N-Q 1 fixedincomesecurities_final.htm VANGUARD FIXED INCOME SECURITIES FUND fixedincomesecurities_final.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-02368

Name of Registrant: Vanguard Fixed Income Securities Fund

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Date of fiscal year end: January 31st

Date of reporting period: October 31, 2015

Item 1: Schedule of Investments


Vanguard Long-Term Investment-Grade Fund      
 
 
 
Schedule of Investments        
As of October 31, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (2.7%)        
U.S. Government Securities (2.5%)        
  United States Treasury Note/Bond 0.875% 7/15/17 50 50
  United States Treasury Note/Bond 0.875% 8/15/17 350 351
  United States Treasury Note/Bond 1.000% 12/15/17 100 100
  United States Treasury Note/Bond 1.000% 2/15/18 100 100
  United States Treasury Note/Bond 0.875% 7/15/18 500 499
  United States Treasury Note/Bond 1.000% 9/15/18 3,000 2,998
  United States Treasury Note/Bond 2.000% 8/31/21 2,750 2,790
  United States Treasury Note/Bond 2.250% 11/15/24 11,600 11,727
  United States Treasury Note/Bond 2.000% 8/15/25 2,100 2,073
  United States Treasury Note/Bond 5.250% 2/15/29 17,100 22,692
  United States Treasury Note/Bond 6.125% 8/15/29 25,152 36,160
  United States Treasury Note/Bond 5.375% 2/15/31 9,150 12,576
  United States Treasury Note/Bond 4.500% 2/15/36 131,175 170,630
  United States Treasury Note/Bond 3.750% 11/15/43 3,697 4,327
1 United States Treasury Note/Bond 3.125% 8/15/44 24,718 25,680
  United States Treasury Note/Bond 3.000% 11/15/44 3,310 3,353
2 United States Treasury Note/Bond 2.500% 2/15/45 28,662 26,150
3 United States Treasury Note/Bond 3.000% 5/15/45 12,900 13,073
  United States Treasury Note/Bond 2.875% 8/15/45 12,100 11,975
          347,304
Agency Bonds and Notes (0.2%)        
4 Tennessee Valley Authority 5.250% 9/15/39 18,800 23,506
4 Tennessee Valley Authority 4.250% 9/15/65 10,000 9,964
          33,470
Total U.S. Government and Agency Obligations (Cost $359,649)     380,774
Corporate Bonds (74.7%)        
Finance (22.5%)        
  Banking (13.7%)        
  Bank of America Corp. 3.950% 4/21/25 15,770 15,506
  Bank of America Corp. 6.110% 1/29/37 25,550 29,743
  Bank of America Corp. 7.750% 5/14/38 15,450 21,465
  Bank of America Corp. 5.875% 2/7/42 30,710 36,317
  Bank of America Corp. 5.000% 1/21/44 34,800 36,748
  Bank of America Corp. 4.875% 4/1/44 1,649 1,725
  Bank of America NA 6.000% 10/15/36 21,760 26,285
  Bank One Corp. 7.750% 7/15/25 22,900 29,160
  Bank One Corp. 7.625% 10/15/26 21,775 27,767
  Bank One Corp. 8.000% 4/29/27 30,869 40,491
  Barclays plc 5.250% 8/17/45 22,000 22,856
  Branch Banking & Trust Co. 3.800% 10/30/26 900 914
  Citigroup Inc. 4.400% 6/10/25 7,700 7,793
  Citigroup Inc. 4.450% 9/29/27 49,555 49,527
  Citigroup Inc. 6.625% 1/15/28 2,500 3,116
  Citigroup Inc. 6.625% 6/15/32 31,545 37,874
  Citigroup Inc. 8.125% 7/15/39 2,650 3,873
  Citigroup Inc. 5.875% 1/30/42 10,364 12,133
  Citigroup Inc. 5.300% 5/6/44 8,065 8,556
  Citigroup Inc. 4.650% 7/30/45 67,370 68,219

 

 

Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.250% 5/24/41 6,400 7,265
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.750% 12/1/43 52,730 59,377
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.250% 8/4/45 17,225 18,143
5 Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 26,125 25,525
Goldman Sachs Group Inc. 6.125% 2/15/33 38,270 45,827
Goldman Sachs Group Inc. 6.450% 5/1/36 49,400 56,505
Goldman Sachs Group Inc. 6.750% 10/1/37 41,315 49,925
Goldman Sachs Group Inc. 6.250% 2/1/41 25,625 30,976
Goldman Sachs Group Inc. 4.800% 7/8/44 16,792 16,970
Goldman Sachs Group Inc. 4.750% 10/21/45 15,404 15,572
HSBC Bank USA NA 5.875% 11/1/34 44,700 52,481
HSBC Bank USA NA 5.625% 8/15/35 22,425 25,732
HSBC Holdings plc 4.250% 8/18/25 10,000 10,051
HSBC Holdings plc 7.625% 5/17/32 21,200 27,391
HSBC Holdings plc 6.500% 5/2/36 10,000 12,088
HSBC Holdings plc 6.500% 9/15/37 42,415 51,670
HSBC Holdings plc 6.800% 6/1/38 86,849 109,689
HSBC Holdings plc 6.100% 1/14/42 1,000 1,258
HSBC Holdings plc 5.250% 3/14/44 14,785 15,580
JPMorgan Chase & Co. 4.250% 10/1/27 13,315 13,344
JPMorgan Chase & Co. 6.400% 5/15/38 90,000 113,584
JPMorgan Chase & Co. 5.500% 10/15/40 25,675 29,493
JPMorgan Chase & Co. 5.600% 7/15/41 16,152 18,782
JPMorgan Chase & Co. 5.625% 8/16/43 43,832 48,755
JPMorgan Chase & Co. 4.950% 6/1/45 29,800 30,023
6 JPMorgan Chase & Co. 5.300% 12/29/49 430 431
5 Macquarie Bank Ltd. 4.875% 6/10/25 590 588
Morgan Stanley 6.250% 8/9/26 525 629
Morgan Stanley 4.350% 9/8/26 9,000 9,135
Morgan Stanley 3.950% 4/23/27 13,120 12,794
Morgan Stanley 7.250% 4/1/32 44,360 58,517
Morgan Stanley 6.375% 7/24/42 35,331 44,396
Morgan Stanley 4.300% 1/27/45 69,115 66,207
PNC Bank NA 4.200% 11/1/25 965 1,022
6 State Street Corp. 5.250% 12/29/49 400 403
Wachovia Corp. 6.605% 10/1/25 3,000 3,611
Wachovia Corp. 5.500% 8/1/35 21,905 24,560
Wells Fargo & Co. 3.550% 9/29/25 14,385 14,450
Wells Fargo & Co. 4.100% 6/3/26 50,287 51,213
Wells Fargo & Co. 4.300% 7/22/27 23,295 23,974
Wells Fargo & Co. 5.375% 2/7/35 9,240 10,688
Wells Fargo & Co. 5.375% 11/2/43 53,122 58,219
Wells Fargo & Co. 5.606% 1/15/44 157,813 179,162
Wells Fargo & Co. 4.650% 11/4/44 6,142 6,063
Wells Fargo & Co. 3.900% 5/1/45 21,500 20,133
Wells Fargo Bank NA 6.600% 1/15/38 500 656
 
Brokerage (0.2%)        
5 FMR LLC 6.450% 11/15/39 18,200 22,691
Invesco Finance plc 3.750% 1/15/26 1,250 1,258
Invesco Finance plc 5.375% 11/30/43 2,000 2,180
Legg Mason Inc. 5.625% 1/15/44 2,000 2,076

 

 

  Finance Companies (2.2%)        
5 GE Capital International Funding Co. 0.964% 4/15/16 1,024 1,026
5 GE Capital International Funding Co. 4.418% 11/15/35 305,988 316,566
6 General Electric Capital Corp. 6.250% 12/29/49 1,000 1,115
 
  Insurance (5.3%)        
  ACE Capital Trust II 9.700% 4/1/30 7,050 10,302
  ACE INA Holdings Inc. 4.350% 11/3/45 3,600 3,641
  Aetna Inc. 4.125% 11/15/42 24,995 23,606
  American International Group Inc. 4.700% 7/10/35 8,310 8,490
  American International Group Inc. 4.500% 7/16/44 29,745 29,125
  Anthem Inc. 6.375% 6/15/37 11,791 14,179
  Anthem Inc. 4.625% 5/15/42 17,100 16,877
6,7 Aquarius and Investments plc for Zurich        
  Insurance Co. Ltd. 4.250% 10/2/43 200 241
  AXA Financial Inc. 7.000% 4/1/28 24,910 30,792
  Berkshire Hathaway Inc. 4.500% 2/11/43 44,557 45,175
6,7 CNP Assurances 4.000% 11/29/49 100 106
5 Guardian Life Insurance Co. of America 7.375% 9/30/39 12,160 15,950
5 Guardian Life Insurance Co. of America 4.875% 6/19/64 10,700 10,210
5 Jackson National Life Insurance Co. 8.150% 3/15/27 200 262
5 John Hancock Life Insurance Co. 7.375% 2/15/24 13,350 16,085
  Loews Corp. 4.125% 5/15/43 1,800 1,633
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26 3,000 3,014
5 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 16,751 24,963
5 Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 6,160 6,701
5 Massachusetts Mutual Life Insurance Co. 4.500% 4/15/65 310 286
  MetLife Inc. 6.500% 12/15/32 900 1,128
  MetLife Inc. 4.125% 8/13/42 20,385 19,564
  MetLife Inc. 4.875% 11/13/43 769 818
  MetLife Inc. 4.050% 3/1/45 3,000 2,836
6 MetLife Inc. 5.250% 12/29/49 195 197
5 Metropolitan Life Insurance Co. 7.800% 11/1/25 32,250 41,965
5 Nationwide Mutual Insurance Co. 8.250% 12/1/31 6,285 8,248
5 Nationwide Mutual Insurance Co. 9.375% 8/15/39 39,206 59,350
5 Nationwide Mutual Insurance Co. 4.950% 4/22/44 13,215 12,838
5 New York Life Insurance Co. 5.875% 5/15/33 47,575 56,920
5 Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 14,890 17,912
5 Pacific Life Insurance Co. 9.250% 6/15/39 23,780 35,064
6 Progressive Corp. 6.700% 6/15/67 1,051 1,056
6 Prudential Financial Inc. 5.375% 5/15/45 270 271
5 Swiss Re Treasury US Corp. 4.250% 12/6/42 12,470 11,962
5 Teachers Insurance & Annuity Association of        
  America 6.850% 12/16/39 20,452 25,612
5 Teachers Insurance & Annuity Association of        
  America 4.900% 9/15/44 10,720 11,088
  Travelers Cos. Inc. 6.750% 6/20/36 500 658
  Travelers Cos. Inc. 6.250% 6/15/37 1,355 1,698
  Travelers Cos. Inc. 4.600% 8/1/43 2,000 2,106
  UnitedHealth Group Inc. 4.625% 7/15/35 11,515 12,227
  UnitedHealth Group Inc. 5.800% 3/15/36 49,846 59,303
  UnitedHealth Group Inc. 6.500% 6/15/37 1,100 1,409
  UnitedHealth Group Inc. 6.625% 11/15/37 800 1,039
  UnitedHealth Group Inc. 6.875% 2/15/38 26,847 36,212
  UnitedHealth Group Inc. 4.625% 11/15/41 3,045 3,159
  UnitedHealth Group Inc. 4.375% 3/15/42 25,000 25,168

 

 

UnitedHealth Group Inc. 4.750% 7/15/45 41,145 43,789
 
Real Estate Investment Trusts (0.2%)        
ERP Operating LP 4.500% 6/1/45 680 688
Federal Realty Investment Trust 4.500% 12/1/44 1,000 998
5 Omega Healthcare Investors Inc. 5.250% 1/15/26 4,989 5,189
5 Omega Healthcare Investors Inc. 4.500% 4/1/27 4,000 3,820
Simon Property Group LP 6.750% 2/1/40 10,700 14,227
Simon Property Group LP 4.250% 10/1/44 10,750 10,588
        3,207,575
Industrial (39.2%)        
Basic Industry (1.0%)        
BHP Billiton Finance USA Ltd. 4.125% 2/24/42 16,000 14,899
BHP Billiton Finance USA Ltd. 5.000% 9/30/43 35,650 37,433
CF Industries Inc. 5.375% 3/15/44 12,495 12,500
International Paper Co. 4.800% 6/15/44 13,440 12,452
Monsanto Co. 4.200% 7/15/34 1,000 917
Monsanto Co. 5.875% 4/15/38 3,000 3,270
Monsanto Co. 3.600% 7/15/42 600 477
Monsanto Co. 4.650% 11/15/43 600 564
Monsanto Co. 4.400% 7/15/44 24,630 22,107
Monsanto Co. 3.950% 4/15/45 1,000 846
Monsanto Co. 4.700% 7/15/64 1,500 1,275
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 500 562
PPG Industries Inc. 5.500% 11/15/40 1,225 1,374
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 8,894 9,050
Rio Tinto Finance USA plc 4.750% 3/22/42 1,400 1,359
Rio Tinto Finance USA plc 4.125% 8/21/42 24,175 21,471
 
Capital Goods (4.4%)        
3M Co. 5.700% 3/15/37 13,500 16,771
Boeing Co. 6.125% 2/15/33 22,065 28,027
Boeing Co. 7.875% 4/15/43 5,900 8,843
Caterpillar Inc. 6.050% 8/15/36 3,082 3,670
Caterpillar Inc. 3.803% 8/15/42 44,022 40,222
Caterpillar Inc. 4.300% 5/15/44 17,395 16,998
Danaher Corp. 3.350% 9/15/25 3,945 4,023
Danaher Corp. 4.375% 9/15/45 5,000 5,207
Deere & Co. 7.125% 3/3/31 15,000 19,697
Dover Corp. 6.600% 3/15/38 2,375 3,113
Emerson Electric Co. 6.000% 8/15/32 1,071 1,288
General Electric Co. 4.125% 10/9/42 13,425 13,175
General Electric Co. 4.500% 3/11/44 20,000 20,679
General Electric Capital Corp. 6.750% 3/15/32 35,708 46,796
General Electric Capital Corp. 6.150% 8/7/37 1,525 1,938
General Electric Capital Corp. 5.875% 1/14/38 35,584 43,827
General Electric Capital Corp. 6.875% 1/10/39 17,814 24,432
Honeywell International Inc. 5.700% 3/15/36 2,960 3,558
Honeywell International Inc. 5.700% 3/15/37 5,565 6,777
Lockheed Martin Corp. 3.600% 3/1/35 16,925 15,314
Lockheed Martin Corp. 6.150% 9/1/36 8,102 9,907
Lockheed Martin Corp. 5.500% 11/15/39 6,000 6,741
Lockheed Martin Corp. 4.850% 9/15/41 27,319 28,464
Lockheed Martin Corp. 4.070% 12/15/42 10,120 9,410
Lockheed Martin Corp. 3.800% 3/1/45 13,625 12,158
Raytheon Co. 4.700% 12/15/41 37,524 40,284
Rockwell Collins Inc. 4.800% 12/15/43 20,129 21,790

 

 

5 Siemens Financieringsmaatschappij NV 4.400% 5/27/45 2,000 2,093
United Technologies Corp. 7.500% 9/15/29 14,755 20,565
United Technologies Corp. 6.125% 7/15/38 55,575 69,230
United Technologies Corp. 5.700% 4/15/40 22,500 26,923
United Technologies Corp. 4.500% 6/1/42 23,785 24,337
WW Grainger Inc. 4.600% 6/15/45 15,690 16,632
 
Communication (4.9%)        
21st Century Fox America Inc. 6.400% 12/15/35 6,575 7,714
21st Century Fox America Inc. 7.900% 12/1/95 3,975 4,877
Alltel Corp. 7.875% 7/1/32 2,400 3,016
America Movil SAB de CV 6.375% 3/1/35 3,600 4,161
America Movil SAB de CV 6.125% 3/30/40 24,520 27,719
America Movil SAB de CV 4.375% 7/16/42 2,050 1,891
CC Holdings GS V LLC / Crown Castle GS III        
Corp. 3.849% 4/15/23 1,500 1,478
Comcast Corp. 4.250% 1/15/33 11,435 11,446
Comcast Corp. 7.050% 3/15/33 10,535 13,820
Comcast Corp. 4.200% 8/15/34 1,550 1,534
Comcast Corp. 5.650% 6/15/35 41,764 48,745
Comcast Corp. 6.450% 3/15/37 18,000 22,837
Comcast Corp. 6.950% 8/15/37 65,717 87,566
Comcast Corp. 6.400% 5/15/38 10,485 13,233
Comcast Corp. 6.550% 7/1/39 11,765 15,169
Comcast Corp. 6.400% 3/1/40 19,865 25,439
Comcast Corp. 4.650% 7/15/42 7,865 8,246
Comcast Corp. 4.500% 1/15/43 14,610 14,906
Comcast Corp. 4.750% 3/1/44 66,270 69,872
Comcast Corp. 4.600% 8/15/45 32,500 33,672
5 COX Communications Inc. 6.450% 12/1/36 9,000 8,967
5 COX Communications Inc. 8.375% 3/1/39 19,110 21,884
Deutsche Telekom International Finance BV 8.750% 6/15/30 17,730 25,289
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.350% 3/15/40 1,900 2,069
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.000% 8/15/40 1,000 1,037
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.150% 3/15/42 1,300 1,238
Grupo Televisa SAB 5.000% 5/13/45 1,500 1,367
Historic TW Inc. 6.625% 5/15/29 22,275 27,247
Moody's Corp. 5.250% 7/15/44 2,750 2,832
NBCUniversal Media LLC 6.400% 4/30/40 2,850 3,608
NBCUniversal Media LLC 5.950% 4/1/41 18,000 21,828
NBCUniversal Media LLC 4.450% 1/15/43 34,260 34,847
Orange SA 9.000% 3/1/31 12,000 17,445
Orange SA 5.500% 2/6/44 1,000 1,116
Qwest Corp. 6.875% 9/15/33 1,699 1,684
5 SES Global Americas Holdings GP 5.300% 3/25/44 1,000 979
Time Warner Cable Inc. 6.550% 5/1/37 20,475 20,755
Time Warner Inc. 7.625% 4/15/31 9,000 11,508
Verizon Communications Inc. 7.750% 12/1/30 1,000 1,360
Verizon Communications Inc. 5.850% 9/15/35 1,500 1,655
Verizon Communications Inc. 6.550% 9/15/43 1,098 1,324
Verizon Communications Inc. 4.862% 8/21/46 276 264
Verizon Communications Inc. 4.522% 9/15/48 47,371 42,324
Verizon Communications Inc. 5.012% 8/21/54 600 555
Verizon Communications Inc. 4.672% 3/15/55 945 827

 

 

Walt Disney Co. 7.550% 7/15/93 15,750 19,717
 
Consumer Cyclical (6.6%)        
5 Alibaba Group Holding Ltd. 4.500% 11/28/34 1,500 1,432
Brinker International Inc. 3.875% 5/15/23 2,000 1,940
Cummins Inc. 4.875% 10/1/43 1,400 1,499
CVS Health Corp. 4.875% 7/20/35 14,955 15,719
CVS Health Corp. 5.750% 5/15/41 7,110 8,188
CVS Health Corp. 5.125% 7/20/45 36,125 38,678
Daimler Finance North America LLC 8.500% 1/18/31 19,830 28,684
Ford Motor Co. 7.450% 7/16/31 18,700 24,019
Home Depot Inc. 5.875% 12/16/36 39,775 48,903
Home Depot Inc. 5.950% 4/1/41 20,470 25,950
Home Depot Inc. 4.200% 4/1/43 6,035 6,063
Home Depot Inc. 4.875% 2/15/44 68,200 75,753
Home Depot Inc. 4.400% 3/15/45 12,900 13,418
Home Depot Inc. 4.250% 4/1/46 27,120 27,483
Lowe's Cos. Inc. 6.500% 3/15/29 20,160 25,516
Lowe's Cos. Inc. 5.500% 10/15/35 600 696
Lowe's Cos. Inc. 5.800% 10/15/36 2,060 2,477
Lowe's Cos. Inc. 6.650% 9/15/37 12,497 16,269
Lowe's Cos. Inc. 5.800% 4/15/40 11,390 13,721
Lowe's Cos. Inc. 4.650% 4/15/42 1,250 1,320
Lowe's Cos. Inc. 5.000% 9/15/43 23,740 26,292
Lowe's Cos. Inc. 4.250% 9/15/44 800 797
Lowe's Cos. Inc. 4.375% 9/15/45 4,165 4,244
McDonald's Corp. 6.300% 10/15/37 15,765 18,923
McDonald's Corp. 6.300% 3/1/38 26,940 32,139
McDonald's Corp. 5.700% 2/1/39 550 623
NIKE Inc. 3.625% 5/1/43 30,604 28,547
NIKE Inc. 3.875% 11/1/45 25,000 24,450
Starbucks Corp. 4.300% 6/15/45 500 519
Target Corp. 6.500% 10/15/37 18,673 24,529
Target Corp. 7.000% 1/15/38 1,100 1,522
Target Corp. 4.000% 7/1/42 1,000 973
VF Corp. 6.450% 11/1/37 726 943
Wal-Mart Stores Inc. 7.550% 2/15/30 49,000 68,932
Wal-Mart Stores Inc. 5.250% 9/1/35 4,789 5,530
Wal-Mart Stores Inc. 6.500% 8/15/37 37,190 48,987
Wal-Mart Stores Inc. 6.200% 4/15/38 83,350 105,700
Wal-Mart Stores Inc. 5.625% 4/1/40 10,000 12,021
Wal-Mart Stores Inc. 4.875% 7/8/40 20,000 21,828
Wal-Mart Stores Inc. 5.000% 10/25/40 16,855 18,812
Wal-Mart Stores Inc. 5.625% 4/15/41 72,682 87,215
Wal-Mart Stores Inc. 4.000% 4/11/43 24,345 23,627
Wal-Mart Stores Inc. 4.750% 10/2/43 8,900 9,666
Wal-Mart Stores Inc. 4.300% 4/22/44 1,000 1,025
 
Consumer Noncyclical (11.8%)        
Abbott Laboratories 6.000% 4/1/39 11,105 13,700
Actavis Funding SCS 4.550% 3/15/35 27,125 25,941
Actavis Funding SCS 4.750% 3/15/45 11,270 10,793
Altria Group Inc. 9.950% 11/10/38 1,408 2,299
Altria Group Inc. 5.375% 1/31/44 1,250 1,364
Amgen Inc. 6.375% 6/1/37 4,000 4,702
Anheuser-Busch Cos. LLC 6.750% 12/15/27 400 506
Anheuser-Busch Cos. LLC 6.800% 8/20/32 500 627

 

 

Anheuser-Busch Cos. LLC 5.750% 4/1/36 11,460 12,992
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 14,885 13,165
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 39,500 55,754
Anheuser-Busch InBev Worldwide Inc. 8.000% 11/15/39 10,000 13,935
Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 14,844 17,545
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 27,995 23,777
Archer-Daniels-Midland Co. 4.535% 3/26/42 500 532
Archer-Daniels-Midland Co. 4.016% 4/16/43 7,009 6,877
6 Ascension Health 4.847% 11/15/53 10,040 10,672
AstraZeneca plc 6.450% 9/15/37 49,200 64,201
5 Baxalta Inc. 5.250% 6/23/45 1,000 1,015
Becton Dickinson & Co. 7.000% 8/1/27 800 1,015
Biogen Inc. 5.200% 9/15/45 2,000 2,011
Bristol-Myers Squibb Co. 3.250% 8/1/42 4,500 3,888
Bristol-Myers Squibb Co. 4.500% 3/1/44 22,500 24,189
Cardinal Health Inc. 4.500% 11/15/44 18,770 18,087
Cardinal Health Inc. 4.900% 9/15/45 5,010 5,185
5 Cargill Inc. 6.125% 4/19/34 200 239
5 Cargill Inc. 6.125% 9/15/36 27,045 32,860
5 Cargill Inc. 6.625% 9/15/37 5,590 7,342
5 Cargill Inc. 4.100% 11/1/42 15,500 14,396
6 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 19,400 17,811
Children's Hospital Medical Center Ohio GO 4.268% 5/15/44 500 484
City of Hope 5.623% 11/15/43 12,480 14,092
Cleveland Clinic Foundation Ohio Revenue 4.858% 1/1/14 4,000 3,795
Coca-Cola Femsa SAB de CV 5.250% 11/26/43 1,200 1,305
ConAgra Foods Inc. 4.650% 1/25/43 2,246 2,012
Diageo Investment Corp. 4.250% 5/11/42 500 495
Dignity Health California GO 4.500% 11/1/42 19,865 18,877
Dignity Health California GO 5.267% 11/1/64 800 830
Eli Lilly & Co. 3.700% 3/1/45 27,670 25,963
Estee Lauder Cos. Inc. 4.375% 6/15/45 1,500 1,533
General Mills Inc. 5.400% 6/15/40 800 892
Gilead Sciences Inc. 4.600% 9/1/35 12,525 12,718
Gilead Sciences Inc. 5.650% 12/1/41 24,915 28,403
Gilead Sciences Inc. 4.800% 4/1/44 26,555 26,961
Gilead Sciences Inc. 4.500% 2/1/45 24,580 23,909
Gilead Sciences Inc. 4.750% 3/1/46 19,655 19,903
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 18,497 21,135
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 54,845 70,213
5 Grupo Bimbo SAB de CV 4.875% 6/27/44 3,000 2,720
JM Smucker Co. 4.250% 3/15/35 7,805 7,671
JM Smucker Co. 4.375% 3/15/45 3,250 3,183
Johnson & Johnson 5.950% 8/15/37 1,462 1,894
Johnson & Johnson 4.500% 9/1/40 12,015 13,191
Johnson & Johnson 4.500% 12/5/43 5,725 6,306
Kaiser Foundation Hospitals 4.875% 4/1/42 28,625 30,174
Kimberly-Clark Corp. 6.625% 8/1/37 7,300 9,654
Kraft Foods Group Inc. 6.875% 1/26/39 1,300 1,626
5 Kraft Heinz Foods Co. 5.200% 7/15/45 8,490 8,952
6 Mayo Clinic 3.774% 11/15/43 13,095 11,897
McKesson Corp. 4.883% 3/15/44 18,395 18,884
Mead Johnson Nutrition Co. 4.600% 6/1/44 1,500 1,381
Medtronic Inc. 4.375% 3/15/35 45,792 47,451
Medtronic Inc. 6.500% 3/15/39 21,200 26,923
Medtronic Inc. 5.550% 3/15/40 1,900 2,208
Medtronic Inc. 4.500% 3/15/42 9,000 9,165

 

 

Medtronic Inc. 4.625% 3/15/44 2,000 2,088
Medtronic Inc. 4.625% 3/15/45 91,735 96,808
Memorial Sloan-Kettering Cancer Center 4.200% 7/1/55 4,675 4,432
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 24,775 27,252
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 11,285 10,355
Merck & Co. Inc. 3.600% 9/15/42 11,567 10,788
Merck & Co. Inc. 4.150% 5/18/43 7,900 7,834
Merck & Co. Inc. 3.700% 2/10/45 44,720 41,030
New York & Presbyterian Hospital 4.024% 8/1/45 19,585 18,488
North Shore-Long Island Jewish Health Care        
Inc. Revenue 4.800% 11/1/42 8,265 8,092
North Shore-Long Island Jewish Health Care        
Inc. Revenue 6.150% 11/1/43 20,550 24,469
Novant Health Inc. 4.371% 11/1/43 552 530
Novartis Capital Corp. 4.400% 5/6/44 29,840 32,062
NYU Hospitals Center 4.784% 7/1/44 2,000 2,010
PepsiCo Inc. 5.500% 1/15/40 28,145 32,996
PepsiCo Inc. 4.875% 11/1/40 10,375 11,230
PepsiCo Inc. 4.000% 3/5/42 17,872 17,273
PepsiCo Inc. 3.600% 8/13/42 1,000 907
PepsiCo Inc. 4.450% 4/14/46 1,000 1,025
Pfizer Inc. 7.200% 3/15/39 44,462 61,369
Pfizer Inc. 4.300% 6/15/43 15,300 15,125
Pharmacia Corp. 6.750% 12/15/27 2,200 2,789
Philip Morris International Inc. 6.375% 5/16/38 32,015 40,664
Philip Morris International Inc. 4.125% 3/4/43 10,500 10,154
Philip Morris International Inc. 4.875% 11/15/43 23,855 25,623
Philip Morris International Inc. 4.250% 11/10/44 27,775 27,222
Procter & Gamble Co. 5.500% 2/1/34 13,500 16,297
Procter & Gamble Co. 5.550% 3/5/37 12,650 15,504
5 Reynolds American Inc. 7.000% 8/4/41 5,119 5,971
Reynolds American Inc. 5.850% 8/15/45 13,565 15,043
5 Roche Holdings Inc. 4.000% 11/28/44 29,605 29,953
5 SABMiller Holdings Inc. 4.950% 1/15/42 4,825 4,866
5 SC Johnson & Son Inc. 4.000% 5/15/43 21,645 20,167
5 SC Johnson & Son Inc. 4.750% 10/15/46 7,695 7,934
Southern Baptist Hospital of Florida Inc. 4.857% 7/15/45 1,000 1,023
St. Jude Medical Inc. 4.750% 4/15/43 35,090 34,867
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 2,466 2,730
6 Texas Health Resources 4.330% 11/15/55 1,000 969
The Pepsi Bottling Group Inc. 7.000% 3/1/29 12,000 16,218
Tyson Foods Inc. 4.875% 8/15/34 2,000 2,043
Tyson Foods Inc. 5.150% 8/15/44 1,500 1,576
Wyeth LLC 6.500% 2/1/34 1,310 1,654
Wyeth LLC 6.000% 2/15/36 2,047 2,428
Wyeth LLC 5.950% 4/1/37 68,185 81,137
 
Energy (4.4%)        
Apache Corp. 4.750% 4/15/43 24,175 22,455
Baker Hughes Inc. 5.125% 9/15/40 2,375 2,406
Burlington Resources Finance Co. 7.400% 12/1/31 23,500 30,268
ConocoPhillips 7.000% 3/30/29 10,850 13,255
ConocoPhillips 5.900% 10/15/32 19,600 22,446
ConocoPhillips 6.500% 2/1/39 63,451 77,522
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 1,500 1,741

 

 

ConocoPhillips Co. 4.300% 11/15/44 14,255 13,636
Diamond Offshore Drilling Inc. 5.700% 10/15/39 500 401
Diamond Offshore Drilling Inc. 4.875% 11/1/43 2,750 1,939
Dominion Gas Holdings LLC 4.800% 11/1/43 1,575 1,537
Encana Corp. 6.500% 8/15/34 13,863 12,701
Encana Corp. 5.150% 11/15/41 7,645 5,979
Energy Transfer Partners LP 6.050% 6/1/41 1,500 1,338
Energy Transfer Partners LP 5.150% 2/1/43 12,825 10,147
Energy Transfer Partners LP 5.150% 3/15/45 20,000 15,908
6 Enterprise Products Operating LLC 8.375% 8/1/66 1,835 1,803
EOG Resources Inc. 3.900% 4/1/35 500 485
Exxon Mobil Corp. 3.567% 3/6/45 32,755 31,346
Halliburton Co. 6.700% 9/15/38 500 614
Halliburton Co. 7.450% 9/15/39 500 660
Halliburton Co. 4.500% 11/15/41 1,200 1,152
Halliburton Co. 4.750% 8/1/43 2,450 2,430
Kinder Morgan Inc. 5.550% 6/1/45 15,210 12,899
National Oilwell Varco Inc. 3.950% 12/1/42 1,000 812
Occidental Petroleum Corp. 4.625% 6/15/45 2,000 2,063
Petro-Canada 6.800% 5/15/38 22,828 28,284
Phillips 66 Partners LP 3.605% 2/15/25 80 74
Shell International Finance BV 4.125% 5/11/35 40,000 40,418
Shell International Finance BV 6.375% 12/15/38 43,260 54,642
Shell International Finance BV 5.500% 3/25/40 20,955 24,116
Shell International Finance BV 4.550% 8/12/43 16,840 17,332
Shell International Finance BV 4.375% 5/11/45 45,175 45,534
Suncor Energy Inc. 3.600% 12/1/24 4,855 4,845
Suncor Energy Inc. 6.500% 6/15/38 11,410 13,840
Suncor Energy Inc. 6.850% 6/1/39 6,535 8,148
Tosco Corp. 7.800% 1/1/27 1,500 1,931
Tosco Corp. 8.125% 2/15/30 20,000 27,330
TransCanada PipeLines Ltd. 4.625% 3/1/34 5,000 4,808
TransCanada PipeLines Ltd. 6.200% 10/15/37 1,500 1,702
TransCanada PipeLines Ltd. 7.625% 1/15/39 49,100 64,415
TransCanada PipeLines Ltd. 6.100% 6/1/40 1,900 2,139
Transocean Inc. 7.500% 4/15/31 500 335
 
Other Industrial (0.6%)        
6 Massachusetts Institute of Technology GO 3.959% 7/1/38 25,200 25,969
Massachusetts Institute of Technology GO 5.600% 7/1/11 1,100 1,361
6 Northwestern University 3.868% 12/1/48 21,605 20,899
6 Northwestern University Illinois GO 4.643% 12/1/44 25,315 27,988
5 President & Fellows of Harvard College        
Massachusetts GO 6.500% 1/15/39 3,865 5,301
 
Technology (5.5%)        
Apple Inc. 3.850% 5/4/43 42,755 39,594
Apple Inc. 4.450% 5/6/44 12,055 12,130
Apple Inc. 3.450% 2/9/45 40,360 34,727
Apple Inc. 4.375% 5/13/45 41,430 41,248
Applied Materials Inc. 5.850% 6/15/41 1,150 1,246
Broadcom Corp. 4.500% 8/1/34 500 500
Cisco Systems Inc. 5.900% 2/15/39 37,500 45,817
Cisco Systems Inc. 5.500% 1/15/40 34,725 40,768
5 Hewlett Packard Enterprise Co. 2.850% 10/5/18 15,695 15,727
Intel Corp. 4.800% 10/1/41 23,180 24,086
Intel Corp. 4.250% 12/15/42 1,000 967

 

 

Intel Corp. 4.900% 7/29/45 19,325 20,188
International Business Machines Corp. 7.000% 10/30/25 20,625 26,695
International Business Machines Corp. 4.000% 6/20/42 23,900 21,535
Microsoft Corp. 3.500% 2/12/35 31,235 29,023
Microsoft Corp. 4.200% 11/3/35 1,500 1,514
Microsoft Corp. 4.500% 10/1/40 1,900 1,996
Microsoft Corp. 5.300% 2/8/41 15,000 17,216
Microsoft Corp. 3.500% 11/15/42 1,750 1,571
Microsoft Corp. 3.750% 5/1/43 10,000 9,146
Microsoft Corp. 4.875% 12/15/43 500 537
Microsoft Corp. 3.750% 2/12/45 71,860 65,965
Microsoft Corp. 4.450% 11/3/45 37,860 38,481
Microsoft Corp. 4.000% 2/12/55 11,075 9,943
Microsoft Corp. 4.750% 11/3/55 37,375 37,835
Oracle Corp. 4.300% 7/8/34 3,500 3,490
Oracle Corp. 3.900% 5/15/35 6,000 5,714
Oracle Corp. 6.500% 4/15/38 40,833 52,149
Oracle Corp. 6.125% 7/8/39 19,559 23,414
Oracle Corp. 5.375% 7/15/40 43,160 48,209
Oracle Corp. 4.500% 7/8/44 2,000 2,006
Oracle Corp. 4.125% 5/15/45 32,500 30,713
Oracle Corp. 4.375% 5/15/55 37,000 34,965
QUALCOMM Inc. 3.450% 5/20/25 19,550 18,861
QUALCOMM Inc. 4.650% 5/20/35 26,310 24,269
QUALCOMM Inc. 4.800% 5/20/45 2,000 1,759
Tyco Electronics Group SA 7.125% 10/1/37 525 674
Verisk Analytics Inc. 5.500% 6/15/45 2,000 1,912
 
Transportation (0.9%)        
Burlington Northern Santa Fe LLC 5.750% 5/1/40 18,888 21,750
Canadian Pacific Railway Co. 7.125% 10/15/31 2,013 2,549
CSX Corp. 4.400% 3/1/43 12,410 11,985
5 ERAC USA Finance LLC 7.000% 10/15/37 11,771 14,504
FedEx Corp. 3.900% 2/1/35 9,070 8,285
Union Pacific Corp. 3.375% 2/1/35 750 686
Union Pacific Corp. 4.750% 9/15/41 2,000 2,182
Union Pacific Corp. 4.750% 12/15/43 20,510 22,498
Union Pacific Corp. 4.821% 2/1/44 12,000 13,349
Union Pacific Corp. 4.150% 1/15/45 1,500 1,500
Union Pacific Corp. 4.375% 11/15/65 9,545 9,087
United Parcel Service Inc. 6.200% 1/15/38 9,250 12,028
United Parcel Service Inc. 4.875% 11/15/40 2,700 3,020
United Parcel Service Inc. 3.625% 10/1/42 6,790 6,381
        5,576,054
Utilities (13.0%)        
Electric (13.0%)        
Alabama Power Co. 6.000% 3/1/39 4,875 5,899
Alabama Power Co. 5.500% 3/15/41 26,943 31,164
Alabama Power Co. 5.200% 6/1/41 15,000 16,752
Alabama Power Co. 3.750% 3/1/45 22,325 20,598
Appalachian Power Co. 6.700% 8/15/37 38,600 47,913
Baltimore Gas & Electric Co. 6.350% 10/1/36 1,230 1,548
Berkshire Hathaway Energy Co. 6.125% 4/1/36 16,300 19,587
Berkshire Hathaway Energy Co. 5.150% 11/15/43 10,000 10,967
Berkshire Hathaway Energy Co. 4.500% 2/1/45 20,675 20,751
CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 15,775 14,321
Commonwealth Edison Co. 5.900% 3/15/36 2,120 2,573

 

 

Commonwealth Edison Co. 3.800% 10/1/42 20,805 19,723
Commonwealth Edison Co. 4.600% 8/15/43 12,560 13,332
Commonwealth Edison Co. 4.700% 1/15/44 15,955 17,178
Commonwealth Edison Co. 3.700% 3/1/45 15,990 14,720
Connecticut Light & Power Co. 6.350% 6/1/36 14,500 18,762
Connecticut Light & Power Co. 4.300% 4/15/44 940 963
Connecticut Light & Power Co. 4.150% 6/1/45 8,445 8,500
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 730 785
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 12,117
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 12,127 14,911
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 17,041
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 7,050 8,181
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,995 9,586
Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,250 10,134
Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 10,935 10,515
Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 48,300 49,626
Consolidated Edison Co. of New York Inc. 4.625% 12/1/54 8,060 8,167
Delmarva Power & Light Co. 4.000% 6/1/42 1,000 962
Dominion Resources Inc. 4.700% 12/1/44 18,505 18,326
DTE Electric Co. 6.625% 6/1/36 1,910 2,524
DTE Electric Co. 4.000% 4/1/43 1,000 978
Duke Energy Carolinas LLC 6.450% 10/15/32 8,200 10,281
Duke Energy Carolinas LLC 6.100% 6/1/37 52,400 64,379
Duke Energy Carolinas LLC 6.050% 4/15/38 2,440 3,067
Duke Energy Carolinas LLC 5.300% 2/15/40 4,900 5,747
Duke Energy Carolinas LLC 4.250% 12/15/41 16,200 16,556
Duke Energy Carolinas LLC 4.000% 9/30/42 42,242 41,545
Duke Energy Florida Inc. 6.750% 2/1/28 1,800 2,092
Duke Energy Florida LLC 6.400% 6/15/38 1,000 1,303
Duke Energy Florida LLC 5.650% 4/1/40 11,860 14,445
Duke Energy Indiana Inc. 6.120% 10/15/35 2,723 3,336
Duke Energy Indiana Inc. 6.350% 8/15/38 500 647
Duke Energy Indiana Inc. 6.450% 4/1/39 9,100 11,950
Duke Energy Indiana Inc. 4.200% 3/15/42 12,700 12,656
Duke Energy Indiana Inc. 4.900% 7/15/43 28,610 31,511
Duke Energy Progress LLC 4.100% 5/15/42 1,250 1,248
Duke Energy Progress LLC 4.100% 3/15/43 15,000 14,849
Duke Energy Progress LLC 4.375% 3/30/44 1,000 1,040
Duke Energy Progress LLC 4.200% 8/15/45 17,560 17,832
5 Enel Finance International NV 6.000% 10/7/39 1,000 1,138
Entergy Louisiana LLC 4.950% 1/15/45 1,105 1,124
5 FirstEnergy Transmission LLC 4.350% 1/15/25 850 870
5 FirstEnergy Transmission LLC 5.450% 7/15/44 2,000 2,058
Florida Power & Light Co. 5.960% 4/1/39 15,100 19,136
Florida Power & Light Co. 5.690% 3/1/40 700 873
Florida Power & Light Co. 5.250% 2/1/41 21,662 25,323
Florida Power & Light Co. 5.125% 6/1/41 437 503
Florida Power & Light Co. 4.125% 2/1/42 11,265 11,343
Florida Power & Light Co. 3.800% 12/15/42 26,975 25,820
Florida Power & Light Co. 4.050% 10/1/44 10,825 10,877
Georgia Power Co. 5.950% 2/1/39 29,827 33,998
Georgia Power Co. 5.400% 6/1/40 10,100 10,769
Georgia Power Co. 4.750% 9/1/40 21,685 21,585
Georgia Power Co. 4.300% 3/15/42 9,982 9,294
Georgia Power Co. 4.300% 3/15/43 1,818 1,669
6 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 22,609 24,720
Kentucky Utilities Co. 5.125% 11/1/40 1,000 1,139

 

 

Kentucky Utilities Co. 4.650% 11/15/43 1,000 1,077
MidAmerican Energy Co. 5.800% 10/15/36 500 609
MidAmerican Energy Co. 4.800% 9/15/43 28,300 31,163
MidAmerican Energy Co. 4.250% 5/1/46 3,895 3,968
National Rural Utilities Cooperative Finance        
Corp. 4.023% 11/1/32 34,509 34,263
Nevada Power Co. 6.650% 4/1/36 5,830 7,472
Nevada Power Co. 5.375% 9/15/40 18,230 20,626
Nevada Power Co. 5.450% 5/15/41 25,120 28,755
Northern States Power Co. 6.200% 7/1/37 27,900 36,152
Oglethorpe Power Corp. 5.375% 11/1/40 2,000 2,166
Oklahoma Gas & Electric Co. 6.500% 4/15/28 300 360
Oklahoma Gas & Electric Co. 4.550% 3/15/44 500 514
Pacific Gas & Electric Co. 6.050% 3/1/34 44,041 53,104
Pacific Gas & Electric Co. 5.800% 3/1/37 900 1,065
Pacific Gas & Electric Co. 6.350% 2/15/38 8,192 10,294
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 44,730
Pacific Gas & Electric Co. 5.400% 1/15/40 19,495 22,310
Pacific Gas & Electric Co. 4.500% 12/15/41 700 713
Pacific Gas & Electric Co. 5.125% 11/15/43 1,700 1,891
Pacific Gas & Electric Co. 4.750% 2/15/44 24,005 25,429
PacifiCorp 5.250% 6/15/35 1,301 1,473
PacifiCorp 6.100% 8/1/36 15,000 18,605
PacifiCorp 6.250% 10/15/37 7,815 9,860
PacifiCorp 6.350% 7/15/38 20,000 25,624
PacifiCorp 6.000% 1/15/39 32,446 40,206
PacifiCorp 4.100% 2/1/42 24,520 24,086
Peco Energy Co. 4.800% 10/15/43 15,530 17,022
Potomac Electric Power Co. 6.500% 11/15/37 1,225 1,609
Potomac Electric Power Co. 7.900% 12/15/38 150 226
Potomac Electric Power Co. 4.150% 3/15/43 2,000 1,993
PPL Electric Utilities Corp. 6.250% 5/15/39 10,975 14,081
PPL Electric Utilities Corp. 5.200% 7/15/41 1,250 1,434
PSEG Power LLC 8.625% 4/15/31 200 270
Public Service Co. of Colorado 3.600% 9/15/42 15,055 13,924
Public Service Electric & Gas Co. 3.650% 9/1/42 22,483 20,943
Public Service Electric & Gas Co. 4.000% 6/1/44 700 688
Puget Sound Energy Inc. 6.724% 6/15/36 10,000 13,472
Puget Sound Energy Inc. 6.274% 3/15/37 500 644
Puget Sound Energy Inc. 5.757% 10/1/39 1,100 1,351
Puget Sound Energy Inc. 5.795% 3/15/40 18,130 22,412
Puget Sound Energy Inc. 5.764% 7/15/40 500 617
Puget Sound Energy Inc. 4.300% 5/20/45 400 411
South Carolina Electric & Gas Co. 6.625% 2/1/32 35,000 43,819
South Carolina Electric & Gas Co. 6.050% 1/15/38 10,600 12,637
South Carolina Electric & Gas Co. 5.450% 2/1/41 300 340
South Carolina Electric & Gas Co. 4.350% 2/1/42 32,687 32,074
South Carolina Electric & Gas Co. 4.600% 6/15/43 300 302
South Carolina Electric & Gas Co. 4.500% 6/1/64 19,430 18,330
Southern California Edison Co. 6.000% 1/15/34 19,095 23,626
Southern California Edison Co. 5.950% 2/1/38 16,100 20,087
Southern California Edison Co. 6.050% 3/15/39 845 1,060
Southern California Edison Co. 4.500% 9/1/40 12,000 12,605
Southern California Edison Co. 3.900% 12/1/41 500 481
Southern California Edison Co. 4.050% 3/15/42 800 793
Southern California Edison Co. 3.900% 3/15/43 18,480 17,752
Southern California Edison Co. 4.650% 10/1/43 29,150 31,689

 

 

Southwestern Public Service Co. 4.500% 8/15/41 22,555 23,607
Tampa Electric Co. 6.150% 5/15/37 36,000 45,105
Tampa Electric Co. 4.100% 6/15/42 1,010 987
Virginia Electric & Power Co. 6.000% 5/15/37 57,330 72,032
Virginia Electric & Power Co. 6.350% 11/30/37 2,000 2,624
Virginia Electric & Power Co. 4.650% 8/15/43 1,140 1,245
Westar Energy Inc. 4.125% 3/1/42 1,175 1,172
Westar Energy Inc. 4.625% 9/1/43 1,300 1,392
Wisconsin Public Service Corp. 4.752% 11/1/44 17,500 19,293
 
Natural Gas (0.0%)        
Atmos Energy Corp. 4.150% 1/15/43 1,500 1,447
Atmos Energy Corp. 4.125% 10/15/44 1,000 976
Southern California Gas Co. 5.125% 11/15/40 2,922 3,382
 
Other Utility (0.0%)        
American Water Capital Corp. 6.593% 10/15/37 1,800 2,358
American Water Capital Corp. 4.300% 9/1/45 500 516
 
        1,855,170
Total Corporate Bonds (Cost $9,898,824)       10,638,799
Sovereign Bonds (U.S. Dollar-Denominated) (1.9%)        
5 CDP Financial Inc. 5.600% 11/25/39 15,000 18,168
5 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 700 831
5 Corp Nacional del Cobre de Chile 4.500% 9/16/25 23,015 22,805
Ecopetrol SA 5.875% 5/28/45 1,050 856
5 Electricite de France SA 6.950% 1/26/39 19,740 25,001
5 Electricite de France SA 4.875% 1/22/44 18,730 18,809
5 Electricite de France SA 4.950% 10/13/45 25,100 24,896
5 Electricite de France SA 6.000% 1/22/14 2,280 2,296
Export-Import Bank of Korea 3.250% 8/12/26 5,000 5,002
Federative Republic of Brazil 4.875% 1/22/21 300 295
Federative Republic of Brazil 8.250% 1/20/34 1,000 1,065
5 OCP SA 5.625% 4/25/24 275 287
6 Oriental Republic of Uruguay 4.375% 10/27/27 220 219
6 Oriental Republic of Uruguay 5.100% 6/18/50 1,325 1,192
Pertamina Persero PT 6.000% 5/3/42 650 565
5 Pertamina Persero PT 6.450% 5/30/44 300 283
Petrobras International Finance Co. SA 6.875% 1/20/40 1,615 1,159
Petroleos Mexicanos 5.500% 1/21/21 2,250 2,401
Petroleos Mexicanos 4.875% 1/24/22 4,800 4,900
5 Petroleos Mexicanos 5.625% 1/23/46 1,200 1,038
Quebec 7.500% 9/15/29 9,000 13,095
7 Republic of Chile 1.875% 5/27/30 3,500 3,682
6 Republic of Colombia 4.500% 1/28/26 700 696
Republic of Colombia 6.125% 1/18/41 825 858
6 Republic of Colombia 5.625% 2/26/44 138 135
6 Republic of Colombia 5.000% 6/15/45 760 680
Republic of Indonesia 4.125% 1/15/25 765 747
5 Republic of Indonesia 6.625% 2/17/37 200 222
Republic of Indonesia 6.625% 2/17/37 1,400 1,536
5 Republic of Indonesia 6.750% 1/15/44 950 1,069
Republic of Kazakhstan 4.875% 10/14/44 780 640
Republic of Kazakhstan 6.500% 7/21/45 1,050 1,024
Republic of Namibia 5.250% 10/29/25 345 342
Republic of Peru 4.125% 8/25/27 500 505

 

 

Republic of Peru 5.625% 11/18/50 250 268
Republic of Poland 5.125% 4/21/21 3,200 3,621
Republic of Poland 4.000% 1/22/24 5,000 5,330
Republic of Romania 4.375% 8/22/23 500 526
7 Republic of Romania 2.750% 10/29/25 500 557
Republic of Turkey 5.625% 3/30/21 1,100 1,187
Republic of Turkey 4.875% 4/16/43 3,550 3,201
5 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 2,000 2,052
State of Israel 4.500% 1/30/43 3,000 3,029
Statoil ASA 5.100% 8/17/40 15,050 16,734
Statoil ASA 4.250% 11/23/41 6,400 6,294
Statoil ASA 3.950% 5/15/43 29,310 27,497
Statoil ASA 4.800% 11/8/43 18,740 20,075
5 Temasek Financial I Ltd. 3.375% 7/23/42 23,355 21,561
United Mexican States 4.000% 10/2/23 200 207
United Mexican States 4.750% 3/8/44 1,275 1,218
United Mexican States 5.750% 10/12/10 600 590
Total Sovereign Bonds (Cost $266,992)       271,246
Taxable Municipal Bonds (15.1%)        
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.420% 5/1/21 1,000 1,036
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.620% 5/1/22 1,930 2,020
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 53,500 62,171
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 12,420 15,381
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 44,640 59,018
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 25,730 34,364
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 13,775 19,085
California GO 7.500% 4/1/34 26,555 37,715
California GO 7.550% 4/1/39 55,350 81,843
California GO 7.300% 10/1/39 105,545 149,519
California GO 7.350% 11/1/39 3,645 5,195
California GO 7.625% 3/1/40 30,135 44,562
California GO 7.600% 11/1/40 69,320 103,732
California Public Works Board Lease Revenue        
(Various Capital Projects) 8.361% 10/1/34 1,200 1,717
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 15,710 19,527
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 4,535 5,137
Chicago Transit Authority 6.899% 12/1/40 980 1,110
8 Commonwealth Financing Authority        
Pennsylvania Revenue 5.197% 6/1/26 19,975 21,874
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 200 261
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 755 884
District of Columbia Water & Sewer Authority        
Public Utility Revenue 4.814% 10/1/14 2,000 2,005
Duke University North Carolina Revenue 5.850% 4/1/37 30,450 37,865
George Washington University District of        
Columbia GO 4.300% 9/15/44 3,000 2,865
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 39,000 46,532

 

 

Grand Parkway Transportation Corp. Texas        
System Toll Revenue 5.184% 10/1/42 1,500 1,803
Houston TX GO 6.290% 3/1/32 24,190 29,663
2 Illinois GO 5.100% 6/1/33 154,680 142,496
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 19,300 24,095
Kansas Development Finance Authority        
Revenue 4.727% 4/15/37 2,500 2,468
Kansas Development Finance Authority        
Revenue 4.927% 4/15/45 26,000 25,573
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 400 482
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 4,885 6,037
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 31,480 42,955
Los Angeles CA Department of Water &        
Power Revenue 6.603% 7/1/50 1,900 2,601
Los Angeles CA Unified School District GO 5.755% 7/1/29 19,500 22,982
Los Angeles CA Unified School District GO 5.750% 7/1/34 10,815 13,038
Los Angeles CA Unified School District GO 6.758% 7/1/34 61,235 80,724
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.735% 6/1/39 15,100 18,549
Mississippi GO 5.539% 10/1/29 1,500 1,756
9 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 50,002 56,540
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 52,934 74,375
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 62,755 85,535
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.724% 6/15/42 12,780 15,928
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.952% 6/15/42 18,210 23,327
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.011% 6/15/42 6,980 9,000
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.282% 6/15/42 7,225 8,287
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 32,580 41,722
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.508% 8/1/37 2,875 3,464
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 66,105 96,267
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 5,950 7,529
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.289% 3/15/33 7,325 8,483
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.628% 3/15/39 19,595 23,730
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.600% 3/15/40 2,000 2,448
New York State GO 5.590% 3/1/35 1,000 1,176
North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 26,971 36,556
Ohio State University General Receipts        
Revenue 4.910% 6/1/40 12,300 13,965
Ohio State University General Receipts        
Revenue 4.800% 6/1/11 20,231 19,821

 

 

  Oregon GO 5.892% 6/1/27 14,590 17,691
10 Oregon School Boards Association GO 4.759% 6/30/28 10,000 11,098
  Port Authority of New York & New Jersey        
  Revenue 6.040% 12/1/29 20,335 24,744
  Port Authority of New York & New Jersey        
  Revenue 5.647% 11/1/40 15,250 18,106
  Port Authority of New York & New Jersey        
  Revenue 5.647% 11/1/40 21,245 25,223
  Port Authority of New York & New Jersey        
  Revenue 4.960% 8/1/46 2,000 2,161
  Port Authority of New York & New Jersey        
  Revenue 5.310% 8/1/46 9,260 9,845
  Port Authority of New York & New Jersey        
  Revenue 4.926% 10/1/51 25,005 26,576
  Port Authority of New York & New Jersey        
  Revenue 4.458% 10/1/62 34,890 33,591
2 President & Fellows of Harvard College        
  Massachusetts GO 6.300% 10/1/37 52,593 53,711
  San Antonio TX Electric & Gas Systems        
  Revenue 5.985% 2/1/39 10,450 13,367
  San Antonio TX Electric & Gas Systems        
  Revenue 4.427% 2/1/42 13,370 14,182
  San Francisco CA City & County Public        
  Utilities Commission Water Revenue 6.950% 11/1/50 1,400 1,966
  Texas Transportation Commission Revenue 5.178% 4/1/30 3,690 4,358
  University of California 3.931% 5/15/45 17,840 17,511
  University of California Regents General        
  Revenue 4.601% 5/15/31 11,165 11,941
  University of California Regents Medical        
  Center Revenue 6.548% 5/15/48 25,770 33,415
  University of California Regents Medical        
  Center Revenue 6.583% 5/15/49 8,695 11,327
  University of California Revenue 5.770% 5/15/43 5,155 6,336
  University of California Revenue 4.765% 5/15/44 9,290 9,483
  University of California Revenue 4.858% 5/15/12 31,025 29,679
  University of California Revenue 4.767% 5/15/15 14,875 13,964
  University of Texas System Revenue        
  Financing System Revenue 5.262% 7/1/39 11,500 13,990
  University of Texas System Revenue        
  Financing System Revenue 4.794% 8/15/46 8,915 10,232
  Washington GO 5.481% 8/1/39 8,890 10,827
  Washington University Revenue 4.072% 10/15/44 1,000 1,052
8 Wisconsin GO 5.700% 5/1/26 23,025 26,975
Total Taxable Municipal Bonds (Cost $1,894,183)       2,152,144

 

 

      Shares  
Temporary Cash Investments (5.1%)        
Money Market Fund (1.1%)        
11 Vanguard Market Liquidity Fund 0.207%   161,097,595 161,097
 
      Face  
      Amount  
      ($000)  
Repurchase Agreements (4.0%)        
Bank of America Securities, LLC        
(Dated 10/30/15, Repurchase Value        
$136,801,000, collateralized by        
Government National Mortgage Assn.,        
3.000%-4.000%, 2/20/45-8/20/45, with a        
value of $139,536,000) 0.080% 11/2/15 136,800 136,800
Bank of Montreal        
(Dated 10/30/15, Repurchase Value        
$61,100,000, collateralized by Federal        
National Mortgage Assn. 3.500%-4.500%,        
11/1/19-10/1/35, and Federal Home Loan        
Mortgage Corp. 3.000%, 4/1/30-5/1/35, with        
a value of $62,322,000) 0.080% 11/2/15 61,100 61,100
Barclays Capital Inc.        
(Dated 10/30/15, Repurchase Value        
$124,001,000, collateralized by U.S.        
Treasury Note/Bond 0.250%-8.875%,        
10/31/15-2/15/27, with a value of        
$126,480,000) 0.080% 11/2/15 124,000 124,000
Citigroup Global Markets Inc.        
(Dated 10/30/15, Repurchase Value        
$137,401,000, collateralized by U.S.        
Treasury Note/Bond 1.125%-3.500%,        
6/15/18-2/15/39, with a value of        
$140,148,000) 0.080% 11/2/15 137,400 137,400
RBC Capital Markets LLC        
(Dated 10/30/15, Repurchase Value        
$109,301,000, collateralized by Federal        
Farm Credit Bank 0.243%, 2/2/18, Federal        
National Mortgage Assn. 2.246%-6.000%,        
5/1/18-10/1/45, Federal Home Loan        
Mortgage Corp. 2.191%-4.000%, 5/1/29-        
7/1/45, and Government National Mortgage        
Assn. 3.250%-7.000%, 12/20/28-4/20/45,        
with a value of $111,486,000) 0.100% 11/2/15 109,300 109,300
        568,600
Total Temporary Cash Investments (Cost $729,697)       729,697
Total Investments (99.5%) (Cost $13,149,345)       14,172,660
 
 
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 34 (2)

 

 

Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $129.50 11/20/15 20 (2)
 
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $128.00 11/20/15 34 (25)
 
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $127.50 11/20/15 30 (15)
 
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $126.50 11/20/15 19 (3)
 
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $127.00 11/20/15 18 (6)
 
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $125.50 12/24/15 10 (4)
Total Liability for Options Written (Premiums received $52)     (57)
Other Assets and Liabilities-Net (0.5%)12     73,758
Net Assets (100%)     14,246,361

 

1      Securities with a value of $19,856,000 have been segregated as initial margin for open cleared swap contracts.
2      Securities with a value of $5,934,000 have been segregated as initial margin for open futures contracts.
3      Securities with a value of $504,000 have been segregated as collateral for open over-the-counter swap contracts.
4      The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5      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 October 31, 2015, the aggregate value of these securities was $1,081,507,000, representing 7.6% of net assets.
6      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.
7      Face amount denominated in euro.
8      Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9      Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
10      Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
11      Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12      Cash of $11,298,000 has been segregated as initial margin for open futures contracts. GO—General Obligation Bond.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m.,

Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

 

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

D. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 380,774 —
Corporate Bonds — 10,638,799  
Sovereign Bonds — 271,246 —
Taxable Municipal Bonds — 2,152,144 —
Temporary Cash Investments 161,097 568,600 —
Futures Contracts—Assets1 2,969 — —
Futures Contracts—Liabilities1 (482) — —
Forward Currency Contracts—Assets — 87 —
Forward Currency Contracts—Liabilities — (15) —
Swap Contracts—Assets 251 13,399 —
Swap Contracts—Liabilities (172)1 (205) —
Liability for Options Written (57) — —
Total 163,380 14,024,829 —
1 Represents variation margin on the last day of the reporting period.      

 

E. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of

 

the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
Ultra Long U.S. Treasury Bond December 2015 2,577 411,676 2,845
10-Year U.S. Treasury Note December 2015 2,444 312,068 (846)
30-Year U.S. Treasury Bond December 2015 294 45,993 632
5-Year U.S. Treasury Note December 2015 161 19,284 (21)
2-Year U.S. Treasury Note December 2015 (17) (3,717) 6
Euro-Buxl December 2015 (15) (2,602) (99)
Euro-Bund December 2015 (5) (864) 4
        2,521

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

F. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

 

At October 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 11/2/15 EUR 4,147 USD 4,576 (14)
Bank of America N.A 12/2/15 EUR 442 USD 487 (1)
Morgan Stanley Capital Services LLC 11/2/15 GBP 115 USD 177 1
Morgan Stanley Capital Services LLC 12/2/15 USD 5,001 EUR 4,534 12
BNP Paribas 11/2/15 USD 4,456 EUR 3,990 69
Barclays Capital 12/2/15 USD 315 EUR 285 1
Morgan Stanley Capital Services LLC 11/2/15 USD 178 GBP 115
Morgan Stanley Capital Services LLC 12/2/15 USD 177 GBP 115 (1)
Morgan Stanley Capital Services LLC 11/2/15 USD 107 EUR 96 2
JPMorgan Chase Bank N.A. 11/2/15 USD 72 EUR 63 3
            72
EUR—Euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

G. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering

 

into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

At period ended October 31, 2015, the fund had the following open credit default and interest rate swap contracts:

Over-the-Counter Credit Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody's Rating            
CDX-IGS-14-V1-10Y/Baa32 6/20/20 BOANA 100,000 87 1.000 1,258
CDX-IGS-16-V1-10Y/Baa33 6/20/21 GSI 200,000 2,558 1.000 4,589
CDX-IGS-19-V1-10Y/Baa34 12/20/22 BOANA 300,000 7,262 1.000 6,739
CDX-IGS-19-V1-10Y/Baa34 12/20/22 BOANA 25,000 620 1.000 576
Federative Republic of Brazil/Baa3 12/20/20 BNPSW 800 128 1.000 13
Federation of Malaysia/A3 12/20/20 GSCM 6,700 278 1.000 (41)
Federation of Malaysia/A3 12/20/20 BNPSW 1,150 45 1.000 (10)
Federation of Malaysia/A3 12/20/20 BOANA 1,000 51 1.000 4
Peoples Republic of China/Aa3 9/20/20 GSCM 8,000 (33) 1.000 (37)
Peoples Republic of China/Aa3 9/20/20 BNPSW 12,000 79 1.000 74

 

 

Republic of Chile/Aa3 12/20/20 BNPSW 13,000 77 1.000 (74)
Republic of Colombia/Baa2 12/20/20 JPMC 400 20 1.000 (1)
Republic of Colombia/Baa2 12/20/20 DBAG 400 23 1.000 3
Republic of Colombia/Baa2 12/20/20 BNPSW 600 33 1.000 1
Republic of Indonesia/Baa3 12/20/20 BNPSW 500 26 1.000 (2)
Republic of Indonesia/Baa3 12/20/20 BOANA 750 39 1.000 (4)
Republic of Indonesia/Baa3 12/20/20 MSCS 850 45 1.000 (4)
Republic of Indonesia/Baa3 12/20/20 MSCS 1,000 57 1.000 -
Republic of Peru/A3 12/20/20 BNPSW 4,000 120 1.000 (19)
Republic of Turkey/Baa3 12/20/16 BNPSW 2,000 4 1.000 3
Republic of Turkey/Baa3 12/20/20 BNPSW 900 89 1.000 26
Russian Federation/Ba1 6/20/17 GSCM 200 8 1.000 6
Russian Federation/Ba1 6/20/17 GSCM 400 17 1.000 11
Russian Federation/Ba1 12/20/20 BARC 550 49 1.000 5
Russian Federation/Ba1 12/20/20 DBAG 1,715 208 1.000 70
Russian Federation/Ba1 12/20/20 BNPSW 750 83 1.000 22
United Mexican States/A3 9/20/20 DBAG 600 8 1.000 (10)
Total     683,265     13,198
 
Credit Protection Purchased            
United Mexican States 9/20/20 GSCM 1,300 (29) (1.000) (4)
Total     1,300     (4)
            13,194

 

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the
reference entity was subject to a credit event  
1 BARC--Barclays Bank plc.  
BNPSW--BNP Paribas.  
BOANA--Bank of America, N.A.  
DBAG--Deutsche Bank AG.  
GSCM--Goldman Sachs Bank USA.  
GSI--Goldman Sachs International.  
JPMC--JP Morgan Chase Bank.  
MSCS--Morgan Stanley Capital Services LLC.  
2 Investment Grade Corporate Credit Default Swap Index-Version 14.  
3 Investment Grade Corporate Credit Default Swap Index-Version 16.  
4 Investment Grade Corporate Credit Default Swap Index-Version 19.  
 
Centrally Cleared Credit Default Swaps  
Remaining  
Up-Front Periodic

 

 

        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody's Rating            
CDX-IG-25-V1/Aa32 12/20/20 CME 815,000 (7,473) 1.000 952
CDX-IG-25-V1/A22 12/20/20 ICE 157,000 (1,451) 1.000 170
Total     972,000     1,122
1 CME--Chicago Mercantile Exchange.            
ICE--Intercontinental Exchange.            
2 Investment Grade Corporate Credit Default Swap Index—Version 25.        

 

 

Centrally Cleared Interest Rate Swaps          
      Fixed Floating  
      Interest Rate Interest Rate Unrealized
    Notional Received Received Appreciation
    Amount (Paid) (Paid) (Depreciation)
Termination Date Clearinghouse1 ($000) (%) (%) ($000)
12/16/20 CME 20 2.000 (0.000)2
12/16/25 CME 8,128 2.500 (0.000)2 136
12/16/35 CME 8,379 (2.500) 0.0002 (60)
12/16/45 CME 643 (2.750) 0.0002 (6)
Total         70
1 CME--Chicago Mercantile Exchange.          

 2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

H. At October 31, 2015, the cost of investment securities for tax purposes was $13,159,626,000. Net unrealized appreciation of investment securities for tax purposes was $1,013,034,000, consisting of unrealized gains of $1,160,824,000 on securities that had risen in value since their purchase and $147,790,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund

Schedule of Investments
As of October 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (93.5%)        
U.S. Government Securities (1.2%)        
1 United States Treasury Floating Rate Note 0.090% 11/3/15 300,000 300,024
 
Conventional Mortgage-Backed Securities (89.7%)        
2,3 Fannie Mae Pool 2.090% 11/1/22 1,649 1,628
2,3 Fannie Mae Pool 2.190% 12/1/22 1,419 1,409
2,3 Fannie Mae Pool 2.350% 12/1/22 950 952
2,3 Fannie Mae Pool 2.370% 4/1/23–5/1/23 123,006 123,024
2,3 Fannie Mae Pool 2.390% 4/1/22 481 480
2,3 Fannie Mae Pool 2.410% 12/1/22 3,900 3,925
2,3 Fannie Mae Pool 2.440% 11/1/22–1/1/23 5,802 5,818
2,3 Fannie Mae Pool 2.450% 8/1/22–4/1/23 6,096 6,140
2,3 Fannie Mae Pool 2.480% 8/1/22 684 692
2,3 Fannie Mae Pool 2.520% 5/1/23 314 314
2,3 Fannie Mae Pool 2.550% 2/1/23–5/1/23 8,613 8,683
2,3 Fannie Mae Pool 2.640% 3/1/23 648 658
2,3 Fannie Mae Pool 2.650% 8/1/22 1,150 1,167
2,3 Fannie Mae Pool 2.660% 9/1/22 2,219 2,266
2,3 Fannie Mae Pool 2.690% 4/1/25 12,660 12,545
2,3 Fannie Mae Pool 2.700% 5/1/22–4/1/23 3,114 3,181
2,3 Fannie Mae Pool 2.730% 2/1/23–11/1/24 3,956 4,000
2,3 Fannie Mae Pool 2.740% 4/1/23 1,547 1,579
2,3 Fannie Mae Pool 2.750% 3/1/22 488 499
2,3 Fannie Mae Pool 2.780% 4/1/22–4/1/22 3,217 3,307
2,3 Fannie Mae Pool 2.790% 6/1/23 1,927 1,966
2,3 Fannie Mae Pool 2.810% 7/1/25 6,300 6,232
2,3 Fannie Mae Pool 2.820% 6/1/23 1,233 1,270
2,3 Fannie Mae Pool 2.860% 4/1/23 1,019 1,047
2,3 Fannie Mae Pool 2.900% 3/1/23–6/1/27 14,865 14,653
2,3 Fannie Mae Pool 2.910% 8/1/23 1,621 1,668
2,3 Fannie Mae Pool 2.940% 6/1/23 964 994
2,3 Fannie Mae Pool 2.950% 6/1/22–5/1/28 19,308 19,100
2,3 Fannie Mae Pool 2.960% 1/1/27 20,975 20,682
2,3 Fannie Mae Pool 2.970% 7/1/23 7,915 8,173
2,3 Fannie Mae Pool 3.000% 8/1/20–11/1/45 4,083 4,313
2,3 Fannie Mae Pool 3.024% 7/1/22 607 630
2,3 Fannie Mae Pool 3.040% 7/1/23–2/1/27 16,008 16,000
2,3 Fannie Mae Pool 3.080% 1/1/27 34,390 34,405
2,3 Fannie Mae Pool 3.100% 6/1/22–5/1/33 39,675 40,560
2,3 Fannie Mae Pool 3.130% 7/1/27 5,253 5,244
2,3 Fannie Mae Pool 3.180% 12/1/24 9,000 9,221
2,3 Fannie Mae Pool 3.200% 4/1/22–7/1/27 7,057 7,171
2,3 Fannie Mae Pool 3.210% 5/1/23 24,480 25,622
2,3 Fannie Mae Pool 3.220% 7/1/23–12/1/26 7,330 7,489
2,3 Fannie Mae Pool 3.230% 2/1/27–8/1/27 5,401 5,451
2,3 Fannie Mae Pool 3.240% 1/1/27 3,800 3,838
2,3 Fannie Mae Pool 3.250% 11/1/23 9,670 10,161
2,3 Fannie Mae Pool 3.270% 12/1/23 11,344 11,938
2,3 Fannie Mae Pool 3.300% 12/1/23 6,002 6,328
2,3 Fannie Mae Pool 3.310% 12/1/26 10,780 10,986

 

 

2,3 Fannie Mae Pool 3.320% 7/1/23 1,068 1,126
2,3 Fannie Mae Pool 3.340% 4/1/24 12,030 12,642
2,3 Fannie Mae Pool 3.350% 7/1/27–1/1/30 9,518 9,631
2,3 Fannie Mae Pool 3.355% 1/1/27 14,953 15,562
2,3 Fannie Mae Pool 3.360% 11/1/23–12/1/23 19,068 20,170
2,3 Fannie Mae Pool 3.370% 3/1/24–7/1/25 7,885 8,344
2,3 Fannie Mae Pool 3.380% 1/1/27–7/1/27 7,834 8,001
2,3 Fannie Mae Pool 3.410% 11/1/23–7/1/27 12,060 12,595
2,3 Fannie Mae Pool 3.415% 11/1/23 6,554 6,954
2,3 Fannie Mae Pool 3.440% 1/1/24 5,952 6,329
2,3 Fannie Mae Pool 3.450% 1/1/24–1/1/24 23,108 24,589
2,3 Fannie Mae Pool 3.460% 9/1/23–9/1/29 105,487 111,223
2,3 Fannie Mae Pool 3.470% 11/1/23–1/1/24 6,350 6,763
2,3 Fannie Mae Pool 3.480% 1/1/24 4,479 4,775
2,3,4Fannie Mae Pool 3.500% 5/1/34–11/1/45 270,368 281,550
2,3 Fannie Mae Pool 3.510% 12/1/23–1/1/24 28,877 30,777
2,3 Fannie Mae Pool 3.520% 1/1/24 4,885 5,219
2,3 Fannie Mae Pool 3.530% 2/1/24 7,642 8,174
2,3 Fannie Mae Pool 3.540% 8/1/23–2/1/24 32,024 34,224
2,3 Fannie Mae Pool 3.550% 10/1/23–5/1/26 41,126 43,777
2,3 Fannie Mae Pool 3.560% 12/1/23–1/1/24 6,869 7,355
2,3 Fannie Mae Pool 3.570% 12/1/23–3/1/24 39,745 42,069
2,3 Fannie Mae Pool 3.580% 2/1/24–7/1/30 46,108 48,208
2,3 Fannie Mae Pool 3.590% 7/1/23–9/1/30 53,034 54,156
2,3 Fannie Mae Pool 3.600% 12/1/23–4/1/28 8,533 9,137
2,3 Fannie Mae Pool 3.610% 8/1/23–1/1/24 31,040 32,543
2,3 Fannie Mae Pool 3.620% 2/1/24 8,181 8,798
2,3 Fannie Mae Pool 3.640% 10/1/23–1/1/24 16,615 17,858
2,3 Fannie Mae Pool 3.650% 8/1/23–11/1/23 23,405 25,157
2,3 Fannie Mae Pool 3.660% 11/1/23 2,631 2,831
2,3 Fannie Mae Pool 3.665% 1/1/24–1/1/24 37,610 40,529
2,3 Fannie Mae Pool 3.670% 8/1/23–3/1/28 24,506 26,359
2,3 Fannie Mae Pool 3.680% 10/1/23–3/1/24 20,455 22,040
2,3 Fannie Mae Pool 3.690% 1/1/24 5,652 6,024
2,3 Fannie Mae Pool 3.700% 10/1/23–12/1/25 22,382 24,099
2,3 Fannie Mae Pool 3.710% 9/1/23 7,541 8,129
2,3 Fannie Mae Pool 3.725% 10/1/23 3,457 3,732
2,3 Fannie Mae Pool 3.730% 12/1/23 1,331 1,438
2,3 Fannie Mae Pool 3.750% 9/1/23–7/1/25 13,324 14,376
2,3 Fannie Mae Pool 3.755% 8/1/25 7,133 7,677
2,3 Fannie Mae Pool 3.760% 3/1/24–1/1/26 8,152 8,665
2,3 Fannie Mae Pool 3.765% 12/1/25 42,997 45,587
2,3 Fannie Mae Pool 3.770% 1/1/24 1,673 1,814
2,3 Fannie Mae Pool 3.780% 7/1/23–2/1/24 2,469 2,673
2,3 Fannie Mae Pool 3.790% 8/1/25 2,558 2,762
2,3 Fannie Mae Pool 3.800% 10/1/23 7,427 8,053
2,3 Fannie Mae Pool 3.810% 11/1/23 389 423
2,3 Fannie Mae Pool 3.820% 11/1/25–11/1/25 11,086 11,930
2,3 Fannie Mae Pool 3.830% 2/1/24–6/1/34 19,797 21,368
2,3 Fannie Mae Pool 3.840% 1/1/24 2,979 3,243
2,3 Fannie Mae Pool 3.850% 1/1/24 880 959
2,3 Fannie Mae Pool 3.855% 12/1/25 6,600 7,036
2,3 Fannie Mae Pool 3.860% 11/1/23 3,435 3,693
2,3 Fannie Mae Pool 3.870% 10/1/25 11,403 12,352
2,3 Fannie Mae Pool 3.890% 9/1/23–5/1/30 16,061 16,961
2,3 Fannie Mae Pool 3.910% 11/1/25 13,000 13,935
2,3 Fannie Mae Pool 3.930% 10/1/23–3/1/26 22,677 24,645
2,3 Fannie Mae Pool 3.940% 8/1/25 12,308 13,400

 

 

2,3 Fannie Mae Pool 3.960% 12/1/25–5/1/34 7,655 8,068
2,3 Fannie Mae Pool 3.970% 7/1/23–5/1/29 7,585 8,161
2,3 Fannie Mae Pool 3.990% 9/1/25 9,593 10,316
2,3 Fannie Mae Pool 4.060% 9/1/25–3/1/29 15,915 17,167
2,3 Fannie Mae Pool 4.070% 1/1/26 2,317 2,530
2,3 Fannie Mae Pool 4.080% 2/1/29 3,025 3,251
2,3 Fannie Mae Pool 4.150% 10/1/28–1/1/31 75,895 81,733
2,3 Fannie Mae Pool 4.180% 11/1/30 30,325 31,390
2,3 Fannie Mae Pool 4.190% 10/1/23 737 817
2,3 Fannie Mae Pool 4.210% 1/1/26 1,002 1,104
2,3 Fannie Mae Pool 4.250% 10/1/28–9/1/33 4,774 5,266
2,3 Fannie Mae Pool 4.280% 11/1/28 5,465 5,968
2,3 Fannie Mae Pool 4.380% 10/1/28 10,001 11,005
2,3 Fannie Mae Pool 4.400% 8/1/28 2,259 2,489
2,3,4Fannie Mae Pool 4.500% 5/1/40–11/1/45 483,276 524,441
2,3 Fannie Mae Pool 5.180% 2/1/26 3,012 3,517
2,3 Fannie Mae Pool 6.000% 7/1/22 10 11
2,3 Fannie Mae Pool 6.500% 2/1/29–11/1/45 5,261 6,092
2,3 Freddie Mac Gold Pool 3.000% 8/1/29–11/1/45 34,144 35,690
2,3 Freddie Mac Gold Pool 3.500% 4/1/34–10/1/34 90,382 94,779
2,3 Freddie Mac Gold Pool 4.500% 9/1/35–5/1/44 41,079 44,643
2 Ginnie Mae I Pool 2.500% 11/15/42–9/15/43 141,676 139,605
2 Ginnie Mae I Pool 3.000% 1/15/42–11/1/45 1,494,065 1,526,867
2 Ginnie Mae I Pool 3.500% 7/15/39–11/20/45 1,828,472 1,919,866
2 Ginnie Mae I Pool 3.750% 7/15/42 5,607 5,935
2 Ginnie Mae I Pool 3.875% 5/15/42–6/15/42 9,539 10,264
2 Ginnie Mae I Pool 4.000% 6/15/19–11/1/45 2,332,671 2,497,621
2 Ginnie Mae I Pool 4.500% 5/15/19–11/1/45 1,191,600 1,298,147
2 Ginnie Mae I Pool 5.000% 1/15/30–11/1/45 1,262,344 1,393,794
2 Ginnie Mae I Pool 5.500% 9/15/23–11/1/45 690,960 771,821
2 Ginnie Mae I Pool 6.000% 10/15/16–11/1/45 379,153 422,872
2 Ginnie Mae I Pool 6.500% 4/15/23–7/15/40 290,696 325,576
2 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 81,891 95,297
2 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 64 67
2 Ginnie Mae I Pool 7.500% 10/15/31 31,791 37,019
2 Ginnie Mae I Pool 7.750% 2/15/27 27 28
2 Ginnie Mae I Pool 8.000% 8/15/31 12,398 14,537
2 Ginnie Mae I Pool 8.500% 5/15/16–6/15/28 2,223 2,334
2 Ginnie Mae I Pool 9.000% 4/15/16–5/15/21 451 478
2 Ginnie Mae I Pool 9.250% 7/15/17 3 3
2 Ginnie Mae I Pool 9.500% 3/15/16–8/15/21 685 717
2 Ginnie Mae I Pool 10.000% 7/15/16–7/15/19 14 14
2 Ginnie Mae I Pool 11.000% 2/15/18 2 2
2 Ginnie Mae II Pool 2.500% 11/20/42–9/20/45 196,510 193,046
2 Ginnie Mae II Pool 3.000% 9/20/42–11/1/45 1,588,792 1,625,677
2,4 Ginnie Mae II Pool 3.500% 11/20/26–11/1/45 4,048,848 4,248,503
2,4 Ginnie Mae II Pool 4.000% 4/20/39–11/1/45 1,796,119 1,916,704
2 Ginnie Mae II Pool 4.500% 12/20/32–11/1/45 1,040,290 1,125,164
2,4 Ginnie Mae II Pool 5.000% 10/20/32–11/1/45 802,153 879,846
2 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 62,961 70,061
2 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 82,358 92,735
2 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 2,089 2,375
2 Ginnie Mae II Pool 7.000% 10/20/25 17 18
2 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 176 203
2 Ginnie Mae II Pool 8.000% 12/20/15–4/20/16 2 2
2 Ginnie Mae II Pool 8.500% 4/20/16–1/20/17 43 43
2 Ginnie Mae II Pool 9.000% 6/20/16–9/20/16 5 5
2 Ginnie Mae II Pool 10.000% 8/20/16–8/20/18 6 8

 

 

2 Ginnie Mae II Pool 11.000% 2/20/16   —
          23,227,540
Nonconventional Mortgage-Backed Securities (2.6%)      
2,3 Fannie Mae Pool 2.332% 8/1/43 23,453 24,071
2,3 Fannie Mae Pool 2.780% 9/1/44 24,075 24,572
2,3 Fannie Mae REMICS 3.000% 11/25/42–6/25/43 74,137 64,867
2,3 Fannie Mae REMICS 3.500% 7/25/43 19,364 19,080
2,3 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 7,987 8,881
2,3 Freddie Mac Non Gold Pool 2.272% 8/1/43 39,455 40,459
2,3 Freddie Mac Non Gold Pool 2.342% 9/1/43 14,015 14,378
2,3 Freddie Mac Non Gold Pool 2.741% 10/1/44 49,714 50,659
2,3 Freddie Mac Non Gold Pool 2.828% 10/1/44 22,448 22,922
2,3 Freddie Mac Non Gold Pool 2.835% 7/1/44 15,957 16,296
2,3 Freddie Mac Non Gold Pool 2.912% 9/1/44 15,784 16,162
2,3 Freddie Mac Non Gold Pool 2.939% 4/1/44 24,617 25,496
2,3 Freddie Mac Non Gold Pool 3.112% 10/1/44 31,302 32,298
2,3 Freddie Mac REMICS 3.000% 8/15/42–3/15/43 96,923 89,615
2,3 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 23,957 26,873
1,2 Ginnie Mae REMICS 0.394% 11/20/15 5,933 5,915
2 Ginnie Mae REMICS 2.500% 8/16/42–11/20/43 43,975 37,768
2 Ginnie Mae REMICS 3.000% 3/20/40–8/20/44 61,645 58,083
2 Ginnie Mae REMICS 3.250% 8/20/44 7,412 6,822
2 Ginnie Mae REMICS 3.500% 7/20/43 23,327 24,170
2 Ginnie Mae REMICs 3.500% 9/20/44 7,977 7,963
2 Ginnie Mae REMICS 4.500% 6/20/39 6,474 7,008
2 Ginnie Mae REMICS 5.000% 6/16/37 24,823 27,097
2 Ginnie Mae REMICS 5.500% 1/20/33–8/16/36 26,405 29,483
2 Ginnie Mae REMICS 6.500% 4/20/31 2,174 2,493
1,2 Government National Mortgage Assn. 2.700% 11/16/15 15,056 15,485
          698,916
Total U.S. Government and Agency Obligations (Cost $23,782,100)   24,226,480
Temporary Cash Investments (7.8%)        
 
        Shares  
Money Market Fund (5.1%)        
5 Vanguard Market Liquidity Fund 0.207%   1,316,262,828 1,316,263
 
Repurchase Agreements (1.9%)        
  Bank of America Securities, LLC        
  (Dated 10/30/15, Repurchase Value        
  $55,700,000, collateralized by Government        
  National Mortgage Assn., 4.000%, 5/20/45,        
  with a value of $56,814,000) 0.080% 11/2/15 55,700 55,700
  Bank of Nova Scotia        
  (Dated 10/30/15, Repurchase Value        
  $11,800,000, collateralized by U.S.        
  Treasury Note/Bond 0.000%-3.625%,        
  1/31/16-2/15/45, with a value of        
  $12,036,000) 0.070% 11/2/15 11,800 11,800
  Barclays Capital Inc.        
  (Dated 10/30/15, Repurchase Value        
  $109,000,000, collateralized by U.S.        
  Treasury Note/Bond 0.375%-3.125%,        
  3/31/16-11/15/42, with a value of        
  $111,180,000) 0.080% 11/2/15 109,000 109,000

 

 

  HSBC Bank USA        
  (Dated 10/30/15, Repurchase Value        
  $7,300,000, collateralized by Federal        
  National Mortgage Assn. 3.500%, 2/1/29,        
  with a value of $7,448,000) 0.080% 11/2/15 7,300 7,300
  HSBC Bank USA        
  (Dated 10/30/15, Repurchase Value        
  $60,000,000, collateralized by Federal        
  National Mortgage Assn. 3.500%-5.500%,        
  6/1/23-7/1/45, with a value of $61,201,000) 0.080% 11/2/15 60,000 60,000
  RBC Capital Markets LLC        
  (Dated 10/30/15, Repurchase Value        
  $23,500,000, collateralized by Federal        
  National Mortgage Assn. 2.324%-5.000%,        
  10/1/28-10/1/45, Federal Home Loan        
  Mortgage Corp. 2.191%-4.000%, 3/1/40-        
  7/1/45, and Government National Mortgage        
  Assn., 3.500%, 8/20/45,with a value of        
  $23,970,000) 0.100% 11/2/15 23,500 23,500
  Societe Generale        
  (Dated 10/30/15, Repurchase Value        
  $1,800,000, collateralized by Federal        
  National Mortgage Assn. 2,763%, 6/1/45,        
  Federal Home Loan Mortgage Corp.        
  2.810%, 3/1/45, and U.S. Treasury        
  Note/Bond 3.750%, 11/15/43, with a value        
  of $1,836,000) 0.090% 11/2/15 1,800 1,800
  Bank of Montreal:        
  (Dated 10/30/15, Repurchase Value        
  $8,200,000, collateralized by Federal        
  National Mortgage Assn. 3.340%-3.500%,        
  11/1/20-10/1/35, and Federal Home Loan        
  Mortgage Corp. 3.000%, 4/1/30-5/1/35,        
  with a value of $8,364,000) 0.080% 11/2/15 8,200 8,200
  Citigroup Global Markets Inc.        
  (Dated 10/30/15, Repurchase Value        
  $23,800,000, collateralized by U.S.        
  Treasury Note/Bond 0.500%-2.375%,        
  3/31/16-6/15/18, with a value of        
  $24,276,000 0.080% 11/2/15 23,800 23,800
  TD Securities (USA) LLC        
  (Dated 10/30/15, Repurchase Value        
  $193,800,000, collateralized by U.S.        
  Treasury Note/Bond 2.000%-2.625%,        
  11/15/20-12/31/21, and Federal National        
  Mortgage Assn. 1.200%-7.250%, 1/29/19-        
  5/15/30, and Federal Home Loan Mortgage        
  Corp. 3.500%, 1/1/45, with a value of        
  $197,676,000) 0.100% 11/2/15 193,800 193,800
Total Repurchase Agreements       494,900
U.S. Government and Agency Obligations (0.8%)        
6 Federal Home Loan Bank Discount Notes 0.050% 12/16/15 104,850 104,836
6 Federal Home Loan Bank Discount Notes 0.072% 12/23/15 100,000 99,985
          204,821
Total Temporary Cash Investments (Cost $2,015,996)       2,015,984

 

 

Total Investments (101.4%) (Cost $25,798,096) 26,242,464
Other Assets and Liabilities-Net (-1.4%)7,8 (355,387)
Net Assets (100%) 25,887,077

 

1      Adjustable-rate security.
2      The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
3      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.
4      Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2015.
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      The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
7      Cash of $11,548,000 has been segregated as initial margin for open futures contracts.
8      Cash of $1,644,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange

(generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At October 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $1,947,000 in connection with TBA transactions.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and

 

interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold (Other Assets) or Payables for Investment Securities Purchased (Liabilities).

D. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

E. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 24,226,480 —
Temporary Cash Investments 1,316,263 699,721 —
Futures Contracts—Assets1 580 — —
Futures Contracts—Liabilities1 (141) — —
Total 1,316,702 24,926,201 —
1 Represents variation margin on the last day of the reporting period.    

 

F. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure

 

the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
10-Year U.S. Treasury Note December 2015 8,560 1,093,005 (4,780)
5-Year U.S. Treasury Note December 2015 150 17,966 (97)
30-Year U.S. Treasury Bond December 2015 (56) (8,761) 87
        (4,790)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

G. At October 31, 2015, the cost of investment securities for tax purposes was $25,803,880,000. Net unrealized appreciation of investment securities for tax purposes was $438,584,000, consisting of unrealized gains of $521,937,000 on securities that had risen in value since their purchase and $83,353,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund

Schedule of Investments
As of October 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (9.6%)        
U.S. Government Securities (9.5%)        
  United States Treasury Note/Bond 0.375% 3/15/16 317,600 317,797
  United States Treasury Note/Bond 0.625% 7/15/16 342,000 342,588
  United States Treasury Note/Bond 0.625% 8/15/16 280,500 280,983
  United States Treasury Note/Bond 1.000% 8/31/16 338,900 340,489
  United States Treasury Note/Bond 0.875% 9/15/16 77,100 77,389
  United States Treasury Note/Bond 0.500% 9/30/16 6,440 6,443
  United States Treasury Note/Bond 0.625% 10/15/16 785,300 786,525
  United States Treasury Note/Bond 1.000% 10/31/16 206,900 207,999
  United States Treasury Note/Bond 0.875% 11/30/16 1,000 1,004
  United States Treasury Note/Bond 0.625% 12/15/16 417,900 418,422
  United States Treasury Note/Bond 0.875% 10/15/17 32,120 32,195
1,2 United States Treasury Note/Bond 0.875% 1/15/18 360,150 360,373
  United States Treasury Note/Bond 0.750% 4/15/18 44,750 44,568
2 United States Treasury Note/Bond 0.875% 7/15/18 316,650 315,710
3 United States Treasury Note/Bond 1.000% 8/15/18 291,650 291,603
  United States Treasury Note/Bond 1.000% 9/15/18 205,550 205,390
  United States Treasury Note/Bond 0.875% 10/15/18 432,700 430,671
  United States Treasury Note/Bond 1.250% 10/31/18 275,800 277,394
2 United States Treasury Note/Bond 1.500% 12/31/18 97,900 99,063
  United States Treasury Note/Bond 1.250% 1/31/19 211,000 211,726
  United States Treasury Note/Bond 1.000% 8/31/19 3,750 3,706
          5,052,038
Conventional Mortgage-Backed Securities (0.0%)        
4,5 Fannie Mae Pool 6.000% 12/1/16–5/1/17 765 789
4,5 Fannie Mae Pool 6.500% 9/1/16 371 378
4,5 Freddie Mac Gold Pool 6.000% 3/1/17–4/1/17 444 454
          1,621
Nonconventional Mortgage-Backed Securities (0.1%)        
4,5,6Fannie Mae Pool 2.125% 12/1/32 438 450
4,5,6Fannie Mae Pool 2.354% 2/1/37 1,640 1,751
4,5,6Fannie Mae Pool 2.375% 6/1/33 3,169 3,315
4,5,6Fannie Mae Pool 2.435% 7/1/32 377 403
4,5,6Fannie Mae Pool 2.460% 5/1/33 2,725 2,904
4,5,6Fannie Mae Pool 2.465% 9/1/32 27 28
4,5,6Fannie Mae Pool 2.500% 9/1/32 325 344
4,5,6Fannie Mae Pool 2.535% 8/1/33 4,526 4,721
4,5,6Fannie Mae Pool 2.550% 7/1/33 3,580 3,694
4,5,6Fannie Mae Pool 2.581% 8/1/37 655 693
4,5,6Fannie Mae Pool 2.625% 5/1/33 638 683
4,5,6Freddie Mac Non Gold Pool 2.480% 10/1/32 613 654
4,5,6Freddie Mac Non Gold Pool 2.500% 8/1/32–8/1/37 4,214 4,501
4,5,6Freddie Mac Non Gold Pool 2.504% 9/1/32 124 136
4,5,6Freddie Mac Non Gold Pool 2.551% 1/1/33 513 558
4,5,6Freddie Mac Non Gold Pool 2.586% 2/1/33 366 379
4,5,6Freddie Mac Non Gold Pool 2.643% 9/1/32 961 987

 

 

4,5,6Freddie Mac Non Gold Pool 2.711% 8/1/33 854 910
          27,111
Total U.S. Government and Agency Obligations (Cost $5,081,706)     5,080,770
Asset-Backed/Commercial Mortgage-Backed Securities (20.9%)      
4 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 10,300 10,291
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 11,675 11,678
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 4,315 4,296
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 90,765 90,809
4,6 Ally Master Owner Trust Series 2014-1 0.666% 11/16/15 14,849 14,818
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 15,845 15,857
4 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 11,330 11,331
4,6 American Express Credit Account Secured        
  Note Trust 2012-4 0.746% 11/16/15 27,587 27,513
4,6,7American Homes 4 Rent 2014-SFR1 1.250% 11/17/15 5,068 5,059
4,6,7American Homes 4 Rent 2014-SFR1 1.600% 11/17/15 4,320 4,247
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 13,250 13,443
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 3,360 3,367
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 17,959 18,073
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 15,985 15,814
4,7 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 6,895 7,039
4,7 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 2,830 2,859
4,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 16,990 18,922
4,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 11,185 13,014
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 3,181 3,181
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 14,512 14,531
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 16,003 16,118
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 20,500 20,707
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 3,439 3,476
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 4,660 4,731
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 6,336 6,365
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 7,170 7,203
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 4,900 4,897
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 9,220 9,212
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 27,200 27,151
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 7,120 7,136
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 12,055 12,075
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 8,900 8,907
4,7 AOA 2015-1177 Mortgage Trust 2.957% 11/13/15 13,390 13,403
4,7 Applebee's Funding LLC/IHOP Funding LLC        
  2014-1 4.277% 9/5/44 10,140 10,346
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 13,740 13,664
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 9,781 9,847

 

 

4,6,7Arran Residential Mortgages Funding 2011-1        
  plc 1.783% 11/19/15 6,137 6,140
4,7 Aventura Mall Trust 2013-AVM 3.743% 11/5/15 15,105 16,044
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 15,210 15,208
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 29,200 30,043
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2015-1A 2.500% 7/20/21 34,860 34,965
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2015-2A 2.630% 12/20/21 25,728 25,842
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,900 4,924
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 22,779 23,347
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 22,021 22,648
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.569% 11/10/15 33,569 34,949
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.171% 11/10/15 58,100 62,400
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.215% 11/10/15 5,396 5,784
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 6,740 7,034
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.367% 9/15/48 2,600 2,726
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.367% 9/15/48 1,600 1,569
4,8 Banc of America Funding 2006-H Trust 2.876% 9/20/46 20,523 17,147
4 Banc of America Mortgage 2003-F Trust 2.748% 11/25/15 1,100 1,065
4 Bank of America Mortgage 2002-J Trust 3.733% 9/25/32 19 19
4,6,7Bank of America Student Loan Trust 2010-1A 1.120% 1/25/16 22,529 22,217
  Bank of Nova Scotia 1.850% 4/14/20 18,965 18,785
4,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 12,325 12,377
4,8 Bear Stearns ARM Trust 2006-4 2.626% 11/25/15 31,818 27,422
4,8 Bear Stearns ARM Trust 2007-3 2.778% 11/25/15 23,168 19,441
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 22,097 22,674
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.705% 11/11/15 17,467 18,171
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 11/11/15 82,553 87,520
4,6,7BMW Floorplan Master Owner Trust 2015-1A 0.696% 11/16/15 47,800 47,658
4 BMW Vehicle Owner Trust 2015-2 1.550% 2/20/19 19,460 19,426
4,6 Brazos Higher Education Authority Inc. Series        
  2005-3 0.525% 12/28/15 15,150 14,579
4,6 Brazos Higher Education Authority Inc. Series        
  2010-1 1.229% 11/25/15 23,445 23,256
4,6 Brazos Higher Education Authority Inc. Series        
  2011-1 1.129% 11/25/15 32,667 32,229
4 Cabela's Credit Card Master Note Trust 2015-        
  1A 2.260% 3/15/23 9,170 9,236
4,6 Cabela's Credit Card Master Note Trust 2015-        
  2A 0.866% 11/16/15 25,050 24,915
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 6,510 6,441
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 11,941 11,703

 

 

7 Canadian Imperial Bank of Commerce 2.250% 7/21/20 22,560 22,696
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 5,566 5,564
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 5,387 5,394
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 13,319 13,616
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 22,285 22,320
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 15,138 15,216
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 13,543 13,687
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 11,935 12,131
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 12,097 12,141
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 6,163 6,213
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 4,900 4,964
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 4,100 4,183
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 22,240 22,312
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 20,360 20,423
4 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 6,170 6,176
4 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 6,880 6,915
4,6 Capital One Multi-Asset Execution Trust 2014-        
  A3 0.576% 11/16/15 35,000 34,811
4 Capital One Multi-asset Execution Trust 2015-        
  A4 2.750% 5/15/25 60,710 61,851
4 Capital One Multi-asset Execution Trust 2015-        
  A8 2.050% 8/15/23 85,040 84,670
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 5,904 5,957
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 3,608 3,657
4 Carmax Auto Owner Trust 2014-1 1.690% 8/15/19 2,530 2,536
4 Carmax Auto Owner Trust 2014-1 1.930% 11/15/19 4,730 4,730
4 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 4,400 4,416
4 Carmax Auto Owner Trust 2015-2 3.040% 11/15/21 5,850 5,869
4 Carmax Auto Owner Trust 2015-3 1.980% 2/16/21 9,765 9,820
4 Carmax Auto Owner Trust 2015-3 2.280% 4/15/21 3,875 3,879
4 Carmax Auto Owner Trust 2015-3 2.680% 6/15/21 5,560 5,583
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 21,400 21,731
4,7 CFCRE Commercial Mortgage Trust 2011-C1 5.836% 11/15/15 3,100 3,514
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.574% 11/15/15 14,930 17,408
4,6 Chase Issuance Trust 2007-C1 0.656% 11/16/15 30,415 30,269
4 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 2.648% 11/19/15 1,175 1,127
4,8 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 2.451% 11/20/15 14,143 12,226
4,8 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 2.621% 11/25/15 15,873 13,752
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 3,961 3,972
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.280% 7/15/19 4,785 4,785
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.930% 8/17/20 5,185 5,235
4,7 Chrysler Capital Auto Receivables Trust 2014-        
  AA 2.280% 11/15/19 10,230 10,277
4,7 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 9,330 9,333
4,6 Citibank Credit Card Issuance Trust 2008-A7 1.569% 11/20/15 49,891 51,044
4 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 16,000 16,601
4 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 80,045 80,938
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,980 6,121

 

 

4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,100 2,193
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 4,866 4,894
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,100 6,171
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 23,788 24,641
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 7,270 7,770
4,6,7Citigroup Commercial Mortgage Trust 2014-        
  388G 0.946% 11/15/15 18,500 18,367
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 1,565 1,674
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 6,190 6,468
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 3,665 3,790
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 30,155 31,888
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 11/10/15 6,830 7,105
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 11/10/15 10,396 10,693
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 11/10/15 3,754 3,835
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.453% 11/10/15 6,380 6,340
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 15,230 15,465
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 30,350 31,493
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 8,880 8,951
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 23,985 23,839
4 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 22,325 23,318
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 25,695 26,794
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.571% 9/10/58 8,000 8,327
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.571% 9/10/58 4,000 3,894
4,8 Citigroup Mortgage Loan Trust 2007-AR8 2.797% 11/25/15 1,249 1,162
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 22,811 23,405
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 19,608 19,249
4 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 11/15/15 22,565 23,519
4,6,7Colony American Homes 2014-1 1.400% 11/17/15 12,425 12,267
4,6,7Colony American Homes 2014-1 1.600% 5/17/31 15,545 15,286
4,6,7Colony American Homes 2015-1 1.397% 11/17/15 11,363 11,218
4,6,7Colony American Homes Single-Family Rental        
  Pass-Through Certificates 2014-2 1.545% 11/17/15 12,850 12,603
4 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 30,240 30,536
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 22,820 23,506
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 35,026 35,952

 

 

4 COMM 2007-C9 Mortgage Trust 5.796% 11/10/15 25,097 26,525
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,925 3,004
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 4,100 4,319
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 10,825 10,891
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,638
4 COMM 2012-CR3 Mortgage Trust 2.822% 10/15/45 23,195 23,315
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 13,320 14,334
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 43,975 47,785
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 14,650 15,468
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 35,181 37,713
4 COMM 2013-CCRE13 Mortgage Trust 4.753% 11/10/15 4,517 4,928
4 COMM 2013-CCRE13 Mortgage Trust 4.753% 11/10/15 8,240 8,520
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 25,210 27,308
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 38,814 40,549
4 COMM 2013-CCRE9 Mortgage Trust 4.234% 11/10/15 24,875 27,133
4,7 COMM 2013-CCRE9 Mortgage Trust 4.258% 11/10/15 11,250 12,134
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 20,657 21,229
4 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 9,520 10,179
4,7 COMM 2013-CR9 Mortgage Trust 4.258% 11/10/15 8,250 8,347
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 22,195 22,870
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 10,688 11,457
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 13,605 14,762
4,7 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 18,565 20,359
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 4,100 4,134
4,7 COMM 2013-SFS Mortgage Trust 2.987% 11/12/15 5,490 5,483
4,7 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 29,250 30,132
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 5,375 5,737
4 COMM 2014-CCRE15 Mortgage Trust 4.715% 11/10/15 8,250 8,996
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 16,800 17,320
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 17,040 18,317
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 13,450 14,588
4 COMM 2014-CR14 Mortgage Trust 4.236% 2/10/47 10,110 11,005
4 COMM 2014-CR17 Mortgage Trust 4.736% 11/10/15 4,250 4,379
4 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 34,940 37,237
4 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 27,380 29,101
4 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 10,600 11,117
4 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 28,019 29,532
4 COMM 2014-CR20 Mortgage Trust 3.590% 11/10/47 30,695 31,767
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 11,570 12,266
4 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 4,330 4,397
4 COMM 2015-CR24 Mortgage Trust 3.445% 8/10/55 10,030 10,464
4 COMM 2015-CR24 Mortgage Trust 3.696% 8/10/55 26,860 27,878
4 COMM 2015-CR25 Mortgage Trust 3.759% 8/10/48 45,881 47,857
4 COMM 2015-CR26 Mortgage Trust 3.630% 10/10/48 28,350 29,191
4 COMM 2015-CR27 Mortgage Trust 4.621% 11/10/15 8,118 7,771
4 COMM 2015-CR27 Mortgage Trust 3.612% 10/10/48 16,875 17,381
4 Commercial Mortgage Trust 2006-GG7 5.819% 11/10/15 30,303 30,486
7 Commonwealth Bank of Australia 2.000% 6/18/19 19,400 19,524
7 Commonwealth Bank of Australia 2.125% 7/22/20 38,330 38,295
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 42,700 43,190
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 5.824% 11/15/15 17,020 17,185
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.068% 11/15/15 35,118 38,003
4 CSAIL Commercial Mortgage Trust 2015-C2 3.504% 6/15/57 42,350 43,275
4 CSAIL Commercial Mortgage Trust 2015-C3 3.718% 8/15/48 40,535 42,095
4 CSAIL Commercial Mortgage Trust 2015-C3 4.112% 8/15/48 9,780 9,866

 

 

4 CSAIL Commercial Mortgage Trust 2015-C3 4.362% 8/15/48 10,600 10,086
4,7 DB Master Finance LL 2015-1 3.262% 2/20/45 10,425 10,443
4 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 114,300 114,340
4,6 Discover Card Execution Note Trust 2013-A1 0.496% 8/17/20 21,430 21,376
4 Discover Card Execution Note Trust 2014-A4 2.120% 12/15/21 50,450 51,117
4 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 79,310 79,292
4,7 Drive Auto Receivables Trust 2015-A 2.280% 6/17/19 16,040 16,068
4,7 Drive Auto Receivables Trust 2015-A 3.060% 5/17/21 8,060 8,038
4,7 Drive Auto Receivables Trust 2015-A 4.120% 7/15/22 5,860 5,791
4,7 Drive Auto Receivables Trust 2015-B 1.300% 6/15/18 7,030 7,024
4,7 Drive Auto Receivables Trust 2015-BA 2.120% 6/17/19 7,210 7,212
4,7 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 17,610 17,513
4,7 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 10,490 10,354
4,7 Drive Auto Receivables Trust 2015-C 2.230% 9/16/19 14,405 14,363
4,7 Drive Auto Receivables Trust 2015-C 3.010% 5/17/21 21,610 21,510
4,7 Drive Auto Receivables Trust 2015-C 4.200% 9/15/21 15,845 15,734
4,7 Drive Auto Receivables Trust 2015-DA 1.590% 12/17/18 21,900 21,891
4,7 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 24,600 24,589
4,7 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 24,600 24,631
4,7 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 25,000 25,101
4,6,7Edsouth Indenture No 5 LLC 2015-1 0.997% 11/25/15 34,969 34,492
4,7 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 6,768 6,766
4,7 Enterprise Fleet Financing LLC Series 2015-1 1.740% 9/20/20 11,850 11,889
4,7 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 24,390 24,577
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 11/25/15 3,939 3,953
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 11/25/15 3,340 3,346
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.347% 11/25/15 5,585 5,564
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.397% 11/25/15 10,533 10,531
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 11/25/15 14,203 14,279
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 11/25/15 17,817 17,858
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.793% 11/25/15 19,630 19,630
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.893% 11/25/15 9,460 9,460
4,8 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 2.110% 11/25/15 11,824 10,392
8 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 2.571% 11/25/15 24,399 21,259
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 3,472 3,472
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 22,593 22,585
4 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 8,390 8,364
4 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 16,775 16,733
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 16,270 16,227
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 4,870 4,896
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 12,338 12,376
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 12,800 12,844
4,7 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 20,918 21,116
4,7 Ford Credit Auto Owner Trust 2014-1 2.410% 11/15/25 6,440 6,453
4,7 Ford Credit Auto Owner Trust 2014-2 2.310% 4/15/26 32,410 32,686
4,7 Ford Credit Auto Owner Trust 2014-2 2.510% 4/15/26 5,760 5,775
4,7 Ford Credit Auto Owner Trust 2015-1 2.120% 7/15/26 22,750 22,731

 

 

4,7 Ford Credit Auto Owner Trust 2015-2 2.440% 1/15/27 61,000 61,598
4 Ford Credit Auto Owner Trust 2015-B 2.040% 10/15/20 12,700 12,747
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 12,035 12,072
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 5,380 5,397
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 26,574 26,821
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 117,285 117,413
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 7,100 7,114
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 8,550 8,614
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 25,544 25,560
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 9,560 9,569
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 6,180 6,229
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 6,630 6,690
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 2,650 2,684
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 10,238 10,251
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 4,473 4,510
4,6 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.696% 11/16/15 9,200 9,164
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 68,275 68,347
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 9,396 9,367
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 72,600 73,186
4,6 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2015-HQA1 1.444% 11/25/15 10,522 10,537
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 4,229 4,196
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 28,387 28,405
4,6 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.196% 11/16/15 49,966 49,996
4 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 72,000 72,819
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 89,890 89,827
4,6 GE Dealer Floorplan Master Note Trust Series        
  2012-2 0.944% 11/20/15 47,694 47,740
4,6 GE Dealer Floorplan Master Note Trust Series        
  2015-2 0.846% 11/20/15 10,860 10,821
4,7 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 7,900 7,908
4 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 6,350 6,350
4 GM Financial Leasing Trust 2015-2 2.420% 7/22/19 6,120 6,141
4 GM Financial Leasing Trust 2015-2 2.990% 7/22/19 5,440 5,453
4 GM Financial Leasing Trust 2015-3 1.690% 3/20/19 22,980 22,938
4 GM Financial Leasing Trust 2015-3 1.810% 11/20/19 2,380 2,375
4 GM Financial Leasing Trust 2015-3 2.320% 11/20/19 3,550 3,542
4 GM Financial Leasing Trust 2015-3 2.980% 11/20/19 7,820 7,802
4 GM Financial Leasing Trust 2015-3 3.480% 8/20/20 7,820 7,801

 

 

4 GMACM Mortgage Loan Trust 2005-AR6 2.930% 11/19/15 4,224 3,933
4,7 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 58,850 58,719
4,7 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 6,570 6,551
4,7 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 63,659 63,974
4,6,7Golden Credit Card Trust 2015-1A 0.636% 11/16/15 59,900 59,747
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 53,490 53,416
4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 20,500 21,284
4,6 Granite Master Issuer plc Series 2007-1 0.334% 11/20/15 2,731 2,715
4,6 Granite Master Issuer plc Series 2007-2 0.277% 11/17/15 907 901
4,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 11,500 11,491
4,7 Great America Leasing Receivables 2015-1 2.020% 6/21/21 4,920 4,926
4,7 GS Mortgage Securities Trust 2010-C2 5.182% 11/10/15 3,530 3,876
4,7 GS Mortgage Securities Trust 2011-GC3 5.555% 11/10/15 2,280 2,543
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 11/10/15 32,716 34,179
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 36,047 36,184
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,118
4 GS Mortgage Securities Trust 2013-GC13 4.036% 11/10/15 22,170 24,023
4,7 GS Mortgage Securities Trust 2013-GC13 4.069% 11/10/15 5,650 5,645
4 GS Mortgage Securities Trust 2013-GC14 3.955% 8/10/46 16,880 18,308
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 11/10/15 9,925 10,061
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 11/10/15 8,250 8,493
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 22,429 23,332
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 8,192 8,701
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 49,405 53,760
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 28,499 30,437
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 40,940 43,418
4 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 9,410 9,875
4 GS Mortgage Securities Trust 2014-GC24 4.529% 9/10/47 13,616 13,378
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 18,190 18,844
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 9,730 9,864
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 20,765 21,052
4 GS Mortgage Securities Trust 2015-GC32 4.402% 11/10/15 6,520 6,839
4 GS Mortgage Securities Trust 2015-GC32 4.412% 11/10/15 2,850 2,790
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 14,580 15,240
4 GS Mortgage Securities Trust 2015-GC34 4.810% 11/10/15 12,080 11,609
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 27,880 28,432
4 GS Mortgage Securities Trust 2015-GC34 4.466% 10/10/48 12,080 12,306
7 GTP Acquisition Partners I LLC 3.482% 6/16/25 26,340 26,187
4,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 34,473 34,641
4,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 55,039 56,209
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 60,150 60,220
4,7 Hertz Vehicle Financing LLC 2015-3 2.670% 9/25/21 13,570 13,513
4,7 Hilton USA Trust 2013-HLT 2.662% 11/5/30 15,740 15,681
4,7 Hilton USA Trust 2013-HLT 3.367% 11/5/30 16,365 16,355
4,7 Hilton USA Trust 2013-HLT 3.714% 11/5/30 7,365 7,346
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 30,910 30,413
4,7 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 8,800 8,788
4,7 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 10,100 10,113
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 1.650% 8/15/19 21,000 21,069
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 21,250 21,374
4,7 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 16,395 16,501
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 8,051 8,086

 

 

4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 5,805 5,823
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 9,790 9,923
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 6,500 6,598
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 5,470 5,605
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 8,350 8,388
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 5,710 5,790
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 10,050 10,098
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 3,510 3,522
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 8,360 8,391
4,6,7Hyundai Floorplan Master Owner Trust Series        
  2013-1 0.846% 11/16/15 8,950 8,943
4,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 15,714 15,853
6 Illinois Student Assistance Commission Series        
  2010-1 1.370% 1/25/16 13,872 13,876
4,6,7Invitation Homes 2014-SFR1 Trust 1.697% 11/17/15 24,491 24,184
4,6,7Invitation Homes 2014-SFR2 Trust 1.297% 9/17/31 11,731 11,550
4,6,7Invitation Homes 2014-SFR2 Trust 1.797% 9/17/31 8,980 8,851
4,6,7Invitation Homes 2015-SFR2 Trust 1.547% 11/17/15 7,376 7,292
4,7 Irvine Core Office Trust 2013-IRV 3.173% 11/15/15 14,450 14,621
4 John Deere Owner Trust 2015-B 1.780% 6/15/22 3,590 3,603
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 11/15/15 26,868 27,103
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 5.911% 11/15/15 18,331 18,676
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 4,784 5,013
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 11/12/15 39,412 41,778
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 38,917 40,429
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 11/15/15 28,956 30,687
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2009-IWST 5.633% 12/5/27 6,185 7,046
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 2,300 2,404
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.542% 11/15/15 6,225 6,750
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.542% 11/15/15 7,100 7,666
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 3,300 3,428
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 3,140 3,353
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 17,600 18,594
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 26,091 28,984
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 2,930 3,145
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.323% 8/15/46 4,100 4,732
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 18,490 19,469
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 13,145 13,225

 

 

4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,030 4,123
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 27,000 29,050
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,850 5,962
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 40,130 40,266
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 11/15/15 14,110 15,103
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.944% 11/15/15 21,150 23,024
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.009% 11/15/15 9,770 10,155
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 9,630 10,161
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 1,300 1,384
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 9,700 10,482
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.517% 12/15/46 14,600 15,807
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 4,866 4,887
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 14,181 14,254
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.025% 11/15/15 7,520 7,947
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 17,080 17,917
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 17,400 18,445
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 11,000 11,873
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.081% 11/15/15 13,360 14,034
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 13,285 13,702
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 4,050 4,272
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.131% 11/15/45 27,200 29,342
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 17,820 19,286
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 22,300 24,334
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.810% 11/15/15 13,200 14,192
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.810% 11/15/15 5,850 5,940
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 18,600 19,936
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 12,950 13,956
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 8,370 8,709

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 10,310 10,686
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 44,910 45,950
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 11/15/15 15,901 16,631
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.551% 7/15/48 23,680 24,046
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.559% 7/15/48 8,089 8,413
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.822% 7/15/48 40,150 42,002
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 9,210 9,618
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 16,990 17,395
4,7 Ladder Capital Commercial Mortgage 2013-        
  GCP Mortgage Trust 3.388% 5/15/31 18,640 19,375
4,6,7Lanark Master Issuer plc 2012-2A 1.729% 11/23/15 20,674 20,710
4,6,7Lanark Master Issuer plc 2013-1A 0.829% 11/23/15 14,352 14,332
4 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 11/15/15 52,159 52,329
4 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 20,835 21,357
4 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 9,718 9,992
4 LB-UBS Commercial Mortgage Trust 2007-C2 5.387% 2/15/40 28,972 30,329
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 26,587 28,580
4,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 2,551 2,552
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 12,460 13,382
4,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 4,219 4,220
4 MASTR Adjustable Rate Mortgages Trust        
  2004-3 2.267% 11/25/15 1,634 1,496
4,6 MBNA Credit Card Master Note Trust 2004-        
  A3 0.456% 8/16/21 89,145 88,304
4 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 31,970 31,898
4 Mercedes-Benz Auto Receivables Trust 2015-        
  1 1.750% 12/15/21 21,700 21,774
4,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 34,300 34,303
4,6,7Mercedes-Benz Master Owner Trust 2015-B 0.576% 11/16/15 9,160 9,104
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 2.043% 11/25/15 2,591 2,502
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 2.726% 11/25/15 719 706
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 10,859 11,075
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 8,241 8,709
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 3,742 3,752
4 ML-CFC Commercial Mortgage Trust 2006-2 5.877% 11/12/15 7,665 7,776
4 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 6,340 6,315
4,7 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 1,707 1,708
4,7 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 8,618 8,639
4,7 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 27,566 28,109
4,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 13,700 13,737
4,7 MMAF Equipment Finance LLC 2015-Aa 2.490% 2/19/36 33,860 33,988
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 21,300 21,988
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 2,000 2,093
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 5,700 5,721

 

 

4,7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-CKSV 3.277% 10/15/30 37,985 37,700
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.082% 11/15/15 27,100 29,290
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 9,836 10,181
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 8,445 9,073
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.214% 8/15/46 45,116 49,030
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 8,080 8,599
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/15 8,300 8,901
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 2.918% 2/15/46 6,400 6,425
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 3.214% 2/15/46 2,940 2,953
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C9 3.102% 5/15/46 27,425 27,767
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 16,600 17,773
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 17,500 18,841
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 15,170 16,229
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.325% 11/15/15 12,300 12,987
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.758% 11/15/15 12,300 12,775
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 36,290 38,374
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 9,540 10,042
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 3.741% 8/15/47 19,580 20,480
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 4.011% 8/15/47 5,340 5,578
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C18 3.923% 10/15/47 11,150 11,812
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.326% 12/15/47 14,610 15,077
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.526% 12/15/47 6,390 6,571
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.069% 2/15/48 8,060 8,191
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.249% 2/15/48 7,023 7,061
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 4/15/48 23,040 23,197
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 24,660 25,637
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.479% 5/15/48 20,280 20,712
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.732% 5/15/48 40,445 42,047

 

 

4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.383% 10/15/48 12,060 12,395
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 19,220 19,787
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 11/12/15 48,987 50,018
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 10,803 11,143
4 Morgan Stanley Capital I Trust 2007-IQ15 5.917% 11/11/15 31,583 33,210
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 11/12/15 46,642 49,301
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 16,052 16,668
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,500 2,618
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,045 17,316
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 27,955 29,300
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 11/13/15 24,440 25,313
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 31,420 32,155
4 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 2.156% 11/25/15 10,438 9,304
4,6 Navient Student Loan Trust 2014-1 0.947% 11/25/15 5,940 5,610
4,6 Navient Student Loan Trust 2015-1 0.797% 11/25/15 8,650 8,362
4,6 Navient Student Loan Trust 2015-3 0.847% 11/25/15 23,540 23,093
4,6 New Mexico Educational Assistance        
  Foundation 2013-1 0.893% 1/2/25 21,729 20,934
4 Nissan Auto Lease Trust 2015-A 1.580% 5/17/21 5,380 5,400
4 Nissan Auto Receivables 2015-B Owner Trust 1.790% 1/17/22 7,870 7,881
4,6 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.496% 11/16/15 20,441 20,433
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 12,139 12,161
6 North Carolina State Education Assistance        
  Authority 2011-1 1.220% 1/25/16 20,415 20,352
4,6 North Carolina State Education Assistance        
  Authority 2011-2 1.120% 1/25/16 4,927 4,893
4,7 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 10,065 11,054
4,6,7PFS Financing Corp. 2014-AA 0.796% 11/16/15 8,300 8,273
4,6,7PFS Financing Corp. 2015-AA 0.816% 11/16/15 10,150 10,096
4,7 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 14,440 14,494
4,7 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 7,320 7,212
4,7 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 25,060 25,060
4,7 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 9,310 9,310
4,6,7Resimac MBS Trust 2014-1A 1.036% 12/14/15 15,587 15,569
4,8 RFMSI Series 2006-SA2 Trust 3.605% 8/25/36 22,875 20,198
4,8 RFMSI Series 2006-SA3 Trust 3.827% 9/25/36 7,854 6,782
  Royal Bank of Canada 1.875% 2/5/20 24,700 24,500
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 24,054 24,156
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 7,946 7,961
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 15,520 15,495
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 14,985 15,177
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 21,130 21,089
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 24,580 24,640
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 24,580 24,671

 

 

4,6,7Silver Bay Realty 2014-1 Trust 1.197% 9/17/31 10,519 10,322
4,6,7Silver Bay Realty 2014-1 Trust 1.647% 9/17/31 6,500 6,390
4,6 SLM Student Loan Trust 2005-5 0.420% 1/25/16 35,335 34,785
4,6 SLM Student Loan Trust 2005-9 0.440% 1/25/16 10,871 10,828
4,6 SLM Student Loan Trust 2006-5 0.430% 1/25/16 24,500 23,809
4,6 SLM Student Loan Trust 2006-6 0.430% 1/25/16 36,118 35,521
4,6,7SLM Student Loan Trust 2011-A 1.196% 11/16/15 3,866 3,872
4,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 12,100 12,681
4,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 60,000 62,400
4,6,7SLM Student Loan Trust 2011-C 1.596% 11/16/15 1,677 1,679
4,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 22,200 23,326
4,6,7SLM Student Loan Trust 2012-B 1.296% 11/16/15 242 242
4,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 15,048 15,349
4,6,7SLM Student Loan Trust 2012-E 0.946% 11/16/15 8,048 8,042
4,6,7SLM Student Loan Trust 2013-1 1.246% 11/16/15 24,000 23,962
4,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 8,000 7,647
4,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 14,650 14,438
4,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 14,700 14,084
4,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 5,860 5,815
4,7 SLM Student Loan Trust 2014-A 2.590% 1/15/26 4,500 4,502
4,7 SLM Student Loan Trust 2014-A 3.500% 11/15/44 4,100 3,966
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 5,711 5,704
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 9,023 9,019
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 17,475 17,436
4,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 12,896 13,284
4,6 South Carolina Student Loan Corp. Revenue        
  2010-1 1.320% 1/25/16 21,592 21,731
4,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 24,490 24,240
7 Stadshypotek AB 1.750% 4/9/20 35,833 35,252
4,6,7SWAY Residential 2014-1 Trust 1.497% 11/17/15 22,706 22,460
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 14,500 14,638
4 Synchrony Credit Card Master Note Trust        
  2015-3 2.380% 9/15/23 40,360 40,460
4,7 Tidewater Auto Receivables Trust 2014-AA 1.400% 7/15/18 3,836 3,837
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 22,300 22,915
7 Toronto-Dominion Bank 1.950% 4/2/20 35,735 35,532
4,6,7Trade MAPS 1 Ltd. 2013-1A 0.895% 11/10/15 29,820 29,844
4,6,7Trade MAPS 1 Ltd. 2013-1A 1.445% 11/10/15 5,640 5,626
4,6,7Trade MAPS 1 Ltd. 2013-1A 2.445% 11/10/15 3,095 3,075
4,6,7Trafigura Securitisation Finance plc 2014-1A 1.146% 11/16/15 20,770 20,750
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,250 1,331
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 24,595 25,275
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 8,915 8,949
4,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 13,250 13,230
4,7 VNO 2013-PENN Mortgage Trust 3.947% 11/13/15 3,270 3,471
4,7 VNO 2013-PENN Mortgage Trust 3.947% 11/13/15 2,450 2,571
4,7 VNO 2013-PENN Mortgage Trust 3.808% 12/13/29 11,130 11,689
4,7 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 39,464 39,262
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 9,160 9,207
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 11/15/15 7,611 7,759
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 40,214 41,294

 

 

4 Wachovia Bank Commercial Mortgage Trust        
Series 2006-C29 5.297% 11/15/48 32,527 33,584
4 WaMu Mortgage Pass-Through Certificates        
Series 2002-AR18 2.521% 11/25/15 201 201
4 WaMu Mortgage Pass-Through Certificates        
Series 2003-AR7 2.414% 8/25/33 1,285 1,265
4 WaMu Mortgage Pass-Through Certificates        
Series 2003-AR9 2.519% 9/25/33 1,811 1,808
4 Wells Fargo Commercial Mortgage Trust        
2012-LC5 2.918% 10/15/45 29,967 30,271
4 Wells Fargo Commercial Mortgage Trust        
2012-LC5 3.539% 10/15/45 1,650 1,703
4 Wells Fargo Commercial Mortgage Trust        
2013-LC12 3.928% 11/15/15 8,075 8,657
4 Wells Fargo Commercial Mortgage Trust        
2013-LC12 4.218% 11/15/15 34,646 37,539
4 Wells Fargo Commercial Mortgage Trust        
2013-LC12 4.299% 11/15/15 4,906 5,302
4 Wells Fargo Commercial Mortgage Trust        
2014-LC16 3.477% 8/15/50 17,100 17,809
4 Wells Fargo Commercial Mortgage Trust        
2014-LC16 3.817% 8/15/50 43,100 45,298
4 Wells Fargo Commercial Mortgage Trust        
2014-LC16 4.020% 8/15/50 7,100 7,424
Wells Fargo Commercial Mortgage Trust        
2014-LC16 4.322% 8/15/50 12,250 12,680
Wells Fargo Commercial Mortgage Trust        
2014-LC16 4.458% 8/15/50 6,830 6,689
4 Wells Fargo Commercial Mortgage Trust        
2014-LC18 3.244% 12/15/47 31,900 32,679
4 Wells Fargo Commercial Mortgage Trust        
2015-C26 2.991% 2/15/48 13,450 13,555
4 Wells Fargo Commercial Mortgage Trust        
2015-C26 3.166% 2/15/48 16,400 16,267
4 Wells Fargo Commercial Mortgage Trust        
2015-C27 3.190% 2/15/48 7,350 7,336
4 Wells Fargo Commercial Mortgage Trust        
2015-C27 3.278% 2/15/48 8,570 8,780
4 Wells Fargo Commercial Mortgage Trust        
2015-C27 3.451% 2/15/48 26,050 26,500
4 Wells Fargo Commercial Mortgage Trust        
2015-C29 4.225% 11/15/15 12,420 11,656
4 Wells Fargo Commercial Mortgage Trust        
2015-C29 3.400% 6/15/48 4,194 4,330
4 Wells Fargo Commercial Mortgage Trust        
2015-C29 3.637% 6/15/48 31,575 32,536
4 Wells Fargo Commercial Mortgage Trust        
2015-C30 3.411% 9/15/58 34,310 34,769
4 Wells Fargo Commercial Mortgage Trust        
2015-C30 3.664% 9/15/58 20,610 21,291
4 Wells Fargo Commercial Mortgage Trust        
2015-C30 4.067% 9/15/58 17,222 17,818
4 Wells Fargo Commercial Mortgage Trust        
2015-C30 4.496% 9/15/58 6,130 5,899
4 Wells Fargo Commercial Mortgage Trust        
2015-LC22 3.839% 9/15/58 24,490 25,649

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 8,550 8,947
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.538% 9/15/58 3,200 3,329
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.538% 9/15/58 8,000 7,676
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 12/15/47 7,730 8,015
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 12/15/47 23,195 24,246
4,8 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 2.741% 11/25/15 19,063 17,712
4,7 Wendys Funding LLC 2015-1 4.080% 6/15/45 16,330 16,427
7 Westpac Banking Corp. 2.000% 3/3/20 24,850 24,804
4,7 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 38,950 40,138
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 11,545 12,547
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 10,955 10,995
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 11/15/15 5,056 5,392
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 11,630 12,116
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 4,400 4,469
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 23,790 24,090
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,860 2,920
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,230 2,255
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 22,490 23,851
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 2,800 3,022
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 14,650 16,082
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 3,500 3,690
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 4.023% 12/15/46 9,770 10,459
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.670% 11/15/15 5,775 6,210
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 6,710 7,108
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 25,260 27,295
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 20,984 22,589
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 11/15/15 4,500 4,445
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.638% 5/15/47 21,637 22,763
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 38,311 40,918
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.378% 5/15/47 11,110 11,556
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 32,990 34,291
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 7,130 7,378
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 12,290 11,832

 

 

4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 4,980 5,273
4 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 15,520 16,047
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 11/15/15 26,645 28,571
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 2,100 2,203
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 19,000 19,027
4,6 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.676% 11/16/15 20,670 20,564
4 World Omni Automobile Lease Securitization        
  Trust 2015-A 1.730% 12/15/20 6,555 6,589
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $11,027,384)   11,045,723
Corporate Bonds (60.8%)        
Finance (28.8%)        
  Banking (23.1%)        
  Abbey National Treasury Services plc 4.000% 4/27/16 35,212 35,789
  Abbey National Treasury Services plc 1.375% 3/13/17 93,971 93,974
  Abbey National Treasury Services plc 1.650% 9/29/17 5,280 5,301
  Abbey National Treasury Services plc 3.050% 8/23/18 45,920 47,371
  Abbey National Treasury Services plc 2.000% 8/24/18 28,228 28,361
  Abbey National Treasury Services plc 2.350% 9/10/19 8,485 8,536
  Abbey National Treasury Services plc 2.375% 3/16/20 58,631 58,727
7 ABN AMRO Bank NV 1.800% 6/4/18 28,325 28,299
  American Express Centurion Bank 6.000% 9/13/17 64,650 69,747
  American Express Co. 6.150% 8/28/17 19,963 21,570
  American Express Co. 7.000% 3/19/18 22,315 25,019
  American Express Credit Corp. 2.800% 9/19/16 56,170 57,161
  American Express Credit Corp. 2.375% 3/24/17 31,210 31,726
  American Express Credit Corp. 1.550% 9/22/17 11,440 11,454
  American Express Credit Corp. 1.875% 11/5/18 36,146 36,165
  American Express Credit Corp. 2.125% 3/18/19 17,349 17,466
  American Express Credit Corp. 2.250% 8/15/19 24,247 24,328
  American Express Credit Corp. 2.375% 5/26/20 34,000 33,952
  American Express Credit Corp. 2.600% 9/14/20 18,542 18,696
7 ANZ New Zealand International Ltd. 1.750% 3/29/18 29,305 29,314
7 Australia & New Zealand Banking Group Ltd. 3.250% 3/1/16 28,325 28,540
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 53,942 54,352
  Australia & New Zealand Banking Group Ltd. 1.450% 5/15/18 16,600 16,515
7 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 36,815 37,209
  Banco Bilbao Vizcaya Argentaria SA 3.000% 10/20/20 42,480 42,489
7 Banco Votorantim SA 5.250% 2/11/16 11,720 11,716
  Bank of America Corp. 3.625% 3/17/16 32,076 32,425
  Bank of America Corp. 6.050% 5/16/16 33,472 34,314
  Bank of America Corp. 6.500% 8/1/16 81,244 84,547
  Bank of America Corp. 5.420% 3/15/17 21,197 22,240
  Bank of America Corp. 5.700% 5/2/17 6,525 6,883
  Bank of America Corp. 6.400% 8/28/17 14,568 15,773
  Bank of America Corp. 6.000% 9/1/17 43,443 46,677
  Bank of America Corp. 5.750% 12/1/17 39,447 42,596
  Bank of America Corp. 2.000% 1/11/18 38,277 38,410
  Bank of America Corp. 6.875% 4/25/18 47,676 53,216
  Bank of America Corp. 5.650% 5/1/18 15,500 16,862
  Bank of America Corp. 1.950% 5/12/18 29,300 29,353
  Bank of America Corp. 1.750% 6/5/18 53,480 53,350

 

 

Bank of America Corp. 2.600% 1/15/19 117,339 118,636
Bank of America NA 1.125% 11/14/16 63,100 63,256
Bank of America NA 1.250% 2/14/17 19,100 19,150
Bank of America NA 5.300% 3/15/17 9,760 10,248
Bank of America NA 6.100% 6/15/17 6,429 6,858
Bank of America NA 1.650% 3/26/18 70,815 70,705
Bank of Montreal 2.500% 1/11/17 18,545 18,874
Bank of Montreal 1.300% 7/14/17 19,000 19,037
Bank of Montreal 1.400% 9/11/17 25,675 25,725
Bank of Montreal 1.450% 4/9/18 10,670 10,592
Bank of Montreal 1.400% 4/10/18 31,155 30,995
Bank of Montreal 1.800% 7/31/18 36,610 36,718
Bank of New York Mellon Corp. 1.969% 12/20/15 8,100 8,197
Bank of New York Mellon Corp. 2.300% 7/28/16 8,594 8,703
Bank of New York Mellon Corp. 2.400% 1/17/17 28,950 29,387
Bank of New York Mellon Corp. 2.100% 1/15/19 3,460 3,478
Bank of New York Mellon Corp. 2.200% 5/15/19 43,940 44,299
Bank of New York Mellon Corp. 2.300% 9/11/19 29,290 29,647
Bank of New York Mellon Corp. 2.150% 2/24/20 21,000 21,043
Bank of New York Mellon Corp. 2.600% 8/17/20 19,120 19,440
Bank of Nova Scotia 1.375% 7/15/16 38,978 39,167
Bank of Nova Scotia 2.550% 1/12/17 90,083 91,704
Bank of Nova Scotia 1.250% 4/11/17 9,765 9,766
Bank of Nova Scotia 1.300% 7/21/17 21,154 21,153
Bank of Nova Scotia 1.375% 12/18/17 31,425 31,358
Bank of Nova Scotia 1.450% 4/25/18 46,055 45,903
Bank of Nova Scotia 1.700% 6/11/18 37,000 36,994
Bank of Nova Scotia 2.050% 10/30/18 68,761 69,306
Bank of Nova Scotia 2.050% 6/5/19 10,850 10,856
Bank of Nova Scotia 2.350% 10/21/20 53,670 53,507
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.150% 9/14/18 32,373 32,429
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/10/19 11,750 11,703
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 39,075 38,699
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 27,975 28,070
7 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 50,515 50,456
Barclays Bank plc 5.000% 9/22/16 15,695 16,241
Barclays Bank plc 2.500% 2/20/19 66,560 67,562
Barclays plc 2.750% 11/8/19 27,378 27,476
Barclays plc 2.875% 6/8/20 24,420 24,524
BB&T Corp. 3.200% 3/15/16 14,240 14,346
BB&T Corp. 2.150% 3/22/17 69,521 70,355
BB&T Corp. 4.900% 6/30/17 9,750 10,244
BB&T Corp. 1.600% 8/15/17 6,820 6,847
BB&T Corp. 2.050% 6/19/18 18,058 18,175
BB&T Corp. 2.450% 1/15/20 24,415 24,571
Bear Stearns Cos. LLC 5.550% 1/22/17 24,436 25,608
Bear Stearns Cos. LLC 6.400% 10/2/17 38,076 41,229
Bear Stearns Cos. LLC 7.250% 2/1/18 21,551 24,106
BNP Paribas SA 1.375% 3/17/17 46,900 46,959
BNP Paribas SA 2.375% 9/14/17 110,205 111,922
BNP Paribas SA 2.700% 8/20/18 70,011 71,495
BNP Paribas SA 2.400% 12/12/18 2,850 2,890
9 BPCE SA 3.500% 4/24/16 21,990 15,557
BPCE SA 1.625% 2/10/17 40,745 40,904
BPCE SA 1.613% 7/25/17 17,366 17,366
BPCE SA 1.625% 1/26/18 1,761 1,759
BPCE SA 2.500% 12/10/18 77,265 78,451

 

 

  BPCE SA 2.250% 1/27/20 5,745 5,748
  Branch Banking & Trust Co. 5.625% 9/15/16 9,510 9,866
  Branch Banking & Trust Co. 1.000% 4/3/17 25,400 25,346
  Branch Banking & Trust Co. 1.350% 10/1/17 29,280 29,279
7 Caisse Centrale Desjardins 1.750% 1/29/18 68,370 68,196
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 27,065 27,073
  Capital One Bank USA NA 1.150% 11/21/16 11,720 11,683
  Capital One Bank USA NA 1.200% 2/13/17 8,750 8,704
  Capital One Bank USA NA 2.150% 11/21/18 11,650 11,614
  Capital One Bank USA NA 2.250% 2/13/19 24,420 24,359
  Capital One Bank USA NA 2.300% 6/5/19 22,420 22,275
  Capital One Financial Corp. 6.150% 9/1/16 4,335 4,507
  Capital One Financial Corp. 2.450% 4/24/19 25,525 25,509
  Capital One NA 1.500% 9/5/17 17,570 17,484
  Capital One NA 1.650% 2/5/18 27,200 27,023
  Capital One NA 1.500% 3/22/18 60,395 59,506
  Citigroup Inc. 5.850% 8/2/16 8,595 8,896
  Citigroup Inc. 4.450% 1/10/17 41,720 43,262
  Citigroup Inc. 1.350% 3/10/17 7,914 7,905
  Citigroup Inc. 6.125% 11/21/17 53,745 58,473
  Citigroup Inc. 1.850% 11/24/17 60,550 60,706
  Citigroup Inc. 1.800% 2/5/18 36,140 36,078
  Citigroup Inc. 1.700% 4/27/18 83,010 82,596
  Citigroup Inc. 1.750% 5/1/18 54,775 54,501
  Citigroup Inc. 6.125% 5/15/18 5,856 6,448
  Citigroup Inc. 2.150% 7/30/18 7,400 7,424
  Citigroup Inc. 2.500% 9/26/18 61,030 61,700
  Citigroup Inc. 2.550% 4/8/19 58,586 59,183
  Citigroup Inc. 2.500% 7/29/19 21,060 21,142
4,7,10 Colonial BancGroup Inc. 7.114% 11/15/09 25,100 3
  Comerica Bank 5.750% 11/21/16 17,000 17,778
  Comerica Bank 5.200% 8/22/17 6,825 7,245
  Commonwealth Bank of Australia 1.125% 3/13/17 9,750 9,758
  Commonwealth Bank of Australia 1.400% 9/8/17 53,400 53,466
  Commonwealth Bank of Australia 1.900% 9/18/17 19,030 19,211
  Commonwealth Bank of Australia 1.625% 3/12/18 23,445 23,466
  Commonwealth Bank of Australia 2.500% 9/20/18 64,205 65,501
  Commonwealth Bank of Australia 1.750% 11/2/18 21,785 21,749
  Commonwealth Bank of Australia 2.250% 3/13/19 57,815 58,141
  Commonwealth Bank of Australia 2.300% 9/6/19 34,200 34,156
  Commonwealth Bank of Australia 2.300% 3/12/20 21,490 21,485
  Commonwealth Bank of Australia 2.400% 11/2/20 27,583 27,486
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.375% 1/19/17 89,189 91,560
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 1.700% 3/19/18 46,263 46,492
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/19 76,230 76,875
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/20 25,125 25,150
  Countrywide Financial Corp. 6.250% 5/15/16 37,914 38,898
  Credit Suisse 1.375% 5/26/17 46,525 46,477
  Credit Suisse 1.750% 1/29/18 40,800 40,856
  Credit Suisse 1.700% 4/27/18 58,595 58,416
  Credit Suisse 2.300% 5/28/19 69,795 70,010
7 Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 14,655 14,556
7 Danske Bank A/S 3.875% 4/14/16 34,300 34,747

 

 

7 Danske Bank A/S 2.750% 9/17/20 66,305 67,134
  Deutsche Bank AG 1.400% 2/13/17 93,890 93,686
  Deutsche Bank AG 6.000% 9/1/17 97,907 105,122
  Deutsche Bank AG 1.875% 2/13/18 56,405 56,178
  Deutsche Bank AG 2.500% 2/13/19 21,485 21,670
  Deutsche Bank AG 2.950% 8/20/20 29,287 29,371
  Discover Bank 2.600% 11/13/18 24,412 24,519
  Discover Bank 3.100% 6/4/20 24,430 24,649
  Fifth Third Bank 0.900% 2/26/16 24,395 24,385
  Fifth Third Bank 2.150% 8/20/18 32,157 32,386
  Fifth Third Bank 2.375% 4/25/19 25,627 25,759
  First Horizon National Corp. 5.375% 12/15/15 31,966 32,118
  First Republic Bank 2.375% 6/17/19 47,605 47,385
  Goldman Sachs Group Inc. 5.625% 1/15/17 37,115 38,882
11 Goldman Sachs Group Inc. 6.125% 5/14/17 37,400 61,016
  Goldman Sachs Group Inc. 6.250% 9/1/17 73,865 79,985
  Goldman Sachs Group Inc. 5.950% 1/18/18 108,310 118,139
  Goldman Sachs Group Inc. 2.375% 1/22/18 80,630 81,849
  Goldman Sachs Group Inc. 6.150% 4/1/18 31,713 34,881
  Goldman Sachs Group Inc. 2.900% 7/19/18 81,521 83,778
9 Goldman Sachs Group Inc. 5.000% 8/8/18 12,310 9,161
  Goldman Sachs Group Inc. 2.625% 1/31/19 68,810 69,932
  Goldman Sachs Group Inc. 2.550% 10/23/19 27,660 27,859
  Goldman Sachs Group Inc. 5.375% 3/15/20 20,957 23,415
  Goldman Sachs Group Inc. 2.750% 9/15/20 38,036 38,226
7 HSBC Bank plc 1.500% 5/15/18 17,965 17,860
  HSBC Bank USA NA 6.000% 8/9/17 10,110 10,825
  HSBC USA Inc. 1.500% 11/13/17 7,190 7,171
  HSBC USA Inc. 1.625% 1/16/18 56,555 56,334
  HSBC USA Inc. 2.625% 9/24/18 36,735 37,359
  HSBC USA Inc. 2.250% 6/23/19 29,545 29,535
  HSBC USA Inc. 2.375% 11/13/19 48,435 48,353
  HSBC USA Inc. 2.350% 3/5/20 49,334 48,812
  HSBC USA Inc. 2.750% 8/7/20 41,414 41,709
  Huntington Bancshares Inc. 2.600% 8/2/18 34,190 34,536
  Huntington National Bank 1.375% 4/24/17 25,150 25,049
  Huntington National Bank 2.000% 6/30/18 53,720 53,738
  Huntington National Bank 2.875% 8/20/20 33,581 33,708
7 ING Bank NV 3.750% 3/7/17 66,683 68,647
7 ING Bank NV 1.800% 3/16/18 8,204 8,203
7 ING Bank NV 2.050% 8/17/18 24,410 24,517
7 ING Bank NV 2.450% 3/16/20 39,075 39,244
7 ING Bank NV 2.700% 8/17/20 3,907 3,950
  Intesa Sanpaolo SPA 2.375% 1/13/17 18,283 18,378
  Intesa Sanpaolo SPA 3.875% 1/16/18 26,174 26,998
4 JPMorgan Chase & Co. 5.300% 5/1/16 14,010 14,028
  JPMorgan Chase & Co. 3.150% 7/5/16 49,792 50,591
  JPMorgan Chase & Co. 1.350% 2/15/17 12,476 12,498
  JPMorgan Chase & Co. 2.000% 8/15/17 25,984 26,206
  JPMorgan Chase & Co. 6.000% 1/15/18 71,913 78,476
  JPMorgan Chase & Co. 1.800% 1/25/18 19,720 19,777
  JPMorgan Chase & Co. 1.700% 3/1/18 58,963 58,940
  JPMorgan Chase & Co. 1.625% 5/15/18 18,926 18,851
  JPMorgan Chase & Co. 2.350% 1/28/19 85,037 85,779
  JPMorgan Chase & Co. 6.300% 4/23/19 49,974 56,783
  JPMorgan Chase & Co. 2.200% 10/22/19 73,137 72,918
  JPMorgan Chase & Co. 2.250% 1/23/20 72,665 72,028

 

 

  JPMorgan Chase & Co. 2.750% 6/23/20 88,183 88,836
  JPMorgan Chase & Co. 2.550% 10/29/20 56,519 56,237
  JPMorgan Chase Bank NA 5.875% 6/13/16 9,750 10,037
11 JPMorgan Chase Bank NA 5.375% 9/28/16 13,750 21,863
  JPMorgan Chase Bank NA 6.000% 7/5/17 8,592 9,224
  JPMorgan Chase Bank NA 6.000% 10/1/17 35,313 38,164
  KeyBank NA 1.650% 2/1/18 5,305 5,303
  KeyBank NA 1.700% 6/1/18 9,750 9,731
4,7 LBG Capital No.1 plc 8.000% 12/15/15 10,997 12,317
  Lloyds Bank plc 1.750% 5/14/18 21,290 21,286
  Lloyds Bank plc 2.000% 8/17/18 37,105 37,228
  Lloyds Bank plc 2.300% 11/27/18 13,185 13,386
  Lloyds Bank plc 2.350% 9/5/19 15,160 15,185
  Lloyds Bank plc 2.400% 3/17/20 34,190 34,225
  Lloyds Bank plc 2.700% 8/17/20 27,660 27,939
7 Macquarie Bank Ltd. 1.600% 10/27/17 57,550 57,213
7 Macquarie Bank Ltd. 2.400% 1/21/20 36,370 36,218
7 Macquarie Bank Ltd. 4.875% 6/10/25 21,000 20,934
  Manufacturers & Traders Trust Co. 1.250% 1/30/17 9,750 9,748
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 39,089 42,858
  Manufacturers & Traders Trust Co. 1.450% 3/7/18 34,010 33,741
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 38,480 38,744
  Manufacturers & Traders Trust Co. 2.250% 7/25/19 40,550 40,565
  Manufacturers & Traders Trust Co. 2.100% 2/6/20 19,530 19,287
4 Manufacturers & Traders Trust Co. 5.629% 12/1/21 9,755 9,650
7 Mitsubishi UFJ Trust & Banking Corp. 1.600% 10/16/17 29,290 29,171
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 29,290 29,208
7 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 30,625 30,561
  Morgan Stanley 3.800% 4/29/16 39,075 39,662
  Morgan Stanley 5.750% 10/18/16 69,245 72,377
  Morgan Stanley 5.450% 1/9/17 27,352 28,640
  Morgan Stanley 5.550% 4/27/17 19,495 20,646
  Morgan Stanley 6.250% 8/28/17 8,665 9,378
  Morgan Stanley 5.950% 12/28/17 54,821 59,630
  Morgan Stanley 1.875% 1/5/18 62,508 62,851
  Morgan Stanley 6.625% 4/1/18 22,850 25,358
  Morgan Stanley 2.125% 4/25/18 30,740 30,983
  Morgan Stanley 2.500% 1/24/19 33,000 33,399
  Morgan Stanley 2.375% 7/23/19 44,790 44,767
  Morgan Stanley 2.650% 1/27/20 32,700 32,922
  Morgan Stanley 2.800% 6/16/20 32,600 32,896
  MUFG Americas Holdings Corp. 1.625% 2/9/18 14,400 14,364
  MUFG Americas Holdings Corp. 2.250% 2/10/20 29,300 29,052
  MUFG Union Bank NA 5.950% 5/11/16 53,730 55,064
  MUFG Union Bank NA 3.000% 6/6/16 56,590 57,302
  MUFG Union Bank NA 1.500% 9/26/16 39,855 40,031
  MUFG Union Bank NA 2.125% 6/16/17 29,740 30,053
  MUFG Union Bank NA 2.625% 9/26/18 39,640 40,236
  MUFG Union Bank NA 2.250% 5/6/19 24,420 24,478
  National Australia Bank Ltd. 2.300% 7/25/18 21,800 22,061
  National City Bank 5.250% 12/15/16 14,750 15,372
  National City Bank 5.800% 6/7/17 14,625 15,490
  National City Corp. 6.875% 5/15/19 8,085 9,267
7 Nationwide Building Society 2.350% 1/21/20 32,782 32,736
7 Nordea Bank AB 1.875% 9/17/18 16,220 16,215
7 Nordea Bank AB 2.500% 9/17/20 12,568 12,611
  PNC Bank NA 5.250% 1/15/17 27,935 29,192

 

 

PNC Bank NA 1.125% 1/27/17 46,690 46,697
PNC Bank NA 4.875% 9/21/17 22,535 23,753
PNC Bank NA 1.500% 10/18/17 48,800 48,854
PNC Bank NA 6.000% 12/7/17 4,885 5,296
PNC Bank NA 1.500% 2/23/18 55,800 55,691
PNC Bank NA 6.875% 4/1/18 4,197 4,655
PNC Bank NA 1.600% 6/1/18 81,400 81,324
PNC Bank NA 1.850% 7/20/18 24,260 24,319
PNC Bank NA 1.800% 11/5/18 31,674 31,723
PNC Bank NA 2.200% 1/28/19 48,707 49,102
PNC Bank NA 2.250% 7/2/19 44,590 44,731
PNC Bank NA 2.400% 10/18/19 71,148 71,632
PNC Bank NA 2.300% 6/1/20 14,636 14,542
PNC Bank NA 2.600% 7/21/20 14,430 14,597
PNC Bank NA 2.450% 11/5/20 15,636 15,623
PNC Funding Corp. 2.700% 9/19/16 40,143 40,707
PNC Funding Corp. 5.625% 2/1/17 4,380 4,598
PNC Funding Corp. 5.125% 2/8/20 7,230 8,064
Regions Bank 7.500% 5/15/18 7,579 8,525
Regions Financial Corp. 2.000% 5/15/18 27,350 27,339
Royal Bank of Canada 2.875% 4/19/16 73,300 74,125
Royal Bank of Canada 2.300% 7/20/16 41,185 41,588
Royal Bank of Canada 1.250% 6/16/17 19,520 19,535
Royal Bank of Canada 1.400% 10/13/17 26,360 26,419
Royal Bank of Canada 1.500% 1/16/18 3,900 3,904
Royal Bank of Canada 2.200% 7/27/18 25,890 26,257
Royal Bank of Canada 1.800% 7/30/18 18,752 18,828
Royal Bank of Canada 2.100% 10/14/20 31,900 31,744
Royal Bank of Canada 2.350% 10/30/20 26,240 26,197
Royal Bank of Scotland Group plc 6.400% 10/21/19 8,295 9,271
Royal Bank of Scotland plc 4.375% 3/16/16 3,945 3,994
Royal Bank of Scotland plc 5.625% 8/24/20 12,650 14,255
Santander Bank NA 8.750% 5/30/18 33,955 38,810
7 Skandinaviska Enskilda Banken AB 2.450% 5/27/20 12,145 12,205
Societe Generale SA 2.750% 10/12/17 24,310 24,784
4 State Street Corp. 5.250% 3/15/16 14,020 14,125
State Street Corp. 2.550% 8/18/20 24,652 24,919
Sumitomo Mitsui Banking Corp. 1.350% 7/11/17 14,620 14,549
Sumitomo Mitsui Banking Corp. 2.450% 10/20/20 6,322 6,285
SunTrust Banks Inc. 3.500% 1/20/17 12,711 13,002
SunTrust Banks Inc. 6.000% 9/11/17 8,795 9,476
Svenska Handelsbanken AB 2.500% 1/25/19 22,830 23,253
Svenska Handelsbanken AB 2.400% 10/1/20 18,853 18,831
Synchrony Financial 3.000% 8/15/19 85,990 86,880
Synchrony Financial 2.700% 2/3/20 39,200 38,626
Synchrony Financial 3.750% 8/15/21 9,760 9,831
Toronto-Dominion Bank 2.500% 7/14/16 23,423 23,728
Toronto-Dominion Bank 1.625% 3/13/18 63,495 63,712
Toronto-Dominion Bank 1.400% 4/30/18 28,510 28,408
Toronto-Dominion Bank 1.750% 7/23/18 51,810 52,034
Toronto-Dominion Bank 2.125% 7/2/19 63,831 64,280
Toronto-Dominion Bank 2.250% 11/5/19 57,880 58,289
UBS AG 5.875% 12/20/17 52,925 57,369
UBS AG 1.800% 3/26/18 69,340 69,393
UBS AG 5.750% 4/25/18 72,185 78,750
UBS AG 2.375% 8/14/19 59,630 59,920
7 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 24,395 24,411

 

 

  US Bank NA 1.100% 1/30/17 5,729 5,744
  US Bank NA 1.375% 9/11/17 42,077 42,125
  US Bank NA 1.350% 1/26/18 22,067 22,006
  US Bank NA 2.125% 10/28/19 37,470 37,678
  Wachovia Bank NA 5.600% 3/15/16 26,540 27,003
  Wachovia Corp. 5.625% 10/15/16 34,080 35,595
  Wachovia Corp. 5.750% 6/15/17 37,230 39,828
  Wachovia Corp. 5.750% 2/1/18 53,681 58,582
10 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 6.875% 6/15/11 21,983 55
  Wells Fargo & Co. 3.676% 3/15/16 53,334 54,394
  Wells Fargo & Co. 1.150% 6/2/17 7,300 7,304
  Wells Fargo & Co. 1.400% 9/8/17 36,020 36,084
  Wells Fargo & Co. 5.625% 12/11/17 19,840 21,535
  Wells Fargo & Co. 1.500% 1/16/18 40,770 40,914
  Wells Fargo & Co. 2.150% 1/15/19 35,436 35,721
  Wells Fargo & Co. 2.125% 4/22/19 102,100 102,561
  Wells Fargo & Co. 2.150% 1/30/20 74,665 74,395
  Wells Fargo & Co. 2.600% 7/22/20 61,255 61,744
  Wells Fargo Bank NA 6.000% 11/15/17 53,763 58,355
  Westpac Banking Corp. 0.950% 1/12/16 19,436 19,461
  Westpac Banking Corp. 1.050% 11/25/16 24,571 24,625
  Westpac Banking Corp. 1.200% 5/19/17 19,436 19,444
  Westpac Banking Corp. 2.000% 8/14/17 54,486 55,267
  Westpac Banking Corp. 1.500% 12/1/17 48,825 48,882
  Westpac Banking Corp. 1.600% 1/12/18 44,378 44,533
  Westpac Banking Corp. 1.550% 5/25/18 30,270 30,189
  Westpac Banking Corp. 2.250% 7/30/18 20,830 21,115
  Westpac Banking Corp. 2.250% 1/17/19 23,400 23,540
  Westpac Banking Corp. 4.875% 11/19/19 35,464 39,149
  Westpac Banking Corp. 2.300% 5/26/20 23,770 24,053
  Zions Bancorporation 5.500% 11/16/15 819 819
 
  Brokerage (0.5%)        
  Ameriprise Financial Inc. 5.650% 11/15/15 3,160 3,162
4 Ameriprise Financial Inc. 7.518% 6/1/66 6,634 6,501
  Charles Schwab Corp. 6.375% 9/1/17 5,860 6,385
  Charles Schwab Corp. 1.500% 3/10/18 19,535 19,545
  Franklin Resources Inc. 1.375% 9/15/17 15,056 15,087
  Jefferies Group LLC 5.125% 4/13/18 12,335 12,951
  Legg Mason Inc. 2.700% 7/15/19 5,860 5,881
10 Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 9,410 1
  Nomura Holdings Inc. 4.125% 1/19/16 23,440 23,603
  Nomura Holdings Inc. 2.000% 9/13/16 93,195 93,820
  Nomura Holdings Inc. 2.750% 3/19/19 26,430 26,818
  NYSE Euronext 2.000% 10/5/17 39,586 40,040
  TD Ameritrade Holding Corp. 2.950% 4/1/22 17,515 17,426
 
  Finance Companies (1.2%)        
  Air Lease Corp. 5.625% 4/1/16 81,514 85,182
  Air Lease Corp. 3.375% 1/15/19 31,655 32,209
7 GE Capital International Funding Co. 0.964% 4/15/16 310,148 310,644
7 GE Capital International Holding Corp. 2.342% 11/15/20 44,889 44,983
  General Electric Capital Corp. 2.250% 11/9/15 18,773 18,778
  General Electric Capital Corp. 1.000% 12/11/15 6,813 6,817
  General Electric Capital Corp. 5.000% 1/8/16 22,888 23,067
  General Electric Capital Corp. 2.950% 5/9/16 17,620 17,837

 

 

  General Electric Capital Corp. 6.000% 8/7/19 4,132 4,737
  General Electric Capital Corp. 2.200% 1/9/20 12,767 12,896
4 General Electric Capital Corp. 6.375% 11/15/67 7,110 7,608
6 HSBC Finance Corp. 0.754% 12/1/15 17,234 17,215
  HSBC Finance Corp. 5.500% 1/19/16 63,490 64,117
 
  Insurance (2.1%)        
  ACE INA Holdings Inc. 2.300% 11/3/20 12,800 12,808
  ACE INA Holdings Inc. 2.875% 11/3/22 15,795 15,802
  ACE INA Holdings Inc. 3.350% 5/3/26 15,486 15,519
  Aflac Inc. 2.400% 3/16/20 11,720 11,818
  Alleghany Corp. 5.625% 9/15/20 8,890 9,910
  Allied World Assurance Co. Ltd. 7.500% 8/1/16 55,754 58,340
  Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,075 2,291
  Alterra Finance LLC 6.250% 9/30/20 9,765 11,165
  American Financial Group Inc. 9.875% 6/15/19 31,750 39,088
  American International Group Inc. 2.300% 7/16/19 9,916 9,952
  American International Group Inc. 3.875% 1/15/35 3,760 3,500
  Anthem Inc. 1.875% 1/15/18 19,336 19,414
4,12 Aquarius and Investments plc for Zurich        
  Insurance Co. Ltd. 4.250% 10/2/43 7,000 8,430
  Aspen Insurance Holdings Ltd. 6.000% 12/15/20 25,904 28,700
  Assurant Inc. 2.500% 3/15/18 29,300 29,544
  Axis Specialty Finance LLC 5.875% 6/1/20 11,618 13,027
  AXIS Specialty Finance plc 2.650% 4/1/19 14,650 14,684
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 24,144 26,501
  Berkshire Hathaway Inc. 2.200% 8/15/16 4,850 4,912
  Berkshire Hathaway Inc. 2.100% 8/14/19 4,875 4,945
  CNA Financial Corp. 6.500% 8/15/16 20,495 21,321
  CNA Financial Corp. 7.350% 11/15/19 3,900 4,553
4,12 CNP Assurances 4.000% 11/18/15 4,600 4,865
  Marsh & McLennan Cos. Inc. 2.550% 10/15/18 9,875 10,071
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 14,385 14,404
7 MassMutual Global Funding II 2.000% 4/5/17 8,141 8,234
7 MassMutual Global Funding II 2.100% 8/2/18 12,735 12,893
7 MassMutual Global Funding II 2.500% 10/17/22 14,335 13,804
  MetLife Inc. 1.756% 12/15/15 14,600 14,683
4 MetLife Inc. 5.250% 12/15/15 7,005 7,093
  MetLife Inc. 6.750% 6/1/16 40,736 42,157
  MetLife Inc. 6.817% 8/15/18 13,300 15,110
  MetLife Inc. 7.717% 2/15/19 9,219 10,846
7 Metropolitan Life Global Funding I 1.500% 1/10/18 29,350 29,308
7 Metropolitan Life Global Funding I 2.300% 4/10/19 11,225 11,337
7 Metropolitan Life Global Funding I 2.000% 4/14/20 19,530 19,319
7 New York Life Global Funding 1.950% 2/11/20 17,975 17,802
  PartnerRe Finance A LLC 6.875% 6/1/18 20,530 22,899
  Principal Financial Group Inc. 1.850% 11/15/17 15,600 15,683
7 Principal Life Global Funding II 2.250% 10/15/18 11,725 11,863
7 Principal Life Global Funding II 2.200% 4/8/20 28,665 28,488
4 Progressive Corp. 6.700% 6/15/67 9,760 9,809
  Prudential Financial Inc. 3.000% 5/12/16 11,725 11,855
  Prudential Financial Inc. 7.375% 6/15/19 10,442 12,274
  Prudential Financial Inc. 2.350% 8/15/19 9,790 9,819
4 Prudential Financial Inc. 5.375% 5/15/45 12,290 12,336
  Reinsurance Group of America Inc. 5.625% 3/15/17 12,900 13,570
  Reinsurance Group of America Inc. 6.450% 11/15/19 21,183 24,000
7 Reliance Standard Life Global Funding II 2.150% 10/15/18 27,320 27,292

 

 

7 Reliance Standard Life Global Funding II 2.500% 1/15/20 52,630 52,488
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 17,860 17,677
7 TIAA Asset Management Finance Co. LLC 2.950% 11/1/19 60,100 60,807
  Torchmark Corp. 9.250% 6/15/19 7,053 8,664
  Transatlantic Holdings Inc. 5.750% 12/14/15 18,420 18,519
  Travelers Cos. Inc. 5.800% 5/15/18 2,273 2,514
  Travelers Cos. Inc. 5.900% 6/2/19 2,930 3,335
  Travelers Cos. Inc. 3.900% 11/1/20 4,300 4,617
  UnitedHealth Group Inc. 1.450% 7/17/17 27,900 28,063
  UnitedHealth Group Inc. 1.400% 12/15/17 12,210 12,222
  UnitedHealth Group Inc. 1.900% 7/16/18 30,270 30,600
  UnitedHealth Group Inc. 2.300% 12/15/19 9,765 9,816
  UnitedHealth Group Inc. 2.700% 7/15/20 14,640 14,986
  Unum Group 7.125% 9/30/16 13,498 14,192
7 UnumProvident Finance Co. plc 6.850% 11/15/15 9,895 9,912
12 Willow No.2 Ireland plc for Zurich Insurance        
  Co. Ltd. 3.375% 6/27/22 16,300 20,126
 
  Real Estate Investment Trusts (1.9%)        
  Alexandria Real Estate Equities Inc. 2.750% 1/15/20 29,896 29,640
  ARC Properties Operating Partnership        
  LP/Clark Acquisition LLC 2.000% 2/6/17 112,260 110,650
  ARC Properties Operating Partnership        
  LP/Clark Acquisition LLC 3.000% 2/6/19 22,495 21,849
  BioMed Realty LP 3.850% 4/15/16 16,095 16,229
  Boston Properties LP 3.700% 11/15/18 4,900 5,119
  Boston Properties LP 5.875% 10/15/19 32,163 36,016
  Brandywine Operating Partnership LP 5.700% 5/1/17 15,370 16,159
  Brandywine Operating Partnership LP 4.950% 4/15/18 21,275 22,372
  DDR Corp. 9.625% 3/15/16 8,701 8,962
  DDR Corp. 7.500% 4/1/17 289 311
  DDR Corp. 4.750% 4/15/18 29,245 30,842
  DDR Corp. 7.500% 7/15/18 2,500 2,813
  DDR Corp. 7.875% 9/1/20 7,085 8,591
7 Digital Delta Holdings LLC 3.400% 10/1/20 22,047 22,158
7 Digital Delta Holdings LLC 4.750% 10/1/25 6,622 6,718
  Digital Realty Trust LP 5.875% 2/1/20 29,982 33,292
  Digital Realty Trust LP 3.950% 7/1/22 25,043 25,030
  Duke Realty LP 5.950% 2/15/17 882 931
  Duke Realty LP 6.500% 1/15/18 3,235 3,537
  ERP Operating LP 5.750% 6/15/17 32,429 34,585
  ERP Operating LP 2.375% 7/1/19 4,875 4,917
  ERP Operating LP 4.750% 7/15/20 4,304 4,687
  Essex Portfolio LP 3.500% 4/1/25 14,862 14,425
  Federal Realty Investment Trust 2.550% 1/15/21 9,351 9,352
  HCP Inc. 3.750% 2/1/16 32,511 32,711
  HCP Inc. 6.700% 1/30/18 9,705 10,679
  HCP Inc. 2.625% 2/1/20 12,357 12,243
  HCP Inc. 5.375% 2/1/21 18,503 20,385
  Highwoods Realty LP 5.850% 3/15/17 4,425 4,652
  Kilroy Realty LP 4.800% 7/15/18 20,030 21,156
  Liberty Property LP 5.500% 12/15/16 27,672 28,851
  Liberty Property LP 4.750% 10/1/20 10,940 11,716
  Liberty Property LP 3.750% 4/1/25 3,575 3,455
7 Omega Healthcare Investors Inc. 5.250% 1/15/26 31,254 32,504
12 Prologis LP 1.375% 5/13/21 15,142 16,438
  Realty Income Corp. 2.000% 1/31/18 4,870 4,892

 

 

  Realty Income Corp. 5.750% 1/15/21 3,905 4,375
  Regency Centers LP 5.875% 6/15/17 10,274 10,913
  Senior Housing Properties Trust 4.300% 1/15/16 11,460 11,460
  Senior Housing Properties Trust 3.250% 5/1/19 36,150 36,248
  Simon Property Group LP 2.800% 1/30/17 22,815 23,199
  Simon Property Group LP 2.150% 9/15/17 1,572 1,595
  Simon Property Group LP 10.350% 4/1/19 10,565 13,165
  Simon Property Group LP 5.650% 2/1/20 16,085 18,175
  Simon Property Group LP 2.500% 9/1/20 11,153 11,200
  Simon Property Group LP 4.375% 3/1/21 7,375 8,027
  Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 14,362 14,430
  Weingarten Realty Investors 3.375% 10/15/22 9,088 8,905
  Weingarten Realty Investors 3.850% 6/1/25 6,445 6,315
  Welltower Inc. 3.625% 3/15/16 46,635 47,112
  Welltower Inc. 4.700% 9/15/17 14,620 15,357
  Welltower Inc. 2.250% 3/15/18 15,769 15,832
  Welltower Inc. 4.125% 4/1/19 46,860 49,352
  Welltower Inc. 6.125% 4/15/20 14,650 16,655
  Welltower Inc. 4.000% 6/1/25 10,725 10,627
          15,216,369
Industrial (27.8%)        
  Basic Industry (1.7%)        
  Agrium Inc. 6.750% 1/15/19 24,905 28,149
  Air Products & Chemicals Inc. 1.200% 10/15/17 11,225 11,167
  Air Products & Chemicals Inc. 4.375% 8/21/19 7,155 7,755
  Airgas Inc. 2.950% 6/15/16 8,867 8,956
  Airgas Inc. 1.650% 2/15/18 23,552 23,412
  Airgas Inc. 2.375% 2/15/20 9,890 9,821
  Airgas Inc. 3.050% 8/1/20 12,510 12,671
  Albemarle Corp. 3.000% 12/1/19 4,880 4,875
9 BHP Billiton Finance Ltd. 3.000% 3/30/16 14,320 9,930
12 BHP Billiton Finance Ltd. 6.375% 4/4/16 13,675 15,426
9 BHP Billiton Finance Ltd. 3.750% 4/18/16 14,090 10,154
  BHP Billiton Finance USA Ltd. 1.875% 11/21/16 3,874 3,897
  BHP Billiton Finance USA Ltd. 1.625% 2/24/17 68,574 68,744
  BHP Billiton Finance USA Ltd. 5.400% 3/29/17 35,646 37,603
  BHP Billiton Finance USA Ltd. 2.050% 9/30/18 13,920 13,988
  BHP Billiton Finance USA Ltd. 6.500% 4/1/19 36,339 41,282
  CF Industries Inc. 6.875% 5/1/18 38,450 42,487
  Dow Chemical Co. 8.550% 5/15/19 31,818 38,263
  Eastman Chemical Co. 3.000% 12/15/15 7,704 7,724
  Eastman Chemical Co. 2.400% 6/1/17 19,169 19,385
  Eastman Chemical Co. 2.700% 1/15/20 8,775 8,776
  Ecolab Inc. 3.000% 12/8/16 3,339 3,408
  EI du Pont de Nemours & Co. 6.000% 7/15/18 27,383 30,323
  EI du Pont de Nemours & Co. 4.625% 1/15/20 11,348 12,271
  Freeport-McMoRan Inc. 2.375% 3/15/18 10,018 9,192
  Goldcorp Inc. 2.125% 3/15/18 14,640 14,539
  LyondellBasell Industries NV 5.000% 4/15/19 42,005 45,202
  Monsanto Co. 1.150% 6/30/17 9,770 9,712
  Monsanto Co. 5.125% 4/15/18 22,515 24,341
  Monsanto Co. 1.850% 11/15/18 3,000 2,985
  Monsanto Co. 2.125% 7/15/19 39,050 38,936
  Monsanto Co. 2.750% 7/15/21 15,740 15,618
  Nucor Corp. 5.850% 6/1/18 23,033 25,043
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 28,554 29,284
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 5,052 5,759

 

 

  PPG Industries Inc. 1.900% 1/15/16 9,911 9,933
  PPG Industries Inc. 2.300% 11/15/19 29,285 29,265
12 PPG Industries Inc. 0.875% 3/13/22 20,714 22,216
  Praxair Inc. 4.500% 8/15/19 21,490 23,348
  Rio Tinto Finance USA Ltd. 6.500% 7/15/18 17,361 19,253
  Rio Tinto Finance USA Ltd. 9.000% 5/1/19 4,880 5,908
  Rio Tinto Finance USA plc 2.000% 3/22/17 40,230 40,292
  Rio Tinto Finance USA plc 1.625% 8/21/17 56,904 56,214
  Vale Overseas Ltd. 6.250% 1/11/16 22,625 22,806
 
  Capital Goods (2.5%)        
7 ABB Treasury Center USA Inc. 2.500% 6/15/16 14,650 14,750
  Boeing Capital Corp. 2.125% 8/15/16 17,596 17,785
  Boeing Capital Corp. 2.900% 8/15/18 22,681 23,605
  Boeing Capital Corp. 4.700% 10/27/19 38,917 42,875
  Boeing Co. 6.000% 3/15/19 13,172 14,985
  Boeing Co. 1.650% 10/30/20 13,050 12,823
  Caterpillar Financial Services Corp. 5.450% 4/15/18 45,680 49,865
  Caterpillar Financial Services Corp. 7.050% 10/1/18 6,360 7,297
  Caterpillar Financial Services Corp. 7.150% 2/15/19 42,395 49,120
  Caterpillar Inc. 7.900% 12/15/18 40,399 47,792
  Crane Co. 2.750% 12/15/18 12,615 12,740
  Danaher Corp. 2.300% 6/23/16 32,674 33,021
  Danaher Corp. 1.650% 9/15/18 16,180 16,231
  Danaher Corp. 5.400% 3/1/19 21,460 23,797
  Danaher Corp. 2.400% 9/15/20 19,520 19,710
  Danaher Corp. 3.900% 6/23/21 21,861 23,523
12 DH Europe Finance SA 1.700% 1/4/22 24,705 27,879
12 Dover Corp. 2.125% 12/1/20 10,205 11,758
7 Embraer Overseas Ltd. 5.696% 9/16/23 10,379 10,596
  General Dynamics Corp. 2.250% 7/15/16 5,423 5,490
  General Electric Co. 5.250% 12/6/17 131,375 141,743
  Harris Corp. 1.999% 4/27/18 14,650 14,535
  Harris Corp. 2.700% 4/27/20 7,150 7,032
  Honeywell International Inc. 5.300% 3/1/18 48,784 53,242
  Honeywell International Inc. 5.000% 2/15/19 55,684 61,339
  Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 9,765 10,973
  Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 33,363 33,891
  Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 9,760 9,688
  John Deere Capital Corp. 5.350% 4/3/18 26,530 28,852
  John Deere Capital Corp. 5.750% 9/10/18 28,200 31,300
  John Deere Capital Corp. 2.050% 3/10/20 19,535 19,424
  John Deere Capital Corp. 2.375% 7/14/20 51,283 51,527
  John Deere Capital Corp. 2.450% 9/11/20 43,491 43,694
9 John Deere Financial Ltd. 3.500% 12/18/15 19,040 13,757
  L-3 Communications Corp. 3.950% 11/15/16 11,560 11,797
  L-3 Communications Corp. 1.500% 5/28/17 9,765 9,620
  L-3 Communications Corp. 5.200% 10/15/19 15,207 16,010
  Mohawk Industries Inc. 6.125% 1/15/16 38,574 38,945
12 Mohawk Industries Inc. 2.000% 1/14/22 28,374 31,952
  Precision Castparts Corp. 0.700% 12/20/15 18,045 18,049
  Raytheon Co. 6.750% 3/15/18 14,663 16,441
  Raytheon Co. 6.400% 12/15/18 30,010 34,263
  Rockwell Automation Inc. 5.650% 12/1/17 4,885 5,274
  Roper Technologies Inc. 1.850% 11/15/17 21,480 21,479
  Roper Technologies Inc. 2.050% 10/1/18 9,590 9,524
7 Siemens Financieringsmaatschappij NV 1.450% 5/25/18 33,155 33,033

 

 

  United Rentals North America Inc. 4.625% 7/15/23 14,375 14,429
  United Technologies Corp. 5.375% 12/15/17 28,015 30,355
  United Technologies Corp. 6.125% 2/1/19 33,666 37,893
  Waste Management Inc. 2.600% 9/1/16 8,200 8,305
  Waste Management Inc. 6.100% 3/15/18 11,725 12,882
 
  Communication (4.1%)        
  21st Century Fox America Inc. 7.250% 5/18/18 7,205 8,114
  21st Century Fox America Inc. 6.900% 3/1/19 6,840 7,849
  21st Century Fox America Inc. 4.500% 2/15/21 9,750 10,574
  America Movil SAB de CV 2.375% 9/8/16 16,009 16,150
  America Movil SAB de CV 5.625% 11/15/17 29,869 32,208
12 America Movil SAB de CV 1.000% 6/4/18 29,300 32,482
  America Movil SAB de CV 5.000% 10/16/19 13,343 14,565
  America Movil SAB de CV 5.000% 3/30/20 42,094 46,356
  American Tower Corp. 4.500% 1/15/18 29,290 30,748
  American Tower Corp. 3.400% 2/15/19 16,615 17,000
  American Tower Corp. 2.800% 6/1/20 34,200 34,043
  AT&T Inc. 2.400% 8/15/16 16,141 16,326
  AT&T Inc. 1.600% 2/15/17 14,738 14,779
11 AT&T Inc. 5.875% 4/28/17 28,800 47,016
  AT&T Inc. 1.700% 6/1/17 15,250 15,325
  AT&T Inc. 1.400% 12/1/17 24,400 24,374
  AT&T Inc. 5.500% 2/1/18 46,434 50,280
  AT&T Inc. 5.600% 5/15/18 6,038 6,627
  AT&T Inc. 5.800% 2/15/19 44,620 49,619
  AT&T Inc. 2.450% 6/30/20 18,500 18,300
  British Telecommunications plc 1.250% 2/14/17 14,655 14,647
  British Telecommunications plc 2.350% 2/14/19 19,535 19,618
  CBS Corp. 1.950% 7/1/17 22,671 22,788
  CBS Corp. 4.625% 5/15/18 2,690 2,860
  CBS Corp. 2.300% 8/15/19 7,680 7,606
  Comcast Cable Communications LLC 8.875% 5/1/17 24,479 27,224
  Comcast Corp. 6.500% 1/15/17 26,164 27,881
  Comcast Corp. 6.300% 11/15/17 12,729 13,992
  Comcast Corp. 5.875% 2/15/18 17,672 19,417
  Comcast Corp. 5.700% 5/15/18 50,722 56,037
  Comcast Corp. 5.700% 7/1/19 36,293 41,120
  Comcast Corp. 5.150% 3/1/20 2,407 2,712
7 Deutsche Telekom International Finance BV 3.125% 4/11/16 21,376 21,573
7 Deutsche Telekom International Finance BV 2.250% 3/6/17 18,870 19,058
  Deutsche Telekom International Finance BV 6.750% 8/20/18 10,804 12,183
  Deutsche Telekom International Finance BV 6.000% 7/8/19 11,530 13,024
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 2.400% 3/15/17 9,181 9,301
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 1.750% 1/15/18 47,725 47,789
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 5.875% 10/1/19 46,760 52,383
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 5.200% 3/15/20 38,057 41,804
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 4.600% 2/15/21 4,762 5,101
  Embarq Corp. 7.082% 6/1/16 18,952 19,504
  Interpublic Group of Cos. Inc. 2.250% 11/15/17 2,000 2,004
7 KT Corp. 1.750% 4/22/17 34,185 34,199
7 McGraw Hill Financial Inc. 3.300% 8/14/20 17,855 18,157

 

 

7 McGraw Hill Financial Inc. 4.000% 6/15/25 14,295 14,232
Moody's Corp. 2.750% 7/15/19 56,407 57,487
Moody's Corp. 5.500% 9/1/20 8,645 9,651
NBCUniversal Media LLC 5.150% 4/30/20 50,640 57,160
Omnicom Group Inc. 5.900% 4/15/16 34,830 35,591
Omnicom Group Inc. 6.250% 7/15/19 5,860 6,647
Omnicom Group Inc. 4.450% 8/15/20 31,102 33,400
Orange SA 2.750% 9/14/16 18,127 18,393
Orange SA 2.750% 2/6/19 29,240 29,960
Qwest Corp. 6.500% 6/1/17 9,653 10,282
Rogers Communications Inc. 6.800% 8/15/18 21,753 24,602
7 SBA Tower Trust 3.156% 10/15/20 17,930 17,923
7 SES Global Americas Holdings GP 2.500% 3/25/19 53,705 53,349
7 Sky plc 2.625% 9/16/19 12,200 12,271
Telefonica Emisiones SAU 3.992% 2/16/16 47,895 48,303
Telefonica Emisiones SAU 6.421% 6/20/16 8,695 8,992
Telefonica Emisiones SAU 6.221% 7/3/17 11,382 12,219
Telefonica Emisiones SAU 3.192% 4/27/18 13,852 14,221
Telefonica Emisiones SAU 5.877% 7/15/19 5,000 5,579
9 Telstra Corp. Ltd. 4.500% 11/13/15 28,920 21,580
Thomson Reuters Corp. 0.875% 5/23/16 13,012 13,009
Thomson Reuters Corp. 1.300% 2/23/17 21,480 21,441
Thomson Reuters Corp. 6.500% 7/15/18 27,270 30,417
Thomson Reuters Corp. 4.700% 10/15/19 19,869 21,566
Time Warner Cable Inc. 5.850% 5/1/17 29,200 30,807
Time Warner Cable Inc. 6.750% 7/1/18 57,470 63,748
Time Warner Cable Inc. 8.750% 2/14/19 18,305 21,461
Time Warner Cable Inc. 8.250% 4/1/19 23,445 27,306
Verizon Communications Inc. 1.350% 6/9/17 40,868 40,879
Verizon Communications Inc. 5.500% 2/15/18 6,265 6,797
Verizon Communications Inc. 6.100% 4/15/18 16,606 18,276
Verizon Communications Inc. 3.650% 9/14/18 50,933 53,758
Verizon Communications Inc. 6.350% 4/1/19 24,747 28,208
Verizon Communications Inc. 2.625% 2/21/20 62,087 62,609
Verizon Communications Inc. 4.500% 9/15/20 74,180 80,482
Viacom Inc. 6.250% 4/30/16 5,155 5,283
Viacom Inc. 2.500% 12/15/16 9,880 9,984
Viacom Inc. 6.125% 10/5/17 10,695 11,508
Viacom Inc. 2.500% 9/1/18 13,895 13,960
Viacom Inc. 5.625% 9/15/19 3,195 3,506
Vodafone Group plc 1.250% 9/26/17 21,359 21,227
Vodafone Group plc 5.450% 6/10/19 4,900 5,429
Vodafone Group plc 2.950% 2/19/23 16,600 15,907
 
Consumer Cyclical (4.5%)        
7 Alibaba Group Holding Ltd. 1.625% 11/28/17 37,630 37,336
7 Alibaba Group Holding Ltd. 2.500% 11/28/19 67,825 66,727
Amazon.com Inc. 2.600% 12/5/19 19,535 19,979
American Honda Finance Corp. 1.125% 10/7/16 19,816 19,910
American Honda Finance Corp. 0.950% 5/5/17 15,960 15,943
American Honda Finance Corp. 1.600% 7/13/18 10,770 10,737
American Honda Finance Corp. 2.125% 10/10/18 18,825 19,071
American Honda Finance Corp. 2.250% 8/15/19 41,660 41,841
American Honda Finance Corp. 2.450% 9/24/20 16,675 16,775
Automatic Data Processing Inc. 2.250% 9/15/20 20,460 20,698
AutoNation Inc. 3.350% 1/15/21 4,970 5,030
AutoZone Inc. 7.125% 8/1/18 33,707 38,256

 

 

AutoZone Inc. 4.000% 11/15/20 16,040 17,040
Block Financial LLC 4.125% 10/1/20 34,035 34,544
Brinker International Inc. 2.600% 5/15/18 26,410 26,412
Costco Wholesale Corp. 5.500% 3/15/17 5,860 6,227
Costco Wholesale Corp. 1.750% 2/15/20 14,650 14,555
CVS Health Corp. 1.900% 7/20/18 24,415 24,585
CVS Health Corp. 2.250% 12/5/18 24,400 24,730
CVS Health Corp. 2.800% 7/20/20 128,707 130,827
7 Daimler Finance North America LLC 2.950% 1/11/17 16,915 17,187
7 Daimler Finance North America LLC 1.125% 3/10/17 27,650 27,489
7 Daimler Finance North America LLC 2.400% 4/10/17 9,740 9,844
7 Daimler Finance North America LLC 1.375% 8/1/17 19,525 19,386
7 Daimler Finance North America LLC 1.875% 1/11/18 5,520 5,507
7 Daimler Finance North America LLC 1.650% 3/2/18 14,035 13,953
7 Daimler Finance North America LLC 1.650% 5/18/18 18,505 18,329
7 Daimler Finance North America LLC 2.375% 8/1/18 38,500 38,743
7 Daimler Finance North America LLC 2.250% 9/3/19 14,645 14,423
7 Daimler Finance North America LLC 2.250% 3/2/20 14,035 13,892
7 Daimler Finance North America LLC 2.450% 5/18/20 14,125 14,059
Dollar General Corp. 4.125% 7/15/17 12,850 13,274
Dollar General Corp. 1.875% 4/15/18 9,965 9,927
eBay Inc. 2.200% 8/1/19 19,800 19,611
7 Experian Finance plc 2.375% 6/15/17 35,430 35,565
Ford Motor Credit Co. LLC 8.000% 12/15/16 55,625 59,434
Ford Motor Credit Co. LLC 4.250% 2/3/17 9,755 10,045
Ford Motor Credit Co. LLC 3.000% 6/12/17 29,245 29,713
Ford Motor Credit Co. LLC 6.625% 8/15/17 69,932 75,364
Ford Motor Credit Co. LLC 2.145% 1/9/18 29,300 29,286
Ford Motor Credit Co. LLC 5.000% 5/15/18 82,715 87,824
Ford Motor Credit Co. LLC 2.240% 6/15/18 14,650 14,599
Ford Motor Credit Co. LLC 2.375% 3/12/19 19,535 19,351
Ford Motor Credit Co. LLC 2.597% 11/4/19 18,950 18,763
Ford Motor Credit Co. LLC 2.459% 3/27/20 19,535 19,166
Ford Motor Credit Co. LLC 3.157% 8/4/20 14,310 14,459
General Motors Co. 3.500% 10/2/18 36,615 37,256
General Motors Financial Co. Inc. 2.625% 7/10/17 19,525 19,671
General Motors Financial Co. Inc. 4.750% 8/15/17 975 1,016
General Motors Financial Co. Inc. 3.250% 5/15/18 64,135 64,857
General Motors Financial Co. Inc. 6.750% 6/1/18 48,840 53,480
General Motors Financial Co. Inc. 3.500% 7/10/19 23,185 23,504
General Motors Financial Co. Inc. 3.200% 7/13/20 39,065 38,870
7 Harley-Davidson Financial Services Inc. 3.875% 3/15/16 14,640 14,812
7 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 16,094 16,404
7 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 9,765 9,794
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 10,800 10,686
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 3,665 4,119
Home Depot Inc. 2.000% 6/15/19 19,525 19,827
7 Hyundai Capital America 4.000% 6/8/17 10,785 11,125
7 Hyundai Capital America 2.400% 10/30/18 48,700 48,677
7 Hyundai Capital Services Inc. 4.375% 7/27/16 8,300 8,477
7 Kia Motors Corp. 3.625% 6/14/16 29,744 30,130
Lowe's Cos. Inc. 1.625% 4/15/17 39,826 40,216
Lowe's Cos. Inc. 6.100% 9/15/17 12,582 13,678
Lowe's Cos. Inc. 4.625% 4/15/20 15,127 16,560
Macy's Retail Holdings Inc. 5.900% 12/1/16 12,254 12,856
Macy's Retail Holdings Inc. 7.450% 7/15/17 6,179 6,714
Marriott International Inc. 6.375% 6/15/17 9,837 10,567

 

 

  Marriott International Inc. 3.000% 3/1/19 9,760 9,956
  MasterCard Inc. 2.000% 4/1/19 12,700 12,806
  Nordstrom Inc. 6.250% 1/15/18 10,330 11,380
  PACCAR Financial Corp. 1.600% 3/15/17 17,431 17,558
  PACCAR Financial Corp. 1.750% 8/14/18 3,380 3,395
  PACCAR Financial Corp. 2.200% 9/15/19 19,025 19,111
  PACCAR Financial Corp. 2.500% 8/14/20 4,775 4,793
  QVC Inc. 3.125% 4/1/19 9,770 9,694
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 5,250 5,402
  Staples Inc. 2.750% 1/12/18 2,770 2,768
  Starbucks Corp. 0.875% 12/5/16 4,090 4,093
  Target Corp. 2.300% 6/26/19 27,835 28,425
  TJX Cos. Inc. 6.950% 4/15/19 13,700 15,870
  TJX Cos. Inc. 2.750% 6/15/21 25,415 25,735
  Toyota Motor Credit Corp. 2.000% 9/15/16 6,069 6,142
  Toyota Motor Credit Corp. 2.050% 1/12/17 27,380 27,754
  Toyota Motor Credit Corp. 1.450% 1/12/18 27,350 27,358
  Toyota Motor Credit Corp. 1.550% 7/13/18 14,740 14,784
  Toyota Motor Credit Corp. 2.000% 10/24/18 20,510 20,755
  Toyota Motor Credit Corp. 2.100% 1/17/19 19,530 19,736
  Toyota Motor Credit Corp. 2.125% 7/18/19 39,540 39,702
  VF Corp. 5.950% 11/1/17 5,860 6,384
11 Volkswagen Financial Services NV 2.375% 11/13/18 3,544 5,317
7 Volkswagen Group of America Finance LLC 1.250% 5/23/17 3,465 3,376
7 Volkswagen Group of America Finance LLC 1.600% 11/20/17 6,205 6,041
7 Volkswagen Group of America Finance LLC 1.650% 5/22/18 3,465 3,339
7 Volkswagen Group of America Finance LLC 2.125% 5/23/19 7,000 6,661
  Wal-Mart Stores Inc. 0.600% 4/11/16 28,886 28,918
  Wal-Mart Stores Inc. 2.800% 4/15/16 22,139 22,376
  Wal-Mart Stores Inc. 5.375% 4/5/17 20,191 21,485
  Wal-Mart Stores Inc. 5.800% 2/15/18 23,798 26,323
  Wal-Mart Stores Inc. 1.125% 4/11/18 22,940 22,983
  Wal-Mart Stores Inc. 1.950% 12/15/18 8,280 8,470
  Wal-Mart Stores Inc. 3.625% 7/8/20 29,565 31,840
  Wal-Mart Stores Inc. 3.250% 10/25/20 19,080 20,225
  Wal-Mart Stores Inc. 4.250% 4/15/21 1,685 1,869
11 Walgreens Boots Alliance Inc. 2.875% 11/20/20 11,561 17,568
7 Wesfarmers Ltd. 2.983% 5/18/16 48,251 48,809
7 Wesfarmers Ltd. 1.874% 3/20/18 17,250 17,249
 
  Consumer Noncyclical (6.6%)        
  AbbVie Inc. 1.750% 11/6/17 36,285 36,634
  AbbVie Inc. 1.800% 5/14/18 126,410 126,576
  AbbVie Inc. 2.500% 5/14/20 73,150 72,353
  Actavis Funding SCS 1.850% 3/1/17 29,461 29,468
  Actavis Funding SCS 2.350% 3/12/18 48,961 49,143
  Actavis Funding SCS 2.450% 6/15/19 9,765 9,696
  Actavis Funding SCS 3.000% 3/12/20 96,578 97,106
  Actavis Inc. 1.875% 10/1/17 26,481 26,413
  Actavis Inc. 6.125% 8/15/19 9,765 10,949
  Agilent Technologies Inc. 6.500% 11/1/17 2,257 2,449
  Agilent Technologies Inc. 5.000% 7/15/20 24,885 26,747
  Allergan Inc. 5.750% 4/1/16 27,255 27,770
  Allergan Inc. 1.350% 3/15/18 7,800 7,677
  Altria Group Inc. 9.250% 8/6/19 69,792 86,299
  Altria Group Inc. 4.750% 5/5/21 29,917 32,957
  Amgen Inc. 2.125% 5/15/17 57,117 57,766

 

 

  Amgen Inc. 5.850% 6/1/17 57,272 61,198
  Amgen Inc. 5.700% 2/1/19 7,895 8,732
  Anheuser-Busch Cos. LLC 5.050% 10/15/16 4,875 5,068
  Anheuser-Busch Cos. LLC 5.600% 3/1/17 5,275 5,560
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 8,650 9,366
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 2,345 2,320
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 16,210 16,186
  Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 17,115 17,228
  Anheuser-Busch InBev Worldwide Inc. 1.375% 7/15/17 45,432 45,275
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 22,450 26,164
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 16,350 18,158
7 Baxalta Inc. 2.000% 6/22/18 11,085 11,055
7 Baxalta Inc. 2.875% 6/23/20 71,730 71,628
  Baxter International Inc. 5.375% 6/1/18 9,745 10,603
7 Bayer US Finance LLC 1.500% 10/6/17 19,525 19,624
7 Bayer US Finance LLC 2.375% 10/8/19 58,575 59,206
  Becton Dickinson & Co. 2.675% 12/15/19 9,815 9,929
  Biogen Inc. 6.875% 3/1/18 4,880 5,437
  Biogen Inc. 2.900% 9/15/20 91,862 92,703
  Boston Scientific Corp. 2.650% 10/1/18 20,960 21,161
  Boston Scientific Corp. 2.850% 5/15/20 14,600 14,595
  Bottling Group LLC 5.500% 4/1/16 12,544 12,785
  Bottling Group LLC 5.125% 1/15/19 5,150 5,690
  Cardinal Health Inc. 1.900% 6/15/17 6,830 6,879
  Cardinal Health Inc. 1.700% 3/15/18 20,540 20,565
  Cardinal Health Inc. 1.950% 6/15/18 32,300 32,442
7 Cargill Inc. 1.900% 3/1/17 26,836 27,014
7 Cargill Inc. 6.000% 11/27/17 12,295 13,354
12 Cargill Inc. 1.875% 9/4/19 9,766 11,204
12 Cargill Inc. 2.500% 2/15/23 24,622 28,625
  Catholic Health Initiatives Colorado GO 2.600% 8/1/18 2,900 2,944
  Celgene Corp. 2.875% 8/15/20 24,375 24,535
  Clorox Co. 5.950% 10/15/17 4,880 5,279
  Coca-Cola Co. 1.650% 3/14/18 6,774 6,852
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 18,500 18,669
  ConAgra Foods Inc. 1.300% 1/25/16 29,250 29,282
  ConAgra Foods Inc. 5.819% 6/15/17 2,977 3,170
  ConAgra Foods Inc. 1.900% 1/25/18 46,240 45,943
  ConAgra Foods Inc. 2.100% 3/15/18 2,811 2,796
  ConAgra Foods Inc. 7.000% 4/15/19 3,909 4,462
  ConAgra Foods Inc. 4.950% 8/15/20 6,700 7,216
  ConAgra Foods Inc. 3.200% 1/25/23 2,951 2,812
  Constellation Brands Inc. 3.875% 11/15/19 9,750 10,164
  Constellation Brands Inc. 3.750% 5/1/21 5,130 5,245
  Covidien International Finance SA 6.000% 10/15/17 48,915 53,275
  CR Bard Inc. 1.375% 1/15/18 15,595 15,441
  Diageo Capital plc 1.125% 4/29/18 7,115 7,042
  Dignity Health California GO 2.637% 11/1/19 2,000 2,024
  Edwards Lifesciences Corp. 2.875% 10/15/18 24,400 24,842
  Express Scripts Holding Co. 2.650% 2/15/17 52,581 53,323
  General Mills Inc. 5.700% 2/15/17 9,110 9,625
  General Mills Inc. 5.650% 2/15/19 14,700 16,357
  Gilead Sciences Inc. 3.050% 12/1/16 24,786 25,373
  Gilead Sciences Inc. 2.550% 9/1/20 39,035 39,554
  Gilead Sciences Inc. 4.500% 4/1/21 26,605 29,115
  Gilead Sciences Inc. 4.400% 12/1/21 34,340 37,394
  Hershey Co. 1.600% 8/21/18 23,180 23,379

 

 

  Ingredion Inc. 1.800% 9/25/17 5,855 5,833
  JM Smucker Co. 1.750% 3/15/18 26,400 26,451
  JM Smucker Co. 2.500% 3/15/20 38,595 38,583
  Kraft Foods Group Inc. 2.250% 6/5/17 6,275 6,349
  Kraft Foods Group Inc. 6.125% 8/23/18 14,240 15,822
7 Kraft Heinz Foods Co. 2.800% 7/2/20 34,200 34,337
  Kroger Co. 1.200% 10/17/16 6,840 6,853
  Kroger Co. 2.200% 1/15/17 6,895 6,955
  Kroger Co. 6.800% 12/15/18 5,950 6,787
  Kroger Co. 2.300% 1/15/19 31,250 31,493
  Laboratory Corp. of America Holdings 2.625% 2/1/20 9,765 9,741
  McKesson Corp. 0.950% 12/4/15 23,400 23,400
  McKesson Corp. 3.250% 3/1/16 16,079 16,201
  McKesson Corp. 5.700% 3/1/17 5,675 5,997
  McKesson Corp. 2.284% 3/15/19 34,250 34,158
  Mead Johnson Nutrition Co. 3.000% 11/15/20 14,700 14,756
  Medco Health Solutions Inc. 7.125% 3/15/18 32,695 36,514
  Medtronic Inc. 1.500% 3/15/18 28,725 28,827
  Medtronic Inc. 2.500% 3/15/20 75,710 76,657
  Medtronic Inc. 4.450% 3/15/20 12,806 13,994
  Medtronic Inc. 3.150% 3/15/22 9,750 9,982
  Merck Sharp & Dohme Corp. 5.000% 6/30/19 7,320 8,118
  Mondelez International Inc. 4.125% 2/9/16 34,462 34,754
  Mondelez International Inc. 2.250% 2/1/19 45,985 46,174
12 Mondelez International Inc. 2.375% 1/26/21 7,984 9,285
12 Mondelez International Inc. 1.000% 3/7/22 29,731 31,926
  Mylan Inc. 1.800% 6/24/16 31,375 31,354
  Newell Rubbermaid Inc. 2.050% 12/1/17 12,540 12,534
  Newell Rubbermaid Inc. 2.150% 10/15/18 14,700 14,706
  Newell Rubbermaid Inc. 2.875% 12/1/19 9,675 9,744
  PepsiCo Inc. 5.000% 6/1/18 13,670 14,922
  PepsiCo Inc. 7.900% 11/1/18 13,680 16,075
  PepsiCo Inc. 2.250% 1/7/19 7,900 8,054
  PepsiCo Inc. 4.500% 1/15/20 23,505 25,841
  PepsiCo Inc. 1.850% 4/30/20 43,850 43,630
  PepsiCo Inc. 2.150% 10/14/20 73,000 72,838
7 Pernod Ricard SA 2.950% 1/15/17 58,895 59,797
7 Pernod Ricard SA 4.450% 1/15/22 9,775 10,218
  Perrigo Co. plc 2.300% 11/8/18 14,645 14,429
  Pfizer Inc. 6.200% 3/15/19 53,797 61,247
  Pharmacia Corp. 6.500% 12/1/15 8,300 9,495
  Philip Morris International Inc. 2.500% 5/16/16 20,635 20,848
  Philip Morris International Inc. 1.125% 8/21/17 4,975 4,970
  Philip Morris International Inc. 5.650% 5/16/18 19,490 21,474
  Procter & Gamble Co. 4.850% 12/15/15 2,925 2,940
  Quest Diagnostics Inc. 2.700% 4/1/19 19,535 19,612
7 Reynolds American Inc. 3.500% 8/4/16 30,285 30,755
  Reynolds American Inc. 6.750% 6/15/17 10,880 11,718
  Reynolds American Inc. 2.300% 6/12/18 28,700 29,103
7 Reynolds American Inc. 8.125% 6/23/19 20,285 23,960
  Reynolds American Inc. 3.250% 6/12/20 45,202 46,296
7 Roche Holdings Inc. 2.250% 9/30/19 29,295 29,660
  Sanofi 1.250% 4/10/18 48,805 48,785
  St. Jude Medical Inc. 2.500% 1/15/16 19,291 19,355
  St. Jude Medical Inc. 2.800% 9/15/20 15,600 15,701
  Stryker Corp. 1.300% 4/1/18 11,850 11,815
  Sutter Health California GO 1.090% 8/15/53 10,000 9,913

 

 

Teva Pharmaceutical Finance Co. BV 2.400% 11/10/16 38,645 39,080
Thermo Fisher Scientific Inc. 3.200% 3/1/16 19,490 19,623
Thermo Fisher Scientific Inc. 2.250% 8/15/16 13,695 13,802
Tyson Foods Inc. 6.600% 4/1/16 38,414 39,267
Tyson Foods Inc. 2.650% 8/15/19 65,403 65,924
Tyson Foods Inc. 4.500% 6/15/22 9,035 9,632
Whirlpool Corp. 6.500% 6/15/16 2,950 3,047
Wyeth LLC 5.450% 4/1/17 3,270 3,478
Zimmer Biomet Holdings Inc. 2.000% 4/1/18 19,535 19,518
Zimmer Biomet Holdings Inc. 2.700% 4/1/20 24,420 24,382
Zoetis Inc. 1.875% 2/1/18 3,640 3,619
 
Energy (4.1%)        
Anadarko Petroleum Corp. 5.950% 9/15/16 35,870 37,199
Anadarko Petroleum Corp. 6.375% 9/15/17 12,242 13,174
9 BP Capital Markets plc 4.750% 11/15/15 10,550 7,852
BP Capital Markets plc 3.200% 3/11/16 39,558 39,935
BP Capital Markets plc 2.248% 11/1/16 37,575 38,024
BP Capital Markets plc 1.846% 5/5/17 41,475 41,853
BP Capital Markets plc 1.375% 11/6/17 19,450 19,447
BP Capital Markets plc 1.375% 5/10/18 53,854 53,918
BP Capital Markets plc 2.241% 9/26/18 24,638 24,974
BP Capital Markets plc 4.750% 3/10/19 30,289 32,833
BP Capital Markets plc 2.237% 5/10/19 24,500 24,682
BP Capital Markets plc 2.315% 2/13/20 53,650 53,927
Canadian Natural Resources Ltd. 1.750% 1/15/18 9,750 9,610
Cenovus Energy Inc. 5.700% 10/15/19 24,325 26,586
Chevron Corp. 1.345% 11/15/17 24,565 24,645
Chevron Corp. 1.104% 12/5/17 13,700 13,700
Chevron Corp. 1.365% 3/2/18 28,485 28,555
Chevron Corp. 1.718% 6/24/18 39,100 39,526
Chevron Corp. 2.193% 11/15/19 4,900 4,952
Chevron Corp. 1.961% 3/3/20 41,685 41,656
Chevron Corp. 2.427% 6/24/20 25,000 25,440
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 34,080 35,581
ConocoPhillips Co. 2.200% 5/15/20 14,080 14,051
Dominion Gas Holdings LLC 2.500% 12/15/19 21,500 21,653
Dominion Gas Holdings LLC 3.550% 11/1/23 12,700 12,512
El Paso Natural Gas Co. LLC 5.950% 4/15/17 10,283 10,760
7 Enable Midstream Partners LP 2.400% 5/15/19 19,530 18,481
Enbridge Energy Partners LP 4.375% 10/15/20 43,900 44,361
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,860 1,693
Energy Transfer Partners LP 6.125% 2/15/17 19,467 20,355
Energy Transfer Partners LP 2.500% 6/15/18 19,050 18,828
Energy Transfer Partners LP 6.700% 7/1/18 40,929 44,509
Energy Transfer Partners LP 4.150% 10/1/20 39,395 39,520
Energy Transfer Partners LP 5.200% 2/1/22 7,883 7,863
Ensco plc 4.700% 3/15/21 13,180 11,860
Enterprise Products Operating LLC 1.650% 5/7/18 33,561 33,270
Enterprise Products Operating LLC 6.500% 1/31/19 1,025 1,147
Enterprise Products Operating LLC 2.550% 10/15/19 2,930 2,912
Enterprise Products Operating LLC 5.250% 1/31/20 17,283 18,913
Enterprise Products Operating LLC 5.200% 9/1/20 24,613 27,077
EOG Resources Inc. 5.875% 9/15/17 2,950 3,182
EOG Resources Inc. 5.625% 6/1/19 6,611 7,391
EOG Resources Inc. 4.400% 6/1/20 28,540 31,002
EOG Resources Inc. 2.625% 3/15/23 8,571 8,373

 

 

Exxon Mobil Corp. 1.912% 3/6/20 29,700 29,866
Kinder Morgan Energy Partners LP 6.000% 2/1/17 15,818 16,464
Kinder Morgan Energy Partners LP 5.950% 2/15/18 19,173 20,328
Kinder Morgan Energy Partners LP 2.650% 2/1/19 18,525 18,108
Kinder Morgan Energy Partners LP 6.500% 4/1/20 17,870 19,444
Kinder Morgan Inc. 7.000% 6/15/17 23,460 24,829
Kinder Morgan Inc. 7.250% 6/1/18 14,650 16,019
Marathon Oil Corp. 0.900% 11/1/15 12,630 12,630
Marathon Oil Corp. 5.900% 3/15/18 13,565 14,518
Marathon Oil Corp. 2.700% 6/1/20 32,070 31,129
Nabors Industries Inc. 2.350% 9/15/16 16,600 16,519
Nabors Industries Inc. 6.150% 2/15/18 19,540 20,343
Noble Holding International Ltd. 3.050% 3/1/16 16,130 16,086
Occidental Petroleum Corp. 1.750% 2/15/17 93,490 94,233
Occidental Petroleum Corp. 1.500% 2/15/18 50,620 50,511
ONEOK Partners LP 3.200% 9/15/18 11,720 11,759
ONEOK Partners LP 8.625% 3/1/19 7,940 9,123
Petro-Canada 6.050% 5/15/18 4,885 5,384
Phillips 66 2.950% 5/1/17 42,140 43,087
Pioneer Natural Resources Co. 6.650% 3/15/17 4,880 5,144
Pioneer Natural Resources Co. 6.875% 5/1/18 12,710 13,834
Plains All American Pipeline LP / PAA        
Finance Corp. 5.000% 2/1/21 9,640 10,371
Pride International Inc. 8.500% 6/15/19 7,750 7,925
Pride International Inc. 6.875% 8/15/20 14,525 14,267
Shell International Finance BV 5.200% 3/22/17 14,225 15,006
Shell International Finance BV 1.125% 8/21/17 6,900 6,890
Shell International Finance BV 1.900% 8/10/18 9,775 9,904
Shell International Finance BV 2.000% 11/15/18 15,675 15,852
Shell International Finance BV 4.300% 9/22/19 10,797 11,693
Shell International Finance BV 2.125% 5/11/20 53,700 53,792
7 Southern Natural Gas Co. LLC 5.900% 4/1/17 11,453 11,905
Southern Natural Gas Co. LLC / Southern        
Natural Issuing Corp. 4.400% 6/15/21 6,395 6,469
Southwestern Energy Co. 3.300% 1/23/18 10,600 10,404
Southwestern Energy Co. 7.500% 2/1/18 23,180 24,687
Southwestern Energy Co. 4.050% 1/23/20 52,635 50,814
Spectra Energy Partners LP 2.950% 9/25/18 9,770 9,854
Suncor Energy Inc. 6.100% 6/1/18 12,721 14,011
Total Capital Canada Ltd. 1.450% 1/15/18 43,977 44,123
Total Capital International SA 1.500% 2/17/17 28,278 28,428
Total Capital International SA 1.550% 6/28/17 17,925 18,024
Total Capital International SA 2.125% 1/10/19 39,500 40,024
Total Capital International SA 2.100% 6/19/19 14,600 14,739
Total Capital SA 2.125% 8/10/18 11,627 11,867
Transocean Inc. 3.000% 4/15/16 65,947 61,166
Transocean Inc. 5.550% 12/15/16 60,726 60,498
Transocean Inc. 6.000% 3/15/18 19,535 18,363
Valero Energy Corp. 6.125% 6/15/17 9,010 9,615
Weatherford International LLC 6.350% 6/15/17 13,005 13,116
Weatherford International Ltd. 5.500% 2/15/16 9,760 9,780
Weatherford International Ltd. 6.000% 3/15/18 10,655 10,388
Weatherford International Ltd. 5.125% 9/15/20 11,700 10,019
Western Gas Partners LP 2.600% 8/15/18 6,840 6,791
7 Woodside Finance Ltd. 8.750% 3/1/19 15,850 18,682

 

 

Other Industrial (0.2%)        
7 Hutchison Whampoa Finance CI Ltd. 7.450% 8/1/17 10,320 11,321
7 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 43,152 50,650
7 Hutchison Whampoa International 14 Ltd. 1.625% 10/31/17 40,045 39,860
 
Technology (2.9%)        
Adobe Systems Inc. 4.750% 2/1/20 20,025 21,956
Altera Corp. 1.750% 5/15/17 10,500 10,552
Altera Corp. 2.500% 11/15/18 50,990 51,741
Amphenol Corp. 2.550% 1/30/19 9,127 9,204
Apple Inc. 0.900% 5/12/17 17,765 17,807
Apple Inc. 1.000% 5/3/18 29,410 29,319
Apple Inc. 2.100% 5/6/19 61,365 62,517
9 Apple Inc. 2.850% 8/28/19 7,320 5,238
Apple Inc. 1.550% 2/7/20 19,535 19,345
Apple Inc. 2.000% 5/6/20 25,650 25,741
Apple Inc. 2.850% 5/6/21 37,000 38,013
Applied Materials Inc. 2.650% 6/15/16 9,800 9,929
Applied Materials Inc. 2.625% 10/1/20 23,420 23,589
Autodesk Inc. 3.125% 6/15/20 24,415 24,506
Baidu Inc. 2.250% 11/28/17 16,615 16,624
Baidu Inc. 3.250% 8/6/18 31,200 31,831
Baidu Inc. 2.750% 6/9/19 17,575 17,500
CA Inc. 3.600% 8/1/20 10,730 10,876
Cisco Systems Inc. 1.650% 6/15/18 19,345 19,490
Cisco Systems Inc. 4.950% 2/15/19 40,890 45,019
Cisco Systems Inc. 2.125% 3/1/19 34,564 35,028
Cisco Systems Inc. 4.450% 1/15/20 27,210 29,872
Cisco Systems Inc. 2.450% 6/15/20 9,785 9,949
Computer Sciences Corp. 6.500% 3/15/18 21,220 23,291
Corning Inc. 1.450% 11/15/17 19,705 19,606
Corning Inc. 1.500% 5/8/18 27,985 27,653
Corning Inc. 6.625% 5/15/19 5,575 6,310
EMC Corp. 1.875% 6/1/18 16,210 15,533
EMC Corp. 2.650% 6/1/20 12,165 11,080
Equifax Inc. 6.300% 7/1/17 4,880 5,237
Fidelity National Information Services Inc. 1.450% 6/5/17 11,230 11,113
Fidelity National Information Services Inc. 2.000% 4/15/18 3,015 2,972
Fidelity National Information Services Inc. 2.850% 10/15/18 43,650 44,110
Fidelity National Information Services Inc. 3.625% 10/15/20 44,500 45,303
Fiserv Inc. 2.700% 6/1/20 12,151 12,163
7 Hewlett Packard Enterprise Co. 2.450% 10/5/17 38,540 38,661
7 Hewlett Packard Enterprise Co. 2.850% 10/5/18 45,105 45,197
7 Hewlett Packard Enterprise Co. 3.600% 10/15/20 53,357 53,602
Intel Corp. 1.950% 10/1/16 7,566 7,661
Intel Corp. 1.350% 12/15/17 78,638 78,962
Intel Corp. 2.450% 7/29/20 13,600 13,815
Intel Corp. 3.300% 10/1/21 7,815 8,193
International Business Machines Corp. 1.250% 2/6/17 19,600 19,724
International Business Machines Corp. 5.700% 9/14/17 25,910 28,088
International Business Machines Corp. 1.250% 2/8/18 9,700 9,696
International Business Machines Corp. 7.625% 10/15/18 6,040 7,069
International Business Machines Corp. 1.950% 2/12/19 26,865 27,114
KLA-Tencor Corp. 2.375% 11/1/17 13,845 13,937
KLA-Tencor Corp. 3.375% 11/1/19 3,625 3,680
Lam Research Corp. 2.750% 3/15/20 24,420 23,871
Microsoft Corp. 1.300% 11/3/18 13,660 13,673

 

 

  Microsoft Corp. 2.000% 11/3/20 20,405 20,466
  Oracle Corp. 1.200% 10/15/17 27,305 27,393
  Oracle Corp. 5.750% 4/15/18 16,818 18,556
  Oracle Corp. 2.375% 1/15/19 55,593 56,708
  Oracle Corp. 5.000% 7/8/19 13,670 15,149
  Oracle Corp. 2.250% 10/8/19 71,128 71,910
  Oracle Corp. 2.800% 7/8/21 31,730 32,268
  Pitney Bowes Inc. 5.750% 9/15/17 687 735
  Pitney Bowes Inc. 5.600% 3/15/18 4,880 5,233
  QUALCOMM Inc. 1.400% 5/18/18 17,690 17,626
  QUALCOMM Inc. 2.250% 5/20/20 4,004 3,972
  Seagate HDD Cayman 3.750% 11/15/18 13,715 13,921
  Tyco Electronics Group SA 6.550% 10/1/17 8,270 9,047
  Tyco Electronics Group SA 2.375% 12/17/18 14,650 14,750
  Tyco Electronics Group SA 2.350% 8/1/19 18,380 18,434
  Xilinx Inc. 2.125% 3/15/19 26,535 26,464
 
  Transportation (1.2%)        
4,7 AA Aircraft Financing 2013-1 LLC 6.500% 11/1/17 18,025 18,295
4,7 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 28,013 28,293
  Canadian Pacific Railway Co. 6.500% 5/15/18 14,710 16,414
  Canadian Pacific Railway Co. 7.250% 5/15/19 8,325 9,682
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 3,931 4,049
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 1,580 1,626
4 Continental Airlines 1998-1 Class B Pass        
  Through Trust 6.748% 9/15/18 3,585 3,701
4 Continental Airlines 1999-1 Class B Pass        
  Through Trust 6.795% 2/2/20 842 866
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 3,992 4,482
4 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 10/1/22 13,768 15,179
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 2,753 2,839
  Continental Airlines 2012-3 Class C Pass        
  Thru Certificates 6.125% 4/29/18 49,605 51,217
  CSX Corp. 6.250% 3/15/18 30,078 33,237
4,13 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 16,106 18,360
4 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 6/17/21 28,492 32,125
4 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 10,188 10,977
4 Delta Air Lines 2010-2 Class A Pass Through        
  Trust 4.950% 11/23/20 5,203 5,483
4 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 2,545 2,672
7 ERAC USA Finance LLC 1.400% 4/15/16 8,717 8,727
7 ERAC USA Finance LLC 6.375% 10/15/17 11,112 12,080
7 ERAC USA Finance LLC 2.800% 11/1/18 16,645 16,954
7 ERAC USA Finance LLC 2.350% 10/15/19 11,715 11,663
7 HPHT Finance 15 Ltd. 2.250% 3/17/18 29,305 29,226
  JB Hunt Transport Services Inc. 2.400% 3/15/19 5,100 5,135

 

 

4,6,13 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.771% 5/15/18 9,655 9,522
4 Northwest Airlines 2007-1 Class B Pass        
  Through Trust 8.028% 11/1/17 23,420 25,645
  Ryder System Inc. 5.850% 11/1/16 8,440 8,818
  Ryder System Inc. 2.500% 3/1/17 12,635 12,775
  Ryder System Inc. 2.450% 11/15/18 5,850 5,880
  Ryder System Inc. 2.350% 2/26/19 7,499 7,497
  Ryder System Inc. 2.550% 6/1/19 6,840 6,880
  Ryder System Inc. 2.650% 3/2/20 14,650 14,610
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 4,921 5,499
4 Spirit Airlines 2015-1 Pass Through Trust B 4.450% 10/1/25 14,650 14,485
4,7 UAL 2009-2B Pass Through Trust 12.000% 7/15/17 2,544 2,602
  Union Pacific Corp. 5.750% 11/15/17 9,624 10,493
  Union Pacific Corp. 5.700% 8/15/18 28,989 32,269
  Union Pacific Corp. 2.250% 2/15/19 15,645 15,819
  Union Pacific Corp. 1.800% 2/1/20 8,400 8,333
  Union Pacific Corp. 2.250% 6/19/20 24,425 24,696
  United Continental Holdings Inc. 6.375% 6/1/18 6,335 6,691
  United Parcel Service Inc. 5.125% 4/1/19 50,822 56,656
  United Parcel Service of America Inc. 8.375% 4/1/20 32,757 41,198
          14,718,150
Utilities (4.2%)        
  Electric (3.8%)        
  Ameren Illinois Co. 6.125% 11/15/17 7,740 8,453
  Ameren Illinois Co. 6.250% 4/1/18 4,690 5,174
  American Electric Power Co. Inc. 1.650% 12/15/17 35,350 35,246
  Appalachian Power Co. 5.000% 6/1/17 5,605 5,895
  Arizona Public Service Co. 6.250% 8/1/16 3,892 4,048
  Arizona Public Service Co. 8.750% 3/1/19 29,145 35,120
  Baltimore Gas & Electric Co. 5.900% 10/1/16 6,756 7,052
  Berkshire Hathaway Energy Co. 5.750% 4/1/18 44,840 49,221
  Berkshire Hathaway Energy Co. 2.000% 11/15/18 39,110 39,158
  Berkshire Hathaway Energy Co. 2.400% 2/1/20 17,600 17,566
  CenterPoint Energy Inc. 5.950% 2/1/17 21,490 22,609
  CenterPoint Energy Inc. 6.500% 5/1/18 7,270 8,036
  CMS Energy Corp. 6.550% 7/17/17 2,646 2,861
  CMS Energy Corp. 5.050% 2/15/18 45,536 48,674
  Commonwealth Edison Co. 5.950% 8/15/16 10,233 10,636
  Commonwealth Edison Co. 1.950% 9/1/16 5,316 5,358
  Commonwealth Edison Co. 6.150% 9/15/17 27,867 30,292
  Commonwealth Edison Co. 5.800% 3/15/18 36,085 39,615
  Commonwealth Edison Co. 2.150% 1/15/19 6,840 6,868
  Commonwealth Edison Co. 4.000% 8/1/20 23,498 25,176
  Commonwealth Edison Co. 3.400% 9/1/21 4,550 4,741
  Connecticut Light & Power Co. 5.500% 2/1/19 11,410 12,704
  Consumers Energy Co. 5.500% 8/15/16 2,130 2,205
  Consumers Energy Co. 5.150% 2/15/17 13,960 14,636
  Consumers Energy Co. 5.650% 9/15/18 13,675 15,131
  Consumers Energy Co. 6.125% 3/15/19 25,262 28,735
  Consumers Energy Co. 6.700% 9/15/19 43,432 50,707
  DTE Electric Co. 5.600% 6/15/18 16,931 18,585
  Duke Energy Carolinas LLC 5.250% 1/15/18 1,124 1,217
  Duke Energy Carolinas LLC 5.100% 4/15/18 5,112 5,541
  Duke Energy Carolinas LLC 7.000% 11/15/18 27,502 31,783
  Duke Energy Carolinas LLC 4.300% 6/15/20 12,615 13,732

 

 

  Duke Energy Carolinas LLC 3.900% 6/15/21 4,851 5,195
  Duke Energy Corp. 2.100% 6/15/18 10,490 10,619
  Duke Energy Corp. 6.250% 6/15/18 21,562 23,961
  Duke Energy Corp. 5.050% 9/15/19 12,700 13,906
  Duke Energy Florida Inc. 4.550% 4/1/20 18,900 20,600
  Duke Energy Florida LLC 5.800% 9/15/17 11,424 12,347
  Duke Energy Florida LLC 5.650% 6/15/18 39,575 43,535
  Duke Energy Indiana Inc. 3.750% 7/15/20 13,925 14,788
  Duke Energy Progress LLC 3.000% 9/15/21 24,903 25,626
7 EDP Finance BV 6.000% 2/2/18 29,290 31,138
7 EDP Finance BV 4.900% 10/1/19 36,572 38,051
7 EDP Finance BV 4.125% 1/15/20 48,860 49,270
  Entergy Corp. 4.700% 1/15/17 11,695 12,045
  Entergy Gulf States Louisiana LLC 6.000% 5/1/18 1,230 1,351
  Entergy Louisiana LLC 6.500% 9/1/18 14,300 16,127
  Eversource Energy 1.450% 5/1/18 21,490 21,314
  Eversource Energy 4.500% 11/15/19 3,980 4,289
  Exelon Corp. 1.550% 6/9/17 23,800 23,769
  Exelon Corp. 2.850% 6/15/20 21,460 21,474
  Exelon Corp. 3.950% 6/15/25 10,230 10,331
  Exelon Generation Co. LLC 6.200% 10/1/17 16,105 17,320
  Exelon Generation Co. LLC 2.950% 1/15/20 18,560 18,634
  FirstEnergy Corp. 2.750% 3/15/18 23,426 23,496
  FirstEnergy Corp. 4.250% 3/15/23 26,204 26,424
7 FirstEnergy Transmission LLC 4.350% 1/15/25 28,370 29,026
  Florida Power & Light Co. 2.750% 6/1/23 13,790 13,813
  Florida Power & Light Co. 3.250% 6/1/24 10,125 10,442
4,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 16,398 17,218
  Georgia Power Co. 5.400% 6/1/18 7,815 8,578
  Kentucky Utilities Co. 3.250% 11/1/20 1,950 2,036
  LG&E & KU Energy LLC 3.750% 11/15/20 13,482 14,094
  Louisville Gas & Electric Co. 1.625% 11/15/15 4,826 4,828
  MidAmerican Energy Co. 5.950% 7/15/17 14,170 15,202
  MidAmerican Energy Co. 5.300% 3/15/18 37,367 40,418
  National Rural Utilities Cooperative Finance        
  Corp. 1.900% 11/1/15 12,199 12,199
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 3/1/16 7,729 7,792
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 11,340 12,043
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 2/1/18 32,768 35,439
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 23,955 29,724
  National Rural Utilities Cooperative Finance        
  Corp. 2.150% 2/1/19 27,680 27,785
  National Rural Utilities Cooperative Finance        
  Corp. 2.300% 11/15/19 13,665 13,713
  National Rural Utilities Cooperative Finance        
  Corp. 2.000% 1/27/20 30,309 29,851
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 35,170 35,051
  National Rural Utilities Cooperative Finance        
  Corp. 2.300% 11/1/20 10,725 10,691
  Nevada Power Co. 6.500% 5/15/18 32,715 36,418
  Nevada Power Co. 6.500% 8/1/18 9,683 10,895
  NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 8,766 9,710

 

 

  NextEra Energy Capital Holdings Inc. 2.400% 9/15/19 19,530 19,375
  NextEra Energy Capital Holdings Inc. 2.700% 9/15/19 29,770 29,827
  NSTAR Electric Co. 5.625% 11/15/17 4,930 5,347
  NV Energy Inc. 6.250% 11/15/20 12,195 14,146
  Ohio Power Co. 6.000% 6/1/16 9,838 10,118
  Pacific Gas & Electric Co. 5.625% 11/30/17 52,634 56,853
  Pacific Gas & Electric Co. 8.250% 10/15/18 32,830 38,687
  Pacific Gas & Electric Co. 3.500% 10/1/20 33,200 34,807
  Pacific Gas & Electric Co. 4.250% 5/15/21 8,790 9,473
  PacifiCorp 5.650% 7/15/18 20,566 22,682
  PacifiCorp 5.500% 1/15/19 4,630 5,148
  PacifiCorp 3.850% 6/15/21 3,900 4,162
  Pennsylvania Electric Co. 6.050% 9/1/17 5,445 5,879
  PPL Capital Funding Inc. 1.900% 6/1/18 13,915 13,881
  Public Service Electric & Gas Co. 5.300% 5/1/18 8,150 8,905
  Public Service Electric & Gas Co. 2.300% 9/15/18 21,790 22,161
  Puget Sound Energy Inc. 4.300% 5/20/45 2,800 2,875
  SCANA Corp. 4.750% 5/15/21 7,705 8,084
  Sierra Pacific Power Co. 6.000% 5/15/16 18,500 19,011
  South Carolina Electric & Gas Co. 5.250% 11/1/18 1,125 1,234
  South Carolina Electric & Gas Co. 6.500% 11/1/18 12,181 13,915
  Southern California Edison Co. 1.125% 5/1/17 6,840 6,840
  Southern California Edison Co. 5.500% 8/15/18 5,295 5,836
  Southern Co. 2.750% 6/15/20 36,610 36,413
  Southwestern Electric Power Co. 5.550% 1/15/17 2,010 2,112
  Southwestern Electric Power Co. 5.875% 3/1/18 10,080 11,014
  Tampa Electric Co. 6.100% 5/15/18 21,670 23,943
  TECO Finance Inc. 6.572% 11/1/17 9,950 10,868
  Union Electric Co. 6.400% 6/15/17 14,987 16,135
  Union Electric Co. 6.700% 2/1/19 16,542 19,045
  Virginia Electric & Power Co. 5.400% 4/30/18 5,992 6,567
  Xcel Energy Inc. 1.200% 6/1/17 14,355 14,310
 
  Natural Gas (0.4%)        
12 2i Rete Gas SPA 1.750% 7/16/19 23,545 26,693
  Atmos Energy Corp. 8.500% 3/15/19 9,760 11,656
  Sempra Energy 6.500% 6/1/16 77,159 79,488
  Sempra Energy 2.300% 4/1/17 36,630 36,974
  Sempra Energy 6.150% 6/15/18 13,585 14,981
  Sempra Energy 2.400% 3/15/20 10,265 10,209
 
  Other Utility (0.0%)        
  American Water Capital Corp. 6.085% 10/15/17 9,357 10,163
 
          2,209,168
Total Corporate Bonds (Cost $32,157,553)       32,143,687
Sovereign Bonds (U.S. Dollar-Denominated) (6.6%)        
  Abu Dhabi National Energy Co. PJSC 4.125% 3/13/17 4,077 4,194
7 Banco de Costa Rica 5.250% 8/12/18 4,800 4,894
7 Banco del Estado de Chile 2.000% 11/9/17 6,200 6,200
7 Banco del Estado de Chile 3.875% 2/8/22 2,000 2,020
7 Banco do Nordeste do Brasil SA 3.625% 11/9/15 2,000 1,990
  Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 33,760 34,266
7 Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 8,750 8,873

 

 

7 Banco Nacional de Desenvolvimento        
  Economico e Social 3.375% 9/26/16 6,400 6,400
  Banco Nacional de Desenvolvimento        
  Economico e Social 6.369% 6/16/18 6,830 6,958
  Banco Nacional de Desenvolvimento        
  Economico e Social 6.500% 6/10/19 2,900 2,915
7 Bank Nederlandse Gemeenten 0.875% 2/21/17 23,500 23,487
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 2,450 2,504
7 Bermuda 4.138% 1/3/23 6,000 6,038
7 Bermuda 4.854% 2/6/24 5,800 6,084
7 Caisse d'Amortissement de la Dette Sociale 1.125% 1/30/17 3,000 3,010
7 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 4,875 4,893
7 Caixa Economica Federal 2.375% 11/6/17 12,375 11,598
7 CDP Financial Inc. 3.150% 7/24/24 24,580 24,869
7 Centrais Eletricas Brasileiras SA 7.750% 11/30/15 2,250 2,250
  Centrais Eletricas Brasileiras SA 5.750% 10/27/21 10,800 8,613
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,800 1,841
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 4,000 3,964
  CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 38,025 37,949
7 CNPC General Capital Ltd. 1.450% 4/16/16 2,000 2,002
7 CNPC General Capital Ltd. 2.750% 4/19/17 4,875 4,944
7 CNPC General Capital Ltd. 2.750% 5/14/19 9,765 9,786
7 CNPC HK Overseas Capital Ltd. 3.125% 4/28/16 5,000 5,043
  Corp. Andina de Fomento 3.750% 1/15/16 74,569 75,026
  Corp. Andina de Fomento 5.750% 1/12/17 8,900 9,373
  Corp. Andina de Fomento 7.790% 3/1/17 9,570 10,354
  Corp. Andina de Fomento 1.500% 8/8/17 8,790 8,777
  Corp. Andina de Fomento 4.375% 6/15/22 32,912 35,430
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 2,000 2,001
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,825 4,976
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 15,796 16,058
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 2,800 2,830
  Corp. Nacional del Cobre de Chile 3.000% 7/17/22 1,200 1,131
7 Corp. Nacional del Cobre de Chile 3.000% 7/17/22 19,525 18,413
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 10,800 10,980
7 Democratic Socialist Republic of Sri Lanka 5.125% 4/11/19 3,300 3,242
14 Development Bank of Japan Inc. 2.750% 3/15/16 6,900 6,922
14 Development Bank of Japan Inc. 5.125% 2/1/17 4,800 5,048
  Development Bank of Kazakhstan JSC 5.500% 12/20/15 310 312
7 Development Bank of Kazakhstan JSC 5.500% 12/20/15 2,762 2,771
7,15 Dexia Credit Local SA 1.250% 10/18/16 12,700 12,743
  Ecopetrol SA 7.375% 9/18/43 3,900 3,725
  Ecopetrol SA 5.875% 5/28/45 23,770 19,373
7 Electricite de France SA 1.150% 1/20/17 58,610 58,619
7 Electricite de France SA 2.150% 1/22/19 34,190 34,174
7 Electricite de France SA 6.000% 1/22/14 1,610 1,621
9 Emirates NBD PJSC 5.750% 11/8/15 10,770 8,084
4,7 ENA Norte Trust 4.950% 4/25/28 1,738 1,773
  Eskom Holdings SOC Ltd. 5.750% 1/26/21 32,800 30,586
  European Investment Bank 2.500% 5/16/16 5,000 5,055
7 Export-Import Bank of China/The via Avi        
  Funding Co. Ltd. 2.850% 9/16/20 11,075 11,122
  Export-Import Bank of Korea 3.750% 10/20/16 18,695 19,141
  Export-Import Bank of Korea 4.000% 1/11/17 98,200 101,089
  Export-Import Bank of Korea 2.875% 9/17/18 11,700 11,953
  Export-Import Bank of Korea 4.000% 1/29/21 2,000 2,159
7 Federation of Malaysia 2.991% 7/6/16 4,875 4,932

 

 

4 Federative Republic of Brazil 8.000% 1/15/18 16,889 17,839
  Federative Republic of Brazil 4.875% 1/22/21 28,800 28,332
7 Fondo MIVIVIENDA SA 3.375% 4/2/19 19,500 19,524
  Fondo MIVIVIENDA SA 3.375% 4/2/19 4,850 4,838
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 10,739 12,081
  Hydro-Quebec 2.000% 6/30/16 21,750 21,950
  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 14,720 14,804
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 15,950 16,286
  International Bank for Reconstruction &        
  Development 0.625% 10/14/16 10,000 9,996
  IPIC GMTN Ltd. 3.125% 11/15/15 9,750 9,750
7 IPIC GMTN Ltd. 3.750% 3/1/17 2,850 2,931
14 Japan Bank for International Cooperation 2.500% 1/21/16 19,500 19,584
14 Japan Bank for International Cooperation 2.500% 5/18/16 22,000 22,225
14 Japan Bank for International Cooperation 2.250% 7/13/16 34,090 34,451
14 Japan Bank for International Cooperation 1.750% 7/31/18 26,800 27,025
14 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,750 10,654
  KazMunayGas National Co. JSC 9.125% 7/2/18 31,776 35,073
7 Kommunalbanken AS 2.375% 1/19/16 5,875 5,898
7 Kommunalbanken AS 0.875% 10/3/16 9,775 9,792
7 Kommunalbanken AS 1.125% 5/23/18 31,300 31,259
  Korea Development Bank 1.000% 1/22/16 4,800 4,801
  Korea Development Bank 3.250% 3/9/16 29,606 29,828
  Korea Development Bank 4.000% 9/9/16 5,200 5,324
  Korea Development Bank 3.250% 9/20/16 9,800 9,986
  Korea Development Bank 3.875% 5/4/17 24,125 24,924
  Korea Development Bank 2.250% 8/7/17 19,445 19,640
  Korea Development Bank 3.500% 8/22/17 22,675 23,406
  Korea Development Bank 1.500% 1/22/18 5,850 5,815
  Korea Expressway Corp. 1.625% 4/28/17 9,800 9,767
7 Korea Expressway Corp. 1.625% 4/28/17 9,800 9,767
  Korea Expressway Corp. 1.875% 10/22/17 22,630 22,676
7 Korea Expressway Corp. 1.875% 10/22/17 1,000 1,001
  Korea Gas Corp. 2.875% 7/29/18 4,800 4,904
7 Korea Land & Housing Corp. 1.875% 8/2/17 7,000 7,027
7 Korea National Oil Corp. 2.875% 11/9/15 2,900 2,900
7 Korea National Oil Corp. 4.000% 10/27/16 19,201 19,749
  Korea National Oil Corp. 2.750% 1/23/19 14,650 14,878
7 Korea Resources Corp. 2.125% 5/2/18 4,675 4,634
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 7,800 7,970
  Majapahit Holding BV 8.000% 8/7/19 16,600 18,729
7 MDC-GMTN B.V. 3.750% 4/20/16 6,000 6,065
  North American Development Bank 2.300% 10/10/18 3,675 3,723
  North American Development Bank 2.400% 10/26/22 2,700 2,665
7 OCP SA 5.625% 4/25/24 8,325 8,693
16 Oesterreichische Kontrollbank AG 2.000% 6/3/16 24,350 24,561
7 Ooredoo International Finance Ltd. 3.375% 10/14/16 9,025 9,173
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 4,925 4,895
7 Ooredoo International Finance Ltd. 3.875% 1/31/28 1,800 1,752
4 Oriental Republic of Uruguay 4.375% 10/27/27 3,150 3,134
4 Oriental Republic of Uruguay 5.100% 6/18/50 975 878
7 Perusahaan Penerbit SBSN Indonesia II 4.000% 11/21/18 4,800 5,010
6 Petrobras Global Finance BV 1.953% 11/20/15 17,155 16,881
6 Petrobras Global Finance BV 2.460% 1/15/16 11,250 9,056
  Petrobras Global Finance BV 2.000% 5/20/16 7,330 7,152
  Petrobras Global Finance BV 3.000% 1/15/19 17,295 14,333
  Petrobras Global Finance BV 4.875% 3/17/20 20,570 16,867

 

 

  Petrobras International Finance Co. SA 3.875% 1/27/16 104,494 104,491
  Petrobras International Finance Co. SA 6.125% 10/6/16 11,427 11,484
  Petrobras International Finance Co. SA 5.875% 3/1/18 48,533 45,803
  Petrobras International Finance Co. SA 6.875% 1/20/40 2,360 1,693
  Petroleos Mexicanos 5.750% 3/1/18 159,119 169,064
  Petroleos Mexicanos 8.000% 5/3/19 107,842 122,942
  Petroleos Mexicanos 5.500% 1/21/21 33,940 36,222
  Petroleos Mexicanos 4.875% 1/24/22 45,680 46,633
  Province of Manitoba 1.300% 4/3/17 32,225 32,386
  Province of New Brunswick 2.750% 6/15/18 485 502
  Province of Ontario 5.450% 4/27/16 5,000 5,121
  Province of Ontario 2.300% 5/10/16 67,725 68,381
  Province of Ontario 1.200% 2/14/18 5,200 5,192
  Province of Ontario 3.000% 7/16/18 15,905 16,565
  Province of Ontario 1.875% 5/21/20 9,770 9,749
  Quebec 5.000% 3/1/16 9,750 9,893
  Quebec 5.125% 11/14/16 11,000 11,488
  Quebec 3.500% 7/29/20 4,750 5,074
  Quebec 2.750% 8/25/21 16,785 17,216
  Quebec 2.625% 2/13/23 5,150 5,170
  Quebec 2.875% 10/16/24 6,750 6,830
4,7 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 5,088 5,495
4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 7,882 8,493
  Republic of Colombia 7.375% 3/18/19 5,200 5,928
  Republic of Colombia 4.375% 7/12/21 14,565 15,002
4 Republic of Colombia 4.500% 1/28/26 7,100 7,065
4 Republic of Colombia 5.000% 6/15/45 4,690 4,198
  Republic of Croatia 6.250% 4/27/17 47,320 49,568
  Republic of Hungary 4.000% 3/25/19 30,950 32,443
  Republic of Indonesia 6.875% 3/9/17 4,885 5,227
  Republic of Indonesia 6.875% 1/17/18 11,463 12,638
  Republic of Indonesia 5.875% 3/13/20 51,308 56,890
12 Republic of Indonesia 2.875% 7/8/21 25,485 27,776
12 Republic of Indonesia 3.375% 7/30/25 18,070 18,967
  Republic of Indonesia 6.625% 2/17/37 11,540 12,665
  Republic of Italy 4.750% 1/25/16 45,945 46,303
  Republic of Kazakhstan 6.500% 7/21/45 23,650 23,059
7 Republic of Kazakhstan 6.500% 7/21/45 2,000 1,960
  Republic of Korea 5.125% 12/7/16 9,750 10,182
7 Republic of Latvia 5.250% 2/22/17 2,000 2,106
7 Republic of Latvia 2.750% 1/12/20 4,000 4,082
  Republic of Namibia 5.500% 11/3/21 8,850 9,204
  Republic of Namibia 5.250% 10/29/25 4,895 4,852
  Republic of Poland 6.375% 7/15/19 38,990 45,228
  Republic of Poland 5.125% 4/21/21 15,530 17,572
  Republic of Poland 5.000% 3/23/22 39,165 44,100
  Republic of Poland 4.000% 1/22/24 3,800 4,051
  Republic of Romania 4.375% 8/22/23 9,800 10,302
12 Republic of Romania 2.750% 10/29/25 14,635 16,293
7 Republic of Serbia 5.250% 11/21/17 1,000 1,043
  Republic of Serbia 5.250% 11/21/17 4,800 5,013
  Republic of Slovakia 4.375% 5/21/22 3,000 3,379
7 Republic of Slovakia 4.375% 5/21/22 5,500 6,175
7 Republic of Slovenia 5.250% 2/18/24 10,700 12,059
  Republic of Turkey 7.000% 9/26/16 100,305 104,944
  Republic of Turkey 7.500% 7/14/17 180,819 195,963
  Republic of Turkey 6.750% 4/3/18 105,240 114,533

 

 

  Republic of Turkey 7.000% 3/11/19 9,600 10,728
  Republic of Turkey 3.250% 3/23/23 4,280 3,980
  Republic of Turkey 4.875% 4/16/43 9,765 8,806
4,7 Rio Oil Finance Trust Series 2014-3 6.750% 1/6/27 12,310 10,002
  SABIC Capital II BV 2.625% 10/3/18 9,600 9,672
7 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 16,820 17,261
7 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 5,775 5,861
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 20,200 21,166
  Sinopec Group Overseas Development 2014        
  Ltd. 1.750% 4/10/17 2,000 2,000
  State Bank of India 4.125% 8/1/17 33,613 34,771
  State of Israel 5.500% 11/9/16 4,875 5,104
  State of Israel 4.000% 6/30/22 1,900 2,049
  State of Israel 3.150% 6/30/23 6,000 6,129
7 State of Qatar 3.125% 1/20/17 8,000 8,211
  Statoil ASA 1.800% 11/23/16 5,900 5,960
  Statoil ASA 3.125% 8/17/17 8,956 9,291
  Statoil ASA 1.200% 1/17/18 21,105 21,043
  Statoil ASA 2.250% 11/8/19 19,500 19,728
  Statoil ASA 2.900% 11/8/20 10,000 10,367
  Statoil ASA 3.150% 1/23/22 2,000 2,034
  Svensk Exportkredit AB 2.125% 7/13/16 24,400 24,680
  Svensk Exportkredit AB 1.750% 5/30/17 4,900 4,965
  Svensk Exportkredit AB 1.125% 4/5/18 9,750 9,731
7 Temasek Financial I Ltd. 4.300% 10/25/19 7,250 7,923
7 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 4,931
7 Turkiye Halk Bankasi AS 4.875% 7/19/17 1,800 1,843
  United Mexican States 5.625% 1/15/17 13,563 14,263
  United Mexican States 4.000% 10/2/23 4,610 4,764
  United Mexican States 5.750% 10/12/10 5,170 5,084
Total Sovereign Bonds (Cost $3,483,646)       3,483,238
Taxable Municipal Bonds (0.4%)        
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 9,800 9,876
  California GO 5.950% 3/1/18 26,110 28,736
  California GO 6.200% 10/1/19 13,650 15,887
  Colorado Housing & Finance Authority        
  Employment Compensation Special        
  Assessment Revenue 1.600% 5/15/16 14,600 14,679
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 1.298% 7/1/16 7,800 7,831
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.107% 7/1/18 5,350 5,402
  George Washington University District of        
  Columbia GO 3.485% 9/15/22 4,800 4,942
  Harris County TX Toll Road Revenue 1.361% 8/15/17 9,750 9,766
  Illinois GO 4.961% 3/1/16 25,550 25,855
  Illinois GO 5.365% 3/1/17 16,540 17,172
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 1.570% 1/1/17 2,000 2,015
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 2.217% 1/1/19 1,850 1,887

 

 

Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 29,003 29,851
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 13,800 14,348
6 Mississippi GO (Nissan North America, Inc.        
Project) 0.893% 11/1/17 12,180 12,210
New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 2,385 2,491
University of California Revenue 2.054% 5/15/18 3,400 3,472
University of California Revenue 1.745% 5/15/19 6,250 6,290
Total Taxable Municipal Bonds (Cost $208,803)       212,710
Tax-Exempt Municipal Bonds (0.0%)        
Calhoun County TX Navigation Industrial        
Development Authority Port Revenue (BP        
plc) VRDO 0.040% 11/6/15 10,000 10,000
Total Tax-Exempt Municipal Bonds (Cost $10,000)       10,000
      Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
10 Lehman Brothers Holdings Inc. Pfd. 7.250%   29,160 —
Total Convertible Preferred Stocks (Cost $28,924)       —
Temporary Cash Investment (0.8%)        
Money Market Fund (0.8%)        
17 Vanguard Market Liquidity Fund (Cost        
$395,438) 0.207%   395,437,854 395,438
 
Total Investments (99.1%) (Cost $52,393,454)       52,371,566
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 1,304 (61)
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 782 (61)
 
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 1,304 (978)
 
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 1,129 (564)
 
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 694 (217)
 
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 693 (130)
 
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 346 (141)
Total Liability for Options Written (Premiums received $1,975)     (2,152)
Other Assets and Liabilities-Net (0.9%)       488,490
Net Assets (100%)       52,857,904

 

 

1      Securities with a value of $18,011,000 have been segregated as initial margin for open futures contracts.
2      Securities with a value of $38,796,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
3      Securities with a value of $18,419,000 have been segregated as initial margin for open cleared swap contracts.
4      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.
5      The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6      Adjustable-rate security.
7      Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2015, the aggregate value of these securities was $7,313,323,000, representing 13.8% of net assets.
8      Security made only partial principal and/or interest payments during the period ended October 31, 2015.
9      Face amount denominated in Australian dollars.
10      Non-income-producing security--security in default.
11      Face amount denominated in British pounds.
12      Face amount denominated in Euro.
13      Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
14      Guaranteed by the Government of Japan.
15      Guaranteed by multiple countries.
16      Guaranteed by the Republic of Austria.
17      Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  GO—General Obligation Bond. VRDO—Variable Rate Demand Obligation.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation

 

Short-Term Investment-Grade Fund

(depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,080,770 —
Asset-Backed/Commercial Mortgage-Backed Securities — 10,877,819 167,904
Corporate Bonds — 32,143,684 3
Sovereign Bonds — 3,483,238 —
Taxable Municipal Bonds — 212,710 —
Tax-Exempt Municipal Bonds — 10,000 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 395,438 — —
Futures Contracts—Assets1 560 — —
Futures Contracts—Liabilities1 (2,934) — —
Forward Currency Contracts—Assets — 9,566 —
Forward Currency Contracts—Liabilities — (4,979) —
Swap Contracts—Assets 2531 20,224 —
Swap Contracts—Liabilities (592)1 (5,663) —
Option Contracts Written (2,152) — —
Total 390,573 51,827,369 167,907
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is

 

Short-Term Investment-Grade Fund

that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
5-Year U.S. Treasury Note December 2015 15,741 1,885,354 (4,260)
30-Year U.S. Treasury Bond December 2015 (3,468) (542,525) (2,932)
2-Year U.S. Treasury Note December 2015 2,290 500,723 (1,251)
10-Year U.S. Treasury Note December 2015 (3,773) (481,765) 879
Euro-Bobl December 2015 (1,060) (150,856) (1,131)
Euro-Bund December 2015 (804) (138,992) (1,511)
AUD 3-Year Bond December 2015 (1,498) (119,969) (220)
Long Gilt December 2015 (127) (23,054) (88)
Ultra Long U.S. Treasury Bond December 2015 (81) (12,940) 4
Euro-Schatz December 2015 13 1,594 3
        (10,507)

 

Unrealized appreciation (depreciation) on open futures contracts, excluding the AUD 3-Year Bond futures, is required to be treated as realized gain (loss) for tax purposes.

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into

 

Short-Term Investment-Grade Fund

master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At October 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 11/2/15 EUR 329,514 USD 363,582 (1,232)
BNP Paribas 11/2/15 AUD 142,611 USD 103,478 (1,782)
Morgan Stanley Capital Services LLC 11/2/15 GBP 56,081 USD 86,028 427
BNP Paribas 12/2/15 EUR 16,279 USD 18,037 (128)
Morgan Stanley Capital Services LLC 12/2/15 EUR 14,672 USD 16,190 (49)
UBS AG 11/2/15 EUR 8,000 USD 9,081 (283)
JPMorgan Chase Bank N.A. 11/2/15 EUR 114 USD 128 (3)
Morgan Stanley Capital Services LLC 12/2/15 USD 359,858 EUR 326,193 1,008
UBS AG 11/2/15 USD 279,770 EUR 250,571 4,230
BNP Paribas 12/2/15 USD 103,319 AUD 142,611 1,790
UBS AG 11/2/15 USD 95,520 AUD 135,225 (910)
Morgan Stanley Capital Services LLC 12/2/15 USD 86,013 GBP 56,081 (426)
BNP Paribas 11/2/15 USD 78,466 GBP 50,809 139
Morgan Stanley Capital Services LLC 11/2/15 USD 47,230 EUR 42,362 646
BNP Paribas 11/2/15 USD 21,325 EUR 19,097 325
Bank of America N.A. 12/2/15 USD 14,130 EUR 12,802 45
Barclays Capital 11/2/15 USD 12,665 EUR 11,303 235
Bank of America N.A. 11/2/15 USD 11,775 EUR 10,312 435
UBS AG 11/2/15 USD 8,002 GBP 5,272 (126)

 

 

Short-Term Investment-Grade Fund            
 
 
Barclays Capital 12/2/15 USD 6,626 EUR 6,000 25
JPMorgan Chase Bank N.A. 11/2/15 USD 5,373 AUD 7,385 107
BNP Paribas 12/2/15 USD 4,569 AUD 6,460 (29)
JPMorgan Chase Bank N.A. 11/2/15 USD 4,534 EUR 3,983 154
JPMorgan Chase Bank N.A. 12/2/15 USD 1,782 AUD 2,518 (11)
            4,587
AUD—Australian dollar.            
EUR—Euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

 

Short-Term Investment-Grade Fund

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

At October 31, 2015, the fund had the following open swap contracts:

Over-the-Counter Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date  Counterparty ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
 
Bank of America Corp./Baa1 12/20/17 MSCS 16,900 274 1.000 502
 
Boeing Co./A2 9/20/18 GSCM 4,885 (52) 1.000 72
Energy Transfer Partners            
LP/Baa3 6/20/17 BOANA 14,630 284 1.000 352
 
Federation of Malaysia/A3 12/20/20 BNPSW 7,565 290 1.000 (70)

 

 

Short-Term Investment-Grade Fund            
 
Federation of Malaysia/A3 12/20/20 BNPSW 22,613 883 1.000 (191)
Federation of Malaysia/A3 12/20/20 BOANA 31,090 1,594 1.000 118
Federation of Malaysia/A3 12/20/20 GSCM 6,830 397 1.000 73
Federation of Malaysia/A3 12/20/20 GSCM 8,730 362 1.000 (53)
Federation of Malaysia/A3 12/20/20 JPMC 21,400 858 1.000 (158)
Federation of Malaysia/A3 12/20/20 JPMC 19,515 1,302 1.000 376
Federation of Malaysia/A3 12/20/20 JPMC 9,270 425 1.000 (16)
Federative Republic of            
Brazil/Baa3 12/20/20 BNPSW 7,230 956 1.000 (79)
Federative Republic of            
Brazil/Baa3 12/20/20 BNPSW 33,430 3,758 1.000 (1,026)
Federative Republic of            
Brazil/Baa3 12/20/20 BOANA 12,460 1,928 1.000 145
Federative Republic of            
Brazil/Baa3 12/20/20 GSCM 13,660 1,859 1.000 (96)
Federative Republic of            
Brazil/Baa3 12/20/20 JPMC 26,705 4,198 1.000 377
General Electric Capital            
Corp./A1 12/20/19 DBAG 29,290 (507) 1.000 314
Goldman Sachs Group Inc./A3 12/20/17 MSCS 9,760 188 1.000 304
Goldman Sachs Group Inc./A3 3/20/20 BOANA 21,610 (169) 1.000 50
Hartford Financial Services            
Group Inc./Baa2 3/20/18 GSCM 9,750 12 1.000 193
Peoples’ Republic of China/Aa3 9/20/20 BNPSW 4,880 32 1.000 30
Peoples’ Republic of China/Aa3 9/20/20 JPMC 24,405 (101) 1.000 (112)
Peoples’ Republic of China/Aa3 12/20/20 GSCM 14,635 155 1.000 110
Peoples’ Republic of China/Aa3 12/20/20 JPMC 7,220 105 1.000 84
Republic of Chile/Aa3 12/20/20 BARC 19,515 443 1.000 217
Republic of Chile/Aa3 12/20/20 BARC 11,525 177 1.000 44
Republic of Chile/Aa3 12/20/20 BNPSW 34,150 202 1.000 (194)
Republic of Chile/Aa3 12/20/20 BNPSW 9,770 123 1.000 10

 

 

Short-Term Investment-Grade Fund            
 
Republic of Chile/Aa3 12/20/20 BOANA 9,765 231 1.000 117
Republic of Chile/Aa3 12/20/20 JPMC 9,760 93 1.000 (20)
Republic of Chile/Aa3 12/20/20 JPMC 14,635 303 1.000 134
Republic of Colombia/Baa2 12/20/20 BNPSW 18,645 1,020 1.000 50
Republic of Colombia/Baa2 12/20/20 DBAG 19,135 1,121 1.000 126
Republic of Colombia/Baa2 12/20/20 JPMC 14,255 716 1.000 (25)
Republic of Indonesia/Baa3 12/20/20 BNPSW 7,805 413 1.000 (35)
Republic of Indonesia/Baa3 12/20/20 BOANA 9,030 469 1.000 (49)
Republic of Indonesia/Baa3 12/20/20 JPMC 14,630 1,016 1.000 177
Republic of Indonesia/Baa3 12/20/20 MSCS 21,960 1,253 1.000 (6)
Republic of Indonesia/Baa3 12/20/20 MSCS 2,585 137 1.000 (12)
Republic of Peru/A3 12/20/20 BNPSW 36,690 1,102 1.000 (176)
Republic of Peru/A3 12/20/20 CSFBI 4,880 206 1.000 36
Republic of Peru/A3 12/20/20 JPMC 18,335 811 1.000 172
Republic of Turkey/Baa3 12/20/16 BNPSW 10,740 20 1.000 15
Russian Federation/Ba1 6/20/17 GSCM 16,020 669 1.000 452
Russian Federation/Ba1 6/20/17 GSCM 9,600 400 1.000 270
Russian Federation/Ba1 6/20/17 GSCM 19,540 828 1.000 563
Russian Federation/Ba1 12/20/20 BARC 14,590 1,302 1.000 127
Russian Federation/Ba1 12/20/20 BARC 9,755 1,069 1.000 284
Russian Federation/Ba1 12/20/20 BNPSW 18,600 2,048 1.000 550
Russian Federation/Ba1 12/20/20 DBAG 10,570 1,283 1.000 432
Standard Chartered Bank/Aa2 12/20/20 MSCS 10,627 378 1.000 314
      775,575     4,872

 

 

Short-Term Investment-Grade Fund

Credit Protection Purchased            
Aetna Inc. 12/20/19 CSFBI 19,525 530 (1.000) (105)
Aetna Inc. 6/20/20 GSCM 19,530 708 (1.000) 34
American International Group            
Inc. 6/20/20 BOANA 11,720 200 (1.000) (79)
American International Group            
Inc. 6/20/20 BOANA 11,720 200 (1.000) (79)
Bank of America Corp. 3/20/20 GSCM 21,610 299 (1.000) (27)
CMBX-NA-8-AAA 10/17/57 CSFBI 20,175 (933) (0.500) (5)
CMBX-NA-8-AAA 10/17/57 CSFBI 80,760 (4,222) (0.500) (507)
CMBX-NA-8-AAA 10/17/57 GSCM 80,790 (4,206) (0.500) (489)
El Du Pont De Nemours & Co. 9/20/18 BARC 5,200 73 (1.000) (30)
El Du Pont De Nemours & Co. 9/20/18 BNPSW 5,200 73 (1.000) (30)
El Du Pont De Nemours & Co. 9/20/18 CSFBI 6,865 119 (1.000) (17)
El Du Pont De Nemours & Co. 9/20/18 DBAG 5,200 73 (1.000) (30)
El Du Pont De Nemours & Co. 9/20/18 GSCM 5,200 75 (1.000) (29)
Federal Express Corp. 12/20/18 GSCM 21,640 210 (1.000) (317)
Federative Republic of Brazil 12/20/15 BOANA 3,500 (1) (1.000) 2
Intesa Sanpaolo SpA 6/20/19 DBAG 19,530 1,291 (3.000) (454)
Intesa Sanpaolo SpA 12/20/19 BARC 14,510 125 (1.000) (55)
Intesa Sanpaolo SpA 3/20/20 BOANA 18,060 78 (1.000) (136)
McKesson Corp. 3/20/19 JPMC 18,210 426 (1.000) (96)
McKesson Corp. 3/20/19 JPMC 18,210 436 (1.000) (86)
Petroleo Brasileiro SA 6/20/16 MSCS 24,410 (230) (1.000) 153
PPG Industries Inc. 3/20/18 GSCM 9,760 89 (1.000) (108)
Republic of Austria 9/20/17 BNPSW 3,800 (98) (1.000) (166)
Republic of Korea 9/20/18 JPMC 7,800 41 (1.000) (125)
United Mexican States 12/20/15 BOANA 3,500 (1) (1.000) (5)
United Mexican States 12/20/18 DBAG 4,900 (19) (1.000) (21)
United Mexican States 9/20/20 GSCM 24,595 (548) (1.000) (84)
United Mexican States 9/20/20 JPMC 19,520 (444) (1.000) (75)
United Mexican States 12/20/20 BARC 15,625 (367) (1.000) (16)
UnitedHealth Group Inc. 12/20/19 CSFBI 19,525 515 (1.000) (89)
UnitedHealth Group Inc. 6/20/20 CSFBI 19,530 680 (1.000) 40
Wells Fargo & Co. 9/20/20 BOANA 25,940 517 (1.000) (85)
      586,060     (3,116)
            1,756

 

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

 

Short-Term Investment-Grade Fund

BOANA—Bank of America, N.A.

CSFBI—Credit Suisse First Boston International. DBAG—Deutsche Bank AG.

GSCM—Goldman Sachs Bank USA. JPMC—JP Morgan Chase Bank. MSCS—Morgan Stanley Capital Services LLC.

Centrally Cleared Interest Rate Swaps          
        Fixed Interest     Unrealized
      Notional Rate Received Floating Interest   Appreciation
  Termination   Amount (Paid) Rate Received   (Depreciation)
  Date Clearinghouse ($000) (%) (Paid) (%)   ($000)
  11/7/15 LCH 120,000 0.375 (0.194) 2 (187)
  12/15/15 CME 100,000 0.327 (0.196) 2 9
  3/15/16 LCH 150,000 0.579 (0.196) 2 166
  6/1/16 CME 9,500 2.910 (0.324) 1 (168)
  6/1/16 CME 6,075 0.566 (0.324) 1 1
  6/15/16 CME 100,000 0.446 (0.196) 2 65
  11/15/16 LCH 150,000 0.681 (0.196) 2 329
  5/15/17 CME 200,000 0.659 (0.196) 2 158
  11/15/17 LCH 100,000 1.069 (0.196) 2 652
  7/10/18 CME 50,000 (1.380) 0.197 2 (613)
  1/15/19 LCH 200,000 (1.400) 0.196 2 (2,357)
  2/7/19 CME 150,000 (1.220) 0.194 2 (655)
  8/15/19 LCH 175,000 (1.524) 0.196 2 (2,452)
  8/15/20 LCH 400,000 (1.486) 0.196 2 (2,881)
  9/1/23 LCH 25,000 (2.139) 0.193 2 (718)
              (8,651)
 
  CME—Chicago Mercantile Exchange.          
  LCH—London Clearing House.          
1 Based on three-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
2 Based on one-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

 

Short-Term Investment-Grade Fund        
 
 
Over-the-Counter Interest Rate Swaps        
 
      Fixed Interest Floating Interest Unrealized
    Notional Rate Received Rate Received Appreciation
Termination   Amount (Paid) (Paid) (Depreciation)
Date Counterparty ($000) (%) (%) ($000)
6/1/16 GSCM 125 0.555 (0.334) 1 —
          —
 
GSCM—Goldman Sachs Bank USA.        
1 Based on three-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

Cross-Currency Swaps          
 
        Notional    
        Amount Notional  
        of Amount of Unrealized
Fixed Interest       Currency Currency Appreciation
Rate Fixed Interest Termination   Received Delivered (Depreciation)
Received Rate Paid Date Counterparty ($000) (000) ($000)
USD 5.453% GBP 5.875% 4/28/17 MSCS 24,528 GBP 14,650 1,921
USD 4.684% GBP 5.375% 9/28/16 MSCS 23,541 GBP 13,750 2,313
USD 6.653% EUR 6.375% 4/4/16 MSCS 18,804 EUR 13,675 3,834
USD 5.693% GBP 6.125% 5/14/17 BARC 16,195 GBP 9,770 1,128
USD 3.221% EUR 2.125% 12/1/20 BARC 13,998 EUR 10,205 2,635
USD 5.686% GBP 6.125% 5/14/17 BARC 13,493 GBP 8,119 974
            12,805
 
BARC—Barclays Bank plc.          
MSCS—Morgan Stanley Capital Services LLC.        
 
EUR—Euro.            
GBP—British pound.          

 

At October 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $18,971,000 in connection with open swap contracts and forward currency contracts.

G. At October 31, 2015, the cost of investment securities for tax purposes was $52,406,425,000. Net unrealized depreciation of investment securities for tax purposes was $34,859,000, consisting of unrealized gains of $293,449,000 on securities that had risen in value since their purchase and $328,308,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Short-Term Investment-Grade Fund


Vanguard Short-Term Federal Fund

Schedule of Investments
As of October 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (100.8%)        
U.S. Government Securities (11.8%)        
  United States Treasury Note/Bond 0.875% 1/31/17 8,200 8,236
1 United States Treasury Note/Bond 0.875% 7/15/17 69,000 69,226
  United States Treasury Note/Bond 0.625% 8/31/17 30,750 30,702
  United States Treasury Note/Bond 0.625% 9/30/17 29,700 29,640
  United States Treasury Note/Bond 1.875% 9/30/17 12,500 12,768
  United States Treasury Note/Bond 2.250% 11/30/17 56,500 58,186
  United States Treasury Note/Bond 1.000% 2/15/18 22,250 22,312
  United States Treasury Note/Bond 0.750% 4/15/18 115,600 115,131
  United States Treasury Note/Bond 1.000% 5/31/18 77,500 77,573
  United States Treasury Note/Bond 0.875% 7/15/18 2,000 1,994
  United States Treasury Note/Bond 1.375% 7/31/18 4,000 4,042
  United States Treasury Note/Bond 1.000% 8/15/18 2,050 2,050
  United States Treasury Note/Bond 1.500% 3/31/19 2,500 2,527
  United States Treasury Note/Bond 3.125% 5/15/19 21,000 22,365
  United States Treasury Note/Bond 0.875% 7/31/19 66,100 65,067
  United States Treasury Note/Bond 1.000% 9/30/19 30,500 30,100
  United States Treasury Note/Bond 1.000% 11/30/19 5,000 4,923
  United States Treasury Note/Bond 1.250% 1/31/20 6,350 6,305
  United States Treasury Note/Bond 1.375% 3/31/20 700 698
  United States Treasury Note/Bond 1.125% 4/30/20 41,000 40,410
  United States Treasury Note/Bond 1.375% 4/30/20 60 60
  United States Treasury Note/Bond 1.625% 6/30/20 1,400 1,408
          605,723
Agency Bonds and Notes (76.9%)        
2 AID-Jordan 2.578% 6/30/22 33,500 34,267
2 AID-Tunisia 2.452% 7/24/21 5,400 5,569
2 AID-Ukraine 1.847% 5/29/20 33,000 33,467
3 Federal Farm Credit Banks 1.110% 2/20/18 14,000 14,060
3 Federal Home Loan Banks 2.000% 9/9/16 8,420 8,533
3 Federal Home Loan Banks 0.500% 9/28/16 99,000 99,064
3 Federal Home Loan Banks 0.625% 11/23/16 144,000 144,238
3 Federal Home Loan Banks 1.625% 12/9/16 15,500 15,695
3 Federal Home Loan Banks 4.750% 12/16/16 21,500 22,526
3 Federal Home Loan Banks 0.875% 3/10/17 8,500 8,528
3 Federal Home Loan Banks 0.625% 5/30/17 23,250 23,218
3 Federal Home Loan Banks 0.750% 8/28/17 110,100 110,076
3 Federal Home Loan Banks 0.625% 10/26/17 50,000 49,816
3 Federal Home Loan Banks 1.375% 3/9/18 75,700 76,478
3 Federal Home Loan Banks 1.750% 6/12/20 20,000 20,155
4 Federal Home Loan Mortgage Corp. 0.875% 10/14/16 87,000 87,368
4 Federal Home Loan Mortgage Corp. 0.500% 1/27/17 127,600 127,549
4 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 14,500 15,315
4 Federal Home Loan Mortgage Corp. 0.875% 2/22/17 88,500 88,825
4 Federal Home Loan Mortgage Corp. 1.000% 3/8/17 276,800 278,203
4,5 Federal Home Loan Mortgage Corp. 0.875% 6/16/17 40,000 40,035
4 Federal Home Loan Mortgage Corp. 0.750% 7/14/17 32,700 32,710
4 Federal Home Loan Mortgage Corp. 1.000% 9/29/17 145,250 145,819
4 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 75,000 81,440

 

 

4 Federal Home Loan Mortgage Corp. 0.750% 1/12/18 175,050 174,509
4,5 Federal Home Loan Mortgage Corp. 1.250% 5/25/18 50,000 50,027
4 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 16,000 17,584
4,5 Federal Home Loan Mortgage Corp. 1.200% 10/29/18 75,000 74,672
4 Federal Home Loan Mortgage Corp. 1.750% 5/30/19 100,000 101,615
4 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 122,250 121,430
4 Federal National Mortgage Assn. 1.375% 11/15/16 30,000 30,281
4 Federal National Mortgage Assn. 1.250% 1/30/17 61,500 62,031
4 Federal National Mortgage Assn. 5.000% 2/13/17 23,500 24,819
4 Federal National Mortgage Assn. 1.125% 4/27/17 55,150 55,518
4 Federal National Mortgage Assn. 5.000% 5/11/17 94,500 100,649
4,5 Federal National Mortgage Assn. 2.000% 5/16/17 80,000 80,688
4 Federal National Mortgage Assn. 5.375% 6/12/17 17,800 19,124
4,5 Federal National Mortgage Assn. 2.000% 9/26/17 100,000 101,181
4 Federal National Mortgage Assn. 1.000% 9/27/17 35,750 35,897
4,5 Federal National Mortgage Assn. 1.070% 9/27/17 27,000 26,986
4,5 Federal National Mortgage Assn. 2.000% 10/17/17 100,000 101,341
4 Federal National Mortgage Assn. 0.875% 10/26/17 26,400 26,432
4 Federal National Mortgage Assn. 1.000% 11/28/17 20,500 20,554
4 Federal National Mortgage Assn. 0.875% 12/20/17 6,000 6,000
4,5 Federal National Mortgage Assn. 1.050% 4/13/18 50,000 49,946
4,5 Federal National Mortgage Assn. 1.350% 8/13/18 70,000 69,705
4,5 Federal National Mortgage Assn. 1.250% 9/27/18 10,000 10,049
4 Federal National Mortgage Assn. 1.125% 10/19/18 92,800 92,903
4 Federal National Mortgage Assn. 1.125% 12/14/18 230,650 230,357
4 Federal National Mortgage Assn. 1.875% 2/19/19 108,000 110,291
4 Federal National Mortgage Assn. 1.750% 6/20/19 94,000 95,440
4 Federal National Mortgage Assn. 1.750% 9/12/19 30,750 31,157
4 Federal National Mortgage Assn. 0.000% 10/9/19 130,000 120,793
4 Federal National Mortgage Assn. 1.750% 11/26/19 35,500 35,912
4 Federal National Mortgage Assn. 1.625% 1/21/20 37,500 37,714
4 Federal National Mortgage Assn. 1.500% 6/22/20 25,000 24,916
4 Federal National Mortgage Assn. 1.500% 11/30/20 130,500 129,393
  Financing Corp. 0.000% 10/6/17 42,394 41,657
  Financing Corp. 0.000% 11/30/17 1,905 1,868
  Financing Corp. 0.000% 11/30/17 5,845 5,730
  Financing Corp. 0.000% 5/11/18 78,000 75,761
          3,957,884
Conventional Mortgage-Backed Securities (12.1%)        
4,5 Fannie Mae Pool 2.000% 10/1/27–7/1/28 10,413 10,370
4,5 Fannie Mae Pool 2.500% 12/1/27–11/1/30 88,845 90,566
4,5 Fannie Mae Pool 3.000% 12/1/20–7/1/30 92,818 96,731
4,5,6Fannie Mae Pool 3.500% 8/1/20–11/1/45 159,402 167,008
4,5 Fannie Mae Pool 4.000% 6/1/18–12/1/28 27,379 28,934
4,5 Fannie Mae Pool 4.500% 1/1/18–10/1/25 12,628 13,087
4,5 Fannie Mae Pool 5.000% 1/1/16–6/1/25 9,911 10,287
4,5 Fannie Mae Pool 5.500% 3/1/16–1/1/25 5,093 5,297
4,5 Fannie Mae Pool 6.000% 4/1/17–5/1/24 440 457
4,5 Fannie Mae Pool 6.500% 8/1/16–9/1/16 330 335
4,5 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 10,120 10,051
4,5,6Freddie Mac Gold Pool 2.500% 6/1/22–11/1/30 62,554 63,647
4,5,6Freddie Mac Gold Pool 3.000% 11/1/29–11/1/30 60,278 62,734
4,5 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 25,328 26,791
4,5 Freddie Mac Gold Pool 4.000% 6/1/18–1/1/29 18,359 19,259
4,5 Freddie Mac Gold Pool 4.500% 5/1/18–9/1/26 10,741 11,219
4,5 Freddie Mac Gold Pool 5.000% 6/1/17–6/1/25 5,336 5,553
4,5 Freddie Mac Gold Pool 5.500% 1/1/16–9/1/21 121 128

 

 

4,5 Freddie Mac Gold Pool 6.000% 10/1/18 51 52
        622,506
Total U.S. Government and Agency Obligations (Cost $5,180,022)     5,186,113
Temporary Cash Investment (4.6%)        
      Shares  
Money Market Fund (4.6%)        
7 Vanguard Market Liquidity Fund (Cost        
$234,793) 0.207%   234,792,791 234,793
Options on Futures Purchased (0.0%)   Expiration Date Contracts  
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 500 344
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/03/15 1,000 15
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 390 195
Total Options on Futures Purchased (Cost $605)       554
Total Investments (105.4%) (Cost $5,415,420)       5,421,460
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 76 (6)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 127 (6)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 67 (13)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 68 (21)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 127 (95)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 34 (14)
Total Liability for Options Written (Premiums received $161)     (155)
Other Assets and Liabilities-Net (-5.4%)       (278,736)
Net Assets (100%)       5,142,569

 

1      Securities with a value of $301,000 have been segregated as initial margin for open futures contracts.
2      U.S. government-guaranteed.
3      The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4      The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5      The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6      Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2015.
7      Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-

 

Short-Term Federal Fund

adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,186,113 —
Temporary Cash Investments 234,793 — —
Futures Contracts—Assets1 79 — —
Futures Contracts—Liabilities1 (205) — —
Options on Futures Purchased 554 — —
Liability for Options Written (155) — —
Total 235,066 5,186,113 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to

 

Short-Term Federal Fund

changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
2-Year U.S. Treasury Note December 2015 604 132,068 (187)
5-Year U.S. Treasury Note December 2015 (486) (58,210) 414
30-Year U.S. Treasury Bond December 2015 (295) (46,149) 271
Ultra Long Treasury Bond December 2015 43 6,869 19
10-Year U.S. Treasury Note December 2015 5 638 (1)
        516

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

E. At October 31, 2015, the cost of investment securities for tax purposes was $5,414,833,000. Net unrealized appreciation of investment securities for tax purposes was $6,073,000, consisting of unrealized gains of $12,594,000 on securities that had risen in value since their purchase and $6,521,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund

Schedule of Investments
As of October 31, 2015

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (101.2%)        
U.S. Government Securities (99.1%)        
United States Treasury Note/Bond 2.000% 8/15/25 7,300 7,206
United States Treasury Note/Bond 6.000% 2/15/26 27,500 37,249
United States Treasury Note/Bond 6.750% 8/15/26 13,000 18,706
United States Treasury Note/Bond 6.500% 11/15/26 18,000 25,565
United States Treasury Note/Bond 6.625% 2/15/27 12,000 17,269
United States Treasury Note/Bond 6.375% 8/15/27 14,000 19,965
United States Treasury Note/Bond 6.125% 11/15/27 15,000 21,073
United States Treasury Note/Bond 5.500% 8/15/28 21,800 29,396
United States Treasury Note/Bond 5.250% 11/15/28 43,250 57,239
United States Treasury Note/Bond 5.250% 2/15/29 21,400 28,398
United States Treasury Note/Bond 6.125% 8/15/29 18,000 25,878
United States Treasury Note/Bond 6.250% 5/15/30 17,400 25,562
United States Treasury Note/Bond 5.375% 2/15/31 55,000 75,591
United States Treasury Note/Bond 4.500% 2/15/36 52,400 68,161
United States Treasury Note/Bond 4.750% 2/15/37 14,400 19,379
United States Treasury Note/Bond 5.000% 5/15/37 15,700 21,835
United States Treasury Note/Bond 4.375% 2/15/38 22,000 28,167
United States Treasury Note/Bond 4.500% 5/15/38 24,500 31,915
United States Treasury Note/Bond 3.500% 2/15/39 49,300 55,401
United States Treasury Note/Bond 4.250% 5/15/39 60,366 75,703
United States Treasury Note/Bond 4.500% 8/15/39 43,100 56,010
United States Treasury Note/Bond 4.375% 11/15/39 44,500 56,807
United States Treasury Note/Bond 4.625% 2/15/40 61,150 80,861
United States Treasury Note/Bond 4.375% 5/15/40 61,449 78,443
United States Treasury Note/Bond 3.875% 8/15/40 63,300 74,991
United States Treasury Note/Bond 4.250% 11/15/40 58,100 72,843
United States Treasury Note/Bond 4.750% 2/15/41 65,400 88,177
United States Treasury Note/Bond 4.375% 5/15/41 51,500 66,017
United States Treasury Note/Bond 3.750% 8/15/41 56,200 65,561
United States Treasury Note/Bond 3.125% 11/15/41 49,450 51,892
United States Treasury Note/Bond 3.125% 2/15/42 59,000 61,867
United States Treasury Note/Bond 3.000% 5/15/42 47,100 48,115
United States Treasury Note/Bond 2.750% 8/15/42 82,050 79,602
United States Treasury Note/Bond 2.750% 11/15/42 101,800 98,555
United States Treasury Note/Bond 3.125% 2/15/43 102,700 106,936
1 United States Treasury Note/Bond 2.875% 5/15/43 158,897 157,383
United States Treasury Note/Bond 3.625% 8/15/43 106,000 121,320
United States Treasury Note/Bond 3.750% 11/15/43 137,300 160,683
United States Treasury Note/Bond 3.625% 2/15/44 144,700 165,433
United States Treasury Note/Bond 3.375% 5/15/44 127,850 139,396
United States Treasury Note/Bond 3.125% 8/15/44 144,900 150,538
United States Treasury Note/Bond 3.000% 11/15/44 145,900 147,792
United States Treasury Note/Bond 2.500% 2/15/45 146,300 133,475
United States Treasury Note/Bond 3.000% 5/15/45 146,200 148,165
United States Treasury Note/Bond 2.875% 8/15/45 148,800 147,266
        3,247,786
Conventional Mortgage-Backed Securities (2.1%)        
2,3,4Fannie Mae Pool 3.500% 11/1/45 64,500 67,120

 

 

2,3 Fannie Mae Pool 6.000% 2/1/26–11/1/28 25 28
        67,148
Total U.S. Government and Agency Obligations (Cost $3,106,013)     3,314,934
Temporary Cash Investment (0.3%)        
      Shares  
Money Market Fund (0.3%)        
5 Vanguard Market Liquidity Fund (Cost        
$8,932) 0.207%   8,932,000 8,932
Total Investments (101.5%) (Cost $3,114,945)       3,323,866
 
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 48 (4)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 81 (4)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 22 (9)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 43 (8)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 43 (13)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 71 (35)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 81 (61)
Total Liability for Options Written (Premiums received $123)     (134)
Other Assets and Liabilities-Net (-1.5%)       (47,621)
Net Assets (100%)       3,276,111

 

1      Securities with a value of $1,090,000 have been segregated as initial margin for open futures contracts.
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      The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4      Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2015.
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.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

Long-Term Treasury Fund

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,314,934 —
Temporary Cash Investments 8,932 — —
Liability for Option Contracts Written (134) — —
Futures Contracts—Assets1 65 — —
Futures Contracts—Liabilities1 (28) — —
Total 8,835 3,314,934 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a

 

Long-Term Treasury Fund

regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
10-Year U.S. Treasury Note December 2015 204 26,048 (13)
2-Year U.S. Treasury Note December 2015 (84) (18,367) 22
30-Year U.S. Treasury Bond December 2015 (78) (12,202) (11)
Ultra Long U.S. Treasury Bond December 2015 (31) (4,952) (1)
5-Year U.S. Treasury Note December 2015 20 2,395 (1)
        (4)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

E. At October 31, 2015, the cost of investment securities for tax purposes was $3,121,092,000. Net unrealized appreciation of investment securities for tax purposes was $202,774,000, consisting of unrealized gains of $217,875,000 on securities that had risen in value since their purchase and $15,101,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund        
 
 
 
Schedule of Investments        
As of October 31, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (101.2%)        
U.S. Government Securities (98.2%)        
United States Treasury Note/Bond 2.000% 4/30/16 40,000 40,338
United States Treasury Note/Bond 0.500% 9/30/16 57,000 57,027
United States Treasury Note/Bond 1.000% 9/30/16 76,000 76,380
United States Treasury Note/Bond 0.375% 10/31/16 25,000 24,980
United States Treasury Note/Bond 1.000% 10/31/16 47,000 47,250
United States Treasury Note/Bond 3.125% 10/31/16 56,000 57,461
United States Treasury Note/Bond 4.625% 11/15/16 13,000 13,553
United States Treasury Note/Bond 7.500% 11/15/16 20,000 21,438
1 United States Treasury Note/Bond 0.500% 11/30/16 66,000 66,011
United States Treasury Note/Bond 0.875% 11/30/16 65,000 65,264
United States Treasury Note/Bond 2.750% 11/30/16 50,000 51,211
United States Treasury Note/Bond 0.625% 12/15/16 78,000 78,097
United States Treasury Note/Bond 0.625% 12/31/16 115,000 115,162
United States Treasury Note/Bond 0.875% 12/31/16 110,000 110,482
United States Treasury Note/Bond 3.250% 12/31/16 58,000 59,840
United States Treasury Note/Bond 0.750% 1/15/17 73,000 73,205
United States Treasury Note/Bond 0.500% 1/31/17 90,000 89,972
United States Treasury Note/Bond 0.875% 1/31/17 110,000 110,482
United States Treasury Note/Bond 3.125% 1/31/17 65,000 67,082
United States Treasury Note/Bond 0.625% 2/15/17 111,700 111,805
United States Treasury Note/Bond 4.625% 2/15/17 35,000 36,810
United States Treasury Note/Bond 0.500% 2/28/17 70,000 69,934
United States Treasury Note/Bond 0.875% 2/28/17 116,000 116,490
United States Treasury Note/Bond 3.000% 2/28/17 50,000 51,609
United States Treasury Note/Bond 0.750% 3/15/17 100,000 100,234
United States Treasury Note/Bond 0.500% 3/31/17 97,000 96,894
United States Treasury Note/Bond 1.000% 3/31/17 78,000 78,451
United States Treasury Note/Bond 3.250% 3/31/17 9,000 9,335
United States Treasury Note/Bond 0.875% 4/15/17 80,000 80,300
United States Treasury Note/Bond 0.500% 4/30/17 70,000 69,880
United States Treasury Note/Bond 0.875% 4/30/17 55,000 55,215
United States Treasury Note/Bond 0.875% 5/15/17 95,000 95,356
United States Treasury Note/Bond 4.500% 5/15/17 28,000 29,654
United States Treasury Note/Bond 0.625% 5/31/17 159,800 159,750
United States Treasury Note/Bond 2.750% 5/31/17 46,000 47,517
United States Treasury Note/Bond 0.875% 6/15/17 76,000 76,285
United States Treasury Note/Bond 0.625% 6/30/17 30,000 29,986
United States Treasury Note/Bond 0.750% 6/30/17 106,000 106,149
United States Treasury Note/Bond 2.500% 6/30/17 50,000 51,500
United States Treasury Note/Bond 0.875% 7/15/17 89,000 89,292
United States Treasury Note/Bond 2.375% 7/31/17 61,000 62,773
United States Treasury Note/Bond 0.875% 8/15/17 51,000 51,151
United States Treasury Note/Bond 0.625% 8/31/17 218,000 217,660
United States Treasury Note/Bond 1.875% 8/31/17 66,500 67,882
United States Treasury Note/Bond 1.000% 9/15/17 32,000 32,160
United States Treasury Note/Bond 0.625% 9/30/17 29,000 28,941
United States Treasury Note/Bond 1.875% 9/30/17 110,000 112,355
United States Treasury Note/Bond 0.875% 10/15/17 59,000 59,138
United States Treasury Note/Bond 0.750% 10/31/17 77,000 76,976

 

 

United States Treasury Note/Bond 1.875% 10/31/17 134,850 137,801
United States Treasury Note/Bond 0.875% 11/15/17 100,000 100,156
United States Treasury Note/Bond 4.250% 11/15/17 20,000 21,394
United States Treasury Note/Bond 0.625% 11/30/17 96,000 95,640
United States Treasury Note/Bond 2.250% 11/30/17 50,000 51,492
United States Treasury Note/Bond 1.000% 12/15/17 41,000 41,160
United States Treasury Note/Bond 0.750% 12/31/17 39,000 38,939
United States Treasury Note/Bond 2.750% 12/31/17 75,000 78,094
United States Treasury Note/Bond 0.875% 1/15/18 105,000 105,065
United States Treasury Note/Bond 0.875% 1/31/18 100,000 100,062
United States Treasury Note/Bond 2.625% 1/31/18 82,000 85,229
United States Treasury Note/Bond 1.000% 2/15/18 105,000 105,295
United States Treasury Note/Bond 3.500% 2/15/18 52,000 55,088
United States Treasury Note/Bond 0.750% 2/28/18 110,000 109,657
United States Treasury Note/Bond 2.750% 2/28/18 52,000 54,234
United States Treasury Note/Bond 1.000% 3/15/18 57,000 57,142
United States Treasury Note/Bond 0.750% 3/31/18 64,000 63,770
United States Treasury Note/Bond 2.875% 3/31/18 45,000 47,130
United States Treasury Note/Bond 0.750% 4/15/18 88,500 88,141
United States Treasury Note/Bond 0.625% 4/30/18 108,000 107,190
United States Treasury Note/Bond 1.000% 5/15/18 75,000 75,106
United States Treasury Note/Bond 1.000% 5/31/18 91,000 91,086
United States Treasury Note/Bond 1.125% 6/15/18 127,500 128,018
United States Treasury Note/Bond 1.375% 6/30/18 54,817 55,399
United States Treasury Note/Bond 2.375% 6/30/18 32,000 33,180
United States Treasury Note/Bond 0.875% 7/15/18 92,000 91,727
United States Treasury Note/Bond 1.000% 8/15/18 82,500 82,487
United States Treasury Note/Bond 1.000% 9/15/18 94,000 93,927
United States Treasury Note/Bond 0.875% 10/15/18 15,000 14,930
United States Treasury Note/Bond 1.250% 10/31/18 41,000 41,237
United States Treasury Note/Bond 1.750% 10/31/18 9,000 9,186
United States Treasury Note/Bond 1.250% 11/30/18 28,000 28,140
United States Treasury Note/Bond 1.375% 11/30/18 11,000 11,100
United States Treasury Note/Bond 1.375% 12/31/18 13,000 13,104
United States Treasury Note/Bond 1.500% 12/31/18 82,000 82,974
United States Treasury Note/Bond 1.250% 1/31/19 17,000 17,058
United States Treasury Note/Bond 1.500% 1/31/19 83,000 83,947
United States Treasury Note/Bond 2.750% 2/15/19 20,000 21,028
United States Treasury Note/Bond 1.375% 2/28/19 18,000 18,121
United States Treasury Note/Bond 1.500% 2/28/19 28,000 28,297
United States Treasury Note/Bond 1.500% 3/31/19 15,000 15,159
United States Treasury Note/Bond 1.625% 3/31/19 27,500 27,891
United States Treasury Note/Bond 1.250% 4/30/19 15,000 15,016
United States Treasury Note/Bond 1.625% 4/30/19 26,200 26,560
United States Treasury Note/Bond 3.125% 5/15/19 30,000 31,950
United States Treasury Note/Bond 1.125% 5/31/19 14,000 13,941
United States Treasury Note/Bond 1.500% 5/31/19 23,600 23,807
United States Treasury Note/Bond 1.000% 6/30/19 15,000 14,859
United States Treasury Note/Bond 1.625% 6/30/19 37,000 37,462
United States Treasury Note/Bond 0.875% 7/31/19 34,000 33,469
United States Treasury Note/Bond 1.625% 7/31/19 26,000 26,309
United States Treasury Note/Bond 1.000% 8/31/19 27,000 26,679
United States Treasury Note/Bond 1.625% 8/31/19 27,500 27,818
United States Treasury Note/Bond 1.000% 9/30/19 36,000 35,528
United States Treasury Note/Bond 1.750% 9/30/19 40,000 40,631
United States Treasury Note/Bond 1.250% 10/31/19 14,000 13,950
United States Treasury Note/Bond 1.000% 11/30/19 27,000 26,587

 

 

United States Treasury Note/Bond 1.125% 12/31/19 12,000 11,865
United States Treasury Note/Bond 1.625% 12/31/19 30,000 30,267
United States Treasury Note/Bond 1.250% 1/31/20 30,000 29,789
United States Treasury Note/Bond 1.375% 1/31/20 20,000 19,959
United States Treasury Note/Bond 1.125% 3/31/20 13,000 12,819
United States Treasury Note/Bond 1.375% 3/31/20 77,000 76,735
United States Treasury Note/Bond 1.375% 4/30/20 99,000 98,598
United States Treasury Note/Bond 3.500% 5/15/20 30,000 32,630
United States Treasury Note/Bond 1.625% 6/30/20 28,700 28,870
United States Treasury Note/Bond 1.875% 6/30/20 54,000 54,928
United States Treasury Note/Bond 1.625% 7/31/20 25,000 25,140
United States Treasury Note/Bond 2.000% 7/31/20 51,000 52,132
United States Treasury Note/Bond 1.375% 8/31/20 34,000 33,819
United States Treasury Note/Bond 1.375% 9/30/20 20,000 19,866
United States Treasury Note/Bond 1.750% 10/31/20 64,600 65,185
        7,089,666
Agency Notes (1.0%)        
Financing Corp. 0.000% 5/11/18 72,000 69,934
        69,934
Conventional Mortgage-Backed Securities (2.0%)        
2,3,4Fannie Mae Pool 3.500% 11/1/45 141,000 146,727
2,3 Fannie Mae Pool 7.000% 2/1/16–3/1/16 10 10
2,3 Freddie Mac Gold Pool 6.000% 5/1/18–4/1/28 154 175
2,3 Freddie Mac Gold Pool 7.000% 1/1/16 1 1
        146,913
Total U.S. Government and Agency Obligations (Cost $7,291,042)     7,306,513
Temporary Cash Investment (0.1%)        
      Shares  
Money Market Fund (0.1%)        
5 Vanguard Market Liquidity Fund (Cost $7,143) 0.207%   7,143,464 7,143
 
Total Investments (101.3%) (Cost $7,298,185)       7,313,656
    Expiration    
    Date Contracts  
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 107 (8)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 178 (8)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 96 (18)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 95 (30)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 154 (77)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 178 (133)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 48 (20)
Total Liability for Options Written (Premiums received $270)     (294)
Other Assets and Liabilities-Net (-1.3%)       (90,398)
Net Assets (100%)       7,222,964

 

1      Securities with a value of $1,900,000 have been segregated as initial margin for open futures contracts.
 

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      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.
4      Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2015.
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.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)

 

 

Short-Term Treasury Fund      
 
 
U.S. Government and Agency Obligations — 7,306,513 —
Temporary Cash Investments 7,143 — —
Futures Contracts—Assets1 279 — —
Futures Contracts—Liabilities1 (326) — —
Liability for Options Written (294) — —
Total 6,802 7,306,513 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
2-Year U.S. Treasury Note December 2015 417 91,180 (7)
5-Year U.S. Treasury Note December 2015 713 85,398 (168)
10-Year U.S. Treasury Note December 2015 409 52,224 (16)
30-Year U.S. Treasury Bond December 2015 (171) (26,751) (25)
Ultra Long U.S. Treasury Bond December 2015 (47) (7,508) (10)

 

 

Short-Term Treasury Fund

(226)

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

E. At October 31, 2015, the cost of investment securities for tax purposes was $7,298,723,000. Net unrealized appreciation of investment securities for tax purposes was $14,933,000, consisting of unrealized gains of $17,535,000 on securities that had risen in value since their purchase and $2,602,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund

Schedule of Investments
As of October 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (101.5%)        
U.S. Government Securities (99.4%)        
  United States Treasury Note/Bond 1.875% 9/30/17 10,000 10,214
  United States Treasury Note/Bond 1.375% 9/30/18 1,000 1,010
  United States Treasury Note/Bond 1.250% 11/30/18 50,000 50,250
  United States Treasury Note/Bond 1.375% 11/30/18 13,000 13,118
  United States Treasury Note/Bond 1.375% 12/31/18 10,000 10,080
1 United States Treasury Note/Bond 1.500% 12/31/18 38,000 38,451
  United States Treasury Note/Bond 1.250% 1/31/19 41,000 41,141
  United States Treasury Note/Bond 1.500% 1/31/19 52,000 52,593
  United States Treasury Note/Bond 2.750% 2/15/19 50,000 52,571
  United States Treasury Note/Bond 1.375% 2/28/19 45,000 45,302
  United States Treasury Note/Bond 1.500% 2/28/19 91,000 91,966
  United States Treasury Note/Bond 1.500% 3/31/19 20,000 20,212
  United States Treasury Note/Bond 1.625% 3/31/19 59,000 59,839
  United States Treasury Note/Bond 1.625% 4/30/19 75,000 76,031
  United States Treasury Note/Bond 1.125% 5/31/19 78,000 77,671
  United States Treasury Note/Bond 1.500% 5/31/19 54,000 54,473
  United States Treasury Note/Bond 1.625% 6/30/19 75,000 75,938
  United States Treasury Note/Bond 0.875% 7/31/19 58,000 57,094
  United States Treasury Note/Bond 1.625% 7/31/19 55,000 55,653
  United States Treasury Note/Bond 3.625% 8/15/19 18,000 19,538
  United States Treasury Note/Bond 1.000% 8/31/19 72,000 71,145
  United States Treasury Note/Bond 1.625% 8/31/19 7,000 7,081
  United States Treasury Note/Bond 1.000% 9/30/19 127,000 125,334
  United States Treasury Note/Bond 1.750% 9/30/19 105,000 106,657
  United States Treasury Note/Bond 1.250% 10/31/19 17,000 16,939
  United States Treasury Note/Bond 1.500% 10/31/19 68,000 68,361
  United States Treasury Note/Bond 3.375% 11/15/19 56,000 60,410
  United States Treasury Note/Bond 1.000% 11/30/19 40,000 39,388
  United States Treasury Note/Bond 1.500% 11/30/19 87,000 87,408
  United States Treasury Note/Bond 1.125% 12/31/19 58,000 57,348
  United States Treasury Note/Bond 1.625% 12/31/19 53,000 53,472
  United States Treasury Note/Bond 1.250% 1/31/20 60,000 59,578
  United States Treasury Note/Bond 1.375% 1/31/20 43,000 42,913
  United States Treasury Note/Bond 3.625% 2/15/20 56,000 61,093
  United States Treasury Note/Bond 1.250% 2/29/20 81,000 80,342
  United States Treasury Note/Bond 1.375% 2/29/20 49,000 48,901
  United States Treasury Note/Bond 1.125% 3/31/20 51,000 50,291
  United States Treasury Note/Bond 1.375% 3/31/20 62,000 61,787
  United States Treasury Note/Bond 1.125% 4/30/20 53,000 52,238
  United States Treasury Note/Bond 1.375% 4/30/20 52,000 51,789
  United States Treasury Note/Bond 3.500% 5/15/20 5,000 5,438
  United States Treasury Note/Bond 1.375% 5/31/20 42,000 41,790
  United States Treasury Note/Bond 1.500% 5/31/20 62,000 62,117
  United States Treasury Note/Bond 1.625% 6/30/20 60,850 61,211
  United States Treasury Note/Bond 1.875% 6/30/20 37,000 37,636
  United States Treasury Note/Bond 1.625% 7/31/20 52,000 52,292
  United States Treasury Note/Bond 2.000% 7/31/20 13,000 13,289
  United States Treasury Note/Bond 2.625% 8/15/20 70,500 74,047
  United States Treasury Note/Bond 1.375% 8/31/20 74,000 73,607

 

 

  United States Treasury Note/Bond 2.125% 8/31/20 48,000 49,320
  United States Treasury Note/Bond 1.375% 9/30/20 19,000 18,872
  United States Treasury Note/Bond 2.000% 9/30/20 15,500 15,839
  United States Treasury Note/Bond 1.750% 10/31/20 85,800 86,577
  United States Treasury Note/Bond 2.625% 11/15/20 219,000 229,950
  United States Treasury Note/Bond 2.000% 11/30/20 44,500 45,411
  United States Treasury Note/Bond 2.375% 12/31/20 2,500 2,597
  United States Treasury Note/Bond 2.125% 1/31/21 44,000 45,134
  United States Treasury Note/Bond 3.625% 2/15/21 40,000 44,038
  United States Treasury Note/Bond 2.000% 2/28/21 61,300 62,478
  United States Treasury Note/Bond 2.250% 3/31/21 48,000 49,515
  United States Treasury Note/Bond 2.250% 4/30/21 15,500 15,984
  United States Treasury Note/Bond 3.125% 5/15/21 42,000 45,196
  United States Treasury Note/Bond 2.000% 5/31/21 48,000 48,825
  United States Treasury Note/Bond 2.125% 6/30/21 39,000 39,914
  United States Treasury Note/Bond 2.250% 7/31/21 50,000 51,508
  United States Treasury Note/Bond 2.125% 8/15/21 122,500 125,180
  United States Treasury Note/Bond 2.000% 8/31/21 4,000 4,059
  United States Treasury Note/Bond 2.125% 9/30/21 39,500 40,327
  United States Treasury Note/Bond 2.000% 10/31/21 54,000 54,709
  United States Treasury Note/Bond 2.000% 11/15/21 97,000 98,273
  United States Treasury Note/Bond 1.875% 11/30/21 55,000 55,284
  United States Treasury Note/Bond 2.125% 12/31/21 67,500 68,787
  United States Treasury Note/Bond 1.500% 1/31/22 65,000 63,781
  United States Treasury Note/Bond 2.000% 2/15/22 50,000 50,594
  United States Treasury Note/Bond 1.750% 2/28/22 70,050 69,721
  United States Treasury Note/Bond 1.750% 3/31/22 59,000 58,668
  United States Treasury Note/Bond 1.750% 4/30/22 90,000 89,438
  United States Treasury Note/Bond 1.750% 5/15/22 59,000 58,613
  United States Treasury Note/Bond 1.875% 5/31/22 63,000 63,069
  United States Treasury Note/Bond 2.125% 6/30/22 53,000 53,886
  United States Treasury Note/Bond 2.000% 7/31/22 53,000 53,430
  United States Treasury Note/Bond 1.625% 8/15/22 41,000 40,346
  United States Treasury Note/Bond 1.875% 8/31/22 57,500 57,482
  United States Treasury Note/Bond 1.750% 9/30/22 44,000 43,608
  United States Treasury Note/Bond 1.875% 10/31/22 39,000 38,970
  United States Treasury Note/Bond 1.625% 11/15/22 62,000 60,886
  United States Treasury Note/Bond 2.000% 2/15/23 92,000 92,517
  United States Treasury Note/Bond 1.750% 5/15/23 102,100 100,505
  United States Treasury Note/Bond 2.500% 8/15/23 82,400 85,516
  United States Treasury Note/Bond 2.750% 11/15/23 70,500 74,444
  United States Treasury Note/Bond 2.750% 2/15/24 91,000 95,977
  United States Treasury Note/Bond 2.500% 5/15/24 117,000 120,949
  United States Treasury Note/Bond 2.375% 8/15/24 130,500 133,436
  United States Treasury Note/Bond 2.250% 11/15/24 121,500 122,829
  United States Treasury Note/Bond 7.500% 11/15/24 5,000 7,241
  United States Treasury Note/Bond 2.000% 2/15/25 132,500 131,009
  United States Treasury Note/Bond 2.125% 5/15/25 138,100 137,840
  United States Treasury Note/Bond 2.000% 8/15/25 108,500 107,110
          5,836,689
Conventional Mortgage-Backed Securities (2.1%)        
2,3,4Fannie Mae Pool 3.500% 11/1/45 116,500 121,232
2,3 Freddie Mac Gold Pool 7.000% 12/1/15–3/1/16 2 2
          121,234
Total U.S. Government and Agency Obligations (Cost $5,884,337)     5,957,923

 

 

Temporary Cash Investment (0.7%)        
      Shares  
Money Market Fund (0.7%)        
5 Vanguard Market Liquidity Fund (Cost        
$40,102) 0.207%   40,101,538 40,102
Total Investments (102.2%) (Cost $5,924,439)       5,998,025
    Expiration    
    Date Contracts  
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 88 (7)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 147 (7)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 40 (16)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 80 (15)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 78 (25)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 128 (64)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 147 (110)
Total Liability for Options Written (Premiums received $224)     (244)
Other Assets and Liabilities-Net (-2.2%)       (129,663)
Net Assets (100%)       5,868,118

 

1      Securities with a value of $1,315,000 have been segregated as initial margin for open futures contracts.
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      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.
4      Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2015.
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.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-

 

Intermediate-Term Treasury Fund

delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,957,923 —
Temporary Cash Investments 40,102 — —
Futures Contracts—Assets1 230 — —
Futures Contracts—Liabilities1 (255) — —
Liability for Options Written (244) — —
Total 39,833 5,957,923 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and

 

Intermediate-Term Treasury Fund

requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
10-Year U.S. Treasury Note December 2015 348 44,435 (15)
2-Year U.S. Treasury Note December 2015 (151) (33,017) 40
30-Year U.S. Treasury Bond December 2015 (142) (22,214) (20)
Ultra Long U.S. Treasury Bond December 2015 (40) (6,390) (9)
5-Year U.S. Treasury Note December 2015 43 5,150 (2)
        (6)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

E. At October 31, 2015, the cost of investment securities for tax purposes was $5,934,983,000. Net unrealized appreciation of investment securities for tax purposes was $63,042,000, consisting of unrealized gains of $69,549,000 on securities that had risen in value since their purchase and $6,507,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund        
 
 
 
Schedule of Investments        
As of October 31, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (3.9%)        
U.S. Government Securities (2.0%)        
  United States Treasury Note/Bond 1.000% 8/31/16 177,750 178,584
  United States Treasury Note/Bond 0.875% 11/30/16 169,570 170,258
  United States Treasury Bill 0.026% 12/31/15 179,005 178,991
 
  United States Treasury Note/Bond 0.375% 5/31/16 170,920 170,973
Total U.S. Government and Agency Obligations (Cost $698,860)     698806
Asset-Backed/Commercial Mortgage-Backed Security (0.3%)      
  Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. (Cost $55,524) 5.500% 4/1/23 55,636 57,583
 
Corporate Bonds (93.0%)        
Finance (13.3%)        
  Banking (2.9%)        
1,2 Credit Suisse Group AG 6.250% 12/29/49 116,200 115,329
2 HSBC Holdings plc 5.625% 12/29/49 35,775 35,811
2 HSBC Holdings plc 6.375% 12/29/49 71,525 70,810
  Royal Bank of Scotland Group plc 6.125% 12/15/22 113,600 124,756
  Royal Bank of Scotland Group plc 6.000% 12/19/23 21,835 23,693
  Royal Bank of Scotland Group plc 5.125% 5/28/24 15,710 16,114
2 Royal Bank of Scotland Group plc 8.000% 12/29/49 15,340 16,030
1,2 Societe Generale SA 6.000% 10/27/49 61,835 58,743
  UBS AG 7.625% 8/17/22 55,150 63,815
 
  Finance Companies (8.1%)        
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 3.750% 5/15/19 47,800 48,398
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.500% 5/15/21 57,835 58,847
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 5.000% 10/1/21 22,830 23,886
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.625% 7/1/22 18,925 19,374
  Aircastle Ltd. 6.250% 12/1/19 11,530 12,654
  Aircastle Ltd. 5.125% 3/15/21 1,020 1,072
  Aircastle Ltd. 5.500% 2/15/22 25,900 27,325
  CIT Group Inc. 5.250% 3/15/18 102,005 107,105
1 CIT Group Inc. 6.625% 4/1/18 120,655 130,006
1 CIT Group Inc. 5.500% 2/15/19 63,830 67,819
  CIT Group Inc. 3.875% 2/19/19 33,380 33,797
  CIT Group Inc. 5.375% 5/15/20 98,370 105,994
  CIT Group Inc. 5.000% 8/15/22 96,680 101,756
  Homer City Generation LP 8.734% 10/1/26 118,179 116,998
  International Lease Finance Corp. 8.750% 3/15/17 20,970 22,752
  International Lease Finance Corp. 3.875% 4/15/18 38,110 38,682
  International Lease Finance Corp. 5.875% 4/1/19 46,220 49,571
  International Lease Finance Corp. 6.250% 5/15/19 70,781 76,974
  International Lease Finance Corp. 8.250% 12/15/20 51,121 61,345
  International Lease Finance Corp. 4.625% 4/15/21 29,400 30,356

 

 

  International Lease Finance Corp. 8.625% 1/15/22 29,100 36,011
  International Lease Finance Corp. 5.875% 8/15/22 2,605 2,852
  iStar Financial Inc. 4.875% 7/1/18 8,955 8,809
  iStar Financial Inc. 5.000% 7/1/19 39,385 38,548
  Navient Corp. 8.450% 6/15/18 44,100 47,297
  Navient Corp. 5.500% 1/15/19 79,080 78,289
  Navient Corp. 8.000% 3/25/20 58,325 61,825
  Navient Corp. 7.250% 1/25/22 19,145 18,906
  Navient Corp. 5.500% 1/25/23 25,175 22,658
 
  Insurance (1.3%)        
1 Liberty Mutual Group Inc. 7.800% 3/15/37 58,440 68,667
  Unum Group 7.375% 6/15/32 6,295 7,491
2 Voya Financial Inc. 5.650% 5/15/53 87,753 88,411
  WellCare Health Plans Inc. 5.750% 11/15/20 59,950 62,948
 
  Other Finance (0.7%)        
1 Argos Merger Sub Inc. 7.125% 3/15/23 87,535 92,350
  CNO Financial Group Inc. 4.500% 5/30/20 4,865 5,096
  CNO Financial Group Inc. 5.250% 5/30/25 21,475 22,817
 
  Real Estate Investment Trusts (0.3%)        
  Felcor Lodging LP 5.625% 3/1/23 42,805 44,196
  Felcor Lodging LP 6.000% 6/1/25 11,640 12,018
          2,379,001
Industrial (75.9%)        
  Basic Industry (5.4%)        
  AK Steel Corp. 7.625% 10/1/21 77,440 37,171
  ArcelorMittal 5.125% 6/1/20 9,600 9,144
  ArcelorMittal 6.000% 8/5/20 34,015 32,484
  ArcelorMittal 6.250% 3/1/21 7,280 6,934
  ArcelorMittal 7.000% 2/25/22 18,740 17,756
  ArcelorMittal 6.125% 6/1/25 21,830 18,828
3,4 Arch Coal Inc. Bank Loan 6.250% 5/16/18 108,690 56,247
  Axiall Corp. 4.875% 5/15/23 7,245 6,919
1 Cascades Inc. 5.500% 7/15/22 9,990 9,690
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.500% 12/15/19 6,820 4,092
1,5 Constellium NV 4.625% 5/15/21 3,745 3,316
1 Constellium NV 8.000% 1/15/23 51,375 42,256
1 Constellium NV 5.750% 5/15/24 15,447 11,276
  Eagle Spinco Inc. 4.625% 2/15/21 23,555 22,848
1 FMG Resources August 2006 Pty Ltd. 9.750% 3/1/22 6,275 6,259
1 FMG Resources August 2006 Pty Ltd. 6.875% 4/1/22 161,760 116,467
  Hexion US Finance Corp. 6.625% 4/15/20 105,655 90,071
1,5 INEOS Group Holdings SA 5.750% 2/15/19 25,775 28,412
1 INEOS Group Holdings SA 5.875% 2/15/19 41,500 41,500
  Novelis Inc. 8.375% 12/15/17 40,790 41,402
  Novelis Inc. 8.750% 12/15/20 77,187 77,766
  Peabody Energy Corp. 6.000% 11/15/18 12,770 2,235
  Peabody Energy Corp. 6.500% 9/15/20 3,880 563
  Peabody Energy Corp. 6.250% 11/15/21 8,060 1,149
1 Peabody Energy Corp. 10.000% 3/15/22 48,400 13,068
  Peabody Energy Corp. 7.875% 11/1/26 48,672 6,814
  Steel Dynamics Inc. 5.125% 10/1/21 41,770 41,457
  Steel Dynamics Inc. 5.500% 10/1/24 37,825 36,974
  United States Steel Corp. 7.375% 4/1/20 37,839 28,568

 

 

  United States Steel Corp. 6.875% 4/1/21 33,676 24,331
  United States Steel Corp. 6.650% 6/1/37 13,760 9,288
1,5 VWR Funding Inc. 4.625% 4/15/22 116,316 123,743
 
  Capital Goods (7.0%)        
1 Ardagh Packaging Finance plc 9.125% 10/15/20 24,775 25,952
1 Ashtead Capital Inc. 6.500% 7/15/22 28,180 30,117
  Berry Plastics Corp. 5.500% 5/15/22 1,940 1,989
  Berry Plastics Corp. 5.125% 7/15/23 1,940 1,923
1 Berry Plastics Escrow LLC/Berry Plastics        
  Escrow Corp. 6.000% 10/15/22 22,195 23,249
1 BlueLine Rental Finance Corp. 7.000% 2/1/19 29,767 29,916
1 Building Materials Corp. of America 5.375% 11/15/24 36,177 37,262
1 Building Materials Corp. of America 6.000% 10/15/25 139,715 148,796
  Case New Holland Inc. 7.875% 12/1/17 91,500 98,934
1 Cemex Finance LLC 6.000% 4/1/24 17,210 16,457
1 Cemex SAB de CV 6.125% 5/5/25 108,600 103,170
  Clean Harbors Inc. 5.250% 8/1/20 62,913 65,115
  Clean Harbors Inc. 5.125% 6/1/21 40,024 40,925
  CNH Industrial Capital LLC 6.250% 11/1/16 38,000 39,235
  CNH Industrial Capital LLC 3.625% 4/15/18 34,260 34,431
1 CNH Industrial Capital LLC 3.875% 7/16/18 22,025 22,135
  CNH Industrial Capital LLC 3.375% 7/15/19 8,988 8,842
  Crown Americas LLC / Crown Americas        
  Capital Corp. III 6.250% 2/1/21 38,900 40,310
1 HD Supply Inc. 5.250% 12/15/21 38,735 40,623
  Huntington Ingalls Industries Inc. 7.125% 3/15/21 43,475 45,649
  Masco Corp. 7.125% 3/15/20 52,416 60,934
  Masco Corp. 7.750% 8/1/29 16,486 18,547
  Masco Corp. 6.500% 8/15/32 5,880 6,012
  Owens Corning 9.000% 6/15/19 4,142 4,891
  Owens Corning 7.000% 12/1/36 5,380 6,172
1 Owens-Brockway Glass Container Inc. 5.875% 8/15/23 29,295 31,053
1 Owens-Brockway Glass Container Inc. 6.375% 8/15/25 11,675 12,346
1 Rexel SA 5.250% 6/15/20 5,130 5,374
  Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 5.750% 10/15/20 31,580 32,804
  Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 6.875% 2/15/21 38,716 40,410
  Terex Corp. 6.000% 5/15/21 5,820 5,747
  United Rentals North America Inc. 7.375% 5/15/20 63,402 67,206
  United Rentals North America Inc. 7.625% 4/15/22 40,245 43,716
  United Rentals North America Inc. 6.125% 6/15/23 11,580 12,014
  United Rentals North America Inc. 4.625% 7/15/23 18,766 18,836
  United Rentals North America Inc. 5.500% 7/15/25 15,370 15,332
1 USG Corp. 5.500% 3/1/25 8,590 8,816
  Vulcan Materials Co. 7.150% 11/30/37 7,270 7,997
 
  Communication (24.0%)        
1 Altice Financing SA 6.625% 2/15/23 37,121 37,214
  Belo Corp. 7.250% 9/15/27 9,640 9,953
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 7.000% 1/15/19 13,281 13,613
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 5.250% 3/15/21 8,380 8,631
  CCO Holdings LLC / CCO Holdings Capital        
  Corp. 6.500% 4/30/21 18,025 18,881

 

 

CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 12,635 12,793
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 2/15/23 13,406 13,406
1 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 5/1/23 97,010 97,010
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 9/1/23 33,450 34,286
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 1/15/24 4,855 4,976
1 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.375% 5/1/25 79,205 78,413
1 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.875% 5/1/27 24,255 24,255
1 CCO Safari II LLC 4.908% 7/23/25 61,950 63,060
1 CCO Safari II LLC 6.484% 10/23/45 44,215 45,781
1 Cequel Communications Holdings I LLC /        
Cequel Capital Corp. 5.125% 12/15/21 59,340 56,966
CSC Holdings LLC 7.875% 2/15/18 9,220 9,750
CSC Holdings LLC 7.625% 7/15/18 37,210 39,396
CSC Holdings LLC 8.625% 2/15/19 10,520 11,309
CSC Holdings LLC 6.750% 11/15/21 16,034 15,553
DISH DBS Corp. 7.875% 9/1/19 11,685 12,795
DISH DBS Corp. 6.750% 6/1/21 153,840 158,840
DISH DBS Corp. 5.875% 7/15/22 94,575 92,211
DISH DBS Corp. 5.000% 3/15/23 15,135 14,000
DISH DBS Corp. 5.875% 11/15/24 8,045 7,683
Embarq Corp. 7.995% 6/1/36 23,035 24,265
1 Frontier Communications Corp. 11.000% 9/15/25 66,715 69,801
Gannett Co. Inc. 5.125% 10/15/19 16,530 17,191
Gannett Co. Inc. 5.125% 7/15/20 64,680 67,591
1 Gannett Co. Inc. 4.875% 9/15/21 4,425 4,381
Gannett Co. Inc. 6.375% 10/15/23 66,721 72,059
1 Gannett Co. Inc. 5.500% 9/15/24 2,315 2,344
Hughes Satellite Systems Corp. 6.500% 6/15/19 81,968 90,062
IAC/InterActiveCorp 4.875% 11/30/18 18,810 19,233
1 Inmarsat Finance plc 4.875% 5/15/22 34,230 33,973
Intelsat Jackson Holdings SA 7.250% 4/1/19 85,330 80,210
Intelsat Jackson Holdings SA 7.250% 10/15/20 164,947 150,514
Intelsat Jackson Holdings SA 7.500% 4/1/21 53,900 48,779
Intelsat Jackson Holdings SA 5.500% 8/1/23 61,350 51,074
Lamar Media Corp. 5.875% 2/1/22 17,195 18,141
Lamar Media Corp. 5.000% 5/1/23 33,940 34,958
Level 3 Escrow II Inc. 5.375% 8/15/22 75,480 77,084
Level 3 Financing Inc. 6.125% 1/15/21 4,395 4,631
Level 3 Financing Inc. 5.625% 2/1/23 26,620 27,419
1 Level 3 Financing Inc. 5.125% 5/1/23 36,380 36,744
1 Level 3 Financing Inc. 5.375% 1/15/24 11,845 11,963
1 Level 3 Financing Inc. 5.375% 5/1/25 36,380 36,471
Liberty Interactive LLC 8.500% 7/15/29 42,553 44,681
Liberty Interactive LLC 8.250% 2/1/30 126,903 131,027
MetroPCS Wireless Inc. 6.625% 11/15/20 70,940 73,068
National CineMedia LLC 6.000% 4/15/22 32,455 33,753
1 NBCUniversal Enterprise Inc. 5.250% 3/29/49 62,790 66,718
1 Netflix Inc. 5.875% 2/15/25 54,935 58,094
1 Nielsen Finance LLC / Nielsen Finance Co. 5.000% 4/15/22 128,155 129,757
1 Numericable Group SA 4.875% 5/15/19 35,785 35,964
1 Numericable Group SA 6.000% 5/15/22 37,955 37,955

 

 

  Quebecor Media Inc. 5.750% 1/15/23 79,855 81,460
  Qwest Corp. 6.875% 9/15/33 25,162 24,942
  SBA Communications Corp. 5.625% 10/1/19 37,650 39,391
  SBA Communications Corp. 4.875% 7/15/22 50,220 51,538
  SBA Telecommunications Inc. 5.750% 7/15/20 33,911 35,522
1 Sirius XM Radio Inc. 4.250% 5/15/20 8,595 8,767
1 Sirius XM Radio Inc. 4.625% 5/15/23 11,110 10,999
1 Sirius XM Radio Inc. 6.000% 7/15/24 19,550 20,625
1 Sirius XM Radio Inc. 5.375% 4/15/25 5,683 5,811
1 Softbank Corp. 4.500% 4/15/20 159,095 157,902
  Sprint Corp. 7.250% 9/15/21 95,745 87,846
  Sprint Corp. 7.875% 9/15/23 69,035 64,030
  Sprint Corp. 7.125% 6/15/24 24,340 21,358
  Sprint Corp. 7.625% 2/15/25 37,115 32,754
1 Sprint Nextel Corp. 9.000% 11/15/18 92,545 101,799
1 Sprint Nextel Corp. 7.000% 3/1/20 135,830 143,131
  T-Mobile USA Inc. 5.250% 9/1/18 11,450 11,708
  T-Mobile USA Inc. 6.633% 4/28/21 71,475 73,887
  T-Mobile USA Inc. 6.125% 1/15/22 10,000 10,150
  T-Mobile USA Inc. 6.731% 4/28/22 51,165 52,316
  T-Mobile USA Inc. 6.836% 4/28/23 4,943 5,097
  T-Mobile USA Inc. 6.500% 1/15/24 4,345 4,356
  Time Warner Cable Inc. 5.500% 9/1/41 50,000 46,048
3,4 Tribune Company Bank Loan 3.750% 12/27/20 58,060 57,915
3,4 Tribune Company Bank Loan 3.750% 12/31/15 146 146
1 Tribune Media Co. 5.875% 7/15/22 65,750 67,558
1 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 31,060 31,837
1 Univision Communications Inc. 5.125% 5/15/23 17,900 17,766
1 Univision Communications Inc. 5.125% 2/15/25 126,080 123,874
1 UPCB Finance V Ltd. 7.250% 11/15/21 36,896 39,294
1 UPCB Finance VI Ltd. 6.875% 1/15/22 28,832 30,364
  Videotron Ltd. 5.000% 7/15/22 85,064 88,254
1 Videotron Ltd. 5.375% 6/15/24 8,633 8,870
1 Virgin Media Secured Finance plc 5.375% 4/15/21 42,489 44,295
1 Wind Acquisition Finance SA 4.750% 7/15/20 68,850 70,055
1 Zayo Group LLC / Zayo Capital Inc. 6.000% 4/1/23 104,300 106,386
1 Zayo Group LLC / Zayo Capital Inc. 6.375% 5/15/25 46,170 46,805
 
  Consumer Cyclical (6.5%)        
1 Activision Blizzard Inc. 5.625% 9/15/21 48,038 50,800
1 Activision Blizzard Inc. 6.125% 9/15/23 48,570 52,820
  ADT Corp. 5.250% 3/15/20 10,000 10,600
  ADT Corp. 6.250% 10/15/21 68,835 73,998
  ADT Corp. 4.125% 6/15/23 2,910 2,801
1 Carlson Travel Holdings Inc. 7.500% 8/15/19 25,375 25,565
1 Carlson Wagonlit BV 6.875% 6/15/19 76,610 80,249
1 Cedar Fair LP / Canada's Wonderland Co. /        
  MagnumManagement Corp. 5.375% 6/1/24 25,675 26,317
  Chrysler Group LLC / CG Co-Issuer Inc. 8.250% 6/15/21 64,265 68,683
  Dana Holding Corp. 5.375% 9/15/21 16,781 17,159
  Dana Holding Corp. 5.500% 12/15/24 4,575 4,564
3,4 Delta Alpha Topco Bank Loan 7.750% 7/29/22 51,730 48,971
1 Family Tree Escrow LLC 5.750% 3/1/23 9,135 9,592
  Group 1 Automotive Inc. 5.000% 6/1/22 19,380 19,574
3,4 Ion Media Networks Bank Loan 4.750% 12/18/20 45,048 44,710
  KB Home 4.750% 5/15/19 25,825 25,502
  KB Home 8.000% 3/15/20 3,920 4,243

 

 

  KB Home 7.000% 12/15/21 5,000 5,075
  KB Home 7.500% 9/15/22 6,935 7,074
  KB Home 7.625% 5/15/23 41,775 42,297
  L Brands Inc. 7.000% 5/1/20 20,260 23,248
  L Brands Inc. 6.625% 4/1/21 42,435 48,164
3,4 La Quinta Intermediate Holdings LLC Bank        
  Loan 3.750% 4/14/21 55,776 55,219
  Lennar Corp. 4.875% 12/15/23 19,825 19,751
  Neiman Marcus Group Inc. 7.125% 6/1/28 64,195 64,436
1 Netflix Inc. 5.500% 2/15/22 28,635 30,067
  Penske Automotive Group Inc. 5.750% 10/1/22 8,075 8,317
  Penske Automotive Group Inc. 5.375% 12/1/24 11,925 12,074
  Sally Holdings LLC / Sally Capital Inc. 5.750% 6/1/22 22,170 23,445
  Service Corp. International 7.625% 10/1/18 15,633 17,626
  Service Corp. International 5.375% 1/15/22 27,630 29,219
1 Shea Homes LP / Shea Homes Funding Corp. 5.875% 4/1/23 14,550 15,259
1 Shea Homes LP / Shea Homes Funding Corp. 6.125% 4/1/25 14,550 15,277
  Sonic Automotive Inc. 7.000% 7/15/22 970 1,033
  Sonic Automotive Inc. 5.000% 5/15/23 8,780 8,538
  Toll Brothers Finance Corp. 4.875% 11/15/25 9,595 9,595
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.375% 3/15/22 87,955 87,295
1 ZF North America Capital Inc. 4.500% 4/29/22 15,355 15,393
1 ZF North America Capital Inc. 4.750% 4/29/25 61,220 60,149
 
  Consumer Noncyclical (11.8%)        
1 Alere Inc. 6.375% 7/1/23 32,490 33,912
  Amsurg Corp. 5.625% 7/15/22 81,010 79,592
  ARAMARK Corp. 5.750% 3/15/20 47,640 49,843
1 Capsugel SA 7.000% 5/15/19 46,650 47,000
  CHS/Community Health Systems Inc. 7.125% 7/15/20 33,665 34,507
  CHS/Community Health Systems Inc. 5.125% 8/1/21 15,235 15,768
  CHS/Community Health Systems Inc. 6.875% 2/1/22 149,325 150,445
1 Endo Finance LLC / Endo Finco Inc. 6.000% 2/1/25 60,855 60,703
1 Endo Finance LLC / Endo Ltd. / Endo Finco        
  Inc. 6.000% 7/15/23 79,343 79,541
1 Envision Healthcare Corp. 5.125% 7/1/22 86,215 83,844
  ExamWorks Group Inc. 5.625% 4/15/23 14,550 14,987
1 Fresenius Medical Care US Finance Inc. 5.750% 2/15/21 44,830 49,089
  Grifols Worldwide Operations Ltd. 5.250% 4/1/22 34,184 35,381
  HCA Holdings Inc. 6.250% 2/15/21 27,980 30,568
  HCA Inc. 6.500% 2/15/20 127,050 142,296
  HCA Inc. 5.875% 3/15/22 60,405 66,295
  HCA Inc. 4.750% 5/1/23 72,500 74,675
  HCA Inc. 5.875% 5/1/23 10,000 10,625
  HCA Inc. 5.375% 2/1/25 19,375 19,981
  HCA Inc. 5.250% 4/15/25 45,000 46,631
  HCA Inc. 7.690% 6/15/25 4,510 5,017
1 Hologic Inc. 5.250% 7/15/22 25,645 26,799
1 Hypermarcas SA 6.500% 4/20/21 66,837 67,171
1 IMS Health Inc. 6.000% 11/1/20 93,781 97,063
  Kinetic Concepts Inc / KCI USA Inc 10.500% 11/1/18 70,000 74,025
3,4 Lands' End, Inc. Bank Loan 4.250% 3/12/21 86,525 79,386
  LifePoint Hospitals Inc. 5.500% 12/1/21 42,661 43,088
3,4 MPH Acquisition Holdings LLC Bank Loan 3.750% 3/31/21 31,683 31,227
1 MPH Acquisition Holdings LLC 6.625% 4/1/22 42,100 43,153
1 Quintiles Transnational Holdings Inc. 4.875% 5/15/23 24,350 24,837
1 Sterigenics-Nordion Holdings LLC 6.500% 5/15/23 48,500 48,985

 

 

1 Tempur Sealy International Inc. 5.625% 10/15/23 26,230 27,410
Tenet Healthcare Corp. 6.250% 11/1/18 40,210 42,924
Tenet Healthcare Corp. 5.000% 3/1/19 43,950 42,961
Tenet Healthcare Corp. 5.500% 3/1/19 24,215 23,791
Tenet Healthcare Corp. 4.750% 6/1/20 16,875 17,128
Tenet Healthcare Corp. 4.500% 4/1/21 42,147 42,252
Tenet Healthcare Corp. 4.375% 10/1/21 106,480 106,480
Tenet Healthcare Corp. 8.125% 4/1/22 45,105 47,811
THC Escrow Corp. II 6.750% 6/15/23 11,570 11,556
1 VRX Escrow Corp. 6.125% 4/15/25 101,900 85,341
 
Energy (9.2%)        
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 6.750% 5/20/20 25,965 26,874
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 7.000% 5/20/22 47,695 50,199
Antero Resources Corp. 5.375% 11/1/21 22,785 20,962
Antero Resources Corp. 5.125% 12/1/22 53,185 47,866
1 Antero Resources Corp. 5.625% 6/1/23 14,830 13,644
Concho Resources Inc. 7.000% 1/15/21 15,256 15,790
Concho Resources Inc. 6.500% 1/15/22 19,940 20,663
Concho Resources Inc. 5.500% 10/1/22 85,170 85,596
Concho Resources Inc. 5.500% 4/1/23 6,790 6,832
1 Crestwood Midstream Partners LP /        
Crestwood Midstream Finance Corp. 6.250% 4/1/23 37,610 32,156
1 DCP Midstream LLC 9.750% 3/15/19 15,000 16,286
1 DCP Midstream LLC 5.350% 3/15/20 11,125 10,405
DCP Midstream Operating LP 4.950% 4/1/22 36,074 33,045
DCP Midstream Operating LP 5.600% 4/1/44 26,895 20,891
Energy Transfer Equity LP 7.500% 10/15/20 76,385 81,923
Energy Transfer Equity LP 5.500% 6/1/27 78,795 70,127
EP Energy LLC / Everest Acquisition Finance        
Inc. 9.375% 5/1/20 75,787 65,935
EP Energy LLC / Everest Acquisition Finance        
Inc. 6.375% 6/15/23 13,457 10,093
Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 73,031 67,736
Harvest Operations Corp. 6.875% 10/1/17 75,600 63,504
Kinder Morgan Inc. 7.750% 1/15/32 26,290 26,583
Laredo Petroleum Inc. 5.625% 1/15/22 49,750 46,765
Laredo Petroleum Inc. 7.375% 5/1/22 16,490 16,243
Laredo Petroleum Inc. 6.250% 3/15/23 55,075 53,147
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 4.875% 12/1/24 43,935 41,299
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 4.875% 6/1/25 87,120 81,893
Matador Resources Co. 6.875% 4/15/23 22,670 22,727
1 MEG Energy Corp. 6.500% 3/15/21 16,537 14,677
1 MEG Energy Corp. 6.375% 1/30/23 30,650 25,976
1 MEG Energy Corp. 7.000% 3/31/24 47,348 41,074
Newfield Exploration Co. 5.750% 1/30/22 10,890 11,053
Newfield Exploration Co. 5.625% 7/1/24 13,045 12,980
Noble Energy Inc. 5.625% 5/1/21 9,665 9,773
Noble Energy Inc. 5.875% 6/1/22 51,885 52,302
Noble Energy Inc. 5.875% 6/1/24 10,195 10,201
1 Paragon Offshore plc 6.750% 7/15/22 31,630 4,823
1 Paragon Offshore plc 7.250% 8/15/24 22,570 3,442
QEP Resources Inc. 6.800% 3/1/20 7,370 7,223
QEP Resources Inc. 6.875% 3/1/21 15,540 15,074

 

 

  QEP Resources Inc. 5.375% 10/1/22 7,620 6,877
  QEP Resources Inc. 5.250% 5/1/23 4,855 4,309
  Range Resources Corp. 5.750% 6/1/21 44,365 41,592
  Range Resources Corp. 5.000% 8/15/22 16,325 14,570
1 Rice Energy Inc. 7.250% 5/1/23 21,365 19,976
1 Seadrill Ltd. 6.125% 9/15/17 71,195 53,040
  SM Energy Co. 6.125% 11/15/22 22,705 21,910
  SM Energy Co. 6.500% 1/1/23 2,280 2,234
  SM Energy Co. 5.625% 6/1/25 13,555 12,335
1 Southern Star Central Corp. 5.125% 7/15/22 14,790 14,346
  Tesoro Corp. 5.125% 4/1/24 31,790 32,267
1 Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.500% 10/15/19 5,220 5,403
1 Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.250% 10/15/22 35,901 37,337
  Whiting Petroleum Corp. 5.750% 3/15/21 32,020 29,939
  Whiting Petroleum Corp. 6.250% 4/1/23 6,790 6,332
  WPX Energy Inc. 6.000% 1/15/22 29,315 25,651
  WPX Energy Inc. 5.250% 9/15/24 61,930 51,557
 
  Technology (10.8%)        
1 Alcatel-Lucent USA Inc. 4.625% 7/1/17 10,000 10,350
1 Alcatel-Lucent USA Inc. 6.750% 11/15/20 25,210 26,723
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 77,191 81,533
1 Audatex North America Inc. 6.000% 6/15/21 78,106 78,692
1 Audatex North America Inc. 6.125% 11/1/23 97,715 98,326
  CDW LLC / CDW Finance Corp. 6.000% 8/15/22 118,945 127,866
  CDW LLC / CDW Finance Corp. 5.000% 9/1/23 23,480 24,419
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 15,155 15,951
  Equinix Inc. 4.875% 4/1/20 9,545 9,974
  Equinix Inc. 5.375% 4/1/23 20,864 21,699
1 First Data Corp. 6.750% 11/1/20 35,065 36,950
1 First Data Corp. 8.250% 1/15/21 113,800 119,348
  First Data Corp. 11.250% 1/15/21 9,927 10,969
  First Data Corp. 12.625% 1/15/21 49,375 56,596
  First Data Corp. 11.750% 8/15/21 25,435 29,028
1 First Data Corp. 5.375% 8/15/23 73,250 74,532
1 First Data Corp. 7.000% 12/1/23 157,285 159,644
3,4 First Data Corp. Bank Loan 3.697% 3/23/18 54,018 53,646
3,4 First Data Corp. Bank Loan 3.947% 7/8/22 41,745 41,458
  Flextronics International Ltd. 4.625% 2/15/20 22,975 23,951
  Flextronics International Ltd. 5.000% 2/15/23 29,175 29,758
1 Freescale Semiconductor Inc. 5.000% 5/15/21 36,815 38,103
1 Freescale Semiconductor Inc. 6.000% 1/15/22 22,130 23,679
3,4 Freescale Semiconductor Inc. Bank Loan 4.250% 3/1/20 56,293 56,236
1 Infor Software Parent LLC 7.125% 5/1/21 17,470 15,068
1 Infor US Inc. 5.750% 8/15/20 22,898 23,241
1 Infor US Inc. 6.500% 5/15/22 116,715 110,296
1,6 Iron Mountain Europe plc 6.125% 9/15/22 24,430 37,725
  Iron Mountain Inc. 5.750% 8/15/24 22,675 22,845
1 MSCI Inc. 5.750% 8/15/25 37,970 40,058
  NCR Corp. 4.625% 2/15/21 72,024 70,944
  Nokia Oyj 6.625% 5/15/39 50,000 52,339
1 NXP BV / NXP Funding LLC 3.750% 6/1/18 37,440 37,627
1 NXP BV / NXP Funding LLC 4.125% 6/15/20 17,445 17,707
1 NXP BV / NXP Funding LLC 4.625% 6/15/22 20,800 21,299
1 NXP BV / NXP Funding LLC 5.750% 3/15/23 10,213 10,775
1 Open Text Corp. 5.625% 1/15/23 30,770 31,001

 

 

1 Sensata Technologies BV 5.625% 11/1/24 2,395 2,437
1 Sensata Technologies BV 5.000% 10/1/25 48,515 47,060
1 SS&C Technologies Holdings Inc. 5.875% 7/15/23 20,325 21,341
SunGard Data Systems Inc. 6.625% 11/1/19 108,115 111,899
 
Transportation (1.2%)        
1 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.125% 6/1/22 26,270 26,664
2 Continental Airlines 2007-1 Class B Pass        
Through Trust 6.903% 4/19/22 15,271 15,805
Hertz Corp. 4.250% 4/1/18 12,745 12,904
Hertz Corp. 6.750% 4/15/19 82,360 84,419
Hertz Corp. 5.875% 10/15/20 20,100 20,829
Hertz Corp. 7.375% 1/15/21 60,490 62,910
        13,580,669
Utilities (3.8%)        
Electric (3.8%)        
AES Corp. 8.000% 6/1/20 19,980 22,128
AES Corp. 4.875% 5/15/23 25,000 23,062
AES Corp. 5.500% 3/15/24 119,951 113,953
1 Calpine Corp. 6.000% 1/15/22 16,165 17,054
Calpine Corp. 5.375% 1/15/23 34,775 33,036
1 Calpine Corp. 5.875% 1/15/24 9,230 9,738
Calpine Corp. 5.750% 1/15/25 119,130 113,471
Dynegy Inc. 7.375% 11/1/22 65,355 65,682
Dynegy Inc. 5.875% 6/1/23 37,655 34,643
Dynegy Inc. 7.625% 11/1/24 55,435 55,573
GenOn Energy Inc. 7.875% 6/15/17 19,175 17,976
GenOn Energy Inc. 9.500% 10/15/18 54,525 47,846
GenOn Energy Inc. 9.875% 10/15/20 24,755 20,578
NRG Energy Inc. 7.875% 5/15/21 5,810 5,781
NRG Energy Inc. 6.250% 7/15/22 51,835 47,818
NRG Energy Inc. 6.625% 3/15/23 10,000 9,325
NRG Energy Inc. 6.250% 5/1/24 47,355 42,383
        680,047
Total Corporate Bonds (Cost $16,933,734)       16,639,717
 
      Shares  
Preferred Stocks (1.2%)        
GMAC Capital Trust I Pfd. 8.125%   4,743,200 122,612
Hartford Financial Services Group Inc. Pfd. 7.875%   2,944,300 90,655
Total Preferred Stocks (Cost $197,384)       213,267

 

 

Other (0.0%)        
MediaNews Group Inc. Warrants Exp. 03/19/2017 (Cost $27,348)   73,622 415
 
      Face  
      Amount  
      ($000)  
Temporary Cash Investments (1.8%)        
Repurchase Agreements (1.8%)        
Bank of America Securities, LLC        
(Dated 10/30/15, Repurchase Value        
$189,802,000, collateralized by        
Government National Mortgage Assn.        
3.500%, 10/20/45, with a value of        
$74,256,000) 0.080% 11/2/15 72,800 72,800
Bank of Montreal        
(Dated 10/30/15, Repurchase Value        
$9,100,000, collateralized by Federal Home        
Loan Mortgage Corp. 2.878%-3.000%,        
11/1/19-8/1/45, and Federal National        
Mortgage Assn. 2.000%-5.500%, 4/1/27-        
8/1/38, with a value of $9,282,000) 0.080% 11/2/15 9,100 9,100
RBC Capital Markets LLC        
(Dated 10/30/15, Repurchase Value        
$92,401,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.229%-        
4.500%, 10/1/29-6/1/45, Federal National        
Mortgage Assn. 2.224%-4.000%, 3/1/40-        
7/1/45, and Government National Mortgage        
Assn. 2.588%-5.000%, 9/15/36-5/20/65,        
with a value of $94,248,000) 0.100% 11/2/15 92,400 92,400
TD Securities (USA) LLC        
(Dated 10/30/15, Repurchase Value        
$141,301,000, collateralized by Federal        
Home Loan Mortgage Corp. 4.000%,        
8/1/26-7/1/44, and U.S. Treasury        
Note/Bond 2.375%-4.750%, 8/15/24-        
2/15/41, with a value of $144,126,000) 0.100% 11/2/15 141,300 141,300
 
Total Temporary Cash Investments (Cost $315,600)       315,600
Total Investments (100.2%) (Cost $18,228,500)       17,925,388
Other Assets and Liabilities-Net (-0.2%)       (38,468)
Net Assets (100%)       17,886,920

 

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 October 31, 2015, the aggregate value of these securities was $6,011,528,000, representing 33.6% 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      Adjustable-rate security.
4      Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At October 31, 2015, the aggregate value of these securities was $525,161,000, representing 2.9% of net assets.
5      Face amount denominated in euro.
6      Face amount denominated in British pounds.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash

 

investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

D. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 698,806 —
Asset-Backed/Commercial Mortgage-Backed Securities — 57,583 —
Corporate Bonds — 16,639,717 —

 

 

Preferred Stocks — 213,267 —
Other — — 415
Temporary Cash Investments — 315,600 —
Forward Currency Contracts—Assets — 834 —
Forward Currency Contracts—Liabilities — (233) —
Total — 17,925,574 415

 

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At October 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 11/30/15 EUR 13,792 USD 15,262 (90)
Bank of America N.A 11/30/15 USD 177,495 EUR 160,592 834
Morgan Stanley Capital Services LLC 11/30/15 USD 38,412 GBP 25,014 (143)
            601
EUR—Euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

 

F. At October 31, 2015, the cost of investment securities for tax purposes was $18,228,500,000.

Net unrealized depreciation of investment securities for tax purposes was $303,112,000, consisting of unrealized gains of $418,426,000 on securities that had risen in value since their purchase and $721,538,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of October 31, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (5.8%)        
U.S. Government Securities (5.8%)        
  United States Treasury Note/Bond 0.500% 9/30/16 315 315
  United States Treasury Note/Bond 0.375% 10/31/16 500 500
  United States Treasury Note/Bond 0.500% 11/30/16 5,250 5,251
  United States Treasury Note/Bond 2.875% 3/31/18 15,000 15,710
1 United States Treasury Note/Bond 0.750% 4/15/18 128,650 128,128
2 United States Treasury Note/Bond 0.875% 7/15/18 177,650 177,122
1 United States Treasury Note/Bond 1.000% 8/15/18 308,850 308,801
3 United States Treasury Note/Bond 1.000% 9/15/18 252,650 252,453
  United States Treasury Note/Bond 0.875% 10/15/18 63,000 62,704
  United States Treasury Note/Bond 1.250% 10/31/18 26,800 26,955
  United States Treasury Note/Bond 1.250% 1/31/19 82,000 82,282
  United States Treasury Note/Bond 2.750% 2/15/19 6,395 6,724
  United States Treasury Note/Bond 1.625% 4/30/19 3,000 3,041
3 United States Treasury Note/Bond 3.625% 8/15/19 1,530 1,661
  United States Treasury Note/Bond 2.125% 5/15/25 66,100 65,976
  United States Treasury Note/Bond 2.000% 8/15/25 47,500 46,891
          1,184,514
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5,6Freddie Mac Non Gold Pool 2.500% 8/1/32 375 389
4,5,6Freddie Mac Non Gold Pool 2.643% 9/1/32 174 178
          567
Total U.S. Government and Agency Obligations (Cost $1,184,966)     1,185,081
Asset-Backed/Commercial Mortgage-Backed Securities (14.4%)      
4 Ally Auto Receivables Trust 2014-SN2 1.210% 2/20/19 3,000 2,997
4 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 3,755 3,752
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 4,300 4,301
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 1,545 1,538
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 2,620 2,621
4,5 Ally Master Owner Trust Series 2014-1 0.666% 1/15/19 3,050 3,044
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 3,500 3,503
4 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 2,400 2,400
4 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 10,380 10,393
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 0.746% 5/15/20 7,000 6,981
4,5,7American Homes 4 Rent 2014-SFR1 1.250% 6/17/31 1,074 1,072
4,5,7American Homes 4 Rent 2014-SFR1 1.600% 6/17/31 970 954
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 4,131 4,191
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 1,060 1,062
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 5,124 5,157
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 5,441 5,383
4,7 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 2,925 2,986
4,7 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 1,070 1,081
4,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 6,000 6,682
4,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 3,540 4,119
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 720 720
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 3,100 3,104

 

 

4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 1,500 1,511
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 2,500 2,525
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 1,660 1,678
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 2,230 2,264
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 1,470 1,477
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 1,655 1,663
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 1,000 999
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 500 500
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 9,850 9,832
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 2,560 2,566
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 4,400 4,407
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 3,200 3,203
4,7 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 1,330 1,331
4,7 Applebee's Funding LLC/IHOP Funding LLC        
  2014-1 4.277% 9/5/44 2,090 2,132
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 830 825
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 1,616 1,627
4,5,7Arran Residential Mortgages Funding 2010-1        
  PLC 1.721% 5/16/47 2,179 2,178
4,5,7Arran Residential Mortgages Funding 2011-1        
  plc 1.783% 11/19/47 1,135 1,135
4,7 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 1,370 1,455
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2013-1A 1.920% 9/20/19 5,480 5,479
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2013-2A 2.970% 2/20/20 10,300 10,597
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2015-1A 2.500% 7/20/21 14,310 14,353
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2015-2A 2.630% 12/20/21 8,115 8,151
4,5 BA Credit Card Trust 2014-A1 0.576% 6/15/21 18,930 18,875
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,975 5,000
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 2,119 2,172
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 2,167 2,228
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.569% 4/10/49 3,299 3,435
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.171% 2/10/51 5,721 6,144
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.215% 2/10/51 19,664 21,077
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 1,620 1,691

 

 

4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.367% 9/15/48 585 613
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.367% 9/15/48 360 353
4,5,7Bank of America Student Loan Trust 2010-        
  1A 1.120% 2/25/43 9,139 9,013
  Bank of Nova Scotia 1.850% 4/14/20 4,450 4,408
4,7 Bank of The West Auto Trust 2014-1 1.650% 3/16/20 9,400 9,394
4 Barclays Dryrock Issuance Trust 2014-3 2.410% 7/15/22 15,800 16,127
4,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 2,597 2,608
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 2,236 2,295
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.705% 6/11/40 17,984 18,708
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 7,620 8,079
4,5,7BMW Floorplan Master Owner Trust 2015-1A 0.696% 7/15/20 17,100 17,049
4 BMW Vehicle Owner Trust 2015-2 1.550% 2/20/19 8,480 8,465
4,5 Brazos Higher Education Authority Inc.        
  Series 2005-3 0.525% 6/25/26 5,720 5,504
4,5 Brazos Higher Education Authority Inc.        
  Series 2010-1 1.229% 5/25/29 1,987 1,971
4,5 Brazos Higher Education Authority Inc.        
  Series 2011-1 1.129% 2/25/30 12,188 12,024
4 Cabela's Credit Card Master Note Trust        
  2015-1A 2.260% 3/15/23 3,160 3,183
4,5 Cabela's Credit Card Master Note Trust        
  2015-2A 0.866% 7/17/23 8,920 8,872
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 1,750 1,732
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 2,633 2,580
7 Canadian Imperial Bank of Commerce 2.250% 7/21/20 7,310 7,354
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 1,550 1,549
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 1,700 1,702
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 6,485 6,629
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 5,020 5,028
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 3,400 3,418
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 3,045 3,077
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 1,775 1,804
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 2,500 2,509
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 650 655
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 1,000 1,013
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 800 816
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 8,550 8,578
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 7,900 7,924
4 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 2,430 2,433
4 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 2,700 2,714
4,5 Capital One Multi-Asset Execution Trust        
  2014-A3 0.576% 1/18/22 5,135 5,107
4 Capital One Multi-Asset Execution Trust        
  2015-A2 2.080% 3/15/23 8,780 8,822
4 Capital One Multi-asset Execution Trust        
  2015-A4 2.750% 5/15/25 21,700 22,108
4 Capital One Multi-asset Execution Trust        
  2015-A8 2.050% 8/15/23 32,030 31,891
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 2,920 2,946
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 1,785 1,809
4 Carmax Auto Owner Trust 2014-1 1.690% 8/15/19 520 521
4 Carmax Auto Owner Trust 2014-1 1.930% 11/15/19 970 970

 

 

4 Carmax Auto Owner Trust 2014-4 1.810% 7/15/20 3,850 3,870
4 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 11,290 11,332
4 Carmax Auto Owner Trust 2015-2 1.800% 3/15/21 3,070 3,065
4 Carmax Auto Owner Trust 2015-2 3.040% 11/15/21 2,010 2,017
4 Carmax Auto Owner Trust 2015-3 1.980% 2/16/21 3,090 3,107
4 Carmax Auto Owner Trust 2015-3 2.280% 4/15/21 1,945 1,947
4 Carmax Auto Owner Trust 2015-3 2.680% 6/15/21 2,795 2,806
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 9,100 9,241
4,7 CFCRE Commercial Mortgage Trust 2011-        
  C1 5.836% 4/15/44 2,900 3,287
4,7 CFCRE Commercial Mortgage Trust 2011-        
  C2 5.574% 12/15/47 5,260 6,133
4,5 Chase Issuance Trust 2007-C1 0.656% 4/15/19 6,100 6,071
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 1.830% 3/15/19 915 918
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 1,100 1,100
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 1,190 1,202
4,7 Chrysler Capital Auto Receivables Trust        
  2014-AA 2.280% 11/15/19 2,150 2,160
4,7 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 2,165 2,166
4 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 23,045 23,302
4 Citigroup Commercial Mortgage Trust 2006-        
  C5 5.431% 10/15/49 6,608 6,778
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,770 5,906
4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,017 2,106
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 5,650 5,716
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 2,325 2,408
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 700 748
4,5,7Citigroup Commercial Mortgage Trust 2014-        
  388G 0.946% 6/15/33 1,000 993
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 230 246
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 920 961
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 935 967
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 5,150 5,446
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 2,460 2,559
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 1,020 1,049
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 740 756
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.453% 7/10/47 1,250 1,242
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 2,990 3,036
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 6,015 6,241

 

 

4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 940 948
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 2,535 2,520
4 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 4,260 4,450
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 6,415 6,689
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.571% 9/10/58 1,805 1,879
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.571% 9/10/58 900 876
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 5,270 5,407
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 4,377 4,297
4,5,7Colony American Homes 2014-1 1.400% 5/17/31 2,609 2,576
4,5,7Colony American Homes 2014-1 1.600% 5/17/31 1,960 1,927
4,5,7Colony American Homes 2015-1 1.397% 7/17/32 3,898 3,849
4,5,7Colony American Homes Single-Family        
  Rental Pass-Through Certificates 2014-2 1.545% 7/17/31 700 687
4 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 4,730 4,776
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 1,884 1,941
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 15,256 15,659
4 COMM 2007-C9 Mortgage Trust 5.796% 12/10/49 3,620 3,826
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,700 2,773
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900 4,108
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,215 6,253
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,700 2,698
4 COMM 2012-CR3 Mortgage Trust 2.822% 10/15/45 6,005 6,036
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 4,800 5,165
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 4,690 5,096
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,400 1,478
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 7,740 8,297
4 COMM 2013-CCRE13 Mortgage Trust 4.753% 12/10/23 855 933
4 COMM 2013-CCRE13 Mortgage Trust 4.753% 12/10/23 1,560 1,613
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 8,030 8,389
4 COMM 2013-CCRE9 Mortgage Trust 4.234% 7/10/45 4,980 5,432
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 1,700 1,747
4 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 800 855
4 COMM 2013-CR13 Mortgage Trust 4.194% 11/10/23 6,375 6,906
4,7 COMM 2013-CR9 Mortgage Trust 4.258% 7/10/45 1,600 1,619
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 2,185 2,251
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 1,050 1,126
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 585 635
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,800 3,832
4,7 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 6,500 6,491
4,7 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 6,150 6,335
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 1,520 1,622
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 1,650 1,701
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 2,510 2,698
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 1,300 1,410
4 COMM 2014-CCRE15 Mortgage Trust 4.715% 2/10/47 1,600 1,745
4 COMM 2014-CR14 Mortgage Trust 4.236% 2/10/47 2,540 2,765
4 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 3,335 3,554
4 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 1,290 1,371
4 COMM 2014-CR17 Mortgage Trust 4.736% 5/10/47 1,340 1,381
4 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 1,600 1,678
4 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 4,305 4,537
4 COMM 2014-CR20 Mortgage Trust 3.590% 11/10/47 12,080 12,502

 

 

4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 2,270 2,407
4 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 470 477
4 COMM 2015-CR24 Mortgage Trust 3.445% 8/10/55 2,000 2,086
4 COMM 2015-CR24 Mortgage Trust 3.696% 8/10/55 5,820 6,041
4 COMM 2015-CR25 Mortgage Trust 3.759% 8/10/48 6,730 7,020
4 COMM 2015-CR26 Mortgage Trust 3.630% 10/10/48 7,240 7,455
4 COMM 2015-CR27 Mortgage Trust 3.612% 10/10/48 4,300 4,429
4 COMM 2015-CR27 Mortgage Trust 4.621% 10/10/48 1,760 1,685
4 Commercial Mortgage Trust 2006-GG7 5.819% 7/10/38 21,976 22,109
7 Commonwealth Bank of Australia 2.000% 6/18/19 4,300 4,327
7 Commonwealth Bank of Australia 2.125% 7/22/20 16,700 16,685
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 5,580 5,644
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 5.824% 6/15/38 652 658
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.068% 2/15/41 3,158 3,417
4 CSAIL Commercial Mortgage Trust 2015-C2 3.504% 6/15/57 6,650 6,795
4 CSAIL Commercial Mortgage Trust 2015-C3 3.718% 8/15/48 8,320 8,640
4 CSAIL Commercial Mortgage Trust 2015-C3 4.112% 8/15/48 2,000 2,018
4 CSAIL Commercial Mortgage Trust 2015-C3 4.362% 8/15/48 2,160 2,055
4,7 DB Master Finance LL 2015-1 3.262% 2/20/45 4,283 4,291
4 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 40,000 40,014
4 Discover Card Execution Note Trust 2014-A4 2.120% 12/15/21 10,900 11,044
4 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 31,000 30,993
7 DNB Boligkreditt AS 1.450% 3/21/18 3,300 3,296
4,7 Drive Auto Receivables Trust 2015-A 2.280% 6/17/19 5,545 5,555
4,7 Drive Auto Receivables Trust 2015-A 3.060% 5/17/21 2,750 2,743
4,7 Drive Auto Receivables Trust 2015-A 4.120% 7/15/22 2,000 1,976
4,7 Drive Auto Receivables Trust 2015-B 1.300% 6/15/18 2,570 2,568
4,7 Drive Auto Receivables Trust 2015-BA 2.120% 6/17/19 2,480 2,481
4,7 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 6,040 6,007
4,7 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 3,600 3,553
4,7 Drive Auto Receivables Trust 2015-C 2.230% 9/16/19 5,115 5,100
4,7 Drive Auto Receivables Trust 2015-C 3.010% 5/17/21 7,675 7,639
4,7 Drive Auto Receivables Trust 2015-C 4.200% 9/15/21 5,630 5,591
4,7 Drive Auto Receivables Trust 2015-DA 1.590% 12/17/18 8,175 8,172
4,7 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 9,050 9,046
4,7 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 9,050 9,061
4,7 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 9,250 9,288
4,5,7Edsouth Indenture No 5 LLC 2015-1 0.997% 10/25/56 11,925 11,762
4,7 Enterprise Fleet Financing LLC Series 2012-        
  2 0.930% 4/20/18 1,446 1,445
4,7 Enterprise Fleet Financing LLC Series 2015-        
  1 1.740% 9/20/20 17,660 17,719
4,7 Enterprise Fleet Financing LLC Series 2015-        
  2 2.090% 2/22/21 7,190 7,245
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 2/25/25 1,345 1,350
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 2/25/25 1,135 1,137
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.347% 5/25/25 1,956 1,948
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.397% 5/25/25 3,693 3,693
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 7/25/25 5,013 5,040
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 7/25/25 6,284 6,299

 

 

4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.793% 4/25/28 7,420 7,420
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.893% 4/25/28 3,580 3,580
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 773 773
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 4,730 4,728
4 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 3,035 3,026
4 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 6,370 6,354
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 5,560 5,545
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 2,000 2,011
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 2,800 2,809
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 2,890 2,900
4,7 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 4,588 4,631
4,7 Ford Credit Auto Owner Trust 2014-1 2.410% 11/15/25 1,400 1,403
4,7 Ford Credit Auto Owner Trust 2014-2 2.310% 4/15/26 10,930 11,023
4,7 Ford Credit Auto Owner Trust 2014-2 2.510% 4/15/26 1,600 1,604
4 Ford Credit Auto Owner Trust 2014-C 1.560% 2/15/20 2,400 2,407
4,7 Ford Credit Auto Owner Trust 2015-1 2.120% 7/15/26 6,600 6,594
4,7 Ford Credit Auto Owner Trust 2015-2 2.440% 1/15/27 26,000 26,255
4 Ford Credit Auto Owner Trust 2015-B 2.040% 10/15/20 5,010 5,029
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 4,670 4,684
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 2,085 2,091
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 2,000 2,019
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 24,203 24,229
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 1,600 1,603
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 1,900 1,914
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 5,700 5,703
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 2,100 2,102
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 670 675
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 720 726
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 290 294
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 2,000 2,002
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 900 908
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.696% 2/15/21 6,100 6,076
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 14,795 14,811
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 11,758 11,722
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 26,140 26,351
4,5 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2015-HQA1 1.444% 3/25/28 3,843 3,848
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 939 931
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 6,061 6,065
4,5 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.196% 5/15/19 10,800 10,806

 

 

4 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 30,000 30,341
4,5 GE Capital Credit Card Master Note Trust        
  Series 2012-3 0.646% 3/15/20 39,385 39,309
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 2,300 2,298
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2012-2 0.944% 4/22/19 13,000 13,013
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2014-2 0.644% 10/20/19 4,400 4,379
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2015-2 0.846% 1/20/22 20,920 20,844
4,7 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 1,700 1,702
4,7 GM Financial Leasing Trust 2014-2A 1.620% 2/20/18 8,000 8,013
4 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 1,650 1,650
4 GM Financial Leasing Trust 2015-2 2.420% 7/22/19 2,600 2,609
4 GM Financial Leasing Trust 2015-2 2.990% 7/22/19 2,320 2,325
4 GM Financial Leasing Trust 2015-3 1.690% 3/20/19 9,050 9,034
4 GM Financial Leasing Trust 2015-3 1.810% 11/20/19 930 928
4 GM Financial Leasing Trust 2015-3 2.320% 11/20/19 1,310 1,307
4 GM Financial Leasing Trust 2015-3 2.980% 11/20/19 2,870 2,863
4 GM Financial Leasing Trust 2015-3 3.480% 8/20/20 2,870 2,863
4,7 GMF Floorplan Owner Revolving Trust 2015-        
  1 1.650% 5/15/20 12,000 11,973
4,7 GMF Floorplan Owner Revolving Trust 2015-        
  1 1.970% 5/15/20 2,180 2,174
4,5,7Golden Credit Card Trust 2015-1A 0.636% 2/15/20 35,000 34,910
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 13,530 13,511
4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 1,000 1,038
4,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 2,500 2,498
4,7 Great America Leasing Receivables 2015-1 2.020% 6/21/21 1,680 1,682
4,7 GS Mortgage Securities Trust 2010-C2 5.182% 12/10/43 1,370 1,504
4,7 GS Mortgage Securities Trust 2011-GC3 5.555% 3/10/44 2,650 2,955
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 5,430 5,673
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 7,625 7,654
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,146
4,7 GS Mortgage Securities Trust 2013-GC13 4.069% 7/10/46 1,210 1,209
4 GS Mortgage Securities Trust 2013-GC14 3.955% 8/10/46 4,295 4,658
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 2,240 2,271
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 1,550 1,596
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 2,000 2,081
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 800 850
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 105 114
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 6,075 6,488
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 8,070 8,558
4 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 1,860 1,952
4 GS Mortgage Securities Trust 2014-GC24 4.529% 9/10/47 2,685 2,638
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 1,050 1,088
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 1,100 1,115
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 3,705 3,756
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 3,200 3,345
4 GS Mortgage Securities Trust 2015-GC32 4.402% 7/10/48 1,325 1,390
4 GS Mortgage Securities Trust 2015-GC32 4.412% 7/10/48 580 568
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 7,100 7,241
4 GS Mortgage Securities Trust 2015-GC34 4.466% 10/10/48 2,610 2,659
4 GS Mortgage Securities Trust 2015-GC34 4.810% 10/10/48 2,610 2,508
7 GTP Acquisition Partners I LLC 3.482% 6/16/25 9,030 8,978
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 3,500 3,492

 

 

4,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 5,287 5,313
4,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 12,280 12,541
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 13,350 13,365
4,7 Hertz Vehicle Financing LLC 2015-3 2.670% 9/25/21 9,400 9,361
4,7 Hilton USA Trust 2013-HLT 2.662% 11/5/30 3,120 3,108
4,7 Hilton USA Trust 2013-HLT 3.367% 11/5/30 3,240 3,238
4,7 Hilton USA Trust 2013-HLT 3.714% 11/5/30 1,455 1,451
4 Honda Auto Receivables 2014-4 Owner        
  Trust 1.460% 10/15/20 1,660 1,664
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 4,000 3,936
4,7 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 1,900 1,897
4,7 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 550 551
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 1.650% 8/15/19 10,880 10,916
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 7,250 7,292
4,7 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 7,130 7,176
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 1,700 1,707
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 1,000 1,003
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 1,200 1,216
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 2,350 2,385
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 1,900 1,947
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 1,700 1,708
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 1,150 1,166
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 2,200 2,211
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 1,400 1,405
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 3,290 3,302
4,5,7Hyundai Floorplan Master Owner Trust        
  Series 2013-1 0.846% 5/15/18 1,400 1,399
4,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 4,029 4,065
5 Illinois Student Assistance Commission        
  Series 2010-1 1.370% 4/25/22 5,642 5,644
4,5,7Invitation Homes 2014-SFR1 Trust 1.697% 6/17/31 4,750 4,691
4,5,7Invitation Homes 2014-SFR2 Trust 1.297% 9/17/31 2,560 2,521
4,5,7Invitation Homes 2014-SFR2 Trust 1.797% 9/17/31 700 690
4,5,7Invitation Homes 2015-SFR2 Trust 1.547% 6/17/32 2,867 2,834
4,7 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 6,000 6,071
4 John Deere Owner Trust 2015-B 1.780% 6/15/22 1,315 1,320
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 2,729 2,753
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 5.911% 4/15/45 1,864 1,899
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 24,685 25,869
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 3,986 4,225
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 3,251 3,377
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 2,441 2,587
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 10,030 10,482
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 1,250 1,298

 

 

4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 1,175 1,255
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.542% 11/15/43 2,730 2,948
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.542% 11/15/43 2,313 2,508
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 6,550 6,920
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 4,990 5,543
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 3,170 3,403
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.323% 8/15/46 4,000 4,616
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 4,499 4,737
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 4,640 4,668
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,070 4,164
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 1,350 1,452
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,900 6,013
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 4,670 4,686
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 980 1,034
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 290 309
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.944% 12/15/46 2,135 2,324
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.009% 12/15/46 960 998
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 6,098 6,129
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 5,000 5,245
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.025% 7/15/45 5,000 5,284
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 1,400 1,484
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 1,630 1,759
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 1,265 1,305
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 400 422
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 1,750 1,894
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.081% 11/15/45 1,300 1,366
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 4,070 4,441
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 7,000 7,503
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 600 647

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.810% 2/15/47 2,500 2,688
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.810% 2/15/47 1,000 1,015
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 680 708
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 2,000 2,073
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 4,130 4,226
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.551% 7/15/48 4,640 4,712
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.559% 7/15/48 7,120 7,405
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.822% 7/15/48 8,840 9,248
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 7/15/48 2,245 2,348
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 1,520 1,587
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 4,340 4,443
4,7 Ladder Capital Commercial Mortgage 2013-        
  GCP Mortgage Trust 3.388% 5/15/31 910 946
4,5,7Lanark Master Issuer plc 2012-2A 1.729% 12/22/54 1,381 1,383
4,5,7Lanark Master Issuer plc 2013-1A 0.829% 12/22/54 3,222 3,218
4 LB-UBS Commercial Mortgage Trust 2006-        
  C3 5.641% 3/15/39 5,444 5,462
4 LB-UBS Commercial Mortgage Trust 2006-        
  C6 5.342% 9/15/39 2,200 2,255
4 LB-UBS Commercial Mortgage Trust 2006-        
  C7 5.347% 11/15/38 25,211 25,921
4 LB-UBS Commercial Mortgage Trust 2007-        
  C2 5.387% 2/15/40 18,423 19,286
4 LB-UBS Commercial Mortgage Trust 2007-        
  C7 5.866% 9/15/45 15,491 16,652
4,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 1,619 1,620
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 1,245 1,337
4,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 2,100 2,101
4,5 MBNA Credit Card Master Note Trust 2004-        
  A3 0.456% 8/16/21 27,360 27,102
4 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 13,560 13,529
4 Mercedes-Benz Auto Receivables Trust        
  2015-1 1.750% 12/15/21 7,780 7,806
4,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 10,036 10,037
4,5,7Mercedes-Benz Master Owner Trust 2015-B 0.576% 4/15/20 14,650 14,560
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 742 757
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 11,520 12,175
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 814 816
4 ML-CFC Commercial Mortgage Trust 2006-2 5.877% 6/12/46 811 823
4,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 2,880 2,888
4,7 MMAF Equipment Finance LLC 2015-Aa 2.490% 2/19/36 13,600 13,651
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 7,445 7,685
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 2,050 2,146
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 5,740 5,762

 

 

4,7 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-CKSV 3.277% 10/15/30 9,500 9,429
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.082% 7/15/46 780 843
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.085% 8/15/46 805 833
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.960% 8/15/46 2,030 2,181
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 4.214% 8/15/46 7,317 7,952
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C12 3.824% 10/15/46 810 862
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C13 4.039% 11/15/46 400 429
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 2.918% 2/15/46 2,470 2,480
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 3.214% 2/15/46 2,000 2,009
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C9 3.102% 5/15/46 12,980 13,142
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C14 4.064% 2/15/47 2,300 2,462
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C14 4.384% 2/15/47 1,600 1,723
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C15 4.051% 4/15/47 5,310 5,681
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 3.892% 6/15/47 6,760 7,148
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.094% 6/15/47 935 984
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.325% 6/15/47 2,400 2,534
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.758% 6/15/47 2,400 2,493
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C17 3.741% 8/15/47 10,050 10,512
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C17 4.011% 8/15/47 530 554
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C18 3.923% 10/15/47 2,150 2,278
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C19 3.326% 12/15/47 1,080 1,115
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C19 3.526% 12/15/47 470 483
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C20 3.069% 2/15/48 765 777
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C20 3.249% 2/15/48 1,045 1,051
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C22 3.306% 4/15/48 4,030 4,057
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C23 3.719% 7/15/50 17,750 18,453
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C24 3.479% 5/15/48 4,300 4,392
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C24 3.732% 5/15/48 9,190 9,554
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C25 3.383% 10/15/28 3,070 3,155

 

 

4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C25 3.635% 10/15/28 5,275 5,431
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 4,060 4,145
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 1,204 1,242
4 Morgan Stanley Capital I Trust 2007-IQ15 5.917% 6/11/49 6,384 6,713
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 4,146 4,382
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 2,260 2,347
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440 2,555
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,000 6,095
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370 6,677
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 2,795 2,895
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 4,820 4,933
4,5 Navient Student Loan Trust 2014-1 0.947% 2/25/39 650 614
4,5 Navient Student Loan Trust 2015-1 0.797% 4/25/40 16,000 15,468
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 0.893% 1/2/25 3,929 3,785
4 Nissan Auto Lease Trust 2015-A 1.580% 5/17/21 1,790 1,797
4 Nissan Auto Receivables 2015-B Owner        
  Trust 1.790% 1/17/22 2,870 2,874
4,5 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.496% 2/15/18 4,733 4,731
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 21,640 21,680
7 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 5,500 5,546
5 North Carolina State Education Assistance        
  Authority 2011-1 1.220% 1/26/26 3,045 3,035
4,5,7PFS Financing Corp. 2014-AA 0.796% 2/15/19 1,600 1,595
4,5,7PFS Financing Corp. 2015-AA 0.816% 4/15/20 3,500 3,482
4,7 Porsche Innovative Lease Owner Trust        
  2015-1 1.430% 5/21/21 4,900 4,918
4,7 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 2,500 2,463
4,7 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 9,320 9,320
4,7 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 3,460 3,460
4,5,7Resimac MBS Trust 2014-1A 1.036% 12/12/45 3,382 3,378
  Royal Bank of Canada 1.875% 2/5/20 13,500 13,391
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 5,500 5,523
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 1,758 1,761
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 5,735 5,726
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 5,160 5,226
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 6,870 6,857
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 9,470 9,493
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 9,420 9,455
4,5,7Silver Bay Realty 2014-1 Trust 1.197% 9/17/31 2,275 2,232
4,5,7Silver Bay Realty 2014-1 Trust 1.647% 9/17/31 498 490
4,5 SLM Student Loan Trust 2005-5 0.420% 4/25/25 2,558 2,518
4,5 SLM Student Loan Trust 2006-5 0.430% 1/25/27 3,000 2,915
4,5 SLM Student Loan Trust 2006-6 0.430% 10/27/25 6,500 6,393
4,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 1,700 1,782
4,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 10,500 10,920
4,5,7SLM Student Loan Trust 2011-C 1.596% 12/15/23 270 271
4,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 5,450 5,726

 

 

4,5,7SLM Student Loan Trust 2012-B 1.296% 12/15/21 72 72
4,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 4,550 4,641
4,5,7SLM Student Loan Trust 2012-E 0.946% 10/16/23 3,687 3,684
4,5,7SLM Student Loan Trust 2013-1 1.246% 5/17/27 5,400 5,391
4,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 1,800 1,721
4,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 3,000 2,957
4,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 3,000 2,874
4,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 2,000 1,985
4,7 SLM Student Loan Trust 2014-A 2.590% 1/15/26 900 900
4,7 SLM Student Loan Trust 2014-A 3.500% 11/15/44 800 774
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 1,253 1,251
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 2,000 1,999
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 4,001 3,992
4,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 2,969 3,058
4,5 South Carolina Student Loan Corp. Revenue        
  2010-1 1.320% 7/25/25 8,356 8,410
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 2,000 1,984
4,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 10,400 10,294
7 Stadshypotek AB 1.250% 5/23/18 1,930 1,915
7 Stadshypotek AB 1.750% 4/9/20 8,294 8,160
4,5,7SWAY Residential 2014-1 Trust 1.497% 1/17/32 6,443 6,374
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 6,670 6,734
4 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 10,400 10,396
4 Synchrony Credit Card Master Note Trust        
  2015-3 2.380% 9/15/23 23,620 23,679
4,7 Tidewater Auto Receivables Trust 2014-AA 1.400% 7/15/18 863 863
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 2,160 2,220
7 Toronto-Dominion Bank 1.950% 4/2/20 8,400 8,352
4,5,7Trade MAPS 1 Ltd. 2013-1A 0.895% 12/10/18 6,460 6,465
4,5,7Trade MAPS 1 Ltd. 2013-1A 1.445% 12/10/18 1,225 1,222
4,5,7Trade MAPS 1 Ltd. 2013-1A 2.445% 12/10/18 670 666
4,5,7Trafigura Securitisation Finance plc 2014-1A 1.146% 10/15/21 5,720 5,714
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200 1,278
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,000 6,166
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 5,055 5,074
4,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 8,350 8,338
4,7 VNO 2013-PENN Mortgage Trust 3.808% 12/13/29 1,100 1,155
4,7 VNO 2013-PENN Mortgage Trust 3.947% 12/13/29 650 690
4,7 VNO 2013-PENN Mortgage Trust 3.947% 12/13/29 490 514
4,7 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 8,600 8,556
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 3,105 3,121
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 10,136 10,332
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 21,964 22,554
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 3,294 3,402
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 5,990 6,051
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,610 1,662
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 750 804

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 7,570 8,202
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 2,400 2,499
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 5,800 6,096
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 700 732
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 2,400 2,484
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 1,450 1,420
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 2,410 2,469
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 1,840 1,854
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 2,480 2,460
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.190% 2/15/48 1,770 1,767
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 1,260 1,291
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 5,280 5,371
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 3,700 3,820
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 7,735 7,970
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.225% 6/15/48 2,310 2,168
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 7,300 7,398
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 4,380 4,525
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 2,250 2,328
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.496% 9/15/58 1,250 1,203
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 5,960 6,242
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 2,045 2,140
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.538% 9/15/58 720 749
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.538% 9/15/58 1,805 1,732
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 12/15/47 1,510 1,566
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 12/15/47 4,500 4,704
4,7 Wendys Funding LLC 2015-1 4.080% 6/15/45 7,270 7,313
7 Westpac Banking Corp. 1.850% 11/26/18 6,285 6,308
7 Westpac Banking Corp. 2.000% 3/3/20 13,000 12,976
4,7 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 5,090 5,245
4,7 WFRBS Commercial Mortgage Trust 2011-        
  C3 4.375% 3/15/44 5,450 5,923
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 5,280 5,299

 

 

4 WFRBS Commercial Mortgage Trust 2012-        
  C7 3.431% 6/15/45 5,400 5,626
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 4.090% 6/15/45 4,170 4,447
4 WFRBS Commercial Mortgage Trust 2012-        
  C8 3.001% 8/15/45 3,300 3,352
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 2.870% 11/15/45 9,300 9,417
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 3.388% 11/15/45 2,870 2,931
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,220 2,245
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 1,900 2,015
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 630 680
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 357 376
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 1,895 2,007
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 6,340 6,851
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.670% 12/15/46 1,085 1,167
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 6,635 7,142
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.638% 5/15/47 3,020 3,177
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 8,515 9,094
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.378% 5/15/47 2,410 2,507
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 1,410 1,393
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 8,275 8,601
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 700 724
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 2,410 2,320
4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 980 1,038
4 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 6,200 6,410
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 170 178
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 4,075 4,370
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 4,000 4,006
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.676% 2/15/22 8,755 8,710
4 World Omni Automobile Lease Securitization        
  Trust 2015-A 1.730% 12/15/20 2,300 2,312
4,5,7WORLD OMNI MASTER OWNER TRUST        
  2013-1 0.547% 2/15/18 4,000 3,999
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,958,062)   2,976,145

 

 

Corporate Bonds (75.4%)        
Finance (29.8%)        
Banking (19.7%)        
Abbey National Treasury Services plc 3.050% 8/23/18 3,950 4,075
Abbey National Treasury Services plc 2.350% 9/10/19 3,415 3,436
Abbey National Treasury Services plc 4.000% 3/13/24 43,500 45,559
7 ABN AMRO Bank NV 2.450% 6/4/20 8,000 8,026
AgriBank FCB 9.125% 7/15/19 5,000 6,121
American Express Co. 7.000% 3/19/18 12,000 13,454
American Express Co. 2.650% 12/2/22 16,082 15,729
American Express Credit Corp. 2.375% 5/26/20 4,700 4,693
Associates Corp. of North America 6.950% 11/1/18 8,855 10,065
Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 8,000 8,061
7 Australia & New Zealand Banking Group Ltd. 4.875% 1/12/21 16,817 18,753
7 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 16,000 16,171
Banco Bilbao Vizcaya Argentaria SA 3.000% 10/20/20 16,470 16,474
7 Banco de Credito del Peru 4.250% 4/1/23 5,000 5,065
Bank of America Corp. 5.750% 12/1/17 2,468 2,665
Bank of America Corp. 6.875% 4/25/18 7,542 8,418
Bank of America Corp. 5.650% 5/1/18 4,500 4,895
Bank of America Corp. 6.875% 11/15/18 2,797 3,178
Bank of America Corp. 2.600% 1/15/19 13,000 13,144
Bank of America Corp. 7.625% 6/1/19 13,000 15,294
Bank of America Corp. 5.625% 7/1/20 19,340 21,764
Bank of America Corp. 5.875% 1/5/21 16,010 18,306
Bank of America Corp. 5.000% 5/13/21 5,285 5,817
Bank of America Corp. 5.700% 1/24/22 25,800 29,544
Bank of America Corp. 3.300% 1/11/23 39,767 39,650
Bank of America Corp. 4.100% 7/24/23 11,500 12,046
Bank of America Corp. 4.125% 1/22/24 43,430 45,082
Bank of America Corp. 4.000% 4/1/24 6,000 6,183
Bank of America Corp. 4.200% 8/26/24 12,000 12,030
Bank of America Corp. 3.875% 8/1/25 31,373 31,931
Bank of Montreal 2.375% 1/25/19 5,000 5,078
Bank of Montreal 2.550% 11/6/22 16,000 15,802
Bank of New York Mellon Corp. 5.500% 12/1/17 5,465 5,894
Bank of New York Mellon Corp. 5.450% 5/15/19 6,580 7,317
Bank of New York Mellon Corp. 4.600% 1/15/20 14,300 15,561
Bank of New York Mellon Corp. 2.150% 2/24/20 2,840 2,846
Bank of New York Mellon Corp. 2.600% 8/17/20 3,017 3,067
Bank of New York Mellon Corp. 4.150% 2/1/21 21,944 23,893
Bank of New York Mellon Corp. 3.550% 9/23/21 16,040 16,858
Bank of New York Mellon Corp. 3.650% 2/4/24 17,000 17,606
Bank of New York Mellon Corp. 3.400% 5/15/24 20,200 20,597
Bank of New York Mellon Corp. 3.250% 9/11/24 11,142 11,188
Bank of New York Mellon Corp. 3.000% 2/24/25 15,800 15,527
Bank of Nova Scotia 1.450% 4/25/18 5,085 5,068
Bank of Nova Scotia 2.050% 10/30/18 26,275 26,483
Bank of Nova Scotia 2.050% 6/5/19 7,930 7,934
Bank of Nova Scotia 4.375% 1/13/21 8,500 9,230
Bank of Nova Scotia 2.800% 7/21/21 17,352 17,457
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 10,733 10,769
7 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 19,580 19,557
Barclays Bank plc 3.750% 5/15/24 57,613 58,899
Barclays plc 2.750% 11/8/19 5,261 5,280
Barclays plc 3.650% 3/16/25 10,000 9,694
BB&T Corp. 6.850% 4/30/19 5,714 6,604
BB&T Corp. 5.250% 11/1/19 12,000 13,151

 

 

  BB&T Corp. 3.950% 3/22/22 4,400 4,642
  Bear Stearns Cos. LLC 6.400% 10/2/17 5,500 5,956
  BNP Paribas SA 2.400% 12/12/18 3,150 3,194
  BNP Paribas SA 5.000% 1/15/21 54,350 60,918
  BNP Paribas SA 3.250% 3/3/23 21,235 21,337
  BPCE SA 2.500% 12/10/18 3,375 3,427
  BPCE SA 2.250% 1/27/20 490 490
8 BPCE SA 3.500% 4/24/20 1,100 778
  BPCE SA 4.000% 4/15/24 50,690 52,922
  Branch Banking & Trust Co. 2.850% 4/1/21 10,425 10,493
  Branch Banking & Trust Co. 3.625% 9/16/25 27,345 27,523
  Capital One Financial Corp. 2.450% 4/24/19 2,450 2,448
  Capital One Financial Corp. 3.200% 2/5/25 2,650 2,562
  Capital One NA 1.500% 3/22/18 7,000 6,897
  Capital One NA 2.950% 7/23/21 5,300 5,278
  Citigroup Inc. 6.125% 11/21/17 12,491 13,590
  Citigroup Inc. 6.125% 5/15/18 9,000 9,910
  Citigroup Inc. 8.500% 5/22/19 19,317 23,253
  Citigroup Inc. 5.375% 8/9/20 31,422 35,320
  Citigroup Inc. 4.500% 1/14/22 46,600 50,397
  Citigroup Inc. 3.375% 3/1/23 21,000 21,080
  Citigroup Inc. 3.875% 10/25/23 28,500 29,427
  Citigroup Inc. 3.750% 6/16/24 12,000 12,243
  Citigroup Inc. 3.300% 4/27/25 15,000 14,670
  Citigroup Inc. 5.500% 9/13/25 9,000 9,856
4,7,9Colonial BancGroup Inc. 7.114% 5/29/49 17,340 2
  Commonwealth Bank of Australia 2.500% 9/20/18 8,165 8,330
7 Commonwealth Bank of Australia 5.000% 10/15/19 2,702 2,979
  Commonwealth Bank of Australia 2.300% 3/12/20 3,000 2,999
7 Commonwealth Bank of Australia 5.000% 3/19/20 11,560 12,793
  Commonwealth Bank of Australia 2.400% 11/2/20 5,382 5,363
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/19 4,000 4,034
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/20 3,500 3,503
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.500% 1/11/21 5,744 6,327
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.875% 2/8/22 53,100 56,213
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.950% 11/9/22 51,880 52,369
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.625% 12/1/23 68,532 71,530
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.375% 5/21/25 25,310 25,226
10 Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 5.250% 9/14/27 4,800 7,905
  Credit Suisse 2.300% 5/28/19 9,820 9,850
  Credit Suisse 3.000% 10/29/21 40,000 40,132
  Credit Suisse 3.625% 9/9/24 69,650 70,011
7 Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 10,000 9,770
  Deutsche Bank AG 2.500% 2/13/19 4,000 4,034
  Deutsche Bank AG 2.950% 8/20/20 10,000 10,029
  Deutsche Bank AG 3.700% 5/30/24 34,250 34,260
  Discover Bank 7.000% 4/15/20 3,665 4,220
  Discover Bank 3.100% 6/4/20 14,990 15,124
  Fifth Third Bank 2.875% 10/1/21 10,000 9,965
  FirstMerit Corp. 4.350% 2/4/23 9,000 9,199

 

 

  Goldman Sachs Group Inc. 6.250% 9/1/17 3,000 3,249
  Goldman Sachs Group Inc. 2.375% 1/22/18 3,000 3,045
  Goldman Sachs Group Inc. 6.150% 4/1/18 2,315 2,546
  Goldman Sachs Group Inc. 2.900% 7/19/18 55 57
  Goldman Sachs Group Inc. 2.625% 1/31/19 2,240 2,277
  Goldman Sachs Group Inc. 7.500% 2/15/19 15,000 17,482
  Goldman Sachs Group Inc. 2.550% 10/23/19 2,200 2,216
  Goldman Sachs Group Inc. 6.000% 6/15/20 14,720 16,848
  Goldman Sachs Group Inc. 2.750% 9/15/20 2,579 2,592
  Goldman Sachs Group Inc. 5.250% 7/27/21 22,087 24,685
  Goldman Sachs Group Inc. 5.750% 1/24/22 42,535 48,749
  Goldman Sachs Group Inc. 3.625% 1/22/23 13,300 13,562
  Goldman Sachs Group Inc. 4.000% 3/3/24 47,290 48,585
  Goldman Sachs Group Inc. 3.850% 7/8/24 9,400 9,569
  Goldman Sachs Group Inc. 3.500% 1/23/25 8,000 7,909
  Goldman Sachs Group Inc. 3.750% 5/22/25 40,000 40,301
  Goldman Sachs Group Inc. 4.250% 10/21/25 15,463 15,493
  HSBC Bank USA NA 4.875% 8/24/20 24,478 26,804
  HSBC Holdings plc 5.100% 4/5/21 53,948 60,218
  HSBC Holdings plc 4.000% 3/30/22 30,100 31,759
  HSBC Holdings plc 4.250% 3/14/24 35,000 35,353
  HSBC Holdings plc 4.250% 8/18/25 25,000 25,127
  HSBC USA Inc. 2.375% 11/13/19 17,185 17,156
  HSBC USA Inc. 2.750% 8/7/20 1,890 1,903
  Huntington National Bank 2.875% 8/20/20 5,600 5,621
  JPMorgan Chase & Co. 6.125% 6/27/17 3,000 3,218
  JPMorgan Chase & Co. 6.000% 1/15/18 6,000 6,548
  JPMorgan Chase & Co. 1.800% 1/25/18 8,100 8,123
  JPMorgan Chase & Co. 1.625% 5/15/18 3,395 3,381
  JPMorgan Chase & Co. 6.300% 4/23/19 10,650 12,101
  JPMorgan Chase & Co. 2.200% 10/22/19 6,000 5,982
  JPMorgan Chase & Co. 2.250% 1/23/20 7,500 7,434
  JPMorgan Chase & Co. 4.950% 3/25/20 21,496 23,552
  JPMorgan Chase & Co. 2.750% 6/23/20 6,075 6,120
  JPMorgan Chase & Co. 4.400% 7/22/20 18,510 19,946
  JPMorgan Chase & Co. 4.250% 10/15/20 20,480 21,922
  JPMorgan Chase & Co. 2.550% 10/29/20 11,384 11,327
  JPMorgan Chase & Co. 4.625% 5/10/21 22,450 24,436
  JPMorgan Chase & Co. 4.350% 8/15/21 14,235 15,232
  JPMorgan Chase & Co. 4.500% 1/24/22 28,610 31,018
  JPMorgan Chase & Co. 3.250% 9/23/22 23,500 23,650
  JPMorgan Chase & Co. 3.200% 1/25/23 26,858 26,727
  JPMorgan Chase & Co. 3.875% 2/1/24 22,900 23,682
  JPMorgan Chase & Co. 3.625% 5/13/24 14,750 14,868
  JPMorgan Chase & Co. 3.125% 1/23/25 9,200 8,933
  JPMorgan Chase & Co. 3.900% 7/15/25 22,301 22,870
4 JPMorgan Chase & Co. 5.300% 12/29/49 5,220 5,227
  JPMorgan Chase Bank NA 6.000% 7/5/17 6,500 6,978
  JPMorgan Chase Bank NA 6.000% 10/1/17 10,380 11,218
  KeyBank NA 1.650% 2/1/18 4,000 3,999
  KeyBank NA 3.300% 6/1/25 10,000 9,914
4,7 LBG Capital No.1 plc 8.000% 12/29/49 3,763 4,215
  Lloyds Bank plc 2.700% 8/17/20 21,670 21,888
  Lloyds Bank plc 6.375% 1/21/21 16,892 20,077
  Lloyds Bank plc 3.500% 5/14/25 18,630 18,666
7 Macquarie Bank Ltd. 2.400% 1/21/20 7,765 7,732
7 Macquarie Bank Ltd. 4.875% 6/10/25 7,910 7,885
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 8,555 9,380

 

 

Manufacturers & Traders Trust Co. 2.300% 1/30/19 5,758 5,797
Manufacturers & Traders Trust Co. 2.900% 2/6/25 22,400 21,524
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 20,000 19,944
7 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 11,875 11,850
Morgan Stanley 5.950% 12/28/17 2,000 2,175
Morgan Stanley 6.625% 4/1/18 5,700 6,326
Morgan Stanley 7.300% 5/13/19 5,000 5,836
Morgan Stanley 5.625% 9/23/19 20,500 22,858
Morgan Stanley 5.500% 1/26/20 16,035 17,878
Morgan Stanley 2.650% 1/27/20 4,300 4,329
Morgan Stanley 2.800% 6/16/20 4,600 4,642
Morgan Stanley 5.500% 7/24/20 12,000 13,486
Morgan Stanley 5.750% 1/25/21 24,000 27,356
Morgan Stanley 5.500% 7/28/21 26,800 30,426
Morgan Stanley 3.750% 2/25/23 26,000 26,795
Morgan Stanley 3.875% 4/29/24 43,400 44,503
Morgan Stanley 4.000% 7/23/25 9,449 9,705
MUFG Americas Holdings Corp. 3.500% 6/18/22 21,891 22,351
MUFG Americas Holdings Corp. 3.000% 2/10/25 10,000 9,541
National Australia Bank Ltd. 3.000% 1/20/23 14,320 14,351
7 Nationwide Building Society 2.350% 1/21/20 11,468 11,452
7 Nationwide Building Society 3.900% 7/21/25 8,000 8,231
7 Nordea Bank AB 1.875% 9/17/18 6,215 6,213
7 Nordea Bank AB 2.500% 9/17/20 4,715 4,731
Northern Trust Co. 5.850% 11/9/17 7,280 7,893
Northern Trust Co. 6.500% 8/15/18 4,000 4,506
Northern Trust Corp. 3.450% 11/4/20 500 524
Northern Trust Corp. 3.375% 8/23/21 13,036 13,685
People's United Financial Inc. 3.650% 12/6/22 11,405 11,288
PNC Bank NA 6.000% 12/7/17 4,500 4,878
PNC Bank NA 6.875% 4/1/18 12,085 13,404
PNC Bank NA 2.200% 1/28/19 4,630 4,668
PNC Bank NA 2.400% 10/18/19 10,000 10,068
PNC Bank NA 2.600% 7/21/20 15,120 15,295
PNC Bank NA 2.450% 11/5/20 2,218 2,216
PNC Bank NA 2.700% 11/1/22 41,080 39,713
PNC Bank NA 2.950% 1/30/23 15,000 14,677
PNC Bank NA 3.800% 7/25/23 15,750 16,298
PNC Bank NA 3.300% 10/30/24 19,634 19,535
PNC Bank NA 2.950% 2/23/25 16,680 16,234
PNC Bank NA 3.250% 6/1/25 12,425 12,358
PNC Financial Services Group Inc. 2.854% 11/9/22 12,493 12,358
PNC Funding Corp. 6.700% 6/10/19 12,000 13,882
PNC Funding Corp. 5.125% 2/8/20 21,243 23,693
PNC Funding Corp. 4.375% 8/11/20 23,000 24,992
PNC Funding Corp. 3.300% 3/8/22 14,570 15,037
Regions Bank 7.500% 5/15/18 1,732 1,948
Regions Financial Corp. 2.000% 5/15/18 2,000 1,999
Royal Bank of Canada 2.100% 10/14/20 11,530 11,474
Royal Bank of Scotland plc 5.625% 8/24/20 5,626 6,340
Royal Bank of Scotland plc 6.125% 1/11/21 4,500 5,216
Santander Bank NA 8.750% 5/30/18 5,000 5,715
7 Santander UK Group Holdings plc 4.750% 9/15/25 20,000 20,006
7 Skandinaviska Enskilda Banken AB 2.450% 5/27/20 4,563 4,586
State Street Corp. 1.350% 5/15/18 3,000 2,991
State Street Corp. 2.550% 8/18/20 17,901 18,095
State Street Corp. 4.375% 3/7/21 10,740 11,747
State Street Corp. 3.100% 5/15/23 15,025 14,761

 

 

State Street Corp. 3.700% 11/20/23 32,620 34,061
State Street Corp. 3.300% 12/16/24 27,435 27,768
State Street Corp. 3.550% 8/18/25 36,058 37,032
4 State Street Corp. 5.250% 12/29/49 5,240 5,279
Sumitomo Mitsui Banking Corp. 2.450% 10/20/20 1,033 1,027
Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 3,000 3,010
Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 8,160 8,451
Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 5,000 5,013
Sumitomo Mitsui Banking Corp. 3.650% 7/23/25 5,000 5,071
Svenska Handelsbanken AB 2.400% 10/1/20 3,068 3,064
Synchrony Financial 2.700% 2/3/20 8,550 8,425
Synchrony Financial 3.750% 8/15/21 27,100 27,296
Synchrony Financial 4.500% 7/23/25 10,000 10,144
Toronto-Dominion Bank 2.250% 11/5/19 25,705 25,887
UBS AG 2.375% 8/14/19 4,340 4,361
UBS AG 2.350% 3/26/20 8,000 8,010
US Bancorp 4.125% 5/24/21 28,055 30,210
US Bancorp 3.000% 3/15/22 23,724 24,074
US Bancorp 2.950% 7/15/22 35,200 34,975
US Bancorp 3.700% 1/30/24 18,500 19,403
US Bancorp 3.600% 9/11/24 14,800 15,063
US Bank NA 2.125% 10/28/19 4,441 4,466
US Bank NA 2.800% 1/27/25 14,400 14,105
Wachovia Corp. 5.625% 10/15/16 8,000 8,356
Wachovia Corp. 5.750% 6/15/17 4,280 4,579
Wachovia Corp. 5.750% 2/1/18 11,025 12,032
9 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.500% 1/15/13 6,147 15
9 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.650% 8/15/14 7,500 19
9 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.125% 1/15/15 9,000 22
Wells Fargo & Co. 5.625% 12/11/17 11,400 12,374
Wells Fargo & Co. 2.150% 1/15/19 18,636 18,786
Wells Fargo & Co. 2.150% 1/30/20 15,460 15,404
Wells Fargo & Co. 2.600% 7/22/20 19,260 19,414
Wells Fargo & Co. 4.600% 4/1/21 31,673 34,683
Wells Fargo & Co. 3.500% 3/8/22 30,172 31,363
Wells Fargo & Co. 3.450% 2/13/23 36,700 36,779
Wells Fargo & Co. 4.125% 8/15/23 13,100 13,593
Wells Fargo & Co. 3.300% 9/9/24 58,830 58,758
Wells Fargo & Co. 3.000% 2/19/25 10,180 9,869
Wells Fargo & Co. 3.550% 9/29/25 17,359 17,437
Wells Fargo Bank NA 6.000% 11/15/17 8,000 8,683
Westpac Banking Corp. 1.600% 1/12/18 3,390 3,402
Westpac Banking Corp. 2.250% 7/30/18 9,010 9,133
Westpac Banking Corp. 4.875% 11/19/19 10,795 11,917
Westpac Banking Corp. 2.300% 5/26/20 4,460 4,513
 
Brokerage (1.6%)        
Affiliated Managers Group Inc. 4.250% 2/15/24 10,000 10,213
Ameriprise Financial Inc. 7.300% 6/28/19 6,200 7,282
Ameriprise Financial Inc. 5.300% 3/15/20 9,570 10,739
Ameriprise Financial Inc. 4.000% 10/15/23 10,819 11,348
Ameriprise Financial Inc. 3.700% 10/15/24 26,500 26,953
BlackRock Inc. 4.250% 5/24/21 4,250 4,641
BlackRock Inc. 3.375% 6/1/22 12,000 12,451
BlackRock Inc. 3.500% 3/18/24 20,000 20,503

 

 

Charles Schwab Corp. 4.450% 7/22/20 6,500 7,127
Charles Schwab Corp. 3.225% 9/1/22 11,150 11,445
CME Group Inc. 3.000% 3/15/25 13,500 13,395
Franklin Resources Inc. 4.625% 5/20/20 7,550 8,325
Franklin Resources Inc. 2.800% 9/15/22 11,000 10,901
Franklin Resources Inc. 2.850% 3/30/25 8,000 7,714
Intercontinental Exchange Inc. 4.000% 10/15/23 34,330 35,522
Invesco Finance plc 3.125% 11/30/22 30,485 30,695
Invesco Finance plc 4.000% 1/30/24 21,300 22,171
Invesco Finance plc 3.750% 1/15/26 15,323 15,417
Jefferies Group LLC 6.875% 4/15/21 8,000 8,974
Jefferies Group LLC 5.125% 1/20/23 5,000 4,964
Legg Mason Inc. 3.950% 7/15/24 5,000 4,972
9 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
Nomura Holdings Inc. 2.750% 3/19/19 9,950 10,096
TD Ameritrade Holding Corp. 2.950% 4/1/22 16,715 16,630
TD Ameritrade Holding Corp. 3.625% 4/1/25 11,400 11,627
 
Finance Companies (1.3%)        
Air Lease Corp. 3.375% 1/15/19 8,000 8,140
Air Lease Corp. 3.875% 4/1/21 6,000 6,120
Air Lease Corp. 4.250% 9/15/24 9,000 8,865
7 GE Capital International Funding Corp. 2.342% 11/15/20 118,453 118,702
7 GE Capital International Funding Corp. 3.373% 11/15/25 29,316 29,733
HSBC Finance Corp. 6.676% 1/15/21 63,939 74,308
7 Peachtree Corners Funding Trust 3.976% 2/15/25 15,000 15,022
 
  Insurance (4.8%)        
  ACE INA Holdings Inc. 2.875% 11/3/22 6,935 6,938
  ACE INA Holdings Inc. 2.700% 3/13/23 7,695 7,446
  ACE INA Holdings Inc. 3.350% 5/15/24 20,000 20,080
  ACE INA Holdings Inc. 3.150% 3/15/25 14,000 13,737
  ACE INA Holdings Inc. 3.350% 5/3/26 20,436 20,480
  Aetna Inc. 2.750% 11/15/22 24,000 23,257
  Aetna Inc. 3.500% 11/15/24 15,000 15,086
  Aflac Inc. 4.000% 2/15/22 2,000 2,120
  Aflac Inc. 3.625% 6/15/23 16,000 16,298
  Aflac Inc. 3.625% 11/15/24 15,000 15,242
7 AIA Group Ltd. 3.200% 3/11/25 12,000 11,616
  Alleghany Corp. 4.950% 6/27/22 2,586 2,794
  Allied World Assurance Co. Holdings Ltd. 4.350% 10/29/25 21,000 20,876
  Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,000 2,209
  Allstate Corp. 3.150% 6/15/23 1,000 1,004
4 Allstate Corp. 5.750% 8/15/53 5,000 5,181
  Alterra Finance LLC 6.250% 9/30/20 8,000 9,147
  American Financial Group Inc. 9.875% 6/15/19 10,000 12,311
  American International Group Inc. 4.875% 6/1/22 1,650 1,823
  American International Group Inc. 3.875% 1/15/35 1,315 1,224
  Anthem Inc. 4.350% 8/15/20 2,000 2,127
  Anthem Inc. 3.700% 8/15/21 3,090 3,176
4,11 Aquarius and Investments plc for Zurich        
  Insurance Co. Ltd. 4.250% 10/2/43 2,700 3,252
  Aspen Insurance Holdings Ltd. 4.650% 11/15/23 5,500 5,688
  Axis Specialty Finance LLC 5.875% 6/1/20 25,240 28,300
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 20,202 22,174
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 2,000 2,193
  Berkshire Hathaway Finance Corp. 3.000% 5/15/22 4,360 4,426
  Berkshire Hathaway Inc. 3.750% 8/15/21 11,500 12,251

 

 

  Berkshire Hathaway Inc. 3.400% 1/31/22 12,706 13,327
11 Berkshire Hathaway Inc. 0.750% 3/16/23 8,000 8,459
11 Berkshire Hathaway Inc. 1.125% 3/16/27 8,300 8,197
  Brown & Brown Inc. 4.200% 9/15/24 15,000 15,004
4 Chubb Corp. 6.375% 3/29/67 4,900 4,704
  CNA Financial Corp. 5.875% 8/15/20 5,000 5,627
  CNA Financial Corp. 3.950% 5/15/24 2,000 2,011
4,11 CNP Assurances 4.000% 11/29/49 1,800 1,904
  Coventry Health Care Inc. 5.450% 6/15/21 8,500 9,481
  First American Financial Corp. 4.600% 11/15/24 12,000 12,181
7 Five Corners Funding Trust 4.419% 11/15/23 15,000 15,801
  Hartford Financial Services Group Inc. 5.125% 4/15/22 2,880 3,185
  Infinity Property & Casualty Corp. 5.000% 9/19/22 10,547 11,113
7 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,668
  Kemper Corp. 4.350% 2/15/25 15,000 15,118
  Loews Corp. 2.625% 5/15/23 8,000 7,645
  Manulife Financial Corp. 4.900% 9/17/20 24,150 26,495
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 5,275 5,282
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 4,850 5,334
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 8,000 8,362
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 22,915 22,838
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 12,000 11,862
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26 12,000 12,055
7 MassMutual Global Funding II 2.500% 10/17/22 10,500 10,111
  MetLife Inc. 4.750% 2/8/21 17,000 18,797
  MetLife Inc. 3.048% 12/15/22 17,000 16,894
  MetLife Inc. 4.368% 9/15/23 38,430 41,440
  MetLife Inc. 3.600% 4/10/24 28,005 28,836
  MetLife Inc. 3.000% 3/1/25 18,500 17,962
4 MetLife Inc. 5.250% 12/29/49 2,635 2,668
7 New York Life Global Funding 1.950% 2/11/20 6,595 6,531
  OneBeacon US Holdings Inc. 4.600% 11/9/22 7,269 7,292
  PartnerRe Finance A LLC 6.875% 6/1/18 3,857 4,302
  PartnerRe Finance B LLC 5.500% 6/1/20 16,550 18,308
  Principal Financial Group Inc. 8.875% 5/15/19 3,395 4,124
4 Principal Financial Group Inc. 4.700% 5/15/55 1,500 1,477
7 Principal Life Global Funding II 2.200% 4/8/20 10,650 10,584
4 Progressive Corp. 6.700% 6/15/67 6,500 6,533
  Prudential Financial Inc. 2.350% 8/15/19 1,950 1,956
4 Prudential Financial Inc. 5.875% 9/15/42 6,000 6,360
4 Prudential Financial Inc. 5.625% 6/15/43 7,875 8,229
4 Prudential Financial Inc. 5.200% 3/15/44 2,500 2,484
4 Prudential Financial Inc. 5.375% 5/15/45 7,150 7,177
  Reinsurance Group of America Inc. 5.000% 6/1/21 5,000 5,449
  Reinsurance Group of America Inc. 4.700% 9/15/23 3,000 3,193
7 Reliance Standard Life Global Funding II 2.500% 1/15/20 19,115 19,064
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 6,710 6,641
  Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 12,572
7 Swiss Re Treasury US Corp. 2.875% 12/6/22 2,000 1,960
7 TIAA Asset Management Finance Co. LLC 4.125% 11/1/24 30,000 30,563
  Torchmark Corp. 9.250% 6/15/19 3,000 3,685
  Trinity Acquisition plc 4.625% 8/15/23 3,000 3,103
  UnitedHealth Group Inc. 2.300% 12/15/19 10,000 10,052
  UnitedHealth Group Inc. 2.700% 7/15/20 3,870 3,962
  UnitedHealth Group Inc. 3.875% 10/15/20 14,000 14,980
  UnitedHealth Group Inc. 4.700% 2/15/21 13,000 14,360
  UnitedHealth Group Inc. 2.875% 12/15/21 10,000 10,173
  UnitedHealth Group Inc. 2.875% 3/15/22 26,816 26,939

 

 

  UnitedHealth Group Inc. 3.350% 7/15/22 17,660 18,306
  UnitedHealth Group Inc. 2.750% 2/15/23 12,000 11,831
  UnitedHealth Group Inc. 2.875% 3/15/23 9,000 8,934
  UnitedHealth Group Inc. 3.750% 7/15/25 38,550 40,155
11 Willow No.2 Ireland plc for Zurich Insurance        
  Co. Ltd. 3.375% 6/27/22 6,250 7,717
  WR Berkley Corp. 4.625% 3/15/22 2,977 3,162
 
  Real Estate Investment Trusts (2.4%)        
  Alexandria Real Estate Equities Inc. 4.500% 7/30/29 6,465 6,435
  American Campus Communities Operating        
  Partnership LP 3.750% 4/15/23 2,000 1,964
  BioMed Realty LP 4.250% 7/15/22 3,082 3,025
  Boston Properties LP 3.125% 9/1/23 2,654 2,564
  Boston Properties LP 3.800% 2/1/24 3,375 3,450
  Brandywine Operating Partnership LP 4.100% 10/1/24 17,000 16,510
  Brixmor Operating Partnership LP 3.850% 2/1/25 7,000 6,832
  CubeSmart LP 4.375% 12/15/23 725 750
  CubeSmart LP 4.000% 11/15/25 6,000 5,977
  DDR Corp. 3.375% 5/15/23 7,000 6,667
  DDR Corp. 3.625% 2/1/25 10,000 9,492
7 Digital Delta Holdings LLC 3.400% 10/1/20 2,247 2,258
7 Digital Delta Holdings LLC 4.750% 10/1/25 9,213 9,347
  Digital Realty Trust LP 5.250% 3/15/21 12,225 13,233
  Digital Realty Trust LP 3.950% 7/1/22 9,362 9,357
  Duke Realty LP 6.500% 1/15/18 5 5
  Duke Realty LP 3.625% 4/15/23 9,000 8,838
  ERP Operating LP 3.375% 6/1/25 27,000 26,845
  Essex Portfolio LP 3.500% 4/1/25 12,182 11,824
  Federal Realty Investment Trust 2.550% 1/15/21 5,417 5,418
  Federal Realty Investment Trust 3.000% 8/1/22 22,448 22,223
  Federal Realty Investment Trust 2.750% 6/1/23 3,000 2,872
  Federal Realty Investment Trust 3.950% 1/15/24 13,269 13,791
7 Goodman Funding Pty Ltd. 6.375% 4/15/21 3,650 4,177
7 Goodman Funding Pty Ltd. 6.000% 3/22/22 8,155 9,063
  HCP Inc. 2.625% 2/1/20 7,000 6,935
  HCP Inc. 5.375% 2/1/21 11,600 12,780
  Health Care REIT Inc. 4.000% 6/1/25 4,020 3,983
  Healthcare Realty Trust Inc. 3.750% 4/15/23 13,000 12,722
  Healthcare Realty Trust Inc. 3.875% 5/1/25 7,000 6,810
  Healthcare Trust of America Holdings LP 3.375% 7/15/21 2,000 1,989
  Healthcare Trust of America Holdings LP 3.700% 4/15/23 8,030 7,853
  Highwoods Realty LP 3.200% 6/15/21 6,000 5,907
  Kilroy Realty LP 4.375% 10/1/25 2,500 2,534
  Liberty Property LP 4.400% 2/15/24 4,000 4,087
  Liberty Property LP 3.750% 4/1/25 1,340 1,295
  National Retail Properties Inc. 4.000% 11/15/25 8,000 7,957
  Omega Healthcare Investors Inc. 4.950% 4/1/24 19,000 19,499
7 Omega Healthcare Investors Inc. 5.250% 1/15/26 14,982 15,581
7 Omega Healthcare Investors Inc. 4.500% 4/1/27 10,000 9,550
11 Prologis LP 1.375% 5/13/21 5,397 5,859
  Realty Income Corp. 4.650% 8/1/23 6,000 6,328
  Senior Housing Properties Trust 6.750% 12/15/21 4,000 4,571
  Simon Property Group LP 2.500% 9/1/20 1,760 1,767
  Simon Property Group LP 4.375% 3/1/21 28,394 30,903
  Simon Property Group LP 4.125% 12/1/21 20,822 22,332
  Simon Property Group LP 3.375% 3/15/22 7,000 7,210
  Simon Property Group LP 2.750% 2/1/23 7,500 7,342

 

 

Simon Property Group LP 3.750% 2/1/24 30,500 31,581
Simon Property Group LP 3.375% 10/1/24 4,000 4,030
Simon Property Group LP 3.500% 9/1/25 12,997 13,033
UDR Inc. 4.625% 1/10/22 3,455 3,716
Ventas Realty LP 3.750% 5/1/24 10,000 9,874
Weingarten Realty Investors 3.375% 10/15/22 5,694 5,580
Weingarten Realty Investors 3.850% 6/1/25 3,404 3,336
Welltower Inc. 6.125% 4/15/20 5,000 5,684
Welltower Inc. 4.950% 1/15/21 8,000 8,662
Welltower Inc. 3.750% 3/15/23 5,000 4,928
Welltower Inc. 4.500% 1/15/24 7,000 7,274
        6,146,209
Industrial (40.0%)        
Basic Industry (2.4%)        
Agrium Inc. 3.150% 10/1/22 3,908 3,774
Agrium Inc. 3.500% 6/1/23 15,000 14,710
Agrium Inc. 3.375% 3/15/25 5,000 4,707
Air Products & Chemicals Inc. 3.000% 11/3/21 5,390 5,483
Air Products & Chemicals Inc. 3.350% 7/31/24 7,000 7,086
Airgas Inc. 2.375% 2/15/20 3,725 3,699
Airgas Inc. 3.050% 8/1/20 4,690 4,751
Airgas Inc. 3.650% 7/15/24 3,500 3,480
Barrick Gold Corp. 3.850% 4/1/22 1,891 1,774
8 BHP Billiton Finance Ltd. 3.000% 3/30/20 5,340 3,703
10 BHP Billiton Finance Ltd. 3.250% 9/25/24 10,000 15,242
BHP Billiton Finance USA Ltd. 3.250% 11/21/21 18,030 18,322
BHP Billiton Finance USA Ltd. 2.875% 2/24/22 17,750 17,587
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 26,800 27,544
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 3,500 3,701
Celulosa Arauco y Constitucion SA 4.750% 1/11/22 4,000 4,132
CF Industries Inc. 7.125% 5/1/20 3,480 4,054
CF Industries Inc. 3.450% 6/1/23 5,685 5,441
Dow Chemical Co. 8.550% 5/15/19 12,245 14,725
Dow Chemical Co. 3.500% 10/1/24 2,000 1,962
Eastman Chemical Co. 4.500% 1/15/21 8,139 8,699
EI du Pont de Nemours & Co. 3.625% 1/15/21 13,635 14,197
EI du Pont de Nemours & Co. 4.250% 4/1/21 967 1,034
EI du Pont de Nemours & Co. 2.800% 2/15/23 18,225 17,529
Freeport-McMoRan Inc. 3.875% 3/15/23 5,000 3,913
Goldcorp Inc. 3.700% 3/15/23 4,000 3,843
LyondellBasell Industries NV 5.000% 4/15/19 8,000 8,609
LyondellBasell Industries NV 6.000% 11/15/21 5,000 5,687
LyondellBasell Industries NV 5.750% 4/15/24 4,340 4,891
Monsanto Co. 2.125% 7/15/19 7,397 7,375
Monsanto Co. 2.750% 7/15/21 15,885 15,762
Monsanto Co. 2.200% 7/15/22 14,160 13,017
Monsanto Co. 3.375% 7/15/24 15,000 14,677
Monsanto Co. 2.850% 4/15/25 6,000 5,585
Newmont Mining Corp. 3.500% 3/15/22 4,000 3,692
Packaging Corp. of America 3.650% 9/15/24 7,000 6,992
Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 6,559 7,477
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 4,764 5,217
Potash Corp. of Saskatchewan Inc. 3.000% 4/1/25 10,955 10,312
PPG Industries Inc. 3.600% 11/15/20 10,840 11,297
11 PPG Industries Inc. 0.875% 3/13/22 6,563 7,039
11 PPG Industries Inc. 1.400% 3/13/27 3,800 3,856
Praxair Inc. 4.050% 3/15/21 8,000 8,645

 

 

  Praxair Inc. 3.000% 9/1/21 16,915 17,271
  Praxair Inc. 2.450% 2/15/22 8,215 8,076
  Praxair Inc. 2.650% 2/5/25 2,865 2,779
11 Praxair Inc. 1.625% 12/1/25 8,000 8,832
  Rio Tinto Finance USA Ltd. 9.000% 5/1/19 3,000 3,632
  Rio Tinto Finance USA Ltd. 3.500% 11/2/20 11,500 11,963
  Rio Tinto Finance USA Ltd. 4.125% 5/20/21 12,935 13,568
  Rio Tinto Finance USA Ltd. 3.750% 9/20/21 18,820 19,243
  Rio Tinto Finance USA Ltd. 3.750% 6/15/25 10,000 9,829
  Rio Tinto Finance USA plc 3.500% 3/22/22 11,000 11,045
  Rio Tinto Finance USA plc 2.875% 8/21/22 5,000 4,840
  Southern Copper Corp. 3.875% 4/23/25 7,000 6,641
  Syngenta Finance NV 3.125% 3/28/22 8,895 8,727
  Vale Overseas Ltd. 5.625% 9/15/19 6,000 6,112
 
  Capital Goods (3.6%)        
  ABB Finance USA Inc. 2.875% 5/8/22 5,000 4,953
7 ABB Treasury Center USA Inc. 4.000% 6/15/21 7,000 7,386
  Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 11,007
7 Airbus Group Finance BV 2.700% 4/17/23 23,895 23,838
  Boeing Co. 4.875% 2/15/20 10,580 11,850
  Boeing Co. 2.200% 10/30/22 6,575 6,413
  Boeing Co. 7.950% 8/15/24 17,489 23,650
  Boeing Co. 2.850% 10/30/24 5,000 4,986
  Boeing Co. 2.600% 10/30/25 9,575 9,266
10 Bouygues SA 5.500% 10/6/26 8,750 15,664
  Caterpillar Financial Services Corp. 2.850% 6/1/22 5,700 5,667
  Caterpillar Financial Services Corp. 3.750% 11/24/23 14,000 14,467
  Caterpillar Inc. 2.600% 6/26/22 15,000 14,671
  Crane Co. 4.450% 12/15/23 2,000 2,079
7 CRH America Inc. 3.875% 5/18/25 10,000 10,039
  Danaher Corp. 3.900% 6/23/21 22,957 24,702
  Danaher Corp. 3.350% 9/15/25 16,245 16,566
  Deere & Co. 4.375% 10/16/19 11,850 12,770
  Deere & Co. 2.600% 6/8/22 33,975 33,597
11 DH Europe Finance SA 1.700% 1/4/22 14,351 16,195
  Dover Corp. 3.150% 11/15/25 7,950 7,905
7 Embraer Overseas Ltd. 5.696% 9/16/23 7,025 7,172
  Embraer SA 5.150% 6/15/22 8,000 7,926
  Flowserve Corp. 3.500% 9/15/22 5,000 4,935
  General Dynamics Corp. 2.250% 11/15/22 21,925 21,098
  General Electric Capital Corp. 6.000% 8/7/19 3,694 4,235
  General Electric Capital Corp. 5.500% 1/8/20 5,948 6,748
  General Electric Capital Corp. 2.200% 1/9/20 1,768 1,786
  General Electric Capital Corp. 5.550% 5/4/20 614 701
  General Electric Capital Corp. 4.375% 9/16/20 7,120 7,808
  General Electric Capital Corp. 4.625% 1/7/21 3,863 4,285
  General Electric Capital Corp. 5.300% 2/11/21 3,866 4,410
  General Electric Capital Corp. 3.150% 9/7/22 5,754 5,916
  General Electric Capital Corp. 3.100% 1/9/23 4,617 4,705
  General Electric Capital Corp. 3.450% 5/15/24 854 884
4 General Electric Capital Corp. 6.375% 11/15/67 7,000 7,490
  General Electric Co. 2.700% 10/9/22 47,000 47,012
  Harris Corp. 2.700% 4/27/20 2,680 2,636
  Harris Corp. 3.832% 4/27/25 10,000 9,887
  Honeywell International Inc. 3.350% 12/1/23 31,765 32,797
  Huntington Ingalls Industries Inc. 7.125% 3/15/21 7,320 7,686
  Ingersoll-Rand Luxembourg Finance SA 3.550% 11/1/24 5,000 4,911

 

 

  John Deere Capital Corp. 3.150% 10/15/21 4,650 4,765
  John Deere Capital Corp. 2.750% 3/15/22 26,550 26,250
  John Deere Capital Corp. 2.800% 1/27/23 28,894 28,565
  L-3 Communications Corp. 5.200% 10/15/19 8,500 8,949
  L-3 Communications Corp. 4.750% 7/15/20 4,000 4,145
  L-3 Communications Corp. 3.950% 5/28/24 2,000 1,896
  Lockheed Martin Corp. 3.350% 9/15/21 15,148 15,606
  Lockheed Martin Corp. 2.900% 3/1/25 10,000 9,661
11 Mohawk Industries Inc. 2.000% 1/14/22 8,713 9,812
  Owens Corning 6.500% 12/1/16 121 126
  Owens Corning 9.000% 6/15/19 195 230
  Parker Hannifin Corp. 3.500% 9/15/22 4,885 5,083
  Parker-Hannifin Corp. 3.300% 11/21/24 20,015 20,335
  Precision Castparts Corp. 2.500% 1/15/23 34,382 33,263
  Raytheon Co. 2.500% 12/15/22 30,000 29,545
  Rockwell Collins Inc. 3.100% 11/15/21 9,000 9,246
  Rockwell Collins Inc. 3.700% 12/15/23 2,300 2,399
  Roper Technologies Inc. 2.050% 10/1/18 3,175 3,153
  Roper Technologies Inc. 6.250% 9/1/19 2,700 3,034
  ROPER TECHNOLOGIES INC. 3.125% 11/15/22 3,000 2,942
7 Siemens Financieringsmaatschappij NV 2.900% 5/27/22 6,690 6,768
7 Siemens Financieringsmaatschappij NV 3.250% 5/27/25 13,655 13,772
  Textron Inc. 3.875% 3/1/25 7,000 6,934
  United Rentals North America Inc. 4.625% 7/15/23 5,285 5,305
  United Technologies Corp. 3.100% 6/1/22 14,000 14,356
 
  Communication (4.0%)        
  21st Century Fox America Inc. 6.900% 3/1/19 7,000 8,033
  21st Century Fox America Inc. 3.700% 9/15/24 9,000 9,091
7 21st Century Fox America Inc. 3.700% 10/15/25 5,000 5,002
  America Movil SAB de CV 5.000% 10/16/19 12,000 13,099
  America Movil SAB de CV 5.000% 3/30/20 15,000 16,519
  America Movil SAB de CV 3.125% 7/16/22 38,225 37,676
  American Tower Corp. 4.500% 1/15/18 10,000 10,498
  American Tower Corp. 3.450% 9/15/21 15,565 15,665
  American Tower Corp. 3.500% 1/31/23 5,000 4,839
  American Tower Corp. 4.000% 6/1/25 12,000 11,863
  AT&T Inc. 5.800% 2/15/19 12,000 13,344
  AT&T Inc. 2.450% 6/30/20 6,000 5,935
  AT&T Inc. 4.450% 5/15/21 7,500 8,059
  AT&T Inc. 3.875% 8/15/21 7,329 7,609
  AT&T Inc. 3.000% 2/15/22 7,396 7,314
  AT&T Inc. 3.000% 6/30/22 16,000 15,681
  AT&T Inc. 3.400% 5/15/25 12,000 11,623
  British Telecommunications plc 2.350% 2/14/19 6,000 6,025
  CC Holdings GS V LLC / Crown Castle GS III        
  Corp. 3.849% 4/15/23 5,685 5,603
7 CCO Safari II LLC 4.908% 7/23/25 20,000 20,358
  Comcast Cable Communications Holdings        
  Inc. 9.455% 11/15/22 9,966 13,828
  Comcast Corp. 3.125% 7/15/22 20,126 20,689
  Comcast Corp. 2.850% 1/15/23 4,000 4,006
  Comcast Corp. 3.600% 3/1/24 38,000 39,822
  Comcast Corp. 3.375% 2/15/25 16,000 16,306
  Comcast Corp. 3.375% 8/15/25 29,000 29,506
10 Deutsche Telekom International Finance BV 6.500% 4/8/22 10,000 18,686
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 5.200% 3/15/20 7,500 8,238

 

 

DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 9,375 10,042
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 10,637 11,628
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.800% 3/15/22 13,800 14,124
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.450% 4/1/24 11,568 11,923
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.950% 1/15/25 5,000 4,971
Interpublic Group of Cos. Inc. 3.750% 2/15/23 6,000 5,896
7 McGraw Hill Financial Inc. 3.300% 8/14/20 6,710 6,824
7 McGraw Hill Financial Inc. 4.000% 6/15/25 5,365 5,341
Moody's Corp. 4.500% 9/1/22 16,700 17,689
NBCUniversal Media LLC 5.150% 4/30/20 15,560 17,563
NBCUniversal Media LLC 4.375% 4/1/21 28,710 31,543
NBCUniversal Media LLC 2.875% 1/15/23 20,000 20,076
Omnicom Group Inc. 4.450% 8/15/20 10,427 11,197
Omnicom Group Inc. 3.650% 11/1/24 6,000 5,956
Orange SA 2.750% 2/6/19 6,200 6,353
Orange SA 4.125% 9/14/21 6,400 6,886
Qwest Corp. 6.750% 12/1/21 12,628 13,563
Rogers Communications Inc. 4.100% 10/1/23 3,000 3,143
7 SBA Tower Trust 3.156% 10/15/20 6,620 6,617
Telefonica Emisiones SAU 5.877% 7/15/19 9,000 10,041
Thomson Reuters Corp. 4.300% 11/23/23 12,000 12,459
Time Warner Cable Inc. 6.750% 7/1/18 5,000 5,546
Time Warner Cable Inc. 8.250% 4/1/19 4,500 5,241
Time Warner Entertainment Co. LP 8.375% 3/15/23 4,000 4,978
Time Warner Inc. 4.750% 3/29/21 4,500 4,912
Time Warner Inc. 4.000% 1/15/22 5,000 5,244
Verizon Communications Inc. 6.350% 4/1/19 8,806 10,038
Verizon Communications Inc. 4.500% 9/15/20 17,000 18,444
Verizon Communications Inc. 3.450% 3/15/21 9,000 9,281
Verizon Communications Inc. 4.600% 4/1/21 18,000 19,589
Verizon Communications Inc. 3.000% 11/1/21 7,000 7,055
Verizon Communications Inc. 3.500% 11/1/21 15,971 16,550
Verizon Communications Inc. 2.450% 11/1/22 14,027 13,496
Verizon Communications Inc. 5.150% 9/15/23 28,000 31,241
Verizon Communications Inc. 4.150% 3/15/24 6,000 6,269
Viacom Inc. 3.125% 6/15/22 4,365 4,035
Vodafone Group plc 1.500% 2/19/18 3,750 3,740
Vodafone Group plc 4.375% 3/16/21 4,500 4,847
Vodafone Group plc 2.950% 2/19/23 9,904 9,491
Walt Disney Co. 3.150% 9/17/25 14,250 14,633
WPP Finance 2010 4.750% 11/21/21 5,000 5,439
 
Consumer Cyclical (4.9%)        
7 Alibaba Group Holding Ltd. 2.500% 11/28/19 5,130 5,047
7 Alibaba Group Holding Ltd. 3.125% 11/28/21 30,375 29,863
7 Alibaba Group Holding Ltd. 3.600% 11/28/24 42,923 41,482
Amazon.com Inc. 3.300% 12/5/21 1,000 1,039
American Honda Finance Corp. 2.450% 9/24/20 5,380 5,412
Automatic Data Processing Inc. 2.250% 9/15/20 3,305 3,343
Automatic Data Processing Inc. 3.375% 9/15/25 14,470 14,898
AutoNation Inc. 3.350% 1/15/21 1,905 1,928
AutoNation Inc. 4.500% 10/1/25 7,000 7,159
AutoZone Inc. 3.700% 4/15/22 15,915 16,426

 

 

AutoZone Inc. 2.875% 1/15/23 8,500 8,288
Block Financial LLC 4.125% 10/1/20 5,000 5,075
Block Financial LLC 5.250% 10/1/25 10,000 10,196
Brinker International Inc. 3.875% 5/15/23 7,000 6,790
Costco Wholesale Corp. 2.250% 2/15/22 6,880 6,790
Cummins Inc. 3.650% 10/1/23 7,500 7,800
CVS Health Corp. 2.800% 7/20/20 50,170 50,996
CVS Health Corp. 2.750% 12/1/22 6,156 6,049
CVS Health Corp. 3.875% 7/20/25 15,000 15,402
7 Daimler Finance North America LLC 2.250% 3/2/20 5,130 5,078
7 Daimler Finance North America LLC 2.450% 5/18/20 5,290 5,265
7 Daimler Finance North America LLC 2.875% 3/10/21 11,605 11,557
7 Daimler Finance North America LLC 3.875% 9/15/21 3,506 3,615
7 Daimler Finance North America LLC 3.250% 8/1/24 6,500 6,332
Dollar General Corp. 3.250% 4/15/23 4,500 4,302
eBay Inc. 2.875% 8/1/21 5,585 5,445
Expedia Inc. 4.500% 8/15/24 7,000 6,982
Ford Motor Credit Co. LLC 8.125% 1/15/20 5,500 6,587
Ford Motor Credit Co. LLC 3.157% 8/4/20 5,350 5,406
Ford Motor Credit Co. LLC 5.750% 2/1/21 19,545 22,083
Ford Motor Credit Co. LLC 5.875% 8/2/21 18,000 20,437
Ford Motor Credit Co. LLC 3.219% 1/9/22 5,000 4,983
Ford Motor Credit Co. LLC 3.664% 9/8/24 7,000 6,931
Gap Inc. 5.950% 4/12/21 5,000 5,315
General Motors Co. 4.875% 10/2/23 6,000 6,330
General Motors Financial Co. Inc. 3.500% 7/10/19 8,655 8,774
General Motors Financial Co. Inc. 4.375% 9/25/21 20,000 20,750
General Motors Financial Co. Inc. 3.450% 4/10/22 5,000 4,894
General Motors Financial Co. Inc. 4.250% 5/15/23 10,000 10,150
General Motors Financial Co. Inc. 4.000% 1/15/25 4,000 3,930
General Motors Financial Co. Inc. 4.300% 7/13/25 3,000 3,015
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 3,945 3,903
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 12,380 13,914
Harley-Davidson Inc. 3.500% 7/28/25 12,000 12,083
Harman International Industries Inc. 4.150% 5/15/25 10,000 9,810
Home Depot Inc. 4.400% 4/1/21 6,895 7,613
Home Depot Inc. 2.625% 6/1/22 12,960 13,020
Home Depot Inc. 2.700% 4/1/23 14,625 14,512
Home Depot Inc. 3.750% 2/15/24 10,000 10,663
Home Depot Inc. 3.350% 9/15/25 4,990 5,106
Kohl's Corp. 3.250% 2/1/23 5,970 5,747
Kohl's Corp. 4.250% 7/17/25 3,000 2,982
L Brands Inc. 6.625% 4/1/21 3,628 4,118
L Brands Inc. 5.625% 10/15/23 5,000 5,462
Lowe's Cos. Inc. 3.750% 4/15/21 24,150 25,720
Lowe's Cos. Inc. 3.800% 11/15/21 6,650 7,048
Lowe's Cos. Inc. 3.120% 4/15/22 15,000 15,330
Lowe's Cos. Inc. 3.875% 9/15/23 22,795 24,108
Lowe's Cos. Inc. 3.375% 9/15/25 11,130 11,250
Macy's Retail Holdings Inc. 2.875% 2/15/23 7,500 6,982
Marriott International Inc. 3.000% 3/1/19 2,500 2,550
Marriott International Inc. 3.250% 9/15/22 3,500 3,465
MasterCard Inc. 2.000% 4/1/19 1,250 1,260
MasterCard Inc. 3.375% 4/1/24 16,000 16,412
McDonald's Corp. 3.625% 5/20/21 4,500 4,725
McDonald's Corp. 2.625% 1/15/22 9,000 8,868
NVR Inc. 3.950% 9/15/22 10,000 10,207
O'Reilly Automotive Inc. 4.875% 1/14/21 5,320 5,794

 

 

  O'Reilly Automotive Inc. 4.625% 9/15/21 7,000 7,507
  O'Reilly Automotive Inc. 3.800% 9/1/22 4,000 4,078
  PACCAR Financial Corp. 2.500% 8/14/20 755 758
11 Priceline Group Inc. 1.800% 3/3/27 8,000 7,953
  QVC Inc. 3.125% 4/1/19 2,000 1,984
  QVC Inc. 4.850% 4/1/24 5,000 4,877
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 1,600 1,646
  Staples Inc. 2.750% 1/12/18 5,150 5,146
  Starbucks Corp. 2.700% 6/15/22 9,745 9,877
  Starbucks Corp. 3.850% 10/1/23 12,000 12,795
  Target Corp. 2.900% 1/15/22 9,800 10,009
  Target Corp. 3.500% 7/1/24 11,985 12,480
  TJX Cos. Inc. 6.950% 4/15/19 15,663 18,144
  TJX Cos. Inc. 2.750% 6/15/21 6,000 6,075
  TJX Cos. Inc. 2.500% 5/15/23 16,900 16,495
  Toyota Motor Credit Corp. 4.500% 6/17/20 9,000 9,938
  Toyota Motor Credit Corp. 4.250% 1/11/21 5,155 5,607
  Toyota Motor Credit Corp. 3.400% 9/15/21 24,460 25,572
  Toyota Motor Credit Corp. 3.300% 1/12/22 16,000 16,594
  VF Corp. 3.500% 9/1/21 5,505 5,805
10 Volkswagen Financial Services NV 2.375% 11/13/18 1,368 2,053
7 Volkswagen Group of America Finance LLC 1.250% 5/23/17 1,335 1,301
7 Volkswagen Group of America Finance LLC 1.600% 11/20/17 2,395 2,332
7 Volkswagen Group of America Finance LLC 1.650% 5/22/18 1,335 1,286
7 Volkswagen Group of America Finance LLC 2.125% 5/23/19 2,710 2,579
  Wal-Mart Stores Inc. 3.250% 10/25/20 21,195 22,467
  Wal-Mart Stores Inc. 4.250% 4/15/21 13,619 15,106
  Wal-Mart Stores Inc. 2.550% 4/11/23 68,021 67,629
  Wal-Mart Stores Inc. 3.300% 4/22/24 17,930 18,594
  Walgreens Boots Alliance Inc. 3.300% 11/18/21 15,000 15,035
7 Wesfarmers Ltd. 1.874% 3/20/18 6,000 6,000
  Wyndham Worldwide Corp. 4.250% 3/1/22 4,000 4,001
  Wyndham Worldwide Corp. 3.900% 3/1/23 2,000 1,926
 
  Consumer Noncyclical (9.5%)        
  Abbott Laboratories 2.550% 3/15/22 9,000 9,002
  AbbVie Inc. 2.900% 11/6/22 10,000 9,681
  AbbVie Inc. 3.600% 5/14/25 35,800 35,132
  Actavis Funding SCS 3.450% 3/15/22 21,500 21,371
  Actavis Funding SCS 3.850% 6/15/24 15,000 14,950
  Actavis Inc. 3.250% 10/1/22 30,191 29,666
  Agilent Technologies Inc. 5.000% 7/15/20 2,000 2,150
  Agilent Technologies Inc. 3.200% 10/1/22 10,000 9,820
  Agilent Technologies Inc. 3.875% 7/15/23 7,500 7,465
  Allergan Inc. 2.800% 3/15/23 5,000 4,610
  Altria Group Inc. 9.250% 8/6/19 8,014 9,909
  Altria Group Inc. 2.850% 8/9/22 29,650 29,208
  AmerisourceBergen Corp. 4.875% 11/15/19 6,270 6,856
  AmerisourceBergen Corp. 3.400% 5/15/24 8,000 7,897
  AmerisourceBergen Corp. 3.250% 3/1/25 10,000 9,697
  Amgen Inc. 3.625% 5/15/22 12,000 12,337
  Amgen Inc. 3.625% 5/22/24 9,000 9,152
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 80 87
  Anheuser-Busch Cos. LLC 5.000% 3/1/19 3,145 3,417
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 12,382 11,738
  Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 8,500 8,617
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 5,570 6,491
  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,514 9,899

 

 

  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 7,210 8,007
  Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,286 13,529
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 36,346 34,683
7 BAT International Finance plc 9.500% 11/15/18 4,000 4,850
7 Baxalta Inc. 3.600% 6/23/22 7,000 7,071
7 Baxalta Inc. 4.000% 6/23/25 10,000 10,019
  Baxter International Inc. 5.375% 6/1/18 2,000 2,176
  Baxter International Inc. 4.500% 8/15/19 2,000 2,148
  Baxter International Inc. 4.250% 3/15/20 3,000 3,203
7 Bayer US Finance LLC 3.000% 10/8/21 7,000 7,130
  Becton Dickinson & Co. 5.000% 5/15/19 4,700 5,120
  Becton Dickinson & Co. 3.250% 11/12/20 7,000 7,144
  Biogen Inc. 3.625% 9/15/22 10,000 10,188
  Biogen Inc. 4.050% 9/15/25 15,000 15,175
  Boston Scientific Corp. 6.000% 1/15/20 6,500 7,286
  Boston Scientific Corp. 4.125% 10/1/23 2,000 2,036
  Boston Scientific Corp. 3.850% 5/15/25 6,500 6,466
  Bottling Group LLC 5.125% 1/15/19 2,275 2,514
  Bristol-Myers Squibb Co. 2.000% 8/1/22 15,200 14,799
  Cardinal Health Inc. 3.500% 11/15/24 7,000 6,997
7 Cargill Inc. 4.307% 5/14/21 9,843 10,620
7 Cargill Inc. 3.250% 11/15/21 2,515 2,575
11 Cargill Inc. 2.500% 2/15/23 14,141 16,440
  Catholic Health Initiatives Colorado GO 2.950% 11/1/22 1,500 1,480
  Catholic Health Initiatives Colorado GO 4.200% 8/1/23 2,000 2,106
  Celgene Corp. 3.250% 8/15/22 12,000 11,967
  Celgene Corp. 3.875% 8/15/25 12,000 12,008
  Clorox Co. 3.800% 11/15/21 5,000 5,285
  Clorox Co. 3.050% 9/15/22 1,400 1,393
  Coca-Cola Co. 3.150% 11/15/20 2,950 3,095
  Coca-Cola Co. 3.300% 9/1/21 10,245 10,768
  Coca-Cola Co. 3.200% 11/1/23 28,420 29,486
  Coca-Cola Co. 2.875% 10/27/25 22,000 21,735
11 Coca-Cola Co. 1.125% 3/9/27 10,000 10,298
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 3,095 3,123
  Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,404
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 12,500 12,830
  Colgate-Palmolive Co. 2.300% 5/3/22 8,000 7,916
  Colgate-Palmolive Co. 1.950% 2/1/23 2,079 1,996
  Colgate-Palmolive Co. 2.100% 5/1/23 7,000 6,802
  Colgate-Palmolive Co. 3.250% 3/15/24 11,375 11,801
  ConAgra Foods Inc. 7.000% 4/15/19 2,502 2,856
  ConAgra Foods Inc. 3.250% 9/15/22 8,450 8,208
  ConAgra Foods Inc. 3.200% 1/25/23 16,555 15,775
  Constellation Brands Inc. 3.750% 5/1/21 4,250 4,346
  Constellation Brands Inc. 4.750% 11/15/24 5,000 5,238
  Covidien International Finance SA 4.200% 6/15/20 7,735 8,376
  Covidien International Finance SA 3.200% 6/15/22 13,500 13,575
  Covidien International Finance SA 2.950% 6/15/23 27,330 27,024
  DENTSPLY International Inc. 4.125% 8/15/21 1,900 1,966
  Diageo Capital plc 4.828% 7/15/20 5,689 6,279
  Diageo Capital plc 2.625% 4/29/23 10,300 9,978
  Diageo Investment Corp. 2.875% 5/11/22 11,000 10,948
  DIGNITY HEALTH CALIFORNIA GO 3.812% 11/1/24 1,000 1,026
  Dr Pepper Snapple Group Inc. 3.400% 11/15/25 10,000 9,962
  Estee Lauder Cos. Inc. 2.350% 8/15/22 5,000 4,878
  Express Scripts Holding Co. 7.250% 6/15/19 3,000 3,469
  Express Scripts Holding Co. 4.750% 11/15/21 7,625 8,257

 

 

  Flowers Foods Inc. 4.375% 4/1/22 2,000 2,093
  Genzyme Corp. 5.000% 6/15/20 15,349 17,148
  Gilead Sciences Inc. 3.250% 9/1/22 10,420 10,557
  Gilead Sciences Inc. 3.700% 4/1/24 42,655 44,006
  Gilead Sciences Inc. 3.500% 2/1/25 62,774 63,586
  Gilead Sciences Inc. 3.650% 3/1/26 6,950 7,018
  GlaxoSmithKline Capital Inc. 2.800% 3/18/23 11,570 11,550
  GlaxoSmithKline Capital plc 2.850% 5/8/22 16,050 16,197
7 Grupo Bimbo SAB de CV 3.875% 6/27/24 12,000 11,851
  Hershey Co. 4.125% 12/1/20 4,125 4,468
  Hershey Co. 2.625% 5/1/23 20,450 20,175
  Hershey Co. 3.200% 8/21/25 6,985 7,076
  Hormel Foods Corp. 4.125% 4/15/21 625 689
  JM Smucker Co. 2.500% 3/15/20 1,575 1,575
  JM Smucker Co. 3.000% 3/15/22 10,000 10,014
  JM Smucker Co. 3.500% 3/15/25 13,000 13,045
  Kimberly-Clark Corp. 7.500% 11/1/18 10,000 11,705
  Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,517
  Kimberly-Clark Corp. 3.050% 8/15/25 8,000 8,016
  Koninklijke Philips NV 3.750% 3/15/22 5,000 5,112
  Kraft Foods Group Inc. 6.125% 8/23/18 6,000 6,666
  Kraft Foods Group Inc. 3.500% 6/6/22 6,000 6,125
  Kroger Co. 2.200% 1/15/17 2,920 2,945
  Kroger Co. 3.300% 1/15/21 5,500 5,649
  Kroger Co. 2.950% 11/1/21 3,000 2,995
  Kroger Co. 3.400% 4/15/22 3,000 3,062
  Kroger Co. 3.850% 8/1/23 5,000 5,181
  Laboratory Corp. of America Holdings 3.600% 2/1/25 2,000 1,947
  McKesson Corp. 7.500% 2/15/19 6,100 7,076
  McKesson Corp. 2.850% 3/15/23 5,000 4,865
  Mead Johnson Nutrition Co. 4.125% 11/15/25 10,000 10,122
  Medtronic Inc. 2.500% 3/15/20 17,700 17,921
  Medtronic Inc. 4.450% 3/15/20 10,000 10,928
  Medtronic Inc. 3.125% 3/15/22 7,000 7,175
  Medtronic Inc. 3.150% 3/15/22 36,853 37,728
  Medtronic Inc. 2.750% 4/1/23 20,000 19,754
  Medtronic Inc. 3.625% 3/15/24 10,000 10,402
  Medtronic Inc. 3.500% 3/15/25 75,300 76,833
  Merck & Co. Inc. 2.350% 2/10/22 3,804 3,759
  Merck & Co. Inc. 2.400% 9/15/22 23,080 22,783
  Merck & Co. Inc. 2.800% 5/18/23 42,254 42,524
  Merck & Co. Inc. 2.750% 2/10/25 33,560 32,843
  Mondelez International Inc. 2.250% 2/1/19 5,000 5,021
11 Mondelez International Inc. 1.000% 3/7/22 4,275 4,591
  Mondelez International Inc. 4.000% 2/1/24 8,000 8,315
11 Mondelez International Inc. 1.625% 3/8/27 13,000 13,179
7 Mylan Inc. 3.125% 1/15/23 16,325 15,248
  Newell Rubbermaid Inc. 4.000% 12/1/24 4,500 4,508
  Newell Rubbermaid Inc. 3.900% 11/1/25 4,000 3,972
  Novartis Capital Corp. 4.400% 4/24/20 5,000 5,552
  Novartis Capital Corp. 2.400% 9/21/22 29,555 29,432
  Novartis Capital Corp. 3.400% 5/6/24 17,000 17,720
  PepsiCo Inc. 4.500% 1/15/20 13,800 15,172
  PepsiCo Inc. 3.000% 8/25/21 17,990 18,584
  PepsiCo Inc. 2.750% 3/5/22 13,860 13,992
  PepsiCo Inc. 3.100% 7/17/22 21,550 22,134
  PepsiCo Inc. 2.750% 3/1/23 9,000 8,961
  PepsiCo Inc. 3.600% 3/1/24 43,040 44,942

 

 

PepsiCo Inc. 2.750% 4/30/25 20,000 19,451
PepsiCo Inc. 3.500% 7/17/25 19,900 20,569
PerkinElmer Inc. 5.000% 11/15/21 8,000 8,550
7 Pernod Ricard SA 5.750% 4/7/21 2,250 2,503
7 Pernod Ricard SA 4.450% 1/15/22 10,000 10,453
7 Pernod Ricard SA 4.250% 7/15/22 5,000 5,178
Perrigo Finance plc 3.900% 12/15/24 10,000 9,623
Pfizer Inc. 3.000% 6/15/23 10,000 10,077
Pfizer Inc. 3.400% 5/15/24 11,737 11,941
Pharmacia Corp. 6.500% 12/1/18 6,045 6,915
Philip Morris International Inc. 2.900% 11/15/21 6,000 6,097
Philip Morris International Inc. 2.500% 8/22/22 8,425 8,308
Philip Morris International Inc. 2.625% 3/6/23 2,000 1,958
Philip Morris International Inc. 3.600% 11/15/23 5,000 5,236
Philip Morris International Inc. 3.250% 11/10/24 16,000 16,218
Philip Morris International Inc. 3.375% 8/11/25 10,000 10,217
Procter & Gamble Co. 3.100% 8/15/23 13,000 13,422
Quest Diagnostics Inc. 4.750% 1/30/20 1,000 1,069
Quest Diagnostics Inc. 4.700% 4/1/21 4,000 4,311
Quest Diagnostics Inc. 4.250% 4/1/24 2,000 2,050
7 Reynolds American Inc. 6.875% 5/1/20 8,304 9,557
Reynolds American Inc. 4.000% 6/12/22 5,000 5,228
Reynolds American Inc. 3.250% 11/1/22 5,011 4,978
Reynolds American Inc. 4.450% 6/12/25 20,000 20,913
7 Roche Holdings Inc. 3.350% 9/30/24 12,000 12,396
St. Jude Medical Inc. 3.250% 4/15/23 9,138 8,957
St. Jude Medical Inc. 3.875% 9/15/25 7,000 7,103
Stryker Corp. 4.375% 1/15/20 4,000 4,339
Stryker Corp. 3.375% 11/1/25 10,000 9,983
Sysco Corp. 3.750% 10/1/25 8,000 8,122
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22 7,521 7,073
Thermo Fisher Scientific Inc. 2.250% 8/15/16 2,840 2,862
Thermo Fisher Scientific Inc. 4.700% 5/1/20 4,400 4,770
Thermo Fisher Scientific Inc. 4.500% 3/1/21 4,100 4,418
Tyson Foods Inc. 4.500% 6/15/22 12,470 13,294
Tyson Foods Inc. 3.950% 8/15/24 23,150 23,622
Unilever Capital Corp. 4.800% 2/15/19 1,920 2,110
Unilever Capital Corp. 3.100% 7/30/25 12,000 12,155
Wyeth LLC 6.450% 2/1/24 4,752 5,845
Zoetis Inc. 3.250% 2/1/23 5,000 4,783
 
Energy (7.2%)        
Anadarko Petroleum Corp. 3.450% 7/15/24 13,000 12,697
Baker Hughes Inc. 7.500% 11/15/18 4,845 5,580
BP Capital Markets plc 1.375% 5/10/18 2,000 2,002
BP Capital Markets plc 4.750% 3/10/19 8,350 9,051
BP Capital Markets plc 2.521% 1/15/20 5,000 5,058
BP Capital Markets plc 4.500% 10/1/20 20,500 22,484
BP Capital Markets plc 4.742% 3/11/21 8,748 9,676
BP Capital Markets plc 3.561% 11/1/21 31,470 32,787
BP Capital Markets plc 3.062% 3/17/22 8,970 8,993
BP Capital Markets plc 3.245% 5/6/22 35,000 35,512
BP Capital Markets plc 2.500% 11/6/22 16,352 15,763
BP Capital Markets plc 2.750% 5/10/23 34,560 33,583
BP Capital Markets plc 3.994% 9/26/23 5,000 5,244
BP Capital Markets plc 3.814% 2/10/24 35,410 36,468
BP Capital Markets plc 3.535% 11/4/24 8,970 9,073
BP Capital Markets plc 3.506% 3/17/25 12,000 12,076

 

 

Cameron International Corp. 3.600% 4/30/22 1,335 1,351
Cameron International Corp. 4.000% 12/15/23 5,000 5,141
Cameron International Corp. 3.700% 6/15/24 3,000 2,999
Cenovus Energy Inc. 3.800% 9/15/23 10,225 9,738
CenterPoint Energy Resources Corp. 4.500% 1/15/21 3,000 3,186
Chevron Corp. 4.950% 3/3/19 3,347 3,719
Chevron Corp. 2.193% 11/15/19 2,000 2,021
Chevron Corp. 1.961% 3/3/20 9,220 9,214
Chevron Corp. 2.411% 3/3/22 8,315 8,235
Chevron Corp. 2.355% 12/5/22 52,115 50,844
Chevron Corp. 3.191% 6/24/23 23,933 24,463
ConocoPhillips 6.000% 1/15/20 5,000 5,734
ConocoPhillips Co. 2.875% 11/15/21 12,000 12,018
ConocoPhillips Co. 2.400% 12/15/22 10,000 9,559
ConocoPhillips Co. 3.350% 11/15/24 23,184 22,906
Continental Resources Inc. 5.000% 9/15/22 14,000 12,565
Continental Resources Inc. 3.800% 6/1/24 5,000 4,186
Devon Energy Corp. 6.300% 1/15/19 5,000 5,584
Diamond Offshore Drilling Inc. 5.875% 5/1/19 5,000 5,085
Diamond Offshore Drilling Inc. 3.450% 11/1/23 6,000 5,304
Dominion Gas Holdings LLC 3.600% 12/15/24 25,000 24,701
Enbridge Energy Partners LP 6.500% 4/15/18 1,750 1,876
Enbridge Energy Partners LP 5.200% 3/15/20 2,500 2,607
Enbridge Energy Partners LP 4.200% 9/15/21 6,150 6,019
Enbridge Energy Partners LP 5.875% 10/15/25 10,000 10,081
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,110 1,010
Enbridge Inc. 3.500% 6/10/24 3,000 2,651
Energy Transfer Partners LP 9.700% 3/15/19 4,432 5,247
Energy Transfer Partners LP 9.000% 4/15/19 2,334 2,728
Energy Transfer Partners LP 4.650% 6/1/21 7,850 7,790
Energy Transfer Partners LP 5.200% 2/1/22 22,908 22,851
Energy Transfer Partners LP 3.600% 2/1/23 11,439 10,119
Energy Transfer Partners LP 4.900% 2/1/24 3,042 2,873
Energy Transfer Partners LP 4.050% 3/15/25 1,000 878
Ensco plc 4.700% 3/15/21 14,300 12,868
Ensco plc 5.200% 3/15/25 6,000 5,013
Enterprise Products Operating LLC 5.200% 9/1/20 2,174 2,392
Enterprise Products Operating LLC 4.050% 2/15/22 5,000 5,104
Enterprise Products Operating LLC 3.350% 3/15/23 10,500 10,142
Enterprise Products Operating LLC 3.750% 2/15/25 15,923 15,346
4 Enterprise Products Operating LLC 8.375% 8/1/66 1,500 1,474
EOG Resources Inc. 5.625% 6/1/19 10,250 11,459
EOG Resources Inc. 2.450% 4/1/20 5,950 5,993
EOG Resources Inc. 4.400% 6/1/20 12,000 13,035
EOG Resources Inc. 4.100% 2/1/21 11,000 11,782
EOG Resources Inc. 2.625% 3/15/23 18,885 18,450
EOG Resources Inc. 3.150% 4/1/25 10,630 10,548
EQT Corp. 8.125% 6/1/19 5,500 6,380
EQT Corp. 4.875% 11/15/21 4,000 4,024
Exxon Mobil Corp. 2.397% 3/6/22 8,825 8,809
Exxon Mobil Corp. 2.709% 3/6/25 21,100 20,865
Halliburton Co. 6.150% 9/15/19 4,631 5,252
Halliburton Co. 3.250% 11/15/21 10,800 11,015
Halliburton Co. 3.500% 8/1/23 5,000 4,995
Hess Corp. 8.125% 2/15/19 5,075 5,892
Kinder Morgan Energy Partners LP 2.650% 2/1/19 2,100 2,053
Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,410 6,250
Kinder Morgan Energy Partners LP 6.850% 2/15/20 8,227 9,104

 

 

Kinder Morgan Energy Partners LP 5.800% 3/1/21 5,000 5,240
Kinder Morgan Energy Partners LP 4.150% 3/1/22 1,240 1,182
Kinder Morgan Energy Partners LP 4.250% 9/1/24 5,000 4,472
Kinder Morgan Inc. 4.300% 6/1/25 2,600 2,355
Marathon Oil Corp. 3.850% 6/1/25 18,000 16,178
Nabors Industries Inc. 5.000% 9/15/20 3,319 3,177
National Oilwell Varco Inc. 2.600% 12/1/22 24,000 22,304
Noble Energy Inc. 8.250% 3/1/19 6,000 6,988
Noble Energy Inc. 3.900% 11/15/24 1,000 952
Occidental Petroleum Corp. 4.100% 2/1/21 10,032 10,751
Occidental Petroleum Corp. 3.125% 2/15/22 19,080 19,025
Occidental Petroleum Corp. 2.700% 2/15/23 32,604 31,809
Occidental Petroleum Corp. 3.500% 6/15/25 11,175 11,306
ONEOK Partners LP 8.625% 3/1/19 2,000 2,298
ONEOK Partners LP 3.375% 10/1/22 12,083 10,696
Petro-Canada 6.050% 5/15/18 4,000 4,409
Phillips 66 2.950% 5/1/17 4,000 4,090
Phillips 66 4.300% 4/1/22 9,000 9,534
Pioneer Natural Resources Co. 3.950% 7/15/22 3,000 2,992
Plains All American Pipeline LP / PAA        
Finance Corp. 3.650% 6/1/22 14,970 14,698
Plains All American Pipeline LP / PAA        
Finance Corp. 2.850% 1/31/23 1,902 1,743
Plains All American Pipeline LP / PAA        
Finance Corp. 3.600% 11/1/24 9,542 8,956
Pride International Inc. 6.875% 8/15/20 12,178 11,962
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.000% 10/1/22 7,410 7,262
Rowan Cos. Inc. 4.875% 6/1/22 8,000 6,424
7 Schlumberger Investment SA 3.300% 9/14/21 20,900 21,433
Schlumberger Investment SA 3.650% 12/1/23 32,500 33,660
Shell International Finance BV 4.300% 9/22/19 16,000 17,328
Shell International Finance BV 4.375% 3/25/20 14,035 15,340
Shell International Finance BV 2.375% 8/21/22 29,609 28,860
Shell International Finance BV 2.250% 1/6/23 10,500 10,064
Shell International Finance BV 3.400% 8/12/23 5,000 5,139
Shell International Finance BV 3.250% 5/11/25 38,000 37,951
Southwestern Energy Co. 7.500% 2/1/18 5,000 5,325
Southwestern Energy Co. 4.050% 1/23/20 5,000 4,827
Southwestern Energy Co. 4.100% 3/15/22 7,000 5,979
Southwestern Energy Co. 4.950% 1/23/25 10,000 8,725
Spectra Energy Partners LP 4.600% 6/15/21 2,900 3,030
Spectra Energy Partners LP 4.750% 3/15/24 14,215 14,624
Spectra Energy Partners LP 3.500% 3/15/25 12,000 11,138
Suncor Energy Inc. 3.600% 12/1/24 6,745 6,732
Talisman Energy Inc. 7.750% 6/1/19 3,000 3,308
Talisman Energy Inc. 3.750% 2/1/21 3,300 3,018
Total Capital Canada Ltd. 1.450% 1/15/18 7,700 7,725
Total Capital Canada Ltd. 2.750% 7/15/23 19,420 19,041
Total Capital International SA 2.750% 6/19/21 7,000 7,081
8 Total Capital International SA 4.250% 11/26/21 9,816 7,257
Total Capital International SA 2.875% 2/17/22 31,378 31,499
Total Capital International SA 2.700% 1/25/23 23,160 22,629
Total Capital International SA 3.700% 1/15/24 10,000 10,339
Total Capital International SA 3.750% 4/10/24 25,000 25,961
Total Capital SA 4.450% 6/24/20 20,212 22,183
Total Capital SA 4.125% 1/28/21 12,525 13,597
TransCanada PipeLines Ltd. 3.800% 10/1/20 4,292 4,553

 

 

  TransCanada PipeLines Ltd. 2.500% 8/1/22 530 501
  TransCanada PipeLines Ltd. 3.750% 10/16/23 18,315 18,320
  Transocean Inc. 6.875% 12/15/21 5,000 3,925
  Valero Energy Corp. 9.375% 3/15/19 4,200 5,093
  Weatherford International Ltd. 9.625% 3/1/19 3,750 3,909
  Weatherford International Ltd. 5.125% 9/15/20 3,647 3,123
  Weatherford International Ltd. 4.500% 4/15/22 2,000 1,565
  Williams Cos. Inc. 4.550% 6/24/24 7,000 5,855
  Williams Partners LP 3.600% 3/15/22 9,000 8,142
  Williams Partners LP 4.500% 11/15/23 8,100 7,532
  Williams Partners LP 3.900% 1/15/25 4,000 3,401
  Williams Partners LP / ACMP Finance Corp. 4.875% 5/15/23 5,000 4,525
  Williams Partners LP / ACMP Finance Corp. 4.875% 3/15/24 9,000 8,100
7 Woodside Finance Ltd. 3.650% 3/5/25 15,000 13,654
 
  Other Industrial (0.3%)        
  CBRE Services Inc. 4.875% 3/1/26 10,000 10,000
  Fluor Corp. 3.500% 12/15/24 31,375 31,752
7 Hutchison Whampoa International 11 Ltd. 4.625% 1/13/22 19,240 20,818
7 Hutchison Whampoa International 14 Ltd. 3.625% 10/31/24 5,000 5,041
 
  Technology (6.4%)        
  Adobe Systems Inc. 3.250% 2/1/25 4,000 3,954
  Altera Corp. 2.500% 11/15/18 10,000 10,147
  Altera Corp. 4.100% 11/15/23 4,623 4,840
  Apple Inc. 2.000% 5/6/20 9,585 9,619
  Apple Inc. 2.850% 5/6/21 37,125 38,142
  Apple Inc. 2.150% 2/9/22 19,000 18,719
  Apple Inc. 2.700% 5/13/22 19,350 19,528
8 Apple Inc. 3.700% 8/28/22 10,000 7,233
11 Apple Inc. 1.000% 11/10/22 2,500 2,759
  Apple Inc. 2.400% 5/3/23 116,325 113,772
  Apple Inc. 3.450% 5/6/24 64,000 66,510
  Apple Inc. 2.500% 2/9/25 23,500 22,582
  Apple Inc. 3.200% 5/13/25 24,675 24,927
11 Apple Inc. 1.625% 11/10/26 2,500 2,751
  Applied Materials Inc. 2.625% 10/1/20 4,165 4,195
  Applied Materials Inc. 4.300% 6/15/21 10,615 11,387
  Applied Materials Inc. 3.900% 10/1/25 26,975 27,027
  Autodesk Inc. 3.125% 6/15/20 5,000 5,019
  Autodesk Inc. 4.375% 6/15/25 10,000 10,022
  Baidu Inc. 3.250% 8/6/18 10,100 10,304
  Baidu Inc. 3.500% 11/28/22 13,000 12,914
  Broadcom Corp. 2.500% 8/15/22 9,000 8,787
  Broadcom Corp. 3.500% 8/1/24 6,485 6,443
  CA Inc. 3.600% 8/1/20 4,015 4,070
  Cisco Systems Inc. 4.950% 2/15/19 1,985 2,186
  Cisco Systems Inc. 2.125% 3/1/19 14,049 14,238
  Cisco Systems Inc. 2.450% 6/15/20 15,247 15,502
  Corning Inc. 4.250% 8/15/20 9,000 9,753
  EMC Corp. 3.375% 6/1/23 15,500 13,055
  Fidelity National Information Services Inc. 3.625% 10/15/20 4,000 4,072
  Fidelity National Information Services Inc. 4.500% 10/15/22 8,000 8,164
  Fidelity National Information Services Inc. 3.500% 4/15/23 7,705 7,341
  Fidelity National Information Services Inc. 5.000% 10/15/25 8,000 8,249
  Fiserv Inc. 2.700% 6/1/20 5,350 5,355
  Fiserv Inc. 3.500% 10/1/22 8,000 8,085
  Fiserv Inc. 3.850% 6/1/25 3,000 3,015

 

 

7 Hewlett Packard Enterprise Co. 3.600% 10/15/20 5,000 5,023
7 Hewlett Packard Enterprise Co. 4.400% 10/15/22 10,000 10,054
7 Hewlett Packard Enterprise Co. 4.900% 10/15/25 28,500 28,155
  HP Inc. 3.750% 12/1/20 804 820
  HP Inc. 4.300% 6/1/21 5,000 5,140
  HP Inc. 4.375% 9/15/21 4,022 4,117
  Intel Corp. 2.450% 7/29/20 5,075 5,155
  Intel Corp. 3.300% 10/1/21 34,900 36,586
  Intel Corp. 3.100% 7/29/22 11,500 11,819
  Intel Corp. 2.700% 12/15/22 28,000 28,061
  Intel Corp. 3.700% 7/29/25 47,621 49,453
  International Business Machines Corp. 1.875% 8/1/22 17,000 16,105
  International Business Machines Corp. 3.375% 8/1/23 31,000 31,527
  International Business Machines Corp. 3.625% 2/12/24 23,000 23,746
  KLA-Tencor Corp. 3.375% 11/1/19 1,285 1,305
  KLA-Tencor Corp. 4.125% 11/1/21 3,000 3,017
  KLA-Tencor Corp. 4.650% 11/1/24 5,000 5,035
  Lam Research Corp. 3.800% 3/15/25 4,000 3,751
  Microsoft Corp. 2.000% 11/3/20 3,350 3,360
  Microsoft Corp. 2.375% 2/12/22 38,500 38,498
  Microsoft Corp. 2.650% 11/3/22 14,215 14,298
  Microsoft Corp. 2.125% 11/15/22 9,000 8,746
  Microsoft Corp. 3.625% 12/15/23 19,000 20,108
  Microsoft Corp. 2.700% 2/12/25 39,250 38,660
  Microsoft Corp. 3.125% 11/3/25 33,640 34,013
  Motorola Solutions Inc. 3.750% 5/15/22 7,000 6,464
  Oracle Corp. 2.375% 1/15/19 3,250 3,315
  Oracle Corp. 3.875% 7/15/20 13,000 14,004
  Oracle Corp. 2.800% 7/8/21 18,000 18,306
  Oracle Corp. 2.500% 5/15/22 30,730 30,263
  Oracle Corp. 2.500% 10/15/22 57,616 56,368
  Oracle Corp. 3.625% 7/15/23 24,000 25,014
  Oracle Corp. 3.400% 7/8/24 43,500 44,300
  Oracle Corp. 2.950% 5/15/25 40,000 39,133
  Pitney Bowes Inc. 4.625% 3/15/24 5,000 4,993
  QUALCOMM Inc. 2.250% 5/20/20 5,985 5,937
  QUALCOMM Inc. 3.000% 5/20/22 26,510 26,190
  QUALCOMM Inc. 3.450% 5/20/25 14,665 14,148
  Seagate HDD Cayman 4.750% 6/1/23 5,000 4,631
  Seagate HDD Cayman 4.750% 1/1/25 4,500 4,050
  Texas Instruments Inc. 2.250% 5/1/23 5,000 4,800
  Tyco Electronics Group SA 3.500% 2/3/22 16,710 17,138
11 Tyco Electronics Group SA 1.100% 3/1/23 7,453 7,992
  Tyco Electronics Group SA 3.450% 8/1/24 7,000 7,028
  Verisk Analytics Inc. 4.125% 9/12/22 11,264 11,431
  Verisk Analytics Inc. 4.000% 6/15/25 8,000 7,796
  Xilinx Inc. 3.000% 3/15/21 6,000 6,060
 
  Transportation (1.7%)        
4 American Airlines 2015-1 Class B Pass        
  Through Trust 3.700% 11/1/24 5,000 4,894
  Canadian Pacific Railway Co. 7.250% 5/15/19 3,375 3,925
  Canadian Pacific Railway Co. 4.450% 3/15/23 5,085 5,462
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 1,229 1,266
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 204 210

 

 

4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 979 1,099
4 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 10/1/22 1,214 1,338
4 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 5/10/21 3,739 4,244
4 Continental Airlines 2010-1 Class A Pass        
  Through Trust 4.750% 7/12/22 6,183 6,539
4 Continental Airlines 2012-1 Class A Pass        
  Through Trust 4.150% 10/11/25 7,735 7,928
4 Continental Airlines 2012-2 Class A Pass        
  Through Trust 4.000% 4/29/26 25,434 26,101
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 1,264 1,304
  CSX Corp. 7.900% 5/1/17 5,000 5,480
  CSX Corp. 7.375% 2/1/19 3,375 3,916
4 CSX Transportation Inc. 6.251% 1/15/23 3,086 3,578
4,12 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 6,011 6,853
4 Delta Air Lines 2007-1 Class A Pass        
  Through Trust 6.821% 2/10/24 1,912 2,223
4 Delta Air Lines 2009-1 Class A Pass        
  Through Trust 7.750% 6/17/21 3,623 4,085
4 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 1/2/20 6,305 6,793
4 Delta Air Lines 2012-1 Class A Pass        
  Through Trust 4.750% 11/7/21 3,127 3,284
4 Delta Air Lines 2015-1 Class A Pass        
  Through Trust 3.875% 1/30/29 9,000 9,034
7 ERAC USA Finance LLC 6.375% 10/15/17 6,370 6,925
7 ERAC USA Finance LLC 5.250% 10/1/20 3,750 4,145
7 ERAC USA Finance LLC 4.500% 8/16/21 5,000 5,355
7 ERAC USA Finance LLC 3.850% 11/15/24 3,000 3,031
10 Firstgroup plc 8.750% 4/8/21 6,000 11,473
4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 13,077 12,880
  JB Hunt Transport Services Inc. 3.300% 8/15/22 5,000 4,988
4,5,12 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.771% 5/15/18 2,465 2,431
  Kansas City Southern de Mexico SA de CV 3.000% 5/15/23 9,000 8,666
4 Southwest Airlines Co. 2007-1 Pass        
  Through Trust 6.150% 2/1/24 4,302 4,808
4 Spirit Airlines Class A Pass Through        
  Certificates Series 2015-1 4.100% 10/1/29 20,000 20,225
  Union Pacific Corp. 4.163% 7/15/22 5,255 5,728
  Union Pacific Corp. 2.950% 1/15/23 5,939 5,987
  Union Pacific Corp. 2.750% 4/15/23 20,853 20,568
  Union Pacific Corp. 3.646% 2/15/24 5,000 5,252
  Union Pacific Corp. 3.750% 3/15/24 24,925 26,401
  Union Pacific Corp. 3.250% 8/15/25 5,000 5,081
4 United Airlines 2013-1 Class A Pass        
  Through Trust 4.300% 2/15/27 5,393 5,582
4 United Airlines 2014-1 Class A Pass        
  Through Trust 4.000% 10/11/27 7,277 7,477
  United Continental Holdings Inc. 6.375% 6/1/18 2,775 2,931
  United Parcel Service Inc. 3.125% 1/15/21 7,400 7,728
  United Parcel Service Inc. 2.450% 10/1/22 55,500 54,817

 

 

          8,248,119
Utilities (5.6%)        
  Electric (5.3%)        
  Alabama Power Co. 3.375% 10/1/20 7,000 7,296
  Alabama Power Co. 3.550% 12/1/23 5,750 5,927
  Alabama Power Co. 2.800% 4/1/25 7,000 6,743
  Ameren Illinois Co. 2.700% 9/1/22 22,449 22,165
  Ameren Illinois Co. 3.250% 3/1/25 16,680 16,982
  Arizona Public Service Co. 3.350% 6/15/24 8,200 8,369
  Arizona Public Service Co. 3.150% 5/15/25 10,000 10,036
  Baltimore Gas & Electric Co. 3.500% 11/15/21 11,190 11,744
  Baltimore Gas & Electric Co. 2.800% 8/15/22 16,840 16,690
  Baltimore Gas & Electric Co. 3.350% 7/1/23 15,197 15,479
  Berkshire Hathaway Energy Co. 3.750% 11/15/23 4,100 4,248
  CMS Energy Corp. 8.750% 6/15/19 11,180 13,573
  CMS Energy Corp. 6.250% 2/1/20 3,255 3,727
  CMS Energy Corp. 3.875% 3/1/24 1,065 1,097
  Commonwealth Edison Co. 3.400% 9/1/21 5,400 5,627
  Commonwealth Edison Co. 3.100% 11/1/24 3,990 3,967
  Connecticut Light & Power Co. 2.500% 1/15/23 24,900 24,311
  Consumers Energy Co. 6.125% 3/15/19 4,150 4,720
  Consumers Energy Co. 6.700% 9/15/19 6,319 7,377
  Consumers Energy Co. 5.650% 4/15/20 10,683 12,194
  Consumers Energy Co. 2.850% 5/15/22 15,640 15,793
  Consumers Energy Co. 3.375% 8/15/23 6,144 6,352
  Consumers Energy Co. 3.125% 8/31/24 16,000 16,148
  DTE Electric Co. 3.450% 10/1/20 7,680 8,081
  DTE Electric Co. 3.900% 6/1/21 14,650 15,729
  DTE Electric Co. 2.650% 6/15/22 1,000 992
  DTE Electric Co. 3.375% 3/1/25 14,575 14,890
  Duke Energy Progress LLC 3.250% 8/15/25 9,345 9,520
7 EDP Finance BV 4.900% 10/1/19 15,910 16,553
7 EDP Finance BV 4.125% 1/15/20 17,780 17,929
7 EDP Finance BV 5.250% 1/14/21 3,020 3,169
11 Enel Finance International NV 1.966% 1/27/25 6,000 6,792
  Entergy Arkansas Inc. 3.750% 2/15/21 8,770 9,252
  Entergy Arkansas Inc. 3.050% 6/1/23 7,410 7,328
  Entergy Arkansas Inc. 3.700% 6/1/24 3,318 3,417
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 5,699 6,634
  Entergy Louisiana LLC 4.800% 5/1/21 12,780 14,006
  Entergy Louisiana LLC 3.300% 12/1/22 6,915 6,921
  Entergy Louisiana LLC 4.050% 9/1/23 5,400 5,690
  Entergy Louisiana LLC 5.400% 11/1/24 3,562 4,120
  Entergy Louisiana LLC 4.950% 1/15/45 9,250 9,405
  Eversource Energy 4.500% 11/15/19 925 997
  Eversource Energy 2.800% 5/1/23 2,000 1,937
  Exelon Corp. 2.850% 6/15/20 8,030 8,035
  Exelon Corp. 3.950% 6/15/25 8,280 8,362
  Exelon Generation Co. LLC 4.000% 10/1/20 4,000 4,171
  Exelon Generation Co. LLC 4.250% 6/15/22 5,000 5,099
  FirstEnergy Corp. 4.250% 3/15/23 17,918 18,069
7 FirstEnergy Transmission LLC 4.350% 1/15/25 10,090 10,323
  Florida Power & Light Co. 2.750% 6/1/23 21,755 21,791
  Florida Power & Light Co. 3.250% 6/1/24 6,960 7,178
4,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 4,930 5,177
  Georgia Power Co. 2.850% 5/15/22 9,959 9,815
  ITC Holdings Corp. 3.650% 6/15/24 7,000 7,033

 

 

7 Kansas Gas & Electric Co. 6.700% 6/15/19 4,824 5,571
Kentucky Utilities Co. 3.300% 10/1/25 8,940 9,095
LG&E & KU Energy LLC 3.750% 11/15/20 13,086 13,680
LG&E & KU Energy LLC 4.375% 10/1/21 9,785 10,653
Louisville Gas & Electric Co. 3.300% 10/1/25 12,975 13,233
MidAmerican Energy Co. 3.700% 9/15/23 5,500 5,801
MidAmerican Energy Co. 3.500% 10/15/24 37,390 38,711
National Rural Utilities Cooperative Finance        
Corp. 2.350% 6/15/20 5,450 5,432
National Rural Utilities Cooperative Finance        
Corp. 3.050% 2/15/22 15,785 15,923
National Rural Utilities Cooperative Finance        
Corp. 3.400% 11/15/23 13,737 14,111
National Rural Utilities Cooperative Finance        
Corp. 2.850% 1/27/25 15,870 15,298
National Rural Utilities Cooperative Finance        
Corp. 3.250% 11/1/25 4,870 4,884
Nevada Power Co. 7.125% 3/15/19 7,350 8,518
7 Niagara Mohawk Power Corp. 2.721% 11/28/22 2,000 1,940
NSTAR Electric Co. 2.375% 10/15/22 7,700 7,459
Pacific Gas & Electric Co. 4.250% 5/15/21 6,200 6,682
Pacific Gas & Electric Co. 3.250% 9/15/21 4,050 4,142
Pacific Gas & Electric Co. 2.450% 8/15/22 6,500 6,272
Pacific Gas & Electric Co. 3.250% 6/15/23 21,500 21,679
Pacific Gas & Electric Co. 3.850% 11/15/23 3,710 3,875
Pacific Gas & Electric Co. 3.750% 2/15/24 25,295 26,232
Pacific Gas & Electric Co. 3.400% 8/15/24 20,475 20,683
Pacific Gas & Electric Co. 3.500% 6/15/25 9,650 9,771
PacifiCorp 3.850% 6/15/21 16,844 17,975
PacifiCorp 3.600% 4/1/24 6,000 6,249
PacifiCorp 3.350% 7/1/25 12,720 12,913
Potomac Electric Power Co. 3.050% 4/1/22 2,270 2,286
Potomac Electric Power Co. 3.600% 3/15/24 12,690 13,149
PPL Electric Utilities Corp. 3.000% 9/15/21 15,868 16,292
PSEG Power LLC 4.300% 11/15/23 1,210 1,232
Public Service Co. of Colorado 2.250% 9/15/22 5,000 4,858
Public Service Electric & Gas Co. 3.500% 8/15/20 8,000 8,470
Public Service Electric & Gas Co. 2.375% 5/15/23 20,275 19,632
Public Service Electric & Gas Co. 3.150% 8/15/24 7,710 7,849
Public Service Electric & Gas Co. 3.000% 5/15/25 10,470 10,465
Puget Energy Inc. 6.500% 12/15/20 15,565 18,067
Puget Energy Inc. 6.000% 9/1/21 4,235 4,861
Puget Energy Inc. 5.625% 7/15/22 19,769 22,350
7 Puget Energy Inc. 3.650% 5/15/25 13,000 12,697
Puget Sound Energy Inc. 4.300% 5/20/45 5,240 5,381
SCANA Corp. 6.250% 4/1/20 8,500 9,518
SCANA Corp. 4.750% 5/15/21 10,787 11,317
SCANA Corp. 4.125% 2/1/22 2,000 2,003
Southern California Edison Co. 3.500% 10/1/23 17,500 18,293
Tampa Electric Co. 5.400% 5/15/21 13,000 14,808
Tampa Electric Co. 2.600% 9/15/22 6,220 6,038
TECO Finance Inc. 5.150% 3/15/20 14,332 15,646
7 Trans-Allegheny Interstate Line Co. 3.850% 6/1/25 11,000 11,039
Union Electric Co. 6.700% 2/1/19 2,427 2,794
Union Electric Co. 3.500% 4/15/24 5,410 5,555
Virginia Electric & Power Co. 3.450% 9/1/22 9,000 9,341
Virginia Electric & Power Co. 3.450% 2/15/24 7,000 7,242
Virginia Electric & Power Co. 3.100% 5/15/25 4,300 4,298

 

 

  Western Massachusetts Electric Co. 3.500% 9/15/21 10,000 10,455
 
  Natural Gas (0.2%)        
  Nisource Finance Corp. 3.850% 2/15/23 8,518 8,799
  Sempra Energy 2.875% 10/1/22 7,200 7,053
  Sempra Energy 3.550% 6/15/24 2,000 2,024
  Southern California Gas Co. 3.150% 9/15/24 22,290 22,643
 
  Other Utility (0.1%)        
  American Water Capital Corp. 3.400% 3/1/25 9,720 9,942
 
          1,142,159
Total Corporate Bonds (Cost $15,352,800)       15,536,487
Sovereign Bonds (U.S. Dollar-Denominated) (3.1%)        
7 Abu Dhabi National Energy Co. PJSC 6.165% 10/25/17 1,000 1,078
7 Abu Dhabi National Energy Co. PJSC 3.625% 1/12/23 1,000 985
  Asian Development Bank 1.125% 3/15/17 4,000 4,025
  Asian Development Bank 1.875% 10/23/18 3,000 3,060
7 Banco Latinoamericano de Comercio Exterior        
  SA 3.250% 5/7/20 4,000 3,961
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 1,000 1,022
7 Bank of China Ltd. 3.750% 11/8/16 920 940
7 Bermuda 5.603% 7/20/20 2,300 2,536
7 Bermuda 4.138% 1/3/23 2,000 2,013
7 Bermuda 4.854% 2/6/24 1,000 1,049
  Cayman Islands 5.950% 11/24/19 500 565
7 CDP Financial Inc. 3.150% 7/24/24 8,000 8,094
  Centrais Eletricas Brasileiras SA 5.750% 10/27/21 1,800 1,435
7 CEZ AS 4.250% 4/3/22 1,000 1,058
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,000 1,023
7 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 978
  Corp. Andina de Fomento 3.750% 1/15/16 11,500 11,570
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 5,000 5,002
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 1,400 1,444
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 3,000 3,050
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 1,500 1,516
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 1,500 1,525
  Ecopetrol SA 7.375% 9/18/43 1,000 955
  Ecopetrol SA 5.875% 5/28/45 4,200 3,423
7 Electricite de France SA 3.625% 10/13/25 4,800 4,784
7 Electricite de France SA 6.000% 1/22/14 50 50
8 Emirates NBD PJSC 5.750% 5/8/19 4,060 3,048
4,7 ENA Norte Trust 4.950% 4/25/28 1,738 1,773
  Eskom Holdings SOC Ltd. 5.750% 1/26/21 12,200 11,376
  European Investment Bank 2.250% 3/15/16 8,000 8,054
  European Investment Bank 2.125% 7/15/16 10,000 10,114
  European Investment Bank 2.500% 4/15/21 7,000 7,233
  European Investment Bank 3.250% 1/29/24 2,000 2,158
  Export-Import Bank of Korea 4.000% 1/11/17 10,000 10,294
  Export-Import Bank of Korea 2.875% 9/17/18 3,000 3,065
  Export-Import Bank of Korea 5.125% 6/29/20 2,000 2,241
  Export-Import Bank of Korea 4.000% 1/29/21 1,000 1,079
  Export-Import Bank of Korea 4.000% 1/14/24 2,000 2,137
  Federative Republic of Brazil 4.875% 1/22/21 23,985 23,595
  Federative Republic of Brazil 5.000% 1/27/45 4,665 3,534
  FMS Wertmanagement AoeR 1.625% 11/20/18 5,000 5,053
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 9,000 10,125

 

 

  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 2,400 2,451
  Inter-American Development Bank 3.000% 2/21/24 6,425 6,815
  International Finance Corp. 1.000% 4/24/17 6,700 6,704
  International Finance Corp. 1.750% 9/4/18 3,000 3,047
7 IPIC GMTN Ltd. 5.500% 3/1/22 800 911
13 KFW 1.250% 2/15/17 4,000 4,025
13 KFW 1.000% 6/11/18 11,750 11,712
13 KFW 2.750% 10/1/20 3,000 3,146
13 KFW 2.625% 1/25/22 9,000 9,367
13 KFW 2.000% 10/4/22 2,000 1,997
7 Kommunalbanken AS 1.000% 9/26/17 1,500 1,499
  Korea Development Bank 3.250% 9/20/16 1,000 1,019
  Korea Development Bank 3.875% 5/4/17 5,000 5,165
  Korea Development Bank 1.500% 1/22/18 2,000 1,988
  Korea Development Bank 4.625% 11/16/21 2,000 2,224
7 Korea Land & Housing Corp. 1.875% 8/2/17 5,000 5,019
7 Korea Western Power Co. Ltd. 3.125% 5/10/17 1,300 1,327
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 2,000 2,044
7 Kowloon-Canton Railway Corp. 5.125% 5/20/19 2,500 2,744
13 Landwirtschaftliche Rentenbank 2.125% 7/15/16 5,000 5,056
13 Landwirtschaftliche Rentenbank 1.375% 10/23/19 2,000 1,984
  Nexen Energy ULC 6.200% 7/30/19 2,000 2,219
  North American Development Bank 2.300% 10/10/18 1,500 1,520
  North American Development Bank 2.400% 10/26/22 1,300 1,283
7 OCP SA 5.625% 4/25/24 1,200 1,253
7 Ooredoo International Finance Ltd. 4.750% 2/16/21 1,500 1,662
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 700 696
4 Oriental Republic of Uruguay 4.375% 10/27/27 1,550 1,542
4 Oriental Republic of Uruguay 5.100% 6/18/50 4,000 3,600
7 Pertamina Persero PT 6.000% 5/3/42 1,000 863
5 Petrobras Global Finance BV 2.460% 1/15/19 3,950 3,180
  Petrobras Global Finance BV 3.000% 1/15/19 5,315 4,405
  Petrobras Global Finance BV 4.875% 3/17/20 4,425 3,628
  Petrobras International Finance Co. SA 5.875% 3/1/18 12,531 11,826
  Petrobras International Finance Co. SA 5.750% 1/20/20 1,000 855
  Petrobras International Finance Co. SA 6.875% 1/20/40 1,435 1,030
  Petroleos Mexicanos 5.750% 3/1/18 16,500 17,531
  Petroleos Mexicanos 8.000% 5/3/19 13,520 15,413
  Petroleos Mexicanos 5.500% 1/21/21 2,425 2,588
  Petroleos Mexicanos 4.875% 1/24/22 49,570 50,605
  Petroleos Mexicanos 3.500% 1/30/23 2,000 1,855
  Province of New Brunswick 2.750% 6/15/18 1,250 1,293
  Province of Ontario 3.000% 7/16/18 3,000 3,125
  Province of Ontario 4.000% 10/7/19 4,500 4,872
  Quebec 2.625% 2/13/23 5,700 5,722
  Quebec 2.875% 10/16/24 8,250 8,347
11 Republic of Chile 1.875% 5/27/30 4,500 4,734
  Republic of Colombia 7.375% 3/18/19 6,800 7,752
4 Republic of Colombia 4.500% 1/28/26 7,000 6,965
  Republic of Colombia 6.125% 1/18/41 5,450 5,670
  Republic of Hungary 4.000% 3/25/19 5,250 5,503
11 Republic of Indonesia 2.875% 7/8/21 5,400 5,885
  Republic of Indonesia 3.750% 4/25/22 3,000 2,962
11 Republic of Indonesia 3.375% 7/30/25 4,000 4,199
  Republic of Indonesia 6.625% 2/17/37 2,000 2,195
  Republic of Kazakhstan 6.500% 7/21/45 7,000 6,825
  Republic of Korea 7.125% 4/16/19 1,500 1,763
7 Republic of Latvia 2.750% 1/12/20 1,000 1,020

 

 

  Republic of Lithuania 7.375% 2/11/20 5,000 5,994
  Republic of Namibia 5.500% 11/3/21 4,400 4,576
  Republic of Namibia 5.250% 10/29/25 2,760 2,736
  Republic of Poland 5.125% 4/21/21 15,100 17,086
  Republic of Poland 4.000% 1/22/24 6,000 6,396
  Republic of Romania 4.375% 8/22/23 2,000 2,102
11 Republic of Romania 2.750% 10/29/25 4,500 5,010
  Republic of Turkey 7.500% 7/14/17 41,300 44,759
  Republic of Turkey 6.750% 4/3/18 14,645 15,938
  Republic of Turkey 7.000% 3/11/19 21,000 23,467
  Republic of Turkey 7.000% 6/5/20 6,000 6,817
  Republic of Turkey 5.625% 3/30/21 6,900 7,443
  Republic of Turkey 6.250% 9/26/22 4,700 5,229
  Republic of Turkey 4.875% 4/16/43 3,900 3,517
7 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 1,000 1,026
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 1,800 1,886
  State of Israel 5.125% 3/26/19 2,550 2,820
  State of Israel 3.150% 6/30/23 2,000 2,043
7 State of Qatar 5.250% 1/20/20 1,000 1,129
  Statoil ASA 3.150% 1/23/22 3,000 3,052
  Statoil ASA 2.450% 1/17/23 3,000 2,910
  Statoil ASA 3.950% 5/15/43 1,000 938
  Statoil ASA 4.800% 11/8/43 2,000 2,143
7 Temasek Financial I Ltd. 2.375% 1/23/23 1,000 986
  United Mexican States 4.000% 10/2/23 2,040 2,108
  United Mexican States 6.050% 1/11/40 1,676 1,894
  United Mexican States 5.550% 1/21/45 1,700 1,822
  United Mexican States 5.750% 10/12/10 1,100 1,082
Total Sovereign Bonds (Cost $633,721)       635,559
Taxable Municipal Bonds (0.2%)        
  Allentown PA Neighborhood Improvement        
  Zone Development Authority Revenue 5.420% 5/1/21 4,000 4,145
  California GO 5.750% 3/1/17 2,000 2,128
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.995% 7/1/20 1,250 1,274
  Illinois GO 5.365% 3/1/17 1,000 1,038
  Illinois GO 5.000% 1/1/23 1,835 1,829
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 2.885% 1/1/21 1,000 1,044
  Johns Hopkins University Maryland GO 5.250% 7/1/19 199 223
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL 3.220% 2/1/21 12,000 12,351
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-ELL 3.450% 2/1/22 5,475 5,692
5 Mississippi GO (Nissan North America, Inc.        
  Project) 0.893% 11/1/17 5,520 5,534
  New York City NY Industrial Development        
  Agency Special Facility Revenue (American        
  Airlines Inc. John F. Kennedy International        
  Airport Project) 7.500% 8/1/16 865 903
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.125% 2/1/24 1,500 1,717
  New York State Dormitory Authority Revenue        
  (Employer Assessment) 3.892% 12/1/24 2,000 2,131

 

 

Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 2,000 2,427
San Diego County CA Regional Airport        
Authority Revenue 3.730% 7/1/21 800 838
Texas GO 3.682% 8/1/24 2,000 2,131
University of California Revenue 2.054% 5/15/18 500 511
University of California Revenue 2.300% 5/15/21 1,000 1,002
Total Taxable Municipal Bonds (Cost $45,426)       46,918
      Shares  
Convertible Preferred Stocks (0.0%)        
*,9 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) 7.250%   8,740 —
Temporary Cash Investment (1.1%)        
Money Market Fund (1.1%)        
14 Vanguard Market Liquidity Fund (Cost $222,032) 0.207%   222,032,000 222,032
Total Investments (100.0%) (Cost $20,405,578)       20,602,222
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $129.50   11/20/15 304 (24)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   11/20/15 508 (24)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   12/24/15 136 (55)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   11/20/15 271 (51)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   11/20/15 269 (84)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   11/20/15 440 (220)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   11/20/15 508 (381)
 
Total Liability for Options Written (Premiums received $769)     (839)
Other Assets and Liabilities-Net (0.0%)       (2,414)
Net Assets (100%)       20,598,969

 

*      Non-income-producing security.
1      Securities with a value of $6,709,000 have been segregated as collateral for open over-the-counter swap contracts.
2      Securities with a value of $5,536,000 have been segregated as initial margin for open cleared swap contracts.
3      Securities with a value of $11,875,000 have been segregated as initial margin for open futures contracts.
4      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.
5      Adjustable-rate security.
6      The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7      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 October 31, 2015, the aggregate value of these securities was $2,120,988,000, representing 10.3% of net assets.
8      Face amount denominated in Australian dollars.
 

9      Non-income-producing security--security in default.
10      Face amount denominated in British pounds.
11      Face amount denominated in euro.
12      Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
13      Guaranteed by the Federal Republic of Germany.
14      Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  GO—General Obligation Bond. REIT—Real Estate Investment Trust. USD—United School District.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock

Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 1,185,081 —
Asset-Backed/Commercial Mortgage-Backed Securities — 2,915,259 60,886
Corporate Bonds — 15,536,485 2
Sovereign Bonds — 635,559 —
Taxable Municipal Bonds — 46,918 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 222,032 — —
Liability for Options Written (839) — —
Futures Contracts—Assets1 356 — —
Futures Contracts—Liabilities1 (1,025) — —
Forward Currency Contracts—Assets — 4,759 —
Forward Currency Contracts—Liabilities — (1,995) —
Swap Contracts—Assets 871 4,670 —
Swap Contracts—Liabilities — (1,014) —
Total 220,611 20,325,722 60,888
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current

 

market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
5-Year U.S. Treasury Note December 2015 8,603 1,030,411 (2,831)
10-Year U.S. Treasury Note December 2015 (1,426) (182,082) 155
Euro-Bund December 2015 (711) (122,915) (2,080)
2-Year U.S. Treasury Note December 2015 (393) (85,932) (1)
Ultra Long U.S. Treasury Bond December 2015 (244) (38,979) (133)
30-Year U.S. Treasury Bond December 2015 (197) (30,818) 14
Euro-Bobl December 2015 (172) (24,478) (111)
Long Gilt December 2015 (74) (13,433) 56
Australia 3-Year Treasury Bond December 2015 (138) (11,052) (19)
Euro-Buxl December 2015 (62) (10,753) (466)
Australia 10-Year Treasury Bond December 2015 (116) (10,701) (58)
Euro-Schatz December 2015 77 9,439 20
        (5,454)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

 

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At October 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

            Unrealized
  Contract         Appreciation
  Settlement     Contract Amount (000) (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital            
Services LLC 11/2/15 EUR 196,360 USD 216,742 (813)
Bank of America N.A 12/2/15 EUR 22,809 USD 25,218 (126)
BNP Paribas 11/2/15 AUD 29,401 USD 21,333 (368)
Morgan Stanley Capital            
Services LLC 11/2/15 GBP 12,488 USD 19,145 107
Morgan Stanley Capital            
Services LLC 12/2/15 EUR 11,597 USD 12,791 (34)
UBS AG 11/2/15 EUR 8,800 USD 9,989 (312)
Barclays Capital 11/2/15 GBP 724 USD 1,100 16
Bank of America N.A 11/2/15 GBP 28 USD 42 1
Morgan Stanley Capital            
Services LLC 12/2/15 USD 211,014 EUR 191,284 580
UBS AG 11/2/15 USD 172,830 EUR 154,806 2,595
Morgan Stanley Capital            
Services LLC 11/2/15 USD 24,769 EUR 22,268 283
Morgan Stanley Capital            
Services LLC 12/2/15 USD 23,531 GBP 15,351 (130)
BNP Paribas 12/2/15 USD 21,300 AUD 29,401 369
BNP Paribas 11/2/15 USD 18,457 EUR 16,529 281
BNP Paribas 11/2/15 USD 17,206 GBP 11,132 44
UBS AG 11/2/15 USD 15,371 AUD 21,760 (146)
Bank of America N.A 11/2/15 USD 6,957 EUR 6,113 235
Barclays Capital 11/2/15 USD 4,876 EUR 4,352 90
Barclays Capital 12/2/15 USD 4,086 EUR 3,700 15
UBS AG 11/2/15 USD 3,697 AUD 5,094 64
UBS AG 11/2/15 USD 3,199 GBP 2,108 (50)
JPMorgan Chase Bank N.A. 12/2/15 USD 2,534 AUD 3,573 (10)
JPMorgan Chase Bank N.A. 11/2/15 USD 1,850 AUD 2,546 34

 

 

Credit Suisse International 11/2/15 USD 1,241 EUR 1,092 41
Bank of America N.A 12/2/15 USD 1,082 EUR 979 4
BNP Paribas 12/2/15 USD 920 AUD 1,301 (6)
            2,764
AUD—Australian dollar.            
EUR—Euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

 

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

At October 31, 2015, the fund had the following open swap contracts:

Over-the-Counter Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty ($000) ($000) (%) ($000)
Credit Protection Sold/Moody's Rating          
Bank of America Corp./Baa1 12/20/17 MSCS 7,680 124 1.000 228
Federation of Malaysia/A3 12/20/20 JPMC 5,240 210 1.000 (39)
Federation of Malaysia/A3 12/20/20 BOANA 4,100 210 1.000 16
Federation of Malaysia/A3 12/20/20 BNPSW 2,250 86 1.000 (21)
Federation of Malaysia/A3 12/20/20 BNPSW 1,560 61 1.000 (13)
Federation of Malaysia/A3 12/20/20 JPMC 500 23 1.000 (1)
Federation of Malaysia/A3 12/20/20 GSCM 460 19 1.000 (3)
Federative Republic of            
Brazil/Baa3 12/20/20 JPMC 10,800 1,698 1.000 152

 

 

Federative Republic of            
Brazil/Baa3 12/20/20 GSCM 6,000 816 1.000 (42)
Federative Republic of            
Brazil/Baa3 12/20/20 BNPSW 2,000 260 1.000 (27)
Federative Republic of            
Brazil/Baa3 12/20/20 BNPSW 1,570 250 1.000 26
Federative Republic of            
Brazil/Baa3 12/20/20 BNPSW 700 93 1.000 (8)
Goldman Sachs Group            
Inc./A3 3/20/20 BOANA 7,870 (61) 1.000 18
People’s Republic of            
China/Aa3 9/20/20 BNPSW 3,000 20 1.000 19
People’s Republic of            
China/Aa3 12/20/20 GSCM 5,000 53 1.000 38
Republic of Chile/Aa3 12/20/20 BARC 10,100 155 1.000 38
Republic of Chile/Aa3 12/20/20 BNPSW 5,550 33 1.000 (31)
Republic of Colombia/Baa2 12/20/20 JPMC 12,000 603 1.000 (21)
Republic of Colombia/Baa2 12/20/20 BNPSW 10,300 563 1.000 27
Republic of Indonesia/Baa3 12/20/20 MSCS 4,500 238 1.000 (20)
Republic of Indonesia/Baa3 12/20/20 BNPSW 1,500 79 1.000 (7)
Republic of Indonesia/Baa3 12/20/20 MSCS 1,500 86 1.000 -
Republic of Peru/A3 12/20/20 BNPSW 8,350 251 1.000 (40)
Republic of Peru/A3 12/20/20 JPMC 7,500 332 1.000 71
Republic of Peru/A3 12/20/20 CSFBI 5,000 211 1.000 37
Republic of Turkey/Baa3 12/20/16 BNPSW 7,000 13 1.000 10
Republic of Turkey/Baa3 12/20/20 BNPSW 8,114 875 1.000 304
Russian Federation/Ba1 6/20/17 GSCM 3,200 134 1.000 90
Russian Federation/Ba1 12/20/20 DBAG 7,145 866 1.000 290
Russian Federation/Ba1 12/20/20 BNPSW 5,200 572 1.000 154
Russian Federation/Ba1 12/20/20 BARC 4,500 402 1.000 39
Standard Chartered Bank/Aa2 12/20/20 MSCS 4,109 146 1.000 121
Total     164,298     1,405
 
Credit Protection Purchased            
Bank of America Corp. 3/20/20 GSCM 7,870 109 (1.000) (10)
CMBS-NA-8-AAA 10/17/57 CSFBI 17,240 (901) (0.500) (108)
CMBS-NA-8-AAA 10/17/57 GSCM 17,195 (895) (0.500) (104)
CMBS-NA-8-AAA 10/17/57 CSFBI 4,325 (200) (0.500) (1)
Devon Energy Corporation 9/20/18 BARC 7,000 17 (1.000) (28)
EI du Pont de Nemours & Co. 9/20/18 CSFBI 2,970 52 (1.000) (7)
EI du Pont de Nemours & Co. 9/20/18 BARC 2,250 32 (1.000) (13)
EI du Pont de Nemours & Co. 9/20/18 BNPSW 2,250 32 (1.000) (13)
EI du Pont de Nemours & Co. 9/20/18 DBAG 2,250 32 (1.000) (13)
EI du Pont de Nemours & Co. 9/20/18 GSCM 2,250 32 (1.000) (12)
Federal Express Corp. 12/20/18 GSCM 7,840 76 (1.000) (115)
Federative Republic of Brazil 12/20/15 BOANA 1,500 (1) (1.000) 1
GAP Inc. 12/20/20 MSCS 5,000 (214) (1.000) 488

 

 

Intesa Sanpaolo SpA 12/20/19 BARC 5,135 44 (1.000) (20)
Intesa Sanpaolo SpA 3/20/20 BOANA 6,510 28 (1.000) (49)
McKesson Corp. 3/20/19 JPMC 6,360 149 (1.000) (34)
McKesson Corp. 3/20/19 JPMC 6,360 152 (1.000) (30)
Republic of Austria 9/20/17 BNPSW 1,200 (11) (1.000) (33)
Republic of Korea 9/20/18 JPMC 2,000 11 (1.000) (32)
United Mexican States 12/20/15 BOANA 1,500 (1) (1.000) (2)
United Mexican States 9/20/20 DBAG 5,000 (144) (1.000) (49)
United Mexican States 9/20/20 DBAG 4,000 (96) (1.000) (20)
United Mexican States 9/20/20 GSCM 3,500 (78) (1.000) (12)
United Mexican States 9/20/20 DBAG 1,500 (26) (1.000) 2
United Mexican States 12/20/20 BARC 4,000 (94) (1.000) (4)
Wells Fargo & Co. 9/20/20 BOANA 9,700 206 (1.000) (19)
Total     136,705     (237)
            1,168

 

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event BARC--Barclays Bank plc.

BNPSW--BNP Paribas. BOANA--Bank of America, N.A.

CSFBI—Credit Suisse First Boston International. DBAG--Deutsche Bank AG.

GSCM--Goldman Sachs Bank USA. JPMC--JP Morgan Chase Bank. MSCS--Morgan Stanley Capital Services LLC UBSAG--UBS AG.

WFC--Wells Fargo Bank N.A.

 

Centrally Cleared Interest Rate Swaps        
      Fixed Floating  
      Interest Rate Interest Rate Unrealized
    Notional Received Received Appreciation
    Amount (Paid) (Paid) (Depreciation)
Termination Date Clearinghouse ($000) (%) (%) ($000)
2/15/16 LCH 4,000 0.450 (0.196)2 (6)
2/15/16 CME 4,733 0.448 (0.196)2 (4)
5/16/16 CME 1,400 0.451 (0.199)2 -
5/16/16 CME 10,800 0.434 (0.196)2 1
5/22/16 CME 3,800 0.546 (0.329)1 2
6/15/16 LCH 1,920 0.299 (0.196)2 (2)
6/17/16 CME 4,400 0.444 (0.197)2 3
6/17/16 CME 970 0.485 (0.197)2 1
6/17/16 CME 1,100 0.485 (0.197) 2 1
9/17/16 CME 1,050 0.643 (0.197)2 2
9/17/16 CME 2,560 0.643 (0.197)2 5
10/25/16 CME 15,200 1.714 (0.320)1 (102)
12/10/16 LCH 8,355 0.656 (0.197)2 16
1/15/17 CME 3,050 0.770 (0.196)2 10
1/17/17 LCH 6,500 0.700 (0.197)2 14
2/15/17 CME 1,600 0.729 (0.196)2 4
2/15/17 CME 400 0.714 (0.196)2 1
2/15/17 CME 365 3.432 (0.196)2 (7)
2/15/17 CME 513 2.287 (0.196)2 (6)
2/15/17 CME 5,700 2.407 (0.196)2 (65)
2/15/17 CME 426 2.407 (0.196)2 (5)
2/15/17 CME 625 3.373 (0.196)2 (12)
2/15/17 CME 668 3.180 (0.196)2 (12)
2/15/17 LCH 2,953 1.875 (0.196)2 (31)
3/15/17 CME 39,385 0.937 (0.196)2 204
4/20/17 CME 13,000 0.960 (0.194)2 (4)
5/17/17 CME 3,900 1.036 (0.197)2 26
6/17/17 LCH 2,925 0.736 (0.197)2 5
7/17/17 CME 3,900 0.781 (0.197)2 8
9/15/17 CME 2,508 3.520 (0.196)2 (45)
9/15/17 CME 2,792 3.363 (0.196)2 (48)
9/15/17 CME 340 2.532 (0.196)2 (4)

 

 

9/15/17 LCH 5,910 0.755 (0.196)2 31
10/16/17 CME 7,000 0.749 (0.199)2 28
11/27/17 CME 3,580 0.664 (0.189)2 (7)
12/15/17 CME 1,150 0.788 (0.196)2 4
2/15/18 CME 4,000 0.923 (0.196)2 9
2/15/18 LCH 35,000 1.097 (0.196)2 226
4/16/18 LCH 3,500 1.013 (0.196)2 14
7/16/18 CME 17,100 1.159 (0.199)2 95
1/15/19 LCH 18,930 1.509 (0.196)2 288
3/15/19 CME 22,370 1.699 (0.196)2 464
3/15/19 CME 5,135 1.701 (0.196)2 107
3/15/19 CME 4,990 1.399 (0.196)2 5
6/12/19 CME 4,600 1.674 (0.336)1 69
1/20/20 CME 20,920 1.224 (0.194)2 (21)
4/15/20 LCH 14,650 1.344 (0.196)2 45
4/25/20 CME 28,610 3.024 (0.320)1 (222)
7/15/20 CME 8,920 1.571 (0.196)2 97
2/15/21 CME 6,100 2.200 (0.196)2 240
10/15/21 LCH 5,720 1.949 (0.196)2 142
2/15/22 LCH 8,755 1.583 (0.196)2 9
2/25/25 CME 3,100 2.077 (0.197)2 44
2/25/25 CME 2,490 2.077 (0.197)2 36
5/27/25 CME 5,785 2.170 (0.194)2 122
9/17/31 CME 498 3.065 (0.197)2 55
9/17/31 CME 2,396 3.065 (0.197)2 265
Total         2,095

 

CME--Chicago Mercantile Exchange.

1 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

2 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

Over the Counter Interest Rate Swaps          
      Fixed Floating    
      Interest      
      Rate Interest Rate   Unrealized
    Notional Received Received   Appreciation
    Amount (Paid) (Paid)   (Depreciation)
Termination            
Date Counterparty ($000) (%) (%)   ($000)
2/22/2016 BNPSW 1,342 0.522 (0.329) 1 1
5/19/2016 WFC 836 1.454 (0.333) 1 6
12/26/2017 GSCM 7,420 0.625 (0.194) 2 6
8/15/2018 BNPSW 5,400 0.715 (0.196) 2 5
4/25/2019 WFC 4,233 2.756 (0.320) 1 155
4/25/2019 WFC 8,180 2.053 (0.320) 1 174
4/25/2020 GSCM 3,420 2.794 (0.320) 1 144
4/1/2021 WFC 4,480 0.965 (0.193) 2 (13)
6/25/2021 GSCM 5,720 3.143 (0.327) 1 317
10/25/2021 WFC 6,500 3.328 (0.320) 1 430
11/25/2022 BARC 15,254 2.758 (0.329) 1 677
1/25/2023 WFC 3,000 3.144 (0.320) 1 197
12/25/2026 WFC 16,000 1.92 (0.197) 2 328
9/25/2029 GSCM 11,667 1.794 (0.194) 2 61
Total           2,488

 

BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
GSCM--Goldman Sachs Bank USA.
WFC--Wells Fargo Bank N.A.
1 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
2 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

Cross-Currency Swaps            
 
        Notional   Notional  
        Amount of   Amount of Unrealized
        Currency   Currency Appreciation
Fixed Interest Fixed Interest Termination   Received   Delivered (Depreciation)
Rate Received Rate Paid Date Counterparty ($000)   (000) ($000)
USD 5.555% GBP 5.500% 10/6/26 BARC 10,725 GBP 6,250 1,140
USD 3.331% GBP 3.250% 9/25/24 BNPSW 8,523 GBP 5,000 761
USD 5.502% GBP 5.250% 9/14/27 MSCS 8,061 GBP 4,800 702
USD 4.076% EUR 2.750% 8/2/22 MSCS 6,897 EUR 5,000 1,419
USD 8.542% GBP 8.750% 4/8/21 MSCS 5,134 GBP 3,000 604
USD 6.043% GBP 6.500% 4/8/22 BARC 5,072 GBP 3,000 459
USD 5.780% GBP 5.500% 10/6/26 MSCS 4,146 GBP 2,500 322
              5,407

 

BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

MSCS—Morgan Stanley Capital Services LLC.

EUR—Euro.

GBP—British pound.

At October 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $11,909,000 in connection with open swap contracts and forward currency contracts.

G. At October 31, 2015, the cost of investment securities for tax purposes was $20,425,527,000. Net unrealized appreciation of investment securities for tax purposes was $176,695,000, consisting of unrealized gains of $369,346,000 on securities that had risen in value since their purchase and $192,651,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Ultra-Short-Term Bond Fund        
 
 
 
Schedule of Investments        
As of October 31, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)

 

U.S. Government and Agency Obligations (20.1%)        
U.S. Government Securities (10.2%)        
  United States Treasury Note/Bond 1.500% 6/30/16 4,000 4,030
  United States Treasury Note/Bond 0.625% 8/15/16 6,150 6,161
  United States Treasury Note/Bond 1.000% 8/31/16 4,400 4,421
  United States Treasury Note/Bond 0.875% 9/15/16 1,700 1,706
  United States Treasury Note/Bond 0.625% 10/15/16 6,000 6,009
  United States Treasury Note/Bond 0.375% 10/31/16 6,400 6,395
  United States Treasury Note/Bond 1.000% 10/31/16 6,300 6,334
1 United States Treasury Note/Bond 0.875% 12/31/16 8,700 8,738
  United States Treasury Note/Bond 0.625% 2/15/17 3,600 3,603
          47,397
Agency Bonds and Notes (9.9%)        
2 Federal Home Loan Banks 0.190% 11/19/15 500 500
2 Federal Home Loan Banks 0.500% 11/20/15 2,255 2,256
2 Federal Home Loan Banks 1.375% 12/11/15 400 401
2 Federal Home Loan Banks 5.000% 12/11/15 250 251
2 Federal Home Loan Banks 0.375% 12/30/15 1,000 1,000
2 Federal Home Loan Banks 0.340% 1/25/16 350 350
2 Federal Home Loan Banks 0.375% 2/19/16 1,335 1,336
2 Federal Home Loan Banks 0.250% 3/11/16 200 200
2 Federal Home Loan Banks 1.000% 3/11/16 1,200 1,203
2 Federal Home Loan Banks 3.125% 3/11/16 1,670 1,688
2 Federal Home Loan Banks 0.250% 4/29/16 1,000 1,000
2 Federal Home Loan Banks 0.250% 5/18/16 650 650
2 Federal Home Loan Banks 5.375% 5/18/16 1,350 1,387
2 Federal Home Loan Banks 2.125% 6/10/16 1,700 1,718
2 Federal Home Loan Banks 0.500% 9/28/16 1,000 1,001
2 Federal Home Loan Banks 0.625% 12/28/16 1,000 1,001
2 Federal Home Loan Banks 0.750% 8/28/17 3,500 3,499
3 Federal Home Loan Mortgage Corp. 4.750% 11/17/15 356 357
3 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 1,300 1,330
3 Federal Home Loan Mortgage Corp. 0.500% 5/13/16 1,350 1,351
3 Federal Home Loan Mortgage Corp. 0.400% 5/27/16 300 300
3 Federal Home Loan Mortgage Corp. 2.500% 5/27/16 900 911
3 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 5,000 5,065
3 Federal Home Loan Mortgage Corp. 0.875% 10/14/16 3,550 3,565
3 Federal National Mortgage Assn. 0.375% 12/21/15 1,050 1,050
3 Federal National Mortgage Assn. 5.000% 3/15/16 2,050 2,086
3 Federal National Mortgage Assn. 0.500% 3/30/16 1,485 1,487
3 Federal National Mortgage Assn. 1.250% 9/28/16 7,200 7,254
3 Federal National Mortgage Assn. 5.000% 2/13/17 1,500 1,584
          45,781
Total U.S. Government and Agency Obligations (Cost $93,170)     93,178
Asset-Backed/Commercial Mortgage-Backed Securities (31.1%)      
4 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 800 799
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 800 800
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 40 40
4 Ally Auto Receivables Trust 2015-2 1.490% 11/15/19 1,500 1,502
4 Ally Auto Receivables Trust 2015-SN1 0.930% 6/20/17 752 752

 

 

4,5 Ally Master Owner Trust Series 2014-1 0.666% 1/15/19 151 151
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 155 155
4 Ally Master Owner Trust Series 2014-4 1.430% 6/17/19 1,625 1,624
4 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 1,200 1,197
4,5 American Express Credit Account Secured        
  Note Trust 2008-2 1.456% 9/15/20 1,300 1,325
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 0.746% 5/15/20 168 168
4,5 American Express Credit Account Secured        
  Note Trust 2014-5 0.486% 5/15/20 410 409
4,5,6American Homes 4 Rent 2014-SFR1 1.600% 6/17/31 100 98
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 19 19
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 88 88
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 97 98
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 21 21
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 39 39
4,5 AmeriCredit Automobile Receivables Trust        
  2014-2 0.474% 10/10/17 189 189
4 AmeriCredit Automobile Receivables Trust        
  2015-2 0.830% 9/10/18 637 637
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 160 160
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 150 150
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 255 255
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 190 190
4,6 ARI Fleet Lease Trust 2014-A 0.810% 11/15/22 582 582
4,6 ARI Fleet Lease Trust 2015-A 1.110% 11/15/18 1,100 1,098
4,5,6Arran Residential Mortgages Funding 2011-1        
  plc 1.783% 11/19/47 52 52
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2012-2A 2.802% 5/20/18 1,300 1,323
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 150 150
4,5 BA Credit Card Trust 2007-A4 0.236% 11/15/19 1,101 1,095
4 BA Credit Card Trust 2015-A2 1.360% 9/15/20 850 849
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 103 105
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 199 204
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.569% 4/10/49 150 157
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.171% 2/10/51 130 140
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.215% 2/10/51 21 22
4,6 Bank of The West Auto Trust 2015-1 0.870% 4/16/18 1,700 1,701
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 104 106
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.705% 6/11/40 87 90

 

 

4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 211 224
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 147 157
4,5,6BMW Floorplan Master Owner Trust 2015-1A 0.696% 7/15/20 1,250 1,246
4 BMW Vehicle Owner Trust 2015-2 1.400% 2/20/19 3,250 3,248
4,5 Brazos Higher Education Authority Inc. Series        
  2010-1 1.229% 5/25/29 218 216
4,5 Brazos Higher Education Authority Inc. Series        
  2011-1 1.129% 2/25/30 287 283
4 California Republic Auto Receivables Trust        
  2015-2 0.880% 2/15/18 1,500 1,501
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 34 34
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 33 33
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 81 83
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 190 190
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 92 92
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 82 83
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 103 103
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 37 37
4 Capital Auto Receivables Asset Trust 2015-2 1.730% 9/20/19 800 799
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 260 261
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 500 502
4 Capital Auto Receivables Asset Trust 2015-4 1.620% 3/20/19 1,500 1,496
4,5 Capital One Multi-asset Execution Trust 2007-        
  A1 0.246% 11/15/19 100 100
4,5 Capital One Multi-asset Execution Trust 2007-        
  A5 0.236% 7/15/20 1,168 1,160
4 Capital One Multi-asset Execution Trust 2015-        
  A7 1.450% 8/16/21 2,100 2,094
4,5,6CARDS II Trust 2015-2A 0.716% 7/15/20 2,000 2,000
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 36 36
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 22 22
4 Carmax Auto Owner Trust 2015-2 0.820% 6/15/18 1,000 1,000
4 Carmax Auto Owner Trust 2015-3 1.630% 5/15/20 1,100 1,104
4 Carmax Auto Owner Trust 2015-3 2.280% 4/15/21 73 73
4 Carmax Auto Owner Trust 2015-3 2.680% 6/15/21 95 95
4,5 Chase Issuance Trust 2007-C1 0.656% 4/15/19 185 184
4,5 Chase Issuance Trust 2013-A7 0.626% 9/15/20 1,000 999
4,5 Chase Issuance Trust 2014-A3 0.396% 5/15/18 350 350
4,5 Chase Issuance Trust 2015-A3 0.446% 4/15/19 1,200 1,198
4 Chase Issuance Trust 2015-A5 1.360% 4/15/20 400 400
4,6 Chrysler Capital Auto Receivables Trust 2013-        
  A 0.910% 4/16/18 305 305
4,6 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 24 24
4,6 Chrysler Capital Auto Receivables Trust 2013-        
  BA 1.270% 3/15/19 1,415 1,420
4,6 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 101 101
4,5 Citibank Credit Card Issuance Trust 2013-A2 0.627% 9/10/20 130 130
4 Citibank Credit Card Issuance Trust 2014-A2 1.020% 2/22/19 850 849
4 Citibank Credit Card Issuance Trust 2014-A4 1.230% 4/24/19 600 601
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 19 19
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 100 104
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 1.199% 3/10/47 97 97

 

 

4 CNH Equipment Trust 2015-A 0.840% 6/15/18 250 250
4 CNH Equipment Trust 2015-B 0.840% 8/15/18 1,400 1,399
4 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 109 113
4,5,6Colony American Homes 2014-1 1.400% 5/17/31 139 137
4,5,6Colony American Homes 2014-1 1.600% 5/17/31 100 98
4,5,6Colony American Homes 2015-1 1.397% 7/17/32 210 207
4,5,6Colony American Homes Single-Family Rental        
  Pass-Through Certificates 2014-2 1.545% 7/17/31 100 98
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 124 128
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 157 162
4 COMM 2007-C9 Mortgage Trust 5.796% 12/10/49 113 119
4 COMM 2013-CCRE10 Mortgage Trust 1.278% 8/10/46 248 248
4 COMM 2013-CCRE13 Mortgage Trust 1.259% 11/10/18 115 115
4 COMM 2013-CCRE6 Mortgage Trust 0.719% 3/10/46 33 33
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 93 96
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 100 103
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 100 103
4 COMM 2014-CCRE15 Mortgage Trust 1.218% 2/10/47 294 292
4 COMM 2014-CCRE17 Mortgage Trust 1.275% 5/10/47 111 110
4 COMM 2014-CR14 Mortgage Trust 1.330% 2/10/47 38 38
4 COMM 2014-CR16 Mortgage Trust 1.445% 4/10/47 77 77
4 Commercial Mortgage Trust 2006-GG7 5.819% 7/10/38 138 139
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 5.824% 6/15/38 76 77
4 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C1 5.361% 2/15/40 12 13
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.068% 2/15/41 124 134
4,6 Dell Equipment Finance Trust 2015-1 1.010% 7/24/17 1,100 1,099
4,5 Discover Card Execution Note Trust 2012-A4 0.566% 11/15/19 297 297
4,5 Discover Card Execution Note Trust 2013-A1 0.496% 8/17/20 400 399
4 Discover Card Execution Note Trust 2013-A2 0.690% 8/15/18 525 525
4 Discover Card Execution Note Trust 2013-A5 1.040% 4/15/19 700 699
4,5 Discover Card Execution Note Trust 2015-A1 0.546% 8/17/20 1,000 1,000
4 Discover Card Execution Note Trust 2015-A3 1.450% 3/15/21 2,500 2,496
4,6 Drive Auto Receivables Trust 2015-A 1.010% 11/15/17 562 562
4,6 Drive Auto Receivables Trust 2015-A 2.280% 6/17/19 40 40
4,6 Drive Auto Receivables Trust 2015-B 1.300% 6/15/18 140 140
4,6 Drive Auto Receivables Trust 2015-BA 2.120% 6/17/19 130 130
4,6 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 330 328
4,6 Drive Auto Receivables Trust 2015-C 2.230% 9/16/19 135 135
4,6 Drive Auto Receivables Trust 2015-C 3.010% 5/17/21 200 199
4,6 Drive Auto Receivables Trust 2015-C 4.200% 9/15/21 145 144
4,6 Drive Auto Receivables Trust 2015-DA 1.590% 12/17/18 1,505 1,504
4,6 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 600 600
4,6 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 600 601
4,6 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 345 345
4,6 Enterprise Fleet Financing LLC Series 2015-1 1.300% 9/20/20 250 251
4,6 Enterprise Fleet Financing LLC Series 2015-2 1.590% 2/22/21 1,500 1,505
4,6 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 980 988
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 2/25/25 24 24
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.697% 2/25/25 20 20
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.347% 5/25/25 107 107

 

 

4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C02 1.397% 5/25/25 196 196
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 7/25/25 103 104
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C03 1.697% 7/25/25 133 134
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.793% 4/25/28 460 460
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C04 1.893% 4/25/28 220 220
4,5 First National Master Note Trust 2015-1 0.974% 9/15/20 540 540
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 21 21
4 Ford Credit Auto Lease Trust 2014-A 0.900% 6/15/17 408 408
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 137 137
4 Ford Credit Auto Lease Trust 2015-A 0.790% 12/15/17 1,000 1,000
4 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 970 968
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 490 489
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 30 30
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 62 62
4 Ford Credit Auto Owner Trust 2015-A 0.810% 1/15/18 415 415
4 Ford Credit Auto Owner Trust 2015-B 0.720% 3/15/18 1,400 1,400
4 Ford Credit Auto Owner Trust 2015-C 1.410% 2/15/20 1,000 1,002
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 226 228
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 100 100
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 100 101
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 155 155
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 100 100
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 62 62
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 27 27
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 0.546% 8/15/19 495 495
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 250 250
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-4 1.770% 8/15/20 1,400 1,406
4,5 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2015-HQA1 1.444% 3/25/28 248 248
4,6 FRS I LLC 2013-1A 1.800% 4/15/43 58 58
4,5 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.196% 5/15/19 304 304
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 250 250
4,5 GE Dealer Floorplan Master Note Trust Series        
  2012-2 0.944% 4/22/19 406 406
4,5 GE Dealer Floorplan Master Note Trust Series        
  2014-2 0.644% 10/20/19 875 871
4 GE Equipment Transportation LLC Series        
  2015-1 0.890% 11/24/17 250 250
4,6 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 100 100
4 GM Financial Leasing Trust 2015-1 1.100% 12/20/17 573 573
4 GM Financial Leasing Trust 2015-2 1.680% 12/20/18 1,100 1,100

 

 

4 GM Financial Leasing Trust 2015-2 2.420% 7/22/19 140 140
4 GM Financial Leasing Trust 2015-2 2.990% 7/22/19 120 120
4 GM Financial Leasing Trust 2015-3 1.690% 3/20/19 2,600 2,595
4 GM Financial Leasing Trust 2015-3 2.320% 11/20/19 50 50
4 GM Financial Leasing Trust 2015-3 2.980% 11/20/19 120 120
4 GM Financial Leasing Trust 2015-3 3.480% 8/20/20 120 120
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 450 449
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 100 100
4,6 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 536 539
4,5,6Golden Credit Card Trust 2015-3A 0.616% 7/15/19 2,000 1,998
4,5 Granite Master Issuer plc Series 2007-2 0.277% 12/17/54 10 10
4,6 Great America Leasing Receivables 2015-1 1.120% 6/20/17 500 500
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 101 105
4 GS Mortgage Securities Trust 2014-GC22 1.290% 6/10/47 52 52
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 1,163 1,160
4 Harley-Davidson Motorcycle Trust 2015-2 1.300% 3/16/20 2,600 2,602
4,6 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 294 295
4,6 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 1,351 1,380
4,6 Hertz Vehicle Financing LLC 2015-2 2.020% 9/25/19 2,000 1,985
4 Honda Auto Receivables 2015-2 Owner Trust 1.470% 8/23/21 800 799
4 Honda Auto Receivables 2015-3 Owner Trust 1.270% 4/18/19 1,400 1,401
4 Honda Auto Receivables 2015-3 Owner Trust 1.560% 10/18/21 290 290
4 Honda Auto Receivables 2015-4 Owner Trust 1.230% 9/23/19 2,750 2,738
4 Huntington Auto Trust 2015-1 0.760% 10/16/17 1,500 1,501
4,6 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 100 100
4,6 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 100 100
4,6 Hyundai Auto Lease Securitization Trust        
  2015-A 1.000% 10/16/17 300 300
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 1.660% 7/15/19 1,000 999
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 250 252
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 49 49
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 35 35
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 60 61
4 Hyundai Auto Receivables Trust 2015-B 0.690% 4/16/18 1,100 1,100
4 Hyundai Auto Receivables Trust 2015-C 1.460% 2/18/20 1,000 1,002
5 Illinois Student Assistance Commission Series        
  2010-1 1.370% 4/25/22 84 84
4,5,6Invitation Homes 2014-SFR1 Trust 1.697% 6/17/31 149 147
4,5,6Invitation Homes 2014-SFR2 Trust 1.797% 9/17/31 100 99
4,5,6Invitation Homes 2015-SFR2 Trust 1.547% 6/17/32 98 97
4 John Deere Owner Trust 2015-A 0.870% 2/15/18 300 300
4 John Deere Owner Trust 2015-B 1.440% 10/15/19 1,600 1,603
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 121 122
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 5.911% 4/15/45 151 153
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 19 20
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 146 155
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 175 182
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 130 138

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 1.303% 1/15/46 317 318
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 19 19
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 112 116
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 100 103
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 1.247% 1/15/47 77 77
4,6 Kubota Credit Owner Trust 2014-1 1.160% 5/15/18 400 400
4,5,6Lanark Master Issuer plc 2012-2A 1.729% 12/22/54 235 235
4 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 191 192
4 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 94 96
4 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 47 48
4 LB-UBS Commercial Mortgage Trust 2007-C2 5.387% 2/15/40 130 136
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 119 128
4,6 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 28 28
4,6 Master Credit Card Trust 2013-3A 2.280% 1/22/18 100 100
4 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 1,730 1,726
4 Mercedes-Benz Auto Receivables Trust 2015-        
  1 1.340% 12/16/19 1,100 1,103
4,6 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 436 436
4,5,6Mercedes-Benz Master Owner Trust 2015-A 0.516% 4/15/19 1,200 1,200
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 52 53
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 31 33
4 ML-CFC Commercial Mortgage Trust 2006-2 5.877% 6/12/46 29 30
4 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 32 32
4,6 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 14 15
4,6 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 73 74
4,6 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 234 239
4,6 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 100 100
4,6 MMAF Equipment Finance LLC 2013-A 1.030% 12/11/17 470 470
4,6 MMAF Equipment Finance LLC 2015-A 0.960% 9/18/17 1,000 1,000
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 0.916% 8/15/45 36 36
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 1.308% 8/15/46 225 225
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 134 139
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 1.313% 10/15/46 333 332
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 1.551% 8/15/47 246 245
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 193 197
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 58 59
4 Morgan Stanley Capital I Trust 2007-IQ15 5.917% 6/11/49 141 149
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 137 145
4,5 Navient Student Loan Trust 2015-2 0.477% 11/25/24 833 826
4,5 Navient Student Loan Trust 2015-3 0.517% 7/25/30 1,550 1,550
4,5,6Navient Student Loan Trust 2015-BA 0.796% 5/15/23 1,156 1,153
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 0.893% 1/2/25 109 105
4 Nissan Auto Lease Trust 2014-B 1.290% 3/16/20 681 682
4 Nissan Auto Lease Trust 2015-A 1.580% 5/17/21 445 447
4 Nissan Auto Receivables 2013-A Owner Trust 0.750% 7/15/19 1,520 1,518
4 Nissan Auto Receivables 2015-B Owner Trust 0.670% 9/15/17 900 900
4 Nissan Auto Receivables 2015-C Owner Trust 1.370% 5/15/20 1,500 1,496

 

 

4,5 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.496% 2/15/18 331 331
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 61 61
5 North Carolina State Education Assistance        
  Authority 2011-1 1.220% 1/26/26 124 124
4,5 North Carolina State Education Assistance        
  Authority 2011-2 1.120% 7/25/25 93 92
4,5,6PFS Financing Corp. 2015-AA 0.816% 4/15/20 100 99
4,6 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 400 402
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 146 147
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 48 48
4 Santander Drive Auto Receivables Trust        
  2015-2 0.880% 9/17/18 917 917
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 705 704
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 800 798
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 400 401
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 400 402
4,5,6Silver Bay Realty 2014-1 Trust 1.647% 9/17/31 100 98
4,5 SLM Student Loan Trust 2005-5 0.420% 4/25/25 301 296
4,5 SLM Student Loan Trust 2005-9 0.440% 1/27/25 92 92
4,5 SLM Student Loan Trust 2006-6 0.430% 10/27/25 182 179
4,5,6SLM Student Loan Trust 2011-A 1.196% 10/15/24 33 33
4,6 SLM Student Loan Trust 2011-A 4.370% 4/17/28 100 105
4,5,6SLM Student Loan Trust 2011-C 1.596% 12/15/23 14 14
4,5,6SLM Student Loan Trust 2012-B 1.296% 12/15/21 3 3
4,6 SLM Student Loan Trust 2012-B 3.480% 10/15/30 152 155
4,5,6SLM Student Loan Trust 2012-E 0.946% 10/16/23 68 68
4,6 SLM Student Loan Trust 2013-B 1.850% 6/17/30 100 99
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 72 72
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 892 892
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 392 391
4 SMART ABS Series 2013-2US Trust 1.180% 2/14/19 520 519
4 SMART ABS Series 2014-1US Trust 0.950% 2/14/18 936 934
4,5,6SMB Private Education Loan Trust 2015-A 0.796% 7/17/23 777 773
4,6 Sonic Capital LLC 2011-1A 5.438% 5/20/41 79 81
4,5 South Carolina Student Loan Corp. Revenue        
  2010-1 1.320% 7/25/25 184 185
4,5,6SWAY Residential 2014-1 Trust 1.497% 1/17/32 193 191
4 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 250 250
4 Synchrony Credit Card Master Note Trust        
  2015-3 1.740% 9/15/21 2,750 2,751
4 Toyota Auto Receivables 2015-A Owner Trust 0.710% 7/17/17 250 250
4 UBS Commercial Mortgage Trust 2011-C1 1.524% 1/10/45 73 73
4 USAA Auto Owner Trust 2015-1 1.540% 11/16/20 1,400 1,409
4 Volkswagen Auto Lease Trust 2015-A 0.870% 6/20/17 214 214
4,6 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 336 334
4,6 Volvo Financial Equipment LLC Series 2015-        
  1A 0.950% 11/15/17 500 500

 

 

4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 36 37
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 99 102
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 181 185
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 145 150
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C33 5.952% 2/15/51 16 17
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 1.676% 7/15/46 336 336
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 110 113
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 1.406% 9/15/46 134 134
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.027% 12/15/46 100 103
4 WFRBS Commercial Mortgage Trust 2013-        
  UBS1 1.122% 3/15/46 35 35
4,6 Wheels SPV 2 LLC 2014-1A 0.840% 3/20/23 430 429
4,6 Wheels SPV 2 LLC 2015-1 A3 1.810% 4/22/24 200 198
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-B 0.910% 3/16/20 1,100 1,099
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.676% 2/15/22 115 114
4 World Omni Auto Receivables Trust 2013-A 0.640% 4/16/18 75 75
4 World Omni Auto Receivables Trust 2015-A 0.790% 7/16/18 207 207
4 World Omni Automobile Lease Securitization        
  Trust 2013-A 1.100% 12/15/16 205 205
4 World Omni Automobile Lease Securitization        
  Trust 2015-A 1.730% 12/15/20 380 382
4,5,6World Omni Master Owner Trust 2013-1 0.547% 2/15/18 1,352 1,352
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $144,502)   144,308
Corporate Bonds (27.8%)        
Finance (12.6%)        
  Banking (10.7%)        
  Abbey National Treasury Services plc 4.000% 4/27/16 108 110
  Abbey National Treasury Services plc 1.375% 3/13/17 1,701 1,701
6 ABN AMRO Bank NV 4.250% 2/2/17 600 621
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 500 504
  Australia & New Zealand Banking Group Ltd. 1.500% 1/16/18 842 841
  Bank of America Corp. 3.625% 3/17/16 29 29
  Bank of America Corp. 3.750% 7/12/16 799 814
  Bank of America Corp. 6.500% 8/1/16 29 30
  Bank of America Corp. 1.350% 11/21/16 410 410
  Bank of America Corp. 6.400% 8/28/17 229 248
  Bank of America Corp. 6.000% 9/1/17 29 31
  Bank of Montreal 2.500% 1/11/17 1,984 2,019
  Bank of New York Mellon Corp. 2.300% 7/28/16 770 780
  Bank of Nova Scotia 2.900% 3/29/16 1,162 1,172
  Bank of Nova Scotia 1.375% 7/15/16 938 943
  Bank of Nova Scotia 2.550% 1/12/17 252 257
  Bank of Nova Scotia 1.300% 7/21/17 62 62
  BB&T Corp. 2.150% 3/22/17 1,416 1,433
  Bear Stearns Cos. LLC 5.550% 1/22/17 14 15
  Bear Stearns Cos. LLC 6.400% 10/2/17 14 15

 

 

BNP Paribas SA 1.375% 3/17/17 680 681
BPCE SA 1.700% 4/25/16 285 286
BPCE SA 1.613% 7/25/17 214 214
Canadian Imperial Bank of Commerce 2.350% 12/11/15 350 351
Canadian Imperial Bank of Commerce 1.550% 1/23/18 842 842
Capital One Financial Corp. 3.150% 7/15/16 280 284
Capital One NA 1.500% 3/22/18 342 337
Citigroup Inc. 1.250% 1/15/16 26 26
Citigroup Inc. 1.300% 4/1/16 26 26
Citigroup Inc. 3.953% 6/15/16 223 227
Citigroup Inc. 1.700% 7/25/16 440 442
Citigroup Inc. 4.450% 1/10/17 26 27
Citigroup Inc. 1.350% 3/10/17 26 26
Citigroup Inc. 1.550% 8/14/17 44 44
Citigroup Inc. 6.125% 5/15/18 670 738
Commonwealth Bank of Australia 1.400% 9/8/17 850 851
Commonwealth Bank of Australia 1.900% 9/18/17 250 252
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 3.375% 1/19/17 1,521 1,561
Deutsche Bank AG 3.250% 1/11/16 208 209
Fifth Third Bancorp 4.500% 6/1/18 529 560
Goldman Sachs Group Inc. 5.350% 1/15/16 50 50
Goldman Sachs Group Inc. 3.625% 2/7/16 235 237
Goldman Sachs Group Inc. 6.250% 9/1/17 1,150 1,245
HSBC Bank USA NA 6.000% 8/9/17 450 482
HSBC USA Inc. 1.300% 6/23/17 1,264 1,262
Huntington National Bank 1.375% 4/24/17 1,500 1,494
6 ING Bank NV 3.750% 3/7/17 1,500 1,544
JPMorgan Chase & Co. 2.600% 1/15/16 162 163
JPMorgan Chase & Co. 1.125% 2/26/16 154 154
JPMorgan Chase & Co. 3.450% 3/1/16 14 14
JPMorgan Chase & Co. 3.150% 7/5/16 319 324
JPMorgan Chase & Co. 1.350% 2/15/17 14 14
JPMorgan Chase & Co. 2.000% 8/15/17 41 41
JPMorgan Chase & Co. 6.000% 1/15/18 730 797
Lloyds Bank plc 4.875% 1/21/16 650 656
6 Macquarie Bank Ltd. 2.000% 8/15/16 416 419
6 Macquarie Bank Ltd. 1.650% 3/24/17 1,000 1,002
Manufacturers & Traders Trust Co. 1.400% 7/25/17 1,449 1,443
Morgan Stanley 1.750% 2/25/16 461 463
Morgan Stanley 5.750% 10/18/16 300 314
Morgan Stanley 1.875% 1/5/18 800 804
MUFG Union Bank NA 2.125% 6/16/17 2,000 2,021
National Australia Bank Ltd. 2.750% 3/9/17 1,130 1,153
National Australia Bank Ltd. 1.875% 7/23/18 760 762
National City Bank 5.250% 12/15/16 500 521
6 Nordea Bank AB 1.875% 9/17/18 1,000 1,000
PNC Bank NA 1.150% 11/1/16 250 250
PNC Bank NA 1.500% 10/18/17 310 310
PNC Funding Corp. 2.700% 9/19/16 485 492
Royal Bank of Canada 1.250% 6/16/17 1,496 1,497
Royal Bank of Scotland plc 4.375% 3/16/16 240 243
State Street Corp. 2.875% 3/7/16 770 776
State Street Corp. 1.350% 5/15/18 350 349
Toronto-Dominion Bank 2.500% 7/14/16 1,233 1,249
Toronto-Dominion Bank 1.750% 7/23/18 1,580 1,587
UBS AG 1.375% 6/1/17 570 569
UBS AG 1.375% 8/14/17 600 599

 

 

US Bank NA 1.375% 9/11/17 635 636
US Bank NA 1.350% 1/26/18 400 399
Wells Fargo & Co. 1.250% 7/20/16 735 738
Wells Fargo & Co. 2.100% 5/8/17 744 754
Westpac Banking Corp. 3.000% 12/9/15 362 363
Westpac Banking Corp. 0.950% 1/12/16 64 64
Westpac Banking Corp. 1.050% 11/25/16 64 64
Westpac Banking Corp. 1.200% 5/19/17 64 64
Westpac Banking Corp. 2.000% 8/14/17 64 65
 
Brokerage (0.8%)        
Ameriprise Financial Inc. 5.650% 11/15/15 214 214
BlackRock Inc. 6.250% 9/15/17 400 437
Franklin Resources Inc. 1.375% 9/15/17 214 215
Nomura Holdings Inc. 4.125% 1/19/16 200 202
Nomura Holdings Inc. 2.000% 9/13/16 800 805
NYSE Euronext 2.000% 10/5/17 1,667 1,686
 
Finance Companies (0.2%)        
Air Lease Corp. 5.625% 4/1/17 116 121
6 GE Capital International Funding Co. 0.964% 4/15/16 315 316
General Electric Capital Corp. 2.250% 11/9/15 17 17
General Electric Capital Corp. 1.000% 12/11/15 17 17
General Electric Capital Corp. 5.000% 1/8/16 17 17
General Electric Capital Corp. 2.950% 5/9/16 17 17
General Electric Capital Corp. 1.500% 7/12/16 17 17
General Electric Capital Corp. 3.350% 10/17/16 17 18
General Electric Capital Corp. 2.900% 1/9/17 17 17
General Electric Capital Corp. 5.400% 2/15/17 17 18
General Electric Capital Corp. 2.450% 3/15/17 132 135
General Electric Capital Corp. 5.625% 9/15/17 17 18
5 HSBC Finance Corp. 0.754% 6/1/16 216 216
 
Insurance (0.5%)        
6 MassMutual Global Funding II 3.125% 4/14/16 160 162
6 MassMutual Global Funding II 2.000% 4/5/17 159 160
MetLife Inc. 6.750% 6/1/16 372 385
Travelers Cos. Inc. 5.750% 12/15/17 1,302 1,419
UnitedHealth Group Inc. 1.450% 7/17/17 320 322
 
Real Estate Investment Trusts (0.4%)        
Brandywine Operating Partnership LP 5.700% 5/1/17 116 122
DDR Corp. 7.500% 4/1/17 886 955
Welltower Inc. 3.625% 3/15/16 260 263
Welltower Inc. 2.250% 3/15/18 400 401
        58,158
Industrial (12.5%)        
Basic Industry (1.3%)        
Air Products & Chemicals Inc. 2.000% 8/2/16 1,164 1,175
Airgas Inc. 2.950% 6/15/16 225 227
Airgas Inc. 1.650% 2/15/18 100 99
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 70 70
BHP Billiton Finance USA Ltd. 1.875% 11/21/16 571 574
BHP Billiton Finance USA Ltd. 1.625% 2/24/17 271 272
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 71 75
Eastman Chemical Co. 3.000% 12/15/15 270 271
Eastman Chemical Co. 2.400% 6/1/17 550 556

 

 

Ecolab Inc. 3.000% 12/8/16 500 510
Ecolab Inc. 1.450% 12/8/17 381 380
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 30 31
PPG Industries Inc. 1.900% 1/15/16 326 327
Praxair Inc. 0.750% 2/21/16 200 200
Praxair Inc. 5.200% 3/15/17 1,100 1,160
 
Capital Goods (0.9%)        
Boeing Capital Corp. 2.125% 8/15/16 214 216
Danaher Corp. 2.300% 6/23/16 214 216
General Dynamics Corp. 2.250% 7/15/16 214 217
General Dynamics Corp. 1.000% 11/15/17 200 200
General Electric Co. 5.250% 12/6/17 300 324
John Deere Capital Corp. 0.750% 1/22/16 76 76
John Deere Capital Corp. 2.250% 6/7/16 25 25
John Deere Capital Corp. 1.850% 9/15/16 25 25
John Deere Capital Corp. 1.050% 10/11/16 16 16
John Deere Capital Corp. 1.050% 12/15/16 16 16
John Deere Capital Corp. 2.000% 1/13/17 25 25
John Deere Capital Corp. 1.400% 3/15/17 25 25
John Deere Capital Corp. 1.125% 6/12/17 135 135
John Deere Capital Corp. 2.800% 9/18/17 25 26
John Deere Capital Corp. 1.200% 10/10/17 870 869
Lockheed Martin Corp. 2.125% 9/15/16 275 278
Mohawk Industries Inc. 6.125% 1/15/16 275 278
Precision Castparts Corp. 1.250% 1/15/18 950 945
6 Siemens Financieringsmaatschappij NV 1.450% 5/25/18 400 399
 
Communication (1.5%)        
America Movil SAB de CV 2.375% 9/8/16 1,250 1,261
AT&T Inc. 2.950% 5/15/16 425 430
Comcast Cable Communications LLC 8.875% 5/1/17 46 51
Comcast Corp. 6.500% 1/15/17 46 49
Deutsche Telekom International Finance BV 5.750% 3/23/16 825 840
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 2.400% 3/15/17 300 304
6 McGraw Hill Financial Inc. 2.500% 8/15/18 500 504
NBCUniversal Media LLC 2.875% 4/1/16 1,652 1,668
Omnicom Group Inc. 5.900% 4/15/16 550 562
Thomson Reuters Corp. 0.875% 5/23/16 500 500
Verizon Communications Inc. 2.500% 9/15/16 658 667
Verizon Communications Inc. 1.350% 6/9/17 308 308
 
Consumer Cyclical (2.0%)        
American Honda Finance Corp. 1.125% 10/7/16 214 215
American Honda Finance Corp. 0.950% 5/5/17 400 400
American Honda Finance Corp. 1.550% 12/11/17 400 402
AutoZone Inc. 5.500% 11/15/15 232 232
6 Daimler Finance North America LLC 2.625% 9/15/16 180 182
6 Daimler Finance North America LLC 1.600% 8/3/17 400 399
6 Daimler Finance North America LLC 1.650% 5/18/18 400 396
Ford Motor Credit Co. LLC 4.207% 4/15/16 290 294
Ford Motor Credit Co. LLC 3.984% 6/15/16 100 102
Ford Motor Credit Co. LLC 4.250% 2/3/17 300 309
Ford Motor Credit Co. LLC 6.625% 8/15/17 100 108
6 Harley-Davidson Financial Services Inc. 3.875% 3/15/16 353 357
6 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 553 564
Lowe's Cos. Inc. 2.125% 4/15/16 700 704

 

 

Lowe's Cos. Inc. 1.625% 4/15/17 108 109
Lowe's Cos. Inc. 6.100% 9/15/17 108 117
PACCAR Financial Corp. 1.600% 3/15/17 735 740
PACCAR Financial Corp. 1.750% 8/14/18 290 291
Starbucks Corp. 0.875% 12/5/16 425 425
Target Corp. 6.000% 1/15/18 625 688
Toyota Motor Credit Corp. 0.800% 5/17/16 100 100
Toyota Motor Credit Corp. 2.000% 9/15/16 100 101
Toyota Motor Credit Corp. 2.050% 1/12/17 500 507
Toyota Motor Credit Corp. 1.750% 5/22/17 400 404
Toyota Motor Credit Corp. 1.375% 1/10/18 400 401
Wal-Mart Stores Inc. 0.600% 4/11/16 124 124
Wal-Mart Stores Inc. 2.800% 4/15/16 124 125
Wal-Mart Stores Inc. 5.375% 4/5/17 124 132
6 Wesfarmers Ltd. 2.983% 5/18/16 259 262
 
Consumer Noncyclical (3.9%)        
AbbVie Inc. 1.800% 5/14/18 450 451
Actavis Funding SCS 1.850% 3/1/17 99 99
Actavis Funding SCS 1.300% 6/15/17 100 99
Actavis Funding SCS 2.350% 3/12/18 39 39
Actavis Inc. 1.875% 10/1/17 39 39
Agilent Technologies Inc. 6.500% 11/1/17 116 126
Amgen Inc. 2.500% 11/15/16 55 56
Amgen Inc. 2.125% 5/15/17 58 59
Amgen Inc. 5.850% 6/1/17 58 62
AstraZeneca plc 5.900% 9/15/17 1,280 1,392
6 Baxalta Inc. 2.000% 6/22/18 250 249
6 Cargill Inc. 1.900% 3/1/17 459 462
Celgene Corp. 1.900% 8/15/17 370 373
Clorox Co. 5.950% 10/15/17 700 757
Coca-Cola Co. 0.875% 10/27/17 2,000 1,995
Covidien International Finance SA 6.000% 10/15/17 400 436
Gilead Sciences Inc. 3.050% 12/1/16 1,239 1,268
Gilead Sciences Inc. 1.850% 9/4/18 500 505
GlaxoSmithKline Capital plc 1.500% 5/8/17 265 267
Hershey Co. 1.600% 8/21/18 1,500 1,513
JM Smucker Co. 1.750% 3/15/18 500 501
Medtronic Inc. 2.625% 3/15/16 1,350 1,359
Mondelez International Inc. 4.125% 2/9/16 58 59
Mylan Inc. 1.800% 6/24/16 180 180
PepsiCo Inc. 2.500% 5/10/16 625 631
PepsiCo Inc. 1.125% 7/17/17 700 703
PepsiCo Inc. 1.250% 8/13/17 500 502
Philip Morris International Inc. 1.250% 8/11/17 1,000 1,003
Reynolds American Inc. 2.300% 6/12/18 600 608
6 Roche Holdings Inc. 1.350% 9/29/17 1,000 1,004
St. Jude Medical Inc. 2.500% 1/15/16 319 320
Teva Pharmaceutical Finance Co. BV 2.400% 11/10/16 360 364
Tyson Foods Inc. 6.600% 4/1/16 216 221
Zimmer Biomet Holdings Inc. 2.000% 4/1/18 350 350
 
Energy (1.6%)        
Chevron Corp. 1.345% 11/15/17 2,500 2,508
El Paso Natural Gas Co. LLC 5.950% 4/15/17 17 18
Energy Transfer Partners LP 6.125% 2/15/17 116 121
Energy Transfer Partners LP 2.500% 6/15/18 500 494
Enterprise Products Operating LLC 6.300% 9/15/17 170 184

 

 

Enterprise Products Operating LLC 1.650% 5/7/18 700 694
Kinder Morgan Energy Partners LP 3.500% 3/1/16 117 118
Kinder Morgan Energy Partners LP 6.000% 2/1/17 17 18
Kinder Morgan Energy Partners LP 5.950% 2/15/18 17 18
Kinder Morgan Inc. 7.000% 6/15/17 17 18
Kinder Morgan Inc. 2.000% 12/1/17 17 17
Occidental Petroleum Corp. 4.125% 6/1/16 600 612
Occidental Petroleum Corp. 1.500% 2/15/18 850 848
Shell International Finance BV 0.625% 12/4/15 300 300
Shell International Finance BV 1.125% 8/21/17 500 499
6 Southern Natural Gas Co. LLC 5.900% 4/1/17 17 18
Total Capital International SA 1.500% 2/17/17 687 691
Total Capital International SA 1.550% 6/28/17 187 188
 
Technology (1.0%)        
Apple Inc. 0.900% 5/12/17 300 301
Applied Materials Inc. 2.650% 6/15/16 800 811
Corning Inc. 1.500% 5/8/18 300 296
6 Hewlett Packard Enterprise Co. 2.450% 10/5/17 500 502
6 Hewlett Packard Enterprise Co. 2.850% 10/5/18 500 501
Intel Corp. 1.950% 10/1/16 214 217
Intel Corp. 1.350% 12/15/17 200 201
Microsoft Corp. 1.300% 11/3/18 500 500
Oracle Corp. 5.250% 1/15/16 367 371
Oracle Corp. 1.200% 10/15/17 350 351
Oracle Corp. 5.750% 4/15/18 400 441
QUALCOMM Inc. 1.400% 5/18/18 400 398
 
Transportation (0.3%)        
Canadian National Railway Co. 5.850% 11/15/17 345 375
6 ERAC USA Finance LLC 1.400% 4/15/16 308 308
6 ERAC USA Finance LLC 6.375% 10/15/17 58 63
Ryder System Inc. 2.500% 3/1/17 275 278
United Parcel Service Inc. 1.125% 10/1/17 214 215
        58,117
Utilities (2.7%)        
Electric (2.7%)        
Arizona Public Service Co. 6.250% 8/1/16 420 437
Baltimore Gas & Electric Co. 5.900% 10/1/16 54 56
Berkshire Hathaway Energy Co. 5.750% 4/1/18 116 127
CMS Energy Corp. 6.550% 7/17/17 589 637
CMS Energy Corp. 5.050% 2/15/18 39 42
Commonwealth Edison Co. 5.950% 8/15/16 54 56
Commonwealth Edison Co. 1.950% 9/1/16 54 54
Commonwealth Edison Co. 6.150% 9/15/17 454 493
Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 900 1,041
Consumers Energy Co. 5.500% 8/15/16 119 123
Consumers Energy Co. 5.150% 2/15/17 135 142
Consumers Energy Co. 5.650% 9/15/18 121 134
Consumers Energy Co. 6.125% 3/15/19 125 142
Duke Energy Carolinas LLC 7.000% 11/15/18 723 836
Duke Energy Florida Inc. 0.650% 11/15/15 38 38
Duke Energy Florida Inc. 5.100% 12/1/15 38 38
Duke Energy Florida Llc 5.800% 9/15/17 246 266
Duke Energy Florida Llc 5.650% 6/15/18 50 55
Duke Energy Progress Inc. 5.250% 12/15/15 38 38
Edison International 3.750% 9/15/17 1,200 1,246

 

 

Exelon Corp. 1.550% 6/9/17 600 599
Georgia Power Co. 5.700% 6/1/17 650 694
Louisville Gas & Electric Co. 1.625% 11/15/15 414 414
National Rural Utilities Cooperative Finance        
Corp. 1.900% 11/1/15 171 171
National Rural Utilities Cooperative Finance        
Corp. 3.050% 3/1/16 671 676
National Rural Utilities Cooperative Finance        
Corp. 5.450% 4/10/17 221 235
National Rural Utilities Cooperative Finance        
Corp. 0.950% 4/24/17 225 225
Pacific Gas & Electric Co. 5.625% 11/30/17 1,555 1,680
Pacific Gas & Electric Co. 8.250% 10/15/18 300 354
TECO Finance Inc. 4.000% 3/15/16 143 145
TECO Finance Inc. 6.572% 11/1/17 58 63
5 TECO Finance Inc. 0.920% 4/10/18 100 99
Union Electric Co. 6.400% 6/15/17 464 500
Xcel Energy Inc. 0.750% 5/9/16 250 250
Xcel Energy Inc. 1.200% 6/1/17 300 299
        12,405
Total Corporate Bonds (Cost $128,679)       128,680
Sovereign Bonds (U.S. Dollar-Denominated) (1.1%)        
CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 800 798
Corp. Andina de Fomento 3.750% 1/15/16 150 151
Corp. Andina de Fomento 7.790% 3/1/17 200 216
Export-Import Bank of Korea 3.750% 10/20/16 200 205
Export-Import Bank of Korea 4.000% 1/11/17 500 515
Export-Import Bank of Korea 1.750% 2/27/18 50 50
Korea Development Bank 3.250% 3/9/16 100 101
Korea Development Bank 4.000% 9/9/16 1,000 1,024
Korea Development Bank 2.250% 8/7/17 200 202
North American Development Bank 2.300% 10/10/18 300 304
Province of Ontario 2.300% 5/10/16 400 404
Province of Ontario 1.600% 9/21/16 400 403
Statoil ASA 3.125% 8/17/17 200 207
Statoil ASA 1.200% 1/17/18 300 299
Svensk Exportkredit AB 0.625% 5/31/16 300 300
Total Sovereign Bonds (Cost $5,182)       5,179
Taxable Municipal Bond (0.1%)        
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL (Cost $256) 3.220% 2/1/21 247 254
      Shares  
Temporary Cash Investment (18.8%)        
Money Market Fund (18.8%)        
7 Vanguard Market Liquidity Fund (Cost        
$86,922) 0.207%   86,922,055 86,922
Total Investments (99.0%) (Cost $458,711)       458,521
Other Assets and Liabilities-Net (1.0%)       4,827
Net Assets (100%)       463,348

 

1      Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
2      The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3      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.
 

4      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.
5      Adjustable-rate security.
6      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 October 31, 2015, the aggregate value of these securities was $50,487,000, representing 10.9% of net assets.
7      Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
A.      Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange

(generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. 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—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 93,178 —
Asset-Backed/Commercial Mortgage-Backed Securities — 143,628 680
Corporate Bonds — 128,680  
Sovereign Bonds — 5,179 —
Taxable Municipal Bonds — 254 —
Temporary Cash Investments 86,922 — —
Futures Contracts—Assets1 15    
Futures Contracts—Liabilities1 (5) — —
Total 86,932 370,919 680
1 Represents variation margin on the last day of the reporting period.    

 

C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds

 

held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At October 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
2-Year U.S. Treasury Note December 2015 (88) (19,242) 51
90-Day Euro December 2015 49 12,200 5
5-Year U.S. Treasury Note December 2015 (12) (1,437) 8
        64

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

D. At October 31, 2015, the cost of investment securities for tax purposes was $458,711,000. Net unrealized depreciation of investment securities for tax purposes was $190,000, consisting of unrealized gains of $242,000 on securities that had risen in value since their purchase and $432,000 in unrealized losses on securities that had fallen in value since their purchase.


Item 2: 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. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD FIXED INCOME SECURITIES FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 18, 2015

 

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 FIXED INCOME SECURITIES FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 18, 2015

 

  VANGUARD FIXED INCOME SECURITIES FUND
 
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: December 18, 2015

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated by Reference.