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 31 |
Date of reporting period: April 30, 2018 |
Item 1: Schedule of Investments |
Vanguard Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
As of April 30, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (6.1%) | |||||
U.S. Government Securities (4.9%) | |||||
United States Treasury Note/Bond | 0.875% | 7/15/18 | 500 | 499 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 4,200 | 4,047 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 5,057 | 4,945 | |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 4,267 | 4,107 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 11,600 | 11,152 | |
United States Treasury Note/Bond | 2.750% | 2/28/25 | 15,000 | 14,855 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 1,900 | 1,785 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 13,457 | 12,839 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 1,250 | 1,133 | |
United States Treasury Note/Bond | 1.500% | 8/15/26 | 59,000 | 52,759 | |
United States Treasury Note/Bond | 2.375% | 5/15/27 | 26,000 | 24,826 | |
1 | United States Treasury Note/Bond | 6.125% | 8/15/29 | 47,202 | 61,488 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 2,174 | 2,893 | |
1 | United States Treasury Note/Bond | 4.500% | 2/15/36 | 155,530 | 187,777 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 9,000 | 11,257 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 6,700 | 8,633 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 600 | 713 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 250 | 307 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 56,160 | 67,919 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 3,100 | 2,978 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 2,500 | 2,784 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 7,300 | 7,649 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 9,210 | 9,030 | |
2 | United States Treasury Note/Bond | 2.500% | 2/15/45 | 28,662 | 25,474 |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 3,700 | 3,538 | |
1 | United States Treasury Note/Bond | 3.000% | 11/15/45 | 78,585 | 76,964 |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 26,892 | 23,812 | |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 3,250 | 2,876 | |
United States Treasury Note/Bond | 2.250% | 8/15/46 | 19,500 | 16,331 | |
2 | United States Treasury Note/Bond | 2.875% | 11/15/46 | 36,000 | 34,352 |
United States Treasury Note/Bond | 3.000% | 2/15/47 | 11,000 | 10,761 | |
1,2 United States Treasury Note/Bond | 3.000% | 5/15/47 | 46,600 | 45,566 | |
United States Treasury Note/Bond | 2.750% | 11/15/47 | 42,000 | 39,027 | |
United States Treasury Note/Bond | 3.000% | 2/15/48 | 15,000 | 14,662 | |
789,738 | |||||
Agency Bonds and Notes (0.2%) | |||||
3 | Tennessee Valley Authority | 5.250% | 9/15/39 | 18,800 | 23,733 |
3 | Tennessee Valley Authority | 4.250% | 9/15/65 | 10,000 | 11,113 |
34,846 | |||||
Conventional Mortgage-Backed Securities (0.5%) | |||||
4,5 Fannie Mae Pool | 3.050% | 10/1/32 | 1,752 | 1,686 | |
4,5 Fannie Mae Pool | 3.100% | 6/1/32–10/1/32 | 20,730 | 19,722 | |
4,5 Fannie Mae Pool | 3.180% | 9/1/32 | 10,750 | 10,300 | |
4,5 Fannie Mae Pool | 3.200% | 9/1/32 | 5,660 | 5,418 | |
4,5 Fannie Mae Pool | 3.220% | 7/1/32 | 2,240 | 2,139 | |
4,5 Fannie Mae Pool | 3.230% | 7/1/32–8/1/32 | 5,973 | 5,745 | |
4,5 Fannie Mae Pool | 3.250% | 6/1/32 | 6,115 | 5,893 | |
4,5 Fannie Mae Pool | 3.260% | 9/1/32 | 26,625 | 25,822 |
4,5 Fannie Mae Pool | 3.300% | 7/1/32 | 1,622 | 1,593 | |
4,5 Fannie Mae Pool | 3.490% | 2/1/32 | 5,695 | 5,611 | |
83,929 | |||||
Nonconventional Mortgage-Backed Securities (0.5%) | |||||
4,5 Fannie Mae Pool | 3.135% | 10/1/32 | 6,300 | 6,053 | |
4,5 Fannie Mae REMICS | 3.000% | 7/25/47 | 12,564 | 11,563 | |
4,6 Fannie Mae REMICS | 4.000% | 6/25/42–2/25/48 | 6,727 | 1,495 | |
4,7 Fannie Mae REMICS | 4.153% | 3/25/46 | 2,054 | 344 | |
4,7 Fannie Mae REMICS | 4.253% | 5/25/47 | 2,912 | 485 | |
4,7 Fannie Mae REMICS | 4.303% | 10/25/47 | 1,832 | 355 | |
4,6 Fannie Mae REMICS | 4.500% | 12/25/42–9/25/47 | 1,487 | 359 | |
4,6 Fannie Mae REMICS | 5.000% | 6/25/45 | 1,327 | 278 | |
4,6 Fannie Mae REMICS | 5.500% | 2/25/46 | 720 | 157 | |
4,6 Fannie Mae REMICS | 6.000% | 4/25/45–12/25/47 | 2,261 | 538 | |
4,5 Freddie Mac REMICS | 3.000% | 4/15/47 | 11,716 | 10,668 | |
4,6 Freddie Mac REMICS | 3.500% | 12/15/42 | 1,611 | 310 | |
4,6 Freddie Mac REMICS | 4.000% | 10/15/42–12/15/47 | 2,045 | 410 | |
4,7 Freddie Mac REMICS | 4.253% | 1/15/42–1/15/45 | 1,391 | 217 | |
4,7 Freddie Mac REMICS | 4.303% | 12/15/47 | 691 | 128 | |
5 | Ginnie Mae REMICS | 3.000% | 7/20/47–8/20/47 | 42,992 | 37,418 |
6 | Ginnie Mae REMICS | 3.500% | 7/20/42 | 1,131 | 191 |
7 | Ginnie Mae REMICS | 3.753% | 8/20/45 | 1,225 | 183 |
6 | Ginnie Mae REMICS | 4.000% | 3/20/42–1/20/48 | 4,981 | 1,091 |
7 | Ginnie Mae REMICS | 4.203% | 9/20/46 | 889 | 158 |
7 | Ginnie Mae REMICS | 4.303% | 9/20/47–12/20/47 | 6,505 | 1,132 |
6 | Ginnie Mae REMICS | 4.500% | 3/20/43–1/20/48 | 5,142 | 1,252 |
6 | Ginnie Mae REMICS | 5.000% | 2/20/40 | 1,170 | 259 |
75,044 | |||||
Total U.S. Government and Agency Obligations (Cost $1,014,851) | 983,557 | ||||
Corporate Bonds (75.4%) | |||||
Finance (19.3%) | |||||
Banking (13.0%) | |||||
Bank of America Corp. | 3.248% | 10/21/27 | 14,160 | 13,148 | |
5 | Bank of America Corp. | 3.824% | 1/20/28 | 12,200 | 11,868 |
5 | Bank of America Corp. | 3.705% | 4/24/28 | 35,080 | 33,794 |
5 | Bank of America Corp. | 3.970% | 3/5/29 | 6,000 | 5,894 |
Bank of America Corp. | 6.110% | 1/29/37 | 30,000 | 34,825 | |
5 | Bank of America Corp. | 4.244% | 4/24/38 | 50,195 | 48,952 |
Bank of America Corp. | 5.875% | 2/7/42 | 19,230 | 23,069 | |
5 | Bank of America Corp. | 4.443% | 1/20/48 | 33,000 | 32,863 |
5 | Bank of America Corp. | 3.946% | 1/23/49 | 65,200 | 59,925 |
Bank of America NA | 6.000% | 10/15/36 | 20,450 | 25,059 | |
Bank One Corp. | 8.000% | 4/29/27 | 27,424 | 34,622 | |
5 | Citigroup Inc. | 3.887% | 1/10/28 | 21,905 | 21,270 |
5 | Citigroup Inc. | 3.878% | 1/24/39 | 52,275 | 48,383 |
Citigroup Inc. | 4.650% | 7/30/45 | 13,983 | 14,358 | |
5 | Citigroup Inc. | 4.281% | 4/24/48 | 18,570 | 17,949 |
8 | Commonwealth Bank of Australia | 3.900% | 7/12/47 | 3,500 | 3,309 |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 25,781 | 29,842 | |
5,8 Credit Agricole SA | 4.000% | 1/10/33 | 4,530 | 4,242 | |
8 | Credit Suisse Group AG | 4.282% | 1/9/28 | 10,000 | 9,846 |
5 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 66,500 | 63,143 |
5 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 23,695 | 22,635 |
5 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 16,545 | 16,271 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 38,270 | 44,526 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 23,785 | 28,822 |
5 Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 82,225 | 76,034 |
5 Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 12,570 | 12,193 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 23,149 | 28,023 |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 15,000 | 15,270 |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 28,114 | 28,594 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 45,205 | 54,463 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 22,425 | 26,419 |
HSBC Holdings plc | 4.300% | 3/8/26 | 500 | 507 |
HSBC Holdings plc | 4.375% | 11/23/26 | 1,505 | 1,490 |
5 HSBC Holdings plc | 4.041% | 3/13/28 | 1,840 | 1,802 |
HSBC Holdings plc | 7.625% | 5/17/32 | 21,200 | 27,319 |
HSBC Holdings plc | 6.500% | 9/15/37 | 36,245 | 44,445 |
HSBC Holdings plc | 6.800% | 6/1/38 | 58,749 | 74,523 |
HSBC Holdings plc | 6.100% | 1/14/42 | 12,220 | 15,561 |
HSBC Holdings plc | 6.000% | 5/22/27 | 685 | 676 |
HSBC Holdings plc | 6.500% | 3/23/28 | 8,245 | 8,377 |
8 ICICI Bank Ltd. | 3.800% | 12/14/27 | 3,800 | 3,518 |
5 JPMorgan Chase & Co. | 3.782% | 2/1/28 | 13,235 | 12,862 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 59,415 | 74,502 |
5 JPMorgan Chase & Co. | 3.882% | 7/24/38 | 59,825 | 55,841 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 20,955 | 24,227 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 11,247 | 13,199 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 3,080 | 3,495 |
5 JPMorgan Chase & Co. | 4.260% | 2/22/48 | 51,885 | 50,058 |
5 JPMorgan Chase & Co. | 4.032% | 7/24/48 | 39,500 | 36,761 |
5 JPMorgan Chase & Co. | 3.964% | 11/15/48 | 72,910 | 66,686 |
5 JPMorgan Chase & Co. | 3.897% | 1/23/49 | 51,900 | 47,089 |
5 Morgan Stanley | 3.737% | 4/24/24 | 13,755 | 13,732 |
5 Morgan Stanley | 3.772% | 1/24/29 | 24,285 | 23,312 |
Morgan Stanley | 7.250% | 4/1/32 | 29,820 | 38,377 |
5 Morgan Stanley | 3.971% | 7/22/38 | 68,445 | 64,164 |
Morgan Stanley | 6.375% | 7/24/42 | 33,880 | 42,213 |
Morgan Stanley | 4.300% | 1/27/45 | 39,380 | 37,932 |
Morgan Stanley | 4.375% | 1/22/47 | 48,245 | 46,984 |
Wachovia Corp. | 5.500% | 8/1/35 | 2,400 | 2,631 |
5 Wells Fargo & Co. | 3.584% | 5/22/28 | 14,575 | 13,883 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 7,150 | 8,026 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 55,167 | 59,308 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 142,608 | 156,594 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 15,937 | 15,307 |
Wells Fargo & Co. | 4.900% | 11/17/45 | 21,895 | 22,199 |
Wells Fargo & Co. | 4.400% | 6/14/46 | 40,240 | 37,426 |
Wells Fargo & Co. | 4.750% | 12/7/46 | 62,465 | 61,233 |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 644 |
Brokerage (0.2%) | ||||
8 Apollo Management Holdings LP | 5.000% | 3/15/48 | 1,050 | 1,049 |
Brookfield Finance Inc. | 3.900% | 1/25/28 | 950 | 903 |
8 FMR LLC | 6.450% | 11/15/39 | 18,200 | 23,339 |
Invesco Finance plc | 5.375% | 11/30/43 | 2,700 | 3,081 |
Finance Companies (1.4%) | ||||
GE Capital International Funding Co. | ||||
Unlimited Co. | 4.418% | 11/15/35 | 237,404 | 225,524 |
Insurance (4.6%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 7,050 | 10,152 |
Aetna Inc. | 4.125% | 11/15/42 | 24,995 | 23,070 | |
Aetna Inc. | 3.875% | 8/15/47 | 13,450 | 11,896 | |
Aon plc | 4.750% | 5/15/45 | 3,000 | 3,030 | |
8 | AXA Equitable Holdings Inc. | 4.350% | 4/20/28 | 3,700 | 3,604 |
8 | AXA Equitable Holdings Inc. | 5.000% | 4/20/48 | 4,300 | 4,091 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 1,935 | 2,345 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 58,057 | 60,662 | |
9 | Chubb INA Holdings Inc. | 2.500% | 3/15/38 | 1,522 | 1,867 |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 15,000 | 15,523 | |
8 | High Street Funding Trust II | 4.682% | 2/15/48 | 730 | 735 |
8 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 200 | 251 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 1,600 | 1,881 | |
Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 14,595 | 14,583 | |
8 | Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 4,370 | 6,837 |
8 | Massachusetts Mutual Life Insurance Co. | 4.500% | 4/15/65 | 310 | 291 |
8 | Massachusetts Mutual Life Insurance Co. | 4.900% | 4/1/77 | 20,828 | 20,970 |
MetLife Inc. | 4.125% | 8/13/42 | 39,795 | 37,802 | |
MetLife Inc. | 4.875% | 11/13/43 | 15,000 | 15,744 | |
MetLife Inc. | 4.050% | 3/1/45 | 8,365 | 7,838 | |
MetLife Inc. | 4.600% | 5/13/46 | 9,700 | 9,876 | |
MetLife Inc. | 5.250% | 6/15/20 | 195 | 199 | |
8 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 23,750 | 29,184 |
8 | Nationwide Mutual Insurance Co. | 8.250% | 12/1/31 | 4,435 | 6,029 |
8 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 26,031 | 41,010 |
8 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 13,857 |
8 | New York Life Insurance Co. | 5.875% | 5/15/33 | 46,585 | 56,120 |
8 | Northwestern Mutual Life Insurance Co. | 6.063% | 3/30/40 | 19,090 | 23,846 |
8 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 8,944 | 8,239 |
5,8 Pacific Life Insurance Co. | 4.300% | 10/24/67 | 10,560 | 9,769 | |
Progressive Corp. | 4.125% | 4/15/47 | 4,615 | 4,501 | |
Progressive Corp. | 4.200% | 3/15/48 | 6,250 | 6,212 | |
Prudential Financial Inc. | 5.700% | 12/14/36 | 2,031 | 2,412 | |
Prudential Financial Inc. | 4.600% | 5/15/44 | 5,000 | 5,150 | |
5 | Prudential Financial Inc. | 5.375% | 5/15/45 | 270 | 273 |
8 | Prudential Financial Inc. | 3.905% | 12/7/47 | 19,374 | 17,849 |
8 | Prudential Financial Inc. | 3.935% | 12/7/49 | 17,974 | 16,604 |
8 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 4,277 | 4,252 |
8 | Swiss Re Treasury US Corp. | 4.250% | 12/6/42 | 13,645 | 13,529 |
8 | Teachers Insurance & Annuity Assn. of | ||||
America | 4.900% | 9/15/44 | 2,250 | 2,397 | |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 500 | 665 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 17,955 | 19,121 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 49,846 | 59,555 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,100 | 1,447 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 800 | 1,046 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 18,457 | 24,612 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 25,000 | 25,591 | |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 50,840 | 54,446 | |
UnitedHealth Group Inc. | 4.250% | 4/15/47 | 31,500 | 31,218 | |
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 14,705 | 13,601 | |
Real Estate Investment Trusts (0.1%) | |||||
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 3,855 | 3,751 | |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,000 | 1,010 | |
Simon Property Group LP | 4.250% | 10/1/44 | 3,755 | 3,628 | |
3,104,581 |
Industrial (42.2%) | ||||
Basic Industry (0.9%) | ||||
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 16,000 | 15,996 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 36,820 | 41,416 |
8 Celulosa Arauco y Constitucion SA | 5.500% | 11/2/47 | 375 | 378 |
8 Eagle Intermediate Global Holding BV/Ruyi | ||||
US Finance LLC | 7.500% | 5/1/25 | 700 | 718 |
Monsanto Co. | 3.600% | 7/15/42 | 600 | 499 |
Monsanto Co. | 4.400% | 7/15/44 | 1,400 | 1,311 |
Monsanto Co. | 3.950% | 4/15/45 | 1,000 | 883 |
Monsanto Co. | 4.700% | 7/15/64 | 19,565 | 18,022 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 19,890 | 22,873 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,400 | 1,512 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 40,255 | 40,184 |
Capital Goods (3.4%) | ||||
3M Co. | 3.125% | 9/19/46 | 15,000 | 12,839 |
3M Co. | 3.625% | 10/15/47 | 10,345 | 9,723 |
8 BBA US Holdings Inc. | 5.375% | 5/1/26 | 480 | 480 |
8 Berry Global Inc. | 4.500% | 2/15/26 | 375 | 358 |
Boeing Co. | 6.125% | 2/15/33 | 13,565 | 16,985 |
Boeing Co. | 3.550% | 3/1/38 | 15,725 | 15,184 |
Boeing Co. | 6.875% | 3/15/39 | 6,420 | 8,926 |
Boeing Co. | 5.875% | 2/15/40 | 3,940 | 4,935 |
Boeing Co. | 7.875% | 4/15/43 | 5,900 | 8,845 |
Boeing Co. | 3.625% | 3/1/48 | 7,275 | 6,852 |
Caterpillar Inc. | 6.050% | 8/15/36 | 3,082 | 3,864 |
Caterpillar Inc. | 3.803% | 8/15/42 | 36,112 | 34,803 |
Caterpillar Inc. | 4.750% | 5/15/64 | 15,639 | 16,700 |
Deere & Co. | 7.125% | 3/3/31 | 13,500 | 17,576 |
Emerson Electric Co. | 6.000% | 8/15/32 | 1,071 | 1,275 |
Emerson Electric Co. | 5.250% | 11/15/39 | 1,000 | 1,140 |
General Electric Co. | 6.750% | 3/15/32 | 41,214 | 50,465 |
9 General Electric Co. | 2.125% | 5/17/37 | 2,829 | 3,187 |
General Electric Co. | 5.875% | 1/14/38 | 20,823 | 23,525 |
General Electric Co. | 4.125% | 10/9/42 | 11,875 | 10,766 |
General Electric Co. | 4.500% | 3/11/44 | 27,610 | 26,403 |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 5,870 | 5,469 |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 10,120 | 9,786 |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 13,625 | 12,509 |
Lockheed Martin Corp. | 4.090% | 9/15/52 | 31,622 | 30,116 |
Raytheon Co. | 4.700% | 12/15/41 | 37,524 | 41,352 |
United Technologies Corp. | 5.400% | 5/1/35 | 6,500 | 7,142 |
United Technologies Corp. | 6.125% | 7/15/38 | 56,575 | 67,274 |
United Technologies Corp. | 5.700% | 4/15/40 | 22,500 | 25,466 |
United Technologies Corp. | 4.500% | 6/1/42 | 19,110 | 18,783 |
United Technologies Corp. | 3.750% | 11/1/46 | 20,415 | 17,767 |
United Technologies Corp. | 4.050% | 5/4/47 | 33,895 | 30,934 |
Communication (4.0%) | ||||
21st Century Fox America Inc. | 6.400% | 12/15/35 | 6,030 | 7,477 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 2,355 | 3,021 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 5,327 | 6,096 |
21st Century Fox America Inc. | 7.900% | 12/1/95 | 3,975 | 5,600 |
America Movil SAB de CV | 6.125% | 3/30/40 | 28,925 | 34,100 |
AT&T Inc. | 5.250% | 3/1/37 | 10,000 | 10,194 |
Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 5.375% | 5/1/47 | 4,500 | 4,243 |
Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 5.750% | 4/1/48 | 6,950 | 6,914 |
Comcast Corp. | 4.250% | 1/15/33 | 5,075 | 5,097 |
Comcast Corp. | 7.050% | 3/15/33 | 1,000 | 1,291 |
Comcast Corp. | 4.200% | 8/15/34 | 1,550 | 1,522 |
Comcast Corp. | 5.650% | 6/15/35 | 32,399 | 37,375 |
Comcast Corp. | 6.500% | 11/15/35 | 800 | 1,001 |
Comcast Corp. | 3.200% | 7/15/36 | 13,345 | 11,436 |
Comcast Corp. | 6.450% | 3/15/37 | 1,800 | 2,233 |
Comcast Corp. | 3.900% | 3/1/38 | 31,775 | 29,780 |
Comcast Corp. | 6.400% | 5/15/38 | 3,545 | 4,431 |
Comcast Corp. | 4.650% | 7/15/42 | 7,895 | 8,016 |
Comcast Corp. | 4.500% | 1/15/43 | 1,250 | 1,241 |
Comcast Corp. | 4.750% | 3/1/44 | 58,535 | 60,063 |
Comcast Corp. | 4.600% | 8/15/45 | 30,575 | 30,590 |
Comcast Corp. | 3.400% | 7/15/46 | 14,230 | 11,750 |
Comcast Corp. | 4.000% | 8/15/47 | 22,875 | 20,913 |
Comcast Corp. | 3.969% | 11/1/47 | 85,238 | 77,288 |
Comcast Corp. | 4.000% | 3/1/48 | 24,640 | 22,527 |
Comcast Corp. | 3.999% | 11/1/49 | 34,408 | 31,164 |
Comcast Corp. | 4.049% | 11/1/52 | 25,696 | 23,315 |
8 Cox Communications Inc. | 6.450% | 12/1/36 | 9,000 | 10,069 |
8 Cox Communications Inc. | 8.375% | 3/1/39 | 19,110 | 25,706 |
Discovery Communications LLC | 5.000% | 9/20/37 | 2,000 | 1,948 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 17,035 | 20,204 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 28,350 | 27,746 |
Qwest Corp. | 6.875% | 9/15/33 | 1,699 | 1,601 |
T-Mobile USA Inc. | 4.750% | 2/1/28 | 1,020 | 982 |
Time Warner Cable LLC | 6.550% | 5/1/37 | 16,975 | 18,644 |
Verizon Communications Inc. | 4.500% | 8/10/33 | 11,370 | 11,197 |
Verizon Communications Inc. | 5.250% | 3/16/37 | 17,950 | 18,788 |
Verizon Communications Inc. | 4.125% | 8/15/46 | 15,375 | 13,437 |
Verizon Communications Inc. | 4.862% | 8/21/46 | 15,125 | 14,791 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 2,730 | 2,643 |
Verizon Communications Inc. | 4.672% | 3/15/55 | 2,855 | 2,622 |
Walt Disney Co. | 7.550% | 7/15/93 | 15,750 | 18,427 |
Consumer Cyclical (5.0%) | ||||
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 28,770 | 27,090 |
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 46,490 | 43,382 |
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 29,105 | 27,319 |
8 Amazon.com Inc. | 3.875% | 8/22/37 | 71,400 | 70,693 |
Amazon.com Inc. | 4.950% | 12/5/44 | 2,000 | 2,250 |
8 Amazon.com Inc. | 4.050% | 8/22/47 | 55,925 | 55,087 |
8 Amazon.com Inc. | 4.250% | 8/22/57 | 43,390 | 42,828 |
Cummins Inc. | 4.875% | 10/1/43 | 1,000 | 1,091 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 265 | 378 |
Dollar Tree Inc. | 5.750% | 3/1/23 | 1,661 | 1,733 |
General Motors Co. | 5.150% | 4/1/38 | 8,100 | 7,818 |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 2,500 | 2,427 |
8 Hilton Domestic Operating Co. Inc. | 5.125% | 5/1/26 | 1,275 | 1,273 |
Hilton Worldwide Finance LLC / Hilton | ||||
Worldwide Finance Corp. | 4.875% | 4/1/27 | 410 | 396 |
Home Depot Inc. | 5.875% | 12/16/36 | 40,575 | 50,396 |
Home Depot Inc. | 5.400% | 9/15/40 | 1,000 | 1,179 |
Home Depot Inc. | 5.950% | 4/1/41 | 22,170 | 27,819 |
Home Depot Inc. | 4.200% | 4/1/43 | 6,035 | 6,115 |
Home Depot Inc. | 4.875% | 2/15/44 | 66,510 | 73,913 |
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 13,384 |
Home Depot Inc. | 4.250% | 4/1/46 | 20,015 | 20,361 |
Home Depot Inc. | 3.500% | 9/15/56 | 5,920 | 5,127 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,250 | 1,310 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 800 | 784 |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,000 | 1,006 |
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 53,780 | 48,848 |
Lowe's Cos. Inc. | 4.050% | 5/3/47 | 40,885 | 39,104 |
Mastercard Inc. | 3.950% | 2/26/48 | 25,075 | 25,266 |
McDonald's Corp. | 6.300% | 3/1/38 | 16,940 | 21,120 |
NIKE Inc. | 3.625% | 5/1/43 | 30,604 | 28,413 |
NIKE Inc. | 3.875% | 11/1/45 | 25,000 | 24,139 |
NIKE Inc. | 3.375% | 11/1/46 | 13,090 | 11,632 |
Target Corp. | 7.000% | 1/15/38 | 1,100 | 1,493 |
Target Corp. | 4.000% | 7/1/42 | 500 | 477 |
Target Corp. | 3.625% | 4/15/46 | 700 | 623 |
Visa Inc. | 4.150% | 12/14/35 | 21,915 | 22,765 |
Visa Inc. | 4.300% | 12/14/45 | 39,960 | 41,321 |
Visa Inc. | 3.650% | 9/15/47 | 32,445 | 30,352 |
Walmart Inc. | 5.625% | 4/1/40 | 1,890 | 2,317 |
Walmart Inc. | 4.875% | 7/8/40 | 2,000 | 2,244 |
Walmart Inc. | 5.000% | 10/25/40 | 1,700 | 1,937 |
Walmart Inc. | 5.625% | 4/15/41 | 3,850 | 4,725 |
Walmart Inc. | 4.000% | 4/11/43 | 1,400 | 1,389 |
Walmart Inc. | 3.625% | 12/15/47 | 20,485 | 19,163 |
Consumer Noncyclical (13.8%) | ||||
Altria Group Inc. | 4.250% | 8/9/42 | 7,100 | 6,622 |
Altria Group Inc. | 4.500% | 5/2/43 | 2,380 | 2,311 |
Altria Group Inc. | 5.375% | 1/31/44 | 41,590 | 45,234 |
Altria Group Inc. | 3.875% | 9/16/46 | 36,370 | 32,065 |
AmerisourceBergen Corp. | 4.300% | 12/15/47 | 6,500 | 5,923 |
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 400 | 477 |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 108,120 | 110,359 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 17,093 | 15,638 |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 162,215 | 167,672 |
9 Anheuser-Busch InBev SA/NV | 3.250% | 1/24/33 | 200 | 280 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 33,800 | 33,385 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 27,675 | 40,269 |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 9,220 | 13,267 |
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 1,000 | 1,047 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 29,995 | 26,542 |
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 43,705 | 43,363 |
Anheuser-Busch InBev Worldwide Inc. | 4.439% | 10/6/48 | 44,215 | 42,784 |
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 4/15/58 | 43,080 | 43,013 |
8 Aramark Services Inc. | 5.000% | 2/1/28 | 1,425 | 1,389 |
Ascension Health | 3.945% | 11/15/46 | 18,365 | 17,863 |
5 Ascension Health | 4.847% | 11/15/53 | 8,855 | 9,898 |
AstraZeneca plc | 6.450% | 9/15/37 | 30,775 | 39,004 |
8 BAT Capital Corp. | 4.390% | 8/15/37 | 25,000 | 23,781 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 17,500 | 18,700 |
Campbell Soup Co. | 3.800% | 8/2/42 | 3,200 | 2,728 |
8 Cargill Inc. | 4.760% | 11/23/45 | 39,699 | 42,775 |
5 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 19,000 | 17,606 |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 500 | 518 | |
City of Hope | 5.623% | 11/15/43 | 2,000 | 2,437 | |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 6,894 | 7,155 | |
Colgate-Palmolive Co. | 3.700% | 8/1/47 | 20,240 | 18,905 | |
Constellation Brands Inc. | 4.100% | 2/15/48 | 10,000 | 9,015 | |
CVS Health Corp. | 4.780% | 3/25/38 | 15,070 | 14,847 | |
CVS Health Corp. | 5.050% | 3/25/48 | 30,850 | 31,445 | |
Dignity Health California GO | 4.500% | 11/1/42 | 21,483 | 20,535 | |
Dignity Health California GO | 5.267% | 11/1/64 | 9,240 | 9,318 | |
Eli Lilly & Co. | 3.700% | 3/1/45 | 27,130 | 25,890 | |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 20,025 | 20,584 | |
Gilead Sciences Inc. | 4.000% | 9/1/36 | 20,000 | 19,223 | |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 8,955 | 10,415 | |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 19,560 | 20,395 | |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 27,930 | 27,892 | |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 26,920 | 27,770 | |
Gilead Sciences Inc. | 4.150% | 3/1/47 | 32,055 | 30,760 | |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 15,000 | 16,969 | |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 37,680 | 48,729 | |
5,8 Grupo Bimbo SAB de CV | 5.950% | 4/17/23 | 500 | 501 | |
8 | Hologic Inc. | 4.625% | 2/1/28 | 850 | 808 |
Johnson & Johnson | 3.550% | 3/1/36 | 47,310 | 45,618 | |
Johnson & Johnson | 3.625% | 3/3/37 | 40,815 | 39,706 | |
Johnson & Johnson | 3.400% | 1/15/38 | 23,125 | 21,792 | |
Johnson & Johnson | 4.500% | 12/5/43 | 5,725 | 6,211 | |
Johnson & Johnson | 3.700% | 3/1/46 | 21,545 | 20,610 | |
Johnson & Johnson | 3.750% | 3/3/47 | 10,000 | 9,727 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 12,365 | 13,719 | |
Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 23,225 | 23,349 | |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 4,800 | 6,388 | |
5 | Mayo Clinic | 3.774% | 11/15/43 | 12,595 | 12,220 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 5,500 | 5,662 | |
Medtronic Inc. | 4.375% | 3/15/35 | 42,113 | 43,676 | |
Medtronic Inc. | 6.500% | 3/15/39 | 21,200 | 27,242 | |
Medtronic Inc. | 5.550% | 3/15/40 | 4,600 | 5,396 | |
Medtronic Inc. | 4.500% | 3/15/42 | 9,000 | 9,337 | |
Medtronic Inc. | 4.625% | 3/15/44 | 2,000 | 2,108 | |
Medtronic Inc. | 4.625% | 3/15/45 | 72,425 | 76,408 | |
Memorial Sloan-Kettering Cancer Center New | |||||
York GO | 5.000% | 7/1/42 | 13,405 | 15,359 | |
Memorial Sloan-Kettering Cancer Center New | |||||
York GO | 4.125% | 7/1/52 | 355 | 347 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 4,900 | 4,598 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 6,880 | 7,022 | |
Merck & Co. Inc. | 3.700% | 2/10/45 | 67,020 | 63,855 | |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 19,585 | 19,095 | |
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 3,000 | 2,884 | |
New York & Presbyterian Hospital | 4.763% | 8/1/16 | 10,000 | 10,030 | |
North Shore-Long Island Jewish Health Care | |||||
Inc. Revenue | 4.800% | 11/1/42 | 1,100 | 1,136 | |
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 2,000 | 1,837 | |
Northwell Healthcare Inc. | 4.260% | 11/1/47 | 3,340 | 3,196 | |
Novartis Capital Corp. | 4.400% | 5/6/44 | 24,840 | 26,501 | |
NYU Hospitals Center | 4.784% | 7/1/44 | 2,000 | 2,142 | |
PepsiCo Inc. | 5.500% | 1/15/40 | 20,915 | 25,135 | |
PepsiCo Inc. | 4.875% | 11/1/40 | 10,375 | 11,601 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 16,372 | 16,451 |
PepsiCo Inc. | 3.600% | 8/13/42 | 1,000 | 935 |
PepsiCo Inc. | 4.450% | 4/14/46 | 20,000 | 20,756 |
PepsiCo Inc. | 3.450% | 10/6/46 | 32,440 | 28,678 |
PepsiCo Inc. | 4.000% | 5/2/47 | 22,950 | 22,341 |
Pfizer Inc. | 7.200% | 3/15/39 | 34,912 | 49,016 |
Pfizer Inc. | 4.300% | 6/15/43 | 7,780 | 7,890 |
Pfizer Inc. | 4.400% | 5/15/44 | 8,615 | 8,902 |
Pfizer Inc. | 4.125% | 12/15/46 | 22,650 | 22,523 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 34,215 | 42,864 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 5,000 | 4,988 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 4,620 | 4,186 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 20,170 | 18,998 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 22,455 | 23,493 |
Philip Morris International Inc. | 4.250% | 11/10/44 | 37,135 | 35,893 |
Procter & Gamble Co. | 3.500% | 10/25/47 | 36,505 | 34,213 |
5 Providence St. Joseph Health Obligated | ||||
Group | 3.744% | 10/1/47 | 5,675 | 5,267 |
5 Providence St. Joseph Health Obligated | ||||
Group | 3.930% | 10/1/48 | 6,985 | 6,613 |
8 SC Johnson & Son Inc. | 4.000% | 5/15/43 | 21,645 | 21,049 |
8 SC Johnson & Son Inc. | 4.750% | 10/15/46 | 10,285 | 11,276 |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 1,000 | 1,108 |
Trinity Health Corp. | 4.125% | 12/1/45 | 7,555 | 7,385 |
Wyeth LLC | 6.500% | 2/1/34 | 1,310 | 1,674 |
Wyeth LLC | 6.000% | 2/15/36 | 4,392 | 5,408 |
Wyeth LLC | 5.950% | 4/1/37 | 67,685 | 84,167 |
Energy (3.9%) | ||||
Andeavor Logistics LP / Tesoro Logistics | ||||
Finance Corp. | 5.200% | 12/1/47 | 4,145 | 4,098 |
Baker Hughes a GE Co. LLC / Baker Hughes | ||||
Co-Obligor Inc. | 4.080% | 12/15/47 | 12,479 | 11,357 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 820 | 1,011 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 9,260 | 10,972 |
Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 10,955 | 11,304 |
Cenovus Energy Inc. | 4.450% | 9/15/42 | 4,000 | 3,485 |
ConocoPhillips | 7.000% | 3/30/29 | 9,550 | 11,824 |
ConocoPhillips | 5.900% | 10/15/32 | 1,400 | 1,629 |
ConocoPhillips | 5.900% | 5/15/38 | 1,000 | 1,214 |
ConocoPhillips | 6.500% | 2/1/39 | 57,316 | 74,073 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,500 | 1,820 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 3,000 | 3,023 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 11,330 | 11,593 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 34,505 | 43,766 |
Dominion Energy Gas Holdings LLC | 4.800% | 11/1/43 | 1,575 | 1,637 |
Energy Transfer LP | 6.050% | 6/1/41 | 780 | 787 |
Energy Transfer LP | 5.300% | 4/15/47 | 2,320 | 2,166 |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 12,625 | 11,746 |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 30,770 | 31,367 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 65 | 61 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 165 | 155 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 395 | 490 |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 22,385 | 22,829 |
Petro-Canada | 6.800% | 5/15/38 | 19,388 | 25,154 |
Shell International Finance BV | 4.125% | 5/11/35 | 30,515 | 30,996 |
Shell International Finance BV | 6.375% | 12/15/38 | 4,300 | 5,634 |
Shell International Finance BV | 5.500% | 3/25/40 | 20,955 | 24,943 |
Shell International Finance BV | 4.550% | 8/12/43 | 16,590 | 17,445 |
Shell International Finance BV | 4.375% | 5/11/45 | 53,555 | 55,005 |
Shell International Finance BV | 4.000% | 5/10/46 | 29,550 | 28,694 |
Shell International Finance BV | 3.750% | 9/12/46 | 41,115 | 38,607 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 4,685 | 5,249 |
Spectra Energy Partners LP | 4.500% | 3/15/45 | 1,515 | 1,417 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 25,000 | 29,669 |
Suncor Energy Inc. | 4.000% | 11/15/47 | 6,235 | 5,940 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 40 | 47 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 195 | 247 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 14,500 | 14,875 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 5,630 | 6,718 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 37,230 | 50,352 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 16,675 | 19,640 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 8,000 | 8,395 |
Other Industrial (0.3%) | ||||
9 CPI Property Group SA | 2.125% | 10/4/24 | 1,200 | 1,437 |
5 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 25,200 | 25,850 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 1,100 | 1,417 |
Massachusetts Institute of Technology GO | 3.885% | 7/1/16 | 18,335 | 16,522 |
8 President & Fellows of Harvard College | ||||
Massachusetts GO | 6.500% | 1/15/39 | 3,865 | 5,401 |
Technology (8.6%) | ||||
Apple Inc. | 4.500% | 2/23/36 | 15,000 | 16,090 |
Apple Inc. | 3.850% | 5/4/43 | 38,205 | 36,384 |
Apple Inc. | 3.450% | 2/9/45 | 38,360 | 34,223 |
Apple Inc. | 4.375% | 5/13/45 | 45,875 | 46,877 |
Apple Inc. | 4.650% | 2/23/46 | 76,562 | 82,068 |
Apple Inc. | 3.850% | 8/4/46 | 41,559 | 39,306 |
Apple Inc. | 4.250% | 2/9/47 | 39,230 | 39,303 |
Apple Inc. | 3.750% | 11/13/47 | 10,000 | 9,325 |
Applied Materials Inc. | 5.100% | 10/1/35 | 100 | 112 |
Applied Materials Inc. | 5.850% | 6/15/41 | 6,695 | 8,178 |
Applied Materials Inc. | 4.350% | 4/1/47 | 18,945 | 19,429 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 34,425 | 43,379 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 12,338 | 14,928 |
Intel Corp. | 4.800% | 10/1/41 | 1,000 | 1,096 |
Intel Corp. | 4.100% | 5/19/46 | 18,330 | 18,311 |
Intel Corp. | 4.100% | 5/11/47 | 30,360 | 30,185 |
8 Intel Corp. | 3.734% | 12/8/47 | 57,279 | 53,490 |
International Business Machines Corp. | 4.000% | 6/20/42 | 14,900 | 14,631 |
International Business Machines Corp. | 4.700% | 2/19/46 | 8,000 | 8,738 |
Microsoft Corp. | 3.500% | 2/12/35 | 7,835 | 7,584 |
Microsoft Corp. | 3.450% | 8/8/36 | 32,325 | 30,850 |
Microsoft Corp. | 4.100% | 2/6/37 | 46,065 | 47,727 |
Microsoft Corp. | 4.500% | 10/1/40 | 1,900 | 2,052 |
Microsoft Corp. | 5.300% | 2/8/41 | 1,500 | 1,792 |
Microsoft Corp. | 3.500% | 11/15/42 | 1,750 | 1,635 |
Microsoft Corp. | 3.750% | 5/1/43 | 10,000 | 9,640 |
Microsoft Corp. | 4.875% | 12/15/43 | 500 | 566 |
Microsoft Corp. | 3.750% | 2/12/45 | 74,350 | 71,209 |
Microsoft Corp. | 4.450% | 11/3/45 | 70,670 | 75,353 |
Microsoft Corp. | 3.700% | 8/8/46 | 55,330 | 52,367 |
Microsoft Corp. | 4.250% | 2/6/47 | 66,743 | 69,594 |
Microsoft Corp. | 4.000% | 2/12/55 | 10,075 | 9,887 |
Microsoft Corp. | 4.750% | 11/3/55 | 50,365 | 56,206 |
Microsoft Corp. | 3.950% | 8/8/56 | 46,076 | 44,672 |
Microsoft Corp. | 4.500% | 2/6/57 | 4,900 | 5,230 |
Oracle Corp. | 3.900% | 5/15/35 | 2,100 | 2,070 |
Oracle Corp. | 3.850% | 7/15/36 | 5,250 | 5,116 |
Oracle Corp. | 6.500% | 4/15/38 | 44,400 | 58,619 |
Oracle Corp. | 6.125% | 7/8/39 | 12,129 | 15,466 |
Oracle Corp. | 5.375% | 7/15/40 | 45,740 | 53,097 |
Oracle Corp. | 4.125% | 5/15/45 | 23,450 | 23,024 |
Oracle Corp. | 4.000% | 7/15/46 | 70,945 | 68,061 |
Oracle Corp. | 4.000% | 11/15/47 | 35,795 | 34,717 |
Oracle Corp. | 4.375% | 5/15/55 | 25,000 | 25,168 |
QUALCOMM Inc. | 4.650% | 5/20/35 | 8,950 | 8,837 |
QUALCOMM Inc. | 4.800% | 5/20/45 | 500 | 487 |
QUALCOMM Inc. | 4.300% | 5/20/47 | 40,990 | 37,092 |
8 Tencent Holdings Ltd. | 3.595% | 1/19/28 | 16,555 | 15,699 |
8 Tencent Holdings Ltd. | 3.925% | 1/19/38 | 27,410 | 25,800 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 805 | 1,094 |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 2,000 | 2,129 |
Western Digital Corp. | 4.750% | 2/15/26 | 900 | 887 |
Transportation (2.3%) | ||||
8 Adani Ports & Special Economic Zone Ltd. | 4.000% | 7/30/27 | 700 | 645 |
8 Air Canada | 7.750% | 4/15/21 | 90 | 99 |
8 Air Canada 2013-1 Class C Pass Through | ||||
Trust | 6.625% | 5/15/18 | 82 | 82 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 3,728 | 5,068 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 15,000 | 17,987 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 6,000 | 6,626 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,266 | 2,501 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 24,790 | 25,476 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 31,150 | 31,896 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 11,200 | 11,586 |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 2,000 | 2,262 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 24,560 | 27,067 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 43,085 | 44,877 |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 12,335 | 12,322 |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 7,265 | 6,992 |
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 11,910 | 11,907 |
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 3,265 | 3,189 |
Canadian National Railway Co. | 3.650% | 2/3/48 | 25,000 | 23,376 |
FedEx Corp. | 4.550% | 4/1/46 | 10,000 | 9,819 |
Union Pacific Corp. | 3.375% | 2/1/35 | 6,200 | 5,725 |
Union Pacific Corp. | 4.050% | 3/1/46 | 10,045 | 9,807 |
Union Pacific Corp. | 4.000% | 4/15/47 | 11,500 | 11,161 |
Union Pacific Corp. | 3.799% | 10/1/51 | 28,550 | 26,145 |
Union Pacific Corp. | 4.375% | 11/15/65 | 29,490 | 28,133 |
Union Pacific Corp. | 4.100% | 9/15/67 | 15,550 | 14,306 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 14,700 | 18,694 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 2,700 | 2,962 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 5,820 | 5,374 |
United Parcel Service Inc. | 3.750% | 11/15/47 | 13,000 | 12,072 |
6,803,275 | ||||
Utilities (13.9%) | ||||
Electric (13.8%) | ||||
AEP Texas Inc. | 3.800% | 10/1/47 | 2,455 | 2,299 |
AEP Transmission Co. LLC | 4.000% | 12/1/46 | 2,615 | 2,568 |
8 AEP Transmission Co. LLC | 3.750% | 12/1/47 | 28,965 | 27,243 |
Alabama Power Co. | 6.000% | 3/1/39 | 4,875 | 6,024 |
Alabama Power Co. | 5.500% | 3/15/41 | 26,943 | 31,280 |
Alabama Power Co. | 5.200% | 6/1/41 | 15,000 | 17,062 |
Alabama Power Co. | 3.750% | 3/1/45 | 22,325 | 21,065 |
Appalachian Power Co. | 6.700% | 8/15/37 | 35,900 | 45,919 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,230 | 1,569 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 15,877 | 19,775 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 3,000 | 3,684 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 27,000 | 30,558 |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 43,625 | 45,027 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 14,175 | 13,131 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,450 | 2,981 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,805 | 19,821 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 12,560 | 13,504 |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,955 | 17,390 |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 13,990 | 13,109 |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,825 | 6,371 |
Commonwealth Edison Co. | 4.000% | 3/1/48 | 6,415 | 6,342 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 14,500 | 18,450 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 940 | 981 |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 8,445 | 8,599 |
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 730 | 806 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 10,000 | 11,963 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 10,637 | 13,211 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 12,990 | 17,390 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 8,729 | 10,276 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 7,995 | 9,674 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,828 | 10,846 |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 10,935 | 10,571 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 49,600 | 51,079 |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 6,335 | 6,679 |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 2,715 | 2,862 |
Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 17,780 | 17,718 |
Consumers Energy Co. | 4.100% | 11/15/45 | 1,500 | 1,506 |
DTE Electric Co. | 6.625% | 6/1/36 | 860 | 1,119 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 8,200 | 10,296 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 51,000 | 63,412 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 4,900 | 5,727 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,200 | 16,643 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 41,047 | 40,803 |
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 5,645 | 5,482 |
Duke Energy Corp. | 3.750% | 9/1/46 | 10,000 | 8,925 |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 800 | 1,046 |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 11,860 | 14,446 |
Duke Energy Florida LLC | 3.400% | 10/1/46 | 11,850 | 10,523 |
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 5,723 | 7,058 |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 818 | 1,079 |
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 10,485 | 13,855 |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 14,700 | 14,858 |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 28,610 | 31,854 |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 9,825 | 9,288 |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 2,250 | 2,254 |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 13,500 | 13,524 |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 10,000 | 10,099 |
Duke Energy Progress LLC | 4.200% | 8/15/45 | 17,560 | 17,880 |
Duke Energy Progress LLC | 3.700% | 10/15/46 | 27,000 | 25,117 |
Entergy Louisiana LLC | 3.120% | 9/1/27 | 340 | 322 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,105 | 1,112 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 16,100 | 20,440 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 700 | 868 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 21,662 | 25,435 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 9,000 | 9,159 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 22,725 | 22,022 |
Florida Power & Light Co. | 3.700% | 12/1/47 | 10,855 | 10,318 |
Florida Power & Light Co. | 3.950% | 3/1/48 | 2,000 | 1,977 |
Georgia Power Co. | 5.950% | 2/1/39 | 21,562 | 25,917 |
Georgia Power Co. | 5.400% | 6/1/40 | 7,390 | 8,406 |
Georgia Power Co. | 4.750% | 9/1/40 | 20,750 | 21,719 |
Georgia Power Co. | 4.300% | 3/15/42 | 6,648 | 6,630 |
5 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 21,697 | 22,685 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,000 | 1,152 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 1,000 | 1,069 |
8 Massachusetts Electric Co. | 4.004% | 8/15/46 | 10,890 | 10,559 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 500 | 611 |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 27,525 | 30,506 |
MidAmerican Energy Co. | 4.250% | 5/1/46 | 3,895 | 4,006 |
8 Monongahela Power Co. | 5.400% | 12/15/43 | 15,640 | 18,435 |
National Rural Utilities Cooperative Finance | ||||
Corp. | 8.000% | 3/1/32 | 2,725 | 3,778 |
National Rural Utilities Cooperative Finance | ||||
Corp. | 4.023% | 11/1/32 | 35,001 | 35,091 |
Nevada Power Co. | 6.650% | 4/1/36 | 5,830 | 7,608 |
Nevada Power Co. | 5.375% | 9/15/40 | 18,230 | 21,060 |
Nevada Power Co. | 5.450% | 5/15/41 | 25,120 | 29,364 |
Northern States Power Co. | 6.200% | 7/1/37 | 27,900 | 35,466 |
Northern States Power Co. | 5.350% | 11/1/39 | 800 | 935 |
Northern States Power Co. | 3.600% | 9/15/47 | 9,675 | 8,996 |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 500 | 521 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 1,300 | 1,758 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,500 | 2,136 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,500 | 1,735 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 11,755 | 12,571 |
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 28,000 | 26,637 |
8 Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 16,425 | 15,836 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 55,356 | 64,523 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 2,900 | 3,285 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 8,192 | 9,827 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 36,120 | 43,566 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 24,650 | 26,915 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 4,235 | 4,014 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 23,305 | 23,688 |
Pacific Gas & Electric Co. | 4.000% | 12/1/46 | 11,440 | 10,450 |
PacifiCorp | 5.250% | 6/15/35 | 1,301 | 1,488 |
PacifiCorp | 6.100% | 8/1/36 | 15,000 | 18,768 |
PacifiCorp | 6.250% | 10/15/37 | 7,815 | 10,042 |
PacifiCorp | 6.350% | 7/15/38 | 36,000 | 47,002 |
PacifiCorp | 6.000% | 1/15/39 | 32,296 | 40,652 |
PacifiCorp | 4.100% | 2/1/42 | 22,570 | 22,574 |
PECO Energy Co. | 4.800% | 10/15/43 | 15,530 | 16,982 |
PECO Energy Co. | 3.700% | 9/15/47 | 15,500 | 14,577 |
PECO Energy Co. | 3.900% | 3/1/48 | 14,350 | 14,036 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,225 | 1,601 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 150 | 219 |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 2,000 | 2,013 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,975 | 14,227 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,250 | 1,426 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 15,055 | 14,059 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 21,083 | 19,915 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 200 | 231 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 500 | 634 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,100 | 1,344 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 18,130 | 22,039 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 1,100 | 1,320 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 1,150 | 1,394 |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 400 | 414 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 3,400 | 3,324 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 34,000 | 40,957 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 11,775 | 13,459 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 28,587 | 27,248 |
South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 7,705 | 7,045 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 19,430 | 17,659 |
Southern California Edison Co. | 6.000% | 1/15/34 | 19,095 | 23,070 |
Southern California Edison Co. | 5.950% | 2/1/38 | 16,100 | 19,809 |
Southern California Edison Co. | 6.050% | 3/15/39 | 845 | 1,058 |
Southern California Edison Co. | 4.500% | 9/1/40 | 12,000 | 12,467 |
Southern California Edison Co. | 3.900% | 12/1/41 | 6,875 | 6,570 |
Southern California Edison Co. | 4.050% | 3/15/42 | 800 | 786 |
Southern California Edison Co. | 3.900% | 3/15/43 | 18,480 | 17,744 |
Southern California Edison Co. | 4.650% | 10/1/43 | 27,150 | 29,098 |
Southern California Edison Co. | 4.000% | 4/1/47 | 2,000 | 1,954 |
Southern California Edison Co. | 4.125% | 3/1/48 | 16,800 | 16,653 |
Southern Co. | 4.400% | 7/1/46 | 10,000 | 9,831 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 24,055 | 25,457 |
Southwestern Public Service Co. | 3.700% | 8/15/47 | 20,540 | 19,318 |
Tampa Electric Co. | 6.150% | 5/15/37 | 32,050 | 39,379 |
Union Electric Co. | 4.000% | 4/1/48 | 12,180 | 11,937 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 70,690 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 2,000 | 2,552 |
Virginia Electric & Power Co. | 4.000% | 11/15/46 | 8,725 | 8,410 |
Virginia Electric & Power Co. | 3.800% | 9/15/47 | 27,225 | 25,666 |
Westar Energy Inc. | 4.125% | 3/1/42 | 1,175 | 1,183 |
Westar Energy Inc. | 4.625% | 9/1/43 | 1,300 | 1,394 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 550 | 629 |
Natural Gas (0.1%) | ||||
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,500 | 1,508 |
8 KeySpan Gas East Corp. | 5.819% | 4/1/41 | 4,035 | 4,885 |
Southern California Gas Co. | 5.125% | 11/15/40 | 1,922 | 2,232 |
Southwest Gas Corp. | 3.800% | 9/29/46 | 3,115 | 2,910 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.593% | 10/15/37 | 1,000 | 1,306 |
American Water Capital Corp. | 3.750% | 9/1/47 | 2,290 | 2,134 |
2,235,008 | ||||
Total Corporate Bonds (Cost $11,852,507) | 12,142,864 | |||
Sovereign Bonds (2.5%) | ||||
9 Arab Republic of Egypt | 4.750% | 4/16/26 | 1,400 | 1,685 |
Argentine Republic | 6.875% | 1/11/48 | 1,200 | 1,068 |
Bermuda | 4.854% | 2/6/24 | 1,280 | 1,335 |
8 | CDP Financial Inc. | 5.600% | 11/25/39 | 1,500 | 1,891 |
8 | CNPC HK Overseas Capital Ltd. | 5.950% | 4/28/41 | 700 | 836 |
Dominican Republic | 6.500% | 2/15/48 | 1,800 | 1,788 | |
Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,000 | 926 | |
8 | Emirate of Abu Dhabi | 4.125% | 10/11/47 | 76,600 | 69,997 |
8 | Empresa Nacional del Petroleo | 4.500% | 9/14/47 | 600 | 550 |
Export-Import Bank of China | 3.375% | 3/14/27 | 265 | 250 | |
8 | Export-Import Bank of India | 3.875% | 2/1/28 | 960 | 912 |
Equinor ASA | 4.250% | 11/23/41 | 7,615 | 7,756 | |
Equinor ASA | 3.950% | 5/15/43 | 38,825 | 38,299 | |
Equinor ASA | 4.800% | 11/8/43 | 15,930 | 17,587 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 650 | 562 | |
Federative Republic of Brazil | 5.625% | 2/21/47 | 1,385 | 1,302 | |
Industrial & Commercial Bank of China Ltd. | 3.538% | 11/8/27 | 430 | 405 | |
8 | Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 62,455 | 57,191 |
8 | Kingdom of Saudi Arabia | 5.000% | 4/17/49 | 17,735 | 17,043 |
Kingdom of Saudi Arabia | 5.000% | 4/17/49 | 400 | 383 | |
8,9 Kingdom of Spain | 2.700% | 10/31/48 | 1,030 | 1,339 | |
Pertamina Persero PT | 6.000% | 5/3/42 | 450 | 473 | |
8 | Pertamina Persero PT | 6.450% | 5/30/44 | 300 | 332 |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 360 | 420 | |
Petrobras Global Finance BV | 7.375% | 1/17/27 | 425 | 455 | |
Petroleos Mexicanos | 6.750% | 9/21/47 | 1,100 | 1,061 | |
Province of Quebec | 7.500% | 9/15/29 | 9,000 | 12,241 | |
Republic of Chile | 3.860% | 6/21/47 | 34,345 | 32,192 | |
Republic of Colombia | 10.375% | 1/28/33 | 1,330 | 2,080 | |
9 | Republic of Cote d’Ivoire | 6.625% | 3/22/48 | 500 | 609 |
8 | Republic of Indonesia | 6.750% | 1/15/44 | 500 | 619 |
Republic of Paraguay | 5.600% | 3/13/48 | 1,500 | 1,486 | |
9 | Republic of Romania | 2.750% | 10/29/25 | 500 | 654 |
Republic of Turkey | 6.125% | 10/24/28 | 1,050 | 1,047 | |
Russian Federation | 5.250% | 6/23/47 | 600 | 581 | |
Sinopec Group Overseas Development 2014 | |||||
Ltd. | 4.375% | 4/10/24 | 4,880 | 4,958 | |
State of Israel | 2.875% | 3/16/26 | 155 | 148 | |
State of Israel | 4.500% | 1/30/43 | 6,300 | 6,322 | |
State of Israel | 4.125% | 1/17/48 | 28,100 | 26,310 | |
8 | State of Qatar | 4.625% | 6/2/46 | 5,655 | 5,323 |
8 | State of Qatar | 5.103% | 4/23/48 | 66,335 | 65,797 |
State of Qatar | 5.103% | 4/23/48 | 2,000 | 1,981 | |
8 | Transportadora de Gas del Sur SA | 6.750% | 5/2/25 | 250 | 249 |
United Mexican States | 4.600% | 2/10/48 | 2,140 | 1,981 | |
Total Sovereign Bonds (Cost $407,047) | 390,424 | ||||
Taxable Municipal Bonds (11.2%) | |||||
Allentown PA Neighborhood Improvement | |||||
Zone Development Authority Revenue | 5.420% | 5/1/21 | 1,000 | 991 | |
Allentown PA Neighborhood Improvement | |||||
Zone Development Authority Revenue | 5.620% | 5/1/22 | 1,930 | 1,912 | |
American Municipal Power Ohio Inc. Revenue | |||||
(Prairie State Energy Campus Project) | 6.270% | 2/15/50 | 45,510 | 58,045 | |
Bay Area Toll Authority California Toll Bridge | |||||
Revenue (San Francisco Bay Area) | 6.793% | 4/1/30 | 1,800 | 2,138 | |
Bay Area Toll Authority California Toll Bridge | |||||
Revenue (San Francisco Bay Area) | 6.918% | 4/1/40 | 31,060 | 42,535 | |
Bay Area Toll Authority California Toll Bridge | |||||
Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 25,730 | 35,668 |
Bay Area Toll Authority California Toll Bridge | |||||
Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 1,400 | 2,071 | |
California GO | 7.500% | 4/1/34 | 26,555 | 37,351 | |
California GO | 4.600% | 4/1/38 | 32,090 | 33,437 | |
California GO | 7.550% | 4/1/39 | 38,170 | 57,034 | |
California GO | 7.300% | 10/1/39 | 81,705 | 116,522 | |
California GO | 7.350% | 11/1/39 | 200 | 288 | |
California GO | 7.625% | 3/1/40 | 7,030 | 10,499 | |
California GO | 7.600% | 11/1/40 | 57,175 | 86,772 | |
California Public Works Board Lease Revenue | |||||
(Various Capital Projects) | 8.361% | 10/1/34 | 1,200 | 1,768 | |
Chicago IL Board of Education GO | 6.319% | 11/1/29 | 1,900 | 1,777 | |
Chicago IL O'Hare International Airport | |||||
Revenue | 6.395% | 1/1/40 | 15,440 | 20,519 | |
Chicago IL Transit Authority Sales Tax | |||||
Receipts Revenue | 6.200% | 12/1/40 | 1,080 | 1,344 | |
Chicago IL Transit Authority Transfer Tax | |||||
Receipts Revenue | 6.899% | 12/1/40 | 31,590 | 41,299 | |
Chicago Transit Authority | 6.899% | 12/1/40 | 10,115 | 13,224 | |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 5,700 | 8,211 | |
Commonwealth Financing Authority | 4.144% | 6/1/38 | 17,060 | 17,282 | |
10 | Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 5.197% | 6/1/26 | 9,515 | 10,411 | |
Commonwealth Financing Authority | |||||
Pennsylvania Revenue | 3.864% | 6/1/38 | 19,285 | 18,841 | |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 200 | 260 | |
District of Columbia Water & Sewer Authority | |||||
Public Utility Revenue | 4.814% | 10/1/14 | 2,000 | 2,143 | |
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 30,450 | 38,564 | |
George Washington University District of | |||||
Columbia GO | 4.300% | 9/15/44 | 3,000 | 3,068 | |
Georgia Municipal Electric Power Authority | |||||
Revenue | 6.637% | 4/1/57 | 43,140 | 52,900 | |
Georgia Municipal Electric Power Authority | |||||
Revenue | 6.655% | 4/1/57 | 1,996 | 2,449 | |
Grand Parkway Transportation Corp. Texas | |||||
System Toll Revenue | 5.184% | 10/1/42 | 1,500 | 1,767 | |
Houston TX GO | 6.290% | 3/1/32 | 22,140 | 25,607 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 17,400 | 21,696 | |
Kansas Development Finance Authority | |||||
Revenue | 4.727% | 4/15/37 | 2,500 | 2,635 | |
Kansas Development Finance Authority | |||||
Revenue | 4.927% | 4/15/45 | 22,745 | 24,509 | |
Los Angeles CA Department of Water & | |||||
Power Revenue | 5.716% | 7/1/39 | 400 | 494 | |
Los Angeles CA Department of Water & | |||||
Power Revenue | 6.008% | 7/1/39 | 1,200 | 1,498 | |
Los Angeles CA Department of Water & | |||||
Power Revenue | 6.574% | 7/1/45 | 29,305 | 41,377 | |
Los Angeles CA Department of Water & | |||||
Power Revenue | 6.603% | 7/1/50 | 1,900 | 2,749 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 2,000 | 2,344 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 8,825 | 10,741 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 53,445 | 70,370 | |
Los Angeles County CA Metropolitan | |||||
Transportation Authority Sales Tax | |||||
Revenue | 5.735% | 6/1/39 | 15,100 | 18,286 |
11 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 5,100 | 6,158 | |
New Jersey Turnpike Authority | 3.729% | 1/1/36 | 6,750 | 6,586 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 33,280 | 48,959 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 51,805 | 73,630 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.724% | 6/15/42 | 12,780 | 16,275 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.952% | 6/15/42 | 18,210 | 23,818 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 6.011% | 6/15/42 | 6,980 | 9,209 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 6.282% | 6/15/42 | 700 | 755 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.882% | 6/15/44 | 32,580 | 42,024 | |
New York City NY Transitional Finance | |||||
Authority Future Tax Revenue | 5.508% | 8/1/37 | 2,875 | 3,501 | |
New York City Transitional Finance Authority | |||||
Future Tax Secured Revenue | 3.140% | 8/1/28 | 8,600 | 8,227 | |
New York City Transitional Finance Authority | |||||
Future Tax Secured Revenue | 3.240% | 8/1/29 | 12,635 | 12,066 | |
New York City Transitional Finance Authority | |||||
Future Tax Secured Revenue | 3.430% | 8/1/30 | 14,540 | 14,090 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 66,105 | 97,555 | |
New York Metropolitan Transportation | |||||
Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 5,950 | 7,604 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.289% | 3/15/33 | 7,325 | 8,185 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.628% | 3/15/39 | 15,975 | 18,870 | |
New York State Dormitory Authority Revenue | |||||
(Personal Income Tax) | 5.600% | 3/15/40 | 200 | 242 | |
New York State GO | 5.590% | 3/1/35 | 1,000 | 1,200 | |
New York State Urban Development Corp | 3.370% | 3/15/30 | 19,175 | 18,616 | |
North Texas Tollway Authority System | |||||
Revenue | 6.718% | 1/1/49 | 25,471 | 36,257 | |
Ohio State University General Receipts | |||||
Revenue | 4.910% | 6/1/40 | 12,300 | 13,946 | |
Ohio State University General Receipts | |||||
Revenue | 4.800% | 6/1/11 | 20,195 | 21,392 | |
12 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 1,000 | 1,064 |
Port Authority of New York & New Jersey | |||||
Revenue | 6.040% | 12/1/29 | 17,495 | 21,388 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.647% | 11/1/40 | 21,245 | 26,336 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.647% | 11/1/40 | 10,250 | 12,625 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.310% | 8/1/46 | 8,525 | 9,308 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.926% | 10/1/51 | 25,005 | 29,039 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.458% | 10/1/62 | 35,940 | 38,624 | |
President & Fellows of Harvard College | |||||
Massachusetts GO | 3.150% | 7/15/46 | 17,450 | 15,585 |
Sacramento CA Municipal Utility District | ||||
Revenue | 6.156% | 5/15/36 | 905 | 1,109 |
Sales Tax Securitization Corp. Illinois | ||||
Revenue | 3.587% | 1/1/43 | 30,000 | 28,185 |
San Antonio TX Electric & Gas Systems | ||||
Revenue | 5.985% | 2/1/39 | 10,450 | 13,371 |
San Antonio TX Electric & Gas Systems | ||||
Revenue | 4.427% | 2/1/42 | 13,370 | 14,227 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.594% | 7/1/43 | 800 | 882 |
San Francisco CA City & County Public | ||||
Utilities Commission Water Revenue | 6.950% | 11/1/50 | 1,400 | 1,997 |
Sonoma County CA Pension Obligation | ||||
Revenue | 6.000% | 12/1/29 | 500 | 577 |
University of California Regents Medical | ||||
Center Revenue | 6.548% | 5/15/48 | 25,770 | 34,698 |
University of California Regents Medical | ||||
Center Revenue | 6.583% | 5/15/49 | 8,465 | 11,377 |
University of California Revenue | 4.601% | 5/15/31 | 1,100 | 1,188 |
University of California Revenue | 5.770% | 5/15/43 | 500 | 628 |
University of California Revenue | 3.931% | 5/15/45 | 17,840 | 17,934 |
University of California Revenue | 4.858% | 5/15/12 | 31,025 | 32,619 |
University of California Revenue | 4.767% | 5/15/15 | 14,875 | 15,157 |
University of North Carolina University System | ||||
Revenue | 3.327% | 12/1/36 | 9,715 | 9,336 |
University of Texas System Revenue | ||||
Financing System Revenue | 5.262% | 7/1/39 | 11,500 | 13,976 |
University of Texas System Revenue | ||||
Financing System Revenue | 4.794% | 8/15/46 | 8,915 | 9,945 |
Washington GO | 5.481% | 8/1/39 | 900 | 1,092 |
Wisconsin Annual Appropriation Revenue | 3.954% | 5/1/36 | 3,500 | 3,537 |
10 Wisconsin GO | 5.700% | 5/1/26 | 2,300 | 2,548 |
Total Taxable Municipal Bonds (Cost $1,554,856) | 1,800,913 | |||
Shares | ||||
Temporary Cash Investments (4.2%) | ||||
Money Market Fund (3.5%) | ||||
13 Vanguard Market Liquidity Fund | 1.886% | 5,653,993 | 565,399 | |
Face | ||||
Amount | ||||
($000) | ||||
Repurchase Agreements (0.7%) | ||||
Bank of America Securities, LLC | ||||
(Dated 4/30/18, Repurchase Value | ||||
$15,001,000, collateralized by Federal | ||||
Home Loan Mortgage Corp. 3.500%, | ||||
12/1/47 and Federal National Mortgage | ||||
Assn. 4.000%, 3/1/47, with a value of | ||||
$15,300,000) | 1.730% | 5/1/18 | 15,000 | 15,000 |
Bank of Montreal | ||||
(Dated 4/30/18, Repurchase Value | ||||
$10,000,000, collateralized U.S. Treasury | ||||
Bill, 0.000%, 7/19/18-1/3/19 and U.S. | ||||
Treasury Note/Bond 0.875%-2.500%, | ||||
5/31/18-3/30/23, with a value of | ||||
10,200,000) | 1.700% | 5/1/18 | 10,000 | 10,000 |
Barclays Capital Inc. | |||||
(Dated 4/30/18, Repurchase Value | |||||
$24,501,000, collateralized by U.S. | |||||
Treasury Note/Bond 2.000%-3.125%, | |||||
10/31/22-8/15/44, with a value of | |||||
24,990,000) | 1.720% | 5/1/18 | 24,500 | 24,500 | |
Citigroup Global Markets Inc. | |||||
(Dated 4/30/18, Repurchase Value | |||||
$40,602,000, collateralized by U.S. | |||||
Treasury Note/Bond 1.875%-2.500%, | |||||
3/31/22-3/31/23, with a value of | |||||
$41,412,000) | 1.700% | 5/1/18 | 40,600 | 40,600 | |
RBC Capital Markets LLC | |||||
(Dated 4/30/18, Repurchase Value | |||||
$2,700,000, collateralized by Federal Home | |||||
Loan Mortgage Corp. 3.500%, 4/1/48 and | |||||
Federal National Mortgage Assn. 2.878%- | |||||
4.000%, 12/1/22-2/1/48, with a value of | |||||
$2,754,000) | 1.710% | 5/1/18 | 2,700 | 2,700 | |
Wells Fargo & Co. | |||||
(Dated 4/30/18, Repurchase Value | |||||
$20,401,000, collateralized by Federal | |||||
National Mortgage Assn. 3.500%, 6/1/47, | |||||
with a value of $20,808,000) | 1.740% | 5/1/18 | 20,400 | 20,400 | |
113,200 | |||||
Total Temporary Cash Investments (Cost $678,564) | 678,599 | ||||
Expiration | Notional Amount | ||||
Date | Contracts Exercise Price | ($000) | |||
Options Purchased14 (0.0%) | |||||
Options on Futures Purchased (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 13 | USD 120.00 | 1,560 | 7 |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 6 | USD 119.50 | 717 | 4 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 13 | USD 120.00 | 1,560 | 16 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 6 | USD 119.50 | 717 | 6 |
Total Options on Futures Purchased (Cost $34) | 33 | ||||
Notional Amount | |||||
on Underlying | |||||
Expiration | Swap | ||||
Counterparty | Date | Exercise Rate | ($000) | ||
Credit Default Swaptions Purchased (0.0%) | |||||
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index (Cost $10) | DBAG | 6/20/18 | 70.00% | 7,350 | 8 |
Total Options Purchased (Cost $44) | 41 | ||||
Total Investments (99.4%) (Cost $15,507,869) | 15,996,398 | ||||
Expiration | Notional Amount | ||||
Date | Contracts | Exercise Price | ($000) | ||
Liability for Options Written14 (0.0%) | |||||
Written Options on Futures (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 13 | USD 119.25 | 1,550 | (7) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 12 | USD 119.50 | 1,434 | (5) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 25 | USD 120.25 | 3,006 | (3) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 12 | USD 119.25 | 1,431 | (8) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 12 | USD 120.00 | 1,440 | (3) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 10 | USD 120.50 | 1,205 | (1) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 25 | USD 120.25 | 3,006 | (18) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 12 | USD 119.50 | 1,434 | (3) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 13 | USD 119.25 | 1,550 | (3) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 22 | USD 120.00 | 2,640 | (14) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 10 | USD 120.50 | 1,205 | (10) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 25 | USD 119.00 | 2,975 | (6) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 12 | USD 119.25 | 1,431 | (4) |
Total Options on Futures Written (Premiums Received $89) | (85) | ||||
Notional Amount | |||||
on Underlying | |||||
Expiration | Swap | ||||
Counterparty | Date | Exercise Rate | ($000) | ||
Written Swaptions on Credit Default Index (0.0%) | |||||
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 67.50% | (3,155) | (10) |
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | (7,350) | (13) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 72.50% | (3,155) | (1) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | (7,350) | (14) |
Total Credit Default Swaptions Written (Premiums Received $41) | (38) | ||||
Total Liability for Options Written (Premiums Received $130) | (123) | ||||
Other Assets and Other Liabilities-Net (0.6%)15 | 103,394 | ||||
Net Assets (100%) | 16,099,669 |
1 Securities with a value of $67,698,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $15,474,000 have been segregated as initial margin for open futures 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 issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
6 Interest only security.
7 Inverse floating rate Interest only security whose interest rate is derived by subtracting 1-month USD LIBOR from
a given cap.
8 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2018, the aggregate
value of these securities was $1,034,189,000, representing 6.4% of net assets.
9 Face amount denominated in euro.
10 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
11 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
12 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
14 Unrealized appreciation (depreciation) on options on futures contracts is required to be treated as realized gain
(loss) for tax purposes. Unrealized appreciation (depreciation) on open credit default swaptions is generally
treated the same for financial reporting and tax purposes.
15 Cash of $3,803,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.
REMICS—Real Estate Mortgage Investment Conduits.
DBAG—Deutsche Bank AG
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
30-Year U.S. Treasury Bond | June 2018 | 3,226 | 464,040 | 1,230 |
10-Year U.S. Treasury Note | June 2018 | 3,615 | 432,444 | (2,411) |
Ultra Long U.S. Treasury Bond | June 2018 | 2,043 | 321,006 | 3,945 |
5-Year U.S. Treasury Note | June 2018 | 209 | 23,723 | (84) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 134 | 17,137 | 46 |
Euro-Buxl | June 2018 | 2 | 395 | (—) |
2,726 | ||||
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2018 | (3,968) | (450,399) | 2,181 |
Ultra Long U.S. Treasury Bond | June 2018 | (1,632) | (256,428) | (678) |
2-Year U.S. Treasury Note | June 2018 | (281) | (59,585) | 133 |
10-Year U.S. Treasury Note | June 2018 | (473) | (56,583) | 210 |
Euro-Bobl | June 2018 | (135) | (21,357) | (21) |
Euro-Bund | June 2018 | (108) | (20,703) | (201) |
Ultra 10-Year U.S. Treasury Note | June 2018 | (64) | (8,185) | 17 |
1,641 | ||||
4,367 |
Long-Term Investment-Grade Fund
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
Forward Currency Contracts | ||||||
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
JPMorgan Chase Bank, N.A. | 5/15/18 | EUR | 1,114 | USD | 1,358 | (12) |
Goldman Sachs Bank AG | 5/15/18 | EUR | 297 | USD | 366 | (6) |
Toronto-Dominion Bank | 5/15/18 | USD | 13,219 | EUR | 10,719 | 260 |
JPMorgan Chase Bank, N.A. | 5/15/18 | USD | 102 | EUR | 84 | — |
Goldman Sachs Bank AG | 5/15/18 | USD | 70 | EUR | 58 | — |
242 | ||||||
EUR—Euro. | ||||||
USD—U.S. dollar. |
Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Centrally Cleared Credit Default Swaps | ||||||
Periodic | ||||||
Premium | Unrealized | |||||
Received | Appreciation | |||||
Termination | Notional Amount | (Paid)1 | Value (Depreciation) | |||
Reference Entity | Date | (000) | (%) | ($000) | ($000) | |
Credit Protection Sold | ||||||
CDX-NA-HY-S30-V1 | 6/20/23 | USD | 608 | 5.000 | 42 | — |
CDX-NA-IG-S29-V1 | 12/20/22 | USD | 2,095 | 1.000 | 43 | 3 |
CDX-NA-IG-S30-V1 | 6/20/23 | USD | 3,028 | 1.000 | 56 | 1 |
CDX-NA-IG-S30-V1 | 6/20/23 | USD | 3,248,300 | 1.000 | 60,204 | 5,062 |
iTraxx Europe-S29-V1 | 6/20/23 | EUR | 767 | 1.000 | 21 | — |
60,366 | 5,066 | |||||
Credit Protection Purchased | ||||||
iTraxx Europe-S28-V1 | 12/20/22 | EUR | 2,278 | (1.000) | (69) | 3 |
Long-Term Investment-Grade Fund
(69) | 3 | |
60,297 | 5,069 | |
1 Periodic premium received/paid quarterly. | ||
EUR—Euro. | ||
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | |||||||
Remaining | |||||||
Periodic | Up-Front | ||||||
Premium | Premium | Unrealized | |||||
Notional | Received | Received | Appreciation | ||||
Reference | Termination | Amount | (Paid) | Value | (Paid) | (Depreciation) | |
Entity | Date | Counterparty | (000) | (%) | ($000) | ($000) | ($000) |
Credit Protection Sold/ | |||||||
Moody's Rating | |||||||
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 12/20/21 | CITNA | 6,000 | 1.0002 | 113 | (43) | 70 |
Federative | |||||||
Republic of | |||||||
Brazil/Ba2 | 9/20/18 | BNPSW | 2,000 | 1.0002 | 4 | (4) | — |
Metlife | |||||||
Inc./A3 | 12/20/22 | GSI | 10,000 | 1.0002 | 200 | (23) | 177 |
Republic of | |||||||
Chile/Aa3 | 6/20/23 | BNPSW | 6,200 | 1.0002 | 140 | (144) | (4) |
Southern | |||||||
Co./Baa2 | 6/20/22 | JPMC | 3,170 | 1.0002 | 59 | (44) | 15 |
United | |||||||
Mexican | |||||||
States/A3 | 6/20/23 | BARC | 2,650 | 1.0002 | (18) | 20 | 1 |
Total | 498 | (238) | 259 | ||||
Credit | |||||||
Protection | |||||||
Purchased | |||||||
Bank of | |||||||
China Ltd. | 12/20/21 | BNPSW | 300 | (1.000)2 | (6) | (1) | (7) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 5551 | (1.000)2 | (8) | (2) | (10) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 3901 | (1.000)2 | (6) | (1) | (7) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 3901 | (1.000)2 | (6) | (1) | (7) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 1601 | (1.000)2 | (2) | (1) | (3) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 1601 | (1.000)2 | (2) | (1) | (3) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 1601 | (1.000)2 | (2) | — | (2) |
Dominion | |||||||
Energy Inc. | 6/20/22 | JPMC | 395 | (1.000)2 | (10) | 11 | 1 |
Exelon Corp. | 6/20/22 | JPMC | 635 | (18) | 17 | (1) |
Long-Term Investment-Grade Fund
(1.000)2 | |||||||
Exelon Corp. | 6/20/22 | JPMC | 395 | (1.000)2 | (11) | 11 | (—) |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/22 | CITNA | 1,100 | (1.000)2 | 24 | (35) | (11) |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/22 | GSI | 426 | (1.000)2 | 9 | (18) | (9) |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | BNPSW | 1,300 | (1.000)2 | 41 | (36) | 5 |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | BOANA | 1,500 | (1.000)2 | 48 | (48) | (—) |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | JPMC | 2,655 | (1.000)2 | 84 | (77) | 7 |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | JPMC | 1,500 | (1.000)2 | 48 | (47) | 1 |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/25 | BOANA | 315 | (1.000)2 | 24 | (69) | (45) |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/25 | GSCM | 315 | (1.000)2 | 24 | (65) | (41) |
Republic of | |||||||
Colombia | 6/20/23 | GSI | 3,100 | (1.000)2 | 7 | (9) | (2) |
Republic of | |||||||
Philippines | 6/20/23 | GSI | 550 | (1.000)2 | (8) | 7 | (1) |
Republic of | |||||||
South Africa | 12/20/20 | JPMC | 500 | (1.000)2 | (2) | (21) | (23) |
Republic of | |||||||
Turkey | 12/20/19 | GSCM | 2,185 | (1.000)2 | (5) | (19) | (24) |
Republic of | |||||||
Turkey | 6/20/23 | BNPSW | 1,000 | (1.000)2 | 43 | (46) | (3) |
Sempra | |||||||
Energy | 6/20/22 | JPMC | 635 | (1.000)2 | (17) | 17 | — |
Sempra | |||||||
Energy | 6/20/22 | JPMC | 395 | (1.000)2 | (10) | 11 | 1 |
Total | 239 | (423) | (184) | ||||
75 |
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.
2 Periodic premium received/paid quarterly.
BARC--Barclays Bank plc.
BOANA--Bank of America, N.A.
BNPSW--BNP Paribas.
CITNA—Citibank N.A.
GSI--Goldman Sachs International.
GSCM--Goldman Sachs Bank USA.
JPMC--JP Morgan Chase Bank.
Long-Term Investment-Grade Fund
At April 30, 2018, a counterparty had deposited in a segregated account cash of $350,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps | ||||||
Fixed | ||||||
Interest | Floating | |||||
Rate | Interest | Unrealized | ||||
Future | Notional | Received | Rate | Appreciation | ||
Termination | Effective | Amount | (Paid)2 | Received | Value | (Depreciation) |
Date | Date | ($000) | (%) | (Paid) (%) | ($000) | ($000) |
6/20/19 | 6/20/181 | 10,835 | (1.500) | 0.0003 | 118 | 9 |
3/31/20 | 7/5/181 | 20,967 | 2.623 | (0.000)3 | (53) | (53) |
6/22/20 | 6/20/181 | 12,299 | 1.750 | (0.000)3 | (250) | (26) |
6/20/23 | 6/20/181 | 4,013 | 2.000 | (0.000)3 | (176) | (19) |
2/28/25 | 6/29/181 | 6,105 | (2.895) | 0.0003 | 18 | 18 |
6/20/25 | 6/20/181 | 3,956 | 2.000 | (0.000)3 | (245) | (23) |
6/20/28 | 6/20/181 | 3,634 | 2.250 | (0.000)3 | (243) | (23) |
6/20/33 | 6/20/181 | 18,498 | (2.250) | 0.0003 | 1,845 | 137 |
6/21/38 | 6/20/181 | 31,540 | 2.500 | (0.000)3 | (2,782) | (249) |
11/16/43 | 6/29/181 | 1,749 | (3.064) | 0.0003 | (16) | (16) |
6/22/48 | 6/20/181 | 45,566 | (2.500) | 0.0003 | 5,059 | 383 |
3,275 | 138 |
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 Fixed interest payment received/paid semi-annually.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment
received/paid quarterly.
Unrealized appreciation (depreciation) on open swap contracts is generally treated the same for
financial reporting and tax purposes.
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
Long-Term Investment-Grade Fund
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. 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 983,557 | — |
Corporate Bonds | — | 12,142,864 | — |
Long-Term Investment-Grade Fund
Sovereign Bonds | — | 390,424 | — |
Taxable Municipal Bonds | — | 1,800,913 | — |
Temporary Cash Investments | 565,399 | 113,200 | — |
Options Purchased | 33 | 8 | — |
Liability for Options Written | (85) | (38) | — |
Futures Contracts—Assets1 | 3,970 | — | — |
Futures Contracts—Liabilities1 | (1,786) | — | — |
Forward Currency Contracts—Assets | — | 260 | — |
Forward Currency Contracts—Liabilities | — | (18) | — |
Swap Contracts—Assets | 5071 | 278 | — |
Swap Contracts—Liabilities | (484)1 | (203) | — |
Total | 567,554 | 15,431,245 | — |
1 Represents variation margin on the last day of the reporting period. |
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 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).
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 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
Long-Term Investment-Grade Fund
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).
G. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the 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
Long-Term Investment-Grade Fund
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.
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 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
Long-Term Investment-Grade Fund
appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
I. At April 30, 2018, the cost of investment securities for tax purposes was $15,515,699,000. Net unrealized appreciation of investment securities for tax purposes was $480,658,000, consisting of unrealized gains of $848,060,000 on securities that had risen in value since their purchase and $367,402,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard GNMA Fund | |||
Schedule of Investments (unaudited) | |||
As of April 30, 2018 | |||
Face | Market | ||
Maturity | Amount | Value | |
Coupon | Date | ($000) | ($000) |
U.S. Government and Agency Obligations (95.5%) | |||||
Conventional Mortgage-Backed Securities (92.1%) | |||||
1,2 | Fannie Mae Pool | 2.500% | 10/1/26–5/1/48 | 20,025 | 19,042 |
1,2 | Fannie Mae Pool | 2.640% | 12/1/31 | 15,584 | 14,447 |
1,2 | Fannie Mae Pool | 2.690% | 10/1/27 | 33,670 | 32,014 |
1,2 | Fannie Mae Pool | 2.710% | 9/1/31 | 7,110 | 6,617 |
1,2 | Fannie Mae Pool | 2.720% | 9/1/31 | 1,458 | 1,365 |
1,2 | Fannie Mae Pool | 2.775% | 11/1/27 | 3,420 | 3,254 |
1,2 | Fannie Mae Pool | 2.870% | 12/1/27–1/1/28 | 147,601 | 142,054 |
1,2 | Fannie Mae Pool | 2.890% | 12/1/27 | 27,087 | 26,115 |
1,2 | Fannie Mae Pool | 2.940% | 12/1/27 | 44,540 | 42,161 |
1,2 | Fannie Mae Pool | 2.950% | 6/1/31 | 1,925 | 1,823 |
1,2 | Fannie Mae Pool | 2.960% | 12/1/27–6/1/31 | 100,523 | 97,045 |
1,2 | Fannie Mae Pool | 2.970% | 12/1/27 | 6,559 | 6,290 |
1,2 | Fannie Mae Pool | 2.990% | 12/1/27 | 15,752 | 15,191 |
1,2 | Fannie Mae Pool | 3.030% | 5/1/29 | 25,320 | 24,406 |
1,2 | Fannie Mae Pool | 3.050% | 7/1/31 | 2,000 | 1,914 |
1,2 | Fannie Mae Pool | 3.090% | 3/1/30 | 8,775 | 8,363 |
1,2 | Fannie Mae Pool | 3.110% | 11/1/27 | 17,000 | 16,613 |
1,2 | Fannie Mae Pool | 3.160% | 12/1/32 | 18,170 | 17,174 |
1,2 | Fannie Mae Pool | 3.170% | 1/1/30 | 19,944 | 19,078 |
1,2 | Fannie Mae Pool | 3.190% | 9/1/29 | 3,725 | 3,624 |
1,2 | Fannie Mae Pool | 3.210% | 3/1/29–1/1/33 | 26,325 | 25,209 |
1,2 | Fannie Mae Pool | 3.220% | 1/1/33 | 21,518 | 20,624 |
1,2 | Fannie Mae Pool | 3.250% | 5/1/32 | 16,500 | 16,035 |
1,2 | Fannie Mae Pool | 3.260% | 1/1/33 | 10,920 | 10,465 |
1,2 | Fannie Mae Pool | 3.270% | 7/1/30 | 40,538 | 39,740 |
1,2 | Fannie Mae Pool | 3.280% | 5/1/29–5/1/29 | 45,840 | 45,043 |
1,2 | Fannie Mae Pool | 3.290% | 6/1/29 | 22,065 | 21,646 |
1,2 | Fannie Mae Pool | 3.320% | 7/1/30 | 14,200 | 14,004 |
1,2 | Fannie Mae Pool | 3.330% | 4/1/32 | 10,818 | 10,498 |
1,2 | Fannie Mae Pool | 3.350% | 1/1/30–11/1/30 | 15,215 | 15,014 |
1,2 | Fannie Mae Pool | 3.410% | 5/1/32 | 4,100 | 4,007 |
1,2 | Fannie Mae Pool | 3.420% | 4/1/31 | 1,496 | 1,465 |
1,2 | Fannie Mae Pool | 3.425% | 2/1/30 | 15,850 | 15,733 |
1,2 | Fannie Mae Pool | 3.430% | 6/1/30 | 1,286 | 1,280 |
1,2 | Fannie Mae Pool | 3.460% | 9/1/29 | 6,835 | 6,819 |
1,2 | Fannie Mae Pool | 3.490% | 7/1/30 | 9,773 | 9,760 |
1,2 | Fannie Mae Pool | 3.500% | 2/1/27–5/1/33 | 2,424 | 2,474 |
1,2 | Fannie Mae Pool | 3.510% | 3/1/33 | 7,125 | 7,017 |
1,2 | Fannie Mae Pool | 3.540% | 6/1/30 | 1,716 | 1,719 |
1,2 | Fannie Mae Pool | 3.550% | 2/1/30 | 8,875 | 8,893 |
1,2 | Fannie Mae Pool | 3.570% | 10/1/29 | 1,037 | 1,041 |
1,2 | Fannie Mae Pool | 3.580% | 7/1/30–1/1/31 | 12,766 | 12,808 |
1,2 | Fannie Mae Pool | 3.590% | 9/1/30 | 50,357 | 50,449 |
1,2 | Fannie Mae Pool | 3.725% | 4/1/33 | 9,594 | 9,680 |
1,2 | Fannie Mae Pool | 3.830% | 6/1/34 | 3,306 | 3,372 |
1,2 | Fannie Mae Pool | 3.890% | 5/1/30 | 14,157 | 14,424 |
1,2 | Fannie Mae Pool | 3.960% | 5/1/34 | 6,090 | 6,258 |
1,2 | Fannie Mae Pool | 4.000% | 5/1/46–5/1/48 | 9,308 | 9,484 |
1,2 | Fannie Mae Pool | 4.060% | 3/1/29 | 3,974 | 4,089 |
1,2 | Fannie Mae Pool | 4.080% | 2/1/29 | 2,918 | 3,017 |
1,2 | Fannie Mae Pool | 4.150% | 10/1/28–1/1/31 | 74,079 | 76,910 |
1,2 | Fannie Mae Pool | 4.180% | 11/1/30 | 29,488 | 30,510 |
1,2 | Fannie Mae Pool | 4.250% | 10/1/28 | 1,235 | 1,295 |
1,2 | Fannie Mae Pool | 4.280% | 11/1/28 | 5,265 | 5,526 |
1,2 | Fannie Mae Pool | 4.380% | 10/1/28 | 9,671 | 10,222 |
1,2 | Fannie Mae Pool | 4.400% | 8/1/28 | 2,183 | 2,313 |
1,2 | Fannie Mae Pool | 4.500% | 12/1/40–3/1/44 | 3,206 | 3,365 |
1,2 | Fannie Mae Pool | 6.000% | 7/1/22 | 4 | 5 |
1,2 | Fannie Mae Pool | 6.500% | 2/1/29–5/1/40 | 2,726 | 3,045 |
1,2 | Freddie Mac Gold Pool | 3.000% | 6/1/43–5/1/48 | 6,356 | 6,205 |
1,2 | Freddie Mac Gold Pool | 4.000% | 9/1/30–4/1/44 | 7,942 | 8,142 |
1,2 | Freddie Mac Gold Pool | 4.500% | 4/1/34–5/1/48 | 6,058 | 6,707 |
1,2 | Freddie Mac Gold Pool | 5.000% | 8/1/23–5/1/48 | 29,522 | 31,693 |
2 | Ginnie Mae I Pool | 2.500% | 11/15/42–9/15/43 | 99,584 | 94,425 |
2 | Ginnie Mae I Pool | 3.000% | 1/15/26–5/1/48 | 1,184,538 | 1,157,969 |
2,3 | Ginnie Mae I Pool | 3.500% | 7/15/39–5/1/48 | 800,401 | 803,057 |
2 | Ginnie Mae I Pool | 3.750% | 7/15/42 | 3,499 | 3,556 |
2 | Ginnie Mae I Pool | 3.875% | 5/15/42–6/15/42 | 6,033 | 6,200 |
2 | Ginnie Mae I Pool | 4.000% | 6/15/19–5/1/48 | 1,025,782 | 1,055,868 |
2 | Ginnie Mae I Pool | 4.500% | 5/15/19–1/15/45 | 702,286 | 735,288 |
2 | Ginnie Mae I Pool | 5.000% | 1/15/30–5/1/48 | 632,484 | 668,602 |
2 | Ginnie Mae I Pool | 5.500% | 9/15/23–5/1/48 | 428,496 | 462,300 |
2 | Ginnie Mae I Pool | 6.000% | 3/15/19–5/1/48 | 232,887 | 255,886 |
2 | Ginnie Mae I Pool | 6.500% | 4/15/23–7/15/40 | 166,532 | 180,954 |
2 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/36 | 50,572 | 56,827 |
2 | Ginnie Mae I Pool | 7.250% | 1/15/27–2/15/27 | 24 | 25 |
2,3 | Ginnie Mae I Pool | 7.500% | 10/15/31 | 19,270 | 22,124 |
2 | Ginnie Mae I Pool | 8.000% | 8/15/31 | 7,085 | 8,124 |
2 | Ginnie Mae I Pool | 8.500% | 9/15/19–6/15/28 | 877 | 921 |
2 | Ginnie Mae I Pool | 9.000% | 6/15/18–5/15/21 | 2 | 3 |
2 | Ginnie Mae I Pool | 9.500% | 7/15/18–8/15/21 | 161 | 163 |
2 | Ginnie Mae I Pool | 10.000% | 8/15/18–7/15/19 | 2 | 1 |
2 | Ginnie Mae II Pool | 1.500% | 6/20/39–6/20/47 | 1,239 | 1,035 |
2 | Ginnie Mae II Pool | 2.000% | 10/20/43–2/20/47 | 897 | 775 |
2 | Ginnie Mae II Pool | 2.500% | 11/20/42–5/1/48 | 498,344 | 472,036 |
2 | Ginnie Mae II Pool | 3.000% | 4/20/31–5/1/48 | 3,367,291 | 3,284,958 |
2,4,5Ginnie Mae II Pool | 3.500% | 10/20/40–5/1/48 | 6,372,116 | 6,401,292 | |
2,4 | Ginnie Mae II Pool | 4.000% | 4/20/39–5/1/48 | 3,067,985 | 3,146,292 |
2,4 | Ginnie Mae II Pool | 4.500% | 12/20/32–6/1/48 | 899,347 | 944,842 |
2 | Ginnie Mae II Pool | 5.000% | 10/20/32–3/20/45 | 321,736 | 344,686 |
2 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 35,188 | 37,696 |
2 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 45,203 | 49,702 |
2 | Ginnie Mae II Pool | 6.500% | 4/20/37–3/20/41 | 1,224 | 1,357 |
2 | Ginnie Mae II Pool | 7.500% | 6/20/25–8/20/25 | 103 | 115 |
21,273,674 | |||||
Nonconventional Mortgage-Backed Securities (3.4%) | |||||
1,2 | Fannie Mae Pool | 2.323% | 8/1/43 | 13,790 | 13,612 |
1,2 | Fannie Mae Pool | 2.779% | 9/1/44 | 14,686 | 14,531 |
1,2 | Fannie Mae REMICS | 3.000% | 6/25/43–2/25/57 | 55,198 | 49,233 |
1,2 | Fannie Mae REMICS | 3.500% | 7/25/44–12/25/57 | 40,154 | 39,498 |
1,2 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 4,874 | 5,328 |
1,2 | Freddie Mac Non Gold Pool | 2.264% | 8/1/43 | 21,223 | 20,908 |
1,2 | Freddie Mac Non Gold Pool | 2.289% | 9/1/43 | 9,037 | 8,880 |
1,2 | Freddie Mac Non Gold Pool | 2.680% | 10/1/44 | 25,748 | 25,233 |
1,2 | Freddie Mac Non Gold Pool | 2.783% | 7/1/44 | 9,009 | 8,858 |
1,2 | Freddie Mac Non Gold Pool | 2.838% | 10/1/44 | 12,325 | 12,108 |
1,2 | Freddie Mac Non Gold Pool | 2.901% | 4/1/44 | 13,111 | 12,902 |
1,2 | Freddie Mac Non Gold Pool | 2.941% | 9/1/44 | 9,062 | 8,890 |
1,2 | Freddie Mac Non Gold Pool | 3.085% | 10/1/44 | 18,614 | 18,134 |
1,2 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/48 | 102,325 | 92,425 |
1,2 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 13,357 | 14,492 |
2 | Ginnie Mae REMICS | 2.000% | 7/20/42 | 20,168 | 18,732 |
6 | Ginnie Mae REMICS | 2.097% | 2/20/37 | 3,466 | 3,454 |
2 | Ginnie Mae REMICS | 2.350% | 5/17/46 | 35,492 | 34,129 |
2 | Ginnie Mae REMICS | 2.500% | 12/16/39 | 21,682 | 20,978 |
2 | Ginnie Mae REMICS | 2.500% | 8/16/42–11/20/43 | 44,726 | 37,978 |
2 | Ginnie Mae REMICS | 2.650% | 11/17/48 | 16,290 | 15,505 |
2 | Ginnie Mae REMICS | 3.000% | 3/20/40–5/20/47 | 69,174 | 62,276 |
2 | Ginnie Mae REMICS | 3.000% | 3/20/47 | 7,176 | 6,317 |
2 | Ginnie Mae REMICs | 3.000% | 4/20/47 | 12,819 | 12,322 |
2 | Ginnie Mae REMICS | 3.250% | 8/20/44 | 8,039 | 6,943 |
2 | Ginnie Mae REMICS | 3.500% | 7/20/43–9/20/44 | 32,033 | 31,698 |
2 | Ginnie Mae REMICS | 3.750% | 7/20/44 | 1,870 | 1,840 |
2 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 4,461 | 4,709 |
2 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 15,320 | 16,430 |
2 | Ginnie Mae REMICS | 5.500% | 8/16/36 | 13,445 | 13,911 |
2 | Government National Mortgage Assn. | 2.500% | 10/20/45–1/20/48 | 70,560 | 66,181 |
2 | Government National Mortgage Assn. | 3.000% | 7/20/43–11/20/47 | 75,393 | 71,136 |
2 | Government National Mortgage Assn. | 3.500% | 5/20/45 | 14,950 | 14,163 |
783,734 | |||||
Total U.S. Government and Agency Obligations (Cost $22,542,597) | 22,057,408 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (3.0%) | |||||
1,2 | Fannie Mae REMICS | 3.000% | 11/25/47 | 2,789 | 2,567 |
1,2 | Fannie Mae-Aces | 3.086% | 12/25/27 | 125,000 | 121,018 |
1,2 | Fannie Mae-Aces | 3.194% | 2/25/30 | 107,935 | 103,180 |
1,6 | Fannie Mae-Aces 2018-M2 | 2.999% | 1/25/28 | 77,000 | 73,701 |
1,2 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K064 | 3.224% | 3/25/27 | 5,500 | 5,415 | |
1,2 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K072 | 3.444% | 12/25/27 | 20,000 | 19,946 | |
1,2 | FHLMC Multifamily Structures Pass Through | ||||
Certificates K073 | 3.350% | 1/25/28 | 99,595 | 98,631 | |
2 | Government National Mortgage Assn. | 2.000% | 10/20/44 | 5,028 | 4,717 |
2 | Government National Mortgage Assn. | 3.000% | 1/20/48 | 169,843 | 167,924 |
1,2,7Fannie Mae REMICS | 3.000% | 2/1/48 | 91,310 | 87,886 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $694,613) | 684,985 | ||||
Temporary Cash Investments (4.6%) | |||||
Repurchase Agreements (2.5%) | |||||
Bank of America Securities, LLC | |||||
(Dated 4/30/18, Repurchase Value | |||||
$19,301,000, collateralized by Federal | |||||
National Mortgage Assn. 4.000%, 11/1/47, | |||||
with a value of $19,686,000) | 1.730% | 5/1/18 | 19,300 | 19,300 | |
Bank of Montreal | |||||
(Dated 4/30/18, Repurchase Value | |||||
$80,004,000, collateralized by U.S. | |||||
Treasury Bill 0.000%, 5/31/18-2/28/19, and | |||||
U.S. Treasury Note/Bond 0.875%-2.875%, | |||||
5/31/18-8/15/46, with a value of | |||||
$81,600,000) | 1.700% | 5/1/18 | 80,000 | 80,000 |
Barclays Capital Inc. | ||||
(Dated 4/30/18, Repurchase Value | ||||
$15,201,000, collateralized by U.S. | ||||
Treasury Bill 0.000%, 3/28/19, and U.S. | ||||
Treasury Note/Bond 1.000%-3.000%, | ||||
6/30/19-11/15/45, with a value of | ||||
$15,504,000) | 1.720% | 5/1/18 | 15,200 | 15,200 |
Citigroup Global Markets Inc. | ||||
(Dated 4/30/18, Repurchase Value | ||||
$73,803,000, collateralized by U.S. | ||||
Treasury Note/Bond 1.250%, 7/31/23, with | ||||
a value of $75,276,000) | 1.700% | 5/1/18 | 73,800 | 73,800 |
Societe Generale | ||||
(Dated 4/30/18, Repurchase Value | ||||
$201,410,000, collateralized by Federal | ||||
Home Loan Mortgage Corp. 1.400%- | ||||
5.765%, 8/28/19-1/1/48, and Federal | ||||
National Mortgage Assn. 3.000%-4.500%, | ||||
5/25/18-1/1/48, U.S. Treasury Bill 0.000%, | ||||
8/16/18-4/25/19, and U.S. Treasury | ||||
Note/Bond 1.500%-2.000%, 12/15/20- | ||||
8/15/26, with a value of $205,428,000) | 1.720% | 5/1/18 | 201,400 | 201,400 |
TD Securities (USA) LLC | ||||
(Dated 4/30/18, Repurchase Value | ||||
$7,200,000, collateralized by U.S. | ||||
Treasury Note/Bond 1.125%, 2/28/19, with | ||||
a value of $7,344,000) | 1.750% | 5/1/18 | 7,200 | 7,200 |
HSBC Bank USA | ||||
(Dated 4/30/18, Repurchase Value | ||||
$133,506,000, collateralized by U.S. | ||||
Treasury Note/Bond 1.000%-3.125%, | ||||
10/15/19-11/15/41, with a value of | ||||
$136,174,000) | 1.700% | 5/1/18 | 133,500 | 133,500 |
HSBC Bank USA | ||||
(Dated 4/30/18, Repurchase Value | ||||
$29,001,000, collateralized by Federal | ||||
National Mortgage Assn. 3.500%, 1/1/47, | ||||
with a value of $29,582,000) | 1.710% | 5/1/18 | 29,000 | 29,000 |
Wells Fargo & Co. | ||||
(Dated 4/30/18, Repurchase Value | ||||
$27,601,000, collateralized by Federal | ||||
National Mortgage Assn. 3.500%, 1/1/48, | ||||
with a value of $28,152,000) | 1.740% | 5/1/18 | 27,600 | 27,600 |
587,000 | ||||
U.S. Government and Agency Obligations (0.7%) | ||||
United States Treasury Bill | 1.501%–1.528% | 5/3/18 | 150,000 | 149,987 |
Shares | ||||
Money Market Fund (1.4%) | ||||
8 Vanguard Market Liquidity Fund | 1.886% | 3,298,163 | 329,816 | |
Total Temporary Cash Investments (Cost $1,066,804) | 1,066,803 | |||
Total Investments (103.1%) (Cost $24,304,014) | 23,809,196 | |||
Other Assets and Liabilities-Net (-3.1%)9 | (721,775) | |||
Net Assets (100%) | 23,087,421 |
1 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.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments.
3 Certain of the fund’s securities with a value of $23,838,000 have been segregated as initial margin for open
futures contracts.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of April 30, 2018.
5 Certain of the fund’s securities with a value of $95,758,000 have been segregated as initial margin for open
cleared swap contracts.
6 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
7 Security value determined using significant unobservable inputs.
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.
9 Cash of $2,526,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions.
REMICS—Real Estate Mortgage Investment Conduits.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Appreciation | |||
Expiration | Contracts | Notional Amount | (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2018 | 11,830 | 1,415,164 | (1,950) |
5-Year U.S. Treasury Note | June 2018 | 1,915 | 217,367 | (221) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 1,477 | 188,894 | (682) |
Ultra Long U.S. Treasury Bond | June 2018 | 326 | 51,223 | 631 |
30-Year U.S. Treasury Bond | June 2018 | 290 | 41,715 | (195) |
(2,417) | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | (3) | (636) | — |
(2,417) | ||||
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. |
GNMA Fund
Centrally Cleared Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest | Interest | |||||
Rate | Rate | Unrealized | ||||
Future | Notional | Received | Received | Appreciation | ||
Termination | Effective | Amount | (Paid)2 | (Paid) 3 | Value | (Depreciation) |
Date | Date | ($000) | (%) | (%) | ($000) | ($000) |
3/15/28 | 9/17/181 | 238,775 | (2.893) | 2.125 | 1,445 | 1,445 |
7/14/27 | N/A | 292,775 | (2.275) | 2.348 | 16,349 | 16,349 |
3/21/28 | N/A | 1,036,465 | (2.250) | 2.220 | 64,364 | 48,979 |
82,158 | 66,773 |
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 Fixed interest payment received/paid semi-annually.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest
payment received/paid quarterly.
Unrealized appreciation (depreciation) on open swap contracts is generally treated the same for
financial reporting and tax purposes.
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
GNMA Fund
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.
At April 30, 2018, counterparties had deposited in segregated accounts securities and cash with a value of $3,777,000 in connection with TBA transactions.
C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold 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. 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 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).
GNMA Fund
F. Swap Contracts: 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 periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded.
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 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.
G. 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
GNMA Fund
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 21,969,522 | 87,886 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 684,985 | — |
Temporary Cash Investments | 329,816 | 736,987 | — |
Futures Contracts—Assets1 | 2,263 | — | — |
Swap Contracts—Liabilities1 | (2,597) | ||
Total | 329,482 | 23,391,494 | 87,886 |
1 Represents variation margin on the last day of the reporting period. |
At April 30, 2018, the cost of investment securities for tax purposes was $24,305,449,000. Net unrealized appreciation of investment securities for tax purposes was $496,253,000, consisting of unrealized gains of $127,507,000 on securities that had risen in value since their purchase and $623,760,000 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, 2018 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (8.9%) | |||||
U.S. Government Securities (8.2%) | |||||
United States Treasury Inflation Indexed | |||||
Bonds | 2.125% | 1/15/19 | 110,100 | 129,360 | |
1 | United States Treasury Inflation Indexed | ||||
Bonds | 0.125% | 4/15/19 | 443,900 | 469,556 | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 222,900 | 221,264 | |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 90,000 | 89,367 | |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 50,000 | 49,500 | |
United States Treasury Note/Bond | 1.625% | 10/15/20 | 515,000 | 503,412 | |
1,2 United States Treasury Note/Bond | 1.375% | 1/31/21 | 150,000 | 145,079 | |
1 | United States Treasury Note/Bond | 2.250% | 2/15/21 | 1,000,000 | 990,310 |
1 | United States Treasury Note/Bond | 1.125% | 2/28/21 | 227,000 | 217,743 |
1 | United States Treasury Note/Bond | 2.250% | 3/31/21 | 219,000 | 216,674 |
3 | United States Treasury Note/Bond | 2.375% | 4/15/21 | 1,400,000 | 1,390,158 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 600,000 | 591,936 | |
United States Treasury Note/Bond | 2.500% | 3/31/23 | 8,440 | 8,327 | |
5,022,686 | |||||
Nonconventional Mortgage-Backed Securities (0.7%) | |||||
4,5 Fannie Mae Grantor Trust 2017-T1 | 2.898% | 6/25/27 | 19,252 | 18,132 | |
4,5,6Fannie Mae Pool | 3.097% | 6/1/33 | 1,441 | 1,497 | |
4,5,6Fannie Mae Pool | 3.225% | 5/1/33 | 1,531 | 1,615 | |
4,5,6Fannie Mae Pool | 3.293% | 12/1/32 | 240 | 245 | |
4,5,6Fannie Mae Pool | 3.310% | 7/1/32 | 254 | 269 | |
4,5,7Fannie Mae Pool | 3.500% | 9/1/32 | 203 | 213 | |
4,5,7Fannie Mae Pool | 3.510% | 8/1/37 | 462 | 468 | |
4,5,7Fannie Mae Pool | 3.535% | 8/1/33 | 1,956 | 2,026 | |
4,5,7Fannie Mae Pool | 3.582% | 7/1/33 | 1,969 | 2,023 | |
4,5,7Fannie Mae Pool | 3.696% | 2/1/37 | 682 | 718 | |
4,5,7Fannie Mae Pool | 3.721% | 5/1/33 | 310 | 328 | |
4,5,8Fannie Mae REMICS | 4.000% | 6/25/42–2/25/48 | 279,149 | 62,072 | |
4,5,9Fannie Mae REMICS | 4.153% | 3/25/46 | 83,551 | 13,984 | |
4,5,9Fannie Mae REMICS | 4.253% | 5/25/47 | 117,835 | 19,611 | |
4,5,9Fannie Mae REMICS | 4.303% | 10/25/47 | 74,240 | 14,378 | |
4,5,8Fannie Mae REMICS | 4.500% | 12/25/42–9/25/47 | 61,782 | 14,906 | |
4,5,8Fannie Mae REMICS | 5.000% | 6/25/45 | 55,243 | 11,584 | |
4,5,8Fannie Mae REMICS | 5.500% | 2/25/46 | 29,840 | 6,519 | |
4,5,8Fannie Mae REMICS | 6.000% | 4/25/45–12/25/47 | 93,871 | 22,356 | |
4,5,6Freddie Mac Non Gold Pool | 3.351% | 8/1/32 | 532 | 566 | |
4,5,6Freddie Mac Non Gold Pool | 3.375% | 8/1/32 | 564 | 580 | |
4,5,7Freddie Mac Non Gold Pool | 3.500% | 8/1/37 | 1,591 | 1,645 | |
4,5,6Freddie Mac Non Gold Pool | 3.504% | 9/1/32 | 53 | 57 | |
4,5,7Freddie Mac Non Gold Pool | 3.643% | 9/1/32 | 761 | 776 | |
4,5,7Freddie Mac Non Gold Pool | 3.711% | 10/1/32–8/1/33 | 824 | 868 | |
4,5,7Freddie Mac Non Gold Pool | 3.777% | 1/1/33 | 272 | 292 | |
4,5,7Freddie Mac Non Gold Pool | 3.961% | 2/1/33 | 200 | 205 | |
4,5,8Freddie Mac REMICS | 3.500% | 12/15/42 | 66,793 | 12,858 | |
4,5,8Freddie Mac REMICS | 4.000% 10/15/42–12/15/47 | 85,149 | 17,018 | ||
4,5,9Freddie Mac REMICS | 4.253% | 1/15/42–1/15/45 | 58,258 | 9,076 | |
4,5,9Freddie Mac REMICS | 4.303% | 12/15/47 | 28,771 | 5,325 |
4,8 | Government National Mortgage Association | 3.500% | 7/20/42 | 46,863 | 7,895 |
4,9 | Government National Mortgage Association | 3.753% | 8/20/45 | 49,421 | 7,389 |
4,8 | Government National Mortgage Association | 4.000% | 3/20/42–1/20/48 | 207,027 | 45,404 |
4,9 | Government National Mortgage Association | 4.203% | 9/20/46 | 35,990 | 6,411 |
4,9 | Government National Mortgage Association | 4.303% | 9/20/47–12/20/47 | 266,440 | 46,355 |
4,8 | Government National Mortgage Association | 4.500% | 3/20/43–1/20/48 | 212,915 | 51,870 |
4,8 | Government National Mortgage Association | 5.000% | 2/20/40 | 48,488 | 10,733 |
418,267 | |||||
Total U.S. Government and Agency Obligations (Cost $5,450,060) | 5,440,953 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (21.8%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 4,315 | 4,301 |
4 | Ally Auto Receivables Trust 2017-5 | 2.220% | 10/17/22 | 12,620 | 12,317 |
4 | Ally Auto Receivables Trust 2018-1 | 2.350% | 6/15/22 | 86,660 | 85,697 |
4 | Ally Auto Receivables Trust 2018-1 | 2.530% | 2/15/23 | 23,100 | 22,685 |
4 | Ally Master Owner Trust Series 2017-3 | 2.040% | 6/15/22 | 20,510 | 20,119 |
4,10 American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 12,668 | 12,780 | |
4,10 American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 3,360 | 3,439 | |
4,10 American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 17,134 | 17,279 | |
4,10 American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 15,243 | 15,062 | |
4,10 American Homes 4 Rent 2015-SFR2 | 3.732% | 10/17/45 | 6,601 | 6,602 | |
4,10 American Homes 4 Rent 2015-SFR2 | 4.295% | 10/17/45 | 2,830 | 2,914 | |
4,10 Americold 2010 LLC Trust Series 2010-ARTA | 4.954% | 1/14/29 | 15,984 | 16,542 | |
4,10 Americold 2010 LLC Trust Series 2010-ARTA | 6.811% | 1/14/29 | 11,185 | 11,917 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2013-5 | 2.860% | 12/9/19 | 6,999 | 7,006 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2014-1 | 2.150% | 3/9/20 | 1,771 | 1,771 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2014-2 | 2.180% | 6/8/20 | 5,973 | 5,967 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 1.540% | 3/9/20 | 3,407 | 3,406 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.080% | 9/8/20 | 7,120 | 7,107 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.730% | 3/8/21 | 12,055 | 12,040 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 3.340% | 8/8/21 | 8,900 | 8,930 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 1.810% | 10/8/20 | 8,020 | 8,003 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 2.890% | 1/10/22 | 9,420 | 9,412 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 3.590% | 2/8/22 | 6,820 | 6,862 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.210% | 5/10/21 | 4,770 | 4,743 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.870% | 11/8/21 | 5,600 | 5,598 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 3.650% | 5/9/22 | 9,390 | 9,458 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-3 | 2.710% | 9/8/22 | 10,170 | 9,992 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-4 | 2.410% | 7/8/22 | 25,630 | 25,231 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2017-3 | 1.690% | 12/18/20 | 63,694 | 63,445 | |
4,10 AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 13,390 | 13,204 |
4,10 Applebee's Funding LLC/IHOP Funding LLC | 4.277% | 9/5/44 | 6,074 | 5,938 | |
4,10 ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 10,804 | 10,738 | |
4,10 ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 14,622 | 14,358 | |
4,10 Aventura Mall Trust 2013-AVM | 3.867% | 12/5/32 | 15,105 | 15,305 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2013-1A | 1.920% | 9/20/19 | 12,675 | 12,656 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2013-2A | 2.970% | 2/20/20 | 29,200 | 29,222 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2015-1A | 2.500% | 7/20/21 | 34,860 | 34,388 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2015-2A | 2.630% | 12/20/21 | 43,123 | 42,398 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2016-1A | 2.990% | 6/20/22 | 3,181 | 3,151 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2017-1A | 3.070% | 9/20/23 | 7,640 | 7,497 | |
4,10 Avis Budget Rental Car Funding AESOP LLC | |||||
2017-2A | 2.970% | 3/20/24 | 12,850 | 12,504 | |
4,10,11 Avis Budget Rental Car Funding AESOP LLC | |||||
2018-1A | 3.700% | 9/20/24 | 14,210 | 14,206 | |
4,10,11 Avis Budget Rental Car Funding AESOP LLC | |||||
2018-1A | 4.730% | 9/20/24 | 2,540 | 2,539 | |
4,10 BAMLL Commercial Mortgage Securities | |||||
Trust 2012-PARK | 2.959% | 12/10/30 | 4,900 | 4,797 | |
4 | Banc of America Commercial Mortgage Trust | ||||
2015-UBS7 | 3.429% | 9/15/48 | 8,360 | 8,406 | |
4 | Banc of America Commercial Mortgage Trust | ||||
2015-UBS7 | 3.705% | 9/15/48 | 6,740 | 6,751 | |
4 | Banc of America Commercial Mortgage Trust | ||||
2015-UBS7 | 4.511% | 9/15/48 | 1,600 | 1,603 | |
4 | Banc of America Commercial Mortgage Trust | ||||
2017-BNK3 | 3.574% | 2/15/50 | 4,760 | 4,711 | |
4,12 Banc of America Funding 2006-H Trust | 3.642% | 9/20/46 | 11,207 | 10,750 | |
4 | BANK 2017 - BNK4 | 3.625% | 5/15/50 | 8,435 | 8,378 |
4 | BANK 2017 - BNK5 | 3.390% | 6/15/60 | 8,150 | 7,964 |
4 | BANK 2017 - BNK6 | 3.254% | 7/15/60 | 13,450 | 13,028 |
4 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 13,190 | 12,976 |
4 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 3,080 | 3,048 |
4 | BANK 2017 - BNK7 | 3.435% | 9/15/60 | 16,580 | 16,210 |
4 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 33,600 | 32,951 |
4 | BANK 2017 - BNK9 | 3.538% | 11/15/54 | 18,130 | 17,933 |
4 | BANK 2018 - BNK10 | 3.641% | 2/15/61 | 11,860 | 11,892 |
4 | BANK 2018 - BNK10 | 3.688% | 2/15/61 | 31,470 | 31,378 |
4 | Bank of America Mortgage 2002-J Trust | 4.259% | 9/25/32 | 17 | 17 |
4,10,13 Bank of America Student Loan Trust 2010-1A | 3.160% | 2/25/43 | 10,408 | 10,468 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 62,747 | 60,479 | |
10 | Bank of Nova Scotia | 1.875% | 9/20/21 | 19,200 | 18,388 |
4,12 Bear Stearns ARM Trust 2006-4 | 3.525% | 10/25/36 | 18,907 | 19,320 | |
4,12 Bear Stearns ARM Trust 2007-3 | 3.792% | 5/25/47 | 12,476 | 12,347 | |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.602% | 1/15/51 | 3,740 | 3,743 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.666% | 1/15/51 | 17,710 | 17,615 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.878% | 1/15/51 | 5,990 | 5,979 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 4.059% | 1/15/51 | 2,700 | 2,696 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 4.119% | 1/15/51 | 4,200 | 4,093 |
4 | BENCHMARK 2018-B3 Mortgage Trust | 4.025% | 4/10/51 | 18,190 | 18,658 |
4 | BMW Vehicle Lease Trust 2017-2 | 2.070% | 10/20/20 | 22,040 | 21,793 |
4 | BMW Vehicle Lease Trust 2017-2 | 2.190% | 3/22/21 | 6,860 | 6,761 |
4 | BMW Vehicle Owner Trust 2018-A | 2.510% | 6/25/24 | 15,840 | 15,614 |
13 | Brazos Higher Education Authority Inc. Series | ||||
2005-3 | 2.486% | 6/25/26 | 9,599 | 9,536 | |
13 | Brazos Higher Education Authority Inc. Series | ||||
2011-1 | 2.744% | 2/25/30 | 17,637 | 17,787 | |
4,10 CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 4,185 | 4,134 | |
4,10 CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 7,916 | 7,821 | |
4,10 California Republic Auto Receivables Trust | |||||
2015-4 | 2.580% | 6/15/21 | 13,690 | 13,682 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.560% | 7/15/20 | 4,469 | 4,460 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.830% | 12/15/21 | 7,160 | 7,077 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 2.520% | 5/16/22 | 6,520 | 6,391 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 3.510% | 3/15/23 | 3,180 | 3,139 | |
4,10 Canadian Pacer Auto Receivable Trust A | |||||
Series 2017 | 2.050% | 3/19/21 | 8,130 | 8,015 | |
4,10 Canadian Pacer Auto Receivable Trust A | |||||
Series 2017 | 2.286% | 1/19/22 | 5,710 | 5,579 | |
4,10 Canadian Pacer Auto Receivable Trust A | |||||
Series 2018 | 3.220% | 9/19/22 | 7,330 | 7,329 | |
4 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 866 | 866 |
4 | Capital Auto Receivables Asset Trust 2014-3 | 3.940% | 4/20/23 | 5,440 | 5,468 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 9,511 | 9,500 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.430% | 9/21/20 | 6,170 | 6,155 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.900% | 12/21/20 | 6,880 | 6,890 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 3.160% | 11/20/23 | 1,630 | 1,624 |
4 | Capital Auto Receivables Asset Trust 2016-3 | 2.350% | 9/20/21 | 6,110 | 6,005 |
4 | Capital Auto Receivables Asset Trust 2016-3 | 2.650% | 1/20/24 | 3,360 | 3,330 |
4,10 Capital Auto Receivables Asset Trust 2017-1 | 2.020% | 8/20/21 | 12,160 | 12,012 | |
4,10 Capital Auto Receivables Asset Trust 2017-1 | 2.220% | 3/21/22 | 8,480 | 8,326 | |
4 | Capital One Multi-Asset Execution Trust 2017- | ||||
A4 | 1.990% | 7/17/23 | 66,620 | 65,228 | |
10,14CARDS II Trust 2017-2 | 2.157% | 10/17/22 | 46,145 | 46,144 | |
4 | CarMax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 5,850 | 5,845 |
4 | CarMax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 3,875 | 3,842 |
4 | CarMax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 5,560 | 5,541 |
4 | CarMax Auto Owner Trust 2016-2 | 2.160% | 12/15/21 | 4,850 | 4,755 |
4 | CarMax Auto Owner Trust 2016-2 | 3.250% | 11/15/22 | 5,800 | 5,763 |
4 | CarMax Auto Owner Trust 2016-3 | 2.200% | 6/15/22 | 5,740 | 5,586 |
4 | CarMax Auto Owner Trust 2016-3 | 2.940% | 1/17/23 | 4,050 | 3,986 |
4 | CarMax Auto Owner Trust 2017-4 | 2.110% | 10/17/22 | 12,120 | 11,927 |
4 | CarMax Auto Owner Trust 2017-4 | 2.330% | 5/15/23 | 6,860 | 6,698 |
4 | CarMax Auto Owner Trust 2017-4 | 2.460% | 8/15/23 | 3,240 | 3,144 |
4 | CarMax Auto Owner Trust 2017-4 | 2.700% | 10/16/23 | 3,240 | 3,150 |
4 | CarMax Auto Owner Trust 2018-1 | 2.230% | 5/17/21 | 56,260 | 56,000 |
4 | CarMax Auto Owner Trust 2018-1 | 2.480% | 11/15/22 | 76,110 | 75,264 |
4 | CarMax Auto Owner Trust 2018-1 | 2.640% | 6/15/23 | 12,020 | 11,861 |
4 | CarMax Auto Owner Trust 2018-1 | 2.830% | 9/15/23 | 19,890 | 19,504 |
4 | CarMax Auto Owner Trust 2018-1 | 2.950% | 11/15/23 | 6,170 | 6,047 |
4 | CarMax Auto Owner Trust 2018-2 | 3.370% | 10/16/23 | 4,755 | 4,748 |
4 | CarMax Auto Owner Trust 2018-2 | 3.570% | 12/15/23 | 6,860 | 6,851 |
4 | CarMax Auto Owner Trust 2018-2 | 3.990% | 4/15/25 | 5,300 | 5,292 |
4 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 2,005 | 1,866 |
4 | CD 2016-CD1 Mortgage Trust | 3.631% | 8/10/49 | 6,299 | 5,844 |
4 | CD 2017-CD3 Commercial Mortgage Trust | 3.631% | 2/10/50 | 29,440 | 29,235 |
4 | CD 2017-CD4 Commercial Mortgage Trust | 3.514% | 5/10/50 | 12,810 | 12,614 |
4 | CD 2017-CD5 Commercial Mortgage Trust | 3.431% | 8/15/50 | 17,147 | 16,741 |
4 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 6,715 | 6,566 |
4 | CenterPoint Energy Transition Bond Co. IV | ||||
LLC 2012-1 | 2.161% | 10/15/21 | 14,363 | 14,236 | |
10 CFCRE Commercial Mortgage Trust 2011-C2 | 5.946% | 12/15/47 | 14,930 | 16,036 | |
4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 25,764 | 24,902 |
4,10 Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 54,382 | 54,102 | |
4,10 Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 30,010 | 29,957 | |
4 | CHL Mortgage Pass-Through Trust 2003- | ||||
HYB3 | 3.496% | 11/19/33 | 774 | 787 | |
4,12 CHL Mortgage Pass-Through Trust 2006- | |||||
HYB1 | 3.384% | 3/20/36 | 7,905 | 7,172 | |
4,12 CHL Mortgage Pass-Through Trust 2007- | |||||
HYB2 | 3.462% | 2/25/47 | 9,150 | 7,947 | |
4,10 Chrysler Capital Auto Receivables Trust 2014- | |||||
AA | 2.280% | 11/15/19 | 6,912 | 6,912 | |
4,10 Chrysler Capital Auto Receivables Trust 2014- | |||||
BA | 3.440% | 8/16/21 | 700 | 702 | |
4,10 Chrysler Capital Auto Receivables Trust 2015- | |||||
BA | 2.260% | 10/15/20 | 16,900 | 16,885 | |
4,10 Chrysler Capital Auto Receivables Trust 2015- | |||||
BA | 2.700% | 12/15/20 | 6,525 | 6,514 | |
4,10 Chrysler Capital Auto Receivables Trust 2015- | |||||
BA | 3.260% | 4/15/21 | 10,155 | 10,184 | |
4,10 Chrysler Capital Auto Receivables Trust 2015- | |||||
BA | 4.170% | 1/16/23 | 15,545 | 15,695 | |
4,10 Chrysler Capital Auto Receivables Trust 2016- | |||||
AA | 2.880% | 2/15/22 | 5,040 | 5,038 | |
4,10 Chrysler Capital Auto Receivables Trust 2016- | |||||
AA | 4.220% | 2/15/23 | 26,030 | 26,285 | |
4,10 Chrysler Capital Auto Receivables Trust 2016- | |||||
BA | 1.640% | 7/15/21 | 10,730 | 10,659 | |
4,10 Chrysler Capital Auto Receivables Trust 2016- | |||||
BA | 1.870% | 2/15/22 | 5,960 | 5,825 | |
4 | Citibank Credit Card Issuance Trust 2018-A1 | 2.490% | 1/20/23 | 107,425 | 106,096 |
4,10 Citigroup Commercial Mortgage Trust 2012- | |||||
GC8 | 3.683% | 9/10/45 | 2,100 | 2,120 | |
4 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC11 | 3.093% | 4/10/46 | 6,350 | 6,260 | |
4 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 3.161% | 9/10/46 | 20,491 | 20,527 | |
4 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 3.942% | 9/10/46 | 7,270 | 7,418 | |
4 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 4.371% | 9/10/46 | 3,786 | 3,947 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC19 | 4.023% | 3/10/47 | 19,843 | 20,370 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.575% | 5/10/47 | 6,872 | 6,900 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.855% | 5/10/47 | 40,226 | 40,861 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.622% | 7/10/47 | 25,685 | 25,744 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.863% | 7/10/47 | 12,426 | 12,369 |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 4.175% | 7/10/47 | 5,394 | 5,482 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 4.610% | 7/10/47 | 6,380 | 6,164 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.372% | 10/10/47 | 18,100 | 17,867 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.635% | 10/10/47 | 40,950 | 40,981 | |
4 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 4.345% | 10/10/47 | 6,146 | 6,184 | |
Citigroup Commercial Mortgage Trust 2014- | |||||
GC25 | 4.681% | 10/10/47 | 1,035 | 1,004 | |
4 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC27 | 3.137% | 2/10/48 | 38,271 | 37,186 | |
4 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC31 | 3.762% | 6/10/48 | 48,907 | 49,253 | |
4 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC33 | 3.778% | 9/10/58 | 28,246 | 28,583 | |
4 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC33 | 4.722% | 9/10/58 | 4,000 | 3,856 | |
4 | Citigroup Commercial Mortgage Trust 2016- | ||||
C1 | 3.209% | 5/10/49 | 47,360 | 46,087 | |
4 | Citigroup Commercial Mortgage Trust 2017- | ||||
C4 | 3.471% | 10/12/50 | 19,500 | 19,093 | |
4 | Citigroup Commercial Mortgage Trust 2017- | ||||
P8 | 3.465% | 9/15/50 | 41,283 | 40,651 | |
4 | Citigroup Commercial Mortgage Trust 2017- | ||||
P8 | 4.192% | 9/15/50 | 9,500 | 9,533 | |
4 | Citigroup Commercial Mortgage Trust 2017- | ||||
P8 | 4.414% | 9/15/50 | 9,500 | 9,241 | |
4,12 Citigroup Mortgage Loan Trust 2007-AR8 | 3.667% | 7/25/37 | 752 | 733 | |
4,10 CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 12,725 | 12,453 | |
4,10,14 Colony American Homes 2015-1 | 3.397% | 7/17/32 | 821 | 821 | |
4,10,14 Colony American Homes 2015-1A | 3.097% | 7/17/32 | 10,711 | 10,715 | |
4,10,14 Colony Starwood Homes 2016-1A Trust | 3.395% | 7/17/33 | 8,320 | 8,339 | |
4,10,14 Colony Starwood Homes 2016-1A Trust | 4.046% | 7/17/33 | 3,740 | 3,753 | |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,925 | 2,900 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 4,100 | 4,106 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 23,416 | 22,900 |
4,10 COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 12,316 | 12,205 | |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 10,971 | 10,695 |
4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 1,990 | 1,954 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,576 |
4 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 19,839 | 19,863 |
4 | COMM 2013-CCRE10 Mortgage Trust | 3.795% | 8/10/46 | 9,520 | 9,704 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 8/10/50 | 13,320 | 13,621 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 8/10/50 | 43,975 | 45,646 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 14,650 | 14,854 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 7,790 | 7,889 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 41,651 | 42,783 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/46 | 26,960 | 27,945 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.902% | 11/10/46 | 4,517 | 4,776 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.902% | 11/10/46 | 8,240 | 8,274 |
4,10 COMM 2013-CCRE6 Mortgage Trust | 3.147% | 3/10/46 | 17,360 | 16,892 | |
4,10 COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 2,380 | 2,322 | |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.334% | 6/10/46 | 2,910 | 2,890 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 40,399 | 40,724 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.381% | 7/10/45 | 12,669 | 13,168 |
4,10 COMM 2013-CCRE9 Mortgage Trust | 4.404% | 7/10/45 | 11,250 | 11,573 | |
4,10 COMM 2013-CCRE9 Mortgage Trust | 4.404% | 7/10/45 | 12,690 | 12,722 | |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 13,548 | 13,569 |
4,10 COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 10,688 | 10,876 | |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 13,605 | 14,090 |
4,10 COMM 2013-LC13 Mortgage Trust | 4.557% | 8/10/46 | 18,565 | 19,253 | |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 4,024 |
4,10 COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 5,490 | 5,328 | |
4,10 COMM 2014-277P Mortgage Trust | 3.732% | 8/10/49 | 33,245 | 33,328 | |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.955% | 2/10/47 | 1,915 | 1,960 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 17,690 | 18,358 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 15,319 | 15,341 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 20,250 | 20,851 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 13,450 | 13,828 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.700% | 5/10/47 | 1,930 | 1,943 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 47,271 | 48,400 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 27,380 | 27,815 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.895% | 5/10/47 | 10,175 | 10,114 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.550% | 7/15/47 | 9,572 | 9,564 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 28,552 | 28,984 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 1,520 | 1,500 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.590% | 11/10/47 | 36,585 | 36,766 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 36,723 | 36,627 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 11,570 | 11,822 |
4 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 36,015 | 35,296 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/48 | 11,345 | 11,371 |
4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 38,840 | 39,108 |
4 | COMM 2015-CCRE26 Mortgage Trust | 3.630% | 10/10/48 | 22,007 | 21,979 |
4 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 11,974 | 11,929 |
4 | COMM 2015-CCRE27 Mortgage Trust | 4.621% | 10/10/48 | 8,118 | 7,909 |
4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 18,400 | 17,945 |
10 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 19,400 | 19,231 |
10 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 63,480 | 62,205 |
4,10 Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 42,700 | 42,487 | |
4 | CSAIL 2015-C1 Commercial Mortgage Trust | 3.505% | 4/15/50 | 6,898 | 6,831 |
4 | CSAIL 2015-C2 Commercial Mortgage Trust | 3.504% | 6/15/57 | 42,350 | 41,964 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 3.718% | 8/15/48 | 16,636 | 16,648 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 4.503% | 8/15/48 | 10,600 | 10,364 |
4 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 40,542 | 41,084 |
4 | CSAIL 2016-C5 Commercial Mortgage Trust | 4.687% | 11/15/48 | 7,660 | 7,620 |
4 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.502% | 11/15/49 | 39,930 | 39,617 |
4 | CSAIL 2017-C8 Commercial Mortgage Trust | 3.392% | 6/15/50 | 15,680 | 15,395 |
4,10 Daimler Trucks Retail Trust 2018-1 | 3.030% | 11/15/24 | 19,101 | 19,071 | |
4 | DBJPM 16-C1 Mortgage Trust | 3.504% | 5/10/49 | 2,050 | 1,873 |
4 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 21,940 | 21,264 |
4,10 Dell Equipment Finance Trust 2017-2 | 1.970% | 2/24/20 | 18,700 | 18,615 | |
4,10 Dell Equipment Finance Trust 2017-2 | 2.190% | 10/24/22 | 10,090 | 9,971 | |
4,10 DLL Securitization Trust Series 2017-A | 2.140% | 12/15/21 | 11,710 | 11,528 | |
4,10 DLL Securitization Trust Series 2017-A | 2.430% | 11/17/25 | 6,950 | 6,781 | |
10 | DNB Boligkreditt AS | 2.500% | 3/28/22 | 22,799 | 22,189 |
4,10 Drive Auto Receivables Trust 2015-AA | 3.060% | 5/17/21 | 2,590 | 2,594 | |
4,10 Drive Auto Receivables Trust 2015-AA | 4.120% | 7/15/22 | 5,860 | 5,911 | |
4,10 Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 3,002 | 3,002 | |
4,10 Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 10,490 | 10,573 | |
4,10 Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 4,562 | 4,567 | |
4,10 Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 15,845 | 16,027 |
4,10 Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 12,273 | 12,304 | |
4,10 Drive Auto Receivables Trust 2015-DA | 4.590% | 1/17/23 | 25,000 | 25,453 | |
4,10 Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 5,800 | 5,830 | |
4,10 Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 15,499 | 15,532 | |
4,10 Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 22,190 | 22,638 | |
4,10 Drive Auto Receivables Trust 2016-C | 2.370% | 11/16/20 | 13,295 | 13,286 | |
4,10 Drive Auto Receivables Trust 2016-C | 4.180% | 3/15/24 | 23,090 | 23,388 | |
4 | Drive Auto Receivables Trust 2017-1 | 1.860% | 3/16/20 | 8,500 | 8,497 |
4 | Drive Auto Receivables Trust 2017-1 | 3.840% | 3/15/23 | 2,400 | 2,418 |
4 | Drive Auto Receivables Trust 2017-3 | 1.650% | 8/15/19 | 11,365 | 11,358 |
4 | Drive Auto Receivables Trust 2017-3 | 2.300% | 5/17/21 | 20,350 | 20,272 |
4 | Drive Auto Receivables Trust 2017-3 | 2.800% | 7/15/22 | 25,870 | 25,704 |
10,14Edsouth Indenture No 9 LLC 2015-1 | 2.697% | 10/25/56 | 19,306 | 19,354 | |
4,10 ELFI Graduate Loan Program ELFI_18-A | 3.430% | 8/25/42 | 34,200 | 34,035 | |
4,10 Enterprise Fleet Financing LLC Series 2015-1 | 1.740% | 9/20/20 | 8,666 | 8,665 | |
4,10 Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 24,390 | 24,317 | |
4,10 Enterprise Fleet Financing LLC Series 2016-2 | 2.040% | 2/22/22 | 9,650 | 9,517 | |
4,10 Enterprise Fleet Financing LLC Series 2017-3 | 2.360% | 5/20/23 | 11,710 | 11,481 | |
4,10 Enterprise Fleet Financing LLC Series 2018-1 | 3.100% | 10/20/23 | 15,190 | 15,146 | |
10,14Evergreen Credit Card Trust Series 2017-1 | 2.157% | 10/15/21 | 32,695 | 32,695 | |
5,14 Fannie Mae Connecticut Avenue Securities | |||||
2016-C04 | 3.347% | 1/25/29 | 4,332 | 4,364 | |
5,14 Fannie Mae Connecticut Avenue Securities | |||||
2016-C05 | 3.247% | 1/25/29 | 1,778 | 1,786 | |
4,12 First Horizon Mortgage Pass-Through Trust | |||||
2006-AR3 | 3.095% | 11/25/36 | 6,133 | 5,654 | |
12 | First Horizon Mortgage Pass-Through Trust | ||||
2006-AR4 | 3.657% | 1/25/37 | 11,821 | 10,476 | |
14 | First National Master Note Trust 2017-2 | 2.337% | 10/16/23 | 17,910 | 17,929 |
4,10 Flagship Credit Auto Trust 2016-4 | 1.960% | 2/16/21 | 16,140 | 16,078 | |
4 | Ford Credit Auto Lease Trust 2017-B | 2.030% | 12/15/20 | 29,900 | 29,590 |
4 | Ford Credit Auto Lease Trust 2017-B | 2.170% | 2/15/21 | 15,130 | 14,936 |
4 | Ford Credit Auto Lease Trust 2018-A | 3.050% | 8/15/21 | 6,530 | 6,525 |
4 | Ford Credit Auto Lease Trust 2018-A | 3.170% | 9/15/21 | 11,780 | 11,767 |
4,10 Ford Credit Auto Owner Trust 2014-REV1 | 2.260% | 11/15/25 | 20,498 | 20,416 | |
4,10 Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 9,831 | 9,792 | |
4,10 Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 29,520 | 29,320 | |
4,10 Ford Credit Auto Owner Trust 2014-REV2 | 2.510% | 4/15/26 | 7,475 | 7,430 | |
4 | Ford Credit Auto Owner Trust 2015-C | 2.010% | 3/15/21 | 12,035 | 11,937 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.260% | 3/15/22 | 5,380 | 5,349 |
4,10 Ford Credit Auto Owner Trust 2015-REV2 | 2.440% | 1/15/27 | 61,000 | 60,251 | |
4 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 7,040 | 6,901 |
4,10 Ford Credit Auto Owner Trust 2016-REV1 | 2.310% | 8/15/27 | 20,800 | 20,367 | |
4,10 Ford Credit Auto Owner Trust 2016-REV2 | 2.030% | 12/15/27 | 74,340 | 71,881 | |
4,10 Ford Credit Auto Owner Trust 2017-1 | 2.620% | 8/15/28 | 21,295 | 20,866 | |
4,10 Ford Credit Auto Owner Trust 2017-2 | 2.360% | 3/15/29 | 38,380 | 36,985 | |
4,10 Ford Credit Auto Owner Trust 2017-2 | 2.600% | 3/15/29 | 6,826 | 6,577 | |
4,10 Ford Credit Auto Owner Trust 2017-2 | 2.750% | 3/15/29 | 13,976 | 13,443 | |
4,10 Ford Credit Auto Owner Trust 2018-REV1 | 3.190% | 7/15/31 | 101,570 | 99,560 | |
4,10 Ford Credit Auto Owner Trust 2018-REV1 | 3.340% | 7/15/31 | 32,080 | 31,508 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-4 | 2.100% | 6/15/20 | 6,180 | 6,180 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-4 | 2.290% | 6/15/20 | 6,630 | 6,630 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-4 | 2.790% | 6/15/20 | 2,650 | 2,651 |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 2.310% | 2/15/21 | 4,473 | 4,460 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-5 | 2.390% | 8/15/22 | 23,545 | 23,205 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2017-2 | 2.160% | 9/15/22 | 60,820 | 59,738 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2018-1 | 2.950% | 5/15/23 | 83,210 | 82,845 | |
5,14 Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA2 | 4.097% | 10/25/28 | 2,045 | 2,069 | |
5,14 Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 2.997% | 12/25/28 | 415 | 415 | |
5,14 Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 3.897% | 12/25/28 | 6,490 | 6,579 | |
5,10 Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 3.746% | 2/25/48 | 9,300 | 9,285 | |
4,10 FRS I LLC 2013-1A | 1.800% | 4/15/43 | 1,214 | 1,203 | |
4,10 FRS I LLC 2013-1A | 3.080% | 4/15/43 | 27,889 | 27,539 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
2 | 2.420% | 7/22/19 | 4,077 | 4,077 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
2 | 2.990% | 7/22/19 | 5,440 | 5,440 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 1.690% | 3/20/19 | 3,237 | 3,235 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 2.320% | 11/20/19 | 3,550 | 3,546 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 2.980% | 11/20/19 | 7,820 | 7,831 | |
4 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 3.480% | 8/20/20 | 7,820 | 7,833 | |
4 | GM Financial Automobile Leasing Trust 2016- | ||||
2 | 2.580% | 3/20/20 | 6,500 | 6,476 | |
4 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.010% | 11/20/20 | 21,480 | 21,244 | |
4 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.120% | 9/20/21 | 4,660 | 4,590 | |
4 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.400% | 9/20/21 | 8,440 | 8,300 | |
4 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.730% | 9/20/21 | 5,140 | 5,072 | |
4,10 GM Financial Consumer Automobile 2017-3 | 2.130% | 3/16/23 | 8,590 | 8,354 | |
4,10 GM Financial Consumer Automobile 2017-3 | 2.330% | 3/16/23 | 2,650 | 2,583 | |
4,12 GMACM Mortgage Loan Trust 2005-AR6 | 3.788% | 11/19/35 | 2,455 | 2,343 | |
4,10 GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 58,850 | 58,841 | |
4,10 GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 9,360 | 9,358 | |
4,10 GMF Floorplan Owner Revolving Trust 2016-1 | 2.410% | 5/17/21 | 12,009 | 11,924 | |
10,14GMF Floorplan Owner Revolving Trust 2016-1 | 2.747% | 5/17/21 | 21,346 | 21,484 | |
4,10 GMF Floorplan Owner Revolving Trust 2016-1 | 2.850% | 5/17/21 | 8,830 | 8,726 | |
10,14GMF Floorplan Owner Revolving Trust 2017-1 | 2.467% | 1/18/22 | 330 | 331 | |
4,10 GMF Floorplan Owner Revolving Trust 2017-2 | 2.130% | 7/15/22 | 54,900 | 53,838 | |
4,10 GMF Floorplan Owner Revolving Trust 2017-2 | 2.440% | 7/15/22 | 17,100 | 16,827 | |
4,10 GMF Floorplan Owner Revolving Trust 2017-2 | 2.630% | 7/15/22 | 9,380 | 9,182 | |
4,10 GMF Floorplan Owner Revolving Trust 2018-2 | 3.130% | 3/15/23 | 53,560 | 53,506 | |
4,10 Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 53,490 | 52,560 | |
4,10 Golden Credit Card Trust 2016-5A | 1.600% | 9/15/21 | 76,602 | 75,156 | |
4,10 Golden Credit Card Trust 2018-1A | 2.620% | 1/15/23 | 153,710 | 151,870 | |
4,10 GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 20,500 | 20,497 |
4,10 GreatAmerica Leasing Receivables Funding | |||||
LLC Series 2015-1 | 2.020% | 6/21/21 | 3,443 | 3,431 | |
4,10 GreatAmerica Leasing Receivables Funding | |||||
LLC Series 2018-1 | 2.600% | 6/15/21 | 7,910 | 7,849 | |
4,10 GreatAmerica Leasing Receivables Funding | |||||
LLC Series 2018-1 | 2.830% | 6/17/24 | 5,140 | 5,086 | |
4,10 GS Mortgage Securities Corporation II 2012- | |||||
BWTR | 2.954% | 11/5/34 | 36,047 | 34,976 | |
4 | GS Mortgage Securities Corporation II 2015- | ||||
GC30 | 3.382% | 5/10/50 | 24,410 | 24,015 | |
10 | GS Mortgage Securities Corporation Trust | ||||
2012-ALOHA | 3.551% | 4/10/34 | 32,716 | 32,976 | |
10 | GS Mortgage Securities Trust 2010-C2 | 5.355% | 12/10/43 | 3,530 | 3,656 |
4,10 GS Mortgage Securities Trust 2011-GC3 | 5.826% | 3/10/44 | 2,280 | 2,382 | |
4,10 GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,045 | |
GS Mortgage Securities Trust 2012-GCJ7 | 5.887% | 5/10/45 | 7,150 | 7,407 | |
GS Mortgage Securities Trust 2013-GC13 | 4.193% | 7/10/46 | 22,934 | 23,782 | |
10 | GS Mortgage Securities Trust 2013-GC13 | 4.226% | 7/10/46 | 5,650 | 5,509 |
GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 13,060 | 12,888 | |
GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 8,250 | 8,174 | |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 8,451 | 8,452 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 8,192 | 8,324 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 22,020 | 22,617 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 49,405 | 51,275 |
4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 41,343 | 42,377 |
4 | GS Mortgage Securities Trust 2014-GC20 | 4.258% | 4/10/47 | 1,410 | 1,418 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 44,760 | 45,635 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 13,246 | 13,410 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.641% | 9/10/47 | 10,665 | 10,943 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.662% | 9/10/47 | 17,556 | 17,363 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 19,370 | 19,174 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 47,290 | 47,469 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.136% | 2/10/48 | 39,290 | 38,372 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 40,515 | 39,921 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 4,636 | 4,675 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 26,732 | 26,533 |
GS Mortgage Securities Trust 2015-GC34 | 4.809% | 10/10/48 | 12,080 | 11,951 | |
4 | GS Mortgage Securities Trust 2018-GS9 | 3.992% | 3/10/51 | 4,990 | 5,081 |
10 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 26,340 | 25,896 |
4,10,11 Hertz Fleet Lease Funding LP 2018-1 | 3.230% | 5/10/32 | 37,080 | 37,074 | |
4,10 Hertz Vehicle Financing II LP 2015-3A | 2.670% | 9/25/21 | 6,785 | 6,671 | |
4,10 Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 14,756 | 14,519 | |
4,10 Hertz Vehicle Financing II LP 2016-3A | 2.270% | 7/25/20 | 5,330 | 5,278 | |
4,10 Hertz Vehicle Financing II LP 2018-1A | 3.290% | 2/25/24 | 17,360 | 16,981 | |
4,10 Hertz Vehicle Financing II LP 2018-1A | 3.600% | 2/25/24 | 24,170 | 23,590 | |
4,10 Hertz Vehicle Financing II LP 2018-1A | 4.390% | 2/25/24 | 3,670 | 3,600 | |
4,10 Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 40,540 | 40,469 | |
4,10 Hertz Vehicle Financing LLC 2017-2A | 3.290% | 10/25/23 | 5,306 | 5,204 | |
4,10 Hertz Vehicle Financing LLC 2017-2A | 4.200% | 10/25/23 | 18,190 | 18,350 | |
4,10 Hilton USA Trust 2016-HHV | 3.719% | 11/5/38 | 3,950 | 3,919 | |
10,13Holmes Master Issuer plc 2018-1 | 2.708% | 10/15/54 | 33,040 | 33,027 | |
4 | Honda Auto Receivables 2017-4 Owner Trust | 2.050% | 11/22/21 | 43,040 | 42,582 |
4 | Honda Auto Receivables 2017-4 Owner Trust | 2.210% | 3/21/24 | 6,410 | 6,284 |
4,10 Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 40,670 | 39,199 | |
4,10 Hudsons Bay Simon JV Trust 2015-HB7 | 3.914% | 8/5/34 | 14,750 | 14,559 | |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2015-B | 2.210% | 5/15/20 | 10,858 | 10,857 |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2017-C | 2.120% | 2/16/21 | 36,130 | 35,765 | |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2017-C | 2.210% | 9/15/21 | 7,090 | 6,992 | |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2017-C | 2.460% | 7/15/22 | 6,480 | 6,372 | |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2018-A | 2.810% | 4/15/21 | 47,455 | 47,312 | |
4,10 Hyundai Auto Lease Securitization Trust | |||||
2018-A | 2.890% | 3/15/22 | 15,010 | 14,954 | |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 8,282 | 8,276 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 5,710 | 5,712 |
4 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 10,050 | 10,039 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.150% | 11/15/21 | 3,510 | 3,477 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.550% | 11/15/21 | 8,360 | 8,305 |
13 | Illinois Student Assistance Commission Series | ||||
2010-1 | 3.410% | 4/25/22 | 2,872 | 2,879 | |
4,10,14 Invitation Homes 2015-SFR2 Trust | 3.246% | 6/17/32 | 7,270 | 7,271 | |
4,10,14 Invitation Homes 2015-SFR2 Trust | 3.545% | 6/17/32 | 2,850 | 2,850 | |
4,10,14 Invitation Homes 2015-SFR3 Trust | 3.646% | 8/17/32 | 3,200 | 3,200 | |
4,10,14 Invitation Homes 2017-SFR2 Trust | 2.746% | 12/17/36 | 29,156 | 29,180 | |
4,10,14 Invitation Homes 2017-SFR2 Trust | 3.045% | 12/17/36 | 9,957 | 9,995 | |
4,10,14 Invitation Homes 2018-SFR1 Trust | 2.595% | 3/17/37 | 41,023 | 41,091 | |
4,10,14 Invitation Homes 2018-SFR1 Trust | 2.846% | 3/17/37 | 9,890 | 9,947 | |
4,10 Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 14,791 | 14,588 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2009-IWST | 5.633% | 12/5/27 | 6,185 | 6,360 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2010-C1 | 4.608% | 6/15/43 | 1,304 | 1,328 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2010-C2 | 4.070% | 11/15/43 | 3,230 | 3,290 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2010-C2 | 5.828% | 11/15/43 | 7,100 | 7,283 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2010-C2 | 5.828% | 11/15/43 | 6,225 | 6,407 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2011-C3 | 4.388% | 2/15/46 | 198 | 198 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2011-C3 | 4.717% | 2/15/46 | 27,191 | 28,214 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2011-C5 | 5.588% | 8/15/46 | 4,100 | 4,329 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 2,778 | 2,859 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 15,645 | 15,742 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 12,562 | 12,326 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2012-C8 | 3.424% | 10/15/45 | 4,030 | 3,987 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-CIBX | 4.271% | 6/15/45 | 27,000 | 27,603 | |
4,10 JP Morgan Chase Commercial Mortgage | |||||
Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 5,750 | 5,701 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-LC9 | 2.840% | 12/15/47 | 40,130 | 39,307 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 3.994% | 1/15/46 | 15,150 | 15,561 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 4.187% | 1/15/46 | 9,350 | 9,238 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 9,630 | 9,751 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 2,330 | 2,368 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 14,880 | 15,381 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.517% | 12/15/46 | 14,600 | 15,115 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 5.112% | 12/15/46 | 21,150 | 22,134 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 5.177% | 12/15/46 | 9,770 | 10,053 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 28,354 | 27,776 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 3.461% | 7/15/47 | 31,250 | 31,431 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2016-JP4 | 3.648% | 12/15/49 | 14,370 | 14,366 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2017-JP6 | 3.490% | 7/15/50 | 12,517 | 12,313 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.664% | 7/15/45 | 17,866 | 18,093 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 4.167% | 7/15/45 | 7,520 | 7,629 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.761% | 8/15/46 | 17,400 | 17,660 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.133% | 8/15/46 | 13,870 | 14,355 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 5,202 | 5,207 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 3.659% | 11/15/45 | 4,050 | 4,100 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.131% | 11/15/45 | 27,200 | 28,125 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.927% | 11/15/45 | 17,820 | 18,544 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 5.248% | 11/15/45 | 13,495 | 13,988 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.199% | 1/15/47 | 22,860 | 23,668 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 36,630 | 37,693 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.439% | 2/15/47 | 12,950 | 13,400 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.974% | 2/15/47 | 13,200 | 13,661 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.974% | 2/15/47 | 5,850 | 5,892 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.639% | 11/15/47 | 10,310 | 10,349 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.231% | 1/15/48 | 29,560 | 28,875 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.494% | 1/15/48 | 48,480 | 48,344 |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C27 | 3.179% | 2/15/48 | 16,945 | 16,531 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.551% | 7/15/48 | 23,680 | 23,470 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.822% | 7/15/48 | 51,330 | 52,149 | |
JPMBB Commercial Mortgage Securities | |||||
Trust 2015-C30 | 4.226% | 7/15/48 | 15,901 | 16,309 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C31 | 3.801% | 8/15/48 | 21,082 | 21,380 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C32 | 3.598% | 11/15/48 | 12,061 | 12,068 | |
JPMBB Commercial Mortgage Securities | |||||
Trust 2015-C33 | 3.770% | 12/15/48 | 22,187 | 22,373 | |
4 | JPMCC Commercial Mortgage Securities | ||||
Trust 2017-JP5 | 3.723% | 3/15/50 | 33,410 | 33,580 | |
4 | JPMCC Commercial Mortgage Securities | ||||
Trust 2017-JP7 | 3.454% | 9/15/50 | 10,675 | 10,497 | |
4 | JPMDB Commercial Mortgage Securities | ||||
Trust 2017-C7 | 3.409% | 10/15/50 | 10,453 | 10,239 | |
Korea Housing Finance Corp. | 1.625% | 9/15/18 | 13,550 | 13,474 | |
4,10,13 Lanark Master Issuer plc 2018-1A | 2.236% | 12/22/69 | 30,450 | 30,431 | |
4,10 Laurel Road Prime Student Loan Trust 2017- | |||||
C | 2.810% | 11/25/42 | 27,530 | 26,761 | |
4,10,11 Laurel Road Prime Student Loan Trust 2018- | |||||
B | 3.540% | 5/26/43 | 30,280 | 30,254 | |
4,10 LCCM 2014-909 Mortgage Trust | 3.388% | 5/15/31 | 18,640 | 18,635 | |
4,10 Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 12,460 | 12,616 | |
4,10,14 Master Credit Card Trust II Series 2018-1A | 2.388% | 7/22/24 | 58,850 | 58,982 | |
4 | MASTR Adjustable Rate Mortgages Trust | ||||
2004-3 | 3.579% | 4/25/34 | 658 | 661 | |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.200% | 4/15/20 | 50,740 | 50,585 |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.410% | 2/16/21 | 76,170 | 75,620 |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.510% | 10/16/23 | 7,580 | 7,510 |
4 | Merrill Lynch Mortgage Investors Trust MLMI | ||||
Series 2003-A2 | 3.952% | 2/25/33 | 1,141 | 1,077 | |
4 | Merrill Lynch Mortgage Investors Trust MLMI | ||||
Series 2003-A4 | 3.861% | 7/25/33 | 496 | 511 | |
4,10 Miramax LLC 2014-1A | 3.340% | 7/20/26 | 2,191 | 2,180 | |
4,10 MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 3,336 | 3,333 | |
4,10 MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 33,860 | 33,260 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.176% | 8/15/45 | 21,548 | 21,415 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.792% | 8/15/45 | 2,000 | 2,001 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C6 | 2.858% | 11/15/45 | 5,796 | 5,700 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C10 | 4.217% | 7/15/46 | 28,493 | 29,389 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C10 | 4.217% | 7/15/46 | 3,372 | 3,236 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.085% | 8/15/46 | 4,427 | 4,430 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.960% | 8/15/46 | 8,445 | 8,608 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.310% | 8/15/46 | 24,216 | 25,008 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 3.824% | 10/15/46 | 8,080 | 8,229 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 4.259% | 10/15/46 | 3,830 | 3,973 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.039% | 11/15/46 | 8,300 | 8,533 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,284 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 3.214% | 2/15/46 | 2,940 | 2,885 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C9 | 3.102% | 5/15/46 | 27,425 | 26,928 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.064% | 2/15/47 | 16,600 | 17,020 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.384% | 2/15/47 | 17,500 | 17,990 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C15 | 3.773% | 4/15/47 | 43,080 | 43,723 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C15 | 4.051% | 4/15/47 | 22,440 | 23,014 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C15 | 5.053% | 4/15/47 | 1,895 | 1,941 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.892% | 6/15/47 | 38,845 | 39,575 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.094% | 6/15/47 | 9,540 | 9,717 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.480% | 6/15/47 | 22,920 | 23,411 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.913% | 6/15/47 | 12,300 | 12,195 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C17 | 3.741% | 8/15/47 | 32,178 | 32,496 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C17 | 4.011% | 8/15/47 | 7,460 | 7,498 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 3.923% | 10/15/47 | 13,400 | 13,687 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C19 | 3.326% | 12/15/47 | 17,350 | 17,361 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C19 | 3.526% | 12/15/47 | 23,220 | 23,305 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C20 | 3.069% | 2/15/48 | 21,800 | 21,638 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C20 | 3.249% | 2/15/48 | 37,941 | 37,224 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.451% | 7/15/50 | 4,230 | 4,184 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.719% | 7/15/50 | 11,828 | 11,918 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C24 | 3.479% | 5/15/48 | 20,280 | 20,100 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C24 | 3.732% | 5/15/48 | 15,854 | 15,978 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.635% | 10/15/48 | 7,814 | 7,842 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C29 | 4.910% | 5/15/49 | 2,210 | 2,223 |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C32 | 3.720% | 12/15/49 | 28,827 | 28,968 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2017-C34 | 3.536% | 11/15/52 | 19,660 | 19,238 | |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 16,052 | 15,965 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,500 | 2,504 |
4,10 Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 17,287 | 16,767 | |
4,10 Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 27,955 | 28,243 | |
10 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 24,440 | 24,531 |
4,10 Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/12/50 | 28,871 | 28,648 | |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 40,034 | 40,500 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 4.741% | 12/15/48 | 11,440 | 11,332 |
4 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 7,437 | 6,963 |
4 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 11,485 | 11,479 |
4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.509% | 12/15/50 | 5,420 | 5,400 |
4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 6,765 | 6,696 |
4 | Morgan Stanley Mortgage Loan Trust 2006- | ||||
8AR | 3.341% | 6/25/36 | 6,011 | 6,213 | |
10,14Motor plc 2017 1A | 2.427% | 9/25/24 | 45,520 | 45,429 | |
4,10 MSBAM Commercial Mortgage Securities | |||||
Trust 2012-CKSV | 3.277% | 10/15/30 | 37,985 | 36,766 | |
10 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 29,260 | 28,531 |
10 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 49,860 | 48,442 |
14 | Navient Student Loan Trust 2015-3 | 2.547% | 6/26/56 | 23,540 | 23,601 |
10,14Navient Student Loan Trust 2016-3 | 2.747% | 6/25/65 | 7,990 | 8,058 | |
10,14Navient Student Loan Trust 2016-6A | 2.647% | 3/25/66 | 30,520 | 30,864 | |
10,14Navient Student Loan Trust 2017-4A | 2.397% | 9/27/66 | 11,080 | 11,128 | |
10,14Navient Student Loan Trust 2017-A | 2.297% | 12/16/58 | 13,736 | 13,750 | |
4,10 Navient Student Loan Trust 2017-A | 2.880% | 12/16/58 | 17,580 | 17,098 | |
10,14Navient Student Loan Trust 2018-1 | 2.087% | 3/25/67 | 27,137 | 27,126 | |
10,14Navient Student Loan Trust 2018-1 | 2.247% | 3/25/67 | 36,100 | 36,089 | |
10,14Navient Student Loan Trust 2018-1 | 2.617% | 3/25/67 | 44,620 | 44,717 | |
10,14Navistar Financial Dealer Note Master Trust II | |||||
2016-1A | 3.247% | 9/27/21 | 28,280 | 28,392 | |
14 | New Mexico Educational Assistance | ||||
Foundation 2013-1 | 2.583% | 1/2/25 | 15,827 | 15,803 | |
4,10 NextGear Floorplan Master Owner Trust | |||||
2016-1A | 2.740% | 4/15/21 | 15,220 | 15,200 | |
4 | Nissan Auto Lease Trust 2017-B | 2.050% | 9/15/20 | 30,500 | 30,187 |
4 | Nissan Auto Lease Trust 2017-B | 2.170% | 12/15/21 | 8,520 | 8,401 |
4 | Nissan Auto Receivables 2017-C Owner Trust | 2.120% | 4/18/22 | 39,090 | 38,515 |
4 | Nissan Auto Receivables 2017-C Owner Trust | 2.280% | 2/15/24 | 22,040 | 21,589 |
4,14 Nissan Master Owner Trust Receivables | |||||
Series 2017-C | 2.217% | 10/17/22 | 100,840 | 100,943 | |
4,10 OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 10,065 | 10,299 | |
4,10 Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 8,360 | 8,164 | |
4,10,14 Pepper Residential Securities Trust 2017A- | |||||
A1UA | 2.997% | 3/10/58 | 15,767 | 15,788 | |
4,10,14 Pepper Residential Securities Trust 2018A- | |||||
A1UA | 2.844% | 3/12/47 | 2,750 | 2,754 | |
4,10,14 Pepper Residential Securities Trust 2019A- | |||||
A1U1 | 2.244% | 10/12/18 | 28,700 | 28,673 | |
4,10,14 Pepper Residential Securities Trust 2020A- | |||||
A1U1 | 2.443% | 3/16/19 | 22,020 | 21,876 | |
4,10 PFS Financing Corp 2017-B | 2.220% | 7/15/22 | 20,500 | 20,071 | |
4,10,14 PFS Financing Corp. 2017-C | 2.367% | 10/15/21 | 32,830 | 32,906 | |
4,10 PFS Financing Corp. 2017-D | 2.400% | 10/17/22 | 34,130 | 33,481 |
4,10 PFS Financing Corp. 2018-D | 3.190% | 4/17/23 | 12,740 | 12,696 | |
10,14PHEAA Student Loan Trust 2016-2A | 2.847% | 11/25/65 | 31,197 | 31,276 | |
4,10 Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 7,200 | 7,094 | |
4,10 Progress Residential 2015-SFR3 Trust | 3.067% | 11/12/32 | 25,018 | 24,847 | |
4,10 Progress Residential 2015-SFR3 Trust | 3.733% | 11/12/32 | 9,310 | 9,325 | |
4,10 Progress Residential 2017-SFR2 Trust | 2.897% | 12/17/34 | 15,540 | 15,013 | |
4,10 Progress Residential 2017-SFR2 Trust | 3.196% | 12/17/34 | 4,030 | 3,911 | |
4,10 Progress Residential 2018-SFR1 Trust | 3.255% | 3/17/35 | 17,818 | 17,462 | |
4,10 Progress Residential 2018-SFR1 Trust | 3.484% | 3/17/35 | 2,220 | 2,188 | |
4,10,13 Resimac Premier Series 2014-1A | 2.789% | 12/12/45 | 7,539 | 7,492 | |
4,10,14 Resimac Premier Series 2016-1A | 3.287% | 10/10/47 | 46,782 | 47,043 | |
4,12 RFMSI Series 2006-SA2 Trust | 4.595% | 8/25/36 | 13,777 | 11,907 | |
4,12 RFMSI Series 2006-SA3 Trust | 4.747% | 9/25/36 | 4,735 | 4,116 | |
Royal Bank of Canada | 2.200% | 9/23/19 | 7,813 | 7,744 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 2,287 | 2,236 | |
4 | Royal Bank of Canada | 1.875% | 2/5/21 | 8,785 | 8,631 |
Royal Bank of Canada | 2.300% | 3/22/21 | 7,976 | 7,783 | |
4 | Santander Drive Auto Receivables Trust | ||||
2015-3 | 3.490% | 5/17/21 | 14,985 | 15,076 | |
4 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.260% | 6/15/20 | 2,056 | 2,056 | |
4 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.970% | 3/15/21 | 24,580 | 24,610 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-1 | 2.470% | 12/15/20 | 16,919 | 16,913 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.080% | 2/16/21 | 6,995 | 6,977 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.660% | 11/15/21 | 4,600 | 4,592 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 3.390% | 4/15/22 | 4,120 | 4,126 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 1.890% | 6/15/21 | 20,710 | 20,630 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 2.460% | 3/15/22 | 33,200 | 32,985 | |
4 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 1.870% | 6/15/21 | 11,550 | 11,481 | |
4 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 2.760% | 12/15/22 | 5,760 | 5,686 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.100% | 11/16/20 | 64,770 | 64,529 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.320% | 8/16/21 | 17,650 | 17,528 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.630% | 7/15/22 | 40,300 | 39,813 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.960% | 3/15/24 | 35,160 | 34,632 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 3.320% | 3/15/24 | 15,340 | 15,050 | |
4,10 Santander Retail Auto Lease Trust 2017-A | 2.370% | 1/20/22 | 7,110 | 7,012 | |
4,10 Santander Retail Auto Lease Trust 2017-A | 2.680% | 1/20/22 | 5,660 | 5,585 | |
4,10 Santander Retail Auto Lease Trust 2018-A | 2.930% | 5/20/21 | 31,400 | 31,305 | |
4,10 Santander Retail Auto Lease Trust 2018-A | 3.060% | 4/20/22 | 11,010 | 10,973 | |
4,10 Santander Retail Auto Lease Trust 2018-A | 3.200% | 4/20/22 | 9,390 | 9,356 | |
4,10 Santander Retail Auto Lease Trust 2018-A | 3.490% | 5/20/22 | 21,865 | 21,784 | |
4,10 Securitized Term Auto Receivables Trust | |||||
2016-1A | 1.524% | 3/25/20 | 11,500 | 11,443 |
4,10 Securitized Term Auto Receivables Trust | |||||
2016-1A | 1.794% | 2/25/21 | 12,930 | 12,675 | |
4,10 Securitized Term Auto Receivables Trust | |||||
2017-2A | 2.289% | 3/25/22 | 10,240 | 9,927 | |
4,10,11 Securitized Term Auto Receivables Trust | |||||
2018-1A | 3.298% | 11/25/22 | 5,360 | 5,360 | |
4,10 SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 3,327 | 3,344 | |
4,10 SLM Private Education Loan Trust 2011-B | 3.740% | 2/15/29 | 24,828 | 24,984 | |
4,10 SLM Private Education Loan Trust 2011-C | 4.540% | 10/17/44 | 9,887 | 10,035 | |
4,10 SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 1,140 | 1,141 | |
10,14SLM Private Education Loan Trust 2013-A | 2.947% | 5/17/27 | 12,123 | 12,165 | |
4,10 SLM Private Education Loan Trust 2013-A | 2.500% | 3/15/47 | 8,000 | 7,893 | |
4,10 SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 10,034 | 9,955 | |
4,10 SLM Private Education Loan Trust 2013-B | 3.000% | 5/16/44 | 14,700 | 14,409 | |
4,10 SLM Private Education Loan Trust 2013-C | 3.500% | 6/15/44 | 5,860 | 5,857 | |
4,10 SLM Private Education Loan Trust 2014-A | 2.590% | 1/15/26 | 2,653 | 2,646 | |
4,10 SLM Private Education Loan Trust 2014-A | 3.500% | 11/15/44 | 4,100 | 4,045 | |
13 SLM Student Loan Trust 2005-5 | 2.460% | 4/25/25 | 1,846 | 1,846 | |
4 | SMART ABS Series 2016-2US Trust | 2.050% | 12/14/22 | 4,780 | 4,645 |
4,10 SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 13,434 | 13,145 | |
10,14SMB Private Education Loan Trust 2016-B | 3.347% | 2/17/32 | 12,556 | 12,872 | |
10,14SMB Private Education Loan Trust 2016-C | 2.997% | 9/15/34 | 12,920 | 13,137 | |
10,14SMB Private Education Loan Trust 2017-A | 2.797% | 9/15/34 | 15,573 | 15,776 | |
4,10 SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 19,780 | 19,191 | |
4,10 SMB Private Education Loan Trust 2018-A | 3.500% | 2/15/36 | 51,170 | 50,874 | |
4,10 SoFi Professional Loan Program 2016-B LLC | 2.740% | 10/25/32 | 9,990 | 9,851 | |
4,10 SoFi Professional Loan Program 2016-C LLC | 2.360% | 12/27/32 | 6,120 | 5,930 | |
4,10 SoFi Professional Loan Program 2016-D LLC | 2.340% | 4/25/33 | 6,405 | 6,183 | |
10,14SoFi Professional Loan Program 2016-D LLC | 2.847% | 1/25/39 | 4,404 | 4,458 | |
4,10 SoFi Professional Loan Program 2017-A LLC | 2.400% | 3/26/40 | 2,112 | 2,047 | |
4,10 SoFi Professional Loan Program 2017-B LLC | 2.740% | 5/25/40 | 14,150 | 13,757 | |
10,14SoFi Professional Loan Program 2017-C LLC | 2.497% | 7/25/40 | 2,647 | 2,654 | |
10 | SoFi Professional Loan Program 2017-D LLC | 2.650% | 9/25/40 | 7,540 | 7,339 |
4,10 SoFi Professional Loan Program 2017-E LLC | 1.860% | 11/26/40 | 34,751 | 34,314 | |
4,10 SoFi Professional Loan Program 2017-E LLC | 2.720% | 11/26/40 | 9,940 | 9,671 | |
4,10 SoFi Professional Loan Program 2017-F LLC | 2.050% | 1/25/41 | 30,659 | 30,407 | |
4,10 SoFi Professional Loan Program 2017-F LLC | 2.840% | 1/25/41 | 12,320 | 11,997 | |
4,10 SoFi Professional Loan Program 2018-A LLC | 2.390% | 2/25/42 | 36,560 | 36,323 | |
4,10 SoFi Professional Loan Program 2018-A LLC | 2.950% | 2/25/42 | 15,490 | 15,166 | |
4,10 SoFi Professional Loan Program 2018-B LLC | 3.340% | 8/25/47 | 27,178 | 27,020 | |
10 Stadshypotek AB | 1.875% | 10/2/19 | 35,320 | 34,832 | |
10 Stadshypotek AB | 1.750% | 4/9/20 | 15,923 | 15,547 | |
10 Stadshypotek AB | 2.500% | 4/5/22 | 32,630 | 31,660 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2015-1 | 2.370% | 3/15/23 | 8,025 | 7,940 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2015-4 | 2.380% | 9/15/23 | 34,390 | 33,862 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-1 | 2.390% | 3/15/22 | 48,153 | 48,002 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-2 | 2.950% | 5/15/24 | 10,715 | 10,511 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.580% | 9/15/22 | 16,935 | 16,663 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.910% | 9/15/22 | 29,333 | 28,910 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 2.620% | 10/15/25 | 31,940 | 31,037 |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 2.820% | 10/15/25 | 9,688 | 9,405 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 3.010% | 10/15/25 | 13,000 | 12,618 | |
4 | Synchrony Credit Card Master Note Trust | ||||
Series 2012-2 | 2.220% | 1/15/22 | 43,200 | 43,084 | |
4,10 Taco Bell Funding LLC 2016-1A | 4.377% | 5/25/46 | 8,447 | 8,607 | |
4,10 Taco Bell Funding LLC 2016-1A | 4.970% | 5/25/46 | 13,548 | 13,884 | |
4,10 Tesla Auto Lease Trust 2018-A | 2.320% | 12/20/19 | 41,045 | 40,888 | |
4,10 Tesla Auto Lease Trust 2018-A | 2.750% | 2/20/20 | 1,480 | 1,472 | |
4,10 Tesla Auto Lease Trust 2018-A | 2.970% | 4/20/20 | 1,180 | 1,173 | |
4,10 Tesla Auto Lease Trust 2018-A | 3.300% | 5/20/20 | 1,330 | 1,319 | |
4,10 Tesla Auto Lease Trust 2018-A | 4.940% | 3/22/21 | 560 | 556 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.120% | 7/15/22 | 20,770 | 20,768 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.450% | 11/15/24 | 4,346 | 4,346 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.840% | 11/15/24 | 4,873 | 4,872 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 4.300% | 11/15/24 | 1,449 | 1,449 | |
4,10 TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 24,260 | 23,986 | |
10 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 2,210 | 2,157 |
4 | Toyota Auto Receivables 2017-D Owner Trust | 2.120% | 2/15/23 | 2,790 | 2,723 |
4 | Toyota Auto Receivables 2018-A Owner Trust | 2.350% | 5/16/22 | 110,490 | 109,428 |
4 | Toyota Auto Receivables 2018-A Owner Trust | 2.520% | 5/15/23 | 7,287 | 7,195 |
4,10 Trafigura Securitisation Finance plc 2017-1A | 2.470% | 12/15/20 | 47,250 | 46,194 | |
10,14Trillium Credit Card Trust II 2016-1A | 2.618% | 5/26/21 | 125,220 | 125,278 | |
4,10 Trip Rail Master Funding LLC 2017-1A | 2.709% | 8/15/47 | 3,830 | 3,774 | |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,250 | 1,278 |
4 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 13,995 | 13,824 |
4,10 UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 25,038 | 24,886 | |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2012-C4 | 2.850% | 12/10/45 | 9,054 | 8,846 | |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2013-C6 | 3.244% | 4/10/46 | 7,560 | 7,487 | |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2013-C6 | 3.469% | 4/10/46 | 2,304 | 2,296 | |
4,10 Vantage Data Centers Issuer, LLC 2018-1A | 4.072% | 2/16/43 | 15,689 | 15,775 | |
4,10 Verizon Owner Trust 2016-2A | 1.680% | 5/20/21 | 41,285 | 40,811 | |
4,10 Verizon Owner Trust 2017-2A | 1.920% | 12/20/21 | 40,800 | 40,208 | |
4,10 Verizon Owner Trust 2017-3 | 2.060% | 4/20/22 | 30,000 | 29,516 | |
4,10 Verizon Owner Trust 2017-3 | 2.380% | 4/20/22 | 17,380 | 17,057 | |
4,10 Verizon Owner Trust 2017-3 | 2.530% | 4/20/22 | 18,650 | 18,321 | |
4,10 Verizon Owner Trust 2018-1 | 2.820% | 9/20/22 | 65,060 | 64,806 | |
4,10 Verizon Owner Trust 2018-1 | 3.050% | 9/20/22 | 23,660 | 23,540 | |
4,10 VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 13,561 | 13,356 | |
4,10 VNDO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 11,130 | 11,250 | |
10 | VNDO 2013-PENN Mortgage Trust | 4.079% | 12/13/29 | 3,270 | 3,298 |
10 | VNDO 2013-PENN Mortgage Trust | 4.079% | 12/13/29 | 2,450 | 2,456 |
4,10 Volvo Financial Equipment LLC Series 2016- | |||||
1A | 1.890% | 9/15/20 | 9,220 | 9,120 | |
10,14Volvo Financial Equipment Master Owner | |||||
Trust 2017-A | 2.397% | 11/15/22 | 9,810 | 9,835 | |
4 | WaMu Mortgage Pass-Through Certificates | ||||
Series 2002-AR18 Trust | 3.611% | 1/25/33 | 120 | 121 | |
4 | WaMu Mortgage Pass-Through Certificates | ||||
Series 2003-AR7 Trust | 3.132% | 8/25/33 | 666 | 678 | |
4 | WaMu Mortgage Pass-Through Certificates | ||||
Series 2003-AR9 Trust | 3.339% | 9/25/33 | 999 | 1,027 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 2.918% | 10/15/45 | 29,944 | 29,447 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 3.539% | 10/15/45 | 1,650 | 1,645 |
Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 3.928% | 7/15/46 | 8,075 | 8,256 |
Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.218% | 7/15/46 | 35,262 | 36,548 |
Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.426% | 7/15/46 | 4,906 | 5,060 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 3.817% | 8/15/50 | 43,100 | 43,745 |
Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.020% | 8/15/50 | 7,100 | 7,087 |
Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.322% | 8/15/50 | 12,250 | 12,588 |
Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.458% | 8/15/50 | 6,830 | 6,757 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.405% | 12/15/47 | 3,285 | 3,241 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C26 | 3.166% | 2/15/48 | 26,570 | 25,837 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C27 | 3.190% | 2/15/48 | 36,515 | 35,652 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C27 | 3.451% | 2/15/48 | 32,460 | 32,106 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 3.637% | 6/15/48 | 54,193 | 54,163 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 4.366% | 6/15/48 | 12,420 | 12,026 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 3.411% | 9/15/58 | 22,214 | 22,116 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 3.664% | 9/15/58 | 20,610 | 20,618 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 4.067% | 9/15/58 | 17,222 | 17,600 |
Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 4.646% | 9/15/58 | 11,490 | 11,315 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 3.839% | 9/15/58 | 18,856 | 19,084 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 4.207% | 9/15/58 | 8,550 | 8,812 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 4.693% | 9/15/58 | 14,300 | 14,035 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2015-SG1 | 3.789% | 9/15/48 | 33,065 | 33,255 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2016-C32 | 3.560% | 1/15/59 | 21,780 | 21,619 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2016-C37 | 3.525% | 12/15/49 | 9,590 | 9,464 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2016-C37 | 3.794% | 12/15/49 | 11,500 | 11,560 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2017-C38 | 3.453% | 7/15/50 | 15,680 | 15,336 |
4 Wells Fargo Commercial Mortgage Trust | ||||
2017-C39 | 3.157% | 9/15/50 | 5,750 | 5,513 |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C39 | 3.418% | 9/15/50 | 65,280 | 63,617 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C40 | 3.581% | 10/15/50 | 45,250 | 44,650 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C41 | 3.472% | 11/15/50 | 39,807 | 38,922 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C42 | 3.589% | 12/15/50 | 17,855 | 17,691 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-RC1 | 3.631% | 1/15/60 | 6,900 | 6,847 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2018-C43 | 4.012% | 3/15/51 | 55,010 | 56,205 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2018-C43 | 4.514% | 3/15/51 | 5,973 | 5,920 | |
14 | Wells Fargo Dealer Floorplan Master Note | ||||
Trust | 2.547% | 1/20/22 | 17,030 | 17,124 | |
4,12 Wells Fargo Mortgage Backed Securities | |||||
2006-AR14 Trust | 3.628% | 10/25/36 | 9,140 | 8,958 | |
4,10 Wendys Funding LLC 2015-1A | 4.080% | 6/15/45 | 5,984 | 6,018 | |
4,10 Wendys Funding LLC 2015-1A | 4.497% | 6/15/45 | 6,328 | 6,388 | |
4,10 Wendys Funding LLC 2018-1 | 3.573% | 3/15/48 | 6,458 | 6,289 | |
4,10 Wendys Funding LLC 2018-1 | 3.884% | 3/15/48 | 9,711 | 9,462 | |
10 | Westpac Banking Corp. | 2.000% | 3/3/20 | 30,961 | 30,457 |
10 | Westpac Banking Corp. | 2.250% | 11/9/20 | 23,930 | 23,427 |
10 | Westpac Banking Corp. | 2.100% | 2/25/21 | 2,395 | 2,326 |
10 | WFLD 2014-MONT Mortgage Trust | 3.880% | 8/10/31 | 35,485 | 35,432 |
4,10 WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 11,719 | 12,079 | |
4 | WFRBS Commercial Mortgage Trust 2012- | ||||
C10 | 2.875% | 12/15/45 | 10,955 | 10,732 | |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 11,800 | 11,840 |
WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 5,056 | 5,075 | |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 4,491 | 4,441 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 24,344 | 23,872 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,860 | 2,828 |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C13 | 3.345% | 5/15/45 | 2,230 | 2,191 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 3.720% | 8/15/46 | 22,490 | 22,854 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 4.153% | 8/15/46 | 14,980 | 15,492 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C16 | 4.415% | 9/15/46 | 14,650 | 15,342 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C17 | 3.558% | 12/15/46 | 3,500 | 3,538 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C17 | 4.023% | 12/15/46 | 9,770 | 10,045 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 3.676% | 12/15/46 | 6,710 | 6,799 | |
4 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 4.162% | 12/15/46 | 27,830 | 28,799 | |
WFRBS Commercial Mortgage Trust 2013- | |||||
C18 | 4.812% | 12/15/46 | 5,775 | 6,088 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 3.829% | 3/15/47 | 30,300 | 30,795 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 4.101% | 3/15/47 | 23,553 | 24,269 |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 3.995% | 5/15/47 | 40,481 | 41,401 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 4.378% | 5/15/47 | 11,110 | 11,264 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 4.513% | 5/15/47 | 4,500 | 4,356 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.410% | 8/15/47 | 1,665 | 1,655 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.678% | 8/15/47 | 45,230 | 45,599 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.891% | 8/15/47 | 7,130 | 7,081 | |
WFRBS Commercial Mortgage Trust 2014- | |||||
C21 | 4.234% | 8/15/47 | 12,290 | 11,851 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C23 | 3.650% | 10/15/57 | 13,000 | 13,086 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C23 | 3.917% | 10/15/57 | 10,655 | 10,875 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
C24 | 3.607% | 11/15/47 | 24,615 | 24,651 | |
4 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 3.766% | 3/15/47 | 2,690 | 2,714 | |
WFRBS Commercial Mortgage Trust 2014- | |||||
LC14 | 4.045% | 3/15/47 | 46,983 | 48,302 | |
4 | World Omni Auto Receivables Trust 2016-B | 1.300% | 2/15/22 | 18,425 | 18,137 |
4 | World Omni Auto Receivables Trust 2018-A | 2.730% | 2/15/24 | 16,040 | 15,870 |
4 | World Omni Auto Receivables Trust 2018-A | 2.890% | 4/15/25 | 8,670 | 8,573 |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2018-A | 2.830% | 7/15/21 | 41,890 | 41,743 | |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2018-A | 2.940% | 5/15/23 | 12,590 | 12,543 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $13,546,020) | 13,367,288 | ||||
Corporate Bonds (55.2%) | |||||
Finance (26.5%) | |||||
Banking (22.0%) | |||||
American Express Credit Corp. | 2.125% | 3/18/19 | 17,349 | 17,261 | |
American Express Credit Corp. | 1.875% | 5/3/19 | 51,135 | 50,672 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 24,247 | 24,068 | |
American Express Credit Corp. | 1.700% | 10/30/19 | 13,020 | 12,801 | |
American Express Credit Corp. | 2.200% | 3/3/20 | 44,955 | 44,337 | |
American Express Credit Corp. | 2.200% | 10/30/20 | 158,870 | 155,450 | |
American Express Credit Corp. | 2.250% | 5/5/21 | 24,988 | 24,303 | |
10 | ANZ New Zealand International Ltd. | 2.200% | 7/17/20 | 29,275 | 28,651 |
10 | Australia & New Zealand Banking Group Ltd. | 2.250% | 12/19/19 | 124,445 | 123,192 |
Australia & New Zealand Banking Group Ltd. | 2.625% | 11/9/22 | 77,968 | 75,001 | |
10 | Banco Santander Chile | 2.500% | 12/15/20 | 82,940 | 80,969 |
Bank of America Corp. | 5.650% | 5/1/18 | 15,500 | 15,501 | |
Bank of America Corp. | 1.950% | 5/12/18 | 29,300 | 29,296 | |
Bank of America Corp. | 2.600% | 1/15/19 | 17,203 | 17,209 | |
Bank of America Corp. | 2.625% | 10/19/20 | 43,700 | 43,196 | |
Bank of America Corp. | 2.151% | 11/9/20 | 4,515 | 4,410 | |
Bank of America Corp. | 2.625% | 4/19/21 | 37,900 | 37,232 | |
4 | Bank of America Corp. | 2.369% | 7/21/21 | 170,765 | 167,444 |
4 | Bank of America Corp. | 2.328% | 10/1/21 | 146,370 | 143,015 |
4 | Bank of America Corp. | 3.124% | 1/20/23 | 44,075 | 43,373 |
4 | Bank of America Corp. | 2.881% | 4/24/23 | 29,055 | 28,188 |
4,10 Bank of America Corp. | 3.004% | 12/20/23 | 102,823 | 99,787 |
4 | Bank of America Corp. | 3.550% | 3/5/24 | 137,585 | 136,534 |
Bank of America Corp. | 3.875% | 8/1/25 | 9,555 | 9,463 | |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 3,460 | 3,450 | |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 19,120 | 18,964 | |
Bank of Nova Scotia | 2.050% | 6/5/19 | 10,850 | 10,746 | |
Bank of Nova Scotia | 1.650% | 6/14/19 | 25,515 | 25,160 | |
Bank of Nova Scotia | 2.228% | 12/11/19 | 249,005 | 246,022 | |
Bank of Nova Scotia | 2.150% | 7/14/20 | 18,590 | 18,218 | |
Bank of Nova Scotia | 2.500% | 1/8/21 | 36,955 | 36,259 | |
10 | Banque Federative du Credit Mutuel SA | 2.000% | 4/12/19 | 16,290 | 16,170 |
10 | Banque Federative du Credit Mutuel SA | 2.200% | 7/20/20 | 66,200 | 64,715 |
10 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 52,970 | 52,306 |
10 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 25,495 | 24,861 |
10 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 34,855 | 33,698 |
BB&T Corp. | 2.050% | 6/19/18 | 18,058 | 18,053 | |
BB&T Corp. | 2.450% | 1/15/20 | 46,684 | 46,167 | |
10 | BNP Paribas SA | 3.375% | 1/9/25 | 112,130 | 107,099 |
BPCE SA | 2.500% | 7/15/19 | 7,500 | 7,453 | |
15 | BPCE SA | 3.355% | 4/24/20 | 19,310 | 14,696 |
15 | BPCE SA | 3.500% | 4/24/20 | 7,950 | 6,052 |
Branch Banking & Trust Co. | 2.100% | 1/15/20 | 21,000 | 20,680 | |
Branch Banking & Trust Co. | 2.250% | 6/1/20 | 86,765 | 85,281 | |
Branch Banking & Trust Co. | 2.625% | 1/15/22 | 55,389 | 54,023 | |
Canadian Imperial Bank of Commerce | 2.550% | 6/16/22 | 26,845 | 26,121 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 11,650 | 11,624 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 24,420 | 24,312 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 22,420 | 22,256 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 25,525 | 25,448 | |
Capital One Financial Corp. | 3.050% | 3/9/22 | 26,645 | 26,037 | |
Citibank NA | 2.100% | 6/12/20 | 64,165 | 62,844 | |
Citibank NA | 2.125% | 10/20/20 | 216,530 | 211,076 | |
Citibank NA | 2.850% | 2/12/21 | 262,150 | 259,355 | |
Citigroup Inc. | 1.750% | 5/1/18 | 54,775 | 54,774 | |
Citigroup Inc. | 2.150% | 7/30/18 | 7,400 | 7,397 | |
Citigroup Inc. | 2.550% | 4/8/19 | 29,097 | 29,080 | |
Citigroup Inc. | 2.500% | 7/29/19 | 21,060 | 20,972 | |
Citigroup Inc. | 2.450% | 1/10/20 | 25,170 | 24,925 | |
Citigroup Inc. | 2.650% | 10/26/20 | 68,589 | 67,655 | |
Citigroup Inc. | 2.700% | 3/30/21 | 13,175 | 12,956 | |
Citigroup Inc. | 2.750% | 4/25/22 | 63,390 | 61,605 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 66,065 | 65,840 | |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 46,435 | 46,030 | |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 21,490 | 21,167 | |
10 | Commonwealth Bank of Australia | 2.050% | 9/18/20 | 71,235 | 69,363 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 18,055 | 17,695 | |
10 | Commonwealth Bank of Australia | 2.000% | 9/6/21 | 13,615 | 13,070 |
10 | Commonwealth Bank of Australia | 2.750% | 3/10/22 | 68,580 | 66,898 |
10 | Commonwealth Bank of Australia | 2.500% | 9/18/22 | 51,168 | 49,099 |
10 | Commonwealth Bank of Australia | 3.450% | 3/16/23 | 129,374 | 128,488 |
15 | Commonwealth Bank of Australia | 3.720% | 11/5/24 | 14,900 | 11,385 |
Compass Bank | 2.875% | 6/29/22 | 63,420 | 61,124 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 80,199 | 79,095 | |
15 | Cooperatieve Rabobank UA | 5.000% | 7/2/20 | 10,800 | 8,366 |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 7,800 | 7,981 | |
15 | Cooperatieve Rabobank UA | 4.535% | 7/2/25 | 17,100 | 13,184 |
4,10 Credit Agricole SA | 4.000% | 1/10/33 | 19,425 | 18,189 | |
Credit Suisse AG | 2.300% | 5/28/19 | 40,490 | 40,318 |
4,10 Credit Suisse Group AG | 2.997% | 12/14/23 | 20,000 | 19,215 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 23,415 | 23,269 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 11,110 | 11,103 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 26,350 | 26,176 | |
10 | Danske Bank A/S | 2.750% | 9/17/20 | 23,273 | 23,011 |
Deutsche Bank AG | 2.500% | 2/13/19 | 7,225 | 7,189 | |
Deutsche Bank AG | 2.700% | 7/13/20 | 83,100 | 81,435 | |
Deutsche Bank AG | 3.150% | 1/22/21 | 81,800 | 80,282 | |
Discover Bank | 2.600% | 11/13/18 | 24,412 | 24,399 | |
10 | DNB Bank ASA | 2.125% | 10/2/20 | 71,230 | 69,631 |
10 | Federation des Caisses Desjardins du | ||||
Quebec | 2.250% | 10/30/20 | 86,625 | 84,553 | |
Fifth Third Bank | 2.300% | 3/15/19 | 26,956 | 26,881 | |
Fifth Third Bank | 2.375% | 4/25/19 | 25,627 | 25,566 | |
Fifth Third Bank | 1.625% | 9/27/19 | 42,565 | 41,798 | |
Fifth Third Bank | 2.200% | 10/30/20 | 46,125 | 45,033 | |
Fifth Third Bank | 2.250% | 6/14/21 | 28,181 | 27,398 | |
First Republic Bank | 2.375% | 6/17/19 | 47,605 | 47,247 | |
First Republic Bank | 2.500% | 6/6/22 | 86,865 | 83,243 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 81,521 | 81,647 | |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 68,810 | 68,819 | |
Goldman Sachs Group Inc. | 1.950% | 7/23/19 | 68,305 | 67,517 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 27,660 | 27,511 | |
Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 123,150 | 121,715 | |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 20,957 | 21,818 | |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 73,455 | 72,706 | |
Goldman Sachs Group Inc. | 2.600% | 12/27/20 | 245,978 | 242,278 | |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 131,344 | 129,715 | |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 77,334 | 75,645 | |
Goldman Sachs Group Inc. | 2.350% | 11/15/21 | 900 | 866 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 37,173 | 40,010 | |
Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 93,455 | 91,406 | |
4 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 90,995 | 88,548 |
4 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 123,680 | 119,650 |
4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 60,495 | 57,550 |
4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 83,430 | 82,049 |
4 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 53,525 | 51,919 |
HSBC Holdings plc | 3.400% | 3/8/21 | 18,015 | 18,061 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 51,495 | 50,865 | |
HSBC Holdings plc | 2.650% | 1/5/22 | 75,105 | 72,708 | |
4 | HSBC Holdings plc | 3.262% | 3/13/23 | 202,450 | 199,320 |
HSBC Holdings plc | 3.600% | 5/25/23 | 9,675 | 9,655 | |
4 | HSBC Holdings plc | 3.033% | 11/22/23 | 52,855 | 51,380 |
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 35,575 | 34,843 |
HSBC Holdings plc | 6.000% | 11/22/65 | 10,760 | 10,620 | |
HSBC Holdings plc | 6.250% | 9/23/66 | 52,920 | 53,752 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 48,435 | 48,017 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 71,305 | 70,678 | |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 34,190 | 34,191 | |
Huntington National Bank | 2.000% | 6/30/18 | 53,720 | 53,694 | |
Huntington National Bank | 2.200% | 11/6/18 | 21,120 | 21,078 | |
Huntington National Bank | 2.375% | 3/10/20 | 54,920 | 54,182 | |
Huntington National Bank | 2.875% | 8/20/20 | 33,581 | 33,374 | |
Huntington National Bank | 2.500% | 8/7/22 | 55,115 | 52,876 | |
ICICI Bank Ltd. | 4.000% | 3/18/26 | 10,895 | 10,363 | |
10 | ING Bank NV | 2.500% | 10/1/19 | 25,080 | 24,830 |
10 | ING Bank NV | 2.450% | 3/16/20 | 24,430 | 24,031 |
10 | ING Bank NV | 2.700% | 8/17/20 | 3,907 | 3,858 |
ING Groep NV | 3.150% | 3/29/22 | 32,120 | 31,615 | |
13 | Intesa Sanpaolo SPA | 2.983% | 7/17/19 | 129,745 | 129,822 |
10 | Intesa Sanpaolo SPA | 3.125% | 7/14/22 | 5,000 | 4,822 |
10 | Intesa Sanpaolo SPA | 3.375% | 1/12/23 | 43,900 | 42,508 |
10 | Intesa Sanpaolo SPA | 3.875% | 7/14/27 | 25,201 | 23,644 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 3,685 | 3,684 | |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 13,806 | 13,675 | |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 36,258 | 35,831 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 118,678 | 117,840 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 25,589 | 26,233 | |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 120,454 | 118,697 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 24,825 | 24,350 | |
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 41,642 | 40,552 | |
4 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 66,700 | 64,716 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 16,765 | 16,049 | |
4 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 86,030 | 85,583 |
4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 68,985 | 66,484 |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 38,225 | 36,047 | |
4 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 15,845 | 15,398 |
4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 54,430 | 53,357 |
KeyBank NA | 2.350% | 3/8/19 | 50,143 | 50,040 | |
KeyBank NA | 2.500% | 11/22/21 | 5,765 | 5,628 | |
Lloyds Banking Group plc | 3.000% | 1/11/22 | 16,255 | 15,918 | |
4 | Lloyds Banking Group plc | 2.907% | 11/7/23 | 78,040 | 75,036 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 38,480 | 38,399 | |
Manufacturers & Traders Trust Co. | 2.050% | 8/17/20 | 34,335 | 33,502 | |
13 | Manufacturers & Traders Trust Co. | 2.646% | 12/1/21 | 9,755 | 9,756 |
Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 14,920 | 14,392 | |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 29,613 | 29,284 | |
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 134,270 | 129,669 | |
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 76,075 | 75,606 | |
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 2,400 | 2,396 | |
10 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 40,390 | 40,038 |
10 | Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 30,625 | 30,125 |
Mizuho Bank Ltd. | 2.340% | 12/4/19 | 185,675 | 183,504 | |
Morgan Stanley | 2.450% | 2/1/19 | 36,506 | 36,467 | |
Morgan Stanley | 2.375% | 7/23/19 | 40,577 | 40,382 | |
Morgan Stanley | 5.625% | 9/23/19 | 7,458 | 7,721 | |
Morgan Stanley | 2.650% | 1/27/20 | 55,713 | 55,370 | |
Morgan Stanley | 2.800% | 6/16/20 | 50,742 | 50,385 | |
Morgan Stanley | 2.500% | 4/21/21 | 42,819 | 41,794 | |
Morgan Stanley | 2.625% | 11/17/21 | 172,919 | 168,349 | |
Morgan Stanley | 2.750% | 5/19/22 | 79,850 | 77,390 | |
Morgan Stanley | 3.125% | 1/23/23 | 65,955 | 64,422 | |
13 | Morgan Stanley | 3.011% | 5/8/24 | 31,700 | 32,275 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 29,300 | 28,841 | |
10 | MUFG Bank Ltd. | 2.300% | 3/10/19 | 11,750 | 11,696 |
10 | MUFG Bank Ltd. | 2.300% | 3/5/20 | 86,293 | 84,889 |
10 | MUFG Bank Ltd. | 2.750% | 9/14/20 | 79,000 | 78,006 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 24,420 | 24,252 | |
National Australia Bank Ltd. | 1.375% | 7/12/19 | 20,250 | 19,926 | |
National Australia Bank Ltd. | 2.250% | 1/10/20 | 34,555 | 34,082 | |
National Australia Bank Ltd. | 1.875% | 7/12/21 | 10,000 | 9,561 | |
National Australia Bank Ltd. | 2.800% | 1/10/22 | 4,275 | 4,186 | |
National Australia Bank Ltd. | 2.500% | 5/22/22 | 22,760 | 21,920 | |
National Bank of Canada | 2.150% | 6/12/20 | 39,130 | 38,394 |
National Bank of Canada | 2.200% | 11/2/20 | 151,645 | 147,652 | |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 8,419 | |
4,10 Nationwide Building Society | 3.766% | 3/8/24 | 37,520 | 37,051 | |
10 | Nordea Bank AB | 2.500% | 9/17/20 | 12,568 | 12,380 |
4 | Oversea-Chinese Banking Corp. Ltd. | 4.000% | 10/15/24 | 19,600 | 19,664 |
PNC Bank NA | 2.250% | 7/2/19 | 44,590 | 44,378 | |
PNC Bank NA | 2.400% | 10/18/19 | 71,148 | 70,638 | |
PNC Bank NA | 2.300% | 6/1/20 | 14,636 | 14,400 | |
PNC Bank NA | 2.600% | 7/21/20 | 43,010 | 42,537 | |
PNC Bank NA | 2.450% | 11/5/20 | 15,636 | 15,370 | |
PNC Bank NA | 2.150% | 4/29/21 | 14,236 | 13,819 | |
PNC Bank NA | 2.550% | 12/9/21 | 29,340 | 28,573 | |
PNC Bank NA | 2.625% | 2/17/22 | 89,020 | 86,589 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 7,230 | 7,493 | |
Regions Bank | 7.500% | 5/15/18 | 7,579 | 7,593 | |
Regions Financial Corp. | 2.750% | 8/14/22 | 10,605 | 10,224 | |
Royal Bank of Canada | 2.150% | 3/15/19 | 30,550 | 30,402 | |
Royal Bank of Canada | 1.500% | 7/29/19 | 53,815 | 52,937 | |
Royal Bank of Canada | 2.150% | 10/26/20 | 223,633 | 218,612 | |
Royal Bank of Canada | 2.350% | 10/30/20 | 7,170 | 7,034 | |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 17,071 | 17,027 | |
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 60,955 | 60,377 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 52,605 | 50,964 | |
Santander UK plc | 2.000% | 8/24/18 | 16,087 | 16,054 | |
Santander UK plc | 2.500% | 3/14/19 | 65,240 | 65,100 | |
Santander UK plc | 2.350% | 9/10/19 | 64,539 | 63,929 | |
Skandinaviska Enskilda Banken AB | 2.300% | 3/11/20 | 42,260 | 41,626 | |
Skandinaviska Enskilda Banken AB | 5.750% | 12/31/49 | 19,975 | 20,166 | |
Sumitomo Mitsui Banking Corp. | 2.092% | 10/18/19 | 90,305 | 88,956 | |
Sumitomo Mitsui Banking Corp. | 2.514% | 1/17/20 | 124,290 | 123,052 | |
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 62,735 | 60,819 | |
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 28,480 | 27,507 | |
SunTrust Bank | 2.250% | 1/31/20 | 34,185 | 33,742 | |
SunTrust Bank | 2.450% | 8/1/22 | 55,075 | 52,801 | |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 16,407 | 16,224 | |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 22,830 | 22,801 | |
Svenska Handelsbanken AB | 1.500% | 9/6/19 | 14,415 | 14,138 | |
Svenska Handelsbanken AB | 1.950% | 9/8/20 | 34,155 | 33,213 | |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 62,135 | 60,674 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 35,465 | 33,828 | |
10 | Swedbank AB | 2.800% | 3/14/22 | 53,955 | 52,840 |
Synchrony Bank | 3.000% | 6/15/22 | 60,010 | 57,718 | |
Synchrony Financial | 2.600% | 1/15/19 | 16,640 | 16,609 | |
Synchrony Financial | 3.000% | 8/15/19 | 93,195 | 92,938 | |
Synchrony Financial | 2.700% | 2/3/20 | 39,200 | 38,736 | |
Synchrony Financial | 4.250% | 8/15/24 | 3,425 | 3,369 | |
Synchrony Financial | 4.500% | 7/23/25 | 9,645 | 9,503 | |
Toronto-Dominion Bank | 1.450% | 8/13/19 | 3,313 | 3,258 | |
Toronto-Dominion Bank | 1.900% | 10/24/19 | 182,690 | 180,050 | |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 41,410 | 41,012 | |
UBS AG | 2.350% | 3/26/20 | 8,300 | 8,176 | |
10 | UBS AG | 2.200% | 6/8/20 | 85,550 | 83,729 |
10 | UBS AG | 2.450% | 12/1/20 | 144,035 | 140,973 |
10 | UBS Group Funding Jersey Ltd. | 2.950% | 9/24/20 | 9,507 | 9,423 |
10 | UBS Group Funding Jersey Ltd. | 3.000% | 4/15/21 | 40,062 | 39,467 |
10 | UBS Group Funding Jersey Ltd. | 2.650% | 2/1/22 | 43,420 | 41,876 |
10 | UBS Group Funding Switzerland AG | 3.491% | 5/23/23 | 64,690 | 63,503 |
4,10 UBS Group Funding Switzerland AG | 2.859% | 8/15/23 | 150,408 | 144,094 | |
4 | United Overseas Bank Ltd. | 3.750% | 9/19/24 | 11,360 | 11,365 |
US Bank NA | 2.125% | 10/28/19 | 20,765 | 20,558 | |
US Bank NA | 2.050% | 10/23/20 | 73,201 | 71,426 | |
11,16Washington Mutual Bank / Debt not acquired | |||||
by JPMorgan | 6.875% | 6/15/11 | 21,983 | 2 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 16,480 | 16,306 | |
Wells Fargo & Co. | 2.100% | 7/26/21 | 19,560 | 18,785 | |
Wells Fargo & Co. | 2.625% | 7/22/22 | 96,200 | 92,392 | |
Wells Fargo Bank NA | 2.400% | 1/15/20 | 303,485 | 300,754 | |
Westpac Banking Corp. | 1.600% | 8/19/19 | 40,090 | 39,438 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 35,464 | 36,442 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 3,665 | 3,600 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 8,810 | 8,690 | |
Westpac Banking Corp. | 2.650% | 1/25/21 | 104,055 | 102,505 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 29,034 | 28,058 | |
Westpac Banking Corp. | 2.000% | 8/19/21 | 81,740 | 78,510 | |
Westpac Banking Corp. | 2.750% | 1/11/23 | 108,480 | 104,920 | |
Westpac Banking Corp. | 3.350% | 3/8/27 | 15,340 | 14,692 | |
4 | Westpac Banking Corp. | 4.322% | 11/23/31 | 40,250 | 39,406 |
Brokerage (0.2%) | |||||
Brookfield Finance Inc. | 3.900% | 1/25/28 | 39,685 | 37,735 | |
Charles Schwab Corp. | 2.650% | 1/25/23 | 20,840 | 20,166 | |
Jefferies Group LLC / Jefferies Group Capital | |||||
Finance Inc. | 4.150% | 1/23/30 | 9,905 | 9,074 | |
Legg Mason Inc. | 2.700% | 7/15/19 | 5,860 | 5,828 | |
11,16Lehman Brothers Holdings E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 | |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 26,430 | 26,362 | |
Stifel Financial Corp. | 3.500% | 12/1/20 | 10,695 | 10,670 | |
Stifel Financial Corp. | 4.250% | 7/18/24 | 2,880 | 2,857 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 17,515 | 17,213 | |
Finance Companies (0.5%) | |||||
GE Capital International Funding Co. | |||||
Unlimited Co. | 2.342% | 11/15/20 | 243,198 | 237,422 | |
GE Capital International Funding Co. | |||||
Unlimited Co. | 4.418% | 11/15/35 | 38,095 | 36,189 | |
10 | SMBC Aviation Capital Finance DAC | 2.650% | 7/15/21 | 14,555 | 14,065 |
Insurance (2.6%) | |||||
Aetna Inc. | 1.700% | 6/7/18 | 17,865 | 17,855 | |
Aetna Inc. | 2.800% | 6/15/23 | 9,565 | 9,079 | |
Aflac Inc. | 3.625% | 6/15/23 | 5,860 | 5,898 | |
10 | AIG Global Funding | 2.150% | 7/2/20 | 14,635 | 14,323 |
10 | AIG Global Funding | 2.700% | 12/15/21 | 13,080 | 12,756 |
Alleghany Corp. | 5.625% | 9/15/20 | 8,890 | 9,336 | |
American International Group Inc. | 2.300% | 7/16/19 | 5,036 | 4,989 | |
American International Group Inc. | 4.125% | 2/15/24 | 6,155 | 6,185 | |
American International Group Inc. | 3.750% | 7/10/25 | 8,264 | 8,038 | |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 25,904 | 27,327 | |
AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 1,508 | 1,576 | |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 14,650 | 14,559 | |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 24,144 | 24,172 | |
Berkshire Hathaway Finance Corp. | 1.300% | 8/15/19 | 36,720 | 36,103 | |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 4,875 | 4,838 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 57,493 | 55,944 |
Brighthouse Financial Inc. | 3.700% | 6/22/27 | 16,720 | 15,050 | |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 35,020 | 34,322 | |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 9,920 | 9,711 | |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 5,875 | 5,678 | |
17 | Chubb INA Holdings Inc. | 2.500% | 3/15/38 | 64,929 | 79,667 |
Enstar Group Ltd. | 4.500% | 3/10/22 | 28,334 | 28,228 | |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 9,875 | 9,871 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 19,265 | 18,952 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 3,325 | 3,458 | |
Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 38,840 | 37,780 | |
10 | MassMutual Global Funding II | 2.100% | 8/2/18 | 12,735 | 12,724 |
10 | MassMutual Global Funding II | 1.950% | 9/22/20 | 43,160 | 42,031 |
10 | MassMutual Global Funding II | 2.500% | 4/13/22 | 5,590 | 5,407 |
10 | MassMutual Global Funding II | 2.500% | 10/17/22 | 19,165 | 18,392 |
10 | MassMutual Global Funding II | 2.750% | 6/22/24 | 24,695 | 23,522 |
MetLife Inc. | 6.817% | 8/15/18 | 13,300 | 13,476 | |
MetLife Inc. | 7.717% | 2/15/19 | 9,219 | 9,567 | |
MetLife Inc. | 5.250% | 12/29/49 | 7,005 | 7,159 | |
10 | Metropolitan Life Global Funding I | 2.300% | 4/10/19 | 21,731 | 21,648 |
10 | Metropolitan Life Global Funding I | 1.550% | 9/13/19 | 18,115 | 17,789 |
10 | Metropolitan Life Global Funding I | 2.400% | 1/8/21 | 149,585 | 146,553 |
10 | Metropolitan Life Global Funding I | 1.950% | 9/15/21 | 19,535 | 18,662 |
10 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 11,200 | 10,924 |
10 | New York Life Global Funding | 1.950% | 2/11/20 | 17,975 | 17,658 |
10 | New York Life Global Funding | 1.950% | 9/28/20 | 51,900 | 50,534 |
10 | New York Life Global Funding | 2.900% | 1/17/24 | 9,918 | 9,587 |
10 | Pricoa Global Funding I | 2.550% | 11/24/20 | 6,830 | 6,728 |
10 | Pricoa Global Funding I | 2.200% | 6/3/21 | 9,790 | 9,475 |
10 | Pricoa Global Funding I | 2.450% | 9/21/22 | 17,390 | 16,678 |
10 | Principal Life Global Funding II | 2.204% | 12/11/19 | 216,925 | 214,114 |
10 | Principal Life Global Funding II | 2.200% | 4/8/20 | 28,665 | 28,198 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 10,442 | 10,963 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 1,423 | 1,468 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 10,789 | 11,198 | |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 12,290 | 12,430 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 21,183 | 22,218 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 21,496 | 21,016 | |
10 | Reliance Standard Life Global Funding II | 2.150% | 10/15/18 | 27,320 | 27,250 |
10 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 52,630 | 51,966 |
10 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 18,020 | 17,680 |
10 | Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 8,275 | 8,204 |
10 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 102,062 | 101,473 |
10 | Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 9,070 | 8,796 |
10 | TIAA Asset Management Finance Co. LLC | 2.950% | 11/1/19 | 60,100 | 60,147 |
Torchmark Corp. | 9.250% | 6/15/19 | 7,053 | 7,527 | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,273 | 2,276 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 2,930 | 3,025 | |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,300 | 4,374 | |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 20,510 | 20,500 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 10,980 | 10,925 | |
Other Finance (0.1%) | |||||
10 | Mitsui Fudosan Co. Ltd. | 2.950% | 1/23/23 | 9,595 | 9,379 |
ORIX Corp. | 2.900% | 7/18/22 | 22,445 | 21,696 | |
Real Estate Investment Trusts (1.1%) | |||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 29,896 | 29,632 |
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 45,115 | 42,926 | |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 24,280 | 24,233 | |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 7,205 | 7,084 | |
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 40,025 | 38,096 | |
Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 26,820 | 25,856 | |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 5,895 | 5,714 | |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 29,930 | 28,976 | |
Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 19,510 | 18,429 | |
Camden Property Trust | 4.875% | 6/15/23 | 2,400 | 2,515 | |
Camden Property Trust | 4.250% | 1/15/24 | 5,900 | 6,037 | |
Camden Property Trust | 3.500% | 9/15/24 | 1,785 | 1,748 | |
DDR Corp. | 3.625% | 2/1/25 | 2,951 | 2,799 | |
DDR Corp. | 4.250% | 2/1/26 | 13,025 | 12,689 | |
Digital Realty Trust LP | 3.400% | 10/1/20 | 22,047 | 22,099 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 34,798 | 35,071 | |
ERP Operating LP | 2.375% | 7/1/19 | 4,875 | 4,845 | |
ERP Operating LP | 4.750% | 7/15/20 | 2,349 | 2,419 | |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 9,351 | 9,165 | |
10 | Goodman Australia Industrial Fund | 3.400% | 9/30/26 | 17,000 | 15,861 |
HCP Inc. | 2.625% | 2/1/20 | 12,357 | 12,203 | |
HCP Inc. | 4.250% | 11/15/23 | 7,420 | 7,488 | |
HCP Inc. | 4.200% | 3/1/24 | 7,815 | 7,797 | |
HCP Inc. | 3.400% | 2/1/25 | 11,470 | 10,858 | |
HCP Inc. | 4.000% | 6/1/25 | 8,880 | 8,698 | |
Healthcare Trust of America Holdings LP | 2.950% | 7/1/22 | 14,635 | 14,183 | |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 13,139 | 12,955 | |
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 9,850 | 9,224 | |
Liberty Property LP | 4.750% | 10/1/20 | 10,940 | 11,267 | |
Liberty Property LP | 3.750% | 4/1/25 | 3,575 | 3,496 | |
Realty Income Corp. | 5.750% | 1/15/21 | 3,905 | 4,120 | |
Realty Income Corp. | 3.250% | 10/15/22 | 63,430 | 62,257 | |
Realty Income Corp. | 3.875% | 4/15/25 | 19,295 | 18,966 | |
Realty Income Corp. | 4.125% | 10/15/26 | 19,045 | 18,811 | |
10 | Scentre Group Trust 1 / Scentre Group Trust | ||||
2 | 3.750% | 3/23/27 | 28,575 | 27,682 | |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 36,150 | 36,074 | |
Simon Property Group LP | 4.375% | 3/1/21 | 7,375 | 7,587 | |
Simon Property Group LP | 2.350% | 1/30/22 | 12,290 | 11,834 | |
Ventas Realty LP | 3.500% | 2/1/25 | 3,330 | 3,200 | |
VEREIT Operating Partnership LP | 3.000% | 2/6/19 | 22,495 | 22,458 | |
Welltower Inc. | 4.125% | 4/1/19 | 46,860 | 47,235 | |
16,259,924 | |||||
Industrial (24.5%) | |||||
Basic Industry (0.6%) | |||||
10 | Air Liquide Finance SA | 1.375% | 9/27/19 | 44,940 | 43,985 |
10 | Air Liquide Finance SA | 1.750% | 9/27/21 | 61,675 | 58,667 |
10 | Air Liquide Finance SA | 2.250% | 9/27/23 | 8,407 | 7,865 |
Airgas Inc. | 2.375% | 2/15/20 | 14,825 | 14,658 | |
10 | Chevron Phillips Chemical Co LLC / Chevron | ||||
Phillips Chemical Co LP | 3.300% | 5/1/23 | 34,115 | 33,969 | |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 27,383 | 27,570 | |
15 | Glencore Australia Holdings Pty Ltd. | 4.500% | 9/19/19 | 4,160 | 3,196 |
Nutrien Ltd. | 6.750% | 1/15/19 | 31,740 | 32,585 | |
Nutrien Ltd. | 6.500% | 5/15/19 | 11,456 | 11,880 | |
PPG Industries Inc. | 2.300% | 11/15/19 | 27,820 | 27,585 | |
Praxair Inc. | 4.500% | 8/15/19 | 29,565 | 30,215 | |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 4,708 | 4,767 |
WestRock MWV LLC | 7.375% | 9/1/19 | 23,265 | 24,542 | |
WestRock RKT Co. | 4.450% | 3/1/19 | 11,114 | 11,239 | |
WestRock RKT Co. | 4.900% | 3/1/22 | 2,745 | 2,866 | |
WestRock RKT Co. | 4.000% | 3/1/23 | 21,986 | 22,242 | |
Capital Goods (3.3%) | |||||
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 8,400 | 8,782 | |
10 | Berry Global Inc. | 4.500% | 2/15/26 | 7,875 | 7,521 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 25,314 | 25,217 | |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 47,540 | 49,082 | |
Caterpillar Financial Services Corp. | 1.900% | 3/22/19 | 11,936 | 11,856 | |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 32,370 | 31,927 | |
Caterpillar Financial Services Corp. | 2.000% | 11/29/19 | 39,145 | 38,685 | |
Caterpillar Financial Services Corp. | 1.850% | 9/4/20 | 9,755 | 9,498 | |
Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 100,075 | 95,456 | |
Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 7,020 | 6,776 | |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 21,550 | 21,118 | |
CNH Industrial Capital LLC | 3.375% | 7/15/19 | 16,065 | 16,085 | |
CNH Industrial Capital LLC | 4.375% | 11/6/20 | 19,978 | 20,403 | |
CNH Industrial Capital LLC | 4.875% | 4/1/21 | 3,830 | 3,959 | |
CNH Industrial Capital LLC | 3.875% | 10/15/21 | 8,470 | 8,491 | |
CNH Industrial Capital LLC | 4.375% | 4/5/22 | 23,205 | 23,495 | |
CNH Industrial NV | 3.850% | 11/15/27 | 25,555 | 24,405 | |
Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 8,565 | 9,143 | |
General Electric Co. | 5.625% | 5/1/18 | 5,855 | 5,856 | |
General Electric Co. | 6.000% | 8/7/19 | 30,727 | 31,831 | |
General Electric Co. | 5.500% | 1/8/20 | 24,796 | 25,753 | |
General Electric Co. | 2.200% | 1/9/20 | 61,468 | 60,619 | |
General Electric Co. | 5.550% | 5/4/20 | 22,442 | 23,460 | |
General Electric Co. | 4.375% | 9/16/20 | 78,135 | 80,203 | |
General Electric Co. | 4.625% | 1/7/21 | 115,359 | 119,174 | |
General Electric Co. | 5.300% | 2/11/21 | 20,191 | 21,174 | |
General Electric Co. | 4.650% | 10/17/21 | 46,909 | 48,847 | |
General Electric Co. | 2.700% | 10/9/22 | 11,411 | 10,996 | |
17 | General Electric Co. | 2.125% | 5/17/37 | 44,225 | 49,813 |
General Electric Co. | 4.500% | 3/11/44 | 60,755 | 58,100 | |
General Electric Co. | 5.000% | 12/31/49 | 423,529 | 419,294 | |
10 | General Electric Co. / LJ VP Holdings LLC | 3.800% | 6/18/19 | 15,205 | 15,358 |
10 | Huntington Ingalls Industries Inc. | 5.000% | 11/15/25 | 41,710 | 43,743 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 17,075 | 17,140 | |
John Deere Capital Corp. | 2.300% | 9/16/19 | 33,675 | 33,420 | |
John Deere Capital Corp. | 1.250% | 10/9/19 | 18,800 | 18,401 | |
John Deere Capital Corp. | 1.950% | 6/22/20 | 24,390 | 23,871 | |
John Deere Capital Corp. | 2.375% | 7/14/20 | 51,283 | 50,579 | |
John Deere Capital Corp. | 2.450% | 9/11/20 | 43,491 | 42,897 | |
John Deere Capital Corp. | 2.350% | 1/8/21 | 73,165 | 71,810 | |
John Deere Capital Corp. | 2.800% | 3/4/21 | 32,710 | 32,380 | |
John Deere Capital Corp. | 3.900% | 7/12/21 | 9,760 | 9,958 | |
John Deere Capital Corp. | 2.650% | 6/24/24 | 14,645 | 13,900 | |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 3,615 | 3,619 | |
Raytheon Co. | 4.400% | 2/15/20 | 2,070 | 2,124 | |
10 | Siemens Financieringsmaatschappij NV | 2.200% | 3/16/20 | 225,720 | 223,005 |
10 | Siemens Financieringsmaatschappij NV | 2.150% | 5/27/20 | 5,262 | 5,186 |
Textron Inc. | 7.250% | 10/1/19 | 12,114 | 12,780 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 46,770 | 47,121 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 6,720 | 7,006 |
United Rentals North America Inc. | 5.500% | 5/15/27 | 9,830 | 9,781 | |
Communication (2.6%) | |||||
21st Century Fox America Inc. | 7.250% | 5/18/18 | 7,205 | 7,220 | |
Activision Blizzard Inc. | 2.300% | 9/15/21 | 15,350 | 14,815 | |
Activision Blizzard Inc. | 2.600% | 6/15/22 | 24,400 | 23,551 | |
10 | Activision Blizzard Inc. | 6.125% | 9/15/23 | 22,008 | 22,888 |
America Movil SAB de CV | 5.000% | 10/16/19 | 19,268 | 19,772 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 52,683 | 54,281 | |
10 | American Tower Trust #1 | 3.652% | 3/23/28 | 13,190 | 13,051 |
AT&T Inc. | 5.600% | 5/15/18 | 6,038 | 6,045 | |
AT&T Inc. | 5.800% | 2/15/19 | 27,420 | 28,044 | |
AT&T Inc. | 5.875% | 10/1/19 | 62,076 | 64,565 | |
AT&T Inc. | 5.200% | 3/15/20 | 14,209 | 14,727 | |
AT&T Inc. | 2.800% | 2/17/21 | 48,131 | 47,526 | |
AT&T Inc. | 3.000% | 6/30/22 | 1,496 | 1,459 | |
AT&T Inc. | 3.600% | 2/17/23 | 19,500 | 19,394 | |
AT&T Inc. | 4.900% | 8/14/37 | 14,620 | 14,784 | |
AT&T Inc. | 5.150% | 2/14/50 | 56,530 | 57,166 | |
CBS Corp. | 2.300% | 8/15/19 | 1,980 | 1,960 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating Capital | 3.579% | 7/23/20 | 81,995 | 82,189 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating Capital | 4.464% | 7/23/22 | 10,190 | 10,346 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating Capital | 4.908% | 7/23/25 | 24,615 | 25,000 | |
Comcast Corp. | 5.150% | 3/1/20 | 13,900 | 14,436 | |
Comcast Corp. | 3.375% | 8/15/25 | 13,130 | 12,753 | |
Crown Castle International Corp. | 3.400% | 2/15/21 | 38,418 | 38,443 | |
Crown Castle International Corp. | 2.250% | 9/1/21 | 4,700 | 4,512 | |
Crown Castle International Corp. | 4.875% | 4/15/22 | 11,800 | 12,290 | |
Crown Castle International Corp. | 4.450% | 2/15/26 | 16,500 | 16,478 | |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 10,804 | 10,935 | |
Discovery Communications LLC | 2.200% | 9/20/19 | 24,315 | 24,009 | |
10 | Discovery Communications LLC | 2.750% | 11/15/19 | 16,550 | 16,455 |
10 | Discovery Communications LLC | 2.800% | 6/15/20 | 42,197 | 41,703 |
Discovery Communications LLC | 4.375% | 6/15/21 | 9,750 | 9,973 | |
Discovery Communications LLC | 3.800% | 3/13/24 | 15,170 | 14,888 | |
Electronic Arts Inc. | 3.700% | 3/1/21 | 14,650 | 14,797 | |
10 | NBCUniversal Enterprise Inc. | 1.974% | 4/15/19 | 86,650 | 86,000 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 28,055 | 29,224 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 34,190 | 35,382 | |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 23,890 | 23,243 | |
Omnicom Group Inc. | 6.250% | 7/15/19 | 5,860 | 6,083 | |
Orange SA | 2.750% | 2/6/19 | 29,240 | 29,240 | |
Qwest Corp. | 6.750% | 12/1/21 | 21,579 | 23,268 | |
10 | SES Global Americas Holdings GP | 2.500% | 3/25/19 | 53,705 | 53,231 |
10 | Sirius XM Radio Inc. | 6.000% | 7/15/24 | 18,825 | 19,366 |
10 | Sky plc | 2.625% | 9/16/19 | 12,200 | 12,109 |
T-Mobile USA Inc. | 6.000% | 3/1/23 | 32,977 | 34,214 | |
T-Mobile USA Inc. | 4.500% | 2/1/26 | 8,080 | 7,777 | |
Time Warner Cable LLC | 6.750% | 7/1/18 | 76,655 | 77,224 | |
Time Warner Cable LLC | 8.750% | 2/14/19 | 18,305 | 19,106 | |
Time Warner Cable LLC | 8.250% | 4/1/19 | 23,445 | 24,553 | |
Time Warner Inc. | 4.875% | 3/15/20 | 14,940 | 15,408 | |
Verizon Communications Inc. | 3.450% | 3/15/21 | 80,047 | 80,691 | |
Verizon Communications Inc. | 3.000% | 11/1/21 | 25,266 | 25,015 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 23,463 | 23,637 | |
Verizon Communications Inc. | 3.125% | 3/16/22 | 219,249 | 216,572 | |
Verizon Communications Inc. | 3.500% | 11/1/24 | 1,540 | 1,512 | |
Viacom Inc. | 5.625% | 9/15/19 | 3,195 | 3,291 | |
Consumer Cyclical (2.8%) | |||||
10 | 1011778 BC ULC / New Red Finance Inc. | 4.625% | 1/15/22 | 16,190 | 16,230 |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 9,314 | 9,245 | |
10 | Alimentation Couche-Tard Inc. | 2.700% | 7/26/22 | 59,525 | 57,157 |
American Axle & Manufacturing Inc. | 7.750% | 11/15/19 | 5,808 | 6,164 | |
American Honda Finance Corp. | 2.250% | 8/15/19 | 41,660 | 41,364 | |
American Honda Finance Corp. | 2.000% | 11/13/19 | 24,385 | 24,067 | |
American Honda Finance Corp. | 1.950% | 7/20/20 | 14,640 | 14,296 | |
American Honda Finance Corp. | 2.450% | 9/24/20 | 16,675 | 16,455 | |
AutoZone Inc. | 2.875% | 1/15/23 | 4,544 | 4,387 | |
10 | BMW US Capital LLC | 3.450% | 4/12/23 | 86,000 | 85,301 |
10 | BMW US Capital LLC | 3.750% | 4/12/28 | 43,000 | 42,384 |
Dollar Tree Inc. | 5.750% | 3/1/23 | 3,223 | 3,363 | |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 7,615 | 7,551 | |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 19,535 | 19,236 | |
15 | Ford Motor Credit Co. LLC | 3.588% | 6/2/20 | 17,762 | 13,531 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 11,559 | 12,189 | |
Ford Motor Credit Co. LLC | 3.339% | 3/28/22 | 29,275 | 28,639 | |
Ford Motor Credit Co. LLC | 2.979% | 8/3/22 | 8,780 | 8,434 | |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 11,635 | 11,725 | |
General Motors Co. | 3.500% | 10/2/18 | 36,615 | 36,741 | |
General Motors Co. | 4.875% | 10/2/23 | 33,504 | 34,516 | |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 46,749 | 46,903 | |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 5,220 | 5,230 | |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 38,333 | 38,117 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 29,234 | 29,397 | |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 29,280 | 29,447 | |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 36,658 | 37,269 | |
General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 38,623 | 38,158 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 2,660 | 2,716 | |
General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 42,190 | 41,677 | |
General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 29,270 | 28,472 | |
General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 19,510 | 18,855 | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 10,461 | 10,290 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 9,107 | 9,158 | |
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 33,500 | 33,161 | |
10 | Harley-Davidson Financial Services Inc. | 2.250% | 1/15/19 | 73,515 | 73,339 |
10 | Harley-Davidson Financial Services Inc. | 2.400% | 9/15/19 | 67,134 | 66,467 |
10 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 62,102 | 60,900 |
10 | Harley-Davidson Financial Services Inc. | 2.400% | 6/15/20 | 69,387 | 68,055 |
10 | Harley-Davidson Financial Services Inc. | 2.850% | 1/15/21 | 6,244 | 6,157 |
10 | Harley-Davidson Financial Services Inc. | 2.550% | 6/9/22 | 41,944 | 40,132 |
10 | Harley-Davidson Financial Services Inc. | 3.350% | 2/15/23 | 26,785 | 26,187 |
10 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 3,665 | 3,684 |
10 | Hyundai Capital America | 3.100% | 4/5/22 | 5,150 | 5,008 |
18 | Jaguar Land Rover Automotive plc | 5.000% | 2/15/22 | 11,441 | 16,615 |
Lowe's Cos. Inc. | 1.150% | 4/15/19 | 12,150 | 11,990 | |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 19,120 | 19,597 | |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 14,640 | 14,530 | |
Mastercard Inc. | 2.000% | 4/1/19 | 9,620 | 9,561 | |
McDonald's Corp. | 2.100% | 12/7/18 | 11,710 | 11,693 | |
10 | Nissan Motor Acceptance Corp. | 2.000% | 3/8/19 | 32,910 | 32,697 |
10 | Nissan Motor Acceptance Corp. | 1.550% | 9/13/19 | 2,365 | 2,319 |
10 | Nissan Motor Acceptance Corp. | 2.550% | 3/8/21 | 6,380 | 6,238 |
10 | Nissan Motor Acceptance Corp. | 1.900% | 9/14/21 | 11,962 | 11,391 |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 19,025 | 18,891 | |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 2,930 | 2,901 | |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 5,250 | 5,142 | |
Starbucks Corp. | 2.100% | 2/4/21 | 12,420 | 12,109 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 48,345 | 47,825 | |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 19,530 | 19,483 | |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 104,075 | 103,408 | |
Toyota Motor Credit Corp. | 2.200% | 1/10/20 | 58,555 | 57,871 | |
Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 3,610 | 3,497 | |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 11,710 | 11,591 | |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 9,683 | 9,749 | |
Visa Inc. | 2.200% | 12/14/20 | 18,882 | 18,577 | |
Visa Inc. | 2.800% | 12/14/22 | 21,570 | 21,171 | |
10 | Volkswagen Group of America Finance LLC | 1.650% | 5/22/18 | 3,465 | 3,463 |
Walmart Inc. | 2.350% | 12/15/22 | 30,910 | 29,965 | |
Consumer Noncyclical (5.0%) | |||||
AbbVie Inc. | 1.800% | 5/14/18 | 126,410 | 126,389 | |
Altria Group Inc. | 9.250% | 8/6/19 | 69,792 | 75,267 | |
Altria Group Inc. | 4.750% | 5/5/21 | 40,225 | 41,890 | |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 7,200 | 7,209 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 347,656 | 343,526 | |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 14,670 | 14,546 | |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 21,145 | 22,357 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 25,250 | 24,382 | |
Anheuser-Busch InBev Worldwide Inc. | 3.500% | 1/12/24 | 73,115 | 72,654 | |
10 | Aramark Services Inc. | 5.000% | 2/1/28 | 4,045 | 3,944 |
10 | BAT Capital Corp. | 2.764% | 8/15/22 | 44,000 | 42,222 |
10 | BAT Capital Corp. | 3.222% | 8/15/24 | 48,735 | 46,202 |
Baxalta Inc. | 2.000% | 6/22/18 | 6,885 | 6,881 | |
Baxalta Inc. | 2.875% | 6/23/20 | 86,737 | 85,756 | |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 49,652 | 49,207 | |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 34,675 | 34,064 | |
Becton Dickinson & Co. | 2.894% | 6/6/22 | 44,000 | 42,543 | |
Campbell Soup Co. | 3.650% | 3/15/23 | 156,650 | 155,514 | |
Campbell Soup Co. | 3.950% | 3/15/25 | 10,230 | 10,091 | |
Campbell Soup Co. | 4.150% | 3/15/28 | 23,250 | 22,589 | |
10 | Cargill Inc. | 3.050% | 4/19/21 | 71,700 | 71,410 |
10 | Cargill Inc. | 3.250% | 11/15/21 | 9,750 | 9,713 |
10 | Cargill Inc. | 3.250% | 3/1/23 | 24,500 | 24,279 |
Catholic Health Initiatives Colorado GO | 2.600% | 8/1/18 | 2,900 | 2,901 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 9,800 | 9,785 | |
Conagra Brands Inc. | 4.950% | 8/15/20 | 2,679 | 2,752 | |
CVS Health Corp. | 1.900% | 7/20/18 | 16,605 | 16,587 | |
CVS Health Corp. | 2.250% | 12/5/18 | 19,520 | 19,497 | |
CVS Health Corp. | 3.350% | 3/9/21 | 161,200 | 161,442 | |
CVS Health Corp. | 3.700% | 3/9/23 | 268,905 | 267,905 | |
Dignity Health California GO | 2.637% | 11/1/19 | 2,000 | 1,984 | |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 24,400 | 24,399 | |
Express Scripts Holding Co. | 2.600% | 11/30/20 | 40,693 | 39,919 | |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 12,200 | 12,632 | |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 34,100 | 32,413 | |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 33,000 | 31,619 | |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 9,800 | 9,806 |
General Mills Inc. | 3.200% | 4/16/21 | 13,350 | 13,352 | |
General Mills Inc. | 3.700% | 10/17/23 | 20,000 | 19,967 | |
General Mills Inc. | 4.000% | 4/17/25 | 26,895 | 26,686 | |
General Mills Inc. | 4.200% | 4/17/28 | 30,000 | 29,617 | |
Gilead Sciences Inc. | 1.850% | 9/20/19 | 28,785 | 28,421 | |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 102,951 | 102,037 | |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 20,510 | 21,298 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 32,980 | 33,199 | |
10 | Grupo Bimbo SAB de CV | 4.500% | 1/25/22 | 11,180 | 11,420 |
HCA Inc. | 3.750% | 3/15/19 | 19,233 | 19,281 | |
HCA Inc. | 4.250% | 10/15/19 | 23,157 | 23,331 | |
HCA Inc. | 6.500% | 2/15/20 | 21,455 | 22,447 | |
HCA Inc. | 5.875% | 3/15/22 | 4,880 | 5,142 | |
Hershey Co. | 1.600% | 8/21/18 | 3,060 | 3,050 | |
10 | Hologic Inc. | 4.375% | 10/15/25 | 14,000 | 13,475 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 14,240 | 14,395 | |
Kroger Co. | 2.950% | 11/1/21 | 30,288 | 29,809 | |
McKesson Corp. | 2.284% | 3/15/19 | 34,250 | 34,079 | |
Medtronic Inc. | 2.500% | 3/15/20 | 31,135 | 30,929 | |
Medtronic Inc. | 3.625% | 3/15/24 | 7,512 | 7,524 | |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 7,320 | 7,514 | |
Newell Brands Inc. | 2.600% | 3/29/19 | 3,286 | 3,274 | |
Newell Brands Inc. | 2.875% | 12/1/19 | 36,585 | 36,500 | |
Newell Brands Inc. | 3.850% | 4/1/23 | 17,270 | 17,122 | |
10 | Pernod Ricard SA | 5.750% | 4/7/21 | 4,850 | 5,173 |
Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 338 | 333 | |
Pharmacia LLC | 6.500% | 12/1/18 | 8,300 | 8,476 | |
10 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 79,300 | 75,648 |
10 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 13,549 | 12,760 |
Reynolds American Inc. | 2.300% | 6/12/18 | 63,188 | 63,177 | |
Reynolds American Inc. | 8.125% | 6/23/19 | 53,388 | 56,386 | |
10 | Roche Holdings Inc. | 2.250% | 9/30/19 | 23,490 | 23,323 |
10 | Roche Holdings Inc. | 3.350% | 9/30/24 | 8,000 | 7,921 |
Shire Acquisitions Investments Ireland DAC | 1.900% | 9/23/19 | 79,748 | 78,340 | |
Shire Acquisitions Investments Ireland DAC | 2.400% | 9/23/21 | 9,030 | 8,658 | |
Stryker Corp. | 2.000% | 3/8/19 | 9,850 | 9,795 | |
Teva Pharmaceutical Finance Netherlands III | |||||
BV | 2.200% | 7/21/21 | 40,435 | 36,486 | |
The Kroger Co. | 6.800% | 12/15/18 | 5,950 | 6,097 | |
The Kroger Co. | 2.000% | 1/15/19 | 14,700 | 14,609 | |
The Kroger Co. | 2.300% | 1/15/19 | 31,250 | 31,133 | |
The Kroger Co. | 6.150% | 1/15/20 | 17,950 | 18,845 | |
The Kroger Co. | 2.600% | 2/1/21 | 39,050 | 38,232 | |
The Kroger Co. | 2.800% | 8/1/22 | 13,900 | 13,437 | |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 59,883 | 59,302 | |
Energy (4.8%) | |||||
Andeavor | 4.750% | 12/15/23 | 18,500 | 19,309 | |
Andeavor | 4.500% | 4/1/48 | 6,560 | 6,124 | |
Andeavor Logistics LP / Tesoro Logistics | |||||
Finance Corp. | 5.500% | 10/15/19 | 33,520 | 34,484 | |
Andeavor Logistics LP / Tesoro Logistics | |||||
Finance Corp. | 3.500% | 12/1/22 | 31,634 | 31,001 | |
Baker Hughes a GE Co. LLC / Baker Hughes | |||||
Co-Obligor Inc. | 2.773% | 12/15/22 | 126,996 | 122,823 | |
BP Capital Markets plc | 1.375% | 5/10/18 | 80,718 | 80,706 | |
BP Capital Markets plc | 2.241% | 9/26/18 | 24,638 | 24,652 |
BP Capital Markets plc | 4.750% | 3/10/19 | 50,286 | 51,126 |
BP Capital Markets plc | 1.676% | 5/3/19 | 10,250 | 10,135 |
BP Capital Markets plc | 2.237% | 5/10/19 | 42,131 | 41,908 |
BP Capital Markets plc | 2.521% | 1/15/20 | 42,059 | 41,848 |
BP Capital Markets plc | 2.315% | 2/13/20 | 121,885 | 120,667 |
BP Capital Markets plc | 4.500% | 10/1/20 | 147,790 | 152,794 |
BP Capital Markets plc | 4.742% | 3/11/21 | 77,545 | 81,056 |
BP Capital Markets plc | 2.112% | 9/16/21 | 7,700 | 7,443 |
BP Capital Markets plc | 3.062% | 3/17/22 | 29,265 | 28,977 |
BP Capital Markets plc | 3.245% | 5/6/22 | 17,200 | 17,079 |
BP Capital Markets plc | 2.750% | 5/10/23 | 8,508 | 8,234 |
BP Capital Markets plc | 3.216% | 11/28/23 | 21,055 | 20,750 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 94,961 | 97,810 |
Cenovus Energy Inc. | 3.000% | 8/15/22 | 14,725 | 14,118 |
Cenovus Energy Inc. | 4.250% | 4/15/27 | 5,600 | 5,369 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 26,020 | 24,890 |
Continental Resources Inc. | 5.000% | 9/15/22 | 10,855 | 11,018 |
Dominion Energy Gas Holdings LLC | 2.500% | 12/15/19 | 21,500 | 21,262 |
Dominion Energy Gas Holdings LLC | 2.800% | 11/15/20 | 11,700 | 11,551 |
Dominion Energy Gas Holdings LLC | 3.550% | 11/1/23 | 12,700 | 12,554 |
Enbridge Energy Partners LP | 4.375% | 10/15/20 | 975 | 993 |
4,13 Enbridge Energy Partners LP | 6.105% | 10/1/77 | 1,860 | 1,825 |
Energy Transfer LP | 2.500% | 6/15/18 | 19,050 | 19,049 |
Energy Transfer LP | 6.700% | 7/1/18 | 40,929 | 41,181 |
Energy Transfer LP | 4.150% | 10/1/20 | 39,715 | 40,209 |
Energy Transfer LP | 4.650% | 6/1/21 | 13,760 | 14,107 |
Energy Transfer LP | 5.200% | 2/1/22 | 32,447 | 33,600 |
Energy Transfer LP | 5.300% | 4/15/47 | 13,190 | 12,314 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 29,415 | 30,700 |
EOG Resources Inc. | 5.625% | 6/1/19 | 3,931 | 4,039 |
EQT Corp. | 2.500% | 10/1/20 | 29,300 | 28,563 |
EQT Corp. | 3.000% | 10/1/22 | 61,336 | 59,203 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 2,050 | 2,045 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,285 | 5,506 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 39,327 | 41,631 |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 32,665 | 34,496 |
Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 4,875 | 5,051 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 2,640 | 2,492 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 6,935 | 6,523 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 1,760 | 1,753 |
Kinder Morgan Inc. | 3.150% | 1/15/23 | 12,050 | 11,603 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 16,320 | 20,234 |
Marathon Oil Corp. | 2.700% | 6/1/20 | 45,437 | 44,752 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 64,610 | 61,643 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 9,800 | 9,898 |
ONEOK Partners LP | 3.200% | 9/15/18 | 11,720 | 11,750 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 12,710 | 12,712 |
Regency Energy Partners LP / Regency | ||||
Energy Finance Corp. | 5.750% | 9/1/20 | 8,167 | 8,504 |
Regency Energy Partners LP / Regency | ||||
Energy Finance Corp. | 5.875% | 3/1/22 | 26,307 | 27,853 |
Regency Energy Partners LP / Regency | ||||
Energy Finance Corp. | 5.000% | 10/1/22 | 8,500 | 8,798 |
Regency Energy Partners LP / Regency | ||||
Energy Finance Corp. | 4.500% | 11/1/23 | 2,975 | 2,986 |
Sabine Pass Liquefaction LLC | 5.625% | 2/1/21 | 68,901 | 72,260 |
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 2,318 | 2,501 |
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 58,670 | 62,557 | |
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 42,035 | 45,135 | |
10 | Schlumberger Holdings Corp. | 2.350% | 12/21/18 | 2,150 | 2,144 |
Shell International Finance BV | 2.000% | 11/15/18 | 15,675 | 15,644 | |
Shell International Finance BV | 1.375% | 5/10/19 | 55,960 | 55,186 | |
Shell International Finance BV | 1.375% | 9/12/19 | 70,500 | 69,170 | |
Shell International Finance BV | 4.300% | 9/22/19 | 10,797 | 11,025 | |
Shell International Finance BV | 2.125% | 5/11/20 | 53,700 | 52,985 | |
Shell International Finance BV | 2.250% | 11/10/20 | 19,510 | 19,192 | |
Shell International Finance BV | 1.875% | 5/10/21 | 93,580 | 90,550 | |
Shell International Finance BV | 1.750% | 9/12/21 | 23,600 | 22,595 | |
Shell International Finance BV | 3.250% | 5/11/25 | 14,000 | 13,724 | |
Southern Natural Gas Co. LLC / Southern | |||||
Natural Issuing Corp. | 4.400% | 6/15/21 | 6,395 | 6,542 | |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,770 | 9,783 | |
13 | Spectra Energy Partners LP | 2.725% | 6/5/20 | 97,570 | 98,311 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 4,032 | 3,553 | |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 1,660 | 1,953 | |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 8,289 | 10,484 | |
Total Capital International SA | 2.125% | 1/10/19 | 47,850 | 47,671 | |
Total Capital International SA | 2.100% | 6/19/19 | 14,600 | 14,489 | |
Total Capital SA | 4.450% | 6/24/20 | 54,215 | 55,852 | |
Total Capital SA | 4.250% | 12/15/21 | 19,525 | 20,190 | |
TransCanada PipeLines Ltd. | 3.125% | 1/15/19 | 24,385 | 24,457 | |
13 | TransCanada PipeLines Ltd. | 2.114% | 11/15/19 | 130,065 | 129,852 |
TransCanada PipeLines Ltd. | 2.125% | 11/15/19 | 133,475 | 132,196 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 14,125 | 13,602 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 7,000 | 7,181 | |
Williams Partners LP | 5.250% | 3/15/20 | 68,835 | 71,150 | |
Williams Partners LP | 4.125% | 11/15/20 | 2,000 | 2,027 | |
Williams Partners LP | 4.000% | 11/15/21 | 16,585 | 16,746 | |
Williams Partners LP | 3.600% | 3/15/22 | 17,204 | 17,042 | |
Williams Partners LP | 3.350% | 8/15/22 | 4,875 | 4,749 | |
10 | Woodside Finance Ltd. | 8.750% | 3/1/19 | 15,850 | 16,583 |
Other Industrial (0.5%) | |||||
18 | Aroundtown SA | 3.000% | 10/16/29 | 10,583 | 14,142 |
10 | CK Hutchison International 17 Ltd. | 2.250% | 9/29/20 | 95,155 | 93,126 |
17 | CPI Property Group SA | 2.125% | 10/4/24 | 50,116 | 60,015 |
10 | Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 118,427 | 123,312 |
10 | SBA Tower Trust | 3.156% | 10/8/20 | 10,760 | 10,715 |
Technology (3.2%) | |||||
Apple Inc. | 2.100% | 5/6/19 | 48,285 | 48,081 | |
Apple Inc. | 1.550% | 2/7/20 | 19,535 | 19,165 | |
Apple Inc. | 2.250% | 2/23/21 | 39,470 | 38,758 | |
Apple Inc. | 1.550% | 8/4/21 | 9,000 | 8,594 | |
Apple Inc. | 2.150% | 2/9/22 | 24,400 | 23,586 | |
Apple Inc. | 2.500% | 2/9/22 | 117,697 | 115,225 | |
Apple Inc. | 2.400% | 1/13/23 | 63,400 | 60,950 | |
Apple Inc. | 2.850% | 2/23/23 | 6,345 | 6,229 | |
Apple Inc. | 3.000% | 2/9/24 | 3,505 | 3,429 | |
Apple Inc. | 2.850% | 5/11/24 | 65,670 | 63,739 | |
Apple Inc. | 2.750% | 1/13/25 | 18,740 | 17,907 | |
Applied Materials Inc. | 2.625% | 10/1/20 | 23,420 | 23,220 | |
Baidu Inc. | 3.250% | 8/6/18 | 31,200 | 31,232 | |
Baidu Inc. | 2.750% | 6/9/19 | 17,575 | 17,487 |
Broadcom Corp. / Broadcom Cayman Finance | |||||
Ltd. | 2.375% | 1/15/20 | 96,270 | 94,921 | |
Broadcom Corp. / Broadcom Cayman Finance | |||||
Ltd. | 2.200% | 1/15/21 | 19,515 | 18,917 | |
Broadcom Corp. / Broadcom Cayman Finance | |||||
Ltd. | 3.000% | 1/15/22 | 77,194 | 75,197 | |
Broadcom Corp. / Broadcom Cayman Finance | |||||
Ltd. | 2.650% | 1/15/23 | 34,150 | 32,324 | |
Broadcom Corp. / Broadcom Cayman Finance | |||||
Ltd. | 3.625% | 1/15/24 | 20,701 | 20,129 | |
CA Inc. | 2.875% | 8/15/18 | 2,195 | 2,194 | |
10 | Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 60,065 | 63,082 |
10 | Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 3.480% | 6/1/19 | 78,090 | 78,305 | |
10 | Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 4.420% | 6/15/21 | 81,451 | 82,984 | |
DXC Technology Co. | 2.875% | 3/27/20 | 26,340 | 26,137 | |
DXC Technology Co. | 4.250% | 4/15/24 | 29,295 | 29,596 | |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 23,594 | 23,598 | |
10 | First Data Corp. | 7.000% | 12/1/23 | 39,015 | 40,819 |
Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 45,105 | 45,169 | |
10 | Hewlett Packard Enterprise Co. | 2.100% | 10/4/19 | 97,580 | 96,170 |
Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 65,207 | 65,639 | |
International Business Machines Corp. | 2.500% | 1/27/22 | 29,300 | 28,579 | |
Microsoft Corp. | 2.400% | 2/6/22 | 97,675 | 95,385 | |
Microsoft Corp. | 2.875% | 2/6/24 | 76,255 | 74,394 | |
Microsoft Corp. | 3.300% | 2/6/27 | 7,770 | 7,625 | |
10 | MSCI Inc. | 5.250% | 11/15/24 | 50,095 | 51,222 |
Oracle Corp. | 2.625% | 2/15/23 | 55,752 | 54,060 | |
Oracle Corp. | 2.950% | 11/15/24 | 9,755 | 9,431 | |
Pitney Bowes Inc. | 3.625% | 10/1/21 | 8,110 | 7,765 | |
QUALCOMM Inc. | 1.850% | 5/20/19 | 34,130 | 33,889 | |
QUALCOMM Inc. | 2.100% | 5/20/20 | 12,250 | 12,173 | |
QUALCOMM Inc. | 3.000% | 5/20/22 | 35,611 | 34,728 | |
QUALCOMM Inc. | 2.600% | 1/30/23 | 62,625 | 59,196 | |
Total System Services Inc. | 2.375% | 6/1/18 | 36,472 | 36,460 | |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 14,650 | 14,640 | |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 18,380 | 18,217 | |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 2,020 | 2,099 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 15,220 | 15,281 | |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 9,347 | 9,190 | |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 12,428 | 13,237 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 23,589 | 24,071 | |
VMware Inc. | 2.300% | 8/21/20 | 58,545 | 56,969 | |
VMware Inc. | 2.950% | 8/21/22 | 39,030 | 37,462 | |
Xerox Corp. | 6.350% | 5/15/18 | 2,575 | 2,578 | |
Xilinx Inc. | 2.125% | 3/15/19 | 19,555 | 19,449 | |
Transportation (1.7%) | |||||
10 | Air Canada | 7.750% | 4/15/21 | 56,036 | 61,359 |
4,10 Air Canada 2013-1 Class B Pass Through | |||||
Trust | 5.375% | 5/15/21 | 6,749 | 6,909 | |
10 | Air Canada 2013-1 Class C Pass Through | ||||
Trust | 6.625% | 5/15/18 | 1,020 | 1,021 | |
4,10 Air Canada 2017-1 Class A Pass Through | |||||
Trust | 3.550% | 1/15/30 | 23,015 | 21,806 |
4,10 Air Canada 2017-1 Class AA Pass Through | |||||
Trust | 3.300% | 1/15/30 | 40,285 | 38,250 | |
4,10 Air Canada 2017-1 Class B Pass Through | |||||
Trust | 3.700% | 1/15/26 | 33,765 | 32,447 | |
10 | American Airlines 2013-1 Class C Pass | ||||
Through Trust | 6.125% | 7/15/18 | 21,355 | 21,449 | |
4 | American Airlines 2016-3 Class B Pass | ||||
Through Trust | 3.750% | 10/15/25 | 58,233 | 55,929 | |
4 | American Airlines 2017-2B Class B Pass | ||||
Through Trust | 3.700% | 10/15/25 | 64,275 | 61,923 | |
15 | Asciano Finance Ltd. | 5.400% | 5/12/27 | 14,270 | 11,223 |
15 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 9,320 | 6,988 |
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 11,085 | 10,828 | |
4 | Continental Airlines 1999-1 Class B Pass | ||||
Through Trust | 6.795% | 2/2/20 | 155 | 155 | |
4 | Continental Airlines 2000-1 Class A-1 Pass | ||||
Through Trust | 8.048% | 11/1/20 | 2,678 | 2,806 | |
4 | Continental Airlines 2005-ERJ1 Pass Through | ||||
Trust | 9.798% | 10/1/22 | 24,263 | 25,840 | |
4 | Continental Airlines 2012-2 Class B Pass | ||||
Through Trust | 5.500% | 4/29/22 | 1,992 | 2,040 | |
4,19 Delta Air Lines 2002-1 Class G-1 Pass | |||||
Through Trust | 6.718% | 7/2/24 | 20,333 | 21,896 | |
4 | Delta Air Lines 2007-1 Class A Pass Through | ||||
Trust | 6.821% | 2/10/24 | 37,871 | 41,532 | |
4 | Delta Air Lines 2007-1 Class B Pass Through | ||||
Trust | 8.021% | 8/10/22 | 7,474 | 8,268 | |
4 | Delta Air Lines 2009-1 Class A Pass Through | ||||
Trust | 7.750% | 6/17/21 | 16,663 | 17,558 | |
4 | Delta Air Lines 2010-1 Class A Pass Through | ||||
Trust | 6.200% | 1/2/20 | 6,223 | 6,223 | |
4 | Delta Air Lines 2010-2 Class A Pass Through | ||||
Trust | 4.950% | 11/23/20 | 3,041 | 3,075 | |
4 | Delta Air Lines 2012-1 Class A Pass Through | ||||
Trust | 4.750% | 11/7/21 | 1,685 | 1,719 | |
Delta Air Lines Inc. | 2.600% | 12/4/20 | 82,945 | 81,381 | |
Delta Air Lines Inc. | 3.400% | 4/19/21 | 82,845 | 82,582 | |
Delta Air Lines Inc. | 3.625% | 3/15/22 | 83,849 | 83,044 | |
Delta Air Lines Inc. | 3.800% | 4/19/23 | 97,465 | 96,664 | |
10 | ERAC USA Finance LLC | 2.800% | 11/1/18 | 16,645 | 16,645 |
4,10 Heathrow Funding Ltd. | 4.875% | 7/15/23 | 29,550 | 31,004 | |
11 | Kansas City Southern | 4.700% | 5/1/48 | 33,295 | 33,258 |
15 | Qantas Airways Ltd. | 7.500% | 6/11/21 | 15,560 | 13,111 |
4 | Southwest Airlines Co. 2007-1 Pass Through | ||||
Trust | 6.650% | 8/1/22 | 11,201 | 11,878 | |
4 | Southwest Airlines Co. 2007-1 Pass Through | ||||
Trust | 6.150% | 2/1/24 | 3,927 | 4,153 | |
4 | Spirit Airlines 2015-1 Pass Through Trust B | 4.450% | 10/1/25 | 11,094 | 11,084 |
4 | Spirit Airlines Pass Through Trust 2017-1B | 3.800% | 2/15/26 | 48,790 | 47,156 |
4 | UAL 2007-1 Pass Through Trust | 6.636% | 7/2/22 | 16,541 | 17,354 |
4 | United Airlines 2016-1 Class B Pass Through | ||||
Trust | 3.650% | 1/7/26 | 8,145 | 7,829 | |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 6,335 | 6,351 | |
4 | US Airways 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 6,355 | 6,841 |
15,066,388 |
Utilities (4.2%) | |||||
Electric (3.8%) | |||||
Alabama Power Co. | 3.375% | 10/1/20 | 21,260 | 21,407 | |
American Electric Power Co. Inc. | 2.150% | 11/13/20 | 42,780 | 41,700 | |
Arizona Public Service Co. | 8.750% | 3/1/19 | 29,145 | 30,496 | |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 9,535 | 9,603 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 3,555 | 3,445 | |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 39,110 | 39,019 | |
10 | Berkshire Hathaway Energy Co. | 2.375% | 1/15/21 | 26,020 | 25,472 |
10 | Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 50,295 | 48,771 |
10 | Cerro del Aguila SA | 4.125% | 8/16/27 | 8,100 | 7,504 |
CMS Energy Corp. | 6.250% | 2/1/20 | 9,141 | 9,597 | |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 6,840 | 6,813 | |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 27,778 | 28,282 | |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 11,695 | 11,919 | |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 16,530 | 17,145 | |
Dominion Energy Inc. | 1.875% | 1/15/19 | 33,170 | 32,924 | |
Dominion Energy Inc. | 5.200% | 8/15/19 | 4,175 | 4,286 | |
10,13Dominion Energy Inc. | 2.406% | 12/1/20 | 195,160 | 194,658 | |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 5,930 | 6,077 | |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 2,980 | 3,034 | |
Edison International | 2.400% | 9/15/22 | 5,375 | 5,078 | |
10 | EDP Finance BV | 4.125% | 1/15/20 | 47,918 | 48,459 |
10 | EDP Finance BV | 5.250% | 1/14/21 | 59,720 | 62,335 |
10 | EDP Finance BV | 3.625% | 7/15/24 | 23,905 | 23,365 |
Emera US Finance LP | 2.150% | 6/15/19 | 19,105 | 18,920 | |
Emera US Finance LP | 2.700% | 6/15/21 | 39,324 | 38,204 | |
10 | Enel Finance International NV | 2.875% | 5/25/22 | 132,720 | 128,945 |
10 | Enel Finance International NV | 3.625% | 5/25/27 | 4,820 | 4,554 |
Exelon Corp. | 2.850% | 6/15/20 | 29,290 | 28,994 | |
Exelon Corp. | 2.450% | 4/15/21 | 8,638 | 8,378 | |
Exelon Corp. | 3.497% | 6/1/22 | 7,263 | 7,150 | |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 57,215 | 57,000 | |
FirstEnergy Corp. | 2.850% | 7/15/22 | 77,498 | 74,621 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 27,693 | 28,101 | |
10 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 21,743 | 22,109 |
13 | Florida Power & Light Co. | 2.069% | 11/6/20 | 162,660 | 162,606 |
Fortis Inc. | 2.100% | 10/4/21 | 22,465 | 21,144 | |
Georgia Power Co. | 2.000% | 9/8/20 | 50,060 | 48,803 | |
Georgia Power Co. | 2.400% | 4/1/21 | 50,514 | 49,242 | |
10 | ITC Holdings Corp. | 2.700% | 11/15/22 | 29,250 | 28,093 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 13,482 | 13,613 | |
National Rural Utilities Cooperative Finance | |||||
Corp. | 10.375% | 11/1/18 | 2,873 | 2,980 | |
National Rural Utilities Cooperative Finance | |||||
Corp. | 1.500% | 11/1/19 | 3,900 | 3,837 | |
National Rural Utilities Cooperative Finance | |||||
Corp. | 2.350% | 6/15/20 | 27,320 | 26,945 | |
Nevada Power Co. | 6.500% | 5/15/18 | 32,715 | 32,763 | |
Nevada Power Co. | 6.500% | 8/1/18 | 9,683 | 9,780 | |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 8,010 | 8,112 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 11,014 | 12,558 | |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 108,534 | 108,791 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 16,350 | 16,656 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 49,408 | 48,842 | |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 37,040 | 43,174 | |
PacifiCorp | 5.650% | 7/15/18 | 20,566 | 20,694 |
PacifiCorp | 5.500% | 1/15/19 | 4,630 | 4,718 | |
Pinnacle West Capital Corp. | 2.250% | 11/30/20 | 60,500 | 58,904 | |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 5,090 | 5,087 | |
PPL Capital Funding Inc. | 4.200% | 6/15/22 | 2,050 | 2,094 | |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 9,215 | 9,159 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 15,190 | 16,271 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 4,135 | 4,439 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 28,065 | 29,949 | |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 4,500 | 4,553 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 69,981 | 71,276 | |
Southern California Edison Co. | 2.900% | 3/1/21 | 43,695 | 43,443 | |
Southern Co. | 1.550% | 7/1/18 | 28,865 | 28,812 | |
Southern Co. | 1.850% | 7/1/19 | 72,290 | 71,462 | |
Southern Co. | 2.150% | 9/1/19 | 14,449 | 14,268 | |
Southern Co. | 2.750% | 6/15/20 | 48,140 | 47,654 | |
Southern Co. | 2.350% | 7/1/21 | 76,255 | 74,041 | |
4 | Southern Co. | 5.500% | 3/15/57 | 13,665 | 14,246 |
Southern Power Co. | 1.950% | 12/15/19 | 32,735 | 32,202 | |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 48,811 | 49,944 | |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 12,395 | 12,384 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 6,985 | 7,019 | |
Natural Gas (0.3%) | |||||
10 | Engie SA | 2.875% | 10/10/22 | 7,269 | 7,097 |
Sempra Energy | 6.150% | 6/15/18 | 23,335 | 23,438 | |
13 | Sempra Energy | 2.598% | 7/15/19 | 82,915 | 82,962 |
Sempra Energy | 2.400% | 2/1/20 | 58,530 | 57,801 | |
Sempra Energy | 2.400% | 3/15/20 | 10,265 | 10,123 | |
Sempra Energy | 2.850% | 11/15/20 | 9,770 | 9,658 | |
Sempra Energy | 2.900% | 2/1/23 | 16,585 | 16,100 | |
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 6,570 | 6,163 | |
Other Utility (0.1%) | |||||
18 | Anglian Water Services Financing plc | 2.625% | 6/15/27 | 16,805 | 22,205 |
15 | DBNGP Finance Co. Pty Ltd. | 6.000% | 10/11/19 | 6,190 | 4,806 |
15 | Energy Partnership Gas Pty Ltd. | 4.250% | 6/15/20 | 3,270 | 2,499 |
2,601,775 | |||||
Total Corporate Bonds (Cost $34,521,806) | 33,928,087 | ||||
Sovereign Bonds (8.4%) | |||||
10 | Abu Dhabi National Energy Co. PJSC | 4.875% | 4/23/30 | 17,250 | 17,124 |
AK Transneft OJSC Via TransCapitalInvest | |||||
Ltd. | 8.700% | 8/7/18 | 5,479 | 5,536 | |
Arab Republic of Egypt | 6.125% | 1/31/22 | 4,985 | 5,115 | |
17 | Arab Republic of Egypt | 4.750% | 4/16/26 | 6,000 | 7,223 |
Argentine Republic | 6.250% | 4/22/19 | 15,260 | 15,580 | |
17 | Argentine Republic | 3.375% | 1/15/23 | 16,309 | 19,460 |
Argentine Republic | 7.500% | 4/22/26 | 11,125 | 11,665 | |
Argentine Republic | 6.875% | 1/11/48 | 6,850 | 6,098 | |
10 | Avi Funding Co. Ltd. | 2.850% | 9/16/20 | 11,075 | 10,896 |
Avi Funding Co. Ltd. | 2.850% | 9/16/20 | 8,875 | 8,721 | |
10 | Banco de Costa Rica | 5.250% | 8/12/18 | 4,800 | 4,822 |
10 | Banco do Brasil SA | 4.625% | 1/15/25 | 8,000 | 7,698 |
Banco Nacional de Desenvolvimento | |||||
Economico e Social | 6.369% | 6/16/18 | 6,830 | 6,851 | |
Banco Nacional de Desenvolvimento | |||||
Economico e Social | 6.500% | 6/10/19 | 48,800 | 50,389 |
10 | Bank Nederlandse Gemeenten NV | 1.125% | 5/25/18 | 65,760 | 65,724 |
10 | Bank Nederlandse Gemeenten NV | 2.125% | 12/14/20 | 50,737 | 49,783 |
10 | Banque Ouest Africaine de Developpement | 5.500% | 5/6/21 | 6,500 | 6,697 |
10 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 17,455 | 17,126 |
10 | Bermuda | 5.603% | 7/20/20 | 19,045 | 20,030 |
10 | Bermuda | 4.138% | 1/3/23 | 6,000 | 6,209 |
10 | Bermuda | 4.854% | 2/6/24 | 5,800 | 6,075 |
10 | BOC Aviation Ltd. | 2.375% | 9/15/21 | 14,650 | 14,012 |
Caixa Economica Federal | 4.500% | 10/3/18 | 21,303 | 21,410 | |
CCBL Cayman Corp. Ltd. | 3.250% | 7/28/20 | 19,500 | 19,263 | |
10 | CDP Financial Inc. | 4.400% | 11/25/19 | 51,960 | 53,210 |
10 | CDP Financial Inc. | 3.150% | 7/24/24 | 24,580 | 24,211 |
Centrais Eletricas Brasileiras SA | 5.750% | 10/27/21 | 7,000 | 7,140 | |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 4,000 | 3,999 | |
CNOOC Finance 2015 Australia Pty Ltd. | 2.625% | 5/5/20 | 6,100 | 6,008 | |
10 | CNPC General Capital Ltd. | 2.750% | 5/14/19 | 9,765 | 9,717 |
CNPC General Capital Ltd. | 2.700% | 11/25/19 | 8,000 | 7,930 | |
Corp. Andina de Fomento | 2.200% | 7/18/20 | 65,526 | 64,375 | |
Corp. Andina de Fomento | 2.125% | 9/27/21 | 31,495 | 30,609 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 30,472 | 31,659 | |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 2,000 | 1,994 | |
10 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 4,825 | 4,909 |
Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 9,500 | 9,667 | |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 18,415 | 18,572 | |
10 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 9,896 | 9,987 |
Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 9,269 | 8,986 | |
Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 8,800 | 9,012 | |
10 | CPPIB Capital Inc. | 1.250% | 9/20/19 | 78,037 | 76,556 |
10,20Dexia Credit Local SA | 2.250% | 1/30/19 | 48,775 | 48,651 | |
10 | Dexia Credit Local SA | 2.500% | 1/25/21 | 97,550 | 96,345 |
10,20Dexia Credit Local SA | 1.875% | 9/15/21 | 9,765 | 9,387 | |
10 | Dexia Credit Local SA | 2.375% | 9/20/22 | 5,800 | 5,609 |
4 | Dominican Republic | 7.500% | 5/6/21 | 11,143 | 11,779 |
Dominican Republic | 6.500% | 2/15/48 | 8,350 | 8,295 | |
Ecopetrol SA | 7.625% | 7/23/19 | 39,000 | 41,143 | |
10 | Electricite de France SA | 2.150% | 1/22/19 | 34,190 | 33,984 |
Emirate of Abu Dhabi | 3.125% | 10/11/27 | 72,400 | 67,016 | |
4,10 ENA Norte Trust | 4.950% | 4/25/28 | 1,396 | 1,429 | |
Export-Import Bank of China | 2.500% | 7/31/19 | 6,395 | 6,348 | |
Export-Import Bank of India | 2.750% | 4/1/20 | 3,870 | 3,811 | |
Export-Import Bank of India | 2.750% | 8/12/20 | 5,317 | 5,215 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 14,540 | 14,526 | |
13 | Export-Import Bank of Korea | 2.644% | 5/26/19 | 11,506 | 11,521 |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 14,980 | 14,819 | |
Export-Import Bank of Korea | 1.500% | 10/21/19 | 56,405 | 54,979 | |
13 | Export-Import Bank of Korea | 2.822% | 10/21/19 | 4,510 | 4,501 |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 20,000 | 20,700 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,000 | 2,029 | |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 5,460 | 5,599 | |
Export-Import Bank of Korea | 2.750% | 1/25/22 | 2,500 | 2,425 | |
13 | Export-Import Bank of Korea | 2.698% | 11/1/22 | 6,950 | 6,977 |
Export-Import Bank of Korea | 3.000% | 11/1/22 | 16,878 | 16,376 | |
Federative Republic of Brazil | 5.625% | 2/21/47 | 18,125 | 17,038 | |
First Abu Dhabi Bank PJSC | 3.000% | 8/13/19 | 19,500 | 19,472 | |
Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 4,850 | 4,860 | |
10 | Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 19,500 | 19,588 |
Gazprom OAO Via Gaz Capital SA | 9.250% | 4/23/19 | 7,405 | 7,757 |
ICBCIL Finance Co. Ltd. | 2.600% | 11/13/18 | 4,800 | 4,786 | |
ICBCIL Finance Co. Ltd. | 3.490% | 11/13/18 | 5,276 | 5,302 | |
10 | ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 7,900 | 7,801 |
ICBCIL Finance Co. Ltd. | 3.250% | 3/17/20 | 5,400 | 5,348 | |
ICBCIL Finance Co. Ltd. | 3.000% | 4/5/20 | 22,740 | 22,402 | |
Industrial & Commercial Bank of China Ltd. | 1.875% | 5/23/19 | 4,800 | 4,729 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 22,300 | 22,245 | |
13 | Industrial & Commercial Bank of China Ltd. | 2.541% | 11/8/20 | 20,000 | 19,998 |
Industrial & Commercial Bank of China Ltd. | 2.905% | 11/13/20 | 7,050 | 6,935 | |
21 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 26,800 | 26,766 |
21 | Japan Bank for International Cooperation | 2.125% | 7/21/20 | 38,055 | 37,356 |
13,21Japan Bank for International Cooperation | 2.752% | 7/21/20 | 5,856 | 5,878 | |
21 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 9,750 | 9,969 |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 101,698 | 102,474 | |
10 | KazMunayGas National Co. JSC | 3.875% | 4/19/22 | 11,120 | 10,981 |
10 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 1,615 | 1,549 |
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 70,315 | 67,366 | |
Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 6,670 | 6,363 | |
Kingdom of Saudi Arabia | 5.000% | 4/17/49 | 1,100 | 1,053 | |
10,17Kingdom of Spain | 2.700% | 10/31/48 | 43,470 | 56,494 | |
10 | Kommunalbanken AS | 1.125% | 5/23/18 | 31,300 | 31,281 |
13 | Korea Development Bank | 2.658% | 7/3/19 | 37,070 | 37,066 |
Korea Development Bank | 1.375% | 9/12/19 | 19,715 | 19,248 | |
Korea Development Bank | 2.500% | 3/11/20 | 4,550 | 4,482 | |
Korea Development Bank | 4.625% | 11/16/21 | 2,795 | 2,894 | |
Korea Gas Corp. | 2.875% | 7/29/18 | 4,800 | 4,797 | |
Korea National Oil Corp. | 2.750% | 1/23/19 | 14,650 | 14,616 | |
10 | Korea Resources Corp. | 2.125% | 5/2/18 | 4,675 | 4,675 |
10 | Korea Southern Power Co. Ltd. | 3.000% | 1/29/21 | 19,505 | 19,260 |
10 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 7,800 | 7,792 |
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 90,555 | 87,233 | |
Majapahit Holding BV | 8.000% | 8/7/19 | 35,856 | 38,088 | |
Majapahit Holding BV | 7.750% | 1/20/20 | 75,330 | 80,603 | |
National Savings Bank | 8.875% | 9/18/18 | 15,360 | 15,592 | |
10 | Nederlandse Waterschapsbank NV | 1.250% | 9/9/19 | 19,725 | 19,379 |
NongHyup Bank | 2.625% | 11/1/18 | 4,300 | 4,289 | |
North American Development Bank | 2.300% | 10/10/18 | 3,675 | 3,665 | |
North American Development Bank | 2.400% | 10/26/22 | 2,700 | 2,600 | |
NTPC Ltd. | 4.250% | 2/26/26 | 5,300 | 5,188 | |
10 | OCP SA | 5.625% | 4/25/24 | 7,800 | 8,044 |
10 | Ontario Teachers' Cadillac Fairview | ||||
Properties Trust | 3.125% | 3/20/22 | 54,524 | 53,798 | |
10 | Ontario Teachers' Cadillac Fairview | ||||
Properties Trust | 3.875% | 3/20/27 | 6,000 | 5,949 | |
Ooredoo International Finance Ltd. | 7.875% | 6/10/19 | 18,391 | 19,275 | |
Ooredoo Tamweel Ltd. | 3.039% | 12/3/18 | 49,560 | 49,520 | |
Pepper Residential Securities Trust No 20 | 4.375% | 3/21/29 | 2,600 | 2,516 | |
10 | Perusahaan Penerbit SBSN Indonesia II | 4.000% | 11/21/18 | 4,800 | 4,824 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 9,863 | 10,147 | |
Petrobras Global Finance BV | 6.125% | 1/17/22 | 9,155 | 9,670 | |
10 | Petrobras Global Finance BV | 5.299% | 1/27/25 | 31,291 | 30,743 |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 1,965 | 2,294 | |
Petrobras Global Finance BV | 7.375% | 1/17/27 | 19,515 | 20,881 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 186,992 | 195,560 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 9,291 | 9,653 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 186,634 | 193,409 | |
Petroleos Mexicanos | 6.500% | 3/13/27 | 27,060 | 27,978 |
10 | Petroleos Mexicanos | 5.350% | 2/12/28 | 28,000 | 26,687 |
Petronas Capital Ltd. | 5.250% | 8/12/19 | 10,580 | 10,859 | |
Petronas Global Sukuk Ltd. | 2.707% | 3/18/20 | 2,050 | 2,028 | |
Province of Alberta | 1.900% | 12/6/19 | 24,370 | 24,013 | |
10 | Province of Alberta | 1.750% | 8/26/20 | 149,451 | 145,507 |
Province of Alberta | 1.750% | 8/26/20 | 1,300 | 1,267 | |
Province of New Brunswick | 2.750% | 6/15/18 | 485 | 485 | |
Province of Nova Scotia | 8.250% | 7/30/22 | 12,785 | 15,280 | |
Province of Ontario | 3.000% | 7/16/18 | 15,905 | 15,915 | |
Province of Ontario | 1.625% | 1/18/19 | 71,920 | 71,440 | |
Province of Ontario | 2.000% | 1/30/19 | 15,393 | 15,328 | |
Province of Ontario | 1.250% | 6/17/19 | 24,405 | 24,014 | |
Province of Ontario | 4.400% | 4/14/20 | 25,595 | 26,383 | |
Province of Ontario | 1.875% | 5/21/20 | 9,770 | 9,586 | |
14 | Province of Quebec | 2.352% | 9/21/20 | 17,600 | 17,621 |
Province of Quebec | 2.750% | 8/25/21 | 16,785 | 16,641 | |
4,10 Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 2,651 | 2,707 | |
4 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 8,368 | 8,546 |
Republic of Colombia | 7.375% | 3/18/19 | 238,005 | 247,075 | |
Republic of Colombia | 10.375% | 1/28/33 | 2,581 | 4,037 | |
Republic of Croatia | 6.750% | 11/5/19 | 91,795 | 96,300 | |
Republic of Guatemala | 5.750% | 6/6/22 | 15,373 | 16,190 | |
Republic of Hungary | 4.000% | 3/25/19 | 9,800 | 9,885 | |
Republic of Hungary | 6.250% | 1/29/20 | 114,828 | 120,561 | |
Republic of Hungary | 6.375% | 3/29/21 | 27,433 | 29,559 | |
Republic of Hungary | 5.750% | 11/22/23 | 11,505 | 12,569 | |
Republic of Indonesia | 11.625% | 3/4/19 | 9,595 | 10,280 | |
Republic of Indonesia | 4.875% | 5/5/21 | 57,364 | 59,408 | |
10 | Republic of Indonesia | 3.700% | 1/8/22 | 10,072 | 10,047 |
Republic of Indonesia | 3.750% | 4/25/22 | 11,700 | 11,658 | |
Republic of Indonesia | 3.375% | 4/15/23 | 5,450 | 5,302 | |
Republic of Kazakhstan | 4.875% | 10/14/44 | 6,300 | 6,177 | |
Republic of Korea | 7.125% | 4/16/19 | 8,800 | 9,151 | |
10 | Republic of Latvia | 2.750% | 1/12/20 | 4,000 | 3,971 |
Republic of Lithuania | 7.375% | 2/11/20 | 144,433 | 155,127 | |
Republic of Lithuania | 6.125% | 3/9/21 | 42,040 | 45,186 | |
10 | Republic of Lithuania | 6.125% | 3/9/21 | 8,205 | 8,821 |
Republic of Panama | 9.375% | 4/1/29 | 2,345 | 3,336 | |
Republic of Poland | 6.375% | 7/15/19 | 43,705 | 45,561 | |
Republic of Poland | 5.125% | 4/21/21 | 28,230 | 29,818 | |
Republic of Poland | 5.000% | 3/23/22 | 46,710 | 49,571 | |
Republic of Romania | 6.750% | 2/7/22 | 1,502 | 1,651 | |
17 | Republic of Romania | 2.750% | 10/29/25 | 14,635 | 19,132 |
Republic of Serbia | 5.875% | 12/3/18 | 71,641 | 72,602 | |
Republic of Serbia | 4.875% | 2/25/20 | 22,505 | 22,889 | |
Republic of Serbia | 7.250% | 9/28/21 | 21,450 | 23,681 | |
Republic of Slovenia | 4.750% | 5/10/18 | 9,758 | 9,752 | |
Republic of Slovenia | 5.500% | 10/26/22 | 11,740 | 12,794 | |
Republic of Slovenia | 5.850% | 5/10/23 | 2,100 | 2,344 | |
10 | Republic of Slovenia | 5.250% | 2/18/24 | 8,600 | 9,433 |
Republic of the Philippines | 9.500% | 2/2/30 | 10,000 | 14,825 | |
Republic of Turkey | 7.000% | 3/11/19 | 39,035 | 40,105 | |
Republic of Turkey | 7.500% | 11/7/19 | 9,750 | 10,281 | |
Republic of Turkey | 7.000% | 6/5/20 | 163,783 | 173,037 | |
Republic of Turkey | 5.750% | 3/22/24 | 7,285 | 7,394 | |
Republic of Turkey | 4.250% | 4/14/26 | 6,900 | 6,241 | |
Republic of Turkey | 4.875% | 10/9/26 | 810 | 756 |
Republic of Turkey | 6.125% | 10/24/28 | 18,996 | 18,949 | |
Republic of Turkey | 5.750% | 5/11/47 | 8,950 | 7,820 | |
Russian Federation | 5.250% | 6/23/47 | 36,400 | 35,267 | |
SABIC Capital II BV | 2.625% | 10/3/18 | 9,600 | 9,580 | |
Sinopec Group Overseas Development 2013 | |||||
Ltd. | 2.500% | 10/17/18 | 9,765 | 9,749 | |
10 | Sinopec Group Overseas Development 2013 | ||||
Ltd. | 4.375% | 10/17/23 | 20,200 | 20,608 | |
Sinopec Group Overseas Development 2013 | |||||
Ltd. | 4.375% | 10/17/23 | 4,000 | 4,080 | |
Sinopec Group Overseas Development 2014 | |||||
Ltd. | 4.375% | 4/10/24 | 13,200 | 13,412 | |
Sinopec Group Overseas Development 2015 | |||||
Ltd. | 2.500% | 4/28/20 | 4,800 | 4,718 | |
10 | Sinopec Group Overseas Development 2017 | ||||
Ltd. | 2.375% | 4/12/20 | 39,015 | 38,287 | |
10 | Slovak Republic | 4.375% | 5/21/22 | 5,500 | 5,761 |
Slovak Republic | 4.375% | 5/21/22 | 3,000 | 3,139 | |
State Bank of India | 3.275% | 4/6/20 | 42,900 | 42,947 | |
State Grid Overseas Investment 2014 Ltd. | 2.750% | 5/7/19 | 2,234 | 2,226 | |
State Grid Overseas Investment 2016 Ltd. | 2.250% | 5/4/20 | 2,800 | 2,744 | |
State of Israel | 4.000% | 6/30/22 | 22,255 | 22,922 | |
State of Israel | 3.150% | 6/30/23 | 15,800 | 15,663 | |
State of Israel | 2.875% | 3/16/26 | 9,635 | 9,173 | |
State of Israel | 3.250% | 1/17/28 | 36,514 | 35,213 | |
State of Kuwait | 2.750% | 3/20/22 | 42,883 | 41,559 | |
State of Qatar | 6.550% | 4/9/19 | 14,721 | 15,195 | |
State of Qatar | 5.250% | 1/20/20 | 39,600 | 40,807 | |
State of Qatar | 3.875% | 4/23/23 | 3,800 | 3,784 | |
State of Qatar | 4.500% | 4/23/28 | 7,800 | 7,783 | |
State of Qatar | 5.103% | 4/23/48 | 11,400 | 11,289 | |
Statoil ASA | 2.250% | 11/8/19 | 19,500 | 19,303 | |
Statoil ASA | 2.900% | 11/8/20 | 10,000 | 9,975 | |
Statoil ASA | 3.150% | 1/23/22 | 2,000 | 1,991 | |
Sultanate of Oman | 5.375% | 3/8/27 | 6,100 | 5,804 | |
10 | Temasek Financial I Ltd. | 4.300% | 10/25/19 | 7,250 | 7,386 |
10 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 4,795 |
YPF SA | 8.875% | 12/19/18 | 6,231 | 6,403 | |
Total Sovereign Bonds (Cost $5,203,369) | 5,146,177 | ||||
Taxable Municipal Bonds (0.1%) | |||||
California Department of Water Resources | |||||
Water System Revenue (Central Valley | |||||
Project) | 1.871% | 12/1/19 | 255 | 252 | |
California GO | 6.200% | 10/1/19 | 13,650 | 14,330 | |
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 2.107% | 7/1/18 | 5,350 | 5,346 | |
JobsOhio Beverage System Statewide Liquor | |||||
Profits Revenue | 2.217% | 1/1/19 | 1,850 | 1,848 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-EGSL | 3.220% | 2/1/21 | 6,523 | 6,536 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-ELL | 3.450% | 2/1/22 | 7,866 | 7,906 | |
San Jose California Redevelopment Agency | |||||
Successor Agency Tax Allocation | 1.898% | 8/1/18 | 21,224 | 21,215 |
San Jose California Redevelopment Agency | ||||||
Successor Agency Tax Allocation | 2.098% | 8/1/19 | 16,589 | 16,509 | ||
University of California Revenue | 2.054% | 5/15/18 | 3,400 | 3,400 | ||
University of California Revenue | 1.745% | 5/15/19 | 6,250 | 6,216 | ||
Total Taxable Municipal Bonds (Cost $83,511) | 83,558 | |||||
Tax-Exempt Municipal Bonds (0.0%) | ||||||
Calhoun County TX Navigation Industrial | ||||||
Development Authority Port Revenue (BP | ||||||
plc) VRDO (Cost $10,000) | 1.840% | 5/7/18 | 10,000 | 10,000 | ||
Shares | ||||||
Convertible Preferred Stocks (0.0%) | ||||||
11,16Lehman Brothers Holdings Inc. Pfd. (Cost $28,923) | 7.250% | Perpetual | 29,160 | — | ||
Temporary Cash Investments (5.2%) | ||||||
Money Market Fund (1.8%) | ||||||
22 Vanguard Market Liquidity Fund | 1.886% | 10,828,274 | 1,082,827 | |||
Face | ||||||
Amount | ||||||
($000) | ||||||
Certificates of Deposit (0.4%) | ||||||
Cooperatieve Rabobank UA | 1.980% | 10/25/19 | 248,845 | 245,386 | ||
Commercial Paper (3.0%) | ||||||
10,23CNH Industrial Capital LLC | 2.779% | 6/5/18 | 28,700 | 28,626 | ||
10,23CNH Industrial Capital LLC | 2.779% | 6/6/18 | 13,840 | 13,803 | ||
23 | CNH Industrial Capital LLC | 3.023% | 7/9/18 | 32,750 | 32,562 | |
23 | CNH Industrial Capital LLC | 3.023% | 7/10/18 | 8,190 | 8,142 | |
23 | Enbridge Energy Partners LP | 2.623% | 6/1/18 | 97,500 | 97,264 | |
10,23Energy Transfer LP | 3.003% | 6/12/18 | 468,000 | 466,371 | ||
23 | Engie SA | 1.937% | 11/8/18 | 46,455 | 45,938 | |
23 | Eni Finance USA Inc. | 2.365% | 11/30/18 | 48,740 | 47,940 | |
23 | Eni Finance USA Inc. | 2.490% | 1/29/19 | 19,500 | 19,077 | |
10,23Eni Finance USA Inc. | 2.489%–2.490% | 2/1/19 | 147,190 | 143,962 | ||
10,23ERP Operating LP | 2.339% | 10/1/18 | 13,875 | 13,737 | ||
10,23JP Morgan Securities LLC | 2.344% | 1/28/19 | 216,030 | 211,757 | ||
10,23KFW | 2.103% | 1/17/19 | 243,830 | 239,702 | ||
10,23KFW | 2.098% | 1/18/19 | 97,545 | 95,888 | ||
10,23KFW | 2.103% | 1/22/19 | 292,550 | 287,504 | ||
10,23Suncor Energy Inc. | 1.990% | 5/8/18 | 14,610 | 14,604 | ||
23 | UBS AG | 2.270% | 1/11/19 | 90,725 | 89,134 | |
10,23Vodafone Group plc | 1.770% | 9/4/18 | 7,679 | 7,629 | ||
1,863,640 | ||||||
Total Temporary Cash Investments (Cost $3,197,971) | 3,191,853 | |||||
Notional | ||||||
Amount | Value | |||||
Expiration Date | Contracts Exercise Price | ($000) | ($000) | |||
Options Purchased 24 (0.0%) | ||||||
Options on Futures Purchased (0.0%) | ||||||
Call Options on 10-Year U.S. | ||||||
Treasury Note Futures Contracts | 7/27/18 | 532 | USD 120.00 | 63,840 | 283 |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 266 | USD 119.50 | 31,787 | 195 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 532 | USD 120.00 | 63,840 | 665 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 266 | USD 119.50 | 63,840 | 253 |
Total Options on Futures Purchased (Cost $1,440) | 1,396 | ||||
Notional | |||||
Amount on | |||||
Underlying | |||||
Expiration | Swap | Value | |||
Counterparty | Date | Exercise Rate | ($000) | ($000) | |
Credit Default Swaptions Purchased (0.0%) | |||||
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index (Cost $397) | DBAG | 6/20/18 | 70.00% | 305,000 | 308 |
Total Options Purchased (Cost $1,837) | 1,704 | ||||
Total Investments (99.6%) (Cost $62,043,497) | 61,169,620 | ||||
Notional | |||||
Amount | |||||
Expiration Date | Contracts | Exercise Price | ($000) | ||
Liability for Options Written 24 (0.0%) | |||||
Written Options on Futures (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 532 | USD 119.25 | 63,441 | (299) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 533 | USD 119.50 | 63,694 | (208) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 1,064 | USD 120.25 | 127,946 | (116) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 533 | USD 119.25 | 63,560 | (358) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 532 | USD 120.00 | 63,840 | (150) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 427 | USD 120.50 | 51,454 | (60) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 1,064 | USD 120.25 | 127,946 | (781) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 533 | USD 119.50 | 63,694 | (142) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 532 | USD 119.25 | 63,441 | (100) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 959 | USD 120.00 | 115,080 | (629) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 427 | USD 120.50 | 51,454 | (434) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 1,063 | USD 119.00 | 126,497 | (233) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 533 | USD 119.25 | 63,560 | (158) |
Total Options on Futures Written (Premiums Received $3,838) | (3,668) |
Notional | |||||
Amount on | |||||
Underlying | |||||
Expiration | Swap | Value | |||
Counterparty | Date | Exercise Rate | ($000) | ($000) | |
Written Swaptions on Credit Default Index (0.0%) | |||||
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 67.50% | 130,910 | (432) |
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | 305,000 | (556) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 72.50% | 130,910 | (22) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | 305,000 | (581) |
Total Credit Default Swaptions Written (Premiums Received $1,722) | (1,591) | ||||
Total Liability on Options Written (Premiums Received $5,560) | (5,259) | ||||
Other Assets and Other Liabilities-Net (0.4%) | 262,057 | ||||
Net Assets (100%) | 61,426,418 |
1 Securities with a value of $11,822,000 have been segregated as collateral for open forward currency contracts
and open over-the-counter swap contracts.
2 Securities with a value of $25,369,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $34,655,000 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 based upon one-year Constant Maturity Treasury yield plus spread.
7 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
8 Interest only security.
9 Inverse floating rate Interest only security whose interest rate is derived by subtracting 1-month USD LIBOR from
a given cap.
10 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, 2018, the aggregate
value of these securities was $14,588,117,000, representing 23.7% of net assets.
11 Security value determined using significant unobservable inputs.
12 Security made only partial principal and/or interest payments during the period ended April 30, 2018.
13 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
14 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
15 Face amount denominated in Australian dollars.
16 Non-income-producing security--security in default.
17 Face amount denominated in euro.
18 Face amount denominated in British pounds.
19 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
20 Guaranteed by multiple countries.
21 Guaranteed by the Government of Japan.
22 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
23 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,
2018, the aggregate value of these securities was $1,863,640,000, representing 3.0% of net assets.
24 Unrealized appreciation (depreciation) on options on futures contracts is required to be treated as realized gain
(loss) for tax purposes. Unrealized appreciation (depreciation) on open credit default swaptions is generally
treated the same for financial reporting and tax purposes.
DBAG—Deutsche Bank AG.
GO—General Obligation Bond.
REMICS—Real Estate Mortgage Investment Conduits.
VRDO—Variable Rate Demand Obligation.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2018 | 44,008 | 4,995,252 | (23,338) |
Euro-Buxl | June 2018 | 487 | 96,179 | 38 |
(23,300) | ||||
Short Futures Contracts | ||||
Euro-Bobl | June 2018 | (5,942) | (940,008) | (1,194) |
Euro-Bund | June 2018 | (4,348) | (833,496) | (9,037) |
Ultra 10-Year U.S. Treasury Note | June 2018 | (5,072) | (648,661) | 3,092 |
2-Year U.S. Treasury Note | June 2018 | (2,538) | (538,175) | (128) |
10-Year U.S. Treasury Note | June 2018 | (2,330) | (278,726) | (88) |
Ultra Long U.S. Treasury Bond | June 2018 | (1,696) | (266,484) | 2,369 |
30-Year U.S. Treasury Bond | June 2018 | (1,278) | (183,832) | 1,182 |
AUD 3-Year Treasury Bond | June 2018 | (836) | (69,806) | 20 |
Long Gilt | June 2018 | (272) | (45,782) | (495) |
AUD 10-Year Treasury Bond | June 2018 | (58) | (5,585) | (14) |
(4,293) | ||||
(27,593) |
Unrealized appreciation (depreciation) on open futures contracts, except for 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. Unrealized appreciation (depreciation) for AUD 3-Year Treasury Bond and AUD 10-Year Treasury Bond futures contracts are generally treated the same for financial reporting and tax purposes.
Short-Term Investment-Grade Fund
Forward Currency Contracts | ||||||
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
JPMorgan Chase Bank, N.A. | 5/15/18 | EUR | 49,314 | USD | 60,150 | (530) |
Goldman Sachs Bank AG | 5/15/18 | EUR | 20,801 | USD | 25,749 | (601) |
UBS AG | 5/15/18 | EUR | 8,386 | USD | 10,363 | (224) |
Toronto-Dominion Bank | 5/15/18 | AUD | 13,680 | USD | 10,348 | (48) |
Toronto-Dominion Bank | 5/15/18 | USD | 414,467 | EUR | 336,077 | 8,155 |
Citibank, N.A. | 5/15/18 | USD | 124,910 | AUD | 161,000 | 3,697 |
BNP Paribas | 5/15/18 | USD | 50,755 | GBP | 35,708 | 1,560 |
JPMorgan Chase Bank, N.A. | 5/15/18 | USD | 3,588 | EUR | 2,968 | (1) |
HSBC Bank USA, N.A. | 5/15/18 | USD | 3,093 | EUR | 2,500 | 70 |
Goldman Sachs Bank AG | 5/15/18 | USD | 2,561 | EUR | 2,117 | 1 |
12,079 | ||||||
AUD—Australian dollar. | ||||||
EUR—euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary
income for tax purposes.
Centrally Cleared Credit Default Swaps | |||||
Periodic | |||||
Premium | Unrealized | ||||
Received | Appreciation | ||||
Termination | Notional Amount | (Paid)1 | Value | (Depreciation) | |
Reference Entity | Date | (000) | (%) | ($000) | ($000) |
Credit Protection Sold | |||||
CDX-NA-HY-S30-V1 | 6/20/23 | USD 25,991 | 5.000 | 1,798 | 5 |
CDX-NA-IG-S29-V1 | 12/20/22 | USD 103,768 | 1.000 | 2,107 | 117 |
CDX-NA-IG-S30-V1 | 6/20/23 | USD 130,805 | 1.000 | 2,424 | 43 |
iTraxx Europe-S29-V1 | 6/20/23 | EUR 32,478 | 1.000 | 910 | 3 |
7,239 | 168 |
Short-Term Investment-Grade Fund
Credit Protection Purchased | ||||||
iTraxx Europe-S28-V1 | 12/20/22 | EUR | 98,011 | (1.000) | (2,957) | (258) |
4,282 | (90) | |||||
1. Periodic premium received/paid quarterly. | ||||||
EUR—euro. | ||||||
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | |||||||
Remaining | |||||||
Periodic | Up-Front | ||||||
Premium | Premium | Unrealized | |||||
Terminatio | Notional | Received | Received | Appreciation | |||
n | Counter | Amount | (Paid) | Value | (Paid) | (Depreciation) | |
Reference Entity | Date | party | ($000) | (%) | ($000) | ($000) | ($000) |
Credit Protection Sold/Moody's Rating | |||||||
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/21 | GSI | 6,675 | 1.0002 | 123 | (32) | 91 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/21 | JPMC | 10,030 | 1.0002 | 186 | (30) | 156 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 12/20/21 | GSI | 14,650 | 1.0002 | 275 | (86) | 189 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/22 | BARC | 32,955 | 1.0002 | 605 | (466) | 139 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 12/20/22 | BARC | 16,580 | 1.0002 | 288 | (262) | 26 |
Comcast | |||||||
Corp./A3 | 12/20/22 | GSI | 13,330 | 1.0002 | 319 | (363) | (44) |
Federative | |||||||
Republic of | |||||||
Brazil/Ba2 | 9/20/18 | BNPSW | 19,510 | 1.0002 | 39 | (34) | 5 |
General Electric | |||||||
Capital Corp./A2 | 12/20/19 | DBAG | 29,290 | 1.0002 | 336 | (206) | 130 |
International | |||||||
Lease Finance | |||||||
Corp./Baa3 | 6/20/22 | BARC | 22,445 | 1.0002 | 244 | (9) | 235 |
Metlife/A3 | 12/20/20 | GSCM | 14,025 | 1.0002 | 254 | - | 254 |
Metlife/A3 | 12/20/21 | BARC | 6,575 | 1.0002 | 132 | (9) | 123 |
People’s | |||||||
Republic of | |||||||
China/A1 | 6/20/22 | BNPSW | 26,335 | 1.0002 | 563 | (189) | 374 |
People’s | |||||||
Republic of | 6/20/23 | GSI | 49,000 | 1.0002 | 964 | (831) | 133 |
Short-Term Investment-Grade Fund | |||||||
China/A1 | |||||||
Republic of | |||||||
Chile/Aa3 | 6/20/23 | BNPSW | 13,700 | 1.0002 | 310 | (319) | (9) |
Republic of | |||||||
Chile/Aa3 | 6/20/23 | BOANA | 20,400 | 1.0002 | 462 | (465) | (3) |
Republic of | |||||||
Chile/Aa3 | 6/20/23 | CITNA | 27,580 | 1.0002 | 625 | (617) | 8 |
Republic of | |||||||
Indonesia/Baa2 | 6/20/23 | BNPSW | 8,700 | 1.0002 | (21) | 10 | (11) |
Southern | |||||||
Co./Baa2 | 6/20/22 | JPMC | 131,955 | 1.0002 | 2,437 | (1,831) | 606 |
Verizon | |||||||
Communications | |||||||
Inc./Baa1 | 12/20/22 | GSI | 33,580 | 1.0002 | 641 | (540) | 101 |
Total | 8,782 | (6,279) | 2,503 | ||||
Credit Protection | |||||||
Purchased | |||||||
Aetna Inc. | 12/20/19 | CSFBI | 19,525 | (1.000)2 | (302) | 215 | (87) |
Aetna Inc. | 6/20/20 | GSCM | 19,530 | (1.000)2 | (383) | 333 | (50) |
Altria Group | 12/20/21 | GSI | 73,260 | (1.000)2 | (1,998) | 1,605 | (393) |
Altria Group | 12/20/21 | GSI | 14,650 | (1.000)2 | (400) | 321 | (79) |
Altria Group | 12/20/21 | GSI | 9,770 | (1.000)2 | (267) | 214 | (53) |
American | |||||||
International | |||||||
Group Inc. | 6/20/20 | BOANA | 11,720 | (1.000)2 | (195) | 94 | (101) |
American | |||||||
International | |||||||
Group Inc. | 6/20/20 | BOANA | 11,720 | (1.000)2 | (195) | 94 | (101) |
American | |||||||
International | |||||||
Group Inc. | 12/20/20 | GSCM | 14,025 | (1.000)2 | (263) | 169 | (94) |
American | |||||||
International | |||||||
Group Inc. | 12/20/20 | GSCM | 6,990 | (1.000)2 | (131) | (58) | (189) |
Autozone Inc. | 12/20/20 | GSCM | 9,760 | (1.000)2 | (203) | 185 | (18) |
Banco Bilbao | |||||||
Vizcaya | |||||||
Argentaria SA | 6/20/21 | BOANA | 24,415 | (1.000)2 | (519) | (112) | (631) |
Bank of America | |||||||
Corp. | 3/20/20 | GSCM | 21,610 | (1.000)2 | (312) | 131 | (181) |
Bank of China | |||||||
Ltd. | 12/20/21 | BNPSW | 13,100 | (1.000)2 | (273) | (33) | (306) |
Bank of China | |||||||
Ltd. | 6/20/22 | BNPSW | 26,335 | (1.000)2 | (526) | 4 | (522) |
Barclays Bank | |||||||
plc | 6/20/22 | BOANA | 33,5351 | (1.000)2 | (1,026) | 595 | (431) |
Barclays Bank | |||||||
plc | 6/20/22 | CSFBI | 33,5401 | (1.000)2 | (1,026) | 603 | (423) |
Barclays Bank | |||||||
plc | 12/20/22 | CITNA | 13,3501 | (1.000)2 | 315 | (516) | (201) |
CECONOMY | 6/20/22 | BARC | (1.000)2 | (345) | (54) | (399) |
Short-Term Investment-Grade Fund | |||||||
AG | 23,0901 | ||||||
CECONOMY | |||||||
AG | 6/20/22 | BARC | 16,5201 | (1.000)2 | (247) | (30) | (277) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 16,5201 | (1.000)2 | (247) | (40) | (287) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 6,5901 | (1.000)2 | (99) | (12) | (111) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 6,5901 | (1.000)2 | (98) | (28) | (126) |
CECONOMY | |||||||
AG | 6/20/22 | BARC | 6,5901 | (1.000)2 | (99) | 6 | (93) |
CMBX-NA-AAA- | |||||||
9 | 9/17/58 | CSFBI | 19,480 | (0.500)3 | (41) | (671) | (712) |
CMBX-NA-AAA- | |||||||
9 | 9/17/58 | GSI | 3,910 | (0.500)3 | (8) | (158) | (166) |
CMBX-NA-AAA- | |||||||
9 | 9/17/58 | JPM | 19,300 | (0.500)3 | (40) | (950) | (990) |
CMBX-NA-AAA- | |||||||
9 | 9/17/58 | JPM | 19,150 | (0.500)3 | (40) | (686) | (726) |
Commerzbank | |||||||
AG | 6/20/21 | BOANA | 24,410 | (1.000)2 | (446) | (182) | (628) |
CVS Health | |||||||
Corp. | 12/20/20 | BOANA | 9,760 | (1.000)2 | (197) | 182 | (15) |
CVS Health | |||||||
Corp. | 12/20/20 | BOANA | 9,760 | (1.000)2 | (197) | 179 | (18) |
CVS Health | |||||||
Corp. | 12/20/20 | BOANA | 4,880 | (1.000)2 | (99) | 91 | (8) |
CVS Health | |||||||
Corp. | 12/20/20 | BOANA | 4,880 | (1.000)2 | (99) | 68 | (31) |
CVS Health | |||||||
Corp. | 12/20/21 | BARC | 19,535 | (1.000)2 | (463) | 475 | 12 |
CVS Health | |||||||
Corp. | 12/20/21 | BARC | 6,620 | (1.000)2 | (157) | 156 | (1) |
CVS Health | |||||||
Corp. | 12/20/21 | JPMC | 29,300 | (1.000)2 | (694) | 619 | (75) |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 33,535 | (1.000)2 | 48 | 150 | 198 |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 20,120 | (1.000)2 | 29 | 105 | 134 |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 13,415 | (1.000)2 | 19 | 61 | 80 |
Dominion | |||||||
Energy Inc. | 12/20/20 | JPMC | 97,580 | (1.000)2 | (2,066) | 1,758 | (308) |
Dominion | |||||||
Energy Inc. | 12/20/20 | JPMC | 97,580 | (1.000)2 | (2,067) | 1,835 | (232) |
Dominion | |||||||
Energy Inc. | 6/20/22 | JPMC | 16,495 | (1.000)2 | (415) | 468 | 53 |
EI du Pont de | |||||||
Nemours & Co. | 12/20/20 | JPMC | 25,215 | (1.000)2 | (524) | 326 | (198) |
Enel Investment | |||||||
Holding BV | 6/20/22 | BNPSW | 33,5351 | (1.000)2 | (1,005) | 554 | (451) |
Exelon Corp. | 6/20/22 | JPMC | 26,390 | (1.000)2 | (736) | 720 | (16) |
Exelon Corp. | 6/20/22 | JPMC | 16,495 | (1.000)2 | (460) | 455 | (5) |
Federal Express | |||||||
Corp. | 12/20/18 | GSCM | 21,640 | (1.000)2 | (137) | 44 | (93) |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/22 | CITNA | 8,626 | (1.000)2 | 188 | (272) | (84) |
Short-Term Investment-Grade Fund | |||||||
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/22 | GSI | 18,330 | (1.000)2 | 399 | (792) | (393) |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | BNPSW | 37,265 | (1.000)2 | 1,183 | (1,044) | 139 |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | BOANA | 9,000 | (1.000)2 | 286 | (288) | (2) |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | JPMC | 43,800 | (1.000)2 | 1,390 | (1,264) | 126 |
Federative | |||||||
Republic of | |||||||
Brazil | 6/20/23 | JPMC | 9,000 | (1.000)2 | 286 | (283) | 3 |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/25 | BOANA | 23,222 | (1.000)2 | 1,748 | (5,099) | (3,351) |
Federative | |||||||
Republic of | |||||||
Brazil | 12/20/25 | GSCM | 10,925 | (1.000)2 | 823 | (2,238) | (1,415) |
Lincoln National | |||||||
Corp. | 6/20/21 | BARC | 3,340 | (1.000)2 | (74) | (58) | (132) |
Lincoln National | |||||||
Corp. | 6/20/21 | BARC | 3,335 | (1.000)2 | (75) | 58 | (17) |
Lincoln National | |||||||
Corp. | 12/20/21 | BARC | 6,575 | (1.000)2 | (147) | (12) | (159) |
McDonald’s | |||||||
Corp. | 6/20/22 | GSI | 26,675 | (1.000)2 | (850) | 709 | (141) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | (1.000)2 | (152) | 118 | (34) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | (1.000)2 | (152) | 115 | (37) |
Raytheon Co. | 12/20/21 | GSI | 24,420 | (1.000)2 | (754) | 655 | (99) |
Raytheon Co. | 12/20/21 | GSI | 24,415 | (1.000)2 | (754) | 649 | (105) |
Republic of | |||||||
Colombia | 6/20/23 | BNPSW | 16,600 | (1.000)2 | 40 | (35) | 5 |
Republic of | |||||||
Korea | 9/20/18 | JPMC | 7,800 | (1.000)2 | (28) | 6 | (22) |
Republic of | |||||||
Philippines | 6/20/23 | GSI | 39,050 | (1.000)2 | (545) | 476 | (69) |
Republic of | |||||||
South Africa | 12/20/20 | JPMC | 18,950 | (1.000)2 | (89) | (805) | (894) |
Republic of | |||||||
Turkey | 6/20/18 | BNPSW | 23,410 | (1.000)2 | (15) | 17 | 2 |
Republic of | |||||||
Turkey | 3/20/19 | BNPSW | 19,520 | (1.000)2 | (67) | 2 | (65) |
Republic of | |||||||
Turkey | 3/20/19 | BNPSW | 19,515 | (1.000)2 | (66) | 1 | (65) |
Republic of | |||||||
Turkey | 12/20/19 | GSCM | 34,740 | (1.000)2 | (82) | (301) | (383) |
Republic of | |||||||
Turkey | 12/20/19 | GSCM | 34,100 | (1.000)2 | (80) | (296) | (376) |
Republic of | |||||||
Turkey | 6/20/20 | BNPSW | 48,800 | (1.000)2 | 27 | (246) | (219) |
Republic of | |||||||
Turkey | 6/20/20 | BNPSW | 24,385 | (1.000)2 | 13 | (170) | (157) |
Republic of | |||||||
Turkey | 6/20/20 | BNPSW | 19,510 | (1.000)2 | 11 | (58) | (47) |
Short-Term Investment-Grade Fund
Republic of | |||||||
Turkey | 6/20/20 | GSCM | 19,500 | (1.000)2 | 11 | (74) | (63) |
Republic of | |||||||
Turkey | 6/20/23 | BNPSW | 61,900 | (1.000)2 | 2,646 | (2,828) | (182) |
Republic of | |||||||
Turkey | 6/20/23 | GSI | 19,000 | (1.000)2 | 812 | (843) | (31) |
Royal Bank of | |||||||
Scotland plc | 12/20/20 | BNPSW | 18,060 | (1.000)2 | (349) | 82 | (267) |
Sempra Energy | 6/20/22 | JPMC | 26,390 | (1.000)2 | (691) | 698 | 7 |
Sempra Energy | 6/20/22 | JPMC | 16,495 | (1.000)2 | (432) | 448 | 16 |
Societe General | |||||||
SA | 12/20/21 | JPMC | 9,765 | (1.000)2 | (265) | 44 | (221) |
Standard | |||||||
Chartered Bank | 12/20/21 | JPMC | 16,475 | (1.000)2 | (448) | (28) | (476) |
State of Qatar | 6/20/22 | BOANA | 1,500 | (1.000)2 | (19) | (15) | (34) |
State of Qatar | 6/20/22 | CITNA | 3,450 | (1.000)2 | (44) | (34) | (78) |
UniCredit SpA | 6/20/22 | JPMC | 13,390 | (1.000)2 | 225 | (827) | (602) |
United Mexican | |||||||
States | 12/20/18 | DBAG | 4,900 | (1.000)2 | (26) | (4) | (30) |
UnitedHealth | |||||||
Group Inc. | 12/20/19 | CSFBI | 19,525 | (1.000)2 | (300) | 209 | (91) |
UnitedHealth | |||||||
Group Inc. | 6/20/20 | CSFBI | 19,530 | (1.000)2 | (381) | 320 | (61) |
Walt Disney Co. | 12/20/22 | CITNA | 13,330 | (1.000)2 | (448) | 369 | (79) |
Walt Disney Co. | 6/20/23 | CITNA | 33,255 | (1.000)2 | (1,143) | 1,014 | (129) |
Walt Disney Co. | 6/20/23 | CITNA | 19,955 | (1.000)2 | (686) | 668 | (18) |
Walt Disney Co. | 6/20/23 | CITNA | 13,295 | (1.000)2 | (457) | 438 | (19) |
Wells Fargo & | |||||||
Co. | 9/20/20 | BOANA | 25,940 | (1.000)2 | (443) | 257 | (186) |
Total | (18,608) | (1,276) | (19,884) | ||||
(17,381) |
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.
2 Periodic premium received/paid quarterly.
3 Periodic premium received/paid monthly.
BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.
CITNA—Citibank N.A.
CSFBI--Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
Short-Term Investment-Grade Fund
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPM--JP Morgan Securities.
JPMC--JP Morgan Chase Bank.
At April 30, 2018, the counterparties had deposited in segregated accounts securities with a value of $8,516,000 and cash of $2,610,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps | |||||||
Fixed | Floating | ||||||
Interest | Interest | ||||||
Rate | Rate | Unrealized | |||||
Future | Notional | Received | Received | Appreciation | |||
Terminati | Effective | Amount | (Paid)2 | (Paid) | Value | (Depreciation) | |
on Date | Date | ($000) | (%) | (%) | ($000) | ($000) | |
6/20/19 | 6/20/181 | 339,627 | 1.500 | (0.000) | 3 | (3,689) | (368) |
7/16/19 | N/A | 83,000 | 2.088 | (2.348) | 3 | (490) | (491) |
11/21/19 | N/A | 130,000 | 1.891 | (1.892) | 3 | (1,521) | (1,522) |
3/31/20 | 7/5/181 | 900,346 | 2.623 | (0.000) | 3 | (2,286) | (2,294) |
6/22/20 | 6/20/181 | 315,273 | (1.750) | 0.000 | 3 | 6,415 | 736 |
12/18/20 | N/A | 195,160 | 2.117 | (2.177) | 3 | (3,453) | (3,455) |
12/18/20 | N/A | 97,570 | 2.110 | (2.177) | 3 | (1,744) | (1,745) |
6/21/21 | 6/20/181 | 40,290 | (1.750) | 0.000 | 3 | 1,305 | 138 |
6/20/22 | 6/20/181 | 160,735 | (1.750) | 0.000 | 3 | 7,085 | 688 |
6/20/23 | 6/20/181 | 28,407 | 2.000 | (0.000) | 3 | (1,246) | (134) |
2/28/25 | 6/29/181 | 262,143 | (2.895) | 0.000 | 3 | 787 | 784 |
6/20/25 | 6/20/181 | 309,437 | (2.000) | 0.000 | 3 | 19,156 | 1,750 |
11/16/43 | 6/29/181 | 75,083 | (3.064) | 0.000 | 3 | (697) | (699) |
19,622 | (6,612) |
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 Fixed interest payment received/paid semi-annually.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
Floating interest payment received/paid quarterly.
Unrealized appreciation (depreciation) on open swap contracts is generally treated the
Short-Term Investment-Grade Fund
same for financial reporting and tax purposes.
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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,440,953 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 13,246,420 | 120,868 |
Short-Term Investment-Grade Fund
Corporate Bonds | — | 33,894,826 | 33,261 |
Sovereign Bonds | — | 5,146,177 | — |
Taxable Municipal Bonds | — | 83,558 | — |
Tax-Exempt Municipal Bonds | — | 10,000 | — |
Convertible Preferred Stocks | — | — | —2 |
Temporary Cash Investments | 1,082,827 | 2,109,026 | — |
Options Purchased | 1,396 | 308 | — |
Liability for Options Written | (3,668) | (1,591) | — |
Futures Contracts—Assets1 | 2,369 | — | — |
Futures Contracts—Liabilities1 | (7,666) | — | — |
Forward Currency Contracts—Assets | — | 13,483 | — |
Forward Currency Contracts—Liabilities | — | (1,404) | — |
Swap Contracts—Assets | 651 | 3,345 | — |
Swap Contracts—Liabilities | (1,160)1 | (20,726) | — |
Total | 1,074,163 | 59,924,375 | 154,129 |
1 Represents variation margin on the last day of the reporting period. | |||
2 Market value of convertible preferred stocks based on Level 3 inputs. |
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 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).
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
Short-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).
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,
Short-Term Investment-Grade Fund
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.
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.
Short-Term Investment-Grade Fund
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.
H. At April 30, 2018, the cost of investment securities for tax purposes was $62,042,273,000. Net unrealized depreciation of investment securities for tax purposes was $874,357,000, consisting of unrealized gains of $56,958,000 on securities that had risen in value since their purchase and $931,315,000 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, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (95.6%) | |||||
U.S. Government Securities (20.8%) | |||||
United States Treasury Note/Bond | 1.500% | 1/31/19 | 330,000 | 328,297 | |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 50,000 | 49,461 | |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 120,000 | 119,306 | |
United States Treasury Note/Bond | 1.250% | 5/31/19 | 10,500 | 10,380 | |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 130,000 | 128,010 | |
United States Treasury Note/Bond | 1.250% | 6/30/19 | 81,510 | 80,504 | |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 7,800 | 7,694 | |
United States Treasury Note/Bond | 1.750% | 11/30/19 | 6,100 | 6,035 | |
United States Treasury Note/Bond | 2.250% | 2/29/20 | 15,700 | 15,636 | |
United States Treasury Note/Bond | 1.875% | 12/15/20 | 7,250 | 7,120 | |
United States Treasury Note/Bond | 2.000% | 1/15/21 | 60,580 | 59,624 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 15,500 | 14,936 | |
1 | United States Treasury Note/Bond | 1.375% | 5/31/21 | 99,740 | 95,969 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 33,200 | 31,654 | |
United States Treasury Note/Bond | 1.125% | 7/31/21 | 41,500 | 39,503 | |
2 | United States Treasury Note/Bond | 1.625% | 8/31/22 | 8,100 | 7,728 |
United States Treasury Note/Bond | 1.875% | 9/30/22 | 14,700 | 14,158 | |
United States Treasury Note/Bond | 2.250% | 8/15/27 | 3,100 | 2,925 | |
1,018,940 | |||||
Agency Bonds and Notes (63.7%) | |||||
3 | AID-Iraq | 2.149% | 1/18/22 | 15,366 | 14,966 |
3 | AID-Israel | 0.000% | 11/1/19 | 14,470 | 13,883 |
3 | AID-Israel | 5.500% | 9/18/23 | 12,700 | 14,229 |
3 | AID-Israel | 5.500% | 4/26/24 | 4,100 | 4,646 |
3 | AID-Jordan | 2.578% | 6/30/22 | 33,500 | 33,061 |
3 | AID-Tunisia | 1.416% | 8/5/21 | 12,300 | 11,731 |
3 | AID-Ukraine | 1.844% | 5/16/19 | 11,665 | 11,630 |
4 | Fannie Mae Interest Strip | 0.000% | 1/15/19 | 1,560 | 1,535 |
4 | Fannie Mae Principal Strip | 0.000% | 2/1/19 | 25,682 | 25,247 |
5 | Federal Home Loan Banks | 0.625% | 8/7/18 | 6,440 | 6,419 |
5 | Federal Home Loan Banks | 1.750% | 12/14/18 | 3,000 | 2,993 |
5 | Federal Home Loan Banks | 1.250% | 1/16/19 | 45,400 | 45,108 |
5 | Federal Home Loan Banks | 1.375% | 3/18/19 | 21,000 | 20,839 |
5 | Federal Home Loan Banks | 5.375% | 5/15/19 | 46,000 | 47,429 |
5 | Federal Home Loan Banks | 1.375% | 5/28/19 | 34,300 | 33,954 |
5 | Federal Home Loan Banks | 0.875% | 8/5/19 | 83,500 | 81,900 |
5 | Federal Home Loan Banks | 2.125% | 2/11/20 | 82,700 | 82,097 |
5 | Federal Home Loan Banks | 2.375% | 3/30/20 | 5,700 | 5,682 |
5 | Federal Home Loan Banks | 1.750% | 6/12/20 | 20,000 | 19,658 |
5,6 | Federal Home Loan Banks | 1.800% | 8/28/20 | 50,000 | 48,970 |
5,6 | Federal Home Loan Banks | 1.800% | 8/28/20 | 123,250 | 120,710 |
5 | Federal Home Loan Banks | 1.375% | 9/28/20 | 43,740 | 42,461 |
4,6 | Federal Home Loan Mortgage Corp. | 1.275% | 6/28/19 | 50,000 | 49,339 |
4 | Federal Home Loan Mortgage Corp. | 0.875% | 7/19/19 | 28,350 | 27,832 |
4,6 | Federal Home Loan Mortgage Corp. | 1.250% | 7/26/19 | 50,000 | 49,268 |
4 | Federal Home Loan Mortgage Corp. | 1.375% | 8/15/19 | 96,700 | 95,417 |
4,6 | Federal Home Loan Mortgage Corp. | 1.800% | 4/13/20 | 75,000 | 73,777 |
4 | Federal Home Loan Mortgage Corp. | 2.500% | 4/23/20 | 136,900 | 136,726 |
4,6 | Federal Home Loan Mortgage Corp. | 1.700% | 9/29/20 | 164,060 | 160,185 |
4,6 | Federal Home Loan Mortgage Corp. | 1.800% | 9/29/20 | 75,000 | 73,385 |
4 | Federal Home Loan Mortgage Corp. | 2.375% | 2/16/21 | 144,800 | 143,604 |
4,6 | Federal Home Loan Mortgage Corp. | 2.753% | 1/30/23 | 50,000 | 49,395 |
4,6 | Federal National Mortgage Assn. | 1.250% | 9/27/18 | 10,000 | 9,971 |
4 | Federal National Mortgage Assn. | 1.375% | 1/28/19 | 33,750 | 33,553 |
4 | Federal National Mortgage Assn. | 0.875% | 8/2/19 | 16,950 | 16,627 |
4 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 275,300 | 265,345 |
4,6 | Federal National Mortgage Assn. | 1.250% | 11/25/19 | 75,000 | 73,482 |
4,6 | Federal National Mortgage Assn. | 1.150% | 11/29/19 | 77,500 | 75,907 |
4,6 | Federal National Mortgage Assn. | 1.750% | 1/17/20 | 50,000 | 49,269 |
4 | Federal National Mortgage Assn. | 2.000% | 10/5/22 | 43,400 | 41,886 |
4 | Federal National Mortgage Assn. | 2.375% | 1/19/23 | 44,800 | 43,781 |
4 | Federal National Mortgage Assn. | 1.875% | 9/24/26 | 75,650 | 68,636 |
5 | Financing Corp. | 0.000% | 5/11/18 | 108,000 | 107,947 |
5 | Financing Corp. | 0.000% | 11/2/18 | 1,540 | 1,524 |
5 | Financing Corp. | 0.000% | 12/6/18 | 32,496 | 32,083 |
5 | Financing Corp. | 0.000% | 3/7/19 | 3,910 | 3,834 |
5 | Financing Corp. | 9.700% | 4/5/19 | 5,820 | 6,208 |
Government Trust Certificate | 0.000% | 4/1/20 | 10,419 | 9,888 | |
Government Trust Certificate | 0.000% | 10/1/20 | 7,711 | 7,206 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 9,570 | 9,738 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 24,042 | 23,690 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 12,393 | 12,295 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 17,450 | 17,269 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,430 | 4,646 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 15,500 | 15,927 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 5,300 | 5,122 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 16,200 | 16,302 | |
Residual Funding Corp. Principal Strip | 0.000% | 1/15/21 | 52,508 | 48,802 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/26 | 12,990 | 10,083 | |
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/27 | 12,864 | 9,692 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/27 | 13,756 | 10,279 | |
Resolution Funding Corp. Interest Strip | 0.000% | 7/15/27 | 7,094 | 5,258 | |
Resolution Funding Corp. Interest Strip | 0.000% | 10/15/27 | 7,094 | 5,206 | |
Resolution Funding Corp. Principal Strip | 0.000% | 10/15/19 | 83,431 | 80,403 | |
Resolution Funding Corp. Principal Strip | 0.000% | 7/15/20 | 98,370 | 92,774 | |
Resolution Funding Corp. Principal Strip | 0.000% | 10/15/20 | 269,717 | 252,504 | |
5 | Tennessee Valley Authority | 2.250% | 3/15/20 | 61,100 | 60,705 |
5 | Tennessee Valley Authority | 4.700% | 7/15/33 | 20,990 | 24,299 |
5 | Tennessee Valley Authority Principal Strip | 0.000% | 11/1/25 | 17,342 | 13,638 |
3,113,856 | |||||
Conventional Mortgage-Backed Securities (9.9%) | |||||
4,6 | Fannie Mae Pool | 2.000% | 10/1/27–1/1/32 | 21,649 | 20,565 |
4,6 | Fannie Mae Pool | 2.500% | 2/1/28–11/1/31 | 127,869 | 124,491 |
4,6,7Fannie Mae Pool | 3.000% | 12/1/20–5/1/33 | 116,951 | 116,281 | |
4,6,7Fannie Mae Pool | 3.500% | 8/1/20–5/1/33 | 49,754 | 50,387 | |
4,6 | Fannie Mae Pool | 4.000% | 6/1/18–12/1/28 | 12,109 | 12,447 |
4,6 | Fannie Mae Pool | 4.500% | 5/1/18–10/1/25 | 1,478 | 1,499 |
4,6 | Fannie Mae Pool | 5.000% | 5/1/18–3/1/38 | 3,460 | 3,625 |
4,6 | Fannie Mae Pool | 5.500% | 5/1/18–1/1/25 | 410 | 417 |
4,6 | Fannie Mae Pool | 6.000% | 5/1/24 | 1 | 1 |
4,6 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 7,272 | 6,893 |
4,6 | Freddie Mac Gold Pool | 2.500% | 6/1/22–1/1/33 | 69,352 | 67,443 |
4,6,7Freddie Mac Gold Pool | 3.000% | 4/1/27–5/1/33 | 50,311 | 50,106 | |
4,6 | Freddie Mac Gold Pool | 3.500% | 3/1/21–8/1/29 | 14,897 | 15,128 |
4,6 | Freddie Mac Gold Pool | 4.000% | 6/1/18–1/1/29 | 7,643 | 7,858 |
4,6 | Freddie Mac Gold Pool | 4.500% | 5/1/18–9/1/26 | 5,248 | 5,296 |
4,6 | Freddie Mac Gold Pool | 5.000% | 5/1/18–6/1/25 | 1,916 | 1,953 |
4,6 | Freddie Mac Gold Pool | 5.500% | 7/1/18–2/1/19 | 9 | 9 |
4,6 | Freddie Mac Gold Pool | 6.000% | 10/1/18 | 3 | 3 |
484,402 | |||||
Nonconventional Mortgage-Backed Securities (1.2%) | |||||
4,6,8Fannie Mae Pool | 3.456% | 12/1/40 | 1,680 | 1,771 | |
4,6,9Fannie Mae REMICS 2005-45 | 2.267% | 6/25/35 | 992 | 998 | |
4,6,9Fannie Mae REMICS 2005-95 | 2.307% | 11/25/35 | 1,299 | 1,313 | |
4,6,9Fannie Mae REMICS 2006-46 | 2.217% | 6/25/36 | 3,720 | 3,739 | |
4,6,9Fannie Mae REMICS 2007-4 | 2.342% | 2/25/37 | 457 | 460 | |
4,6,9Fannie Mae REMICS 2012-122 | 2.297% | 11/25/42 | 1,352 | 1,363 | |
4,6,9Fannie Mae REMICS 2013-19 | 2.197% | 9/25/41 | 1,837 | 1,837 | |
4,6,9Fannie Mae REMICS 2013-39 | 2.247% | 5/25/43 | 1,740 | 1,750 | |
4,6,9Fannie Mae REMICS 2015-22 | 2.197% | 4/25/45 | 1,475 | 1,478 | |
4,6,9Fannie Mae REMICS 2016-55 | 2.397% | 8/25/46 | 2,928 | 2,968 | |
4,6,9Fannie Mae REMICS 2016-60 | 2.147% | 9/25/46 | 5,928 | 5,936 | |
4,6,9Fannie Mae REMICS 2016-62 | 2.297% | 9/25/46 | 5,898 | 5,944 | |
4,6,9Fannie Mae REMICS 2016-93 | 2.247% | 12/25/46 | 11,167 | 11,223 | |
4,6,8Freddie Mac Non Gold Pool | 3.342% | 7/1/35 | 6,910 | 7,295 | |
4,6,8Freddie Mac Non Gold Pool | 3.443% | 9/1/37 | 5,282 | 5,565 | |
4,6 | Freddie Mac Non Gold Pool | 3.751% | 7/1/33 | 924 | 972 |
4,6,9Freddie Mac REMICS | 2.247% | 11/15/36–8/15/43 | 2,721 | 2,737 | |
4,6,9Freddie Mac REMICS | 2.257% | 11/15/36 | 959 | 965 | |
4,6,9Freddie Mac REMICS | 2.347% | 6/15/42 | 512 | 517 | |
58,830 | |||||
Total U.S. Government and Agency Obligations (Cost $4,756,201) | 4,676,028 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (5.0%) | |||||
6 | Small Business Administration Participation | ||||
Certs 2017-20 | 2.880% | 5/1/37 | 3,976 | 3,853 | |
6 | Small Business Administration Participation | ||||
Certs 2017-20 | 2.850% | 10/1/37 | 20,297 | 19,547 | |
6 | Small Business Administration Participation | ||||
Certs 2017-20 | 2.790% | 11/1/37 | 27,800 | 26,900 | |
6 | Small Business Administration Participation | ||||
Certs 2017-20 | 2.780% | 12/1/37 | 23,400 | 22,853 | |
6 | Small Business Administration Participation | ||||
Certs 2017-20 | 3.310% | 4/1/38 | 66,100 | 65,713 | |
6 | Small Business Administration Participation | ||||
Certs 2018-20 | 2.920% | 1/1/38 | 19,600 | 19,192 | |
6 | Small Business Administration Participation | ||||
Certs 2018-20 | 3.220% | 2/1/38 | 31,900 | 31,705 | |
6 | Small Business Administration Participation | ||||
Certs 2018-20C | 3.200% | 3/1/38 | 54,800 | 54,027 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $247,603) | 243,790 |
Shares | |||||
Temporary Cash Investment (0.5%) | |||||
Money Market Fund (0.5%) | |||||
10 Vanguard Market Liquidity Fund (Cost | |||||
$25,643) | 1.886% | 256,456 | 25,646 | ||
Notional | |||||
Expiration | Exercise | Amount | |||
Date | Contracts | Price | ($000) | ||
Options on Futures Purchased11 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 42 | USD 120.00 | 5,040 | 22 |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 21 | USD 119.50 | 2,510 | 15 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 42 | USD 120.00 | 5,040 | 53 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 21 | USD 119.50 | 2,510 | 20 |
Total Options on Futures Purchased (Cost $113) | 110 | ||||
Total Investments (101.1%) (Cost $5,029,560) | 4,945,574 | ||||
Liability for Options Written11 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 42 | USD 119.25 | 5,009 | (24) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 42 | USD 119.50 | 5,019 | (16) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 84 | USD 120.25 | 10,101 | (9) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 42 | USD 119.25 | 5,009 | (28) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 42 | USD 120.00 | 5,040 | (12) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 34 | USD 120.50 | 4,097 | (5) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 84 | USD 120.25 | 10,101 | (62) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 42 | USD 119.50 | 5,019 | (11) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 42 | USD 119.25 | 5,009 | (8) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 76 | USD 120.00 | 9,120 | (50) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 34 | USD 120.50 | 4,097 | (35) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 84 | USD 119.00 | 9,996 | (18) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 42 | USD 119.25 | 5,009 | (12) |
Total Liability for Options Written (Premiums Received $303) | (290) | ||||
Other Assets and Other Liabilities-Net (-1.1%) | (51,361) | ||||
Net Assets (100%) | 4,893,923 |
1 Securities with a value of $277,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. | |
2 Securities with a value of $2,446,000 have been segregated as initial margin for open futures contracts. | |
3 U.S. government-guaranteed. |
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. | |
5 The 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. | |
6 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. | |
7 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2018. | |
8 Adjustable-rate security based upon one-year Constant Maturity Treasury yield plus spread. | |
9 Adjustable-rate security based upon 1-month USD LIBOR plus spread. | |
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. | |
11 Unrealized appreciation (depreciation) on options on futures contracts is required to be treated as realized gain (loss) for tax purposes. | |
REMICS—Real Estate Mortgage Investment Conduits. |
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | 2,159 | 457,809 | (875) |
5-Year U.S. Treasury Note | June 2018 | 3,132 | 355,506 | (1,688) |
(2,563) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2018 | (2,877) | (344,161) | 2,001 |
Ultra 10-Year U.S. Treasury Note | June 2018 | (400) | (51,156) | 268 |
30-Year U.S. Treasury Bond | June 2018 | (159) | (22,871) | (134) |
Ultra Long U.S. Treasury Bond | June 2018 | (137) | (21,526) | 152 |
2,287 | ||||
(276) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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
Short-Term Federal Fund
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. 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 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 4,676,028 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 243,790 | — |
Temporary Cash Investments | 25,646 | — | — |
Short-Term Federal Fund | |||
Options on Futures Purchased | 110 | — | — |
Liability for Options Written | (290) | — | — |
Futures Contracts—Assets1 | 177 | — | — |
Futures Contracts—Liabilities1 | (656) | — | — |
Total | 24,987 | 4,919,818 | — |
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 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).
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.
F. At April 30, 2018, the cost of investment securities for tax purposes was $5,029,447,000. Net unrealized depreciation of investment securities for tax purposes was $83,983,000, consisting of unrealized gains of $391,000 on securities that had risen in value since their purchase and $84,374,000 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, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (98.8%) | |||||
U.S. Government Securities (96.2%) | |||||
United States Treasury Inflation Indexed | |||||
Bonds | 0.125% | 4/15/20 | 75,000 | 79,070 | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 16,500 | 20,215 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 11,000 | 13,276 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 13,000 | 15,744 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 8,000 | 10,421 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 17,000 | 22,623 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 12,000 | 15,009 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 16,000 | 20,615 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 15,000 | 18,021 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 7,000 | 8,555 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 14,000 | 15,011 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 16,000 | 19,003 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 22,500 | 27,629 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 34,496 | 41,719 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 58,000 | 72,482 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 59,300 | 71,790 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 55,100 | 62,297 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 65,222 | 77,747 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 66,000 | 84,139 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 40,000 | 48,588 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 49,195 | 54,668 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 36,576 | 36,839 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 37,200 | 37,468 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 33,000 | 32,526 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 60,000 | 56,503 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 68,400 | 64,349 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 81,921 | 82,305 | |
1 | United States Treasury Note/Bond | 2.875% | 5/15/43 | 100,411 | 96,473 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 105,053 | 114,656 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 118,408 | 131,877 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 119,499 | 130,497 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 125,802 | 131,817 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 110,300 | 110,644 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 109,229 | 107,096 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 98,246 | 87,316 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 96,707 | 94,757 | |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 109,670 | 104,854 | |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 113,118 | 110,786 | |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 93,450 | 82,747 | |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 104,223 | 92,221 | |
United States Treasury Note/Bond | 2.250% | 8/15/46 | 94,800 | 79,395 | |
United States Treasury Note/Bond | 2.875% | 11/15/46 | 123,126 | 117,489 | |
United States Treasury Note/Bond | 3.000% | 2/15/47 | 115,927 | 113,409 | |
United States Treasury Note/Bond | 3.000% | 5/15/47 | 140,000 | 136,893 | |
United States Treasury Note/Bond | 2.750% | 8/15/47 | 125,100 | 116,265 | |
United States Treasury Note/Bond | 2.750% | 11/15/47 | 79,750 | 74,105 |
United States Treasury Note/Bond | 3.000% | 2/15/48 | 86,600 | 84,652 | ||
3,226,561 | ||||||
Agency Bonds and Notes (2.1%) | ||||||
2 | Fannie Mae Interest Strip | 0.000% | 5/15/29 | 4,592 | 3,127 | |
2 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 25,912 | 17,126 | |
2 | Federal Home Loan Mortgage Corp. | 0.000% | 12/14/29 | 20,000 | 13,350 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/28 | 1,771 | 1,260 | |
2 | Freddie Mac Coupon Strips | 0.000% | 9/15/28 | 1,000 | 697 | |
2 | Freddie Mac Coupon Strips | 0.000% | 1/15/30 | 15,658 | 10,396 | |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/30 | 12,896 | 8,503 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 21,802 | 15,663 | ||
70,122 | ||||||
Conventional Mortgage-Backed Securities (0.0%) | ||||||
2,3 | Fannie Mae Pool | 6.000% | 2/1/26–11/1/28 | 12 | 13 | |
13 | ||||||
Nonconventional Mortgage-Backed Securities (0.5%) | ||||||
2,3,4Fannie Mae REMICS 2016-1 | 2.247% | 2/25/46 | 6,187 | 6,221 | ||
2,3,4Fannie Mae REMICS 2016-6 | 2.347% | 2/25/46 | 4,186 | 4,237 | ||
2,3,4Freddie Mac REMICS | 2.297% | 5/15/46 | 4,137 | 4,170 | ||
2,3,4Freddie Mac REMICS | 2.347% | 10/15/46 | 3,822 | 3,862 | ||
18,490 | ||||||
Total U.S. Government and Agency Obligations (Cost $3,346,068) | 3,315,186 | |||||
Temporary Cash Investment (0.5%) | ||||||
Shares | ||||||
Money Market Fund (0.5%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost | |||||
$15,681) | 1.886% | 156,821 | 15,682 | |||
Notional | ||||||
Expiration | Exercise | Amount | Value | |||
Date | Contracts | Price | ($000) | ($000) | ||
Options on Futures Purchased (0.0%)6 | ||||||
Call Options on 10-Year U.S. | ||||||
Treasury Note Futures Contracts | 07/27/18 | 29 | USD 120.00 | 3,480 | 16 | |
Call Options on 10-Year U.S. | ||||||
Treasury Note Futures Contracts | 07/27/18 | 15 | USD 119.50 | 1,793 | 11 | |
Put Options on 10-Year U.S. | ||||||
Treasury Note Futures Contracts | 07/27/18 | 29 | USD 120.00 | 3,480 | 36 | |
Put Options on 10-Year U.S. | ||||||
Treasury Note Futures Contracts | 07/27/18 | 15 | USD 119.50 | 1,793 | 14 | |
Total Options on Futures Purchased (Cost $80) | 77 | |||||
Total Investments (99.3%) (Cost $3,361,829) | 3,330,945 | |||||
Liability for Options Written (0.0%)6 | ||||||
Call Options on 10-Year | ||||||
U.S. Treasury Note | ||||||
Futures Contracts | 05/11/18 | (29) | USD 119.25 | (3,458) | (16) | |
Call Options on 10-Year | ||||||
U.S. Treasury Note | ||||||
Futures Contracts | 05/11/18 | (29) | USD 119.50 | (3,465) | (11) |
Call Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/11/18 | (59) | USD 120.25 | (7,095) | (6) |
Call Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (29) | USD 119.25 | (3,458) | (19) |
Call Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (30) | USD 120.00 | (3,600) | (8) |
Call Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (23) | USD 120.50 | (2,772) | (3) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/11/18 | (59) | USD 120.25 | (7,095) | (43) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/11/18 | (29) | USD 119.50 | (3,465) | (8) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/11/18 | (29) | USD 119.25 | (3,458) | (5) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (53) | USD 120.00 | (6,360) | (35) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (23) | USD 120.50 | (2,771) | (23) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (58) | USD 119.00 | (6,902) | (13) |
Put Options on 10-Year | |||||
U.S. Treasury Note | |||||
Futures Contracts | 05/25/18 | (29) | USD 119.25 | (3,458) | (9) |
Total Liability for Options Written (Premiums Received $211) | (199) | ||||
Other Assets and Other Liabilities-Net (0.7%) | 24,968 | ||||
Net Assets (100%) | 3,355,714 |
1 Securities with a value of $3,315,000 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 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
6 Unrealized appreciation (depreciation) on options on futures contracts is required to be treated as realized gain
(loss) for tax purposes.
REMICS—Real Estate Mortgage Investment Conduits.
Derivative Financial Instruments Outstanding as of Period End | |||
Futures Contracts | |||
($000) | |||
Number of | Value and | ||
Long (Short) | Notional | Unrealized | |
Expiration | Contracts | Amount | Appreciation) |
(Depreciation | ||||
Long Futures Contracts | ||||
30-Year U.S. Treasury Note | June 2018 | 506 | 72,785 | (68) |
5-Year U.S. Treasury Bond | June 2018 | 403 | 45,744 | (247) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 225 | 28,775 | 132 |
Ultra Long U.S. Treasury Bond | June 2018 | 41 | 6,442 | 60 |
(123) | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | (381) | (80,790) | 222 |
10-Year U.S. Treasury Note | June 2018 | (203) | (24,284) | (11) |
211 | ||||
88 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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. 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 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).
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.
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). Any investments valued with
significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 3,315,186 | — |
Temporary Cash Investments | 15,682 | — | — |
Options on Futures Purchased | 77 | — | — |
Liability for Options Written | (199) | — | — |
Futures Contracts—Assets1 | 915 | — | — |
Futures Contracts—Liabilities1 | (326) | — | — |
Total | 16,149 | 3,315,186 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At April 30, 2018, the cost of investment securities for tax purposes was $3,361,749,000. Net unrealized depreciation of investment securities for tax purposes was $30,881,000 consisting of unrealized gains of $44,137,000 on securities that had risen in value since their purchase and $75,018,000 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, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (96.9%) | |||||
U.S. Government Securities (88.8%) | |||||
United States Treasury Inflation Indexed | |||||
Bonds | 2.125% | 1/15/19 | 217,100 | 255,079 | |
United States Treasury Inflation Indexed | |||||
Bonds | 0.125% | 4/15/19 | 314,300 | 332,465 | |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 100,000 | 99,297 | |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 75,000 | 74,613 | |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 50,000 | 49,430 | |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 120,000 | 119,137 | |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 102,000 | 101,379 | |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 3,000 | 2,983 | |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 125,000 | 124,199 | |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 30,000 | 30,248 | |
United States Treasury Note/Bond | 1.375% | 7/31/19 | 150,000 | 148,171 | |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 62,000 | 60,877 | |
United States Treasury Note/Bond | 1.250% | 8/31/19 | 70,000 | 68,961 | |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 100,000 | 99,000 | |
United States Treasury Note/Bond | 0.875% | 9/15/19 | 150,000 | 146,929 | |
United States Treasury Note/Bond | 1.375% | 9/30/19 | 50,000 | 49,289 | |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 173,000 | 171,405 | |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 100,000 | 98,297 | |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 101,000 | 99,627 | |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 75,000 | 76,054 | |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 200,000 | 197,124 | |
United States Treasury Note/Bond | 1.750% | 11/30/19 | 325,000 | 321,548 | |
United States Treasury Note/Bond | 1.375% | 12/15/19 | 160,000 | 157,299 | |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 13,000 | 12,671 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 43,100 | 42,211 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 4,350 | 4,255 | |
1 | United States Treasury Note/Bond | 1.375% | 5/31/20 | 249,600 | 243,829 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 126,000 | 123,402 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 153,700 | 150,770 | |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 49,100 | 48,417 | |
United States Treasury Note/Bond | 1.500% | 7/15/20 | 127,200 | 124,377 | |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 195,000 | 191,100 | |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 90,000 | 88,931 | |
United States Treasury Note/Bond | 1.500% | 8/15/20 | 45,000 | 43,960 | |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 114,000 | 114,178 | |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 85,000 | 82,729 | |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 90,000 | 89,114 | |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 140,000 | 136,107 | |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 175,000 | 172,648 | |
United States Treasury Note/Bond | 1.625% | 10/15/20 | 213,200 | 208,403 | |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 60,000 | 58,256 | |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 270,000 | 264,516 | |
United States Treasury Note/Bond | 1.750% | 11/15/20 | 75,000 | 73,477 | |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 104,750 | 104,832 | |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 100,000 | 97,594 | |
United States Treasury Note/Bond | 1.875% | 12/15/20 | 211,150 | 207,356 | |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 223,415 | 218,527 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 190,000 | 183,766 | |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 102,000 | 100,662 | |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 32,000 | 32,870 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 35,000 | 33,726 | |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 46,000 | 46,625 | |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 80,000 | 76,975 | |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 85,000 | 83,353 | |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 93,000 | 88,670 | |
United States Treasury Note/Bond | 1.125% | 7/31/21 | 150,000 | 142,782 | |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 170,000 | 166,972 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 65,000 | 63,558 | |
United States Treasury Note/Bond | 1.875% | 4/30/22 | 5,000 | 4,838 | |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 53,530 | 51,757 | |
6,861,625 | |||||
Agency Bonds and Notes (7.6%) | |||||
2 | AID-Iraq | 2.149% | 1/18/22 | 11,991 | 11,679 |
2 | AID-Tunisia | 1.416% | 8/5/21 | 16,500 | 15,737 |
3 | Fannie Mae Interest Strip | 0.000% | 1/15/19 | 2,197 | 2,162 |
3 | Fannie Mae Principal Strip | 0.000% | 2/1/19 | 9,900 | 9,732 |
3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 162,100 | 156,238 |
4 | Financing Corp. | 0.000% | 5/11/18 | 72,000 | 71,965 |
4 | Financing Corp. | 0.000% | 11/2/18 | 2,150 | 2,127 |
4 | Financing Corp. | 0.000% | 3/7/19 | 5,475 | 5,369 |
4 | Financing Corp. | 9.700% | 4/5/19 | 9,060 | 9,664 |
Government Trust Certificate | 0.000% | 10/1/20 | 12,119 | 11,325 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 13,330 | 13,564 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 30,534 | 30,086 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 5,800 | 5,754 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 7,550 | 7,472 | |
Residual Funding Corp. Principal Strip | 0.000% | 1/15/21 | 61,200 | 56,881 | |
Resolution Funding Corp. Principal Strip | 0.000% | 10/15/19 | 67,770 | 65,311 | |
Resolution Funding Corp. Principal Strip | 0.000% | 7/15/20 | 27,490 | 25,926 | |
Resolution Funding Corp. Principal Strip | 0.000% | 10/15/20 | 91,620 | 85,773 | |
586,765 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
3,5 | Freddie Mac Gold Pool | 6.000% | 10/1/27–4/1/28 | 75 | 83 |
83 | |||||
Nonconventional Mortgage-Backed Securities (0.5%) | |||||
3,5,6Fannie Mae REMICS 2016-1 | 2.247% | 2/25/46 | 11,383 | 11,445 | |
3,5,6Fannie Mae REMICS 2016-6 | 2.347% | 2/25/46 | 7,701 | 7,795 | |
3,5,6Fannie Mae REMICS 2016-93 | 2.247% | 12/25/46 | 8,194 | 8,235 | |
3,5,6Freddie Mac REMICS | 2.297% | 5/15/46 | 7,854 | 7,917 | |
3,5,6Freddie Mac REMICS | 2.347% | 10/15/46 | 7,347 | 7,424 | |
42,816 | |||||
Total U.S. Government and Agency Obligations (Cost $7,565,991) | 7,491,289 |
Shares | |||||
Temporary Cash Investment (1.8%) | |||||
Money Market Fund (1.8%) | |||||
7 Vanguard Market Liquidity Fund (Cost | |||||
$140,034) | 1.886% | 1,400,415 | 140,042 | ||
Notional | |||||
Expiration | Exercise | Amount | |||
Date | Contracts | Price | ($000) | ||
Options on Futures Purchased8 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 67 | USD 120.00 | 8,040 | 36 |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 33 | USD 119.50 | 3,944 | 24 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 67 | USD 120.00 | 8,040 | 84 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 33 | USD 119.50 | 3,944 | 31 |
Total Options on Futures Purchased (Cost $180) | 175 | ||||
Total Investments (98.7%) (Cost $7,706,205) | 7,631,506 | ||||
Liability for Options Written8 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 67 | USD 119.25 | 7,990 | (38) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 67 | USD 119.50 | 8,007 | (26) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 133 | USD 120.25 | 15,993 | (14) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 67 | USD 119.25 | 7,990 | (45) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 66 | USD 120.00 | 7,920 | (19) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 53 | USD 120.50 | 6,387 | (7) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 133 | USD 120.25 | 15,993 | (98) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 67 | USD 119.50 | 8,007 | (18) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 67 | USD 119.25 | 7,990 | (12) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 119 | USD 120.00 | 14,280 | (78) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 53 | USD 120.50 | 6,387 | (54) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 133 | USD 119.00 | 15,827 | (29) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 67 | USD 119.25 | 7,990 | (20) |
Total Liability for Options Written (Premiums Received $479) | (458) | ||||
Other Assets and Other Liabilities-Net (1.3%) | 99,262 | ||||
Net Assets (100%) | 7,730,310 |
1 Securities with a value of $4,423,000 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 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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.
8 Unrealized appreciation (depreciation) on options on future contracts is required to be treated as realized gain
(loss) for tax purposes.
REMICS—Real Estate Mortgage Investment Conduits
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | 3,833 | 812,776 | (779) |
5-Year U.S. Treasury Note | June 2018 | 4,051 | 459,820 | (1,737) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 266 | 34,019 | 97 |
(2,419) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2018 | (459) | (54,908) | (24) |
Ultra Long U.S. Treasury Bond | June 2018 | (215) | (33,782) | 238 |
214 | ||||
(2,205) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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. 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
Short-Term Treasury Fund
to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 7,491,289 | — |
Temporary Cash Investments | 140,042 | — | — |
Options on Futures Purchased | 175 | — | — |
Liability for Options Written | (458) | — | — |
Futures Contracts—Assets1 | 365 | — | — |
Futures Contracts—Liabilities1 | (246) | — | — |
Total | 139,878 | 7,491,289 | — |
1 Represents variation margin on the last day of the reporting period. |
C. 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 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).
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
Short-Term Treasury Fund
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.
D. At April 30, 2018, the cost of investment securities for tax purposes was $7,706,025,000. Net unrealized depreciation of investment securities for tax purposes was $74,694,000, consisting of unrealized gains of $452,000 on securities that had risen in value since their purchase and $75,146,000 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, 2018
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (94.3%) | ||||
U.S. Government Securities (89.8%) | ||||
United States Treasury Inflation Indexed | ||||
Bonds | 0.125% | 4/15/21 | 83,000 | 85,970 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 10,000 | 10,136 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 10,000 | 9,622 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 46,250 | 45,484 |
United States Treasury Note/Bond | 1.125% | 7/31/21 | 27,950 | 26,605 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 64,000 | 63,140 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 111,000 | 109,023 |
United States Treasury Note/Bond | 1.125% | 8/31/21 | 77,150 | 73,316 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 75,900 | 74,216 |
United States Treasury Note/Bond | 1.125% | 9/30/21 | 30,000 | 28,467 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 86,500 | 84,878 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 44,000 | 42,969 |
United States Treasury Note/Bond | 1.750% | 11/30/21 | 30,000 | 29,025 |
United States Treasury Note/Bond | 2.000% | 12/31/21 | 46,000 | 44,857 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 65,000 | 62,176 |
United States Treasury Note/Bond | 1.875% | 1/31/22 | 90,000 | 87,300 |
United States Treasury Note/Bond | 1.875% | 2/28/22 | 93,000 | 90,137 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 20,000 | 19,272 |
United States Treasury Note/Bond | 1.875% | 3/31/22 | 71,000 | 68,759 |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 44,000 | 42,357 |
United States Treasury Note/Bond | 1.875% | 4/30/22 | 150,000 | 145,125 |
United States Treasury Note/Bond | 1.750% | 5/31/22 | 77,600 | 74,642 |
United States Treasury Note/Bond | 1.750% | 6/30/22 | 41,000 | 39,411 |
United States Treasury Note/Bond | 1.875% | 7/31/22 | 123,600 | 119,254 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 7,000 | 6,681 |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 93,000 | 89,076 |
United States Treasury Note/Bond | 1.875% | 9/30/22 | 100,000 | 96,312 |
United States Treasury Note/Bond | 2.000% | 10/31/22 | 120,000 | 116,100 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 40,000 | 38,050 |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 130,000 | 126,283 |
United States Treasury Note/Bond | 2.375% | 1/31/23 | 52,000 | 51,058 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 55,000 | 53,066 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 54,000 | 50,862 |
United States Treasury Note/Bond | 2.625% | 2/28/23 | 49,000 | 48,648 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 50,000 | 47,031 |
United States Treasury Note/Bond | 2.500% | 3/31/23 | 20,000 | 19,731 |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 45,000 | 42,539 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 85,000 | 80,803 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 45,000 | 42,483 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 62,000 | 61,032 |
United States Treasury Note/Bond | 1.375% | 9/30/23 | 15,000 | 13,905 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 130,000 | 129,431 |
United States Treasury Note/Bond | 2.125% | 11/30/23 | 50,000 | 48,164 |
United States Treasury Note/Bond | 2.250% | 12/31/23 | 49,000 | 47,469 |
United States Treasury Note/Bond | 2.250% | 1/31/24 | 59,000 | 57,119 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 111,919 | 111,290 |
United States Treasury Note/Bond | 2.125% | 2/29/24 | 60,000 | 57,637 |
United States Treasury Note/Bond | 2.125% | 3/31/24 | 49,100 | 47,136 |
United States Treasury Note/Bond | 2.000% | 4/30/24 | 57,000 | 54,283 | |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 145,223 | 142,229 | |
United States Treasury Note/Bond | 2.000% | 5/31/24 | 72,000 | 68,490 | |
United States Treasury Note/Bond | 2.000% | 6/30/24 | 85,000 | 80,776 | |
United States Treasury Note/Bond | 2.125% | 7/31/24 | 49,000 | 46,879 | |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 163,018 | 158,229 | |
United States Treasury Note/Bond | 2.125% | 9/30/24 | 42,000 | 40,123 | |
United States Treasury Note/Bond | 2.250% | 10/31/24 | 62,000 | 59,637 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 119,200 | 114,600 | |
United States Treasury Note/Bond | 2.125% | 11/30/24 | 57,000 | 54,364 | |
United States Treasury Note/Bond | 2.250% | 12/31/24 | 74,000 | 71,086 | |
United States Treasury Note/Bond | 2.500% | 1/31/25 | 40,000 | 39,012 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 126,500 | 119,444 | |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 5,000 | 6,458 | |
United States Treasury Note/Bond | 2.750% | 2/28/25 | 43,000 | 42,583 | |
United States Treasury Note/Bond | 2.625% | 3/31/25 | 70,000 | 68,753 | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 128,000 | 121,560 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 110,509 | 103,810 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 95,000 | 90,636 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 82,884 | 75,347 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 149,891 | 135,839 | |
United States Treasury Note/Bond | 1.500% | 8/15/26 | 173,400 | 155,058 | |
United States Treasury Note/Bond | 2.000% | 11/15/26 | 160,000 | 148,600 | |
United States Treasury Note/Bond | 2.250% | 2/15/27 | 120,000 | 113,550 | |
United States Treasury Note/Bond | 2.375% | 5/15/27 | 65,000 | 62,065 | |
United States Treasury Note/Bond | 2.250% | 8/15/27 | 93,600 | 88,306 | |
United States Treasury Note/Bond | 2.250% | 11/15/27 | 100,000 | 94,188 | |
1 | United States Treasury Note/Bond | 6.125% | 11/15/27 | 10,000 | 12,637 |
United States Treasury Note/Bond | 2.750% | 2/15/28 | 34,000 | 33,426 | |
5,360,015 | |||||
Agency Bonds and Notes (4.0%) | |||||
2 | AID-Iraq | 2.149% | 1/18/22 | 9,930 | 9,671 |
2 | AID-Israel | 5.500% | 9/18/23 | 14,500 | 16,246 |
2 | AID-Israel | 5.500% | 4/26/24 | 4,700 | 5,326 |
2 | AID-Israel | 0.000% | 5/1/24 | 13,215 | 10,716 |
2 | AID-Israel | 0.000% | 11/1/24 | 75,000 | 60,827 |
2 | AID-Israel | 0.000% | 8/15/25 | 15,929 | 12,477 |
2 | AID-Tunisia | 1.416% | 8/5/21 | 15,200 | 14,497 |
Private Export Funding Corp. | 2.300% | 9/15/20 | 13,600 | 13,459 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,150 | 4,352 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 18,500 | 19,010 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 6,085 | 5,880 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 18,600 | 18,718 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/26 | 15,950 | 12,381 | |
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/27 | 15,818 | 11,917 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/27 | 16,673 | 12,459 | |
Resolution Funding Corp. Interest Strip | 0.000% | 7/15/27 | 8,704 | 6,452 | |
Resolution Funding Corp. Interest Strip | 0.000% | 10/15/27 | 8,704 | 6,387 | |
240,775 | |||||
Nonconventional Mortgage-Backed Securities (0.5%) | |||||
3,4,5Fannie Mae REMICS 2016-1 | 2.247% | 2/25/46 | 10,200 | 10,255 | |
3,4,5Fannie Mae REMICS 2016-6 | 2.347% | 2/25/46 | 6,901 | 6,984 | |
3,4,5Freddie Mac REMICS | 2.297% | 5/15/46 | 6,986 | 7,042 | |
3,4,5Freddie Mac REMICS | 2.347% | 10/15/46 | 6,488 | 6,556 | |
30,837 | |||||
Total U.S. Government and Agency Obligations (Cost $5,772,712) | 5,631,627 |
Asset-Backed/Commercial Mortgage-Backed Securities (4.9%) | |||||
5 Small Business Administration Participation | |||||
Certs 2017-20 | 2.880% | 5/1/37 | 4,730 | 4,583 | |
5 Small Business Administration Participation | |||||
Certs 2017-20 | 2.850% | 10/1/37 | 24,807 | 23,891 | |
5 Small Business Administration Participation | |||||
Certs 2017-20K | 2.790% | 11/1/37 | 32,600 | 31,544 | |
5 Small Business Administration Participation | |||||
Certs 2017-20 | 2.780% | 12/1/37 | 27,600 | 26,955 | |
5 Small Business Administration Participation | |||||
Certs 2017-20 | 3.310% | 4/1/38 | 80,900 | 80,426 | |
5 Small Business Administration Participation | |||||
Certs 2018-20A | 2.920% | 1/1/38 | 24,200 | 23,697 | |
5 Small Business Administration Participation | |||||
Certs 2018-20 | 3.220% | 2/1/38 | 38,900 | 38,662 | |
5 Small Business Administration Participation | |||||
Certs 2018-20C | 3.200% | 3/1/38 | 67,700 | 66,745 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $301,105) | 296,503 | ||||
Shares | |||||
Temporary Cash Investment (1.5%) | |||||
Money Market Fund (1.5%) | |||||
6 Vanguard Market Liquidity Fund (Cost | |||||
$88,998) | 1.886% | 889,990 | 88,999 | ||
Notional | |||||
Expiration | Amount | Value | |||
Date | Contracts Exercise Price | ($000) | ($000) | ||
Options on Futures Purchased7 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 26 | USD 119.50 | 3,107 | 19 |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 52 | USD 120.00 | 6,240 | 28 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 26 | USD 119.50 | 3,107 | 25 |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 7/27/18 | 52 | USD 120.00 | 6,240 | 65 |
Total Options on Futures Purchased (Cost $141) | 137 | ||||
Total Investments (100.7%) (Cost $6,162,956) | 6,017,266 | ||||
Liability for Options Written7 (0.0%) | |||||
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 52 | USD 119.25 | 6,201 | (29) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 52 | USD 119.50 | 6,214 | (20) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 104 | USD 120.25 | 12,506 | (11) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 52 | USD 119.25 | 6,201 | (35) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 52 | USD 120.00 | 6,240 | (15) |
Call Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 42 | USD 120.50 | 5,061 | (6) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 52 | USD 119.25 | 6,201 | (10) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 52 | USD 119.50 | 6,214 | (14) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/11/18 | 104 | USD 120.25 | 12,506 | (76) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 103 | USD 119.00 | 12,257 | (23) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 52 | USD 119.25 | 6,201 | (15) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 94 | USD 120.00 | 11,280 | (62) |
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | 42 | USD 120.50 | 5,061 | (43) |
Total Liability on Options Written (Premiums Received $375) | (359) | ||||
Other Assets and Liabilities-Net (-0.7%) | (43,356) | ||||
Net Assets (100%) | 5,973,551 |
1 Securities with a value of $1,915,000 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 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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 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 Unrealized appreciation (depreciation) on options on futures contracts is required to be treated as realized gain
(loss) for tax purposes.
REMICS—Real Estate Mortgage Investment Conduits.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2018 | 3,710 | 421,114 | (2,027) |
2-Year U.S. Treasury Note | June 2018 | 44 | 9,330 | (22) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 26 | 3,325 | 15 |
(2,034) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2018 | (2,525) | (302,053) | 1,177 |
Ultra Long U.S. Treasury Bond | June 2018 | (166) | (26,083) | 183 |
1,360 | ||||
(674) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
Intermediate-Term Treasury Fund
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. 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,631,627 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 296,503 | — |
Temporary Cash Investments | 88,999 | — | — |
Options Purchased | 137 | — | — |
Liability for Options Written | (359) | — | — |
Futures Contracts—Assets1 | 496 | — | — |
Futures Contracts—Liabilities1 | (563) | — | — |
Total | 88,710 | 5,928,130 | — |
1 Represents variation margin on the last day of the reporting period. |
C. 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
Intermediate-Term Treasury Fund
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 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).
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.
D. At April 30, 2018, the cost of investment securities for tax purposes was $6,162,956,000. Net unrealized depreciation of investment securities for tax purposes was $145,690,000, consisting of unrealized gains of $489,000 on securities that had risen in value since their purchase and $146,179,000 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, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (4.8%) | |||||
U.S. Government Securities (4.8%) | |||||
United States Treasury Note/Bond | 1.000% | 5/31/18 | 150,000 | 149,907 | |
1 | United States Treasury Note/Bond | 0.750% | 8/31/18 | 250,000 | 249,022 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 250,000 | 248,710 | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 250,000 | 248,165 | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 250,000 | 246,758 | |
Total U.S. Government and Agency Obligations (Cost $1,145,080) | 1,142,562 | ||||
Corporate Bonds (92.0%) | |||||
Finance (9.3%) | |||||
Banking (2.7%) | |||||
Ally Financial Inc. | 4.625% | 5/19/22 | 3,595 | 3,626 | |
Ally Financial Inc. | 5.125% | 9/30/24 | 16,315 | 16,764 | |
Ally Financial Inc. | 4.625% | 3/30/25 | 30,420 | 30,192 | |
Ally Financial Inc. | 5.750% | 11/20/25 | 56,528 | 58,436 | |
Ally Financial Inc. | 8.000% | 11/1/31 | 7,355 | 8,936 | |
2 | Banco Bilbao Vizcaya Argentaria SA | 6.125% | 2/16/66 | 78,600 | 76,046 |
2 | BNP Paribas SA | 6.750% | 3/14/66 | 57,750 | 60,565 |
2 | Credit Suisse AG | 6.250% | 12/31/50 | 143,170 | 146,660 |
2 | ING Groep NV | 6.875% | 4/16/66 | 71,510 | 75,483 |
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 52,705 | 55,779 | |
2 | UBS Group AG | 6.875% | 3/22/66 | 114,390 | 120,110 |
Finance Companies (4.1%) | |||||
2,3 AerCap Global Aviation Trust | 6.500% | 6/15/45 | 125,050 | 132,553 | |
Aircastle Ltd. | 5.500% | 2/15/22 | 25,900 | 26,904 | |
Aircastle Ltd. | 5.000% | 4/1/23 | 41,450 | 42,538 | |
Aircastle Ltd. | 4.125% | 5/1/24 | 46,230 | 45,248 | |
CIT Group Inc. | 5.000% | 8/15/22 | 36,429 | 37,249 | |
3 | Freedom Mortgage Corp. | 8.250% | 4/15/25 | 24,260 | 24,199 |
Navient Corp. | 5.875% | 3/25/21 | 5,000 | 5,125 | |
Navient Corp. | 6.625% | 7/26/21 | 13,400 | 13,919 | |
Navient Corp. | 7.250% | 1/25/22 | 43,900 | 46,534 | |
Navient Corp. | 6.500% | 6/15/22 | 154,369 | 158,614 | |
Navient Corp. | 5.500% | 1/25/23 | 38,420 | 37,796 | |
Navient Corp. | 7.250% | 9/25/23 | 24,615 | 25,784 | |
Navient Corp. | 6.750% | 6/25/25 | 164,585 | 166,642 | |
Navient Corp. | 5.625% | 8/1/33 | 22,300 | 19,401 | |
Springleaf Finance Corp. | 6.000% | 6/1/20 | 2,132 | 2,215 | |
Springleaf Finance Corp. | 8.250% | 12/15/20 | 65,995 | 72,677 | |
Springleaf Finance Corp. | 7.750% | 10/1/21 | 69,567 | 75,741 | |
Springleaf Finance Corp. | 6.125% | 5/15/22 | 13,610 | 13,967 | |
Springleaf Finance Corp. | 8.250% | 10/1/23 | 17,136 | 18,657 | |
Springleaf Finance Corp. | 6.875% | 3/15/25 | 23,455 | 23,689 | |
Insurance (2.0%) | |||||
2 | Aegon NV | 5.500% | 4/11/48 | 72,780 | 72,287 |
Genworth Holdings Inc. | 7.700% | 6/15/20 | 9,600 | 9,384 | |
Genworth Holdings Inc. | 7.200% | 2/15/21 | 28,015 | 26,439 | |
Genworth Holdings Inc. | 7.625% | 9/24/21 | 25,505 | 23,975 |
Genworth Holdings Inc. | 4.900% | 8/15/23 | 49,580 | 39,424 | |
Genworth Holdings Inc. | 4.800% | 2/15/24 | 17,335 | 13,673 | |
3 | Liberty Mutual Group Inc. | 7.800% | 3/15/37 | 58,440 | 70,785 |
LifePoint Health Inc. | 5.875% | 12/1/23 | 25,574 | 25,254 | |
MGIC Investment Corp. | 5.750% | 8/15/23 | 24,695 | 25,220 | |
Radian Group Inc. | 4.500% | 10/1/24 | 74,205 | 71,237 | |
2 | Voya Financial Inc. | 5.650% | 5/15/53 | 87,753 | 89,289 |
Other Finance (0.3%) | |||||
CNO Financial Group Inc. | 4.500% | 5/30/20 | 4,865 | 4,889 | |
CNO Financial Group Inc. | 5.250% | 5/30/25 | 60,468 | 60,922 | |
Real Estate Investment Trusts (0.2%) | |||||
Felcor Lodging LP | 6.000% | 6/1/25 | 46,055 | 47,264 | |
3 | Starwood Property Trust Inc. | 4.750% | 3/15/25 | 1,235 | 1,192 |
2,223,283 | |||||
Industrial (81.2%) | |||||
Basic Industry (6.5%) | |||||
AK Steel Corp. | 7.625% | 10/1/21 | 9,925 | 10,123 | |
AK Steel Corp. | 7.500% | 7/15/23 | 79,875 | 84,268 | |
AK Steel Corp. | 6.375% | 10/15/25 | 10,000 | 9,388 | |
AK Steel Corp. | 7.000% | 3/15/27 | 74,610 | 72,372 | |
3 | Alliance Resource Operating Partners LP / | ||||
Alliance Resource Finance Corp. | 7.500% | 5/1/25 | 97,487 | 102,849 | |
ArcelorMittal | 6.125% | 6/1/25 | 21,830 | 23,631 | |
Chemours Co. | 6.625% | 5/15/23 | 85,270 | 89,640 | |
Chemours Co. | 7.000% | 5/15/25 | 78,620 | 84,910 | |
Chemours Co. | 5.375% | 5/15/27 | 22,045 | 21,825 | |
3 | Commercial Metals Co. | 5.750% | 4/15/26 | 26,615 | 26,682 |
Commercial Metals Co. | 5.375% | 7/15/27 | 19,735 | 19,242 | |
3 | Constellium NV | 5.750% | 5/15/24 | 34,862 | 34,470 |
3 | Constellium NV | 6.625% | 3/1/25 | 78,600 | 79,877 |
3,4 Constellium NV | 4.250% | 2/15/26 | 4,170 | 5,089 | |
3 | Constellium NV | 5.875% | 2/15/26 | 10,195 | 10,093 |
3,4 CTC BondCo GmbH | 5.250% | 12/15/25 | 13,800 | 16,456 | |
3 | First Quantum Minerals Ltd. | 7.000% | 2/15/21 | 70,470 | 70,910 |
3 | First Quantum Minerals Ltd. | 7.250% | 5/15/22 | 47,870 | 48,289 |
3 | First Quantum Minerals Ltd. | 6.500% | 3/1/24 | 22,980 | 21,802 |
3 | First Quantum Minerals Ltd. | 6.875% | 3/1/26 | 18,955 | 18,031 |
3 | FMG Resources August 2006 Pty Ltd. | 4.750% | 5/15/22 | 22,335 | 22,167 |
3 | FMG Resources August 2006 Pty Ltd. | 5.125% | 3/15/23 | 61,180 | 61,075 |
3 | FMG Resources August 2006 Pty Ltd. | 5.125% | 5/15/24 | 21,510 | 21,268 |
Graphic Packaging International Inc. | 4.125% | 8/15/24 | 25,860 | 25,343 | |
3 | New Gold Inc. | 6.250% | 11/15/22 | 38,365 | 39,132 |
3 | New Gold Inc. | 6.375% | 5/15/25 | 25,520 | 25,998 |
3 | Novelis Corp. | 6.250% | 8/15/24 | 53,590 | 54,595 |
3 | Novelis Corp. | 5.875% | 9/30/26 | 73,010 | 72,280 |
Olin Corp. | 5.125% | 9/15/27 | 58,305 | 57,139 | |
Olin Corp. | 5.000% | 2/1/30 | 10,215 | 9,730 | |
Steel Dynamics Inc. | 5.125% | 10/1/21 | 41,770 | 42,553 | |
Steel Dynamics Inc. | 5.500% | 10/1/24 | 40,885 | 42,316 | |
Steel Dynamics Inc. | 4.125% | 9/15/25 | 3,305 | 3,156 | |
Steel Dynamics Inc. | 5.000% | 12/15/26 | 9,730 | 9,633 | |
Teck Resources Ltd. | 3.750% | 2/1/23 | 9,705 | 9,402 | |
3 | Teck Resources Ltd. | 8.500% | 6/1/24 | 46,560 | 51,798 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 7,765 | 8,241 | |
Teck Resources Ltd. | 6.000% | 8/15/40 | 6,650 | 6,949 |
Teck Resources Ltd. | 6.250% | 7/15/41 | 21,350 | 22,524 | |
Teck Resources Ltd. | 5.200% | 3/1/42 | 4,850 | 4,535 | |
Teck Resources Ltd. | 5.400% | 2/1/43 | 48,295 | 46,725 | |
United States Steel Corp. | 7.375% | 4/1/20 | 33,106 | 35,092 | |
United States Steel Corp. | 6.650% | 6/1/37 | 13,760 | 13,106 | |
3 | Versum Materials Inc. | 5.500% | 9/30/24 | 21,566 | 22,051 |
Capital Goods (9.2%) | |||||
3 | ARD Finance SA | 7.125% | 9/15/23 | 21,790 | 22,308 |
ARD Finance SA | 7.125% | 9/15/23 | 13,860 | 14,189 | |
3 | Ardagh Packaging Finance PLC / Ardagh | ||||
Holdings USA Inc. | 7.250% | 5/15/24 | 70,023 | 74,049 | |
3 | Ardagh Packaging Finance PLC / Ardagh | ||||
Holdings USA Inc. | 6.000% | 2/15/25 | 93,082 | 94,246 | |
3,5 Ardagh Packaging Finance PLC / Ardagh | |||||
Holdings USA Inc. | 4.750% | 7/15/27 | 5,520 | 7,408 | |
3 | Ashtead Capital Inc. | 4.125% | 8/15/25 | 46,175 | 43,635 |
3 | Ashtead Capital Inc. | 4.375% | 8/15/27 | 46,175 | 43,520 |
4 | Ball Corp. | 4.375% | 12/15/23 | 17,385 | 23,721 |
Ball Corp. | 4.875% | 3/15/26 | 66,920 | 66,920 | |
3 | Beacon Escrow Corp. | 4.875% | 11/1/25 | 71,460 | 67,530 |
3 | Berry Global Inc. | 4.500% | 2/15/26 | 46,645 | 44,546 |
3 | Bombardier Inc. | 7.750% | 3/15/20 | 80,000 | 85,400 |
3 | Bombardier Inc. | 6.125% | 1/15/23 | 47,505 | 47,861 |
3 | Bombardier Inc. | 7.500% | 3/15/25 | 39,163 | 40,730 |
3 | CD&R Waterworks Merger Sub LLC | 6.125% | 8/15/25 | 5,535 | 5,424 |
3 | Cemex Finance LLC | 6.000% | 4/1/24 | 21,210 | 21,801 |
3 | Cemex SAB de CV | 6.125% | 5/5/25 | 111,200 | 115,092 |
3 | Cemex SAB de CV | 7.750% | 4/16/26 | 24,265 | 26,601 |
Clean Harbors Inc. | 5.250% | 8/1/20 | 49,963 | 50,088 | |
Clean Harbors Inc. | 5.125% | 6/1/21 | 57,864 | 58,153 | |
CNH Industrial NV | 4.500% | 8/15/23 | 35,290 | 35,863 | |
3 | Crown Americas LLC / Crown Americas | ||||
Capital Corp. VI | 4.750% | 2/1/26 | 23,465 | 22,644 | |
3,4 Crown European Holdings SA | 2.875% | 2/1/26 | 51,200 | 60,878 | |
3 | Flex Acquisition Co. Inc. | 6.875% | 1/15/25 | 127,475 | 128,112 |
3 | Jeld-Wen Inc. | 4.625% | 12/15/25 | 11,180 | 10,649 |
3 | Jeld-Wen Inc. | 4.875% | 12/15/27 | 11,465 | 10,834 |
3,4 Loxam SAS | 4.250% | 4/15/24 | 5,520 | 7,055 | |
3,4 Loxam SAS | 6.000% | 4/15/25 | 6,480 | 8,463 | |
3 | OI European Group BV | 4.000% | 3/15/23 | 21,630 | 20,549 |
3 | Owens-Brockway Glass Container Inc. | 5.875% | 8/15/23 | 29,295 | 30,064 |
3 | Owens-Brockway Glass Container Inc. | 6.375% | 8/15/25 | 11,675 | 12,230 |
PulteGroup Inc. | 5.500% | 3/1/26 | 41,055 | 41,825 | |
Reynolds Group Issuer Inc. / Reynolds Group | |||||
Issuer LLC / Reynolds Group Issuer Lu | 5.750% | 10/15/20 | 30,604 | 30,834 | |
6 | Reynolds Group Issuer Inc. / Reynolds Group | ||||
Issuer LLC / Reynolds Group Issuer Lu | 6.875% | 2/15/21 | 13,417 | 13,584 | |
3 | Reynolds Group Issuer Inc. / Reynolds Group | ||||
Issuer LLC / Reynolds Group Issuer Lu | 5.125% | 7/15/23 | 49,930 | 50,180 | |
3 | Reynolds Group Issuer Inc. / Reynolds Group | ||||
Issuer LLC / Reynolds Group Issuer Lu | 7.000% | 7/15/24 | 14,670 | 15,220 | |
3 | Standard Industries Inc. | 5.500% | 2/15/23 | 9,705 | 10,020 |
3 | Standard Industries Inc. | 5.375% | 11/15/24 | 46,177 | 46,523 |
3 | Standard Industries Inc. | 6.000% | 10/15/25 | 139,715 | 144,954 |
3 | Standard Industries Inc. | 5.000% | 2/15/27 | 16,990 | 16,310 |
3 | Standard Industries Inc. | 4.750% | 1/15/28 | 31,995 | 29,755 |
TransDigm Inc. | 6.000% | 7/15/22 | 44,150 | 44,757 | |
TransDigm Inc. | 6.500% | 7/15/24 | 96,400 | 97,967 | |
TransDigm Inc. | 6.375% | 6/15/26 | 41,650 | 41,858 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 22,111 | 22,277 | |
United Rentals North America Inc. | 5.750% | 11/15/24 | 20,000 | 20,700 | |
United Rentals North America Inc. | 5.500% | 7/15/25 | 33,095 | 33,922 | |
United Rentals North America Inc. | 4.625% | 10/15/25 | 47,360 | 45,998 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 38,755 | 40,402 | |
United Rentals North America Inc. | 5.500% | 5/15/27 | 76,330 | 75,948 | |
United Rentals North America Inc. | 4.875% | 1/15/28 | 60,445 | 57,121 | |
3 | USG Corp. | 5.500% | 3/1/25 | 8,590 | 8,977 |
3 | USG Corp. | 4.875% | 6/1/27 | 16,420 | 16,420 |
Communication (19.8%) | |||||
3 | Altice Financing SA | 6.625% | 2/15/23 | 58,671 | 58,598 |
3 | Altice France SA | 6.250% | 5/15/24 | 20,000 | 19,050 |
3 | Altice France SA | 7.375% | 5/1/26 | 41,640 | 40,391 |
3 | Altice Luxembourg SA | 7.625% | 2/15/25 | 40,000 | 36,050 |
3 | Altice US Finance I Corp. | 5.500% | 5/15/26 | 83,145 | 80,962 |
Belo Corp. | 7.750% | 6/1/27 | 6,820 | 7,468 | |
Belo Corp. | 7.250% | 9/15/27 | 20,515 | 21,849 | |
CCO Holdings LLC / CCO Holdings Capital | |||||
Corp. | 5.250% | 3/15/21 | 8,380 | 8,464 | |
CCO Holdings LLC / CCO Holdings Capital | |||||
Corp. | 5.250% | 9/30/22 | 12,635 | 12,825 | |
CCO Holdings LLC / CCO Holdings Capital | |||||
Corp. | 5.125% | 2/15/23 | 13,406 | 13,456 | |
3 | CCO Holdings LLC / CCO Holdings Capital | ||||
Corp. | 5.125% | 5/1/23 | 97,010 | 97,253 | |
CCO Holdings LLC / CCO Holdings Capital | |||||
Corp. | 5.750% | 9/1/23 | 33,450 | 33,868 | |
CCO Holdings LLC / CCO Holdings Capital | |||||
Corp. | 5.750% | 1/15/24 | 4,855 | 4,891 | |
3 | CCO Holdings LLC / CCO Holdings Capital | ||||
Corp. | 5.375% | 5/1/25 | 69,205 | 68,080 | |
3 | CCO Holdings LLC / CCO Holdings Capital | ||||
Corp. | 5.750% | 2/15/26 | 47,140 | 46,787 | |
3 | CCO Holdings LLC / CCO Holdings Capital | ||||
Corp. | 5.500% | 5/1/26 | 46,840 | 45,435 | |
3 | CCO Holdings LLC / CCO Holdings Capital | ||||
Corp. | 5.875% | 5/1/27 | 14,255 | 13,970 | |
3 | Cequel Communications Holdings I LLC / | ||||
Cequel Capital Corp. | 5.125% | 12/15/21 | 59,340 | 59,266 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating Capital | 6.484% | 10/23/45 | 39,215 | 42,252 | |
7,8 Crown Finance US Inc. Bank Loan | 4.401% | 2/22/25 | 120,710 | 120,559 | |
CSC Holdings LLC | 6.750% | 11/15/21 | 60,764 | 63,878 | |
3 | CSC Holdings LLC | 5.500% | 4/15/27 | 76,415 | 73,167 |
DISH DBS Corp. | 6.750% | 6/1/21 | 152,345 | 151,202 | |
DISH DBS Corp. | 5.875% | 7/15/22 | 115,934 | 106,369 | |
DISH DBS Corp. | 5.000% | 3/15/23 | 43,776 | 37,647 | |
DISH DBS Corp. | 5.875% | 11/15/24 | 87,950 | 74,977 | |
DISH DBS Corp. | 7.750% | 7/1/26 | 106,630 | 97,033 | |
Embarq Corp. | 7.995% | 6/1/36 | 23,035 | 21,883 | |
Gannett Co. Inc. | 5.125% | 7/15/20 | 64,680 | 65,489 | |
3 | Gannett Co. Inc. | 4.875% | 9/15/21 | 12,990 | 13,055 |
Gannett Co. Inc. | 6.375% | 10/15/23 | 31,721 | 32,831 |
3 | Gannett Co. Inc. | 5.500% | 9/15/24 | 11,145 | 11,368 |
3 | Gray Television Inc. | 5.125% | 10/15/24 | 59,942 | 57,170 |
3 | Gray Television Inc. | 5.875% | 7/15/26 | 38,675 | 37,418 |
Lamar Media Corp. | 5.750% | 2/1/26 | 5,740 | 5,912 | |
Level 3 Financing Inc. | 5.375% | 8/15/22 | 75,480 | 75,857 | |
Level 3 Financing Inc. | 5.625% | 2/1/23 | 26,620 | 26,986 | |
Level 3 Financing Inc. | 5.125% | 5/1/23 | 36,380 | 36,016 | |
Liberty Interactive LLC | 8.500% | 7/15/29 | 42,553 | 46,170 | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 126,903 | 136,421 | |
Netflix Inc. | 5.500% | 2/15/22 | 30,950 | 32,111 | |
Netflix Inc. | 5.875% | 2/15/25 | 62,225 | 63,936 | |
Netflix Inc. | 4.375% | 11/15/26 | 11,905 | 11,101 | |
Nokia Oyj | 4.375% | 6/12/27 | 39,230 | 36,393 | |
3 | Numericable Group SA | 6.000% | 5/15/22 | 47,955 | 47,595 |
Quebecor Media Inc. | 5.750% | 1/15/23 | 87,855 | 90,051 | |
Qwest Corp. | 6.875% | 9/15/33 | 25,162 | 23,715 | |
SBA Communications Corp. | 4.875% | 7/15/22 | 30,523 | 30,599 | |
Sinclair Television Group Inc. | 6.125% | 10/1/22 | 6,795 | 6,990 | |
3 | Sinclair Television Group Inc. | 5.625% | 8/1/24 | 6,795 | 6,710 |
3 | Sinclair Television Group Inc. | 5.875% | 3/15/26 | 90,410 | 89,280 |
3 | Sinclair Television Group Inc. | 5.125% | 2/15/27 | 57,340 | 53,183 |
7,8 Sinclair Television Group Inc. Bank Loan | 0.000% | 12/12/24 | 4,850 | 4,867 | |
7,8 Sinclair Television Group Inc. Bank Loan | 0.000% | 12/12/24 | 4,850 | 4,867 | |
7,8 Sinclair Television Group Inc. Bank Loan | 0.000% | 12/12/24 | 48,090 | 48,260 | |
3 | Sirius XM Radio Inc. | 4.625% | 5/15/23 | 11,110 | 10,957 |
Sprint Capital Corp. | 6.875% | 11/15/28 | 147,060 | 150,001 | |
Sprint Capital Corp. | 8.750% | 3/15/32 | 35,134 | 40,404 | |
3 | Sprint Communications Inc. | 7.000% | 3/1/20 | 73,700 | 77,754 |
Sprint Communications Inc. | 6.000% | 11/15/22 | 10,595 | 10,727 | |
Sprint Corp. | 7.875% | 9/15/23 | 300,264 | 321,283 | |
Sprint Corp. | 7.125% | 6/15/24 | 70,886 | 73,190 | |
Sprint Corp. | 7.625% | 2/15/25 | 54,631 | 57,499 | |
T-Mobile USA Inc. | 5.375% | 4/15/27 | 102,055 | 102,948 | |
Telecom Italia Capital SA | 6.375% | 11/15/33 | 12,326 | 13,405 | |
Telecom Italia Capital SA | 6.000% | 9/30/34 | 33,530 | 34,829 | |
Telecom Italia Capital SA | 7.721% | 6/4/38 | 42,725 | 51,430 | |
3 | Telenet Finance Luxembourg Notes Sarl | 5.500% | 3/1/28 | 110,200 | 104,589 |
Time Warner Cable LLC | 5.875% | 11/15/40 | 2,050 | 2,083 | |
Time Warner Cable LLC | 5.500% | 9/1/41 | 50,846 | 49,459 | |
Tribune Media Co. | 5.875% | 7/15/22 | 64,190 | 65,233 | |
3 | Univision Communications Inc. | 5.125% | 5/15/23 | 17,900 | 17,050 |
3 | Univision Communications Inc. | 5.125% | 2/15/25 | 200,720 | 185,164 |
3 | UPCB Finance IV Ltd. | 5.375% | 1/15/25 | 30,000 | 29,325 |
2 | Viacom Inc. | 5.875% | 2/28/57 | 61,863 | 62,327 |
2 | Viacom Inc. | 6.250% | 2/28/57 | 33,146 | 33,602 |
Videotron Ltd. | 5.000% | 7/15/22 | 108,654 | 110,555 | |
3 | Videotron Ltd. | 5.375% | 6/15/24 | 8,633 | 8,870 |
3 | Virgin Media Finance plc | 6.375% | 4/15/23 | 5,085 | 5,155 |
3 | Virgin Media Finance plc | 6.000% | 10/15/24 | 43,250 | 42,818 |
3 | Virgin Media Secured Finance plc | 5.500% | 1/15/25 | 22,325 | 21,879 |
3 | Virgin Media Secured Finance plc | 5.250% | 1/15/26 | 82,210 | 78,202 |
3 | Virgin Media Secured Finance plc | 5.500% | 8/15/26 | 10,225 | 9,829 |
3 | VTR Finance BV | 6.875% | 1/15/24 | 88,555 | 91,212 |
3 | WMG Acquisition Corp. | 5.000% | 8/1/23 | 25,381 | 25,318 |
3 | WMG Acquisition Corp. | 4.875% | 11/1/24 | 37,336 | 36,776 |
3 | WMG Acquisition Corp. | 5.500% | 4/15/26 | 79,579 | 79,778 |
Zayo Group LLC / Zayo Capital Inc. | 6.000% | 4/1/23 | 104,300 | 107,299 |
Zayo Group LLC / Zayo Capital Inc. | 6.375% | 5/15/25 | 55,032 | 56,958 | |
3 | Zayo Group LLC / Zayo Capital Inc. | 5.750% | 1/15/27 | 18,835 | 18,647 |
Consumer Cyclical (9.3%) | |||||
3 | 1011778 BC ULC / New Red Finance Inc. | 4.250% | 5/15/24 | 61,725 | 58,947 |
3 | 1011778 BC ULC / New Red Finance Inc. | 5.000% | 10/15/25 | 88,290 | 85,200 |
3 | Adient Global Holdings Ltd. | 4.875% | 8/15/26 | 149,047 | 139,545 |
3 | APX Group Inc. | 8.875% | 12/1/22 | 134,375 | 139,859 |
7,8 Bass Pro Group, LLC. Bank Loan | 6.901% | 12/15/23 | 64,023 | 64,324 | |
3 | Cedar Fair LP / Canada's Wonderland Co. / | ||||
Magnum Management Corp. / Millennium | |||||
Op | 5.375% | 4/15/27 | 27,005 | 26,870 | |
Cedar Fair LP / Canada's Wonderland Co. / | |||||
MagnumManagement Corp. | 5.375% | 6/1/24 | 25,675 | 25,996 | |
3 | CRC Escrow Issuer LLC / CRC Finco Inc. | 5.250% | 10/15/25 | 159,911 | 152,315 |
Dana Holding Corp. | 5.500% | 12/15/24 | 34,460 | 34,977 | |
GLP Capital LP / GLP Financing II Inc. | 5.375% | 4/15/26 | 60,235 | 60,687 | |
Goodyear Tire & Rubber Co. | 5.000% | 5/31/26 | 52,202 | 49,722 | |
Goodyear Tire & Rubber Co. | 4.875% | 3/15/27 | 112,833 | 105,499 | |
Group 1 Automotive Inc. | 5.000% | 6/1/22 | 44,170 | 44,336 | |
3 | Group 1 Automotive Inc. | 5.250% | 12/15/23 | 34,460 | 34,029 |
3 | GW Honos Security Corp. | 8.750% | 5/15/25 | 48,615 | 50,803 |
3 | Hanesbrands Inc. | 4.625% | 5/15/24 | 24,270 | 23,481 |
3 | Hanesbrands Inc. | 4.875% | 5/15/26 | 24,510 | 23,591 |
Hilton Domestic Operating Co. Inc. | 4.250% | 9/1/24 | 60,310 | 57,596 | |
3 | Hilton Domestic Operating Co. Inc. | 5.125% | 5/1/26 | 72,770 | 72,679 |
Hilton Worldwide Finance LLC / Hilton | |||||
Worldwide Finance Corp. | 4.625% | 4/1/25 | 105,130 | 101,713 | |
Hilton Worldwide Finance LLC / Hilton | |||||
Worldwide Finance Corp. | 4.875% | 4/1/27 | 64,885 | 62,614 | |
KB Home | 7.000% | 12/15/21 | 7,810 | 8,298 | |
KB Home | 7.500% | 9/15/22 | 6,935 | 7,576 | |
KB Home | 7.625% | 5/15/23 | 41,775 | 45,535 | |
3 | KFC Holding Co./Pizza Hut Holdings | ||||
LLC/Taco Bell of America LLC | 5.000% | 6/1/24 | 27,130 | 27,028 | |
3 | KFC Holding Co./Pizza Hut Holdings | ||||
LLC/Taco Bell of America LLC | 5.250% | 6/1/26 | 29,156 | 29,302 | |
3 | KFC Holding Co./Pizza Hut Holdings | ||||
LLC/Taco Bell of America LLC | 4.750% | 6/1/27 | 32,290 | 30,998 | |
L Brands Inc. | 6.625% | 4/1/21 | 42,435 | 44,981 | |
L Brands Inc. | 5.250% | 2/1/28 | 18,359 | 17,212 | |
7,8 La Quinta Intermediate Holdings LLC Bank | |||||
Loan | 5.348% | 4/14/21 | 49,551 | 49,582 | |
Lennar Corp. | 4.125% | 1/15/22 | 35,495 | 35,140 | |
Lennar Corp. | 4.875% | 12/15/23 | 19,825 | 19,875 | |
Lennar Corp. | 4.500% | 4/30/24 | 72,365 | 70,556 | |
3 | Lennar Corp. | 5.875% | 11/15/24 | 4,860 | 5,018 |
3 | Lennar Corp. | 5.250% | 6/1/26 | 9,460 | 9,294 |
3 | Lennar Corp. | 5.000% | 6/15/27 | 42,955 | 41,452 |
3 | Lennar Corp. | 4.750% | 11/29/27 | 44,610 | 42,045 |
Meritage Homes Corp. | 5.125% | 6/6/27 | 17,560 | 16,550 | |
Neiman Marcus Group Inc. | 7.125% | 6/1/28 | 64,195 | 50,714 | |
Penske Automotive Group Inc. | 5.375% | 12/1/24 | 37,070 | 36,792 | |
PulteGroup Inc. | 5.000% | 1/15/27 | 4,315 | 4,196 | |
Service Corp. International | 5.375% | 1/15/22 | 27,630 | 28,114 | |
Service Corp. International/US | 4.625% | 12/15/27 | 13,735 | 13,443 | |
3 | Shea Homes LP / Shea Homes Funding Corp. | 5.875% | 4/1/23 | 14,550 | 14,696 |
3 | Shea Homes LP / Shea Homes Funding Corp. | 6.125% | 4/1/25 | 14,550 | 14,641 |
Toll Brothers Finance Corp. | 4.875% | 11/15/25 | 9,595 | 9,511 | |
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 68,200 | 66,324 | |
William Lyon Homes Inc. | 7.000% | 8/15/22 | 15,000 | 15,337 | |
William Lyon Homes Inc. | 5.875% | 1/31/25 | 48,230 | 46,783 | |
Consumer Noncyclical (12.5%) | |||||
Aramark Services Inc. | 5.125% | 1/15/24 | 32,435 | 33,003 | |
3 | Aramark Services Inc. | 5.000% | 4/1/25 | 48,595 | 48,899 |
Aramark Services Inc. | 4.750% | 6/1/26 | 19,420 | 18,837 | |
3 | Aramark Services Inc. | 5.000% | 2/1/28 | 47,085 | 45,908 |
3 | Catalent Pharma Solutions Inc. | 4.875% | 1/15/26 | 15,140 | 14,829 |
3 | Change Healthcare Holdings LLC / Change | ||||
Healthcare Finance Inc. | 5.750% | 3/1/25 | 69,800 | 68,229 | |
3 | Charles River Laboratories International Inc. | 5.500% | 4/1/26 | 10,070 | 10,246 |
CHS/Community Health Systems Inc. | 7.125% | 7/15/20 | 33,665 | 26,764 | |
CHS/Community Health Systems Inc. | 5.125% | 8/1/21 | 15,235 | 14,054 | |
CHS/Community Health Systems Inc. | 6.875% | 2/1/22 | 143,590 | 77,898 | |
CHS/Community Health Systems Inc. | 6.250% | 3/31/23 | 120,190 | 109,373 | |
3 | Coty Inc. | 6.500% | 4/15/26 | 24,260 | 23,532 |
3,4 Darling Global Finance BV | 3.625% | 5/15/26 | 12,945 | 15,826 | |
3,4 Diamond BC BV | 5.625% | 8/15/25 | 101,750 | 117,328 | |
3,8 Endo Dac / Endo Finance LLC / Endo Finco | |||||
Inc. | 6.000% | 2/1/25 | 79,855 | 56,298 | |
3 | Endo Finance LLC / Endo Ltd. / Endo Finco | ||||
Inc. | 6.000% | 7/15/23 | 106,343 | 76,567 | |
3 | Envision Healthcare Corp. | 5.125% | 7/1/22 | 86,215 | 85,137 |
Envision Healthcare Corp. | 5.625% | 7/15/22 | 81,010 | 81,212 | |
HCA Inc. | 6.250% | 2/15/21 | 23,130 | 24,315 | |
HCA Inc. | 5.875% | 3/15/22 | 60,405 | 63,652 | |
HCA Inc. | 4.750% | 5/1/23 | 72,500 | 73,316 | |
HCA Inc. | 5.375% | 2/1/25 | 29,375 | 29,302 | |
HCA Inc. | 5.250% | 4/15/25 | 45,000 | 45,562 | |
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 5,029 | |
HCA Inc. | 5.875% | 2/15/26 | 64,000 | 64,880 | |
HCA Inc. | 5.250% | 6/15/26 | 31,895 | 32,015 | |
3 | Hologic Inc. | 4.625% | 2/1/28 | 18,855 | 17,912 |
3 | inVentiv Group Holdings Inc/inVentiv Health | ||||
Inc/inVentiv Health Clinical Inc. | 7.500% | 10/1/24 | 16,178 | 17,149 | |
3 | Kinetic Concepts Inc / KCI USA Inc. | 7.875% | 2/15/21 | 52,240 | 54,068 |
3 | Lamb Weston Holdings Inc. | 4.625% | 11/1/24 | 34,870 | 34,565 |
3 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 34,870 | 34,521 |
7,8 Lands' End, Inc. Bank Loan | 5.151% | 3/12/21 | 79,354 | 76,048 | |
LifePoint Health Inc. | 5.375% | 5/1/24 | 17,451 | 16,666 | |
LifePoint Hospitals Inc. | 5.500% | 12/1/21 | 15,466 | 15,505 | |
3 | MEDNAX Inc. | 5.250% | 12/1/23 | 19,125 | 19,029 |
3 | MPH Acquisition Holdings LLC | 7.125% | 6/1/24 | 53,485 | 54,287 |
3 | Polaris Intermediate Corp. | 8.500% | 12/1/22 | 82,880 | 84,020 |
3 | Post Holdings Inc. | 5.500% | 3/1/25 | 27,480 | 26,965 |
3 | Post Holdings Inc. | 5.000% | 8/15/26 | 120,825 | 113,575 |
3 | Post Holdings Inc. | 5.750% | 3/1/27 | 37,091 | 36,210 |
3 | Post Holdings Inc. | 5.625% | 1/15/28 | 90,650 | 86,571 |
3 | Quintiles IMS Inc. | 5.000% | 10/15/26 | 48,285 | 47,681 |
3 | Quintiles Transnational Holdings Inc. | 4.875% | 5/15/23 | 24,350 | 24,654 |
Revlon Consumer Products Corp. | 5.750% | 2/15/21 | 19,165 | 14,182 | |
Revlon Consumer Products Corp. | 6.250% | 8/1/24 | 67,860 | 41,395 | |
7,8 Revlon Consumer Products Corp. Bank Loan | 5.401% | 9/7/23 | 5,921 | 4,615 |
7,8 Revlon Consumer Products Corp. Bank Loan | 5.401% | 9/7/23 | 20,124 | 15,684 | |
7,8 Revlon Consumer Products Corp. Bank Loan | 5.401% | 9/7/23 | 200 | 156 | |
3 | Sterigenics-Nordion Holdings LLC | 6.500% | 5/15/23 | 62,435 | 62,591 |
3 | Sterigenics-Nordion Topco LLC | 8.125% | 11/1/21 | 24,400 | 24,583 |
Tenet Healthcare Corp. | 4.750% | 6/1/20 | 16,875 | 17,002 | |
Tenet Healthcare Corp. | 4.500% | 4/1/21 | 42,147 | 41,884 | |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 105,149 | |
3 | Tenet Healthcare Corp. | 4.625% | 7/15/24 | 9,660 | 9,346 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 73,031 | 69,552 | |
3 | TreeHouse Foods Inc. | 6.000% | 2/15/24 | 60,000 | 59,700 |
3 | Valeant Pharmaceuticals International Inc. | 5.375% | 3/15/20 | 82,205 | 83,027 |
3 | Valeant Pharmaceuticals International Inc. | 6.500% | 3/15/22 | 21,490 | 22,296 |
3 | Valeant Pharmaceuticals International Inc. | 7.000% | 3/15/24 | 48,315 | 50,972 |
3 | Valeant Pharmaceuticals International Inc. | 5.500% | 11/1/25 | 33,080 | 32,832 |
3 | Valeant Pharmaceuticals International Inc. | 9.000% | 12/15/25 | 26,760 | 27,128 |
3 | Valeant Pharmaceuticals International Inc. | 9.250% | 4/1/26 | 17,325 | 17,628 |
3 | VRX Escrow Corp. | 6.125% | 4/15/25 | 154,710 | 139,239 |
3 | West Street Merger Sub Inc. | 6.375% | 9/1/25 | 133,245 | 130,580 |
Energy (14.0%) | |||||
AmeriGas Finance LLC / AmeriGas Finance | |||||
Corp. | 5.625% | 5/20/24 | 46,910 | 47,027 | |
AmeriGas Finance LLC / AmeriGas Finance | |||||
Corp. | 5.875% | 8/20/26 | 46,910 | 46,558 | |
AmeriGas Partners LP / AmeriGas Finance | |||||
Corp. | 5.500% | 5/20/25 | 20,635 | 20,325 | |
AmeriGas Partners LP / AmeriGas Finance | |||||
Corp. | 5.750% | 5/20/27 | 59,170 | 56,951 | |
Andeavor Logistics LP / Tesoro Logistics | |||||
Finance Corp. | 6.375% | 5/1/24 | 44,365 | 47,360 | |
Andeavor Logistics LP / Tesoro Logistics | |||||
Finance Corp. | 5.250% | 1/15/25 | 51,601 | 52,762 | |
Antero Resources Corp. | 5.125% | 12/1/22 | 48,330 | 48,693 | |
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/27 | 43,385 | 42,192 | |
3 | Chesapeake Energy Corp. | 8.000% | 6/15/27 | 100,395 | 96,630 |
Continental Resources Inc. | 5.000% | 9/15/22 | 110,959 | 112,623 | |
Continental Resources Inc. | 4.500% | 4/15/23 | 75,805 | 76,753 | |
Continental Resources Inc. | 3.800% | 6/1/24 | 16,770 | 16,267 | |
3 | Continental Resources Inc. | 4.375% | 1/15/28 | 73,530 | 72,427 |
Continental Resources Inc. | 4.900% | 6/1/44 | 23,196 | 22,616 | |
3 | DCP Midstream LLC | 5.350% | 3/15/20 | 11,125 | 11,431 |
3 | DCP Midstream Operating LP | 4.750% | 9/30/21 | 19,999 | 20,224 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 45,799 | 46,658 | |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 26,988 | 26,043 | |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 26,895 | 26,424 | |
Diamondback Energy Inc. | 4.750% | 11/1/24 | 5,895 | 5,866 | |
Diamondback Energy Inc. | 5.375% | 5/31/25 | 47,860 | 48,458 | |
Energy Transfer Equity LP | 7.500% | 10/15/20 | 76,385 | 81,732 | |
Energy Transfer Equity LP | 4.250% | 3/15/23 | 84,735 | 81,981 | |
Energy Transfer Equity LP | 5.875% | 1/15/24 | 57,741 | 58,896 | |
Energy Transfer Equity LP | 5.500% | 6/1/27 | 106,236 | 105,705 | |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.500% | 5/1/21 | 82,009 | 78,524 | |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.750% | 1/15/22 | 16,317 | 15,460 | |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.750% | 6/15/23 | 26,720 | 24,048 | |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 26,290 | 32,595 | |
Laredo Petroleum Inc. | 5.625% | 1/15/22 | 69,522 | 70,217 | |
Laredo Petroleum Inc. | 6.250% | 3/15/23 | 70,158 | 71,210 |
Matador Resources Co. | 6.875% | 4/15/23 | 102,250 | 106,851 | |
3 | MEG Energy Corp. | 6.375% | 1/30/23 | 30,650 | 27,662 |
3 | MEG Energy Corp. | 7.000% | 3/31/24 | 47,348 | 42,376 |
3 | MEG Energy Corp. | 6.500% | 1/15/25 | 97,700 | 97,700 |
Newfield Exploration Co. | 5.750% | 1/30/22 | 10,890 | 11,435 | |
Newfield Exploration Co. | 5.625% | 7/1/24 | 13,045 | 13,828 | |
3 | NGPL PipeCo LLC | 4.375% | 8/15/22 | 13,995 | 13,995 |
3 | NGPL PipeCo LLC | 4.875% | 8/15/27 | 16,650 | 16,151 |
3 | Noble Holding International Ltd. | 7.875% | 2/1/26 | 15,185 | 15,261 |
3 | Parsley Energy LLC / Parsley Finance Corp. | 5.375% | 1/15/25 | 47,585 | 47,704 |
3 | Parsley Energy LLC / Parsley Finance Corp. | 5.250% | 8/15/25 | 6,810 | 6,810 |
QEP Resources Inc. | 6.800% | 3/1/20 | 7,370 | 7,646 | |
QEP Resources Inc. | 6.875% | 3/1/21 | 30,605 | 32,900 | |
QEP Resources Inc. | 5.375% | 10/1/22 | 42,485 | 42,910 | |
QEP Resources Inc. | 5.250% | 5/1/23 | 42,925 | 41,852 | |
3 | Rockies Express Pipeline LLC | 7.500% | 7/15/38 | 38,048 | 45,658 |
3 | Rockies Express Pipeline LLC | 6.875% | 4/15/40 | 13,880 | 15,997 |
RSP Permian Inc. | 5.250% | 1/15/25 | 31,745 | 32,697 | |
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 41,960 | 45,422 | |
SESI LLC | 7.125% | 12/15/21 | 34,425 | 35,114 | |
3 | SESI LLC | 7.750% | 9/15/24 | 36,570 | 37,941 |
SM Energy Co. | 6.500% | 11/15/21 | 3,485 | 3,546 | |
SM Energy Co. | 6.125% | 11/15/22 | 30,015 | 30,315 | |
SM Energy Co. | 6.500% | 1/1/23 | 2,525 | 2,538 | |
SM Energy Co. | 5.000% | 1/15/24 | 69,110 | 65,827 | |
SM Energy Co. | 5.625% | 6/1/25 | 54,040 | 52,149 | |
SM Energy Co. | 6.750% | 9/15/26 | 17,855 | 18,167 | |
3 | Southern Star Central Corp. | 5.125% | 7/15/22 | 14,790 | 15,049 |
Southwestern Energy Co. | 6.450% | 1/23/25 | 87,271 | 85,307 | |
Southwestern Energy Co. | 7.750% | 10/1/27 | 19,207 | 19,783 | |
3 | Sunoco LP / Sunoco Finance Corp. | 5.500% | 2/15/26 | 25,690 | 24,855 |
3 | Sunoco LP / Sunoco Finance Corp. | 5.875% | 3/15/28 | 16,180 | 15,715 |
3 | Tallgrass Energy Partners LP / Tallgrass | ||||
Energy Finance Corp. | 5.500% | 1/15/28 | 59,770 | 59,621 | |
2,3 Transocean Phoenix 2 Ltd. | 7.750% | 10/15/24 | 5,461 | 5,885 | |
2,3 Transocean Proteus Ltd. | 6.250% | 12/1/24 | 3,528 | 3,616 | |
3 | Vine Oil & Gas LP / Vine Oil & Gas Finance | ||||
Corp. | 8.750% | 4/15/23 | 62,530 | 58,622 | |
Weatherford International Ltd. | 7.000% | 3/15/38 | 17,963 | 13,966 | |
Weatherford International Ltd. | 6.750% | 9/15/40 | 67,387 | 50,877 | |
Weatherford International Ltd. | 5.950% | 4/15/42 | 57,093 | 41,392 | |
3 | Whiting Petroleum Corp. | 6.625% | 1/15/26 | 100,594 | 103,612 |
Williams Cos. Inc. | 7.875% | 9/1/21 | 17,225 | 19,270 | |
Williams Cos. Inc. | 3.700% | 1/15/23 | 50,730 | 49,081 | |
Williams Cos. Inc. | 4.550% | 6/24/24 | 52,152 | 51,956 | |
Williams Cos. Inc. | 5.750% | 6/24/44 | 41,255 | 43,008 | |
WPX Energy Inc. | 6.000% | 1/15/22 | 91,165 | 95,040 | |
WPX Energy Inc. | 5.250% | 9/15/24 | 112,100 | 112,941 | |
Other Industrial (0.7%) | |||||
3 | Brand Energy & Infrastructure Services Inc. | 8.500% | 7/15/25 | 104,430 | 107,955 |
7,8 HD Supply Waterworks Ltd. Bank Loan | 5.006% | 8/1/24 | 4,421 | 4,437 | |
7,8 HD Supply Waterworks Ltd. Bank Loan | 5.211% | 8/1/24 | 5,037 | 5,055 | |
3 | KAR Auction Services Inc. | 5.125% | 6/1/25 | 44,780 | 43,549 |
Technology (8.3%) | |||||
Alcatel-Lucent USA Inc. | 6.500% | 1/15/28 | 56,315 | 58,427 |
Alcatel-Lucent USA Inc. | 6.450% | 3/15/29 | 88,452 | 89,558 | |
3 | Camelot Finance SA | 7.875% | 10/15/24 | 82,666 | 86,179 |
CDK Global Inc. | 4.875% | 6/1/27 | 20,545 | 19,877 | |
CDW LLC / CDW Finance Corp. | 5.000% | 9/1/23 | 31,905 | 32,543 | |
CDW LLC / CDW Finance Corp. | 5.500% | 12/1/24 | 15,155 | 15,685 | |
CDW LLC / CDW Finance Corp. | 5.000% | 9/1/25 | 26,405 | 26,273 | |
Equinix Inc. | 5.375% | 4/1/23 | 20,864 | 21,438 | |
Equinix Inc. | 5.875% | 1/15/26 | 13,310 | 13,809 | |
4 | Equinix Inc. | 2.875% | 2/1/26 | 102,180 | 118,710 |
Equinix Inc. | 5.375% | 5/15/27 | 47,030 | 47,853 | |
3 | First Data Corp. | 5.375% | 8/15/23 | 73,250 | 74,349 |
3 | First Data Corp. | 7.000% | 12/1/23 | 173,785 | 181,823 |
3 | First Data Corp. | 5.000% | 1/15/24 | 48,800 | 49,166 |
3 | First Data Corp. | 5.750% | 1/15/24 | 131,820 | 133,633 |
7,8 First Data Corp. Bank Loan | 4.147% | 7/8/22 | 20,495 | 20,563 | |
Infor US Inc. | 6.500% | 5/15/22 | 97,200 | 98,536 | |
Iron Mountain Inc. | 5.750% | 8/15/24 | 30,304 | 29,925 | |
3 | Iron Mountain Inc. | 4.875% | 9/15/27 | 28,670 | 26,986 |
3 | MSCI Inc. | 5.250% | 11/15/24 | 12,975 | 13,267 |
3 | MSCI Inc. | 5.750% | 8/15/25 | 51,525 | 53,715 |
3 | MSCI Inc. | 4.750% | 8/1/26 | 18,330 | 18,124 |
NCR Corp. | 4.625% | 2/15/21 | 68,735 | 68,563 | |
NCR Corp. | 5.000% | 7/15/22 | 20,000 | 19,900 | |
NCR Corp. | 6.375% | 12/15/23 | 15,145 | 15,675 | |
Nokia Oyj | 6.625% | 5/15/39 | 117,400 | 124,444 | |
3 | Open Text Corp. | 5.625% | 1/15/23 | 34,150 | 35,473 |
3 | Open Text Corp. | 5.875% | 6/1/26 | 46,495 | 48,239 |
Pitney Bowes Inc. | 4.700% | 4/1/23 | 65,515 | 61,631 | |
3 | Sensata Technologies BV | 5.625% | 11/1/24 | 19,290 | 19,989 |
3 | Sensata Technologies BV | 5.000% | 10/1/25 | 52,750 | 52,420 |
3 | Sensata Technologies UK Financing Co. plc | 6.250% | 2/15/26 | 49,705 | 51,817 |
7,8 SS&C Technologies Holdings Inc. Bank Loan | 0.000% | 2/28/25 | 22,611 | 22,749 | |
7,8 SS&C Technologies Holdings Inc. Bank Loan | 0.000% | 2/28/25 | 61,601 | 61,978 | |
3 | Symantec Corp. | 5.000% | 4/15/25 | 66,150 | 66,189 |
3,5 Vantiv LLC / Vanity Issuer Corp. | 3.875% | 11/15/25 | 43,820 | 59,241 | |
3 | Vantiv LLC / Vanity Issuer Corp. | 4.375% | 11/15/25 | 32,880 | 31,441 |
Transportation (0.9%) | |||||
3 | Avis Budget Car Rental LLC / Avis Budget | ||||
Finance Inc. | 5.125% | 6/1/22 | 77,088 | 76,895 | |
Avis Budget Car Rental LLC / Avis Budget | |||||
Finance Inc. | 5.500% | 4/1/23 | 69,036 | 68,346 | |
3 | Avis Budget Car Rental LLC / Avis Budget | ||||
Finance Inc. | 6.375% | 4/1/24 | 24,490 | 24,796 | |
3 | Avis Budget Car Rental LLC / Avis Budget | ||||
Finance Inc. | 5.250% | 3/15/25 | 20,000 | 19,100 | |
Hertz Corp. | 5.875% | 10/15/20 | 17,155 | 16,984 | |
19,390,169 | |||||
Utilities (1.5%) | |||||
Electric (1.5%) | |||||
AES Corp. | 4.500% | 3/15/23 | 44,805 | 45,029 | |
AES Corp. | 4.875% | 5/15/23 | 25,000 | 25,156 | |
AES Corp. | 5.500% | 4/15/25 | 5,475 | 5,612 | |
AES Corp. | 6.000% | 5/15/26 | 920 | 961 | |
AES Corp. | 5.125% | 9/1/27 | 58,610 | 59,343 | |
3 | NextEra Energy Operating Partners LP | 4.250% | 9/15/24 | 22,350 | 21,568 |
3 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 24,185 | 22,613 |
NRG Energy Inc. | 6.250% | 7/15/22 | 51,835 | 53,260 |
NRG Energy Inc. | 6.250% | 5/1/24 | 76,640 | 79,227 |
NRG Energy Inc. | 7.250% | 5/15/26 | 47,920 | 51,095 |
363,864 | ||||
Total Corporate Bonds (Cost $22,140,260) | 21,977,316 | |||
Sovereign Bonds (0.3%) | ||||
3 DAE Funding LLC | 4.500% | 8/1/22 | 28,790 | 27,782 |
3 DAE Funding LLC | 5.000% | 8/1/24 | 29,605 | 28,495 |
Total Sovereign Bonds (Cost $58,395) | 56,277 | |||
Shares | ||||
Preferred Stocks (0.5%) | ||||
GMAC Capital Trust I Pfd. | 7.624% | 4,743,200 | 126,311 | |
Total Preferred Stocks (Cost $123,777) | 126,311 | |||
Common Stocks (0.2%) | ||||
Utilities (0.2%) | ||||
9 Homer City Generation LP | 2,020,431 | 41,520 | ||
Total Common Stocks (Cost $41,520) | 41,520 | |||
Face | ||||
Amount | ||||
($000) | ||||
Temporary Cash Investments (1.9%) | ||||
Repurchase Agreements (1.9%) | ||||
Bank of Montreal | ||||
(Dated 4/30/18, Repurchase Value | ||||
$75,004,000, collateralized by U.S. | ||||
Treasury Note/Bond 1.250%-3.750%, | ||||
8/31/19-11/15/47, with a value of | ||||
$76,500,000) | 1.700% | 5/1/18 | 75,000 | 75,000 |
JP Morgan Securities LLC | ||||
(Dated 4/30/18, Repurchase Value | ||||
$74,904,000, collateralized by U.S. | ||||
Treasury Note/Bond 1.875%, 11/30/21, with | ||||
a value of $76,401,000) | 1.700% | 5/1/18 | 74,900 | 74,900 |
RBC Capital Markets LLC | ||||
(Dated 4/30/18, Repurchase Value | ||||
$136,106,000, collateralized by Federal | ||||
Home Loan Mortgage Corp. 3.000%- | ||||
3.500%, 1/1/48-4/1/48, Federal National | ||||
Mortgage Assn. 1.649%-3.500%, 4/1/19- | ||||
4/1/48, and Government National Mortgage | ||||
Assn. 3.000%, 10/20/44, with a value of | ||||
$138,822,000) | 1.710% | 5/1/18 | 136,100 | 136,100 |
TD Securities (USA) LLC | ||||
(Dated 4/30/18, Repurchase Value | ||||
$169,808,000, collateralized by Federal | ||||
National Mortgage Assn. 4.000%, 4/1/47- | ||||
9/1/47, with a value of $173,196,000) | 1.750% | 5/1/18 | 169,800 | 169,800 |
Total Temporary Cash Investments (Cost $455,800) | 455,800 |
Total Investments (99.7%) (Cost $23,964,832) | 23,799,786 |
Other Assets and Liabilities-Net (0.3%) | 80,456 |
Net Assets (100%) | 23,880,242 |
1 Securities with a value of $34,893,000 have been segregated as initial margin for open cleared swap contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
3 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, 2018, the aggregate
value of these securities was $9,347,207,000, representing 39.1% of net assets.
4 Face amount denominated in euro.
5 Face amount denominated in British pounds.
6 Scheduled principal and interest payments are guaranteed by bank letter of credit.
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,
2018, the aggregate value of these securities was $503,744,000, representing 2.1% of net assets.
8 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
9 Security value determined using significant unobservable inputs.
Derivative Financial Instruments Outstanding as of Period End | ||||||
Forward Currency Contracts | ||||||
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Barclays Bank plc | 5/31/18 | USD | 392,320 | EUR | 320,820 | 3,980 |
BNP Paribas | 5/31/18 | USD | 69,384 | GBP | 49,746 | 795 |
4,775 | ||||||
EUR—euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.
At April 30, 2018, the counterparties had deposited in segregated accounts cash of $9,522,000 in connection with open forward currency contracts.
High-Yield Corporate Fund
Centrally Cleared Credit Default Swaps | |||||
Periodic | |||||
Premium | Unrealized | ||||
Received | Appreciation | ||||
Termination | Notional Amount | (Paid)1 | Value | (Depreciation) | |
Reference Entity | Date | (000) | (%) | ($000) | ($000) |
Credit Protection Sold | |||||
CDX-NA-HY-S30-V1 | 6/20/23 | USD 675,000 | 5.000 | 46,686 | 4,904 |
1 Periodic premium received/paid quarterly. | |||||
USD—U.S. dollar. |
Unrealized appreciation (depreciation) on open swap contracts is generally treated the same for financial reporting and tax purposes.
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. 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
High-Yield Corporate Fund
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).
D. 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
High-Yield Corporate Fund
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.
E. 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.
F. 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). Any investments valued with significant unobservable inputs are noted on
the Schedule of Investments.
High-Yield Corporate Fund
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 1,142,562 | — |
Corporate Bonds | — | 21,977,316 | — |
Sovereign Bonds | — | 56,277 | — |
Preferred Stocks | — | 126,311 | — |
Common Stocks | — | — | 41,520 |
Temporary Cash Investments | — | 455,800 | — |
Forward Currency Contracts—Assets | — | 4,775 | — |
Swap Contracts—Liabilities | (425)1 | — | — |
Total | (425) | 23,763,041 | 41,520 |
1 Represents variation margin on the last day of the reporting period. |
G. At April 30, 2018, the cost of investment securities for tax purposes was $23,964,832,000. Net unrealized depreciation of investment securities for tax purposes was $165,046,000, consisting of unrealized gains of $397,008,000 on securities that had risen in value since their purchase and $562,054,000 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, 2018
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (9.0%) | |||||
U.S. Government Securities (8.4%) | |||||
United States Treasury Note/Bond | 1.625% | 8/15/22 | 13,000 | 12,407 | |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 13,000 | 12,451 | |
1 | United States Treasury Note/Bond | 2.125% | 12/31/22 | 431,000 | 418,678 |
1 | United States Treasury Note/Bond | 1.500% | 2/28/23 | 200,000 | 188,376 |
1 | United States Treasury Note/Bond | 2.625% | 2/28/23 | 265,000 | 263,095 |
1,2 | United States Treasury Note/Bond | 1.500% | 3/31/23 | 300,000 | 282,186 |
United States Treasury Note/Bond | 2.500% | 3/31/23 | 300,000 | 295,968 | |
1,2 | United States Treasury Note/Bond | 1.750% | 5/15/23 | 170,000 | 161,605 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 31,000 | 29,266 | |
United States Treasury Note/Bond | 2.125% | 7/31/24 | 90,696 | 86,770 | |
United States Treasury Note/Bond | 2.250% | 12/31/24 | 80,000 | 76,850 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 100,000 | 94,422 | |
United States Treasury Note/Bond | 2.875% | 4/30/25 | 200,000 | 199,562 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 79,900 | 75,056 | |
3 | United States Treasury Note/Bond | 1.625% | 2/15/26 | 161,000 | 146,359 |
United States Treasury Note/Bond | 1.500% | 8/15/26 | 2,015 | 1,802 | |
United States Treasury Note/Bond | 2.250% | 11/15/27 | 30,000 | 28,256 | |
United States Treasury Note/Bond | 2.750% | 2/15/28 | 86,152 | 84,698 | |
United States Treasury Note/Bond | 2.750% | 11/15/47 | 1,700 | 1,580 | |
2,459,387 | |||||
Nonconventional Mortgage-Backed Securities (0.6%) | |||||
5,6 | Fannie Mae REMICS | 4.000% | 6/25/42–2/25/48 | 129,603 | 28,818 |
5,7 | Fannie Mae REMICS | 4.153% | 3/25/46 | 38,741 | 6,484 |
5,7 | Fannie Mae REMICS | 4.253% | 5/25/47 | 54,638 | 9,093 |
5,7 | Fannie Mae REMICS | 4.303% | 10/25/47 | 34,346 | 6,652 |
5,6 | Fannie Mae REMICS | 4.500% | 12/25/42–9/25/47 | 28,620 | 6,905 |
5,6 | Fannie Mae REMICS | 5.000% | 6/25/45 | 25,562 | 5,360 |
5,6 | Fannie Mae REMICS | 5.500% | 2/25/46 | 13,836 | 3,023 |
5,6 | Fannie Mae REMICS | 6.000% | 4/25/45–12/25/47 | 43,495 | 10,359 |
4,5,8 | Freddie Mac Non Gold Pool | 3.375% | 8/1/32 | 224 | 230 |
4,5,9 | Freddie Mac Non Gold Pool | 3.643% | 9/1/32 | 137 | 140 |
5,6 | Freddie Mac REMICS | 3.500% | 12/15/42 | 30,971 | 5,962 |
5,6 | Freddie Mac REMICS | 4.000% | 10/15/42–12/15/47 | 39,439 | 7,881 |
5,7 | Freddie Mac REMICS | 4.253% | 1/15/42–1/15/45 | 26,929 | 4,196 |
5,7 | Freddie Mac REMICS | 4.303% | 12/15/47 | 13,308 | 2,463 |
6 | Government National Mortgage Assn. | 3.500% | 7/20/42 | 21,729 | 3,661 |
7 | Government National Mortgage Assn. | 3.753% | 8/20/45 | 22,896 | 3,423 |
6 | Government National Mortgage Assn. | 4.000% | 3/20/42–1/20/48 | 95,987 | 21,052 |
7 | Government National Mortgage Assn. | 4.203% | 9/20/46 | 16,674 | 2,970 |
7 | Government National Mortgage Assn. | 4.303% | 9/20/47–12/20/47 | 123,127 | 21,421 |
6 | Government National Mortgage Assn. | 4.500% | 3/20/43–1/20/48 | 98,664 | 24,038 |
6 | Government National Mortgage Assn. | 5.000% | 2/20/40 | 22,483 | 4,977 |
179,108 | |||||
Total U.S. Government and Agency Obligations (Cost $2,709,013) | 2,638,495 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (18.4%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 1,545 | 1,540 |
4 | Ally Auto Receivables Trust 2017-5 | 2.220% | 10/17/22 | 6,140 | 5,993 |
4 | Ally Auto Receivables Trust 2018-1 | 2.350% | 6/15/22 | 18,930 | 18,720 |
4 | Ally Auto Receivables Trust 2018-1 | 2.530% | 2/15/23 | 5,050 | 4,959 |
4 | Ally Master Owner Trust Series 2017-3 | 2.040% | 6/15/22 | 19,100 | 18,736 |
4,10 | American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 3,950 | 3,985 |
4,10 | American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 1,060 | 1,085 |
4,10 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 6,661 | 6,718 |
4,10 | American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 5,188 | 5,127 |
4,10 | American Homes 4 Rent 2015-SFR2 | 3.732% | 10/17/45 | 2,800 | 2,801 |
4,10 | American Homes 4 Rent 2015-SFR2 | 4.295% | 10/17/45 | 1,070 | 1,102 |
10 | American Tower Trust #1 | 3.652% | 3/23/28 | 5,300 | 5,244 |
4,10 | Americold 2010 LLC Trust Series 2010- | ||||
ARTA | 4.954% | 1/14/29 | 6,402 | 6,626 | |
4,10 | Americold 2010 LLC Trust Series 2010- | ||||
ARTA | 6.811% | 1/14/29 | 3,540 | 3,772 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2013-5 | 2.860% | 12/9/19 | 1,616 | 1,617 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2014-1 | 2.150% | 3/9/20 | 361 | 361 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2014-2 | 2.180% | 6/8/20 | 324 | 324 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 1.540% | 3/9/20 | 1,234 | 1,233 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.080% | 9/8/20 | 2,560 | 2,555 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.730% | 3/8/21 | 4,400 | 4,394 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 3.340% | 8/8/21 | 3,200 | 3,211 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 1.810% | 10/8/20 | 3,613 | 3,606 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 2.890% | 1/10/22 | 4,190 | 4,187 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 3.590% | 2/8/22 | 2,980 | 2,998 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.210% | 5/10/21 | 2,040 | 2,028 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.870% | 11/8/21 | 1,960 | 1,959 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 3.650% | 5/9/22 | 3,280 | 3,304 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-3 | 2.710% | 9/8/22 | 3,390 | 3,331 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2016-4 | 2.410% | 7/8/22 | 7,205 | 7,093 | |
4 | AmeriCredit Automobile Receivables Trust | ||||
2017-3 | 1.690% | 12/18/20 | 49,531 | 49,337 | |
4,10 | AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 1,330 | 1,311 |
4,10 | Applebee's Funding LLC/IHOP Funding | ||||
LLC | 4.277% | 9/5/44 | 1,254 | 1,226 | |
4,10 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 653 | 649 |
4,10 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 5,583 | 5,482 |
4,10 | Aventura Mall Trust 2013-AVM | 3.867% | 12/5/32 | 1,482 | 1,502 |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2013-1A | 1.920% | 9/20/19 | 4,567 | 4,560 | |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2013-2A | 2.970% | 2/20/20 | 10,300 | 10,308 | |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2015-1A | 2.500% | 7/20/21 | 14,310 | 14,116 |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2015-2A | 2.630% | 12/20/21 | 15,725 | 15,460 | |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2016-1A | 2.990% | 6/20/22 | 1,540 | 1,525 | |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2017-1A | 3.070% | 9/20/23 | 4,220 | 4,141 | |
4,10 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2017-2A | 2.970% | 3/20/24 | 6,370 | 6,199 | |
4,10,11 Avis Budget Rental Car Funding AESOP | |||||
LLC 2018-1A | 3.700% | 9/20/24 | 6,200 | 6,198 | |
4,10,11 Avis Budget Rental Car Funding AESOP | |||||
LLC 2018-1A | 4.730% | 9/20/24 | 1,110 | 1,110 | |
4,10 | BAMLL Commercial Mortgage Securities | ||||
Trust 2012-PARK | 2.959% | 12/10/30 | 4,975 | 4,870 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2015-UBS7 | 3.429% | 9/15/48 | 3,350 | 3,368 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2015-UBS7 | 3.705% | 9/15/48 | 1,806 | 1,809 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2015-UBS7 | 4.511% | 9/15/48 | 360 | 361 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2017-BNK3 | 3.574% | 2/15/50 | 1,520 | 1,504 | |
4 | BANK 2017 - BNK4 | 3.625% | 5/15/50 | 3,435 | 3,412 |
4 | BANK 2017 - BNK5 | 3.390% | 6/15/60 | 3,585 | 3,503 |
4 | BANK 2017 - BNK6 | 3.254% | 7/15/60 | 4,620 | 4,475 |
4 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 5,740 | 5,647 |
4 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 1,310 | 1,296 |
4 | BANK 2017 - BNK7 | 3.435% | 9/15/60 | 5,490 | 5,367 |
4 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 11,520 | 11,297 |
4 | BANK 2017 - BNK9 | 3.538% | 11/15/54 | 8,545 | 8,452 |
4 | BANK 2018 - BNK10 | 3.641% | 2/15/61 | 4,430 | 4,442 |
4 | BANK 2018 - BNK10 | 3.688% | 2/15/61 | 11,760 | 11,726 |
4,10,12 Bank of America Student Loan Trust 2010- | |||||
1A | 3.160% | 2/25/43 | 4,222 | 4,247 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 38,080 | 36,704 | |
10 | Bank of Nova Scotia | 1.875% | 9/20/21 | 5,590 | 5,354 |
4,10 | Bank of The West Auto Trust 2014-1 | 1.650% | 3/16/20 | 3,807 | 3,806 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.602% | 1/15/51 | 2,910 | 2,913 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.666% | 1/15/51 | 6,570 | 6,535 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 3.878% | 1/15/51 | 2,350 | 2,345 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 4.059% | 1/15/51 | 6,320 | 6,309 |
4 | BENCHMARK 2018-B1 Mortgage Trust | 4.119% | 1/15/51 | 9,810 | 9,560 |
4 | BENCHMARK 2018-B2 Mortgage Trust | 3.882% | 2/15/51 | 33,400 | 33,771 |
4 | BENCHMARK 2018-B3 Mortgage Trust | 4.025% | 4/10/51 | 7,230 | 7,416 |
4 | BMW Vehicle Lease Trust 2017-2 | 2.070% | 10/20/20 | 11,120 | 10,995 |
4 | BMW Vehicle Lease Trust 2017-2 | 2.190% | 3/22/21 | 3,460 | 3,410 |
4 | BMW Vehicle Owner Trust 2018-A | 2.510% | 6/25/24 | 4,010 | 3,953 |
4,12 | Brazos Higher Education Authority Inc. | ||||
Series 2005-3 | 2.486% | 6/25/26 | 3,624 | 3,600 | |
4,12 | Brazos Higher Education Authority Inc. | ||||
Series 2011-1 | 2.744% | 2/25/30 | 6,580 | 6,636 | |
4,10 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 1,125 | 1,111 |
4,10 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 1,745 | 1,724 |
4,10 | California Republic Auto Receivables Trust | ||||
2015-4 | 2.580% | 6/15/21 | 5,910 | 5,906 | |
4 | California Republic Auto Receivables Trust | ||||
2016-1 | 3.430% | 2/15/22 | 8,000 | 7,981 |
4 | California Republic Auto Receivables Trust | ||||
2016-1 | 4.560% | 12/15/22 | 8,320 | 8,387 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.560% | 7/15/20 | 5,629 | 5,617 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.830% | 12/15/21 | 2,430 | 2,402 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 2.520% | 5/16/22 | 1,120 | 1,098 | |
4 | California Republic Auto Receivables Trust | ||||
2016-2 | 3.510% | 3/15/23 | 540 | 533 | |
4,10 | Canadian Pacer Auto Receivable Trust A | ||||
Series 2017 | 2.050% | 3/19/21 | 4,910 | 4,840 | |
4,10 | Canadian Pacer Auto Receivable Trust A | ||||
Series 2017 | 2.286% | 1/19/22 | 3,450 | 3,371 | |
4,10 | Canadian Pacer Auto Receivable Trust A | ||||
Series 2018 | 3.220% | 9/19/22 | 3,310 | 3,309 | |
4 | Capital Auto Receivables Asset Trust | ||||
2014-1 | 3.390% | 7/22/19 | 169 | 169 | |
4 | Capital Auto Receivables Asset Trust | ||||
2014-3 | 3.940% | 4/20/23 | 2,410 | 2,422 | |
4 | Capital Auto Receivables Asset Trust | ||||
2015-3 | 1.940% | 1/21/20 | 3,656 | 3,652 | |
4 | Capital Auto Receivables Asset Trust | ||||
2015-3 | 2.430% | 9/21/20 | 2,430 | 2,424 | |
4 | Capital Auto Receivables Asset Trust | ||||
2015-3 | 2.900% | 12/21/20 | 2,700 | 2,704 | |
4 | Capital Auto Receivables Asset Trust | ||||
2016-2 | 3.160% | 11/20/23 | 360 | 359 | |
4 | Capital Auto Receivables Asset Trust | ||||
2016-3 | 2.350% | 9/20/21 | 1,630 | 1,602 | |
4 | Capital Auto Receivables Asset Trust | ||||
2016-3 | 2.650% | 1/20/24 | 900 | 892 | |
4,10 | Capital Auto Receivables Asset Trust | ||||
2017-1 | 2.020% | 8/20/21 | 5,830 | 5,759 | |
4,10 | Capital Auto Receivables Asset Trust | ||||
2017-1 | 2.220% | 3/21/22 | 4,060 | 3,986 | |
4 | Capital One Multi-Asset Execution Trust | ||||
2017-A4 | 1.990% | 7/17/23 | 40,235 | 39,394 | |
4,10,13 CARDS II Trust 2017-2 | 2.157% | 10/17/22 | 22,920 | 22,920 | |
4 | CarMax Auto Owner Trust 2014-4 | 1.810% | 7/15/20 | 3,850 | 3,836 |
4 | CarMax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 2,010 | 2,008 |
4 | CarMax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 1,945 | 1,928 |
4 | CarMax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 2,795 | 2,786 |
4 | CarMax Auto Owner Trust 2016-2 | 2.160% | 12/15/21 | 1,930 | 1,892 |
4 | CarMax Auto Owner Trust 2016-2 | 3.250% | 11/15/22 | 2,160 | 2,146 |
4 | CarMax Auto Owner Trust 2016-3 | 2.200% | 6/15/22 | 1,930 | 1,878 |
4 | CarMax Auto Owner Trust 2016-3 | 2.940% | 1/17/23 | 1,360 | 1,339 |
4 | CarMax Auto Owner Trust 2017-4 | 2.110% | 10/17/22 | 6,110 | 6,013 |
4 | CarMax Auto Owner Trust 2017-4 | 2.330% | 5/15/23 | 3,460 | 3,378 |
4 | CarMax Auto Owner Trust 2017-4 | 2.460% | 8/15/23 | 1,640 | 1,592 |
4 | CarMax Auto Owner Trust 2017-4 | 2.700% | 10/16/23 | 1,640 | 1,595 |
4 | CarMax Auto Owner Trust 2018-1 | 2.230% | 5/17/21 | 14,210 | 14,144 |
4 | CarMax Auto Owner Trust 2018-1 | 2.480% | 11/15/22 | 19,230 | 19,016 |
4 | CarMax Auto Owner Trust 2018-1 | 2.640% | 6/15/23 | 3,040 | 3,000 |
4 | CarMax Auto Owner Trust 2018-1 | 2.830% | 9/15/23 | 5,020 | 4,923 |
4 | CarMax Auto Owner Trust 2018-1 | 2.950% | 11/15/23 | 1,560 | 1,529 |
4 | CarMax Auto Owner Trust 2018-2 | 3.370% | 10/16/23 | 2,140 | 2,137 |
4 | CarMax Auto Owner Trust 2018-2 | 3.570% | 12/15/23 | 3,090 | 3,086 |
4 | CarMax Auto Owner Trust 2018-2 | 3.990% | 4/15/25 | 2,390 | 2,387 |
4 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 17,440 | 16,235 |
4 | CD 2016-CD1 Commercial Mortgage Trust | 3.631% | 8/10/49 | 5,510 | 5,112 |
4 | CD 2017-CD3 Commercial Mortgage Trust | 3.631% | 2/10/50 | 9,825 | 9,757 |
4 | CD 2017-CD4 Commercial Mortgage Trust | 3.514% | 5/10/50 | 4,970 | 4,894 |
4 | CD 2017-CD5 Commercial Mortgage Trust | 3.431% | 8/15/50 | 6,270 | 6,122 |
4 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 2,315 | 2,264 |
4,10 | CFCRE Commercial Mortgage Trust 2011- | ||||
C2 | 5.946% | 12/15/47 | 5,260 | 5,650 | |
4 | CFCRE Commercial Mortgage Trust 2016- | ||||
C4 | 3.283% | 5/10/58 | 4,826 | 4,664 | |
4,10 | Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 23,441 | 23,321 |
4,10 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 12,860 | 12,837 |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2014-AA | 2.280% | 11/15/19 | 1,453 | 1,453 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2014-BA | 3.440% | 8/16/21 | 290 | 291 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2015-BA | 2.260% | 10/15/20 | 7,575 | 7,568 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2015-BA | 2.700% | 12/15/20 | 2,315 | 2,311 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2015-BA | 3.260% | 4/15/21 | 3,600 | 3,610 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2015-BA | 4.170% | 1/16/23 | 5,510 | 5,563 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2016-AA | 2.880% | 2/15/22 | 2,370 | 2,369 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2016-AA | 4.220% | 2/15/23 | 8,530 | 8,614 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2016-BA | 1.640% | 7/15/21 | 5,380 | 5,344 | |
4,10 | Chrysler Capital Auto Receivables Trust | ||||
2016-BA | 1.870% | 2/15/22 | 4,680 | 4,574 | |
4 | Citibank Credit Card Issuance Trust 2018- | ||||
A1 | 2.490% | 1/20/23 | 23,950 | 23,654 | |
4,10 | Citigroup Commercial Mortgage Trust | ||||
2012-GC8 | 3.683% | 9/10/45 | 2,017 | 2,036 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2013-GC11 | 3.093% | 4/10/46 | 6,015 | 5,930 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2013-GC15 | 3.161% | 9/10/46 | 2,003 | 2,006 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2013-GC15 | 3.942% | 9/10/46 | 878 | 896 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2013-GC15 | 4.371% | 9/10/46 | 1,910 | 1,991 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC19 | 3.753% | 3/10/47 | 885 | 893 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC19 | 4.023% | 3/10/47 | 16,273 | 16,705 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC21 | 3.575% | 5/10/47 | 27,838 | 27,952 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC21 | 3.855% | 5/10/47 | 9,060 | 9,203 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC23 | 3.622% | 7/10/47 | 8,949 | 8,969 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC23 | 3.863% | 7/10/47 | 2,020 | 2,011 |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC23 | 4.175% | 7/10/47 | 800 | 813 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC23 | 4.610% | 7/10/47 | 1,250 | 1,208 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC25 | 3.372% | 10/10/47 | 4,729 | 4,668 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC25 | 3.635% | 10/10/47 | 13,083 | 13,093 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC25 | 4.345% | 10/10/47 | 2,170 | 2,183 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2014-GC25 | 4.681% | 10/10/47 | 3,270 | 3,172 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2015-GC27 | 3.137% | 2/10/48 | 6,418 | 6,235 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2015-GC31 | 3.762% | 6/10/48 | 37,530 | 37,795 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2015-GC33 | 3.778% | 9/10/58 | 17,447 | 17,655 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2015-GC33 | 4.722% | 9/10/58 | 900 | 868 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2016-C1 | 3.209% | 5/10/49 | 9,456 | 9,201 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2016-P4 | 2.902% | 7/10/49 | 17,560 | 16,699 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2017-C4 | 3.471% | 10/12/50 | 6,325 | 6,193 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2017-P8 | 3.465% | 9/15/50 | 13,140 | 12,939 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2017-P8 | 4.192% | 9/15/50 | 3,150 | 3,161 | |
4 | Citigroup Commercial Mortgage Trust | ||||
2017-P8 | 4.414% | 9/15/50 | 3,150 | 3,064 | |
4,10 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 2,841 | 2,780 |
4,10,13 Colony American Homes 2015-1 | 3.397% | 7/17/32 | 440 | 440 | |
4,10,13 Colony American Homes 2015-1A | 3.097% | 7/17/32 | 3,675 | 3,676 | |
4,10,13 Colony Starwood Homes 2016-1A Trust | 3.395% | 7/17/33 | 6,595 | 6,610 | |
4,10,13 Colony Starwood Homes 2016-1A Trust | 4.046% | 7/17/33 | 2,970 | 2,980 | |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,971 | 2,946 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 3,900 | 3,906 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 6,778 | 6,629 |
4,10 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 6,160 | 6,104 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 6,899 | 6,725 |
4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 420 | 412 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,919 | 2,849 |
4,10 | COMM 2013-300P Mortgage Trust | 4.353% | 8/10/30 | 12,270 | 12,730 |
4 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 1,633 | 1,634 |
4 | COMM 2013-CCRE10 Mortgage Trust | 3.795% | 8/10/46 | 800 | 815 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 8/10/50 | 4,876 | 4,986 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 8/10/50 | 4,757 | 4,938 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,737 | 1,761 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 5,860 | 5,935 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 13,048 | 13,403 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/46 | 15,127 | 15,679 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.902% | 11/10/46 | 855 | 904 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.902% | 11/10/46 | 1,560 | 1,566 |
4,10 | COMM 2013-CCRE6 Mortgage Trust | 3.147% | 3/10/46 | 9,240 | 8,991 |
4,10 | COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 1,400 | 1,366 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.334% | 6/10/46 | 1,020 | 1,013 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 8,560 | 8,629 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.381% | 7/10/45 | 5,388 | 5,600 |
4,10 | COMM 2013-CCRE9 Mortgage Trust | 4.404% | 7/10/45 | 2,780 | 2,787 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 1,334 | 1,336 |
4,10 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 1,308 | 1,331 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 585 | 606 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,883 | 3,811 |
4,10 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 6,702 | 6,505 |
4,10 | COMM 2014-277P Mortgage Trust | 3.732% | 8/10/49 | 18,320 | 18,366 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.955% | 2/10/47 | 500 | 512 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 4,432 | 4,599 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 1,505 | 1,507 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 4,350 | 4,479 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 1,300 | 1,337 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.700% | 5/10/47 | 1,010 | 1,017 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 6,335 | 6,486 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 1,290 | 1,310 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.895% | 5/10/47 | 4,400 | 4,374 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.550% | 7/15/47 | 6,260 | 6,255 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 10,820 | 10,984 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 5,200 | 5,131 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.590% | 11/10/47 | 15,433 | 15,509 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 22,572 | 22,514 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 2,438 | 2,491 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/48 | 2,465 | 2,471 |
4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 4,100 | 4,128 |
4 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 3,748 | 3,734 |
4 | COMM 2015-CCRE27 Mortgage Trust | 4.621% | 10/10/48 | 1,760 | 1,715 |
4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 13,303 | 12,973 |
4,10 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 4,300 | 4,262 |
4,10 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 29,495 | 28,902 |
4,10 | Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 5,580 | 5,552 |
4 | CSAIL 2015-C1 Commercial Mortgage | ||||
Trust | 3.505% | 4/15/50 | 1,903 | 1,884 | |
4 | CSAIL 2015-C2 Commercial Mortgage | ||||
Trust | 3.504% | 6/15/57 | 6,650 | 6,589 | |
4 | CSAIL 2015-C3 Commercial Mortgage | ||||
Trust | 3.718% | 8/15/48 | 6,150 | 6,154 | |
4 | CSAIL 2015-C3 Commercial Mortgage | ||||
Trust | 4.503% | 8/15/48 | 2,160 | 2,112 | |
4 | CSAIL 2015-C4 Commercial Mortgage | ||||
Trust | 3.808% | 11/15/48 | 4,800 | 4,864 | |
4 | CSAIL 2016-C5 Commercial Mortgage | ||||
Trust | 4.687% | 11/15/48 | 3,620 | 3,601 | |
4 | CSAIL 2016-C7 Commercial Mortgage | ||||
Trust | 3.502% | 11/15/49 | 6,280 | 6,231 | |
4 | CSAIL 2017-C8 Commercial Mortgage | ||||
Trust | 3.392% | 6/15/50 | 6,880 | 6,755 | |
4,10 | Daimler Trucks Retail Trust 2018-1 | 3.030% | 11/15/24 | 7,287 | 7,275 |
4 | DBJPM 16-C1 Mortgage Trust | 3.504% | 5/10/49 | 1,250 | 1,142 |
4 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 9,640 | 9,343 |
4,10 | Dell Equipment Finance Trust 2017-2 | 1.970% | 2/24/20 | 9,430 | 9,387 |
4,10 | Dell Equipment Finance Trust 2017-2 | 2.190% | 10/24/22 | 5,090 | 5,030 |
4,10 | DLL Securitization Trust Series 2017-A | 2.140% | 12/15/21 | 5,720 | 5,631 |
4,10 | DLL Securitization Trust Series 2017-A | 2.430% | 11/17/25 | 3,380 | 3,298 |
4,10 | DNB Boligkreditt AS | 2.500% | 3/28/22 | 11,200 | 10,900 |
4,10 | Drive Auto Receivables Trust 2015-AA | 3.060% | 5/17/21 | 884 | 885 |
4,10 | Drive Auto Receivables Trust 2015-AA | 4.120% | 7/15/22 | 2,000 | 2,017 |
4,10 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 1,030 | 1,030 |
4,10 | Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 3,600 | 3,628 |
4,10 | Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 1,620 | 1,622 |
4,10 | Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 5,630 | 5,695 |
4,10 | Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 4,515 | 4,526 |
4,10 | Drive Auto Receivables Trust 2015-DA | 4.590% | 1/17/23 | 9,250 | 9,418 |
4,10 | Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 2,818 | 2,833 |
4,10 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 7,912 | 7,929 |
4,10 | Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 11,330 | 11,559 |
4,10 | Drive Auto Receivables Trust 2016-C | 2.370% | 11/16/20 | 6,066 | 6,062 |
4,10 | Drive Auto Receivables Trust 2016-C | 4.180% | 3/15/24 | 10,540 | 10,676 |
4 | Drive Auto Receivables Trust 2017-1 | 1.860% | 3/16/20 | 7,836 | 7,833 |
4 | Drive Auto Receivables Trust 2017-1 | 3.840% | 3/15/23 | 1,640 | 1,652 |
4 | Drive Auto Receivables Trust 2017-3 | 1.650% | 8/15/19 | 5,735 | 5,731 |
4 | Drive Auto Receivables Trust 2017-3 | 2.300% | 5/17/21 | 10,260 | 10,220 |
4 | Drive Auto Receivables Trust 2017-3 | 2.800% | 7/15/22 | 13,040 | 12,956 |
4,10,13 Edsouth Indenture No 9 LLC 2015-1 | 2.697% | 10/25/56 | 6,583 | 6,600 | |
4,10 | ELFI Graduate Loan Program 2018-A LLC | 3.430% | 8/25/42 | 14,470 | 14,400 |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2015-1 | 1.740% | 9/20/20 | 12,916 | 12,913 | |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2015-2 | 2.090% | 2/22/21 | 7,190 | 7,168 | |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2016-1 | 2.080% | 9/20/21 | 18,140 | 17,988 | |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2016-2 | 2.040% | 2/22/22 | 2,750 | 2,712 | |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2017-3 | 2.360% | 5/20/23 | 5,910 | 5,794 | |
4,10 | Enterprise Fleet Financing LLC Series | ||||
2018-1 | 3.100% | 10/20/23 | 4,940 | 4,926 | |
4,10,13 Evergreen Credit Card Trust Series 2017-1 | 2.157% | 10/15/21 | 16,500 | 16,500 | |
4,5,13 | Fannie Mae Connecticut Avenue Securities | ||||
2016-C04 | 3.347% | 1/25/29 | 1,349 | 1,359 | |
4,5,13 | Fannie Mae Connecticut Avenue Securities | ||||
2016-C05 | 3.247% | 1/25/29 | 657 | 660 | |
4,5 | Fannie Mae Grantor Trust 2017-T1 | 2.898% | 6/25/27 | 10,266 | 9,669 |
4,13 | First National Master Note Trust 2017-2 | 2.337% | 10/16/23 | 9,120 | 9,130 |
4,10 | Flagship Credit Auto Trust 2016-4 | 1.960% | 2/16/21 | 6,360 | 6,336 |
4 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 17,030 | 17,026 |
4 | Ford Credit Auto Lease Trust 2017-B | 2.030% | 12/15/20 | 14,340 | 14,191 |
4 | Ford Credit Auto Lease Trust 2017-B | 2.170% | 2/15/21 | 7,250 | 7,157 |
4 | Ford Credit Auto Lease Trust 2018-A | 3.050% | 8/15/21 | 2,860 | 2,858 |
4 | Ford Credit Auto Lease Trust 2018-A | 3.170% | 9/15/21 | 5,150 | 5,144 |
4,10 | Ford Credit Auto Owner Trust 2014-REV1 | 2.260% | 11/15/25 | 17,458 | 17,388 |
4,10 | Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 2,900 | 2,888 |
4,10 | Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 10,300 | 10,230 |
4,10 | Ford Credit Auto Owner Trust 2014-REV2 | 2.510% | 4/15/26 | 2,160 | 2,147 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.010% | 3/15/21 | 4,670 | 4,632 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.260% | 3/15/22 | 2,085 | 2,073 |
4,10 | Ford Credit Auto Owner Trust 2015-REV2 | 2.440% | 1/15/27 | 26,000 | 25,681 |
4 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 2,430 | 2,382 |
4,10 | Ford Credit Auto Owner Trust 2016-REV1 | 2.310% | 8/15/27 | 13,820 | 13,533 |
4,10 | Ford Credit Auto Owner Trust 2016-REV2 | 2.030% | 12/15/27 | 20,230 | 19,561 |
4,10 | Ford Credit Auto Owner Trust 2017-1 | 2.620% | 8/15/28 | 24,010 | 23,527 |
4,10 | Ford Credit Auto Owner Trust 2017-2 | 2.360% | 3/15/29 | 26,970 | 25,990 |
4,10 | Ford Credit Auto Owner Trust 2017-2 | 2.600% | 3/15/29 | 4,800 | 4,625 |
4,10 | Ford Credit Auto Owner Trust 2017-2 | 2.750% | 3/15/29 | 9,830 | 9,455 |
4,10 | Ford Credit Auto Owner Trust 2018-REV1 | 3.190% | 7/15/31 | 22,190 | 21,751 |
4,10 | Ford Credit Auto Owner Trust 2018-REV1 | 3.340% | 7/15/31 | 7,010 | 6,885 |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2013-4 | 2.100% | 6/15/20 | 670 | 670 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2013-4 | 2.290% | 6/15/20 | 720 | 720 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2013-4 | 2.790% | 6/15/20 | 290 | 290 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2014-2 | 2.310% | 2/15/21 | 900 | 897 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2015-5 | 2.390% | 8/15/22 | 8,480 | 8,358 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2017-1 | 2.070% | 5/15/22 | 56,020 | 55,007 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2017-2 | 2.160% | 9/15/22 | 37,850 | 37,177 | |
4 | Ford Credit Floorplan Master Owner Trust | ||||
A Series 2018-1 | 2.950% | 5/15/23 | 27,090 | 26,971 | |
4,5,13 | Freddie Mac Structured Agency Credit Risk | ||||
Debt Notes 2016-DNA2 | 4.097% | 10/25/28 | 899 | 910 | |
4,5,13 | Freddie Mac Structured Agency Credit Risk | ||||
Debt Notes 2016-DNA3 | 2.997% | 12/25/28 | 178 | 178 | |
4,5,13 | Freddie Mac Structured Agency Credit Risk | ||||
Debt Notes 2016-DNA3 | 3.897% | 12/25/28 | 2,760 | 2,798 | |
4,5,10 | Freddie Mac Structured Agency Credit Risk | ||||
Debt Notes 2018-SPI1 | 3.746% | 2/25/48 | 3,550 | 3,544 | |
4,10 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 269 | 267 |
4,10 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 5,954 | 5,880 |
4 | GM Financial Automobile Leasing Trust | ||||
2015-2 | 2.420% | 7/22/19 | 1,732 | 1,732 | |
4 | GM Financial Automobile Leasing Trust | ||||
2015-2 | 2.990% | 7/22/19 | 2,320 | 2,320 | |
4 | GM Financial Automobile Leasing Trust | ||||
2015-3 | 1.690% | 3/20/19 | 1,275 | 1,274 | |
4 | GM Financial Automobile Leasing Trust | ||||
2015-3 | 2.320% | 11/20/19 | 1,310 | 1,309 | |
4 | GM Financial Automobile Leasing Trust | ||||
2015-3 | 2.980% | 11/20/19 | 2,870 | 2,874 | |
4 | GM Financial Automobile Leasing Trust | ||||
2015-3 | 3.480% | 8/20/20 | 2,870 | 2,875 | |
4 | GM Financial Automobile Leasing Trust | ||||
2016-1 | 1.790% | 3/20/20 | 17,520 | 17,464 | |
4 | GM Financial Automobile Leasing Trust | ||||
2016-2 | 2.580% | 3/20/20 | 1,920 | 1,913 | |
4 | GM Financial Automobile Leasing Trust | ||||
2017-2 | 2.180% | 6/21/21 | 5,010 | 4,946 | |
4 | GM Financial Automobile Leasing Trust | ||||
2017-3 | 2.010% | 11/20/20 | 10,470 | 10,355 | |
4 | GM Financial Automobile Leasing Trust | ||||
2017-3 | 2.120% | 9/20/21 | 3,290 | 3,240 | |
4 | GM Financial Automobile Leasing Trust | ||||
2017-3 | 2.400% | 9/20/21 | 4,120 | 4,052 | |
4 | GM Financial Automobile Leasing Trust | ||||
2017-3 | 2.730% | 9/20/21 | 2,240 | 2,210 | |
4,10 | GM Financial Consumer Automobile 2017- | ||||
3 | 2.130% | 3/16/23 | 5,350 | 5,203 | |
4,10 | GM Financial Consumer Automobile 2017- | ||||
3 | 2.330% | 3/16/23 | 1,640 | 1,599 |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2015-1 | 1.650% | 5/15/20 | 12,000 | 11,998 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2015-1 | 1.970% | 5/15/20 | 3,770 | 3,769 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2016-1 | 2.410% | 5/17/21 | 5,290 | 5,252 | |
4,10,13 GMF Floorplan Owner Revolving Trust | |||||
2016-1 | 2.747% | 5/17/21 | 10,476 | 10,544 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2016-1 | 2.850% | 5/17/21 | 3,900 | 3,854 | |
4,10,13 GMF Floorplan Owner Revolving Trust | |||||
2017-1 | 2.467% | 1/18/22 | 230 | 231 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2017-2 | 2.130% | 7/15/22 | 42,410 | 41,589 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2017-2 | 2.440% | 7/15/22 | 13,200 | 12,989 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2017-2 | 2.630% | 7/15/22 | 7,240 | 7,087 | |
4,10 | GMF Floorplan Owner Revolving Trust | ||||
2018-2 | 3.130% | 3/15/23 | 19,810 | 19,790 | |
4,10 | Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 13,530 | 13,295 |
4,10 | Golden Credit Card Trust 2016-5A | 1.600% | 9/15/21 | 26,780 | 26,275 |
4,10 | Golden Credit Card Trust 2018-1A | 2.620% | 1/15/23 | 58,610 | 57,908 |
4,10 | GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 1,000 | 1,000 |
4,10 | GreatAmerica Leasing Receivables | ||||
Funding LLC Series 2015-1 | 2.020% | 6/21/21 | 1,176 | 1,172 | |
4,10 | GreatAmerica Leasing Receivables | ||||
Funding LLC Series 2016-1 | 1.990% | 4/20/22 | 10,580 | 10,483 | |
4,10 | GreatAmerica Leasing Receivables | ||||
Funding LLC Series 2018-1 | 2.600% | 6/15/21 | 2,020 | 2,004 | |
4,10 | GreatAmerica Leasing Receivables | ||||
Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 1,310 | 1,296 | |
4,10 | GS Mortgage Securities Corporation II | ||||
2012-BWTR | 2.954% | 11/5/34 | 7,625 | 7,399 | |
4 | GS Mortgage Securities Corporation II | ||||
2015-GC30 | 3.382% | 5/10/50 | 4,788 | 4,710 | |
4,10 | GS Mortgage Securities Corporation Trust | ||||
2012-ALOHA | 3.551% | 4/10/34 | 5,430 | 5,473 | |
4,10 | GS Mortgage Securities Trust 2010-C2 | 5.355% | 12/10/43 | 1,370 | 1,419 |
4,10 | GS Mortgage Securities Trust 2011-GC3 | 5.826% | 3/10/44 | 2,650 | 2,769 |
4,10 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,071 |
4 | GS Mortgage Securities Trust 2012-GCJ7 | 5.887% | 5/10/45 | 2,140 | 2,217 |
4 | GS Mortgage Securities Trust 2013-GC13 | 4.193% | 7/10/46 | 185 | 192 |
4,10 | GS Mortgage Securities Trust 2013-GC13 | 4.226% | 7/10/46 | 1,210 | 1,180 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 4,128 | 4,074 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 1,550 | 1,536 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 754 | 754 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 800 | 813 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 6,005 | 6,168 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 105 | 109 |
4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 10,638 | 10,904 |
4 | GS Mortgage Securities Trust 2014-GC20 | 4.258% | 4/10/47 | 570 | 573 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 13,475 | 13,738 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 6,520 | 6,601 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.641% | 9/10/47 | 2,610 | 2,678 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.662% | 9/10/47 | 4,615 | 4,564 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 7,680 | 7,602 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 17,870 | 17,938 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.136% | 2/10/48 | 9,200 | 8,985 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 4,615 | 4,654 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 14,640 | 14,531 |
4 | GS Mortgage Securities Trust 2015-GC34 | 4.809% | 10/10/48 | 2,610 | 2,582 |
4,10 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 9,030 | 8,878 |
4,10,11 Hertz Fleet Lease Funding LP 2018-1 | 3.230% | 5/10/32 | 16,220 | 16,217 | |
4,10 | Hertz Vehicle Financing II LP 2015-1A | 2.730% | 3/25/21 | 11,150 | 11,035 |
4,10 | Hertz Vehicle Financing II LP 2015-3A | 2.670% | 9/25/21 | 4,700 | 4,621 |
4,10 | Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 6,858 | 6,748 |
4,10 | Hertz Vehicle Financing II LP 2016-3A | 2.270% | 7/25/20 | 1,650 | 1,634 |
4,10 | Hertz Vehicle Financing II LP 2018-1A | 3.290% | 2/25/24 | 4,390 | 4,294 |
4,10 | Hertz Vehicle Financing II LP 2018-1A | 3.600% | 2/25/24 | 6,110 | 5,963 |
4,10 | Hertz Vehicle Financing II LP 2018-1A | 4.390% | 2/25/24 | 930 | 912 |
4,10 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 10,900 | 10,881 |
4,10 | Hertz Vehicle Financing LLC 2017-2A | 3.290% | 10/25/23 | 3,458 | 3,391 |
4,10 | Hertz Vehicle Financing LLC 2017-2A | 4.200% | 10/25/23 | 12,380 | 12,489 |
4,10 | Hilton USA Trust 2016-HHV | 3.719% | 11/5/38 | 7,780 | 7,720 |
4,10,12 Holmes Master Issuer plc 2018-1 | 2.708% | 10/15/54 | 10,350 | 10,346 | |
4 | Honda Auto Receivables 2017-4 Owner | ||||
Trust | 2.050% | 11/22/21 | 20,890 | 20,668 | |
4 | Honda Auto Receivables 2017-4 Owner | ||||
Trust | 2.210% | 3/21/24 | 3,110 | 3,049 | |
4,10 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 10,910 | 10,515 |
4,10 | Hudsons Bay Simon JV Trust 2015-HB7 | 3.914% | 8/5/34 | 4,750 | 4,688 |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2015-B | 2.210% | 5/15/20 | 4,722 | 4,721 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2017-B | 2.130% | 3/15/21 | 10,930 | 10,812 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2017-C | 2.120% | 2/16/21 | 17,620 | 17,442 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2017-C | 2.210% | 9/15/21 | 3,470 | 3,422 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2017-C | 2.460% | 7/15/22 | 3,160 | 3,107 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2018-A | 2.810% | 4/15/21 | 14,880 | 14,835 | |
4,10 | Hyundai Auto Lease Securitization Trust | ||||
2018-A | 2.890% | 3/15/22 | 4,710 | 4,692 | |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 1,686 | 1,685 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 1,150 | 1,150 |
4 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 2,200 | 2,198 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.150% | 11/15/21 | 1,400 | 1,387 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.550% | 11/15/21 | 3,290 | 3,268 |
4,12 | Illinois Student Assistance Commission | ||||
Series 2010-1 | 3.410% | 4/25/22 | 736 | 738 | |
4,10,13 Invitation Homes 2015-SFR2 Trust | 3.246% | 6/17/32 | 2,826 | 2,826 | |
4,10,13 Invitation Homes 2015-SFR2 Trust | 3.545% | 6/17/32 | 1,510 | 1,510 | |
4,10,13 Invitation Homes 2015-SFR3 Trust | 3.646% | 8/17/32 | 1,650 | 1,650 | |
4,10,13 Invitation Homes 2017-SFR2 Trust | 2.746% | 12/17/36 | 14,434 | 14,445 | |
4,10,13 Invitation Homes 2017-SFR2 Trust | 3.045% | 12/17/36 | 4,930 | 4,949 | |
4,10,13 Invitation Homes 2018-SFR1 Trust | 2.595% | 3/17/37 | 9,345 | 9,361 | |
4,10,13 Invitation Homes 2018-SFR1 Trust | 2.846% | 3/17/37 | 2,250 | 2,263 | |
4,10 | Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 6,631 | 6,540 |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C1 | 4.608% | 6/15/43 | 5,688 | 5,791 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C2 | 4.070% | 11/15/43 | 1,209 | 1,231 |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C2 | 5.828% | 11/15/43 | 2,313 | 2,381 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C2 | 5.828% | 11/15/43 | 2,730 | 2,800 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.388% | 2/15/46 | 74 | 74 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.717% | 2/15/46 | 7,534 | 7,818 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C5 | 5.588% | 8/15/46 | 4,000 | 4,224 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 920 | 947 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 3,807 | 3,830 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 4,729 | 4,640 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 3.424% | 10/15/45 | 22,630 | 22,386 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-CIBX | 4.271% | 6/15/45 | 1,350 | 1,380 | |
4,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 6,008 | 5,958 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-LC9 | 2.840% | 12/15/47 | 4,670 | 4,574 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 3.994% | 1/15/46 | 323 | 332 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 4.187% | 1/15/46 | 2,550 | 2,519 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 1,215 | 1,230 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 651 | 662 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 29,810 | 30,814 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 5.112% | 12/15/46 | 2,135 | 2,234 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 5.177% | 12/15/46 | 960 | 988 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 10,979 | 10,755 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 3.461% | 7/15/47 | 12,380 | 12,452 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2016-JP4 | 3.648% | 12/15/49 | 9,670 | 9,667 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2017-JP6 | 3.490% | 7/15/50 | 4,100 | 4,033 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.363% | 7/15/45 | 6,780 | 6,789 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.664% | 7/15/45 | 5,515 | 5,585 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 4.167% | 7/15/45 | 5,000 | 5,072 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.761% | 8/15/46 | 1,572 | 1,595 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.133% | 8/15/46 | 6,118 | 6,332 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 495 | 496 |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 3.659% | 11/15/45 | 400 | 405 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.927% | 11/15/45 | 1,750 | 1,821 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 5.248% | 11/15/45 | 1,340 | 1,389 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.199% | 1/15/47 | 4,363 | 4,517 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 14,680 | 15,106 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.439% | 2/15/47 | 600 | 621 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.974% | 2/15/47 | 2,500 | 2,587 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.974% | 2/15/47 | 1,000 | 1,007 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.997% | 4/15/47 | 2,910 | 2,983 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.493% | 8/15/47 | 5,570 | 5,577 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.639% | 11/15/47 | 2,117 | 2,125 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.231% | 1/15/48 | 13,220 | 12,914 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.494% | 1/15/48 | 5,120 | 5,106 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C27 | 3.179% | 2/15/48 | 9,823 | 9,582 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.551% | 7/15/48 | 4,640 | 4,599 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.822% | 7/15/48 | 3,450 | 3,505 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 4.226% | 7/15/48 | 2,245 | 2,303 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C31 | 3.801% | 8/15/48 | 11,540 | 11,703 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C32 | 3.598% | 11/15/48 | 3,783 | 3,785 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C33 | 3.770% | 12/15/48 | 7,300 | 7,361 | |
4 | JPMCC Commercial Mortgage Securities | ||||
Trust 2017-JP5 | 3.723% | 3/15/50 | 11,590 | 11,649 | |
4 | JPMCC Commercial Mortgage Securities | ||||
Trust 2017-JP7 | 3.454% | 9/15/50 | 4,660 | 4,582 | |
4 | JPMDB Commercial Mortgage Securities | ||||
Trust 2017-C7 | 3.409% | 10/15/50 | 3,460 | 3,389 | |
4,10,12 Lanark Master Issuer plc 2018-1A | 2.236% | 12/22/69 | 6,800 | 6,796 | |
4,10 | Laurel Road Prime Student Loan Trust | ||||
2017-C | 2.810% | 11/25/42 | 13,420 | 13,045 | |
4,10,11 Laurel Road Prime Student Loan Trust | |||||
2018-B | 3.540% | 5/26/43 | 13,250 | 13,239 | |
4,10 | LCCM 2014-909 Mortgage Trust | 3.388% | 5/15/31 | 910 | 910 |
4,10 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 1,245 | 1,261 |
4,10,13 Master Credit Card Trust II Series 2018-1A | 2.388% | 7/22/24 | 21,490 | 21,538 | |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.200% | 4/15/20 | 12,820 | 12,781 |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.410% | 2/16/21 | 19,250 | 19,111 |
4 | Mercedes-Benz Auto Lease Trust 2018-A | 2.510% | 10/16/23 | 1,920 | 1,902 |
4,10,13 Mercedes-Benz Master Owner Trust 2017- | |||||
B | 2.317% | 5/16/22 | 7,104 | 7,127 | |
4,10 | Miramax LLC 2014-1A | 3.340% | 7/20/26 | 476 | 474 |
4,10 | MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 701 | 701 |
4,10 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 13,600 | 13,359 |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2012-C5 | 3.176% | 8/15/45 | 8,462 | 8,410 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2012-C5 | 3.792% | 8/15/45 | 16,040 | 16,047 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2012-C6 | 2.858% | 11/15/45 | 6,337 | 6,232 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C10 | 4.217% | 7/15/46 | 1,244 | 1,283 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C10 | 4.217% | 7/15/46 | 1,830 | 1,756 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C11 | 3.085% | 8/15/46 | 362 | 362 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C11 | 3.960% | 8/15/46 | 11,427 | 11,647 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C11 | 4.310% | 8/15/46 | 3,937 | 4,066 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C12 | 3.824% | 10/15/46 | 1,005 | 1,024 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C12 | 4.259% | 10/15/46 | 1,940 | 2,012 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C13 | 4.039% | 11/15/46 | 400 | 411 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,425 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C7 | 3.214% | 2/15/46 | 2,000 | 1,963 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C9 | 3.102% | 5/15/46 | 12,980 | 12,745 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C14 | 4.064% | 2/15/47 | 2,300 | 2,358 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C14 | 4.384% | 2/15/47 | 1,600 | 1,645 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C15 | 3.773% | 4/15/47 | 11,716 | 11,891 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C15 | 4.051% | 4/15/47 | 20,825 | 21,358 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C15 | 5.053% | 4/15/47 | 1,140 | 1,168 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C16 | 3.892% | 6/15/47 | 8,646 | 8,809 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C16 | 4.094% | 6/15/47 | 935 | 952 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C16 | 4.480% | 6/15/47 | 7,090 | 7,242 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C16 | 4.913% | 6/15/47 | 2,400 | 2,380 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C17 | 3.741% | 8/15/47 | 28,696 | 28,980 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C17 | 4.011% | 8/15/47 | 1,380 | 1,387 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C18 | 3.923% | 10/15/47 | 5,430 | 5,546 |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C19 | 3.326% | 12/15/47 | 6,880 | 6,884 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C19 | 3.526% | 12/15/47 | 3,940 | 3,954 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C20 | 3.069% | 2/15/48 | 8,640 | 8,576 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C20 | 3.249% | 2/15/48 | 10,453 | 10,255 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C23 | 3.451% | 7/15/50 | 3,420 | 3,383 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C24 | 3.479% | 5/15/48 | 4,300 | 4,262 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C24 | 3.732% | 5/15/48 | 18,370 | 18,513 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C25 | 3.635% | 10/15/48 | 7,598 | 7,625 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2016-C29 | 3.325% | 5/15/49 | 700 | 686 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2016-C29 | 4.910% | 5/15/49 | 1,090 | 1,097 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2016-C32 | 3.720% | 12/15/49 | 19,390 | 19,485 | |
4 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2017-C34 | 3.536% | 11/15/52 | 6,520 | 6,380 | |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 2,260 | 2,248 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,444 |
4,10 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 6,407 | 6,214 |
4,10 | Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 6,370 | 6,436 |
4,10 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 2,795 | 2,805 |
4,10 | Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/12/50 | 4,430 | 4,396 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 48,685 | 49,251 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 4.741% | 12/15/48 | 3,210 | 3,180 |
4 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 21,780 | 20,392 |
4 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 7,410 | 7,406 |
4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.509% | 12/15/50 | 2,800 | 2,790 |
4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 3,486 | 3,450 |
4,10,13 Motor plc 2017 1A | 2.427% | 9/25/24 | 31,470 | 31,407 | |
4,10 | MSBAM Commercial Mortgage Securities | ||||
Trust 2012-CKSV | 3.277% | 10/15/30 | 11,190 | 10,831 | |
4,10 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 15,800 | 15,406 |
4,10 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 25,310 | 24,590 |
4,10,13 Navient Student Loan Trust 2016-2 | 2.947% | 6/25/65 | 2,420 | 2,449 | |
4,10,13 Navient Student Loan Trust 2016-3 | 2.747% | 6/25/65 | 2,050 | 2,067 | |
4,10,13 Navient Student Loan Trust 2016-6A | 2.647% | 3/25/66 | 12,400 | 12,540 | |
4,10,13 Navient Student Loan Trust 2017-4A | 2.397% | 9/27/66 | 8,390 | 8,427 | |
4,10,13 Navient Student Loan Trust 2017-A | 2.297% | 12/16/58 | 6,989 | 6,996 | |
4,10,13 Navient Student Loan Trust 2017-A | 2.880% | 12/16/58 | 8,940 | 8,695 | |
4,10,13 Navient Student Loan Trust 2018-1 | 2.087% | 3/25/67 | 5,932 | 5,929 | |
4,10,13 Navient Student Loan Trust 2018-1 | 2.247% | 3/25/67 | 7,890 | 7,888 | |
4,10,13 Navient Student Loan Trust 2018-1 | 2.617% | 3/25/67 | 9,750 | 9,771 | |
4,10,13 Navistar Financial Dealer Note Master | |||||
Trust II 2016-1A | 3.247% | 9/27/21 | 15,350 | 15,411 | |
4,13 | New Mexico Educational Assistance | ||||
Foundation 2013-1 | 2.583% | 1/2/25 | 2,855 | 2,850 | |
4,10 | NextGear Floorplan Master Owner Trust | ||||
2016-1A | 2.740% | 4/15/21 | 6,720 | 6,711 | |
4 | Nissan Auto Lease Trust 2017-A | 1.910% | 4/15/20 | 24,810 | 24,571 |
4 | Nissan Auto Lease Trust 2017-A | 2.040% | 9/15/22 | 8,960 | 8,851 |
4 | Nissan Auto Lease Trust 2017-B | 2.050% | 9/15/20 | 18,990 | 18,795 |
4 | Nissan Auto Lease Trust 2017-B | 2.170% | 12/15/21 | 5,300 | 5,226 |
4 | Nissan Auto Receivables 2017-C Owner | ||||
Trust | 2.120% | 4/18/22 | 19,280 | 18,996 | |
4 | Nissan Auto Receivables 2017-C Owner | ||||
Trust | 2.280% | 2/15/24 | 10,870 | 10,648 | |
4,13 | Nissan Master Owner Trust Receivables | ||||
Series 2017-C | 2.217% | 10/17/22 | 49,920 | 49,971 | |
4,10 | OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 121 | 124 |
4,10 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 8,980 | 8,769 |
4,10,13 Pepper Residential Securities Trust 2017A- | |||||
A1UA | 2.997% | 3/10/58 | 6,023 | 6,031 | |
4,10,13 Pepper Residential Securities Trust 2018A- | |||||
A1UA | 2.844% | 3/12/47 | 1,389 | 1,391 | |
4,10,13 Pepper Residential Securities Trust 2019A- | |||||
A1U1 | 2.244% | 10/12/18 | 13,610 | 13,597 | |
4,10,13 Pepper Residential Securities Trust 2020A- | |||||
A1U1 | 2.443% | 3/16/19 | 8,390 | 8,335 | |
4,10 | PFS Financing Corp 2017-B | 2.220% | 7/15/22 | 15,980 | 15,646 |
4,10,13 PFS Financing Corp. 2017-C | 2.367% | 10/15/21 | 16,560 | 16,598 | |
4,10 | PFS Financing Corp. 2017-D | 2.400% | 10/17/22 | 17,210 | 16,882 |
4,10 | PFS Financing Corp. 2018-D | 3.190% | 4/17/23 | 5,460 | 5,441 |
4,10,13 PHEAA Student Loan Trust 2016-2A | 2.847% | 11/25/65 | 13,771 | 13,805 | |
4,10 | Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 2,459 | 2,423 |
4,10 | Progress Residential 2015-SFR3 Trust | 3.067% | 11/12/32 | 9,320 | 9,256 |
4,10 | Progress Residential 2015-SFR3 Trust | 3.733% | 11/12/32 | 3,460 | 3,466 |
4,10 | Progress Residential 2017-SFR2 Trust | 2.897% | 12/17/34 | 7,770 | 7,507 |
4,10 | Progress Residential 2017-SFR2 Trust | 3.196% | 12/17/34 | 2,020 | 1,960 |
4,10 | Progress Residential 2018-SFR1 Trust | 3.255% | 3/17/35 | 4,580 | 4,489 |
4,10 | Progress Residential 2018-SFR1 Trust | 3.484% | 3/17/35 | 580 | 572 |
4,10,12 Resimac Premier Series 2014-1A | 2.789% | 12/12/45 | 1,636 | 1,626 | |
4,10,13 Resimac Premier Series 2016-1A | 3.287% | 10/10/47 | 21,876 | 21,998 | |
4 | Royal Bank of Canada | 2.200% | 9/23/19 | 2,573 | 2,550 |
4 | Royal Bank of Canada | 2.100% | 10/14/20 | 1,090 | 1,066 |
4 | Royal Bank of Canada | 1.875% | 2/5/21 | 4,800 | 4,716 |
4 | Royal Bank of Canada | 2.300% | 3/22/21 | 5,540 | 5,406 |
4 | Santander Drive Auto Receivables Trust | ||||
2015-3 | 3.490% | 5/17/21 | 5,160 | 5,191 | |
4 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.260% | 6/15/20 | 792 | 792 | |
4 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.970% | 3/15/21 | 9,420 | 9,431 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-1 | 2.470% | 12/15/20 | 6,653 | 6,650 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.080% | 2/16/21 | 2,450 | 2,444 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.660% | 11/15/21 | 1,610 | 1,607 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 3.390% | 4/15/22 | 1,440 | 1,442 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 1.890% | 6/15/21 | 8,060 | 8,029 | |
4 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 2.460% | 3/15/22 | 9,330 | 9,270 | |
4 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 1.870% | 6/15/21 | 7,990 | 7,942 | |
4 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 2.760% | 12/15/22 | 3,980 | 3,929 |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.100% | 11/16/20 | 17,330 | 17,266 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.320% | 8/16/21 | 4,720 | 4,687 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.630% | 7/15/22 | 10,780 | 10,650 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.960% | 3/15/24 | 9,410 | 9,269 | |
4 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 3.320% | 3/15/24 | 4,110 | 4,032 | |
4,10 | Santander Retail Auto Lease Trust 2017-A | 2.370% | 1/20/22 | 3,460 | 3,412 |
4,10 | Santander Retail Auto Lease Trust 2017-A | 2.680% | 1/20/22 | 2,750 | 2,713 |
4,10 | Santander Retail Auto Lease Trust 2018-A | 2.930% | 5/20/21 | 11,150 | 11,116 |
4,10 | Santander Retail Auto Lease Trust 2018-A | 3.060% | 4/20/22 | 3,910 | 3,897 |
4,10 | Santander Retail Auto Lease Trust 2018-A | 3.200% | 4/20/22 | 3,340 | 3,328 |
4,10 | Santander Retail Auto Lease Trust 2018-A | 3.490% | 5/20/22 | 7,760 | 7,731 |
10 | SBA Tower Trust | 3.156% | 10/8/20 | 3,970 | 3,953 |
4,10 | Securitized Term Auto Receivables Trust | ||||
2016-1A | 1.524% | 3/25/20 | 4,854 | 4,830 | |
4,10 | Securitized Term Auto Receivables Trust | ||||
2016-1A | 1.794% | 2/25/21 | 5,460 | 5,352 | |
4,10 | Securitized Term Auto Receivables Trust | ||||
2017-2A | 2.289% | 3/25/22 | 6,400 | 6,204 | |
4,10,11 Securitized Term Auto Receivables Trust | |||||
2018-1A | 3.298% | 11/25/22 | 2,350 | 2,350 | |
4,10 | SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 467 | 470 |
4,10 | SLM Private Education Loan Trust 2011-B | 3.740% | 2/15/29 | 4,345 | 4,372 |
4,10 | SLM Private Education Loan Trust 2011-C | 4.540% | 10/17/44 | 2,427 | 2,464 |
4,10 | SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 345 | 345 |
4,10,13 SLM Private Education Loan Trust 2013-A | 2.947% | 5/17/27 | 2,728 | 2,737 | |
4,10 | SLM Private Education Loan Trust 2013-A | 2.500% | 3/15/47 | 1,800 | 1,776 |
4,10 | SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 2,055 | 2,039 |
4,10 | SLM Private Education Loan Trust 2013-B | 3.000% | 5/16/44 | 3,000 | 2,941 |
4,10 | SLM Private Education Loan Trust 2013-C | 3.500% | 6/15/44 | 2,000 | 1,999 |
4,10 | SLM Private Education Loan Trust 2014-A | 2.590% | 1/15/26 | 531 | 529 |
4,10 | SLM Private Education Loan Trust 2014-A | 3.500% | 11/15/44 | 800 | 789 |
4,12 | SLM Student Loan Trust 2005-5 | 2.460% | 4/25/25 | 134 | 134 |
4 | SMART ABS Series 2016-2US Trust | 2.050% | 12/14/22 | 1,830 | 1,778 |
4,10 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 5,942 | 5,814 |
4,10,13 SMB Private Education Loan Trust 2016-B | 3.347% | 2/17/32 | 4,433 | 4,544 | |
4,10,13 SMB Private Education Loan Trust 2016-C | 2.997% | 9/15/34 | 5,600 | 5,694 | |
4,10,13 SMB Private Education Loan Trust 2017-A | 2.797% | 9/15/34 | 8,230 | 8,337 | |
4,10 | SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 9,810 | 9,518 |
4,10 | SMB Private Education Loan Trust 2018-A | 3.500% | 2/15/36 | 18,170 | 18,065 |
4,10 | SoFi Professional Loan Program 2016-B | ||||
LLC | 2.740% | 10/25/32 | 4,300 | 4,240 | |
4,10 | SoFi Professional Loan Program 2016-C | ||||
LLC | 2.360% | 12/27/32 | 2,235 | 2,166 | |
4,10 | SoFi Professional Loan Program 2016-D | ||||
LLC | 2.340% | 4/25/33 | 2,340 | 2,259 | |
4,10,13 SoFi Professional Loan Program 2016-D | |||||
LLC | 2.847% | 1/25/39 | 1,609 | 1,629 | |
4,10 | SoFi Professional Loan Program 2017-A | ||||
LLC | 2.400% | 3/26/40 | 1,280 | 1,240 | |
4,10 | SoFi Professional Loan Program 2017-B | ||||
LLC | 2.740% | 5/25/40 | 7,170 | 6,971 | |
4,10,13 SoFi Professional Loan Program 2017-C | |||||
LLC | 2.497% | 7/25/40 | 1,392 | 1,396 |
4,10 | SoFi Professional Loan Program 2017-D | ||||
LLC | 2.650% | 9/25/40 | 5,700 | 5,548 | |
4,10 | SoFi Professional Loan Program 2017-E | ||||
LLC | 1.860% | 11/26/40 | 17,761 | 17,538 | |
4,10 | SoFi Professional Loan Program 2017-E | ||||
LLC | 2.720% | 11/26/40 | 5,080 | 4,943 | |
4,10 | SoFi Professional Loan Program 2017-F | ||||
LLC | 2.050% | 1/25/41 | 15,216 | 15,091 | |
4,10 | SoFi Professional Loan Program 2017-F | ||||
LLC | 2.840% | 1/25/41 | 6,120 | 5,959 | |
4,10 | SoFi Professional Loan Program 2018-A | ||||
LLC | 2.390% | 2/25/42 | 13,354 | 13,267 | |
4,10 | SoFi Professional Loan Program 2018-A | ||||
LLC | 2.950% | 2/25/42 | 5,660 | 5,542 | |
4,10 | SoFi Professional Loan Program 2018-B | ||||
LLC | 3.340% | 8/25/47 | 8,850 | 8,799 | |
4,10 | Stadshypotek AB | 1.250% | 5/23/18 | 1,930 | 1,929 |
4,10 | Stadshypotek AB | 1.875% | 10/2/19 | 18,380 | 18,126 |
4,10 | Stadshypotek AB | 1.750% | 4/9/20 | 3,689 | 3,602 |
4,10 | Stadshypotek AB | 2.500% | 4/5/22 | 16,050 | 15,573 |
4 | Synchrony Credit Card Master Note Trust | ||||
2015-1 | 2.370% | 3/15/23 | 3,690 | 3,651 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2015-4 | 2.380% | 9/15/23 | 20,127 | 19,818 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-1 | 2.390% | 3/15/22 | 21,070 | 21,004 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-2 | 2.950% | 5/15/24 | 5,300 | 5,199 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.580% | 9/15/22 | 5,710 | 5,618 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.910% | 9/15/22 | 9,890 | 9,747 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 2.620% | 10/15/25 | 15,680 | 15,237 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 2.820% | 10/15/25 | 4,770 | 4,631 | |
4 | Synchrony Credit Card Master Note Trust | ||||
2017-2 | 3.010% | 10/15/25 | 6,390 | 6,202 | |
4 | Synchrony Credit Card Master Note Trust | ||||
Series 2012-2 | 2.220% | 1/15/22 | 18,000 | 17,952 | |
4,10 | Taco Bell Funding LLC 2016-1A | 4.377% | 5/25/46 | 3,654 | 3,723 |
4,10 | Taco Bell Funding LLC 2016-1A | 4.970% | 5/25/46 | 5,846 | 5,991 |
4,10 | Tesla Auto Lease Trust 2018-A | 2.320% | 12/20/19 | 19,047 | 18,974 |
4,10 | Tesla Auto Lease Trust 2018-A | 2.750% | 2/20/20 | 700 | 696 |
4,10 | Tesla Auto Lease Trust 2018-A | 2.970% | 4/20/20 | 560 | 556 |
4,10 | Tesla Auto Lease Trust 2018-A | 3.300% | 5/20/20 | 630 | 625 |
4,10 | Tesla Auto Lease Trust 2018-A | 4.940% | 3/22/21 | 390 | 387 |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.120% | 7/15/22 | 8,940 | 8,939 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.450% | 11/15/24 | 1,880 | 1,880 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 3.840% | 11/15/24 | 2,100 | 2,100 | |
4,10,11 Tidewater Auto Receivables Trust 2018-AA | 4.300% | 11/15/24 | 630 | 630 | |
4,10 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 2,800 | 2,768 |
4,10 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 1,700 | 1,660 |
4 | Toyota Auto Receivables 2017-D Owner | ||||
Trust | 2.120% | 2/15/23 | 1,345 | 1,313 | |
4 | Toyota Auto Receivables 2018-A Owner | ||||
Trust | 2.350% | 5/16/22 | 24,140 | 23,908 |
4 | Toyota Auto Receivables 2018-A Owner | ||||
Trust | 2.520% | 5/15/23 | 1,590 | 1,570 | |
4,10 | Trafigura Securitisation Finance plc 2017- | ||||
1A | 2.470% | 12/15/20 | 43,600 | 42,626 | |
4,10,13 Trillium Credit Card Trust II 2016-1A | 2.618% | 5/26/21 | 53,860 | 53,885 | |
4,10 | Trip Rail Master Funding LLC 2017-1A | 2.709% | 8/15/47 | 2,964 | 2,921 |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,200 | 1,226 |
4 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 3,705 | 3,660 |
4,10 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 6,673 | 6,632 |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2012-C4 | 2.850% | 12/10/45 | 5,703 | 5,572 | |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2013-C6 | 3.244% | 4/10/46 | 3,970 | 3,932 | |
4 | UBS-Barclays Commercial Mortgage Trust | ||||
2013-C6 | 3.469% | 4/10/46 | 1,160 | 1,156 | |
4,10 | Vantage Data Centers Issuer, LLC 2018- | ||||
1A | 4.072% | 2/16/43 | 6,230 | 6,264 | |
4,10 | Verizon Owner Trust 2016-2A | 1.680% | 5/20/21 | 30,310 | 29,962 |
4,10 | Verizon Owner Trust 2017-2A | 1.920% | 12/20/21 | 45,090 | 44,436 |
4,10 | Verizon Owner Trust 2017-3 | 2.060% | 4/20/22 | 15,460 | 15,211 |
4,10 | Verizon Owner Trust 2017-3 | 2.380% | 4/20/22 | 8,950 | 8,784 |
4,10 | Verizon Owner Trust 2017-3 | 2.530% | 4/20/22 | 9,610 | 9,441 |
4,10 | Verizon Owner Trust 2018-1 | 2.820% | 9/20/22 | 20,120 | 20,041 |
4,10 | Verizon Owner Trust 2018-1 | 3.050% | 9/20/22 | 7,320 | 7,283 |
4,10 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 9,070 | 8,933 |
4,10 | VNDO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 1,100 | 1,112 |
4,10 | VNDO 2013-PENN Mortgage Trust | 4.079% | 12/13/29 | 650 | 656 |
4,10 | VNDO 2013-PENN Mortgage Trust | 4.079% | 12/13/29 | 490 | 491 |
4,10 | Volvo Financial Equipment LLC Series | ||||
2016-1A | 1.890% | 9/15/20 | 3,450 | 3,412 | |
4,10,13 Volvo Financial Equipment Master Owner | |||||
Trust 2017-A | 2.397% | 11/15/22 | 4,880 | 4,892 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 2.918% | 10/15/45 | 6,384 | 6,278 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 3.539% | 10/15/45 | 7,210 | 7,188 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 3.928% | 7/15/46 | 954 | 975 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.218% | 7/15/46 | 7,883 | 8,170 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 3.548% | 8/15/50 | 11,500 | 11,484 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 3.817% | 8/15/50 | 8,920 | 9,054 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.020% | 8/15/50 | 700 | 699 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.322% | 8/15/50 | 2,400 | 2,466 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC16 | 4.458% | 8/15/50 | 1,450 | 1,435 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2014-LC18 | 3.405% | 12/15/47 | 1,470 | 1,450 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C26 | 3.166% | 2/15/48 | 29,385 | 28,574 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C27 | 3.451% | 2/15/48 | 8,822 | 8,726 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 3.637% | 6/15/48 | 16,385 | 16,376 |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 4.366% | 6/15/48 | 2,310 | 2,237 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 3.411% | 9/15/58 | 7,300 | 7,268 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 3.664% | 9/15/58 | 4,380 | 4,382 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 4.067% | 9/15/58 | 2,250 | 2,299 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 4.646% | 9/15/58 | 2,740 | 2,698 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 3.839% | 9/15/58 | 5,269 | 5,333 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 4.207% | 9/15/58 | 2,045 | 2,108 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 4.693% | 9/15/58 | 5,225 | 5,128 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2015-SG1 | 3.789% | 9/15/48 | 22,686 | 22,817 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2016-C32 | 3.560% | 1/15/59 | 5,750 | 5,707 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2016-C37 | 3.525% | 12/15/49 | 1,390 | 1,372 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2016-C37 | 3.794% | 12/15/49 | 7,730 | 7,770 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C38 | 3.453% | 7/15/50 | 6,875 | 6,724 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C39 | 3.157% | 9/15/50 | 1,400 | 1,342 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C39 | 3.418% | 9/15/50 | 21,190 | 20,650 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C40 | 3.581% | 10/15/50 | 15,120 | 14,919 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C41 | 3.472% | 11/15/50 | 10,700 | 10,462 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-C42 | 3.589% | 12/15/50 | 9,205 | 9,121 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2017-RC1 | 3.631% | 1/15/60 | 2,332 | 2,314 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2018-C43 | 4.012% | 3/15/51 | 5,470 | 5,589 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2018-C43 | 4.514% | 3/15/51 | 12,380 | 12,271 | |
4,13 | Wells Fargo Dealer Floorplan Master Note | ||||
Trust Series 2015-2 | 2.547% | 1/20/22 | 19,025 | 19,130 | |
4,10 | Wendys Funding LLC 2015-1A | 4.080% | 6/15/45 | 2,701 | 2,716 |
4,10 | Wendys Funding LLC 2015-1A | 4.497% | 6/15/45 | 2,252 | 2,274 |
4,10 | Wendys Funding LLC 2018-1 | 3.573% | 3/15/48 | 3,184 | 3,101 |
4,10 | Wendys Funding LLC 2018-1 | 3.884% | 3/15/48 | 4,786 | 4,663 |
4,10 | Westpac Banking Corp. | 2.000% | 3/3/20 | 13,770 | 13,546 |
4,10 | Westpac Banking Corp. | 2.250% | 11/9/20 | 7,430 | 7,274 |
4,10 | Westpac Banking Corp. | 2.100% | 2/25/21 | 1,860 | 1,807 |
4,10 | WFLD 2014-MONT Mortgage Trust | 3.880% | 8/10/31 | 4,640 | 4,633 |
4,10 | WFRBS Commercial Mortgage Trust 2011- | ||||
C3 | 4.375% | 3/15/44 | 6,202 | 6,393 | |
4 | WFRBS Commercial Mortgage Trust 2012- | ||||
C10 | 2.875% | 12/15/45 | 5,280 | 5,172 | |
4 | WFRBS Commercial Mortgage Trust 2012- | ||||
C7 | 3.431% | 6/15/45 | 6,130 | 6,151 |
4 WFRBS Commercial Mortgage Trust 2012- | ||||
C7 | 4.090% | 6/15/45 | 4,170 | 4,186 |
4 WFRBS Commercial Mortgage Trust 2012- | ||||
C8 | 3.001% | 8/15/45 | 3,789 | 3,747 |
4 WFRBS Commercial Mortgage Trust 2012- | ||||
C9 | 2.870% | 11/15/45 | 11,307 | 11,088 |
4 WFRBS Commercial Mortgage Trust 2012- | ||||
C9 | 3.388% | 11/15/45 | 2,870 | 2,838 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C13 | 3.345% | 5/15/45 | 2,220 | 2,181 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 3.720% | 8/15/46 | 2,133 | 2,167 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 4.153% | 8/15/46 | 6,044 | 6,251 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C17 | 3.558% | 12/15/46 | 357 | 361 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 3.676% | 12/15/46 | 2,116 | 2,144 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 4.162% | 12/15/46 | 7,778 | 8,049 |
4 WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 4.812% | 12/15/46 | 1,085 | 1,144 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 3.829% | 3/15/47 | 12,930 | 13,141 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 4.101% | 3/15/47 | 10,595 | 10,917 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 3.995% | 5/15/47 | 14,675 | 15,009 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 4.378% | 5/15/47 | 2,410 | 2,443 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C20 | 4.513% | 5/15/47 | 1,410 | 1,365 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.410% | 8/15/47 | 1,520 | 1,511 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.678% | 8/15/47 | 13,235 | 13,343 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.891% | 8/15/47 | 700 | 695 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 4.234% | 8/15/47 | 2,410 | 2,324 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C23 | 3.917% | 10/15/57 | 4,167 | 4,253 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
C24 | 3.607% | 11/15/47 | 14,179 | 14,200 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 3.766% | 3/15/47 | 920 | 928 |
4 WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 4.045% | 3/15/47 | 13,996 | 14,389 |
4 World Omni Auto Receivables Trust 2016- | ||||
A | 1.770% | 9/15/21 | 11,612 | 11,527 |
4 World Omni Auto Receivables Trust 2016- | ||||
B | 1.300% | 2/15/22 | 5,630 | 5,542 |
4 World Omni Auto Receivables Trust 2018- | ||||
A | 2.730% | 2/15/24 | 7,680 | 7,599 |
4 World Omni Auto Receivables Trust 2018- | ||||
A | 2.890% | 4/15/25 | 3,820 | 3,777 |
4 World Omni Automobile Lease | ||||
Securitization Trust 2018-A | 2.830% | 7/15/21 | 12,960 | 12,915 |
4 | World Omni Automobile Lease | ||||
Securitization Trust 2018-A | 2.940% | 5/15/23 | 3,890 | 3,875 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $5,456,542) | 5,362,811 | ||||
Corporate Bonds (64.4%) | |||||
Finance (30.1%) | |||||
Banking (20.4%) | |||||
American Express Co. | 3.000% | 10/30/24 | 35,385 | 33,691 | |
American Express Credit Corp. | 1.700% | 10/30/19 | 4,669 | 4,591 | |
American Express Credit Corp. | 2.200% | 3/3/20 | 13,535 | 13,349 | |
American Express Credit Corp. | 2.700% | 3/3/22 | 16,000 | 15,643 | |
Australia & New Zealand Banking Group | |||||
Ltd. | 2.625% | 11/9/22 | 35,734 | 34,374 | |
10 | Banco de Credito del Peru | 4.250% | 4/1/23 | 5,000 | 5,072 |
Banco Santander SA | 4.379% | 4/12/28 | 4,415 | 4,362 | |
4 | Bank of America Corp. | 2.369% | 7/21/21 | 5,480 | 5,373 |
4 | Bank of America Corp. | 2.328% | 10/1/21 | 16,865 | 16,478 |
Bank of America Corp. | 3.300% | 1/11/23 | 12,677 | 12,522 | |
4 | Bank of America Corp. | 3.124% | 1/20/23 | 20,890 | 20,557 |
4,10 | Bank of America Corp. | 3.004% | 12/20/23 | 45,150 | 43,817 |
Bank of America Corp. | 4.125% | 1/22/24 | 33,430 | 34,165 | |
4 | Bank of America Corp. | 3.550% | 3/5/24 | 64,325 | 63,834 |
Bank of America Corp. | 3.875% | 8/1/25 | 4,600 | 4,556 | |
4 | Bank of America Corp. | 3.093% | 10/1/25 | 72,895 | 69,341 |
4 | Bank of America Corp. | 3.366% | 1/23/26 | 64,555 | 61,788 |
Bank of America Corp. | 4.450% | 3/3/26 | 8,900 | 8,917 | |
4 | Bank of America Corp. | 3.824% | 1/20/28 | 62,210 | 60,517 |
4 | Bank of America Corp. | 3.593% | 7/21/28 | 4,380 | 4,178 |
4,10 | Bank of America Corp. | 3.419% | 12/20/28 | 10,529 | 9,843 |
4 | Bank of America Corp. | 3.970% | 3/5/29 | 58,145 | 57,122 |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 3,017 | 2,992 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 17,664 | 18,137 | |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 10,780 | 10,451 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 16,040 | 16,223 | |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 17,000 | 17,074 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 20,200 | 19,970 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 11,142 | 10,885 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 15,800 | 15,103 | |
4 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 5,000 | 4,835 |
Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 7,000 | 6,360 | |
Bank of Nova Scotia | 2.150% | 7/14/20 | 4,025 | 3,945 | |
Bank of Nova Scotia | 4.375% | 1/13/21 | 7,990 | 8,236 | |
10 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 18,410 | 18,179 |
10 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 23,830 | 23,237 |
10 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 40,685 | 39,335 |
BB&T Corp. | 5.250% | 11/1/19 | 12,000 | 12,379 | |
BB&T Corp. | 3.950% | 3/22/22 | 4,400 | 4,471 | |
BNP Paribas SA | 3.250% | 3/3/23 | 6,235 | 6,181 | |
10 | BNP Paribas SA | 3.375% | 1/9/25 | 51,970 | 49,638 |
14 | BPCE SA | 3.355% | 4/24/20 | 7,260 | 5,525 |
14 | BPCE SA | 3.500% | 4/24/20 | 13,500 | 10,277 |
BPCE SA | 4.000% | 4/15/24 | 5,090 | 5,102 | |
10 | BPCE SA | 3.250% | 1/11/28 | 20,000 | 18,606 |
Branch Banking & Trust Co. | 2.625% | 1/15/22 | 35,175 | 34,307 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 22,495 | 22,120 | |
Canadian Imperial Bank of Commerce | 2.550% | 6/16/22 | 2,415 | 2,350 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 2,450 | 2,443 | |
Capital One Financial Corp. | 3.050% | 3/9/22 | 12,715 | 12,425 |
Capital One Financial Corp. | 3.750% | 7/28/26 | 11,418 | 10,684 | |
Citigroup Inc. | 3.375% | 3/1/23 | 16,000 | 15,789 | |
Citigroup Inc. | 3.200% | 10/21/26 | 44,200 | 41,168 | |
10 | Commonwealth Bank of Australia | 5.000% | 10/15/19 | 2,702 | 2,775 |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 3,000 | 2,955 | |
10 | Commonwealth Bank of Australia | 5.000% | 3/19/20 | 11,560 | 11,950 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 7,120 | 6,978 | |
10 | Commonwealth Bank of Australia | 2.000% | 9/6/21 | 6,480 | 6,220 |
10 | Commonwealth Bank of Australia | 2.750% | 3/10/22 | 10,890 | 10,623 |
10 | Commonwealth Bank of Australia | 2.500% | 9/18/22 | 26,115 | 25,059 |
10 | Commonwealth Bank of Australia | 3.450% | 3/16/23 | 10,611 | 10,538 |
14 | Commonwealth Bank of Australia | 3.720% | 11/5/24 | 7,200 | 5,502 |
10 | Commonwealth Bank of Australia | 3.150% | 9/19/27 | 36,935 | 34,638 |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 21,455 | 21,054 | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 7,757 | 7,885 | |
Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 58,590 | 56,669 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 95,134 | 97,343 | |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 10,000 | 9,746 | |
14 | Cooperatieve Rabobank UA | 4.535% | 7/2/25 | 3,500 | 2,698 |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 63,075 | 62,667 | |
4,10 | Credit Agricole SA | 4.000% | 1/10/33 | 22,555 | 21,120 |
Credit Suisse AG | 2.300% | 5/28/19 | 9,820 | 9,778 | |
Credit Suisse AG | 3.000% | 10/29/21 | 23,000 | 22,742 | |
Credit Suisse AG | 3.625% | 9/9/24 | 45,000 | 44,372 | |
4,10 | Credit Suisse Group AG | 3.869% | 1/12/29 | 35,000 | 33,174 |
Discover Bank | 7.000% | 4/15/20 | 3,665 | 3,898 | |
Fifth Third Bank | 2.875% | 10/1/21 | 12,105 | 11,931 | |
First Republic Bank | 2.375% | 6/17/19 | 11,791 | 11,702 | |
First Republic Bank | 2.500% | 6/6/22 | 39,370 | 37,728 | |
Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 58,075 | 57,398 | |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 15,522 | 15,364 | |
Goldman Sachs Group Inc. | 2.600% | 12/27/20 | 23,970 | 23,610 | |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 15,632 | 15,438 | |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 21,894 | 21,416 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 52,535 | 56,545 | |
Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 36,960 | 36,149 | |
4 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 41,745 | 40,622 |
4 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 34,180 | 33,066 |
4 | Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 29,410 | 28,385 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 25,937 | 25,768 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 95,297 | 92,674 | |
4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 92,815 | 88,297 |
4 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 26,930 | 25,571 |
4 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 30,130 | 28,782 |
4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 59,485 | 58,501 |
4 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 24,820 | 24,075 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 24,478 | 25,226 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 25,000 | 25,458 | |
4 | HSBC Holdings plc | 3.262% | 3/13/23 | 68,390 | 67,333 |
HSBC Holdings plc | 3.600% | 5/25/23 | 42,490 | 42,404 | |
4 | HSBC Holdings plc | 3.033% | 11/22/23 | 24,260 | 23,583 |
HSBC Holdings plc | 4.250% | 3/14/24 | 17,500 | 17,451 | |
HSBC Holdings plc | 4.250% | 8/18/25 | 4,700 | 4,651 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 4,200 | 4,262 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 24,665 | 24,330 | |
HSBC Holdings plc | 4.375% | 11/23/26 | 9,010 | 8,918 | |
4 | HSBC Holdings plc | 4.041% | 3/13/28 | 123,759 | 121,211 |
HSBC Holdings plc | 6.000% | 11/22/65 | 13,930 | 13,749 |
HSBC Holdings plc | 6.250% | 9/23/66 | 26,780 | 27,201 | |
HSBC Holdings plc | 6.500% | 9/23/66 | 29,005 | 29,469 | |
Huntington Bancshares Inc. | 4.350% | 2/4/23 | 9,000 | 9,098 | |
Huntington National Bank | 2.400% | 4/1/20 | 7,000 | 6,904 | |
Huntington National Bank | 2.500% | 8/7/22 | 28,610 | 27,448 | |
ICICI Bank Ltd. | 4.000% | 3/18/26 | 3,500 | 3,329 | |
10 | ICICI Bank Ltd. | 3.800% | 12/14/27 | 6,000 | 5,555 |
ING Groep NV | 3.950% | 3/29/27 | 10,000 | 9,809 | |
10 | Intesa Sanpaolo SPA | 3.875% | 7/14/27 | 28,550 | 26,786 |
10 | Intesa Sanpaolo SPA | 3.875% | 1/12/28 | 56,095 | 52,441 |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 61,384 | 60,488 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 17,560 | 17,224 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 18,655 | 19,344 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 23,500 | 23,249 | |
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 37,062 | 36,092 | |
4 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 14,560 | 14,127 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 26,538 | 25,404 | |
4 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 41,175 | 40,961 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 24,485 | 24,302 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 17,320 | 16,483 | |
4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 55,931 | 53,903 |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 3,910 | 3,716 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 23,561 | 22,219 | |
4 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 45,130 | 43,857 |
4 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 27,820 | 26,457 |
4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 56,735 | 55,617 |
4 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 15,640 | 14,598 |
KeyBank NA | 3.300% | 6/1/25 | 20,000 | 19,385 | |
4 | Lloyds Banking Group plc | 2.907% | 11/7/23 | 35,695 | 34,321 |
Lloyds Banking Group plc | 4.375% | 3/22/28 | 15,000 | 14,887 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 5,758 | 5,746 | |
Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 6,740 | 6,502 | |
Manufacturers & Traders Trust Co. | 3.400% | 8/17/27 | 10,730 | 10,299 | |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 59,343 | 58,684 | |
Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 32,705 | 31,403 | |
Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 8,925 | 8,775 | |
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 32,975 | 31,845 | |
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 8,975 | 8,457 | |
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 63,095 | 62,706 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 1,315 | 1,305 | |
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 68,370 | 66,994 | |
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 44,450 | 44,382 | |
10 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 18,585 | 18,423 |
10 | Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 29,055 | 28,580 |
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 41,880 | 42,009 | |
Morgan Stanley | 7.300% | 5/13/19 | 5,000 | 5,224 | |
Morgan Stanley | 5.625% | 9/23/19 | 20,500 | 21,223 | |
Morgan Stanley | 5.500% | 7/24/20 | 12,000 | 12,592 | |
Morgan Stanley | 5.750% | 1/25/21 | 24,000 | 25,507 | |
Morgan Stanley | 2.500% | 4/21/21 | 2,449 | 2,390 | |
Morgan Stanley | 5.500% | 7/28/21 | 26,800 | 28,483 | |
Morgan Stanley | 2.625% | 11/17/21 | 56,720 | 55,221 | |
Morgan Stanley | 2.750% | 5/19/22 | 44,275 | 42,911 | |
Morgan Stanley | 3.125% | 1/23/23 | 30,590 | 29,879 | |
Morgan Stanley | 3.875% | 4/29/24 | 21,900 | 21,889 | |
12 | Morgan Stanley | 3.011% | 5/8/24 | 14,865 | 15,135 |
Morgan Stanley | 3.700% | 10/23/24 | 15,525 | 15,301 | |
Morgan Stanley | 4.000% | 7/23/25 | 30,681 | 30,529 |
Morgan Stanley | 3.875% | 1/27/26 | 48,504 | 47,597 | |
Morgan Stanley | 3.625% | 1/20/27 | 50,495 | 48,644 | |
4 | Morgan Stanley | 3.591% | 7/22/28 | 33,596 | 31,897 |
4 | Morgan Stanley | 3.772% | 1/24/29 | 14,914 | 14,316 |
4 | Morgan Stanley | 3.971% | 7/22/38 | 9,500 | 8,906 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 3,400 | 3,347 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 21,891 | 21,820 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 12,000 | 11,459 | |
10 | MUFG Bank Ltd. | 2.300% | 3/5/20 | 11,110 | 10,929 |
10 | MUFG Bank Ltd. | 2.750% | 9/14/20 | 31,431 | 31,036 |
National Australia Bank Ltd. | 2.500% | 5/22/22 | 8,950 | 8,620 | |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 14,320 | 13,990 | |
4,10 | Nationwide Building Society | 4.302% | 3/8/29 | 30,000 | 29,438 |
15 | NIBC Bank NV | 6.000% | 12/31/49 | 9,500 | 11,733 |
10 | Nordea Bank AB | 2.500% | 9/17/20 | 4,715 | 4,645 |
Northern Trust Co. | 6.500% | 8/15/18 | 4,000 | 4,045 | |
Northern Trust Corp. | 3.375% | 8/23/21 | 8,536 | 8,611 | |
PNC Bank NA | 2.600% | 7/21/20 | 15,120 | 14,954 | |
PNC Bank NA | 2.150% | 4/29/21 | 268 | 260 | |
PNC Bank NA | 2.550% | 12/9/21 | 9,040 | 8,804 | |
PNC Bank NA | 2.625% | 2/17/22 | 2,980 | 2,899 | |
PNC Bank NA | 2.700% | 11/1/22 | 41,080 | 39,501 | |
PNC Bank NA | 3.800% | 7/25/23 | 15,750 | 15,827 | |
PNC Bank NA | 3.300% | 10/30/24 | 19,634 | 19,218 | |
PNC Bank NA | 2.950% | 2/23/25 | 16,680 | 15,875 | |
PNC Bank NA | 3.250% | 6/1/25 | 61,052 | 59,080 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 12,493 | 12,141 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 6,525 | 6,537 | |
PNC Funding Corp. | 6.700% | 6/10/19 | 12,000 | 12,493 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 21,243 | 22,015 | |
PNC Funding Corp. | 4.375% | 8/11/20 | 23,000 | 23,575 | |
Regions Bank | 7.500% | 5/15/18 | 1,732 | 1,735 | |
Regions Financial Corp. | 2.750% | 8/14/22 | 4,170 | 4,020 | |
Royal Bank of Canada | 2.350% | 10/30/20 | 11,539 | 11,320 | |
Royal Bank of Scotland Group plc | 3.875% | 9/12/23 | 1,000 | 983 | |
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 24,870 | 24,634 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 24,325 | 23,566 | |
Santander Holdings USA Inc. | 4.400% | 7/13/27 | 30,658 | 29,999 | |
10 | Santander UK Group Holdings plc | 4.750% | 9/15/25 | 17,061 | 17,019 |
Santander UK plc | 2.500% | 3/14/19 | 8,926 | 8,907 | |
Santander UK plc | 4.000% | 3/13/24 | 6,560 | 6,620 | |
Skandinaviska Enskilda Banken AB | 5.750% | 12/31/49 | 9,210 | 9,298 | |
State Street Corp. | 3.100% | 5/15/23 | 15,025 | 14,767 | |
State Street Corp. | 3.700% | 11/20/23 | 32,620 | 33,104 | |
State Street Corp. | 3.300% | 12/16/24 | 19,435 | 19,100 | |
State Street Corp. | 3.550% | 8/18/25 | 31,058 | 30,841 | |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 3,000 | 2,961 | |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 5,000 | 4,892 | |
14 | Sumitomo Mitsui Financial Group Inc. | 3.300% | 3/29/22 | 4,599 | 3,474 |
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 50,685 | 49,137 | |
Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 24,000 | 23,180 | |
SunTrust Bank | 2.450% | 8/1/22 | 24,950 | 23,920 | |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 3,188 | 3,153 | |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 22,515 | 21,985 | |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 1,895 | 1,808 | |
10 | Swedbank AB | 2.800% | 3/14/22 | 16,390 | 16,051 |
Synchrony Bank | 3.000% | 6/15/22 | 27,245 | 26,205 | |
Synchrony Financial | 4.250% | 8/15/24 | 8,540 | 8,400 |
Synchrony Financial | 4.500% | 7/23/25 | 38,184 | 37,623 | |
Synchrony Financial | 3.950% | 12/1/27 | 57,650 | 53,461 | |
10 | UBS Group Funding Jersey Ltd. | 3.000% | 4/15/21 | 4,805 | 4,734 |
10 | UBS Group Funding Jersey Ltd. | 2.650% | 2/1/22 | 30,671 | 29,580 |
4,10 | UBS Group Funding Switzerland AG | 2.859% | 8/15/23 | 77,400 | 74,151 |
10 | UBS Group Funding Switzerland AG | 4.125% | 4/15/26 | 16,065 | 15,899 |
4 | United Overseas Bank Ltd. | 3.750% | 9/19/24 | 5,000 | 5,002 |
4 | United Overseas Bank Ltd. | 2.880% | 3/8/27 | 3,000 | 2,868 |
US Bancorp | 2.350% | 1/29/21 | 4,250 | 4,172 | |
US Bancorp | 4.125% | 5/24/21 | 19,555 | 20,040 | |
US Bancorp | 3.000% | 3/15/22 | 23,724 | 23,402 | |
US Bancorp | 2.950% | 7/15/22 | 35,200 | 34,470 | |
US Bancorp | 3.700% | 1/30/24 | 41,765 | 42,077 | |
US Bancorp | 3.600% | 9/11/24 | 14,800 | 14,647 | |
US Bank NA | 2.800% | 1/27/25 | 14,400 | 13,625 | |
11,16 | Washington Mutual Bank / Debt not | ||||
acquired by JPMorgan | 5.500% | 1/15/13 | 6,147 | 1 | |
11,16 | Washington Mutual Bank / Debt not | ||||
acquired by JPMorgan | 5.650% | 8/15/14 | 7,500 | 1 | |
11,16 | Washington Mutual Bank / Debt not | ||||
acquired by JPMorgan | 5.125% | 1/15/15 | 9,000 | 1 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 8,915 | 8,821 | |
Wells Fargo & Co. | 4.600% | 4/1/21 | 7,673 | 7,941 | |
Wells Fargo & Co. | 2.100% | 7/26/21 | 32,370 | 31,088 | |
Wells Fargo & Co. | 2.625% | 7/22/22 | 45,900 | 44,083 | |
Wells Fargo & Co. | 3.450% | 2/13/23 | 36,700 | 35,947 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 13,100 | 13,149 | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 29,199 | 28,134 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 50,700 | 47,593 | |
Wells Fargo & Co. | 3.550% | 9/29/25 | 17,459 | 16,851 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 1,676 | 1,546 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 10,795 | 11,093 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 2,035 | 2,007 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 14,030 | 13,559 | |
Westpac Banking Corp. | 2.000% | 8/19/21 | 23,105 | 22,192 | |
Westpac Banking Corp. | 2.750% | 1/11/23 | 50,195 | 48,548 | |
Westpac Banking Corp. | 3.350% | 3/8/27 | 48,060 | 46,029 | |
4 | Westpac Banking Corp. | 4.322% | 11/23/31 | 47,504 | 46,508 |
Brokerage (1.3%) | |||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 10,340 | 10,448 | |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 10,819 | 11,078 | |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 15,000 | 14,966 | |
10 | Apollo Management Holdings LP | 5.000% | 3/15/48 | 20,550 | 20,522 |
BlackRock Inc. | 4.250% | 5/24/21 | 4,250 | 4,377 | |
BlackRock Inc. | 3.375% | 6/1/22 | 12,000 | 12,000 | |
BlackRock Inc. | 3.200% | 3/15/27 | 25,455 | 24,445 | |
Brookfield Finance Inc. | 3.900% | 1/25/28 | 18,370 | 17,467 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 6,500 | 6,699 | |
Charles Schwab Corp. | 3.225% | 9/1/22 | 11,150 | 11,065 | |
Charles Schwab Corp. | 2.650% | 1/25/23 | 9,620 | 9,309 | |
Franklin Resources Inc. | 4.625% | 5/20/20 | 7,550 | 7,786 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 11,000 | 10,645 | |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 34,330 | 35,014 | |
Invesco Finance plc | 3.125% | 11/30/22 | 30,485 | 30,012 | |
Invesco Finance plc | 4.000% | 1/30/24 | 21,300 | 21,683 | |
Invesco Finance plc | 3.750% | 1/15/26 | 6,673 | 6,607 |
Jefferies Group LLC / Jefferies Group | |||||
Capital Finance Inc. | 4.150% | 1/23/30 | 90,540 | 82,943 | |
Legg Mason Inc. | 3.950% | 7/15/24 | 5,000 | 4,947 | |
11,16 | Lehman Brothers Holdings Inc. | 6.500% | 7/19/17 | 20,000 | 2 |
Stifel Financial Corp. | 3.500% | 12/1/20 | 4,035 | 4,026 | |
Stifel Financial Corp. | 4.250% | 7/18/24 | 11,830 | 11,738 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 16,715 | 16,427 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 11,400 | 11,344 | |
Finance Companies (0.5%) | |||||
GE Capital International Funding Co. | |||||
Unlimited Co. | 2.342% | 11/15/20 | 18,503 | 18,063 | |
GE Capital International Funding Co. | |||||
Unlimited Co. | 3.373% | 11/15/25 | 101,896 | 97,202 | |
GE Capital International Funding Co. | |||||
Unlimited Co. | 4.418% | 11/15/35 | 11,100 | 10,545 | |
Insurance (4.8%) | |||||
Aetna Inc. | 2.750% | 11/15/22 | 19,260 | 18,546 | |
Aetna Inc. | 2.800% | 6/15/23 | 35,010 | 33,232 | |
Aetna Inc. | 3.500% | 11/15/24 | 10,000 | 9,698 | |
Aflac Inc. | 4.000% | 2/15/22 | 2,000 | 2,043 | |
Aflac Inc. | 3.625% | 6/15/23 | 6,000 | 6,039 | |
Aflac Inc. | 3.625% | 11/15/24 | 5,000 | 4,970 | |
10 | AIA Group Ltd. | 3.200% | 3/11/25 | 40,589 | 38,779 |
10 | AIG Global Funding | 2.700% | 12/15/21 | 3,910 | 3,813 |
4 | Allstate Corp. | 5.750% | 8/15/53 | 5,000 | 5,188 |
American International Group Inc. | 3.750% | 7/10/25 | 14,650 | 14,250 | |
Anthem Inc. | 3.650% | 12/1/27 | 25,000 | 23,754 | |
Assurant Inc. | 4.200% | 9/27/23 | 10,000 | 9,951 | |
Assurant Inc. | 4.900% | 3/27/28 | 11,000 | 11,077 | |
10 | AXA Equitable Holdings Inc. | 4.350% | 4/20/28 | 71,300 | 69,446 |
10 | AXA Equitable Holdings Inc. | 5.000% | 4/20/48 | 37,500 | 35,677 |
AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 4,600 | 4,807 | |
AXIS Specialty Finance plc | 4.000% | 12/6/27 | 12,275 | 11,663 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 79,963 | 77,809 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 40,981 | 39,331 | |
Brighthouse Financial Inc. | 3.700% | 6/22/27 | 22,860 | 20,576 | |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 10,205 | 9,990 | |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 20,325 | 19,644 | |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 39,741 | 39,186 | |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 18,312 | 17,717 | |
15 | Chubb INA Holdings Inc. | 2.500% | 3/15/38 | 30,390 | 37,288 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 8,500 | 8,956 | |
Enstar Group Ltd. | 4.500% | 3/10/22 | 13,520 | 13,469 | |
10 | Five Corners Funding Trust | 4.419% | 11/15/23 | 27,362 | 28,195 |
10 | High Street Funding Trust I | 4.111% | 2/15/28 | 8,800 | 8,759 |
10 | High Street Funding Trust II | 4.682% | 2/15/48 | 14,270 | 14,374 |
Humana Inc. | 3.950% | 3/15/27 | 7,300 | 7,198 | |
10 | Jackson National Life Global Funding | 4.700% | 6/1/18 | 2,500 | 2,504 |
Loews Corp. | 2.625% | 5/15/23 | 8,000 | 7,632 | |
Manulife Financial Corp. | 4.900% | 9/17/20 | 24,150 | 24,966 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 17,855 | 17,926 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 5,275 | 5,189 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 4,850 | 5,045 | |
Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 5,425 | 5,277 | |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 8,345 | 8,214 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 10,087 | 10,243 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 42,110 | 41,277 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 34,351 | 33,531 | |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 6,580 | 6,505 | |
10 | MassMutual Global Funding II | 2.500% | 10/17/22 | 10,500 | 10,077 |
10 | MassMutual Global Funding II | 2.750% | 6/22/24 | 30,285 | 28,847 |
MetLife Inc. | 5.250% | 12/29/49 | 2,635 | 2,693 | |
10 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 22,728 | 22,169 |
10 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 23,455 | 22,655 |
10 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 35,965 | 33,390 |
10 | New York Life Global Funding | 1.950% | 2/11/20 | 1,595 | 1,567 |
10 | New York Life Global Funding | 2.900% | 1/17/24 | 4,800 | 4,640 |
10 | New York Life Global Funding | 3.000% | 1/10/28 | 44,860 | 42,183 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 16,550 | 17,169 | |
10 | Pricoa Global Funding I | 2.200% | 6/3/21 | 1,950 | 1,887 |
10 | Pricoa Global Funding I | 2.450% | 9/21/22 | 7,880 | 7,557 |
4 | Principal Financial Group Inc. | 4.700% | 5/15/55 | 1,500 | 1,508 |
10 | Principal Life Global Funding II | 2.200% | 4/8/20 | 10,650 | 10,477 |
Progressive Corp. | 2.450% | 1/15/27 | 12,700 | 11,475 | |
Progressive Corp. | 4.200% | 3/15/48 | 8,750 | 8,696 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 4,025 | 4,178 | |
4 | Prudential Financial Inc. | 5.875% | 9/15/42 | 6,000 | 6,354 |
4 | Prudential Financial Inc. | 5.625% | 6/15/43 | 7,875 | 8,269 |
4 | Prudential Financial Inc. | 5.200% | 3/15/44 | 2,500 | 2,522 |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 7,150 | 7,231 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 5,000 | 5,194 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 24,825 | 24,271 | |
10 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 19,115 | 18,874 |
10 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 6,785 | 6,657 |
10 | Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 3,320 | 3,291 |
10 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 46,421 | 46,153 |
Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 11,250 | 11,557 | |
10 | Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 7,640 | 7,409 |
10 | Nuveen Finance LLC | 4.125% | 11/1/24 | 34,863 | 34,854 |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 2,902 | 2,888 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 13,000 | 13,507 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 12,000 | 11,651 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 9,000 | 8,780 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 51,692 | 51,633 | |
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 22,000 | 21,389 | |
UnitedHealth Group Inc. | 3.375% | 4/15/27 | 6,580 | 6,365 | |
UnitedHealth Group Inc. | 2.950% | 10/15/27 | 45,000 | 41,988 | |
Voya Financial Inc. | 5.700% | 7/15/43 | 3,758 | 4,187 | |
Other Finance (0.0%) | |||||
10 | Mitsui Fudosan Co. Ltd. | 2.950% | 1/23/23 | 4,445 | 4,345 |
Real Estate Investment Trusts (3.1%) | |||||
Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 20,715 | 19,710 | |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 12,400 | 11,986 | |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 20,000 | 18,610 | |
AvalonBay Communities Inc. | 3.350% | 5/15/27 | 12,040 | 11,505 | |
AvalonBay Communities Inc. | 3.200% | 1/15/28 | 17,750 | 16,604 | |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 6,910 | 6,897 | |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 20,570 | 20,223 | |
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 18,385 | 17,499 | |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 17,567 | 17,094 | |
Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 12,170 | 11,733 | |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 9,855 | 9,553 |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 23,535 | 22,785 | |
Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 20,221 | 19,101 | |
Camden Property Trust | 4.625% | 6/15/21 | 630 | 651 | |
Camden Property Trust | 4.875% | 6/15/23 | 960 | 1,006 | |
Camden Property Trust | 4.250% | 1/15/24 | 3,860 | 3,949 | |
Camden Property Trust | 3.500% | 9/15/24 | 1,105 | 1,082 | |
Columbia Property Trust Operating | |||||
Partnership LP | 4.150% | 4/1/25 | 7,985 | 7,788 | |
Columbia Property Trust Operating | |||||
Partnership LP | 3.650% | 8/15/26 | 9,787 | 9,082 | |
DDR Corp. | 3.625% | 2/1/25 | 1,372 | 1,301 | |
DDR Corp. | 4.250% | 2/1/26 | 11,670 | 11,369 | |
Digital Realty Trust LP | 3.400% | 10/1/20 | 2,247 | 2,252 | |
Digital Realty Trust LP | 5.250% | 3/15/21 | 12,225 | 12,789 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 9,362 | 9,435 | |
Digital Realty Trust LP | 4.750% | 10/1/25 | 5,645 | 5,801 | |
Digital Realty Trust LP | 3.700% | 8/15/27 | 28,700 | 27,287 | |
ERP Operating LP | 3.375% | 6/1/25 | 21,000 | 20,463 | |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 5,417 | 5,309 | |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 22,448 | 21,918 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 3,000 | 2,851 | |
Federal Realty Investment Trust | 3.950% | 1/15/24 | 8,269 | 8,343 | |
Federal Realty Investment Trust | 3.250% | 7/15/27 | 3,665 | 3,434 | |
10 | Goodman Australia Industrial Fund | 3.400% | 9/30/26 | 12,090 | 11,280 |
10 | Goodman US Finance Three LLC | 3.700% | 3/15/28 | 14,555 | 13,735 |
HCP Inc. | 2.625% | 2/1/20 | 7,000 | 6,913 | |
HCP Inc. | 4.250% | 11/15/23 | 5,400 | 5,449 | |
HCP Inc. | 4.200% | 3/1/24 | 8,055 | 8,037 | |
HCP Inc. | 3.400% | 2/1/25 | 5,605 | 5,306 | |
HCP Inc. | 4.000% | 6/1/25 | 8,710 | 8,531 | |
Healthcare Realty Trust Inc. | 3.625% | 1/15/28 | 14,170 | 13,203 | |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 4,705 | 4,682 | |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 14,912 | 14,704 | |
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 4,700 | 4,401 | |
Healthcare Trust of America Holdings LP | 3.750% | 7/1/27 | 19,455 | 18,367 | |
Highwoods Realty LP | 3.200% | 6/15/21 | 6,000 | 5,917 | |
Highwoods Realty LP | 3.875% | 3/1/27 | 19,500 | 18,634 | |
Highwoods Realty LP | 4.125% | 3/15/28 | 37,255 | 36,383 | |
Kilroy Realty LP | 4.375% | 10/1/25 | 5,160 | 5,155 | |
Liberty Property LP | 4.400% | 2/15/24 | 9,900 | 10,116 | |
Liberty Property LP | 3.750% | 4/1/25 | 1,340 | 1,310 | |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,135 | 2,178 | |
Mid-America Apartments LP | 4.000% | 11/15/25 | 7,620 | 7,508 | |
National Retail Properties Inc. | 4.000% | 11/15/25 | 2,100 | 2,053 | |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 9,000 | 9,056 | |
Physicians Realty LP | 3.950% | 1/15/28 | 68,325 | 63,606 | |
Realty Income Corp. | 4.650% | 8/1/23 | 6,000 | 6,205 | |
Realty Income Corp. | 3.875% | 4/15/25 | 8,945 | 8,792 | |
Realty Income Corp. | 4.125% | 10/15/26 | 10,500 | 10,371 | |
Realty Income Corp. | 3.650% | 1/15/28 | 27,275 | 25,942 | |
10 | Scentre Group Trust 1 / Scentre Group | ||||
Trust 2 | 3.750% | 3/23/27 | 13,925 | 13,490 | |
Simon Property Group LP | 4.375% | 3/1/21 | 28,394 | 29,209 | |
Simon Property Group LP | 4.125% | 12/1/21 | 20,822 | 21,324 | |
Simon Property Group LP | 3.375% | 3/15/22 | 4,328 | 4,313 | |
Simon Property Group LP | 2.750% | 2/1/23 | 5,500 | 5,311 | |
Simon Property Group LP | 3.750% | 2/1/24 | 28,466 | 28,430 | |
Simon Property Group LP | 3.375% | 10/1/24 | 4,000 | 3,892 |
Simon Property Group LP | 3.500% | 9/1/25 | 12,997 | 12,660 | |
Simon Property Group LP | 3.250% | 11/30/26 | 24,545 | 23,271 | |
Simon Property Group LP | 3.375% | 12/1/27 | 23,145 | 21,880 | |
Ventas Realty LP | 3.500% | 2/1/25 | 1,590 | 1,528 | |
VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 48,600 | 44,982 | |
Welltower Inc. | 3.750% | 3/15/23 | 13,439 | 13,413 | |
8,774,278 | |||||
Industrial (30.4%) | |||||
Basic Industry (0.6%) | |||||
10 | Air Liquide Finance SA | 1.750% | 9/27/21 | 27,700 | 26,349 |
10 | Air Liquide Finance SA | 2.250% | 9/27/23 | 29,243 | 27,356 |
10 | Air Liquide Finance SA | 2.500% | 9/27/26 | 6,900 | 6,279 |
Airgas Inc. | 3.650% | 7/15/24 | 3,500 | 3,497 | |
10 | Celulosa Arauco y Constitucion SA | 5.500% | 11/2/47 | 5,200 | 5,241 |
10 | Chevron Phillips Chemical Co. LLC / | ||||
Chevron Phillips Chemical Co. LP | 3.400% | 12/1/26 | 6,460 | 6,277 | |
10 | Chevron Phillips Chemical Co. LLC / | ||||
Chevron Phillips Chemical Co. LP | 3.700% | 6/1/28 | 39,735 | 39,276 | |
10 | Eagle Intermediate Global Holding BV/Ruyi | ||||
US Finance LLC | 7.500% | 5/1/25 | 6,750 | 6,919 | |
14 | Glencore Australia Holdings Pty Ltd. | 4.500% | 9/19/19 | 2,500 | 1,921 |
Praxair Inc. | 2.450% | 2/15/22 | 19,942 | 19,375 | |
Praxair Inc. | 2.650% | 2/5/25 | 2,865 | 2,708 | |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 1,486 | 1,504 | |
10 | WestRock Co. | 3.000% | 9/15/24 | 10,000 | 9,426 |
WestRock RKT Co. | 4.900% | 3/1/22 | 1,250 | 1,305 | |
WestRock RKT Co. | 4.000% | 3/1/23 | 13,660 | 13,819 | |
Capital Goods (2.6%) | |||||
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 10,000 | 10,455 | |
10 | BBA US Holdings Inc. | 5.375% | 5/1/26 | 5,190 | 5,190 |
10 | Berry Global Inc. | 4.500% | 2/15/26 | 6,225 | 5,945 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 11,885 | 11,725 | |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 26,600 | 26,112 | |
Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 33,820 | 32,645 | |
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 14,845 | 14,238 | |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 27,995 | 28,326 | |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 305 | 299 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 8,655 | 8,469 | |
Caterpillar Inc. | 2.600% | 6/26/22 | 15,285 | 14,888 | |
CNH Industrial NV | 4.500% | 8/15/23 | 29,691 | 30,174 | |
CNH Industrial NV | 3.850% | 11/15/27 | 15,320 | 14,631 | |
Eagle Materials Inc. | 4.500% | 8/1/26 | 55,305 | 56,480 | |
Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 15,000 | 16,012 | |
Embraer SA | 5.150% | 6/15/22 | 5,000 | 5,208 | |
General Dynamics Corp. | 2.625% | 11/15/27 | 32,875 | 30,058 | |
General Electric Co. | 3.150% | 9/7/22 | 50,480 | 49,624 | |
General Electric Co. | 3.100% | 1/9/23 | 15,344 | 15,000 | |
General Electric Co. | 3.375% | 3/11/24 | 17,629 | 17,166 | |
General Electric Co. | 6.750% | 3/15/32 | 94,614 | 115,850 | |
15 | General Electric Co. | 2.125% | 5/17/37 | 48,323 | 54,429 |
General Electric Co. | 4.500% | 3/11/44 | 47,285 | 45,219 | |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 8,712 | 8,760 | |
John Deere Capital Corp. | 2.750% | 3/15/22 | 33,350 | 32,695 | |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 11,899 | 11,758 | |
Parker-Hannifin Corp. | 3.250% | 3/1/27 | 5,946 | 5,724 | |
Roper Technologies Inc. | 3.850% | 12/15/25 | 5,380 | 5,289 |
Roper Technologies Inc. | 3.800% | 12/15/26 | 9,260 | 9,054 | |
10 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 14,395 | 14,163 |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 29,825 | 28,899 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 20,825 | 20,981 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 3,115 | 3,247 | |
United Rentals North America Inc. | 5.500% | 5/15/27 | 4,830 | 4,806 | |
Communication (3.8%) | |||||
Activision Blizzard Inc. | 2.600% | 6/15/22 | 5,000 | 4,826 | |
Activision Blizzard Inc. | 3.400% | 9/15/26 | 5,270 | 5,022 | |
AMC Networks Inc. | 4.750% | 8/1/25 | 3,920 | 3,724 | |
America Movil SAB de CV | 5.000% | 10/16/19 | 12,000 | 12,314 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 15,000 | 15,455 | |
America Movil SAB de CV | 3.125% | 7/16/22 | 12,350 | 12,092 | |
AT&T Inc. | 5.000% | 3/1/21 | 10,637 | 11,109 | |
AT&T Inc. | 3.000% | 6/30/22 | 10,770 | 10,504 | |
AT&T Inc. | 3.400% | 8/14/24 | 33,680 | 34,059 | |
CBS Corp. | 3.700% | 8/15/24 | 20,898 | 20,547 | |
CBS Corp. | 4.000% | 1/15/26 | 10,000 | 9,805 | |
CBS Corp. | 2.900% | 1/15/27 | 7,000 | 6,215 | |
10 | Cequel Communications Holdings I LLC / | ||||
Cequel Capital Corp. | 7.500% | 4/1/28 | 14,300 | 14,479 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating | |||||
Capital | 4.464% | 7/23/22 | 116,387 | 118,172 | |
Charter Communications Operating LLC / | |||||
Charter Communications Operating | |||||
Capital | 4.908% | 7/23/25 | 73,472 | 74,622 | |
Comcast Cable Communications Holdings | |||||
Inc. | 9.455% | 11/15/22 | 9,966 | 12,476 | |
Comcast Corp. | 3.000% | 2/1/24 | 38,307 | 36,998 | |
Comcast Corp. | 3.600% | 3/1/24 | 38,565 | 38,404 | |
Comcast Corp. | 3.375% | 2/15/25 | 36,000 | 34,966 | |
Comcast Corp. | 3.375% | 8/15/25 | 83,478 | 81,083 | |
Comcast Corp. | 3.150% | 3/1/26 | 51,000 | 48,473 | |
Comcast Corp. | 2.350% | 1/15/27 | 29,400 | 25,945 | |
Comcast Corp. | 3.150% | 2/15/28 | 9,600 | 8,944 | |
Crown Castle International Corp. | 2.250% | 9/1/21 | 7,100 | 6,816 | |
Crown Castle International Corp. | 4.450% | 2/15/26 | 58,959 | 58,881 | |
Crown Castle International Corp. | 3.700% | 6/15/26 | 22,177 | 21,069 | |
Discovery Communications LLC | 3.800% | 3/13/24 | 34,362 | 33,724 | |
10 | Discovery Communications LLC | 3.900% | 11/15/24 | 9,750 | 9,615 |
Discovery Communications LLC | 3.450% | 3/15/25 | 7,250 | 6,908 | |
Discovery Communications LLC | 4.900% | 3/11/26 | 22,200 | 22,753 | |
Electronic Arts Inc. | 4.800% | 3/1/26 | 20,000 | 21,039 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 12,110 | 12,532 | |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 46,957 | 45,685 | |
Qwest Corp. | 6.750% | 12/1/21 | 21,248 | 22,911 | |
Qwest Corp. | 7.250% | 9/15/25 | 9,354 | 10,013 | |
T-Mobile USA Inc. | 4.500% | 2/1/26 | 1,600 | 1,540 | |
T-Mobile USA Inc. | 4.750% | 2/1/28 | 10,950 | 10,539 | |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 6,000 | 6,085 | |
Thomson Reuters Corp. | 3.350% | 5/15/26 | 12,000 | 11,147 | |
Time Warner Cable LLC | 8.250% | 4/1/19 | 4,500 | 4,713 | |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 9,000 | 10,594 | |
Time Warner Inc. | 4.875% | 3/15/20 | 6,930 | 7,147 | |
Verizon Communications Inc. | 3.000% | 11/1/21 | 2,325 | 2,302 | |
Verizon Communications Inc. | 3.500% | 11/1/21 | 5,971 | 6,015 |
Verizon Communications Inc. | 2.946% | 3/15/22 | 29,417 | 28,890 | |
Verizon Communications Inc. | 3.125% | 3/16/22 | 88,640 | 87,558 | |
Verizon Communications Inc. | 5.150% | 9/15/23 | 7,925 | 8,514 | |
Verizon Communications Inc. | 3.500% | 11/1/24 | 3,400 | 3,337 | |
Verizon Communications Inc. | 2.625% | 8/15/26 | 10,000 | 8,979 | |
Consumer Cyclical (3.6%) | |||||
10 | 1011778 BC ULC / New Red Finance Inc. | 4.250% | 5/15/24 | 4,845 | 4,627 |
10 | 1011778 BC ULC / New Red Finance Inc. | 5.000% | 10/15/25 | 26,850 | 25,910 |
10 | Alimentation Couche-Tard Inc. | 3.550% | 7/26/27 | 19,450 | 18,334 |
10 | Amazon.com Inc. | 3.150% | 8/22/27 | 35,000 | 33,550 |
American Honda Finance Corp. | 1.650% | 7/12/21 | 11,165 | 10,658 | |
American Honda Finance Corp. | 2.900% | 2/16/24 | 7,500 | 7,260 | |
AutoZone Inc. | 3.125% | 4/21/26 | 13,622 | 12,639 | |
AutoZone Inc. | 3.750% | 6/1/27 | 10,000 | 9,627 | |
10 | BMW US Capital LLC | 3.450% | 4/12/23 | 40,000 | 39,675 |
10 | BMW US Capital LLC | 3.750% | 4/12/28 | 20,000 | 19,713 |
10 | Churchill Downs Inc. | 4.750% | 1/15/28 | 8,150 | 7,702 |
Costco Wholesale Corp. | 2.750% | 5/18/24 | 16,620 | 16,022 | |
Costco Wholesale Corp. | 3.000% | 5/18/27 | 20,775 | 19,744 | |
Cummins Inc. | 3.650% | 10/1/23 | 7,500 | 7,572 | |
Dollar Tree Inc. | 5.750% | 3/1/23 | 6,000 | 6,260 | |
14 | Ford Motor Credit Co. LLC | 3.588% | 6/2/20 | 10,690 | 8,144 |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 7,000 | 6,685 | |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 8,369 | 8,229 | |
General Motors Co. | 4.875% | 10/2/23 | 11,000 | 11,332 | |
General Motors Co. | 4.200% | 10/1/27 | 9,720 | 9,354 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 20,000 | 20,424 | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 10,000 | 9,836 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 10,000 | 10,056 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 14,000 | 13,735 | |
General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 9,685 | 9,204 | |
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 15,750 | 15,591 | |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 14,123 | 13,917 | |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 10,941 | 11,382 | |
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 5,000 | 4,866 | |
General Motors Financial Co. Inc. | 3.850% | 1/5/28 | 10,000 | 9,330 | |
10 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 3,945 | 3,869 |
10 | Harley-Davidson Financial Services Inc. | 2.550% | 6/9/22 | 15,320 | 14,658 |
10 | Harley-Davidson Financial Services Inc. | 3.350% | 2/15/23 | 12,520 | 12,241 |
10 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 12,380 | 12,443 |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 22,000 | 21,436 | |
10 | Hilton Domestic Operating Co. Inc. | 5.125% | 5/1/26 | 22,700 | 22,672 |
Hilton Worldwide Finance LLC / Hilton | |||||
Worldwide Finance Corp. | 4.875% | 4/1/27 | 4,350 | 4,198 | |
Home Depot Inc. | 2.625% | 6/1/22 | 20,960 | 20,523 | |
Home Depot Inc. | 2.700% | 4/1/23 | 17,254 | 16,815 | |
Home Depot Inc. | 3.750% | 2/15/24 | 4,000 | 4,072 | |
Home Depot Inc. | 3.000% | 4/1/26 | 4,000 | 3,820 | |
Home Depot Inc. | 2.125% | 9/15/26 | 5,000 | 4,448 | |
10 | Hyundai Capital America | 3.100% | 4/5/22 | 9,455 | 9,194 |
17 | Jaguar Land Rover Automotive plc | 5.000% | 2/15/22 | 3,751 | 5,447 |
10 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 4,750 | 4,750 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 21,595 | 22,010 | |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 21,949 | 21,929 | |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 9,750 | 9,949 | |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 3,505 | 3,409 | |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 31,130 | 30,522 |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 56,380 | 51,501 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 23,790 | 22,619 | |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 7,500 | 7,004 | |
Mastercard Inc. | 3.375% | 4/1/24 | 16,000 | 15,979 | |
10 | Nissan Motor Acceptance Corp. | 2.550% | 3/8/21 | 3,785 | 3,701 |
10 | Nissan Motor Acceptance Corp. | 2.600% | 9/28/22 | 5,310 | 5,078 |
10 | Performance Food Group Inc. | 5.500% | 6/1/24 | 14,580 | 14,671 |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 1,600 | 1,567 | |
Starbucks Corp. | 2.700% | 6/15/22 | 9,745 | 9,542 | |
Starbucks Corp. | 2.450% | 6/15/26 | 10,665 | 9,851 | |
TJX Cos. Inc. | 2.500% | 5/15/23 | 13,400 | 12,856 | |
TJX Cos. Inc. | 2.250% | 9/15/26 | 32,124 | 28,626 | |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 9,000 | 9,275 | |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 5,155 | 5,306 | |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 8,625 | 8,537 | |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 24,460 | 24,627 | |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 7,375 | 7,384 | |
Visa Inc. | 3.150% | 12/14/25 | 98,722 | 96,184 | |
10 | Volkswagen Group of America Finance | ||||
LLC | 1.650% | 5/22/18 | 1,335 | 1,334 | |
Walmart Inc. | 2.350% | 12/15/22 | 4,160 | 4,033 | |
Walmart Inc. | 2.550% | 4/11/23 | 47,421 | 45,972 | |
Walmart Inc. | 2.650% | 12/15/24 | 17,930 | 17,175 | |
Consumer Noncyclical (6.1%) | |||||
AbbVie Inc. | 3.600% | 5/14/25 | 45,075 | 43,684 | |
Altria Group Inc. | 9.250% | 8/6/19 | 8,014 | 8,643 | |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 17,000 | 16,579 | |
AmerisourceBergen Corp. | 3.450% | 12/15/27 | 23,125 | 21,590 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 10,000 | 9,881 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 19,347 | 18,623 | |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 95,460 | 94,653 | |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 14,863 | 14,890 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 160,090 | 156,493 | |
15 | Anheuser-Busch InBev SA/NV | 3.250% | 1/24/33 | 600 | 841 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 8,514 | 9,002 | |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 12,286 | 12,761 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 19,381 | 18,715 | |
Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 41,900 | 41,696 | |
10 | Aramark Services Inc. | 5.000% | 2/1/28 | 17,345 | 16,911 |
10 | BAT Capital Corp. | 3.557% | 8/15/27 | 25,000 | 23,407 |
Baxalta Inc. | 3.600% | 6/23/22 | 7,000 | 6,922 | |
Baxalta Inc. | 4.000% | 6/23/25 | 48,729 | 47,633 | |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 7,800 | 7,599 | |
Becton Dickinson & Co. | 3.700% | 6/6/27 | 14,250 | 13,489 | |
Biogen Inc. | 4.050% | 9/15/25 | 15,092 | 15,130 | |
Biogen Inc. | 5.200% | 9/15/45 | 22,377 | 23,352 | |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,000 | 2,033 | |
Campbell Soup Co. | 3.950% | 3/15/25 | 4,750 | 4,685 | |
Campbell Soup Co. | 4.150% | 3/15/28 | 48,925 | 47,535 | |
Cardinal Health Inc. | 3.500% | 11/15/24 | 7,000 | 6,775 | |
10 | Cargill Inc. | 3.250% | 11/15/21 | 10,515 | 10,476 |
10 | Cargill Inc. | 3.300% | 3/1/22 | 10,000 | 9,941 |
Catholic Health Initiatives Colorado GO | 4.200% | 8/1/23 | 2,000 | 2,038 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 1,595 | 1,593 | |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,900 | 2,973 | |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 4,000 | 4,044 | |
Constellation Brands Inc. | 3.750% | 5/1/21 | 4,250 | 4,298 |
Covidien International Finance SA | 4.200% | 6/15/20 | 7,735 | 7,930 | |
Covidien International Finance SA | 3.200% | 6/15/22 | 13,500 | 13,402 | |
CVS Health Corp. | 4.100% | 3/25/25 | 50,000 | 49,612 | |
CVS Health Corp. | 4.300% | 3/25/28 | 92,800 | 91,328 | |
CVS Health Corp. | 5.050% | 3/25/48 | 19,250 | 19,621 | |
Diageo Capital plc | 4.828% | 7/15/20 | 5,689 | 5,902 | |
Dignity Health California GO | 3.812% | 11/1/24 | 1,000 | 1,014 | |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 5,959 | 5,664 | |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 27,333 | 26,189 | |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 28,000 | 28,018 | |
Express Scripts Holding Co. | 3.400% | 3/1/27 | 5,000 | 4,596 | |
General Mills Inc. | 3.200% | 4/16/21 | 6,300 | 6,301 | |
General Mills Inc. | 3.700% | 10/17/23 | 9,500 | 9,484 | |
General Mills Inc. | 4.000% | 4/17/25 | 12,450 | 12,353 | |
General Mills Inc. | 4.200% | 4/17/28 | 14,270 | 14,088 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 139,860 | 140,790 | |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 82,807 | 81,923 | |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 13,800 | 13,615 | |
4,10 | Grupo Bimbo SAB de CV | 5.950% | 7/17/66 | 4,150 | 4,161 |
10 | Hologic Inc. | 4.375% | 10/15/25 | 5,325 | 5,125 |
10 | Hologic Inc. | 4.625% | 2/1/28 | 8,650 | 8,218 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 625 | 639 | |
JM Smucker Co. | 2.500% | 3/15/20 | 1,575 | 1,555 | |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,300 | 3,345 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 6,000 | 6,066 | |
Kroger Co. | 2.950% | 11/1/21 | 3,000 | 2,953 | |
Kroger Co. | 4.650% | 1/15/48 | 4,000 | 3,743 | |
Laboratory Corp. of America Holdings | 3.250% | 9/1/24 | 12,000 | 11,537 | |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 2,000 | 1,946 | |
McKesson Corp. | 2.850% | 3/15/23 | 5,000 | 4,796 | |
Medtronic Inc. | 3.150% | 3/15/22 | 18,638 | 18,595 | |
Medtronic Inc. | 3.625% | 3/15/24 | 15,590 | 15,615 | |
Medtronic Inc. | 3.500% | 3/15/25 | 123,541 | 122,203 | |
10 | Minerva Luxembourg SA | 5.875% | 1/19/28 | 14,000 | 12,495 |
Newell Brands Inc. | 3.850% | 4/1/23 | 13,175 | 13,062 | |
PepsiCo Inc. | 2.750% | 4/30/25 | 11,000 | 10,453 | |
PepsiCo Inc. | 2.850% | 2/24/26 | 5,000 | 4,721 | |
PerkinElmer Inc. | 5.000% | 11/15/21 | 8,000 | 8,389 | |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 25,000 | 24,373 | |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 37,476 | 37,178 | |
Providence St. Joseph Health Obligated | |||||
Group | 2.746% | 10/1/26 | 7,500 | 6,930 | |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 1,000 | 1,029 | |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 4,000 | 4,140 | |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 2,000 | 2,048 | |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 6,900 | 6,581 | |
10 | Reckitt Benckiser Treasury Services plc | 3.625% | 9/21/23 | 7,021 | 7,006 |
10 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 47,205 | 44,455 |
Reynolds American Inc. | 6.875% | 5/1/20 | 8,304 | 8,874 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 7,000 | 7,307 | |
10 | Roche Holdings Inc. | 3.350% | 9/30/24 | 20,664 | 20,459 |
SSM Health Care Corp. | 3.688% | 6/1/23 | 24,865 | 24,910 | |
Stryker Corp. | 3.375% | 5/15/24 | 5,000 | 4,933 | |
The Kroger Co. | 3.400% | 4/15/22 | 3,000 | 2,983 | |
The Kroger Co. | 3.500% | 2/1/26 | 12,475 | 11,839 | |
The Kroger Co. | 3.700% | 8/1/27 | 4,825 | 4,585 | |
Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 4,000 | 3,736 | |
Tyson Foods Inc. | 3.950% | 8/15/24 | 6,000 | 5,979 |
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 16,000 | 15,391 | |
Energy (5.4%) | |||||
Andeavor | 4.750% | 12/15/23 | 10,000 | 10,437 | |
Andeavor | 5.125% | 12/15/26 | 24,530 | 25,818 | |
Andeavor | 4.500% | 4/1/48 | 2,985 | 2,787 | |
Andeavor Logistics LP / Tesoro Logistics | |||||
Finance Corp. | 4.250% | 12/1/27 | 44,270 | 43,053 | |
Baker Hughes a GE Co. LLC / Baker | |||||
Hughes Co-Obligor Inc. | 3.337% | 12/15/27 | 81,410 | 76,452 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 15,970 | 15,813 | |
BP Capital Markets plc | 3.245% | 5/6/22 | 19,000 | 18,867 | |
BP Capital Markets plc | 2.520% | 9/19/22 | 10,000 | 9,655 | |
BP Capital Markets plc | 2.500% | 11/6/22 | 16,852 | 16,227 | |
BP Capital Markets plc | 2.750% | 5/10/23 | 47,740 | 46,203 | |
BP Capital Markets plc | 3.994% | 9/26/23 | 22,000 | 22,520 | |
BP Capital Markets plc | 3.216% | 11/28/23 | 29,455 | 29,029 | |
BP Capital Markets plc | 3.814% | 2/10/24 | 36,910 | 37,318 | |
BP Capital Markets plc | 3.224% | 4/14/24 | 26,774 | 26,183 | |
BP Capital Markets plc | 3.535% | 11/4/24 | 40,500 | 40,257 | |
BP Capital Markets plc | 3.506% | 3/17/25 | 5,125 | 5,081 | |
BP Capital Markets plc | 3.119% | 5/4/26 | 17,150 | 16,353 | |
BP Capital Markets plc | 3.017% | 1/16/27 | 5,565 | 5,253 | |
BP Capital Markets plc | 3.588% | 4/14/27 | 10,000 | 9,849 | |
BP Capital Markets plc | 3.279% | 9/19/27 | 31,630 | 30,316 | |
Buckeye Partners LP | 3.950% | 12/1/26 | 3,025 | 2,842 | |
Buckeye Partners LP | 4.125% | 12/1/27 | 22,550 | 21,368 | |
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 18,000 | 17,423 | |
Cenovus Energy Inc. | 4.250% | 4/15/27 | 60,740 | 58,234 | |
ConocoPhillips Co. | 2.400% | 12/15/22 | 29,000 | 27,741 | |
ConocoPhillips Co. | 3.350% | 11/15/24 | 18,184 | 17,766 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 43,907 | 47,283 | |
10 | Continental Resources Inc. | 4.375% | 1/15/28 | 13,800 | 13,593 |
Dominion Energy Gas Holdings LLC | 3.600% | 12/15/24 | 25,000 | 24,360 | |
4,12 | Enbridge Energy Partners LP | 6.105% | 10/1/77 | 1,110 | 1,089 |
Energy Transfer LP | 9.700% | 3/15/19 | 4,432 | 4,678 | |
Energy Transfer LP | 4.650% | 6/1/21 | 2,130 | 2,184 | |
Energy Transfer LP | 5.200% | 2/1/22 | 9,605 | 9,946 | |
Energy Transfer LP | 3.600% | 2/1/23 | 8,439 | 8,221 | |
Energy Transfer LP | 4.900% | 2/1/24 | 8,042 | 8,197 | |
Energy Transfer LP | 4.050% | 3/15/25 | 15,988 | 15,447 | |
Energy Transfer LP | 4.750% | 1/15/26 | 9,358 | 9,334 | |
Energy Transfer LP | 4.200% | 4/15/27 | 9,665 | 9,193 | |
Energy Transfer LP | 5.300% | 4/15/47 | 6,155 | 5,746 | |
EQT Corp. | 4.875% | 11/15/21 | 4,000 | 4,139 | |
EQT Corp. | 3.000% | 10/1/22 | 10,000 | 9,652 | |
EQT Corp. | 3.900% | 10/1/27 | 43,050 | 40,959 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,000 | 5,293 | |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 1,235 | 1,166 | |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 3,235 | 3,043 | |
Kinder Morgan Inc. | 4.300% | 3/1/28 | 15,750 | 15,343 | |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 7,820 | 9,695 | |
Marathon Oil Corp. | 3.850% | 6/1/25 | 34,350 | 33,538 | |
Marathon Oil Corp. | 4.400% | 7/15/27 | 17,500 | 17,592 | |
MPLX LP | 4.875% | 12/1/24 | 49,105 | 50,880 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 19,080 | 18,939 | |
10 | Patterson-UTI Energy Inc. | 3.950% | 2/1/28 | 15,000 | 14,218 |
Regency Energy Partners LP / Regency | |||||
Energy Finance Corp. | 5.875% | 3/1/22 | 6,025 | 6,379 | |
Regency Energy Partners LP / Regency | |||||
Energy Finance Corp. | 5.000% | 10/1/22 | 26,484 | 27,411 | |
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 20,000 | 21,575 | |
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 20,060 | 21,389 | |
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 54,300 | 58,305 | |
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 33,870 | 36,072 | |
Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 24,145 | 26,137 | |
Shell International Finance BV | 2.375% | 8/21/22 | 29,609 | 28,583 | |
Shell International Finance BV | 2.250% | 1/6/23 | 10,500 | 10,033 | |
Shell International Finance BV | 3.400% | 8/12/23 | 10,000 | 10,031 | |
Shell International Finance BV | 3.250% | 5/11/25 | 68,378 | 67,031 | |
Shell International Finance BV | 2.875% | 5/10/26 | 28,750 | 27,371 | |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 10,000 | 9,869 | |
Sunoco Logistics Partners Operations LP | 4.000% | 10/1/27 | 26,507 | 24,690 | |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 1,900 | 1,674 | |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 795 | 935 | |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 3,960 | 5,009 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 14,570 | 14,088 | |
Total Capital International SA | 2.875% | 2/17/22 | 31,378 | 30,950 | |
Total Capital International SA | 2.700% | 1/25/23 | 9,660 | 9,383 | |
Total Capital International SA | 3.700% | 1/15/24 | 5,000 | 5,046 | |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 4,292 | 4,358 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 8,025 | 7,728 | |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 19,615 | 19,746 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 35,680 | 37,683 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 3,335 | 3,421 | |
Valero Energy Partners LP | 4.500% | 3/15/28 | 36,795 | 36,335 | |
Williams Partners LP | 4.500% | 11/15/23 | 6,133 | 6,228 | |
Williams Partners LP | 3.900% | 1/15/25 | 5,116 | 4,963 | |
Other Industrial (0.2%) | |||||
17 | Aroundtown SA | 3.000% | 10/16/29 | 6,898 | 9,217 |
CBRE Services Inc. | 4.875% | 3/1/26 | 10,000 | 10,379 | |
15 | CPI Property Group SA | 2.125% | 10/4/24 | 23,736 | 28,425 |
10 | Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 20,710 | 21,564 |
Technology (5.6%) | |||||
Apple Inc. | 2.150% | 2/9/22 | 6,000 | 5,800 | |
Apple Inc. | 2.850% | 2/23/23 | 27,715 | 27,208 | |
Apple Inc. | 2.400% | 5/3/23 | 72,625 | 69,751 | |
Apple Inc. | 3.000% | 2/9/24 | 46,900 | 45,890 | |
Apple Inc. | 3.450% | 5/6/24 | 64,000 | 63,917 | |
Apple Inc. | 2.850% | 5/11/24 | 44,147 | 42,849 | |
Apple Inc. | 2.750% | 1/13/25 | 38,358 | 36,653 | |
Apple Inc. | 2.500% | 2/9/25 | 52,463 | 49,265 | |
Apple Inc. | 3.200% | 5/13/25 | 15,370 | 15,029 | |
Apple Inc. | 3.250% | 2/23/26 | 51,963 | 50,631 | |
Apple Inc. | 2.450% | 8/4/26 | 21,899 | 20,085 | |
Apple Inc. | 3.350% | 2/9/27 | 38,510 | 37,509 | |
Apple Inc. | 3.200% | 5/11/27 | 37,300 | 35,909 | |
Apple Inc. | 3.000% | 6/20/27 | 13,125 | 12,468 | |
Apple Inc. | 2.900% | 9/12/27 | 41,055 | 38,664 | |
Apple Inc. | 3.000% | 11/13/27 | 1,340 | 1,264 | |
Applied Materials Inc. | 3.300% | 4/1/27 | 10,000 | 9,640 | |
Broadcom Corp. / Broadcom Cayman | |||||
Finance Ltd. | 3.625% | 1/15/24 | 29,750 | 28,928 |
Broadcom Corp. / Broadcom Cayman | |||||
Finance Ltd. | 3.125% | 1/15/25 | 19,450 | 18,055 | |
Broadcom Corp. / Broadcom Cayman | |||||
Finance Ltd. | 3.875% | 1/15/27 | 29,750 | 28,361 | |
Broadcom Corp. / Broadcom Cayman | |||||
Finance Ltd. | 3.500% | 1/15/28 | 32,585 | 30,043 | |
10 | Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 42,975 | 45,134 |
10 | Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 6.020% | 6/15/26 | 60,715 | 64,348 | |
DXC Technology Co. | 4.250% | 4/15/24 | 9,350 | 9,446 | |
DXC Technology Co. | 4.750% | 4/15/27 | 10,000 | 10,205 | |
Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 40,600 | 41,671 | |
Intel Corp. | 2.875% | 5/11/24 | 30,175 | 29,175 | |
Intel Corp. | 3.700% | 7/29/25 | 18,871 | 18,942 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 6,000 | 5,980 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 37,000 | 37,154 | |
Microsoft Corp. | 2.375% | 2/12/22 | 33,070 | 32,251 | |
Microsoft Corp. | 2.000% | 8/8/23 | 30,000 | 28,234 | |
Microsoft Corp. | 3.625% | 12/15/23 | 14,000 | 14,250 | |
Microsoft Corp. | 2.700% | 2/12/25 | 41,755 | 39,950 | |
Microsoft Corp. | 3.125% | 11/3/25 | 47,715 | 46,422 | |
Microsoft Corp. | 2.400% | 8/8/26 | 50,325 | 46,279 | |
Microsoft Corp. | 3.300% | 2/6/27 | 81,930 | 80,400 | |
Oracle Corp. | 2.500% | 5/15/22 | 17,635 | 17,175 | |
Oracle Corp. | 2.500% | 10/15/22 | 21,287 | 20,661 | |
Oracle Corp. | 2.400% | 9/15/23 | 22,000 | 20,976 | |
Oracle Corp. | 3.400% | 7/8/24 | 22,400 | 22,271 | |
Oracle Corp. | 2.950% | 11/15/24 | 34,875 | 33,715 | |
Oracle Corp. | 2.950% | 5/15/25 | 32,430 | 31,034 | |
Pitney Bowes Inc. | 3.625% | 10/1/21 | 4,010 | 3,840 | |
QUALCOMM Inc. | 2.600% | 1/30/23 | 35,485 | 33,542 | |
QUALCOMM Inc. | 2.900% | 5/20/24 | 76,995 | 72,349 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 14,665 | 14,035 | |
QUALCOMM Inc. | 3.250% | 5/20/27 | 18,525 | 16,988 | |
Total System Services Inc. | 3.750% | 6/1/23 | 4,700 | 4,650 | |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 4,335 | 4,504 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 19,370 | 19,448 | |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 8,710 | 8,563 | |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 7,483 | 7,388 | |
Tyco Electronics Group SA | 3.125% | 8/15/27 | 22,000 | 20,744 | |
10 | Vantiv LLC / Vanity Issuer Corp. | 4.375% | 11/15/25 | 14,620 | 13,980 |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 16,000 | 15,912 | |
VMware Inc. | 2.950% | 8/21/22 | 9,720 | 9,330 | |
VMware Inc. | 3.900% | 8/21/27 | 4,160 | 3,908 | |
Western Digital Corp. | 4.750% | 2/15/26 | 18,000 | 17,730 | |
Xerox Corp. | 6.350% | 5/15/18 | 1,251 | 1,253 | |
Transportation (2.5%) | |||||
10 | Adani Ports & Special Economic Zone Ltd. | 4.000% | 7/30/27 | 19,100 | 17,593 |
10 | Air Canada | 7.750% | 4/15/21 | 24,461 | 26,785 |
4,10 | Air Canada 2013-1 Class B Pass Through | ||||
Trust | 5.375% | 5/15/21 | 883 | 904 | |
4,10 | Air Canada 2013-1 Class C Pass Through | ||||
Trust | 6.625% | 5/15/18 | 1,583 | 1,584 | |
4,10 | Air Canada 2017-1 Class A Pass Through | ||||
Trust | 3.550% | 1/15/30 | 10,640 | 10,081 | |
4,10 | Air Canada 2017-1 Class AA Pass | ||||
Through Trust | 3.300% | 1/15/30 | 43,625 | 41,421 |
4,10 | Air Canada 2017-1 Class B Pass Through | ||||
Trust | 3.700% | 1/15/26 | 15,395 | 14,794 | |
4 | American Airlines 2016-3 Class B Pass | ||||
Through Trust | 3.750% | 10/15/25 | 26,337 | 25,295 | |
4 | American Airlines 2017-2B Class B Pass | ||||
Through Trust | 3.700% | 10/15/25 | 29,125 | 28,059 | |
14 | Asciano Finance Ltd. | 5.400% | 5/12/27 | 6,680 | 5,254 |
14 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 17,090 | 12,815 |
4,10 | British Airways 2018-1 Class A Pass | ||||
Through Trust | 4.125% | 3/20/33 | 30,105 | 29,883 | |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 16,231 | 19,627 | |
4 | Continental Airlines 2000-1 Class A-1 Pass | ||||
Through Trust | 8.048% | 11/1/20 | 657 | 688 | |
4 | Continental Airlines 2005-ERJ1 Pass | ||||
Through Trust | 9.798% | 10/1/22 | 646 | 688 | |
4 | Continental Airlines 2009-2 Class A Pass | ||||
Through Trust | 7.250% | 5/10/21 | 3,150 | 3,312 | |
4 | Continental Airlines 2010-1 Class A Pass | ||||
Through Trust | 4.750% | 7/12/22 | 4,644 | 4,750 | |
4 | Continental Airlines 2012-1 Class A Pass | ||||
Through Trust | 4.150% | 10/11/25 | 6,649 | 6,712 | |
4 | Continental Airlines 2012-2 Class A Pass | ||||
Through Trust | 4.000% | 4/29/26 | 5,226 | 5,235 | |
4 | Continental Airlines 2012-2 Class B Pass | ||||
Through Trust | 5.500% | 4/29/22 | 915 | 937 | |
4 | CSX Transportation Inc. | 6.251% | 1/15/23 | 2,631 | 2,853 |
4 | Delta Air Lines 2002-1 Class G-1 Pass | ||||
Through Trust | 6.718% | 7/2/24 | 8,171 | 8,800 | |
4 | Delta Air Lines 2007-1 Class A Pass | ||||
Through Trust | 6.821% | 2/10/24 | 31,639 | 34,697 | |
4 | Delta Air Lines 2009-1 Class A Pass | ||||
Through Trust | 7.750% | 6/17/21 | 2,119 | 2,233 | |
4 | Delta Air Lines 2010-1 Class A Pass | ||||
Through Trust | 6.200% | 1/2/20 | 3,851 | 3,851 | |
4 | Delta Air Lines 2012-1 Class A Pass | ||||
Through Trust | 4.750% | 11/7/21 | 2,071 | 2,112 | |
4 | Delta Air Lines 2015-1 Class A Pass | ||||
Through Trust | 3.875% | 1/30/29 | 8,033 | 7,963 | |
Delta Air Lines Inc. | 4.375% | 4/19/28 | 108,895 | 105,940 | |
10 | ERAC USA Finance LLC | 3.850% | 11/15/24 | 8,000 | 7,950 |
10 | ERAC USA Finance LLC | 3.800% | 11/1/25 | 9,000 | 8,811 |
4 | Hawaiian Airlines 2013-1 Class A Pass | ||||
Through Certificates | 3.900% | 1/15/26 | 46,340 | 45,548 | |
4,10 | Heathrow Funding Ltd. | 4.875% | 7/15/23 | 330 | 346 |
Kansas City Southern | 3.125% | 6/1/26 | 42,750 | 39,187 | |
11 | Kansas City Southern | 4.700% | 5/1/48 | 15,835 | 15,817 |
Kirby Corp. | 4.200% | 3/1/28 | 50,000 | 49,247 | |
14 | Qantas Airways Ltd. | 7.500% | 6/11/21 | 13,790 | 11,619 |
14 | Qantas Airways Ltd. | 7.750% | 5/19/22 | 4,780 | 4,157 |
Southwest Airlines Co. | 7.375% | 3/1/27 | 4,930 | 6,010 | |
4 | Southwest Airlines Co. 2007-1 Pass | ||||
Through Trust | 6.650% | 8/1/22 | 5,187 | 5,501 | |
4 | Southwest Airlines Co. 2007-1 Pass | ||||
Through Trust | 6.150% | 2/1/24 | 11,491 | 12,151 | |
4 | Spirit Airlines Class A Pass Through | ||||
Certificates Series 2015-1 | 4.100% | 10/1/29 | 44,842 | 44,455 | |
4 | Spirit Airlines Pass Through Trust 2017-1A | 3.650% | 2/15/30 | 29,670 | 28,533 |
10 | Transportadora de Gas del Sur SA | 6.750% | 5/2/25 | 6,250 | 6,234 |
4 | United Airlines 2013-1 Class A Pass | ||||
Through Trust | 4.300% | 2/15/27 | 4,687 | 4,749 | |
4 | United Airlines 2016-1 Class B Pass | ||||
Through Trust | 3.650% | 1/7/26 | 9,080 | 8,728 | |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 2,775 | 2,782 | |
4 | US Airways 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 2,924 | 3,148 |
14 | WSO Finance Pty Ltd. | 3.500% | 7/14/23 | 10,260 | 7,703 |
8,859,863 | |||||
Utilities (3.9%) | |||||
Electric (3.7%) | |||||
10 | AEP Transmission Co. LLC | 3.100% | 12/1/26 | 3,265 | 3,106 |
AEP Transmission Co. LLC | 3.100% | 12/1/26 | 6,835 | 6,502 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 7,449 | 7,245 | |
Ameren Illinois Co. | 3.250% | 3/1/25 | 11,680 | 11,407 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 16,840 | 16,319 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 10,627 | 10,510 | |
10 | Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 7,955 | 7,714 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 47,864 | 48,068 | |
10 | Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 16,025 | 15,250 |
10 | Kallpa Generacion SA | 4.125% | 8/16/27 | 11,000 | 10,191 |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 5,790 | 5,577 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 26,960 | 25,965 | |
DTE Electric Co. | 3.900% | 6/1/21 | 14,650 | 14,848 | |
DTE Electric Co. | 2.650% | 6/15/22 | 1,000 | 968 | |
Edison International | 2.400% | 9/15/22 | 4,500 | 4,251 | |
10 | EDP Finance BV | 4.125% | 1/15/20 | 13,664 | 13,818 |
10 | EDP Finance BV | 5.250% | 1/14/21 | 12,300 | 12,839 |
10 | EDP Finance BV | 3.625% | 7/15/24 | 10,885 | 10,639 |
Emera US Finance LP | 3.550% | 6/15/26 | 22,000 | 20,879 | |
10 | Enel Finance International NV | 2.875% | 5/25/22 | 15,105 | 14,675 |
10 | Enel Finance International NV | 3.625% | 5/25/27 | 37,051 | 35,004 |
10 | Enel Finance International NV | 3.500% | 4/6/28 | 5,000 | 4,634 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 8,770 | 8,889 | |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 7,410 | 7,228 | |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 3,318 | 3,346 | |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 15,620 | 15,376 | |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 5,699 | 6,325 | |
Entergy Louisiana LLC | 4.800% | 5/1/21 | 12,780 | 13,400 | |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 6,915 | 6,833 | |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 6,400 | 6,491 | |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 8,562 | 9,327 | |
Entergy Louisiana LLC | 2.400% | 10/1/26 | 14,120 | 12,727 | |
Entergy Louisiana LLC | 3.120% | 9/1/27 | 6,425 | 6,085 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 9,250 | 9,307 | |
Exelon Corp. | 3.497% | 6/1/22 | 3,631 | 3,574 | |
Exelon Corp. | 3.950% | 6/15/25 | 23,652 | 23,478 | |
FirstEnergy Corp. | 2.850% | 7/15/22 | 20,230 | 19,479 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 23,472 | 23,818 | |
FirstEnergy Corp. | 3.900% | 7/15/27 | 18,380 | 17,922 | |
10 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 17,035 | 17,322 |
Georgia Power Co. | 2.400% | 4/1/21 | 4,735 | 4,616 | |
Georgia Power Co. | 2.850% | 5/15/22 | 16,559 | 16,130 | |
Georgia Power Co. | 3.250% | 3/30/27 | 22,090 | 20,970 | |
ITC Holdings Corp. | 3.250% | 6/30/26 | 9,700 | 9,120 | |
10 | ITC Holdings Corp. | 3.350% | 11/15/27 | 18,745 | 17,631 |
Kentucky Utilities Co. | 3.300% | 10/1/25 | 8,940 | 8,688 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 9,785 | 10,054 |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 5,500 | 5,542 | |
National Rural Utilities Cooperative | |||||
Finance Corp. | 2.950% | 2/7/24 | 3,415 | 3,292 | |
10 | Niagara Mohawk Power Corp. | 2.721% | 11/28/22 | 2,000 | 1,928 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 7,700 | 7,366 | |
NSTAR Electric Co. | 3.250% | 11/15/25 | 10,000 | 9,668 | |
NSTAR Electric Co. | 3.200% | 5/15/27 | 16,330 | 15,660 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 22,322 | 25,450 | |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 1,200 | 1,145 | |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,500 | 6,170 | |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 30,505 | 29,864 | |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 5,795 | 5,782 | |
Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 6,561 | 6,052 | |
10 | Pacific Gas & Electric Co. | 3.300% | 12/1/27 | 58,974 | 55,090 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 34,315 | 39,998 | |
PacifiCorp | 3.600% | 4/1/24 | 14,000 | 13,967 | |
PacifiCorp | 3.350% | 7/1/25 | 12,720 | 12,560 | |
Potomac Electric Power Co. | 3.050% | 4/1/22 | 2,270 | 2,205 | |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 12,690 | 12,634 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 19,769 | 21,096 | |
Puget Energy Inc. | 3.650% | 5/15/25 | 13,665 | 13,244 | |
SCANA Corp. | 6.250% | 4/1/20 | 8,500 | 8,818 | |
SCANA Corp. | 4.750% | 5/15/21 | 3,378 | 3,432 | |
Southern California Edison Co. | 3.650% | 3/1/28 | 19,380 | 19,159 | |
Southern Co. | 2.350% | 7/1/21 | 2,307 | 2,240 | |
4 | Southern Co. | 5.500% | 3/15/57 | 6,545 | 6,823 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 16,530 | 16,533 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 41,070 | 40,367 | |
Tampa Electric Co. | 5.400% | 5/15/21 | 13,000 | 13,712 | |
10 | Trans-Allegheny Interstate Line Co. | 3.850% | 6/1/25 | 11,000 | 10,919 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 9,000 | 9,012 | |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 4,744 | 4,585 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 7,000 | 6,948 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 8,885 | 8,520 | |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 7,950 | 7,623 | |
Virginia Electric & Power Co. | 2.950% | 11/15/26 | 12,185 | 11,411 | |
Westar Energy Inc. | 3.100% | 4/1/27 | 3,450 | 3,274 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 10,000 | 10,049 | |
Natural Gas (0.2%) | |||||
10 | Engie SA | 2.875% | 10/10/22 | 3,480 | 3,398 |
Sempra Energy | 4.050% | 12/1/23 | 10,455 | 10,562 | |
Sempra Energy | 3.400% | 2/1/28 | 42,092 | 39,776 | |
Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 4,125 | 3,898 | |
Other Utility (0.0%) | |||||
17 | Anglian Water Services Financing plc | 2.625% | 6/15/27 | 8,484 | 11,210 |
1,139,527 | |||||
Total Corporate Bonds (Cost $19,277,616) | 18,773,668 | ||||
Sovereign Bonds (6.5%) | |||||
10 | Abu Dhabi National Energy Co. PJSC | 4.875% | 4/23/30 | 11,350 | 11,267 |
15 | Arab Republic of Egypt | 4.750% | 4/16/26 | 4,400 | 5,297 |
Argentine Republic | 6.250% | 4/22/19 | 4,500 | 4,594 | |
Argentine Republic | 6.875% | 1/11/48 | 13,325 | 11,861 | |
10 | Banco Latinoamericano de Comercio | ||||
Exterior SA | 3.250% | 5/7/20 | 4,000 | 3,969 |
10 | Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 4,929 | 4,836 |
10 | Bermuda | 4.138% | 1/3/23 | 2,000 | 2,070 |
10 | Bermuda | 4.854% | 2/6/24 | 1,000 | 1,047 |
Bermuda | 4.854% | 2/6/24 | 17,825 | 18,593 | |
BOC Aviation Ltd. | 3.875% | 5/9/19 | 800 | 804 | |
10 | BOC Aviation Ltd. | 2.375% | 9/15/21 | 15,000 | 14,346 |
BOC Aviation Ltd. | 3.875% | 4/27/26 | 3,700 | 3,525 | |
Cayman Islands | 5.950% | 11/24/19 | 500 | 523 | |
10 | CDP Financial Inc. | 3.150% | 7/24/24 | 8,000 | 7,880 |
Centrais Eletricas Brasileiras SA | 5.750% | 10/27/21 | 6,300 | 6,426 | |
CNOOC Curtis Funding No 1 Pty Ltd. | 4.500% | 10/3/23 | 5,000 | 5,116 | |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 20,000 | 19,175 | |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 4,000 | 4,025 | |
10 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 979 |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 5,000 | 4,985 | |
10 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 1,400 | 1,425 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 29,660 | 29,913 | |
10 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 3,000 | 3,028 |
Corp. Nacional del Cobre de Chile | 4.500% | 9/16/25 | 7,250 | 7,397 | |
10,18 | Dexia Credit Local SA | 1.875% | 9/15/21 | 10,000 | 9,613 |
10 | Dexia Credit Local SA | 2.375% | 9/20/22 | 1,750 | 1,692 |
10 | Electricite de France SA | 3.625% | 10/13/25 | 4,800 | 4,725 |
Emirate of Abu Dhabi | 3.125% | 10/11/27 | 54,000 | 49,984 | |
Emirate of Abu Dhabi | 4.125% | 10/11/47 | 6,800 | 6,210 | |
4,10 | ENA Norte Trust | 4.950% | 4/25/28 | 1,396 | 1,429 |
10 | Export Credit Bank of Turkey | 6.125% | 5/3/24 | 12,200 | 12,158 |
Export-Import Bank of China | 3.375% | 3/14/27 | 5,319 | 5,010 | |
Export-Import Bank of China | 3.250% | 11/28/27 | 1,770 | 1,640 | |
Export-Import Bank of India | 4.000% | 1/14/23 | 8,550 | 8,515 | |
Export-Import Bank of India | 3.375% | 8/5/26 | 5,000 | 4,635 | |
10 | Export-Import Bank of India | 3.875% | 2/1/28 | 9,675 | 9,195 |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 3,000 | 2,997 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 17,000 | 17,595 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 1,000 | 1,014 | |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 2,570 | 2,636 | |
Export-Import Bank of Korea | 2.750% | 1/25/22 | 2,500 | 2,425 | |
Export-Import Bank of Korea | 3.000% | 11/1/22 | 45,108 | 43,767 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 10,450 | 9,039 | |
Federative Republic of Brazil | 5.625% | 2/21/47 | 17,115 | 16,088 | |
Gazprom OAO Via Gaz Capital SA | 9.250% | 4/23/19 | 27,800 | 29,120 | |
Gazprom OAO Via Gaz Capital SA | 7.288% | 8/16/37 | 7,000 | 8,055 | |
ICBCIL Finance Co. Ltd. | 3.250% | 3/17/20 | 4,800 | 4,754 | |
ICBCIL Finance Co. Ltd. | 3.000% | 4/5/20 | 3,538 | 3,485 | |
ICBCIL Finance Co. Ltd. | 3.200% | 11/10/20 | 5,000 | 4,925 | |
ICBCIL Finance Co. Ltd. | 2.750% | 5/19/21 | 10,000 | 9,663 | |
Indian Railway Finance Corp. Ltd. | 3.835% | 12/13/27 | 10,000 | 9,398 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 2,400 | 2,394 | |
19 | Japan Bank for International Cooperation | 2.000% | 11/4/21 | 37,500 | 36,099 |
Japan Finance Organization for | |||||
Municipalities | 2.500% | 9/12/18 | 6,200 | 6,197 | |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 26,000 | 26,198 | |
10 | KazMunayGas National Co. JSC | 3.875% | 4/19/22 | 8,600 | 8,492 |
10 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 785 | 753 |
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 97,077 | 93,005 | |
Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 25,670 | 24,487 | |
Kingdom of Saudi Arabia | 5.000% | 4/17/49 | 2,450 | 2,345 | |
10,15 | Kingdom of Spain | 2.700% | 10/31/48 | 20,530 | 26,681 |
Korea Development Bank | 4.625% | 11/16/21 | 3,285 | 3,401 |
10 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 2,000 | 1,998 |
10 | Kowloon-Canton Railway Corp. | 5.125% | 5/20/19 | 2,500 | 2,553 |
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 9,000 | 8,670 | |
Nexen Energy ULC | 6.200% | 7/30/19 | 2,000 | 2,070 | |
North American Development Bank | 2.300% | 10/10/18 | 1,500 | 1,496 | |
North American Development Bank | 2.400% | 10/26/22 | 1,300 | 1,252 | |
NTPC Ltd. | 4.250% | 2/26/26 | 6,250 | 6,118 | |
OCP SA | 5.625% | 4/25/24 | 1,520 | 1,566 | |
10 | Ontario Teachers' Cadillac Fairview | ||||
Properties Trust | 3.125% | 3/20/22 | 6,000 | 5,920 | |
10 | Ontario Teachers' Cadillac Fairview | ||||
Properties Trust | 3.875% | 3/20/27 | 7,000 | 6,940 | |
Ooredoo Tamweel Ltd. | 3.039% | 12/3/18 | 10,000 | 9,992 | |
10 | Pertamina Persero PT | 6.000% | 5/3/42 | 1,000 | 1,048 |
Petrobras Global Finance BV | 5.299% | 1/27/25 | 25,240 | 24,805 | |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 9,625 | 11,237 | |
Petrobras Global Finance BV | 7.375% | 1/17/27 | 14,700 | 15,729 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 30,325 | 31,714 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 171,586 | 177,815 | |
10 | Petroleos Mexicanos | 5.350% | 2/12/28 | 7,500 | 7,148 |
Petroleos Mexicanos | 6.750% | 9/21/47 | 9,790 | 9,443 | |
Province of New Brunswick | 2.750% | 6/15/18 | 1,250 | 1,251 | |
Province of Ontario | 3.000% | 7/16/18 | 3,000 | 3,002 | |
Province of Ontario | 4.000% | 10/7/19 | 4,500 | 4,578 | |
Republic of Colombia | 10.375% | 1/28/33 | 39,992 | 62,556 | |
Republic of Croatia | 6.375% | 3/24/21 | 7,250 | 7,774 | |
Republic of Guatemala | 5.750% | 6/6/22 | 10,000 | 10,532 | |
Republic of Guatemala | 4.375% | 6/5/27 | 11,485 | 10,994 | |
Republic of Hungary | 6.250% | 1/29/20 | 69,735 | 73,217 | |
Republic of Hungary | 6.375% | 3/29/21 | 5,980 | 6,443 | |
Republic of Indonesia | 4.875% | 5/5/21 | 49,801 | 51,576 | |
10 | Republic of Indonesia | 3.700% | 1/8/22 | 3,124 | 3,116 |
Republic of Indonesia | 3.750% | 4/25/22 | 87,908 | 87,592 | |
Republic of Indonesia | 3.375% | 4/15/23 | 4,490 | 4,368 | |
Republic of Indonesia | 5.875% | 1/15/24 | 10,000 | 10,865 | |
Republic of Kazakhstan | 4.875% | 10/14/44 | 4,600 | 4,510 | |
10 | Republic of Latvia | 2.750% | 1/12/20 | 1,000 | 993 |
Republic of Lithuania | 7.375% | 2/11/20 | 30,806 | 33,087 | |
10 | Republic of Lithuania | 6.125% | 3/9/21 | 7,400 | 7,955 |
Republic of Lithuania | 6.125% | 3/9/21 | 42,564 | 45,749 | |
Republic of Panama | 9.375% | 4/1/29 | 300 | 427 | |
Republic of Panama | 8.125% | 4/28/34 | 9,136 | 12,442 | |
4 | Republic of Panama | 6.700% | 1/26/36 | 2,400 | 2,972 |
Republic of Paraguay | 5.600% | 3/13/48 | 9,900 | 9,805 | |
Republic of Poland | 5.125% | 4/21/21 | 16,505 | 17,433 | |
Republic of Poland | 5.000% | 3/23/22 | 10,730 | 11,387 | |
Republic of Romania | 6.750% | 2/7/22 | 982 | 1,079 | |
15 | Republic of Romania | 2.750% | 10/29/25 | 4,500 | 5,883 |
Republic of Serbia | 5.875% | 12/3/18 | 14,500 | 14,695 | |
Republic of Slovenia | 5.500% | 10/26/22 | 36,554 | 39,834 | |
Republic of the Philippines | 4.000% | 1/15/21 | 5,000 | 5,113 | |
Republic of the Philippines | 5.500% | 3/30/26 | 20,000 | 22,350 | |
Republic of the Philippines | 9.500% | 2/2/30 | 4,750 | 7,042 | |
Republic of Turkey | 7.000% | 6/5/20 | 16,800 | 17,749 | |
Republic of Turkey | 5.750% | 3/22/24 | 2,500 | 2,538 | |
Republic of Turkey | 4.875% | 10/9/26 | 1,690 | 1,578 | |
Republic of Turkey | 6.125% | 10/24/28 | 21,650 | 21,596 | |
Russian Federation | 5.250% | 6/23/47 | 31,200 | 30,229 |
Sinopec Capital 2013 Ltd. | 3.125% | 4/24/23 | 13,170 | 12,651 | |
10 | Sinopec Group Overseas Development | ||||
2012 Ltd. | 4.875% | 5/17/42 | 5,000 | 5,216 | |
Sinopec Group Overseas Development | |||||
2012 Ltd. | 4.875% | 5/17/42 | 18,656 | 19,434 | |
Sinopec Group Overseas Development | |||||
2013 Ltd. | 2.500% | 10/17/18 | 5,310 | 5,301 | |
10 | Sinopec Group Overseas Development | ||||
2013 Ltd. | 4.375% | 10/17/23 | 1,800 | 1,836 | |
Sinopec Group Overseas Development | |||||
2013 Ltd. | 4.375% | 10/17/23 | 14,570 | 14,860 | |
Sinopec Group Overseas Development | |||||
2014 Ltd. | 4.375% | 4/10/24 | 8,650 | 8,789 | |
Sinopec Group Overseas Development | |||||
2017 Ltd. | 2.500% | 9/13/22 | 5,000 | 4,745 | |
10 | Sinopec Group Overseas Development | ||||
2017 Ltd. | 3.625% | 4/12/27 | 17,500 | 16,757 | |
Socialist Republic of Vietnam | 6.750% | 1/29/20 | 16,900 | 17,763 | |
State of Israel | 3.150% | 6/30/23 | 2,000 | 1,983 | |
State of Israel | 2.875% | 3/16/26 | 3,980 | 3,789 | |
State of Israel | 4.125% | 1/17/48 | 9,350 | 8,754 | |
State of Kuwait | 2.750% | 3/20/22 | 19,406 | 18,807 | |
State of Qatar | 5.250% | 1/20/20 | 40,300 | 41,528 | |
State of Qatar | 2.375% | 6/2/21 | 775 | 747 | |
State of Qatar | 3.875% | 4/23/23 | 3,500 | 3,485 | |
State of Qatar | 4.500% | 4/23/28 | 11,000 | 10,976 | |
State of Qatar | 5.103% | 4/23/48 | 8,790 | 8,704 | |
Equinor ASA | 3.150% | 1/23/22 | 3,000 | 2,986 | |
Equinor ASA | 2.450% | 1/17/23 | 3,000 | 2,881 | |
Equinor ASA | 3.950% | 5/15/43 | 3,191 | 3,148 | |
Sultanate of Oman | 6.750% | 1/17/48 | 12,200 | 11,485 | |
10 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 959 |
United Mexican States | 4.600% | 2/10/48 | 4,800 | 4,444 | |
YPF SA | 8.875% | 12/19/18 | 2,500 | 2,569 | |
Total Sovereign Bonds (Cost $1,936,150) | 1,899,321 | ||||
Taxable Municipal Bonds (0.1%) | |||||
Allentown PA Neighborhood Improvement | |||||
Zone Development Authority Revenue | 5.420% | 5/1/21 | 4,000 | 3,962 | |
Florida Hurricane Catastrophe Fund | |||||
Finance Corp. Revenue | 2.995% | 7/1/20 | 1,250 | 1,254 | |
Illinois GO | 5.000% | 1/1/23 | 1,835 | 1,837 | |
JobsOhio Beverage System Statewide | |||||
Liquor Profits Revenue | 2.885% | 1/1/21 | 1,000 | 996 | |
Johns Hopkins University Maryland GO | 5.250% | 7/1/19 | 199 | 205 | |
Louisiana Local Government | |||||
Environmental Facilities & Community | |||||
Development Authority Revenue 2010- | |||||
EGSL | 3.220% | 2/1/21 | 2,699 | 2,704 | |
Louisiana Local Government | |||||
Environmental Facilities & Community | |||||
Development Authority Revenue 2010- | |||||
ELL | 3.450% | 2/1/22 | 3,121 | 3,137 | |
New York City NY Transitional Finance | |||||
Authority Future Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,642 | |
New York State Dormitory Authority | |||||
Revenue (Employer Assessment) | 3.892% | 12/1/24 | 2,000 | 2,054 |
Port Authority of New York & New Jersey | |||||
Revenue | 5.859% | 12/1/24 | 2,000 | 2,295 | |
San Diego County CA Regional Airport | |||||
Authority Revenue | 3.730% | 7/1/21 | 800 | 812 | |
San Diego County CA Regional Airport | |||||
Authority Revenue | 5.594% | 7/1/43 | 6,200 | 6,832 | |
Sonoma County CA Pension Obligation | |||||
Revenue | 6.000% | 12/1/29 | 4,960 | 5,719 | |
Texas GO | 3.682% | 8/1/24 | 2,000 | 2,057 | |
University of California Revenue | 2.054% | 5/15/18 | 500 | 500 | |
University of California Revenue | 2.300% | 5/15/21 | 1,000 | 987 | |
Total Taxable Municipal Bonds (Cost $36,790) | 36,993 | ||||
Coupon | Shares | ||||
Convertible Preferred Stocks (0.0%) | |||||
Financials (0.0%) | |||||
*,11,16 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) | 8,740 | — | |||
Temporary Cash Investments (1.8%) | |||||
Money Market Fund (1.5%) | |||||
20 Vanguard Market Liquidity Fund | 1.886% | 4,411,945 | 441,194 | ||
Face | |||||
Amount | |||||
($000) | |||||
Commercial Paper (0.3%) | |||||
21 JP Morgan Securities LLC | 2.344% | 1/28/19 | 99,610 | 97,640 | |
Total Temporary Cash Investments (Cost $539,050) | 538,834 | ||||
Notional Amount | |||||
on Underlying | |||||
Expiration | Swap | ||||
Counterparty | Date Exercise Rate | ($000) | |||
Credit Default Swaptions Purchased22 (0.0%) | |||||
Put Swaption Contracts (0.0%) | |||||
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index (Cost $101) | DBAG | 6/20/18 | 70.00% | 77,530 | 78 |
Total Investments (100.2%) (Cost $29,963,832) | 29,250,200 | ||||
Expiration | Notional Amount | ||||
Date | Contracts | Exercise Price | ($000) | ||
Liability for Options Written22 (0.0%) | |||||
Written Options on Futures (0.0%) | |||||
Put Options on 10-Year U.S. | |||||
Treasury Note Futures Contracts | 5/25/18 | (504) | USD 119.00 | (59,976) | (110) |
Total Options on Futures Written (Premiums Received $117) | (110) | ||||
Notional Amount | |||||
on Underlying | |||||
Expiration | Swap | ||||
Counterparty | Date | Exercise Rate | ($000) | ||
Written Swaptions on Credit Default Index (0.0%) | |||||
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 67.50% | (60,715) | (200) |
Call Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | (77,530) | (141) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 5/16/18 | 72.50% | (60,715) | (11) |
Put Swaptions on CDX-NA-IG-S30- | |||||
V1 5-Year Index | DBAG | 6/20/18 | 62.50% | (77,530) | (148) |
Total Credit Default Swaptions Written (Premiums Received $536) | (500) |
Total Liability for Options Written (Premiums Received $653) | (610) |
Other Assets and Liabilities-Net (-0.2%) | (80,206) |
Net Assets (100%) | 29,169,994 |
* Non-income-producing security.
1 Securities with a value of $3,149,000 have been segregated as collateral for open forward currency contracts and
over-the-counter swap contracts.
2 Securities with a value of $13,743,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $42,971,000 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 Interest only security.
7 Inverse floating rate Interest only security whose interest rate is derived by subtracting 1-month USD LIBOR from
a given cap.
8 Adjustable-rate security based upon one-year Constant Maturity Treasury yield plus spread.
9 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
10 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, 2018, the aggregate
value of these securities was $5,015,812,000, representing 17.2% of net assets.
11 Security value determined using significant unobservable inputs.
12 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
13 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
14 Face amount denominated in Australian dollars.
15 Face amount denominated in euro.
16 Non-income-producing security--security in default.
17 Face amount denominated in British pounds.
18 Guaranteed by multiple countries.
19 Guaranteed by the Government of Japan.
20 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
21 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,
2018, the value of these securities was $97,640,000, representing 0.3% of net assets.
22 Unrealized appreciation (depreciation) on optoins on futures contracts is required to be treated as realized gain
(loss) for tax purposes. Unrealized appreciation (depreciation) on open credit default swaptions is generally
treated the same for financial reporting and tax purposes.
GO—General Obligation Bond.
DBAG—Deutsche Bank AG
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2018 | 28,447 | 3,402,972 | (15,046) |
5-Year U.S. Treasury Note | June 2018 | 12,073 | 1,370,380 | (5,848) |
Ultra 10-Year U.S. Treasury Note | June 2018 | 6,011 | 768,751 | (5,505) |
(26,399) | ||||
Short Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | (9,371) | (1,987,091) | 3,690 |
Euro-Bund | June 2018 | (1,929) | (369,782) | (3,981) |
30-Year U.S. Treasury Bond | June 2018 | (1,885) | (271,145) | 840 |
Ultra Long U.S. Treasury Bond | June 2018 | (1,565) | (245,901) | (225) |
Euro-Bobl | June 2018 | (808) | (127,823) | 81 |
Euro-Buxl | June 2018 | (336) | (66,358) | 622 |
AUD 3-Year Treasury Bond | June 2018 | (537) | (44,840) | 13 |
Long Gilt | June 2018 | (142) | (23,901) | (258) |
AUD 10-Year Treasury Bond | June 2018 | (87) | (8,377) | 65 |
847 | ||||
(25,552) |
Unrealized appreciation (depreciation) on open futures contracts, except for 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. Unrealized appreciation (depreciation) for AUD 3-Year Treasury Bond and AUD 10-Year Treasury Bond futures contracts are generally treated the same for financial reporting and tax purpose.
Forward Currency Contracts | ||||||
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
JPMorgan Chase Bank, N.A. | 5/15/18 | EUR | 21,935 | USD | 26,755 | (236) |
Toronto-Dominion Bank | 5/15/18 | AUD | 16,094 | USD | 12,174 | (57) |
Goldman Sachs Bank AG | 5/15/18 | EUR | 7,846 | USD | 9,680 | (195) |
UBS AG | 5/15/18 | EUR | 7,239 | USD | 8,945 | (193) |
UBS AG | 5/15/18 | AUD | 11,436 | USD | 8,892 | (282) |
Toronto-Dominion Bank | 5/15/18 | USD | 230,107 | EUR | 186,582 | 4,531 |
Citibank, N.A. | 5/15/18 | USD | 104,350 | AUD | 134,500 | 3,089 |
BNP Paribas | 5/15/18 | USD | 24,858 | GBP | 17,489 | 764 |
JPMorgan Chase Bank, N.A. | 5/15/18 | USD | 1,968 | EUR | 1,629 | (1) |
Goldman Sachs Bank AG | 5/15/18 | USD | 1,199 | EUR | 991 | — |
7,420 | ||||||
AUD—Australian dollar. | ||||||
EUR—euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary
income (loss) for tax purposes.
Centrally Cleared Credit Default Swaps | |||||
Periodic | |||||
Premium | Unrealized | ||||
Received | Appreciation | ||||
Termination | Notional Amount | (Paid)1 | Value | (Depreciation) | |
Reference Entity | Date | (000) | (%) | ($000) | ($000) |
Credit Protection Sold | |||||
CDX-NA-IG-S29-V1 | 12/20/22 | USD 40,418 | 1.000 | 821 | 50 |
CDX-NA-IG-S30-V1 | 6/20/23 | USD 60,867 | 1.000 | 1,128 | 21 |
iTraxx Europe-S29-V1 | 6/20/23 | EUR 15,405 | 1.000 | 431 | 3 |
CDX-NA-HY-S30-V1 | 6/20/23 | USD 12,321 | 5.000 | 852 | 2 |
3,232 | 76 | ||||
Credit Protection Purchased | |||||
iTraxx Europe-S28-V1 | 12/20/22 | EUR 45,728 | (1.000) | (1,380) | 53 |
1,852 | 129 | ||||
1. Periodic premium received/paid quarterly. | |||||
EUR—euro. | |||||
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | |||||||
Remainin | |||||||
g Up- | |||||||
Periodic | Front | Unrealized | |||||
Premium | Premium | Appreciation | |||||
Notional | Received | Received | (Depreciation | ||||
Termination | Amount | (Paid) | Value | (Paid) | ) | ||
Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | ($000) |
Credit Protection Sold/Moody's Rating | |||||||
America Movil /A3 | 12/20/22 | BARC | 15,000 | 1.0002 | (163) | 135 | (28) |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/21 | GSI | 3,110 | 1.0002 | 58 | (15) | 43 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/21 | JPMC | 15,000 | 1.0002 | 278 | 14 | 292 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/21 | JPMC | 4,655 | 1.0002 | 86 | (14) | 72 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/22 | BARC | 15,760 | 1.0002 | 289 | (223) | 66 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 12/20/22 | BARC | 7,605 | 1.0002 | 132 | (120) | 12 |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/24 | BARC | 19,400 | 1.0002 | 180 | (219) | (39) |
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 6/20/24 | JPMC | 9,400 | 1.0002 | 88 | (90) | (2) |
Comcast | |||||||
Corp./A3 | 12/20/22 | GSI | 6,160 | 1.0002 | 148 | (168) | (20) |
Federative | |||||||
Republic of | |||||||
Brazil/Ba2 | 9/20/18 | BNPSW | 21,500 | 1.0002 | 43 | (42) | 1 |
International | |||||||
Lease Finance | |||||||
Corp./Baa3 | 6/20/22 | BARC | 7,000 | 1.0002 | 76 | (3) | 73 |
Metlife Inc./A3 | 12/20/20 | GSCM | 5,625 | 1.0002 | 102 | - | 102 |
Metlife Inc./A3 | 12/20/21 | BARC | 3,165 | 1.0002 | 63 | (4) | 59 |
Metlife Inc./A3 | 6/20/24 | BARC | 24,300 | 1.0002 | 242 | (27) | 215 |
People's Republic | |||||||
of China/A1 | 6/20/22 | BNPSW | 22,800 | 1.0002 | 488 | (164) | 324 |
People's Republic | |||||||
of China/A1 | 6/20/23 | GSI | 37,800 | 1.0002 | 743 | (641) | 102 |
Republic of | |||||||
Chile/Aa3 | 6/20/23 | BOANA | 3,300 | 1.0002 | 75 | (75) | - |
Republic of | |||||||
Chile/Aa3 | 6/20/23 | CITNA | 4,700 | 1.0002 | 106 | (105) | 1 |
Republic of | |||||||
Colombia/Baa2 | 12/20/22 | MSCS | 7,000 | 1.0002 | 14 | 34 | 48 |
Republic of | |||||||
Indonesia/Baa2 | 6/20/23 | BNPSW | 45,560 | 1.0002 | (108) | 53 | (55) |
Saudi Arabia/A1 | 6/20/23 | MSCS | 47,500 | 1.0002 | 227 | (425) | (198) |
Southern | |||||||
Co./Baa2 | 6/20/22 | JPMC | 59,775 | 1.0002 | 1,104 | (837) | 267 |
United Mexican | |||||||
States/A3 | 6/20/23 | BARC | 31,900 | 1.0002 | (219) | 238 | 19 |
United Mexican | |||||||
States/A3 | 6/20/23 | GSI | 23,000 | 1.0002 | (158) | 182 | 24 |
Verizon | |||||||
Communications | |||||||
Inc./Baa1 | 12/20/22 | GSI | 15,585 | 1.0002 | 297 | (250) | 47 |
Total | 4,191 | (2,766) | 1,425 | ||||
Credit Protection | |||||||
Purchased | |||||||
American | |||||||
International | |||||||
Group Inc. | 12/20/20 | GSCM | 5,625 | (1.000)2 | (106) | 68 | (38) |
American | |||||||
International | |||||||
Group Inc. | 12/20/20 | GSCM | 2,835 | (1.000)2 | (53) | (23) | (76) |
Banco Bilbao | |||||||
Vizcaya | |||||||
Argentaria SA | 6/20/21 | BOANA | 24,495 | (1.000)2 | (521) | (467) | (988) |
Bank of America | |||||||
Corp. | 3/20/20 | GSCM | 7,870 | (1.000)2 | (114) | 48 | (66) |
Bank of China | |||||||
Ltd. | 12/20/21 | BNPSW | 6,200 | (1.000)2 | (129) | (16) | (145) |
Bank of China | |||||||
Ltd. | 6/20/22 | BNPSW | 22,800 | (1.000)2 | (455) | 3 | (452) |
Barclays Bank plc | 6/20/22 | BOANA | 15,1951 | (1.000)2 | (465) | 270 | (195) |
Barclays Bank plc | 6/20/22 | CSFBI | 15,1901 | (1.000)2 | (465) | 274 | (191) |
Barclays Bank plc | 12/20/22 | CITNA | 6,1301 | (1.000)2 | 145 | (238) | (93) |
CECONOMY AG | 6/20/22 | BARC | 10,4851 | (1.000)2 | (156) | (25) | (181) |
CECONOMY AG | 6/20/22 | BARC | 7,4651 | (1.000)2 | (112) | (18) | (130) |
CECONOMY AG | 6/20/22 | BARC | 7,4651 | (1.000)2 | (112) | (13) | (125) |
CECONOMY AG | 6/20/22 | BARC | 3,0001 | (1.000)2 | (45) | 3 | (42) |
CECONOMY AG | 6/20/22 | BARC | 3,0001 | (1.000)2 | (45) | (6) | (51) |
CECONOMY AG | 6/20/22 | BARC | 3,0001 | (1.000)2 | (44) | (13) | (57) |
CMBX-NA-AAA-9 | 9/17/58 | CSFBI | 5,045 | (0.500)3 | (10) | (174) | (184) |
CMBX-NA-AAA-9 | 9/17/58 | GSI | 980 | (0.500)3 | (2) | (39) | (41) |
CMBX-NA-AAA-9 | 9/17/58 | JPM | 5,300 | (0.500)3 | (11) | (194) | (205) |
CMBX-NA-AAA-9 | 9/17/58 | JPM | 5,140 | (0.500)3 | (11) | (253) | (264) |
Commerzbank | |||||||
AG | 6/20/21 | BOANA | 24,495 | (1.000)2 | (448) | (290) | (738) |
CVS Health Corp. | 12/20/21 | BARC | 3,220 | (1.000)2 | (76) | 76 | - |
CVS Health Corp. | 12/20/21 | BOANA | 15,000 | (1.000)2 | (355) | 359 | 4 |
Deutsche Bank | |||||||
AG | 12/20/21 | BARC | 19,400 | (1.000)2 | (80) | (191) | (271) |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 15,195 | (1.000)2 | 22 | 68 | 90 |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 9,115 | (1.000)2 | 13 | 48 | 61 |
Deutsche Bank | |||||||
AG | 12/20/22 | JPMC | 6,075 | (1.000)2 | 9 | 28 | 37 |
Dominion Energy | |||||||
Inc. | 6/20/22 | JPMC | 7,470 | (1.000)2 | (188) | 212 | 24 |
EI du Pont de | |||||||
Nemours & Co. | 12/20/20 | JPMC | 10,230 | (1.000)2 | (212) | 132 | (80) |
Enel Investment | |||||||
Holding BV | 6/20/22 | BNPSW | 15,1951 | (1.000)2 | (455) | 251 | (204) |
Exelon Corp. | 6/20/22 | JPMC | 11,955 | (1.000)2 | (333) | 326 | (7) |
Exelon Corp. | 6/20/22 | JPMC | 7,470 | (1.000)2 | (208) | 206 | (2) |
Federal Express | |||||||
Corp. | 12/20/18 | GSCM | 7,840 | (1.000)2 | (50) | 16 | (34) |
Federative | |||||||
Republic of Brazil | 12/20/22 | CITNA | 13,100 | (1.000)2 | 285 | (413) | (128) |
Federative | |||||||
Republic of Brazil | 12/20/22 | (1.000)2 |
GSI | 20,268 | 441 | (876) | (435) | |||
Federative | |||||||
Republic of Brazil | 6/20/23 | BNPSW | 16,000 | (1.000)2 | 508 | (448) | 60 |
Federative | |||||||
Republic of Brazil | 6/20/23 | BOANA | 12,300 | (1.000)2 | 390 | (393) | (3) |
Federative | |||||||
Republic of Brazil | 6/20/23 | JPMC | 27,895 | (1.000)2 | 885 | (805) | 80 |
Federative | |||||||
Republic of Brazil | 6/20/23 | JPMC | 12,000 | (1.000)2 | 381 | (377) | 4 |
Federative | |||||||
Republic of Brazil | 12/20/25 | BOANA | 3,885 | (1.000)2 | 292 | (853) | (561) |
Federative | |||||||
Republic of Brazil | 12/20/25 | GSCM | 2,485 | (1.000)2 | 187 | (509) | (322) |
JPMorgan Chase | |||||||
Bank N.A. | 12/20/20 | MSCS | 25,000 | (1.000)2 | (480) | 83 | (397) |
Lincoln National | |||||||
Corp. | 6/20/21 | BARC | 10,000 | (1.000)2 | (223) | (139) | (362) |
Lincoln National | |||||||
Corp. | 6/20/21 | BARC | 1,555 | (1.000)2 | (35) | (27) | (62) |
Lincoln National | |||||||
Corp. | 6/20/21 | BARC | 1,550 | (1.000)2 | (35) | 27 | (8) |
Lincoln National | |||||||
Corp. | 12/20/21 | BARC | 3,165 | (1.000)2 | (71) | (6) | (77) |
McDonald’s Corp. | 6/20/22 | GSI | 12,325 | (1.000)2 | (393) | 327 | (66) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | (1.000)2 | (53) | 41 | (12) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | (1.000)2 | (53) | 40 | (13) |
Republic of | |||||||
Colombia | 12/20/22 | BOANA | 7,000 | (1.000)2 | (23) | (44) | (67) |
Republic of | |||||||
Colombia | 6/20/23 | BNPSW | 8,000 | (1.000)2 | 19 | (17) | 2 |
Republic of | |||||||
Colombia | 6/20/23 | GSI | 3,000 | (1.000)2 | 7 | (8) | (1) |
Republic of Korea | 9/20/18 | JPMC | 2,000 | (1.000)2 | (7) | 2 | (5) |
Republic of | |||||||
Philippines | 6/20/23 | GSI | 27,500 | (1.000)2 | (384) | 335 | (49) |
Republic of | |||||||
Turkey | 12/20/19 | GSCM | 26,350 | (1.000)2 | (62) | (228) | (290) |
Republic of | |||||||
Turkey | 6/20/23 | BNPSW | 13,370 | (1.000)2 | 571 | (611) | (40) |
Republic of | |||||||
Turkey | 6/20/23 | GSI | 4,100 | (1.000)2 | 175 | (182) | (7) |
Royal Bank of | |||||||
Scotland plc | 12/20/20 | BNPSW | 6,510 | (1.000)2 | (126) | 29 | (97) |
Sempra Energy | 6/20/22 | JPMC | 11,955 | (1.000)2 | (313) | 316 | 3 |
Sempra Energy | 6/20/22 | JPMC | 7,470 | (1.000)2 | (196) | 203 | 7 |
Societe General | |||||||
SA | 12/20/21 | JPMC | 14,675 | (1.000)2 | (398) | 66 | (332) |
Standard | |||||||
Chartered Bank | 12/20/21 | JPMC | 7,945 | (1.000)2 | (216) | (13) | (229) |
State of Qatar | 6/20/22 | BOANA | 1,360 | (1.000)2 | (17) | (14) | (31) |
State of Qatar | 6/20/22 | CITNA | 2,640 | (1.000)2 | (34) | (26) | (60) |
UniCredit SpA | 6/20/22 | JPMC | 6,100 | (1.000)2 | 102 | (377) | (275) |
Walt Disney Co. | 12/20/22 | CITNA | 6,150 | (1.000)2 | (207) | 170 | (37) |
Walt Disney Co. | 6/20/23 | CITNA | 15,420 | (1.000)2 | (530) | 470 | (60) |
Walt Disney Co. | 6/20/23 | CITNA | 9,250 | (1.000)2 | (318) | 310 | (8) |
Walt Disney Co. | 6/20/23 | CITNA | 6,170 | (1.000)2 | (212) | 204 | (8) |
Wells Fargo & Co. | 9/20/20 | BOANA | 9,700 | (1.000)2 | (165) | 58 | (107) |
Total | (5,380) | (3,257) | (8,637) | ||||
(7,212) |
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.
2 Periodic premium received/paid quarterly.
3 Periodic premium received/paid monthly.
BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.
CITNA—Citibank N.A.
CSFBI--Credit Suisse First Boston International.
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 | |||||||
Interest | Floating | ||||||
Rate | Interest | Unrealized | |||||
Future | Notional | Received | Rate | Appreciation | |||
Termination | Effective | Amount | (Paid)2 | Received | Value | (Depreciation) | |
Date | Date | ($000) | (%) | (Paid) (%) | ($000) | ($000) | |
6/20/19 | 6/20/181 | 130,264 | 1.500 | (0.000) | 4 | (1,415) | (141) |
1/21/20 | N/A | 20,920 | 1.224 | (1.897) | 3 | (450) | (450) |
1/21/20 | N/A | 3,130 | 1.363 | (1.898) | 3 | (60) | (60) |
3/31/20 | 7/5/181 | 421,071 | 2.623 | (0.000) | 4 | (1,069) | (1,073) |
4/15/20 | N/A | 14,650 | 1.345 | (1.897) | 3 | (337) | (337) |
6/15/20 | N/A | 2,050 | 0.931 | (1.897) | 3 | (69) | (70) |
6/22/20 | 6/20/181 | 177,612 | (1.750) | 0.000 | 4 | 3,614 | 414 |
7/15/20 | N/A | 8,920 | 1.571 | (1.897) | 3 | (194) | (194) |
6/21/21 | 6/20/181 | 21,560 | (1.750) | 0.000 | 4 | 698 | 81 |
6/20/22 | 6/20/181 | 69,105 | (1.750) | 0.000 | 4 | 3,046 | 280 |
6/20/23 | 9/20/181 | 22,129 | (2.000) | 0.000 | 4 | 971 | 156 |
2/28/25 | 6/29/181 | 122,598 | (2.895) | 0.000 | 4 | 368 | 367 |
6/20/25 | 6/20/181 | 148,378 | (2.000) | 0.000 | 4 | 9,186 | 847 |
11/16/43 | 6/29/181 | 35,115 | (3.064) | 0.000 | 4 | (326) | (327) |
13,963 | (507) |
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 Fixed interest payment received/paid semi-annually.
3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment
received/paid quarterly.
4 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment
received/paid quarterly.
Over-the-Counter Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Date | Counterparty | ($000) | (%) | (%) | ($000) | |
8/15/18 | BNPSW | 1,330 | 0.715 | (1.897) | 1 | - |
4/25/19 | WFC | 1,171 | 2.756 | (2.360) | 2 | 6 |
4/27/20 | GSCM | 1,399 | 2.794 | (2.360) | 2 | 8 |
4/1/21 | WFC | 3,087 | 0.965 | (1.887) | 1 | (65) |
6/25/21 | GSCM | 3,950 | 3.143 | (2.286) | 2 | 10 |
11/25/22 | BARC | 8,095 | 2.758 | (1.944) | 2 | 26 |
9/25/29 | GSCM | 8,452 | 1.794 | (1.900) | 1 | (350) |
(365) | ||||||
BARC--Barclays Bank plc. | ||||||
BNPSW--BNP Paribas. | ||||||
GSCM—Goldman Sachs Bank USA. | ||||||
WFC—Wells Fargo Bank N.A. | ||||||
Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid | ||||||
1 quarterly. | ||||||
Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid | ||||||
2 quarterly. |
Unrealized appreciation (depreciation) on open swap contracts is generally treated the same for financial reporting and tax purposes.
At April 30, 2018, counterparties had deposited in segregated accounts securities with a value of $4,671,000 and cash of $4,426,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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). Any investments valued with significant unobservable inputs are noted on the
Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 2,638,495 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 5,294,332 | 68,479 |
Corporate Bonds | — | 18,773,663 | 5 |
Sovereign Bonds | — | 1,899,321 | — |
Taxable Municipal Bonds | — | 36,993 | — |
Convertible Preferred Stocks | — | — | —1 |
Temporary Cash Investments | 441,194 | 97,640 | — |
Options on Futures Purchased | — | 78 | — |
Liability for Options Written | (110) | (500) | — |
Futures Contracts—Assets2 | 5,726 | — | — |
Futures Contracts—Liabilities2 | (4,055) | — | — |
Forward Currency Contracts—Assets | — | 8,384 | — |
Forward Currency Contracts—Liabilities | — | (964) | — |
Swap Contracts—Assets | 1302 | 2,189 | — |
Swap Contracts—Liabilities | (914)2 | (9,766) | — |
Total | 441,971 | 28,739,865 | 68,484 |
1 Market Value of Convertible Preferred Stocks based on Level 3 inputs. | |||
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 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).
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).
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.
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, 2018, the cost of investment securities for tax purposes was $29,965,455,000. Net unrealized depreciation of investment securities for tax purposes was $715,255,000, consisting of unrealized gains of $57,516,000 on securities that had risen in value since their purchase and $772,771,000 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, 2018 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (5.7%) | |||||
U.S. Government Securities (4.7%) | |||||
United States Treasury Note/Bond | 1.500% | 12/31/18 | 15,000 | 14,937 | |
United States Treasury Note/Bond | 1.125% | 1/31/19 | 115,000 | 114,083 | |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 50,000 | 49,492 | |
1 | United States Treasury Note/Bond | 1.250% | 5/31/19 | 400 | 395 |
1 | United States Treasury Note/Bond | 1.375% | 7/31/19 | 200 | 197 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 4,800 | 4,735 | |
United States Treasury Note/Bond | 1.750% | 11/30/19 | 200 | 198 | |
United States Treasury Note/Bond | 1.875% | 12/31/19 | 1,860 | 1,843 | |
United States Treasury Note/Bond | 2.000% | 1/31/20 | 1,090 | 1,082 | |
United States Treasury Note/Bond | 2.250% | 2/29/20 | 300 | 299 | |
187,261 | |||||
Agency Bonds and Notes (0.9%) | |||||
2 | Federal Home Loan Banks | 1.250% | 6/8/18 | 7,500 | 7,496 |
2 | Federal Home Loan Banks | 0.625% | 8/7/18 | 190 | 189 |
2 | Federal Home Loan Banks | 0.875% | 10/1/18 | 5,000 | 4,977 |
2 | Federal Home Loan Banks | 1.750% | 12/14/18 | 7,500 | 7,483 |
2 | Federal Home Loan Banks | 1.375% | 5/28/19 | 500 | 495 |
2 | Federal Home Loan Banks | 0.875% | 8/5/19 | 6,000 | 5,885 |
2 | Federal Home Loan Banks | 2.125% | 2/11/20 | 1,200 | 1,191 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 7/19/19 | 300 | 295 |
3 | Federal Home Loan Mortgage Corp. | 1.375% | 8/15/19 | 1,000 | 987 |
3 | Federal Home Loan Mortgage Corp. | 2.500% | 4/23/20 | 200 | 200 |
1,3 | Federal National Mortgage Assn. | 1.125% | 7/20/18 | 500 | 499 |
3 | Federal National Mortgage Assn. | 0.875% | 8/2/19 | 3,350 | 3,286 |
Private Export Funding Corp. | 4.375% | 3/15/19 | 1,000 | 1,018 | |
2 | Tennessee Valley Authority | 2.250% | 3/15/20 | 600 | 596 |
34,597 | |||||
Nonconventional Mortgage-Backed Securities (0.1%) | |||||
3,4,5Fannie Mae REMICS 2012-60E | 2.297% | 6/25/42 | 1,987 | 2,002 | |
3,4,5Fannie Mae REMICS 2016-62 | 2.297% | 9/25/46 | 1,082 | 1,091 | |
3,4,5Fannie Mae REMICS 2016-93 | 2.247% | 12/25/46 | 2,663 | 2,676 | |
5,769 | |||||
Total U.S. Government and Agency Obligations (Cost $228,311) | 227,627 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (42.6%) | |||||
5 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 101 | 101 |
5 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 40 | 40 |
5 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 2,030 | 2,029 |
5 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 1.540% | 3/9/20 | 20 | 20 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.080% | 9/8/20 | 150 | 150 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 2.730% | 3/8/21 | 255 | 255 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 3.340% | 8/8/21 | 330 | 331 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 1.810% | 10/8/20 | 420 | 419 |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-1 | 2.890% | 1/10/22 | 110 | 110 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.210% | 5/10/21 | 40 | 40 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.870% | 11/8/21 | 40 | 40 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 3.650% | 5/9/22 | 70 | 70 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-4 | 1.340% | 4/8/20 | 832 | 830 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-4 | 1.530% | 7/8/21 | 310 | 307 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-4 | 2.410% | 7/8/22 | 345 | 340 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2017-1 | 1.510% | 5/18/20 | 3,381 | 3,372 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2017-2 | 1.650% | 9/18/20 | 9,682 | 9,641 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2017-3 | 1.690% | 12/18/20 | 6,114 | 6,090 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2017-4 | 1.830% | 5/18/21 | 33,000 | 32,843 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2017-4 | 2.040% | 7/18/22 | 11,850 | 11,664 | |
5,6 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 178 | 177 |
5,6 | ARI Fleet Lease Trust 2017-A | 1.910% | 4/15/26 | 8,628 | 8,565 |
5,6 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 245 | 240 |
5,6 | Avis Budget Rental Car Funding AESOP LLC | ||||
2013-1A | 1.920% | 9/20/19 | 125 | 125 | |
5,6 | Avis Budget Rental Car Funding AESOP LLC | ||||
2013-2A | 2.970% | 2/20/20 | 8,555 | 8,561 | |
5 | BMW Vehicle Lease Trust 2016-2 | 1.230% | 1/22/19 | 457 | 457 |
5 | BMW Vehicle Lease Trust 2017-2 | 2.070% | 10/20/20 | 7,650 | 7,564 |
5,7 | Brazos Higher Education Authority Inc. Series | ||||
2011-1 | 2.744% | 2/25/30 | 155 | 156 | |
4,5 | Cabela's Credit Card Master Note Trust 2016- | ||||
1 | 2.747% | 6/15/22 | 2,780 | 2,799 | |
5,6 | California Republic Auto Receivables Trust | ||||
2015-4 | 2.040% | 1/15/20 | 166 | 166 | |
5,6 | California Republic Auto Receivables Trust | ||||
2015-4 | 2.580% | 6/15/21 | 81 | 81 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.560% | 7/15/20 | 796 | 794 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.830% | 12/15/21 | 240 | 237 | |
5 | California Republic Auto Receivables Trust | ||||
2017-1 | 1.550% | 11/15/19 | 2,495 | 2,493 | |
5,6 | Canadian Pacer Auto Receivable Trust A | ||||
Series 2017 | 1.772% | 12/19/19 | 6,982 | 6,957 | |
5,6 | Canadian Pacer Auto Receivable Trust A | ||||
Series 2017 | 2.050% | 3/19/21 | 5,920 | 5,836 | |
5 | Capital Auto Receivables Asset Trust 2014-3 | 3.940% | 4/20/23 | 500 | 503 |
5 | Capital Auto Receivables Asset Trust 2015-1 | 2.100% | 1/21/20 | 3,900 | 3,893 |
5 | Capital Auto Receivables Asset Trust 2015-2 | 1.730% | 9/20/19 | 107 | 107 |
5 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 111 | 111 |
5 | Capital Auto Receivables Asset Trust 2016-1 | 1.980% | 10/20/20 | 1,500 | 1,493 |
5 | Capital Auto Receivables Asset Trust 2016-2 | 1.460% | 6/22/20 | 1,380 | 1,375 |
5 | Capital Auto Receivables Asset Trust 2016-3 | 2.350% | 9/20/21 | 70 | 69 |
5 | Capital Auto Receivables Asset Trust 2016-3 | 2.650% | 1/20/24 | 40 | 40 |
5,6 | Capital Auto Receivables Asset Trust 2017-1 | 2.020% | 8/20/21 | 6,670 | 6,589 |
5,6 | Capital Auto Receivables Asset Trust 2018-1 | 2.790% | 1/20/22 | 25,000 | 24,951 |
5 | CarMax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 73 | 72 |
5 | CarMax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 95 | 95 |
5 | CarMax Auto Owner Trust 2016-1 | 1.610% | 11/16/20 | 754 | 749 |
5 | CarMax Auto Owner Trust 2016-3 | 1.390% | 5/17/21 | 5,000 | 4,942 |
5 | CarMax Auto Owner Trust 2018-1 | 2.230% | 5/17/21 | 11,300 | 11,248 |
5,6 | Chesapeake Funding II LLC 2016-1A | 2.110% | 3/15/28 | 499 | 497 |
5,6 | Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 1,438 | 1,431 |
5,6 | Chesapeake Funding II LLC 2017-3A | 1.910% | 8/15/29 | 19,306 | 19,096 |
5,6 | Chesapeake Funding II LLC 2017-4A | 2.120% | 11/15/29 | 18,000 | 17,779 |
5,6 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 12,500 | 12,478 |
5,6 | Chesapeake Funding II LLC 2018-2A | 1.990% | 5/15/29 | 7,418 | 7,335 |
5,6 | Chrysler Capital Auto Receivables Trust 2014- | ||||
BA | 3.440% | 8/16/21 | 800 | 803 | |
5,6 | Chrysler Capital Auto Receivables Trust 2015- | ||||
BA | 1.910% | 3/16/20 | 216 | 216 | |
5,6 | Chrysler Capital Auto Receivables Trust 2015- | ||||
BA | 3.260% | 4/15/21 | 500 | 501 | |
5,6 | Chrysler Capital Auto Receivables Trust 2016- | ||||
AA | 1.960% | 1/18/22 | 1,110 | 1,104 | |
5,6 | Chrysler Capital Auto Receivables Trust 2016- | ||||
AA | 2.880% | 2/15/22 | 70 | 70 | |
5,6 | Chrysler Capital Auto Receivables Trust 2016- | ||||
AA | 4.220% | 2/15/23 | 570 | 576 | |
5,6 | Chrysler Capital Auto Receivables Trust 2016- | ||||
BA | 1.360% | 1/15/20 | 388 | 388 | |
5,6 | Chrysler Capital Auto Receivables Trust 2016- | ||||
BA | 1.640% | 7/15/21 | 40 | 40 | |
5 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 3.161% | 9/10/46 | 891 | 893 | |
4,5,6Colony American Homes 2015-1A | 3.097% | 7/17/32 | 198 | 198 | |
5 | COMM 2013-CCRE10 Mortgage Trust | 1.278% | 8/10/46 | 56 | 56 |
5 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 1,000 | 1,001 |
5 | COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/46 | 19 | 19 |
5 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 633 | 634 |
5 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 91 | 91 |
5 | COMM 2014-CCRE16 Mortgage Trust | 1.445% | 4/10/47 | 17 | 17 |
5 | COMM 2014-CCRE18 Mortgage Trust | 1.442% | 7/15/47 | 71 | 71 |
5 | COMM 2014-CCRE21 Mortgage Trust | 1.494% | 12/10/47 | 201 | 200 |
5 | COMM 2015-CCRE25 Mortgage Trust | 1.737% | 8/10/48 | 244 | 240 |
5,6 | Daimler Truck Retail Trust 2018-1 | 2.850% | 7/15/21 | 16,670 | 16,659 |
5,6 | Dell Equipment Finance Trust 2016-1 | 1.650% | 7/22/21 | 1,573 | 1,570 |
5,6 | Dell Equipment Finance Trust 2017-1 | 1.860% | 6/24/19 | 2,358 | 2,352 |
5,6 | Dell Equipment Finance Trust 2017-2 | 1.970% | 2/24/20 | 10,170 | 10,124 |
5,6 | DLL Securitization Trust Series 2017-A | 1.890% | 7/15/20 | 12,000 | 11,937 |
5,6 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 56 | 56 |
5,6 | Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 42 | 42 |
5,6 | Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 145 | 147 |
5,6 | Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 5,895 | 5,909 |
5,6 | Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 201 | 202 |
5,6 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 10,388 | 10,411 |
5,6 | Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 2,200 | 2,244 |
5,6 | Drive Auto Receivables Trust 2016-C | 2.370% | 11/16/20 | 709 | 708 |
5,6 | Drive Auto Receivables Trust 2016-C | 3.020% | 11/15/21 | 7,500 | 7,507 |
5,6 | Drive Auto Receivables Trust 2016-C | 4.180% | 3/15/24 | 1,240 | 1,256 |
5 | Drive Auto Receivables Trust 2017-1 | 1.860% | 3/16/20 | 643 | 643 |
5 | Drive Auto Receivables Trust 2017-1 | 2.360% | 3/15/21 | 28,500 | 28,435 |
5 | Drive Auto Receivables Trust 2017-3 | 1.650% | 8/15/19 | 4,170 | 4,168 |
5 | Drive Auto Receivables Trust 2017-3 | 2.300% | 5/17/21 | 10,620 | 10,579 |
5 | Drive Auto Receivables Trust 2017-3 | 2.800% | 7/15/22 | 7,120 | 7,074 |
5,6 | Drive Auto Receivables Trust 2017-BA | 2.200% | 5/15/20 | 5,806 | 5,801 |
5 | Drive Auto Receivables Trust 2018-1 | 2.420% | 1/15/21 | 33,000 | 32,965 |
5,6 | Enterprise Fleet Financing LLC Series 2015-2 | 1.590% | 2/22/21 | 98 | 98 |
5,6 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 1,690 | 1,685 |
5,6 | Enterprise Fleet Financing LLC Series 2016-1 | 1.830% | 9/20/21 | 398 | 397 |
5,6 | Enterprise Fleet Financing LLC Series 2016-2 | 1.740% | 2/22/22 | 1,694 | 1,682 |
5,6 | Enterprise Fleet Financing LLC Series 2017-1 | 2.130% | 7/20/22 | 2,477 | 2,459 |
5,6 | Enterprise Fleet Financing LLC Series 2017-2 | 1.970% | 1/20/23 | 8,750 | 8,680 |
5,6 | Enterprise Fleet Financing LLC Series 2017-3 | 2.130% | 5/22/23 | 12,000 | 11,869 |
5,6 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870% | 10/20/23 | 15,000 | 14,964 |
4,5,6Evergreen Credit Card Trust Series 2017-1 | 2.157% | 10/15/21 | 9,000 | 9,000 | |
3,4,5Fannie Mae Connecticut Avenue Securities | |||||
2016-C04 | 3.347% | 1/25/29 | 185 | 187 | |
3,4,5Fannie Mae Connecticut Avenue Securities | |||||
2016-C05 | 3.247% | 1/25/29 | 408 | 410 | |
5,6 | Flagship Credit Auto Trust 2016-4 | 1.470% | 3/16/20 | 825 | 825 |
5,6 | Flagship Credit Auto Trust 2017-1 | 1.930% | 12/15/21 | 5,100 | 5,084 |
5,6 | Flagship Credit Auto Trust 2017-1 | 2.830% | 3/15/23 | 3,000 | 2,989 |
5,6 | Flagship Credit Auto Trust 2017-4 | 2.070% | 4/15/22 | 16,207 | 16,081 |
5,6 | Flagship Credit Auto Trust 2018-1 | 2.590% | 6/15/22 | 23,281 | 23,201 |
5 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 500 | 500 |
5 | Ford Credit Auto Lease Trust 2017-B | 2.030% | 12/15/20 | 9,210 | 9,115 |
5,6 | Ford Credit Auto Owner Trust 2014-REV1 | 2.260% | 11/15/25 | 9,200 | 9,163 |
5,6 | Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 800 | 797 |
5,6 | Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 1,700 | 1,688 |
5 | Ford Credit Auto Owner Trust 2016-B | 1.520% | 8/15/21 | 700 | 687 |
5 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 160 | 157 |
5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 2.310% | 2/15/21 | 827 | 825 | |
5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-3 | 1.550% | 7/15/21 | 3,520 | 3,468 | |
3,4,5Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA2 | 4.097% | 10/25/28 | 199 | 201 | |
3,4,5Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 2.997% | 12/25/28 | 16 | 16 | |
3,4,5Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 3.897% | 12/25/28 | 250 | 253 | |
3,5,6Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 3.746% | 2/25/48 | 1,520 | 1,517 | |
5,6 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 17 | 16 |
5,6 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 1,726 | 1,704 |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
2 | 2.420% | 7/22/19 | 167 | 167 | |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
2 | 2.990% | 7/22/19 | 120 | 120 | |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 1.690% | 3/20/19 | 366 | 366 | |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 2.320% | 11/20/19 | 50 | 50 | |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 2.980% | 11/20/19 | 120 | 120 |
5 | GM Financial Automobile Leasing Trust 2015- | ||||
3 | 3.480% | 8/20/20 | 2,144 | 2,147 | |
5 | GM Financial Automobile Leasing Trust 2016- | ||||
1 | 1.790% | 3/20/20 | 150 | 150 | |
5 | GM Financial Automobile Leasing Trust 2016- | ||||
2 | 2.580% | 3/20/20 | 240 | 239 | |
5 | GM Financial Automobile Leasing Trust 2016- | ||||
3 | 1.350% | 2/20/19 | 887 | 887 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
1 | 2.260% | 8/20/20 | 1,800 | 1,786 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
2 | 2.020% | 9/21/20 | 16,250 | 16,082 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 1.720% | 1/21/20 | 4,603 | 4,577 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.010% | 11/20/20 | 730 | 722 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.120% | 9/20/21 | 660 | 650 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.400% | 9/20/21 | 1,150 | 1,131 | |
5 | GM Financial Automobile Leasing Trust 2017- | ||||
3 | 2.730% | 9/20/21 | 450 | 444 | |
5 | GM Financial Automobile Leasing Trust 2018- | ||||
1 | 2.610% | 1/20/21 | 18,500 | 18,405 | |
5,6 | GM Financial Consumer Automobile 2017-3A | 1.970% | 5/16/22 | 10,500 | 10,324 |
5,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 450 | 450 |
5,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 820 | 820 |
5,6 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.410% | 5/17/21 | 300 | 298 |
4,5,6GMF Floorplan Owner Revolving Trust 2016-1 | 2.747% | 5/17/21 | 592 | 596 | |
5,6 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.850% | 5/17/21 | 220 | 217 |
5,6 | GMF Floorplan Owner Revolving Trust 2018-1 | 3.060% | 3/15/22 | 3,250 | 3,249 |
5,6 | GMF Floorplan Owner Revolving Trust 2018-1 | 3.250% | 3/15/22 | 3,000 | 2,999 |
5,6 | GMF Floorplan Owner Revolving Trust 2018-1 | 3.500% | 3/15/22 | 4,624 | 4,623 |
5,6 | Golden Credit Card Trust 2016-5A | 1.600% | 9/15/21 | 7,740 | 7,594 |
5,6,7Gosforth Funding 2016-1A plc | 2.539% | 2/15/58 | 601 | 603 | |
5,6,7Gosforth Funding 2017-1A plc | 2.648% | 12/19/59 | 15,467 | 15,482 | |
5,6 | GreatAmerica Leasing Receivables Funding | ||||
LLC Series 2017-1 | 1.720% | 4/22/19 | 2,652 | 2,647 | |
5,6 | GreatAmerica Leasing Receivables Funding | ||||
LLC Series 2018-1 | 2.350% | 5/15/20 | 30,000 | 29,888 | |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 391 | 391 |
5 | GS Mortgage Securities Trust 2014-GC22 | 1.290% | 6/10/47 | 18 | 17 |
5 | Harley-Davidson Motorcycle Trust 2015-2 | 1.300% | 3/16/20 | 299 | 298 |
4,5,6Hertz Fleet Lease Funding LP 2016-1 | 2.997% | 4/10/30 | 1,568 | 1,569 | |
5,6,8Hertz Fleet Lease Funding LP 2018-1 | 3.230% | 5/10/32 | 7,900 | 7,899 | |
5,6 | Hertz Vehicle Financing II LP 2015-1A | 2.730% | 3/25/21 | 34,664 | 34,306 |
5,6 | Hertz Vehicle Financing II LP 2015-2A | 2.020% | 9/25/19 | 2,135 | 2,129 |
5,6 | Hertz Vehicle Financing II LP 2016-1A | 2.320% | 3/25/20 | 2,100 | 2,089 |
5,6 | Hertz Vehicle Financing II LP 2016-3A | 2.270% | 7/25/20 | 420 | 416 |
5,6 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 3,707 | 3,700 |
6,7 | Holmes Master Issuer plc 2018-1 | 2.708% | 10/15/54 | 12,600 | 12,595 |
5 | Honda Auto Receivables 2015-2 Owner Trust | 1.470% | 8/23/21 | 800 | 798 |
5 | Honda Auto Receivables 2015-3 Owner Trust | 1.270% | 4/18/19 | 125 | 125 |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2015-B | 2.210% | 5/15/20 | 166 | 166 | |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2016-C | 1.300% | 3/15/19 | 1,093 | 1,092 |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2017-A | 2.130% | 4/15/21 | 7,600 | 7,535 | |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2017-B | 1.970% | 7/15/20 | 24,000 | 23,790 | |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2017-C | 1.890% | 3/16/20 | 17,000 | 16,899 | |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2017-C | 2.120% | 2/16/21 | 11,200 | 11,087 | |
5,6 | Hyundai Auto Lease Securitization Trust | ||||
2018-A | 2.810% | 4/15/21 | 15,655 | 15,608 | |
5,6 | Hyundai Floorplan Master Owner Trust Series | ||||
2016-1A | 1.810% | 3/15/21 | 320 | 318 | |
7 | Illinois Student Assistance Commission Series | ||||
2010-1 | 3.410% | 4/25/22 | 11 | 11 | |
4,5,6Invitation Homes 2015-SFR2 Trust | 3.246% | 6/17/32 | 97 | 97 | |
5 | John Deere Owner Trust 2015-B | 1.440% | 10/15/19 | 445 | 444 |
5 | John Deere Owner Trust 2016-B | 1.490% | 5/15/23 | 130 | 128 |
5,6 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.388% | 2/15/46 | 4 | 4 | |
5 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 1.268% | 7/15/47 | 69 | 69 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.019% | 8/15/46 | 72 | 72 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 260 | 261 | |
5,6,8Kubota Credit Owner Trust 2018-1A | 2.800% | 2/16/21 | 24,250 | 24,248 | |
5,6,7Lanark Master Issuer plc 2018-1A | 2.236% | 12/22/69 | 6,400 | 6,396 | |
5,6 | Laurel Road Prime Student Loan Trust 2017- | ||||
C | 1.870% | 11/25/42 | 12,960 | 12,910 | |
5,6 | Master Credit Card Trust II Series 2017-1A | 2.260% | 7/21/21 | 7,900 | 7,810 |
5 | Mercedes-Benz Auto Lease Trust 2016-B | 1.150% | 1/15/19 | 146 | 146 |
5 | Mercedes-Benz Auto Lease Trust 2018-A | 2.200% | 4/15/20 | 20,000 | 19,939 |
5 | Mercedes-Benz Auto Lease Trust 2018-A | 2.410% | 2/16/21 | 9,900 | 9,829 |
5,6 | MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 24 | 24 |
5,6 | MMAF Equipment Finance LLC 2017-A | 1.730% | 5/18/20 | 2,836 | 2,826 |
5 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.085% | 8/15/46 | 599 | 599 | |
5 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 1.313% | 10/15/46 | 5 | 5 | |
5 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C17 | 1.551% | 8/15/47 | 24 | 24 | |
4,5,6Motor plc 2017 1A | 2.427% | 9/25/24 | 12,940 | 12,914 | |
4,5 | Navient Student Loan Trust 2015-3 | 2.217% | 7/25/30 | 127 | 127 |
4,5,6Navient Student Loan Trust 2016-2 | 2.647% | 6/25/65 | 155 | 155 | |
4,5,6Navient Student Loan Trust 2016-3 | 2.497% | 6/25/65 | 149 | 149 | |
4,5,6Navient Student Loan Trust 2016-6A | 2.377% | 3/25/66 | 3,545 | 3,550 | |
4,5,6Navient Student Loan Trust 2017-3A | 2.197% | 7/26/66 | 6,980 | 6,984 | |
4,5,6Navient Student Loan Trust 2017-4A | 2.137% | 9/27/66 | 11,544 | 11,547 | |
4,5,6Navient Student Loan Trust 2017-A | 2.297% | 12/16/58 | 3,676 | 3,680 | |
5,6 | Navient Student Loan Trust 2018-A | 2.530% | 2/18/42 | 41,530 | 41,312 |
4,5,6Navistar Financial Dealer Note Master Trust II | |||||
2016-1A | 3.247% | 9/27/21 | 1,480 | 1,486 | |
4,5,6Navistar Financial Dealer Note Master Trust II | |||||
2017-1A | 2.677% | 6/27/22 | 1,600 | 1,607 | |
4 | New Mexico Educational Assistance | ||||
Foundation 2013-1 | 2.583% | 1/2/25 | 79 | 79 |
5,6 | NextGear Floorplan Master Owner Trust | ||||
2016-1A | 2.740% | 4/15/21 | 1,850 | 1,848 | |
5 | Nissan Auto Lease Trust 2016-A | 1.650% | 10/15/21 | 1,060 | 1,057 |
5 | Nissan Auto Lease Trust 2016-B | 1.500% | 7/15/19 | 2,220 | 2,213 |
5 | Nissan Auto Lease Trust 2017-A | 1.910% | 4/15/20 | 1,530 | 1,515 |
5 | Nissan Auto Lease Trust 2017-B | 1.830% | 12/16/19 | 35,406 | 35,186 |
5 | Nissan Auto Lease Trust 2017-B | 2.050% | 9/15/20 | 12,250 | 12,124 |
5 | Nissan Auto Receivables 2016-B Owner Trust | 1.320% | 1/15/21 | 487 | 482 |
4,5,6Pepper Residential Securities Trust 2017A- | |||||
A1UA | 2.997% | 3/10/58 | 3,163 | 3,167 | |
4,5,6Pepper Residential Securities Trust 2018A- | |||||
A1UA | 2.844% | 3/12/47 | 23,431 | 23,459 | |
4,5,6Pepper Residential Securities Trust 2019A- | |||||
A1U1 | 2.244% | 10/12/18 | 11,200 | 11,190 | |
4,5,6Pepper Residential Securities Trust 2020A- | |||||
A1U1 | 2.443% | 3/16/19 | 3,580 | 3,557 | |
4,5,6PFS Financing Corp. 2017-AA | 2.477% | 3/15/21 | 20,750 | 20,777 | |
4,5,6PFS Financing Corp. 2017-C | 2.367% | 10/15/21 | 12,100 | 12,128 | |
4,5,6Resimac Premier Series 2016-1A | 3.287% | 10/10/47 | 2,111 | 2,123 | |
4,5,6Resimac Premier Series 2017-1A | 2.847% | 9/11/48 | 21,745 | 21,771 | |
Royal Bank of Canada | 2.200% | 9/23/19 | 855 | 847 | |
5 | Santander Drive Auto Receivables Trust | ||||
2014-4 | 2.600% | 11/16/20 | 633 | 633 | |
5 | Santander Drive Auto Receivables Trust | ||||
2015-1 | 2.570% | 4/15/21 | 987 | 987 | |
5 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.260% | 6/15/20 | 33 | 33 | |
5 | Santander Drive Auto Receivables Trust | ||||
2015-4 | 2.970% | 3/15/21 | 400 | 400 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-1 | 2.470% | 12/15/20 | 159 | 159 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 1.560% | 5/15/20 | 152 | 152 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.080% | 2/16/21 | 170 | 170 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.660% | 11/15/21 | 110 | 110 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 1.890% | 6/15/21 | 540 | 538 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-3 | 2.460% | 3/15/22 | 5,440 | 5,405 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-1 | 1.490% | 2/18/20 | 1,816 | 1,815 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-1 | 1.770% | 9/15/20 | 2,740 | 2,735 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-2 | 1.600% | 3/16/20 | 9,067 | 9,059 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-2 | 2.210% | 10/15/21 | 11,000 | 10,939 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 1.670% | 6/15/20 | 7,914 | 7,897 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 1.870% | 6/15/21 | 9,280 | 9,224 | |
5 | Santander Drive Auto Receivables Trust | ||||
2017-3 | 2.190% | 3/15/22 | 15,000 | 14,805 | |
5 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.100% | 11/16/20 | 17,000 | 16,937 |
5 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.320% | 8/16/21 | 9,700 | 9,633 | |
5 | Santander Drive Auto Receivables Trust | ||||
2018-1 | 2.630% | 7/15/22 | 12,500 | 12,349 | |
5 | Santander Drive Auto Receivables Trust | ||||
2018-2 | 3.030% | 9/15/22 | 22,000 | 21,950 | |
5,6 | Santander Retail Auto Lease Trust 2017-A | 2.020% | 3/20/20 | 28,000 | 27,847 |
5,6 | Santander Retail Auto Lease Trust 2018-A | 2.930% | 5/20/21 | 12,600 | 12,562 |
5,6 | Securitized Term Auto Receivables Trust | ||||
2017-1A | 1.510% | 4/25/19 | 3,003 | 2,998 | |
5,6 | Securitized Term Auto Receivables Trust | ||||
2017-2A | 1.775% | 1/27/20 | 11,738 | 11,679 | |
5,6 | Securitized Term Auto Receivables Trust | ||||
2017-2A | 2.040% | 4/26/21 | 6,430 | 6,305 | |
5,6,8Securitized Term Auto Receivables Trust | |||||
2018-1A | 2.807% | 12/29/20 | 25,000 | 25,000 | |
5,6 | SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 27 | 28 |
5,6 | SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 1,360 | 1,362 |
4,5,6SLM Private Education Loan Trust 2013-A | 2.947% | 5/17/27 | 626 | 628 | |
5,6 | SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 68 | 68 |
4,5,6SLM Private Education Loan Trust 2013-C | 3.297% | 10/15/31 | 5,193 | 5,231 | |
7 | SLM Student Loan Trust 2005-5 | 2.460% | 4/25/25 | 16 | 16 |
5 | SMART ABS Series 2016-2US Trust | 1.450% | 8/14/19 | 3,101 | 3,106 |
4,6 | SMB Private Education Loan Trust 2016-C | 2.447% | 11/15/23 | 1,717 | 1,718 |
4,6 | SMB Private Education Loan Trust 2017-A | 2.347% | 6/17/24 | 2,127 | 2,128 |
4,6 | SMB Private Education Loan Trust 2018-A | 1.930% | 3/16/26 | 40,000 | 40,000 |
5,6 | SoFi Professional Loan Program 2016-B LLC | 1.680% | 3/25/31 | 133 | 133 |
5,6 | SoFi Professional Loan Program 2016-C LLC | 1.480% | 5/26/31 | 452 | 450 |
5,6 | SoFi Professional Loan Program 2016-D LLC | 1.530% | 4/25/33 | 1,860 | 1,851 |
5,6 | SoFi Professional Loan Program 2016-E LLC | 1.630% | 1/25/36 | 1,056 | 1,049 |
5,6 | SoFi Professional Loan Program 2017-A LLC | 1.550% | 3/26/40 | 2,282 | 2,263 |
5,6 | SoFi Professional Loan Program 2017-B LLC | 1.830% | 5/25/40 | 4,450 | 4,418 |
5,6 | SoFi Professional Loan Program 2017-C LLC | 1.750% | 7/25/40 | 4,313 | 4,277 |
5,6 | SoFi Professional Loan Program 2017-D LLC | 1.720% | 9/25/40 | 6,402 | 6,360 |
5,6 | SoFi Professional Loan Program 2017-E LLC | 1.860% | 11/26/40 | 11,742 | 11,595 |
5,6 | SoFi Professional Loan Program 2017-F LLC | 2.050% | 1/25/41 | 7,682 | 7,619 |
5,6 | SoFi Professional Loan Program 2018-A LLC | 2.390% | 2/25/42 | 7,916 | 7,864 |
5,6 | SoFi Professional Loan Program 2018-B LLC | 2.640% | 8/25/47 | 39,618 | 39,460 |
5 | Synchrony Credit Card Master Note Trust | ||||
2015-3 | 1.740% | 9/15/21 | 2,750 | 2,742 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2015-3 | 1.940% | 9/15/21 | 9,209 | 9,188 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2016-1 | 2.390% | 3/15/22 | 1,180 | 1,176 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.580% | 9/15/22 | 4,640 | 4,565 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2016-3 | 1.910% | 9/15/22 | 3,190 | 3,144 | |
5,6 | TCF Auto Receivables Owner Trust 2016-PT1 | 1.930% | 6/15/22 | 21,410 | 21,201 |
5,6 | Tesla Auto Lease Trust 2018-A | 2.320% | 12/20/19 | 4,340 | 4,323 |
5,6 | Tesla Auto Lease Trust 2018-A | 2.750% | 2/20/20 | 320 | 318 |
5,6 | Tesla Auto Lease Trust 2018-A | 2.970% | 4/20/20 | 260 | 258 |
5,6 | Tesla Auto Lease Trust 2018-A | 3.300% | 5/20/20 | 290 | 288 |
5,6 | Tesla Auto Lease Trust 2018-A | 4.940% | 3/22/21 | 350 | 348 |
5,6,8Tidewater Auto Receivables Trust 2018-AA | 3.120% | 7/15/22 | 4,290 | 4,290 | |
6 | Toronto-Dominion Bank | 1.950% | 4/2/20 | 15,081 | 14,778 |
5,6 | Trip Rail Master Funding LLC 2017-1A | 2.709% | 8/15/47 | 883 | 870 |
5 | USAA Auto Owner Trust 2015-1 | 1.540% | 11/16/20 | 98 | 98 |
5,6 | Verizon Owner Trust 2017-1A | 2.060% | 9/20/21 | 8,500 | 8,403 |
5,6 | Verizon Owner Trust 2017-2A | 1.920% | 12/20/21 | 35,000 | 34,492 |
5,6 | Verizon Owner Trust 2017-3 | 2.060% | 4/20/22 | 7,500 | 7,379 |
5,6 | Verizon Owner Trust 2018-1 | 2.820% | 9/20/22 | 17,500 | 17,432 |
5,6 | Volvo Financial Equipment LLC Series 2016- | ||||
1A | 1.890% | 9/15/20 | 160 | 158 | |
5,6 | Volvo Financial Equipment LLC Series 2017- | ||||
1A | 1.920% | 3/15/21 | 6,000 | 5,938 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 1.676% | 7/15/46 | 92 | 92 | |
6 | Westpac Banking Corp. | 1.375% | 5/30/18 | 6,500 | 6,498 |
5 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 2.900% | 8/15/46 | 28 | 28 | |
5 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 3.027% | 12/15/46 | 97 | 97 | |
5,6 | Wheels SPV 2 LLC 2016-1A | 1.590% | 5/20/25 | 748 | 744 |
5,6 | Wheels SPV 2 LLC 2017-1A | 1.880% | 4/20/26 | 19,300 | 19,109 |
5,6 | Wheels SPV LLC | 1.810% | 4/22/24 | 189 | 188 |
5 | World Omni Auto Receivables Trust 2016-A | 1.770% | 9/15/21 | 406 | 403 |
5 | World Omni Auto Receivables Trust 2016-B | 1.100% | 1/15/20 | 1,054 | 1,053 |
5 | World Omni Automobile Lease Securitization | ||||
Trust 2017-A | 2.320% | 8/15/22 | 1,530 | 1,512 | |
5 | World Omni Automobile Lease Securitization | ||||
Trust 2018-A | 2.590% | 11/16/20 | 35,000 | 34,931 | |
5 | World Omni Automobile Lease Securitization | ||||
Trust 2018-A | 2.830% | 7/15/21 | 13,950 | 13,901 | |
5 | World Omni Automobile Lease Securitization | ||||
Trust 2018-A | 2.940% | 5/15/23 | 4,350 | 4,334 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,706,630) | 1,698,138 | ||||
Corporate Bonds (30.8%) | |||||
Finance (8.9%) | |||||
Banking (8.5%) | |||||
American Express Credit Corp. | 1.800% | 7/31/18 | 645 | 644 | |
American Express Credit Corp. | 1.700% | 10/30/19 | 2,000 | 1,966 | |
6 | Australia & New Zealand Banking Group Ltd. | 2.250% | 12/19/19 | 6,605 | 6,539 |
Bank of America Corp. | 2.600% | 1/15/19 | 4,035 | 4,036 | |
Bank of America Corp. | 2.650% | 4/1/19 | 750 | 750 | |
Bank of Nova Scotia | 1.650% | 6/14/19 | 200 | 197 | |
Bank of Nova Scotia | 2.228% | 12/11/19 | 13,130 | 12,973 | |
6 | Banque Federative du Credit Mutuel SA | 2.000% | 4/12/19 | 9,020 | 8,953 |
Branch Banking & Trust Co. | 2.100% | 1/15/20 | 8,500 | 8,370 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 300 | 299 | |
Capital One NA | 2.350% | 8/17/18 | 2,090 | 2,089 | |
Citigroup Inc. | 1.750% | 5/1/18 | 3,000 | 3,000 | |
Citigroup Inc. | 2.500% | 9/26/18 | 1,500 | 1,500 | |
Citigroup Inc. | 2.050% | 12/7/18 | 1,500 | 1,496 | |
Citigroup Inc. | 2.550% | 4/8/19 | 625 | 625 | |
6 | Commonwealth Bank of Australia | 4.650% | 6/15/18 | 9,200 | 9,223 |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 4,200 | 4,184 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 5,650 | 5,631 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 14,500 | 14,464 | |
6 | Danske Bank A/S | 1.650% | 9/6/19 | 1,500 | 1,474 |
Discover Bank | 2.600% | 11/13/18 | 4,400 | 4,398 | |
Fifth Third Bancorp | 4.500% | 6/1/18 | 529 | 530 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 11,355 | 11,373 | |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 748 | 748 |
Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 2,755 | 2,723 | |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 1,043 | 1,043 | |
Huntington National Bank | 2.200% | 11/6/18 | 1,300 | 1,297 | |
6 | ING Bank NV | 2.050% | 8/17/18 | 1,610 | 1,607 |
6 | ING Bank NV | 2.300% | 3/22/19 | 2,380 | 2,368 |
7 | Intesa Sanpaolo SPA | 2.983% | 7/17/19 | 17,000 | 17,010 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 3,500 | 3,499 | |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 3,000 | 3,104 | |
KeyBank NA | 1.600% | 8/22/19 | 1,800 | 1,771 | |
Lloyds Bank plc | 2.300% | 11/27/18 | 4,250 | 4,245 | |
Mizuho Bank Ltd. | 2.340% | 12/4/19 | 9,720 | 9,606 | |
Morgan Stanley | 2.500% | 1/24/19 | 7,322 | 7,314 | |
Morgan Stanley | 2.450% | 2/1/19 | 27,213 | 27,184 | |
6 | MUFG Bank Ltd. | 2.700% | 9/9/18 | 1,000 | 1,000 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 35,590 | 35,346 | |
National Australia Bank Ltd. | 1.875% | 7/23/18 | 760 | 759 | |
National Australia Bank Ltd. | 2.250% | 1/10/20 | 8,000 | 7,891 | |
National Bank of Canada | 2.100% | 12/14/18 | 2,100 | 2,095 | |
PNC Bank NA | 1.700% | 12/7/18 | 4,000 | 3,987 | |
PNC Bank NA | 1.450% | 7/29/19 | 2,600 | 2,557 | |
Royal Bank of Canada | 1.800% | 7/30/18 | 2,395 | 2,392 | |
Royal Bank of Canada | 2.150% | 3/15/19 | 6,936 | 6,902 | |
Royal Bank of Canada | 1.500% | 7/29/19 | 2,500 | 2,459 | |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 1,214 | 1,211 | |
6 | Skandinaviska Enskilda Banken AB | 2.375% | 11/20/18 | 2,800 | 2,797 |
6 | Skandinaviska Enskilda Banken AB | 2.375% | 3/25/19 | 720 | 719 |
State Street Corp. | 1.350% | 5/15/18 | 350 | 350 | |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 1,700 | 1,698 | |
Sumitomo Mitsui Banking Corp. | 2.092% | 10/18/19 | 6,000 | 5,910 | |
Sumitomo Mitsui Banking Corp. | 2.514% | 1/17/20 | 6,675 | 6,609 | |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 6,860 | 6,851 | |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 5,000 | 4,969 | |
6 | Swedbank AB | 2.375% | 2/27/19 | 1,061 | 1,058 |
Synchrony Financial | 2.600% | 1/15/19 | 9,325 | 9,307 | |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 1,100 | 1,101 | |
6,7 | UBS AG | 2.355% | 12/7/18 | 14,000 | 14,014 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 11,000 | 10,968 | |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 1,600 | 1,585 | |
Wells Fargo Bank NA | 2.150% | 12/6/19 | 470 | 465 | |
Westpac Banking Corp. | 2.250% | 1/17/19 | 7,244 | 7,217 | |
Westpac Banking Corp. | 1.650% | 5/13/19 | 6,500 | 6,419 | |
Westpac Banking Corp. | 1.600% | 8/19/19 | 3,000 | 2,951 | |
Insurance (0.4%) | |||||
Aetna Inc. | 1.700% | 6/7/18 | 1,700 | 1,699 | |
6 | AIA GROUP Ltd. | 2.250% | 3/11/19 | 1,430 | 1,421 |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 8,305 | 8,302 | |
6 | Metropolitan Life Global Funding I | 1.350% | 9/14/18 | 1,361 | 1,356 |
6 | Pricoa Global Funding I | 1.900% | 9/21/18 | 1,735 | 1,730 |
6 | Reliance Standard Life Global Funding II | 2.150% | 10/15/18 | 1,560 | 1,556 |
Real Estate Investment Trusts (0.0%) | |||||
HCP Inc. | 3.750% | 2/1/19 | 165 | 166 | |
356,050 | |||||
Industrial (18.2%) | |||||
Basic Industry (1.5%) | |||||
6 | Air Liquide Finance SA | 1.375% | 9/27/19 | 4,000 | 3,915 |
Dow Chemical Co. | 5.700% | 5/15/18 | 5,735 | 5,741 | |
Dow Chemical Co. | 8.550% | 5/15/19 | 3,555 | 3,759 | |
Ecolab Inc. | 2.000% | 1/14/19 | 1,875 | 1,865 | |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 11,350 | 11,519 | |
Nutrien Ltd. | 6.750% | 1/15/19 | 15,544 | 15,958 | |
RPM International Inc. | 6.125% | 10/15/19 | 2,314 | 2,411 | |
WestRock RKT Co. | 4.450% | 3/1/19 | 15,930 | 16,109 | |
Capital Goods (1.4%) | |||||
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 1,400 | 1,464 | |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 510 | 527 | |
Fortive Corp. | 1.800% | 6/15/19 | 1,600 | 1,580 | |
General Electric Co. | 6.000% | 8/7/19 | 13,977 | 14,479 | |
General Electric Co. | 4.375% | 9/16/20 | 20,000 | 20,529 | |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 11,524 | 11,538 | |
Parker-Hannifin Corp. | 6.550% | 7/15/18 | 1,905 | 1,920 | |
6 | Siemens Financieringsmaatschappij NV | 1.300% | 9/13/19 | 2,500 | 2,448 |
Communication (2.0%) | |||||
America Movil SAB de CV | 5.000% | 10/16/19 | 25,042 | 25,697 | |
AT&T Inc. | 5.150% | 2/14/50 | 17,000 | 17,191 | |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 3,500 | 3,542 | |
Discovery Communications LLC | 2.200% | 9/20/19 | 9,000 | 8,887 | |
Moody's Corp. | 2.750% | 7/15/19 | 3,000 | 2,994 | |
Orange SA | 2.750% | 2/6/19 | 800 | 800 | |
Orange SA | 1.625% | 11/3/19 | 2,200 | 2,156 | |
S&P Global Inc. | 2.500% | 8/15/18 | 1,800 | 1,799 | |
Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 6,000 | 6,216 | |
Time Warner Cable LLC | 6.750% | 7/1/18 | 8,000 | 8,059 | |
Consumer Cyclical (3.7%) | |||||
6 | Alimentation Couche-Tard Inc. | 2.350% | 12/13/19 | 16,000 | 15,771 |
American Honda Finance Corp. | 1.700% | 2/22/19 | 5,988 | 5,945 | |
6 | BMW US Capital LLC | 1.500% | 4/11/19 | 800 | 792 |
6 | BMW US Capital LLC | 1.450% | 9/13/19 | 3,000 | 2,945 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 300 | 300 | |
General Motors Co. | 3.500% | 10/2/18 | 1,592 | 1,598 | |
7 | General Motors Financial Co. Inc. | 4.408% | 1/15/19 | 882 | 892 |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 7,000 | 6,961 | |
7 | General Motors Financial Co. Inc. | 3.250% | 5/9/19 | 7,010 | 7,082 |
6 | Harley-Davidson Financial Services Inc. | 2.250% | 1/15/19 | 9,550 | 9,527 |
6 | Harley-Davidson Financial Services Inc. | 2.400% | 9/15/19 | 8,825 | 8,737 |
6 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 8,000 | 7,845 |
6 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 4,684 | 4,708 |
6 | Hyundai Capital America | 2.875% | 8/9/18 | 4,250 | 4,247 |
Marriott International Inc. | 6.750% | 5/15/18 | 3,775 | 3,781 | |
Marriott International Inc. | 3.000% | 3/1/19 | 12,450 | 12,461 | |
6 | Nissan Motor Acceptance Corp. | 2.650% | 9/26/18 | 4,729 | 4,729 |
6 | Nissan Motor Acceptance Corp. | 2.350% | 3/4/19 | 6,791 | 6,766 |
6 | Nissan Motor Acceptance Corp. | 2.000% | 3/8/19 | 5,850 | 5,812 |
6 | Nissan Motor Acceptance Corp. | 1.550% | 9/13/19 | 12,500 | 12,259 |
6,7 | Nissan Motor Acceptance Corp. | 2.609% | 9/13/19 | 3,578 | 3,587 |
6 | Volkswagen Group of America Finance LLC | 1.650% | 5/22/18 | 7,940 | 7,935 |
6 | Volkswagen Group of America Finance LLC | 2.125% | 5/23/19 | 1,500 | 1,489 |
Walgreen Co. | 5.250% | 1/15/19 | 3,914 | 3,972 | |
7 | Western Union Co. | 2.704% | 5/22/19 | 8,000 | 8,016 |
Consumer Noncyclical (3.0%) | ||||
Abbott Laboratories | 2.350% | 11/22/19 | 1,574 | 1,560 |
AbbVie Inc. | 1.800% | 5/14/18 | 7,064 | 7,063 |
AbbVie Inc. | 2.000% | 11/6/18 | 800 | 799 |
Altria Group Inc. | 9.700% | 11/10/18 | 6,821 | 7,065 |
Amgen Inc. | 6.150% | 6/1/18 | 944 | 947 |
Anheuser-Busch InBev Worldwide Inc. | 2.200% | 8/1/18 | 1,125 | 1,125 |
Baxalta Inc. | 2.000% | 6/22/18 | 5,250 | 5,247 |
7 Campbell Soup Co. | 2.645% | 3/16/20 | 15,000 | 15,032 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 1,222 | 1,220 |
Constellation Brands Inc. | 3.875% | 11/15/19 | 5,000 | 5,059 |
CVS Health Corp. | 1.900% | 7/20/18 | 2,800 | 2,797 |
CVS Health Corp. | 3.125% | 3/9/20 | 12,000 | 11,972 |
Express Scripts Holding Co. | 2.250% | 6/15/19 | 9,500 | 9,413 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 500 | 499 |
Hershey Co. | 1.600% | 8/21/18 | 1,100 | 1,096 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 8,000 | 8,087 |
Mylan Inc. | 2.550% | 3/28/19 | 1,081 | 1,075 |
Newell Brands Inc. | 2.600% | 3/29/19 | 977 | 973 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 7,000 | 7,009 |
Reynolds American Inc. | 2.300% | 6/12/18 | 7,600 | 7,599 |
Shire Acquisitions Investments Ireland DAC | 1.900% | 9/23/19 | 2,200 | 2,161 |
The Kroger Co. | 2.300% | 1/15/19 | 15,255 | 15,198 |
7 Tyson Foods Inc. | 2.434% | 5/30/19 | 7,000 | 7,013 |
Energy (3.0%) | ||||
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 8,550 | 8,967 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 2,475 | 2,575 |
BP Capital Markets plc | 1.375% | 5/10/18 | 8,000 | 7,999 |
BP Capital Markets plc | 2.241% | 9/26/18 | 2,900 | 2,902 |
BP Capital Markets plc | 4.750% | 3/10/19 | 24,350 | 24,757 |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 8,000 | 8,240 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 700 | 700 |
EOG Resources Inc. | 5.625% | 6/1/19 | 15,450 | 15,875 |
EQT Corp. | 8.125% | 6/1/19 | 5,500 | 5,788 |
Husky Energy Inc. | 7.250% | 12/15/19 | 16,000 | 16,999 |
Marathon Oil Corp. | 2.700% | 6/1/20 | 8,000 | 7,879 |
6 Schlumberger Holdings Corp. | 2.350% | 12/21/18 | 10,000 | 9,972 |
Shell International Finance BV | 1.375% | 9/12/19 | 3,000 | 2,943 |
Valero Energy Corp. | 9.375% | 3/15/19 | 4,200 | 4,431 |
Technology (3.1%) | ||||
Amphenol Corp. | 2.550% | 1/30/19 | 17,027 | 17,006 |
Broadcom Corp. / Broadcom Cayman Finance | ||||
Ltd. | 2.375% | 1/15/20 | 5,000 | 4,930 |
CA Inc. | 2.875% | 8/15/18 | 7,220 | 7,217 |
DXC Technology Co. | 2.875% | 3/27/20 | 6,000 | 5,954 |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 16,966 | 16,969 |
Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 8,405 | 8,417 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 2,415 | 2,421 |
NetApp Inc. | 2.000% | 9/27/19 | 15,455 | 15,234 |
7 QUALCOMM Inc. | 2.245% | 5/20/19 | 15,000 | 15,029 |
Total System Services Inc. | 2.375% | 6/1/18 | 9,117 | 9,114 |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 15,787 | 15,776 |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 4,457 | 4,417 |
Verisk Analytics Inc. | 4.875% | 1/15/19 | 2,536 | 2,565 |
Transportation (0.5%) | ||||
5 Burlington Northern and Santa Fe Railway Co. | ||||
1999-2 Pass Through Trust | 7.570% | 1/2/21 | 819 | 852 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 5,000 | 5,111 |
5 Continental Airlines 2001-1 Class A-1 Pass | ||||
Through Trust | 6.703% | 6/15/21 | 2,320 | 2,494 |
5 Continental Airlines 2009-2 Class A Pass | ||||
Through Trust | 7.250% | 5/10/21 | 1,134 | 1,193 |
5 Continental Airlines 2010-1 Class A Pass | ||||
Through Trust | 4.750% | 7/12/22 | 4,125 | 4,219 |
5 Delta Air Lines 2010-2 Class A Pass Through | ||||
Trust | 4.950% | 11/23/20 | 2,083 | 2,106 |
5 US Airways 2012-1 Class B Pass Through | ||||
Trust | 8.000% | 10/1/19 | 2,123 | 2,229 |
724,549 | ||||
Utilities (3.7%) | ||||
Electric (3.7%) | ||||
Arizona Public Service Co. | 2.200% | 1/15/20 | 1,100 | 1,085 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 900 | 922 |
Consumers Energy Co. | 5.650% | 9/15/18 | 2,221 | 2,245 |
Consumers Energy Co. | 6.125% | 3/15/19 | 125 | 129 |
Dominion Energy Inc. | 1.875% | 1/15/19 | 1,045 | 1,037 |
Dominion Energy Inc. | 5.200% | 8/15/19 | 130 | 134 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 723 | 741 |
Duke Energy Corp. | 6.250% | 6/15/18 | 642 | 645 |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 50 | 50 |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 305 | 313 |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 500 | 509 |
6 EDP Finance BV | 4.125% | 1/15/20 | 1,384 | 1,400 |
Emera US Finance LP | 2.150% | 6/15/19 | 3,000 | 2,971 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 580 | 587 |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 3,500 | 3,487 |
7 Florida Power & Light Co. | 2.069% | 11/6/20 | 8,300 | 8,297 |
Georgia Power Co. | 1.950% | 12/1/18 | 10,275 | 10,240 |
Georgia Power Co. | 4.250% | 12/1/19 | 5,500 | 5,620 |
National Rural Utilities Cooperative Finance | ||||
Corp. | 10.375% | 11/1/18 | 7,464 | 7,741 |
Nevada Power Co. | 7.125% | 3/15/19 | 24,848 | 25,740 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 12,407 | 12,565 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 1,400 | 1,388 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 500 | 501 |
PacifiCorp | 5.650% | 7/15/18 | 9,975 | 10,037 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 8,000 | 7,996 |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 6,633 | 6,710 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 1,968 | 2,004 |
Southern Co. | 1.550% | 7/1/18 | 1,210 | 1,208 |
Tampa Electric Co. | 6.100% | 5/15/18 | 9,120 | 9,132 |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 17,000 | 16,985 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 5,000 | 4,997 |
Natural Gas (0.0%) | ||||
Atmos Energy Corp. | 8.500% | 3/15/19 | 1,280 | 1,341 |
148,757 | ||||
Total Corporate Bonds (Cost $1,235,099) | 1,229,356 | |||
Sovereign Bonds (6.1%) | ||||
Abu Dhabi National Energy Co. PJSC | 6.250% | 9/16/19 | 7,375 | 7,652 |
AK Transneft OJSC Via TransCapitalInvest | |||||
Ltd. | 8.700% | 8/7/18 | 15,200 | 15,359 | |
Banco Nacional de Desenvolvimento | |||||
Economico e Social | 6.369% | 6/16/18 | 7,220 | 7,242 | |
Caixa Economica Federal | 4.250% | 5/13/19 | 6,000 | 6,045 | |
Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 4,000 | 4,070 | |
Corp. Nacional del Cobre de Chile | 7.500% | 1/15/19 | 2,200 | 2,263 | |
6 | Corp. Nacional del Cobre de Chile | 7.500% | 1/15/19 | 8,310 | 8,543 |
Ecopetrol SA | 7.625% | 7/23/19 | 15,000 | 15,824 | |
Export-Import Bank of India | 3.875% | 10/2/19 | 4,800 | 4,829 | |
Export-Import Bank of Korea | 2.250% | 1/21/20 | 6,640 | 6,523 | |
First Abu Dhabi Bank PJSC | 3.000% | 8/13/19 | 7,000 | 6,990 | |
6 | Gazprom OAO Via Gaz Capital SA | 9.250% | 4/23/19 | 1,500 | 1,573 |
ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 2,050 | 2,025 | |
ICBCIL Finance Co. Ltd. | 2.125% | 9/29/19 | 2,670 | 2,615 | |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 5,300 | 5,340 | |
7 | Korea Development Bank | 2.852% | 9/19/20 | 10,325 | 10,338 |
7 | Korea Development Bank | 2.621% | 3/12/21 | 10,000 | 9,988 |
Majapahit Holding BV | 8.000% | 8/7/19 | 8,279 | 8,794 | |
North American Development Bank | 2.300% | 10/10/18 | 300 | 299 | |
Ooredoo Tamweel Ltd. | 3.039% | 12/3/18 | 7,300 | 7,294 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 17,653 | 18,462 | |
Petronal Capital Ltd. | 5.250% | 8/12/19 | 3,309 | 3,396 | |
Petronas Capital Ltd. | 5.250% | 8/12/19 | 20,000 | 20,527 | |
Republic of Colombia | 7.375% | 3/18/19 | 17,000 | 17,648 | |
Republic of Croatia | 6.750% | 11/5/19 | 6,000 | 6,294 | |
Republic of Hungary | 6.250% | 1/29/20 | 422 | 443 | |
Republic of Poland | 6.375% | 7/15/19 | 1,000 | 1,043 | |
Republic of Serbia | 5.875% | 12/3/18 | 17,000 | 17,228 | |
Republic of Slovenia | 4.125% | 2/18/19 | 5,000 | 5,047 | |
State Grid Overseas Investment 2014 Ltd. | 2.750% | 5/7/19 | 15,000 | 14,949 | |
State of Qatar | 5.250% | 1/20/20 | 5,000 | 5,152 | |
Total Sovereign Bonds (Cost $244,751) | 243,795 | ||||
Taxable Municipal Bonds (0.1%) | |||||
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-EGSL | 3.220% | 2/1/21 | 56 | 56 | |
San Jose California Redevelopment Agency | |||||
Successor Agency Tax Allocation | 1.898% | 8/1/18 | 2,424 | 2,423 | |
Total Taxable Municipal Bonds (Cost $2,481) | 2,479 | ||||
Shares | |||||
Temporary Cash Investments (16.0%) | |||||
Money Market Fund (8.6%) | |||||
9 | Vanguard Market Liquidity Fund | 1.886% | 3,426,101 | 342,610 | |
Face | |||||
Amount | |||||
($000) | |||||
Certificates of Deposit (1.2%) | |||||
Cooperatieve Rabobank UA | 1.980% | 10/25/19 | 12,735 | 12,558 | |
Royal Bank of Canada (New York Branch) | 1.610% | 9/19/18 | 17,000 | 16,942 | |
Westpac Banking Corp. (New York Branch) | 1.600% | 9/19/18 | 17,000 | 16,942 | |
46,442 | |||||
Commercial Paper (6.2%) | |||||
6,10 CNH Industrial Capital LLC | 2.779% | 6/5/18 | 5,600 | 5,586 |
6,10 CNH Industrial Capital LLC | 2.779% | 6/6/18 | 800 | 798 | |
10 | CNH Industrial Capital LLC | 3.023% | 7/9/18 | 6,400 | 6,363 |
10 | CNH Industrial Capital LLC | 3.023% | 7/10/18 | 1,600 | 1,591 |
6,10 Enbridge US Inc. | 3.074% | 7/9/18 | 20,000 | 19,882 | |
6,10 Energy Transfer LP | 3.003% | 6/12/18 | 20,000 | 19,930 | |
10 | Engie SA | 1.937% | 11/8/18 | 2,390 | 2,363 |
6,10 Eni Finance USA Inc. | 2.490% | 2/1/19 | 19,000 | 18,583 | |
6,10 ERP Operating LP | 2.339% | 10/1/18 | 34,000 | 33,661 | |
6,10 Ford Motor Credit Co. LLC | 2.010% | 8/20/18 | 4,000 | 3,970 | |
10 | Ford Motor Credit Co. LLC | 2.041% | 11/5/18 | 7,000 | 6,903 |
JP Morgan Securities LLC | 1.730% | 10/1/18 | 12,000 | 11,879 | |
6,10 JP Morgan Securities LLC | 2.344% | 1/28/19 | 6,500 | 6,372 | |
10 | Schlumberger Holdings Corp. | 1.957% | 6/18/18 | 20,000 | 19,930 |
6,10 Sempra Global | 2.687% | 7/12/18 | 20,000 | 19,893 | |
6,10 Suncor Energy Inc. | 1.980% | 5/4/18 | 17,000 | 16,998 | |
6,10 Suncor Energy Inc. | 2.668% | 7/10/18 | 4,000 | 3,979 | |
6,10 UBS AG | 1.812% | 10/12/18 | 12,000 | 11,864 | |
10 | UBS AG | 2.270% | 1/11/19 | 7,000 | 6,877 |
6,10 Vodafone Group plc | 1.770% | 9/4/18 | 8,000 | 7,948 | |
6,10 Vodafone Group plc | 1.812% | 9/25/18 | 8,000 | 7,938 | |
6,10 Walgreens Boots Alliance Inc. | 2.179% | 6/18/18 | 12,000 | 11,963 | |
6,10 Walgreens Boots Alliance Inc. | 2.220% | 7/9/18 | 2,000 | 1,991 | |
247,262 | |||||
Total Temporary Cash Investments (Cost $636,804) | 636,314 | ||||
Total Investments (101.3%) (Cost $4,054,076) | 4,037,709 | ||||
Other Assets and Liabilities-Net (-1.3%) | (50,125) | ||||
Net Assets (100%) | 3,987,584 |
1 Securities with a value of $883,000 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 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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 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, 2018, the aggregate
value of these securities was $1,518,370,000, representing 38.1% of net assets.
7 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
8 Security value determined using significant unobservable inputs.
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,
2018, the aggregate value of these securities was $235,383,000, representing 5.9% of net assets.
REMICS—Real Estate Mortgage Investment Conduits.
Ultra-Short-Term Bond Fund
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | June 2018 | 2,030 | 430,455 | (473) |
Short Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2018 | (351) | (39,841) | 236 |
Ultra 10-Year U.S. Treasury Note | June 2018 | (3) | (384) | 1 |
10-Year U.S. Treasury Note | June 2018 | (2) | (239) | 1 |
238 | ||||
(235) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
Over-the-Counter Credit Default Swaps | |||||||
Remaining | |||||||
Periodic | Up-Front | ||||||
Premium | Premium | Unrealized | |||||
Notional | Received | Received | Appreciation | ||||
Termination | Amount | (Paid) | Value | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | ($000) |
Credit Protection Sold/Moody's Rating | |||||||
Berkshire | |||||||
Hathaway | |||||||
Inc./Aa2 | 12/20/21 | GSI | 5,000 | 1.0001 | 94 | (30) | 64 |
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 Periodic premium received/paid quarterly.
GSI--Goldman Sachs International.
Unrealized appreciation (depreciation) on open swap contracts is generally treated the same for financial reporting and tax purposes.
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
Ultra-Short-Term Bond Fund
(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 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of April 30, 2018, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 227,627 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,636,701 | 61,437 |
Corporate Bonds | — | 1,229,356 | — |
Sovereign Bonds | — | 243,795 | — |
Taxable Municipal Bonds | — | 2,479 | — |
Temporary Cash Investments | 342,610 | 293,704 | — |
Futures Contracts—Assets1 | 3 | — | — |
Futures Contracts—Liabilities1 | (61) | — | — |
Swap Contracts—Assets | — | 64 | — |
Total | 342,552 | 3,633,726 | 61,437 |
1 Represents variation margin on the last day of the reporting period. |
Ultra-Short-Term Bond Fund
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 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, 2018. 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, 2018 | 6,400 |
Purchases | 61,437 |
Transfers into Level 3 | — |
Transfers out of Level 3 | (6,400)¹ |
Balance as of April 30, 2018 | 61,437 |
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, 2018:
Security Type | Fair Value | Valuation | Unobservable | Price Range |
($000) | Technique | Input | ||
Asset- | 61,437 | Market Approach | Recent Purchase | $99.984- |
Backed/Commercial | Price | $100.000 | ||
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 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
Ultra-Short-Term Bond Fund
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 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).
E. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The 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
Ultra-Short-Term Bond Fund
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.
F. At April 30, 2018, the cost of investment securities for tax purposes was $4,054,218,000. Net unrealized depreciation of investment securities for tax purposes was $16,509,000, consisting of unrealized gains of $475,000 on securities that had risen in value since their purchase and $16,984,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Real Estate II Index Fund
Schedule of Investments (unaudited)
As of April 30, 2018
Market | ||
Value | ||
Shares | ($000) | |
Equity Real Estate Investment Trusts (REITs) (97.7%) | ||
Diversified REITs (6.2%) | ||
WP Carey Inc. | 710,714 | 45,379 |
VEREIT Inc. | 6,472,413 | 44,013 |
Liberty Property Trust | 978,983 | 40,941 |
STORE Capital Corp. | 1,135,597 | 28,651 |
Forest City Realty Trust Inc. Class A | 1,415,391 | 28,393 |
Spirit Realty Capital Inc. | 3,033,654 | 24,421 |
Gramercy Property Trust | 1,036,217 | 24,351 |
Colony NorthStar Inc. Class A | 3,452,915 | 21,097 |
PS Business Parks Inc. | 135,585 | 15,630 |
Empire State Realty Trust Inc. | 890,820 | 15,518 |
Washington REIT | 515,423 | 14,803 |
Lexington Realty Trust | 1,438,179 | 11,563 |
Alexander & Baldwin Inc. | 399,120 | 9,140 |
Select Income REIT | 445,505 | 8,447 |
Global Net Lease Inc. | 446,913 | 8,317 |
American Assets Trust Inc. | 234,377 | 7,868 |
Investors Real Estate Trust | 800,566 | 4,267 |
* iStar Inc. | 420,189 | 4,261 |
Armada Hoffler Properties Inc. | 298,040 | 4,044 |
Gladstone Commercial Corp. | 183,580 | 3,183 |
One Liberty Properties Inc. | 92,844 | 2,206 |
366,493 | ||
Health Care REITs (9.6%) | ||
Welltower Inc. | 2,454,739 | 131,181 |
Ventas Inc. | 2,366,018 | 121,661 |
HCP Inc. | 3,114,999 | 72,766 |
^ Omega Healthcare Investors Inc. | 1,311,998 | 34,086 |
Healthcare Trust of America Inc. Class A | 1,345,798 | 33,631 |
Medical Properties Trust Inc. | 2,419,285 | 30,918 |
Senior Housing Properties Trust | 1,579,204 | 24,588 |
Healthcare Realty Trust Inc. | 824,850 | 22,956 |
Sabra Health Care REIT Inc. | 1,174,687 | 21,508 |
National Health Investors Inc. | 273,997 | 18,706 |
Physicians Realty Trust | 1,184,314 | 17,694 |
* Quality Care Properties Inc. | 622,373 | 13,674 |
LTC Properties Inc. | 262,503 | 9,489 |
CareTrust REIT Inc. | 503,755 | 6,655 |
Universal Health Realty Income Trust | 86,211 | 5,167 |
New Senior Investment Group Inc. | 545,339 | 4,701 |
Community Healthcare Trust Inc. | 63,926 | 1,630 |
MedEquities Realty Trust Inc. | 87,974 | 896 |
571,907 | ||
Hotel & Resort REITs (6.3%) | ||
Host Hotels & Resorts Inc. | 4,913,850 | 96,115 |
Park Hotels & Resorts Inc. | 1,194,943 | 34,390 |
Hospitality Properties Trust | 1,092,283 | 27,176 |
Apple Hospitality REIT Inc. | 1,407,761 | 25,326 |
RLJ Lodging Trust | 1,160,235 | 24,098 |
Ryman Hospitality Properties Inc. | 306,138 | 23,995 | |
Sunstone Hotel Investors Inc. | 1,494,710 | 23,317 | |
LaSalle Hotel Properties | 749,632 | 22,167 | |
Pebblebrook Hotel Trust | 457,017 | 15,991 | |
DiamondRock Hospitality Co. | 1,328,477 | 14,680 | |
Xenia Hotels & Resorts Inc. | 709,310 | 14,605 | |
MGM Growth Properties LLC Class A | 463,641 | 12,968 | |
Chesapeake Lodging Trust | 399,250 | 11,794 | |
Summit Hotel Properties Inc. | 692,437 | 10,026 | |
Chatham Lodging Trust | 301,047 | 5,735 | |
Hersha Hospitality Trust Class A | 276,484 | 5,192 | |
Ashford Hospitality Trust Inc. | 647,537 | 4,455 | |
* | Braemar Hotels & Resorts Inc. | 169,523 | 1,763 |
373,793 | |||
Industrial REITs (7.3%) | |||
Prologis Inc. | 3,536,983 | 229,586 | |
Duke Realty Corp. | 2,365,283 | 64,099 | |
DCT Industrial Trust Inc. | 618,623 | 40,563 | |
First Industrial Realty Trust Inc. | 796,179 | 24,769 | |
EastGroup Properties Inc. | 228,109 | 20,480 | |
STAG Industrial Inc. | 618,228 | 15,190 | |
Rexford Industrial Realty Inc. | 493,020 | 15,062 | |
Terreno Realty Corp. | 354,297 | 13,162 | |
Monmouth Real Estate Investment Corp. | 450,442 | 7,040 | |
429,951 | |||
Office REITs (11.9%) | |||
Boston Properties Inc. | 1,025,897 | 124,554 | |
Alexandria Real Estate Equities Inc. | 628,723 | 78,320 | |
Vornado Realty Trust | 1,134,433 | 77,176 | |
SL Green Realty Corp. | 654,967 | 64,017 | |
Kilroy Realty Corp. | 653,942 | 46,868 | |
Douglas Emmett Inc. | 1,047,667 | 39,047 | |
Hudson Pacific Properties Inc. | 1,034,620 | 34,008 | |
Highwoods Properties Inc. | 685,917 | 30,194 | |
* | Equity Commonwealth | 824,571 | 25,553 |
Cousins Properties Inc. | 2,787,935 | 24,785 | |
JBG SMITH Properties | 627,704 | 23,143 | |
Paramount Group Inc. | 1,351,951 | 19,401 | |
Corporate Office Properties Trust | 684,891 | 18,841 | |
Brandywine Realty Trust | 1,163,899 | 18,750 | |
Piedmont Office Realty Trust Inc. Class A | 962,454 | 17,247 | |
Columbia Property Trust Inc. | 800,541 | 17,100 | |
Mack-Cali Realty Corp. | 567,352 | 9,741 | |
Government Properties Income Trust | 647,132 | 8,083 | |
Tier REIT Inc. | 317,721 | 6,040 | |
Easterly Government Properties Inc. | 273,297 | 5,633 | |
Franklin Street Properties Corp. | 676,735 | 5,265 | |
NorthStar Realty Europe Corp. | 348,573 | 5,054 | |
*,^ New York REIT Inc. | 111,620 | 2,413 | |
City Office REIT Inc. | 103,442 | 1,177 | |
702,410 | |||
Residential REITs (14.8%) | |||
Equity Residential | 2,440,031 | 150,574 | |
AvalonBay Communities Inc. | 917,858 | 149,611 | |
Essex Property Trust Inc. | 438,683 | 105,148 | |
Mid-America Apartment Communities Inc. | 755,020 | 69,054 | |
UDR Inc. | 1,778,942 | 64,309 |
Camden Property Trust | 615,844 | 52,593 |
Sun Communities Inc. | 526,059 | 49,371 |
Equity LifeStyle Properties Inc. | 551,831 | 49,201 |
Invitation Homes Inc. | 2,069,372 | 47,885 |
Apartment Investment & Management Co. | 1,043,161 | 42,352 |
American Campus Communities Inc. | 906,609 | 35,458 |
American Homes 4 Rent Class A | 1,626,381 | 32,853 |
Education Realty Trust Inc. | 493,920 | 16,255 |
Independence Realty Trust Inc. | 547,612 | 5,148 |
Front Yard Residential Corp. | 336,692 | 3,306 |
NexPoint Residential Trust Inc. | 118,806 | 3,183 |
Preferred Apartment Communities Inc. Class A | 115,429 | 1,698 |
UMH Properties Inc. | 108,146 | 1,463 |
879,462 | ||
Retail REITs (16.4%) | ||
Simon Property Group Inc. | 2,065,992 | 322,997 |
Realty Income Corp. | 1,845,270 | 93,205 |
GGP Inc. | 3,960,855 | 79,177 |
Regency Centers Corp. | 1,017,394 | 59,874 |
Federal Realty Investment Trust | 481,142 | 55,740 |
Macerich Co. | 795,257 | 45,823 |
Kimco Realty Corp. | 2,824,160 | 40,979 |
National Retail Properties Inc. | 1,000,587 | 38,062 |
Brixmor Property Group Inc. | 2,023,817 | 30,135 |
Taubman Centers Inc. | 402,864 | 22,552 |
Weingarten Realty Investors | 810,064 | 22,252 |
Retail Properties of America Inc. | 1,521,384 | 17,557 |
Urban Edge Properties | 756,413 | 15,559 |
DDR Corp. | 2,073,316 | 15,031 |
^ Tanger Factory Outlet Centers Inc. | 627,883 | 13,782 |
Acadia Realty Trust | 555,336 | 13,106 |
Retail Opportunity Investments Corp. | 727,889 | 12,520 |
Agree Realty Corp. | 191,792 | 9,375 |
Kite Realty Group Trust | 555,490 | 8,177 |
Washington Prime Group Inc. | 1,229,279 | 7,953 |
Ramco-Gershenson Properties Trust | 526,819 | 6,295 |
Alexander's Inc. | 15,256 | 6,001 |
Seritage Growth Properties Class A | 168,675 | 6,000 |
Getty Realty Corp. | 222,920 | 5,584 |
^ CBL & Associates Properties Inc. | 1,130,759 | 4,727 |
^ Pennsylvania REIT | 462,696 | 4,479 |
Urstadt Biddle Properties Inc. Class A | 221,535 | 4,402 |
Saul Centers Inc. | 87,018 | 4,164 |
Whitestone REIT | 255,370 | 2,771 |
Cedar Realty Trust Inc. | 606,165 | 2,358 |
970,637 | ||
Specialized REITs (25.2%) | ||
Equinix Inc. | 518,766 | 218,291 |
Public Storage | 1,040,900 | 210,033 |
American Tower Corp. | 1,325,954 | 180,807 |
Digital Realty Trust Inc. | 1,364,519 | 144,216 |
Crown Castle International Corp. | 1,261,756 | 127,273 |
Weyerhaeuser Co. | 2,343,700 | 86,201 |
Extra Space Storage Inc. | 837,037 | 74,990 |
Iron Mountain Inc. | 1,768,266 | 60,015 |
* SBA Communications Corp. Class A | 368,107 | 58,982 |
Gaming and Leisure Properties Inc. | 1,342,012 | 45,991 |
CubeSmart | 1,199,136 | 35,302 | ||
CyrusOne Inc. | 575,389 | 30,835 | ||
Life Storage Inc. | 309,012 | 27,329 | ||
EPR Properties | 489,263 | 26,919 | ||
CoreSite Realty Corp. | 227,128 | 23,644 | ||
GEO Group Inc. | 824,522 | 18,552 | ||
Lamar Advertising Co. Class A | 260,855 | 16,619 | ||
CoreCivic Inc. | 785,289 | 15,831 | ||
VICI Properties Inc. | 841,800 | 15,304 | ||
Rayonier Inc. | 401,778 | 14,942 | ||
QTS Realty Trust Inc. Class A | 327,709 | 11,598 | ||
PotlatchDeltic Corp. | 187,130 | 9,703 | ||
^ | Uniti Group Inc. | 525,684 | 9,473 | |
Four Corners Property Trust Inc. | 406,264 | 9,206 | ||
National Storage Affiliates Trust | 327,995 | 8,633 | ||
Outfront Media Inc. | 432,304 | 8,106 | ||
InfraREIT Inc. | 137,337 | 2,927 | ||
CatchMark Timber Trust Inc. Class A | 149,434 | 1,949 | ||
^ | Farmland Partners Inc. | 100,646 | 767 | |
1,494,438 | ||||
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,179,841) | 5,789,091 | |||
Real Estate Management & Development (2.0%) | ||||
Diversified Real Estate Activities (0.1%) | ||||
* | St. Joe Co. | 145,961 | 2,518 | |
* | Five Point Holdings LLC Class A | 172,705 | 2,297 | |
* | Tejon Ranch Co. | 68,183 | 1,659 | |
RMR Group Inc. Class A | 18,727 | 1,393 | ||
7,867 | ||||
Real Estate Development (0.3%) | ||||
* | Howard Hughes Corp. | 126,943 | 17,175 | |
* | Forestar Group Inc. | 32,486 | 708 | |
17,883 | ||||
Real Estate Operating Companies (0.1%) | ||||
Kennedy-Wilson Holdings Inc. | 422,087 | 7,999 | ||
* | FRP Holdings Inc. | 21,413 | 1,231 | |
9,230 | ||||
Real Estate Services (1.5%) | ||||
* | CBRE Group Inc. Class A | 945,390 | 42,836 | |
Jones Lang LaSalle Inc. | 141,028 | 23,906 | ||
Realogy Holdings Corp. | 430,382 | 10,678 | ||
HFF Inc. Class A | 119,638 | 4,204 | ||
RE/MAX Holdings Inc. Class A | 54,690 | 2,961 | ||
* | Marcus & Millichap Inc. | 53,634 | 1,832 | |
*,^ Altisource Portfolio Solutions SA | 40,108 | 1,098 | ||
87,515 | ||||
Total Real Estate Management & Development (Cost $123,815) | 122,495 | |||
Total Common Stock (Cost $6,303,656) | 5,911,586 | |||
Coupon | ||||
Temporary Cash Investment (0.2%) | ||||
Money Market Fund (0.2%) | ||||
1,2 Vanguard Market Liquidity Fund (Cost $8,861) | 1.886% | 88,616 | 8,861 | |
Total Investments (99.9%) (Cost $6,312,517) | 5,920,447 | |||
Other Assets and Liabilities-Net (0.1%)2 | 6,376 | |||
Net Assets (100%) | 5,926,823 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,364,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
2 Includes $8,861,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
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. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
At April 30, 2018, 100% of the market value of the fund's investments was determined based on Level 1 inputs.
C. At April 30, 2018, the cost of investment securities for tax purposes was $6,312,517,000. Net unrealized depreciation of investment securities for tax purposes was $392,070,000, consisting of unrealized gains of $145,800,000 on securities that had risen in value since their purchase and $537,870,000 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 | |
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By: |
/s/ MORTIMER J. BUCKLEY* |
MORTIMER J. BUCKLEY | |
CHIEF EXECUTIVE OFFICER | |
Date: June 14, 2018 |
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/ MORTIMER J. BUCKLEY* |
MORTIMER J. BUCKLEY | |
CHIEF EXECUTIVE OFFICER | |
Date: June 14, 2018 | |
|
VANGUARD FIXED INCOME SECURITIES FUNDS |
|
|
By: |
/s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: June 14, 2018 |
*By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file Number 33-32216, Incorporated by Reference.