N-Q 1 fixedincome_complete.htm fixedincome_complete.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 Funds

 

Address of Registrant:

P.O. Box 2600
Valley Forge, PA 19482

 

Name and address of agent for service:

Anne E. Robinson, Esquire
P.O. Box 876
Valley Forge, PA 19482

 

Date of fiscal year end:    January 31st

 

Date of reporting period:     April 30, 2017

 

Item 1: Schedule of Investments

 


Vanguard Long-Term Investment-Grade Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (5.5%)        
U.S. Government Securities (5.3%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 15,410 15,557
1 United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 1,000 1,050
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 1,650 1,651
  United States Treasury Note/Bond 0.750% 12/31/17 22,000 21,955
  United States Treasury Note/Bond 1.000% 12/31/17 3,349 3,347
  United States Treasury Note/Bond 0.750% 1/31/18 100 100
  United States Treasury Note/Bond 1.000% 2/15/18 150 150
  United States Treasury Note/Bond 0.750% 4/30/18 4,000 3,984
  United States Treasury Note/Bond 0.875% 7/15/18 500 498
  United States Treasury Note/Bond 1.250% 12/15/18 3,600 3,601
  United States Treasury Note/Bond 0.875% 5/15/19 2,965 2,941
  United States Treasury Note/Bond 1.375% 10/31/20 5,820 5,778
  United States Treasury Note/Bond 1.375% 4/30/21 4,200 4,150
  United States Treasury Note/Bond 2.000% 8/31/21 5,057 5,111
  United States Treasury Note/Bond 1.875% 10/31/22 4,267 4,258
  United States Treasury Note/Bond 2.250% 11/15/24 11,600 11,676
  United States Treasury Note/Bond 2.000% 8/15/25 1,900 1,868
  United States Treasury Note/Bond 2.250% 11/15/25 13,957 13,964
  United States Treasury Note/Bond 1.625% 5/15/26 1,250 1,184
2 United States Treasury Note/Bond 6.125% 8/15/29 43,302 60,535
  United States Treasury Note/Bond 6.250% 5/15/30 48,956 70,022
  United States Treasury Note/Bond 5.375% 2/15/31 52,357 70,608
2 United States Treasury Note/Bond 4.500% 2/15/36 193,330 248,006
  United States Treasury Note/Bond 4.750% 2/15/37 8,000 10,567
  United States Treasury Note/Bond 5.000% 5/15/37 5,000 6,805
  United States Treasury Note/Bond 4.250% 5/15/39 600 742
  United States Treasury Note/Bond 3.750% 11/15/43 2,500 2,880
  United States Treasury Note/Bond 3.375% 5/15/44 7,300 7,894
  United States Treasury Note/Bond 3.125% 8/15/44 34,618 35,776
  United States Treasury Note/Bond 3.000% 11/15/44 9,210 9,293
1 United States Treasury Note/Bond 2.500% 2/15/45 28,662 26,110
  United States Treasury Note/Bond 2.875% 8/15/45 3,700 3,636
2 United States Treasury Note/Bond 3.000% 11/15/45 46,585 46,927
1,2 United States Treasury Note/Bond 2.500% 2/15/46 31,825 28,921
  United States Treasury Note/Bond 2.500% 5/15/46 3,250 2,951
  United States Treasury Note/Bond 2.250% 8/15/46 19,500 16,733
  United States Treasury Note/Bond 2.875% 11/15/46 36,000 35,381
          786,610
Agency Bonds and Notes (0.2%)        
3 Tennessee Valley Authority 5.250% 9/15/39 18,800 24,201
3 Tennessee Valley Authority 4.250% 9/15/65 10,000 10,817
          35,018
Total U.S. Government and Agency Obligations (Cost $811,284)     821,628

 

 

Corporate Bonds (77.3%)        
Finance (18.0%)        
Banking (11.0%)        
Bank of America Corp. 3.248% 10/21/27 14,160 13,580
4 Bank of America Corp. 3.824% 1/20/28 12,200 12,269
4 Bank of America Corp. 3.705% 4/24/28 35,080 34,996
Bank of America Corp. 6.110% 1/29/37 15,000 17,630
4 Bank of America Corp. 4.244% 4/24/38 29,825 29,750
Bank of America Corp. 5.875% 2/7/42 19,230 23,406
4 Bank of America Corp. 4.443% 1/20/48 30,000 30,251
Bank of America NA 6.000% 10/15/36 20,450 25,176
Bank One Corp. 8.000% 4/29/27 27,769 36,137
4 Citigroup Inc. 3.887% 1/10/28 12,505 12,659
Citigroup Inc. 4.650% 7/30/45 13,983 14,607
5 Commonwealth Bank of Australia 4.500% 12/9/25 1,800 1,892
Cooperatieve Rabobank UA 5.250% 5/24/41 6,400 7,590
Cooperatieve Rabobank UA 5.750% 12/1/43 43,351 50,990
Cooperatieve Rabobank UA 5.250% 8/4/45 4,310 4,798
5 Credit Agricole SA 4.125% 1/10/27 250 253
5 Credit Suisse Group AG 4.282% 1/9/28 1,585 1,612
Goldman Sachs Group Inc. 3.750% 2/25/26 9,845 9,982
Goldman Sachs Group Inc. 3.500% 11/16/26 27,800 27,546
Goldman Sachs Group Inc. 3.850% 1/26/27 8,010 8,118
Goldman Sachs Group Inc. 6.125% 2/15/33 38,270 46,593
Goldman Sachs Group Inc. 6.450% 5/1/36 49,400 59,189
Goldman Sachs Group Inc. 6.750% 10/1/37 30,000 37,455
Goldman Sachs Group Inc. 6.250% 2/1/41 25,625 32,287
Goldman Sachs Group Inc. 4.800% 7/8/44 16,792 17,981
Goldman Sachs Group Inc. 4.750% 10/21/45 15,864 16,887
HSBC Bank USA NA 5.875% 11/1/34 34,700 41,838
HSBC Bank USA NA 5.625% 8/15/35 22,425 26,244
HSBC Holdings plc 4.300% 3/8/26 500 528
HSBC Holdings plc 4.375% 11/23/26 1,505 1,545
4 HSBC Holdings plc 4.041% 3/13/28 11,615 11,859
HSBC Holdings plc 7.625% 5/17/32 21,200 28,150
HSBC Holdings plc 6.500% 5/2/36 8,370 10,328
HSBC Holdings plc 6.500% 9/15/37 36,245 44,982
HSBC Holdings plc 6.800% 6/1/38 58,749 75,092
HSBC Holdings plc 6.100% 1/14/42 9,720 12,253
4 JPMorgan Chase & Co. 3.782% 2/1/28 27,000 27,454
JPMorgan Chase & Co. 6.400% 5/15/38 70,515 91,426
JPMorgan Chase & Co. 5.500% 10/15/40 24,815 29,257
JPMorgan Chase & Co. 5.600% 7/15/41 11,467 13,709
JPMorgan Chase & Co. 5.625% 8/16/43 24,395 28,173
4 JPMorgan Chase & Co. 4.260% 2/22/48 51,885 52,028
Lloyds Banking Group plc 3.750% 1/11/27 1,505 1,501
5 Macquarie Bank Ltd. 4.875% 6/10/25 340 357
Morgan Stanley 3.125% 7/27/26 14,675 14,160
6 Morgan Stanley 2.625% 3/9/27 1,140 1,492
Morgan Stanley 7.250% 4/1/32 32,360 44,289
Morgan Stanley 6.375% 7/24/42 38,361 49,397
Morgan Stanley 4.300% 1/27/45 34,880 34,584
Morgan Stanley 4.375% 1/22/47 48,245 48,501
5 UBS Group Funding Switzerland AG 4.253% 3/23/28 1,040 1,076
Wachovia Corp. 5.500% 8/1/35 21,905 24,837
Wells Fargo & Co. 5.375% 2/7/35 9,664 11,217
Wells Fargo & Co. 5.375% 11/2/43 58,692 65,014

 

 

Wells Fargo & Co. 5.606% 1/15/44 142,608 162,783
Wells Fargo & Co. 4.650% 11/4/44 11,572 11,675
Wells Fargo & Co. 3.900% 5/1/45 13,260 12,815
Wells Fargo & Co. 4.900% 11/17/45 21,895 22,959
Wells Fargo & Co. 4.400% 6/14/46 40,240 39,126
Wells Fargo & Co. 4.750% 12/7/46 37,465 38,474
Wells Fargo Bank NA 6.600% 1/15/38 500 661
4 Westpac Banking Corp. 4.322% 11/23/31 3,385 3,462
 
Brokerage (0.2%)        
5 FMR LLC 6.450% 11/15/39 18,200 23,429
Invesco Finance plc 5.375% 11/30/43 2,700 3,094
Legg Mason Inc. 5.625% 1/15/44 2,000 2,051
 
Finance Companies (1.9%)        
GE Capital International Funding Co. 4.418% 11/15/35 260,979 278,958
 
Insurance (4.7%)        
ACE Capital Trust II 9.700% 4/1/30 7,050 10,557
Aetna Inc. 4.125% 11/15/42 24,995 24,926
Aflac Inc. 4.000% 10/15/46 4,000 3,838
Aon plc 4.250% 12/12/42 2,850 2,579
Aon plc 4.750% 5/15/45 3,000 3,041
Arch Capital Finance LLC 5.031% 12/15/46 2,000 2,186
AXA Financial Inc. 7.000% 4/1/28 2,500 3,149
Berkshire Hathaway Finance Corp. 5.750% 1/15/40 1,935 2,426
Berkshire Hathaway Inc. 4.500% 2/11/43 58,057 62,768
Humana Inc. 4.800% 3/15/47 7,100 7,541
5 Jackson National Life Insurance Co. 8.150% 3/15/27 200 264
Loews Corp. 4.125% 5/15/43 1,800 1,753
Marsh & McLennan Cos. Inc. 5.875% 8/1/33 1,600 1,953
Marsh & McLennan Cos. Inc. 4.350% 1/30/47 14,595 15,083
5 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 4,370 7,060
5 Massachusetts Mutual Life Insurance Co. 4.500% 4/15/65 310 300
5 Massachusetts Mutual Life Insurance Co. 4.900% 4/1/77 7,150 7,343
MetLife Inc. 4.125% 8/13/42 39,795 39,437
MetLife Inc. 4.050% 3/1/45 8,365 8,197
MetLife Inc. 4.600% 5/13/46 9,700 10,360
4 MetLife Inc. 5.250% 12/29/49 195 203
5 Metropolitan Life Insurance Co. 7.800% 11/1/25 23,750 30,825
5 Nationwide Mutual Insurance Co. 8.250% 12/1/31 5,035 7,149
5 Nationwide Mutual Insurance Co. 9.375% 8/15/39 26,031 42,102
5 Nationwide Mutual Insurance Co. 4.950% 4/22/44 13,215 13,899
5 New York Life Insurance Co. 5.875% 5/15/33 40,400 50,159
5 Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 19,090 24,513
Progressive Corp. 3.700% 1/26/45 1,750 1,645
Progressive Corp. 4.125% 4/15/47 4,615 4,705
4 Progressive Corp. 6.700% 6/15/67 1,451 1,455
Prudential Financial Inc. 5.700% 12/14/36 2,031 2,444
Prudential Financial Inc. 6.625% 12/1/37 8,744 11,483
Prudential Financial Inc. 5.800% 11/16/41 13,606 16,557
Prudential Financial Inc. 4.600% 5/15/44 5,000 5,353
4 Prudential Financial Inc. 5.375% 5/15/45 270 286
5 Swiss Re Treasury US Corp. 4.250% 12/6/42 12,470 12,349
5 Teachers Insurance & Annuity Assn. of        
America 4.900% 9/15/44 10,720 11,780

 

 

5 Teachers Insurance & Annuity Association of        
America 6.850% 12/16/39 18,844 25,672
Travelers Cos. Inc. 6.750% 6/20/36 500 679
Travelers Cos. Inc. 6.250% 6/15/37 1,355 1,784
UnitedHealth Group Inc. 4.625% 7/15/35 17,955 19,756
UnitedHealth Group Inc. 5.800% 3/15/36 49,846 61,553
UnitedHealth Group Inc. 6.500% 6/15/37 1,100 1,452
UnitedHealth Group Inc. 6.625% 11/15/37 800 1,078
UnitedHealth Group Inc. 6.875% 2/15/38 21,847 30,109
UnitedHealth Group Inc. 4.375% 3/15/42 25,000 26,014
UnitedHealth Group Inc. 4.750% 7/15/45 47,450 52,722
UnitedHealth Group Inc. 4.250% 4/15/47 36,710 37,892
 
Real Estate Investment Trusts (0.2%)        
Brandywine Operating Partnership LP 4.550% 10/1/29 3,855 3,868
Brixmor Operating Partnership LP 3.900% 3/15/27 460 457
Federal Realty Investment Trust 4.500% 12/1/44 1,000 1,028
HCP Inc. 4.000% 6/1/25 848 858
HCP Inc. 6.750% 2/1/41 875 1,085
Omega Healthcare Investors Inc. 5.250% 1/15/26 3,439 3,628
Omega Healthcare Investors Inc. 4.750% 1/15/28 2,275 2,264
Simon Property Group LP 4.250% 10/1/44 13,755 13,337
        2,701,316
Industrial (45.3%)        
Basic Industry (0.8%)        
BHP Billiton Finance USA Ltd. 4.125% 2/24/42 16,000 16,141
BHP Billiton Finance USA Ltd. 5.000% 9/30/43 36,820 41,909
CF Industries Inc. 3.450% 6/1/23 165 154
CF Industries Inc. 4.950% 6/1/43 1,000 838
Monsanto Co. 4.200% 7/15/34 400 399
Monsanto Co. 3.600% 7/15/42 600 513
Monsanto Co. 4.400% 7/15/44 1,000 983
Monsanto Co. 3.950% 4/15/45 1,000 907
Monsanto Co. 4.700% 7/15/64 19,565 18,596
Rio Tinto Finance USA plc 4.750% 3/22/42 1,400 1,508
Rio Tinto Finance USA plc 4.125% 8/21/42 40,255 39,572
 
Capital Goods (3.5%)        
3M Co. 5.700% 3/15/37 13,500 16,875
3M Co. 3.125% 9/19/46 15,000 13,210
Boeing Co. 6.125% 2/15/33 13,565 17,541
Boeing Co. 5.875% 2/15/40 1,000 1,285
Boeing Co. 7.875% 4/15/43 5,900 9,112
Caterpillar Inc. 6.050% 8/15/36 3,082 3,881
Caterpillar Inc. 3.803% 8/15/42 28,680 27,862
Caterpillar Inc. 4.300% 5/15/44 8,639 9,017
Deere & Co. 7.125% 3/3/31 13,500 18,768
Dover Corp. 6.600% 3/15/38 1,375 1,793
Emerson Electric Co. 6.000% 8/15/32 1,071 1,356
Emerson Electric Co. 5.250% 11/15/39 1,000 1,172
General Electric Capital Corp. 6.750% 3/15/32 48,214 65,889
General Electric Capital Corp. 6.150% 8/7/37 7,031 9,171
General Electric Capital Corp. 5.875% 1/14/38 34,584 44,149
General Electric Capital Corp. 6.875% 1/10/39 11,174 15,961
General Electric Co. 4.125% 10/9/42 12,840 13,255
General Electric Co. 4.500% 3/11/44 12,195 13,293
4 General Electric Co. 5.000% 12/29/49 1,184 1,258

 

 

  Lockheed Martin Corp. 3.600% 3/1/35 15,870 15,376
  Lockheed Martin Corp. 4.850% 9/15/41 27,319 30,175
  Lockheed Martin Corp. 4.070% 12/15/42 10,120 10,067
  Lockheed Martin Corp. 3.800% 3/1/45 13,625 13,009
5,7 Parker-Hannifin Corp. 1.125% 3/1/25 500 548
  Raytheon Co. 4.700% 12/15/41 37,524 41,974
  United Technologies Corp. 7.500% 9/15/29 1,500 2,129
  United Technologies Corp. 6.125% 7/15/38 55,575 71,663
  United Technologies Corp. 5.700% 4/15/40 22,500 27,657
  United Technologies Corp. 4.500% 6/1/42 19,110 20,665
 
  Communication (4.2%)        
  21st Century Fox America Inc. 7.900% 12/1/95 3,975 5,253
  America Movil SAB de CV 6.375% 3/1/35 5,300 6,333
  America Movil SAB de CV 6.125% 3/30/40 22,525 26,573
  America Movil SAB de CV 4.375% 7/16/42 350 344
  AT&T Inc. 5.250% 3/1/37 1,700 1,744
  Charter Communications Operating LLC /        
  Charter Communications Operating Capital 6.384% 10/23/35 2,257 2,591
  Charter Communications Operating LLC /        
  Charter Communications Operating Capital 6.484% 10/23/45 6,879 8,043
5 Charter Communications Operating LLC /        
  Charter Communications Operating Capital 5.375% 5/1/47 6,410 6,547
  Comcast Corp. 4.250% 1/15/33 14,105 14,625
  Comcast Corp. 7.050% 3/15/33 1,000 1,337
  Comcast Corp. 4.200% 8/15/34 1,550 1,586
  Comcast Corp. 5.650% 6/15/35 40,314 47,717
  Comcast Corp. 6.500% 11/15/35 2,000 2,560
  Comcast Corp. 3.200% 7/15/36 15,870 14,174
  Comcast Corp. 6.450% 3/15/37 17,790 22,856
  Comcast Corp. 6.950% 8/15/37 65,717 88,445
  Comcast Corp. 6.400% 5/15/38 10,095 12,956
  Comcast Corp. 6.550% 7/1/39 11,765 15,436
  Comcast Corp. 6.400% 3/1/40 19,365 25,030
  Comcast Corp. 4.650% 7/15/42 1,800 1,879
  Comcast Corp. 4.500% 1/15/43 14,610 14,940
  Comcast Corp. 4.750% 3/1/44 56,495 60,117
  Comcast Corp. 4.600% 8/15/45 36,195 37,701
  Comcast Corp. 3.400% 7/15/46 18,115 15,709
5 COX Communications Inc. 6.450% 12/1/36 9,000 9,438
5 COX Communications Inc. 8.375% 3/1/39 19,110 23,849
  Grupo Televisa SAB 5.000% 5/13/45 1,500 1,427
  Grupo Televisa SAB 6.125% 1/31/46 1,500 1,632
  NBCUniversal Media LLC 6.400% 4/30/40 2,850 3,663
  NBCUniversal Media LLC 5.950% 4/1/41 18,000 22,031
  NBCUniversal Media LLC 4.450% 1/15/43 35,260 35,786
  Orange SA 9.000% 3/1/31 2,000 2,987
  Qwest Corp. 6.875% 9/15/33 1,699 1,697
  Time Warner Cable LLC 6.550% 5/1/37 16,975 19,750
  Verizon Communications Inc. 5.050% 3/15/34 2,000 2,043
  Verizon Communications Inc. 5.250% 3/16/37 25,255 26,359
  Verizon Communications Inc. 4.522% 9/15/48 9,000 8,292
  Viacom Inc. 5.250% 4/1/44 2,000 1,988
  Walt Disney Co. 4.125% 6/1/44 18,715 19,153
  Walt Disney Co. 7.550% 7/15/93 15,750 19,608

 

 

Consumer Cyclical (6.5%)        
Alibaba Group Holding Ltd. 4.500% 11/28/34 500 525
Cummins Inc. 4.875% 10/1/43 1,000 1,126
Ford Motor Co. 7.450% 7/16/31 750 945
Ford Motor Co. 5.291% 12/8/46 18,550 18,767
General Motors Co. 6.600% 4/1/36 2,000 2,292
Home Depot Inc. 5.875% 12/16/36 39,775 50,712
Home Depot Inc. 5.950% 4/1/41 20,470 26,418
Home Depot Inc. 4.200% 4/1/43 6,035 6,265
Home Depot Inc. 4.875% 2/15/44 66,510 76,105
Home Depot Inc. 4.400% 3/15/45 12,900 13,892
Home Depot Inc. 4.250% 4/1/46 20,015 21,034
Home Depot Inc. 3.500% 9/15/56 5,920 5,247
Lowe's Cos. Inc. 6.500% 3/15/29 20,160 26,606
Lowe's Cos. Inc. 5.500% 10/15/35 600 733
Lowe's Cos. Inc. 5.800% 10/15/36 3,560 4,503
Lowe's Cos. Inc. 6.650% 9/15/37 12,497 17,443
Lowe's Cos. Inc. 5.800% 4/15/40 12,565 16,135
Lowe's Cos. Inc. 5.125% 11/15/41 1,400 1,666
Lowe's Cos. Inc. 4.650% 4/15/42 1,250 1,352
Lowe's Cos. Inc. 5.000% 9/15/43 22,740 26,371
Lowe's Cos. Inc. 4.250% 9/15/44 800 818
Lowe's Cos. Inc. 4.375% 9/15/45 1,000 1,039
Lowe's Cos. Inc. 3.700% 4/15/46 52,000 48,806
Lowe's Cos. Inc. 4.050% 5/3/47 52,925 52,628
Mastercard Inc. 3.800% 11/21/46 1,000 992
McDonald's Corp. 6.300% 3/1/38 21,940 27,786
NIKE Inc. 3.625% 5/1/43 30,604 28,747
NIKE Inc. 3.875% 11/1/45 25,000 24,628
NIKE Inc. 3.375% 11/1/46 13,090 11,717
Starbucks Corp. 4.300% 6/15/45 500 537
Target Corp. 7.000% 1/15/38 1,100 1,532
Target Corp. 4.000% 7/1/42 500 487
Target Corp. 3.625% 4/15/46 24,700 22,516
VF Corp. 6.450% 11/1/37 726 943
Visa Inc. 4.150% 12/14/35 25,915 27,463
Visa Inc. 4.300% 12/14/45 47,850 51,280
Wal-Mart Stores Inc. 7.550% 2/15/30 25,800 37,621
Wal-Mart Stores Inc. 5.250% 9/1/35 3,500 4,200
Wal-Mart Stores Inc. 6.500% 8/15/37 33,550 45,337
Wal-Mart Stores Inc. 6.200% 4/15/38 82,350 107,848
Wal-Mart Stores Inc. 5.625% 4/1/40 10,890 13,523
Wal-Mart Stores Inc. 4.875% 7/8/40 20,000 22,684
Wal-Mart Stores Inc. 5.000% 10/25/40 16,855 19,483
Wal-Mart Stores Inc. 5.625% 4/15/41 81,682 102,118
Wal-Mart Stores Inc. 4.000% 4/11/43 4,400 4,433
Wal-Mart Stores Inc. 4.300% 4/22/44 1,000 1,061
Walgreens Boots Alliance Inc. 4.650% 6/1/46 1,500 1,516
 
Consumer Noncyclical (14.2%)        
Abbott Laboratories 4.750% 11/30/36 1,000 1,031
Abbott Laboratories 4.900% 11/30/46 1,000 1,043
Altria Group Inc. 4.250% 8/9/42 7,100 7,108
Altria Group Inc. 4.500% 5/2/43 3,880 4,011
Altria Group Inc. 5.375% 1/31/44 51,590 59,775
Altria Group Inc. 3.875% 9/16/46 26,470 24,801
Amgen Inc. 1.250% 5/22/17 11,660 11,661

 

 

Anheuser-Busch Cos. LLC 6.750% 12/15/27 400 507
Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 13,000 13,269
Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 107,455 114,621
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 17,093 16,447
Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 250,875 273,690
7 Anheuser-Busch InBev SA 3.250% 1/24/33 200 258
7 Anheuser-Busch InBev SA 2.750% 3/17/36 1,229 1,467
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 30,415 46,563
Anheuser-Busch InBev Worldwide Inc. 8.000% 11/15/39 9,220 13,947
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 27,995 26,036
5 Anheuser-Busch InBev Worldwide Inc. 4.439% 10/6/48 34,215 34,835
Archer-Daniels-Midland Co. 4.535% 3/26/42 1,500 1,620
Ascension Health 3.945% 11/15/46 4,685 4,551
4 Ascension Health 4.847% 11/15/53 8,855 9,800
AstraZeneca plc 6.450% 9/15/37 39,100 51,286
AstraZeneca plc 4.375% 11/16/45 34,695 35,847
Bristol-Myers Squibb Co. 4.500% 3/1/44 17,500 18,802
5 Cargill Inc. 4.100% 11/1/42 12,800 12,875
5 Cargill Inc. 4.760% 11/23/45 38,584 42,688
4 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 19,000 16,325
Children's Hospital Medical Center Ohio GO 4.268% 5/15/44 500 523
City of Hope 5.623% 11/15/43 13,480 16,111
Cleveland Clinic Foundation Ohio Revenue 4.858% 1/1/14 6,894 6,790
Coca-Cola Femsa SAB de CV 5.250% 11/26/43 1,200 1,341
Constellation Brands Inc. 4.750% 12/1/25 90 98
Dignity Health California GO 4.500% 11/1/42 19,865 18,708
Dignity Health California GO 5.267% 11/1/64 800 802
Eli Lilly & Co. 3.700% 3/1/45 17,130 16,600
Estee Lauder Cos. Inc. 4.375% 6/15/45 750 786
Estee Lauder Cos. Inc. 4.150% 3/15/47 900 906
Express Scripts Holding Co. 6.125% 11/15/41 2,000 2,251
Express Scripts Holding Co. 4.800% 7/15/46 1,000 970
Gilead Sciences Inc. 4.600% 9/1/35 15,025 15,645
Gilead Sciences Inc. 4.000% 9/1/36 20,000 19,185
Gilead Sciences Inc. 5.650% 12/1/41 22,607 26,106
Gilead Sciences Inc. 4.800% 4/1/44 16,560 17,217
Gilead Sciences Inc. 4.500% 2/1/45 27,930 27,872
Gilead Sciences Inc. 4.750% 3/1/46 16,920 17,480
Gilead Sciences Inc. 4.150% 3/1/47 20,235 19,101
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 15,000 17,597
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 39,725 52,699
5 Grupo Bimbo SAB de CV 4.875% 6/27/44 982 943
Johnson & Johnson 3.550% 3/1/36 57,310 57,287
Johnson & Johnson 3.625% 3/3/37 35,415 35,625
Johnson & Johnson 5.950% 8/15/37 1,462 1,920
Johnson & Johnson 4.500% 12/5/43 5,725 6,369
Johnson & Johnson 3.700% 3/1/46 24,295 23,943
Johnson & Johnson 3.750% 3/3/47 10,000 10,031
Kaiser Foundation Hospitals 4.875% 4/1/42 12,365 13,887
Kaiser Foundation Hospitals 4.150% 5/1/47 25,225 25,300
Kimberly-Clark Corp. 6.625% 8/1/37 4,800 6,633
4 Mayo Clinic 3.774% 11/15/43 12,595 12,125
Medtronic Inc. 4.375% 3/15/35 42,113 44,430
Medtronic Inc. 6.500% 3/15/39 21,200 27,793
Medtronic Inc. 5.550% 3/15/40 3,100 3,674
Medtronic Inc. 4.500% 3/15/42 9,000 9,496
Medtronic Inc. 4.625% 3/15/44 2,000 2,166

 

 

Medtronic Inc. 4.625% 3/15/45 73,425 79,755
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 13,405 15,304
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 355 356
Merck & Co. Inc. 3.600% 9/15/42 9,067 8,585
Merck & Co. Inc. 4.150% 5/18/43 6,880 7,122
Merck & Co. Inc. 3.700% 2/10/45 60,720 58,642
New York & Presbyterian Hospital 4.024% 8/1/45 19,585 19,199
New York & Presbyterian Hospital 4.063% 8/1/56 3,000 2,859
New York & Presbyterian Hospital 4.763% 8/1/16 10,000 9,266
Newell Brands Inc. 5.375% 4/1/36 750 846
Newell Brands Inc. 5.500% 4/1/46 400 466
North Shore-Long Island Jewish Health Care        
Inc. Revenue 4.800% 11/1/42 8,265 8,250
Northwell Healthcare Inc. 3.979% 11/1/46 2,000 1,867
Novartis Capital Corp. 3.700% 9/21/42 2,000 1,935
Novartis Capital Corp. 4.400% 5/6/44 24,840 26,717
NYU Hospitals Center 4.784% 7/1/44 2,000 2,127
PepsiCo Inc. 5.500% 1/15/40 21,595 26,350
PepsiCo Inc. 4.875% 11/1/40 10,375 11,711
PepsiCo Inc. 4.000% 3/5/42 16,372 16,467
PepsiCo Inc. 3.600% 8/13/42 1,000 942
PepsiCo Inc. 4.450% 4/14/46 20,000 21,453
PepsiCo Inc. 3.450% 10/6/46 21,320 19,362
PepsiCo Inc. 4.000% 5/2/47 19,000 18,925
5 Pernod Ricard SA 5.500% 1/15/42 2,000 2,316
Perrigo Co. plc 5.300% 11/15/43 290 299
Perrigo Finance Unlimited Co. 4.900% 12/15/44 1,400 1,377
Pfizer Inc. 7.200% 3/15/39 33,762 48,326
Pfizer Inc. 4.300% 6/15/43 7,780 8,075
Pfizer Inc. 4.400% 5/15/44 8,615 9,031
Pfizer Inc. 4.125% 12/15/46 19,838 20,015
Philip Morris International Inc. 6.375% 5/16/38 34,215 44,075
Philip Morris International Inc. 4.500% 3/20/42 5,000 5,157
Philip Morris International Inc. 4.125% 3/4/43 20,170 19,675
Philip Morris International Inc. 4.875% 11/15/43 22,455 24,401
Philip Morris International Inc. 4.250% 11/10/44 50,495 50,554
4 Providence St. Joseph Health Obligated        
Group 3.744% 10/1/47 5,675 5,265
Reynolds American Inc. 7.000% 8/4/41 2,619 3,197
5 SC Johnson & Son Inc. 4.000% 5/15/43 21,645 21,291
5 SC Johnson & Son Inc. 4.750% 10/15/46 10,285 11,455
Southern Baptist Hospital of Florida Inc. 4.857% 7/15/45 1,000 1,083
Wyeth LLC 6.500% 2/1/34 1,310 1,706
Wyeth LLC 6.000% 2/15/36 4,392 5,476
Wyeth LLC 5.950% 4/1/37 67,685 84,476
 
Energy (4.8%)        
Anadarko Petroleum Corp. 6.600% 3/15/46 2,000 2,460
BP Capital Markets plc 3.119% 5/4/26 10,000 9,903
BP Capital Markets plc 3.723% 11/28/28 30,135 31,019
Burlington Resources Finance Co. 7.400% 12/1/31 1,000 1,362
Canadian Natural Resources Ltd. 7.200% 1/15/32 820 1,003
Canadian Natural Resources Ltd. 6.250% 3/15/38 13,920 15,739
Cenovus Energy Inc. 4.450% 9/15/42 1,000 861
ConocoPhillips 7.000% 3/30/29 10,850 13,634

 

 

ConocoPhillips 5.900% 10/15/32 1,400 1,704
ConocoPhillips 6.500% 2/1/39 57,556 74,047
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 1,500 1,814
ConocoPhillips Co. 4.150% 11/15/34 1,500 1,518
ConocoPhillips Co. 4.300% 11/15/44 15,800 15,869
ConocoPhillips Co. 5.950% 3/15/46 31,155 39,287
Devon Energy Corp. 5.600% 7/15/41 1,500 1,603
Dominion Gas Holdings LLC 4.800% 11/1/43 1,575 1,672
Energy Transfer Partners LP 6.050% 6/1/41 780 829
Exxon Mobil Corp. 3.567% 3/6/45 12,625 12,053
Exxon Mobil Corp. 4.114% 3/1/46 30,770 31,942
Halliburton Co. 4.850% 11/15/35 10,000 10,602
Halliburton Co. 5.000% 11/15/45 18,485 19,767
Hess Corp. 5.800% 4/1/47 17,980 18,651
Kinder Morgan Inc. 7.800% 8/1/31 150 190
Kinder Morgan Inc. 7.750% 1/15/32 205 261
Marathon Oil Corp. 5.200% 6/1/45 1,500 1,502
National Oilwell Varco Inc. 3.950% 12/1/42 1,000 833
Occidental Petroleum Corp. 4.625% 6/15/45 1,750 1,841
Occidental Petroleum Corp. 4.400% 4/15/46 25,700 26,240
Petro-Canada 6.800% 5/15/38 15,483 20,187
Sabine Pass Liquefaction LLC 5.750% 5/15/24 445 491
Shell International Finance BV 4.125% 5/11/35 29,515 30,312
Shell International Finance BV 6.375% 12/15/38 4,300 5,580
Shell International Finance BV 5.500% 3/25/40 21,455 25,444
Shell International Finance BV 4.550% 8/12/43 18,590 19,452
Shell International Finance BV 4.375% 5/11/45 53,555 54,780
Shell International Finance BV 4.000% 5/10/46 28,650 27,719
Shell International Finance BV 3.750% 9/12/46 42,920 39,988
5 Southern Natural Gas Co. LLC 4.800% 3/15/47 4,095 4,225
Spectra Energy Partners LP 5.950% 9/25/43 4,685 5,354
Spectra Energy Partners LP 4.500% 3/15/45 1,515 1,468
Suncor Energy Inc. 5.950% 12/1/34 25,000 29,966
Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 40 48
Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 195 236
Tosco Corp. 7.800% 1/1/27 1,500 1,955
Tosco Corp. 8.125% 2/15/30 20,000 27,936
TransCanada PipeLines Ltd. 4.625% 3/1/34 9,500 10,144
TransCanada PipeLines Ltd. 6.200% 10/15/37 5,630 7,027
TransCanada PipeLines Ltd. 7.625% 1/15/39 37,230 53,272
TransCanada PipeLines Ltd. 6.100% 6/1/40 900 1,115
TransCanada PipeLines Ltd. 5.000% 10/16/43 6,000 6,675
 
Other Industrial (0.7%)        
Dartmouth College New Hampshire GO 3.474% 6/1/46 5,360 5,236
4 Duke University 3.199% 10/1/38 5,080 4,703
4 Massachusetts Institute of Technology GO 3.959% 7/1/38 25,200 26,777
Massachusetts Institute of Technology GO 5.600% 7/1/11 1,100 1,379
Massachusetts Institute of Technology GO 3.885% 7/1/16 18,335 16,467
4 Northwestern University Illinois GO 4.643% 12/1/44 25,315 28,851
4 Northwestern University Illinois GO 3.868% 12/1/48 21,605 22,092
5 President & Fellows of Harvard College        
Massachusetts GO 6.500% 1/15/39 3,865 5,600
 
Technology (8.2%)        
Apple Inc. 4.500% 2/23/36 3,000 3,292
Apple Inc. 3.850% 5/4/43 34,955 33,932

 

 

Apple Inc. 4.450% 5/6/44 1,250 1,316
Apple Inc. 3.450% 2/9/45 40,860 37,221
Apple Inc. 4.375% 5/13/45 39,930 41,663
Apple Inc. 4.650% 2/23/46 55,280 59,871
Apple Inc. 3.850% 8/4/46 31,720 30,728
Apple Inc. 4.250% 2/9/47 39,230 40,421
Applied Materials Inc. 5.100% 10/1/35 100 115
Applied Materials Inc. 5.850% 6/15/41 1,695 2,077
Applied Materials Inc. 4.350% 4/1/47 23,945 24,583
5 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 3.875% 1/15/27 30,750 31,134
Cisco Systems Inc. 5.900% 2/15/39 36,425 46,969
Cisco Systems Inc. 5.500% 1/15/40 6,168 7,621
Intel Corp. 4.800% 10/1/41 23,180 25,849
Intel Corp. 4.250% 12/15/42 2,000 2,072
Intel Corp. 4.900% 7/29/45 38,105 43,156
Intel Corp. 4.100% 5/19/46 29,605 29,842
International Business Machines Corp. 4.000% 6/20/42 13,900 13,894
International Business Machines Corp. 4.700% 2/19/46 10,000 11,057
Microsoft Corp. 3.500% 2/12/35 7,835 7,619
Microsoft Corp. 3.450% 8/8/36 32,325 30,990
Microsoft Corp. 4.100% 2/6/37 46,065 47,823
Microsoft Corp. 4.500% 10/1/40 1,900 2,076
Microsoft Corp. 5.300% 2/8/41 1,500 1,815
Microsoft Corp. 3.500% 11/15/42 1,750 1,639
Microsoft Corp. 3.750% 5/1/43 10,000 9,610
Microsoft Corp. 4.875% 12/15/43 500 567
Microsoft Corp. 3.750% 2/12/45 74,350 71,698
Microsoft Corp. 4.450% 11/3/45 70,670 75,266
Microsoft Corp. 3.700% 8/8/46 67,330 64,167
Microsoft Corp. 4.250% 2/6/47 56,020 58,215
Microsoft Corp. 4.000% 2/12/55 10,075 9,690
Microsoft Corp. 4.750% 11/3/55 50,365 54,585
Microsoft Corp. 3.950% 8/8/56 46,076 43,423
Microsoft Corp. 4.500% 2/6/57 6,500 6,768
Oracle Corp. 3.900% 5/15/35 4,000 4,009
Oracle Corp. 3.850% 7/15/36 7,250 7,208
Oracle Corp. 6.500% 4/15/38 35,400 47,250
Oracle Corp. 6.125% 7/8/39 12,129 15,595
Oracle Corp. 5.375% 7/15/40 43,160 50,966
Oracle Corp. 4.125% 5/15/45 20,250 20,158
Oracle Corp. 4.000% 7/15/46 70,945 69,354
Oracle Corp. 4.375% 5/15/55 25,000 25,150
QUALCOMM Inc. 4.650% 5/20/35 8,950 9,395
QUALCOMM Inc. 4.800% 5/20/45 500 524
Tyco Electronics Group SA 7.125% 10/1/37 805 1,090
Verisk Analytics Inc. 5.500% 6/15/45 2,000 2,194
 
Transportation (2.4%)        
5 Air Canada 7.750% 4/15/21 180 204
Burlington Northern Santa Fe LLC 7.950% 8/15/30 3,728 5,372
Burlington Northern Santa Fe LLC 5.750% 5/1/40 15,000 18,375
Burlington Northern Santa Fe LLC 5.050% 3/1/41 6,000 6,839
Burlington Northern Santa Fe LLC 4.950% 9/15/41 2,266 2,549
Burlington Northern Santa Fe LLC 4.400% 3/15/42 24,790 25,891
Burlington Northern Santa Fe LLC 4.375% 9/1/42 31,150 32,327
Burlington Northern Santa Fe LLC 4.450% 3/15/43 11,200 11,816

 

 

Burlington Northern Santa Fe LLC 5.150% 9/1/43 2,000 2,317
Burlington Northern Santa Fe LLC 4.900% 4/1/44 24,560 27,517
Burlington Northern Santa Fe LLC 4.550% 9/1/44 43,085 46,011
Burlington Northern Santa Fe LLC 4.150% 4/1/45 12,335 12,513
Burlington Northern Santa Fe LLC 3.900% 8/1/46 9,265 9,101
Burlington Northern Santa Fe LLC 4.125% 6/15/47 11,910 12,057
FedEx Corp. 4.550% 4/1/46 15,000 15,162
Kansas City Southern 4.950% 8/15/45 435 448
Union Pacific Corp. 3.375% 2/1/35 13,998 13,654
Union Pacific Corp. 4.050% 3/1/46 10,045 10,091
Union Pacific Corp. 4.000% 4/15/47 20,000 20,025
Union Pacific Corp. 3.799% 10/1/51 28,550 26,958
Union Pacific Corp. 4.375% 11/15/65 21,990 22,403
United Parcel Service Inc. 6.200% 1/15/38 8,700 11,402
United Parcel Service Inc. 4.875% 11/15/40 2,700 3,070
United Parcel Service Inc. 3.625% 10/1/42 5,820 5,561
United Parcel Service Inc. 3.400% 11/15/46 19,455 17,974
        6,792,719
Utilities (14.0%)        
Electric (13.9%)        
5 AEP Transmission Co. LLC 4.000% 12/1/46 1,865 1,877
Alabama Power Co. 6.000% 3/1/39 4,875 6,030
Alabama Power Co. 5.500% 3/15/41 26,943 31,107
Alabama Power Co. 5.200% 6/1/41 15,000 16,764
Alabama Power Co. 3.750% 3/1/45 22,325 21,274
Appalachian Power Co. 6.700% 8/15/37 35,900 46,304
Baltimore Gas & Electric Co. 6.350% 10/1/36 1,230 1,566
Berkshire Hathaway Energy Co. 6.125% 4/1/36 16,300 20,330
Berkshire Hathaway Energy Co. 5.950% 5/15/37 3,000 3,719
Berkshire Hathaway Energy Co. 5.150% 11/15/43 12,000 13,782
Berkshire Hathaway Energy Co. 4.500% 2/1/45 43,625 45,868
CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 14,175 13,552
Cleco Corporate Holdings LLC 4.973% 5/1/46 350 364
Commonwealth Edison Co. 5.900% 3/15/36 2,450 3,024
Commonwealth Edison Co. 3.800% 10/1/42 20,805 20,168
Commonwealth Edison Co. 4.600% 8/15/43 12,560 13,729
Commonwealth Edison Co. 4.700% 1/15/44 15,955 17,713
Commonwealth Edison Co. 3.700% 3/1/45 13,990 13,442
Commonwealth Edison Co. 3.650% 6/15/46 5,725 5,427
Connecticut Light & Power Co. 6.350% 6/1/36 14,500 18,553
Connecticut Light & Power Co. 4.300% 4/15/44 940 972
Connecticut Light & Power Co. 4.150% 6/1/45 8,445 8,726
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 730 807
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 12,249
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 10,637 13,539
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 17,764
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 7,729 9,309
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,995 9,863
Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,828 11,093
Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 10,935 10,856
Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 48,300 51,586
Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 6,335 6,821
Consolidated Edison Co. of New York Inc. 4.625% 12/1/54 8,365 8,979
Consolidated Edison Co. of New York Inc. 4.300% 12/1/56 24,345 24,799
Consumers Energy Co. 4.100% 11/15/45 1,500 1,542
Dominion Resources Inc. 4.700% 12/1/44 16,000 16,624
DTE Electric Co. 6.625% 6/1/36 860 1,146

 

 

Duke Energy Carolinas LLC 6.450% 10/15/32 8,200 10,751
Duke Energy Carolinas LLC 6.100% 6/1/37 51,000 64,435
Duke Energy Carolinas LLC 5.300% 2/15/40 4,900 5,877
Duke Energy Carolinas LLC 4.250% 12/15/41 16,200 16,927
Duke Energy Carolinas LLC 4.000% 9/30/42 38,842 38,825
Duke Energy Carolinas LLC 3.875% 3/15/46 5,645 5,579
Duke Energy Florida LLC 6.350% 9/15/37 800 1,057
Duke Energy Florida LLC 5.650% 4/1/40 11,860 14,629
Duke Energy Florida LLC 3.400% 10/1/46 11,850 10,813
Duke Energy Indiana LLC 6.120% 10/15/35 2,723 3,361
Duke Energy Indiana LLC 6.350% 8/15/38 818 1,083
Duke Energy Indiana LLC 6.450% 4/1/39 10,485 13,910
Duke Energy Indiana LLC 4.200% 3/15/42 14,700 15,014
Duke Energy Indiana LLC 4.900% 7/15/43 28,610 32,399
Duke Energy Ohio Inc. 3.700% 6/15/46 9,825 9,378
Duke Energy Progress LLC 4.100% 5/15/42 2,250 2,292
Duke Energy Progress LLC 4.100% 3/15/43 13,500 13,688
Duke Energy Progress LLC 4.150% 12/1/44 10,000 10,295
Duke Energy Progress LLC 4.200% 8/15/45 17,560 18,112
Duke Energy Progress LLC 3.700% 10/15/46 17,000 16,228
Emera US Finance LP 4.750% 6/15/46 1,030 1,046
5 Enel Finance International NV 6.000% 10/7/39 1,000 1,145
Entergy Louisiana LLC 4.950% 1/15/45 1,105 1,141
Florida Power & Light Co. 5.960% 4/1/39 16,100 20,641
Florida Power & Light Co. 5.690% 3/1/40 700 874
Florida Power & Light Co. 5.250% 2/1/41 21,662 25,814
Florida Power & Light Co. 4.125% 2/1/42 9,000 9,418
Florida Power & Light Co. 3.800% 12/15/42 26,975 26,701
Florida Power & Light Co. 4.050% 10/1/44 10,825 11,184
Georgia Power Co. 5.950% 2/1/39 29,827 35,725
Georgia Power Co. 5.400% 6/1/40 10,100 11,330
Georgia Power Co. 4.750% 9/1/40 21,685 22,581
Georgia Power Co. 4.300% 3/15/42 9,482 9,449
Great Plains Energy Inc. 3.900% 4/1/27 4,920 4,987
Great Plains Energy Inc. 4.850% 4/1/47 7,540 7,644
4 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 22,074 23,669
Kentucky Utilities Co. 5.125% 11/1/40 1,000 1,166
Kentucky Utilities Co. 4.650% 11/15/43 1,000 1,083
5 Massachusetts Electric Co. 4.004% 8/15/46 10,890 10,689
MidAmerican Energy Co. 5.800% 10/15/36 500 616
MidAmerican Energy Co. 4.800% 9/15/43 27,525 30,837
MidAmerican Energy Co. 4.250% 5/1/46 3,895 4,094
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 2,725 3,934
National Rural Utilities Cooperative Finance        
Corp. 4.023% 11/1/32 35,001 36,604
Nevada Power Co. 6.650% 4/1/36 5,830 7,724
Nevada Power Co. 5.375% 9/15/40 18,230 21,033
Nevada Power Co. 5.450% 5/15/41 25,120 29,161
Northern States Power Co. 6.200% 7/1/37 27,900 36,454
Northern States Power Co. 5.350% 11/1/39 800 970
Oklahoma Gas & Electric Co. 4.550% 3/15/44 500 525
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 1,300 1,794
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,500 2,176
Oncor Electric Delivery Co. LLC 5.250% 9/30/40 1,500 1,757
Oncor Electric Delivery Co. LLC 4.550% 12/1/41 11,755 12,602
Oncor Electric Delivery Co. LLC 3.750% 4/1/45 25,000 23,862

 

 

Pacific Gas & Electric Co. 6.050% 3/1/34 45,141 56,694
Pacific Gas & Electric Co. 5.800% 3/1/37 2,900 3,599
Pacific Gas & Electric Co. 6.350% 2/15/38 8,192 10,749
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 46,766
Pacific Gas & Electric Co. 5.400% 1/15/40 19,495 23,597
Pacific Gas & Electric Co. 4.500% 12/15/41 700 737
Pacific Gas & Electric Co. 4.750% 2/15/44 23,305 25,863
Pacific Gas & Electric Co. 4.000% 12/1/46 11,440 11,434
PacifiCorp 5.250% 6/15/35 1,301 1,517
PacifiCorp 6.100% 8/1/36 15,000 19,164
PacifiCorp 6.250% 10/15/37 7,815 10,213
PacifiCorp 6.350% 7/15/38 36,000 47,564
PacifiCorp 6.000% 1/15/39 32,296 41,260
PacifiCorp 4.100% 2/1/42 22,570 22,912
PECO Energy Co. 4.800% 10/15/43 15,530 17,214
Potomac Electric Power Co. 6.500% 11/15/37 1,225 1,627
Potomac Electric Power Co. 7.900% 12/15/38 150 222
Potomac Electric Power Co. 4.150% 3/15/43 2,000 2,064
PPL Electric Utilities Corp. 6.250% 5/15/39 10,975 14,352
PPL Electric Utilities Corp. 5.200% 7/15/41 1,250 1,457
Public Service Co. of Colorado 3.600% 9/15/42 15,055 14,348
Public Service Electric & Gas Co. 3.650% 9/1/42 21,083 20,296
Puget Sound Energy Inc. 5.483% 6/1/35 200 236
Puget Sound Energy Inc. 6.724% 6/15/36 1,000 1,320
Puget Sound Energy Inc. 6.274% 3/15/37 500 636
Puget Sound Energy Inc. 5.757% 10/1/39 1,100 1,336
Puget Sound Energy Inc. 5.795% 3/15/40 18,130 22,344
Puget Sound Energy Inc. 5.764% 7/15/40 1,100 1,349
Puget Sound Energy Inc. 4.300% 5/20/45 400 420
San Diego Gas & Electric Co. 3.950% 11/15/41 3,400 3,399
South Carolina Electric & Gas Co. 6.625% 2/1/32 34,000 43,062
South Carolina Electric & Gas Co. 6.050% 1/15/38 12,675 15,068
South Carolina Electric & Gas Co. 5.450% 2/1/41 300 336
South Carolina Electric & Gas Co. 4.350% 2/1/42 32,687 31,897
South Carolina Electric & Gas Co. 4.600% 6/15/43 390 392
South Carolina Electric & Gas Co. 4.100% 6/15/46 9,390 8,808
South Carolina Electric & Gas Co. 4.500% 6/1/64 19,430 18,974
Southern California Edison Co. 6.000% 1/15/34 19,095 23,947
Southern California Edison Co. 5.950% 2/1/38 16,100 20,410
Southern California Edison Co. 6.050% 3/15/39 845 1,090
Southern California Edison Co. 4.500% 9/1/40 12,000 12,918
Southern California Edison Co. 3.900% 12/1/41 500 491
Southern California Edison Co. 4.050% 3/15/42 800 819
Southern California Edison Co. 3.900% 3/15/43 18,480 18,471
Southern California Edison Co. 4.650% 10/1/43 27,150 30,235
Southern Co. 4.400% 7/1/46 19,595 19,490
4 Southern Co. 5.500% 3/15/57 325 337
Southwestern Public Service Co. 4.500% 8/15/41 24,055 26,018
Tampa Electric Co. 6.150% 5/15/37 32,050 39,307
Tampa Electric Co. 4.100% 6/15/42 1,010 982
Virginia Electric & Power Co. 6.000% 5/15/37 57,330 72,180
Virginia Electric & Power Co. 6.350% 11/30/37 2,000 2,591
Virginia Electric & Power Co. 4.000% 11/15/46 8,725 8,736
Westar Energy Inc. 4.125% 3/1/42 1,175 1,196
Westar Energy Inc. 4.625% 9/1/43 1,300 1,387
Wisconsin Electric Power Co. 5.625% 5/15/33 550 652

 

 

Natural Gas (0.1%)        
Atmos Energy Corp. 4.150% 1/15/43 1,500 1,530
CenterPoint Energy Resources Corp. 5.850% 1/15/41 940 1,131
Southern California Gas Co. 5.125% 11/15/40 1,922 2,252
Southern Co. Gas Capital Corp. 3.950% 10/1/46 700 651
Southwest Gas Corp. 3.800% 9/29/46 2,115 2,003
 
Other Utility (0.0%)        
American Water Capital Corp. 6.593% 10/15/37 1,000 1,358
        2,099,759
Total Corporate Bonds (Cost $10,743,087)       11,593,794
Sovereign Bonds (1.5%)        
Arab Republic of Egypt 8.500% 1/31/47 300 326
Argentine Republic 6.875% 1/26/27 50 53
Argentine Republic 8.280% 12/31/33 182 204
4 Argentine Republic 2.500% 12/31/38 300 197
7 Banque Centrale de Tunisie SA 5.625% 2/17/24 220 245
Bermuda 4.854% 2/6/24 1,280 1,356
5 CDP Financial Inc. 5.600% 11/25/39 1,500 1,897
5 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 700 860
Dominican Republic 5.950% 1/25/27 240 251
5 Electricite de France SA 4.950% 10/13/45 19,645 20,122
Federative Republic of Brazil 6.000% 4/7/26 693 760
Federative Republic of Brazil 5.000% 1/27/45 300 272
5 Kuwait 3.500% 3/20/27 30,000 30,721
Nexen Energy ULC 6.400% 5/15/37 1,800 2,253
5 OCP SA 5.625% 4/25/24 275 296
4 Oriental Republic of Uruguay 5.100% 6/18/50 1,125 1,117
Pertamina Persero PT 6.000% 5/3/42 650 690
5 Pertamina Persero PT 6.450% 5/30/44 300 338
Petrobras Global Finance BV 6.250% 3/17/24 190 197
Petrobras Global Finance BV 8.750% 5/23/26 360 419
Petrobras Global Finance BV 7.375% 1/17/27 280 300
Petroleos Mexicanos 5.375% 3/13/22 1,300 1,368
Province of Ontario 2.500% 4/27/26 500 493
Province of Quebec 7.500% 9/15/29 11,025 15,634
4 Republic of Colombia 3.875% 4/25/27 280 282
Republic of Honduras 6.250% 1/19/27 150 155
5 Republic of Indonesia 6.750% 1/15/44 500 643
Republic of Kazakhstan 4.875% 10/14/44 325 321
7 Republic of Romania 2.750% 10/29/25 500 574
5 Saudi Government International Bond 4.500% 10/26/46 20,775 20,592
State of Israel 2.875% 3/16/26 155 154
State of Israel 4.500% 1/30/43 4,300 4,505
5 State of Qatar 4.625% 6/2/46 15,120 15,816
Statoil ASA 5.100% 8/17/40 16,835 19,032
Statoil ASA 4.250% 11/23/41 10,630 10,768
Statoil ASA 3.950% 5/15/43 38,995 37,974
Statoil ASA 4.800% 11/8/43 18,740 20,576
Sultanate of Oman 5.375% 3/8/27 300 313
5 Temasek Financial I Ltd. 3.375% 7/23/42 2,900 2,861
United Mexican States 4.000% 10/2/23 1,000 1,039
8 United Mexican States 5.750% 3/5/26 29,700 1,435
8 United Mexican States 7.500% 6/3/27 5,300 287
United Mexican States 4.750% 3/8/44 475 470

 

 

United Mexican States 5.750% 10/12/10 1,215 1,241
Total Sovereign Bonds (Cost $214,524)       219,407
Taxable Municipal Bonds (13.1%)        
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.420% 5/1/21 1,000 1,021
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.620% 5/1/22 1,930 2,001
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 46,000 55,551
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 12,420 15,320
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 41,205 56,194
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 25,730 35,507
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 13,775 20,024
California GO 7.500% 4/1/34 16,555 23,350
California GO 7.550% 4/1/39 55,350 81,748
California GO 7.300% 10/1/39 105,545 149,321
California GO 7.350% 11/1/39 3,645 5,188
California GO 7.625% 3/1/40 30,135 44,471
California GO 7.600% 11/1/40 70,320 105,540
California Public Works Board Lease Revenue        
(Various Capital Projects) 8.361% 10/1/34 1,200 1,762
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 15,710 20,838
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 26,520 33,103
Chicago Transit Authority 6.899% 12/1/40 4,845 6,048
Clark County NV Airport System Revenue 6.820% 7/1/45 5,700 8,130
Commonwealth Financing Authority 4.144% 6/1/38 17,060 16,670
9 Commonwealth Financing Authority        
Pennsylvania Revenue 5.197% 6/1/26 19,975 21,624
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 200 261
District of Columbia Water & Sewer Authority        
Public Utility Revenue 4.814% 10/1/14 2,000 2,031
Duke University North Carolina Revenue 5.850% 4/1/37 30,450 38,969
George Washington University District of        
Columbia GO 4.300% 9/15/44 3,000 3,027
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 42,080 49,340
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 2,000 2,318
Grand Parkway Transportation Corp. Texas        
System Toll Revenue 5.184% 10/1/42 1,500 1,766
Houston TX GO 6.290% 3/1/32 22,640 26,878
Illinois GO 5.100% 6/1/33 9,955 8,945
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 17,400 22,058
Kansas Development Finance Authority        
Revenue 4.727% 4/15/37 2,500 2,598
Kansas Development Finance Authority        
Revenue 4.927% 4/15/45 22,745 24,325
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 400 500
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 1,200 1,491

 

 

  Los Angeles CA Department of Water &        
  Power Revenue 6.574% 7/1/45 31,480 44,273
  Los Angeles CA Department of Water &        
  Power Revenue 6.603% 7/1/50 1,900 2,714
  Los Angeles CA Unified School District GO 5.755% 7/1/29 19,500 23,927
  Los Angeles CA Unified School District GO 5.750% 7/1/34 10,815 13,455
  Los Angeles CA Unified School District GO 6.758% 7/1/34 61,235 83,084
  Los Angeles County CA Metropolitan        
  Transportation Authority Sales Tax        
  Revenue 5.735% 6/1/39 15,100 18,774
  Massachusetts GO 3.277% 6/1/46 8,425 7,744
  Mississippi GO 5.539% 10/1/29 1,500 1,799
10 New Jersey Economic Development Authority        
  Revenue (State Pension Funding) 7.425% 2/15/29 21,152 25,441
  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 52,934 76,603
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 62,755 88,097
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.724% 6/15/42 12,780 16,356
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.952% 6/15/42 18,210 24,078
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.011% 6/15/42 6,980 9,285
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.282% 6/15/42 700 793
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.882% 6/15/44 32,580 43,180
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.508% 8/1/37 2,875 3,522
  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 66,105 97,131
  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 5,950 7,577
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.289% 3/15/33 7,325 8,601
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.628% 3/15/39 19,595 23,808
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.600% 3/15/40 2,000 2,459
  New York State GO 5.590% 3/1/35 1,000 1,211
  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 25,471 36,251
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 12,300 14,324
  Ohio State University General Receipts        
  Revenue 4.800% 6/1/11 20,231 20,147
11 Oregon School Boards Association GO 4.759% 6/30/28 10,000 11,054
  Port Authority of New York & New Jersey        
  Revenue 6.040% 12/1/29 20,335 25,844
  Port Authority of New York & New Jersey        
  Revenue 5.647% 11/1/40 21,245 25,933
  Port Authority of New York & New Jersey        
  Revenue 5.647% 11/1/40 15,250 18,615
  Port Authority of New York & New Jersey        
  Revenue 4.960% 8/1/46 2,000 2,262
  Port Authority of New York & New Jersey        
  Revenue 5.310% 8/1/46 9,260 9,970

 

 

  Port Authority of New York & New Jersey        
  Revenue 4.926% 10/1/51 25,005 28,060
  Port Authority of New York & New Jersey        
  Revenue 4.458% 10/1/62 31,390 32,402
  President & Fellows of Harvard College        
  Massachusetts GO 3.150% 7/15/46 17,450 15,971
  Sacramento CA Municipal Utility District        
  Revenue 6.156% 5/15/36 905 1,125
  San Antonio TX Electric & Gas Systems        
  Revenue 5.985% 2/1/39 10,450 13,295
  San Antonio TX Electric & Gas Systems        
  Revenue 4.427% 2/1/42 13,370 14,239
  San Diego County CA Regional Airport        
  Authority Revenue 5.594% 7/1/43 800 884
  San Francisco CA City & County Public        
  Utilities Commission Water Revenue 6.950% 11/1/50 1,400 2,010
  Sonoma County CA Pension Obligation        
  Revenue 6.000% 12/1/29 500 583
  Texas Transportation Commission Revenue 5.178% 4/1/30 3,690 4,370
  University of California 3.931% 5/15/45 17,840 17,819
  University of California Regents Medical        
  Center Revenue 6.548% 5/15/48 25,770 34,072
  University of California Regents Medical        
  Center Revenue 6.583% 5/15/49 8,695 11,512
  University of California Revenue 4.601% 5/15/31 11,165 12,358
  University of California Revenue 5.770% 5/15/43 5,155 6,371
  University of California Revenue 4.765% 5/15/44 9,290 9,711
  University of California Revenue 4.858% 5/15/12 31,025 30,886
  University of California Revenue 4.767% 5/15/15 14,875 14,622
  University of North Carolina University System        
  Revenue 3.327% 12/1/36 9,715 9,626
  University of Texas System Revenue        
  Financing System Revenue 5.262% 7/1/39 11,500 13,954
  University of Texas System Revenue        
  Financing System Revenue 4.794% 8/15/46 8,915 10,236
  Washington GO 5.481% 8/1/39 900 1,115
  Washington University Revenue 4.072% 10/15/44 1,000 1,082
  Wisconsin Annual Appropriation Revenue 3.954% 5/1/36 3,500 3,538
9 Wisconsin GO 5.700% 5/1/26 2,300 2,696
Total Taxable Municipal Bonds (Cost $1,687,624)       1,968,767
 
        Shares  
Temporary Cash Investments (2.2%)        
Money Market Fund (0.6%)        
12 Vanguard Market Liquidity Fund 1.034%   946,897 94,708
 
        Face  
        Amount  
        ($000)  
Repurchase Agreements (1.6%)        
  Bank of America Securities, LLC        
  (Dated 4/28/17, Repurchase Value        
  $43,703,000, collateralized by Government        
  National Mortgage Assn., 4.000%,        
  10/20/46, with a value of $44,574,000) 0.790% 5/1/17 43,700 43,700

 

 

Bank of Montreal        
(Dated 4/28/17, Repurchase Value        
$70,005,000, collateralized by Government        
National Mortgage Assn., 2.000%, 3/20/34,        
and U.S. Treasury Note/Bond 1.000%-        
3.500%, 3/15/18-8/15/26, with a value of        
$71,400,000) 0.790% 5/1/17 70,000 70,000
Barclays Capital Inc.        
(Dated 4/28/17, Repurchase Value        
$31,302,000, collateralized by U.S.        
Treasury Note/Bond 4.625%-8.750%,        
5/15/17-2/15/40, with a value of        
$31,926,000) 0.800% 5/1/17 31,300 31,300
Citigroup Global Markets Inc.        
(Dated 4/28/17, Repurchase Value        
$25,002,000, collateralized by U.S.        
Treasury Bill 0.000%, 5/11/17, and U.S.        
Treasury Note/Bond 1.875%, 6/30/20, with        
a value of $25,500,000) 0.800% 5/1/17 25,000 25,000
RBC Capital Markets LLC        
(Dated 4/28/17, Repurchase Value        
$5,000,000, collateralized by Federal Home        
Loan Mortgage Corp. 2.646%-3.500%,        
9/1/37-4/1/47, Federal National Mortgage        
Assn. 2.521%-4.000%, 9/1/41-3/1/47, and        
Government National Mortgage Assn.,        
3.500%, 4/20/47, with a value of        
$5,100,000) 0.800% 5/1/17 5,000 5,000
Wells Fargo & Co.        
(Dated 4/28/17, Repurchase Value        
$64,104,000, collateralized by Federal        
Home Loan Mortgage Corp. 3.000%,        
2/1/47, with a value of $65,382,000) 0.830% 5/1/17 64,100 64,100
        239,100
Total Temporary Cash Investments (Cost $333,801)       333,808
Total Investments (99.6%) (Cost $13,790,320)       14,937,404
 
    Expiration    
    Date Contracts  
Liabilities for Options Written (0.0%)        
Written Options on Futures (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/26/17 25 (2)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   5/26/17 50 (6)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/26/17 49 (10)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   5/26/17 24 (7)
Total Options on Futures Written (Premiums received $45)     (25)

 

 

      Notional  
      Amount  
  Counterparty   ($000)  
Written Swaptions (0.0%)        
Call Swaptions on CDX.NA.IG.28.V1        
5-Year Index, Strike: 62.5% GSCM 5/17/17 1,505 (1)
Call Swaptions on CDX.NA.IG.28.V1        
5-Year Index, Strike: 67.5% GSCM 5/17/17 3,015 (5)
Put Swaptions on CDX.NA.IG.28.V1        
5-Year Index, Strike: 72.5% GSCM 5/17/17 3,015 (1)
Total Credit Default Swaptions Written (Premiums received $9)     (7)
Total Liabilities on Options Written (0.0%) (Premiums received $54)     (32)
Other Assets and Liabilities-Net (0.4%)13       65,690
Net Assets (100%)       15,003,062

1 Securities with a value of $7,303,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $44,223,000 have been segregated as initial margin for open cleared swap contracts.
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 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 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 April 30, 2017, the aggregate
value of these securities was $577,839,000, representing 3.9% of net assets.
6 Face amount denominated in British pounds.
7 Face amount denominated in euro.
8 Face amount denominated in Mexican peso.
9 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
10 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
11 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
12 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
13 Cash of $2,211,000 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

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

 

Long-Term Investment-Grade Fund

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, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. 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 April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 821,628 —
Corporate Bonds — 11,593,794 —
Sovereign Bonds — 219,407 —
Taxable Municipal Bonds — 1,968,767 —
Temporary Cash Investments 94,708 239,100 —
Liability for Options Written (25) (7) —
Futures Contracts—Assets1 1,014 — —
Futures Contracts—Liabilities1 (414) — —
Forward Currency Contracts—Assets — 11 —
Forward Currency Contracts—Liabilities — (182) —
Swap Contracts—Assets 2,8351 232 —
Swap Contracts—Liabilities (3,458)1 (182) —
Total 94,660 14,842,568 —
1 Represents variation margin on the last day of the reporting period.

 

 

Long-Term Investment-Grade Fund

E. 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 April 30, 2017, 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 June 2017 4,595 577,677 7,624
5-Year U.S. Treasury Note June 2017 (3,311) (392,043) (3,077)
Ultra Long U.S. Treasury Bond June 2017 1,628 265,262 4,234
30-Year U.S. Treasury Bond June 2017 (787) (120,386) 247
Ultra 10-Year U.S. Treasury Note June 2017 (376) (50,930) (491)
2-Year U.S. Treasury Note June 2017 (168) (36,390) (48)
Long Gilt June 2017 (9) (1,495) (20)
Euro-Buxl June 2017 (7) (1,290) (13)
Euro-Bund June 2017 (6) (1,057) (4)
Euro-Bobl June 2017 (4) (575) —
        8,452

 

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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts

 

Long-Term Investment-Grade Fund

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 April 30, 2017, 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 ordinary income for tax purposes.

    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Credit Suisse International 5/15/17 EUR 1,200 USD 1,304 4
Deutsche Bank AG 5/15/17 EUR 45 USD 49 —
Barclays Capital 5/15/17 USD 1,551 GBP 1,248 (66)
Citibank N.A. 5/15/17 USD 1,701 MXN 31,990 7
Credit Suisse International 5/15/17 USD 4,438 EUR 4,177 (116)
            (171)
EUR—Euro.
GBP—British pound.
MXN—Mexican peso.
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

 

Long-Term Investment-Grade Fund

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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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.

 

Long-Term Investment-Grade Fund

At April 30, 2017, the fund had the following open swap contracts:

Centrally Cleared Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium  Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Clearinghouse ($000) ($000) (%) ($000)
Credit Protection Sold            
CDX-NA-IG-S28-V1 6/20/22 CME 1,894,500 (29,257) 1.000 3,862
CDX-NA-IG-S28-V1 6/20/22 ICE 280,000 (4,425) 1.000 466
CDX-NA-IG-S28-V1 6/20/22 ICE 2,012 (35) 1.000 —
Total     2,176,512     4,328
Credit Protection Purchased            
CDX-NA-HY-S28-V1 6/20/22 ICE 3,926 273 (5.000) (27)
            4,301
CME--Chicago Mercantile
Exchange.
ICE--Intercontinental Exchange.

 

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            
Berkshire Hathaway Inc./Aa2 12/20/21 CITNA 6,000 (55) 1.000 69
BHP Billiton Ltd./A3 6/20/22 BOANA 3,700 (41) 1.000 (6)
Metlife Inc./A3 12/20/21 GSI 10,000 (29) 1.000 93
Republic of Chile/Aa3 6/20/22 BNPSW 7,130 (89) 1.000 (1)
Republic of Chile/Aa3 6/20/22 BARC 1,770 (15) 1.000 6
Republic of Colombia/Baa2 6/20/22 CITNA 2,255 40 1.000 9
Republic of Peru/A3 6/20/22 CITNA 1,725 12 1.000 13
Republic of Philippines/Baa2 6/20/22 BARC 1,000 (7) 1.000 2
Rio Tinto Ltd./A3 6/20/22 BOANA 4,600 (29) 1.000 (7)
Russian Federation/Ba1 6/20/17 GSCM 400 1 1.000 2
Russian Federation/Ba1 6/20/17 GSCM 200 1 1.000 1
United Mexican States/WR 6/20/22 JPMC 2,350 48 1.000 25
      41,130     206
Credit Protection Purchased            

 

 

Long-Term Investment-Grade Fund

Bank of China Ltd. 12/20/21 BNPSW 300 (1) (1.000) (3)
Federative Republic of Brazil 6/20/22 DBAG 1,400 (85) (1.000) (11)
Federative Republic of Brazil 6/20/22 BARC 998 (60) (1.000) (7)
Federative Republic of Brazil 6/20/22 BOANA 500 (30) (1.000) (4)
Federative Republic of Brazil 6/20/22 BOANA 426 (26) (1.000) (3)
Federative Republic of Brazil 12/20/25 GSCM 315 (72) (1.000) (33)
Federative Republic of Brazil 12/20/25 BOANA 315 (78) (1.000) (38)
Republic of Korea 6/20/22 BNPSW 3,000 77 (1.000) 12
Republic of South Africa 12/20/20 JPMC 500 (29) (1.000) (23)
Republic of South Africa 6/20/22 BOANA 900 (40) (1.000) (2)
Republic of Turkey 12/20/19 GSCM 2,185 (30) (1.000) (29)
Republic of Turkey 6/20/22 BNPSW 500 (39) (1.000) (15)
      11,339     (156)
            50

 

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.
CITNA--Citibank N.A.
DBAG--Deutsche Bank AG.
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPMC--JP Morgan Chase Bank.

 

Long-Term Investment-Grade Fund

Centrally Cleared Interest Rate Swaps        
        Fixed    
        Interest    
        Rate Floating Unrealized
  Future   Notional Received Interest Rate Appreciation
Termination Effective   Amount (Paid) Received (Depreciation)
Date Date Clearinghouse ($000) (%) (Paid) (%) ($000)
6/21/18 6/21/171 CME 10,627 (1.000) 0.0002 (14)
6/21/19 6/21/171 CME 12,122 1.250 (0.000) 2 51
6/21/22 6/21/171 CME 3,986 1.250 (0.000) 2 60
6/21/24 6/21/171 CME 3,911 1.500 (0.000) 2 82
6/21/27 6/21/171 CME 3,684 1.500 (0.000) 2 106
6/21/32 6/21/171 CME 17,684 (2.500) 0.0002 (696)
6/21/37 6/21/171 CME 33,090 1.750 (0.000) 2 1,482
6/21/47 6/21/171 CME 49,413 (1.750) 0.0002 (2,625)
            (1,554)
CME—Chicago Mercantile Exchange.

 

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments
beginning on a specified future effective date.

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

H. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with

 

Long-Term Investment-Grade Fund

the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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.

I. At April 30, 2017, the cost of investment securities for tax purposes was $13,796,176,000. Net unrealized appreciation of investment securities for tax purposes was $1,141,228,000, consisting of unrealized gains of $1,247,983,000 on securities that had risen in value since their purchase and $106,755,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.0%)        
Conventional Mortgage-Backed Securities (96.4%)        
1,2 Fannie Mae Pool 2.150% 9/1/23 3,900 3,838
1,2 Fannie Mae Pool 2.250% 10/1/26–11/1/26 65,264 62,763
1,2 Fannie Mae Pool 2.500% 10/1/26–5/1/47 32,273 32,210
1,2 Fannie Mae Pool 2.640% 12/1/31 15,675 15,176
1,2 Fannie Mae Pool 2.710% 9/1/31 7,110 6,901
1,2 Fannie Mae Pool 2.720% 9/1/31 1,485 1,454
1,2 Fannie Mae Pool 2.870% 2/1/32 21,360 20,629
1,2 Fannie Mae Pool 2.950% 11/1/25–6/1/31 6,426 6,511
1,2 Fannie Mae Pool 2.960% 6/1/31 2,602 2,608
1,2 Fannie Mae Pool 2.990% 3/1/27 8,533 8,662
1,2 Fannie Mae Pool 3.030% 5/1/32 25,320 25,336
1,2 Fannie Mae Pool 3.050% 7/1/31 2,000 1,997
1,2 Fannie Mae Pool 3.160% 2/1/27 6,482 6,682
1,2 Fannie Mae Pool 3.170% 4/1/27 8,200 8,404
1,2 Fannie Mae Pool 3.210% 7/1/26 589 608
1,2 Fannie Mae Pool 3.220% 12/1/26 5,641 5,847
1,2 Fannie Mae Pool 3.230% 2/1/27–8/1/27 5,282 5,465
1,2 Fannie Mae Pool 3.240% 1/1/27 3,784 3,928
1,2 Fannie Mae Pool 3.250% 11/1/23–5/1/32 37,953 38,462
1,2 Fannie Mae Pool 3.260% 2/1/27 7,008 7,262
1,2 Fannie Mae Pool 3.270% 12/1/23–7/1/30 51,594 52,884
1,2 Fannie Mae Pool 3.280% 4/1/27–5/1/29 6,225 6,391
1,2 Fannie Mae Pool 3.290% 6/1/29 22,065 22,510
1,2 Fannie Mae Pool 3.300% 12/1/23 5,865 6,118
1,2 Fannie Mae Pool 3.320% 7/1/23–7/1/30 15,242 15,667
1,2 Fannie Mae Pool 3.330% 4/1/32 10,818 10,967
1,2 Fannie Mae Pool 3.340% 4/1/24–1/1/27 14,655 15,310
1,2 Fannie Mae Pool 3.350% 7/1/27–11/1/30 19,371 19,951
1,2 Fannie Mae Pool 3.360% 11/1/23–12/1/23 18,616 19,457
1,2 Fannie Mae Pool 3.370% 3/1/24–7/1/25 7,701 8,064
1,2 Fannie Mae Pool 3.380% 1/1/27–7/1/27 7,663 7,994
1,2 Fannie Mae Pool 3.410% 11/1/23–5/1/32 15,884 16,504
1,2 Fannie Mae Pool 3.420% 4/1/31 1,524 1,538
1,2 Fannie Mae Pool 3.430% 6/1/30 1,308 1,357
1,2 Fannie Mae Pool 3.440% 1/1/24 5,809 6,096
1,2 Fannie Mae Pool 3.460% 2/1/24–9/1/29 34,540 36,225
1,2 Fannie Mae Pool 3.470% 11/1/23–1/1/24 6,203 6,514
1,2 Fannie Mae Pool 3.480% 3/1/37 21,805 22,520
1,2 Fannie Mae Pool 3.490% 7/1/30 9,916 10,314
1,2 Fannie Mae Pool 3.500% 2/1/27–5/1/32 2,431 2,609
1,2 Fannie Mae Pool 3.510% 12/1/23–1/1/24 27,630 29,067
1,2 Fannie Mae Pool 3.530% 2/1/24 7,476 7,881
1,2 Fannie Mae Pool 3.540% 2/1/24–6/1/30 13,090 13,790
1,2 Fannie Mae Pool 3.550% 1/1/24–2/1/30 24,581 25,817
1,2 Fannie Mae Pool 3.560% 12/1/23–1/1/24 6,714 7,082
1,2 Fannie Mae Pool 3.570% 12/1/23–10/1/29 39,183 41,379
1,2 Fannie Mae Pool 3.580% 2/1/24–1/1/31 54,556 57,414
1,2 Fannie Mae Pool 3.590% 9/1/30 50,357 52,595
1,2 Fannie Mae Pool 3.600% 12/1/23–4/1/28 8,336 8,794

 

 

1,2 Fannie Mae Pool 3.610% 8/1/23–10/1/29 35,746 37,459
1,2 Fannie Mae Pool 3.620% 2/1/24 8,006 8,479
1,2 Fannie Mae Pool 3.640% 10/1/23 4,279 4,523
1,2 Fannie Mae Pool 3.650% 10/1/23–11/1/23 11,610 12,283
1,2 Fannie Mae Pool 3.660% 11/1/23 2,572 2,724
1,2 Fannie Mae Pool 3.665% 1/1/24–1/1/24 36,741 38,969
1,2 Fannie Mae Pool 3.670% 11/1/23–3/1/28 13,046 13,819
1,2 Fannie Mae Pool 3.680% 11/1/23–1/1/24 5,793 6,146
1,2 Fannie Mae Pool 3.700% 10/1/23–12/1/25 17,125 18,134
1,2 Fannie Mae Pool 3.725% 10/1/23 3,379 3,587
1,2 Fannie Mae Pool 3.750% 7/1/25 4,681 4,998
1,2 Fannie Mae Pool 3.755% 8/1/25 6,967 7,401
1,2 Fannie Mae Pool 3.760% 3/1/24–1/1/26 8,152 8,668
1,2 Fannie Mae Pool 3.765% 12/1/25 42,997 45,686
1,2 Fannie Mae Pool 3.790% 8/1/25 2,493 2,653
1,2 Fannie Mae Pool 3.800% 10/1/23 7,276 7,753
1,2 Fannie Mae Pool 3.820% 11/1/25–11/1/25 10,856 11,576
1,2 Fannie Mae Pool 3.830% 6/1/34 3,363 3,611
1,2 Fannie Mae Pool 3.855% 12/1/25 6,600 7,053
1,2 Fannie Mae Pool 3.870% 10/1/25 11,132 11,917
1,2 Fannie Mae Pool 3.890% 5/1/30 14,322 15,361
1,2 Fannie Mae Pool 3.910% 11/1/25 13,000 13,929
1,2 Fannie Mae Pool 3.930% 11/1/25–3/1/26 7,323 7,858
1,2 Fannie Mae Pool 3.940% 8/1/25 12,073 12,966
1,2 Fannie Mae Pool 3.960% 12/1/25–5/1/34 7,486 8,117
1,2 Fannie Mae Pool 3.970% 12/1/25–5/1/29 6,004 6,474
1,2 Fannie Mae Pool 3.990% 9/1/25 9,367 9,957
1,2 Fannie Mae Pool 4.000% 5/1/46–6/1/46 10,717 11,295
1,2 Fannie Mae Pool 4.060% 9/1/25–3/1/29 15,469 16,823
1,2 Fannie Mae Pool 4.070% 1/1/26 2,267 2,450
1,2 Fannie Mae Pool 4.080% 2/1/29 2,963 3,215
1,2 Fannie Mae Pool 4.150% 10/1/28–1/1/31 74,894 81,770
1,2 Fannie Mae Pool 4.180% 11/1/30 29,838 32,365
1,2 Fannie Mae Pool 4.210% 1/1/26 981 1,066
1,2 Fannie Mae Pool 4.250% 10/1/28–9/1/33 4,577 5,040
1,2 Fannie Mae Pool 4.280% 11/1/28 5,349 5,855
1,2 Fannie Mae Pool 4.380% 10/1/28 9,809 10,784
1,2 Fannie Mae Pool 4.400% 8/1/28 2,215 2,436
1,2 Fannie Mae Pool 4.500% 12/1/40–3/1/44 3,789 4,089
1,2 Fannie Mae Pool 5.180% 2/1/26 2,939 3,350
1,2 Fannie Mae Pool 6.000% 7/1/22 6 7
1,2 Fannie Mae Pool 6.500% 2/1/29–5/1/40 3,529 3,938
1,2 Freddie Mac Gold Pool 3.000% 6/1/43–5/1/47 48,864 49,747
1,2,3Freddie Mac Gold Pool 3.500% 5/1/47–5/1/47 17,500 17,990
1,2 Freddie Mac Gold Pool 4.000% 9/1/30–5/1/47 9,727 10,265
1,2 Freddie Mac Gold Pool 4.500% 4/1/34–5/1/47 6,693 7,618
1,2 Freddie Mac Gold Pool 5.000% 6/1/29–8/1/44 39,106 42,852
1 Ginnie Mae I Pool 2.500% 11/15/42–9/15/43 116,338 113,936
1 Ginnie Mae I Pool 3.000% 1/15/26–5/1/47 1,400,996 1,424,416
1 Ginnie Mae I Pool 3.500% 7/15/39–5/1/47 904,301 944,692
1 Ginnie Mae I Pool 3.750% 7/15/42 3,695 3,899
1 Ginnie Mae I Pool 3.875% 5/15/42–6/15/42 7,780 8,310
1 Ginnie Mae I Pool 4.000% 6/15/19–5/1/47 1,255,732 1,337,212
1 Ginnie Mae I Pool 4.500% 5/15/19–1/15/45 872,685 938,927
1 Ginnie Mae I Pool 5.000% 1/15/30–5/1/47 746,599 826,197
1 Ginnie Mae I Pool 5.500% 9/15/23–5/1/47 512,898 567,952
1 Ginnie Mae I Pool 6.000% 1/15/19–5/1/47 286,783 319,922

 

 

1 Ginnie Mae I Pool 6.500% 4/15/23–7/15/40 208,005 228,187
1 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 61,983 71,871
1 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 57 59
1,4 Ginnie Mae I Pool 7.500% 10/15/31 23,452 27,262
1 Ginnie Mae I Pool 7.750% 2/15/27 24 25
1 Ginnie Mae I Pool 8.000% 8/15/31 8,823 10,237
1 Ginnie Mae I Pool 8.500% 5/15/17–6/15/28 1,202 1,262
1 Ginnie Mae I Pool 9.000% 5/15/17–5/15/21 19 22
1 Ginnie Mae I Pool 9.500% 7/15/17–8/15/21 274 290
1 Ginnie Mae I Pool 10.000% 11/15/17–7/15/19 5 5
1 Ginnie Mae II Pool 1.500% 6/20/39–12/20/44 750 626
1 Ginnie Mae II Pool 2.000% 10/20/43–2/20/47 986 894
1 Ginnie Mae II Pool 2.500% 11/20/42–5/1/47 600,106 587,199
1,3 Ginnie Mae II Pool 3.000% 4/20/31–5/1/47 4,202,888 4,261,246
1,3 Ginnie Mae II Pool 3.500% 11/20/26–5/1/47 7,201,591 7,485,882
1,3 Ginnie Mae II Pool 4.000% 4/20/39–6/1/47 2,011,383 2,129,273
1,3 Ginnie Mae II Pool 4.500% 12/20/32–5/1/47 1,017,434 1,094,823
1 Ginnie Mae II Pool 5.000% 10/20/32–5/1/47 393,966 427,718
1 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 43,474 47,744
1 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 56,685 63,819
1 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 1,479 1,690
1 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 135 155
1 Ginnie Mae II Pool 10.000% 3/20/18–7/20/18 2 2
          24,368,362
Nonconventional Mortgage-Backed Securities (2.6%)      
1,2 Fannie Mae Pool 2.313% 8/1/43 16,504 16,644
1,2 Fannie Mae Pool 2.766% 9/1/44 18,381 18,677
1,2 Fannie Mae REMICS 3.000% 6/25/43 26,846 22,581
1,2 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 5,924 6,683
1,2 Freddie Mac Non Gold Pool 2.269% 8/1/43 26,749 26,908
1,2 Freddie Mac Non Gold Pool 2.293% 9/1/43 10,114 10,159
1,2 Freddie Mac Non Gold Pool 2.738% 10/1/44 34,190 34,493
1,2 Freddie Mac Non Gold Pool 2.827% 10/1/44 15,942 16,105
1,2 Freddie Mac Non Gold Pool 2.836% 7/1/44 12,533 12,674
1,2 Freddie Mac Non Gold Pool 2.921% 4/1/44 16,957 17,119
1,2 Freddie Mac Non Gold Pool 2.949% 9/1/44 11,036 11,125
1,2 Freddie Mac Non Gold Pool 3.114% 10/1/44 23,648 23,916
1,2 Freddie Mac REMICS 3.000% 6/15/41–3/15/43 115,254 112,854
1,2 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 16,492 18,562
1,5 Ginnie Mae REMICS 1.193% 2/20/37 4,188 4,178
1 Ginnie Mae REMICS 2.350% 5/17/46 36,325 36,015
1 Ginnie Mae REMICS 2.400% 9/16/46 27,152 26,966
1 Ginnie Mae REMICS 2.500% 8/16/42–11/20/43 44,420 39,070
1 Ginnie Mae REMICS 2.650% 11/17/48 16,596 16,417
1,5 Ginnie Mae REMICS 2.700% 5/16/35 13,839 13,506
1 Ginnie Mae REMICS 3.000% 3/20/40–3/20/47 69,835 66,251
1 Ginnie Mae REMICs 3.000% 4/20/47 12,440 11,109
1 Ginnie Mae REMICS 3.250% 8/20/44 7,782 7,160
1 Ginnie Mae REMICS 3.500% 7/20/43–9/20/44 31,734 32,871
1 Ginnie Mae REMICS 3.750% 7/20/44 1,782 1,843
1 Ginnie Mae REMICS 4.500% 6/20/39 4,251 4,643
1 Ginnie Mae REMICS 5.000% 6/16/37 18,439 20,596
1 Ginnie Mae REMICS 5.500% 1/20/33–8/16/36 22,646 24,897
          654,022
Total U.S. Government and Agency Obligations (Cost $24,754,076)   25,022,384

 

 

Asset-Backed/Commercial Mortgage-Backed Securities (0.4%)      
1,2,5Fannie Mae-Aces 2017-M4        
(Cost $100,431) 2.597% 12/25/26 102,680 100,154
Temporary Cash Investments (4.5%)        
 
      Shares  
Money Market Fund (1.3%)        
6 Vanguard Market Liquidity Fund        
(Cost $325,350) 1.034%   3,253,498 325,415
 
      Face  
      Amount  
      ($000)  
Repurchase Agreements (1.6%)        
Bank of America Securities, LLC        
(Dated 4/28/17, Repurchase Value        
$47,503,000, collateralized by Government        
National Mortgage Assn. 4.000%, 10/20/46,        
with a value of $48,450,000) 0.790% 5/1/17 47,500 47,500
Bank of Montreal        
(Dated 4/28/17, Repurchase Value        
$43,003,000, collateralized by U.S.        
Treasury Note/Bond 0.750%-2.875%,        
10/31/17-11/15/46, with a value of        
$43,860,000) 0.790% 5/1/17 43,000 43,000
Bank of Nova Scotia        
(Dated 4/28/17, Repurchase Value        
$5,000,000, collateralized by U.S. Treasury        
Bill 0.000%, 5/18/17, and U.S. Treasury        
Note/Bond 1.250%-2.000%, 12/15/18-        
12/31/21, with a value of $5,100,000) 0.800% 5/1/17 5,000 5,000
Barclays Capital Inc.        
(Dated 4/28/17, Repurchase Value        
$28,501,000, collateralized by U.S.        
Treasury Note/Bond 0.625%-1.875%,        
7/31/17-8/15/19, with a value of        
$20,910,000) 0.800% 5/1/17 20,500 20,500
Citigroup Global Markets Inc.        
(Dated 4/28/17, Repurchase Value        
$45,203,000, collateralized by U.S.        
Treasury Note/Bond 1.750%, 2/28/22, with        
a value of $46,104,000) 0.800% 5/1/17 45,200 45,200
HSBC Bank USA        
(Dated 4/28/17, Repurchase Value        
$75,505,000, collateralized by Federal        
National Mortgage Assn. 3.500%-4.500%,        
8/1/38-7/1/46, with a value of $77,013,000) 0.790% 5/1/17 75,500 75,500
Societe Generale        
(Dated 4/28/17, Repurchase Value        
$67,705,000, collateralized by Federal        
National Mortgage Assn. 4.000%, 7/1/44,        
Government National Mortgage Assn.        
3.500%, 1/20/46-4/20/46, and U.S.        
Treasury Note/Bond 1.000%-3.625%,        
11/30/18-8/15/43, with a value of        
$69,054,000) 0.820% 5/1/17 67,700 67,700

 

 

TD Securities (USA) LLC        
(Dated 4/28/17, Repurchase Value        
$19,401,000, collateralized by Federal        
National Mortgage Assn. 2.500%-5.000%,        
1/1/28-1/1/47, and U.S. Treasury        
Note/Bond 1.875%, 8/31/17, with a value of        
$19,788,000) 0.820% 5/1/17 19,400 19,400
Wells Fargo & Co.        
(Dated 4/28/17, Repurchase Value        
$86,606,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.500%-        
3.000%, 2/1/32-3/1/47, and Federal        
National Mortgage Assn. 3.000%, 12/1/46-        
1/1/47, with a value of $88,332,000) 0.830% 5/1/17 86,600 86,600
Total Repurchase Agreements (Cost $410,400)       410,400
U.S. Government and Agency Obligations (1.6%)        
United States Treasury Bill        
(Cost $399,978) 0.670% 5/4/17 400,000 399,980
Total Temporary Cash Investments (Cost $1,135,728)       1,135,795
Total Investments (103.9%) (Cost $25,990,235)       26,258,333
Other Assets and Liabilities-Net (-3.9%)7       (997,111)
Net Assets (100%)       25,261,222

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of April 30, 2017.
4 Securities with a value of $26,943,000 have been segregated as initial margin for open futures contracts.
5 Adjustable-rate security.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
7 Cash of $14,752,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions.
REMICS—Real Estate Mortgage Investment Conduits.

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

B. 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-

 

GNMA 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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 or Payables for Investment Securities Purchased.

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, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. 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).

 

GNMA Fund

The following table summarizes the market value of the fund's investments as of April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 24,926,938 95,446
Asset-Backed/Commercial Mortgage-Backed Securities — 100,154 —
Temporary Cash Investments 325,415 810,380 —
Futures Contracts—Assets1 110 — —
Futures Contracts—Liabilities1 (54) — —
Total 325,471 25,837,472 95,446
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 April 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
 
    Number of Aggregate  
    Long (Short) Settlement Unrealized
    Contracts Value Long Appreciation
Futures Contracts Expiration   (Short) (Depreciation)
5-Year U.S. Treasury Note June 2017 (3,470) (410,870) (4,713)
10-Year U.S. Treasury Note June 2017 1,042 130,999 (579)
30-Year U.S. Treasury Note June 2017 115 17,592 (173)
        (5,465)

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

G. At April 30, 2017, the cost of investment securities for tax purposes was $25,993,708,000. Net unrealized appreciation of investment securities for tax purposes was $264,625,000, consisting of unrealized gains of $370,319,000 on securities that had risen in value since their purchase and $105,694,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (20.5%)        
U.S. Government Securities (20.4%)        
  United States Treasury Inflation Indexed        
  Bonds 1.625% 1/15/18 170,900 201,455
  United States Treasury Inflation Indexed        
  Bonds 0.125% 4/15/18 877,000 925,946
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 1,172,313 1,183,519
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 41,800 43,874
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 71,300 71,335
  United States Treasury Note/Bond 0.750% 12/31/17 270,000 269,452
  United States Treasury Note/Bond 1.000% 5/31/18 450,000 449,226
  United States Treasury Note/Bond 1.125% 6/15/18 615,000 614,711
  United States Treasury Note/Bond 1.250% 12/15/18 72,800 72,823
  United States Treasury Note/Bond 1.500% 12/31/18 311,400 312,764
  United States Treasury Note/Bond 1.125% 1/15/19 422,900 422,173
  United States Treasury Note/Bond 1.250% 1/31/19 211,000 211,034
1 United States Treasury Note/Bond 0.750% 2/15/19 737,700 731,245
  United States Treasury Note/Bond 1.500% 2/28/19 190,000 190,832
  United States Treasury Note/Bond 1.625% 3/31/19 350,000 352,460
  United States Treasury Note/Bond 0.875% 4/15/19 190,000 188,575
  United States Treasury Note/Bond 0.750% 7/15/19 183,450 181,243
2 United States Treasury Note/Bond 0.750% 8/15/19 359,886 355,276
  United States Treasury Note/Bond 1.000% 8/31/19 280,019 277,919
  United States Treasury Note/Bond 1.625% 8/31/19 430,000 432,890
  United States Treasury Note/Bond 0.875% 9/15/19 79,270 78,428
  United States Treasury Note/Bond 1.750% 9/30/19 100,000 100,969
  United States Treasury Note/Bond 1.000% 11/30/19 500,000 495,390
  United States Treasury Note/Bond 1.375% 1/15/20 171,516 171,410
  United States Treasury Note/Bond 1.375% 2/15/20 958,687 957,786
  United States Treasury Note/Bond 1.125% 4/30/20 300,000 297,093
  United States Treasury Note/Bond 1.625% 6/30/20 75,000 75,281
  United States Treasury Note/Bond 1.875% 6/30/20 385,000 389,451
  United States Treasury Note/Bond 1.625% 7/31/20 76,000 76,249
  United States Treasury Note/Bond 1.375% 8/31/20 350,000 348,085
  United States Treasury Note/Bond 2.125% 8/31/20 258,000 262,796
  United States Treasury Note/Bond 2.000% 9/30/20 75,000 76,090
2 United States Treasury Note/Bond 1.375% 10/31/20 285,000 282,951
  United States Treasury Note/Bond 1.750% 10/31/20 355,000 356,995
2,3 United States Treasury Note/Bond 1.625% 11/30/20 319,000 319,300
  United States Treasury Note/Bond 1.125% 2/28/21 155,000 151,973
  United States Treasury Note/Bond 2.250% 3/31/21 300,000 306,564
  United States Treasury Note/Bond 1.500% 8/15/26 3,840 3,592
          12,239,155
Conventional Mortgage-Backed Securities (0.0%)        
4,5 Fannie Mae Pool 6.000% 5/1/17 7 7

 

 

Nonconventional Mortgage-Backed Securities (0.1%)        
4,5,6Fannie Mae Pool 2.625% 12/1/32 266 272
4,5,6Fannie Mae Pool 2.675% 6/1/33 2,395 2,499
4,5,6Fannie Mae Pool 2.685% 7/1/32 268 285
4,5,6Fannie Mae Pool 2.810% 5/1/33 1,829 1,940
4,5,6Fannie Mae Pool 3.000% 9/1/32 213 225
4,5,6Fannie Mae Pool 3.010% 8/1/37 623 650
4,5,6Fannie Mae Pool 3.035% 8/1/33 3,514 3,665
4,5,6Fannie Mae Pool 3.050% 7/1/33 2,523 2,597
4,5,6Fannie Mae Pool 3.131% 5/1/33 325 346
4,5,6Fannie Mae Pool 3.443% 2/1/37 1,181 1,254
4,5,6Freddie Mac Non Gold Pool 2.754% 9/1/32 56 60
4,5,6Freddie Mac Non Gold Pool 2.863% 8/1/32 572 611
4,5,6Freddie Mac Non Gold Pool 2.865% 8/1/32 746 771
4,5,6Freddie Mac Non Gold Pool 3.000% 8/1/37 1,997 2,082
4,5,6Freddie Mac Non Gold Pool 3.143% 9/1/32 815 834
4,5,6Freddie Mac Non Gold Pool 3.211% 8/1/33 653 692
4,5,6Freddie Mac Non Gold Pool 3.435% 10/1/32 444 472
4,5,6Freddie Mac Non Gold Pool 3.586% 1/1/33 479 518
4,5,6Freddie Mac Non Gold Pool 3.711% 2/1/33 279 288
          20,061
Total U.S. Government and Agency Obligations (Cost $12,283,144)     12,259,223
Asset-Backed/Commercial Mortgage-Backed Securities (17.6%)      
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 11,675 11,682
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 4,315 4,340
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 70,795 70,834
4,6 American Express Credit Account Secured        
  Note Trust 2012-4 1.544% 5/15/20 27,587 27,621
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 12,904 13,416
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 3,360 3,518
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 17,460 18,035
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 15,545 15,843
4,7 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 6,719 7,005
4,7 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 2,830 2,968
4,7 Americold 2010 LLC Trust Series 2010-ARTA 4.954% 1/14/29 15,984 17,311
4,7 Americold 2010 LLC Trust Series 2010-ARTA 6.811% 1/14/29 11,185 12,561
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 134 134
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 3,258 3,259
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 10,630 10,655
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 20,500 20,646
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 2,475 2,484
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 4,660 4,712
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 6,336 6,357
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 7,170 7,244
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 4,900 4,918
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 9,220 9,264

 

 

4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 27,200 27,217
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 7,120 7,135
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 12,055 12,192
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 8,900 9,046
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 15,470 15,500
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 9,420 9,512
4 AmeriCredit Automobile Receivables Trust        
  2016-1 3.590% 2/8/22 6,820 6,957
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 15,130 15,128
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 4,770 4,789
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 5,600 5,651
4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 9,390 9,605
4 AmeriCredit Automobile Receivables Trust        
  2016-3 2.710% 9/8/22 10,170 10,113
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 25,630 25,493
4,7 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 13,390 13,660
4,7 Applebee's Funding LLC/IHOP Funding LLC 4.277% 9/5/44 6,105 6,016
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 13,740 13,591
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 17,162 16,705
4,7 Aventura Mall Trust 2013-AVM 3.867% 12/5/32 15,105 15,907
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 15,210 15,192
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 29,200 29,630
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2015-1A 2.500% 7/20/21 34,860 34,804
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2015-2A 2.630% 12/20/21 43,123 43,161
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2016-1A 2.990% 6/20/22 21,840 22,209
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2016-2A 2.720% 11/20/22 15,775 15,571
4,7 Avis Budget Rental Car Funding AESOP LLC        
  2017-1A 3.070% 9/20/23 26,740 26,904
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,900 4,974
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.403% 2/10/51 53,018 53,904
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.447% 2/10/51 4,489 4,542
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 6,740 7,019
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.512% 9/15/48 1,600 1,645
4,8 Banc of America Funding 2006-H Trust 3.215% 9/20/46 14,706 13,543
4 BANK 2017 - BNK4 3.625% 5/15/50 25,960 26,956

 

 

4 Bank of America Mortgage 2002-J Trust 3.962% 9/25/32 18 18
4,6,7Bank of America Student Loan Trust 2010-1A 1.956% 2/25/43 14,461 14,367
7 Bank of Nova Scotia 1.875% 9/20/21 28,850 28,377
4,8 Bear Stearns ARM Trust 2006-4 3.195% 10/25/36 23,715 22,769
4,8 Bear Stearns ARM Trust 2007-3 3.408% 5/25/47 17,024 16,524
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 56,435 56,816
4,6,7BMW Floorplan Master Owner Trust 2015-1A 1.494% 7/15/20 59,345 59,428
4,6 Brazos Higher Education Authority Inc. Series        
  2005-3 1.353% 6/25/26 14,043 13,813
4,6 Brazos Higher Education Authority Inc. Series        
  2011-1 1.852% 2/25/30 22,684 22,558
4,6 Cabela's Credit Card Master Note Trust 2015-        
  2 1.664% 7/17/23 25,050 25,264
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 5,115 5,114
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 9,526 9,294
4,7 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 13,690 13,851
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 8,400 8,388
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 7,160 7,146
4 California Republic Auto Receivables Trust        
  2016-2 2.520% 5/16/22 6,520 6,404
4 California Republic Auto Receivables Trust        
  2016-2 3.510% 3/15/23 3,180 3,188
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 13,319 13,417
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 9,476 9,481
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 13,543 13,585
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 11,935 12,027
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 3,032 3,033
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 6,163 6,173
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 4,900 4,930
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 4,100 4,148
4 Capital Auto Receivables Asset Trust 2014-3 3.940% 4/20/23 5,440 5,565
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 22,240 22,308
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 20,360 20,479
4 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 6,170 6,219
4 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 6,880 6,998
4 Capital Auto Receivables Asset Trust 2016-2 3.160% 11/20/23 1,630 1,644
4 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 10,290 10,277
4 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 6,110 6,075
4 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 3,360 3,354
4 Capital One Multi-Asset Execution Trust 2015-        
  A4 2.750% 5/15/25 34,810 35,610
4,6,7CARDS II Trust 2016-1A 1.694% 7/15/21 56,125 56,302
4 CarMax Auto Owner Trust 2013-3 2.850% 2/18/20 3,608 3,617
4 CarMax Auto Owner Trust 2014-1 1.690% 8/15/19 2,530 2,532
4 CarMax Auto Owner Trust 2014-1 1.930% 11/15/19 4,730 4,744
4 CarMax Auto Owner Trust 2015-2 3.040% 11/15/21 5,850 5,860
4 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 3,875 3,886
4 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 5,560 5,608
4 CarMax Auto Owner Trust 2016-2 2.160% 12/15/21 4,850 4,832
4 CarMax Auto Owner Trust 2016-2 3.250% 11/15/22 5,800 5,871
4 CarMax Auto Owner Trust 2016-3 2.200% 6/15/22 5,740 5,689
4 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 4,050 4,027
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 2,005 1,939

 

 

4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 34,680 35,933
4 CD 2017-CD4 Commercial Mortgage Trust 3.000% 5/10/50 14,110 14,533
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 21,160 21,254
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.945% 12/15/47 14,930 16,860
4 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 25,764 25,925
4,7 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 90,360 90,066
4 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 3.117% 11/19/33 986 967
4,8 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 3.224% 3/20/36 10,542 9,205
4,8 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 3.365% 2/25/47 11,378 9,571
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 3,961 3,964
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.280% 7/15/19 4,785 4,799
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.930% 8/17/20 5,185 5,211
4,7 Chrysler Capital Auto Receivables Trust 2014-        
  AA 2.280% 11/15/19 10,230 10,267
4,7 Chrysler Capital Auto Receivables Trust 2014-        
  BA 3.440% 8/16/21 700 708
4,7 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.260% 10/15/20 16,900 16,973
4,7 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.700% 12/15/20 6,525 6,591
4,7 Chrysler Capital Auto Receivables Trust 2015-        
  BA 3.260% 4/15/21 10,155 10,319
4,7 Chrysler Capital Auto Receivables Trust 2015-        
  BA 4.170% 1/16/23 15,545 16,040
4,7 Chrysler Capital Auto Receivables Trust 2016-        
  AA 2.880% 2/15/22 5,040 5,105
4,7 Chrysler Capital Auto Receivables Trust 2016-        
  AA 4.220% 2/15/23 26,030 26,609
4,7 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.640% 7/15/21 10,730 10,711
4,7 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.870% 2/15/22 5,960 5,884
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 6,118 6,258
4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,100 2,202
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 3,810 3,816
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,350 6,482
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 22,986 23,351
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 7,270 7,621
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.371% 9/10/46 3,786 4,119
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 18,138 19,317
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 6,190 6,466

 

 

4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 6,872 7,159
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 40,226 42,411
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 25,685 26,711
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 12,426 12,849
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 5,394 5,688
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.613% 7/10/47 6,380 6,554
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 18,100 18,577
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 39,990 41,572
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.345% 10/10/47 6,146 6,430
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.683% 10/10/47 1,035 1,042
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 8,880 9,058
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 38,271 38,450
4 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 22,325 23,343
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 16,286 17,029
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.723% 9/10/58 4,000 3,904
4 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.209% 5/10/49 33,560 33,631
4,8 Citigroup Mortgage Loan Trust 2007-AR8 3.202% 7/25/37 959 887
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 22,070 21,940
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 15,219 14,837
4,6,7Colony American Homes 2014-1A 2.144% 5/17/31 11,763 11,763
4,6,7Colony American Homes 2014-1A 2.344% 5/17/31 15,545 15,538
4,6,7Colony American Homes 2014-2 2.344% 7/17/31 12,850 12,801
4,6,7Colony American Homes 2015-1 2.494% 7/17/32 821 820
4,6,7Colony American Homes 2015-1A 2.194% 7/17/32 11,209 11,212
4,6,7Colony Starwood Homes 2016-1A Trust 2.494% 7/17/33 8,491 8,521
4,6,7Colony Starwood Homes 2016-1A Trust 3.144% 7/17/33 3,740 3,758
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,925 3,009
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 4,100 4,297
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 23,416 23,681
4,7 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 12,316 12,665
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 10,971 11,063
4 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 1,990 2,019
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,651
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 19,839 20,166
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 9,520 10,054
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 13,320 14,182
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 43,975 47,452
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 14,650 15,381
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 7,790 8,185
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 41,651 44,459
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 26,960 29,030

 

 

4 COMM 2013-CCRE13 Mortgage Trust 4.906% 12/10/23 4,517 4,980
4 COMM 2013-CCRE13 Mortgage Trust 4.906% 12/10/23 8,240 8,657
4,7 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 17,360 17,478
4,7 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 2,380 2,390
4 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 2,910 3,000
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 38,814 40,504
4 COMM 2013-CCRE9 Mortgage Trust 4.373% 7/10/45 27,409 29,648
4,7 COMM 2013-CCRE9 Mortgage Trust 4.397% 7/10/45 12,690 13,170
4,7 COMM 2013-CCRE9 Mortgage Trust 4.397% 7/10/45 11,250 12,009
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 21,393 21,650
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 10,688 11,287
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 13,605 14,643
4,7 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 18,565 20,048
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 4,100 4,148
4,7 COMM 2013-SFS Mortgage Trust 3.086% 4/12/35 5,490 5,557
4,7 COMM 2014-277P Mortgage Trust 3.732% 8/10/49 33,245 34,712
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 5,375 5,667
4 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 1,915 2,046
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 17,690 19,041
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 16,800 17,036
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 20,250 21,616
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 13,450 14,442
4 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 1,930 2,023
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 47,271 50,168
4 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 27,380 28,999
4 COMM 2014-CCRE17 Mortgage Trust 4.895% 5/10/47 10,175 10,398
4 COMM 2014-CCRE18 Mortgage Trust 3.452% 7/15/47 10,600 11,054
4 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 4,252 4,437
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 28,552 30,031
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 1,520 1,553
4 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 36,585 37,973
4 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 30,277 31,260
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 11,570 12,211
4 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 36,015 36,561
4 COMM 2015-CCRE24 Mortgage Trust 3.445% 8/10/48 10,030 10,498
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 19,415 20,227
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 30,051 31,400
4 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 22,007 22,791
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 11,974 12,394
4 COMM 2015-CCRE27 Mortgage Trust 4.621% 10/10/48 8,118 8,224
4 COMM 2015-LC19 Mortgage Trust 3.040% 2/10/48 4,330 4,447
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 18,400 18,627
7 Commonwealth Bank of Australia 2.000% 6/18/19 19,400 19,426
7 Commonwealth Bank of Australia 2.125% 7/22/20 14,920 14,972
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 42,700 43,779
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.507% 2/15/41 33,966 34,636
4 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 14,528 14,930
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 42,350 43,378
4 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 16,636 17,288
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.505% 8/15/48 10,600 10,663
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 39,572 41,359
4 CSAIL 2016-C5 Commercial Mortgage Trust 4.688% 11/15/48 7,660 7,997
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 39,930 40,525
4,7 DB Master Finance LLC 2015-1A 3.262% 2/20/45 10,267 10,324
4 DBJPM 16-C1 Mortgage Trust 3.505% 5/10/49 2,050 1,943
4,7 Drive Auto Receivables Trust 2015-AA 3.060% 5/17/21 7,747 7,794

 

 

4,7 Drive Auto Receivables Trust 2015-AA 4.120% 7/15/22 5,860 5,960
4,7 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 16,191 16,265
4,7 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 10,490 10,679
4,7 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 21,596 21,725
4,7 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 15,845 16,117
4,7 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 10,142 10,158
4,7 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 24,600 24,892
4,7 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 25,000 25,815
4,7 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 7,780 7,920
4,7 Drive Auto Receivables Trust 2016-BA 1.670% 7/15/19 3,838 3,840
4,7 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 9,290 9,332
4,7 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 15,770 15,971
4,7 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 22,190 22,774
4,7 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 26,800 26,818
4,7 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 20,820 20,848
4,7 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 23,090 23,543
4,6,7Edsouth Indenture No 9 LLC 2015-1 1.791% 10/25/56 23,510 23,298
4,7 Enterprise Fleet Financing LLC Series 2015-1 1.740% 9/20/20 11,850 11,791
4,7 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 24,390 24,376
4,7 Enterprise Fleet Financing LLC Series 2016-2 2.040% 2/22/22 9,650 9,601
4,6,7Evergreen Credit Card Trust Series 2016-3 1.494% 11/16/20 27,030 27,125
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C03 2.491% 7/25/25 2,534 2,537
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.591% 4/25/28 4,961 4,972
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.691% 4/25/28 2,933 2,940
4,5,6Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.441% 1/25/29 6,822 6,887
4,5,6Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.341% 1/25/29 3,801 3,820
4,5 Fannie Mae Grantor Trust 2017-T1 2.898% 6/25/27 19,260 19,106
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K054 2.745% 1/25/26 15,880 15,834
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K056 2.525% 5/25/26 6,470 6,326
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K057 2.570% 7/25/26 5,760 5,649
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K061 3.347% 11/25/26 28,420 29,574
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K062 3.413% 12/25/26 26,950 28,169
4,8 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 2.388% 11/25/36 7,624 6,889
8 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 3.031% 1/25/37 15,661 13,712
4,7 Flagship Credit Auto Trust 2016-4 1.960% 2/16/21 16,140 16,097
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 16,270 16,318
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 12,800 12,817
4,7 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 20,498 20,698
4,7 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 9,831 9,871
4,7 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 29,520 29,801
4,7 Ford Credit Auto Owner Trust 2014-REV2 2.510% 4/15/26 7,475 7,536
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 12,035 12,045
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 5,380 5,400
4,7 Ford Credit Auto Owner Trust 2015-REV2 2.440% 1/15/27 61,000 61,745
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 7,040 6,985

 

 

4,7 Ford Credit Auto Owner Trust 2016-REV1 2.310% 8/15/27 20,800 20,873
4,7 Ford Credit Auto Owner Trust 2016-REV2 2.030% 12/15/27 74,340 73,611
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 7,100 7,104
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 8,550 8,563
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 6,180 6,201
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 6,630 6,645
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 2,650 2,658
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 4,473 4,500
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 68,275 68,284
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 23,545 23,810
4,6 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.524% 7/15/20 48,100 48,224
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.241% 10/25/28 2,052 2,057
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.191% 10/25/28 2,570 2,622
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.091% 12/25/28 4,326 4,338
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.991% 12/25/28 6,490 6,633
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 2,421 2,368
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 28,250 27,758
4,6 GE Dealer Floorplan Master Note Trust Series        
  2015-2 1.643% 1/20/22 17,030 17,104
4 GM Financial Automobile Leasing Trust 2015-        
  1 1.730% 6/20/19 6,350 6,365
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.420% 7/22/19 6,120 6,136
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.990% 7/22/19 5,440 5,478
4 GM Financial Automobile Leasing Trust 2015-        
  3 1.690% 3/20/19 22,980 23,008
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.320% 11/20/19 3,550 3,552
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.980% 11/20/19 7,820 7,878
4 GM Financial Automobile Leasing Trust 2015-        
  3 3.480% 8/20/20 7,820 7,945
4 GM Financial Automobile Leasing Trust 2016-        
  2 2.580% 3/20/20 6,500 6,491
4,8 GMACM Mortgage Loan Trust 2005-AR6 3.466% 11/19/35 2,951 2,705
4,7 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 58,850 58,815
4,7 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 9,360 9,338
4,6,7GMF Floorplan Owner Revolving Trust 2016-1 1.844% 5/17/21 40,750 41,100
4,7 GMF Floorplan Owner Revolving Trust 2016-1 2.410% 5/17/21 12,009 12,057
4,7 GMF Floorplan Owner Revolving Trust 2016-1 2.850% 5/17/21 8,830 8,819
4,6,7Golden Credit Card Trust 2015-1A 1.434% 2/15/20 59,900 59,943
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 53,490 53,603
4,7 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 67,360 66,852

 

 

4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 20,500 21,296
4,7 GreatAmerica Leasing Receivables Funding        
  LLC Series 2015-1 2.020% 6/21/21 4,920 4,930
4,7 GS Mortgage Securities Corporation II 2012-        
  BWTR 2.954% 11/5/34 36,047 36,607
4 GS Mortgage Securities Corporation II 2015-        
  GC30 3.382% 5/10/50 24,410 24,871
4,7 GS Mortgage Securities Corporation Trust        
  2012-ALOHA 3.551% 4/10/34 32,716 34,369
4,7 GS Mortgage Securities Trust 2010-C2 5.356% 12/10/43 3,530 3,895
4,7 GS Mortgage Securities Trust 2011-GC3 5.820% 3/10/44 2,280 2,485
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,101
4 GS Mortgage Securities Trust 2012-GCJ7 5.889% 5/10/45 7,150 7,710
4 GS Mortgage Securities Trust 2013-GC13 4.168% 7/10/46 22,934 24,769
4,7 GS Mortgage Securities Trust 2013-GC13 4.201% 7/10/46 5,650 5,687
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 13,060 13,352
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 8,250 8,433
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 21,619 21,819
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 8,192 8,542
4 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 16,880 17,946
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 49,405 53,389
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 41,343 43,956
4 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 1,410 1,474
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 41,628 44,102
4 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 13,246 13,960
4 GS Mortgage Securities Trust 2014-GC24 4.641% 9/10/47 10,665 11,355
4 GS Mortgage Securities Trust 2014-GC24 4.662% 9/10/47 17,556 18,002
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 27,150 28,196
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 39,290 39,706
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 40,515 41,292
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 14,551 15,272
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 20,702 21,161
4 GS Mortgage Securities Trust 2015-GC34 4.809% 10/10/48 12,080 12,336
7 GTP Acquisition Partners I LLC 3.482% 6/16/25 26,340 26,403
4,7 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 13,570 13,452
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 60,810 60,641
4,7 Hertz Vehicle Financing LLC 2016-2A 2.950% 3/25/22 29,440 29,485
4,7 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 5,330 5,297
4,7 Hertz Vehicle Financing LLC 2016-4A 2.650% 7/25/22 30,690 30,017
4,7 Hilton USA Trust 2016-HHV 3.719% 11/5/38 3,290 3,383
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 30,910 30,842
4,7 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 14,750 15,156
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 21,250 21,277
4,7 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 16,395 16,433
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 9,790 9,826
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 6,500 6,536
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 5,470 5,511
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 8,350 8,364
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 5,710 5,735
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 10,050 10,066
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 3,510 3,521
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 8,360 8,415
6 Illinois Student Assistance Commission Series        
  2010-1 2.206% 4/25/22 6,110 6,125
4,6,7Invitation Homes 2014-SFR1 Trust 2.494% 6/17/31 12,730 12,730

 

 

4,6,7Invitation Homes 2014-SFR2 Trust 2.094% 9/17/31 11,259 11,300
4,6,7Invitation Homes 2014-SFR2 Trust 2.594% 9/17/31 8,980 8,980
4,6,7Invitation Homes 2015-SFR2 Trust 2.344% 6/17/32 7,354 7,363
4,6,7Invitation Homes 2015-SFR2 Trust 2.644% 6/17/32 2,850 2,852
4,6,7Invitation Homes 2015-SFR3 Trust 2.744% 8/17/32 3,200 3,208
4,7 Irvine Core Office Trust 2013-IRV 3.279% 5/15/48 14,791 15,022
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 3,437 3,475
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 25,362 25,560
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 13,014 13,081
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2009-IWST 5.633% 12/5/27 6,185 6,620
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 1,367 1,427
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 2,298 2,318
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 3,311 3,478
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.724% 11/15/43 6,225 6,652
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.724% 11/15/43 7,100 7,459
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 15,203 15,471
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 27,191 29,262
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 2,930 3,134
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.588% 8/15/46 4,100 4,576
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 16,761 17,484
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 13,145 13,284
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,030 4,108
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 27,000 28,614
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,850 6,018
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 40,130 40,448
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 15,150 16,117
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 4.188% 1/15/46 9,350 9,305
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 9,630 10,137
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 1,300 1,376
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 14,880 15,974
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.517% 12/15/46 14,600 15,739

 

 

4 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 5.076% 12/15/46 21,150 22,878
4 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 5.140% 12/15/46 9,770 10,203
4 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-LC11 1.855% 4/15/46 576 577
4 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-LC11 2.960% 4/15/46 14,554 14,696
4 JP Morgan Chase Commercial Mortgage        
Securities Trust 2016-JP4 3.648% 12/15/49 14,370 14,927
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 3.664% 7/15/45 17,866 18,707
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 4.162% 7/15/45 7,520 7,911
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 3.761% 8/15/46 17,400 18,342
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 4.133% 8/15/46 13,870 14,846
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 2.977% 11/15/45 7,943 8,069
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 3.659% 11/15/45 4,050 4,261
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.131% 11/15/45 27,200 29,146
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.927% 11/15/45 17,820 19,178
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 5.214% 11/15/45 13,360 14,103
4 JPMBB Commercial Mortgage Securities        
Trust 2013-C17 4.199% 1/15/47 22,860 24,572
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.079% 2/15/47 36,630 39,122
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.439% 2/15/47 12,950 13,882
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.974% 2/15/47 13,200 14,224
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.974% 2/15/47 5,850 6,005
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C21 3.428% 8/15/47 8,370 8,748
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C24 3.639% 11/15/47 10,310 10,736
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.231% 1/15/48 29,560 29,868
4 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.494% 1/15/48 48,480 49,950
4 JPMBB Commercial Mortgage Securities        
Trust 2015-C27 3.179% 2/15/48 16,945 17,093
4 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.551% 7/15/48 23,680 24,361
4 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.559% 7/15/48 8,089 8,484
4 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.822% 7/15/48 40,150 42,082
4 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 4.226% 7/15/48 15,901 16,801

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 9,210 9,634
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 12,061 12,448
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.562% 12/15/48 5,571 5,841
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 22,187 23,214
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP5 3.723% 3/15/50 33,410 34,882
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 19,744 20,031
4,7 LCCM 2014-909 Mortgage Trust 3.388% 5/15/31 18,640 18,947
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 12,460 13,068
4 MASTR Adjustable Rate Mortgages Trust        
  2004-3 3.140% 4/25/34 797 739
4,6 MBNA Credit Card Master Note Trust 2004-        
  A3 1.254% 8/16/21 30,595 30,660
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 2.919% 2/25/33 1,836 1,795
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 3.252% 7/25/33 541 539
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 6,625 6,694
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 2,738 2,716
4,7 MMAF Equipment Finance LLC 2011-AA 3.040% 8/15/28 8,874 8,913
4,7 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 12,902 12,939
4,7 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 33,860 33,792
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 21,548 22,187
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 2,000 2,092
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 5,796 5,866
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.219% 7/15/46 28,493 30,653
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.219% 7/15/46 3,372 3,422
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 7,287 7,380
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 8,445 8,969
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.315% 8/15/46 45,116 49,227
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 8,080 8,512
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 4.259% 10/15/46 3,830 4,150
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 8,300 8,830
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 2.918% 2/15/46 6,400 6,511
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 3.214% 2/15/46 2,940 2,971
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C9 3.102% 5/15/46 27,425 27,842
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 16,600 17,799

 

 

4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 17,500 18,759
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 3.773% 4/15/47 43,080 45,388
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 22,440 23,903
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 5.057% 4/15/47 1,895 1,981
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 38,845 41,246
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 9,540 10,125
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.482% 6/15/47 12,300 13,169
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.915% 6/15/47 12,300 12,591
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 3.741% 8/15/47 32,178 33,730
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 4.011% 8/15/47 7,460 7,804
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C18 3.923% 10/15/47 13,400 14,209
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.326% 12/15/47 14,610 15,176
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.526% 12/15/47 23,220 24,038
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.069% 2/15/48 8,060 8,246
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.249% 2/15/48 45,626 46,131
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 4/15/48 37,038 37,508
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.451% 7/15/50 4,230 4,359
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 11,828 12,309
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.479% 5/15/48 20,280 20,892
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.732% 5/15/48 33,585 35,033
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.383% 10/15/48 12,060 12,607
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 7,814 8,137
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C29 4.911% 5/15/49 2,210 2,330
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C32 3.720% 12/15/49 28,827 30,137
4 Morgan Stanley Capital I Trust 2007-IQ15 6.126% 6/11/49 16,305 16,412
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 32,049 32,294
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 16,052 16,535
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,500 2,595
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,287 17,410
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 27,955 29,497
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 24,440 25,346
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 28,871 30,095
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 30,004 31,390

 

 

4 Morgan Stanley Capital I Trust 2015-UBS8 4.743% 12/15/48 11,440 11,475
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 7,437 7,193
4 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 3.033% 6/25/36 7,103 6,778
4,7 MSBAM Commercial Mortgage Securities        
  Trust 2012-CKSV 3.277% 10/15/30 37,985 37,863
4,6 Navient Student Loan Trust 2015-3 1.641% 6/26/56 23,540 23,442
4,6,7Navient Student Loan Trust 2016-3 1.841% 6/25/65 7,990 8,026
4,6,7Navient Student Loan Trust 2016-6A 1.741% 3/25/66 30,520 30,626
4,6,7Navistar Financial Dealer Note Master Trust II        
  2016-1A 2.341% 9/27/21 28,280 28,339
4,6 New Mexico Educational Assistance        
  Foundation 2013-1 1.683% 1/2/25 18,695 18,433
4,7 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 15,220 15,370
6 North Carolina State Education Assistance        
  Authority 2011-1 2.056% 1/26/26 6,839 6,844
4,7 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 10,065 10,758
4,7 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 8,360 8,357
4,6,7Pepper Residential Securities Trust 2017A-        
  A1UA 2.089% 3/10/58 33,231 33,232
4,6,7Pepper Residential Securities Trust 2018A-        
  A1UA 1.947% 3/12/47 4,930 4,911
4,6,7PFS Financing Corp. 2015-AA 1.614% 4/15/20 10,150 10,148
4,6,7PHEAA Student Loan Trust 2016-2A 1.941% 11/25/65 38,231 38,307
4,7 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 14,440 14,438
4,7 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 7,234 7,222
4,7 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 25,175 25,253
4,7 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 9,310 9,445
4,6,7Resimac Premier Series 2014-1A 1.821% 12/12/45 9,887 9,838
4,6,7Resimac Premier Series 2016-1A 2.379% 10/10/47 64,057 64,440
4,8 RFMSI Series 2006-SA2 Trust 4.198% 8/25/36 16,934 14,831
4,8 RFMSI Series 2006-SA3 Trust 4.310% 9/25/36 6,083 5,307
  Royal Bank of Canada 2.200% 9/23/19 7,813 7,853
4 Royal Bank of Canada 1.875% 2/5/21 8,785 8,756
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 3,930 3,933
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 762 762
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 14,985 15,225
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 3,636 3,638
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 24,580 24,677
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 24,580 24,914
4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 24,440 24,622
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 6,995 7,011
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 4,600 4,623
4 Santander Drive Auto Receivables Trust        
  2016-2 3.390% 4/15/22 4,120 4,184

 

 

4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 20,710 20,671
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 33,200 33,205
7 SBA Tower Trust 3.156% 10/15/20 10,760 10,844
4,7 Securitized Term Auto Receivables Trust        
  2016-1A 1.524% 3/25/20 13,860 13,797
4,7 Securitized Term Auto Receivables Trust        
  2016-1A 1.794% 2/25/21 12,930 12,845
4,6,7Silver Bay Realty 2014-1 Trust 1.994% 9/17/31 10,174 10,174
4,6,7Silver Bay Realty 2014-1 Trust 2.444% 9/17/31 6,500 6,494
4,7 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 8,144 8,322
4,7 SLM Private Education Loan Trust 2011-B 3.740% 2/15/29 44,907 45,793
4,7 SLM Private Education Loan Trust 2011-C 4.540% 10/17/44 15,327 15,900
4,7 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 6,706 6,780
4,6,7SLM Private Education Loan Trust 2013-A 2.044% 5/17/27 24,000 24,147
4,7 SLM Private Education Loan Trust 2013-A 2.500% 3/15/47 8,000 7,804
4,7 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 14,650 14,585
4,7 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 14,700 14,685
4,7 SLM Private Education Loan Trust 2013-C 3.500% 6/15/44 5,860 5,930
4,7 SLM Private Education Loan Trust 2014-A 2.590% 1/15/26 4,500 4,527
4,7 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 4,100 4,136
4,6 SLM Student Loan Trust 2005-5 1.256% 4/25/25 14,197 14,181
4 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 4,780 4,700
4,7 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 14,040 14,094
4,6,7SMB Private Education Loan Trust 2016-B 2.444% 2/17/32 12,690 12,969
4,6,7SMB Private Education Loan Trust 2016-C 2.094% 9/15/34 12,920 12,962
4,6,7SMB Private Education Loan Trust 2017-A 1.894% 9/15/34 12,730 12,723
4,7 SoFi Professional Loan Program 2016-B LLC 2.740% 10/25/32 9,990 10,057
4,7 SoFi Professional Loan Program 2016-C LLC 2.360% 12/27/32 6,120 6,052
4,7 SoFi Professional Loan Program 2016-D LLC 2.340% 4/25/33 6,405 6,339
4,6,7SoFi Professional Loan Program 2016-D LLC 1.941% 1/25/39 7,315 7,371
4,7 SoFi Professional Loan Program 2017-A LLC 2.400% 3/26/40 2,112 2,089
4,7 SoFi Professional Loan Program 2017-B LLC 2.740% 5/25/40 14,150 14,215
7 Stadshypotek AB 1.750% 4/9/20 15,923 15,684
4,6,7SWAY Residential 2014-1 Trust 2.294% 1/17/32 15,742 15,768
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 8,025 8,120
4 Synchrony Credit Card Master Note Trust        
  2015-4 2.380% 9/15/23 34,390 34,820
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 48,153 48,379
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 16,935 16,835
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 29,333 29,095
4 Synchrony Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 72,000 72,645
4 Synchrony Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 25,550 25,559
4,7 Taco Bell Funding LLC 2016-1A 3.832% 5/25/46 8,837 9,017
4,7 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 8,511 8,756
4,7 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 13,650 14,229
4,7 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 4,991 4,988
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 22,300 22,907
4,6,7Trafigura Securitisation Finance plc 2014-1A 1.944% 10/15/18 20,770 20,746
4,6,7Trillium Credit Card Trust II 2016-1A 1.711% 5/26/21 125,220 125,737

 

 

4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,250 1,330
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 25,038 25,807
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 9,054 9,139
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.244% 4/10/46 7,560 7,754
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.469% 4/10/46 2,304 2,347
4,7 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 13,561 13,803
4,7 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 11,130 11,689
4,7 VNDO 2013-PENN Mortgage Trust 4.079% 12/13/29 3,270 3,370
4,7 VNDO 2013-PENN Mortgage Trust 4.079% 12/13/29 2,450 2,544
4,7 Volkswagen Credit Auto Master Trust 2014-        
  1A 1.400% 7/22/19 46,804 46,771
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 9,160 9,141
4,7 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 9,220 9,198
4 WaMu Mortgage Pass-Through Certificates        
  Series 2002-AR18 Trust 3.002% 1/25/33 143 139
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR7 Trust 2.677% 8/25/33 871 868
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR9 Trust 2.785% 9/25/33 1,291 1,302
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 29,967 30,414
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,650 1,699
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 8,075 8,558
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 35,262 37,968
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.431% 7/15/46 4,906 5,276
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 17,100 17,832
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 43,100 45,324
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 7,100 7,439
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 12,250 13,058
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 6,830 6,995
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 31,900 32,868
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.405% 12/15/47 3,285 3,358
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 13,450 13,684
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 26,570 26,722
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.190% 2/15/48 36,515 36,842
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 8,570 8,838

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 32,460 33,249
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 4,194 4,350
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 33,463 34,725
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.366% 6/15/48 12,420 12,129
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 22,214 22,711
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 20,610 21,414
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 17,222 18,015
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.645% 9/15/58 11,490 11,743
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 18,856 19,832
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 8,550 9,026
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.692% 9/15/58 14,300 14,346
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 9/15/48 7,730 8,059
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 9/15/48 23,195 24,238
4 Wells Fargo Commercial Mortgage Trust        
  2016-C32 3.560% 1/15/59 21,780 22,481
4 Wells Fargo Commercial Mortgage Trust        
  2016-C37 3.794% 12/15/49 11,500 12,073
4 Wells Fargo Commercial Mortgage Trust        
  2017-RC1 3.631% 1/15/60 17,250 17,863
4,8 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 3.074% 10/25/36 12,439 11,611
4,7 Wendys Funding LLC 2015-1A 3.371% 6/15/45 11,401 11,469
4,7 Wendys Funding LLC 2015-1A 4.080% 6/15/45 16,085 16,306
4,7 Wendys Funding LLC 2015-1A 4.497% 6/15/45 6,393 6,300
7 Westpac Banking Corp. 2.000% 3/3/20 30,961 30,936
7 Westpac Banking Corp. 2.250% 11/9/20 23,930 23,958
4,7 WFLD 2014-MONT Mortgage Trust 3.880% 8/10/31 35,485 37,106
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 11,719 12,520
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 10,955 11,067
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 11,800 12,245
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 5,056 5,327
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 4,491 4,587
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 24,482 24,810
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,860 2,927
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,230 2,268
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 22,490 23,620
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 14,980 16,081
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 14,650 15,936

 

 

4 WFRBS Commercial Mortgage Trust 2013-        
C17 3.558% 12/15/46 3,500 3,660
4 WFRBS Commercial Mortgage Trust 2013-        
C17 4.023% 12/15/46 9,770 10,419
4 WFRBS Commercial Mortgage Trust 2013-        
C18 3.676% 12/15/46 6,710 7,042
4 WFRBS Commercial Mortgage Trust 2013-        
C18 4.162% 12/15/46 27,830 29,880
4 WFRBS Commercial Mortgage Trust 2013-        
C18 4.818% 12/15/46 5,775 6,337
4 WFRBS Commercial Mortgage Trust 2014-        
C19 3.829% 3/15/47 4,115 4,333
4 WFRBS Commercial Mortgage Trust 2014-        
C19 4.101% 3/15/47 23,553 25,194
4 WFRBS Commercial Mortgage Trust 2014-        
C20 3.638% 5/15/47 21,637 22,621
4 WFRBS Commercial Mortgage Trust 2014-        
C20 3.995% 5/15/47 40,481 43,013
4 WFRBS Commercial Mortgage Trust 2014-        
C20 4.378% 5/15/47 11,110 11,744
4 WFRBS Commercial Mortgage Trust 2014-        
C20 4.513% 5/15/47 4,500 4,513
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.410% 8/15/47 1,665 1,710
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.678% 8/15/47 45,230 47,177
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.891% 8/15/47 7,130 7,340
4 WFRBS Commercial Mortgage Trust 2014-        
C21 4.234% 8/15/47 12,290 11,998
4 WFRBS Commercial Mortgage Trust 2014-        
C23 3.917% 10/15/57 10,655 11,268
4 WFRBS Commercial Mortgage Trust 2014-        
C24 3.607% 11/15/47 24,615 25,465
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.522% 3/15/47 2,100 2,191
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.766% 3/15/47 2,690 2,822
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 4.045% 3/15/47 42,303 45,055
4 World Omni Auto Receivables Trust 2016-B 1.300% 2/15/22 18,425 18,269
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,498,925)   10,572,259
Corporate Bonds (52.4%)        
Finance (25.5%)        
Banking (21.3%)        
7 ABN AMRO Bank NV 1.800% 6/4/18 28,325 28,290
7 ABN AMRO Bank NV 2.500% 10/30/18 15,915 16,086
9 ABN AMRO Bank NV 3.250% 4/9/20 5,000 3,764
American Express Centurion Bank 6.000% 9/13/17 64,650 65,721
American Express Co. 6.150% 8/28/17 19,963 20,270
American Express Co. 7.000% 3/19/18 19,387 20,301
American Express Credit Corp. 1.875% 11/5/18 36,146 36,209
American Express Credit Corp. 2.125% 3/18/19 17,349 17,437
American Express Credit Corp. 1.875% 5/3/19 51,135 51,152
American Express Credit Corp. 2.250% 8/15/19 24,247 24,431
American Express Credit Corp. 1.700% 10/30/19 13,020 12,939
American Express Credit Corp. 2.200% 3/3/20 58,315 58,625

 

 

  American Express Credit Corp. 2.375% 5/26/20 34,000 34,280
  American Express Credit Corp. 2.250% 5/5/21 24,988 24,879
  American Express Credit Corp. 2.700% 3/3/22 20,930 21,076
  American Express Credit Corp. 3.300% 5/3/27 17,335 17,271
7 ANZ New Zealand International Ltd. 1.750% 3/29/18 29,305 29,306
  Australia & New Zealand Banking Group Ltd. 1.450% 5/15/18 16,600 16,558
  Australia & New Zealand Banking Group Ltd. 2.000% 11/16/18 31,080 31,157
  Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 52,690 52,661
6,9 Australia & New Zealand Banking Group Ltd. 3.995% 6/19/23 2,895 2,196
6,9 Australia & New Zealand Banking Group Ltd. 3.725% 6/25/24 8,215 6,225
6,9 Australia & New Zealand Banking Group Ltd. 4.480% 5/17/26 14,650 11,362
7 Australia & New Zealand Banking Group Ltd. 4.400% 5/19/26 10,000 10,414
  Bank of America Corp. 5.700% 5/2/17 6,525 6,526
  Bank of America Corp. 6.400% 8/28/17 14,568 14,795
  Bank of America Corp. 6.000% 9/1/17 43,443 44,082
  Bank of America Corp. 2.000% 1/11/18 36,484 36,574
  Bank of America Corp. 6.875% 4/25/18 47,676 50,025
  Bank of America Corp. 5.650% 5/1/18 15,500 16,084
  Bank of America Corp. 1.950% 5/12/18 29,300 29,369
  Bank of America Corp. 2.600% 1/15/19 116,949 118,079
  Bank of America Corp. 2.151% 11/9/20 4,515 4,479
9 Bank of America Corp. 3.300% 8/5/21 4,900 3,666
  Bank of America Corp. 2.503% 10/21/22 24,420 23,945
4 Bank of America Corp. 3.124% 1/20/23 45,130 45,511
4 Bank of America Corp. 3.824% 1/20/28 49,585 49,864
4 Bank of America Corp. 4.244% 4/24/38 26,085 26,020
  Bank of America NA 6.100% 6/15/17 6,429 6,464
  Bank of America NA 1.650% 3/26/18 70,815 70,935
  Bank of America NA 1.750% 6/5/18 53,480 53,590
6,9 Bank of America NA 2.870% 11/5/18 23,900 17,988
  Bank of Montreal 1.300% 7/14/17 19,000 19,003
  Bank of Montreal 1.400% 9/11/17 10,557 10,560
  Bank of Montreal 1.450% 4/9/18 10,670 10,670
  Bank of Montreal 1.400% 4/10/18 26,454 26,445
  Bank of New York Mellon Corp. 1.969% 6/20/17 8,100 8,106
  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 44,230
  Bank of New York Mellon Corp. 2.300% 9/11/19 29,290 29,519
  Bank of New York Mellon Corp. 2.150% 2/24/20 21,000 21,116
  Bank of New York Mellon Corp. 2.600% 8/17/20 19,120 19,370
  Bank of New York Mellon Corp. 2.450% 11/27/20 10,236 10,307
  Bank of Nova Scotia 1.450% 4/25/18 18,083 18,087
  Bank of Nova Scotia 1.700% 6/11/18 37,000 37,050
  Bank of Nova Scotia 2.050% 6/5/19 10,850 10,893
  Bank of Nova Scotia 1.650% 6/14/19 25,515 25,407
  Bank of Nova Scotia 2.700% 3/7/22 29,290 29,568
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 4,283 4,278
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.150% 9/14/18 32,373 32,413
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/10/19 11,750 11,780
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 57,228 57,156
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 79,000 79,592
7 Banque Federative du Credit Mutuel SA 2.000% 4/12/19 16,290 16,223
7 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 48,170 48,477
7 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 25,495 25,378
  Barclays plc 2.750% 11/8/19 8,300 8,383
  Barclays plc 3.684% 1/10/23 38,450 39,004
  Barclays plc 4.375% 1/12/26 6,690 6,900

 

 

  BB&T Corp. 4.900% 6/30/17 9,750 9,800
  BB&T Corp. 1.600% 8/15/17 6,820 6,823
  BB&T Corp. 2.050% 6/19/18 18,058 18,129
  BB&T Corp. 2.450% 1/15/20 46,684 47,177
  Bear Stearns Cos. LLC 6.400% 10/2/17 38,076 38,863
  Bear Stearns Cos. LLC 7.250% 2/1/18 21,551 22,443
  BNP Paribas SA 2.700% 8/20/18 79,778 80,574
  BNP Paribas SA 2.400% 12/12/18 2,850 2,868
7 BNP Paribas SA 3.800% 1/10/24 7,725 7,796
  BPCE SA 1.613% 7/25/17 16,390 16,388
9 BPCE SA 4.500% 4/17/18 7,800 5,933
  BPCE SA 2.500% 12/10/18 37,265 37,548
  BPCE SA 2.500% 7/15/19 7,500 7,545
6,9 BPCE SA 3.045% 4/24/20 17,940 13,439
9 BPCE SA 3.500% 4/24/20 40,850 30,805
  BPCE SA 2.750% 12/2/21 6,405 6,410
  Branch Banking & Trust Co. 1.350% 10/1/17 29,280 29,276
  Branch Banking & Trust Co. 2.100% 1/15/20 21,000 21,063
  Branch Banking & Trust Co. 2.625% 1/15/22 75,684 76,267
7 Caisse Centrale Desjardins 1.750% 1/29/18 68,370 68,340
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 27,065 27,035
  Capital One Bank USA NA 2.150% 11/21/18 11,650 11,668
  Capital One Bank USA NA 2.250% 2/13/19 24,420 24,488
  Capital One Bank USA NA 2.300% 6/5/19 22,420 22,457
  Capital One Financial Corp. 2.450% 4/24/19 25,525 25,649
  Capital One Financial Corp. 3.050% 3/9/22 26,645 26,752
  Capital One NA 1.500% 9/5/17 17,570 17,571
  Capital One NA 1.650% 2/5/18 27,200 27,190
  Capital One NA 1.500% 3/22/18 60,395 60,306
  Citigroup Inc. 1.850% 11/24/17 60,550 60,678
  Citigroup Inc. 1.800% 2/5/18 36,140 36,178
  Citigroup Inc. 1.700% 4/27/18 83,010 82,988
  Citigroup Inc. 1.750% 5/1/18 54,775 54,760
  Citigroup Inc. 2.150% 7/30/18 7,400 7,420
  Citigroup Inc. 2.500% 9/26/18 55,110 55,534
  Citigroup Inc. 2.550% 4/8/19 29,097 29,361
  Citigroup Inc. 2.500% 7/29/19 21,060 21,225
6,9 Citigroup Inc. 3.020% 8/7/19 27,500 20,688
  Citigroup Inc. 2.900% 12/8/21 42,010 42,243
  Citigroup Inc. 2.750% 4/25/22 48,770 48,534
  Citigroup Inc. 4.600% 3/9/26 4,705 4,877
4,7,10 Colonial BancGroup Inc. 7.114% 5/29/49 25,100 2
  Commonwealth Bank of Australia 1.900% 9/18/17 19,030 19,055
  Commonwealth Bank of Australia 1.625% 3/12/18 12,885 12,868
  Commonwealth Bank of Australia 2.500% 9/20/18 59,680 60,201
  Commonwealth Bank of Australia 1.750% 11/2/18 21,785 21,758
  Commonwealth Bank of Australia 2.250% 3/13/19 66,065 66,466
6,9 Commonwealth Bank of Australia 2.625% 4/24/19 16,470 12,395
9 Commonwealth Bank of Australia 4.250% 4/24/19 9,800 7,596
  Commonwealth Bank of Australia 2.300% 9/6/19 46,435 46,734
6,9 Commonwealth Bank of Australia 2.615% 10/18/19 4,800 3,608
  Commonwealth Bank of Australia 2.300% 3/12/20 21,490 21,611
  Commonwealth Bank of Australia 2.400% 11/2/20 35,635 35,676
6,9 Commonwealth Bank of Australia 2.975% 7/12/21 37,610 28,496
7 Commonwealth Bank of Australia 2.000% 9/6/21 13,615 13,357
7 Commonwealth Bank of Australia 2.750% 3/10/22 107,430 108,390
6,9 Commonwealth Bank of Australia 3.720% 11/5/24 47,500 36,045

 

 

7 Commonwealth Bank of Australia 4.500% 12/9/25 16,275 17,111
6,9 Commonwealth Bank of Australia 4.435% 6/3/26 22,300 17,269
  Cooperatieve Rabobank UA 1.700% 3/19/18 31,513 31,552
9 Cooperatieve Rabobank UA 7.250% 4/20/18 14,750 11,574
  Cooperatieve Rabobank UA 2.250% 1/14/19 68,805 69,267
  Cooperatieve Rabobank UA 2.250% 1/14/20 51,849 52,043
6,9 Cooperatieve Rabobank UA 3.285% 3/4/21 9,970 7,606
  Cooperatieve Rabobank UA 4.625% 12/1/23 7,800 8,305
6,9 Cooperatieve Rabobank UA 4.295% 7/2/25 17,100 13,039
4,9 Cooperatieve Rabobank UA 5.000% 7/2/25 10,800 8,327
7 Credit Agricole SA 3.375% 1/10/22 14,650 14,765
  Credit Suisse AG 1.700% 4/27/18 58,595 58,590
6,9 Credit Suisse AG 2.830% 8/24/18 3,070 2,306
  Credit Suisse AG 2.300% 5/28/19 40,490 40,654
7 Credit Suisse Group AG 3.574% 1/9/23 53,725 54,306
7 Credit Suisse Group AG 4.282% 1/9/28 30,365 30,880
  Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 4,905 4,930
  Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 23,415 23,758
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 43,820 44,707
7 Danske Bank A/S 2.750% 9/17/20 23,273 23,506
7 Danske Bank A/S 2.700% 3/2/22 6,170 6,197
  Deutsche Bank AG 1.875% 2/13/18 26,405 26,366
  Deutsche Bank AG 2.500% 2/13/19 7,225 7,234
7 Deutsche Bank AG 4.250% 10/14/21 88,925 91,898
  Discover Bank 2.600% 11/13/18 24,412 24,599
  Fifth Third Bank 2.150% 8/20/18 32,157 32,326
  Fifth Third Bank 2.300% 3/15/19 26,956 27,099
  Fifth Third Bank 2.375% 4/25/19 25,627 25,828
  Fifth Third Bank 1.625% 9/27/19 42,565 42,155
  Fifth Third Bank 2.250% 6/14/21 28,181 27,983
  Fifth Third Bank 3.850% 3/15/26 2,210 2,248
  First Republic Bank 2.375% 6/17/19 47,605 47,680
11 Goldman Sachs Group Inc. 6.125% 5/14/17 37,400 48,533
6,9 Goldman Sachs Group Inc. 3.730% 11/29/17 5,680 4,296
  Goldman Sachs Group Inc. 5.950% 1/18/18 108,310 111,552
  Goldman Sachs Group Inc. 2.375% 1/22/18 80,630 81,058
  Goldman Sachs Group Inc. 6.150% 4/1/18 31,713 32,966
  Goldman Sachs Group Inc. 2.900% 7/19/18 81,521 82,582
6,9 Goldman Sachs Group Inc. 3.470% 8/8/18 37,990 28,741
9 Goldman Sachs Group Inc. 5.000% 8/8/18 21,110 16,314
  Goldman Sachs Group Inc. 2.625% 1/31/19 68,810 69,563
6,9 Goldman Sachs Group Inc. 3.080% 8/21/19 12,110 9,132
9 Goldman Sachs Group Inc. 5.000% 8/21/19 49,920 39,177
  Goldman Sachs Group Inc. 2.550% 10/23/19 27,660 27,913
  Goldman Sachs Group Inc. 2.300% 12/13/19 101,685 101,843
  Goldman Sachs Group Inc. 5.375% 3/15/20 20,957 22,670
  Goldman Sachs Group Inc. 2.750% 9/15/20 58,775 59,406
  Goldman Sachs Group Inc. 2.600% 12/27/20 50,315 50,480
  Goldman Sachs Group Inc. 2.875% 2/25/21 66,237 67,012
  Goldman Sachs Group Inc. 2.625% 4/25/21 60,229 60,307
  Goldman Sachs Group Inc. 5.750% 1/24/22 37,173 41,923
  Goldman Sachs Group Inc. 3.000% 4/26/22 104,940 105,568
12 Goldman Sachs Group Inc. 1.250% 5/1/25 40,650 43,592
7 HSBC Bank plc 1.500% 5/15/18 17,965 17,933
  HSBC Bank USA NA 6.000% 8/9/17 10,110 10,228
  HSBC Holdings plc 3.400% 3/8/21 43,880 45,055
  HSBC Holdings plc 2.950% 5/25/21 64,740 65,426

 

 

  HSBC Holdings plc 2.650% 1/5/22 140,885 139,942
4 HSBC Holdings plc 3.262% 3/13/23 76,155 76,994
  HSBC Holdings plc 3.600% 5/25/23 17,515 17,964
  HSBC USA Inc. 1.625% 1/16/18 56,555 56,522
  HSBC USA Inc. 2.625% 9/24/18 36,735 37,110
  HSBC USA Inc. 2.375% 11/13/19 48,435 48,633
  HSBC USA Inc. 2.350% 3/5/20 49,334 49,487
  HSBC USA Inc. 2.750% 8/7/20 30,805 31,213
  Huntington Bancshares Inc. 2.600% 8/2/18 34,190 34,454
  Huntington National Bank 2.000% 6/30/18 53,720 53,874
  Huntington National Bank 2.200% 11/6/18 21,120 21,192
  Huntington National Bank 2.375% 3/10/20 54,920 55,220
  Huntington National Bank 2.875% 8/20/20 33,581 34,195
7 ING Bank NV 1.800% 3/16/18 8,204 8,204
7 ING Bank NV 2.500% 10/1/19 16,560 16,662
7 ING Bank NV 2.450% 3/16/20 24,430 24,554
7 ING Bank NV 2.700% 8/17/20 3,907 3,946
  ING Groep NV 3.150% 3/29/22 19,540 19,840
  Intesa Sanpaolo SPA 3.875% 1/16/18 26,174 26,272
  JPMorgan Chase & Co. 1.800% 1/25/18 19,720 19,746
  JPMorgan Chase & Co. 1.700% 3/1/18 93,263 93,333
  JPMorgan Chase & Co. 1.625% 5/15/18 3,685 3,686
  JPMorgan Chase & Co. 2.350% 1/28/19 65,537 66,174
  JPMorgan Chase & Co. 2.200% 10/22/19 21,855 21,919
6,9 JPMorgan Chase & Co. 2.895% 12/9/19 6,640 4,996
  JPMorgan Chase & Co. 2.250% 1/23/20 75,937 76,224
  JPMorgan Chase & Co. 2.750% 6/23/20 118,678 120,372
  JPMorgan Chase & Co. 2.550% 10/29/20 80,354 80,900
  JPMorgan Chase & Co. 2.550% 3/1/21 19,195 19,257
  JPMorgan Chase & Co. 2.295% 8/15/21 49,630 49,258
  JPMorgan Chase & Co. 2.972% 1/15/23 78,267 78,598
4 JPMorgan Chase & Co. 2.776% 4/25/23 61,615 61,405
  JPMorgan Chase & Co. 2.700% 5/18/23 16,765 16,479
4 JPMorgan Chase & Co. 3.782% 2/1/28 24,160 24,566
4 JPMorgan Chase & Co. 3.540% 5/1/28 32,910 32,796
4 JPMorgan Chase & Co. 4.260% 2/22/48 10,870 10,900
  JPMorgan Chase Bank NA 6.000% 7/5/17 8,592 8,660
  JPMorgan Chase Bank NA 6.000% 10/1/17 35,313 35,981
  KeyBank NA 1.650% 2/1/18 5,305 5,309
  KeyBank NA 1.700% 6/1/18 9,750 9,759
  KeyBank NA 2.350% 3/8/19 50,143 50,470
  KeyBank NA 2.500% 11/22/21 10,515 10,506
9 Lloyds Bank plc 3.250% 4/1/20 29,300 22,086
  Lloyds Banking Group plc 3.750% 1/11/27 46,430 46,302
7 Macquarie Bank Ltd. 1.600% 10/27/17 57,550 57,494
6,9 Macquarie Bank Ltd. 2.795% 10/26/18 16,910 12,714
7 Macquarie Bank Ltd. 2.400% 1/21/20 36,370 36,411
7 Macquarie Bank Ltd. 4.875% 6/10/25 16,200 16,996
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 39,089 40,192
  Manufacturers & Traders Trust Co. 1.450% 3/7/18 34,010 33,982
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 38,480 38,730
  Manufacturers & Traders Trust Co. 2.250% 7/25/19 40,550 40,815
  Manufacturers & Traders Trust Co. 2.100% 2/6/20 19,530 19,542
6 Manufacturers & Traders Trust Co. 1.695% 12/1/21 9,755 9,571
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 51,515 52,181
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 6,975 6,857
  Mitsubishi UFJ Financial Group Inc. 2.998% 2/22/22 2,880 2,922

 

 

7 Mitsubishi UFJ Trust & Banking Corp. 1.600% 10/16/17 29,290 29,271
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 43,490 43,597
7 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 30,625 30,740
  Mizuho Financial Group Inc. 2.953% 2/28/22 34,195 34,338
  Morgan Stanley 6.250% 8/28/17 8,665 8,800
  Morgan Stanley 5.950% 12/28/17 54,821 56,366
  Morgan Stanley 1.875% 1/5/18 62,508 62,622
  Morgan Stanley 6.625% 4/1/18 17,971 18,761
  Morgan Stanley 2.125% 4/25/18 14,001 14,060
  Morgan Stanley 2.500% 1/24/19 43,040 43,499
  Morgan Stanley 2.450% 2/1/19 36,506 36,787
  Morgan Stanley 2.375% 7/23/19 40,577 40,846
  Morgan Stanley 5.625% 9/23/19 7,458 8,048
  Morgan Stanley 5.500% 1/26/20 14,636 15,886
  Morgan Stanley 2.650% 1/27/20 16,859 17,083
  Morgan Stanley 2.800% 6/16/20 20,297 20,591
  Morgan Stanley 2.500% 4/21/21 42,859 42,714
  Morgan Stanley 2.625% 11/17/21 110,749 110,489
6 Morgan Stanley 2.373% 5/8/24 31,700 31,802
  Morgan Stanley 3.875% 1/27/26 5,830 5,960
  Morgan Stanley 3.625% 1/20/27 17,625 17,583
11 Morgan Stanley 2.625% 3/9/27 50,020 65,474
12 Morgan Stanley 1.875% 4/27/27 22,581 24,656
  MUFG Americas Holdings Corp. 1.625% 2/9/18 14,400 14,401
  MUFG Americas Holdings Corp. 2.250% 2/10/20 29,300 29,342
  MUFG Union Bank NA 2.625% 9/26/18 39,640 39,997
  MUFG Union Bank NA 2.250% 5/6/19 24,420 24,459
  National Australia Bank Ltd. 2.300% 7/25/18 21,800 21,964
  National Australia Bank Ltd. 2.000% 1/14/19 21,829 21,856
  National Australia Bank Ltd. 1.375% 7/12/19 20,250 19,947
  National Australia Bank Ltd. 2.250% 1/10/20 34,555 34,684
  National Australia Bank Ltd. 1.875% 7/12/21 26,910 26,284
  National Australia Bank Ltd. 2.800% 1/10/22 25,970 26,343
7 National Australia Bank Ltd. 3.500% 1/10/27 9,345 9,527
  National Bank of Canada 2.100% 12/14/18 26,935 27,086
  National City Bank 5.800% 6/7/17 14,625 14,685
  National City Corp. 6.875% 5/15/19 8,085 8,875
7 Nordea Bank AB 1.625% 9/30/19 20,790 20,576
7 Nordea Bank AB 2.500% 9/17/20 12,568 12,598
  PNC Bank NA 4.875% 9/21/17 22,535 22,818
  PNC Bank NA 6.000% 12/7/17 4,885 5,008
  PNC Bank NA 1.500% 2/23/18 55,800 55,801
  PNC Bank NA 6.875% 4/1/18 4,197 4,392
  PNC Bank NA 1.600% 6/1/18 81,400 81,315
  PNC Bank NA 1.850% 7/20/18 24,260 24,295
  PNC Bank NA 1.800% 11/5/18 31,674 31,679
  PNC Bank NA 2.200% 1/28/19 48,707 49,056
  PNC Bank NA 2.250% 7/2/19 44,590 44,845
  PNC Bank NA 2.400% 10/18/19 71,148 71,881
  PNC Bank NA 2.300% 6/1/20 14,636 14,720
  PNC Bank NA 2.600% 7/21/20 43,010 43,573
  PNC Bank NA 2.450% 11/5/20 15,636 15,743
  PNC Bank NA 2.150% 4/29/21 14,236 14,128
  PNC Bank NA 2.550% 12/9/21 43,275 43,499
  PNC Bank NA 2.625% 2/17/22 120,610 121,610
  PNC Funding Corp. 5.125% 2/8/20 7,230 7,813
  Regions Bank 7.500% 5/15/18 7,579 7,987

 

 

  Royal Bank of Canada 1.250% 6/16/17 19,520 19,524
  Royal Bank of Canada 1.500% 1/16/18 3,900 3,899
  Royal Bank of Canada 2.200% 7/27/18 25,890 26,080
  Royal Bank of Canada 1.800% 7/30/18 18,752 18,796
  Royal Bank of Canada 2.000% 12/10/18 21,270 21,395
  Royal Bank of Canada 2.150% 3/15/19 30,550 30,714
  Royal Bank of Canada 1.500% 7/29/19 58,175 57,672
  Royal Bank of Canada 2.125% 3/2/20 147,285 147,873
  Royal Bank of Canada 2.350% 10/30/20 7,170 7,233
  Royal Bank of Canada 4.650% 1/27/26 3,350 3,584
  Santander Bank NA 8.750% 5/30/18 33,955 36,290
  Santander Holdings USA Inc. 2.700% 5/24/19 39,050 39,216
7 Santander Holdings USA Inc. 3.700% 3/28/22 29,990 30,119
  Santander UK Group Holdings plc 3.571% 1/10/23 37,790 38,154
  Santander UK plc 1.650% 9/29/17 5,280 5,280
  Santander UK plc 3.050% 8/23/18 45,920 46,612
  Santander UK plc 2.000% 8/24/18 16,087 16,106
  Santander UK plc 2.500% 3/14/19 65,240 65,766
  Santander UK plc 2.350% 9/10/19 64,539 64,883
7 Skandinaviska Enskilda Banken AB 1.750% 3/19/18 17,471 17,472
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 5,695 5,727
  Skandinaviska Enskilda Banken AB 1.875% 9/13/21 40,865 39,877
  Sumitomo Mitsui Banking Corp. 2.450% 1/16/20 29,295 29,441
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 7,380 7,477
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 5,585 5,484
6,9 Sumitomo Mitsui Financial Group Inc. 3.065% 3/29/22 46,600 34,829
9 Sumitomo Mitsui Financial Group Inc. 3.662% 3/29/22 19,950 15,051
  SunTrust Bank 2.250% 1/31/20 34,185 34,333
  SunTrust Banks Inc. 6.000% 9/11/17 8,795 8,929
  SunTrust Banks Inc. 2.900% 3/3/21 23,102 23,446
  Svenska Handelsbanken AB 2.500% 1/25/19 22,830 23,075
6,9 Svenska Handelsbanken AB 2.725% 4/10/19 12,800 9,612
9 Svenska Handelsbanken AB 4.500% 4/10/19 27,880 21,609
  Svenska Handelsbanken AB 1.500% 9/6/19 24,415 24,139
6,9 Svenska Handelsbanken AB 3.290% 3/2/21 14,400 10,974
  Svenska Handelsbanken AB 2.450% 3/30/21 67,310 67,428
  Svenska Handelsbanken AB 1.875% 9/7/21 35,465 34,597
6,9 Swedbank AB 2.960% 2/17/22 13,900 10,466
7 Swedbank AB 2.800% 3/14/22 53,955 54,462
  Synchrony Financial 3.000% 8/15/19 76,225 77,356
  Synchrony Financial 2.700% 2/3/20 39,200 39,421
  Synchrony Financial 4.250% 8/15/24 5,110 5,234
  Synchrony Financial 4.500% 7/23/25 8,555 8,843
  Synchrony Financial 3.700% 8/4/26 31,608 30,326
  Toronto-Dominion Bank 1.625% 3/13/18 48,860 48,943
  Toronto-Dominion Bank 2.125% 7/2/19 63,831 64,234
  Toronto-Dominion Bank 1.450% 8/13/19 20,000 19,837
  Toronto-Dominion Bank 2.250% 11/5/19 41,410 41,747
  Toronto-Dominion Bank 2.500% 12/14/20 22,500 22,799
  Toronto-Dominion Bank 2.125% 4/7/21 47,725 47,586
  UBS AG 1.800% 3/26/18 78,105 78,238
  UBS AG 2.375% 8/14/19 11,718 11,800
7 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 33,907 34,294
7 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 16,767 16,884
7 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 50,070 49,359
7 UBS Group Funding Switzerland AG 3.491% 5/23/23 4,895 4,961
7 UBS Group Funding Switzerland AG 4.253% 3/23/28 10,985 11,362

 

 

  US Bank NA 1.375% 9/11/17 42,077 42,084
  US Bank NA 1.350% 1/26/18 22,067 22,014
  US Bank NA 2.125% 10/28/19 20,765 20,904
  Wachovia Corp. 5.750% 6/15/17 29,816 29,976
  Wachovia Corp. 5.750% 2/1/18 53,681 55,290
10 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 6.875% 6/15/11 21,983 2
  Wells Fargo & Co. 5.625% 12/11/17 19,840 20,335
  Wells Fargo & Co. 1.500% 1/16/18 40,770 40,753
9 Wells Fargo & Co. 4.250% 1/25/18 4,880 3,704
9 Wells Fargo & Co. 4.000% 8/8/19 24,570 18,909
  Wells Fargo & Co. 2.600% 7/22/20 27,950 28,299
  Wells Fargo & Co. 2.100% 7/26/21 19,560 19,270
9 Wells Fargo & Co. 3.000% 7/27/21 46,900 34,834
6,9 Wells Fargo & Co. 3.065% 7/27/21 10,300 7,799
6,9 Wells Fargo & Co. 2.845% 4/27/22 46,475 34,768
9 Wells Fargo & Co. 3.250% 4/27/22 33,260 24,955
  Wells Fargo & Co. 3.069% 1/24/23 15,465 15,642
11 Wells Fargo & Co. 2.000% 7/28/25 6,278 8,106
9 Wells Fargo & Co. 4.000% 4/27/27 18,235 13,462
  Wells Fargo Bank NA 6.000% 11/15/17 53,763 54,994
  Wells Fargo Bank NA 1.800% 11/28/18 25,850 25,855
  Wells Fargo Bank NA 1.750% 5/24/19 73,058 72,899
  Wells Fargo Bank NA 2.150% 12/6/19 85,845 86,194
  Westpac Banking Corp. 1.500% 12/1/17 48,825 48,809
  Westpac Banking Corp. 1.600% 1/12/18 44,378 44,379
  Westpac Banking Corp. 2.250% 7/30/18 20,830 20,961
  Westpac Banking Corp. 1.950% 11/23/18 19,515 19,570
  Westpac Banking Corp. 2.250% 1/17/19 44,660 44,939
  Westpac Banking Corp. 1.600% 8/19/19 40,090 39,647
  Westpac Banking Corp. 4.875% 11/19/19 35,464 37,902
  Westpac Banking Corp. 2.300% 5/26/20 3,665 3,682
6,9 Westpac Banking Corp. 2.825% 10/28/20 10,000 7,553
  Westpac Banking Corp. 2.600% 11/23/20 60,350 60,870
  Westpac Banking Corp. 2.100% 5/13/21 52,334 51,650
6,9 Westpac Banking Corp. 2.955% 6/3/21 43,100 32,647
  Westpac Banking Corp. 2.000% 8/19/21 81,740 80,141
  Westpac Banking Corp. 2.800% 1/11/22 44,275 44,939
6,9 Westpac Banking Corp. 3.845% 3/14/24 75,100 56,937
6,9 Westpac Banking Corp. 4.885% 3/10/26 16,600 13,033
  Westpac Banking Corp. 3.350% 3/8/27 16,275 16,351
4 Westpac Banking Corp. 4.322% 11/23/31 40,250 41,168
 
  Brokerage (0.3%)        
7 Apollo Management Holdings LP 4.400% 5/27/26 4,285 4,403
  Charles Schwab Corp. 6.375% 9/1/17 5,860 5,956
  Charles Schwab Corp. 1.500% 3/10/18 19,535 19,550
  Franklin Resources Inc. 1.375% 9/15/17 15,056 15,061
  Jefferies Group LLC 5.125% 4/13/18 12,335 12,708
  Jefferies Group LLC 4.850% 1/15/27 16,285 16,840
  Legg Mason Inc. 2.700% 7/15/19 5,860 5,884
10 Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 9,410 1
  Nomura Holdings Inc. 2.750% 3/19/19 26,430 26,664
  NYSE Euronext 2.000% 10/5/17 16,167 16,193
  Stifel Financial Corp. 3.500% 12/1/20 24,945 25,394
  Stifel Financial Corp. 4.250% 7/18/24 2,880 2,922

 

 

  TD Ameritrade Holding Corp. 2.950% 4/1/22 17,515 17,787
 
  Finance Companies (0.5%)        
  AerCap Ireland Capital DAC / AerCap Global        
  Aviation Trust 3.750% 5/15/19 9,890 10,150
  AerCap Ireland Capital DAC / AerCap Global        
  Aviation Trust 4.250% 7/1/20 6,835 7,143
  AerCap Ireland Capital DAC / AerCap Global        
  Aviation Trust 4.625% 10/30/20 15,450 16,358
  AerCap Ireland Capital DAC / AerCap Global        
  Aviation Trust 4.500% 5/15/21 56,035 59,047
  AerCap Ireland Capital DAC / AerCap Global        
  Aviation Trust 3.950% 2/1/22 26,500 27,427
  Air Lease Corp. 3.375% 1/15/19 27,894 28,487
  Air Lease Corp. 4.250% 9/15/24 3,325 3,470
  GE Capital International Funding Co. 2.342% 11/15/20 116,444 117,336
  GE Capital International Funding Co. 4.418% 11/15/35 5,263 5,625
  International Lease Finance Corp. 4.625% 4/15/21 9,845 10,448
7 SMBC Aviation Capital Finance DAC 2.650% 7/15/21 23,080 22,573
 
  Insurance (2.0%)        
  Aetna Inc. 1.700% 6/7/18 17,865 17,871
  Aetna Inc. 2.800% 6/15/23 9,565 9,573
  Aflac Inc. 3.625% 6/15/23 5,860 6,159
7 AIG Global Funding 2.700% 12/15/21 13,080 13,084
  Alleghany Corp. 5.625% 9/15/20 8,890 9,743
  Alterra Finance LLC 6.250% 9/30/20 9,765 10,945
  American Financial Group Inc. 9.875% 6/15/19 31,750 36,770
  American International Group Inc. 2.300% 7/16/19 5,036 5,057
  American International Group Inc. 4.875% 6/1/22 8,230 8,986
  American International Group Inc. 4.125% 2/15/24 6,155 6,414
  American International Group Inc. 3.750% 7/10/25 8,264 8,320
  Anthem Inc. 1.875% 1/15/18 19,336 19,362
  Aon plc 4.750% 5/15/45 5,740 5,818
  Aspen Insurance Holdings Ltd. 6.000% 12/15/20 25,904 28,601
  Assurant Inc. 2.500% 3/15/18 29,300 29,461
4,11 AXA SA 5.625% 1/16/54 6,600 9,464
  AXIS Specialty Finance LLC 5.875% 6/1/20 11,618 12,763
  AXIS Specialty Finance plc 2.650% 4/1/19 14,650 14,765
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 24,144 25,134
  Berkshire Hathaway Finance Corp. 1.300% 8/15/19 36,720 36,426
  Berkshire Hathaway Inc. 2.100% 8/14/19 4,875 4,915
  Berkshire Hathaway Inc. 2.750% 3/15/23 57,493 58,069
  Chubb INA Holdings Inc. 2.875% 11/3/22 9,920 10,046
  Chubb INA Holdings Inc. 2.700% 3/13/23 5,875 5,861
  CNA Financial Corp. 7.350% 11/15/19 3,900 4,393
4,12 Credit Agricole Assurances SA 4.750% 9/27/48 6,000 6,978
  Enstar Group Ltd. 4.500% 3/10/22 28,334 28,936
7,12 Liberty Mutual Finance Europe DAC 1.750% 3/27/24 16,500 18,351
  Marsh & McLennan Cos. Inc. 2.550% 10/15/18 9,875 9,994
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 14,385 14,481
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 3,325 3,622
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 38,840 39,245
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 2,065 2,134
7 MassMutual Global Funding II 2.100% 8/2/18 12,735 12,815
7 MassMutual Global Funding II 2.500% 10/17/22 14,335 14,201
  MetLife Inc. 1.756% 12/15/17 14,600 14,624

 

 

  MetLife Inc. 6.817% 8/15/18 13,300 14,160
  MetLife Inc. 7.717% 2/15/19 9,219 10,153
  MetLife Inc. 4.368% 9/15/23 3,500 3,792
4 MetLife Inc. 5.250% 12/29/49 7,005 7,275
7 Metropolitan Life Global Funding I 1.500% 1/10/18 29,350 29,368
9 Metropolitan Life Global Funding I 4.500% 10/10/18 44,860 34,498
7 Metropolitan Life Global Funding I 2.300% 4/10/19 11,225 11,325
7 Metropolitan Life Global Funding I 1.950% 9/15/21 19,535 19,097
7 Metropolitan Life Global Funding I 3.000% 1/10/23 11,200 11,355
7 Metropolitan Life Global Funding I 3.450% 12/18/26 8,180 8,325
7 New York Life Global Funding 1.950% 2/11/20 17,975 17,943
7 New York Life Global Funding 2.900% 1/17/24 9,918 10,012
11 PGH Capital plc 5.750% 7/7/21 5,340 7,880
11 PGH Capital plc 6.625% 12/18/25 2,040 2,910
11 Phoenix Group Holdings 4.125% 7/20/22 16,638 21,943
7 Pricoa Global Funding I 2.550% 11/24/20 6,830 6,875
7 Pricoa Global Funding I 2.200% 6/3/21 9,790 9,694
7 Principal Life Global Funding II 2.200% 4/8/20 28,665 28,555
  Progressive Corp. 4.125% 4/15/47 26,025 26,531
4 Progressive Corp. 6.700% 6/15/67 32,684 32,766
  Prudential Financial Inc. 7.375% 6/15/19 10,442 11,614
  Prudential Financial Inc. 4.500% 11/15/20 1,423 1,533
  Prudential Financial Inc. 4.500% 11/16/21 10,789 11,702
4 Prudential Financial Inc. 5.375% 5/15/45 12,290 13,027
  Reinsurance Group of America Inc. 6.450% 11/15/19 21,183 23,319
  Reinsurance Group of America Inc. 3.950% 9/15/26 25,471 25,902
7 Reliance Standard Life Global Funding II 2.150% 10/15/18 27,320 27,418
7 Reliance Standard Life Global Funding II 2.500% 1/15/20 52,630 52,882
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 17,860 17,798
7 Reliance Standard Life Global Funding II 3.050% 1/20/21 8,275 8,378
7 TIAA Asset Management Finance Co. LLC 2.950% 11/1/19 60,100 61,103
  Torchmark Corp. 9.250% 6/15/19 7,053 8,082
  Travelers Cos. Inc. 5.800% 5/15/18 2,273 2,371
  Travelers Cos. Inc. 5.900% 6/2/19 2,930 3,182
  Travelers Cos. Inc. 3.900% 11/1/20 4,300 4,556
  UnitedHealth Group Inc. 1.900% 7/16/18 20,510 20,600
  UnitedHealth Group Inc. 2.700% 7/15/20 14,640 14,953
  UnitedHealth Group Inc. 4.250% 4/15/47 8,300 8,567
 
  Real Estate Investment Trusts (1.4%)        
  Alexandria Real Estate Equities Inc. 2.750% 1/15/20 29,896 30,077
  Boston Properties LP 3.700% 11/15/18 4,900 5,022
  Boston Properties LP 5.875% 10/15/19 32,163 34,728
  Brandywine Operating Partnership LP 5.700% 5/1/17 15,370 15,370
  Brandywine Operating Partnership LP 4.950% 4/15/18 21,275 21,855
  Brandywine Operating Partnership LP 3.950% 2/15/23 12,570 12,644
  Brandywine Operating Partnership LP 4.100% 10/1/24 7,205 7,263
  Brixmor Operating Partnership LP 3.850% 2/1/25 5,895 5,866
  Brixmor Operating Partnership LP 4.125% 6/15/26 29,930 30,410
  Brixmor Operating Partnership LP 3.900% 3/15/27 19,510 19,392
  Camden Property Trust 4.875% 6/15/23 2,400 2,604
  Camden Property Trust 4.250% 1/15/24 5,900 6,200
  Camden Property Trust 3.500% 9/15/24 1,785 1,797
  DDR Corp. 4.750% 4/15/18 29,245 29,881
  DDR Corp. 7.500% 7/15/18 2,500 2,654
  DDR Corp. 7.875% 9/1/20 7,085 8,172
  DDR Corp. 3.625% 2/1/25 2,761 2,672

 

 

DDR Corp. 4.250% 2/1/26 12,335 12,349
9 DEXUS Finance Pty Ltd. 4.200% 11/9/22 8,300 6,390
Digital Realty Trust LP 3.400% 10/1/20 22,047 22,724
Digital Realty Trust LP 3.950% 7/1/22 34,798 36,546
Digital Realty Trust LP 4.750% 10/1/25 6,622 7,059
Duke Realty LP 6.500% 1/15/18 3,235 3,341
Duke Realty LP 3.250% 6/30/26 4,402 4,315
ERP Operating LP 2.375% 7/1/19 4,875 4,912
ERP Operating LP 4.750% 7/15/20 2,349 2,515
Federal Realty Investment Trust 2.550% 1/15/21 9,351 9,382
9 General Property Trust 4.500% 9/11/20 4,010 3,123
9 General Property Trust 3.657% 8/24/26 900 650
7 Goodman Australia Industrial Fund 3.400% 9/30/26 17,000 16,659
9 GPT Wholesale Office Fund No. 1 4.000% 5/18/22 1,990 1,523
HCP Inc. 2.625% 2/1/20 12,357 12,448
HCP Inc. 4.250% 11/15/23 7,420 7,731
HCP Inc. 4.200% 3/1/24 7,815 8,071
HCP Inc. 3.400% 2/1/25 14,805 14,416
HCP Inc. 4.000% 6/1/25 8,880 8,981
Healthcare Trust of America Holdings LP 3.700% 4/15/23 13,139 13,261
Healthcare Trust of America Holdings LP 3.500% 8/1/26 9,850 9,581
Kilroy Realty LP 4.800% 7/15/18 20,030 20,602
Liberty Property LP 4.750% 10/1/20 10,940 11,675
Liberty Property LP 3.750% 4/1/25 3,575 3,643
Omega Healthcare Investors Inc. 4.375% 8/1/23 34,795 35,447
Omega Healthcare Investors Inc. 4.500% 1/15/25 9,760 9,784
Omega Healthcare Investors Inc. 5.250% 1/15/26 20,588 21,720
Realty Income Corp. 2.000% 1/31/18 4,870 4,879
Realty Income Corp. 5.750% 1/15/21 3,905 4,311
Realty Income Corp. 4.125% 10/15/26 19,045 19,787
9 Scentre Group Trust 1 4.500% 9/8/21 2,000 1,563
7 Scentre Group Trust 1 / Scentre Group Trust        
2 3.750% 3/23/27 28,575 28,861
9 Scentre Group Trust 2 5.000% 10/23/19 7,200 5,651
Senior Housing Properties Trust 3.250% 5/1/19 36,150 36,479
Simon Property Group LP 2.150% 9/15/17 1,572 1,574
Simon Property Group LP 2.500% 9/1/20 11,153 11,254
Simon Property Group LP 4.375% 3/1/21 7,375 7,881
Simon Property Group LP 2.350% 1/30/22 12,290 12,167
9 Stockland Trust 4.500% 11/23/22 1,400 1,093
Ventas Realty LP 3.125% 6/15/23 4,673 4,652
Ventas Realty LP 3.500% 2/1/25 6,655 6,586
Ventas Realty LP 3.850% 4/1/27 19,840 19,882
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 14,362 14,394
VEREIT Operating Partnership LP 3.000% 2/6/19 22,495 22,664
Welltower Inc. 4.700% 9/15/17 14,620 14,784
Welltower Inc. 2.250% 3/15/18 15,769 15,830
Welltower Inc. 4.125% 4/1/19 46,860 48,415
Welltower Inc. 4.000% 6/1/25 7,025 7,209
        15,284,548
Industrial (23.9%)        
Basic Industry (0.9%)        
Agrium Inc. 6.750% 1/15/19 31,740 34,115
7 Air Liquide Finance SA 1.375% 9/27/19 21,270 20,977
7 Air Liquide Finance SA 1.750% 9/27/21 24,420 23,760
Air Products & Chemicals Inc. 1.200% 10/15/17 11,225 11,214
Air Products & Chemicals Inc. 4.375% 8/21/19 7,155 7,580

 

 

  Airgas Inc. 1.650% 2/15/18 23,552 23,587
  Airgas Inc. 2.375% 2/15/20 9,890 9,972
  Airgas Inc. 3.050% 8/1/20 12,510 12,850
9 BHP Billiton Finance Ltd. 3.750% 10/18/17 14,090 10,621
  CF Industries Inc. 6.875% 5/1/18 26,245 27,328
7 CF Industries Inc. 3.400% 12/1/21 9,660 9,711
  CF Industries Inc. 3.450% 6/1/23 6,465 6,047
  Dow Chemical Co. 8.550% 5/15/19 28,238 31,864
  EI du Pont de Nemours & Co. 6.000% 7/15/18 27,383 28,785
  EI du Pont de Nemours & Co. 4.625% 1/15/20 11,348 12,082
  EI du Pont de Nemours & Co. 2.200% 5/1/20 35,715 35,771
9 Glencore Australia Holdings Pty Ltd. 4.500% 9/19/19 4,160 3,200
  Goldcorp Inc. 2.125% 3/15/18 14,640 14,658
  International Paper Co. 7.950% 6/15/18 5,150 5,496
  LyondellBasell Industries NV 5.000% 4/15/19 10,480 10,991
  Monsanto Co. 1.150% 6/30/17 9,770 9,766
  Monsanto Co. 5.125% 4/15/18 22,515 23,208
  Monsanto Co. 1.850% 11/15/18 3,000 2,998
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 28,554 28,767
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 11,456 12,386
  PPG Industries Inc. 2.300% 11/15/19 27,820 28,006
  Praxair Inc. 4.500% 8/15/19 29,565 31,282
  Praxair Inc. 4.050% 3/15/21 17,539 18,685
  Vale Overseas Ltd. 5.625% 9/15/19 9,740 10,337
  Vale Overseas Ltd. 5.875% 6/10/21 49,050 53,097
 
  Capital Goods (2.4%)        
  Acuity Brands Lighting Inc. 6.000% 12/15/19 8,400 9,196
  Caterpillar Financial Services Corp. 7.150% 2/15/19 47,540 51,869
  Caterpillar Financial Services Corp. 1.350% 5/18/19 32,370 32,080
  Caterpillar Financial Services Corp. 2.100% 1/10/20 34,625 34,764
  Caterpillar Financial Services Corp. 1.700% 8/9/21 41,200 40,045
  Caterpillar Financial Services Corp. 1.931% 10/1/21 100,075 97,813
  Caterpillar Inc. 7.900% 12/15/18 59,914 65,671
  Embraer Netherlands Finance BV 5.400% 2/1/27 26,505 27,429
7 Embraer Overseas Ltd. 5.696% 9/16/23 10,379 11,218
  General Electric Capital Corp. 5.625% 5/1/18 5,855 6,100
  General Electric Capital Corp. 6.000% 8/7/19 30,727 33,668
  General Electric Capital Corp. 2.200% 1/9/20 30,647 31,034
  General Electric Capital Corp. 5.550% 5/4/20 54,502 60,272
  General Electric Capital Corp. 4.375% 9/16/20 31,110 33,467
  General Electric Capital Corp. 4.625% 1/7/21 76,607 83,374
  General Electric Capital Corp. 5.300% 2/11/21 6,288 7,001
  General Electric Capital Corp. 4.650% 10/17/21 19,530 21,572
7 General Electric Co. / LJ VP Holdings LLC 3.800% 6/18/19 15,205 15,801
  Illinois Tool Works Inc. 3.375% 9/15/21 17,075 17,880
  Illinois Tool Works Inc. 2.650% 11/15/26 42,640 41,466
  John Deere Capital Corp. 5.750% 9/10/18 28,200 29,795
  John Deere Capital Corp. 1.250% 10/9/19 18,800 18,551
  John Deere Capital Corp. 2.375% 7/14/20 51,283 51,707
  John Deere Capital Corp. 2.450% 9/11/20 43,491 43,945
  John Deere Capital Corp. 2.550% 1/8/21 14,640 14,823
  John Deere Capital Corp. 2.800% 3/4/21 32,710 33,349
  John Deere Capital Corp. 3.900% 7/12/21 9,760 10,362
9 John Deere Financial Ltd. 3.500% 12/18/19 36,830 28,042
  Komatsu Mining Corp. 5.125% 10/15/21 28,491 31,483
11 Leonardo SPA 8.000% 12/16/19 5,004 7,550

 

 

12 Leonardo SPA 4.500% 1/19/21 6,933 8,535
12 Leonardo SPA 5.250% 1/21/22 3,200 4,127
  Masco Corp. 7.125% 3/15/20 51,191 57,654
  Parker-Hannifin Corp. 5.500% 5/15/18 3,615 3,763
7,12 Parker-Hannifin Corp. 1.125% 3/1/25 19,530 21,410
  Precision Castparts Corp. 2.500% 1/15/23 26,735 26,657
  Raytheon Co. 6.400% 12/15/18 25,286 27,309
  Raytheon Co. 4.400% 2/15/20 2,070 2,215
  Raytheon Co. 3.125% 10/15/20 8,697 8,976
  Rockwell Automation Inc. 5.650% 12/1/17 4,885 5,001
  Roper Technologies Inc. 2.800% 12/15/21 13,210 13,287
  Roper Technologies Inc. 3.800% 12/15/26 35,350 36,024
7 Siemens Financieringsmaatschappij NV 2.200% 3/16/20 63,890 64,234
7 Siemens Financieringsmaatschappij NV 2.700% 3/16/22 51,455 51,870
  Textron Inc. 7.250% 10/1/19 10,003 11,146
  Textron Inc. 3.875% 3/1/25 9,990 10,242
  United Rentals North America Inc. 4.625% 7/15/23 46,770 48,524
  United Rentals North America Inc. 5.875% 9/15/26 6,720 7,081
  United Rentals North America Inc. 5.500% 5/15/27 9,830 10,113
 
  Communication (2.5%)        
  21st Century Fox America Inc. 7.250% 5/18/18 7,205 7,605
7 Activision Blizzard Inc. 2.300% 9/15/21 15,350 15,125
7 Activision Blizzard Inc. 6.125% 9/15/23 22,008 23,879
  America Movil SAB de CV 5.625% 11/15/17 44,269 45,168
  America Movil SAB de CV 5.000% 10/16/19 19,268 20,579
  America Movil SAB de CV 5.000% 3/30/20 52,683 56,722
  American Tower Corp. 4.500% 1/15/18 19,490 19,854
12 American Tower Corp. 1.375% 4/4/25 39,690 43,356
  AT&T Inc. 1.700% 6/1/17 15,250 15,256
  AT&T Inc. 1.400% 12/1/17 24,400 24,391
  AT&T Inc. 5.500% 2/1/18 31,834 32,729
  AT&T Inc. 5.600% 5/15/18 6,038 6,280
  AT&T Inc. 5.800% 2/15/19 27,420 29,207
  AT&T Inc. 5.875% 10/1/19 46,760 50,557
  AT&T Inc. 5.200% 3/15/20 18,557 20,060
  AT&T Inc. 4.600% 2/15/21 4,762 5,082
  AT&T Inc. 3.200% 3/1/22 12,500 12,659
  CBS Corp. 4.625% 5/15/18 2,690 2,768
  CBS Corp. 2.300% 8/15/19 1,980 1,990
  Comcast Cable Communications LLC 8.875% 5/1/17 24,479 24,484
  Comcast Corp. 5.875% 2/15/18 17,672 18,274
  Comcast Corp. 3.375% 8/15/25 13,130 13,359
  Crown Castle International Corp. 3.400% 2/15/21 31,300 31,964
  Crown Castle International Corp. 2.250% 9/1/21 16,500 16,155
  Crown Castle International Corp. 4.450% 2/15/26 16,500 17,517
  Deutsche Telekom International Finance BV 6.750% 8/20/18 10,804 11,480
  Deutsche Telekom International Finance BV 6.000% 7/8/19 7,225 7,813
  Discovery Communications LLC 3.800% 3/13/24 10,270 10,255
  Electronic Arts Inc. 3.700% 3/1/21 14,650 15,241
  Grupo Televisa SAB 6.000% 5/15/18 10,931 11,376
  Grupo Televisa SAB 6.625% 3/18/25 4,900 5,786
  Grupo Televisa SAB 5.000% 5/13/45 16,270 15,478
  GTE Corp. 6.840% 4/15/18 2,440 2,560
  Interpublic Group of Cos. Inc. 2.250% 11/15/17 2,000 2,006
  Moody's Corp. 2.750% 7/15/19 10,317 10,461
  Moody's Corp. 5.500% 9/1/20 11,575 12,710

 

 

7 NBCUniversal Enterprise Inc. 1.974% 4/15/19 66,650 66,861
  NBCUniversal Media LLC 4.375% 4/1/21 24,415 26,371
  NBCUniversal Media LLC 2.875% 1/15/23 22,990 23,255
  Omnicom Group Inc. 6.250% 7/15/19 5,860 6,383
  Orange SA 2.750% 2/6/19 29,240 29,568
  Orange SA 1.625% 11/3/19 56,600 55,968
  Qwest Corp. 6.500% 6/1/17 9,653 9,665
  Qwest Corp. 6.750% 12/1/21 3,110 3,451
7 SES Global Americas Holdings GP 2.500% 3/25/19 53,705 53,504
7 Sky plc 2.625% 9/16/19 12,200 12,246
  Telefonica Emisiones SAU 6.221% 7/3/17 11,382 11,470
9 Telstra Corp. Ltd. 4.500% 11/13/18 28,920 22,280
9 Telstra Corp. Ltd. 4.000% 9/16/22 16,420 12,823
7 Telstra Corp. Ltd. 3.125% 4/7/25 16,480 16,473
  Thomson Reuters Corp. 6.500% 7/15/18 27,270 28,771
  Time Warner Cable LLC 8.750% 2/14/19 18,305 20,366
  Time Warner Cable LLC 8.250% 4/1/19 23,445 26,039
  Verizon Communications Inc. 3.650% 9/14/18 36,333 37,240
  Verizon Communications Inc. 4.500% 9/15/20 91,730 98,150
  Verizon Communications Inc. 3.450% 3/15/21 29,200 30,167
  Verizon Communications Inc. 3.000% 11/1/21 15,741 15,936
7 Verizon Communications Inc. 2.946% 3/15/22 130,510 131,157
  Verizon Communications Inc. 5.150% 9/15/23 29,420 32,584
  Verizon Communications Inc. 4.125% 3/16/27 19,225 19,681
  Viacom Inc. 5.625% 9/15/19 3,195 3,425
  Viacom Inc. 3.875% 12/15/21 14,600 15,240
  Vodafone Group plc 1.250% 9/26/17 21,359 21,348
 
  Consumer Cyclical (3.6%)        
12 Accor SA 1.250% 1/25/24 17,500 18,958
  Alibaba Group Holding Ltd. 1.625% 11/28/17 37,630 37,583
  Alibaba Group Holding Ltd. 2.500% 11/28/19 19,064 19,160
  American Honda Finance Corp. 0.950% 5/5/17 15,960 15,960
  American Honda Finance Corp. 1.600% 7/13/18 10,770 10,771
  American Honda Finance Corp. 2.125% 10/10/18 18,825 18,946
  American Honda Finance Corp. 1.500% 11/19/18 14,650 14,599
  American Honda Finance Corp. 1.700% 2/22/19 14,050 14,055
  American Honda Finance Corp. 2.250% 8/15/19 41,660 41,995
  American Honda Finance Corp. 2.000% 2/14/20 48,800 49,055
  American Honda Finance Corp. 2.450% 9/24/20 16,675 16,878
  American Honda Finance Corp. 1.700% 9/9/21 16,450 16,043
  AutoZone Inc. 7.125% 8/1/18 19,022 20,253
  AutoZone Inc. 1.625% 4/21/19 8,345 8,285
  Block Financial LLC 4.125% 10/1/20 1,032 1,059
7 BMW US Capital LLC 2.000% 4/11/21 11,055 10,868
  CVS Health Corp. 1.900% 7/20/18 16,605 16,645
  CVS Health Corp. 2.250% 12/5/18 19,520 19,657
  CVS Health Corp. 2.800% 7/20/20 119,047 121,265
7 Daimler Finance North America LLC 1.375% 8/1/17 19,525 19,522
  Delphi Automotive plc 3.150% 11/19/20 14,635 14,968
  Dollar General Corp. 1.875% 4/15/18 9,965 9,982
  DR Horton Inc. 4.375% 9/15/22 6,615 7,028
7 Experian Finance plc 2.375% 6/15/17 41,730 41,739
12 FCE Bank plc 1.615% 5/11/23 21,200 23,748
  Ford Motor Credit Co. LLC 2.145% 1/9/18 14,665 14,701
  Ford Motor Credit Co. LLC 2.375% 1/16/18 14,635 14,699
  Ford Motor Credit Co. LLC 5.000% 5/15/18 82,795 84,980

 

 

  Ford Motor Credit Co. LLC 2.240% 6/15/18 14,650 14,652
9 Ford Motor Credit Co. LLC 4.050% 12/10/18 76,020 57,974
  Ford Motor Credit Co. LLC 2.375% 3/12/19 5,460 5,475
  Ford Motor Credit Co. LLC 2.597% 11/4/19 7,615 7,646
  Ford Motor Credit Co. LLC 2.459% 3/27/20 19,535 19,471
9 Ford Motor Credit Co. LLC 3.588% 6/2/20 32,210 24,416
  Ford Motor Credit Co. LLC 3.157% 8/4/20 14,310 14,550
  Ford Motor Credit Co. LLC 3.200% 1/15/21 23,362 23,655
  Ford Motor Credit Co. LLC 5.750% 2/1/21 2,244 2,471
  Ford Motor Credit Co. LLC 3.336% 3/18/21 67,975 69,002
  Ford Motor Credit Co. LLC 5.875% 8/2/21 15,600 17,355
  Ford Motor Credit Co. LLC 3.339% 3/28/22 29,275 29,484
  Ford Motor Credit Co. LLC 4.250% 9/20/22 11,635 12,181
  General Motors Co. 3.500% 10/2/18 36,615 37,312
  General Motors Financial Co. Inc. 3.250% 5/15/18 64,135 64,947
  General Motors Financial Co. Inc. 6.750% 6/1/18 46,749 49,096
  General Motors Financial Co. Inc. 3.100% 1/15/19 5,220 5,293
  General Motors Financial Co. Inc. 2.400% 5/9/19 31,240 31,298
  General Motors Financial Co. Inc. 3.500% 7/10/19 29,234 29,936
  General Motors Financial Co. Inc. 3.200% 7/13/20 9,800 9,980
  General Motors Financial Co. Inc. 3.700% 11/24/20 29,280 30,014
  General Motors Financial Co. Inc. 4.200% 3/1/21 36,658 38,341
  General Motors Financial Co. Inc. 3.200% 7/6/21 38,623 38,980
  General Motors Financial Co. Inc. 4.375% 9/25/21 2,660 2,802
  General Motors Financial Co. Inc. 3.450% 1/14/22 42,190 42,663
7 Harley-Davidson Financial Services Inc. 1.550% 11/17/17 3,415 3,411
7 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 9,765 9,817
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 10,800 10,751
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 3,665 3,863
7 Hyundai Capital America 4.000% 6/8/17 10,785 10,811
7 Hyundai Capital America 3.100% 4/5/22 19,825 19,753
  Lowe's Cos. Inc. 1.150% 4/15/19 12,150 12,016
  Lowe's Cos. Inc. 4.625% 4/15/20 19,120 20,582
  Macy's Retail Holdings Inc. 7.450% 7/15/17 5,204 5,264
  Macy's Retail Holdings Inc. 3.450% 1/15/21 19,515 19,707
  Marriott International Inc. 6.375% 6/15/17 7,397 7,441
  Mastercard Inc. 2.000% 4/1/19 9,620 9,689
  McDonald's Corp. 2.100% 12/7/18 11,710 11,784
7 Nissan Motor Acceptance Corp. 2.000% 3/8/19 31,275 31,242
  NVR Inc. 3.950% 9/15/22 6,760 7,085
  PACCAR Financial Corp. 1.750% 8/14/18 6,635 6,655
  PACCAR Financial Corp. 2.200% 9/15/19 19,025 19,175
  PACCAR Financial Corp. 2.500% 8/14/20 2,930 2,968
12 Priceline Group Inc. 0.800% 3/10/22 39,600 43,242
  QVC Inc. 3.125% 4/1/19 9,770 9,882
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 5,250 5,502
  Starbucks Corp. 2.100% 2/4/21 12,420 12,498
  TJX Cos. Inc. 2.750% 6/15/21 19,475 19,906
9 Toyota Finance Australia Ltd. 4.250% 5/15/19 19,200 14,878
  Toyota Motor Credit Corp. 1.450% 1/12/18 27,350 27,380
  Toyota Motor Credit Corp. 1.550% 7/13/18 14,740 14,742
  Toyota Motor Credit Corp. 2.000% 10/24/18 10,745 10,814
  Toyota Motor Credit Corp. 2.100% 1/17/19 19,530 19,658
  Toyota Motor Credit Corp. 2.125% 7/18/19 40,515 40,791
  Toyota Motor Credit Corp. 2.750% 5/17/21 11,710 11,935
9 Toyota Motor Credit Corp. 2.750% 7/26/21 2,998 2,228
  Toyota Motor Credit Corp. 3.400% 9/15/21 6,352 6,632

 

 

  Toyota Motor Credit Corp. 2.600% 1/11/22 6,360 6,410
  VF Corp. 5.950% 11/1/17 5,860 5,993
  Visa Inc. 1.200% 12/14/17 33,170 33,169
  Visa Inc. 2.200% 12/14/20 82,930 83,632
9 Volkswagen Financial Services Australia Pty        
  Ltd. 4.250% 4/4/18 3,150 2,392
9 Volkswagen Financial Services Australia Pty        
  Ltd. 3.250% 8/13/19 28,070 21,177
7 Volkswagen Group of America Finance LLC 1.250% 5/23/17 28,215 28,214
7 Volkswagen Group of America Finance LLC 1.600% 11/20/17 6,205 6,201
7 Volkswagen Group of America Finance LLC 1.650% 5/22/18 3,465 3,457
  Wal-Mart Stores Inc. 3.625% 7/8/20 29,565 31,220
  Wal-Mart Stores Inc. 3.250% 10/25/20 19,080 19,972
  Walgreens Boots Alliance Inc. 1.750% 5/30/18 18,060 18,129
  Walgreens Boots Alliance Inc. 2.600% 6/1/21 46,103 46,325
  Walgreens Boots Alliance Inc. 3.800% 11/18/24 6,665 6,848
7 Wesfarmers Ltd. 1.874% 3/20/18 20,665 20,665
 
  Consumer Noncyclical (5.6%)        
  Abbott Laboratories 2.350% 11/22/19 95,250 95,772
  Abbott Laboratories 2.800% 9/15/20 18,990 19,218
  Abbott Laboratories 2.900% 11/30/21 79,930 80,699
  AbbVie Inc. 1.800% 5/14/18 126,410 126,579
  AbbVie Inc. 2.000% 11/6/18 16,862 16,910
  AbbVie Inc. 2.500% 5/14/20 90,080 90,905
  AbbVie Inc. 2.300% 5/14/21 29,085 28,891
  Actavis Funding SCS 2.350% 3/12/18 239,151 240,048
  Actavis Funding SCS 2.450% 6/15/19 9,765 9,838
  Actavis Funding SCS 3.000% 3/12/20 31,788 32,355
  Actavis Funding SCS 3.450% 3/15/22 75,702 77,841
  Actavis Inc. 1.875% 10/1/17 20,626 20,647
  Actavis Inc. 6.125% 8/15/19 9,765 10,612
  Agilent Technologies Inc. 6.500% 11/1/17 2,257 2,305
  Agilent Technologies Inc. 5.000% 7/15/20 10,185 11,007
  Allergan Inc. 1.350% 3/15/18 7,800 7,766
  Altria Group Inc. 9.250% 8/6/19 69,792 80,758
  Altria Group Inc. 4.750% 5/5/21 40,225 43,823
  AmerisourceBergen Corp. 3.500% 11/15/21 7,200 7,489
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 8,650 8,868
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 2,345 2,342
  Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 68,756 68,898
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 16,210 16,313
  Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 190,770 192,979
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 26,600 27,308
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 15,550 15,872
  Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 14,600 15,574
12 Anheuser-Busch InBev SA 3.250% 1/24/33 1,300 1,676
12 Anheuser-Busch InBev SA 2.750% 3/17/36 15,370 18,342
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 32,250 35,368
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 35,850 38,949
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 7,900 7,871
  Baxalta Inc. 2.875% 6/23/20 99,422 101,034
  Becton Dickinson & Co. 2.675% 12/15/19 5,460 5,504
  Becton Dickinson & Co. 3.125% 11/8/21 14,600 14,686
  Biogen Inc. 6.875% 3/1/18 4,880 5,088
  Biogen Inc. 2.900% 9/15/20 32,332 32,993
  Boston Scientific Corp. 2.650% 10/1/18 20,960 21,163

 

 

12 Bunge Finance Europe BV 1.850% 6/16/23 14,308 16,198
  Cardinal Health Inc. 1.900% 6/15/17 6,830 6,835
7 Cargill Inc. 6.000% 11/27/17 12,295 12,621
7 Cargill Inc. 7.350% 3/6/19 24,500 26,950
7 Cargill Inc. 3.250% 11/15/21 9,750 10,068
  Catholic Health Initiatives Colorado GO 2.600% 8/1/18 2,900 2,914
  Celgene Corp. 2.125% 8/15/18 12,600 12,649
  Clorox Co. 5.950% 10/15/17 4,880 4,974
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 20,600 20,649
  Conagra Brands Inc. 4.950% 8/15/20 2,679 2,881
  Constellation Brands Inc. 3.875% 11/15/19 26,682 27,883
  Constellation Brands Inc. 3.750% 5/1/21 26,033 27,107
  Constellation Brands Inc. 6.000% 5/1/22 17,680 20,155
  Constellation Brands Inc. 4.750% 11/15/24 12,540 13,637
  Covidien International Finance SA 6.000% 10/15/17 48,915 49,770
  Diageo Capital plc 1.125% 4/29/18 7,115 7,079
  Dignity Health California GO 2.637% 11/1/19 2,000 2,018
  Edwards Lifesciences Corp. 2.875% 10/15/18 24,400 24,715
  Express Scripts Holding Co. 3.300% 2/25/21 12,200 12,452
  Express Scripts Holding Co. 3.000% 7/15/23 34,100 33,558
  Express Scripts Holding Co. 4.500% 2/25/26 9,800 10,172
9 FBG Finance Pty Ltd. 3.750% 8/7/20 30,360 23,269
9 Fonterra Co-operative Group Ltd. 4.500% 6/30/21 8,600 6,732
12 Fresenius SE & Co. KGaA 4.000% 2/1/24 25,550 32,409
12 Fresenius SE & Co. KGaA 3.000% 1/30/32 13,200 15,307
  Gilead Sciences Inc. 2.550% 9/1/20 141,830 143,705
  Gilead Sciences Inc. 4.500% 4/1/21 11,375 12,259
  Gilead Sciences Inc. 4.400% 12/1/21 20,510 22,116
  Gilead Sciences Inc. 1.950% 3/1/22 19,530 19,031
  Gilead Sciences Inc. 2.500% 9/1/23 19,530 19,053
7 Grupo Bimbo SAB de CV 4.500% 1/25/22 11,180 11,836
  Hershey Co. 1.600% 8/21/18 3,060 3,071
  Ingredion Inc. 1.800% 9/25/17 5,855 5,855
  Kraft Foods Group Inc. 2.250% 6/5/17 6,275 6,281
  Kraft Foods Group Inc. 6.125% 8/23/18 14,240 15,012
  Kraft Heinz Foods Co. 2.000% 7/2/18 10,765 10,792
  McKesson Corp. 2.284% 3/15/19 34,250 34,460
11 McKesson Corp. 3.125% 2/17/29 17,200 23,029
  Mead Johnson Nutrition Co. 3.000% 11/15/20 24,500 24,999
  Medtronic Inc. 1.500% 3/15/18 28,725 28,715
  Medtronic Inc. 1.375% 4/1/18 11,900 11,890
  Medtronic Inc. 2.500% 3/15/20 64,885 66,064
  Medtronic Inc. 3.150% 3/15/22 19,500 20,190
  Medtronic Inc. 3.625% 3/15/24 7,512 7,866
  Merck Sharp & Dohme Corp. 5.000% 6/30/19 7,320 7,819
9 New Zealand Milk Australasia Pty Ltd. 5.250% 5/23/22 2,700 2,184
  Newell Brands Inc. 2.600% 3/29/19 3,286 3,328
  Newell Brands Inc. 3.150% 4/1/21 30,603 31,403
  Newell Brands Inc. 3.850% 4/1/23 19,500 20,354
  Newell Brands Inc. 5.375% 4/1/36 5,150 5,809
  PepsiCo Inc. 2.250% 1/7/19 7,900 7,987
  PepsiCo Inc. 4.500% 1/15/20 23,505 25,276
  PepsiCo Inc. 1.850% 4/30/20 23,350 23,319
7 Pernod Ricard SA 5.750% 4/7/21 4,850 5,416
7 Pernod Ricard SA 4.450% 1/15/22 2,850 3,054
  Perrigo Co. plc 2.300% 11/8/18 25,070 25,415
  Perrigo Co. plc 4.000% 11/15/23 12,824 13,257

 

 

Perrigo Co. plc 5.300% 11/15/43 12,510 12,886
Perrigo Finance Unlimited Co. 3.500% 3/15/21 6,300 6,452
Perrigo Finance Unlimited Co. 3.500% 12/15/21 800 817
Perrigo Finance Unlimited Co. 3.900% 12/15/24 36,793 37,098
Perrigo Finance Unlimited Co. 4.900% 12/15/44 37,030 36,429
Pharmacia LLC 6.500% 12/1/18 8,300 8,930
Philip Morris International Inc. 1.125% 8/21/17 4,975 4,973
Quest Diagnostics Inc. 2.700% 4/1/19 19,535 19,787
Reynolds American Inc. 8.125% 6/23/19 49,853 56,036
Reynolds American Inc. 3.250% 6/12/20 16,445 16,958
7 Roche Holdings Inc. 2.250% 9/30/19 50,755 51,197
7 Roche Holdings Inc. 1.750% 1/28/22 16,635 16,193
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 58,600 57,743
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 12,385 12,111
Stryker Corp. 2.000% 3/8/19 9,850 9,881
Teva Pharmaceutical Finance Netherlands III        
BV 2.200% 7/21/21 118,869 115,611
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 24,710 23,798
The Kroger Co. 6.800% 12/15/18 5,950 6,412
The Kroger Co. 2.000% 1/15/19 14,700 14,730
The Kroger Co. 2.300% 1/15/19 31,250 31,459
The Kroger Co. 6.150% 1/15/20 10,250 11,315
The Kroger Co. 2.600% 2/1/21 19,550 19,623
The Kroger Co. 2.950% 11/1/21 20,510 20,800
Thermo Fisher Scientific Inc. 2.150% 12/14/18 14,600 14,665
Tyson Foods Inc. 2.650% 8/15/19 36,523 36,912
 
Energy (4.0%)        
Anadarko Petroleum Corp. 4.850% 3/15/21 21,408 23,017
Anadarko Petroleum Corp. 3.450% 7/15/24 6,800 6,708
Anadarko Petroleum Corp. 6.600% 3/15/46 7,800 9,595
BP Capital Markets plc 1.846% 5/5/17 41,475 41,477
BP Capital Markets plc 1.375% 11/6/17 19,450 19,443
BP Capital Markets plc 1.375% 5/10/18 71,938 71,805
BP Capital Markets plc 2.241% 9/26/18 24,638 24,792
9 BP Capital Markets plc 4.750% 11/15/18 18,250 14,104
BP Capital Markets plc 4.750% 3/10/19 39,059 41,091
BP Capital Markets plc 1.676% 5/3/19 10,250 10,234
BP Capital Markets plc 2.237% 5/10/19 24,500 24,678
BP Capital Markets plc 2.521% 1/15/20 31,010 31,444
BP Capital Markets plc 2.315% 2/13/20 58,200 58,715
BP Capital Markets plc 4.500% 10/1/20 25,425 27,322
BP Capital Markets plc 2.112% 9/16/21 7,700 7,594
BP Capital Markets plc 3.062% 3/17/22 10,714 10,932
BP Capital Markets plc 2.750% 5/10/23 8,508 8,478
BP Capital Markets plc 3.216% 11/28/23 15,795 16,030
BP Capital Markets plc 3.814% 2/10/24 13,465 14,069
Chevron Corp. 1.718% 6/24/18 45,361 45,509
Chevron Corp. 4.950% 3/3/19 25,050 26,518
Chevron Corp. 2.193% 11/15/19 9,800 9,888
Chevron Corp. 1.961% 3/3/20 41,685 41,771
Chevron Corp. 2.427% 6/24/20 21,595 21,884
Chevron Corp. 2.419% 11/17/20 14,760 14,942
ConocoPhillips 5.750% 2/1/19 52,976 56,544
ConocoPhillips Co. 2.200% 5/15/20 7,230 7,280
ConocoPhillips Co. 4.200% 3/15/21 93,334 99,804

 

 

ConocoPhillips Co. 2.875% 11/15/21 9,750 9,925
ConocoPhillips Co. 4.950% 3/15/26 16,800 18,787
Devon Energy Corp. 4.000% 7/15/21 19,530 20,228
Dominion Gas Holdings LLC 2.500% 12/15/19 21,500 21,686
Dominion Gas Holdings LLC 2.800% 11/15/20 11,700 11,855
Dominion Gas Holdings LLC 3.550% 11/1/23 12,700 13,030
Enbridge Energy Partners LP 4.375% 10/15/20 975 1,028
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,860 1,827
Encana Corp. 3.900% 11/15/21 6,680 6,841
Energy Transfer Partners LP 2.500% 6/15/18 19,050 19,142
Energy Transfer Partners LP 6.700% 7/1/18 40,929 43,057
Energy Transfer Partners LP 4.150% 10/1/20 39,715 41,295
Energy Transfer Partners LP 4.650% 6/1/21 21,985 23,216
Energy Transfer Partners LP 5.200% 2/1/22 7,883 8,534
EOG Resources Inc. 5.875% 9/15/17 2,950 2,996
EOG Resources Inc. 5.625% 6/1/19 16,611 17,813
EOG Resources Inc. 2.450% 4/1/20 11,528 11,613
EOG Resources Inc. 2.625% 3/15/23 8,571 8,451
Hess Corp. 4.300% 4/1/27 5,600 5,580
Kinder Morgan Energy Partners LP 2.650% 2/1/19 2,050 2,068
Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,285 5,892
Kinder Morgan Energy Partners LP 6.850% 2/15/20 12,912 14,385
Kinder Morgan Energy Partners LP 6.500% 4/1/20 17,870 19,803
Kinder Morgan Energy Partners LP 5.300% 9/15/20 4,875 5,271
Kinder Morgan Inc. 7.000% 6/15/17 23,460 23,603
Kinder Morgan Inc. 3.050% 12/1/19 1,760 1,794
Kinder Morgan Inc. 7.750% 1/15/32 8,455 10,768
Marathon Oil Corp. 5.900% 3/15/18 15,177 15,689
Marathon Oil Corp. 2.700% 6/1/20 7,570 7,561
Marathon Oil Corp. 2.800% 11/1/22 54,992 53,480
MPLX LP 4.500% 7/15/23 33,060 34,837
Nabors Industries Inc. 6.150% 2/15/18 7,765 7,959
Nabors Industries Inc. 5.000% 9/15/20 9,800 10,131
Nabors Industries Inc. 4.625% 9/15/21 10,622 10,728
7 Nabors Industries Inc. 5.500% 1/15/23 14,885 15,071
Occidental Petroleum Corp. 1.500% 2/15/18 50,620 50,616
Occidental Petroleum Corp. 2.600% 4/15/22 6,115 6,131
ONEOK Partners LP 2.000% 10/1/17 975 975
ONEOK Partners LP 3.200% 9/15/18 11,720 11,895
Petro-Canada 6.050% 5/15/18 4,885 5,093
Phillips 66 2.950% 5/1/17 46,040 46,042
Pioneer Natural Resources Co. 6.875% 5/1/18 12,710 13,317
Pioneer Natural Resources Co. 3.450% 1/15/21 24,400 25,131
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.875% 3/1/22 10,010 11,031
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.000% 10/1/22 8,500 9,074
Sabine Pass Liquefaction LLC 5.625% 2/1/21 72,959 79,161
Sabine Pass Liquefaction LLC 6.250% 3/15/22 34,150 38,291
Sabine Pass Liquefaction LLC 5.625% 4/15/23 10,350 11,411
Sabine Pass Liquefaction LLC 5.750% 5/15/24 18,865 20,799
7 Schlumberger Holdings Corp. 2.350% 12/21/18 2,150 2,167
Shell International Finance BV 1.900% 8/10/18 9,775 9,812
Shell International Finance BV 1.625% 11/10/18 14,500 14,502
Shell International Finance BV 2.000% 11/15/18 15,675 15,754
Shell International Finance BV 1.375% 5/10/19 61,000 60,541
Shell International Finance BV 1.375% 9/12/19 70,500 69,705

 

 

  Shell International Finance BV 4.300% 9/22/19 10,797 11,405
  Shell International Finance BV 2.125% 5/11/20 53,700 53,907
  Shell International Finance BV 2.250% 11/10/20 48,750 48,943
  Shell International Finance BV 1.875% 5/10/21 74,080 72,898
  Shell International Finance BV 1.750% 9/12/21 23,600 23,100
  Shell International Finance BV 3.250% 5/11/25 14,000 14,234
  Southern Natural Gas Co. LLC / Southern        
  Natural Issuing Corp. 4.400% 6/15/21 6,395 6,804
  Spectra Energy Partners LP 2.950% 9/25/18 9,770 9,903
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 1,660 1,998
  Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 8,289 10,022
  Total Capital Canada Ltd. 1.450% 1/15/18 43,977 44,026
  Total Capital International SA 1.550% 6/28/17 17,925 17,925
  Total Capital International SA 2.125% 1/10/19 47,850 48,181
  Total Capital International SA 2.100% 6/19/19 14,600 14,673
9 Total Capital International SA 4.250% 11/26/21 5,378 4,226
  Total Capital SA 2.125% 8/10/18 11,627 11,700
  Total Capital SA 4.450% 6/24/20 36,050 38,674
  Total Capital SA 4.250% 12/15/21 19,525 21,071
  TransCanada PipeLines Ltd. 2.500% 8/1/22 1,530 1,522
  TransCanada PipeLines Ltd. 4.625% 3/1/34 7,000 7,474
  Transocean Inc. 4.500% 10/15/17 65,947 66,194
  Williams Partners LP 5.250% 3/15/20 4,880 5,262
  Williams Partners LP 4.000% 11/15/21 16,585 17,253
  Williams Partners LP 3.600% 3/15/22 8,424 8,604
  Williams Partners LP 3.900% 1/15/25 10,524 10,675
7 Woodside Finance Ltd. 8.750% 3/1/19 15,850 17,574
 
  Other Industrial (0.4%)        
12 Fluor Corp. 1.750% 3/21/23 21,890 24,835
7 Hutchison Whampoa Finance CI Ltd. 7.450% 8/1/17 10,320 10,449
7 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 118,427 130,608
7 Hutchison Whampoa International 14 Ltd. 1.625% 10/31/17 40,045 40,045
 
  Technology (2.9%)        
  Altera Corp. 2.500% 11/15/18 4,420 4,488
  Amphenol Corp. 2.550% 1/30/19 5,712 5,771
  Apple Inc. 1.300% 2/23/18 14,635 14,635
  Apple Inc. 2.100% 5/6/19 48,285 48,781
6,9 Apple Inc. 2.430% 8/28/19 29,160 21,879
9 Apple Inc. 2.850% 8/28/19 20,060 15,182
  Apple Inc. 1.550% 2/7/20 19,535 19,448
  Apple Inc. 2.000% 5/6/20 25,650 25,803
  Apple Inc. 2.250% 2/23/21 100,900 102,023
  Apple Inc. 2.850% 5/6/21 37,000 38,141
  Apple Inc. 1.550% 8/4/21 9,000 8,812
  Apple Inc. 2.150% 2/9/22 9,770 9,737
  Apple Inc. 2.500% 2/9/22 48,830 49,434
  Apple Inc. 2.700% 5/13/22 13,970 14,251
  Applied Materials Inc. 2.625% 10/1/20 23,420 23,834
  Avnet Inc. 3.750% 12/1/21 3,305 3,360
  Baidu Inc. 2.250% 11/28/17 16,615 16,657
  Baidu Inc. 3.250% 8/6/18 31,200 31,629
  Baidu Inc. 2.750% 6/9/19 17,575 17,730
7 Broadcom Corp. / Broadcom Cayman Finance        
  Ltd. 2.375% 1/15/20 58,615 58,688

 

 

7 Broadcom Corp. / Broadcom Cayman Finance        
  Ltd. 3.000% 1/15/22 58,615 58,981
  Cisco Systems Inc. 4.450% 1/15/20 27,210 29,097
  Cisco Systems Inc. 2.200% 2/28/21 43,910 44,148
7 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 3.480% 6/1/19 78,090 79,919
7 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 4.420% 6/15/21 73,105 76,820
7 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 5.450% 6/15/23 7,280 7,866
  Equifax Inc. 6.300% 7/1/17 4,880 4,914
7 Everett Spinco Inc. 2.875% 3/27/20 13,670 13,818
7 Everett Spinco Inc. 4.250% 4/15/24 29,295 30,031
  Fidelity National Information Services Inc. 1.450% 6/5/17 18,406 18,386
  Fidelity National Information Services Inc. 2.000% 4/15/18 4,715 4,727
  Fidelity National Information Services Inc. 2.850% 10/15/18 36,474 36,973
  Fidelity National Information Services Inc. 3.625% 10/15/20 44,500 46,345
  Fidelity National Information Services Inc. 2.250% 8/15/21 14,650 14,423
  Fiserv Inc. 2.700% 6/1/20 6,995 7,081
  Hewlett Packard Enterprise Co. 2.450% 10/5/17 13,074 13,112
  Hewlett Packard Enterprise Co. 2.850% 10/5/18 45,105 45,628
  Hewlett Packard Enterprise Co. 3.600% 10/15/20 65,207 67,442
  Intel Corp. 1.350% 12/15/17 33,388 33,407
9 Intel Corp. 3.250% 12/1/19 16,670 12,680
  International Business Machines Corp. 5.700% 9/14/17 25,910 26,340
  International Business Machines Corp. 2.500% 1/27/22 29,300 29,633
  KLA-Tencor Corp. 2.375% 11/1/17 13,845 13,900
  Lam Research Corp. 2.750% 3/15/20 24,420 24,746
  Microsoft Corp. 2.400% 2/6/22 97,675 98,839
  Microsoft Corp. 2.875% 2/6/24 87,910 89,213
  Oracle Corp. 2.375% 1/15/19 38,718 39,239
  Oracle Corp. 5.000% 7/8/19 16,368 17,527
  Pitney Bowes Inc. 5.750% 9/15/17 687 695
  Pitney Bowes Inc. 5.600% 3/15/18 4,880 5,016
  Pitney Bowes Inc. 3.375% 10/1/21 13,165 12,984
  Seagate HDD Cayman 3.750% 11/15/18 13,715 14,058
7 Seagate HDD Cayman 4.250% 3/1/22 16,605 16,563
  Seagate HDD Cayman 4.750% 6/1/23 12,806 12,982
  Tech Data Corp. 3.700% 2/15/22 28,470 28,950
  Total System Services Inc. 2.375% 6/1/18 36,472 36,613
  Tyco Electronics Group SA 6.550% 10/1/17 8,270 8,439
  Tyco Electronics Group SA 2.375% 12/17/18 14,650 14,773
  Tyco Electronics Group SA 2.350% 8/1/19 18,380 18,493
  Tyco Electronics Group SA 4.875% 1/15/21 1,955 2,110
  Tyco Electronics Group SA 3.500% 2/3/22 3,210 3,327
  Xerox Corp. 6.350% 5/15/18 7,291 7,604
  Xerox Corp. 2.800% 5/15/20 2,239 2,235
  Xerox Corp. 2.750% 9/1/20 7,135 7,093
  Xerox Corp. 4.500% 5/15/21 28,746 30,244
  Xilinx Inc. 2.125% 3/15/19 19,555 19,654
 
  Transportation (1.6%)        
4,7 AA Aircraft Financing 2013-1 LLC 6.500% 11/1/17 16,514 16,515
7 Air Canada 7.750% 4/15/21 48,312 54,783
4,7 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 18,998 18,972
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 8,095 8,461

 

 

  Burlington Northern Santa Fe LLC 3.000% 3/15/23 9,220 9,392
  Burlington Northern Santa Fe LLC 3.850% 9/1/23 49,265 52,495
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 4,155 4,403
  Canadian National Railway Co. 5.850% 11/15/17 14,960 15,313
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 412 422
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 219 222
4 Continental Airlines 1999-1 Class B Pass        
  Through Trust 6.795% 2/2/20 155 159
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 3,352 3,666
4 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 10/1/22 33,431 36,565
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 2,296 2,400
  Continental Airlines 2012-3 Class C Pass        
  Thru Certificates 6.125% 4/29/18 59,755 61,473
4,13 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 21,452 24,053
4 Delta Air Lines 2007-1 Class A Pass Through        
  Trust 6.821% 2/10/24 38,519 44,152
4 Delta Air Lines 2007-1 Class B Pass Through        
  Trust 8.021% 8/10/22 8,827 10,063
4 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 6/17/21 21,103 23,134
4 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 7,747 8,077
4 Delta Air Lines 2010-2 Class A Pass Through        
  Trust 4.950% 11/23/20 3,686 3,833
4 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 2,091 2,203
  Delta Air Lines Inc. 2.875% 3/13/20 72,470 73,104
  Delta Air Lines Inc. 3.625% 3/15/22 89,704 92,059
7 ERAC USA Finance LLC 6.375% 10/15/17 31,967 32,613
7 ERAC USA Finance LLC 2.800% 11/1/18 16,645 16,843
7 ERAC USA Finance LLC 2.350% 10/15/19 11,715 11,718
7 ERAC USA Finance LLC 2.700% 11/1/23 34,185 32,966
4,7 Heathrow Funding Ltd. 4.875% 7/15/23 3,215 3,449
7 HPHT Finance 15 Ltd. 2.250% 3/17/18 29,305 29,333
  JB Hunt Transport Services Inc. 2.400% 3/15/19 5,100 5,122
  Kansas City Southern 2.350% 5/15/20 51,909 51,991
  Kansas City Southern 4.950% 8/15/45 11,680 12,017
4 Northwest Airlines 2007-1 Class B Pass        
  Through Trust 8.028% 11/1/17 21,322 21,909
9 Qantas Airways Ltd. 7.500% 6/11/21 28,460 24,235
9 Qantas Airways Ltd. 7.750% 5/19/22 10,220 8,959
  Ryder System Inc. 2.500% 3/1/18 8,010 8,050
  Ryder System Inc. 2.250% 9/1/21 14,650 14,462
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.650% 8/1/22 12,700 13,986
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 4,483 4,954
4 Spirit Airlines 2015-1 Pass Through Trust B 4.450% 10/1/25 12,107 12,379
9 Transurban Queensland Finance Pty Ltd. 4.900% 12/8/21 980 772
4 UAL 2007-1 Pass Through Trust 6.636% 7/2/22 18,417 19,868
  United Continental Holdings Inc. 6.375% 6/1/18 6,335 6,612

 

 

4 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 6,874 7,587
7 WestJet Airlines Ltd. 3.500% 6/16/21 19,210 19,332
          14,278,172
Utilities (3.0%)        
  Electric (2.9%)        
  Arizona Public Service Co. 8.750% 3/1/19 29,145 32,748
9 AusNet Services Holdings Pty Ltd. 5.750% 6/28/22 700 578
9 AusNet Services Holdings Pty Ltd. 4.400% 8/16/27 11,060 8,417
  Baltimore Gas & Electric Co. 3.500% 11/15/21 6,215 6,495
  Baltimore Gas & Electric Co. 2.800% 8/15/22 3,555 3,573
  Berkshire Hathaway Energy Co. 5.750% 4/1/18 38,425 39,908
  Berkshire Hathaway Energy Co. 2.000% 11/15/18 39,110 39,235
  Berkshire Hathaway Energy Co. 2.400% 2/1/20 17,600 17,732
  Cleco Corporate Holdings LLC 3.743% 5/1/26 27,452 27,367
  CMS Energy Corp. 6.250% 2/1/20 9,141 10,097
  Commonwealth Edison Co. 6.150% 9/15/17 27,867 28,336
  Commonwealth Edison Co. 5.800% 3/15/18 36,085 37,391
  Commonwealth Edison Co. 2.150% 1/15/19 6,840 6,888
  Commonwealth Edison Co. 4.000% 8/1/20 27,778 29,329
  Commonwealth Edison Co. 3.400% 9/1/21 8,200 8,544
  Connecticut Light & Power Co. 5.500% 2/1/19 11,695 12,410
  Dominion Energy Inc. 1.875% 1/15/19 33,170 33,135
  Dominion Energy Inc. 5.200% 8/15/19 4,175 4,455
  Dynegy Inc. 6.750% 11/1/19 1,410 1,431
  Dynegy Inc. 7.375% 11/1/22 22,652 21,746
7 EDP Finance BV 4.900% 10/1/19 33,735 35,418
7 EDP Finance BV 4.125% 1/15/20 58,120 59,869
7 EDP Finance BV 5.250% 1/14/21 12,840 13,823
11 EDP Finance BV 8.625% 1/4/24 5,339 9,224
  Emera US Finance LP 2.150% 6/15/19 19,105 19,110
  Emera US Finance LP 2.700% 6/15/21 33,445 33,480
  Emera US Finance LP 3.550% 6/15/26 3,737 3,707
  Emera US Finance LP 4.750% 6/15/46 6,645 6,745
  Exelon Corp. 1.550% 6/9/17 23,800 23,806
  Exelon Corp. 2.850% 6/15/20 21,460 21,867
  Exelon Corp. 2.450% 4/15/21 8,638 8,601
  Exelon Corp. 3.497% 6/1/22 13,993 14,282
  Exelon Generation Co. LLC 2.950% 1/15/20 13,180 13,384
  FirstEnergy Corp. 2.750% 3/15/18 31,376 31,488
  FirstEnergy Corp. 4.250% 3/15/23 9,584 9,975
7 FirstEnergy Transmission LLC 4.350% 1/15/25 51,767 54,306
7 Fortis Inc. 2.100% 10/4/21 22,465 21,895
7 Fortis Inc. 3.055% 10/4/26 14,650 13,922
  Georgia Power Co. 5.400% 6/1/18 7,815 8,118
  Georgia Power Co. 2.400% 4/1/21 50,514 50,318
  Great Plains Energy Inc. 2.500% 3/9/20 19,530 19,731
  Great Plains Energy Inc. 3.150% 4/1/22 34,180 34,622
  LG&E & KU Energy LLC 3.750% 11/15/20 13,482 14,027
  MidAmerican Energy Co. 5.300% 3/15/18 36,392 37,572
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 6,423 7,238
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 27,320 27,413
  Nevada Power Co. 6.500% 5/15/18 32,715 34,459
  Nevada Power Co. 6.500% 8/1/18 9,683 10,274
  Oncor Electric Delivery Co. LLC 5.000% 9/30/17 24,604 24,955
  Oncor Electric Delivery Co. LLC 6.800% 9/1/18 8,010 8,536

 

 

  Oncor Electric Delivery Co. LLC 7.000% 9/1/22 14,364 17,405
  Pacific Gas & Electric Co. 5.625% 11/30/17 52,634 53,833
  Pacific Gas & Electric Co. 8.250% 10/15/18 32,830 35,783
  Pacific Gas & Electric Co. 3.500% 10/1/20 53,968 56,124
  Pacific Gas & Electric Co. 4.250% 5/15/21 14,840 15,833
  Pacific Gas & Electric Co. 3.250% 9/15/21 21,511 22,143
  PacifiCorp 5.650% 7/15/18 20,566 21,504
  PacifiCorp 5.500% 1/15/19 4,630 4,920
  PacifiCorp 3.850% 6/15/21 3,900 4,139
  PPL Capital Funding Inc. 4.200% 6/15/22 2,050 2,165
  PPL Capital Funding Inc. 3.500% 12/1/22 9,215 9,519
  PPL Capital Funding Inc. 3.100% 5/15/26 40,090 38,845
  Puget Energy Inc. 5.625% 7/15/22 26,795 29,796
  SCANA Corp. 4.750% 5/15/21 7,705 8,057
  South Carolina Electric & Gas Co. 5.250% 11/1/18 4,500 4,719
  South Carolina Electric & Gas Co. 6.500% 11/1/18 12,181 13,003
  Southern Co. 1.550% 7/1/18 28,865 28,773
  Southern Co. 1.850% 7/1/19 48,470 48,227
  Southern Co. 2.150% 9/1/19 14,449 14,417
  Southern Co. 2.750% 6/15/20 48,140 48,576
  Southern Co. 2.350% 7/1/21 76,255 75,255
4 Southern Co. 5.500% 3/15/57 13,665 14,184
  Southern Power Co. 1.950% 12/15/19 32,735 32,562
  Southwestern Electric Power Co. 5.875% 3/1/18 10,080 10,412
  Southwestern Electric Power Co. 6.450% 1/15/19 48,811 52,339
9 United Energy Distribution Pty Ltd. 3.500% 9/12/23 30,950 22,751
  Virginia Electric & Power Co. 2.950% 1/15/22 14,600 14,925
 
  Natural Gas (0.1%)        
7 Engie SA 2.875% 10/10/22 7,269 7,248
  Sempra Energy 6.150% 6/15/18 23,335 24,447
  Sempra Energy 2.400% 3/15/20 10,265 10,323
  Sempra Energy 2.850% 11/15/20 9,770 9,916
  Southern Co. Gas Capital Corp. 2.450% 10/1/23 6,570 6,341
          1,800,464
Total Corporate Bonds (Cost $31,240,674)       31,363,184
Sovereign Bonds (5.6%)        
  Arab Republic of Egypt 6.125% 1/31/22 14,740 15,321
  Argentine Republic 8.750% 6/2/17 7,810 7,849
  Argentine Republic 5.625% 1/26/22 21,450 22,362
  Argentine Republic 6.875% 1/26/27 5,350 5,643
7 Avi Funding Co. Ltd. 2.850% 9/16/20 11,075 11,077
7 Banco de Costa Rica 5.250% 8/12/18 4,800 4,920
7 Banco del Estado de Chile 2.000% 11/9/17 6,200 6,203
  Banco Nacional de Desenvolvimento        
  Economico e Social 6.369% 6/16/18 6,830 7,107
7 Bank Nederlandse Gemeenten NV 1.125% 5/25/18 29,970 29,856
7 Bank Nederlandse Gemeenten NV 2.500% 1/23/23 2,450 2,471
12 Banque Centrale de Tunisie SA 5.625% 2/17/24 10,740 11,944
7 Banque Ouest Africaine de Developpement 5.500% 5/6/21 6,500 6,884
7 Bermuda 5.603% 7/20/20 19,045 21,006
7 Bermuda 4.138% 1/3/23 6,000 6,201
7 Bermuda 4.854% 2/6/24 5,800 6,154
7 BOC Aviation Ltd. 2.375% 9/15/21 14,650 14,235
7 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 4,875 4,871
7 Caixa Economica Federal 2.375% 11/6/17 12,375 12,360

 

 

  Caixa Economica Federal 4.250% 5/13/19 2,800 2,839
7 CDP Financial Inc. 4.400% 11/25/19 16,500 17,511
7 CDP Financial Inc. 3.150% 7/24/24 24,580 25,197
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 4,000 3,990
7 CNPC General Capital Ltd. 2.750% 5/14/19 9,765 9,855
  Corp. Andina de Fomento 1.500% 8/8/17 8,790 8,790
  Corp. Andina de Fomento 2.125% 9/27/21 31,495 31,017
  Corp. Andina de Fomento 4.375% 6/15/22 30,472 32,866
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 2,000 2,039
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,825 5,157
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 9,896 10,385
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 18,415 19,310
7 CPPIB Capital Inc. 1.250% 9/20/19 58,400 57,822
7,14 Dexia Credit Local SA 1.875% 9/15/21 9,765 9,489
  Ecopetrol SA 5.875% 9/18/23 13,830 14,971
7 Electricite de France SA 2.150% 1/22/19 34,190 34,195
9 Emirates NBD PJSC 5.750% 5/8/19 10,770 8,447
4,7 ENA Norte Trust 4.950% 4/25/28 1,552 1,598
  Export-Import Bank of Korea 2.875% 9/17/18 11,700 11,846
  Export-Import Bank of Korea 1.500% 10/21/19 56,405 55,561
  Export-Import Bank of Korea 5.125% 6/29/20 20,000 21,598
  Export-Import Bank of Korea 4.000% 1/29/21 2,000 2,099
  Federative Republic of Brazil 6.000% 4/7/26 26,437 28,982
  First Abu Dhabi Bank PJSC 3.000% 8/13/19 19,500 19,872
7 Fondo MIVIVIENDA SA 3.375% 4/2/19 19,500 19,902
  Fondo MIVIVIENDA SA 3.375% 4/2/19 4,850 4,950
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 2,004 2,247
7 ICBCIL Finance Co. Ltd. 2.375% 5/19/19 7,900 7,859
  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 14,720 14,734
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 15,950 16,271
  International Bank for Reconstruction &        
  Development 1.375% 5/24/21 43,000 42,186
15 Japan 0.000% 5/12/17 28,980,000 260,016
16 Japan Bank for International Cooperation 1.750% 7/31/18 26,800 26,836
16 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,750 10,281
  KazMunayGas National Co. JSC 9.125% 7/2/18 53,110 57,023
7 KazMunayGas National Co. JSC 3.875% 4/19/22 11,120 11,120
7 Kingdom of Saudi Arabia 2.375% 10/26/21 1,615 1,587
  Kingdom of Saudi Arabia 2.375% 10/26/21 70,315 69,077
  Kingdom of Saudi Arabia 3.250% 10/26/26 26,040 25,420
7 Kommunalbanken AS 1.125% 5/23/18 31,300 31,221
  Korea Development Bank 3.875% 5/4/17 24,125 24,126
  Korea Development Bank 2.250% 8/7/17 19,445 19,470
  Korea Development Bank 3.500% 8/22/17 22,675 22,780
  Korea Development Bank 1.500% 1/22/18 13,450 13,417
7 Korea Expressway Corp. 1.875% 10/22/17 1,000 1,000
  Korea Expressway Corp. 1.875% 10/22/17 22,630 22,634
  Korea Gas Corp. 2.875% 7/29/18 4,800 4,854
7 Korea Land & Housing Corp. 1.875% 8/2/17 7,000 7,000
  Korea National Oil Corp. 2.750% 1/23/19 14,650 14,780
7 Korea Resources Corp. 2.125% 5/2/18 4,675 4,675
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 7,800 7,889
7 Majapahit Holding BV 7.250% 6/28/17 2,000 2,015
  Majapahit Holding BV 8.000% 8/7/19 16,600 18,588
  National Savings Bank 8.875% 9/18/18 2,700 2,868
7 Nederlandse Waterschapsbank NV 1.250% 9/9/19 19,725 19,505
7 NongHyup Bank 1.875% 9/12/21 9,765 9,404

 

 

  North American Development Bank 2.300% 10/10/18 3,675 3,709
  North American Development Bank 2.400% 10/26/22 2,700 2,648
7 OCP SA 5.625% 4/25/24 8,325 8,960
7 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.125% 3/20/22 26,168 26,562
7 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.875% 3/20/27 6,000 6,149
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 4,925 4,921
  Ooredoo International Finance Ltd. 5.000% 10/19/25 3,100 3,390
7 Ooredoo International Finance Ltd. 3.875% 1/31/28 1,800 1,811
4 Oriental Republic of Uruguay 5.100% 6/18/50 9,470 9,399
7 Perusahaan Penerbit SBSN Indonesia II 4.000% 11/21/18 4,800 4,944
  Petrobras Global Finance BV 8.750% 5/23/26 6,840 7,969
  Petrobras Global Finance BV 7.375% 1/17/27 32,615 34,980
  Petroleos Mexicanos 5.750% 3/1/18 7,447 7,665
  Petroleos Mexicanos 5.500% 2/4/19 48,295 50,622
  Petroleos Mexicanos 8.000% 5/3/19 1,130 1,247
  Petroleos Mexicanos 5.500% 1/21/21 73,089 77,790
7 Petroleos Mexicanos 5.375% 3/13/22 6,380 6,711
  Petroleos Mexicanos 5.375% 3/13/22 1,975 2,077
  Province of New Brunswick 2.750% 6/15/18 485 491
  Province of Ontario 1.200% 2/14/18 5,200 5,185
  Province of Ontario 3.000% 7/16/18 15,905 16,149
  Province of Ontario 1.625% 1/18/19 71,920 71,737
  Province of Ontario 1.250% 6/17/19 24,405 24,124
  Province of Ontario 1.875% 5/21/20 9,770 9,730
  Province of Ontario 2.500% 4/27/26 5,515 5,439
  Province of Quebec 3.500% 7/29/20 4,750 4,953
  Province of Quebec 2.750% 8/25/21 16,785 17,112
  Province of Quebec 2.375% 1/31/22 35,465 35,608
  Province of Quebec 2.625% 2/13/23 5,150 5,186
  Province of Quebec 2.875% 10/16/24 6,750 6,892
4,7 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 3,652 3,840
4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 11,527 12,119
  Republic of Colombia 7.375% 3/18/19 35,425 38,956
  Republic of Colombia 4.375% 7/12/21 4,710 5,004
  Republic of Croatia 6.750% 11/5/19 19,505 21,234
  Republic of Hungary 4.000% 3/25/19 14,600 15,148
  Republic of Hungary 6.250% 1/29/20 58,940 64,613
  Republic of Hungary 6.375% 3/29/21 13,660 15,436
  Republic of Indonesia 6.875% 1/17/18 11,463 11,877
  Republic of Indonesia 5.875% 3/13/20 9,428 10,289
  Republic of Indonesia 4.875% 5/5/21 36,300 38,961
12 Republic of Indonesia 2.875% 7/8/21 25,485 29,585
12 Republic of Indonesia 2.625% 6/14/23 15,620 17,771
12 Republic of Indonesia 3.375% 7/30/25 18,070 21,049
  Republic of Indonesia 6.625% 2/17/37 3,440 4,217
  Republic of Kazakhstan 3.875% 10/14/24 17,360 17,558
  Republic of Kazakhstan 4.875% 10/14/44 5,450 5,389
7 Republic of Latvia 2.750% 1/12/20 4,000 4,052
  Republic of Lithuania 7.375% 2/11/20 46,290 52,648
7 Republic of Lithuania 7.375% 2/11/20 55,400 63,046
  Republic of Lithuania 6.125% 3/9/21 42,040 47,498
7 Republic of Lithuania 6.125% 3/9/21 8,205 9,276
  Republic of Namibia 5.250% 10/29/25 7,145 7,227
  Republic of Panama 9.375% 4/1/29 2,345 3,482
  Republic of Poland 6.375% 7/15/19 53,380 58,518

 

 

  Republic of Poland 5.125% 4/21/21 23,840 26,194
  Republic of Poland 5.000% 3/23/22 46,710 51,381
  Republic of Romania 6.750% 2/7/22 12,850 14,893
  Republic of Romania 4.375% 8/22/23 9,700 10,262
12 Republic of Romania 2.750% 10/29/25 14,635 16,814
  Republic of Serbia 5.250% 11/21/17 11,900 12,113
7 Republic of Serbia 5.250% 11/21/17 22,470 22,863
  Republic of Serbia 4.875% 2/25/20 3,000 3,124
7 Republic of Slovakia 4.375% 5/21/22 5,500 5,995
  Republic of Slovakia 4.375% 5/21/22 3,000 3,269
  Republic of Slovenia 5.500% 10/26/22 11,740 13,350
7 Republic of Slovenia 5.250% 2/18/24 10,700 12,177
  Republic of Turkey 7.500% 7/14/17 119,919 121,267
17 Republic of Turkey 2.803% 3/26/18 23,410 23,371
  Republic of Turkey 6.750% 4/3/18 53,130 55,189
  Republic of Turkey 7.000% 3/11/19 39,035 41,767
  Republic of Turkey 5.625% 3/30/21 5,220 5,527
  SABIC Capital II BV 2.625% 10/3/18 9,600 9,653
7 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 5,775 5,775
  Sinopec Group Overseas Development 2013        
  Ltd. 2.500% 10/17/18 9,765 9,817
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 20,200 21,446
7 Sinopec Group Overseas Development 2017        
  Ltd. 2.375% 4/12/20 39,015 38,918
  State Bank of India 4.125% 8/1/17 33,613 33,768
  State of Israel 4.000% 6/30/22 6,700 7,150
  State of Israel 3.150% 6/30/23 6,000 6,142
  State of Israel 2.875% 3/16/26 9,635 9,546
  State of Kuwait 2.750% 3/20/22 47,602 48,029
  Statoil ASA 3.125% 8/17/17 8,956 9,001
  Statoil ASA 1.200% 1/17/18 21,105 21,026
  Statoil ASA 2.250% 11/8/19 19,500 19,597
  Statoil ASA 2.900% 11/8/20 10,000 10,252
  Statoil ASA 3.150% 1/23/22 2,000 2,055
  Sultanate of Oman 5.375% 3/8/27 6,100 6,362
  Svensk Exportkredit AB 1.750% 5/30/17 4,900 4,900
  Svensk Exportkredit AB 1.125% 4/5/18 9,750 9,726
7 Temasek Financial I Ltd. 4.300% 10/25/19 7,250 7,658
7 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 4,933
  United Mexican States 3.625% 3/15/22 62,671 64,671
  United Mexican States 4.000% 10/2/23 4,885 5,076
18 United Mexican States 5.750% 3/5/26 1,020,100 49,293
18 United Mexican States 7.500% 6/3/27 179,900 9,729
  Vnesheconombank Via VEB Finance plc 5.450% 11/22/17 1,900 1,934
  YPF SA 8.875% 12/19/18 6,231 6,761
Total Sovereign Bonds (Cost $3,308,504)       3,333,362
Taxable Municipal Bonds (0.2%)        
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 255 256
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 9,545 9,595
  California GO 5.950% 3/1/18 26,110 27,055
  California GO 6.200% 10/1/19 13,650 15,098

 

 

Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.107% 7/1/18 5,350 5,393
George Washington University District of        
Columbia GO 3.485% 9/15/22 4,800 4,998
Harris County TX Toll Road Revenue 1.361% 8/15/17 9,750 9,762
Illinois GO 5.665% 3/1/18 4,490 4,589
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 2.217% 1/1/19 1,850 1,868
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 16,488 16,694
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 12,407 12,460
6 Mississippi GO (Nissan North America, Inc.        
Project) 1.683% 11/1/17 12,180 12,174
University of California Revenue 2.054% 5/15/18 3,400 3,427
University of California Revenue 1.745% 5/15/19 6,250 6,273
Total Taxable Municipal Bonds (Cost $128,167)       129,642
Tax-Exempt Municipal Bonds (0.0%)        
Calhoun County TX Navigation Industrial        
Development Authority Port Revenue (BP        
plc) VRDO (Cost $10,000) 1.000% 5/5/17 10,000 10,000
 
      Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
10 Lehman Brothers Holdings Inc. Pfd. (Cost $28,923) 7.250%   29,160 —
 
Temporary Cash Investments (3.8%)        
Money Market Fund (1.2%)        
19 Vanguard Market Liquidity Fund 1.034%   7,040,432 704,184
 
      Face  
      Amount  
      ($000)  
Certificates of Deposit (1.6%)        
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.520% 8/9/17 120,805 120,878
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.570% 10/27/17 144,565 144,669
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.700% 1/26/18 92,300 92,394
Royal Bank of Canada (New York Branch) 1.360% 10/5/17 120,275 120,282
Royal Bank of Canada (New York Branch) 1.290% 10/27/17 193,600 193,486
Svenska HandelsBanken AB (New York        
Branch) 1.280% 5/12/17 90,825 90,833
Toronto Dominion Bank (New York Branch) 1.350% 8/11/17 77,965 77,979
Wells Fargo Bank NA 1.320% 10/27/17 142,610 142,546
        983,067
Commercial Paper (1.0%)        
7,20 Commonwealth Bank of Australia 1.399% 9/1/17 68,360 68,036
7,20 Danske Corp. 1.502% 8/28/17 44,145 43,967
7,20 Danske Corp. 1.471% 10/16/17 48,840 48,531
7,20 Electricite de France SA 1.543% 8/9/17 18,825 18,742

 

 

7,20 Electricite de France SA 1.543% 8/10/17 4,885 4,863
7,20 Electricite de France SA 1.906% 1/5/18 36,140 35,657
7,20 Electricite de France SA 1.832% 1/10/18 25,045 24,740
7,20 Engie SA 1.490% 10/2/17 13,385 13,290
7,20 Engie SA 1.490%–1.543% 10/6/17 36,425 36,158
7,20 Engie SA 1.543% 10/10/17 21,295 21,135
7,20 Engie SA 1.543% 10/12/17 28,355 28,140
7,20 Engie SA 1.543% 10/13/17 12,285 12,191
7,20 Engie SA 1.543%–1.554% 10/16/17 66,355 65,839
7,20 Engie SA 1.544% 10/18/17 32,770 32,512
7,20 Engie SA 1.543% 10/19/17 43,955 43,607
7,20 Engie SA 1.543% 10/20/17 57,230 56,775
7,20 Engie SA 1.544% 11/9/17 20,495 20,311
7,20 Engie SA 1.544% 11/10/17 20,290 20,107
7,20 Engie SA 1.544% 11/15/17 19,055 18,879
        613,480
Total Temporary Cash Investments (Cost $2,300,794)     2,300,731
 
Total Investments (100.1%) (Cost $59,799,131)       59,968,401
 
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
Written Options on Futures (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/26/17 2,104 (427)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   5/26/17 1,051 (329)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   5/26/17 2,104 (263)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/26/17 1,051 (82)
Total Options on Futures Written (Premiums Received $1,905)     (1,101)
      Notional  
      Amount  
  Counterparty   ($000)  
Written Swaptions (0.0%)        
Call Swaptions on CDX.NA.IG.S28.V1 5-Year        
Index, Strike: 67.5% GSCM 5/17/17 130,225 (236)
Call Swaptions on CDX.NA.IG.S28.V1 5-Year        
Index, Strike: 62.5% GSCM 5/17/17 65,125 (27)
Put Swaptions on CDX.NA.IG.S28.V1 5-Year        
Index, Strike: 72.5% GSCM 5/17/17 130,225 (28)
Total Swaptions Written (Premiums Received $406)     (291)
Total Liabilities on Options Written (0.0%) (Premiums Received $2,311)   (1,392)
Other Assets and Liabilities-Net (-0.1%)       (60,883)
Net Assets (100%)       59,906,126

1 Securities with a value of $20,033,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $19,647,000 have been segregated as collateral for open forward currency contracts
and over-the-counter swap contracts.
3 Securities with a value of $64,717,000 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 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 April 30, 2017, the aggregate
value of these securities was $8,889,030,000, representing 14.8% of net assets.
8 Security made only partial principal and/or interest payments during the period ended April 30, 2017.
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 multiple countries.
15 Face amount denominated in Japanese yen.
16 Guaranteed by the Government of Japan.
17 Guaranteed by the Republic of Turkey.
18 Face amount denominated in Mexican peso.
19 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
20 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At April 30,
2017, the aggregate value of these securities was $613,480,000, representing 1.0% of net assets.
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. 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued 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).

 

Short-Term Investment-Grade Fund

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 April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 12,259,223 —
Asset-Backed/Commercial Mortgage-Backed Securities — 10,572,259 —
Corporate Bonds — 31,363,181 3
Sovereign Bonds — 3,333,362 —
Taxable Municipal Bonds — 129,642 —
Tax-Exempt Municipal Bonds — 10,000 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 704,184 1,596,547 —
Liability for Options Written (1,101) (291) —
Futures Contracts—Assets1 928 — —
Futures Contracts—Liabilities1 (5,597) — —
Forward Currency Contracts—Assets — 18,532 —
Forward Currency Contracts—Liabilities — (23,376) —
Swap Contracts—Assets 301 8,389 —
Swap Contracts—Liabilities (592)1 (18,762) —
Total 697,852 59,248,706 3
1 Represents variation margin on the last day of the reporting period.

 

D. 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.

 

Short-Term Investment-Grade Fund

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 April 30, 2017, 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 June 2017 40,963 4,850,275 26,976
Ultra 10-Year U.S. Treasury Note June 2017 (15,568) (2,108,734) (33,071)
10-Year U.S. Treasury Note June 2017 (14,072) (1,769,114) (13,204)
AUD 90-Day Bank Bill June 2017 (2,334) (1,740,318) (437)
2-Year U.S. Treasury Note June 2017 6,143 1,330,631 1,468
AUD 3-Year Treasury Bond June 2017 (5,770) (484,418) (3,187)
Ultra Long U.S. Treasury Bond June 2017 (2,896) (471,867) (1,830)
Euro-Bund June 2017 (1,334) (235,087) (494)
Euro-Bobl June 2017 (1,313) (188,593) 169
Long Gilt June 2017 (786) (130,583) (1,938)
AUD 10-Year Treasury Bond June 2017 (499) (48,470) 406
Euro-Buxl June 2017 (106) (19,532) (203)
30-Year Treasury Bond June 2017 61 9,331 35
Euro-Schatz June 2017 (39) (4,768) 3
        (25,307)

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 90-Day Bank Bill, AUD 3-Year Treasury Bond, and AUD 10-Year Treasury Bond 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has

 

Short-Term Investment-Grade Fund

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 April 30, 2017, 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)
Credit Suisse International 5/15/17 EUR 91,000 USD 98,922 283
Deutsche Bank AG 5/15/17 EUR 31,000 USD 33,724 71
Deutsche Bank AG 5/15/17 GBP 15,000 USD 19,254 183
Deutsche Bank AG 5/15/17 EUR 7,000 USD 7,669 (38)
JPMorgan Chase Bank N.A. 5/15/17 AUD 7,000 USD 5,212 28
JPMorgan Chase Bank N.A. 5/15/17 USD 1,151,669 AUD 1,533,803 3,476
Credit Suisse International 5/15/17 USD 562,522 EUR 529,489 (14,705)
JPMorgan Chase Bank N.A. 5/12/17 USD 274,109 JPY 28,980,000 14,022
Barclays Capital 5/15/17 USD 199,945 GBP 160,532 (8,069)
Citibank, N.A. 5/15/17 USD 58,321 MXN 1,096,553 234
BNP Paribas 5/15/17 USD 23,717 EUR 22,000 (267)
Barclays Capital 5/15/17 USD 20,130 AUD 26,800 67
Goldman Sachs Bank AG 5/15/17 USD 14,326 AUD 19,000 103
JPMorgan Chase Bank N.A. 5/15/17 USD 10,828 EUR 10,100 (182)
Barclays Capital 5/15/17 USD 6,729 AUD 9,000 (8)
Bank of America N.A. 5/15/17 USD 6,202 AUD 8,200 63
Citibank, N.A. 5/15/17 USD 3,717 EUR 3,500 (98)
BNP Paribas 5/15/17 USD 2,237 AUD 3,000 (9)
Citibank, N.A. 5/15/17 USD 1,499 AUD 2,000 2
            (4,844)
AUD—Australian dollar.            
EUR—euro.            
GBP—British pound.            
JPY—Japanese yen.            
MXN—Mexican peso.            
USD—U.S. dollar.            

 

 

Short-Term Investment-Grade Fund

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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either

 

Short-Term Investment-Grade Fund

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 April 30, 2017, the fund had the following open swap contracts:

Centrally Cleared Credit Default Swaps          
          Periodic  
          Premium Unrealized
          Received Appreciation
  Termination Clearing  Notional Amount (Paid)  (Depreciation)
Reference Entity Date house    (000) (%) ($000)
Credit Protection Sold            
 
CDX-NA-IG-S28-V1 6/20/22 ICE USD 84,133 (1.000) (13)
 
Credit Protection Purchased            
 
CDX-NA-HY-S28-V1 6/20/22 ICE USD 163,620 (5.000) (1,123)
iTraxx Europe Crossover Index-            
S27-V1 6/20/22 ICE EUR 51,000 (5.000) (781)
iTraxx Europe Senior            
Financials-S27-V1 6/20/22 ICE EUR 488,180 (1.000) (4,435)
 
iTraxx Europe-S27-V1 6/20/22 ICE EUR 256,045 (1.000) (1,358)
            (7,697)
Credit Protection Sold            
 
CDX-NA-IG-S28-V1 6/20/22 ICE USD 84,133 (1.000) (13)
EUR—euro.            
ICE—Intercontinental Exchange.            
USD—U.S. dollar.            

 

 

Short-Term Investment-Grade Fund          
 
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          
Berkshire Hathaway/Aa2 6/20/21 JPMC 10,030 (39) 1.000 175
Berkshire Hathaway/Aa2 6/20/21 GSI 6,675 (41) 1.000 101
Berkshire Hathaway/Aa2 12/20/21 GSI 14,650 (109) 1.000 194
Berkshire Hathaway/Aa2 6/20/22 BARC 32,955 (572) 1.000 67
Energy Transfer Partners            
LP/Baa3 6/20/17 BOANA 14,630 24 1.000 40
Federation of Malaysia/A3 6/20/22 BARC 17,488 160 1.000 78
Federation of Malaysia/A3 6/20/22 GSI 6,210 15 1.000 (14)
General Electric Capital            
Corp./A1 12/20/19 DBAG 29,290 (324) 1.000 280
Hartford Financial Services            
Group Inc./Baa2 3/20/18 GSCM 9,750 5 1.000 83
Kohl’s Corp./Baa2 6/20/21 GSI 6,570 175 1.000 18
Kohl’s Corp./Baa2 6/20/21 GSI 3,285 85 1.000 6
Kohl’s Corp./Baa2 6/20/21 GSI 3,285 88 1.000 9
Metlife Inc./A3 12/20/20 GSCM 14,025 - 1.000 227
Metlife Inc./A3 12/20/21 BARC 6,575 (11) 1.000 70
People’s Republic of China/Aa3 6/20/22 BNPSW 26,335 (233) 1.000 (197)
People’s Republic of China/Aa3 6/20/22 BARC 55,002 (467) 1.000 (6)
People’s Republic of China/Aa3 6/20/22 GSI 3,200 (20) 1.000 7
Republic of Chile/Aa3 6/20/22 BNPSW 52,630 (655) 1.000 (7)
Republic of Chile/Aa3 6/20/22 BARC 15,410 (134) 1.000 56
Republic of Chile/Aa3 6/20/22 CITNA 9,760 (79) 1.000 41

 

 

Short-Term Investment-Grade Fund          
 
 
Republic of Indonesia/Baa3 6/20/22 BNPSW 18,075 254 1.000 9
Republic of Philippines/Baa2 6/20/22 BARC 18,560 (133) 1.000 30
Russian Federation/Ba1 6/20/17 GSCM 19,540 57 1.000 81
Russian Federation/Ba1 6/20/17 GSCM 16,020 47 1.000 67
Russian Federation/Ba1 6/20/17 GSCM 9,600 28 1.000 40
            1,455
Credit Protection Purchased            
Aetna Inc. 12/20/19 CSFBI 19,525 338 (1.000) (136)
Aetna Inc. 6/20/20 GSCM 19,530 480 (1.000) (65)
Altria Group Inc. 12/20/21 GSI 73,260 2,022 (1.000) (491)
Altria Group Inc. 12/20/21 GSI 14,650 404 (1.000) (99)
Altria Group Inc. 12/20/21 GSI 9,770 269 (1.000) (66)
American International Group            
Inc. 6/20/20 BOANA 11,720 136 (1.000) (85)
American International Group            
Inc. 6/20/20 BOANA 11,720 136 (1.000) (85)
American International Group            
Inc. 12/20/20 GSCM 14,025 229 (1.000) (24)
American International Group            
Inc. 12/20/20 GSCM 6,990 (78) (1.000) (204)
Autozone Inc. 12/20/20 GSCM 9,760 250 (1.000) 5
Avnet Inc. 12/20/21 GSI 3,305 (4) (1.000) (32)
Banco Bilbao Vizcaya            
Argentaria SA 6/20/21 BOANA 24,415 (146) (1.000) (425)
Bank of America Corp. 3/20/20 GSCM 21,610 197 (1.000) (230)
Bank of China Ltd. 12/20/21 BNPSW 13,100 (42) (1.000) (125)
Bank of China Ltd. 6/20/22 BNPSW 26,335 5 (1.000) (31)
CMBX-NA-AAA-9 9/17/58 GSI 38,310 (1,445) (0.500) (664)
CMBX-NA-AAA-9 9/17/58 DBAG 19,500 (1,122) (0.500) (725)
CMBX-NA-AAA-9 9/17/58 CSFBI 19,480 (687) (0.500) (290)
CMBX-NA-AAA-9 9/17/58 GSI 19,480 (687) (0.500) (290)
CMBX-NA-AAA-9 9/17/58 GSI 19,415 (1,135) (0.500) (739)

 

 

Short-Term Investment-Grade Fund          
 
 
CMBX-NA-AAA-9 9/17/58 MSCS 19,330 (1,036) (0.500) (642)
CMBX-NA-AAA-9 9/17/58 JPM 19,300 (972) (0.500) (579)
CMBX-NA-AAA-9 9/17/58 MSCS 19,280 (812) (0.500) (419)
CMBX-NA-AAA-9 9/17/58 JPM 19,150 (702) (0.500) (312)
CMBX-NA-AAA-9 9/17/58 DBAG 18,120 (701) (0.500) (331)
CMBX-NA-AAA-9 9/17/58 GSI 3,910 (161) (0.500) (82)
Commerzbank AG 6/20/21 BOANA 24,410 (236) (1.000) (485)
CVS Health Corp. 12/20/20 BOANA 9,760 243 (1.000) (22)
CVS Health Corp. 12/20/20 BOANA 9,760 247 (1.000) (19)
CVS Health Corp. 12/20/20 BOANA 4,880 92 (1.000) (40)
CVS Health Corp. 12/20/20 BOANA 4,880 123 (1.000) (9)
CVS Health Corp. 12/20/21 JPMC 29,300 781 (1.000) (39)
CVS Health Corp. 12/20/21 BARC 19,535 598 (1.000) 51
CVS Health Corp. 12/20/21 BARC 6,620 197 (1.000) 11
El Du Pont De Nemours & Co. 12/20/20 JPMC 25,215 442 (1.000) (209)
Engie SA 6/20/22 JPMC 16,5451 395 (1.000) (41)
Engie SA 6/20/22 BNPSW 16,5401 269 (1.000) (185)
Federal Express Corp. 12/20/18 GSCM 21,640 110 (1.000) (223)
Federative Republic of Brazil 6/20/22 DBAG 33,535 (2,051) (1.000) (272)
Federative Republic of Brazil 6/20/22 BARC 26,387 (1,581) (1.000) (181)
Federative Republic of Brazil 6/20/22 BOANA 19,500 (1,172) (1.000) (137)
Federative Republic of Brazil 6/20/22 BOANA 18,330 (1,101) (1.000) (129)
Federative Republic of Brazil 6/20/22 BNPSW 14,650 (937) (1.000) (159)
Federative Republic of Brazil 12/20/25 BOANA 23,222 (5,732) (1.000) (2,812)
Federative Republic of Brazil 12/20/25 GSCM 10,925 (2,515) (1.000) (1,142)
Lincoln National Corp. 6/20/21 BARC 3,340 (76) (1.000) (127)
Lincoln National Corp. 6/20/21 BARC 3,335 75 (1.000) 24
Lincoln National Corp. 12/20/21 BARC 6,575 (15) (1.000) (93)
McDonald’s Corp. 6/20/22 GSI 26,675 870 (1.000) (106)
McKesson Corp. 3/20/19 JPMC 18,210 242 (1.000) (66)

 

 

Short-Term Investment-Grade Fund          
 
 
McKesson Corp. 3/20/19 JPMC 18,210 236 (1.000) (71)
PPG Industries Inc. 3/20/18 GSCM 9,760 46 (1.000) (27)
Qantas Airways Ltd. 12/20/21 DBAG 6,650 (180) (1.000) (162)
Raytheon Co. 12/20/21 GSI 24,420 824 (1.000) (133)
Raytheon Co. 12/20/21 GSI 24,415 817 (1.000) (140)
Republic of Austria 9/20/17 BNPSW 3,800 (86) (1.000) (101)
Republic of Colombia 6/20/22 GSI 17,343 (311) (1.000) (109)
Republic of Colombia 6/20/22 BARC 11,720 (243) (1.000) (106)
Republic of Korea 9/20/18 JPMC 7,800 20 (1.000) (65)
Republic of Korea 6/20/22 BNPSW 20,410 524 (1.000) 84
Republic of Korea 6/20/22 GSI 2,440 67 (1.000) 15
Republic of South Africa 12/20/20 JPMC 18,950 (1,093) (1.000) (881)
Republic of South Africa 6/20/22 BOANA 39,100 (1,736) (1.000) (83)
Republic of Turkey 6/20/18 BNPSW 23,410 128 (1.000) (42)
Republic of Turkey 3/20/19 BNPSW 19,520 4 (1.000) (100)
Republic of Turkey 3/20/19 BNPSW 19,515 3 (1.000) (101)
Republic of Turkey 12/20/19 GSCM 34,740 (474) (1.000) (454)
Republic of Turkey 12/20/19 GSCM 34,100 (465) (1.000) (446)
Republic of Turkey 6/20/22 BNPSW 19,500 (1,518) (1.000) (582)
Royal Bank of Scotland plc 12/20/20 BNPSW 18,060 111 (1.000) (178)
Societe Generale SA 12/20/21 JPMC 9,765 55 (1.000) (138)
Standard Chartered Bank 12/20/21 JPMC 16,475 (35) (1.000) (345)
United Mexican States 12/20/18 DBAG 4,900 (10) (1.000) (65)
UnitedHealth Group Inc. 12/20/19 CSFBI 19,525 329 (1.000) (147)
UnitedHealth Group Inc. 6/20/20 CSFBI 19,530 461 (1.000) (87)
Wells Fargo & Co. 9/20/20 BOANA 25,940 358 (1.000) (308)
            (18,348)
            (16,893)
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 Notional amount denominated in euro.            
BARC—Barclays Bank plc.            

 

 

Short-Term Investment-Grade Fund

BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CITNA—Citibank, N.A
CSFBI—Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
GSI—Goldman Sachs International.
JPM—JPMorgan Securities.
JPMC—JP Morgan Chase Bank.
MSCS—Morgan Stanley Capital Services LLC.

Centrally Cleared Interest Rate Swaps          
 
        Fixed      
        Interest Floating    
        Rate Interest   Unrealized
  Future   Notional Received Rate   Appreciation
Termination Effective   Amount (Paid) Received   (Depreciation)
Date Date Clearinghouse ($000) (%) (Paid) (%)   ($000)
6/21/18 6/21/171 CME 249,490 1.000 (0.000) 2 321
6/21/19 6/21/171 CME 152,374 (1.250) 0.000 2 (640)
6/21/21 6/21/171 CME 13,248 (1.250) 0.000 2 (21)
6/21/22 6/21/171 CME 18,120 1.250 (0.000) 2 272
6/21/24 6/21/171 CME 84,422 (1.500) 0.000 2 (1,793)
              (1,861)
 
CME—Chicago Mercantile Exchange.          
 
Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments
1 beginning on a specified future effective date.
2 Based on 3-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)

 

 

Short-Term Investment-Grade Fund

USD 5.693% GBP 6.125% 5/14/17 BARC 16,195 GBP 9,770 3,542
USD 5.686% GBP 6.125% 5/14/17 BARC 13,493 GBP 8,119 2,978
            6,520
 
BARC—Barclays Bank plc.
GBP—British pound.
USD—U.S. dollar.

 

At April 30, 2017, counterparties had deposited in segregated accounts securities and cash with a value of $37,641,000 in connection with open swap contracts and forward currency contracts.

G. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options contracts are 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.

 

Short-Term Investment-Grade Fund

H. At April 30, 2017, the cost of investment securities for tax purposes was $59,802,573,000. Net unrealized appreciation of investment securities for tax purposes was $165,828,000, consisting of unrealized gains of $440,038,000 on securities that had risen in value since their purchase and $274,210,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.0%)        
U.S. Government Securities (16.6%)        
  United States Treasury Inflation Indexed Bonds 1.625% 1/15/18 40,150 47,328
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/18 200,975 212,192
  United States Treasury Inflation Indexed Bonds 0.375% 1/15/27 115,406 116,509
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/46 4,040 4,240
  United States Treasury Inflation Indexed Bonds 0.875% 2/15/47 7,000 7,003
  United States Treasury Note/Bond 0.750% 4/30/18 79,000 78,691
  United States Treasury Note/Bond 0.625% 6/30/18 76,000 75,537
  United States Treasury Note/Bond 1.375% 7/31/18 45,500 45,606
  United States Treasury Note/Bond 1.250% 3/31/19 6,600 6,599
  United States Treasury Note/Bond 1.625% 3/15/20 45,800 46,043
  United States Treasury Note/Bond 1.375% 4/30/20 37,700 37,606
  United States Treasury Note/Bond 1.500% 5/31/20 47,500 47,515
  United States Treasury Note/Bond 1.625% 6/30/20 9,500 9,536
1 United States Treasury Note/Bond 1.625% 7/31/20 40,200 40,332
  United States Treasury Note/Bond 1.375% 8/31/20 7,000 6,962
  United States Treasury Note/Bond 1.375% 9/30/20 9,500 9,441
  United States Treasury Note/Bond 1.375% 10/31/20 40,500 40,209
  United States Treasury Note/Bond 1.625% 11/30/20 40,300 40,338
  United States Treasury Note/Bond 1.375% 1/31/21 66,000 65,371
          937,058
Agency Bonds and Notes (69.1%)        
2 AID-Iraq 2.149% 1/18/22 67,135 67,333
2 AID-Israel 5.500% 9/18/23 7,000 8,322
2 AID-Israel 5.500% 4/26/24 9,300 11,130
2 AID-Jordan 2.578% 6/30/22 33,500 34,330
2 AID-Tunisia 1.416% 8/5/21 12,300 11,993
2 AID-Ukraine 1.471% 9/29/21 18,850 18,484
3 Fannie Mae Interest Strip 0.000% 1/15/19 1,560 1,522
3 Fannie Mae Principal Strip 0.000% 2/1/19 25,682 25,025
4 Federal Farm Credit Banks 1.110% 2/20/18 14,000 14,004
4 Federal Home Loan Banks 1.375% 3/9/18 75,700 75,880
4 Federal Home Loan Banks 0.875% 3/19/18 54,000 53,896
4 Federal Home Loan Banks 1.125% 4/25/18 42,575 42,575
4 Federal Home Loan Banks 0.875% 6/29/18 48,200 48,039
4 Federal Home Loan Banks 0.625% 8/7/18 6,440 6,390
4 Federal Home Loan Banks 1.750% 12/14/18 3,000 3,021
4 Federal Home Loan Banks 1.250% 1/16/19 107,900 107,744
4 Federal Home Loan Banks 1.375% 3/18/19 100,200 100,235
4 Federal Home Loan Banks 5.375% 5/15/19 46,000 49,696
4 Federal Home Loan Banks 0.875% 8/5/19 83,500 82,480
4 Federal Home Loan Banks 1.000% 9/26/19 48,600 48,090
4 Federal Home Loan Banks 1.750% 6/12/20 20,000 20,111
3,5 Federal Home Loan Mortgage Corp. 1.050% 2/26/18 150,000 149,761
3,5 Federal Home Loan Mortgage Corp. 1.050% 5/25/18 50,000 49,876
3 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 16,000 16,656
3,5 Federal Home Loan Mortgage Corp. 1.060% 6/22/18 50,000 49,854
3 Federal Home Loan Mortgage Corp. 0.850% 7/27/18 63,000 62,740
3,5 Federal Home Loan Mortgage Corp. 1.050% 7/27/18 50,000 49,827

 

 

3 Federal Home Loan Mortgage Corp. 0.875% 10/12/18 131,510 130,738
3,5 Federal Home Loan Mortgage Corp. 1.050% 11/7/18 75,000 74,630
3 Federal Home Loan Mortgage Corp. 1.125% 4/15/19 167,250 166,507
3,5 Federal Home Loan Mortgage Corp. 1.275% 6/28/19 50,000 49,729
3 Federal Home Loan Mortgage Corp. 0.875% 7/19/19 104,150 102,924
3,5 Federal Home Loan Mortgage Corp. 1.250% 7/26/19 50,000 49,689
3,5 Federal Home Loan Mortgage Corp. 1.550% 7/26/19 75,000 74,920
3 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 86,550 86,148
3 Federal Home Loan Mortgage Corp. 1.500% 1/17/20 66,700 66,672
3,5 Federal Home Loan Mortgage Corp. 1.800% 4/13/20 75,000 74,995
3 Federal Home Loan Mortgage Corp. 1.125% 8/12/21 43,350 42,145
3,5 Federal National Mortgage Assn. 0.750% 7/27/18 90,000 89,435
3,5 Federal National Mortgage Assn. 1.250% 9/27/18 10,000 9,996
3 Federal National Mortgage Assn. 1.375% 1/28/19 33,750 33,773
3 Federal National Mortgage Assn. 1.000% 2/26/19 14,150 14,062
3,5 Federal National Mortgage Assn. 1.250% 2/26/19 75,000 74,698
3,5 Federal National Mortgage Assn. 1.250% 6/13/19 50,000 49,716
3 Federal National Mortgage Assn. 0.875% 8/2/19 16,950 16,744
3 Federal National Mortgage Assn. 1.000% 8/28/19 67,750 67,077
3 Federal National Mortgage Assn. 0.000% 10/9/19 275,300 263,746
3 Federal National Mortgage Assn. 1.000% 10/24/19 108,300 107,127
3,5 Federal National Mortgage Assn. 1.250% 11/25/19 75,000 74,342
3,5 Federal National Mortgage Assn. 1.150% 11/29/19 77,500 76,754
3,5 Federal National Mortgage Assn. 1.750% 1/17/20 50,000 49,993
3 Federal National Mortgage Assn. 1.250% 8/17/21 3,350 3,274
3 Federal National Mortgage Assn. 1.875% 4/5/22 48,250 48,142
3 Federal National Mortgage Assn. 1.875% 9/24/26 75,650 71,140
4 Financing Corp. 0.000% 10/6/17 42,394 42,207
4 Financing Corp. 0.000% 11/11/17 2,000 1,989
4 Financing Corp. 0.000% 11/30/17 1,905 1,893
4 Financing Corp. 0.000% 11/30/17 29,145 28,964
4 Financing Corp. 0.000% 5/11/18 108,000 106,586
4 Financing Corp. 0.000% 11/2/18 1,540 1,508
4 Financing Corp. 0.000% 12/6/18 32,496 31,782
4 Financing Corp. 0.000% 3/7/19 3,910 3,806
  Government Trust Certificate 0.000% 4/1/20 10,419 9,840
  Private Export Funding Corp. 5.450% 9/15/17 11,352 11,540
  Private Export Funding Corp. 2.250% 12/15/17 12,286 12,374
  Private Export Funding Corp. 4.375% 3/15/19 9,570 10,075
  Private Export Funding Corp. 1.450% 8/15/19 22,550 22,512
  Private Export Funding Corp. 2.250% 3/15/20 12,393 12,612
  Private Export Funding Corp. 2.300% 9/15/20 17,450 17,725
  Private Export Funding Corp. 4.300% 12/15/21 4,430 4,868
  Private Export Funding Corp. 2.800% 5/15/22 13,545 14,007
  Private Export Funding Corp. 3.550% 1/15/24 19,900 21,259
  Private Export Funding Corp. 2.450% 7/15/24 5,300 5,283
  Private Export Funding Corp. 3.250% 6/15/25 16,200 16,943
  Residual Funding Corp. Principal Strip 0.000% 10/15/19 124,331 119,747
  Residual Funding Corp. Principal Strip 0.000% 7/15/20 93,000 88,044
  Residual Funding Corp. Principal Strip 0.000% 10/15/20 41,800 39,336
  Residual Funding Corp. Principal Strip 0.000% 1/15/21 43,408 40,581
  Resolution Funding Corp. Interest Strip 0.000% 1/15/27 1,584 1,202
  Resolution Funding Corp. Interest Strip 0.000% 4/15/27 13,756 10,334
  Resolution Funding Corp. Interest Strip 0.000% 7/15/27 7,094 5,280
  Resolution Funding Corp. Interest Strip 0.000% 10/15/27 7,094 5,237
4 Tennessee Valley Authority 4.700% 7/15/33 20,990 24,757

 

 

4 Tennessee Valley Authority Principal Strip 0.000% 11/1/25 17,342 13,573
          3,903,994
Conventional Mortgage-Backed Securities (11.0%)        
3,5 Fannie Mae Pool 2.000% 10/1/27–1/1/32 24,532 24,140
3,5,6Fannie Mae Pool 2.500% 2/1/28–6/1/32 145,304 146,363
3,5,6Fannie Mae Pool 3.000% 12/1/20–6/1/32 122,858 126,549
3,5 Fannie Mae Pool 3.500% 8/1/20–5/1/30 50,666 53,226
3,5,6Fannie Mae Pool 4.000% 6/1/18–5/1/47 70,750 74,472
3,5 Fannie Mae Pool 4.500% 1/1/18–10/1/25 4,574 4,672
3,5 Fannie Mae Pool 5.000% 6/1/17–3/1/38 5,720 6,036
3,5 Fannie Mae Pool 5.500% 7/1/17–1/1/25 1,117 1,137
3,5 Fannie Mae Pool 6.000% 5/1/24 1 2
3,5 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 8,343 8,205
3,5,6Freddie Mac Gold Pool 2.500% 6/1/22–5/1/32 79,771 80,377
3,5,6Freddie Mac Gold Pool 3.000% 4/1/27–6/1/32 51,191 52,708
3,5 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 19,099 20,087
3,5 Freddie Mac Gold Pool 4.000% 6/1/18–1/1/29 10,787 11,324
3,5 Freddie Mac Gold Pool 4.500% 5/1/18–9/1/26 6,649 6,870
3,5 Freddie Mac Gold Pool 5.000% 6/1/17–6/1/25 2,896 2,993
3,5 Freddie Mac Gold Pool 5.500% 7/1/17–2/1/19 30 30
3,5 Freddie Mac Gold Pool 6.000% 10/1/18 19 20
          619,211
Nonconventional Mortgage-Backed Securities (1.3%)        
3,5,7Fannie Mae Pool 2.869% 12/1/40 2,105 2,222
3,5,7Fannie Mae REMICS 2005-45 1.361% 6/25/35 1,177 1,179
3,5,7Fannie Mae REMICS 2005-95 1.401% 11/25/35 1,546 1,554
3,5,7Fannie Mae REMICS 2006-46 1.311% 6/25/36 4,358 4,356
3,5,7Fannie Mae REMICS 2007-4 1.436% 2/25/37 676 679
3,5,7Fannie Mae REMICS 2012-122 1.391% 11/25/42 1,622 1,624
3,5,7Fannie Mae REMICS 2013-19 1.291% 9/25/41 2,233 2,225
3,5,7Fannie Mae REMICS 2013-39 1.341% 5/25/43 2,076 2,069
3,5,7Fannie Mae REMICS 2015-22 1.291% 4/25/45 1,771 1,761
3,5,7Fannie Mae REMICS 2016-55 1.491% 8/25/46 3,396 3,422
3,5,7Fannie Mae REMICS 2016-60 1.241% 9/25/46 7,191 7,167
3,5,7Fannie Mae REMICS 2016-62 1.391% 9/25/46 7,014 7,039
3,5,7Fannie Mae REMICS 2016-93 1.341% 12/25/46 13,540 13,551
3,5,7Freddie Mac Non Gold Pool 2.748% 7/1/35 8,949 9,436
3,5,7Freddie Mac Non Gold Pool 2.838% 9/1/37 6,903 7,316
3,5 Freddie Mac Non Gold Pool 3.051% 7/1/33 1,150 1,212
3,5,7Freddie Mac REMICS 1.344% 11/15/36–8/15/43 3,448 3,451
3,5,7Freddie Mac REMICS 1.354% 11/15/36 1,194 1,196
3,5,7Freddie Mac REMICS 1.444% 6/15/42 666 669
          72,128
Total U.S. Government and Agency Obligations (Cost $5,557,635)   5,532,391
Temporary Cash Investment (4.1%)        
        Shares  
Money Market Fund (4.1%)        
8 Vanguard Market Liquidity Fund (Cost $232,418) 1.034%   2,323,841 232,431
 
      Expiration Date Contracts  
Options on Futures Purchased (0.0%)        

 

 

Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $127.00 5/26/17 299 60
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $130.00 5/26/17 500 8
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $124.00 5/26/17 500 47
Total Options on Futures Purchased (Cost $354)     115
Total Investments (102.1%) (Cost $5,790,407)     5,764,937
Liability for Options Written (0.0%)      
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $128.50 5/26/17 1,000 (47)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $126.50 5/26/17 102 (32)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $127.50 5/26/17 199 (25)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $128.00 5/26/17 100 (8)
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $123.00 5/26/17 1,000 (31)
Total Liability for Options Written (Premiums Received $583)     (143)
Other Assets and Liabilities-Net (-2.1%)     (117,843)
Net Assets (100%)     5,646,951

1 Securities with a value of $5,954,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
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 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 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 April 30, 2017.
7 Adjustable-rate security.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REMICS—Real Estate Mortgage Investment Conduits.

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

B. 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-

 

Short-Term Federal Fund

backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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 or Payables for Investment Securities Purchased.

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 April 30, 2017, based on the inputs used to value them:

 

Short-Term Federal Fund

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,532,391 —
Temporary Cash Investments 232,431 — —
Options Purchased 115 — —
Liability for Options Written (143) — —
Futures Contracts—Assets1 120 — —
Total 232,523 5,532,391 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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 April 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

Short-Term Federal Fund

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
2-Year U.S. Treasury Note June 2017 4,113 890,914 665
Ultra 10-Year U.S. Treasury Note June 2017 (1,885) (255,329) (3,984)
5-Year U.S. Treasury Note June 2017 1,183 140,075 115
10-Year U.S. Treasury Note June 2017 (767) (96,426) (88)
Ultra Long U.S. Treasury Bond June 2017 (405) (65,990) 92
30-Year U.S. Treasury Bond June 2017 (27) (4,130) (17)
        (3,217)

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

F. At April 30, 2017, the cost of investment securities for tax purposes was $5,790,053,000. Net unrealized depreciation of investment securities for tax purposes was $25,231,000, consisting of unrealized gains of $5,901,000 on securities that had risen in value since their purchase and $31,132,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.6%)        
U.S. Government Securities (95.8%)        
United States Treasury Inflation Indexed        
Bonds 0.375% 1/15/27 70,708 71,384
United States Treasury Inflation Indexed        
Bonds 1.000% 2/15/46 2,580 2,708
United States Treasury Inflation Indexed        
Bonds 0.875% 2/15/47 4,300 4,302
United States Treasury Note/Bond 6.375% 8/15/27 11,498 15,783
United States Treasury Note/Bond 5.500% 8/15/28 27,929 36,596
United States Treasury Note/Bond 5.250% 2/15/29 21,238 27,493
United States Treasury Note/Bond 6.125% 8/15/29 13,570 18,970
United States Treasury Note/Bond 6.250% 5/15/30 33,819 48,372
United States Treasury Note/Bond 5.375% 2/15/31 6,778 9,141
United States Treasury Note/Bond 4.500% 2/15/36 30,764 39,464
United States Treasury Note/Bond 4.750% 2/15/37 13,459 17,779
United States Treasury Note/Bond 5.000% 5/15/37 42,300 57,574
United States Treasury Note/Bond 4.375% 2/15/38 9,800 12,380
United States Treasury Note/Bond 4.500% 5/15/38 2,500 3,210
United States Treasury Note/Bond 4.250% 5/15/39 35,324 43,692
United States Treasury Note/Bond 4.500% 8/15/39 36,536 46,715
United States Treasury Note/Bond 4.375% 11/15/39 24,996 31,421
United States Treasury Note/Bond 4.625% 2/15/40 64,412 83,776
United States Treasury Note/Bond 4.375% 5/15/40 66,381 83,474
United States Treasury Note/Bond 3.875% 8/15/40 64,315 75,309
United States Treasury Note/Bond 4.250% 11/15/40 65,222 80,641
United States Treasury Note/Bond 4.750% 2/15/41 59,575 78,993
United States Treasury Note/Bond 4.375% 5/15/41 13,300 16,766
United States Treasury Note/Bond 3.750% 8/15/41 50,892 58,494
United States Treasury Note/Bond 3.125% 11/15/41 42,876 44,457
United States Treasury Note/Bond 3.125% 2/15/42 24,215 25,104
United States Treasury Note/Bond 3.000% 5/15/42 30,283 30,671
United States Treasury Note/Bond 2.750% 8/15/42 70,131 67,742
United States Treasury Note/Bond 2.750% 11/15/42 86,475 83,448
United States Treasury Note/Bond 3.125% 2/15/43 99,021 102,332
1 United States Treasury Note/Bond 2.875% 5/15/43 82,761 81,662
United States Treasury Note/Bond 3.625% 8/15/43 119,883 135,149
United States Treasury Note/Bond 3.750% 11/15/43 138,408 159,429
United States Treasury Note/Bond 3.625% 2/15/44 143,299 161,726
United States Treasury Note/Bond 3.375% 5/15/44 141,802 153,346
United States Treasury Note/Bond 3.125% 8/15/44 119,732 123,736
United States Treasury Note/Bond 3.000% 11/15/44 105,429 106,384
United States Treasury Note/Bond 2.500% 2/15/45 108,846 99,152
United States Treasury Note/Bond 3.000% 5/15/45 131,707 132,736
United States Treasury Note/Bond 2.875% 8/15/45 127,670 125,475
United States Treasury Note/Bond 3.000% 11/15/45 126,418 127,346
United States Treasury Note/Bond 2.500% 2/15/46 111,150 101,007
United States Treasury Note/Bond 2.500% 5/15/46 131,323 119,257
United States Treasury Note/Bond 2.250% 8/15/46 100,253 86,029
United States Treasury Note/Bond 2.875% 11/15/46 135,556 133,226

 

 

  United States Treasury Note/Bond 3.000% 2/15/47 19,227 19,398
          3,183,249
Agency Bonds and Notes (2.1%)        
2 Fannie Mae Interest Strip 0.000% 5/15/29 4,592 3,154
2 Fannie Mae Principal Strip 0.000% 5/15/30 25,912 17,075
2 Federal Home Loan Mortgage Corp. 0.000% 12/14/29 20,000 13,610
2 Freddie Mac Coupon Strips 0.000% 3/15/28 1,771 1,270
2 Freddie Mac Coupon Strips 0.000% 9/15/28 1,000 704
2 Freddie Mac Coupon Strips 0.000% 1/15/30 15,658 10,508
2 Freddie Mac Coupon Strips 0.000% 3/15/30 12,896 8,588
  Resolution Funding Corp. Interest Strip 0.000% 4/15/28 21,802 15,794
          70,703
Conventional Mortgage-Backed Securities (1.0%)        
2,3,4Fannie Mae Pool 4.000% 5/1/47 32,000 33,700
2,3 Fannie Mae Pool 6.000% 2/1/26–11/1/28 17 18
          33,718
Nonconventional Mortgage-Backed Securities (0.7%)        
2,3,5Fannie Mae REMICS 2016-1 1.341% 2/25/46 7,469 7,452
2,3,5Fannie Mae REMICS 2016-6 1.441% 2/25/46 4,839 4,854
2,3,5Freddie Mac REMICS 1.394% 5/15/46 5,302 5,320
2,3,5Freddie Mac REMICS 1.444% 10/15/46 4,280 4,296
          21,922
Total U.S. Government and Agency Obligations (Cost $3,220,978)     3,309,592
Temporary Cash Investment (0.6%)        
          Market
          Value
    Coupon   Shares ($000)
Money Market Fund (0.6%)        
6 Vanguard Market Liquidity Fund (Cost        
  $20,533) 1.034%   205,296 20,534
 
Total Investments (100.2%) (Cost $3,241,511)       3,330,126
      Expiration Date Contracts  
Liability for Options Written (0.0%)        
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $126.50   5/26/17 59 (18)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $127.50   5/26/17 118 (24)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $127.50   5/26/17 119 (15)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $128.00   5/26/17 60 (5)
Total Liability for Options Written (Premiums received $107)     (62)
Other Assets and Liabilities-Net (-0.2%)       (6,307)
Net Assets (100%)       3,323,757

1 Securities with a value of $2,810,000 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 April 30, 2017.
5 Adjustable-rate security.

 

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REMICS—Real Estate Mortgage Investment Conduits

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

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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).

 

Long-Term Treasury Fund

The following table summarizes the market value of the fund's investments as of April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,309,592 —
Temporary Cash Investments 20,534 — —
Liability for Options Written (62) — —
Futures Contracts—Assets1 181 — —
Futures Contracts—Liabilities1 (128) — —
Total 20,525 3,309,592 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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.

 

Long-Term Treasury Fund

At April 30, 2017, 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 June 2017 682 80,753 72
30-Year U.S. Treasury Bond June 2017 349 53,386 431
10-Year U.S. Treasury Note June 2017 (378) (47,522) (43)
Ultra 10-Year U.S. Treasury Note June 2017 (235) (31,831) (23)
Ultra Long U.S. Treasury Bond June 2017 42 6,843 (59)
        378

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

E. At April 30, 2017, the cost of investment securities for tax purposes was $3,241,511,000. Net unrealized appreciation of investment securities for tax purposes was $88,615,000, consisting of unrealized gains of $128,304,000 on securities that had risen in value since their purchase and $39,689,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.4%)        
U.S. Government Securities (88.8%)        
United States Treasury Inflation Indexed        
Bonds 1.625% 1/15/18 54,800 64,598
United States Treasury Inflation Indexed        
Bonds 0.125% 4/15/18 276,850 292,301
United States Treasury Inflation Indexed        
Bonds 0.375% 1/15/27 158,837 160,355
United States Treasury Inflation Indexed        
Bonds 1.000% 2/15/46 5,580 5,857
United States Treasury Inflation Indexed        
Bonds 0.875% 2/15/47 9,400 9,405
United States Treasury Note/Bond 0.750% 1/31/18 65,000 64,848
United States Treasury Note/Bond 0.875% 1/31/18 160,000 159,774
United States Treasury Note/Bond 2.625% 1/31/18 45,000 45,513
United States Treasury Note/Bond 1.000% 2/15/18 39,000 38,970
United States Treasury Note/Bond 3.500% 2/15/18 62,000 63,163
United States Treasury Note/Bond 0.750% 2/28/18 274,800 273,984
United States Treasury Note/Bond 2.750% 2/28/18 38,000 38,511
United States Treasury Note/Bond 1.000% 3/15/18 84,000 83,921
United States Treasury Note/Bond 0.750% 3/31/18 300,000 298,968
United States Treasury Note/Bond 0.875% 3/31/18 548,000 546,800
United States Treasury Note/Bond 0.750% 4/15/18 75,000 74,731
United States Treasury Note/Bond 0.625% 4/30/18 449,750 447,429
United States Treasury Note/Bond 0.750% 4/30/18 160,000 159,374
United States Treasury Note/Bond 0.625% 6/30/18 38,000 37,769
United States Treasury Note/Bond 0.750% 7/31/18 55,000 54,716
United States Treasury Note/Bond 1.375% 7/31/18 6,700 6,716
United States Treasury Note/Bond 2.250% 7/31/18 39,000 39,518
United States Treasury Note/Bond 1.000% 8/15/18 500 499
United States Treasury Note/Bond 0.750% 8/31/18 28,300 28,136
United States Treasury Note/Bond 0.750% 9/30/18 67,000 66,581
United States Treasury Note/Bond 1.375% 9/30/18 22,000 22,051
United States Treasury Note/Bond 0.875% 10/15/18 42,000 41,797
United States Treasury Note/Bond 0.750% 10/31/18 105,000 104,278
United States Treasury Note/Bond 1.250% 10/31/18 87,250 87,304
United States Treasury Note/Bond 1.750% 10/31/18 31,600 31,857
United States Treasury Note/Bond 1.250% 11/15/18 70,000 70,033
United States Treasury Note/Bond 1.000% 11/30/18 74,000 73,745
United States Treasury Note/Bond 1.250% 11/30/18 83,500 83,539
United States Treasury Note/Bond 1.375% 11/30/18 48,000 48,112
United States Treasury Note/Bond 1.250% 12/31/18 106,800 106,833
United States Treasury Note/Bond 1.375% 12/31/18 82,000 82,180
United States Treasury Note/Bond 1.500% 12/31/18 66,000 66,289
United States Treasury Note/Bond 1.125% 1/15/19 85,000 84,854
United States Treasury Note/Bond 1.250% 1/31/19 67,000 67,011
United States Treasury Note/Bond 1.500% 1/31/19 38,000 38,166
United States Treasury Note/Bond 1.625% 3/31/19 3,000 3,021
United States Treasury Note/Bond 0.875% 4/15/19 54,800 54,389
United States Treasury Note/Bond 1.250% 4/30/19 15,000 14,995
United States Treasury Note/Bond 3.125% 5/15/19 20,000 20,738

 

 

United States Treasury Note/Bond 1.625% 6/30/19 82,000 82,576
United States Treasury Note/Bond 0.750% 7/15/19 50,000 49,399
United States Treasury Note/Bond 0.875% 7/31/19 32,750 32,438
United States Treasury Note/Bond 1.625% 7/31/19 95,100 95,769
United States Treasury Note/Bond 3.625% 8/15/19 22,000 23,141
United States Treasury Note/Bond 1.000% 8/31/19 12,000 11,910
United States Treasury Note/Bond 1.625% 8/31/19 67,250 67,702
United States Treasury Note/Bond 1.750% 9/30/19 123,000 124,192
United States Treasury Note/Bond 1.500% 10/31/19 51,000 51,183
United States Treasury Note/Bond 1.000% 11/15/19 20,000 19,822
United States Treasury Note/Bond 1.000% 11/30/19 5,200 5,152
United States Treasury Note/Bond 1.500% 11/30/19 40,000 40,138
United States Treasury Note/Bond 1.375% 12/15/19 70,000 69,989
United States Treasury Note/Bond 1.125% 12/31/19 12,000 11,919
United States Treasury Note/Bond 1.625% 12/31/19 150,000 150,938
United States Treasury Note/Bond 1.375% 1/15/20 17,807 17,796
United States Treasury Note/Bond 1.250% 1/31/20 54,500 54,270
United States Treasury Note/Bond 1.375% 1/31/20 169,000 168,868
United States Treasury Note/Bond 1.375% 2/15/20 45,948 45,905
United States Treasury Note/Bond 3.625% 2/15/20 40,000 42,412
United States Treasury Note/Bond 1.250% 2/29/20 25,000 24,875
United States Treasury Note/Bond 1.375% 2/29/20 75,000 74,883
United States Treasury Note/Bond 1.625% 3/15/20 104,000 104,552
United States Treasury Note/Bond 1.125% 3/31/20 13,000 12,884
United States Treasury Note/Bond 1.375% 3/31/20 43,100 43,013
United States Treasury Note/Bond 1.375% 4/30/20 83,350 83,142
United States Treasury Note/Bond 1.375% 5/31/20 164,600 164,034
United States Treasury Note/Bond 1.500% 5/31/20 30,000 30,009
United States Treasury Note/Bond 1.625% 6/30/20 53,700 53,901
United States Treasury Note/Bond 1.875% 6/30/20 45,500 46,026
United States Treasury Note/Bond 1.625% 7/31/20 90,000 90,295
United States Treasury Note/Bond 2.000% 7/31/20 26,700 27,101
United States Treasury Note/Bond 2.625% 8/15/20 24,000 24,840
United States Treasury Note/Bond 8.750% 8/15/20 3,000 3,692
United States Treasury Note/Bond 1.375% 8/31/20 36,000 35,803
United States Treasury Note/Bond 2.125% 8/31/20 111,000 113,063
United States Treasury Note/Bond 1.375% 9/30/20 24,000 23,850
United States Treasury Note/Bond 1.375% 10/31/20 23,000 22,835
United States Treasury Note/Bond 1.750% 10/31/20 42,000 42,236
United States Treasury Note/Bond 2.625% 11/15/20 74,750 77,401
United States Treasury Note/Bond 1.625% 11/30/20 32,500 32,531
United States Treasury Note/Bond 2.000% 11/30/20 17,000 17,231
United States Treasury Note/Bond 1.750% 12/31/20 91,415 91,829
United States Treasury Note/Bond 1.375% 1/31/21 80,000 79,238
1 United States Treasury Note/Bond 2.125% 1/31/21 64,000 65,120
United States Treasury Note/Bond 3.625% 2/15/21 32,000 34,345
United States Treasury Note/Bond 1.125% 2/28/21 18,000 17,648
United States Treasury Note/Bond 1.375% 4/30/21 45,000 44,465
United States Treasury Note/Bond 2.000% 10/31/21 32,000 32,315
United States Treasury Note/Bond 1.500% 1/31/22 20,000 19,728
United States Treasury Note/Bond 1.875% 1/31/22 20,000 20,066
United States Treasury Note/Bond 1.750% 3/31/22 15,000 14,946
        6,897,045
Agency Bonds and Notes (7.9%)        
2 AID-Iraq 2.149% 1/18/22 52,411 52,566
2 AID-Tunisia 1.416% 8/5/21 16,500 16,087
2 AID-Ukraine 1.471% 9/29/21 25,950 25,446

 

 

3 Fannie Mae Interest Strip 0.000% 1/15/19 2,197 2,143
3 Fannie Mae Principal Strip 0.000% 2/1/19 9,900 9,647
3 Federal National Mortgage Assn. 0.000% 10/9/19 162,100 155,297
4 Financing Corp. 0.000% 5/11/18 72,000 71,057
4 Financing Corp. 0.000% 11/2/18 2,150 2,106
4 Financing Corp. 0.000% 3/7/19 5,475 5,329
  Private Export Funding Corp. 4.375% 3/15/19 13,330 14,034
  Private Export Funding Corp. 1.450% 8/15/19 30,534 30,482
  Private Export Funding Corp. 2.250% 3/15/20 5,800 5,903
  Private Export Funding Corp. 2.300% 9/15/20 7,550 7,669
  Residual Funding Corp. Principal Strip 0.000% 10/15/19 101,170 97,440
  Residual Funding Corp. Principal Strip 0.000% 7/15/20 19,100 18,082
  Residual Funding Corp. Principal Strip 0.000% 10/15/20 58,220 54,788
  Residual Funding Corp. Principal Strip 0.000% 1/15/21 47,000 43,939
          612,015
Conventional Mortgage-Backed Securities (1.0%)        
3,5,6Fannie Mae Pool 4.000% 5/1/47 75,000 78,984
3,5 Freddie Mac Gold Pool 6.000% 5/1/18–4/1/28 110 126
          79,110
Nonconventional Mortgage-Backed Securities (0.7%)        
3,5,7Fannie Mae REMICS 2016-1 1.341% 2/25/46 13,571 13,538
3,5,7Fannie Mae REMICS 2016-6 1.441% 2/25/46 8,810 8,839
3,5,7Fannie Mae REMICS 2016-93 1.341% 12/25/46 9,935 9,943
3,5,7Freddie Mac REMICS 1.394% 5/15/46 10,064 10,099
3,5,7Freddie Mac REMICS 1.444% 10/15/46 8,228 8,259
          50,678
Total U.S. Government and Agency Obligations (Cost $7,651,885)     7,638,848
Temporary Cash Investment (2.0%)        
        Shares  
Money Market Fund (2.0%)        
8 Vanguard Market Liquidity Fund (Cost        
  $156,222) 1.034%   1,561,926 156,224
 
Total Investments (100.4%) (Cost $7,808,107)       7,795,072
Liability for Options Written (0.0%)   Expiration Date Contracts  
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $126.50   5/26/17 139 (43)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $127.00   5/26/17 277 (56)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $127.50   5/26/17 277 (35)
  Call Options on 10-year U.S. Treasury Note        
  Futures Contracts, Strike Price $128.00   5/26/17 139 (11)
Total Liability for Options Written (Premiums received $251)     (145)
 
Other Assets and Liabilities-Net (-0.4%)       (30,137)
Net Assets (100%)       7,764,790

1 Securities with a value of $3,688,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
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 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 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 April 30, 2017.
7 Adjustable-rate security.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REMICS—Real Estate Mortgage Investment Conduits

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

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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 April 30, 2017, based on the inputs used to value them:

 

Short-Term Treasury Fund

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 7,638,848 —
Temporary Cash Investments 156,224 — —
Liability for Options Written (145) — —
Futures Contracts—Assets1 274 — —
Futures Contracts—Liabilities1 (906) — —
Total 155,447 7,638,848 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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 April 30, 2017, 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 June 2017 6,965 1,508,684 2,041

 

 

Short-Term Treasury Fund        
 
 
5-Year U.S. Treasury Note June 2017 2,374 281,096 687
Ultra 10-Year U.S. Treasury Bond June 2017 (1,299) (175,954) (2,133)
10-Year U.S. Treasury Note June 2017 (878) (110,381) (99)
Ultra Long U.S. Treasury Bond June 2017 (562) (91,571) 122
30-Year U.S. Treasury Note June 2017 191 29,217 108
        726

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

E. At April 30, 2017, the cost of investment securities for tax purposes was $7,808,107,000. Net unrealized depreciation of investment securities for tax purposes was $13,035,000, consisting of unrealized gains of $7,297,000 on securities that had risen in value since their purchase and $20,332,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.7%)        
U.S. Government Securities (93.5%)        
United States Treasury Inflation Indexed        
Bonds 0.375% 1/15/27 133,492 134,768
United States Treasury Inflation Indexed        
Bonds 1.000% 2/15/46 4,600 4,828
United States Treasury Inflation Indexed        
Bonds 0.875% 2/15/47 7,800 7,804
United States Treasury Note/Bond 1.625% 8/31/19 2 2
United States Treasury Note/Bond 1.375% 5/31/20 41,000 40,859
United States Treasury Note/Bond 1.500% 5/31/20 74,600 74,623
United States Treasury Note/Bond 1.625% 6/30/20 13,000 13,049
United States Treasury Note/Bond 1.875% 6/30/20 65,000 65,751
United States Treasury Note/Bond 2.000% 7/31/20 34,870 35,393
United States Treasury Note/Bond 2.625% 8/15/20 42,600 44,091
United States Treasury Note/Bond 1.375% 8/31/20 60,000 59,672
United States Treasury Note/Bond 2.125% 8/31/20 36,000 36,669
United States Treasury Note/Bond 1.375% 9/30/20 8,200 8,149
United States Treasury Note/Bond 2.000% 9/30/20 29,000 29,421
United States Treasury Note/Bond 1.375% 10/31/20 63,771 63,312
United States Treasury Note/Bond 1.750% 10/31/20 87,140 87,630
United States Treasury Note/Bond 2.625% 11/15/20 92,000 95,263
United States Treasury Note/Bond 1.625% 11/30/20 231 231
United States Treasury Note/Bond 2.000% 11/30/20 69,866 70,815
United States Treasury Note/Bond 1.750% 12/31/20 14,372 14,437
United States Treasury Note/Bond 2.375% 12/31/20 23,000 23,625
United States Treasury Note/Bond 1.375% 1/31/21 147,940 146,530
United States Treasury Note/Bond 2.125% 1/31/21 26,845 27,315
United States Treasury Note/Bond 3.625% 2/15/21 50,000 53,664
United States Treasury Note/Bond 7.875% 2/15/21 4,862 5,971
United States Treasury Note/Bond 1.125% 2/28/21 26,693 26,172
United States Treasury Note/Bond 2.000% 2/28/21 40,000 40,525
United States Treasury Note/Bond 1.250% 3/31/21 106,769 105,067
United States Treasury Note/Bond 2.250% 3/31/21 62,260 63,622
United States Treasury Note/Bond 1.375% 4/30/21 39,821 39,348
United States Treasury Note/Bond 2.250% 4/30/21 79,460 81,173
United States Treasury Note/Bond 3.125% 5/15/21 50,308 53,106
United States Treasury Note/Bond 8.125% 5/15/21 8,919 11,149
United States Treasury Note/Bond 1.375% 5/31/21 108,459 107,070
United States Treasury Note/Bond 1.125% 6/30/21 35,452 34,610
United States Treasury Note/Bond 2.125% 6/30/21 62,353 63,396
United States Treasury Note/Bond 1.125% 7/31/21 98,950 96,507
United States Treasury Note/Bond 2.250% 7/31/21 45,919 46,902
United States Treasury Note/Bond 8.125% 8/15/21 34,701 43,821
United States Treasury Note/Bond 1.125% 8/31/21 63,500 61,873
United States Treasury Note/Bond 2.000% 8/31/21 30,000 30,319
United States Treasury Note/Bond 1.125% 9/30/21 78,500 76,390
United States Treasury Note/Bond 2.125% 9/30/21 30,000 30,469
United States Treasury Note/Bond 1.250% 10/31/21 45,000 44,001
United States Treasury Note/Bond 2.000% 10/31/21 65,000 65,640
United States Treasury Note/Bond 2.000% 11/15/21 60,000 60,600

 

 

United States Treasury Note/Bond 8.000% 11/15/21 20,938 26,608
United States Treasury Note/Bond 1.750% 11/30/21 118,000 117,889
United States Treasury Note/Bond 1.875% 11/30/21 78,000 78,342
United States Treasury Note/Bond 2.000% 12/31/21 68,000 68,627
United States Treasury Note/Bond 2.125% 12/31/21 117,000 118,736
United States Treasury Note/Bond 1.500% 1/31/22 121,400 119,750
United States Treasury Note/Bond 1.875% 1/31/22 66,200 66,417
United States Treasury Note/Bond 1.750% 2/28/22 75,057 74,823
United States Treasury Note/Bond 1.875% 3/31/22 60,000 60,169
United States Treasury Note/Bond 1.750% 4/30/22 8,500 8,465
United States Treasury Note/Bond 1.750% 5/15/22 47,000 46,809
1 United States Treasury Note/Bond 2.000% 7/31/22 30,000 30,187
United States Treasury Note/Bond 1.625% 8/15/22 66,000 65,134
United States Treasury Note/Bond 7.250% 8/15/22 25,727 32,649
United States Treasury Note/Bond 1.875% 8/31/22 40,000 39,981
United States Treasury Note/Bond 1.750% 9/30/22 39,836 39,525
United States Treasury Note/Bond 1.875% 10/31/22 40,331 40,243
United States Treasury Note/Bond 1.625% 11/15/22 99,659 98,117
United States Treasury Note/Bond 7.625% 11/15/22 12,000 15,589
United States Treasury Note/Bond 2.000% 11/30/22 49,000 49,176
United States Treasury Note/Bond 2.125% 12/31/22 46,752 47,205
United States Treasury Note/Bond 1.750% 1/31/23 60,000 59,315
United States Treasury Note/Bond 2.000% 2/15/23 139,283 139,588
United States Treasury Note/Bond 1.500% 2/28/23 83,509 81,356
United States Treasury Note/Bond 1.500% 3/31/23 51,337 49,957
United States Treasury Note/Bond 1.625% 4/30/23 51,500 50,422
United States Treasury Note/Bond 1.750% 5/15/23 128,957 127,103
United States Treasury Note/Bond 1.625% 5/31/23 65,781 64,342
United States Treasury Note/Bond 1.375% 6/30/23 52,279 50,335
United States Treasury Note/Bond 1.250% 7/31/23 121,100 115,556
United States Treasury Note/Bond 2.500% 8/15/23 79,880 82,114
United States Treasury Note/Bond 1.375% 8/31/23 91,300 87,705
United States Treasury Note/Bond 1.375% 9/30/23 58,000 55,662
United States Treasury Note/Bond 1.625% 10/31/23 23,000 22,411
United States Treasury Note/Bond 2.750% 11/15/23 85,353 89,007
United States Treasury Note/Bond 2.250% 12/31/23 73,500 74,327
United States Treasury Note/Bond 2.750% 2/15/24 39,119 40,788
United States Treasury Note/Bond 2.500% 5/15/24 84,223 86,420
United States Treasury Note/Bond 2.375% 8/15/24 110,018 111,840
United States Treasury Note/Bond 2.250% 11/15/24 110,000 110,722
United States Treasury Note/Bond 2.000% 2/15/25 121,000 119,412
United States Treasury Note/Bond 2.125% 5/15/25 142,000 141,156
United States Treasury Note/Bond 2.000% 8/15/25 122,009 119,931
United States Treasury Note/Bond 6.875% 8/15/25 7,200 9,772
United States Treasury Note/Bond 2.250% 11/15/25 132,990 133,052
United States Treasury Note/Bond 1.625% 2/15/26 114,384 108,611
United States Treasury Note/Bond 1.625% 5/15/26 95,891 90,857
United States Treasury Note/Bond 1.500% 8/15/26 151,900 142,098
United States Treasury Note/Bond 6.750% 8/15/26 17,300 23,841
United States Treasury Note/Bond 2.000% 11/15/26 53,000 51,725
        6,009,498
Agency Bonds and Notes (4.6%)        
2 AID-Iraq 2.149% 1/18/22 43,400 43,528
2 AID-Israel 5.500% 9/18/23 8,000 9,510
2 AID-Israel 5.500% 4/26/24 10,700 12,806
2 AID-Israel 0.000% 5/1/24 13,215 10,714
2 AID-Israel 0.000% 11/1/24 75,000 60,807

 

 

2 AID-Israel 0.000% 8/15/25 15,929 12,412
2 AID-Tunisia 1.416% 8/5/21 15,200 14,820
2 AID-Ukraine 1.471% 9/29/21 23,100 22,652
Private Export Funding Corp. 2.300% 9/15/20 13,600 13,814
Private Export Funding Corp. 4.300% 12/15/21 4,150 4,561
Private Export Funding Corp. 2.800% 5/15/22 15,470 15,998
Private Export Funding Corp. 3.550% 1/15/24 23,800 25,425
Private Export Funding Corp. 2.450% 7/15/24 6,085 6,065
Private Export Funding Corp. 3.250% 6/15/25 18,600 19,453
Resolution Funding Corp. Interest Strip 0.000% 1/15/27 1,988 1,509
Resolution Funding Corp. Interest Strip 0.000% 4/15/27 16,673 12,525
Resolution Funding Corp. Interest Strip 0.000% 7/15/27 8,704 6,479
Resolution Funding Corp. Interest Strip 0.000% 10/15/27 8,704 6,425
        299,503
Conventional Mortgage-Backed Securities (1.0%)        
 
3,4,5 Fannie Mae Pool 4.000% 5/1/47 61,000 64,240
        64,240
Nonconventional Mortgage-Backed Securities (0.6%)        
 
3,4,6 Fannie Mae REMICS 2016-1 1.341% 2/25/46 12,160 12,131
 
3,4,6 Fannie Mae REMICS 2016-6 1.441% 2/25/46 7,894 7,920
 
3,4,6 Freddie Mac REMICS 1.394% 5/15/46 8,952 8,983
 
3,4,6 Freddie Mac REMICS 1.444% 10/15/46 7,266 7,293
        36,327
Total U.S. Government and Agency Obligations (Cost $6,411,122)     6,409,568
Temporary Cash Investment (0.7%)        
      Shares  
Money Market Fund (0.7%)        
7 Vanguard Market Liquidity Fund (Cost        
$41,414) 1.034%   414,065 41,415
 
Total Investments (100.4%) (Cost $6,452,536)       6,450,983
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/26/17 225 (46)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   5/26/17 113 (35)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   5/26/17 225 (28)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/26/17 113 (9)
Total Liability for Options Written (Premiums received $204)     (118)
 
Other Assets and Liabilities-Net (-0.4%)       (22,728)
Net Assets (100%)       6,428,137
1 Securities with a value of $1,439,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.        

 

 

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 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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of April 30, 2017.
6 Adjustable-rate security.
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.
REMICS—Real Estate Mortgage Investment Conduits.

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

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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).

 

Intermediate-Term Treasury Fund

The following table summarizes the market value of the fund's investments as of April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,409,568 —
Temporary Cash Investments 41,415 — —
Liability for Options Written (118) — —
Futures Contracts—Assets1 264 — —
Futures Contracts—Liabilities1 (505) — —
Total 41,056 6,409,568 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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 April 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

Intermediate-Term Treasury Fund        
 
 
      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
5-Year U.S. Treasury Note June 2017 2,543 301,107 680
Ultra 10-Year U.S. Treasury Note June 2017 (849) (115,000) (501)
Ultra Long U.S. Treasury Bond June 2017 (459) (74,788) 101
30-Year U.S. Treasury Bond June 2017 156 23,863 89
2-Year U.S. Treasury Note June 2017 71 15,379 3
10-Year U.S. Treasury Note June 2017 74 9,303 6
        378

 

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

E. At April 30, 2017, the cost of investment securities for tax purposes was $6,454,699,000. Net unrealized depreciation of investment securities for tax purposes was $3,716,000, consisting of unrealized gains of $30,490,000 on securities that had risen in value since their purchase and $34,206,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund

Schedule of Investments (unaudited)
As of April 30, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (3.0%)        
U.S. Government Securities (3.0%)        
1 United States Treasury Note/Bond 0.625% 5/31/17 256,325 256,284
2 United States Treasury Note/Bond 0.625% 8/31/17 205,540 205,347
  United States Treasury Note/Bond 0.625% 11/30/17 225,140 224,577
Total U.S. Government and Agency Obligations (Cost $686,456)     686,208
Corporate Bonds (92.3%)        
Finance (9.3%)        
  Banking (0.7%)        
3,4 Credit Suisse AG 6.250% 12/31/50 43,820 45,682
  Royal Bank of Scotland Group plc 6.125% 12/15/22 52,705 56,769
4 UBS Group AG 6.875% 12/31/49 43,800 46,455
 
  Finance Companies (5.9%)        
4,5 AerCap Global Aviation Trust 6.500% 6/15/45 121,250 127,313
  Aircastle Ltd. 5.125% 3/15/21 1,020 1,089
  Aircastle Ltd. 5.500% 2/15/22 25,900 28,102
  Aircastle Ltd. 5.000% 4/1/23 41,450 44,144
  Aircastle Ltd. 4.125% 5/1/24 46,230 47,155
  CIT Group Inc. 5.250% 3/15/18 77,255 79,669
5 CIT Group Inc. 6.625% 4/1/18 105,655 110,409
5 CIT Group Inc. 5.500% 2/15/19 21,320 22,519
  CIT Group Inc. 3.875% 2/19/19 33,380 34,298
  CIT Group Inc. 5.375% 5/15/20 83,950 90,351
  CIT Group Inc. 5.000% 8/15/22 36,429 39,161
  Homer City Generation LP 8.734% 10/1/26 115,318 41,514
  Navient Corp. 5.500% 1/15/19 69,260 72,036
  Navient Corp. 8.000% 3/25/20 63,325 69,753
  Navient Corp. 5.875% 3/25/21 5,000 5,195
  Navient Corp. 6.625% 7/26/21 13,400 14,181
  Navient Corp. 7.250% 1/25/22 43,900 46,842
  Navient Corp. 6.500% 6/15/22 107,700 111,288
  Navient Corp. 5.500% 1/25/23 38,420 37,831
  Navient Corp. 7.250% 9/25/23 24,615 25,615
5 OneMain Financial Holdings LLC 6.750% 12/15/19 9,560 10,038
5 Park Aerospace Holdings Ltd. 5.250% 8/15/22 46,800 49,437
5 Park Aerospace Holdings Ltd. 5.500% 2/15/24 63,095 67,035
  Springleaf Finance Corp. 5.250% 12/15/19 6,995 7,091
  Springleaf Finance Corp. 6.000% 6/1/20 2,132 2,175
  Springleaf Finance Corp. 8.250% 12/15/20 65,995 72,100
  Springleaf Finance Corp. 7.750% 10/1/21 69,567 74,350
  Springleaf Finance Corp. 8.250% 10/1/23 17,136 18,378
 
  Insurance (1.8%)        
  Genworth Holdings Inc. 7.700% 6/15/20 9,600 9,504
  Genworth Holdings Inc. 7.200% 2/15/21 28,015 26,509
  Genworth Holdings Inc. 7.625% 9/24/21 25,505 24,294
  Genworth Holdings Inc. 4.900% 8/15/23 49,580 41,399
  Genworth Holdings Inc. 4.800% 2/15/24 7,335 6,024
5 Liberty Mutual Group Inc. 7.800% 3/15/37 58,440 67,790

 

 

  LifePoint Health Inc. 5.875% 12/1/23 54,045 55,801
  MGIC Investment Corp. 5.750% 8/15/23 24,695 26,424
  Radian Group Inc. 5.250% 6/15/20 9,705 10,215
  Radian Group Inc. 7.000% 3/15/21 56,505 63,003
4 Voya Financial Inc. 5.650% 5/15/53 87,753 90,276
 
  Other Finance (0.4%)        
  CNO Financial Group Inc. 4.500% 5/30/20 4,865 5,023
  CNO Financial Group Inc. 5.250% 5/30/25 38,895 40,159
5,6 Lincoln Finance Ltd. 6.875% 4/15/21 8,805 10,289
5 Lincoln Finance Ltd. 7.375% 4/15/21 15,975 17,047
  Nationstar Mortgage LLC / Nationstar Capital        
  Corp. 6.500% 7/1/21 15,298 15,547
 
  Real Estate Investment Trusts (0.5%)        
  Felcor Lodging LP 5.625% 3/1/23 78,105 82,205
  Felcor Lodging LP 6.000% 6/1/25 38,140 40,810
          2,130,294
Industrial (80.5%)        
  Basic Industry (7.5%)        
  AK Steel Corp. 7.625% 10/1/21 9,925 10,334
  AK Steel Corp. 7.500% 7/15/23 79,875 86,964
  AK Steel Corp. 7.000% 3/15/27 59,435 58,841
5 Alliance Resource Operating Partners LP /        
  Alliance Resource Finance Corp. 7.500% 5/1/25 13,640 14,151
5 Anglo American Capital plc 3.625% 5/14/20 23,510 23,833
5 Anglo American Capital plc 4.125% 4/15/21 27,840 28,536
5 Anglo American Capital plc 4.125% 9/27/22 17,150 17,450
5 Anglo American Capital plc 4.875% 5/14/25 43,250 45,088
5 Anglo American Capital plc 4.750% 4/10/27 24,815 25,540
  ArcelorMittal 5.125% 6/1/20 9,600 10,116
  ArcelorMittal 7.000% 2/25/22 18,740 21,246
  ArcelorMittal 6.125% 6/1/25 21,830 24,477
5 Axalta Coating Systems LLC 4.875% 8/15/24 29,095 30,150
  Chemours Co. 6.625% 5/15/23 85,270 90,813
  Chemours Co. 7.000% 5/15/25 67,110 73,653
5,6 Constellium NV 4.625% 5/15/21 3,745 4,070
5 Constellium NV 8.000% 1/15/23 51,375 53,109
5 Constellium NV 5.750% 5/15/24 34,862 32,509
5 Constellium NV 6.625% 3/1/25 78,600 77,421
5 First Quantum Minerals Ltd. 7.000% 2/15/21 54,157 56,052
5 First Quantum Minerals Ltd. 7.250% 5/15/22 47,870 49,306
  Graphic Packaging International Inc. 4.125% 8/15/24 25,860 25,957
  Hexion Inc. 6.625% 4/15/20 46,735 44,048
5 New Gold Inc. 7.000% 4/15/20 8,652 8,739
5 New Gold Inc. 6.250% 11/15/22 33,510 34,306
5 Novelis Corp. 6.250% 8/15/24 53,590 56,537
5 Novelis Corp. 5.875% 9/30/26 56,215 57,691
  Olin Corp. 5.125% 9/15/27 58,305 60,637
  Steel Dynamics Inc. 5.125% 10/1/21 41,770 43,075
  Steel Dynamics Inc. 5.500% 10/1/24 37,825 40,000
  Teck Resources Ltd. 3.750% 2/1/23 9,705 9,559
5 Teck Resources Ltd. 8.500% 6/1/24 46,560 53,777
  Teck Resources Ltd. 6.125% 10/1/35 7,765 8,163
  Teck Resources Ltd. 6.000% 8/15/40 6,650 6,825
  Teck Resources Ltd. 6.250% 7/15/41 21,350 22,631
  Teck Resources Ltd. 5.200% 3/1/42 4,850 4,632

 

 

  Teck Resources Ltd. 5.400% 2/1/43 48,295 46,846
  United States Steel Corp. 7.375% 4/1/20 33,106 35,299
  United States Steel Corp. 6.875% 4/1/21 18,421 18,536
5 United States Steel Corp. 8.375% 7/1/21 88,430 97,162
  United States Steel Corp. 7.500% 3/15/22 20,720 21,083
  United States Steel Corp. 6.650% 6/1/37 13,760 11,920
5 Versum Materials Inc. 5.500% 9/30/24 17,591 18,251
5,6 VWR Funding Inc. 4.625% 4/15/22 116,316 132,278
  Westlake Chemical Corp. 4.625% 2/15/21 23,555 24,497
  Westlake Chemical Corp. 4.875% 5/15/23 7,245 7,535
 
  Capital Goods (9.0%)        
5 ARD Finance SA 7.125% 9/15/23 35,650 36,987
5 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 7.250% 5/15/24 70,023 75,800
5 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 6.000% 2/15/25 93,082 96,224
5 Ashtead Capital Inc. 6.500% 7/15/22 28,180 29,237
  Ball Corp. 4.375% 12/15/20 27,255 28,686
6 Ball Corp. 4.375% 12/15/23 17,385 21,127
  Berry Plastics Corp. 5.500% 5/15/22 1,940 2,027
  Berry Plastics Corp. 5.125% 7/15/23 1,940 2,008
  Berry Plastics Escrow LLC/Berry Plastics        
  Escrow Corp. 6.000% 10/15/22 22,195 23,582
5 Bombardier Inc. 7.750% 3/15/20 50,000 54,125
5 Cemex Finance LLC 6.000% 4/1/24 21,210 22,430
5 Cemex SAB de CV 6.125% 5/5/25 111,200 119,689
5 Cemex SAB de CV 7.750% 4/16/26 24,265 27,572
  Clean Harbors Inc. 5.250% 8/1/20 62,913 64,171
  Clean Harbors Inc. 5.125% 6/1/21 57,864 59,238
  CNH Industrial Capital LLC 3.625% 4/15/18 27,735 28,116
  CNH Industrial Capital LLC 3.875% 7/16/18 19,095 19,477
  CNH Industrial Capital LLC 3.375% 7/15/19 8,988 9,123
  CNH Industrial Capital LLC 4.375% 11/6/20 76,545 78,937
  CNH Industrial Capital LLC 4.875% 4/1/21 38,105 39,963
  CNH Industrial Capital LLC 4.375% 4/5/22 24,170 24,623
  CNH Industrial NV 4.500% 8/15/23 107,785 110,480
  Eagle Materials Inc. 4.500% 8/1/26 6,305 6,266
5 Flex Acquisition Co. Inc. 6.875% 1/15/25 120,100 123,253
5 HD Supply Inc. 5.250% 12/15/21 33,895 35,759
5 HD Supply Inc. 5.750% 4/15/24 9,300 9,846
5 Huntington Ingalls Industries Inc. 5.000% 11/15/25 12,590 13,377
5,6 Loxam SAS 4.250% 4/15/24 5,520 6,213
5,6 Loxam SAS 6.000% 4/15/25 6,480 7,390
  Masco Corp. 7.750% 8/1/29 16,486 21,432
  Masco Corp. 6.500% 8/15/32 5,880 6,997
5 Owens-Brockway Glass Container Inc. 5.875% 8/15/23 29,295 31,419
5 Owens-Brockway Glass Container Inc. 6.375% 8/15/25 11,675 12,638
  PulteGroup Inc. 5.500% 3/1/26 41,055 43,262
  Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 5.750% 10/15/20 31,580 32,488
  Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 6.875% 2/15/21 25,093 25,783
5 Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 5.125% 7/15/23 49,930 51,927
5 Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 7.000% 7/15/24 14,670 15,770

 

 

5 Signode Industrial Group Lux SA/Signode        
Industrial Group US Inc. 6.375% 5/1/22 92,625 94,941
5 Standard Industries Inc. 5.500% 2/15/23 9,705 10,081
5 Standard Industries Inc. 5.375% 11/15/24 36,177 37,669
5 Standard Industries Inc. 6.000% 10/15/25 139,715 149,146
5 Standard Industries Inc. 5.000% 2/15/27 16,990 17,054
TransDigm Inc. 6.000% 7/15/22 44,150 45,419
TransDigm Inc. 6.500% 7/15/24 96,400 99,051
United Rentals North America Inc. 7.625% 4/15/22 17,829 18,587
United Rentals North America Inc. 6.125% 6/15/23 11,580 12,072
United Rentals North America Inc. 4.625% 7/15/23 22,111 22,940
United Rentals North America Inc. 5.500% 7/15/25 33,095 34,419
United Rentals North America Inc. 5.875% 9/15/26 38,755 40,838
United Rentals North America Inc. 5.500% 5/15/27 58,325 60,002
5 USG Corp. 5.500% 3/1/25 8,590 8,998
 
Communication (22.9%)        
5 Activision Blizzard Inc. 6.125% 9/15/23 35,625 38,653
5 Altice Financing SA 6.625% 2/15/23 57,121 60,477
5 Altice Luxembourg SA 7.625% 2/15/25 20,000 21,200
5 Altice US Finance I Corp. 5.500% 5/15/26 83,145 86,055
5 Bankrate Inc. 6.125% 8/15/18 12,945 13,074
Belo Corp. 7.750% 6/1/27 6,820 7,400
Belo Corp. 7.250% 9/15/27 20,515 21,695
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 3/15/21 8,380 8,610
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 12,635 13,077
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 2/15/23 13,406 13,942
5 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 5/1/23 97,010 100,890
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 9/1/23 33,450 35,039
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 1/15/24 4,855 5,104
5 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.375% 5/1/25 79,205 82,373
5 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 2/15/26 47,140 49,968
5 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.500% 5/1/26 56,250 58,852
5 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.875% 5/1/27 24,255 25,680
5 Cequel Communications Holdings I LLC /        
Cequel Capital Corp. 5.125% 12/15/21 59,340 60,675
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.484% 10/23/45 44,215 51,699
5 Columbus International Inc. 7.375% 3/30/21 61,345 66,023
CSC Holdings LLC 8.625% 2/15/19 25,520 28,072
CSC Holdings LLC 6.750% 11/15/21 60,764 66,537
5 CSC Holdings LLC 5.500% 4/15/27 76,415 78,898
DISH DBS Corp. 6.750% 6/1/21 152,345 166,056
DISH DBS Corp. 5.875% 7/15/22 94,575 100,249
DISH DBS Corp. 5.000% 3/15/23 15,135 15,173
DISH DBS Corp. 5.875% 11/15/24 52,510 55,136
DISH DBS Corp. 7.750% 7/1/26 78,400 91,728
Embarq Corp. 7.995% 6/1/36 23,035 23,515

 

 

  Frontier Communications Corp. 11.000% 9/15/25 66,715 64,213
  Gannett Co. Inc. 5.125% 7/15/20 64,680 66,782
5 Gannett Co. Inc. 4.875% 9/15/21 12,990 13,380
  Gannett Co. Inc. 6.375% 10/15/23 66,721 70,891
5 Gannett Co. Inc. 5.500% 9/15/24 6,880 7,061
5 Gray Television Inc. 5.125% 10/15/24 42,950 43,272
5 Gray Television Inc. 5.875% 7/15/26 27,675 28,713
  Lamar Media Corp. 5.000% 5/1/23 33,940 35,467
  Lamar Media Corp. 5.375% 1/15/24 3,885 4,104
  Lamar Media Corp. 5.750% 2/1/26 5,740 6,242
  Level 3 Financing Inc. 5.375% 8/15/22 75,480 77,933
  Level 3 Financing Inc. 5.625% 2/1/23 26,620 27,618
  Level 3 Financing Inc. 5.125% 5/1/23 36,380 37,335
  Level 3 Financing Inc. 5.375% 1/15/24 13,050 13,507
  Level 3 Financing Inc. 5.375% 5/1/25 36,380 37,835
  Level 3 Financing Inc. 5.250% 3/15/26 48,500 49,955
  Liberty Interactive LLC 8.500% 7/15/29 42,553 47,127
  Liberty Interactive LLC 8.250% 2/1/30 126,903 135,786
  National CineMedia LLC 6.000% 4/15/22 32,455 33,348
  Netflix Inc. 5.500% 2/15/22 30,950 33,194
  Netflix Inc. 5.875% 2/15/25 96,935 104,932
5 Netflix Inc. 4.375% 11/15/26 46,905 46,201
5 Numericable Group SA 6.000% 5/15/22 47,955 49,993
5 Numericable-SFR SA 7.375% 5/1/26 51,640 54,222
  Quebecor Media Inc. 5.750% 1/15/23 79,855 83,948
  Qwest Corp. 6.875% 9/15/33 25,162 25,131
  SBA Communications Corp. 4.875% 7/15/22 50,220 51,789
  Sinclair Television Group Inc. 6.125% 10/1/22 6,795 7,101
5 Sinclair Television Group Inc. 5.625% 8/1/24 6,795 7,067
5 Sinclair Television Group Inc. 5.875% 3/15/26 90,410 94,478
5 Sinclair Television Group Inc. 5.125% 2/15/27 57,340 57,197
5 Sirius XM Radio Inc. 4.250% 5/15/20 8,595 8,692
5 Sirius XM Radio Inc. 4.625% 5/15/23 11,110 11,318
5 Sirius XM Radio Inc. 6.000% 7/15/24 38,712 41,422
5 Sirius XM Radio Inc. 5.375% 4/15/25 12,513 12,826
5 Softbank Corp. 4.500% 4/15/20 138,300 143,486
  Sprint Capital Corp. 6.875% 11/15/28 131,570 142,753
  Sprint Capital Corp. 8.750% 3/15/32 21,230 26,113
5 Sprint Communications Inc. 7.000% 3/1/20 73,700 80,609
  Sprint Communications Inc. 6.000% 11/15/22 10,595 11,045
  Sprint Corp. 7.250% 9/15/21 83,575 91,410
  Sprint Corp. 7.875% 9/15/23 275,709 309,483
  Sprint Corp. 7.125% 6/15/24 56,711 61,673
  Sprint Corp. 7.625% 2/15/25 47,755 53,307
  T-Mobile USA Inc. 5.375% 4/15/27 102,055 108,944
  Telecom Italia Capital SA 6.375% 11/15/33 12,326 12,819
  Telecom Italia Capital SA 6.000% 9/30/34 33,530 34,326
  Telecom Italia Capital SA 7.721% 6/4/38 42,725 48,813
  Time Warner Cable LLC 5.875% 11/15/40 2,050 2,221
  Time Warner Cable LLC 5.500% 9/1/41 65,846 68,340
3,7 Tribune Company Bank Loan 3.993% 12/27/20 3,709 3,737
3,7 Tribune Company Bank Loan 3.993% 1/27/24 46,349 46,696
  Tribune Media Co. 5.875% 7/15/22 75,750 79,538
5 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 31,060 32,264
5 Univision Communications Inc. 5.125% 5/15/23 17,900 18,191
5 Univision Communications Inc. 5.125% 2/15/25 185,720 184,559
4 Viacom Inc. 5.875% 2/28/57 23,645 24,473

 

 

4 Viacom Inc. 6.250% 2/28/57 32,355 33,285
  Videotron Ltd. 5.000% 7/15/22 108,654 114,902
5 Videotron Ltd. 5.375% 6/15/24 8,633 9,108
5 Virgin Media Secured Finance plc 5.500% 1/15/25 19,910 20,482
5 Virgin Media Secured Finance plc 5.500% 8/15/26 10,225 10,455
5 VTR Finance BV 6.875% 1/15/24 88,555 93,204
5 Wind Acquisition Finance SA 4.750% 7/15/20 68,850 69,797
5 Wind Acquisition Finance SA 7.375% 4/23/21 65,000 67,519
5 WMG Acquisition Corp. 6.750% 4/15/22 82,950 87,305
5 WMG Acquisition Corp. 5.000% 8/1/23 25,381 25,762
5 WMG Acquisition Corp. 4.875% 11/1/24 37,336 37,803
  Zayo Group LLC / Zayo Capital Inc. 6.000% 4/1/23 104,300 111,079
  Zayo Group LLC / Zayo Capital Inc. 6.375% 5/15/25 46,170 49,864
5 Zayo Group LLC / Zayo Capital Inc. 5.750% 1/15/27 18,835 19,965
 
  Consumer Cyclical (8.7%)        
5 Adient Global Holdings Ltd. 4.875% 8/15/26 104,787 104,787
  American Axle & Manufacturing Inc. 6.625% 10/15/22 42,625 44,010
3,7 Bass Pro Group, LLC. Bank Loan 6.147% 12/15/23 59,435 57,788
3,7 Bass Pro Group, LLC. Bank Loan 6.147% 12/15/23 44,350 43,121
  CalAtlantic Group Inc. 5.875% 11/15/24 4,860 5,224
  CalAtlantic Group Inc. 5.250% 6/1/26 9,460 9,649
5 Cedar Fair LP / Canada's Wonderland Co. /        
  Magnum Management Corp. / Millennium        
  Op 5.375% 4/15/27 27,005 27,781
  Cedar Fair LP / Canada's Wonderland Co. /        
  MagnumManagement Corp. 5.375% 6/1/24 25,675 26,606
  Dana Holding Corp. 5.375% 9/15/21 16,781 17,452
  Dana Holding Corp. 5.500% 12/15/24 34,460 35,063
3,7 Delta Alpha Topco Bank Loan 8.068% 7/29/22 36,211 36,464
  GLP Capital LP / GLP Financing II Inc. 4.375% 4/15/21 3,475 3,623
  GLP Capital LP / GLP Financing II Inc. 5.375% 4/15/26 60,235 63,322
  Goodyear Tire & Rubber Co. 4.875% 3/15/27 49,955 49,705
  Group 1 Automotive Inc. 5.000% 6/1/22 44,170 44,667
5 Group 1 Automotive Inc. 5.250% 12/15/23 34,460 34,934
5 GW Honos Security Corp. 8.750% 5/15/25 33,505 33,966
5 Hanesbrands Inc. 4.625% 5/15/24 24,270 24,118
5 Hanesbrands Inc. 4.875% 5/15/26 24,510 24,387
5 Hilton Domestic Operating Co. Inc. 4.250% 9/1/24 60,310 60,612
5 Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.625% 4/1/25 105,130 108,021
5 Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.875% 4/1/27 64,885 66,426
5 IHO Verwaltungs GmbH 4.500% 9/15/23 24,275 24,275
5 IHO Verwaltungs GmbH 4.750% 9/15/26 35,875 35,516
3,7 Ion Media Networks Bank Loan 4.500% 12/18/20 56,467 56,890
  KB Home 4.750% 5/15/19 25,825 26,600
  KB Home 8.000% 3/15/20 3,920 4,386
  KB Home 7.000% 12/15/21 7,810 8,669
  KB Home 7.500% 9/15/22 6,935 7,845
  KB Home 7.625% 5/15/23 41,775 45,952
5 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.000% 6/1/24 27,130 28,012
5 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.250% 6/1/26 25,340 25,973
  L Brands Inc. 7.000% 5/1/20 18,505 20,402
  L Brands Inc. 6.625% 4/1/21 42,435 46,572

 

 

3,7 La Quinta Intermediate Holdings LLC Bank        
  Loan 3.908% 4/14/21 54,938 55,350
  Lennar Corp. 4.750% 4/1/21 24,260 25,534
  Lennar Corp. 4.125% 1/15/22 35,495 36,249
  Lennar Corp. 4.875% 12/15/23 19,825 20,519
  Lennar Corp. 4.500% 4/30/24 72,365 73,089
  Neiman Marcus Group Inc. 7.125% 6/1/28 64,195 50,233
  Penske Automotive Group Inc. 5.750% 10/1/22 12,930 13,383
  Penske Automotive Group Inc. 5.375% 12/1/24 27,070 27,138
  PulteGroup Inc. 5.000% 1/15/27 3,830 3,883
  Service Corp. International 5.375% 1/15/22 27,630 28,493
5 ServiceMaster Co. LLC 5.125% 11/15/24 59,355 61,136
5 Shea Homes LP / Shea Homes Funding Corp. 5.875% 4/1/23 14,550 14,732
5 Shea Homes LP / Shea Homes Funding Corp. 6.125% 4/1/25 14,550 14,786
  Toll Brothers Finance Corp. 4.875% 11/15/25 9,595 9,907
  Toll Brothers Finance Corp. 4.875% 3/15/27 52,095 52,942
  William Lyon Homes Inc. 7.000% 8/15/22 15,000 15,694
5 William Lyon Homes Inc. 5.875% 1/31/25 39,300 40,479
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.375% 3/15/22 138,480 142,461
5 ZF North America Capital Inc. 4.500% 4/29/22 15,355 16,123
5 ZF North America Capital Inc. 4.750% 4/29/25 61,220 63,592
 
  Consumer Noncyclical (12.1%)        
  Alere Inc. 6.500% 6/15/20 15,925 16,303
5 Alere Inc. 6.375% 7/1/23 37,345 40,659
  Aramark Services Inc. 5.125% 1/15/24 32,435 34,219
5 Aramark Services Inc. 5.000% 4/1/25 48,595 50,660
  Aramark Services Inc. 4.750% 6/1/26 19,420 19,784
5 Capsugel SA 7.000% 5/15/19 36,070 36,070
5 Change Healthcare Holdings LLC / Change        
  Healthcare Finance Inc. 5.750% 3/1/25 44,300 45,463
  CHS/Community Health Systems Inc. 7.125% 7/15/20 33,665 30,214
  CHS/Community Health Systems Inc. 5.125% 8/1/21 15,235 15,140
  CHS/Community Health Systems Inc. 6.875% 2/1/22 173,590 143,646
  CHS/Community Health Systems Inc. 6.250% 3/31/23 85,015 86,609
3,5 Endo Finance LLC / Endo Finco Inc. 6.000% 2/1/25 79,855 67,677
5 Endo Finance LLC / Endo Ltd. / Endo Finco        
  Inc. 6.000% 7/15/23 106,343 93,183
5 Envision Healthcare Corp. 5.125% 7/1/22 86,215 87,508
  Envision Healthcare Corp. 5.625% 7/15/22 81,010 83,440
  HCA Holdings Inc. 6.250% 2/15/21 27,980 30,358
  HCA Inc. 6.500% 2/15/20 127,050 139,438
  HCA Inc. 5.875% 3/15/22 60,405 66,974
  HCA Inc. 4.750% 5/1/23 72,500 76,125
  HCA Inc. 5.875% 5/1/23 10,000 10,875
  HCA Inc. 5.375% 2/1/25 19,375 20,174
  HCA Inc. 5.250% 4/15/25 45,000 48,375
  HCA Inc. 7.690% 6/15/25 4,510 5,142
  HCA Inc. 5.875% 2/15/26 64,000 68,160
  HCA Inc. 5.250% 6/15/26 31,895 34,008
5 inVentiv Group Holdings Inc/inVentiv Health        
  Inc/inVentiv Health Clinical Inc. 7.500% 10/1/24 26,960 27,836
5 Kinetic Concepts Inc / KCI USA Inc. 7.875% 2/15/21 52,240 55,766
5 Lamb Weston Holdings Inc. 4.625% 11/1/24 34,870 36,003
5 Lamb Weston Holdings Inc. 4.875% 11/1/26 34,870 35,960
3,7 Lands' End, Inc. Bank Loan 4.250% 3/12/21 85,207 69,444
5 LifePoint Health Inc. 5.375% 5/1/24 38,423 38,807

 

 

  LifePoint Hospitals Inc. 5.500% 12/1/21 42,661 44,208
5 MEDNAX Inc. 5.250% 12/1/23 19,125 19,675
5 MPH Acquisition Holdings LLC 7.125% 6/1/24 53,485 57,496
5 Post Holdings Inc. 5.500% 3/1/25 27,480 28,717
5 Post Holdings Inc. 5.000% 8/15/26 98,605 98,112
5 Post Holdings Inc. 5.750% 3/1/27 22,901 23,760
5 Quintiles IMS Inc. 5.000% 10/15/26 38,285 39,242
5 Quintiles Transnational Holdings Inc. 4.875% 5/15/23 24,350 25,081
  Revlon Consumer Products Corp. 5.750% 2/15/21 19,165 19,045
  Revlon Consumer Products Corp. 6.250% 8/1/24 63,110 61,217
3,7 Revlon Consumer Products Corp. Bank Loan 4.493% 9/7/23 5,921 5,931
3,7 Revlon Consumer Products Corp. Bank Loan 4.493% 9/7/23 20,124 20,159
3,7 Revlon Consumer Products Corp. Bank Loan 4.493% 9/7/23 466 467
5 Sterigenics-Nordion Holdings LLC 6.500% 5/15/23 62,435 64,152
5 Sterigenics-Nordion Topco LLC 8.125% 11/1/21 20,000 20,600
  Tenet Healthcare Corp. 5.000% 3/1/19 43,950 44,060
  Tenet Healthcare Corp. 5.500% 3/1/19 24,215 24,457
  Tenet Healthcare Corp. 4.750% 6/1/20 16,875 17,128
  Tenet Healthcare Corp. 4.500% 4/1/21 42,147 42,200
  Tenet Healthcare Corp. 4.375% 10/1/21 106,480 106,347
5 Tenet Healthcare Corp. 7.500% 1/1/22 14,505 15,520
  Tenet Healthcare Corp. 8.125% 4/1/22 87,825 89,142
  THC Escrow Corp. II 6.750% 6/15/23 18,850 18,002
5 Valeant Pharmaceuticals International 6.375% 10/15/20 51,850 44,591
5 Valeant Pharmaceuticals International Inc. 5.375% 3/15/20 82,205 70,285
5 Valeant Pharmaceuticals International Inc. 6.500% 3/15/22 21,490 22,001
5 Valeant Pharmaceuticals International Inc. 7.000% 3/15/24 48,315 49,281
5 Vizient Inc. 10.375% 3/1/24 40,607 46,495
5 VRX Escrow Corp. 6.125% 4/15/25 73,000 53,838
 
  Energy (11.9%)        
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 5.625% 5/20/24 46,910 47,731
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 5.875% 8/20/26 46,910 47,731
  AmeriGas Partners LP / AmeriGas Finance        
  Corp. 5.500% 5/20/25 20,635 20,841
  AmeriGas Partners LP / AmeriGas Finance        
  Corp. 5.750% 5/20/27 59,170 59,318
  Anadarko Petroleum Corp. 5.550% 3/15/26 4,780 5,334
  Anadarko Petroleum Corp. 6.200% 3/15/40 24,145 27,731
  Anadarko Petroleum Corp. 6.600% 3/15/46 7,915 9,736
  Antero Resources Corp. 5.125% 12/1/22 48,330 49,055
  Concho Resources Inc. 5.500% 10/1/22 85,170 88,151
  Concho Resources Inc. 5.500% 4/1/23 37,775 39,144
  Continental Resources Inc. 5.000% 9/15/22 110,959 112,069
  Continental Resources Inc. 4.500% 4/15/23 75,805 74,668
  Continental Resources Inc. 3.800% 6/1/24 16,770 15,764
  Continental Resources Inc. 4.900% 6/1/44 23,196 20,065
5 DCP Midstream LLC 9.750% 3/15/19 15,000 16,969
5 DCP Midstream LLC 5.350% 3/15/20 11,125 11,598
  DCP Midstream Operating LP 2.700% 4/1/19 19,675 19,552
  DCP Midstream Operating LP 4.950% 4/1/22 45,799 46,715
  DCP Midstream Operating LP 3.875% 3/15/23 16,405 15,892
  DCP Midstream Operating LP 5.600% 4/1/44 26,895 25,550
5 Diamondback Energy Inc. 4.750% 11/1/24 5,895 5,924
5 Diamondback Energy Inc. 5.375% 5/31/25 47,860 49,535
  Energy Transfer Equity LP 7.500% 10/15/20 76,385 86,124

 

 

Energy Transfer Equity LP 5.875% 1/15/24 35,032 37,835
Energy Transfer Equity LP 5.500% 6/1/27 78,795 84,508
Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 76,526 74,230
Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 1/15/22 7,930 7,672
Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 6/15/23 12,874 12,423
Kerr-McGee Corp. 6.950% 7/1/24 32,686 38,829
Kinder Morgan Inc. 7.750% 1/15/32 26,290 33,483
Laredo Petroleum Inc. 5.625% 1/15/22 53,297 53,497
Laredo Petroleum Inc. 7.375% 5/1/22 17,860 18,552
Laredo Petroleum Inc. 6.250% 3/15/23 70,158 71,035
Marathon Oil Corp. 3.850% 6/1/25 39,540 39,194
Marathon Oil Corp. 6.800% 3/15/32 8,295 9,581
Marathon Oil Corp. 6.600% 10/1/37 9,850 11,278
Marathon Oil Corp. 5.200% 6/1/45 13,170 13,186
5 Matador Resources Co. 6.875% 4/15/23 36,100 37,995
Matador Resources Co. 6.875% 4/15/23 56,150 59,098
5 MEG Energy Corp. 6.375% 1/30/23 30,650 26,972
5 MEG Energy Corp. 7.000% 3/31/24 47,348 42,258
5 MEG Energy Corp. 6.500% 1/15/25 87,700 86,604
MPLX LP 4.875% 12/1/24 43,935 46,901
MPLX LP 4.875% 6/1/25 87,120 92,456
Newfield Exploration Co. 5.750% 1/30/22 10,890 11,543
Newfield Exploration Co. 5.625% 7/1/24 13,045 13,779
5 Parsley Energy LLC / Parsley Finance Corp. 5.375% 1/15/25 27,355 27,697
QEP Resources Inc. 6.800% 3/1/20 7,370 7,692
QEP Resources Inc. 6.875% 3/1/21 30,605 32,403
QEP Resources Inc. 5.375% 10/1/22 17,620 17,444
QEP Resources Inc. 5.250% 5/1/23 19,790 19,444
Rice Energy Inc. 7.250% 5/1/23 31,365 33,874
5 RSP Permian Inc. 5.250% 1/15/25 19,965 20,215
5 Sabine Pass Liquefaction LLC 5.875% 6/30/26 41,960 46,680
SM Energy Co. 6.500% 11/15/21 3,485 3,563
SM Energy Co. 6.125% 11/15/22 30,015 30,465
SM Energy Co. 6.500% 1/1/23 2,525 2,563
SM Energy Co. 5.000% 1/15/24 69,110 65,136
SM Energy Co. 5.625% 6/1/25 36,020 34,489
SM Energy Co. 6.750% 9/15/26 10,075 10,151
5 Southern Star Central Corp. 5.125% 7/15/22 14,790 14,938
Tesoro Corp. 5.125% 4/1/24 31,790 33,380
5 Tesoro Corp. 5.125% 12/15/26 22,340 23,764
Tesoro Logistics LP / Tesoro Logistics        
Finance Corp. 5.500% 10/15/19 5,220 5,533
Tesoro Logistics LP / Tesoro Logistics        
Finance Corp. 6.250% 10/15/22 35,901 38,504
Tesoro Logistics LP / Tesoro Logistics        
Finance Corp. 6.375% 5/1/24 39,510 43,165
Tesoro Logistics LP / Tesoro Logistics        
Finance Corp. 5.250% 1/15/25 51,601 54,762
Weatherford International Ltd. 7.000% 3/15/38 8,390 8,012
Weatherford International Ltd. 6.750% 9/15/40 41,357 38,979
Williams Cos. Inc. 7.875% 9/1/21 17,225 20,153
Williams Cos. Inc. 3.700% 1/15/23 41,055 40,591
Williams Cos. Inc. 4.550% 6/24/24 23,050 23,738
Williams Cos. Inc. 5.750% 6/24/44 26,490 27,417
WPX Energy Inc. 6.000% 1/15/22 91,165 92,305
WPX Energy Inc. 5.250% 9/15/24 102,100 100,058

 

 

  Technology (6.7%)        
  Alcatel-Lucent USA Inc. 6.500% 1/15/28 56,315 62,228
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 85,245 95,474
5 Camelot Finance SA 7.875% 10/15/24 46,135 48,961
  CDW LLC / CDW Finance Corp. 5.000% 9/1/23 23,480 24,155
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 15,155 16,140
  CDW LLC / CDW Finance Corp. 5.000% 9/1/25 26,405 27,065
  Equinix Inc. 5.375% 4/1/23 20,864 21,751
  Equinix Inc. 5.375% 5/15/27 28,005 29,195
5 First Data Corp. 5.375% 8/15/23 73,250 76,180
5 First Data Corp. 7.000% 12/1/23 181,545 194,253
5 First Data Corp. 5.000% 1/15/24 48,800 49,898
5 First Data Corp. 5.750% 1/15/24 131,820 136,434
  Infor US Inc. 6.500% 5/15/22 97,200 101,088
5,8 Iron Mountain Europe plc 6.125% 9/15/22 24,430 33,491
  Iron Mountain Inc. 5.750% 8/15/24 22,675 23,355
5 MSCI Inc. 5.250% 11/15/24 12,975 13,721
5 MSCI Inc. 5.750% 8/15/25 51,525 55,776
5 MSCI Inc. 4.750% 8/1/26 18,330 18,811
  NCR Corp. 4.625% 2/15/21 72,024 73,825
  NCR Corp. 5.875% 12/15/21 4,855 5,086
  NCR Corp. 5.000% 7/15/22 20,000 20,500
  NCR Corp. 6.375% 12/15/23 15,145 16,205
  Nokia Oyj 6.625% 5/15/39 77,385 83,189
5 Open Text Corp. 5.625% 1/15/23 34,150 35,943
5 Open Text Corp. 5.875% 6/1/26 46,495 49,633
5 Sensata Technologies BV 5.625% 11/1/24 19,290 20,447
5 Sensata Technologies BV 5.000% 10/1/25 52,315 53,492
5 Sensata Technologies UK Financing Co. plc 6.250% 2/15/26 49,705 53,744
  SS&C Technologies Holdings Inc. 5.875% 7/15/23 29,280 31,110
5 Symantec Corp. 5.000% 4/15/25 66,150 68,309
 
  Transportation (1.7%)        
5 Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. 5.125% 6/1/22 77,088 75,161
  Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. 5.500% 4/1/23 59,036 58,077
5 Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. 6.375% 4/1/24 19,125 19,029
4 Continental Airlines 2007-1 Class B Pass        
  Through Trust 6.903% 4/19/22 8,473 8,801
  Hertz Corp. 4.250% 4/1/18 12,745 12,840
  Hertz Corp. 6.750% 4/15/19 29,565 29,491
  Hertz Corp. 5.875% 10/15/20 42,430 39,460
  Hertz Corp. 7.375% 1/15/21 60,490 58,222
5 Hertz Corp. 5.500% 10/15/24 99,730 85,518
          18,528,611
Utilities (2.5%)        
  Electric (2.5%)        
  AES Corp. 8.000% 6/1/20 16,816 19,422
  AES Corp. 4.875% 5/15/23 25,000 25,188
  AES Corp. 5.500% 3/15/24 119,951 123,250
5 Calpine Corp. 6.000% 1/15/22 16,165 16,852
  Calpine Corp. 5.375% 1/15/23 34,775 34,166
5 Calpine Corp. 5.875% 1/15/24 9,230 9,692
  Calpine Corp. 5.750% 1/15/25 139,495 133,915
  GenOn Energy Inc. 7.875% 6/15/17 19,175 13,279

 

 

GenOn Energy Inc. 9.500% 10/15/18 54,525 33,805
GenOn Energy Inc. 9.875% 10/15/20 24,755 15,472
NRG Energy Inc. 7.875% 5/15/21 1,344 1,384
NRG Energy Inc. 6.250% 7/15/22 51,835 52,742
NRG Energy Inc. 6.625% 3/15/23 10,000 10,150
NRG Energy Inc. 6.250% 5/1/24 47,355 47,118
NRG Energy Inc. 7.250% 5/15/26 47,920 49,118
        585,553
Total Corporate Bonds (Cost $20,628,785)       21,244,458
      Shares  
Preferred Stocks (0.5%)        
GMAC Capital Trust I Pfd. (Cost $123,777) 6.691%   4,743,200 120,857
      Face  
      Amount  
      ($000)  
Temporary Cash Investments (3.3%)        
Repurchase Agreements (3.3%)        
Bank of America Securities, LLC        
(Dated 4/28/17, Repurchase Value        
$184,712,000, collateralized by        
Government National Mortgage Assn.        
3.000%, 11/20/46-2/20/47, with a value of        
$188,394,000) 0.790% 5/1/17 184,700 184,700
Bank of Montreal        
(Dated 4/28/17, Repurchase Value        
$338,822,000, collateralized by U.S.        
Treasury Note/Bond 1.000%-2.375%,        
7/31/17-5/31/23, with a value of        
$345,576,000) 0.790% 5/1/17 338,800 338,800
RBC Capital Markets LLC        
(Dated 4/28/17, Repurchase Value        
$148,310,000, collateralized by Federal        
Home Loan Mortgage Assn. 2.239%-        
4.000%, 1/1/32-4/1/47, Federal National        
Mortgage Assn. 1.750%-6.000%, 2/1/26-        
3/1/47, Government National Mortgage        
Assn. 3.500%-4.500%, 2/20/47-4/20/47,        
with a value of $151,266,000) 0.800% 5/1/17 148,300 148,300
TD Securities (USA) LLC        
(Dated 4/28/17, Repurchase Value        
$89,706,000, collateralized by Federal        
National Mortgage Assn. 3.000%-4.500%,        
12/1/28-3/1/47, U.S. Treasury Note/Bond        
0.750%-2.000%, 1/31/18-5/31/21, with a        
value of $91,494,000) 0.820% 5/1/17 89,700 89,700
Total Temporary Cash Investments (Cost $761,500)       761,500
Total Investments (99.1%) (Cost $22,200,518)       22,813,023
Other Assets and Liabilities-Net (0.9%)       212,121
Net Assets (100%)       23,025,144

1 Securities with a value of $19,952,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $899,000 have been segregated as collateral for open forward currency and open swap contracts.
3 Adjustable-rate security.
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 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 April 30, 2017, the aggregate
value of these securities was $8,235,135,000, representing 35.8% of net assets.
6 Face amount denominated in euro.
7 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 April 30,
2017, the aggregate value of these securities was $396,047,000, representing 1.7% of net assets.
8 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. 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 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. 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. 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, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. 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 April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 686,208 —
Corporate Bonds — 21,244,458 —
Preferred Stocks — 120,857 —
Temporary Cash Investments — 761,500 —
Forward Currency Contracts—Liabilities — (2,933) —
Swap Contracts—Assets1 194 — —
Total 194 22,810,090 —
1 Represents variation margin on the last day of the reporting period.      

 

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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 April 30, 2017, 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 ordinary income for tax purposes.

 

    Contract Amount (000) Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Citibank, N.A. 5/31/17 USD 180,518 EUR 167,760 (2,520)
UBS AG 5/31/17 USD 32,015 GBP 25,014 (413)
            (2,933)
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 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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that

 

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

The fund enters into centrally cleared 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 April 30, 2017, the fund had the following open credit default swap contracts:

Centrally Cleared Credit Default Swaps

        Periodic  
        Premium Unrealized
      Notional Received Appreciation
  Termination   Amount (Paid) (Depreciation)
Reference Entity Date Clearinghouse ($000) (%) ($000)
Credit Protection Sold          
 
CDX-HY-S28-V1-5Y 6/20/22 ICE 387,500 5.000 1,782
Total          
ICE-Intercontinental Exchange.        

 

G. At April 30, 2017, the cost of investment securities for tax purposes was $22,200,518,000. Net unrealized appreciation of investment securities for tax purposes was $612,505,000, consisting of unrealized gains of $890,184,000 on securities that had risen in value since their purchase and $277,679,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (10.6%)        
U.S. Government Securities (10.6%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 554,961 560,266
1 United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 20,160 21,161
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 34,000 34,017
  United States Treasury Note/Bond 0.875% 4/15/19 50,000 49,625
2 United States Treasury Note/Bond 1.625% 4/30/19 163,200 164,347
  United States Treasury Note/Bond 0.875% 5/15/19 50,000 49,594
  United States Treasury Note/Bond 1.500% 5/31/19 54,000 54,245
  United States Treasury Note/Bond 0.875% 7/31/19 104,000 103,009
  United States Treasury Note/Bond 3.625% 8/15/19 10,698 11,253
1 United States Treasury Note/Bond 1.250% 10/31/21 330,000 322,677
  United States Treasury Note/Bond 1.625% 8/15/22 13,000 12,829
  United States Treasury Note/Bond 1.750% 9/30/22 13,000 12,899
  United States Treasury Note/Bond 1.625% 11/15/22 160,100 157,623
  United States Treasury Note/Bond 1.500% 2/28/23 300,000 292,266
  United States Treasury Note/Bond 1.500% 3/31/23 300,000 291,936
  United States Treasury Note/Bond 1.750% 5/15/23 300,000 295,686
  United States Treasury Note/Bond 1.625% 5/31/23 150,000 146,718
  United States Treasury Note/Bond 1.375% 6/30/23 38,000 36,587
  United States Treasury Note/Bond 2.250% 11/15/25 100,000 100,047
3 United States Treasury Note/Bond 1.625% 2/15/26 161,000 152,874
  United States Treasury Note/Bond 1.500% 8/15/26 2,015 1,885
          2,871,544
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5,6Freddie Mac Non Gold Pool 2.865% 8/1/32 297 306
4,5,6Freddie Mac Non Gold Pool 3.143% 9/1/32 147 151
          457
Total U.S. Government and Agency Obligations (Cost $2,916,653)     2,872,001
Asset-Backed/Commercial Mortgage-Backed Securities (13.9%)      
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 4,300 4,303
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 1,545 1,554
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 2,040 2,041
4 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 10,380 10,389
4,6 American Express Credit Account Secured        
  Note Trust 2012-4 1.544% 5/15/20 7,000 7,009
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 4,023 4,183
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 1,060 1,110
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 6,788 7,012
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 5,291 5,392
4,7 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 2,850 2,972
4,7 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 1,070 1,122
4,7 Americold 2010 LLC Trust Series 2010-        
  ARTA 4.954% 1/14/29 6,402 6,933
4,7 Americold 2010 LLC Trust Series 2010-        
  ARTA 6.811% 1/14/29 3,540 3,976

 

 

4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 30 30
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 696 696
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 996 999
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 2,500 2,518
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 1,195 1,199
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 2,230 2,255
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 1,470 1,475
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 1,655 1,672
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 1,000 1,004
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 500 502
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 9,850 9,856
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 2,560 2,565
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 4,400 4,450
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 3,200 3,252
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 6,970 6,984
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 4,190 4,231
4 AmeriCredit Automobile Receivables Trust        
  2016-1 3.590% 2/8/22 2,980 3,040
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 6,460 6,459
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 2,040 2,048
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 1,960 1,978
4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 3,280 3,355
4 AmeriCredit Automobile Receivables Trust        
  2016-3 2.710% 9/8/22 3,390 3,371
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 7,205 7,166
4,7 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 1,330 1,357
4,7 Applebee's Funding LLC/IHOP Funding LLC 4.277% 9/5/44 1,260 1,242
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 830 821
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 6,553 6,379
4,7 Aventura Mall Trust 2013-AVM 3.867% 12/5/32 1,482 1,561
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2013-1A 1.920% 9/20/19 5,480 5,473
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2013-2A 2.970% 2/20/20 10,300 10,452
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2015-1A 2.500% 7/20/21 14,310 14,287

 

 

4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2015-2A 2.630% 12/20/21 15,725 15,739
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2016-1A 2.990% 6/20/22 10,560 10,739
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2016-2A 2.720% 11/20/22 8,380 8,272
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2017-1A 3.070% 9/20/23 14,730 14,820
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,975 5,051
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.403% 2/10/51 5,220 5,308
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.447% 2/10/51 16,359 16,552
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 1,806 1,881
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.512% 9/15/48 360 370
4 BANK 2017 - BNK4 3.625% 5/15/50 10,550 10,955
4,6,7Bank of America Student Loan Trust 2010-        
  1A 1.956% 2/25/43 5,866 5,828
7 Bank of Nova Scotia 1.875% 9/20/21 8,390 8,252
4,7 Bank of The West Auto Trust 2014-1 1.650% 3/16/20 9,400 9,410
4 Barclays Dryrock Issuance Trust 2014-3 2.410% 7/15/22 15,800 16,010
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 5,209 5,245
4,6,7BMW Floorplan Master Owner Trust 2015-1A 1.494% 7/15/20 23,160 23,192
4,6 Brazos Higher Education Authority Inc.        
  Series 2005-3 1.353% 6/25/26 5,302 5,215
4,6 Brazos Higher Education Authority Inc.        
  Series 2011-1 1.852% 2/25/30 8,463 8,416
4,6 Cabela's Credit Card Master Note Trust        
  2015-2 1.664% 7/17/23 8,920 8,996
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 1,375 1,375
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 2,100 2,049
4,7 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 5,910 5,979
4 California Republic Auto Receivables Trust        
  2016-1 3.430% 2/15/22 8,000 8,112
4 California Republic Auto Receivables Trust        
  2016-1 4.560% 12/15/22 8,320 8,600
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 10,580 10,565
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 2,430 2,425
4 California Republic Auto Receivables Trust        
  2016-2 2.520% 5/16/22 1,120 1,100
4 California Republic Auto Receivables Trust        
  2016-2 3.510% 3/15/23 540 541
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 6,485 6,533
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 2,128 2,130
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 3,045 3,054
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 1,775 1,789
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 627 627
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 650 651
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 1,000 1,006
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 800 809
4 Capital Auto Receivables Asset Trust 2014-3 3.940% 4/20/23 2,410 2,466

 

 

4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 8,550 8,576
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 7,900 7,946
4 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 2,430 2,449
4 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 2,700 2,746
4 Capital Auto Receivables Asset Trust 2016-2 3.160% 11/20/23 360 363
4 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 3,820 3,815
4 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 1,630 1,621
4 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 900 898
4 Capital One Multi-Asset Execution Trust        
  2015-A4 2.750% 5/15/25 12,445 12,731
4,6,7CARDS II Trust 2016-1A 1.694% 7/15/21 20,745 20,810
4 CarMax Auto Owner Trust 2013-3 2.850% 2/18/20 1,785 1,789
4 CarMax Auto Owner Trust 2014-1 1.690% 8/15/19 520 520
4 CarMax Auto Owner Trust 2014-1 1.930% 11/15/19 970 973
4 CarMax Auto Owner Trust 2014-4 1.810% 7/15/20 3,850 3,854
4 CarMax Auto Owner Trust 2015-2 3.040% 11/15/21 2,010 2,014
4 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 1,945 1,951
4 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 2,795 2,819
4 CarMax Auto Owner Trust 2016-2 2.160% 12/15/21 1,930 1,923
4 CarMax Auto Owner Trust 2016-2 3.250% 11/15/22 2,160 2,187
4 CarMax Auto Owner Trust 2016-3 2.200% 6/15/22 1,930 1,913
4 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 1,360 1,352
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 17,440 16,866
4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 11,570 11,988
4 CD 2017-CD4 Commercial Mortgage Trust 3.000% 5/10/50 5,480 5,644
4,7 CFCRE Commercial Mortgage Trust 2011-        
  C2 5.945% 12/15/47 5,260 5,940
4 CFCRE Commercial Mortgage Trust 2016-        
  C4 3.283% 5/10/58 4,826 4,856
4,7 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 38,950 38,823
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 1.830% 3/15/19 915 916
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 1,100 1,103
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 1,190 1,196
4,7 Chrysler Capital Auto Receivables Trust        
  2014-AA 2.280% 11/15/19 2,150 2,158
4,7 Chrysler Capital Auto Receivables Trust        
  2014-BA 3.440% 8/16/21 290 293
4,7 Chrysler Capital Auto Receivables Trust        
  2015-BA 2.260% 10/15/20 7,575 7,608
4,7 Chrysler Capital Auto Receivables Trust        
  2015-BA 2.700% 12/15/20 2,315 2,338
4,7 Chrysler Capital Auto Receivables Trust        
  2015-BA 3.260% 4/15/21 3,600 3,658
4,7 Chrysler Capital Auto Receivables Trust        
  2015-BA 4.170% 1/16/23 5,510 5,685
4,7 Chrysler Capital Auto Receivables Trust        
  2016-AA 2.880% 2/15/22 2,370 2,401
4,7 Chrysler Capital Auto Receivables Trust        
  2016-AA 4.220% 2/15/23 8,530 8,720
4,7 Chrysler Capital Auto Receivables Trust        
  2016-BA 1.640% 7/15/21 5,380 5,371
4,7 Chrysler Capital Auto Receivables Trust        
  2016-BA 1.870% 2/15/22 4,680 4,620
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 6,633 6,785

 

 

4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,017 2,115
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,015 6,140
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 2,247 2,282
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 878 920
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.371% 9/10/46 1,910 2,078
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 3.753% 3/10/47 885 929
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 15,383 16,383
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 27,838 29,000
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 9,060 9,552
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 8,949 9,307
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 2,020 2,089
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 800 844
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.613% 7/10/47 1,250 1,284
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 4,729 4,854
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 12,763 13,268
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.345% 10/10/47 2,170 2,270
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.683% 10/10/47 3,270 3,291
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 940 959
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 6,418 6,448
4 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 9,250 9,672
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 4,597 4,807
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.723% 9/10/58 900 879
4 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.209% 5/10/49 4,876 4,886
4 Citigroup Commercial Mortgage Trust 2016-        
  P4 2.902% 7/10/49 17,560 17,189
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 5,098 5,068
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 3,398 3,312
4,6,7Colony American Homes 2014-1A 2.144% 5/17/31 2,470 2,470
4,6,7Colony American Homes 2014-1A 2.344% 5/17/31 1,960 1,959
4,6,7Colony American Homes 2014-2 2.344% 7/17/31 700 697
4,6,7Colony American Homes 2015-1 2.494% 7/17/32 440 440
4,6,7Colony American Homes 2015-1A 2.194% 7/17/32 3,845 3,847
4,6,7Colony Starwood Homes 2016-1A Trust 2.494% 7/17/33 6,731 6,754

 

 

4,6,7Colony Starwood Homes 2016-1A Trust 3.144% 7/17/33 2,970 2,985
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,971 3,057
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900 4,088
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 6,778 6,855
4,7 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 6,160 6,335
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,899 6,957
4 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 420 426
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,919 2,931
4,7 COMM 2013-300P Mortgage Trust 4.353% 8/10/30 12,270 13,361
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 1,633 1,659
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 800 845
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 4,876 5,191
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 4,757 5,133
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,737 1,824
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 5,860 6,157
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 13,048 13,928
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 15,127 16,288
4 COMM 2013-CCRE13 Mortgage Trust 4.906% 12/10/23 855 943
4 COMM 2013-CCRE13 Mortgage Trust 4.906% 12/10/23 1,560 1,639
4,7 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 9,240 9,303
4,7 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 1,400 1,406
4 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 1,020 1,052
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 8,030 8,380
4 COMM 2013-CCRE9 Mortgage Trust 4.373% 7/10/45 11,658 12,610
4,7 COMM 2013-CCRE9 Mortgage Trust 4.397% 7/10/45 2,780 2,885
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 2,106 2,131
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 1,308 1,381
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 585 630
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,883 3,928
4,7 COMM 2013-SFS Mortgage Trust 3.086% 4/12/35 6,702 6,783
4,7 COMM 2014-277P Mortgage Trust 3.732% 8/10/49 18,320 19,128
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 1,695 1,787
4 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 500 534
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 4,432 4,770
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 1,650 1,673
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 4,350 4,643
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 1,300 1,396
4 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 1,010 1,059
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 6,335 6,723
4 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 1,290 1,366
4 COMM 2014-CCRE17 Mortgage Trust 4.895% 5/10/47 4,400 4,496
4 COMM 2014-CCRE18 Mortgage Trust 3.452% 7/15/47 1,600 1,669
4 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 4,500 4,696
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 10,820 11,381
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 5,200 5,311
4 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 15,433 16,018
4 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 19,732 20,373
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 2,438 2,573
4 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 21,103 21,422
4 COMM 2015-CCRE24 Mortgage Trust 3.445% 8/10/48 2,150 2,250
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 4,220 4,396
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 3,539 3,698
4 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 7,240 7,498
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 3,748 3,879
4 COMM 2015-CCRE27 Mortgage Trust 4.621% 10/10/48 1,760 1,783
4 COMM 2015-LC19 Mortgage Trust 3.040% 2/10/48 470 483
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 13,303 13,466
7 Commonwealth Bank of Australia 2.000% 6/18/19 4,300 4,306

 

 

7 Commonwealth Bank of Australia 2.125% 7/22/20 6,505 6,528
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 5,580 5,721
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.507% 2/15/41 3,054 3,114
4 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 4,003 4,113
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 6,650 6,811
4 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 6,150 6,391
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.505% 8/15/48 2,160 2,173
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 9,746 10,186
4 CSAIL 2016-C5 Commercial Mortgage Trust 4.688% 11/15/48 3,620 3,779
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 6,280 6,374
4,7 DB Master Finance LLC 2015-1A 3.262% 2/20/45 4,219 4,242
4 DBJPM 16-C1 Mortgage Trust 3.505% 5/10/49 1,250 1,185
7 DNB Boligkreditt AS 1.450% 3/21/18 3,300 3,287
4,7 Drive Auto Receivables Trust 2015-AA 3.060% 5/17/21 2,643 2,659
4,7 Drive Auto Receivables Trust 2015-AA 4.120% 7/15/22 2,000 2,034
4,7 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 5,553 5,579
4,7 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 3,600 3,665
4,7 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 7,670 7,716
4,7 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 5,630 5,727
4,7 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 3,731 3,737
4,7 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 9,050 9,158
4,7 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 9,250 9,551
4,7 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 3,780 3,848
4,7 Drive Auto Receivables Trust 2016-BA 1.670% 7/15/19 3,653 3,655
4,7 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 4,750 4,772
4,7 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 8,050 8,153
4,7 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 11,330 11,628
4,7 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 12,120 12,128
4,7 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 9,500 9,513
4,7 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 10,540 10,747
4,6,7Edsouth Indenture No 9 LLC 2015-1 1.791% 10/25/56 8,017 7,945
4,7 Enterprise Fleet Financing LLC Series 2015-        
  1 1.740% 9/20/20 17,660 17,573
4,7 Enterprise Fleet Financing LLC Series 2015-        
  2 2.090% 2/22/21 7,190 7,186
4,7 Enterprise Fleet Financing LLC Series 2016-        
  1 2.080% 9/20/21 18,140 18,082
4,7 Enterprise Fleet Financing LLC Series 2016-        
  2 2.040% 2/22/22 2,750 2,736
4,6,7Evergreen Credit Card Trust Series 2016-3 1.494% 11/16/20 11,910 11,952
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C03 2.491% 7/25/25 894 895
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.591% 4/25/28 1,875 1,879
4,5,6Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.691% 4/25/28 1,110 1,113
4,5,6Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.441% 1/25/29 2,124 2,144
4,5,6Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.341% 1/25/29 1,405 1,412
4,5 Fannie Mae Grantor Trust 2017-T1 2.898% 6/25/27 10,270 10,188
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K054 2.745% 1/25/26 5,510 5,494
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K056 2.525% 5/25/26 2,250 2,200
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K057 2.570% 7/25/26 2,000 1,961

 

 

4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K061 3.347% 11/25/26 9,430 9,813
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K062 3.413% 12/25/26 8,950 9,355
4,7 Flagship Credit Auto Trust 2016-4 1.960% 2/16/21 6,360 6,343
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 5,560 5,577
4 Ford Credit Auto Lease Trust 2016-A 1.850% 7/15/19 17,030 17,085
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 2,890 2,894
4,7 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 17,458 17,628
4,7 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 2,900 2,912
4,7 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 10,300 10,398
4,7 Ford Credit Auto Owner Trust 2014-REV2 2.510% 4/15/26 2,160 2,178
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 4,670 4,674
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 2,085 2,093
4,7 Ford Credit Auto Owner Trust 2015-REV2 2.440% 1/15/27 26,000 26,318
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 2,430 2,411
4,7 Ford Credit Auto Owner Trust 2016-REV1 2.310% 8/15/27 13,820 13,869
4,7 Ford Credit Auto Owner Trust 2016-REV2 2.030% 12/15/27 20,230 20,032
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 1,600 1,601
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 1,900 1,903
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 670 672
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 720 722
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 290 291
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 900 905
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 14,795 14,797
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 8,480 8,575
4,6 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-1 1.894% 2/15/21 9,790 9,886
4,6 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.524% 7/15/20 14,110 14,146
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.241% 10/25/28 903 905
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.191% 10/25/28 1,130 1,153
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.091% 12/25/28 1,859 1,864
4,5,6Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.991% 12/25/28 2,760 2,821
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 537 526
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 6,032 5,926
4,6 GE Dealer Floorplan Master Note Trust        
  Series 2015-2 1.643% 1/20/22 19,025 19,108
4,7 GM Financial Automobile Leasing Trust        
  2014-2A 1.620% 2/20/18 4,239 4,240
4 GM Financial Automobile Leasing Trust        
  2015-1 1.730% 6/20/19 1,650 1,654
4 GM Financial Automobile Leasing Trust        
  2015-2 2.420% 7/22/19 2,600 2,607
4 GM Financial Automobile Leasing Trust        
  2015-2 2.990% 7/22/19 2,320 2,336

 

 

4 GM Financial Automobile Leasing Trust        
  2015-3 1.690% 3/20/19 9,050 9,061
4 GM Financial Automobile Leasing Trust        
  2015-3 2.320% 11/20/19 1,310 1,311
4 GM Financial Automobile Leasing Trust        
  2015-3 2.980% 11/20/19 2,870 2,891
4 GM Financial Automobile Leasing Trust        
  2015-3 3.480% 8/20/20 2,870 2,916
4 GM Financial Automobile Leasing Trust        
  2016-1 1.790% 3/20/20 17,520 17,450
4 GM Financial Automobile Leasing Trust        
  2016-2 2.580% 3/20/20 1,920 1,917
4,7 GMF Floorplan Owner Revolving Trust 2015-        
  1 1.650% 5/15/20 12,000 11,993
4,7 GMF Floorplan Owner Revolving Trust 2015-        
  1 1.970% 5/15/20 3,770 3,761
4,6,7GMF Floorplan Owner Revolving Trust 2016-        
  1 1.844% 5/17/21 20,000 20,172
4,7 GMF Floorplan Owner Revolving Trust 2016-        
  1 2.410% 5/17/21 5,290 5,311
4,7 GMF Floorplan Owner Revolving Trust 2016-        
  1 2.850% 5/17/21 3,900 3,895
4,6,7Golden Credit Card Trust 2015-1A 1.434% 2/15/20 35,000 35,025
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 13,530 13,559
4,7 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 19,580 19,432
4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 1,000 1,039
4,7 GreatAmerica Leasing Receivables Funding        
  LLC Series 2015-1 2.020% 6/21/21 1,680 1,684
4,7 GreatAmerica Leasing Receivables Funding        
  LLC Series 2016-1 1.990% 4/20/22 10,580 10,548
4,7 GS Mortgage Securities Corporation II 2012-        
  BWTR 2.954% 11/5/34 7,625 7,743
4 GS Mortgage Securities Corporation II 2015-        
  GC30 3.382% 5/10/50 4,788 4,878
4,7 GS Mortgage Securities Corporation Trust        
  2012-ALOHA 3.551% 4/10/34 5,430 5,704
4,7 GS Mortgage Securities Trust 2010-C2 5.356% 12/10/43 1,370 1,511
4,7 GS Mortgage Securities Trust 2011-GC3 5.820% 3/10/44 2,650 2,888
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,129
4 GS Mortgage Securities Trust 2012-GCJ7 5.889% 5/10/45 2,140 2,307
4 GS Mortgage Securities Trust 2013-GC13 4.168% 7/10/46 185 200
4,7 GS Mortgage Securities Trust 2013-GC13 4.201% 7/10/46 1,210 1,218
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 4,128 4,220
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 1,550 1,584
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 1,928 1,946
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 800 834
4 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 4,295 4,566
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 105 113
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 10,638 11,310
4 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 570 596
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 11,855 12,559
4 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 6,520 6,871
4 GS Mortgage Securities Trust 2014-GC24 4.641% 9/10/47 2,610 2,779
4 GS Mortgage Securities Trust 2014-GC24 4.662% 9/10/47 4,615 4,732
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 10,930 11,351
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 9,200 9,298
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 10,253 10,449
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 14,490 15,208

 

 

4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 7,100 7,257
4 GS Mortgage Securities Trust 2015-GC34 4.809% 10/10/48 2,610 2,665
7 GTP Acquisition Partners I LLC 3.482% 6/16/25 9,030 9,052
4,7 Hertz Vehicle Financing II LP 2015-1A 2.730% 3/25/21 11,150 11,120
4,7 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 9,400 9,318
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 16,350 16,305
4,7 Hertz Vehicle Financing LLC 2016-2A 2.950% 3/25/22 14,020 14,041
4,7 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 1,650 1,640
4,7 Hertz Vehicle Financing LLC 2016-4A 2.650% 7/25/22 8,970 8,773
4,7 Hilton USA Trust 2016-HHV 3.719% 11/5/38 7,560 7,774
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 4,000 3,991
4,7 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 4,750 4,881
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 7,250 7,259
4,7 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 7,130 7,147
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 1,200 1,204
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 2,350 2,363
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 1,900 1,914
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 1,700 1,703
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 1,150 1,155
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 2,200 2,203
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 1,400 1,404
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 3,290 3,312
6 Illinois Student Assistance Commission        
  Series 2010-1 2.206% 4/25/22 2,485 2,491
4,6,7Invitation Homes 2014-SFR1 Trust 2.494% 6/17/31 3,741 3,741
4,6,7Invitation Homes 2014-SFR2 Trust 2.094% 9/17/31 2,457 2,466
4,6,7Invitation Homes 2014-SFR2 Trust 2.594% 9/17/31 700 700
4,6,7Invitation Homes 2015-SFR2 Trust 2.344% 6/17/32 2,859 2,862
4,6,7Invitation Homes 2015-SFR2 Trust 2.644% 6/17/32 1,510 1,511
4,6,7Invitation Homes 2015-SFR3 Trust 2.744% 8/17/32 1,650 1,654
4,7 Irvine Core Office Trust 2013-IRV 3.279% 5/15/48 6,631 6,735
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 17,733 17,933
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 2,565 2,585
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 1,097 1,103
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 5,963 6,225
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 870 878
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 1,239 1,301
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.724% 11/15/43 2,730 2,868
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.724% 11/15/43 2,313 2,472
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 5,658 5,758
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 7,534 8,108
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 3,170 3,391
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.588% 8/15/46 4,000 4,464

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 4,078 4,254
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 4,948 5,000
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 22,630 23,067
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 1,350 1,431
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 6,113 6,289
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 4,670 4,707
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 323 344
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 4.188% 1/15/46 2,550 2,538
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 1,215 1,279
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 311 329
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 29,810 32,001
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.076% 12/15/46 2,135 2,309
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.140% 12/15/46 960 1,003
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 6,399 6,462
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2016-JP4 3.648% 12/15/49 9,670 10,045
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.363% 7/15/45 6,780 6,975
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 5,515 5,775
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.162% 7/15/45 5,000 5,260
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 1,572 1,657
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 6,118 6,548
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 756 768
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 400 421
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 1,750 1,883
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.214% 11/15/45 1,300 1,372
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 4,363 4,690
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 14,680 15,679
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 600 643
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.974% 2/15/47 2,500 2,694
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.974% 2/15/47 1,000 1,027

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C19 3.997% 4/15/47 2,910 3,092
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 680 711
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.493% 8/15/47 5,570 5,758
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 2,117 2,204
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.231% 1/15/48 13,220 13,358
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 5,120 5,275
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C27 3.179% 2/15/48 9,823 9,908
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.551% 7/15/48 4,640 4,773
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.559% 7/15/48 7,120 7,467
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.822% 7/15/48 8,840 9,265
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 7/15/48 2,245 2,372
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 1,520 1,590
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 3,783 3,904
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.562% 12/15/48 1,225 1,284
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 7,300 7,638
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP5 3.723% 3/15/50 11,590 12,101
4 LB-UBS Commercial Mortgage Trust 2007-        
  C7 5.866% 9/15/45 11,504 11,671
4,7 LCCM 2014-909 Mortgage Trust 3.388% 5/15/31 910 925
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 1,245 1,306
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 9,261 9,357
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 595 590
4,7 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 2,712 2,720
4,7 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 13,600 13,573
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 8,462 8,713
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 16,040 16,782
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 6,337 6,413
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.219% 7/15/46 1,830 1,857
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.219% 7/15/46 1,244 1,338
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.085% 8/15/46 596 604
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.960% 8/15/46 11,427 12,136
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 4.315% 8/15/46 7,317 7,984
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C12 3.824% 10/15/46 1,005 1,059

 

 

4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C12 4.259% 10/15/46 1,940 2,102
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C13 4.039% 11/15/46 400 426
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C7 2.918% 2/15/46 2,470 2,513
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C7 3.214% 2/15/46 2,000 2,021
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C9 3.102% 5/15/46 12,980 13,177
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C14 4.064% 2/15/47 2,300 2,466
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C14 4.384% 2/15/47 1,600 1,715
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 3.773% 4/15/47 11,716 12,344
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 4.051% 4/15/47 20,825 22,183
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 5.057% 4/15/47 1,140 1,191
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 3.892% 6/15/47 8,646 9,180
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.094% 6/15/47 935 992
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.482% 6/15/47 2,400 2,569
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.915% 6/15/47 2,400 2,457
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C17 3.741% 8/15/47 28,696 30,080
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C17 4.011% 8/15/47 1,380 1,444
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C18 3.923% 10/15/47 5,430 5,758
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C19 3.326% 12/15/47 1,080 1,122
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C19 3.526% 12/15/47 3,940 4,079
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C20 3.069% 2/15/48 765 783
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C20 3.249% 2/15/48 12,573 12,712
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C22 3.306% 4/15/48 14,889 15,077
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C23 3.451% 7/15/50 3,420 3,524
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C23 3.719% 7/15/50 17,750 18,471
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C24 3.479% 5/15/48 4,300 4,430
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C24 3.732% 5/15/48 7,223 7,534
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C25 3.383% 10/15/48 4,075 4,260
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C25 3.635% 10/15/48 2,938 3,060
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2016-C29 3.325% 5/15/49 700 707

 

 

4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2016-C29 4.911% 5/15/49 1,090 1,149
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2016-C32 3.720% 12/15/49 19,390 20,271
4 Morgan Stanley Capital I Trust 2007-IQ15 6.126% 6/11/49 3,296 3,317
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 2,849 2,871
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 2,260 2,328
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440 2,533
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,407 6,453
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370 6,721
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 2,795 2,899
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 4,430 4,618
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 10,064 10,528
4 Morgan Stanley Capital I Trust 2015-UBS8 4.743% 12/15/48 3,210 3,220
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 21,780 21,065
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594% 3/15/49 4,770 4,925
4,7 MSBAM Commercial Mortgage Securities        
  Trust 2012-CKSV 3.277% 10/15/30 11,190 11,154
4,6,7Navient Student Loan Trust 2016-2 2.041% 6/25/65 2,420 2,440
4,6,7Navient Student Loan Trust 2016-3 1.841% 6/25/65 2,050 2,059
4,6,7Navient Student Loan Trust 2016-6A 1.741% 3/25/66 12,400 12,443
4,6,7Navistar Financial Dealer Note Master Trust        
  II 2016-1A 2.341% 9/27/21 15,350 15,382
4,6 New Mexico Educational Assistance        
  Foundation 2013-1 1.683% 1/2/25 3,380 3,333
4,7 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 6,720 6,786
6 North Carolina State Education Assistance        
  Authority 2011-1 2.056% 1/26/26 1,020 1,021
4,7 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 121 129
4,7 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 8,980 8,977
4,6,7Pepper Residential Securities Trust 2017A-        
  A1UA 2.089% 3/10/58 12,694 12,694
4,6,7Pepper Residential Securities Trust 2018A-        
  A1UA 1.947% 3/12/47 2,490 2,481
4,6,7PFS Financing Corp. 2015-AA 1.614% 4/15/20 3,500 3,499
4,6,7PHEAA Student Loan Trust 2016-2A 1.941% 11/25/65 16,876 16,909
4,7 Porsche Innovative Lease Owner Trust        
  2015-1 1.430% 5/21/21 4,900 4,899
4,7 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 2,471 2,466
4,7 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 9,378 9,407
4,7 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 3,460 3,510
4,6,7Resimac Premier Series 2014-1A 1.821% 12/12/45 2,145 2,135
4,6,7Resimac Premier Series 2016-1A 2.379% 10/10/47 29,953 30,133
  Royal Bank of Canada 2.200% 9/23/19 2,573 2,586
4 Royal Bank of Canada 1.875% 2/5/21 4,800 4,784
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 899 899
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 846 846
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 5,160 5,243
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 3,549 3,550
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 9,470 9,508
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 9,420 9,548

 

 

4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 9,610 9,682
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 2,450 2,456
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 1,610 1,618
4 Santander Drive Auto Receivables Trust        
  2016-2 3.390% 4/15/22 1,440 1,462
4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 8,060 8,045
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 9,330 9,332
7 SBA Tower Trust 3.156% 10/15/20 3,970 4,001
4,7 Securitized Term Auto Receivables Trust        
  2016-1A 1.524% 3/25/20 5,850 5,823
4,7 Securitized Term Auto Receivables Trust        
  2016-1A 1.794% 2/25/21 5,460 5,424
4,6,7Silver Bay Realty 2014-1 Trust 1.994% 9/17/31 2,200 2,200
4,6,7Silver Bay Realty 2014-1 Trust 2.444% 9/17/31 498 498
4,7 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 1,144 1,169
4,7 SLM Private Education Loan Trust 2011-B 3.740% 2/15/29 7,859 8,014
4,7 SLM Private Education Loan Trust 2011-C 4.540% 10/17/44 3,763 3,903
4,7 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 2,028 2,050
4,6,7SLM Private Education Loan Trust 2013-A 2.044% 5/17/27 5,400 5,433
4,7 SLM Private Education Loan Trust 2013-A 2.500% 3/15/47 1,800 1,756
4,7 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 3,000 2,987
4,7 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 3,000 2,997
4,7 SLM Private Education Loan Trust 2013-C 3.500% 6/15/44 2,000 2,024
4,7 SLM Private Education Loan Trust 2014-A 2.590% 1/15/26 900 905
4,7 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 800 807
4,6 SLM Student Loan Trust 2005-5 1.256% 4/25/25 1,028 1,027
4 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 1,830 1,799
4,7 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 6,210 6,234
4,6,7SMB Private Education Loan Trust 2016-B 2.444% 2/17/32 4,480 4,578
4,6,7SMB Private Education Loan Trust 2016-C 2.094% 9/15/34 5,600 5,618
4,6,7SMB Private Education Loan Trust 2017-A 1.894% 9/15/34 6,300 6,296
4,7 SoFi Professional Loan Program 2016-B LLC 2.740% 10/25/32 4,300 4,329
4,7 SoFi Professional Loan Program 2016-C        
  LLC 2.360% 12/27/32 2,235 2,210
4,7 SoFi Professional Loan Program 2016-D        
  LLC 2.340% 4/25/33 2,340 2,316
4,6,7SoFi Professional Loan Program 2016-D        
  LLC 1.941% 1/25/39 2,673 2,694
4,7 SoFi Professional Loan Program 2017-A LLC 2.400% 3/26/40 1,280 1,266
4,7 SoFi Professional Loan Program 2017-B LLC 2.740% 5/25/40 7,170 7,203
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 2,000 1,993
7 Stadshypotek AB 1.250% 5/23/18 1,930 1,925
7 Stadshypotek AB 1.750% 4/9/20 3,689 3,634
4,6,7SWAY Residential 2014-1 Trust 2.294% 1/17/32 4,467 4,475
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 3,690 3,734
4 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 10,400 10,412
4 Synchrony Credit Card Master Note Trust        
  2015-4 2.380% 9/15/23 20,127 20,379
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 21,070 21,169

 

 

4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 5,710 5,676
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 9,890 9,810
4 Synchrony Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 30,000 30,269
4 Synchrony Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 650 650
4,7 Taco Bell Funding LLC 2016-1A 3.832% 5/25/46 3,821 3,899
4,7 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 3,682 3,787
4,7 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 5,890 6,140
4,7 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 2,237 2,236
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 2,160 2,219
4,6,7Trafigura Securitisation Finance plc 2014-1A 1.944% 10/15/18 5,720 5,713
4,6,7Trillium Credit Card Trust II 2016-1A 1.711% 5/26/21 53,860 54,082
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200 1,276
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,673 6,878
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 5,703 5,757
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.244% 4/10/46 3,970 4,072
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.469% 4/10/46 1,160 1,182
4,7 Verizon Owner Trust 2016-2A 1.680% 5/20/21 20,870 20,839
4,7 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 9,070 9,232
4,7 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 1,100 1,155
4,7 VNDO 2013-PENN Mortgage Trust 4.079% 12/13/29 650 670
4,7 VNDO 2013-PENN Mortgage Trust 4.079% 12/13/29 490 509
4,7 Volkswagen Credit Auto Master Trust 2014-        
  1A 1.400% 7/22/19 12,420 12,411
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 3,105 3,099
4,7 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 3,450 3,442
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 6,389 6,484
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 7,210 7,426
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 954 1,011
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 7,883 8,488
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 2,400 2,503
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.548% 8/15/50 11,500 11,905
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 8,920 9,380
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 700 733
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 2,400 2,558
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 1,450 1,485
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 2,410 2,483
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.405% 12/15/47 1,470 1,503

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 1,840 1,872
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 29,385 29,553
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.190% 2/15/48 21,473 21,665
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 1,260 1,299
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 7,880 8,072
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 3,900 4,045
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 9,375 9,729
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.366% 6/15/48 2,310 2,256
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 7,300 7,463
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 4,380 4,551
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 2,250 2,354
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.645% 9/15/58 2,740 2,800
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 5,269 5,542
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 2,045 2,159
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.692% 9/15/58 5,225 5,242
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 9/15/48 1,510 1,574
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 9/15/48 4,761 4,975
4 Wells Fargo Commercial Mortgage Trust        
  2016-C32 3.560% 1/15/59 5,750 5,935
4 Wells Fargo Commercial Mortgage Trust        
  2016-C37 3.794% 12/15/49 7,730 8,115
4 Wells Fargo Commercial Mortgage Trust        
  2017-RC1 3.631% 1/15/60 5,830 6,037
4,6 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2014-2 1.443% 10/20/19 4,400 4,403
4,7 Wendys Funding LLC 2015-1A 3.371% 6/15/45 4,610 4,637
4,7 Wendys Funding LLC 2015-1A 4.080% 6/15/45 7,161 7,259
4,7 Wendys Funding LLC 2015-1A 4.497% 6/15/45 2,275 2,242
7 Westpac Banking Corp. 1.850% 11/26/18 6,285 6,293
7 Westpac Banking Corp. 2.000% 3/3/20 13,770 13,759
7 Westpac Banking Corp. 2.250% 11/9/20 7,430 7,439
4,7 WFLD 2014-MONT Mortgage Trust 3.880% 8/10/31 4,640 4,852
4,7 WFRBS Commercial Mortgage Trust 2011-        
  C3 4.375% 3/15/44 6,202 6,626
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 5,280 5,334
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 3.431% 6/15/45 6,130 6,361
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 4.090% 6/15/45 4,170 4,394

 

 

4 WFRBS Commercial Mortgage Trust 2012-        
C8 3.001% 8/15/45 3,789 3,870
4 WFRBS Commercial Mortgage Trust 2012-        
C9 2.870% 11/15/45 11,371 11,523
4 WFRBS Commercial Mortgage Trust 2012-        
C9 3.388% 11/15/45 2,870 2,937
4 WFRBS Commercial Mortgage Trust 2013-        
C13 3.345% 5/15/45 2,220 2,258
4 WFRBS Commercial Mortgage Trust 2013-        
C15 3.720% 8/15/46 2,133 2,240
4 WFRBS Commercial Mortgage Trust 2013-        
C15 4.153% 8/15/46 6,044 6,488
4 WFRBS Commercial Mortgage Trust 2013-        
C17 3.558% 12/15/46 357 373
4 WFRBS Commercial Mortgage Trust 2013-        
C18 3.676% 12/15/46 2,116 2,221
4 WFRBS Commercial Mortgage Trust 2013-        
C18 4.162% 12/15/46 7,778 8,351
4 WFRBS Commercial Mortgage Trust 2013-        
C18 4.818% 12/15/46 1,085 1,191
4 WFRBS Commercial Mortgage Trust 2014-        
C19 3.829% 3/15/47 2,130 2,243
4 WFRBS Commercial Mortgage Trust 2014-        
C19 4.101% 3/15/47 10,595 11,333
4 WFRBS Commercial Mortgage Trust 2014-        
C20 3.638% 5/15/47 3,020 3,157
4 WFRBS Commercial Mortgage Trust 2014-        
C20 3.995% 5/15/47 14,675 15,593
4 WFRBS Commercial Mortgage Trust 2014-        
C20 4.378% 5/15/47 2,410 2,548
4 WFRBS Commercial Mortgage Trust 2014-        
C20 4.513% 5/15/47 1,410 1,414
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.410% 8/15/47 1,520 1,561
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.678% 8/15/47 13,235 13,805
4 WFRBS Commercial Mortgage Trust 2014-        
C21 3.891% 8/15/47 700 721
4 WFRBS Commercial Mortgage Trust 2014-        
C21 4.234% 8/15/47 2,410 2,353
4 WFRBS Commercial Mortgage Trust 2014-        
C23 3.917% 10/15/57 4,167 4,407
4 WFRBS Commercial Mortgage Trust 2014-        
C24 3.607% 11/15/47 14,179 14,669
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.522% 3/15/47 170 177
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.766% 3/15/47 920 965
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 4.045% 3/15/47 11,576 12,329
4 World Omni Auto Receivables Trust 2016-A 1.770% 9/15/21 12,000 12,026
4 World Omni Auto Receivables Trust 2016-B 1.300% 2/15/22 5,630 5,582
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,756,402)   3,762,899
Corporate Bonds (67.1%)        

 

Finance (30.6%)
Banking (20.2%)

7 ABN AMRO Bank NV 2.500% 10/30/18 27,285 27,579

 

 

  American Express Credit Corp. 1.700% 10/30/19 4,669 4,640
  American Express Credit Corp. 2.200% 3/3/20 19,825 19,930
  American Express Credit Corp. 2.375% 5/26/20 4,700 4,739
  American Express Credit Corp. 2.250% 5/5/21 7,448 7,416
  American Express Credit Corp. 2.700% 3/3/22 28,365 28,564
  American Express Credit Corp. 3.300% 5/3/27 7,900 7,871
  Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 15,852 15,843
7 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 8,270 8,656
6,8 Australia & New Zealand Banking Group Ltd. 3.725% 6/25/24 17,805 13,492
7 Banco de Credito del Peru 4.250% 4/1/23 5,000 5,299
  Bank of America Corp. 3.300% 1/11/23 12,677 12,841
4 Bank of America Corp. 3.124% 1/20/23 28,235 28,474
  Bank of America Corp. 4.125% 1/22/24 33,430 35,071
  Bank of America Corp. 3.875% 8/1/25 10,000 10,227
  Bank of America Corp. 4.450% 3/3/26 8,900 9,206
4 Bank of America Corp. 3.824% 1/20/28 23,700 23,833
4 Bank of America Corp. 4.244% 4/24/38 12,320 12,289
  Bank of New York Mellon Corp. 2.600% 8/17/20 3,017 3,056
  Bank of New York Mellon Corp. 2.450% 11/27/20 14,339 14,439
  Bank of New York Mellon Corp. 4.150% 2/1/21 21,944 23,367
  Bank of New York Mellon Corp. 2.050% 5/3/21 10,780 10,657
  Bank of New York Mellon Corp. 3.550% 9/23/21 16,040 16,769
  Bank of New York Mellon Corp. 3.650% 2/4/24 17,000 17,762
  Bank of New York Mellon Corp. 3.400% 5/15/24 20,200 20,781
  Bank of New York Mellon Corp. 3.250% 9/11/24 11,142 11,351
  Bank of New York Mellon Corp. 3.000% 2/24/25 15,800 15,785
  Bank of New York Mellon Corp. 2.800% 5/4/26 8,115 7,923
4 Bank of New York Mellon Corp. 3.442% 2/7/28 29,200 29,704
  Bank of New York Mellon Corp. 3.000% 10/30/28 12,000 11,542
  Bank of Nova Scotia 4.375% 1/13/21 8,500 9,126
  Bank of Nova Scotia 2.700% 3/7/22 6,375 6,436
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 11,110 11,096
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 31,431 31,666
7 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 18,410 18,527
7 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 23,830 23,721
  Barclays plc 3.684% 1/10/23 10,265 10,413
  Barclays plc 4.375% 1/12/26 8,110 8,365
  BB&T Corp. 5.250% 11/1/19 12,000 12,890
  BB&T Corp. 3.950% 3/22/22 4,400 4,638
  BNP Paribas SA 2.400% 12/12/18 3,150 3,170
  BNP Paribas SA 5.000% 1/15/21 44,350 48,092
  BNP Paribas SA 3.250% 3/3/23 6,235 6,354
7 BNP Paribas SA 3.800% 1/10/24 4,405 4,445
6,8 BPCE SA 3.045% 4/24/20 1,630 1,221
8 BPCE SA 3.500% 4/24/20 3,000 2,262
  BPCE SA 2.750% 12/2/21 12,840 12,849
  BPCE SA 4.000% 4/15/24 7,340 7,692
  Branch Banking & Trust Co. 2.850% 4/1/21 10,425 10,595
  Branch Banking & Trust Co. 2.625% 1/15/22 37,765 38,056
  Branch Banking & Trust Co. 3.625% 9/16/25 22,495 23,202
  Capital One Financial Corp. 2.450% 4/24/19 2,450 2,462
  Capital One Financial Corp. 3.050% 3/9/22 12,715 12,766
  Capital One Financial Corp. 3.200% 2/5/25 2,650 2,568
  Capital One Financial Corp. 3.750% 7/28/26 20,000 19,236
  Capital One NA 1.500% 3/22/18 7,000 6,990
  Citigroup Inc. 2.900% 12/8/21 34,370 34,561
  Citigroup Inc. 3.375% 3/1/23 16,000 16,190
  Citigroup Inc. 3.875% 10/25/23 28,736 29,982

 

 

  Citigroup Inc. 4.600% 3/9/26 5,177 5,366
  Citigroup Inc. 3.200% 10/21/26 44,200 42,675
4,7,9Colonial BancGroup Inc. 7.114% 5/29/49 17,340 2
7 Commonwealth Bank of Australia 5.000% 10/15/19 2,702 2,884
  Commonwealth Bank of Australia 2.300% 3/12/20 3,000 3,017
7 Commonwealth Bank of Australia 5.000% 3/19/20 11,560 12,425
  Commonwealth Bank of Australia 2.400% 11/2/20 11,075 11,088
6,8 Commonwealth Bank of Australia 2.975% 7/12/21 2,840 2,152
7 Commonwealth Bank of Australia 2.000% 9/6/21 6,480 6,357
7 Commonwealth Bank of Australia 2.750% 3/10/22 22,040 22,237
6,8 Commonwealth Bank of Australia 3.720% 11/5/24 22,700 17,225
7 Commonwealth Bank of Australia 4.500% 12/9/25 17,055 17,931
6,8 Commonwealth Bank of Australia 4.435% 6/3/26 6,800 5,266
  Cooperatieve Rabobank UA 2.250% 1/14/20 15,590 15,648
  Cooperatieve Rabobank UA 2.500% 1/19/21 21,455 21,597
6,8 Cooperatieve Rabobank UA 3.285% 3/4/21 4,780 3,646
  Cooperatieve Rabobank UA 3.875% 2/8/22 32,757 34,778
  Cooperatieve Rabobank UA 3.950% 11/9/22 30,660 31,685
  Cooperatieve Rabobank UA 4.625% 12/1/23 75,134 80,003
  Cooperatieve Rabobank UA 4.375% 8/4/25 41,550 43,215
  Cooperatieve Rabobank UA 3.750% 7/21/26 10,000 9,889
7 Credit Agricole SA 4.125% 1/10/27 6,680 6,760
  Credit Suisse AG 2.300% 5/28/19 9,820 9,860
  Credit Suisse AG 3.000% 10/29/21 40,000 40,554
  Credit Suisse AG 3.625% 9/9/24 69,650 71,326
7 Credit Suisse Group AG 3.574% 1/9/23 32,555 32,907
7 Credit Suisse Group AG 4.282% 1/9/28 31,610 32,146
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 29,700 30,301
7 Danske Bank A/S 2.700% 3/2/22 10,870 10,918
7 Deutsche Bank AG 4.250% 10/14/21 43,020 44,458
  Discover Bank 7.000% 4/15/20 3,665 4,091
  Fifth Third Bank 2.875% 10/1/21 12,105 12,303
  Fifth Third Bank 3.850% 3/15/26 2,790 2,837
  First Republic Bank 2.375% 6/17/19 11,791 11,810
  FirstMerit Corp. 4.350% 2/4/23 9,000 9,400
  Goldman Sachs Group Inc. 2.300% 12/13/19 58,075 58,165
  Goldman Sachs Group Inc. 2.750% 9/15/20 15,522 15,689
  Goldman Sachs Group Inc. 2.600% 12/27/20 23,970 24,049
  Goldman Sachs Group Inc. 2.625% 4/25/21 21,894 21,922
  Goldman Sachs Group Inc. 5.750% 1/24/22 52,535 59,247
  Goldman Sachs Group Inc. 3.000% 4/26/22 42,225 42,478
  Goldman Sachs Group Inc. 4.000% 3/3/24 35,858 37,350
  Goldman Sachs Group Inc. 3.850% 7/8/24 25,937 26,785
10 Goldman Sachs Group Inc. 1.250% 5/1/25 18,559 19,902
  Goldman Sachs Group Inc. 3.750% 5/22/25 91,557 93,189
  Goldman Sachs Group Inc. 3.850% 1/26/27 41,750 42,311
  HSBC Bank USA NA 4.875% 8/24/20 24,478 26,299
  HSBC Holdings plc 3.400% 3/8/21 25,540 26,224
  HSBC Holdings plc 2.950% 5/25/21 16,715 16,892
  HSBC Holdings plc 2.650% 1/5/22 51,765 51,419
  HSBC Holdings plc 4.000% 3/30/22 25,000 26,293
4 HSBC Holdings plc 3.262% 3/13/23 42,500 42,968
  HSBC Holdings plc 3.600% 5/25/23 50,120 51,404
  HSBC Holdings plc 4.250% 3/14/24 17,500 17,935
  HSBC Holdings plc 4.300% 3/8/26 4,200 4,433
  HSBC Holdings plc 3.900% 5/25/26 17,770 18,173
  HSBC Holdings plc 4.375% 11/23/26 9,010 9,252
4 HSBC Holdings plc 4.041% 3/13/28 72,884 74,415

 

 

  HSBC USA Inc. 2.375% 11/13/19 17,185 17,255
  Huntington National Bank 2.400% 4/1/20 7,000 7,030
  ING Groep NV 3.950% 3/29/27 10,000 10,236
  Intesa Sanpaolo SPA 5.250% 1/12/24 7,419 7,921
6,8 JPMorgan Chase & Co. 2.895% 12/9/19 3,110 2,340
  JPMorgan Chase & Co. 4.400% 7/22/20 18,510 19,711
  JPMorgan Chase & Co. 2.550% 10/29/20 61,384 61,801
  JPMorgan Chase & Co. 2.550% 3/1/21 17,560 17,617
  JPMorgan Chase & Co. 4.625% 5/10/21 22,450 24,246
  JPMorgan Chase & Co. 2.295% 8/15/21 15,250 15,136
  JPMorgan Chase & Co. 4.500% 1/24/22 18,655 20,152
  JPMorgan Chase & Co. 3.250% 9/23/22 23,500 24,037
  JPMorgan Chase & Co. 2.972% 1/15/23 54,172 54,401
4 JPMorgan Chase & Co. 2.776% 4/25/23 31,685 31,577
  JPMorgan Chase & Co. 2.700% 5/18/23 26,538 26,086
  JPMorgan Chase & Co. 3.875% 2/1/24 22,900 23,952
  JPMorgan Chase & Co. 3.625% 5/13/24 6,336 6,527
  JPMorgan Chase & Co. 3.125% 1/23/25 17,320 17,122
  JPMorgan Chase & Co. 3.300% 4/1/26 8,665 8,557
  JPMorgan Chase & Co. 3.200% 6/15/26 8,186 8,012
4 JPMorgan Chase & Co. 3.782% 2/1/28 49,000 49,824
4 JPMorgan Chase & Co. 3.540% 5/1/28 27,820 27,724
4 JPMorgan Chase & Co. 4.260% 2/22/48 5,200 5,214
  KeyBank NA 3.300% 6/1/25 20,000 20,150
  Lloyds Bank plc 2.700% 8/17/20 13,573 13,741
  Lloyds Bank plc 6.375% 1/21/21 9,172 10,404
  Lloyds Banking Group plc 3.000% 1/11/22 3,000 3,018
  Lloyds Banking Group plc 3.750% 1/11/27 23,045 22,981
7 Macquarie Bank Ltd. 2.400% 1/21/20 7,765 7,774
7 Macquarie Bank Ltd. 4.875% 6/10/25 3,160 3,315
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 5,758 5,795
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 103,235 104,569
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 32,705 32,152
  Mitsubishi UFJ Financial Group Inc. 2.998% 2/22/22 8,925 9,055
  Mitsubishi UFJ Financial Group Inc. 2.527% 9/13/23 8,975 8,765
  Mitsubishi UFJ Financial Group Inc. 3.850% 3/1/26 24,690 25,638
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 28,570 29,311
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 20,000 20,049
7 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 29,055 29,164
  Mizuho Financial Group Inc. 2.953% 2/28/22 6,990 7,019
  Mizuho Financial Group Inc. 3.663% 2/28/27 5,000 5,092
  Morgan Stanley 7.300% 5/13/19 5,000 5,501
  Morgan Stanley 5.625% 9/23/19 20,500 22,121
  Morgan Stanley 5.500% 1/26/20 16,035 17,405
  Morgan Stanley 5.500% 7/24/20 12,000 13,118
  Morgan Stanley 5.750% 1/25/21 24,000 26,641
  Morgan Stanley 2.500% 4/21/21 3,224 3,213
  Morgan Stanley 5.500% 7/28/21 26,800 29,840
  Morgan Stanley 2.625% 11/17/21 51,815 51,693
  Morgan Stanley 3.875% 4/29/24 21,900 22,633
6 Morgan Stanley 2.373% 5/8/24 14,865 14,913
  Morgan Stanley 4.000% 7/23/25 30,681 31,759
  Morgan Stanley 3.875% 1/27/26 48,504 49,590
  Morgan Stanley 3.625% 1/20/27 50,495 50,375
11 Morgan Stanley 2.625% 3/9/27 24,080 31,519
10 Morgan Stanley 1.875% 4/27/27 10,538 11,506
  MUFG Americas Holdings Corp. 2.250% 2/10/20 3,400 3,405
  MUFG Americas Holdings Corp. 3.500% 6/18/22 21,891 22,554

 

 

  MUFG Americas Holdings Corp. 3.000% 2/10/25 12,000 11,703
  National Australia Bank Ltd. 1.875% 7/12/21 7,690 7,511
  National Australia Bank Ltd. 3.000% 1/20/23 14,320 14,438
7 National Australia Bank Ltd. 3.500% 1/10/27 22,870 23,315
7 Nordea Bank AB 2.500% 9/17/20 4,715 4,726
  Northern Trust Co. 6.500% 8/15/18 4,000 4,241
  Northern Trust Corp. 3.450% 11/4/20 500 521
  Northern Trust Corp. 3.375% 8/23/21 13,036 13,574
  People's United Financial Inc. 3.650% 12/6/22 11,405 11,624
  PNC Bank NA 6.875% 4/1/18 12,085 12,646
  PNC Bank NA 2.600% 7/21/20 15,120 15,318
  PNC Bank NA 2.450% 11/5/20 2,218 2,233
  PNC Bank NA 2.150% 4/29/21 268 266
  PNC Bank NA 2.550% 12/9/21 15,425 15,505
  PNC Bank NA 2.625% 2/17/22 33,485 33,763
  PNC Bank NA 2.700% 11/1/22 41,080 40,996
  PNC Bank NA 3.800% 7/25/23 15,750 16,533
  PNC Bank NA 3.300% 10/30/24 19,634 19,929
  PNC Bank NA 2.950% 2/23/25 16,680 16,537
  PNC Bank NA 3.250% 6/1/25 61,302 62,156
  PNC Financial Services Group Inc. 2.854% 11/9/22 12,493 12,578
  PNC Financial Services Group Inc. 3.900% 4/29/24 6,525 6,812
  PNC Funding Corp. 6.700% 6/10/19 12,000 13,143
  PNC Funding Corp. 5.125% 2/8/20 21,243 22,956
  PNC Funding Corp. 4.375% 8/11/20 23,000 24,536
  Regions Bank 7.500% 5/15/18 1,732 1,825
  Royal Bank of Canada 1.500% 7/29/19 15,910 15,772
  Royal Bank of Canada 2.350% 10/30/20 11,539 11,641
  Royal Bank of Canada 4.650% 1/27/26 16,445 17,596
  Royal Bank of Scotland Group plc 3.875% 9/12/23 1,000 1,003
  Santander Bank NA 8.750% 5/30/18 5,000 5,344
7 Santander Holdings USA Inc. 3.700% 3/28/22 14,280 14,342
  Santander UK Group Holdings plc 3.571% 1/10/23 11,035 11,141
  Santander UK plc 2.500% 3/14/19 8,926 8,998
  Santander UK plc 2.350% 9/10/19 24,966 25,099
  Santander UK plc 4.000% 3/13/24 6,560 6,904
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 2,825 2,841
  State Street Corp. 3.100% 5/15/23 15,025 15,207
  State Street Corp. 3.700% 11/20/23 32,620 34,365
  State Street Corp. 3.300% 12/16/24 27,435 28,059
  State Street Corp. 3.550% 8/18/25 36,058 37,385
  Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 3,000 3,062
  Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 8,160 8,589
  Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 5,000 5,101
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 13,550 13,728
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 13,233 12,995
6,8 Sumitomo Mitsui Financial Group Inc. 3.065% 3/29/22 22,300 16,667
8 Sumitomo Mitsui Financial Group Inc. 3.662% 3/29/22 9,550 7,205
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 43,905 41,447
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 10,000 9,747
  SunTrust Bank 3.300% 5/15/26 10,000 9,798
  SunTrust Banks Inc. 2.900% 3/3/21 6,318 6,412
  Svenska Handelsbanken AB 2.450% 3/30/21 24,265 24,307
  Svenska Handelsbanken AB 1.875% 9/7/21 1,895 1,849
7 Swedbank AB 2.800% 3/14/22 16,390 16,544
  Synchrony Financial 4.250% 8/15/24 12,750 13,059
  Synchrony Financial 4.500% 7/23/25 31,350 32,407
  Synchrony Financial 3.700% 8/4/26 12,237 11,741

 

 

  Toronto-Dominion Bank 1.450% 8/13/19 3,900 3,868
  Toronto-Dominion Bank 2.500% 12/14/20 40,480 41,018
  Toronto-Dominion Bank 2.125% 4/7/21 50,210 50,064
7 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 2,760 2,791
7 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 3,405 3,429
7 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 15,695 15,472
7 UBS Group Funding Switzerland AG 4.253% 3/23/28 21,400 22,134
4 United Overseas Bank Ltd. 3.750% 9/19/24 5,000 5,089
4 United Overseas Bank Ltd. 2.880% 3/8/27 3,000 2,934
  US Bancorp 2.350% 1/29/21 8,500 8,542
  US Bancorp 4.125% 5/24/21 19,555 20,930
  US Bancorp 3.000% 3/15/22 23,724 24,264
  US Bancorp 2.950% 7/15/22 35,200 35,657
  US Bancorp 3.700% 1/30/24 18,500 19,465
  US Bancorp 3.600% 9/11/24 14,800 15,299
  US Bancorp 3.100% 4/27/26 18,611 18,390
  US Bank NA 2.800% 1/27/25 14,400 14,198
9 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.500% 1/15/13 6,147 1
9 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.650% 8/15/14 7,500 1
9 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 5.125% 1/15/15 9,000 1
  Wells Fargo & Co. 2.600% 7/22/20 14,235 14,413
  Wells Fargo & Co. 4.600% 4/1/21 16,673 17,989
  Wells Fargo & Co. 2.100% 7/26/21 32,370 31,891
8 Wells Fargo & Co. 3.000% 7/27/21 33,950 25,216
6,8 Wells Fargo & Co. 3.065% 7/27/21 7,450 5,641
6,8 Wells Fargo & Co. 2.845% 4/27/22 21,790 16,301
8 Wells Fargo & Co. 3.250% 4/27/22 15,500 11,629
  Wells Fargo & Co. 3.069% 1/24/23 38,055 38,491
  Wells Fargo & Co. 3.450% 2/13/23 36,700 37,276
  Wells Fargo & Co. 4.125% 8/15/23 13,100 13,784
  Wells Fargo & Co. 3.300% 9/9/24 57,524 57,957
  Wells Fargo & Co. 3.000% 2/19/25 42,300 41,451
11 Wells Fargo & Co. 2.000% 7/28/25 2,937 3,792
  Wells Fargo & Co. 3.550% 9/29/25 17,459 17,682
  Wells Fargo & Co. 3.000% 4/22/26 12,000 11,583
8 Wells Fargo & Co. 4.000% 4/27/27 14,000 10,336
  Wells Fargo Bank NA 2.150% 12/6/19 31,575 31,703
  Westpac Banking Corp. 4.875% 11/19/19 10,795 11,537
  Westpac Banking Corp. 2.600% 11/23/20 15,885 16,022
  Westpac Banking Corp. 2.100% 5/13/21 25,290 24,959
6,8 Westpac Banking Corp. 2.955% 6/3/21 16,900 12,801
  Westpac Banking Corp. 2.000% 8/19/21 29,790 29,207
  Westpac Banking Corp. 2.800% 1/11/22 32,995 33,490
6,8 Westpac Banking Corp. 3.845% 3/14/24 31,600 23,957
6,8 Westpac Banking Corp. 4.885% 3/10/26 6,300 4,946
  Westpac Banking Corp. 3.350% 3/8/27 41,690 41,884
4 Westpac Banking Corp. 4.322% 11/23/31 56,619 57,911
 
  Brokerage (1.2%)        
  Affiliated Managers Group Inc. 4.250% 2/15/24 10,340 10,776
  Ameriprise Financial Inc. 7.300% 6/28/19 3,200 3,558
  Ameriprise Financial Inc. 4.000% 10/15/23 10,819 11,505
  Ameriprise Financial Inc. 3.700% 10/15/24 15,000 15,580
7 Apollo Management Holdings LP 4.400% 5/27/26 15,620 16,050
  BlackRock Inc. 4.250% 5/24/21 4,250 4,570

 

 

BlackRock Inc. 3.375% 6/1/22 12,000 12,518
BlackRock Inc. 3.200% 3/15/27 25,455 25,813
Charles Schwab Corp. 4.450% 7/22/20 6,500 6,951
Charles Schwab Corp. 3.225% 9/1/22 11,150 11,433
Charles Schwab Corp. 3.200% 3/2/27 5,950 5,968
CME Group Inc. 3.000% 3/15/25 5,000 5,034
Franklin Resources Inc. 4.625% 5/20/20 7,550 8,102
Franklin Resources Inc. 2.800% 9/15/22 11,000 11,129
Intercontinental Exchange Inc. 4.000% 10/15/23 34,330 36,495
Invesco Finance plc 3.125% 11/30/22 30,485 30,876
Invesco Finance plc 4.000% 1/30/24 21,300 22,539
Invesco Finance plc 3.750% 1/15/26 6,673 6,944
Jefferies Group LLC 5.125% 1/20/23 3,000 3,234
Jefferies Group LLC 4.850% 1/15/27 12,440 12,864
Legg Mason Inc. 3.950% 7/15/24 5,000 5,067
9 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
Stifel Financial Corp. 3.500% 12/1/20 9,435 9,605
Stifel Financial Corp. 4.250% 7/18/24 11,830 12,003
TD Ameritrade Holding Corp. 2.950% 4/1/22 16,715 16,975
TD Ameritrade Holding Corp. 3.625% 4/1/25 11,400 11,757
 
Finance Companies (1.0%)        
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.750% 5/15/19 4,645 4,767
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 4.500% 5/15/21 12,850 13,541
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.950% 2/1/22 7,765 8,037
Air Lease Corp. 3.375% 1/15/19 6,175 6,306
Air Lease Corp. 4.250% 9/15/24 12,595 13,146
Air Lease Corp. 3.625% 4/1/27 19,505 19,271
GE Capital International Funding Co. 2.342% 11/15/20 81,263 81,886
GE Capital International Funding Co. 3.373% 11/15/25 16,581 17,203
GE Capital International Funding Co. 4.418% 11/15/35 38,400 41,045
HSBC Finance Corp. 6.676% 1/15/21 63,939 72,312
International Lease Finance Corp. 4.625% 4/15/21 2,845 3,019
7 SMBC Aviation Capital Finance DAC 2.650% 7/15/21 1,015 993
 
Insurance (5.1%)        
Aetna Inc. 2.750% 11/15/22 29,020 29,176
Aetna Inc. 2.800% 6/15/23 35,010 35,039
Aetna Inc. 3.500% 11/15/24 10,000 10,332
Aflac Inc. 4.000% 2/15/22 2,000 2,134
Aflac Inc. 3.625% 6/15/23 16,000 16,815
Aflac Inc. 3.625% 11/15/24 5,000 5,187
7 AIA Group Ltd. 3.200% 3/11/25 40,589 39,994
7 AIG Global Funding 2.700% 12/15/21 3,910 3,911
Alleghany Corp. 4.950% 6/27/22 2,586 2,844
4 Allstate Corp. 5.750% 8/15/53 5,000 5,437
Alterra Finance LLC 6.250% 9/30/20 8,000 8,967
American Financial Group Inc. 9.875% 6/15/19 10,000 11,581
American Financial Group Inc. 3.500% 8/15/26 11,725 11,584
American International Group Inc. 4.875% 6/1/22 10,215 11,154
American International Group Inc. 3.750% 7/10/25 14,650 14,748
American International Group Inc. 3.900% 4/1/26 11,640 11,874
Anthem Inc. 4.350% 8/15/20 2,000 2,117
Anthem Inc. 3.700% 8/15/21 3,090 3,220
Aon plc 3.500% 6/14/24 7,012 7,067

 

 

  Aon plc 4.750% 5/15/45 7,820 7,926
  Arch Capital Finance LLC 4.011% 12/15/26 11,735 12,178
  Aspen Insurance Holdings Ltd. 4.650% 11/15/23 5,500 5,860
4,11 AXA SA 5.625% 1/16/54 3,100 4,445
  AXIS Specialty Finance LLC 5.875% 6/1/20 9,240 10,151
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 2,000 2,170
  Berkshire Hathaway Inc. 2.750% 3/15/23 116,963 118,134
  Berkshire Hathaway Inc. 3.125% 3/15/26 58,358 58,813
  Chubb INA Holdings Inc. 2.875% 11/3/22 20,970 21,237
  Chubb INA Holdings Inc. 2.700% 3/13/23 20,325 20,276
  Chubb INA Holdings Inc. 3.350% 5/15/24 39,741 40,836
  Chubb INA Holdings Inc. 3.150% 3/15/25 18,312 18,523
  CNA Financial Corp. 5.875% 8/15/20 5,000 5,543
  Coventry Health Care Inc. 5.450% 6/15/21 8,500 9,438
4,10 Credit Agricole Assurances SA 4.750% 9/27/48 2,900 3,373
  Enstar Group Ltd. 4.500% 3/10/22 13,520 13,807
  First American Financial Corp. 4.600% 11/15/24 12,000 12,180
7 Five Corners Funding Trust 4.419% 11/15/23 26,084 28,033
  Hanover Insurance Group Inc. 4.500% 4/15/26 6,900 7,166
  Hartford Financial Services Group Inc. 5.125% 4/15/22 2,880 3,201
  Humana Inc. 3.950% 3/15/27 9,775 10,078
  Infinity Property & Casualty Corp. 5.000% 9/19/22 10,547 11,202
7 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,579
7,10 Liberty Mutual Finance Europe DAC 1.750% 3/27/24 7,900 8,786
  Loews Corp. 2.625% 5/15/23 8,000 7,934
  Manulife Financial Corp. 4.900% 9/17/20 24,150 26,073
  Manulife Financial Corp. 4.150% 3/4/26 17,855 18,934
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 5,275 5,310
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 4,850 5,283
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 5,425 5,482
  Marsh & McLennan Cos. Inc. 3.300% 3/14/23 8,345 8,562
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 10,087 10,744
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 38,110 39,259
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 34,351 35,124
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26 6,580 6,804
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 985 1,018
7 MassMutual Global Funding II 2.500% 10/17/22 10,500 10,402
  MetLife Inc. 4.368% 9/15/23 44,800 48,543
4 MetLife Inc. 5.250% 12/29/49 2,635 2,736
7 Metropolitan Life Global Funding I 3.000% 1/10/23 22,728 23,043
7 Metropolitan Life Global Funding I 3.450% 12/18/26 23,455 23,871
7 New York Life Global Funding 1.950% 2/11/20 1,595 1,592
7 New York Life Global Funding 2.900% 1/17/24 4,800 4,846
  PartnerRe Finance B LLC 5.500% 6/1/20 16,550 18,122
11 PGH Capital plc 5.750% 7/7/21 2,660 3,925
11 PGH Capital plc 6.625% 12/18/25 960 1,369
11 Phoenix Group Holdings 4.125% 7/20/22 7,873 10,383
7 Pricoa Global Funding I 2.200% 6/3/21 1,950 1,931
4 Principal Financial Group Inc. 4.700% 5/15/55 1,500 1,529
7 Principal Life Global Funding II 2.200% 4/8/20 10,650 10,609
  Progressive Corp. 2.450% 1/15/27 12,700 12,040
  Progressive Corp. 4.125% 4/15/47 12,410 12,651
4 Progressive Corp. 6.700% 6/15/67 17,872 17,917
  Prudential Financial Inc. 4.500% 11/16/21 4,025 4,365
4 Prudential Financial Inc. 5.875% 9/15/42 6,000 6,615
4 Prudential Financial Inc. 5.625% 6/15/43 7,875 8,564
4 Prudential Financial Inc. 5.200% 3/15/44 2,500 2,600
4 Prudential Financial Inc. 5.375% 5/15/45 7,150 7,579

 

 

Reinsurance Group of America Inc. 5.000% 6/1/21 5,000 5,448
Reinsurance Group of America Inc. 4.700% 9/15/23 11,430 12,379
Reinsurance Group of America Inc. 3.950% 9/15/26 26,655 27,106
7 Reliance Standard Life Global Funding II 2.500% 1/15/20 19,115 19,206
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 6,710 6,687
7 Reliance Standard Life Global Funding II 3.050% 1/20/21 3,320 3,361
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 12,070
7 Swiss Re Treasury US Corp. 2.875% 12/6/22 7,640 7,671
7 TIAA Asset Management Finance Co. LLC 4.125% 11/1/24 28,771 29,729
Trinity Acquisition plc 4.625% 8/15/23 3,000 3,155
Trinity Acquisition plc 4.400% 3/15/26 4,815 4,979
UnitedHealth Group Inc. 2.700% 7/15/20 3,870 3,953
UnitedHealth Group Inc. 3.875% 10/15/20 14,000 14,801
UnitedHealth Group Inc. 4.700% 2/15/21 13,000 14,112
UnitedHealth Group Inc. 2.875% 12/15/21 10,000 10,235
UnitedHealth Group Inc. 2.875% 3/15/22 16,816 17,231
UnitedHealth Group Inc. 3.350% 7/15/22 17,660 18,427
UnitedHealth Group Inc. 2.750% 2/15/23 12,000 12,054
UnitedHealth Group Inc. 2.875% 3/15/23 9,000 9,102
UnitedHealth Group Inc. 3.750% 7/15/25 42,070 44,273
UnitedHealth Group Inc. 3.450% 1/15/27 9,500 9,725
UnitedHealth Group Inc. 3.375% 4/15/27 13,325 13,552
UnitedHealth Group Inc. 4.250% 4/15/47 12,705 13,114
WR Berkley Corp. 4.625% 3/15/22 2,977 3,211
XLIT Ltd. 6.375% 11/15/24 4,745 5,437
 
Real Estate Investment Trusts (3.1%)        
Alexandria Real Estate Equities Inc. 3.950% 1/15/27 17,155 17,384
Alexandria Real Estate Equities Inc. 4.500% 7/30/29 6,465 6,785
American Campus Communities Operating        
Partnership LP 3.750% 4/15/23 2,000 2,062
AvalonBay Communities Inc. 2.850% 3/15/23 12,400 12,297
AvalonBay Communities Inc. 2.950% 5/11/26 25,000 24,219
Boston Properties LP 3.125% 9/1/23 2,654 2,660
Boston Properties LP 3.800% 2/1/24 3,375 3,477
Boston Properties LP 3.650% 2/1/26 10,000 10,079
Brandywine Operating Partnership LP 3.950% 2/15/23 6,910 6,951
Brandywine Operating Partnership LP 4.100% 10/1/24 20,570 20,735
Brandywine Operating Partnership LP 4.550% 10/1/29 17,567 17,626
Brixmor Operating Partnership LP 3.850% 2/1/25 9,855 9,806
Brixmor Operating Partnership LP 4.125% 6/15/26 23,535 23,912
Brixmor Operating Partnership LP 3.900% 3/15/27 9,340 9,284
Camden Property Trust 4.875% 6/15/23 960 1,042
Camden Property Trust 4.250% 1/15/24 2,860 3,006
Camden Property Trust 3.500% 9/15/24 865 871
Columbia Property Trust Operating        
Partnership LP 4.150% 4/1/25 7,985 8,123
Columbia Property Trust Operating        
Partnership LP 3.650% 8/15/26 9,787 9,535
CubeSmart LP 4.375% 12/15/23 4,510 4,759
DDR Corp. 3.375% 5/15/23 7,000 6,824
DDR Corp. 3.625% 2/1/25 7,195 6,963
DDR Corp. 4.250% 2/1/26 5,880 5,887
8 Dexus Wholesale Property Fund 4.750% 6/16/25 900 714
Digital Realty Trust LP 3.400% 10/1/20 2,247 2,316
Digital Realty Trust LP 5.250% 3/15/21 12,225 13,308
Digital Realty Trust LP 3.950% 7/1/22 9,362 9,832
Digital Realty Trust LP 4.750% 10/1/25 16,163 17,231

 

 

Duke Realty LP 3.625% 4/15/23 9,000 9,184
Duke Realty LP 3.250% 6/30/26 2,491 2,442
ERP Operating LP 3.375% 6/1/25 21,000 20,972
Essex Portfolio LP 3.500% 4/1/25 3,400 3,404
Federal Realty Investment Trust 2.550% 1/15/21 5,417 5,435
Federal Realty Investment Trust 3.000% 8/1/22 22,448 22,627
Federal Realty Investment Trust 2.750% 6/1/23 3,000 2,932
Federal Realty Investment Trust 3.950% 1/15/24 8,269 8,664
8 General Property Trust 4.500% 9/11/20 1,900 1,480
8 General Property Trust 3.657% 8/24/26 5,920 4,276
7 Goodman Australia Industrial Fund 3.400% 9/30/26 12,090 11,847
7 Goodman Funding Pty Ltd. 6.375% 4/15/21 3,650 4,112
7 Goodman Funding Pty Ltd. 6.000% 3/22/22 8,155 9,230
8 GPT Wholesale Office Fund No. 1 4.000% 5/18/22 960 735
8 GPT Wholesale Office Fund No. 1 4.520% 2/22/27 15,770 12,041
HCP Inc. 2.625% 2/1/20 7,000 7,052
HCP Inc. 4.000% 12/1/22 7,000 7,271
HCP Inc. 4.250% 11/15/23 5,400 5,627
HCP Inc. 4.200% 3/1/24 8,055 8,318
HCP Inc. 3.400% 2/1/25 7,185 6,996
HCP Inc. 4.000% 6/1/25 8,710 8,809
Healthcare Realty Trust Inc. 3.750% 4/15/23 13,000 13,163
Healthcare Realty Trust Inc. 3.875% 5/1/25 7,000 6,977
Healthcare Trust of America Holdings LP 3.375% 7/15/21 4,705 4,812
Healthcare Trust of America Holdings LP 3.700% 4/15/23 14,912 15,051
Healthcare Trust of America Holdings LP 3.500% 8/1/26 4,700 4,571
Highwoods Realty LP 3.200% 6/15/21 6,000 6,103
Highwoods Realty LP 3.875% 3/1/27 19,500 19,501
Kilroy Realty LP 4.375% 10/1/25 3,920 4,109
Kilroy Realty LP 4.250% 8/15/29 4,663 4,782
Liberty Property LP 4.400% 2/15/24 9,900 10,462
Liberty Property LP 3.750% 4/1/25 1,340 1,365
Mid-America Apartments LP 4.300% 10/15/23 2,135 2,269
Mid-America Apartments LP 4.000% 11/15/25 7,620 7,908
National Retail Properties Inc. 4.000% 11/15/25 2,100 2,167
National Retail Properties Inc. 3.600% 12/15/26 7,000 6,958
Omega Healthcare Investors Inc. 4.375% 8/1/23 850 866
Omega Healthcare Investors Inc. 4.950% 4/1/24 19,000 19,760
Omega Healthcare Investors Inc. 5.250% 1/15/26 9,626 10,155
Omega Healthcare Investors Inc. 4.500% 4/1/27 3,462 3,427
Omega Healthcare Investors Inc. 4.750% 1/15/28 46,640 46,407
Realty Income Corp. 4.650% 8/1/23 6,000 6,501
Realty Income Corp. 4.125% 10/15/26 10,500 10,909
7 Scentre Group Trust 1 / Scentre Group Trust        
2 3.750% 3/23/27 13,610 13,746
Simon Property Group LP 2.500% 9/1/20 1,760 1,776
Simon Property Group LP 4.375% 3/1/21 28,394 30,341
Simon Property Group LP 4.125% 12/1/21 20,822 22,207
Simon Property Group LP 3.375% 3/15/22 4,328 4,471
Simon Property Group LP 2.750% 2/1/23 5,500 5,481
Simon Property Group LP 3.750% 2/1/24 28,466 29,718
Simon Property Group LP 3.375% 10/1/24 4,000 4,045
Simon Property Group LP 3.500% 9/1/25 12,997 13,181
Simon Property Group LP 3.300% 1/15/26 7,000 6,982
Simon Property Group LP 3.250% 11/30/26 24,545 24,179
Tanger Properties LP 3.125% 9/1/26 24,425 22,931
UDR Inc. 2.950% 9/1/26 4,124 3,881
Ventas Realty LP 3.125% 6/15/23 10,006 9,962

 

 

Ventas Realty LP 3.500% 2/1/25 3,180 3,147
Ventas Realty LP 3.850% 4/1/27 9,455 9,475
Welltower Inc. 3.750% 3/15/23 13,439 13,864
Welltower Inc. 4.000% 6/1/25 2,230 2,288
        8,319,427
Industrial (32.6%)        
Basic Industry (1.1%)        
Agrium Inc. 3.500% 6/1/23 15,000 15,261
Agrium Inc. 3.375% 3/15/25 8,000 7,962
7 Air Liquide Finance SA 1.750% 9/27/21 27,700 26,952
7 Air Liquide Finance SA 2.250% 9/27/23 14,330 13,831
Air Products & Chemicals Inc. 2.750% 2/3/23 3,015 3,041
Air Products & Chemicals Inc. 3.350% 7/31/24 7,000 7,248
Airgas Inc. 2.375% 2/15/20 3,725 3,756
Airgas Inc. 3.050% 8/1/20 4,690 4,818
Airgas Inc. 3.650% 7/15/24 3,500 3,671
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 3,500 3,741
Celulosa Arauco y Constitucion SA 4.750% 1/11/22 4,000 4,242
CF Industries Inc. 7.125% 5/1/20 3,480 3,798
CF Industries Inc. 3.450% 6/1/23 8,825 8,254
7 CF Industries Inc. 4.500% 12/1/26 9,770 9,934
EI du Pont de Nemours & Co. 2.800% 2/15/23 5,000 4,983
Goldcorp Inc. 3.700% 3/15/23 4,000 4,101
International Paper Co. 3.650% 6/15/24 6,085 6,233
International Paper Co. 3.800% 1/15/26 3,585 3,686
LyondellBasell Industries NV 6.000% 11/15/21 5,000 5,663
LyondellBasell Industries NV 5.750% 4/15/24 4,340 4,953
Monsanto Co. 2.750% 7/15/21 15,885 16,064
Packaging Corp. of America 3.650% 9/15/24 7,000 7,130
7 Phosagro OAO via Phosagro Bond Funding        
DAC 3.950% 11/3/21 14,800 14,818
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 4,764 5,057
Potash Corp. of Saskatchewan Inc. 3.625% 3/15/24 1,270 1,283
Potash Corp. of Saskatchewan Inc. 3.000% 4/1/25 423 406
Potash Corp. of Saskatchewan Inc. 4.000% 12/15/26 12,901 13,197
PPG Industries Inc. 3.600% 11/15/20 4,500 4,703
Praxair Inc. 4.050% 3/15/21 1,905 2,029
Praxair Inc. 3.000% 9/1/21 8,828 9,112
Praxair Inc. 2.450% 2/15/22 28,405 28,603
Praxair Inc. 2.700% 2/21/23 7,550 7,584
Praxair Inc. 2.650% 2/5/25 2,865 2,844
Vale Overseas Ltd. 5.875% 6/10/21 4,685 5,072
Vale Overseas Ltd. 6.250% 8/10/26 15,000 16,350
Valspar Corp. 3.300% 2/1/25 4,353 4,258
 
Capital Goods (3.0%)        
Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 10,948
Caterpillar Financial Services Corp. 2.100% 1/10/20 16,500 16,566
Caterpillar Financial Services Corp. 2.750% 8/20/21 11,885 12,046
Caterpillar Financial Services Corp. 2.850% 6/1/22 26,600 26,984
Caterpillar Financial Services Corp. 2.625% 3/1/23 14,845 14,805
Caterpillar Financial Services Corp. 3.750% 11/24/23 27,995 29,639
Caterpillar Financial Services Corp. 3.250% 12/1/24 8,655 8,899
Caterpillar Inc. 2.600% 6/26/22 25,285 25,535
7 CRH America Inc. 3.875% 5/18/25 10,000 10,293
Embraer Netherlands Finance BV 5.050% 6/15/25 5,180 5,377
Embraer Netherlands Finance BV 5.400% 2/1/27 14,190 14,685

 

 

7 Embraer Overseas Ltd. 5.696% 9/16/23 7,025 7,593
  Embraer SA 5.150% 6/15/22 8,000 8,466
  General Dynamics Corp. 3.875% 7/15/21 4,377 4,672
  General Dynamics Corp. 1.875% 8/15/23 10,000 9,613
  General Dynamics Corp. 2.125% 8/15/26 5,000 4,673
  General Electric Capital Corp. 6.000% 8/7/19 3,694 4,048
  General Electric Capital Corp. 5.500% 1/8/20 20,585 22,571
  General Electric Capital Corp. 5.550% 5/4/20 614 679
  General Electric Capital Corp. 4.375% 9/16/20 7,120 7,660
  General Electric Capital Corp. 4.625% 1/7/21 38,748 42,171
  General Electric Capital Corp. 5.300% 2/11/21 6,871 7,650
  General Electric Capital Corp. 4.650% 10/17/21 22,613 24,977
  General Electric Capital Corp. 3.150% 9/7/22 13,160 13,696
  General Electric Capital Corp. 6.750% 3/15/32 31,431 42,953
4 General Electric Co. 5.000% 12/29/49 2,000 2,125
  Illinois Tool Works Inc. 3.500% 3/1/24 13,712 14,388
  Illinois Tool Works Inc. 2.650% 11/15/26 36,956 35,939
  John Deere Capital Corp. 3.900% 7/12/21 10,000 10,617
  John Deere Capital Corp. 2.750% 3/15/22 43,350 43,933
  John Deere Capital Corp. 2.800% 1/27/23 28,894 29,161
  John Deere Capital Corp. 2.800% 3/6/23 38,075 38,495
  L3 Technologies Inc. 3.950% 5/28/24 684 710
7 LafargeHolcim Finance US LLC 3.500% 9/22/26 10,000 9,750
10 Leonardo SPA 4.500% 1/19/21 3,321 4,088
10 Leonardo SPA 5.250% 1/21/22 1,600 2,063
  Masco Corp. 4.450% 4/1/25 4,620 4,909
  Owens Corning 9.000% 6/15/19 195 220
7,10 Parker-Hannifin Corp. 1.125% 3/1/25 9,270 10,162
7 Parker-Hannifin Corp. 3.250% 3/1/27 41,929 42,479
  Precision Castparts Corp. 2.500% 1/15/23 58,482 58,312
  Precision Castparts Corp. 3.250% 6/15/25 10,086 10,263
  Roper Technologies Inc. 2.800% 12/15/21 6,335 6,372
  Roper Technologies Inc. 3.800% 12/15/26 16,925 17,248
7 Siemens Financieringsmaatschappij NV 3.125% 3/16/24 40,000 40,584
  Spirit AeroSystems Inc. 3.850% 6/15/26 11,765 11,765
  Textron Inc. 3.875% 3/1/25 4,775 4,895
  United Rentals North America Inc. 4.625% 7/15/23 20,825 21,606
  United Rentals North America Inc. 5.875% 9/15/26 3,115 3,282
  United Rentals North America Inc. 5.500% 5/15/27 4,830 4,969
 
  Communication (3.2%)        
7 Activision Blizzard Inc. 2.300% 9/15/21 4,300 4,237
7 Activision Blizzard Inc. 3.400% 9/15/26 24,770 24,278
  America Movil SAB de CV 5.000% 10/16/19 12,000 12,816
  America Movil SAB de CV 5.000% 3/30/20 15,000 16,150
  America Movil SAB de CV 3.125% 7/16/22 54,350 55,135
  America Movil SAB de CV 4.375% 7/16/42 5,000 4,909
10 American Tower Corp. 1.375% 4/4/25 18,755 20,487
  AT&T Inc. 4.600% 2/15/21 9,375 10,006
  AT&T Inc. 5.000% 3/1/21 10,637 11,543
  AT&T Inc. 3.800% 3/15/22 6,800 7,059
  AT&T Inc. 3.600% 2/17/23 19,000 19,353
  AT&T Inc. 4.450% 4/1/24 31,568 33,248
  CBS Corp. 3.700% 8/15/24 8,900 9,120
  CC Holdings GS V LLC / Crown Castle GS III        
  Corp. 3.849% 4/15/23 8,459 8,789

 

 

  Charter Communications Operating LLC /        
  Charter Communications Operating        
  Capital 4.908% 7/23/25 26,210 28,064
  Comcast Cable Communications Holdings        
  Inc. 9.455% 11/15/22 9,966 13,432
  Comcast Corp. 3.125% 7/15/22 20,126 20,790
  Comcast Corp. 3.000% 2/1/24 9,325 9,414
  Comcast Corp. 3.600% 3/1/24 9,000 9,374
  Comcast Corp. 3.375% 2/15/25 21,000 21,420
  Comcast Corp. 3.375% 8/15/25 55,375 56,341
  Comcast Corp. 3.150% 3/1/26 36,000 35,796
  Comcast Corp. 2.350% 1/15/27 15,000 13,915
  Comcast Corp. 3.300% 2/1/27 10,000 10,054
  Crown Castle International Corp. 2.250% 9/1/21 7,100 6,952
  Crown Castle International Corp. 4.450% 2/15/26 23,100 24,524
  Crown Castle International Corp. 3.700% 6/15/26 4,000 4,014
  Crown Castle International Corp. 4.000% 3/1/27 11,730 12,062
  Discovery Communications LLC 3.800% 3/13/24 9,485 9,472
  Electronic Arts Inc. 4.800% 3/1/26 10,000 10,929
  Grupo Televisa SAB 4.625% 1/30/26 5,000 5,256
  Grupo Televisa SAB 5.000% 5/13/45 7,830 7,449
  NBCUniversal Media LLC 4.375% 4/1/21 28,710 31,010
  NBCUniversal Media LLC 2.875% 1/15/23 54,207 54,833
  Qwest Corp. 6.750% 12/1/21 12,628 14,014
  Qwest Corp. 7.250% 9/15/25 9,354 10,318
8 Telstra Corp. Ltd. 4.000% 9/16/22 28,090 21,936
7 Telstra Corp. Ltd. 3.125% 4/7/25 11,000 10,995
  Thomson Reuters Corp. 4.300% 11/23/23 6,000 6,393
  Thomson Reuters Corp. 3.350% 5/15/26 12,000 11,849
  Time Warner Cable LLC 8.250% 4/1/19 4,500 4,998
  Time Warner Entertainment Co. LP 8.375% 3/15/23 4,000 5,027
  Verizon Communications Inc. 3.000% 11/1/21 7,000 7,087
  Verizon Communications Inc. 3.500% 11/1/21 5,971 6,160
7 Verizon Communications Inc. 2.946% 3/15/22 33,600 33,767
  Verizon Communications Inc. 5.150% 9/15/23 52,175 57,786
  Verizon Communications Inc. 4.125% 3/16/27 49,495 50,668
  Viacom Inc. 3.875% 12/15/21 2,246 2,344
  Viacom Inc. 3.250% 3/15/23 7,250 7,179
  Viacom Inc. 4.250% 9/1/23 6,900 7,165
 
  Consumer Cyclical (4.3%)        
10 Accor SA 1.250% 1/25/24 8,300 8,991
  Alibaba Group Holding Ltd. 3.125% 11/28/21 15,000 15,251
  Alibaba Group Holding Ltd. 3.600% 11/28/24 22,923 23,312
  American Honda Finance Corp. 1.650% 7/12/21 19,600 19,109
  American Honda Finance Corp. 2.900% 2/16/24 10,000 10,087
  Automatic Data Processing Inc. 3.375% 9/15/25 14,470 15,060
  AutoZone Inc. 3.700% 4/15/22 5,915 6,155
  AutoZone Inc. 2.875% 1/15/23 3,500 3,474
7 BMW US Capital LLC 2.000% 4/11/21 11,715 11,517
  Cummins Inc. 3.650% 10/1/23 7,500 7,942
  CVS Health Corp. 2.800% 7/20/20 50,170 51,105
  CVS Health Corp. 3.875% 7/20/25 13,277 13,779
  Delphi Corp. 4.150% 3/15/24 5,000 5,274
  Dollar General Corp. 3.250% 4/15/23 4,500 4,552
  DR Horton Inc. 4.375% 9/15/22 3,150 3,347
  Expedia Inc. 4.500% 8/15/24 7,000 7,353
10 FCE Bank plc 1.615% 5/11/23 10,000 11,202

 

 

  Ford Motor Co. 4.346% 12/8/26 10,000 10,206
  Ford Motor Credit Co. LLC 3.200% 1/15/21 10,000 10,125
  Ford Motor Credit Co. LLC 5.750% 2/1/21 9,545 10,510
  Ford Motor Credit Co. LLC 5.875% 8/2/21 18,000 20,025
  Ford Motor Credit Co. LLC 3.219% 1/9/22 5,000 5,032
  Ford Motor Credit Co. LLC 3.664% 9/8/24 7,000 6,946
  Ford Motor Credit Co. LLC 4.134% 8/4/25 6,000 6,075
  Ford Motor Credit Co. LLC 4.389% 1/8/26 19,369 19,911
  General Motors Co. 4.875% 10/2/23 6,000 6,388
  General Motors Financial Co. Inc. 4.375% 9/25/21 20,000 21,071
  General Motors Financial Co. Inc. 3.450% 4/10/22 5,000 5,047
  General Motors Financial Co. Inc. 3.700% 5/9/23 10,000 10,041
  General Motors Financial Co. Inc. 4.250% 5/15/23 10,000 10,293
  General Motors Financial Co. Inc. 4.000% 1/15/25 13,068 13,133
  General Motors Financial Co. Inc. 4.300% 7/13/25 3,000 3,057
  General Motors Financial Co. Inc. 5.250% 3/1/26 10,941 11,794
  General Motors Financial Co. Inc. 4.350% 1/17/27 10,000 10,107
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 3,945 3,927
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 12,380 13,047
  Harley-Davidson Inc. 3.500% 7/28/25 12,000 12,290
  Home Depot Inc. 2.625% 6/1/22 20,960 21,270
  Home Depot Inc. 2.700% 4/1/23 17,254 17,533
  Home Depot Inc. 3.750% 2/15/24 4,000 4,258
  Home Depot Inc. 3.350% 9/15/25 9,990 10,349
  Home Depot Inc. 3.000% 4/1/26 4,000 4,021
  Home Depot Inc. 2.125% 9/15/26 5,000 4,679
7 Hyundai Capital America 3.100% 4/5/22 9,455 9,421
  Kohl's Corp. 3.250% 2/1/23 5,970 5,711
  Lowe's Cos. Inc. 3.750% 4/15/21 21,595 22,834
  Lowe's Cos. Inc. 3.120% 4/15/22 21,949 22,760
  Lowe's Cos. Inc. 3.875% 9/15/23 22,795 24,372
  Lowe's Cos. Inc. 3.125% 9/15/24 3,505 3,575
  Lowe's Cos. Inc. 3.375% 9/15/25 21,130 21,674
  Lowe's Cos. Inc. 2.500% 4/15/26 30,380 29,163
  Lowe's Cos. Inc. 3.100% 5/3/27 14,790 14,785
  Macy's Retail Holdings Inc. 3.450% 1/15/21 6,000 6,059
  Macy's Retail Holdings Inc. 2.875% 2/15/23 7,500 7,036
  Marriott International Inc. 3.250% 9/15/22 3,500 3,574
  Mastercard Inc. 3.375% 4/1/24 16,000 16,673
  McDonald's Corp. 3.625% 5/20/21 4,500 4,710
7 Nissan Motor Acceptance Corp. 2.550% 3/8/21 13,785 13,805
  NVR Inc. 3.950% 9/15/22 3,000 3,144
  O'Reilly Automotive Inc. 3.800% 9/1/22 4,000 4,157
10 Priceline Group Inc. 0.800% 3/10/22 18,900 20,638
  QVC Inc. 4.850% 4/1/24 5,000 5,087
  QVC Inc. 4.450% 2/15/25 1,000 984
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 1,600 1,677
  Starbucks Corp. 2.700% 6/15/22 9,745 9,958
  Starbucks Corp. 2.450% 6/15/26 10,665 10,271
  Target Corp. 2.500% 4/15/26 11,000 10,402
  TJX Cos. Inc. 2.500% 5/15/23 13,400 13,278
  TJX Cos. Inc. 2.250% 9/15/26 12,000 11,163
  Toyota Motor Credit Corp. 4.500% 6/17/20 9,000 9,659
  Toyota Motor Credit Corp. 4.250% 1/11/21 5,155 5,529
  Toyota Motor Credit Corp. 2.750% 5/17/21 8,625 8,791
  Toyota Motor Credit Corp. 3.400% 9/15/21 24,460 25,540
  Toyota Motor Credit Corp. 3.300% 1/12/22 7,375 7,658
  Toyota Motor Credit Corp. 3.200% 1/11/27 13,500 13,675

 

 

  VF Corp. 3.500% 9/1/21 5,505 5,744
  Visa Inc. 2.800% 12/14/22 25,000 25,463
  Visa Inc. 3.150% 12/14/25 110,173 111,888
7 Volkswagen Group of America Finance LLC 1.250% 5/23/17 10,970 10,970
7 Volkswagen Group of America Finance LLC 1.600% 11/20/17 2,395 2,393
7 Volkswagen Group of America Finance LLC 1.650% 5/22/18 1,335 1,332
  Wal-Mart Stores Inc. 4.250% 4/15/21 13,619 14,775
  Wal-Mart Stores Inc. 2.550% 4/11/23 77,171 77,702
  Wal-Mart Stores Inc. 3.300% 4/22/24 17,930 18,767
  Walgreens Boots Alliance Inc. 3.300% 11/18/21 10,000 10,300
  Walgreens Boots Alliance Inc. 3.800% 11/18/24 22,735 23,360
  Walgreens Boots Alliance Inc. 3.450% 6/1/26 13,000 12,797
  Wyndham Worldwide Corp. 4.250% 3/1/22 4,000 4,202
  Wyndham Worldwide Corp. 3.900% 3/1/23 2,000 2,051
 
  Consumer Noncyclical (6.5%)        
  Abbott Laboratories 2.900% 11/30/21 30,000 30,289
  Abbott Laboratories 2.550% 3/15/22 9,000 8,904
  Abbott Laboratories 3.250% 4/15/23 9,138 9,209
  Abbott Laboratories 2.950% 3/15/25 10,000 9,615
  Abbott Laboratories 3.875% 9/15/25 19,000 19,382
  Abbott Laboratories 3.750% 11/30/26 25,000 25,313
  AbbVie Inc. 3.600% 5/14/25 45,075 45,470
  AbbVie Inc. 3.200% 5/14/26 25,000 24,265
  Actavis Funding SCS 3.850% 6/15/24 30,000 30,781
  Actavis Funding SCS 3.800% 3/15/25 21,306 21,753
  Actavis Inc. 3.250% 10/1/22 8,542 8,659
  Agilent Technologies Inc. 5.000% 7/15/20 2,000 2,161
  Agilent Technologies Inc. 3.200% 10/1/22 10,000 10,162
  Allergan Inc. 2.800% 3/15/23 5,000 4,964
  Altria Group Inc. 9.250% 8/6/19 8,014 9,273
  Altria Group Inc. 2.850% 8/9/22 19,409 19,594
  AmerisourceBergen Corp. 4.875% 11/15/19 6,270 6,689
  AmerisourceBergen Corp. 3.400% 5/15/24 8,000 8,210
  AmerisourceBergen Corp. 3.250% 3/1/25 6,000 6,073
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 80 82
  Anheuser-Busch Cos. LLC 5.000% 3/1/19 3,145 3,321
  Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 15,000 15,174
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 12,382 12,304
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 61,800 63,444
  Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 8,500 8,859
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 106,250 108,453
10 Anheuser-Busch InBev SA 3.250% 1/24/33 600 774
10 Anheuser-Busch InBev SA 2.750% 3/17/36 8,143 9,717
  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,514 9,488
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 7,210 7,833
  Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,286 13,294
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 36,346 36,214
  Baxalta Inc. 3.600% 6/23/22 7,000 7,204
  Baxalta Inc. 4.000% 6/23/25 36,709 37,778
  Becton Dickinson & Co. 3.734% 12/15/24 7,800 7,846
  Biogen Inc. 4.050% 9/15/25 7,500 7,861
  Boston Scientific Corp. 4.125% 10/1/23 2,000 2,111
10 Bunge Finance Europe BV 1.850% 6/16/23 6,917 7,831
  Cardinal Health Inc. 3.500% 11/15/24 7,000 7,199
7 Cargill Inc. 4.307% 5/14/21 9,843 10,570
7 Cargill Inc. 3.250% 11/15/21 10,515 10,858
7 Cargill Inc. 3.300% 3/1/22 10,000 10,355

 

 

  Catholic Health Initiatives Colorado GO 4.200% 8/1/23 2,000 2,054
  Coca-Cola Bottling Co. Consolidated 3.800% 11/25/25 7,500 7,702
  Coca-Cola Co. 3.200% 11/1/23 8,420 8,723
  Coca-Cola Co. 2.875% 10/27/25 12,000 12,019
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 3,095 3,102
  Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,271
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 12,500 12,910
  Conagra Brands Inc. 3.250% 9/15/22 11,950 12,070
  Constellation Brands Inc. 3.750% 5/1/21 4,250 4,425
  Constellation Brands Inc. 4.750% 11/15/24 11,015 11,979
  Constellation Brands Inc. 4.750% 12/1/25 16,356 17,767
  Covidien International Finance SA 4.200% 6/15/20 7,735 8,239
  Covidien International Finance SA 3.200% 6/15/22 13,500 13,876
  Diageo Capital plc 4.828% 7/15/20 5,689 6,161
  Dignity Health California GO 3.812% 11/1/24 1,000 1,014
  Express Scripts Holding Co. 3.500% 6/15/24 9,000 8,897
  Express Scripts Holding Co. 4.500% 2/25/26 28,000 29,064
  Express Scripts Holding Co. 3.400% 3/1/27 5,000 4,756
10 Fresenius SE & Co. KGaA 4.000% 2/1/24 5,950 7,547
10 Fresenius SE & Co. KGaA 3.000% 1/30/32 6,200 7,190
  Gilead Sciences Inc. 3.700% 4/1/24 103,867 107,429
  Gilead Sciences Inc. 3.500% 2/1/25 92,171 93,520
7 Grupo Bimbo SAB de CV 3.875% 6/27/24 13,000 13,179
  Hormel Foods Corp. 4.125% 4/15/21 625 669
  JM Smucker Co. 2.500% 3/15/20 1,575 1,594
  Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,467
  Kimberly-Clark Corp. 3.050% 8/15/25 5,252 5,339
  Koninklijke Philips NV 3.750% 3/15/22 5,000 5,246
  Kraft Foods Group Inc. 6.125% 8/23/18 6,000 6,325
  Laboratory Corp. of America Holdings 3.600% 2/1/25 2,000 2,003
  McCormick & Co. Inc. 3.500% 9/1/23 12,489 13,063
  McCormick & Co. Inc. 3.250% 11/15/25 14,255 14,357
  McKesson Corp. 7.500% 2/15/19 6,100 6,676
  McKesson Corp. 2.850% 3/15/23 5,000 5,001
11 McKesson Corp. 3.125% 2/17/29 4,100 5,489
  Medtronic Inc. 3.150% 3/15/22 41,853 43,335
  Medtronic Inc. 3.625% 3/15/24 15,590 16,325
  Medtronic Inc. 3.500% 3/15/25 85,100 87,736
  Newell Brands Inc. 4.200% 4/1/26 22,000 23,077
  Newell Brands Inc. 5.375% 4/1/36 6,000 6,768
  PepsiCo Inc. 2.750% 3/5/22 13,860 14,154
  PepsiCo Inc. 3.100% 7/17/22 11,550 11,929
  PepsiCo Inc. 3.600% 3/1/24 13,040 13,764
  PepsiCo Inc. 2.750% 4/30/25 16,000 15,848
  PerkinElmer Inc. 5.000% 11/15/21 8,000 8,714
  Perrigo Co. plc 5.300% 11/15/43 5,995 6,175
  Perrigo Finance Unlimited Co. 4.375% 3/15/26 37,476 38,493
  Perrigo Finance Unlimited Co. 4.900% 12/15/44 17,705 17,418
  Philip Morris International Inc. 2.900% 11/15/21 4,150 4,231
  Philip Morris International Inc. 4.500% 3/20/42 5,000 5,157
  Providence St. Joseph Health Obligated        
  Group 2.746% 10/1/26 7,500 7,187
  Quest Diagnostics Inc. 4.750% 1/30/20 1,000 1,070
  Quest Diagnostics Inc. 4.700% 4/1/21 4,000 4,314
  Quest Diagnostics Inc. 4.250% 4/1/24 2,000 2,117
  Quest Diagnostics Inc. 3.450% 6/1/26 6,900 6,861
  Reynolds American Inc. 6.875% 5/1/20 8,304 9,375
  Reynolds American Inc. 4.000% 6/12/22 5,000 5,292

 

 

Reynolds American Inc. 4.850% 9/15/23 7,000 7,684
Reynolds American Inc. 4.450% 6/12/25 18,975 20,205
7 Roche Holdings Inc. 2.875% 9/29/21 21,521 22,032
7 Roche Holdings Inc. 3.350% 9/30/24 28,093 29,112
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 27,315 26,711
Stryker Corp. 4.375% 1/15/20 4,000 4,242
Stryker Corp. 3.375% 5/15/24 5,000 5,101
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 57,580 55,454
Teva Pharmaceutical Finance Netherlands III        
BV 3.150% 10/1/26 19,955 18,570
The Kroger Co. 2.950% 11/1/21 3,000 3,042
The Kroger Co. 3.400% 4/15/22 3,000 3,082
The Kroger Co. 3.500% 2/1/26 10,000 10,034
Thermo Fisher Scientific Inc. 4.500% 3/1/21 4,100 4,400
Thermo Fisher Scientific Inc. 3.650% 12/15/25 10,000 10,227
Thermo Fisher Scientific Inc. 2.950% 9/19/26 12,000 11,528
Tyson Foods Inc. 4.500% 6/15/22 12,470 13,342
 
Energy (5.9%)        
Anadarko Petroleum Corp. 4.850% 3/15/21 8,190 8,806
Anadarko Petroleum Corp. 3.450% 7/15/24 10,000 9,865
Anadarko Petroleum Corp. 5.550% 3/15/26 11,000 12,276
Apache Corp. 3.250% 4/15/22 8,000 8,134
8 APT Pipelines Ltd. 3.750% 10/20/23 23,150 17,124
7 APT Pipelines Ltd. 4.250% 7/15/27 6,840 6,983
Boardwalk Pipelines LP 4.450% 7/15/27 9,775 9,972
BP Capital Markets plc 4.750% 3/10/19 8,350 8,784
BP Capital Markets plc 2.521% 1/15/20 5,000 5,070
BP Capital Markets plc 4.500% 10/1/20 20,500 22,030
BP Capital Markets plc 3.561% 11/1/21 31,470 32,888
BP Capital Markets plc 3.062% 3/17/22 15,970 16,294
BP Capital Markets plc 3.245% 5/6/22 44,000 45,377
BP Capital Markets plc 2.500% 11/6/22 16,852 16,651
BP Capital Markets plc 2.750% 5/10/23 35,560 35,433
BP Capital Markets plc 3.994% 9/26/23 22,000 23,338
BP Capital Markets plc 3.216% 11/28/23 15,000 15,223
BP Capital Markets plc 3.814% 2/10/24 30,410 31,775
BP Capital Markets plc 3.224% 4/14/24 10,500 10,591
BP Capital Markets plc 3.535% 11/4/24 23,845 24,336
BP Capital Markets plc 3.506% 3/17/25 5,125 5,246
BP Capital Markets plc 3.119% 5/4/26 9,900 9,804
7 Cenovus Energy Inc. 4.250% 4/15/27 20,000 19,850
Chevron Corp. 2.193% 11/15/19 2,000 2,018
Chevron Corp. 1.961% 3/3/20 9,220 9,239
Chevron Corp. 2.411% 3/3/22 21,340 21,433
Chevron Corp. 2.355% 12/5/22 52,115 51,764
Chevron Corp. 3.191% 6/24/23 13,933 14,377
Chevron Corp. 2.895% 3/3/24 25,000 25,188
Chevron Corp. 3.326% 11/17/25 6,210 6,383
Cimarex Energy Co. 3.900% 5/15/27 9,400 9,498
Columbia Pipeline Group Inc. 4.500% 6/1/25 11,936 12,637
ConocoPhillips 5.750% 2/1/19 2,000 2,135
ConocoPhillips 6.000% 1/15/20 5,000 5,524
ConocoPhillips Co. 4.200% 3/15/21 3,250 3,475
ConocoPhillips Co. 2.875% 11/15/21 12,000 12,215
ConocoPhillips Co. 2.400% 12/15/22 10,000 9,888
ConocoPhillips Co. 3.350% 11/15/24 18,184 18,568

 

 

ConocoPhillips Co. 4.950% 3/15/26 44,657 49,938
Devon Energy Corp. 3.250% 5/15/22 10,000 10,039
Dominion Gas Holdings LLC 3.600% 12/15/24 25,000 25,545
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,110 1,091
Energy Transfer Partners LP 9.700% 3/15/19 4,432 5,014
Energy Transfer Partners LP 4.650% 6/1/21 5,850 6,178
Energy Transfer Partners LP 5.200% 2/1/22 15,908 17,221
Energy Transfer Partners LP 3.600% 2/1/23 8,439 8,506
Energy Transfer Partners LP 4.900% 2/1/24 8,042 8,488
Energy Transfer Partners LP 4.050% 3/15/25 1,000 1,000
EOG Resources Inc. 2.625% 3/15/23 18,885 18,622
EQT Corp. 8.125% 6/1/19 5,500 6,129
EQT Corp. 4.875% 11/15/21 4,000 4,299
Exxon Mobil Corp. 2.726% 3/1/23 15,850 15,996
Exxon Mobil Corp. 2.709% 3/6/25 11,250 11,152
Exxon Mobil Corp. 3.043% 3/1/26 21,000 21,209
Halliburton Co. 3.250% 11/15/21 10,800 11,124
Halliburton Co. 3.500% 8/1/23 5,000 5,134
Hess Corp. 4.300% 4/1/27 6,000 5,979
Kinder Morgan Energy Partners LP 5.800% 3/1/21 5,000 5,521
Kinder Morgan Energy Partners LP 4.150% 3/1/22 1,240 1,294
Kinder Morgan Energy Partners LP 3.950% 9/1/22 2,000 2,063
Kinder Morgan Energy Partners LP 3.450% 2/15/23 5,000 5,017
Kinder Morgan Energy Partners LP 4.250% 9/1/24 5,000 5,164
Kinder Morgan Inc. 7.800% 8/1/31 3,130 3,966
Kinder Morgan Inc. 7.750% 1/15/32 4,045 5,152
Marathon Oil Corp. 2.800% 11/1/22 9,500 9,239
Marathon Oil Corp. 3.850% 6/1/25 9,000 8,921
Marathon Oil Corp. 5.200% 6/1/45 4,800 4,806
MPLX LP 4.500% 7/15/23 13,800 14,542
MPLX LP 4.875% 12/1/24 28,400 30,317
MPLX LP 4.000% 2/15/25 6,012 6,019
7 Nabors Industries Inc. 5.500% 1/15/23 4,775 4,835
National Oilwell Varco Inc. 2.600% 12/1/22 14,000 13,529
Noble Energy Inc. 8.250% 3/1/19 6,000 6,654
Noble Energy Inc. 3.900% 11/15/24 5,592 5,715
Occidental Petroleum Corp. 3.125% 2/15/22 19,080 19,532
Occidental Petroleum Corp. 2.700% 2/15/23 22,604 22,526
Occidental Petroleum Corp. 3.500% 6/15/25 13,471 13,725
ONEOK Partners LP 5.000% 9/15/23 8,805 9,529
Phillips 66 4.300% 4/1/22 9,000 9,712
Pioneer Natural Resources Co. 3.950% 7/15/22 3,000 3,161
Pioneer Natural Resources Co. 4.450% 1/15/26 3,000 3,204
Plains All American Pipeline LP / PAA        
Finance Corp. 2.850% 1/31/23 1,902 1,849
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.875% 3/1/22 6,025 6,640
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.000% 10/1/22 8,440 9,010
Sabine Pass Liquefaction LLC 5.625% 4/15/23 19,675 21,692
Sabine Pass Liquefaction LLC 5.750% 5/15/24 55,610 61,310
7 Sabine Pass Liquefaction LLC 5.875% 6/30/26 14,670 16,320
7 Schlumberger Holdings Corp. 3.625% 12/21/22 21,150 22,126
7 Schlumberger Holdings Corp. 4.000% 12/21/25 6,801 7,143
Schlumberger Investment SA 3.650% 12/1/23 9,200 9,632
Shell International Finance BV 2.375% 8/21/22 29,609 29,319
Shell International Finance BV 2.250% 1/6/23 10,500 10,278
Shell International Finance BV 3.400% 8/12/23 5,000 5,197

 

 

  Shell International Finance BV 3.250% 5/11/25 84,778 86,195
  Shell International Finance BV 2.875% 5/10/26 36,000 35,384
  Shell International Finance BV 4.000% 5/10/46 5,000 4,837
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 795 957
  Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 3,960 4,788
  Total Capital Canada Ltd. 2.750% 7/15/23 26,570 26,701
8 Total Capital International SA 4.250% 11/26/21 9,816 7,713
  Total Capital International SA 2.875% 2/17/22 31,378 31,859
  Total Capital International SA 2.700% 1/25/23 23,160 23,146
  Total Capital International SA 3.700% 1/15/24 5,000 5,222
  Total Capital International SA 3.750% 4/10/24 15,186 15,919
  Total Capital SA 4.450% 6/24/20 9,812 10,526
  TransCanada PipeLines Ltd. 3.800% 10/1/20 4,292 4,508
  TransCanada PipeLines Ltd. 2.500% 8/1/22 8,025 7,981
  TransCanada PipeLines Ltd. 3.750% 10/16/23 18,315 19,189
  TransCanada PipeLines Ltd. 4.875% 1/15/26 18,330 20,535
  TransCanada PipeLines Ltd. 4.625% 3/1/34 3,335 3,561
  Valero Energy Corp. 9.375% 3/15/19 4,200 4,756
  Valero Energy Partners LP 4.375% 12/15/26 6,835 7,025
  Williams Partners LP 3.600% 3/15/22 9,000 9,192
  Williams Partners LP 3.350% 8/15/22 5,000 5,023
  Williams Partners LP 4.500% 11/15/23 6,133 6,484
  Williams Partners LP 3.900% 1/15/25 5,116 5,189
  Williams Partners LP / ACMP Finance Corp. 4.875% 5/15/23 5,000 5,150
  Williams Partners LP / ACMP Finance Corp. 4.875% 3/15/24 9,000 9,270
 
  Other Industrial (0.3%)        
  CBRE Services Inc. 4.875% 3/1/26 10,000 10,487
7 CK Hutchison International 16 Ltd. 2.750% 10/3/26 10,590 10,061
7 CK Hutchison International 17 Ltd. 3.500% 4/5/27 6,860 6,858
10 Fluor Corp. 1.750% 3/21/23 4,770 5,412
7 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 20,710 22,840
7 Hutchison Whampoa International 11 Ltd. 4.625% 1/13/22 19,240 20,815
7 Hutchison Whampoa International 14 Ltd. 3.625% 10/31/24 5,000 5,142
8 QPH Finance Co. Pty Ltd. 3.750% 6/7/23 3,220 2,396
 
  Technology (6.3%)        
  Altera Corp. 4.100% 11/15/23 4,623 4,995
  Apple Inc. 2.850% 5/6/21 37,125 38,270
  Apple Inc. 2.150% 2/9/22 19,000 18,936
  Apple Inc. 2.700% 5/13/22 26,950 27,491
  Apple Inc. 2.850% 2/23/23 46,815 47,555
  Apple Inc. 2.400% 5/3/23 106,325 105,707
  Apple Inc. 3.000% 2/9/24 18,000 18,361
  Apple Inc. 3.450% 5/6/24 64,000 66,905
  Apple Inc. 2.500% 2/9/25 55,083 53,883
  Apple Inc. 3.200% 5/13/25 15,370 15,694
  Apple Inc. 3.250% 2/23/26 44,963 45,847
  Apple Inc. 2.450% 8/4/26 17,120 16,385
  Apple Inc. 3.350% 2/9/27 28,000 28,647
  Applied Materials Inc. 3.900% 10/1/25 10,000 10,685
  Applied Materials Inc. 3.300% 4/1/27 10,000 10,158
  Avnet Inc. 3.750% 12/1/21 1,580 1,606
  Baidu Inc. 3.500% 11/28/22 13,000 13,312
7 Broadcom Corp. / Broadcom Cayman        
  Finance Ltd. 3.625% 1/15/24 29,750 30,159
7 Broadcom Corp. / Broadcom Cayman        
  Finance Ltd. 3.875% 1/15/27 29,750 30,122

 

 

Cisco Systems Inc. 3.000% 6/15/22 7,000 7,186
Cisco Systems Inc. 2.200% 9/20/23 17,500 17,126
Cisco Systems Inc. 2.950% 2/28/26 18,870 18,809
Cisco Systems Inc. 2.500% 9/20/26 17,500 16,853
7 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 4.420% 6/15/21 2,525 2,653
7 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 5.450% 6/15/23 42,975 46,434
7 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 6.020% 6/15/26 24,590 27,061
7 Everett Spinco Inc. 4.750% 4/15/27 9,775 10,092
Fidelity National Information Services Inc. 4.500% 10/15/22 8,000 8,601
Fidelity National Information Services Inc. 3.500% 4/15/23 7,705 7,895
Fidelity National Information Services Inc. 3.875% 6/5/24 2,350 2,431
Fidelity National Information Services Inc. 5.000% 10/15/25 23,399 25,814
Fidelity National Information Services Inc. 3.000% 8/15/26 10,000 9,580
Fiserv Inc. 3.500% 10/1/22 8,000 8,261
Fiserv Inc. 3.850% 6/1/25 3,000 3,107
Hewlett Packard Enterprise Co. 3.600% 10/15/20 5,000 5,171
Hewlett Packard Enterprise Co. 4.400% 10/15/22 10,000 10,542
Hewlett Packard Enterprise Co. 4.900% 10/15/25 28,500 29,857
Intel Corp. 3.300% 10/1/21 24,860 26,062
8 Intel Corp. 4.000% 12/1/22 38,670 30,103
Intel Corp. 2.700% 12/15/22 4,865 4,943
Intel Corp. 3.700% 7/29/25 18,871 19,837
International Business Machines Corp. 1.875% 8/1/22 17,000 16,567
International Business Machines Corp. 3.375% 8/1/23 21,000 21,901
International Business Machines Corp. 3.625% 2/12/24 22,000 23,149
International Business Machines Corp. 3.450% 2/19/26 12,000 12,308
International Business Machines Corp. 3.300% 1/27/27 13,875 14,032
KLA-Tencor Corp. 4.125% 11/1/21 3,000 3,166
KLA-Tencor Corp. 4.650% 11/1/24 5,000 5,355
Lam Research Corp. 3.800% 3/15/25 4,000 4,072
Microsoft Corp. 2.375% 2/12/22 33,070 33,398
Microsoft Corp. 2.650% 11/3/22 14,215 14,423
Microsoft Corp. 2.125% 11/15/22 9,000 8,912
Microsoft Corp. 2.000% 8/8/23 30,000 29,178
Microsoft Corp. 3.625% 12/15/23 19,000 20,171
Microsoft Corp. 2.700% 2/12/25 45,175 44,942
Microsoft Corp. 3.125% 11/3/25 47,715 48,433
Microsoft Corp. 2.400% 8/8/26 30,000 28,685
Microsoft Corp. 3.300% 2/6/27 89,290 91,815
Motorola Solutions Inc. 3.750% 5/15/22 7,000 7,150
Oracle Corp. 2.500% 5/15/22 42,635 42,927
Oracle Corp. 2.500% 10/15/22 41,852 41,969
Oracle Corp. 3.625% 7/15/23 11,760 12,422
Oracle Corp. 2.400% 9/15/23 20,000 19,715
Oracle Corp. 3.400% 7/8/24 43,500 45,175
Oracle Corp. 2.950% 5/15/25 38,885 38,791
Oracle Corp. 2.650% 7/15/26 3,085 2,978
Pitney Bowes Inc. 3.375% 10/1/21 6,375 6,288
QUALCOMM Inc. 3.000% 5/20/22 26,510 27,078
QUALCOMM Inc. 3.450% 5/20/25 14,665 14,982
Seagate HDD Cayman 4.750% 6/1/23 2,855 2,894
7 Seagate HDD Cayman 4.875% 3/1/24 14,665 14,573
Tech Data Corp. 4.950% 2/15/27 20,000 20,586
Total System Services Inc. 4.800% 4/1/26 5,000 5,432
Tyco Electronics Group SA 4.875% 1/15/21 4,335 4,678

 

 

  Tyco Electronics Group SA 3.500% 2/3/22 19,370 20,078
  Tyco Electronics Group SA 3.450% 8/1/24 7,555 7,669
  Tyco Electronics Group SA 3.700% 2/15/26 7,483 7,668
  Verisk Analytics Inc. 4.125% 9/12/22 11,264 11,804
  Verisk Analytics Inc. 4.000% 6/15/25 8,000 8,187
  Xerox Corp. 6.350% 5/15/18 3,535 3,687
  Xerox Corp. 2.800% 5/15/20 135 135
  Xerox Corp. 2.750% 9/1/20 3,455 3,435
 
  Transportation (2.0%)        
7 Air Canada 7.750% 4/15/21 23,095 26,189
8 Asciano Finance Ltd. 5.250% 5/19/25 8,640 6,624
8 Australia Pacific Airports Melbourne Pty Ltd. 4.000% 9/15/22 5,750 4,421
8 Australia Pacific Airports Melbourne Pty Ltd. 3.750% 11/4/26 600 436
  Burlington Northern Santa Fe LLC 4.100% 6/1/21 2,488 2,650
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 2,980 3,115
  Burlington Northern Santa Fe LLC 3.000% 3/15/23 10,830 11,032
  Burlington Northern Santa Fe LLC 3.850% 9/1/23 8,505 9,063
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 3,000 3,179
  Burlington Northern Santa Fe LLC 3.400% 9/1/24 41,327 42,781
  Burlington Northern Santa Fe LLC 7.000% 12/15/25 16,231 20,838
  Burlington Northern Santa Fe LLC 3.250% 6/15/27 14,360 14,652
  Canadian National Railway Co. 2.950% 11/21/24 1,130 1,155
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 129 132
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 28 29
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 822 899
4 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 10/1/22 890 973
4 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 5/10/21 3,358 3,719
4 Continental Airlines 2010-1 Class A Pass        
  Through Trust 4.750% 7/12/22 5,238 5,526
4 Continental Airlines 2012-1 Class A Pass        
  Through Trust 4.150% 10/11/25 7,084 7,420
4 Continental Airlines 2012-2 Class A Pass        
  Through Trust 4.000% 4/29/26 5,563 5,785
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 1,055 1,102
4 CSX Transportation Inc. 6.251% 1/15/23 2,866 3,278
4,12 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 8,643 9,691
4 Delta Air Lines 2007-1 Class A Pass        
  Through Trust 6.821% 2/10/24 34,116 39,106
4 Delta Air Lines 2009-1 Class A Pass        
  Through Trust 7.750% 6/17/21 2,684 2,942
4 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 1/2/20 4,794 4,998
4 Delta Air Lines 2012-1 Class A Pass        
  Through Trust 4.750% 11/7/21 2,569 2,707
4 Delta Air Lines 2015-1 Class A Pass        
  Through Trust 3.875% 1/30/29 8,427 8,638
  Delta Air Lines Inc. 3.625% 3/15/22 42,705 43,826
7 ERAC USA Finance LLC 3.850% 11/15/24 8,000 8,139
7 ERAC USA Finance LLC 3.800% 11/1/25 9,000 9,128

 

 

4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 39,467 40,355
4,7 Heathrow Funding Ltd. 4.875% 7/15/23 330 354
  JB Hunt Transport Services Inc. 3.300% 8/15/22 5,000 5,086
  Kansas City Southern 2.350% 5/15/20 5,000 5,008
  Kansas City Southern 3.000% 5/15/23 21,000 20,800
  Kansas City Southern 3.125% 6/1/26 33,465 31,958
  Kansas City Southern 4.950% 8/15/45 5,700 5,864
8 Qantas Airways Ltd. 7.500% 6/11/21 9,290 7,911
8 Qantas Airways Ltd. 7.750% 5/19/22 6,780 5,944
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.650% 8/1/22 5,882 6,477
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 13,117 14,494
4 Spirit Airlines Class A Pass Through        
  Certificates Series 2015-1 4.100% 10/1/29 29,037 29,690
  Union Pacific Corp. 4.163% 7/15/22 14,082 15,242
  Union Pacific Corp. 2.950% 1/15/23 8,364 8,534
  Union Pacific Corp. 3.750% 3/15/24 15,000 15,871
  Union Pacific Corp. 3.250% 8/15/25 2,198 2,250
4 United Airlines 2013-1 Class A Pass Through        
  Trust 4.300% 2/15/27 4,970 5,237
  United Continental Holdings Inc. 6.375% 6/1/18 2,775 2,896
4 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 3,184 3,514
8 WSO Finance Pty Ltd. 3.500% 7/14/23 10,260 7,547
          8,855,591
Utilities (3.9%)        
  Electric (3.9%)        
7 AEP Transmission Co. LLC 3.100% 12/1/26 6,835 6,827
  Ameren Illinois Co. 2.700% 9/1/22 22,449 22,643
  Ameren Illinois Co. 3.250% 3/1/25 11,680 11,936
8 AusNet Services Holdings Pty Ltd. 4.400% 8/16/27 18,420 14,019
  Baltimore Gas & Electric Co. 2.800% 8/15/22 16,840 16,926
  Baltimore Gas & Electric Co. 3.350% 7/1/23 10,627 10,940
  Berkshire Hathaway Energy Co. 3.750% 11/15/23 17,100 17,988
  Cleco Corporate Holdings LLC 3.743% 5/1/26 12,949 12,909
  Commonwealth Edison Co. 3.100% 11/1/24 5,790 5,831
  Connecticut Light & Power Co. 2.500% 1/15/23 32,960 32,799
  DTE Electric Co. 3.900% 6/1/21 14,650 15,502
  DTE Electric Co. 2.650% 6/15/22 1,000 1,006
  Dynegy Inc. 6.750% 11/1/19 675 685
  Dynegy Inc. 7.375% 11/1/22 10,850 10,416
7 EDP Finance BV 4.900% 10/1/19 14,676 15,408
7 EDP Finance BV 4.125% 1/15/20 17,450 17,975
7 EDP Finance BV 5.250% 1/14/21 9,150 9,851
11 EDP Finance BV 8.625% 1/4/24 2,588 4,471
  Emera US Finance LP 2.700% 6/15/21 5,470 5,476
  Emera US Finance LP 3.550% 6/15/26 18,224 18,078
  Emera US Finance LP 4.750% 6/15/46 4,860 4,933
  Entergy Arkansas Inc. 3.750% 2/15/21 8,770 9,220
  Entergy Arkansas Inc. 3.050% 6/1/23 7,410 7,466
  Entergy Arkansas Inc. 3.700% 6/1/24 3,318 3,484
  Entergy Arkansas Inc. 3.500% 4/1/26 6,620 6,807
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 5,699 6,630
  Entergy Louisiana LLC 4.800% 5/1/21 12,780 13,669
  Entergy Louisiana LLC 3.300% 12/1/22 6,915 7,149
  Entergy Louisiana LLC 4.050% 9/1/23 6,400 6,795

 

 

Entergy Louisiana LLC 5.400% 11/1/24 8,562 9,861
Entergy Louisiana LLC 2.400% 10/1/26 14,120 13,392
Entergy Louisiana LLC 4.950% 1/15/45 9,250 9,552
Eversource Energy 2.800% 5/1/23 2,000 1,991
Exelon Corp. 2.850% 6/15/20 8,030 8,182
Exelon Corp. 3.497% 6/1/22 6,731 6,870
Exelon Corp. 3.950% 6/15/25 15,472 16,066
FirstEnergy Corp. 4.250% 3/15/23 14,902 15,510
7 FirstEnergy Transmission LLC 4.350% 1/15/25 26,295 27,585
7 Fortis Inc. 3.055% 10/4/26 34,275 32,572
Georgia Power Co. 2.400% 4/1/21 4,735 4,717
Georgia Power Co. 2.850% 5/15/22 16,559 16,671
Georgia Power Co. 3.250% 3/30/27 22,090 21,861
Great Plains Energy Inc. 3.900% 4/1/27 14,660 14,859
ITC Holdings Corp. 3.250% 6/30/26 14,700 14,398
Kentucky Utilities Co. 3.300% 10/1/25 8,940 9,029
LG&E & KU Energy LLC 4.375% 10/1/21 9,785 10,372
Louisville Gas & Electric Co. 3.300% 10/1/25 4,530 4,605
MidAmerican Energy Co. 3.700% 9/15/23 5,500 5,792
National Rural Utilities Cooperative Finance        
Corp. 2.950% 2/7/24 6,715 6,783
7 Niagara Mohawk Power Corp. 2.721% 11/28/22 2,000 2,007
NSTAR Electric Co. 2.375% 10/15/22 7,700 7,638
NSTAR Electric Co. 3.250% 11/15/25 10,000 10,064
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 23,887 28,945
Oncor Electric Delivery Co. LLC 2.950% 4/1/25 1,200 1,197
Pacific Gas & Electric Co. 2.450% 8/15/22 6,500 6,463
Pacific Gas & Electric Co. 3.250% 6/15/23 28,755 29,567
Pacific Gas & Electric Co. 3.850% 11/15/23 3,710 3,917
PacifiCorp 3.850% 6/15/21 16,844 17,874
PacifiCorp 3.600% 4/1/24 14,000 14,642
PacifiCorp 3.350% 7/1/25 12,720 12,999
Potomac Electric Power Co. 3.050% 4/1/22 2,270 2,309
Potomac Electric Power Co. 3.600% 3/15/24 12,690 13,196
PPL Capital Funding Inc. 3.100% 5/15/26 36,300 35,173
PSEG Power LLC 4.300% 11/15/23 1,210 1,263
Puget Energy Inc. 6.500% 12/15/20 15,565 17,558
Puget Energy Inc. 6.000% 9/1/21 4,235 4,733
Puget Energy Inc. 5.625% 7/15/22 19,769 21,983
Puget Energy Inc. 3.650% 5/15/25 13,665 13,727
SCANA Corp. 6.250% 4/1/20 8,500 9,293
SCANA Corp. 4.750% 5/15/21 10,787 11,280
SCANA Corp. 4.125% 2/1/22 2,000 2,021
Southern Co. 2.350% 7/1/21 2,307 2,277
4 Southern Co. 5.500% 3/15/57 6,545 6,794
Southwestern Electric Power Co. 3.550% 2/15/22 16,530 17,077
Southwestern Electric Power Co. 2.750% 10/1/26 7,355 7,022
Southwestern Public Service Co. 3.300% 6/15/24 41,070 42,188
Tampa Electric Co. 5.400% 5/15/21 13,000 14,252
7 Trans-Allegheny Interstate Line Co. 3.850% 6/1/25 11,000 11,344
8 United Energy Distribution Pty Ltd. 3.500% 9/12/23 14,540 10,688
Virginia Electric & Power Co. 3.450% 9/1/22 9,000 9,367
Virginia Electric & Power Co. 3.450% 2/15/24 7,000 7,251
Virginia Electric & Power Co. 3.100% 5/15/25 8,885 8,901
Virginia Electric & Power Co. 3.150% 1/15/26 10,000 10,027
Virginia Electric & Power Co. 2.950% 11/15/26 22,185 21,869
Westar Energy Inc. 2.550% 7/1/26 16,620 15,929
Westar Energy Inc. 3.100% 4/1/27 13,170 13,143

 

 

  Western Massachusetts Electric Co. 3.500% 9/15/21 10,000 10,405
 
  Natural Gas (0.0%)        
7 Engie SA 2.875% 10/10/22 3,480 3,470
 
          1,048,360
Total Corporate Bonds (Cost $17,961,624)       18,223,378
Sovereign Bonds (6.6%)        
7 Abu Dhabi National Energy Co. PJSC 6.165% 10/25/17 1,000 1,020
7 Abu Dhabi National Energy Co. PJSC 3.625% 1/12/23 1,000 1,011
  Arab Republic of Egypt 8.500% 1/31/47 14,300 15,558
  Argentine Republic 5.625% 1/26/22 9,350 9,747
  Argentine Republic 6.875% 1/26/27 4,400 4,641
  Argentine Republic 8.280% 12/31/33 6,548 7,317
4 Argentine Republic 2.500% 12/31/38 5,330 3,504
7 Banco Latinoamericano de Comercio        
  Exterior SA 3.250% 5/7/20 4,000 4,031
7 Bank Nederlandse Gemeenten NV 2.500% 1/23/23 1,000 1,008
10 Banque Centrale de Tunisie SA 5.625% 2/17/24 10,340 11,499
7 Bermuda 4.138% 1/3/23 2,000 2,067
7 Bermuda 4.854% 2/6/24 1,000 1,061
  Bermuda 4.854% 2/6/24 17,825 18,888
  BOC Aviation Ltd. 3.875% 5/9/19 800 820
7 BOC Aviation Ltd. 2.375% 9/15/21 15,000 14,575
  BOC Aviation Ltd. 3.875% 4/27/26 3,700 3,684
  Cayman Islands 5.950% 11/24/19 500 543
7 CDP Financial Inc. 4.400% 11/25/19 16,450 17,458
7 CDP Financial Inc. 3.150% 7/24/24 8,000 8,201
  CNOOC Curtis Funding No 1 Pty Ltd. 4.500% 10/3/23 5,000 5,322
  CNOOC Finance 2013 Ltd. 3.000% 5/9/23 20,000 19,633
7 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 1,014
7 Comision Federal de Electricidad 4.750% 2/23/27 1,600 1,616
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 5,000 5,097
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 1,400 1,496
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 3,000 3,148
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 29,660 31,102
7,13 Dexia Credit Local SA 1.875% 9/15/21 10,000 9,717
  Dominican Republic 5.950% 1/25/27 11,200 11,727
  Ecopetrol SA 5.875% 9/18/23 20,550 22,245
7 Electricite de France SA 3.625% 10/13/25 4,800 4,879
8 Emirates NBD PJSC 5.750% 5/8/19 4,060 3,184
4,7 ENA Norte Trust 4.950% 4/25/28 1,552 1,598
  Export-Import Bank of India 3.375% 8/5/26 5,000 4,807
  Export-Import Bank of Korea 2.875% 9/17/18 3,000 3,038
  Export-Import Bank of Korea 5.125% 6/29/20 17,000 18,358
  Export-Import Bank of Korea 4.000% 1/29/21 1,000 1,049
  Export-Import Bank of Korea 4.000% 1/14/24 2,000 2,115
  Federative Republic of Brazil 6.000% 4/7/26 31,284 34,295
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 8,000 8,972
  Gazprom OAO Via Gaz Capital SA 7.288% 8/16/37 7,000 8,301
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 2,400 2,448
14 Japan Bank for International Cooperation 2.000% 11/4/21 37,500 36,733
  Japan Finance Organization for        
  Municipalities 1.375% 2/5/18 18,400 18,335
  Japan Finance Organization for        
  Municipalities 1.375% 4/18/18 5,000 4,969

 

 

Japan Finance Organization for        
Municipalities 2.500% 9/12/18 6,200 6,240
KazMunayGas National Co. JSC 9.125% 7/2/18 26,000 27,916
7 KazMunayGas National Co. JSC 3.875% 4/19/22 8,600 8,600
7 Kingdom of Saudi Arabia 2.375% 10/26/21 785 772
Kingdom of Saudi Arabia 2.375% 10/26/21 48,285 47,435
Kingdom of Saudi Arabia 3.250% 10/26/26 53,540 52,266
7 Kommunalbanken AS 1.000% 9/26/17 1,500 1,496
Korea Development Bank 3.875% 5/4/17 5,000 5,000
Korea Development Bank 1.500% 1/22/18 2,000 1,995
Korea Development Bank 4.625% 11/16/21 2,000 2,172
7 Korea Land & Housing Corp. 1.875% 8/2/17 5,000 5,000
7 Korea Western Power Co. Ltd. 3.125% 5/10/17 1,300 1,300
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 2,000 2,023
7 Kowloon-Canton Railway Corp. 5.125% 5/20/19 2,500 2,654
Nexen Energy ULC 6.200% 7/30/19 2,000 2,160
Nexen Energy ULC 5.875% 3/10/35 3,500 4,089
Nexen Energy ULC 6.400% 5/15/37 1,800 2,253
7 NongHyup Bank 1.875% 9/12/21 19,500 18,778
North American Development Bank 2.300% 10/10/18 1,500 1,514
North American Development Bank 2.400% 10/26/22 1,300 1,275
7 OCP SA 5.625% 4/25/24 4,200 4,520
OCP SA 5.625% 4/25/24 4,000 4,275
OCP SA 6.875% 4/25/44 9,000 9,745
7 Ontario Teachers' Cadillac Fairview        
Properties Trust 3.125% 3/20/22 6,000 6,090
7 Ontario Teachers' Cadillac Fairview        
Properties Trust 3.875% 3/20/27 7,000 7,174
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 700 699
Ooredoo International Finance Ltd. 5.000% 10/19/25 450 492
4 Oriental Republic of Uruguay 5.100% 6/18/50 11,100 11,017
7 Pertamina Persero PT 6.000% 5/3/42 1,000 1,061
Petrobras Global Finance BV 6.250% 3/17/24 510 528
Petrobras Global Finance BV 8.750% 5/23/26 9,625 11,213
Petrobras Global Finance BV 7.375% 1/17/27 15,925 17,080
Petroleos Mexicanos 5.750% 3/1/18 5,367 5,524
Petroleos Mexicanos 5.500% 2/4/19 5,515 5,781
Petroleos Mexicanos 5.500% 1/21/21 123,896 131,865
7 Petroleos Mexicanos 5.375% 3/13/22 3,195 3,361
Petroleos Mexicanos 5.375% 3/13/22 12,140 12,770
Province of Alberta Canada 1.900% 12/6/19 25,000 25,045
7 Province of Alberta Canada 2.050% 8/17/26 7,000 6,560
Province of New Brunswick 2.750% 6/15/18 1,250 1,266
Province of Ontario 3.000% 7/16/18 3,000 3,046
Province of Ontario 4.000% 10/7/19 4,500 4,726
Province of Quebec 2.375% 1/31/22 15,700 15,763
Province of Quebec 2.625% 2/13/23 5,700 5,740
Republic of Chile 3.250% 9/14/21 7,275 7,520
Republic of Chile 2.250% 10/30/22 20,000 19,614
Republic of Chile 3.125% 3/27/25 14,500 14,839
Republic of Colombia 7.375% 3/18/19 2,150 2,364
Republic of Colombia 4.375% 7/12/21 7,390 7,852
4 Republic of Colombia 3.875% 4/25/27 13,970 14,075
Republic of Colombia 10.375% 1/28/33 4,028 6,094
4 Republic of Colombia 5.000% 6/15/45 3,420 3,465
Republic of Honduras 6.250% 1/19/27 11,100 11,491
Republic of Hungary 4.125% 2/19/18 19,000 19,357
Republic of Hungary 6.250% 1/29/20 48,400 53,058

 

 

  Republic of Hungary 6.375% 3/29/21 5,980 6,757
  Republic of Hungary 5.750% 11/22/23 7,200 8,199
  Republic of Indonesia 4.875% 5/5/21 40,800 43,791
10 Republic of Indonesia 2.875% 7/8/21 5,400 6,269
  Republic of Indonesia 3.700% 1/8/22 10,000 10,267
  Republic of Indonesia 3.750% 4/25/22 50,858 52,241
  Republic of Indonesia 5.375% 10/17/23 7,000 7,792
  Republic of Indonesia 5.875% 1/15/24 5,000 5,702
10 Republic of Indonesia 3.375% 7/30/25 4,000 4,659
10 Republic of Indonesia 3.750% 6/14/28 6,800 7,936
  Republic of Kazakhstan 3.875% 10/14/24 12,000 12,137
  Republic of Kazakhstan 4.875% 10/14/44 10,000 9,888
  Republic of Korea 7.125% 4/16/19 1,500 1,650
7 Republic of Latvia 2.750% 1/12/20 1,000 1,013
7 Republic of Lithuania 7.375% 2/11/20 765 871
  Republic of Lithuania 7.375% 2/11/20 17,500 19,904
7 Republic of Lithuania 6.125% 3/9/21 7,400 8,366
  Republic of Lithuania 6.125% 3/9/21 42,564 48,090
  Republic of Namibia 5.250% 10/29/25 13,255 13,407
  Republic of Panama 8.875% 9/30/27 10,000 14,150
  Republic of Panama 9.375% 4/1/29 300 445
  Republic of Panama 8.125% 4/28/34 9,136 12,314
4 Republic of Panama 6.700% 1/26/36 2,400 3,109
  Republic of Poland 5.125% 4/21/21 16,505 18,135
  Republic of Poland 5.000% 3/23/22 10,730 11,803
  Republic of Romania 6.750% 2/7/22 6,150 7,128
10 Republic of Romania 2.750% 10/29/25 4,500 5,170
7 Republic of Serbia 5.250% 11/21/17 8,000 8,140
  Republic of Slovenia 5.500% 10/26/22 36,554 41,567
  Republic of the Philippines 4.000% 1/15/21 5,000 5,331
  Republic of Turkey 7.500% 7/14/17 42,510 42,988
  Republic of Turkey 6.750% 4/3/18 17,915 18,609
  Republic of Turkey 5.625% 3/30/21 13,370 14,155
  Republic of Turkey 4.875% 4/16/43 2,186 1,976
  Sinopec Capital 2013 Ltd. 3.125% 4/24/23 13,170 13,056
7 Sinopec Group Overseas Development 2012        
  Ltd. 4.875% 5/17/42 5,000 5,433
  Sinopec Group Overseas Development 2012        
  Ltd. 4.875% 5/17/42 18,656 20,289
  Sinopec Group Overseas Development 2013        
  Ltd. 2.500% 10/17/18 5,310 5,339
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 1,800 1,911
7 Sinopec Group Overseas Development 2017        
  Ltd. 3.625% 4/12/27 20,000 19,945
  Socialist Republic of Vietnam 4.800% 11/19/24 15,000 15,437
  State of Israel 3.150% 6/30/23 2,000 2,047
  State of Israel 2.875% 3/16/26 3,980 3,943
  State of Kuwait 2.750% 3/20/22 19,406 19,580
  State of Qatar 2.375% 6/2/21 775 771
  Statoil ASA 1.950% 11/8/18 2,000 2,002
  Statoil ASA 5.250% 4/15/19 4,000 4,250
  Statoil ASA 3.150% 1/23/22 3,000 3,083
  Statoil ASA 2.450% 1/17/23 3,000 2,983
  Statoil ASA 3.950% 5/15/43 3,191 3,107
  Sultanate of Oman 5.375% 3/8/27 8,000 8,344
7 Temasek Financial I Ltd. 2.375% 1/23/23 1,000 987
  The Hashemite Kingdom of Jordan 5.750% 1/31/27 9,700 9,572

 

 

  United Mexican States 3.625% 3/15/22 61,656 63,623
  United Mexican States 4.000% 10/2/23 37,688 39,158
15 United Mexican States 5.750% 3/5/26 612,000 29,573
15 United Mexican States 7.500% 6/3/27 108,000 5,841
  United Mexican States 5.750% 10/12/10 2,585 2,640
  YPF SA 8.875% 12/19/18 2,500 2,713
Total Sovereign Bonds (Cost $1,786,830)       1,801,425
Taxable Municipal Bonds (0.2%)        
  Allentown PA Neighborhood Improvement        
  Zone Development Authority Revenue 5.420% 5/1/21 4,000 4,086
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.995% 7/1/20 1,250 1,285
  Georgia Municipal Electric Power Authority        
  Revenue 6.655% 4/1/57 9,850 11,418
  Illinois GO 5.000% 1/1/23 1,835 1,815
  JobsOhio Beverage System Statewide        
  Liquor Profits Revenue 2.885% 1/1/21 1,000 1,026
  Johns Hopkins University Maryland GO 5.250% 7/1/19 199 211
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL 3.220% 2/1/21 6,822 6,907
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-ELL 3.450% 2/1/22 4,923 4,944
6 Mississippi GO (Nissan North America, Inc.        
  Project) 1.683% 11/1/17 5,520 5,517
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.125% 2/1/24 1,500 1,718
  New York State Dormitory Authority Revenue        
  (Employer Assessment) 3.892% 12/1/24 2,000 2,179
  Port Authority of New York & New Jersey        
  Revenue 5.859% 12/1/24 2,000 2,407
  San Diego County CA Regional Airport        
  Authority Revenue 3.730% 7/1/21 800 827
  San Diego County CA Regional Airport        
  Authority Revenue 5.594% 7/1/43 6,200 6,848
  Sonoma County CA Pension Obligation        
  Revenue 6.000% 12/1/29 4,960 5,779
  Texas GO 3.682% 8/1/24 2,000 2,111
  University of California Revenue 2.054% 5/15/18 500 504
  University of California Revenue 2.300% 5/15/21 1,000 1,012
Total Taxable Municipal Bonds (Cost $61,283)       60,594
        Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
9 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) 7.250%   8,740 —
Temporary Cash Investment (0.5%)        
Money Market Fund (0.5%)        
16 Vanguard Market Liquidity Fund (Cost        
  $125,774) 1.034%   1,257,715 125,797
Total Investments (98.9%) (Cost $26,617,137)       26,846,094
      Expiration Date Contracts  
Liability for Options Written (0.0%)        
Written Options on Futures (0.0%)        

 

 

Call Options on 10-year-U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   5/26/17 502 (157)
Call Options on 10-year-U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/26/17 1,003 (203)
Call Options on 10-year-U.S. Treasury Note        
Futures Contracts, Strike Price $127.50   5/26/17 998 (125)
Call Options on 10-year-U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/26/17 497 (39)
Total Options on Futures Written (Premiums received $906)     (524)
      Notional  
      Amount  
  Counterparty   ($000)  
Written Swaptions on Credit Default Index (0.0%)        
Call Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 62.5% BARC 5/17/17 31,040 (13)
Call Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 67.5% BARC 5/17/17 62,095 (113)
Put Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 72.5% BARC 5/17/17 62,095 (13)
Total Credit Default Swaptions Written (Premiums $193)     (139)
Total Liability on Options Written (0.0%) (Premiums $1,099)     (663)
        Amount
        ($000)
Other Assets and Liabilities-Net (1.1%)       304,386
Net Assets (100%)       27,150,480

1 Securities with a value of $7,738,000 have been segregated as collateral for open over-the-counter swap
contracts.
2 Securities with a value of $10,962,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $24,938,000 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 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 April 30, 2017, the aggregate
value of these securities was $3,367,995,000, representing 12.4% of net assets.
8 Face amount denominated in Australian dollars.
9 Non-income-producing security--security in default.
10 Face amount denominated in euro.
11 Face amount denominated in British pounds.
12 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
13 Guaranteed by multiple countries.
14 Guaranteed by the Government of Japan.
15 Face amount denominated in Mexican peso.
16 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.

 

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued 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 April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,872,001 —
Asset-Backed/Commercial Mortgage-Backed Securities — 3,762,899 —
Corporate Bonds — 18,223,374 4
Sovereign Bonds — 1,801,425 —
Taxable Municipal Bonds — 60,594 —
Convertible Preferred Stocks — — —1
Temporary Cash Investments 125,797 — —

 

 

Liability for Options Written (524) (139) —
Futures Contracts—Assets2 155 — —
Futures Contracts—Liabilities2 (17) — —
Forward Currency Contracts—Assets — 1,639 —
Forward Currency Contracts—Liabilities — (9,458) —
Swap Contracts—Assets 292 1,710 —
Swap Contracts—Liabilities (2882) (7,751) —
Total 125,152 26,706,294 4
1 Market value of Convertible Preferred Stocks based on Level 3 inputsbusch.
2 Represents variation margin on the last day of the reporting period.

 

D. 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 April 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
10-Year U.S. Treasury Note June 2017 9,691 1,218,340 12,504
5-Year U.S. Treasury Note June 2017 9,892 1,171,275 2,269
2-Year U.S. Treasury Note June 2017 (3,158) (684,052) (876)
Ultra 10-Year U.S. Treasury Note June 2017 3,580 484,922 592
Ultra Long U.S. Treasury Bond June 2017 (1,949) (317,565) (2,882)
AUD 3-Year Treasury Bond June 2017 (2,577) (216,351) (1,225)
30-Year U.S. Treasury Bond June 2017 (811) (124,058) (2,116)

 

 

Euro-Bund June 2017 (585) (103,093) (146)
AUD 10-Year Treasury Bond June 2017 (833) (80,912) (1,380)
Euro-Bobl June 2017 (515) (73,972) 75
Long Gilt June 2017 (329) (54,659) (782)
Euro-Buxl June 2017 (63) (11,609) (121)
Euro-Schatz June 2017 40 4,891 (3)
AUD 90-Day Bank Bill June 2017 (4) (2,983) (1)
        5,910

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 90-Day Bank Bill, AUD 3-Year Treasury Bond, and AUD 10-Year Treasury Bond, 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 April 30, 2017, 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 ordinary income or realized gain (loss) for tax purposes.

 

            Unrealized
  Contract         Appreciation
  Settlement Contract Amount (000) (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Credit Suisse International 5/15/17 EUR 43,000 USD 46,743 134
Deutsche Bank AG 5/15/17 EUR 14,500 USD 15,774 33
Deutsche Bank AG 5/15/17 EUR 4,900 USD 5,368 (27)
Goldman Sachs Bank AG 5/15/17 EUR 2,000 USD 2,125 55
Citibank, N.A. 5/15/17 EUR 1,000 USD 1,088 2
Citibank, N.A. 5/15/17 USD 34,993 MXN 657,940 140
JPMorgan Chase Bank N.A. 5/15/17 USD 329,452 AUD 438,623 1,102
Credit Suisse International 5/15/17 USD 243,751 EUR 229,438 (6,372)
Barclays Capital 5/15/17 USD 64,912 GBP 52,221 (2,755)
Citibank, N.A. 5/15/17 USD 14,001 AUD 18,500 153
BNP Paribas 5/15/17 USD 11,427 EUR 10,600 (128)
JPMorgan Chase Bank N.A. 5/15/17 USD 5,467 EUR 5,100 (92)
Barclays Capital 5/15/17 USD 2,482 AUD 3,300 11
Citibank, N.A. 5/15/17 USD 3,186 EUR 3,000 (84)
Goldman Sachs Bank AG 5/15/17 USD 1,206 AUD 1,600 9
            (7,819)
 
AUD--Australian dollar.
EUR--Euro.
GBP--British pound.
MXN--Mexican peso.
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 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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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 April 30, 2017, the fund had the following open swap contracts:

Centrally Cleared Credit Default Swaps            
 
          Periodic  
          Premium Unrealized
        Notional Received Appreciation
  Termination     Amount (Paid) (Depreciation)
Reference Entity Date Clearinghouse   ($000) (%) ($000)
Credit Protection Sold            
CDX-NA-IG-S28-V1 6/20/22 ICE USD 38,701 1.000 (6)
 
Credit Protection Purchased            
CDX-NA-HY-S28-V1 6/20/22 ICE USD 76,354 (5.000) (525)
iTraxx Europe Crossover Index-S27-            
V1 6/20/22 ICE EUR 24,300 (5.000) (372)
iTraxx Europe Senior Financials-            
S27-V1 6/20/22 ICE EUR 232,475 (1.000) (2,120)
iTraxx Europe-S27-V1 6/20/22 ICE EUR 125,220 (1.000) (665)
Total           (3,682)
 
EUR--Euro.            
ICE--Intercontinental Exchange.            
USD--U.S. dollar.            

 

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          
Berkshire Hathaway            
Inc./Aa2 6/20/21 GSI 3,110 (19) 1.000 47
Berkshire Hathaway            
Inc./Aa2 6/20/21 JPMC 15,000 18 1.000 337
Berkshire Hathaway            
Inc./Aa2 6/20/21 JPMC 4,655 (18) 1.000 81
Berkshire Hathaway            
Inc./Aa2 6/20/22 BARC 15,760 (274) 1.000 32
Federation of Malaysia/A3 6/20/22 GSI 950 2 1.000 (2)
Kohls Corp./Baa2 6/20/21 GSI 1,600 42 1.000 3
Kohls Corp./Baa2 6/20/21 GSI 1,600 43 1.000 4

 

 

Kohls Corp./Baa2 6/20/21 GSI 3,200 85 1.000 9
Metlife Inc./A3 12/20/20 GSCM 5,625 - 1.000 91
Metlife Inc./A3 12/20/21 BARC 3,165 (5) 1.000 34
People's Republic of            
China/A1 6/20/22 BNPSW 22,800 (202) 1.000 (211)
People's Republic of            
China/Aa3 6/20/22 GSI 45,000 (279) 1.000 99
Republic of Chile/Aa3 6/20/22 BNPSW 8,955 (111) 1.000 (1)
Republic of Chile/Aa3 6/20/22 BARC 495 (4) 1.000 2
Republic of Indonesia/Baa3 6/20/22 BARC 30,000 590 1.000 184
Republic of Indonesia/Baa3 6/20/22 BNPSW 35,000 491 1.000 18
Republic of Peru/A3 6/20/22 CITNA 11,125 80 1.000 80
Republic of            
Philippines/Baa2 6/20/22 BARC 40,000 (286) 1.000 66
Russian Federation/Ba1 6/20/17 GSCM 3,200 9 1.000 13
Total           886
 
Credit Protection Purchased            
American International Group            
Inc. 12/20/20 GSCM 2,835 (32) (1.000) (83)
American International Group            
Inc. 12/20/20 GSCM 5,625 92 (1.000) (10)
Avnet Inc. 12/20/21 GSI 1,580 (2) (1.000) (15)
Banco Bilbao Vizcaya            
Argentaria SA 6/20/21 BOANA 24,495 (607) (1.000) (887)
Bank of America Corp. 3/20/20 GSCM 7,870 72 (1.000) (84)
Bank of China Ltd. 6/20/22 BNPSW 22,800 4 (1.000) 40
Bank of China Ltd. 12/20/21 BNPSW 6,200 (20) (1.000) (59)
CMBX-NA-AAA-9 9/17/58 DBAG 5,030 (289) (0.500) (187)
CMBX-NA-AAA-9 9/17/58 MSCS 5,110 (274) (0.500) (170)
CMBX-NA-AAA-9 9/17/58 GSI 5,030 (294) (0.500) (191)
CMBX-NA-AAA-9 9/17/58 JPM 5,140 (259) (0.500) (154)
CMBX-NA-AAA-9 9/17/58 CSFBI 5,045 (178) (0.500) (75)
CMBX-NA-AAA-9 9/17/58 JPM 5,300 (199) (0.500) (91)
CMBX-NA-AAA-9 9/17/58 GSI 10,610 (400) (0.500) (184)
CMBX-NA-AAA-9 9/17/58 GSI 980 (40) (0.500) (20)
CMBX-NA-AAA-9 9/17/58 DBAG 6,440 (249) (0.500) (118)
CMBX-NA-AAA-9 9/17/58 MSCS 5,150 (217) (0.500) (112)

 

 

CMBX-NA-AAA-9 9/17/58 GSI 5,045 (178) (0.500) (75)
Commerzbank AG 6/20/21 BOANA 24,495 (377) (1.000) (627)
CVS Health Corp. 12/20/21 BARC 3,220 96 (1.000) 5
CVS Health Corp. 12/20/21 BOANA 15,000 452 (1.000) 32
Deutsche Bank AG 12/20/21 BARC 19,400 (240) (1.000) (249)
EI du Pont de Nemours & Co. 12/20/20 JPMC 10,230 179 (1.000) (85)
Engie SA 6/20/22 JPMC 7,875 188 (1.000) (20)
Engie SA 6/20/22 BNPSW 7,880 128 (1.000) (88)
Federal Express Corp. 12/20/18 GSCM 7,840 40 (1.000) (81)
Federative Republic of Brazil 12/20/25 GSCM 2,485 (572) (1.000) (260)
Federative Republic of Brazil 12/20/25 BOANA 3,885 (959) (1.000) (470)
Federative Republic of Brazil 6/20/22 DBAG 18,100 (1,107) (1.000) (147)
Federative Republic of Brazil 6/20/22 BARC 4,250 (255) (1.000) (29)
Federative Republic of Brazil 6/20/22 BOANA 20,268 (1,218) (1.000) (142)
Federative Republic of Brazil 6/20/22 BOANA 9,300 (559) (1.000) (65)
Federative Republic of Brazil 6/20/22 BNPSW 10,000 (639) (1.000) (109)
JPMorgan Chase Bank N.A. 12/20/20 MSCS 25,000 113 (1.000) (475)
Lincoln National Corp. 6/20/21 BARC 1,555 (35) (1.000) (59)
Lincoln National Corp. 6/20/21 BARC 1,550 35 (1.000) 11
Lincoln National Corp. 12/20/21 BARC 3,165 (7) (1.000) (45)
Lincoln National Corp. 6/20/21 BARC 10,000 (181) (1.000) (334)
McDonalds Corp. 6/20/22 GSI 12,325 402 (1.000) (49)
McKesson Corp. 3/20/19 JPMC 6,360 84 (1.000) (23)
McKesson Corp. 3/20/19 JPMC 6,360 82 (1.000) (25)
Qantas Airways Ltd. 12/20/21 DBAG 3,190 (86) (1.000) (78)
Republic of Austria 9/20/17 BNPSW 1,200 (2) (1.000) (7)
Republic of Colombia 6/20/22 GSI 12,134 (218) (1.000) (76)
Republic of Colombia 6/20/22 BARC 8,000 (166) (1.000) (72)
Republic of Korea 9/20/18 JPMC 2,000 5 (1.000) (17)
Republic of South Africa 6/20/22 BOANA 18,700 (830) (1.000) (40)
Republic of Turkey 6/20/22 BNPSW 9,300 (724) (1.000) (277)
Republic of Turkey 12/20/19 GSCM 26,350 (359) (1.000) (344)

 

 

Royal Bank of Scotland plc 12/20/20 BNPSW 6,510 40 (1.000) (64)
Societe Generale SA 12/20/21 JPMC 14,675 83 (1.000) (207)
Standard Chartered Bank 12/20/21 JPMC 7,945 (17) (1.000) (166)
Wells Fargo & Co. 9/20/20 BOANA 9,700 81 (1.000) (168)
Total           (7,325)
            (6,439)

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.
CITNA--Citi Bank N.A.
CSFBI--Credit Suisse First Boston International.
DBAG--Deutsche Bank AG.
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPMC--JP Morgan Chase Bank.
MSCS--Morgan Stanley Capital Services LLC.

Centrally Cleared Interest Rate Swaps              
          Fixed Floating    
          Interest Interest    
          Rate Rate   Unrealized
  Future     Notional Received Received   Appreciation
  Effective     Amount (Paid) (Paid)   (Depreciation)
Termination Date Date   Clearinghouse ($000) (%) (%)   ($000)
5/17/17 N/A   CME 3,900 1.036 (0.994) 2 -
6/17/17 N/A   LCH 2,925 0.736 (0.994) 2 (1)
7/17/17 N/A   CME 3,900 0.781 (0.994) 2 (3)
9/15/17 N/A   CME 2,508 3.520 (0.994) 2 (154)
9/15/17 N/A   CME 2,792 3.363 (0.994) 2 (163)
9/15/17 N/A   LCH 5,910 0.755 (0.994) 2 16
9/15/17 N/A   CME 340 2.532 (0.994) 2 (13)
10/16/17 N/A   CME 7,000 0.749 (0.994) 2 12
11/27/17 N/A   CME 3,580 0.664 (0.992) 2 (11)
6/21/18 6/21/17 1 CME 35,155 1.000 - 3 42

 

 

6/21/19 6/21/17 1 CME 69,537 (1.250) - 3 (282)
1/20/20 N/A   CME 20,920 1.224 (0.993) 2 (205)
1/21/20 N/A   CME 3,130 1.363 (0.991) 2 (19)
4/15/20 N/A   LCH 14,650 1.344 (0.994) 2 (120)
6/15/20 N/A   CME 2,050 (0.930) (0.994) 2 (45)
6/21/20 6/21/17 1 CME 65,543 (1.250) - 3 (523)
7/15/20 N/A   CME 8,920 1.571 (0.994) 2 (24)
6/21/21 6/21/17 1 CME 16,918 (1.250) - 3 (197)
6/21/24 6/21/17 1 CME 42,000 (1.500) - 3 (892)
  Total             (2,582)
CME--Chicago Mercantile Exchange.

 

LCH--London Clearing House.
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments
beginning on a specified future effective date
2 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 3-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)
12/26/17 GSCM 3,448 0.625 (0.991) 1 (10)
8/15/18 BNPSW 3,862 0.715 (0.994) 1 (7)
4/25/19 WFC 2,396 2.756 (1.156) 2 42
4/25/20 GSCM 2,223 2.794 (1.156) 2 49
4/1/21 WFC 3,807 0.965 (0.983) 1 (41)
6/25/21 GSCM 5,302 3.143 (1.153) 2 148
11/25/22 BARC 10,821 2.758 (1.052) 2 283
9/25/29 GSCM 9,769 1.794 (0.991) 1 (66)
Total           398
BARC--Barclays Bank plc.          
BNPSW--BNP Paribas.          
GSCM--Goldman Sachs Bank USA.          

 

 

WFC--Wells Fargo Bank N.A.
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

At April 30, 2017, the counterparties had deposited in segregated accounts securities with a value of $5,755,000 in connection with open swap contracts and forward currency contracts.

G. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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.

H. At April 30, 2017, the cost of investment securities for tax purposes was $26,629,091,000. Net unrealized appreciation of investment securities for tax purposes was $217,003,000, consisting of unrealized gains of $421,072,000 on securities that had risen in value since their purchase and $204,069,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Ultra-Short-Term Bond Fund        
 
 
 
Schedule of Investments (unaudited)      
As of April 30, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (12.5%)        
U.S. Government Securities (9.3%)        
  United States Treasury Inflation Indexed        
  Bonds 1.625% 1/15/18 30,360 35,788
1 United States Treasury Inflation Indexed        
  Bonds 0.125% 4/15/18 193,850 204,669
  United States Treasury Note/Bond 1.250% 3/31/19 100 100
  United States Treasury Note/Bond 1.625% 3/15/20 1,200 1,206
  United States Treasury Note/Bond 1.375% 5/31/21 3,500 3,455
  United States Treasury Note/Bond 1.625% 5/31/23 4,000 3,913
          249,131
Agency Bonds and Notes (2.9%)        
2 Federal Home Loan Banks 1.250% 6/8/18 7,500 7,507
2 Federal Home Loan Banks 0.875% 6/29/18 1,750 1,744
2 Federal Home Loan Banks 0.625% 8/7/18 190 188
2 Federal Home Loan Banks 0.875% 10/1/18 5,000 4,971
2 Federal Home Loan Banks 1.750% 12/14/18 7,500 7,553
2 Federal Home Loan Banks 1.250% 1/16/19 4,650 4,643
2 Federal Home Loan Banks 1.375% 3/18/19 12,750 12,754
2 Federal Home Loan Banks 0.875% 8/5/19 6,000 5,927
2 Federal Home Loan Banks 1.000% 9/26/19 2,000 1,979
3 Federal Home Loan Mortgage Corp. 0.875% 10/12/18 3,220 3,201
3 Federal Home Loan Mortgage Corp. 1.125% 4/15/19 1,600 1,593
3 Federal Home Loan Mortgage Corp. 0.875% 7/19/19 1,200 1,186
3 Federal Home Loan Mortgage Corp. 1.500% 1/17/20 2,100 2,099
3 Federal National Mortgage Assn. 1.125% 7/20/18 500 500
3 Federal National Mortgage Assn. 1.125% 12/14/18 7,500 7,478
3 Federal National Mortgage Assn. 1.000% 2/26/19 700 696
3 Federal National Mortgage Assn. 0.875% 8/2/19 3,350 3,309
3 Federal National Mortgage Assn. 1.000% 8/28/19 1,050 1,040
3 Federal National Mortgage Assn. 1.000% 10/24/19 2,900 2,869
3 Federal National Mortgage Assn. 1.500% 2/28/20 3,950 3,947
  Private Export Funding Corp. 4.375% 3/15/19 1,000 1,053
          76,237
Nonconventional Mortgage-Backed Securities (0.3%)        
3,4,5Fannie Mae REMICS 2012-60E 1.391% 6/25/42 2,471 2,474
3,4,5Fannie Mae REMICS 2016-62 1.391% 9/25/46 1,289 1,294
3,4,5Fannie Mae REMICS 2016-93 1.341% 12/25/46 3,235 3,237
          7,005
Total U.S. Government and Agency Obligations (Cost $334,505)     332,373
Asset-Backed/Commercial Mortgage-Backed Securities (40.6%)      
4 Ally Auto Receivables Trust 2014-1 2.040% 12/15/19 12,290 12,342
4 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 651 652
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 1,317 1,318
4 Ally Auto Receivables Trust 2016-1 1.470% 4/15/20 1,500 1,500
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 14,195 14,203
4 Ally Master Owner Trust Series 2014-4 1.430% 6/17/19 1,625 1,626

 

 

4,5 Ally Master Owner Trust Series 2014-5 1.484% 10/15/19 12,000 12,014
4 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 2,030 2,031
4,5 American Express Credit Account Master        
  Trust 2008-2 2.254% 9/15/20 1,300 1,312
4,5 American Express Credit Account Master        
  Trust 2013-1 1.414% 2/16/21 6,336 6,355
4,5 American Express Credit Account Master        
  Trust 2014-5 1.284% 5/15/20 13,410 13,420
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 1.234% 5/15/20 10,000 10,006
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 1.544% 5/15/20 168 168
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 1 1
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 20 20
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 64 65
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 735 737
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 39 39
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% 3/8/21 255 258
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 330 335
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 810 812
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 110 111
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 300 300
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 40 40
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 40 40
4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 70 72
4 AmeriCredit Automobile Receivables Trust        
  2016-3 1.370% 11/8/19 2,872 2,872
4 AmeriCredit Automobile Receivables Trust        
  2016-4 1.340% 4/8/20 4,179 4,177
4 AmeriCredit Automobile Receivables Trust        
  2016-4 1.530% 7/8/21 310 309
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 345 343
4 AmeriCredit Automobile Receivables Trust        
  2017-1 1.510% 5/18/20 8,500 8,500
4,6 ARI Fleet Lease Trust 2015-A 1.110% 11/15/18 388 385
4,6 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 226 224
4,6 ARL Second LLC 2014-1A 2.920% 6/15/44 287 280
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2012-2A 2.802% 5/20/18 217 217

 

 

4,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 150 150
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 8,555 8,681
4,5 BA Credit Card Trust 2007-A4 1.034% 11/15/19 1,101 1,101
4,5 BA Credit Card Trust 2014-A3 1.284% 1/15/20 14,000 14,009
4 BA Credit Card Trust 2015-A2 1.360% 9/15/20 850 849
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.403% 2/10/51 119 120
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.447% 2/10/51 17 17
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 144 145
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 116 116
4,5,6BMW Floorplan Master Owner Trust 2015-1A 1.494% 7/15/20 4,255 4,261
4 BMW Vehicle Lease Trust 2015-2 1.400% 9/20/18 3,250 3,252
4 BMW Vehicle Lease Trust 2016-2 1.230% 1/22/19 4,497 4,494
4,5 Brazos Higher Education Authority Inc. Series        
  2011-1 1.852% 2/25/30 200 198
4,5,6Cabela's Credit Card Master Note Trust 2013-        
  2A 1.644% 8/16/21 9,925 9,971
4,5 Cabela's Credit Card Master Note Trust 2016-        
  1 1.844% 6/15/22 2,780 2,810
4 California Republic Auto Receivables Trust        
  2013-2 1.230% 3/15/19 23 23
4,6 California Republic Auto Receivables Trust        
  2015-4 2.040% 1/15/20 2,000 2,006
4,6 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 81 82
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 1,496 1,494
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 240 240
4 California Republic Auto Receivables Trust        
  2017-1 1.550% 11/15/19 11,000 10,993
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 81 82
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 58 58
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 82 82
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 26 26
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 97 97
4 Capital Auto Receivables Asset Trust 2014-3 3.940% 4/20/23 500 512
4 Capital Auto Receivables Asset Trust 2015-2 1.730% 9/20/19 800 801
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% 5/20/20 500 503
4 Capital Auto Receivables Asset Trust 2015-4 1.620% 3/20/19 1,500 1,502
4 Capital Auto Receivables Asset Trust 2016-1 1.980% 10/20/20 1,500 1,505
4 Capital Auto Receivables Asset Trust 2016-2 1.460% 6/22/20 2,250 2,246
4 Capital Auto Receivables Asset Trust 2016-3 1.360% 4/22/19 1,892 1,892
4 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 70 70
4 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 70 70
4 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 40 40
4,5 Capital One Multi-Asset Execution Trust 2007-        
  A5 1.034% 7/15/20 1,168 1,168
4 Capital One Multi-Asset Execution Trust 2015-        
  A7 1.450% 8/16/21 2,100 2,098

 

 

4,5 Capital One Multi-Asset Execution Trust 2016-        
  A1 1.444% 2/15/22 4,190 4,213
4,5,6CARDS II Trust 2015-2A 1.514% 7/15/20 2,000 2,001
4,5,6CARDS II Trust 2016-1A 1.694% 7/15/21 13,885 13,929
4 CarMax Auto Owner Trust 2013-3 2.850% 2/18/20 2,022 2,027
4 CarMax Auto Owner Trust 2015-3 1.630% 5/15/20 1,100 1,101
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 96
4 CarMax Auto Owner Trust 2016-1 1.610% 11/16/20 1,000 1,000
4 CarMax Auto Owner Trust 2016-3 1.390% 5/17/21 5,000 4,971
4 CarMax Auto Owner Trust 2016-4 1.210% 11/15/19 13,000 12,981
4,5 Chase Issuance Trust 2013-A7 1.424% 9/15/20 1,000 1,004
4 Chase Issuance Trust 2015-A5 1.360% 4/15/20 400 400
4,5 Chase Issuance Trust 2016-A1 1.404% 5/17/21 155 156
4 Chase Issuance Trust 2016-A6 1.100% 1/15/20 30,000 29,941
4,6 Chesapeake Funding II LLC 2016-1A 2.110% 3/15/28 924 923
4,6 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 2,390 2,382
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% 3/15/19 199 199
4,6 Chrysler Capital Auto Receivables Trust 2014-        
  BA 3.440% 8/16/21 800 809
4,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 1.910% 3/16/20 2,100 2,105
4,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 3.260% 4/15/21 500 508
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 1.960% 1/18/22 1,110 1,112
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 2.880% 2/15/22 70 71
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 4.220% 2/15/23 570 583
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.360% 1/15/20 4,500 4,497
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.640% 7/15/21 40 40
4,5 Citibank Credit Card Issuance Trust 2013-A2 1.268% 5/26/20 13,287 13,316
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 1,100 1,102
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 1,000 1,016
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 1.199% 3/10/47 25 25
4,6 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 279 278
4,5,6Colony American Homes 2014-1A 2.144% 5/17/31 132 132
4,5,6Colony American Homes 2014-1A 2.344% 5/17/31 100 100
4,5,6Colony American Homes 2014-2 2.344% 7/17/31 100 100
4,5,6Colony American Homes 2015-1A 2.194% 7/17/32 207 207
4 COMM 2013-CCRE10 Mortgage Trust 1.278% 8/10/46 137 136
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 1,000 1,016
4 COMM 2013-CCRE13 Mortgage Trust 1.259% 11/10/18 62 61
4 COMM 2013-CCRE6 Mortgage Trust 0.719% 3/10/46 12 11
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 1,000 1,012
4 COMM 2014-CCRE14 Mortgage Trust 1.330% 2/10/47 19 19
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 100 102
4 COMM 2014-CCRE15 Mortgage Trust 1.218% 2/10/47 164 164

 

 

4 COMM 2014-CCRE16 Mortgage Trust 1.445% 4/10/47 42 42
4 COMM 2014-CCRE17 Mortgage Trust 1.275% 5/10/47 66 65
4 COMM 2014-CCRE18 Mortgage Trust 1.442% 7/15/47 149 149
4 COMM 2014-CCRE21 Mortgage Trust 1.494% 12/10/47 334 331
4 COMM 2014-UBS5 Mortgage Trust 1.373% 9/10/47 162 162
4 COMM 2015-CCRE25 Mortgage Trust 1.737% 8/10/48 316 314
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.507% 2/15/41 120 122
4,6 Dell Equipment Finance Trust 2016-1 1.430% 9/24/18 3,865 3,866
4,6 Dell Equipment Finance Trust 2016-1 1.650% 7/22/21 2,000 1,996
4,6 Dell Equipment Finance Trust 2017-1 1.860% 6/24/19 3,500 3,500
4,5 Discover Card Execution Note Trust 2012-A4 1.364% 11/15/19 297 297
4,5 Discover Card Execution Note Trust 2013-A1 1.294% 8/17/20 400 401
4,5 Discover Card Execution Note Trust 2015-A1 1.344% 8/17/20 2,196 2,200
4 Discover Card Execution Note Trust 2015-A3 1.450% 3/15/21 2,500 2,497
4 Discover Card Execution Note Trust 2016-A1 1.640% 7/15/21 1,000 1,000
4,5 Discover Card Execution Note Trust 2016-A2 1.534% 9/15/21 330 332
4,6 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 303 305
4,6 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 200 201
4,6 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 145 147
4,6 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 247 248
4,6 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 11,815 11,955
4,6 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 270 275
4,6 Drive Auto Receivables Trust 2016-BA 1.670% 7/15/19 1,137 1,138
4,6 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 340 342
4,6 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 10,570 10,705
4,6 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 2,200 2,258
4,6 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 1,380 1,381
4,6 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 1,110 1,111
4,6 Drive Auto Receivables Trust 2016-C 3.020% 11/15/21 7,500 7,586
4,6 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 1,240 1,264
4,6 Drive Auto Receivables Trust 2017-AA 1.480% 3/15/19 10,250 10,248
4,6 Drive Auto Receivables Trust 2017-AA 1.770% 1/15/20 10,010 10,003
4,6 Drive Auto Receivables Trust 2017-BA 1.740% 6/17/19 15,000 15,003
4,6 Drive Auto Receivables Trust 2017-BA 2.200% 5/15/20 7,500 7,507
4,6 Enterprise Fleet Financing LLC Series 2014-1 1.380% 9/20/19 3,127 3,127
4,6 Enterprise Fleet Financing LLC Series 2015-1 1.300% 9/20/20 89 88
4,6 Enterprise Fleet Financing LLC Series 2015-2 1.590% 2/22/21 780 776
4,6 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 1,690 1,689
4,6 Enterprise Fleet Financing LLC Series 2016-1 1.830% 9/20/21 953 948
4,6 Enterprise Fleet Financing LLC Series 2016-2 1.740% 2/22/22 3,000 2,982
4,6 Enterprise Fleet Financing LLC Series 2017-1 2.130% 7/20/22 3,000 2,999
4,5,6Evergreen Credit Card Trust Series 2016-1 1.714% 4/15/20 4,665 4,687
4,5,6Evergreen Credit Card Trust Series 2016-3 1.494% 11/16/20 1,230 1,234
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C03 2.491% 7/25/25 19 19
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.591% 4/25/28 116 116
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.691% 4/25/28 68 68
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.441% 1/25/29 292 295
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.341% 1/25/29 873 878
4,5 First National Master Note Trust 2015-1 1.764% 9/15/20 540 541
4,5 First National Master Note Trust 2017-1 1.391% 4/18/22 4,360 4,361
4,6 Flagship Credit Auto Trust 2016-4 1.470% 3/16/20 5,312 5,306

 

 

4,6 Flagship Credit Auto Trust 2017-1 1.930% 12/15/21 10,841 10,840
4,6 Flagship Credit Auto Trust 2017-1 2.830% 3/15/23 3,000 3,003
4 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 3,665 3,665
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 490 491
4 Ford Credit Auto Lease Trust 2016-A 1.850% 7/15/19 500 502
4,6 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 5,300 5,352
4,6 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 800 803
4,6 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 1,700 1,716
4 Ford Credit Auto Owner Trust 2015-C 1.410% 2/15/20 1,000 1,000
4 Ford Credit Auto Owner Trust 2016-A 1.390% 7/15/20 1,250 1,248
4 Ford Credit Auto Owner Trust 2016-B 1.520% 8/15/21 700 696
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 160 159
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% 9/15/19 100 100
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.730% 9/15/19 2,000 2,004
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 1.494% 2/15/21 1,265 1,271
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 827 832
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.344% 8/15/19 895 895
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 250 250
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-1 1.394% 1/15/20 6,250 6,258
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-4 1.594% 8/15/20 4,280 4,295
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-4 1.770% 8/15/20 1,400 1,402
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-1 1.894% 2/15/21 4,760 4,807
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.524% 7/15/20 1,695 1,699
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-5 1.454% 11/15/21 8,000 8,026
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.241% 10/25/28 118 118
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.191% 10/25/28 250 255
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.091% 12/25/28 167 168
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.991% 12/25/28 250 255
4,6 FRS I LLC 2013-1A 1.800% 4/15/43 33 32
4,6 FRS I LLC 2013-1A 3.080% 4/15/43 1,748 1,718
4 GM Financial Automobile Leasing Trust 2015-        
  2 1.680% 12/20/18 7,755 7,766
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.420% 7/22/19 250 251
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.990% 7/22/19 120 121
4 GM Financial Automobile Leasing Trust 2015-        
  3 1.690% 3/20/19 2,600 2,603

 

 

4 GM Financial Automobile Leasing Trust 2015-        
  3 2.320% 11/20/19 50 50
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.980% 11/20/19 120 121
4 GM Financial Automobile Leasing Trust 2015-        
  3 3.480% 8/20/20 2,144 2,178
4 GM Financial Automobile Leasing Trust 2016-        
  1 1.790% 3/20/20 150 149
4 GM Financial Automobile Leasing Trust 2016-        
  2 2.580% 3/20/20 240 240
4 GM Financial Automobile Leasing Trust 2016-        
  3 1.350% 2/20/19 7,885 7,874
4 GM Financial Automobile Leasing Trust 2017-        
  1 2.260% 8/20/20 1,800 1,806
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 450 450
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 820 818
4,5,6GMF Floorplan Owner Revolving Trust 2016-1 1.844% 5/17/21 1,130 1,140
4,6 GMF Floorplan Owner Revolving Trust 2016-1 2.410% 5/17/21 300 301
4,6 GMF Floorplan Owner Revolving Trust 2016-1 2.850% 5/17/21 220 220
4,5,6Golden Credit Card Trust 2014-2A 1.444% 3/15/21 3,335 3,334
4,5,6Golden Credit Card Trust 2015-1A 1.434% 2/15/20 3,490 3,492
4,5,6Golden Credit Card Trust 2015-3A 1.414% 7/15/19 2,150 2,151
4,5,6Golden Credit Card Trust 2016-1A 1.594% 1/15/20 2,410 2,414
4,6 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 5,660 5,617
4,5,6Gosforth Funding 2016-1A plc 1.739% 2/15/58 1,037 1,040
4,6 GreatAmerica Leasing Receivables Funding        
  LLC Series 2017-1 1.720% 4/22/19 5,000 4,997
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 1,000 1,009
4 GS Mortgage Securities Trust 2014-GC22 1.290% 6/10/47 33 33
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 467 467
4 Harley-Davidson Motorcycle Trust 2015-2 1.300% 3/16/20 2,412 2,410
4,5,6Hertz Fleet Lease Funding LP 2016-1 2.089% 4/10/30 2,500 2,499
4,6 Hertz Vehicle Financing II LP 2015-2A 2.020% 9/25/19 2,135 2,104
4,6 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 5,560 5,545
4,6 Hertz Vehicle Financing LLC 2016-1A 2.320% 3/25/20 2,100 2,100
4,6 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 420 417
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 1,177 1,176
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 2,743
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 1.660% 7/15/19 1,000 1,002
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 250 251
4,6 Hyundai Auto Lease Securitization Trust        
  2016-A 1.600% 7/15/19 1,000 1,001
4,6 Hyundai Auto Lease Securitization Trust        
  2016-C 1.300% 3/15/19 6,886 6,878
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 60
4 Hyundai Auto Receivables Trust 2015-C 1.460% 2/18/20 1,000 1,000
4 Hyundai Auto Receivables Trust 2016-A 1.560% 9/15/20 1,000 1,000
4 Hyundai Auto Receivables Trust 2016-B 1.120% 10/15/19 8,278 8,263
4,6 Hyundai Floorplan Master Owner Trust Series        
  2016-1A 1.810% 3/15/21 320 320
5 Illinois Student Assistance Commission Series        
  2010-1 2.206% 4/25/22 37 37

 

 

4,5,6Invitation Homes 2014-SFR1 Trust 2.494% 6/17/31 223 223
4,5,6Invitation Homes 2014-SFR2 Trust 2.594% 9/17/31 100 100
4,5,6Invitation Homes 2015-SFR2 Trust 2.344% 6/17/32 98 98
4 John Deere Owner Trust 2015-B 1.440% 10/15/19 1,600 1,600
4 John Deere Owner Trust 2016-B 1.490% 5/15/23 130 129
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 13 14
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 94 95
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 58 59
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 302 308
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 1.303% 1/15/46 27 27
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 253 253
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2014-C20 1.268% 7/15/47 235 235
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 104 106
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 398 404
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 1.247% 1/15/47 21 21
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 1.254% 2/15/47 115 114
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C19 1.266% 4/15/47 168 168
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 1.322% 8/15/47 95 94
4,6 Kubota Credit Owner Trust 2014-1A 1.160% 5/15/18 58 58
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 89 90
4,5,6Master Credit Card Trust II Series 2016-1A 1.728% 9/23/19 3,670 3,684
4 Mercedes-Benz Auto Lease Trust 2016-B 1.150% 1/15/19 4,500 4,497
4 Mercedes-Benz Auto Receivables Trust 2015-        
  1 1.340% 12/16/19 1,100 1,099
4,5,6Mercedes-Benz Master Owner Trust 2015-BA 1.374% 4/15/20 1,000 1,001
4,5,6Mercedes-Benz Master Owner Trust 2016-AA 1.574% 5/15/20 3,500 3,513
4,5,6Mercedes-Benz Master Owner Trust 2016-B 1.694% 5/17/21 2,560 2,583
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 25 25
4,6 MMAF Equipment Finance LLC 2011-AA 3.040% 8/15/28 75 76
4,6 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 94 94
4,6 MMAF Equipment Finance LLC 2017-A 1.730% 5/18/20 4,250 4,250
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 986 998
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 1.313% 10/15/46 164 163
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 1.551% 8/15/47 168 167
4 Morgan Stanley Capital I Trust 2007-IQ15 6.126% 6/11/49 73 74
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 94 95
4,5 Navient Student Loan Trust 2015-2 1.271% 11/25/24 728 728
4,5 Navient Student Loan Trust 2015-3 1.311% 7/25/30 576 576
4,5,6Navient Student Loan Trust 2016-2 1.741% 6/25/65 526 527
4,5,6Navient Student Loan Trust 2016-3 1.591% 6/25/65 592 594
4,5,6Navient Student Loan Trust 2016-6A 1.471% 3/25/66 10,034 10,052

 

 

4,5,6Navient Student Loan Trust 2017-1 1.391% 7/26/66 24,166 24,178
4,5,6Navient Student Loan Trust 2017-3A 1.361% 7/26/66 12,250 12,250
4,5,6Navistar Financial Dealer Note Master Trust II        
  2016-1A 2.341% 9/27/21 1,480 1,483
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 1.683% 1/2/25 94 93
4,6 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 350 353
4 Nissan Auto Lease Trust 2014-B 1.290% 3/16/20 109 109
4 Nissan Auto Lease Trust 2016-A 1.650% 10/15/21 1,060 1,060
4 Nissan Auto Lease Trust 2016-B 1.500% 7/15/19 2,220 2,216
4 Nissan Auto Receivables 2013-A Owner Trust 0.750% 7/15/19 117 117
4 Nissan Auto Receivables 2015-C Owner Trust 1.370% 5/15/20 1,500 1,498
4 Nissan Auto Receivables 2016-A Owner Trust 1.340% 10/15/20 2,000 1,993
4 Nissan Auto Receivables 2016-B Owner Trust 1.320% 1/15/21 500 498
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 61 61
4,5 Nissan Master Owner Trust Receivables        
  Series 2016-A 1.634% 6/15/21 2,000 2,012
5 North Carolina State Education Assistance        
  Authority 2011-1 2.056% 1/26/26 42 42
4,5,6Pepper Residential Securities Trust 2016A-        
  A1U2 1.640% 3/13/18 18,375 18,414
4,5,6Pepper Residential Securities Trust 2017A-        
  A1UA 2.089% 3/10/58 6,666 6,666
4,5,6Pepper Residential Securities Trust 2018A-        
  A1UA 1.947% 3/12/47 42,000 41,841
4,5,6PFS Financing Corp. 2015-AA 1.614% 4/15/20 100 100
4,5,6PFS Financing Corp. 2016-A 2.194% 2/18/20 3,070 3,083
4,5,6PFS Financing Corp. 2017-AA 1.570% 3/15/21 10,000 10,003
4,6 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 400 400
4,5,6Resimac Premier Series 2016-1A 2.379% 10/10/47 2,891 2,908
4,5,6Resimac Premier Series 2017-1A 1.940% 9/11/48 32,000 32,000
  Royal Bank of Canada 2.200% 9/23/19 855 859
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 24 24
4 Santander Drive Auto Receivables Trust        
  2014-4 2.600% 11/16/20 3,000 3,017
4 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 104 104
4 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 413 413
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 400 402
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 400 405
4 Santander Drive Auto Receivables Trust        
  2016-1 1.620% 3/16/20 2,000 2,002
4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 230 232
4 Santander Drive Auto Receivables Trust        
  2016-2 1.560% 5/15/20 2,880 2,880
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 170 170
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 110 111

 

 

4 Santander Drive Auto Receivables Trust        
  2016-3 1.340% 11/15/19 4,576 4,576
4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 540 539
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 5,440 5,441
4 Santander Drive Auto Receivables Trust        
  2017-1 1.490% 2/18/20 9,600 9,599
4 Santander Drive Auto Receivables Trust        
  2017-1 1.770% 9/15/20 2,740 2,741
4,6 Securitized Term Auto Receivables Trust        
  2016-1A 1.284% 11/26/18 9,152 9,138
4,6 Securitized Term Auto Receivables Trust        
  2017-1A 1.510% 4/25/19 15,000 14,986
4,5,6Silver Bay Realty 2014-1 Trust 2.444% 9/17/31 100 100
4,6 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 67 69
4,6 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 8,005 8,093
4,6 SLM Private Education Loan Trust 2012-D 2.950% 2/15/46 10,208 10,274
4,6 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 100 100
4,5,6SLM Private Education Loan Trust 2013-C 2.394% 10/15/31 9,173 9,283
4,5 SLM Student Loan Trust 2005-5 1.256% 4/25/25 121 121
4 SMART ABS Series 2016-2US Trust 1.450% 8/14/19 10,875 10,852
4,5,6SMB Private Education Loan Trust 2015-A 1.594% 7/17/23 2,438 2,439
4,5,6SMB Private Education Loan Trust 2016-A 1.694% 5/15/23 1,063 1,063
4,5,6SMB Private Education Loan Trust 2016-B 1.644% 11/15/23 1,804 1,807
4,5,6SMB Private Education Loan Trust 2016-C 1.544% 11/15/23 4,561 4,566
4,5,6SMB Private Education Loan Trust 2017-A 1.444% 6/17/24 4,350 4,350
4,6 SoFi Professional Loan Program 2016-B LLC 1.680% 3/25/31 1,093 1,093
4,6 SoFi Professional Loan Program 2016-C LLC 1.480% 5/26/31 1,348 1,343
4,6 SoFi Professional Loan Program 2016-D LLC 1.530% 4/25/33 5,273 5,259
4,6 SoFi Professional Loan Program 2016-E LLC 1.630% 1/25/36 2,721 2,717
4,6 SoFi Professional Loan Program 2017-A LLC 1.550% 3/26/40 4,719 4,707
4,6 SoFi Professional Loan Program 2017-B LLC 1.830% 5/25/40 9,000 9,004
4,5,6SWAY Residential 2014-1 Trust 2.294% 1/17/32 134 134
4 Synchrony Credit Card Master Note Trust        
  2014-1 1.610% 11/15/20 7,225 7,234
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 2,752
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 1,180 1,186
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 4,640 4,613
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 3,190 3,164
4 Synchrony Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 205 205
4,6 TCF Auto Receivables Owner Trust 2016-PT1 1.930% 6/15/22 8,722 8,717
4,6 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 108 108
4 Toyota Auto Receivables 2016-B Owner Trust 1.520% 8/16/21 410 407
4,5,6Trillium Credit Card Trust II 2016-1A 1.711% 5/26/21 9,140 9,178
4 USAA Auto Owner Trust 2015-1 1.540% 11/16/20 1,400 1,399
4,6 Verizon Owner Trust 2016-2A 1.680% 5/20/21 2,130 2,127
4,6 Verizon Owner Trust 2017-1A 2.060% 9/20/21 8,500 8,543
4 Volkswagen Auto Lease Trust 2015-A 1.250% 12/20/17 255 255
4,5,6Volkswagen Credit Auto Master Trust 2014-1 1.343% 7/22/19 25,000 25,003

 

 

4,6 Volkswagen Credit Auto Master Trust 2014-        
  1A 1.400% 7/22/19 5,869 5,865
4,6 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 160 160
4,6 Volvo Financial Equipment LLC Series 2017-        
  1A 1.550% 10/15/19 12,000 11,998
4,6 Volvo Financial Equipment LLC Series 2017-        
  1A 1.920% 3/15/21 6,000 6,007
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C33 6.179% 2/15/51 10 10
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 1.676% 7/15/46 244 243
4,5 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2014-1 1.373% 7/20/19 10,000 10,003
4,5 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2014-2 1.443% 10/20/19 12,575 12,584
4,5 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2015-1 1.493% 1/20/20 3,201 3,204
4,6 Wendys Funding LLC 2015-1A 3.371% 6/15/45 8,097 8,145
6 Westpac Banking Corp. 1.375% 5/30/18 6,500 6,476
6 Westpac Banking Corp. 1.850% 11/26/18 5,151 5,158
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 85 86
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 1.406% 9/15/46 40 40
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.027% 12/15/46 100 102
4 WFRBS Commercial Mortgage Trust 2013-        
  UBS1 1.122% 3/15/46 19 19
4,6 Wheels SPV 2 LLC 2015-1A 1.810% 4/22/24 200 200
4,6 Wheels SPV 2 LLC 2016-1A 1.590% 5/20/25 1,500 1,501
4 World Financial Network Credit Card Master        
  Note Trust Series 2014-C 1.540% 8/16/21 1,450 1,451
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 1.474% 2/15/22 19,370 19,425
4 World Omni Auto Receivables Trust 2016-A 1.770% 9/15/21 420 421
4 World Omni Auto Receivables Trust 2016-B 1.100% 1/15/20 8,622 8,605
4 World Omni Automobile Lease Securitization        
  Trust 2017-A 2.320% 8/15/22 1,530 1,535
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,081,558)   1,081,561
Corporate Bonds (36.5%)        
Finance (14.8%)        
  Banking (12.1%)        
7 ABN AMRO Bank NV 4.750% 2/5/19 1,000 775
  American Express Credit Corp. 1.125% 6/5/17 1,540 1,540
  American Express Credit Corp. 1.550% 9/22/17 1,930 1,931
  American Express Credit Corp. 1.800% 7/31/18 645 646
  American Express Credit Corp. 1.700% 10/30/19 2,000 1,988
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 500 501
  Australia & New Zealand Banking Group Ltd. 1.500% 1/16/18 842 841
  Bank of America Corp. 6.400% 8/28/17 229 233
  Bank of America Corp. 6.000% 9/1/17 679 689
  Bank of America Corp. 5.750% 12/1/17 1,000 1,024
  Bank of America Corp. 2.000% 1/11/18 2,300 2,306
5,7 Bank of America Corp. 3.200% 8/23/18 3,000 2,265
  Bank of America Corp. 2.650% 4/1/19 750 759
  Bank of Nova Scotia 1.300% 7/21/17 62 62

 

 

  Bank of Nova Scotia 1.650% 6/14/19 200 199
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 1,500 1,498
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.700% 9/9/18 1,000 1,010
6 Banque Federative du Credit Mutuel SA 2.000% 4/12/19 9,020 8,983
  BB&T Corp. 1.450% 1/12/18 451 451
  Bear Stearns Cos. LLC 6.400% 10/2/17 14 14
  BPCE SA 1.613% 7/25/17 214 214
7 BPCE SA 4.500% 4/17/18 1,500 1,141
  Branch Banking & Trust Co. 2.100% 1/15/20 8,500 8,525
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 842 841
  Capital One Bank USA NA 2.150% 11/21/18 300 301
  Capital One NA 1.650% 2/5/18 6,925 6,922
  Capital One NA 1.500% 3/22/18 342 342
  Citigroup Inc. 1.550% 8/14/17 44 44
  Citigroup Inc. 1.850% 11/24/17 930 932
  Citigroup Inc. 1.700% 4/27/18 2,200 2,199
  Citigroup Inc. 2.050% 12/7/18 1,500 1,502
  Citigroup Inc. 2.550% 4/8/19 625 631
  Commonwealth Bank of Australia 1.400% 9/8/17 850 850
  Commonwealth Bank of Australia 1.900% 9/18/17 250 250
6 Commonwealth Bank of Australia 4.650% 6/15/18 9,200 9,441
  Commonwealth Bank of Australia 1.750% 11/2/18 4,200 4,195
  Commonwealth Bank of Australia 2.250% 3/13/19 5,650 5,684
  Cooperatieve Rabobank UA 2.250% 1/14/19 14,500 14,597
6 Credit Agricole SA 3.000% 10/1/17 2,900 2,915
5,7 Credit Suisse AG 2.625% 11/14/17 1,000 750
5,7 Credit Suisse AG 2.830% 8/24/18 1,300 977
5,7 Credit Suisse AG 2.795% 7/16/19 4,370 3,279
6 Danske Bank A/S 1.650% 9/6/19 1,500 1,482
  Discover Bank 2.000% 2/21/18 4,883 4,890
  Discover Bank 2.600% 11/13/18 1,900 1,915
  Fifth Third Bancorp 4.500% 6/1/18 529 543
  Fifth Third Bank 1.350% 6/1/17 850 850
7 Goldman Sachs Group Inc. 5.250% 11/29/17 690 525
  Goldman Sachs Group Inc. 5.950% 1/18/18 625 644
  Goldman Sachs Group Inc. 2.375% 1/22/18 3,000 3,016
  Goldman Sachs Group Inc. 6.150% 4/1/18 650 676
  Goldman Sachs Group Inc. 2.900% 7/19/18 5,150 5,217
5,7 Goldman Sachs Group Inc. 3.470% 8/8/18 2,200 1,664
7 Goldman Sachs Group Inc. 5.000% 8/21/19 530 416
  Goldman Sachs Group Inc. 2.300% 12/13/19 2,755 2,759
  HSBC Bank USA NA 6.000% 8/9/17 450 455
  HSBC USA Inc. 1.300% 6/23/17 1,264 1,264
  HSBC USA Inc. 1.700% 3/5/18 640 640
  Huntington National Bank 1.700% 2/26/18 4,850 4,852
  Huntington National Bank 2.200% 11/6/18 1,300 1,304
6 ING Bank NV 1.800% 3/16/18 1,415 1,415
6 ING Bank NV 2.050% 8/17/18 1,610 1,614
6 ING Bank NV 2.300% 3/22/19 2,380 2,389
  JPMorgan Chase & Co. 2.000% 8/15/17 41 41
7 JPMorgan Chase & Co. 4.650% 11/7/17 180 136
  JPMorgan Chase & Co. 6.000% 1/15/18 730 752
  JPMorgan Chase & Co. 1.800% 1/25/18 1,000 1,001
  JPMorgan Chase & Co. 1.700% 3/1/18 10,374 10,382
  KeyBank NA 1.650% 2/1/18 5,430 5,434
  KeyBank NA 1.600% 8/22/19 1,800 1,783
7 Lloyds Bank plc 3.100% 8/28/18 2,720 2,050

 

 

  Lloyds Bank plc 2.300% 11/27/18 4,250 4,276
  Manufacturers & Traders Trust Co. 1.400% 7/25/17 1,449 1,449
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 9,490 9,758
  Morgan Stanley 1.875% 1/5/18 9,831 9,849
7 Morgan Stanley 7.375% 2/22/18 1,000 778
7 Morgan Stanley 4.750% 11/16/18 1,762 1,363
  Morgan Stanley 2.500% 1/24/19 1,875 1,895
  National Australia Bank Ltd. 1.875% 7/23/18 760 761
  National Australia Bank Ltd. 2.250% 1/10/20 8,000 8,030
  National Bank of Canada 2.100% 12/14/18 2,100 2,112
6 Nordea Bank AB 1.625% 9/30/19 5,600 5,542
  PNC Bank NA 1.500% 10/18/17 310 310
  PNC Bank NA 6.875% 4/1/18 5,440 5,692
  PNC Bank NA 1.700% 12/7/18 4,000 4,000
  PNC Bank NA 1.450% 7/29/19 2,600 2,572
  Royal Bank of Canada 1.250% 6/16/17 1,496 1,496
  Royal Bank of Canada 1.800% 7/30/18 2,395 2,401
  Royal Bank of Canada 2.150% 3/15/19 6,936 6,973
  Royal Bank of Canada 1.500% 7/29/19 2,500 2,478
6 Skandinaviska Enskilda Banken AB 1.750% 3/19/18 2,000 2,000
6 Skandinaviska Enskilda Banken AB 2.375% 11/20/18 2,800 2,821
6 Skandinaviska Enskilda Banken AB 2.375% 3/25/19 720 725
  State Street Corp. 1.350% 5/15/18 350 350
  Sumitomo Mitsui Banking Corp. 1.750% 1/16/18 2,500 2,503
  Sumitomo Mitsui Banking Corp. 1.950% 7/23/18 1,700 1,702
  Svenska Handelsbanken AB 1.625% 3/21/18 3,200 3,200
  Svenska Handelsbanken AB 2.500% 1/25/19 6,860 6,934
7 Svenska Handelsbanken AB 4.500% 4/10/19 3,000 2,325
  Svenska Handelsbanken AB 2.250% 6/17/19 5,000 5,025
6 Swedbank AB 1.750% 3/12/18 20,650 20,651
5,7 Swedbank AB 2.920% 11/5/18 8,000 6,026
6 Swedbank AB 2.375% 2/27/19 1,061 1,070
  Synchrony Financial 1.875% 8/15/17 4,128 4,128
  Synchrony Financial 2.600% 1/15/19 1,500 1,510
  Toronto-Dominion Bank 2.625% 9/10/18 1,100 1,115
  UBS AG 1.375% 6/1/17 570 570
  UBS AG 1.375% 8/14/17 600 600
  US Bank NA 1.375% 9/11/17 635 635
  US Bank NA 1.350% 1/26/18 3,650 3,641
  US Bank NA 1.450% 1/29/18 2,774 2,771
  Wells Fargo & Co. 2.100% 5/8/17 744 744
  Wells Fargo & Co. 1.500% 1/16/18 1,500 1,499
7 Wells Fargo & Co. 4.250% 1/25/18 7,620 5,783
7 Wells Fargo & Co. 4.000% 8/8/19 500 385
  Wells Fargo Bank NA 1.750% 5/24/19 1,600 1,597
  Wells Fargo Bank NA 2.150% 12/6/19 470 472
  Westpac Banking Corp. 1.200% 5/19/17 64 64
  Westpac Banking Corp. 2.000% 8/14/17 64 64
  Westpac Banking Corp. 2.250% 1/17/19 7,244 7,289
  Westpac Banking Corp. 1.650% 5/13/19 6,500 6,452
  Westpac Banking Corp. 1.600% 8/19/19 3,000 2,967
 
  Brokerage (0.1%)        
  Franklin Resources Inc. 1.375% 9/15/17 214 214
  NYSE Euronext 2.000% 10/5/17 1,233 1,235

 

 

Finance Companies (0.3%)        
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.750% 5/15/19 2,200 2,258
Air Lease Corp. 2.125% 1/15/18 5,283 5,283
 
Insurance (1.1%)        
Aetna Inc. 1.700% 6/7/18 1,700 1,700
6 AIA GROUP Ltd. 2.250% 3/11/19 1,430 1,432
Marsh & McLennan Cos. Inc. 2.550% 10/15/18 8,305 8,405
7 Metropolitan Life Global Funding I 4.750% 9/28/17 3,875 2,929
7 Metropolitan Life Global Funding I 4.500% 10/10/18 9,390 7,221
7 Metropolitan Life Global Funding I 4.500% 4/16/19 5,200 4,020
6 Pricoa Global Funding I 1.900% 9/21/18 1,735 1,740
6 Reliance Standard Life Global Funding II 2.150% 10/15/18 1,560 1,565
Travelers Cos. Inc. 5.750% 12/15/17 1,302 1,337
 
Real Estate Investment Trusts (1.2%)        
Brandywine Operating Partnership LP 5.700% 5/1/17 116 116
Brandywine Operating Partnership LP 4.950% 4/15/18 1,667 1,712
DDR Corp. 4.750% 4/15/18 5,000 5,109
7 GPT Wholesale Shopping Centre Fund No. 1 5.000% 11/13/17 2,500 1,895
Kimco Realty Corp. 4.300% 2/1/18 5,377 5,445
7 Mirvac Group Finance Ltd. 5.500% 12/18/17 4,800 3,658
Realty Income Corp. 2.000% 1/31/18 4,896 4,905
UDR Inc. 4.250% 6/1/18 1,083 1,110
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 6,000 6,014
Welltower Inc. 4.700% 9/15/17 333 337
Welltower Inc. 2.250% 3/15/18 969 973
        394,322
Industrial (17.0%)        
Basic Industry (1.1%)        
6 Air Liquide Finance SA 1.375% 9/27/19 4,000 3,945
Air Products & Chemicals Inc. 4.375% 8/21/19 4,120 4,365
Airgas Inc. 1.650% 2/15/18 1,251 1,253
Dow Chemical Co. 5.700% 5/15/18 1,000 1,040
Dow Chemical Co. 8.550% 5/15/19 1,300 1,467
Ecolab Inc. 1.450% 12/8/17 2,001 1,999
EI du Pont de Nemours & Co. 2.200% 5/1/20 7,000 7,011
International Paper Co. 7.950% 6/15/18 6,000 6,403
LyondellBasell Industries NV 5.000% 4/15/19 750 786
 
Capital Goods (1.4%)        
Acuity Brands Lighting Inc. 6.000% 12/15/19 1,400 1,533
Caterpillar Financial Services Corp. 1.500% 2/23/18 675 674
Caterpillar Financial Services Corp. 1.800% 11/13/18 2,738 2,746
Caterpillar Financial Services Corp. 7.150% 2/15/19 510 557
Caterpillar Financial Services Corp. 1.350% 5/18/19 690 684
Caterpillar Financial Services Corp. 2.100% 1/10/20 4,000 4,016
6 Fortive Corp. 1.800% 6/15/19 1,600 1,591
General Electric Capital Corp. 5.625% 9/15/17 17 17
General Electric Capital Corp. 6.000% 8/7/19 3,000 3,287
General Electric Co. 5.250% 12/6/17 2,560 2,619
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,810 1,927
John Deere Capital Corp. 1.125% 6/12/17 135 135
John Deere Capital Corp. 2.800% 9/18/17 25 25
John Deere Capital Corp. 1.200% 10/10/17 870 870
John Deere Capital Corp. 1.950% 1/8/19 500 503

 

 

John Deere Capital Corp. 1.250% 10/9/19 2,000 1,974
7 John Deere Financial Ltd. 3.500% 12/18/19 2,200 1,675
Parker-Hannifin Corp. 5.500% 5/15/18 8,200 8,536
Precision Castparts Corp. 1.250% 1/15/18 2,025 2,023
6 Siemens Financieringsmaatschappij NV 1.300% 9/13/19 2,500 2,463
 
Communication (1.6%)        
America Movil SAB de CV 5.625% 11/15/17 10,000 10,203
American Tower Corp. 4.500% 1/15/18 3,700 3,769
AT&T Inc. 1.700% 6/1/17 2,700 2,701
AT&T Inc. 1.400% 12/1/17 600 600
British Telecommunications plc 5.950% 1/15/18 2,000 2,057
Comcast Cable Communications LLC 8.875% 5/1/17 46 46
Deutsche Telekom International Finance BV 6.750% 8/20/18 3,500 3,719
Grupo Televisa SAB 6.000% 5/15/18 2,745 2,857
Moody's Corp. 2.750% 7/15/19 3,000 3,042
Orange SA 2.750% 2/6/19 800 809
Orange SA 1.625% 11/3/19 2,200 2,175
S&P Global Inc. 2.500% 8/15/18 1,800 1,816
7 Telstra Corp. Ltd. 4.000% 11/15/17 8,500 6,415
7 Telstra Corp. Ltd. 4.500% 11/13/18 2,650 2,042
 
Consumer Cyclical (3.4%)        
American Honda Finance Corp. 0.950% 5/5/17 400 400
American Honda Finance Corp. 1.550% 12/11/17 2,400 2,402
American Honda Finance Corp. 1.700% 2/22/19 5,988 5,990
AutoZone Inc. 1.625% 4/21/19 1,450 1,440
7 BMW Australia Finance Ltd. 2.750% 2/23/18 1,930 1,447
6 BMW US Capital LLC 1.500% 4/11/19 800 796
6 BMW US Capital LLC 1.450% 9/13/19 3,000 2,966
CVS Health Corp. 1.900% 7/20/18 2,800 2,807
6 Daimler Finance North America LLC 1.600% 8/3/17 400 400
6 Experian Finance plc 2.375% 6/15/17 3,500 3,501
Ford Motor Credit Co. LLC 6.625% 8/15/17 989 1,003
Ford Motor Credit Co. LLC 1.684% 9/8/17 288 288
Ford Motor Credit Co. LLC 2.375% 1/16/18 1,059 1,064
Ford Motor Credit Co. LLC 5.000% 5/15/18 300 308
7 Ford Motor Credit Co. LLC 4.050% 12/10/18 2,250 1,716
6 Harley-Davidson Financial Services Inc. 1.550% 11/17/17 3,568 3,563
6 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 4,300 4,323
6 Harley-Davidson Funding Corp. 6.800% 6/15/18 4,145 4,368
6 Hyundai Capital America 4.000% 6/8/17 300 301
6 Hyundai Capital America 2.125% 10/2/17 1,382 1,384
6 Hyundai Capital America 2.000% 3/19/18 1,250 1,251
6 Hyundai Capital America 2.875% 8/9/18 4,250 4,288
6 Hyundai Capital Services Inc. 3.500% 9/13/17 200 201
Marriott International Inc. 6.375% 6/15/17 2,500 2,515
Marriott International Inc. 6.750% 5/15/18 2,500 2,621
6 Nissan Motor Acceptance Corp. 1.950% 9/12/17 4,134 4,139
6 Nissan Motor Acceptance Corp. 1.500% 3/2/18 3,357 3,348
6 Nissan Motor Acceptance Corp. 1.800% 3/15/18 925 924
6 Nissan Motor Acceptance Corp. 2.650% 9/26/18 590 596
6 Nissan Motor Acceptance Corp. 2.350% 3/4/19 1,515 1,523
6 Nissan Motor Acceptance Corp. 2.000% 3/8/19 1,250 1,249
PACCAR Financial Corp. 1.750% 8/14/18 290 291
7 Toyota Finance Australia Ltd. 4.250% 2/26/18 11,601 8,830
Toyota Motor Credit Corp. 1.750% 5/22/17 400 400

 

 

Toyota Motor Credit Corp. 1.375% 1/10/18 400 400
Toyota Motor Credit Corp. 1.200% 4/6/18 1,000 998
Toyota Motor Credit Corp. 2.000% 10/24/18 801 806
Visa Inc. 1.200% 12/14/17 1,000 1,000
6 Volkswagen Group of America Finance LLC 1.250% 5/23/17 1,897 1,897
6 Volkswagen Group of America Finance LLC 1.650% 5/22/18 4,540 4,529
Walgreens Boots Alliance Inc. 1.750% 5/30/18 1,500 1,506
6 Wesfarmers Ltd. 1.874% 3/20/18 8,373 8,373
 
Consumer Noncyclical (3.8%)        
Abbott Laboratories 5.125% 4/1/19 2,007 2,121
Abbott Laboratories 2.350% 11/22/19 2,500 2,514
AbbVie Inc. 1.800% 5/14/18 450 451
AbbVie Inc. 2.000% 11/6/18 800 802
Actavis Funding SCS 2.350% 3/12/18 3,114 3,126
Actavis Inc. 1.875% 10/1/17 39 39
Agilent Technologies Inc. 6.500% 11/1/17 116 118
Altria Group Inc. 9.700% 11/10/18 6,821 7,615
Amgen Inc. 2.125% 5/15/17 58 58
Amgen Inc. 5.850% 6/1/17 58 58
Amgen Inc. 6.150% 6/1/18 944 988
Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 2,500 2,496
Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 4,000 4,008
Anheuser-Busch InBev Worldwide Inc. 1.375% 7/15/17 1,700 1,700
AstraZeneca plc 5.900% 9/15/17 6,830 6,941
Baxalta Inc. 2.000% 6/22/18 250 250
Becton Dickinson & Co. 1.800% 12/15/17 6,000 5,996
Biogen Inc. 6.875% 3/1/18 1,500 1,564
Celgene Corp. 1.900% 8/15/17 370 371
Celgene Corp. 2.125% 8/15/18 2,100 2,108
Clorox Co. 5.950% 10/15/17 700 714
Coca-Cola Femsa SAB de CV 2.375% 11/26/18 2,750 2,757
Constellation Brands Inc. 3.875% 11/15/19 5,000 5,225
Covidien International Finance SA 6.000% 10/15/17 400 407
Express Scripts Holding Co. 2.250% 6/15/19 5,000 5,016
Gilead Sciences Inc. 1.850% 9/4/18 500 501
GlaxoSmithKline Capital plc 1.500% 5/8/17 265 265
Hershey Co. 1.600% 8/21/18 1,100 1,104
JM Smucker Co. 1.750% 3/15/18 1,000 1,001
Kraft Foods Group Inc. 2.250% 6/5/17 2,000 2,002
Kraft Heinz Foods Co. 1.600% 6/30/17 4,000 4,001
Mylan Inc. 2.550% 3/28/19 3,654 3,672
Newell Brands Inc. 2.600% 3/29/19 977 989
Perrigo Co. plc 2.300% 11/8/18 7,700 7,806
Philip Morris International Inc. 1.250% 8/11/17 1,000 1,000
Philip Morris International Inc. 5.650% 5/16/18 7,000 7,299
Reynolds American Inc. 2.300% 6/12/18 600 603
6 Roche Holdings Inc. 1.350% 9/29/17 1,000 1,000
Shire Acquisitions Investments Ireland DAC 1.900% 9/23/19 2,200 2,186
Stryker Corp. 1.300% 4/1/18 1,200 1,198
Teva Pharmaceutical Finance Netherlands III        
BV 1.400% 7/20/18 1,800 1,791
Zimmer Biomet Holdings Inc. 2.000% 4/1/18 3,950 3,959
Zoetis Inc. 1.875% 2/1/18 2,500 2,504
 
Energy (3.0%)        
7 BP Capital Markets plc 4.500% 9/5/17 510 385

 

 

  BP Capital Markets plc 1.375% 5/10/18 8,000 7,985
  BP Capital Markets plc 2.241% 9/26/18 2,900 2,918
7 BP Capital Markets plc 4.750% 11/15/18 2,315 1,789
  Chevron Corp. 1.344% 11/9/17 2,000 2,001
  Chevron Corp. 1.345% 11/15/17 2,500 2,500
  Chevron Corp. 4.950% 3/3/19 1,250 1,323
  ConocoPhillips 5.200% 5/15/18 2,153 2,232
  ConocoPhillips Co. 1.050% 12/15/17 10,000 9,970
  ConocoPhillips Co. 1.500% 5/15/18 312 312
  Enterprise Products Operating LLC 6.300% 9/15/17 170 173
  Enterprise Products Operating LLC 1.650% 5/7/18 700 699
  EOG Resources Inc. 5.625% 6/1/19 2,450 2,627
  Exxon Mobil Corp. 1.439% 3/1/18 3,000 3,003
  Kinder Morgan Energy Partners LP 5.950% 2/15/18 17 18
  Kinder Morgan Inc. 7.000% 6/15/17 17 17
  Kinder Morgan Inc. 2.000% 12/1/17 17 17
  Marathon Oil Corp. 6.000% 10/1/17 4,000 4,073
  Marathon Oil Corp. 5.900% 3/15/18 2,000 2,068
  Occidental Petroleum Corp. 1.500% 2/15/18 11,350 11,349
  Petro-Canada 6.050% 5/15/18 2,840 2,961
6 Schlumberger Holdings Corp. 2.350% 12/21/18 10,000 10,079
  Shell International Finance BV 1.125% 8/21/17 500 499
  Shell International Finance BV 1.250% 11/10/17 1,500 1,498
  Shell International Finance BV 1.375% 5/10/19 3,400 3,374
  Shell International Finance BV 1.375% 9/12/19 3,000 2,966
  Total Capital International SA 1.550% 6/28/17 187 187
  Total Capital International SA 2.125% 1/10/19 1,500 1,510
  Total Capital SA 2.125% 8/10/18 3,000 3,019
 
  Technology (2.0%)        
  Amphenol Corp. 1.550% 9/15/17 1,000 1,000
  Amphenol Corp. 2.550% 1/30/19 3,500 3,536
  Apple Inc. 1.700% 2/22/19 750 753
5,7 Apple Inc. 2.430% 8/28/19 4,820 3,617
6 Broadcom Corp. / Broadcom Cayman Finance        
  Ltd. 2.375% 1/15/20 5,000 5,006
  CA Inc. 2.875% 8/15/18 4,045 4,097
  Corning Inc. 1.500% 5/8/18 300 299
  Equifax Inc. 6.300% 7/1/17 1,950 1,964
6 Everett Spinco Inc. 2.875% 3/27/20 6,000 6,065
  Fidelity National Information Services Inc. 1.450% 6/5/17 1,105 1,104
  Fidelity National Information Services Inc. 2.000% 4/15/18 5,400 5,413
  Hewlett Packard Enterprise Co. 2.450% 10/5/17 984 987
  Hewlett Packard Enterprise Co. 2.850% 10/5/18 2,160 2,185
  KLA-Tencor Corp. 2.375% 11/1/17 6,445 6,471
  Total System Services Inc. 2.375% 6/1/18 6,352 6,377
  Tyco Electronics Group SA 6.550% 10/1/17 4,140 4,224
  Tyco Electronics Group SA 2.375% 12/17/18 1,315 1,326
 
  Transportation (0.7%)        
4 Burlington Northern and Santa Fe Railway Co.        
  1999-2 Pass Through Trust 7.570% 1/2/21 1,534 1,656
  Burlington Northern Santa Fe LLC 5.650% 5/1/17 1,646 1,646
  Canadian National Railway Co. 5.850% 11/15/17 3,145 3,219
  Canadian National Railway Co. 5.550% 3/1/19 5,000 5,336
6 ERAC USA Finance LLC 6.375% 10/15/17 628 641
  Ryder System Inc. 2.500% 3/1/18 2,800 2,814

 

 

4 US Airways 2012-1 Class B Pass Through        
Trust 8.000% 10/1/19 2,280 2,471
        454,610
Utilities (4.7%)        
Electric (4.6%)        
Arizona Public Service Co. 2.200% 1/15/20 1,100 1,105
Berkshire Hathaway Energy Co. 5.750% 4/1/18 3,651 3,792
Commonwealth Edison Co. 6.150% 9/15/17 7,954 8,088
Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 900 974
Consumers Energy Co. 5.650% 9/15/18 2,221 2,334
Consumers Energy Co. 6.125% 3/15/19 125 135
Dominion Resources Inc. 1.875% 1/15/19 1,045 1,044
Dominion Resources Inc. 5.200% 8/15/19 130 139
Duke Energy Carolinas LLC 5.250% 1/15/18 11,000 11,285
Duke Energy Carolinas LLC 7.000% 11/15/18 723 781
Duke Energy Corp. 6.250% 6/15/18 642 673
Duke Energy Florida LLC 5.800% 9/15/17 661 671
Duke Energy Florida LLC 5.650% 6/15/18 50 52
Edison International 3.750% 9/15/17 1,200 1,210
6 EDP Finance BV 4.900% 10/1/19 2,998 3,148
6 EDP Finance BV 4.125% 1/15/20 2,440 2,513
Emera US Finance LP 2.150% 6/15/19 3,000 3,001
6 Enel Finance International NV 6.250% 9/15/17 3,060 3,110
6 Enel Finance International NV 5.125% 10/7/19 369 393
Entergy Louisiana LLC 6.500% 9/1/18 580 614
Exelon Corp. 1.550% 6/9/17 600 600
Exelon Generation Co. LLC 6.200% 10/1/17 2,744 2,792
Exelon Generation Co. LLC 2.950% 1/15/20 3,500 3,554
FirstEnergy Corp. 2.750% 3/15/18 6,400 6,423
Georgia Power Co. 5.700% 6/1/17 650 652
Georgia Power Co. 1.950% 12/1/18 10,275 10,282
MidAmerican Energy Co. 5.300% 3/15/18 1,000 1,032
National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 7,464 8,411
Oncor Electric Delivery Co. LLC 5.000% 9/30/17 2,180 2,211
Oncor Electric Delivery Co. LLC 6.800% 9/1/18 2,216 2,362
Oncor Electric Delivery Co. LLC 2.150% 6/1/19 1,400 1,407
Pacific Gas & Electric Co. 5.625% 11/30/17 3,535 3,615
Pacific Gas & Electric Co. 8.250% 10/15/18 1,400 1,526
PPL Capital Funding Inc. 1.900% 6/1/18 2,000 2,000
South Carolina Electric & Gas Co. 5.250% 11/1/18 6,633 6,955
Southern California Edison Co. 1.250% 11/1/17 295 295
Southern Co. 1.550% 7/1/18 1,210 1,206
Southwestern Electric Power Co. 5.875% 3/1/18 1,532 1,582
Tampa Electric Co. 6.100% 5/15/18 9,120 9,523
TECO Finance Inc. 6.572% 11/1/17 58 59
5 TECO Finance Inc. 1.755% 4/10/18 100 100
Union Electric Co. 6.400% 6/15/17 3,964 3,989
Virginia Electric & Power Co. 5.950% 9/15/17 3,300 3,353
Virginia Electric & Power Co. 1.200% 1/15/18 3,000 2,989
Xcel Energy Inc. 1.200% 6/1/17 300 300
 
Natural Gas (0.1%)        
Atmos Energy Corp. 8.500% 3/15/19 1,280 1,434

 

 

6 Engie SA 1.625% 10/10/17 1,110 1,108
        124,822
Total Corporate Bonds (Cost $974,307)       973,754
Sovereign Bonds (2.3%)        
Caixa Economica Federal 2.375% 11/6/17 750 749
Caixa Economica Federal 4.250% 5/13/19 4,000 4,055
Export-Import Bank of Korea 1.750% 2/27/18 50 50
First Abu Dhabi Bank PJSC 3.000% 8/13/19 7,000 7,133
Japan Finance Organization for Municipalities 1.375% 4/18/18 1,000 994
Korea Development Bank 2.250% 8/7/17 200 200
Korea Development Bank 1.500% 1/22/18 1,000 998
6 Majapahit Holding BV 7.250% 6/28/17 1,250 1,259
North American Development Bank 2.300% 10/10/18 300 303
7 Optus Finance Pty Ltd. 4.750% 12/12/18 11,000 8,518
Petrobras International Finance Co. SA 5.875% 3/1/18 2,500 2,559
Petroleos Mexicanos 5.500% 2/4/19 5,500 5,765
Republic of Colombia 7.375% 3/18/19 5,600 6,158
Republic of Hungary 4.125% 2/19/18 3,000 3,056
Republic of Hungary 6.250% 1/29/20 422 463
Republic of Poland 6.375% 7/15/19 1,000 1,096
Republic of Serbia 5.250% 11/21/17 2,700 2,748
8 Republic of Turkey 2.803% 3/26/18 6,000 5,990
State Bank of India 3.250% 4/18/18 3,400 3,439
Statoil ASA 3.125% 8/17/17 1,977 1,987
Statoil ASA 1.200% 1/17/18 3,847 3,833
Total Sovereign Bonds (Cost $61,284)       61,353
Taxable Municipal Bond (0.0%)        
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL (Cost $144) 3.220% 2/1/21 140 142
 
      Shares  
Temporary Cash Investments (8.8%)        
Money Market Fund (4.1%)        
9 Vanguard Market Liquidity Fund 1.034%   1,089,856 109,007
 
      Face  
      Amount  
      ($000)  
Certificates of Deposit (1.9%)        
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.520% 8/9/17 2,000 2,001
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.570% 10/27/17 2,000 2,001
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.700% 1/26/18 5,500 5,506
Cooperative Rabobank UA/NY 1.380% 9/13/17 5,000 5,001
Royal Bank of Canada (New York Branch) 1.360% 10/5/17 3,100 3,100
Royal Bank of Canada (New York Branch) 1.290% 10/27/17 1,800 1,799
Svenska HandelsBanken AB (New York        
Branch) 1.280% 5/12/17 7,000 7,001
Toronto Dominion Bank (New York Branch) 1.350% 8/11/17 4,500 4,501
Toronto Dominion Bank (New York Branch) 1.360% 8/28/17 4,000 4,001
Toronto Dominion Bank (New York Branch) 1.440% 2/12/18 13,000 12,984

 

 

  Wells Fargo Bank NA 1.320% 10/27/17 4,000 3,998
          51,893
Commercial Paper (2.8%)        
6,10 Anheuser-Busch Inbev Worldwide Inc. 1.478% 9/29/17 1,500 1,491
6,10 Anheuser-Busch Inbev Worldwide Inc. 1.574% 1/10/18 3,000 2,970
6,10 Axa Financial Inc. 1.646% 10/4/17 4,300 4,275
6,10 Bank of Nova Scotia 1.523% 2/1/18 10,000 9,881
6,10 Commonwealth Bank of Australia 1.399% 9/1/17 5,000 4,976
6,10 Danske Corp. 1.502% 8/28/17 4,800 4,781
10 Danske Corp. 1.616% 2/15/18 5,000 4,941
10 Electricite de France 1.543% 8/9/17 5,000 4,978
10 Electricite de France 1.906% 1/5/18 4,500 4,440
6,10 Engie SA 1.490%–1.543% 10/2/17 9,570 9,502
6,10 Engie SA 1.490% 10/6/17 1,132 1,124
6,10 Engie SA 1.543% 10/12/17 380 377
6,10 Engie SA 1.543% 10/20/17 275 273
6,10 Engie SA 1.544% 11/10/17 250 248
6,10 Engie SA 1.544% 11/15/17 250 248
10 Ford Motor Credit Company LLC 1.936% 2/2/18 2,000 1,972
10 GlaxoSmithKline Finance plc 1.523% 12/7/17 6,500 6,438
  ING US Funding LLC 1.343% 5/15/17 2,000 1,999
  Toyota Motor Credit Corp. 1.139% 5/12/17 5,000 4,998
  Toyota Motor Credit Corp. 1.180% 6/2/17 2,000 1,998
6,10 Vodafone Group plc 1.626% 9/29/17 2,500 2,482
          74,392
Total Temporary Cash Investments (Cost $235,292)     235,292
Total Investments (100.7%) (Cost $2,687,090)       2,684,475
Other Assets and Liabilities-Net (-0.7%)       (18,303)
Net Assets (100%)       2,666,172

1 Securities with a value of $701,000 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 April 30, 2017, the aggregate
value of these securities was $820,400,000, representing 30.8% of net assets.
7 Face amount denominated in Australian dollars.
8 Guaranteed by the Republic of Turkey.
9 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
10 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At April 30,
2017, the aggregate value of these securities was $65,397,000, representing 2.5% of net assets.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed

 

Ultra-Short-Term Bond Fund

securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

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

C. 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 April 30, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 332,373 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,041,811 39,750
Corporate Bonds — 973,754 —
Sovereign Bonds — 61,353 —
Taxable Municipal Bonds — 142 —
Temporary Cash Investments 109,007 126,285 —
Futures Contracts—Assets — — —
Futures Contracts—Liabilities — — —
Forward Currency Contracts—Assets — 203 —
Forward Currency Contracts—Liabilities — (37) —
Swap Contracts—Assets — 66 —
Total 109,007 2,535,950 39,750

 

The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the

 

Ultra-Short-Term Bond Fund

fund in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended April 30, 2017. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Asset-Backed/Commercial
  Mortgage-Backed
  Securities
Amount Valued Based on Level 3 Inputs ($000)
Balance as of January 31, 2017 32,965
Purchases 39,750
Transfers into Level 3 —
Transfers out of Level 3 (32,965) 1
Balance as of April 30, 2017 39,750
Transfers out of Level 3 are because observable market data became available for these securities.

 

The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of April 30, 2017:

Security Type Fair Value Valuation Unobservable Amount
  ($000) Technique Input  
 
Asset- 32,000 Market Approach Recent Purchase $100.000
Backed/Commercial     Price  
Mortgage-Backed        
Securities        
 
Asset- 4,250 Market Approach Recent Purchase $99.990
Backed/Commercial     Price  
Mortgage-Backed        
Securities        
 
Asset- 3,500 Market Approach Recent Purchase $99.991
Backed/Commercial     Price  
Mortgage-Backed        
Securities        

 

Significant increases or decreases in the significant unobservable inputs used in the fair value measurement of the fund’s Level 3 securities, in isolation, could result in a significantly higher or lower fair value measurement.

D. 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

 

Ultra-Short-Term Bond Fund

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 April 30, 2017, 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 June 2017 1,607 348,091 229
AUD 90-Day Bank Bill June 2017 (109) (81,275) (16)
5-Year U.S. Treasury Note June 2017 (648) (76,727) (367)
AUD 90-Day Bank Bill December 2017 (100) (74,560) (24)
AUD 90-Day Bank Bill March 2018 (80) (59,639) (5)
AUD 90-Day Bank Bill June 2018 (80) (59,629) (5)
10-Year U.S. Treasury Note June 2017 (20) (2,514) (4)
AUD 3-Year Treasury Bond June 2017 (29) (2,435) (22)
        (214)

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 90-Day Bank Bill and AUD 3-Year Treasury Bond, 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has

 

Ultra-Short-Term Bond Fund

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 April 30, 2017, 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)
Barclays Capital 5/15/17 AUD 200 USD 150 —
JPMorgan Chase Bank N.A. 5/15/17 USD 78,397 AUD 104,455 203
BNP Paribas 5/15/17 USD 9,546 AUD 12,800 (36)
JPMorgan Chase Bank N.A. 5/15/17 USD 120 AUD 161 (1)
            166
AUD—Australian dollar.
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 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

 

Ultra-Short-Term Bond Fund

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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

At April 30, 2017, 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          
Berkshire            
Hathaway Inc./Aa2 12/20/21 GSI 5,000 (37) 1.000 66
 
 
GSI--Goldman Sachs International.

 

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

G. At April 30, 2017, the cost of investment securities for tax purposes was $2,687,114,000. Net unrealized depreciation of investment securities for tax purposes was $2,639,000, consisting of unrealized gains of $2,175,000 on securities that had risen in value since their purchase and $4,814,000 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 FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date:  June 15, 2017  

 

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 FUNDS
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER

 

Date:  June 15, 2017

  

 

 

 VANGUARD FIXED INCOME SECURITIES FUNDS
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER

 

Date:  June 15, 2017

  

 

* By:/s/ Anne E. Robinson

Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016, see file Number 33-32548,
Incorporated by Reference.