UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07803
Name of Registrant: | Vanguard Scottsdale Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2020—August 31, 2021
Item 1: Reports to Shareholders
Your Fund’s Performance at a Glance | 1 |
Advisors’ Report | 2 |
About Your Fund’s Expenses | 7 |
Performance Summary | 9 |
Financial Statements | 11 |
Liquidity Risk Management | 24 |
• | Vanguard Explorer Value Fund returned 53.90% for the 12 months ended August 31, 2021. The fund’s result exceeded the 52.51% return of its benchmark, the Russell 2500 Value Index. |
• | The global economy rebounded faster than many had expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that have been more successful in containing the virus have generally fared better economically. Swift and extensive fiscal and monetary support from policymakers has also been key to the rebound. |
• | Given that the 12-month period under review reflects the recovery in stocks that followed the sharp contraction, results were excellent. |
• | Compared with its benchmark index, the fund outperformed in a majority of industry sectors. Security selection was especially strong in financials, information technology, and health care. Selection in materials, however, detracted from the fund’s relative performance. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Cardinal Capital Management, L.L.C. | 50 | 579 | The advisor seeks stocks that are able to generate excess cash flow and reinvest the cash to increase shareholder value. |
Frontier Capital Management Co., LLC | 46 | 539 | The advisor selects stocks by identifying companies it believes are underpriced relative to their long-term value. These companies are generally inexpensive and have low price-to-book and price-to-earnings ratios. |
Cash Investments | 4 | 46 | These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Explorer Value Fund | Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,094.40 | $2.64 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.69 | 2.55 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Explorer Value Fund | 53.90% | 11.62% | 12.64% | $32,888 |
![]() | Russell 2500 Value Index | 52.51 | 11.23 | 12.38 | 32,119 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
Communication Services | 3.2% |
Consumer Discretionary | 6.9 |
Consumer Staples | 2.3 |
Energy | 4.0 |
Financials | 20.4 |
Health Care | 4.6 |
Industrials | 19.6 |
Information Technology | 15.4 |
Materials | 9.3 |
Real Estate | 11.6 |
Utilities | 2.7 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 413 | 46,900 | 226 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $829,439) | 1,092,378 |
Affiliated Issuers (Cost $70,480) | 70,488 |
Total Investments in Securities | 1,162,866 |
Investment in Vanguard | 39 |
Cash Collateral Pledged—Futures Contracts | 2,693 |
Receivables for Accrued Income | 686 |
Receivables for Capital Shares Issued | 522 |
Variation Margin Receivable—Futures Contracts | 95 |
Total Assets | 1,166,901 |
Liabilities | |
Payables for Investment Securities Purchased | 182 |
Payables to Investment Advisor | 859 |
Payables for Capital Shares Redeemed | 1,276 |
Payables to Vanguard | 111 |
Total Liabilities | 2,428 |
Net Assets | 1,164,473 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 865,997 |
Total Distributable Earnings (Loss) | 298,476 |
Net Assets | 1,164,473 |
Net Assets | |
Applicable to 25,170,704 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,164,473 |
Net Asset Value Per Share | $46.26 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 12,146 |
Interest2 | 54 |
Securities Lending—Net | 59 |
Total Income | 12,259 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 2,653 |
Performance Adjustment | 54 |
The Vanguard Group—Note C | |
Management and Administrative | 1,830 |
Marketing and Distribution | 69 |
Custodian Fees | 16 |
Auditing Fees | 30 |
Shareholders’ Reports | 11 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 4,664 |
Net Investment Income | 7,595 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 57,450 |
Futures Contracts | 8,339 |
Realized Net Gain (Loss) | 65,789 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 231,756 |
Futures Contracts | (1,183) |
Change in Unrealized Appreciation (Depreciation) | 230,573 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 303,957 |
1 | Dividends are net of foreign withholding taxes of $45,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $52,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,595 | 7,981 |
Realized Net Gain (Loss) | 65,789 | (18,460) |
Change in Unrealized Appreciation (Depreciation) | 230,573 | (50,253) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 303,957 | (60,732) |
Distributions | ||
Total Distributions | (5,943) | (10,473) |
Capital Share Transactions | ||
Issued | 672,371 | 179,685 |
Issued in Lieu of Cash Distributions | 5,616 | 9,910 |
Redeemed | (374,152) | (210,832) |
Net Increase (Decrease) from Capital Share Transactions | 303,835 | (21,237) |
Total Increase (Decrease) | 601,849 | (92,442) |
Net Assets | ||
Beginning of Period | 562,624 | 655,066 |
End of Period | 1,164,473 | 562,624 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $30.32 | $33.49 | $40.53 | $34.45 | $31.55 |
Investment Operations | |||||
Net Investment Income1 | .351 | .400 | .494 | .355 | .329 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.911 | (3.032) | (4.921) | 7.112 | 3.331 |
Total from Investment Operations | 16.262 | (2.632) | (4.427) | 7.467 | 3.660 |
Distributions | |||||
Dividends from Net Investment Income | (.322) | (.538) | (.366) | (.288) | (.308) |
Distributions from Realized Capital Gains | — | — | (2.247) | (1.099) | (.452) |
Total Distributions | (.322) | (.538) | (2.613) | (1.387) | (.760) |
Net Asset Value, End of Period | $46.26 | $30.32 | $33.49 | $40.53 | $34.45 |
Total Return2 | 53.90% | -8.12% | -10.10% | 22.10% | 11.64% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,164 | $563 | $655 | $768 | $607 |
Ratio of Total Expenses to Average Net Assets3 | 0.52% | 0.64% | 0.55% | 0.56% | 0.55% |
Ratio of Net Investment Income to Average Net Assets | 0.85% | 1.28% | 1.45% | 0.95% | 0.98% |
Portfolio Turnover Rate | 41% | 42% | 27% | 31% | 33% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.09%, 0.01%, 0.03%, and (0.01%). |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | The investment advisory firms Cardinal Capital Management, L.L.C., and Frontier Capital Management Co., LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Cardinal Capital Management, L.L.C., is subject to quarterly adjustments based on performance relative to the Russell 3000 Value Custom Index for the preceding three years. The basic fee of Frontier Capital Management Co., LLC, is subject to quarterly adjustments based on performance relative to the Russell 2000 Value Index for the preceding three years. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 7,076 |
Total Distributable Earnings (Loss) | (7,076) |
Amount ($000) | |
Undistributed Ordinary Income | 4,108 |
Undistributed Long-Term Gains | 33,412 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 260,956 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 5,943 | 10,473 |
Long-Term Capital Gains | — | — |
Total | 5,943 | 10,473 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 901,910 |
Gross Unrealized Appreciation | 291,303 |
Gross Unrealized Depreciation | (30,347) |
Net Unrealized Appreciation (Depreciation) | 260,956 |
F. | During the year ended August 31, 2021, the fund purchased $614,470,000 of investment securities and sold $336,262,000 of investment securities, other than temporary cash investments. |
G. | Capital shares issued and redeemed were: |
Year Ended August 31, | ||
2021 Shares (000) | 2020 Shares (000) | |
Issued | 15,359 | 5,985 |
Issued in Lieu of Cash Distributions | 152 | 274 |
Redeemed | (8,893) | (7,268) |
Net Increase (Decrease) in Shares Outstanding | 6,618 | (1,009) |
H. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Vanguard Russell 1000 Index Fund |
Vanguard Russell 1000 Value Index Fund |
Vanguard Russell 1000 Growth Index Fund |
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Russell 1000 Index Fund | 4 |
Russell 1000 Value Index Fund | 29 |
Russell 1000 Growth Index Fund | 53 |
Trustees Approve Advisory Arrangements | 75 |
Liquidity Risk Management | 77 |
• | Returns for the three Vanguard Russell 1000 Index Funds for the 12 months ended August 31, 2021, ranged from more than 28% for Vanguard Russell 1000 Growth Index Fund to more than 36% for Vanguard Russell 1000 Value Index Fund. Vanguard Russell 1000 Index Fund returned more than 32%. Each fund closely tracked its target index. |
• | The global economy rebounded more quickly than many had expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that were more successful in containing the virus generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Stocks rose broadly during the 12 months under review following their sharp downturn at the start of the pandemic. |
• | Mid- and small-capitalization stocks outperformed their large-cap counterparts for the fiscal year, and value stocks surpassed growth. |
• | All sectors had positive returns across the three funds. Technology stocks contributed most to the Index Fund and the Growth Index Fund, while financials gave the biggest boost to the Value Index Fund. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,182.40 | $0.44 |
Institutional Shares | 1,000.00 | 1,182.60 | 0.39 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,144.70 | $0.43 |
Institutional Shares | 1,000.00 | 1,144.70 | 0.38 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,219.30 | $0.45 |
Institutional Shares | 1,000.00 | 1,219.40 | 0.39 |
Based on Hypothetical 5% Yearly Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.80 | $0.41 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.80 | $0.41 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.80 | $0.41 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 1000 Index Fund ETF Shares Net Asset Value | 32.14% | 18.13% | 16.27% | $45,133 |
Russell 1000 Index Fund ETF Shares Market Price | 32.08 | 18.14 | 16.27 | 45,136 | |
![]() | Russell 1000 Index | 32.25 | 18.24 | 16.40 | 45,678 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 1000 Index Fund Institutional Shares | 32.16% | 18.17% | 16.31% | $22,648,389 | |
Russell 1000 Index | 32.25 | 18.24 | 16.40 | 22,838,972 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 1000 Index Fund ETF Shares Market Price | 32.08% | 130.11% | 351.36% |
Russell 1000 Index Fund ETF Shares Net Asset Value | 32.14 | 130.05 | 351.33 |
Russell 1000 Index | 32.25 | 131.10 | 356.78 |
Basic Materials | 1.5% |
Consumer Discretionary | 15.8 |
Consumer Staples | 4.7 |
Energy | 2.4 |
Financials | 10.9 |
Health Care | 12.7 |
Industrials | 13.6 |
Real Estate | 3.3 |
Technology | 29.3 |
Telecommunications | 3.1 |
Utilities | 2.7 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 22 | 4,973 | 65 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,225,077) | 5,500,022 |
Affiliated Issuers (Cost $1,666) | 1,666 |
Total Investments in Securities | 5,501,688 |
Investment in Vanguard | 178 |
Cash Collateral Pledged—Futures Contracts | 260 |
Receivables for Investment Securities Sold | 1,670 |
Receivables for Accrued Income | 6,831 |
Total Assets | 5,510,627 |
Liabilities | |
Due to Custodian | 5,177 |
Collateral for Securities on Loan | 1,664 |
Payables for Capital Shares Redeemed | 224 |
Payables to Vanguard | 178 |
Variation Margin Payable—Futures Contracts | 5 |
Total Liabilities | 7,248 |
Net Assets | 5,503,379 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 3,311,607 |
Total Distributable Earnings (Loss) | 2,191,772 |
Net Assets | 5,503,379 |
ETF Shares—Net Assets | |
Applicable to 12,750,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,681,636 |
Net Asset Value Per Share—ETF Shares | $210.32 |
Institutional Shares—Net Assets | |
Applicable to 6,925,551 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,821,743 |
Net Asset Value Per Share—Institutional Shares | $407.44 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 65,838 |
Interest1 | 4 |
Securities Lending—Net | 123 |
Total Income | 65,965 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 693 |
Management and Administrative—ETF Shares | 1,146 |
Management and Administrative—Institutional Shares | 1,148 |
Marketing and Distribution—ETF Shares | 94 |
Marketing and Distribution—Institutional Shares | 61 |
Custodian Fees | 237 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 37 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,447 |
Net Investment Income | 62,518 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 419,882 |
Futures Contracts | 2,159 |
Realized Net Gain (Loss) | 422,041 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 811,786 |
Futures Contracts | (642) |
Change in Unrealized Appreciation (Depreciation) | 811,144 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,295,703 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $428,873,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 62,518 | 67,097 |
Realized Net Gain (Loss) | 422,041 | 84,160 |
Change in Unrealized Appreciation (Depreciation) | 811,144 | 625,102 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,295,703 | 776,359 |
Distributions | ||
ETF Shares | (28,487) | (23,937) |
Institutional Shares | (33,459) | (43,999) |
Total Distributions | (61,946) | (67,936) |
Capital Share Transactions | ||
ETF Shares | 414,276 | 210,407 |
Institutional Shares | (346,204) | (236,257) |
Net Increase (Decrease) from Capital Share Transactions | 68,072 | (25,850) |
Total Increase (Decrease) | 1,301,829 | 682,573 |
Net Assets | ||
Beginning of Period | 4,201,550 | 3,518,977 |
End of Period | 5,503,379 | 4,201,550 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $161.36 | $134.37 | $133.57 | $113.60 | $99.81 |
Investment Operations | |||||
Net Investment Income1 | 2.459 | 2.525 | 2.395 | 2.209 | 2.054 |
Net Realized and Unrealized Gain (Loss) on Investments | 48.925 | 27.028 | .759 | 19.896 | 13.753 |
Total from Investment Operations | 51.384 | 29.553 | 3.154 | 22.105 | 15.807 |
Distributions | |||||
Dividends from Net Investment Income | (2.424) | (2.563) | (2.354) | (2.135) | (2.017) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.424) | (2.563) | (2.354) | (2.135) | (2.017) |
Net Asset Value, End of Period | $210.32 | $161.36 | $134.37 | $133.57 | $113.60 |
Total Return | 32.14% | 22.39% | 2.45% | 19.68% | 16.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,682 | $1,678 | $1,196 | $1,008 | $724 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 1.34% | 1.79% | 1.85% | 1.78% | 1.94% |
Portfolio Turnover Rate2 | 6% | 9% | 6% | 9% | 11% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $312.59 | $260.26 | $258.75 | $220.06 | $193.36 |
Investment Operations | |||||
Net Investment Income1 | 4.807 | 4.927 | 4.645 | 4.345 | 4.080 |
Net Realized and Unrealized Gain (Loss) on Investments | 94.766 | 52.362 | 1.483 | 38.573 | 26.609 |
Total from Investment Operations | 99.573 | 57.289 | 6.128 | 42.918 | 30.689 |
Distributions | |||||
Dividends from Net Investment Income | (4.723) | (4.959) | (4.618) | (4.228) | (3.989) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.723) | (4.959) | (4.618) | (4.228) | (3.989) |
Net Asset Value, End of Period | $407.44 | $312.59 | $260.26 | $258.75 | $220.06 |
Total Return | 32.16% | 22.45% | 2.45% | 19.72% | 16.06% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,822 | $2,523 | $2,323 | $2,134 | $2,014 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.36% | 1.81% | 1.86% | 1.82% | 1.98% |
Portfolio Turnover Rate2 | 6% | 9% | 6% | 9% | 11% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 5,498,770 | — | 1,252 | 5,500,022 |
Temporary Cash Investments | 1,666 | — | — | 1,666 |
Total | 5,500,436 | — | 1,252 | 5,501,688 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 65 | — | — | 65 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 428,461 |
Total Distributable Earnings (Loss) | (428,461) |
Amount ($000) | |
Undistributed Ordinary Income | 13,445 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (90,347) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 2,268,674 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 61,946 | 67,936 |
Long-Term Capital Gains | — | — |
Total | 61,946 | 67,936 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 3,233,015 |
Gross Unrealized Appreciation | 2,402,260 |
Gross Unrealized Depreciation | (133,586) |
Net Unrealized Appreciation (Depreciation) | 2,268,674 |
E. | During the year ended August 31, 2021, the fund purchased $1,148,713,000 of investment securities and sold $1,072,420,000 of investment securities, other than temporary cash investments. Purchases and sales include $691,898,000 and $778,248,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,203,957 | 6,875 | 484,207 | 3,500 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (789,681) | (4,525) | (273,800) | (2,000) | |
Net Increase (Decrease)—ETF Shares | 414,276 | 2,350 | 210,407 | 1,500 | |
Institutional Shares | |||||
Issued | 416,311 | 1,158 | 264,170 | 1,009 | |
Issued in Lieu of Cash Distributions | 31,627 | 93 | 42,228 | 165 | |
Redeemed | (794,142) | (2,397) | (542,655) | (2,028) | |
Net Increase (Decrease)—Institutional Shares | (346,204) | (1,146) | (236,257) | (854) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 1000 Value Index Fund ETF Shares Net Asset Value | 36.32% | 11.59% | 12.89% | $33,630 |
Russell 1000 Value Index Fund ETF Shares Market Price | 36.24 | 11.59 | 12.89 | 33,604 | |
![]() | Russell 1000 Value Index | 36.44 | 11.68 | 13.03 | 34,022 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 1000 Value Index Fund Institutional Shares | 36.35% | 11.62% | 12.94% | $16,887,353 | |
Russell 1000 Value Index | 36.44 | 11.68 | 13.03 | 17,010,766 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 1000 Value Index Fund ETF Shares Market Price | 36.24% | 73.01% | 236.04% |
Russell 1000 Value Index Fund ETF Shares Net Asset Value | 36.32 | 73.03 | 236.30 |
Russell 1000 Value Index | 36.44 | 73.73 | 240.22 |
Basic Materials | 2.5% |
Consumer Discretionary | 9.9 |
Consumer Staples | 7.0 |
Energy | 4.6 |
Financials | 20.5 |
Health Care | 16.8 |
Industrials | 14.1 |
Real Estate | 4.8 |
Technology | 8.6 |
Telecommunications | 5.7 |
Utilities | 5.5 |
Shares | Market Value• ($000) | ||
Brookfield Renewable Corp. Class A | 38,141 | 1,671 | |
Avangrid Inc. | 22,836 | 1,248 | |
454,806 | |||
Total Common Stocks (Cost $6,942,957) | 8,312,333 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.068% (Cost $22,889) | 228,889 | 22,889 |
Total Investments (99.9%) (Cost $6,965,846) | 8,335,222 | ||
Other Assets and Liabilities—Net (0.1%) | 6,574 | ||
Net Assets (100%) | 8,341,796 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $9,101,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $9,406,000 was received for securities on loan, of which $9,405,000 is held in Vanguard Market Liquidity Fund and $1,000 is held in cash. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 101 | 22,829 | 349 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
International Business Machines Corp. | 8/31/22 | BOANA | 6,877 | (0.080) | 25 | — |
1 | Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,942,957) | 8,312,333 |
Affiliated Issuers (Cost $22,889) | 22,889 |
Total Investments in Securities | 8,335,222 |
Investment in Vanguard | 274 |
Cash | 1 |
Cash Collateral Pledged—Futures Contracts | 1,070 |
Receivables for Investment Securities Sold | 1,320 |
Receivables for Accrued Income | 15,081 |
Receivables for Capital Shares Issued | 1,085 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 25 |
Total Assets | 8,354,078 |
Liabilities | |
Due to Custodian | 1,411 |
Collateral for Securities on Loan | 9,406 |
Payables for Capital Shares Redeemed | 1,159 |
Payables to Vanguard | 284 |
Variation Margin Payable—Futures Contracts | 22 |
Total Liabilities | 12,282 |
Net Assets | 8,341,796 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 7,351,621 |
Total Distributable Earnings (Loss) | 990,175 |
Net Assets | 8,341,796 |
ETF Shares—Net Assets | |
Applicable to 91,827,450 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,568,933 |
Net Asset Value Per Share—ETF Shares | $71.54 |
Institutional Shares—Net Assets | |
Applicable to 6,345,148 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,772,863 |
Net Asset Value Per Share—Institutional Shares | $279.40 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 117,944 |
Interest1 | 8 |
Securities Lending—Net | 150 |
Total Income | 118,102 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 860 |
Management and Administrative—ETF Shares | 2,125 |
Management and Administrative—Institutional Shares | 635 |
Marketing and Distribution—ETF Shares | 183 |
Marketing and Distribution—Institutional Shares | 45 |
Custodian Fees | 475 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 66 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 4,421 |
Net Investment Income | 113,681 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 344,551 |
Futures Contracts | 2,306 |
Swap Contracts | 1,019 |
Realized Net Gain (Loss) | 347,876 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 1,158,270 |
Futures Contracts | 345 |
Swap Contracts | (424) |
Change in Unrealized Appreciation (Depreciation) | 1,158,191 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,619,748 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, less than $1,000, and less than ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $355,137,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 113,681 | 100,739 |
Realized Net Gain (Loss) | 347,876 | (100,042) |
Change in Unrealized Appreciation (Depreciation) | 1,158,191 | 59,529 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,619,748 | 60,226 |
Distributions | ||
ETF Shares | (75,646) | (60,505) |
Institutional Shares | (27,447) | (42,607) |
Total Distributions | (103,093) | (103,112) |
Capital Share Transactions | ||
ETF Shares | 2,819,628 | 674,867 |
Institutional Shares | 152,685 | (582,146) |
Net Increase (Decrease) from Capital Share Transactions | 2,972,313 | 92,721 |
Total Increase (Decrease) | 4,488,968 | 49,835 |
Net Assets | ||
Beginning of Period | 3,852,828 | 3,802,993 |
End of Period | 8,341,796 | 3,852,828 |
ETF Shares | |||||
For a Share Outstanding1 Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $53.52 | $54.61 | $55.60 | $50.66 | $46.57 |
Investment Operations | |||||
Net Investment Income2 | 1.282 | 1.408 | 1.357 | 1.261 | 1.219 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.932 | (1.056) | (1.054) | 4.918 | 4.054 |
Total from Investment Operations | 19.214 | .352 | .303 | 6.179 | 5.273 |
Distributions | |||||
Dividends from Net Investment Income | (1.194) | (1.442) | (1.293) | (1.239) | (1.183) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.194) | (1.442) | (1.293) | (1.239) | (1.183) |
Net Asset Value, End of Period | $71.54 | $53.52 | $54.61 | $55.60 | $50.66 |
Total Return | 36.32% | 0.75% | 0.60% | 12.36% | 11.45% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,569 | $2,646 | $1,914 | $1,487 | $1,153 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 1.99% | 2.65% | 2.51% | 2.35% | 2.48% |
Portfolio Turnover Rate3 | 19% | 24% | 17% | 16% | 22% |
1 | Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $209.00 | $213.25 | $217.14 | $197.85 | $181.86 |
Investment Operations | |||||
Net Investment Income1 | 5.002 | 5.594 | 5.294 | 4.978 | 4.850 |
Net Realized and Unrealized Gain (Loss) on Investments | 70.071 | (4.226) | (4.087) | 19.227 | 15.821 |
Total from Investment Operations | 75.073 | 1.368 | 1.207 | 24.205 | 20.671 |
Distributions | |||||
Dividends from Net Investment Income | (4.673) | (5.618) | (5.097) | (4.915) | (4.681) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.673) | (5.618) | (5.097) | (4.915) | (4.681) |
Net Asset Value, End of Period | $279.40 | $209.00 | $213.25 | $217.14 | $197.85 |
Total Return | 36.35% | 0.81% | 0.61% | 12.39% | 11.49% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,773 | $1,207 | $1,889 | $1,603 | $1,541 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.01% | 2.64% | 2.52% | 2.39% | 2.52% |
Portfolio Turnover Rate2 | 19% | 24% | 17% | 16% | 22% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 8,312,333 | — | — | 8,312,333 |
Temporary Cash Investments | 22,889 | — | — | 22,889 |
Total | 8,335,222 | — | — | 8,335,222 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 349 | — | — | 349 |
Swap Contracts | — | 25 | — | 25 |
Total | 349 | 25 | — | 374 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions, passive foreign investment companies and swap agreements were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 355,123 |
Total Distributable Earnings (Loss) | (355,123) |
Amount ($000) | |
Undistributed Ordinary Income | 29,869 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (402,211) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 1,362,517 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 103,093 | 103,112 |
Long-Term Capital Gains | — | — |
Total | 103,093 | 103,112 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,972,705 |
Gross Unrealized Appreciation | 1,557,303 |
Gross Unrealized Depreciation | (194,786) |
Net Unrealized Appreciation (Depreciation) | 1,362,517 |
E. | During the year ended August 31, 2021, the fund purchased $5,109,076,000 of investment securities and sold $2,148,398,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,656,134,000 and $1,042,601,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | During the year ended August 31, 2021, the fund’s ETF Shares underwent a 2-for-1 share split. Each shareholder of record as of the close of business on April 19, 2021, received 2 shares for every 1 ETF Share held on that date. The split had no effect on net assets or total return. Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 3,870,717 | 58,327 | 1,468,858 | 29,550 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,051,089) | (15,950) | (793,991) | (15,150) | |
Net Increase (Decrease)—ETF Shares | 2,819,628 | 42,377 | 674,867 | 14,400 |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 565,635 | 2,234 | 342,811 | 1,698 | |
Issued in Lieu of Cash Distributions | 24,296 | 102 | 38,347 | 191 | |
Redeemed | (437,246) | (1,764) | (963,304) | (4,974) | |
Net Increase (Decrease)—Institutional Shares | 152,685 | 572 | (582,146) | (3,085) |
1 | Shares adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 1000 Growth Index Fund ETF Shares Net Asset Value | 28.40% | 24.22% | 19.31% | $58,458 |
Russell 1000 Index Fund ETF Shares Market Price | 28.35 | 24.22 | 19.32 | 58,474 | |
![]() | Russell 1000 Growth Index | 28.53 | 24.35 | 19.45 | 59,135 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 1000 Growth Index Fund Institutional Shares | 28.42% | 24.26% | 19.36% | $29,347,929 | |
Russell 1000 Growth Index | 28.53 | 24.35 | 19.45 | 29,567,365 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 1000 Growth Index Fund ETF Shares Market Price | 28.35% | 195.80% | 484.74% |
Russell 1000 Growth Index Fund ETF Shares Net Asset Value | 28.40 | 195.83 | 484.58 |
Russell 1000 Growth Index | 28.53 | 197.34 | 491.35 |
Basic Materials | 0.6% |
Consumer Discretionary | 21.1 |
Consumer Staples | 2.7 |
Energy | 0.4 |
Financials | 2.2 |
Health Care | 9.0 |
Industrials | 13.1 |
Real Estate | 1.9 |
Technology | 48.1 |
Telecommunications | 0.8 |
Utilities | 0.1 |
Shares | Market Value• ($000) | ||
Brookfield Renewable Corp. Class A | 15,700 | 688 | |
8,237 | |||
Total Common Stocks (Cost $6,028,839) | 11,009,956 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.068% (Cost $19,599) | 195,991 | 19,599 |
Total Investments (100.0%) (Cost $6,048,438) | 11,029,555 | ||
Other Assets and Liabilities— Net (0.0%) | (1,358) | ||
Net Assets (100%) | 11,028,197 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,525,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $8,727,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 109 | 24,637 | 306 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,028,839) | 11,009,956 |
Affiliated Issuers (Cost $19,599) | 19,599 |
Total Investments in Securities | 11,029,555 |
Investment in Vanguard | 356 |
Cash Collateral Pledged—Futures Contracts | 1,260 |
Receivables for Investment Securities Sold | 262 |
Receivables for Accrued Income | 5,974 |
Receivables for Capital Shares Issued | 922 |
Total Assets | 11,038,329 |
Liabilities | |
Due to Custodian | 311 |
Payables for Investment Securities Purchased | 2 |
Collateral for Securities on Loan | 8,727 |
Payables for Capital Shares Redeemed | 704 |
Payables to Vanguard | 362 |
Variation Margin Payable—Futures Contracts | 26 |
Total Liabilities | 10,132 |
Net Assets | 11,028,197 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 6,298,728 |
Total Distributable Earnings (Loss) | 4,729,469 |
Net Assets | 11,028,197 |
ETF Shares—Net Assets | |
Applicable to 99,706,844 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,454,941 |
Net Asset Value Per Share—ETF Shares | $74.77 |
Institutional Shares—Net Assets | |
Applicable to 6,213,251 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,573,256 |
Net Asset Value Per Share—Institutional Shares | $575.10 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 73,313 |
Interest1 | 4 |
Securities Lending—Net | 254 |
Total Income | 73,571 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,374 |
Management and Administrative—ETF Shares | 3,338 |
Management and Administrative—Institutional Shares | 1,696 |
Marketing and Distribution—ETF Shares | 244 |
Marketing and Distribution—Institutional Shares | 84 |
Custodian Fees | 162 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 48 |
Shareholders’ Reports—Institutional Shares | 3 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 6,981 |
Net Investment Income | 66,590 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 965,222 |
Futures Contracts | 3,175 |
Realized Net Gain (Loss) | 968,397 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 1,372,039 |
Futures Contracts | 194 |
Change in Unrealized Appreciation (Depreciation) | 1,372,233 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,407,220 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $947,481,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 66,590 | 70,091 |
Realized Net Gain (Loss) | 968,397 | 565,821 |
Change in Unrealized Appreciation (Depreciation) | 1,372,233 | 2,018,419 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,407,220 | 2,654,331 |
Distributions | ||
ETF Shares | (40,214) | (38,092) |
Institutional Shares | (24,518) | (34,009) |
Total Distributions | (64,732) | (72,101) |
Capital Share Transactions | ||
ETF Shares | 978,964 | 645,864 |
Institutional Shares | (786,014) | (683,204) |
Net Increase (Decrease) from Capital Share Transactions | 192,950 | (37,340) |
Total Increase (Decrease) | 2,535,438 | 2,544,890 |
Net Assets | ||
Beginning of Period | 8,492,759 | 5,947,869 |
End of Period | 11,028,197 | 8,492,759 |
ETF Shares | |||||
For a Share Outstanding1 Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $58.66 | $41.14 | $39.89 | $31.77 | $26.73 |
Investment Operations | |||||
Net Investment Income2 | .460 | .475 | .481 | .441 | .421 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.099 | 17.530 | 1.177 | 8.096 | 5.039 |
Total from Investment Operations | 16.559 | 18.005 | 1.658 | 8.537 | 5.460 |
Distributions | |||||
Dividends from Net Investment Income | (.449) | (.485) | (.408) | (.417) | (.420) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.449) | (.485) | (.408) | (.417) | (.420) |
Net Asset Value, End of Period | $74.77 | $58.66 | $41.14 | $39.89 | $31.77 |
Total Return | 28.40% | 44.18% | 4.20% | 27.09% | 20.66% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $7,455 | $4,951 | $2,872 | $2,083 | $1,319 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.12% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 0.72% | 1.04% | 1.25% | 1.24% | 1.45% |
Portfolio Turnover Rate3 | 14% | 14% | 17% | 15% | 21% |
1 | Adjusted to reflect a 4-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $451.15 | $316.39 | $306.82 | $244.34 | $205.53 |
Investment Operations | |||||
Net Investment Income1 | 3.573 | 3.695 | 3.711 | 3.485 | 3.291 |
Net Realized and Unrealized Gain (Loss) on Investments | 123.861 | 134.792 | 9.061 | 62.293 | 38.832 |
Total from Investment Operations | 127.434 | 138.487 | 12.772 | 65.778 | 42.123 |
Distributions | |||||
Dividends from Net Investment Income | (3.484) | (3.727) | (3.202) | (3.298) | (3.313) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.484) | (3.727) | (3.202) | (3.298) | (3.313) |
Net Asset Value, End of Period | $575.10 | $451.15 | $316.39 | $306.82 | $244.34 |
Total Return | 28.42% | 44.24% | 4.21% | 27.14% | 20.72% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,573 | $3,542 | $3,076 | $3,182 | $2,476 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.74% | 1.06% | 1.26% | 1.28% | 1.49% |
Portfolio Turnover Rate2 | 14% | 14% | 17% | 15% | 21% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 11,005,089 | — | 4,867 | 11,009,956 |
Temporary Cash Investments | 19,599 | — | — | 19,599 |
Total | 11,024,688 | — | 4,867 | 11,029,555 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 306 | — | — | 306 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptins and passive foreign investment companies were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 947,504 |
Total Distributable Earnings (Loss) | (947,504) |
Amount ($000) | |
Undistributed Ordinary Income | 13,179 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (264,248) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 4,980,538 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 64,732 | 72,101 |
Long-Term Capital Gains | — | — |
Total | 64,732 | 72,101 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,049,017 |
Gross Unrealized Appreciation | 5,048,510 |
Gross Unrealized Depreciation | (67,972) |
Net Unrealized Appreciation (Depreciation) | 4,980,538 |
E. | During the year ended August 31, 2021, the fund purchased $3,359,652,000 of investment securities and sold $3,174,388,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,052,521,000 and $1,818,751,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | During the year ended August 31, 2021, the fund’s ETF Shares underwent a 4-for-1 share split. Each shareholder of record as of the close of business on April 19, 2021, received 4 shares for every 1 ETF Share held on that date. The split had no effect on net assets or total return. Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 2,657,661 | 41,175 | 2,042,520 | 44,200 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,678,697) | (25,875) | (1,396,656) | (29,600) | |
Net Increase (Decrease)—ETF Shares | 978,964 | 15,300 | 645,864 | 14,600 | |
Institutional Shares | |||||
Issued | 382,523 | 806 | 490,711 | 1,343 | |
Issued in Lieu of Cash Distributions | 21,838 | 47 | 30,560 | 94 | |
Redeemed | (1,190,375) | (2,491) | (1,204,475) | (3,309) | |
Net Increase (Decrease)—Institutional Shares | (786,014) | (1,638) | (683,204) | (1,872) |
1 | Shares adjusted to reflect a 4-for-1 share split effective at the beginning of trading on April 20, 2021. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Fund | ($000) |
Russell 1000 Index Fund | 61,168 |
Russell 1000 Value Index Fund | 99,681 |
Russell 1000 Growth Index Fund | 64,732 |
Fund | ($000) |
Russell 1000 Index Fund | 778 |
Russell 1000 Value Index Fund | 2,981 |
Russell 1000 Growth Index Fund | — |
Fund | Percentage |
Russell 1000 Index Fund | 94.2% |
Russell 1000 Value Index Fund | 91.9 |
Russell 1000 Growth Index Fund | 100.0 |
Vanguard Russell 2000 Index Fund |
Vanguard Russell 2000 Value Index Fund |
Vanguard Russell 2000 Growth Index Fund |
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Russell 2000 Index Fund | 4 |
Russell 2000 Value Index Fund | 40 |
Russell 2000 Growth Index Fund | 69 |
Trustees Approve Advisory Arrangements | 98 |
Liquidity Risk Management | 100 |
• | Returns for the three Vanguard Russell 2000 Index Funds for the 12 months ended August 31, 2021, ranged from more than 35% for Vanguard Russell 2000 Growth Index Fund to more than 59% for Vanguard Russell 2000 Value Index Fund. Vanguard Russell 2000 Index Fund returned more than 47%. Each fund closely tracked its target index. |
• | The global economy rebounded more quickly than expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that were more successful in containing the virus generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. During the 12 months under review, stocks rose broadly in the wake of their sharp downturn at the start of the pandemic. |
• | Mid- and small-capitalization stocks outperformed their large-cap counterparts for the period, and value stocks surpassed growth. |
• | All sectors had positive returns across the three funds. The top contributors were consumer discretionary for the Index Fund, health care for the Growth Index Fund, and financials for the Value Index Fund. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,037.90 | $0.51 |
Institutional Shares | 1,000.00 | 1,038.10 | 0.41 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,088.50 | $0.79 |
Institutional Shares | 1,000.00 | 1,089.00 | 0.42 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $987.50 | $0.75 |
Institutional Shares | 1,000.00 | 987.90 | 0.40 |
Based on Hypothetical 5% Yearly Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 2000 Index Fund ETF Shares Net Asset Value | 47.15% | 14.45% | 13.64% | $35,908 |
Russell 2000 Index Fund ETF Shares Market Price | 47.01 | 14.45 | 13.64 | 35,915 | |
![]() | Russell 2000 Index | 47.08 | 14.38 | 13.62 | 35,840 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 2000 Index Fund Institutional Shares | 47.19% | 14.49% | 13.70% | $18,055,622 | |
Russell 2000 Index | 47.08 | 14.38 | 13.62 | 17,920,156 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 2000 Index Fund ETF Shares Market Price | 47.01% | 96.35% | 259.15% |
Russell 2000 Index Fund ETF Shares Net Asset Value | 47.15 | 96.33 | 259.08 |
Russell 2000 Index | 47.08 | 95.81 | 258.40 |
Basic Materials | 3.7% |
Consumer Discretionary | 14.8 |
Consumer Staples | 2.9 |
Energy | 4.1 |
Financials | 15.1 |
Health Care | 19.9 |
Industrials | 14.9 |
Real Estate | 7.3 |
Technology | 12.5 |
Telecommunications | 1.9 |
Utilities | 2.9 |
Other | 0.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 180 | 20,441 | 209 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,194,332) | 6,838,753 |
Affiliated Issuers (Cost $174,037) | 174,049 |
Total Investments in Securities | 7,012,802 |
Investment in Vanguard | 219 |
Cash Collateral Pledged—Futures Contracts | 2,633 |
Receivables for Accrued Income | 3,966 |
Receivables for Capital Shares Issued | 35 |
Variation Margin Receivable—Futures Contracts | 101 |
Total Assets | 7,019,756 |
Liabilities | |
Due to Custodian | 1,009 |
Payables for Investment Securities Purchased | 37,133 |
Collateral for Securities on Loan | 138,908 |
Payables for Capital Shares Redeemed | 92 |
Payables to Vanguard | 285 |
Total Liabilities | 177,427 |
Net Assets | 6,842,329 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 6,514,418 |
Total Distributable Earnings (Loss) | 327,911 |
Net Assets | 6,842,329 |
ETF Shares—Net Assets | |
Applicable to 68,175,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,223,118 |
Net Asset Value Per Share—ETF Shares | $91.28 |
Institutional Shares—Net Assets | |
Applicable to 1,772,905 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 619,211 |
Net Asset Value Per Share—Institutional Shares | $349.26 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 50,267 |
Interest1 | 8 |
Securities Lending—Net | 3,026 |
Total Income | 53,301 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 711 |
Management and Administrative—ETF Shares | 2,344 |
Management and Administrative—Institutional Shares | 270 |
Marketing and Distribution—ETF Shares | 166 |
Marketing and Distribution—Institutional Shares | 18 |
Custodian Fees | 974 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 79 |
Shareholders’ Reports—Institutional Shares | 6 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 4,599 |
Net Investment Income | 48,702 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 723,810 |
Futures Contracts | 4,031 |
Realized Net Gain (Loss) | 727,841 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 639,143 |
Futures Contracts | 14 |
Change in Unrealized Appreciation (Depreciation) | 639,157 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,415,700 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000,$0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $741,739,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 48,702 | 30,392 |
Realized Net Gain (Loss) | 727,841 | 114,633 |
Change in Unrealized Appreciation (Depreciation) | 639,157 | 41,369 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,415,700 | 186,394 |
Distributions | ||
ETF Shares | (36,436) | (21,019) |
Institutional Shares | (7,027) | (9,718) |
Total Distributions | (43,463) | (30,737) |
Capital Share Transactions | ||
ETF Shares | 3,304,505 | 232,606 |
Institutional Shares | (267,012) | (278,614) |
Net Increase (Decrease) from Capital Share Transactions | 3,037,493 | (46,008) |
Total Increase (Decrease) | 4,409,730 | 109,649 |
Net Assets | ||
Beginning of Period | 2,432,599 | 2,322,950 |
End of Period | 6,842,329 | 2,432,599 |
ETF Shares | |||||
For a Share Outstanding1 Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $62.69 | $59.88 | $69.56 | $56.11 | $49.49 |
Investment Operations | |||||
Net Investment Income2 | .865 | .810 | .797 | .777 | .722 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.550 | 2.815 | (9.704) | 13.423 | 6.632 |
Total from Investment Operations | 29.415 | 3.625 | (8.907) | 14.200 | 7.354 |
Distributions | |||||
Dividends from Net Investment Income | (.825) | (.815) | (.773) | (.750) | (.734) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.825) | (.815) | (.773) | (.750) | (.734) |
Net Asset Value, End of Period | $91.28 | $62.69 | $59.88 | $69.56 | $56.11 |
Total Return | 47.15% | 6.12% | -12.83% | 25.49% | 14.94% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,223 | $1,802 | $1,464 | $1,715 | $1,083 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.02% | 1.37% | 1.30% | 1.23% | 1.34% |
Portfolio Turnover Rate3 | 23% | 19% | 16% | 19% | 23% |
1 | Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $239.84 | $229.03 | $266.12 | $214.65 | $189.31 |
Investment Operations | |||||
Net Investment Income1 | 3.360 | 3.208 | 3.078 | 3.129 | 2.956 |
Net Realized and Unrealized Gain (Loss) on Investments | 109.242 | 10.710 | (37.106) | 51.369 | 25.315 |
Total from Investment Operations | 112.602 | 13.918 | (34.028) | 54.498 | 28.271 |
Distributions | |||||
Dividends from Net Investment Income | (3.182) | (3.108) | (3.062) | (3.028) | (2.931) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.182) | (3.108) | (3.062) | (3.028) | (2.931) |
Net Asset Value, End of Period | $349.26 | $239.84 | $229.03 | $266.12 | $214.65 |
Total Return | 47.19% | 6.15% | -12.83% | 25.58% | 15.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $619 | $630 | $859 | $982 | $576 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.08% | 1.41% | 1.32% | 1.30% | 1.41% |
Portfolio Turnover Rate2 | 23% | 19% | 16% | 19% | 23% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 6,838,657 | — | 74 | 6,838,731 |
Corporate Bonds | — | 22 | — | 22 |
Temporary Cash Investments | 174,049 | — | — | 174,049 |
Total | 7,012,706 | 22 | 74 | 7,012,802 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 209 | — | — | 209 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 740,547 |
Total Distributable Earnings (Loss) | (740,547) |
Amount ($000) | |
Undistributed Ordinary Income | 19,475 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (327,387) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 635,823 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 43,463 | 30,737 |
Long-Term Capital Gains | — | — |
Total | 43,463 | 30,737 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,376,979 |
Gross Unrealized Appreciation | 1,134,975 |
Gross Unrealized Depreciation | (499,152) |
Net Unrealized Appreciation (Depreciation) | 635,823 |
E. | During the year ended August 31, 2021, the fund purchased $5,944,868,000 of investment securities and sold $2,889,357,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,890,465,000 and $1,702,614,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | During the year ended August 31, 2021, the fund’s ETF Shares underwent a 2-for-1 share split. Each shareholder of record as of the close of business on April 19, 2021, received 2 shares for every 1 ETF Share held on that date. The split had no effect on net assets or total return. Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 5,016,365 | 59,050 | 1,228,574 | 22,100 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,711,860) | (19,625) | (995,968) | (17,800) | |
Net Increase (Decrease)—ETF Shares | 3,304,505 | 39,425 | 232,606 | 4,300 | |
Institutional Shares | |||||
Issued | 87,649 | 270 | 133,855 | 621 | |
Issued in Lieu of Cash Distributions | 6,712 | 23 | 9,407 | 41 | |
Redeemed | (361,373) | (1,148) | (421,876) | (1,785) | |
Net Increase (Decrease)—Institutional Shares | (267,012) | (855) | (278,614) | (1,123) |
1 | Shares adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 2000 Value Index Fund ETF Shares Net Asset Value | 59.34% | 11.62% | 12.02% | $31,126 |
Russell 2000 Value Index Fund ETF Shares Market Price | 59.10 | 11.60 | 12.03 | 31,150 | |
![]() | Russell 2000 Value Index | 59.49 | 11.66 | 12.14 | 31,458 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Since Inception (7/13/2012) | Final Value of a $5,000,000 Investment | ||
Russell 2000 Value Index Fund Institutional Shares | 59.46% | 11.72% | 11.94% | $14,003,460 | |
Russell 2000 Value Index | 59.49 | 11.66 | 11.92 | 13,985,589 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.27 | 19,813,035 |
One Year | Five Years | Ten Years | |
Russell 2000 Value Index Fund ETF Shares Market Price | 59.10% | 73.08% | 211.50% |
Russell 2000 Value Index Fund ETF Shares Net Asset Value | 59.34 | 73.27 | 211.26 |
Russell 2000 Value Index | 59.49 | 73.54 | 214.58 |
Basic Materials | 4.4% |
Consumer Discretionary | 13.3 |
Consumer Staples | 2.6 |
Energy | 6.1 |
Financials | 25.6 |
Health Care | 10.9 |
Industrials | 14.7 |
Real Estate | 11.8 |
Technology | 4.3 |
Telecommunications | 1.5 |
Utilities | 4.8 |
Other | 0.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 29 | 3,293 | 56 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,080,875) | 1,237,810 |
Affiliated Issuers (Cost $27,201) | 27,202 |
Total Investments in Securities | 1,265,012 |
Investment in Vanguard | 41 |
Cash Collateral Pledged—Futures Contracts | 150 |
Receivables for Investment Securities Sold | 662 |
Receivables for Accrued Income | 1,155 |
Receivables for Capital Shares Issued | 56 |
Variation Margin Receivable—Futures Contracts | 5 |
Total Assets | 1,267,081 |
Liabilities | |
Due to Custodian | 711 |
Payables for Investment Securities Purchased | 4,925 |
Collateral for Securities on Loan | 23,419 |
Payables to Vanguard | 73 |
Total Liabilities | 29,128 |
Net Assets | 1,237,953 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 1,179,591 |
Total Distributable Earnings (Loss) | 58,362 |
Net Assets | 1,237,953 |
ETF Shares—Net Assets | |
Applicable to 7,200,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,035,968 |
Net Asset Value Per Share—ETF Shares | $143.88 |
Institutional Shares—Net Assets | |
Applicable to 711,674 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 201,985 |
Net Asset Value Per Share—Institutional Shares | $283.82 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 13,975 |
Interest1 | 1 |
Securities Lending—Net | 360 |
Total Income | 14,336 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 128 |
Management and Administrative—ETF Shares | 734 |
Management and Administrative—Institutional Shares | 47 |
Marketing and Distribution—ETF Shares | 29 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 193 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 22 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,186 |
Net Investment Income | 13,150 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 131,641 |
Futures Contracts | 113 |
Realized Net Gain (Loss) | 131,754 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 143,428 |
Futures Contracts | 36 |
Change in Unrealized Appreciation (Depreciation) | 143,464 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 288,368 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, and less than ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $145,076,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 13,150 | 8,106 |
Realized Net Gain (Loss) | 131,754 | (52,681) |
Change in Unrealized Appreciation (Depreciation) | 143,464 | 29,427 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 288,368 | (15,148) |
Distributions | ||
ETF Shares | (9,366) | (5,262) |
Institutional Shares | (1,795) | (2,732) |
Total Distributions | (11,161) | (7,994) |
Capital Share Transactions | ||
ETF Shares | 496,571 | 63,025 |
Institutional Shares | 73,727 | (40,708) |
Net Increase (Decrease) from Capital Share Transactions | 570,298 | 22,317 |
Total Increase (Decrease) | 847,505 | (825) |
Net Assets | ||
Beginning of Period | 390,448 | 391,273 |
End of Period | 1,237,953 | 390,448 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $91.76 | $99.51 | $119.05 | $100.96 | $90.64 |
Investment Operations | |||||
Net Investment Income1 | 1.998 | 1.868 | 1.912 | 1.905 | 1.736 |
Net Realized and Unrealized Gain (Loss) on Investments | 51.982 | (7.771) | (19.589) | 18.070 | 10.358 |
Total from Investment Operations | 53.980 | (5.903) | (17.677) | 19.975 | 12.094 |
Distributions | |||||
Dividends from Net Investment Income | (1.860) | (1.847) | (1.863) | (1.885) | (1.774) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.860) | (1.847) | (1.863) | (1.885) | (1.774) |
Net Asset Value, End of Period | $143.88 | $91.76 | $99.51 | $119.05 | $100.96 |
Total Return | 59.34% | -6.05% | -14.93% | 19.96% | 13.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,036 | $303 | $251 | $223 | $172 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.99% | 1.83% | 1.73% | 1.76% |
Portfolio Turnover Rate2 | 45% | 38% | 27% | 30% | 36% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $180.98 | $196.24 | $234.81 | $199.13 | $178.76 |
Investment Operations | |||||
Net Investment Income1 | 4.212 | 3.783 | 3.966 | 4.029 | 3.737 |
Net Realized and Unrealized Gain (Loss) on Investments | 102.428 | (15.303) | (38.670) | 35.618 | 20.356 |
Total from Investment Operations | 106.640 | (11.520) | (34.704) | 39.647 | 24.093 |
Distributions | |||||
Dividends from Net Investment Income | (3.800) | (3.740) | (3.866) | (3.967) | (3.723) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.800) | (3.740) | (3.866) | (3.967) | (3.723) |
Net Asset Value, End of Period | $283.82 | $180.98 | $196.24 | $234.81 | $199.13 |
Total Return | 59.46% | -5.97% | -14.88% | 20.10% | 13.55% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $202 | $88 | $140 | $151 | $146 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 2.04% | 1.90% | 1.85% | 1.88% |
Portfolio Turnover Rate2 | 45% | 38% | 27% | 30% | 36% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,237,806 | — | 3 | 1,237,809 |
Corporate Bonds | — | 1 | — | 1 |
Temporary Cash Investments | 27,202 | — | — | 27,202 |
Total | 1,265,008 | 1 | 3 | 1,265,012 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 56 | — | — | 56 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 144,045 |
Total Distributable Earnings (Loss) | (144,045) |
Amount ($000) | |
Undistributed Ordinary Income | 5,237 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (100,542) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 153,667 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 11,161 | 7,994 |
Long-Term Capital Gains | — | — |
Total | 11,161 | 7,994 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,111,345 |
Gross Unrealized Appreciation | 212,542 |
Gross Unrealized Depreciation | (58,875) |
Net Unrealized Appreciation (Depreciation) | 153,667 |
E. | During the year ended August 31, 2021, the fund purchased $1,324,498,000 of investment securities and sold $750,414,000 of investment securities, other than temporary cash investments. Purchases and sales include $853,920,000 and $379,962,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 880,493 | 6,600 | 101,511 | 1,250 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (383,922) | (2,700) | (38,486) | (475) | |
Net Increase (Decrease)—ETF Shares | 496,571 | 3,900 | 63,025 | 775 | |
Institutional Shares | |||||
Issued | 120,164 | 430 | 41,919 | 240 | |
Issued in Lieu of Cash Distributions | 1,795 | 8 | 2,732 | 14 | |
Redeemed | (48,232) | (210) | (85,359) | (483) | |
Net Increase (Decrease)—Institutional Shares | 73,727 | 228 | (40,708) | (229) |
G. | Management has determined that no material events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 2000 Growth Index Fund ETF Shares Net Asset Value | 35.67% | 16.61% | 14.79% | $39,732 |
Russell 2000 Growth Index Fund ETF Shares Market Price | 35.55 | 16.62 | 14.80 | 39,770 | |
![]() | Russell 2000 Growth Index | 35.61 | 16.58 | 14.78 | 39,702 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 2000 Growth Index Fund Institutional Shares | 35.77% | 16.71% | 14.91% | $20,077,897 | |
Russell 2000 Growth Index | 35.61 | 16.58 | 14.78 | 19,850,833 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 2000 Growth Index Fund ETF Shares Market Price | 35.55% | 115.73% | 297.70% |
Russell 2000 Growth Index Fund ETF Shares Net Asset Value | 35.67 | 115.57 | 297.32 |
Russell 2000 Growth Index | 35.61 | 115.29 | 297.02 |
Basic Materials | 3.0% |
Consumer Discretionary | 16.1 |
Consumer Staples | 3.2 |
Energy | 2.2 |
Financials | 5.1 |
Health Care | 28.6 |
Industrials | 15.0 |
Real Estate | 3.0 |
Technology | 20.3 |
Telecommunications | 2.4 |
Utilities | 1.1 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (2.2%) | |||
Money Market Fund (2.2%) | |||
4,5 | Vanguard Market Liquidity Fund, 0.068% (Cost $32,642) | 326,452 | 32,645 |
Total Investments (102.2%) (Cost $1,117,598) | 1,519,283 | ||
Other Assets and Liabilities—Net (-2.2%) | (32,473) | ||
Net Assets (100%) | 1,486,810 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $31,366,000. |
2 | Security value determined using significant unobservable inputs. |
3 | “Other” represents securities that are not classified by the fund’s benchmark index. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $32,692,000 was received for securities on loan, of which $32,645,000 is held in Vanguard Market Liquidity Fund and $47,000 is held in cash. |
CVR—Contingent Value Rights. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 33 | 3,747 | 33 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,084,956) | 1,486,638 |
Affiliated Issuers (Cost $32,642) | 32,645 |
Total Investments in Securities | 1,519,283 |
Investment in Vanguard | 49 |
Cash | 47 |
Cash Collateral Pledged—Futures Contracts | 155 |
Receivables for Investment Securities Sold | 1,509 |
Receivables for Accrued Income | 378 |
Variation Margin Receivable—Futures Contracts | 5 |
Total Assets | 1,521,426 |
Liabilities | |
Due to Custodian | 1,670 |
Payables for Investment Securities Purchased | 10 |
Collateral for Securities on Loan | 32,692 |
Payables for Capital Shares Redeemed | 173 |
Payables to Vanguard | 71 |
Total Liabilities | 34,616 |
Net Assets | 1,486,810 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 1,232,334 |
Total Distributable Earnings (Loss) | 254,476 |
Net Assets | 1,486,810 |
ETF Shares—Net Assets | |
Applicable to 3,300,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 734,722 |
Net Asset Value Per Share—ETF Shares | $222.64 |
Institutional Shares—Net Assets | |
Applicable to 1,773,133 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 752,088 |
Net Asset Value Per Share—Institutional Shares | $424.16 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,214 |
Interest1 | 4 |
Securities Lending—Net | 1,109 |
Total Income | 7,327 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 198 |
Management and Administrative—ETF Shares | 728 |
Management and Administrative—Institutional Shares | 368 |
Marketing and Distribution—ETF Shares | 20 |
Marketing and Distribution—Institutional Shares | 20 |
Custodian Fees | 86 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 31 |
Shareholders’ Reports—Institutional Shares | 6 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,486 |
Net Investment Income | 5,841 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 120,100 |
Futures Contracts | 321 |
Realized Net Gain (Loss) | 120,421 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 203,995 |
Futures Contracts | 35 |
Change in Unrealized Appreciation (Depreciation) | 204,030 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 330,292 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $91,628,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 5,841 | 6,415 |
Realized Net Gain (Loss) | 120,421 | (588) |
Change in Unrealized Appreciation (Depreciation) | 204,030 | 128,519 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 330,292 | 134,346 |
Distributions | ||
ETF Shares | (2,369) | (2,623) |
Institutional Shares | (3,418) | (4,011) |
Total Distributions | (5,787) | (6,634) |
Capital Share Transactions | ||
ETF Shares | 230,394 | 19,622 |
Institutional Shares | 61,405 | (50,074) |
Net Increase (Decrease) from Capital Share Transactions | 291,799 | (30,452) |
Total Increase (Decrease) | 616,304 | 97,260 |
Net Assets | ||
Beginning of Period | 870,506 | 773,246 |
End of Period | 1,486,810 | 870,506 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $164.83 | $141.63 | $160.12 | $123.26 | $106.98 |
Investment Operations | |||||
Net Investment Income1 | .839 | 1.097 | .971 | .895 | .961 |
Net Realized and Unrealized Gain (Loss) on Investments | 57.852 | 23.237 | (18.527) | 36.791 | 16.455 |
Total from Investment Operations | 58.691 | 24.334 | (17.556) | 37.686 | 17.416 |
Distributions | |||||
Dividends from Net Investment Income | (.881) | (1.134) | (.934) | (.826) | (1.136) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.881) | (1.134) | (.934) | (.826) | (1.136) |
Net Asset Value, End of Period | $222.64 | $164.83 | $141.63 | $160.12 | $123.26 |
Total Return | 35.67% | 17.32% | -10.97% | 30.69% | 16.39% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $735 | $371 | $301 | $328 | $194 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.40% | 0.75% | 0.68% | 0.64% | 0.83% |
Portfolio Turnover Rate2 | 47% | 38% | 28% | 35% | 34% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $314.01 | $269.76 | $305.04 | $234.80 | $203.79 |
Investment Operations | |||||
Net Investment Income1 | 1.912 | 2.275 | 2.021 | 2.026 | 2.102 |
Net Realized and Unrealized Gain (Loss) on Investments | 110.162 | 44.269 | (35.267) | 70.080 | 31.338 |
Total from Investment Operations | 112.074 | 46.544 | (33.246) | 72.106 | 33.440 |
Distributions | |||||
Dividends from Net Investment Income | (1.924) | (2.294) | (2.034) | (1.866) | (2.430) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.924) | (2.294) | (2.034) | (1.866) | (2.430) |
Net Asset Value, End of Period | $424.16 | $314.01 | $269.76 | $305.04 | $234.80 |
Total Return | 35.77% | 17.42% | -10.91% | 30.85% | 16.53% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $752 | $500 | $472 | $545 | $370 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.48% | 0.82% | 0.75% | 0.76% | 0.95% |
Portfolio Turnover Rate2 | 47% | 38% | 28% | 35% | 34% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,486,587 | — | 42 | 1,486,629 |
Corporate Bonds | — | 9 | — | 9 |
Temporary Cash Investments | 32,645 | — | — | 32,645 |
Total | 1,519,232 | 9 | 42 | 1,519,283 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 33 | — | — | 33 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 91,597 |
Total Distributable Earnings (Loss) | (91,597) |
Amount ($000) | |
Undistributed Ordinary Income | 2,050 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (147,811) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 400,237 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 5,787 | 6,634 |
Long-Term Capital Gains | — | — |
Total | 5,787 | 6,634 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,119,046 |
Gross Unrealized Appreciation | 487,984 |
Gross Unrealized Depreciation | (87,747) |
Net Unrealized Appreciation (Depreciation) | 400,237 |
E. | During the year ended August 31, 2021, the fund purchased $1,062,826,000 of investment securities and sold $769,411,000 of investment securities, other than temporary cash investments. Purchases and sales include $388,427,000 and $163,387,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 399,369 | 1,800 | 172,356 | 1,175 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (168,975) | (750) | (152,734) | (1,050) | |
Net Increase (Decrease)—ETF Shares | 230,394 | 1,050 | 19,622 | 125 | |
Institutional Shares | |||||
Issued | 170,590 | 475 | 152,291 | 545 | |
Issued in Lieu of Cash Distributions | 3,267 | 9 | 4,001 | 15 | |
Redeemed | (112,452) | (302) | (206,366) | (720) | |
Net Increase (Decrease)—Institutional Shares | 61,405 | 182 | (50,074) | (160) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Fund | ($000) |
Russell 2000 Index Fund | 33,803 |
Russell 2000 Value Index Fund | 8,852 |
Russell 2000 Growth Index Fund | 4,755 |
Fund | ($000) |
Russell 2000 Index Fund | 7,104 |
Russell 2000 Value Index Fund | 1,935 |
Russell 2000 Growth Index Fund | 361 |
Fund | Percentage |
Russell 2000 Index Fund | 67.5% |
Russell 2000 Value Index Fund | 69.9 |
Russell 2000 Growth Index Fund | 80.3 |
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Performance Summary | 4 |
Financial Statements | 7 |
Trustees Approve Advisory Arrangement | 48 |
Liquidity Risk Management | 50 |
• | Vanguard Russell 3000 Index Fund, which represents the broad U.S. stock market, returned 32.90% for ETF Shares (based on net asset value) and 32.94% for Institutional Shares for the 12 months ended August 31, 2021. The fund’s returns closely tracked its target index. |
• | The global economy rebounded more quickly than many expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that were more successful in containing the virus generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Stocks rose broadly during the 12 months under review following their sharp downturn at the start of the pandemic. |
• | Mid- and small-capitalization stocks outperformed their large-cap counterparts for the period, and value stocks surpassed growth. |
• | Performance was in double digits across all industry sectors. Technology, the fund’s largest sector, increased more than 36% and contributed most to returns. Financial and industrial stocks were also top contributors. |
• | The relative laggards by sector were utilities, basic materials, telecommunications, and consumer staples, though each had returns of more than 14%. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 3000 Index Fund | |||
ETF Shares | $1,000.00 | $1,172.00 | $0.55 |
Institutional Shares | 1,000.00 | 1,172.10 | 0.44 |
Based on Hypothetical 5% Yearly Return | |||
Russell 3000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Year | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Russell 3000 Index Fund ETF Shares Net Asset Value | 32.90% | 17.84% | 16.04% | $44,263 |
Russell 3000 Index Fund ETF Shares Market Price | 32.87 | 17.84 | 16.04 | 44,265 | |
![]() | Russell 3000 Index | 33.04 | 17.97 | 16.20 | 44,872 |
![]() | Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 44,721 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Russell 3000 Index Fund Institutional Shares | 32.94% | 17.89% | 16.11% | $22,263,384 | |
Russell 3000 Index | 33.04 | 17.97 | 16.20 | 22,435,790 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 33.32 | 17.95 | 16.16 | 22,360,680 |
One Year | Five Years | Ten Years | |
Russell 3000 Index Fund ETF Shares Market Price | 32.87% | 127.25% | 342.65% |
Russell 3000 Index Fund ETF Shares Net Asset Value | 32.90 | 127.21 | 342.63 |
Russell 3000 Index | 33.04 | 128.45 | 348.72 |
Basic Materials | 1.7% |
Consumer Discretionary | 15.7 |
Consumer Staples | 4.6 |
Energy | 2.5 |
Financials | 11.2 |
Health Care | 13.2 |
Industrials | 13.6 |
Real Estate | 3.5 |
Technology | 28.2 |
Telecommunications | 3.1 |
Utilities | 2.7 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
5,6 | Vanguard Market Liquidity Fund, 0.068% (Cost $7,064) | 70,643 | 7,064 |
Total Investments (99.9%) (Cost $1,406,232) | 2,276,241 | ||
Other Assets and Liabilities—Net (0.1%) | 1,663 | ||
Net Assets (100%) | 2,277,904 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $644,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2021, the aggregate value was $200,000, representing 0.0% of net assets. |
4 | “Other” represents securities that are not classified by the fund’s benchmark index. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
6 | Collateral of $684,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 12 | 1,363 | 9 |
E-mini S&P 500 Index | September 2021 | 34 | 7,685 | 289 |
298 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,399,168) | 2,269,177 |
Affiliated Issuers (Cost $7,064) | 7,064 |
Total Investments in Securities | 2,276,241 |
Investment in Vanguard | 75 |
Cash Collateral Pledged—Futures Contracts | 473 |
Receivables for Investment Securities Sold | 496 |
Receivables for Accrued Income | 2,527 |
Total Assets | 2,279,812 |
Liabilities | |
Due to Custodian | 495 |
Payables for Investment Securities Purchased | 612 |
Collateral for Securities on Loan | 684 |
Payables for Capital Shares Redeemed | 23 |
Payables to Vanguard | 89 |
Variation Margin Payable—Futures Contracts | 5 |
Total Liabilities | 1,908 |
Net Assets | 2,277,904 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 1,439,852 |
Total Distributable Earnings (Loss) | 838,052 |
Net Assets | 2,277,904 |
ETF Shares—Net Assets | |
Applicable to 5,400,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,123,915 |
Net Asset Value Per Share—ETF Shares | $208.13 |
Institutional Shares—Net Assets | |
Applicable to 2,864,477 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,153,989 |
Net Asset Value Per Share—Institutional Shares | $402.86 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 28,354 |
Interest1 | 6 |
Securities Lending—Net | 95 |
Total Income | 28,455 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 301 |
Management and Administrative—ETF Shares | 691 |
Management and Administrative—Institutional Shares | 636 |
Marketing and Distribution—ETF Shares | 39 |
Marketing and Distribution—Institutional Shares | 32 |
Custodian Fees | 49 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 11 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,789 |
Net Investment Income | 26,666 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 174,607 |
Futures Contracts | 1,722 |
Realized Net Gain (Loss) | 176,329 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 371,679 |
Futures Contracts | 58 |
Change in Unrealized Appreciation (Depreciation) | 371,737 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 574,732 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, less than $1,000, and less than ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $176,199,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 26,666 | 25,428 |
Realized Net Gain (Loss) | 176,329 | 64,214 |
Change in Unrealized Appreciation (Depreciation) | 371,737 | 227,652 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 574,732 | 317,294 |
Distributions | ||
ETF Shares | (11,774) | (9,023) |
Institutional Shares | (14,477) | (16,339) |
Total Distributions | (26,251) | (25,362) |
Capital Share Transactions | ||
ETF Shares | 160,316 | 134,055 |
Institutional Shares | (159,141) | (31,309) |
Net Increase (Decrease) from Capital Share Transactions | 1,175 | 102,746 |
Total Increase (Decrease) | 549,656 | 394,678 |
Net Assets | ||
Beginning of Period | 1,728,248 | 1,333,570 |
End of Period | 2,277,904 | 1,728,248 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $158.71 | $133.26 | $133.98 | $113.52 | $99.77 |
Investment Operations | |||||
Net Investment Income1 | 2.385 | 2.416 | 2.312 | 2.099 | 1.980 |
Net Realized and Unrealized Gain (Loss) on Investments | 49.386 | 25.494 | (.730) | 20.442 | 13.722 |
Total from Investment Operations | 51.771 | 27.910 | 1.582 | 22.541 | 15.702 |
Distributions | |||||
Dividends from Net Investment Income | (2.351) | (2.460) | (2.302) | (2.081) | (1.952) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.351) | (2.460) | (2.302) | (2.081) | (1.952) |
Net Asset Value, End of Period | $208.13 | $158.71 | $133.26 | $133.98 | $113.52 |
Total Return | 32.90% | 21.31% | 1.25% | 20.07% | 15.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,124 | $710 | $463 | $412 | $343 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.74% | 1.79% | 1.70% | 1.85% |
Portfolio Turnover Rate2 | 10% | 8% | 10% | 14% | 16% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $307.19 | $257.87 | $259.33 | $219.72 | $193.10 |
Investment Operations | |||||
Net Investment Income1 | 4.689 | 4.739 | 4.499 | 4.220 | 3.952 |
Net Realized and Unrealized Gain (Loss) on Investments | 95.580 | 49.347 | (1.394) | 39.578 | 26.583 |
Total from Investment Operations | 100.269 | 54.086 | 3.105 | 43.798 | 30.535 |
Distributions | |||||
Dividends from Net Investment Income | (4.599) | (4.766) | (4.565) | (4.188) | (3.915) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.599) | (4.766) | (4.565) | (4.188) | (3.915) |
Net Asset Value, End of Period | $402.86 | $307.19 | $257.87 | $259.33 | $219.72 |
Total Return | 32.94% | 21.38% | 1.27% | 20.15% | 16.00% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,154 | $1,018 | $871 | $879 | $755 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.34% | 1.76% | 1.81% | 1.77% | 1.92% |
Portfolio Turnover Rate2 | 10% | 8% | 10% | 14% | 16% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,268,682 | — | 495 | 2,269,177 |
Temporary Cash Investments | 7,064 | — | — | 7,064 |
Total | 2,275,746 | — | 495 | 2,276,241 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 298 | — | — | 298 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 176,151 |
Total Distributable Earnings (Loss) | (176,151) |
Amount ($000) | |
Undistributed Ordinary Income | 5,771 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (32,032) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 864,313 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 26,251 | 25,362 |
Long-Term Capital Gains | — | — |
Total | 26,251 | 25,362 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,411,929 |
Gross Unrealized Appreciation | 943,849 |
Gross Unrealized Depreciation | (79,536) |
Net Unrealized Appreciation (Depreciation) | 864,313 |
E. | During the year ended August 31, 2021, the fund purchased $513,727,000 of investment securities and sold $514,484,000 of investment securities, other than temporary cash investments. Purchases and sales include $190,508,000 and $316,898,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 478,092 | 2,675 | 303,642 | 2,225 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (317,776) | (1,750) | (169,587) | (1,225) | |
Net Increase (Decrease)—ETF Shares | 160,316 | 925 | 134,055 | 1,000 |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 264,939 | 764 | 166,350 | 666 | |
Issued in Lieu of Cash Distributions | 12,831 | 38 | 15,624 | 62 | |
Redeemed | (436,911) | (1,252) | (213,283) | (790) | |
Net Increase (Decrease)—Institutional Shares | (159,141) | (450) | (31,309) | (62) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Vanguard Short-Term Treasury Index Fund |
Vanguard Intermediate-Term Treasury Index Fund |
Vanguard Long-Term Treasury Index Fund |
Vanguard Short-Term Corporate Bond Index Fund |
Vanguard Intermediate-Term Corporate Bond Index Fund |
Vanguard Long-Term Corporate Bond Index Fund |
Vanguard Mortgage-Backed Securities Index Fund |
1 | |
2 | |
5 | |
23 | |
41 | |
58 | |
118 | |
173 | |
236 | |
260 | |
262 |
• | For the 12 months ended August 31, 2021, returns for the Vanguard Sector Bond Index Funds ranged from about –7% for all share classes of Vanguard Long-Term Treasury Index Fund to more than 4% for ETF Shares of Vanguard Long-Term Corporate Bond Index Fund. |
• | During the fiscal year, the global economy rebounded faster from the COVID-19 pandemic than many had expected. Countries that were more successful in containing the virus generally fared better economically. Swift and extensive fiscal and monetary support from policymakers also were keys to the rebound. |
• | Bond returns were dampened by rising bond yields across much of the developed world, notably in the United States. |
• | The yield of the 30-year U.S. Treasury bond rose from 1.47% to 1.93%. Corporate securities generally outperformed both Treasuries and mortgage-backed securities. |
• | By maturity, longer-term corporates outpaced their shorter-term counterparts. By credit quality, lower-quality bonds outperformed high-quality issues. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,001.00 | $0.15 |
AdmiralTM Shares | 1,000.00 | 1,000.60 | 0.35 |
Institutional Shares | 1,000.00 | 1,000.90 | 0.25 |
Intermediate-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,008.70 | $0.15 |
Admiral Shares | 1,000.00 | 1,008.60 | 0.35 |
Institutional Shares | 1,000.00 | 1,008.80 | 0.25 |
Long-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,046.70 | $0.15 |
Admiral Shares | 1,000.00 | 1,046.30 | 0.36 |
Institutional Shares | 1,000.00 | 1,046.50 | 0.26 |
Short-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,007.20 | $0.15 |
Admiral Shares | 1,000.00 | 1,007.30 | 0.35 |
Institutional Shares | 1,000.00 | 1,007.10 | 0.25 |
Intermediate-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,021.40 | $0.15 |
Admiral Shares | 1,000.00 | 1,021.20 | 0.36 |
Institutional Shares | 1,000.00 | 1,021.30 | 0.25 |
Long-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,057.50 | $0.16 |
Admiral Shares | 1,000.00 | 1,057.50 | 0.36 |
Institutional Shares | 1,000.00 | 1,057.40 | 0.26 |
Mortgage-Backed Securities Index Fund | |||
ETF Shares | $1,000.00 | $1,000.40 | $0.15 |
Admiral Shares | 1,000.00 | 1,000.30 | 0.35 |
Institutional Shares | 1,000.00 | 1,000.10 | 0.25 |
Six Months Ended August 31, 2021 | |||
Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Intermediate-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Long-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Short-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Intermediate-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Long-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Mortgage-Backed Securities Index Fund | |||
ETF Shares | $1,000.00 | $1,025.05 | $0.15 |
Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Short-Term Treasury Index Fund ETF Shares Net Asset Value | 0.11% | 1.64% | 1.10% | $11,160 |
Short-Term Treasury Index Fund ETF Shares Market Price | 0.11 | 1.63 | 1.10 | 11,153 | |
![]() | Spliced Bloomberg U.S. Treasury 1–3 Year Index | 0.14 | 1.69 | 1.18 | 11,245 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Short-Term Treasury Index Fund Admiral Shares | 0.08% | 1.62% | 1.09% | $11,148 | |
Spliced Bloomberg U.S. Treasury 1–3 Year Index | 0.14 | 1.69 | 1.18 | 11,245 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Short-Term Treasury Index Fund Institutional Shares | 0.11% | 1.65% | 1.12% | $5,589,864 | |
Spliced Bloomberg U.S. Treasury 1–3 Year Index | 0.14 | 1.69 | 1.18 | 5,622,556 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Short-Term Treasury Index Fund ETF Shares Market Price | 0.11% | 8.43% | 11.53% |
Short-Term Treasury Index Fund ETF Shares Net Asset Value | 0.11 | 8.46 | 11.60 |
Spliced Bloomberg U.S. Treasury 1–3 Year Index | 0.14 | 8.74 | 12.45 |
Under 1 Year | 0.2% |
1 - 2 Years | 52.6 |
2 - 3 Years | 44.6 |
3 - 4 Years | 2.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.8%) | ||||||
U.S. Government Securities (99.8%) | ||||||
United States Treasury Note/Bond | 8.000% | 11/15/21 | 21,340 | 21,660 | ||
United States Treasury Note/Bond | 1.750% | 4/30/22 | 2 | 2 | ||
United States Treasury Note/Bond | 7.250% | 8/15/22 | 17,525 | 18,702 | ||
United States Treasury Note/Bond | 0.125% | 9/30/22 | 291,770 | 291,861 | ||
United States Treasury Note/Bond | 1.750% | 9/30/22 | 61,435 | 62,529 | ||
United States Treasury Note/Bond | 1.375% | 10/15/22 | 224,943 | 228,141 | ||
United States Treasury Note/Bond | 0.125% | 10/31/22 | 297,210 | 297,256 | ||
United States Treasury Note/Bond | 1.875% | 10/31/22 | 145,149 | 148,143 | ||
United States Treasury Note/Bond | 2.000% | 10/31/22 | 57,966 | 59,234 | ||
United States Treasury Note/Bond | 1.625% | 11/15/22 | 385,310 | 392,294 | ||
United States Treasury Note/Bond | 0.125% | 11/30/22 | 341,465 | 341,518 | ||
United States Treasury Note/Bond | 2.000% | 11/30/22 | 292,660 | 299,519 | ||
United States Treasury Note/Bond | 1.625% | 12/15/22 | 258,335 | 263,340 | ||
United States Treasury Note/Bond | 0.125% | 12/31/22 | 280,205 | 280,205 | ||
United States Treasury Note/Bond | 2.125% | 12/31/22 | 144,640 | 148,482 | ||
United States Treasury Note/Bond | 1.500% | 1/15/23 | 146,770 | 149,522 | ||
United States Treasury Note/Bond | 0.125% | 1/31/23 | 248,575 | 248,536 | ||
United States Treasury Note/Bond | 1.750% | 1/31/23 | 125,960 | 128,833 | ||
United States Treasury Note/Bond | 2.375% | 1/31/23 | 34,680 | 35,780 | ||
United States Treasury Note/Bond | 1.375% | 2/15/23 | 220,835 | 224,803 | ||
United States Treasury Note/Bond | 2.000% | 2/15/23 | 266,005 | 273,195 | ||
United States Treasury Note/Bond | 0.125% | 2/28/23 | 215,105 | 215,038 | ||
United States Treasury Note/Bond | 1.500% | 2/28/23 | 130,902 | 133,561 | ||
United States Treasury Note/Bond | 2.625% | 2/28/23 | 148,900 | 154,437 | ||
United States Treasury Note/Bond | 0.500% | 3/15/23 | 225,435 | 226,668 | ||
United States Treasury Note/Bond | 0.125% | 3/31/23 | 188,640 | 188,552 | ||
United States Treasury Note/Bond | 1.500% | 3/31/23 | 222,025 | 226,743 | ||
United States Treasury Note/Bond | 2.500% | 3/31/23 | 205,995 | 213,623 | ||
United States Treasury Note/Bond | 0.250% | 4/15/23 | 301,820 | 302,292 | ||
United States Treasury Note/Bond | 0.125% | 4/30/23 | 220,215 | 220,077 | ||
United States Treasury Note/Bond | 1.625% | 4/30/23 | 47,215 | 48,366 | ||
United States Treasury Note/Bond | 2.750% | 4/30/23 | 55,200 | 57,572 | ||
United States Treasury Note/Bond | 0.125% | 5/15/23 | 271,505 | 271,335 | ||
United States Treasury Note/Bond | 1.750% | 5/15/23 | 155,548 | 159,753 | ||
United States Treasury Note/Bond | 0.125% | 5/31/23 | 188,540 | 188,393 | ||
United States Treasury Note/Bond | 1.625% | 5/31/23 | 55,495 | 56,900 | ||
United States Treasury Note/Bond | 2.750% | 5/31/23 | 91,890 | 96,025 | ||
United States Treasury Note/Bond | 0.250% | 6/15/23 | 270,820 | 271,159 | ||
United States Treasury Note/Bond | 0.125% | 6/30/23 | 188,810 | 188,663 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 1.375% | 6/30/23 | 164,400 | 167,996 | ||
United States Treasury Note/Bond | 2.625% | 6/30/23 | 56,910 | 59,444 | ||
United States Treasury Note/Bond | 0.125% | 7/15/23 | 289,485 | 289,168 | ||
United States Treasury Note/Bond | 0.125% | 7/31/23 | 181,860 | 181,661 | ||
United States Treasury Note/Bond | 1.250% | 7/31/23 | 94,747 | 96,657 | ||
United States Treasury Note/Bond | 2.750% | 7/31/23 | 66,637 | 69,886 | ||
United States Treasury Note/Bond | 0.125% | 8/15/23 | 267,415 | 267,039 | ||
United States Treasury Note/Bond | 2.500% | 8/15/23 | 269,720 | 281,773 | ||
United States Treasury Note/Bond | 6.250% | 8/15/23 | 10,525 | 11,758 | ||
United States Treasury Note/Bond | 0.125% | 8/31/23 | 83,325 | 83,195 | ||
United States Treasury Note/Bond | 1.375% | 8/31/23 | 216,070 | 221,067 | ||
United States Treasury Note/Bond | 2.750% | 8/31/23 | 66,499 | 69,866 | ||
United States Treasury Note/Bond | 0.125% | 9/15/23 | 280,125 | 279,600 | ||
United States Treasury Note/Bond | 1.375% | 9/30/23 | 219,725 | 224,978 | ||
United States Treasury Note/Bond | 2.875% | 9/30/23 | 86,630 | 91,381 | ||
United States Treasury Note/Bond | 0.125% | 10/15/23 | 291,280 | 290,643 | ||
United States Treasury Note/Bond | 1.625% | 10/31/23 | 185,205 | 190,761 | ||
United States Treasury Note/Bond | 2.875% | 10/31/23 | 217,640 | 230,018 | ||
United States Treasury Note/Bond | 0.250% | 11/15/23 | 351,185 | 351,240 | ||
United States Treasury Note/Bond | 2.750% | 11/15/23 | 245,590 | 259,097 | ||
United States Treasury Note/Bond | 2.125% | 11/30/23 | 74,495 | 77,615 | ||
United States Treasury Note/Bond | 2.875% | 11/30/23 | 75,770 | 80,222 | ||
United States Treasury Note/Bond | 0.125% | 12/15/23 | 324,375 | 323,361 | ||
United States Treasury Note/Bond | 2.250% | 12/31/23 | 46,434 | 48,567 | ||
United States Treasury Note/Bond | 2.625% | 12/31/23 | 77,220 | 81,431 | ||
United States Treasury Note/Bond | 0.125% | 1/15/24 | 313,225 | 312,050 | ||
United States Treasury Note/Bond | 2.250% | 1/31/24 | 160,343 | 167,934 | ||
United States Treasury Note/Bond | 2.500% | 1/31/24 | 91,190 | 96,035 | ||
United States Treasury Note/Bond | 0.125% | 2/15/24 | 395,205 | 393,661 | ||
United States Treasury Note/Bond | 2.750% | 2/15/24 | 300,175 | 318,232 | ||
United States Treasury Note/Bond | 2.125% | 2/29/24 | 77,314 | 80,829 | ||
United States Treasury Note/Bond | 2.375% | 2/29/24 | 74,195 | 78,021 | ||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 261,360 | 260,952 | ||
United States Treasury Note/Bond | 2.125% | 3/31/24 | 219,453 | 229,637 | ||
United States Treasury Note/Bond | 0.375% | 4/15/24 | 377,815 | 378,228 | ||
United States Treasury Note/Bond | 2.000% | 4/30/24 | 55,170 | 57,610 | ||
United States Treasury Note/Bond | 2.250% | 4/30/24 | 144,546 | 151,864 | ||
United States Treasury Note/Bond | 0.250% | 5/15/24 | 372,355 | 371,308 | ||
United States Treasury Note/Bond | 2.500% | 5/15/24 | 257,534 | 272,503 | ||
United States Treasury Note/Bond | 2.000% | 5/31/24 | 172,845 | 180,596 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 334,685 | 333,639 | ||
United States Treasury Note/Bond | 1.750% | 6/30/24 | 129,485 | 134,543 | ||
United States Treasury Note/Bond | 2.000% | 6/30/24 | 55,347 | 57,890 | ||
United States Treasury Note/Bond | 0.375% | 7/15/24 | 324,915 | 324,813 | ||
United States Treasury Note/Bond | 1.750% | 7/31/24 | 62,540 | 65,032 | ||
United States Treasury Note/Bond | 2.125% | 7/31/24 | 61,748 | 64,864 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 502,745 | 502,352 | ||
United States Treasury Note/Bond | 2.375% | 8/15/24 | 178,772 | 189,219 | ||
United States Treasury Note/Bond | 1.250% | 8/31/24 | 112,505 | 115,353 | ||
United States Treasury Note/Bond | 1.875% | 8/31/24 | 82,905 | 86,545 | ||
United States Treasury Note/Bond | 1.500% | 9/30/24 | 123,554 | 127,647 | ||
United States Treasury Note/Bond | 2.125% | 9/30/24 | 49,501 | 52,077 | ||
United States Treasury Note/Bond | 2.250% | 10/31/24 | 54,050 | 57,124 | ||
Total U.S. Government and Agency Obligations (Cost $16,900,893) | 16,921,694 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $25,593) | 0.068% | 255,931 | 25,593 | ||
Total Investments (99.9%) (Cost $16,926,486) | 16,947,287 | |||||
Other Assets and Liabilities—Net (0.1%) | 14,396 | |||||
Net Assets (100%) | 16,961,683 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $16,900,893) | 16,921,694 |
Affiliated Issuers (Cost $25,593) | 25,593 |
Total Investments in Securities | 16,947,287 |
Investment in Vanguard | 576 |
Receivables for Investment Securities Sold | 900,315 |
Receivables for Accrued Income | 40,100 |
Receivables for Capital Shares Issued | 5,491 |
Total Assets | 17,893,769 |
Liabilities | |
Payables for Investment Securities Purchased | 919,844 |
Payables for Capital Shares Redeemed | 11,940 |
Payables for Distributions | 193 |
Payables to Vanguard | 109 |
Total Liabilities | 932,086 |
Net Assets | 16,961,683 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 16,889,397 |
Total Distributable Earnings (Loss) | 72,286 |
Net Assets | 16,961,683 |
ETF Shares—Net Assets | |
Applicable to 217,799,315 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,393,857 |
Net Asset Value Per Share—ETF Shares | $61.50 |
Admiral Shares—Net Assets | |
Applicable to 118,475,879 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,429,985 |
Net Asset Value Per Share—Admiral Shares | $20.51 |
Institutional Shares—Net Assets | |
Applicable to 44,158,463 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,137,841 |
Net Asset Value Per Share—Institutional Shares | $25.77 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 75,506 |
Total Income | 75,506 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 345 |
Management and Administrative—ETF Shares | 3,499 |
Management and Administrative—Admiral Shares | 1,614 |
Management and Administrative—Institutional Shares | 541 |
Marketing and Distribution—ETF Shares | 479 |
Marketing and Distribution—Admiral Shares | 118 |
Marketing and Distribution—Institutional Shares | 38 |
Custodian Fees | 23 |
Auditing Fees | 54 |
Shareholders’ Reports—ETF Shares | 130 |
Shareholders’ Reports—Admiral Shares | 13 |
Shareholders’ Reports—Institutional Shares | 8 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 6,867 |
Net Investment Income | 68,639 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | 81,417 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (133,475) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,581 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $20,000, $1,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $11,839,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 68,639 | 157,906 |
Realized Net Gain (Loss) | 81,417 | 116,819 |
Change in Unrealized Appreciation (Depreciation) | (133,475) | 45,925 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,581 | 320,650 |
Distributions | ||
ETF Shares | (110,961) | (112,729) |
Admiral Shares | (27,852) | (31,855) |
Institutional Shares | (12,476) | (16,661) |
Total Distributions | (151,289) | (161,245) |
Capital Share Transactions | ||
ETF Shares | 4,351,856 | 3,696,728 |
Admiral Shares | (291,770) | 1,119,921 |
Institutional Shares | 44,764 | 111,617 |
Net Increase (Decrease) from Capital Share Transactions | 4,104,850 | 4,928,266 |
Total Increase (Decrease) | 3,970,142 | 5,087,671 |
Net Assets | ||
Beginning of Period | 12,991,541 | 7,903,870 |
End of Period | 16,961,683 | 12,991,541 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $62.13 | $61.12 | $59.89 | $60.86 | $61.14 |
Investment Operations | |||||
Net Investment Income1 | .288 | .956 | 1.430 | .965 | .614 |
Net Realized and Unrealized Gain (Loss) on Investments | (.220) | 1.115 | 1.165 | (1.062) | (.311) |
Total from Investment Operations | .068 | 2.071 | 2.595 | (.097) | .303 |
Distributions | |||||
Dividends from Net Investment Income | (.325) | (1.061) | (1.365) | (.873) | (.573) |
Distributions from Realized Capital Gains | (.373) | — | — | — | (.010) |
Total Distributions | (.698) | (1.061) | (1.365) | (.873) | (.583) |
Net Asset Value, End of Period | $61.50 | $62.13 | $61.12 | $59.89 | $60.86 |
Total Return | 0.11% | 3.43% | 4.39% | -0.15% | 0.50% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,394 | $9,140 | $5,334 | $3,080 | $1,832 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.47% | 1.55% | 2.37% | 1.61% | 1.01% |
Portfolio Turnover Rate2 | 66% | 67% | 55% | 67% | 60% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $20.71 | $20.35 | $19.95 | $20.29 | $20.38 |
Investment Operations | |||||
Net Investment Income1 | .095 | .312 | .472 | .324 | .202 |
Net Realized and Unrealized Gain (Loss) on Investments | (.078) | .375 | .384 | (.358) | (.096) |
Total from Investment Operations | .017 | .687 | .856 | (.034) | .106 |
Distributions | |||||
Dividends from Net Investment Income | (.093) | (.327) | (.456) | (.306) | (.193) |
Distributions from Realized Capital Gains | (.124) | — | — | — | (.003) |
Total Distributions | (.217) | (.327) | (.456) | (.306) | (.196) |
Net Asset Value, End of Period | $20.51 | $20.71 | $20.35 | $19.95 | $20.29 |
Total Return2 | 0.08% | 3.41% | 4.34% | -0.16% | 0.53% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,430 | $2,748 | $1,596 | $929 | $507 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.46% | 1.52% | 2.35% | 1.61% | 1.01% |
Portfolio Turnover Rate3 | 66% | 67% | 55% | 67% | 60% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $26.02 | $25.57 | $25.06 | $25.49 | $25.60 |
Investment Operations | |||||
Net Investment Income1 | .120 | .421 | .598 | .425 | .260 |
Net Realized and Unrealized Gain (Loss) on Investments | (.092) | .445 | .490 | (.467) | (.117) |
Total from Investment Operations | .028 | .866 | 1.088 | (.042) | .143 |
Distributions | |||||
Dividends from Net Investment Income | (.122) | (.416) | (.578) | (.388) | (.249) |
Distributions from Realized Capital Gains | (.156) | — | — | — | (.004) |
Total Distributions | (.278) | (.416) | (.578) | (.388) | (.253) |
Net Asset Value, End of Period | $25.77 | $26.02 | $25.57 | $25.06 | $25.49 |
Total Return | 0.11% | 3.42% | 4.40% | -0.16% | 0.56% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,138 | $1,104 | $974 | $508 | $208 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 0.47% | 1.63% | 2.37% | 1.63% | 1.03% |
Portfolio Turnover Rate2 | 66% | 67% | 55% | 67% | 60% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 16,921,694 | — | 16,921,694 |
Temporary Cash Investments | 25,593 | — | — | 25,593 |
Total | 25,593 | 16,921,694 | — | 16,947,287 |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 17,143 |
Total Distributable Earnings (Loss) | (17,143) |
Amount ($000) | |
Undistributed Ordinary Income | 10,506 |
Undistributed Long-Term Gains | 41,470 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 20,503 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 118,534 | 161,245 |
Long-Term Capital Gains | 32,755 | — |
Total | 151,289 | 161,245 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 16,926,784 |
Gross Unrealized Appreciation | 28,683 |
Gross Unrealized Depreciation | (8,180) |
Net Unrealized Appreciation (Depreciation) | 20,503 |
E. | During the year ended August 31, 2021, the fund purchased $15,569,720,000 of investment securities and sold $11,439,302,000 of investment securities, other than temporary cash investments. Purchases and sales include $5,913,570,000 and $1,619,097,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 5,990,667 | 97,261 | 4,979,354 | 80,688 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,638,811) | (26,575) | (1,282,626) | (20,850) | |
Net Increase (Decrease)—ETF Shares | 4,351,856 | 70,686 | 3,696,728 | 59,838 | |
Admiral Shares | |||||
Issued | 989,015 | 48,049 | 2,327,381 | 112,804 | |
Issued in Lieu of Cash Distributions | 22,569 | 1,097 | 24,666 | 1,202 | |
Redeemed | (1,303,354) | (63,333) | (1,232,126) | (59,776) | |
Net Increase (Decrease)—Admiral Shares | (291,770) | (14,187) | 1,119,921 | 54,230 | |
Institutional Shares | |||||
Issued | 632,092 | 24,453 | 587,617 | 22,789 | |
Issued in Lieu of Cash Distributions | 10,629 | 412 | 14,867 | 578 | |
Redeemed | (597,957) | (23,156) | (490,867) | (19,004) | |
Net Increase (Decrease)—Institutional Shares | 44,764 | 1,709 | 111,617 | 4,363 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Intermediate-Term Treasury Index Fund ETF Shares Net Asset Value | -1.26% | 2.47% | 2.41% | $12,683 |
Intermediate-Term Treasury Index Fund ETF Shares Market Price | -1.27 | 2.46 | 2.39 | 12,665 | |
![]() | Spliced Bloomberg Barclays U.S.Treasury 3–10 Year Index | -1.29 | 2.51 | 2.47 | 12,769 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Intermediate-Term Treasury Index Fund Admiral Shares | -1.31% | 2.46% | 2.39% | $12,670 | |
Spliced Bloomberg Barclays U.S.Treasury 3–10 Year Index | -1.29 | 2.51 | 2.47 | 12,769 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Intermediate-Term Treasury Index Fund Institutional Shares | -1.26% | 2.48% | 2.42% | $6,353,145 | |
Spliced Bloomberg Barclays U.S.Treasury 3–10 Year Index | -1.29 | 2.51 | 2.47 | 6,384,732 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Intermediate-Term Treasury Index Fund ETF Shares Market Price | -1.27% | 12.94% | 26.65% |
Intermediate-Term Treasury Index Fund ETF Shares Net Asset Value | -1.26 | 12.99 | 26.83 |
Spliced Bloomberg Barclays U.S.Treasury 3–10 Year Index | -1.29 | 13.21 | 27.69 |
0 - 2 Years | 0.0% |
2 - 4 Years | 20.9 |
4 - 6 Years | 38.7 |
6 - 8 Years | 26.0 |
8 - 10 Years | 14.4 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.7%) | ||||||
U.S. Government Securities (99.7%) | ||||||
United States Treasury Note/Bond | 1.500% | 10/31/24 | 136,514 | 141,079 | ||
United States Treasury Note/Bond | 2.250% | 11/15/24 | 192,096 | 203,142 | ||
United States Treasury Note/Bond | 7.500% | 11/15/24 | 6,573 | 8,054 | ||
United States Treasury Note/Bond | 1.500% | 11/30/24 | 125,290 | 129,519 | ||
United States Treasury Note/Bond | 2.125% | 11/30/24 | 76,230 | 80,315 | ||
United States Treasury Note/Bond | 1.750% | 12/31/24 | 94,215 | 98,190 | ||
United States Treasury Note/Bond | 2.250% | 12/31/24 | 76,990 | 81,513 | ||
United States Treasury Note/Bond | 1.375% | 1/31/25 | 127,420 | 131,183 | ||
United States Treasury Note/Bond | 2.500% | 1/31/25 | 37,185 | 39,712 | ||
United States Treasury Note/Bond | 2.000% | 2/15/25 | 136,463 | 143,435 | ||
United States Treasury Note/Bond | 7.625% | 2/15/25 | 3,300 | 4,105 | ||
United States Treasury Note/Bond | 1.125% | 2/28/25 | 142,915 | 145,907 | ||
United States Treasury Note/Bond | 2.750% | 2/28/25 | 76,658 | 82,611 | ||
United States Treasury Note/Bond | 0.500% | 3/31/25 | 112,620 | 112,479 | ||
United States Treasury Note/Bond | 2.625% | 3/31/25 | 60,157 | 64,622 | ||
United States Treasury Note/Bond | 0.375% | 4/30/25 | 131,425 | 130,563 | ||
United States Treasury Note/Bond | 2.875% | 4/30/25 | 24,274 | 26,322 | ||
United States Treasury Note/Bond | 2.125% | 5/15/25 | 172,560 | 182,428 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 145,635 | 143,860 | ||
United States Treasury Note/Bond | 2.875% | 5/31/25 | 56,680 | 61,516 | ||
United States Treasury Note/Bond | 0.250% | 6/30/25 | 159,375 | 157,333 | ||
United States Treasury Note/Bond | 2.750% | 6/30/25 | 54,225 | 58,673 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 83,100 | 81,957 | ||
United States Treasury Note/Bond | 2.875% | 7/31/25 | 116,355 | 126,609 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 132,905 | 140,173 | ||
United States Treasury Note/Bond | 6.875% | 8/15/25 | 23,898 | 29,738 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 156,575 | 154,275 | ||
United States Treasury Note/Bond | 2.750% | 8/31/25 | 69,445 | 75,294 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 108,910 | 107,208 | ||
United States Treasury Note/Bond | 3.000% | 9/30/25 | 59,245 | 64,901 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 80,809 | 79,471 | ||
United States Treasury Note/Bond | 3.000% | 10/31/25 | 74,440 | 81,663 | ||
United States Treasury Note/Bond | 2.250% | 11/15/25 | 171,380 | 182,734 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 182,555 | 180,330 | ||
United States Treasury Note/Bond | 2.875% | 11/30/25 | 72,145 | 78,841 | ||
United States Treasury Note/Bond | 0.375% | 12/31/25 | 64,835 | 63,984 | ||
United States Treasury Note/Bond | 2.625% | 12/31/25 | 59,920 | 64,901 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 96,205 | 94,852 | ||
United States Treasury Note/Bond | 2.625% | 1/31/26 | 77,330 | 83,843 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 1.625% | 2/15/26 | 183,160 | 190,572 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 155,915 | 154,502 | ||
United States Treasury Note/Bond | 2.500% | 2/28/26 | 425 | 459 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 67,880 | 67,975 | ||
United States Treasury Note/Bond | 2.250% | 3/31/26 | 108,025 | 115,485 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 102,260 | 102,356 | ||
United States Treasury Note/Bond | 2.375% | 4/30/26 | 76,425 | 82,217 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 172,895 | 179,973 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 118,560 | 118,597 | ||
United States Treasury Note/Bond | 2.125% | 5/31/26 | 54,973 | 58,529 | ||
United States Treasury Note/Bond | 0.875% | 6/30/26 | 92,710 | 93,217 | ||
United States Treasury Note/Bond | 1.875% | 6/30/26 | 66,300 | 69,822 | ||
United States Treasury Note/Bond | 0.625% | 7/31/26 | 60,165 | 59,751 | ||
United States Treasury Note/Bond | 1.875% | 7/31/26 | 121,485 | 128,015 | ||
United States Treasury Note/Bond | 1.500% | 8/15/26 | 196,842 | 203,762 | ||
United States Treasury Note/Bond | 6.750% | 8/15/26 | 5,954 | 7,681 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 129,405 | 129,243 | ||
United States Treasury Note/Bond | 1.375% | 8/31/26 | 21,910 | 22,554 | ||
United States Treasury Note/Bond | 1.625% | 9/30/26 | 50,249 | 52,337 | ||
United States Treasury Note/Bond | 1.625% | 10/31/26 | 109,820 | 114,402 | ||
United States Treasury Note/Bond | 2.000% | 11/15/26 | 200,245 | 212,447 | ||
United States Treasury Note/Bond | 6.500% | 11/15/26 | 8,000 | 10,317 | ||
United States Treasury Note/Bond | 1.625% | 11/30/26 | 69,290 | 72,181 | ||
United States Treasury Note/Bond | 1.750% | 12/31/26 | 48,860 | 51,211 | ||
United States Treasury Note/Bond | 1.500% | 1/31/27 | 77,715 | 80,435 | ||
United States Treasury Note/Bond | 2.250% | 2/15/27 | 178,442 | 191,798 | ||
United States Treasury Note/Bond | 6.625% | 2/15/27 | 3,015 | 3,943 | ||
United States Treasury Note/Bond | 1.125% | 2/28/27 | 35,329 | 35,848 | ||
United States Treasury Note/Bond | 0.625% | 3/31/27 | 93,820 | 92,603 | ||
United States Treasury Note/Bond | 0.500% | 4/30/27 | 100,935 | 98,790 | ||
United States Treasury Note/Bond | 2.375% | 5/15/27 | 196,945 | 213,254 | ||
United States Treasury Note/Bond | 0.500% | 5/31/27 | 103,895 | 101,557 | ||
United States Treasury Note/Bond | 0.500% | 6/30/27 | 100,435 | 98,097 | ||
United States Treasury Note/Bond | 0.375% | 7/31/27 | 122,315 | 118,493 | ||
United States Treasury Note/Bond | 2.250% | 8/15/27 | 170,184 | 183,267 | ||
United States Treasury Note/Bond | 6.375% | 8/15/27 | 3,000 | 3,951 | ||
United States Treasury Note/Bond | 0.500% | 8/31/27 | 143,800 | 140,160 | ||
United States Treasury Note/Bond | 0.375% | 9/30/27 | 135,340 | 130,730 | ||
United States Treasury Note/Bond | 0.500% | 10/31/27 | 96,855 | 94,161 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 166,950 | 179,941 | ||
United States Treasury Note/Bond | 6.125% | 11/15/27 | 11,800 | 15,476 | ||
United States Treasury Note/Bond | 0.625% | 11/30/27 | 141,195 | 138,173 | ||
United States Treasury Note/Bond | 0.625% | 12/31/27 | 100,917 | 98,646 | ||
United States Treasury Note/Bond | 0.750% | 1/31/28 | 143,990 | 141,695 | ||
United States Treasury Note/Bond | 2.750% | 2/15/28 | 115,665 | 128,370 | ||
United States Treasury Note/Bond | 1.125% | 2/29/28 | 164,510 | 165,718 | ||
United States Treasury Note/Bond | 1.250% | 3/31/28 | 114,610 | 116,240 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 115,748 | 117,340 | ||
United States Treasury Note/Bond | 2.875% | 5/15/28 | 135,212 | 151,395 | ||
United States Treasury Note/Bond | 1.250% | 5/31/28 | 148,105 | 150,049 | ||
United States Treasury Note/Bond | 1.250% | 6/30/28 | 111,885 | 113,266 | ||
United States Treasury Note/Bond | 1.000% | 7/31/28 | 93,220 | 92,754 | ||
United States Treasury Note/Bond | 2.875% | 8/15/28 | 181,113 | 203,101 | ||
United States Treasury Note/Bond | 5.500% | 8/15/28 | 24,837 | 32,257 | ||
United States Treasury Note/Bond | 1.125% | 8/31/28 | 138,830 | 139,220 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 3.125% | 11/15/28 | 184,283 | 210,313 | ||
United States Treasury Note/Bond | 5.250% | 11/15/28 | 27,450 | 35,402 | ||
United States Treasury Note/Bond | 2.625% | 2/15/29 | 187,250 | 207,438 | ||
United States Treasury Note/Bond | 5.250% | 2/15/29 | 33,007 | 42,775 | ||
United States Treasury Note/Bond | 2.375% | 5/15/29 | 184,499 | 201,277 | ||
United States Treasury Note/Bond | 1.625% | 8/15/29 | 168,958 | 174,951 | ||
United States Treasury Note/Bond | 6.125% | 8/15/29 | 17,520 | 24,191 | ||
United States Treasury Note/Bond | 1.750% | 11/15/29 | 140,905 | 147,290 | ||
United States Treasury Note/Bond | 1.500% | 2/15/30 | 172,088 | 176,175 | ||
United States Treasury Note/Bond | 0.625% | 5/15/30 | 249,590 | 237,072 | ||
United States Treasury Note/Bond | 6.250% | 5/15/30 | 5,000 | 7,095 | ||
United States Treasury Note/Bond | 0.625% | 8/15/30 | 286,195 | 271,125 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 292,510 | 282,729 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 304,555 | 300,510 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 260,255 | 268,307 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 110,355 | 109,786 | ||
Total U.S. Government and Agency Obligations (Cost $12,315,996) | 12,482,104 | |||||
Shares | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $43,852) | 0.068% | 438,521 | 43,852 | ||
Total Investments (100.1%) (Cost $12,359,848) | 12,525,956 | |||||
Other Assets and Liabilities—Net (-0.1%) | (7,837) | |||||
Net Assets (100%) | 12,518,119 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $12,315,996) | 12,482,104 |
Affiliated Issuers (Cost $43,852) | 43,852 |
Total Investments in Securities | 12,525,956 |
Investment in Vanguard | 416 |
Receivables for Investment Securities Sold | 335,340 |
Receivables for Accrued Income | 36,176 |
Receivables for Capital Shares Issued | 3,230 |
Total Assets | 12,901,118 |
Liabilities | |
Due to Custodian | 56 |
Payables for Investment Securities Purchased | 378,279 |
Payables for Capital Shares Redeemed | 4,020 |
Payables for Distributions | 521 |
Payables to Vanguard | 123 |
Total Liabilities | 382,999 |
Net Assets | 12,518,119 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 12,278,490 |
Total Distributable Earnings (Loss) | 239,629 |
Net Assets | 12,518,119 |
ETF Shares—Net Assets | |
Applicable to 119,330,194 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,146,973 |
Net Asset Value Per Share—ETF Shares | $68.27 |
Admiral Shares—Net Assets | |
Applicable to 114,823,256 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,645,889 |
Net Asset Value Per Share—Admiral Shares | $23.04 |
Institutional Shares—Net Assets | |
Applicable to 60,331,903 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,725,257 |
Net Asset Value Per Share—Institutional Shares | $28.60 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 140,644 |
Total Income | 140,644 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 269 |
Management and Administrative—ETF Shares | 2,025 |
Management and Administrative—Admiral Shares | 1,657 |
Management and Administrative—Institutional Shares | 731 |
Marketing and Distribution—ETF Shares | 318 |
Marketing and Distribution—Admiral Shares | 122 |
Marketing and Distribution—Institutional Shares | 52 |
Custodian Fees | 22 |
Auditing Fees | 54 |
Shareholders’ Reports—ETF Shares | 198 |
Shareholders’ Reports—Admiral Shares | 19 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 5,473 |
Net Investment Income | 135,171 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | 147,291 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (417,388) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (134,926) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $53,230,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 135,171 | 160,120 |
Realized Net Gain (Loss) | 147,291 | 166,294 |
Change in Unrealized Appreciation (Depreciation) | (417,388) | 244,806 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (134,926) | 571,220 |
Distributions | ||
ETF Shares | (132,684) | (96,073) |
Admiral Shares | (49,704) | (39,783) |
Institutional Shares | (31,298) | (24,641) |
Total Distributions | (213,686) | (160,497) |
Capital Share Transactions | ||
ETF Shares | 1,812,764 | 1,955,597 |
Admiral Shares | (8,693) | 750,787 |
Institutional Shares | 217,704 | 305,818 |
Net Increase (Decrease) from Capital Share Transactions | 2,021,775 | 3,012,202 |
Total Increase (Decrease) | 1,673,163 | 3,422,925 |
Net Assets | ||
Beginning of Period | 10,844,956 | 7,422,031 |
End of Period | 12,518,119 | 10,844,956 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $70.46 | $67.26 | $62.67 | $65.29 | $66.54 |
Investment Operations | |||||
Net Investment Income1 | .809 | 1.239 | 1.515 | 1.250 | 1.043 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.692) | 3.248 | 4.552 | (2.691) | (1.201) |
Total from Investment Operations | (.883) | 4.487 | 6.067 | (1.441) | (.158) |
Distributions | |||||
Dividends from Net Investment Income | (.820) | (1.287) | (1.477) | (1.179) | (1.011) |
Distributions from Realized Capital Gains | (.487) | — | — | — | (.081) |
Total Distributions | (1.307) | (1.287) | (1.477) | (1.179) | (1.092) |
Net Asset Value, End of Period | $68.27 | $70.46 | $67.26 | $62.67 | $65.29 |
Total Return | -1.26% | 6.76% | 9.84% | -2.21% | -0.21% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $8,147 | $6,547 | $4,353 | $2,680 | $1,329 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.18% | 1.80% | 2.36% | 1.97% | 1.61% |
Portfolio Turnover Rate2 | 33% | 28% | 29% | 31% | 32% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $23.78 | $22.68 | $21.13 | $22.03 | $22.45 |
Investment Operations | |||||
Net Investment Income1 | .267 | .416 | .507 | .418 | .351 |
Net Realized and Unrealized Gain (Loss) on Investments | (.577) | 1.101 | 1.540 | (.911) | (.400) |
Total from Investment Operations | (.310) | 1.517 | 2.047 | (.493) | (.049) |
Distributions | |||||
Dividends from Net Investment Income | (.265) | (.417) | (.497) | (.407) | (.344) |
Distributions from Realized Capital Gains | (.165) | — | — | — | (.027) |
Total Distributions | (.430) | (.417) | (.497) | (.407) | (.371) |
Net Asset Value, End of Period | $23.04 | $23.78 | $22.68 | $21.13 | $22.03 |
Total Return2 | -1.31% | 6.76% | 9.83% | -2.24% | -0.19% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,646 | $2,740 | $1,887 | $1,104 | $874 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.15% | 1.79% | 2.34% | 1.97% | 1.61% |
Portfolio Turnover Rate3 | 33% | 28% | 29% | 31% | 32% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $29.51 | $28.15 | $26.23 | $27.33 | $27.86 |
Investment Operations | |||||
Net Investment Income1 | .337 | .527 | .634 | .524 | .441 |
Net Realized and Unrealized Gain (Loss) on Investments | (.709) | 1.355 | 1.908 | (1.114) | (.507) |
Total from Investment Operations | (.372) | 1.882 | 2.542 | (.590) | (.066) |
Distributions | |||||
Dividends from Net Investment Income | (.334) | (.522) | (.622) | (.510) | (.430) |
Distributions from Realized Capital Gains | (.204) | — | — | — | (.034) |
Total Distributions | (.538) | (.522) | (.622) | (.510) | (.464) |
Net Asset Value, End of Period | $28.60 | $29.51 | $28.15 | $26.23 | $27.33 |
Total Return | -1.26% | 6.76% | 9.83% | -2.16% | -0.21% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,725 | $1,558 | $1,183 | $390 | $336 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.17% | 1.83% | 2.36% | 1.99% | 1.63% |
Portfolio Turnover Rate2 | 33% | 28% | 29% | 31% | 32% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 12,482,104 | — | 12,482,104 |
Temporary Cash Investments | 43,852 | — | — | 43,852 |
Total | 43,852 | 12,482,104 | — | 12,525,956 |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 60,130 |
Total Distributable Earnings (Loss) | (60,130) |
Amount ($000) | |
Undistributed Ordinary Income | 8,366 |
Undistributed Long-Term Gains | 74,298 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | (6,040) |
Net Unrealized Gains (Losses) | 163,526 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 157,013 | 160,497 |
Long-Term Capital Gains | 56,673 | — |
Total | 213,686 | 160,497 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 12,362,430 |
Gross Unrealized Appreciation | 264,066 |
Gross Unrealized Depreciation | (100,540) |
Net Unrealized Appreciation (Depreciation) | 163,526 |
E. | During the year ended August 31, 2021, the fund purchased $6,750,537,000 of investment securities and sold $4,750,333,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,713,996,000 and $925,842,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 2,747,217 | 39,988 | 3,000,182 | 43,309 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (934,453) | (13,575) | (1,044,585) | (15,100) | |
Net Increase (Decrease)—ETF Shares | 1,812,764 | 26,413 | 1,955,597 | 28,209 |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 1,271,727 | 54,762 | 1,763,881 | 75,468 | |
Issued in Lieu of Cash Distributions | 42,708 | 1,834 | 33,570 | 1,450 | |
Redeemed | (1,323,128) | (57,010) | (1,046,664) | (44,861) | |
Net Increase (Decrease)—Admiral Shares | (8,693) | (414) | 750,787 | 32,057 | |
Institutional Shares | |||||
Issued | 551,440 | 19,124 | 637,472 | 22,246 | |
Issued in Lieu of Cash Distributions | 27,778 | 961 | 20,929 | 729 | |
Redeemed | (361,514) | (12,570) | (352,583) | (12,178) | |
Net Increase (Decrease)—Institutional Shares | 217,704 | 7,515 | 305,818 | 10,797 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Long-Term Treasury Index Fund ETF Shares Net Asset Value | -6.73% | 3.57% | 5.61% | $17,260 |
Long-Term Treasury Index Fund ETF Shares Market Price | -6.77 | 3.56 | 5.61 | 17,256 | |
![]() | Spliced Bloomberg U.S. Long Treasury Index | -7.27 | 3.62 | 5.66 | 17,349 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Long-Term Treasury Index Fund Admiral Shares | -6.78% | 3.55% | 5.60% | $17,241 | |
Spliced Bloomberg U.S. Long Treasury Index | -7.27 | 3.62 | 5.66 | 17,349 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Long-Term Treasury Index Fund Institutional Shares | -6.77% | 3.57% | 5.63% | $8,646,349 | |
Spliced Bloomberg U.S. Long Treasury Index | -7.27 | 3.62 | 5.66 | 8,674,364 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Long-Term Treasury Index Fund ETF Shares Market Price | -6.77% | 19.10% | 72.56% |
Long-Term Treasury Index Fund ETF Shares Net Asset Value | -6.73 | 19.17 | 72.60 |
Spliced Bloomberg U.S. Long Treasury Index | -7.27 | 19.46 | 73.49 |
5 - 10 Years | 0.1% |
10 - 15 Years | 0.6 |
15 - 20 Years | 24.5 |
20 - 25 Years | 27.1 |
Over 25 Years | 47.7 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.6%) | ||||||
U.S. Government Securities (99.6%) | ||||||
United States Treasury Note/Bond | 6.250% | 5/15/30 | 3,047 | 4,324 | ||
United States Treasury Note/Bond | 4.500% | 2/15/36 | 28,132 | 39,314 | ||
United States Treasury Note/Bond | 4.750% | 2/15/37 | 6,705 | 9,696 | ||
United States Treasury Note/Bond | 5.000% | 5/15/37 | 14,261 | 21,175 | ||
United States Treasury Note/Bond | 4.375% | 2/15/38 | 14,620 | 20,539 | ||
United States Treasury Note/Bond | 4.500% | 5/15/38 | 18,666 | 26,625 | ||
United States Treasury Note/Bond | 3.500% | 2/15/39 | 45,330 | 58,015 | ||
United States Treasury Note/Bond | 4.250% | 5/15/39 | 29,037 | 40,625 | ||
United States Treasury Note/Bond | 4.500% | 8/15/39 | 27,009 | 38,918 | ||
United States Treasury Note/Bond | 4.375% | 11/15/39 | 52,529 | 74,714 | ||
United States Treasury Note/Bond | 4.625% | 2/15/40 | 45,414 | 66,631 | ||
United States Treasury Note/Bond | 1.125% | 5/15/40 | 156,425 | 139,389 | ||
United States Treasury Note/Bond | 4.375% | 5/15/40 | 36,087 | 51,548 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 180,180 | 159,994 | ||
United States Treasury Note/Bond | 3.875% | 8/15/40 | 39,227 | 52,822 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 181,878 | 168,408 | ||
United States Treasury Note/Bond | 4.250% | 11/15/40 | 35,466 | 50,057 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 201,231 | 202,835 | ||
United States Treasury Note/Bond | 4.750% | 2/15/41 | 37,244 | 55,924 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 150,357 | 160,905 | ||
United States Treasury Note/Bond | 4.375% | 5/15/41 | 36,433 | 52,379 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 39,180 | 38,568 | ||
United States Treasury Note/Bond | 3.750% | 8/15/41 | 44,212 | 58,850 | ||
United States Treasury Note/Bond | 3.125% | 11/15/41 | 43,579 | 53,296 | ||
United States Treasury Note/Bond | 3.125% | 2/15/42 | 45,134 | 55,303 | ||
United States Treasury Note/Bond | 3.000% | 5/15/42 | 45,241 | 54,360 | ||
United States Treasury Note/Bond | 2.750% | 8/15/42 | 53,273 | 61,630 | ||
United States Treasury Note/Bond | 2.750% | 11/15/42 | 77,677 | 89,862 | ||
United States Treasury Note/Bond | 3.125% | 2/15/43 | 64,524 | 79,053 | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 107,627 | 127,067 | ||
United States Treasury Note/Bond | 3.625% | 8/15/43 | 77,464 | 102,228 | ||
United States Treasury Note/Bond | 3.750% | 11/15/43 | 79,666 | 107,188 | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 83,405 | 110,511 | ||
United States Treasury Note/Bond | 3.375% | 5/15/44 | 63,948 | 81,794 | ||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 93,001 | 114,639 | ||
United States Treasury Note/Bond | 3.000% | 11/15/44 | 83,858 | 101,415 | ||
United States Treasury Note/Bond | 2.500% | 2/15/45 | 106,773 | 118,936 | ||
United States Treasury Note/Bond | 3.000% | 5/15/45 | 69,024 | 83,734 | ||
United States Treasury Note/Bond | 2.875% | 8/15/45 | 74,877 | 89,069 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 3.000% | 11/15/45 | 33,736 | 41,042 | ||
United States Treasury Note/Bond | 2.500% | 2/15/46 | 87,340 | 97,548 | ||
United States Treasury Note/Bond | 2.500% | 5/15/46 | 18,195 | 20,336 | ||
United States Treasury Note/Bond | 2.250% | 8/15/46 | 114,514 | 122,243 | ||
United States Treasury Note/Bond | 2.875% | 11/15/46 | 74,759 | 89,418 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 92,086 | 112,690 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 78,997 | 96,821 | ||
United States Treasury Note/Bond | 2.750% | 8/15/47 | 48,180 | 56,521 | ||
United States Treasury Note/Bond | 2.750% | 11/15/47 | 109,470 | 128,507 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 114,822 | 141,033 | ||
United States Treasury Note/Bond | 3.125% | 5/15/48 | 127,127 | 159,783 | ||
United States Treasury Note/Bond | 3.000% | 8/15/48 | 130,557 | 160,707 | ||
United States Treasury Note/Bond | 3.375% | 11/15/48 | 136,652 | 179,719 | ||
United States Treasury Note/Bond | 3.000% | 2/15/49 | 143,640 | 177,328 | ||
United States Treasury Note/Bond | 2.875% | 5/15/49 | 146,389 | 176,879 | ||
United States Treasury Note/Bond | 2.250% | 8/15/49 | 151,950 | 162,753 | ||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 154,226 | 169,745 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 179,277 | 182,247 | ||
United States Treasury Note/Bond | 1.250% | 5/15/50 | 184,763 | 156,760 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 227,303 | 198,961 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 226,199 | 210,612 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 211,537 | 208,992 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 166,987 | 184,442 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 67,085 | 68,291 | ||
Total U.S. Government and Agency Obligations (Cost $6,313,730) | 6,325,718 | |||||
Shares | ||||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $37,739) | 0.068% | 377,383 | 37,739 | ||
Total Investments (100.2%) (Cost $6,351,469) | 6,363,457 | |||||
Other Assets and Liabilities—Net (-0.2%) | (13,131) | |||||
Net Assets (100%) | 6,350,326 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,313,730) | 6,325,718 |
Affiliated Issuers (Cost $37,739) | 37,739 |
Total Investments in Securities | 6,363,457 |
Investment in Vanguard | 214 |
Cash | 44 |
Receivables for Investment Securities Sold | 71,091 |
Receivables for Accrued Income | 24,513 |
Receivables for Capital Shares Issued | 3,915 |
Total Assets | 6,463,234 |
Liabilities | |
Payables for Investment Securities Purchased | 107,009 |
Payables for Capital Shares Redeemed | 4,495 |
Payables for Distributions | 1,298 |
Payables to Vanguard | 106 |
Total Liabilities | 112,908 |
Net Assets | 6,350,326 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 6,399,314 |
Total Distributable Earnings (Loss) | (48,988) |
Net Assets | 6,350,326 |
ETF Shares—Net Assets | |
Applicable to 26,180,783 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,365,860 |
Net Asset Value Per Share—ETF Shares | $90.37 |
Admiral Shares—Net Assets | |
Applicable to 64,129,505 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,946,518 |
Net Asset Value Per Share—Admiral Shares | $30.35 |
Institutional Shares—Net Assets | |
Applicable to 52,899,626 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,037,948 |
Net Asset Value Per Share—Institutional Shares | $38.52 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 107,923 |
Total Income | 107,923 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 136 |
Management and Administrative—ETF Shares | 681 |
Management and Administrative—Admiral Shares | 1,136 |
Management and Administrative—Institutional Shares | 719 |
Marketing and Distribution—ETF Shares | 103 |
Marketing and Distribution—Admiral Shares | 85 |
Marketing and Distribution—Institutional Shares | 49 |
Custodian Fees | 13 |
Auditing Fees | 54 |
Shareholders’ Reports—ETF Shares | 88 |
Shareholders’ Reports—Admiral Shares | 19 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,085 |
Net Investment Income | 104,838 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 77,816 |
Futures Contracts | 19 |
Realized Net Gain (Loss) | 77,835 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (562,635) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (379,962) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $134,931,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 104,838 | 87,335 |
Realized Net Gain (Loss) | 77,835 | 304,942 |
Change in Unrealized Appreciation (Depreciation) | (562,635) | 134,898 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (379,962) | 527,175 |
Distributions | ||
ETF Shares | (47,982) | (36,292) |
Admiral Shares | (38,865) | (27,918) |
Institutional Shares | (35,145) | (22,455) |
Total Distributions | (121,992) | (86,665) |
Capital Share Transactions | ||
ETF Shares | 441,919 | 646,509 |
Admiral Shares | 316,183 | 618,945 |
Institutional Shares | 922,191 | 77,643 |
Net Increase (Decrease) from Capital Share Transactions | 1,680,293 | 1,343,097 |
Total Increase (Decrease) | 1,178,339 | 1,783,607 |
Net Assets | ||
Beginning of Period | 5,171,987 | 3,388,380 |
End of Period | 6,350,326 | 5,171,987 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $98.93 | $90.17 | $74.33 | $78.76 | $85.64 |
Investment Operations | |||||
Net Investment Income1 | 1.645 | 1.915 | 2.115 | 2.050 | 2.006 |
Net Realized and Unrealized Gain (Loss) on Investments | (8.289) | 8.772 | 15.798 | (4.469) | (6.905) |
Total from Investment Operations | (6.644) | 10.687 | 17.913 | (2.419) | (4.899) |
Distributions | |||||
Dividends from Net Investment Income | (1.625) | (1.927) | (2.073) | (2.011) | (1.981) |
Distributions from Realized Capital Gains | (.291) | — | — | — | — |
Total Distributions | (1.916) | (1.927) | (2.073) | (2.011) | (1.981) |
Net Asset Value, End of Period | $90.37 | $98.93 | $90.17 | $74.33 | $78.76 |
Total Return | -6.73% | 12.02% | 24.69% | -3.07% | -5.63% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,366 | $2,138 | $1,282 | $676 | $549 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 2.03% | 2.75% | 2.73% | 2.62% |
Portfolio Turnover Rate2 | 22% | 29% | 16% | 19% | 19% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $33.24 | $30.28 | $24.95 | $26.44 | $28.75 |
Investment Operations | |||||
Net Investment Income1 | .545 | .637 | .706 | .690 | .676 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.799) | 2.955 | 5.316 | (1.501) | (2.319) |
Total from Investment Operations | (2.254) | 3.592 | 6.022 | (.811) | (1.643) |
Distributions | |||||
Dividends from Net Investment Income | (.538) | (.632) | (.692) | (.679) | (.667) |
Distributions from Realized Capital Gains | (.098) | — | — | — | — |
Total Distributions | (.636) | (.632) | (.692) | (.679) | (.667) |
Net Asset Value, End of Period | $30.35 | $33.24 | $30.28 | $24.95 | $26.44 |
Total Return2 | -6.78% | 12.00% | 24.67% | -3.06% | -5.62% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,947 | $1,800 | $1,053 | $559 | $468 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.79% | 2.01% | 2.73% | 2.73% | 2.62% |
Portfolio Turnover Rate3 | 22% | 29% | 16% | 19% | 19% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $42.19 | $38.43 | $31.66 | $33.56 | $36.49 |
Investment Operations | |||||
Net Investment Income1 | .699 | .822 | .902 | .883 | .865 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.554) | 3.748 | 6.753 | (1.915) | (2.942) |
Total from Investment Operations | (2.855) | 4.570 | 7.655 | (1.032) | (2.077) |
Distributions | |||||
Dividends from Net Investment Income | (.691) | (.810) | (.885) | (.868) | (.853) |
Distributions from Realized Capital Gains | (.124) | — | — | — | — |
Total Distributions | (.815) | (.810) | (.885) | (.868) | (.853) |
Net Asset Value, End of Period | $38.52 | $42.19 | $38.43 | $31.66 | $33.56 |
Total Return | -6.77% | 12.03% | 24.71% | -3.07% | -5.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,038 | $1,234 | $1,054 | $452 | $213 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.82% | 2.06% | 2.75% | 2.75% | 2.64% |
Portfolio Turnover Rate2 | 22% | 29% | 16% | 19% | 19% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 6,325,718 | — | 6,325,718 |
Temporary Cash Investments | 37,739 | — | — | 37,739 |
Total | 37,739 | 6,325,718 | — | 6,363,457 |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 132,894 |
Total Distributable Earnings (Loss) | (132,894) |
Amount ($000) | |
Undistributed Ordinary Income | 5,095 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | (51,145) |
Net Unrealized Gains (Losses) | (1,640) |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 112,376 | 86,665 |
Long-Term Capital Gains | 9,616 | — |
Total | 121,992 | 86,665 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,365,097 |
Gross Unrealized Appreciation | 242,672 |
Gross Unrealized Depreciation | (244,312) |
Net Unrealized Appreciation (Depreciation) | (1,640) |
E. | During the year ended August 31, 2021, the fund purchased $4,305,708,000 of investment securities and sold $2,622,598,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,785,949,000 and $1,368,607,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,825,922 | 19,897 | 1,915,555 | 20,470 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,384,003) | (15,325) | (1,269,046) | (13,075) | |
Net Increase (Decrease)—ETF Shares | 441,919 | 4,572 | 646,509 | 7,395 | |
Admiral Shares | |||||
Issued | 1,358,427 | 44,281 | 1,763,454 | 55,020 | |
Issued in Lieu of Cash Distributions | 32,758 | 1,071 | 23,977 | 756 | |
Redeemed | (1,075,002) | (35,381) | (1,168,486) | (36,399) | |
Net Increase (Decrease)—Admiral Shares | 316,183 | 9,971 | 618,945 | 19,377 | |
Institutional Shares | |||||
Issued | 1,174,115 | 30,064 | 389,224 | 9,567 | |
Issued in Lieu of Cash Distributions | 34,906 | 905 | 22,432 | 562 | |
Redeemed | (286,830) | (7,322) | (334,013) | (8,292) | |
Net Increase (Decrease)—Institutional Shares | 922,191 | 23,647 | 77,643 | 1,837 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Short-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 1.44% | 2.96% | 2.86% | $13,257 |
Short-Term Corporate Bond Index Fund ETF Shares Market Price | 1.30 | 2.91 | 2.80 | 13,184 | |
![]() | Bloomberg U.S. 1–5 Year Corporate Bond Index | 1.41 | 3.08 | 2.99 | 13,432 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Short-Term Corporate Bond Index Fund Admiral Shares | 1.44% | 2.95% | 2.86% | $13,251 | |
Bloomberg U.S. 1–5 Year Corporate Bond Index | 1.41 | 3.08 | 2.99 | 13,432 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Short-Term Corporate Bond Index Fund Institutional Shares | 1.44% | 2.96% | 2.88% | $6,640,106 | |
Bloomberg U.S. 1–5 Year Corporate Bond Index | 1.41 | 3.08 | 2.99 | 6,715,842 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Short-Term Corporate Bond Index Fund ETF Shares Market Price | 1.30% | 15.45% | 31.84% |
Short-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 1.44 | 15.68 | 32.57 |
Bloomberg U.S. 1–5 Year Corporate Bond Index | 1.41 | 16.39 | 34.32 |
Corporate Bonds – Communications | 4.6% |
Corporate Bonds – Consumer Discretionary | 6.5 |
Corporate Bonds – Consumer Staples | 5.2 |
Corporate Bonds – Energy | 7.4 |
Corporate Bonds – Financials | 40.7 |
Corporate Bonds – Health Care | 9.1 |
Corporate Bonds – Industrials | 6.7 |
Corporate Bonds – Materials | 2.0 |
Corporate Bonds – Real Estate | 3.5 |
Corporate Bonds – Technology | 9.2 |
Corporate Bonds – Utilities | 5.0 |
U.S. Government and Agency Obligations | 0.1 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
U.S. Government Securities (0.0%) | ||||||
United States Treasury Note/Bond (Cost $25,498) | 0.750% | 8/31/26 | 25,530 | 25,498 | ||
Corporate Bonds (99.2%) | ||||||
Communications (4.6%) | ||||||
Alphabet Inc. | 3.375% | 2/25/24 | 18,328 | 19,689 | ||
Alphabet Inc. | 0.450% | 8/15/25 | 16,252 | 16,100 | ||
Alphabet Inc. | 1.998% | 8/15/26 | 42,653 | 44,844 | ||
AT&T Inc. | 2.625% | 12/1/22 | 21,227 | 21,717 | ||
AT&T Inc. | 4.050% | 12/15/23 | 9,987 | 10,783 | ||
AT&T Inc. | 3.800% | 3/1/24 | 150 | 161 | ||
AT&T Inc. | 0.900% | 3/25/24 | 46,175 | 46,270 | ||
AT&T Inc. | 4.450% | 4/1/24 | 13,831 | 15,049 | ||
AT&T Inc. | 3.950% | 1/15/25 | 16,042 | 17,659 | ||
AT&T Inc. | 3.400% | 5/15/25 | 49,292 | 53,515 | ||
AT&T Inc. | 3.600% | 7/15/25 | 28,620 | 31,300 | ||
AT&T Inc. | 4.125% | 2/17/26 | 42,525 | 47,622 | ||
AT&T Inc. | 1.700% | 3/25/26 | 63,783 | 64,633 | ||
AT&T Inc. | 2.950% | 7/15/26 | 400 | 431 | ||
Baidu Inc. | 2.875% | 7/6/22 | 6,000 | 6,107 | ||
Baidu Inc. | 3.500% | 11/28/22 | 10,648 | 11,008 | ||
Baidu Inc. | 3.875% | 9/29/23 | 19,179 | 20,333 | ||
Baidu Inc. | 4.375% | 5/14/24 | 22,238 | 24,193 | ||
Baidu Inc. | 3.075% | 4/7/25 | 17,829 | 18,878 | ||
Baidu Inc. | 4.125% | 6/30/25 | 6,910 | 7,617 | ||
Baidu Inc. | 1.720% | 4/9/26 | 6,343 | 6,416 | ||
1 | Bell Telephone Co. of Canada or Bell Canada | 0.750% | 3/17/24 | 1,024 | 1,028 | |
Booking Holdings Inc. | 2.750% | 3/15/23 | 17,544 | 18,168 | ||
Booking Holdings Inc. | 3.650% | 3/15/25 | 9,864 | 10,735 | ||
Booking Holdings Inc. | 3.600% | 6/1/26 | 20,209 | 22,386 | ||
British Telecommunications plc | 4.500% | 12/4/23 | 14,551 | 15,748 | ||
1 | Charter Communications Operating LLC | 4.500% | 2/1/24 | 31,367 | 34,053 | |
Charter Communications Operating LLC | 4.908% | 7/23/25 | 101,180 | 114,574 | ||
2 | Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 26,542 | 29,478 | |
Comcast Corp. | 3.600% | 3/1/24 | 24,692 | 26,578 | ||
Comcast Corp. | 3.700% | 4/15/24 | 56,502 | 61,005 | ||
Comcast Corp. | 3.375% | 2/15/25 | 22,905 | 24,768 | ||
Comcast Corp. | 3.100% | 4/1/25 | 24,127 | 25,935 | ||
Comcast Corp. | 3.375% | 8/15/25 | 28,865 | 31,429 | ||
Comcast Corp. | 3.950% | 10/15/25 | 61,313 | 68,381 | ||
Comcast Corp. | 3.150% | 3/1/26 | 39,747 | 43,207 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Discovery Communications LLC | 2.950% | 3/20/23 | 22,136 | 22,924 | ||
Discovery Communications LLC | 3.800% | 3/13/24 | 9,247 | 9,884 | ||
Discovery Communications LLC | 3.900% | 11/15/24 | 17,318 | 18,769 | ||
Discovery Communications LLC | 3.450% | 3/15/25 | 7,897 | 8,474 | ||
Discovery Communications LLC | 3.950% | 6/15/25 | 11,430 | 12,519 | ||
Discovery Communications LLC | 4.900% | 3/11/26 | 14,542 | 16,587 | ||
Electronic Arts Inc. | 4.800% | 3/1/26 | 6,613 | 7,600 | ||
Expedia Group Inc. | 3.600% | 12/15/23 | 11,385 | 12,072 | ||
Expedia Group Inc. | 4.500% | 8/15/24 | 11,003 | 11,987 | ||
Expedia Group Inc. | 5.000% | 2/15/26 | 19,627 | 22,172 | ||
Fox Corp. | 4.030% | 1/25/24 | 29,710 | 32,007 | ||
Fox Corp. | 3.050% | 4/7/25 | 15,267 | 16,321 | ||
Grupo Televisa SAB | 6.625% | 3/18/25 | 7,526 | 8,872 | ||
Grupo Televisa SAB | 4.625% | 1/30/26 | 3,415 | 3,809 | ||
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 4,592 | 4,977 | ||
Omnicom Group Inc. | 3.650% | 11/1/24 | 27,750 | 30,082 | ||
Omnicom Group Inc. | 3.600% | 4/15/26 | 31,000 | 34,281 | ||
Rogers Communications Inc. | 3.000% | 3/15/23 | 9,472 | 9,777 | ||
Rogers Communications Inc. | 4.100% | 10/1/23 | 17,103 | 18,199 | ||
Rogers Communications Inc. | 3.625% | 12/15/25 | 13,798 | 15,146 | ||
TCI Communications Inc. | 7.875% | 2/15/26 | 9,455 | 12,196 | ||
Tencent Music Entertainment Group | 1.375% | 9/3/25 | 6,210 | 6,136 | ||
Thomson Reuters Corp. | 4.300% | 11/23/23 | 11,990 | 12,868 | ||
Thomson Reuters Corp. | 3.350% | 5/15/26 | 11,710 | 12,781 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 22,496 | 25,155 | ||
T-Mobile USA Inc. | 3.500% | 4/15/25 | 76,831 | 83,068 | ||
T-Mobile USA Inc. | 1.500% | 2/15/26 | 18,146 | 18,294 | ||
1 | TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 24,466 | 25,095 | |
1 | TWDC Enterprises 18 Corp. | 3.150% | 9/17/25 | 15,425 | 16,764 | |
TWDC Enterprises 18 Corp. | 3.000% | 2/13/26 | 21,397 | 23,162 | ||
1 | TWDC Enterprises 18 Corp. | 1.850% | 7/30/26 | 22,000 | 22,811 | |
Verizon Communications Inc. | 4.150% | 3/15/24 | 1,722 | 1,864 | ||
Verizon Communications Inc. | 0.750% | 3/22/24 | 39,686 | 39,841 | ||
Verizon Communications Inc. | 3.500% | 11/1/24 | 36,879 | 39,855 | ||
Verizon Communications Inc. | 3.376% | 2/15/25 | 57,308 | 62,083 | ||
Verizon Communications Inc. | 0.850% | 11/20/25 | 47,200 | 46,842 | ||
Verizon Communications Inc. | 1.450% | 3/20/26 | 58,600 | 59,394 | ||
Verizon Communications Inc. | 2.625% | 8/15/26 | 48,000 | 51,085 | ||
ViacomCBS Inc. | 3.875% | 4/1/24 | 9,980 | 10,691 | ||
ViacomCBS Inc. | 3.700% | 8/15/24 | 14,241 | 15,332 | ||
ViacomCBS Inc. | 3.500% | 1/15/25 | 17,903 | 19,252 | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 34,024 | 38,405 | ||
ViacomCBS Inc. | 4.000% | 1/15/26 | 12,922 | 14,323 | ||
Vodafone Group plc | 2.500% | 9/26/22 | 1,285 | 1,314 | ||
Vodafone Group plc | 3.750% | 1/16/24 | 24,316 | 26,192 | ||
Vodafone Group plc | 4.125% | 5/30/25 | 35,761 | 39,821 | ||
Walt Disney Co. | 1.650% | 9/1/22 | 15,359 | 15,576 | ||
Walt Disney Co. | 3.000% | 9/15/22 | 28,234 | 29,025 | ||
Walt Disney Co. | 1.750% | 8/30/24 | 24,794 | 25,659 | ||
Walt Disney Co. | 3.700% | 9/15/24 | 14,656 | 15,904 | ||
Walt Disney Co. | 3.350% | 3/24/25 | 31,218 | 33,922 | ||
Walt Disney Co. | 3.700% | 10/15/25 | 14,583 | 16,099 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 35,429 | 36,590 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Weibo Corp. | 3.500% | 7/5/24 | 17,450 | 18,271 | ||
WPP Finance 2010 | 3.750% | 9/19/24 | 18,105 | 19,682 | ||
2,263,609 | ||||||
Consumer Discretionary (6.5%) | ||||||
Alibaba Group Holding Ltd. | 2.800% | 6/6/23 | 11,326 | 11,744 | ||
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 50,893 | 54,861 | ||
Amazon.com Inc. | 2.500% | 11/29/22 | 31,135 | 31,830 | ||
Amazon.com Inc. | 2.400% | 2/22/23 | 30,726 | 31,655 | ||
Amazon.com Inc. | 0.250% | 5/12/23 | 24,416 | 24,435 | ||
Amazon.com Inc. | 0.400% | 6/3/23 | 19,613 | 19,660 | ||
Amazon.com Inc. | 0.450% | 5/12/24 | 54,351 | 54,376 | ||
Amazon.com Inc. | 2.800% | 8/22/24 | 41,688 | 44,362 | ||
Amazon.com Inc. | 3.800% | 12/5/24 | 21,018 | 23,050 | ||
Amazon.com Inc. | 0.800% | 6/3/25 | 25,086 | 25,143 | ||
Amazon.com Inc. | 5.200% | 12/3/25 | 15,926 | 18,639 | ||
Amazon.com Inc. | 1.000% | 5/12/26 | 60,010 | 60,312 | ||
American Honda Finance Corp. | 1.950% | 5/20/22 | 11,827 | 11,974 | ||
1 | American Honda Finance Corp. | 0.400% | 10/21/22 | 11,117 | 11,133 | |
1 | American Honda Finance Corp. | 2.600% | 11/16/22 | 14,741 | 15,150 | |
1 | American Honda Finance Corp. | 2.050% | 1/10/23 | 9,685 | 9,917 | |
1 | American Honda Finance Corp. | 1.950% | 5/10/23 | 12,820 | 13,160 | |
1 | American Honda Finance Corp. | 0.875% | 7/7/23 | 48,323 | 48,741 | |
1 | American Honda Finance Corp. | 3.450% | 7/14/23 | 5,060 | 5,346 | |
1 | American Honda Finance Corp. | 0.650% | 9/8/23 | 15,242 | 15,323 | |
1 | American Honda Finance Corp. | 3.625% | 10/10/23 | 15,877 | 16,931 | |
1 | American Honda Finance Corp. | 3.550% | 1/12/24 | 16,679 | 17,829 | |
1 | American Honda Finance Corp. | 2.900% | 2/16/24 | 12,187 | 12,866 | |
1 | American Honda Finance Corp. | 2.400% | 6/27/24 | 15,426 | 16,172 | |
1 | American Honda Finance Corp. | 0.550% | 7/12/24 | 23,931 | 23,861 | |
1 | American Honda Finance Corp. | 2.150% | 9/10/24 | 14,903 | 15,537 | |
1 | American Honda Finance Corp. | 1.200% | 7/8/25 | 8,808 | 8,890 | |
1 | American Honda Finance Corp. | 1.000% | 9/10/25 | 10,916 | 10,934 | |
Aptiv Corp. | 4.150% | 3/15/24 | 15,456 | 16,667 | ||
Aptiv plc | 4.250% | 1/15/26 | 13,322 | 14,993 | ||
AutoNation Inc. | 3.500% | 11/15/24 | 11,739 | 12,605 | ||
AutoNation Inc. | 4.500% | 10/1/25 | 7,857 | 8,773 | ||
AutoZone Inc. | 2.875% | 1/15/23 | 10,613 | 10,898 | ||
AutoZone Inc. | 3.125% | 7/15/23 | 10,531 | 10,989 | ||
AutoZone Inc. | 3.125% | 4/18/24 | 8,000 | 8,490 | ||
AutoZone Inc. | 3.250% | 4/15/25 | 4,198 | 4,514 | ||
AutoZone Inc. | 3.625% | 4/15/25 | 12,336 | 13,433 | ||
AutoZone Inc. | 3.125% | 4/21/26 | 8,702 | 9,439 | ||
Block Financial LLC | 5.500% | 11/1/22 | 8,610 | 8,884 | ||
Block Financial LLC | 5.250% | 10/1/25 | 8,235 | 9,410 | ||
BorgWarner Inc. | 3.375% | 3/15/25 | 10,145 | 10,933 | ||
Brunswick Corp. | 0.850% | 8/18/24 | 8,000 | 8,003 | ||
3 | Daimler Finance North America LLC | 0.750% | 3/1/24 | 6,000 | 6,008 | |
DR Horton Inc. | 4.375% | 9/15/22 | 38 | 39 | ||
DR Horton Inc. | 4.750% | 2/15/23 | 5,480 | 5,750 | ||
DR Horton Inc. | 5.750% | 8/15/23 | 12,095 | 13,138 | ||
DR Horton Inc. | 2.500% | 10/15/24 | 13,996 | 14,677 | ||
DR Horton Inc. | 2.600% | 10/15/25 | 12,708 | 13,419 | ||
eBay Inc. | 2.750% | 1/30/23 | 22,753 | 23,472 | ||
eBay Inc. | 3.450% | 8/1/24 | 15,134 | 16,249 | ||
eBay Inc. | 1.900% | 3/11/25 | 21,927 | 22,673 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
eBay Inc. | 1.400% | 5/10/26 | 16,824 | 16,972 | ||
Fortune Brands Home & Security Inc. | 4.000% | 9/21/23 | 15,469 | 16,513 | ||
Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 7,957 | 8,765 | ||
General Motors Co. | 4.875% | 10/2/23 | 37,663 | 40,848 | ||
General Motors Co. | 5.400% | 10/2/23 | 20,459 | 22,392 | ||
General Motors Co. | 4.000% | 4/1/25 | 11,492 | 12,564 | ||
General Motors Co. | 6.125% | 10/1/25 | 47,086 | 55,574 | ||
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 11,931 | 12,332 | ||
General Motors Financial Co. Inc. | 5.200% | 3/20/23 | 41,368 | 44,190 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 35,176 | 36,771 | ||
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 17,917 | 18,993 | ||
General Motors Financial Co. Inc. | 4.150% | 6/19/23 | 28,634 | 30,300 | ||
General Motors Financial Co. Inc. | 1.700% | 8/18/23 | 18,064 | 18,427 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 34,571 | 37,854 | ||
General Motors Financial Co. Inc. | 1.050% | 3/8/24 | 10,350 | 10,417 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 17,667 | 18,949 | ||
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 20,193 | 21,628 | ||
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 23,848 | 25,929 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 35,490 | 37,498 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 35,319 | 38,940 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 24,031 | 25,262 | ||
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 10,878 | 12,007 | ||
General Motors Financial Co. Inc. | 1.250% | 1/8/26 | 15,056 | 14,948 | ||
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 25,775 | 29,667 | ||
General Motors Financial Co. Inc. | 1.500% | 6/10/26 | 21,850 | 21,856 | ||
Global Payments Inc. | 1.200% | 3/1/26 | 14,540 | 14,454 | ||
Harley-Davidson Inc. | 3.500% | 7/28/25 | 9,249 | 9,934 | ||
Hasbro Inc. | 2.600% | 11/19/22 | 3,324 | 3,416 | ||
Hasbro Inc. | 3.000% | 11/19/24 | 13,834 | 14,699 | ||
Home Depot Inc. | 2.625% | 6/1/22 | 1 | 1 | ||
Home Depot Inc. | 2.700% | 4/1/23 | 28,968 | 29,916 | ||
Home Depot Inc. | 3.750% | 2/15/24 | 29,791 | 31,964 | ||
Home Depot Inc. | 3.350% | 9/15/25 | 18,855 | 20,631 | ||
Home Depot Inc. | 3.000% | 4/1/26 | 27,328 | 29,698 | ||
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 8,812 | 9,158 | ||
Hyatt Hotels Corp. | 5.375% | 4/23/25 | 7,655 | 8,549 | ||
Hyatt Hotels Corp. | 4.850% | 3/15/26 | 9,677 | 10,789 | ||
JD.com Inc. | 3.875% | 4/29/26 | 12,575 | 13,799 | ||
Kohl's Corp. | 4.250% | 7/17/25 | 1,483 | 1,622 | ||
Las Vegas Sands Corp. | 3.200% | 8/8/24 | 38,972 | 40,567 | ||
Las Vegas Sands Corp. | 2.900% | 6/25/25 | 9,920 | 10,241 | ||
Las Vegas Sands Corp. | 3.500% | 8/18/26 | 20,986 | 22,023 | ||
Leggett & Platt Inc. | 3.800% | 11/15/24 | 6,876 | 7,394 | ||
Lennar Corp. | 4.125% | 1/15/22 | 10,000 | 10,042 | ||
Lennar Corp. | 4.750% | 11/15/22 | 8,667 | 9,012 | ||
Lennar Corp. | 4.875% | 12/15/23 | 10,150 | 10,992 | ||
Lennar Corp. | 4.500% | 4/30/24 | 13,500 | 14,667 | ||
Lennar Corp. | 5.875% | 11/15/24 | 9,086 | 10,286 | ||
Lennar Corp. | 4.750% | 5/30/25 | 14,663 | 16,405 | ||
Lennar Corp. | 5.250% | 6/1/26 | 2,003 | 2,319 | ||
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 1 | 1 | ||
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 11,716 | 12,447 | ||
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 14,709 | 15,714 | ||
Lowe's Cos. Inc. | 4.000% | 4/15/25 | 15,741 | 17,336 | ||
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 13,357 | 14,576 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 34,209 | 36,362 | ||
Magna International Inc. | 3.625% | 6/15/24 | 13,929 | 15,026 | ||
Magna International Inc. | 4.150% | 10/1/25 | 12,526 | 14,015 | ||
Marriott International Inc. | 3.250% | 9/15/22 | 9,150 | 9,319 | ||
Marriott International Inc. | 2.125% | 10/3/22 | 8,827 | 8,948 | ||
1 | Marriott International Inc. | 4.150% | 12/1/23 | 6,537 | 6,977 | |
Marriott International Inc. | 3.600% | 4/15/24 | 10,861 | 11,585 | ||
Marriott International Inc. | 3.750% | 3/15/25 | 8,902 | 9,569 | ||
1 | Marriott International Inc. | 5.750% | 5/1/25 | 26,816 | 30,809 | |
Marriott International Inc. | 3.750% | 10/1/25 | 5,317 | 5,758 | ||
1 | Marriott International Inc. | 3.125% | 6/15/26 | 15,714 | 16,781 | |
1 | McDonald's Corp. | 3.350% | 4/1/23 | 27,802 | 29,032 | |
1 | McDonald's Corp. | 3.250% | 6/10/24 | 6,525 | 6,986 | |
1 | McDonald's Corp. | 3.375% | 5/26/25 | 21,648 | 23,441 | |
1 | McDonald's Corp. | 3.300% | 7/1/25 | 19,122 | 20,732 | |
1 | McDonald's Corp. | 1.450% | 9/1/25 | 8,929 | 9,105 | |
1 | McDonald's Corp. | 3.700% | 1/30/26 | 33,869 | 37,501 | |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 12,769 | 13,272 | ||
NIKE Inc. | 2.250% | 5/1/23 | 10,255 | 10,545 | ||
NIKE Inc. | 2.400% | 3/27/25 | 15,993 | 16,938 | ||
NVR Inc. | 3.950% | 9/15/22 | 10,225 | 10,512 | ||
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 6,332 | 6,491 | ||
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 5,510 | 5,793 | ||
O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 10,904 | 12,035 | ||
Owens Corning | 4.200% | 12/1/24 | 6,494 | 7,097 | ||
Owens Corning | 3.400% | 8/15/26 | 9,656 | 10,494 | ||
PulteGroup Inc. | 5.500% | 3/1/26 | 10,911 | 12,757 | ||
PVH Corp. | 4.625% | 7/10/25 | 12,027 | 13,380 | ||
Ralph Lauren Corp. | 3.750% | 9/15/25 | 8,904 | 9,805 | ||
Ross Stores Inc. | 4.600% | 4/15/25 | 15,971 | 17,905 | ||
Ross Stores Inc. | 0.875% | 4/15/26 | 10,023 | 9,860 | ||
Sands China Ltd. | 4.600% | 8/8/23 | 27,527 | 29,108 | ||
Sands China Ltd. | 5.125% | 8/8/25 | 41,261 | 45,908 | ||
Sands China Ltd. | 3.800% | 1/8/26 | 12,054 | 12,802 | ||
Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 11,997 | 13,200 | ||
1 | Stanley Black & Decker Inc. | 4.000% | 3/15/60 | 16,484 | 17,690 | |
Starbucks Corp. | 3.100% | 3/1/23 | 26,116 | 27,129 | ||
Starbucks Corp. | 3.850% | 10/1/23 | 10,117 | 10,752 | ||
Starbucks Corp. | 3.800% | 8/15/25 | 27,231 | 30,076 | ||
Starbucks Corp. | 2.450% | 6/15/26 | 12,842 | 13,609 | ||
Stellantis NV | 5.250% | 4/15/23 | 31,791 | 34,057 | ||
Tapestry Inc. | 4.250% | 4/1/25 | 14,399 | 15,602 | ||
TJX Cos. Inc. | 2.500% | 5/15/23 | 16,047 | 16,566 | ||
Toyota Motor Corp. | 3.419% | 7/20/23 | 16,246 | 17,203 | ||
Toyota Motor Corp. | 0.681% | 3/25/24 | 1,088 | 1,091 | ||
Toyota Motor Corp. | 2.358% | 7/2/24 | 6,305 | 6,615 | ||
Toyota Motor Corp. | 1.339% | 3/25/26 | 23,243 | 23,546 | ||
1 | Toyota Motor Credit Corp. | 1.150% | 5/26/22 | 10,000 | 10,071 | |
1 | Toyota Motor Credit Corp. | 2.150% | 9/8/22 | 20,794 | 21,198 | |
1 | Toyota Motor Credit Corp. | 0.350% | 10/14/22 | 24,454 | 24,493 | |
1 | Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 18,717 | 19,317 | |
1 | Toyota Motor Credit Corp. | 2.700% | 1/11/23 | 13,785 | 14,237 | |
1 | Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 25,651 | 26,698 | |
1 | Toyota Motor Credit Corp. | 0.400% | 4/6/23 | 10,146 | 10,160 | |
1 | Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 21,620 | 21,692 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Toyota Motor Credit Corp. | 1.350% | 8/25/23 | 40,057 | 40,828 | |
1 | Toyota Motor Credit Corp. | 3.450% | 9/20/23 | 11,192 | 11,893 | |
1 | Toyota Motor Credit Corp. | 2.250% | 10/18/23 | 12,861 | 13,353 | |
Toyota Motor Credit Corp. | 3.350% | 1/8/24 | 10,758 | 11,466 | ||
1 | Toyota Motor Credit Corp. | 0.450% | 1/11/24 | 22,262 | 22,248 | |
1 | Toyota Motor Credit Corp. | 2.900% | 4/17/24 | 12,327 | 13,074 | |
1 | Toyota Motor Credit Corp. | 0.500% | 6/18/24 | 12,150 | 12,125 | |
1 | Toyota Motor Credit Corp. | 2.000% | 10/7/24 | 8,677 | 9,025 | |
1 | Toyota Motor Credit Corp. | 1.800% | 2/13/25 | 51,598 | 53,219 | |
1 | Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 24,576 | 26,366 | |
1 | Toyota Motor Credit Corp. | 3.400% | 4/14/25 | 14,597 | 15,897 | |
1 | Toyota Motor Credit Corp. | 0.800% | 10/16/25 | 9,901 | 9,838 | |
1 | Toyota Motor Credit Corp. | 0.800% | 1/9/26 | 15,255 | 15,092 | |
1 | Toyota Motor Credit Corp. | 1.125% | 6/18/26 | 13,040 | 13,081 | |
VF Corp. | 2.400% | 4/23/25 | 18,066 | 18,915 | ||
Whirlpool Corp. | 4.700% | 6/1/22 | 4,525 | 4,668 | ||
Whirlpool Corp. | 4.000% | 3/1/24 | 5,825 | 6,294 | ||
Whirlpool Corp. | 3.700% | 5/1/25 | 5,012 | 5,483 | ||
1 | Yale University | 0.873% | 4/15/25 | 10,521 | 10,603 | |
3,184,653 | ||||||
Consumer Staples (5.2%) | ||||||
Altria Group Inc. | 4.000% | 1/31/24 | 23,010 | 24,885 | ||
Altria Group Inc. | 3.800% | 2/14/24 | 15,970 | 17,136 | ||
Altria Group Inc. | 2.350% | 5/6/25 | 11,522 | 12,014 | ||
Altria Group Inc. | 4.400% | 2/14/26 | 30,701 | 34,702 | ||
1 | Anheuser-Busch Cos. LLC | 3.650% | 2/1/26 | 66,342 | 73,291 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 40,328 | 44,473 | ||
Archer-Daniels-Midland Co. | 2.750% | 3/27/25 | 8,635 | 9,170 | ||
Archer-Daniels-Midland Co. | 2.500% | 8/11/26 | 21,291 | 22,681 | ||
BAT Capital Corp. | 3.222% | 8/15/24 | 49,813 | 52,867 | ||
BAT Capital Corp. | 2.789% | 9/6/24 | 17,143 | 18,006 | ||
BAT International Finance plc | 1.668% | 3/25/26 | 33,113 | 33,336 | ||
Brown-Forman Corp. | 3.500% | 4/15/25 | 4,401 | 4,804 | ||
Bunge Ltd. Finance Corp. | 3.000% | 9/25/22 | 5,875 | 6,023 | ||
Bunge Ltd. Finance Corp. | 4.350% | 3/15/24 | 12,505 | 13,557 | ||
Bunge Ltd. Finance Corp. | 1.630% | 8/17/25 | 12,126 | 12,321 | ||
Bunge Ltd. Finance Corp. | 3.250% | 8/15/26 | 18,890 | 20,434 | ||
Campbell Soup Co. | 3.650% | 3/15/23 | 11,663 | 12,198 | ||
Campbell Soup Co. | 3.950% | 3/15/25 | 20,067 | 22,035 | ||
Campbell Soup Co. | 3.300% | 3/19/25 | 9,861 | 10,606 | ||
Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 5,759 | 5,913 | ||
Clorox Co. | 3.800% | 11/15/21 | 5,664 | 5,704 | ||
Clorox Co. | 3.050% | 9/15/22 | 8,547 | 8,726 | ||
Clorox Co. | 3.500% | 12/15/24 | 8,971 | 9,716 | ||
Coca-Cola Co. | 1.750% | 9/6/24 | 29,479 | 30,677 | ||
Coca-Cola Consolidated Inc. | 3.800% | 11/25/25 | 7,067 | 7,814 | ||
1 | Colgate-Palmolive Co. | 2.250% | 11/15/22 | 10,289 | 10,538 | |
1 | Colgate-Palmolive Co. | 1.950% | 2/1/23 | 3,160 | 3,236 | |
1 | Colgate-Palmolive Co. | 2.100% | 5/1/23 | 7,177 | 7,390 | |
1 | Colgate-Palmolive Co. | 3.250% | 3/15/24 | 7,331 | 7,849 | |
Conagra Brands Inc. | 3.250% | 9/15/22 | 700 | 720 | ||
Conagra Brands Inc. | 3.200% | 1/25/23 | 5,906 | 6,091 | ||
Conagra Brands Inc. | 0.500% | 8/11/23 | 8,400 | 8,398 | ||
Conagra Brands Inc. | 4.300% | 5/1/24 | 30,096 | 32,792 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 24,322 | 27,471 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Constellation Brands Inc. | 3.200% | 2/15/23 | 24,345 | 25,268 | ||
Constellation Brands Inc. | 4.250% | 5/1/23 | 25,736 | 27,277 | ||
Constellation Brands Inc. | 4.750% | 11/15/24 | 9,250 | 10,350 | ||
Constellation Brands Inc. | 4.400% | 11/15/25 | 9,848 | 11,104 | ||
Constellation Brands Inc. | 4.750% | 12/1/25 | 7,765 | 8,908 | ||
Constellation Brands Inc. | 3.700% | 12/6/26 | 10,000 | 11,107 | ||
Costco Wholesale Corp. | 2.750% | 5/18/24 | 29,440 | 31,158 | ||
Diageo Capital plc | 2.625% | 4/29/23 | 24,613 | 25,412 | ||
Diageo Capital plc | 3.500% | 9/18/23 | 12,593 | 13,366 | ||
Diageo Capital plc | 2.125% | 10/24/24 | 12,939 | 13,522 | ||
Diageo Capital plc | 1.375% | 9/29/25 | 22,550 | 22,908 | ||
Dollar General Corp. | 3.250% | 4/15/23 | 32,332 | 33,577 | ||
Dollar General Corp. | 4.150% | 11/1/25 | 5,794 | 6,470 | ||
Dollar Tree Inc. | 3.700% | 5/15/23 | 22,447 | 23,603 | ||
Dollar Tree Inc. | 4.000% | 5/15/25 | 20,982 | 23,041 | ||
Estee Lauder Cos. Inc. | 2.000% | 12/1/24 | 12,381 | 12,947 | ||
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 3,180 | 3,290 | ||
General Mills Inc. | 2.600% | 10/12/22 | 13,109 | 13,407 | ||
General Mills Inc. | 3.700% | 10/17/23 | 18,060 | 19,230 | ||
General Mills Inc. | 3.650% | 2/15/24 | 11,732 | 12,519 | ||
General Mills Inc. | 4.000% | 4/17/25 | 13,387 | 14,786 | ||
Hershey Co. | 2.625% | 5/1/23 | 750 | 774 | ||
Hershey Co. | 3.375% | 5/15/23 | 10,125 | 10,619 | ||
Hershey Co. | 2.050% | 11/15/24 | 1,075 | 1,123 | ||
Hershey Co. | 0.900% | 6/1/25 | 7,265 | 7,289 | ||
Hershey Co. | 3.200% | 8/21/25 | 5,377 | 5,833 | ||
Hershey Co. | 2.300% | 8/15/26 | 12,125 | 12,863 | ||
Hormel Foods Corp. | 0.650% | 6/3/24 | 13,800 | 13,820 | ||
J M Smucker Co. | 3.500% | 3/15/25 | 25,301 | 27,508 | ||
Kellogg Co. | 2.650% | 12/1/23 | 11,481 | 12,036 | ||
Kellogg Co. | 3.250% | 4/1/26 | 13,828 | 15,114 | ||
Keurig Dr Pepper Inc. | 4.057% | 5/25/23 | 22,213 | 23,559 | ||
Keurig Dr Pepper Inc. | 3.130% | 12/15/23 | 21,399 | 22,586 | ||
Keurig Dr Pepper Inc. | 0.750% | 3/15/24 | 10,000 | 10,010 | ||
Keurig Dr Pepper Inc. | 4.417% | 5/25/25 | 17,070 | 19,103 | ||
Keurig Dr Pepper Inc. | 3.400% | 11/15/25 | 7,014 | 7,650 | ||
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 6,087 | 6,309 | ||
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 5,890 | 6,399 | ||
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 11,589 | 12,542 | ||
Kroger Co. | 3.850% | 8/1/23 | 15,992 | 16,898 | ||
Kroger Co. | 4.000% | 2/1/24 | 13,620 | 14,615 | ||
Kroger Co. | 3.500% | 2/1/26 | 7,155 | 7,883 | ||
McCormick & Co. Inc. | 3.150% | 8/15/24 | 22,125 | 23,574 | ||
McCormick & Co. Inc. | 0.900% | 2/15/26 | 9,381 | 9,273 | ||
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 22,741 | 25,518 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 43,627 | 46,887 | ||
3 | Mondelez International Holdings Netherlands BV | 2.125% | 9/19/22 | 6,150 | 6,269 | |
Mondelez International Inc. | 1.500% | 5/4/25 | 21,915 | 22,320 | ||
PepsiCo Inc. | 2.750% | 3/1/23 | 22,761 | 23,632 | ||
PepsiCo Inc. | 0.750% | 5/1/23 | 29,929 | 30,189 | ||
PepsiCo Inc. | 0.400% | 10/7/23 | 8,493 | 8,521 | ||
PepsiCo Inc. | 3.600% | 3/1/24 | 13,740 | 14,715 | ||
PepsiCo Inc. | 2.250% | 3/19/25 | 50,662 | 53,244 | ||
PepsiCo Inc. | 2.750% | 4/30/25 | 20,596 | 21,992 | ||
PepsiCo Inc. | 3.500% | 7/17/25 | 12,023 | 13,182 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PepsiCo Inc. | 2.850% | 2/24/26 | 22,639 | 24,471 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 10,000 | 10,704 | ||
Philip Morris International Inc. | 2.500% | 11/2/22 | 14,782 | 15,138 | ||
Philip Morris International Inc. | 2.625% | 3/6/23 | 14,736 | 15,263 | ||
Philip Morris International Inc. | 1.125% | 5/1/23 | 21,433 | 21,714 | ||
Philip Morris International Inc. | 2.125% | 5/10/23 | 11,711 | 12,029 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,960 | 8,522 | ||
Philip Morris International Inc. | 2.875% | 5/1/24 | 17,344 | 18,348 | ||
Philip Morris International Inc. | 3.250% | 11/10/24 | 17,954 | 19,389 | ||
Philip Morris International Inc. | 1.500% | 5/1/25 | 8,412 | 8,576 | ||
Philip Morris International Inc. | 3.375% | 8/11/25 | 14,610 | 15,886 | ||
Philip Morris International Inc. | 2.750% | 2/25/26 | 23,283 | 24,891 | ||
Philip Morris International Inc. | 0.875% | 5/1/26 | 15,795 | 15,615 | ||
Procter & Gamble Co. | 3.100% | 8/15/23 | 29,640 | 31,273 | ||
Procter & Gamble Co. | 0.550% | 10/29/25 | 18,711 | 18,576 | ||
Procter & Gamble Co. | 2.700% | 2/2/26 | 17,448 | 18,830 | ||
Reynolds American Inc. | 4.850% | 9/15/23 | 7,435 | 8,081 | ||
Reynolds American Inc. | 4.450% | 6/12/25 | 58,728 | 65,115 | ||
Sysco Corp. | 3.550% | 3/15/25 | 14,879 | 16,166 | ||
Sysco Corp. | 5.650% | 4/1/25 | 15,354 | 17,709 | ||
Sysco Corp. | 3.750% | 10/1/25 | 14,560 | 16,015 | ||
Sysco Corp. | 3.300% | 7/15/26 | 20,493 | 22,282 | ||
Target Corp. | 3.500% | 7/1/24 | 23,310 | 25,269 | ||
Target Corp. | 2.250% | 4/15/25 | 32,687 | 34,363 | ||
Target Corp. | 2.500% | 4/15/26 | 21,250 | 22,838 | ||
Tyson Foods Inc. | 3.900% | 9/28/23 | 2,552 | 2,724 | ||
Tyson Foods Inc. | 3.950% | 8/15/24 | 21,008 | 22,794 | ||
Tyson Foods Inc. | 4.000% | 3/1/26 | 28,691 | 32,023 | ||
Unilever Capital Corp. | 3.125% | 3/22/23 | 11,790 | 12,286 | ||
Unilever Capital Corp. | 0.375% | 9/14/23 | 16,255 | 16,283 | ||
Unilever Capital Corp. | 3.250% | 3/7/24 | 15,599 | 16,636 | ||
Unilever Capital Corp. | 2.600% | 5/5/24 | 19,881 | 20,915 | ||
Unilever Capital Corp. | 0.626% | 8/12/24 | 4,750 | 4,755 | ||
Unilever Capital Corp. | 3.375% | 3/22/25 | 6,971 | 7,581 | ||
Unilever Capital Corp. | 3.100% | 7/30/25 | 8,569 | 9,290 | ||
Unilever Capital Corp. | 2.000% | 7/28/26 | 21,671 | 22,676 | ||
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 36,405 | 39,529 | ||
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 26,408 | 28,830 | ||
Walmart Inc. | 2.350% | 12/15/22 | 15,980 | 16,392 | ||
Walmart Inc. | 2.550% | 4/11/23 | 30,078 | 31,043 | ||
Walmart Inc. | 3.400% | 6/26/23 | 58,034 | 61,207 | ||
Walmart Inc. | 3.300% | 4/22/24 | 31,475 | 33,610 | ||
Walmart Inc. | 2.850% | 7/8/24 | 47,810 | 50,908 | ||
Walmart Inc. | 2.650% | 12/15/24 | 32,297 | 34,434 | ||
Walmart Inc. | 3.550% | 6/26/25 | 29,520 | 32,491 | ||
Walmart Inc. | 3.050% | 7/8/26 | 21,246 | 23,266 | ||
2,561,409 | ||||||
Energy (7.4%) | ||||||
Baker Hughes a GE Co. LLC | 2.773% | 12/15/22 | 36,325 | 37,409 | ||
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 7,460 | 7,685 | ||
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 10,412 | 11,588 | ||
Boardwalk Pipelines LP | 5.950% | 6/1/26 | 14,981 | 17,684 | ||
BP Capital Markets America Inc. | 2.937% | 4/6/23 | 22,325 | 23,234 | ||
1 | BP Capital Markets America Inc. | 2.750% | 5/10/23 | 40,017 | 41,631 | |
1 | BP Capital Markets America Inc. | 3.216% | 11/28/23 | 13,276 | 14,031 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
BP Capital Markets America Inc. | 3.790% | 2/6/24 | 16,348 | 17,548 | ||
1 | BP Capital Markets America Inc. | 3.224% | 4/14/24 | 21,536 | 22,884 | |
BP Capital Markets America Inc. | 3.194% | 4/6/25 | 19,654 | 21,126 | ||
BP Capital Markets America Inc. | 3.796% | 9/21/25 | 15,312 | 16,916 | ||
BP Capital Markets America Inc. | 3.410% | 2/11/26 | 22,080 | 24,160 | ||
1 | BP Capital Markets America Inc. | 3.119% | 5/4/26 | 22,887 | 24,838 | |
BP Capital Markets plc | 2.500% | 11/6/22 | 19,687 | 20,201 | ||
BP Capital Markets plc | 2.750% | 5/10/23 | 2,185 | 2,272 | ||
BP Capital Markets plc | 3.994% | 9/26/23 | 17,089 | 18,345 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 43,167 | 46,515 | ||
BP Capital Markets plc | 3.535% | 11/4/24 | 11,623 | 12,599 | ||
BP Capital Markets plc | 3.506% | 3/17/25 | 17,318 | 18,854 | ||
Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 28,401 | 29,299 | ||
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 14,518 | 15,518 | ||
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 15,625 | 16,938 | ||
Canadian Natural Resources Ltd. | 2.050% | 7/15/25 | 11,480 | 11,818 | ||
Cenovus Energy Inc. | 3.800% | 9/15/23 | 12,403 | 13,051 | ||
Cenovus Energy Inc. | 4.000% | 4/15/24 | 10,530 | 11,261 | ||
Cenovus Energy Inc. | 5.375% | 7/15/25 | 32,517 | 36,913 | ||
Cheniere Corpus Christi Holdings LLC | 7.000% | 6/30/24 | 28,415 | 32,276 | ||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 47,756 | 54,275 | ||
Chevron Corp. | 2.355% | 12/5/22 | 43,418 | 44,350 | ||
Chevron Corp. | 1.141% | 5/11/23 | 33,805 | 34,303 | ||
Chevron Corp. | 2.566% | 5/16/23 | 11,484 | 11,874 | ||
Chevron Corp. | 3.191% | 6/24/23 | 33,582 | 35,109 | ||
Chevron Corp. | 2.895% | 3/3/24 | 20,467 | 21,635 | ||
Chevron Corp. | 1.554% | 5/11/25 | 53,778 | 55,182 | ||
Chevron Corp. | 3.326% | 11/17/25 | 12,391 | 13,557 | ||
Chevron Corp. | 2.954% | 5/16/26 | 48,051 | 52,092 | ||
Chevron USA Inc. | 0.426% | 8/11/23 | 8,374 | 8,395 | ||
Chevron USA Inc. | 3.900% | 11/15/24 | 13,291 | 14,560 | ||
Chevron USA Inc. | 0.687% | 8/12/25 | 18,835 | 18,734 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 15,219 | 16,471 | ||
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 19,333 | 21,648 | ||
ConocoPhillips Co. | 2.400% | 12/15/22 | 2,789 | 2,847 | ||
ConocoPhillips Co. | 3.350% | 11/15/24 | 6,969 | 7,498 | ||
ConocoPhillips Co. | 4.950% | 3/15/26 | 31,945 | 37,024 | ||
3 | Devon Energy Corp. | 5.250% | 9/15/24 | 11,570 | 12,840 | |
Devon Energy Corp. | 5.850% | 12/15/25 | 9,476 | 11,029 | ||
Diamondback Energy Inc. | 0.900% | 3/24/23 | 10,400 | 10,395 | ||
Diamondback Energy Inc. | 2.875% | 12/1/24 | 20,081 | 21,093 | ||
Diamondback Energy Inc. | 4.750% | 5/31/25 | 11,209 | 12,544 | ||
3 | Eastern Gas Transmission & Storage Inc. | 3.600% | 12/15/24 | 3,906 | 4,208 | |
Enable Midstream Partners LP | 3.900% | 5/15/24 | 10,798 | 11,483 | ||
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 7,688 | 9,027 | ||
Enbridge Inc. | 4.000% | 10/1/23 | 22,552 | 23,948 | ||
Enbridge Inc. | 3.500% | 6/10/24 | 11,449 | 12,252 | ||
Enbridge Inc. | 2.500% | 1/15/25 | 18,123 | 18,982 | ||
Energy Transfer LP | 5.000% | 10/1/22 | 14,200 | 14,701 | ||
Energy Transfer LP | 3.450% | 1/15/23 | 7,983 | 8,221 | ||
Energy Transfer LP | 3.600% | 2/1/23 | 17,136 | 17,716 | ||
1 | Energy Transfer LP | 4.250% | 3/15/23 | 21,105 | 22,042 | |
1 | Energy Transfer LP | 4.200% | 9/15/23 | 12,605 | 13,420 | |
Energy Transfer LP | 4.500% | 11/1/23 | 13,010 | 13,901 | ||
1 | Energy Transfer LP | 5.875% | 1/15/24 | 24,652 | 27,161 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Energy Transfer LP | 4.900% | 2/1/24 | 7,343 | 7,935 | ||
Energy Transfer LP | 4.250% | 4/1/24 | 10,731 | 11,513 | ||
Energy Transfer LP | 4.500% | 4/15/24 | 13,278 | 14,407 | ||
Energy Transfer LP | 4.050% | 3/15/25 | 21,378 | 23,145 | ||
Energy Transfer LP | 2.900% | 5/15/25 | 21,264 | 22,341 | ||
Energy Transfer LP | 5.950% | 12/1/25 | 10,953 | 12,788 | ||
Energy Transfer LP | 4.750% | 1/15/26 | 22,084 | 24,780 | ||
Energy Transfer LP | 3.900% | 7/15/26 | 12,571 | 13,800 | ||
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 27,183 | 28,185 | ||
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 15,021 | 16,088 | ||
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 31,193 | 33,894 | ||
Enterprise Products Operating LLC | 3.700% | 2/15/26 | 19,129 | 21,141 | ||
EOG Resources Inc. | 2.625% | 3/15/23 | 20,067 | 20,673 | ||
EOG Resources Inc. | 3.150% | 4/1/25 | 8,032 | 8,624 | ||
EOG Resources Inc. | 4.150% | 1/15/26 | 18,578 | 20,845 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 34,999 | 36,121 | ||
Exxon Mobil Corp. | 1.571% | 4/15/23 | 58,715 | 59,893 | ||
Exxon Mobil Corp. | 3.176% | 3/15/24 | 10,081 | 10,707 | ||
Exxon Mobil Corp. | 2.019% | 8/16/24 | 22,378 | 23,338 | ||
Exxon Mobil Corp. | 2.709% | 3/6/25 | 24,770 | 26,301 | ||
Exxon Mobil Corp. | 2.992% | 3/19/25 | 81,943 | 87,660 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 50,100 | 54,319 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 31,000 | 32,679 | ||
Halliburton Co. | 3.500% | 8/1/23 | 15,737 | 16,523 | ||
Halliburton Co. | 3.800% | 11/15/25 | 18,408 | 20,270 | ||
1 | Helmerich & Payne Inc. | 4.650% | 3/15/25 | 7,350 | 8,175 | |
Hess Corp. | 3.500% | 7/15/24 | 6,446 | 6,835 | ||
HollyFrontier Corp. | 2.625% | 10/1/23 | 4,641 | 4,792 | ||
HollyFrontier Corp. | 5.875% | 4/1/26 | 24,319 | 27,944 | ||
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 15,199 | 15,606 | ||
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 14,430 | 14,938 | ||
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 15,017 | 15,772 | ||
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 10,169 | 10,909 | ||
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 14,849 | 16,089 | ||
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 15,327 | 16,723 | ||
Kinder Morgan Inc. | 3.150% | 1/15/23 | 19,567 | 20,254 | ||
Kinder Morgan Inc. | 4.300% | 6/1/25 | 33,100 | 36,673 | ||
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 13,312 | 15,287 | ||
Marathon Oil Corp. | 3.850% | 6/1/25 | 21,083 | 23,291 | ||
Marathon Petroleum Corp. | 4.500% | 5/1/23 | 32,397 | 34,342 | ||
Marathon Petroleum Corp. | 4.750% | 12/15/23 | 14,017 | 15,188 | ||
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 12,345 | 13,271 | ||
Marathon Petroleum Corp. | 4.700% | 5/1/25 | 34,256 | 38,391 | ||
MPLX LP | 3.500% | 12/1/22 | 13,111 | 13,563 | ||
MPLX LP | 3.375% | 3/15/23 | 13,135 | 13,665 | ||
MPLX LP | 4.500% | 7/15/23 | 20,405 | 21,674 | ||
MPLX LP | 4.875% | 12/1/24 | 26,137 | 29,091 | ||
MPLX LP | 4.000% | 2/15/25 | 12,840 | 13,981 | ||
MPLX LP | 4.875% | 6/1/25 | 27,638 | 31,079 | ||
MPLX LP | 1.750% | 3/1/26 | 32,726 | 33,142 | ||
ONEOK Inc. | 7.500% | 9/1/23 | 8,890 | 9,926 | ||
ONEOK Inc. | 2.750% | 9/1/24 | 9,990 | 10,478 | ||
ONEOK Inc. | 2.200% | 9/15/25 | 15,641 | 16,075 | ||
ONEOK Inc. | 5.850% | 1/15/26 | 11,639 | 13,697 | ||
ONEOK Partners LP | 3.375% | 10/1/22 | 23,969 | 24,536 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ONEOK Partners LP | 5.000% | 9/15/23 | 8,747 | 9,390 | ||
ONEOK Partners LP | 4.900% | 3/15/25 | 14,678 | 16,372 | ||
Phillips 66 | 3.700% | 4/6/23 | 11,009 | 11,558 | ||
Phillips 66 | 0.900% | 2/15/24 | 6,350 | 6,352 | ||
Phillips 66 | 3.850% | 4/9/25 | 22,404 | 24,487 | ||
Phillips 66 | 1.300% | 2/15/26 | 12,386 | 12,382 | ||
Phillips 66 Partners LP | 2.450% | 12/15/24 | 6,676 | 6,946 | ||
Phillips 66 Partners LP | 3.605% | 2/15/25 | 10,655 | 11,472 | ||
Pioneer Natural Resources Co. | 0.550% | 5/15/23 | 6,525 | 6,522 | ||
Pioneer Natural Resources Co. | 0.750% | 1/15/24 | 15,500 | 15,469 | ||
Pioneer Natural Resources Co. | 1.125% | 1/15/26 | 15,158 | 15,034 | ||
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 21,052 | 23,652 | ||
Plains All American Pipeline LP | 2.850% | 1/31/23 | 6,446 | 6,599 | ||
Plains All American Pipeline LP | 3.850% | 10/15/23 | 16,470 | 17,359 | ||
Plains All American Pipeline LP | 3.600% | 11/1/24 | 18,079 | 19,273 | ||
Plains All American Pipeline LP | 4.650% | 10/15/25 | 24,210 | 26,973 | ||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 28,465 | 30,357 | ||
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 44,735 | 49,879 | ||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 46,688 | 53,200 | ||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 12,646 | 14,947 | ||
Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 10,550 | 10,701 | ||
Schlumberger Investment SA | 3.650% | 12/1/23 | 30,284 | 32,210 | ||
Shell International Finance BV | 2.250% | 1/6/23 | 22,928 | 23,535 | ||
Shell International Finance BV | 3.400% | 8/12/23 | 20,907 | 22,159 | ||
Shell International Finance BV | 0.375% | 9/15/23 | 14,491 | 14,512 | ||
Shell International Finance BV | 3.500% | 11/13/23 | 14,712 | 15,686 | ||
Shell International Finance BV | 2.000% | 11/7/24 | 27,457 | 28,627 | ||
Shell International Finance BV | 2.375% | 4/6/25 | 30,326 | 31,838 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 58,018 | 62,920 | ||
Shell International Finance BV | 2.875% | 5/10/26 | 35,891 | 38,769 | ||
Spectra Energy Partners LP | 4.750% | 3/15/24 | 24,429 | 26,640 | ||
Spectra Energy Partners LP | 3.500% | 3/15/25 | 5,573 | 6,000 | ||
Suncor Energy Inc. | 2.800% | 5/15/23 | 12,031 | 12,474 | ||
Suncor Energy Inc. | 3.600% | 12/1/24 | 20,879 | 22,700 | ||
Suncor Energy Inc. | 3.100% | 5/15/25 | 11,995 | 12,792 | ||
TC PipeLines LP | 4.375% | 3/13/25 | 5,520 | 6,069 | ||
TotalEnergies Capital Canada Ltd. | 2.750% | 7/15/23 | 30,544 | 31,891 | ||
TotalEnergies Capital International SA | 2.700% | 1/25/23 | 23,871 | 24,680 | ||
TotalEnergies Capital International SA | 3.700% | 1/15/24 | 25,333 | 27,236 | ||
TotalEnergies Capital International SA | 3.750% | 4/10/24 | 13,121 | 14,208 | ||
TotalEnergies Capital International SA | 2.434% | 1/10/25 | 21,366 | 22,418 | ||
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 16,556 | 17,553 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 18,489 | 21,213 | ||
Transcontinental Gas Pipe Line Co. LLC | 7.850% | 2/1/26 | 21,315 | 26,833 | ||
Valero Energy Corp. | 2.700% | 4/15/23 | 19,173 | 19,809 | ||
Valero Energy Corp. | 1.200% | 3/15/24 | 13,711 | 13,824 | ||
Valero Energy Corp. | 3.650% | 3/15/25 | 14,244 | 15,419 | ||
Valero Energy Corp. | 2.850% | 4/15/25 | 23,241 | 24,522 | ||
Valero Energy Corp. | 3.400% | 9/15/26 | 6,000 | 6,465 | ||
Williams Cos. Inc. | 3.700% | 1/15/23 | 20,202 | 20,934 | ||
Williams Cos. Inc. | 4.500% | 11/15/23 | 12,525 | 13,459 | ||
Williams Cos. Inc. | 4.300% | 3/4/24 | 22,274 | 24,022 | ||
Williams Cos. Inc. | 4.550% | 6/24/24 | 21,846 | 23,944 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Williams Cos. Inc. | 3.900% | 1/15/25 | 17,747 | 19,257 | ||
Williams Cos. Inc. | 4.000% | 9/15/25 | 20,790 | 22,947 | ||
3,630,957 | ||||||
Financials (40.4%) | ||||||
AerCap Ireland Capital DAC | 3.300% | 1/23/23 | 17,130 | 17,688 | ||
AerCap Ireland Capital DAC | 4.125% | 7/3/23 | 18,704 | 19,741 | ||
AerCap Ireland Capital DAC | 4.500% | 9/15/23 | 27,821 | 29,695 | ||
AerCap Ireland Capital DAC | 4.875% | 1/16/24 | 26,432 | 28,647 | ||
AerCap Ireland Capital DAC | 3.150% | 2/15/24 | 17,931 | 18,746 | ||
AerCap Ireland Capital DAC | 2.875% | 8/14/24 | 17,810 | 18,569 | ||
AerCap Ireland Capital DAC | 3.500% | 1/15/25 | 16,777 | 17,766 | ||
AerCap Ireland Capital DAC | 6.500% | 7/15/25 | 32,966 | 38,508 | ||
AerCap Ireland Capital DAC | 4.450% | 10/1/25 | 15,895 | 17,430 | ||
AerCap Ireland Capital DAC | 1.750% | 1/30/26 | 16,658 | 16,485 | ||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 5,601 | 6,081 | ||
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 14,007 | 15,258 | ||
Aflac Inc. | 3.625% | 11/15/24 | 29,932 | 32,733 | ||
Aflac Inc. | 3.250% | 3/17/25 | 11,482 | 12,426 | ||
Aflac Inc. | 1.125% | 3/15/26 | 15,255 | 15,336 | ||
Air Lease Corp. | 2.250% | 1/15/23 | 7,612 | 7,791 | ||
Air Lease Corp. | 2.750% | 1/15/23 | 14,855 | 15,279 | ||
Air Lease Corp. | 3.875% | 7/3/23 | 12,863 | 13,584 | ||
Air Lease Corp. | 3.000% | 9/15/23 | 13,150 | 13,708 | ||
1 | Air Lease Corp. | 4.250% | 2/1/24 | 23,594 | 25,422 | |
1 | Air Lease Corp. | 0.700% | 2/15/24 | 13,850 | 13,801 | |
Air Lease Corp. | 0.800% | 8/18/24 | 17,100 | 17,061 | ||
Air Lease Corp. | 4.250% | 9/15/24 | 13,147 | 14,307 | ||
1 | Air Lease Corp. | 2.300% | 2/1/25 | 17,743 | 18,332 | |
Air Lease Corp. | 3.250% | 3/1/25 | 13,209 | 14,030 | ||
Air Lease Corp. | 3.375% | 7/1/25 | 18,825 | 20,163 | ||
1 | Air Lease Corp. | 2.875% | 1/15/26 | 29,411 | 30,913 | |
1 | Air Lease Corp. | 3.750% | 6/1/26 | 12,767 | 13,942 | |
Air Lease Corp. | 1.875% | 8/17/26 | 25,283 | 25,362 | ||
Aircastle Ltd. | 5.000% | 4/1/23 | 11,676 | 12,427 | ||
Aircastle Ltd. | 4.400% | 9/25/23 | 13,839 | 14,763 | ||
Aircastle Ltd. | 4.125% | 5/1/24 | 9,959 | 10,615 | ||
Aircastle Ltd. | 4.250% | 6/15/26 | 14,015 | 15,412 | ||
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 7,574 | 8,276 | ||
Allstate Corp. | 3.150% | 6/15/23 | 12,438 | 13,060 | ||
Allstate Corp. | 0.750% | 12/15/25 | 7,507 | 7,459 | ||
1 | Allstate Corp. | 5.750% | 8/15/53 | 20,772 | 22,527 | |
Ally Financial Inc. | 4.625% | 5/19/22 | 13,006 | 13,386 | ||
Ally Financial Inc. | 3.050% | 6/5/23 | 1,550 | 1,611 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 32,390 | 32,882 | ||
Ally Financial Inc. | 3.875% | 5/21/24 | 16,560 | 17,855 | ||
Ally Financial Inc. | 5.125% | 9/30/24 | 27,976 | 31,445 | ||
Ally Financial Inc. | 4.625% | 3/30/25 | 18,255 | 20,384 | ||
Ally Financial Inc. | 5.800% | 5/1/25 | 14,391 | 16,652 | ||
American Express Co. | 2.650% | 12/2/22 | 43,109 | 44,406 | ||
American Express Co. | 3.400% | 2/27/23 | 44,805 | 46,720 | ||
American Express Co. | 3.700% | 8/3/23 | 28,524 | 30,253 | ||
American Express Co. | 3.400% | 2/22/24 | 30,392 | 32,415 | ||
American Express Co. | 2.500% | 7/30/24 | 27,720 | 29,188 | ||
American Express Co. | 3.000% | 10/30/24 | 33,008 | 35,356 | ||
American Express Co. | 3.625% | 12/5/24 | 14,704 | 16,028 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Express Co. | 4.200% | 11/6/25 | 11,996 | 13,612 | ||
American Express Co. | 3.125% | 5/20/26 | 24,205 | 26,421 | ||
American Financial Group Inc. | 3.500% | 8/15/26 | 8,300 | 9,079 | ||
American International Group Inc. | 4.125% | 2/15/24 | 28,425 | 30,790 | ||
American International Group Inc. | 2.500% | 6/30/25 | 41,962 | 44,140 | ||
American International Group Inc. | 3.750% | 7/10/25 | 29,050 | 31,867 | ||
American International Group Inc. | 3.900% | 4/1/26 | 27,689 | 30,771 | ||
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 19,244 | 20,686 | ||
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 11,603 | 12,670 | ||
Ameriprise Financial Inc. | 3.000% | 4/2/25 | 14,612 | 15,598 | ||
Aon Corp. | 2.200% | 11/15/22 | 10,649 | 10,884 | ||
Aon plc | 4.000% | 11/27/23 | 5,647 | 6,031 | ||
Aon plc | 3.500% | 6/14/24 | 9,619 | 10,316 | ||
Aon plc | 3.875% | 12/15/25 | 24,432 | 27,084 | ||
Ares Capital Corp. | 3.500% | 2/10/23 | 16,491 | 17,070 | ||
Ares Capital Corp. | 4.200% | 6/10/24 | 16,562 | 17,809 | ||
Ares Capital Corp. | 4.250% | 3/1/25 | 17,071 | 18,449 | ||
Ares Capital Corp. | 3.250% | 7/15/25 | 25,937 | 27,394 | ||
Ares Capital Corp. | 3.875% | 1/15/26 | 25,965 | 27,958 | ||
Ares Capital Corp. | 2.150% | 7/15/26 | 20,489 | 20,625 | ||
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 6,460 | 7,002 | ||
Assurant Inc. | 4.200% | 9/27/23 | 8,290 | 8,864 | ||
Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 10,650 | 11,893 | ||
1 | Australia & New Zealand Banking Group Ltd. | 2.625% | 11/9/22 | 21,956 | 22,580 | |
1 | Australia & New Zealand Banking Group Ltd. | 2.050% | 11/21/22 | 20,306 | 20,753 | |
1 | Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 13,469 | 15,055 | |
Bain Capital Specialty Finance Inc. | 2.950% | 3/10/26 | 7,295 | 7,503 | ||
Banco Bilbao Vizcaya Argentaria SA | 0.875% | 9/18/23 | 25,920 | 26,047 | ||
Banco Bilbao Vizcaya Argentaria SA | 1.125% | 9/18/25 | 17,423 | 17,335 | ||
Banco Santander SA | 3.125% | 2/23/23 | 24,518 | 25,450 | ||
Banco Santander SA | 3.848% | 4/12/23 | 29,376 | 30,929 | ||
Banco Santander SA | 2.706% | 6/27/24 | 34,540 | 36,495 | ||
Banco Santander SA | 0.701% | 6/30/24 | 8,389 | 8,413 | ||
Banco Santander SA | 2.746% | 5/28/25 | 37,519 | 39,555 | ||
Banco Santander SA | 5.179% | 11/19/25 | 28,052 | 32,048 | ||
Banco Santander SA | 1.849% | 3/25/26 | 23,314 | 23,685 | ||
1 | BancorpSouth Bank | 4.125% | 11/20/29 | 1,275 | 1,344 | |
1 | Bank of America Corp. | 2.503% | 10/21/22 | 6,861 | 6,882 | |
1 | Bank of America Corp. | 3.300% | 1/11/23 | 60,528 | 63,039 | |
Bank of America Corp. | 4.100% | 7/24/23 | 41,270 | 44,174 | ||
1 | Bank of America Corp. | 3.004% | 12/20/23 | 163,026 | 168,303 | |
1 | Bank of America Corp. | 4.125% | 1/22/24 | 64,835 | 70,339 | |
1 | Bank of America Corp. | 3.550% | 3/5/24 | 79,840 | 83,411 | |
1 | Bank of America Corp. | 4.000% | 4/1/24 | 28,687 | 31,186 | |
1 | Bank of America Corp. | 1.486% | 5/19/24 | 23,373 | 23,757 | |
1 | Bank of America Corp. | 0.523% | 6/14/24 | 10,959 | 10,951 | |
1 | Bank of America Corp. | 3.864% | 7/23/24 | 53,025 | 56,205 | |
1 | Bank of America Corp. | 4.200% | 8/26/24 | 50,609 | 55,499 | |
1 | Bank of America Corp. | 0.810% | 10/24/24 | 46,380 | 46,555 | |
1 | Bank of America Corp. | 4.000% | 1/22/25 | 72,121 | 78,915 | |
1 | Bank of America Corp. | 3.458% | 3/15/25 | 64,125 | 68,468 | |
1 | Bank of America Corp. | 3.950% | 4/21/25 | 60,891 | 66,694 | |
Bank of America Corp. | 0.976% | 4/22/25 | 47,870 | 48,151 | ||
1 | Bank of America Corp. | 3.875% | 8/1/25 | 15,287 | 16,972 | |
1 | Bank of America Corp. | 0.981% | 9/25/25 | 52,973 | 53,145 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Bank of America Corp. | 3.093% | 10/1/25 | 57,598 | 61,333 | |
1 | Bank of America Corp. | 2.456% | 10/22/25 | 43,522 | 45,586 | |
1 | Bank of America Corp. | 3.366% | 1/23/26 | 46,046 | 49,462 | |
1 | Bank of America Corp. | 2.015% | 2/13/26 | 41,485 | 42,698 | |
1 | Bank of America Corp. | 4.450% | 3/3/26 | 53,490 | 60,333 | |
1 | Bank of America Corp. | 3.500% | 4/19/26 | 83,593 | 92,044 | |
1 | Bank of America Corp. | 1.319% | 6/19/26 | 76,872 | 77,119 | |
1 | Bank of America Corp. | 1.197% | 10/24/26 | 62,068 | 61,802 | |
1 | Bank of America Corp. | 1.658% | 3/11/27 | 69,000 | 69,763 | |
1 | Bank of America Corp. | 3.559% | 4/23/27 | 35,861 | 39,329 | |
Bank of America Corp. | 1.734% | 7/22/27 | 114,397 | 115,934 | ||
1 | Bank of Montreal | 2.350% | 9/11/22 | 18,689 | 19,100 | |
1 | Bank of Montreal | 2.050% | 11/1/22 | 14,397 | 14,698 | |
1 | Bank of Montreal | 2.550% | 11/6/22 | 14,992 | 15,367 | |
Bank of Montreal | 0.450% | 12/8/23 | 23,857 | 23,875 | ||
1 | Bank of Montreal | 3.300% | 2/5/24 | 49,003 | 52,273 | |
1 | Bank of Montreal | 2.500% | 6/28/24 | 12,423 | 13,076 | |
1 | Bank of Montreal | 1.850% | 5/1/25 | 39,401 | 40,721 | |
1 | Bank of Montreal | 0.949% | 1/22/27 | 25,391 | 25,128 | |
1 | Bank of Montreal | 4.338% | 10/5/28 | 6,735 | 7,201 | |
1 | Bank of New York Mellon Corp. | 1.850% | 1/27/23 | 14,711 | 15,031 | |
1 | Bank of New York Mellon Corp. | 2.950% | 1/29/23 | 17,576 | 18,204 | |
1 | Bank of New York Mellon Corp. | 3.500% | 4/28/23 | 17,511 | 18,442 | |
1 | Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 17,557 | 17,851 | |
1 | Bank of New York Mellon Corp. | 3.450% | 8/11/23 | 21,104 | 22,388 | |
1 | Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 27,628 | 28,574 | |
1 | Bank of New York Mellon Corp. | 0.350% | 12/7/23 | 22,200 | 22,203 | |
1 | Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 11,279 | 12,112 | |
1 | Bank of New York Mellon Corp. | 0.500% | 4/26/24 | 9,700 | 9,692 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 11,299 | 12,130 | ||
1 | Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 8,798 | 9,468 | |
1 | Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 14,565 | 15,246 | |
1 | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 16,330 | 17,553 | |
1 | Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 23,445 | 24,087 | |
1 | Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 7,145 | 8,005 | |
1 | Bank of New York Mellon Corp. | 0.750% | 1/28/26 | 5,531 | 5,494 | |
1 | Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 18,500 | 19,933 | |
1 | Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 13,130 | 13,950 | |
1 | Bank of Nova Scotia | 2.450% | 9/19/22 | 14,936 | 15,287 | |
Bank of Nova Scotia | 2.000% | 11/15/22 | 35,801 | 36,555 | ||
Bank of Nova Scotia | 2.375% | 1/18/23 | 9,281 | 9,549 | ||
Bank of Nova Scotia | 1.950% | 2/1/23 | 25,819 | 26,421 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 37,907 | 38,745 | ||
Bank of Nova Scotia | 0.550% | 9/15/23 | 15,026 | 15,070 | ||
Bank of Nova Scotia | 3.400% | 2/11/24 | 19,484 | 20,796 | ||
Bank of Nova Scotia | 0.700% | 4/15/24 | 8,469 | 8,487 | ||
Bank of Nova Scotia | 0.650% | 7/31/24 | 15,390 | 15,402 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 23,434 | 24,477 | ||
Bank of Nova Scotia | 1.300% | 6/11/25 | 33,429 | 33,823 | ||
Bank of Nova Scotia | 4.500% | 12/16/25 | 21,774 | 24,676 | ||
Bank of Nova Scotia | 1.050% | 3/2/26 | 23,217 | 23,092 | ||
Bank of Nova Scotia | 1.350% | 6/24/26 | 21,875 | 22,045 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 28,685 | 30,674 | ||
1 | Bank of Nova Scotia | 4.650% | 4/12/70 | 4,050 | 4,097 | |
BankUnited Inc. | 4.875% | 11/17/25 | 9,267 | 10,545 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Barclays Bank plc | 3.750% | 5/15/24 | 5,268 | 5,713 | |
Barclays plc | 3.684% | 1/10/23 | 32,125 | 32,501 | ||
1 | Barclays plc | 4.338% | 5/16/24 | 47,338 | 50,235 | |
Barclays plc | 4.375% | 9/11/24 | 19,431 | 21,210 | ||
Barclays plc | 1.007% | 12/10/24 | 18,981 | 19,069 | ||
Barclays plc | 3.650% | 3/16/25 | 46,649 | 50,567 | ||
1 | Barclays plc | 3.932% | 5/7/25 | 44,288 | 47,717 | |
Barclays plc | 4.375% | 1/12/26 | 62,936 | 70,805 | ||
1 | Barclays plc | 2.852% | 5/7/26 | 53,985 | 57,101 | |
Barclays plc | 5.200% | 5/12/26 | 20,283 | 23,334 | ||
BBVA USA | 2.500% | 8/27/24 | 14,155 | 14,904 | ||
1 | BBVA USA | 3.875% | 4/10/25 | 14,082 | 15,517 | |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 7,429 | 7,722 | ||
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 49,711 | 51,405 | ||
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 53,220 | 58,232 | ||
BGC Partners Inc. | 5.375% | 7/24/23 | 10,099 | 10,878 | ||
BGC Partners Inc. | 3.750% | 10/1/24 | 6,158 | 6,549 | ||
BlackRock Inc. | 3.500% | 3/18/24 | 23,881 | 25,748 | ||
Blackstone Secured Lending Fund | 3.650% | 7/14/23 | 5,162 | 5,389 | ||
Blackstone Secured Lending Fund | 3.625% | 1/15/26 | 16,644 | 17,711 | ||
1 | BNP Paribas SA | 3.250% | 3/3/23 | 18,974 | 19,844 | |
1 | BNP Paribas SA | 4.250% | 10/15/24 | 22,650 | 24,859 | |
3 | BNP Paribas SA | 2.819% | 11/19/25 | 1,800 | 1,891 | |
3 | BPCE SA | 3.000% | 5/22/22 | 4,300 | 4,384 | |
BPCE SA | 4.000% | 4/15/24 | 31,973 | 34,837 | ||
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 8,198 | 8,973 | ||
Brookfield Finance Inc. | 4.000% | 4/1/24 | 19,509 | 21,046 | ||
Brookfield Finance Inc. | 4.250% | 6/2/26 | 8,097 | 9,133 | ||
Brown & Brown Inc. | 4.200% | 9/15/24 | 11,089 | 12,124 | ||
3 | Business Development Corp. of America | 3.250% | 3/30/26 | 7,763 | 7,905 | |
Canadian Imperial Bank of Commerce | 0.450% | 6/22/23 | 21,226 | 21,226 | ||
Canadian Imperial Bank of Commerce | 0.950% | 6/23/23 | 19,699 | 19,881 | ||
1 | Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 29,223 | 31,077 | |
Canadian Imperial Bank of Commerce | 0.500% | 12/14/23 | 18,795 | 18,776 | ||
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 13,209 | 14,029 | ||
Canadian Imperial Bank of Commerce | 2.250% | 1/28/25 | 20,689 | 21,611 | ||
Canadian Imperial Bank of Commerce | 0.950% | 10/23/25 | 8,584 | 8,570 | ||
Canadian Imperial Bank of Commerce | 1.250% | 6/22/26 | 26,056 | 26,046 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 37,348 | 38,914 | ||
1 | Capital One Bank USA NA | 2.280% | 1/28/26 | 1,150 | 1,195 | |
Capital One Financial Corp. | 3.200% | 1/30/23 | 19,498 | 20,229 | ||
Capital One Financial Corp. | 2.600% | 5/11/23 | 40,275 | 41,702 | ||
Capital One Financial Corp. | 3.500% | 6/15/23 | 33,777 | 35,587 | ||
Capital One Financial Corp. | 3.900% | 1/29/24 | 25,151 | 27,007 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 17,560 | 18,898 | ||
Capital One Financial Corp. | 3.300% | 10/30/24 | 24,818 | 26,679 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 37,655 | 40,493 | ||
Capital One Financial Corp. | 4.250% | 4/30/25 | 8,903 | 9,922 | ||
Capital One Financial Corp. | 4.200% | 10/29/25 | 30,075 | 33,533 | ||
Capital One Financial Corp. | 3.750% | 7/28/26 | 34,442 | 38,079 | ||
1 | Capital One NA | 2.150% | 9/6/22 | 6,923 | 7,041 | |
Charles Schwab Corp. | 3.225% | 9/1/22 | 1,500 | 1,543 | ||
Charles Schwab Corp. | 2.650% | 1/25/23 | 22,711 | 23,415 | ||
Charles Schwab Corp. | 3.550% | 2/1/24 | 11,002 | 11,804 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 36,074 | 36,307 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Charles Schwab Corp. | 3.000% | 3/10/25 | 11,833 | 12,679 | ||
Charles Schwab Corp. | 4.200% | 3/24/25 | 8,600 | 9,588 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 18,884 | 20,844 | ||
Charles Schwab Corp. | 3.450% | 2/13/26 | 8,828 | 9,739 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 21,828 | 21,751 | ||
Charles Schwab Corp. | 1.150% | 5/13/26 | 27,838 | 28,019 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 26,035 | 26,726 | ||
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 14,425 | 14,952 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 19,097 | 20,515 | ||
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 19,556 | 21,128 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 30,013 | 33,001 | ||
1 | CIT Bank NA | 2.969% | 9/27/25 | 5,262 | 5,553 | |
1 | Citibank NA | 3.650% | 1/23/24 | 42,736 | 45,799 | |
Citigroup Inc. | 2.700% | 10/27/22 | 28,880 | 29,632 | ||
Citigroup Inc. | 3.375% | 3/1/23 | 9,251 | 9,670 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 26,895 | 28,248 | ||
Citigroup Inc. | 3.875% | 10/25/23 | 19,822 | 21,306 | ||
1 | Citigroup Inc. | 1.678% | 5/15/24 | 24,103 | 24,602 | |
1 | Citigroup Inc. | 4.044% | 6/1/24 | 26,928 | 28,569 | |
Citigroup Inc. | 3.750% | 6/16/24 | 19,081 | 20,696 | ||
Citigroup Inc. | 4.000% | 8/5/24 | 12,029 | 13,078 | ||
Citigroup Inc. | 0.776% | 10/30/24 | 43,476 | 43,613 | ||
Citigroup Inc. | 3.875% | 3/26/25 | 30,652 | 33,533 | ||
1 | Citigroup Inc. | 3.352% | 4/24/25 | 72,374 | 77,147 | |
Citigroup Inc. | 3.300% | 4/27/25 | 27,686 | 30,030 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 11,590 | 11,643 | ||
Citigroup Inc. | 4.400% | 6/10/25 | 51,493 | 57,330 | ||
Citigroup Inc. | 5.500% | 9/13/25 | 30,341 | 35,252 | ||
Citigroup Inc. | 3.700% | 1/12/26 | 43,166 | 47,705 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 34,865 | 39,732 | ||
1 | Citigroup Inc. | 3.106% | 4/8/26 | 89,866 | 96,092 | |
Citigroup Inc. | 3.400% | 5/1/26 | 55,876 | 61,233 | ||
Citigroup Inc. | 1.122% | 1/28/27 | 51,360 | 50,955 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 20,225 | 20,258 | ||
1 | Citizens Bank NA | 3.700% | 3/29/23 | 23,684 | 24,824 | |
1 | Citizens Bank NA | 2.250% | 4/28/25 | 9,764 | 10,210 | |
1 | Citizens Bank NA | 3.750% | 2/18/26 | 13,614 | 15,087 | |
Citizens Financial Group Inc. | 4.300% | 12/3/25 | 2,010 | 2,241 | ||
Citizens Financial Group Inc. | 2.850% | 7/27/26 | 11,948 | 12,779 | ||
Citizens Financial Group Inc. | 4.300% | 2/11/31 | 3,691 | 4,055 | ||
CME Group Inc. | 3.000% | 9/15/22 | 16,177 | 16,633 | ||
CME Group Inc. | 3.000% | 3/15/25 | 16,354 | 17,522 | ||
CNA Financial Corp. | 3.950% | 5/15/24 | 11,754 | 12,678 | ||
CNA Financial Corp. | 4.500% | 3/1/26 | 9,242 | 10,476 | ||
CNO Financial Group Inc. | 5.250% | 5/30/25 | 14,275 | 16,158 | ||
1 | Comerica Bank | 2.500% | 7/23/24 | 9,890 | 10,407 | |
1 | Comerica Bank | 4.000% | 7/27/25 | 4,817 | 5,320 | |
Comerica Inc. | 3.700% | 7/31/23 | 22,277 | 23,607 | ||
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 23,348 | 24,315 | ||
Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 27,363 | 28,284 | ||
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 37,556 | 40,853 | ||
Cooperatieve Rabobank UA | 0.375% | 1/12/24 | 18,900 | 18,869 | ||
1 | Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 31,265 | 34,183 | |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 27,079 | 30,243 | ||
1 | Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 32,544 | 36,033 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Credit Suisse AG | 1.000% | 5/5/23 | 42,786 | 43,218 | ||
1 | Credit Suisse AG | 0.520% | 8/9/23 | 10,000 | 10,021 | |
Credit Suisse AG | 0.495% | 2/2/24 | 22,750 | 22,720 | ||
1 | Credit Suisse AG | 3.625% | 9/9/24 | 80,754 | 87,486 | |
Credit Suisse AG | 2.950% | 4/9/25 | 46,398 | 49,556 | ||
Credit Suisse AG | 1.250% | 8/7/26 | 32,100 | 31,933 | ||
Credit Suisse Group AG | 3.800% | 6/9/23 | 31,860 | 33,603 | ||
Credit Suisse Group AG | 3.750% | 3/26/25 | 45,227 | 49,073 | ||
Credit Suisse Group AG | 4.550% | 4/17/26 | 43,399 | 49,186 | ||
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 39,217 | 40,604 | ||
1 | Deutsche Bank AG | 3.300% | 11/16/22 | 18,968 | 19,596 | |
Deutsche Bank AG | 3.950% | 2/27/23 | 27,177 | 28,475 | ||
Deutsche Bank AG | 0.898% | 5/28/24 | 6,415 | 6,419 | ||
1 | Deutsche Bank AG | 3.700% | 5/30/24 | 40,436 | 43,277 | |
1 | Deutsche Bank AG | 2.222% | 9/18/24 | 53,898 | 55,303 | |
Deutsche Bank AG | 1.447% | 4/1/25 | 2,749 | 2,770 | ||
1 | Deutsche Bank AG | 3.961% | 11/26/25 | 23,101 | 25,078 | |
1 | Deutsche Bank AG | 4.100% | 1/13/26 | 22,018 | 24,168 | |
Deutsche Bank AG | 1.686% | 3/19/26 | 19,805 | 20,061 | ||
Deutsche Bank AG | 2.129% | 11/24/26 | 43,330 | 44,251 | ||
1 | Discover Bank | 3.350% | 2/6/23 | 25,701 | 26,711 | |
1 | Discover Bank | 4.200% | 8/8/23 | 20,095 | 21,521 | |
Discover Bank | 2.450% | 9/12/24 | 18,879 | 19,726 | ||
1 | Discover Bank | 4.250% | 3/13/26 | 1,818 | 2,046 | |
1 | Discover Bank | 3.450% | 7/27/26 | 24,746 | 27,007 | |
1 | Discover Bank | 4.682% | 8/9/28 | 10,433 | 11,079 | |
Discover Financial Services | 3.850% | 11/21/22 | 26,776 | 27,887 | ||
Discover Financial Services | 3.950% | 11/6/24 | 9,596 | 10,448 | ||
Discover Financial Services | 3.750% | 3/4/25 | 10,018 | 10,881 | ||
Discover Financial Services | 4.500% | 1/30/26 | 19,805 | 22,371 | ||
Eaton Vance Corp. | 3.625% | 6/15/23 | 7,145 | 7,534 | ||
Equitable Holdings Inc. | 3.900% | 4/20/23 | 11,010 | 11,593 | ||
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 7,976 | 8,369 | ||
Fifth Third Bancorp | 1.625% | 5/5/23 | 13,911 | 14,184 | ||
Fifth Third Bancorp | 4.300% | 1/16/24 | 15,453 | 16,690 | ||
Fifth Third Bancorp | 3.650% | 1/25/24 | 49,530 | 52,979 | ||
Fifth Third Bancorp | 2.375% | 1/28/25 | 15,239 | 15,943 | ||
1 | Fifth Third Bank NA | 1.800% | 1/30/23 | 16,798 | 17,149 | |
1 | Fifth Third Bank NA | 3.950% | 7/28/25 | 12,172 | 13,612 | |
1 | Fifth Third Bank NA | 3.850% | 3/15/26 | 11,394 | 12,673 | |
First American Financial Corp. | 4.600% | 11/15/24 | 4,987 | 5,508 | ||
First Horizon Corp. | 3.550% | 5/26/23 | 6,644 | 6,959 | ||
First Horizon Corp. | 4.000% | 5/26/25 | 10,629 | 11,679 | ||
1 | First Republic Bank | 1.912% | 2/12/24 | 11,812 | 12,046 | |
FNB Corp. | 2.200% | 2/24/23 | 4,517 | 4,589 | ||
Franklin Resources Inc. | 2.800% | 9/15/22 | 7,233 | 7,420 | ||
Franklin Resources Inc. | 2.850% | 3/30/25 | 9,757 | 10,432 | ||
FS KKR Capital Corp. | 4.625% | 7/15/24 | 10,906 | 11,755 | ||
FS KKR Capital Corp. | 4.125% | 2/1/25 | 10,525 | 11,201 | ||
FS KKR Capital Corp. | 3.400% | 1/15/26 | 22,237 | 23,227 | ||
GATX Corp. | 3.900% | 3/30/23 | 1,775 | 1,863 | ||
GATX Corp. | 4.350% | 2/15/24 | 5,933 | 6,422 | ||
GATX Corp. | 3.250% | 3/30/25 | 4,106 | 4,386 | ||
GE Capital Funding LLC | 3.450% | 5/15/25 | 29,778 | 32,267 | ||
GE Capital International Funding Co. Unlimited Co. | 3.373% | 11/15/25 | 41,822 | 45,721 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Global Payments Inc. | 3.750% | 6/1/23 | 12,501 | 13,092 | ||
Global Payments Inc. | 4.000% | 6/1/23 | 16,535 | 17,469 | ||
Global Payments Inc. | 2.650% | 2/15/25 | 29,602 | 31,118 | ||
Global Payments Inc. | 4.800% | 4/1/26 | 12,229 | 13,990 | ||
Globe Life Inc. | 3.800% | 9/15/22 | 3,670 | 3,798 | ||
Goldman Sachs BDC Inc. | 3.750% | 2/10/25 | 8,662 | 9,252 | ||
Goldman Sachs BDC Inc. | 2.875% | 1/15/26 | 10,975 | 11,360 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 36,958 | 38,650 | ||
1 | Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 52,454 | 52,470 | |
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 38,532 | 40,037 | ||
Goldman Sachs Group Inc. | 0.523% | 3/8/23 | 24,574 | 24,593 | ||
1 | Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 48,432 | 48,500 | |
Goldman Sachs Group Inc. | 3.625% | 2/20/24 | 44,681 | 47,814 | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 58,486 | 63,326 | ||
Goldman Sachs Group Inc. | 0.673% | 3/8/24 | 38,459 | 38,521 | ||
1 | Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 26,878 | 29,053 | |
1 | Goldman Sachs Group Inc. | 0.657% | 9/10/24 | 56,399 | 56,354 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 47,373 | 51,041 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 93,326 | 101,013 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 30,627 | 33,393 | ||
1 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 35,577 | 38,113 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 55,058 | 61,437 | ||
Goldman Sachs Group Inc. | 0.855% | 2/12/26 | 6,095 | 6,059 | ||
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 36,769 | 40,638 | ||
1 | Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 72,850 | 72,316 | |
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 54,140 | 54,259 | ||
Golub Capital BDC Inc. | 3.375% | 4/15/24 | 8,705 | 9,119 | ||
Golub Capital BDC Inc. | 2.500% | 8/24/26 | 7,822 | 7,957 | ||
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 7,579 | 8,576 | ||
HSBC Holdings plc | 3.600% | 5/25/23 | 40,475 | 42,692 | ||
1 | HSBC Holdings plc | 3.033% | 11/22/23 | 26,107 | 26,952 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 46,474 | 50,116 | ||
1 | HSBC Holdings plc | 3.950% | 5/18/24 | 50,395 | 53,274 | |
HSBC Holdings plc | 0.732% | 8/17/24 | 17,000 | 17,027 | ||
1 | HSBC Holdings plc | 3.803% | 3/11/25 | 64,581 | 69,215 | |
HSBC Holdings plc | 0.976% | 5/24/25 | 36,475 | 36,504 | ||
HSBC Holdings plc | 4.250% | 8/18/25 | 23,881 | 26,401 | ||
1 | HSBC Holdings plc | 2.633% | 11/7/25 | 30,727 | 32,151 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 54,872 | 61,829 | ||
1 | HSBC Holdings plc | 1.645% | 4/18/26 | 42,076 | 42,601 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 55,382 | 61,550 | ||
1 | HSBC Holdings plc | 2.099% | 6/4/26 | 53,784 | 55,301 | |
1 | HSBC Holdings plc | 4.292% | 9/12/26 | 61,173 | 67,940 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 56,598 | 56,785 | ||
HSBC USA Inc. | 3.500% | 6/23/24 | 22,816 | 24,579 | ||
Huntington Bancshares Inc. | 2.625% | 8/6/24 | 19,161 | 20,161 | ||
Huntington Bancshares Inc. | 4.000% | 5/15/25 | 3,033 | 3,358 | ||
Huntington National Bank | 1.800% | 2/3/23 | 22,192 | 22,641 | ||
1 | Huntington National Bank | 3.550% | 10/6/23 | 18,094 | 19,228 | |
ING Groep NV | 4.100% | 10/2/23 | 28,424 | 30,512 | ||
ING Groep NV | 3.550% | 4/9/24 | 26,796 | 28,793 | ||
ING Groep NV | 1.726% | 4/1/27 | 22,862 | 23,171 | ||
Intercontinental Exchange Inc. | 2.350% | 9/15/22 | 17,674 | 18,015 | ||
Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 20,372 | 20,461 | ||
Intercontinental Exchange Inc. | 3.450% | 9/21/23 | 8,810 | 9,330 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 15,926 | 17,077 | ||
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 23,093 | 25,512 | ||
3 | Intesa Sanpaolo SpA | 3.375% | 1/12/23 | 2,450 | 2,540 | |
Intesa Sanpaolo SpA | 5.250% | 1/12/24 | 10,667 | 11,723 | ||
Invesco Finance plc | 3.125% | 11/30/22 | 11,781 | 12,181 | ||
Invesco Finance plc | 4.000% | 1/30/24 | 11,400 | 12,292 | ||
Invesco Finance plc | 3.750% | 1/15/26 | 13,526 | 14,958 | ||
Janus Capital Group Inc. | 4.875% | 8/1/25 | 5,584 | 6,295 | ||
Jefferies Financial Group Inc. | 5.500% | 10/18/23 | 17,048 | 18,215 | ||
Jefferies Group LLC | 5.125% | 1/20/23 | 15,438 | 16,390 | ||
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 53,850 | 55,587 | ||
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 31,577 | 31,894 | ||
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 21,126 | 21,996 | ||
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 53,171 | 55,722 | ||
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 51,962 | 53,895 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 29,412 | 31,778 | ||
JPMorgan Chase & Co. | 0.697% | 3/16/24 | 20,893 | 20,960 | ||
1 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 53,710 | 56,414 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 45,356 | 49,030 | ||
1 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 30,106 | 30,659 | |
1 | JPMorgan Chase & Co. | 3.797% | 7/23/24 | 45,547 | 48,328 | |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 50,828 | 55,317 | ||
1 | JPMorgan Chase & Co. | 0.653% | 9/16/24 | 40,527 | 40,639 | |
1 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 70,927 | 76,182 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 54,765 | 58,626 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 10,407 | 10,376 | ||
1 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 44,095 | 46,768 | |
JPMorgan Chase & Co. | 0.824% | 6/1/25 | 41,625 | 41,687 | ||
JPMorgan Chase & Co. | 0.969% | 6/23/25 | 54,995 | 55,167 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 44,160 | 48,683 | ||
JPMorgan Chase & Co. | 7.750% | 7/15/25 | 1,336 | 1,673 | ||
JPMorgan Chase & Co. | 0.768% | 8/9/25 | 6,000 | 5,988 | ||
1 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 51,197 | 53,276 | |
1 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 66,456 | 68,533 | |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 64,840 | 70,794 | ||
1 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 90,698 | 93,679 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 20,432 | 22,241 | ||
JPMorgan Chase & Co. | 1.045% | 11/19/26 | 69,900 | 69,279 | ||
1 | JPMorgan Chase & Co. | 3.960% | 1/29/27 | 23,640 | 26,308 | |
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 72,345 | 71,431 | ||
JPMorgan Chase & Co. | 1.578% | 4/22/27 | 105,385 | 106,354 | ||
Kemper Corp. | 4.350% | 2/15/25 | 7,718 | 8,443 | ||
1 | KeyBank NA | 2.300% | 9/14/22 | 19,629 | 20,046 | |
1 | KeyBank NA | 3.375% | 3/7/23 | 14,769 | 15,445 | |
1 | KeyBank NA | 1.250% | 3/10/23 | 23,967 | 24,306 | |
1 | KeyBank NA | 0.423% | 1/3/24 | 22,345 | 22,353 | |
1 | KeyBank NA | 0.433% | 6/14/24 | 12,150 | 12,149 | |
1 | KeyBank NA | 3.300% | 6/1/25 | 9,418 | 10,275 | |
1 | KeyBank NA | 3.400% | 5/20/26 | 19,093 | 20,897 | |
1 | KeyCorp | 4.150% | 10/29/25 | 4,918 | 5,530 | |
Lazard Group LLC | 3.750% | 2/13/25 | 8,271 | 8,989 | ||
Legg Mason Inc. | 4.750% | 3/15/26 | 9,444 | 10,932 | ||
Lincoln National Corp. | 4.000% | 9/1/23 | 10,676 | 11,411 | ||
Lincoln National Corp. | 3.350% | 3/9/25 | 4,142 | 4,486 | ||
Lloyds Bank plc | 3.500% | 5/14/25 | 2,625 | 2,851 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Lloyds Banking Group plc | 1.326% | 6/15/23 | 16,093 | 16,204 | |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 45,111 | 48,167 | ||
1 | Lloyds Banking Group plc | 2.907% | 11/7/23 | 34,282 | 35,232 | |
Lloyds Banking Group plc | 3.900% | 3/12/24 | 23,612 | 25,480 | ||
Lloyds Banking Group plc | 0.695% | 5/11/24 | 1,376 | 1,381 | ||
Lloyds Banking Group plc | 4.500% | 11/4/24 | 29,359 | 32,413 | ||
Lloyds Banking Group plc | 4.450% | 5/8/25 | 18,056 | 20,212 | ||
1 | Lloyds Banking Group plc | 3.870% | 7/9/25 | 54,897 | 59,323 | |
Lloyds Banking Group plc | 4.582% | 12/10/25 | 34,344 | 38,705 | ||
1 | Lloyds Banking Group plc | 2.438% | 2/5/26 | 26,431 | 27,551 | |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 28,665 | 32,478 | ||
Lloyds Banking Group plc | 1.627% | 5/11/27 | 3,941 | 3,958 | ||
Loews Corp. | 2.625% | 5/15/23 | 8,646 | 8,930 | ||
Loews Corp. | 3.750% | 4/1/26 | 8,706 | 9,686 | ||
M&T Bank Corp. | 3.550% | 7/26/23 | 21,205 | 22,443 | ||
Main Street Capital Corp. | 5.200% | 5/1/24 | 10,632 | 11,544 | ||
Main Street Capital Corp. | 3.000% | 7/14/26 | 6,317 | 6,528 | ||
1 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 10,275 | 10,982 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 21,400 | 24,158 | ||
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 4,705 | 4,896 | ||
Marsh & McLennan Cos. Inc. | 3.875% | 3/15/24 | 21,626 | 23,342 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 12,001 | 12,862 | ||
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 14,437 | 15,668 | ||
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 16,403 | 18,208 | ||
Mastercard Inc. | 3.375% | 4/1/24 | 22,536 | 24,198 | ||
Mastercard Inc. | 2.000% | 3/3/25 | 19,669 | 20,544 | ||
1 | MetLife Inc. | 4.368% | 9/15/23 | 27,457 | 29,636 | |
MetLife Inc. | 3.600% | 4/10/24 | 18,369 | 19,815 | ||
MetLife Inc. | 3.000% | 3/1/25 | 14,390 | 15,435 | ||
MetLife Inc. | 3.600% | 11/13/25 | 7,374 | 8,135 | ||
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 38,842 | 40,647 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 59,967 | 63,757 | ||
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 13,462 | 14,030 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 41,847 | 44,733 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 24,220 | 25,609 | ||
1 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 30,616 | 30,764 | |
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 62,161 | 64,656 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 610 | 668 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 33,062 | 33,461 | ||
Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | 44,367 | 44,535 | ||
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 26,412 | 29,461 | ||
Mitsubishi UFJ Financial Group Inc. | 1.538% | 7/20/27 | 81,567 | 82,057 | ||
Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 26,672 | 27,303 | ||
Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 17,330 | 18,159 | ||
1 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 23,711 | 23,990 | |
1 | Mizuho Financial Group Inc. | 0.849% | 9/8/24 | 17,505 | 17,584 | |
1 | Mizuho Financial Group Inc. | 3.922% | 9/11/24 | 25,893 | 27,594 | |
1 | Mizuho Financial Group Inc. | 2.839% | 7/16/25 | 14,404 | 15,192 | |
1 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 11,375 | 11,924 | |
1 | Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 16,557 | 17,147 | |
Mizuho Financial Group Inc. | 1.234% | 5/22/27 | 29,850 | 29,585 | ||
Mizuho Financial Group Inc. | 1.554% | 7/9/27 | 10,225 | 10,285 | ||
Morgan Stanley | 4.875% | 11/1/22 | 47,552 | 49,993 | ||
1 | Morgan Stanley | 3.125% | 1/23/23 | 53,887 | 55,961 | |
1 | Morgan Stanley | 3.750% | 2/25/23 | 69,663 | 73,131 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Morgan Stanley | 4.100% | 5/22/23 | 44,340 | 47,004 | |
1 | Morgan Stanley | 0.560% | 11/10/23 | 27,706 | 27,748 | |
1 | Morgan Stanley | 0.529% | 1/25/24 | 44,539 | 44,579 | |
Morgan Stanley | 0.731% | 4/5/24 | 33,292 | 33,410 | ||
1 | Morgan Stanley | 3.737% | 4/24/24 | 70,808 | 74,525 | |
1 | Morgan Stanley | 3.875% | 4/29/24 | 67,372 | 72,955 | |
1 | Morgan Stanley | 3.700% | 10/23/24 | 54,323 | 59,153 | |
Morgan Stanley | 0.790% | 5/30/25 | 79,073 | 78,927 | ||
1 | Morgan Stanley | 2.720% | 7/22/25 | 52,219 | 54,880 | |
1 | Morgan Stanley | 4.000% | 7/23/25 | 65,030 | 72,116 | |
1 | Morgan Stanley | 0.864% | 10/21/25 | 26,160 | 26,155 | |
Morgan Stanley | 5.000% | 11/24/25 | 49,832 | 57,365 | ||
1 | Morgan Stanley | 3.875% | 1/27/26 | 65,261 | 72,731 | |
1 | Morgan Stanley | 2.188% | 4/28/26 | 61,705 | 64,105 | |
1 | Morgan Stanley | 3.125% | 7/27/26 | 86,427 | 93,755 | |
1 | Morgan Stanley | 6.250% | 8/9/26 | 8,586 | 10,563 | |
Morgan Stanley | 0.985% | 12/10/26 | 60,202 | 59,485 | ||
Morgan Stanley | 1.593% | 5/4/27 | 73,034 | 73,753 | ||
1 | Morgan Stanley | 1.512% | 7/20/27 | 64,920 | 65,188 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 11,929 | 12,230 | ||
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 9,168 | 9,785 | ||
1 | MUFG Union Bank NA | 2.100% | 12/9/22 | 22,327 | 22,809 | |
Nasdaq Inc. | 0.445% | 12/21/22 | 1,200 | 1,200 | ||
Nasdaq Inc. | 4.250% | 6/1/24 | 11,685 | 12,727 | ||
Nasdaq Inc. | 3.850% | 6/30/26 | 14,697 | 16,435 | ||
1 | National Australia Bank Ltd. | 2.500% | 5/22/22 | 16,585 | 16,865 | |
National Australia Bank Ltd. | 1.875% | 12/13/22 | 7,095 | 7,246 | ||
National Australia Bank Ltd. | 3.000% | 1/20/23 | 17,348 | 18,004 | ||
National Australia Bank Ltd. | 2.875% | 4/12/23 | 12,622 | 13,144 | ||
National Australia Bank Ltd. | 3.625% | 6/20/23 | 18,555 | 19,663 | ||
National Australia Bank Ltd. | 3.375% | 1/14/26 | 15,962 | 17,602 | ||
1 | National Australia Bank Ltd. | 2.500% | 7/12/26 | 17,462 | 18,654 | |
1 | National Bank of Canada | 2.100% | 2/1/23 | 25,933 | 26,559 | |
1 | National Bank of Canada | 0.550% | 11/15/24 | 12,475 | 12,456 | |
Natwest Group plc | 6.125% | 12/15/22 | 3,959 | 4,232 | ||
Natwest Group plc | 6.100% | 6/10/23 | 1,812 | 1,977 | ||
Natwest Group plc | 3.875% | 9/12/23 | 71,998 | 76,591 | ||
Natwest Group plc | 6.000% | 12/19/23 | 32,154 | 35,822 | ||
1 | Natwest Group plc | 2.359% | 5/22/24 | 24,123 | 24,794 | |
Natwest Group plc | 5.125% | 5/28/24 | 26,756 | 29,620 | ||
1 | Natwest Group plc | 4.519% | 6/25/24 | 32,711 | 34,924 | |
1 | Natwest Group plc | 4.269% | 3/22/25 | 43,870 | 47,521 | |
Natwest Group plc | 4.800% | 4/5/26 | 34,150 | 39,107 | ||
Natwest Group plc | 1.642% | 6/14/27 | 3,500 | 3,512 | ||
1 | Natwest Group plc | 3.754% | 11/1/29 | 24,667 | 26,219 | |
1 | New York Community Bancorp Inc. | 5.900% | 11/6/28 | 6,244 | 6,769 | |
Nomura Holdings Inc. | 2.648% | 1/16/25 | 32,039 | 33,568 | ||
Nomura Holdings Inc. | 1.851% | 7/16/25 | 33,616 | 34,319 | ||
Nomura Holdings Inc. | 1.653% | 7/14/26 | 10,000 | 10,014 | ||
Northern Trust Corp. | 3.950% | 10/30/25 | 15,603 | 17,588 | ||
Oaktree Specialty Lending Corp. | 3.500% | 2/25/25 | 7,427 | 7,807 | ||
Old Republic International Corp. | 4.875% | 10/1/24 | 7,593 | 8,463 | ||
Old Republic International Corp. | 3.875% | 8/26/26 | 12,780 | 14,298 | ||
ORIX Corp. | 4.050% | 1/16/24 | 1,358 | 1,463 | ||
ORIX Corp. | 3.250% | 12/4/24 | 17,602 | 18,944 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Owl Rock Capital Corp. | 5.250% | 4/15/24 | 9,700 | 10,622 | ||
Owl Rock Capital Corp. | 4.000% | 3/30/25 | 10,243 | 10,889 | ||
Owl Rock Capital Corp. | 3.750% | 7/22/25 | 12,775 | 13,513 | ||
Owl Rock Capital Corp. | 4.250% | 1/15/26 | 9,279 | 10,006 | ||
Owl Rock Capital Corp. | 3.400% | 7/15/26 | 19,660 | 20,578 | ||
PayPal Holdings Inc. | 2.200% | 9/26/22 | 34,624 | 35,341 | ||
PayPal Holdings Inc. | 1.350% | 6/1/23 | 18,752 | 19,084 | ||
PayPal Holdings Inc. | 2.400% | 10/1/24 | 26,455 | 27,879 | ||
PayPal Holdings Inc. | 1.650% | 6/1/25 | 12,134 | 12,495 | ||
People's United Bank NA | 4.000% | 7/15/24 | 8,802 | 9,419 | ||
People's United Financial Inc. | 3.650% | 12/6/22 | 10,152 | 10,481 | ||
1 | PNC Bank NA | 2.700% | 11/1/22 | 30,964 | 31,780 | |
1 | PNC Bank NA | 2.950% | 1/30/23 | 9,552 | 9,880 | |
1 | PNC Bank NA | 3.500% | 6/8/23 | 12,835 | 13,531 | |
PNC Bank NA | 3.800% | 7/25/23 | 24,736 | 26,227 | ||
1 | PNC Bank NA | 3.300% | 10/30/24 | 11,209 | 12,128 | |
1 | PNC Bank NA | 2.950% | 2/23/25 | 10,038 | 10,762 | |
1 | PNC Bank NA | 3.250% | 6/1/25 | 10,918 | 11,860 | |
1 | PNC Bank NA | 4.200% | 11/1/25 | 8,695 | 9,829 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 19,856 | 20,468 | ||
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 32,179 | 34,395 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 18,665 | 20,186 | ||
PNC Financial Services Group Inc. | 2.200% | 11/1/24 | 13,198 | 13,866 | ||
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 19,294 | 20,647 | ||
PNC Financial Services Group Inc. | 1.150% | 8/13/26 | 15,105 | 15,219 | ||
Principal Financial Group Inc. | 3.300% | 9/15/22 | 9,330 | 9,612 | ||
Principal Financial Group Inc. | 3.125% | 5/15/23 | 6,374 | 6,662 | ||
Principal Financial Group Inc. | 3.400% | 5/15/25 | 6,031 | 6,515 | ||
Prospect Capital Corp. | 5.875% | 3/15/23 | 593 | 631 | ||
Prospect Capital Corp. | 3.706% | 1/22/26 | 9,974 | 10,295 | ||
1 | Prudential Financial Inc. | 1.500% | 3/10/26 | 17,334 | 17,672 | |
1 | Prudential Financial Inc. | 5.875% | 9/15/42 | 12,140 | 12,734 | |
1 | Prudential Financial Inc. | 5.625% | 6/15/43 | 25,721 | 27,483 | |
1 | Prudential Financial Inc. | 5.200% | 3/15/44 | 13,352 | 14,397 | |
1 | Prudential Financial Inc. | 5.375% | 5/15/45 | 18,650 | 20,712 | |
Regions Financial Corp. | 2.250% | 5/18/25 | 20,022 | 20,906 | ||
1 | Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 5,783 | 6,252 | |
RenaissanceRe Finance Inc. | 3.700% | 4/1/25 | 6,235 | 6,764 | ||
1 | Royal Bank of Canada | 1.950% | 1/17/23 | 23,156 | 23,690 | |
1 | Royal Bank of Canada | 1.600% | 4/17/23 | 29,803 | 30,432 | |
1 | Royal Bank of Canada | 3.700% | 10/5/23 | 39,361 | 42,043 | |
1 | Royal Bank of Canada | 0.500% | 10/26/23 | 22,201 | 22,248 | |
1 | Royal Bank of Canada | 0.425% | 1/19/24 | 18,598 | 18,565 | |
1 | Royal Bank of Canada | 2.550% | 7/16/24 | 23,724 | 25,017 | |
Royal Bank of Canada | 0.650% | 7/29/24 | 7,450 | 7,456 | ||
1 | Royal Bank of Canada | 2.250% | 11/1/24 | 46,905 | 49,193 | |
1 | Royal Bank of Canada | 1.150% | 6/10/25 | 41,151 | 41,411 | |
1 | Royal Bank of Canada | 0.875% | 1/20/26 | 26,249 | 26,046 | |
1 | Royal Bank of Canada | 4.650% | 1/27/26 | 34,130 | 39,094 | |
Royal Bank of Canada | 1.200% | 4/27/26 | 35,790 | 35,851 | ||
1 | Royal Bank of Canada | 1.150% | 7/14/26 | 16,948 | 16,935 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 22,860 | 23,695 | ||
Santander Holdings USA Inc. | 3.500% | 6/7/24 | 26,797 | 28,597 | ||
Santander Holdings USA Inc. | 3.450% | 6/2/25 | 7,061 | 7,579 | ||
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 20,343 | 22,541 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Santander Holdings USA Inc. | 3.244% | 10/5/26 | 26,469 | 28,372 | ||
Santander UK Group Holdings plc | 3.571% | 1/10/23 | 11,884 | 12,017 | ||
1 | Santander UK Group Holdings plc | 3.373% | 1/5/24 | 15,580 | 16,145 | |
1 | Santander UK Group Holdings plc | 4.796% | 11/15/24 | 27,102 | 29,457 | |
Santander UK Group Holdings plc | 1.089% | 3/15/25 | 22,100 | 22,175 | ||
1 | Santander UK Group Holdings plc | 1.532% | 8/21/26 | 16,525 | 16,594 | |
Santander UK Group Holdings plc | 1.673% | 6/14/27 | 27,000 | 27,062 | ||
Santander UK plc | 2.100% | 1/13/23 | 13,646 | 13,975 | ||
Santander UK plc | 4.000% | 3/13/24 | 27,410 | 29,743 | ||
Santander UK plc | 2.875% | 6/18/24 | 14,560 | 15,438 | ||
1 | Signature Bank | 4.000% | 10/15/30 | 7,050 | 7,574 | |
Sixth Street Specialty Lending Inc. | 3.875% | 11/1/24 | 6,294 | 6,735 | ||
Sixth Street Specialty Lending Inc. | 2.500% | 8/1/26 | 7,672 | 7,788 | ||
Sompo International Holdings Ltd. | 4.700% | 10/15/22 | 4,820 | 5,032 | ||
3 | Standard Chartered plc | 2.819% | 1/30/26 | 1,650 | 1,726 | |
1 | State Street Corp. | 2.653% | 5/15/23 | 18,487 | 18,798 | |
State Street Corp. | 3.100% | 5/15/23 | 18,624 | 19,498 | ||
State Street Corp. | 3.700% | 11/20/23 | 19,450 | 20,927 | ||
1 | State Street Corp. | 3.776% | 12/3/24 | 15,117 | 16,243 | |
State Street Corp. | 3.300% | 12/16/24 | 25,118 | 27,292 | ||
State Street Corp. | 3.550% | 8/18/25 | 21,775 | 24,065 | ||
1 | State Street Corp. | 2.354% | 11/1/25 | 18,779 | 19,736 | |
State Street Corp. | 2.901% | 3/30/26 | 17,355 | 18,521 | ||
State Street Corp. | 2.650% | 5/19/26 | 13,561 | 14,559 | ||
Stifel Financial Corp. | 4.250% | 7/18/24 | 8,369 | 9,163 | ||
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 3,890 | 4,032 | ||
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 8,300 | 8,867 | ||
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 6,560 | 7,076 | ||
1 | Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 8,048 | 8,652 | |
1 | Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 3,502 | 3,852 | |
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 24,163 | 24,844 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 29,482 | 30,605 | ||
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 12,769 | 13,568 | ||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 23,366 | 25,073 | ||
Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | 17,800 | 17,766 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 52,115 | 54,916 | ||
Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | 22,221 | 23,322 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 28,751 | 30,031 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 68,149 | 69,095 | ||
Sumitomo Mitsui Financial Group Inc. | 0.948% | 1/12/26 | 24,097 | 23,894 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 24,328 | 27,129 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 35,382 | 37,688 | ||
SVB Financial Group | 3.500% | 1/29/25 | 3,721 | 4,019 | ||
1 | Svenska Handelsbanken AB | 3.900% | 11/20/23 | 32,266 | 34,822 | |
Synchrony Financial | 4.375% | 3/19/24 | 25,522 | 27,638 | ||
Synchrony Financial | 4.250% | 8/15/24 | 18,564 | 20,156 | ||
Synchrony Financial | 4.500% | 7/23/25 | 19,374 | 21,564 | ||
Synchrony Financial | 3.700% | 8/4/26 | 13,679 | 14,994 | ||
Synovus Financial Corp. | 3.125% | 11/1/22 | 7,056 | 7,226 | ||
TD Ameritrade Holding Corp. | 3.750% | 4/1/24 | 10,188 | 10,998 | ||
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 9,697 | 10,591 | ||
1 | Toronto-Dominion Bank | 1.900% | 12/1/22 | 32,317 | 32,995 | |
1 | Toronto-Dominion Bank | 0.250% | 1/6/23 | 25,420 | 25,428 | |
1 | Toronto-Dominion Bank | 0.300% | 6/2/23 | 16,467 | 16,456 | |
1 | Toronto-Dominion Bank | 0.750% | 6/12/23 | 32,466 | 32,703 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Toronto-Dominion Bank | 3.500% | 7/19/23 | 55,424 | 58,764 | |
1 | Toronto-Dominion Bank | 0.450% | 9/11/23 | 15,300 | 15,320 | |
Toronto-Dominion Bank | 0.550% | 3/4/24 | 10,800 | 10,804 | ||
1 | Toronto-Dominion Bank | 3.250% | 3/11/24 | 39,828 | 42,539 | |
1 | Toronto-Dominion Bank | 2.650% | 6/12/24 | 29,442 | 31,122 | |
1 | Toronto-Dominion Bank | 1.150% | 6/12/25 | 30,050 | 30,320 | |
1 | Toronto-Dominion Bank | 0.750% | 9/11/25 | 22,806 | 22,635 | |
1 | Toronto-Dominion Bank | 0.750% | 1/6/26 | 23,857 | 23,629 | |
1 | Toronto-Dominion Bank | 1.200% | 6/3/26 | 20,366 | 20,494 | |
Trinity Acquisition plc | 4.400% | 3/15/26 | 5,770 | 6,497 | ||
1 | Truist Bank | 3.000% | 2/2/23 | 10,426 | 10,805 | |
1 | Truist Bank | 1.250% | 3/9/23 | 20,478 | 20,775 | |
1 | Truist Bank | 2.750% | 5/1/23 | 11,949 | 12,421 | |
1 | Truist Bank | 3.200% | 4/1/24 | 45,894 | 48,957 | |
1 | Truist Bank | 3.689% | 8/2/24 | 19,591 | 20,821 | |
1 | Truist Bank | 2.150% | 12/6/24 | 37,210 | 38,910 | |
1 | Truist Bank | 1.500% | 3/10/25 | 24,206 | 24,770 | |
1 | Truist Bank | 3.625% | 9/16/25 | 26,582 | 29,231 | |
1 | Truist Bank | 4.050% | 11/3/25 | 5,124 | 5,748 | |
1 | Truist Bank | 3.300% | 5/15/26 | 10,941 | 12,029 | |
1 | Truist Bank | 2.636% | 9/17/29 | 5,712 | 5,975 | |
1 | Truist Financial Corp. | 2.200% | 3/16/23 | 13,282 | 13,653 | |
1 | Truist Financial Corp. | 3.750% | 12/6/23 | 22,980 | 24,637 | |
1 | Truist Financial Corp. | 2.500% | 8/1/24 | 25,193 | 26,545 | |
1 | Truist Financial Corp. | 2.850% | 10/26/24 | 13,171 | 14,063 | |
Truist Financial Corp. | 4.000% | 5/1/25 | 23,663 | 26,237 | ||
1 | Truist Financial Corp. | 3.700% | 6/5/25 | 22,327 | 24,627 | |
1 | Truist Financial Corp. | 1.200% | 8/5/25 | 9,140 | 9,261 | |
1 | Truist Financial Corp. | 1.267% | 3/2/27 | 35,694 | 35,798 | |
Unum Group | 4.000% | 3/15/24 | 7,350 | 7,911 | ||
1 | US Bancorp | 3.700% | 1/30/24 | 20,713 | 22,257 | |
US Bancorp | 3.375% | 2/5/24 | 41,154 | 43,923 | ||
US Bancorp | 2.400% | 7/30/24 | 28,130 | 29,593 | ||
1 | US Bancorp | 3.600% | 9/11/24 | 15,371 | 16,703 | |
US Bancorp | 1.450% | 5/12/25 | 16,505 | 16,887 | ||
1 | US Bancorp | 3.950% | 11/17/25 | 12,026 | 13,501 | |
1 | US Bancorp | 3.100% | 4/27/26 | 27,297 | 29,738 | |
1 | US Bancorp | 2.375% | 7/22/26 | 29,013 | 30,862 | |
US Bank NA | 1.950% | 1/9/23 | 16,640 | 17,002 | ||
1 | US Bank NA | 2.850% | 1/23/23 | 11,553 | 11,949 | |
1 | US Bank NA | 3.400% | 7/24/23 | 22,106 | 23,355 | |
1 | US Bank NA | 2.050% | 1/21/25 | 17,450 | 18,202 | |
1 | US Bank NA | 2.800% | 1/27/25 | 37,230 | 39,749 | |
Valley National Bancorp | 3.000% | 6/15/31 | 950 | 966 | ||
Visa Inc. | 2.150% | 9/15/22 | 13,514 | 13,761 | ||
Visa Inc. | 2.800% | 12/14/22 | 61,958 | 63,756 | ||
Visa Inc. | 3.150% | 12/14/25 | 81,444 | 88,982 | ||
Voya Financial Inc. | 3.125% | 7/15/24 | 7,957 | 8,456 | ||
Voya Financial Inc. | 3.650% | 6/15/26 | 14,089 | 15,606 | ||
1 | Voya Financial Inc. | 5.650% | 5/15/53 | 9,260 | 9,793 | |
Wachovia Corp. | 7.574% | 8/1/26 | 4,490 | 5,767 | ||
1 | Wells Fargo & Co. | 3.450% | 2/13/23 | 60,553 | 63,221 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 26,686 | 28,540 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 15,704 | 17,093 | ||
1 | Wells Fargo & Co. | 3.750% | 1/24/24 | 58,844 | 63,110 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Wells Fargo & Co. | 1.654% | 6/2/24 | 54,925 | 56,154 | |
1 | Wells Fargo & Co. | 3.300% | 9/9/24 | 44,271 | 47,671 | |
1 | Wells Fargo & Co. | 3.000% | 2/19/25 | 57,266 | 61,020 | |
1 | Wells Fargo & Co. | 3.550% | 9/29/25 | 64,034 | 70,243 | |
1 | Wells Fargo & Co. | 2.406% | 10/30/25 | 64,625 | 67,514 | |
1 | Wells Fargo & Co. | 2.164% | 2/11/26 | 65,840 | 68,322 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 71,896 | 77,872 | ||
1 | Wells Fargo & Co. | 2.188% | 4/30/26 | 84,011 | 87,239 | |
1 | Wells Fargo & Co. | 4.100% | 6/3/26 | 5,686 | 6,384 | |
1 | Wells Fargo & Co. | 3.196% | 6/17/27 | 86,949 | 94,107 | |
1 | Wells Fargo Bank NA | 3.550% | 8/14/23 | 78,448 | 83,176 | |
Western Alliance Bancorp | 3.000% | 6/15/31 | 12,450 | 12,764 | ||
Western Union Co. | 4.250% | 6/9/23 | 637 | 675 | ||
Western Union Co. | 2.850% | 1/10/25 | 17,749 | 18,716 | ||
Western Union Co. | 1.350% | 3/15/26 | 12,373 | 12,292 | ||
Westpac Banking Corp. | 2.750% | 1/11/23 | 36,089 | 37,326 | ||
Westpac Banking Corp. | 2.000% | 1/13/23 | 13,653 | 13,978 | ||
Westpac Banking Corp. | 3.650% | 5/15/23 | 14,959 | 15,817 | ||
Westpac Banking Corp. | 3.300% | 2/26/24 | 26,749 | 28,620 | ||
Westpac Banking Corp. | 2.350% | 2/19/25 | 27,012 | 28,461 | ||
Westpac Banking Corp. | 2.850% | 5/13/26 | 35,749 | 38,750 | ||
Westpac Banking Corp. | 1.150% | 6/3/26 | 29,386 | 29,575 | ||
Westpac Banking Corp. | 2.700% | 8/19/26 | 20,521 | 22,189 | ||
1 | Westpac Banking Corp. | 2.894% | 2/4/30 | 32,250 | 33,572 | |
Willis North America Inc. | 3.600% | 5/15/24 | 21,581 | 23,109 | ||
XLIT Ltd. | 4.450% | 3/31/25 | 12,789 | 14,306 | ||
19,913,462 | ||||||
Health Care (9.0%) | ||||||
Abbott Laboratories | 3.400% | 11/30/23 | 22,540 | 23,926 | ||
Abbott Laboratories | 2.950% | 3/15/25 | 16,534 | 17,709 | ||
Abbott Laboratories | 3.875% | 9/15/25 | 9,277 | 10,319 | ||
AbbVie Inc. | 3.250% | 10/1/22 | 43,051 | 44,086 | ||
AbbVie Inc. | 2.900% | 11/6/22 | 80,241 | 82,600 | ||
AbbVie Inc. | 3.200% | 11/6/22 | 32,728 | 33,658 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 59,155 | 60,512 | ||
AbbVie Inc. | 2.800% | 3/15/23 | 9,612 | 9,902 | ||
AbbVie Inc. | 2.850% | 5/14/23 | 20,284 | 21,031 | ||
AbbVie Inc. | 3.750% | 11/14/23 | 16,952 | 18,095 | ||
AbbVie Inc. | 3.850% | 6/15/24 | 17,810 | 19,225 | ||
AbbVie Inc. | 2.600% | 11/21/24 | 72,326 | 76,251 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 64,521 | 70,340 | ||
AbbVie Inc. | 3.600% | 5/14/25 | 73,375 | 79,792 | ||
AbbVie Inc. | 3.200% | 5/14/26 | 43,446 | 47,147 | ||
Aetna Inc. | 2.750% | 11/15/22 | 22,235 | 22,737 | ||
Aetna Inc. | 2.800% | 6/15/23 | 19,668 | 20,407 | ||
Aetna Inc. | 3.500% | 11/15/24 | 25,455 | 27,433 | ||
Agilent Technologies Inc. | 3.875% | 7/15/23 | 10,834 | 11,439 | ||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 15,000 | 15,022 | ||
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 19,766 | 21,007 | ||
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 12,001 | 12,842 | ||
Amgen Inc. | 2.250% | 8/19/23 | 5,898 | 6,095 | ||
Amgen Inc. | 3.625% | 5/22/24 | 25,364 | 27,223 | ||
Amgen Inc. | 1.900% | 2/21/25 | 17,870 | 18,452 | ||
Amgen Inc. | 3.125% | 5/1/25 | 17,362 | 18,606 | ||
Amgen Inc. | 2.600% | 8/19/26 | 25,517 | 27,148 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Anthem Inc. | 2.950% | 12/1/22 | 3,911 | 4,030 | ||
Anthem Inc. | 3.300% | 1/15/23 | 28,602 | 29,740 | ||
Anthem Inc. | 0.450% | 3/15/23 | 3,990 | 3,997 | ||
Anthem Inc. | 3.500% | 8/15/24 | 30,993 | 33,280 | ||
Anthem Inc. | 3.350% | 12/1/24 | 23,021 | 24,854 | ||
Anthem Inc. | 2.375% | 1/15/25 | 31,747 | 33,220 | ||
Anthem Inc. | 1.500% | 3/15/26 | 18,385 | 18,674 | ||
Astrazeneca Finance LLC | 0.700% | 5/28/24 | 30,425 | 30,462 | ||
Astrazeneca Finance LLC | 1.200% | 5/28/26 | 28,342 | 28,466 | ||
AstraZeneca plc | 0.300% | 5/26/23 | 14,671 | 14,658 | ||
AstraZeneca plc | 3.500% | 8/17/23 | 27,227 | 28,821 | ||
AstraZeneca plc | 3.375% | 11/16/25 | 43,329 | 47,485 | ||
AstraZeneca plc | 0.700% | 4/8/26 | 18,750 | 18,425 | ||
Baxalta Inc. | 4.000% | 6/23/25 | 14,611 | 16,105 | ||
Baxter International Inc. | 2.600% | 8/15/26 | 16,012 | 17,037 | ||
Becton Dickinson & Co. | 3.363% | 6/6/24 | 39,250 | 41,907 | ||
Becton Dickinson & Co. | 3.734% | 12/15/24 | 10,283 | 11,161 | ||
Biogen Inc. | 3.625% | 9/15/22 | 22,779 | 23,548 | ||
Biogen Inc. | 4.050% | 9/15/25 | 35,066 | 38,973 | ||
Boston Scientific Corp. | 3.375% | 5/15/22 | 4,596 | 4,692 | ||
Boston Scientific Corp. | 3.450% | 3/1/24 | 19,136 | 20,389 | ||
Boston Scientific Corp. | 3.850% | 5/15/25 | 4,843 | 5,340 | ||
Boston Scientific Corp. | 1.900% | 6/1/25 | 25,691 | 26,501 | ||
Boston Scientific Corp. | 3.750% | 3/1/26 | 17,593 | 19,473 | ||
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 22,309 | 23,061 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/20/23 | 18,305 | 19,053 | ||
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 11,020 | 11,700 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 14,650 | 14,654 | ||
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 54,230 | 57,796 | ||
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 52,960 | 58,713 | ||
Bristol-Myers Squibb Co. | 0.750% | 11/13/25 | 18,673 | 18,589 | ||
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 47,641 | 52,286 | ||
Cardinal Health Inc. | 2.616% | 6/15/22 | 7,940 | 8,068 | ||
Cardinal Health Inc. | 3.200% | 3/15/23 | 13,086 | 13,627 | ||
Cardinal Health Inc. | 3.079% | 6/15/24 | 23,070 | 24,440 | ||
Cardinal Health Inc. | 3.500% | 11/15/24 | 7,498 | 8,053 | ||
Cardinal Health Inc. | 3.750% | 9/15/25 | 7,760 | 8,514 | ||
1 | Cigna Corp. | 3.050% | 11/30/22 | 13,251 | 13,665 | |
1 | Cigna Corp. | 3.000% | 7/15/23 | 23,374 | 24,392 | |
Cigna Corp. | 3.750% | 7/15/23 | 12,684 | 13,427 | ||
Cigna Corp. | 0.613% | 3/15/24 | 5,225 | 5,226 | ||
1 | Cigna Corp. | 3.500% | 6/15/24 | 17,058 | 18,271 | |
1 | Cigna Corp. | 3.250% | 4/15/25 | 16,037 | 17,265 | |
Cigna Corp. | 4.125% | 11/15/25 | 68,336 | 76,380 | ||
1 | Cigna Corp. | 4.500% | 2/25/26 | 22,547 | 25,582 | |
Cigna Corp. | 1.250% | 3/15/26 | 16,589 | 16,689 | ||
CommonSpirit Health | 2.950% | 11/1/22 | 14,117 | 14,499 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 14,247 | 15,002 | ||
CommonSpirit Health | 1.547% | 10/1/25 | 15,850 | 16,052 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 23,216 | 23,772 | ||
CVS Health Corp. | 4.750% | 12/1/22 | 11,316 | 11,798 | ||
CVS Health Corp. | 3.700% | 3/9/23 | 79,569 | 83,312 | ||
CVS Health Corp. | 3.375% | 8/12/24 | 15,808 | 16,913 | ||
CVS Health Corp. | 2.625% | 8/15/24 | 24,094 | 25,389 | ||
CVS Health Corp. | 4.100% | 3/25/25 | 12,601 | 13,894 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CVS Health Corp. | 3.875% | 7/20/25 | 51,876 | 57,096 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 35,345 | 37,949 | ||
CVS Health Corp. | 3.000% | 8/15/26 | 15,557 | 16,813 | ||
Danaher Corp. | 3.350% | 9/15/25 | 8,526 | 9,328 | ||
DH Europe Finance II Sarl | 2.050% | 11/15/22 | 18,717 | 19,114 | ||
DH Europe Finance II Sarl | 2.200% | 11/15/24 | 10,663 | 11,136 | ||
Dignity Health | 3.125% | 11/1/22 | 5,048 | 5,197 | ||
Eli Lilly & Co. | 2.350% | 5/15/22 | 11,030 | 11,198 | ||
Eli Lilly & Co. | 2.750% | 6/1/25 | 8,430 | 8,982 | ||
Gilead Sciences Inc. | 3.250% | 9/1/22 | 36,929 | 37,852 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 25,061 | 26,025 | ||
Gilead Sciences Inc. | 0.750% | 9/29/23 | 18,150 | 18,155 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 44,876 | 48,086 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 30,384 | 32,883 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 51,344 | 56,610 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 34,361 | 35,692 | ||
GlaxoSmithKline Capital Inc. | 3.375% | 5/15/23 | 26,136 | 27,492 | ||
GlaxoSmithKline Capital Inc. | 3.625% | 5/15/25 | 19,021 | 20,923 | ||
GlaxoSmithKline Capital plc | 0.534% | 10/1/23 | 22,209 | 22,250 | ||
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 25,460 | 27,074 | ||
HCA Inc. | 4.750% | 5/1/23 | 24,761 | 26,398 | ||
HCA Inc. | 5.000% | 3/15/24 | 30,964 | 34,074 | ||
HCA Inc. | 5.250% | 4/15/25 | 46,127 | 52,650 | ||
HCA Inc. | 5.250% | 6/15/26 | 31,074 | 35,931 | ||
Humana Inc. | 3.150% | 12/1/22 | 12,370 | 12,712 | ||
Humana Inc. | 2.900% | 12/15/22 | 7,826 | 8,057 | ||
Humana Inc. | 0.650% | 8/3/23 | 10,000 | 10,006 | ||
Humana Inc. | 3.850% | 10/1/24 | 13,188 | 14,297 | ||
Humana Inc. | 4.500% | 4/1/25 | 14,363 | 16,026 | ||
Illumina Inc. | 0.550% | 3/23/23 | 9,494 | 9,511 | ||
Johnson & Johnson | 2.050% | 3/1/23 | 8,152 | 8,347 | ||
Johnson & Johnson | 6.730% | 11/15/23 | 50 | 57 | ||
Johnson & Johnson | 3.375% | 12/5/23 | 15,017 | 16,081 | ||
Johnson & Johnson | 2.625% | 1/15/25 | 18,612 | 19,765 | ||
Johnson & Johnson | 0.550% | 9/1/25 | 21,273 | 21,090 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 44,090 | 47,007 | ||
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 2,873 | 3,056 | ||
Laboratory Corp. of America Holdings | 3.250% | 9/1/24 | 20,759 | 22,147 | ||
Laboratory Corp. of America Holdings | 2.300% | 12/1/24 | 14,999 | 15,664 | ||
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 17,573 | 18,913 | ||
Laboratory Corp. of America Holdings | 1.550% | 6/1/26 | 18,730 | 18,918 | ||
McKesson Corp. | 2.700% | 12/15/22 | 5,500 | 5,630 | ||
McKesson Corp. | 2.850% | 3/15/23 | 10,750 | 11,079 | ||
McKesson Corp. | 3.796% | 3/15/24 | 20,951 | 22,463 | ||
McKesson Corp. | 0.900% | 12/3/25 | 10,679 | 10,570 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 36,333 | 39,702 | ||
Merck & Co. Inc. | 2.400% | 9/15/22 | 23,848 | 24,259 | ||
Merck & Co. Inc. | 2.800% | 5/18/23 | 42,143 | 43,906 | ||
Merck & Co. Inc. | 2.900% | 3/7/24 | 18,110 | 19,162 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 37,684 | 40,082 | ||
Merck & Co. Inc. | 0.750% | 2/24/26 | 33,959 | 33,784 | ||
Mylan Inc. | 4.200% | 11/29/23 | 14,700 | 15,713 | ||
Novartis Capital Corp. | 2.400% | 9/21/22 | 34,110 | 34,894 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 28,657 | 30,843 | ||
Novartis Capital Corp. | 1.750% | 2/14/25 | 36,024 | 37,193 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Novartis Capital Corp. | 3.000% | 11/20/25 | 28,806 | 31,197 | ||
1 | PeaceHealth Obligated Group | 1.375% | 11/15/25 | 7,270 | 7,378 | |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 2,930 | 3,131 | ||
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 15,140 | 16,494 | ||
Pfizer Inc. | 3.000% | 6/15/23 | 15,819 | 16,579 | ||
Pfizer Inc. | 3.200% | 9/15/23 | 16,095 | 16,992 | ||
Pfizer Inc. | 2.950% | 3/15/24 | 23,829 | 25,272 | ||
Pfizer Inc. | 3.400% | 5/15/24 | 24,348 | 26,246 | ||
Pfizer Inc. | 0.800% | 5/28/25 | 14,124 | 14,147 | ||
Pfizer Inc. | 2.750% | 6/3/26 | 23,653 | 25,679 | ||
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 7,542 | 8,161 | ||
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 16,217 | 17,545 | ||
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 9,962 | 10,917 | ||
Royalty Pharma plc | 0.750% | 9/2/23 | 22,302 | 22,400 | ||
Royalty Pharma plc | 1.200% | 9/2/25 | 28,418 | 28,353 | ||
Sanofi | 3.375% | 6/19/23 | 15,417 | 16,233 | ||
Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 63,952 | 66,768 | ||
1 | SSM Health Care Corp. | 3.688% | 6/1/23 | 9,727 | 10,202 | |
Stryker Corp. | 0.600% | 12/1/23 | 5,193 | 5,193 | ||
Stryker Corp. | 3.375% | 5/15/24 | 15,811 | 16,912 | ||
Stryker Corp. | 1.150% | 6/15/25 | 13,782 | 13,859 | ||
Stryker Corp. | 3.375% | 11/1/25 | 18,822 | 20,517 | ||
Stryker Corp. | 3.500% | 3/15/26 | 20,446 | 22,457 | ||
1 | Sutter Health | 1.321% | 8/15/25 | 6,024 | 6,090 | |
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 43,649 | 47,158 | ||
Thermo Fisher Scientific Inc. | 4.133% | 3/25/25 | 29,816 | 32,944 | ||
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 5,526 | 6,078 | ||
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 28,230 | 28,897 | ||
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 14,160 | 14,588 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 22,435 | 23,327 | ||
UnitedHealth Group Inc. | 3.500% | 6/15/23 | 18,786 | 19,844 | ||
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 19,418 | 20,830 | ||
UnitedHealth Group Inc. | 0.550% | 5/15/24 | 150 | 150 | ||
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 13,265 | 13,976 | ||
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 45,679 | 50,749 | ||
UnitedHealth Group Inc. | 3.700% | 12/15/25 | 8,544 | 9,522 | ||
UnitedHealth Group Inc. | 1.250% | 1/15/26 | 6,777 | 6,863 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 18,260 | 19,951 | ||
UnitedHealth Group Inc. | 1.150% | 5/15/26 | 28,124 | 28,324 | ||
1 | UPMC | 3.600% | 4/3/25 | 7,900 | 8,583 | |
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 46,217 | 51,217 | ||
3 | Viatris Inc. | 1.650% | 6/22/25 | 19,375 | 19,683 | |
Wyeth LLC | 6.450% | 2/1/24 | 13,595 | 15,516 | ||
Zimmer Biomet Holdings Inc. | 3.700% | 3/19/23 | 11,046 | 11,555 | ||
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 32,825 | 35,487 | ||
Zimmer Biomet Holdings Inc. | 3.050% | 1/15/26 | 15,410 | 16,587 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 29,840 | 30,842 | ||
Zoetis Inc. | 4.500% | 11/13/25 | 15,863 | 17,983 | ||
4,423,542 | ||||||
Industrials (6.6%) | ||||||
3M Co. | 1.750% | 2/14/23 | 9,640 | 9,839 | ||
1 | 3M Co. | 2.250% | 3/15/23 | 17,614 | 18,106 | |
1 | 3M Co. | 3.250% | 2/14/24 | 20,812 | 22,163 | |
3M Co. | 2.000% | 2/14/25 | 15,705 | 16,336 | ||
3M Co. | 2.650% | 4/15/25 | 12,092 | 12,841 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | 3M Co. | 3.000% | 8/7/25 | 11,064 | 11,970 | |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 13,591 | 13,836 | ||
Allegion US Holding Co. Inc. | 3.200% | 10/1/24 | 8,821 | 9,372 | ||
Amphenol Corp. | 3.200% | 4/1/24 | 7,315 | 7,743 | ||
Amphenol Corp. | 2.050% | 3/1/25 | 8,228 | 8,535 | ||
1 | BNSF Funding Trust I | 6.613% | 12/15/55 | 8,311 | 9,544 | |
Boeing Co. | 1.167% | 2/4/23 | 5,376 | 5,390 | ||
Boeing Co. | 2.800% | 3/1/23 | 19,211 | 19,809 | ||
Boeing Co. | 4.508% | 5/1/23 | 75,554 | 80,092 | ||
Boeing Co. | 1.875% | 6/15/23 | 19,128 | 19,475 | ||
Boeing Co. | 1.950% | 2/1/24 | 23,433 | 24,021 | ||
Boeing Co. | 1.433% | 2/4/24 | 33,575 | 33,657 | ||
Boeing Co. | 2.800% | 3/1/24 | 11,319 | 11,788 | ||
Boeing Co. | 2.850% | 10/30/24 | 10,372 | 10,893 | ||
Boeing Co. | 4.875% | 5/1/25 | 85,872 | 96,005 | ||
Boeing Co. | 2.600% | 10/30/25 | 11,189 | 11,636 | ||
Boeing Co. | 2.750% | 2/1/26 | 31,930 | 33,376 | ||
Boeing Co. | 2.196% | 2/4/26 | 111,378 | 112,260 | ||
Boeing Co. | 3.100% | 5/1/26 | 17,227 | 18,274 | ||
Boeing Co. | 2.250% | 6/15/26 | 12,622 | 12,915 | ||
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 16,421 | 16,762 | ||
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 12,548 | 12,985 | ||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 26,368 | 27,988 | ||
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 15,873 | 17,063 | ||
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 17,284 | 18,614 | ||
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 8,058 | 8,655 | ||
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 8,353 | 9,205 | ||
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 4,633 | 5,761 | ||
Canadian National Railway Co. | 2.950% | 11/21/24 | 5,252 | 5,585 | ||
Canadian National Railway Co. | 2.750% | 3/1/26 | 12,747 | 13,652 | ||
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 4,487 | 4,714 | ||
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 14,310 | 15,178 | ||
Carrier Global Corp. | 2.242% | 2/15/25 | 44,321 | 46,142 | ||
1 | Caterpillar Financial Services Corp. | 1.900% | 9/6/22 | 14,269 | 14,511 | |
1 | Caterpillar Financial Services Corp. | 1.950% | 11/18/22 | 18,692 | 19,079 | |
1 | Caterpillar Financial Services Corp. | 2.550% | 11/29/22 | 19,600 | 20,163 | |
Caterpillar Financial Services Corp. | 0.250% | 3/1/23 | 18,937 | 18,935 | ||
1 | Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 9,601 | 9,938 | |
1 | Caterpillar Financial Services Corp. | 3.450% | 5/15/23 | 13,899 | 14,633 | |
Caterpillar Financial Services Corp. | 0.650% | 7/7/23 | 14,523 | 14,614 | ||
1 | Caterpillar Financial Services Corp. | 0.450% | 9/14/23 | 23,862 | 23,924 | |
1 | Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 9,107 | 9,793 | |
1 | Caterpillar Financial Services Corp. | 3.650% | 12/7/23 | 10,954 | 11,760 | |
1 | Caterpillar Financial Services Corp. | 2.850% | 5/17/24 | 11,302 | 12,007 | |
1 | Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 10,629 | 11,428 | |
1 | Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 15,240 | 15,970 | |
1 | Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 12,102 | 13,141 | |
1 | Caterpillar Financial Services Corp. | 1.450% | 5/15/25 | 17,476 | 17,882 | |
1 | Caterpillar Financial Services Corp. | 0.800% | 11/13/25 | 13,937 | 13,913 | |
Caterpillar Financial Services Corp. | 0.900% | 3/2/26 | 19,029 | 19,024 | ||
Caterpillar Financial Services Corp. | 2.400% | 8/9/26 | 14,520 | 15,476 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 14,006 | 15,009 | ||
CNH Industrial Capital LLC | 1.950% | 7/2/23 | 9,405 | 9,634 | ||
CNH Industrial Capital LLC | 4.200% | 1/15/24 | 10,316 | 11,124 | ||
CNH Industrial Capital LLC | 1.875% | 1/15/26 | 12,522 | 12,794 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CNH Industrial Capital LLC | 1.450% | 7/15/26 | 7,797 | 7,796 | ||
CNH Industrial NV | 4.500% | 8/15/23 | 18,782 | 20,143 | ||
1 | Continental Airlines Pass-Through Trust Class A Series 2007-1 | 5.983% | 4/19/22 | 2,557 | 2,595 | |
1 | Continental Airlines Pass-Through Trust Class A Series 2012-2 | 4.000% | 10/29/24 | 5,604 | 5,907 | |
Crane Co. | 4.450% | 12/15/23 | 4,590 | 4,942 | ||
CSX Corp. | 3.400% | 8/1/24 | 16,207 | 17,428 | ||
CSX Corp. | 3.350% | 11/1/25 | 9,381 | 10,221 | ||
Cummins Inc. | 3.650% | 10/1/23 | 8,853 | 9,387 | ||
Cummins Inc. | 0.750% | 9/1/25 | 12,947 | 12,899 | ||
Deere & Co. | 2.750% | 4/15/25 | 20,510 | 21,846 | ||
3 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 5,901 | 6,905 | |
3 | Delta Air Lines Inc. | 4.500% | 10/20/25 | 3,600 | 3,862 | |
1 | Delta Air Lines Pass-Through Trust Class AA Series 2019-1 | 3.204% | 4/25/24 | 4,866 | 5,145 | |
Dover Corp. | 3.150% | 11/15/25 | 7,362 | 7,927 | ||
Eaton Corp. | 2.750% | 11/2/22 | 33,623 | 34,573 | ||
Emerson Electric Co. | 2.625% | 2/15/23 | 6,930 | 7,126 | ||
Emerson Electric Co. | 3.150% | 6/1/25 | 7,445 | 8,035 | ||
FedEx Corp. | 3.250% | 4/1/26 | 12,216 | 13,340 | ||
Flowserve Corp. | 3.500% | 9/15/22 | 9,497 | 9,699 | ||
Flowserve Corp. | 4.000% | 11/15/23 | 6,560 | 6,953 | ||
Fortive Corp. | 3.150% | 6/15/26 | 18,148 | 19,723 | ||
General Dynamics Corp. | 2.250% | 11/15/22 | 13,032 | 13,279 | ||
General Dynamics Corp. | 3.375% | 5/15/23 | 26,170 | 27,481 | ||
General Dynamics Corp. | 1.875% | 8/15/23 | 9,846 | 10,113 | ||
General Dynamics Corp. | 2.375% | 11/15/24 | 9,685 | 10,196 | ||
General Dynamics Corp. | 3.250% | 4/1/25 | 17,898 | 19,334 | ||
General Dynamics Corp. | 3.500% | 5/15/25 | 11,118 | 12,150 | ||
General Dynamics Corp. | 2.125% | 8/15/26 | 18,789 | 19,745 | ||
1 | General Electric Co. | 3.150% | 9/7/22 | 10,711 | 11,019 | |
General Electric Co. | 2.700% | 10/9/22 | 4,697 | 4,816 | ||
1 | General Electric Co. | 3.100% | 1/9/23 | 29,453 | 30,517 | |
General Electric Co. | 3.375% | 3/11/24 | 6,447 | 6,881 | ||
1 | General Electric Co. | 3.450% | 5/15/24 | 27,334 | 29,153 | |
1 | General Electric Co. | 5.550% | 1/5/26 | 6,959 | 8,223 | |
3 | GXO Logistics Inc. | 1.650% | 7/15/26 | 10,000 | 10,006 | |
Honeywell International Inc. | 3.350% | 12/1/23 | 6,255 | 6,660 | ||
Honeywell International Inc. | 2.300% | 8/15/24 | 25,025 | 26,333 | ||
Honeywell International Inc. | 1.350% | 6/1/25 | 23,825 | 24,310 | ||
3 | Huntington Ingalls Industries Inc. | 0.670% | 8/16/23 | 2,000 | 2,001 | |
Huntington Ingalls Industries Inc. | 3.844% | 5/1/25 | 13,486 | 14,702 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 20,561 | 21,936 | ||
JB Hunt Transport Services Inc. | 3.875% | 3/1/26 | 15,214 | 16,956 | ||
1 | John Deere Capital Corp. | 2.150% | 9/8/22 | 8,149 | 8,309 | |
1 | John Deere Capital Corp. | 2.700% | 1/6/23 | 13,545 | 13,986 | |
1 | John Deere Capital Corp. | 0.250% | 1/17/23 | 1,665 | 1,666 | |
John Deere Capital Corp. | 2.800% | 1/27/23 | 12,321 | 12,762 | ||
1 | John Deere Capital Corp. | 2.800% | 3/6/23 | 20,666 | 21,464 | |
1 | John Deere Capital Corp. | 1.200% | 4/6/23 | 7,345 | 7,455 | |
1 | John Deere Capital Corp. | 3.450% | 6/7/23 | 7,101 | 7,491 | |
1 | John Deere Capital Corp. | 0.700% | 7/5/23 | 15,893 | 16,008 | |
1 | John Deere Capital Corp. | 0.400% | 10/10/23 | 8,810 | 8,823 | |
John Deere Capital Corp. | 3.650% | 10/12/23 | 11,802 | 12,627 | ||
1 | John Deere Capital Corp. | 3.450% | 1/10/24 | 8,414 | 8,996 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | John Deere Capital Corp. | 0.450% | 1/17/24 | 11,020 | 11,021 | |
1 | John Deere Capital Corp. | 2.600% | 3/7/24 | 11,874 | 12,501 | |
1 | John Deere Capital Corp. | 0.450% | 6/7/24 | 14,000 | 13,997 | |
1 | John Deere Capital Corp. | 3.350% | 6/12/24 | 15,130 | 16,313 | |
1 | John Deere Capital Corp. | 2.650% | 6/24/24 | 16,684 | 17,678 | |
1 | John Deere Capital Corp. | 2.050% | 1/9/25 | 14,737 | 15,396 | |
1 | John Deere Capital Corp. | 3.450% | 3/13/25 | 9,669 | 10,574 | |
1 | John Deere Capital Corp. | 3.400% | 9/11/25 | 10,200 | 11,233 | |
1 | John Deere Capital Corp. | 0.700% | 1/15/26 | 20,216 | 20,053 | |
1 | John Deere Capital Corp. | 2.650% | 6/10/26 | 15,713 | 16,927 | |
1 | John Deere Capital Corp. | 1.050% | 6/17/26 | 12,190 | 12,206 | |
1 | Johnson Controls International plc | 3.625% | 7/2/24 | 7,524 | 8,074 | |
1 | Johnson Controls International plc | 3.900% | 2/14/26 | 10,138 | 11,240 | |
1 | Kansas City Southern | 3.000% | 5/15/23 | 3,887 | 4,027 | |
Keysight Technologies Inc. | 4.550% | 10/30/24 | 10,938 | 12,106 | ||
L3Harris Technologies Inc. | 3.850% | 6/15/23 | 16,277 | 17,220 | ||
L3Harris Technologies Inc. | 3.950% | 5/28/24 | 8,846 | 9,541 | ||
L3Harris Technologies Inc. | 3.832% | 4/27/25 | 11,133 | 12,191 | ||
Lennox International Inc. | 3.000% | 11/15/23 | 5,570 | 5,827 | ||
Lennox International Inc. | 1.350% | 8/1/25 | 8,590 | 8,656 | ||
Lockheed Martin Corp. | 3.100% | 1/15/23 | 24,210 | 25,016 | ||
Lockheed Martin Corp. | 2.900% | 3/1/25 | 21,970 | 23,451 | ||
Lockheed Martin Corp. | 3.550% | 1/15/26 | 37,004 | 40,925 | ||
Norfolk Southern Corp. | 2.903% | 2/15/23 | 16,381 | 16,875 | ||
Norfolk Southern Corp. | 3.850% | 1/15/24 | 5,216 | 5,574 | ||
Norfolk Southern Corp. | 3.650% | 8/1/25 | 3,711 | 4,067 | ||
Norfolk Southern Corp. | 2.900% | 6/15/26 | 15,275 | 16,507 | ||
Northrop Grumman Corp. | 3.250% | 8/1/23 | 22,858 | 24,084 | ||
Northrop Grumman Corp. | 2.930% | 1/15/25 | 38,100 | 40,511 | ||
nVent Finance Sarl | 3.950% | 4/15/23 | 4,692 | 4,897 | ||
Otis Worldwide Corp. | 2.056% | 4/5/25 | 35,203 | 36,470 | ||
1 | PACCAR Financial Corp. | 2.650% | 5/10/22 | 11,303 | 11,498 | |
1 | PACCAR Financial Corp. | 2.000% | 9/26/22 | 11,272 | 11,487 | |
1 | PACCAR Financial Corp. | 2.650% | 4/6/23 | 6,477 | 6,719 | |
1 | PACCAR Financial Corp. | 0.800% | 6/8/23 | 7,640 | 7,702 | |
PACCAR Financial Corp. | 3.400% | 8/9/23 | 8,758 | 9,274 | ||
1 | PACCAR Financial Corp. | 0.350% | 8/11/23 | 6,239 | 6,245 | |
1 | PACCAR Financial Corp. | 0.350% | 2/2/24 | 6,025 | 6,006 | |
1 | PACCAR Financial Corp. | 2.150% | 8/15/24 | 9,194 | 9,600 | |
1 | PACCAR Financial Corp. | 1.800% | 2/6/25 | 13,266 | 13,727 | |
1 | Parker-Hannifin Corp. | 3.500% | 9/15/22 | 6,649 | 6,858 | |
Parker-Hannifin Corp. | 2.700% | 6/14/24 | 16,154 | 16,972 | ||
1 | Parker-Hannifin Corp. | 3.300% | 11/21/24 | 8,993 | 9,648 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 18,124 | 18,582 | ||
Precision Castparts Corp. | 3.250% | 6/15/25 | 18,447 | 20,014 | ||
Raytheon Technologies Corp. | 3.700% | 12/15/23 | 9,788 | 10,430 | ||
Raytheon Technologies Corp. | 3.200% | 3/15/24 | 23,002 | 24,431 | ||
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 40,898 | 45,327 | ||
Republic Services Inc. | 4.750% | 5/15/23 | 6,709 | 7,127 | ||
Republic Services Inc. | 2.500% | 8/15/24 | 25,565 | 26,842 | ||
Republic Services Inc. | 3.200% | 3/15/25 | 14,408 | 15,484 | ||
Republic Services Inc. | 0.875% | 11/15/25 | 7,209 | 7,151 | ||
Republic Services Inc. | 2.900% | 7/1/26 | 4,287 | 4,602 | ||
Rockwell Automation Inc. | 0.350% | 8/15/23 | 9,270 | 9,272 | ||
Rockwell Automation Inc. | 2.875% | 3/1/25 | 5,126 | 5,445 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Ryder System Inc. | 2.500% | 9/1/22 | 4,700 | 4,791 | |
1 | Ryder System Inc. | 3.400% | 3/1/23 | 14,743 | 15,351 | |
1 | Ryder System Inc. | 3.750% | 6/9/23 | 10,607 | 11,189 | |
1 | Ryder System Inc. | 3.875% | 12/1/23 | 4,699 | 5,030 | |
1 | Ryder System Inc. | 3.650% | 3/18/24 | 17,488 | 18,741 | |
1 | Ryder System Inc. | 2.500% | 9/1/24 | 20,045 | 21,006 | |
1 | Ryder System Inc. | 4.625% | 6/1/25 | 6,131 | 6,891 | |
1 | Ryder System Inc. | 3.350% | 9/1/25 | 5,736 | 6,200 | |
Southwest Airlines Co. | 2.750% | 11/16/22 | 5,950 | 6,093 | ||
Southwest Airlines Co. | 4.750% | 5/4/23 | 22,809 | 24,362 | ||
Southwest Airlines Co. | 5.250% | 5/4/25 | 38,214 | 43,321 | ||
Teledyne Technologies Inc. | 0.650% | 4/1/23 | 11,266 | 11,269 | ||
Teledyne Technologies Inc. | 0.950% | 4/1/24 | 11,589 | 11,602 | ||
Teledyne Technologies Inc. | 1.600% | 4/1/26 | 12,042 | 12,192 | ||
Textron Inc. | 4.300% | 3/1/24 | 7,152 | 7,705 | ||
Textron Inc. | 3.875% | 3/1/25 | 6,071 | 6,612 | ||
Textron Inc. | 4.000% | 3/15/26 | 9,083 | 10,119 | ||
Timken Co. | 3.875% | 9/1/24 | 6,705 | 7,186 | ||
Trane Technologies Global Holding Co. Ltd. | 4.250% | 6/15/23 | 13,555 | 14,442 | ||
Trane Technologies Luxembourg Finance SA | 3.550% | 11/1/24 | 8,693 | 9,378 | ||
Trane Technologies Luxembourg Finance SA | 3.500% | 3/21/26 | 8,845 | 9,685 | ||
Trimble Inc. | 4.150% | 6/15/23 | 6,876 | 7,269 | ||
Trimble Inc. | 4.750% | 12/1/24 | 8,552 | 9,491 | ||
Tyco Electronics Group SA | 3.450% | 8/1/24 | 8,016 | 8,559 | ||
Tyco Electronics Group SA | 3.700% | 2/15/26 | 5,890 | 6,476 | ||
Union Pacific Corp. | 2.950% | 1/15/23 | 9,521 | 9,796 | ||
Union Pacific Corp. | 2.750% | 4/15/23 | 6,223 | 6,423 | ||
Union Pacific Corp. | 3.500% | 6/8/23 | 13,292 | 14,002 | ||
Union Pacific Corp. | 3.646% | 2/15/24 | 8,790 | 9,387 | ||
Union Pacific Corp. | 3.150% | 3/1/24 | 16,387 | 17,408 | ||
Union Pacific Corp. | 3.750% | 3/15/24 | 10,745 | 11,512 | ||
Union Pacific Corp. | 3.250% | 1/15/25 | 7,855 | 8,446 | ||
Union Pacific Corp. | 3.750% | 7/15/25 | 5,335 | 5,891 | ||
Union Pacific Corp. | 3.250% | 8/15/25 | 7,625 | 8,270 | ||
Union Pacific Corp. | 2.750% | 3/1/26 | 15,241 | 16,315 | ||
1 | United Airlines Pass-Through Trust Class A Series 2012-1 | 4.150% | 4/11/24 | 6,405 | 6,736 | |
1 | United Airlines Pass-Through Trust Class A Series 2013-1 | 4.300% | 8/15/25 | 8,724 | 9,327 | |
1 | United Airlines Pass-Through Trust Class B Series 2020-1 | 4.875% | 1/15/26 | 18,405 | 19,392 | |
1 | United Airlines Pass-Through Trust Class A Series 2014-1 | 4.000% | 4/11/26 | 10,688 | 11,296 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 22,723 | 23,262 | ||
United Parcel Service Inc. | 2.500% | 4/1/23 | 23,350 | 24,123 | ||
United Parcel Service Inc. | 2.200% | 9/1/24 | 9,527 | 9,967 | ||
United Parcel Service Inc. | 2.800% | 11/15/24 | 16,739 | 17,857 | ||
United Parcel Service Inc. | 3.900% | 4/1/25 | 15,358 | 16,943 | ||
3 | Vontier Corp. | 1.800% | 4/1/26 | 10,940 | 10,964 | |
Waste Management Inc. | 2.900% | 9/15/22 | 15,411 | 15,725 | ||
Waste Management Inc. | 2.400% | 5/15/23 | 11,240 | 11,589 | ||
Waste Management Inc. | 0.750% | 11/15/25 | 8,720 | 8,656 | ||
Westinghouse Air Brake Technologies Corp. | 4.400% | 3/15/24 | 15,411 | 16,622 | ||
Westinghouse Air Brake Technologies Corp. | 3.200% | 6/15/25 | 11,733 | 12,506 | ||
WW Grainger Inc. | 1.850% | 2/15/25 | 10,819 | 11,181 | ||
3,262,939 | ||||||
Materials (2.0%) | ||||||
Air Products and Chemicals Inc. | 2.750% | 2/3/23 | 6,274 | 6,490 | ||
Air Products and Chemicals Inc. | 3.350% | 7/31/24 | 8,740 | 9,377 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Air Products and Chemicals Inc. | 1.500% | 10/15/25 | 13,693 | 14,044 | ||
Albemarle Corp. | 4.150% | 12/1/24 | 6,910 | 7,539 | ||
ArcelorMittal SA | 4.550% | 3/11/26 | 7,650 | 8,642 | ||
3 | Berry Global Inc. | 0.950% | 2/15/24 | 15,793 | 15,841 | |
3 | Berry Global Inc. | 1.570% | 1/15/26 | 31,887 | 32,162 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 10,690 | 11,466 | ||
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 5,224 | 6,413 | ||
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 4,887 | 5,037 | ||
Carlisle Cos. Inc. | 3.500% | 12/1/24 | 8,903 | 9,579 | ||
Celanese US Holdings LLC | 4.625% | 11/15/22 | 8,245 | 8,644 | ||
Celanese US Holdings LLC | 3.500% | 5/8/24 | 11,463 | 12,244 | ||
Celanese US Holdings LLC | 1.400% | 8/5/26 | 8,200 | 8,185 | ||
Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 8,145 | 8,798 | ||
CF Industries Inc. | 3.450% | 6/1/23 | 5,975 | 6,279 | ||
Dow Chemical Co. | 4.550% | 11/30/25 | 727 | 826 | ||
Dow Chemical Co. | 3.625% | 5/15/26 | 17,434 | 19,303 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 53,657 | 57,779 | ||
DuPont de Nemours Inc. | 4.493% | 11/15/25 | 37,948 | 42,846 | ||
Eastman Chemical Co. | 3.800% | 3/15/25 | 12,185 | 13,284 | ||
Ecolab Inc. | 2.375% | 8/10/22 | 21,314 | 21,710 | ||
Ecolab Inc. | 3.250% | 1/14/23 | 6,591 | 6,821 | ||
EI du Pont de Nemours & Co. | 1.700% | 7/15/25 | 10,595 | 10,871 | ||
Fibria Overseas Finance Ltd. | 4.000% | 1/14/25 | 7,315 | 7,866 | ||
FMC Corp. | 4.100% | 2/1/24 | 6,970 | 7,449 | ||
Georgia-Pacific LLC | 8.000% | 1/15/24 | 7,825 | 9,188 | ||
3 | Georgia-Pacific LLC | 0.625% | 5/15/24 | 3,500 | 3,511 | |
3 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 9,500 | 9,788 | |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 6,039 | 6,269 | ||
International Paper Co. | 3.800% | 1/15/26 | 9,591 | 10,648 | ||
Kinross Gold Corp. | 5.950% | 3/15/24 | 9,598 | 10,672 | ||
Linde Inc. | 2.700% | 2/21/23 | 9,541 | 9,828 | ||
Linde Inc. | 2.650% | 2/5/25 | 7,255 | 7,681 | ||
Linde Inc. | 3.200% | 1/30/26 | 12,716 | 13,878 | ||
LYB International Finance BV | 4.000% | 7/15/23 | 11,107 | 11,819 | ||
LYB International Finance III LLC | 2.875% | 5/1/25 | 11,645 | 12,441 | ||
LYB International Finance III LLC | 1.250% | 10/1/25 | 15,539 | 15,557 | ||
LyondellBasell Industries NV | 5.750% | 4/15/24 | 16,197 | 18,082 | ||
Martin Marietta Materials Inc. | 0.650% | 7/15/23 | 4,000 | 4,010 | ||
Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 9,154 | 9,971 | ||
Mosaic Co. | 3.250% | 11/15/22 | 14,703 | 15,157 | ||
Mosaic Co. | 4.250% | 11/15/23 | 22,827 | 24,427 | ||
NewMarket Corp. | 4.100% | 12/15/22 | 2,375 | 2,476 | ||
Newmont Corp. | 3.700% | 3/15/23 | 3,429 | 3,566 | ||
Nucor Corp. | 4.125% | 9/15/22 | 10,450 | 10,760 | ||
Nucor Corp. | 4.000% | 8/1/23 | 11,955 | 12,667 | ||
Nucor Corp. | 2.000% | 6/1/25 | 16,181 | 16,758 | ||
Nutrien Ltd. | 3.150% | 10/1/22 | 13,028 | 13,329 | ||
Nutrien Ltd. | 1.900% | 5/13/23 | 9,439 | 9,658 | ||
Nutrien Ltd. | 3.500% | 6/1/23 | 7,384 | 7,710 | ||
Nutrien Ltd. | 3.625% | 3/15/24 | 13,965 | 14,895 | ||
Nutrien Ltd. | 3.375% | 3/15/25 | 18,334 | 19,768 | ||
Nutrien Ltd. | 3.000% | 4/1/25 | 7,738 | 8,243 | ||
Packaging Corp. of America | 4.500% | 11/1/23 | 14,440 | 15,531 | ||
Packaging Corp. of America | 3.650% | 9/15/24 | 6,807 | 7,341 | ||
PPG Industries Inc. | 3.200% | 3/15/23 | 5,819 | 6,051 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PPG Industries Inc. | 2.400% | 8/15/24 | 8,761 | 9,181 | ||
PPG Industries Inc. | 1.200% | 3/15/26 | 16,049 | 16,056 | ||
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 5,083 | 5,353 | ||
Reliance Steel & Aluminum Co. | 1.300% | 8/15/25 | 5,850 | 5,872 | ||
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 25,097 | 27,645 | ||
RPM International Inc. | 3.450% | 11/15/22 | 4,009 | 4,118 | ||
Sherwin-Williams Co. | 3.125% | 6/1/24 | 32,150 | 34,185 | ||
Sherwin-Williams Co. | 3.450% | 8/1/25 | 7,483 | 8,144 | ||
Southern Copper Corp. | 3.500% | 11/8/22 | 4,565 | 4,717 | ||
Southern Copper Corp. | 3.875% | 4/23/25 | 8,742 | 9,522 | ||
Steel Dynamics Inc. | 2.800% | 12/15/24 | 8,885 | 9,365 | ||
Steel Dynamics Inc. | 2.400% | 6/15/25 | 9,395 | 9,798 | ||
Vale Overseas Ltd. | 6.250% | 8/10/26 | 36,973 | 44,607 | ||
Vulcan Materials Co. | 4.500% | 4/1/25 | 6,355 | 7,073 | ||
Westlake Chemical Corp. | 3.600% | 8/15/26 | 16,983 | 18,740 | ||
WestRock RKT LLC | 4.000% | 3/1/23 | 8,745 | 9,115 | ||
WRKCo Inc. | 3.000% | 9/15/24 | 12,411 | 13,124 | ||
WRKCo Inc. | 3.750% | 3/15/25 | 19,996 | 21,773 | ||
WRKCo Inc. | 4.650% | 3/15/26 | 16,708 | 19,051 | ||
978,614 | ||||||
Real Estate (3.5%) | ||||||
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 20,908 | 22,699 | ||
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 1,437 | 1,617 | ||
Alexandria Real Estate Equities Inc. | 3.800% | 4/15/26 | 8,292 | 9,242 | ||
American Campus Communities Operating Partnership LP | 3.750% | 4/15/23 | 7,393 | 7,715 | ||
American Campus Communities Operating Partnership LP | 4.125% | 7/1/24 | 9,174 | 9,991 | ||
American Campus Communities Operating Partnership LP | 3.300% | 7/15/26 | 8,703 | 9,374 | ||
American Tower Corp. | 3.500% | 1/31/23 | 25,520 | 26,623 | ||
American Tower Corp. | 3.000% | 6/15/23 | 16,145 | 16,851 | ||
American Tower Corp. | 0.600% | 1/15/24 | 6,558 | 6,555 | ||
American Tower Corp. | 5.000% | 2/15/24 | 18,010 | 19,854 | ||
American Tower Corp. | 3.375% | 5/15/24 | 19,303 | 20,604 | ||
American Tower Corp. | 2.950% | 1/15/25 | 17,366 | 18,429 | ||
American Tower Corp. | 2.400% | 3/15/25 | 15,090 | 15,752 | ||
American Tower Corp. | 4.000% | 6/1/25 | 12,820 | 14,075 | ||
American Tower Corp. | 1.300% | 9/15/25 | 13,943 | 14,014 | ||
American Tower Corp. | 4.400% | 2/15/26 | 13,072 | 14,728 | ||
American Tower Corp. | 1.600% | 4/15/26 | 12,337 | 12,466 | ||
1 | AvalonBay Communities Inc. | 2.950% | 9/15/22 | 8,925 | 9,107 | |
1 | AvalonBay Communities Inc. | 4.200% | 12/15/23 | 6,728 | 7,235 | |
1 | AvalonBay Communities Inc. | 3.500% | 11/15/24 | 7,885 | 8,509 | |
1 | AvalonBay Communities Inc. | 3.450% | 6/1/25 | 11,107 | 12,101 | |
1 | AvalonBay Communities Inc. | 3.500% | 11/15/25 | 5,919 | 6,489 | |
1 | AvalonBay Communities Inc. | 2.950% | 5/11/26 | 11,416 | 12,338 | |
Boston Properties LP | 3.850% | 2/1/23 | 16,706 | 17,351 | ||
Boston Properties LP | 3.125% | 9/1/23 | 18,343 | 19,186 | ||
Boston Properties LP | 3.800% | 2/1/24 | 16,876 | 17,982 | ||
Boston Properties LP | 3.200% | 1/15/25 | 14,558 | 15,549 | ||
Boston Properties LP | 3.650% | 2/1/26 | 19,863 | 21,867 | ||
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 5,217 | 5,430 | ||
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 6,651 | 7,190 | ||
Brixmor Operating Partnership LP | 3.250% | 9/15/23 | 9,497 | 9,986 | ||
Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 13,013 | 13,955 | ||
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 14,122 | 15,319 | ||
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 8,153 | 9,122 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Camden Property Trust | 2.950% | 12/15/22 | 8,851 | 9,085 | ||
CBRE Services Inc. | 4.875% | 3/1/26 | 12,963 | 14,917 | ||
CC Holdings GS V LLC | 3.849% | 4/15/23 | 30,993 | 32,652 | ||
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 7,863 | 8,503 | ||
Columbia Property Trust Operating Partnership LP | 3.650% | 8/15/26 | 7,076 | 7,542 | ||
Corporate Office Properties LP | 5.000% | 7/1/25 | 7,242 | 8,151 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 6,780 | 6,988 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 11,353 | 11,889 | ||
Crown Castle International Corp. | 3.200% | 9/1/24 | 19,201 | 20,488 | ||
Crown Castle International Corp. | 1.350% | 7/15/25 | 10,448 | 10,534 | ||
Crown Castle International Corp. | 4.450% | 2/15/26 | 22,325 | 25,141 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 21,922 | 24,135 | ||
Crown Castle International Corp. | 1.050% | 7/15/26 | 9,040 | 8,901 | ||
CubeSmart LP | 4.375% | 12/15/23 | 4,495 | 4,839 | ||
CubeSmart LP | 4.000% | 11/15/25 | 6,956 | 7,670 | ||
CyrusOne LP | 2.900% | 11/15/24 | 13,230 | 13,883 | ||
Digital Realty Trust LP | 4.750% | 10/1/25 | 10,853 | 12,316 | ||
Duke Realty LP | 3.750% | 12/1/24 | 4,870 | 5,283 | ||
Duke Realty LP | 3.250% | 6/30/26 | 7,368 | 8,013 | ||
Equinix Inc. | 2.625% | 11/18/24 | 29,102 | 30,584 | ||
Equinix Inc. | 1.250% | 7/15/25 | 10,501 | 10,507 | ||
Equinix Inc. | 1.000% | 9/15/25 | 15,672 | 15,593 | ||
Equinix Inc. | 1.450% | 5/15/26 | 11,000 | 11,033 | ||
ERP Operating LP | 3.000% | 4/15/23 | 10,108 | 10,472 | ||
ERP Operating LP | 3.375% | 6/1/25 | 13,431 | 14,545 | ||
Essex Portfolio LP | 3.250% | 5/1/23 | 8,955 | 9,302 | ||
Essex Portfolio LP | 3.875% | 5/1/24 | 7,777 | 8,350 | ||
Essex Portfolio LP | 3.500% | 4/1/25 | 16,984 | 18,384 | ||
Essex Portfolio LP | 3.375% | 4/15/26 | 4,462 | 4,857 | ||
Federal Realty Investment Trust | 3.950% | 1/15/24 | 11,003 | 11,762 | ||
Federal Realty Investment Trust | 1.250% | 2/15/26 | 10,829 | 10,813 | ||
GLP Capital LP | 5.375% | 11/1/23 | 10,430 | 11,307 | ||
GLP Capital LP | 3.350% | 9/1/24 | 12,368 | 13,058 | ||
GLP Capital LP | 5.250% | 6/1/25 | 18,775 | 21,068 | ||
GLP Capital LP | 5.375% | 4/15/26 | 15,768 | 18,078 | ||
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 12,634 | 13,822 | ||
Healthpeak Properties Inc. | 3.400% | 2/1/25 | 8,567 | 9,196 | ||
Healthpeak Properties Inc. | 4.000% | 6/1/25 | 7,247 | 7,986 | ||
Healthpeak Properties Inc. | 3.250% | 7/15/26 | 13,227 | 14,393 | ||
Highwoods Realty LP | 3.625% | 1/15/23 | 1,360 | 1,404 | ||
1 | Host Hotels & Resorts LP | 3.750% | 10/15/23 | 9,736 | 10,241 | |
Host Hotels & Resorts LP | 3.875% | 4/1/24 | 9,707 | 10,337 | ||
1 | Host Hotels & Resorts LP | 4.000% | 6/15/25 | 10,752 | 11,625 | |
1 | Host Hotels & Resorts LP | 4.500% | 2/1/26 | 8,552 | 9,445 | |
Kilroy Realty LP | 3.800% | 1/15/23 | 2,125 | 2,200 | ||
Kilroy Realty LP | 3.450% | 12/15/24 | 9,170 | 9,804 | ||
Kilroy Realty LP | 4.375% | 10/1/25 | 12,421 | 13,836 | ||
Kimco Realty Corp. | 3.400% | 11/1/22 | 7,189 | 7,404 | ||
Kimco Realty Corp. | 3.125% | 6/1/23 | 6,743 | 7,011 | ||
Kimco Realty Corp. | 2.700% | 3/1/24 | 9,787 | 10,222 | ||
Kimco Realty Corp. | 3.300% | 2/1/25 | 14,064 | 15,108 | ||
LifeStorage LP | 3.500% | 7/1/26 | 11,534 | 12,675 | ||
Mid-America Apartments LP | 4.300% | 10/15/23 | 7,080 | 7,569 | ||
Mid-America Apartments LP | 3.750% | 6/15/24 | 7,042 | 7,574 | ||
Mid-America Apartments LP | 4.000% | 11/15/25 | 8,908 | 9,886 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mid-America Apartments LP | 1.100% | 9/15/26 | 5,350 | 5,341 | ||
National Retail Properties Inc. | 3.900% | 6/15/24 | 7,373 | 7,952 | ||
National Retail Properties Inc. | 4.000% | 11/15/25 | 9,262 | 10,278 | ||
Office Properties Income Trust | 4.250% | 5/15/24 | 6,536 | 6,973 | ||
Office Properties Income Trust | 4.500% | 2/1/25 | 13,517 | 14,614 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 2,338 | 2,386 | ||
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 12,580 | 13,362 | ||
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 10,363 | 11,296 | ||
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 8,698 | 9,552 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 14,012 | 15,996 | ||
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 8,766 | 9,099 | ||
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 6,595 | 7,084 | ||
Public Storage | 2.370% | 9/15/22 | 13,077 | 13,337 | ||
Public Storage | 0.875% | 2/15/26 | 10,825 | 10,751 | ||
Realty Income Corp. | 4.650% | 8/1/23 | 25,178 | 26,938 | ||
Realty Income Corp. | 3.875% | 7/15/24 | 10,056 | 10,871 | ||
Realty Income Corp. | 3.875% | 4/15/25 | 13,474 | 14,838 | ||
Realty Income Corp. | 0.750% | 3/15/26 | 1,632 | 1,603 | ||
Retail Properties of America Inc. | 4.000% | 3/15/25 | 1,100 | 1,176 | ||
Sabra Health Care LP | 4.800% | 6/1/24 | 8,299 | 9,066 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 10,221 | 11,526 | ||
Simon Property Group LP | 2.750% | 2/1/23 | 14,888 | 15,308 | ||
Simon Property Group LP | 2.750% | 6/1/23 | 14,096 | 14,604 | ||
Simon Property Group LP | 3.750% | 2/1/24 | 11,029 | 11,792 | ||
Simon Property Group LP | 2.000% | 9/13/24 | 28,259 | 29,280 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 17,382 | 18,665 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 26,821 | 29,256 | ||
Simon Property Group LP | 3.300% | 1/15/26 | 12,275 | 13,309 | ||
SITE Centers Corp. | 3.625% | 2/1/25 | 7,468 | 7,917 | ||
SITE Centers Corp. | 4.250% | 2/1/26 | 2,831 | 3,097 | ||
SL Green Operating Partnership LP | 3.250% | 10/15/22 | 6,794 | 6,976 | ||
SL Green Realty Corp. | 4.500% | 12/1/22 | 6,258 | 6,487 | ||
Ventas Realty LP | 3.125% | 6/15/23 | 9,417 | 9,870 | ||
Ventas Realty LP | 3.500% | 4/15/24 | 8,023 | 8,550 | ||
Ventas Realty LP | 3.750% | 5/1/24 | 7,008 | 7,493 | ||
Ventas Realty LP | 2.650% | 1/15/25 | 7,988 | 8,380 | ||
Ventas Realty LP | 3.500% | 2/1/25 | 11,824 | 12,709 | ||
Ventas Realty LP | 4.125% | 1/15/26 | 15,135 | 16,842 | ||
VEREIT Operating Partnership LP | 4.600% | 2/6/24 | 13,964 | 15,130 | ||
VEREIT Operating Partnership LP | 4.625% | 11/1/25 | 9,527 | 10,796 | ||
VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 11,803 | 13,634 | ||
Vornado Realty LP | 3.500% | 1/15/25 | 9,119 | 9,718 | ||
Vornado Realty LP | 2.150% | 6/1/26 | 10,134 | 10,379 | ||
Weingarten Realty Investors | 3.375% | 10/15/22 | 1,709 | 1,751 | ||
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,965 | 3,077 | ||
Welltower Inc. | 4.500% | 1/15/24 | 10,308 | 11,131 | ||
Welltower Inc. | 3.625% | 3/15/24 | 25,627 | 27,367 | ||
Welltower Inc. | 4.000% | 6/1/25 | 42,550 | 46,804 | ||
Welltower Inc. | 4.250% | 4/1/26 | 2,591 | 2,912 | ||
Weyerhaeuser Co. | 8.500% | 1/15/25 | 4,534 | 5,629 | ||
WP Carey Inc. | 4.600% | 4/1/24 | 8,578 | 9,330 | ||
WP Carey Inc. | 4.000% | 2/1/25 | 9,361 | 10,196 | ||
1,714,114 | ||||||
Technology (9.1%) | ||||||
Adobe Inc. | 1.700% | 2/1/23 | 19,201 | 19,600 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Adobe Inc. | 1.900% | 2/1/25 | 15,217 | 15,792 | ||
Adobe Inc. | 3.250% | 2/1/25 | 18,698 | 20,161 | ||
Advanced Micro Devices Inc. | 7.500% | 8/15/22 | 15 | 16 | ||
Altera Corp. | 4.100% | 11/15/23 | 14,972 | 16,164 | ||
Analog Devices Inc. | 2.875% | 6/1/23 | 7,696 | 7,986 | ||
Analog Devices Inc. | 3.125% | 12/5/23 | 10,539 | 11,122 | ||
Analog Devices Inc. | 2.950% | 4/1/25 | 12,084 | 12,920 | ||
Analog Devices Inc. | 3.900% | 12/15/25 | 15,840 | 17,651 | ||
Apple Inc. | 1.700% | 9/11/22 | 17,135 | 17,400 | ||
Apple Inc. | 2.100% | 9/12/22 | 16,349 | 16,642 | ||
Apple Inc. | 2.400% | 1/13/23 | 28,433 | 29,220 | ||
Apple Inc. | 2.850% | 2/23/23 | 26,024 | 26,913 | ||
Apple Inc. | 2.400% | 5/3/23 | 114,009 | 118,080 | ||
Apple Inc. | 0.750% | 5/11/23 | 47,666 | 48,075 | ||
Apple Inc. | 3.000% | 2/9/24 | 43,829 | 46,354 | ||
Apple Inc. | 3.450% | 5/6/24 | 51,518 | 55,568 | ||
Apple Inc. | 2.850% | 5/11/24 | 59,239 | 62,783 | ||
Apple Inc. | 1.800% | 9/11/24 | 19,453 | 20,168 | ||
Apple Inc. | 2.750% | 1/13/25 | 19,607 | 20,865 | ||
Apple Inc. | 2.500% | 2/9/25 | 27,253 | 28,820 | ||
Apple Inc. | 1.125% | 5/11/25 | 55,441 | 56,095 | ||
Apple Inc. | 3.200% | 5/13/25 | 53,111 | 57,659 | ||
Apple Inc. | 0.550% | 8/20/25 | 14,341 | 14,216 | ||
Apple Inc. | 0.700% | 2/8/26 | 53,460 | 53,139 | ||
Apple Inc. | 3.250% | 2/23/26 | 81,179 | 88,958 | ||
Apple Inc. | 2.450% | 8/4/26 | 48,000 | 51,203 | ||
Applied Materials Inc. | 3.900% | 10/1/25 | 14,416 | 16,057 | ||
Arrow Electronics Inc. | 4.500% | 3/1/23 | 5,850 | 6,127 | ||
Arrow Electronics Inc. | 3.250% | 9/8/24 | 14,271 | 15,135 | ||
Arrow Electronics Inc. | 4.000% | 4/1/25 | 4,870 | 5,269 | ||
Autodesk Inc. | 3.600% | 12/15/22 | 3,365 | 3,471 | ||
Autodesk Inc. | 4.375% | 6/15/25 | 9,724 | 10,836 | ||
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 21,691 | 23,766 | ||
Avnet Inc. | 4.875% | 12/1/22 | 6,487 | 6,814 | ||
Avnet Inc. | 4.625% | 4/15/26 | 12,991 | 14,568 | ||
Broadcom Corp. | 3.625% | 1/15/24 | 863 | 917 | ||
Broadcom Corp. | 3.125% | 1/15/25 | 1,360 | 1,446 | ||
Broadcom Inc. | 2.250% | 11/15/23 | 7,476 | 7,723 | ||
Broadcom Inc. | 3.625% | 10/15/24 | 13,422 | 14,515 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 27,352 | 30,615 | ||
Broadcom Inc. | 3.150% | 11/15/25 | 52,222 | 55,941 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 24,370 | 27,252 | ||
Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 10,537 | 11,582 | ||
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 7,232 | 7,930 | ||
CDW LLC | 4.125% | 5/1/25 | 6,900 | 7,174 | ||
Cisco Systems Inc. | 2.600% | 2/28/23 | 8,911 | 9,225 | ||
Cisco Systems Inc. | 2.200% | 9/20/23 | 19,051 | 19,753 | ||
Cisco Systems Inc. | 3.625% | 3/4/24 | 19,151 | 20,671 | ||
Cisco Systems Inc. | 3.500% | 6/15/25 | 6,443 | 7,097 | ||
Cisco Systems Inc. | 2.950% | 2/28/26 | 17,616 | 19,215 | ||
Citrix Systems Inc. | 1.250% | 3/1/26 | 17,475 | 17,265 | ||
Dell International LLC | 5.450% | 6/15/23 | 81,100 | 87,432 | ||
Dell International LLC | 4.000% | 7/15/24 | 23,772 | 25,805 | ||
Dell International LLC | 5.850% | 7/15/25 | 29,171 | 34,080 | ||
Dell International LLC | 6.020% | 6/15/26 | 78,062 | 93,418 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Dell International LLC | 4.900% | 10/1/26 | 16,000 | 18,518 | ||
DXC Technology Co. | 4.250% | 4/15/24 | 12,513 | 13,509 | ||
DXC Technology Co. | 4.125% | 4/15/25 | 23,832 | 26,159 | ||
Equifax Inc. | 3.300% | 12/15/22 | 16,494 | 16,981 | ||
Equifax Inc. | 3.950% | 6/15/23 | 8,605 | 9,101 | ||
Equifax Inc. | 2.600% | 12/1/24 | 18,437 | 19,401 | ||
Equifax Inc. | 2.600% | 12/15/25 | 12,981 | 13,733 | ||
Fidelity National Information Services Inc. | 0.375% | 3/1/23 | 19,151 | 19,148 | ||
Fidelity National Information Services Inc. | 0.600% | 3/1/24 | 17,134 | 17,136 | ||
Fidelity National Information Services Inc. | 1.150% | 3/1/26 | 31,960 | 31,829 | ||
Fiserv Inc. | 3.500% | 10/1/22 | 17,172 | 17,626 | ||
Fiserv Inc. | 3.800% | 10/1/23 | 35,882 | 38,264 | ||
Fiserv Inc. | 2.750% | 7/1/24 | 55,468 | 58,608 | ||
Fiserv Inc. | 3.850% | 6/1/25 | 10,193 | 11,192 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 43,000 | 46,741 | ||
Flex Ltd. | 5.000% | 2/15/23 | 8,423 | 8,925 | ||
Flex Ltd. | 4.750% | 6/15/25 | 13,186 | 14,683 | ||
Flex Ltd. | 3.750% | 2/1/26 | 16,377 | 17,871 | ||
Fortinet Inc. | 1.000% | 3/15/26 | 10,938 | 10,869 | ||
Genpact Luxembourg Sarl | 3.375% | 12/1/24 | 3,602 | 3,854 | ||
Harman International Industries Inc. | 4.150% | 5/15/25 | 6,278 | 6,918 | ||
Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 38,262 | 39,682 | ||
Hewlett Packard Enterprise Co. | 2.250% | 4/1/23 | 15,400 | 15,800 | ||
Hewlett Packard Enterprise Co. | 4.450% | 10/2/23 | 22,727 | 24,455 | ||
Hewlett Packard Enterprise Co. | 1.450% | 4/1/24 | 22,291 | 22,670 | ||
Hewlett Packard Enterprise Co. | 4.650% | 10/1/24 | 22,263 | 24,691 | ||
Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 52,051 | 59,317 | ||
Hewlett Packard Enterprise Co. | 1.750% | 4/1/26 | 16,733 | 17,070 | ||
HP Inc. | 4.050% | 9/15/22 | 8,753 | 9,078 | ||
HP Inc. | 2.200% | 6/17/25 | 28,218 | 29,277 | ||
3 | HP Inc. | 1.450% | 6/17/26 | 22,750 | 22,730 | |
Hubbell Inc. | 3.350% | 3/1/26 | 6,098 | 6,595 | ||
IHS Markit Ltd. | 4.125% | 8/1/23 | 7,760 | 8,240 | ||
IHS Markit Ltd. | 3.625% | 5/1/24 | 6,250 | 6,667 | ||
Intel Corp. | 2.700% | 12/15/22 | 34,030 | 35,106 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,313 | 31,092 | ||
Intel Corp. | 3.400% | 3/25/25 | 41,293 | 44,909 | ||
Intel Corp. | 3.700% | 7/29/25 | 46,637 | 51,371 | ||
Intel Corp. | 2.600% | 5/19/26 | 22,363 | 23,987 | ||
International Business Machines Corp. | 2.875% | 11/9/22 | 36,889 | 38,022 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 33,601 | 35,501 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 29,365 | 31,540 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 54,999 | 58,523 | ||
International Business Machines Corp. | 7.000% | 10/30/25 | 8,075 | 10,045 | ||
International Business Machines Corp. | 3.450% | 2/19/26 | 33,980 | 37,492 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 77,579 | 85,413 | ||
Intuit Inc. | 0.650% | 7/15/23 | 11,574 | 11,639 | ||
Intuit Inc. | 0.950% | 7/15/25 | 10,293 | 10,334 | ||
1 | J Paul Getty Trust | 0.391% | 1/1/24 | 300 | 299 | |
Jabil Inc. | 4.700% | 9/15/22 | 10,748 | 11,210 | ||
Jabil Inc. | 1.700% | 4/15/26 | 2,090 | 2,111 | ||
Juniper Networks Inc. | 1.200% | 12/10/25 | 12,783 | 12,774 | ||
KLA Corp. | 4.650% | 11/1/24 | 25,563 | 28,373 | ||
Lam Research Corp. | 3.800% | 3/15/25 | 10,321 | 11,320 | ||
Lam Research Corp. | 3.750% | 3/15/26 | 14,800 | 16,534 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Legrand France SA | 8.500% | 2/15/25 | 7,880 | 9,811 | ||
Leidos Inc. | 2.950% | 5/15/23 | 11,789 | 12,227 | ||
Leidos Inc. | 3.625% | 5/15/25 | 9,903 | 10,734 | ||
3 | Marvell Technology Inc. | 4.200% | 6/22/23 | 9,546 | 10,114 | |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 9,501 | 9,855 | ||
Microchip Technology Inc. | 4.333% | 6/1/23 | 22,662 | 24,031 | ||
Microchip Technology Inc. | 2.670% | 9/1/23 | 825 | 857 | ||
Micron Technology Inc. | 2.497% | 4/24/23 | 25,127 | 25,933 | ||
Micron Technology Inc. | 4.640% | 2/6/24 | 11,691 | 12,723 | ||
Micron Technology Inc. | 4.975% | 2/6/26 | 13,542 | 15,584 | ||
Microsoft Corp. | 2.650% | 11/3/22 | 22,118 | 22,669 | ||
Microsoft Corp. | 2.125% | 11/15/22 | 18,042 | 18,457 | ||
Microsoft Corp. | 2.375% | 5/1/23 | 24,295 | 25,033 | ||
Microsoft Corp. | 2.000% | 8/8/23 | 26,670 | 27,514 | ||
Microsoft Corp. | 3.625% | 12/15/23 | 26,006 | 27,809 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 65,187 | 68,838 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 46,321 | 49,365 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 66,158 | 72,143 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 84,692 | 90,572 | ||
Moody's Corp. | 4.500% | 9/1/22 | 11,924 | 12,285 | ||
Moody's Corp. | 2.625% | 1/15/23 | 13,715 | 14,114 | ||
Moody's Corp. | 4.875% | 2/15/24 | 10,616 | 11,610 | ||
Moody's Corp. | 3.750% | 3/24/25 | 10,446 | 11,416 | ||
Motorola Solutions Inc. | 4.000% | 9/1/24 | 12,267 | 13,394 | ||
NetApp Inc. | 3.300% | 9/29/24 | 9,189 | 9,816 | ||
NetApp Inc. | 1.875% | 6/22/25 | 15,737 | 16,208 | ||
NVIDIA Corp. | 0.309% | 6/15/23 | 19,250 | 19,254 | ||
NVIDIA Corp. | 0.584% | 6/14/24 | 9,641 | 9,665 | ||
3 | NXP BV | 4.875% | 3/1/24 | 23,928 | 26,203 | |
3 | NXP BV | 2.700% | 5/1/25 | 19,134 | 20,130 | |
3 | NXP BV | 5.350% | 3/1/26 | 7,449 | 8,678 | |
3 | NXP BV | 3.875% | 6/18/26 | 16,594 | 18,393 | |
Oracle Corp. | 2.500% | 10/15/22 | 74,604 | 76,418 | ||
Oracle Corp. | 2.625% | 2/15/23 | 45,631 | 47,026 | ||
Oracle Corp. | 3.625% | 7/15/23 | 22,146 | 23,445 | ||
Oracle Corp. | 2.400% | 9/15/23 | 56,689 | 58,741 | ||
Oracle Corp. | 3.400% | 7/8/24 | 39,626 | 42,421 | ||
Oracle Corp. | 2.950% | 11/15/24 | 42,200 | 44,936 | ||
Oracle Corp. | 2.500% | 4/1/25 | 75,695 | 79,404 | ||
Oracle Corp. | 2.950% | 5/15/25 | 41,318 | 43,970 | ||
Oracle Corp. | 1.650% | 3/25/26 | 61,212 | 62,195 | ||
Oracle Corp. | 2.650% | 7/15/26 | 61,894 | 65,560 | ||
QUALCOMM Inc. | 2.600% | 1/30/23 | 15,973 | 16,477 | ||
QUALCOMM Inc. | 2.900% | 5/20/24 | 16,381 | 17,384 | ||
QUALCOMM Inc. | 3.450% | 5/20/25 | 31,460 | 34,251 | ||
RELX Capital Inc. | 3.500% | 3/16/23 | 13,837 | 14,449 | ||
Roper Technologies Inc. | 2.800% | 12/15/21 | 8,923 | 8,968 | ||
Roper Technologies Inc. | 3.125% | 11/15/22 | 7,429 | 7,624 | ||
Roper Technologies Inc. | 3.650% | 9/15/23 | 17,125 | 18,186 | ||
Roper Technologies Inc. | 2.350% | 9/15/24 | 10,155 | 10,630 | ||
Roper Technologies Inc. | 1.000% | 9/15/25 | 16,323 | 16,287 | ||
Roper Technologies Inc. | 3.850% | 12/15/25 | 3,113 | 3,446 | ||
S&P Global Inc. | 4.000% | 6/15/25 | 13,613 | 15,094 | ||
salesforce.com Inc. | 3.250% | 4/11/23 | 22,690 | 23,723 | ||
Skyworks Solutions Inc. | 1.800% | 6/1/26 | 12,884 | 13,098 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | SYNNEX Corp. | 1.750% | 8/9/26 | 12,175 | 12,125 | |
Texas Instruments Inc. | 2.250% | 5/1/23 | 5,625 | 5,784 | ||
Texas Instruments Inc. | 2.625% | 5/15/24 | 13,084 | 13,775 | ||
Texas Instruments Inc. | 1.375% | 3/12/25 | 23,270 | 23,734 | ||
Verisk Analytics Inc. | 4.125% | 9/12/22 | 11,900 | 12,332 | ||
Verisk Analytics Inc. | 4.000% | 6/15/25 | 21,661 | 23,915 | ||
VMware Inc. | 0.600% | 8/15/23 | 29,640 | 29,672 | ||
VMware Inc. | 1.000% | 8/15/24 | 7,000 | 7,029 | ||
VMware Inc. | 4.500% | 5/15/25 | 20,251 | 22,623 | ||
VMware Inc. | 1.400% | 8/15/26 | 34,140 | 34,103 | ||
Xilinx Inc. | 2.950% | 6/1/24 | 16,248 | 17,158 | ||
4,501,020 | ||||||
Utilities (4.9%) | ||||||
AEP Texas Inc. | 2.400% | 10/1/22 | 6,875 | 7,019 | ||
AES Corp. | 1.375% | 1/15/26 | 16,301 | 16,205 | ||
1 | Alabama Power Co. | 2.450% | 3/30/22 | 13,115 | 13,258 | |
1 | Alabama Power Co. | 3.550% | 12/1/23 | 6,299 | 6,736 | |
Ameren Corp. | 2.500% | 9/15/24 | 13,396 | 14,039 | ||
Ameren Corp. | 3.650% | 2/15/26 | 5,739 | 6,287 | ||
Ameren Illinois Co. | 2.700% | 9/1/22 | 5,442 | 5,540 | ||
Ameren Illinois Co. | 3.250% | 3/1/25 | 4,877 | 5,250 | ||
1 | American Electric Power Co. Inc. | 2.950% | 12/15/22 | 21,153 | 21,701 | |
1 | American Electric Power Co. Inc. | 0.750% | 11/1/23 | 2,000 | 2,000 | |
1 | American Electric Power Co. Inc. | 1.000% | 11/1/25 | 3,562 | 3,542 | |
American Water Capital Corp. | 3.850% | 3/1/24 | 5,057 | 5,438 | ||
American Water Capital Corp. | 3.400% | 3/1/25 | 14,942 | 16,187 | ||
Appalachian Power Co. | 3.400% | 6/1/25 | 4,629 | 4,992 | ||
Arizona Public Service Co. | 3.150% | 5/15/25 | 5,789 | 6,213 | ||
Atmos Energy Corp. | 0.625% | 3/9/23 | 14,000 | 14,001 | ||
Avangrid Inc. | 3.150% | 12/1/24 | 14,446 | 15,425 | ||
Avangrid Inc. | 3.200% | 4/15/25 | 14,972 | 16,036 | ||
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 7,765 | 8,122 | ||
Baltimore Gas & Electric Co. | 2.400% | 8/15/26 | 7,069 | 7,461 | ||
Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 11,922 | 12,294 | ||
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 11,349 | 12,103 | ||
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 8,340 | 9,010 | ||
Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | 27,224 | 30,110 | ||
Black Hills Corp. | 4.250% | 11/30/23 | 7,562 | 8,104 | ||
Black Hills Corp. | 1.037% | 8/23/24 | 12,230 | 12,250 | ||
Black Hills Corp. | 3.950% | 1/15/26 | 8,975 | 9,875 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/22 | 15,245 | 15,544 | ||
CenterPoint Energy Inc. | 3.850% | 2/1/24 | 4,124 | 4,412 | ||
CenterPoint Energy Inc. | 2.500% | 9/1/24 | 13,758 | 14,407 | ||
CenterPoint Energy Inc. | 1.450% | 6/1/26 | 773 | 779 | ||
CenterPoint Energy Resources Corp. | 3.550% | 4/1/23 | 8,789 | 9,193 | ||
Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 8,040 | 8,782 | ||
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 2,300 | 2,608 | ||
CMS Energy Corp. | 3.000% | 5/15/26 | 6,050 | 6,510 | ||
Commonwealth Edison Co. | 2.550% | 6/15/26 | 4,337 | 4,617 | ||
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 12,502 | 12,810 | ||
1 | Connecticut Light & Power Co. | 0.750% | 12/1/25 | 8,500 | 8,445 | |
1 | Consolidated Edison Inc. | 0.650% | 12/1/23 | 5,000 | 5,000 | |
Consumers Energy Co. | 0.350% | 6/1/23 | 3,175 | 3,177 | ||
Consumers Energy Co. | 3.375% | 8/15/23 | 11,103 | 11,664 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 7,933 | 8,416 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Dominion Energy Inc. | 2.750% | 9/15/22 | 6,453 | 6,571 | |
Dominion Energy Inc. | 3.071% | 8/15/24 | 7,625 | 8,089 | ||
1 | Dominion Energy Inc. | 3.300% | 3/15/25 | 11,492 | 12,398 | |
Dominion Energy Inc. | 3.900% | 10/1/25 | 19,897 | 21,908 | ||
1 | Dominion Energy Inc. | 1.450% | 4/15/26 | 11,250 | 11,352 | |
1 | Dominion Energy Inc. | 2.850% | 8/15/26 | 1,212 | 1,295 | |
1 | Dominion Energy Inc. | 5.750% | 10/1/54 | 9,875 | 10,812 | |
DTE Electric Co. | 3.650% | 3/15/24 | 6,581 | 7,034 | ||
DTE Electric Co. | 3.375% | 3/1/25 | 7,375 | 7,961 | ||
1 | DTE Energy Co. | 0.550% | 11/1/22 | 17,848 | 17,894 | |
DTE Energy Co. | 2.250% | 11/1/22 | 16,772 | 17,131 | ||
1 | DTE Energy Co. | 2.529% | 10/1/24 | 22,540 | 23,622 | |
1 | DTE Energy Co. | 1.050% | 6/1/25 | 20,600 | 20,560 | |
DTE Energy Co. | 2.850% | 10/1/26 | 7,000 | 7,491 | ||
Duke Energy Carolinas LLC | 3.350% | 5/15/22 | 7,644 | 7,812 | ||
Duke Energy Carolinas LLC | 2.500% | 3/15/23 | 12,231 | 12,591 | ||
Duke Energy Carolinas LLC | 3.050% | 3/15/23 | 7,691 | 7,997 | ||
Duke Energy Corp. | 3.950% | 10/15/23 | 9,796 | 10,429 | ||
Duke Energy Corp. | 3.750% | 4/15/24 | 20,490 | 21,991 | ||
Duke Energy Corp. | 0.900% | 9/15/25 | 10,925 | 10,841 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 4,500 | 4,786 | ||
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 8,131 | 8,609 | ||
Duke Energy Progress LLC | 2.800% | 5/15/22 | 12,741 | 12,887 | ||
Duke Energy Progress LLC | 3.375% | 9/1/23 | 6,503 | 6,869 | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 7,385 | 8,026 | ||
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 6,115 | 6,461 | ||
1 | Eastern Energy Gas Holdings LLC | 2.500% | 11/15/24 | 9,576 | 10,033 | |
Eastern Energy Gas Holdings LLC | 3.600% | 12/15/24 | 7,814 | 8,436 | ||
Edison International | 2.400% | 9/15/22 | 8,696 | 8,830 | ||
Edison International | 3.125% | 11/15/22 | 5,451 | 5,595 | ||
Edison International | 2.950% | 3/15/23 | 7,022 | 7,212 | ||
Edison International | 3.550% | 11/15/24 | 14,186 | 15,076 | ||
Edison International | 4.950% | 4/15/25 | 7,775 | 8,603 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 19,523 | 21,311 | ||
Enel Generacion Chile SA | 4.250% | 4/15/24 | 5,690 | 6,116 | ||
Entergy Arkansas LLC | 3.700% | 6/1/24 | 6,216 | 6,687 | ||
Entergy Arkansas LLC | 3.500% | 4/1/26 | 12,348 | 13,577 | ||
Entergy Corp. | 0.900% | 9/15/25 | 22,859 | 22,580 | ||
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 5,277 | 6,041 | ||
Entergy Louisiana LLC | 4.050% | 9/1/23 | 8,752 | 9,297 | ||
Entergy Louisiana LLC | 0.620% | 11/17/23 | 9,800 | 9,804 | ||
Entergy Louisiana LLC | 5.400% | 11/1/24 | 7,418 | 8,482 | ||
Evergy Inc. | 2.450% | 9/15/24 | 17,147 | 17,918 | ||
Evergy Kansas Central Inc. | 2.550% | 7/1/26 | 13,015 | 13,788 | ||
Evergy Metro Inc. | 3.150% | 3/15/23 | 6,672 | 6,906 | ||
Evergy Metro Inc. | 3.650% | 8/15/25 | 805 | 881 | ||
Eversource Energy | 2.800% | 5/1/23 | 7,755 | 8,010 | ||
1 | Eversource Energy | 3.800% | 12/1/23 | 6,440 | 6,882 | |
1 | Eversource Energy | 2.900% | 10/1/24 | 9,416 | 9,986 | |
1 | Eversource Energy | 3.150% | 1/15/25 | 7,454 | 7,967 | |
1 | Eversource Energy | 0.800% | 8/15/25 | 6,889 | 6,819 | |
1 | Eversource Energy | 1.400% | 8/15/26 | 2,500 | 2,508 | |
1 | Exelon Corp. | 3.950% | 6/15/25 | 30,451 | 33,439 | |
Exelon Corp. | 3.400% | 4/15/26 | 18,503 | 20,194 | ||
Exelon Generation Co. LLC | 3.400% | 3/15/22 | 6,040 | 6,122 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Exelon Generation Co. LLC | 3.250% | 6/1/25 | 19,899 | 21,401 | ||
Florida Power & Light Co. | 2.750% | 6/1/23 | 5,618 | 5,792 | ||
Florida Power & Light Co. | 3.250% | 6/1/24 | 9,512 | 10,100 | ||
Florida Power & Light Co. | 2.850% | 4/1/25 | 21,505 | 22,944 | ||
Florida Power & Light Co. | 3.125% | 12/1/25 | 15,028 | 16,287 | ||
Georgia Power Co. | 2.850% | 5/15/22 | 7,492 | 7,630 | ||
1 | Georgia Power Co. | 2.100% | 7/30/23 | 30,888 | 31,885 | |
1 | Georgia Power Co. | 2.200% | 9/15/24 | 9,690 | 10,092 | |
Georgia Power Co. | 3.250% | 4/1/26 | 8,965 | 9,712 | ||
Iberdrola International BV | 5.810% | 3/15/25 | 2,796 | 3,241 | ||
Interstate Power & Light Co. | 3.250% | 12/1/24 | 10,942 | 11,733 | ||
IPALCO Enterprises Inc. | 3.700% | 9/1/24 | 9,641 | 10,334 | ||
ITC Holdings Corp. | 2.700% | 11/15/22 | 13,746 | 14,091 | ||
ITC Holdings Corp. | 3.650% | 6/15/24 | 8,873 | 9,507 | ||
ITC Holdings Corp. | 3.250% | 6/30/26 | 8,821 | 9,609 | ||
1 | Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 3,466 | 3,767 | |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 16,904 | 18,271 | ||
National Fuel Gas Co. | 3.750% | 3/1/23 | 6,876 | 7,129 | ||
National Fuel Gas Co. | 5.200% | 7/15/25 | 9,613 | 10,791 | ||
National Fuel Gas Co. | 5.500% | 1/15/26 | 11,020 | 12,745 | ||
1 | National Rural Utilities Cooperative Finance Corp. | 2.300% | 9/15/22 | 9,915 | 10,114 | |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 8,500 | 8,757 | ||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 10,447 | 11,053 | ||
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,066 | 15,873 | ||
National Rural Utilities Cooperative Finance Corp. | 0.350% | 2/8/24 | 10,028 | 9,975 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 13,979 | 14,843 | ||
1 | National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 13,674 | 14,846 | |
National Rural Utilities Cooperative Finance Corp. | 1.000% | 6/15/26 | 5,080 | 5,059 | ||
1 | National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 10,020 | 10,471 | |
1 | National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 5,150 | 5,639 | |
NextEra Energy Capital Holdings Inc. | 1.950% | 9/1/22 | 4,893 | 4,974 | ||
NextEra Energy Capital Holdings Inc. | 2.800% | 1/15/23 | 10,086 | 10,398 | ||
NextEra Energy Capital Holdings Inc. | 0.650% | 3/1/23 | 35,057 | 35,194 | ||
NextEra Energy Capital Holdings Inc. | 3.150% | 4/1/24 | 28,993 | 30,729 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 5/1/25 | 36,162 | 38,377 | ||
NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 7,600 | 8,239 | ||
NiSource Inc. | 0.950% | 8/15/25 | 24,839 | 24,669 | ||
Northern States Power Co. | 2.600% | 5/15/23 | 13,615 | 13,985 | ||
NSTAR Electric Co. | 2.375% | 10/15/22 | 8,943 | 9,099 | ||
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 1,175 | 1,251 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 17,149 | 18,141 | ||
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 5,903 | 6,304 | ||
Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 8,725 | 8,561 | ||
ONE Gas Inc. | 0.850% | 3/11/23 | 7,700 | 7,702 | ||
ONE Gas Inc. | 3.610% | 2/1/24 | 3,797 | 4,023 | ||
ONE Gas Inc. | 1.100% | 3/11/24 | 7,825 | 7,826 | ||
Pacific Gas & Electric Co. | 1.367% | 3/10/23 | 14,750 | 14,702 | ||
Pacific Gas & Electric Co. | 4.250% | 8/1/23 | 9,179 | 9,587 | ||
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 20,443 | 21,275 | ||
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 6,933 | 7,202 | ||
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 16,074 | 16,672 | ||
Pacific Gas & Electric Co. | 3.450% | 7/1/25 | 33,353 | 34,536 | ||
Pacific Gas & Electric Co. | 3.150% | 1/1/26 | 62,466 | 63,825 | ||
PacifiCorp | 2.950% | 6/1/23 | 5,282 | 5,481 | ||
PacifiCorp | 3.600% | 4/1/24 | 6,015 | 6,436 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PECO Energy Co. | 2.375% | 9/15/22 | 6,215 | 6,312 | ||
PECO Energy Co. | 3.150% | 10/15/25 | 724 | 784 | ||
Pinnacle West Capital Corp. | 1.300% | 6/15/25 | 11,480 | 11,585 | ||
Potomac Electric Power Co. | 3.600% | 3/15/24 | 4,511 | 4,822 | ||
PPL Capital Funding Inc. | 3.100% | 5/15/26 | 20,590 | 22,156 | ||
PSEG Power LLC | 3.850% | 6/1/23 | 17,232 | 18,188 | ||
Public Service Co. of Colorado | 2.250% | 9/15/22 | 9,231 | 9,330 | ||
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 10,686 | 11,314 | ||
1 | Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 9,732 | 10,027 | |
1 | Public Service Electric & Gas Co. | 3.250% | 9/1/23 | 3,149 | 3,318 | |
1 | Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 4,686 | 5,010 | |
1 | Public Service Electric & Gas Co. | 0.950% | 3/15/26 | 5,558 | 5,555 | |
Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 14,994 | 15,384 | ||
Public Service Enterprise Group Inc. | 2.875% | 6/15/24 | 25,667 | 27,138 | ||
Public Service Enterprise Group Inc. | 0.800% | 8/15/25 | 12,516 | 12,388 | ||
Puget Energy Inc. | 3.650% | 5/15/25 | 9,438 | 10,159 | ||
1 | San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 8,594 | 9,061 | |
San Diego Gas & Electric Co. | 2.500% | 5/15/26 | 5,233 | 5,547 | ||
Sempra Energy | 2.875% | 10/1/22 | 15,371 | 15,671 | ||
Sempra Energy | 2.900% | 2/1/23 | 14,203 | 14,657 | ||
Sempra Energy | 4.050% | 12/1/23 | 11,259 | 12,040 | ||
Sempra Energy | 3.550% | 6/15/24 | 12,140 | 12,989 | ||
Sempra Energy | 3.750% | 11/15/25 | 9,231 | 10,122 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 13,990 | 14,866 | ||
Southern California Edison Co. | 0.700% | 4/3/23 | 7,350 | 7,377 | ||
1 | Southern California Edison Co. | 3.400% | 6/1/23 | 9,205 | 9,629 | |
1 | Southern California Edison Co. | 0.700% | 8/1/23 | 1,250 | 1,251 | |
1 | Southern California Edison Co. | 3.500% | 10/1/23 | 11,449 | 12,058 | |
Southern California Edison Co. | 1.100% | 4/1/24 | 12,565 | 12,616 | ||
1 | Southern California Edison Co. | 0.975% | 8/1/24 | 3,000 | 3,001 | |
1 | Southern California Edison Co. | 3.700% | 8/1/25 | 20,366 | 22,296 | |
1 | Southern California Edison Co. | 1.200% | 2/1/26 | 8,035 | 8,009 | |
Southern California Gas Co. | 3.150% | 9/15/24 | 8,795 | 9,402 | ||
Southern California Gas Co. | 3.200% | 6/15/25 | 2,758 | 2,965 | ||
1 | Southern California Gas Co. | 2.600% | 6/15/26 | 9,550 | 10,180 | |
Southern Co. | 2.950% | 7/1/23 | 17,137 | 17,850 | ||
1 | Southern Co. | 0.600% | 2/26/24 | 1,915 | 1,915 | |
Southern Co. | 3.250% | 7/1/26 | 38,998 | 42,245 | ||
1 | Southern Co. | 4.000% | 1/15/51 | 26,425 | 28,063 | |
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 12,031 | 12,477 | ||
Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 4,831 | 5,225 | ||
Southern Power Co. | 4.150% | 12/1/25 | 4,666 | 5,214 | ||
Southern Power Co. | 0.900% | 1/15/26 | 6,150 | 6,061 | ||
1 | Southwestern Electric Power Co. | 1.650% | 3/15/26 | 12,838 | 13,045 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 5,877 | 6,234 | ||
Tucson Electric Power Co. | 3.050% | 3/15/25 | 6,507 | 6,956 | ||
Union Electric Co. | 3.500% | 4/15/24 | 6,833 | 7,301 | ||
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 8,427 | 8,622 | ||
1 | Virginia Electric & Power Co. | 2.750% | 3/15/23 | 28,579 | 29,476 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 6,421 | 6,819 | ||
1 | Virginia Electric & Power Co. | 3.100% | 5/15/25 | 2,583 | 2,767 | |
1 | Virginia Electric & Power Co. | 3.150% | 1/15/26 | 26,407 | 28,671 | |
WEC Energy Group Inc. | 0.550% | 9/15/23 | 7,928 | 7,931 | ||
WEC Energy Group Inc. | 0.800% | 3/15/24 | 14,800 | 14,873 | ||
WEC Energy Group Inc. | 3.550% | 6/15/25 | 10,241 | 11,161 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Wisconsin Electric Power Co. | 2.050% | 12/15/24 | 8,747 | 9,130 | ||
Xcel Energy Inc. | 0.500% | 10/15/23 | 8,724 | 8,743 | ||
Xcel Energy Inc. | 3.300% | 6/1/25 | 12,497 | 13,436 | ||
2,432,380 | ||||||
Total Corporate Bonds (Cost $48,126,211) | 48,866,699 | |||||
Shares | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
4 | Vanguard Market Liquidity Fund (Cost $179,568) | 0.068% | 1,795,678 | 179,568 | ||
Total Investments (99.6%) (Cost $48,331,277) | 49,071,765 | |||||
Other Assets and Liabilities—Net (0.4%) | 189,444 | |||||
Net Assets (100%) | 49,261,209 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | 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. |
2 | Securities with a value of $395,000 have been segregated as initial margin for open futures contracts. |
3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2021, the aggregate value was $280,867,000, representing 0.6% of net assets. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | December 2021 | 559 | 69,159 | 180 |
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2021 | (560) | (123,384) | (33) |
147 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $48,151,709) | 48,892,197 |
Affiliated Issuers (Cost $179,568) | 179,568 |
Total Investments in Securities | 49,071,765 |
Investment in Vanguard | 1,644 |
Receivables for Investment Securities Sold | 644,093 |
Receivables for Accrued Income | 382,736 |
Receivables for Capital Shares Issued | 33,244 |
Total Assets | 50,133,482 |
Liabilities | |
Due to Custodian | 11,139 |
Payables for Investment Securities Purchased | 854,804 |
Payables for Capital Shares Redeemed | 4,477 |
Payables for Distributions | 1,619 |
Payables to Vanguard | 233 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 872,273 |
Net Assets | 49,261,209 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 48,385,255 |
Total Distributable Earnings (Loss) | 875,954 |
Net Assets | 49,261,209 |
ETF Shares—Net Assets | |
Applicable to 502,800,099 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 41,568,917 |
Net Asset Value Per Share—ETF Shares | $82.67 |
Admiral Shares—Net Assets | |
Applicable to 241,671,917 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,434,614 |
Net Asset Value Per Share—Admiral Shares | $22.49 |
Institutional Shares—Net Assets | |
Applicable to 82,013,809 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,257,678 |
Net Asset Value Per Share—Institutional Shares | $27.53 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 785,382 |
Total Income | 785,382 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,035 |
Management and Administrative—ETF Shares | 12,116 |
Management and Administrative—Admiral Shares | 3,132 |
Management and Administrative—Institutional Shares | 877 |
Marketing and Distribution—ETF Shares | 1,627 |
Marketing and Distribution—Admiral Shares | 227 |
Marketing and Distribution—Institutional Shares | 59 |
Custodian Fees | 113 |
Auditing Fees | 42 |
Shareholders’ Reports—ETF Shares | 607 |
Shareholders’ Reports—Admiral Shares | 35 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 19,886 |
Net Investment Income | 765,496 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 443,039 |
Futures Contracts | 1,657 |
Realized Net Gain (Loss) | 444,696 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (585,115) |
Futures Contracts | 138 |
Change in Unrealized Appreciation (Depreciation) | (584,977) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 625,215 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $130,000, $9,000, and ($9,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $228,237,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 765,496 | 837,979 |
Realized Net Gain (Loss) | 444,696 | 72,751 |
Change in Unrealized Appreciation (Depreciation) | (584,977) | 649,105 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 625,215 | 1,559,835 |
Distributions | ||
ETF Shares | (645,913) | (684,396) |
Admiral Shares | (85,363) | (115,588) |
Institutional Shares | (33,937) | (41,601) |
Total Distributions | (765,213) | (841,585) |
Capital Share Transactions | ||
ETF Shares | 9,889,691 | 6,667,731 |
Admiral Shares | 746,963 | 303,962 |
Institutional Shares | 603,699 | (11,125) |
Net Increase (Decrease) from Capital Share Transactions | 11,240,353 | 6,960,568 |
Total Increase (Decrease) | 11,100,355 | 7,678,818 |
Net Assets | ||
Beginning of Period | 38,160,854 | 30,482,036 |
End of Period | 49,261,209 | 38,160,854 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $82.95 | $81.18 | $78.32 | $80.25 | $80.52 |
Investment Operations | |||||
Net Investment Income1 | 1.433 | 2.127 | 2.311 | 1.950 | 1.768 |
Net Realized and Unrealized Gain (Loss) on Investments | (.250) | 1.815 | 2.826 | (1.953) | (.317) |
Total from Investment Operations | 1.183 | 3.942 | 5.137 | (.003) | 1.451 |
Distributions | |||||
Dividends from Net Investment Income | (1.463) | (2.172) | (2.277) | (1.927) | (1.721) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.463) | (2.172) | (2.277) | (1.927) | (1.721) |
Net Asset Value, End of Period | $82.67 | $82.95 | $81.18 | $78.32 | $80.25 |
Total Return | 1.44% | 4.95% | 6.68% | 0.01% | 1.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $41,569 | $31,797 | $24,537 | $21,511 | $20,862 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.73% | 2.62% | 2.92% | 2.48% | 2.21% |
Portfolio Turnover Rate2 | 42% | 56% | 51% | 56% | 66% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $22.55 | $22.06 | $21.28 | $21.81 | $21.89 |
Investment Operations | |||||
Net Investment Income1 | .385 | .578 | .625 | .532 | .481 |
Net Realized and Unrealized Gain (Loss) on Investments | (.063) | .485 | .777 | (.531) | (.088) |
Total from Investment Operations | .322 | 1.063 | 1.402 | .001 | .393 |
Distributions | |||||
Dividends from Net Investment Income | (.382) | (.573) | (.622) | (.531) | (.473) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.382) | (.573) | (.622) | (.531) | (.473) |
Net Asset Value, End of Period | $22.49 | $22.55 | $22.06 | $21.28 | $21.81 |
Total Return2 | 1.44% | 4.90% | 6.70% | 0.02% | 1.83% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,435 | $4,703 | $4,312 | $3,533 | $3,180 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.71% | 2.61% | 2.90% | 2.48% | 2.21% |
Portfolio Turnover Rate3 | 42% | 56% | 51% | 56% | 66% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $27.61 | $27.00 | $26.06 | $26.70 | $26.80 |
Investment Operations | |||||
Net Investment Income1 | .473 | .713 | .768 | .656 | .594 |
Net Realized and Unrealized Gain (Loss) on Investments | (.080) | .604 | .939 | (.641) | (.111) |
Total from Investment Operations | .393 | 1.317 | 1.707 | .015 | .483 |
Distributions | |||||
Dividends from Net Investment Income | (.473) | (.707) | (.767) | (.655) | (.583) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.473) | (.707) | (.767) | (.655) | (.583) |
Net Asset Value, End of Period | $27.53 | $27.61 | $27.00 | $26.06 | $26.70 |
Total Return | 1.44% | 4.96% | 6.66% | 0.07% | 1.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,258 | $1,661 | $1,633 | $1,706 | $1,515 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.72% | 2.63% | 2.92% | 2.50% | 2.23% |
Portfolio Turnover Rate2 | 42% | 56% | 51% | 56% | 66% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 25,498 | — | 25,498 |
Corporate Bonds | — | 48,866,699 | — | 48,866,699 |
Temporary Cash Investments | 179,568 | — | — | 179,568 |
Total | 179,568 | 48,892,197 | — | 49,071,765 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 180 | — | — | 180 |
Liabilities | ||||
Futures Contracts1 | 33 | — | — | 33 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 232,132 |
Total Distributable Earnings (Loss) | (232,132) |
Amount ($000) | |
Undistributed Ordinary Income | 55,600 |
Undistributed Long-Term Gains | 85,558 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 736,415 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 765,213 | 841,585 |
Long-Term Capital Gains | — | — |
Total | 765,213 | 841,585 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 48,335,350 |
Gross Unrealized Appreciation | 784,737 |
Gross Unrealized Depreciation | (48,322) |
Net Unrealized Appreciation (Depreciation) | 736,415 |
E. | During the year ended August 31, 2021, the fund purchased $30,232,511,000 of investment securities and sold $18,554,453,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $5,456,073,000 and $5,444,804,000, respectively. Purchases and sales include $15,049,465,000 and $5,429,863,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 15,422,692 | 186,381 | 15,381,735 | 189,581 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (5,533,001) | (66,900) | (8,714,004) | (108,500) | |
Net Increase (Decrease)—ETF Shares | 9,889,691 | 119,481 | 6,667,731 | 81,081 | |
Admiral Shares | |||||
Issued | 2,599,871 | 115,389 | 2,392,625 | 108,113 | |
Issued in Lieu of Cash Distributions | 66,646 | 2,960 | 91,744 | 4,151 | |
Redeemed | (1,919,554) | (85,219) | (2,180,407) | (99,225) | |
Net Increase (Decrease)—Admiral Shares | 746,963 | 33,130 | 303,962 | 13,039 | |
Institutional Shares | |||||
Issued | 991,645 | 35,943 | 491,624 | 18,281 | |
Issued in Lieu of Cash Distributions | 30,224 | 1,097 | 34,136 | 1,261 | |
Redeemed | (418,170) | (15,180) | (536,885) | (19,854) | |
Net Increase (Decrease)—Institutional Shares | 603,699 | 21,860 | (11,125) | (312) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Intermediate-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 2.08% | 4.58% | 5.05% | $16,369 |
Intermediate-Term Corporate Bond Index Fund ETF Shares Market Price | 1.75 | 4.54 | 4.94 | 16,192 | |
![]() | Bloomberg U.S. 5–10 Year Corporate Bond Index | 1.95 | 4.72 | 5.12 | 16,468 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Intermediate-Term Corporate Bond Index Fund Admiral Shares | 1.77% | 4.52% | 5.03% | $16,329 | |
Bloomberg U.S. 5–10 Year Corporate Bond Index | 1.95 | 4.72 | 5.12 | 16,468 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Intermediate-Term Corporate Bond Index Fund Institutional Shares | 1.81% | 4.54% | 5.05% | $8,181,176 | |
Bloomberg U.S. 5–10 Year Corporate Bond Index | 1.95 | 4.72 | 5.12 | 8,234,199 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Intermediate-Term Corporate Bond Index Fund ETF Shares Market Price | 1.75% | 24.85% | 61.92% |
Intermediate-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 2.08 | 25.09 | 63.69 |
Bloomberg U.S. 5–10 Year Corporate Bond Index | 1.95 | 25.93 | 64.68 |
Corporate Bonds – Communications | 8.1% |
Corporate Bonds – Consumer Discretionary | 6.4 |
Corporate Bonds – Consumer Staples | 6.6 |
Corporate Bonds – Energy | 6.5 |
Corporate Bonds – Financials | 29.0 |
Corporate Bonds – Health Care | 9.0 |
Corporate Bonds – Industrials | 7.2 |
Corporate Bonds – Materials | 2.9 |
Corporate Bonds – Real Estate | 6.9 |
Corporate Bonds – Technology | 9.4 |
Corporate Bonds – Utilities | 7.0 |
U.S. Government and Agency Obligations | 1.0 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (1.0%) | ||||||
U.S. Government Securities (1.0%) | ||||||
United States Treasury Note/Bond | 0.625% | 7/31/26 | 91,650 | 91,020 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 114,160 | 114,017 | ||
United States Treasury Note/Bond | 1.125% | 8/31/28 | 214,290 | 214,893 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 88,268 | 87,813 | ||
Total U.S. Government and Agency Obligations (Cost $507,606) | 507,743 | |||||
Corporate Bonds (98.0%) | ||||||
Communications (8.0%) | ||||||
Activision Blizzard Inc. | 3.400% | 9/15/26 | 19,865 | 21,880 | ||
Activision Blizzard Inc. | 3.400% | 6/15/27 | 11,670 | 12,932 | ||
Activision Blizzard Inc. | 1.350% | 9/15/30 | 9,447 | 8,884 | ||
Alphabet Inc. | 0.800% | 8/15/27 | 18,289 | 17,965 | ||
Alphabet Inc. | 1.100% | 8/15/30 | 50,747 | 48,682 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 18,734 | 20,612 | ||
America Movil SAB de CV | 2.875% | 5/7/30 | 27,253 | 28,757 | ||
AT&T Inc. | 3.800% | 2/15/27 | 22,117 | 24,692 | ||
AT&T Inc. | 4.250% | 3/1/27 | 38,069 | 43,399 | ||
AT&T Inc. | 2.300% | 6/1/27 | 60,805 | 63,406 | ||
AT&T Inc. | 1.650% | 2/1/28 | 49,233 | 49,241 | ||
1 | AT&T Inc. | 4.100% | 2/15/28 | 43,570 | 49,719 | |
AT&T Inc. | 4.350% | 3/1/29 | 74,685 | 86,668 | ||
1 | AT&T Inc. | 4.300% | 2/15/30 | 78,579 | 91,275 | |
AT&T Inc. | 2.750% | 6/1/31 | 22,731 | 23,820 | ||
2 | AT&T Inc. | 2.550% | 12/1/33 | 40,000 | 40,198 | |
Baidu Inc. | 3.625% | 7/6/27 | 18,175 | 20,147 | ||
Baidu Inc. | 4.375% | 3/29/28 | 9,025 | 10,269 | ||
Baidu Inc. | 4.875% | 11/14/28 | 18,400 | 21,719 | ||
Baidu Inc. | 3.425% | 4/7/30 | 11,664 | 12,620 | ||
Baidu Inc. | 2.375% | 8/23/31 | 8,080 | 8,033 | ||
Booking Holdings Inc. | 3.550% | 3/15/28 | 13,413 | 14,971 | ||
Booking Holdings Inc. | 4.625% | 4/13/30 | 36,598 | 43,801 | ||
British Telecommunications plc | 5.125% | 12/4/28 | 13,003 | 15,394 | ||
British Telecommunications plc | 9.625% | 12/15/30 | 64,877 | 100,148 | ||
Charter Communications Operating LLC | 3.750% | 2/15/28 | 31,855 | 35,203 | ||
Charter Communications Operating LLC | 4.200% | 3/15/28 | 35,510 | 40,134 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 29,997 | 35,535 | ||
Charter Communications Operating LLC | 2.800% | 4/1/31 | 37,392 | 38,317 | ||
Comcast Corp. | 2.350% | 1/15/27 | 34,629 | 36,519 | ||
Comcast Corp. | 3.300% | 2/1/27 | 38,368 | 42,147 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comcast Corp. | 3.300% | 4/1/27 | 16,296 | 17,955 | ||
Comcast Corp. | 3.150% | 2/15/28 | 35,697 | 39,184 | ||
Comcast Corp. | 3.550% | 5/1/28 | 13,623 | 15,251 | ||
Comcast Corp. | 4.150% | 10/15/28 | 97,061 | 112,705 | ||
Comcast Corp. | 2.650% | 2/1/30 | 55,157 | 58,093 | ||
Comcast Corp. | 3.400% | 4/1/30 | 46,803 | 51,995 | ||
Comcast Corp. | 4.250% | 10/15/30 | 31,065 | 36,639 | ||
Comcast Corp. | 1.950% | 1/15/31 | 36,378 | 36,214 | ||
Comcast Corp. | 1.500% | 2/15/31 | 41,415 | 39,626 | ||
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 90,364 | 135,938 | ||
Discovery Communications LLC | 3.950% | 3/20/28 | 43,027 | 48,122 | ||
Discovery Communications LLC | 4.125% | 5/15/29 | 20,624 | 23,303 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 27,591 | 30,278 | ||
Electronic Arts Inc. | 1.850% | 2/15/31 | 17,600 | 17,297 | ||
Expedia Group Inc. | 4.625% | 8/1/27 | 20,600 | 23,307 | ||
Expedia Group Inc. | 3.800% | 2/15/28 | 29,738 | 32,089 | ||
Expedia Group Inc. | 3.250% | 2/15/30 | 27,050 | 28,029 | ||
Expedia Group Inc. | 2.950% | 3/15/31 | 26,826 | 27,292 | ||
Fox Corp. | 4.709% | 1/25/29 | 50,006 | 58,929 | ||
Fox Corp. | 3.500% | 4/8/30 | 15,341 | 16,911 | ||
Interpublic Group of Cos. Inc. | 4.650% | 10/1/28 | 6,935 | 8,163 | ||
Interpublic Group of Cos. Inc. | 4.750% | 3/30/30 | 20,238 | 24,214 | ||
Interpublic Group of Cos. Inc. | 2.400% | 3/1/31 | 16,335 | 16,677 | ||
Koninklijke KPN NV | 8.375% | 10/1/30 | 14,414 | 20,676 | ||
Omnicom Group Inc. | 2.450% | 4/30/30 | 12,420 | 12,738 | ||
Omnicom Group Inc. | 4.200% | 6/1/30 | 15,898 | 18,404 | ||
Omnicom Group Inc. | 2.600% | 8/1/31 | 10,270 | 10,592 | ||
Orange SA | 9.000% | 3/1/31 | 57,908 | 91,566 | ||
Rogers Communications Inc. | 2.900% | 11/15/26 | 7,395 | 7,917 | ||
TCI Communications Inc. | 7.125% | 2/15/28 | 7,015 | 9,358 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 36,949 | 41,729 | ||
Telefonica Europe BV | 8.250% | 9/15/30 | 29,974 | 43,812 | ||
TELUS Corp. | 2.800% | 2/16/27 | 13,440 | 14,414 | ||
TELUS Corp. | 3.700% | 9/15/27 | 4,479 | 5,055 | ||
Tencent Music Entertainment Group | 2.000% | 9/3/30 | 10,490 | 10,098 | ||
T-Mobile USA Inc. | 3.750% | 4/15/27 | 97,627 | 108,331 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 44,521 | 45,281 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 173,210 | 194,006 | ||
T-Mobile USA Inc. | 2.550% | 2/15/31 | 63,841 | 65,223 | ||
1 | TWDC Enterprises 18 Corp. | 2.950% | 6/15/27 | 15,114 | 16,560 | |
VeriSign Inc. | 2.700% | 6/15/31 | 18,530 | 19,092 | ||
Verizon Communications Inc. | 4.125% | 3/16/27 | 68,849 | 78,670 | ||
Verizon Communications Inc. | 3.000% | 3/22/27 | 24,308 | 26,289 | ||
Verizon Communications Inc. | 2.100% | 3/22/28 | 73,389 | 75,356 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 109,688 | 127,962 | ||
Verizon Communications Inc. | 3.875% | 2/8/29 | 14,915 | 17,001 | ||
Verizon Communications Inc. | 4.016% | 12/3/29 | 99,261 | 114,298 | ||
Verizon Communications Inc. | 3.150% | 3/22/30 | 40,452 | 43,843 | ||
Verizon Communications Inc. | 1.500% | 9/18/30 | 21,795 | 21,009 | ||
Verizon Communications Inc. | 1.680% | 10/30/30 | 37,926 | 36,610 | ||
Verizon Communications Inc. | 1.750% | 1/20/31 | 56,676 | 54,798 | ||
Verizon Communications Inc. | 2.550% | 3/21/31 | 111,147 | 114,768 | ||
ViacomCBS Inc. | 2.900% | 1/15/27 | 19,752 | 21,085 | ||
ViacomCBS Inc. | 3.375% | 2/15/28 | 9,309 | 10,241 | ||
ViacomCBS Inc. | 3.700% | 6/1/28 | 15,836 | 17,686 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ViacomCBS Inc. | 4.200% | 6/1/29 | 16,686 | 19,221 | ||
ViacomCBS Inc. | 7.875% | 7/30/30 | 14,115 | 20,134 | ||
ViacomCBS Inc. | 4.950% | 1/15/31 | 38,832 | 46,971 | ||
Vodafone Group plc | 4.375% | 5/30/28 | 78,037 | 90,671 | ||
Vodafone Group plc | 7.875% | 2/15/30 | 11,996 | 17,298 | ||
Walt Disney Co. | 3.375% | 11/15/26 | 11,032 | 12,193 | ||
Walt Disney Co. | 3.700% | 3/23/27 | 17,169 | 19,405 | ||
Walt Disney Co. | 2.200% | 1/13/28 | 28,026 | 29,224 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 49,439 | 50,373 | ||
Walt Disney Co. | 3.800% | 3/22/30 | 33,256 | 38,380 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 55,727 | 59,290 | ||
Weibo Corp. | 3.375% | 7/8/30 | 16,015 | 16,346 | ||
WPP Finance 2010 | 3.750% | 9/19/24 | 1 | 1 | ||
3,919,273 | ||||||
Consumer Discretionary (6.3%) | ||||||
Advance Auto Parts Inc. | 1.750% | 10/1/27 | 4,448 | 4,464 | ||
Advance Auto Parts Inc. | 3.900% | 4/15/30 | 16,556 | 18,510 | ||
Alibaba Group Holding Ltd. | 3.400% | 12/6/27 | 58,076 | 63,286 | ||
Alibaba Group Holding Ltd. | 2.125% | 2/9/31 | 34,458 | 33,830 | ||
Amazon.com Inc. | 1.200% | 6/3/27 | 46,011 | 46,162 | ||
Amazon.com Inc. | 3.150% | 8/22/27 | 73,799 | 81,657 | ||
Amazon.com Inc. | 1.650% | 5/12/28 | 58,400 | 59,362 | ||
Amazon.com Inc. | 1.500% | 6/3/30 | 48,926 | 48,126 | ||
Amazon.com Inc. | 2.100% | 5/12/31 | 83,200 | 85,417 | ||
1 | American Honda Finance Corp. | 2.300% | 9/9/26 | 10,230 | 10,782 | |
1 | American Honda Finance Corp. | 2.350% | 1/8/27 | 13,701 | 14,436 | |
1 | American Honda Finance Corp. | 3.500% | 2/15/28 | 4,171 | 4,668 | |
1 | American Honda Finance Corp. | 2.000% | 3/24/28 | 24,850 | 25,563 | |
1 | American Honda Finance Corp. | 1.800% | 1/13/31 | 11,925 | 11,854 | |
Aptiv plc | 4.350% | 3/15/29 | 5,680 | 6,590 | ||
AutoNation Inc. | 3.800% | 11/15/27 | 10,748 | 11,883 | ||
AutoNation Inc. | 4.750% | 6/1/30 | 9,345 | 11,029 | ||
AutoNation Inc. | 2.400% | 8/1/31 | 11,000 | 10,890 | ||
AutoZone Inc. | 3.750% | 6/1/27 | 11,512 | 12,945 | ||
AutoZone Inc. | 3.750% | 4/18/29 | 23,343 | 26,235 | ||
AutoZone Inc. | 4.000% | 4/15/30 | 15,690 | 17,989 | ||
AutoZone Inc. | 1.650% | 1/15/31 | 14,565 | 14,010 | ||
Best Buy Co. Inc. | 4.450% | 10/1/28 | 11,764 | 13,712 | ||
Best Buy Co. Inc. | 1.950% | 10/1/30 | 14,106 | 13,930 | ||
Block Financial LLC | 2.500% | 7/15/28 | 14,090 | 14,366 | ||
Block Financial LLC | 3.875% | 8/15/30 | 14,291 | 15,618 | ||
BorgWarner Inc. | 3.375% | 3/15/25 | 1 | 1 | ||
BorgWarner Inc. | 2.650% | 7/1/27 | 27,185 | 28,909 | ||
Brunswick Corp. | 2.400% | 8/18/31 | 16,200 | 15,913 | ||
Choice Hotels International Inc. | 3.700% | 12/1/29 | 4,254 | 4,590 | ||
Choice Hotels International Inc. | 3.700% | 1/15/31 | 7,834 | 8,513 | ||
2 | Daimler Finance North America LLC | 3.100% | 8/15/29 | 18,342 | 19,942 | |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 20,384 | 31,245 | ||
2 | Daimler Finance North America LLC | 2.450% | 3/2/31 | 8,000 | 8,270 | |
Darden Restaurants Inc. | 3.850% | 5/1/27 | 10,233 | 11,360 | ||
DR Horton Inc. | 1.400% | 10/15/27 | 10,426 | 10,328 | ||
eBay Inc. | 3.600% | 6/5/27 | 21,252 | 23,741 | ||
eBay Inc. | 2.700% | 3/11/30 | 24,733 | 25,904 | ||
eBay Inc. | 2.600% | 5/10/31 | 16,976 | 17,500 | ||
1 | Emory University | 2.143% | 9/1/30 | 9,097 | 9,342 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Fortune Brands Home & Security Inc. | 3.250% | 9/15/29 | 16,730 | 18,191 | ||
General Motors Co. | 4.200% | 10/1/27 | 19,389 | 21,719 | ||
General Motors Co. | 6.800% | 10/1/27 | 28,481 | 35,875 | ||
General Motors Co. | 5.000% | 10/1/28 | 20,458 | 23,916 | ||
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 29,827 | 32,987 | ||
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 28,971 | 32,643 | ||
General Motors Financial Co. Inc. | 2.700% | 8/20/27 | 10,719 | 11,192 | ||
General Motors Financial Co. Inc. | 3.850% | 1/5/28 | 10,663 | 11,695 | ||
General Motors Financial Co. Inc. | 2.400% | 4/10/28 | 20,150 | 20,541 | ||
General Motors Financial Co. Inc. | 5.650% | 1/17/29 | 14,368 | 17,491 | ||
General Motors Financial Co. Inc. | 3.600% | 6/21/30 | 24,326 | 26,393 | ||
General Motors Financial Co. Inc. | 2.350% | 1/8/31 | 24,875 | 24,631 | ||
General Motors Financial Co. Inc. | 2.700% | 6/10/31 | 24,050 | 24,401 | ||
Genuine Parts Co. | 1.875% | 11/1/30 | 10,448 | 10,192 | ||
Hasbro Inc. | 3.550% | 11/19/26 | 10,105 | 11,081 | ||
Hasbro Inc. | 3.500% | 9/15/27 | 5,643 | 6,197 | ||
Hasbro Inc. | 3.900% | 11/19/29 | 22,101 | 24,712 | ||
Home Depot Inc. | 2.125% | 9/15/26 | 21,843 | 22,989 | ||
Home Depot Inc. | 2.500% | 4/15/27 | 41,059 | 43,909 | ||
Home Depot Inc. | 2.800% | 9/14/27 | 27,955 | 30,430 | ||
Home Depot Inc. | 0.900% | 3/15/28 | 15,254 | 14,837 | ||
Home Depot Inc. | 3.900% | 12/6/28 | 14,456 | 16,786 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 33,885 | 37,097 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 34,756 | 37,338 | ||
Home Depot Inc. | 1.375% | 3/15/31 | 31,741 | 30,640 | ||
Hyatt Hotels Corp. | 4.375% | 9/15/28 | 10,467 | 11,470 | ||
Hyatt Hotels Corp. | 5.750% | 4/23/30 | 10,925 | 13,095 | ||
JD.com Inc. | 3.375% | 1/14/30 | 14,558 | 15,588 | ||
Kohl's Corp. | 3.375% | 5/1/31 | 12,290 | 12,920 | ||
Las Vegas Sands Corp. | 3.900% | 8/8/29 | 19,552 | 20,585 | ||
Lear Corp. | 3.800% | 9/15/27 | 15,918 | 17,714 | ||
Lear Corp. | 4.250% | 5/15/29 | 10,089 | 11,445 | ||
Lear Corp. | 3.500% | 5/30/30 | 9,940 | 10,778 | ||
Leggett & Platt Inc. | 3.500% | 11/15/27 | 8,797 | 9,607 | ||
Leggett & Platt Inc. | 4.400% | 3/15/29 | 14,611 | 16,853 | ||
Leland Stanford Junior University | 1.289% | 6/1/27 | 7,330 | 7,453 | ||
Lennar Corp. | 5.000% | 6/15/27 | 3,081 | 3,594 | ||
Lennar Corp. | 4.750% | 11/29/27 | 33,570 | 39,041 | ||
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 19,056 | 20,818 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 29,479 | 28,933 | ||
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 301 | 392 | ||
Lowe's Cos. Inc. | 3.650% | 4/5/29 | 41,141 | 46,173 | ||
Lowe's Cos. Inc. | 4.500% | 4/15/30 | 29,075 | 34,505 | ||
Lowe's Cos. Inc. | 1.700% | 10/15/30 | 30,861 | 29,946 | ||
Lowe's Cos. Inc. | 2.625% | 4/1/31 | 46,576 | 48,581 | ||
Magna International Inc. | 2.450% | 6/15/30 | 17,941 | 18,529 | ||
1 | Marriott International Inc. | 4.000% | 4/15/28 | 10,580 | 11,694 | |
1 | Marriott International Inc. | 4.650% | 12/1/28 | 4,907 | 5,632 | |
1 | Marriott International Inc. | 4.625% | 6/15/30 | 33,239 | 38,280 | |
1 | Marriott International Inc. | 2.850% | 4/15/31 | 29,565 | 30,081 | |
Masco Corp. | 3.500% | 11/15/27 | 6,965 | 7,667 | ||
Masco Corp. | 1.500% | 2/15/28 | 15,054 | 14,847 | ||
Masco Corp. | 2.000% | 10/1/30 | 8,008 | 7,893 | ||
Masco Corp. | 2.000% | 2/15/31 | 12,975 | 12,831 | ||
1 | McDonald's Corp. | 3.500% | 3/1/27 | 14,265 | 15,764 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | McDonald's Corp. | 3.500% | 7/1/27 | 24,116 | 26,806 | |
1 | McDonald's Corp. | 3.800% | 4/1/28 | 29,477 | 33,355 | |
1 | McDonald's Corp. | 2.625% | 9/1/29 | 35,233 | 37,182 | |
1 | McDonald's Corp. | 2.125% | 3/1/30 | 13,255 | 13,490 | |
1 | McDonald's Corp. | 3.600% | 7/1/30 | 24,540 | 27,712 | |
MDC Holdings Inc. | 2.500% | 1/15/31 | 17,070 | 16,731 | ||
Mohawk Industries Inc. | 3.625% | 5/15/30 | 12,260 | 13,575 | ||
NIKE Inc. | 2.375% | 11/1/26 | 15,905 | 16,944 | ||
NIKE Inc. | 2.750% | 3/27/27 | 36,361 | 39,350 | ||
NIKE Inc. | 2.850% | 3/27/30 | 32,378 | 35,353 | ||
Nordstrom Inc. | 4.000% | 3/15/27 | 2,632 | 2,760 | ||
Nordstrom Inc. | 6.950% | 3/15/28 | 1,515 | 1,791 | ||
Nordstrom Inc. | 4.375% | 4/1/30 | 4,250 | 4,429 | ||
Nordstrom Inc. | 4.250% | 8/1/31 | 19,250 | 20,075 | ||
NVR Inc. | 3.000% | 5/15/30 | 21,047 | 22,315 | ||
O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 17,925 | 20,135 | ||
O'Reilly Automotive Inc. | 4.350% | 6/1/28 | 18,166 | 21,135 | ||
O'Reilly Automotive Inc. | 3.900% | 6/1/29 | 10,927 | 12,411 | ||
O'Reilly Automotive Inc. | 4.200% | 4/1/30 | 11,642 | 13,532 | ||
O'Reilly Automotive Inc. | 1.750% | 3/15/31 | 6,700 | 6,500 | ||
Owens Corning | 3.950% | 8/15/29 | 12,141 | 13,787 | ||
Owens Corning | 3.875% | 6/1/30 | 8,156 | 9,136 | ||
PulteGroup Inc. | 5.000% | 1/15/27 | 11,591 | 13,543 | ||
Ralph Lauren Corp. | 2.950% | 6/15/30 | 17,642 | 18,895 | ||
Ross Stores Inc. | 1.875% | 4/15/31 | 11,880 | 11,624 | ||
Sands China Ltd. | 5.400% | 8/8/28 | 48,939 | 56,501 | ||
Sands China Ltd. | 4.375% | 6/18/30 | 12,859 | 14,010 | ||
Snap-on Inc. | 3.250% | 3/1/27 | 2,815 | 3,083 | ||
Stanley Black & Decker Inc. | 4.250% | 11/15/28 | 15,428 | 18,120 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 13,078 | 13,652 | ||
Starbucks Corp. | 2.000% | 3/12/27 | 13,322 | 13,767 | ||
Starbucks Corp. | 3.500% | 3/1/28 | 8,617 | 9,610 | ||
Starbucks Corp. | 4.000% | 11/15/28 | 19,483 | 22,498 | ||
Starbucks Corp. | 3.550% | 8/15/29 | 23,194 | 26,011 | ||
Starbucks Corp. | 2.250% | 3/12/30 | 13,917 | 14,205 | ||
Starbucks Corp. | 2.550% | 11/15/30 | 36,268 | 37,832 | ||
Steelcase Inc. | 5.125% | 1/18/29 | 10,990 | 12,862 | ||
Tapestry Inc. | 4.125% | 7/15/27 | 15,512 | 16,994 | ||
TJX Cos. Inc. | 2.250% | 9/15/26 | 23,382 | 24,675 | ||
TJX Cos. Inc. | 1.150% | 5/15/28 | 13,652 | 13,331 | ||
TJX Cos. Inc. | 3.875% | 4/15/30 | 18,840 | 21,760 | ||
TJX Cos. Inc. | 1.600% | 5/15/31 | 3,715 | 3,632 | ||
Toyota Motor Corp. | 3.669% | 7/20/28 | 12,039 | 13,685 | ||
Toyota Motor Corp. | 2.760% | 7/2/29 | 8,425 | 9,130 | ||
Toyota Motor Corp. | 2.362% | 3/25/31 | 11,211 | 11,834 | ||
1 | Toyota Motor Credit Corp. | 3.200% | 1/11/27 | 25,453 | 28,029 | |
1 | Toyota Motor Credit Corp. | 1.150% | 8/13/27 | 17,653 | 17,527 | |
1 | Toyota Motor Credit Corp. | 3.050% | 1/11/28 | 11,202 | 12,308 | |
1 | Toyota Motor Credit Corp. | 1.900% | 4/6/28 | 10,318 | 10,587 | |
Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 11,425 | 13,057 | ||
1 | Toyota Motor Credit Corp. | 2.150% | 2/13/30 | 18,816 | 19,441 | |
1 | Toyota Motor Credit Corp. | 3.375% | 4/1/30 | 24,361 | 27,424 | |
1 | Toyota Motor Credit Corp. | 1.650% | 1/10/31 | 19,063 | 18,901 | |
Tractor Supply Co. | 1.750% | 11/1/30 | 15,853 | 15,434 | ||
VF Corp. | 2.800% | 4/23/27 | 14,267 | 15,283 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
VF Corp. | 2.950% | 4/23/30 | 16,706 | 17,827 | ||
Whirlpool Corp. | 4.750% | 2/26/29 | 25,493 | 30,245 | ||
Whirlpool Corp. | 2.400% | 5/15/31 | 4,614 | 4,708 | ||
1 | Yale University | 1.482% | 4/15/30 | 9,102 | 9,036 | |
3,093,029 | ||||||
Consumer Staples (6.6%) | ||||||
Ahold Finance USA LLC | 6.875% | 5/1/29 | 12,270 | 16,507 | ||
Altria Group Inc. | 2.625% | 9/16/26 | 9,094 | 9,595 | ||
Altria Group Inc. | 4.800% | 2/14/29 | 51,622 | 60,028 | ||
Altria Group Inc. | 3.400% | 5/6/30 | 15,820 | 16,955 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 70,683 | 80,506 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 91,508 | 108,935 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.500% | 6/1/30 | 61,224 | 68,180 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.900% | 1/23/31 | 11,295 | 13,910 | ||
Archer-Daniels-Midland Co. | 3.250% | 3/27/30 | 20,643 | 22,981 | ||
Avery Dennison Corp. | 4.875% | 12/6/28 | 8,467 | 10,161 | ||
Avery Dennison Corp. | 2.650% | 4/30/30 | 14,887 | 15,464 | ||
BAT Capital Corp. | 3.215% | 9/6/26 | 37,654 | 40,247 | ||
BAT Capital Corp. | 4.700% | 4/2/27 | 26,564 | 30,201 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 65,500 | 70,893 | ||
BAT Capital Corp. | 2.259% | 3/25/28 | 54,871 | 55,121 | ||
BAT Capital Corp. | 3.462% | 9/6/29 | 14,448 | 15,380 | ||
BAT Capital Corp. | 4.906% | 4/2/30 | 22,399 | 26,013 | ||
BAT Capital Corp. | 2.726% | 3/25/31 | 28,154 | 28,157 | ||
1 | Bestfoods | 7.250% | 12/15/26 | 200 | 263 | |
Bunge Ltd. Finance Corp. | 3.750% | 9/25/27 | 14,665 | 16,299 | ||
Bunge Ltd. Finance Corp. | 2.750% | 5/14/31 | 23,795 | 24,439 | ||
Campbell Soup Co. | 4.150% | 3/15/28 | 21,113 | 24,061 | ||
Campbell Soup Co. | 2.375% | 4/24/30 | 15,491 | 15,758 | ||
Church & Dwight Co. Inc. | 3.150% | 8/1/27 | 9,235 | 10,101 | ||
Clorox Co. | 3.100% | 10/1/27 | 11,238 | 12,267 | ||
Clorox Co. | 3.900% | 5/15/28 | 4,905 | 5,600 | ||
Clorox Co. | 1.800% | 5/15/30 | 19,329 | 19,152 | ||
Coca-Cola Co. | 3.375% | 3/25/27 | 19,085 | 21,340 | ||
Coca-Cola Co. | 2.900% | 5/25/27 | 9,315 | 10,209 | ||
Coca-Cola Co. | 1.450% | 6/1/27 | 35,929 | 36,638 | ||
Coca-Cola Co. | 1.500% | 3/5/28 | 6,600 | 6,656 | ||
Coca-Cola Co. | 1.000% | 3/15/28 | 30,938 | 30,197 | ||
Coca-Cola Co. | 2.125% | 9/6/29 | 24,574 | 25,537 | ||
Coca-Cola Co. | 3.450% | 3/25/30 | 27,959 | 31,781 | ||
Coca-Cola Co. | 1.650% | 6/1/30 | 34,319 | 34,042 | ||
Coca-Cola Co. | 2.000% | 3/5/31 | 33,090 | 33,719 | ||
Coca-Cola Co. | 1.375% | 3/15/31 | 41,772 | 40,289 | ||
Coca-Cola Femsa SAB de CV | 2.750% | 1/22/30 | 27,941 | 29,242 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 23,573 | 23,121 | ||
Conagra Brands Inc. | 7.000% | 10/1/28 | 7,181 | 9,527 | ||
Conagra Brands Inc. | 4.850% | 11/1/28 | 37,752 | 45,041 | ||
Conagra Brands Inc. | 8.250% | 9/15/30 | 4,271 | 6,321 | ||
Constellation Brands Inc. | 3.700% | 12/6/26 | 14,371 | 15,961 | ||
Constellation Brands Inc. | 3.500% | 5/9/27 | 13,361 | 14,774 | ||
Constellation Brands Inc. | 3.600% | 2/15/28 | 16,923 | 18,773 | ||
Constellation Brands Inc. | 4.650% | 11/15/28 | 14,291 | 16,824 | ||
Constellation Brands Inc. | 3.150% | 8/1/29 | 29,933 | 32,332 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 10,619 | 11,190 | ||
Constellation Brands Inc. | 2.250% | 8/1/31 | 13,955 | 13,969 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Costco Wholesale Corp. | 3.000% | 5/18/27 | 32,353 | 35,599 | ||
Costco Wholesale Corp. | 1.375% | 6/20/27 | 37,019 | 37,429 | ||
Costco Wholesale Corp. | 1.600% | 4/20/30 | 54,003 | 53,611 | ||
Diageo Capital plc | 3.875% | 5/18/28 | 7,483 | 8,567 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 25,651 | 26,780 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 16,552 | 16,683 | ||
Dollar General Corp. | 3.875% | 4/15/27 | 12,050 | 13,546 | ||
Dollar General Corp. | 4.125% | 5/1/28 | 11,604 | 13,359 | ||
Dollar General Corp. | 3.500% | 4/3/30 | 33,057 | 36,856 | ||
Dollar Tree Inc. | 4.200% | 5/15/28 | 30,754 | 35,002 | ||
Estee Lauder Cos. Inc. | 3.150% | 3/15/27 | 8,270 | 9,121 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 17,012 | 17,894 | ||
Estee Lauder Cos. Inc. | 2.600% | 4/15/30 | 16,084 | 17,114 | ||
Estee Lauder Cos. Inc. | 1.950% | 3/15/31 | 14,050 | 14,224 | ||
Flowers Foods Inc. | 3.500% | 10/1/26 | 5,921 | 6,464 | ||
Flowers Foods Inc. | 2.400% | 3/15/31 | 16,559 | 16,741 | ||
General Mills Inc. | 3.200% | 2/10/27 | 16,330 | 17,838 | ||
General Mills Inc. | 4.200% | 4/17/28 | 30,343 | 34,942 | ||
General Mills Inc. | 2.875% | 4/15/30 | 21,069 | 22,553 | ||
Hershey Co. | 2.300% | 8/15/26 | 8,855 | 9,394 | ||
Hershey Co. | 2.450% | 11/15/29 | 4,322 | 4,574 | ||
Hershey Co. | 1.700% | 6/1/30 | 7,252 | 7,268 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 18,945 | 19,237 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 16,332 | 16,397 | ||
Ingredion Inc. | 3.200% | 10/1/26 | 12,337 | 13,422 | ||
Ingredion Inc. | 2.900% | 6/1/30 | 13,526 | 14,345 | ||
J M Smucker Co. | 3.375% | 12/15/27 | 11,754 | 12,964 | ||
J M Smucker Co. | 2.375% | 3/15/30 | 17,466 | 18,020 | ||
Kellogg Co. | 3.400% | 11/15/27 | 15,255 | 16,825 | ||
Kellogg Co. | 4.300% | 5/15/28 | 8,061 | 9,362 | ||
Kellogg Co. | 2.100% | 6/1/30 | 21,614 | 21,784 | ||
1 | Kellogg Co. | 7.450% | 4/1/31 | 7,864 | 11,392 | |
Keurig Dr Pepper Inc. | 2.550% | 9/15/26 | 11,282 | 11,986 | ||
Keurig Dr Pepper Inc. | 3.430% | 6/15/27 | 16,079 | 17,802 | ||
Keurig Dr Pepper Inc. | 4.597% | 5/25/28 | 51,687 | 60,653 | ||
Keurig Dr Pepper Inc. | 3.200% | 5/1/30 | 15,659 | 17,065 | ||
Keurig Dr Pepper Inc. | 2.250% | 3/15/31 | 12,875 | 13,057 | ||
Kimberly-Clark Corp. | 1.050% | 9/15/27 | 14,732 | 14,631 | ||
Kimberly-Clark Corp. | 3.950% | 11/1/28 | 10,114 | 11,753 | ||
Kimberly-Clark Corp. | 3.200% | 4/25/29 | 11,429 | 12,726 | ||
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 23,886 | 26,569 | ||
Kroger Co. | 2.650% | 10/15/26 | 26,946 | 28,714 | ||
Kroger Co. | 3.700% | 8/1/27 | 9,455 | 10,626 | ||
Kroger Co. | 4.500% | 1/15/29 | 8,582 | 10,175 | ||
1 | Kroger Co. | 7.700% | 6/1/29 | 3,305 | 4,599 | |
Kroger Co. | 2.200% | 5/1/30 | 22,369 | 22,720 | ||
Kroger Co. | 1.700% | 1/15/31 | 12,310 | 11,922 | ||
Kroger Co. | 7.500% | 4/1/31 | 1,888 | 2,720 | ||
McCormick & Co. Inc. | 3.400% | 8/15/27 | 13,076 | 14,526 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 23,888 | 24,774 | ||
McCormick & Co. Inc. | 1.850% | 2/15/31 | 5,764 | 5,641 | ||
Mondelez International Inc. | 2.750% | 4/13/30 | 44,873 | 47,530 | ||
Mondelez International Inc. | 1.500% | 2/4/31 | 9,015 | 8,630 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 22,247 | 23,813 | ||
PepsiCo Inc. | 2.625% | 3/19/27 | 29,364 | 31,616 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PepsiCo Inc. | 3.000% | 10/15/27 | 26,634 | 29,385 | ||
PepsiCo Inc. | 7.000% | 3/1/29 | 8,216 | 11,514 | ||
PepsiCo Inc. | 2.625% | 7/29/29 | 25,045 | 26,950 | ||
PepsiCo Inc. | 2.750% | 3/19/30 | 32,159 | 34,861 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 28,180 | 28,077 | ||
PepsiCo Inc. | 1.400% | 2/25/31 | 17,247 | 16,906 | ||
Philip Morris International Inc. | 3.125% | 8/17/27 | 8,897 | 9,753 | ||
Philip Morris International Inc. | 3.125% | 3/2/28 | 14,079 | 15,356 | ||
Philip Morris International Inc. | 3.375% | 8/15/29 | 14,628 | 16,219 | ||
Philip Morris International Inc. | 2.100% | 5/1/30 | 25,988 | 26,268 | ||
Philip Morris International Inc. | 1.750% | 11/1/30 | 12,545 | 12,249 | ||
Procter & Gamble Co. | 2.450% | 11/3/26 | 21,694 | 23,239 | ||
Procter & Gamble Co. | 2.800% | 3/25/27 | 24,090 | 26,199 | ||
Procter & Gamble Co. | 2.850% | 8/11/27 | 18,827 | 20,610 | ||
Procter & Gamble Co. | 3.000% | 3/25/30 | 34,903 | 38,750 | ||
Procter & Gamble Co. | 1.200% | 10/29/30 | 27,105 | 26,121 | ||
Procter & Gamble Co. | 1.950% | 4/23/31 | 17,415 | 17,884 | ||
Sysco Corp. | 3.250% | 7/15/27 | 20,553 | 22,450 | ||
Sysco Corp. | 2.400% | 2/15/30 | 26,670 | 27,482 | ||
Sysco Corp. | 5.950% | 4/1/30 | 20,092 | 25,894 | ||
Target Corp. | 3.375% | 4/15/29 | 24,797 | 27,870 | ||
Target Corp. | 2.350% | 2/15/30 | 15,968 | 16,790 | ||
Target Corp. | 2.650% | 9/15/30 | 10,515 | 11,339 | ||
Tyson Foods Inc. | 3.550% | 6/2/27 | 30,442 | 33,927 | ||
Tyson Foods Inc. | 4.350% | 3/1/29 | 23,191 | 27,114 | ||
Unilever Capital Corp. | 2.900% | 5/5/27 | 27,725 | 30,145 | ||
Unilever Capital Corp. | 3.500% | 3/22/28 | 13,149 | 14,788 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 38,504 | 39,840 | ||
Unilever Capital Corp. | 1.375% | 9/14/30 | 12,325 | 11,986 | ||
Unilever Capital Corp. | 1.750% | 8/12/31 | 23,000 | 22,858 | ||
Walgreens Boots Alliance Inc. | 3.200% | 4/15/30 | 7,120 | 7,692 | ||
Walmart Inc. | 5.875% | 4/5/27 | 5,251 | 6,564 | ||
Walmart Inc. | 3.700% | 6/26/28 | 68,393 | 78,112 | ||
Walmart Inc. | 3.250% | 7/8/29 | 33,690 | 37,821 | ||
Walmart Inc. | 2.375% | 9/24/29 | 17,149 | 18,267 | ||
3 | Walmart Inc. | 7.550% | 2/15/30 | 7,452 | 10,906 | |
3,220,398 | ||||||
Energy (6.4%) | ||||||
Baker Hughes a GE Co. LLC | 3.337% | 12/15/27 | 27,838 | 30,524 | ||
Baker Hughes a GE Co. LLC | 3.138% | 11/7/29 | 11,509 | 12,455 | ||
Baker Hughes a GE Co. LLC | 4.486% | 5/1/30 | 21,469 | 25,389 | ||
Boardwalk Pipelines LP | 4.450% | 7/15/27 | 9,414 | 10,641 | ||
Boardwalk Pipelines LP | 4.800% | 5/3/29 | 4,834 | 5,592 | ||
Boardwalk Pipelines LP | 3.400% | 2/15/31 | 12,832 | 13,711 | ||
1 | BP Capital Markets America Inc. | 3.017% | 1/16/27 | 31,947 | 34,549 | |
BP Capital Markets America Inc. | 3.543% | 4/6/27 | 12,425 | 13,773 | ||
1 | BP Capital Markets America Inc. | 3.588% | 4/14/27 | 13,306 | 14,772 | |
BP Capital Markets America Inc. | 3.937% | 9/21/28 | 31,904 | 36,343 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 43,196 | 49,963 | ||
BP Capital Markets America Inc. | 3.633% | 4/6/30 | 34,669 | 39,110 | ||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 20,058 | 19,753 | ||
BP Capital Markets plc | 3.279% | 9/19/27 | 32,245 | 35,576 | ||
BP Capital Markets plc | 3.723% | 11/28/28 | 19,223 | 21,653 | ||
Burlington Resources LLC | 7.200% | 8/15/31 | 4,763 | 6,862 | ||
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 40,420 | 44,537 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Canadian Natural Resources Ltd. | 2.950% | 7/15/30 | 12,256 | 12,777 | ||
Cenovus Energy Inc. | 4.250% | 4/15/27 | 36,413 | 40,464 | ||
Cenovus Energy Inc. | 4.400% | 4/15/29 | 18,618 | 20,924 | ||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/27 | 37,251 | 43,410 | ||
Cheniere Corpus Christi Holdings LLC | 3.700% | 11/15/29 | 40,243 | 44,223 | ||
Chevron Corp. | 1.995% | 5/11/27 | 32,576 | 33,808 | ||
Chevron Corp. | 2.236% | 5/11/30 | 35,088 | 36,393 | ||
Chevron USA Inc. | 1.018% | 8/12/27 | 3,518 | 3,465 | ||
Chevron USA Inc. | 3.850% | 1/15/28 | 13,114 | 14,870 | ||
Chevron USA Inc. | 3.250% | 10/15/29 | 21,393 | 23,687 | ||
Cimarex Energy Co. | 3.900% | 5/15/27 | 18,690 | 20,653 | ||
Cimarex Energy Co. | 4.375% | 3/15/29 | 16,509 | 18,784 | ||
2 | ConocoPhillips | 3.750% | 10/1/27 | 35,181 | 39,559 | |
2 | ConocoPhillips | 4.300% | 8/15/28 | 27,128 | 31,406 | |
2 | ConocoPhillips | 2.400% | 2/15/31 | 21,312 | 21,904 | |
ConocoPhillips Co. | 6.950% | 4/15/29 | 39,993 | 54,118 | ||
2 | Devon Energy Corp. | 5.250% | 10/15/27 | 8,568 | 9,119 | |
2 | Devon Energy Corp. | 5.875% | 6/15/28 | 7,148 | 7,868 | |
2 | Devon Energy Corp. | 4.500% | 1/15/30 | 13,681 | 14,947 | |
Diamondback Energy Inc. | 3.250% | 12/1/26 | 19,535 | 20,963 | ||
Diamondback Energy Inc. | 3.500% | 12/1/29 | 28,209 | 30,404 | ||
Diamondback Energy Inc. | 3.125% | 3/24/31 | 22,027 | 22,986 | ||
2 | Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 6,695 | 7,122 | |
Enable Midstream Partners LP | 4.400% | 3/15/27 | 18,582 | 20,676 | ||
Enable Midstream Partners LP | 4.950% | 5/15/28 | 18,900 | 21,499 | ||
Enable Midstream Partners LP | 4.150% | 9/15/29 | 13,777 | 15,110 | ||
Enbridge Inc. | 4.250% | 12/1/26 | 22,504 | 25,395 | ||
Enbridge Inc. | 3.700% | 7/15/27 | 14,411 | 15,973 | ||
Enbridge Inc. | 3.125% | 11/15/29 | 24,142 | 25,928 | ||
Energy Transfer LP | 4.200% | 4/15/27 | 15,741 | 17,488 | ||
1 | Energy Transfer LP | 5.500% | 6/1/27 | 24,170 | 28,495 | |
Energy Transfer LP | 4.000% | 10/1/27 | 18,836 | 20,918 | ||
Energy Transfer LP | 4.950% | 6/15/28 | 23,603 | 27,344 | ||
Energy Transfer LP | 5.250% | 4/15/29 | 36,378 | 42,898 | ||
Energy Transfer LP | 3.750% | 5/15/30 | 36,533 | 39,710 | ||
Eni USA Inc. | 7.300% | 11/15/27 | 2,740 | 3,575 | ||
Enterprise Products Operating LLC | 3.950% | 2/15/27 | 12,460 | 13,962 | ||
Enterprise Products Operating LLC | 4.150% | 10/16/28 | 17,534 | 20,171 | ||
Enterprise Products Operating LLC | 3.125% | 7/31/29 | 48,366 | 52,377 | ||
Enterprise Products Operating LLC | 2.800% | 1/31/30 | 17,179 | 18,240 | ||
1 | Enterprise Products Operating LLC | 5.250% | 8/16/77 | 13,731 | 14,301 | |
1 | Enterprise Products Operating LLC | 5.375% | 2/15/78 | 21,645 | 22,362 | |
EOG Resources Inc. | 4.375% | 4/15/30 | 20,075 | 23,720 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 5,172 | 5,452 | ||
Exxon Mobil Corp. | 3.294% | 3/19/27 | 11,405 | 12,607 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 29,218 | 30,690 | ||
Exxon Mobil Corp. | 3.482% | 3/19/30 | 49,470 | 55,627 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 53,507 | 56,711 | ||
Halliburton Co. | 2.920% | 3/1/30 | 26,515 | 27,601 | ||
Hess Corp. | 4.300% | 4/1/27 | 29,457 | 32,747 | ||
Hess Corp. | 7.875% | 10/1/29 | 7,188 | 9,817 | ||
Hess Corp. | 7.300% | 8/15/31 | 10,100 | 13,733 | ||
HollyFrontier Corp. | 4.500% | 10/1/30 | 9,738 | 10,473 | ||
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 2,066 | 2,876 | ||
Kinder Morgan Inc. | 4.300% | 3/1/28 | 29,951 | 34,236 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Kinder Morgan Inc. | 2.000% | 2/15/31 | 32,003 | 31,221 | ||
1 | Kinder Morgan Inc. | 7.800% | 8/1/31 | 3,269 | 4,708 | |
Magellan Midstream Partners LP | 3.250% | 6/1/30 | 9,532 | 10,268 | ||
Marathon Oil Corp. | 4.400% | 7/15/27 | 22,166 | 25,069 | ||
Marathon Petroleum Corp. | 5.125% | 12/15/26 | 20,684 | 24,198 | ||
Marathon Petroleum Corp. | 3.800% | 4/1/28 | 15,295 | 16,951 | ||
MPLX LP | 4.125% | 3/1/27 | 30,858 | 34,619 | ||
MPLX LP | 4.250% | 12/1/27 | 17,469 | 19,804 | ||
MPLX LP | 4.000% | 3/15/28 | 31,831 | 35,530 | ||
MPLX LP | 4.800% | 2/15/29 | 23,878 | 27,974 | ||
MPLX LP | 2.650% | 8/15/30 | 28,966 | 29,437 | ||
Northwest Pipeline LLC | 4.000% | 4/1/27 | 925 | 1,034 | ||
NOV Inc. | 3.600% | 12/1/29 | 10,392 | 11,004 | ||
ONEOK Inc. | 4.000% | 7/13/27 | 13,152 | 14,605 | ||
ONEOK Inc. | 4.550% | 7/15/28 | 20,046 | 22,919 | ||
ONEOK Inc. | 4.350% | 3/15/29 | 27,967 | 31,728 | ||
ONEOK Inc. | 3.400% | 9/1/29 | 32,509 | 34,934 | ||
ONEOK Inc. | 3.100% | 3/15/30 | 16,133 | 16,958 | ||
ONEOK Inc. | 6.350% | 1/15/31 | 2,220 | 2,862 | ||
Phillips 66 | 3.900% | 3/15/28 | 15,513 | 17,364 | ||
Phillips 66 | 2.150% | 12/15/30 | 21,759 | 21,394 | ||
Phillips 66 Partners LP | 3.550% | 10/1/26 | 9,123 | 9,897 | ||
Phillips 66 Partners LP | 3.750% | 3/1/28 | 15,631 | 17,079 | ||
Phillips 66 Partners LP | 3.150% | 12/15/29 | 14,592 | 15,414 | ||
Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 27,486 | 26,539 | ||
Pioneer Natural Resources Co. | 2.150% | 1/15/31 | 22,530 | 22,101 | ||
Plains All American Pipeline LP | 4.500% | 12/15/26 | 17,951 | 20,147 | ||
Plains All American Pipeline LP | 3.550% | 12/15/29 | 24,856 | 26,374 | ||
Plains All American Pipeline LP | 3.800% | 9/15/30 | 21,011 | 22,628 | ||
Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 35,961 | 41,601 | ||
Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 33,101 | 37,192 | ||
Sabine Pass Liquefaction LLC | 4.500% | 5/15/30 | 57,747 | 67,029 | ||
Schlumberger Investment SA | 2.650% | 6/26/30 | 29,892 | 31,384 | ||
Shell International Finance BV | 2.500% | 9/12/26 | 24,246 | 25,814 | ||
Shell International Finance BV | 3.875% | 11/13/28 | 31,483 | 36,139 | ||
Shell International Finance BV | 2.375% | 11/7/29 | 35,715 | 37,308 | ||
Shell International Finance BV | 2.750% | 4/6/30 | 42,516 | 45,509 | ||
Spectra Energy Partners LP | 3.375% | 10/15/26 | 16,979 | 18,446 | ||
TC PipeLines LP | 3.900% | 5/25/27 | 11,888 | 13,212 | ||
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 4,208 | 5,373 | ||
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 9,802 | 12,811 | ||
TotalEnergies Capital International SA | 3.455% | 2/19/29 | 26,596 | 29,755 | ||
TotalEnergies Capital International SA | 2.829% | 1/10/30 | 30,637 | 32,964 | ||
TotalEnergies Capital SA | 3.883% | 10/11/28 | 17,328 | 19,911 | ||
TransCanada PipeLines Ltd. | 4.250% | 5/15/28 | 26,181 | 30,091 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 39,613 | 45,408 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.000% | 3/15/28 | 14,620 | 16,514 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 23,123 | 25,015 | ||
Valero Energy Corp. | 3.400% | 9/15/26 | 28,428 | 30,633 | ||
Valero Energy Corp. | 2.150% | 9/15/27 | 14,511 | 14,790 | ||
Valero Energy Corp. | 4.350% | 6/1/28 | 21,069 | 23,780 | ||
Valero Energy Corp. | 4.000% | 4/1/29 | 23,281 | 25,792 | ||
Valero Energy Partners LP | 4.375% | 12/15/26 | 13,619 | 15,371 | ||
Valero Energy Partners LP | 4.500% | 3/15/28 | 14,209 | 16,113 | ||
Williams Cos. Inc. | 3.750% | 6/15/27 | 35,204 | 39,092 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Williams Cos. Inc. | 3.500% | 11/15/30 | 31,363 | 34,434 | ||
Williams Cos. Inc. | 2.600% | 3/15/31 | 27,390 | 27,991 | ||
3,146,001 | ||||||
Financials (28.7%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 2,955 | 4,463 | ||
1 | Aegon NV | 5.500% | 4/11/48 | 18,030 | 21,187 | |
AerCap Ireland Capital DAC | 3.650% | 7/21/27 | 25,504 | 27,132 | ||
AerCap Ireland Capital DAC | 4.625% | 10/15/27 | 18,780 | 20,941 | ||
AerCap Ireland Capital DAC | 3.875% | 1/23/28 | 15,772 | 16,904 | ||
Affiliated Managers Group Inc. | 3.300% | 6/15/30 | 15,998 | 17,363 | ||
Aflac Inc. | 2.875% | 10/15/26 | 6,077 | 6,584 | ||
Aflac Inc. | 3.600% | 4/1/30 | 41,659 | 47,332 | ||
1 | Air Lease Corp. | 3.750% | 6/1/26 | 3,002 | 3,278 | |
Air Lease Corp. | 3.625% | 4/1/27 | 10,070 | 10,880 | ||
Air Lease Corp. | 3.625% | 12/1/27 | 13,984 | 15,119 | ||
Air Lease Corp. | 2.100% | 9/1/28 | 18,025 | 17,704 | ||
Air Lease Corp. | 4.625% | 10/1/28 | 12,572 | 14,283 | ||
Air Lease Corp. | 3.250% | 10/1/29 | 13,172 | 13,792 | ||
1 | Air Lease Corp. | 3.000% | 2/1/30 | 17,535 | 17,942 | |
Air Lease Corp. | 3.125% | 12/1/30 | 20,025 | 20,581 | ||
Alleghany Corp. | 3.625% | 5/15/30 | 11,714 | 13,059 | ||
Allstate Corp. | 3.280% | 12/15/26 | 12,560 | 13,880 | ||
Allstate Corp. | 1.450% | 12/15/30 | 13,245 | 12,803 | ||
American Equity Investment Life Holding Co. | 5.000% | 6/15/27 | 12,286 | 14,043 | ||
1 | American Express Credit Corp. | 3.300% | 5/3/27 | 47,299 | 52,412 | |
American Financial Group Inc. | 5.250% | 4/2/30 | 8,433 | 10,422 | ||
American International Group Inc. | 4.200% | 4/1/28 | 16,721 | 19,230 | ||
American International Group Inc. | 4.250% | 3/15/29 | 7,290 | 8,433 | ||
American International Group Inc. | 3.400% | 6/30/30 | 51,788 | 56,979 | ||
1 | American International Group Inc. | 5.750% | 4/1/48 | 14,725 | 16,982 | |
Ameriprise Financial Inc. | 2.875% | 9/15/26 | 18,595 | 20,043 | ||
1 | Andrew W Mellon Foundation | 0.947% | 8/1/27 | 7,375 | 7,267 | |
1 | Aon Corp. | 8.205% | 1/1/27 | 7,581 | 9,913 | |
Aon Corp. | 4.500% | 12/15/28 | 13,681 | 16,031 | ||
Aon Corp. | 3.750% | 5/2/29 | 19,757 | 22,292 | ||
Aon Corp. | 2.800% | 5/15/30 | 29,941 | 31,724 | ||
Aon Corp. | 2.050% | 8/23/31 | 1,250 | 1,244 | ||
Arch Capital Finance LLC | 4.011% | 12/15/26 | 11,409 | 12,945 | ||
Ares Capital Corp. | 2.875% | 6/15/28 | 21,925 | 22,360 | ||
Assurant Inc. | 4.900% | 3/27/28 | 7,711 | 9,024 | ||
Assurant Inc. | 3.700% | 2/22/30 | 8,644 | 9,510 | ||
Assured Guaranty US Holdings Inc. | 3.150% | 6/15/31 | 11,750 | 12,516 | ||
Athene Holding Ltd. | 4.125% | 1/12/28 | 23,534 | 26,445 | ||
Athene Holding Ltd. | 6.150% | 4/3/30 | 15,978 | 20,383 | ||
Athene Holding Ltd. | 3.500% | 1/15/31 | 14,494 | 15,766 | ||
AXA SA | 8.600% | 12/15/30 | 28,823 | 43,643 | ||
AXIS Specialty Finance LLC | 3.900% | 7/15/29 | 13,430 | 14,930 | ||
1 | AXIS Specialty Finance LLC | 4.900% | 1/15/40 | 5,101 | 5,451 | |
AXIS Specialty Finance plc | 4.000% | 12/6/27 | 8,149 | 9,080 | ||
Banco Santander SA | 4.250% | 4/11/27 | 26,508 | 30,018 | ||
Banco Santander SA | 3.800% | 2/23/28 | 17,526 | 19,416 | ||
Banco Santander SA | 4.379% | 4/12/28 | 26,613 | 30,528 | ||
Banco Santander SA | 3.306% | 6/27/29 | 17,209 | 18,863 | ||
Banco Santander SA | 3.490% | 5/28/30 | 32,889 | 35,766 | ||
Banco Santander SA | 2.749% | 12/3/30 | 43,325 | 43,536 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Banco Santander SA | 2.958% | 3/25/31 | 15,996 | 16,598 | ||
Bank of America Corp. | 6.220% | 9/15/26 | 5,376 | 6,583 | ||
1 | Bank of America Corp. | 4.250% | 10/22/26 | 46,840 | 53,173 | |
Bank of America Corp. | 1.734% | 7/22/27 | 120 | 122 | ||
1 | Bank of America Corp. | 3.248% | 10/21/27 | 59,938 | 65,391 | |
1 | Bank of America Corp. | 4.183% | 11/25/27 | 56,722 | 63,757 | |
1 | Bank of America Corp. | 3.824% | 1/20/28 | 48,115 | 53,562 | |
1 | Bank of America Corp. | 3.705% | 4/24/28 | 58,414 | 64,739 | |
1 | Bank of America Corp. | 3.593% | 7/21/28 | 63,909 | 70,654 | |
1 | Bank of America Corp. | 3.419% | 12/20/28 | 145,985 | 160,370 | |
1 | Bank of America Corp. | 3.970% | 3/5/29 | 58,541 | 65,971 | |
1 | Bank of America Corp. | 2.087% | 6/14/29 | 101,005 | 102,539 | |
1 | Bank of America Corp. | 4.271% | 7/23/29 | 70,112 | 80,533 | |
1 | Bank of America Corp. | 3.974% | 2/7/30 | 81,117 | 92,058 | |
1 | Bank of America Corp. | 3.194% | 7/23/30 | 73,364 | 79,308 | |
1 | Bank of America Corp. | 2.884% | 10/22/30 | 32,380 | 34,286 | |
1 | Bank of America Corp. | 2.496% | 2/13/31 | 77,897 | 80,082 | |
1 | Bank of America Corp. | 2.592% | 4/29/31 | 71,178 | 73,704 | |
1 | Bank of America Corp. | 1.898% | 7/23/31 | 66,197 | 64,812 | |
1 | Bank of America Corp. | 1.922% | 10/24/31 | 50,977 | 49,959 | |
1 | Bank of America Corp. | 2.651% | 3/11/32 | 48,712 | 50,495 | |
Bank of America Corp. | 2.687% | 4/22/32 | 134,483 | 139,934 | ||
Bank of America Corp. | 2.299% | 7/21/32 | 92,745 | 93,294 | ||
1 | Bank of Montreal | 3.803% | 12/15/32 | 20,912 | 23,127 | |
1 | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 23,832 | 26,268 | |
1 | Bank of New York Mellon Corp. | 3.400% | 1/29/28 | 19,183 | 21,409 | |
1 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 35,122 | 38,847 | |
1 | Bank of New York Mellon Corp. | 3.850% | 4/28/28 | 6,010 | 6,938 | |
1 | Bank of New York Mellon Corp. | 1.650% | 7/14/28 | 8,505 | 8,600 | |
1 | Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 6,544 | 7,188 | |
1 | Bank of New York Mellon Corp. | 3.300% | 8/23/29 | 14,158 | 15,754 | |
1 | Bank of New York Mellon Corp. | 1.650% | 1/28/31 | 8,095 | 8,031 | |
1 | Bank of New York Mellon Corp. | 1.800% | 7/28/31 | 13,915 | 13,813 | |
Bank of Nova Scotia | 2.150% | 8/1/31 | 15,465 | 15,617 | ||
BankUnited Inc. | 5.125% | 6/11/30 | 8,346 | 9,748 | ||
Barclays plc | 4.375% | 1/12/26 | 104 | 117 | ||
Barclays plc | 4.337% | 1/10/28 | 36,663 | 41,286 | ||
Barclays plc | 4.836% | 5/9/28 | 49,104 | 55,631 | ||
1 | Barclays plc | 4.972% | 5/16/29 | 39,890 | 46,892 | |
1 | Barclays plc | 5.088% | 6/20/30 | 25,120 | 29,320 | |
Barclays plc | 2.645% | 6/24/31 | 35,188 | 35,862 | ||
Barclays plc | 2.667% | 3/10/32 | 14,570 | 14,813 | ||
Barclays plc | 3.564% | 9/23/35 | 29,490 | 30,918 | ||
Berkshire Hathaway Finance Corp. | 1.850% | 3/12/30 | 13,532 | 13,720 | ||
Berkshire Hathaway Finance Corp. | 1.450% | 10/15/30 | 19,092 | 18,685 | ||
BlackRock Inc. | 3.200% | 3/15/27 | 21,444 | 23,677 | ||
BlackRock Inc. | 3.250% | 4/30/29 | 17,885 | 19,933 | ||
BlackRock Inc. | 2.400% | 4/30/30 | 23,484 | 24,648 | ||
BlackRock Inc. | 1.900% | 1/28/31 | 32,460 | 32,716 | ||
Blackstone Secured Lending Fund | 3.625% | 1/15/26 | 191 | 203 | ||
Blackstone Secured Lending Fund | 2.750% | 9/16/26 | 16,215 | 16,690 | ||
2 | Blackstone Secured Lending Fund | 2.125% | 2/15/27 | 16,665 | 16,474 | |
1 | BPCE SA | 3.375% | 12/2/26 | 7,668 | 8,438 | |
2 | BPCE SA | 3.250% | 1/11/28 | 3,975 | 4,344 | |
Brighthouse Financial Inc. | 3.700% | 6/22/27 | 25,288 | 27,750 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Brighthouse Financial Inc. | 5.625% | 5/15/30 | 18,131 | 22,090 | ||
Brookfield Finance Inc. | 4.250% | 6/2/26 | 268 | 302 | ||
Brookfield Finance Inc. | 3.900% | 1/25/28 | 11,514 | 12,952 | ||
Brookfield Finance Inc. | 4.850% | 3/29/29 | 24,243 | 28,942 | ||
Brookfield Finance Inc. | 4.350% | 4/15/30 | 23,836 | 27,832 | ||
Brookfield Finance Inc. | 2.724% | 4/15/31 | 11,189 | 11,636 | ||
Brown & Brown Inc. | 4.500% | 3/15/29 | 7,269 | 8,406 | ||
Brown & Brown Inc. | 2.375% | 3/15/31 | 17,412 | 17,597 | ||
Capital One Financial Corp. | 3.750% | 3/9/27 | 47,413 | 53,035 | ||
Capital One Financial Corp. | 3.650% | 5/11/27 | 20,236 | 22,576 | ||
Capital One Financial Corp. | 3.800% | 1/31/28 | 38,633 | 43,388 | ||
Capital One Financial Corp. | 2.359% | 7/29/32 | 14,975 | 14,872 | ||
Cboe Global Markets Inc. | 3.650% | 1/12/27 | 13,477 | 15,021 | ||
Cboe Global Markets Inc. | 1.625% | 12/15/30 | 10,480 | 10,194 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 13,495 | 14,818 | ||
Charles Schwab Corp. | 3.200% | 1/25/28 | 21,196 | 23,365 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 31,040 | 32,003 | ||
Charles Schwab Corp. | 4.000% | 2/1/29 | 14,984 | 17,315 | ||
Charles Schwab Corp. | 3.250% | 5/22/29 | 18,552 | 20,527 | ||
Charles Schwab Corp. | 4.625% | 3/22/30 | 578 | 706 | ||
Charles Schwab Corp. | 1.650% | 3/11/31 | 5,226 | 5,114 | ||
Charles Schwab Corp. | 2.300% | 5/13/31 | 36,758 | 37,961 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 34,350 | 32,972 | ||
CI Financial Corp. | 3.200% | 12/17/30 | 20,057 | 20,875 | ||
1 | Cincinnati Financial Corp. | 6.920% | 5/15/28 | 6,241 | 8,222 | |
Citigroup Inc. | 3.200% | 10/21/26 | 60,698 | 66,089 | ||
Citigroup Inc. | 4.300% | 11/20/26 | 25,323 | 28,716 | ||
Citigroup Inc. | 4.450% | 9/29/27 | 98,441 | 112,803 | ||
1 | Citigroup Inc. | 3.887% | 1/10/28 | 68,870 | 76,742 | |
Citigroup Inc. | 6.625% | 1/15/28 | 7,842 | 10,146 | ||
1 | Citigroup Inc. | 3.668% | 7/24/28 | 73,542 | 81,470 | |
Citigroup Inc. | 4.125% | 7/25/28 | 61,615 | 69,689 | ||
1 | Citigroup Inc. | 3.520% | 10/27/28 | 55,813 | 61,340 | |
1 | Citigroup Inc. | 4.075% | 4/23/29 | 37,075 | 42,042 | |
1 | Citigroup Inc. | 3.980% | 3/20/30 | 42,139 | 47,897 | |
1 | Citigroup Inc. | 2.976% | 11/5/30 | 41,189 | 43,859 | |
1 | Citigroup Inc. | 2.666% | 1/29/31 | 47,439 | 49,321 | |
1 | Citigroup Inc. | 4.412% | 3/31/31 | 105,334 | 123,539 | |
1 | Citigroup Inc. | 2.572% | 6/3/31 | 115,123 | 118,912 | |
Citigroup Inc. | 2.561% | 5/1/32 | 50,590 | 52,087 | ||
Citizens Financial Group Inc. | 2.500% | 2/6/30 | 15,844 | 16,355 | ||
Citizens Financial Group Inc. | 3.250% | 4/30/30 | 19,454 | 21,197 | ||
CME Group Inc. | 3.750% | 6/15/28 | 12,217 | 13,985 | ||
CNA Financial Corp. | 3.450% | 8/15/27 | 15,507 | 17,157 | ||
CNA Financial Corp. | 3.900% | 5/1/29 | 13,148 | 14,851 | ||
CNA Financial Corp. | 2.050% | 8/15/30 | 7,052 | 7,010 | ||
CNO Financial Group Inc. | 5.250% | 5/30/29 | 12,331 | 14,676 | ||
Comerica Inc. | 4.000% | 2/1/29 | 13,394 | 15,489 | ||
1 | Deutsche Bank AG | 3.547% | 9/18/31 | 33,125 | 35,750 | |
Deutsche Bank AG | 3.035% | 5/28/32 | 36,890 | 38,053 | ||
1 | Discover Bank | 3.450% | 7/27/26 | 1,289 | 1,407 | |
1 | Discover Bank | 4.650% | 9/13/28 | 24,957 | 29,287 | |
1 | Discover Bank | 2.700% | 2/6/30 | 14,355 | 15,100 | |
Discover Financial Services | 4.100% | 2/9/27 | 31,987 | 35,987 | ||
E*TRADE Financial Corp. | 3.800% | 8/24/27 | 10,077 | 11,282 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
E*TRADE Financial Corp. | 4.500% | 6/20/28 | 9,892 | 11,506 | ||
Eaton Vance Corp. | 3.500% | 4/6/27 | 6,883 | 7,529 | ||
Enstar Group Ltd. | 4.950% | 6/1/29 | 19,827 | 22,741 | ||
Equitable Holdings Inc. | 7.000% | 4/1/28 | 5,460 | 7,072 | ||
Equitable Holdings Inc. | 4.350% | 4/20/28 | 35,764 | 41,120 | ||
Fairfax Financial Holdings Ltd. | 4.850% | 4/17/28 | 13,361 | 15,393 | ||
Fairfax Financial Holdings Ltd. | 4.625% | 4/29/30 | 15,077 | 17,283 | ||
2 | Fairfax Financial Holdings Ltd. | 3.375% | 3/3/31 | 17,305 | 18,274 | |
Fidelity National Financial Inc. | 4.500% | 8/15/28 | 9,356 | 10,795 | ||
Fidelity National Financial Inc. | 3.400% | 6/15/30 | 17,834 | 19,334 | ||
Fidelity National Financial Inc. | 2.450% | 3/15/31 | 14,761 | 14,808 | ||
Fifth Third Bancorp | 2.550% | 5/5/27 | 24,256 | 25,723 | ||
Fifth Third Bancorp | 3.950% | 3/14/28 | 15,437 | 17,787 | ||
1 | Fifth Third Bank NA | 2.250% | 2/1/27 | 16,723 | 17,562 | |
First American Financial Corp. | 4.000% | 5/15/30 | 10,992 | 12,288 | ||
First American Financial Corp. | 2.400% | 8/15/31 | 14,223 | 14,049 | ||
1 | First Horizon Bank | 5.750% | 5/1/30 | 11,750 | 14,564 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 18,795 | 18,157 | ||
FS KKR Capital Corp. | 2.625% | 1/15/27 | 9,990 | 10,002 | ||
GATX Corp. | 3.250% | 9/15/26 | 7,882 | 8,517 | ||
GATX Corp. | 3.850% | 3/30/27 | 10,782 | 11,898 | ||
GATX Corp. | 3.500% | 3/15/28 | 6,613 | 7,307 | ||
GATX Corp. | 4.550% | 11/7/28 | 9,676 | 11,315 | ||
GATX Corp. | 4.700% | 4/1/29 | 6,756 | 7,939 | ||
GATX Corp. | 4.000% | 6/30/30 | 14,671 | 16,642 | ||
GATX Corp. | 1.900% | 6/1/31 | 2,171 | 2,089 | ||
GE Capital Funding LLC | 4.050% | 5/15/27 | 16,734 | 18,931 | ||
GE Capital Funding LLC | 4.400% | 5/15/30 | 75,367 | 88,381 | ||
Global Payments Inc. | 4.450% | 6/1/28 | 9,698 | 11,192 | ||
Global Payments Inc. | 3.200% | 8/15/29 | 41,264 | 44,294 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 23,966 | 25,189 | ||
Globe Life Inc. | 4.550% | 9/15/28 | 14,588 | 17,181 | ||
Globe Life Inc. | 2.150% | 8/15/30 | 7,875 | 7,897 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 36,476 | 39,718 | ||
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 21,442 | 26,118 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 77,991 | 86,237 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 52,611 | 52,837 | ||
1 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 65,724 | 73,021 | |
1 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 77,123 | 86,408 | |
1 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 82,088 | 94,117 | |
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 29,615 | 30,869 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 86,880 | 98,021 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 53,503 | 52,461 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 118,282 | 121,935 | ||
1 | Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 56,875 | 57,501 | |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 148 | 167 | ||
Hanover Insurance Group Inc. | 2.500% | 9/1/30 | 8,775 | 8,921 | ||
Hartford Financial Services Group Inc. | 2.800% | 8/19/29 | 14,485 | 15,396 | ||
HSBC Holdings plc | 4.375% | 11/23/26 | 35,566 | 40,028 | ||
1 | HSBC Holdings plc | 4.041% | 3/13/28 | 67,380 | 75,141 | |
1 | HSBC Holdings plc | 2.013% | 9/22/28 | 48,406 | 48,864 | |
1 | HSBC Holdings plc | 4.583% | 6/19/29 | 86,735 | 100,204 | |
HSBC Holdings plc | 2.206% | 8/17/29 | 60,000 | 60,519 | ||
HSBC Holdings plc | 4.950% | 3/31/30 | 60,188 | 72,760 | ||
1 | HSBC Holdings plc | 3.973% | 5/22/30 | 61,252 | 68,719 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | HSBC Holdings plc | 2.848% | 6/4/31 | 31,089 | 32,451 | |
1 | HSBC Holdings plc | 2.357% | 8/18/31 | 27,764 | 27,889 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 98,180 | 101,367 | ||
Huntington Bancshares Inc. | 2.550% | 2/4/30 | 22,109 | 23,263 | ||
2 | Huntington Bancshares Inc. | 2.487% | 8/15/36 | 9,191 | 9,211 | |
ING Groep NV | 3.950% | 3/29/27 | 41,706 | 46,979 | ||
ING Groep NV | 4.550% | 10/2/28 | 24,551 | 28,917 | ||
ING Groep NV | 4.050% | 4/9/29 | 23,884 | 27,474 | ||
ING Groep NV | 2.727% | 4/1/32 | 2,635 | 2,739 | ||
Intercontinental Exchange Inc. | 3.100% | 9/15/27 | 14,146 | 15,450 | ||
Intercontinental Exchange Inc. | 3.750% | 9/21/28 | 17,166 | 19,372 | ||
Intercontinental Exchange Inc. | 2.100% | 6/15/30 | 22,081 | 22,162 | ||
Jefferies Group LLC | 4.850% | 1/15/27 | 12,843 | 14,964 | ||
Jefferies Group LLC | 6.450% | 6/8/27 | 6,360 | 7,965 | ||
Jefferies Group LLC | 4.150% | 1/23/30 | 28,727 | 32,563 | ||
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 1 | 1 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 72,923 | 78,611 | ||
JPMorgan Chase & Co. | 7.625% | 10/15/26 | 15,437 | 20,121 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 47,648 | 54,103 | ||
JPMorgan Chase & Co. | 1.040% | 2/4/27 | 82 | 81 | ||
JPMorgan Chase & Co. | 8.000% | 4/29/27 | 16,910 | 22,665 | ||
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 34,785 | 39,926 | ||
JPMorgan Chase & Co. | 3.625% | 12/1/27 | 30,756 | 33,825 | ||
1 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 75,844 | 84,397 | |
1 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 59,792 | 65,896 | |
1 | JPMorgan Chase & Co. | 2.182% | 6/1/28 | 39,627 | 40,928 | |
1 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 51,091 | 56,455 | |
1 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 52,894 | 60,011 | |
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 60,840 | 61,676 | ||
1 | JPMorgan Chase & Co. | 4.203% | 7/23/29 | 48,076 | 55,273 | |
1 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 77,484 | 90,592 | |
1 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 70,374 | 78,780 | |
1 | JPMorgan Chase & Co. | 8.750% | 9/1/30 | 1,168 | 1,775 | |
1 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 101,762 | 107,183 | |
1 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 60,613 | 71,892 | |
1 | JPMorgan Chase & Co. | 2.522% | 4/22/31 | 77,806 | 80,612 | |
1 | JPMorgan Chase & Co. | 2.956% | 5/13/31 | 68,824 | 72,840 | |
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 32,781 | 31,783 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 70,777 | 69,500 | ||
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 106,025 | 109,652 | ||
Kemper Corp. | 2.400% | 9/30/30 | 9,827 | 9,907 | ||
1 | KeyBank NA | 6.950% | 2/1/28 | 7,678 | 9,879 | |
1 | KeyBank NA | 3.900% | 4/13/29 | 7,555 | 8,542 | |
1 | KeyCorp | 2.250% | 4/6/27 | 24,871 | 25,942 | |
1 | KeyCorp | 4.100% | 4/30/28 | 10,976 | 12,706 | |
1 | KeyCorp | 2.550% | 10/1/29 | 22,073 | 23,259 | |
Lazard Group LLC | 3.625% | 3/1/27 | 12,620 | 13,882 | ||
Lazard Group LLC | 4.500% | 9/19/28 | 13,382 | 15,542 | ||
Lazard Group LLC | 4.375% | 3/11/29 | 8,943 | 10,265 | ||
Legg Mason Inc. | 4.750% | 3/15/26 | 510 | 590 | ||
Lincoln National Corp. | 3.625% | 12/12/26 | 12,928 | 14,349 | ||
Lincoln National Corp. | 3.800% | 3/1/28 | 13,659 | 15,344 | ||
Lincoln National Corp. | 3.050% | 1/15/30 | 8,601 | 9,281 | ||
Lincoln National Corp. | 3.400% | 1/15/31 | 11,052 | 12,164 | ||
Lloyds Banking Group plc | 3.750% | 1/11/27 | 38,381 | 42,547 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lloyds Banking Group plc | 4.375% | 3/22/28 | 41,391 | 47,618 | ||
Lloyds Banking Group plc | 4.550% | 8/16/28 | 23,234 | 27,118 | ||
1 | Lloyds Banking Group plc | 3.574% | 11/7/28 | 37,549 | 41,219 | |
Loews Corp. | 3.200% | 5/15/30 | 16,706 | 18,215 | ||
1 | Manufacturers & Traders Trust Co. | 3.400% | 8/17/27 | 16,378 | 18,116 | |
Manulife Financial Corp. | 2.484% | 5/19/27 | 18,783 | 19,864 | ||
1 | Manulife Financial Corp. | 4.061% | 2/24/32 | 11,450 | 12,598 | |
Markel Corp. | 3.500% | 11/1/27 | 5,911 | 6,537 | ||
Markel Corp. | 3.350% | 9/17/29 | 8,850 | 9,757 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 42,104 | 49,493 | ||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 17,555 | 18,002 | ||
Mastercard Inc. | 2.950% | 11/21/26 | 16,493 | 18,018 | ||
Mastercard Inc. | 3.300% | 3/26/27 | 36,206 | 40,197 | ||
Mastercard Inc. | 3.500% | 2/26/28 | 12,855 | 14,460 | ||
Mastercard Inc. | 2.950% | 6/1/29 | 20,629 | 22,613 | ||
Mastercard Inc. | 3.350% | 3/26/30 | 36,493 | 41,218 | ||
Mastercard Inc. | 1.900% | 3/15/31 | 13,963 | 14,277 | ||
Mercury General Corp. | 4.400% | 3/15/27 | 7,617 | 8,640 | ||
MetLife Inc. | 4.550% | 3/23/30 | 26,363 | 31,738 | ||
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 29,803 | 31,783 | ||
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 15,020 | 16,777 | ||
Mitsubishi UFJ Financial Group Inc. | 3.287% | 7/25/27 | 27,582 | 30,533 | ||
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 28,711 | 32,676 | ||
Mitsubishi UFJ Financial Group Inc. | 4.050% | 9/11/28 | 14,465 | 16,625 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 37,020 | 41,769 | ||
Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 53,689 | 58,412 | ||
Mitsubishi UFJ Financial Group Inc. | 2.559% | 2/25/30 | 30,112 | 31,392 | ||
Mitsubishi UFJ Financial Group Inc. | 2.048% | 7/17/30 | 44,704 | 44,755 | ||
Mitsubishi UFJ Financial Group Inc. | 2.309% | 7/20/32 | 58,879 | 59,417 | ||
Mizuho Financial Group Inc. | 2.839% | 9/13/26 | 19,446 | 20,925 | ||
Mizuho Financial Group Inc. | 3.663% | 2/28/27 | 11,850 | 13,174 | ||
Mizuho Financial Group Inc. | 3.170% | 9/11/27 | 20,105 | 21,858 | ||
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 25,680 | 29,398 | ||
1 | Mizuho Financial Group Inc. | 4.254% | 9/11/29 | 11,533 | 13,295 | |
1 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 25,587 | 27,626 | |
1 | Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 22,690 | 24,000 | |
1 | Mizuho Financial Group Inc. | 2.591% | 5/25/31 | 14,629 | 15,104 | |
1 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 30,603 | 30,673 | |
1 | Mizuho Financial Group Inc. | 1.979% | 9/8/31 | 28,971 | 28,495 | |
Mizuho Financial Group Inc. | 2.172% | 5/22/32 | 10,036 | 9,991 | ||
Mizuho Financial Group Inc. | 2.260% | 7/9/32 | 4,433 | 4,431 | ||
1 | Morgan Stanley | 4.350% | 9/8/26 | 53,761 | 61,065 | |
Morgan Stanley | 3.625% | 1/20/27 | 74,643 | 83,019 | ||
Morgan Stanley | 3.950% | 4/23/27 | 54,279 | 60,961 | ||
Morgan Stanley | 1.593% | 5/4/27 | 311 | 314 | ||
1 | Morgan Stanley | 3.591% | 7/22/28 | 78,341 | 86,998 | |
1 | Morgan Stanley | 3.772% | 1/24/29 | 69,092 | 77,313 | |
1 | Morgan Stanley | 4.431% | 1/23/30 | 69,676 | 81,470 | |
1 | Morgan Stanley | 2.699% | 1/22/31 | 86,552 | 90,671 | |
1 | Morgan Stanley | 3.622% | 4/1/31 | 74,930 | 83,945 | |
1 | Morgan Stanley | 1.794% | 2/13/32 | 89,196 | 86,366 | |
1 | Morgan Stanley | 1.928% | 4/28/32 | 43,230 | 42,264 | |
1 | Morgan Stanley | 2.239% | 7/21/32 | 87,584 | 87,836 | |
1 | Munich Re America Corp. | 7.450% | 12/15/26 | 3,333 | 4,354 | |
Nasdaq Inc. | 1.650% | 1/15/31 | 15,625 | 14,887 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | National Australia Bank Ltd. | 2.500% | 7/12/26 | 373 | 398 | |
1 | Natwest Group plc | 3.073% | 5/22/28 | 28,692 | 30,601 | |
1 | Natwest Group plc | 4.892% | 5/18/29 | 45,383 | 53,366 | |
1 | Natwest Group plc | 5.076% | 1/27/30 | 42,900 | 51,371 | |
1 | Natwest Group plc | 4.445% | 5/8/30 | 30,374 | 35,134 | |
1 | Natwest Group plc | 3.032% | 11/28/35 | 23,385 | 23,487 | |
Nomura Holdings Inc. | 2.172% | 7/14/28 | 25,040 | 25,071 | ||
Nomura Holdings Inc. | 3.103% | 1/16/30 | 50,723 | 53,529 | ||
Nomura Holdings Inc. | 2.679% | 7/16/30 | 8,444 | 8,620 | ||
Nomura Holdings Inc. | 2.608% | 7/14/31 | 30,200 | 30,519 | ||
Northern Trust Corp. | 3.650% | 8/3/28 | 11,025 | 12,572 | ||
Northern Trust Corp. | 3.150% | 5/3/29 | 14,650 | 16,223 | ||
Northern Trust Corp. | 1.950% | 5/1/30 | 25,329 | 25,835 | ||
1 | Northern Trust Corp. | 3.375% | 5/8/32 | 6,915 | 7,551 | |
Oaktree Specialty Lending Corp. | 2.700% | 1/15/27 | 3,280 | 3,313 | ||
ORIX Corp. | 3.700% | 7/18/27 | 10,834 | 12,139 | ||
ORIX Corp. | 2.250% | 3/9/31 | 12,979 | 13,170 | ||
Owl Rock Capital Corp. | 2.625% | 1/15/27 | 11,336 | 11,452 | ||
Owl Rock Capital Corp. | 2.875% | 6/11/28 | 17,790 | 17,885 | ||
Owl Rock Technology Finance Corp. | 2.500% | 1/15/27 | 4,855 | 4,886 | ||
PartnerRe Finance B LLC | 3.700% | 7/2/29 | 10,495 | 11,766 | ||
PartnerRe Finance B LLC | 4.500% | 10/1/50 | 12,670 | 13,313 | ||
PayPal Holdings Inc. | 2.650% | 10/1/26 | 29,769 | 31,992 | ||
PayPal Holdings Inc. | 2.850% | 10/1/29 | 38,689 | 41,736 | ||
PayPal Holdings Inc. | 2.300% | 6/1/30 | 21,850 | 22,722 | ||
1 | PNC Bank NA | 3.100% | 10/25/27 | 15,463 | 17,015 | |
1 | PNC Bank NA | 3.250% | 1/22/28 | 14,485 | 16,046 | |
1 | PNC Bank NA | 4.050% | 7/26/28 | 30,961 | 35,853 | |
1 | PNC Bank NA | 2.700% | 10/22/29 | 20,035 | 21,358 | |
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 4,381 | 4,688 | ||
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 31,597 | 34,759 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 42,733 | 47,722 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 37,993 | 39,931 | ||
PNC Financial Services Group Inc. | 2.307% | 4/23/32 | 29,790 | 30,686 | ||
Principal Financial Group Inc. | 3.100% | 11/15/26 | 11,408 | 12,392 | ||
Principal Financial Group Inc. | 3.700% | 5/15/29 | 13,525 | 15,290 | ||
Principal Financial Group Inc. | 2.125% | 6/15/30 | 8,764 | 8,844 | ||
Progressive Corp. | 2.450% | 1/15/27 | 15,630 | 16,706 | ||
Progressive Corp. | 4.000% | 3/1/29 | 11,617 | 13,438 | ||
Progressive Corp. | 6.625% | 3/1/29 | 1,802 | 2,390 | ||
Progressive Corp. | 3.200% | 3/26/30 | 19,528 | 21,604 | ||
Prospect Capital Corp. | 3.364% | 11/15/26 | 7,025 | 7,138 | ||
1 | Prudential Financial Inc. | 3.878% | 3/27/28 | 10,353 | 11,898 | |
1 | Prudential Financial Inc. | 2.100% | 3/10/30 | 11,385 | 11,639 | |
1 | Prudential Financial Inc. | 4.500% | 9/15/47 | 15,192 | 16,642 | |
1 | Prudential Financial Inc. | 5.700% | 9/15/48 | 15,497 | 18,218 | |
1 | Prudential Financial Inc. | 3.700% | 10/1/50 | 24,889 | 26,236 | |
Prudential plc | 3.125% | 4/14/30 | 24,863 | 27,122 | ||
Raymond James Financial Inc. | 4.650% | 4/1/30 | 29,711 | 35,712 | ||
Regions Financial Corp. | 1.800% | 8/12/28 | 16,040 | 16,030 | ||
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 7,035 | 7,858 | ||
Reinsurance Group of America Inc. | 3.900% | 5/15/29 | 13,780 | 15,570 | ||
Reinsurance Group of America Inc. | 3.150% | 6/15/30 | 18,751 | 20,179 | ||
RenaissanceRe Finance Inc. | 3.450% | 7/1/27 | 7,988 | 8,769 | ||
RenaissanceRe Holdings Ltd. | 3.600% | 4/15/29 | 6,200 | 6,889 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Santander Holdings USA Inc. | 3.244% | 10/5/26 | 44,055 | 47,223 | ||
Santander Holdings USA Inc. | 4.400% | 7/13/27 | 14,761 | 16,654 | ||
1 | Santander UK Group Holdings plc | 3.823% | 11/3/28 | 20,113 | 22,191 | |
Santander UK Group Holdings plc | 2.896% | 3/15/32 | 18,175 | 18,842 | ||
1 | State Street Corp. | 4.141% | 12/3/29 | 17,061 | 20,034 | |
State Street Corp. | 2.400% | 1/24/30 | 27,553 | 29,011 | ||
State Street Corp. | 2.200% | 3/3/31 | 25,663 | 26,217 | ||
State Street Corp. | 3.152% | 3/30/31 | 9,148 | 10,124 | ||
1 | State Street Corp. | 3.031% | 11/1/34 | 5,855 | 6,280 | |
Stifel Financial Corp. | 4.000% | 5/15/30 | 6,585 | 7,377 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 16,634 | 17,718 | ||
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 39,738 | 42,991 | ||
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 37,659 | 41,585 | ||
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 12,561 | 13,835 | ||
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 17,040 | 18,795 | ||
Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 15,460 | 17,200 | ||
Sumitomo Mitsui Financial Group Inc. | 3.944% | 7/19/28 | 21,824 | 24,925 | ||
Sumitomo Mitsui Financial Group Inc. | 4.306% | 10/16/28 | 11,332 | 13,242 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 69,232 | 74,410 | ||
Sumitomo Mitsui Financial Group Inc. | 3.202% | 9/17/29 | 11,246 | 12,030 | ||
Sumitomo Mitsui Financial Group Inc. | 2.724% | 9/27/29 | 17,100 | 18,015 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 37,610 | 39,825 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 33,215 | 33,393 | ||
Sumitomo Mitsui Financial Group Inc. | 2.142% | 9/23/30 | 27,951 | 27,400 | ||
Sumitomo Mitsui Financial Group Inc. | 1.710% | 1/12/31 | 15,725 | 15,283 | ||
SVB Financial Group | 2.100% | 5/15/28 | 6,650 | 6,797 | ||
SVB Financial Group | 3.125% | 6/5/30 | 13,683 | 14,819 | ||
SVB Financial Group | 1.800% | 2/2/31 | 12,479 | 12,085 | ||
Synchrony Financial | 3.950% | 12/1/27 | 23,992 | 26,778 | ||
Synchrony Financial | 5.150% | 3/19/29 | 12,355 | 14,673 | ||
TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 18,551 | 20,476 | ||
TD Ameritrade Holding Corp. | 2.750% | 10/1/29 | 13,158 | 14,088 | ||
1 | Toronto-Dominion Bank | 3.625% | 9/15/31 | 30,277 | 33,564 | |
1 | Truist Bank | 3.800% | 10/30/26 | 17,745 | 19,910 | |
1 | Truist Bank | 2.250% | 3/11/30 | 33,713 | 34,544 | |
1 | Truist Financial Corp. | 1.125% | 8/3/27 | 22,697 | 22,405 | |
1 | Truist Financial Corp. | 3.875% | 3/19/29 | 28,845 | 32,938 | |
1 | Truist Financial Corp. | 1.887% | 6/7/29 | 25,750 | 26,081 | |
1 | Truist Financial Corp. | 1.950% | 6/5/30 | 8,861 | 9,000 | |
Unum Group | 4.000% | 6/15/29 | 9,499 | 10,675 | ||
1 | US Bancorp | 3.150% | 4/27/27 | 32,080 | 35,343 | |
1 | US Bancorp | 3.900% | 4/26/28 | 14,599 | 16,841 | |
1 | US Bancorp | 3.000% | 7/30/29 | 23,384 | 25,472 | |
1 | US Bancorp | 1.375% | 7/22/30 | 24,749 | 23,978 | |
Visa Inc. | 1.900% | 4/15/27 | 38,121 | 39,634 | ||
Visa Inc. | 0.750% | 8/15/27 | 13,539 | 13,310 | ||
Visa Inc. | 2.750% | 9/15/27 | 20,496 | 22,287 | ||
Visa Inc. | 2.050% | 4/15/30 | 32,623 | 33,650 | ||
Visa Inc. | 1.100% | 2/15/31 | 23,811 | 22,653 | ||
1 | Voya Financial Inc. | 4.700% | 1/23/48 | 9,126 | 9,629 | |
Webster Financial Corp. | 4.100% | 3/25/29 | 6,686 | 7,465 | ||
Wells Fargo & Co. | 3.000% | 10/23/26 | 90,755 | 98,133 | ||
1 | Wells Fargo & Co. | 3.196% | 6/17/27 | 384 | 416 | |
1 | Wells Fargo & Co. | 4.300% | 7/22/27 | 60,094 | 68,926 | |
1 | Wells Fargo & Co. | 3.584% | 5/22/28 | 87,342 | 96,880 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Wells Fargo & Co. | 2.393% | 6/2/28 | 64,722 | 67,456 | |
1 | Wells Fargo & Co. | 4.150% | 1/24/29 | 47,765 | 54,991 | |
1 | Wells Fargo & Co. | 2.879% | 10/30/30 | 75,160 | 79,929 | |
1 | Wells Fargo & Co. | 2.572% | 2/11/31 | 78,273 | 81,371 | |
1 | Wells Fargo & Co. | 4.478% | 4/4/31 | 64,325 | 76,374 | |
Western Union Co. | 2.750% | 3/15/31 | 7,549 | 7,634 | ||
Westpac Banking Corp. | 1.150% | 6/3/26 | 393 | 396 | ||
Westpac Banking Corp. | 3.350% | 3/8/27 | 36,042 | 40,030 | ||
Westpac Banking Corp. | 3.400% | 1/25/28 | 11,375 | 12,755 | ||
Westpac Banking Corp. | 2.650% | 1/16/30 | 14,626 | 15,793 | ||
Westpac Banking Corp. | 2.150% | 6/3/31 | 26,372 | 26,999 | ||
1 | Westpac Banking Corp. | 4.322% | 11/23/31 | 34,370 | 38,207 | |
Westpac Banking Corp. | 4.110% | 7/24/34 | 37,700 | 41,661 | ||
Westpac Banking Corp. | 2.668% | 11/15/35 | 31,789 | 31,545 | ||
Willis North America Inc. | 4.500% | 9/15/28 | 14,855 | 17,169 | ||
Willis North America Inc. | 2.950% | 9/15/29 | 20,145 | 21,312 | ||
Wintrust Financial Corp. | 4.850% | 6/6/29 | 4,983 | 5,482 | ||
Zions Bancorp NA | 3.250% | 10/29/29 | 12,525 | 13,247 | ||
14,018,970 | ||||||
Health Care (8.9%) | ||||||
Abbott Laboratories | 3.750% | 11/30/26 | 42,070 | 47,576 | ||
Abbott Laboratories | 1.150% | 1/30/28 | 26,670 | 26,291 | ||
Abbott Laboratories | 1.400% | 6/30/30 | 10,366 | 10,114 | ||
AbbVie Inc. | 2.950% | 11/21/26 | 99,510 | 107,234 | ||
AbbVie Inc. | 4.250% | 11/14/28 | 55,246 | 64,030 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 127,167 | 138,983 | ||
Adventist Health System | 2.952% | 3/1/29 | 6,555 | 6,968 | ||
Advocate Health & Hospitals Corp. | 3.829% | 8/15/28 | 5,664 | 6,449 | ||
1 | Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 7,478 | 7,676 | |
Agilent Technologies Inc. | 3.050% | 9/22/26 | 7,998 | 8,625 | ||
Agilent Technologies Inc. | 2.750% | 9/15/29 | 7,607 | 8,035 | ||
Agilent Technologies Inc. | 2.100% | 6/4/30 | 13,358 | 13,353 | ||
Agilent Technologies Inc. | 2.300% | 3/12/31 | 23,445 | 23,765 | ||
AmerisourceBergen Corp. | 3.450% | 12/15/27 | 26,694 | 29,302 | ||
AmerisourceBergen Corp. | 2.800% | 5/15/30 | 8,781 | 9,227 | ||
AmerisourceBergen Corp. | 2.700% | 3/15/31 | 30,985 | 32,166 | ||
Amgen Inc. | 2.200% | 2/21/27 | 41,074 | 42,818 | ||
Amgen Inc. | 3.200% | 11/2/27 | 15,440 | 16,934 | ||
Amgen Inc. | 1.650% | 8/15/28 | 27,490 | 27,406 | ||
Amgen Inc. | 2.450% | 2/21/30 | 35,754 | 36,991 | ||
Amgen Inc. | 2.300% | 2/25/31 | 36,853 | 37,543 | ||
Amgen Inc. | 2.000% | 1/15/32 | 5,000 | 4,924 | ||
Anthem Inc. | 3.650% | 12/1/27 | 37,335 | 41,811 | ||
Anthem Inc. | 4.101% | 3/1/28 | 25,536 | 29,185 | ||
Anthem Inc. | 2.875% | 9/15/29 | 29,774 | 31,769 | ||
Anthem Inc. | 2.250% | 5/15/30 | 26,566 | 27,042 | ||
Anthem Inc. | 2.550% | 3/15/31 | 24,055 | 25,030 | ||
1 | Ascension Health | 2.532% | 11/15/29 | 21,490 | 22,774 | |
Astrazeneca Finance LLC | 1.750% | 5/28/28 | 25,900 | 26,276 | ||
Astrazeneca Finance LLC | 2.250% | 5/28/31 | 21,275 | 21,937 | ||
AstraZeneca plc | 3.125% | 6/12/27 | 19,931 | 21,787 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 31,636 | 36,523 | ||
AstraZeneca plc | 1.375% | 8/6/30 | 31,510 | 30,287 | ||
Banner Health | 2.338% | 1/1/30 | 6,900 | 7,128 | ||
Banner Health | 1.897% | 1/1/31 | 7,485 | 7,480 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Baxter International Inc. | 3.950% | 4/1/30 | 11,186 | 12,900 | ||
Baxter International Inc. | 1.730% | 4/1/31 | 11,005 | 10,768 | ||
1 | Baylor Scott & White Holdings | 1.777% | 11/15/30 | 4,425 | 4,387 | |
Becton Dickinson & Co. | 3.700% | 6/6/27 | 48,601 | 54,175 | ||
Becton Dickinson & Co. | 2.823% | 5/20/30 | 16,256 | 17,220 | ||
Becton Dickinson & Co. | 1.957% | 2/11/31 | 22,737 | 22,403 | ||
Biogen Inc. | 2.250% | 5/1/30 | 37,651 | 38,054 | ||
1 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 9,668 | 10,713 | |
1 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 1,550 | 1,556 | |
Boston Scientific Corp. | 4.000% | 3/1/28 | 1,945 | 2,235 | ||
Boston Scientific Corp. | 4.000% | 3/1/29 | 25,848 | 29,581 | ||
Boston Scientific Corp. | 2.650% | 6/1/30 | 37,127 | 38,684 | ||
Bristol-Myers Squibb Co. | 3.250% | 2/27/27 | 15,527 | 17,222 | ||
Bristol-Myers Squibb Co. | 1.125% | 11/13/27 | 15,780 | 15,684 | ||
Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 41,150 | 46,065 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 42,657 | 48,887 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 90,501 | 101,697 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 31,130 | 30,331 | ||
Cardinal Health Inc. | 3.410% | 6/15/27 | 23,840 | 26,151 | ||
1 | CHRISTUS Health | 4.341% | 7/1/28 | 7,853 | 9,092 | |
1 | Cigna Corp. | 3.400% | 3/1/27 | 30,683 | 33,787 | |
1 | Cigna Corp. | 3.050% | 10/15/27 | 10,312 | 11,184 | |
Cigna Corp. | 4.375% | 10/15/28 | 85,694 | 100,029 | ||
Cigna Corp. | 2.400% | 3/15/30 | 51,140 | 52,714 | ||
Cigna Corp. | 2.375% | 3/15/31 | 36,151 | 37,142 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 23,967 | 26,029 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 10,671 | 11,173 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 18,562 | 20,600 | ||
CVS Health Corp. | 6.250% | 6/1/27 | 6,671 | 8,313 | ||
CVS Health Corp. | 1.300% | 8/21/27 | 43,093 | 42,695 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 61,551 | 70,907 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 61,749 | 67,382 | ||
CVS Health Corp. | 3.750% | 4/1/30 | 42,325 | 47,695 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 48,431 | 47,168 | ||
CVS Health Corp. | 1.875% | 2/28/31 | 49,739 | 48,753 | ||
CVS Health Corp. | 2.125% | 9/15/31 | 10,000 | 9,971 | ||
DENTSPLY SIRONA Inc. | 3.250% | 6/1/30 | 17,772 | 19,252 | ||
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 19,121 | 20,150 | ||
Edwards Lifesciences Corp. | 4.300% | 6/15/28 | 13,478 | 15,657 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 26,808 | 30,156 | ||
Gilead Sciences Inc. | 2.950% | 3/1/27 | 38,799 | 41,904 | ||
Gilead Sciences Inc. | 1.200% | 10/1/27 | 15,125 | 14,903 | ||
Gilead Sciences Inc. | 1.650% | 10/1/30 | 4,626 | 4,512 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 52,977 | 60,878 | ||
GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 20,301 | 22,685 | ||
HCA Inc. | 4.500% | 2/15/27 | 33,733 | 38,224 | ||
HCA Inc. | 4.125% | 6/15/29 | 45,724 | 51,766 | ||
HCA Inc. | 2.375% | 7/15/31 | 22,630 | 22,639 | ||
Humana Inc. | 1.350% | 2/3/27 | 1,150 | 1,146 | ||
Humana Inc. | 3.950% | 3/15/27 | 12,858 | 14,456 | ||
Humana Inc. | 3.125% | 8/15/29 | 14,812 | 16,012 | ||
Humana Inc. | 4.875% | 4/1/30 | 11,430 | 13,850 | ||
Illumina Inc. | 2.550% | 3/23/31 | 12,100 | 12,402 | ||
Johnson & Johnson | 2.950% | 3/3/27 | 38,058 | 41,712 | ||
Johnson & Johnson | 0.950% | 9/1/27 | 37,568 | 37,176 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Johnson & Johnson | 2.900% | 1/15/28 | 30,471 | 33,281 | ||
Johnson & Johnson | 6.950% | 9/1/29 | 4,349 | 6,066 | ||
Johnson & Johnson | 1.300% | 9/1/30 | 38,227 | 37,448 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 17,600 | 19,335 | ||
Laboratory Corp. of America Holdings | 3.600% | 9/1/27 | 10,255 | 11,352 | ||
Laboratory Corp. of America Holdings | 2.950% | 12/1/29 | 18,189 | 19,357 | ||
Laboratory Corp. of America Holdings | 2.700% | 6/1/31 | 10,075 | 10,427 | ||
Medtronic Global Holdings SCA | 3.350% | 4/1/27 | 9,368 | 10,337 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 52,176 | 58,684 | ||
Merck & Co. Inc. | 1.450% | 6/24/30 | 27,863 | 27,404 | ||
1 | Mercy Health | 4.302% | 7/1/28 | 7,370 | 8,552 | |
Mylan Inc. | 4.550% | 4/15/28 | 15,503 | 17,883 | ||
Novartis Capital Corp. | 2.000% | 2/14/27 | 45,774 | 47,692 | ||
Novartis Capital Corp. | 3.100% | 5/17/27 | 27,770 | 30,441 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 19,342 | 20,133 | ||
1 | Ochsner LSU Health System of North Louisiana | 2.510% | 5/15/31 | 7,050 | 7,069 | |
PerkinElmer Inc. | 3.300% | 9/15/29 | 22,462 | 24,375 | ||
PerkinElmer Inc. | 2.550% | 3/15/31 | 8,137 | 8,380 | ||
Perrigo Finance Unlimited Co. | 3.150% | 6/15/30 | 14,721 | 15,408 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 27,546 | 30,317 | ||
Pfizer Inc. | 3.600% | 9/15/28 | 14,652 | 16,671 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 51,513 | 58,150 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 33,663 | 36,099 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 30,944 | 30,986 | ||
Pfizer Inc. | 1.750% | 8/18/31 | 20,300 | 20,199 | ||
Pharmacia LLC | 6.600% | 12/1/28 | 11,894 | 16,023 | ||
1 | Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 9,841 | 10,543 | |
1 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 10,783 | 11,351 | |
Quest Diagnostics Inc. | 4.200% | 6/30/29 | 15,216 | 17,634 | ||
Quest Diagnostics Inc. | 2.950% | 6/30/30 | 19,608 | 20,979 | ||
Quest Diagnostics Inc. | 2.800% | 6/30/31 | 3,624 | 3,837 | ||
Regeneron Pharmaceuticals Inc. | 1.750% | 9/15/30 | 29,781 | 28,660 | ||
Royalty Pharma plc | 1.750% | 9/2/27 | 16,890 | 16,939 | ||
Royalty Pharma plc | 2.200% | 9/2/30 | 30,857 | 30,587 | ||
Royalty Pharma plc | 2.150% | 9/2/31 | 8,000 | 7,812 | ||
1 | Rush Obligated Group | 3.922% | 11/15/29 | 7,766 | 8,887 | |
Sanofi | 3.625% | 6/19/28 | 21,463 | 24,536 | ||
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 78,750 | 85,458 | ||
Smith & Nephew plc | 2.032% | 10/14/30 | 24,675 | 24,304 | ||
1 | SSM Health Care Corp. | 3.823% | 6/1/27 | 11,977 | 13,535 | |
1 | Stanford Health Care | 3.310% | 8/15/30 | 7,375 | 8,189 | |
STERIS Irish FinCo Unltd. Co. | 2.700% | 3/15/31 | 22,455 | 23,177 | ||
Stryker Corp. | 3.650% | 3/7/28 | 10,117 | 11,395 | ||
Stryker Corp. | 1.950% | 6/15/30 | 27,409 | 27,462 | ||
1 | Sutter Health | 3.695% | 8/15/28 | 6,999 | 7,888 | |
1 | Sutter Health | 2.294% | 8/15/30 | 18,275 | 18,721 | |
Takeda Pharmaceutical Co. Ltd. | 5.000% | 11/26/28 | 50,764 | 61,319 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 56,901 | 56,697 | ||
Thermo Fisher Scientific Inc. | 2.950% | 9/19/26 | 25,428 | 27,464 | ||
Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 18,595 | 20,392 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 27,000 | 27,261 | ||
Thermo Fisher Scientific Inc. | 2.600% | 10/1/29 | 18,547 | 19,591 | ||
Thermo Fisher Scientific Inc. | 4.497% | 3/25/30 | 26,709 | 31,903 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 8,000 | 7,987 | ||
1 | Toledo Hospital | 5.325% | 11/15/28 | 7,852 | 9,047 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 19,582 | 21,789 | ||
UnitedHealth Group Inc. | 3.375% | 4/15/27 | 11,307 | 12,572 | ||
UnitedHealth Group Inc. | 2.950% | 10/15/27 | 25,857 | 28,324 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 24,782 | 28,409 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 11,304 | 13,038 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 34,386 | 37,334 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 14,818 | 15,087 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 54,620 | 56,578 | ||
2 | Universal Health Services Inc. | 2.650% | 10/15/30 | 20,064 | 20,444 | |
2 | Viatris Inc. | 2.300% | 6/22/27 | 21,281 | 21,898 | |
2 | Viatris Inc. | 2.700% | 6/22/30 | 44,110 | 45,096 | |
Zimmer Biomet Holdings Inc. | 3.550% | 3/20/30 | 19,646 | 21,736 | ||
Zoetis Inc. | 3.000% | 9/12/27 | 15,528 | 16,865 | ||
Zoetis Inc. | 3.900% | 8/20/28 | 17,278 | 19,701 | ||
Zoetis Inc. | 2.000% | 5/15/30 | 12,039 | 12,108 | ||
4,344,869 | ||||||
Industrials (7.1%) | ||||||
1 | 3M Co. | 2.250% | 9/19/26 | 26,563 | 28,098 | |
3M Co. | 2.875% | 10/15/27 | 19,998 | 21,859 | ||
1 | 3M Co. | 3.625% | 9/14/28 | 8,039 | 9,160 | |
1 | 3M Co. | 3.375% | 3/1/29 | 21,696 | 24,245 | |
3M Co. | 2.375% | 8/26/29 | 25,169 | 26,491 | ||
3M Co. | 3.050% | 4/15/30 | 11,762 | 12,929 | ||
Acuity Brands Lighting Inc. | 2.150% | 12/15/30 | 12,387 | 12,275 | ||
Allegion plc | 3.500% | 10/1/29 | 11,107 | 12,206 | ||
Allegion US Holding Co. Inc. | 3.550% | 10/1/27 | 8,355 | 9,109 | ||
1 | American Airlines Pass-Through Trust Class AA Series 2015-2 | 3.600% | 9/22/27 | 2,728 | 2,821 | |
1 | American Airlines Pass-Through Trust Class AA Series 2016-1 | 3.575% | 1/15/28 | 8,895 | 9,162 | |
1 | American Airlines Pass-Through Trust Class AA Series 2016-2 | 3.200% | 6/15/28 | 9,830 | 9,932 | |
1 | American Airlines Pass-Through Trust Class AA Series 2016-3 | 3.000% | 10/15/28 | 6,592 | 6,613 | |
1 | American Airlines Pass-Through Trust Class AA Series 2017-1 | 3.650% | 2/15/29 | 9,180 | 9,508 | |
1 | American Airlines Pass-Through Trust Class AA Series 2017-2 | 3.350% | 10/15/29 | 10,733 | 10,952 | |
Amphenol Corp. | 4.350% | 6/1/29 | 8,303 | 9,729 | ||
Amphenol Corp. | 2.800% | 2/15/30 | 25,686 | 27,234 | ||
Boeing Co. | 2.700% | 2/1/27 | 22,549 | 23,396 | ||
Boeing Co. | 2.800% | 3/1/27 | 15,385 | 16,010 | ||
Boeing Co. | 5.040% | 5/1/27 | 45,908 | 52,947 | ||
Boeing Co. | 3.250% | 2/1/28 | 13,966 | 14,874 | ||
Boeing Co. | 3.250% | 3/1/28 | 17,621 | 18,582 | ||
Boeing Co. | 3.450% | 11/1/28 | 14,019 | 14,989 | ||
Boeing Co. | 3.200% | 3/1/29 | 20,360 | 21,380 | ||
Boeing Co. | 2.950% | 2/1/30 | 29,439 | 30,263 | ||
Boeing Co. | 5.150% | 5/1/30 | 106,531 | 126,333 | ||
Boeing Co. | 3.625% | 2/1/31 | 40,915 | 44,385 | ||
Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 19,858 | 22,045 | ||
Canadian National Railway Co. | 6.900% | 7/15/28 | 6,548 | 8,739 | ||
Canadian Pacific Railway Co. | 4.000% | 6/1/28 | 8,113 | 9,232 | ||
Canadian Pacific Railway Co. | 2.050% | 3/5/30 | 19,387 | 19,392 | ||
Carrier Global Corp. | 2.493% | 2/15/27 | 26,993 | 28,431 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Carrier Global Corp. | 2.722% | 2/15/30 | 78,750 | 82,690 | ||
Carrier Global Corp. | 2.700% | 2/15/31 | 17,790 | 18,574 | ||
1 | Caterpillar Financial Services Corp. | 1.100% | 9/14/27 | 15,225 | 15,179 | |
Caterpillar Inc. | 2.600% | 9/19/29 | 8,210 | 8,764 | ||
Caterpillar Inc. | 2.600% | 4/9/30 | 25,471 | 27,176 | ||
Caterpillar Inc. | 1.900% | 3/12/31 | 11,700 | 11,813 | ||
CH Robinson Worldwide Inc. | 4.200% | 4/15/28 | 13,154 | 15,100 | ||
1 | CNH Industrial NV | 3.850% | 11/15/27 | 15,876 | 17,705 | |
CSX Corp. | 2.600% | 11/1/26 | 18,791 | 20,041 | ||
CSX Corp. | 3.250% | 6/1/27 | 25,421 | 27,872 | ||
CSX Corp. | 3.800% | 3/1/28 | 18,806 | 21,177 | ||
CSX Corp. | 4.250% | 3/15/29 | 24,906 | 28,970 | ||
CSX Corp. | 2.400% | 2/15/30 | 8,974 | 9,281 | ||
Cummins Inc. | 1.500% | 9/1/30 | 20,226 | 19,589 | ||
Deere & Co. | 5.375% | 10/16/29 | 4,005 | 5,121 | ||
Deere & Co. | 3.100% | 4/15/30 | 15,866 | 17,558 | ||
2 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 16,000 | 17,836 | |
1 | Delta Air Lines Pass-Through Trust Class AA Series 2015-1 | 3.625% | 7/30/27 | 277 | 298 | |
1 | Delta Air Lines Pass-Through Trust Class AA Series 2020-1 | 2.000% | 6/10/28 | 15,895 | 15,828 | |
Dover Corp. | 2.950% | 11/4/29 | 7,259 | 7,827 | ||
Eaton Corp. | 3.103% | 9/15/27 | 13,700 | 14,948 | ||
Emerson Electric Co. | 0.875% | 10/15/26 | 19,263 | 19,016 | ||
Emerson Electric Co. | 1.800% | 10/15/27 | 16,256 | 16,699 | ||
Emerson Electric Co. | 1.950% | 10/15/30 | 6,628 | 6,721 | ||
FedEx Corp. | 3.400% | 2/15/28 | 12,475 | 13,849 | ||
FedEx Corp. | 4.200% | 10/17/28 | 8,722 | 10,144 | ||
FedEx Corp. | 3.100% | 8/5/29 | 20,372 | 22,058 | ||
FedEx Corp. | 4.250% | 5/15/30 | 20,756 | 24,253 | ||
FedEx Corp. | 2.400% | 5/15/31 | 25,285 | 25,996 | ||
Flowserve Corp. | 3.500% | 10/1/30 | 12,286 | 12,964 | ||
General Dynamics Corp. | 3.500% | 4/1/27 | 15,761 | 17,589 | ||
General Dynamics Corp. | 2.625% | 11/15/27 | 13,283 | 14,284 | ||
General Dynamics Corp. | 3.750% | 5/15/28 | 22,137 | 25,215 | ||
General Dynamics Corp. | 3.625% | 4/1/30 | 26,349 | 29,953 | ||
General Dynamics Corp. | 2.250% | 6/1/31 | 3,125 | 3,238 | ||
General Electric Co. | 3.450% | 5/1/27 | 36,067 | 39,763 | ||
General Electric Co. | 3.625% | 5/1/30 | 41,681 | 46,863 | ||
2 | GXO Logistics Inc. | 2.650% | 7/15/31 | 8,470 | 8,594 | |
Honeywell International Inc. | 2.500% | 11/1/26 | 33,802 | 36,045 | ||
Honeywell International Inc. | 1.100% | 3/1/27 | 5,000 | 4,987 | ||
Honeywell International Inc. | 2.700% | 8/15/29 | 13,031 | 13,990 | ||
Honeywell International Inc. | 1.950% | 6/1/30 | 36,505 | 37,271 | ||
Honeywell International Inc. | 1.750% | 9/1/31 | 3,000 | 2,980 | ||
Huntington Ingalls Industries Inc. | 3.483% | 12/1/27 | 9,441 | 10,302 | ||
2 | Huntington Ingalls Industries Inc. | 2.043% | 8/16/28 | 7,125 | 7,132 | |
Huntington Ingalls Industries Inc. | 4.200% | 5/1/30 | 15,240 | 17,473 | ||
IDEX Corp. | 3.000% | 5/1/30 | 21,341 | 22,728 | ||
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 19,535 | 21,007 | ||
1 | John Deere Capital Corp. | 2.250% | 9/14/26 | 24,817 | 26,251 | |
1 | John Deere Capital Corp. | 1.750% | 3/9/27 | 19,821 | 20,407 | |
1 | John Deere Capital Corp. | 2.800% | 9/8/27 | 16,284 | 17,689 | |
1 | John Deere Capital Corp. | 3.050% | 1/6/28 | 5,895 | 6,490 | |
1 | John Deere Capital Corp. | 1.500% | 3/6/28 | 10,103 | 10,168 | |
1 | John Deere Capital Corp. | 3.450% | 3/7/29 | 11,802 | 13,328 | |
1 | John Deere Capital Corp. | 2.800% | 7/18/29 | 11,090 | 12,041 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | John Deere Capital Corp. | 2.450% | 1/9/30 | 28,497 | 30,103 | |
John Deere Capital Corp. | 1.450% | 1/15/31 | 10,350 | 10,084 | ||
1 | John Deere Capital Corp. | 2.000% | 6/17/31 | 9,141 | 9,278 | |
Johnson Controls International plc | 1.750% | 9/15/30 | 16,885 | 16,596 | ||
Kansas City Southern | 2.875% | 11/15/29 | 9,478 | 10,031 | ||
Kennametal Inc. | 4.625% | 6/15/28 | 6,273 | 7,133 | ||
Keysight Technologies Inc. | 4.600% | 4/6/27 | 13,086 | 15,264 | ||
Keysight Technologies Inc. | 3.000% | 10/30/29 | 16,659 | 17,962 | ||
Kirby Corp. | 4.200% | 3/1/28 | 11,060 | 12,336 | ||
L3Harris Technologies Inc. | 3.850% | 12/15/26 | 5,772 | 6,454 | ||
1 | L3Harris Technologies Inc. | 4.400% | 6/15/28 | 45,754 | 52,869 | |
L3Harris Technologies Inc. | 2.900% | 12/15/29 | 12,909 | 13,740 | ||
L3Harris Technologies Inc. | 1.800% | 1/15/31 | 15,185 | 14,831 | ||
Lennox International Inc. | 1.700% | 8/1/27 | 7,344 | 7,383 | ||
Lockheed Martin Corp. | 1.850% | 6/15/30 | 17,891 | 18,084 | ||
2 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 12,000 | 13,052 | |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 4,517 | 6,081 | ||
Norfolk Southern Corp. | 3.150% | 6/1/27 | 7,222 | 7,872 | ||
Norfolk Southern Corp. | 3.800% | 8/1/28 | 13,008 | 14,745 | ||
Norfolk Southern Corp. | 2.550% | 11/1/29 | 13,586 | 14,279 | ||
Norfolk Southern Corp. | 2.300% | 5/15/31 | 5,350 | 5,483 | ||
Northrop Grumman Corp. | 3.200% | 2/1/27 | 25,889 | 28,263 | ||
Northrop Grumman Corp. | 3.250% | 1/15/28 | 41,111 | 44,924 | ||
Northrop Grumman Corp. | 4.400% | 5/1/30 | 41,955 | 49,816 | ||
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 5,502 | 8,066 | ||
nVent Finance Sarl | 4.550% | 4/15/28 | 10,701 | 11,879 | ||
Oshkosh Corp. | 4.600% | 5/15/28 | 7,770 | 9,025 | ||
Oshkosh Corp. | 3.100% | 3/1/30 | 6,965 | 7,436 | ||
Otis Worldwide Corp. | 2.293% | 4/5/27 | 16,878 | 17,681 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 37,485 | 39,184 | ||
Parker-Hannifin Corp. | 3.250% | 3/1/27 | 20,103 | 21,855 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 26,369 | 28,679 | ||
Pentair Finance Sarl | 4.500% | 7/1/29 | 2,766 | 3,220 | ||
Raytheon Technologies Corp. | 2.650% | 11/1/26 | 3,545 | 3,789 | ||
Raytheon Technologies Corp. | 3.500% | 3/15/27 | 35,104 | 38,796 | ||
Raytheon Technologies Corp. | 3.125% | 5/4/27 | 32,557 | 35,496 | ||
Raytheon Technologies Corp. | 7.200% | 8/15/27 | 3,118 | 4,100 | ||
Raytheon Technologies Corp. | 6.700% | 8/1/28 | 6,587 | 8,668 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 88,969 | 102,446 | ||
Raytheon Technologies Corp. | 7.500% | 9/15/29 | 7,049 | 9,894 | ||
Raytheon Technologies Corp. | 2.250% | 7/1/30 | 18,946 | 19,360 | ||
Raytheon Technologies Corp. | 1.900% | 9/1/31 | 15,300 | 15,103 | ||
Republic Services Inc. | 3.375% | 11/15/27 | 21,711 | 23,938 | ||
Republic Services Inc. | 3.950% | 5/15/28 | 11,094 | 12,626 | ||
Republic Services Inc. | 2.300% | 3/1/30 | 18,309 | 18,785 | ||
Republic Services Inc. | 1.450% | 2/15/31 | 6,372 | 6,066 | ||
Rockwell Automation Inc. | 3.500% | 3/1/29 | 7,316 | 8,251 | ||
Rockwell Automation Inc. | 1.750% | 8/15/31 | 1,900 | 1,887 | ||
1 | Ryder System Inc. | 2.900% | 12/1/26 | 10,713 | 11,494 | |
Southwest Airlines Co. | 3.000% | 11/15/26 | 9,695 | 10,371 | ||
Southwest Airlines Co. | 5.125% | 6/15/27 | 53,163 | 62,234 | ||
Southwest Airlines Co. | 3.450% | 11/16/27 | 3,530 | 3,827 | ||
Southwest Airlines Co. | 2.625% | 2/10/30 | 15,150 | 15,476 | ||
1 | Spirit Airlines Pass-Through Trust Class A Series 2015-1 | 4.100% | 4/1/28 | 2,144 | 2,227 | |
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 18,525 | 19,058 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 47,948 | 50,050 | ||
Textron Inc. | 3.650% | 3/15/27 | 13,873 | 15,404 | ||
Textron Inc. | 3.375% | 3/1/28 | 5,993 | 6,527 | ||
Textron Inc. | 3.900% | 9/17/29 | 10,931 | 12,330 | ||
Textron Inc. | 3.000% | 6/1/30 | 7,935 | 8,436 | ||
Textron Inc. | 2.450% | 3/15/31 | 2,490 | 2,530 | ||
Timken Co. | 4.500% | 12/15/28 | 7,366 | 8,339 | ||
Trane Technologies Global Holding Co. Ltd. | 3.750% | 8/21/28 | 13,607 | 15,316 | ||
Trane Technologies Luxembourg Finance SA | 3.800% | 3/21/29 | 18,418 | 20,890 | ||
Trimble Inc. | 4.900% | 6/15/28 | 14,803 | 17,270 | ||
Tyco Electronics Group SA | 3.125% | 8/15/27 | 11,347 | 12,418 | ||
Union Pacific Corp. | 2.150% | 2/5/27 | 15,424 | 16,079 | ||
Union Pacific Corp. | 3.000% | 4/15/27 | 12,981 | 14,079 | ||
Union Pacific Corp. | 3.950% | 9/10/28 | 24,901 | 28,490 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 14,775 | 16,676 | ||
Union Pacific Corp. | 2.400% | 2/5/30 | 19,022 | 19,742 | ||
Union Pacific Corp. | 2.375% | 5/20/31 | 17,045 | 17,631 | ||
2 | Union Pacific Corp. | 2.891% | 4/6/36 | 10,000 | 10,510 | |
1 | United Airlines Pass-Through Trust Class A Series 2014-2 | 3.750% | 9/3/26 | 8,986 | 9,499 | |
1 | United Airlines Pass-Through Trust Class A Series 2020-1 | 5.875% | 10/15/27 | 77,254 | 85,910 | |
1 | United Airlines Pass-Through Trust Class AA Series 2015-1 | 3.450% | 12/1/27 | 6,388 | 6,720 | |
1 | United Airlines Pass-Through Trust Class AA Series 2016-1 | 3.100% | 7/7/28 | 9,783 | 10,238 | |
1 | United Airlines Pass-Through Trust Class A Series 2016-1 | 3.450% | 7/7/28 | 3,424 | 3,457 | |
1 | United Airlines Pass-Through Trust Class AA Series 2016-2 | 2.875% | 10/7/28 | 7,992 | 8,146 | |
1 | United Airlines Pass-Through Trust Class AA Series 2018-1 | 3.500% | 3/1/30 | 3,666 | 3,845 | |
1 | United Airlines Pass-Through Trust Class AA Series 2019-1 | 4.150% | 8/25/31 | 7,715 | 8,417 | |
United Parcel Service Inc. | 2.400% | 11/15/26 | 12,008 | 12,801 | ||
United Parcel Service Inc. | 3.050% | 11/15/27 | 22,920 | 25,440 | ||
United Parcel Service Inc. | 3.400% | 3/15/29 | 20,317 | 22,822 | ||
United Parcel Service Inc. | 2.500% | 9/1/29 | 12,432 | 13,241 | ||
United Parcel Service Inc. | 4.450% | 4/1/30 | 16,799 | 20,296 | ||
1 | US Airways Pass-Through Trust Class A Series 2012-1 | 5.900% | 10/1/24 | 572 | 601 | |
2 | Vontier Corp. | 2.400% | 4/1/28 | 11,970 | 11,986 | |
2 | Vontier Corp. | 2.950% | 4/1/31 | 15,092 | 15,275 | |
Waste Connections Inc. | 4.250% | 12/1/28 | 10,094 | 11,774 | ||
Waste Connections Inc. | 3.500% | 5/1/29 | 9,720 | 10,782 | ||
Waste Connections Inc. | 2.600% | 2/1/30 | 18,572 | 19,432 | ||
Waste Management Inc. | 3.150% | 11/15/27 | 26,306 | 28,909 | ||
Waste Management Inc. | 1.150% | 3/15/28 | 13,265 | 12,931 | ||
Waste Management Inc. | 2.000% | 6/1/29 | 4,705 | 4,793 | ||
Waste Management Inc. | 1.500% | 3/15/31 | 15,698 | 15,059 | ||
Westinghouse Air Brake Technologies Corp. | 3.450% | 11/15/26 | 17,976 | 19,323 | ||
Westinghouse Air Brake Technologies Corp. | 4.950% | 9/15/28 | 30,677 | 35,759 | ||
Xylem Inc. | 3.250% | 11/1/26 | 8,864 | 9,710 | ||
Xylem Inc. | 1.950% | 1/30/28 | 17,191 | 17,482 | ||
Xylem Inc. | 2.250% | 1/30/31 | 11,877 | 12,057 | ||
3,471,158 | ||||||
Materials (2.9%) | ||||||
Air Products and Chemicals Inc. | 1.850% | 5/15/27 | 23,156 | 24,000 | ||
Air Products and Chemicals Inc. | 2.050% | 5/15/30 | 11,759 | 12,092 | ||
Amcor Finance USA Inc. | 4.500% | 5/15/28 | 8,225 | 9,615 | ||
1 | Amcor Flexibles North America Inc. | 3.100% | 9/15/26 | 6,123 | 6,574 | |
Amcor Flexibles North America Inc. | 2.630% | 6/19/30 | 23,176 | 24,078 | ||
Amcor Flexibles North America Inc. | 2.690% | 5/25/31 | 6,800 | 7,091 | ||
AngloGold Ashanti Holdings plc | 3.750% | 10/1/30 | 14,840 | 15,564 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ArcelorMittal SA | 4.250% | 7/16/29 | 10,557 | 11,829 | ||
2 | Berry Global Inc. | 1.650% | 1/15/27 | 14,030 | 14,020 | |
Cabot Corp. | 4.000% | 7/1/29 | 6,075 | 6,669 | ||
Carlisle Cos. Inc. | 3.750% | 12/1/27 | 11,362 | 12,671 | ||
Carlisle Cos. Inc. | 2.750% | 3/1/30 | 16,354 | 17,147 | ||
Celanese US Holdings LLC | 1.400% | 8/5/26 | 8,800 | 8,784 | ||
Celulosa Arauco y Constitucion SA | 3.875% | 11/2/27 | 9,978 | 10,806 | ||
Dow Chemical Co. | 4.800% | 11/30/28 | 14,435 | 17,333 | ||
Dow Chemical Co. | 7.375% | 11/1/29 | 4,655 | 6,488 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 32,529 | 32,753 | ||
DuPont de Nemours Inc. | 4.725% | 11/15/28 | 40,450 | 48,218 | ||
Eagle Materials Inc. | 2.500% | 7/1/31 | 18,600 | 18,763 | ||
Eastman Chemical Co. | 4.500% | 12/1/28 | 11,252 | 13,164 | ||
Ecolab Inc. | 2.700% | 11/1/26 | 30,122 | 32,373 | ||
Ecolab Inc. | 3.250% | 12/1/27 | 13,232 | 14,652 | ||
Ecolab Inc. | 4.800% | 3/24/30 | 19,376 | 23,796 | ||
Ecolab Inc. | 1.300% | 1/30/31 | 6,093 | 5,829 | ||
EI du Pont de Nemours & Co. | 2.300% | 7/15/30 | 11,716 | 12,106 | ||
Fibria Overseas Finance Ltd. | 5.500% | 1/17/27 | 10,717 | 12,375 | ||
FMC Corp. | 3.200% | 10/1/26 | 18,069 | 19,482 | ||
FMC Corp. | 3.450% | 10/1/29 | 14,277 | 15,588 | ||
2 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 4,700 | 4,875 | |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 12,342 | 17,776 | ||
2 | Georgia-Pacific LLC | 2.300% | 4/30/30 | 7,900 | 8,190 | |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 3,277 | 5,217 | ||
Huntsman International LLC | 4.500% | 5/1/29 | 18,224 | 20,896 | ||
Huntsman International LLC | 2.950% | 6/15/31 | 10,175 | 10,545 | ||
International Flavors & Fragrances Inc. | 4.450% | 9/26/28 | 6,936 | 8,103 | ||
Kinross Gold Corp. | 4.500% | 7/15/27 | 12,429 | 14,287 | ||
Linde Inc. | 1.100% | 8/10/30 | 16,080 | 15,239 | ||
LYB International Finance II BV | 3.500% | 3/2/27 | 16,421 | 18,061 | ||
LYB International Finance III LLC | 3.375% | 5/1/30 | 20,208 | 22,267 | ||
LYB International Finance III LLC | 2.250% | 10/1/30 | 13,780 | 13,999 | ||
Martin Marietta Materials Inc. | 3.450% | 6/1/27 | 6,098 | 6,691 | ||
Martin Marietta Materials Inc. | 3.500% | 12/15/27 | 10,010 | 11,114 | ||
1 | Martin Marietta Materials Inc. | 2.500% | 3/15/30 | 15,830 | 16,366 | |
Martin Marietta Materials Inc. | 2.400% | 7/15/31 | 15,599 | 15,977 | ||
Mosaic Co. | 4.050% | 11/15/27 | 16,399 | 18,546 | ||
NewMarket Corp. | 2.700% | 3/18/31 | 4,875 | 4,946 | ||
Newmont Corp. | 2.800% | 10/1/29 | 25,433 | 26,745 | ||
Newmont Corp. | 2.250% | 10/1/30 | 24,953 | 25,152 | ||
Nucor Corp. | 3.950% | 5/1/28 | 9,551 | 10,908 | ||
Nucor Corp. | 2.700% | 6/1/30 | 12,397 | 13,103 | ||
Nutrien Ltd. | 4.000% | 12/15/26 | 13,346 | 15,009 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 10,324 | 11,917 | ||
Nutrien Ltd. | 2.950% | 5/13/30 | 20,752 | 22,175 | ||
Packaging Corp. of America | 3.400% | 12/15/27 | 10,648 | 11,735 | ||
Packaging Corp. of America | 3.000% | 12/15/29 | 9,280 | 9,925 | ||
PPG Industries Inc. | 3.750% | 3/15/28 | 15,953 | 18,101 | ||
PPG Industries Inc. | 2.800% | 8/15/29 | 8,167 | 8,686 | ||
PPG Industries Inc. | 2.550% | 6/15/30 | 13,241 | 13,847 | ||
Reliance Steel & Aluminum Co. | 2.150% | 8/15/30 | 8,449 | 8,380 | ||
Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 4,060 | 5,805 | ||
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 13,239 | 17,916 | ||
Rohm & Haas Co. | 7.850% | 7/15/29 | 11,305 | 15,836 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
RPM International Inc. | 3.750% | 3/15/27 | 13,087 | 14,408 | ||
RPM International Inc. | 4.550% | 3/1/29 | 12,901 | 14,941 | ||
Sherwin-Williams Co. | 3.450% | 6/1/27 | 9,977 | 11,032 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 40,233 | 43,249 | ||
Sherwin-Williams Co. | 2.300% | 5/15/30 | 18,427 | 18,859 | ||
Sonoco Products Co. | 3.125% | 5/1/30 | 12,799 | 13,852 | ||
Steel Dynamics Inc. | 1.650% | 10/15/27 | 9,246 | 9,247 | ||
Steel Dynamics Inc. | 3.450% | 4/15/30 | 24,824 | 27,201 | ||
Steel Dynamics Inc. | 3.250% | 1/15/31 | 19,938 | 21,651 | ||
Suzano Austria GmbH | 6.000% | 1/15/29 | 44,943 | 53,697 | ||
Suzano Austria GmbH | 5.000% | 1/15/30 | 32,849 | 37,363 | ||
Suzano Austria GmbH | 3.750% | 1/15/31 | 23,812 | 25,047 | ||
Teck Resources Ltd. | 3.900% | 7/15/30 | 13,525 | 14,769 | ||
Vale Overseas Ltd. | 3.750% | 7/8/30 | 37,578 | 40,044 | ||
Vulcan Materials Co. | 3.900% | 4/1/27 | 9,932 | 11,230 | ||
Vulcan Materials Co. | 3.500% | 6/1/30 | 18,810 | 20,929 | ||
Westlake Chemical Corp. | 3.375% | 6/15/30 | 5,402 | 5,877 | ||
WestRock MWV LLC | 8.200% | 1/15/30 | 4,268 | 6,045 | ||
WestRock MWV LLC | 7.950% | 2/15/31 | 2,985 | 4,278 | ||
WRKCo Inc. | 3.375% | 9/15/27 | 13,860 | 15,176 | ||
WRKCo Inc. | 4.000% | 3/15/28 | 11,255 | 12,743 | ||
WRKCo Inc. | 3.900% | 6/1/28 | 18,633 | 21,019 | ||
WRKCo Inc. | 4.900% | 3/15/29 | 30,768 | 36,917 | ||
1,401,769 | ||||||
Real Estate (6.9%) | ||||||
Agree LP | 2.000% | 6/15/28 | 5,300 | 5,322 | ||
Agree LP | 2.900% | 10/1/30 | 9,343 | 9,824 | ||
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 448 | 504 | ||
Alexandria Real Estate Equities Inc. | 3.800% | 4/15/26 | 224 | 250 | ||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 6,903 | 7,745 | ||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 9,854 | 11,160 | ||
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 5,206 | 6,148 | ||
Alexandria Real Estate Equities Inc. | 2.750% | 12/15/29 | 16,353 | 17,249 | ||
Alexandria Real Estate Equities Inc. | 4.700% | 7/1/30 | 11,974 | 14,406 | ||
Alexandria Real Estate Equities Inc. | 4.900% | 12/15/30 | 25,655 | 31,602 | ||
Alexandria Real Estate Equities Inc. | 3.375% | 8/15/31 | 4,793 | 5,305 | ||
American Assets Trust LP | 3.375% | 2/1/31 | 12,111 | 12,609 | ||
American Campus Communities Operating Partnership LP | 3.300% | 7/15/26 | 373 | 402 | ||
American Campus Communities Operating Partnership LP | 3.625% | 11/15/27 | 14,015 | 15,343 | ||
American Campus Communities Operating Partnership LP | 2.850% | 2/1/30 | 10,553 | 10,968 | ||
American Campus Communities Operating Partnership LP | 3.875% | 1/30/31 | 6,408 | 7,211 | ||
American Homes 4 Rent LP | 4.250% | 2/15/28 | 9,867 | 11,305 | ||
American Homes 4 Rent LP | 4.900% | 2/15/29 | 9,077 | 10,736 | ||
American Homes 4 Rent LP | 2.375% | 7/15/31 | 11,325 | 11,396 | ||
American Tower Corp. | 3.375% | 10/15/26 | 23,222 | 25,267 | ||
American Tower Corp. | 2.750% | 1/15/27 | 18,933 | 20,011 | ||
American Tower Corp. | 3.125% | 1/15/27 | 21,905 | 23,557 | ||
American Tower Corp. | 3.550% | 7/15/27 | 13,633 | 14,998 | ||
American Tower Corp. | 3.600% | 1/15/28 | 17,793 | 19,597 | ||
American Tower Corp. | 1.500% | 1/31/28 | 15,824 | 15,506 | ||
American Tower Corp. | 3.950% | 3/15/29 | 16,918 | 19,016 | ||
American Tower Corp. | 3.800% | 8/15/29 | 40,528 | 45,253 | ||
American Tower Corp. | 2.900% | 1/15/30 | 21,581 | 22,704 | ||
American Tower Corp. | 2.100% | 6/15/30 | 17,545 | 17,356 | ||
American Tower Corp. | 1.875% | 10/15/30 | 14,809 | 14,376 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Tower Corp. | 2.700% | 4/15/31 | 21,925 | 22,740 | ||
1 | AvalonBay Communities Inc. | 2.900% | 10/15/26 | 11,180 | 12,037 | |
1 | AvalonBay Communities Inc. | 3.350% | 5/15/27 | 10,199 | 11,298 | |
1 | AvalonBay Communities Inc. | 3.200% | 1/15/28 | 9,630 | 10,528 | |
1 | AvalonBay Communities Inc. | 3.300% | 6/1/29 | 8,933 | 9,860 | |
1 | AvalonBay Communities Inc. | 2.300% | 3/1/30 | 16,309 | 16,782 | |
1 | AvalonBay Communities Inc. | 2.450% | 1/15/31 | 13,485 | 14,034 | |
Boston Properties LP | 2.750% | 10/1/26 | 40,774 | 43,559 | ||
Boston Properties LP | 4.500% | 12/1/28 | 6,550 | 7,655 | ||
Boston Properties LP | 3.400% | 6/21/29 | 23,222 | 25,459 | ||
Boston Properties LP | 2.900% | 3/15/30 | 12,667 | 13,309 | ||
Boston Properties LP | 3.250% | 1/30/31 | 30,667 | 33,056 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 11,472 | 12,566 | ||
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 11,282 | 12,768 | ||
Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 7,028 | 7,763 | ||
Brixmor Operating Partnership LP | 2.250% | 4/1/28 | 7,075 | 7,224 | ||
Brixmor Operating Partnership LP | 4.125% | 5/15/29 | 19,833 | 22,603 | ||
Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 34,083 | 38,584 | ||
Brixmor Operating Partnership LP | 2.500% | 8/16/31 | 12,000 | 12,053 | ||
Camden Property Trust | 4.100% | 10/15/28 | 7,162 | 8,288 | ||
Camden Property Trust | 3.150% | 7/1/29 | 26,298 | 28,815 | ||
Camden Property Trust | 2.800% | 5/15/30 | 19,691 | 21,024 | ||
CBRE Services Inc. | 2.500% | 4/1/31 | 12,400 | 12,615 | ||
Corporate Office Properties LP | 2.250% | 3/15/26 | 432 | 445 | ||
Corporate Office Properties LP | 2.000% | 1/15/29 | 7,000 | 6,942 | ||
Corporate Office Properties LP | 2.750% | 4/15/31 | 12,983 | 13,248 | ||
Crown Castle International Corp. | 4.000% | 3/1/27 | 15,943 | 17,901 | ||
Crown Castle International Corp. | 3.650% | 9/1/27 | 19,516 | 21,621 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 26,587 | 29,599 | ||
Crown Castle International Corp. | 4.300% | 2/15/29 | 16,960 | 19,559 | ||
Crown Castle International Corp. | 3.100% | 11/15/29 | 20,084 | 21,430 | ||
Crown Castle International Corp. | 3.300% | 7/1/30 | 20,792 | 22,457 | ||
Crown Castle International Corp. | 2.250% | 1/15/31 | 25,845 | 25,667 | ||
Crown Castle International Corp. | 2.100% | 4/1/31 | 24,537 | 24,049 | ||
Crown Castle International Corp. | 2.500% | 7/15/31 | 17,000 | 17,266 | ||
CubeSmart LP | 3.125% | 9/1/26 | 8,833 | 9,471 | ||
CubeSmart LP | 4.375% | 2/15/29 | 7,972 | 9,192 | ||
CubeSmart LP | 3.000% | 2/15/30 | 2,911 | 3,097 | ||
CubeSmart LP | 2.000% | 2/15/31 | 15,207 | 15,007 | ||
CyrusOne LP | 3.450% | 11/15/29 | 14,128 | 14,860 | ||
CyrusOne LP | 2.150% | 11/1/30 | 10,700 | 10,176 | ||
Digital Realty Trust LP | 3.700% | 8/15/27 | 11,377 | 12,753 | ||
Digital Realty Trust LP | 4.450% | 7/15/28 | 15,371 | 17,860 | ||
Digital Realty Trust LP | 3.600% | 7/1/29 | 37,677 | 41,893 | ||
Duke Realty LP | 3.375% | 12/15/27 | 12,759 | 14,068 | ||
Duke Realty LP | 4.000% | 9/15/28 | 11,994 | 13,738 | ||
Duke Realty LP | 2.875% | 11/15/29 | 9,764 | 10,401 | ||
Duke Realty LP | 1.750% | 7/1/30 | 10,871 | 10,605 | ||
Duke Realty LP | 1.750% | 2/1/31 | 6,725 | 6,514 | ||
Equinix Inc. | 2.900% | 11/18/26 | 15,784 | 16,900 | ||
Equinix Inc. | 1.800% | 7/15/27 | 16,099 | 16,350 | ||
Equinix Inc. | 1.550% | 3/15/28 | 9,641 | 9,539 | ||
Equinix Inc. | 2.000% | 5/15/28 | 9,555 | 9,685 | ||
Equinix Inc. | 3.200% | 11/18/29 | 22,946 | 24,730 | ||
Equinix Inc. | 2.150% | 7/15/30 | 26,623 | 26,546 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Equinix Inc. | 2.500% | 5/15/31 | 25,465 | 26,126 | ||
ERP Operating LP | 2.850% | 11/1/26 | 10,510 | 11,285 | ||
ERP Operating LP | 3.250% | 8/1/27 | 9,869 | 10,844 | ||
ERP Operating LP | 3.500% | 3/1/28 | 13,579 | 15,082 | ||
ERP Operating LP | 4.150% | 12/1/28 | 7,302 | 8,438 | ||
ERP Operating LP | 3.000% | 7/1/29 | 13,448 | 14,583 | ||
ERP Operating LP | 2.500% | 2/15/30 | 19,103 | 19,941 | ||
ERP Operating LP | 1.850% | 8/1/31 | 12,300 | 12,105 | ||
Essential Properties LP | 2.950% | 7/15/31 | 9,569 | 9,662 | ||
Essex Portfolio LP | 3.375% | 4/15/26 | 830 | 904 | ||
Essex Portfolio LP | 3.625% | 5/1/27 | 10,943 | 12,131 | ||
Essex Portfolio LP | 1.700% | 3/1/28 | 6,492 | 6,468 | ||
Essex Portfolio LP | 4.000% | 3/1/29 | 12,841 | 14,623 | ||
Essex Portfolio LP | 3.000% | 1/15/30 | 20,896 | 22,281 | ||
Essex Portfolio LP | 1.650% | 1/15/31 | 8,434 | 8,036 | ||
Extra Space Storage LP | 2.550% | 6/1/31 | 11,035 | 11,223 | ||
Federal Realty Investment Trust | 3.250% | 7/15/27 | 9,882 | 10,760 | ||
Federal Realty Investment Trust | 3.200% | 6/15/29 | 8,185 | 8,845 | ||
Federal Realty Investment Trust | 3.500% | 6/1/30 | 10,861 | 11,978 | ||
GLP Capital LP | 5.750% | 6/1/28 | 12,591 | 15,009 | ||
GLP Capital LP | 5.300% | 1/15/29 | 17,695 | 20,743 | ||
GLP Capital LP | 4.000% | 1/15/30 | 20,078 | 21,805 | ||
GLP Capital LP | 4.000% | 1/15/31 | 19,133 | 20,726 | ||
Healthcare Realty Trust Inc. | 3.625% | 1/15/28 | 8,871 | 9,797 | ||
Healthcare Realty Trust Inc. | 2.400% | 3/15/30 | 9,717 | 9,902 | ||
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 1,028 | 1,125 | ||
Healthcare Trust of America Holdings LP | 3.750% | 7/1/27 | 12,551 | 14,011 | ||
Healthcare Trust of America Holdings LP | 3.100% | 2/15/30 | 14,251 | 15,231 | ||
Healthcare Trust of America Holdings LP | 2.000% | 3/15/31 | 23,188 | 22,519 | ||
Healthpeak Properties Inc. | 3.250% | 7/15/26 | 5,581 | 6,073 | ||
Healthpeak Properties Inc. | 1.350% | 2/1/27 | 725 | 724 | ||
Healthpeak Properties Inc. | 3.500% | 7/15/29 | 12,579 | 13,976 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 19,324 | 20,681 | ||
Healthpeak Properties Inc. | 2.875% | 1/15/31 | 15,132 | 15,971 | ||
Highwoods Realty LP | 3.875% | 3/1/27 | 13,791 | 15,359 | ||
Highwoods Realty LP | 4.125% | 3/15/28 | 9,369 | 10,563 | ||
Highwoods Realty LP | 4.200% | 4/15/29 | 12,596 | 14,293 | ||
Highwoods Realty LP | 3.050% | 2/15/30 | 13,566 | 14,366 | ||
Highwoods Realty LP | 2.600% | 2/1/31 | 1,769 | 1,809 | ||
1 | Host Hotels & Resorts LP | 3.375% | 12/15/29 | 16,299 | 16,989 | |
1 | Host Hotels & Resorts LP | 3.500% | 9/15/30 | 18,241 | 19,212 | |
Hudson Pacific Properties LP | 3.950% | 11/1/27 | 7,617 | 8,424 | ||
Hudson Pacific Properties LP | 4.650% | 4/1/29 | 11,396 | 13,276 | ||
Hudson Pacific Properties LP | 3.250% | 1/15/30 | 11,960 | 12,750 | ||
Invitation Homes Operating Partnership LP | 2.000% | 8/15/31 | 20,875 | 20,352 | ||
Kilroy Realty LP | 4.750% | 12/15/28 | 12,283 | 14,393 | ||
Kilroy Realty LP | 4.250% | 8/15/29 | 8,749 | 10,000 | ||
Kilroy Realty LP | 3.050% | 2/15/30 | 8,451 | 9,000 | ||
Kimco Realty Corp. | 2.800% | 10/1/26 | 10,258 | 10,969 | ||
Kimco Realty Corp. | 3.800% | 4/1/27 | 11,190 | 12,497 | ||
Kimco Realty Corp. | 1.900% | 3/1/28 | 12,829 | 12,911 | ||
Kimco Realty Corp. | 2.700% | 10/1/30 | 8,025 | 8,315 | ||
Kite Realty Group LP | 4.000% | 10/1/26 | 6,365 | 6,889 | ||
Lexington Realty Trust | 2.700% | 9/15/30 | 9,278 | 9,543 | ||
Lexington Realty Trust | 2.375% | 10/1/31 | 1,000 | 992 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Life Storage LP | 3.875% | 12/15/27 | 9,683 | 10,929 | ||
Life Storage LP | 4.000% | 6/15/29 | 14,035 | 15,950 | ||
Life Storage LP | 2.200% | 10/15/30 | 9,960 | 9,996 | ||
LifeStorage LP | 3.500% | 7/1/26 | 455 | 500 | ||
Mid-America Apartments LP | 1.100% | 9/15/26 | 10,200 | 10,183 | ||
Mid-America Apartments LP | 3.600% | 6/1/27 | 8,411 | 9,363 | ||
Mid-America Apartments LP | 4.200% | 6/15/28 | 9,711 | 11,246 | ||
Mid-America Apartments LP | 3.950% | 3/15/29 | 22,470 | 25,627 | ||
Mid-America Apartments LP | 2.750% | 3/15/30 | 6,600 | 6,961 | ||
Mid-America Apartments LP | 1.700% | 2/15/31 | 3,755 | 3,615 | ||
National Health Investors Inc. | 3.000% | 2/1/31 | 11,208 | 11,115 | ||
National Retail Properties Inc. | 3.600% | 12/15/26 | 7,063 | 7,738 | ||
National Retail Properties Inc. | 3.500% | 10/15/27 | 9,569 | 10,476 | ||
National Retail Properties Inc. | 4.300% | 10/15/28 | 15,205 | 17,399 | ||
National Retail Properties Inc. | 2.500% | 4/15/30 | 7,784 | 8,006 | ||
Office Properties Income Trust | 2.650% | 6/15/26 | 136 | 139 | ||
Office Properties Income Trust | 2.400% | 2/1/27 | 8,500 | 8,503 | ||
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 225 | 257 | ||
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 16,231 | 18,220 | ||
Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 16,564 | 18,798 | ||
Omega Healthcare Investors Inc. | 3.625% | 10/1/29 | 20,792 | 22,187 | ||
Omega Healthcare Investors Inc. | 3.375% | 2/1/31 | 12,811 | 13,251 | ||
Physicians Realty LP | 4.300% | 3/15/27 | 9,704 | 11,073 | ||
Physicians Realty LP | 3.950% | 1/15/28 | 6,735 | 7,449 | ||
Piedmont Operating Partnership LP | 3.150% | 8/15/30 | 7,344 | 7,593 | ||
Prologis LP | 3.250% | 10/1/26 | 17,485 | 19,215 | ||
Prologis LP | 2.125% | 4/15/27 | 28,748 | 30,036 | ||
Prologis LP | 3.875% | 9/15/28 | 6,132 | 7,060 | ||
Prologis LP | 4.375% | 2/1/29 | 4,767 | 5,630 | ||
Prologis LP | 2.250% | 4/15/30 | 24,959 | 25,719 | ||
Prologis LP | 1.250% | 10/15/30 | 17,725 | 16,870 | ||
Prologis LP | 1.625% | 3/15/31 | 8,152 | 7,987 | ||
Public Storage | 3.094% | 9/15/27 | 10,311 | 11,352 | ||
Public Storage | 1.850% | 5/1/28 | 9,507 | 9,721 | ||
Public Storage | 3.385% | 5/1/29 | 12,978 | 14,462 | ||
Public Storage | 2.300% | 5/1/31 | 1,648 | 1,697 | ||
Rayonier LP | 2.750% | 5/17/31 | 9,600 | 9,729 | ||
Realty Income Corp. | 4.125% | 10/15/26 | 18,207 | 20,632 | ||
Realty Income Corp. | 3.000% | 1/15/27 | 15,676 | 16,973 | ||
Realty Income Corp. | 3.650% | 1/15/28 | 10,967 | 12,312 | ||
Realty Income Corp. | 3.250% | 6/15/29 | 14,214 | 15,658 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 23,045 | 25,455 | ||
Regency Centers LP | 3.600% | 2/1/27 | 11,232 | 12,446 | ||
Regency Centers LP | 4.125% | 3/15/28 | 7,865 | 8,931 | ||
Regency Centers LP | 2.950% | 9/15/29 | 11,758 | 12,512 | ||
Regency Centers LP | 3.700% | 6/15/30 | 10,550 | 11,827 | ||
Retail Properties of America Inc. | 4.750% | 9/15/30 | 9,783 | 10,963 | ||
Rexford Industrial Realty LP | 2.125% | 12/1/30 | 6,296 | 6,191 | ||
Rexford Industrial Realty LP | 2.150% | 9/1/31 | 5,000 | 4,915 | ||
Sabra Health Care LP | 3.900% | 10/15/29 | 12,708 | 13,611 | ||
Safehold Operating Partnership LP | 2.800% | 6/15/31 | 10,000 | 10,103 | ||
Simon Property Group LP | 3.300% | 1/15/26 | 360 | 390 | ||
Simon Property Group LP | 3.250% | 11/30/26 | 19,351 | 21,142 | ||
Simon Property Group LP | 3.375% | 6/15/27 | 12,181 | 13,390 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 22,357 | 24,610 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Simon Property Group LP | 1.750% | 2/1/28 | 20,445 | 20,517 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 26,640 | 27,511 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 25,739 | 26,862 | ||
Simon Property Group LP | 2.200% | 2/1/31 | 13,967 | 13,939 | ||
SITE Centers Corp. | 4.700% | 6/1/27 | 11,184 | 12,594 | ||
Spirit Realty LP | 4.450% | 9/15/26 | 6,534 | 7,353 | ||
Spirit Realty LP | 3.200% | 1/15/27 | 8,155 | 8,752 | ||
Spirit Realty LP | 2.100% | 3/15/28 | 15,669 | 15,744 | ||
Spirit Realty LP | 4.000% | 7/15/29 | 14,969 | 16,837 | ||
Spirit Realty LP | 3.400% | 1/15/30 | 10,131 | 10,878 | ||
Spirit Realty LP | 3.200% | 2/15/31 | 3,820 | 4,045 | ||
STORE Capital Corp. | 4.500% | 3/15/28 | 6,946 | 7,916 | ||
STORE Capital Corp. | 4.625% | 3/15/29 | 5,822 | 6,705 | ||
STORE Capital Corp. | 2.750% | 11/18/30 | 13,526 | 13,786 | ||
Sun Communities Operating LP | 2.700% | 7/15/31 | 17,390 | 17,718 | ||
Tanger Properties LP | 3.125% | 9/1/26 | 8,449 | 8,846 | ||
Tanger Properties LP | 3.875% | 7/15/27 | 7,163 | 7,787 | ||
Tanger Properties LP | 2.750% | 9/1/31 | 8,050 | 7,857 | ||
1 | UDR Inc. | 2.950% | 9/1/26 | 6,735 | 7,220 | |
1 | UDR Inc. | 3.500% | 7/1/27 | 6,086 | 6,729 | |
1 | UDR Inc. | 3.500% | 1/15/28 | 7,067 | 7,780 | |
1 | UDR Inc. | 4.400% | 1/26/29 | 10,496 | 12,180 | |
1 | UDR Inc. | 3.200% | 1/15/30 | 13,724 | 14,913 | |
UDR Inc. | 3.000% | 8/15/31 | 2,527 | 2,681 | ||
Ventas Realty LP | 3.250% | 10/15/26 | 19,377 | 20,939 | ||
Ventas Realty LP | 3.850% | 4/1/27 | 8,293 | 9,259 | ||
Ventas Realty LP | 4.000% | 3/1/28 | 9,593 | 10,798 | ||
Ventas Realty LP | 4.400% | 1/15/29 | 19,619 | 22,596 | ||
Ventas Realty LP | 3.000% | 1/15/30 | 14,460 | 15,240 | ||
Ventas Realty LP | 4.750% | 11/15/30 | 6,714 | 8,006 | ||
VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 377 | 435 | ||
VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 13,738 | 15,538 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 19,961 | 21,800 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 10,456 | 10,711 | ||
VEREIT Operating Partnership LP | 3.100% | 12/15/29 | 12,933 | 13,921 | ||
Vornado Realty LP | 3.400% | 6/1/31 | 9,775 | 10,211 | ||
Welltower Inc. | 4.250% | 4/1/26 | 682 | 766 | ||
Welltower Inc. | 2.700% | 2/15/27 | 22,343 | 23,750 | ||
Welltower Inc. | 4.250% | 4/15/28 | 21,371 | 24,564 | ||
Welltower Inc. | 4.125% | 3/15/29 | 12,867 | 14,674 | ||
Welltower Inc. | 3.100% | 1/15/30 | 14,575 | 15,568 | ||
Welltower Inc. | 2.750% | 1/15/31 | 24,556 | 25,599 | ||
Welltower Inc. | 2.800% | 6/1/31 | 9,824 | 10,268 | ||
Weyerhaeuser Co. | 6.950% | 10/1/27 | 4,574 | 5,913 | ||
Weyerhaeuser Co. | 4.000% | 11/15/29 | 16,486 | 18,894 | ||
Weyerhaeuser Co. | 4.000% | 4/15/30 | 30,893 | 35,327 | ||
WP Carey Inc. | 4.250% | 10/1/26 | 6,807 | 7,717 | ||
WP Carey Inc. | 3.850% | 7/15/29 | 8,227 | 9,203 | ||
WP Carey Inc. | 2.400% | 2/1/31 | 13,914 | 14,003 | ||
3,352,788 | ||||||
Technology (9.3%) | ||||||
Adobe Inc. | 2.150% | 2/1/27 | 26,361 | 27,692 | ||
Adobe Inc. | 2.300% | 2/1/30 | 28,808 | 30,087 | ||
Amdocs Ltd. | 2.538% | 6/15/30 | 15,710 | 15,905 | ||
Analog Devices Inc. | 3.500% | 12/5/26 | 20,684 | 22,892 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Apple Inc. | 2.050% | 9/11/26 | 48,626 | 50,999 | ||
Apple Inc. | 3.350% | 2/9/27 | 56,245 | 62,488 | ||
Apple Inc. | 3.200% | 5/11/27 | 63,006 | 69,754 | ||
Apple Inc. | 3.000% | 6/20/27 | 18,102 | 19,955 | ||
Apple Inc. | 2.900% | 9/12/27 | 54,824 | 59,846 | ||
Apple Inc. | 3.000% | 11/13/27 | 29,827 | 32,773 | ||
Apple Inc. | 1.200% | 2/8/28 | 56,737 | 56,121 | ||
Apple Inc. | 1.400% | 8/5/28 | 56,960 | 56,806 | ||
Apple Inc. | 2.200% | 9/11/29 | 48,531 | 50,649 | ||
Apple Inc. | 1.650% | 5/11/30 | 38,648 | 38,493 | ||
Apple Inc. | 1.250% | 8/20/30 | 20,807 | 20,058 | ||
Apple Inc. | 1.650% | 2/8/31 | 81,477 | 80,650 | ||
Apple Inc. | 1.700% | 8/5/31 | 22,150 | 21,961 | ||
Applied Materials Inc. | 3.300% | 4/1/27 | 26,821 | 29,705 | ||
Applied Materials Inc. | 1.750% | 6/1/30 | 20,146 | 20,055 | ||
Arrow Electronics Inc. | 3.875% | 1/12/28 | 12,337 | 13,583 | ||
Autodesk Inc. | 3.500% | 6/15/27 | 12,021 | 13,316 | ||
Autodesk Inc. | 2.850% | 1/15/30 | 11,975 | 12,721 | ||
Automatic Data Processing Inc. | 1.700% | 5/15/28 | 26,700 | 27,164 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 20,550 | 19,746 | ||
Avnet Inc. | 3.000% | 5/15/31 | 7,600 | 7,675 | ||
Broadcom Corp. | 3.875% | 1/15/27 | 102,759 | 113,423 | ||
Broadcom Corp. | 3.500% | 1/15/28 | 27,814 | 30,259 | ||
Broadcom Inc. | 3.459% | 9/15/26 | 44,293 | 48,081 | ||
2 | Broadcom Inc. | 1.950% | 2/15/28 | 7,200 | 7,182 | |
Broadcom Inc. | 4.110% | 9/15/28 | 52,820 | 59,282 | ||
Broadcom Inc. | 4.750% | 4/15/29 | 72,092 | 83,786 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 63,074 | 74,812 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 62,214 | 70,042 | ||
2 | Broadcom Inc. | 2.450% | 2/15/31 | 60,390 | 59,816 | |
Broadridge Financial Solutions Inc. | 2.900% | 12/1/29 | 19,542 | 20,735 | ||
Broadridge Financial Solutions Inc. | 2.600% | 5/1/31 | 25,300 | 26,030 | ||
CA Inc. | 4.700% | 3/15/27 | 8,771 | 9,911 | ||
CDW LLC | 4.250% | 4/1/28 | 2,800 | 2,935 | ||
CDW LLC | 3.250% | 2/15/29 | 7,350 | 7,553 | ||
Cintas Corp. No. 2 | 3.700% | 4/1/27 | 20,382 | 22,873 | ||
Cisco Systems Inc. | 2.500% | 9/20/26 | 33,805 | 36,372 | ||
Citrix Systems Inc. | 4.500% | 12/1/27 | 16,905 | 19,272 | ||
Citrix Systems Inc. | 3.300% | 3/1/30 | 20,001 | 21,073 | ||
Dell International LLC | 4.900% | 10/1/26 | 41,089 | 47,556 | ||
Dell International LLC | 6.100% | 7/15/27 | 14,476 | 17,870 | ||
Dell International LLC | 5.300% | 10/1/29 | 52,871 | 64,345 | ||
Dell International LLC | 6.200% | 7/15/30 | 18,304 | 23,596 | ||
DXC Technology Co. | 4.750% | 4/15/27 | 21,142 | 24,228 | ||
Equifax Inc. | 3.100% | 5/15/30 | 20,780 | 22,265 | ||
Equifax Inc. | 2.350% | 9/15/31 | 8,000 | 8,056 | ||
Fidelity National Information Services Inc. | 1.650% | 3/1/28 | 17,275 | 17,273 | ||
Fidelity National Information Services Inc. | 3.750% | 5/21/29 | 13,087 | 14,779 | ||
Fidelity National Information Services Inc. | 2.250% | 3/1/31 | 30,335 | 30,594 | ||
Fiserv Inc. | 2.250% | 6/1/27 | 17,163 | 17,838 | ||
Fiserv Inc. | 4.200% | 10/1/28 | 29,094 | 33,423 | ||
Fiserv Inc. | 3.500% | 7/1/29 | 73,002 | 80,319 | ||
Fiserv Inc. | 2.650% | 6/1/30 | 22,107 | 22,960 | ||
Flex Ltd. | 4.875% | 6/15/29 | 18,852 | 21,891 | ||
Flex Ltd. | 4.875% | 5/12/30 | 12,099 | 14,081 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Fortinet Inc. | 2.200% | 3/15/31 | 12,080 | 12,178 | ||
HP Inc. | 3.000% | 6/17/27 | 21,144 | 22,759 | ||
HP Inc. | 3.400% | 6/17/30 | 21,430 | 22,941 | ||
2 | HP Inc. | 2.650% | 6/17/31 | 26,793 | 26,866 | |
Hubbell Inc. | 3.150% | 8/15/27 | 5,878 | 6,318 | ||
Hubbell Inc. | 3.500% | 2/15/28 | 8,299 | 9,159 | ||
Hubbell Inc. | 2.300% | 3/15/31 | 6,945 | 7,045 | ||
IHS Markit Ltd. | 4.750% | 8/1/28 | 14,472 | 17,124 | ||
IHS Markit Ltd. | 4.250% | 5/1/29 | 18,311 | 21,149 | ||
Intel Corp. | 3.750% | 3/25/27 | 24,327 | 27,520 | ||
Intel Corp. | 3.150% | 5/11/27 | 23,959 | 26,396 | ||
Intel Corp. | 1.600% | 8/12/28 | 24,000 | 24,141 | ||
Intel Corp. | 2.450% | 11/15/29 | 47,729 | 50,357 | ||
Intel Corp. | 3.900% | 3/25/30 | 33,306 | 38,720 | ||
Intel Corp. | 2.000% | 8/12/31 | 32,000 | 32,180 | ||
International Business Machines Corp. | 3.300% | 1/27/27 | 12,455 | 13,740 | ||
International Business Machines Corp. | 1.700% | 5/15/27 | 28,524 | 29,082 | ||
International Business Machines Corp. | 6.220% | 8/1/27 | 6,189 | 7,826 | ||
International Business Machines Corp. | 6.500% | 1/15/28 | 5,475 | 7,099 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 67,008 | 75,044 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 40,772 | 40,928 | ||
Intuit Inc. | 1.350% | 7/15/27 | 14,868 | 15,015 | ||
Intuit Inc. | 1.650% | 7/15/30 | 9,340 | 9,309 | ||
Jabil Inc. | 3.950% | 1/12/28 | 13,156 | 14,607 | ||
Jabil Inc. | 3.600% | 1/15/30 | 12,595 | 13,632 | ||
Jabil Inc. | 3.000% | 1/15/31 | 13,474 | 13,884 | ||
Juniper Networks Inc. | 3.750% | 8/15/29 | 13,395 | 14,859 | ||
Juniper Networks Inc. | 2.000% | 12/10/30 | 13,444 | 13,006 | ||
KLA Corp. | 4.100% | 3/15/29 | 19,277 | 22,233 | ||
Lam Research Corp. | 4.000% | 3/15/29 | 22,626 | 26,229 | ||
Lam Research Corp. | 1.900% | 6/15/30 | 20,560 | 20,723 | ||
Leidos Inc. | 4.375% | 5/15/30 | 19,314 | 22,170 | ||
Leidos Inc. | 2.300% | 2/15/31 | 22,732 | 22,472 | ||
2 | Marvell Technology Inc. | 2.450% | 4/15/28 | 16,190 | 16,652 | |
2 | Marvell Technology Inc. | 4.875% | 6/22/28 | 11,332 | 13,191 | |
2 | Marvell Technology Inc. | 2.950% | 4/15/31 | 15,980 | 16,590 | |
Maxim Integrated Products Inc. | 3.450% | 6/15/27 | 8,508 | 9,439 | ||
Micron Technology Inc. | 4.185% | 2/15/27 | 21,979 | 24,975 | ||
Micron Technology Inc. | 5.327% | 2/6/29 | 11,509 | 13,925 | ||
Micron Technology Inc. | 4.663% | 2/15/30 | 21,050 | 24,659 | ||
Microsoft Corp. | 3.300% | 2/6/27 | 99,550 | 111,052 | ||
Moody's Corp. | 3.250% | 1/15/28 | 12,686 | 13,912 | ||
Moody's Corp. | 4.250% | 2/1/29 | 8,600 | 9,990 | ||
Moody's Corp. | 2.000% | 8/19/31 | 14,000 | 13,896 | ||
Motorola Solutions Inc. | 4.600% | 2/23/28 | 23,933 | 27,832 | ||
Motorola Solutions Inc. | 4.600% | 5/23/29 | 14,007 | 16,433 | ||
Motorola Solutions Inc. | 2.300% | 11/15/30 | 21,231 | 21,125 | ||
Motorola Solutions Inc. | 2.750% | 5/24/31 | 11,250 | 11,592 | ||
NetApp Inc. | 2.375% | 6/22/27 | 13,330 | 13,988 | ||
NetApp Inc. | 2.700% | 6/22/30 | 14,371 | 14,929 | ||
NVIDIA Corp. | 3.200% | 9/16/26 | 23,990 | 26,394 | ||
NVIDIA Corp. | 1.550% | 6/15/28 | 30,095 | 30,243 | ||
NVIDIA Corp. | 2.850% | 4/1/30 | 39,800 | 43,096 | ||
NVIDIA Corp. | 2.000% | 6/15/31 | 35,105 | 35,420 | ||
2 | NXP BV | 3.150% | 5/1/27 | 13,904 | 14,931 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | NXP BV | 5.550% | 12/1/28 | 10,844 | 13,285 | |
2 | NXP BV | 4.300% | 6/18/29 | 25,221 | 28,997 | |
2 | NXP BV | 3.400% | 5/1/30 | 20,905 | 22,944 | |
2 | NXP BV | 2.500% | 5/11/31 | 30,545 | 31,419 | |
Oracle Corp. | 2.800% | 4/1/27 | 64,758 | 69,102 | ||
Oracle Corp. | 3.250% | 11/15/27 | 60,919 | 66,518 | ||
Oracle Corp. | 2.300% | 3/25/28 | 53,549 | 55,281 | ||
Oracle Corp. | 2.950% | 4/1/30 | 75,212 | 79,842 | ||
Oracle Corp. | 3.250% | 5/15/30 | 10,502 | 11,434 | ||
Oracle Corp. | 2.875% | 3/25/31 | 83,110 | 87,535 | ||
Qorvo Inc. | 4.375% | 10/15/29 | 20,500 | 22,728 | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 49,555 | 54,869 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 22,717 | 22,435 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 31,723 | 32,470 | ||
Quanta Services Inc. | 2.900% | 10/1/30 | 24,290 | 25,529 | ||
RELX Capital Inc. | 4.000% | 3/18/29 | 16,863 | 19,051 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 21,434 | 23,007 | ||
Roper Technologies Inc. | 3.800% | 12/15/26 | 13,244 | 14,814 | ||
Roper Technologies Inc. | 1.400% | 9/15/27 | 23,240 | 23,141 | ||
Roper Technologies Inc. | 4.200% | 9/15/28 | 15,231 | 17,577 | ||
Roper Technologies Inc. | 2.950% | 9/15/29 | 29,639 | 31,863 | ||
Roper Technologies Inc. | 2.000% | 6/30/30 | 13,550 | 13,490 | ||
Roper Technologies Inc. | 1.750% | 2/15/31 | 25,270 | 24,474 | ||
S&P Global Inc. | 2.950% | 1/22/27 | 10,134 | 10,972 | ||
S&P Global Inc. | 2.500% | 12/1/29 | 14,777 | 15,651 | ||
S&P Global Inc. | 1.250% | 8/15/30 | 14,455 | 13,770 | ||
salesforce.com Inc. | 3.700% | 4/11/28 | 34,404 | 39,131 | ||
salesforce.com Inc. | 1.500% | 7/15/28 | 35,000 | 35,142 | ||
salesforce.com Inc. | 1.950% | 7/15/31 | 42,300 | 42,911 | ||
ServiceNow Inc. | 1.400% | 9/1/30 | 34,209 | 32,504 | ||
Skyworks Solutions Inc. | 3.000% | 6/1/31 | 15,314 | 15,941 | ||
2 | SYNNEX Corp. | 2.375% | 8/9/28 | 12,015 | 12,009 | |
2 | SYNNEX Corp. | 2.650% | 8/9/31 | 12,000 | 11,821 | |
Teledyne FLIR LLC | 2.500% | 8/1/30 | 12,324 | 12,614 | ||
Texas Instruments Inc. | 2.900% | 11/3/27 | 8,942 | 9,783 | ||
Texas Instruments Inc. | 2.250% | 9/4/29 | 20,660 | 21,585 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 17,884 | 17,885 | ||
Verisk Analytics Inc. | 4.125% | 3/15/29 | 22,501 | 25,773 | ||
VMware Inc. | 4.650% | 5/15/27 | 22,532 | 26,054 | ||
VMware Inc. | 3.900% | 8/21/27 | 19,519 | 21,868 | ||
VMware Inc. | 1.800% | 8/15/28 | 19,620 | 19,451 | ||
VMware Inc. | 4.700% | 5/15/30 | 29,076 | 34,734 | ||
VMware Inc. | 2.200% | 8/15/31 | 37,105 | 36,849 | ||
Xilinx Inc. | 2.375% | 6/1/30 | 17,603 | 18,094 | ||
4,552,927 | ||||||
Utilities (6.9%) | ||||||
AEP Texas Inc. | 3.950% | 6/1/28 | 17,470 | 19,716 | ||
1 | AEP Texas Inc. | 2.100% | 7/1/30 | 17,053 | 16,921 | |
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 8,087 | 8,800 | ||
AES Corp. | 2.450% | 1/15/31 | 26,565 | 26,818 | ||
1 | Alabama Power Co. | 1.450% | 9/15/30 | 12,751 | 12,348 | |
Ameren Corp. | 1.750% | 3/15/28 | 12,510 | 12,457 | ||
Ameren Corp. | 3.500% | 1/15/31 | 21,061 | 23,302 | ||
Ameren Illinois Co. | 3.800% | 5/15/28 | 6,659 | 7,546 | ||
Ameren Illinois Co. | 1.550% | 11/15/30 | 7,324 | 7,101 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Electric Power Co. Inc. | 3.200% | 11/13/27 | 10,956 | 11,931 | ||
1 | American Electric Power Co. Inc. | 4.300% | 12/1/28 | 12,850 | 14,833 | |
American Electric Power Co. Inc. | 2.300% | 3/1/30 | 9,506 | 9,591 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 6,767 | 7,339 | ||
American Water Capital Corp. | 3.750% | 9/1/28 | 8,558 | 9,710 | ||
American Water Capital Corp. | 3.450% | 6/1/29 | 22,876 | 25,465 | ||
American Water Capital Corp. | 2.800% | 5/1/30 | 13,925 | 14,878 | ||
American Water Capital Corp. | 2.300% | 6/1/31 | 15,000 | 15,403 | ||
1 | Appalachian Power Co. | 3.300% | 6/1/27 | 6,886 | 7,498 | |
1 | Appalachian Power Co. | 2.700% | 4/1/31 | 23,185 | 24,177 | |
Arizona Public Service Co. | 2.950% | 9/15/27 | 4,294 | 4,658 | ||
Arizona Public Service Co. | 2.600% | 8/15/29 | 7,497 | 7,900 | ||
Atlantic City Electric Co. | 4.000% | 10/15/28 | 6,427 | 7,365 | ||
Atlantic City Electric Co. | 2.300% | 3/15/31 | 9,760 | 10,081 | ||
Atmos Energy Corp. | 3.000% | 6/15/27 | 11,406 | 12,393 | ||
Atmos Energy Corp. | 2.625% | 9/15/29 | 9,772 | 10,305 | ||
Atmos Energy Corp. | 1.500% | 1/15/31 | 10,945 | 10,499 | ||
Avangrid Inc. | 3.800% | 6/1/29 | 18,061 | 20,389 | ||
Baltimore Gas & Electric Co. | 2.250% | 6/15/31 | 10,200 | 10,426 | ||
Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 23,571 | 25,977 | ||
Berkshire Hathaway Energy Co. | 3.700% | 7/15/30 | 16,773 | 19,113 | ||
Berkshire Hathaway Energy Co. | 1.650% | 5/15/31 | 12,550 | 12,211 | ||
Black Hills Corp. | 3.150% | 1/15/27 | 4,185 | 4,486 | ||
Black Hills Corp. | 3.050% | 10/15/29 | 13,006 | 13,994 | ||
Black Hills Corp. | 2.500% | 6/15/30 | 7,017 | 7,222 | ||
1 | CenterPoint Energy Houston Electric LLC | 2.400% | 9/1/26 | 4,742 | 5,032 | |
1 | CenterPoint Energy Houston Electric LLC | 3.000% | 2/1/27 | 7,986 | 8,669 | |
1 | CenterPoint Energy Houston Electric LLC | 2.350% | 4/1/31 | 9,705 | 10,043 | |
CenterPoint Energy Inc. | 4.250% | 11/1/28 | 10,920 | 12,566 | ||
CenterPoint Energy Inc. | 2.950% | 3/1/30 | 17,660 | 18,726 | ||
CenterPoint Energy Inc. | 2.650% | 6/1/31 | 19,670 | 20,414 | ||
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 7,381 | 8,337 | ||
CenterPoint Energy Resources Corp. | 1.750% | 10/1/30 | 10,500 | 10,204 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 3,510 | 3,671 | ||
CMS Energy Corp. | 3.450% | 8/15/27 | 8,389 | 9,294 | ||
1 | CMS Energy Corp. | 4.750% | 6/1/50 | 16,932 | 19,082 | |
CMS Energy Corp. | 3.750% | 12/1/50 | 8,768 | 8,900 | ||
1 | Commonwealth Edison Co. | 2.950% | 8/15/27 | 7,752 | 8,406 | |
Commonwealth Edison Co. | 3.700% | 8/15/28 | 14,899 | 17,008 | ||
Commonwealth Edison Co. | 2.200% | 3/1/30 | 5,889 | 6,054 | ||
1 | Connecticut Light & Power Co. | 3.200% | 3/15/27 | 20,546 | 22,656 | |
1 | Connecticut Light & Power Co. | 2.050% | 7/1/31 | 6,180 | 6,273 | |
1 | Consolidated Edison Co. of New York Inc. | 3.125% | 11/15/27 | 7,095 | 7,711 | |
Consolidated Edison Co. of New York Inc. | 3.800% | 5/15/28 | 5,421 | 6,134 | ||
1 | Consolidated Edison Co. of New York Inc. | 4.000% | 12/1/28 | 5,780 | 6,646 | |
1 | Consolidated Edison Co. of New York Inc. | 3.350% | 4/1/30 | 15,965 | 17,713 | |
Consolidated Edison Co. of New York Inc. | 2.400% | 6/15/31 | 19,086 | 19,593 | ||
Consumers Energy Co. | 3.800% | 11/15/28 | 6,304 | 7,202 | ||
1 | Dominion Energy Inc. | 2.850% | 8/15/26 | 12,232 | 13,074 | |
1 | Dominion Energy Inc. | 3.600% | 3/15/27 | 5,795 | 6,435 | |
Dominion Energy Inc. | 4.250% | 6/1/28 | 9,406 | 10,825 | ||
1 | Dominion Energy Inc. | 3.375% | 4/1/30 | 34,401 | 37,708 | |
1 | Dominion Energy Inc. | 2.250% | 8/15/31 | 10,000 | 10,099 | |
1 | DTE Electric Co. | 1.900% | 4/1/28 | 13,525 | 13,850 | |
DTE Electric Co. | 2.250% | 3/1/30 | 9,135 | 9,442 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | DTE Electric Co. | 2.625% | 3/1/31 | 13,081 | 13,877 | |
DTE Energy Co. | 2.850% | 10/1/26 | 23,227 | 24,855 | ||
1 | DTE Energy Co. | 3.400% | 6/15/29 | 26,672 | 29,311 | |
DTE Energy Co. | 2.950% | 3/1/30 | 6,436 | 6,851 | ||
Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 21,442 | 23,232 | ||
Duke Energy Carolinas LLC | 3.950% | 11/15/28 | 17,567 | 20,175 | ||
1 | Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 7,625 | 9,700 | |
Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 16,957 | 17,748 | ||
Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 14,208 | 14,794 | ||
Duke Energy Carolinas LLC | 2.550% | 4/15/31 | 13,825 | 14,527 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 39,411 | 41,913 | ||
Duke Energy Corp. | 3.150% | 8/15/27 | 10,772 | 11,705 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 9,017 | 9,884 | ||
Duke Energy Corp. | 2.450% | 6/1/30 | 25,083 | 25,715 | ||
Duke Energy Corp. | 2.550% | 6/15/31 | 24,508 | 25,216 | ||
Duke Energy Florida LLC | 3.200% | 1/15/27 | 25,578 | 28,043 | ||
Duke Energy Florida LLC | 3.800% | 7/15/28 | 10,361 | 11,737 | ||
Duke Energy Florida LLC | 2.500% | 12/1/29 | 12,949 | 13,626 | ||
Duke Energy Florida LLC | 1.750% | 6/15/30 | 23,198 | 22,886 | ||
1 | Duke Energy Florida Project Finance LLC | 2.538% | 9/1/29 | 2,419 | 2,547 | |
Duke Energy Ohio Inc. | 3.650% | 2/1/29 | 12,821 | 14,339 | ||
Duke Energy Ohio Inc. | 2.125% | 6/1/30 | 6,568 | 6,640 | ||
Duke Energy Progress LLC | 3.700% | 9/1/28 | 6,792 | 7,696 | ||
Duke Energy Progress LLC | 3.450% | 3/15/29 | 23,660 | 26,463 | ||
Duke Energy Progress LLC | 2.000% | 8/15/31 | 12,200 | 12,208 | ||
2 | East Ohio Gas Co. | 2.000% | 6/15/30 | 2,650 | 2,640 | |
Edison International | 5.750% | 6/15/27 | 14,517 | 16,608 | ||
Edison International | 4.125% | 3/15/28 | 17,883 | 19,158 | ||
2 | Emera US Finance LP | 2.639% | 6/15/31 | 14,850 | 15,122 | |
Enel Americas SA | 4.000% | 10/25/26 | 13,015 | 14,259 | ||
Enel Chile SA | 4.875% | 6/12/28 | 19,137 | 22,091 | ||
Entergy Corp. | 2.950% | 9/1/26 | 28,457 | 30,550 | ||
Entergy Corp. | 1.900% | 6/15/28 | 11,275 | 11,288 | ||
Entergy Corp. | 2.800% | 6/15/30 | 14,784 | 15,478 | ||
Entergy Corp. | 2.400% | 6/15/31 | 12,265 | 12,358 | ||
Entergy Louisiana LLC | 2.400% | 10/1/26 | 10,268 | 10,815 | ||
Entergy Louisiana LLC | 3.120% | 9/1/27 | 15,654 | 17,099 | ||
Entergy Louisiana LLC | 3.250% | 4/1/28 | 6,210 | 6,797 | ||
Entergy Louisiana LLC | 1.600% | 12/15/30 | 3,506 | 3,403 | ||
Entergy Louisiana LLC | 3.050% | 6/1/31 | 8,930 | 9,681 | ||
Entergy Mississippi LLC | 2.850% | 6/1/28 | 13,022 | 13,958 | ||
Entergy Texas Inc. | 4.000% | 3/30/29 | 10,711 | 12,165 | ||
Entergy Texas Inc. | 1.750% | 3/15/31 | 9,408 | 9,065 | ||
Essential Utilities Inc. | 3.566% | 5/1/29 | 11,813 | 13,167 | ||
Essential Utilities Inc. | 2.704% | 4/15/30 | 23,400 | 24,493 | ||
Evergy Inc. | 2.900% | 9/15/29 | 10,289 | 10,959 | ||
Evergy Kansas Central Inc. | 3.100% | 4/1/27 | 4,597 | 4,994 | ||
1 | Evergy Metro Inc. | 2.250% | 6/1/30 | 20,232 | 20,716 | |
1 | Eversource Energy | 3.300% | 1/15/28 | 8,770 | 9,629 | |
1 | Eversource Energy | 4.250% | 4/1/29 | 13,384 | 15,588 | |
1 | Eversource Energy | 1.650% | 8/15/30 | 12,650 | 12,222 | |
Eversource Energy | 2.550% | 3/15/31 | 8,717 | 9,043 | ||
Exelon Corp. | 4.050% | 4/15/30 | 38,391 | 44,016 | ||
Fortis Inc. | 3.055% | 10/4/26 | 19,805 | 21,372 | ||
Georgia Power Co. | 3.250% | 3/30/27 | 12,132 | 13,183 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Georgia Power Co. | 2.650% | 9/15/29 | 23,558 | 24,875 | |
1 | Gulf Power Co. | 3.300% | 5/30/27 | 5,260 | 5,774 | |
Indiana Michigan Power Co. | 3.850% | 5/15/28 | 16,572 | 18,689 | ||
Interstate Power & Light Co. | 4.100% | 9/26/28 | 16,055 | 18,547 | ||
Interstate Power & Light Co. | 3.600% | 4/1/29 | 8,668 | 9,694 | ||
Interstate Power & Light Co. | 2.300% | 6/1/30 | 6,908 | 7,074 | ||
IPALCO Enterprises Inc. | 4.250% | 5/1/30 | 9,698 | 11,039 | ||
ITC Holdings Corp. | 3.350% | 11/15/27 | 15,242 | 16,736 | ||
MidAmerican Energy Co. | 3.100% | 5/1/27 | 14,602 | 16,005 | ||
MidAmerican Energy Co. | 3.650% | 4/15/29 | 24,494 | 27,817 | ||
Mississippi Power Co. | 3.950% | 3/30/28 | 6,026 | 6,824 | ||
National Fuel Gas Co. | 3.950% | 9/15/27 | 8,926 | 9,654 | ||
National Fuel Gas Co. | 4.750% | 9/1/28 | 6,295 | 7,129 | ||
National Fuel Gas Co. | 2.950% | 3/1/31 | 8,510 | 8,650 | ||
National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 9,158 | 10,002 | ||
National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 26,570 | 29,371 | ||
National Rural Utilities Cooperative Finance Corp. | 3.900% | 11/1/28 | 8,655 | 9,875 | ||
National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 14,318 | 16,242 | ||
National Rural Utilities Cooperative Finance Corp. | 2.400% | 3/15/30 | 13,232 | 13,694 | ||
National Rural Utilities Cooperative Finance Corp. | 1.350% | 3/15/31 | 8,689 | 8,180 | ||
1 | National Rural Utilities Cooperative Finance Corp. | 1.650% | 6/15/31 | 6,285 | 6,062 | |
1 | Nevada Power Co. | 3.700% | 5/1/29 | 13,304 | 15,030 | |
1 | Nevada Power Co. | 2.400% | 5/1/30 | 6,410 | 6,616 | |
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 14,161 | 15,679 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 37,000 | 37,491 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 16,507 | 18,313 | ||
NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 23,431 | 24,816 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 59,101 | 60,231 | ||
1 | NextEra Energy Capital Holdings Inc. | 4.800% | 12/1/77 | 16,434 | 18,495 | |
1 | NextEra Energy Capital Holdings Inc. | 5.650% | 5/1/79 | 8,537 | 10,014 | |
NiSource Inc. | 3.490% | 5/15/27 | 18,143 | 20,034 | ||
NiSource Inc. | 2.950% | 9/1/29 | 24,555 | 26,138 | ||
NiSource Inc. | 3.600% | 5/1/30 | 26,021 | 28,996 | ||
NiSource Inc. | 1.700% | 2/15/31 | 17,050 | 16,362 | ||
Northern States Power Co. | 2.250% | 4/1/31 | 11,975 | 12,381 | ||
NSTAR Electric Co. | 3.200% | 5/15/27 | 20,316 | 22,327 | ||
NSTAR Electric Co. | 3.250% | 5/15/29 | 5,902 | 6,542 | ||
NSTAR Electric Co. | 3.950% | 4/1/30 | 13,490 | 15,676 | ||
1 | Ohio Power Co. | 2.600% | 4/1/30 | 3,400 | 3,587 | |
1 | Ohio Power Co. | 1.625% | 1/15/31 | 11,162 | 10,871 | |
Oklahoma Gas & Electric Co. | 3.800% | 8/15/28 | 6,031 | 6,848 | ||
Oklahoma Gas & Electric Co. | 3.300% | 3/15/30 | 5,327 | 5,859 | ||
Oklahoma Gas & Electric Co. | 3.250% | 4/1/30 | 13,351 | 14,644 | ||
Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 14,915 | 16,966 | ||
Oncor Electric Delivery Co. LLC | 5.750% | 3/15/29 | 4,520 | 5,717 | ||
Oncor Electric Delivery Co. LLC | 2.750% | 5/15/30 | 9,442 | 10,201 | ||
ONE Gas Inc. | 2.000% | 5/15/30 | 6,831 | 6,816 | ||
Pacific Gas & Electric Co. | 2.100% | 8/1/27 | 3,300 | 3,195 | ||
Pacific Gas & Electric Co. | 3.300% | 12/1/27 | 31,142 | 31,919 | ||
Pacific Gas & Electric Co. | 3.000% | 6/15/28 | 8,925 | 8,919 | ||
Pacific Gas & Electric Co. | 3.750% | 7/1/28 | 43,597 | 45,541 | ||
Pacific Gas & Electric Co. | 4.550% | 7/1/30 | 95,185 | 101,737 | ||
Pacific Gas & Electric Co. | 2.500% | 2/1/31 | 51,486 | 48,570 | ||
Pacific Gas & Electric Co. | 3.250% | 6/1/31 | 3,683 | 3,628 | ||
PacifiCorp | 3.500% | 6/15/29 | 13,007 | 14,530 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PacifiCorp | 2.700% | 9/15/30 | 21,393 | 22,685 | ||
Piedmont Natural Gas Co. Inc. | 3.500% | 6/1/29 | 7,995 | 8,822 | ||
Piedmont Natural Gas Co. Inc. | 2.500% | 3/15/31 | 9,450 | 9,672 | ||
Progress Energy Inc. | 7.750% | 3/1/31 | 6,640 | 9,541 | ||
PSEG Power LLC | 8.625% | 4/15/31 | 9,963 | 15,683 | ||
Public Service Co. of Colorado | 3.700% | 6/15/28 | 7,544 | 8,522 | ||
1 | Public Service Co. of Colorado | 1.900% | 1/15/31 | 4,899 | 4,912 | |
Public Service Co. of Colorado | 1.875% | 6/15/31 | 17,350 | 17,370 | ||
1 | Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 14,850 | 15,627 | |
1 | Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 4,720 | 5,138 | |
1 | Public Service Electric & Gas Co. | 3.700% | 5/1/28 | 8,430 | 9,588 | |
1 | Public Service Electric & Gas Co. | 3.650% | 9/1/28 | 7,103 | 8,063 | |
1 | Public Service Electric & Gas Co. | 3.200% | 5/15/29 | 8,623 | 9,524 | |
1 | Public Service Electric & Gas Co. | 2.450% | 1/15/30 | 5,879 | 6,178 | |
1 | Public Service Electric & Gas Co. | 1.900% | 8/15/31 | 7,000 | 7,006 | |
Public Service Enterprise Group Inc. | 1.600% | 8/15/30 | 11,846 | 11,326 | ||
2 | Puget Energy Inc. | 2.379% | 6/15/28 | 6,216 | 6,310 | |
Puget Energy Inc. | 4.100% | 6/15/30 | 13,935 | 15,639 | ||
1 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 15,390 | 14,985 | |
Sempra Energy | 3.250% | 6/15/27 | 20,592 | 22,417 | ||
Sempra Energy | 3.400% | 2/1/28 | 31,044 | 33,884 | ||
1 | Southern California Edison Co. | 3.650% | 3/1/28 | 10,257 | 11,257 | |
1 | Southern California Edison Co. | 4.200% | 3/1/29 | 13,609 | 15,429 | |
Southern California Edison Co. | 6.650% | 4/1/29 | 4,031 | 5,045 | ||
Southern California Edison Co. | 2.850% | 8/1/29 | 9,744 | 10,213 | ||
Southern California Edison Co. | 2.250% | 6/1/30 | 14,023 | 14,014 | ||
1 | Southern California Edison Co. | 2.500% | 6/1/31 | 11,435 | 11,552 | |
1 | Southern California Gas Co. | 2.550% | 2/1/30 | 16,008 | 16,716 | |
1 | Southern Co. | 1.750% | 3/15/28 | 11,275 | 11,260 | |
1 | Southern Co. | 3.700% | 4/30/30 | 26,667 | 29,729 | |
1 | Southern Co. | 3.750% | 9/15/51 | 24,540 | 25,072 | |
1 | Southern Co. Gas Capital Corp. | 1.750% | 1/15/31 | 14,285 | 13,800 | |
Southwest Gas Corp. | 3.700% | 4/1/28 | 4,589 | 5,127 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 12,869 | 13,025 | ||
1 | Southwestern Electric Power Co. | 2.750% | 10/1/26 | 9,161 | 9,733 | |
1 | Southwestern Electric Power Co. | 4.100% | 9/15/28 | 22,630 | 25,889 | |
Tampa Electric Co. | 2.400% | 3/15/31 | 9,820 | 10,122 | ||
Tucson Electric Power Co. | 1.500% | 8/1/30 | 10,380 | 9,970 | ||
Union Electric Co. | 2.950% | 6/15/27 | 9,932 | 10,769 | ||
Union Electric Co. | 3.500% | 3/15/29 | 16,053 | 17,949 | ||
Union Electric Co. | 2.950% | 3/15/30 | 9,473 | 10,258 | ||
United Utilities plc | 6.875% | 8/15/28 | 2,312 | 3,010 | ||
1 | Virginia Electric & Power Co. | 2.950% | 11/15/26 | 13,963 | 15,100 | |
1 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 23,097 | 25,640 | |
1 | Virginia Electric & Power Co. | 3.800% | 4/1/28 | 12,335 | 13,961 | |
1 | Virginia Electric & Power Co. | 2.875% | 7/15/29 | 14,733 | 15,896 | |
WEC Energy Group Inc. | 1.375% | 10/15/27 | 10,266 | 10,152 | ||
WEC Energy Group Inc. | 1.800% | 10/15/30 | 9,305 | 9,059 | ||
Wisconsin Electric Power Co. | 1.700% | 6/15/28 | 6,300 | 6,369 | ||
Wisconsin Power & Light Co. | 3.050% | 10/15/27 | 7,480 | 8,125 | ||
Wisconsin Power & Light Co. | 3.000% | 7/1/29 | 3,859 | 4,202 | ||
Xcel Energy Inc. | 3.350% | 12/1/26 | 13,448 | 14,673 | ||
Xcel Energy Inc. | 4.000% | 6/15/28 | 12,029 | 13,710 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Xcel Energy Inc. | 2.600% | 12/1/29 | 18,898 | 19,853 | ||
Xcel Energy Inc. | 3.400% | 6/1/30 | 15,808 | 17,526 | ||
3,385,944 | ||||||
Total Corporate Bonds (Cost $46,847,210) | 47,907,126 | |||||
Shares | ||||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
4 | Vanguard Market Liquidity Fund (Cost $222,393) | 0.068% | 2,223,931 | 222,393 | ||
Total Investments (99.5%) (Cost $47,577,209) | 48,637,262 | |||||
Other Assets and Liabilities—Net (0.5%) | 265,680 | |||||
Net Assets (100%) | 48,902,942 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | 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. |
2 | 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 August 31, 2021, the aggregate value was $747,321,000, representing 1.5% of net assets. |
3 | Securities with a value of $1,706,000 have been segregated as initial margin for open futures contracts. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
Ultra 10-Year U.S. Treasury Note | December 2021 | (27) | (3,996) | (1) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $47,354,816) | 48,414,869 |
Affiliated Issuers (Cost $222,393) | 222,393 |
Total Investments in Securities | 48,637,262 |
Investment in Vanguard | 1,648 |
Cash | 11,838 |
Receivables for Investment Securities Sold | 1,031,484 |
Receivables for Accrued Income | 409,385 |
Receivables for Capital Shares Issued | 1,129 |
Variation Margin Receivable—Futures Contracts | 395 |
Total Assets | 50,093,141 |
Liabilities | |
Payables for Investment Securities Purchased | 1,185,067 |
Payables for Capital Shares Redeemed | 4,117 |
Payables for Distributions | 937 |
Payables to Vanguard | 78 |
Total Liabilities | 1,190,199 |
Net Assets | 48,902,942 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 47,475,968 |
Total Distributable Earnings (Loss) | 1,426,974 |
Net Assets | 48,902,942 |
ETF Shares—Net Assets | |
Applicable to 490,435,332 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 46,872,656 |
Net Asset Value Per Share—ETF Shares | $95.57 |
Admiral Shares—Net Assets | |
Applicable to 61,641,271 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,587,323 |
Net Asset Value Per Share—Admiral Shares | $25.75 |
Institutional Shares—Net Assets | |
Applicable to 13,921,811 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 442,963 |
Net Asset Value Per Share—Institutional Shares | $31.82 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,046,064 |
Total Income | 1,046,064 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,054 |
Management and Administrative—ETF Shares | 13,841 |
Management and Administrative—Admiral Shares | 973 |
Management and Administrative—Institutional Shares | 180 |
Marketing and Distribution—ETF Shares | 1,905 |
Marketing and Distribution—Admiral Shares | 71 |
Marketing and Distribution—Institutional Shares | 13 |
Custodian Fees | 111 |
Auditing Fees | 42 |
Shareholders’ Reports—ETF Shares | 968 |
Shareholders’ Reports—Admiral Shares | 12 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 19,185 |
Net Investment Income | 1,026,879 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,233,884 |
Futures Contracts | 1,856 |
Realized Net Gain (Loss) | 1,235,740 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (1,298,247) |
Futures Contracts | 18 |
Change in Unrealized Appreciation (Depreciation) | (1,298,229) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 964,390 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $84,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $867,778,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,026,879 | 922,768 |
Realized Net Gain (Loss) | 1,235,740 | 638,698 |
Change in Unrealized Appreciation (Depreciation) | (1,298,229) | 857,685 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 964,390 | 2,419,151 |
Distributions | ||
ETF Shares | (1,059,945) | (856,258) |
Admiral Shares | (38,281) | (42,509) |
Institutional Shares | (10,049) | (12,870) |
Total Distributions | (1,108,275) | (911,637) |
Capital Share Transactions | ||
ETF Shares | 8,062,666 | 13,435,330 |
Admiral Shares | 45,641 | 105,631 |
Institutional Shares | 88,292 | (64,920) |
Net Increase (Decrease) from Capital Share Transactions | 8,196,599 | 13,476,041 |
Total Increase (Decrease) | 8,052,714 | 14,983,555 |
Net Assets | ||
Beginning of Period | 40,850,228 | 25,866,673 |
End of Period | 48,902,942 | 40,850,228 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $95.98 | $91.82 | $84.02 | $88.35 | $89.47 |
Investment Operations | |||||
Net Investment Income1 | 2.163 | 2.761 | 3.132 | 2.935 | 2.869 |
Net Realized and Unrealized Gain (Loss) on Investments | (.205) | 4.205 | 7.768 | (4.362) | (1.184) |
Total from Investment Operations | 1.958 | 6.966 | 10.900 | (1.427) | 1.685 |
Distributions | |||||
Dividends from Net Investment Income | (2.169) | (2.806) | (3.100) | (2.903) | (2.805) |
Distributions from Realized Capital Gains | (.199) | — | — | — | — |
Total Distributions | (2.368) | (2.806) | (3.100) | (2.903) | (2.805) |
Net Asset Value, End of Period | $95.57 | $95.98 | $91.82 | $84.02 | $88.35 |
Total Return | 2.08% | 7.78% | 13.33% | -1.62% | 1.98% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $46,873 | $38,944 | $24,080 | $19,302 | $16,699 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.27% | 2.99% | 3.65% | 3.44% | 3.30% |
Portfolio Turnover Rate2 | 53% | 72% | 59% | 65% | 65% |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $25.86 | $24.71 | $22.61 | $23.78 | $24.08 |
Investment Operations | |||||
Net Investment Income1 | .578 | .747 | .839 | .792 | .774 |
Net Realized and Unrealized Gain (Loss) on Investments | (.062) | 1.138 | 2.097 | (1.175) | (.318) |
Total from Investment Operations | .516 | 1.885 | 2.936 | (.383) | .456 |
Distributions | |||||
Dividends from Net Investment Income | (.572) | (.735) | (.836) | (.787) | (.756) |
Distributions from Realized Capital Gains | (.054) | — | — | — | — |
Total Distributions | (.626) | (.735) | (.836) | (.787) | (.756) |
Net Asset Value, End of Period | $25.75 | $25.86 | $24.71 | $22.61 | $23.78 |
Total Return2 | 2.03% | 7.79% | 13.30% | -1.61% | 1.99% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,587 | $1,549 | $1,381 | $1,076 | $1,014 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.25% | 3.01% | 3.63% | 3.44% | 3.30% |
Portfolio Turnover Rate3 | 53% | 72% | 59% | 65% | 65% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $31.95 | $30.53 | $27.94 | $29.38 | $29.75 |
Investment Operations | |||||
Net Investment Income1 | .720 | .940 | 1.044 | .983 | .962 |
Net Realized and Unrealized Gain (Loss) on Investments | (.070) | 1.394 | 2.584 | (1.446) | (.392) |
Total from Investment Operations | .650 | 2.334 | 3.628 | (.463) | .570 |
Distributions | |||||
Dividends from Net Investment Income | (.714) | (.914) | (1.038) | (.977) | (.940) |
Distributions from Realized Capital Gains | (.066) | — | — | — | — |
Total Distributions | (.780) | (.914) | (1.038) | (.977) | (.940) |
Net Asset Value, End of Period | $31.82 | $31.95 | $30.53 | $27.94 | $29.38 |
Total Return2 | 2.07% | 7.81% | 13.30% | -1.57% | 2.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $443 | $357 | $406 | $492 | $572 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.27% | 3.07% | 3.65% | 3.46% | 3.32% |
Portfolio Turnover Rate3 | 53% | 72% | 59% | 65% | 65% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 507,743 | — | 507,743 |
Corporate Bonds | — | 47,907,126 | — | 47,907,126 |
Temporary Cash Investments | 222,393 | — | — | 222,393 |
Total | 222,393 | 48,414,869 | — | 48,637,262 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 1 | — | — | 1 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 893,445 |
Total Distributable Earnings (Loss) | (893,445) |
Amount ($000) | |
Undistributed Ordinary Income | 107,922 |
Undistributed Long-Term Gains | 266,536 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 1,053,453 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 1,043,345 | 911,637 |
Long-Term Capital Gains | 64,930 | — |
Total | 1,108,275 | 911,637 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 47,583,809 |
Gross Unrealized Appreciation | 1,268,085 |
Gross Unrealized Depreciation | (214,632) |
Net Unrealized Appreciation (Depreciation) | 1,053,453 |
E. | During the year ended August 31, 2021, the fund purchased $33,561,814,000 of investment securities and sold $25,674,218,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $10,785,184,000 and $10,300,186,000, respectively. Purchases and sales include $20,312,728,000 and $12,408,573,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued1 | 20,684,453 | 217,097 | 21,977,106 | 236,975 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (12,621,787) | (132,400) | (8,541,776) | (93,500) | |
Net Increase (Decrease)—ETF Shares | 8,062,666 | 84,697 | 13,435,330 | 143,475 |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued1 | 392,434 | 15,237 | 526,493 | 21,282 | |
Issued in Lieu of Cash Distributions | 30,298 | 1,179 | 34,053 | 1,371 | |
Redeemed | (377,091) | (14,690) | (454,915) | (18,616) | |
Net Increase (Decrease)—Admiral Shares | 45,641 | 1,726 | 105,631 | 4,037 | |
Institutional Shares | |||||
Issued1 | 141,963 | 4,463 | 139,541 | 4,570 | |
Issued in Lieu of Cash Distributions | 6,380 | 201 | 8,451 | 276 | |
Redeemed | (60,051) | (1,906) | (212,912) | (6,963) | |
Net Increase (Decrease)—Institutional Shares | 88,292 | 2,758 | (64,920) | (2,117) |
1 | Includes purchase fees for fiscal 2021 and 2020 of $1,285,000 and $1,686,000, respectively (fund totals). |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Long-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 4.39% | 6.44% | 7.38% | $20,380 |
Long-Term Corporate Bond Index Fund ETF Shares Market Price | 3.80 | 6.42 | 7.24 | 20,108 | |
![]() | Bloomberg U.S. 10+ Year Corporate Bond Index | 3.95 | 6.52 | 7.30 | 20,222 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Long-Term Corporate Bond Index Fund Admiral Shares | 3.32% | 6.23% | 7.27% | $20,180 | |
Bloomberg U.S. 10+ Year Corporate Bond Index | 3.95 | 6.52 | 7.30 | 20,222 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Long-Term Corporate Bond Index Fund Institutional Shares | 3.33% | 6.24% | 7.29% | $10,107,200 | |
Bloomberg U.S. 10+ Year Corporate Bond Index | 3.95 | 6.52 | 7.30 | 10,110,926 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 6,863,983 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Long-Term Corporate Bond Index Fund ETF Shares Market Price | 3.80% | 36.52% | 101.08% |
Long-Term Corporate Bond Index Fund ETF Shares Net Asset Value | 4.39 | 36.65 | 103.80 |
Bloomberg U.S. 10+ Year Corporate Bond Index | 3.95 | 37.12 | 102.22 |
Corporate Bonds – Communications | 13.5% |
Corporate Bonds – Consumer Discretionary | 5.6 |
Corporate Bonds – Consumer Staples | 7.9 |
Corporate Bonds – Energy | 9.0 |
Corporate Bonds – Financials | 15.1 |
Corporate Bonds – Health Care | 14.7 |
Corporate Bonds – Industrials | 8.6 |
Corporate Bonds – Materials | 3.7 |
Corporate Bonds – Real Estate | 1.5 |
Corporate Bonds – Technology | 8.3 |
Corporate Bonds – Utilities | 11.8 |
Taxable Municipal Bonds | 0.0 |
U.S. Government and Agency Obligations | 0.3 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (0.3%) | ||||||
U.S. Government Securities (0.3%) | ||||||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 14,055 | 13,983 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 2,545 | 2,811 | ||
Total U.S. Government and Agency Obligations (Cost $16,792) | 16,794 | |||||
Corporate Bonds (98.7%) | ||||||
Communications (13.4%) | ||||||
Activision Blizzard Inc. | 4.500% | 6/15/47 | 1,540 | 1,913 | ||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 2,469 | 2,205 | ||
Alphabet Inc. | 1.900% | 8/15/40 | 2,671 | 2,477 | ||
Alphabet Inc. | 2.050% | 8/15/50 | 5,716 | 5,185 | ||
Alphabet Inc. | 2.250% | 8/15/60 | 4,393 | 3,995 | ||
America Movil SAB de CV | 6.375% | 3/1/35 | 968 | 1,392 | ||
America Movil SAB de CV | 6.125% | 11/15/37 | 969 | 1,351 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 4,853 | 6,974 | ||
America Movil SAB de CV | 4.375% | 7/16/42 | 3,302 | 4,036 | ||
America Movil SAB de CV | 4.375% | 4/22/49 | 3,335 | 4,192 | ||
AT&T Inc. | 2.250% | 2/1/32 | 5,800 | 5,767 | ||
1 | AT&T Inc. | 2.550% | 12/1/33 | 9,438 | 9,485 | |
AT&T Inc. | 6.150% | 9/15/34 | 618 | 832 | ||
AT&T Inc. | 4.500% | 5/15/35 | 6,074 | 7,196 | ||
AT&T Inc. | 5.250% | 3/1/37 | 3,076 | 3,903 | ||
AT&T Inc. | 4.900% | 8/15/37 | 2,043 | 2,531 | ||
AT&T Inc. | 6.550% | 2/15/39 | 150 | 215 | ||
AT&T Inc. | 4.850% | 3/1/39 | 3,487 | 4,274 | ||
AT&T Inc. | 6.000% | 8/15/40 | 275 | 379 | ||
AT&T Inc. | 5.350% | 9/1/40 | 2,468 | 3,202 | ||
AT&T Inc. | 6.375% | 3/1/41 | 1,070 | 1,553 | ||
AT&T Inc. | 6.250% | 3/29/41 | 442 | 624 | ||
AT&T Inc. | 3.500% | 6/1/41 | 5,423 | 5,727 | ||
AT&T Inc. | 5.550% | 8/15/41 | 2,021 | 2,688 | ||
AT&T Inc. | 5.150% | 3/15/42 | 3,162 | 4,017 | ||
AT&T Inc. | 4.900% | 6/15/42 | 2,662 | 3,318 | ||
AT&T Inc. | 4.300% | 12/15/42 | 3,216 | 3,717 | ||
AT&T Inc. | 3.100% | 2/1/43 | 4,640 | 4,607 | ||
AT&T Inc. | 4.650% | 6/1/44 | 1,446 | 1,734 | ||
AT&T Inc. | 4.350% | 6/15/45 | 2,343 | 2,713 | ||
AT&T Inc. | 4.850% | 7/15/45 | 1,685 | 2,082 | ||
AT&T Inc. | 4.750% | 5/15/46 | 3,568 | 4,368 | ||
2 | AT&T Inc. | 5.150% | 11/15/46 | 1,376 | 1,779 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AT&T Inc. | 5.650% | 2/15/47 | 1,500 | 2,047 | ||
AT&T Inc. | 5.450% | 3/1/47 | 904 | 1,206 | ||
AT&T Inc. | 4.500% | 3/9/48 | 4,055 | 4,834 | ||
AT&T Inc. | 4.550% | 3/9/49 | 3,269 | 3,919 | ||
AT&T Inc. | 5.150% | 2/15/50 | 1,150 | 1,489 | ||
AT&T Inc. | 3.650% | 6/1/51 | 6,470 | 6,846 | ||
AT&T Inc. | 3.300% | 2/1/52 | 5,387 | 5,366 | ||
1 | AT&T Inc. | 3.500% | 9/15/53 | 16,936 | 17,384 | |
1 | AT&T Inc. | 3.550% | 9/15/55 | 17,857 | 18,242 | |
1 | AT&T Inc. | 3.800% | 12/1/57 | 16,524 | 17,588 | |
1 | AT&T Inc. | 3.650% | 9/15/59 | 15,306 | 15,750 | |
AT&T Inc. | 3.850% | 6/1/60 | 2,805 | 2,991 | ||
AT&T Inc. | 3.500% | 2/1/61 | 2,543 | 2,522 | ||
Bell Telephone Co. of Canada or Bell Canada | 4.464% | 4/1/48 | 1,831 | 2,280 | ||
Bell Telephone Co. of Canada or Bell Canada | 4.300% | 7/29/49 | 2,212 | 2,680 | ||
2 | Bell Telephone Co. of Canada or Bell Canada | 3.650% | 3/17/51 | 475 | 525 | |
2 | Bell Telephone Co. of Canada or Bell Canada | 3.200% | 2/15/52 | 500 | 516 | |
Charter Communications Operating LLC | 2.300% | 2/1/32 | 2,720 | 2,653 | ||
Charter Communications Operating LLC | 6.384% | 10/23/35 | 4,937 | 6,594 | ||
Charter Communications Operating LLC | 5.375% | 4/1/38 | 1,510 | 1,866 | ||
Charter Communications Operating LLC | 3.500% | 6/1/41 | 3,802 | 3,843 | ||
Charter Communications Operating LLC | 6.484% | 10/23/45 | 6,656 | 9,289 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 5,405 | 6,648 | ||
Charter Communications Operating LLC | 5.750% | 4/1/48 | 5,755 | 7,437 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 3,359 | 4,049 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 6,280 | 7,370 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 4,717 | 4,741 | ||
Charter Communications Operating LLC | 3.900% | 6/1/52 | 5,685 | 5,874 | ||
Charter Communications Operating LLC | 6.834% | 10/23/55 | 1,568 | 2,338 | ||
Charter Communications Operating LLC | 3.850% | 4/1/61 | 4,110 | 4,079 | ||
Charter Communications Operating LLC | 4.400% | 12/1/61 | 3,905 | 4,273 | ||
Comcast Corp. | 4.250% | 1/15/33 | 3,019 | 3,612 | ||
Comcast Corp. | 7.050% | 3/15/33 | 1,045 | 1,533 | ||
Comcast Corp. | 4.200% | 8/15/34 | 3,625 | 4,314 | ||
Comcast Corp. | 5.650% | 6/15/35 | 1,740 | 2,365 | ||
Comcast Corp. | 4.400% | 8/15/35 | 1,443 | 1,755 | ||
Comcast Corp. | 6.500% | 11/15/35 | 453 | 661 | ||
Comcast Corp. | 3.200% | 7/15/36 | 2,281 | 2,486 | ||
Comcast Corp. | 6.450% | 3/15/37 | 1,254 | 1,857 | ||
Comcast Corp. | 3.900% | 3/1/38 | 3,141 | 3,660 | ||
Comcast Corp. | 4.600% | 10/15/38 | 5,912 | 7,414 | ||
Comcast Corp. | 6.550% | 7/1/39 | 100 | 154 | ||
Comcast Corp. | 3.250% | 11/1/39 | 3,205 | 3,483 | ||
Comcast Corp. | 3.750% | 4/1/40 | 2,685 | 3,086 | ||
Comcast Corp. | 4.650% | 7/15/42 | 3,474 | 4,408 | ||
Comcast Corp. | 4.600% | 8/15/45 | 2,736 | 3,509 | ||
Comcast Corp. | 3.400% | 7/15/46 | 2,036 | 2,221 | ||
Comcast Corp. | 4.000% | 8/15/47 | 3,729 | 4,410 | ||
Comcast Corp. | 3.969% | 11/1/47 | 6,153 | 7,244 | ||
Comcast Corp. | 4.000% | 3/1/48 | 1,679 | 1,990 | ||
Comcast Corp. | 4.700% | 10/15/48 | 4,541 | 5,986 | ||
Comcast Corp. | 3.999% | 11/1/49 | 3,393 | 4,041 | ||
Comcast Corp. | 3.450% | 2/1/50 | 3,543 | 3,888 | ||
Comcast Corp. | 2.800% | 1/15/51 | 2,217 | 2,179 | ||
1 | Comcast Corp. | 2.887% | 11/1/51 | 9,665 | 9,621 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comcast Corp. | 2.450% | 8/15/52 | 5,070 | 4,671 | ||
Comcast Corp. | 4.049% | 11/1/52 | 5,046 | 6,073 | ||
1 | Comcast Corp. | 2.937% | 11/1/56 | 13,961 | 13,827 | |
Comcast Corp. | 4.950% | 10/15/58 | 2,591 | 3,708 | ||
Comcast Corp. | 2.650% | 8/15/62 | 2,695 | 2,500 | ||
1 | Comcast Corp. | 2.987% | 11/1/63 | 3,870 | 3,812 | |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 1,477 | 2,426 | ||
Discovery Communications LLC | 5.000% | 9/20/37 | 947 | 1,159 | ||
Discovery Communications LLC | 6.350% | 6/1/40 | 769 | 1,067 | ||
Discovery Communications LLC | 4.875% | 4/1/43 | 1,548 | 1,867 | ||
Discovery Communications LLC | 5.200% | 9/20/47 | 3,374 | 4,245 | ||
Discovery Communications LLC | 5.300% | 5/15/49 | 1,687 | 2,154 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 2,614 | 3,096 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 4,736 | 5,080 | ||
Electronic Arts Inc. | 2.950% | 2/15/51 | 1,035 | 1,023 | ||
Fox Corp. | 5.476% | 1/25/39 | 3,848 | 4,996 | ||
Fox Corp. | 5.576% | 1/25/49 | 3,217 | 4,423 | ||
Grupo Televisa SAB | 6.625% | 1/15/40 | 1,935 | 2,785 | ||
Grupo Televisa SAB | 5.000% | 5/13/45 | 2,234 | 2,771 | ||
Grupo Televisa SAB | 6.125% | 1/31/46 | 1,225 | 1,748 | ||
Grupo Televisa SAB | 5.250% | 5/24/49 | 1,875 | 2,480 | ||
Interpublic Group of Cos. Inc. | 3.375% | 3/1/41 | 1,220 | 1,282 | ||
Interpublic Group of Cos. Inc. | 5.400% | 10/1/48 | 1,296 | 1,767 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 3,211 | 4,001 | ||
Orange SA | 5.375% | 1/13/42 | 2,156 | 2,941 | ||
Orange SA | 5.500% | 2/6/44 | 1,252 | 1,756 | ||
Rogers Communications Inc. | 7.500% | 8/15/38 | 593 | 920 | ||
Rogers Communications Inc. | 4.500% | 3/15/43 | 1,599 | 1,878 | ||
Rogers Communications Inc. | 5.450% | 10/1/43 | 558 | 740 | ||
Rogers Communications Inc. | 5.000% | 3/15/44 | 894 | 1,123 | ||
Rogers Communications Inc. | 4.300% | 2/15/48 | 1,500 | 1,728 | ||
Rogers Communications Inc. | 4.350% | 5/1/49 | 3,960 | 4,635 | ||
Rogers Communications Inc. | 3.700% | 11/15/49 | 3,294 | 3,510 | ||
Telefonica Emisiones SA | 7.045% | 6/20/36 | 4,859 | 7,062 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 2,070 | 2,457 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 5,068 | 6,387 | ||
Telefonica Emisiones SA | 4.895% | 3/6/48 | 2,817 | 3,427 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 2,910 | 3,835 | ||
TELUS Corp. | 4.600% | 11/16/48 | 1,187 | 1,530 | ||
TELUS Corp. | 4.300% | 6/15/49 | 832 | 1,015 | ||
Thomson Reuters Corp. | 5.500% | 8/15/35 | 1,235 | 1,637 | ||
Thomson Reuters Corp. | 5.850% | 4/15/40 | 502 | 703 | ||
Thomson Reuters Corp. | 5.650% | 11/23/43 | 1,085 | 1,506 | ||
Time Warner Cable LLC | 6.550% | 5/1/37 | 4,534 | 6,195 | ||
Time Warner Cable LLC | 7.300% | 7/1/38 | 2,473 | 3,605 | ||
Time Warner Cable LLC | 6.750% | 6/15/39 | 3,865 | 5,401 | ||
Time Warner Cable LLC | 5.875% | 11/15/40 | 2,908 | 3,746 | ||
Time Warner Cable LLC | 5.500% | 9/1/41 | 2,583 | 3,235 | ||
Time Warner Cable LLC | 4.500% | 9/15/42 | 2,930 | 3,288 | ||
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 2,545 | 3,800 | ||
T-Mobile USA Inc. | 2.250% | 11/15/31 | 1,955 | 1,945 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 5,202 | 6,088 | ||
T-Mobile USA Inc. | 3.000% | 2/15/41 | 5,435 | 5,389 | ||
T-Mobile USA Inc. | 4.500% | 4/15/50 | 6,210 | 7,456 | ||
T-Mobile USA Inc. | 3.300% | 2/15/51 | 6,920 | 6,943 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | T-Mobile USA Inc. | 3.400% | 10/15/52 | 3,000 | 3,044 | |
1 | T-Mobile USA Inc. | 3.600% | 11/15/60 | 4,770 | 4,898 | |
2 | TWDC Enterprises 18 Corp. | 7.000% | 3/1/32 | 1,468 | 2,122 | |
TWDC Enterprises 18 Corp. | 4.375% | 8/16/41 | 870 | 1,081 | ||
2 | TWDC Enterprises 18 Corp. | 4.125% | 12/1/41 | 991 | 1,202 | |
2 | TWDC Enterprises 18 Corp. | 3.700% | 12/1/42 | 1,880 | 2,159 | |
2 | TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 1,535 | 1,871 | |
2 | TWDC Enterprises 18 Corp. | 3.000% | 7/30/46 | 794 | 825 | |
Verizon Communications Inc. | 4.500% | 8/10/33 | 6,664 | 8,067 | ||
Verizon Communications Inc. | 6.400% | 9/15/33 | 355 | 491 | ||
Verizon Communications Inc. | 4.400% | 11/1/34 | 5,770 | 6,955 | ||
Verizon Communications Inc. | 4.272% | 1/15/36 | 7,530 | 8,990 | ||
Verizon Communications Inc. | 5.250% | 3/16/37 | 3,710 | 4,913 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 4,142 | 5,261 | ||
Verizon Communications Inc. | 2.650% | 11/20/40 | 7,286 | 7,057 | ||
Verizon Communications Inc. | 3.400% | 3/22/41 | 9,275 | 9,933 | ||
Verizon Communications Inc. | 6.550% | 9/15/43 | 185 | 295 | ||
Verizon Communications Inc. | 4.125% | 8/15/46 | 4,275 | 5,020 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 10,218 | 13,323 | ||
Verizon Communications Inc. | 5.500% | 3/16/47 | 113 | 160 | ||
Verizon Communications Inc. | 4.522% | 9/15/48 | 8,314 | 10,474 | ||
Verizon Communications Inc. | 5.012% | 4/15/49 | 2,518 | 3,366 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 2,484 | 2,886 | ||
Verizon Communications Inc. | 2.875% | 11/20/50 | 6,547 | 6,296 | ||
Verizon Communications Inc. | 3.550% | 3/22/51 | 10,250 | 11,139 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 5,525 | 7,182 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 10,146 | 9,787 | ||
Verizon Communications Inc. | 3.000% | 11/20/60 | 4,295 | 4,131 | ||
Verizon Communications Inc. | 3.700% | 3/22/61 | 9,570 | 10,518 | ||
ViacomCBS Inc. | 4.200% | 5/19/32 | 3,325 | 3,845 | ||
ViacomCBS Inc. | 5.500% | 5/15/33 | 855 | 1,098 | ||
ViacomCBS Inc. | 6.875% | 4/30/36 | 2,583 | 3,728 | ||
ViacomCBS Inc. | 5.900% | 10/15/40 | 1,122 | 1,501 | ||
ViacomCBS Inc. | 4.850% | 7/1/42 | 2,233 | 2,741 | ||
ViacomCBS Inc. | 4.375% | 3/15/43 | 2,718 | 3,181 | ||
ViacomCBS Inc. | 5.850% | 9/1/43 | 3,036 | 4,208 | ||
ViacomCBS Inc. | 5.250% | 4/1/44 | 467 | 601 | ||
ViacomCBS Inc. | 4.900% | 8/15/44 | 1,249 | 1,539 | ||
ViacomCBS Inc. | 4.600% | 1/15/45 | 1,426 | 1,717 | ||
ViacomCBS Inc. | 4.950% | 5/19/50 | 1,850 | 2,352 | ||
Vodafone Group plc | 6.250% | 11/30/32 | 659 | 895 | ||
Vodafone Group plc | 6.150% | 2/27/37 | 3,132 | 4,378 | ||
Vodafone Group plc | 5.000% | 5/30/38 | 3,079 | 3,924 | ||
Vodafone Group plc | 4.375% | 2/19/43 | 2,387 | 2,836 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 7,549 | 10,051 | ||
Vodafone Group plc | 4.875% | 6/19/49 | 4,325 | 5,547 | ||
Vodafone Group plc | 4.250% | 9/17/50 | 2,699 | 3,191 | ||
Vodafone Group plc | 5.125% | 6/19/59 | 1,395 | 1,867 | ||
Walt Disney Co. | 6.550% | 3/15/33 | 1,413 | 2,027 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 3,023 | 4,282 | ||
Walt Disney Co. | 6.400% | 12/15/35 | 2,177 | 3,213 | ||
Walt Disney Co. | 6.150% | 3/1/37 | 1,067 | 1,532 | ||
Walt Disney Co. | 6.650% | 11/15/37 | 3,182 | 4,855 | ||
Walt Disney Co. | 4.625% | 3/23/40 | 1,695 | 2,166 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 3,220 | 3,619 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Walt Disney Co. | 6.150% | 2/15/41 | 470 | 700 | ||
Walt Disney Co. | 5.400% | 10/1/43 | 1,506 | 2,120 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 2,279 | 2,991 | ||
Walt Disney Co. | 4.950% | 10/15/45 | 1,090 | 1,471 | ||
Walt Disney Co. | 7.750% | 12/1/45 | 325 | 583 | ||
Walt Disney Co. | 4.750% | 11/15/46 | 2,286 | 3,030 | ||
Walt Disney Co. | 2.750% | 9/1/49 | 3,679 | 3,661 | ||
Walt Disney Co. | 4.700% | 3/23/50 | 3,685 | 4,938 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 5,515 | 6,376 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 3,503 | 4,184 | ||
826,783 | ||||||
Consumer Discretionary (5.5%) | ||||||
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 856 | 1,009 | ||
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 2,913 | 3,258 | ||
Alibaba Group Holding Ltd. | 2.700% | 2/9/41 | 100 | 95 | ||
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 5,720 | 6,619 | ||
Alibaba Group Holding Ltd. | 3.150% | 2/9/51 | 3,690 | 3,613 | ||
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 2,535 | 3,023 | ||
Alibaba Group Holding Ltd. | 3.250% | 2/9/61 | 1,470 | 1,423 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 2,101 | 2,721 | ||
Amazon.com Inc. | 3.875% | 8/22/37 | 7,079 | 8,449 | ||
Amazon.com Inc. | 2.875% | 5/12/41 | 4,100 | 4,300 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 3,951 | 5,440 | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 10,209 | 12,609 | ||
Amazon.com Inc. | 2.500% | 6/3/50 | 3,362 | 3,230 | ||
Amazon.com Inc. | 3.100% | 5/12/51 | 7,775 | 8,380 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 5,505 | 7,165 | ||
Amazon.com Inc. | 2.700% | 6/3/60 | 4,126 | 4,002 | ||
Amazon.com Inc. | 3.250% | 5/12/61 | 4,055 | 4,422 | ||
2 | American University | 3.672% | 4/1/49 | 1,161 | 1,351 | |
Aptiv plc | 4.400% | 10/1/46 | 315 | 378 | ||
Aptiv plc | 5.400% | 3/15/49 | 270 | 377 | ||
BorgWarner Inc. | 4.375% | 3/15/45 | 443 | 528 | ||
2 | Brown University in Providence in the State of Rhode Island & Providence Plant | 2.924% | 9/1/50 | 1,380 | 1,509 | |
2 | California Endowment | 2.498% | 4/1/51 | 865 | 853 | |
California Institute of Technology | 4.321% | 8/1/45 | 745 | 980 | ||
California Institute of Technology | 4.700% | 11/1/11 | 928 | 1,371 | ||
California Institute of Technology | 3.650% | 9/1/19 | 1,145 | 1,359 | ||
Cleveland Clinic Foundation | 4.858% | 1/1/14 | 903 | 1,334 | ||
Darden Restaurants Inc. | 4.550% | 2/15/48 | 665 | 780 | ||
2 | Duke University | 2.682% | 10/1/44 | 1,165 | 1,207 | |
2 | Duke University | 2.832% | 10/1/55 | 1,685 | 1,767 | |
eBay Inc. | 4.000% | 7/15/42 | 1,807 | 2,058 | ||
eBay Inc. | 3.650% | 5/10/51 | 2,280 | 2,489 | ||
2 | Emory University | 2.969% | 9/1/50 | 1,287 | 1,386 | |
2 | Ford Foundation | 2.415% | 6/1/50 | 250 | 246 | |
2 | Ford Foundation | 2.815% | 6/1/70 | 1,829 | 1,882 | |
General Motors Co. | 5.000% | 4/1/35 | 918 | 1,105 | ||
General Motors Co. | 6.600% | 4/1/36 | 3,151 | 4,311 | ||
General Motors Co. | 5.150% | 4/1/38 | 2,409 | 2,918 | ||
General Motors Co. | 6.250% | 10/2/43 | 2,618 | 3,583 | ||
General Motors Co. | 5.200% | 4/1/45 | 2,905 | 3,595 | ||
General Motors Co. | 6.750% | 4/1/46 | 2,465 | 3,569 | ||
General Motors Co. | 5.400% | 4/1/48 | 2,066 | 2,621 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
General Motors Co. | 5.950% | 4/1/49 | 2,810 | 3,825 | ||
2 | George Washington University | 4.300% | 9/15/44 | 780 | 1,005 | |
George Washington University | 4.868% | 9/15/45 | 645 | 891 | ||
2 | George Washington University | 4.126% | 9/15/48 | 1,416 | 1,787 | |
2 | Georgetown University | 4.315% | 4/1/49 | 587 | 744 | |
2 | Georgetown University | 2.943% | 4/1/50 | 705 | 725 | |
2 | Georgetown University | 5.215% | 10/1/18 | 811 | 1,226 | |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 1,008 | 1,096 | ||
Hasbro Inc. | 6.350% | 3/15/40 | 733 | 1,027 | ||
Hasbro Inc. | 5.100% | 5/15/44 | 1,158 | 1,421 | ||
Home Depot Inc. | 5.875% | 12/16/36 | 7,140 | 10,244 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 2,828 | 3,136 | ||
Home Depot Inc. | 5.400% | 9/15/40 | 1,915 | 2,661 | ||
Home Depot Inc. | 5.950% | 4/1/41 | 2,937 | 4,317 | ||
Home Depot Inc. | 4.200% | 4/1/43 | 642 | 793 | ||
Home Depot Inc. | 4.875% | 2/15/44 | 2,605 | 3,511 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 975 | 1,246 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 4,449 | 5,603 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 2,961 | 3,558 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 2,951 | 3,878 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 3,212 | 3,443 | ||
Home Depot Inc. | 3.350% | 4/15/50 | 3,192 | 3,557 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 2,005 | 1,878 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 2,274 | 2,596 | ||
JD.com Inc. | 4.125% | 1/14/50 | 495 | 539 | ||
2 | Johns Hopkins University | 4.083% | 7/1/53 | 847 | 1,112 | |
2 | Johns Hopkins University | 2.813% | 1/1/60 | 865 | 904 | |
Kohl's Corp. | 5.550% | 7/17/45 | 1,025 | 1,273 | ||
Lear Corp. | 5.250% | 5/15/49 | 1,515 | 1,930 | ||
Leland Stanford Junior University | 3.647% | 5/1/48 | 1,529 | 1,897 | ||
Leland Stanford Junior University | 2.413% | 6/1/50 | 1,184 | 1,187 | ||
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 375 | 496 | ||
Lowe's Cos. Inc. | 5.000% | 4/15/40 | 2,839 | 3,683 | ||
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 565 | 708 | ||
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 347 | 401 | ||
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 300 | 364 | ||
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 1,600 | 1,785 | ||
Lowe's Cos. Inc. | 4.050% | 5/3/47 | 3,544 | 4,142 | ||
Lowe's Cos. Inc. | 4.550% | 4/5/49 | 2,265 | 2,854 | ||
Lowe's Cos. Inc. | 5.125% | 4/15/50 | 479 | 657 | ||
Lowe's Cos. Inc. | 3.000% | 10/15/50 | 4,553 | 4,561 | ||
Lowe's Cos. Inc. | 3.500% | 4/1/51 | 1,845 | 2,010 | ||
2 | Marriott International Inc. | 3.500% | 10/15/32 | 2,652 | 2,833 | |
Masco Corp. | 4.500% | 5/15/47 | 878 | 1,074 | ||
Masco Corp. | 3.125% | 2/15/51 | 750 | 754 | ||
2 | Massachusetts Institute of Technology | 3.959% | 7/1/38 | 1,085 | 1,312 | |
2 | Massachusetts Institute of Technology | 2.989% | 7/1/50 | 965 | 1,072 | |
2 | Massachusetts Institute of Technology | 2.294% | 7/1/51 | 642 | 621 | |
Massachusetts Institute of Technology | 5.600% | 7/1/11 | 1,286 | 2,294 | ||
Massachusetts Institute of Technology | 4.678% | 7/1/14 | 1,545 | 2,344 | ||
Massachusetts Institute of Technology | 3.885% | 7/1/16 | 1,295 | 1,647 | ||
2 | McDonald's Corp. | 4.700% | 12/9/35 | 3,090 | 3,868 | |
2 | McDonald's Corp. | 6.300% | 10/15/37 | 1,874 | 2,705 | |
2 | McDonald's Corp. | 6.300% | 3/1/38 | 1,135 | 1,648 | |
2 | McDonald's Corp. | 5.700% | 2/1/39 | 1,614 | 2,231 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | McDonald's Corp. | 4.875% | 7/15/40 | 755 | 970 | |
2 | McDonald's Corp. | 3.700% | 2/15/42 | 2,167 | 2,443 | |
2 | McDonald's Corp. | 3.625% | 5/1/43 | 1,715 | 1,927 | |
2 | McDonald's Corp. | 4.600% | 5/26/45 | 576 | 729 | |
2 | McDonald's Corp. | 4.875% | 12/9/45 | 1,732 | 2,279 | |
2 | McDonald's Corp. | 4.450% | 3/1/47 | 780 | 972 | |
2 | McDonald's Corp. | 4.450% | 9/1/48 | 1,356 | 1,701 | |
2 | McDonald's Corp. | 3.625% | 9/1/49 | 5,054 | 5,683 | |
2 | McDonald's Corp. | 4.200% | 4/1/50 | 2,038 | 2,503 | |
MDC Holdings Inc. | 6.000% | 1/15/43 | 1,115 | 1,438 | ||
NIKE Inc. | 3.250% | 3/27/40 | 2,430 | 2,709 | ||
NIKE Inc. | 3.625% | 5/1/43 | 579 | 686 | ||
NIKE Inc. | 3.875% | 11/1/45 | 1,454 | 1,780 | ||
NIKE Inc. | 3.375% | 11/1/46 | 516 | 588 | ||
NIKE Inc. | 3.375% | 3/27/50 | 4,745 | 5,454 | ||
Nordstrom Inc. | 5.000% | 1/15/44 | 1,535 | 1,524 | ||
2 | Northeastern University | 2.894% | 10/1/50 | 660 | 685 | |
2 | Northwestern University | 4.643% | 12/1/44 | 720 | 957 | |
2 | Northwestern University | 2.640% | 12/1/50 | 770 | 786 | |
2 | Northwestern University | 3.662% | 12/1/57 | 1,182 | 1,490 | |
Owens Corning | 7.000% | 12/1/36 | 222 | 325 | ||
Owens Corning | 4.300% | 7/15/47 | 2,144 | 2,531 | ||
Owens Corning | 4.400% | 1/30/48 | 978 | 1,173 | ||
President & Fellows of Harvard College | 4.875% | 10/15/40 | 673 | 934 | ||
President & Fellows of Harvard College | 3.150% | 7/15/46 | 1,326 | 1,503 | ||
President & Fellows of Harvard College | 2.517% | 10/15/50 | 1,515 | 1,539 | ||
President & Fellows of Harvard College | 3.300% | 7/15/56 | 369 | 436 | ||
PulteGroup Inc. | 7.875% | 6/15/32 | 1,009 | 1,472 | ||
PulteGroup Inc. | 6.375% | 5/15/33 | 965 | 1,291 | ||
PulteGroup Inc. | 6.000% | 2/15/35 | 400 | 528 | ||
2 | Rockefeller Foundation | 2.492% | 10/1/50 | 2,000 | 1,997 | |
Snap-on Inc. | 4.100% | 3/1/48 | 335 | 418 | ||
Snap-on Inc. | 3.100% | 5/1/50 | 1,205 | 1,300 | ||
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 585 | 787 | ||
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 1,190 | 1,622 | ||
Stanley Black & Decker Inc. | 2.750% | 11/15/50 | 2,707 | 2,680 | ||
Starbucks Corp. | 4.300% | 6/15/45 | 1,002 | 1,212 | ||
Starbucks Corp. | 3.750% | 12/1/47 | 1,724 | 1,943 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 2,875 | 3,644 | ||
Starbucks Corp. | 4.450% | 8/15/49 | 1,691 | 2,131 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 540 | 578 | ||
Starbucks Corp. | 3.500% | 11/15/50 | 3,265 | 3,577 | ||
TJX Cos. Inc. | 4.500% | 4/15/50 | 1,647 | 2,207 | ||
2 | Trustees of Boston College | 3.129% | 7/1/52 | 752 | 819 | |
2 | Trustees of Boston University | 4.061% | 10/1/48 | 995 | 1,250 | |
Trustees of Princeton University | 5.700% | 3/1/39 | 1,200 | 1,788 | ||
2 | Trustees of Princeton University | 2.516% | 7/1/50 | 1,180 | 1,203 | |
2 | Trustees of the University of Pennsylvania | 2.396% | 10/1/50 | 1,105 | 1,084 | |
Trustees of the University of Pennsylvania | 4.674% | 9/1/12 | 400 | 585 | ||
Trustees of the University of Pennsylvania | 3.610% | 2/15/19 | 717 | 848 | ||
2 | University of Chicago | 2.547% | 4/1/50 | 1,275 | 1,233 | |
University of Chicago | 3.000% | 10/1/52 | 750 | 809 | ||
2 | University of Chicago | 4.003% | 10/1/53 | 1,160 | 1,483 | |
2 | University of Notre Dame du Lac | 3.438% | 2/15/45 | 1,082 | 1,294 | |
2 | University of Notre Dame du Lac | 3.394% | 2/15/48 | 744 | 871 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | University of Southern California | 3.028% | 10/1/39 | 1,616 | 1,753 | |
2 | University of Southern California | 3.841% | 10/1/47 | 585 | 723 | |
University of Southern California | 2.805% | 10/1/50 | 495 | 519 | ||
2 | University of Southern California | 2.945% | 10/1/51 | 1,190 | 1,272 | |
University of Southern California | 5.250% | 10/1/11 | 818 | 1,313 | ||
2 | University of Southern California | 3.226% | 10/1/20 | 970 | 1,007 | |
Whirlpool Corp. | 4.500% | 6/1/46 | 1,094 | 1,338 | ||
Whirlpool Corp. | 4.600% | 5/15/50 | 1,185 | 1,496 | ||
2 | William Marsh Rice University | 3.574% | 5/15/45 | 1,232 | 1,438 | |
2 | William Marsh Rice University | 3.774% | 5/15/55 | 358 | 456 | |
2 | Yale University | 2.402% | 4/15/50 | 850 | 840 | |
340,943 | ||||||
Consumer Staples (7.8%) | ||||||
Altria Group Inc. | 2.450% | 2/4/32 | 4,010 | 3,917 | ||
Altria Group Inc. | 5.800% | 2/14/39 | 2,645 | 3,311 | ||
Altria Group Inc. | 3.400% | 2/4/41 | 3,225 | 3,103 | ||
Altria Group Inc. | 4.250% | 8/9/42 | 2,776 | 2,936 | ||
Altria Group Inc. | 4.500% | 5/2/43 | 3,308 | 3,621 | ||
Altria Group Inc. | 5.375% | 1/31/44 | 2,350 | 2,833 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 4,410 | 4,450 | ||
Altria Group Inc. | 5.950% | 2/14/49 | 3,698 | 4,814 | ||
Altria Group Inc. | 4.450% | 5/6/50 | 1,297 | 1,415 | ||
Altria Group Inc. | 3.700% | 2/4/51 | 3,100 | 3,010 | ||
Altria Group Inc. | 6.200% | 2/14/59 | 410 | 538 | ||
Altria Group Inc. | 4.000% | 2/4/61 | 3,750 | 3,683 | ||
2 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 11,065 | 13,633 | |
2 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 21,585 | 27,586 | |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 2,583 | 3,172 | ||
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 1,839 | 2,087 | ||
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 3,007 | 3,672 | ||
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 5,030 | 6,375 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.875% | 6/15/35 | 1,090 | 1,456 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 3,442 | 4,115 | ||
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 2,577 | 4,329 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 3,309 | 4,369 | ||
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 2,862 | 4,723 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.350% | 6/1/40 | 2,470 | 2,965 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 1,650 | 2,090 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 3,951 | 4,344 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 6,510 | 8,036 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.439% | 10/6/48 | 5,017 | 6,058 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.550% | 1/23/49 | 7,005 | 9,757 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.500% | 6/1/50 | 1,831 | 2,271 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 4/15/58 | 3,270 | 4,159 | ||
Anheuser-Busch InBev Worldwide Inc. | 5.800% | 1/23/59 | 5,047 | 7,483 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 6/1/60 | 2,087 | 2,606 | ||
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 640 | 875 | ||
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 410 | 561 | ||
Archer-Daniels-Midland Co. | 3.750% | 9/15/47 | 1,432 | 1,736 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 2,968 | 3,989 | ||
BAT Capital Corp. | 4.390% | 8/15/37 | 3,271 | 3,559 | ||
BAT Capital Corp. | 3.734% | 9/25/40 | 1,690 | 1,678 | ||
BAT Capital Corp. | 4.540% | 8/15/47 | 4,517 | 4,843 | ||
BAT Capital Corp. | 4.758% | 9/6/49 | 2,075 | 2,287 | ||
BAT Capital Corp. | 5.282% | 4/2/50 | 1,224 | 1,444 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
BAT Capital Corp. | 3.984% | 9/25/50 | 2,991 | 2,962 | ||
Brown-Forman Corp. | 4.000% | 4/15/38 | 1,013 | 1,209 | ||
Brown-Forman Corp. | 4.500% | 7/15/45 | 471 | 615 | ||
Campbell Soup Co. | 4.800% | 3/15/48 | 996 | 1,261 | ||
Campbell Soup Co. | 3.125% | 4/24/50 | 1,195 | 1,189 | ||
Church & Dwight Co. Inc. | 3.950% | 8/1/47 | 1,063 | 1,277 | ||
Coca-Cola Co. | 2.250% | 1/5/32 | 3,434 | 3,554 | ||
Coca-Cola Co. | 2.500% | 6/1/40 | 1,835 | 1,841 | ||
Coca-Cola Co. | 2.875% | 5/5/41 | 1,900 | 1,997 | ||
Coca-Cola Co. | 4.200% | 3/25/50 | 517 | 660 | ||
Coca-Cola Co. | 2.600% | 6/1/50 | 3,585 | 3,553 | ||
Coca-Cola Co. | 3.000% | 3/5/51 | 2,375 | 2,533 | ||
Coca-Cola Co. | 2.500% | 3/15/51 | 8,045 | 7,797 | ||
Coca-Cola Co. | 2.750% | 6/1/60 | 1,220 | 1,227 | ||
Coca-Cola Femsa SAB de CV | 1.850% | 9/1/32 | 921 | 891 | ||
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 1,244 | 1,690 | ||
2 | Colgate-Palmolive Co. | 4.000% | 8/15/45 | 973 | 1,247 | |
2 | Colgate-Palmolive Co. | 3.700% | 8/1/47 | 879 | 1,089 | |
Conagra Brands Inc. | 5.300% | 11/1/38 | 2,332 | 3,016 | ||
Conagra Brands Inc. | 5.400% | 11/1/48 | 2,159 | 2,943 | ||
Constellation Brands Inc. | 4.500% | 5/9/47 | 1,857 | 2,259 | ||
Constellation Brands Inc. | 4.100% | 2/15/48 | 1,166 | 1,347 | ||
Constellation Brands Inc. | 5.250% | 11/15/48 | 1,638 | 2,219 | ||
Constellation Brands Inc. | 3.750% | 5/1/50 | 1,355 | 1,515 | ||
Costco Wholesale Corp. | 1.750% | 4/20/32 | 3,639 | 3,627 | ||
Delhaize America LLC | 9.000% | 4/15/31 | 210 | 325 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 2,561 | 2,586 | ||
Diageo Capital plc | 5.875% | 9/30/36 | 1,870 | 2,676 | ||
Diageo Capital plc | 3.875% | 4/29/43 | 709 | 849 | ||
Diageo Investment Corp. | 7.450% | 4/15/35 | 1,007 | 1,589 | ||
Diageo Investment Corp. | 4.250% | 5/11/42 | 545 | 674 | ||
Dollar General Corp. | 4.125% | 4/3/50 | 1,842 | 2,205 | ||
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 1,952 | 2,824 | ||
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 323 | 413 | ||
Estee Lauder Cos. Inc. | 4.150% | 3/15/47 | 833 | 1,063 | ||
Estee Lauder Cos. Inc. | 3.125% | 12/1/49 | 695 | 770 | ||
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 866 | 1,053 | ||
Fomento Economico Mexicano SAB de CV | 3.500% | 1/16/50 | 5,993 | 6,392 | ||
General Mills Inc. | 5.400% | 6/15/40 | 655 | 894 | ||
1 | General Mills Inc. | 3.000% | 2/1/51 | 3,526 | 3,660 | |
Hershey Co. | 3.375% | 8/15/46 | 1,388 | 1,565 | ||
Hershey Co. | 3.125% | 11/15/49 | 601 | 652 | ||
Hormel Foods Corp. | 3.050% | 6/3/51 | 500 | 532 | ||
Ingredion Inc. | 3.900% | 6/1/50 | 560 | 646 | ||
J M Smucker Co. | 4.250% | 3/15/35 | 1,759 | 2,090 | ||
J M Smucker Co. | 4.375% | 3/15/45 | 926 | 1,128 | ||
J M Smucker Co. | 3.550% | 3/15/50 | 781 | 869 | ||
Kellogg Co. | 4.500% | 4/1/46 | 1,001 | 1,249 | ||
Keurig Dr Pepper Inc. | 4.985% | 5/25/38 | 1,952 | 2,493 | ||
Keurig Dr Pepper Inc. | 4.500% | 11/15/45 | 788 | 971 | ||
Keurig Dr Pepper Inc. | 4.420% | 12/15/46 | 1,839 | 2,250 | ||
Keurig Dr Pepper Inc. | 5.085% | 5/25/48 | 720 | 965 | ||
Keurig Dr Pepper Inc. | 3.800% | 5/1/50 | 1,592 | 1,811 | ||
Keurig Dr Pepper Inc. | 3.350% | 3/15/51 | 1,485 | 1,586 | ||
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 1,863 | 2,902 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 388 | 540 | ||
Kimberly-Clark Corp. | 3.200% | 7/30/46 | 1,590 | 1,758 | ||
Kimberly-Clark Corp. | 3.900% | 5/4/47 | 370 | 455 | ||
Kimberly-Clark Corp. | 2.875% | 2/7/50 | 2,054 | 2,159 | ||
Koninklijke Ahold Delhaize NV | 5.700% | 10/1/40 | 677 | 940 | ||
Kroger Co. | 6.900% | 4/15/38 | 241 | 359 | ||
Kroger Co. | 5.400% | 7/15/40 | 928 | 1,240 | ||
Kroger Co. | 5.000% | 4/15/42 | 1,373 | 1,776 | ||
Kroger Co. | 5.150% | 8/1/43 | 1,661 | 2,187 | ||
Kroger Co. | 3.875% | 10/15/46 | 1,230 | 1,387 | ||
Kroger Co. | 4.650% | 1/15/48 | 1,661 | 2,085 | ||
Kroger Co. | 5.400% | 1/15/49 | 2,473 | 3,440 | ||
Kroger Co. | 3.950% | 1/15/50 | 1,147 | 1,337 | ||
McCormick & Co. Inc. | 4.200% | 8/15/47 | 955 | 1,159 | ||
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 795 | 1,151 | ||
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 1,431 | 1,888 | ||
Molson Coors Beverage Co. | 5.000% | 5/1/42 | 2,370 | 2,955 | ||
Molson Coors Beverage Co. | 4.200% | 7/15/46 | 4,112 | 4,650 | ||
Mondelez International Inc. | 1.875% | 10/15/32 | 2,060 | 2,013 | ||
Mondelez International Inc. | 2.625% | 9/4/50 | 3,665 | 3,493 | ||
PepsiCo Inc. | 5.500% | 1/15/40 | 1,000 | 1,421 | ||
PepsiCo Inc. | 3.500% | 3/19/40 | 2,589 | 2,967 | ||
PepsiCo Inc. | 4.875% | 11/1/40 | 1,257 | 1,689 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 1,024 | 1,255 | ||
PepsiCo Inc. | 3.600% | 8/13/42 | 3,960 | 4,617 | ||
PepsiCo Inc. | 4.250% | 10/22/44 | 1,134 | 1,423 | ||
PepsiCo Inc. | 4.600% | 7/17/45 | 1,347 | 1,783 | ||
PepsiCo Inc. | 4.450% | 4/14/46 | 2,146 | 2,803 | ||
PepsiCo Inc. | 3.450% | 10/6/46 | 2,740 | 3,113 | ||
PepsiCo Inc. | 4.000% | 5/2/47 | 1,075 | 1,327 | ||
PepsiCo Inc. | 3.375% | 7/29/49 | 3,641 | 4,127 | ||
PepsiCo Inc. | 2.875% | 10/15/49 | 2,381 | 2,497 | ||
PepsiCo Inc. | 3.625% | 3/19/50 | 3,051 | 3,623 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 1,264 | 1,588 | ||
Philip Morris International Inc. | 6.375% | 5/16/38 | 3,316 | 4,738 | ||
Philip Morris International Inc. | 4.375% | 11/15/41 | 2,484 | 2,924 | ||
Philip Morris International Inc. | 4.500% | 3/20/42 | 1,865 | 2,223 | ||
Philip Morris International Inc. | 3.875% | 8/21/42 | 1,387 | 1,530 | ||
Philip Morris International Inc. | 4.125% | 3/4/43 | 2,517 | 2,871 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 1,851 | 2,324 | ||
Philip Morris International Inc. | 4.250% | 11/10/44 | 1,578 | 1,849 | ||
Procter & Gamble Co. | 5.800% | 8/15/34 | 434 | 623 | ||
Procter & Gamble Co. | 5.550% | 3/5/37 | 475 | 689 | ||
Procter & Gamble Co. | 3.550% | 3/25/40 | 1,350 | 1,609 | ||
Procter & Gamble Co. | 3.500% | 10/25/47 | 1,907 | 2,312 | ||
Procter & Gamble Co. | 3.600% | 3/25/50 | 1,156 | 1,446 | ||
Reynolds American Inc. | 5.700% | 8/15/35 | 2,374 | 2,901 | ||
Reynolds American Inc. | 7.250% | 6/15/37 | 676 | 926 | ||
Reynolds American Inc. | 6.150% | 9/15/43 | 2,947 | 3,730 | ||
Reynolds American Inc. | 5.850% | 8/15/45 | 5,273 | 6,531 | ||
Sysco Corp. | 5.375% | 9/21/35 | 931 | 1,217 | ||
Sysco Corp. | 6.600% | 4/1/40 | 1,567 | 2,333 | ||
Sysco Corp. | 4.850% | 10/1/45 | 511 | 652 | ||
Sysco Corp. | 4.500% | 4/1/46 | 1,461 | 1,777 | ||
Sysco Corp. | 4.450% | 3/15/48 | 1,090 | 1,328 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Sysco Corp. | 6.600% | 4/1/50 | 3,137 | 5,024 | ||
Target Corp. | 6.500% | 10/15/37 | 707 | 1,097 | ||
Target Corp. | 7.000% | 1/15/38 | 910 | 1,477 | ||
Target Corp. | 4.000% | 7/1/42 | 2,035 | 2,559 | ||
Target Corp. | 3.625% | 4/15/46 | 2,418 | 2,907 | ||
Target Corp. | 3.900% | 11/15/47 | 1,990 | 2,513 | ||
Tyson Foods Inc. | 4.875% | 8/15/34 | 834 | 1,044 | ||
Tyson Foods Inc. | 5.150% | 8/15/44 | 1,432 | 1,901 | ||
Tyson Foods Inc. | 4.550% | 6/2/47 | 1,734 | 2,176 | ||
Tyson Foods Inc. | 5.100% | 9/28/48 | 3,138 | 4,291 | ||
Unilever Capital Corp. | 5.900% | 11/15/32 | 2,642 | 3,654 | ||
2 | Unilever Capital Corp. | 2.625% | 8/12/51 | 1,000 | 1,008 | |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 2,268 | 2,793 | ||
Walgreens Boots Alliance Inc. | 4.100% | 4/15/50 | 2,461 | 2,796 | ||
Walmart Inc. | 5.250% | 9/1/35 | 4,446 | 6,122 | ||
Walmart Inc. | 6.500% | 8/15/37 | 1,728 | 2,639 | ||
Walmart Inc. | 6.200% | 4/15/38 | 1,267 | 1,898 | ||
Walmart Inc. | 3.950% | 6/28/38 | 4,239 | 5,143 | ||
Walmart Inc. | 5.625% | 4/1/40 | 2,093 | 3,027 | ||
Walmart Inc. | 4.875% | 7/8/40 | 460 | 615 | ||
Walmart Inc. | 5.000% | 10/25/40 | 1,188 | 1,617 | ||
Walmart Inc. | 5.625% | 4/15/41 | 3,256 | 4,771 | ||
Walmart Inc. | 4.000% | 4/11/43 | 2,798 | 3,422 | ||
Walmart Inc. | 4.300% | 4/22/44 | 871 | 1,109 | ||
Walmart Inc. | 3.625% | 12/15/47 | 3,340 | 3,957 | ||
Walmart Inc. | 4.050% | 6/29/48 | 5,239 | 6,645 | ||
Walmart Inc. | 2.950% | 9/24/49 | 1,789 | 1,929 | ||
482,961 | ||||||
Energy (8.9%) | ||||||
Baker Hughes a GE Co. LLC | 4.080% | 12/15/47 | 3,256 | 3,727 | ||
Baker Hughes Holdings LLC | 5.125% | 9/15/40 | 1,825 | 2,360 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 3,000 | 3,091 | ||
BP Capital Markets America Inc. | 3.000% | 2/24/50 | 4,470 | 4,427 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 4,480 | 4,249 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 5,475 | 5,374 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 4,072 | 4,221 | ||
Burlington Resources LLC | 7.400% | 12/1/31 | 872 | 1,286 | ||
Burlington Resources LLC | 5.950% | 10/15/36 | 1,080 | 1,504 | ||
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 1,326 | 1,822 | ||
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 695 | 918 | ||
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 1,752 | 2,267 | ||
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 1,578 | 2,136 | ||
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,630 | 3,552 | ||
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 1,360 | 1,916 | ||
2 | Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 630 | 791 | |
Cenovus Energy Inc. | 5.250% | 6/15/37 | 2,160 | 2,578 | ||
Cenovus Energy Inc. | 6.800% | 9/15/37 | 1,128 | 1,502 | ||
Cenovus Energy Inc. | 6.750% | 11/15/39 | 2,658 | 3,593 | ||
Cenovus Energy Inc. | 5.400% | 6/15/47 | 2,240 | 2,767 | ||
1 | Cheniere Corpus Christi Holdings LLC | 2.742% | 12/31/39 | 1,700 | 1,701 | |
Chevron Corp. | 2.978% | 5/11/40 | 1,080 | 1,134 | ||
Chevron Corp. | 3.078% | 5/11/50 | 1,038 | 1,095 | ||
Chevron USA Inc. | 6.000% | 3/1/41 | 1,425 | 2,104 | ||
Chevron USA Inc. | 5.250% | 11/15/43 | 2,393 | 3,298 | ||
Chevron USA Inc. | 5.050% | 11/15/44 | 1,145 | 1,548 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Chevron USA Inc. | 4.950% | 8/15/47 | 1,214 | 1,660 | ||
Chevron USA Inc. | 4.200% | 10/15/49 | 2,380 | 2,954 | ||
Chevron USA Inc. | 2.343% | 8/12/50 | 1,740 | 1,597 | ||
Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 1,265 | 1,772 | ||
Conoco Funding Co. | 7.250% | 10/15/31 | 2,593 | 3,774 | ||
ConocoPhillips | 5.900% | 10/15/32 | 991 | 1,331 | ||
ConocoPhillips | 5.900% | 5/15/38 | 2,048 | 2,853 | ||
ConocoPhillips | 6.500% | 2/1/39 | 4,574 | 6,741 | ||
1 | ConocoPhillips | 4.875% | 10/1/47 | 4,035 | 5,337 | |
ConocoPhillips Co. | 4.300% | 11/15/44 | 1,995 | 2,426 | ||
Devon Energy Corp. | 7.875% | 9/30/31 | 337 | 478 | ||
Devon Energy Corp. | 7.950% | 4/15/32 | 1,840 | 2,640 | ||
Devon Energy Corp. | 5.600% | 7/15/41 | 1,689 | 2,114 | ||
Devon Energy Corp. | 4.750% | 5/15/42 | 2,285 | 2,602 | ||
Devon Energy Corp. | 5.000% | 6/15/45 | 1,745 | 2,067 | ||
Diamondback Energy Inc. | 4.400% | 3/24/51 | 1,205 | 1,384 | ||
1 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 880 | 1,091 | |
1 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 630 | 767 | |
1 | Eastern Gas Transmission & Storage Inc. | 3.900% | 11/15/49 | 900 | 999 | |
Enable Midstream Partners LP | 5.000% | 5/15/44 | 438 | 479 | ||
2 | Enbridge Energy Partners LP | 7.500% | 4/15/38 | 1,152 | 1,731 | |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 1,123 | 1,473 | ||
Enbridge Energy Partners LP | 7.375% | 10/15/45 | 793 | 1,270 | ||
Enbridge Inc. | 2.500% | 8/1/33 | 840 | 849 | ||
Enbridge Inc. | 4.500% | 6/10/44 | 1,010 | 1,196 | ||
Enbridge Inc. | 5.500% | 12/1/46 | 1,947 | 2,663 | ||
Enbridge Inc. | 4.000% | 11/15/49 | 1,470 | 1,663 | ||
Enbridge Inc. | 3.400% | 8/1/51 | 1,090 | 1,130 | ||
Energy Transfer LP | 4.900% | 3/15/35 | 1,258 | 1,449 | ||
Energy Transfer LP | 6.625% | 10/15/36 | 1,425 | 1,879 | ||
2 | Energy Transfer LP | 5.800% | 6/15/38 | 757 | 938 | |
Energy Transfer LP | 7.500% | 7/1/38 | 1,074 | 1,506 | ||
Energy Transfer LP | 6.050% | 6/1/41 | 1,959 | 2,461 | ||
Energy Transfer LP | 6.500% | 2/1/42 | 2,561 | 3,352 | ||
Energy Transfer LP | 6.100% | 2/15/42 | 1,346 | 1,693 | ||
Energy Transfer LP | 4.950% | 1/15/43 | 818 | 897 | ||
Energy Transfer LP | 5.150% | 2/1/43 | 1,170 | 1,332 | ||
Energy Transfer LP | 5.950% | 10/1/43 | 1,808 | 2,245 | ||
Energy Transfer LP | 5.300% | 4/1/44 | 646 | 754 | ||
Energy Transfer LP | 5.150% | 3/15/45 | 2,656 | 3,085 | ||
Energy Transfer LP | 5.350% | 5/15/45 | 1,183 | 1,389 | ||
Energy Transfer LP | 6.125% | 12/15/45 | 1,796 | 2,309 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 2,822 | 3,322 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 3,053 | 3,683 | ||
Energy Transfer LP | 6.000% | 6/15/48 | 1,894 | 2,426 | ||
Energy Transfer LP | 6.250% | 4/15/49 | 3,200 | 4,239 | ||
Energy Transfer LP | 5.000% | 5/15/50 | 4,096 | 4,800 | ||
2 | Enterprise Products Operating LLC | 6.875% | 3/1/33 | 1,290 | 1,823 | |
2 | Enterprise Products Operating LLC | 6.650% | 10/15/34 | 1,422 | 2,018 | |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 1,953 | 3,012 | ||
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,061 | 1,485 | ||
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 1,075 | 1,552 | ||
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 1,042 | 1,417 | ||
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 1,856 | 2,292 | ||
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 2,336 | 2,759 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 3,244 | 4,008 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 1,909 | 2,416 | ||
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 1,832 | 2,283 | ||
Enterprise Products Operating LLC | 4.250% | 2/15/48 | 2,495 | 2,885 | ||
Enterprise Products Operating LLC | 4.800% | 2/1/49 | 3,491 | 4,338 | ||
Enterprise Products Operating LLC | 4.200% | 1/31/50 | 2,723 | 3,143 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 1,617 | 1,745 | ||
Enterprise Products Operating LLC | 3.200% | 2/15/52 | 2,881 | 2,882 | ||
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,871 | 2,412 | ||
Enterprise Products Operating LLC | 3.950% | 1/31/60 | 2,235 | 2,487 | ||
EOG Resources Inc. | 3.900% | 4/1/35 | 431 | 496 | ||
EOG Resources Inc. | 4.950% | 4/15/50 | 1,510 | 2,036 | ||
Exxon Mobil Corp. | 2.995% | 8/16/39 | 1,143 | 1,200 | ||
Exxon Mobil Corp. | 4.227% | 3/19/40 | 3,780 | 4,579 | ||
Exxon Mobil Corp. | 3.567% | 3/6/45 | 3,892 | 4,334 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 6,538 | 7,834 | ||
Exxon Mobil Corp. | 3.095% | 8/16/49 | 3,492 | 3,617 | ||
Exxon Mobil Corp. | 4.327% | 3/19/50 | 5,418 | 6,797 | ||
Exxon Mobil Corp. | 3.452% | 4/15/51 | 6,920 | 7,651 | ||
Halliburton Co. | 4.850% | 11/15/35 | 2,896 | 3,424 | ||
Halliburton Co. | 6.700% | 9/15/38 | 2,938 | 4,047 | ||
Halliburton Co. | 7.450% | 9/15/39 | 1,200 | 1,756 | ||
Halliburton Co. | 4.500% | 11/15/41 | 1,650 | 1,837 | ||
Halliburton Co. | 4.750% | 8/1/43 | 2,344 | 2,684 | ||
Halliburton Co. | 5.000% | 11/15/45 | 3,552 | 4,286 | ||
Hess Corp. | 7.125% | 3/15/33 | 2,129 | 2,883 | ||
Hess Corp. | 6.000% | 1/15/40 | 772 | 994 | ||
Hess Corp. | 5.600% | 2/15/41 | 2,965 | 3,700 | ||
Hess Corp. | 5.800% | 4/1/47 | 963 | 1,254 | ||
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 1,406 | 2,024 | ||
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 1,276 | 1,817 | ||
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 946 | 1,224 | ||
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,443 | 1,994 | ||
2 | Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,622 | 2,321 | |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 1,213 | 1,704 | ||
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 1,981 | 2,789 | ||
Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 1,759 | 2,629 | ||
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 726 | 930 | ||
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 650 | 786 | ||
Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 2,492 | 2,897 | ||
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 1,402 | 1,699 | ||
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 2,040 | 2,597 | ||
Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 2,002 | 2,528 | ||
2 | Kinder Morgan Inc. | 7.750% | 1/15/32 | 2,365 | 3,422 | |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 1,463 | 1,819 | ||
Kinder Morgan Inc. | 5.550% | 6/1/45 | 3,529 | 4,576 | ||
Kinder Morgan Inc. | 5.050% | 2/15/46 | 1,946 | 2,393 | ||
Kinder Morgan Inc. | 5.200% | 3/1/48 | 705 | 894 | ||
Kinder Morgan Inc. | 3.250% | 8/1/50 | 874 | 861 | ||
Kinder Morgan Inc. | 3.600% | 2/15/51 | 2,000 | 2,062 | ||
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 390 | 485 | ||
Magellan Midstream Partners LP | 4.250% | 9/15/46 | 230 | 262 | ||
Magellan Midstream Partners LP | 4.200% | 10/3/47 | 2,052 | 2,314 | ||
Magellan Midstream Partners LP | 4.850% | 2/1/49 | 555 | 679 | ||
Magellan Midstream Partners LP | 3.950% | 3/1/50 | 2,792 | 3,053 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Marathon Oil Corp. | 6.800% | 3/15/32 | 479 | 630 | ||
Marathon Oil Corp. | 6.600% | 10/1/37 | 2,732 | 3,630 | ||
Marathon Oil Corp. | 5.200% | 6/1/45 | 1,018 | 1,232 | ||
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 3,082 | 4,284 | ||
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,824 | 2,159 | ||
Marathon Petroleum Corp. | 4.500% | 4/1/48 | 1,965 | 2,247 | ||
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 850 | 1,037 | ||
MPLX LP | 4.500% | 4/15/38 | 3,623 | 4,151 | ||
MPLX LP | 5.200% | 3/1/47 | 1,330 | 1,634 | ||
MPLX LP | 5.200% | 12/1/47 | 1,573 | 1,921 | ||
MPLX LP | 4.700% | 4/15/48 | 3,421 | 3,981 | ||
MPLX LP | 5.500% | 2/15/49 | 4,313 | 5,576 | ||
MPLX LP | 4.900% | 4/15/58 | 1,419 | 1,688 | ||
NOV Inc. | 3.950% | 12/1/42 | 2,085 | 2,077 | ||
ONEOK Inc. | 6.000% | 6/15/35 | 2,085 | 2,654 | ||
ONEOK Inc. | 4.950% | 7/13/47 | 1,414 | 1,667 | ||
ONEOK Inc. | 5.200% | 7/15/48 | 1,853 | 2,279 | ||
ONEOK Inc. | 4.450% | 9/1/49 | 2,399 | 2,704 | ||
ONEOK Inc. | 4.500% | 3/15/50 | 1,055 | 1,188 | ||
ONEOK Inc. | 7.150% | 1/15/51 | 990 | 1,458 | ||
ONEOK Partners LP | 6.650% | 10/1/36 | 1,090 | 1,476 | ||
ONEOK Partners LP | 6.850% | 10/15/37 | 2,424 | 3,316 | ||
ONEOK Partners LP | 6.125% | 2/1/41 | 832 | 1,074 | ||
ONEOK Partners LP | 6.200% | 9/15/43 | 751 | 980 | ||
Phillips 66 | 4.650% | 11/15/34 | 1,663 | 1,974 | ||
Phillips 66 | 5.875% | 5/1/42 | 3,507 | 4,829 | ||
Phillips 66 | 4.875% | 11/15/44 | 3,825 | 4,806 | ||
Phillips 66 Partners LP | 4.680% | 2/15/45 | 757 | 871 | ||
Phillips 66 Partners LP | 4.900% | 10/1/46 | 1,695 | 2,022 | ||
Plains All American Pipeline LP | 6.650% | 1/15/37 | 1,279 | 1,692 | ||
Plains All American Pipeline LP | 5.150% | 6/1/42 | 1,671 | 1,877 | ||
Plains All American Pipeline LP | 4.300% | 1/31/43 | 1,092 | 1,115 | ||
Plains All American Pipeline LP | 4.700% | 6/15/44 | 1,825 | 1,946 | ||
Plains All American Pipeline LP | 4.900% | 2/15/45 | 1,552 | 1,689 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 4,811 | 5,746 | ||
Shell International Finance BV | 6.375% | 12/15/38 | 3,082 | 4,568 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 2,939 | 4,107 | ||
Shell International Finance BV | 3.625% | 8/21/42 | 2,900 | 3,271 | ||
Shell International Finance BV | 4.550% | 8/12/43 | 3,133 | 3,980 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 7,486 | 9,351 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 6,247 | 7,455 | ||
Shell International Finance BV | 3.750% | 9/12/46 | 2,354 | 2,715 | ||
Shell International Finance BV | 3.125% | 11/7/49 | 2,007 | 2,121 | ||
Shell International Finance BV | 3.250% | 4/6/50 | 4,875 | 5,284 | ||
Spectra Energy Partners LP | 5.950% | 9/25/43 | 1,481 | 2,051 | ||
Spectra Energy Partners LP | 4.500% | 3/15/45 | 2,129 | 2,529 | ||
Suncor Energy Inc. | 7.150% | 2/1/32 | 1,738 | 2,445 | ||
Suncor Energy Inc. | 5.350% | 7/15/33 | 428 | 532 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 1,669 | 2,220 | ||
Suncor Energy Inc. | 5.950% | 5/15/35 | 1,092 | 1,443 | ||
Suncor Energy Inc. | 6.800% | 5/15/38 | 2,404 | 3,448 | ||
Suncor Energy Inc. | 6.500% | 6/15/38 | 1,736 | 2,442 | ||
Suncor Energy Inc. | 6.850% | 6/1/39 | 1,054 | 1,544 | ||
Suncor Energy Inc. | 4.000% | 11/15/47 | 2,425 | 2,724 | ||
Suncor Energy Inc. | 3.750% | 3/4/51 | 1,095 | 1,192 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 1,037 | 1,458 | ||
TotalEnergies Capital International SA | 2.986% | 6/29/41 | 1,945 | 2,017 | ||
TotalEnergies Capital International SA | 3.461% | 7/12/49 | 1,220 | 1,337 | ||
TotalEnergies Capital International SA | 3.127% | 5/29/50 | 7,566 | 7,828 | ||
TotalEnergies Capital International SA | 3.386% | 6/29/60 | 465 | 498 | ||
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 4,540 | 5,365 | ||
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 1,524 | 1,949 | ||
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 1,822 | 2,410 | ||
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 2,879 | 3,948 | ||
TransCanada PipeLines Ltd. | 4.750% | 5/15/38 | 640 | 774 | ||
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 1,129 | 1,704 | ||
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,050 | 1,644 | ||
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 1,656 | 2,288 | ||
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 1,818 | 2,290 | ||
TransCanada PipeLines Ltd. | 4.875% | 5/15/48 | 3,210 | 4,113 | ||
TransCanada PipeLines Ltd. | 5.100% | 3/15/49 | 1,051 | 1,395 | ||
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 1,120 | 1,464 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 900 | 1,074 | ||
Transcontinental Gas Pipe Line Co. LLC | 4.600% | 3/15/48 | 1,539 | 1,881 | ||
Transcontinental Gas Pipe Line Co. LLC | 3.950% | 5/15/50 | 1,408 | 1,598 | ||
Valero Energy Corp. | 7.500% | 4/15/32 | 1,863 | 2,597 | ||
Valero Energy Corp. | 6.625% | 6/15/37 | 2,955 | 4,033 | ||
Valero Energy Corp. | 4.900% | 3/15/45 | 1,738 | 2,111 | ||
Williams Cos. Inc. | 8.750% | 3/15/32 | 740 | 1,143 | ||
Williams Cos. Inc. | 6.300% | 4/15/40 | 2,464 | 3,380 | ||
Williams Cos. Inc. | 5.800% | 11/15/43 | 628 | 831 | ||
Williams Cos. Inc. | 5.400% | 3/4/44 | 991 | 1,259 | ||
Williams Cos. Inc. | 5.750% | 6/24/44 | 1,396 | 1,861 | ||
Williams Cos. Inc. | 4.900% | 1/15/45 | 1,746 | 2,122 | ||
Williams Cos. Inc. | 5.100% | 9/15/45 | 1,782 | 2,230 | ||
Williams Cos. Inc. | 4.850% | 3/1/48 | 2,020 | 2,491 | ||
547,011 | ||||||
Financials (15.0%) | ||||||
Aflac Inc. | 4.000% | 10/15/46 | 1,103 | 1,310 | ||
Aflac Inc. | 4.750% | 1/15/49 | 1,439 | 1,927 | ||
Alleghany Corp. | 4.900% | 9/15/44 | 682 | 878 | ||
Alleghany Corp. | 3.250% | 8/15/51 | 1,250 | 1,279 | ||
Allstate Corp. | 5.350% | 6/1/33 | 829 | 1,083 | ||
Allstate Corp. | 5.550% | 5/9/35 | 571 | 782 | ||
Allstate Corp. | 4.500% | 6/15/43 | 1,453 | 1,868 | ||
Allstate Corp. | 4.200% | 12/15/46 | 1,360 | 1,702 | ||
Allstate Corp. | 3.850% | 8/10/49 | 2,635 | 3,188 | ||
2 | Allstate Corp. | 6.500% | 5/15/57 | 670 | 899 | |
2 | Ally Financial Inc. | 8.000% | 11/1/31 | 6,791 | 9,907 | |
American Express Co. | 4.050% | 12/3/42 | 2,755 | 3,347 | ||
American Financial Group Inc. | 4.500% | 6/15/47 | 1,363 | 1,696 | ||
American International Group Inc. | 3.875% | 1/15/35 | 1,418 | 1,623 | ||
American International Group Inc. | 4.700% | 7/10/35 | 2,774 | 3,416 | ||
American International Group Inc. | 6.250% | 5/1/36 | 1,750 | 2,462 | ||
American International Group Inc. | 4.500% | 7/16/44 | 3,342 | 4,139 | ||
American International Group Inc. | 4.800% | 7/10/45 | 1,173 | 1,514 | ||
American International Group Inc. | 4.750% | 4/1/48 | 2,980 | 3,884 | ||
American International Group Inc. | 4.375% | 6/30/50 | 1,835 | 2,304 | ||
American International Group Inc. | 4.375% | 1/15/55 | 2,945 | 3,690 | ||
2 | American International Group Inc. | 8.175% | 5/15/58 | 496 | 739 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Aon Corp. | 6.250% | 9/30/40 | 844 | 1,228 | ||
Aon Corp. | 2.900% | 8/23/51 | 1,500 | 1,481 | ||
Aon plc | 4.600% | 6/14/44 | 453 | 574 | ||
Aon plc | 4.750% | 5/15/45 | 2,000 | 2,578 | ||
Arch Capital Finance LLC | 5.031% | 12/15/46 | 1,043 | 1,392 | ||
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 727 | 1,090 | ||
Arch Capital Group Ltd. | 3.635% | 6/30/50 | 2,480 | 2,757 | ||
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 608 | 813 | ||
Arthur J Gallagher & Co. | 3.500% | 5/20/51 | 2,000 | 2,174 | ||
Assured Guaranty US Holdings Inc. | 3.600% | 9/15/51 | 500 | 516 | ||
Athene Holding Ltd. | 3.950% | 5/25/51 | 1,442 | 1,630 | ||
Bank of America Corp. | 6.110% | 1/29/37 | 6,225 | 8,571 | ||
2 | Bank of America Corp. | 4.244% | 4/24/38 | 2,329 | 2,761 | |
Bank of America Corp. | 7.750% | 5/14/38 | 3,508 | 5,561 | ||
2 | Bank of America Corp. | 4.078% | 4/23/40 | 3,517 | 4,138 | |
2 | Bank of America Corp. | 2.676% | 6/19/41 | 11,189 | 11,016 | |
2 | Bank of America Corp. | 5.875% | 2/7/42 | 1,819 | 2,656 | |
Bank of America Corp. | 3.311% | 4/22/42 | 7,710 | 8,320 | ||
2 | Bank of America Corp. | 5.000% | 1/21/44 | 6,634 | 8,911 | |
2 | Bank of America Corp. | 4.875% | 4/1/44 | 862 | 1,139 | |
2 | Bank of America Corp. | 4.750% | 4/21/45 | 1,076 | 1,368 | |
2 | Bank of America Corp. | 4.443% | 1/20/48 | 7,185 | 9,054 | |
2 | Bank of America Corp. | 3.946% | 1/23/49 | 2,679 | 3,147 | |
2 | Bank of America Corp. | 4.330% | 3/15/50 | 4,578 | 5,725 | |
2 | Bank of America Corp. | 4.083% | 3/20/51 | 14,205 | 17,171 | |
2 | Bank of America Corp. | 2.831% | 10/24/51 | 740 | 727 | |
2 | Bank of America Corp. | 3.483% | 3/13/52 | 2,905 | 3,224 | |
Bank of America Corp. | 2.972% | 7/21/52 | 5,185 | 5,233 | ||
2 | Bank of America NA | 6.000% | 10/15/36 | 2,091 | 2,916 | |
Barclays plc | 3.811% | 3/10/42 | 1,850 | 2,008 | ||
Barclays plc | 5.250% | 8/17/45 | 2,660 | 3,613 | ||
Barclays plc | 4.950% | 1/10/47 | 3,972 | 5,233 | ||
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 1,127 | 1,643 | ||
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 3,229 | 4,084 | ||
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 2,453 | 3,075 | ||
Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 6,847 | 8,583 | ||
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/49 | 3,024 | 3,810 | ||
Berkshire Hathaway Finance Corp. | 2.850% | 10/15/50 | 3,905 | 3,943 | ||
Berkshire Hathaway Finance Corp. | 2.500% | 1/15/51 | 1,105 | 1,046 | ||
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,593 | 2,049 | ||
Brighthouse Financial Inc. | 4.700% | 6/22/47 | 2,333 | 2,648 | ||
Brookfield Finance Inc. | 4.700% | 9/20/47 | 2,209 | 2,739 | ||
Brookfield Finance Inc. | 3.500% | 3/30/51 | 1,185 | 1,254 | ||
Brookfield Finance LLC | 3.450% | 4/15/50 | 1,414 | 1,479 | ||
Charles Schwab Corp. | 1.950% | 12/1/31 | 1,260 | 1,261 | ||
Chubb Corp. | 6.000% | 5/11/37 | 1,591 | 2,338 | ||
2 | Chubb Corp. | 6.500% | 5/15/38 | 1,095 | 1,678 | |
Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 1,378 | 2,103 | ||
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 2,137 | 2,640 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 2,759 | 3,543 | ||
CI Financial Corp. | 4.100% | 6/15/51 | 2,010 | 2,173 | ||
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 774 | 1,075 | ||
Citigroup Inc. | 6.625% | 6/15/32 | 3,679 | 5,035 | ||
Citigroup Inc. | 5.875% | 2/22/33 | 621 | 817 | ||
Citigroup Inc. | 6.000% | 10/31/33 | 2,702 | 3,602 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Citigroup Inc. | 6.125% | 8/25/36 | 1,200 | 1,674 | ||
2 | Citigroup Inc. | 3.878% | 1/24/39 | 787 | 914 | |
Citigroup Inc. | 8.125% | 7/15/39 | 2,695 | 4,646 | ||
2 | Citigroup Inc. | 5.316% | 3/26/41 | 2,240 | 3,027 | |
Citigroup Inc. | 5.875% | 1/30/42 | 4,242 | 6,145 | ||
Citigroup Inc. | 6.675% | 9/13/43 | 1,217 | 1,897 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 1,176 | 1,591 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 4,102 | 5,343 | ||
Citigroup Inc. | 4.750% | 5/18/46 | 4,104 | 5,276 | ||
2 | Citigroup Inc. | 4.281% | 4/24/48 | 2,088 | 2,631 | |
Citigroup Inc. | 4.650% | 7/23/48 | 6,163 | 8,180 | ||
Citizens Financial Group Inc. | 2.638% | 9/30/32 | 2,686 | 2,733 | ||
CME Group Inc. | 5.300% | 9/15/43 | 1,716 | 2,465 | ||
CME Group Inc. | 4.150% | 6/15/48 | 1,585 | 2,069 | ||
2 | Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 3,642 | 5,122 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 2,375 | 3,386 | ||
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 2,844 | 3,862 | ||
Credit Suisse Group AG | 4.875% | 5/15/45 | 4,319 | 5,544 | ||
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 1,744 | 2,521 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 3,974 | 5,169 | ||
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 943 | 1,218 | ||
Everest Reinsurance Holdings Inc. | 3.500% | 10/15/50 | 1,808 | 1,967 | ||
Fifth Third Bancorp | 8.250% | 3/1/38 | 2,421 | 4,072 | ||
2 | First Republic Bank | 4.375% | 8/1/46 | 1,535 | 1,918 | |
Franklin Resources Inc. | 2.950% | 8/12/51 | 700 | 705 | ||
GATX Corp. | 5.200% | 3/15/44 | 795 | 1,031 | ||
GATX Corp. | 3.100% | 6/1/51 | 1,056 | 1,014 | ||
3 | GE Capital Funding LLC | 4.550% | 5/15/32 | 1,255 | 1,507 | |
GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 26,341 | 31,993 | ||
Global Payments Inc. | 4.150% | 8/15/49 | 1,830 | 2,106 | ||
Goldman Sachs Capital I | 6.345% | 2/15/34 | 1,426 | 2,024 | ||
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,028 | 2,753 | ||
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 2,184 | 3,094 | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 13,851 | 20,196 | ||
2 | Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 4,903 | 5,734 | |
2 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 3,043 | 3,730 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 6,602 | 9,809 | ||
Goldman Sachs Group Inc. | 3.210% | 4/22/42 | 6,857 | 7,251 | ||
Goldman Sachs Group Inc. | 2.908% | 7/21/42 | 180 | 182 | ||
2 | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 6,061 | 7,913 | |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 4,356 | 5,835 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 2,281 | 3,010 | ||
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 619 | 862 | ||
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 971 | 1,401 | ||
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 1,198 | 1,451 | ||
Hartford Financial Services Group Inc. | 4.400% | 3/15/48 | 958 | 1,198 | ||
Hartford Financial Services Group Inc. | 3.600% | 8/19/49 | 1,473 | 1,651 | ||
2 | HSBC Bank USA NA | 5.875% | 11/1/34 | 759 | 1,002 | |
2 | HSBC Bank USA NA | 5.625% | 8/15/35 | 1,380 | 1,785 | |
2 | HSBC Bank USA NA | 7.000% | 1/15/39 | 1,431 | 2,243 | |
2 | HSBC Holdings plc | 7.625% | 5/17/32 | 741 | 1,051 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 5,144 | 7,148 | ||
HSBC Holdings plc | 6.500% | 9/15/37 | 6,560 | 9,192 | ||
HSBC Holdings plc | 6.800% | 6/1/38 | 3,394 | 4,902 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 1,146 | 1,690 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
HSBC Holdings plc | 5.250% | 3/14/44 | 2,788 | 3,699 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 1,876 | 1,810 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 4,710 | 4,598 | ||
Intercontinental Exchange Inc. | 4.250% | 9/21/48 | 4,416 | 5,400 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 2,571 | 2,602 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 1,110 | 1,100 | ||
Invesco Finance plc | 5.375% | 11/30/43 | 783 | 1,048 | ||
Jefferies Group LLC | 2.750% | 10/15/32 | 1,770 | 1,808 | ||
Jefferies Group LLC | 6.250% | 1/15/36 | 922 | 1,251 | ||
Jefferies Group LLC | 6.500% | 1/20/43 | 529 | 740 | ||
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 785 | 761 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 200 | 196 | ||
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 5,260 | 7,798 | ||
2 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 7,371 | 8,567 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 4,245 | 5,903 | ||
2 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 3,453 | 3,637 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 1,896 | 2,666 | ||
JPMorgan Chase & Co. | 2.525% | 11/19/41 | 2,360 | 2,291 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 2,477 | 3,462 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 4,547 | 4,832 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 3,089 | 4,352 | ||
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 3,564 | 4,733 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 2,659 | 3,554 | ||
2 | JPMorgan Chase & Co. | 4.260% | 2/22/48 | 5,398 | 6,664 | |
2 | JPMorgan Chase & Co. | 4.032% | 7/24/48 | 4,165 | 4,954 | |
2 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 6,733 | 7,989 | |
2 | JPMorgan Chase & Co. | 3.897% | 1/23/49 | 4,361 | 5,117 | |
2 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 6,773 | 7,094 | |
JPMorgan Chase & Co. | 3.328% | 4/22/52 | 7,470 | 8,123 | ||
Legg Mason Inc. | 5.625% | 1/15/44 | 1,103 | 1,570 | ||
Lincoln National Corp. | 6.300% | 10/9/37 | 1,289 | 1,842 | ||
Lincoln National Corp. | 7.000% | 6/15/40 | 1,343 | 2,093 | ||
Lincoln National Corp. | 4.350% | 3/1/48 | 906 | 1,105 | ||
Lloyds Banking Group plc | 5.300% | 12/1/45 | 1,335 | 1,784 | ||
Lloyds Banking Group plc | 4.344% | 1/9/48 | 3,987 | 4,786 | ||
Loews Corp. | 4.125% | 5/15/43 | 2,031 | 2,449 | ||
Manulife Financial Corp. | 5.375% | 3/4/46 | 1,225 | 1,749 | ||
Markel Corp. | 5.000% | 4/5/46 | 600 | 788 | ||
Markel Corp. | 4.300% | 11/1/47 | 865 | 1,042 | ||
Markel Corp. | 5.000% | 5/20/49 | 1,120 | 1,482 | ||
Markel Corp. | 4.150% | 9/17/50 | 2,187 | 2,593 | ||
Markel Corp. | 3.450% | 5/7/52 | 810 | 853 | ||
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 1,378 | 1,879 | ||
Marsh & McLennan Cos. Inc. | 4.750% | 3/15/39 | 2,301 | 2,981 | ||
Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 2,018 | 2,567 | ||
Marsh & McLennan Cos. Inc. | 4.200% | 3/1/48 | 500 | 626 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 1,555 | 2,143 | ||
Mastercard Inc. | 3.800% | 11/21/46 | 2,144 | 2,573 | ||
Mastercard Inc. | 3.950% | 2/26/48 | 2,349 | 2,883 | ||
Mastercard Inc. | 3.650% | 6/1/49 | 1,114 | 1,315 | ||
Mastercard Inc. | 3.850% | 3/26/50 | 3,735 | 4,558 | ||
Mastercard Inc. | 2.950% | 3/15/51 | 1,920 | 2,031 | ||
MetLife Inc. | 6.500% | 12/15/32 | 1,434 | 2,045 | ||
MetLife Inc. | 6.375% | 6/15/34 | 1,110 | 1,596 | ||
MetLife Inc. | 5.700% | 6/15/35 | 2,621 | 3,646 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | MetLife Inc. | 6.400% | 12/15/36 | 2,373 | 3,038 | |
2 | MetLife Inc. | 10.750% | 8/1/39 | 526 | 933 | |
MetLife Inc. | 5.875% | 2/6/41 | 3,826 | 5,535 | ||
MetLife Inc. | 4.125% | 8/13/42 | 2,358 | 2,856 | ||
MetLife Inc. | 4.875% | 11/13/43 | 1,423 | 1,902 | ||
MetLife Inc. | 4.721% | 12/15/44 | 1,657 | 2,187 | ||
MetLife Inc. | 4.050% | 3/1/45 | 1,791 | 2,173 | ||
MetLife Inc. | 4.600% | 5/13/46 | 744 | 978 | ||
Mitsubishi UFJ Financial Group Inc. | 4.286% | 7/26/38 | 1,125 | 1,375 | ||
Mitsubishi UFJ Financial Group Inc. | 4.153% | 3/7/39 | 1,555 | 1,870 | ||
Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 3,457 | 3,979 | ||
Mizuho Financial Group Inc. | 2.172% | 5/22/32 | 460 | 458 | ||
Morgan Stanley | 7.250% | 4/1/32 | 3,289 | 4,812 | ||
2 | Morgan Stanley | 3.971% | 7/22/38 | 5,774 | 6,766 | |
2 | Morgan Stanley | 4.457% | 4/22/39 | 2,318 | 2,869 | |
Morgan Stanley | 3.217% | 4/22/42 | 5,102 | 5,468 | ||
Morgan Stanley | 6.375% | 7/24/42 | 3,067 | 4,733 | ||
Morgan Stanley | 4.300% | 1/27/45 | 4,084 | 5,089 | ||
Morgan Stanley | 4.375% | 1/22/47 | 6,956 | 8,796 | ||
2 | Morgan Stanley | 5.597% | 3/24/51 | 3,776 | 5,699 | |
2 | Morgan Stanley | 2.802% | 1/25/52 | 5,465 | 5,446 | |
Nasdaq Inc. | 2.500% | 12/21/40 | 1,085 | 1,018 | ||
Nasdaq Inc. | 3.250% | 4/28/50 | 1,537 | 1,577 | ||
2 | Nationwide Financial Services Inc. | 6.750% | 5/15/37 | 826 | 1,018 | |
Old Republic International Corp. | 3.850% | 6/11/51 | 1,500 | 1,644 | ||
PayPal Holdings Inc. | 3.250% | 6/1/50 | 1,955 | 2,155 | ||
Principal Financial Group Inc. | 6.050% | 10/15/36 | 365 | 521 | ||
Principal Financial Group Inc. | 4.625% | 9/15/42 | 947 | 1,193 | ||
Principal Financial Group Inc. | 4.350% | 5/15/43 | 979 | 1,201 | ||
Principal Financial Group Inc. | 4.300% | 11/15/46 | 1,025 | 1,269 | ||
Progressive Corp. | 6.625% | 3/1/29 | 1 | 1 | ||
Progressive Corp. | 6.250% | 12/1/32 | 1,549 | 2,156 | ||
Progressive Corp. | 4.350% | 4/25/44 | 1,480 | 1,879 | ||
Progressive Corp. | 3.700% | 1/26/45 | 1,385 | 1,617 | ||
Progressive Corp. | 4.125% | 4/15/47 | 1,323 | 1,651 | ||
Progressive Corp. | 4.200% | 3/15/48 | 2,048 | 2,584 | ||
Progressive Corp. | 3.950% | 3/26/50 | 1,140 | 1,408 | ||
2 | Prudential Financial Inc. | 5.700% | 12/14/36 | 1,535 | 2,129 | |
2 | Prudential Financial Inc. | 6.625% | 12/1/37 | 783 | 1,163 | |
2 | Prudential Financial Inc. | 3.000% | 3/10/40 | 695 | 729 | |
2 | Prudential Financial Inc. | 6.625% | 6/21/40 | 860 | 1,314 | |
2 | Prudential Financial Inc. | 6.200% | 11/15/40 | 545 | 766 | |
2 | Prudential Financial Inc. | 5.100% | 8/15/43 | 516 | 630 | |
2 | Prudential Financial Inc. | 4.600% | 5/15/44 | 1,281 | 1,650 | |
Prudential Financial Inc. | 3.905% | 12/7/47 | 2,830 | 3,355 | ||
2 | Prudential Financial Inc. | 4.418% | 3/27/48 | 2,197 | 2,786 | |
Prudential Financial Inc. | 3.935% | 12/7/49 | 2,441 | 2,922 | ||
2 | Prudential Financial Inc. | 4.350% | 2/25/50 | 2,000 | 2,559 | |
2 | Prudential Financial Inc. | 3.700% | 3/13/51 | 990 | 1,154 | |
Raymond James Financial Inc. | 4.950% | 7/15/46 | 2,742 | 3,597 | ||
Raymond James Financial Inc. | 3.750% | 4/1/51 | 1,403 | 1,589 | ||
2 | Regions Bank | 6.450% | 6/26/37 | 855 | 1,227 | |
Regions Financial Corp. | 7.375% | 12/10/37 | 555 | 857 | ||
Selective Insurance Group Inc. | 5.375% | 3/1/49 | 685 | 889 | ||
Sumitomo Mitsui Financial Group Inc. | 2.296% | 1/12/41 | 1,300 | 1,232 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 828 | 1,299 | ||
Travelers Cos. Inc. | 6.750% | 6/20/36 | 1,675 | 2,560 | ||
2 | Travelers Cos. Inc. | 6.250% | 6/15/37 | 1,948 | 2,877 | |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 920 | 1,301 | ||
Travelers Cos. Inc. | 4.300% | 8/25/45 | 1,898 | 2,415 | ||
Travelers Cos. Inc. | 3.750% | 5/15/46 | 728 | 862 | ||
Travelers Cos. Inc. | 4.000% | 5/30/47 | 1,960 | 2,408 | ||
Travelers Cos. Inc. | 4.050% | 3/7/48 | 2,346 | 2,912 | ||
Travelers Cos. Inc. | 4.100% | 3/4/49 | 866 | 1,099 | ||
Travelers Cos. Inc. | 2.550% | 4/27/50 | 385 | 377 | ||
Travelers Cos. Inc. | 3.050% | 6/8/51 | 2,000 | 2,145 | ||
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 370 | 531 | ||
Unum Group | 5.750% | 8/15/42 | 984 | 1,234 | ||
Unum Group | 4.500% | 12/15/49 | 1,598 | 1,711 | ||
Unum Group | 4.125% | 6/15/51 | 775 | 786 | ||
Visa Inc. | 4.150% | 12/14/35 | 3,722 | 4,573 | ||
Visa Inc. | 2.700% | 4/15/40 | 1,470 | 1,528 | ||
Visa Inc. | 4.300% | 12/14/45 | 8,824 | 11,299 | ||
Visa Inc. | 3.650% | 9/15/47 | 2,191 | 2,581 | ||
Visa Inc. | 2.000% | 8/15/50 | 2,909 | 2,588 | ||
Voya Financial Inc. | 5.700% | 7/15/43 | 577 | 811 | ||
Voya Financial Inc. | 4.800% | 6/15/46 | 987 | 1,273 | ||
W R Berkley Corp. | 4.750% | 8/1/44 | 1,386 | 1,775 | ||
W R Berkley Corp. | 4.000% | 5/12/50 | 1,290 | 1,514 | ||
Wachovia Corp. | 7.500% | 4/15/35 | 615 | 923 | ||
Wachovia Corp. | 5.500% | 8/1/35 | 1,323 | 1,731 | ||
2 | Wells Fargo & Co. | 3.068% | 4/30/41 | 9,225 | 9,690 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 5,469 | 7,380 | ||
Wells Fargo & Co. | 5.606% | 1/15/44 | 6,683 | 9,255 | ||
2 | Wells Fargo & Co. | 4.650% | 11/4/44 | 5,209 | 6,501 | |
Wells Fargo & Co. | 3.900% | 5/1/45 | 3,685 | 4,398 | ||
2 | Wells Fargo & Co. | 4.900% | 11/17/45 | 5,629 | 7,256 | |
2 | Wells Fargo & Co. | 4.400% | 6/14/46 | 5,192 | 6,349 | |
2 | Wells Fargo & Co. | 4.750% | 12/7/46 | 3,228 | 4,118 | |
2 | Wells Fargo & Co. | 5.013% | 4/4/51 | 10,758 | 14,951 | |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 1,415 | 1,952 | ||
2 | Wells Fargo Bank NA | 5.850% | 2/1/37 | 1,868 | 2,567 | |
2 | Wells Fargo Bank NA | 6.600% | 1/15/38 | 3,615 | 5,334 | |
Western Union Co. | 6.200% | 11/17/36 | 1,487 | 1,866 | ||
Westpac Banking Corp. | 4.421% | 7/24/39 | 3,461 | 4,141 | ||
Westpac Banking Corp. | 2.963% | 11/16/40 | 1,903 | 1,902 | ||
Willis North America Inc. | 5.050% | 9/15/48 | 630 | 833 | ||
Willis North America Inc. | 3.875% | 9/15/49 | 1,187 | 1,343 | ||
XLIT Ltd. | 5.250% | 12/15/43 | 512 | 721 | ||
XLIT Ltd. | 5.500% | 3/31/45 | 1,265 | 1,769 | ||
923,382 | ||||||
Health Care (14.6%) | ||||||
Abbott Laboratories | 4.750% | 11/30/36 | 3,505 | 4,540 | ||
Abbott Laboratories | 6.150% | 11/30/37 | 1,542 | 2,293 | ||
Abbott Laboratories | 6.000% | 4/1/39 | 1,215 | 1,785 | ||
Abbott Laboratories | 5.300% | 5/27/40 | 1,698 | 2,381 | ||
Abbott Laboratories | 4.750% | 4/15/43 | 1,876 | 2,500 | ||
Abbott Laboratories | 4.900% | 11/30/46 | 6,813 | 9,454 | ||
AbbVie Inc. | 4.550% | 3/15/35 | 4,691 | 5,710 | ||
AbbVie Inc. | 4.500% | 5/14/35 | 5,899 | 7,171 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AbbVie Inc. | 4.300% | 5/14/36 | 4,182 | 4,994 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 7,121 | 8,355 | ||
AbbVie Inc. | 4.625% | 10/1/42 | 2,275 | 2,822 | ||
AbbVie Inc. | 4.400% | 11/6/42 | 4,156 | 5,069 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 1,310 | 1,677 | ||
AbbVie Inc. | 4.750% | 3/15/45 | 2,272 | 2,863 | ||
AbbVie Inc. | 4.700% | 5/14/45 | 5,085 | 6,405 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 5,427 | 6,660 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 3,865 | 5,053 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 14,248 | 17,304 | ||
Adventist Health System | 3.630% | 3/1/49 | 770 | 870 | ||
Advocate Health & Hospitals Corp. | 4.272% | 8/15/48 | 544 | 700 | ||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/49 | 740 | 837 | ||
2 | Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 1,963 | 2,087 | |
Aetna Inc. | 6.625% | 6/15/36 | 1,708 | 2,492 | ||
Aetna Inc. | 6.750% | 12/15/37 | 657 | 976 | ||
Aetna Inc. | 4.500% | 5/15/42 | 680 | 827 | ||
Aetna Inc. | 4.125% | 11/15/42 | 2,038 | 2,370 | ||
Aetna Inc. | 4.750% | 3/15/44 | 1,158 | 1,457 | ||
Aetna Inc. | 3.875% | 8/15/47 | 2,729 | 3,092 | ||
AHS Hospital Corp. | 5.024% | 7/1/45 | 948 | 1,317 | ||
2 | AHS Hospital Corp. | 2.780% | 7/1/51 | 1,230 | 1,248 | |
2 | Allina Health System | 3.887% | 4/15/49 | 412 | 491 | |
AmerisourceBergen Corp. | 4.250% | 3/1/45 | 1,345 | 1,583 | ||
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 941 | 1,110 | ||
Amgen Inc. | 2.000% | 1/15/32 | 4,500 | 4,432 | ||
Amgen Inc. | 6.400% | 2/1/39 | 350 | 506 | ||
Amgen Inc. | 3.150% | 2/21/40 | 3,335 | 3,493 | ||
Amgen Inc. | 5.750% | 3/15/40 | 344 | 471 | ||
Amgen Inc. | 2.800% | 8/15/41 | 3,000 | 2,970 | ||
Amgen Inc. | 4.950% | 10/1/41 | 2,056 | 2,654 | ||
Amgen Inc. | 5.150% | 11/15/41 | 1,717 | 2,258 | ||
Amgen Inc. | 5.650% | 6/15/42 | 575 | 796 | ||
Amgen Inc. | 4.400% | 5/1/45 | 5,970 | 7,284 | ||
Amgen Inc. | 4.563% | 6/15/48 | 3,157 | 3,984 | ||
Amgen Inc. | 3.375% | 2/21/50 | 5,288 | 5,623 | ||
Amgen Inc. | 4.663% | 6/15/51 | 7,572 | 9,821 | ||
Amgen Inc. | 3.000% | 1/15/52 | 4,100 | 4,078 | ||
Amgen Inc. | 2.770% | 9/1/53 | 2,537 | 2,431 | ||
Anthem Inc. | 5.950% | 12/15/34 | 686 | 951 | ||
Anthem Inc. | 5.850% | 1/15/36 | 1,085 | 1,478 | ||
Anthem Inc. | 4.625% | 5/15/42 | 1,527 | 1,911 | ||
Anthem Inc. | 4.650% | 1/15/43 | 2,576 | 3,238 | ||
Anthem Inc. | 5.100% | 1/15/44 | 1,963 | 2,594 | ||
Anthem Inc. | 4.650% | 8/15/44 | 2,416 | 3,051 | ||
Anthem Inc. | 4.375% | 12/1/47 | 2,719 | 3,367 | ||
Anthem Inc. | 4.550% | 3/1/48 | 2,030 | 2,567 | ||
Anthem Inc. | 3.700% | 9/15/49 | 1,973 | 2,228 | ||
Anthem Inc. | 3.125% | 5/15/50 | 2,271 | 2,367 | ||
Anthem Inc. | 3.600% | 3/15/51 | 2,820 | 3,163 | ||
2 | Ascension Health | 3.106% | 11/15/39 | 1,885 | 2,053 | |
Ascension Health | 3.945% | 11/15/46 | 2,637 | 3,278 | ||
2 | Ascension Health | 4.847% | 11/15/53 | 745 | 1,088 | |
AstraZeneca plc | 6.450% | 9/15/37 | 5,270 | 7,933 | ||
AstraZeneca plc | 4.000% | 9/18/42 | 3,985 | 4,855 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AstraZeneca plc | 4.375% | 11/16/45 | 1,919 | 2,477 | ||
AstraZeneca plc | 4.375% | 8/17/48 | 2,167 | 2,809 | ||
AstraZeneca plc | 2.125% | 8/6/50 | 1,530 | 1,373 | ||
AstraZeneca plc | 3.000% | 5/28/51 | 1,745 | 1,858 | ||
2 | Banner Health | 3.181% | 1/1/50 | 320 | 348 | |
Banner Health | 2.913% | 1/1/51 | 1,225 | 1,275 | ||
2 | Baptist Health South Florida Obligated Group | 3.115% | 11/15/71 | 975 | 971 | |
2 | Baptist Healthcare System Obligated Group | 3.540% | 8/15/50 | 1,116 | 1,230 | |
Baxalta Inc. | 5.250% | 6/23/45 | 1,821 | 2,494 | ||
Baxter International Inc. | 3.500% | 8/15/46 | 913 | 1,014 | ||
2 | BayCare Health System Inc. | 3.831% | 11/15/50 | 1,363 | 1,680 | |
Baylor Scott & White Holdings | 4.185% | 11/15/45 | 1,441 | 1,788 | ||
Baylor Scott & White Holdings | 3.967% | 11/15/46 | 648 | 794 | ||
2 | Baylor Scott & White Holdings | 2.839% | 11/15/50 | 2,217 | 2,258 | |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 404 | 513 | ||
Becton Dickinson & Co. | 4.669% | 6/6/47 | 5,120 | 6,499 | ||
Becton Dickinson & Co. | 3.794% | 5/20/50 | 1,520 | 1,726 | ||
Biogen Inc. | 3.150% | 5/1/50 | 4,659 | 4,604 | ||
1 | Biogen Inc. | 3.250% | 2/15/51 | 2,465 | 2,479 | |
2 | Bon Secours Mercy Health Inc. | 3.205% | 6/1/50 | 800 | 850 | |
Boston Scientific Corp. | 7.000% | 11/15/35 | 395 | 566 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 2,181 | 2,688 | ||
Boston Scientific Corp. | 4.700% | 3/1/49 | 3,147 | 4,091 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 2,731 | 3,328 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 1,775 | 1,722 | ||
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 1,480 | 1,623 | ||
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 1,995 | 2,600 | ||
Bristol-Myers Squibb Co. | 4.625% | 5/15/44 | 2,831 | 3,744 | ||
Bristol-Myers Squibb Co. | 5.000% | 8/15/45 | 3,822 | 5,266 | ||
Bristol-Myers Squibb Co. | 4.350% | 11/15/47 | 3,430 | 4,380 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 4,068 | 5,357 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 8,247 | 10,492 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 2,415 | 2,344 | ||
Cardinal Health Inc. | 4.600% | 3/15/43 | 1,007 | 1,191 | ||
Cardinal Health Inc. | 4.500% | 11/15/44 | 754 | 870 | ||
Cardinal Health Inc. | 4.900% | 9/15/45 | 1,575 | 1,915 | ||
Cardinal Health Inc. | 4.368% | 6/15/47 | 531 | 602 | ||
2 | Catholic Health Services of Long Island Obligated Group | 3.368% | 7/1/50 | 815 | 861 | |
Children's Health System of Texas | 2.511% | 8/15/50 | 1,305 | 1,250 | ||
2 | Children's Hospital | 2.928% | 7/15/50 | 840 | 862 | |
2 | Children's Hospital Corp. | 4.115% | 1/1/47 | 655 | 844 | |
2 | Children's Hospital Corp. | 2.585% | 2/1/50 | 1,265 | 1,244 | |
Children's Hospital Medical Center | 4.268% | 5/15/44 | 765 | 967 | ||
2 | Children's Hospital of Philadelphia | 2.704% | 7/1/50 | 1,300 | 1,296 | |
Cigna Corp. | 4.800% | 8/15/38 | 4,546 | 5,691 | ||
Cigna Corp. | 3.200% | 3/15/40 | 1,213 | 1,273 | ||
2 | Cigna Corp. | 6.125% | 11/15/41 | 1,398 | 2,011 | |
2 | Cigna Corp. | 4.800% | 7/15/46 | 4,125 | 5,271 | |
2 | Cigna Corp. | 3.875% | 10/15/47 | 2,958 | 3,358 | |
Cigna Corp. | 4.900% | 12/15/48 | 5,538 | 7,242 | ||
Cigna Corp. | 3.400% | 3/15/50 | 3,723 | 3,970 | ||
Cigna Corp. | 3.400% | 3/15/51 | 1,605 | 1,712 | ||
2 | City of Hope | 5.623% | 11/15/43 | 367 | 534 | |
2 | City of Hope | 4.378% | 8/15/48 | 1,220 | 1,553 | |
2 | CommonSpirit Health | 4.350% | 11/1/42 | 2,187 | 2,586 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
CommonSpirit Health | 3.817% | 10/1/49 | 1,525 | 1,754 | ||
CommonSpirit Health | 4.187% | 10/1/49 | 2,071 | 2,416 | ||
CommonSpirit Health | 3.910% | 10/1/50 | 1,040 | 1,167 | ||
2 | Community Health Network Inc. | 3.099% | 5/1/50 | 1,100 | 1,120 | |
2 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 1,244 | 1,385 | |
CVS Health Corp. | 2.125% | 9/15/31 | 2,000 | 1,994 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 3,507 | 4,318 | ||
CVS Health Corp. | 4.780% | 3/25/38 | 9,701 | 12,058 | ||
CVS Health Corp. | 6.125% | 9/15/39 | 836 | 1,185 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 3,346 | 3,914 | ||
CVS Health Corp. | 2.700% | 8/21/40 | 2,746 | 2,693 | ||
CVS Health Corp. | 5.300% | 12/5/43 | 3,455 | 4,635 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 6,620 | 8,733 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 18,337 | 24,256 | ||
CVS Health Corp. | 4.250% | 4/1/50 | 755 | 917 | ||
Danaher Corp. | 4.375% | 9/15/45 | 632 | 803 | ||
Danaher Corp. | 2.600% | 10/1/50 | 2,935 | 2,865 | ||
2 | Dartmouth-Hitchcock Health | 4.178% | 8/1/48 | 728 | 877 | |
DH Europe Finance II Sarl | 3.250% | 11/15/39 | 2,807 | 3,055 | ||
DH Europe Finance II Sarl | 3.400% | 11/15/49 | 925 | 1,029 | ||
Dignity Health | 4.500% | 11/1/42 | 1,025 | 1,240 | ||
Dignity Health | 5.267% | 11/1/64 | 624 | 879 | ||
2 | Duke University Health System Inc. | 3.920% | 6/1/47 | 1,238 | 1,505 | |
Eli Lilly & Co. | 3.950% | 5/15/47 | 250 | 302 | ||
Eli Lilly & Co. | 3.950% | 3/15/49 | 5,663 | 6,974 | ||
Eli Lilly & Co. | 2.250% | 5/15/50 | 635 | 589 | ||
Eli Lilly & Co. | 4.150% | 3/15/59 | 3,650 | 4,734 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 1,985 | 1,865 | ||
2 | Franciscan Missionaries of Our Lady Health System Inc. | 3.914% | 7/1/49 | 290 | 341 | |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 3,765 | 4,645 | ||
Gilead Sciences Inc. | 4.000% | 9/1/36 | 2,085 | 2,442 | ||
Gilead Sciences Inc. | 2.600% | 10/1/40 | 1,545 | 1,504 | ||
Gilead Sciences Inc. | 5.650% | 12/1/41 | 2,340 | 3,279 | ||
Gilead Sciences Inc. | 4.800% | 4/1/44 | 5,486 | 7,052 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 4,226 | 5,231 | ||
Gilead Sciences Inc. | 4.750% | 3/1/46 | 4,118 | 5,295 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 1,907 | 2,284 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 2,115 | 2,061 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 777 | 1,052 | ||
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 7,233 | 10,906 | ||
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 889 | 1,107 | ||
2 | Hackensack Meridian Health Inc. | 2.675% | 9/1/41 | 742 | 744 | |
Hackensack Meridian Health Inc. | 4.211% | 7/1/48 | 890 | 1,112 | ||
2 | Hackensack Meridian Health Inc. | 2.875% | 9/1/50 | 990 | 1,011 | |
Hackensack Meridian Health Inc. | 4.500% | 7/1/57 | 828 | 1,137 | ||
2 | Hartford HealthCare Corp. | 3.447% | 7/1/54 | 1,030 | 1,104 | |
HCA Inc. | 5.125% | 6/15/39 | 2,705 | 3,402 | ||
HCA Inc. | 5.500% | 6/15/47 | 3,209 | 4,235 | ||
HCA Inc. | 5.250% | 6/15/49 | 3,885 | 5,068 | ||
HCA Inc. | 3.500% | 7/15/51 | 3,765 | 3,843 | ||
Humana Inc. | 2.150% | 2/3/32 | 1,750 | 1,746 | ||
Humana Inc. | 4.625% | 12/1/42 | 1,963 | 2,445 | ||
Humana Inc. | 4.950% | 10/1/44 | 959 | 1,255 | ||
Humana Inc. | 4.800% | 3/15/47 | 920 | 1,186 | ||
Humana Inc. | 3.950% | 8/15/49 | 645 | 756 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
IHC Health Services Inc. | 4.131% | 5/15/48 | 926 | 1,189 | ||
Indiana University Health Inc. Obligated Group | 3.970% | 11/1/48 | 991 | 1,237 | ||
2 | Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 750 | 782 | |
2 | Integris Baptist Medical Center Inc. | 3.875% | 8/15/50 | 1,350 | 1,555 | |
2 | Iowa Health System | 3.665% | 2/15/50 | 255 | 294 | |
Johns Hopkins Health System Corp. | 3.837% | 5/15/46 | 1,592 | 1,903 | ||
Johnson & Johnson | 4.950% | 5/15/33 | 889 | 1,176 | ||
Johnson & Johnson | 4.375% | 12/5/33 | 2,941 | 3,693 | ||
Johnson & Johnson | 3.550% | 3/1/36 | 2,554 | 3,005 | ||
Johnson & Johnson | 3.625% | 3/3/37 | 3,366 | 3,961 | ||
Johnson & Johnson | 5.950% | 8/15/37 | 1,902 | 2,811 | ||
Johnson & Johnson | 3.400% | 1/15/38 | 3,534 | 4,053 | ||
Johnson & Johnson | 5.850% | 7/15/38 | 1,851 | 2,734 | ||
Johnson & Johnson | 2.100% | 9/1/40 | 1,962 | 1,901 | ||
Johnson & Johnson | 4.500% | 9/1/40 | 1,192 | 1,562 | ||
Johnson & Johnson | 4.850% | 5/15/41 | 1,621 | 2,192 | ||
Johnson & Johnson | 4.500% | 12/5/43 | 1,156 | 1,523 | ||
Johnson & Johnson | 3.700% | 3/1/46 | 3,593 | 4,329 | ||
Johnson & Johnson | 3.750% | 3/3/47 | 1,847 | 2,256 | ||
Johnson & Johnson | 3.500% | 1/15/48 | 1,214 | 1,435 | ||
Johnson & Johnson | 2.250% | 9/1/50 | 1,700 | 1,630 | ||
Johnson & Johnson | 2.450% | 9/1/60 | 1,682 | 1,634 | ||
2 | Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 2,375 | 2,449 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 2,440 | 3,336 | ||
Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 4,044 | 5,094 | ||
2 | Kaiser Foundation Hospitals | 3.266% | 11/1/49 | 1,831 | 2,015 | |
2 | Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 2,285 | 2,392 | |
Koninklijke Philips NV | 6.875% | 3/11/38 | 1,995 | 3,034 | ||
Koninklijke Philips NV | 5.000% | 3/15/42 | 1,009 | 1,343 | ||
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 2,050 | 2,545 | ||
2 | Mass General Brigham Inc. | 3.765% | 7/1/48 | 750 | 896 | |
2 | Mass General Brigham Inc. | 3.192% | 7/1/49 | 1,172 | 1,259 | |
2 | Mass General Brigham Inc. | 4.117% | 7/1/55 | 370 | 471 | |
2 | Mass General Brigham Inc. | 3.342% | 7/1/60 | 1,770 | 1,986 | |
2 | Mayo Clinic | 4.000% | 11/15/47 | 813 | 1,019 | |
2 | Mayo Clinic | 4.128% | 11/15/52 | 660 | 858 | |
2 | Mayo Clinic | 3.196% | 11/15/61 | 1,590 | 1,758 | |
2 | McLaren Health Care Corp. | 4.386% | 5/15/48 | 1,025 | 1,317 | |
2 | MedStar Health Inc. | 3.626% | 8/15/49 | 720 | 814 | |
Medtronic Inc. | 4.375% | 3/15/35 | 5,175 | 6,494 | ||
Medtronic Inc. | 4.625% | 3/15/45 | 3,668 | 4,894 | ||
Memorial Health Services | 3.447% | 11/1/49 | 775 | 869 | ||
Memorial Sloan-Kettering Cancer Center | 5.000% | 7/1/42 | 580 | 802 | ||
2 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 1,255 | 1,306 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 2,235 | 2,871 | ||
2 | Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 429 | 562 | |
Merck & Co. Inc. | 6.500% | 12/1/33 | 1,600 | 2,377 | ||
Merck & Co. Inc. | 3.900% | 3/7/39 | 2,473 | 2,952 | ||
Merck & Co. Inc. | 2.350% | 6/24/40 | 2,482 | 2,434 | ||
Merck & Co. Inc. | 3.600% | 9/15/42 | 1,605 | 1,864 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 2,662 | 3,310 | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 4,616 | 5,412 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 3,498 | 4,328 | ||
Merck & Co. Inc. | 2.450% | 6/24/50 | 2,666 | 2,561 | ||
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 454 | 634 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Methodist Hospital | 2.705% | 12/1/50 | 1,395 | 1,396 | |
2 | MidMichigan Health | 3.409% | 6/1/50 | 845 | 947 | |
2 | Montefiore Obligated Group | 5.246% | 11/1/48 | 1,100 | 1,312 | |
Montefiore Obligated Group | 4.287% | 9/1/50 | 775 | 828 | ||
2 | Mount Sinai Hospitals Group Inc. | 3.981% | 7/1/48 | 625 | 706 | |
2 | Mount Sinai Hospitals Group Inc. | 3.737% | 7/1/49 | 725 | 818 | |
2 | Mount Sinai Hospitals Group Inc. | 3.391% | 7/1/50 | 1,480 | 1,586 | |
MultiCare Health System | 2.803% | 8/15/50 | 720 | 736 | ||
Mylan Inc. | 5.400% | 11/29/43 | 1,945 | 2,455 | ||
Mylan Inc. | 5.200% | 4/15/48 | 1,544 | 1,923 | ||
New York & Presbyterian Hospital | 2.256% | 8/1/40 | 1,386 | 1,331 | ||
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 638 | 794 | ||
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 939 | 1,214 | ||
New York & Presbyterian Hospital | 2.606% | 8/1/60 | 987 | 950 | ||
2 | New York & Presbyterian Hospital | 3.954% | 8/1/19 | 1,292 | 1,573 | |
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 1,665 | 1,921 | ||
Northwell Healthcare Inc. | 4.260% | 11/1/47 | 1,580 | 1,905 | ||
Northwell Healthcare Inc. | 3.809% | 11/1/49 | 990 | 1,133 | ||
Novant Health Inc. | 2.637% | 11/1/36 | 1,715 | 1,779 | ||
Novant Health Inc. | 3.168% | 11/1/51 | 1,650 | 1,781 | ||
Novartis Capital Corp. | 3.700% | 9/21/42 | 1,459 | 1,725 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 5,532 | 7,201 | ||
Novartis Capital Corp. | 4.000% | 11/20/45 | 1,864 | 2,308 | ||
Novartis Capital Corp. | 2.750% | 8/14/50 | 2,268 | 2,349 | ||
2 | NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery | 2.667% | 10/1/50 | 1,045 | 1,006 | |
2 | NYU Langone Hospitals | 5.750% | 7/1/43 | 995 | 1,428 | |
NYU Langone Hospitals | 4.784% | 7/1/44 | 817 | 1,082 | ||
2 | NYU Langone Hospitals | 4.368% | 7/1/47 | 798 | 967 | |
2 | NYU Langone Hospitals | 3.380% | 7/1/55 | 1,597 | 1,702 | |
2 | OhioHealth Corp. | 3.042% | 11/15/50 | 861 | 922 | |
Orlando Health Obligated Group | 4.089% | 10/1/48 | 648 | 797 | ||
Orlando Health Obligated Group | 3.327% | 10/1/50 | 865 | 939 | ||
2 | PeaceHealth Obligated Group | 4.787% | 11/15/48 | 635 | 871 | |
2 | PeaceHealth Obligated Group | 3.218% | 11/15/50 | 1,340 | 1,454 | |
PerkinElmer Inc. | 3.625% | 3/15/51 | 1,120 | 1,223 | ||
Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 501 | 538 | ||
Pfizer Inc. | 4.000% | 12/15/36 | 3,709 | 4,503 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 1,740 | 2,130 | ||
Pfizer Inc. | 3.900% | 3/15/39 | 2,212 | 2,648 | ||
Pfizer Inc. | 7.200% | 3/15/39 | 4,371 | 7,159 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 2,553 | 2,591 | ||
Pfizer Inc. | 4.300% | 6/15/43 | 2,761 | 3,482 | ||
Pfizer Inc. | 4.400% | 5/15/44 | 3,758 | 4,832 | ||
Pfizer Inc. | 4.125% | 12/15/46 | 2,759 | 3,450 | ||
Pfizer Inc. | 4.200% | 9/15/48 | 2,562 | 3,248 | ||
Pfizer Inc. | 4.000% | 3/15/49 | 2,278 | 2,821 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 1,881 | 1,906 | ||
2 | Providence St. Joseph Health Obligated Group | 3.744% | 10/1/47 | 963 | 1,130 | |
2 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 850 | 1,018 | |
2 | Rady Children's Hospital-San Diego | 3.154% | 8/15/51 | 1,000 | 1,078 | |
Regeneron Pharmaceuticals Inc. | 2.800% | 9/15/50 | 1,328 | 1,258 | ||
Royalty Pharma plc | 2.150% | 9/2/31 | 950 | 928 | ||
Royalty Pharma plc | 3.300% | 9/2/40 | 2,235 | 2,265 | ||
Royalty Pharma plc | 3.550% | 9/2/50 | 2,320 | 2,324 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Royalty Pharma plc | 3.350% | 9/2/51 | 1,850 | 1,795 | ||
RWJ Barnabas Health Inc. | 3.949% | 7/1/46 | 1,026 | 1,241 | ||
RWJ Barnabas Health Inc. | 3.477% | 7/1/49 | 685 | 776 | ||
2 | Seattle Children's Hospital | 2.719% | 10/1/50 | 875 | 870 | |
2 | Sharp HealthCare | 2.680% | 8/1/50 | 600 | 593 | |
2 | Spectrum Health System Obligated Group | 3.487% | 7/15/49 | 860 | 979 | |
2 | Stanford Health Care | 3.795% | 11/15/48 | 1,080 | 1,304 | |
Stanford Health Care | 3.027% | 8/15/51 | 1,113 | 1,181 | ||
STERIS Irish FinCo Unltd. Co. | 3.750% | 3/15/51 | 1,680 | 1,844 | ||
Stryker Corp. | 4.100% | 4/1/43 | 1,001 | 1,186 | ||
Stryker Corp. | 4.375% | 5/15/44 | 1,509 | 1,880 | ||
Stryker Corp. | 4.625% | 3/15/46 | 1,463 | 1,921 | ||
Stryker Corp. | 2.900% | 6/15/50 | 1,117 | 1,143 | ||
Summa Health | 3.511% | 11/15/51 | 160 | 172 | ||
2 | Sutter Health | 3.161% | 8/15/40 | 1,360 | 1,452 | |
2 | Sutter Health | 4.091% | 8/15/48 | 980 | 1,202 | |
2 | Sutter Health | 3.361% | 8/15/50 | 1,210 | 1,320 | |
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 3,672 | 3,772 | ||
Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 3,165 | 3,278 | ||
Takeda Pharmaceutical Co. Ltd. | 3.375% | 7/9/60 | 2,540 | 2,701 | ||
Texas Health Resources | 2.328% | 11/15/50 | 1,320 | 1,219 | ||
2 | Texas Health Resources | 4.330% | 11/15/55 | 386 | 515 | |
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 3,000 | 2,995 | ||
Thermo Fisher Scientific Inc. | 2.800% | 10/15/41 | 3,000 | 3,065 | ||
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 1,613 | 2,264 | ||
Thermo Fisher Scientific Inc. | 4.100% | 8/15/47 | 581 | 722 | ||
Toledo Hospital | 5.750% | 11/15/38 | 1,110 | 1,337 | ||
Toledo Hospital | 6.015% | 11/15/48 | 1,005 | 1,238 | ||
2 | Trinity Health Corp. | 2.632% | 12/1/40 | 1,290 | 1,289 | |
Trinity Health Corp. | 4.125% | 12/1/45 | 765 | 962 | ||
2 | Trinity Health Corp. | 3.434% | 12/1/48 | 610 | 684 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 3,828 | 4,864 | ||
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 601 | 851 | ||
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 800 | 1,211 | ||
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 2,434 | 3,725 | ||
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 883 | 1,377 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 2,746 | 3,104 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 1,627 | 1,672 | ||
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 1,454 | 2,072 | ||
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 1,046 | 1,538 | ||
UnitedHealth Group Inc. | 3.050% | 5/15/41 | 3,300 | 3,498 | ||
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 1,138 | 1,455 | ||
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,733 | 2,166 | ||
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 2,476 | 2,967 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 1,645 | 2,044 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 2,594 | 3,459 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 2,629 | 3,255 | ||
UnitedHealth Group Inc. | 4.250% | 4/15/47 | 932 | 1,167 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 1,893 | 2,213 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 2,769 | 3,491 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 2,410 | 3,132 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 3,580 | 4,162 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 2,254 | 2,332 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 5,750 | 6,300 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 3,608 | 4,366 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 1,730 | 1,831 | ||
Utah Acquisition Sub Inc. | 5.250% | 6/15/46 | 2,744 | 3,405 | ||
1 | Viatris Inc. | 3.850% | 6/22/40 | 2,999 | 3,248 | |
1 | Viatris Inc. | 4.000% | 6/22/50 | 4,583 | 4,989 | |
2 | West Virginia United Health System Obligated Group | 3.129% | 6/1/50 | 915 | 947 | |
2 | Willis-Knighton Medical Center | 4.813% | 9/1/48 | 300 | 401 | |
2 | Willis-Knighton Medical Center | 3.065% | 3/1/51 | 1,425 | 1,445 | |
Wyeth LLC | 6.500% | 2/1/34 | 2,492 | 3,637 | ||
Wyeth LLC | 6.000% | 2/15/36 | 1,477 | 2,130 | ||
Wyeth LLC | 5.950% | 4/1/37 | 2,643 | 3,793 | ||
2 | Yale-New Haven Health Services Corp. | 2.496% | 7/1/50 | 795 | 758 | |
Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 900 | 1,224 | ||
Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 897 | 1,083 | ||
Zoetis Inc. | 4.700% | 2/1/43 | 1,590 | 2,067 | ||
Zoetis Inc. | 3.950% | 9/12/47 | 1,356 | 1,627 | ||
Zoetis Inc. | 4.450% | 8/20/48 | 1,918 | 2,489 | ||
Zoetis Inc. | 3.000% | 5/15/50 | 700 | 735 | ||
899,877 | ||||||
Industrials (8.5%) | ||||||
2 | 3M Co. | 5.700% | 3/15/37 | 1,045 | 1,469 | |
2 | 3M Co. | 3.875% | 6/15/44 | 520 | 624 | |
2 | 3M Co. | 3.125% | 9/19/46 | 1,274 | 1,367 | |
2 | 3M Co. | 3.625% | 10/15/47 | 1,657 | 1,926 | |
2,4 | 3M Co. | 4.000% | 9/14/48 | 3,892 | 4,789 | |
3M Co. | 3.250% | 8/26/49 | 35 | 38 | ||
3M Co. | 3.700% | 4/15/50 | 2,976 | 3,528 | ||
ABB Finance USA Inc. | 4.375% | 5/8/42 | 35 | 46 | ||
2 | American Airlines Pass-Through Trust Class AA Series 2019-1 | 3.150% | 2/15/32 | 1,837 | 1,877 | |
Boeing Co. | 6.125% | 2/15/33 | 416 | 535 | ||
Boeing Co. | 3.600% | 5/1/34 | 3,503 | 3,710 | ||
Boeing Co. | 3.250% | 2/1/35 | 1,123 | 1,151 | ||
Boeing Co. | 6.625% | 2/15/38 | 1,038 | 1,413 | ||
Boeing Co. | 3.550% | 3/1/38 | 1,658 | 1,702 | ||
Boeing Co. | 3.500% | 3/1/39 | 1,014 | 1,025 | ||
Boeing Co. | 6.875% | 3/15/39 | 649 | 910 | ||
Boeing Co. | 5.875% | 2/15/40 | 2,414 | 3,130 | ||
Boeing Co. | 5.705% | 5/1/40 | 4,925 | 6,372 | ||
Boeing Co. | 3.650% | 3/1/47 | 1,539 | 1,551 | ||
Boeing Co. | 3.625% | 3/1/48 | 1,523 | 1,527 | ||
Boeing Co. | 3.850% | 11/1/48 | 2,655 | 2,751 | ||
Boeing Co. | 3.900% | 5/1/49 | 2,521 | 2,646 | ||
Boeing Co. | 3.750% | 2/1/50 | 2,251 | 2,336 | ||
Boeing Co. | 5.805% | 5/1/50 | 11,237 | 15,293 | ||
Boeing Co. | 3.825% | 3/1/59 | 1,585 | 1,605 | ||
Boeing Co. | 3.950% | 8/1/59 | 1,642 | 1,711 | ||
Boeing Co. | 5.930% | 5/1/60 | 7,884 | 10,950 | ||
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 215 | 310 | ||
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 545 | 793 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 2,398 | 3,404 | ||
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 1,216 | 1,620 | ||
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 1,008 | 1,398 | ||
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 1,326 | 1,750 | ||
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 1,748 | 2,178 | ||
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 2,414 | 3,008 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 2,219 | 2,813 | ||
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 1,575 | 2,165 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,547 | 2,076 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 2,560 | 3,274 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 2,539 | 3,103 | ||
Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 1,425 | 1,869 | ||
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 1,563 | 1,856 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 2,273 | 2,794 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 2,640 | 3,222 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 757 | 863 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 1,740 | 1,827 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 2,242 | 2,462 | ||
Canadian National Railway Co. | 6.250% | 8/1/34 | 608 | 863 | ||
Canadian National Railway Co. | 6.200% | 6/1/36 | 382 | 548 | ||
Canadian National Railway Co. | 6.375% | 11/15/37 | 1,341 | 1,953 | ||
Canadian National Railway Co. | 4.500% | 11/7/43 | 200 | 243 | ||
Canadian National Railway Co. | 3.200% | 8/2/46 | 1,286 | 1,360 | ||
Canadian National Railway Co. | 3.650% | 2/3/48 | 2,102 | 2,394 | ||
Canadian National Railway Co. | 4.450% | 1/20/49 | 1,178 | 1,514 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 1,217 | 1,126 | ||
Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 1,272 | 1,574 | ||
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 1,400 | 1,945 | ||
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 1,800 | 2,318 | ||
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 1,218 | 1,910 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 3,803 | 4,068 | ||
Carrier Global Corp. | 3.577% | 4/5/50 | 5,390 | 5,872 | ||
Caterpillar Inc. | 5.300% | 9/15/35 | 888 | 1,205 | ||
Caterpillar Inc. | 6.050% | 8/15/36 | 370 | 544 | ||
Caterpillar Inc. | 5.200% | 5/27/41 | 2,111 | 2,935 | ||
Caterpillar Inc. | 3.803% | 8/15/42 | 3,174 | 3,799 | ||
Caterpillar Inc. | 4.300% | 5/15/44 | 845 | 1,094 | ||
Caterpillar Inc. | 3.250% | 9/19/49 | 4,125 | 4,588 | ||
Caterpillar Inc. | 3.250% | 4/9/50 | 2,610 | 2,921 | ||
Caterpillar Inc. | 4.750% | 5/15/64 | 585 | 853 | ||
Crane Co. | 4.200% | 3/15/48 | 704 | 793 | ||
CSX Corp. | 6.000% | 10/1/36 | 803 | 1,120 | ||
CSX Corp. | 6.150% | 5/1/37 | 1,277 | 1,813 | ||
CSX Corp. | 6.220% | 4/30/40 | 1,348 | 1,983 | ||
CSX Corp. | 5.500% | 4/15/41 | 447 | 611 | ||
CSX Corp. | 4.750% | 5/30/42 | 1,915 | 2,445 | ||
CSX Corp. | 4.400% | 3/1/43 | 727 | 883 | ||
CSX Corp. | 4.100% | 3/15/44 | 874 | 1,033 | ||
CSX Corp. | 3.800% | 11/1/46 | 2,516 | 2,892 | ||
CSX Corp. | 4.300% | 3/1/48 | 2,093 | 2,578 | ||
CSX Corp. | 4.750% | 11/15/48 | 836 | 1,098 | ||
CSX Corp. | 4.500% | 3/15/49 | 1,471 | 1,866 | ||
CSX Corp. | 3.350% | 9/15/49 | 2,540 | 2,736 | ||
CSX Corp. | 3.800% | 4/15/50 | 1,651 | 1,909 | ||
CSX Corp. | 3.950% | 5/1/50 | 1,550 | 1,844 | ||
CSX Corp. | 2.500% | 5/15/51 | 1,630 | 1,506 | ||
CSX Corp. | 4.500% | 8/1/54 | 1,081 | 1,391 | ||
CSX Corp. | 4.250% | 11/1/66 | 1,006 | 1,257 | ||
CSX Corp. | 4.650% | 3/1/68 | 1,334 | 1,773 | ||
Cummins Inc. | 4.875% | 10/1/43 | 748 | 1,011 | ||
Cummins Inc. | 2.600% | 9/1/50 | 1,755 | 1,696 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Deere & Co. | 3.900% | 6/9/42 | 2,672 | 3,253 | ||
Deere & Co. | 2.875% | 9/7/49 | 1,875 | 1,991 | ||
Deere & Co. | 3.750% | 4/15/50 | 1,333 | 1,630 | ||
Dover Corp. | 5.375% | 10/15/35 | 575 | 749 | ||
Dover Corp. | 5.375% | 3/1/41 | 978 | 1,291 | ||
Eaton Corp. | 4.000% | 11/2/32 | 1,178 | 1,387 | ||
Eaton Corp. | 4.150% | 11/2/42 | 1,703 | 2,057 | ||
Eaton Corp. | 3.915% | 9/15/47 | 631 | 744 | ||
Emerson Electric Co. | 5.250% | 11/15/39 | 485 | 661 | ||
Emerson Electric Co. | 2.750% | 10/15/50 | 782 | 791 | ||
FedEx Corp. | 4.900% | 1/15/34 | 2,641 | 3,314 | ||
FedEx Corp. | 3.900% | 2/1/35 | 1,850 | 2,130 | ||
FedEx Corp. | 3.250% | 5/15/41 | 1,190 | 1,243 | ||
FedEx Corp. | 3.875% | 8/1/42 | 775 | 877 | ||
FedEx Corp. | 4.100% | 4/15/43 | 2,118 | 2,449 | ||
FedEx Corp. | 5.100% | 1/15/44 | 1,913 | 2,503 | ||
FedEx Corp. | 4.750% | 11/15/45 | 2,320 | 2,927 | ||
FedEx Corp. | 4.550% | 4/1/46 | 2,115 | 2,599 | ||
FedEx Corp. | 4.400% | 1/15/47 | 2,541 | 3,072 | ||
FedEx Corp. | 4.050% | 2/15/48 | 1,480 | 1,723 | ||
FedEx Corp. | 4.950% | 10/17/48 | 1,982 | 2,607 | ||
FedEx Corp. | 5.250% | 5/15/50 | 2,966 | 4,096 | ||
2 | FedEx Corp. Pass-Through Trust Class AA Series 2020-1 | 1.875% | 2/20/34 | 1,945 | 1,951 | |
Fortive Corp. | 4.300% | 6/15/46 | 1,373 | 1,655 | ||
General Dynamics Corp. | 4.250% | 4/1/40 | 2,980 | 3,702 | ||
General Dynamics Corp. | 2.850% | 6/1/41 | 1,000 | 1,045 | ||
General Dynamics Corp. | 3.600% | 11/15/42 | 257 | 299 | ||
General Dynamics Corp. | 4.250% | 4/1/50 | 742 | 960 | ||
2 | General Electric Co. | 6.750% | 3/15/32 | 6,491 | 9,012 | |
2 | General Electric Co. | 6.150% | 8/7/37 | 2,000 | 2,803 | |
2 | General Electric Co. | 5.875% | 1/14/38 | 6,000 | 8,244 | |
2 | General Electric Co. | 6.875% | 1/10/39 | 2,551 | 3,864 | |
General Electric Co. | 4.250% | 5/1/40 | 1,000 | 1,193 | ||
General Electric Co. | 4.125% | 10/9/42 | 1,350 | 1,576 | ||
General Electric Co. | 4.350% | 5/1/50 | 2,280 | 2,812 | ||
Honeywell International Inc. | 5.700% | 3/15/36 | 383 | 533 | ||
Honeywell International Inc. | 5.700% | 3/15/37 | 818 | 1,149 | ||
Honeywell International Inc. | 5.375% | 3/1/41 | 836 | 1,180 | ||
Honeywell International Inc. | 3.812% | 11/21/47 | 3,442 | 4,177 | ||
Honeywell International Inc. | 2.800% | 6/1/50 | 1,155 | 1,208 | ||
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 1,281 | 1,722 | ||
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 2,511 | 3,014 | ||
2 | JetBlue Pass-Through Trust Class AA Series 2019-1 | 2.750% | 5/15/32 | 216 | 217 | |
2 | JetBlue Pass-Through Trust Class A Series 2020-1 | 4.000% | 11/15/32 | 2,563 | 2,810 | |
2 | Johnson Controls International plc | 6.000% | 1/15/36 | 670 | 952 | |
2 | Johnson Controls International plc | 4.625% | 7/2/44 | 2,401 | 2,996 | |
Johnson Controls International plc | 4.500% | 2/15/47 | 601 | 761 | ||
2 | Johnson Controls International plc | 4.950% | 7/2/64 | 1,355 | 1,871 | |
2 | Kansas City Southern | 4.300% | 5/15/43 | 774 | 917 | |
2 | Kansas City Southern | 4.950% | 8/15/45 | 1,045 | 1,344 | |
Kansas City Southern | 4.700% | 5/1/48 | 1,330 | 1,661 | ||
Kansas City Southern | 3.500% | 5/1/50 | 1,113 | 1,194 | ||
Kansas City Southern | 4.200% | 11/15/69 | 1,219 | 1,425 | ||
L3Harris Technologies Inc. | 4.854% | 4/27/35 | 922 | 1,169 | ||
L3Harris Technologies Inc. | 6.150% | 12/15/40 | 865 | 1,268 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
L3Harris Technologies Inc. | 5.054% | 4/27/45 | 1,029 | 1,375 | ||
Lockheed Martin Corp. | 3.600% | 3/1/35 | 1,598 | 1,846 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 1,697 | 2,145 | ||
2 | Lockheed Martin Corp. | 6.150% | 9/1/36 | 1,315 | 1,908 | |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 489 | 696 | ||
Lockheed Martin Corp. | 4.850% | 9/15/41 | 410 | 536 | ||
Lockheed Martin Corp. | 4.070% | 12/15/42 | 3,111 | 3,824 | ||
Lockheed Martin Corp. | 3.800% | 3/1/45 | 3,115 | 3,678 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 3,282 | 4,393 | ||
Lockheed Martin Corp. | 2.800% | 6/15/50 | 939 | 961 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 2,502 | 3,162 | ||
Norfolk Southern Corp. | 7.050% | 5/1/37 | 172 | 249 | ||
Norfolk Southern Corp. | 4.837% | 10/1/41 | 1,340 | 1,743 | ||
Norfolk Southern Corp. | 3.950% | 10/1/42 | 1,092 | 1,282 | ||
Norfolk Southern Corp. | 4.450% | 6/15/45 | 1,403 | 1,746 | ||
Norfolk Southern Corp. | 4.650% | 1/15/46 | 425 | 540 | ||
Norfolk Southern Corp. | 3.942% | 11/1/47 | 2,407 | 2,804 | ||
Norfolk Southern Corp. | 4.150% | 2/28/48 | 1,090 | 1,306 | ||
Norfolk Southern Corp. | 4.100% | 5/15/49 | 2,155 | 2,595 | ||
Norfolk Southern Corp. | 3.400% | 11/1/49 | 3,092 | 3,336 | ||
Norfolk Southern Corp. | 3.050% | 5/15/50 | 1,805 | 1,843 | ||
Norfolk Southern Corp. | 4.050% | 8/15/52 | 1,988 | 2,378 | ||
Norfolk Southern Corp. | 3.155% | 5/15/55 | 2,556 | 2,636 | ||
Norfolk Southern Corp. | 4.100% | 5/15/21 | 1,000 | 1,151 | ||
Northrop Grumman Corp. | 5.150% | 5/1/40 | 2,447 | 3,242 | ||
Northrop Grumman Corp. | 5.050% | 11/15/40 | 1,267 | 1,670 | ||
Northrop Grumman Corp. | 4.750% | 6/1/43 | 2,181 | 2,829 | ||
Northrop Grumman Corp. | 3.850% | 4/15/45 | 1,954 | 2,273 | ||
Northrop Grumman Corp. | 4.030% | 10/15/47 | 4,440 | 5,334 | ||
Northrop Grumman Corp. | 5.250% | 5/1/50 | 840 | 1,196 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 2,061 | 2,165 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 1,708 | 1,858 | ||
2 | Parker-Hannifin Corp. | 4.200% | 11/21/34 | 1,775 | 2,085 | |
2 | Parker-Hannifin Corp. | 6.250% | 5/15/38 | 870 | 1,229 | |
2 | Parker-Hannifin Corp. | 4.450% | 11/21/44 | 933 | 1,158 | |
Parker-Hannifin Corp. | 4.100% | 3/1/47 | 1,341 | 1,593 | ||
Parker-Hannifin Corp. | 4.000% | 6/14/49 | 2,370 | 2,782 | ||
Precision Castparts Corp. | 3.900% | 1/15/43 | 1,121 | 1,299 | ||
Precision Castparts Corp. | 4.375% | 6/15/45 | 841 | 1,044 | ||
Raytheon Technologies Corp. | 5.400% | 5/1/35 | 1,656 | 2,195 | ||
Raytheon Technologies Corp. | 6.050% | 6/1/36 | 2,067 | 2,907 | ||
Raytheon Technologies Corp. | 6.125% | 7/15/38 | 2,303 | 3,285 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 2,918 | 3,570 | ||
Raytheon Technologies Corp. | 5.700% | 4/15/40 | 2,800 | 3,916 | ||
Raytheon Technologies Corp. | 4.875% | 10/15/40 | 868 | 1,116 | ||
Raytheon Technologies Corp. | 4.700% | 12/15/41 | 1,026 | 1,303 | ||
Raytheon Technologies Corp. | 4.500% | 6/1/42 | 4,655 | 5,818 | ||
Raytheon Technologies Corp. | 4.800% | 12/15/43 | 1,038 | 1,330 | ||
Raytheon Technologies Corp. | 4.150% | 5/15/45 | 2,281 | 2,723 | ||
Raytheon Technologies Corp. | 3.750% | 11/1/46 | 3,146 | 3,577 | ||
Raytheon Technologies Corp. | 4.350% | 4/15/47 | 3,929 | 4,857 | ||
Raytheon Technologies Corp. | 4.050% | 5/4/47 | 1,174 | 1,391 | ||
Raytheon Technologies Corp. | 4.625% | 11/16/48 | 1,760 | 2,278 | ||
Raytheon Technologies Corp. | 3.125% | 7/1/50 | 1,445 | 1,504 | ||
Raytheon Technologies Corp. | 2.820% | 9/1/51 | 2,300 | 2,264 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Republic Services Inc. | 1.750% | 2/15/32 | 1,890 | 1,827 | ||
Republic Services Inc. | 6.200% | 3/1/40 | 380 | 555 | ||
Republic Services Inc. | 5.700% | 5/15/41 | 850 | 1,193 | ||
Republic Services Inc. | 3.050% | 3/1/50 | 1,145 | 1,201 | ||
Rockwell Automation Inc. | 4.200% | 3/1/49 | 1,535 | 1,954 | ||
Rockwell Automation Inc. | 2.800% | 8/15/61 | 1,000 | 1,000 | ||
Trane Technologies Global Holding Co. Ltd. | 5.750% | 6/15/43 | 1,305 | 1,910 | ||
Trane Technologies Global Holding Co. Ltd. | 4.300% | 2/21/48 | 1,115 | 1,370 | ||
Trane Technologies Luxembourg Finance SA | 4.650% | 11/1/44 | 601 | 769 | ||
Trane Technologies Luxembourg Finance SA | 4.500% | 3/21/49 | 315 | 402 | ||
Tyco Electronics Group SA | 7.125% | 10/1/37 | 845 | 1,301 | ||
Union Pacific Corp. | 3.375% | 2/1/35 | 1,796 | 1,989 | ||
1 | Union Pacific Corp. | 2.891% | 4/6/36 | 1,895 | 1,992 | |
Union Pacific Corp. | 3.600% | 9/15/37 | 685 | 775 | ||
2 | Union Pacific Corp. | 3.550% | 8/15/39 | 1,153 | 1,301 | |
Union Pacific Corp. | 3.200% | 5/20/41 | 2,375 | 2,535 | ||
Union Pacific Corp. | 4.050% | 3/1/46 | 1,514 | 1,785 | ||
Union Pacific Corp. | 3.350% | 8/15/46 | 1,121 | 1,214 | ||
Union Pacific Corp. | 4.000% | 4/15/47 | 2,646 | 3,119 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 2,971 | 3,167 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 1,696 | 1,977 | ||
Union Pacific Corp. | 3.875% | 2/1/55 | 803 | 927 | ||
Union Pacific Corp. | 3.950% | 8/15/59 | 2,410 | 2,858 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 2,739 | 3,182 | ||
Union Pacific Corp. | 3.550% | 5/20/61 | 1,325 | 1,463 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 3,069 | 3,029 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 500 | 569 | ||
1 | Union Pacific Corp. | 3.799% | 4/6/71 | 5,266 | 6,049 | |
2 | United Airlines Pass-Through Trust Class AA Series 2019-2 | 2.700% | 5/1/32 | 1,490 | 1,493 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 1,632 | 2,429 | ||
United Parcel Service Inc. | 5.200% | 4/1/40 | 2,183 | 2,983 | ||
United Parcel Service Inc. | 4.875% | 11/15/40 | 1,816 | 2,421 | ||
United Parcel Service Inc. | 3.625% | 10/1/42 | 1,607 | 1,871 | ||
United Parcel Service Inc. | 3.400% | 11/15/46 | 2,089 | 2,369 | ||
United Parcel Service Inc. | 3.750% | 11/15/47 | 1,605 | 1,921 | ||
United Parcel Service Inc. | 4.250% | 3/15/49 | 2,521 | 3,240 | ||
United Parcel Service Inc. | 3.400% | 9/1/49 | 1,629 | 1,855 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 2,426 | 3,596 | ||
Valmont Industries Inc. | 5.000% | 10/1/44 | 970 | 1,192 | ||
Valmont Industries Inc. | 5.250% | 10/1/54 | 808 | 1,032 | ||
Waste Connections Inc. | 3.050% | 4/1/50 | 1,074 | 1,110 | ||
Waste Management Inc. | 2.950% | 6/1/41 | 1,540 | 1,607 | ||
Waste Management Inc. | 4.150% | 7/15/49 | 1,335 | 1,668 | ||
Waste Management Inc. | 2.500% | 11/15/50 | 1,580 | 1,502 | ||
WW Grainger Inc. | 4.600% | 6/15/45 | 833 | 1,097 | ||
WW Grainger Inc. | 3.750% | 5/15/46 | 936 | 1,099 | ||
WW Grainger Inc. | 4.200% | 5/15/47 | 1,450 | 1,825 | ||
Xylem Inc. | 4.375% | 11/1/46 | 783 | 961 | ||
526,018 | ||||||
Materials (3.7%) | ||||||
Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 1,695 | 1,743 | ||
Air Products and Chemicals Inc. | 2.800% | 5/15/50 | 2,115 | 2,161 | ||
Albemarle Corp. | 5.450% | 12/1/44 | 685 | 895 | ||
ArcelorMittal SA | 7.000% | 10/15/39 | 1,400 | 2,012 | ||
ArcelorMittal SA | 6.750% | 3/1/41 | 1,000 | 1,421 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Barrick Gold Corp. | 6.450% | 10/15/35 | 925 | 1,301 | ||
Barrick Gold Corp. | 5.250% | 4/1/42 | 2,195 | 2,897 | ||
Barrick North America Finance LLC | 5.700% | 5/30/41 | 930 | 1,287 | ||
Barrick North America Finance LLC | 5.750% | 5/1/43 | 2,049 | 2,874 | ||
Barrick PD Australia Finance Pty. Ltd. | 5.950% | 10/15/39 | 2,326 | 3,262 | ||
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 2,280 | 2,786 | ||
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 5,128 | 7,088 | ||
Celulosa Arauco y Constitucion SA | 5.500% | 11/2/47 | 890 | 1,074 | ||
CF Industries Inc. | 5.150% | 3/15/34 | 1,500 | 1,874 | ||
CF Industries Inc. | 4.950% | 6/1/43 | 1,800 | 2,220 | ||
CF Industries Inc. | 5.375% | 3/15/44 | 1,500 | 1,950 | ||
Dow Chemical Co. | 4.250% | 10/1/34 | 942 | 1,101 | ||
Dow Chemical Co. | 9.400% | 5/15/39 | 668 | 1,224 | ||
Dow Chemical Co. | 5.250% | 11/15/41 | 1,868 | 2,470 | ||
Dow Chemical Co. | 4.375% | 11/15/42 | 2,994 | 3,607 | ||
Dow Chemical Co. | 4.625% | 10/1/44 | 2,378 | 2,965 | ||
Dow Chemical Co. | 5.550% | 11/30/48 | 990 | 1,408 | ||
Dow Chemical Co. | 4.800% | 5/15/49 | 1,740 | 2,263 | ||
Dow Chemical Co. | 3.600% | 11/15/50 | 2,665 | 2,929 | ||
DuPont de Nemours Inc. | 5.319% | 11/15/38 | 3,410 | 4,513 | ||
DuPont de Nemours Inc. | 5.419% | 11/15/48 | 4,182 | 5,916 | ||
Eastman Chemical Co. | 4.800% | 9/1/42 | 1,476 | 1,840 | ||
Eastman Chemical Co. | 4.650% | 10/15/44 | 1,084 | 1,332 | ||
Ecolab Inc. | 2.125% | 8/15/50 | 1,273 | 1,159 | ||
1 | Ecolab Inc. | 2.750% | 8/18/55 | 3,532 | 3,499 | |
FMC Corp. | 4.500% | 10/1/49 | 1,372 | 1,643 | ||
International Flavors & Fragrances Inc. | 4.375% | 6/1/47 | 705 | 858 | ||
International Flavors & Fragrances Inc. | 5.000% | 9/26/48 | 2,055 | 2,733 | ||
International Paper Co. | 5.000% | 9/15/35 | 2,760 | 3,504 | ||
International Paper Co. | 7.300% | 11/15/39 | 1,354 | 2,133 | ||
International Paper Co. | 6.000% | 11/15/41 | 2,136 | 3,065 | ||
International Paper Co. | 4.800% | 6/15/44 | 1,143 | 1,472 | ||
International Paper Co. | 5.150% | 5/15/46 | 1,203 | 1,616 | ||
International Paper Co. | 4.350% | 8/15/48 | 1,855 | 2,330 | ||
Lafarge SA | 7.125% | 7/15/36 | 1,050 | 1,577 | ||
Linde Inc. | 3.550% | 11/7/42 | 2,048 | 2,376 | ||
Lubrizol Corp. | 6.500% | 10/1/34 | 273 | 404 | ||
LYB International Finance BV | 5.250% | 7/15/43 | 370 | 487 | ||
LYB International Finance BV | 4.875% | 3/15/44 | 3,102 | 3,931 | ||
LYB International Finance III LLC | 3.375% | 10/1/40 | 2,872 | 3,038 | ||
LYB International Finance III LLC | 4.200% | 10/15/49 | 2,460 | 2,890 | ||
LYB International Finance III LLC | 4.200% | 5/1/50 | 1,475 | 1,734 | ||
LYB International Finance III LLC | 3.625% | 4/1/51 | 1,805 | 1,966 | ||
LYB International Finance III LLC | 3.800% | 10/1/60 | 1,888 | 2,072 | ||
LyondellBasell Industries NV | 4.625% | 2/26/55 | 2,599 | 3,270 | ||
Martin Marietta Materials Inc. | 4.250% | 12/15/47 | 1,649 | 1,960 | ||
Martin Marietta Materials Inc. | 3.200% | 7/15/51 | 1,820 | 1,866 | ||
Mosaic Co. | 5.450% | 11/15/33 | 850 | 1,081 | ||
Mosaic Co. | 4.875% | 11/15/41 | 1,153 | 1,375 | ||
Mosaic Co. | 5.625% | 11/15/43 | 1,565 | 2,095 | ||
2 | Newmont Corp. | 5.875% | 4/1/35 | 1,594 | 2,159 | |
Newmont Corp. | 6.250% | 10/1/39 | 2,115 | 3,056 | ||
Newmont Corp. | 4.875% | 3/15/42 | 2,312 | 2,964 | ||
Newmont Corp. | 5.450% | 6/9/44 | 1,364 | 1,893 | ||
Nucor Corp. | 5.200% | 8/1/43 | 210 | 286 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Nucor Corp. | 2.979% | 12/15/55 | 2,706 | 2,742 | |
Nutrien Ltd. | 4.125% | 3/15/35 | 754 | 871 | ||
Nutrien Ltd. | 7.125% | 5/23/36 | 780 | 1,182 | ||
Nutrien Ltd. | 5.875% | 12/1/36 | 1,098 | 1,507 | ||
Nutrien Ltd. | 5.625% | 12/1/40 | 795 | 1,108 | ||
Nutrien Ltd. | 6.125% | 1/15/41 | 1,263 | 1,837 | ||
Nutrien Ltd. | 4.900% | 6/1/43 | 2,031 | 2,625 | ||
Nutrien Ltd. | 5.250% | 1/15/45 | 1,030 | 1,389 | ||
Nutrien Ltd. | 5.000% | 4/1/49 | 802 | 1,081 | ||
Nutrien Ltd. | 3.950% | 5/13/50 | 1,520 | 1,786 | ||
Packaging Corp. of America | 4.050% | 12/15/49 | 1,145 | 1,369 | ||
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 1,756 | 2,482 | ||
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 1,037 | 1,448 | ||
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 2,914 | 4,003 | ||
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,735 | 2,301 | ||
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 745 | 923 | ||
RPM International Inc. | 4.250% | 1/15/48 | 1,420 | 1,621 | ||
Sherwin-Williams Co. | 4.000% | 12/15/42 | 337 | 393 | ||
Sherwin-Williams Co. | 4.550% | 8/1/45 | 1,206 | 1,519 | ||
Sherwin-Williams Co. | 4.500% | 6/1/47 | 2,700 | 3,396 | ||
Sherwin-Williams Co. | 3.800% | 8/15/49 | 1,326 | 1,533 | ||
Sherwin-Williams Co. | 3.300% | 5/15/50 | 1,562 | 1,678 | ||
Southern Copper Corp. | 7.500% | 7/27/35 | 2,713 | 3,949 | ||
Southern Copper Corp. | 6.750% | 4/16/40 | 2,554 | 3,643 | ||
Southern Copper Corp. | 5.250% | 11/8/42 | 3,564 | 4,571 | ||
Southern Copper Corp. | 5.875% | 4/23/45 | 2,132 | 2,965 | ||
Steel Dynamics Inc. | 3.250% | 10/15/50 | 1,050 | 1,063 | ||
Suzano Austria GmbH | 3.125% | 1/15/32 | 1,975 | 1,976 | ||
Teck Resources Ltd. | 6.125% | 10/1/35 | 1,447 | 1,873 | ||
Teck Resources Ltd. | 6.000% | 8/15/40 | 780 | 1,007 | ||
Teck Resources Ltd. | 6.250% | 7/15/41 | 2,170 | 2,895 | ||
Teck Resources Ltd. | 5.200% | 3/1/42 | 770 | 924 | ||
Teck Resources Ltd. | 5.400% | 2/1/43 | 565 | 697 | ||
Vale Overseas Ltd. | 8.250% | 1/17/34 | 1,794 | 2,673 | ||
Vale Overseas Ltd. | 6.875% | 11/21/36 | 4,606 | 6,466 | ||
Vale Overseas Ltd. | 6.875% | 11/10/39 | 2,288 | 3,277 | ||
Vale SA | 5.625% | 9/11/42 | 1,145 | 1,476 | ||
Vulcan Materials Co. | 4.500% | 6/15/47 | 1,214 | 1,498 | ||
Vulcan Materials Co. | 4.700% | 3/1/48 | 740 | 940 | ||
Westlake Chemical Corp. | 2.875% | 8/15/41 | 800 | 780 | ||
Westlake Chemical Corp. | 5.000% | 8/15/46 | 2,543 | 3,249 | ||
Westlake Chemical Corp. | 4.375% | 11/15/47 | 518 | 609 | ||
Westlake Chemical Corp. | 3.125% | 8/15/51 | 1,375 | 1,332 | ||
Westlake Chemical Corp. | 3.375% | 8/15/61 | 1,050 | 1,013 | ||
WRKCo Inc. | 4.200% | 6/1/32 | 1,520 | 1,775 | ||
WRKCo Inc. | 3.000% | 6/15/33 | 1,464 | 1,558 | ||
225,908 | ||||||
Real Estate (1.5%) | ||||||
Agree LP | 2.600% | 6/15/33 | 750 | 757 | ||
Alexandria Real Estate Equities Inc. | 2.000% | 5/18/32 | 647 | 637 | ||
Alexandria Real Estate Equities Inc. | 1.875% | 2/1/33 | 1,606 | 1,540 | ||
Alexandria Real Estate Equities Inc. | 4.850% | 4/15/49 | 2,530 | 3,350 | ||
Alexandria Real Estate Equities Inc. | 4.000% | 2/1/50 | 649 | 762 | ||
Alexandria Real Estate Equities Inc. | 3.000% | 5/18/51 | 2,209 | 2,198 | ||
American Tower Corp. | 3.700% | 10/15/49 | 1,701 | 1,872 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Tower Corp. | 3.100% | 6/15/50 | 2,705 | 2,684 | ||
American Tower Corp. | 2.950% | 1/15/51 | 1,100 | 1,068 | ||
2 | AvalonBay Communities Inc. | 3.900% | 10/15/46 | 1,710 | 2,046 | |
2 | AvalonBay Communities Inc. | 4.350% | 4/15/48 | 340 | 437 | |
Boston Properties LP | 2.550% | 4/1/32 | 484 | 490 | ||
Camden Property Trust | 3.350% | 11/1/49 | 1,415 | 1,579 | ||
Crown Castle International Corp. | 2.900% | 4/1/41 | 2,292 | 2,253 | ||
Crown Castle International Corp. | 4.750% | 5/15/47 | 958 | 1,200 | ||
Crown Castle International Corp. | 5.200% | 2/15/49 | 1,034 | 1,356 | ||
Crown Castle International Corp. | 4.000% | 11/15/49 | 1,697 | 1,914 | ||
Crown Castle International Corp. | 4.150% | 7/1/50 | 1,247 | 1,450 | ||
Crown Castle International Corp. | 3.250% | 1/15/51 | 2,304 | 2,337 | ||
Duke Realty LP | 3.050% | 3/1/50 | 740 | 743 | ||
Equinix Inc. | 3.000% | 7/15/50 | 1,727 | 1,685 | ||
Equinix Inc. | 2.950% | 9/15/51 | 1,247 | 1,204 | ||
Equinix Inc. | 3.400% | 2/15/52 | 355 | 372 | ||
ERP Operating LP | 4.500% | 7/1/44 | 1,843 | 2,365 | ||
ERP Operating LP | 4.500% | 6/1/45 | 871 | 1,112 | ||
ERP Operating LP | 4.000% | 8/1/47 | 488 | 589 | ||
Essex Portfolio LP | 1.650% | 1/15/31 | 303 | 289 | ||
Essex Portfolio LP | 2.650% | 3/15/32 | 900 | 928 | ||
Essex Portfolio LP | 4.500% | 3/15/48 | 680 | 847 | ||
Essex Portfolio LP | 2.650% | 9/1/50 | 1,465 | 1,339 | ||
Federal Realty Investment Trust | 4.500% | 12/1/44 | 443 | 541 | ||
Healthpeak Properties Inc. | 6.750% | 2/1/41 | 421 | 646 | ||
Highwoods Realty LP | 2.600% | 2/1/31 | 222 | 227 | ||
Kilroy Realty LP | 2.500% | 11/15/32 | 952 | 955 | ||
Kimco Realty Corp. | 4.250% | 4/1/45 | 698 | 823 | ||
Kimco Realty Corp. | 4.125% | 12/1/46 | 838 | 983 | ||
Kimco Realty Corp. | 4.450% | 9/1/47 | 1,095 | 1,344 | ||
Kimco Realty Corp. | 3.700% | 10/1/49 | 890 | 984 | ||
Lexington Realty Trust | 2.375% | 10/1/31 | 875 | 868 | ||
Mid-America Apartments LP | 2.875% | 9/15/51 | 700 | 689 | ||
National Retail Properties Inc. | 4.800% | 10/15/48 | 2,111 | 2,698 | ||
National Retail Properties Inc. | 3.100% | 4/15/50 | 1,565 | 1,557 | ||
Omega Healthcare Investors Inc. | 3.250% | 4/15/33 | 1,945 | 1,964 | ||
Prologis LP | 4.375% | 9/15/48 | 1,140 | 1,477 | ||
Prologis LP | 3.000% | 4/15/50 | 1,595 | 1,674 | ||
Prologis LP | 2.125% | 10/15/50 | 778 | 686 | ||
Realty Income Corp. | 1.800% | 3/15/33 | 1,400 | 1,355 | ||
Realty Income Corp. | 4.650% | 3/15/47 | 1,145 | 1,514 | ||
Regency Centers LP | 4.400% | 2/1/47 | 645 | 776 | ||
Regency Centers LP | 4.650% | 3/15/49 | 985 | 1,227 | ||
Rexford Industrial Realty LP | 2.150% | 9/1/31 | 700 | 688 | ||
Simon Property Group LP | 2.250% | 1/15/32 | 950 | 943 | ||
Simon Property Group LP | 6.750% | 2/1/40 | 630 | 950 | ||
Simon Property Group LP | 4.750% | 3/15/42 | 1,850 | 2,305 | ||
Simon Property Group LP | 4.250% | 10/1/44 | 2,128 | 2,531 | ||
Simon Property Group LP | 4.250% | 11/30/46 | 531 | 632 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 982 | 1,011 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 2,406 | 2,713 | ||
Spirit Realty LP | 2.700% | 2/15/32 | 860 | 868 | ||
2 | UDR Inc. | 2.100% | 8/1/32 | 290 | 283 | |
2 | UDR Inc. | 1.900% | 3/15/33 | 725 | 688 | |
2 | UDR Inc. | 2.100% | 6/15/33 | 875 | 847 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UDR Inc. | 3.100% | 11/1/34 | 1,085 | 1,158 | ||
Ventas Realty LP | 5.700% | 9/30/43 | 819 | 1,102 | ||
Ventas Realty LP | 4.375% | 2/1/45 | 388 | 452 | ||
Ventas Realty LP | 4.875% | 4/15/49 | 717 | 910 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 1,620 | 1,716 | ||
Welltower Inc. | 6.500% | 3/15/41 | 1,180 | 1,709 | ||
Welltower Inc. | 4.950% | 9/1/48 | 446 | 578 | ||
Weyerhaeuser Co. | 7.375% | 3/15/32 | 2,999 | 4,330 | ||
WP Carey Inc. | 2.250% | 4/1/33 | 1,450 | 1,416 | ||
92,221 | ||||||
Technology (8.2%) | ||||||
Analog Devices Inc. | 5.300% | 12/15/45 | 908 | 1,256 | ||
Apple Inc. | 4.500% | 2/23/36 | 3,281 | 4,169 | ||
Apple Inc. | 2.375% | 2/8/41 | 2,961 | 2,907 | ||
Apple Inc. | 3.850% | 5/4/43 | 7,340 | 8,785 | ||
Apple Inc. | 4.450% | 5/6/44 | 1,903 | 2,472 | ||
Apple Inc. | 3.450% | 2/9/45 | 4,744 | 5,356 | ||
Apple Inc. | 4.375% | 5/13/45 | 3,898 | 4,998 | ||
Apple Inc. | 4.650% | 2/23/46 | 9,489 | 12,648 | ||
Apple Inc. | 3.850% | 8/4/46 | 3,808 | 4,557 | ||
Apple Inc. | 4.250% | 2/9/47 | 2,779 | 3,502 | ||
Apple Inc. | 3.750% | 9/12/47 | 3,513 | 4,135 | ||
Apple Inc. | 3.750% | 11/13/47 | 3,227 | 3,801 | ||
Apple Inc. | 2.950% | 9/11/49 | 2,170 | 2,258 | ||
Apple Inc. | 2.650% | 5/11/50 | 5,910 | 5,851 | ||
Apple Inc. | 2.400% | 8/20/50 | 3,728 | 3,524 | ||
Apple Inc. | 2.650% | 2/8/51 | 6,985 | 6,891 | ||
Apple Inc. | 2.700% | 8/5/51 | 4,655 | 4,637 | ||
Apple Inc. | 2.550% | 8/20/60 | 3,099 | 2,908 | ||
Apple Inc. | 2.800% | 2/8/61 | 3,280 | 3,244 | ||
Apple Inc. | 2.850% | 8/5/61 | 3,120 | 3,115 | ||
Applied Materials Inc. | 5.100% | 10/1/35 | 1,363 | 1,816 | ||
Applied Materials Inc. | 5.850% | 6/15/41 | 1,776 | 2,638 | ||
Applied Materials Inc. | 4.350% | 4/1/47 | 1,250 | 1,602 | ||
Applied Materials Inc. | 2.750% | 6/1/50 | 2,445 | 2,453 | ||
Broadcom Inc. | 4.300% | 11/15/32 | 4,461 | 5,110 | ||
1 | Broadcom Inc. | 2.600% | 2/15/33 | 2,940 | 2,908 | |
1 | Broadcom Inc. | 3.419% | 4/15/33 | 5,360 | 5,682 | |
1 | Broadcom Inc. | 3.469% | 4/15/34 | 6,350 | 6,728 | |
1 | Broadcom Inc. | 3.500% | 2/15/41 | 7,052 | 7,215 | |
1 | Broadcom Inc. | 3.750% | 2/15/51 | 3,780 | 3,950 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 2,740 | 3,988 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 5,813 | 8,223 | ||
Corning Inc. | 4.700% | 3/15/37 | 1,035 | 1,256 | ||
Corning Inc. | 5.750% | 8/15/40 | 794 | 1,094 | ||
Corning Inc. | 4.750% | 3/15/42 | 1,187 | 1,515 | ||
Corning Inc. | 5.350% | 11/15/48 | 1,124 | 1,569 | ||
Corning Inc. | 3.900% | 11/15/49 | 580 | 668 | ||
Corning Inc. | 4.375% | 11/15/57 | 2,100 | 2,587 | ||
Corning Inc. | 5.850% | 11/15/68 | 1,032 | 1,542 | ||
Corning Inc. | 5.450% | 11/15/79 | 2,030 | 2,879 | ||
Dell International LLC | 8.100% | 7/15/36 | 4,268 | 6,563 | ||
Dell International LLC | 8.350% | 7/15/46 | 4,181 | 6,897 | ||
Equifax Inc. | 2.350% | 9/15/31 | 1,000 | 1,007 | ||
Fidelity National Information Services Inc. | 3.100% | 3/1/41 | 2,115 | 2,198 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Fidelity National Information Services Inc. | 4.500% | 8/15/46 | 748 | 932 | ||
Fiserv Inc. | 4.400% | 7/1/49 | 4,651 | 5,700 | ||
Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 1,661 | 2,261 | ||
Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 2,501 | 3,459 | ||
HP Inc. | 6.000% | 9/15/41 | 2,754 | 3,620 | ||
Intel Corp. | 4.000% | 12/15/32 | 1,527 | 1,843 | ||
Intel Corp. | 4.600% | 3/25/40 | 1,975 | 2,515 | ||
Intel Corp. | 2.800% | 8/12/41 | 1,700 | 1,725 | ||
Intel Corp. | 4.800% | 10/1/41 | 1,948 | 2,552 | ||
Intel Corp. | 4.250% | 12/15/42 | 1,332 | 1,642 | ||
Intel Corp. | 4.900% | 7/29/45 | 1,234 | 1,653 | ||
Intel Corp. | 4.100% | 5/19/46 | 2,722 | 3,290 | ||
Intel Corp. | 4.100% | 5/11/47 | 2,110 | 2,547 | ||
Intel Corp. | 3.734% | 12/8/47 | 3,933 | 4,507 | ||
Intel Corp. | 3.250% | 11/15/49 | 4,835 | 5,163 | ||
Intel Corp. | 4.750% | 3/25/50 | 4,860 | 6,518 | ||
Intel Corp. | 3.050% | 8/12/51 | 3,000 | 3,090 | ||
Intel Corp. | 3.100% | 2/15/60 | 2,350 | 2,394 | ||
Intel Corp. | 4.950% | 3/25/60 | 2,015 | 2,843 | ||
Intel Corp. | 3.200% | 8/12/61 | 2,000 | 2,073 | ||
International Business Machines Corp. | 5.875% | 11/29/32 | 794 | 1,080 | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 4,454 | 5,347 | ||
International Business Machines Corp. | 5.600% | 11/30/39 | 1,015 | 1,433 | ||
International Business Machines Corp. | 2.850% | 5/15/40 | 2,442 | 2,490 | ||
International Business Machines Corp. | 4.000% | 6/20/42 | 1,653 | 1,958 | ||
International Business Machines Corp. | 4.700% | 2/19/46 | 2,470 | 3,238 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 5,365 | 6,702 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 2,445 | 2,475 | ||
International Business Machines Corp. | 7.125% | 12/1/96 | 874 | 1,624 | ||
Juniper Networks Inc. | 5.950% | 3/15/41 | 1,408 | 1,898 | ||
KLA Corp. | 5.000% | 3/15/49 | 896 | 1,229 | ||
KLA Corp. | 3.300% | 3/1/50 | 1,645 | 1,796 | ||
Lam Research Corp. | 4.875% | 3/15/49 | 1,250 | 1,724 | ||
Lam Research Corp. | 2.875% | 6/15/50 | 1,908 | 1,961 | ||
Lam Research Corp. | 3.125% | 6/15/60 | 1,537 | 1,628 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 3,331 | 3,916 | ||
Microsoft Corp. | 4.200% | 11/3/35 | 547 | 687 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 5,331 | 6,242 | ||
Microsoft Corp. | 4.100% | 2/6/37 | 3,871 | 4,822 | ||
Microsoft Corp. | 4.500% | 10/1/40 | 1,160 | 1,539 | ||
Microsoft Corp. | 5.300% | 2/8/41 | 1,150 | 1,663 | ||
Microsoft Corp. | 3.500% | 11/15/42 | 470 | 550 | ||
Microsoft Corp. | 3.750% | 2/12/45 | 1,005 | 1,221 | ||
Microsoft Corp. | 3.700% | 8/8/46 | 8,946 | 10,884 | ||
Microsoft Corp. | 4.250% | 2/6/47 | 415 | 549 | ||
4 | Microsoft Corp. | 2.525% | 6/1/50 | 14,676 | 14,644 | |
Microsoft Corp. | 2.921% | 3/17/52 | 15,547 | 16,692 | ||
Microsoft Corp. | 3.950% | 8/8/56 | 890 | 1,134 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 7,051 | 7,111 | ||
Microsoft Corp. | 3.041% | 3/17/62 | 6,903 | 7,505 | ||
Moody's Corp. | 2.750% | 8/19/41 | 1,400 | 1,389 | ||
Moody's Corp. | 5.250% | 7/15/44 | 1,040 | 1,427 | ||
Moody's Corp. | 4.875% | 12/17/48 | 1,441 | 1,929 | ||
Moody's Corp. | 3.250% | 5/20/50 | 959 | 1,010 | ||
Moody's Corp. | 2.550% | 8/18/60 | 1,105 | 995 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Motorola Solutions Inc. | 5.500% | 9/1/44 | 1,049 | 1,376 | ||
NVIDIA Corp. | 3.500% | 4/1/40 | 3,291 | 3,748 | ||
NVIDIA Corp. | 3.500% | 4/1/50 | 2,662 | 3,056 | ||
NVIDIA Corp. | 3.700% | 4/1/60 | 1,419 | 1,691 | ||
1 | NXP BV | 3.250% | 5/11/41 | 2,250 | 2,387 | |
Oracle Corp. | 4.300% | 7/8/34 | 4,321 | 5,027 | ||
Oracle Corp. | 3.900% | 5/15/35 | 3,764 | 4,230 | ||
Oracle Corp. | 3.850% | 7/15/36 | 2,469 | 2,739 | ||
Oracle Corp. | 3.800% | 11/15/37 | 4,544 | 4,982 | ||
Oracle Corp. | 6.500% | 4/15/38 | 1,560 | 2,220 | ||
Oracle Corp. | 6.125% | 7/8/39 | 1,523 | 2,103 | ||
Oracle Corp. | 3.600% | 4/1/40 | 8,041 | 8,555 | ||
Oracle Corp. | 5.375% | 7/15/40 | 4,133 | 5,359 | ||
Oracle Corp. | 3.650% | 3/25/41 | 4,490 | 4,797 | ||
Oracle Corp. | 4.500% | 7/8/44 | 2,613 | 3,095 | ||
Oracle Corp. | 4.125% | 5/15/45 | 4,709 | 5,287 | ||
Oracle Corp. | 4.000% | 7/15/46 | 6,611 | 7,288 | ||
Oracle Corp. | 4.000% | 11/15/47 | 5,103 | 5,611 | ||
Oracle Corp. | 3.600% | 4/1/50 | 10,623 | 11,085 | ||
Oracle Corp. | 3.950% | 3/25/51 | 7,330 | 8,124 | ||
Oracle Corp. | 4.375% | 5/15/55 | 3,646 | 4,281 | ||
Oracle Corp. | 3.850% | 4/1/60 | 8,306 | 8,933 | ||
Oracle Corp. | 4.100% | 3/25/61 | 3,485 | 3,926 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 1,512 | 1,461 | ||
QUALCOMM Inc. | 4.650% | 5/20/35 | 3,336 | 4,241 | ||
QUALCOMM Inc. | 4.800% | 5/20/45 | 4,563 | 6,121 | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 2,590 | 3,289 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 2,304 | 2,532 | ||
S&P Global Inc. | 3.250% | 12/1/49 | 1,409 | 1,539 | ||
S&P Global Inc. | 2.300% | 8/15/60 | 1,785 | 1,571 | ||
salesforce.com Inc. | 2.700% | 7/15/41 | 3,505 | 3,575 | ||
salesforce.com Inc. | 2.900% | 7/15/51 | 4,940 | 5,072 | ||
salesforce.com Inc. | 3.050% | 7/15/61 | 3,005 | 3,133 | ||
Texas Instruments Inc. | 3.875% | 3/15/39 | 2,770 | 3,350 | ||
Texas Instruments Inc. | 4.150% | 5/15/48 | 2,475 | 3,133 | ||
Verisk Analytics Inc. | 5.500% | 6/15/45 | 1,421 | 1,939 | ||
Verisk Analytics Inc. | 3.625% | 5/15/50 | 1,356 | 1,477 | ||
508,254 | ||||||
Utilities (11.6%) | ||||||
AEP Texas Inc. | 3.800% | 10/1/47 | 504 | 562 | ||
2 | AEP Texas Inc. | 3.450% | 1/15/50 | 1,485 | 1,577 | |
AEP Transmission Co. LLC | 4.000% | 12/1/46 | 815 | 983 | ||
AEP Transmission Co. LLC | 3.750% | 12/1/47 | 882 | 1,019 | ||
AEP Transmission Co. LLC | 4.250% | 9/15/48 | 1,040 | 1,305 | ||
AEP Transmission Co. LLC | 3.800% | 6/15/49 | 1,137 | 1,334 | ||
2 | AEP Transmission Co. LLC | 3.650% | 4/1/50 | 1,130 | 1,309 | |
2 | AEP Transmission Co. LLC | 2.750% | 8/15/51 | 625 | 616 | |
Alabama Power Co. | 6.125% | 5/15/38 | 687 | 988 | ||
Alabama Power Co. | 6.000% | 3/1/39 | 1,394 | 1,984 | ||
Alabama Power Co. | 3.850% | 12/1/42 | 1,603 | 1,877 | ||
Alabama Power Co. | 4.150% | 8/15/44 | 1,628 | 1,975 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 2,060 | 2,379 | ||
Alabama Power Co. | 4.300% | 1/2/46 | 891 | 1,106 | ||
2 | Alabama Power Co. | 3.700% | 12/1/47 | 1,310 | 1,499 | |
2 | Alabama Power Co. | 4.300% | 7/15/48 | 1,027 | 1,297 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Alabama Power Co. | 3.450% | 10/1/49 | 1,625 | 1,795 | ||
Alabama Power Co. | 3.125% | 7/15/51 | 1,045 | 1,106 | ||
Ameren Illinois Co. | 4.150% | 3/15/46 | 934 | 1,148 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 1,247 | 1,458 | ||
Ameren Illinois Co. | 4.500% | 3/15/49 | 1,040 | 1,366 | ||
Ameren Illinois Co. | 3.250% | 3/15/50 | 2,038 | 2,230 | ||
Ameren Illinois Co. | 2.900% | 6/15/51 | 650 | 672 | ||
American Electric Power Co. Inc. | 3.250% | 3/1/50 | 982 | 1,002 | ||
American Water Capital Corp. | 6.593% | 10/15/37 | 1,208 | 1,813 | ||
American Water Capital Corp. | 4.300% | 12/1/42 | 940 | 1,160 | ||
American Water Capital Corp. | 4.300% | 9/1/45 | 1,469 | 1,808 | ||
American Water Capital Corp. | 4.000% | 12/1/46 | 1,195 | 1,431 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,401 | 1,606 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 1,650 | 2,035 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 1,260 | 1,540 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 1,525 | 1,672 | ||
American Water Capital Corp. | 3.250% | 6/1/51 | 800 | 857 | ||
Appalachian Power Co. | 7.000% | 4/1/38 | 554 | 835 | ||
Appalachian Power Co. | 4.400% | 5/15/44 | 818 | 988 | ||
Appalachian Power Co. | 4.450% | 6/1/45 | 419 | 515 | ||
2 | Appalachian Power Co. | 4.500% | 3/1/49 | 1,512 | 1,894 | |
2 | Appalachian Power Co. | 3.700% | 5/1/50 | 1,455 | 1,623 | |
Arizona Public Service Co. | 5.050% | 9/1/41 | 782 | 1,018 | ||
Arizona Public Service Co. | 4.500% | 4/1/42 | 1,371 | 1,689 | ||
Arizona Public Service Co. | 4.350% | 11/15/45 | 448 | 543 | ||
Arizona Public Service Co. | 3.750% | 5/15/46 | 575 | 646 | ||
Arizona Public Service Co. | 4.200% | 8/15/48 | 1,262 | 1,528 | ||
Arizona Public Service Co. | 4.250% | 3/1/49 | 1,131 | 1,386 | ||
Arizona Public Service Co. | 3.500% | 12/1/49 | 1,138 | 1,249 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 291 | 312 | ||
Arizona Public Service Co. | 2.650% | 9/15/50 | 500 | 473 | ||
Atmos Energy Corp. | 5.500% | 6/15/41 | 440 | 600 | ||
Atmos Energy Corp. | 4.150% | 1/15/43 | 967 | 1,151 | ||
Atmos Energy Corp. | 4.125% | 10/15/44 | 1,573 | 1,881 | ||
Atmos Energy Corp. | 4.300% | 10/1/48 | 965 | 1,210 | ||
Atmos Energy Corp. | 4.125% | 3/15/49 | 1,157 | 1,428 | ||
Atmos Energy Corp. | 3.375% | 9/15/49 | 2,193 | 2,424 | ||
Avista Corp. | 4.350% | 6/1/48 | 245 | 313 | ||
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,042 | 1,517 | ||
Baltimore Gas & Electric Co. | 3.500% | 8/15/46 | 1,215 | 1,354 | ||
2 | Baltimore Gas & Electric Co. | 3.750% | 8/15/47 | 2,103 | 2,453 | |
Baltimore Gas & Electric Co. | 4.250% | 9/15/48 | 837 | 1,049 | ||
Baltimore Gas & Electric Co. | 3.200% | 9/15/49 | 635 | 681 | ||
Baltimore Gas & Electric Co. | 2.900% | 6/15/50 | 1,635 | 1,662 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 2,100 | 2,962 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 1,150 | 1,584 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 1,472 | 1,954 | ||
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 2,038 | 2,510 | ||
Berkshire Hathaway Energy Co. | 3.800% | 7/15/48 | 1,647 | 1,880 | ||
Berkshire Hathaway Energy Co. | 4.450% | 1/15/49 | 1,630 | 2,058 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 2,520 | 3,110 | ||
Berkshire Hathaway Energy Co. | 2.850% | 5/15/51 | 3,245 | 3,165 | ||
Black Hills Corp. | 4.350% | 5/1/33 | 413 | 486 | ||
Black Hills Corp. | 4.200% | 9/15/46 | 746 | 858 | ||
Black Hills Corp. | 3.875% | 10/15/49 | 1,162 | 1,292 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 415 | 596 | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 937 | 1,074 | ||
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 439 | 569 | ||
CenterPoint Energy Houston Electric LLC | 3.950% | 3/1/48 | 1,010 | 1,214 | ||
2 | CenterPoint Energy Houston Electric LLC | 4.250% | 2/1/49 | 1,751 | 2,245 | |
2 | CenterPoint Energy Houston Electric LLC | 2.900% | 7/1/50 | 1,442 | 1,493 | |
2 | CenterPoint Energy Houston Electric LLC | 3.350% | 4/1/51 | 1,565 | 1,751 | |
CenterPoint Energy Inc. | 3.700% | 9/1/49 | 2,095 | 2,318 | ||
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 616 | 861 | ||
CenterPoint Energy Resources Corp. | 4.100% | 9/1/47 | 1,044 | 1,232 | ||
Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 765 | 958 | ||
Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 1,103 | 1,483 | ||
CMS Energy Corp. | 4.875% | 3/1/44 | 717 | 941 | ||
Commonwealth Edison Co. | 5.900% | 3/15/36 | 1,235 | 1,764 | ||
Commonwealth Edison Co. | 6.450% | 1/15/38 | 462 | 685 | ||
Commonwealth Edison Co. | 4.600% | 8/15/43 | 866 | 1,114 | ||
Commonwealth Edison Co. | 4.700% | 1/15/44 | 1,486 | 1,933 | ||
Commonwealth Edison Co. | 3.700% | 3/1/45 | 1,132 | 1,304 | ||
Commonwealth Edison Co. | 4.350% | 11/15/45 | 938 | 1,176 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 768 | 878 | ||
2 | Commonwealth Edison Co. | 3.750% | 8/15/47 | 2,253 | 2,639 | |
Commonwealth Edison Co. | 4.000% | 3/1/48 | 365 | 439 | ||
Commonwealth Edison Co. | 4.000% | 3/1/49 | 1,490 | 1,804 | ||
2 | Commonwealth Edison Co. | 3.200% | 11/15/49 | 780 | 843 | |
Commonwealth Edison Co. | 3.000% | 3/1/50 | 1,506 | 1,561 | ||
2 | Commonwealth Edison Co. | 3.125% | 3/15/51 | 960 | 1,017 | |
2 | Commonwealth Edison Co. | 2.750% | 9/1/51 | 750 | 744 | |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 1,821 | 2,285 | ||
2 | Connecticut Light & Power Co. | 4.150% | 6/1/45 | 622 | 774 | |
Connecticut Light & Power Co. | 4.000% | 4/1/48 | 1,265 | 1,553 | ||
2 | Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 649 | 827 | |
2 | Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 933 | 1,274 | |
2 | Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 845 | 1,189 | |
2 | Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 280 | 399 | |
2 | Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 1,404 | 2,108 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,973 | 2,717 | ||
2 | Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 2,146 | 2,514 | |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 822 | 938 | ||
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 1,950 | 2,377 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 2,534 | 3,108 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 838 | 940 | ||
2 | Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 2,592 | 2,956 | |
2 | Consolidated Edison Co. of New York Inc. | 4.650% | 12/1/48 | 500 | 628 | |
2 | Consolidated Edison Co. of New York Inc. | 4.125% | 5/15/49 | 250 | 296 | |
2 | Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,925 | 2,242 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 785 | 1,004 | ||
2 | Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 1,160 | 1,409 | |
2 | Consolidated Edison Co. of New York Inc. | 4.000% | 11/15/57 | 1,740 | 2,010 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 1,212 | 1,502 | ||
Consolidated Edison Co. of New York Inc. | 3.700% | 11/15/59 | 1,665 | 1,820 | ||
2 | Consolidated Edison Co. of New York Inc. | 3.000% | 12/1/60 | 595 | 568 | |
Consolidated Edison Co. of New York Inc. | 3.600% | 6/15/61 | 3,000 | 3,238 | ||
Consumers Energy Co. | 3.250% | 8/15/46 | 1,221 | 1,338 | ||
Consumers Energy Co. | 3.950% | 7/15/47 | 940 | 1,134 | ||
Consumers Energy Co. | 4.050% | 5/15/48 | 360 | 444 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Consumers Energy Co. | 4.350% | 4/15/49 | 1,438 | 1,850 | ||
Consumers Energy Co. | 3.750% | 2/15/50 | 1,436 | 1,711 | ||
Consumers Energy Co. | 3.100% | 8/15/50 | 1,039 | 1,111 | ||
Consumers Energy Co. | 3.500% | 8/1/51 | 1,980 | 2,277 | ||
Consumers Energy Co. | 2.650% | 8/15/52 | 500 | 492 | ||
Consumers Energy Co. | 2.500% | 5/1/60 | 1,131 | 1,039 | ||
Dayton Power & Light Co. | 3.950% | 6/15/49 | 640 | 736 | ||
Delmarva Power & Light Co. | 4.150% | 5/15/45 | 1,671 | 2,016 | ||
2 | Dominion Energy Inc. | 6.300% | 3/15/33 | 883 | 1,204 | |
2 | Dominion Energy Inc. | 5.250% | 8/1/33 | 619 | 786 | |
2 | Dominion Energy Inc. | 5.950% | 6/15/35 | 484 | 661 | |
Dominion Energy Inc. | 7.000% | 6/15/38 | 677 | 1,019 | ||
2 | Dominion Energy Inc. | 3.300% | 4/15/41 | 1,690 | 1,806 | |
2 | Dominion Energy Inc. | 4.900% | 8/1/41 | 837 | 1,068 | |
2 | Dominion Energy Inc. | 4.050% | 9/15/42 | 959 | 1,110 | |
Dominion Energy Inc. | 4.700% | 12/1/44 | 1,346 | 1,703 | ||
2 | Dominion Energy Inc. | 4.600% | 3/15/49 | 1,055 | 1,355 | |
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 1,248 | 1,749 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,480 | 1,954 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 450 | 647 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 1,426 | 1,987 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 1,106 | 1,427 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 290 | 431 | ||
2 | DTE Electric Co. | 4.000% | 4/1/43 | 290 | 349 | |
DTE Electric Co. | 4.300% | 7/1/44 | 1,252 | 1,567 | ||
DTE Electric Co. | 3.700% | 3/15/45 | 1,859 | 2,152 | ||
DTE Electric Co. | 3.700% | 6/1/46 | 1,475 | 1,720 | ||
DTE Electric Co. | 3.750% | 8/15/47 | 1,438 | 1,686 | ||
2 | DTE Electric Co. | 4.050% | 5/15/48 | 1,285 | 1,579 | |
DTE Electric Co. | 3.950% | 3/1/49 | 540 | 657 | ||
DTE Electric Co. | 2.950% | 3/1/50 | 200 | 208 | ||
2 | DTE Electric Co. | 3.250% | 4/1/51 | 1,050 | 1,152 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 568 | 786 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 1,081 | 1,502 | ||
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 306 | 437 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 1,855 | 2,653 | ||
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 1,618 | 2,217 | ||
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 981 | 1,189 | ||
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 1,240 | 1,472 | ||
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 75 | 86 | ||
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 1,285 | 1,500 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,380 | 1,575 | ||
Duke Energy Carolinas LLC | 3.950% | 3/15/48 | 701 | 830 | ||
Duke Energy Carolinas LLC | 3.200% | 8/15/49 | 1,098 | 1,169 | ||
Duke Energy Carolinas LLC | 3.450% | 4/15/51 | 1,000 | 1,118 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 1,695 | 1,766 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 646 | 810 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 2,104 | 2,285 | ||
Duke Energy Corp. | 3.950% | 8/15/47 | 882 | 987 | ||
Duke Energy Corp. | 4.200% | 6/15/49 | 1,340 | 1,562 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 1,445 | 1,527 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 1,911 | 2,834 | ||
Duke Energy Florida LLC | 6.400% | 6/15/38 | 341 | 504 | ||
Duke Energy Florida LLC | 5.650% | 4/1/40 | 1,545 | 2,162 | ||
Duke Energy Florida LLC | 3.850% | 11/15/42 | 1,075 | 1,249 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Duke Energy Florida LLC | 3.400% | 10/1/46 | 1,316 | 1,448 | ||
Duke Energy Florida LLC | 4.200% | 7/15/48 | 1,876 | 2,316 | ||
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 878 | 1,216 | ||
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 1,996 | 2,935 | ||
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 1,210 | 1,782 | ||
2 | Duke Energy Indiana LLC | 4.900% | 7/15/43 | 1,143 | 1,488 | |
Duke Energy Indiana LLC | 3.750% | 5/15/46 | 2,025 | 2,312 | ||
2 | Duke Energy Indiana LLC | 3.250% | 10/1/49 | 1,384 | 1,472 | |
Duke Energy Indiana LLC | 2.750% | 4/1/50 | 840 | 821 | ||
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 75 | 86 | ||
Duke Energy Ohio Inc. | 4.300% | 2/1/49 | 1,948 | 2,454 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 883 | 1,282 | ||
Duke Energy Progress LLC | 4.100% | 5/15/42 | 1,674 | 1,994 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 1,640 | 1,992 | ||
Duke Energy Progress LLC | 4.375% | 3/30/44 | 921 | 1,152 | ||
Duke Energy Progress LLC | 4.150% | 12/1/44 | 1,660 | 2,009 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 1,163 | 1,417 | ||
Duke Energy Progress LLC | 3.700% | 10/15/46 | 1,765 | 2,016 | ||
Duke Energy Progress LLC | 3.600% | 9/15/47 | 1,390 | 1,567 | ||
Duke Energy Progress LLC | 2.900% | 8/15/51 | 1,275 | 1,288 | ||
El Paso Electric Co. | 6.000% | 5/15/35 | 1,114 | 1,511 | ||
El Paso Electric Co. | 5.000% | 12/1/44 | 588 | 723 | ||
Emera US Finance LP | 4.750% | 6/15/46 | 2,979 | 3,549 | ||
Entergy Arkansas LLC | 4.200% | 4/1/49 | 1,243 | 1,546 | ||
Entergy Arkansas LLC | 2.650% | 6/15/51 | 320 | 308 | ||
Entergy Arkansas LLC | 3.350% | 6/15/52 | 1,225 | 1,343 | ||
Entergy Corp. | 3.750% | 6/15/50 | 2,029 | 2,233 | ||
Entergy Louisiana LLC | 2.350% | 6/15/32 | 875 | 893 | ||
Entergy Louisiana LLC | 4.000% | 3/15/33 | 2,258 | 2,651 | ||
Entergy Louisiana LLC | 3.100% | 6/15/41 | 1,000 | 1,060 | ||
Entergy Louisiana LLC | 4.200% | 9/1/48 | 1,710 | 2,103 | ||
Entergy Louisiana LLC | 4.200% | 4/1/50 | 2,524 | 3,149 | ||
Entergy Louisiana LLC | 2.900% | 3/15/51 | 1,870 | 1,873 | ||
Entergy Mississippi LLC | 3.850% | 6/1/49 | 1,627 | 1,905 | ||
Entergy Texas Inc. | 3.550% | 9/30/49 | 1,245 | 1,360 | ||
Essential Utilities Inc. | 4.276% | 5/1/49 | 880 | 1,062 | ||
Essential Utilities Inc. | 3.351% | 4/15/50 | 960 | 1,009 | ||
Evergy Kansas Central Inc. | 4.125% | 3/1/42 | 1,318 | 1,585 | ||
Evergy Kansas Central Inc. | 4.100% | 4/1/43 | 1,264 | 1,522 | ||
Evergy Kansas Central Inc. | 4.250% | 12/1/45 | 1,214 | 1,497 | ||
Evergy Kansas Central Inc. | 3.450% | 4/15/50 | 1,093 | 1,208 | ||
Evergy Metro Inc. | 5.300% | 10/1/41 | 335 | 454 | ||
Evergy Metro Inc. | 4.200% | 6/15/47 | 1,535 | 1,892 | ||
Evergy Metro Inc. | 4.200% | 3/15/48 | 805 | 999 | ||
2 | Evergy Metro Inc. | 4.125% | 4/1/49 | 1,341 | 1,649 | |
Eversource Energy | 3.450% | 1/15/50 | 1,485 | 1,607 | ||
2 | Exelon Corp. | 4.950% | 6/15/35 | 1,385 | 1,717 | |
Exelon Corp. | 5.625% | 6/15/35 | 1,116 | 1,478 | ||
Exelon Corp. | 5.100% | 6/15/45 | 1,504 | 2,009 | ||
Exelon Corp. | 4.450% | 4/15/46 | 1,435 | 1,771 | ||
Exelon Corp. | 4.700% | 4/15/50 | 1,487 | 1,905 | ||
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 1,809 | 2,248 | ||
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 1,772 | 2,118 | ||
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 1,446 | 1,721 | ||
Florida Power & Light Co. | 5.625% | 4/1/34 | 419 | 574 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Florida Power & Light Co. | 4.950% | 6/1/35 | 1,652 | 2,178 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 858 | 1,190 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 1,062 | 1,538 | ||
Florida Power & Light Co. | 5.960% | 4/1/39 | 575 | 847 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 466 | 672 | ||
Florida Power & Light Co. | 5.250% | 2/1/41 | 1,734 | 2,406 | ||
Florida Power & Light Co. | 4.125% | 2/1/42 | 920 | 1,130 | ||
Florida Power & Light Co. | 4.050% | 6/1/42 | 1,740 | 2,129 | ||
Florida Power & Light Co. | 3.800% | 12/15/42 | 1,879 | 2,236 | ||
Florida Power & Light Co. | 4.050% | 10/1/44 | 1,752 | 2,160 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 2,282 | 2,713 | ||
Florida Power & Light Co. | 3.950% | 3/1/48 | 1,407 | 1,724 | ||
Florida Power & Light Co. | 4.125% | 6/1/48 | 1,413 | 1,778 | ||
Florida Power & Light Co. | 3.990% | 3/1/49 | 962 | 1,191 | ||
Florida Power & Light Co. | 3.150% | 10/1/49 | 1,071 | 1,169 | ||
2 | Georgia Power Co. | 4.750% | 9/1/40 | 1,626 | 2,021 | |
Georgia Power Co. | 4.300% | 3/15/42 | 2,353 | 2,799 | ||
Georgia Power Co. | 4.300% | 3/15/43 | 553 | 665 | ||
2 | Georgia Power Co. | 3.700% | 1/30/50 | 2,185 | 2,417 | |
2 | Georgia Power Co. | 3.250% | 3/15/51 | 1,375 | 1,429 | |
Iberdrola International BV | 6.750% | 7/15/36 | 951 | 1,462 | ||
2 | Idaho Power Co. | 4.200% | 3/1/48 | 505 | 622 | |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 1,588 | 2,215 | ||
2 | Indiana Michigan Power Co. | 4.550% | 3/15/46 | 808 | 1,031 | |
2 | Indiana Michigan Power Co. | 3.750% | 7/1/47 | 1,504 | 1,722 | |
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 1,136 | 1,417 | ||
Indiana Michigan Power Co. | 3.250% | 5/1/51 | 1,145 | 1,228 | ||
Interstate Power & Light Co. | 6.250% | 7/15/39 | 254 | 365 | ||
Interstate Power & Light Co. | 3.700% | 9/15/46 | 419 | 483 | ||
Interstate Power & Light Co. | 3.500% | 9/30/49 | 525 | 584 | ||
ITC Holdings Corp. | 5.300% | 7/1/43 | 1,006 | 1,347 | ||
2 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 867 | 1,074 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 961 | 1,269 | ||
Kentucky Utilities Co. | 4.375% | 10/1/45 | 680 | 843 | ||
Kentucky Utilities Co. | 3.300% | 6/1/50 | 1,315 | 1,411 | ||
Louisville Gas & Electric Co. | 4.250% | 4/1/49 | 2,224 | 2,752 | ||
MidAmerican Energy Co. | 6.750% | 12/30/31 | 225 | 320 | ||
2 | MidAmerican Energy Co. | 5.750% | 11/1/35 | 853 | 1,183 | |
2 | MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,095 | 1,549 | |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 1,259 | 1,651 | ||
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,284 | 1,613 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 1,772 | 2,202 | ||
MidAmerican Energy Co. | 3.650% | 8/1/48 | 1,416 | 1,627 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 1,070 | 1,348 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 1,257 | 1,344 | ||
2 | Mississippi Power Co. | 4.250% | 3/15/42 | 976 | 1,174 | |
2 | Mississippi Power Co. | 3.100% | 7/30/51 | 100 | 103 | |
National Grid USA | 5.803% | 4/1/35 | 702 | 885 | ||
2 | National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 932 | 1,409 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 1,071 | 1,271 | ||
National Rural Utilities Cooperative Finance Corp. | 4.400% | 11/1/48 | 1,601 | 2,099 | ||
National Rural Utilities Cooperative Finance Corp. | 4.300% | 3/15/49 | 1,453 | 1,859 | ||
2 | Nevada Power Co. | 6.650% | 4/1/36 | 1,525 | 2,282 | |
2 | Nevada Power Co. | 6.750% | 7/1/37 | 1,465 | 2,208 | |
2 | Nevada Power Co. | 3.125% | 8/1/50 | 2,019 | 2,113 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
NiSource Inc. | 5.950% | 6/15/41 | 1,008 | 1,440 | ||
NiSource Inc. | 5.250% | 2/15/43 | 647 | 860 | ||
NiSource Inc. | 4.800% | 2/15/44 | 2,132 | 2,712 | ||
NiSource Inc. | 5.650% | 2/1/45 | 714 | 1,000 | ||
NiSource Inc. | 4.375% | 5/15/47 | 2,635 | 3,215 | ||
NiSource Inc. | 3.950% | 3/30/48 | 2,080 | 2,413 | ||
Northern States Power Co. | 6.250% | 6/1/36 | 255 | 373 | ||
Northern States Power Co. | 6.200% | 7/1/37 | 515 | 761 | ||
Northern States Power Co. | 5.350% | 11/1/39 | 477 | 666 | ||
Northern States Power Co. | 3.400% | 8/15/42 | 955 | 1,073 | ||
Northern States Power Co. | 4.125% | 5/15/44 | 803 | 991 | ||
Northern States Power Co. | 4.000% | 8/15/45 | 860 | 1,043 | ||
Northern States Power Co. | 3.600% | 5/15/46 | 799 | 919 | ||
Northern States Power Co. | 3.600% | 9/15/47 | 1,367 | 1,581 | ||
Northern States Power Co. | 2.900% | 3/1/50 | 876 | 916 | ||
Northern States Power Co. | 2.600% | 6/1/51 | 1,060 | 1,033 | ||
Northern States Power Co. | 3.200% | 4/1/52 | 765 | 837 | ||
NorthWestern Corp. | 4.176% | 11/15/44 | 1,069 | 1,271 | ||
NSTAR Electric Co. | 5.500% | 3/15/40 | 738 | 1,036 | ||
NSTAR Electric Co. | 4.400% | 3/1/44 | 1,067 | 1,354 | ||
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 1,445 | 1,972 | ||
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 1,740 | 2,252 | ||
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 745 | 944 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 698 | 907 | ||
Ohio Power Co. | 4.150% | 4/1/48 | 895 | 1,101 | ||
Ohio Power Co. | 4.000% | 6/1/49 | 1,313 | 1,584 | ||
Oklahoma Gas & Electric Co. | 4.150% | 4/1/47 | 855 | 1,041 | ||
Oklahoma Gas & Electric Co. | 3.850% | 8/15/47 | 656 | 767 | ||
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 429 | 620 | ||
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 1,163 | 1,738 | ||
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 455 | 751 | ||
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,045 | 1,431 | ||
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 842 | 1,080 | ||
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 950 | 1,338 | ||
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 1,667 | 1,953 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 1,340 | 1,589 | ||
Oncor Electric Delivery Co. LLC | 4.100% | 11/15/48 | 1,350 | 1,669 | ||
Oncor Electric Delivery Co. LLC | 3.800% | 6/1/49 | 1,752 | 2,091 | ||
2 | Oncor Electric Delivery Co. LLC | 3.100% | 9/15/49 | 2,099 | 2,239 | |
Oncor Electric Delivery Co. LLC | 5.350% | 10/1/52 | 521 | 784 | ||
ONE Gas Inc. | 4.658% | 2/1/44 | 813 | 1,015 | ||
ONE Gas Inc. | 4.500% | 11/1/48 | 1,045 | 1,297 | ||
Pacific Gas & Electric Co. | 3.250% | 6/1/31 | 62 | 61 | ||
Pacific Gas & Electric Co. | 4.500% | 7/1/40 | 4,340 | 4,406 | ||
Pacific Gas & Electric Co. | 3.300% | 8/1/40 | 2,438 | 2,249 | ||
Pacific Gas & Electric Co. | 4.200% | 6/1/41 | 1,400 | 1,380 | ||
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,332 | 1,357 | ||
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 1,355 | 1,328 | ||
Pacific Gas & Electric Co. | 3.950% | 12/1/47 | 4,299 | 4,080 | ||
Pacific Gas & Electric Co. | 4.950% | 7/1/50 | 7,248 | 7,669 | ||
Pacific Gas & Electric Co. | 3.500% | 8/1/50 | 5,410 | 4,883 | ||
PacifiCorp | 7.700% | 11/15/31 | 1,044 | 1,547 | ||
PacifiCorp | 5.250% | 6/15/35 | 1,639 | 2,137 | ||
PacifiCorp | 6.100% | 8/1/36 | 1,160 | 1,629 | ||
PacifiCorp | 5.750% | 4/1/37 | 1,291 | 1,771 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PacifiCorp | 6.250% | 10/15/37 | 1,022 | 1,470 | ||
PacifiCorp | 6.350% | 7/15/38 | 630 | 903 | ||
PacifiCorp | 6.000% | 1/15/39 | 1,409 | 2,012 | ||
PacifiCorp | 4.100% | 2/1/42 | 1,515 | 1,790 | ||
PacifiCorp | 4.125% | 1/15/49 | 1,265 | 1,533 | ||
PacifiCorp | 4.150% | 2/15/50 | 1,448 | 1,759 | ||
PacifiCorp | 3.300% | 3/15/51 | 1,410 | 1,523 | ||
PacifiCorp | 2.900% | 6/15/52 | 2,000 | 1,999 | ||
PECO Energy Co. | 5.950% | 10/1/36 | 548 | 792 | ||
PECO Energy Co. | 4.150% | 10/1/44 | 1,088 | 1,341 | ||
PECO Energy Co. | 3.900% | 3/1/48 | 1,202 | 1,443 | ||
PECO Energy Co. | 3.000% | 9/15/49 | 449 | 472 | ||
PECO Energy Co. | 2.800% | 6/15/50 | 741 | 750 | ||
PECO Energy Co. | 3.050% | 3/15/51 | 1,350 | 1,430 | ||
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 405 | 501 | ||
Piedmont Natural Gas Co. Inc. | 3.640% | 11/1/46 | 566 | 618 | ||
Piedmont Natural Gas Co. Inc. | 3.350% | 6/1/50 | 1,330 | 1,402 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 438 | 648 | ||
Potomac Electric Power Co. | 4.150% | 3/15/43 | 1,675 | 2,045 | ||
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 413 | 611 | ||
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 380 | 499 | ||
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 685 | 835 | ||
PPL Electric Utilities Corp. | 4.150% | 10/1/45 | 1,611 | 1,970 | ||
PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 1,005 | 1,209 | ||
PPL Electric Utilities Corp. | 4.150% | 6/15/48 | 955 | 1,202 | ||
PPL Electric Utilities Corp. | 3.000% | 10/1/49 | 825 | 870 | ||
Progress Energy Inc. | 7.000% | 10/30/31 | 600 | 835 | ||
Progress Energy Inc. | 6.000% | 12/1/39 | 1,457 | 2,043 | ||
2 | Public Service Co. of Colorado | 6.250% | 9/1/37 | 1,865 | 2,779 | |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 566 | 863 | ||
Public Service Co. of Colorado | 3.600% | 9/15/42 | 1,216 | 1,389 | ||
Public Service Co. of Colorado | 4.300% | 3/15/44 | 810 | 997 | ||
Public Service Co. of Colorado | 3.800% | 6/15/47 | 1,632 | 1,928 | ||
Public Service Co. of Colorado | 4.100% | 6/15/48 | 519 | 641 | ||
Public Service Co. of Colorado | 4.050% | 9/15/49 | 2,100 | 2,621 | ||
2 | Public Service Co. of Colorado | 3.200% | 3/1/50 | 935 | 1,012 | |
2 | Public Service Co. of Colorado | 2.700% | 1/15/51 | 1,075 | 1,077 | |
Public Service Co. of New Hampshire | 3.600% | 7/1/49 | 1,334 | 1,543 | ||
2 | Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 460 | 644 | |
2 | Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 1,100 | 1,534 | |
2 | Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 415 | 496 | |
2 | Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 1,313 | 1,513 | |
2 | Public Service Electric & Gas Co. | 3.800% | 1/1/43 | 580 | 682 | |
2 | Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 1,156 | 1,369 | |
2 | Public Service Electric & Gas Co. | 3.600% | 12/1/47 | 1,175 | 1,354 | |
2 | Public Service Electric & Gas Co. | 4.050% | 5/1/48 | 734 | 905 | |
2 | Public Service Electric & Gas Co. | 3.850% | 5/1/49 | 1,053 | 1,267 | |
2 | Public Service Electric & Gas Co. | 3.200% | 8/1/49 | 990 | 1,077 | |
2 | Public Service Electric & Gas Co. | 3.150% | 1/1/50 | 334 | 361 | |
2 | Public Service Electric & Gas Co. | 2.700% | 5/1/50 | 860 | 858 | |
2 | Public Service Electric & Gas Co. | 2.050% | 8/1/50 | 1,065 | 939 | |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 816 | 1,161 | ||
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 961 | 1,329 | ||
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 713 | 1,009 | ||
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 373 | 523 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 908 | 1,122 | ||
Puget Sound Energy Inc. | 4.223% | 6/15/48 | 999 | 1,238 | ||
Puget Sound Energy Inc. | 3.250% | 9/15/49 | 1,114 | 1,189 | ||
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 944 | 1,340 | ||
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 496 | 621 | ||
2 | San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 1,494 | 1,702 | |
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 545 | 663 | ||
2 | San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 1,275 | 1,547 | |
2 | San Diego Gas & Electric Co. | 3.320% | 4/15/50 | 1,135 | 1,217 | |
Sempra Energy | 3.800% | 2/1/38 | 1,636 | 1,833 | ||
Sempra Energy | 6.000% | 10/15/39 | 2,029 | 2,848 | ||
Sempra Energy | 4.000% | 2/1/48 | 1,880 | 2,129 | ||
Southern California Edison Co. | 6.000% | 1/15/34 | 718 | 948 | ||
2 | Southern California Edison Co. | 5.750% | 4/1/35 | 1,292 | 1,669 | |
2 | Southern California Edison Co. | 5.350% | 7/15/35 | 1,366 | 1,720 | |
Southern California Edison Co. | 5.625% | 2/1/36 | 1,489 | 1,903 | ||
2 | Southern California Edison Co. | 5.550% | 1/15/37 | 1,131 | 1,406 | |
2 | Southern California Edison Co. | 5.950% | 2/1/38 | 968 | 1,262 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 957 | 1,279 | ||
Southern California Edison Co. | 5.500% | 3/15/40 | 1,684 | 2,128 | ||
Southern California Edison Co. | 4.500% | 9/1/40 | 1,331 | 1,540 | ||
Southern California Edison Co. | 4.050% | 3/15/42 | 948 | 1,017 | ||
2 | Southern California Edison Co. | 3.900% | 3/15/43 | 1,268 | 1,338 | |
Southern California Edison Co. | 4.650% | 10/1/43 | 399 | 459 | ||
2 | Southern California Edison Co. | 3.600% | 2/1/45 | 2,314 | 2,335 | |
Southern California Edison Co. | 4.000% | 4/1/47 | 2,103 | 2,231 | ||
2 | Southern California Edison Co. | 4.125% | 3/1/48 | 2,373 | 2,556 | |
2 | Southern California Edison Co. | 4.875% | 3/1/49 | 2,496 | 2,987 | |
Southern California Edison Co. | 3.650% | 2/1/50 | 2,736 | 2,791 | ||
2 | Southern California Edison Co. | 2.950% | 2/1/51 | 870 | 795 | |
2 | Southern California Edison Co. | 3.650% | 6/1/51 | 1,200 | 1,222 | |
Southern California Gas Co. | 5.125% | 11/15/40 | 495 | 657 | ||
Southern California Gas Co. | 3.750% | 9/15/42 | 828 | 941 | ||
2 | Southern California Gas Co. | 4.125% | 6/1/48 | 743 | 903 | |
2 | Southern California Gas Co. | 4.300% | 1/15/49 | 1,506 | 1,898 | |
2 | Southern California Gas Co. | 3.950% | 2/15/50 | 895 | 1,074 | |
Southern Co. | 4.250% | 7/1/36 | 1,079 | 1,268 | ||
Southern Co. | 4.400% | 7/1/46 | 4,100 | 4,929 | ||
Southern Co. Gas Capital Corp. | 5.875% | 3/15/41 | 1,533 | 2,154 | ||
Southern Co. Gas Capital Corp. | 4.400% | 6/1/43 | 2,382 | 2,867 | ||
Southern Co. Gas Capital Corp. | 3.950% | 10/1/46 | 769 | 875 | ||
Southern Co. Gas Capital Corp. | 4.400% | 5/30/47 | 1,141 | 1,368 | ||
Southern Power Co. | 5.150% | 9/15/41 | 1,008 | 1,257 | ||
Southern Power Co. | 5.250% | 7/15/43 | 210 | 266 | ||
2 | Southern Power Co. | 4.950% | 12/15/46 | 967 | 1,189 | |
Southwest Gas Corp. | 3.800% | 9/29/46 | 780 | 861 | ||
Southwest Gas Corp. | 4.150% | 6/1/49 | 790 | 924 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 607 | 862 | ||
2 | Southwestern Electric Power Co. | 3.900% | 4/1/45 | 1,424 | 1,602 | |
2 | Southwestern Electric Power Co. | 3.850% | 2/1/48 | 902 | 1,014 | |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 585 | 730 | ||
Southwestern Public Service Co. | 3.400% | 8/15/46 | 1,015 | 1,101 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 1,053 | 1,200 | ||
2 | Southwestern Public Service Co. | 4.400% | 11/15/48 | 655 | 838 | |
Southwestern Public Service Co. | 3.750% | 6/15/49 | 1,058 | 1,234 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Southwestern Public Service Co. | 3.150% | 5/1/50 | 858 | 912 | |
Tampa Electric Co. | 4.100% | 6/15/42 | 1,170 | 1,372 | ||
Tampa Electric Co. | 4.350% | 5/15/44 | 250 | 309 | ||
Tampa Electric Co. | 4.300% | 6/15/48 | 804 | 1,007 | ||
Tampa Electric Co. | 4.450% | 6/15/49 | 507 | 656 | ||
Tampa Electric Co. | 3.625% | 6/15/50 | 1,220 | 1,396 | ||
Tampa Electric Co. | 3.450% | 3/15/51 | 1,000 | 1,107 | ||
Toledo Edison Co. | 6.150% | 5/15/37 | 926 | 1,289 | ||
Tucson Electric Power Co. | 4.850% | 12/1/48 | 1,000 | 1,322 | ||
Tucson Electric Power Co. | 4.000% | 6/15/50 | 885 | 1,068 | ||
Union Electric Co. | 2.150% | 3/15/32 | 1,393 | 1,408 | ||
Union Electric Co. | 5.300% | 8/1/37 | 398 | 519 | ||
Union Electric Co. | 3.900% | 9/15/42 | 1,945 | 2,269 | ||
Union Electric Co. | 3.650% | 4/15/45 | 1,407 | 1,614 | ||
Union Electric Co. | 4.000% | 4/1/48 | 782 | 944 | ||
Union Electric Co. | 3.250% | 10/1/49 | 1,830 | 1,996 | ||
Union Electric Co. | 2.625% | 3/15/51 | 300 | 292 | ||
Veolia Environnement SA | 6.750% | 6/1/38 | 772 | 1,175 | ||
2 | Virginia Electric & Power Co. | 6.000% | 1/15/36 | 1,297 | 1,824 | |
2 | Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,296 | 1,830 | |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 1,233 | 1,810 | ||
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 1,164 | 2,094 | ||
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,604 | 1,890 | ||
2 | Virginia Electric & Power Co. | 4.650% | 8/15/43 | 2,176 | 2,769 | |
Virginia Electric & Power Co. | 4.450% | 2/15/44 | 954 | 1,191 | ||
2 | Virginia Electric & Power Co. | 4.200% | 5/15/45 | 1,655 | 2,016 | |
2 | Virginia Electric & Power Co. | 4.000% | 11/15/46 | 728 | 867 | |
2 | Virginia Electric & Power Co. | 3.800% | 9/15/47 | 1,398 | 1,621 | |
Virginia Electric & Power Co. | 4.600% | 12/1/48 | 1,585 | 2,093 | ||
Virginia Electric & Power Co. | 3.300% | 12/1/49 | 1,100 | 1,197 | ||
Virginia Electric & Power Co. | 2.450% | 12/15/50 | 1,510 | 1,411 | ||
2 | Washington Gas Light Co. | 3.796% | 9/15/46 | 888 | 1,020 | |
2 | Washington Gas Light Co. | 3.650% | 9/15/49 | 1,188 | 1,363 | |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 527 | 699 | ||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 390 | 538 | ||
Wisconsin Electric Power Co. | 4.300% | 10/15/48 | 1,305 | 1,660 | ||
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 499 | 721 | ||
Wisconsin Power & Light Co. | 3.650% | 4/1/50 | 1,980 | 2,288 | ||
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 969 | 1,125 | ||
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 1,238 | 1,624 | ||
Wisconsin Public Service Corp. | 3.300% | 9/1/49 | 380 | 411 | ||
Xcel Energy Inc. | 6.500% | 7/1/36 | 917 | 1,340 | ||
Xcel Energy Inc. | 3.500% | 12/1/49 | 1,305 | 1,431 | ||
719,248 | ||||||
Total Corporate Bonds (Cost $5,988,349) | 6,092,606 | |||||
Taxable Municipal Bonds (0.0%) | ||||||
Charlotte-Mecklenburg NC Hospital Authority Health Care System Revenue (Cost $1,000) | 3.204% | 1/15/51 | 1,000 | 1,100 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $13,816) | 0.068% | 138,159 | 13,816 | ||
Total Investments (99.2%) (Cost $6,019,957) | 6,124,316 | |||||
Other Assets and Liabilities—Net (0.8%) | 46,463 | |||||
Net Assets (100%) | 6,170,779 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | 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 August 31, 2021, the aggregate value was $177,813,000, representing 2.9% of net assets. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of August 31, 2021. |
4 | Securities with a value of $901,000 have been segregated as initial margin for open futures contracts. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Long U.S. Treasury Bond | December 2021 | 1 | 163 | — |
Short Futures Contracts | ||||
Ultra Long U.S. Treasury Bond | December 2021 | (2) | (395) | — |
— |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,006,141) | 6,110,500 |
Affiliated Issuers (Cost $13,816) | 13,816 |
Total Investments in Securities | 6,124,316 |
Investment in Vanguard | 209 |
Receivables for Investment Securities Sold | 46,940 |
Receivables for Accrued Income | 62,687 |
Receivables for Capital Shares Issued | 401 |
Variation Margin Receivable—Futures Contracts | 96 |
Total Assets | 6,234,649 |
Liabilities | |
Due to Custodian | 1,402 |
Payables for Investment Securities Purchased | 61,973 |
Payables for Capital Shares Redeemed | 286 |
Payables for Distributions | 189 |
Payables to Vanguard | 20 |
Total Liabilities | 63,870 |
Net Assets | 6,170,779 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 6,103,671 |
Total Distributable Earnings (Loss) | 67,108 |
Net Assets | 6,170,779 |
ETF Shares—Net Assets | |
Applicable to 50,931,702 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,516,560 |
Net Asset Value Per Share—ETF Shares | $108.31 |
Admiral Shares—Net Assets | |
Applicable to 10,833,557 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 314,484 |
Net Asset Value Per Share—Admiral Shares | $29.03 |
Institutional Shares—Net Assets | |
Applicable to 9,431,344 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 339,735 |
Net Asset Value Per Share—Institutional Shares | $36.02 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 194,642 |
Total Income | 194,642 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 144 |
Management and Administrative—ETF Shares | 1,699 |
Management and Administrative—Admiral Shares | 195 |
Management and Administrative—Institutional Shares | 120 |
Marketing and Distribution—ETF Shares | 247 |
Marketing and Distribution—Admiral Shares | 15 |
Marketing and Distribution—Institutional Shares | 7 |
Custodian Fees | 138 |
Auditing Fees | 42 |
Shareholders’ Reports—ETF Shares | 103 |
Shareholders’ Reports—Admiral Shares | 3 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,715 |
Net Investment Income | 191,927 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 317,856 |
Futures Contracts | 270 |
Realized Net Gain (Loss) | 318,126 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (264,746) |
Futures Contracts | (26) |
Change in Unrealized Appreciation (Depreciation) | (264,772) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 245,281 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $329,778,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 191,927 | 177,949 |
Realized Net Gain (Loss) | 318,126 | 309,396 |
Change in Unrealized Appreciation (Depreciation) | (264,772) | (172,927) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 245,281 | 314,418 |
Distributions | ||
ETF Shares | (171,844) | (151,191) |
Admiral Shares | (10,118) | (10,090) |
Institutional Shares | (8,735) | (16,541) |
Total Distributions | (190,697) | (177,822) |
Capital Share Transactions | ||
ETF Shares | 255,122 | 1,024,186 |
Admiral Shares | (9,215) | 53,933 |
Institutional Shares | 68,703 | (284,804) |
Net Increase (Decrease) from Capital Share Transactions | 314,610 | 793,315 |
Total Increase (Decrease) | 369,194 | 929,911 |
Net Assets | ||
Beginning of Period | 5,801,585 | 4,871,674 |
End of Period | 6,170,779 | 5,801,585 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $107.01 | $102.86 | $88.35 | $94.07 | $96.37 |
Investment Operations | |||||
Net Investment Income1 | 3.294 | 3.701 | 3.936 | 3.880 | 3.897 |
Net Realized and Unrealized Gain (Loss) on Investments2 | 1.288 | 4.189 | 14.458 | (5.722) | (2.356) |
Total from Investment Operations | 4.582 | 7.890 | 18.394 | (1.842) | 1.541 |
Distributions | |||||
Dividends from Net Investment Income | (3.282) | (3.740) | (3.884) | (3.878) | (3.841) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.282) | (3.740) | (3.884) | (3.878) | (3.841) |
Net Asset Value, End of Period | $108.31 | $107.01 | $102.86 | $88.35 | $94.07 |
Total Return | 4.39% | 7.90% | 21.60% | -2.01% | 1.81% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,517 | $5,214 | $4,074 | $2,509 | $2,098 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 3.10% | 3.60% | 4.36% | 4.26% | 4.27% |
Portfolio Turnover Rate3 | 36% | 62% | 47% | 48% | 56% |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.03, $.00, $.00, $.09, and $.09. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $28.68 | $27.55 | $23.65 | $25.18 | $25.79 |
Investment Operations | |||||
Net Investment Income1 | .877 | .988 | 1.053 | 1.043 | 1.047 |
Net Realized and Unrealized Gain (Loss) on Investments2 | .345 | 1.125 | 3.895 | (1.536) | (.625) |
Total from Investment Operations | 1.222 | 2.113 | 4.948 | (.493) | .422 |
Distributions | |||||
Dividends from Net Investment Income | (.872) | (.983) | (1.048) | (1.037) | (1.032) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.872) | (.983) | (1.048) | (1.037) | (1.032) |
Net Asset Value, End of Period | $29.03 | $28.68 | $27.55 | $23.65 | $25.18 |
Total Return3 | 4.37% | 7.87% | 21.64% | -2.00% | 1.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $314 | $320 | $256 | $186 | $161 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 3.08% | 3.58% | 4.34% | 4.26% | 4.27% |
Portfolio Turnover Rate4 | 36% | 62% | 47% | 48% | 56% |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.01, $0.00, $0.00, $.03, and $.02. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $35.59 | $34.18 | $29.36 | $31.25 | $32.02 |
Investment Operations | |||||
Net Investment Income1 | 1.095 | 1.250 | 1.314 | 1.299 | 1.306 |
Net Realized and Unrealized Gain (Loss) on Investments2 | .425 | 1.387 | 4.812 | (1.895) | (.790) |
Total from Investment Operations | 1.520 | 2.637 | 6.126 | (.596) | .516 |
Distributions | |||||
Dividends from Net Investment Income | (1.090) | (1.227) | (1.306) | (1.294) | (1.286) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.090) | (1.227) | (1.306) | (1.294) | (1.286) |
Net Asset Value, End of Period | $36.02 | $35.59 | $34.18 | $29.36 | $31.25 |
Total Return3 | 4.37% | 7.91% | 21.58% | -1.95% | 1.81% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $340 | $268 | $541 | $786 | $528 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 3.09% | 3.68% | 4.36% | 4.28% | 4.29% |
Portfolio Turnover Rate4 | 36% | 62% | 47% | 48% | 56% |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.01, $.00, $.00, $.03, and $.03. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 16,794 | — | 16,794 |
Corporate Bonds | — | 6,092,606 | — | 6,092,606 |
Taxable Municipal Bonds | — | 1,100 | — | 1,100 |
Temporary Cash Investments | 13,816 | — | — | 13,816 |
Total | 13,816 | 6,110,500 | — | 6,124,316 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | — | — | — | — |
Liabilities | ||||
Futures Contracts1 | — | — | — | — |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 328,751 |
Total Distributable Earnings (Loss) | (328,751) |
Amount ($000) | |
Undistributed Ordinary Income | 14,443 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (48,954) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 101,808 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 190,697 | 177,822 |
Long-Term Capital Gains | — | — |
Total | 190,697 | 177,822 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,022,508 |
Gross Unrealized Appreciation | 173,136 |
Gross Unrealized Depreciation | (71,328) |
Net Unrealized Appreciation (Depreciation) | 101,808 |
E. | During the year ended August 31, 2021, the fund purchased $7,187,890,000 of investment securities and sold $6,821,567,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $747,969,000 and $758,857,000, respectively. Purchases and sales include $5,588,820,000 and $5,352,953,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued1 | 5,694,795 | 53,910 | 3,855,752 | 37,213 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (5,439,673) | (51,700) | (2,831,566) | (28,100) | |
Net Increase (Decrease)—ETF Shares | 255,122 | 2,210 | 1,024,186 | 9,113 | |
Admiral Shares | |||||
Issued1 | 114,076 | 3,986 | 140,978 | 5,094 | |
Issued in Lieu of Cash Distributions | 7,862 | 276 | 7,676 | 277 | |
Redeemed | (131,153) | (4,585) | (94,721) | (3,505) | |
Net Increase (Decrease)—Admiral Shares | (9,215) | (323) | 53,933 | 1,866 | |
Institutional Shares | |||||
Issued1 | 79,701 | 2,217 | 13,691 | 364 | |
Issued in Lieu of Cash Distributions | 8,735 | 247 | 14,985 | 440 | |
Redeemed | (19,733) | (566) | (313,480) | (9,109) | |
Net Increase (Decrease)—Institutional Shares | 68,703 | 1,898 | (284,804) | (8,305) |
1 | Includes purchase fees for fiscal 2021 and 2020 of $1,995,000 and $1,562,000, respectively (fund totals). |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
![]() | Mortgage-Backed Securities Index Fund ETF Shares Net Asset Value | -0.35% | 2.15% | 2.32% | $12,583 |
Mortgage-Backed Securities Index Fund ETF Shares Market Price | -0.33 | 2.15 | 2.32 | 12,582 | |
![]() | Bloomberg U.S. MBS Float Adjusted Index | -0.17 | 2.26 | 2.42 | 12,697 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
Average Annual Total Returns Periods Ended August 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Mortgage-Backed Securities Index Fund Admiral Shares | -0.38% | 2.14% | 2.32% | $12,575 | |
Bloomberg U.S. MBS Float Adjusted Index | -0.17 | 2.26 | 2.42 | 12,697 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.22 | 13,728 |
One Year | Five Years | Since Inception (10/31/2013) | Final Value of a $5,000,000 Investment | ||
Mortgage-Backed Securities Index Fund Institutional Shares | -0.38% | 2.16% | 2.58% | $6,104,345 | |
Bloomberg U.S. MBS Float Adjusted Index | -0.17 | 2.26 | 2.65 | 6,136,381 | |
Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 3.15 | 3.47 | 6,530,135 |
Cumulative Returns of ETF Shares: August 31, 2011, Through August 31, 2021 | |||
One Year | Five Years | Ten Years | |
Mortgage-Backed Securities Index Fund ETF Shares Market Price | -0.33% | 11.23% | 25.82% |
Mortgage-Backed Securities Index Fund ETF Shares Net Asset Value | -0.35 | 11.23 | 25.83 |
Bloomberg U.S. MBS Float Adjusted Index | -0.17 | 11.83 | 26.97 |
0 - 10 Years | 2.4% |
10 - 20 Years | 17.7 |
20 - 30 Years | 72.4 |
30 - 40 Years | 7.5 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.7%) | ||||||
Conventional Mortgage-Backed Securities (99.7%) | ||||||
1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–12/1/31 | 7,228 | 7,480 | |
1,2 | Freddie Mac Gold Pool | 2.500% | 5/1/22–2/1/43 | 110,977 | 116,243 | |
1,2 | Freddie Mac Gold Pool | 3.000% | 1/1/26–6/1/49 | 378,005 | 398,956 | |
1,2 | Freddie Mac Gold Pool | 3.500% | 9/1/25–2/1/49 | 364,228 | 390,607 | |
1,2 | Freddie Mac Gold Pool | 4.000% | 3/1/24–6/1/49 | 212,879 | 231,517 | |
1,2 | Freddie Mac Gold Pool | 4.500% | 3/1/23–11/1/48 | 111,908 | 123,216 | |
1,2 | Freddie Mac Gold Pool | 5.000% | 3/1/23–11/1/48 | 36,218 | 40,827 | |
1,2 | Freddie Mac Gold Pool | 5.500% | 7/1/22–6/1/41 | 29,361 | 33,647 | |
1,2 | Freddie Mac Gold Pool | 6.000% | 1/1/24–5/1/40 | 18,608 | 21,843 | |
1,2 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 1,590 | 1,822 | |
1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 136 | 157 | |
1 | Ginnie Mae I Pool | 2.500% | 6/15/27–6/15/28 | 243 | 255 | |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | 16,838 | 17,672 | |
1 | Ginnie Mae I Pool | 3.500% | 2/15/26–9/15/49 | 29,204 | 31,109 | |
1 | Ginnie Mae I Pool | 4.000% | 7/15/24–6/15/49 | 20,517 | 22,369 | |
1 | Ginnie Mae I Pool | 4.500% | 8/15/33–7/15/49 | 29,167 | 32,912 | |
1 | Ginnie Mae I Pool | 5.000% | 5/15/33–4/15/41 | 14,092 | 16,182 | |
1 | Ginnie Mae I Pool | 5.500% | 10/15/32–3/15/40 | 4,855 | 5,650 | |
1 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 1,245 | 1,447 | |
1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 83 | 97 | |
1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 2 | 2 | |
1,3 | Ginnie Mae II Pool | 1.500% | 3/20/51–9/15/51 | 15,397 | 15,276 | |
1,3 | Ginnie Mae II Pool | 2.000% | 8/20/50–9/15/51 | 651,446 | 665,919 | |
1,3 | Ginnie Mae II Pool | 2.500% | 6/20/27–9/15/51 | 624,586 | 649,087 | |
1,3 | Ginnie Mae II Pool | 3.000% | 10/20/26–9/15/51 | 785,950 | 826,342 | |
1,3 | Ginnie Mae II Pool | 3.500% | 12/20/25–9/15/51 | 653,784 | 696,204 | |
1,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–9/15/51 | 334,669 | 360,098 | |
1 | Ginnie Mae II Pool | 4.500% | 2/20/39–7/20/50 | 164,591 | 177,939 | |
1 | Ginnie Mae II Pool | 5.000% | 6/20/33–12/20/49 | 55,051 | 60,091 | |
1 | Ginnie Mae II Pool | 5.500% | 11/20/33–7/20/49 | 7,096 | 8,221 | |
1 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 2,957 | 3,443 | |
1 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 448 | 530 | |
1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 40 | 50 | |
1,2,3 | UMBS Pool | 1.500% | 7/1/35–9/25/51 | 909,676 | 905,700 | |
1,2,3 | UMBS Pool | 2.000% | 4/1/23–9/25/51 | 3,521,692 | 3,589,902 | |
1,2,3 | UMBS Pool | 2.500% | 11/1/26–9/25/51 | 2,408,471 | 2,509,903 | |
1,2,3 | UMBS Pool | 3.000% | 11/1/25–9/25/51 | 1,697,245 | 1,787,242 | |
1,2,3 | UMBS Pool | 3.500% | 8/1/25–9/25/51 | 1,145,308 | 1,224,624 | |
1,2,3 | UMBS Pool | 4.000% | 4/1/24–9/25/51 | 830,257 | 901,137 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | UMBS Pool | 4.500% | 4/1/23–7/1/50 | 375,310 | 412,760 | |
1,2 | UMBS Pool | 5.000% | 2/1/22–3/1/50 | 131,344 | 147,252 | |
1,2 | UMBS Pool | 5.500% | 2/1/23–6/1/49 | 56,558 | 64,829 | |
1,2 | UMBS Pool | 6.000% | 4/1/23–6/1/41 | 32,243 | 38,130 | |
1,2 | UMBS Pool | 6.500% | 3/1/22–10/1/39 | 4,491 | 5,231 | |
1,2 | UMBS Pool | 7.000% | 12/1/22–10/1/37 | 326 | 387 | |
1,2 | UMBS Pool | 7.500% | 11/1/22 | 1 | 1 | |
16,544,308 | ||||||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.290% | 1.665% | 12/1/41 | 28 | 29 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.310% | 1.684% | 9/1/37 | 15 | 16 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.471% | 1.846% | 3/1/43 | 116 | 122 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.560% | 2.318% | 7/1/43 | 377 | 396 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.598% | 1.931% | 6/1/43 | 41 | 43 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.624% | 1.973% | 10/1/37 | 25 | 26 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.627% | 2.002% | 3/1/38 | 3 | 3 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.655% | 1.954% | 10/1/42 | 64 | 67 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.681% | 2.010% | 8/1/39 | 20 | 21 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.690% | 1.940% | 9/1/42 | 160 | 168 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.690% | 2.159% | 10/1/39 | 10 | 11 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.700% | 2.075% | 12/1/40 | 50 | 53 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.709% | 2.032% | 5/1/42 | 18 | 19 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.724% | 2.199% | 11/1/39 | 7 | 7 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.768% | 2.110% | 5/1/42 | 10 | 11 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.795% | 3.188% | 8/1/42 | 50 | 52 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.798% | 2.122% | 3/1/42 | 25 | 27 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.803% | 2.077% | 9/1/40 | 42 | 45 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.805% | 2.265% | 11/1/41 | 28 | 31 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.810% | 2.185% | 12/1/40 | 1 | 1 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.810% | 2.310% | 10/1/40 | 5 | 5 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.813% | 2.205% | 1/1/42 | 35 | 37 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.813% | 2.218% | 11/1/41 | 6 | 7 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.815% | 2.071% | 5/1/41 | 15 | 15 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.815% | 2.220% | 12/1/41 | 26 | 28 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.815% | 2.315% | 11/1/40 | 2 | 3 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.823% | 2.194% | 12/1/39 | 48 | 50 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.823% | 2.196% | 3/1/41 | 38 | 40 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.827% | 2.202% | 2/1/41 | 2 | 2 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.828% | 2.110% | 2/1/42 | 36 | 39 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.830% | 2.205% | 4/1/41 | 17 | 18 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.835% | 2.210% | 1/1/40 | 1 | 1 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.864% | 2.115% | 5/1/40 | 1 | 1 | |
1,2,4 | Fannie Mae Pool, 12M USD LIBOR + 1.914% | 2.164% | 4/1/37 | 3 | 3 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% | 2.155% | 11/1/43 | 55 | 57 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660% | 2.160% | 10/1/37 | 4 | 4 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695% | 2.070% | 2/1/37 | 9 | 10 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745% | 2.120% | 12/1/40 | 10 | 11 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840% | 2.090% | 6/1/37 | 21 | 22 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.845% | 2.238% | 2/1/42 | 8 | 9 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% | 2.130% | 6/1/41 | 20 | 21 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% | 2.132% | 6/1/40 | 8 | 8 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.896% | 2.324% | 9/1/40 | 20 | 21 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% | 2.150% | 6/1/40 | 5 | 5 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% | 2.318% | 12/1/39 | 5 | 5 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% | 2.285% | 2/1/41 | 36 | 38 | |
1,2,4 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085% | 2.460% | 3/1/38 | 5 | 5 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 1.875% | 4/20/41 | 2 | 2 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.000% | 1/20/41–2/20/41 | 142 | 147 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.125% | 11/20/40–12/20/42 | 155 | 160 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.250% | 7/20/41–8/20/41 | 45 | 48 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 2.000% | 2.125% | 11/20/40 | 3 | 3 | |
1,4 | Ginnie Mae II Pool, 1YR CMT + 2.000% | 2.375% | 5/20/41 | 1 | 1 | |
1,974 | ||||||
Total U.S. Government and Agency Obligations (Cost $16,353,371) | 16,546,282 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (7.9%) | ||||||
Money Market Fund (7.9%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $1,302,359) | 0.068% | 13,027,624 | 1,302,763 | ||
Total Investments (107.6%) (Cost $17,655,730) | 17,849,045 | |||||
Other Assets and Liabilities—Net (-7.6%) | (1,253,132) | |||||
Net Assets (100%) | 16,595,913 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | 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. |
2 | 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. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of August 31, 2021. |
4 | 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. |
5 | 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. | |
1YR—1-year. | |
CMT—Constant Maturing Treasury Rate. | |
LIBOR—London Interbank Offered Rate. | |
UMBS—Uniform Mortgage-Backed Securities. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $16,353,371) | 16,546,282 |
Affiliated Issuers (Cost $1,302,359) | 1,302,763 |
Total Investments in Securities | 17,849,045 |
Investment in Vanguard | 556 |
Receivables for Investment Securities Sold | 95,296 |
Receivables for Accrued Income | 34,739 |
Receivables for Capital Shares Issued | 62,788 |
Total Assets | 18,042,424 |
Liabilities | |
Due to Custodian | 321 |
Payables for Investment Securities Purchased | 1,443,900 |
Payables for Capital Shares Redeemed | 1,901 |
Payables for Distributions | 336 |
Payables to Vanguard | 53 |
Total Liabilities | 1,446,511 |
Net Assets | 16,595,913 |
Statement of Assets and Liabilities (continued) | |
At August 31, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 16,400,805 |
Total Distributable Earnings (Loss) | 195,108 |
Net Assets | 16,595,913 |
ETF Shares—Net Assets | |
Applicable to 281,567,139 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,054,794 |
Net Asset Value Per Share—ETF Shares | $53.47 |
Admiral Shares—Net Assets | |
Applicable to 66,384,303 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,418,702 |
Net Asset Value Per Share—Admiral Shares | $21.37 |
Institutional Shares—Net Assets | |
Applicable to 4,227,083 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 122,417 |
Net Asset Value Per Share—Institutional Shares | $28.96 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 168,403 |
Total Income | 168,403 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 353 |
Management and Administrative—ETF Shares | 3,949 |
Management and Administrative—Admiral Shares | 737 |
Management and Administrative—Institutional Shares | 68 |
Marketing and Distribution—ETF Shares | 600 |
Marketing and Distribution—Admiral Shares | 56 |
Marketing and Distribution—Institutional Shares | 5 |
Custodian Fees | 124 |
Auditing Fees | 45 |
Shareholders’ Reports—ETF Shares | 598 |
Shareholders’ Reports—Admiral Shares | 33 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 6,573 |
Net Investment Income | 161,830 |
Realized Net Gain (Loss) on Investment Securities Sold1 | (11,804) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (200,070) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (50,044) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,765,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 161,830 | 271,975 |
Realized Net Gain (Loss) | (11,804) | 42,324 |
Change in Unrealized Appreciation (Depreciation) | (200,070) | 218,341 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (50,044) | 532,640 |
Distributions | ||
ETF Shares | (172,665) | (255,578) |
Admiral Shares | (15,250) | (21,433) |
Institutional Shares | (2,046) | (3,282) |
Total Distributions | (189,961) | (280,293) |
Capital Share Transactions | ||
ETF Shares | 3,630,070 | 1,098,083 |
Admiral Shares | 278,308 | 298,089 |
Institutional Shares | (45,377) | 48,576 |
Net Increase (Decrease) from Capital Share Transactions | 3,863,001 | 1,444,748 |
Total Increase (Decrease) | 3,622,996 | 1,697,095 |
Net Assets | ||
Beginning of Period | 12,972,917 | 11,275,822 |
End of Period | 16,595,913 | 12,972,917 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $54.36 | $53.26 | $51.38 | $53.00 | $53.79 |
Investment Operations | |||||
Net Investment Income1 | .581 | 1.197 | 1.564 | 1.325 | 1.059 |
Net Realized and Unrealized Gain (Loss) on Investments | (.768) | 1.146 | 1.859 | (1.683) | (.682) |
Total from Investment Operations | (.187) | 2.343 | 3.423 | (.358) | .377 |
Distributions | |||||
Dividends from Net Investment Income | (.594) | (1.243) | (1.543) | (1.262) | (1.004) |
Distributions from Realized Capital Gains | (.109) | — | — | — | (.163) |
Total Distributions | (.703) | (1.243) | (1.543) | (1.262) | (1.167) |
Net Asset Value, End of Period | $53.47 | $54.36 | $53.26 | $51.38 | $53.00 |
Total Return | -0.35% | 4.45% | 6.80% | -0.67% | 0.74% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $15,055 | $11,643 | $10,316 | $7,193 | $4,252 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.08% | 2.22% | 3.01% | 2.56% | 2.00% |
Portfolio Turnover Rate2 | 316% | 218% | 190% | 279% | 339% |
1 | Calculated based on average shares outstanding. |
2 | Includes 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $21.72 | $21.26 | $20.51 | $21.17 | $21.49 |
Investment Operations | |||||
Net Investment Income1 | .211 | .470 | .622 | .528 | .413 |
Net Realized and Unrealized Gain (Loss) on Investments | (.292) | .463 | .742 | (.674) | (.258) |
Total from Investment Operations | (.081) | .933 | 1.364 | (.146) | .155 |
Distributions | |||||
Dividends from Net Investment Income | (.225) | (.473) | (.614) | (.514) | (.410) |
Distributions from Realized Capital Gains | (.044) | — | — | — | (.065) |
Total Distributions | (.269) | (.473) | (.614) | (.514) | (.475) |
Net Asset Value, End of Period | $21.37 | $21.72 | $21.26 | $20.51 | $21.17 |
Total Return2 | -0.38% | 4.43% | 6.77% | -0.68% | 0.76% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,419 | $1,159 | $841 | $725 | $527 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.98% | 2.18% | 2.99% | 2.56% | 2.00% |
Portfolio Turnover Rate3 | 316% | 218% | 190% | 279% | 339% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $29.44 | $28.81 | $27.79 | $28.69 | $29.12 |
Investment Operations | |||||
Net Investment Income1 | .393 | .641 | .846 | .721 | .571 |
Net Realized and Unrealized Gain (Loss) on Investments | (.503) | .636 | 1.011 | (.920) | (.353) |
Total from Investment Operations | (.110) | 1.277 | 1.857 | (.199) | .218 |
Distributions | |||||
Dividends from Net Investment Income | (.311) | (.647) | (.837) | (.701) | (.560) |
Distributions from Realized Capital Gains | (.059) | — | — | — | (.088) |
Total Distributions | (.370) | (.647) | (.837) | (.701) | (.648) |
Net Asset Value, End of Period | $28.96 | $29.44 | $28.81 | $27.79 | $28.69 |
Total Return | -0.38% | 4.48% | 6.80% | -0.68% | 0.79% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $122 | $171 | $119 | $70 | $52 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 2.20% | 3.01% | 2.58% | 2.02% |
Portfolio Turnover Rate2 | 316% | 218% | 190% | 279% | 339% |
1 | Calculated based on average shares outstanding. |
2 | Includes 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 16,546,282 | — | 16,546,282 |
Temporary Cash Investments | 1,302,763 | — | — | 1,302,763 |
Total | 1,302,763 | 16,546,282 | — | 17,849,045 |
D. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 14,659 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (3,869) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 184,654 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 187,294 | 280,293 |
Long-Term Capital Gains | 2,667 | — |
Total | 189,961 | 280,293 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 17,664,391 |
Gross Unrealized Appreciation | 243,660 |
Gross Unrealized Depreciation | (59,006) |
Net Unrealized Appreciation (Depreciation) | 184,654 |
E. | During the year ended August 31, 2021, the fund purchased $51,874,774,000 of investment securities and sold $47,864,807,000 of investment securities, other than temporary cash investments. Purchases and sales include $141,142,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2021 | 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 4,732,739 | 87,937 | 2,840,003 | 52,845 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,102,669) | (20,550) | (1,741,920) | (32,350) | |
Net Increase (Decrease)—ETF Shares | 3,630,070 | 67,387 | 1,098,083 | 20,495 | |
Admiral Shares | |||||
Issued | 811,357 | 37,785 | 684,698 | 31,678 | |
Issued in Lieu of Cash Distributions | 10,095 | 470 | 13,116 | 609 | |
Redeemed | (543,144) | (25,236) | (399,725) | (18,497) | |
Net Increase (Decrease)—Admiral Shares | 278,308 | 13,019 | 298,089 | 13,790 | |
Institutional Shares | |||||
Issued | 48,026 | 1,650 | 74,790 | 2,567 | |
Issued in Lieu of Cash Distributions | 1,521 | 52 | 2,297 | 79 | |
Redeemed | (94,924) | (3,272) | (28,511) | (970) | |
Net Increase (Decrease)—Institutional Shares | (45,377) | (1,570) | 48,576 | 1,676 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2021, that would require recognition or disclosure in these financial statements. |
1 | |
2 | |
4 | |
7 | |
18 | |
20 |
• | Vanguard Total Corporate Bond ETF returned 2.37% for the 12 months ended August 31, 2021. Its benchmark returned 2.53%. |
• | The global economy rebounded faster than many had expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that have been more successful in containing the virus have generally fared better economically. Swift and extensive fiscal and monetary support from policymakers has also been key to the rebound. |
• | Bond returns were dampened by rising yields across much of the developed world, notably in the United States. The yield of the 30-year U.S. Treasury bond rose for the 12 months from 1.47% to 1.93% as inflation picked up. Corporates outperformed both Treasuries and mortgage-backed securities. |
• | By maturity, longer-term corporates outpaced their shorter-term counterparts. By credit quality, lower-quality bonds outperformed high-quality issues. And by sector, bonds in the industrial sector outperformed those in financials and utilities. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Total Corporate Bond ETF | Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,030.10 | $0.20 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,025.00 | 0.20 |
Average Annual Total Returns Periods Ended August 31, 2021 | ||||
One Year | Since Inception (11/7/2017) | Final Value of a $10,000 Investment | ||
![]() | Total Corporate Bond ETF Net Asset Value | 2.37% | 5.43% | $12,232 |
Total Corporate Bond ETF Market Price | 2.35 | 5.43 | 12,236 | |
![]() | Bloomberg U.S. Corporate Bond Index | 2.53 | 5.59 | 12,307 |
![]() | Bloomberg U.S. Aggregate Float Adjusted Index | -0.07 | 4.06 | 11,638 |
Cumulative Returns of ETF Shares: November 7, 2017, Through August 31, 2021 | ||
One Year | Since Inception (11/7/2017) | |
Total Corporate Bond ETF Market Price | 2.35% | 22.36% |
Total Corporate Bond ETF Net Asset Value | 2.37 | 22.32 |
Bloomberg U.S. Corporate Bond Index | 2.53 | 23.07 |
Vanguard Long-Term Corporate Bond ETF | 38.9% |
Vanguard Short-Term Corporate Bond ETF | 32.7 |
Vanguard Intermediate-Term Corporate Bond ETF | 28.4 |
Shares | Market Value• ($000) | |||||
Investment Companies (100.0%) | ||||||
U.S. Bond Funds (100.0%) | ||||||
Vanguard Long-Term Corporate Bond ETF | 2,499,273 | 270,620 | ||||
Vanguard Short-Term Corporate Bond ETF | 2,744,829 | 226,998 | ||||
Vanguard Intermediate-Term Corporate Bond ETF | 2,065,475 | 197,418 | ||||
Total Investment Companies (Cost $692,159) | 695,036 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.068% (Cost $24) | 239 | 24 | |||
Total Investments (100.0%) (Cost $692,183) | 695,060 | |||||
Other Assets and Liabilities—Net (0.0%) | 8 | |||||
Net Assets (100%) | 695,068 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $692,183) | 695,060 |
Receivables for Investment Securities Sold | 1,052 |
Total Assets | 696,112 |
Liabilities | |
Payables for Investment Securities Purchased | 1,044 |
Total Liabilities | 1,044 |
Net Assets | 695,068 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 692,897 |
Total Distributable Earnings (Loss) | 2,171 |
Net Assets | 695,068 |
Net Assets | |
Applicable to 7,510,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 695,068 |
Net Asset Value Per Share | $92.55 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 17,944 |
Net Investment Income—Note B | 17,944 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 430 |
Affiliated Funds Sold1 | 10,086 |
Realized Net Gain (Loss) | 10,516 |
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds | (18,980) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,480 |
1 | Includes $10,961,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 17,944 | 11,005 |
Realized Net Gain (Loss) | 10,516 | 1,932 |
Change in Unrealized Appreciation (Depreciation) | (18,980) | 12,234 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,480 | 25,171 |
Distributions | ||
Total Distributions | (17,930) | (11,058) |
Capital Share Transactions | ||
Issued | 389,344 | 468,094 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (304,510) | (66,422) |
Net Increase (Decrease) from Capital Share Transactions | 84,834 | 401,672 |
Total Increase (Decrease) | 76,384 | 415,785 |
Net Assets | ||
Beginning of Period | 618,684 | 202,899 |
End of Period | 695,068 | 618,684 |
For a Share Outstanding Throughout Each Period | November 7, 20171 to August 31, 2018 | Year Ended August 31, | ||
2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $92.62 | $89.19 | $81.59 | $85.00 |
Investment Operations | ||||
Net Investment Income2 | 2.229 | 2.638 | 2.825 | 2.081 |
Capital Gain Distributions Received2 | .053 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (.131) | 3.614 | 7.717 | (3.445) |
Total from Investment Operations | 2.151 | 6.252 | 10.542 | (1.364) |
Distributions | ||||
Dividends from Net Investment Income | (2.221) | (2.822) | (2.942) | (2.046) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (2.221) | (2.822) | (2.942) | (2.046) |
Net Asset Value, End of Period | $92.55 | $92.62 | $89.19 | $81.59 |
Total Return | 2.37% | 7.18% | 13.29% | -1.60% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $695 | $619 | $203 | $55 |
Ratio of Total Expenses to Average Net Assets | — | — | — | —3 |
Acquired Fund Fees and Expenses | 0.04% | 0.05% | 0.05% | 0.07%3 |
Ratio of Net Investment Income to Average Net Assets | 2.43% | 2.94% | 3.38% | 3.10%3 |
Portfolio Turnover Rate4 | 10% | 40% | 12% | 4% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Amount ($000) | |
Paid-in Capital | 10,961 |
Total Distributable Earnings (Loss) | (10,961) |
Amount ($000) | |
Undistributed Ordinary Income | 151 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (178) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 2,198 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 17,930 | 11,058 |
Long-Term Capital Gains | — | — |
Total | 17,930 | 11,058 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 692,862 |
Gross Unrealized Appreciation | 6,285 |
Gross Unrealized Depreciation | (4,087) |
Net Unrealized Appreciation (Depreciation) | 2,198 |
Year Ended August 31, | |||
2021 | 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 4,200 | 5,185 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (3,370) | (780) | |
Net Increase (Decrease) in Shares Outstanding | 830 | 4,405 |
Current Period Transactions | ||||||||
Aug. 31, 2020 Market Value ($000) | Purchases at Cost1 ($000) | Proceeds from Securities Sold2 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Aug. 31, 2021 Market Value ($000) | |
Vanguard Intermediate-Term Corporate Bond ETF | 186,253 | 123,352 | 108,375 | 3,544 | (7,356) | 4,987 | 430 | 197,418 |
Vanguard Long-Term Corporate Bond ETF | 235,157 | 185,232 | 146,192 | 4,016 | (7,593) | 8,749 | — | 270,620 |
Vanguard Market Liquidity Fund | 14 | NA3 | NA3 | — | — | — | — | 24 |
Vanguard Short-Term Corporate Bond ETF | 197,267 | 156,518 | 125,282 | 2,526 | (4,031) | 4,208 | — | 226,998 |
Total | 618,691 | 465,102 | 379,849 | 10,086 | (18,980) | 17,944 | 430 | 695,060 |
1 | Includes $389,316,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares. |
2 | Includes $304,462,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
3 | Not applicable—purchases and sales are for temporary cash investment purposes. |
1 | |
2 | |
4 | |
7 | |
18 | |
20 |
• | Vanguard Total World Bond ETF returned 0.40% for the 12 months ended August 31, 2021, roughly in line with the expense-free 0.55% return of its benchmark. |
• | The global economy rebounded faster than many had expected after the sharp pandemic-induced contraction in the spring of 2020. Countries that were more successful in containing the virus generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Bond returns were dampened by rising bond yields across much of the developed world, most notably in the United States. |
• | Bonds from the United States, which accounted for close to half of the ETF’s assets at the end of the period, posted a slightly negative return. European bonds fared relatively well thanks to results from Italy and Spain, among other countries. Japan, a heavyweight in the index, returned a little less than international bonds as a whole. |
• | Government bonds underperformed corporate bonds. By quality, bonds on the bottom rung of the investment-grade ladder outperformed; by maturity, intermediate-term bonds fared best. |
Average Annual Total Returns Periods Ended August 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 32.25% | 18.42% | 18.24% |
Russell 2000 Index (Small-caps) | 47.08 | 10.75 | 14.38 |
Russell 3000 Index (Broad U.S. market) | 33.04 | 17.85 | 17.97 |
FTSE All-World ex US Index (International) | 25.74 | 9.82 | 10.23 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.08% | 5.43% | 3.11% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 3.40 | 5.09 | 3.30 |
FTSE Three-Month U.S. Treasury Bill Index | 0.06 | 1.20 | 1.13 |
CPI | |||
Consumer Price Index | 5.25% | 2.76% | 2.58% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2021 | |||
Total World Bond ETF | Beginning Account Value 2/28/2021 | Ending Account Value 8/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,014.20 | $0.30 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.90 | 0.31 |
Average Annual Total Returns Periods Ended August 31, 2021 | ||||
One Year | Since Inception (9/4/2018) | Final Value of a $10,000 Investment | ||
![]() | Total World Bond ETF Net Asset Value | 0.40% | 4.96% | $11,557 |
Total World Bond ETF Market Price | 0.39 | 4.97 | 11,560 | |
![]() | Bloomberg Global Aggregate Float Adjusted Composite Index | 0.55 | 5.09 | 11,599 |
Cumulative Returns of ETF Shares: September 4, 2018, Through August 31, 2021 | ||
One Year | Since Inception (9/4/2018) | |
Total World Bond ETF Market Price | 0.39% | 15.60% |
Total World Bond ETF Net Asset Value | 0.40 | 15.57 |
Bloomberg Global Aggregate Float Adjusted Composite Index | 0.55 | 15.99 |
Vanguard Total International Bond ETF | 52.4% |
Vanguard Total Bond Market ETF | 47.6 |
Shares | Market Value• ($000) | |||||
Investment Companies (100.0%) | ||||||
U.S. Bond Fund (47.6%) | ||||||
Vanguard Total Bond Market ETF | 3,201,818 | 276,830 | ||||
International Bond Fund (52.4%) | ||||||
Vanguard Total International Bond ETF | 5,286,180 | 304,590 | ||||
Total Investment Companies (Cost $579,311) | 581,420 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.068% (Cost $20) | 205 | 20 | |||
Total Investments (100.0%) (Cost $579,331) | 581,440 | |||||
Other Assets and Liabilities—Net (0.0%) | 28 | |||||
Net Assets (100%) | 581,468 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $579,331) | 581,440 |
Receivables for Investment Securities Sold | 1,325 |
Total Assets | 582,765 |
Liabilities | |
Payables for Investment Securities Purchased | 1,297 |
Total Liabilities | 1,297 |
Net Assets | 581,468 |
At August 31, 2021, net assets consisted of: | |
Paid-in Capital | 579,377 |
Total Distributable Earnings (Loss) | 2,091 |
Net Assets | 581,468 |
Net Assets | |
Applicable to 7,200,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 581,468 |
Net Asset Value Per Share | $80.76 |
Year Ended August 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 7,151 |
Net Investment Income—Note B | 7,151 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 940 |
Affiliated Funds Sold1 | (281) |
Realized Net Gain (Loss) | 659 |
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds | (6,066) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,744 |
1 | Includes $586,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,151 | 7,958 |
Realized Net Gain (Loss) | 659 | 6,818 |
Change in Unrealized Appreciation (Depreciation) | (6,066) | (1,953) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,744 | 12,823 |
Distributions | ||
Total Distributions | (7,139) | (7,983) |
Capital Share Transactions | ||
Issued | 151,909 | 384,254 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (12,797) | (101,259) |
Net Increase (Decrease) from Capital Share Transactions | 139,112 | 282,995 |
Total Increase (Decrease) | 133,717 | 287,835 |
Net Assets | ||
Beginning of Period | 447,751 | 159,916 |
End of Period | 581,468 | 447,751 |
For a Share Outstanding Throughout Each Period | September 4, 20181 to August 31, 2019 | Year Ended August 31, | |
2021 | 2020 | ||
Net Asset Value, Beginning of Period | $81.56 | $80.97 | $75.00 |
Investment Operations | |||
Net Investment Income2 | 1.108 | 2.125 | 2.004 |
Capital Gain Distributions Received2 | .146 | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (.929) | .782 | 6.071 |
Total from Investment Operations | .325 | 2.907 | 8.075 |
Distributions | |||
Dividends from Net Investment Income | (1.125) | (2.317) | (2.105) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.125) | (2.317) | (2.105) |
Net Asset Value, End of Period | $80.76 | $81.56 | $80.97 |
Total Return | 0.40% | 3.69% | 11.00% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $581 | $448 | $160 |
Ratio of Total Expenses to Average Net Assets | — | — | —3 |
Acquired Fund Fees and Expenses | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 1.37% | 2.64% | 2.62%3 |
Portfolio Turnover Rate4 | 10% | 19% | 8% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Amount ($000) | |
Paid-in Capital | 594 |
Total Distributable Earnings (Loss) | (594) |
Amount ($000) | |
Undistributed Ordinary Income | 121 |
Undistributed Long-Term Gains | 548 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 1,422 |
Year Ended August 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 7,139 | 7,983 |
Long-Term Capital Gains | — | — |
Total | 7,139 | 7,983 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 580,018 |
Gross Unrealized Appreciation | 5,311 |
Gross Unrealized Depreciation | (3,889) |
Net Unrealized Appreciation (Depreciation) | 1,422 |
Year Ended August 31, | |||
2021 | 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 1,870 | 4,775 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (160) | (1,260) | |
Net Increase (Decrease) in Shares Outstanding | 1,710 | 3,515 |
Current Period Transactions | ||||||||
Aug. 31, 2020 Market Value ($000) | Purchases at Cost1 ($000) | Proceeds from Securities Sold2 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Aug. 31, 2021 Market Value ($000) | |
Vanguard Market Liquidity Fund | 14 | NA3 | NA3 | — | — | — | — | 20 |
Vanguard Total Bond Market ETF | 210,563 | 100,877 | 29,396 | (165) | (5,049) | 4,676 | 537 | 276,830 |
Vanguard Total International Bond ETF | 237,170 | 105,088 | 36,535 | (116) | (1,017) | 2,475 | 403 | 304,590 |
Total | 447,747 | 205,965 | 65,931 | (281) | (6,066) | 7,151 | 940 | 581,440 |
1 | Includes $151,895,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares. |
2 | Includes $12,794,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
3 | Not applicable—purchases and sales are for temporary cash investment purposes. |
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended August 31, 2021: $566,000
Fiscal Year Ended August 31, 2020: $580,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2021: $11,244,694
Fiscal Year Ended August 31, 2020: $10,761,407
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2021: $2,955,181
Fiscal Year Ended August 31, 2020: $2,915,863
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2021: $2,047,574
Fiscal Year Ended August 31, 2020: $247,168
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2021: $280,000
Fiscal Year Ended August 31, 2020: $115,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2021: $2,327,574
Fiscal Year Ended August 31, 2020: $362,168
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. | |
(a)(2) | Certifications filed herewith. | |
(b) | Certifications field herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD SCOTTSDALE FUNDS | |||
BY: | /s/ MORTIMER J. BUCKLEY* | ||
MORTIMER J. BUCKLEY | |||
CHIEF EXECUTIVE OFFICER |
Date: October 20, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD SCOTTSDALE FUNDS | |||
BY: | /s/ MORTIMER J. BUCKLEY* | ||
MORTIMER J. BUCKLEY | |||
CHIEF EXECUTIVE OFFICER |
Date: October 20, 2021
VANGUARD SCOTTSDALE FUNDS | |||
BY: | /s/ CHRISTINE BUCHANAN* | ||
CHRISTINE BUCHANAN | |||
CHIEF FINANCIAL OFFICER |
Date: October 20, 2021
* By: | /s/ Anne E. Robinson | ||
Anne E. Robinson, pursuant to a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.
Exhibit 99.CODE ETH
the vanguard FUNDS’
CODE OF Ethics fOR
SENIOR executive and FINANCIAL OFFICERS
I. | Introduction |
The Board of Trustees (the “Fund Board”) of each registered investment company that is managed, sponsored, and distributed by The Vanguard Group, Inc. (“VGI”) or its subsidiaries (each, a “Vanguard Fund” and collectively, the “Vanguard Funds”) has adopted this code of ethics (the “Code”) as required by Section 406 of the Sarbanes-Oxley Act. The Code applies to the individuals in positions listed on Exhibit A (the “Covered Officers”). All Covered Officers, along with employees of VGI, are subject to separate and distinct obligations from this Code under a Code of Ethics adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940 (“17j-1 Code of Ethics”), policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time.
This Code is designed to promote:
● | Honest and ethical conduct, including the ethical handling of conflicts of interest; |
● | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a Vanguard Fund files with, or submits to, the U.S. Securities and Exchange Commission (“SEC”), and in other public communications made by the Vanguard Funds or VGI; |
● | Compliance with applicable laws, governmental rules, and regulations; |
● | Prompt internal reporting to those identified in the Code of violations of the Code; and |
● | Accountability for adherence to the Code. |
II. | Actual or Apparent Conflicts of Interest |
A. Covered Officers should conduct all activities in accordance with the following principles:
1. | Clients’ interests come first. In the course of fulfilling their duties and responsibilities to VGI clients, Covered Officers must at all times place the interests of VGI clients first. In particular, Covered Officers must avoid serving their own personal interests ahead of the interests of VGI clients. |
2. | Conflicts of interest must be avoided. Covered Officers must avoid any situation involving an actual or potential conflict of interest or possible impropriety with respect to their duties and responsibilities to VGI clients. Covered Officers must disclose and report at least annually any situation that may present the potential for a conflict of interest to Vanguard’s Compliance Department, consistent with the 17j-1 Code of Ethics. |
3. | Compromising situations must be avoided. Covered Officers must not take advantage of their position of trust and responsibility. Covered Officers must avoid any situation that might compromise or call into question their exercise of full independent judgment in the best interests of VGI clients. |
All activities of Covered Officers should be guided by and adhere to these fiduciary standards regardless of whether the activity is specifically described in this Code.
B. Restricted Activities include the following:
1. | Prohibition on secondary employment. Covered Officers are prohibited from accepting or serving in any form of secondary employment. Secondary employment that does not create a potential conflict of interest may be approved by the General Counsel of VGI. |
2. | Prohibition on service as director or public official. Unless approved by the General Counsel of VGI, Covered Officers are prohibited from serving on the board of directors of any publicly traded company or in an official capacity for any federal, state, or local government (or governmental agency or instrumentality). |
3. | Prohibition on misuse of Vanguard time or property. Covered Officers are prohibited from making use of time, equipment, services, personnel or property of any Vanguard entity for any purposes other than the performance of their duties and responsibilities in connection with the Vanguard Funds or other Vanguard-related entities. |
III. | Disclosure and Compliance |
A. | Each Covered Officer should be familiar with the disclosure requirements generally applicable to the Vanguard Funds. |
B. | Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Vanguard Funds to others, including to the Vanguard Funds’ directors and auditors, or to government regulators and self-regulatory organizations. |
C. | Each Covered Officer should, to the extent appropriate within the Covered Officer’s area of responsibility, consult with other officers and employees of VGI and advisors to a Vanguard Fund with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Vanguard Fund files with, or submits to, the SEC and in other public communications made by a Vanguard Fund. |
D. | It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules, regulations, and the 17j-1 Code of Ethics. |
IV. | Reporting and Accountability |
A. Each Covered Officer must:
1. | Upon adoption or amendment of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing that he or she has received, read, and understands the Code; |
2. | Affirm at least annually in writing that he or she has complied with the requirements of the Code; |
3. | Not retaliate against any other Covered Officer or any employee of VGI for reports of potential violations of the Code that are made in good faith; and |
4. | Notify the General Counsel of VGI promptly if the Covered Officer knows of any violations of this Code. |
B. | The Vanguard Funds will use the following procedures in investigating and enforcing this Code: |
1. | The General Counsel of VGI is responsible for applying this Code to specific situations and has the authority to interpret this Code in any particular situation. The General Counsel will report on an as-needed basis to the Fund Board regarding activities subject to the Code. |
2. | The General Counsel will take all appropriate action to investigate any potential violations of the Code that are reported to him or her. |
3. | If, after investigation, the General Counsel believes that no material violation of the Code has occurred, the General Counsel is not required to take any further action. |
4. | Any matter that the General Counsel believes is a material violation of the Code will be reported to the Chief Compliance Officer and the Fund Board. |
5. | If the Fund Board concurs that a material violation of the Code has occurred, the Fund Board will consider appropriate action. Appropriate action may include reassignment, suspension, or dismissal of the applicable Covered Officer(s), or any other sanctions the Fund Board deems appropriate. Appropriate action may also include review of, and appropriate modifications to, applicable policies and procedures. |
6. | Any changes to or waiver of this Code will, to the extent required, be disclosed as provided by SEC rules. |
Other Policies and Procedures
This Code shall be the sole code of conduct adopted by the Vanguard Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Vanguard Funds, VGI, or other service providers govern or purport to govern the behavior or activities of the Covered Officers, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code.
VGI’s and the Vanguard Funds’ 17j-1 Code of Ethics, policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time are separate requirements applying to the Covered Officers and others, and are not part of this Code.
VI. | Amendments |
This Code may not be materially amended except by the approval of a majority vote of the independent trustees of the Fund Board. Non-material, technical, and administrative revisions of the Code do not have to be approved by the Fund Board. Amendments must be in writing and communicated promptly to the Covered Officers, who shall affirm receipt of the amended Code in accordance with Section IV. A. 1.
VII. | Confidentiality |
All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fund Board, VGI’s General Counsel and the Chief Compliance Officer of VGI and the Vanguard Funds.
Last Reviewed: November 20, 2020
EXHIBIT A
to the vanguard FUNDS’
CODE OF Ethics fOR
SENIOR executive and FINANCIAL OFFICERS
Covered Officers (some offices may be held by the same individual):
Chief Executive Officer of the Vanguard Funds
President of the Vanguard Funds
Chief Financial Officer of the Vanguard Funds
Finance Director of the Vanguard Funds
Treasurer of the Vanguard Funds
Assistant Treasurer of the Vanguard Funds
Controller of the Vanguard Funds
Chief Executive Officer of The Vanguard Group, Inc.
President of The Vanguard Group, Inc.
Managing Director, Finance of The Vanguard Group, Inc.
Chief Financial Officer of The Vanguard Group, Inc.
Chief Accounting Officer of The Vanguard Group, Inc.
Treasurer of The Vanguard Group, Inc.
Controller of The Vanguard Group, Inc.
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Scottsdale Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: October 20, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
CERTIFICATIONS
I, Christine Buchanan, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Scottsdale Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: October 20, 2021
/s/ Christine Buchanan | |
Christine Buchanan | |
Chief Financial Officer |
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Scottsdale Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: October 20, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Scottsdale Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to her knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: October 20, 2021
/s/ Christine Buchanan | |
Christine Buchanan | |
Chief Financial Officer |
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