | 1,340 | ||
5 | Republic of Colombia | 5.000% | 6/15/45 | 1,304 | 1,177 | |
5 | Republic of Colombia | 5.200% | 5/15/49 | 6,446 | 5,930 | |
5 | Republic of Colombia | 4.125% | 5/15/51 | 1,580 | 1,283 | |
5 | Republic of Colombia | 3.875% | 2/15/61 | 3,423 | 2,636 | |
5 | Republic of Croatia | 5.500% | 4/4/23 | 5,608 | 5,925 | |
5 | Republic of Ecuador | 0.000% | 7/31/30 | 4,436 | 2,495 | |
5,8 | Republic of Ecuador | 0.000% | 7/31/30 | 1,200 | 681 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
5 | Republic of Ecuador | 1.000% | 7/31/35 | 9,025 | 5,911 | |
5 | Republic of El Salvador | 8.625% | 2/28/29 | 5,100 | 3,134 | |
5 | Republic of Guatemala | 5.750% | 6/6/22 | 1,815 | 1,848 | |
Republic of Hungary | 5.375% | 2/21/23 | 5,128 | 5,388 | ||
Republic of Hungary | 5.750% | 11/22/23 | 992 | 1,077 | ||
Republic of Hungary | 5.375% | 3/25/24 | 1,782 | 1,937 | ||
5,8 | Republic of Hungary | 2.125% | 9/22/31 | 4,929 | 4,852 | |
5 | Republic of Lithuania | 6.625% | 2/1/22 | 2,000 | 2,011 | |
5 | Republic of Panama | 3.362% | 6/30/31 | 10,621 | 10,679 | |
Republic of Panama | 8.125% | 4/28/34 | 780 | 1,171 | ||
5 | Republic of Panama | 4.500% | 4/16/50 | 600 | 661 | |
5 | Republic of Panama | 3.870% | 7/23/60 | 173 | 173 | |
Republic of Peru | 7.350% | 7/21/25 | 1,175 | 1,400 | ||
Republic of Peru | 4.125% | 8/25/27 | 5,000 | 5,492 | ||
5,13 | Republic of Romania | 2.750% | 4/14/41 | 1,155 | 1,172 | |
5,8,13 | Republic of Romania | 2.750% | 4/14/41 | 1,150 | 1,168 | |
13 | Republic of the Philippines | 0.250% | 4/28/25 | 4,940 | 5,597 | |
13 | Republic of the Philippines | 1.750% | 4/28/41 | 6,659 | 7,526 | |
5 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 2,500 | 2,581 | |
5,13 | Serbia International Bond | 3.125% | 5/15/27 | 3,536 | 4,287 | |
5,8,13 | Serbia International Bond | 2.050% | 9/23/36 | 4,800 | 4,975 | |
5 | Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 3,080 | 3,256 | |
Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 2,667 | 2,682 | ||
5,8 | Temasek Financial I Ltd. | 2.750% | 8/2/61 | 4,100 | 4,195 | |
5,8 | Ukraine Government Bond | 6.876% | 5/21/29 | 5,000 | 4,440 | |
United Mexican States | 4.500% | 4/22/29 | 6,238 | 6,948 | ||
5 | United Mexican States | 3.250% | 4/16/30 | 406 | 417 | |
5 | United Mexican States | 2.659% | 5/24/31 | 2,078 | 2,026 | |
5 | United Mexican States | 4.750% | 4/27/32 | 3,300 | 3,732 | |
5,16 | United Mexican States | 8.500% | 11/18/38 | 529,000 | 27,157 | |
Total Sovereign Bonds (Cost $235,555) | 231,365 | |||||
Taxable Municipal Bonds (0.1%) | ||||||
Houston TX GO | 6.290% | 3/1/32 | 1,695 | 2,138 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 5.871% | 11/15/39 | 700 | 906 | ||
Texas Private Activity Bond Surface Transportation Corp. Revenue (NTE Mobility Partners) | 3.922% | 12/31/49 | 700 | 783 | ||
Wisconsin General Fund Annual Appropriation Revenue | 3.954% | 5/1/36 | 500 | 553 | ||
Total Taxable Municipal Bonds (Cost $4,009) | 4,380 | |||||
Shares | ||||||
Temporary Cash Investments (5.5%) | ||||||
Money Market Fund (5.5%) | ||||||
17 | Vanguard Market Liquidity Fund (Cost $338,112) | 0.090% | 3,381,442 | 338,110 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | ||
Options Purchased (0.0%) | ||||||
Over-the-Counter Swaptions (0.0%) | ||||||
Call Swaptions | ||||||
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | BNPSW | 2/3/23 | 0.603% | 38,496 | 24 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually | NGFP | 1/13/23 | 0.603% | 36,827 | 22 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually | CITNA | 1/17/23 | 0.608% | 36,930 | 23 | |
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually | MSCS | 2/3/23 | 0.630% | 38,496 | 27 | |
96 | ||||||
Put Swaptions | ||||||
5-Year CDX-NA-HY-S37-V1, Credit Protection Purchased, Pays 5.000% Quarterly | GSI | 1/19/22 | 1.065% | 12,320 | 11 |
Counterparty | Expiration Date | Exercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | ||
5-Year CDX-NA-IG-S37-V1, Credit Protection Purchased, Pays 1.000% Quarterly | GSI | 3/16/22 | 0.625% | 123,225 | 119 | |
130 | ||||||
Total Options Purchased (Cost $994) | 226 | |||||
Total Investments (98.6%) (Cost $6,111,022) | 6,096,414 | |||||
Other Assets and Liabilities—Net (1.4%) | 85,546 | |||||
Net Assets (100%) | 6,181,960 |
Cost is in $000. |
1 | Securities with a value of $1,103,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
2 | Securities with a value of $2,359,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
3 | Securities with a value of $9,986,000 have been segregated as initial margin for open centrally cleared swap contracts. |
4 | Securities with a value of $6,017,000 have been segregated as initial margin for open futures contracts. |
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 | 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. |
7 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2021. |
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 December 31, 2021, the aggregate value was $343,873,000, representing 5.6% of net assets. |
9 | Interest-only security. |
10 | 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. |
11 | Face amount denominated in British pounds. |
12 | Face amount denominated in Australian dollars. |
13 | Face amount denominated in euro. |
14 | Represents an unsettled loan as of December 31, 2021. The coupon rate is not known until the settlement date. |
15 | 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 $2,194,000, representing 0.0% of net assets. |
16 | Face amount denominated in Mexican pesos. |
17 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
1M—1-month. | |
2M—2-month. | |
3M—3-month. | |
BNPSW—BNP Paribas. | |
CITNA—Citibank, N.A. | |
GO—General Obligation Bond. | |
GSI—Goldman Sachs International. | |
LIBOR—London Interbank Offered Rate. | |
MSCS—Morgan Stanley Capital Services LLC. | |
NGFP—Nomura Global Financial Products Inc. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Derivative Financial Instruments Outstanding as of Period End
Options Written |
Counterparty | Expiration Date | Excercise Rate | Notional Amount on Underlying Swap ($000) | Market Value ($000) | |
Over-the-Counter Swaptions | |||||
Call Swaptions | |||||
5-Year CDX-NA-HY-S37-V1, Credit Protection Purchased, Pays 5.000% Quarterly | GSI | 1/19/22 | 1.078% | 12,320 | (168) |
Put Swaptions | |||||
5-Year CDX-NA-HY-S37-V1, Credit Protection Sold, Receives 5.000% Quarterly | GSI | 1/19/22 | 1.078% | 12,320 | (29) |
5-Year CDX-NA-IG-S37-V1, Credit Protection Sold, Receives 1.000% Quarterly | GSI | 3/16/22 | 0.800% | 123,225 | (52) |
(81) | |||||
Total Options Written (Premiums Received $340) | (249) |
GSI—Goldman Sachs International. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | March 2022 | 15 | 3,272 | 1 |
5-Year U.S. Treasury Note | March 2022 | 2,651 | 320,709 | (319) |
10-Year U.S. Treasury Note | March 2022 | 748 | 97,591 | (72) |
Long U.S. Treasury Bond | March 2022 | 149 | 23,905 | 16 |
Ultra Long U.S. Treasury Bond | March 2022 | 55 | 10,842 | 74 |
(300) | ||||
Short Futures Contracts | ||||
AUD 3-Year Treasury Bond | March 2022 | (106) | (8,803) | (25) |
AUD 10-Year Treasury Bond | March 2022 | (81) | (8,201) | (12) |
Euro-Bobl | March 2022 | (296) | (44,901) | 329 |
Euro-Bund | March 2022 | (184) | (35,899) | 576 |
Euro-Buxl | March 2022 | (70) | (16,476) | 896 |
Euro-Schatz | March 2022 | (82) | (10,459) | 16 |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Gilt | March 2022 | (133) | (22,485) | (44) |
Ultra 10-Year U.S. Treasury Note | March 2022 | (15) | (2,197) | (3) |
1,733 | ||||
1,433 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 1/14/22 | CAD | 27 | USD | 21 | — | — |
JPMorgan Chase Bank, N.A. | 1/14/22 | EUR | 2,779 | USD | 3,149 | 16 | — |
State Street Bank & Trust Co. | 1/14/22 | EUR | 562 | USD | 634 | 6 | — |
HSBC Bank plc | 1/14/22 | EUR | 426 | USD | 482 | 2 | — |
Standard Chartered Bank | 1/14/22 | EUR | 409 | USD | 462 | 3 | — |
Royal Bank of Canada | 1/14/22 | GBP | 360 | USD | 480 | 7 | — |
Standard Chartered Bank | 1/14/22 | MXN | 2,865 | USD | 137 | 3 | — |
Royal Bank of Canada | 1/14/22 | MXN | 338 | USD | 16 | — | — |
HSBC Bank plc | 1/14/22 | MXN | 179 | USD | 9 | — | — |
JPMorgan Chase Bank, N.A. | 3/15/22 | USD | 30,710 | AUD | 42,858 | — | (477) |
State Street Bank & Trust Co. | 1/14/22 | USD | 459 | AUD | 643 | — | (9) |
State Street Bank & Trust Co. | 1/14/22 | USD | 136,422 | EUR | 120,746 | — | (1,074) |
Morgan Stanley Capital Services LLC | 1/14/22 | USD | 254 | EUR | 225 | — | (2) |
Toronto-Dominion Bank | 1/14/22 | USD | 56,669 | GBP | 42,726 | — | (1,161) |
State Street Bank & Trust Co. | 1/14/22 | USD | 16,744 | MXN | 351,567 | — | (398) |
BNP Paribas | 1/14/22 | USD | 10,335 | MXN | 215,496 | — | (172) |
JPMorgan Chase Bank, N.A. | 1/14/22 | USD | 221 | MXN | 4,597 | — | (3) |
Goldman Sachs Bank USA | 1/14/22 | USD | 113 | MXN | 2,319 | — | — |
HSBC Bank plc | 1/14/22 | USD | 29 | MXN | 600 | — | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Barclays Bank plc | 3/16/22 | USD | 20,206 | RUB | 1,536,856 | 67 | — |
Citibank, N.A. | 1/14/22 | USD | 6 | ZAR | 106 | — | — |
104 | (3,296) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
EUR—euro. |
GBP—British pound. |
MXN—Mexican peso. |
RUB—Russian ruble. |
USD—U.S. dollar. |
ZAR—South African rand. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (depreciation) ($000) | |
Credit Protection Sold | ||||||
CDX-NA-IG-S37-V1 | 12/20/24 | USD | 29,670 | 1.000 | 635 | 25 |
Credit Protection Purchased | ||||||
CDX-NA-HY-S37-V1 | 12/20/26 | USD | 157,575 | (5.000) | (14,667) | (475) |
CDX-NA-IG-S37-V1 | 12/20/26 | USD | 17,575 | (1.000) | (432) | (29) |
(504) | ||||||
(479) |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 16,900 | 1.000 | 197 | 200 | — | (3) |
Berkshire Hathaway Inc./Aa2 | 6/20/22 | BARC | 450 | 1.000 | 2 | 1 | 1 | — |
Berkshire Hathaway Inc./Aa2 | 12/20/22 | BARC | 400 | 1.000 | 4 | 1 | 3 | — |
Berkshire Hathaway Inc./Aa2 | 12/20/24 | BARC | 600 | 1.000 | 16 | 11 | 5 | — |
Berkshire Hathaway Inc./Aa2 | 12/20/24 | JPMC | 600 | 1.000 | 15 | 10 | 5 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
MetLife Inc./A3 | 6/20/24 | BARC | 700 | 1.000 | 13 | — | 13 | — |
People's Republic of China/A1 | 6/20/22 | BNPSW | 200 | 1.000 | 1 | — | 1 | — |
Republic of Chile/A1 | 12/20/26 | GSI | 5,030 | 1.000 | 72 | 28 | 44 | — |
Republic of Chile/A1 | 12/20/26 | JPMC | 820 | 1.000 | 12 | 5 | 7 | — |
Republic of Chile/A1 | 12/20/26 | MSCS | 14,050 | 1.000 | 202 | 100 | 102 | — |
Republic of Indonesia/Baa2 | 12/20/26 | BARC | 3,000 | 1.000 | 37 | 11 | 26 | — |
Republic of South Africa/Ba2 | 12/20/25 | BARC | 360 | 1.000 | (9) | (14) | 5 | — |
Unibail-Rodamco-Westfield SE/Baa2 | 6/20/26 | GSI | 3,0002 | 1.000 | (15) | (37) | 22 | — |
547 | 316 | 234 | (3) | |||||
Credit Protection Purchased | ||||||||
Bank of China Ltd. | 6/20/22 | BNPSW | 200 | (1.000) | (1) | — | — | (1) |
Deutsche Bank AG | 12/20/22 | JPMC | 265 | (1.000) | (2) | — | — | (2) |
Federative Republic of Brazil | 12/20/26 | MSCS | 12,950 | (1.000) | 617 | 627 | — | (10) |
McDonald's Corp. | 6/20/22 | GSI | 325 | (1.000) | (2) | (1) | — | (1) |
People's Republic of China | 6/20/23 | GSI | 1,200 | (1.000) | (16) | (5) | — | (11) |
Republic of Colombia | 12/20/26 | MSCS | 2,620 | (1.000) | 124 | 56 | 68 | — |
State of Qatar | 6/20/22 | BOANA | 340 | (1.000) | (2) | — | — | (2) |
State of Qatar | 6/20/22 | CITNA | 660 | (1.000) | (3) | 1 | — | (4) |
715 | 678 | 68 | (31) | |||||
1,262 | 994 | 302 | (34) |
1 Periodic premium received/paid quarterly. |
2 Notional amount denominated in euro. |
BARC—Barclays Bank plc. |
BNPSW—BNP Paribas. |
BOANA—Bank of America, N.A. |
CITNA—Citibank, N.A. |
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 December 31, 2021, the counterparties had deposited in segregated accounts cash of $1,120,000 in connection with open forward currency contracts and over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount (000) | Interest Rate Received1 (%) | Interest Rate (Paid)2 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
3/3/32 | 3/16/223 | 203,0004 | 7.391 | (0.000) | (134) | (249) |
1 Interest payment received/paid every 28 days. |
2 Based on 28-day Mexican Interbank Rate (TIIE) as of the most recent payment date. Interest payment received/paid every 28 days. |
3 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. |
4 Notional amount denominated in Mexican pesos. |
Over-the-Counter Interest Rate Swaps | ||||||||
Termination Date | Counterparty | Notional Amount (000) | Fixed Interest Rate Received (Paid)1 (%) | Floating Interest Rate Received (Paid)2 (%) | Value ($000) | Remaining Up-Front Premium Received (Paid) ($000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) |
1/4/27 | BARC | 98,0003 | 10.960 | (0.000) | 881 | — | 881 | — |
1 Interest payment received/paid at maturity. |
2 Based on 1-Day Overnight Brazil CETIP Interbank Deposit Rate as of the most recent payment date. Interest payment received/paid at maturity. |
3 Notional amount denominated in Brazilian real. |
BARC—Barclays Bank plc. |
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. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund's sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rate, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is in-the-money, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
F. 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.
G. 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.
At December 31, 2021, counterparties had deposited in segregated accounts cash of $401,000 in connection with TBA transactions.
H. 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.
I. 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 | — | 3,370,109 | — | 3,370,109 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 80,175 | — | 80,175 |
Corporate Bonds | — | 2,072,049 | — | 2,072,049 |
Sovereign Bonds | — | 231,365 | — | 231,365 |
Taxable Municipal Bonds | — | 4,380 | — | 4,380 |
Temporary Cash Investments | 338,110 | — | — | 338,110 |
Options Purchased | — | 226 | — | 226 |
Total | 338,110 | 5,758,304 | — | 6,096,414 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,908 | — | — | 1,908 |
Forward Currency Contracts | — | 104 | — | 104 |
Swap Contracts | 251 | 1,183 | — | 1,208 |
Total | 1,933 | 1,287 | — | 3,220 |
Liabilities | ||||
Options Written | — | 249 | — | 249 |
Futures Contracts1 | 475 | — | — | 475 |
Forward Currency Contracts | — | 3,296 | — | 3,296 |
Swap Contracts | 7531 | 34 | — | 787 |
Total | 1,228 | 3,579 | — | 4,807 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |