N-CSRS 1 tm2320210d1_ncsrs.htm N-CSRS

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-02368

 

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

 

Registrant’s telephone number, including area code: (610) 669-1000

 

Date of fiscal year end: January 31

 

Date of reporting period: February 1, 2023—July 31, 2023

 

 

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

Semiannual Report   |   July 31, 2023
Vanguard U.S. Government Bond Funds
Vanguard Short-Term Treasury Fund
Vanguard Short-Term Federal Fund
Vanguard Intermediate-Term Treasury Fund
Vanguard Long-Term Treasury Fund

 

Contents
About Your Fund’s Expenses
1
Short-Term Treasury Fund
3
Short-Term Federal Fund
18
Intermediate-Term Treasury Fund
33
Long-Term Treasury Fund
48
Trustees Approve Advisory Arrangements
63
Liquidity Risk Management
65

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $998.00 $0.99
Admiral™ Shares 1,000.00 998.50 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $997.30 $0.99
Admiral Shares 1,000.00 997.80 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $986.20 $0.98
Admiral Shares 1,000.00 986.70 0.49
Long-Term Treasury Fund      
Investor Shares $1,000.00 $951.90 $0.97
Admiral Shares 1,000.00 952.30 0.48
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Long-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

Short-Term Treasury Fund
Fund Allocation
As of July 31, 2023
Agency Bonds and Notes 1.0%
Government Mortgage-Backed Securities 12.6
U.S. Government Securities 86.4
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
3

 

Short-Term Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (101.4%)
U.S. Government Securities (87.6%)
  United States Treasury Note/Bond   0.375%           8/15/24  52,000    49,392
  United States Treasury Note/Bond   2.375%           8/15/24 169,000   163,904
  United States Treasury Note/Bond   1.250%           8/31/24  84,000    80,377
  United States Treasury Note/Bond   1.875%           8/31/24  85,600    82,457
  United States Treasury Note/Bond   0.625%          10/15/24  17,200    16,259
  United States Treasury Note/Bond   4.375%          10/31/24  65,000    64,269
  United States Treasury Note/Bond   0.750%          11/15/24  45,600    43,035
  United States Treasury Note/Bond   4.500%          11/30/24 268,000   265,278
  United States Treasury Note/Bond   1.000%          12/15/24 225,900   213,299
  United States Treasury Note/Bond   2.250%          12/31/24  37,000    35,508
  United States Treasury Note/Bond   4.250%          12/31/24  17,500    17,265
  United States Treasury Note/Bond   1.125%           1/15/25  53,200    50,183
  United States Treasury Note/Bond   2.500%           1/31/25  50,000    48,070
  United States Treasury Note/Bond   1.500%           2/15/25 280,988   265,841
  United States Treasury Note/Bond   2.000%           2/15/25  71,000    67,694
  United States Treasury Note/Bond   1.750%           3/15/25 298,000   282,495
  United States Treasury Note/Bond   3.875%           3/31/25  65,000    63,751
  United States Treasury Note/Bond   2.625%           4/15/25 194,300   186,589
  United States Treasury Note/Bond   0.375%           4/30/25 100,000    92,281
  United States Treasury Note/Bond   2.875%           4/30/25 173,000   166,756
  United States Treasury Note/Bond   2.125%           5/15/25  79,200    75,314
  United States Treasury Note/Bond   2.750%           5/15/25  69,100    66,433
  United States Treasury Note/Bond   0.250%           5/31/25 226,000   207,390
  United States Treasury Note/Bond   2.750%           6/30/25 115,800   111,168
1 United States Treasury Note/Bond   3.000%           7/15/25 172,800   166,617
  United States Treasury Note/Bond   0.250%           7/31/25 113,132   103,215
  United States Treasury Note/Bond   3.125%           8/15/25 106,500   102,889
  United States Treasury Note/Bond   2.750%           8/31/25  34,500    33,061
  United States Treasury Note/Bond   3.500%           9/15/25  43,100    41,928
  United States Treasury Note/Bond   3.000%           9/30/25  21,000    20,213
  United States Treasury Note/Bond   4.250%          10/15/25  34,600    34,200
  United States Treasury Note/Bond   3.000%          10/31/25 141,500   136,127
  United States Treasury Note/Bond   2.875%          11/30/25  20,600    19,750
  United States Treasury Note/Bond   0.500%           2/28/26 245,800   221,297
  United States Treasury Note/Bond   0.750%           4/30/26 195,000   175,927
  United States Treasury Note/Bond   3.625%           5/15/26  40,000    39,025
  United States Treasury Note/Bond   0.750%           5/31/26 105,000    94,500
4

 

Short-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond   0.875%           6/30/26  49,200    44,388
  United States Treasury Note/Bond   0.625%           7/31/26  82,000    73,185
  United States Treasury Note/Bond   1.500%           8/15/26 109,000    99,769
  United States Treasury Note/Bond   0.750%           8/31/26 151,500   135,379
  United States Treasury Note/Bond   1.375%           8/31/26 117,700   107,236
  United States Treasury Note/Bond   0.875%           9/30/26 118,000   105,721
  United States Treasury Note/Bond   1.125%          10/31/26 143,100   128,879
  United States Treasury Note/Bond   1.250%          11/30/26  76,600    69,131
  United States Treasury Note/Bond   1.250%          12/31/26 135,000   121,669
  United States Treasury Note/Bond   1.875%           2/28/27 134,200   123,170
  United States Treasury Note/Bond   2.500%           3/31/27  27,000    25,313
  United States Treasury Note/Bond   0.500%           4/30/27  62,000    53,824
  United States Treasury Note/Bond   2.750%           4/30/27  41,000    38,739
  United States Treasury Note/Bond   2.625%           5/31/27  84,000    78,934
  United States Treasury Note/Bond   0.500%           6/30/27  60,000    51,825
  United States Treasury Note/Bond   3.250%           6/30/27  25,200    24,235
  United States Treasury Note/Bond   0.375%           7/31/27 120,000   102,806
  United States Treasury Note/Bond   2.750%           7/31/27 100,000    94,281
  United States Treasury Note/Bond   0.375%           9/30/27  52,400    44,655
  United States Treasury Note/Bond   0.500%          10/31/27  46,000    39,308
  United States Treasury Note/Bond   0.625%          11/30/27  30,000    25,716
  United States Treasury Note/Bond   1.250%           4/30/28  42,000    36,684
  United States Treasury Note/Bond   1.125%           8/31/28  87,000    74,929
  United States Treasury Note/Bond   1.250%           9/30/28  51,400    44,453
  United States Treasury Note/Bond   1.375%          10/31/28  50,000    43,438
  United States Treasury Note/Bond   1.375%          12/31/28  20,000    17,328
  United States Treasury Note/Bond   1.750%           1/31/29  40,000    35,300
                   5,744,052
Agency Bonds and Notes (1.0%)
2 Federal Home Loan Banks   1.220%           6/30/27  50,000    43,914
2 Federal Home Loan Banks   1.000%           8/26/27  25,000    21,672
                   65,586
Conventional Mortgage-Backed Securities (9.3%)
2,3,4 UMBS Pool   2.500%    2/1/52–8/14/53  84,387    71,130
2,3 UMBS Pool   5.500%    10/1/52–6/1/53 120,813   120,229
2,3 UMBS Pool   6.000%    10/1/52–7/1/53  65,359    66,080
2,3 UMBS Pool   4.500%    11/1/52–5/1/53  76,131    73,004
2,3,4 UMBS Pool   6.500%   8/14/53–9/14/53 273,000   278,161
                   608,604
Nonconventional Mortgage-Backed Securities (3.5%)
2,3 Fannie Mae REMICS   3.000%   9/25/50–2/25/52 113,339    80,742
2,3 Freddie Mac REMICS   3.000%  11/25/50–2/25/52  74,140    53,157
2,3 Freddie Mac REMICS   2.000%          12/25/51   1,288       689
3 Ginnie Mae REMICS   3.000% 11/20/50–12/20/51 106,720    74,137
3 Ginnie Mae REMICS   1.500%  5/20/51–12/20/51   6,265     3,360
3 Ginnie Mae REMICS   2.500%           9/20/51  13,481     9,460
3 Ginnie Mae REMICS   2.000%          11/20/51   7,283     3,812
3 Ginnie Mae REMICS   3.500%          11/20/51   2,506     1,913
                   227,270
Total U.S. Government and Agency Obligations (Cost $6,837,298) 6,645,512
5

 

Short-Term Treasury Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
5 Vanguard Market Liquidity Fund (Cost $65,487)   5.274%                    654,998          65,486
Total Investments (102.4%) (Cost $6,902,785) 6,710,998
Other Assets and Liabilities—Net (-2.4%) (158,790)
Net Assets (100%) 6,552,208
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $15,185,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
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.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 3,019 612,951 (2,707)
5-Year U.S. Treasury Note September 2023 1,712 182,876 (689)
        (3,396)
Short Futures Contracts        
10-Year U.S. Treasury Note September 2023 (1,601) (178,361) 1,120
Long U.S. Treasury Bond September 2023 (156) (19,412) 334
Ultra 10-Year U.S. Treasury Note September 2023 (773) (90,429) 1,836
Ultra Long U.S. Treasury Bond September 2023 (1,653) (218,558) 4,107
        7,397
        4,001
  
See accompanying Notes, which are an integral part of the Financial Statements.
6

 

Short-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,837,298) 6,645,512
Affiliated Issuers (Cost $65,487) 65,486
Total Investments in Securities 6,710,998
Investment in Vanguard 227
Receivables for Investment Securities Sold 795,462
Receivables for Accrued Income 31,994
Receivables for Capital Shares Issued 4,664
Other Assets 130
Total Assets 7,543,475
Liabilities  
Payables for Investment Securities Purchased 977,318
Payables for Capital Shares Redeemed 9,921
Payables for Distributions 3,409
Payables to Vanguard 313
Variation Margin Payable—Futures Contracts 306
Total Liabilities 991,267
Net Assets 6,552,208
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 7,194,127
Total Distributable Earnings (Loss) (641,919)
Net Assets 6,552,208
 
Investor Shares—Net Assets  
Applicable to 55,254,374 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		540,944
Net Asset Value Per Share—Investor Shares $9.79
 
Admiral Shares—Net Assets  
Applicable to 614,016,321 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		6,011,264
Net Asset Value Per Share—Admiral Shares $9.79
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Short-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 137,000
Total Income 137,000
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 381
Management and Administrative—Investor Shares 487
Management and Administrative—Admiral Shares 2,497
Marketing and Distribution—Investor Shares 27
Marketing and Distribution—Admiral Shares 199
Custodian Fees 16
Shareholders’ Reports—Investor Shares 11
Shareholders’ Reports—Admiral Shares 24
Trustees’ Fees and Expenses 2
Other Expenses 6
Total Expenses 3,650
Expenses Paid Indirectly (17)
Net Expenses 3,633
Net Investment Income 133,367
Realized Net Gain (Loss)  
Investment Securities Sold1 (115,168)
Futures Contracts (9,494)
Realized Net Gain (Loss) (124,662)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (33,531)
Futures Contracts 14,272
Change in Unrealized Appreciation (Depreciation) (19,259)
Net Increase (Decrease) in Net Assets Resulting from Operations (10,554)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,657,000, $7,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Short-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 133,367   153,413
Realized Net Gain (Loss) (124,662)   (300,398)
Change in Unrealized Appreciation (Depreciation) (19,259)   (72,988)
Net Increase (Decrease) in Net Assets Resulting from Operations (10,554)   (219,973)
Distributions      
Investor Shares (10,793)   (11,429)
Admiral Shares (122,662)   (141,900)
Total Distributions (133,455)   (153,329)
Capital Share Transactions      
Investor Shares (17,337)   15,629
Admiral Shares (31,422)   (330,361)
Net Increase (Decrease) from Capital Share Transactions (48,759)   (314,732)
Total Increase (Decrease) (192,768)   (688,034)
Net Assets      
Beginning of Period 6,744,976   7,433,010
End of Period 6,552,208   6,744,976
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Short-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.00 $10.54 $10.77 $10.64 $10.48 $10.49
Investment Operations            
Net Investment Income1 .191 .215 .036 .070 .245 .227
Net Realized and Unrealized Gain (Loss) on Investments (.210) (.540) (.207) .286 .160 (.009)
Total from Investment Operations (.019) (.325) (.171) .356 .405 .218
Distributions            
Dividends from Net Investment Income (.191) (.215) (.035) (.070) (.245) (.228)
Distributions from Realized Capital Gains — — (.024) (.156) — —
Total Distributions (.191) (.215) (.059) (.226) (.245) (.228)
Net Asset Value, End of Period $9.79 $10.00 $10.54 $10.77 $10.64 $10.48
Total Return2 -0.20% -3.08% -1.60% 3.35% 3.91% 2.11%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $541 $570 $582 $701 $655 $671
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.88% 2.12% 0.34% 0.64% 2.30% 2.18%
Portfolio Turnover Rate4 155% 284% 213% 357% 340% 282%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 8%, 27%, 4%, 57%, 5%, and 37%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Short-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.00 $10.54 $10.77 $10.64 $10.48 $10.49
Investment Operations            
Net Investment Income1 .196 .224 .047 .079 .254 .238
Net Realized and Unrealized Gain (Loss) on Investments (.210) (.539) (.207) .288 .162 (.010)
Total from Investment Operations (.014) (.315) (.160) .367 .416 .228
Distributions            
Dividends from Net Investment Income (.196) (.225) (.046) (.081) (.256) (.238)
Distributions from Realized Capital Gains — — (.024) (.156) — —
Total Distributions (.196) (.225) (.070) (.237) (.256) (.238)
Net Asset Value, End of Period $9.79 $10.00 $10.54 $10.77 $10.64 $10.48
Total Return2 -0.15% -2.99% -1.50% 3.46% 4.01% 2.21%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,011 $6,175 $6,851 $7,818 $8,243 $7,385
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.98% 2.20% 0.44% 0.73% 2.40% 2.28%
Portfolio Turnover Rate4 155% 284% 213% 357% 340% 282%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 8%, 27%, 4%, 57%, 5%, and 37%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Short-Term Treasury Fund
Notes to Financial Statements
Vanguard Short-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously
12

 

Short-Term Treasury Fund
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 in the Statement of Assets and Liabilities.
4. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 12% and 6% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its
13

 

Short-Term Treasury Fund
borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $227,000, representing less than 0.01% of the fund’s net assets and 0.09% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
14

 

Short-Term Treasury Fund
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $17,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 6,645,512 — 6,645,512
Temporary Cash Investments 65,486 — — 65,486
Total 65,486 6,645,512 — 6,710,998
Derivative Financial Instruments         
Assets        
Futures Contracts1 7,397 — — 7,397
Liabilities        
Futures Contracts1 3,396 — — 3,396
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 6,914,380
Gross Unrealized Appreciation 7,998
Gross Unrealized Depreciation (207,379)
Net Unrealized Appreciation (Depreciation) (199,381)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $317,409,000 that
15

 

Short-Term Treasury Fund
may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended July 31, 2023, the fund purchased $10,322,150,000 of investment securities and sold $10,267,822,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 114,660 11,566   246,805 24,453
Issued in Lieu of Cash Distributions 9,580 969   10,550 1,046
Redeemed (141,577) (14,268)   (241,726) (23,778)
Net Increase (Decrease)—Investor Shares (17,337) (1,733)   15,629 1,721
Admiral Shares          
Issued 1,074,550 108,337   2,281,386 225,040
Issued in Lieu of Cash Distributions 102,580 10,381   120,863 11,976
Redeemed (1,208,552) (122,117)   (2,732,610) (269,877)
Net Increase (Decrease)—Admiral Shares (31,422) (3,399)   (330,361) (32,861)
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
16

 

Short-Term Treasury Fund
I. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
17

 

Short-Term Federal Fund
Fund Allocation
As of July 31, 2023
Agency Bonds and Notes 56.3%
Government Mortgage-Backed Securities 18.3
U.S. Government Securities 25.4
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
18

 

Short-Term Federal Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (104.7%)
U.S. Government Securities (26.7%)
1 United States Treasury Note/Bond   3.000%           7/31/24 300,000   293,063
2 United States Treasury Note/Bond   2.375%           8/15/24 575,000   557,660
  United States Treasury Note/Bond   0.375%           9/15/24  52,000    49,205
  United States Treasury Note/Bond   3.000%           7/15/25  83,000    80,030
  United States Treasury Note/Bond   1.250%          11/30/26  60,000    54,150
2 United States Treasury Note/Bond   2.750%           7/31/27 230,000   216,847
  United States Treasury Note/Bond   4.125%           9/30/27  99,200    98,549
  United States Treasury Note/Bond   3.500%           4/30/28  12,100    11,737
                   1,361,241
Agency Bonds and Notes (58.9%)
3 AID-Israel   0.000%           11/1/24   6,905     6,445
4 Fannie Mae Interest Strip   0.000%          11/15/25   8,000     7,159
4 Fannie Mae Principal Strip   0.000%          11/15/30   7,000     5,044
4 Federal Farm Credit Banks Funding Corp.   0.680%            3/9/26 275,000   246,821
4 Federal Farm Credit Banks Funding Corp.   4.820%           6/23/26 109,000   108,318
4 Federal Home Loan Banks   0.830%           2/10/27 136,475   119,298
4 Federal Home Loan Banks   0.850%           2/17/27 100,000    87,427
4 Federal Home Loan Banks   1.020%           2/24/27  10,570     9,293
4 Federal Home Loan Banks   0.900%           2/26/27 105,695    92,508
4 Federal Home Loan Banks   0.920%           2/26/27  25,900    22,685
4 Federal Home Loan Banks   1.115%           2/26/27  49,145    43,352
4 Federal Home Loan Banks   4.000%           6/30/28  35,000    34,473
4 Federal Home Loan Mortgage Corp.   5.150%           1/24/25 250,000   248,221
4 Federal Home Loan Mortgage Corp.   5.150%           2/14/25 250,000   248,082
4 Federal Home Loan Mortgage Corp.   5.450%           2/28/25 250,000   249,060
4 Federal Home Loan Mortgage Corp.   4.320%           3/21/25 150,000   147,397
4 Federal Home Loan Mortgage Corp.   0.680%            8/6/25  73,100    66,914
4 Federal Home Loan Mortgage Corp.   4.050%           8/28/25 125,000   122,033
4 Federal Home Loan Mortgage Corp.   4.160%           8/28/25  52,950    51,715
4 Federal Home Loan Mortgage Corp.   0.640%          11/24/25 174,650   158,071
4 Federal Home Loan Mortgage Corp.   0.700%          12/30/25 194,850   176,039
4 Federal National Mortgage Assn.   0.650%          12/17/25 138,500   125,064
4 Federal National Mortgage Assn.   0.650%          12/17/25 180,495   162,985
4 Freddie Mac Principal Strips   0.000%           3/15/31  19,983    14,174
  Private Export Funding Corp.   3.550%           1/15/24   8,700     8,609
  Private Export Funding Corp.   1.400%           7/15/28  26,000    22,482
  Resolution Funding Corp. Interest Strip   0.000%           1/15/30   4,155     3,114
19

 

Short-Term Federal Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Resolution Funding Corp. Principal Strip   0.000%           1/15/30 394,377   295,602
  Resolution Funding Corp. Principal Strip   0.000%           4/15/30 171,307   126,886
                   3,009,271
Conventional Mortgage-Backed Securities (12.2%)
4,5 Freddie Mac Gold Pool   2.000%     9/1/28–6/1/30   1,949     1,739
4,5,6 UMBS Pool   2.000%   10/1/27–8/17/38 161,887   143,222
4,5,6 UMBS Pool   3.500%     1/1/33–9/1/34  50,116    48,060
4,5 UMBS Pool   3.000%           12/1/34     163       152
4,5,6 UMBS Pool   2.500%    2/1/35–8/14/53 110,869    99,210
4,5,6 UMBS Pool   1.500%           8/17/38 140,000   120,641
4,5,6 UMBS Pool   4.500%    8/17/38–5/1/53  57,608    55,818
4,5 UMBS Pool   5.500%    10/1/52–6/1/53  85,556    85,080
4,5,6 UMBS Pool   6.500%   8/14/53–9/14/53  70,500    71,832
                   625,754
Nonconventional Mortgage-Backed Securities (6.9%)
4,5 Fannie Mae REMICS   3.000%   6/25/48–2/25/52 134,272   100,174
4,5 Fannie Mae REMICS   4.500%           8/25/49   2,706     2,609
4,5 Fannie Mae REMICS   1.500%          12/25/51  19,540    10,607
4,5 Freddie Mac REMICS   4.500%  10/25/44–1/25/47   7,883     7,611
4,5 Freddie Mac REMICS   2.500%  9/25/48–12/25/48  20,040    17,269
4,5 Freddie Mac REMICS   3.000%  11/25/48–2/25/52 134,873   102,100
4,5 Freddie Mac REMICS   2.000%          12/25/51     177        95
5 Ginnie Mae REMICS   3.000% 11/20/50–12/20/51  96,654    67,168
5 Ginnie Mae REMICS   1.500%  2/20/51–12/20/51  35,413    29,099
5 Ginnie Mae REMICS   2.500%           9/20/51   3,285     2,290
5 Ginnie Mae REMICS   2.000%          11/20/51  17,983    11,384
5 Ginnie Mae REMICS   3.500%          11/20/51     565       431
                   350,837
Total U.S. Government and Agency Obligations (Cost $5,690,823) 5,347,103
20

 

Short-Term Federal Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (1.9%)
Money Market Fund (1.9%)
7 Vanguard Market Liquidity Fund (Cost $94,133)   5.274%                    941,588          94,140
Total Investments (106.6%) (Cost $5,784,956) 5,441,243
Other Assets and Liabilities—Net (-6.6%) (335,543)
Net Assets (100%) 5,105,700
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $20,921,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $697,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
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 average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 4,120 836,489 (5,858)
5-Year U.S. Treasury Note September 2023 1,299 138,760 (1,070)
        (6,928)
Short Futures Contracts        
10-Year U.S. Treasury Note September 2023 (4,662) (519,376) 9,044
Long U.S. Treasury Bond September 2023 (154) (19,163) 330
Ultra 10-Year U.S. Treasury Note September 2023 (1,105) (129,268) 3,114
Ultra Long U.S. Treasury Bond September 2023 (1,367) (180,743) 3,350
        15,838
        8,910
  
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Short-Term Federal Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $5,690,823) 5,347,103
Affiliated Issuers (Cost $94,133) 94,140
Total Investments in Securities 5,441,243
Investment in Vanguard 174
Cash 373
Receivables for Investment Securities Sold 112,947
Receivables for Accrued Income 33,287
Receivables for Capital Shares Issued 12,193
Other Assets 111
Total Assets 5,600,328
Liabilities  
Payables for Investment Securities Purchased 483,778
Payables for Capital Shares Redeemed 7,976
Payables for Distributions 2,201
Payables to Vanguard 242
Variation Margin Payable—Futures Contracts 431
Total Liabilities 494,628
Net Assets 5,105,700
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 5,751,940
Total Distributable Earnings (Loss) (646,240)
Net Assets 5,105,700
 
Investor Shares—Net Assets  
Applicable to 43,892,638 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		437,387
Net Asset Value Per Share—Investor Shares $9.96
 
Admiral Shares—Net Assets  
Applicable to 468,475,015 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		4,668,313
Net Asset Value Per Share—Admiral Shares $9.96
  
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

Short-Term Federal Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 91,566
Total Income 91,566
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 298
Management and Administrative—Investor Shares 400
Management and Administrative—Admiral Shares 1,915
Marketing and Distribution—Investor Shares 20
Marketing and Distribution—Admiral Shares 154
Custodian Fees 23
Shareholders’ Reports—Investor Shares 11
Shareholders’ Reports—Admiral Shares 39
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 2,869
Expenses Paid Indirectly (10)
Net Expenses 2,859
Net Investment Income 88,707
Realized Net Gain (Loss)  
Investment Securities Sold1 (85,502)
Futures Contracts (10,135)
Realized Net Gain (Loss) (95,637)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (26,519)
Futures Contracts 25,158
Change in Unrealized Appreciation (Depreciation) (1,361)
Net Increase (Decrease) in Net Assets Resulting from Operations (8,291)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,046,000, $5,000, and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Short-Term Federal Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 88,707   123,862
Realized Net Gain (Loss) (95,637)   (195,098)
Change in Unrealized Appreciation (Depreciation) (1,361)   (208,194)
Net Increase (Decrease) in Net Assets Resulting from Operations (8,291)   (279,430)
Distributions      
Investor Shares (7,464)   (9,215)
Admiral Shares (80,669)   (114,891)
Total Distributions (88,133)   (124,106)
Capital Share Transactions      
Investor Shares (33,562)   (103,279)
Admiral Shares (296,539)   (1,830,715)
Net Increase (Decrease) from Capital Share Transactions (330,101)   (1,933,994)
Total Increase (Decrease) (426,525)   (2,337,530)
Net Assets      
Beginning of Period 5,532,225   7,869,755
End of Period 5,105,700   5,532,225
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Short-Term Federal Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.15 $10.70 $11.02 $10.79 $10.57 $10.55
Investment Operations            
Net Investment Income1 .164 .182 .054 .125 .246 .208
Net Realized and Unrealized Gain (Loss) on Investments (.191) (.545) (.215) .274 .221 .021
Total from Investment Operations (.027) (.363) (.161) .399 .467 .229
Distributions            
Dividends from Net Investment Income (.163) (.187) (.053) (.127) (.247) (.209)
Distributions from Realized Capital Gains — — (.106) (.042) — —
Total Distributions (.163) (.187) (.159) (.169) (.247) (.209)
Net Asset Value, End of Period $9.96 $10.15 $10.70 $11.02 $10.79 $10.57
Total Return2 -0.27% -3.39% -1.48% 3.71% 4.46% 2.20%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $437 $479 $612 $767 $623 $622
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.28% 1.76% 0.50% 1.14% 2.30% 1.98%
Portfolio Turnover Rate4 169% 442% 424% 663% 499% 327%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 47%, 86%, 87%, 180%, 32%, and 90%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Short-Term Federal Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.15 $10.70 $11.02 $10.79 $10.57 $10.55
Investment Operations            
Net Investment Income1 .169 .189 .065 .130 .257 .219
Net Realized and Unrealized Gain (Loss) on Investments (.192) (.542) (.215) .280 .220 .020
Total from Investment Operations (.023) (.353) (.150) .410 .477 .239
Distributions            
Dividends from Net Investment Income (.167) (.197) (.064) (.138) (.257) (.219)
Distributions from Realized Capital Gains — — (.106) (.042) — —
Total Distributions (.167) (.197) (.170) (.180) (.257) (.219)
Net Asset Value, End of Period $9.96 $10.15 $10.70 $11.02 $10.79 $10.57
Total Return2 -0.22% -3.29% -1.38% 3.81% 4.56% 2.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,668 $5,053 $7,258 $7,280 $4,371 $3,963
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.38% 1.84% 0.59% 1.19% 2.40% 2.08%
Portfolio Turnover Rate4 169% 442% 424% 663% 499% 327%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 47%, 86%, 87%, 180%, 32%, and 90%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Short-Term Federal Fund
Notes to Financial Statements
Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
At July 31, 2023, counterparties had deposited in segregated accounts cash of $354,000 in connection with TBA transactions.
3. 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
27

 

Short-Term Federal Fund
repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
4. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 17% and 17% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
28

 

Short-Term Federal Fund
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
29

 

Short-Term Federal Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $174,000, representing less than 0.01% of the fund’s net assets and 0.07% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $10,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 5,347,103 — 5,347,103
Temporary Cash Investments 94,140 — — 94,140
Total 94,140 5,347,103 — 5,441,243
Derivative Financial Instruments         
Assets        
Futures Contracts1 15,838 — — 15,838
Liabilities        
Futures Contracts1 6,928 — — 6,928
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
30

 

Short-Term Federal Fund
E. As of July 31, 2023, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 5,787,558
Gross Unrealized Appreciation 16,471
Gross Unrealized Depreciation (353,876)
Net Unrealized Appreciation (Depreciation) (337,405)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $232,855,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended July 31, 2023, the fund purchased $9,286,636,000 of investment securities and sold $9,587,815,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 41,616 4,140   105,918 10,330
Issued in Lieu of Cash Distributions 6,646 662   8,218 807
Redeemed (81,824) (8,147)   (217,415) (21,103)
Net Increase (Decrease)—Investor Shares (33,562) (3,345)   (103,279) (9,966)
Admiral Shares          
Issued 697,835 69,515   2,647,414 255,182
Issued in Lieu of Cash Distributions 68,158 6,794   98,482 9,653
Redeemed (1,062,532) (105,813)   (4,576,611) (444,960)
Net Increase (Decrease)—Admiral Shares (296,539) (29,504)   (1,830,715) (180,125)
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
31

 

Short-Term Federal Fund
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
32

 

Intermediate-Term Treasury Fund
Fund Allocation
As of July 31, 2023
Agency Bonds and Notes 3.4%
Government Mortgage-Backed Securities 10.7
U.S. Government Securities 85.9
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
33

 

Intermediate-Term Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (101.4%)
U.S. Government Securities (87.1%)
  United States Treasury Note/Bond   1.500%          8/15/26  93,000    85,124
  United States Treasury Note/Bond   0.750%          8/31/26 166,900   149,141
  United States Treasury Note/Bond   1.375%          8/31/26 126,000   114,798
  United States Treasury Note/Bond   0.875%          9/30/26  99,100    88,787
  United States Treasury Note/Bond   1.625%          9/30/26  29,000    26,594
  United States Treasury Note/Bond   1.125%         10/31/26  77,462    69,764
  United States Treasury Note/Bond   1.625%         10/31/26  15,000    13,730
  United States Treasury Note/Bond   1.250%         11/30/26 155,000   139,887
  United States Treasury Note/Bond   1.250%         12/31/26 156,700   141,226
  United States Treasury Note/Bond   2.500%          3/31/27  20,000    18,750
  United States Treasury Note/Bond   0.500%          4/30/27  30,000    26,044
  United States Treasury Note/Bond   0.500%          5/31/27  25,000    21,648
  United States Treasury Note/Bond   2.625%          5/31/27  13,500    12,686
  United States Treasury Note/Bond   0.500%          6/30/27 125,000   107,969
  United States Treasury Note/Bond   3.250%          6/30/27  50,000    48,086
  United States Treasury Note/Bond   0.375%          7/31/27 115,000    98,523
  United States Treasury Note/Bond   0.375%          9/30/27 120,000   102,263
  United States Treasury Note/Bond   0.500%         10/31/27 100,000    85,453
  United States Treasury Note/Bond   0.625%         11/30/27  60,000    51,431
  United States Treasury Note/Bond   0.625%         12/31/27  39,000    33,351
  United States Treasury Note/Bond   1.125%          2/29/28   3,440     2,998
  United States Treasury Note/Bond   1.250%          4/30/28  83,700    73,107
  United States Treasury Note/Bond   1.250%          5/31/28  52,500    45,765
  United States Treasury Note/Bond   1.250%          6/30/28  36,600    31,848
  United States Treasury Note/Bond   1.000%          7/31/28  57,500    49,297
  United States Treasury Note/Bond   2.875%          8/15/28   8,700     8,183
  United States Treasury Note/Bond   5.500%          8/15/28  10,000    10,559
  United States Treasury Note/Bond   1.125%          8/31/28 110,150    94,867
  United States Treasury Note/Bond   1.250%          9/30/28 137,500   118,916
  United States Treasury Note/Bond   1.375%         10/31/28 121,130   105,232
  United States Treasury Note/Bond   3.125%         11/15/28 111,100   105,614
  United States Treasury Note/Bond   5.250%         11/15/28  24,000    25,125
  United States Treasury Note/Bond   1.500%         11/30/28 167,089   145,916
  United States Treasury Note/Bond   1.375%         12/31/28  24,300    21,054
  United States Treasury Note/Bond   1.750%          1/31/29 131,600   116,137
  United States Treasury Note/Bond   2.625%          2/15/29 119,200   110,148
  United States Treasury Note/Bond   1.875%          2/28/29 120,891   107,253
34

 

Intermediate-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond   2.375%          3/31/29 151,050   137,503
  United States Treasury Note/Bond   2.875%          4/30/29 108,400   101,320
  United States Treasury Note/Bond   2.375%          5/15/29  98,700    89,755
  United States Treasury Note/Bond   2.750%          5/31/29 126,900   117,739
  United States Treasury Note/Bond   3.250%          6/30/29 106,500   101,491
  United States Treasury Note/Bond   2.625%          7/31/29 114,800   105,616
  United States Treasury Note/Bond   3.125%          8/31/29 107,500   101,688
  United States Treasury Note/Bond   3.875%          9/30/29  99,200    97,759
  United States Treasury Note/Bond   4.000%         10/31/29  92,300    91,608
  United States Treasury Note/Bond   3.875%         11/30/29  91,500    90,213
  United States Treasury Note/Bond   3.875%         12/31/29  50,000    49,297
  United States Treasury Note/Bond   3.500%          1/31/30  80,000    77,212
  United States Treasury Note/Bond   4.000%          2/28/30 101,800   101,164
  United States Treasury Note/Bond   3.500%          4/30/30  29,200    28,187
  United States Treasury Note/Bond   0.625%          5/15/30 102,000    81,377
  United States Treasury Note/Bond   3.750%          6/30/30  39,700    38,918
  United States Treasury Note/Bond   4.000%          7/31/30  21,500    21,413
1 United States Treasury Note/Bond   0.625%          8/15/30  85,300    67,614
  United States Treasury Note/Bond   1.625%          5/15/31  65,800    55,539
  United States Treasury Note/Bond   1.250%          8/15/31 117,600    95,789
  United States Treasury Note/Bond   1.375%         11/15/31  96,000    78,525
  United States Treasury Note/Bond   1.875%          2/15/32  88,900    75,482
  United States Treasury Note/Bond   2.875%          5/15/32 107,000    98,273
  United States Treasury Note/Bond   2.750%          8/15/32 156,800   142,345
  United States Treasury Note/Bond   4.125%         11/15/32 160,300   162,128
  United States Treasury Note/Bond   3.500%          2/15/33  97,200    93,677
                   4,908,906
Agency Bonds and Notes (3.5%)
2 AID-Israel   0.000%          11/1/24  50,000    46,668
3 Fannie Mae Principal Strip   0.000%         11/15/30   6,000     4,323
3 Federal Home Loan Mortgage Corp.   1.500%          7/27/32  18,340    14,043
3 Freddie Mac Principal Strips   0.000%          3/15/31  26,475    18,779
  Private Export Funding Corp.   3.550%          1/15/24  10,300    10,193
  Private Export Funding Corp.   1.400%          7/15/28  22,000    19,024
  Resolution Funding Corp. Principal Strip   0.000%          1/15/30  15,000    11,243
  Resolution Funding Corp. Principal Strip   0.000%          4/15/30  98,000    72,588
                   196,861
Conventional Mortgage-Backed Securities (9.5%)
3,4,5 UMBS Pool   2.500% 11/25/47–8/14/53 101,722    86,798
3,4 UMBS Pool   5.500%   10/1/52–6/1/53  98,067    97,591
3,4 UMBS Pool   6.000%   10/1/52–7/1/53  54,305    54,904
3,4 UMBS Pool   4.500%   11/1/52–5/1/53  62,955    60,371
3,4,5 UMBS Pool   6.500%  8/14/53–9/14/53 231,500   235,876
                   535,540
Nonconventional Mortgage-Backed Securities (1.3%)
3,4 Freddie Mac REMICS   2.500% 9/25/48–12/25/48  46,806    40,544
3,4 Freddie Mac REMICS   2.000%          5/25/51  17,785    14,834
4 Ginnie Mae REMICS   1.100%          1/20/51  24,467    18,445
                   73,823
Total U.S. Government and Agency Obligations (Cost $5,897,615) 5,715,130
35

 

Intermediate-Term Treasury Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.8%)
Money Market Fund (0.8%)
6 Vanguard Market Liquidity Fund (Cost $42,950)   5.274%                   429,564          42,948
Total Investments (102.2%) (Cost $5,940,565) 5,758,078
Other Assets and Liabilities—Net (-2.2%) (122,056)
Net Assets (100%) 5,636,022
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $7,030,000 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 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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 338 68,625 (34)
5-Year U.S. Treasury Note September 2023 1,504 160,658 (788)
10-Year U.S. Treasury Note September 2023 682 75,979 (19)
Ultra 10-Year U.S. Treasury Note September 2023 1,409 164,831 (1,943)
        (2,784)
Short Futures Contracts        
Long U.S. Treasury Bond September 2023 (103) (12,817) (27)
Ultra Long U.S. Treasury Bond September 2023 (327) (43,236) 871
        844
        (1,940)
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Intermediate-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $5,897,615) 5,715,130
Affiliated Issuers (Cost $42,950) 42,948
Total Investments in Securities 5,758,078
Investment in Vanguard 189
Cash 981
Receivables for Investment Securities Sold 554,257
Receivables for Accrued Income 30,182
Receivables for Capital Shares Issued 5,551
Variation Margin Receivable—Futures Contracts 235
Other Assets 67
Total Assets 6,349,540
Liabilities  
Payables for Investment Securities Purchased 704,933
Payables for Capital Shares Redeemed 6,383
Payables for Distributions 1,930
Payables to Vanguard 272
Total Liabilities 713,518
Net Assets 5,636,022
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 6,534,346
Total Distributable Earnings (Loss) (898,324)
Net Assets 5,636,022
 
Investor Shares—Net Assets  
Applicable to 57,106,108 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		562,521
Net Asset Value Per Share—Investor Shares $9.85
 
Admiral Shares—Net Assets  
Applicable to 515,052,297 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,073,501
Net Asset Value Per Share—Admiral Shares $9.85
  
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

Intermediate-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 100,719
Total Income 100,719
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 313
Management and Administrative—Investor Shares 512
Management and Administrative—Admiral Shares 1,984
Marketing and Distribution—Investor Shares 22
Marketing and Distribution—Admiral Shares 160
Custodian Fees 14
Shareholders’ Reports—Investor Shares 13
Shareholders’ Reports—Admiral Shares 36
Trustees’ Fees and Expenses 1
Other Expenses 7
Total Expenses 3,062
Expenses Paid Indirectly (11)
Net Expenses 3,051
Net Investment Income 97,668
Realized Net Gain (Loss)  
Investment Securities Sold1 (181,061)
Futures Contracts 3,241
Realized Net Gain (Loss) (177,820)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 4,216
Futures Contracts 225
Change in Unrealized Appreciation (Depreciation) 4,441
Net Increase (Decrease) in Net Assets Resulting from Operations (75,711)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,749,000, $31,000, and ($18,000), respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
38

 

Intermediate-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 97,668   117,580
Realized Net Gain (Loss) (177,820)   (481,878)
Change in Unrealized Appreciation (Depreciation) 4,441   (43,258)
Net Increase (Decrease) in Net Assets Resulting from Operations (75,711)   (407,556)
Distributions      
Investor Shares (9,999)   (13,002)
Admiral Shares (87,602)   (104,545)
Total Distributions (97,601)   (117,547)
Capital Share Transactions      
Investor Shares (24,904)   (89,101)
Admiral Shares 372,972   (35,077)
Net Increase (Decrease) from Capital Share Transactions 348,068   (124,178)
Total Increase (Decrease) 174,756   (649,281)
Net Assets      
Beginning of Period 5,461,266   6,110,547
End of Period 5,636,022   5,461,266
  
See accompanying Notes, which are an integral part of the Financial Statements.
39

 

Intermediate-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.16 $11.12 $11.65 $11.57 $10.96 $10.88
Investment Operations            
Net Investment Income1 .171 .208 .107 .129 .255 .260
Net Realized and Unrealized Gain (Loss) on Investments (.310) (.959) (.511) .507 .611 .081
Total from Investment Operations (.139) (.751) (.404) .636 .866 .341
Distributions            
Dividends from Net Investment Income (.171) (.209) (.107) (.127) (.256) (.261)
Distributions from Realized Capital Gains — — (.019) (.429) — —
Total Distributions (.171) (.209) (.126) (.556) (.256) (.261)
Net Asset Value, End of Period $9.85 $10.16 $11.12 $11.65 $11.57 $10.96
Total Return2 -1.38% -6.75% -3.49% 5.50% 7.98% 3.20%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $563 $605 $757 $953 $917 $837
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.45% 2.00% 0.93% 1.07% 2.27% 2.42%
Portfolio Turnover Rate4 116% 175% 181% 309% 214% 231%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 10%, 12%, 3%, 37%, 5%, and 35%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
40

 

Intermediate-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.16 $11.12 $11.65 $11.57 $10.96 $10.88
Investment Operations            
Net Investment Income1 .176 .219 .118 .139 .267 .272
Net Realized and Unrealized Gain (Loss) on Investments (.310) (.959) (.511) .509 .610 .080
Total from Investment Operations (.134) (.740) (.393) .648 .877 .352
Distributions            
Dividends from Net Investment Income (.176) (.220) (.118) (.139) (.267) (.272)
Distributions from Realized Capital Gains — — (.019) (.429) — —
Total Distributions (.176) (.220) (.137) (.568) (.267) (.272)
Net Asset Value, End of Period $9.85 $10.16 $11.12 $11.65 $11.57 $10.96
Total Return2 -1.33% -6.66% -3.39% 5.60% 8.09% 3.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,074 $4,856 $5,353 $6,237 $5,452 $4,976
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.55% 2.12% 1.03% 1.16% 2.37% 2.52%
Portfolio Turnover Rate4 116% 175% 181% 309% 214% 231%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 10%, 12%, 3%, 37%, 5%, and 35%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
41

 

Intermediate-Term Treasury Fund
Notes to Financial Statements
Vanguard Intermediate-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
At July 31, 2023, counterparties had deposited in segregated accounts cash of $206,000 in connection with TBA transactions.
3. 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
42

 

Intermediate-Term Treasury Fund
repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
4. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 12% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
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Intermediate-Term Treasury Fund
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
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Intermediate-Term Treasury Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $189,000, representing less than 0.01% of the fund’s net assets and 0.08% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $11,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 5,715,130 — 5,715,130
Temporary Cash Investments 42,948 — — 42,948
Total 42,948 5,715,130 — 5,758,078
Derivative Financial Instruments         
Assets        
Futures Contracts1 871 — — 871
Liabilities        
Futures Contracts1 2,811 — — 2,811
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
45

 

Intermediate-Term Treasury Fund
E. As of July 31, 2023, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 5,968,923
Gross Unrealized Appreciation 3,002
Gross Unrealized Depreciation (215,787)
Net Unrealized Appreciation (Depreciation) (212,785)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $517,841,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended July 31, 2023, the fund purchased $6,742,099,000 of investment securities and sold $6,323,068,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 51,007 5,082   113,533 11,014
Issued in Lieu of Cash Distributions 8,999 899   11,764 1,145
Redeemed (84,910) (8,456)   (214,398) (20,652)
Net Increase (Decrease)—Investor Shares (24,904) (2,475)   (89,101) (8,493)
Admiral Shares          
Issued 847,596 84,643   1,596,237 154,834
Issued in Lieu of Cash Distributions 76,614 7,658   89,471 8,721
Redeemed (551,238) (55,098)   (1,720,785) (167,012)
Net Increase (Decrease)—Admiral Shares 372,972 37,203   (35,077) (3,457)
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
46

 

Intermediate-Term Treasury Fund
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
47

 

Long-Term Treasury Fund
Fund Allocation
As of July 31, 2023
Agency Bonds and Notes 6.0%
Government Mortgage-Backed Securities 9.2
U.S. Government Securities 84.8
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
48

 

Long-Term Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (101.6%)
U.S. Government Securities (86.2%)
  United States Treasury Note/Bond   4.500%         5/15/38   3,000     3,174
  United States Treasury Note/Bond   4.250%         5/15/39   7,700     7,909
  United States Treasury Note/Bond   4.500%         8/15/39  10,000    10,563
  United States Treasury Note/Bond   4.375%        11/15/39     600       623
  United States Treasury Note/Bond   4.625%         2/15/40  29,000    31,030
  United States Treasury Note/Bond   1.125%         5/15/40  58,650    37,188
  United States Treasury Note/Bond   4.375%         5/15/40   1,500     1,556
1 United States Treasury Note/Bond   1.125%         8/15/40  85,300    53,566
  United States Treasury Note/Bond   3.875%         8/15/40   9,791     9,529
  United States Treasury Note/Bond   1.375%        11/15/40  46,900    30,676
  United States Treasury Note/Bond   4.250%        11/15/40  31,000    31,620
  United States Treasury Note/Bond   1.875%         2/15/41  82,800    58,892
  United States Treasury Note/Bond   4.750%         2/15/41  41,400    44,848
  United States Treasury Note/Bond   2.250%         5/15/41  99,700    75,227
  United States Treasury Note/Bond   4.375%         5/15/41  15,363    15,855
  United States Treasury Note/Bond   1.750%         8/15/41 108,390    74,721
  United States Treasury Note/Bond   3.750%         8/15/41   4,770     4,520
  United States Treasury Note/Bond   2.000%        11/15/41 113,200    81,203
  United States Treasury Note/Bond   3.125%        11/15/41  21,900    18,937
  United States Treasury Note/Bond   2.375%         2/15/42  43,500    33,182
  United States Treasury Note/Bond   3.125%         2/15/42  38,500    33,182
  United States Treasury Note/Bond   3.000%         5/15/42  33,800    28,466
  United States Treasury Note/Bond   3.250%         5/15/42  66,780    58,401
  United States Treasury Note/Bond   2.750%         8/15/42  37,000    29,872
  United States Treasury Note/Bond   3.375%         8/15/42  66,000    58,709
  United States Treasury Note/Bond   2.750%        11/15/42  73,000    58,811
  United States Treasury Note/Bond   4.000%        11/15/42  57,900    56,398
  United States Treasury Note/Bond   3.125%         2/15/43  44,111    37,618
  United States Treasury Note/Bond   3.875%         2/15/43  53,000    50,648
  United States Treasury Note/Bond   2.875%         5/15/43  60,046    49,097
  United States Treasury Note/Bond   3.875%         5/15/43  10,000     9,561
  United States Treasury Note/Bond   3.750%        11/15/43  27,557    25,740
  United States Treasury Note/Bond   3.625%         2/15/44  25,000    22,906
  United States Treasury Note/Bond   3.375%         5/15/44  29,500    25,988
  United States Treasury Note/Bond   3.125%         8/15/44  59,449    50,262
  United States Treasury Note/Bond   3.000%        11/15/44  64,651    53,458
  United States Treasury Note/Bond   2.500%         2/15/45  56,900    43,013
49

 

Long-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond   3.000%         5/15/45  40,205    33,151
  United States Treasury Note/Bond   2.875%         8/15/45  48,963    39,438
  United States Treasury Note/Bond   3.000%        11/15/45  32,100    26,402
  United States Treasury Note/Bond   2.500%         2/15/46   9,295     6,973
  United States Treasury Note/Bond   2.500%         5/15/46     810       607
  United States Treasury Note/Bond   2.250%         8/15/46  45,600    32,433
  United States Treasury Note/Bond   2.875%        11/15/46  19,969    16,031
  United States Treasury Note/Bond   3.000%         2/15/47  44,998    36,919
  United States Treasury Note/Bond   3.000%         5/15/47   2,636     2,162
  United States Treasury Note/Bond   2.750%         8/15/47  25,230    19,746
  United States Treasury Note/Bond   2.750%        11/15/47  22,690    17,755
  United States Treasury Note/Bond   3.125%         5/15/48  13,000    10,912
  United States Treasury Note/Bond   3.000%         8/15/48  16,533    13,562
  United States Treasury Note/Bond   3.375%        11/15/48   3,561     3,131
  United States Treasury Note/Bond   3.000%         2/15/49  37,920    31,177
2 United States Treasury Note/Bond   2.875%         5/15/49 104,761    84,218
  United States Treasury Note/Bond   2.375%        11/15/49  36,400    26,407
  United States Treasury Note/Bond   2.000%         2/15/50  89,000    59,255
  United States Treasury Note/Bond   1.250%         5/15/50  87,200    47,524
  United States Treasury Note/Bond   1.375%         8/15/50 113,297    63,818
  United States Treasury Note/Bond   1.625%        11/15/50  97,012    58,419
  United States Treasury Note/Bond   1.875%         2/15/51 126,600    81,301
  United States Treasury Note/Bond   2.375%         5/15/51  84,800    61,202
  United States Treasury Note/Bond   2.000%         8/15/51 119,000    78,670
  United States Treasury Note/Bond   1.875%        11/15/51  88,700    56,726
  United States Treasury Note/Bond   2.250%         2/15/52 113,000    79,224
  United States Treasury Note/Bond   2.875%         5/15/52  89,000    71,645
  United States Treasury Note/Bond   3.000%         8/15/52  73,500    60,718
  United States Treasury Note/Bond   4.000%        11/15/52  83,800    83,735
  United States Treasury Note/Bond   3.625%         2/15/53 106,700    99,531
                   2,619,741
Agency Bonds and Notes (6.1%)
3 Fannie Mae Principal Strip   0.000%          8/6/38  36,000    18,031
  Federal Farm Credit Banks Funding Corp.   3.820%         6/15/37  25,000    22,874
  Federal Farm Credit Banks Funding Corp.   4.000%          9/8/37  25,000    23,261
3 Federal Home Loan Mortgage Corp.   0.000%        12/14/29  20,000    15,066
3 Federal Home Loan Mortgage Corp.   0.000%        11/15/38  14,465     7,154
3 Federal National Mortgage Assn.   0.000%        11/15/30  49,591    35,733
3 Freddie Mac Principal Strips   0.000%         3/15/31  68,687    48,720
  Resolution Funding Corp. Principal Strip   0.000%         1/15/30  20,000    14,991
                   185,830
Conventional Mortgage-Backed Securities (9.0%)
3,4 UMBS Pool   2.500%   2/1/52–5/1/53  36,562    30,820
3,4 UMBS Pool   6.000%  10/1/52–7/1/53  29,373    29,696
3,4 UMBS Pool   4.500%  11/1/52–5/1/53  33,886    32,497
3,4 UMBS Pool   5.500%   2/1/53–6/1/53  52,473    52,202
3,4,5 UMBS Pool   6.500% 8/14/53–9/14/53 127,500   129,910
                   275,125
Nonconventional Mortgage-Backed Securities (0.3%)
4 Ginnie Mae REMICS   1.100%         1/20/51  13,175     9,932
Total U.S. Government and Agency Obligations (Cost $3,677,053) 3,090,628
50

 

Long-Term Treasury Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
6 Vanguard Market Liquidity Fund (Cost $11,240)   5.274%                  112,420          11,240
Total Investments (102.0%) (Cost $3,688,293) 3,101,868
Other Assets and Liabilities—Net (-2.0%) (61,998)
Net Assets (100%) 3,039,870
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $12,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 Securities with a value of $13,105,000 have been segregated as initial margin for open futures contracts.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 326 66,188 (44)
5-Year U.S. Treasury Note September 2023 817 87,272 (754)
Ultra Long U.S. Treasury Bond September 2023 2,031 268,536 (6,417)
        (7,215)
Short Futures Contracts        
10-Year U.S. Treasury Note September 2023 (1,163) (129,565) 857
Long U.S. Treasury Bond September 2023 (93) (11,573) 190
Ultra 10-Year U.S. Treasury Note September 2023 (222) (25,971) 530
        1,577
        (5,638)
  
See accompanying Notes, which are an integral part of the Financial Statements.
51

 

Long-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,677,053) 3,090,628
Affiliated Issuers (Cost $11,240) 11,240
Total Investments in Securities 3,101,868
Investment in Vanguard 104
Cash 1,026
Receivables for Investment Securities Sold 274,585
Receivables for Accrued Income 31,332
Receivables for Capital Shares Issued 2,836
Variation Margin Receivable—Futures Contracts 579
Other Assets 39
Total Assets 3,412,369
Liabilities  
Payables for Investment Securities Purchased 369,396
Payables for Capital Shares Redeemed 1,915
Payables for Distributions 1,030
Payables to Vanguard 158
Total Liabilities 372,499
Net Assets 3,039,870
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 4,166,191
Total Distributable Earnings (Loss) (1,126,321)
Net Assets 3,039,870
 
Investor Shares—Net Assets  
Applicable to 61,589,787 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		540,144
Net Asset Value Per Share—Investor Shares $8.77
 
Admiral Shares—Net Assets  
Applicable to 285,030,635 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,499,726
Net Asset Value Per Share—Admiral Shares $8.77
  
See accompanying Notes, which are an integral part of the Financial Statements.
52

 

Long-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 51,003
Total Income 51,003
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 172
Management and Administrative—Investor Shares 477
Management and Administrative—Admiral Shares 990
Marketing and Distribution—Investor Shares 23
Marketing and Distribution—Admiral Shares 77
Custodian Fees 6
Shareholders’ Reports—Investor Shares 26
Shareholders’ Reports—Admiral Shares 16
Trustees’ Fees and Expenses 1
Other Expenses 7
Total Expenses 1,795
Expenses Paid Indirectly (8)
Net Expenses 1,787
Net Investment Income 49,216
Realized Net Gain (Loss)  
Investment Securities Sold1 (114,072)
Futures Contracts (2,571)
Realized Net Gain (Loss) (116,643)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (76,758)
Futures Contracts (6,840)
Change in Unrealized Appreciation (Depreciation) (83,598)
Net Increase (Decrease) in Net Assets Resulting from Operations (151,025)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $547,000, $4,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

Long-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 49,216   81,317
Realized Net Gain (Loss) (116,643)   (286,651)
Change in Unrealized Appreciation (Depreciation) (83,598)   (579,884)
Net Increase (Decrease) in Net Assets Resulting from Operations (151,025)   (785,218)
Distributions      
Investor Shares (8,885)   (15,599)
Admiral Shares (40,314)   (65,502)
Total Distributions (49,199)   (81,101)
Capital Share Transactions      
Investor Shares 3,147   897
Admiral Shares 199,318   198,905
Net Increase (Decrease) from Capital Share Transactions 202,465   199,802
Total Increase (Decrease) 2,241   (666,517)
Net Assets      
Beginning of Period 3,037,629   3,704,146
End of Period 3,039,870   3,037,629
  
See accompanying Notes, which are an integral part of the Financial Statements.
54

 

Long-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $9.36 $12.29 $13.55 $14.05 $11.86 $11.96
Investment Operations            
Net Investment Income1 .143 .261 .239 .273 .331 .334
Net Realized and Unrealized Gain (Loss) on Investments (.590) (2.931) (.923) .677 2.226 (.100)
Total from Investment Operations (.447) (2.670) (.684) .950 2.557 .234
Distributions            
Dividends from Net Investment Income (.143) (.260) (.239) (.273) (.331) (.334)
Distributions from Realized Capital Gains — — (.337) (1.177) (.036) —
Total Distributions (.143) (.260) (.576) (1.450) (.367) (.334)
Net Asset Value, End of Period $8.77 $9.36 $12.29 $13.55 $14.05 $11.86
Total Return2 -4.81% -21.78% -4.92% 6.41% 21.84% 2.05%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $540 $574 $750 $931 $971 $794
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.18% 2.62% 1.90% 1.79% 2.55% 2.89%
Portfolio Turnover Rate4 67% 107% 106% 172% 96%5 122%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 9%, 17%, 2%, 26%, 4%, and 34%, respectively, attributable to mortgage-dollar-roll activity.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
55

 

Long-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $9.36 $12.29 $13.55 $14.05 $11.86 $11.96
Investment Operations            
Net Investment Income1 .147 .271 .252 .288 .344 .346
Net Realized and Unrealized Gain (Loss) on Investments (.590) (2.931) (.923) .677 2.226 (.100)
Total from Investment Operations (.443) (2.660) (.671) .965 2.570 .246
Distributions            
Dividends from Net Investment Income (.147) (.270) (.252) (.288) (.344) (.346)
Distributions from Realized Capital Gains — — (.337) (1.177) (.036) —
Total Distributions (.147) (.270) (.589) (1.465) (.380) (.346)
Net Asset Value, End of Period $8.77 $9.36 $12.29 $13.55 $14.05 $11.86
Total Return2 -4.77% -21.70% -4.82% 6.51% 21.96% 2.16%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,500 $2,464 $2,954 $3,292 $3,071 $2,532
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.28% 2.73% 2.00% 1.89% 2.65% 2.99%
Portfolio Turnover Rate4 67% 107% 106% 172% 96%5 122%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 9%, 17%, 2%, 26%, 4%, and 34%, respectively, attributable to mortgage-dollar-roll activity.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
56

 

Long-Term Treasury Fund
Notes to Financial Statements
Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously
57

 

Long-Term Treasury Fund
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 in the Statement of Assets and Liabilities.
4. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 10% and 6% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its
58

 

Long-Term Treasury Fund
borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $104,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital
59

 

Long-Term Treasury Fund
received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 3,090,628 — 3,090,628
Temporary Cash Investments 11,240 — — 11,240
Total 11,240 3,090,628 — 3,101,868
Derivative Financial Instruments         
Assets        
Futures Contracts1 1,577 — — 1,577
Liabilities        
Futures Contracts1 7,215 — — 7,215
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 3,725,935
Gross Unrealized Appreciation 1,708
Gross Unrealized Depreciation (631,413)
Net Unrealized Appreciation (Depreciation) (629,705)
60

 

Long-Term Treasury Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $365,955,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended July 31, 2023, the fund purchased $2,221,688,000 of investment securities and sold $2,069,090,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 81,450 8,905   158,597 16,242
Issued in Lieu of Cash Distributions 8,219 909   14,592 1,500
Redeemed (86,522) (9,545)   (172,292) (17,446)
Net Increase (Decrease)—Investor Shares 3,147 269   897 296
Admiral Shares          
Issued 446,654 49,376   762,171 79,384
Issued in Lieu of Cash Distributions 35,241 3,899   57,321 5,902
Redeemed (282,577) (31,402)   (620,587) (62,587)
Net Increase (Decrease)—Admiral Shares 199,318 21,873   198,905 22,699
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can,
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Long-Term Treasury Fund
therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
62

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Short-Term Treasury Fund, Vanguard Intermediate-Term Treasury Fund, Vanguard Long-Term Treasury Fund, and Vanguard Short-Term Federal Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades and has advised the Short-Term Treasury, Intermediate-Term Treasury, Long-Term Treasury, and Short-Term Federal Funds since their inceptions. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue.
63

 

Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the Short-Term Treasury, Intermediate-Term Treasury, Long-Term Treasury, and Short-Term Federal Funds’ arrangements with Vanguard ensure that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
64

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund, and Vanguard Long-Term Treasury Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
65

 

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All rights reserved.
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Q322 092023
Semiannual Report   |   July 31, 2023
Vanguard Corporate Bond Funds
Vanguard Short-Term Investment-Grade Fund
Vanguard Intermediate-Term Investment-Grade Fund
Vanguard Long-Term Investment-Grade Fund

 

Contents
About Your Fund’s Expenses
1
Short-Term Investment-Grade Fund
3
Intermediate-Term Investment-Grade Fund
42
Long-Term Investment-Grade Fund
78
Trustees Approve Advisory Arrangements
109
Liquidity Risk Management
111

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,007.70 $1.00
Admiral™ Shares 1,000.00 1,008.20 0.50
Institutional Shares 1,000.00 1,008.40 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $997.70 $0.99
Admiral Shares 1,000.00 998.20 0.50
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $975.30 $1.08
Admiral Shares 1,000.00 975.70 0.59
1

 

Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Institutional Shares 1,000.00 1,024.45 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.70 $1.10
Admiral Shares 1,000.00 1,024.20 0.60
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Short-Term Investment-Grade Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; and for the Long-Term Investment-Grade Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

Short-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2023
Asset-Backed/Commercial Mortgage-Backed Securities 3.3%
Corporate Bonds - Communications 6.2
Corporate Bonds - Consumer Discretionary 5.9
Corporate Bonds - Consumer Staples 5.7
Corporate Bonds - Energy 5.8
Corporate Bonds - Financials 29.4
Corporate Bonds - Health Care 9.7
Corporate Bonds - Industrials 6.2
Corporate Bonds - Materials 2.4
Corporate Bonds - Real Estate 4.2
Corporate Bonds - Technology 5.0
Corporate Bonds - Utilities 5.4
Floating Rate Loan Interests 0.3
Sovereign Bonds 1.4
Taxable Municipal Bonds 0.1
U.S. Government and Agency Obligations 9.0
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
3

 

Short-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (9.0%)
U.S. Government Securities (9.0%)
  United States Treasury Note/Bond  4.625%   2/28/25   260,000    258,009
  United States Treasury Note/Bond  3.875%   4/30/25   219,969    215,741
  United States Treasury Note/Bond  4.250%   5/31/25    64,949     64,127
  United States Treasury Note/Bond  0.250%  10/31/25    88,250     79,811
1,2 United States Treasury Note/Bond  0.375%  11/30/25   126,018    114,007
  United States Treasury Note/Bond  4.000%  12/15/25   150,000    147,563
1 United States Treasury Note/Bond  0.375%   1/31/26   416,269    374,577
3 United States Treasury Note/Bond  0.500%   2/28/26   452,425    407,324
  United States Treasury Note/Bond  0.750%   3/31/26   203,000    183,778
  United States Treasury Note/Bond  3.750%   4/15/26   544,646    532,902
  United States Treasury Note/Bond  3.625%   5/15/26   276,578    269,836
  United States Treasury Note/Bond  0.750%   5/31/26   282,426    254,183
  United States Treasury Note/Bond  2.125%   5/31/26   160,000    149,800
  United States Treasury Note/Bond  2.625%   5/31/27   275,000    258,414
  United States Treasury Note/Bond  3.250%   6/30/27   120,000    115,406
  United States Treasury Note/Bond  2.750%   7/31/27   170,130    160,401
  United States Treasury Note/Bond  4.125%  10/31/27   179,627    178,504
  United States Treasury Note/Bond  3.875%  12/31/27   120,000    118,163
  United States Treasury Note/Bond  0.750%   1/31/28    50,286     43,152
  United States Treasury Note/Bond  1.250%   3/31/28    93,938     82,196
  United States Treasury Note/Bond  2.875%   5/15/28    70,000     65,964
  United States Treasury Note/Bond  1.250%   5/31/28    40,898     35,652
  United States Treasury Note/Bond  1.250%   6/30/28   159,035    138,386
  United States Treasury Note/Bond  1.000%   7/31/28   173,059    148,371
  United States Treasury Note/Bond  4.125%   7/31/28   470,000    469,192
  United States Treasury Note/Bond  1.125%   8/31/28    84,865     73,090
  United States Treasury Note/Bond  1.250%   9/30/28    85,942     74,326
  United States Treasury Note/Bond  1.500%  11/30/28   120,000    104,794
Total U.S. Government and Agency Obligations (Cost $5,275,155) 5,117,669
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Asset-Backed/Commercial Mortgage-Backed Securities (3.2%)
4 American Express Credit Account Class A Series 2022-2  3.390%   5/15/27    28,260     27,320
4 American Express Credit Account Master Trust Class A Series 2022-3  3.750%   8/15/27    67,035     65,029
4 American Express Credit Account Master Trust Class A Series 2022-4  4.950%  10/15/27    15,770     15,696
4 American Express Credit Account Master Trust Class A Series 2023-2  4.800%   5/15/30    19,730     19,692
4,5 American Homes 4 Rent Trust Class A Series 2014-SFR2  3.786%  10/17/36    11,361     11,044
4,5 American Homes 4 Rent Trust Class A Series 2015-SFR2  3.732%  10/17/52     3,105      2,969
4,5 American Homes 4 Rent Trust Class B Series 2014-SFR2  4.290%  10/17/36     3,360      3,271
4,5 American Homes 4 Rent Trust Class B Series 2015-SFR2  4.295%  10/17/52     2,830      2,713
4 AmeriCredit Automobile Receivables Trust Class C Series 2020-2  1.480%   2/18/26     7,730      7,481
4 AmeriCredit Automobile Receivables Trust Class D Series 2020-2  2.130%   3/18/26     7,990      7,542
4,5 Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-2A  3.350%   9/22/25    14,490     14,106
4,5 Avis Budget Rental Car Funding AESOP LLC Class A Series 2023-5A  5.780%   4/20/28     7,030      7,006
4 BA Credit Card Trust Class A1 Series 2022-A1  3.530%  11/15/27    13,900     13,469
4 BA Credit Card Trust Class A2 Series 2022-A2  5.000%   4/15/28    13,320     13,271
4 Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3  3.574%   2/15/50     4,760      4,443
4,6 Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7  4.338%   9/15/48     1,600      1,159
4,6 Banc of America Funding Trust Class 2A2 Series 2006-H  4.147%   9/20/46     2,862      2,129
4 BANK Class A4 Series 2017-BNK4  3.625%   5/15/50     3,890      3,578
4 BANK Class A4 Series 2017-BNK7  3.175%   9/15/60       830        758
4 BANK Class A4 Series 2017-BNK8  3.488%  11/15/50     5,500      4,872
4 BANK Class A5 Series 2017-BNK7  3.435%   9/15/60     3,120      2,873
4,5 Bank of America Auto Trust Class A4 Series 2023-1A  5.390%   7/16/29     3,450      3,458
4

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 BBCMS Mortgage Trust Class A1 Series 2022-C16  4.021%   6/15/55     7,167      6,911
4,6 Bear Stearns ARM Trust Class 1A1 Series 2007-3  3.884%   5/25/47     3,888      3,175
4,6 Bear Stearns ARM Trust Class 2A1 Series 2006-4  4.124%  10/25/36     4,514      3,472
4 Benchmark Mortgage Trust Class A4 Series 2018-B8  3.963%   1/15/52     2,620      2,428
4,6 Benchmark Mortgage Trust Class A5 Series 2018-B1  3.666%   1/15/51     6,333      5,811
4 Capital One Multi-Asset Execution Trust Class A Series 2022-A3  4.950%  10/15/27    17,710     17,610
4 Capital One Multi-Asset Execution Trust Class A3 Series 2019-A3  2.060%   8/15/28     7,323      6,707
4 Capital One Prime Auto Receivables Trust Class A3 Series 2022-2  3.660%   5/17/27    14,380     13,922
4 Capital One Prime Auto Receivables Trust Class A4 Series 2021-1  1.040%   4/15/27    12,510     11,446
4 Capital One Prime Auto Receivables Trust Class A4 Series 2022-2  3.690%  12/15/27    13,160     12,561
4 Capital One Prime Auto Receivables Trust Class A4 Series 2023-1  4.760%   8/15/28     5,010      4,973
4 CarMax Auto Owner Trust Class A4 Series 2023-1  4.650%   1/16/29     6,400      6,306
4 CarMax Auto Owner Trust Class C Series 2020-3  1.690%   4/15/26     4,840      4,630
4 CarMax Auto Owner Trust Class C Series 2020-4  1.300%   8/17/26     6,190      5,734
4 Carvana Auto Receivables Trust Class A3 Series 2021-P3  0.700%  11/10/26    18,649     17,842
4 Carvana Auto Receivables Trust Class A4 Series 2021-P3  1.030%   6/10/27     9,760      8,662
4 CD Mortgage Trust Class A3 Series 2018-CD7  4.013%   8/15/51     6,366      5,964
4 CD Mortgage Trust Class A4 Series 2016-CD1  2.724%   8/10/49     3,650      3,278
4 CD Mortgage Trust Class A4 Series 2017-CD3  3.631%   2/10/50     5,355      4,805
4,6 CD Mortgage Trust Class A4 Series 2017-CD4  3.514%   5/10/50     6,310      5,753
4 CD Mortgage Trust Class AM Series 2016-CD1  2.926%   8/10/49     3,106      2,621
4,6 CD Mortgage Trust Class AM Series 2017-CD6  3.709%  11/13/50     2,840      2,478
4,6 CD Mortgage Trust Class AS Series 2016-CD1  3.684%   8/15/50     2,092      1,876
4,6 CD Mortgage Trust Class C Series 2016-CD1  3.631%   8/10/49     3,319      2,652
4,6 CD Mortgage Trust Class C Series 2018-CD7  4.843%   8/15/51     2,830      2,112
4 CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4  3.283%   5/10/58     5,064      4,703
4,6 CHL Mortgage Class 1A1 Series 2006-HYB1 Pass-Through Trust  3.924%   3/20/36     2,778      2,425
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,6 CHL Mortgage Class 3A1 Series 2007-HYB2 Pass-Through Trust  3.644%   2/25/47     3,367      2,846
4 Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8  3.203%   9/15/50     2,641      2,392
4 Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31  3.762%   6/10/48     6,297      5,980
4 Citigroup Commercial Mortgage Trust Class A4 Series 2016-GC36  3.349%   2/10/49     5,412      5,117
4 Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4  3.471%  10/12/50     4,800      4,314
4,6 Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5  4.228%   6/10/51     4,260      3,997
4 Citigroup Commercial Mortgage Trust Class B Series 2017-P8  4.192%   9/15/50     3,800      3,170
4,6 Citigroup Commercial Mortgage Trust Class C Series 2015-GC33  4.573%   9/10/58     4,000      3,296
4,6 Citigroup Commercial Mortgage Trust Class C Series 2017-P8  4.259%   9/15/50     2,160      1,560
4,6 Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR8  4.368%   7/25/37       194        184
4 CNH Equipment Trust Class A3 Series 2022-B  3.890%   8/16/27     8,260      8,045
4 CNH Equipment Trust Class A4 Series 2022-B  3.910%   3/15/28     4,270      4,093
4 COMM Mortgage Trust Class A3 Series 2014-CR14  3.955%   2/10/47     1,915      1,907
4,6 COMM Mortgage Trust Class A4 Series 2013-CR13  4.194%  11/10/46     3,617      3,584
4,5 COMM Mortgage Trust Class B Series 2013-CR6  3.397%   3/10/46     1,116        938
4 CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7  3.502%  11/15/49     5,173      4,791
4,6 CSAIL Commercial Mortgage Trust Class C Series 2015-C3  4.353%   8/15/48     4,400      3,080
4 DBJPM Mortgage Trust Class A5 Series 2017-C6  3.328%   6/10/50     3,540      3,239
4 Discover Card Execution Note Trust Class A Series 2022-A2  3.320%   5/15/27    27,080     26,147
4 Discover Card Execution Note Trust Class A Series 2022-A4  5.030%  10/15/27    39,780     39,636
4 Discover Card Execution Note Trust Class A2 Series 2021-A2  1.030%   9/15/28    11,180      9,876
4 Discover Card Execution Note Trust Class A3 Series 2022-A3  3.560%   7/15/27    74,205     71,910
4,5 DLLAA LLC Class A3 Series 2023-1A  5.640%   2/22/28     4,820      4,833
4,5 DLLAA LLC Class A4 Series 2023-1A  5.730%  10/20/31     2,730      2,737
4,5 DLLMT LLC Class A4 Series 2021-1A  1.240%   6/20/29     7,940      7,398
4 Drive Auto Receivables Trust Class C Series 2020-2  2.280%   8/17/26       583        582
 
5

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Drive Auto Receivables Trust Class D Series 2019-4  2.700%   2/16/27     2,584      2,557
4 Drive Auto Receivables Trust Class D Series 2020-1  2.700%   5/17/27     3,567      3,499
4 Drive Auto Receivables Trust Class D Series 2020-2  3.050%   5/15/28     6,160      6,053
4,5,6 Edsouth Indenture No. 9 LLC Class A Series 2015-1, SOFR30A + 0.914%  5.983%  10/25/56     6,813      6,666
4,5 EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A  3.580%  11/25/38     2,960      2,808
4,5 Enterprise Fleet Financing LLC Class A2 Series 2021-3  0.770%   8/20/27     8,719      8,395
4,5,6,7 Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2023-R06, SOFR30A + 1.700%  6.769%   7/25/43     2,910      2,917
4,6 First Horizon Mortgage Class 1A1 Series 2006-AR3 Pass-Through Trust  3.376%  11/25/36     1,781      1,023
4,6 First Horizon Mortgage Class 1A1 Series 2006-AR4 Pass-Through Trust  4.140%   1/25/37     3,192      1,776
4,6,8 Five Mortgage Trust Class A3 Series 2023-V1  5.668%   2/10/56       850        848
4,5 Ford Credit Auto Owner Trust Class A Series 2020-1  2.040%   8/15/31    14,180     13,403
4,5 Ford Credit Auto Owner Trust Class A Series 2023-1  4.850%   8/15/35    32,740     32,340
4 Ford Credit Auto Owner Trust Class A4 Series 2022-B  3.930%   8/15/27     6,800      6,586
4 Ford Credit Auto Owner Trust Class A4 Series 2022-D  5.300%   3/15/28     6,810      6,810
4,5 Ford Credit Auto Owner Trust Class B Series 2020-2  1.490%   4/15/33     6,100      5,328
4,5 Ford Credit Auto Owner Trust Class C Series 2020-1  2.540%   8/15/31     7,484      7,046
4 Ford Credit Auto Owner Trust Class C Series 2020-C  1.040%   5/15/28     4,930      4,571
4,5 Ford Credit Auto Owner Trust Class C Series 2021-1  1.910%  10/17/33     6,400      5,673
4,5 Ford Credit Floorplan Master Owner Trust Class A1 Series 2023-1  4.920%   5/15/28    15,430     15,252
4 Ford Credit Floorplan Master Owner Trust Class D Series 2020-1  2.120%   9/15/25     5,350      5,320
4,5,6,7 Freddie Mac STACR REMIC Trust Class M1A Series 2022-HQA1, SOFR30A + 2.100%  7.169%   3/25/42     3,358      3,371
4 GM Financial Automobile Leasing Trust Class B Series 2022-2  4.020%   5/20/26     8,240      8,000
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2022-3  3.640%   4/16/27    29,050     28,321
4 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2023-1  4.660%   2/16/28    13,150     12,999
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-2  0.820%  10/16/26    10,500      9,692
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-3  0.730%   8/16/27    14,240     12,955
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-4  0.990%  10/18/27    11,410     10,333
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2022-3  3.710%  12/16/27    15,490     14,737
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2022-4  4.880%   8/16/28     6,220      6,184
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2023-1  4.590%   7/17/28       860        843
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2020-4  0.730%   3/16/26     7,010      6,615
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2021-1  0.750%   5/17/27     3,250      3,016
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2021-2  1.090%  12/16/26     7,270      6,686
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3  1.370%   1/16/26     2,200      2,109
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4  1.050%   5/18/26     2,710      2,558
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2023-1  5.320%  10/16/28     3,540      3,494
4 GM Financial Consumer Automobile Receivables Trust Class D Series 2020-3  1.910%   9/16/27     3,400      3,244
4,5 GM Financial Revolving Receivables Trust Class A Series 2023-1  5.120%   4/11/35     8,980      8,964
4,5 GM Financial Revolving Receivables Trust Class B Series 2021-1  1.490%   6/12/34     1,870      1,635
4,5 GM Financial Revolving Receivables Trust Class C Series 2021-1  1.670%   6/12/34     3,380      2,948
4,6 GMACM Mortgage Loan Trust Class 3A1 Series 2005-AR6  3.620%  11/19/35       430        351
 
6

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,5 GMF Floorplan Owner Revolving Trust Class A Series 2023-2  5.340%   6/15/30     7,830      7,859
4,5 GMF Floorplan Owner Revolving Trust Class B Series 2020-1  1.030%   8/15/25     3,940      3,933
4,5 GMF Floorplan Owner Revolving Trust Class B Series 2020-2  0.960%  10/15/25     8,220      8,138
4,5 GMF Floorplan Owner Revolving Trust Class C Series 2020-1  1.480%   8/15/25     3,210      3,204
4,5 GMF Floorplan Owner Revolving Trust Class C Series 2020-2  1.310%  10/15/25     5,800      5,739
4,5 Golden Credit Card Trust Class A Series 2021-1A  1.140%   8/15/28    31,290     27,656
4 GS Mortgage Securities Trust Class A3 Series 2017-GS6  3.433%   5/10/50     2,501      2,262
4 GS Mortgage Securities Trust Class A4 Series 2015-GC32  3.764%   7/10/48     9,121      8,686
4,6 GS Mortgage Securities Trust Class A4 Series 2018-GS9  3.992%   3/10/51     4,990      4,589
4,6 GS Mortgage Securities Trust Class A5 Series 2018-GS10  4.155%   7/10/51     3,865      3,593
4 GS Mortgage Securities Trust Class AS Series 2014-GC20  4.258%   4/10/47     1,410      1,374
4,6 GS Mortgage Securities Trust Class C Series 2014-GC24  4.525%   9/10/47    17,556     12,883
4,6 GS Mortgage Securities Trust Class C Series 2015-GC34  4.639%  10/10/48     3,980      3,332
4,5 Hertz Vehicle Financing III LLC Class A Series 2022-1A  1.990%   6/25/26    11,420     10,641
4,5 Hertz Vehicle Financing III LLC Class A Series 2022-1A  2.630%   6/25/26     4,980      4,610
4,5 Hertz Vehicle Financing III LLC Class A Series 2022-3A  3.370%   3/25/25     4,780      4,726
4,5 Hertz Vehicle Financing III LLC Class C Series 2022-3A  4.350%   3/25/25     3,360      3,316
4 Honda Auto Receivables Owner Trust Class A3 Series 2021-4  1.140%   6/21/28     8,630      7,974
4 Honda Auto Receivables Owner Trust Class A3 Series 2022-2  3.730%   7/20/26    11,330     11,048
4 Honda Auto Receivables Owner Trust Class A4 Series 2021-3  0.600%  12/20/27    13,000     12,024
4 Honda Auto Receivables Owner Trust Class A4 Series 2022-2  3.760%  12/18/28     4,760      4,603
4 Honda Auto Receivables Owner Trust Class A4 Series 2023-1  4.970%   6/21/29     7,510      7,467
4 Hyundai Auto Receivables Trust Class A4 Series 2021-C  1.030%  12/15/27    13,120     12,019
4 Hyundai Auto Receivables Trust Class A4 Series 2022-B  3.800%   8/15/28    15,460     14,797
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Hyundai Auto Receivables Trust Class B Series 2020-C  0.810%  11/16/26     8,220      7,632
4 Hyundai Auto Receivables Trust Class B Series 2021-A  1.090%   5/17/27     8,510      7,808
4 Hyundai Auto Receivables Trust Class B Series 2021-B  0.910%   2/16/27     7,900      7,125
4 Hyundai Auto Receivables Trust Class C Series 2020-C  1.080%  12/15/27     7,250      6,663
4 John Deere Owner Trust Class A4 Series 2023-A  5.010%  12/17/29    12,389     12,308
4,5,6 JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2  5.688%  11/15/43     2,366      2,262
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C21  3.493%   8/15/47     3,141      3,089
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32  3.598%  11/15/48     7,642      7,142
4 JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6  3.224%   7/15/50     6,030      5,486
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5  3.723%   3/15/50     5,970      5,519
4 JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8  4.211%   6/15/51     4,000      3,768
4 JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7  3.409%  10/15/50     5,693      5,205
4,5 Kubota Credit Owner Trust Class A4 Series 2023-1A  5.070%   2/15/29     3,730      3,695
4,5 Laurel Road Prime Student Loan Trust Class A2B Series 2017-C  2.810%  11/25/42       736        723
4,5 Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B  3.540%   5/26/43     1,256      1,240
4,5 Master Credit Card Trust II Class A Series 2023-1A  4.700%   6/21/27     8,560      8,419
4,5 Master Credit Card Trust II Class A2 Series 2022-1  1.660%   7/21/26    16,300     15,385
4,6 MASTR Adjustable Rate Mortgages Trust Class 5A1 Series 2004-3  4.091%   4/25/34        27         26
4 Mercedes-Benz Auto Receivables Trust Class A3 Series 2023-1  4.510%  11/15/27    17,250     16,960
4 Mercedes-Benz Auto Receivables Trust Class A4 Series 2022-1  5.250%   2/15/29     5,930      5,946
4 Mercedes-Benz Auto Receivables Trust Class A4 Series 2023-1  4.310%   4/16/29     4,620      4,513
4,6 Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A4  5.700%   7/25/33       143        145
 
7

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,6 Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500%  7.240%   2/25/33       230        218
4,5 MMAF Equipment Finance LLC Class A5 Series 2018-A  3.610%   3/10/42       314        313
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34  3.536%  11/15/52     2,475      2,241
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25  3.635%  10/15/48     5,857      5,526
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10  3.989%   7/15/46     3,372      2,543
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15  4.858%   4/15/47     1,895      1,841
4 Morgan Stanley Capital I Class ASB Series 2017-HR2  3.509%  12/15/50     4,791      4,562
4,5 Morgan Stanley Capital I Trust Class A Series 2014-150E  3.912%    9/9/32     7,955      6,185
4,6 Morgan Stanley Mortgage Loan Trust Class 5A1 Series 2006-8AR  6.128%   6/25/36     1,697      1,642
4,5 MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV  3.277%  10/15/30    14,615     11,333
4,5 Navient Private Education Loan Trust Class A2A Series 2017-A  2.880%  12/16/58     1,199      1,187
4,5 Navient Private Education Loan Trust Class A2A Series 2018-BA  3.610%  12/15/59     4,315      4,160
4 Nissan Auto Receivables Owner Trust Class A4 Series 2023-A  4.850%   6/17/30     4,580      4,546
4,5 Palisades Center Trust Class A Series 2016-PLSD  2.713%   4/13/33     8,240      4,799
4,5,6 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, SOFR + 1.114%  6.319%   6/20/60       327        327
4,5,6 Pepper Residential Securities Trust No. 24 Class A1U Series 24A, SOFR + 1.064%  6.249%   8/18/60       408        408
4,5 PFS Financing Corp. Class A Series 2023-B  5.270%   5/15/28     9,240      9,131
4,5,6 PHEAA Student Loan Trust Class A Series 2016-2A, SOFR30A + 1.064%  6.133%  11/25/65     8,005      7,897
4,5 Progress Residential Trust Class A Series 2022-SFR3  3.200%   4/17/39     3,665      3,342
4,5 Progress Residential Trust Class A Series 2022-SFR5  4.451%   6/17/39     3,040      2,894
4,5 Progress Residential Trust Class B Series 2022-SFR3  3.600%   4/17/39     1,590      1,448
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,5 Progress Residential Trust Class B Series 2022-SFR5  4.896%   6/17/39     2,850      2,717
4,6 RFMSI Series Trust Class 2A1 Series 2006-SA3  5.225%   9/25/36     2,092      1,087
4,6 RFMSI Trust Class 2A1 Series 2006-SA2  5.335%   8/25/36     5,422      3,103
4 Santander Drive Auto Receivables Trust Class C Series 2023-1  5.090%   5/15/30     2,000      1,949
4,5 Santander Retail Auto Lease Trust Class B Series 2022-B  3.850%   3/22/27     6,030      5,818
4,5 Santander Retail Auto Lease Trust Class D Series 2020-B  1.980%  10/20/25    17,540     17,061
4,5 Santander Retail Auto Lease Trust Class D Series 2021-B  1.410%  11/20/25    14,530     13,867
4,5 SMB Private Education Loan Trust Class A2A Series 2016-A  2.700%   5/15/31     1,677      1,620
4,5 SMB Private Education Loan Trust Class A2A Series 2017-B  2.820%  10/15/35     5,764      5,469
4,5 SMB Private Education Loan Trust Class A2A Series 2018-B  3.600%   1/15/37     8,323      7,952
4,5 SMB Private Education Loan Trust Class A2A Series 2018-C  3.630%  11/15/35    10,262      9,839
4,5 SoFi Professional Loan Program LLC Class A2FX Series 2017-B  2.740%   5/25/40       258        257
4,5 SoFi Professional Loan Program LLC Class A2FX Series 2017-D  2.650%   9/25/40     1,835      1,746
4,5 SoFi Professional Loan Program LLC Class A2FX Series 2017-F  2.840%   1/25/41     1,991      1,914
4 Synchrony Card Funding Trust LLC Class A Series 2022-A2  3.860%   7/15/28    26,580     25,820
4,5 Tesla Auto Lease Trust Class A4 Series 2021-B  0.630%   9/22/25     7,820      7,486
4,5 Tesla Auto Lease Trust Class A4 Series 2023-A  5.940%   7/20/27     3,430      3,429
4,5 Tesla Auto Lease Trust Class B Series 2021-B  0.910%   9/22/25    11,660     11,103
4,5 Tesla Auto Lease Trust Class C Series 2021-B  1.120%   9/22/25     7,770      7,382
4,5 T-Mobile US Trust Class A Series 2022-1A  4.910%   5/22/28    12,290     12,156
4,5 TMSQ Mortgage Trust Class A Series 2014-1500  3.680%  10/10/36    21,960     18,205
4,5 Toyota Auto Loan Extended Note Trust Class A Series 2020-1A  1.350%   5/25/33    17,410     16,145
4 Toyota Auto Receivables Owner Trust Class A3 Series 2021-C  0.720%   1/15/27    19,640     17,903
4 Toyota Auto Receivables Owner Trust Class A3 Series 2022-C  3.760%   4/15/27    18,590     18,105
4 Toyota Auto Receivables Owner Trust Class A4 Series 2021-D  1.020%   3/15/27    11,100     10,100
 
8

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Toyota Auto Receivables Owner Trust Class A4 Series 2022-C  3.770%   2/15/28    10,080      9,690
4 Toyota Auto Receivables Owner Trust Class A4 Series 2022-D  5.430%   4/17/28    10,710     10,832
4 Toyota Auto Receivables Owner Trust Class A4 Series 2023-A  4.420%   8/15/28     7,865      7,718
4,5 Trinity Rail Leasing LLC Class A2 Series 2018-1A  4.620%   6/17/48    18,660     17,450
4 UBS Commercial Mortgage Trust Class A4 Series 2017-C7  3.679%  12/15/50     5,515      4,969
4,5 UBS-BAMLL Trust Class A Series 2012-WRM  3.663%   6/10/30       793        700
4 Verizon Master Trust Class A Series 2022-6  3.670%   1/22/29    23,470     22,713
4 Verizon Master Trust Class A Series 2023-1  4.490%   1/22/29    17,220     16,929
4 Verizon Master Trust Class B Series 2021-1  0.690%   5/20/27    22,770     21,492
4 Verizon Master Trust Class B Series 2021-2  1.280%   4/20/28    19,430     18,316
4 Verizon Master Trust Class C Series 2021-1  0.890%   5/20/27    12,360     11,826
4,6 WaMu Mortgage Pass-Through Certificates Class 1A7 Series 2003-AR9 Trust  4.152%   9/25/33       296        280
4,6 WaMu Mortgage Pass-Through Certificates Class A Series 2002-AR18 Trust  4.470%   1/25/33        45         43
4,6 WaMu Mortgage Pass-Through Certificates Class A7 Series 2003-AR7 Trust  5.533%   8/25/33       209        198
4 Wells Fargo Commercial Mortgage Trust Class A3 Series 2017-C40  3.317%  10/15/50     6,950      6,374
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30  3.664%   9/15/58     5,260      4,990
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39  3.157%   9/15/50     5,750      5,254
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40  3.581%  10/15/50     2,495      2,302
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1  3.631%   1/15/60     2,479      2,313
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46  4.152%   8/15/51     3,435      3,218
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47  4.442%   9/15/61     3,040      2,890
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2013-LC12  4.195%   7/15/46       248        246
4 Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16  4.020%   8/15/50     7,100      6,808
4 Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16  4.322%   8/15/50     6,550      4,840
4 Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16  4.458%   8/15/50     6,830      2,856
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22  4.544%   9/15/58     4,885      4,158
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43  4.514%   3/15/51     3,490      2,693
4,6 Wells Fargo Mortgage Backed Securities Trust Class 2A1 Series 2006-AR14  4.507%  10/25/36     2,097      1,863
4,5,6 WFLD Mortgage Trust Class A Series 2014-MONT  3.755%   8/10/31    35,485     29,842
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21  3.410%   8/15/47     2,081      2,034
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14  3.766%   3/15/47     1,736      1,723
4 WFRBS Commercial Mortgage Trust Class AS Series 2014-C21  3.891%   8/15/47     7,130      6,775
4,6 WFRBS Commercial Mortgage Trust Class B Series 2013-C18  4.834%  12/15/46     5,775      5,367
4 WFRBS Commercial Mortgage Trust Class B Series 2014-C20  4.378%   5/15/47    11,110      8,257
4,6 WFRBS Commercial Mortgage Trust Class C Series 2014-C20  4.513%   5/15/47     4,500      2,269
4 World Omni Auto Receivables Trust Class A3 Series 2022-C  3.660%  10/15/27    10,150      9,845
4 World Omni Auto Receivables Trust Class A4 Series 2021-D  1.100%  11/15/27    13,110     11,988
4 World Omni Auto Receivables Trust Class A4 Series 2022-C  3.680%   9/15/28    10,970     10,409
4 World Omni Auto Receivables Trust Class A4 Series 2022-D  5.700%   2/15/29     6,510      6,631
4 World Omni Auto Receivables Trust Class A4 Series 2023-A  4.660%   5/15/29     7,050      6,931
4 World Omni Auto Receivables Trust Class B Series 2021-B  1.040%   6/15/27     4,360      3,972
4 World Omni Auto Receivables Trust Class B Series 2021-C  0.840%   9/15/27     5,360      4,830
4 World Omni Auto Receivables Trust Class C Series 2020-C  1.390%   5/17/27     3,900      3,664
4 World Omni Auto Receivables Trust Class C Series 2021-B  1.290%  12/15/27     4,270      3,865
4 World Omni Auto Receivables Trust Class C Series 2021-D  1.720%   6/15/28     4,640      4,227
4 World Omni Automobile Lease Securitization Trust Class B Series 2022-A  3.670%   6/15/27     4,970      4,819
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,989,415) 1,856,031
Corporate Bonds (85.6%)
Communications (6.2%)
  Activision Blizzard Inc.  3.400%   9/15/26     7,819      7,461
  AT&T Inc.  0.900%   3/25/24    31,924     30,935
 
9

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
9 AT&T Inc.  3.550%  11/18/25    42,000     45,716
  AT&T Inc.  3.875%   1/15/26    10,870     10,479
  AT&T Inc.  1.700%   3/25/26   215,590    195,848
  AT&T Inc.  2.300%    6/1/27    59,437     53,259
  AT&T Inc.  1.650%    2/1/28    53,362     45,596
  AT&T Inc.  4.100%   2/15/28    28,492     27,103
  Booking Holdings Inc.  3.600%    6/1/26    16,000     15,441
5 CCO Holdings LLC / CCO Holdings Capital Corp.  6.375%    9/1/29     1,935      1,850
  Charter Communications Operating LLC / Charter Communications Operating Capital  4.908%   7/23/25   234,157    230,492
  Charter Communications Operating LLC / Charter Communications Operating Capital  3.750%   2/15/28    27,070     24,778
  Charter Communications Operating LLC / Charter Communications Operating Capital  4.200%   3/15/28    23,612     22,104
  Comcast Corp.  3.375%   8/15/25    90,024     87,062
  Comcast Corp.  3.950%  10/15/25    63,324     61,842
  Comcast Corp.  5.250%   11/7/25    16,790     16,881
  Comcast Corp.  3.150%    3/1/26    63,095     60,379
9 Comcast Corp.  0.000%   9/14/26    48,105     47,167
  Comcast Corp.  2.350%   1/15/27    51,581     47,500
  Comcast Corp.  5.350%  11/15/27    18,990     19,323
  Comcast Corp.  3.150%   2/15/28    21,995     20,523
  Comcast Corp.  3.550%    5/1/28    29,295     27,816
5 Cox Communications Inc.  3.150%   8/15/24     9,327      9,073
5 Directv Financing LLC / Directv Financing Co-Obligor Inc.  5.875%   8/15/27     1,523      1,375
  Discovery Communications LLC  3.900%  11/15/24    28,005     27,236
  Discovery Communications LLC  3.450%   3/15/25     5,993      5,755
  Discovery Communications LLC  3.950%   6/15/25     6,790      6,558
  Discovery Communications LLC  4.900%   3/11/26    77,970     76,821
5 DISH DBS Corp.  5.250%   12/1/26     2,413      1,978
  Expedia Group Inc.  4.625%    8/1/27    21,939     21,337
  Fox Corp.  3.050%    4/7/25    56,576     54,532
5 Frontier Communications Holdings LLC  5.000%    5/1/28     2,208      1,872
5 Level 3 Financing Inc.  4.625%   9/15/27     1,640      1,246
5 Level 3 Financing Inc.  4.250%    7/1/28     1,490      1,054
5 Level 3 Financing Inc.  3.625%   1/15/29     1,415        934
  Meta Platforms Inc.  3.500%   8/15/27   199,428    190,463
  Meta Platforms Inc.  4.600%   5/15/28    76,600     76,348
  Netflix Inc.  5.875%   2/15/25     1,455      1,460
5 Netflix Inc.  3.625%   6/15/25    12,468     12,057
  Netflix Inc.  4.375%  11/15/26    15,452     15,113
  Netflix Inc.  4.875%   4/15/28    64,288     63,545
  Netflix Inc.  5.875%  11/15/28    39,333     40,547
9 Netflix Inc.  3.875%  11/15/29     9,900     10,693
5 Nexstar Media Inc.  5.625%   7/15/27     3,875      3,648
5 Nexstar Media Inc.  4.750%   11/1/28     2,898      2,556
5 NTT Finance Corp.  1.162%    4/3/26    87,855     78,953
  Omnicom Group Inc. / Omnicom Capital Inc.  3.600%   4/15/26    21,539     20,671
  Paramount Global Inc.  4.750%   5/15/25    57,148     56,103
  Paramount Global Inc.  4.000%   1/15/26    10,167      9,759
  Rogers Communications Inc.  3.200%   3/15/27    38,720     35,914
5 Sirius XM Radio Inc.  3.125%    9/1/26       850        766
5 Sky Ltd.  3.750%   9/16/24    48,460     47,390
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
9 Sky Ltd.  2.500%   9/15/26    22,015     23,273
  Sprint Capital Corp.  6.875%  11/15/28    92,108     97,708
  Sprint LLC  7.625%    3/1/26    15,620     16,242
  Take-Two Interactive Software Inc.  3.550%   4/14/25    24,260     23,430
  Take-Two Interactive Software Inc.  3.700%   4/14/27    29,000     27,506
  Take-Two Interactive Software Inc.  4.950%   3/28/28    24,100     23,821
  Telefonica Emisiones SA  4.103%    3/8/27    69,063     66,217
  T-Mobile USA Inc.  3.500%   4/15/25   236,811    229,025
  T-Mobile USA Inc.  1.500%   2/15/26    54,009     49,106
  T-Mobile USA Inc.  2.250%   2/15/26    40,115     37,141
  T-Mobile USA Inc.  2.625%   4/15/26     6,695      6,228
  T-Mobile USA Inc.  3.750%   4/15/27   127,714    121,160
  T-Mobile USA Inc.  5.375%   4/15/27     9,475      9,490
  T-Mobile USA Inc.  4.950%   3/15/28    61,131     60,439
  T-Mobile USA Inc.  4.800%   7/15/28    24,100     23,630
  VeriSign Inc.  5.250%    4/1/25    14,183     14,078
  Verizon Communications Inc.  1.450%   3/20/26    85,215     77,269
  Verizon Communications Inc.  2.625%   8/15/26    44,140     41,072
  Verizon Communications Inc.  4.125%   3/16/27    43,382     41,996
  Verizon Communications Inc.  3.000%   3/22/27    49,871     46,561
9 Verizon Communications Inc.  0.875%    4/8/27     1,000        987
  Verizon Communications Inc.  2.100%   3/22/28   111,679     97,705
  Verizon Communications Inc.  4.329%   9/21/28    54,362     52,204
5 Videotron Ltd.  5.125%   4/15/27     1,875      1,815
  Vodafone Group plc  4.125%   5/30/25    22,338     21,828
  Walt Disney Co.  1.750%   1/13/26    50,071     46,299
  Walt Disney Co.  3.375%  11/15/26    43,428     41,290
  Walt Disney Co.  3.700%   3/23/27     7,057      6,818
  Walt Disney Co.  2.200%   1/13/28     4,818      4,351
  Warnermedia Holdings Inc.  3.638%   3/15/25    72,515     70,127
  Warnermedia Holdings Inc.  3.755%   3/15/27   190,885    178,690
                                               3,532,818
Consumer Discretionary (5.9%)
5 1011778 BC ULC / New Red Finance Inc.  4.375%   1/15/28     1,974      1,823
  Advance Auto Parts Inc.  5.950%    3/9/28    18,790     18,723
  Amazon.com Inc.  4.600%   12/1/25   129,550    128,921
  Amazon.com Inc.  3.150%   8/22/27    19,500     18,402
  Amazon.com Inc.  4.550%   12/1/27   142,470    142,372
  American Honda Finance Corp.  4.600%   4/17/25   120,626    119,589
  American Honda Finance Corp.  5.000%   5/23/25     9,650      9,602
  American Honda Finance Corp.  1.200%    7/8/25    47,276     43,805
  American Honda Finance Corp.  4.750%   1/12/26    14,936     14,862
  American Honda Finance Corp.  5.250%    7/7/26     5,905      5,927
9 American Honda Finance Corp.  3.750%  10/25/27    25,400     27,879
  Asbury Automotive Group Inc.  4.500%    3/1/28     7,269      6,661
  AutoZone Inc.  3.625%   4/15/25    50,197     48,780
  AutoZone Inc.  3.750%    6/1/27    15,500     14,829
  AutoZone Inc.  4.500%    2/1/28    42,025     40,925
9 BMW Finance NV  1.000%   5/22/28     1,200      1,188
 
10

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 BMW US Capital LLC  1.250%   8/12/26    24,500     21,954
5 BMW US Capital LLC  3.450%    4/1/27     9,875      9,398
  Brunswick Corp.  0.850%   8/18/24    34,250     32,502
5 Caesars Entertainment Inc.  6.250%    7/1/25     2,420      2,404
5 Carnival Corp.  9.875%    8/1/27     1,250      1,304
5 Carnival Corp.  4.000%    8/1/28     3,690      3,278
5 Churchill Downs Inc.  5.500%    4/1/27     6,559      6,342
5 Churchill Downs Inc.  4.750%   1/15/28     2,831      2,616
5 Clarios Global LP  6.750%   5/15/25     2,269      2,272
5 Clarios Global LP / Clarios US Finance Co.  6.750%   5/15/28       139        140
  eBay Inc.  5.900%  11/22/25    17,260     17,482
  eBay Inc.  1.400%   5/10/26    28,500     25,783
  eBay Inc.  5.950%  11/22/27    26,329     27,141
5 ERAC USA Finance LLC  3.850%  11/15/24    37,894     37,056
5 ERAC USA Finance LLC  3.800%   11/1/25    18,585     17,904
5 ERAC USA Finance LLC  3.300%   12/1/26     2,965      2,775
5 ERAC USA Finance LLC  4.600%    5/1/28    20,520     20,038
  Ford Motor Credit Co. LLC  4.134%    8/4/25     1,195      1,142
  Ford Motor Credit Co. LLC  3.375%  11/13/25     9,395      8,784
  Ford Motor Credit Co. LLC  2.700%   8/10/26     6,095      5,463
  Ford Motor Credit Co. LLC  4.950%   5/28/27    16,975     16,115
  Ford Motor Credit Co. LLC  4.125%   8/17/27     6,703      6,134
  Ford Motor Credit Co. LLC  3.815%   11/2/27       993        892
  General Motors Co.  6.125%   10/1/25   107,602    108,786
  General Motors Financial Co. Inc.  1.200%  10/15/24    33,600     31,861
  General Motors Financial Co. Inc.  3.500%   11/7/24    37,585     36,511
  General Motors Financial Co. Inc.  4.000%   1/15/25     4,900      4,776
  General Motors Financial Co. Inc.  2.900%   2/26/25    39,315     37,612
  General Motors Financial Co. Inc.  4.350%    4/9/25    25,075     24,613
  General Motors Financial Co. Inc.  2.750%   6/20/25    21,853     20,718
  General Motors Financial Co. Inc.  6.050%  10/10/25    85,203     85,838
  General Motors Financial Co. Inc.  1.250%    1/8/26   153,293    138,193
  General Motors Financial Co. Inc.  5.250%    3/1/26    29,409     29,091
  General Motors Financial Co. Inc.  5.400%    4/6/26    53,040     52,695
  General Motors Financial Co. Inc.  1.500%   6/10/26    10,377      9,250
  General Motors Financial Co. Inc.  4.000%   10/6/26    22,140     21,081
  General Motors Financial Co. Inc.  4.350%   1/17/27    18,743     18,051
  General Motors Financial Co. Inc.  2.350%   2/26/27    38,865     34,878
  General Motors Financial Co. Inc.  5.000%    4/9/27    48,499     47,685
  General Motors Financial Co. Inc.  2.700%   8/20/27    31,583     28,297
  General Motors Financial Co. Inc.  6.000%    1/9/28    18,139     18,414
  General Motors Financial Co. Inc.  2.400%   4/10/28    23,344     20,315
5 Harley-Davidson Financial Services Inc.  3.350%    6/8/25    14,500     13,780
5 Harley-Davidson Financial Services Inc.  3.050%   2/14/27   103,662     94,481
  Harley-Davidson Inc.  3.500%   7/28/25    16,500     15,933
5 Hilton Domestic Operating Co. Inc.  5.375%    5/1/25     7,959      7,897
  Home Depot Inc.  2.800%   9/14/27     8,635      8,052
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Home Depot Inc.  3.900%   12/6/28    14,460     13,974
  Honda Motor Co. Ltd.  2.271%   3/10/25    28,329     27,113
  Honda Motor Co. Ltd.  2.534%   3/10/27    38,590     35,542
  Lennar Corp.  4.750%   5/30/25    22,084     21,689
  Lennar Corp.  5.250%    6/1/26    52,497     52,111
5 Live Nation Entertainment Inc.  4.875%   11/1/24       440        434
5 Live Nation Entertainment Inc.  6.500%   5/15/27    10,985     11,046
5 Live Nation Entertainment Inc.  3.750%   1/15/28     1,647      1,483
  Lowe's Cos. Inc.  4.400%    9/8/25    18,865     18,514
  Lowe's Cos. Inc.  4.800%    4/1/26    75,610     75,059
  Lowe's Cos. Inc.  3.350%    4/1/27    32,480     30,720
  Lowe's Cos. Inc.  1.300%   4/15/28    19,005     16,127
  Lowe's Cos. Inc.  1.700%   9/15/28     9,645      8,250
9 LVMH Moet Hennessy Louis Vuitton SE  0.125%   2/11/28     1,000        965
  Marriott International Inc.  3.750%   10/1/25    15,325     14,790
  Marriott International Inc.  3.125%   6/15/26     6,390      6,019
  Marriott International Inc.  5.000%  10/15/27    14,150     14,070
5 Mattel Inc.  5.875%  12/15/27     6,452      6,333
  McDonald's Corp.  1.450%    9/1/25    24,300     22,541
  McDonald's Corp.  3.500%    7/1/27    21,500     20,495
5 Mercedes-Benz Finance North America LLC  4.950%   3/30/25    40,014     39,764
5 Mercedes-Benz Finance North America LLC  5.375%    8/1/25    55,220     55,110
5 Mercedes-Benz Finance North America LLC  1.450%    3/2/26    17,440     15,905
5 Mercedes-Benz Finance North America LLC  4.800%   3/30/26    47,645     47,255
5 Mercedes-Benz Finance North America LLC  5.200%    8/3/26    20,205     20,165
5 Mercedes-Benz Finance North America LLC  4.800%   3/30/28    54,000     53,350
5 Mercedes-Benz Finance North America LLC  5.100%    8/3/28    62,585     62,460
5 Meritage Homes Corp.  3.875%   4/15/29       780        698
5 NCL Corp. Ltd.  5.875%   2/15/27     1,298      1,264
5 Nissan Motor Acceptance Co. LLC  1.050%    3/8/24    50,400     48,736
5 Nissan Motor Acceptance Co. LLC  1.125%   9/16/24    23,960     22,566
5 Nissan Motor Co. Ltd.  3.043%   9/15/23   105,000    104,581
5 Penn National Gaming Inc.  5.625%   1/15/27     1,225      1,156
  Ross Stores Inc.  0.875%   4/15/26    20,065     17,813
5 Royal Caribbean Cruises Ltd.  8.250%   1/15/29       333        348
5 Royal Caribbean Cruises Ltd.  9.250%   1/15/29       405        431
  Starbucks Corp.  4.750%   2/15/26    28,825     28,618
  Starbucks Corp.  2.000%   3/12/27     3,813      3,443
  TJX Cos. Inc.  2.250%   9/15/26     2,011      1,866
9 Toyota Finance Australia Ltd.  2.280%  10/21/27       800        832
  Toyota Motor Credit Corp.  3.000%    4/1/25    38,136     36,772
  Toyota Motor Credit Corp.  3.950%   6/30/25    40,749     39,883
  Toyota Motor Credit Corp.  3.650%   8/18/25    52,285     50,854
  Toyota Motor Credit Corp.  0.800%  10/16/25    78,885     71,802
  Toyota Motor Credit Corp.  5.400%  11/10/25    33,820     34,112
  Toyota Motor Credit Corp.  4.450%   5/18/26    42,200     41,696
  Toyota Motor Credit Corp.  1.900%   1/13/27    67,445     61,038
  Toyota Motor Credit Corp.  3.050%   3/22/27   110,905    104,154
  Toyota Motor Credit Corp.  4.550%   9/20/27    66,140     65,432
9 Toyota Motor Credit Corp.  0.125%   11/5/27     6,159      5,822
  Toyota Motor Credit Corp.  4.625%   1/12/28    29,051     28,916
  Toyota Motor Credit Corp.  1.900%    4/6/28    23,933     21,149
 
11

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 Volkswagen Group of America Finance LLC  3.350%   5/13/25     4,500      4,329
5 Volkswagen Group of America Finance LLC  3.200%   9/26/26     5,000      4,691
9 Volkswagen International Finance NV  0.875%   9/22/28     1,000        934
9 Volkswagen Leasing GmbH  0.375%   7/20/26    51,800     50,942
5 Wyndham Hotels & Resorts Inc.  4.375%   8/15/28     1,101      1,015
                                               3,369,192
Consumer Staples (5.7%)
5 7-Eleven Inc.  0.950%   2/10/26    67,700     60,786
  Altria Group Inc.  2.350%    5/6/25    51,609     48,752
  Altria Group Inc.  4.400%   2/14/26    16,727     16,417
  Altria Group Inc.  2.625%   9/16/26    25,076     23,368
  Altria Group Inc.  4.800%   2/14/29     5,458      5,319
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.  3.650%    2/1/26    60,103     58,160
  Anheuser-Busch InBev Worldwide Inc.  4.000%   4/13/28    35,572     34,324
  BAT Capital Corp.  3.222%   8/15/24    54,007     52,553
  BAT Capital Corp.  2.789%    9/6/24     9,750      9,425
8 BAT Capital Corp.  2.125%   8/15/25     9,705     11,437
  BAT Capital Corp.  3.215%    9/6/26    83,657     78,230
  BAT Capital Corp.  4.700%    4/2/27    82,543     80,364
  BAT Capital Corp.  3.557%   8/15/27    30,856     28,676
  BAT Capital Corp.  2.259%   3/25/28    24,085     20,822
5 BAT International Finance plc  3.950%   6/15/25    69,925     67,796
  BAT International Finance plc  1.668%   3/25/26   133,090    120,551
8 BAT International Finance plc  4.000%    9/4/26     2,797      3,358
  BAT International Finance plc  4.448%   3/16/28    32,934     31,469
  BAT International Finance plc  5.931%    2/2/29   129,755    129,496
9 BAT International Finance plc  2.250%   1/16/30       500        460
  Campbell Soup Co.  3.950%   3/15/25    20,050     19,566
  Campbell Soup Co.  4.150%   3/15/28    16,580     15,949
5 Cargill Inc.  4.500%   6/24/26    17,875     17,635
9 CK Hutchison Europe Finance 18 Ltd.  1.250%   4/13/25    15,010     15,679
9 Coca-Cola Co.  1.875%   9/22/26    10,780     11,270
  Colgate-Palmolive Co.  4.600%    3/1/28     7,605      7,662
  Conagra Brands Inc.  5.300%   10/1/26    32,880     32,734
  Constellation Brands Inc.  4.750%  11/15/24    11,550     11,432
  Constellation Brands Inc.  4.400%  11/15/25    23,350     22,924
  Constellation Brands Inc.  4.750%   12/1/25     4,000      3,951
  Constellation Brands Inc.  3.700%   12/6/26     8,315      7,958
  Constellation Brands Inc.  3.500%    5/9/27    15,790     14,971
  Constellation Brands Inc.  4.350%    5/9/27    53,230     52,018
  Costco Wholesale Corp.  1.375%   6/20/27    38,761     34,376
5 Coty Inc.  5.000%   4/15/26     1,165      1,123
  Diageo Capital plc  5.200%  10/24/25    30,885     30,944
  Diageo Capital plc  5.300%  10/24/27    38,960     39,614
9 Diageo Finance plc  3.500%   6/26/25     5,000      5,449
  Dollar General Corp.  4.625%   11/1/27    18,750     18,360
9 ELO SACA  4.875%   12/8/28       300        320
  Estee Lauder Cos. Inc.  4.375%   5/15/28    16,065     15,801
  General Mills Inc.  4.200%   4/17/28    15,925     15,386
  Haleon UK Capital plc  3.125%   3/24/25   140,475    134,956
  Haleon US Capital LLC  3.375%   3/24/27    58,059     54,679
  Hershey Co.  4.250%    5/4/28     7,585      7,505
  J M Smucker Co.  3.500%   3/15/25     9,370      9,073
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 JDE Peet's NV  1.375%   1/15/27    36,090     31,482
5 Kenvue Inc.  5.350%   3/22/26    33,755     33,997
5 Kenvue Inc.  5.050%   3/22/28    17,725     17,884
  Keurig Dr Pepper Inc.  4.417%   5/25/25    30,055     29,529
  Keurig Dr Pepper Inc.  4.597%   5/25/28    54,365     53,326
  Kimberly-Clark de Mexico SAB de CV  3.250%   3/12/25     9,650      9,294
  Kraft Heinz Foods Co.  3.000%    6/1/26    20,400     19,283
  Kraft Heinz Foods Co.  3.875%   5/15/27    69,087     66,231
  Kroger Co.  3.500%    2/1/26    26,000     24,886
  Kroger Co.  2.650%  10/15/26       620        577
5 Lamb Weston Holdings Inc.  4.875%   5/15/28       875        830
5 Mars Inc.  4.550%   4/20/28    43,075     42,339
  McCormick & Co. Inc.  3.400%   8/15/27    19,385     18,214
  Mead Johnson Nutrition Co.  4.125%  11/15/25     4,900      4,795
  Molson Coors Beverage Co.  3.000%   7/15/26    24,500     23,062
5 Mondelez International Holdings Netherlands BV  2.250%   9/19/24    72,805     69,946
5 Mondelez International Holdings Netherlands BV  0.750%   9/24/24    19,510     18,419
5 Mondelez International Holdings Netherlands BV  1.250%   9/24/26    48,010     42,335
  Mondelez International Inc.  1.500%    5/4/25    61,425     57,464
  Mondelez International Inc.  2.625%   3/17/27    29,030     26,759
9 Nestle Finance International Ltd.  0.000%   6/14/26     1,000      1,001
9 Nestle Holdings Inc.  0.875%   7/18/25     3,000      3,125
  Pepsico Inc.  3.600%   2/18/28    42,046     40,558
5 Performance Food Group Inc.  6.875%    5/1/25       997        999
5 Performance Food Group Inc.  5.500%  10/15/27     4,340      4,201
  Philip Morris International Inc.  5.125%  11/15/24    52,977     52,806
  Philip Morris International Inc.  1.500%    5/1/25    34,800     32,674
  Philip Morris International Inc.  3.375%   8/11/25     7,914      7,650
  Philip Morris International Inc.  5.000%  11/17/25    57,630     57,509
  Philip Morris International Inc.  4.875%   2/13/26   103,645    102,946
  Philip Morris International Inc.  2.750%   2/25/26    15,557     14,694
9 Philip Morris International Inc.  2.875%    3/3/26    21,455     22,924
  Philip Morris International Inc.  0.875%    5/1/26    33,850     30,288
  Philip Morris International Inc.  5.125%  11/17/27    91,345     91,564
  Philip Morris International Inc.  4.875%   2/15/28    89,950     89,050
  Philip Morris International Inc.  3.125%    3/2/28    21,106     19,472
9 Procter & Gamble Co.  3.250%    8/2/26    25,850     28,264
9 Procter & Gamble Co.  4.875%   5/11/27     2,000      2,313
5 Reckitt Benckiser Treasury Services plc  3.000%   6/26/27    11,951     11,156
  Reynolds American Inc.  4.450%   6/12/25   144,271    141,306
  Target Corp.  1.950%   1/15/27    27,072     24,868
  Tyson Foods Inc.  3.950%   8/15/24    62,949     61,821
  Tyson Foods Inc.  4.000%    3/1/26    31,486     30,502
 
12

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Walmart Inc.  3.900%    9/9/25   133,608    131,028
  Walmart Inc.  4.000%   4/15/26     2,309      2,268
  Walmart Inc.  3.950%    9/9/27   109,938    108,063
  Walmart Inc.  3.900%   4/15/28    40,081     39,159
                                               3,225,959
Energy (5.8%)
  Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc.  2.061%  12/15/26    14,200     12,875
  Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc.  3.337%  12/15/27    41,908     39,147
  BP Capital Markets America Inc.  3.410%   2/11/26    34,710     33,496
  BP Capital Markets America Inc.  3.119%    5/4/26    63,745     60,777
  BP Capital Markets America Inc.  3.017%   1/16/27    28,626     26,970
  BP Capital Markets America Inc.  4.234%   11/6/28    12,588     12,270
  BP Capital Markets plc  3.279%   9/19/27    49,894     47,116
9 BP Capital Markets plc  0.831%   11/8/27    19,200     18,911
  BP Capital Markets plc  3.723%  11/28/28    19,260     18,249
  Canadian Natural Resources Ltd.  3.900%    2/1/25    12,950     12,564
  Canadian Natural Resources Ltd.  2.050%   7/15/25    18,312     17,152
  Canadian Natural Resources Ltd.  3.850%    6/1/27    70,623     66,932
  Cheniere Corpus Christi Holdings LLC  5.875%   3/31/25   126,164    126,195
  Cheniere Corpus Christi Holdings LLC  5.125%   6/30/27    52,787     52,247
  Cheniere Energy Inc.  4.625%  10/15/28    37,829     35,620
5 Civitas Resources Inc.  8.375%    7/1/28     1,925      1,980
5 CNX Resources Corp.  7.250%   3/14/27       446        446
5 Continental Resources Inc.  2.268%  11/15/26    26,650     23,859
  Coterra Energy Inc.  3.900%   5/15/27    16,269     15,482
5 CrownRock LP / CrownRock Finance Inc.  5.625%  10/15/25     2,280      2,251
  DCP Midstream Operating LP  5.625%   7/15/27     1,801      1,808
  Devon Energy Corp.  5.250%   9/15/24    69,058     68,683
  Devon Energy Corp.  5.850%  12/15/25    13,303     13,392
  Diamondback Energy Inc.  3.250%   12/1/26    76,025     71,704
5 DT Midstream Inc.  4.125%   6/15/29     3,795      3,365
  Eastern Gas Transmission & Storage Inc.  3.600%  12/15/24     6,378      6,162
  Empresa Nacional del Petroleo  3.750%    8/5/26    13,839     13,076
  Empresa Nacional del Petroleo  5.250%   11/6/29     5,318      5,154
  Enbridge Energy Partners LP  5.875%  10/15/25    24,941     25,108
  Enbridge Inc.  2.500%   1/15/25    32,322     30,917
  Enbridge Inc.  2.500%   2/14/25     9,714      9,268
  Enbridge Inc.  1.600%   10/4/26    29,100     26,075
  Enbridge Inc.  4.250%   12/1/26     4,461      4,320
  Enbridge Inc.  3.700%   7/15/27    33,084     31,325
  Energy Transfer LP  4.250%    4/1/24    43,468     42,919
  Energy Transfer LP  3.900%   5/15/24     6,970      6,850
  Energy Transfer LP  4.050%   3/15/25    53,734     52,403
  Energy Transfer LP  5.950%   12/1/25    10,655     10,707
  Energy Transfer LP  4.750%   1/15/26     3,155      3,097
  Energy Transfer LP  3.900%   7/15/26    13,256     12,687
  Energy Transfer LP  4.400%   3/15/27   115,279    111,287
  Energy Transfer LP  5.500%    6/1/27    14,464     14,467
  Energy Transfer LP  4.000%   10/1/27    13,000     12,270
  Energy Transfer LP  5.550%   2/15/28    44,608     44,778
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Energy Transfer LP  4.950%   5/15/28    34,116     33,366
  Energy Transfer LP  4.950%   6/15/28     9,860      9,624
5 Eni SpA  4.000%   9/12/23    57,770     57,611
9 Eni SpA  1.000%   3/14/25     3,000      3,145
  EnLink Midstream Partners LP  4.850%   7/15/26     2,915      2,832
  Enterprise Products Operating LLC  5.050%   1/10/26    48,255     48,214
  Enterprise Products Operating LLC  3.700%   2/15/26    31,438     30,367
5 EQM Midstream Partners LP  6.000%    7/1/25     1,067      1,060
5 EQM Midstream Partners LP  7.500%    6/1/27     3,429      3,482
  EQT Corp.  6.125%    2/1/25    10,047     10,052
5 EQT Corp.  3.125%   5/15/26     2,748      2,547
  EQT Corp.  3.900%   10/1/27    38,042     35,674
  Genesis Energy LP / Genesis Energy Finance Corp.  6.500%   10/1/25       357        354
  Harvest Operations Corp.  1.000%   4/26/24    19,240     18,563
  Kinder Morgan Energy Partners LP  4.250%    9/1/24     5,145      5,062
  Kinder Morgan Inc.  4.300%    6/1/25    25,844     25,293
  Kinder Morgan Inc.  1.750%  11/15/26    29,100     26,053
  Kinder Morgan Inc.  4.300%    3/1/28    11,565     11,107
  Marathon Petroleum Corp.  3.625%   9/15/24    31,830     31,089
  Marathon Petroleum Corp.  4.700%    5/1/25   103,522    102,247
  Marathon Petroleum Corp.  5.125%  12/15/26    55,600     55,407
  Marathon Petroleum Corp.  3.800%    4/1/28    15,594     14,654
  MPLX LP  4.875%   12/1/24    29,939     29,567
  MPLX LP  4.875%    6/1/25    20,170     19,902
  MPLX LP  1.750%    3/1/26    85,686     78,235
  MPLX LP  4.000%   3/15/28    13,710     12,965
  Occidental Petroleum Corp.  6.950%    7/1/24     1,841      1,853
  Occidental Petroleum Corp.  5.875%    9/1/25     4,445      4,458
  Occidental Petroleum Corp.  5.500%   12/1/25     2,665      2,654
  Occidental Petroleum Corp.  6.375%    9/1/28    40,275     41,337
  ONEOK Inc.  2.750%    9/1/24    19,529     18,916
  ONEOK Inc.  2.200%   9/15/25    20,076     18,660
  ONEOK Inc.  5.850%   1/15/26    69,178     69,720
  ONEOK Partners LP  4.900%   3/15/25     9,680      9,530
  Ovintiv Exploration Inc.  5.375%    1/1/26    32,854     32,629
  Ovintiv Inc.  5.650%   5/15/25    20,890     20,861
  Ovintiv Inc.  5.650%   5/15/28    38,555     38,327
  Pertamina Persero PT  1.400%    2/9/26    19,433     17,574
  Phillips 66  3.850%    4/9/25    18,475     17,974
  Phillips 66  1.300%   2/15/26    31,103     28,248
  Phillips 66  3.900%   3/15/28     9,640      9,175
  Phillips 66 Co.  3.605%   2/15/25    21,326     20,701
  Phillips 66 Co.  4.950%   12/1/27    48,220     48,000
  Pioneer Natural Resources Co.  1.125%   1/15/26    31,105     28,190
  Pioneer Natural Resources Co.  5.100%   3/29/26    81,975     81,733
  Plains All American Pipeline LP / PAA Finance Corp.  3.600%   11/1/24    30,637     29,795
  Plains All American Pipeline LP / PAA Finance Corp.  4.650%  10/15/25    60,277     58,852
  Plains All American Pipeline LP / PAA Finance Corp.  4.500%  12/15/26    29,582     28,638
  QazaqGaz NC JSC  4.375%   9/26/27     2,699      2,518
 
13

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Sabine Pass Liquefaction LLC  5.625%    3/1/25   109,015    108,776
  Sabine Pass Liquefaction LLC  5.875%   6/30/26    88,460     89,056
  Sabine Pass Liquefaction LLC  5.000%   3/15/27    60,353     59,820
  Sabine Pass Liquefaction LLC  4.200%   3/15/28    20,923     19,934
  Saudi Arabian Oil Co.  1.250%  11/24/23     3,629      3,575
  Saudi Arabian Oil Co.  3.500%   4/16/29    36,812     34,049
  Schlumberger Finance Canada Ltd.  1.400%   9/17/25    23,701     21,914
  Schlumberger Investment SA  4.500%   5/15/28    31,570     31,192
10 Southern Gas Corridor CJSC  6.875%   3/24/26    20,785     21,142
  Spectra Energy Partners LP  3.500%   3/15/25    11,985     11,580
  Spectra Energy Partners LP  3.375%  10/15/26    20,242     19,103
  Targa Resources Corp.  5.200%    7/1/27    36,635     36,379
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.  6.500%   7/15/27     4,121      4,141
9 TotalEnergies Capital International SA  2.500%   3/25/26     2,000      2,135
  TransCanada PipeLines Ltd.  1.000%  10/12/24    94,119     89,030
  TransCanada PipeLines Ltd.  4.875%   1/15/26    28,389     28,062
  TransCanada PipeLines Ltd.  4.250%   5/15/28    24,145     23,216
  Transcontinental Gas Pipe Line Co. LLC  4.000%   3/15/28    28,270     26,725
5 Venture Global LNG Inc.  8.125%    6/1/28    18,055     18,355
  Western Midstream Operating LP  4.650%    7/1/26     3,620      3,516
  Western Midstream Operating LP  4.500%    3/1/28     9,635      9,169
  Williams Cos. Inc.  4.550%   6/24/24    41,804     41,328
  Williams Cos. Inc.  4.000%   9/15/25     9,899      9,583
  Williams Cos. Inc.  5.400%    3/2/26    24,115     24,172
  Williams Cos. Inc.  3.750%   6/15/27    23,300     22,099
                                               3,303,227
Financials (29.2%)
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  2.875%   8/14/24    50,233     48,544
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  1.650%  10/29/24   148,200    140,046
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  1.750%  10/29/24    87,100     82,423
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.500%   1/15/25    27,615     26,660
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  4.450%   10/1/25    37,600     36,452
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  1.750%   1/30/26    67,076     60,598
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  2.450%  10/29/26    96,490     86,772
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.650%   7/21/27    22,393     20,680
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  4.625%  10/15/27    17,631     16,850
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  5.750%    6/6/28    63,750     63,507
  Affiliated Managers Group Inc.  3.500%    8/1/25     9,700      9,229
  Aflac Inc.  1.125%   3/15/26    43,772     39,321
  Air Lease Corp.  2.300%    2/1/25    42,260     39,983
  Air Lease Corp.  3.250%    3/1/25     2,910      2,788
  Air Lease Corp.  3.375%    7/1/25    37,083     35,385
  Air Lease Corp.  2.875%   1/15/26    72,485     67,790
  Air Lease Corp.  3.750%    6/1/26     4,000      3,816
  Air Lease Corp.  2.200%   1/15/27    29,100     26,100
  Air Lease Corp.  5.300%    2/1/28    25,500     25,214
  Aircastle Ltd.  4.125%    5/1/24     6,790      6,671
  Allstate Corp.  0.750%  12/15/25     9,670      8,705
  Ally Financial Inc.  4.625%   3/30/25     3,814      3,693
  Ally Financial Inc.  5.800%    5/1/25     1,940      1,913
  Ally Financial Inc.  4.750%    6/9/27    29,000     27,354
  Ally Financial Inc.  6.992%   6/13/29    41,330     41,629
  American Express Co.  3.950%    8/1/25    38,858     37,733
  American Express Co.  4.990%    5/1/26    24,768     24,497
  American Express Co.  2.550%    3/4/27    72,137     65,940
  American Express Co.  5.850%   11/5/27    43,800     45,033
  American International Group Inc.  2.500%   6/30/25    61,070     58,009
  American International Group Inc.  3.900%    4/1/26    12,725     12,343
  American International Group Inc.  5.750%    4/1/48     7,059      6,821
  Ameriprise Financial Inc.  3.000%    4/2/25    20,610     19,793
  Ameriprise Financial Inc.  2.875%   9/15/26    11,645     10,881
5 Antares Holdings LP  2.750%   1/15/27    33,939     28,284
  Aon Corp. / Aon Global Holdings plc  2.850%   5/28/27    26,800     24,716
  Aon Global Ltd.  3.875%  12/15/25    10,782     10,474
5 Apollo Management Holdings LP  4.000%   5/30/24     4,835      4,751
  Ares Capital Corp.  2.150%   7/15/26    29,000     25,408
  Ares Capital Corp.  7.000%   1/15/27    19,400     19,463
5 Athene Global Funding  0.914%   8/19/24    11,320     10,664
  Athene Holding Ltd.  4.125%   1/12/28    31,391     29,097
9 Australia & New Zealand Banking Group Ltd.  1.125%  11/21/29     2,000      2,076
5 Australia & New Zealand Banking Group Ltd.  2.950%   7/22/30    61,361     56,740
6,11 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000%  6.350%   7/26/29     7,830      5,295
8 Aviva plc  6.125%  11/14/36     7,200      9,117
9 Banco Bilbao Vizcaya Argentaria SA  1.000%   1/16/30     1,000      1,029
  Banco Santander SA  2.746%   5/28/25    40,970     38,756
  Banco Santander SA  5.147%   8/18/25     9,510      9,380
  Banco Santander SA  5.179%  11/19/25     5,225      5,107
  Banco Santander SA  1.849%   3/25/26    29,250     26,363
  Banco Santander SA  5.294%   8/18/27    24,200     23,787
  Banco Santander SA  1.722%   9/14/27    18,800     16,487
  Bank of America Corp.  4.000%   1/22/25    89,110     86,821
  Bank of America Corp.  3.950%   4/21/25    76,426     74,129
  Bank of America Corp.  3.366%   1/23/26    18,890     18,231
  Bank of America Corp.  2.015%   2/13/26    51,370     48,492
  Bank of America Corp.  4.450%    3/3/26    53,863     52,438
  Bank of America Corp.  3.384%    4/2/26    92,240     88,780
  Bank of America Corp.  1.319%   6/19/26    84,240     77,472
  Bank of America Corp.  4.827%   7/22/26    67,644     66,864
 
14

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Bank of America Corp.  4.250%  10/22/26    27,110     26,198
  Bank of America Corp.  1.197%  10/24/26    43,560     39,462
  Bank of America Corp.  5.080%   1/20/27    25,800     25,533
  Bank of America Corp.  1.658%   3/11/27    48,515     43,754
  Bank of America Corp.  3.559%   4/23/27    28,110     26,681
  Bank of America Corp.  1.734%   7/22/27   137,745    123,443
  Bank of America Corp.  3.248%  10/21/27    20,007     18,775
  Bank of America Corp.  3.824%   1/20/28    73,909     69,877
  Bank of America Corp.  2.551%    2/4/28   102,441     92,847
  Bank of America Corp.  3.705%   4/24/28    45,747     42,952
  Bank of America Corp.  4.376%   4/27/28    71,450     68,822
  Bank of America Corp.  4.948%   7/22/28    71,115     69,941
  Bank of America Corp.  6.204%  11/10/28    40,360     41,511
  Bank of America Corp.  3.419%  12/20/28    87,302     80,348
  Bank of America Corp.  3.970%    3/5/29    14,167     13,327
  Bank of America Corp.  5.202%   4/25/29   101,809    101,084
  Bank of America Corp.  2.087%   6/14/29    18,643     16,002
  Bank of America Corp.  4.271%   7/23/29    13,195     12,537
  Bank of America Corp.  2.972%    2/4/33    18,296     15,281
  Bank of Montreal  5.300%    6/5/26    30,000     30,002
  Bank of Montreal  1.250%   9/15/26    27,680     24,557
  Bank of Montreal  5.203%    2/1/28    26,000     26,028
  Bank of Montreal  4.338%   10/5/28    46,980     46,570
  Bank of New York Mellon Corp.  4.414%   7/24/26    24,945     24,496
  Bank of New York Mellon Corp.  2.450%   8/17/26     9,700      9,012
  Bank of New York Mellon Corp.  4.947%   4/26/27   100,000     98,850
  Bank of New York Mellon Corp.  3.400%   1/29/28    25,829     24,238
  Bank of New York Mellon Corp.  3.442%    2/7/28    45,782     43,117
  Bank of New York Mellon Corp.  5.802%  10/25/28    37,675     38,449
  Bank of New York Mellon Corp.  4.543%    2/1/29    39,500     38,575
  Bank of Nova Scotia  5.450%   6/12/25    53,000     52,853
  Bank of Nova Scotia  4.500%  12/16/25    47,180     45,744
  Bank of Nova Scotia  4.750%    2/2/26    56,480     55,726
  Bank of Nova Scotia  1.050%    3/2/26    55,650     49,923
  Bank of Nova Scotia  2.700%    8/3/26    24,208     22,466
  Bank of Nova Scotia  1.950%    2/2/27    27,540     24,662
  Bank of Nova Scotia  5.250%   6/12/28    30,490     30,445
9 Banque Federative du Credit Mutuel SA  2.500%   5/25/28    12,600     12,716
  Barclays plc  4.375%   9/11/24    55,709     54,470
  Barclays plc  3.650%   3/16/25    38,535     37,220
  Barclays plc  4.375%   1/12/26    51,772     50,024
  Barclays plc  2.852%    5/7/26    28,346     26,773
  Barclays plc  5.200%   5/12/26    27,955     27,216
  Barclays plc  5.304%    8/9/26    54,190     53,374
  Barclays plc  7.325%   11/2/26     5,260      5,396
  Barclays plc  5.829%    5/9/27    57,800     57,463
  Barclays plc  2.279%  11/24/27     9,930      8,836
  Barclays plc  4.836%    5/9/28     5,930      5,517
  Barclays plc  5.501%    8/9/28    25,200     24,801
  Barclays plc  7.385%   11/2/28    54,005     56,798
  Barclays plc  4.972%   5/16/29    35,000     33,561
9 Belfius Bank SA  3.125%   5/11/26     1,000      1,060
9 Berkshire Hathaway Inc.  1.125%   3/16/27     6,100      6,121
  Blue Owl Capital Corp.  3.750%   7/22/25     9,580      8,949
  Blue Owl Capital Corp.  4.250%   1/15/26     1,940      1,820
  Blue Owl Capital Corp.  3.400%   7/15/26    38,714     34,913
  Brown & Brown Inc.  4.200%   9/15/24    33,202     32,577
  Canadian Imperial Bank of Commerce  1.250%   6/22/26    48,465     43,237
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Canadian Imperial Bank of Commerce  5.001%   4/28/28    53,100     52,342
  Capital One Financial Corp.  4.250%   4/30/25     9,640      9,356
  Capital One Financial Corp.  4.166%    5/9/25    46,250     45,355
  Capital One Financial Corp.  4.200%  10/29/25    23,563     22,686
  Capital One Financial Corp.  2.636%    3/3/26    72,400     68,212
  Capital One Financial Corp.  3.750%    3/9/27    43,898     41,099
  Capital One Financial Corp.  1.878%   11/2/27    48,250     42,134
  Capital One Financial Corp.  4.927%   5/10/28    38,600     37,152
  Capital One Financial Corp.  5.468%    2/1/29    56,550     55,232
  Capital One Financial Corp.  6.312%    6/8/29   133,896    134,429
  Capital One NA  2.280%   1/28/26    38,485     36,228
  Charles Schwab Corp.  3.625%    4/1/25    44,839     43,478
  Charles Schwab Corp.  3.850%   5/21/25    49,262     47,740
  Charles Schwab Corp.  0.900%   3/11/26    26,115     23,212
  Charles Schwab Corp.  1.150%   5/13/26    29,150     25,934
  Charles Schwab Corp.  2.450%    3/3/27    42,975     38,849
  Charles Schwab Corp.  3.300%    4/1/27    20,174     18,907
  Charles Schwab Corp.  5.643%   5/19/29    64,370     64,936
9 Chubb INA Holdings Inc.  0.300%  12/15/24    21,768     22,696
  Chubb INA Holdings Inc.  3.150%   3/15/25    23,558     22,787
  Chubb INA Holdings Inc.  3.350%    5/3/26    42,732     41,060
  Citigroup Inc.  3.875%   3/26/25    26,482     25,694
  Citigroup Inc.  4.400%   6/10/25    28,325     27,611
  Citigroup Inc.  5.500%   9/13/25     2,615      2,601
  Citigroup Inc.  2.014%   1/25/26    40,635     38,365
  Citigroup Inc.  4.600%    3/9/26    54,240     52,931
  Citigroup Inc.  3.290%   3/17/26    24,200     23,244
  Citigroup Inc.  3.106%    4/8/26    43,900     42,034
  Citigroup Inc.  3.400%    5/1/26    28,800     27,399
  Citigroup Inc.  5.610%   9/29/26    38,670     38,583
  Citigroup Inc.  3.200%  10/21/26    84,303     79,088
  Citigroup Inc.  4.300%  11/20/26    26,104     25,075
  Citigroup Inc.  1.122%   1/28/27    23,523     21,024
  Citigroup Inc.  1.462%    6/9/27    81,460     72,569
  Citigroup Inc.  4.450%   9/29/27    33,114     31,835
  Citigroup Inc.  3.887%   1/10/28    38,540     36,532
  Citigroup Inc.  3.070%   2/24/28    48,150     44,437
  Citigroup Inc.  4.658%   5/24/28    24,780     24,179
  Citigroup Inc.  3.668%   7/24/28    68,196     63,731
  Citigroup Inc.  4.125%   7/25/28     4,700      4,425
  Citigroup Inc.  3.520%  10/27/28    16,040     14,880
  Citigroup Inc.  4.075%   4/23/29     8,580      8,102
  CNO Financial Group Inc.  5.250%   5/30/25    22,250     21,865
6,11 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 0.700%  4.989%   1/14/27    19,300     12,922
6,11 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.320%  5.237%   8/20/31    31,900     21,153
6,11 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.800%  6.017%   9/10/30     7,300      4,923
  Cooperatieve Rabobank UA  4.375%    8/4/25    18,700     18,158
  Cooperatieve Rabobank UA  3.750%   7/21/26    48,131     45,426
  Corebridge Financial Inc  3.650%    4/5/27    84,327     79,336
  Corebridge Financial Inc.  3.500%    4/4/25    54,043     51,933
9 Credit Mutuel Arkea SA  1.875%  10/25/29     2,000      2,102
  Credit Suisse AG  4.750%    8/9/24    20,000     19,654
  Credit Suisse AG  3.625%    9/9/24    29,705     28,823
  Credit Suisse AG  7.950%    1/9/25    31,340     32,021
  Credit Suisse AG  3.700%   2/21/25    32,578     31,314
  Credit Suisse AG  2.950%    4/9/25    29,340     27,799
  Credit Suisse AG  1.250%    8/7/26    33,690     29,340
  Credit Suisse AG  5.000%    7/9/27    40,415     38,991
  Credit Suisse AG  7.500%   2/15/28    13,036     13,807
 
15

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
9 Danske Bank A/S  1.000%   5/15/31     4,500      4,407
9 de Volksbank NV  0.250%   6/22/26     8,800      8,616
  Deutsche Bank AG  2.222%   9/18/24    27,415     27,255
  Deutsche Bank AG  1.447%    4/1/25    28,940     27,857
  Deutsche Bank AG  4.500%    4/1/25    14,740     14,194
  Deutsche Bank AG  3.961%  11/26/25     2,650      2,553
  Deutsche Bank AG  6.119%   7/14/26     8,922      8,879
  Deutsche Bank AG  2.129%  11/24/26    69,850     63,304
  Deutsche Bank AG  7.146%   7/13/27    57,500     58,642
  Deutsche Bank AG  2.311%  11/16/27    45,176     39,681
  Deutsche Bank AG  2.552%    1/7/28     3,966      3,491
  Deutsche Bank AG  6.720%   1/18/29    34,630     35,284
  Discover Bank  2.450%   9/12/24    34,165     32,641
  Discover Bank  3.450%   7/27/26    34,435     31,748
  Discover Bank  4.682%    8/9/28    14,450     13,143
  Discover Financial Services  3.750%    3/4/25     5,085      4,868
  Equitable Holdings Inc.  4.350%   4/20/28    14,455     13,737
5 F&G Global Funding  0.900%   9/20/24    10,936     10,223
5 F&G Global Funding  1.750%   6/30/26    18,649     16,608
  Fifth Third Bancorp  2.375%   1/28/25     3,404      3,230
  Fifth Third Bancorp  2.550%    5/5/27     8,075      7,258
  Fifth Third Bancorp  1.707%   11/1/27    23,130     20,036
  Fifth Third Bancorp  3.950%   3/14/28    39,275     36,728
  Fifth Third Bancorp  6.361%  10/27/28    76,859     78,107
  Fifth Third Bancorp  6.339%   7/27/29    56,194     57,232
  Fifth Third Bancorp  4.772%   7/28/30    28,111     26,445
  Fifth Third Bank NA  3.950%   7/28/25    27,670     26,626
  Fifth Third Bank NA  3.850%   3/15/26    11,645     10,912
  Fifth Third Bank NA  2.250%    2/1/27     4,750      4,213
  First-Citizens Bank & Trust Co.  2.969%   9/27/25    16,692     15,893
  FS KKR Capital Corp.  3.400%   1/15/26    17,880     16,456
  GATX Corp.  3.250%   3/30/25     2,109      2,016
  GATX Corp.  3.250%   9/15/26     9,710      8,992
  Goldman Sachs Group Inc.  5.700%   11/1/24    32,293     32,264
  Goldman Sachs Group Inc.  3.500%   1/23/25    41,150     39,864
  Goldman Sachs Group Inc.  3.500%    4/1/25    60,540     58,376
  Goldman Sachs Group Inc.  3.750%   5/22/25    78,310     75,821
  Goldman Sachs Group Inc.  4.250%  10/21/25    56,569     54,815
  Goldman Sachs Group Inc.  0.855%   2/12/26    33,975     31,522
  Goldman Sachs Group Inc.  3.750%   2/25/26     8,197      7,870
  Goldman Sachs Group Inc.  3.500%  11/16/26    25,155     23,726
  Goldman Sachs Group Inc.  1.093%   12/9/26    41,000     36,845
  Goldman Sachs Group Inc.  3.850%   1/26/27    14,460     13,797
  Goldman Sachs Group Inc.  1.431%    3/9/27    99,088     88,818
  Goldman Sachs Group Inc.  1.542%   9/10/27    33,900     29,932
  Goldman Sachs Group Inc.  1.948%  10/21/27    64,400     57,437
  Goldman Sachs Group Inc.  2.640%   2/24/28    61,082     55,325
  Goldman Sachs Group Inc.  3.615%   3/15/28    37,974     35,677
8 Goldman Sachs Group Inc.  7.250%   4/10/28     4,700      6,313
  Goldman Sachs Group Inc.  3.691%    6/5/28    44,707     42,113
  Goldman Sachs Group Inc.  4.482%   8/23/28   119,200    115,427
  Goldman Sachs Group Inc.  3.814%   4/23/29     8,957      8,343
  Goldman Sachs Group Inc.  4.223%    5/1/29     6,400      6,069
  Hanover Insurance Group Inc.  4.500%   4/15/26     9,700      9,394
  HSBC Holdings plc  4.250%   8/18/25    39,693     38,331
  HSBC Holdings plc  2.633%   11/7/25    36,895     35,285
  HSBC Holdings plc  4.300%    3/8/26    24,965     24,219
  HSBC Holdings plc  2.999%   3/10/26    41,330     39,450
  HSBC Holdings plc  1.645%   4/18/26   103,654     96,225
  HSBC Holdings plc  3.900%   5/25/26    29,850     28,535
  HSBC Holdings plc  2.099%    6/4/26   115,932    108,011
  HSBC Holdings plc  4.292%   9/12/26    55,223     53,354
  HSBC Holdings plc  1.589%   5/24/27    79,886     71,087
8 HSBC Holdings plc  1.750%   7/24/27     8,200      9,227
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  HSBC Holdings plc  2.251%  11/22/27    32,600     29,128
  HSBC Holdings plc  4.041%   3/13/28    58,858     55,505
9 HSBC Holdings plc  3.125%    6/7/28       400        416
  HSBC Holdings plc  4.755%    6/9/28    44,881     43,250
  HSBC Holdings plc  5.210%   8/11/28    36,420     35,680
  HSBC Holdings plc  2.013%   9/22/28     9,650      8,336
  HSBC Holdings plc  7.390%   11/3/28    41,230     43,563
  HSBC Holdings plc  6.161%    3/9/29    41,012     41,551
  Huntington Bancshares Inc.  4.443%    8/4/28    42,325     40,056
  Huntington National Bank  4.008%   5/16/25    16,996     16,521
  Huntington National Bank  5.699%  11/18/25    16,162     15,899
  ING Groep NV  1.726%    4/1/27    15,520     13,927
  ING Groep NV  4.017%   3/28/28     8,680      8,196
  Intercontinental Exchange Inc.  3.750%   12/1/25    25,590     24,850
  Intercontinental Exchange Inc.  4.000%   9/15/27    52,800     51,184
  Invesco Finance plc  3.750%   1/15/26    13,760     13,280
9 JAB Holdings BV  1.000%  12/20/27    17,800     17,228
  Jefferies Financial Group Inc.  5.875%   7/21/28    19,260     19,212
  JPMorgan Chase & Co.  1.561%  12/10/25    47,600     44,902
  JPMorgan Chase & Co.  2.005%   3/13/26    88,017     83,049
  JPMorgan Chase & Co.  2.083%   4/22/26    92,730     87,302
  JPMorgan Chase & Co.  3.200%   6/15/26    20,605     19,582
  JPMorgan Chase & Co.  2.950%   10/1/26    14,530     13,617
  JPMorgan Chase & Co.  1.045%  11/19/26   140,388    126,760
  JPMorgan Chase & Co.  4.125%  12/15/26    19,304     18,638
  JPMorgan Chase & Co.  1.040%    2/4/27    71,309     63,634
  JPMorgan Chase & Co.  1.578%   4/22/27    98,480     88,668
  JPMorgan Chase & Co.  1.470%   9/22/27    52,510     46,477
  JPMorgan Chase & Co.  3.782%    2/1/28    52,032     49,355
  JPMorgan Chase & Co.  2.947%   2/24/28     4,953      4,561
  JPMorgan Chase & Co.  4.323%   4/26/28    82,806     80,174
  JPMorgan Chase & Co.  3.540%    5/1/28    26,049     24,379
  JPMorgan Chase & Co.  2.182%    6/1/28    26,100     23,248
  JPMorgan Chase & Co.  4.851%   7/25/28    49,050     48,417
  JPMorgan Chase & Co.  4.005%   4/23/29    48,886     46,258
  JPMorgan Chase & Co.  1.953%    2/4/32    16,450     13,090
9 KBC Group NV  1.625%   9/18/29     1,000      1,051
  Kemper Corp.  4.350%   2/15/25     9,059      8,778
  KeyBank NA  4.700%   1/26/26    20,000     19,083
  KeyBank NA  5.850%  11/15/27    41,553     40,716
5 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.  5.250%   10/1/25     3,880      3,716
  Lazard Group LLC  3.750%   2/13/25     7,625      7,357
12,13 Lehman Brothers E-Capital Trust I  3.589%   8/19/65     9,410          1
  Lloyds Banking Group plc  4.582%  12/10/25    37,563     36,172
  Lloyds Banking Group plc  4.650%   3/24/26     1,080      1,041
  Lloyds Banking Group plc  4.716%   8/11/26    37,810     37,024
  Lloyds Banking Group plc  3.750%   1/11/27    33,555     31,753
  Lloyds Banking Group plc  1.627%   5/11/27    19,415     17,255
  Lloyds Banking Group plc  6.289%    8/7/27    28,950     28,950
  Lloyds Banking Group plc  3.750%   3/18/28     9,700      9,063
  Lloyds Banking Group plc  5.871%    3/6/29    25,700     25,639
9 Luminor Bank A/S  0.792%   12/3/24     5,344      5,687
  M&T Bank Corp.  4.553%   8/16/28    90,725     85,946
6,11 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900%  6.854%   5/28/30    33,130     22,677
  Manufacturers & Traders Trust Co.  2.900%    2/6/25     4,750      4,508
  Manufacturers & Traders Trust Co.  5.400%  11/21/25    14,890     14,630
 
16

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Manufacturers & Traders Trust Co.  4.650%   1/27/26    64,660     62,425
  Manufacturers & Traders Trust Co.  4.700%   1/27/28    64,942     62,209
  Marsh & McLennan Cos. Inc.  3.500%   3/10/25    29,500     28,667
  Mitsubishi UFJ Financial Group Inc.  2.193%   2/25/25    28,877     27,344
  Mitsubishi UFJ Financial Group Inc.  3.777%    3/2/25    17,699     17,184
  Mitsubishi UFJ Financial Group Inc.  1.412%   7/17/25    45,665     42,076
  Mitsubishi UFJ Financial Group Inc.  0.953%   7/19/25    17,329     16,478
  Mitsubishi UFJ Financial Group Inc.  5.063%   9/12/25    29,140     28,844
  Mitsubishi UFJ Financial Group Inc.  0.962%  10/11/25    31,700     29,755
  Mitsubishi UFJ Financial Group Inc.  5.719%   2/20/26    23,890     23,819
  Mitsubishi UFJ Financial Group Inc.  2.757%   9/13/26    11,300     10,407
  Mitsubishi UFJ Financial Group Inc.  1.538%   7/20/27    64,598     57,496
  Mitsubishi UFJ Financial Group Inc.  1.640%  10/13/27    27,700     24,483
  Mitsubishi UFJ Financial Group Inc.  2.341%   1/19/28    47,700     42,827
  Mitsubishi UFJ Financial Group Inc.  5.017%   7/20/28    19,560     19,208
  Mitsubishi UFJ Financial Group Inc.  5.354%   9/13/28     4,800      4,776
  Mitsubishi UFJ Financial Group Inc.  5.422%   2/22/29    36,680     36,615
  Mitsubishi UFJ Financial Group Inc.  5.242%   4/19/29    36,450     35,988
  Mizuho Financial Group Inc.  2.226%   5/25/26    28,890     26,943
  Mizuho Financial Group Inc.  1.234%   5/22/27    52,063     45,960
  Mizuho Financial Group Inc.  1.554%    7/9/27    40,700     36,077
  Mizuho Financial Group Inc.  5.667%   5/27/29    29,450     29,473
  Mizuho Financial Group Inc.  5.778%    7/6/29    32,610     32,754
  Morgan Stanley  4.000%   7/23/25    29,877     29,111
  Morgan Stanley  5.000%  11/24/25    79,980     79,053
  Morgan Stanley  3.875%   1/27/26    88,295     85,223
  Morgan Stanley  2.188%   4/28/26    68,300     64,285
  Morgan Stanley  4.679%   7/17/26    25,000     24,529
  Morgan Stanley  3.125%   7/27/26    12,619     11,863
  Morgan Stanley  4.350%    9/8/26    41,130     39,761
  Morgan Stanley  6.138%  10/16/26    27,614     27,943
  Morgan Stanley  0.985%  12/10/26    59,465     53,202
  Morgan Stanley  3.625%   1/20/27    66,477     63,032
  Morgan Stanley  5.050%   1/28/27    37,940     37,567
  Morgan Stanley  3.950%   4/23/27    25,965     24,719
  Morgan Stanley  1.593%    5/4/27    54,835     49,206
  Morgan Stanley  1.512%   7/20/27    66,650     59,257
9 Morgan Stanley  0.406%  10/29/27     8,226      7,997
  Morgan Stanley  2.475%   1/21/28    94,000     85,046
  Morgan Stanley  4.210%   4/20/28    29,100     27,955
6 Morgan Stanley  3.591%   7/22/28    16,409     15,270
  Morgan Stanley  6.296%  10/18/28    89,680     92,713
  Morgan Stanley  3.772%   1/24/29    26,000     24,327
  Morgan Stanley  5.123%    2/1/29    27,220     26,919
  Morgan Stanley  5.164%   4/20/29   141,500    140,036
  Morgan Stanley  5.449%   7/20/29    65,590     65,722
  Morgan Stanley Bank NA  4.754%   4/21/26    53,700     53,041
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Nasdaq Inc.  5.650%   6/28/25    46,070     46,167
  Nasdaq Inc.  5.350%   6/28/28    84,700     84,852
  National Australia Bank Ltd.  4.944%   1/12/28    28,960     28,852
9 Nationwide Building Society  2.000%   7/25/29    29,394     31,094
9 NatWest Group plc  1.750%    3/2/26    14,500     15,231
  NatWest Group plc  4.800%    4/5/26    22,265     21,694
  NatWest Group plc  5.847%    3/2/27    29,200     29,040
  NatWest Group plc  1.642%   6/14/27    22,600     20,027
  NatWest Group plc  3.073%   5/22/28    11,806     10,656
  NatWest Group plc  5.516%   9/30/28     9,700      9,534
  NatWest Group plc  3.754%   11/1/29    30,835     29,257
8 NatWest Group plc  2.105%  11/28/31     7,300      7,926
9 NatWest Markets plc  0.125%  11/12/25     9,700      9,737
8 NIBC Bank NV  3.125%  11/15/23    34,400     43,661
  Nomura Holdings Inc.  1.851%   7/16/25    13,236     12,211
  Nomura Holdings Inc.  2.329%   1/22/27    24,300     21,585
  Nomura Holdings Inc.  5.386%    7/6/27    19,400     19,086
  Nomura Holdings Inc.  5.842%   1/18/28    16,310     16,359
  Nomura Holdings Inc.  6.070%   7/12/28    21,123     21,314
5 Nuveen Finance LLC  4.125%   11/1/24    14,375     13,994
  OneMain Finance Corp.  3.500%   1/15/27     2,438      2,113
9 OP Corporate Bank plc  1.625%    6/9/30       500        511
8 Pension Insurance Corp. plc  6.500%    7/3/24    19,905     25,368
5 Penske Truck Leasing Co. LP / PTL Finance Corp.  3.450%    7/1/24    37,637     36,789
5 Penske Truck Leasing Co. LP / PTL Finance Corp.  1.200%  11/15/25    58,335     52,373
5 Penske Truck Leasing Co. LP / PTL Finance Corp.  5.750%   5/24/26    33,730     33,578
5 Penske Truck Leasing Co. LP / PTL Finance Corp.  5.875%  11/15/27     1,959      1,950
5 Penske Truck Leasing Co. LP / PTL Finance Corp.  6.050%    8/1/28    28,725     28,816
8 Phoenix Group Holdings plc  6.625%  12/18/25    23,593     30,027
  PNC Bank NA  2.950%   2/23/25     4,905      4,693
  PNC Financial Services Group Inc.  5.812%   6/12/26    23,870     23,900
  PNC Financial Services Group Inc.  4.758%   1/26/27    90,677     89,118
  PNC Financial Services Group Inc.  5.354%   12/2/28    81,530     81,070
  PNC Financial Services Group Inc.  5.582%   6/12/29   206,725    207,051
  PNC Financial Services Group Inc.  2.550%   1/22/30     9,600      8,122
  Principal Financial Group Inc.  3.100%  11/15/26     5,935      5,509
  Progressive Corp.  2.500%   3/15/27    34,943     32,160
5 Protective Life Global Funding  1.618%   4/15/26    22,570     20,241
5 Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.  2.875%  10/15/26     2,360      2,103
8 Rothesay Life plc  8.000%  10/30/25    19,730     25,504
  Royal Bank of Canada  4.950%   4/25/25    26,509     26,231
  Royal Bank of Canada  1.200%   4/27/26    70,280     62,995
  Royal Bank of Canada  1.150%   7/14/26    42,284     37,748
  Royal Bank of Canada  5.200%   7/20/26    37,740     37,712
  Royal Bank of Canada  1.400%   11/2/26    33,685     29,884
  Royal Bank of Canada  3.625%    5/4/27    20,530     19,449
  Royal Bank of Canada  4.240%    8/3/27    10,600     10,256
  Royal Bank of Canada  6.000%   11/1/27    48,300     49,738
  Royal Bank of Canada  4.900%   1/12/28    56,455     55,810
  Royal Bank of Canada  5.200%    8/1/28    24,080     24,025
 
17

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Santander Holdings USA Inc.  3.450%    6/2/25    36,885     35,166
  Santander Holdings USA Inc.  6.499%    3/9/29    24,430     24,533
  Santander UK Group Holdings plc  1.532%   8/21/26    33,875     30,506
  Santander UK Group Holdings plc  6.833%  11/21/26    49,840     50,565
  Santander UK Group Holdings plc  1.673%   6/14/27    63,415     55,542
  Santander UK Group Holdings plc  2.469%   1/11/28    38,002     33,380
  Santander UK Group Holdings plc  6.534%   1/10/29    19,270     19,478
5 Security Benefit Global Funding  1.250%   5/17/24    13,595     12,974
  Sixth Street Specialty Lending Inc.  2.500%    8/1/26     9,700      8,566
6,11 Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850%  6.156%   6/28/25    20,500     13,765
  State Street Corp.  5.272%    8/3/26    50,000     50,000
  State Street Corp.  5.820%   11/4/28    12,460     12,729
  Stifel Financial Corp.  4.250%   7/18/24    14,300     14,013
  Sumitomo Mitsui Financial Group Inc.  5.464%   1/13/26    11,600     11,577
  Sumitomo Mitsui Financial Group Inc.  3.784%    3/9/26    23,160     22,186
  Sumitomo Mitsui Financial Group Inc.  5.880%   7/13/26    21,540     21,761
  Sumitomo Mitsui Financial Group Inc.  2.632%   7/14/26    59,284     54,877
  Sumitomo Mitsui Financial Group Inc.  1.402%   9/17/26    48,900     43,210
  Sumitomo Mitsui Financial Group Inc.  3.446%   1/11/27    23,285     21,834
  Sumitomo Mitsui Financial Group Inc.  2.174%   1/14/27    19,400     17,387
  Sumitomo Mitsui Financial Group Inc.  3.364%   7/12/27     9,700      9,052
  Sumitomo Mitsui Financial Group Inc.  5.520%   1/13/28    34,150     34,312
  Sumitomo Mitsui Financial Group Inc.  5.800%   7/13/28     9,630      9,767
  Sumitomo Mitsui Financial Group Inc.  1.902%   9/17/28    12,670     10,654
  Sumitomo Mitsui Financial Group Inc.  2.130%    7/8/30     3,100      2,515
6,11 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250%  5.537%  10/16/24    13,821      9,293
  Synchrony Bank  5.400%   8/22/25    24,600     23,693
  Synchrony Financial  4.500%   7/23/25    31,729     30,365
  Synchrony Financial  3.700%    8/4/26    23,619     21,625
  Synovus Bank  5.625%   2/15/28    13,500     12,508
  Toronto-Dominion Bank  0.750%   9/11/25    28,044     25,476
  Toronto-Dominion Bank  5.103%    1/9/26    18,240     18,183
  Toronto-Dominion Bank  1.200%    6/3/26    26,426     23,543
  Toronto-Dominion Bank  5.532%   7/17/26    48,720     48,946
  Toronto-Dominion Bank  1.250%   9/10/26    84,936     75,343
  Toronto-Dominion Bank  2.800%   3/10/27    89,415     82,208
  Toronto-Dominion Bank  4.108%    6/8/27    44,210     42,466
  Toronto-Dominion Bank  4.693%   9/15/27     4,800      4,711
  Toronto-Dominion Bank  5.156%   1/10/28    46,885     46,689
  Toronto-Dominion Bank  5.523%   7/17/28    48,080     48,579
  Toronto-Dominion Bank  3.625%   9/15/31    11,000     10,240
  Trinity Acquisition plc  4.400%   3/15/26     1,367      1,320
  Truist Bank  1.500%   3/10/25    25,730     23,966
  Truist Bank  3.625%   9/16/25    21,610     20,440
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Truist Bank  2.636%   9/17/29    10,545      9,773
  Truist Financial Corp.  3.700%    6/5/25     9,640      9,294
  Truist Financial Corp.  1.267%    3/2/27    15,350     13,693
  Truist Financial Corp.  6.047%    6/8/27    79,950     80,056
  Truist Financial Corp.  4.123%    6/6/28     8,700      8,252
  Truist Financial Corp.  4.873%   1/26/29   100,020     96,708
  Truist Financial Corp.  6.123%  10/28/33    20,894     21,460
  Truist Financial Corp.  5.122%   1/26/34    21,882     20,923
  UBS Group AG  3.750%   3/26/25    67,437     65,294
  UBS Group AG  4.550%   4/17/26    18,413     17,849
5 UBS Group AG  6.373%   7/15/26    24,452     24,491
  US Bancorp  3.100%   4/27/26    10,154      9,591
  US Bancorp  5.727%  10/21/26    57,610     57,821
  US Bancorp  4.548%   7/22/28   156,888    150,977
  US Bancorp  4.653%    2/1/29    62,230     59,678
  US Bancorp  5.775%   6/12/29    55,175     55,433
  Voya Financial Inc.  3.650%   6/15/26    11,895     11,221
12,13 Washington Mutual Bank / Debt not acquired by JPMorgan  6.875%   6/15/11    21,983          2
  Wells Fargo & Co.  3.000%   2/19/25    20,694     19,924
  Wells Fargo & Co.  3.550%   9/29/25   103,033     99,111
  Wells Fargo & Co.  2.164%   2/11/26    60,354     57,050
  Wells Fargo & Co.  3.000%   4/22/26    59,157     55,708
  Wells Fargo & Co.  2.188%   4/30/26    77,800     73,212
  Wells Fargo & Co.  4.100%    6/3/26    91,330     87,690
  Wells Fargo & Co.  4.540%   8/15/26    16,659     16,296
  Wells Fargo & Co.  3.000%  10/23/26    73,175     68,261
9 Wells Fargo & Co.  1.375%  10/26/26    43,590     43,963
  Wells Fargo & Co.  3.196%   6/17/27    22,050     20,644
  Wells Fargo & Co.  4.300%   7/22/27    25,615     24,668
  Wells Fargo & Co.  3.526%   3/24/28    86,305     80,635
  Wells Fargo & Co.  3.584%   5/22/28    94,297     88,047
  Wells Fargo & Co.  2.393%    6/2/28    56,429     50,480
  Wells Fargo & Co.  4.808%   7/25/28    61,680     60,147
  Wells Fargo & Co.  5.574%   7/25/29    84,910     85,316
  Westpac Banking Corp.  2.894%    2/4/30    58,869     55,356
  Westpac Banking Corp.  4.322%  11/23/31    27,918     26,044
6,11 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.050%  4.967%   5/20/27     7,300      4,937
6,11 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.230%  5.104%  11/11/27    43,400     29,536
6,11 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.550%  5.807%   1/29/31    10,800      7,238
  Willis North America Inc.  3.600%   5/15/24    70,071     68,579
  Willis North America Inc.  4.650%   6/15/27    19,400     18,816
                                               16,694,564
Health Care (9.7%)
  AbbVie Inc.  2.600%  11/21/24   227,930    219,463
  AbbVie Inc.  3.800%   3/15/25   102,467     99,811
  AbbVie Inc.  3.600%   5/14/25    26,347     25,536
  AbbVie Inc.  3.200%   5/14/26    24,750     23,583
  AbbVie Inc.  2.950%  11/21/26   139,102    130,443
  AbbVie Inc.  4.250%  11/14/28     8,934      8,668
  Aetna Inc.  3.500%  11/15/24     9,670      9,436
  Agilent Technologies Inc.  3.050%   9/22/26     2,000      1,868
5 Alcon Finance Corp.  2.750%   9/23/26    19,350     17,849
9 American Medical Systems Europe BV  0.750%    3/8/25    45,141     47,096
  AmerisourceBergen Corp.  3.450%  12/15/27    14,815     13,915
  Amgen Inc.  5.250%    3/2/25   119,440    119,123
  Amgen Inc.  3.125%    5/1/25    15,679     15,068
  Amgen Inc.  2.200%   2/21/27    34,841     31,632
  Amgen Inc.  3.200%   11/2/27    17,780     16,610
  Amgen Inc.  5.150%    3/2/28   166,208    166,337
 
18

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Astrazeneca Finance LLC  1.200%   5/28/26    76,530     69,165
  Astrazeneca Finance LLC  1.750%   5/28/28     9,555      8,312
  Astrazeneca Finance LLC  4.875%    3/3/28    45,765     45,831
  Baxalta Inc.  4.000%   6/23/25    12,304     11,961
  Baxter International Inc.  1.322%  11/29/24   140,925    133,387
  Baxter International Inc.  1.915%    2/1/27   158,915    141,935
  Baxter International Inc.  2.272%   12/1/28    61,195     52,719
5 Bayer US Finance LLC  3.375%   10/8/24    24,570     23,822
  Becton Dickinson & Co.  3.700%    6/6/27    77,616     74,021
  Becton Dickinson & Co.  4.693%   2/13/28    20,700     20,472
  Boston Scientific Corp.  1.900%    6/1/25    43,755     41,148
  Bristol-Myers Squibb Co.  3.450%  11/15/27     8,290      7,973
  Bristol-Myers Squibb Co.  3.900%   2/20/28     8,801      8,512
  Centene Corp.  4.250%  12/15/27     7,025      6,620
  Centene Corp.  2.450%   7/15/28     9,674      8,333
  Cigna Group  3.250%   4/15/25    24,000     23,110
  Cigna Group  4.125%  11/15/25    91,744     89,559
  Cigna Group  4.500%   2/25/26     9,900      9,720
  Cigna Group  1.250%   3/15/26    22,550     20,350
  Cigna Group  3.400%    3/1/27    36,217     34,199
  Cigna Group  4.375%  10/15/28    20,615     19,944
  CommonSpirit Health  2.760%   10/1/24    47,745     46,070
  CommonSpirit Health  1.547%   10/1/25    32,150     29,404
5 CSL Finance plc  3.850%   4/27/27     9,680      9,264
  CVS Health Corp.  2.625%   8/15/24    49,444     47,976
  CVS Health Corp.  4.100%   3/25/25    16,143     15,831
  CVS Health Corp.  3.875%   7/20/25    45,617     44,326
  CVS Health Corp.  5.000%   2/20/26    48,255     48,076
  CVS Health Corp.  2.875%    6/1/26    24,200     22,779
  CVS Health Corp.  3.000%   8/15/26    41,970     39,457
  CVS Health Corp.  3.625%    4/1/27    99,162     94,403
  CVS Health Corp.  1.300%   8/21/27    33,815     29,192
  CVS Health Corp.  4.300%   3/25/28   151,538    146,715
  CVS Health Corp.  5.000%   1/30/29    47,600     47,365
  DH Europe Finance II Sarl  2.200%  11/15/24    91,491     87,889
9 DH Europe Finance II Sarl  0.200%   3/18/26    19,435     19,481
  Dignity Health  3.812%   11/1/24       970        945
  Elevance Health Inc.  2.375%   1/15/25    24,455     23,389
  Elevance Health Inc.  5.350%  10/15/25    11,600     11,616
  Elevance Health Inc.  1.500%   3/15/26    38,795     35,176
  Elevance Health Inc.  4.101%    3/1/28    36,708     35,310
9 EssilorLuxottica SA  0.125%   5/27/25     1,000      1,031
9 EssilorLuxottica SA  0.375%    1/5/26     5,000      5,087
  GE HealthCare Technologies Inc.  5.550%  11/15/24    16,345     16,327
  GE HealthCare Technologies Inc.  5.600%  11/15/25   115,085    115,462
  GE HealthCare Technologies Inc.  5.650%  11/15/27   116,024    118,235
  Gilead Sciences Inc.  3.500%    2/1/25    82,940     80,791
  Gilead Sciences Inc.  3.650%    3/1/26    88,187     85,015
  Gilead Sciences Inc.  2.950%    3/1/27     7,064      6,626
  GlaxoSmithKline Capital Inc.  3.875%   5/15/28    52,159     50,389
  HCA Inc.  5.375%    2/1/25    24,190     24,049
  HCA Inc.  5.250%   4/15/25    47,142     46,753
  HCA Inc.  5.250%   6/15/26    44,900     44,504
  HCA Inc.  4.500%   2/15/27    33,403     32,475
5 HCA Inc.  3.125%   3/15/27    28,845     26,589
5 Highmark Inc.  1.450%   5/10/26    60,053     53,542
  Humana Inc.  3.850%   10/1/24    15,019     14,696
  Humana Inc.  4.500%    4/1/25    29,165     28,735
  Humana Inc.  1.350%    2/3/27     9,750      8,539
  Humana Inc.  3.950%   3/15/27     6,000      5,757
  Humana Inc.  5.750%    3/1/28    10,461     10,706
  McKesson Corp.  0.900%   12/3/25    33,440     30,184
  McKesson Corp.  1.300%   8/15/26    33,850     30,307
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  McKesson Corp.  3.950%   2/16/28    26,350     25,338
  Merck & Co. Inc.  1.700%   6/10/27    42,980     38,555
  Merck & Co. Inc.  4.050%   5/17/28    45,164     44,431
5 Organon & Co. / Organon Foreign Debt Co.-Issuer BV  4.125%   4/30/28     9,705      8,698
  Pfizer Investment Enterprises Pte Ltd.  4.650%   5/19/25   233,315    231,300
  Pfizer Investment Enterprises Pte Ltd.  4.450%   5/19/26   375,695    370,968
  Pfizer Investment Enterprises Pte Ltd.  4.450%   5/19/28   321,695    316,176
  Providence St. Joseph Health Obligated Group  2.746%   10/1/26    12,893     11,800
  Quest Diagnostics Inc.  3.500%   3/30/25    11,655     11,284
  Quest Diagnostics Inc.  3.450%    6/1/26     6,800      6,510
  Revvity Inc.  0.850%   9/15/24    58,085     54,948
5 Roche Holdings Inc.  2.314%   3/10/27    65,590     60,318
  Royalty Pharma plc  1.200%    9/2/25    36,950     33,583
  Royalty Pharma plc  1.750%    9/2/27    26,975     23,441
  Shire Acquisitions Investments Ireland DAC  3.200%   9/23/26   137,061    128,722
  Stryker Corp.  1.150%   6/15/25    29,100     26,961
  Stryker Corp.  3.375%   11/1/25     2,960      2,842
  Takeda Pharmaceutical Co. Ltd.  5.000%  11/26/28     5,000      4,988
  Tenet Healthcare Corp.  4.875%    1/1/26     6,250      6,050
  Tenet Healthcare Corp.  4.250%    6/1/29     2,644      2,369
  Teva Pharmaceutical Finance Netherlands III BV  5.125%    5/9/29       340        312
  Thermo Fisher Scientific Inc.  1.215%  10/18/24   168,585    160,065
9 Thermo Fisher Scientific Inc.  3.200%   1/21/26     6,899      7,480
  Thermo Fisher Scientific Inc.  4.800%  11/21/27    52,524     52,872
  UnitedHealth Group Inc.  1.250%   1/15/26     9,867      9,027
  UnitedHealth Group Inc.  5.250%   2/15/28    64,671     66,163
  UnitedHealth Group Inc.  3.850%   6/15/28    24,090     23,196
  UnitedHealth Group Inc.  4.250%   1/15/29    56,280     54,863
  Utah Acquisition Sub Inc.  3.950%   6/15/26    84,040     79,741
  Viatris Inc.  1.650%   6/22/25    56,546     52,399
  Zimmer Biomet Holdings Inc.  3.050%   1/15/26    73,410     69,627
  Zoetis Inc.  4.500%  11/13/25    38,800     38,134
  Zoetis Inc.  5.400%  11/14/25    26,740     26,849
  Zoetis Inc.  3.000%   9/12/27    18,825     17,563
                                               5,535,567
Industrials (6.2%)
5 Air Canada  3.875%   8/15/26     3,605      3,350
5 American Airlines Inc. 11.750%   7/15/25     1,452      1,601
5 American Airlines Inc.  7.250%   2/15/28       864        857
5 American Airlines Inc. / AAdvantage Loyalty IP Ltd.  5.500%   4/20/26     7,320      7,212
  Amphenol Corp.  4.750%   3/30/26    11,570     11,470
5 AP Moller - Maersk A/S  3.875%   9/28/25    27,700     26,698
5 Aramark Services Inc.  6.375%    5/1/25     9,350      9,365
11 Aurizon Network Pty Ltd.  4.000%   6/21/24    12,050      8,003
  Boeing Co.  1.433%    2/4/24   197,900    193,246
  Boeing Co.  2.850%  10/30/24     7,500      7,230
  Boeing Co.  4.875%    5/1/25   202,401    199,950
  Boeing Co.  2.600%  10/30/25    10,553      9,861
  Boeing Co.  2.750%    2/1/26    30,055     28,176
  Boeing Co.  2.196%    2/4/26   338,851    312,712
  Boeing Co.  2.250%   6/15/26     8,748      7,998
  Boeing Co.  2.700%    2/1/27    27,313     25,044
 
19

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Boeing Co.  5.040%    5/1/27     6,358      6,306
  Boeing Co.  3.250%    2/1/28    24,090     22,169
11 Brisbane Airport Corp. Pty Ltd.  3.900%   4/24/25    12,200      8,013
  Burlington Northern Santa Fe LLC  7.000%  12/15/25    15,760     16,396
  Burlington Northern Santa Fe LLC  3.250%   6/15/27    13,706     13,044
  Canadian Pacific Railway Co.  2.900%    2/1/25     9,568      9,211
  Canadian Pacific Railway Co.  1.750%   12/2/26    36,800     33,103
  Canadian Pacific Railway Co.  4.000%    6/1/28    20,080     19,246
5 Cargo Aircraft Management Inc.  4.750%    2/1/28     2,697      2,402
  Carrier Global Corp.  2.242%   2/15/25    16,409     15,591
  Caterpillar Financial Services Corp.  4.800%    1/6/26    99,793     99,604
  Caterpillar Financial Services Corp.  4.350%   5/15/26    67,500     66,662
  Caterpillar Financial Services Corp.  1.150%   9/14/26    19,400     17,321
  CNH Industrial Capital LLC  1.875%   1/15/26    74,052     67,910
  CNH Industrial Capital LLC  1.450%   7/15/26    38,840     34,796
  CNH Industrial Capital LLC  4.550%   4/10/28    19,000     18,428
  CSX Corp.  3.350%   11/1/25     4,021      3,877
  CSX Corp.  3.800%    3/1/28    17,667     16,903
5 Daimler Truck Finance North America LLC  5.125%   1/19/28    14,470     14,392
  Dover Corp.  3.150%  11/15/25     6,115      5,819
  Embraer Overseas Ltd.  5.696%   9/16/23     1,281      1,280
  Emerson Electric Co.  0.875%  10/15/26     9,575      8,479
  Emerson Electric Co.  1.800%  10/15/27    19,500     17,357
  FedEx Corp.  3.250%    4/1/26     8,735      8,385
  FedEx Corp.  3.400%   2/15/28    14,739     13,798
  General Dynamics Corp.  3.250%    4/1/25    27,574     26,723
  General Dynamics Corp.  3.500%    4/1/27    29,360     28,039
  General Dynamics Corp.  2.625%  11/15/27    11,880     10,890
8 Heathrow Funding Ltd.  6.750%   12/3/28     9,715     12,634
9 Honeywell International Inc.  3.500%   5/17/27    28,100     30,587
  Honeywell International Inc.  4.950%   2/15/28   107,444    108,969
  Huntington Ingalls Industries Inc.  3.844%    5/1/25    60,217     58,272
  Huntington Ingalls Industries Inc.  3.483%   12/1/27    31,200     28,788
  John Deere Capital Corp.  3.400%    6/6/25    36,015     34,901
  John Deere Capital Corp.  4.050%    9/8/25    32,591     31,899
  John Deere Capital Corp.  4.800%    1/9/26    89,087     88,813
  John Deere Capital Corp.  5.050%    3/3/26    57,890     58,127
  John Deere Capital Corp.  4.750%    6/8/26    22,060     21,997
  John Deere Capital Corp.  1.300%  10/13/26    10,208      9,136
  John Deere Capital Corp.  2.350%    3/8/27    30,820     28,307
  John Deere Capital Corp.  2.800%    9/8/27     1,341      1,241
  John Deere Capital Corp.  4.150%   9/15/27    77,258     75,516
  John Deere Capital Corp.  4.750%   1/20/28    53,080     52,947
  Johnson Controls International plc  3.900%   2/14/26     2,541      2,443
  L3Harris Technologies Inc.  3.832%   4/27/25     4,620      4,486
  L3Harris Technologies Inc.  3.850%  12/15/26    26,108     24,966
  L3Harris Technologies Inc.  5.400%   1/15/27    57,770     57,906
  Lennox International Inc.  1.350%    8/1/25     6,770      6,215
  Lennox International Inc.  1.700%    8/1/27     6,800      5,943
  Lockheed Martin Corp.  4.950%  10/15/25     5,470      5,461
  Lockheed Martin Corp.  5.100%  11/15/27    32,670     33,139
  Lockheed Martin Corp.  4.450%   5/15/28    23,520     23,292
11 Lonsdale Finance Pty Ltd.  2.450%  11/20/26    20,730     12,710
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.  6.500%   6/20/27   159,624    159,710
5 Misc Capital Two Labuan Ltd.  3.625%    4/6/25    48,550     46,702
5 Misc Capital Two Labuan Ltd.  3.750%    4/6/27     6,795      6,369
  Norfolk Southern Corp.  3.650%    8/1/25     7,852      7,618
  Norfolk Southern Corp.  2.900%   6/15/26    16,309     15,392
  Northrop Grumman Corp.  2.930%   1/15/25    56,066     54,076
  Northrop Grumman Corp.  3.250%   1/15/28    63,139     58,991
  Otis Worldwide Corp.  2.056%    4/5/25   106,183    100,462
  Otis Worldwide Corp.  2.293%    4/5/27     1,220      1,113
  PACCAR Financial Corp.  1.100%   5/11/26     9,334      8,427
11 Pacific National Finance Pty Ltd.  5.250%   5/19/25    38,120     24,875
  Parker-Hannifin Corp.  3.250%    3/1/27     1,660      1,563
  Parker-Hannifin Corp.  4.250%   9/15/27    29,080     28,310
11 Qantas Airways Ltd.  4.750%  10/12/26     5,810      3,792
11 Qantas Airways Ltd.  3.150%   9/27/28     9,650      5,676
  Quanta Services Inc.  0.950%   10/1/24    14,085     13,307
5 Regal Rexnord Corp.  6.050%   4/15/28    12,740     12,655
  Republic Services Inc.  3.200%   3/15/25    10,293      9,934
  Republic Services Inc.  0.875%  11/15/25    14,500     13,126
  Republic Services Inc.  2.900%    7/1/26     4,860      4,578
  Republic Services Inc.  3.375%  11/15/27    19,500     18,337
  Republic Services Inc.  4.875%    4/1/29    24,340     24,247
5 Rolls-Royce plc  3.625%  10/14/25     2,640      2,499
5 Rolls-Royce plc  5.750%  10/15/27     2,476      2,438
  RTX Corp.  3.950%   8/16/25    80,973     79,022
  RTX Corp.  5.000%   2/27/26    13,490     13,470
  RTX Corp.  3.500%   3/15/27    38,900     37,015
  RTX Corp.  3.125%    5/4/27    24,137     22,600
  RTX Corp.  4.125%  11/16/28     3,560      3,419
  Ryder System Inc.  1.750%    9/1/26    24,290     21,788
  Ryder System Inc.  2.850%    3/1/27    28,149     25,858
  Ryder System Inc.  5.650%    3/1/28    14,460     14,584
  Ryder System Inc.  5.250%    6/1/28    20,500     20,327
5 Siemens Financieringsmaatschappij NV  1.200%   3/11/26    42,600     38,638
5 Siemens Financieringsmaatschappij NV  1.700%   3/11/28    15,060     13,097
  Southwest Airlines Co.  5.250%    5/4/25    41,341     41,173
  Southwest Airlines Co.  3.000%  11/15/26     6,800      6,321
  Southwest Airlines Co.  5.125%   6/15/27    54,781     54,636
  Southwest Airlines Co.  3.450%  11/16/27     8,742      8,123
  Stanley Black & Decker Inc.  3.400%    3/1/26    21,105     20,059
5 TransDigm Inc.  6.250%   3/15/26     6,000      5,972
5 TransDigm Inc.  6.750%   8/15/28     5,840      5,868
9 Traton Finance Luxembourg SA  4.250%   5/16/28     1,000      1,091
  Tyco Electronics Group SA  4.500%   2/13/26    43,330     42,679
  Tyco Electronics Group SA  3.700%   2/15/26    24,334     23,517
  Tyco Electronics Group SA  3.125%   8/15/27    23,841     22,295
  Union Pacific Corp.  3.250%   8/15/25    15,077     14,557
  Union Pacific Corp.  2.750%    3/1/26     8,717      8,243
  Union Pacific Corp.  3.000%   4/15/27    18,214     17,144
4 United Airlines Class B Series 2020-1 Pass Through Trust  4.875%   7/15/27     6,271      6,069
5 United Airlines Inc.  4.375%   4/15/26     9,885      9,363
4,13 US Airways Series 2001-1C Pass Through Trust  7.346%   9/20/23        34         34
  Waste Management Inc.  0.750%  11/15/25    30,210     27,394
 
20

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Waste Management Inc.  3.150%  11/15/27    19,991     18,767
  Waste Management Inc.  1.150%   3/15/28     2,900      2,472
                                               3,527,404
Materials (2.3%)
  Albemarle Corp.  4.650%    6/1/27    16,240     15,801
  ArcelorMittal SA  4.550%   3/11/26     8,995      8,806
5 Arconic Corp.  6.000%   5/15/25     1,058      1,073
5 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.  5.250%   4/30/25     4,167      4,092
  Avery Dennison Corp.  0.850%   8/15/24    19,350     18,344
  Ball Corp.  4.875%   3/15/26     2,775      2,712
9 BASF SE  0.750%   3/17/26     1,000      1,019
9 BASF SE  0.250%    6/5/27     2,000      1,940
  Berry Global Inc.  0.950%   2/15/24    67,135     65,273
  Berry Global Inc.  1.570%   1/15/26   113,233    102,578
5 Berry Global Inc.  4.875%   7/15/26    15,149     14,657
  Berry Global Inc.  1.650%   1/15/27    21,744     18,910
5 Berry Global Inc.  5.625%   7/15/27     8,459      8,297
  BHP Billiton Finance USA Ltd.  4.875%   2/27/26   103,900    103,478
  BHP Billiton Finance USA Ltd.  4.750%   2/28/28   116,835    116,431
5 Big River Steel LLC / BRS Finance Corp.  6.625%   1/31/29     4,090      4,072
5 Canpack SA / Canpack US LLC  3.875%  11/15/29     1,575      1,276
5 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP  3.400%   12/1/26    35,216     33,388
  Dow Chemical Co.  4.550%  11/30/25    24,580     24,130
9 Dow Chemical Co.  0.500%   3/15/27     2,000      1,936
  DuPont de Nemours Inc.  4.493%  11/15/25    59,612     58,529
  Eastman Chemical Co.  3.800%   3/15/25    22,587     21,959
  EIDP Inc.  1.700%   7/15/25    14,540     13,547
  EIDP Inc.  4.500%   5/15/26    38,555     37,898
5 Element Solutions Inc.  3.875%    9/1/28     6,543      5,784
  FMC Corp.  5.150%   5/18/26    19,130     18,916
  FMC Corp.  3.200%   10/1/26    12,000     11,117
  Freeport Indonesia PT  4.763%   4/14/27    22,710     22,053
  Freeport-McMoRan Inc.  4.550%  11/14/24    26,375     25,914
  Freeport-McMoRan Inc.  4.375%    8/1/28     8,228      7,803
5 Georgia-Pacific LLC  1.750%   9/30/25    66,065     61,037
5 Georgia-Pacific LLC  0.950%   5/15/26    71,895     63,769
5 Georgia-Pacific LLC  2.100%   4/30/27    49,882     45,387
5 Graphic Packaging International LLC  3.500%   3/15/28       625        562
5 Hudbay Minerals Inc.  4.500%    4/1/26     2,454      2,332
  Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT  4.750%   5/15/25    37,106     36,357
5 Ingevity Corp.  3.875%   11/1/28     2,075      1,797
  LYB International Finance III LLC  1.250%   10/1/25    51,849     47,258
  Nucor Corp.  3.950%   5/23/25     9,700      9,460
  Nucor Corp.  2.000%    6/1/25    26,034     24,492
  Nucor Corp.  4.300%   5/23/27     9,700      9,452
  Nutrien Ltd.  5.900%   11/7/24     6,725      6,741
  Nutrien Ltd.  3.000%    4/1/25    35,822     34,260
  Nutrien Ltd.  5.950%   11/7/25    17,260     17,447
  Nutrien Ltd.  4.900%   3/27/28    44,319     43,671
5 Olympus Water US Holding Corp.  9.750%  11/15/28     3,473      3,359
  Packaging Corp. of America  3.650%   9/15/24       339        332
  PPG Industries Inc.  1.200%   3/15/26    31,210     28,083
  RPM International Inc.  3.750%   3/15/27    37,821     35,595
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Sherwin-Williams Co.  4.250%    8/8/25    24,040     23,571
  Steel Dynamics Inc.  2.800%  12/15/24    14,555     13,959
  Steel Dynamics Inc.  2.400%   6/15/25    15,855     14,888
  WRKCo Inc.  3.000%   9/15/24    29,076     28,126
  WRKCo Inc.  3.750%   3/15/25     8,107      7,866
  WRKCo Inc.  3.375%   9/15/27     3,050      2,821
                                               1,334,355
Real Estate (4.2%)
9 Akelius Residential Property AB  1.750%    2/7/25     3,000      3,102
8 Akelius Residential Property AB  2.375%   8/15/25    26,941     31,308
  Alexandria Real Estate Equities Inc.  3.450%   4/30/25    63,865     61,532
  Alexandria Real Estate Equities Inc.  4.300%   1/15/26     9,080      8,795
  American Tower Corp.  2.950%   1/15/25    53,083     51,037
  American Tower Corp.  2.400%   3/15/25    58,482     55,477
  American Tower Corp.  4.000%    6/1/25    31,725     30,833
  American Tower Corp.  1.600%   4/15/26    67,714     61,023
  American Tower Corp.  1.450%   9/15/26    34,406     30,502
  American Tower Corp.  3.375%  10/15/26    25,308     23,817
9 American Tower Corp.  0.450%   1/15/27    19,437     18,693
  American Tower Corp.  2.750%   1/15/27    28,920     26,498
9 American Tower Corp.  0.400%   2/15/27     8,744      8,389
  American Tower Corp.  3.550%   7/15/27    10,995     10,235
9 Aroundtown SA  0.625%    7/9/25     7,800      7,523
9 Aroundtown SA  3.375% Perpetual     3,600      1,668
  AvalonBay Communities Inc.  2.950%   5/11/26    19,400     18,312
  AvalonBay Communities Inc.  2.900%  10/15/26     6,300      5,836
9 Blackstone Property Partners Europe Holdings Sarl  0.500%   9/12/23    21,547     23,541
9 Blackstone Property Partners Europe Holdings Sarl  2.200%   7/24/25     5,850      5,938
9 Blackstone Property Partners Europe Holdings Sarl  1.000%  10/20/26     3,900      3,658
  Boston Properties LP  3.800%    2/1/24     5,070      4,985
  Boston Properties LP  3.200%   1/15/25     7,524      7,194
  Boston Properties LP  3.650%    2/1/26    13,821     12,980
  Boston Properties LP  2.750%   10/1/26    16,974     15,311
  Boston Properties LP  6.750%   12/1/27    14,500     14,840
  Brandywine Operating Partnership LP  4.100%   10/1/24    12,555     12,040
  Brandywine Operating Partnership LP  3.950%  11/15/27     5,956      4,854
  Brixmor Operating Partnership LP  3.650%   6/15/24    71,237     69,386
  Brixmor Operating Partnership LP  3.850%    2/1/25    36,846     35,470
  Brixmor Operating Partnership LP  3.900%   3/15/27     9,690      9,002
  Camden Property Trust  3.500%   9/15/24     2,785      2,716
  Corporate Office Properties LP  2.250%   3/15/26    59,075     52,915
  Crown Castle Inc.  3.200%    9/1/24    68,894     67,011
  Crown Castle Inc.  1.350%   7/15/25    29,140     26,881
  Crown Castle Inc.  4.450%   2/15/26    41,232     40,204
  Crown Castle Inc.  3.700%   6/15/26    56,235     53,566
  Crown Castle Inc.  1.050%   7/15/26    56,719     49,963
  Crown Castle Inc.  4.000%    3/1/27     7,199      6,872
  Crown Castle Inc.  2.900%   3/15/27    19,430     17,850
  Crown Castle Inc.  5.000%   1/11/28    43,891     43,301
  Crown Castle Inc.  3.800%   2/15/28     8,670      8,110
  CubeSmart LP  4.000%  11/15/25     7,260      6,896
 
21

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CubeSmart LP  3.125%    9/1/26     2,680      2,488
9 Digital Dutch Finco BV  0.625%   7/15/25    13,205     13,351
9 Digital Euro Finco LLC  2.625%   4/15/24     3,744      4,040
  Digital Realty Trust LP  3.700%   8/15/27    15,729     14,725
  Digital Realty Trust LP  5.550%   1/15/28    41,295     41,158
  Equinix Inc.  1.450%   5/15/26     9,710      8,714
  Equinix Inc.  2.900%  11/18/26    18,180     16,766
  Equinix Inc.  1.800%   7/15/27    14,550     12,742
  Equinix Inc.  2.000%   5/15/28     9,600      8,223
  ERP Operating LP  3.375%    6/1/25    20,200     19,497
  ERP Operating LP  2.850%   11/1/26     7,965      7,424
  Essex Portfolio LP  3.625%    5/1/27     9,640      9,011
  Essex Portfolio LP  1.700%    3/1/28     8,760      7,439
  Extra Space Storage LP  5.700%    4/1/28    35,178     35,411
  Federal Realty OP LP  1.250%   2/15/26    13,240     11,907
  Federal Realty OP LP  3.250%   7/15/27     9,677      8,824
  Healthcare Realty Holdings LP  3.875%    5/1/25     5,800      5,454
  Healthcare Realty Holdings LP  3.750%    7/1/27    19,305     17,927
  Healthpeak OP LLC  3.400%    2/1/25     3,942      3,802
  Healthpeak OP LLC  4.000%    6/1/25    10,352     10,029
  Healthpeak OP LLC  1.350%    2/1/27    24,300     21,236
9 Heimstaden Bostad AB  1.125%   1/21/26    17,200     15,681
  Highwoods Realty LP  3.875%    3/1/27    22,853     20,780
  Highwoods Realty LP  4.125%   3/15/28     8,923      8,014
  Host Hotels & Resorts LP  4.000%   6/15/25    12,046     11,639
  Kilroy Realty LP  3.450%  12/15/24    39,295     37,751
  Kilroy Realty LP  4.375%   10/1/25     5,685      5,392
  Kimco Realty OP LLC  3.300%    2/1/25    52,230     50,185
  Kimco Realty OP LLC  2.800%   10/1/26     7,258      6,677
  Kimco Realty OP LLC  3.800%    4/1/27     9,684      9,085
9 Kojamo OYJ  1.500%   6/19/24     4,850      5,108
9 Logicor Financing Sarl  0.750%   7/15/24     5,068      5,348
9 Logicor Financing Sarl  2.250%   5/13/25     4,855      5,011
  Mid-America Apartments LP  4.000%  11/15/25    11,320     11,014
  Mid-America Apartments LP  1.100%   9/15/26    25,130     22,144
  NNN REIT Inc.  4.000%  11/15/25    19,893     18,985
  Omega Healthcare Investors Inc.  4.500%   1/15/25    10,390     10,098
  Omega Healthcare Investors Inc.  5.250%   1/15/26    32,354     31,581
  Omega Healthcare Investors Inc.  4.500%    4/1/27     4,250      4,024
  Omega Healthcare Investors Inc.  4.750%   1/15/28     9,757      9,123
5 Ontario Teachers' Cadillac Fairview Properties Trust  3.875%   3/20/27     6,000      5,552
  Physicians Realty LP  4.300%   3/15/27     2,427      2,313
  Piedmont Operating Partnership LP  9.250%   7/20/28     9,630      9,881
  Prologis LP  3.250%   6/30/26    11,070     10,520
  Prologis LP  2.125%   4/15/27     9,885      8,940
  Prologis LP  3.375%  12/15/27    10,600      9,938
  Prologis LP  4.875%   6/15/28    38,520     38,330
  Public Storage  1.500%   11/9/26    17,225     15,475
  Public Storage  1.850%    5/1/28    29,889     26,035
  Public Storage  5.125%   1/15/29    16,690     16,768
  Realty Income Corp.  3.875%   4/15/25    13,495     13,141
  Realty Income Corp.  4.625%   11/1/25    57,806     56,982
  Realty Income Corp.  0.750%   3/15/26     9,960      8,822
  Realty Income Corp.  4.875%    6/1/26   103,847    102,866
  Realty Income Corp.  4.125%  10/15/26    44,580     43,129
8 Realty Income Corp.  1.875%   1/14/27     6,214      6,896
  Realty Income Corp.  3.000%   1/15/27    12,520     11,653
8 Realty Income Corp.  1.125%   7/13/27    13,900     14,665
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Realty Income Corp.  3.950%   8/15/27     5,345      5,093
  Realty Income Corp.  2.200%   6/15/28     7,220      6,286
9 Realty Income Corp.  4.875%    7/6/30     2,658      2,964
  Regency Centers LP  3.750%   6/15/24     1,115      1,090
  Regency Centers LP  3.600%    2/1/27     1,392      1,315
  Sabra Health Care LP  5.125%   8/15/26    24,249     23,342
  Simon Property Group LP  2.000%   9/13/24    53,032     50,922
  Simon Property Group LP  3.375%   10/1/24    41,828     40,712
  Simon Property Group LP  3.500%    9/1/25    48,883     47,112
  Simon Property Group LP  3.250%  11/30/26    23,542     22,112
  Simon Property Group LP  1.375%   1/15/27    24,250     21,395
  STORE Capital Corp.  4.500%   3/15/28     5,018      4,430
  UDR Inc.  2.950%    9/1/26     1,500      1,381
  Ventas Realty LP  3.500%   4/15/24    12,741     12,500
  Ventas Realty LP  2.650%   1/15/25    12,310     11,665
  Ventas Realty LP  3.500%    2/1/25     4,820      4,633
  Ventas Realty LP  3.250%  10/15/26    25,055     23,113
5 VICI Properties LP / VICI Note Co. Inc.  4.625%   6/15/25     7,927      7,707
5 Wea Finance LLC / Westfield UK & Europe Finance plc  3.750%   9/17/24     7,140      6,816
  Welltower OP LLC  4.000%    6/1/25    67,934     65,823
  Welltower OP LLC  4.250%    4/1/26     6,180      5,992
8 Westfield America Management Ltd.  2.125%   3/30/25     6,499      7,655
                                               2,393,836
Technology (5.0%)
9 Apple Inc.  2.000%   9/17/27     1,000      1,046
  Broadcom Corp. / Broadcom Cayman Finance Ltd.  3.125%   1/15/25    19,200     18,498
  Broadcom Corp. / Broadcom Cayman Finance Ltd.  3.875%   1/15/27    64,178     61,194
  Broadcom Corp. / Broadcom Cayman Finance Ltd.  3.500%   1/15/28     8,356      7,733
  Broadcom Inc.  3.625%  10/15/24    73,287     71,424
  Broadcom Inc.  3.150%  11/15/25    39,911     38,074
  Broadcom Inc.  3.459%   9/15/26    29,472     27,935
5 Broadcom Inc.  1.950%   2/15/28    13,878     12,006
5 Clarivate Science Holdings Corp.  3.875%    7/1/28     2,355      2,102
  Dell International LLC / EMC Corp.  5.850%   7/15/25    56,907     57,182
  Dell International LLC / EMC Corp.  6.020%   6/15/26   170,854    173,197
  Dell International LLC / EMC Corp.  4.900%   10/1/26     9,156      9,055
  Dell International LLC / EMC Corp.  6.100%   7/15/27     6,800      7,008
  Dell International LLC / EMC Corp.  5.250%    2/1/28    74,415     74,591
9 DXC Capital Funding DAC  0.450%   9/15/27       400        370
  DXC Technology Co.  1.800%   9/15/26    32,770     28,810
  DXC Technology Co.  2.375%   9/15/28     9,640      8,158
5 Entegris Escrow Corp.  4.750%   4/15/29     3,880      3,622
  Equifax Inc.  2.600%   12/1/24    89,569     85,746
  Equifax Inc.  2.600%  12/15/25    48,400     45,263
  Fidelity National Information Services Inc.  1.150%    3/1/26    19,430     17,461
  Fiserv Inc.  2.750%    7/1/24   113,765    110,601
  Fiserv Inc.  3.200%    7/1/26    50,813     48,036
  Fiserv Inc.  5.450%    3/2/28    38,045     38,448
  Global Payments Inc.  1.500%  11/15/24    33,880     31,986
  Global Payments Inc.  1.200%    3/1/26    74,837     66,941
  Global Payments Inc.  2.150%   1/15/27    79,130     70,716
 
22

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  HP Inc.  2.200%   6/17/25    81,466     76,735
  HP Inc.  3.000%   6/17/27     9,830      9,101
  HP Inc.  4.750%   1/15/28     7,110      6,993
  Intel Corp.  4.875%   2/10/26    59,140     58,935
  Intel Corp.  3.750%   3/25/27     5,190      5,003
  Intel Corp.  3.150%   5/11/27     5,140      4,828
  Intel Corp.  3.750%    8/5/27    98,440     94,350
  Intel Corp.  4.875%   2/10/28    59,567     59,379
9 International Business Machines Corp.  2.875%   11/7/25     5,000      5,375
  International Business Machines Corp.  3.300%   5/15/26   118,084    112,672
  International Business Machines Corp.  4.500%    2/6/28    38,520     37,815
  Intuit Inc.  0.950%   7/15/25     1,950      1,799
  Juniper Networks Inc.  1.200%  12/10/25    13,730     12,376
  NXP BV / NXP Funding LLC  5.350%    3/1/26    17,480     17,420
  NXP BV / NXP Funding LLC / NXP USA Inc.  2.700%    5/1/25    10,346      9,851
  NXP BV / NXP Funding LLC / NXP USA Inc.  4.400%    6/1/27    23,523     22,790
  Oracle Corp.  2.950%  11/15/24    24,413     23,666
  Oracle Corp.  2.500%    4/1/25   120,121    114,563
  Oracle Corp.  2.950%   5/15/25    47,433     45,467
  Oracle Corp.  5.800%  11/10/25    34,400     34,830
  Oracle Corp.  1.650%   3/25/26   130,629    119,152
  Oracle Corp.  2.650%   7/15/26    91,643     85,484
  Oracle Corp.  2.800%    4/1/27    35,092     32,376
  Oracle Corp.  3.250%  11/15/27    19,500     18,186
  Oracle Corp.  2.300%   3/25/28    14,450     12,744
  Oracle Corp.  4.500%    5/6/28    52,590     51,364
  PayPal Holdings Inc.  3.900%    6/1/27    13,230     12,841
5 Qorvo Inc.  1.750%  12/15/24    14,560     13,655
  QUALCOMM Inc.  3.250%   5/20/27    30,971     29,394
  Roper Technologies Inc.  3.800%  12/15/26    12,272     11,770
  S&P Global Inc.  2.450%    3/1/27    60,795     56,131
5 Sabre GLBL Inc.  7.375%    9/1/25     2,965      2,676
5 Seagate HDD Cayman  8.250%  12/15/29     3,855      4,038
  Skyworks Solutions Inc.  1.800%    6/1/26    90,504     81,061
5 SS&C Technologies Inc.  5.500%   9/30/27     3,909      3,777
  Teledyne Technologies Inc.  1.600%    4/1/26    64,850     59,179
  Teledyne Technologies Inc.  2.250%    4/1/28    18,759     16,485
  Texas Instruments Inc.  2.900%   11/3/27    37,280     34,815
  Texas Instruments Inc.  4.600%   2/15/28     6,800      6,806
  Verisk Analytics Inc.  4.000%   6/15/25    52,010     50,703
9 Visa Inc.  1.500%   6/15/26    31,830     32,971
  VMware Inc.  4.500%   5/15/25   144,807    141,783
  VMware Inc.  1.400%   8/15/26    77,893     69,006
  Workday Inc.  3.500%    4/1/27    40,650     38,602
                                               2,856,150
Utilities (5.4%)
  AEP Transmission Co. LLC  3.100%   12/1/26    13,890     13,069
  AES Corp.  5.450%    6/1/28    29,050     28,785
6,11 AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000%  5.310%    1/8/26    14,500      9,637
  Alabama Power Co.  3.750%    9/1/27    48,385     46,338
  Ameren Corp.  2.500%   9/15/24    32,940     31,775
  Ameren Corp.  3.650%   2/15/26     9,007      8,606
  Ameren Corp.  1.950%   3/15/27    26,159     23,460
  Ameren Corp.  1.750%   3/15/28    14,460     12,523
  Ameren Illinois Co.  3.250%    3/1/25    11,340     10,997
  American Electric Power Co. Inc.  5.699%   8/15/25    29,930     29,909
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  American Electric Power Co. Inc.  1.000%   11/1/25     9,675      8,783
  American Electric Power Co. Inc.  5.750%   11/1/27    17,250     17,689
6,11 Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400%  4.751%    7/1/24     9,500      6,346
  Berkshire Hathaway Energy Co.  4.050%   4/15/25    19,699     19,290
  Black Hills Corp.  1.037%   8/23/24    29,400     27,938
8 Cadent Finance plc  2.125%   9/22/28     5,400      5,783
5 Calpine Corp.  4.500%   2/15/28     1,494      1,372
  CenterPoint Energy Inc.  2.500%    9/1/24    15,667     15,092
  CenterPoint Energy Inc.  1.450%    6/1/26    46,620     41,873
  CenterPoint Energy Resources Corp.  5.250%    3/1/28     9,640      9,685
  Consumers Energy Co.  4.650%    3/1/28    61,435     61,151
11 DBNGP Finance Co. Pty Ltd.  4.225%   5/28/25     8,050      5,270
  Dominion Energy Inc.  3.300%   3/15/25    47,212     45,548
  Dominion Energy Inc.  1.450%   4/15/26    39,762     36,013
  Dominion Energy Inc.  2.850%   8/15/26     4,500      4,182
  DTE Energy Co.  1.050%    6/1/25    35,045     32,289
  DTE Energy Co.  2.850%   10/1/26    36,880     34,147
  DTE Energy Co.  4.875%    6/1/28    20,000     19,775
  Duke Energy Corp.  0.900%   9/15/25    33,565     30,635
  Duke Energy Corp.  5.000%   12/8/25    24,130     23,977
  Duke Energy Corp.  2.650%    9/1/26    21,838     20,247
  Duke Energy Corp.  5.000%   12/8/27    19,290     19,247
  Duke Energy Corp.  4.300%   3/15/28    24,820     23,925
9 Duke Energy Corp.  3.100%   6/15/28     8,900      9,283
  Duke Energy Progress LLC  3.250%   8/15/25     7,798      7,513
8 E.ON International Finance BV  5.625%   12/6/23     2,945      3,772
5 East Ohio Gas Co.  1.300%   6/15/25     9,715      8,955
  Eastern Energy Gas Holdings LLC  3.600%  12/15/24    17,106     16,546
5 Electricite de France SA  5.700%   5/23/28     8,180      8,238
5 Electricite de France SA  4.500%   9/21/28    16,050     15,316
9 Enel Finance International NV  1.966%   1/27/25     2,000      2,135
9 Enel Finance International NV  0.000%   6/17/27    23,200     22,102
9 Energias de Portugal SA  2.875%    6/1/26    10,600     11,346
  Entergy Arkansas LLC  3.500%    4/1/26    23,522     22,616
  Entergy Corp.  0.900%   9/15/25    48,695     44,193
  Entergy Corp.  2.950%    9/1/26    90,000     83,368
  Entergy Louisiana LLC  0.950%   10/1/24    17,460     16,578
  Entergy Louisiana LLC  5.590%   10/1/24    22,680     22,681
  Entergy Louisiana LLC  5.400%   11/1/24     8,562      8,537
  Entergy Louisiana LLC  2.400%   10/1/26    16,976     15,598
  Evergy Inc.  2.450%   9/15/24    48,500     46,672
  Evergy Kansas Central Inc.  2.550%    7/1/26    16,138     15,014
  Eversource Energy  0.800%   8/15/25    11,595     10,588
  Eversource Energy  4.750%   5/15/26    38,600     38,058
  Eversource Energy  1.400%   8/15/26    22,250     19,767
  Eversource Energy  2.900%    3/1/27    41,865     38,617
  Eversource Energy  4.600%    7/1/27    24,200     23,705
  Eversource Energy  5.450%    3/1/28    40,980     41,586
  Exelon Corp.  3.950%   6/15/25    30,194     29,348
  Exelon Corp.  3.400%   4/15/26     4,845      4,622
  Exelon Corp.  2.750%   3/15/27    35,937     33,073
  Exelon Corp.  5.150%   3/15/28    67,255     67,380
  FirstEnergy Corp.  2.050%    3/1/25     5,635      5,311
  FirstEnergy Corp.  1.600%   1/15/26    12,317     11,189
  FirstEnergy Corp.  4.150%   7/15/27     3,995      3,781
  Georgia Power Co.  2.200%   9/15/24    23,973     23,085
  Georgia Power Co.  4.650%   5/16/28    86,760     85,255
 
23

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  ITC Holdings Corp.  3.250%   6/30/26     9,400      8,892
5 ITC Holdings Corp.  4.950%   9/22/27    12,920     12,769
  ITC Holdings Corp.  3.350%  11/15/27    24,120     22,493
5 Metropolitan Edison Co.  5.200%    4/1/28    14,460     14,373
5 Mid-Atlantic Interstate Transmission LLC  4.100%   5/15/28     9,650      9,144
  National Fuel Gas Co.  5.500%   1/15/26     9,705      9,575
  National Fuel Gas Co.  5.500%   10/1/26    19,275     19,099
9 National Grid Electricity Distribution East Midlands plc  3.530%   9/20/28    12,300     13,247
8 National Grid Electricity Distribution plc  3.625%   11/6/23    14,458     18,429
8 National Grid Electricity Distribution plc  3.500%  10/16/26     3,168      3,757
  National Grid plc  5.602%   6/12/28    27,030     27,137
  National Rural Utilities Cooperative Finance Corp.  1.875%    2/7/25    24,290     23,049
  National Rural Utilities Cooperative Finance Corp.  3.400%    2/7/28    11,203     10,474
  NextEra Energy Capital Holdings Inc.  1.875%   1/15/27    20,853     18,711
  NextEra Energy Capital Holdings Inc.  4.625%   7/15/27    29,000     28,488
5 NextEra Energy Operating Partners LP  3.875%  10/15/26     1,455      1,355
  NiSource Inc.  5.250%   3/30/28    35,410     35,479
  NRG Energy Inc.  6.625%   1/15/27     1,514      1,502
  NSTAR Electric Co.  3.250%  11/15/25     9,710      9,241
  NSTAR Electric Co.  3.200%   5/15/27    33,850     31,843
  NTPC Ltd.  4.375%  11/26/24     4,300      4,215
  Oncor Electric Delivery Co. LLC  0.550%   10/1/25    10,212      9,270
5 Oncor Electric Delivery Co. LLC  4.300%   5/15/28    43,210     42,251
  Pacific Gas and Electric Co.  3.500%   6/15/25    16,285     15,488
  Pacific Gas and Electric Co.  3.450%    7/1/25    14,525     13,801
  Pacific Gas and Electric Co.  3.150%    1/1/26   100,743     93,965
  Pacific Gas and Electric Co.  2.100%    8/1/27    13,019     11,231
  PacifiCorp  3.350%    7/1/25    17,120     16,324
  PECO Energy Co.  3.150%  10/15/25     3,885      3,729
5 Pennsylvania Electric Co.  5.150%   3/30/26     7,690      7,590
  PG&E Recovery Funding LLC  5.045%   7/15/34    23,480     23,354
  Public Service Electric and Gas Co.  3.000%   5/15/25     8,340      8,006
  Public Service Enterprise Group Inc.  2.875%   6/15/24    41,393     40,301
  Public Service Enterprise Group Inc.  0.800%   8/15/25    48,415     44,061
  Public Service Enterprise Group Inc.  5.850%  11/15/27    59,480     60,951
  Puget Energy Inc.  3.650%   5/15/25    13,272     12,743
5 Rayburn Country Securitization LLC  2.307%   12/1/32     9,576      8,552
  Sempra  3.300%    4/1/25    36,889     35,611
  Southern California Edison Co.  3.700%    8/1/25    13,471     13,046
  Southern California Edison Co.  1.200%    2/1/26     6,329      5,720
  Southern California Edison Co.  5.300%    3/1/28    20,960     21,118
  Southern California Gas Co.  2.600%   6/15/26    16,150     15,170
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Southern California Gas Co.  2.950%   4/15/27    19,425     18,190
  Southern Co.  4.475%    8/1/24    29,890     29,460
  Southern Co.  5.150%   10/6/25    14,885     14,813
  Southern Co.  5.113%    8/1/27    38,600     38,257
  Southern Co.  1.750%   3/15/28       931        799
  Southern Co.  4.850%   6/15/28    48,190     47,614
  Southern Co. Gas Capital Corp.  3.250%   6/15/26     4,025      3,814
  Southern Power Co.  0.900%   1/15/26     9,700      8,730
  Southwestern Electric Power Co.  1.650%   3/15/26    35,070     31,894
  Union Electric Co.  2.950%   6/15/27    12,496     11,645
11 United Energy Distribution Pty Ltd.  3.850%  10/23/24     9,730      6,436
6,11 Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.500%  4.416%   8/23/24    14,700      9,836
  Virginia Electric and Power Co.  3.100%   5/15/25     8,585      8,236
  Virginia Electric and Power Co.  3.150%   1/15/26    12,295     11,722
  Virginia Electric and Power Co.  2.950%  11/15/26    46,542     43,422
  Virginia Electric and Power Co.  3.500%   3/15/27    19,467     18,489
  Virginia Electric and Power Co.  3.750%   5/15/27    18,494     17,776
  Virginia Electric and Power Co.  3.800%    4/1/28    14,460     13,771
5 Vistra Operations Co. LLC  5.125%   5/13/25     9,672      9,461
5 Vistra Operations Co. LLC  5.500%    9/1/26    21,384     20,700
5 Vistra Operations Co. LLC  5.625%   2/15/27     3,881      3,753
5 Vistra Operations Co. LLC  5.000%   7/31/27     1,380      1,298
  WEC Energy Group Inc.  5.000%   9/27/25    13,350     13,277
  WEC Energy Group Inc.  4.750%    1/9/26   133,110    131,283
  WEC Energy Group Inc.  5.150%   10/1/27    24,180     24,178
  WEC Energy Group Inc.  4.750%   1/15/28    75,649     74,603
  Wisconsin Public Service Corp.  5.350%  11/10/25    19,850     19,922
  Xcel Energy Inc.  3.350%   12/1/26    20,814     19,612
  Xcel Energy Inc.  1.750%   3/15/27    31,596     28,017
  Xcel Energy Inc.  4.000%   6/15/28    28,930     27,535
                                               3,075,281
Total Corporate Bonds (Cost $51,340,514) 48,848,353
Floating Rate Loan Interests (0.3%)
6 American Airlines Inc. Term Loan, TSFR3M + 4.750% 10.338%   4/20/28     1,140      1,179
6 Belron Finance US LLC Term Loan, TSFR3M + 2.750%  8.160%   4/18/29       275        275
6 Berry Global Inc. Term Loan Z, TSFR3M + 1.750%  7.293%    7/1/26       996        995
6 CDK Global Inc. Term Loan B, TSFR3M + 4.250%  9.492%    7/6/29     1,433      1,433
6 Clarios Global LP Term Loan, TSFR1M + 3.750%  9.069%    5/6/30     2,448      2,446
6 DaVita Inc. Term Loan B, TSFR1M +1.750%  7.183%   8/12/26     2,681      2,648
6 DirecTV Financing LLC Term Loan, TSFR1M + 5.000% 10.433%    8/2/27     2,721      2,702
6 Hilton Domestic Operating Co. Inc. Term Loan B-2, TSFR1M + 1.750%  7.148%   6/22/26     6,255      6,247
 
24

 

Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
6 McAfee LLC Term Loan B, TSFR1M + 3.750%  8.963%    3/1/29     1,421      1,371
6 Medline Borrower LP Term Loan B, TSFR1M + 3.250%  8.683%  10/23/28     3,239      3,204
6 Oracle Corp. Term Loan A-1, TSFR1M + 1.600%  6.846%   8/16/27    95,000     92,506
6 SBA Senior Finance II LLC Term Loan B, TSFR1M + 1.750%  7.170%   4/11/25     9,819      9,807
6 Setanta Aircraft Leasing DAC Term Loan B, 3M USD LIBOR + 2.000%  7.538%   11/5/28    35,555     35,528
6 SkyMiles IP Ltd. Term Loan B, TSFR3M + 3.750%  9.076%  10/20/27     3,281      3,408
6 Spirit AeroSystems Inc. Term Loan, TSFR3M + 4.500%  9.869%   1/15/27       958        958
6 SS&C Technologies Inc. Term Loan B-6, TSFR1M + 2.250%  7.669%   3/22/29       836        835
6 SS&C Technologies Inc. Term Loan B-7, TSFR1M + 2.250%  7.669%   3/22/29     1,260      1,259
6 Wyndham Hotels & Resorts Inc. Term Loan B, TSFR1M + 2.250%  7.669%   5/24/30     3,005      3,009
Total Floating Rate Loan Interests (Cost $171,274) 169,810
Sovereign Bonds (1.4%)
5 Airport Authority  4.875%   1/12/26    28,945     28,766
  Arab Petroleum Investments Corp.  4.125%   9/18/23    14,518     14,482
  Banque Ouest Africaine de Developpement  5.000%   7/27/27     8,358      7,756
  Corp. Andina de Fomento  1.250%  10/26/24    67,162     63,406
  Corp. Andina de Fomento  4.750%    4/1/26    19,296     18,963
  Corp. Financiera de Desarrollo SA  4.750%   7/15/25     6,018      5,907
  Corp. Financiera de Desarrollo SA  2.400%   9/28/27     2,117      1,847
  Dominican Republic  6.000%   7/19/28    19,566     19,204
  Dominican Republic  5.500%   2/22/29    14,168     13,486
  Federative Republic of Brazil  8.750%    2/4/25    17,095     17,977
  Fondo MIVIVIENDA SA  4.625%   4/12/27    11,758     11,341
9 Kingdom of Morocco  1.375%   3/30/26    22,104     22,138
  Kingdom of Saudi Arabia  4.750%   1/18/28    60,065     59,668
5 Korea Electric Power Corp.  5.375%   7/31/26    48,150     48,207
  Korea National Oil Corp.  0.875%   10/5/25    19,400     17,555
5 Magyar Export-Import Bank Zrt  6.125%   12/4/27    18,860     18,895
9 MFB Magyar Fejlesztesi Bank Zrt  1.375%   6/24/25    16,459     16,846
9 Republic of Chile  0.100%   1/26/27    18,930     18,175
  Republic of Hungary  5.375%   3/25/24     7,154      7,133
9 Republic of Hungary  1.125%   4/28/26    30,800     30,959
  Republic of Hungary  6.125%   5/22/28     7,205      7,334
9 Republic of Korea  0.000%  10/15/26     8,743      8,525
  Republic of Panama  4.000%   9/22/24     6,378      6,235
  Republic of Panama  3.750%   3/16/25    37,165     35,968
  Republic of Peru  7.350%   7/21/25     7,704      7,953
  Republic of Peru  2.844%   6/20/30    44,394     38,661
  Republic of Peru  2.783%   1/23/31    27,083     23,016
9 Republic of Serbia  3.125%   5/15/27    50,895     51,059
  Republic of Uzbekistan  4.750%   2/20/24     8,540      8,460
9 Romania  2.750%   2/26/26     9,689     10,137
5 Romania  5.250%  11/25/27    19,185     18,786
  Romania  5.250%  11/25/27    10,662     10,469
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Romania  6.625%   2/17/28     6,450      6,694
9 Romania  6.625%   9/27/29    10,355     11,937
9 Romania  2.500%    2/8/30     6,632      6,130
9 Romania  1.750%   7/13/30     4,220      3,598
  Sharjah Sukuk Program Ltd.  3.854%    4/3/26    16,074     15,485
  Sultanate of Oman  4.750%   6/15/26    13,900     13,590
  United Mexican States  5.400%    2/9/28    61,823     62,672
  United Mexican States  2.659%   5/24/31    10,855      9,031
Total Sovereign Bonds (Cost $837,427) 798,451
Taxable Municipal Bonds (0.1%)
  Florida State Board of Administration Finance Corp. Miscellaneous Revenue  1.705%    7/1/27    22,350     19,703
14 New Jersey Economic Development Authority Appropriations Revenue  7.425%   2/15/29    13,409     14,420
  New York Transportation Development Corp. Miscellaneous Revenue  4.248%    9/1/35     3,740      3,618
Total Taxable Municipal Bonds (Cost $39,580) 37,741
 
25

 

Short-Term Investment-Grade Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
15 Vanguard Market Liquidity Fund (Cost $164,838)  5.274%           1,648,708           164,838
Total Investments (99.9%) (Cost $59,818,203) 56,992,893
Other Assets and Liabilities—Net (0.1%) 81,060
Net Assets (100%) 57,073,953
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $84,246,000 have been segregated as initial margin for open centrally cleared swap contracts.
2 Securities with a value of $30,469,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $135,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 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 July 31, 2023, the aggregate value was $3,505,559,000, representing 6.1% of net assets.
6 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7 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.
8 Face amount denominated in British pounds.
9 Face amount denominated in euro.
10 Guaranteed by the Republic of Azerbaijan.
11 Face amount denominated in Australian dollars.
12 Non-income-producing security—security in default.
13 Security value determined using significant unobservable inputs.
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  3M—3-month.
  6M—6-month.
  DAC—Designated Activity Company.
  LIBOR—London Interbank Offered Rate.
  REIT—Real Estate Investment Trust.
  REMIC—Real Estate Mortgage Investment Conduits.
  SOFR—Secured Overnight Financing Rate.
  SOFR30A—30 Day Average Secured Overnight Financing Rate.
  TSFR1M—CME Term Secured Overnight Financing Rate 1-Month.
  TSFR3M—CME Term Secured Overnight Financing Rate 3-Month.
  USD—U.S. dollar.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 6,171 1,252,906 (7,718)
5-Year U.S. Treasury Note September 2023 3,081 329,113 (203)
Ultra Long U.S. Treasury Bond September 2023 12 1,587 (30)
        (7,951)
 
26

 

Short-Term Investment-Grade Fund
Futures Contracts (continued)
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts        
10-Year Japanese Government Bond September 2023 (373) (384,890) 3,402
10-Year U.S. Treasury Note September 2023 (2,438) (271,608) 151
AUD 3-Year Treasury Bond September 2023 (851) (60,596) 112
Euro-Bobl September 2023 (4,367) (556,448) 6,901
Euro-Schatz September 2023 (1,001) (115,618) 753
Long Gilt September 2023 (449) (55,392) (47)
Long U.S. Treasury Bond September 2023 (39) (4,853) 78
Ultra 10-Year U.S. Treasury Note September 2023 (464) (54,281) 1,290
        12,640
        4,689
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
UBS AG 9/20/23 EUR 5,425 USD 6,050 — (70)
JPMorgan Chase Bank, N.A. 9/20/23 GBP 31,843 USD 40,471 404 —
Royal Bank of Canada 9/20/23 GBP 2,288 USD 2,972 — (35)
Morgan Stanley Capital Services Inc. 9/20/23 JPY 553,882 USD 3,968 — (43)
Standard Chartered Bank 9/20/23 JPY 315,675 USD 2,238 — (1)
BNP Paribas 9/20/23 USD 238,485 AUD 346,118 5,581 —
State Street Bank & Trust Co. 9/20/23 USD 1,062,108 EUR 943,570 22,025 —
BNP Paribas 9/20/23 USD 18,308 EUR 16,243 404 —
Bank of Montreal 9/20/23 USD 3,437 EUR 3,055 70 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 320,492 GBP 249,685 — (11)
State Street Bank & Trust Co. 9/20/23 USD 1,821 GBP 1,412 9 —
Bank of Montreal 9/20/23 USD 3,347 JPY 467,408 34 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 2,631 JPY 366,374 35 —
Bank of Montreal 9/20/23 USD 1,577 JPY 224,066 — (11)
            28,562 (171)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
27

 

Short-Term Investment-Grade Fund
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-HY-S40-V1 6/21/28 USD 106,460 5.000 4,442 967
CDX-NA-IG-S40-V1 6/21/28 USD 2,829,049 1.000 48,929 26,228
          53,371 27,195
 
Credit Protection Purchased            
iTraxx Europe-S39-V1 6/21/28 EUR 52,400 (1.000) (898) (218)
          52,473 26,977
1 Periodic premium received/paid quarterly.
EUR—euro.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000)1 		Periodic
Premium
Received
(Paid)
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Ally Financial Inc./Baa3 12/23/25 GSI 3,270 1.000 (62) 11 — (73)
American Express Co./A2 12/23/25 GSI 3,270 1.000 64 52 12 —
American International Group Inc./Baa2 12/23/25 GSI 3,270 1.000 43 22 21 —
AT&T Inc./Baa2 12/21/23 BARC 179,110 1.000 523 418 105 —
AT&T Inc./Baa2 12/21/23 BARC 44,560 1.000 130 104 26 —
Boeing Co./Baa2 6/21/24 GSI 24,365 1.000 168 105 63 —
Boeing Co./Baa2 12/23/25 GSI 3,270 1.000 41 (9) 50 —
Chubb INA Holdings Inc./A3 12/23/25 GSI 3,270 1.000 68 58 10 —
Comcast Corp./A3 12/23/25 GSI 3,270 1.000 55 46 9 —
CVS Health Corp./Baa2 12/23/25 GSI 3,270 1.000 57 37 20 —
Dominion Energy Inc./Baa2 12/23/25 GSI 3,270 1.000 53 46 7 —
Dow Chemical Co./Baa1 12/23/25 GSI 3,270 1.000 43 30 13 —
Enbridge Inc./Baa1 12/23/25 GSI 3,270 1.000 39 27 12 —
General Electric Co./Baa1 12/23/25 GSI 3,270 1.000 43 9 34 —
General Motors Co./Baa3 12/23/25 GSI 3,270 1.000 11 (2) 13 —
International Business Machines Corp./A3 12/23/25 GSI 3,270 1.000 59 48 11 —
Kroger Co./Baa1 12/23/25 GSI 3,270 1.000 53 37 16 —
Lincoln National Corp./Baa1 12/23/25 GSI 3,270 1.000 (47) 21 — (68)
Lowe's Cos. Inc./Baa1 12/23/25 GSI 3,270 1.000 61 48 13 —
Marathon Petroleum Corp./Baa2 12/23/25 GSI 3,270 1.000 49 14 35 —
28

 

Short-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000)1 		Periodic
Premium
Received
(Paid)
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Marsh & McLennan Cos. Inc./Baa1 12/23/25 GSI 3,270 1.000 69 56 13 —
Metlife Inc./A3 12/23/25 GSI 3,270 1.000 31 35 — (4)
Mondelez International Inc./Baa1 12/23/25 GSI 3,270 1.000 59 43 16 —
People’s Republic of China/A1 6/21/24 GSI 20,715 1.000 169 85 84 —
Prudential Financial Inc./A3 12/23/25 GSI 3,270 1.000 32 35 — (3)
Republic of Chile/A2 6/21/28 BNPSW 8,470 1.000 148 (33) 181 —
Republic of Chile/A2 6/21/28 MSCS 15,220 1.000 267 (150) 417 —
Simon Property Group LP/A3 12/23/25 GSI 3,270 1.000 43 22 21 —
UnitedHealth Group Inc./A3 12/23/25 GSI 3,270 1.000 61 51 10 —
Verizon Communications Inc./Baa1 12/23/25 GSI 3,270 1.000 21 35 — (14)
          2,351 1,301 1,212 (162)
 
Credit Protection Purchased
Boeing Co. 12/21/24 JPMC 9,690 (1.000) (89) 228 — (317)
          2,262 1,529 1,212 (479)
1 Periodic premium received/paid quarterly.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
At July 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $30,354,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

Short-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $59,653,365) 56,828,055
Affiliated Issuers (Cost $164,838) 164,838
Total Investments in Securities 56,992,893
Investment in Vanguard 1,936
Cash 4,013
Foreign Currency, at Value (Cost $13,432) 13,390
Receivables for Investment Securities Sold 537,747
Receivables for Accrued Income 505,633
Receivables for Capital Shares Issued 38,052
Swap Premiums Paid 1,723
Variation Margin Receivable—Futures Contracts 4,512
Unrealized Appreciation—Forward Currency Contracts 28,562
Unrealized Appreciation—Over-the-Counter Swap Contracts 1,212
Other Assets 680
Total Assets 58,130,353
Liabilities  
Payables for Investment Securities Purchased 934,504
Payables for Capital Shares Redeemed 93,598
Payables for Distributions 24,803
Payables to Vanguard 2,631
Swap Premiums Received 194
Unrealized Depreciation—Forward Currency Contracts 171
Variation Margin Payable—Centrally Cleared Swap Contracts 20
Unrealized Depreciation—Over-the-Counter Swap Contracts 479
Total Liabilities 1,056,400
Net Assets 57,073,953
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 62,432,436
Total Distributable Earnings (Loss) (5,358,483)
Net Assets 57,073,953
 
Investor Shares—Net Assets  
Applicable to 636,114,639 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		6,374,660
Net Asset Value Per Share—Investor Shares $10.02
 
Admiral Shares—Net Assets  
Applicable to 3,938,789,278 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		39,471,577
Net Asset Value Per Share—Admiral Shares $10.02
 
Institutional Shares—Net Assets  
Applicable to 1,120,391,560 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		11,227,716
Net Asset Value Per Share—Institutional Shares $10.02
See accompanying Notes, which are an integral part of the Financial Statements.
30

 

Short-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 887,475
Total Income 887,475
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 3,218
Management and Administrative—
Investor Shares 		5,687
Management and Administrative—
Admiral Shares 		16,278
Management and Administrative—
Institutional Shares 		3,104
Marketing and Distribution—
Investor Shares 		221
Marketing and Distribution—
Admiral Shares 		1,293
Marketing and Distribution—
Institutional Shares 		228
Custodian Fees 263
Shareholders’ Reports—Investor Shares 70
Shareholders’ Reports—Admiral Shares 208
Shareholders’ Reports—Institutional Shares 8
Trustees’ Fees and Expenses 16
Other Expenses 10
Total Expenses 30,604
Expenses Paid Indirectly (166)
Net Expenses 30,438
Net Investment Income 857,037
Realized Net Gain (Loss)  
Investment Securities Sold1 (699,262)
Futures Contracts (12,852)
Options Purchased (6,237)
Swap Contracts 12,701
Forward Currency Contracts (15,701)
Foreign Currencies 2,042
Realized Net Gain (Loss) (719,309)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 312,010
Futures Contracts (1,797)
Options Purchased 5,835
Swap Contracts 24,224
Forward Currency Contracts 24,364
Foreign Currencies (434)
Change in Unrealized Appreciation (Depreciation) 364,202
Net Increase (Decrease) in Net Assets Resulting from Operations 501,930
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,815,000, $24,000, and ($37,000), respectively. Purchases and sales are for temporary cash investment purposes.
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 857,037   1,341,629
Realized Net Gain (Loss) (719,309)   (1,856,600)
Change in Unrealized Appreciation (Depreciation) 364,202   (2,056,882)
Net Increase (Decrease) in Net Assets Resulting from Operations 501,930   (2,571,853)
Distributions      
Investor Shares (93,877)   (138,688)
Admiral Shares (613,945)   (963,438)
Institutional Shares (176,139)   (268,221)
Total Distributions (883,961)   (1,370,347)
Capital Share Transactions      
Investor Shares (116,412)   (1,451,328)
Admiral Shares (2,111,411)   (9,570,838)
Institutional Shares (227,859)   (1,824,378)
Net Increase (Decrease) from Capital Share Transactions (2,455,682)   (12,846,544)
Total Increase (Decrease) (2,837,713)   (16,788,744)
Net Assets      
Beginning of Period 59,911,666   76,700,410
End of Period 57,073,953   59,911,666
 
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

Short-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.09 $10.63 $11.02 $10.80 $10.50 $10.57
Investment Operations            
Net Investment Income1 .142 .194 .161 .233 .297 .283
Net Realized and Unrealized Gain (Loss) on Investments (.065) (.534) (.341) .225 .304 (.069)
Total from Investment Operations .077 (.340) (.180) .458 .601 .214
Distributions            
Dividends from Net Investment Income (.147) (.200) (.171) (.238) (.301) (.284)
Distributions from Realized Capital Gains — — (.039) — — —
Total Distributions (.147) (.200) (.210) (.238) (.301) (.284)
Net Asset Value, End of Period $10.02 $10.09 $10.63 $11.02 $10.80 $10.50
Total Return2 0.77% -3.18% -1.66% 4.29% 5.79% 2.07%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,375 $6,532 $8,400 $8,617 $8,179 $7,846
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 2.86% 1.92% 1.47% 2.14% 2.78% 2.71%
Portfolio Turnover Rate4 43% 77% 65% 89% 76% 71%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 3%, 11%, 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.09 $10.63 $11.02 $10.80 $10.50 $10.57
Investment Operations            
Net Investment Income1 .147 .204 .171 .244 .308 .294
Net Realized and Unrealized Gain (Loss) on Investments (.065) (.534) (.341) .225 .304 (.070)
Total from Investment Operations .082 (.330) (.170) .469 .612 .224
Distributions            
Dividends from Net Investment Income (.152) (.210) (.181) (.249) (.312) (.294)
Distributions from Realized Capital Gains — — (.039) — — —
Total Distributions (.152) (.210) (.220) (.249) (.312) (.294)
Net Asset Value, End of Period $10.02 $10.09 $10.63 $11.02 $10.80 $10.50
Total Return2 0.82% -3.09% -1.56% 4.39% 5.90% 2.17%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $39,472 $41,848 $54,200 $51,282 $44,211 $40,218
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.96% 2.01% 1.57% 2.23% 2.88% 2.81%
Portfolio Turnover Rate4 43% 77% 65% 89% 76% 71%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 3%, 11%, 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

Short-Term Investment-Grade Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $10.09 $10.63 $11.02 $10.80 $10.50 $10.57
Investment Operations            
Net Investment Income1 .149 .207 .175 .246 .311 .297
Net Realized and Unrealized Gain (Loss) on Investments (.065) (.534) (.341) .226 .304 (.070)
Total from Investment Operations .084 (.327) (.166) .472 .615 .227
Distributions            
Dividends from Net Investment Income (.154) (.213) (.185) (.252) (.315) (.297)
Distributions from Realized Capital Gains — — (.039) — — —
Total Distributions (.154) (.213) (.224) (.252) (.315) (.297)
Net Asset Value, End of Period $10.02 $10.09 $10.63 $11.02 $10.80 $10.50
Total Return 0.84% -3.06% -1.53% 4.42% 5.93% 2.20%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $11,228 $11,531 $14,101 $14,267 $10,830 $10,100
Ratio of Total Expenses to Average Net Assets 0.07%2 0.07%2 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.99% 2.05% 1.60% 2.25% 2.91% 2.84%
Portfolio Turnover Rate3 43% 77% 65% 89% 76% 71%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
3 Includes 3%, 11%, 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

Short-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Short-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services.
Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value.
2. 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).
3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
34

 

Short-Term Investment-Grade Fund
5. Floating Rate Loan Interests: Floating rate loan interests represent interests in amounts owed by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the fund to supply additional cash to the borrower on demand. Floating rate loan interests may be made directly with a borrower or acquired through assignment or participation. The fund’s right to enforce a borrower’s compliance with the terms of the loan agreement, or benefit directly from the collateral supporting the loan, varies when the loan is a direct borrowing, an assignment, or a participation. Floating rate loan interests involve various risks including risk of loss in case of default, insolvency, or the bankruptcy of the borrower and are generally subject to restrictions on transfer with limited opportunities to sell them in secondary markets. The fund may also invest in loan commitments, which are contractual obligations for a future funding. The fund may earn a commitment fee on any unfunded portion of these commitments which is amortized to interest income over the commitment period. Both the funded portion of a floating rate loan interest as well as its unfunded commitment, if any, is reflected on the Schedule of Investments.
6. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption 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 swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded in the Statement of Assets and Liabilities as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded in the Statement of Assets and Liabilities as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of swaptions are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains(losses) are recognized.
During the six months ended July 31, 2023, the fund’s average value of investments in swaptions purchased and swaptions written represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.
7. 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
35

 

Short-Term Investment-Grade 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. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
8. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.
The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2023, the fund’s average investment in forward currency contracts represented 3% of net assets, based on the average of the notional amounts at each quarter-end during the period.
9. 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 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
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Short-Term Investment-Grade Fund
clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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.
During the six months ended July 31, 2023, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 3% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
10. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
11. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
12. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either
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Short-Term Investment-Grade Fund
facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
13. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,936,000, representing less than 0.01% of the fund’s net assets and 0.77% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $166,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
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Short-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 5,117,669 — 5,117,669
Asset-Backed/Commercial Mortgage-Backed Securities — 1,856,031 — 1,856,031
Corporate Bonds — 48,848,316 37 48,848,353
Floating Rate Loan Interests — 169,810 — 169,810
Sovereign Bonds — 798,451 — 798,451
Taxable Municipal Bonds — 37,741 — 37,741
Temporary Cash Investments 164,838 — — 164,838
Total 164,838 56,828,018 37 56,992,893
Derivative Financial Instruments         
Assets        
Futures Contracts1 12,687 — — 12,687
Forward Currency Contracts — 28,562 — 28,562
Swap Contracts 27,1951 1,212 — 28,407
Total 39,882 29,774 — 69,656
Liabilities        
Futures Contracts1 7,998 — — 7,998
Forward Currency Contracts — 171 — 171
Swap Contracts 2181 479 — 697
Total 8,216 650 — 8,866
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2023, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Swap Premiums Paid — — 1,723 1,723
Unrealized Appreciation—Futures Contracts1 12,687 — — 12,687
Unrealized Appreciation—Centrally Cleared Swap Contracts1 — — 27,195 27,195
Unrealized Appreciation—Forward Currency Contracts — 28,562 — 28,562
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 1,212 1,212
Total Assets 12,687 28,562 30,130 71,379
         
Swap Premiums Received — — 194 194
Unrealized Depreciation—Futures Contracts1 7,998 — — 7,998
Unrealized Depreciation—Centrally Cleared Swap Contracts1 — — 218 218
Unrealized Depreciation—Forward Currency Contracts — 171 — 171
Unrealized Depreciation—
Over-the-Counter Swap Contracts 		— — 479 479
Total Liabilities 7,998 171 891 9,060
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
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Short-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2023, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts (12,852) — — (12,852)
Options Purchased (5,669) — (568) (6,237)
Swap Contracts — — 12,701 12,701
Forward Currency Contracts — (15,701) — (15,701)
Realized Net Gain (Loss) on Derivatives (18,521) (15,701) 12,133 (22,089)
Change in Unrealized Appreciation (Depreciation)
on Derivatives 		       
Futures Contracts (1,797) — — (1,797)
Options Purchased 5,669 — 166 5,835
Swap Contracts — — 24,224 24,224
Forward Currency Contracts — 24,364 — 24,364
Change in Unrealized Appreciation (Depreciation) on Derivatives 3,872 24,364 24,390 52,626
F. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 59,722,896
Gross Unrealized Appreciation 227,416
Gross Unrealized Depreciation (2,895,100)
Net Unrealized Appreciation (Depreciation) (2,667,684)
G. During the six months ended July 31, 2023, the fund purchased $12,994,183,000 of investment securities and sold $12,671,261,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $12,012,425,000 and $15,348,067,000, respectively.
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 338,079 33,727   664,217 65,470
Issued in Lieu of Cash Distributions 87,904 8,767   129,822 12,868
Redeemed (542,395) (54,055)   (2,245,367) (221,029)
Net Increase (Decrease)—Investor Shares (116,412) (11,561)   (1,451,328) (142,691)
Admiral Shares          
Issued 3,461,381 345,265   10,354,155 1,021,772
Issued in Lieu of Cash Distributions 492,893 49,160   766,035 75,924
Redeemed (6,065,685) (604,966)   (20,691,028) (2,048,397)
Net Increase (Decrease)—Admiral Shares (2,111,411) (210,541)   (9,570,838) (950,701)
Institutional Shares          
Issued 1,454,526 145,002   2,932,351 288,413
Issued in Lieu of Cash Distributions 161,680 16,125   248,275 24,614
Redeemed (1,844,065) (184,096)   (5,005,004) (496,496)
Net Increase (Decrease)—Institutional Shares (227,859) (22,969)   (1,824,378) (183,469)
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Short-Term Investment-Grade Fund
I. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
J. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
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Intermediate-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2023
Asset-Backed/Commercial Mortgage-Backed Securities 0.7%
Corporate Bonds - Communications 7.5
Corporate Bonds - Consumer Discretionary 3.8
Corporate Bonds - Consumer Staples 6.5
Corporate Bonds - Energy 6.5
Corporate Bonds - Financials 29.6
Corporate Bonds - Health Care 9.6
Corporate Bonds - Industrials 5.2
Corporate Bonds - Materials 2.4
Corporate Bonds - Real Estate 4.9
Corporate Bonds - Technology 5.8
Corporate Bonds - Utilities 6.7
Floating Rate Loan Interests 0.1
Sovereign Bonds 2.0
Taxable Municipal Bonds 0.3
U.S. Government and Agency Obligations 8.4
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
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Intermediate-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (8.3%)
U.S. Government Securities (8.3%)
  United States Treasury Note/Bond  1.000%   7/31/28    90,000     77,161
  United States Treasury Note/Bond  2.750%   5/31/29    51,682     47,951
  United States Treasury Note/Bond  3.250%   6/30/29    20,000     19,059
  United States Treasury Note/Bond  2.625%   7/31/29    25,390     23,359
  United States Treasury Note/Bond  3.875%   9/30/29    29,000     28,579
  United States Treasury Note/Bond  4.000%  10/31/29    69,500     68,979
  United States Treasury Note/Bond  3.875%  11/30/29    71,227     70,225
  United States Treasury Note/Bond  3.875%  12/31/29    55,000     54,226
1 United States Treasury Note/Bond  3.500%   1/31/30   325,492    314,151
  United States Treasury Note/Bond  4.000%   2/28/30    60,000     59,625
  United States Treasury Note/Bond  3.625%   3/31/30    80,980     78,753
  United States Treasury Note/Bond  3.500%   4/30/30   315,635    304,686
  United States Treasury Note/Bond  3.750%   5/31/30   349,358    342,371
1 United States Treasury Note/Bond  3.750%   6/30/30   160,370    157,213
  United States Treasury Note/Bond  1.625%   5/15/31   165,124    139,375
2,3 United States Treasury Note/Bond  1.250%   8/15/31   350,000    285,086
  United States Treasury Note/Bond  1.375%  11/15/31   100,000     81,797
  United States Treasury Note/Bond  4.125%  11/15/32   150,000    151,711
  United States Treasury Note/Bond  3.500%   2/15/33   118,046    113,767
  United States Treasury Note/Bond  3.375%   5/15/33   159,882    152,487
Total U.S. Government and Agency Obligations (Cost $2,712,451) 2,570,561
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%)
4,5 American Homes 4 Rent Trust Class A Series 2014-SFR2  3.786%  10/17/36     3,542      3,444
4,5 American Homes 4 Rent Trust Class A Series 2015-SFR2  3.732%  10/17/52     1,323      1,265
4,5 American Homes 4 Rent Trust Class B Series 2014-SFR2  4.290%  10/17/36     1,060      1,032
4,5 American Homes 4 Rent Trust Class B Series 2015-SFR2  4.295%  10/17/52     1,070      1,026
5 Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3  3.574%   2/15/50     1,540      1,438
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5,6 Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7  4.338%   9/15/48       360        261
5 BANK Class A4 Series 2017-BNK4  3.625%   5/15/50     1,661      1,528
5,6 BANK Class A4 Series 2018-BNK12  4.255%   5/15/61     3,960      3,750
5,6 BANK Class A4 Series 2018-BNK14  4.231%   9/15/60     4,985      4,709
5 BANK Class A4 Series 2019-BNK17  3.714%   4/15/52     4,000      3,660
5 BANK Class A4 Series 2019-BNK18  3.584%   5/15/62     4,000      3,440
5 BANK Class A5 Series 2022-BNK43  4.399%   8/15/55     7,200      6,756
5,6 Barclays Commercial Mortgage Trust Class A5 Series 2022-C16  4.600%   6/15/55     3,830      3,650
5 BBCMS Mortgage Trust Class A4 Series 2020-C6  2.639%   2/15/53     2,285      1,945
5 BBCMS Mortgage Trust Class A5 Series 2022-C17  4.441%   9/15/55     4,250      4,001
5 BBCMS Trust Class A5 Series 2021-C10  2.492%   7/15/54     4,250      3,506
5 Benchmark Mortgage Trust Class A4 Series 2018-B6  4.261%  10/10/51     6,770      6,287
5 Benchmark Mortgage Trust Class A4 Series 2018-B8  3.963%   1/15/52     1,200      1,112
5,6 Benchmark Mortgage Trust Class A5 Series 2018-B1  3.666%   1/15/51     4,630      4,248
5 Benchmark Mortgage Trust Class A5 Series 2019-B15  2.928%  12/15/72     4,000      3,349
5 Benchmark Mortgage Trust Class A5 Series 2020-B16  2.732%   2/15/53     3,660      3,131
5,6 Benchmark Mortgage Trust Class A5 Series 2022-B36  4.470%   7/15/55     8,500      7,967
5 Cantor Commercial Real Estate Lending Class A4 Series 2019-CF3  3.006%   1/15/53     4,000      3,413
5 CD Mortgage Trust Class A3 Series 2018-CD7  4.013%   8/15/51     2,885      2,702
5,6 CD Mortgage Trust Class A4 Series 2017-CD4  3.514%   5/10/50     2,470      2,252
5 CD Mortgage Trust Class AM Series 2016-CD1  2.926%   8/10/49     1,180        996
5,6 CD Mortgage Trust Class AM Series 2017-CD6  3.709%  11/13/50     1,340      1,169
5,6 CD Mortgage Trust Class AS Series 2016-CD1  3.684%   8/15/50       820        735
5,6 CD Mortgage Trust Class C Series 2016-CD1  3.631%   8/10/49     1,000        799
43

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5,6 CD Mortgage Trust Class C Series 2018-CD7  4.843%   8/15/51     1,350      1,008
5 CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4  3.283%   5/10/58       925        860
5 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC19  3.753%   3/11/47       416        414
5 Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8  3.203%   9/15/50     1,530      1,386
5 Citigroup Commercial Mortgage Trust Class A3 Series 2019-C7  2.860%  12/15/72     4,000      3,412
5,6 Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5  4.228%   6/10/51       400        375
5 Citigroup Commercial Mortgage Trust Class B Series 2017-P8  4.192%   9/15/50     1,000        834
5,6 Citigroup Commercial Mortgage Trust Class C Series 2015-GC33  4.573%   9/10/58       900        742
5,6 Citigroup Commercial Mortgage Trust Class C Series 2017-P8  4.259%   9/15/50     1,000        722
5 COMM Mortgage Trust Class A3 Series 2014-CR14  3.955%   2/10/47       500        498
5 COMM Mortgage Trust Class ASB Series 2019-GC44  2.873%   8/15/57       180        165
4,5 COMM Mortgage Trust Class B Series 2013-CR6  3.397%   3/10/46       656        552
5 CSAIL Commercial Mortgage Trust Class A3 Series 2020-C19  2.561%   3/15/53     5,250      4,333
5 CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7  3.502%  11/15/49     1,558      1,443
5,6 CSAIL Commercial Mortgage Trust Class C Series 2015-C3  4.353%   8/15/48       960        672
4,5,6 Edsouth Indenture No. 9 LLC Class A Series 2015-1, SOFR30A + 0.914%  5.983%  10/25/56     2,323      2,273
4,5 EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A  3.580%  11/25/38     1,301      1,234
4,5 Ford Credit Auto Owner Trust Class B Series 2020-2  1.490%   4/15/33     2,690      2,350
4,5 Ford Credit Auto Owner Trust Class C Series 2020-1  2.540%   8/15/31     3,000      2,824
5 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4  1.050%   5/18/26     1,200      1,133
4,5 GM Financial Revolving Receivables Trust Class B Series 2021-1  1.490%   6/12/34       500        437
4,5 GM Financial Revolving Receivables Trust Class C Series 2021-1  1.670%   6/12/34       900        785
5 GS Mortgage Securities Trust Class A4 Series 2019-GC38  3.968%   2/10/52     3,080      2,837
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 GS Mortgage Securities Trust Class A4 Series 2019-GC40  3.160%   7/10/52     4,000      3,482
5,6 GS Mortgage Securities Trust Class A5 Series 2018-GS10  4.155%   7/10/51     1,065        990
5 GS Mortgage Securities Trust Class A5 Series 2020-GC45  2.911%   2/13/53     3,170      2,732
5 GS Mortgage Securities Trust Class AS Series 2014-GC20  4.258%   4/10/47       570        555
5,6 GS Mortgage Securities Trust Class C Series 2014-GC24  4.525%   9/10/47     4,615      3,386
5,6 GS Mortgage Securities Trust Class C Series 2015-GC34  4.639%  10/10/48       910        762
4,5 Hertz Vehicle Financing III LLC Class A Series 2022-1A  1.990%   6/25/26     1,120      1,044
4,5 Hertz Vehicle Financing III LLC Class A Series 2022-1A  2.630%   6/25/26     1,120      1,037
4,5 Hertz Vehicle Financing III LLC Class C Series 2022-3A  4.350%   3/25/25       270        266
4,5,6 JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2  5.688%  11/15/43       910        870
5 JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8  4.211%   6/15/51       150        141
5 JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7  3.409%  10/15/50     1,860      1,700
4,5 Laurel Road Prime Student Loan Trust Class A2B Series 2017-C  2.810%  11/25/42       359        353
4,5 Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B  3.540%   5/26/43       550        543
4,5 Laurel Road Prime Student Loan Trust Class A2FX Series 2019-A  2.730%  10/25/48     1,531      1,475
4,5 MMAF Equipment Finance LLC Class A5 Series 2018-A  3.610%   3/10/42       139        138
5,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10  3.989%   7/15/46     1,830      1,380
5,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15  4.858%   4/15/47     1,140      1,107
4,5 Morgan Stanley Capital I Trust Class A Series 2014-150E  3.912%    9/9/32     1,870      1,454
5,6 Morgan Stanley Capital I Trust Class A4 Series 2021-L6  2.444%   6/15/54     1,900      1,530
4,5 MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV  3.277%  10/15/30     3,541      2,746
4,5 Navient Private Education Loan Trust Class A2A Series 2017-A  2.880%  12/16/58       610        603
 
44

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4,5 Navient Private Education Loan Trust Class A2A Series 2018-BA  3.610%  12/15/59     1,895      1,827
5 NXP BV / NXP Funding LLC / NXP USA Inc.  5.000%   1/15/33    25,000     24,024
4,5 Palisades Center Trust Class A Series 2016-PLSD  2.713%   4/13/33     5,780      3,366
4,5,6 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, SOFR + 1.114%  6.319%   6/20/60       172        172
4,5,6 Pepper Residential Securities Trust No. 24 Class A1U Series 24A, SOFR + 1.064%  6.249%   8/18/60       135        135
4,5,6 PHEAA Student Loan Trust Class A Series 2016-2A, SOFR30A + 1.064%  6.133%  11/25/65     3,524      3,477
4,5 Progress Residential Trust Class A Series 2022-SFR3  3.200%   4/17/39       477        435
4,5 Progress Residential Trust Class A Series 2022-SFR5  4.451%   6/17/39       356        339
4,5 Progress Residential Trust Class B Series 2022-SFR3  3.600%   4/17/39       210        191
4,5 Progress Residential Trust Class B Series 2022-SFR5  4.896%   6/17/39       250        238
4,5 Santander Retail Auto Lease Trust Class D Series 2020-B  1.980%  10/20/25     7,460      7,256
4,5 SMB Private Education Loan Trust Class A2A Series 2016-A  2.700%   5/15/31       742        717
4,5 SMB Private Education Loan Trust Class A2A Series 2017-B  2.820%  10/15/35     2,844      2,699
4,5 SMB Private Education Loan Trust Class A2A Series 2018-B  3.600%   1/15/37     4,055      3,875
4,5 SMB Private Education Loan Trust Class A2A Series 2018-C  3.630%  11/15/35     5,991      5,744
4,5 SoFi Professional Loan Program LLC Class A2FX Series 2017-B  2.740%   5/25/40       131        130
4,5 SoFi Professional Loan Program LLC Class A2FX Series 2017-F  2.840%   1/25/41       989        951
4,5 TMSQ Mortgage Trust Class A Series 2014-1500  3.680%  10/10/36     2,500      2,072
4,5 Trinity Rail Leasing LLC Class A2 Series 2018-1A  4.620%   6/17/48     2,760      2,581
4,5 UBS-BAMLL Trust Class A Series 2012-WRM  3.663%   6/10/30       211        187
5 Wells Fargo Commercial Mortgage Trust Class A3 Series 2017-C40  3.317%  10/15/50     2,600      2,385
5 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40  3.581%  10/15/50     2,880      2,657
5 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1  3.631%   1/15/60     2,712      2,531
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46  4.152%   8/15/51     1,115      1,045
5 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47  4.442%   9/15/61     1,090      1,036
5 Wells Fargo Commercial Mortgage Trust Class A4 Series 2019-C54  3.146%  12/15/52     2,390      2,086
5 Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16  4.020%   8/15/50       700        671
5 Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16  4.322%   8/15/50     1,300        961
5 Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16  4.458%   8/15/50     1,450        606
5,6 Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43  4.514%   3/15/51     1,380      1,065
4,5,6 WFLD Mortgage Trust Class A Series 2014-MONT  3.755%   8/10/31     4,640      3,902
5 WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14  3.766%   3/15/47       594        589
5 WFRBS Commercial Mortgage Trust Class AS Series 2014-C21  3.891%   8/15/47       700        665
5,6 WFRBS Commercial Mortgage Trust Class B Series 2013-C18  4.834%  12/15/46     1,085      1,008
5 WFRBS Commercial Mortgage Trust Class B Series 2014-C20  4.378%   5/15/47     2,410      1,791
5,6 WFRBS Commercial Mortgage Trust Class C Series 2014-C20  4.513%   5/15/47     1,410        711
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $257,414) 227,279
Corporate Bonds (87.4%)
Communications (7.4%)
  Activision Blizzard Inc.  1.350%   9/15/30     5,703      4,583
  AT&T Inc.  4.350%    3/1/29    32,776     31,206
  AT&T Inc.  4.300%   2/15/30    58,644     54,911
  AT&T Inc.  2.750%    6/1/31    62,000     51,471
  AT&T Inc.  2.250%    2/1/32    42,117     33,028
  AT&T Inc.  2.550%   12/1/33     9,970      7,688
  AT&T Inc.  5.400%   2/15/34    13,344     13,128
7 AT&T Inc.  3.150%    9/4/36     4,700      4,500
8 AT&T Inc.  7.000%   4/30/40     2,200      2,996
8 AT&T Inc.  4.250%    6/1/43       400        394
  Booking Holdings Inc.  4.625%   4/13/30    35,630     34,925
  British Telecommunications plc  5.125%   12/4/28    23,102     22,744
4 British Telecommunications plc  3.250%   11/8/29    30,000     26,314
  British Telecommunications plc  9.625%  12/15/30     5,000      6,144
4 Cable One Inc.  4.000%  11/15/30       503        397
  CBS Corp.  4.200%    6/1/29     2,000      1,787
  CBS Corp.  7.875%   7/30/30       304        320
4 CCO Holdings LLC / CCO Holdings Capital Corp.  6.375%    9/1/29     2,270      2,170
4 CCO Holdings LLC / CCO Holdings Capital Corp.  4.750%    3/1/30     5,885      5,093
 
45

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Charter Communications Operating LLC / Charter Communications Operating Capital  4.200%   3/15/28    36,533     34,199
  Charter Communications Operating LLC / Charter Communications Operating Capital  2.250%   1/15/29    38,980     32,285
  Charter Communications Operating LLC / Charter Communications Operating Capital  5.050%   3/30/29    34,184     32,706
  Charter Communications Operating LLC / Charter Communications Operating Capital  2.800%    4/1/31    14,025     11,363
  Charter Communications Operating LLC / Charter Communications Operating Capital  2.300%    2/1/32    12,000      9,076
8 CK Hutchison Group Telecom Finance SA  2.625%  10/17/34     3,495      3,031
7 Comcast Corp.  0.000%   9/14/26     9,200      9,021
  Comcast Corp.  4.150%  10/15/28    51,690     50,005
  Comcast Corp.  4.550%   1/15/29    23,330     22,975
  Comcast Corp.  2.650%    2/1/30    15,290     13,379
  Comcast Corp.  3.400%    4/1/30    65,765     60,317
  Comcast Corp.  4.250%  10/15/30     6,753      6,483
  Comcast Corp.  1.950%   1/15/31    32,500     26,504
  Comcast Corp.  1.500%   2/15/31    12,000      9,498
  Comcast Corp.  5.500%  11/15/32    39,310     40,646
  Comcast Corp.  2.800%   1/15/51     5,000      3,270
  Comcast Corp.  2.937%   11/1/56     5,000      3,209
4 Cox Communications Inc.  2.600%   6/15/31    20,000     16,308
4 CSC Holdings LLC  6.500%    2/1/29     2,680      2,277
4 CSC Holdings LLC  5.750%   1/15/30       980        508
4 CSC Holdings LLC  4.625%   12/1/30     1,547        780
4 CSC Holdings LLC  3.375%   2/15/31     1,465      1,012
8 Deutsche Telekom International Finance BV  7.625%   6/15/30       400        578
  Deutsche Telekom International Finance BV  8.750%   6/15/30    59,722     70,770
4 Directv Financing LLC / Directv Financing Co-Obligor Inc.  5.875%   8/15/27     3,259      2,942
  Discovery Communications LLC  3.950%   3/20/28    19,696     18,383
  Discovery Communications LLC  4.125%   5/15/29    35,025     32,184
  Discovery Communications LLC  3.625%   5/15/30    25,186     22,186
4 DISH DBS Corp.  5.250%   12/1/26     1,835      1,504
4 DISH DBS Corp.  5.750%   12/1/28     1,119        863
  DISH DBS Corp.  5.125%    6/1/29     2,245      1,132
4 DISH Network Corp. 11.750%  11/15/27     2,690      2,708
  Electronic Arts Inc.  1.850%   2/15/31    34,437     27,800
  Expedia Group Inc.  3.250%   2/15/30     5,020      4,416
  Expedia Group Inc.  2.950%   3/15/31     7,278      6,135
  Fox Corp.  4.709%   1/25/29    45,031     43,715
  Fox Corp.  3.500%    4/8/30    14,000     12,570
4 Frontier Communications Holdings LLC  5.000%    5/1/28     2,180      1,848
4 Frontier Communications Holdings LLC  6.000%   1/15/30       958        696
  Interpublic Group of Cos. Inc.  4.750%   3/30/30       364        350
  Interpublic Group of Cos. Inc.  2.400%    3/1/31    16,016     13,013
4 Level 3 Financing Inc.  3.400%    3/1/27       150        132
4 Level 3 Financing Inc.  4.625%   9/15/27     2,028      1,541
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Level 3 Financing Inc.  4.250%    7/1/28       545        386
4 Level 3 Financing Inc.  3.625%   1/15/29     1,155        763
4 Level 3 Financing Inc.  3.875%  11/15/29       540        460
4 Level 3 Financing Inc. 10.500%   5/15/30       350        363
4 Lumen Technologies Inc.  4.000%   2/15/27       460        302
  Meta Platforms Inc.  4.800%   5/15/30    39,640     39,758
  Meta Platforms Inc.  3.850%   8/15/32    50,635     47,049
  Meta Platforms Inc.  4.950%   5/15/33    12,500     12,582
  Netflix Inc.  5.875%  11/15/28    25,705     26,499
7 Netflix Inc.  4.625%   5/15/29    10,500     11,772
  Netflix Inc.  6.375%   5/15/29    25,225     26,702
4 Netflix Inc.  4.875%   6/15/30    12,500     12,224
4 News Corp.  3.875%   5/15/29     4,843      4,273
4 Nexstar Media Inc.  5.625%   7/15/27     1,510      1,422
4 Nexstar Media Inc.  4.750%   11/1/28     3,455      3,047
4 NTT Finance Corp.  2.065%    4/3/31     4,955      4,057
  Omnicom Group Inc.  4.200%    6/1/30     2,000      1,864
  Omnicom Group Inc.  2.600%    8/1/31    29,000     23,832
  Orange SA  9.000%    3/1/31    11,803     14,405
  Orange SA  5.375%   1/13/42     2,500      2,465
  Paramount Global Inc.  3.700%    6/1/28    20,773     18,606
  Paramount Global Inc.  4.950%   1/15/31    55,988     50,138
  Paramount Global Inc.  4.200%   5/19/32     8,000      6,652
  Rogers Communications Inc.  3.800%   3/15/32    28,616     24,840
4 Scripps Escrow II Inc.  5.375%   1/15/31       768        585
4 Scripps Escrow Inc.  5.875%   7/15/27     1,843      1,540
4 Sirius XM Radio Inc.  5.000%    8/1/27     1,810      1,682
  Sprint Capital Corp.  6.875%  11/15/28    31,281     33,183
  Sprint Capital Corp.  8.750%   3/15/32    69,820     84,155
  T-Mobile USA Inc.  2.625%   2/15/29    42,545     37,084
  T-Mobile USA Inc.  3.375%   4/15/29    31,773     28,622
  T-Mobile USA Inc.  3.875%   4/15/30   124,735    114,634
  T-Mobile USA Inc.  2.550%   2/15/31    17,145     14,248
  T-Mobile USA Inc.  2.875%   2/15/31    41,920     35,586
  T-Mobile USA Inc.  3.500%   4/15/31    55,000     48,416
  T-Mobile USA Inc.  2.250%  11/15/31    26,520     21,216
  T-Mobile USA Inc.  5.200%   1/15/33    15,000     14,875
  T-Mobile USA Inc.  5.050%   7/15/33    27,160     26,563
4 Univision Communications Inc.  7.375%   6/30/30     1,841      1,793
4 UPC Broadband Finco BV  4.875%   7/15/31     1,620      1,364
  Verizon Communications Inc.  4.329%   9/21/28    39,128     37,574
  Verizon Communications Inc.  3.875%    2/8/29     1,000        941
7 Verizon Communications Inc.  0.375%   3/22/29     3,800      3,441
  Verizon Communications Inc.  4.016%   12/3/29    52,000     48,489
  Verizon Communications Inc.  3.150%   3/22/30    30,626     27,017
  Verizon Communications Inc.  1.500%   9/18/30    10,107      7,961
  Verizon Communications Inc.  1.680%  10/30/30    19,550     15,363
7 Verizon Communications Inc.  4.250%  10/31/30     6,210      6,933
  Verizon Communications Inc.  1.750%   1/20/31    44,634     34,986
  Verizon Communications Inc.  2.550%   3/21/31    80,107     66,425
  Verizon Communications Inc.  2.355%   3/15/32    86,142     68,748
8 Verizon Communications Inc.  3.375%  10/27/36       400        396
7 Verizon Communications Inc.  2.875%   1/15/38     1,800      1,675
4 Videotron Ltd.  3.625%   6/15/29     2,618      2,278
 
46

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Vodafone Group plc  7.875%   2/15/30     5,200      5,918
7 Vodafone Group plc  2.500%   5/24/39     3,660      3,191
8 Vodafone Group plc  5.125%   12/2/52       200        223
4 VZ Secured Financing BV  5.000%   1/15/32     2,228      1,811
  Walt Disney Co.  2.000%    9/1/29    44,664     38,050
  Walt Disney Co.  2.650%   1/13/31    20,000     17,198
  Warnermedia Holdings Inc.  4.054%   3/15/29    38,114     34,931
  Warnermedia Holdings Inc.  4.279%   3/15/32   131,137    116,199
4 WMG Acquisition Corp.  3.750%   12/1/29     7,825      6,859
4 Zayo Group Holdings Inc.  4.000%    3/1/27     1,625      1,162
                                               2,305,893
Consumer Discretionary (3.8%)
4 1011778 BC ULC / New Red Finance Inc.  4.375%   1/15/28     3,469      3,203
  Advance Auto Parts Inc.  5.950%    3/9/28     3,730      3,717
  Amazon.com Inc.  4.650%   12/1/29    20,000     20,024
  Amazon.com Inc.  1.500%    6/3/30    23,461     19,223
  Amazon.com Inc.  2.100%   5/12/31    38,500     32,197
  Amazon.com Inc.  4.700%   12/1/32    48,580     48,740
4 American Builders & Contractors Supply Co. Inc.  3.875%  11/15/29     1,670      1,450
  American Honda Finance Corp.  4.600%   4/17/30    49,420     48,449
  American Honda Finance Corp.  1.800%   1/13/31    19,825     16,087
  Asbury Automotive Group Inc.  4.500%    3/1/28     4,277      3,919
  AutoZone Inc.  4.000%   4/15/30    14,868     13,802
  AutoZone Inc.  1.650%   1/15/31    31,857     24,866
  AutoZone Inc.  4.750%    8/1/32    15,000     14,479
4 BMW US Capital LLC  2.550%    4/1/31    20,000     16,979
4 Boyne USA Inc.  4.750%   5/15/29       250        228
4 Caesars Resort Collection LLC / CRC Finco Inc.  5.750%    7/1/25     2,144      2,164
4 Camelot Return Merger Sub Inc.  8.750%    8/1/28     3,702      3,621
4 Carnival Corp.  5.750%    3/1/27     3,279      3,032
4 Carnival Corp.  9.875%    8/1/27       460        480
4 Carnival Corp.  4.000%    8/1/28     3,216      2,857
4 Carnival Corp. 10.500%    6/1/30       120        127
4 Carnival Holdings Bermuda Ltd. 10.375%    5/1/28       820        894
4 CDI Escrow Issuer Inc.  5.750%    4/1/30       640        594
4 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op  5.500%    5/1/25     1,483      1,467
4 Churchill Downs Inc.  5.500%    4/1/27     1,467      1,418
4 Churchill Downs Inc.  4.750%   1/15/28     6,159      5,691
4 Clarios Global LP  6.750%   5/15/25       585        586
4 Clarios Global LP / Clarios US Finance Co.  8.500%   5/15/27     2,328      2,357
4 Clarios Global LP / Clarios US Finance Co.  6.750%   5/15/28       108        109
  Dana Inc.  4.500%   2/15/32     1,993      1,668
  eBay Inc.  2.700%   3/11/30    11,017      9,504
  eBay Inc.  2.600%   5/10/31    15,000     12,518
  eBay Inc.  6.300%  11/22/32     5,790      6,207
4 ERAC USA Finance LLC  4.900%    5/1/33    20,000     19,687
  Ford Motor Co.  9.625%   4/22/30       140        164
  Ford Motor Credit Co. LLC  2.700%   8/10/26       710        636
  Ford Motor Credit Co. LLC  4.950%   5/28/27     6,205      5,891
  Ford Motor Credit Co. LLC  4.125%   8/17/27       580        531
  Ford Motor Credit Co. LLC  3.815%   11/2/27     2,780      2,496
  Ford Motor Credit Co. LLC  6.800%   5/12/28     2,836      2,862
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ford Motor Credit Co. LLC  2.900%   2/10/29     6,379      5,329
  Ford Motor Credit Co. LLC  7.200%   6/10/30     1,000      1,027
  General Motors Co.  5.000%   10/1/28    17,675     17,318
  General Motors Co.  5.400%  10/15/29    25,000     24,630
  General Motors Co.  5.600%  10/15/32    30,000     29,375
  General Motors Financial Co. Inc.  2.400%   4/10/28    30,168     26,254
  General Motors Financial Co. Inc.  2.400%  10/15/28     6,000      5,141
  General Motors Financial Co. Inc.  5.850%    4/6/30    15,310     15,294
  General Motors Financial Co. Inc.  3.600%   6/21/30    15,000     13,112
  General Motors Financial Co. Inc.  2.350%    1/8/31    31,000     24,507
  General Motors Financial Co. Inc.  3.100%   1/12/32    25,500     20,826
  Goodyear Tire & Rubber Co.  5.000%   7/15/29     1,443      1,330
4 Hanesbrands Inc.  9.000%   2/15/31       393        402
  Home Depot Inc.  2.950%   6/15/29    54,220     49,579
  Home Depot Inc.  2.700%   4/15/30    21,645     19,135
  Home Depot Inc.  1.375%   3/15/31    10,000      7,876
  Home Depot Inc.  1.875%   9/15/31    32,630     26,426
  Home Depot Inc.  3.250%   4/15/32    26,820     24,023
  Hyatt Hotels Corp.  5.750%   4/23/30       553        559
4 Lithia Motors Inc.  4.625%  12/15/27     1,632      1,519
4 Lithia Motors Inc.  3.875%    6/1/29     7,084      6,101
4 Lithia Motors Inc.  4.375%   1/15/31       100         86
4 Live Nation Entertainment Inc.  5.625%   3/15/26       545        532
4 Live Nation Entertainment Inc.  6.500%   5/15/27     3,302      3,320
4 Live Nation Entertainment Inc.  3.750%   1/15/28       473        426
  Lowe's Cos. Inc.  1.700%   9/15/28    12,610     10,786
  Lowe's Cos. Inc.  3.650%    4/5/29    25,404     23,679
  Lowe's Cos. Inc.  1.700%  10/15/30    30,190     24,180
  Lowe's Cos. Inc.  2.625%    4/1/31    32,000     27,020
  Lowe's Cos. Inc.  3.750%    4/1/32    21,090     19,112
  Marriott International Inc.  4.900%   4/15/29     5,000      4,902
  Marriott International Inc.  4.625%   6/15/30    39,345     37,613
  Marriott International Inc.  2.850%   4/15/31    35,554     30,092
4 Mattel Inc.  3.375%    4/1/26     1,488      1,384
4 Mattel Inc.  5.875%  12/15/27     1,019      1,000
  McDonald's Corp.  2.625%    9/1/29    35,736     31,774
  McDonald's Corp.  2.125%    3/1/30    15,311     12,988
  McDonald's Corp.  3.600%    7/1/30     8,000      7,419
8 McDonald's Corp.  2.950%   3/15/34       500        515
4 Mercedes-Benz Finance North America LLC  5.050%    8/3/33    25,000     24,950
4 Meritage Homes Corp.  3.875%   4/15/29     3,640      3,257
4 NCL Corp. Ltd.  5.875%   2/15/27     1,840      1,791
4 NCL Corp. Ltd.  7.750%   2/15/29     1,040        996
  Newell Brands Inc.  6.375%   9/15/27       700        688
  Newell Brands Inc.  6.625%   9/15/29     2,090      2,093
4 Nissan Motor Co. Ltd.  4.810%   9/17/30       410        369
4 Ontario Gaming GTA LP  8.000%    8/1/30       495        500
  O'Reilly Automotive Inc.  3.900%    6/1/29    18,000     16,980
  O'Reilly Automotive Inc.  1.750%   3/15/31     7,250      5,731
  O'Reilly Automotive Inc.  4.700%   6/15/32     8,000      7,703
4 Penn National Gaming Inc.  5.625%   1/15/27       580        547
4 Royal Caribbean Cruises Ltd. 11.500%    6/1/25       195        207
4 Royal Caribbean Cruises Ltd.  8.250%   1/15/29       663        692
4 Royal Caribbean Cruises Ltd.  9.250%   1/15/29       275        293
 
47

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Royal Caribbean Cruises Ltd.  7.250%   1/15/30       312        316
  Starbucks Corp.  4.000%  11/15/28       359        346
  Starbucks Corp.  2.250%   3/12/30    13,250     11,213
  Starbucks Corp.  2.550%  11/15/30    34,866     29,772
  Starbucks Corp.  4.800%   2/15/33    25,000     24,673
4 Studio City Co. Ltd.  7.000%   2/15/27     1,403      1,337
  TJX Cos. Inc.  3.875%   4/15/30     4,686      4,458
  Toll Brothers Finance Corp.  3.800%   11/1/29     6,411      5,755
  Toyota Motor Credit Corp.  3.650%    1/8/29    33,466     31,701
  Toyota Motor Credit Corp.  3.375%    4/1/30    25,000     22,951
  Toyota Motor Credit Corp.  4.550%   5/17/30    12,295     12,026
  Toyota Motor Credit Corp.  1.650%   1/10/31     5,000      4,005
  Toyota Motor Credit Corp.  1.900%   9/12/31     7,000      5,626
  Toyota Motor Credit Corp.  2.400%   1/13/32    15,000     12,528
  Toyota Motor Credit Corp.  4.700%   1/12/33    10,715     10,587
4 Vail Resorts Inc.  6.250%   5/15/25     7,771      7,789
7 Volkswagen International Finance NV  1.500%   1/21/41     3,500      2,432
4 Wyndham Hotels & Resorts Inc.  4.375%   8/15/28     2,185      2,014
                                               1,167,841
Consumer Staples (6.4%)
  Altria Group Inc.  3.400%    5/6/30    62,525     55,267
  Altria Group Inc.  2.450%    2/4/32    67,090     52,731
7 Anheuser-Busch InBev SA NV  2.750%   3/17/36     4,400      4,345
7 Anheuser-Busch InBev SA NV  3.700%    4/2/40     6,300      6,576
  Anheuser-Busch InBev Worldwide Inc.  4.750%   1/23/29   115,819    115,324
  Anheuser-Busch InBev Worldwide Inc.  3.500%    6/1/30    49,890     46,091
  Anheuser-Busch InBev Worldwide Inc.  4.900%   1/23/31    35,000     35,336
  Anheuser-Busch InBev Worldwide Inc.  4.500%    6/1/50     2,000      1,820
  Archer-Daniels-Midland Co.  2.900%    3/1/32    20,000     17,377
  Archer-Daniels-Midland Co.  4.500%   8/15/33     6,430      6,301
  Bat Capital Corp.  6.343%    8/2/30    30,000     29,940
  Bat Capital Corp.  6.421%    8/2/33    34,915     34,845
  BAT Capital Corp.  2.259%   3/25/28    28,184     24,366
  BAT Capital Corp.  3.462%    9/6/29    40,690     35,654
  BAT Capital Corp.  4.906%    4/2/30    16,723     15,798
  BAT Capital Corp.  2.726%   3/25/31    43,478     34,664
  BAT Capital Corp.  4.742%   3/16/32    11,000      9,983
  BAT Capital Corp.  4.758%    9/6/49     5,000      3,793
  BAT International Finance plc  4.448%   3/16/28    50,000     47,776
7 BAT International Finance plc  2.250%   1/16/30     3,700      3,407
7 BAT Netherlands Finance BV  5.375%   2/16/31     2,900      3,158
  Brown-Forman Corp.  4.750%   4/15/33     8,620      8,634
  Campbell Soup Co.  2.375%   4/24/30    19,700     16,518
4 Cargill Inc.  4.750%   4/24/33     7,145      7,021
  Coca-Cola Co.  3.450%   3/25/30    48,468     45,387
  Coca-Cola Co.  1.650%    6/1/30    25,000     20,761
  Coca-Cola Co.  2.000%    3/5/31    19,575     16,411
  Coca-Cola Co.  1.375%   3/15/31    10,000      7,945
  Constellation Brands Inc.  4.650%  11/15/28    37,806     37,141
  Constellation Brands Inc.  3.150%    8/1/29    30,705     27,696
  Constellation Brands Inc.  2.875%    5/1/30    14,970     12,978
  Constellation Brands Inc.  2.250%    8/1/31    14,709     11,895
  Constellation Brands Inc.  4.900%    5/1/33     7,115      6,942
  Costco Wholesale Corp.  1.600%   4/20/30    63,935     53,040
  Costco Wholesale Corp.  1.750%   4/20/32     8,789      7,048
4 Coty Inc.  5.000%   4/15/26       165        159
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Coty Inc./HFC Prestige Products Inc./HFC Prestige International US LLC  6.625%   7/15/30       345        348
  Diageo Capital plc  2.375%  10/24/29    19,465     16,961
  Diageo Capital plc  2.000%   4/29/30    11,765      9,866
  Diageo Capital plc  5.500%   1/24/33    11,755     12,380
  Dollar General Corp.  3.500%    4/3/30    29,752     26,805
  Dollar General Corp.  5.000%   11/1/32    10,000      9,701
4 Energizer Holdings Inc.  4.750%   6/15/28     3,802      3,412
  Estee Lauder Cos. Inc.  2.375%   12/1/29    15,250     13,204
  Estee Lauder Cos. Inc.  4.650%   5/15/33    10,625     10,452
7 General Mills Inc.  3.907%   4/13/29     5,397      5,951
  General Mills Inc.  2.875%   4/15/30    22,125     19,496
  General Mills Inc.  2.250%  10/14/31     4,960      4,045
  General Mills Inc.  4.950%   3/29/33    15,000     14,845
  Haleon US Capital LLC  3.375%   3/24/29    45,000     41,221
  Haleon US Capital LLC  3.625%   3/24/32    20,320     18,185
  Hershey Co.  1.700%    6/1/30     5,000      4,120
  Hershey Co.  4.500%    5/4/33     8,555      8,456
  Hormel Foods Corp.  1.800%   6/11/30    16,695     13,911
  J M Smucker Co.  2.125%   3/15/32     9,915      7,942
4 JBS USA LUX SA / JBS USA Food Co./ JBS USA Finance Inc.  5.125%    2/1/28    15,000     14,557
4 JBS USA LUX SA / JBS USA Food Co./ JBS USA Finance Inc.  5.500%   1/15/30    32,000     30,950
4 JBS USA LUX SA / JBS USA Food Co./ JBS USA Finance Inc.  3.000%   5/15/32     8,275      6,482
4 JBS USA LUX SA / JBS USA Food Co./ JBS USA Finance Inc.  5.750%    4/1/33    35,078     33,653
  Kellogg Co.  2.100%    6/1/30    44,264     36,687
  Kellogg Co.  7.450%    4/1/31       568        646
4 Kenvue Inc.  5.000%   3/22/30    34,940     35,200
4 Kenvue Inc.  4.900%   3/22/33    40,000     40,211
  Keurig Dr Pepper Inc.  3.200%    5/1/30    20,000     17,835
  Keurig Dr Pepper Inc.  2.250%   3/15/31     3,000      2,466
  Keurig Dr Pepper Inc.  4.050%   4/15/32    37,860     35,142
  Keurig Dr Pepper Inc.  4.500%   4/15/52     5,000      4,378
  Kraft Heinz Foods Co.  3.750%    4/1/30    10,379      9,612
  Kroger Co.  2.200%    5/1/30    30,618     25,346
  Kroger Co.  1.700%   1/15/31     3,875      3,036
4 Lamb Weston Holdings Inc.  4.875%   5/15/28     1,464      1,389
4 Mars Inc.  4.650%   4/20/31    14,265     14,072
4 Mars Inc.  4.750%   4/20/33    28,310     27,925
  McCormick & Co. Inc.  2.500%   4/15/30     1,200      1,014
  McCormick & Co. Inc.  4.950%   4/15/33    15,000     14,738
  Mondelez International Inc.  2.750%   4/13/30    29,469     25,716
  Mondelez International Inc.  1.500%    2/4/31    26,471     20,738
  PepsiCo Inc.  2.750%   3/19/30    40,112     35,958
  PepsiCo Inc.  1.625%    5/1/30    18,355     15,213
  PepsiCo Inc.  1.950%  10/21/31    30,425     25,036
  PepsiCo Inc.  3.900%   7/18/32     5,945      5,711
4 Performance Food Group Inc.  6.875%    5/1/25       765        766
4 Performance Food Group Inc.  4.250%    8/1/29       525        466
  Philip Morris International Inc.  3.375%   8/15/29    11,460     10,398
  Philip Morris International Inc.  5.625%  11/17/29    30,015     30,671
  Philip Morris International Inc.  5.125%   2/15/30    77,030     76,528
 
48

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Philip Morris International Inc.  2.100%    5/1/30    19,800     16,360
  Philip Morris International Inc.  5.750%  11/17/32    35,355     36,139
  Philip Morris International Inc.  5.375%   2/15/33    57,325     57,147
7 Philip Morris International Inc.  1.450%    8/1/39     4,800      3,193
7 Procter & Gamble Co.  1.200%  10/30/28       500        496
7 Procter & Gamble Co.  3.250%    8/2/31    15,910     17,352
  Sysco Corp.  2.400%   2/15/30    13,391     11,431
  Target Corp.  2.350%   2/15/30    18,090     15,678
  Target Corp.  2.650%   9/15/30     6,067      5,297
  Target Corp.  4.400%   1/15/33    10,680     10,317
  Tyson Foods Inc.  4.350%    3/1/29    11,113     10,632
  Unilever Capital Corp.  2.125%    9/6/29    43,483     37,891
4 United Natural Foods Inc.  6.750%  10/15/28       967        806
  Walmart Inc.  2.375%   9/24/29     5,500      4,896
  Walmart Inc.  4.000%   4/15/30     9,125      8,888
  Walmart Inc.  4.150%    9/9/32    15,000     14,704
  Walmart Inc.  4.100%   4/15/33    24,195     23,376
8 Walmart Inc.  5.625%   3/27/34       600        807
                                               1,983,379
Energy (6.4%)
4 Antero Resources Corp.  5.375%    3/1/30     1,977      1,842
  Boardwalk Pipelines LP  3.600%    9/1/32     5,000      4,264
  BP Capital Markets America Inc.  4.234%   11/6/28    11,842     11,543
  BP Capital Markets America Inc.  1.749%   8/10/30    37,490     30,667
  BP Capital Markets America Inc.  2.721%   1/12/32    63,000     53,481
  BP Capital Markets America Inc.  4.812%   2/13/33    37,000     36,397
  BP Capital Markets America Inc.  2.939%    6/4/51     5,000      3,390
  BP Capital Markets America Inc.  3.379%    2/8/61     3,000      2,114
7 BP Capital Markets BV  1.467%   9/21/41     3,200      2,262
  Canadian Natural Resources Ltd.  2.950%   7/15/30    21,700     18,703
  Cenovus Energy Inc.  2.650%   1/15/32    17,000     13,775
  Cheniere Corpus Christi Holdings LLC  3.700%  11/15/29    22,749     20,772
  Cheniere Energy Inc.  4.625%  10/15/28     2,645      2,491
  Cheniere Energy Partners LP  4.000%    3/1/31     3,235      2,878
  Cheniere Energy Partners LP  3.250%   1/31/32    41,403     34,476
4 Cheniere Energy Partners LP  5.950%   6/30/33    21,065     21,315
  Chevron USA Inc.  3.250%  10/15/29    24,000     22,209
4 Civitas Resources Inc.  8.750%    7/1/31       903        935
4 CNX Resources Corp.  7.375%   1/15/31       828        821
  ConocoPhillips Co.  6.950%   4/15/29    44,264     49,153
  ConocoPhillips Co.  3.800%   3/15/52     3,000      2,416
  Coterra Energy Inc.  4.375%   3/15/29    30,073     28,388
4 CrownRock LP / CrownRock Finance Inc.  5.625%  10/15/25     1,515      1,496
  DCP Midstream Operating LP  5.625%   7/15/27       988        992
  DCP Midstream Operating LP  5.125%   5/15/29    26,890     26,456
  Devon Energy Corp.  4.500%   1/15/30    28,745     27,238
  Diamondback Energy Inc.  3.500%   12/1/29    16,529     15,084
  Diamondback Energy Inc.  3.125%   3/24/31    34,730     30,127
  Diamondback Energy Inc.  6.250%   3/15/33    10,000     10,447
4 DT Midstream Inc.  4.125%   6/15/29     3,254      2,885
4 DT Midstream Inc.  4.375%   6/15/31     2,395      2,083
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ecopetrol SA  8.625%   1/19/29    18,513     19,056
  Empresa Nacional del Petroleo  3.750%    8/5/26    17,930     16,942
  Empresa Nacional del Petroleo  5.250%   11/6/29    31,480     30,509
  Enable Midstream Partners LP  4.150%   9/15/29    37,887     35,204
  Enbridge Inc.  3.125%  11/15/29    15,998     14,172
  Enbridge Inc.  5.700%    3/8/33    17,000     17,240
4 Endeavor Energy Resources LP / EER Finance Inc.  5.750%   1/30/28     2,670      2,603
  Energy Transfer LP  4.950%   5/15/28    31,246     30,559
  Energy Transfer LP  5.250%   4/15/29    29,465     29,191
  Energy Transfer LP  3.750%   5/15/30    10,487      9,506
  Energy Transfer LP  5.750%   2/15/33    39,210     39,726
4 EnLink Midstream LLC  5.625%   1/15/28       915        895
  EnLink Midstream LLC  5.375%    6/1/29     2,020      1,920
  Enterprise Products Operating LLC  4.150%  10/16/28    24,500     23,497
  Enterprise Products Operating LLC  3.125%   7/31/29    15,250     13,739
  Enterprise Products Operating LLC  2.800%   1/31/30    17,897     15,708
  Enterprise Products Operating LLC  5.350%   1/31/33    12,135     12,386
4 EQM Midstream Partners LP  7.500%    6/1/27     1,065      1,081
4 EQM Midstream Partners LP  6.500%    7/1/27     2,604      2,591
  EQM Midstream Partners LP  5.500%   7/15/28     2,078      2,003
4 EQM Midstream Partners LP  7.500%    6/1/30     1,033      1,065
  EQT Corp.  5.000%   1/15/29     6,550      6,213
  EQT Corp.  7.000%    2/1/30     5,000      5,272
  Equinor ASA  3.950%   5/15/43     3,191      2,744
  Exxon Mobil Corp.  3.482%   3/19/30    40,105     37,381
  Exxon Mobil Corp.  2.610%  10/15/30    52,186     45,566
7 Exxon Mobil Corp.  1.408%   6/26/39       300        221
  Exxon Mobil Corp.  3.095%   8/16/49     1,052        763
  Galaxy Pipeline Assets Bidco Ltd.  2.625%   3/31/36    25,900     20,994
  Genesis Energy LP / Genesis Energy Finance Corp.  6.500%   10/1/25       251        249
  Helmerich & Payne Inc.  2.900%   9/29/31    26,930     21,930
  Hess Corp.  7.300%   8/15/31     3,738      4,114
4 Hilcorp Energy I LP / Hilcorp Finance Co.  5.750%    2/1/29       695        644
4 Hilcorp Energy I LP / Hilcorp Finance Co.  6.000%    2/1/31       827        753
  KazMunayGas National Co. JSC  5.375%   4/24/30     3,500      3,301
  KazMunayGas National Co. JSC  6.375%  10/24/48     5,400      4,803
  Kinder Morgan Inc.  2.000%   2/15/31     5,000      3,981
  Kinder Morgan Inc.  7.750%   1/15/32       990      1,133
  Kinder Morgan Inc.  4.800%    2/1/33    22,555     21,396
  Kinder Morgan Inc.  5.200%    6/1/33    10,000      9,756
  Magellan Midstream Partners LP  3.250%    6/1/30     3,607      3,182
  MPLX LP  2.650%   8/15/30    31,530     26,498
  MPLX LP  4.950%    9/1/32     5,000      4,783
  MPLX LP  5.000%    3/1/33    24,800     23,818
  Nustar Logistics LP  6.375%   10/1/30     2,525      2,436
  Occidental Petroleum Corp.  6.375%    9/1/28    35,850     36,795
  Occidental Petroleum Corp.  6.625%    9/1/30    52,732     55,300
 
49

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Occidental Petroleum Corp.  6.125%    1/1/31    26,577     27,201
  Occidental Petroleum Corp.  7.500%    5/1/31    17,195     18,923
  ONEOK Inc.  4.550%   7/15/28    27,710     26,383
  ONEOK Inc.  4.350%   3/15/29     4,183      3,911
  ONEOK Inc.  3.400%    9/1/29    19,767     17,404
  ONEOK Inc.  3.100%   3/15/30     6,129      5,275
  ONEOK Inc.  6.350%   1/15/31     5,438      5,605
  ONEOK Inc.  6.100%  11/15/32     9,000      9,194
  Ovintiv Inc.  7.200%   11/1/31     1,750      1,843
  Ovintiv Inc.  7.375%   11/1/31    12,232     13,214
4 Permian Resources Operating LLC  7.750%   2/15/26     1,445      1,461
4 Permian Resources Operating LLC  5.875%    7/1/29     3,851      3,672
  Petroleos del Peru SA  5.625%   6/19/47    25,083     16,806
  Petroleos Mexicanos  6.490%   1/23/27    25,432     22,650
  Petroleos Mexicanos  6.500%   3/13/27     6,070      5,395
  Petroleos Mexicanos  6.500%    6/2/41       851        549
  Petroleos Mexicanos  6.375%   1/23/45     2,262      1,430
  Petroleos Mexicanos  6.750%   9/21/47     7,240      4,640
  Petroleos Mexicanos  6.350%   2/12/48     1,101        684
  Petroleos Mexicanos  6.950%   1/28/60       531        338
  Petronas Capital Ltd.  3.500%   4/21/30    42,432     39,143
  Petronas Energy Canada Ltd.  2.112%   3/23/28       950        843
  Phillips 66 Co.  3.750%    3/1/28     5,000      4,698
  Phillips 66 Co.  3.150%  12/15/29    21,299     18,812
  Phillips 66 Co.  2.150%  12/15/30     8,800      7,195
  Phillips 66 Co.  5.300%   6/30/33    10,000      9,989
  Pioneer Natural Resources Co.  1.900%   8/15/30    54,250     44,254
  Pioneer Natural Resources Co.  2.150%   1/15/31    10,680      8,745
  Plains All American Pipeline LP / PAA Finance Corp.  3.550%  12/15/29    16,733     14,806
  QazaqGaz NC JSC  4.375%   9/26/27     2,627      2,451
  Sabine Pass Liquefaction LLC  4.500%   5/15/30    69,785     66,325
  Saudi Arabian Oil Co.  3.500%   4/16/29    13,700     12,672
  Schlumberger Investment SA  2.650%   6/26/30    12,000     10,497
  Schlumberger Investment SA  4.850%   5/15/33    16,130     15,982
  Shell International Finance BV  2.375%   11/7/29    29,118     25,558
  Shell International Finance BV  2.750%    4/6/30    55,535     49,486
  Shell International Finance BV  3.250%    4/6/50     8,000      5,866
9 Southern Gas Corridor CJSC  6.875%   3/24/26    10,873     11,060
  Suncor Energy Inc.  7.150%    2/1/32    10,858     11,680
4 Tap Rock Resources LLC  7.000%   10/1/26     2,737      2,838
  Targa Resources Corp.  6.125%   3/15/33    13,000     13,342
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.  6.875%   1/15/29     4,097      4,175
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.  4.875%    2/1/31    34,595     32,184
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.  4.000%   1/15/32    30,002     26,297
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
7 TotalEnergies Capital Canada Ltd.  2.125%   9/18/29     9,400      9,438
  TotalEnergies Capital International SA  3.455%   2/19/29    39,067     36,489
  TotalEnergies Capital International SA  2.829%   1/10/30     3,785      3,383
  TransCanada PipeLines Ltd.  4.100%   4/15/30    20,000     18,535
  TransCanada PipeLines Ltd.  2.500%  10/12/31    17,000     13,714
  Transcontinental Gas Pipe Line Co. LLC  4.000%   3/15/28     1,286      1,216
  Transcontinental Gas Pipe Line Co. LLC  3.250%   5/15/30    24,065     21,443
4 Transocean Inc.  8.750%   2/15/30     1,045      1,085
4 Transocean Titan Financing Ltd.  8.375%    2/1/28       690        715
4 Valaris Ltd.  8.375%   4/30/30       320        327
  Valero Energy Corp.  2.800%   12/1/31    27,000     22,462
4 Venture Global Calcasieu Pass LLC  3.875%   8/15/29     3,135      2,717
4 Venture Global Calcasieu Pass LLC  6.250%   1/15/30       600        587
4 Venture Global LNG Inc.  8.125%    6/1/28       560        569
4 Venture Global LNG Inc.  8.375%    6/1/31     2,262      2,296
  Western Midstream Operating LP  4.500%    3/1/28     7,771      7,395
  Western Midstream Operating LP  4.750%   8/15/28    18,194     17,445
  Williams Cos. Inc.  3.500%  11/15/30    17,000     15,224
  Williams Cos. Inc.  2.600%   3/15/31    42,000     34,811
  Williams Cos. Inc.  4.650%   8/15/32    12,500     11,928
                                               1,991,974
Financials (29.3%)
7 ABN AMRO Bank NV  4.375%  10/20/28     7,800      8,606
7 ABN AMRO Bank NV  5.125%   2/22/33     8,700      9,484
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.000%  10/29/28    40,700     35,494
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.300%   1/30/32    92,465     75,690
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.400%  10/29/33     7,645      6,116
  Affiliated Managers Group Inc.  3.300%   6/15/30    25,223     21,391
  Aflac Inc.  3.600%    4/1/30    10,000      9,166
  Air Lease Corp.  4.625%   10/1/28     3,955      3,755
  Air Lease Corp.  3.250%   10/1/29     2,000      1,751
  Air Lease Corp.  3.000%    2/1/30    24,670     20,845
  Air Lease Corp.  3.125%   12/1/30     5,298      4,436
  Air Lease Corp.  2.875%   1/15/32     1,773      1,427
  Alleghany Corp.  3.625%   5/15/30    13,328     12,337
7 Allianz SE  4.597%    9/7/38     3,400      3,663
  Allstate Corp.  5.250%   3/30/33    19,000     18,848
  Allstate Corp.  5.350%    6/1/33    10,000     10,006
  Ally Financial Inc.  2.200%   11/2/28    21,497     17,514
  Ally Financial Inc.  8.000%   11/1/31    25,000     26,484
  American Express Co.  4.050%    5/3/29    14,998     14,310
  American Express Co.  4.989%   5/26/33    10,000      9,597
  American Express Co.  4.420%    8/3/33    43,720     41,172
  American Express Co.  5.043%    5/1/34    80,000     78,484
  American Express Co.  5.625%   7/28/34    20,010     20,005
  American International Group Inc.  3.400%   6/30/30     6,138      5,461
  American International Group Inc.  5.125%   3/27/33    10,000      9,829
  Aon Corp.  2.800%   5/15/30    17,426     15,102
 
50

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Aon Corp. / Aon Global Holdings plc  2.050%   8/23/31     9,500      7,576
  Aon Corp. / Aon Global Holdings plc  2.600%   12/2/31     7,000      5,799
  Aon Corp. / Aon Global Holdings plc  5.000%   9/12/32    10,000      9,873
  Aon Corp. / Aon Global Holdings plc  5.350%   2/28/33    23,520     23,716
  Ares Capital Corp.  2.875%   6/15/28     8,300      6,991
  Athene Holding Ltd.  3.500%   1/15/31    16,561     13,808
  AXA SA  8.600%  12/15/30     2,000      2,408
7 AXA SA  3.625%   1/10/33     5,600      6,174
7 AXA SA  3.875% Perpetual     5,737      6,087
  Banco Santander SA  3.490%   5/28/30     9,850      8,646
  Banco Santander SA  2.749%   12/3/30    27,133     21,266
  Banco Santander SA  6.921%    8/8/33    23,000     23,000
  Bank of America Corp.  3.974%    2/7/30    42,723     39,728
  Bank of America Corp.  3.194%   7/23/30    34,921     30,932
  Bank of America Corp.  2.884%  10/22/30    32,946     28,518
  Bank of America Corp.  2.496%   2/13/31    47,013     39,422
  Bank of America Corp.  2.592%   4/29/31    45,990     38,664
  Bank of America Corp.  1.898%   7/23/31    70,757     56,351
  Bank of America Corp.  1.922%  10/24/31    69,206     54,868
  Bank of America Corp.  2.651%   3/11/32    68,320     56,569
  Bank of America Corp.  2.687%   4/22/32    83,107     68,811
  Bank of America Corp.  2.299%   7/21/32    78,325     62,568
  Bank of America Corp.  2.572%  10/20/32    61,630     50,044
  Bank of America Corp.  2.972%    2/4/33    95,945     80,134
  Bank of America Corp.  4.571%   4/27/33    72,690     68,308
  Bank of America Corp.  5.015%   7/22/33    44,250     43,193
  Bank of America Corp.  5.288%   4/25/34    90,520     89,789
  Bank of America Corp.  2.482%   9/21/36    32,908     25,205
  Bank of America Corp.  3.846%    3/8/37    35,000     30,175
  Bank of Montreal  3.803%  12/15/32     2,000      1,774
  Bank of Montreal  3.088%   1/10/37    15,000     11,755
  Bank of New York Mellon Corp.  3.000%  10/30/28     7,000      6,330
  Bank of New York Mellon Corp.  4.596%   7/26/30    16,635     16,157
  Bank of New York Mellon Corp.  4.289%   6/13/33     5,000      4,665
  Bank of New York Mellon Corp.  5.834%  10/25/33    47,605     49,268
  Bank of New York Mellon Corp.  4.706%    2/1/34    36,050     34,346
  Bank of New York Mellon Corp.  4.967%   4/26/34    77,447     75,274
  Bank of Nova Scotia  4.850%    2/1/30    33,900     32,889
  Bank of Nova Scotia  2.150%    8/1/31    10,000      7,991
  Bank of Nova Scotia  2.450%    2/2/32    12,500     10,213
  Bank of Nova Scotia  4.588%    5/4/37    15,000     12,973
7 Banque Federative du Credit Mutuel SA  4.125%   3/13/29     5,100      5,643
7 Banque Federative du Credit Mutuel SA  2.625%   11/6/29     5,300      5,306
7 Banque Federative du Credit Mutuel SA  5.125%   1/13/33       300        327
7 Banque Federative du Credit Mutuel SA  4.000%   1/26/33     3,700      3,990
  Barclays plc  4.836%    5/9/28    22,638     21,061
7 Barclays plc  0.577%    8/9/29     3,700      3,330
  Barclays plc  5.088%   6/20/30    22,000     20,351
  Barclays plc  2.645%   6/24/31    23,035     18,641
  Barclays plc  2.667%   3/10/32    20,000     15,910
  Barclays plc  2.894%  11/24/32    20,000     15,926
  Barclays plc  5.746%    8/9/33    16,100     15,737
  Barclays plc  7.437%   11/2/33    45,500     49,549
  Barclays plc  6.224%    5/9/34    40,000     40,362
  Barclays plc  7.119%   6/27/34    28,550     28,887
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Barclays plc  3.564%   9/23/35    13,075     10,515
  Berkshire Hathaway Finance Corp.  2.875%   3/15/32    11,795     10,377
  Berkshire Hathaway Finance Corp.  2.500%   1/15/51     5,801      3,763
7 Berkshire Hathaway Inc.  1.625%   3/16/35     2,000      1,760
  BlackRock Inc.  2.400%   4/30/30    13,141     11,343
  BlackRock Inc.  1.900%   1/28/31    20,000     16,395
  BlackRock Inc.  4.750%   5/25/33    30,575     29,975
4 Blackstone Holdings Finance Co. LLC  2.000%   1/30/32     3,800      2,850
  Blue Owl Capital Corp.  2.875%   6/11/28       300        248
7 BNP Paribas SA  3.875%   2/23/29     2,900      3,166
7 BNP Paribas SA  3.875%   1/10/31    12,600     13,755
6,10 BPCE SA, 3M Australian Bank Bill Rate + 0.780%  5.077%   4/20/26    15,510     10,258
  Brighthouse Financial Inc.  5.625%   5/15/30     1,550      1,502
  Brown & Brown Inc.  4.500%   3/15/29     2,182      2,067
  Brown & Brown Inc.  2.375%   3/15/31     7,294      5,899
  Brown & Brown Inc.  4.200%   3/17/32     5,000      4,520
  Capital One Financial Corp.  3.273%    3/1/30    41,980     36,179
  Capital One Financial Corp.  2.359%   7/29/32    23,000     16,657
  Capital One Financial Corp.  2.618%   11/2/32    24,315     18,854
  Capital One Financial Corp.  5.268%   5/10/33    13,000     12,345
  Capital One Financial Corp.  5.817%    2/1/34    49,000     47,607
  Capital One Financial Corp.  6.377%    6/8/34   111,560    112,592
  Cboe Global Markets Inc.  1.625%  12/15/30    12,719     10,077
  Cboe Global Markets Inc.  3.000%   3/16/32    10,500      8,948
  Charles Schwab Corp.  4.000%    2/1/29    10,000      9,502
  Charles Schwab Corp.  3.250%   5/22/29     4,000      3,583
  Charles Schwab Corp.  2.750%   10/1/29     9,625      8,300
  Charles Schwab Corp.  1.650%   3/11/31    10,000      7,739
  Charles Schwab Corp.  2.300%   5/13/31     5,000      4,041
  Charles Schwab Corp.  2.900%    3/3/32    20,500     17,158
  Charles Schwab Corp.  5.853%   5/19/34    29,330     30,187
  Chubb INA Holdings Inc.  1.375%   9/15/30    28,681     22,728
  Citigroup Inc.  4.125%   7/25/28    35,250     33,184
  Citigroup Inc.  3.980%   3/20/30    64,793     60,086
  Citigroup Inc.  2.976%   11/5/30    40,076     34,768
  Citigroup Inc.  2.666%   1/29/31    42,659     36,110
  Citigroup Inc.  4.412%   3/31/31    81,386     76,534
  Citigroup Inc.  2.572%    6/3/31    56,648     47,260
  Citigroup Inc.  2.561%    5/1/32    71,728     58,497
  Citigroup Inc.  6.625%   6/15/32    12,383     13,079
  Citigroup Inc.  2.520%   11/3/32    38,000     30,596
  Citigroup Inc.  3.057%   1/25/33    57,009     47,585
  Citigroup Inc.  3.785%   3/17/33    31,244     27,621
  Citigroup Inc.  4.910%   5/24/33    31,145     30,163
  Citigroup Inc.  6.270%  11/17/33    53,150     56,341
  Citigroup Inc.  6.174%   5/25/34    43,570     44,203
  Citizens Financial Group Inc.  2.500%    2/6/30     5,948      4,777
  Citizens Financial Group Inc.  3.250%   4/30/30    11,061      9,359
  CME Group Inc.  2.650%   3/15/32    15,385     13,112
  CNA Financial Corp.  2.050%   8/15/30    12,000      9,611
  CNO Financial Group Inc.  5.250%   5/30/29    16,377     15,720
6,10 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.320%  5.237%   8/20/31    40,100     26,590
6,10 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 1.900%  6.189%   4/14/32     5,000      3,369
6,10 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 2.700%  6.576%   11/9/32     5,000      3,459
7 Cooperatieve Rabobank UA  4.000%   1/10/30     8,300      9,050
 
51

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Corebridge Financial Inc.  3.850%    4/5/29    45,120     41,534
  Corebridge Financial Inc.  3.900%    4/5/32    57,210     50,453
7 Credit Agricole SA  4.000%   1/18/33    12,500     13,755
7 Danske Bank A/S  4.125%   1/10/31     2,900      3,189
  Deutsche Bank AG  5.882%    7/8/31    14,560     13,188
  Deutsche Bank AG  3.547%   9/18/31    41,310     34,613
  Deutsche Bank AG  3.729%   1/14/32     8,000      6,242
  Deutsche Bank AG  3.035%   5/28/32    10,000      7,992
  Deutsche Bank AG  3.742%    1/7/33    34,200     26,022
  Deutsche Bank AG  7.079%   2/10/34    23,000     22,076
  Discover Bank  4.650%   9/13/28    31,600     29,261
  Discover Bank  2.700%    2/6/30    23,788     19,283
  Enstar Group Ltd.  4.950%    6/1/29    20,380     19,080
  Enstar Group Ltd.  3.100%    9/1/31    11,500      8,952
  Equitable Holdings Inc.  5.594%   1/11/33    30,805     30,508
  Fairfax Financial Holdings Ltd.  4.850%   4/17/28       565        549
  Fairfax Financial Holdings Ltd.  4.625%   4/29/30     4,830      4,488
  Fairfax Financial Holdings Ltd.  3.375%    3/3/31     7,650      6,478
  Fidelity National Financial Inc.  3.400%   6/15/30    20,371     17,899
  Fifth Third Bancorp  3.950%   3/14/28    13,834     12,937
  Fifth Third Bancorp  4.055%   4/25/28    12,250     11,417
  Fifth Third Bancorp  6.339%   7/27/29    34,410     35,045
  Fifth Third Bancorp  4.772%   7/28/30    15,327     14,419
  Fifth Third Bancorp  4.337%   4/25/33    26,313     23,680
4 Five Corners Funding Trust II  2.850%   5/15/30    15,000     12,833
4 Five Corners Funding Trust III  5.791%   2/15/33    30,000     30,601
4 Five Corners Funding Trust IV  5.997%   2/15/53     5,000      5,105
  Franklin Resources Inc.  1.600%  10/30/30    15,000     11,833
  GATX Corp.  4.000%   6/30/30     4,093      3,741
  GATX Corp.  1.900%    6/1/31    25,000     19,105
  GATX Corp.  3.500%    6/1/32    15,985     13,577
4 Global Atlantic Fin Co.  3.125%   6/15/31    20,000     14,950
4 Global Atlantic Fin Co.  7.950%   6/15/33     9,820      9,838
  Goldman Sachs Group Inc.  2.600%    2/7/30    32,416     27,529
  Goldman Sachs Group Inc.  3.800%   3/15/30     9,636      8,844
  Goldman Sachs Group Inc.  1.992%   1/27/32    58,460     45,987
  Goldman Sachs Group Inc.  2.615%   4/22/32    91,278     74,835
  Goldman Sachs Group Inc.  2.383%   7/21/32    96,346     76,985
  Goldman Sachs Group Inc.  2.650%  10/21/32    69,000     56,019
  Goldman Sachs Group Inc.  3.102%   2/24/33    49,600     41,787
8 Goldman Sachs Group Inc.  6.875%   1/18/38     1,000      1,306
  Hanover Insurance Group Inc.  2.500%    9/1/30     5,000      3,952
  Hartford Financial Services Group Inc.  2.800%   8/19/29     3,926      3,452
  HSBC Holdings plc  4.583%   6/19/29    41,640     39,332
  HSBC Holdings plc  2.206%   8/17/29    15,000     12,627
7 HSBC Holdings plc  0.641%   9/24/29    13,500     12,355
  HSBC Holdings plc  4.950%   3/31/30    12,320     12,049
  HSBC Holdings plc  3.973%   5/22/30    62,323     56,323
  HSBC Holdings plc  2.848%    6/4/31    47,495     39,659
  HSBC Holdings plc  2.357%   8/18/31    33,560     26,956
  HSBC Holdings plc  2.804%   5/24/32    56,067     45,514
  HSBC Holdings plc  2.871%  11/22/32    16,000     12,919
  HSBC Holdings plc  4.762%   3/29/33     8,000      7,257
  HSBC Holdings plc  5.402%   8/11/33    40,700     39,687
  HSBC Holdings plc  8.113%   11/3/33    40,000     44,296
  HSBC Holdings plc  6.254%    3/9/34    36,000     37,104
  HSBC Holdings plc  6.547%   6/20/34    24,380     24,353
  HSBC Holdings plc  6.332%    3/9/44     5,100      5,332
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Huntington Bancshares Inc.  2.550%    2/4/30    10,000      8,216
  Huntington Bancshares Inc.  5.023%   5/17/33    58,931     55,501
  Huntington National Bank  5.650%   1/10/30    18,750     18,414
  ING Groep NV  4.550%   10/2/28     9,000      8,677
  ING Groep NV  4.050%    4/9/29     8,264      7,734
  ING Groep NV  4.252%   3/28/33     5,000      4,562
  Intercontinental Exchange Inc.  4.350%   6/15/29    20,300     19,768
  Intercontinental Exchange Inc.  2.100%   6/15/30    24,270     20,284
  Intercontinental Exchange Inc.  1.850%   9/15/32     4,800      3,697
  Intercontinental Exchange Inc.  4.600%   3/15/33    17,500     16,935
  Intercontinental Exchange Inc.  4.950%   6/15/52     6,064      5,813
  Intercontinental Exchange Inc.  3.000%   9/15/60     5,000      3,203
7 JAB Holdings BV  4.750%   6/29/32     1,700      1,897
7 JAB Holdings BV  2.250%  12/19/39     2,000      1,550
  Jefferies Financial Group Inc.  4.150%   1/23/30    15,440     14,082
  Jefferies Financial Group Inc.  2.625%  10/15/31     7,243      5,666
  Jefferies Financial Group Inc.  2.750%  10/15/32    25,100     19,311
  JPMorgan Chase & Co.  4.452%   12/5/29    22,800     21,956
  JPMorgan Chase & Co.  3.702%    5/6/30    50,239     46,185
  JPMorgan Chase & Co.  4.565%   6/14/30    40,000     38,499
  JPMorgan Chase & Co.  2.739%  10/15/30    81,229     70,480
  JPMorgan Chase & Co.  4.493%   3/24/31    15,100     14,453
  JPMorgan Chase & Co.  2.522%   4/22/31    32,000     27,084
  JPMorgan Chase & Co.  2.956%   5/13/31    45,985     39,512
  JPMorgan Chase & Co.  1.764%  11/19/31    55,000     43,434
  JPMorgan Chase & Co.  1.953%    2/4/32    73,570     58,544
  JPMorgan Chase & Co.  2.580%   4/22/32    65,950     54,718
  JPMorgan Chase & Co.  2.545%   11/8/32    65,000     53,429
  JPMorgan Chase & Co.  2.963%   1/25/33    81,430     68,684
  JPMorgan Chase & Co.  4.586%   4/26/33    44,100     42,048
  JPMorgan Chase & Co.  4.912%   7/25/33    77,670     75,903
  JPMorgan Chase & Co.  5.717%   9/14/33    40,000     40,575
  JPMorgan Chase & Co.  5.350%    6/1/34    20,000     20,144
  Kemper Corp.  2.400%   9/30/30     4,837      3,754
  Kemper Corp.  3.800%   2/23/32    10,000      8,218
  KeyBank NA  4.900%    8/8/32    10,000      8,478
  KeyBank NA  5.000%   1/26/33    11,445     10,317
  KeyCorp  4.789%    6/1/33    26,000     23,127
4 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.  4.750%   6/15/29     2,664      2,245
  Lazard Group LLC  4.500%   9/19/28    23,004     21,812
  Lazard Group LLC  4.375%   3/11/29       555        522
  Lloyds Banking Group plc  4.550%   8/16/28    13,800     13,069
  Lloyds Banking Group plc  4.976%   8/11/33    24,100     22,611
  Lloyds Banking Group plc  7.953%  11/15/33     8,785      9,587
  M&T Bank Corp.  4.553%   8/16/28     9,658      9,149
  M&T Bank Corp.  5.053%   1/27/34    51,240     48,223
4 Macquarie Bank Ltd.  3.052%    3/3/36    15,000     11,515
6,10 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.700%  6.879%    6/7/32     3,070      2,103
  Markel Group Inc.  3.350%   9/17/29    19,039     17,151
  Marsh & McLennan Cos. Inc.  4.375%   3/15/29    21,129     20,643
  Marsh & McLennan Cos. Inc.  2.250%  11/15/30    23,675     19,729
 
52

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Marsh & McLennan Cos. Inc.  5.750%   11/1/32    23,000     24,198
  MetLife Inc.  4.550%   3/23/30     9,856      9,654
  MetLife Inc.  5.375%   7/15/33    22,690     22,904
  MetLife Inc.  5.250%   1/15/54    10,000      9,739
7 Metropolitan Life Global Funding I  3.750%   12/5/30    12,200     13,237
4 Midcap Financial Issuer Trust  5.625%   1/15/30     2,360      1,889
  Mitsubishi UFJ Financial Group Inc.  3.195%   7/18/29    41,735     37,058
  Mitsubishi UFJ Financial Group Inc.  2.559%   2/25/30    37,878     32,060
  Mitsubishi UFJ Financial Group Inc.  5.475%   2/22/31    18,540     18,441
  Mitsubishi UFJ Financial Group Inc.  2.309%   7/20/32    54,920     43,787
  Mitsubishi UFJ Financial Group Inc.  2.494%  10/13/32    11,562      9,296
  Mitsubishi UFJ Financial Group Inc.  5.133%   7/20/33    16,200     15,868
  Mitsubishi UFJ Financial Group Inc.  5.472%   9/13/33     5,000      5,000
  Mitsubishi UFJ Financial Group Inc.  5.441%   2/22/34    44,310     44,192
  Mitsubishi UFJ Financial Group Inc.  5.406%   4/19/34    27,300     27,146
  Mizuho Financial Group Inc.  5.778%    7/6/29    17,740     17,818
  Mizuho Financial Group Inc.  4.254%   9/11/29     2,000      1,873
  Mizuho Financial Group Inc.  3.153%   7/16/30    21,400     18,599
  Mizuho Financial Group Inc.  2.869%   9/13/30    10,620      9,039
  Mizuho Financial Group Inc.  2.591%   5/25/31    19,607     16,205
  Mizuho Financial Group Inc.  5.739%   5/27/31    25,000     25,004
  Mizuho Financial Group Inc.  2.201%   7/10/31    20,000     15,983
  Mizuho Financial Group Inc.  2.260%    7/9/32    12,000      9,410
  Mizuho Financial Group Inc.  5.748%    7/6/34    21,570     21,669
7 Morgan Stanley  0.495%  10/26/29     2,500      2,268
  Morgan Stanley  4.431%   1/23/30    65,640     62,650
  Morgan Stanley  2.699%   1/22/31    51,418     43,767
  Morgan Stanley  3.622%    4/1/31    61,573     55,341
  Morgan Stanley  1.794%   2/13/32    47,634     37,029
  Morgan Stanley  7.250%    4/1/32     4,880      5,596
  Morgan Stanley  1.928%   4/28/32    56,429     44,086
  Morgan Stanley  2.239%   7/21/32    62,078     49,380
  Morgan Stanley  2.511%  10/20/32    40,000     32,259
  Morgan Stanley  2.943%   1/21/33    25,000     20,794
  Morgan Stanley  4.889%   7/20/33    54,354     52,219
  Morgan Stanley  6.342%  10/18/33    58,993     62,753
7 Morgan Stanley  5.148%   1/25/34     5,500      6,347
  Morgan Stanley  5.250%   4/21/34    45,805     45,190
  Morgan Stanley  5.424%   7/21/34    69,420     69,391
  Morgan Stanley  2.484%   9/16/36    30,000     22,877
  Morgan Stanley  5.297%   4/20/37    30,652     29,035
  Morgan Stanley  5.948%   1/19/38    42,820     42,437
  Nasdaq Inc.  1.650%   1/15/31    21,156     16,591
  Nasdaq Inc.  5.550%   2/15/34    81,350     82,045
  Nasdaq Inc.  5.950%   8/15/53     4,750      4,847
  Natwest Group plc  5.076%   1/27/30    24,601     23,552
  Natwest Group plc  4.445%    5/8/30     7,550      7,005
  Natwest Group plc  6.016%    3/2/34    15,000     15,126
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Natwest Group plc  3.032%  11/28/35    15,000     11,674
  Navient Corp.  9.375%   7/25/30       588        592
8 NIBC Bank NV  3.125%  11/15/23     9,300     11,804
  Nomura Holdings Inc.  2.172%   7/14/28    24,800     20,901
  Nomura Holdings Inc.  3.103%   1/16/30     4,947      4,210
  Nomura Holdings Inc.  2.679%   7/16/30    24,829     20,286
  Nomura Holdings Inc.  2.608%   7/14/31    11,000      8,716
  Nomura Holdings Inc.  2.999%   1/22/32    10,000      8,056
  Nomura Holdings Inc.  6.181%   1/18/33     9,626      9,860
  Nomura Holdings Inc.  6.087%   7/12/33    11,300     11,481
7 Nordea Bank Abp  2.500%   5/23/29     9,300      9,425
  Northern Trust Corp.  1.950%    5/1/30     5,574      4,625
  Northern Trust Corp.  3.375%    5/8/32     5,036      4,530
  Northern Trust Corp.  6.125%   11/2/32    40,000     41,687
  OneMain Finance Corp.  3.500%   1/15/27     1,855      1,608
  ORIX Corp.  2.250%    3/9/31     5,217      4,265
4 Penske Truck Leasing Co. Lp / PTL Finance Corp.  6.200%   6/15/30    14,686     14,836
8 Phoenix Group Holdings plc  5.625%   4/28/31     5,200      5,952
4 Pine Street Trust I  4.572%   2/15/29       250        230
  PNC Bank NA  2.700%  10/22/29    29,415     24,846
  PNC Financial Services Group Inc.  3.450%   4/23/29    32,603     29,735
  PNC Financial Services Group Inc.  2.550%   1/22/30    50,171     42,447
  PNC Financial Services Group Inc.  4.626%    6/6/33    10,000      9,174
  PNC Financial Services Group Inc.  6.037%  10/28/33    59,000     60,606
  PNC Financial Services Group Inc.  5.068%   1/24/34    32,580     31,452
  Principal Financial Group Inc.  3.700%   5/15/29    18,767     17,321
  Principal Financial Group Inc.  5.500%   3/15/53     8,403      7,945
  Progressive Corp.  3.200%   3/26/30    14,172     12,711
  Progressive Corp.  4.950%   6/15/33    34,500     34,157
4 Protective Life Corp.  4.300%   9/30/28    12,700     11,855
  Prudential Financial Inc.  2.100%   3/10/30     2,750      2,319
  Prudential Financial Inc.  3.700%   10/1/50     4,495      3,806
  Prudential Financial Inc.  3.700%   3/13/51     7,500      5,754
  Prudential Financial Inc.  5.125%    3/1/52    10,000      9,129
  Prudential Financial Inc.  6.000%    9/1/52     9,328      9,002
  Prudential Financial Inc.  6.750%    3/1/53    20,000     20,210
  Prudential Funding Asia plc  3.125%   4/14/30     1,500      1,329
  Regions Financial Corp.  1.800%   8/12/28    15,000     12,521
  Reinsurance Group of America Inc.  3.900%   5/15/29     6,800      6,221
  Reinsurance Group of America Inc.  3.150%   6/15/30     2,925      2,512
  RenaissanceRe Holdings Ltd.  5.750%    6/5/33    15,290     15,080
8 Rothesay Life plc  8.000%  10/30/25     3,748      4,845
8 Rothesay Life plc  7.734%   5/16/33       800      1,011
  Royal Bank of Canada  2.300%   11/3/31    26,000     21,115
  Royal Bank of Canada  3.875%    5/4/32     7,700      7,051
  Royal Bank of Canada  5.000%    2/1/33    33,270     32,642
  Royal Bank of Canada  5.000%    5/2/33    25,000     24,446
7 Societe Generale SA  5.625%    6/2/33       200        221
  State Street Corp.  2.623%    2/7/33    25,000     20,816
  State Street Corp.  4.421%   5/13/33    15,000     14,158
  State Street Corp.  4.821%   1/26/34    26,240     25,191
  State Street Corp.  5.159%   5/18/34    30,000     29,448
  State Street Corp.  3.031%   11/1/34     3,000      2,594
  Stifel Financial Corp.  4.000%   5/15/30     4,000      3,464
  Sumitomo Mitsui Financial Group Inc.  1.902%   9/17/28    42,100     35,402
 
53

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Sumitomo Mitsui Financial Group Inc.  4.306%  10/16/28       750        712
  Sumitomo Mitsui Financial Group Inc.  3.040%   7/16/29    54,077     47,359
  Sumitomo Mitsui Financial Group Inc.  2.724%   9/27/29     3,000      2,565
  Sumitomo Mitsui Financial Group Inc.  5.710%   1/13/30    25,249     25,557
  Sumitomo Mitsui Financial Group Inc.  2.750%   1/15/30    32,727     28,004
  Sumitomo Mitsui Financial Group Inc.  2.130%    7/8/30    29,868     24,235
  Sumitomo Mitsui Financial Group Inc.  5.852%   7/13/30    25,000     25,518
  Sumitomo Mitsui Financial Group Inc.  2.142%   9/23/30    14,237     11,357
  Sumitomo Mitsui Financial Group Inc.  1.710%   1/12/31     9,400      7,278
  Sumitomo Mitsui Financial Group Inc.  2.222%   9/17/31     7,500      5,948
  Sumitomo Mitsui Financial Group Inc.  5.766%   1/13/33    25,450     26,063
  Synchrony Financial  2.875%  10/28/31    12,000      8,927
  Synovus Bank  5.625%   2/15/28     8,230      7,625
  Toronto-Dominion Bank  2.000%   9/10/31     6,545      5,206
  Toronto-Dominion Bank  2.450%   1/12/32    14,045     11,475
  Toronto-Dominion Bank  3.200%   3/10/32    45,055     38,852
  Toronto-Dominion Bank  4.456%    6/8/32    21,700     20,431
  Travelers Cos. Inc.  5.350%   11/1/40     5,000      5,075
  Truist Bank  2.250%   3/11/30    34,140     27,253
  Truist Financial Corp.  3.875%   3/19/29    10,000      9,005
  Truist Financial Corp.  1.887%    6/7/29    15,000     12,572
  Truist Financial Corp.  1.950%    6/5/30    15,000     11,961
  Truist Financial Corp.  4.916%   7/28/33    11,373     10,401
  Truist Financial Corp.  6.123%  10/28/33    30,125     30,940
  Truist Financial Corp.  5.122%   1/26/34    25,020     23,923
  Truist Financial Corp.  5.867%    6/8/34    30,340     30,598
  US Bancorp  3.000%   7/30/29    21,800     18,776
  US Bancorp  1.375%   7/22/30    32,000     24,625
  US Bancorp  4.967%   7/22/33    40,025     36,927
  US Bancorp  5.850%  10/21/33    51,770     52,404
  US Bancorp  4.839%    2/1/34    36,925     34,709
  US Bancorp  5.836%   6/12/34    40,000     40,570
  US Bancorp  2.491%   11/3/36     7,250      5,446
8 Utmost Group plc  4.000%  12/15/31     1,195      1,117
11,12 Washington Mutual Bank / Debt not acquired by JPMorgan  5.500%   1/15/13     6,147          1
11,12 Washington Mutual Bank / Debt not acquired by JPMorgan  5.650%   8/15/14     7,500          1
11,12 Washington Mutual Bank / Debt not acquired by JPMorgan  5.125%   1/15/15     9,000          1
10 Wells Fargo & Co.  4.000%   4/27/27    13,972      8,861
  Wells Fargo & Co.  4.150%   1/24/29    35,949     34,091
7 Wells Fargo & Co.  1.741%    5/4/30     6,400      6,116
  Wells Fargo & Co.  2.879%  10/30/30    71,832     62,154
  Wells Fargo & Co.  2.572%   2/11/31    52,900     44,690
  Wells Fargo & Co.  4.478%    4/4/31     2,000      1,896
  Wells Fargo & Co.  3.350%    3/2/33    67,030     57,530
  Wells Fargo & Co.  4.897%   7/25/33   104,655    100,248
  Wells Fargo & Co.  5.389%   4/24/34    92,000     91,301
  Wells Fargo & Co.  5.557%   7/25/34    72,415     72,746
8 Wells Fargo & Co.  4.875%  11/29/35     1,600      1,793
8 Wells Fargo Bank NA  5.250%    8/1/23    11,950     15,336
  Westpac Banking Corp.  1.953%  11/20/28    25,400     21,826
  Westpac Banking Corp.  2.650%   1/16/30     5,000      4,416
  Westpac Banking Corp.  5.405%   8/10/33    15,000     14,244
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Westpac Banking Corp.  4.110%   7/24/34    11,175      9,789
  Westpac Banking Corp.  2.668%  11/15/35    20,000     15,385
6,10 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.550%  5.807%   1/29/31    12,200      8,176
  Willis North America Inc.  4.500%   9/15/28    14,000     13,406
  Willis North America Inc.  2.950%   9/15/29    52,892     45,981
  Willis North America Inc.  5.350%   5/15/33    15,000     14,598
8 Zurich Finance Ireland DAC  5.125%  11/23/52     2,200      2,515
                                               9,078,971
Health Care (9.4%)
  Abbott Laboratories  1.400%   6/30/30     5,000      4,099
  AbbVie Inc.  4.250%  11/14/28    42,136     40,882
  AbbVie Inc.  3.200%  11/21/29    81,974     74,232
  Agilent Technologies Inc.  2.750%   9/15/29    10,000      8,741
  Agilent Technologies Inc.  2.300%   3/12/31    25,000     20,543
  AmerisourceBergen Corp.  2.800%   5/15/30     6,000      5,206
  AmerisourceBergen Corp.  2.700%   3/15/31    71,871     61,130
  Amgen Inc.  3.000%   2/22/29    19,824     17,958
  Amgen Inc.  4.050%   8/18/29    65,000     61,755
  Amgen Inc.  2.450%   2/21/30    29,420     25,095
  Amgen Inc.  5.250%    3/2/30    53,550     53,829
  Amgen Inc.  2.300%   2/25/31    46,020     38,163
  Amgen Inc.  3.350%   2/22/32    19,065     16,741
  Amgen Inc.  5.250%    3/2/33    77,000     76,826
  Anthem Inc.  2.875%   9/15/29    39,704     35,308
  Anthem Inc.  2.250%   5/15/30     6,441      5,393
  Ascension Health  2.532%  11/15/29     2,500      2,164
  Astrazeneca Finance LLC  1.750%   5/28/28    34,477     29,990
7 AstraZeneca plc  0.375%    6/3/29     5,300      4,900
  AstraZeneca plc  1.375%    8/6/30    93,854     75,185
  Baxter International Inc.  2.272%   12/1/28    44,445     38,289
  Baxter International Inc.  3.950%    4/1/30    22,000     20,296
  Baxter International Inc.  1.730%    4/1/31    15,000     11,647
  Baxter International Inc.  2.539%    2/1/32    88,700     71,787
  Becton Dickinson & Co  2.823%   5/20/30    21,220     18,525
  Becton Dickinson & Co  4.298%   8/22/32    27,000     25,630
  Becton Dickinson & Co.  1.957%   2/11/31    22,587     18,253
7 Becton Dickinson Euro Finance Sarl  3.553%   9/13/29     4,000      4,327
  Bon Secours Mercy Health Inc.  4.302%    7/1/28    12,500     11,902
  Boston Scientific Corp.  2.650%    6/1/30    77,567     67,213
  Bristol-Myers Squibb Co.  1.450%  11/13/30    51,570     41,151
  Bristol-Myers Squibb Co.  2.950%   3/15/32    62,300     54,499
4 Catalent Pharma Solutions Inc.  3.125%   2/15/29     1,598      1,334
4 Catalent Pharma Solutions Inc.  3.500%    4/1/30     1,123        938
  Cedars-Sinai Health System  2.288%   8/15/31     2,000      1,632
  Centene Corp.  2.450%   7/15/28     9,825      8,463
  Centene Corp.  4.625%  12/15/29    40,000     37,176
  Centene Corp.  3.375%   2/15/30    41,231     35,534
  Centene Corp.  3.000%  10/15/30    31,830     26,633
  Centene Corp.  2.500%    3/1/31    40,000     32,015
  Centene Corp.  2.625%    8/1/31    20,959     16,754
  CHRISTUS Health  4.341%    7/1/28    14,800     14,265
  Cigna Group  4.375%  10/15/28    64,260     62,168
  Cigna Group  2.400%   3/15/30    35,139     29,784
  Cigna Group  2.375%   3/15/31    37,985     31,564
  CommonSpirit Health  2.782%   10/1/30       509        429
4 CSL UK Holdings Ltd.  4.250%   4/27/32    26,665     25,183
  CVS Health Corp.  5.000%   1/30/29    25,600     25,474
  CVS Health Corp.  3.250%   8/15/29    53,383     48,017
  CVS Health Corp.  5.125%   2/21/30    51,095     50,834
  CVS Health Corp.  3.750%    4/1/30    17,849     16,310
 
54

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CVS Health Corp.  1.750%   8/21/30    44,635     35,631
  CVS Health Corp.  5.250%   1/30/31    20,000     19,983
  CVS Health Corp.  1.875%   2/28/31    37,668     29,919
  CVS Health Corp.  5.250%   2/21/33    15,000     14,912
  CVS Health Corp.  5.300%    6/1/33    36,900     36,828
4 DaVita Inc.  3.750%   2/15/31     1,430      1,143
  Elevance Health Inc.  2.550%   3/15/31     8,000      6,723
  Elevance Health Inc.  4.100%   5/15/32    10,000      9,305
  Elevance Health Inc.  5.500%  10/15/32    32,000     32,827
  Eli Lilly & Co.  3.375%   3/15/29     8,300      7,821
  Eli Lilly & Co.  4.700%   2/27/33     7,145      7,200
  Eli Lilly & Co.  3.950%   3/15/49     2,500      2,205
4 Fortrea Holdings Inc.  7.500%    7/1/30       625        639
  GE HealthCare Technologies Inc.  5.857%   3/15/30    22,180     22,751
  GE HealthCare Technologies Inc.  5.905%  11/22/32    31,925     33,177
4 HCA Inc.  3.375%   3/15/29    15,000     13,341
  HCA Inc.  3.500%    9/1/30    61,425     54,003
  HCA Inc.  2.375%   7/15/31    40,000     31,956
4 HCA Inc.  3.625%   3/15/32    33,135     28,753
  HCA Inc.  5.500%    6/1/33     7,360      7,326
4 Highmark Inc.  2.550%   5/10/31    20,000     15,647
  Humana Inc.  4.875%    4/1/30     1,758      1,713
  Humana Inc.  2.150%    2/3/32     5,000      3,932
  Humana Inc.  5.875%    3/1/33    20,000     20,828
4 IQVIA Inc.  6.500%   5/15/30     1,245      1,257
4 Medline Borrower LP  3.875%    4/1/29       649        569
4 Medline Borrower LP  5.250%   10/1/29       910        808
7 Medtronic Global Holdings SCA  2.250%    3/7/39       400        348
  Merck & Co. Inc.  4.300%   5/17/30    12,500     12,205
  Merck & Co. Inc.  1.450%   6/24/30    17,000     13,801
  Merck & Co. Inc.  2.150%  12/10/31    60,631     50,005
  Merck & Co. Inc.  4.500%   5/17/33     8,335      8,198
  Merck & Co. Inc.  4.000%    3/7/49     2,500      2,169
  Merck & Co. Inc.  2.750%  12/10/51     5,000      3,369
  Northwestern Memorial Healthcare Obligated Group  2.633%   7/15/51     2,500      1,584
  Novartis Capital Corp.  2.200%   8/14/30     4,570      3,927
  Novartis Capital Corp.  4.000%  11/20/45     2,500      2,218
4 Organon & Co. / Organon Foreign Debt Co.-Issuer BV  4.125%   4/30/28     2,142      1,920
4 Organon & Co. / Organon Foreign Debt Co.-Issuer BV  5.125%   4/30/31       812        688
4 Owens & Minor Inc.  6.625%    4/1/30       245        225
  Pfizer Inc.  1.700%   5/28/30    28,770     23,823
  Pfizer Inc.  1.750%   8/18/31    13,540     10,955
  Pfizer Investment Enterprises Pte Ltd.  4.650%   5/19/30    83,475     82,545
  Pfizer Investment Enterprises Pte Ltd.  4.750%   5/19/33    87,235     86,660
  Providence St. Joseph Health Obligated Group  2.532%   10/1/29     5,000      4,237
  Quest Diagnostics Inc.  2.950%   6/30/30    16,761     14,666
  Quest Diagnostics Inc.  2.800%   6/30/31     6,655      5,711
  Regeneron Pharmaceuticals Inc.  1.750%   9/15/30    15,000     11,980
  Revvity Inc.  1.900%   9/15/28    42,366     36,148
  Revvity Inc.  3.300%   9/15/29     5,000      4,486
  Revvity Inc.  2.250%   9/15/31    11,000      8,790
4 Roche Holdings Inc.  1.930%  12/13/28    32,500     28,315
4 Roche Holdings Inc.  2.076%  12/13/31    36,730     30,168
4 Roche Holdings Inc.  2.607%  12/13/51     5,000      3,330
  Royalty Pharma plc  2.200%    9/2/30    24,500     19,710
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Royalty Pharma plc  2.150%    9/2/31     4,000      3,124
  Stanford Health Care  3.310%   8/15/30    17,000     15,275
  STERIS Irish FinCo Unlimited Co.  2.700%   3/15/31    22,000     18,381
  Stryker Corp.  1.950%   6/15/30    13,250     11,058
  Sutter Health  5.164%   8/15/33     3,715      3,699
  Takeda Pharmaceutical Co. Ltd.  5.000%  11/26/28    35,329     35,242
  Takeda Pharmaceutical Co. Ltd.  2.050%   3/31/30    87,037     72,242
  Tenet Healthcare Corp.  4.875%    1/1/26     3,474      3,363
  Tenet Healthcare Corp.  6.250%    2/1/27     1,641      1,610
  Tenet Healthcare Corp.  4.250%    6/1/29     1,804      1,617
4 Tenet Healthcare Corp.  6.750%   5/15/31     1,467      1,463
  Teva Pharmaceutical Finance Netherlands III BV  5.125%    5/9/29       573        525
  Teva Pharmaceutical Finance Netherlands III BV  7.875%   9/15/29       810        843
  Teva Pharmaceutical Finance Netherlands III BV  8.125%   9/15/31     1,020      1,081
  Teva Pharmaceutical Finance Netherlands III BV  4.100%   10/1/46       350        230
7 Thermo Fisher Scientific Finance I BV  1.625%  10/18/41       400        302
  Thermo Fisher Scientific Inc.  1.750%  10/15/28     9,050      7,810
  Thermo Fisher Scientific Inc.  2.600%   10/1/29    25,879     22,948
  Thermo Fisher Scientific Inc.  2.000%  10/15/31    48,981     39,814
  Thermo Fisher Scientific Inc.  4.950%  11/21/32    23,525     23,811
  UnitedHealth Group Inc.  3.875%  12/15/28    20,288     19,487
  UnitedHealth Group Inc.  4.250%   1/15/29    29,445     28,704
  UnitedHealth Group Inc.  2.875%   8/15/29     5,666      5,136
  UnitedHealth Group Inc.  5.300%   2/15/30    70,780     72,612
  UnitedHealth Group Inc.  2.000%   5/15/30    10,000      8,398
  UnitedHealth Group Inc.  4.200%   5/15/32    16,697     15,896
  UnitedHealth Group Inc.  5.350%   2/15/33    33,535     34,706
  UnitedHealth Group Inc.  4.500%   4/15/33    14,815     14,429
  Viatris Inc.  2.700%   6/22/30     3,969      3,240
  Zoetis Inc.  2.000%   5/15/30    19,148     15,900
  Zoetis Inc.  5.600%  11/16/32    23,590     24,589
                                               2,927,079
Industrials (5.2%)
  3M Co.  3.375%    3/1/29    10,087      9,299
  3M Co.  2.375%   8/26/29     8,000      6,942
  3M Co.  3.050%   4/15/30    15,359     13,790
4 Air Canada  3.875%   8/15/26     2,580      2,397
7 Airbus SE  2.375%    6/9/40     1,400      1,210
4 Allison Transmission Inc.  4.750%   10/1/27     3,940      3,734
4 American Airlines Inc. 11.750%   7/15/25       685        755
4 American Airlines Inc.  7.250%   2/15/28       672        667
4 American Airlines Inc. / AAdvantage Loyalty IP Ltd.  5.500%   4/20/26     2,691      2,651
4,5 American Airlines Inc. / AAdvantage Loyalty IP Ltd.  5.750%   4/20/29     5,073      4,917
4 Aramark Services Inc.  6.375%    5/1/25     1,472      1,474
10 Aurizon Finance Pty Ltd.  3.000%    3/9/28    40,230     23,362
10 Aurizon Network Pty Ltd.  4.000%   6/21/24     4,840      3,214
4 BAE Systems plc  1.900%   2/15/31     6,670      5,343
  Boeing Co.  3.200%    3/1/29    36,191     32,799
  Boeing Co.  5.150%    5/1/30    96,841     96,049
 
55

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Boeing Co.  3.625%    2/1/31    31,800     28,801
  Boeing Co.  6.125%   2/15/33     9,182      9,612
7 Bouygues SA  4.625%    6/7/32       400        460
  Burlington Northern Santa Fe LLC  3.050%   2/15/51     5,000      3,508
  Burlington Northern Santa Fe LLC  4.450%   1/15/53     5,000      4,548
  Canadian National Railway Co.  3.850%    8/5/32    26,585     24,712
  Canadian National Railway Co.  4.400%    8/5/52     5,000      4,553
  Canadian Pacific Railway Co.  2.050%    3/5/30     3,000      2,512
  Canadian Pacific Railway Co.  2.450%   12/2/31     9,990      8,737
4 Cargo Aircraft Management Inc.  4.750%    2/1/28     1,564      1,393
  Carrier Global Corp.  2.722%   2/15/30    21,000     18,134
  Caterpillar Inc.  2.600%    4/9/30    17,345     15,368
4 Chart Industries Inc.  7.500%    1/1/30       385        395
4 Chart Industries Inc.  9.500%    1/1/31       276        298
  CSX Corp.  2.400%   2/15/30     8,663      7,470
  CSX Corp.  4.100%  11/15/32    30,000     28,396
4 Daimler Trucks Finance North America LLC  2.375%  12/14/28     5,000      4,361
  Deere & Co.  3.100%   4/15/30     2,000      1,827
5 Delta Air Lines Class AA Series 2020-1 Pass Through Trust  2.000%   6/10/28     8,206      7,229
  Delta Air Lines Inc.  2.900%  10/28/24     1,255      1,206
  Delta Air Lines Inc.  3.750%  10/28/29     2,023      1,831
  Dover Corp.  2.950%   11/4/29     3,000      2,635
  Eaton Corp.  4.150%   3/15/33    50,000     47,334
4 Embraer Netherlands Finance BV  7.000%   7/28/30     6,400      6,467
  Embraer Overseas Ltd.  5.696%   9/16/23       582        582
4 Emerald Debt Merger Sub LLC  6.625%  12/15/30     1,175      1,169
  Emerson Electric Co.  2.000%  12/21/28    51,791     45,073
  Emerson Electric Co.  2.200%  12/21/31    17,775     14,670
  Emerson Electric Co.  2.800%  12/21/51     3,000      2,003
  FedEx Corp.  3.100%    8/5/29    12,359     11,134
  FedEx Corp.  2.400%   5/15/31    32,544     27,152
4 Gates Global LLC / Gates Corp.  6.250%   1/15/26       639        635
  GE Capital Funding LLC  4.550%   5/15/32    12,131     11,708
  General Dynamics Corp.  3.625%    4/1/30    28,207     26,416
  General Dynamics Corp.  2.250%    6/1/31    10,000      8,406
7 General Electric Co.  4.125%   9/19/35       200        219
7 Heathrow Funding Ltd.  1.125%   10/8/30     8,100      7,211
7 Heathrow Funding Ltd.  1.875%   3/14/34     1,500      1,301
8 Heathrow Funding Ltd.  5.875%   5/13/43       400        501
  Honeywell International Inc.  4.250%   1/15/29    14,875     14,546
  Honeywell International Inc.  2.700%   8/15/29    14,138     12,639
  Honeywell International Inc.  1.950%    6/1/30    21,224     17,789
  Honeywell International Inc.  1.750%    9/1/31    35,142     28,130
7 Honeywell International Inc.  3.750%   5/17/32     8,000      8,603
  Honeywell International Inc.  5.000%   2/15/33    53,365     54,227
7 Honeywell International Inc.  4.125%   11/2/34     6,314      6,938
  Hubbell Inc.  2.300%   3/15/31    15,000     12,306
  Huntington Ingalls Industries Inc.  2.043%   8/16/28    25,450     21,576
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Huntington Ingalls Industries Inc.  4.200%    5/1/30    15,053     13,965
  Jacobs Engineering Group Inc.  5.900%    3/1/33    11,580     11,435
  John Deere Capital Corp.  2.800%   7/18/29    12,294     11,055
  John Deere Capital Corp.  4.850%  10/11/29    28,760     28,964
  John Deere Capital Corp.  4.700%   6/10/30    25,000     24,866
  L3Harris Technologies Inc.  2.900%  12/15/29     7,831      6,829
  L3Harris Technologies Inc.  1.800%   1/15/31    14,540     11,543
  L3Harris Technologies Inc.  5.400%   7/31/33    37,585     37,855
  Lockheed Martin Corp.  1.850%   6/15/30     7,138      5,956
  Lockheed Martin Corp.  3.900%   6/15/32    25,330     23,696
  Lockheed Martin Corp.  5.250%   1/15/33    13,340     13,766
  Lockheed Martin Corp.  4.700%   5/15/46     5,000      4,785
  Lockheed Martin Corp.  4.150%   6/15/53     7,500      6,497
10 Lonsdale Finance Pty Ltd.  2.100%  10/15/27    32,000     18,742
  Norfolk Southern Corp.  2.550%   11/1/29     7,509      6,536
  Norfolk Southern Corp.  2.300%   5/15/31    10,000      8,304
  Northrop Grumman Corp.  4.400%    5/1/30    32,630     31,646
  Northrop Grumman Corp.  4.700%   3/15/33    26,740     26,126
  Otis Worldwide Corp.  2.565%   2/15/30    28,769     24,794
10 Pacific National Finance Pty Ltd.  5.400%   5/12/27    22,860     14,476
10 Pacific National Finance Pty Ltd.  3.700%   9/24/29    18,940     10,241
  Parker-Hannifin Corp.  3.250%   6/14/29     3,000      2,730
  Parker-Hannifin Corp.  4.500%   9/15/29    25,000     24,364
10 Qantas Airways Ltd.  4.750%  10/12/26    32,930     21,493
10 Qantas Airways Ltd.  3.150%   9/27/28    20,500     12,058
10 Qantas Airways Ltd.  2.950%  11/27/29     4,270      2,374
  Quanta Services Inc.  2.900%   10/1/30     8,400      7,139
  Quanta Services Inc.  2.350%   1/15/32     7,000      5,541
4 Regal Rexnord Corp.  6.400%   4/15/33     6,750      6,724
  Republic Services Inc.  1.450%   2/15/31    10,000      7,818
  Republic Services Inc.  1.750%   2/15/32    12,620      9,853
  Republic Services Inc.  5.000%    4/1/34    10,250     10,184
  Rockwell Automation Inc.  1.750%   8/15/31     7,500      6,028
4 Rolls-Royce plc  3.625%  10/14/25       392        371
4 Rolls-Royce plc  5.750%  10/15/27     1,974      1,944
  RTX Corp.  2.250%    7/1/30    38,811     32,470
  RTX Corp.  1.900%    9/1/31    37,505     29,644
  RTX Corp.  2.375%   3/15/32    15,351     12,491
  RTX Corp.  5.150%   2/27/33    51,088     51,091
  Southwest Airlines Co.  7.375%    3/1/27     4,930      5,156
  Southwest Airlines Co.  2.625%   2/10/30    34,590     29,594
4 Spirit AeroSystems Inc.  7.500%   4/15/25       351        351
  Spirit AeroSystems Inc.  4.600%   6/15/28       616        524
4 Spirit AeroSystems Inc.  9.375%  11/30/29     1,262      1,352
4 TopBuild Corp.  3.625%   3/15/29       628        552
4 TopBuild Corp.  4.125%   2/15/32     1,494      1,283
4 TransDigm Inc.  6.250%   3/15/26     7,569      7,533
4 TransDigm Inc.  6.750%   8/15/28       745        749
  Trimble Inc.  6.100%   3/15/33     5,500      5,584
  Triton Container International Ltd. / TAL International Container Corp.  3.250%   3/15/32    18,030     14,014
4 Triumph Group Inc.  9.000%   3/15/28       780        802
  Tyco Electronics Group SA  2.500%    2/4/32     7,990      6,680
  Union Pacific Corp.  3.700%    3/1/29     8,149      7,811
  Union Pacific Corp.  2.400%    2/5/30    35,200     30,456
  Union Pacific Corp.  2.800%   2/14/32    13,000     11,183
5 United Airlines Class A Series 2020-1 Pass Through Trust  5.875%  10/15/27    25,378     25,205
4 United Airlines Inc.  4.375%   4/15/26     6,300      5,967
4 United Airlines Inc.  4.625%   4/15/29     4,865      4,411
  Waste Management Inc.  2.000%    6/1/29    15,320     13,098
 
56

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Waste Management Inc.  4.625%   2/15/30    22,000     21,725
  Waste Management Inc.  1.500%   3/15/31    40,182     31,869
  Waste Management Inc.  4.150%   4/15/32    10,000      9,497
                                               1,597,114
Materials (2.3%)
4 Advanced Drainage Systems Inc.  6.375%   6/15/30       645        642
  Air Products and Chemicals Inc.  2.050%   5/15/30     5,552      4,723
7 Akzo Nobel NV  1.625%   4/14/30     4,900      4,623
  Amcor Flexibles North America Inc.  2.690%   5/25/31    20,000     16,411
  ArcelorMittal SA  4.250%   7/16/29    10,000      9,529
4 Arconic Corp.  6.000%   5/15/25       770        781
4 Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc  4.000%    9/1/29     1,050        859
4 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.  5.250%   4/30/25       954        937
4,13 Arsenal AIC Parent LLC  8.000%   10/1/30       610        622
4 ASP Unifrax Holdings Inc.  5.250%   9/30/28     2,342      1,741
  Ball Corp.  2.875%   8/15/30     1,725      1,423
  Ball Corp.  3.125%   9/15/31     2,270      1,868
  BHP Billiton Finance USA Ltd.  4.900%   2/28/33    40,000     39,839
4 Big River Steel LLC / BRS Finance Corp.  6.625%   1/31/29     2,801      2,789
4 Canpack SA / Canpack US LLC  3.875%  11/15/29     5,573      4,516
  Celanese US Holdings LLC  6.330%   7/15/29     5,000      5,017
4 Chemours Co.  4.625%  11/15/29     4,943      4,188
  Dow Chemical Co.  4.800%  11/30/28     4,000      3,966
  Dow Chemical Co.  2.100%  11/15/30    44,000     36,011
  Dow Chemical Co.  6.300%   3/15/33    20,000     21,387
  DuPont de Nemours Inc.  4.725%  11/15/28    12,000     11,898
  Eastman Chemical Co.  5.750%    3/8/33    15,000     14,964
  Ecolab Inc.  1.300%   1/30/31    21,853     17,222
  Ecolab Inc.  2.125%    2/1/32    10,000      8,223
4 Element Solutions Inc.  3.875%    9/1/28     1,913      1,691
  FMC Corp.  3.450%   10/1/29     8,000      7,017
  FMC Corp.  5.650%   5/18/33    19,940     19,280
  Freeport-McMoRan Inc.  4.125%    3/1/28     8,330      7,866
  Freeport-McMoRan Inc.  4.375%    8/1/28     9,680      9,180
  Freeport-McMoRan Inc.  5.250%    9/1/29    22,881     22,453
  Freeport-McMoRan Inc.  4.250%    3/1/30    12,603     11,629
  Freeport-McMoRan Inc.  4.625%    8/1/30     5,933      5,589
4 Georgia-Pacific LLC  2.300%   4/30/30    17,000     14,435
4 Graphic Packaging International LLC  3.500%   3/15/28     2,015      1,813
4 Graphic Packaging International LLC  3.750%    2/1/30       205        178
7 Holcim Finance Luxembourg SA  1.750%   8/29/29       700        679
4 Hudbay Minerals Inc.  4.500%    4/1/26     4,465      4,242
4 Ingevity Corp.  3.875%   11/1/28     1,485      1,286
4 Inversiones CMPC SA  6.125%   6/23/33    22,350     22,696
4 Kaiser Aluminum Corp.  4.500%    6/1/31     2,933      2,404
  Linde Inc.  1.100%   8/10/30     5,570      4,408
7 Linde plc  1.625%   3/31/35    10,600      9,353
  LYB International Finance III LLC  2.250%   10/1/30     5,000      4,090
  LYB International Finance III LLC  5.625%   5/15/33    12,000     11,996
  Martin Marietta Materials Inc.  2.400%   7/15/31    25,000     20,435
  Newmont Corp.  2.800%   10/1/29    32,675     28,373
  Newmont Corp.  2.250%   10/1/30    37,770     30,987
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Novelis Corp.  4.750%   1/30/30     1,358      1,219
4 Novelis Corp.  3.875%   8/15/31     2,415      2,021
  Nucor Corp.  2.700%    6/1/30    15,060     13,074
  Nucor Corp.  3.125%    4/1/32    15,620     13,530
  Nutrien Ltd.  4.200%    4/1/29    17,656     16,769
  Nutrien Ltd.  2.950%   5/13/30    13,207     11,515
4 Olympus Water US Holding Corp.  4.250%   10/1/28       405        326
4 Olympus Water US Holding Corp.  9.750%  11/15/28     2,320      2,244
4 Owens-Brockway Glass Container Inc.  7.250%   5/15/31       435        442
  Packaging Corp. of America  3.000%  12/15/29    13,000     11,407
4 Pactiv Evergreen Group Issuer Inc./Pactiv Evergreen Group Issuer LLC  4.375%  10/15/28     1,635      1,451
  PPG Industries Inc.  2.800%   8/15/29    11,000      9,807
  PPG Industries Inc.  2.550%   6/15/30     9,435      8,036
  Rio Tinto Finance USA Ltd.  2.750%   11/2/51     3,000      2,018
  Rio Tinto Finance USA plc  5.000%    3/9/33    25,000     25,079
  RPM International Inc.  4.550%    3/1/29    17,250     16,312
  RPM International Inc.  2.950%   1/15/32     3,415      2,734
  Sherwin-Williams Co.  2.950%   8/15/29    12,106     10,778
  Sherwin-Williams Co.  2.300%   5/15/30    20,563     17,273
  Sherwin-Williams Co.  2.200%   3/15/32     8,193      6,587
4 SPCM SA  3.125%   3/15/27     1,093        981
4 SPCM SA  3.375%   3/15/30     2,925      2,433
  Steel Dynamics Inc.  3.450%   4/15/30    27,891     24,855
  Steel Dynamics Inc.  3.250%   1/15/31     2,950      2,569
  Vale Overseas Ltd.  3.750%    7/8/30     5,000      4,455
  Vale Overseas Ltd.  6.125%   6/12/33    27,060     27,176
4 WR Grace Holdings LLC  7.375%    3/1/31       340        340
  WRKCo Inc.  3.900%    6/1/28    26,734     24,929
  WRKCo Inc.  4.900%   3/15/29    12,000     11,641
                                               728,260
Real Estate (4.9%)
  Agree LP  2.000%   6/15/28    15,750     13,179
  Agree LP  2.900%   10/1/30     6,500      5,415
  Agree LP  4.800%   10/1/32     7,000      6,516
  Agree LP  2.600%   6/15/33     5,720      4,391
  Alexandria Real Estate Equities Inc.  2.750%  12/15/29    27,005     22,987
  Alexandria Real Estate Equities Inc.  4.900%  12/15/30    20,060     19,678
  Alexandria Real Estate Equities Inc.  3.375%   8/15/31    12,881     11,176
  Alexandria Real Estate Equities Inc.  2.000%   5/18/32    12,233      9,368
  Alexandria Real Estate Equities Inc.  1.875%    2/1/33     5,000      3,679
  American Assets Trust LP  3.375%    2/1/31    11,292      8,807
  American Homes 4 Rent LP  4.250%   2/15/28    13,372     12,701
  American Homes 4 Rent LP  2.375%   7/15/31    10,000      7,999
  American Homes 4 Rent LP  3.625%   4/15/32     5,000      4,340
  American Tower Corp.  3.600%   1/15/28    12,234     11,322
  American Tower Corp.  3.950%   3/15/29     9,000      8,333
  American Tower Corp.  3.800%   8/15/29    41,188     37,747
  American Tower Corp.  2.900%   1/15/30    25,100     21,620
  American Tower Corp.  2.100%   6/15/30    14,909     12,040
  American Tower Corp.  2.700%   4/15/31    20,000     16,525
  American Tower Corp.  2.300%   9/15/31     6,000      4,771
7 Aroundtown SA  0.000%   7/16/26     2,900      2,526
7 Aroundtown SA  2.875% Perpetual       955        375
 
57

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
7 ATF Netherlands BV  7.078% Perpetual     2,300      1,118
  AvalonBay Communities Inc.  1.900%   12/1/28    13,300     11,336
  AvalonBay Communities Inc.  3.300%    6/1/29     5,000      4,530
  AvalonBay Communities Inc.  2.300%    3/1/30    14,752     12,375
  AvalonBay Communities Inc.  2.450%   1/15/31     5,000      4,189
  AvalonBay Communities Inc.  5.000%   2/15/33     6,700      6,697
7 Blackstone Property Partners Europe Holdings Sarl  1.000%  10/20/26     5,267      4,941
  Boston Properties LP  4.500%   12/1/28    10,000      9,279
  Boston Properties LP  3.400%   6/21/29     3,000      2,581
  Boston Properties LP  2.900%   3/15/30    31,368     25,660
  Boston Properties LP  3.250%   1/30/31    10,806      8,903
  Boston Properties LP  2.550%    4/1/32    16,096     12,259
  Brixmor Operating Partnership LP  2.250%    4/1/28    13,000     11,069
  Brixmor Operating Partnership LP  4.125%   5/15/29     8,000      7,217
  Brixmor Operating Partnership LP  4.050%    7/1/30     8,018      7,305
  Brixmor Operating Partnership LP  2.500%   8/16/31    20,000     15,653
  Corporate Office Properties LP  2.000%   1/15/29    20,000     15,517
  Corporate Office Properties LP  2.750%   4/15/31    27,226     20,952
  Crown Castle Inc.  4.300%   2/15/29    10,930     10,331
  Crown Castle Inc.  3.100%  11/15/29    20,966     18,366
  Crown Castle Inc.  2.250%   1/15/31    13,715     11,153
  CubeSmart LP  2.250%  12/15/28    20,000     16,974
  CubeSmart LP  4.375%   2/15/29    12,000     11,311
  CubeSmart LP  2.000%   2/15/31    19,558     15,287
  Digital Realty Trust LP  5.550%   1/15/28    10,000      9,967
  Digital Realty Trust LP  3.600%    7/1/29    37,195     33,620
  Equinix Inc.  1.550%   3/15/28     3,000      2,528
  Equinix Inc.  3.200%  11/18/29    13,614     12,008
  Equinix Inc.  2.150%   7/15/30    10,000      8,111
  Equinix Inc.  2.500%   5/15/31    10,000      8,153
  Equinix Inc.  3.900%   4/15/32     3,740      3,365
  ERP Operating LP  4.150%   12/1/28    12,426     11,864
  ERP Operating LP  3.000%    7/1/29     7,000      6,244
  ERP Operating LP  2.500%   2/15/30    11,000      9,364
  ERP Operating LP  1.850%    8/1/31     1,251        986
  Essential Properties LP  2.950%   7/15/31    20,000     15,289
  Essex Portfolio LP  4.000%    3/1/29       426        396
  Essex Portfolio LP  3.000%   1/15/30    10,000      8,580
  Essex Portfolio LP  1.650%   1/15/31     7,533      5,749
  Extra Space Storage LP  3.900%    4/1/29    15,000     13,854
  Extra Space Storage LP  4.000%   6/15/29     6,494      5,930
  Extra Space Storage LP  5.500%    7/1/30     7,590      7,583
  Extra Space Storage LP  2.200%  10/15/30     7,000      5,618
  Extra Space Storage LP  2.550%    6/1/31    20,000     16,189
  Extra Space Storage LP  2.400%  10/15/31    13,000     10,280
  Extra Space Storage LP  2.350%   3/15/32    10,000      7,863
  Federal Realty OP LP  3.200%   6/15/29    10,000      8,660
  Federal Realty OP LP  3.500%    6/1/30     1,990      1,741
  Healthcare Realty Holdings LP  2.000%   3/15/31    28,349     21,783
  Healthcare Realty Holdings LP Co.  2.400%   3/15/30     1,000        791
  Healthcare Trust of America Holdings LP  3.100%   2/15/30       501        431
  Healthpeak OP LLC  2.125%   12/1/28    12,000     10,247
  Healthpeak OP LLC  3.500%   7/15/29    16,479     14,909
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Healthpeak OP LLC  3.000%   1/15/30    14,900     12,988
  Healthpeak OP LLC  2.875%   1/15/31    18,507     15,658
  Healthpeak OP LLC  5.250%  12/15/32    25,355     24,901
  Highwoods Realty LP  4.125%   3/15/28     3,450      3,099
  Highwoods Realty LP  4.200%   4/15/29    10,406      8,881
  Highwoods Realty LP  3.050%   2/15/30    12,090      9,446
  Highwoods Realty LP  2.600%    2/1/31     1,161        860
  Host Hotels & Resorts LP  3.375%  12/15/29     3,252      2,801
  Host Hotels & Resorts LP  3.500%   9/15/30    10,512      8,987
  Host Hotels & Resorts LP  2.900%  12/15/31    16,025     12,701
  Invitation Homes Operating Partnership LP  2.000%   8/15/31     4,000      3,091
  Invitation Homes Operating Partnership LP  4.150%   4/15/32    10,000      9,031
  Kilroy Realty LP  4.750%  12/15/28     6,705      6,038
  Kilroy Realty LP  4.250%   8/15/29     3,500      3,005
  Kilroy Realty LP  3.050%   2/15/30    16,188     12,881
  Kilroy Realty LP  2.500%  11/15/32    20,000     14,006
  Kimco Realty OP LLC  2.700%   10/1/30    11,343      9,414
  Kimco Realty OP LLC  2.250%   12/1/31    10,000      7,823
  Kimco Realty OP LLC  3.200%    4/1/32     2,657      2,229
  LXP Industrial Trust  2.375%   10/1/31     5,000      3,792
  Mid-America Apartments LP  3.950%   3/15/29     8,800      8,313
  Mid-America Apartments LP  2.750%   3/15/30     4,800      4,176
  Mid-America Apartments LP  1.700%   2/15/31     1,900      1,506
  MPT Operating Partnership LP / MPT Finance Corp.  3.500%   3/15/31     3,512      2,529
  NNN REIT Inc.  4.300%  10/15/28     1,722      1,616
  NNN REIT Inc.  2.500%   4/15/30    13,948     11,618
  Omega Healthcare Investors Inc.  3.625%   10/1/29    10,000      8,415
  Omega Healthcare Investors Inc.  3.375%    2/1/31     7,198      5,818
  Omega Healthcare Investors Inc.  3.250%   4/15/33    10,137      7,680
4 Ontario Teachers' Cadillac Fairview Properties Trust  3.875%   3/20/27     7,000      6,477
4 Ontario Teachers' Cadillac Fairview Properties Trust  4.125%    2/1/29    11,900     10,789
  Phillips Edison Grocery Center Operating Partnership I LP  2.625%  11/15/31    20,000     15,005
  Physicians Realty LP  3.950%   1/15/28     5,775      5,303
  Physicians Realty LP  2.625%   11/1/31    20,000     15,619
  Piedmont Operating Partnership LP  3.150%   8/15/30    10,000      7,384
  Piedmont Operating Partnership LP  2.750%    4/1/32    10,000      6,764
7 Prologis Euro Finance LLC  1.000%    2/8/29     3,000      2,769
7 Prologis Euro Finance LLC  3.875%   1/31/30       942      1,010
7 Prologis Euro Finance LLC  4.625%   5/23/33     1,870      2,082
7 Prologis International Funding II SA  1.625%   6/17/32     6,353      5,437
  Prologis LP  4.375%    2/1/29    10,000      9,660
  Prologis LP  2.875%  11/15/29     5,000      4,406
  Prologis LP  2.250%   4/15/30    14,022     11,911
  Prologis LP  1.250%  10/15/30    10,000      7,765
  Prologis LP  1.750%    2/1/31     7,266      5,802
  Prologis LP  2.250%   1/15/32     9,320      7,545
  Prologis LP  4.625%   1/15/33    13,324     12,975
  Prologis LP  5.250%   6/15/53    10,000      9,857
  Public Storage  1.950%   11/9/28     8,800      7,597
  Public Storage  3.385%    5/1/29     8,000      7,408
 
58

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Public Storage  2.300%    5/1/31    10,830      8,999
  Public Storage  2.250%   11/9/31    18,742     15,327
  Public Storage  5.100%    8/1/33    12,500     12,511
  Realty Income Corp.  3.100%  12/15/29    21,990     19,535
  Realty Income Corp.  4.850%   3/15/30    29,715     28,915
7 Realty Income Corp.  4.875%    7/6/30     2,181      2,432
  Realty Income Corp.  3.250%   1/15/31    15,607     13,604
  Realty Income Corp.  5.625%  10/13/32    15,000     15,249
  Regency Centers LP  2.950%   9/15/29     9,841      8,499
  Regency Centers LP  3.700%   6/15/30    29,150     26,223
  Rexford Industrial Realty LP  2.125%   12/1/30     5,488      4,324
  Rexford Industrial Realty LP  2.150%    9/1/31    17,430     13,555
  Sabra Health Care LP  3.200%   12/1/31       708        544
  SBA Communications Corp.  3.125%    2/1/29     1,845      1,556
  Simon Property Group LP  2.650%   7/15/30    17,630     14,957
  Simon Property Group LP  2.200%    2/1/31     5,999      4,837
  Simon Property Group LP  2.250%   1/15/32    10,000      7,848
  Spirit Realty LP  2.100%   3/15/28    10,000      8,524
  Spirit Realty LP  4.000%   7/15/29     5,000      4,475
  Spirit Realty LP  3.400%   1/15/30     3,421      2,949
  Spirit Realty LP  2.700%   2/15/32    10,000      7,693
  STORE Capital Corp.  2.750%  11/18/30     7,294      5,338
  Sun Communities Operating LP  2.300%   11/1/28    19,600     16,515
  Sun Communities Operating LP  2.700%   7/15/31    10,000      7,968
  Sun Communities Operating LP  4.200%   4/15/32     5,079      4,477
  Tanger Properties LP  2.750%    9/1/31    12,000      8,960
  UDR Inc.  3.200%   1/15/30     4,882      4,338
  UDR Inc.  3.000%   8/15/31     7,660      6,480
  Welltower OP LLC  2.050%   1/15/29    18,955     15,916
  Welltower OP LLC  4.125%   3/15/29       435        407
  Welltower OP LLC  3.100%   1/15/30    19,120     16,731
  Welltower OP LLC  2.750%   1/15/32     7,000      5,705
  Welltower OP LLC  3.850%   6/15/32    11,104      9,851
  Weyerhaeuser Co.  4.000%  11/15/29    19,017     17,606
  WP Carey Inc.  2.450%    2/1/32    10,000      7,882
                                               1,510,199
Technology (5.7%)
  Adobe Inc.  2.300%    2/1/30     6,500      5,692
  Analog Devices Inc.  1.700%   10/1/28    10,650      9,159
  Analog Devices Inc.  2.100%   10/1/31    15,970     13,163
  Apple Inc.  1.400%    8/5/28    54,000     46,723
  Apple Inc.  1.650%    2/8/31    27,770     22,903
  Apple Inc.  4.100%    8/8/62    18,000     15,672
  Block Inc.  3.500%    6/1/31       285        239
  Broadcom Inc.  4.110%   9/15/28     9,411      8,906
  Broadcom Inc.  4.750%   4/15/29    35,843     34,713
  Broadcom Inc.  5.000%   4/15/30    37,571     36,951
  Broadcom Inc.  4.150%  11/15/30    20,850     19,148
4 Broadcom Inc.  2.450%   2/15/31    64,537     52,376
4 Broadcom Inc.  4.150%   4/15/32    21,000     18,951
  Broadcom Inc.  4.300%  11/15/32    45,806     41,782
4 Broadcom Inc.  3.419%   4/15/33    18,325     15,321
4 Broadcom Inc.  3.469%   4/15/34    14,700     12,030
4 Cloud Software Group Inc.  6.500%   3/31/29       275        248
4 CommScope Inc.  7.125%    7/1/28     2,517      1,675
  Dell International LLC / EMC Corp.  5.300%   10/1/29     5,000      4,985
  Dell International LLC / EMC Corp.  6.200%   7/15/30    41,995     43,602
  Dell International LLC / EMC Corp.  5.750%    2/1/33    31,885     32,337
  DXC Technology Co.  2.375%   9/15/28    15,000     12,693
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 Entegris Escrow Corp.  4.750%   4/15/29    24,932     23,273
4 Entegris Escrow Corp.  5.950%   6/15/30     5,945      5,698
  Equifax Inc.  3.100%   5/15/30    17,000     14,607
  Equifax Inc.  2.350%   9/15/31    10,000      7,902
  Fidelity National Information Services Inc.  1.650%    3/1/28     7,250      6,209
  Fidelity National Information Services Inc.  3.750%   5/21/29     3,000      2,791
  Fidelity National Information Services Inc.  2.250%    3/1/31    19,692     16,066
  Fiserv Inc.  4.200%   10/1/28     7,000      6,719
  Fiserv Inc.  3.500%    7/1/29    55,450     51,003
  Fiserv Inc.  2.650%    6/1/30    36,950     31,473
  Global Payments Inc.  3.200%   8/15/29     9,480      8,346
  Global Payments Inc.  2.900%   5/15/30     9,550      8,111
  Global Payments Inc.  2.900%  11/15/31    35,000     28,786
  Global Payments Inc.  5.400%   8/15/32     3,000      2,942
  HP Inc.  4.000%   4/15/29    28,960     27,350
  HP Inc.  3.400%   6/17/30     9,725      8,512
  HP Inc.  2.650%   6/17/31    22,881     18,702
  HP Inc.  5.500%   1/15/33    25,000     24,657
4 Imola Merger Corp.  4.750%   5/15/29     2,857      2,509
  Intel Corp.  1.600%   8/12/28    20,900     18,067
  Intel Corp.  2.450%  11/15/29    58,413     51,145
  Intel Corp.  5.125%   2/10/30    48,840     49,204
  Intel Corp.  3.900%   3/25/30     6,363      5,999
  Intel Corp.  2.000%   8/12/31     9,300      7,569
  Intel Corp.  4.150%    8/5/32    10,200      9,680
  Intel Corp.  5.200%   2/10/33    27,290     27,577
  International Business Machines Corp.  4.400%   7/27/32    21,000     20,132
  International Business Machines Corp.  4.750%    2/6/33    25,000     24,514
7 International Business Machines Corp.  4.000%    2/6/43       200        213
  Juniper Networks Inc.  3.750%   8/15/29     9,827      8,987
  Juniper Networks Inc.  2.000%  12/10/30    15,554     12,072
  KLA Corp.  4.650%   7/15/32    14,510     14,342
  KLA Corp.  5.250%   7/15/62     5,000      4,989
  Leidos Inc.  5.750%   3/15/33    17,821     17,809
  Mastercard Inc.  2.950%    6/1/29     4,000      3,662
  Mastercard Inc.  3.350%   3/26/30     3,779      3,506
4 McAfee Corp.  7.375%   2/15/30     3,261      2,819
  Micron Technology Inc.  6.750%   11/1/29    12,000     12,609
  Micron Technology Inc.  2.703%   4/15/32     5,000      3,973
  Micron Technology Inc.  5.875%    2/9/33    12,000     12,008
  Microsoft Corp.  2.675%    6/1/60     1,500        990
  Motorola Solutions Inc.  2.750%   5/24/31    25,000     20,480
  NVIDIA Corp.  2.850%    4/1/30    20,000     18,086
  NVIDIA Corp.  2.000%   6/15/31     8,500      7,090
  NXP BV / NXP Funding LLC  5.550%   12/1/28       809        818
  NXP BV / NXP Funding LLC / NXP USA Inc.  4.300%   6/18/29    15,000     14,154
  NXP BV / NXP Funding LLC / NXP USA Inc.  3.400%    5/1/30    13,000     11,517
  NXP BV / NXP Funding LLC / NXP USA Inc.  2.500%   5/11/31    30,000     24,508
  NXP BV / NXP Funding LLC / NXP USA Inc.  2.650%   2/15/32    10,000      8,108
  Oracle Corp.  6.150%   11/9/29    39,535     41,402
  Oracle Corp.  2.950%    4/1/30    70,260     61,206
 
59

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Oracle Corp.  4.650%    5/6/30    19,010     18,395
  Oracle Corp.  2.875%   3/25/31    57,257     48,670
  Oracle Corp.  6.250%   11/9/32    36,667     38,748
  PayPal Holdings Inc.  2.850%   10/1/29     6,007      5,353
  PayPal Holdings Inc.  2.300%    6/1/30    17,000     14,423
  PayPal Holdings Inc.  4.400%    6/1/32     5,000      4,823
  QUALCOMM Inc.  1.300%   5/20/28     7,571      6,462
  QUALCOMM Inc.  2.150%   5/20/30     1,204      1,027
  QUALCOMM Inc.  1.650%   5/20/32    15,336     12,038
  QUALCOMM Inc.  6.000%   5/20/53     3,750      4,171
  RELX Capital Inc.  3.000%   5/22/30     8,800      7,801
  Roper Technologies Inc.  2.000%   6/30/30    18,380     15,143
  S&P Global Inc.  2.700%    3/1/29    49,410     44,480
  S&P Global Inc.  2.500%   12/1/29    10,438      9,124
  S&P Global Inc.  1.250%   8/15/30     6,750      5,334
  S&P Global Inc.  2.900%    3/1/32    27,147     23,462
4 Sabre GLBL Inc.  7.375%    9/1/25     1,628      1,469
  Salesforce Inc.  1.950%   7/15/31    24,040     19,712
4 Seagate HDD Cayman  8.250%  12/15/29       300        314
4 Seagate HDD Cayman  8.500%   7/15/31       500        524
  Skyworks Solutions Inc.  3.000%    6/1/31    31,290     25,970
4 SS&C Technologies Inc.  5.500%   9/30/27     1,884      1,820
  Teledyne FLIR LLC  2.500%    8/1/30    14,900     12,358
  Teledyne Technologies Inc.  2.750%    4/1/31    22,767     19,110
  Texas Instruments Inc.  2.250%    9/4/29     2,000      1,749
  Texas Instruments Inc.  1.750%    5/4/30    10,755      9,013
  Texas Instruments Inc.  1.900%   9/15/31    10,000      8,212
  Texas Instruments Inc.  3.650%   8/16/32    13,635     12,584
  Verisk Analytics Inc.  4.125%   3/15/29    22,755     21,891
  Verisk Analytics Inc.  5.750%    4/1/33    10,000     10,340
  Visa Inc.  1.100%   2/15/31    10,000      7,843
  VMware Inc.  1.800%   8/15/28    26,394     22,198
  VMware Inc.  4.700%   5/15/30    40,665     38,639
  Workday Inc.  3.700%    4/1/29    18,140     16,926
  Workday Inc.  3.800%    4/1/32    25,914     23,254
                                               1,777,540
Utilities (6.6%)
  AEP Texas Inc.  5.400%    6/1/33    20,330     20,348
  AEP Transmission Co. LLC  3.650%    4/1/50     3,280      2,560
  AEP Transmission Co. LLC  5.400%   3/15/53    14,820     15,282
10 AGI Finance Pty Ltd.  1.815%  11/23/28     3,390      1,878
6,10 AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000%  5.310%    1/8/26     7,260      4,825
  Alabama Power Co.  3.050%   3/15/32     3,300      2,871
  Alabama Power Co.  3.940%    9/1/32    25,000     23,005
  Ameren Corp.  3.500%   1/15/31    20,245     18,080
  Ameren Illinois Co.  1.550%  11/15/30     9,785      7,709
  Ameren Illinois Co.  3.850%    9/1/32    30,000     27,428
  Ameren Illinois Co.  4.950%    6/1/33    25,000     24,819
  Ameren Illinois Co.  5.900%   12/1/52     1,750      1,899
  American Water Capital Corp.  2.800%    5/1/30     4,000      3,491
  American Water Capital Corp.  4.450%    6/1/32     5,000      4,820
  Appalachian Power Co.  4.500%    8/1/32    22,030     20,719
  Baltimore Gas and Electric Co.  4.550%    6/1/52     4,610      4,099
  Berkshire Hathaway Energy Co.  3.700%   7/15/30    25,632     23,588
  Berkshire Hathaway Energy Co.  1.650%   5/15/31    25,000     19,460
4 Calpine Corp.  5.125%   3/15/28     3,930      3,564
  CenterPoint Energy Houston Electric LLC  2.350%    4/1/31     9,920      8,275
  CenterPoint Energy Houston Electric LLC  3.000%    3/1/32    12,002     10,340
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CenterPoint Energy Houston Electric LLC  4.450%   10/1/32    37,034     35,604
  CenterPoint Energy Houston Electric LLC  4.950%    4/1/33     4,630      4,618
  CenterPoint Energy Houston Electric LLC  5.300%    4/1/53     6,355      6,476
  CenterPoint Energy Inc.  4.250%   11/1/28     7,193      6,746
  CenterPoint Energy Inc.  2.950%    3/1/30    11,305      9,871
  CenterPoint Energy Inc.  2.650%    6/1/31    19,800     16,488
  CenterPoint Energy Resources Corp.  1.750%   10/1/30     9,000      7,195
  CenterPoint Energy Resources Corp.  4.400%    7/1/32     5,000      4,751
  Comision Federal de Electricidad  3.875%   7/26/33     7,722      6,013
5 Comision Federal de Electricidad  5.000%   9/29/36     6,732      5,579
  Commonwealth Edison Co.  3.150%   3/15/32    11,850     10,390
  Commonwealth Edison Co.  4.900%    2/1/33    15,705     15,611
  Connecticut Light and Power Co.  2.050%    7/1/31     3,000      2,433
  Consolidated Edison Co. of New York Inc.  3.350%    4/1/30    10,000      9,083
  Consumers Energy Co.  3.600%   8/15/32     4,430      3,990
  Consumers Energy Co.  4.625%   5/15/33     5,000      4,880
  Consumers Energy Co.  4.200%    9/1/52     4,690      3,979
10 DBNGP Finance Co. Pty Ltd.  4.225%   5/28/25    15,550     10,181
  Dominion Energy Inc.  3.375%    4/1/30    33,274     29,727
  Dominion Energy Inc.  2.250%   8/15/31     5,000      4,042
  Dominion Energy Inc.  4.350%   8/15/32    11,346     10,649
  Dominion Energy South Carolina Inc.  2.300%   12/1/31    11,291      9,157
  Dominion Energy South Carolina Inc.  6.625%    2/1/32     3,470      3,813
  DTE Electric Co.  2.250%    3/1/30    30,694     26,259
  DTE Electric Co.  2.625%    3/1/31    11,500      9,929
  DTE Electric Co.  3.000%    3/1/32    12,237     10,561
  DTE Electric Co.  5.200%    4/1/33    25,000     25,340
  DTE Electric Co.  2.950%    3/1/50     6,539      4,429
  DTE Energy Co.  3.400%   6/15/29    25,883     23,318
  DTE Energy Co.  2.950%    3/1/30    13,783     11,922
  Duke Energy Carolinas LLC  2.450%   8/15/29    11,375      9,821
  Duke Energy Carolinas LLC  2.450%    2/1/30    25,081     21,574
  Duke Energy Carolinas LLC  2.550%   4/15/31     7,190      6,121
  Duke Energy Carolinas LLC  2.850%   3/15/32     8,250      6,997
  Duke Energy Carolinas LLC  4.950%   1/15/33    26,520     26,428
  Duke Energy Carolinas LLC  3.200%   8/15/49     5,000      3,550
  Duke Energy Corp.  2.450%    6/1/30    17,000     14,289
  Duke Energy Corp.  2.550%   6/15/31    20,000     16,539
  Duke Energy Corp.  4.500%   8/15/32    40,000     37,744
7 Duke Energy Corp.  3.850%   6/15/34     4,000      4,040
  Duke Energy Florida LLC  2.500%   12/1/29    25,380     22,113
  Duke Energy Florida LLC  1.750%   6/15/30    34,710     28,257
  Duke Energy Florida LLC  2.400%  12/15/31    10,000      8,254
  Duke Energy Ohio Inc.  2.125%    6/1/30    11,650      9,671
  Duke Energy Ohio Inc.  5.250%    4/1/33     1,930      1,952
  Duke Energy Progress LLC  3.700%    9/1/28     6,446      6,083
  Duke Energy Progress LLC  3.450%   3/15/29     4,221      3,905
  Duke Energy Progress LLC  2.000%   8/15/31    12,500     10,072
  Duke Energy Progress LLC  3.400%    4/1/32    15,000     13,330
 
60

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Duke Energy Progress LLC  5.250%   3/15/33     5,446      5,521
  Edison International  4.125%   3/15/28     2,000      1,881
4 Electricite de France SA  5.700%   5/23/28     4,385      4,416
4 Electricite de France SA  4.500%   9/21/28     5,000      4,771
4 Electricite de France SA  6.250%   5/23/33    10,330     10,636
7 Elia Transmission Belgium SA  0.875%   4/28/30     5,600      5,105
7 Enel Finance International NV  4.500%   2/20/43     2,700      2,887
  Entergy Arkansas LLC  5.150%   1/15/33     4,230      4,251
  Entergy Corp.  1.900%   6/15/28    11,000      9,442
  Entergy Corp.  2.800%   6/15/30    16,000     13,638
  Entergy Corp.  2.400%   6/15/31    11,000      8,877
  Entergy Louisiana LLC  1.600%  12/15/30     5,050      3,925
  Entergy Louisiana LLC  2.350%   6/15/32     6,442      5,169
  Entergy Texas Inc.  4.000%   3/30/29     3,129      2,939
  Entergy Texas Inc.  1.750%   3/15/31     5,000      3,968
  Eskom Holdings SOC Ltd.  7.125%   2/11/25     2,800      2,784
  Evergy Inc.  2.900%   9/15/29    23,000     20,105
  Eversource Energy  1.650%   8/15/30    16,165     12,828
  Eversource Energy  2.550%   3/15/31     8,610      7,148
  Eversource Energy  3.375%    3/1/32    25,000     21,766
  Exelon Corp.  4.050%   4/15/30    45,000     42,090
  Exelon Corp.  3.350%   3/15/32    28,000     24,367
  FirstEnergy Corp.  2.650%    3/1/30    20,526     17,294
  FirstEnergy Corp.  2.250%    9/1/30     7,896      6,375
  Florida Power & Light Co.  2.450%    2/3/32    22,500     18,885
  Georgia Power Co.  4.950%   5/17/33    28,150     27,728
  Idaho Power Co.  5.500%   3/15/53     5,000      5,086
4 ITC Holdings Corp.  2.950%   5/14/30    10,000      8,587
  Kentucky Utilities Co.  5.450%   4/15/33     7,370      7,522
  Louisville Gas and Electric Co.  5.450%   4/15/33     5,900      6,033
  National Grid plc  5.809%   6/12/33    23,970     24,249
7 National Grid plc  3.245%   3/30/34    11,400     11,296
  National Rural Utilities Cooperative Finance Corp.  3.900%   11/1/28    13,055     12,364
  National Rural Utilities Cooperative Finance Corp.  3.700%   3/15/29    32,016     29,808
  National Rural Utilities Cooperative Finance Corp.  5.800%   1/15/33     9,250      9,655
  Nevada Power Co.  2.400%    5/1/30    11,640      9,767
  NextEra Energy Capital Holdings Inc.  1.900%   6/15/28    31,000     26,803
  NextEra Energy Capital Holdings Inc.  3.500%    4/1/29     8,191      7,546
  NextEra Energy Capital Holdings Inc.  2.750%   11/1/29    25,000     21,830
  NextEra Energy Capital Holdings Inc.  2.250%    6/1/30    30,000     24,933
  NextEra Energy Capital Holdings Inc.  2.440%   1/15/32    15,850     12,878
  NextEra Energy Capital Holdings Inc.  5.000%   7/15/32     5,630      5,531
4 NextEra Energy Operating Partners LP  4.500%   9/15/27       550        515
  Nisource Inc.  5.400%   6/30/33     5,500      5,544
  NiSource Inc.  2.950%    9/1/29     5,136      4,568
  NRG Energy Inc.  6.625%   1/15/27       471        467
  NSTAR Electric Co.  3.950%    4/1/30     6,616      6,220
  NSTAR Electric Co.  1.950%   8/15/31       850        679
  Ohio Power Co.  1.625%   1/15/31    18,491     14,600
  Oklahoma Gas and Electric Co.  5.400%   1/15/33     8,220      8,320
  Oncor Electric Delivery Co. LLC  5.750%   3/15/29    19,475     20,203
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Oncor Electric Delivery Co. LLC  4.550%   9/15/32    17,000     16,417
  Pacific Gas and Electric Co.  3.000%   6/15/28    70,397     61,185
  Pacific Gas and Electric Co.  4.550%    7/1/30     3,000      2,728
  Pacific Gas and Electric Co.  2.500%    2/1/31    67,175     53,132
  Pacific Gas and Electric Co.  3.250%    6/1/31    20,357     16,675
  Pacific Gas and Electric Co.  6.150%   1/15/33     5,220      5,151
  PacifiCorp  3.500%   6/15/29    19,585     17,698
  PacifiCorp  2.700%   9/15/30    13,815     11,549
  PacifiCorp  4.125%   1/15/49     3,450      2,622
  PECO Energy Co.  4.900%   6/15/33    15,000     14,919
  PECO Energy Co.  4.600%   5/15/52     1,500      1,354
  PECO Energy Co.  4.375%   8/15/52     5,000      4,396
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara  5.450%   5/21/28     2,205      2,212
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara  3.000%   6/30/30     4,500      3,846
7 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara  1.875%   11/5/31    13,940     11,705
  Piedmont Natural Gas Co. Inc.  3.500%    6/1/29    10,000      9,122
  Piedmont Natural Gas Co. Inc.  2.500%   3/15/31     5,000      4,083
  PPL Electric Utilities Corp.  5.000%   5/15/33    10,000      9,986
  Public Service Co. of Colorado  1.900%   1/15/31       300        241
  Public Service Co. of Colorado  1.875%   6/15/31     6,400      5,077
  Public Service Co. of Oklahoma  5.250%   1/15/33    10,290     10,230
  Public Service Electric and Gas Co.  3.200%   5/15/29    17,458     15,800
  Public Service Electric and Gas Co.  2.450%   1/15/30    10,900      9,391
  Public Service Electric and Gas Co.  1.900%   8/15/31    12,000      9,635
  Public Service Electric and Gas Co.  4.900%  12/15/32    15,000     15,002
  Public Service Electric and Gas Co.  4.650%   3/15/33    10,000      9,812
  Public Service Enterprise Group Inc.  1.600%   8/15/30    53,551     42,259
  Public Service Enterprise Group Inc.  2.450%  11/15/31     5,000      4,035
  Saudi Electricity Sukuk Programme Co.  5.684%   4/11/53     3,516      3,469
  Sempra  3.700%    4/1/29    20,000     18,431
  Southern California Edison Co.  4.200%    3/1/29     9,000      8,588
  Southern California Edison Co.  2.250%    6/1/30    10,000      8,382
  Southern California Edison Co.  2.500%    6/1/31     8,000      6,640
  Southern California Edison Co.  2.750%    2/1/32     7,000      5,855
  Southern California Gas Co.  2.550%    2/1/30     5,790      4,976
  Southern Co.  3.700%   4/30/30     2,415      2,210
  Southern Co.  5.700%  10/15/32    11,788     12,159
  Southern Co.  5.200%   6/15/33    15,000     14,882
  Southern Co. Gas Capital Corp.  1.750%   1/15/31    10,833      8,527
 
61

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Southwestern Electric Power Co.  4.100%   9/15/28     2,000      1,909
  Southwestern Electric Power Co.  5.300%    4/1/33    15,000     14,848
  Union Electric Co.  3.500%   3/15/29     8,552      7,903
  Union Electric Co.  2.950%   3/15/30    18,000     15,934
  Virginia Electric and Power Co.  2.300%  11/15/31    10,000      8,150
  Virginia Electric and Power Co.  2.400%   3/30/32     8,000      6,540
  Virginia Electric and Power Co.  5.000%    4/1/33    14,810     14,692
  Virginia Electric and Power Co.  4.600%   12/1/48     5,176      4,576
4 Vistra Operations Co. LLC  5.500%    9/1/26     2,379      2,303
4 Vistra Operations Co. LLC  5.625%   2/15/27     1,769      1,711
4 Vistra Operations Co. LLC  5.000%   7/31/27       995        936
  WEC Energy Group Inc.  2.200%  12/15/28    10,000      8,660
  WEC Energy Group Inc.  1.800%  10/15/30    17,178     13,637
  Wisconsin Electric Power Co.  4.750%   9/30/32    21,000     20,702
  Xcel Energy Inc.  2.600%   12/1/29     5,000      4,302
  Xcel Energy Inc.  3.400%    6/1/30    20,000     17,839
  Xcel Energy Inc.  2.350%  11/15/31    21,000     16,749
  Xcel Energy Inc.  4.600%    6/1/32    12,000     11,346
                                               2,043,752
Total Corporate Bonds (Cost $29,610,879) 27,112,002
Floating Rate Loan Interests (0.1%)
6 American Airlines Inc. Term Loan, TSFR3M + 4.750% 10.338%   4/20/28     3,623      3,748
6 CDK Global Inc. Term Loan B, TSFR3M + 4.250%  9.492%    7/6/29     1,030      1,030
6 Cloud Software Group Inc. Term Loan B, TSFR3M + 4.500%  9.842%   3/30/29       355        340
6 DirecTV Financing LLC Term Loan, TSFR1M + 5.000% 10.433%    8/2/27     2,517      2,500
6 First Student Bidco Inc. Term Loan B, TSFR3M + 4.000%  9.342%   7/21/28     2,834      2,784
6 First Student Bidco Inc. Term Loan C, TSFR3M + 4.000%  9.342%   7/21/28       198        194
6 Fortrea Holdings Inc. Term Loan B TSFR3M + 3.750%  8.992%    7/1/30       150        150
6 McAfee LLC Term Loan B, TSFR1M + 3.750%  8.963%    3/1/29     1,064      1,027
6 Medline Borrower LP Term Loan B, TSFR1M + 3.250%  8.683%  10/23/28     2,102      2,079
6 SBA Senior Finance II LLC Term Loan B, TSFR1M + 1.750%  7.170%   4/11/25       153        153
6 Setanta Aircraft Leasing DAC Term Loan B, 3M USD LIBOR + 2.000%  7.538%   11/5/28    11,145     11,137
6 SkyMiles IP Ltd. Term Loan B, TSFR3M + 3.750%  9.076%  10/20/27       769        799
6 Spirit AeroSystems Inc. Term Loan, TSFR3M + 4.500%  9.869%   1/15/27        56         56
6 SS&C Technologies Inc. Term Loan B-6, TSFR1M + 2.250%  7.669%   3/22/29       624        624
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
6 SS&C Technologies Inc. Term Loan B-7, TSFR1M + 2.250%  7.669%   3/22/29       941        940
6 Wyndham Hotels & Resorts Inc. Term Loan B, TSFR1M + 2.250%  7.669%   5/24/30     1,434      1,435
Total Floating Rate Loan Interests (Cost $28,688) 28,996
Sovereign Bonds (1.9%)
4 Bank Gospodarstwa Krajowego  5.375%   5/22/33     4,450      4,442
  Banque Ouest Africaine de Developpement  5.000%   7/27/27       626        581
  Corp. Financiera de Desarrollo SA  4.750%   7/15/25     3,226      3,167
  Corp. Financiera de Desarrollo SA  2.400%   9/28/27     8,234      7,183
  Dominican Republic  5.950%   1/25/27     2,360      2,335
  Dominican Republic  5.500%   2/22/29    33,398     31,791
  Dominican Republic  4.500%   1/30/30     5,563      4,940
  Export-Import Bank of India  3.875%    2/1/28    19,675     18,524
  Government of Bermuda  4.750%   2/15/29    18,860     18,504
  Government of Bermuda  5.000%   7/15/32    17,180     16,802
  Kingdom of Saudi Arabia  5.500%  10/25/32    39,384     41,357
  Kingdom of Saudi Arabia  5.000%   1/18/53     7,350      6,786
  Republic of Chile  2.750%   1/31/27     7,030      6,530
4 Republic of Guatemala  6.600%   6/13/36     8,400      8,596
7 Republic of Hungary  1.125%   4/28/26    11,200     11,258
  Republic of Hungary  6.125%   5/22/28    25,115     25,563
7 Republic of Korea  0.000%  10/15/26     9,000      8,776
  Republic of Panama  8.125%   4/28/34     9,236     10,850
5 Republic of Panama  4.500%   4/16/50       350        272
5 Republic of Panama  3.870%   7/23/60    13,375      8,896
  Republic of Peru  2.844%   6/20/30    30,996     26,993
  Republic of Peru  2.783%   1/23/31    38,746     32,928
7 Republic of Serbia  3.125%   5/15/27    22,997     23,071
  Republic of South Africa  4.300%  10/12/28    12,855     11,623
  Republic of South Africa  4.850%   9/30/29    20,000     18,078
  Republic of South Africa  5.750%   9/30/49     6,600      4,948
  Republic of Uzbekistan  3.900%  10/19/31     6,738      5,556
7 Romania  6.625%   9/27/29     9,450     10,894
7 Romania  1.750%   7/13/30    28,160     24,010
7 Romania  2.750%   4/14/41     8,916      6,276
  Sharjah Sukuk Program Ltd.  3.854%    4/3/26     4,057      3,908
  Socialist Republic of Vietnam  4.800%  11/19/24    10,000      9,801
8 United Kingdom Gilt  2.750%    9/7/24     8,959     11,207
  United Mexican States  5.400%    2/9/28    18,435     18,688
  United Mexican States  4.500%   4/22/29    16,169     15,675
  United Mexican States  2.659%   5/24/31    45,913     38,200
  United Mexican States  4.875%   5/19/33    24,450     23,458
  United Mexican States  6.350%    2/9/35    49,243     51,853
  United Mexican States  6.338%    5/4/53     8,623      8,836
  Uzbekneftegaz JSC  4.750%  11/16/28    18,889     15,819
Total Sovereign Bonds (Cost $622,768) 598,975
Taxable Municipal Bonds (0.3%)
  Massachusetts School Building Authority Sales Tax Revenue  1.753%   8/15/30    25,540     21,305
14 New Jersey Economic Development Authority Appropriations Revenue  7.425%   2/15/29    10,675     11,479
  New York State Dormitory Authority Income Tax Revenue  5.289%   3/15/33       663        670
 
62

 

Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  New York State Dormitory Authority Lease Revenue  3.892%   12/1/24     2,000      1,962
  New York State Urban Development Corp. Income Tax Revenue  3.900%   3/15/33       400        373
  New York Transportation Development Corp. Miscellaneous Revenue  4.248%    9/1/35     3,890      3,763
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  5.859%   12/1/24     2,000      2,007
  Regents of the University of California Medical Center Pooled Health, Hospital, Nursing Home Revenue  4.132%   5/15/32     8,000      7,572
  San Diego County Regional Airport Authority Port, Airport & Marina Revenue  5.594%    7/1/43     5,880      5,546
  Sonoma County CA Miscellaneous Revenue  6.000%   12/1/29     4,010      4,128
  State Board of Administration Finance Corp. Miscellaneous Revenue  2.154%    7/1/30    19,000     15,770
  Texas Natural Gas Securitization Finance Corp. Natural Gas Revenue  5.102%    4/1/35     5,000      5,014
  Texas Private Activity Bond Surface Transportation Corp. Highway Revenue  3.922%  12/31/49     8,550      6,809
  University of California College & University Revenue  1.614%   5/15/30     5,025      4,162
Total Taxable Municipal Bonds (Cost $95,496) 90,560
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.8%)
Money Market Fund (0.8%)
15 Vanguard Market Liquidity Fund (Cost $258,323)  5.274%           2,583,744           258,323
Total Investments (99.6%) (Cost $33,586,019) 30,886,696
Other Assets and Liabilities—Net (0.4%) 134,766
Net Assets (100%) 31,021,462
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $1,172,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $28,843,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 Securities with a value of $39,547,000 have been segregated as initial margin for open futures contracts.
4 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 July 31, 2023, the aggregate value was $1,210,184,000, representing 3.9% of net assets.
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 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7 Face amount denominated in euro.
8 Face amount denominated in British pounds.
9 Guaranteed by the Republic of Azerbaijan.
10 Face amount denominated in Australian dollars.
11 Non-income-producing security—security in default.
12 Security value determined using significant unobservable inputs.
13 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  3M—3-month.
  DAC—Designated Activity Company.
  LIBOR—London Interbank Offered Rate.
  REIT—Real Estate Investment Trust.
  SOFR—Secured Overnight Financing Rate.
  SOFR30A—30 Day Average Secured Overnight Financing Rate.
  TSFR1M—CME Term Secured Overnight Financing Rate 1-Month.
  TSFR3M—CME Term Secured Overnight Financing Rate 3-Month.
  USD—U.S. dollar.
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
5-Year U.S. Treasury Note September 2023 758 80,970 (155)
10-Year U.S. Treasury Note September 2023 6,254 696,735 (7,184)
Euro-Schatz September 2023 29 3,350 (24)
Ultra 10-Year U.S. Treasury Note September 2023 4,956 579,775 (2,811)
        (10,174)
 
63

 

Intermediate-Term Investment-Grade Fund
Futures Contracts (continued)
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts        
2-Year U.S. Treasury Note September 2023 (1,024) (207,904) 555
10-Year Japanese Government Bond September 2023 (201) (207,407) 1,833
AUD 3-Year Treasury Bond September 2023 (1,179) (83,951) 155
AUD 10-Year Treasury Bond September 2023 (400) (31,129) 347
Euro-Bobl September 2023 (1,106) (140,928) 1,357
Euro-Bund September 2023 (1,399) (204,581) 2,952
Euro-Buxl September 2023 (156) (23,083) 439
Long Gilt September 2023 (178) (21,960) (16)
Long U.S. Treasury Bond September 2023 (647) (80,511) 1,411
Ultra Long U.S. Treasury Bond September 2023 (1,714) (226,623) 4,068
        13,101
        2,927
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
State Street Bank & Trust Co. 9/20/23 AUD 2,318 USD 1,575 — (15)
JPMorgan Chase Bank, N.A. 9/20/23 EUR 8,736 USD 9,626 4 —
Royal Bank of Canada 9/20/23 EUR 4,040 USD 4,456 — (3)
Wells Fargo Bank N.A. 9/20/23 EUR 2,562 USD 2,888 — (63)
Morgan Stanley Capital Services Inc. 9/20/23 EUR 2,212 USD 2,481 — (42)
HSBC Bank plc 9/20/23 GBP 20,200 USD 25,991 — (61)
HSBC Bank plc 9/20/23 GBP 4,266 USD 5,475 — —
Standard Chartered Bank 9/20/23 GBP 1,596 USD 2,046 2 —
JPMorgan Chase Bank, N.A. 9/20/23 JPY 177,254 USD 1,266 — (9)
Standard Chartered Bank 9/20/23 JPY 170,663 USD 1,210 — (1)
Morgan Stanley Capital Services Inc. 9/20/23 JPY 114,457 USD 824 — (13)
BNP Paribas 9/20/23 USD 188,815 AUD 274,031 4,419 —
Bank of New York 9/20/23 USD 3,122 AUD 4,668 — (19)
State Street Bank & Trust Co. 9/20/23 USD 455,956 EUR 404,852 9,693 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 14,080 EUR 12,753 23 —
HSBC Bank plc 9/20/23 USD 4,145 EUR 3,735 27 —
UBS AG 9/20/23 USD 3,236 EUR 2,912 26 —
Citibank, N.A. 9/20/23 USD 2,116 EUR 1,896 26 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 78,030 GBP 60,790 — (3)
State Street Bank & Trust Co. 9/20/23 USD 2,865 GBP 2,221 14 —
Bank of New York 9/20/23 USD 2,745 GBP 2,155 — (21)
State Street Bank & Trust Co. 9/20/23 USD 1,152 GBP 905 — (10)
Bank of Montreal 9/20/23 USD 1,906 JPY 266,239 20 —
64

 

Intermediate-Term Investment-Grade Fund
Forward Currency Contracts (continued)
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Morgan Stanley Capital Services Inc. 9/20/23 USD 1,342 JPY 186,826 18 —
Bank of Montreal 9/20/23 USD 790 JPY 112,080 — (5)
            14,272 (265)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-HY-S40-V1 6/21/28 USD 157,910 5.000 6,589 1,448
CDX-NA-IG-S40-V1 6/21/28 USD 670,184 1.000 11,591 7,896
          18,180 9,344
 
Credit Protection Purchased            
iTraxx Europe-S39-V1 6/21/28 EUR 42,200 (1.000) (724) (176)
          17,456 9,168
1 Periodic premium received/paid quarterly.
EUR—euro.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000)1 		Periodic
Premium
Received
(Paid)
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Ally Financial Inc./Baa3 12/23/25 GSI 1,630 1.000 (30) 6 — (36)
American Express Co./A2 12/23/25 GSI 1,630 1.000 32 26 6 —
American International Group Inc./Baa2 12/23/25 GSI 1,630 1.000 21 11 10 —
Berkshire Hathaway Inc./Aa2 12/21/24 BARC 19,400 1.000 266 160 106 —
Berkshire Hathaway Inc./Aa2 12/21/24 JPMC 9,400 1.000 129 75 54 —
Boeing Co./Baa2 12/23/25 GSI 1,630 1.000 20 (5) 25 —
Chubb INA Holdings Inc./A3 12/23/25 GSI 1,630 1.000 34 29 5 —
Comcast Corp./A3 12/23/25 GSI 1,630 1.000 28 23 5 —
CVS Health Corp./Baa2 12/23/25 GSI 1,630 1.000 28 18 10 —
Dominion Energy Inc./Baa2 12/23/25 GSI 1,630 1.000 27 23 4 —
Dow Chemical Co./Baa1 12/23/25 GSI 1,630 1.000 22 15 7 —
Enbridge Inc./Baa1 12/23/25 GSI 1,630 1.000 19 13 6 —
General Electric Co./Baa1 12/23/25 GSI 1,630 1.000 21 4 17 —
65

 

Intermediate-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000)1 		Periodic
Premium
Received
(Paid)
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
General Motors Co./Baa3 12/23/25 GSI 1,630 1.000 5 (1) 6 —
International Business Machines Corp./A3 12/23/25 GSI 1,630 1.000 30 24 6 —
Kroger Co./Baa1 12/23/25 GSI 1,630 1.000 26 18 8 —
Lincoln National Corp./Baa1 12/23/25 GSI 1,630 1.000 (24) 10 — (34)
Lowe's Cos. Inc./Baa1 12/23/25 GSI 1,630 1.000 30 24 6 —
Marathon Petroleum Corp./Baa2 12/23/25 GSI 1,630 1.000 24 7 17 —
Marsh & McLennan Cos. Inc./Baa1 12/23/25 GSI 1,630 1.000 34 28 6 —
Metlife Inc./A3 6/21/24 BARC 24,300 1.000 144 4 140 —
Metlife Inc./A3 12/23/25 GSI 1,630 1.000 16 18 — (2)
Mondelez International Inc./Baa1 12/23/25 GSI 1,630 1.000 29 21 8 —
Prudential Financial Inc./A3 12/23/25 GSI 1,630 1.000 17 18 — (1)
Republic of Chile/A2 6/21/28 BNPSW 16,690 1.000 292 (65) 357 —
Republic of Chile/A2 6/21/28 MSCS 46,815 1.000 819 (462) 1,281 —
Republic of Peru/Baa1 6/21/28 GSI 2,612 1.000 36 (21) 57 —
Republic of South Africa/Ba2 6/21/28 BANA 7,250 1.000 (383) (535) 152 —
Simon Property Group LP/A3 12/23/25 GSI 1,630 1.000 22 11 11 —
UnitedHealth Group Inc./A3 12/23/25 GSI 1,630 1.000 30 25 5 —
Verizon Communications Inc./Baa1 12/23/25 GSI 1,630 1.000 11 18 — (7)
          1,775 (460) 2,315 (80)
 
Credit Protection Purchased
Bouygues SA 6/21/28 JPMC 23,300 (1.000) (670) (475) — (195)
          1,105 (935) 2,315 (275)
1 Periodic premium received/paid quarterly.
BANA—Bank of America, N.A.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
At July 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $15,933,000 and cash of $520,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
66

 

Intermediate-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $33,327,696) 30,628,373
Affiliated Issuers (Cost $258,323) 258,323
Total Investments in Securities 30,886,696
Investment in Vanguard 1,058
Cash 162
Foreign Currency, at Value (Cost $5,691) 5,688
Receivables for Investment Securities Sold 154,475
Receivables for Accrued Income 323,720
Receivables for Capital Shares Issued 25,114
Swap Premiums Paid 629
Variation Margin Receivable—Futures Contracts 3,441
Unrealized Appreciation—Forward Currency Contracts 14,272
Unrealized Appreciation—Over-the-Counter Swap Contracts 2,315
Other Assets 100
Total Assets 31,417,670
Liabilities  
Payables for Investment Securities Purchased 316,435
Payables for Capital Shares Redeemed 61,261
Payables for Distributions 14,981
Payables to Vanguard 1,424
Swap Premiums Received 1,564
Unrealized Depreciation—Forward Currency Contracts 265
Variation Margin Payable—Centrally Cleared Swap Contracts 3
Unrealized Depreciation—Over-the-Counter Swap Contracts 275
Total Liabilities 396,208
Net Assets 31,021,462
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 36,340,757
Total Distributable Earnings (Loss) (5,319,295)
Net Assets 31,021,462
 
Investor Shares—Net Assets  
Applicable to 172,852,018 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,458,129
Net Asset Value Per Share—Investor Shares $8.44
 
Admiral Shares—Net Assets  
Applicable to 3,504,548,363 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		29,563,333
Net Asset Value Per Share—Admiral Shares $8.44
See accompanying Notes, which are an integral part of the Financial Statements.
67

 

Intermediate-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 604,927
Total Income 604,927
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,720
Management and Administrative—
Investor Shares 		1,305
Management and Administrative—
Admiral Shares 		11,896
Marketing and Distribution—
Investor Shares 		50
Marketing and Distribution—
Admiral Shares 		873
Custodian Fees 117
Shareholders’ Reports—Investor Shares 24
Shareholders’ Reports—Admiral Shares 167
Trustees’ Fees and Expenses 8
Other Expenses 9
Total Expenses 16,169
Expenses Paid Indirectly (58)
Net Expenses 16,111
Net Investment Income 588,816
Realized Net Gain (Loss)  
Investment Securities Sold1 (730,237)
Futures Contracts (30,473)
Options Purchased (3,466)
Swap Contracts 22,833
Forward Currency Contracts (1,726)
Foreign Currencies 811
Realized Net Gain (Loss) (742,258)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 52,450
Futures Contracts (1,606)
Options Purchased 3,051
Swap Contracts 879
Forward Currency Contracts 11,350
Foreign Currencies (210)
Change in Unrealized Appreciation (Depreciation) 65,914
Net Increase (Decrease) in Net Assets Resulting from Operations (87,528)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,269,000, ($8,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 588,816   938,958
Realized Net Gain (Loss) (742,258)   (1,878,583)
Change in Unrealized Appreciation (Depreciation) 65,914   (1,917,336)
Net Increase (Decrease) in Net Assets Resulting from Operations (87,528)   (2,856,961)
Distributions      
Investor Shares (27,842)   (48,031)
Admiral Shares (571,878)   (928,367)
Total Distributions (599,720)   (976,398)
Capital Share Transactions      
Investor Shares (30,549)   (173,065)
Admiral Shares 648,694   (810,969)
Net Increase (Decrease) from Capital Share Transactions 618,145   (984,034)
Total Increase (Decrease) (69,103)   (4,817,393)
Net Assets      
Beginning of Period 31,090,565   35,907,958
End of Period 31,021,462   31,090,565
 
See accompanying Notes, which are an integral part of the Financial Statements.
68

 

Intermediate-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $8.62 $9.67 $10.39 $10.23 $9.52 $9.61
Investment Operations            
Net Investment Income1 .157 .253 .218 .252 .300 .300
Net Realized and Unrealized Gain (Loss) on Investments (.177) (1.039) (.550) .500 .711 (.087)
Total from Investment Operations (.020) (.786) (.332) .752 1.011 .213
Distributions            
Dividends from Net Investment Income (.160) (.264) (.224) (.257) (.301) (.303)
Distributions from Realized Capital Gains — — (.164) (.335) — —
Total Distributions (.160) (.264) (.388) (.592) (.301) (.303)
Net Asset Value, End of Period $8.44 $8.62 $9.67 $10.39 $10.23 $9.52
Total Return2 -0.23% -8.09% -3.27% 7.49% 10.76% 2.31%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,458 $1,521 $1,895 $2,305 $2,459 $2,115
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.73% 2.91% 2.16% 2.41% 3.03% 3.20%
Portfolio Turnover Rate4 42% 93% 82% 113%5 114% 73%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 2%, 11%, 1%, 12%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $8.62 $9.67 $10.39 $10.23 $9.52 $9.61
Investment Operations            
Net Investment Income1 .161 .262 .228 .261 .309 .310
Net Realized and Unrealized Gain (Loss) on Investments (.177) (1.040) (.550) .501 .712 (.087)
Total from Investment Operations (.016) (.778) (.322) .762 1.021 .223
Distributions            
Dividends from Net Investment Income (.164) (.272) (.234) (.267) (.311) (.313)
Distributions from Realized Capital Gains — — (.164) (.335) — —
Total Distributions (.164) (.272) (.398) (.602) (.311) (.313)
Net Asset Value, End of Period $8.44 $8.62 $9.67 $10.39 $10.23 $9.52
Total Return2 -0.18% -8.00% -3.17% 7.59% 10.87% 2.41%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $29,563 $29,569 $34,013 $35,093 $31,146 $27,011
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.83% 3.02% 2.25% 2.50% 3.13% 3.30%
Portfolio Turnover Rate4 42% 93% 82% 113%5 114% 73%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 2%, 11%, 1%, 12%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
69

 

Intermediate-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Intermediate-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services.
Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. 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).
3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
70

 

Intermediate-Term Investment-Grade Fund
5. Floating Rate Loan Interests: Floating rate loan interests represent interests in amounts owed by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the fund to supply additional cash to the borrower on demand. Floating rate loan interests may be made directly with a borrower or acquired through assignment or participation. The fund’s right to enforce a borrower’s compliance with the terms of the loan agreement, or benefit directly from the collateral supporting the loan, varies when the loan is a direct borrowing, an assignment, or a participation. Floating rate loan interests involve various risks including risk of loss in case of default, insolvency, or the bankruptcy of the borrower and are generally subject to restrictions on transfer with limited opportunities to sell them in secondary markets. The fund may also invest in loan commitments, which are contractual obligations for a future funding. The fund may earn a commitment fee on any unfunded portion of these commitments which is amortized to interest income over the commitment period. Both the funded portion of a floating rate loan interest as well as its unfunded commitment, if any, is reflected on the Schedule of Investments.
6. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption 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 swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded in the Statement of Assets and Liabilities as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded in the Statement of Assets and Liabilities as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of swaptions are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains(losses) are recognized.
During the six months ended July 31, 2023, the fund’s average value of investments in swaptions purchased and swaptions written represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.
7. 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
71

 

Intermediate-Term Investment-Grade 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. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 5% and 4% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
8. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.
The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2023, the fund’s average investment in forward currency contracts represented 3% of net assets, based on the average of the notional amounts at each quarter-end during the period.
9. 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 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
72

 

Intermediate-Term Investment-Grade Fund
clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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.
During the six months ended July 31, 2023, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 3% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
10. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
11. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
12. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either
73

 

Intermediate-Term Investment-Grade Fund
facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
13. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,058,000, representing less than 0.01% of the fund’s net assets and 0.42% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $58,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
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Intermediate-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 2,570,561 — 2,570,561
Asset-Backed/Commercial Mortgage-Backed Securities — 227,279 — 227,279
Corporate Bonds — 27,111,999 3 27,112,002
Floating Rate Loan Interests — 28,996 — 28,996
Sovereign Bonds — 598,975 — 598,975
Taxable Municipal Bonds — 90,560 — 90,560
Temporary Cash Investments 258,323 — — 258,323
Total 258,323 30,628,370 3 30,886,696
Derivative Financial Instruments         
Assets        
Futures Contracts1 13,117 — — 13,117
Forward Currency Contracts — 14,272 — 14,272
Swap Contracts 9,3441 2,315 — 11,659
Total 22,461 16,587 — 39,048
Liabilities        
Futures Contracts1 10,190 — — 10,190
Forward Currency Contracts — 265 — 265
Swap Contracts 1761 275 — 451
Total 10,366 540 — 10,906
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2023, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Swap Premiums Paid — — 629 629
Unrealized Appreciation—Futures Contracts1 13,117 — — 13,117
Unrealized Appreciation—Centrally Cleared Swap Contracts1 — — 9,344 9,344
Unrealized Appreciation—Forward Currency Contracts — 14,272 — 14,272
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 2,315 2,315
Total Assets 13,117 14,272 12,288 39,677
         
Swap Premiums Received — — 1,564 1,564
Unrealized Depreciation—Futures Contracts1 10,190 — — 10,190
Unrealized Depreciation—Centrally Cleared Swap Contracts1 — — 176 176
Unrealized Depreciation—Forward Currency Contracts — 265 — 265
Unrealized Depreciation—
Over-the-Counter Swap Contracts 		— — 275 275
Total Liabilities 10,190 265 2,015 12,470
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
75

 

Intermediate-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2023, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts (30,473) — — (30,473)
Options Purchased (2,880) — (586) (3,466)
Swap Contracts — — 22,833 22,833
Forward Currency Contracts — (1,726) — (1,726)
Realized Net Gain (Loss) on Derivatives (33,353) (1,726) 22,247 (12,832)
Change in Unrealized Appreciation (Depreciation)
on Derivatives 		       
Futures Contracts (1,606) — — (1,606)
Options Purchased 2,880 — 171 3,051
Swap Contracts — — 879 879
Forward Currency Contracts — 11,350 — 11,350
Change in Unrealized Appreciation (Depreciation) on Derivatives 1,274 11,350 1,050 13,674
F. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 33,598,284
Gross Unrealized Appreciation 141,693
Gross Unrealized Depreciation (2,826,074)
Net Unrealized Appreciation (Depreciation) (2,684,381)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $1,887,648,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended July 31, 2023, the fund purchased $7,612,951,000 of investment securities and sold $7,217,537,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $5,330,952,000 and $5,688,353,000, respectively.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended July 31, 2023, such purchases were $692,000 and sales were $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 114,242 13,488   242,343 28,167
Issued in Lieu of Cash Distributions 24,543 2,896   42,584 4,941
Redeemed (169,334) (19,970)   (457,992) (52,676)
Net Increase (Decrease)—Investor Shares (30,549) (3,586)   (173,065) (19,568)
76

 

Intermediate-Term Investment-Grade Fund
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Admiral Shares          
Issued 3,069,057 362,081   6,368,494 736,413
Issued in Lieu of Cash Distributions 490,744 57,909   795,930 92,412
Redeemed (2,911,107) (344,368)   (7,975,393) (917,389)
Net Increase (Decrease)—Admiral Shares 648,694 75,622   (810,969) (88,564)
I. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
J. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
77

 

Long-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2023
Asset-Backed/Commercial Mortgage-Backed Securities 0.3%
Corporate Bonds - Communications 6.2
Corporate Bonds - Consumer Discretionary 5.7
Corporate Bonds - Consumer Staples 5.4
Corporate Bonds - Energy 5.6
Corporate Bonds - Financials 16.6
Corporate Bonds - Health Care 11.3
Corporate Bonds - Industrials 4.5
Corporate Bonds - Materials 0.9
Corporate Bonds - Real Estate 0.5
Corporate Bonds - Technology 10.3
Corporate Bonds - Utilities 15.9
Floating Rate Loan Interests 0.0
Sovereign Bonds 1.3
Taxable Municipal Bonds 9.6
U.S. Government and Agency Obligations 5.9
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
78

 

Long-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (5.8%)
U.S. Government Securities (5.2%)
  United States Treasury Note/Bond  3.750%  4/15/26   3,540      3,464
  United States Treasury Note/Bond  3.625%  5/15/26   4,219      4,116
  United States Treasury Note/Bond  2.625%  5/31/27  10,025      9,420
  United States Treasury Note/Bond  1.250%  3/31/28   6,607      5,781
  United States Treasury Note/Bond  1.250%  4/30/28   7,604      6,642
  United States Treasury Note/Bond  1.250%  6/30/28   2,757      2,399
  United States Treasury Note/Bond  3.500%  4/30/30  14,452     13,951
  United States Treasury Note/Bond  3.750%  5/31/30   4,869      4,772
  United States Treasury Note/Bond  3.500%  2/15/33   6,392      6,160
  United States Treasury Note/Bond  3.375%  5/15/33  57,542     54,881
  United States Treasury Note/Bond  4.375%  2/15/38   8,118      8,491
  United States Treasury Note/Bond  4.500%  5/15/38  76,616     81,069
  United States Treasury Note/Bond  4.250%  5/15/39  15,529     15,951
  United States Treasury Note/Bond  4.500%  8/15/39  10,000     10,563
1 United States Treasury Note/Bond  1.125%  8/15/40   8,590      5,394
  United States Treasury Note/Bond  1.375% 11/15/40  50,000     32,703
  United States Treasury Note/Bond  2.000% 11/15/41  11,871      8,516
  United States Treasury Note/Bond  2.375%  2/15/42  48,475     36,977
  United States Treasury Note/Bond  3.000%  5/15/42   9,822      8,272
1,2 United States Treasury Note/Bond  3.250%  5/15/42  91,920     80,387
1,2 United States Treasury Note/Bond  3.375%  8/15/42 103,385     91,964
1 United States Treasury Note/Bond  2.750% 11/15/42  17,100     13,776
  United States Treasury Note/Bond  3.875%  2/15/43  33,010     31,545
  United States Treasury Note/Bond  3.875%  5/15/43  27,500     26,293
  United States Treasury Note/Bond  3.000%  5/15/45  22,415     18,482
  United States Treasury Note/Bond  2.250%  8/15/46  20,000     14,225
  United States Treasury Note/Bond  3.000%  5/15/47   5,604      4,595
  United States Treasury Note/Bond  2.750%  8/15/47  22,000     17,218
  United States Treasury Note/Bond  3.125%  5/15/48  27,738     23,283
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond  3.375% 11/15/48  44,000     38,686
1,2 United States Treasury Note/Bond  2.000%  8/15/51  31,483     20,813
2 United States Treasury Note/Bond  2.250%  2/15/52   5,333      3,739
2 United States Treasury Note/Bond  2.875%  5/15/52  31,561     25,407
  United States Treasury Note/Bond  3.000%  8/15/52  10,930      9,029
  United States Treasury Note/Bond  4.000% 11/15/52  11,339     11,330
  United States Treasury Note/Bond  3.625%  2/15/53  41,266     38,493
  United States Treasury Note/Bond  3.625%  5/15/53  40,973     38,284
  United States Treasury Strip Principal  0.000%  2/15/48  15,000      5,494
                                          832,565
Agency Bonds and Notes (0.3%)
  Tennessee Valley Authority  5.250%  9/15/39  33,800     35,373
  Tennessee Valley Authority  4.250%  9/15/65  10,000      8,788
                                          44,161
Conventional Mortgage-Backed Securities (0.3%)
3,4 Fannie Mae Pool  2.320%   4/1/36  37,423     28,826
3,4 Fannie Mae Pool  2.120%  10/1/36  23,000     17,076
                                          45,902
Total U.S. Government and Agency Obligations (Cost $1,009,138) 922,628
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)
3,5 Blackstone Holdings Finance Co. LLC  2.800%  9/30/50     550        316
3,4 FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K1521  2.184%  8/25/36  21,675     16,032
3,4 FHLMC Multifamily Structured Pass Through Certificates Class A2 Series K-1522  2.361% 10/25/36  29,170     22,236
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $52,557) 38,584
Corporate Bonds (80.4%)
Communications (6.0%)
  Alphabet Inc.  1.900%  8/15/40  33,925     23,178
  Alphabet Inc.  2.250%  8/15/60  15,758      9,481
  America Movil SAB de CV  4.375%  4/22/49  34,805     29,896
  AT&T Inc.  5.400%  2/15/34   7,536      7,414
6 AT&T Inc.  7.000%  4/30/40     600        817
  AT&T Inc.  3.500%   6/1/41  10,800      8,042
  AT&T Inc.  4.650%   6/1/44   1,520      1,278
  AT&T Inc.  3.650%   6/1/51  13,690      9,672
  AT&T Inc.  3.800%  12/1/57   3,697      2,570
5 Cable One Inc.  4.000% 11/15/30      32         25
5 CCO Holdings LLC / CCO Holdings Capital Corp.  6.375%   9/1/29     240        229
5 CCO Holdings LLC / CCO Holdings Capital Corp.  4.750%   3/1/30     440        381
79

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
6 CK Hutchison Group Telecom Finance SA  2.625% 10/17/34     300        260
  Comcast Corp.  5.650%  6/15/35  17,897     18,746
  Comcast Corp.  6.500% 11/15/35   4,320      4,843
  Comcast Corp.  3.200%  7/15/36  16,810     13,825
  Comcast Corp.  3.900%   3/1/38  39,335     33,959
  Comcast Corp.  4.600% 10/15/38   7,024      6,521
  Comcast Corp.  3.250%  11/1/39  14,540     11,465
  Comcast Corp.  3.750%   4/1/40  12,100     10,125
  Comcast Corp.  4.500%  1/15/43   1,184        997
  Comcast Corp.  4.750%   3/1/44   5,045      4,632
  Comcast Corp.  3.400%  7/15/46  14,755     11,073
  Comcast Corp.  4.000%  8/15/47  18,875     15,494
  Comcast Corp.  3.969%  11/1/47  80,688     66,588
  Comcast Corp.  4.000%   3/1/48  12,025      9,976
  Comcast Corp.  4.700% 10/15/48   6,335      5,852
  Comcast Corp.  3.999%  11/1/49  30,176     24,713
  Comcast Corp.  3.450%   2/1/50   8,500      6,375
  Comcast Corp.  2.800%  1/15/51   7,000      4,578
  Comcast Corp.  2.887%  11/1/51  43,903     29,173
  Comcast Corp.  2.450%  8/15/52   2,000      1,221
  Comcast Corp.  4.049%  11/1/52   3,837      3,159
  Comcast Corp.  5.350%  5/15/53  32,620     32,773
  Comcast Corp.  2.937%  11/1/56 117,626     75,505
  Comcast Corp.  4.950% 10/15/58   1,266      1,208
  Comcast Corp.  2.650%  8/15/62   3,000      1,781
  Comcast Corp.  2.987%  11/1/63 112,190     70,362
  Comcast Corp.  5.500%  5/15/64  25,320     25,378
5 CSC Holdings LLC  5.750%  1/15/30     105         54
5 CSC Holdings LLC  4.625%  12/1/30     161         81
5 CSC Holdings LLC  3.375%  2/15/31     105         73
5 Deutsche Telekom AG  3.625%  1/21/50   3,180      2,355
5 Directv Financing LLC / Directv Financing Co-Obligor Inc.  5.875%  8/15/27     295        266
  Discovery Communications LLC  4.650%  5/15/50   9,000      6,819
5 DISH DBS Corp.  5.250%  12/1/26     140        115
5 DISH DBS Corp.  5.750%  12/1/28      90         69
  DISH DBS Corp.  5.125%   6/1/29     168         85
5 DISH Network Corp. 11.750% 11/15/27     215        216
5 Frontier Communications Holdings LLC  5.000%   5/1/28     120        102
5 Frontier Communications Holdings LLC  6.000%  1/15/30      80         58
5 Level 3 Financing Inc.  3.400%   3/1/27      15         13
5 Level 3 Financing Inc.  4.625%  9/15/27     118         89
5 Level 3 Financing Inc.  3.625%  1/15/29      70         46
5 Level 3 Financing Inc.  3.875% 11/15/29      45         38
5 Level 3 Financing Inc. 10.500%  5/15/30      25         26
5 Lumen Technologies Inc.  4.000%  2/15/27      35         23
  Meta Platforms Inc.  4.950%  5/15/33  15,000     15,098
  Meta Platforms Inc.  4.450%  8/15/52   3,380      2,953
  Meta Platforms Inc.  5.600%  5/15/53  69,735     71,761
  Meta Platforms Inc.  5.750%  5/15/63  29,380     30,431
  NBCUniversal Media LLC  4.450%  1/15/43   8,827      7,869
5 News Corp.  3.875%  5/15/29     340        300
5 Nexstar Media Inc.  5.625%  7/15/27      82         77
5 Nexstar Media Inc.  4.750%  11/1/28     285        251
  Orange SA  5.375%  1/13/42   1,000        986
  Paramount Global Inc.  4.375%  3/15/43  11,065      7,666
  Paramount Global Inc.  4.950%  5/19/50   1,330        984
5 Scripps Escrow II Inc.  5.375%  1/15/31      65         50
5 Scripps Escrow Inc.  5.875%  7/15/27     155        130
5 Sirius XM Radio Inc.  5.000%   8/1/27      99         92
  Telefonica Emisiones SA  4.665%   3/6/38     950        808
  Telefonica Emisiones SA  5.213%   3/8/47   2,000      1,737
  Telefonica Emisiones SA  4.895%   3/6/48   2,475      2,057
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Time Warner Cable LLC  6.550%   5/1/37   7,275      6,993
  T-Mobile USA Inc.  3.000%  2/15/41   2,000      1,448
  T-Mobile USA Inc.  5.750%  1/15/54   7,420      7,567
  T-Mobile USA Inc.  5.800%  9/15/62  14,850     14,874
  TWDC Enterprises 18 Corp.  3.000%  7/30/46   5,837      4,096
5 Univision Communications Inc.  7.375%  6/30/30     155        151
5 UPC Broadband Finco BV  4.875%  7/15/31     135        114
7 Verizon Communications Inc.  2.875%  1/15/38     500        465
7 Verizon Communications Inc.  1.850%  5/18/40     200        155
  Verizon Communications Inc.  3.400%  3/22/41   5,528      4,200
5 Videotron Ltd.  3.625%  6/15/29     215        187
7 Vodafone Group plc  2.500%  5/24/39     400        349
  Vodafone Group plc  5.625%  2/10/53   3,205      3,107
5 VZ Secured Financing BV  5.000%  1/15/32     170        138
  Walt Disney Co.  6.200% 12/15/34   3,326      3,632
  Walt Disney Co.  6.400% 12/15/35  17,218     19,165
  Walt Disney Co.  6.650% 11/15/37   2,710      3,090
  Walt Disney Co.  3.500%  5/13/40  58,715     47,901
  Walt Disney Co.  4.750%  9/15/44  10,464      9,786
  Walt Disney Co.  2.750%   9/1/49  58,270     38,418
  Walt Disney Co.  3.600%  1/13/51  23,954     18,517
  Warnermedia Holdings Inc.  5.050%  3/15/42  10,535      8,777
  Warnermedia Holdings Inc.  5.141%  3/15/52  22,740     18,423
  Warnermedia Holdings Inc.  5.391%  3/15/62  10,460      8,498
5 WMG Acquisition Corp.  3.750%  12/1/29     580        508
5 Zayo Group Holdings Inc.  4.000%   3/1/27     350        250
                                          958,152
Consumer Discretionary (5.5%)
5 1011778 BC ULC / New Red Finance Inc.  4.375%  1/15/28     203        187
  Alibaba Group Holding Ltd.  4.000%  12/6/37  31,000     25,950
  Alibaba Group Holding Ltd.  4.200%  12/6/47  14,873     11,628
  Alibaba Group Holding Ltd.  4.400%  12/6/57  13,080     10,162
  Amazon.com Inc.  3.875%  8/22/37  37,355     33,826
  Amazon.com Inc.  2.875%  5/12/41   4,500      3,435
  Amazon.com Inc.  4.950%  12/5/44   5,860      5,880
  Amazon.com Inc.  4.050%  8/22/47  80,075     70,802
  Amazon.com Inc.  2.500%   6/3/50  28,720     18,726
  Amazon.com Inc.  3.100%  5/12/51  22,740     16,649
  Amazon.com Inc.  3.950%  4/13/52   5,625      4,822
  Amazon.com Inc.  4.250%  8/22/57  46,971     41,487
  Amazon.com Inc.  2.700%   6/3/60  22,830     14,404
  Amazon.com Inc.  3.250%  5/12/61  31,975     22,794
  Amazon.com Inc.  4.100%  4/13/62  33,035     28,140
5 American Builders & Contractors Supply Co. Inc.  3.875% 11/15/29      75         65
3 American University  3.672%   4/1/49   2,563      2,024
  Asbury Automotive Group Inc.  4.500%   3/1/28   1,130      1,035
5 Boyne USA Inc.  4.750%  5/15/29      20         18
  Brown University  2.924%   9/1/50   1,600      1,142
5 Caesars Resort Collection LLC / CRC Finco Inc.  5.750%   7/1/25     168        170
  California Institute of Technology  3.650%   9/1/19   4,242      2,834
5 Camelot Return Merger Sub Inc.  8.750%   8/1/28     310        303
5 Carnival Corp.  5.750%   3/1/27     360        333
5 Carnival Corp.  9.875%   8/1/27      40         42
5 Carnival Corp.  4.000%   8/1/28     240        213
5 Carnival Corp. 10.500%   6/1/30      10         11
5 Carnival Holdings Bermuda Ltd. 10.375%   5/1/28      70         76
  Case Western Reserve University  5.405%   6/1/22   1,893      1,796
5 CDI Escrow Issuer Inc.  5.750%   4/1/30      25         23
 
80

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op  5.500%   5/1/25     180        178
5 Churchill Downs Inc.  5.500%   4/1/27     210        203
5 Churchill Downs Inc.  4.750%  1/15/28     288        266
5 Clarios Global LP  6.750%  5/15/25      31         31
5 Clarios Global LP / Clarios US Finance Co.  8.500%  5/15/27     125        127
5 Clarios Global LP / Clarios US Finance Co.  6.750%  5/15/28       8          8
  Dana Inc.  4.500%  2/15/32     160        134
3 Duke University  2.682%  10/1/44   3,100      2,280
3 Duke University  2.832%  10/1/55  10,635      7,217
5 ERAC USA Finance LLC  4.900%   5/1/33   8,305      8,175
5 ERAC USA Finance LLC  5.400%   5/1/53   9,560      9,570
  Ford Foundation  2.815%   6/1/70   1,950      1,210
  Ford Motor Co.  9.625%  4/22/30      10         12
  Ford Motor Credit Co. LLC  3.815%  11/2/27     195        175
  Ford Motor Credit Co. LLC  6.800%  5/12/28     165        167
  Ford Motor Credit Co. LLC  2.900%  2/10/29     580        485
  Ford Motor Credit Co. LLC  7.200%  6/10/30      85         87
  General Motors Co.  5.150%   4/1/38   1,000        902
  General Motors Co.  5.200%   4/1/45   1,500      1,291
  General Motors Co.  5.400%   4/1/48   1,000        872
  George Washington University  4.300%  9/15/44   2,890      2,535
  Georgetown University  4.315%   4/1/49  14,755     12,933
  Georgetown University  2.943%   4/1/50  18,790     12,680
  Georgetown University  5.215%  10/1/18   5,945      5,368
  Goodyear Tire & Rubber Co.  5.000%  7/15/29     110        101
5 Hanesbrands Inc.  9.000%  2/15/31     215        220
  Home Depot Inc.  5.875% 12/16/36  22,525     24,444
  Home Depot Inc.  3.300%  4/15/40   1,000        808
  Home Depot Inc.  5.400%  9/15/40     947        971
  Home Depot Inc.  5.950%   4/1/41  18,480     20,155
  Home Depot Inc.  4.875%  2/15/44  45,115     43,902
  Home Depot Inc.  4.400%  3/15/45  12,900     11,596
  Home Depot Inc.  4.250%   4/1/46  21,515     19,022
  Home Depot Inc.  3.900%  6/15/47  28,950     24,327
  Home Depot Inc.  4.500%  12/6/48   9,700      8,925
  Home Depot Inc.  3.125% 12/15/49   1,450      1,046
  Home Depot Inc.  3.350%  4/15/50   4,030      3,053
  Home Depot Inc.  2.375%  3/15/51     500        305
  Home Depot Inc.  2.750%  9/15/51  26,130     17,340
  Home Depot Inc.  3.625%  4/15/52   3,120      2,458
  Home Depot Inc.  3.500%  9/15/56     947        719
  Indiana University Foundation Inc.  2.820%  10/1/51   6,000      3,975
3 Johns Hopkins University  2.813%   1/1/60   2,000      1,313
  Leland Stanford Junior University  3.647%   5/1/48  16,833     14,206
  Leland Stanford Junior University  2.413%   6/1/50   1,600      1,031
5 Lithia Motors Inc.  4.625% 12/15/27     600        558
5 Lithia Motors Inc.  3.875%   6/1/29     558        481
5 Lithia Motors Inc.  4.375%  1/15/31     500        430
5 Live Nation Entertainment Inc.  5.625%  3/15/26      29         29
5 Live Nation Entertainment Inc.  6.500%  5/15/27     335        337
5 Live Nation Entertainment Inc.  3.750%  1/15/28      10          9
3 Massachusetts Institute of Technology  3.959%   7/1/38  24,140     22,085
  Massachusetts Institute of Technology  2.989%   7/1/50   1,600      1,169
  Massachusetts Institute of Technology  3.067%   4/1/52   1,600      1,179
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Institute of Technology  5.600%   7/1/11   1,920      2,117
  Massachusetts Institute of Technology  4.678%   7/1/14   1,305      1,205
5 Mattel Inc.  3.375%   4/1/26     110        102
5 Mattel Inc.  5.875% 12/15/27      84         82
5 Meritage Homes Corp.  3.875%  4/15/29     440        394
5 NCL Corp. Ltd.  5.875%  2/15/27     135        131
5 NCL Corp. Ltd.  7.750%  2/15/29      75         72
  Newell Brands Inc.  6.375%  9/15/27      60         59
  Newell Brands Inc.  6.625%  9/15/29     155        155
  NIKE Inc.  3.625%   5/1/43  30,604     25,875
  NIKE Inc.  3.375%  11/1/46  19,180     15,094
5 Nissan Motor Co. Ltd.  4.810%  9/17/30      35         32
3 Northeastern University  2.894%  10/1/50  17,647     12,064
5 Ontario Gaming GTA LP  8.000%   8/1/30      40         40
5 Penn National Gaming Inc.  5.625%  1/15/27      45         42
  President and Fellows of Harvard College  5.625%  10/1/38   2,500      2,648
5 President and Fellows of Harvard College  6.500%  1/15/39   3,709      4,346
  President and Fellows of Harvard College  4.875% 10/15/40     750        750
  President and Fellows of Harvard College  3.150%  7/15/46  17,450     13,254
  President and Fellows of Harvard College  3.745% 11/15/52  31,590     26,523
7 Robert Bosch GmbH  4.375%   6/2/43     200        221
  Rockefeller Foundation  2.492%  10/1/50  38,532     24,795
5 Royal Caribbean Cruises Ltd. 11.500%   6/1/25      11         12
5 Royal Caribbean Cruises Ltd.  8.250%  1/15/29      36         38
5 Royal Caribbean Cruises Ltd.  7.250%  1/15/30      24         24
5 Studio City Co. Ltd.  7.000%  2/15/27     105        100
  Thomas Jefferson University  3.847%  11/1/57  25,885     18,754
  Trustees of Princeton University  2.516%   7/1/50   3,115      2,099
  Trustees of Princeton University  4.201%   3/1/52  18,865     17,241
  Trustees of the University of Pennsylvania  3.610%  2/15/19  20,230     14,363
3 University of Chicago  2.761%   4/1/45  11,735      8,951
3 University of Chicago  2.547%   4/1/50  10,000      6,771
  University of Chicago  3.000%  10/1/52   5,695      4,028
3 University of Southern California  3.028%  10/1/39   2,500      2,011
  University of Southern California  4.976%  10/1/53  17,610     17,779
5 Vail Resorts Inc.  6.250%  5/15/25     595        596
7 Volkswagen International Finance NV  1.500%  1/21/41     100         70
  Washington University  3.524%  4/15/54   2,300      1,835
  Washington University  4.349%  4/15/22   1,830      1,497
5 WK Kellogg Foundation Trust  2.443%  10/1/50  42,390     26,763
5 Wyndham Hotels & Resorts Inc.  4.375%  8/15/28     240        221
  Yale University  2.402%  4/15/50  19,845     12,813
                                          878,044
Consumer Staples (5.2%)
  Altria Group Inc.  5.800%  2/14/39   5,250      5,166
  Altria Group Inc.  3.400%   2/4/41   3,750      2,612
  Altria Group Inc.  4.450%   5/6/50   1,130        847
  Anheuser-Busch Cos. LLC  6.750% 12/15/27     400        421
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.  4.700%   2/1/36  10,220      9,912
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.  4.900%   2/1/46  24,075     22,819
 
81

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Anheuser-Busch InBev Finance Inc.  4.625%   2/1/44   2,000      1,838
7 Anheuser-Busch InBev SA NV  3.700%   4/2/40     600        626
  Anheuser-Busch InBev Worldwide Inc.  4.375%  4/15/38   5,500      5,096
  Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39  12,383     16,014
  Anheuser-Busch InBev Worldwide Inc.  5.450%  1/23/39   6,000      6,185
  Anheuser-Busch InBev Worldwide Inc.  4.350%   6/1/40   6,588      6,001
  Anheuser-Busch InBev Worldwide Inc.  4.950%  1/15/42   3,800      3,698
  Anheuser-Busch InBev Worldwide Inc.  4.600%  4/15/48  13,950     12,734
  Anheuser-Busch InBev Worldwide Inc.  4.439%  10/6/48   3,130      2,789
  Anheuser-Busch InBev Worldwide Inc.  5.550%  1/23/49  62,770     65,079
  Anheuser-Busch InBev Worldwide Inc.  4.500%   6/1/50   2,685      2,443
  Anheuser-Busch InBev Worldwide Inc.  4.750%  4/15/58  12,685     11,610
  Archer-Daniels-Midland Co.  4.500%  3/15/49  18,749     17,336
  Archer-Daniels-Midland Co.  2.700%  9/15/51  21,850     14,581
5 Bacardi Ltd. / Bacardi-Martini BV  5.900%  6/15/43  12,715     12,812
  Bat Capital Corp.  7.079%   8/2/43   1,800      1,796
  Bat Capital Corp.  7.081%   8/2/53   2,190      2,186
  BAT Capital Corp.  4.390%  8/15/37   1,375      1,088
  BAT Capital Corp.  4.540%  8/15/47   3,535      2,618
  BAT Capital Corp.  4.758%   9/6/49   5,915      4,487
6 BAT International Finance plc  2.250%   9/9/52     300        155
5 Cargill Inc.  4.750%  4/24/33  11,455     11,257
5 Cargill Inc.  4.760% 11/23/45  20,000     18,716
5 Cargill Inc.  3.125%  5/25/51  13,715      9,771
5 Cargill Inc.  4.375%  4/22/52   6,210      5,511
  Coca-Cola Co.  2.500%   6/1/40   2,000      1,480
  Coca-Cola Co.  2.875%   5/5/41  10,925      8,467
  Coca-Cola Co.  2.600%   6/1/50  30,500     20,945
  Coca-Cola Co.  3.000%   3/5/51  41,520     31,025
  Coca-Cola Co.  2.500%  3/15/51  22,750     15,232
  Constellation Brands Inc.  5.250% 11/15/48   2,500      2,382
5 Coty Inc.  5.000%  4/15/26      15         14
5 Coty Inc./HFC Prestige Products Inc./HFC Prestige International US LLC  6.625%  7/15/30      30         30
  Diageo Capital plc  5.500%  1/24/33   1,640      1,727
5 Energizer Holdings Inc.  4.750%  6/15/28     310        278
  Estee Lauder Cos. Inc.  5.150%  5/15/53  19,240     19,300
  Hershey Co.  3.125% 11/15/49  25,500     18,562
5 JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance Inc.  4.375%   2/2/52   2,280      1,647
5 Kenvue Inc.  5.100%  3/22/43  12,905     12,933
5 Kenvue Inc.  5.050%  3/22/53  20,555     20,682
5 Kenvue Inc.  5.200%  3/22/63  13,235     13,329
  Keurig Dr Pepper Inc.  4.500% 11/15/45   1,000        870
  Kimberly-Clark Corp.  3.200%  7/30/46  14,400     10,760
  Kraft Heinz Foods Co.  4.875%  10/1/49   2,150      1,955
5 Lamb Weston Holdings Inc.  4.875%  5/15/28     145        138
5 Nestle Holdings Inc.  3.900%  9/24/38  38,975     34,828
5 Nestle Holdings Inc.  4.000%  9/24/48  23,255     20,308
  Pepsico Inc.  4.200%  7/18/52   2,475      2,292
  PepsiCo Inc.  4.450%  4/14/46   4,784      4,581
  PepsiCo Inc.  4.000%   5/2/47   3,250      2,957
  PepsiCo Inc.  3.375%  7/29/49   4,814      3,843
  PepsiCo Inc.  2.875% 10/15/49   3,113      2,301
  PepsiCo Inc.  2.750% 10/21/51  17,180     12,094
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PepsiCo Inc.  4.650%  2/15/53  59,960     59,476
5 Performance Food Group Inc.  6.875%   5/1/25      80         80
5 Performance Food Group Inc.  4.250%   8/1/29      40         36
  Philip Morris International Inc.  5.750% 11/17/32   2,615      2,673
  Philip Morris International Inc.  5.375%  2/15/33  17,140     17,087
  Philip Morris International Inc.  6.375%  5/16/38  14,871     16,124
7 Philip Morris International Inc.  1.450%   8/1/39     600        399
  Philip Morris International Inc.  4.375% 11/15/41   4,890      4,160
  Philip Morris International Inc.  3.875%  8/21/42   6,750      5,368
  Philip Morris International Inc.  4.125%   3/4/43  26,645     21,692
  Philip Morris International Inc.  4.875% 11/15/43   9,345      8,391
  Philip Morris International Inc.  4.250% 11/10/44   4,290      3,556
5 SC Johnson & Son Inc.  4.000%  5/15/43  28,110     22,958
  Target Corp.  3.900% 11/15/47   2,000      1,675
  Target Corp.  2.950%  1/15/52  28,895     19,946
  Target Corp.  4.800%  1/15/53   2,370      2,251
  Unilever Capital Corp.  2.625%  8/12/51   2,000      1,350
5 United Natural Foods Inc.  6.750% 10/15/28      81         68
  Walmart Inc.  3.950%  6/28/38  24,957     22,818
  Walmart Inc.  5.625%   4/1/40   1,840      1,984
  Walmart Inc.  5.625%  4/15/41   5,585      6,052
  Walmart Inc.  4.000%  4/11/43   1,326      1,183
  Walmart Inc.  3.625% 12/15/47  13,145     10,962
  Walmart Inc.  2.950%  9/24/49   3,758      2,760
  Walmart Inc.  2.650%  9/22/51   3,000      2,097
  Walmart Inc.  4.500%   9/9/52  24,965     23,987
  Walmart Inc.  4.500%  4/15/53  31,880     30,713
                                          833,010
Energy (5.4%)
5 Antero Resources Corp.  5.375%   3/1/30     150        140
  Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc.  4.080% 12/15/47   2,500      2,050
  BP Capital Markets America Inc.  3.060%  6/17/41  25,555     19,222
  BP Capital Markets America Inc.  3.000%  2/24/50   4,160      2,880
  BP Capital Markets America Inc.  2.772% 11/10/50  37,140     24,378
  BP Capital Markets America Inc.  2.939%   6/4/51  51,770     35,097
  BP Capital Markets America Inc.  3.001%  3/17/52  26,280     17,967
  BP Capital Markets America Inc.  3.379%   2/8/61  51,895     36,578
7 BP Capital Markets BV  1.467%  9/21/41     300        212
  Burlington Resources LLC  5.950% 10/15/36   2,000      2,130
  Chevron Corp.  3.078%  5/11/50  19,305     14,188
  Chevron USA Inc.  2.343%  8/12/50   5,790      3,653
5 Civitas Resources Inc.  8.750%   7/1/31      75         78
5 CNX Resources Corp.  7.375%  1/15/31      65         64
  ConocoPhillips  5.900% 10/15/32   1,326      1,427
  ConocoPhillips Co.  3.758%  3/15/42   9,700      8,110
  ConocoPhillips Co.  4.300% 11/15/44  11,948     10,649
  ConocoPhillips Co.  3.800%  3/15/52  41,665     33,560
  ConocoPhillips Co.  5.300%  5/15/53  22,090     22,349
  ConocoPhillips Co.  4.025%  3/15/62  37,905     30,505
5 CrownRock LP / CrownRock Finance Inc.  5.625% 10/15/25      95         94
  DCP Midstream Operating LP  5.625%  7/15/27      56         56
  DCP Midstream Operating LP  5.125%  5/15/29     180        177
5 DT Midstream Inc.  4.125%  6/15/29     445        395
5 DT Midstream Inc.  4.375%  6/15/31     175        152
5 EIG Pearl Holdings Sarl  4.387% 11/30/46  10,690      8,361
5 Endeavor Energy Resources LP / EER Finance Inc.  5.750%  1/30/28     150        146
  Energy Transfer LP  5.000%  5/15/50   3,000      2,536
 
82

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 EnLink Midstream LLC  5.625%  1/15/28      50         49
  EnLink Midstream LLC  5.375%   6/1/29     125        119
  Enterprise Products Operating LLC  4.900%  5/15/46   1,500      1,372
  Enterprise Products Operating LLC  4.200%  1/31/50   1,500      1,244
  EOG Resources Inc.  3.900%   4/1/35   1,650      1,483
  EOG Resources Inc.  4.950%  4/15/50  16,580     16,182
5 EQM Midstream Partners LP  7.500%   6/1/27      85         86
5 EQM Midstream Partners LP  6.500%   7/1/27     145        144
  EQM Midstream Partners LP  5.500%  7/15/28     170        164
5 EQM Midstream Partners LP  7.500%   6/1/30      85         88
  Equinor ASA  3.625%   4/6/40  19,225     15,982
  Equinor ASA  4.250% 11/23/41   1,944      1,744
  Equinor ASA  3.950%  5/15/43  35,350     30,400
  Equinor ASA  3.250% 11/18/49  18,640     13,750
  Equinor ASA  3.700%   4/6/50  19,800     15,924
  Exxon Mobil Corp.  2.995%  8/16/39   5,178      4,069
  Exxon Mobil Corp.  4.227%  3/19/40   5,000      4,576
  Exxon Mobil Corp.  3.567%   3/6/45  10,700      8,590
  Exxon Mobil Corp.  4.114%   3/1/46  37,020     32,363
  Exxon Mobil Corp.  3.095%  8/16/49  14,590     10,584
  Exxon Mobil Corp.  4.327%  3/19/50  66,961     59,940
  Exxon Mobil Corp.  3.452%  4/15/51  29,295     22,499
5 Galaxy Pipeline Assets Bidco Ltd.  2.940%  9/30/40  22,497     18,173
  Genesis Energy LP / Genesis Energy Finance Corp.  6.500%  10/1/25      20         20
3,5 Greensaif Pipelines Bidco Sarl  6.129%  2/23/38   7,850      8,044
3,5 Greensaif Pipelines Bidco Sarl  6.510%  2/23/42  20,280     20,965
  Halliburton Co.  4.500% 11/15/41     960        822
5 Hilcorp Energy I LP / Hilcorp Finance Co.  5.750%   2/1/29      35         32
5 Hilcorp Energy I LP / Hilcorp Finance Co.  6.000%   2/1/31      45         41
  KazMunayGas National Co. JSC  6.375% 10/24/48   1,425      1,267
  MPLX LP  5.500%  2/15/49  10,000      9,164
5 Northern Natural Gas Co.  3.400% 10/16/51   2,800      1,903
  Nustar Logistics LP  6.375%  10/1/30     140        135
5 Permian Resources Operating LLC  7.750%  2/15/26     120        121
5 Permian Resources Operating LLC  5.875%   7/1/29     285        272
  Petroleos del Peru SA  5.625%  6/19/47   4,570      3,062
  Petroleos Mexicanos  6.500%   6/2/41     476        307
  Petroleos Mexicanos  6.375%  1/23/45      77         49
  Petroleos Mexicanos  6.750%  9/21/47     397        254
  Petroleos Mexicanos  6.950%  1/28/60   1,147        731
  Petronas Capital Ltd.  3.500%  4/21/30   8,245      7,606
  Shell International Finance BV  4.125%  5/11/35  19,405     18,012
  Shell International Finance BV  6.375% 12/15/38   4,211      4,733
  Shell International Finance BV  5.500%  3/25/40  13,990     14,535
  Shell International Finance BV  2.875% 11/26/41  15,345     11,358
  Shell International Finance BV  3.625%  8/21/42   1,000        826
  Shell International Finance BV  4.550%  8/12/43  19,195     17,773
  Shell International Finance BV  4.375%  5/11/45  42,595     38,251
  Shell International Finance BV  4.000%  5/10/46  37,137     31,549
  Shell International Finance BV  3.750%  9/12/46  63,375     51,470
  Shell International Finance BV  3.125%  11/7/49   5,000      3,608
  Shell International Finance BV  3.250%   4/6/50  16,730     12,267
  Shell International Finance BV  3.000% 11/26/51  33,789     23,537
5 Tap Rock Resources LLC  7.000%  10/1/26     200        207
  Targa Resources Corp.  6.500%  2/15/53   4,565      4,708
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.  6.500%  7/15/27     158        159
  Total Capital International SA  2.986%  6/29/41  28,045     21,096
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Total Energies Capital International SA  3.461%  7/12/49     500        383
  Total Energies Capital International SA  3.127%  5/29/50  31,845     22,886
  Transcontinental Gas Pipe Line Co. LLC  4.600%  3/15/48   1,815      1,556
5 Transocean Inc.  8.750%  2/15/30     250        259
5 Transocean Titan Financing Ltd.  8.375%   2/1/28      20         21
5 Valaris Ltd.  8.375%  4/30/30      30         31
5 Venture Global Calcasieu Pass LLC  3.875%  8/15/29     240        208
5 Venture Global Calcasieu Pass LLC  6.250%  1/15/30      45         44
5 Venture Global LNG Inc.  8.125%   6/1/28      50         51
5 Venture Global LNG Inc.  8.375%   6/1/31     200        203
  Western Midstream Operating LP  4.500%   3/1/28     310        295
                                          871,500
Financials (16.1%)
  ACE Capital Trust II  9.700%   4/1/30   3,745      4,473
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.850% 10/29/41   8,250      6,228
  Aflac Inc.  4.000% 10/15/46   1,697      1,345
  Allstate Corp.  5.250%  3/30/33   7,110      7,053
  Allstate Corp.  4.200% 12/15/46  12,485     10,124
  American International Group Inc.  4.375%  6/30/50   3,305      2,829
  Aon Corp. / Aon Global Holdings plc  3.900%  2/28/52   4,600      3,596
  Bank of America Corp.  6.110%  1/29/37   3,957      4,159
  Bank of America Corp.  4.244%  4/24/38  68,876     60,916
  Bank of America Corp.  4.078%  4/23/40  28,585     24,584
  Bank of America Corp.  2.676%  6/19/41  66,163     46,842
  Bank of America Corp.  5.875%   2/7/42   9,230      9,857
  Bank of America Corp.  3.311%  4/22/42  57,690     44,443
  Bank of America Corp.  4.443%  1/20/48  24,655     21,920
  Bank of America Corp.  3.946%  1/23/49  64,760     52,343
  Bank of America Corp.  4.330%  3/15/50  29,336     25,670
  Bank of America Corp.  4.083%  3/20/51  31,765     26,487
  Bank of America Corp.  2.831% 10/24/51  23,395     15,527
  Bank of America Corp.  2.972%  7/21/52   4,250      2,910
  Bank of America NA  6.000% 10/15/36   4,950      5,265
  Bank of New York Mellon Corp.  4.289%  6/13/33  26,880     25,080
  Bank of New York Mellon Corp.  5.834% 10/25/33   2,250      2,329
  Bank of New York Mellon Corp.  4.706%   2/1/34   6,160      5,869
  Barclays plc  7.119%  6/27/34   6,280      6,354
  Berkshire Hathaway Finance Corp.  4.400%  5/15/42   2,000      1,892
  Berkshire Hathaway Finance Corp.  4.300%  5/15/43   2,000      1,823
  Berkshire Hathaway Finance Corp.  4.200%  8/15/48  11,500     10,336
  Berkshire Hathaway Finance Corp.  4.250%  1/15/49  43,795     39,953
  Berkshire Hathaway Finance Corp.  2.850% 10/15/50   6,120      4,206
  Berkshire Hathaway Finance Corp.  3.850%  3/15/52   8,900      7,282
7 Berkshire Hathaway Inc.  1.625%  3/16/35     400        352
  Berkshire Hathaway Inc.  4.500%  2/11/43  13,290     12,954
5 Blackstone Holdings Finance Co. LLC  3.500%  9/10/49   2,714      1,808
  Capital One Financial Corp.  6.377%   6/8/34   7,810      7,882
  Chubb INA Holdings Inc.  4.150%  3/13/43   1,500      1,297
  Chubb INA Holdings Inc.  4.350%  11/3/45  20,125     17,994
 
83

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Chubb INA Holdings Inc.  2.850% 12/15/51   1,000        685
  Chubb INA Holdings Inc.  3.050% 12/15/61   7,235      4,845
  Citigroup Inc.  6.174%  5/25/34   2,670      2,709
  Citigroup Inc.  3.878%  1/24/39  67,590     56,613
  Citigroup Inc.  5.316%  3/26/41  10,000      9,727
  Citigroup Inc.  5.875%  1/30/42   6,270      6,579
  Citigroup Inc.  4.650%  7/30/45  15,342     13,706
  Citigroup Inc.  4.650%  7/23/48   6,702      6,045
5 Commonwealth Bank of Australia  3.305%  3/11/41   3,000      2,075
  Cooperatieve Rabobank UA  5.250%  5/24/41   1,375      1,426
  Corebridge Financial Inc.  3.900%   4/5/32   2,610      2,302
  Corebridge Financial Inc.  4.350%   4/5/42   7,445      6,055
  Corebridge Financial Inc.  4.400%   4/5/52   3,990      3,192
  Equitable Holdings Inc.  5.000%  4/20/48   5,789      5,059
5 Five Corners Funding Trust IV  5.997%  2/15/53   3,700      3,778
5 FMR LLC  6.450% 11/15/39  16,010     16,627
  Gaci First Investment Co.  4.875%  2/14/35   3,800      3,633
  GATX Corp.  3.100%   6/1/51   2,725      1,721
5 Global Atlantic Fin Co.  7.950%  6/15/33   2,400      2,404
6 Goldman Sachs Group Inc.  6.875%  1/18/38     400        522
  Goldman Sachs Group Inc.  4.017% 10/31/38 125,440    106,416
  Goldman Sachs Group Inc.  4.411%  4/23/39  36,547     32,263
  Goldman Sachs Group Inc.  6.250%   2/1/41   5,200      5,581
  Goldman Sachs Group Inc.  3.210%  4/22/42   2,300      1,704
  Goldman Sachs Group Inc.  2.908%  7/21/42  20,480     14,413
  Goldman Sachs Group Inc.  3.436%  2/24/43  20,660     15,739
  Goldman Sachs Group Inc.  4.800%   7/8/44   3,000      2,755
  Goldman Sachs Group Inc.  5.150%  5/22/45   2,000      1,878
  Goldman Sachs Group Inc.  4.750% 10/21/45   1,000        919
  HSBC Holdings plc  7.625%  5/17/32   3,010      3,204
  HSBC Holdings plc  6.254%   3/9/34  12,820     13,213
  HSBC Holdings plc  6.547%  6/20/34  14,965     14,948
  HSBC Holdings plc  6.500%  9/15/37  20,522     20,726
  HSBC Holdings plc  6.800%   6/1/38  48,749     49,385
6 HSBC Holdings plc  6.000%  3/29/40     200        233
  HSBC Holdings plc  6.100%  1/14/42   2,975      3,188
  HSBC Holdings plc  6.332%   3/9/44  32,875     34,369
  HSBC Holdings plc  5.250%  3/14/44   2,200      2,011
  Intercontinental Exchange Inc.  2.650%  9/15/40   1,000        709
  Intercontinental Exchange Inc.  4.250%  9/21/48   9,125      7,921
  Intercontinental Exchange Inc.  3.000%  6/15/50   7,920      5,459
  Intercontinental Exchange Inc.  4.950%  6/15/52  57,395     55,017
  Intercontinental Exchange Inc.  3.000%  9/15/60   2,211      1,417
  Intercontinental Exchange Inc.  5.200%  6/15/62  44,205     43,358
  Invesco Finance plc  5.375% 11/30/43   5,163      4,969
7 JAB Holdings BV  2.250% 12/19/39     200        155
  Jefferies Financial Group Inc.  6.500%  1/20/43     377        380
  JPMorgan Chase & Co.  5.350%   6/1/34  32,360     32,594
  JPMorgan Chase & Co.  6.400%  5/15/38  32,899     36,859
  JPMorgan Chase & Co.  3.882%  7/24/38  49,712     42,911
  JPMorgan Chase & Co.  5.500% 10/15/40  34,480     35,719
  JPMorgan Chase & Co.  3.109%  4/22/41  18,000     13,670
  JPMorgan Chase & Co.  5.600%  7/15/41   6,286      6,559
  JPMorgan Chase & Co.  5.400%   1/6/42   2,730      2,807
  JPMorgan Chase & Co.  3.157%  4/22/42  27,500     20,834
  JPMorgan Chase & Co.  4.260%  2/22/48  36,921     31,948
  JPMorgan Chase & Co.  4.032%  7/24/48  32,890     27,307
  JPMorgan Chase & Co.  3.964% 11/15/48 105,345     86,456
  JPMorgan Chase & Co.  3.897%  1/23/49  44,655     36,282
  JPMorgan Chase & Co.  3.109%  4/22/51  19,160     13,472
  JPMorgan Chase & Co.  3.328%  4/22/52  28,605     21,033
5 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.  4.750%  6/15/29     205        173
5 LSEGA Financing plc  3.200%   4/6/41  24,545     18,348
  M&T Bank Corp.  5.053%  1/27/34  23,270     21,900
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Marsh & McLennan Cos. Inc.  4.350%  1/30/47   3,985      3,415
  Marsh & McLennan Cos. Inc.  6.250%  11/1/52   1,500      1,675
  Marsh & McLennan Cos. Inc.  5.450%  3/15/53   7,400      7,510
5 Massachusetts Mutual Life Insurance Co.  3.375%  4/15/50   7,366      5,257
5 Massachusetts Mutual Life Insurance Co.  3.729% 10/15/70  15,195     10,191
  MetLife Inc.  4.125%  8/13/42  51,081     43,328
  MetLife Inc.  4.875% 11/13/43  10,000      9,257
  MetLife Inc.  4.050%   3/1/45   5,696      4,764
  MetLife Inc.  5.000%  7/15/52   6,500      6,099
  MetLife Inc.  5.250%  1/15/54  28,512     27,767
5 Midcap Financial Issuer Trust  5.625%  1/15/30     177        142
  Mitsubishi UFJ Financial Group Inc.  5.441%  2/22/34   4,900      4,887
  Morgan Stanley  2.239%  7/21/32  15,310     12,178
7 Morgan Stanley  5.148%  1/25/34     300        346
  Morgan Stanley  5.250%  4/21/34  20,315     20,042
  Morgan Stanley  5.424%  7/21/34  17,260     17,253
  Morgan Stanley  5.948%  1/19/38   8,990      8,909
8 Morgan Stanley  3.971%  7/22/38  79,115     67,460
  Morgan Stanley  4.457%  4/22/39   6,850      6,171
  Morgan Stanley  3.217%  4/22/42   5,935      4,485
  Morgan Stanley  6.375%  7/24/42  36,920     41,317
  Morgan Stanley  4.300%  1/27/45  23,756     20,856
  Morgan Stanley  4.375%  1/22/47  24,750     22,112
  Morgan Stanley  5.597%  3/24/51     750        781
  Morgan Stanley  2.802%  1/25/52   2,725      1,780
  Nasdaq Inc.  5.550%  2/15/34   5,000      5,043
  Nasdaq Inc.  2.500% 12/21/40   6,042      4,024
  Nasdaq Inc.  3.950%   3/7/52   1,000        770
  Nasdaq Inc.  5.950%  8/15/53   6,110      6,235
  Nasdaq Inc.  6.100%  6/28/63   8,855      8,933
5 Nationwide Mutual Insurance Co.  9.375%  8/15/39  24,046     30,746
5 Nationwide Mutual Insurance Co.  4.950%  4/22/44  13,215     11,056
5 Nationwide Mutual Insurance Co.  4.350%  4/30/50  13,720     10,412
  Navient Corp.  9.375%  7/25/30      50         50
5 New York Life Insurance Co.  5.875%  5/15/33  36,125     37,377
5 New York Life Insurance Co.  4.450%  5/15/69   2,500      2,024
5 Northwestern Mutual Life Insurance Co.  3.850%  9/30/47   8,944      6,863
5 Northwestern Mutual Life Insurance Co.  3.625%  9/30/59  33,074     23,031
  OneMain Finance Corp.  3.500%  1/15/27     140        121
  Principal Financial Group Inc.  5.500%  3/15/53   3,956      3,740
  Progressive Corp.  4.125%  4/15/47   3,420      2,912
  Progressive Corp.  3.950%  3/26/50   1,670      1,358
  Prudential Financial Inc.  5.700% 12/14/36   1,540      1,594
  Prudential Financial Inc.  3.000%  3/10/40   3,250      2,465
  Prudential Financial Inc.  4.600%  5/15/44   1,769      1,600
  Prudential Financial Inc.  3.905%  12/7/47   1,420      1,139
  Prudential Financial Inc.  4.418%  3/27/48     390        334
  Prudential Financial Inc.  3.935%  12/7/49   1,560      1,245
  Prudential Financial Inc.  4.350%  2/25/50   1,548      1,328
  Prudential Financial Inc.  3.700%  3/13/51   6,484      4,975
5 Societe Generale SA  6.691%  1/10/34  12,655     12,978
  Sumitomo Mitsui Financial Group Inc.  2.930%  9/17/41   1,800      1,265
  Sumitomo Mitsui Financial Group Inc.  6.184%  7/13/43   4,190      4,359
5 Teachers Insurance & Annuity Assn. of America  3.300%  5/15/50  16,150     11,197
  Travelers Cos. Inc.  4.600%   8/1/43   1,100        990
  Travelers Cos. Inc.  3.750%  5/15/46   2,954      2,323
  Travelers Cos. Inc.  4.000%  5/30/47   2,600      2,182
 
84

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Travelers Cos. Inc.  4.100%   3/4/49  15,000     12,646
  Travelers Cos. Inc.  3.050%   6/8/51  41,465     29,427
  Travelers Cos. Inc.  5.450%  5/25/53  12,875     13,409
  Truist Financial Corp.  5.867%   6/8/34   2,830      2,854
5 UBS Group AG  5.959%  1/12/34  15,140     15,345
  US Bancorp  2.491%  11/3/36   2,000      1,502
  Wachovia Corp.  5.500%   8/1/35   2,322      2,276
  Wells Fargo & Co.  3.350%   3/2/33  30,000     25,748
  Wells Fargo & Co.  5.557%  7/25/34  43,375     43,573
  Wells Fargo & Co.  3.068%  4/30/41  16,910     12,393
  Wells Fargo & Co.  5.375%  11/2/43  55,167     51,997
  Wells Fargo & Co.  5.606%  1/15/44 119,265    115,365
  Wells Fargo & Co.  4.650%  11/4/44   6,127      5,208
  Wells Fargo & Co.  3.900%   5/1/45   3,837      3,107
  Wells Fargo & Co.  4.900% 11/17/45  18,930     16,656
  Wells Fargo & Co.  4.400%  6/14/46  33,292     27,177
  Wells Fargo & Co.  4.750%  12/7/46  43,559     37,296
  Wells Fargo & Co.  5.013%   4/4/51  48,280     45,028
  Wells Fargo & Co.  4.611%  4/25/53   5,300      4,647
  Wells Fargo Bank NA  6.600%  1/15/38     500        546
                                          2,583,738
Health Care (11.0%)
  Abbott Laboratories  4.750% 11/30/36   6,000      6,017
  Abbott Laboratories  5.300%  5/27/40  15,015     15,642
  Abbott Laboratories  4.900% 11/30/46  59,115     59,025
  AbbVie Inc.  4.300%  5/14/36   1,000        919
  AdventHealth Obligated Group  2.795% 11/15/51   3,000      1,931
  Advocate Health & Hospitals Corp.  4.272%  8/15/48   7,315      6,310
  Advocate Health & Hospitals Corp.  3.387% 10/15/49  15,205     11,161
3 Allina Health System  3.887%  4/15/49   3,569      2,921
  AmerisourceBergen Corp.  4.300% 12/15/47   7,869      6,650
  Amgen Inc.  5.600%   3/2/43     401        399
  Amgen Inc.  5.650%   3/2/53  23,460     23,535
  Amgen Inc.  5.750%   3/2/63   5,770      5,800
  Ascension Health  3.106% 11/15/39   3,000      2,322
  AstraZeneca plc  4.375% 11/16/45   9,000      8,274
  AstraZeneca plc  2.125%   8/6/50   2,000      1,227
  AstraZeneca plc  3.000%  5/28/51  20,190     14,733
  Baptist Health South Florida Obligated Group  3.115% 11/15/71   2,200      1,278
  Baptist Healthcare System Obligated Group  3.540%  8/15/50   1,400      1,020
  Baxter International Inc.  3.132%  12/1/51  23,800     15,833
  Baylor Scott & White Holdings  2.839% 11/15/50  12,850      8,516
7 Becton Dickinson Euro Finance Sarl  1.336%  8/13/41     300        208
  Beth Israel Lahey Health Inc.  3.080%   7/1/51  11,255      7,092
  Bristol-Myers Squibb Co.  4.125%  6/15/39  26,677     23,981
  Bristol-Myers Squibb Co.  2.350% 11/13/40  28,285     19,629
  Bristol-Myers Squibb Co.  4.350% 11/15/47   3,300      2,930
  Bristol-Myers Squibb Co.  4.550%  2/20/48     777        708
  Bristol-Myers Squibb Co.  4.250% 10/26/49  97,990     85,112
  Bristol-Myers Squibb Co.  2.550% 11/13/50   3,180      2,015
  Bristol-Myers Squibb Co.  3.700%  3/15/52   7,380      5,843
  Bristol-Myers Squibb Co.  3.900%  3/15/62  39,835     31,324
5 Catalent Pharma Solutions Inc.  3.125%  2/15/29     125        104
5 Catalent Pharma Solutions Inc.  3.500%   4/1/30      85         71
  Children's Health System of Texas  2.511%  8/15/50   2,500      1,532
  Children's Hospital of Philadelphia  2.704%   7/1/50   1,250        797
  City of Hope  5.623% 11/15/43   1,944      1,886
  City of Hope  4.378%  8/15/48   1,671      1,394
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CommonSpirit Health  4.187%  10/1/49   1,412      1,146
5 CSL Finance plc  4.750%  4/27/52  14,200     13,061
  CVS Health Corp.  2.700%  8/21/40   2,100      1,459
  CVS Health Corp.  5.875%   6/1/53   7,790      7,907
  CVS Health Corp.  6.000%   6/1/63   5,110      5,182
  Danaher Corp.  2.600%  10/1/50   2,000      1,320
  Danaher Corp.  2.800% 12/10/51   2,275      1,538
5 DaVita Inc.  3.750%  2/15/31     140        112
  Dignity Health  4.500%  11/1/42   1,041        908
  Dignity Health  5.267%  11/1/64     758        697
  Elevance Health Inc.  6.100% 10/15/52   3,130      3,404
  Eli Lilly & Co.  3.950%  3/15/49   3,625      3,197
7 Eli Lilly & Co.  1.700%  11/1/49     400        300
  Eli Lilly & Co.  2.250%  5/15/50   2,000      1,272
  Eli Lilly & Co.  4.875%  2/27/53   6,060      6,128
  Eli Lilly & Co.  4.950%  2/27/63  10,460     10,493
5 Fortrea Holdings Inc.  7.500%   7/1/30      50         51
  GE HealthCare Technologies Inc.  6.377% 11/22/52   8,320      9,214
  GlaxoSmithKline Capital Inc.  6.375%  5/15/38  33,294     37,812
  GlaxoSmithKline Capital Inc.  4.200%  3/18/43   2,000      1,791
  Hackensack Meridian Health Inc.  2.875%   9/1/50   1,250        829
  Humana Inc.  5.500%  3/15/53  10,495     10,364
  Inova Health System Foundation  4.068%  5/15/52  11,245      9,590
5 IQVIA Inc.  6.500%  5/15/30     105        106
  Johnson & Johnson  3.550%   3/1/36  22,310     19,963
  Johnson & Johnson  3.625%   3/3/37  48,652     43,503
  Johnson & Johnson  3.400%  1/15/38  43,125     37,124
  Johnson & Johnson  2.100%   9/1/40   3,250      2,273
  Johnson & Johnson  3.700%   3/1/46   6,754      5,855
  Johnson & Johnson  3.750%   3/3/47  22,355     19,391
  Johnson & Johnson  2.450%   9/1/60   2,000      1,263
  Kaiser Foundation Hospitals  2.810%   6/1/41  17,350     12,590
  Kaiser Foundation Hospitals  4.875%   4/1/42  10,390      9,949
  Kaiser Foundation Hospitals  4.150%   5/1/47  17,944     15,493
  Kaiser Foundation Hospitals  3.002%   6/1/51  45,155     31,409
  Mass General Brigham Inc.  3.192%   7/1/49   9,050      6,531
  Mass General Brigham Inc.  3.342%   7/1/60  34,775     24,599
  Mayo Clinic  3.774% 11/15/43  11,795      9,838
  Mayo Clinic  3.196% 11/15/61  23,785     16,289
5 Medline Borrower LP  3.875%   4/1/29      55         48
5 Medline Borrower LP  5.250%  10/1/29      70         62
  Medtronic Inc.  4.375%  3/15/35   4,115      3,972
  Medtronic Inc.  4.625%  3/15/45  15,998     15,324
  Memorial Sloan-Kettering Cancer Center  4.125%   7/1/52   2,000      1,702
  Merck & Co. Inc.  3.900%   3/7/39   4,400      3,925
  Merck & Co. Inc.  4.900%  5/17/44  19,955     19,738
  Merck & Co. Inc.  3.700%  2/10/45  70,945     59,609
  Merck & Co. Inc.  4.000%   3/7/49   7,784      6,753
  Merck & Co. Inc.  2.750% 12/10/51   3,500      2,358
  Merck & Co. Inc.  5.000%  5/17/53  21,030     21,105
  Merck & Co. Inc.  2.900% 12/10/61   2,180      1,412
  Merck & Co. Inc.  5.150%  5/17/63  17,520     17,689
  Mount Sinai Hospitals Group Inc.  3.391%   7/1/50   2,000      1,365
  New York and Presbyterian Hospital  2.256%   8/1/40   4,777      3,208
  New York and Presbyterian Hospital  4.024%   8/1/45  12,210     10,179
  New York and Presbyterian Hospital  4.063%   8/1/56   3,743      3,123
  New York and Presbyterian Hospital  4.763%   8/1/16   5,250      4,404
  Northwell Healthcare Inc.  4.800%  11/1/42   1,041        905
  Northwell Healthcare Inc.  3.979%  11/1/46   1,944      1,514
 
85

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Northwell Healthcare Inc.  4.260%  11/1/47     947        765
  Northwell Healthcare Inc.  3.809%  11/1/49   2,284      1,713
  Northwestern Memorial Healthcare Obligated Group  2.633%  7/15/51   3,500      2,217
  Novant Health Inc.  2.637%  11/1/36   2,000      1,498
  Novant Health Inc.  3.168%  11/1/51   5,500      3,893
  Novant Health Inc.  3.318%  11/1/61  26,665     18,067
  Novartis Capital Corp.  4.400%   5/6/44  24,840     23,451
  NYU Langone Hospitals  4.784%   7/1/44   1,944      1,776
  OhioHealth Corp.  2.834% 11/15/41   4,875      3,545
5 Organon & Co. / Organon Foreign Debt Co.-Issuer BV  4.125%  4/30/28     168        151
5 Organon & Co. / Organon Foreign Debt Co.-Issuer BV  5.125%  4/30/31      70         59
3 Orlando Health Obligated Group  3.327%  10/1/50   1,350        970
5 Owens & Minor Inc.  6.625%   4/1/30      20         18
  Partners Healthcare System Inc.  3.765%   7/1/48   6,455      5,169
  PeaceHealth Obligated Group  4.787% 11/15/48   1,515      1,317
  Pfizer Inc.  4.100%  9/15/38  20,280     18,445
  Pfizer Inc.  3.900%  3/15/39  34,185     30,282
  Pfizer Inc.  7.200%  3/15/39  33,687     41,253
  Pfizer Inc.  2.550%  5/28/40   5,000      3,646
  Pfizer Inc.  4.300%  6/15/43   2,865      2,638
  Pfizer Inc.  4.400%  5/15/44   8,165      7,649
  Pfizer Inc.  4.125% 12/15/46   7,734      6,885
  Pfizer Inc.  4.200%  9/15/48  16,686     15,155
  Pfizer Investment Enterprises Pte Ltd.  5.110%  5/19/43  53,140     52,686
  Pfizer Investment Enterprises Pte Ltd.  5.300%  5/19/53  45,180     46,408
  Pfizer Investment Enterprises Pte Ltd.  5.340%  5/19/63  48,335     48,481
  Piedmont Healthcare Inc.  2.719%   1/1/42   2,000      1,351
3 Providence St. Joseph Health Obligated Group  3.744%  10/1/47   4,605      3,411
5 Roche Holdings Inc.  2.607% 12/13/51  37,700     25,112
  Stanford Health Care  3.310%  8/15/30   2,140      1,923
  Stanford Health Care  3.027%  8/15/51  25,000     17,095
  Sutter Health  3.161%  8/15/40  22,915     17,282
  Sutter Health  3.361%  8/15/50  11,962      8,402
  Sutter Health  5.547%  8/15/53   6,485      6,683
  Tenet Healthcare Corp.  4.875%   1/1/26     192        186
  Tenet Healthcare Corp.  6.250%   2/1/27      90         88
  Tenet Healthcare Corp.  4.250%   6/1/29     133        119
5 Tenet Healthcare Corp.  6.750%  5/15/31     130        130
  Teva Pharmaceutical Finance Netherlands III BV  5.125%   5/9/29      30         28
  Teva Pharmaceutical Finance Netherlands III BV  7.875%  9/15/29      65         68
  Teva Pharmaceutical Finance Netherlands III BV  8.125%  9/15/31     250        265
  Teva Pharmaceutical Finance Netherlands III BV  4.100%  10/1/46      29         19
  Thermo Fisher Scientific Inc.  2.800% 10/15/41   5,460      4,018
  UnitedHealth Group Inc.  4.625%  7/15/35  10,000      9,789
  UnitedHealth Group Inc.  5.800%  3/15/36  34,886     37,406
  UnitedHealth Group Inc.  6.875%  2/15/38   6,575      7,739
  UnitedHealth Group Inc.  3.500%  8/15/39  20,796     17,319
  UnitedHealth Group Inc.  2.750%  5/15/40   1,520      1,122
  UnitedHealth Group Inc.  3.050%  5/15/41  21,325     16,269
  UnitedHealth Group Inc.  4.375%  3/15/42  23,917     21,567
  UnitedHealth Group Inc.  3.950% 10/15/42   1,041        891
  UnitedHealth Group Inc.  4.750%  7/15/45  48,920     46,585
  UnitedHealth Group Inc.  4.250%  4/15/47  14,906     12,992
  UnitedHealth Group Inc.  3.750% 10/15/47  25,610     20,762
  UnitedHealth Group Inc.  4.250%  6/15/48  27,767     24,240
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  UnitedHealth Group Inc.  4.450% 12/15/48   2,890      2,599
  UnitedHealth Group Inc.  3.700%  8/15/49  21,722     17,316
  UnitedHealth Group Inc.  2.900%  5/15/50   3,000      2,061
  UnitedHealth Group Inc.  3.250%  5/15/51  25,845     19,012
  UnitedHealth Group Inc.  4.750%  5/15/52   9,165      8,636
  UnitedHealth Group Inc.  5.875%  2/15/53  36,155     39,747
  UnitedHealth Group Inc.  5.050%  4/15/53   6,125      6,035
  UnitedHealth Group Inc.  6.050%  2/15/63   9,415     10,548
  UnitedHealth Group Inc.  5.200%  4/15/63   6,125      6,017
  Wyeth LLC  6.500%   2/1/34   1,240      1,395
  Wyeth LLC  5.950%   4/1/37  53,438     57,982
  Yale-New Haven Health Services Corp.  2.496%   7/1/50   1,250        739
                                          1,753,570
Industrials (4.4%)
  3M Co.  3.250%  8/26/49   1,700      1,244
5 Air Canada  3.875%  8/15/26     195        181
7 Airbus SE  2.375%   6/9/40     300        259
5 Allison Transmission Inc.  4.750%  10/1/27     221        209
5 American Airlines Inc. 11.750%  7/15/25      50         55
5 American Airlines Inc.  7.250%  2/15/28      55         55
5 American Airlines Inc. / AAdvantage Loyalty IP Ltd.  5.500%  4/20/26     138        135
3,5 American Airlines Inc. / AAdvantage Loyalty IP Ltd.  5.750%  4/20/29     460        446
5 Aramark Services Inc.  6.375%   5/1/25      80         80
  Boeing Co.  3.500%   3/1/39     760        578
  Boeing Co.  5.705%   5/1/40   1,500      1,499
  Boeing Co.  5.805%   5/1/50   1,500      1,509
  Boeing Co.  5.930%   5/1/60   2,300      2,299
  Burlington Northern Santa Fe LLC  7.950%  8/15/30   1,658      1,954
  Burlington Northern Santa Fe LLC  5.750%   5/1/40  10,000     10,489
  Burlington Northern Santa Fe LLC  4.950%  9/15/41   2,000      1,940
  Burlington Northern Santa Fe LLC  4.400%  3/15/42  24,790     22,286
  Burlington Northern Santa Fe LLC  4.375%   9/1/42  41,150     36,864
  Burlington Northern Santa Fe LLC  4.450%  3/15/43  11,200     10,094
  Burlington Northern Santa Fe LLC  5.150%   9/1/43   2,470      2,439
  Burlington Northern Santa Fe LLC  4.900%   4/1/44  16,500     15,969
  Burlington Northern Santa Fe LLC  4.550%   9/1/44  43,085     39,577
  Burlington Northern Santa Fe LLC  4.150%   4/1/45  12,335     10,694
  Burlington Northern Santa Fe LLC  4.125%  6/15/47  11,910     10,204
  Burlington Northern Santa Fe LLC  4.050%  6/15/48   5,081      4,302
  Burlington Northern Santa Fe LLC  4.150% 12/15/48  18,399     15,875
  Burlington Northern Santa Fe LLC  3.550%  2/15/50  19,445     15,410
  Burlington Northern Santa Fe LLC  3.050%  2/15/51   4,000      2,806
  Burlington Northern Santa Fe LLC  3.300%  9/15/51  17,015     12,566
  Burlington Northern Santa Fe LLC  2.875%  6/15/52   5,830      3,934
  Burlington Northern Santa Fe LLC  5.200%  4/15/54   4,450      4,474
  Canadian National Railway Co.  3.200%   8/2/46   1,000        737
  Canadian National Railway Co.  3.650%   2/3/48  28,169     22,785
  Canadian National Railway Co.  4.450%  1/20/49   1,000        904
 
86

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Canadian National Railway Co.  4.400%   8/5/52   2,405      2,190
  Canadian Pacific Railway Co.  3.100%  12/2/51   4,490      3,133
5 Cargo Aircraft Management Inc.  4.750%   2/1/28     100         89
  Caterpillar Inc.  6.050%  8/15/36   2,968      3,276
  Caterpillar Inc.  3.803%  8/15/42  26,112     22,678
5 Chart Industries Inc.  7.500%   1/1/30      30         31
5 Chart Industries Inc.  9.500%   1/1/31      20         22
  Delta Air Lines Inc.  2.900% 10/28/24      70         67
  Delta Air Lines Inc.  3.750% 10/28/29     160        145
  Eaton Corp.  4.700%  8/23/52   2,335      2,209
5 Emerald Debt Merger Sub LLC  6.625% 12/15/30     105        104
  Emerson Electric Co.  2.800% 12/21/51   4,130      2,758
5 Gates Global LLC / Gates Corp.  6.250%  1/15/26      53         53
  General Dynamics Corp.  4.250%   4/1/40   8,325      7,568
  General Dynamics Corp.  4.250%   4/1/50     701        632
7 General Electric Co.  2.125%  5/17/37     300        260
6 Heathrow Funding Ltd.  5.875%  5/13/43     400        501
  Honeywell International Inc.  5.000%  2/15/33   6,990      7,103
  Honeywell International Inc.  4.500%  1/15/34   3,840      3,745
7 Honeywell International Inc.  4.125%  11/2/34     858        943
  Honeywell International Inc.  5.700%  3/15/36  10,300     10,888
  Honeywell International Inc.  5.700%  3/15/37   6,250      6,615
3 JetBlue Class AA Series 2019-1 Pass Through Trust  2.750% 11/15/33   1,203      1,023
  L3Harris Technologies Inc.  5.600%  7/31/53   4,310      4,397
5 LBJ Infrastructure Group LLC  3.797% 12/31/57   9,185      5,883
  Lockheed Martin Corp.  4.750%  2/15/34   4,000      3,970
  Lockheed Martin Corp.  3.600%   3/1/35   2,000      1,781
  Lockheed Martin Corp.  4.500%  5/15/36  12,189     11,682
  Lockheed Martin Corp.  4.070% 12/15/42   7,394      6,521
  Lockheed Martin Corp.  3.800%   3/1/45   8,572      7,181
  Lockheed Martin Corp.  4.700%  5/15/46   4,544      4,349
  Lockheed Martin Corp.  2.800%  6/15/50  26,945     18,730
  Lockheed Martin Corp.  4.090%  9/15/52  29,552     25,514
  Lockheed Martin Corp.  4.150%  6/15/53  61,695     53,446
  Lockheed Martin Corp.  4.300%  6/15/62   4,070      3,538
  Lockheed Martin Corp.  5.900% 11/15/63  12,770     14,324
5 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.  6.500%  6/20/27     326        326
  Norfolk Southern Corp.  4.550%   6/1/53   3,390      3,020
  Northrop Grumman Corp.  5.250%   5/1/50     700        705
  Northrop Grumman Corp.  4.950%  3/15/53  17,410     16,746
  Raytheon Technologies Corp.  5.400%   5/1/35   1,260      1,275
  Raytheon Technologies Corp.  5.700%  4/15/40   1,000      1,028
  Raytheon Technologies Corp.  4.200% 12/15/44   1,000        799
  Raytheon Technologies Corp.  4.050%   5/4/47   4,000      3,312
  Raytheon Technologies Corp.  5.375%  2/27/53  22,950     23,044
  Republic Services Inc.  5.000%   4/1/34   9,960      9,896
  Rockwell Automation Inc.  2.800%  8/15/61  17,445     11,140
5 Rolls-Royce plc  3.625% 10/14/25      50         47
5 Rolls-Royce plc  5.750% 10/15/27     160        158
5 Spirit AeroSystems Inc.  7.500%  4/15/25      29         29
  Spirit AeroSystems Inc.  4.600%  6/15/28      49         42
5 Spirit AeroSystems Inc.  9.375% 11/30/29     269        288
5 TopBuild Corp.  3.625%  3/15/29      45         40
5 TopBuild Corp.  4.125%  2/15/32      85         73
5 TransDigm Inc.  6.250%  3/15/26     574        572
5 TransDigm Inc.  6.750%  8/15/28      60         60
  TransDigm Inc.  4.625%  1/15/29     215        192
5 Triumph Group Inc.  9.000%  3/15/28      71         73
  Union Pacific Corp.  3.600%  9/15/37  18,335     15,619
  Union Pacific Corp.  3.375%  2/14/42  20,855     16,658
  Union Pacific Corp.  2.950%  3/10/52  39,160     26,938
  Union Pacific Corp.  3.500%  2/14/53  10,370      7,968
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Union Pacific Corp.  3.550%  5/20/61   7,500      5,529
  Union Pacific Corp.  5.150%  1/20/63  31,730     31,625
  Union Pacific Corp.  3.850%  2/14/72  20,415     15,568
3 United Airlines Class AA Series 2019-2 Pass Through Trust  2.700%  11/1/33   1,670      1,416
5 United Airlines Inc.  4.375%  4/15/26     405        384
5 United Airlines Inc.  4.625%  4/15/29     300        272
  United Parcel Service Inc.  4.875% 11/15/40   3,000      2,939
  United Parcel Service Inc.  4.250%  3/15/49   2,000      1,785
  United Parcel Service Inc.  3.400%   9/1/49   3,837      3,010
  United Parcel Service Inc.  5.300%   4/1/50   2,205      2,300
                                          697,077
Materials (0.9%)
5 Advanced Drainage Systems Inc.  6.375%  6/15/30      50         50
  Air Products and Chemicals Inc.  2.700%  5/15/40   2,995      2,233
  Air Products and Chemicals Inc.  2.800%  5/15/50   3,040      2,155
5 Arconic Corp.  6.000%  5/15/25      45         46
5 Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc  4.000%   9/1/29      93         76
5 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.  5.250%  4/30/25      52         51
5 ASP Unifrax Holdings Inc.  5.250%  9/30/28     175        130
  Ball Corp.  2.875%  8/15/30     324        267
  Ball Corp.  3.125%  9/15/31     165        136
5 Berry Global Inc.  4.875%  7/15/26     236        228
  BHP Billiton Finance USA Ltd.  4.125%  2/24/42  29,647     26,566
  BHP Billiton Finance USA Ltd.  5.000%  9/30/43   6,251      6,202
5 Big River Steel LLC / BRS Finance Corp.  6.625%  1/31/29     160        159
5 Canpack SA / Canpack US LLC  3.875% 11/15/29     405        328
5 Chemours Co.  4.625% 11/15/29     385        326
  Ecolab Inc.  3.950%  12/1/47   1,558      1,316
  Ecolab Inc.  2.125%  8/15/50   1,380        810
  Ecolab Inc.  2.700% 12/15/51  34,110     22,289
5 Element Solutions Inc.  3.875%   9/1/28     127        113
  FMC Corp.  6.375%  5/18/53   2,050      2,043
5 Graphic Packaging International LLC  3.500%  3/15/28      57         51
5 Graphic Packaging International LLC  3.750%   2/1/30      15         13
5 Hudbay Minerals Inc.  4.500%   4/1/26     445        423
5 Ingevity Corp.  3.875%  11/1/28      80         69
5 Kaiser Aluminum Corp.  4.500%   6/1/31     245        201
  Linde Inc.  3.550%  11/7/42   1,799      1,456
7 Linde plc  1.625%  3/31/35     500        441
5 Novelis Corp.  4.750%  1/30/30     115        103
5 Novelis Corp.  3.875%  8/15/31     199        166
  Nutrien Ltd.  5.800%  3/27/53   3,305      3,322
5 Olympus Water US Holding Corp.  4.250%  10/1/28      88         71
5 Olympus Water US Holding Corp.  9.750% 11/15/28     195        188
5 Owens-Brockway Glass Container Inc.  7.250%  5/15/31      40         41
5 Pactiv Evergreen Group Issuer Inc./Pactiv Evergreen Group Issuer LLC  4.375% 10/15/28     215        191
  Rio Tinto Finance USA Ltd.  5.200%  11/2/40   2,000      2,016
  Rio Tinto Finance USA Ltd.  2.750%  11/2/51  31,810     21,394
  Rio Tinto Finance USA plc  4.125%  8/21/42  29,895     26,175
  Rio Tinto Finance USA plc  5.125%   3/9/53  21,575     21,647
5 Sealed Air Corp.  5.000%  4/15/29     200        187
 
87

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 SPCM SA  3.125%  3/15/27     305        274
5 SPCM SA  3.375%  3/15/30     240        200
5 WR Grace Holdings LLC  5.625%  8/15/29     230        194
5 WR Grace Holdings LLC  7.375%   3/1/31      30         30
                                          144,377
Real Estate (0.5%)
  Agree LP  2.600%  6/15/33   1,760      1,351
  Alexandria Real Estate Equities Inc.  4.750%  4/15/35   3,800      3,558
  Alexandria Real Estate Equities Inc.  4.000%   2/1/50   1,935      1,465
  Alexandria Real Estate Equities Inc.  3.550%  3/15/52   1,000        698
  American Homes 4 Rent LP  3.375%  7/15/51   1,925      1,263
  Crown Castle Inc.  2.900%   4/1/41   4,700      3,235
  Essex Portfolio LP  4.500%  3/15/48   1,700      1,369
  Kilroy Realty LP  2.650% 11/15/33     800        554
  Mid-America Apartments LP  2.875%  9/15/51   2,250      1,452
  MPT Operating Partnership LP / MPT Finance Corp.  3.500%  3/15/31     435        313
  National Retail Properties Inc.  3.500%  4/15/51   3,330      2,269
  NNN REIT Inc.  4.800% 10/15/48     500        415
  NNN REIT Inc.  3.100%  4/15/50   5,790      3,596
5 Ontario Teachers' Cadillac Fairview Properties Trust  4.125%   2/1/29   3,000      2,720
7 Prologis Euro Finance LLC  4.250%  1/31/43     600        612
  Prologis LP  5.250%  6/15/53  13,057     12,870
  Public Storage  5.350%   8/1/53   6,085      6,076
7 Realty Income Corp.  5.125%   7/6/34     300        337
  SBA Communications Corp.  3.875%  2/15/27     205        189
  SBA Communications Corp.  3.125%   2/1/29     115         97
  Simon Property Group LP  4.250%  10/1/44   3,005      2,396
  Simon Property Group LP  3.250%  9/13/49  33,520     22,491
  Simon Property Group LP  3.800%  7/15/50   4,500      3,339
                                          72,665
Technology (10.0%)
  Advanced Micro Devices Inc.  4.393%   6/1/52   3,410      3,070
  Apple Inc.  2.375%   2/8/41  18,015     13,102
  Apple Inc.  3.850%   5/4/43  51,554     45,791
  Apple Inc.  3.450%   2/9/45  39,295     32,674
  Apple Inc.  4.375%  5/13/45  25,166     23,685
  Apple Inc.  4.650%  2/23/46  36,677     35,962
  Apple Inc.  3.850%   8/4/46  42,065     36,620
  Apple Inc.  4.250%   2/9/47  36,959     34,867
  Apple Inc.  3.750%  9/12/47   5,000      4,279
  Apple Inc.  3.750% 11/13/47  24,095     20,650
  Apple Inc.  2.950%  9/11/49  33,382     24,639
  Apple Inc.  2.400%  8/20/50   4,140      2,749
  Apple Inc.  2.650%   2/8/51  59,650     40,802
  Apple Inc.  2.700%   8/5/51  53,725     37,122
  Apple Inc.  3.950%   8/8/52  28,965     25,394
  Apple Inc.  4.850%  5/10/53  25,395     25,806
  Apple Inc.  2.550%  8/20/60   7,000      4,552
  Apple Inc.  2.850%   8/5/61   1,600      1,070
  Apple Inc.  4.100%   8/8/62  27,070     23,569
  Applied Materials Inc.  5.100%  10/1/35      95         96
  Applied Materials Inc.  4.350%   4/1/47   1,775      1,640
  Block Inc.  3.500%   6/1/31      25         21
5 Broadcom Inc.  3.137% 11/15/35   2,500      1,919
5 Broadcom Inc.  3.187% 11/15/36   2,230      1,683
  Cisco Systems Inc.  5.900%  2/15/39  13,465     14,822
  Cisco Systems Inc.  5.500%  1/15/40  17,202     18,224
5 Cloud Software Group Inc.  6.500%  3/31/29      25         23
5 CommScope Inc.  7.125%   7/1/28     136         91
  Dell International LLC / EMC Corp.  5.750%   2/1/33   9,783      9,922
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dell International LLC / EMC Corp.  8.100%  7/15/36   1,727      2,007
5 Dell International LLC / EMC Corp.  3.375% 12/15/41   3,000      2,134
5 Entegris Escrow Corp.  4.750%  4/15/29   1,980      1,848
5 Entegris Escrow Corp.  5.950%  6/15/30     490        470
5 Imola Merger Corp.  4.750%  5/15/29     225        198
  Intel Corp.  5.625%  2/10/43  18,350     18,549
  Intel Corp.  4.100%  5/19/46   7,330      6,156
  Intel Corp.  4.100%  5/11/47  33,355     27,975
  Intel Corp.  3.734%  12/8/47  56,122     43,775
  Intel Corp.  3.250% 11/15/49  42,600     29,946
  Intel Corp.  4.750%  3/25/50   5,500      4,945
  Intel Corp.  3.050%  8/12/51  17,768     11,804
  Intel Corp.  4.900%   8/5/52  30,465     28,296
  Intel Corp.  5.700%  2/10/53  21,640     22,072
  Intel Corp.  3.100%  2/15/60  19,740     12,657
  Intel Corp.  3.200%  8/12/61   3,400      2,197
  Intel Corp.  5.050%   8/5/62  23,310     21,663
  Intel Corp.  5.900%  2/10/63  14,300     14,781
  International Business Machines Corp.  4.150%  5/15/39  29,305     25,556
  International Business Machines Corp.  4.000%  6/20/42   4,443      3,752
  International Business Machines Corp.  4.250%  5/15/49  35,713     30,404
  International Business Machines Corp.  3.430%   2/9/52  13,845     10,034
  International Business Machines Corp.  4.900%  7/27/52  21,500     20,077
  KLA Corp.  5.000%  3/15/49   1,256      1,211
  KLA Corp.  4.950%  7/15/52   3,790      3,676
  Mastercard Inc.  3.950%  2/26/48  25,075     21,883
  Mastercard Inc.  3.650%   6/1/49   2,422      2,000
  Mastercard Inc.  3.850%  3/26/50   4,500      3,841
  Mastercard Inc.  2.950%  3/15/51   3,000      2,168
5 McAfee Corp.  7.375%  2/15/30     470        406
  Microsoft Corp.  3.500%  2/12/35   5,103      4,707
  Microsoft Corp.  2.525%   6/1/50 185,072    126,277
  Microsoft Corp.  2.921%  3/17/52  94,207     68,721
  Microsoft Corp.  2.675%   6/1/60  68,199     45,022
  Microsoft Corp.  3.041%  3/17/62  49,409     35,309
  NVIDIA Corp.  3.500%   4/1/40  22,525     19,183
  NVIDIA Corp.  3.500%   4/1/50  22,660     18,226
  NVIDIA Corp.  3.700%   4/1/60  13,140     10,698
  Oracle Corp.  6.500%  4/15/38  42,605     45,344
  Oracle Corp.  5.375%  7/15/40  19,240     18,323
  Oracle Corp.  4.125%  5/15/45  24,805     19,532
  Oracle Corp.  4.000%  7/15/46  22,790     17,488
  Oracle Corp.  6.900%  11/9/52   7,600      8,516
  QUALCOMM Inc.  4.800%  5/20/45  12,300     11,892
  QUALCOMM Inc.  4.300%  5/20/47  43,145     38,568
  QUALCOMM Inc.  4.500%  5/20/52  19,500     17,598
  QUALCOMM Inc.  6.000%  5/20/53  25,365     28,215
  S&P Global Inc.  3.250%  12/1/49   2,000      1,486
  S&P Global Inc.  3.700%   3/1/52  59,428     47,931
5 Sabre GLBL Inc.  7.375%   9/1/25      94         85
  Salesforce Inc.  2.700%  7/15/41   5,150      3,740
  Salesforce Inc.  2.900%  7/15/51  30,670     21,163
  Salesforce Inc.  3.050%  7/15/61  20,640     13,788
5 Seagate HDD Cayman  8.250% 12/15/29      25         26
5 Seagate HDD Cayman  8.500%  7/15/31      45         47
5 SS&C Technologies Inc.  5.500%  9/30/27     287        278
  Texas Instruments Inc.  3.875%  3/15/39   6,056      5,366
  Texas Instruments Inc.  4.100%  8/16/52   1,250      1,090
  Texas Instruments Inc.  5.000%  3/14/53  26,310     26,236
  Texas Instruments Inc.  5.050%  5/18/63  18,850     18,632
  Visa Inc.  2.700%  4/15/40   4,500      3,431
 
88

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Visa Inc.  4.300% 12/14/45  38,196     35,417
  Visa Inc.  3.650%  9/15/47  37,123     30,984
                                          1,604,644
Utilities (15.4%)
  AEP Transmission Co. LLC  3.750%  12/1/47  38,300     30,657
  AEP Transmission Co. LLC  4.250%  9/15/48   5,580      4,790
  AEP Transmission Co. LLC  3.800%  6/15/49   5,436      4,288
  AEP Transmission Co. LLC  3.650%   4/1/50   3,525      2,751
  AEP Transmission Co. LLC  4.500%  6/15/52   8,950      8,021
  AEP Transmission Co. LLC  5.400%  3/15/53   1,130      1,165
  Alabama Power Co.  6.000%   3/1/39   9,745     10,198
  Alabama Power Co.  5.500%  3/15/41  26,874     26,062
  Alabama Power Co.  5.200%   6/1/41  14,920     14,050
  Alabama Power Co.  3.850%  12/1/42   1,065        880
  Alabama Power Co.  3.750%   3/1/45  23,325     18,329
  Alabama Power Co.  3.450%  10/1/49   1,944      1,428
  Alabama Power Co.  3.125%  7/15/51   2,700      1,852
  Ameren Illinois Co.  4.500%  3/15/49  27,960     25,034
  Ameren Illinois Co.  2.900%  6/15/51   3,000      2,002
  Ameren Illinois Co.  5.900%  12/1/52   3,310      3,591
  Appalachian Power Co.  6.700%  8/15/37  17,970     19,204
  Appalachian Power Co.  4.400%  5/15/44   1,995      1,631
  Appalachian Power Co.  3.700%   5/1/50   3,760      2,792
  Atmos Energy Corp.  4.150%  1/15/43   1,420      1,220
  Atmos Energy Corp.  4.125% 10/15/44   2,150      1,812
  Atmos Energy Corp.  3.375%  9/15/49   2,890      2,132
  Baltimore Gas and Electric Co.  6.350%  10/1/36   1,165      1,254
  Baltimore Gas and Electric Co.  4.250%  9/15/48  26,475     22,333
  Baltimore Gas and Electric Co.  4.550%   6/1/52   1,840      1,636
  Berkshire Hathaway Energy Co.  6.125%   4/1/36   6,612      6,962
  Berkshire Hathaway Energy Co.  5.950%  5/15/37   4,890      5,024
  Berkshire Hathaway Energy Co.  5.150% 11/15/43  25,000     23,467
  Berkshire Hathaway Energy Co.  4.500%   2/1/45  45,725     39,333
  Berkshire Hathaway Energy Co.  4.450%  1/15/49  10,604      8,997
5 Brooklyn Union Gas Co.  4.487%   3/4/49  35,000     26,670
6 Cadent Finance plc  2.750%  9/22/46     200        153
5 Calpine Corp.  5.125%  3/15/28     295        268
  CenterPoint Energy Houston Electric LLC  2.900%   7/1/50   5,200      3,487
  CenterPoint Energy Houston Electric LLC  3.350%   4/1/51   1,330        987
  CenterPoint Energy Houston Electric LLC  3.600%   3/1/52   2,000      1,538
  CenterPoint Energy Houston Electric LLC  4.850%  10/1/52   3,800      3,583
  CenterPoint Energy Houston Electric LLC  5.300%   4/1/53     330        336
  CenterPoint Energy Inc.  3.700%   9/1/49   1,244        926
  CenterPoint Energy Resources Corp.  4.100%   9/1/47   2,615      2,128
5 Clearway Energy Operating LLC  3.750%  2/15/31     230        191
  CMS Energy Corp.  4.875%   3/1/44   2,902      2,645
  Comision Federal de Electricidad  3.875%  7/26/33   2,245      1,748
  Commonwealth Edison Co.  5.900%  3/15/36   2,370      2,466
  Commonwealth Edison Co.  3.800%  10/1/42  20,733     16,961
  Commonwealth Edison Co.  4.600%  8/15/43  15,205     13,795
  Commonwealth Edison Co.  4.700%  1/15/44  15,891     14,279
  Commonwealth Edison Co.  3.700%   3/1/45  17,765     14,066
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commonwealth Edison Co.  4.350% 11/15/45  11,060      9,606
  Commonwealth Edison Co.  3.650%  6/15/46  13,732     10,629
  Commonwealth Edison Co.  4.000%   3/1/48   8,765      7,279
  Commonwealth Edison Co.  4.000%   3/1/49  13,485     11,045
  Commonwealth Edison Co.  3.000%   3/1/50   2,000      1,368
  Commonwealth Edison Co.  3.125%  3/15/51   2,060      1,442
  Commonwealth Edison Co.  2.750%   9/1/51   1,500        959
  Commonwealth Edison Co.  3.850%  3/15/52   1,500      1,196
  Commonwealth Edison Co.  5.300%   2/1/53   2,170      2,195
  Connecticut Light and Power Co.  6.350%   6/1/36  14,382     15,231
  Connecticut Light and Power Co.  4.300%  4/15/44   1,390      1,195
  Connecticut Light and Power Co.  4.150%   6/1/45  16,885     14,342
  Connecticut Light and Power Co.  4.000%   4/1/48   6,645      5,571
  Connecticut Light and Power Co.  5.250%  1/15/53   2,100      2,114
  Consolidated Edison Co. of New York Inc.  5.100%  6/15/33     691        660
  Consolidated Edison Co. of New York Inc.  5.850%  3/15/36   9,947     10,122
  Consolidated Edison Co. of New York Inc.  6.200%  6/15/36  10,637     11,095
  Consolidated Edison Co. of New York Inc.  6.750%   4/1/38   9,600     10,651
  Consolidated Edison Co. of New York Inc.  5.500%  12/1/39   8,668      8,510
  Consolidated Edison Co. of New York Inc.  5.700%  6/15/40     852        854
  Consolidated Edison Co. of New York Inc.  4.200%  3/15/42  10,501      8,920
  Consolidated Edison Co. of New York Inc.  3.950%   3/1/43   8,740      7,157
  Consolidated Edison Co. of New York Inc.  4.450%  3/15/44  50,016     43,465
  Consolidated Edison Co. of New York Inc.  4.500%  12/1/45   5,715      4,961
  Consolidated Edison Co. of New York Inc.  3.850%  6/15/46   7,000      5,442
  Consolidated Edison Co. of New York Inc.  3.875%  6/15/47   1,000        789
  Consolidated Edison Co. of New York Inc.  4.650%  12/1/48   2,995      2,642
  Consolidated Edison Co. of New York Inc.  4.125%  5/15/49   1,000        812
  Consolidated Edison Co. of New York Inc.  3.950%   4/1/50   2,000      1,624
  Consolidated Edison Co. of New York Inc.  3.200%  12/1/51  37,355     25,802
  Consolidated Edison Co. of New York Inc.  6.150% 11/15/52  10,315     11,331
  Consolidated Edison Co. of New York Inc.  4.625%  12/1/54   5,425      4,732
  Consolidated Edison Co. of New York Inc.  4.500%  5/15/58     947        793
  Consolidated Edison Co. of New York Inc.  3.000%  12/1/60  25,563     16,088
  Consumers Energy Co.  3.250%  8/15/46   3,270      2,393
  Consumers Energy Co.  3.750%  2/15/50   1,944      1,538
  Consumers Energy Co.  3.100%  8/15/50  33,646     23,652
  Consumers Energy Co.  2.650%  8/15/52  11,455      7,316
  Consumers Energy Co.  4.200%   9/1/52  11,380      9,655
  Consumers Energy Co.  2.500%   5/1/60  12,610      7,138
  Dominion Energy South Carolina Inc.  6.050%  1/15/38  11,775     12,433
  Dominion Energy South Carolina Inc.  5.450%   2/1/41   3,000      2,950
 
89

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dominion Energy South Carolina Inc.  4.600%  6/15/43   2,340      2,128
  DTE Electric Co.  4.300%   7/1/44   3,320      2,840
  DTE Electric Co.  3.700%  3/15/45   2,910      2,296
  DTE Electric Co.  2.950%   3/1/50   2,235      1,514
  DTE Electric Co.  3.250%   4/1/51   2,000      1,439
  DTE Electric Co.  3.650%   3/1/52  10,715      8,313
  DTE Electric Co.  5.400%   4/1/53   2,260      2,326
  Duke Energy Carolinas LLC  6.100%   6/1/37  11,230     11,762
  Duke Energy Carolinas LLC  5.300%  2/15/40   8,910      8,871
  Duke Energy Carolinas LLC  4.250% 12/15/41  16,300     14,011
  Duke Energy Carolinas LLC  4.000%  9/30/42  42,092     34,844
  Duke Energy Carolinas LLC  3.750%   6/1/45   1,643      1,287
  Duke Energy Carolinas LLC  3.875%  3/15/46   2,000      1,587
  Duke Energy Carolinas LLC  3.700%  12/1/47   1,500      1,168
  Duke Energy Carolinas LLC  3.200%  8/15/49     947        672
  Duke Energy Carolinas LLC  3.450%  4/15/51  10,945      7,975
  Duke Energy Carolinas LLC  3.550%  3/15/52   1,300        977
  Duke Energy Carolinas LLC  5.350%  1/15/53     379        381
  Duke Energy Corp.  5.000%  8/15/52  16,620     15,109
  Duke Energy Florida LLC  6.350%  9/15/37     758        822
  Duke Energy Florida LLC  5.650%   4/1/40   3,350      3,410
  Duke Energy Florida LLC  3.850% 11/15/42   1,466      1,178
  Duke Energy Florida LLC  3.400%  10/1/46   2,000      1,479
  Duke Energy Florida LLC  4.200%  7/15/48   2,950      2,489
  Duke Energy Florida LLC  3.000% 12/15/51   2,450      1,666
  Duke Energy Indiana LLC  6.120% 10/15/35   1,000      1,038
  Duke Energy Indiana LLC  6.350%  8/15/38     775        836
  Duke Energy Indiana LLC  6.450%   4/1/39   1,311      1,416
  Duke Energy Indiana LLC  4.200%  3/15/42  12,700     10,516
  Duke Energy Indiana LLC  4.900%  7/15/43  29,514     27,929
  Duke Energy Indiana LLC  2.750%   4/1/50   9,000      5,697
  Duke Energy Indiana LLC  5.400%   4/1/53  17,060     17,110
  Duke Energy Ohio Inc.  3.700%  6/15/46  10,325      7,782
  Duke Energy Ohio Inc.  4.300%   2/1/49   1,000        834
  Duke Energy Ohio Inc.  5.650%   4/1/53   3,305      3,396
  Duke Energy Progress LLC  4.100%  5/15/42   2,250      1,902
  Duke Energy Progress LLC  4.100%  3/15/43  23,186     19,378
  Duke Energy Progress LLC  4.150%  12/1/44  29,945     25,024
  Duke Energy Progress LLC  4.200%  8/15/45  22,105     18,305
  Duke Energy Progress LLC  3.700% 10/15/46  22,000     16,936
  Duke Energy Progress LLC  3.600%  9/15/47   2,000      1,521
  Duke Energy Progress LLC  2.500%  8/15/50   1,000        618
  Duke Energy Progress LLC  2.900%  8/15/51  14,785      9,747
  Duke Energy Progress LLC  4.000%   4/1/52   7,295      5,897
5 Electricite de France SA  6.250%  5/23/33   2,935      3,022
7 Enel Finance International NV  4.500%  2/20/43     500        535
6 Engie SA  5.000%  10/1/60     500        567
  Entergy Arkansas LLC  2.650%  6/15/51   2,665      1,653
  Entergy Louisiana LLC  4.000%  3/15/33     651        591
  Entergy Louisiana LLC  4.950%  1/15/45   1,046        958
  Entergy Louisiana LLC  4.200%   9/1/48   1,400      1,163
  Entergy Louisiana LLC  4.200%   4/1/50   1,500      1,245
  Entergy Louisiana LLC  2.900%  3/15/51   2,800      1,820
  Evergy Kansas Central Inc.  4.125%   3/1/42   1,112        927
  Evergy Kansas Central Inc.  4.625%   9/1/43   1,231      1,035
  Evergy Kansas Central Inc.  3.250%   9/1/49   8,050      5,699
  Evergy Kansas Central Inc.  3.450%  4/15/50     500        365
  Exelon Corp.  4.100%  3/15/52   2,365      1,893
  FirstEnergy Corp.  2.650%   3/1/30   1,475      1,243
  Florida Power & Light Co.  4.800%  5/15/33  15,065     14,936
  Florida Power & Light Co.  5.650%   2/1/37   1,500      1,555
  Florida Power & Light Co.  5.960%   4/1/39     947      1,016
  Florida Power & Light Co.  5.690%   3/1/40     663        692
  Florida Power & Light Co.  5.250%   2/1/41   2,779      2,777
  Florida Power & Light Co.  3.950%   3/1/48   5,859      4,896
  Florida Power & Light Co.  3.990%   3/1/49   2,890      2,404
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Florida Power & Light Co.  5.300%   4/1/53  19,690     20,233
  Georgia Power Co.  4.750%   9/1/40  33,945     31,164
  Georgia Power Co.  4.300%  3/15/42  10,641      9,189
  Georgia Power Co.  3.700%  1/30/50  17,230     13,249
  Idaho Power Co.  5.500%  3/15/53   1,530      1,556
  Indiana Michigan Power Co.  5.625%   4/1/53   4,945      5,129
3 John Sevier Combined Cycle Generation LLC  4.626%  1/15/42  17,330     16,274
  Kentucky Utilities Co.  5.125%  11/1/40   5,084      4,886
  Kentucky Utilities Co.  4.375%  10/1/45  18,000     15,027
  Kentucky Utilities Co.  3.300%   6/1/50   1,900      1,353
  Louisville Gas and Electric Co.  4.250%   4/1/49  17,050     14,259
5 Massachusetts Electric Co.  4.004%  8/15/46  10,890      8,143
  MidAmerican Energy Co.  5.800% 10/15/36   1,473      1,525
  MidAmerican Energy Co.  4.800%  9/15/43  22,525     20,814
  MidAmerican Energy Co.  4.250%   5/1/46  24,721     20,818
  MidAmerican Energy Co.  3.950%   8/1/47   2,000      1,610
  MidAmerican Energy Co.  4.250%  7/15/49  15,510     13,090
  MidAmerican Energy Co.  3.150%  4/15/50   1,000        692
  MidAmerican Energy Co.  2.700%   8/1/52   1,250        782
5 Monongahela Power Co.  5.400% 12/15/43  10,640     10,173
6 National Grid Electricity Transmission plc  5.272%  1/18/43     600        720
  National Rural Utilities Cooperative Finance Corp.  4.023%  11/1/32   2,100      1,922
  National Rural Utilities Cooperative Finance Corp.  4.300%  3/15/49  13,055     10,862
  Nevada Power Co.  6.650%   4/1/36   5,830      6,268
  Nevada Power Co.  5.450%  5/15/41  21,620     20,676
5 New England Power Co.  2.807%  10/6/50  15,615      9,957
  NextEra Energy Capital Holdings Inc.  5.250%  2/28/53  26,465     25,335
5 NextEra Energy Operating Partners LP  3.875% 10/15/26     205        191
5 NextEra Energy Operating Partners LP  4.500%  9/15/27      40         37
  Northern States Power Co.  6.250%   6/1/36     780        842
  Northern States Power Co.  6.200%   7/1/37   1,944      2,097
  Northern States Power Co.  5.350%  11/1/39     758        756
  Northern States Power Co.  3.400%  8/15/42   1,000        779
  Northern States Power Co.  4.000%  8/15/45     805        651
  Northern States Power Co.  3.600%  9/15/47  12,525      9,700
  Northern States Power Co.  4.200%   9/1/48  12,250      9,745
  Northern States Power Co.  2.600%   6/1/51  14,765      9,363
  Northern States Power Co.  4.500%   6/1/52   3,000      2,683
  Northern States Power Co.  5.100%  5/15/53  23,000     22,482
  NRG Energy Inc.  6.625%  1/15/27      24         24
  NSTAR Electric Co.  3.100%   6/1/51   1,000        696
  Oglethorpe Power Corp.  5.050%  10/1/48   8,535      7,538
  Ohio Power Co.  4.000%   6/1/49   2,724      2,176
  Oncor Electric Delivery Co. LLC  7.500%   9/1/38   1,420      1,716
  Oncor Electric Delivery Co. LLC  5.250%  9/30/40   3,103      3,107
  Oncor Electric Delivery Co. LLC  3.750%   4/1/45   7,120      5,745
  Oncor Electric Delivery Co. LLC  3.800%  9/30/47  16,908     13,411
  Oncor Electric Delivery Co. LLC  3.800%   6/1/49   1,420      1,135
  Oncor Electric Delivery Co. LLC  3.700%  5/15/50   2,195      1,710
  Oncor Electric Delivery Co. LLC  2.700% 11/15/51  10,080      6,473
  Pacific Gas and Electric Co.  4.950%   7/1/50   4,900      3,923
  Pacific Gas and Electric Co.  6.750%  1/15/53  27,809     27,873
  Pacific Gas and Electric Co.  6.700%   4/1/53   2,676      2,676
  PacifiCorp  5.250%  6/15/35   1,232      1,160
  PacifiCorp  6.100%   8/1/36  11,045     11,074
 
90

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PacifiCorp  6.250% 10/15/37   2,757      2,814
  PacifiCorp  6.350%  7/15/38  35,944     36,506
  PacifiCorp  6.000%  1/15/39  12,981     12,845
  PacifiCorp  4.100%   2/1/42  16,480     12,880
  PacifiCorp  4.125%  1/15/49   5,737      4,361
  PacifiCorp  4.150%  2/15/50  24,430     18,519
  PECO Energy Co.  4.800% 10/15/43  10,365      9,312
  PECO Energy Co.  4.150%  10/1/44     396        335
  PECO Energy Co.  3.700%  9/15/47  15,500     12,136
  PECO Energy Co.  3.900%   3/1/48  30,240     24,710
  PECO Energy Co.  3.050%  3/15/51   3,000      2,054
  PECO Energy Co.  4.600%  5/15/52   1,500      1,354
  PECO Energy Co.  4.375%  8/15/52   3,800      3,341
7 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara  1.875%  11/5/31   1,690      1,419
  Potomac Electric Power Co.  6.500% 11/15/37   1,160      1,278
  Potomac Electric Power Co.  7.900% 12/15/38     142        171
  Potomac Electric Power Co.  4.150%  3/15/43  13,575     11,559
  PPL Electric Utilities Corp.  6.450%  8/15/37  10,200     11,012
  PPL Electric Utilities Corp.  6.250%  5/15/39  10,924     11,863
  PPL Electric Utilities Corp.  5.200%  7/15/41   1,183      1,118
  PPL Electric Utilities Corp.  3.950%   6/1/47  12,500     10,316
  PPL Electric Utilities Corp.  5.250%  5/15/53   2,210      2,225
  Public Service Co. of Colorado  6.250%   9/1/37     960      1,012
  Public Service Co. of Colorado  3.600%  9/15/42  20,555     15,951
  Public Service Co. of Colorado  4.300%  3/15/44   2,761      2,344
  Public Service Co. of Colorado  3.800%  6/15/47   2,260      1,746
  Public Service Co. of Colorado  4.050%  9/15/49  34,010     27,356
  Public Service Co. of Colorado  4.500%   6/1/52   5,660      4,868
  Public Service Co. of New Hampshire  5.150%  1/15/53   1,050      1,045
  Public Service Electric and Gas Co.  3.600%  12/1/47   2,000      1,577
  Public Service Electric and Gas Co.  3.850%   5/1/49   2,890      2,359
  Public Service Electric and Gas Co.  3.200%   8/1/49   1,065        780
  Public Service Electric and Gas Co.  2.700%   5/1/50  17,600     11,682
  Public Service Electric and Gas Co.  3.000%   3/1/51   3,000      2,093
  Public Service Electric and Gas Co.  5.125%  3/15/53  19,940     20,198
  Puget Sound Energy Inc.  6.274%  3/15/37     473        499
  Puget Sound Energy Inc.  5.757%  10/1/39   1,042      1,049
  Puget Sound Energy Inc.  5.795%  3/15/40  15,992     16,074
  Puget Sound Energy Inc.  4.300%  5/20/45     379        315
  Puget Sound Energy Inc.  4.223%  6/15/48  22,045     18,419
  Puget Sound Energy Inc.  3.250%  9/15/49  35,150     24,694
  Puget Sound Energy Inc.  2.893%  9/15/51  14,200      9,226
3,5 Rayburn Country Securitization LLC  3.025%  12/1/43   8,724      6,822
  San Diego Gas & Electric Co.  4.500%  8/15/40   2,000      1,811
  San Diego Gas & Electric Co.  3.750%   6/1/47   1,000        776
  San Diego Gas & Electric Co.  4.100%  6/15/49   2,081      1,687
  San Diego Gas & Electric Co.  2.950%  8/15/51   1,500      1,015
  San Diego Gas & Electric Co.  3.700%  3/15/52  21,475     16,413
  Saudi Electricity Sukuk Programme Co.  5.684%  4/11/53   2,626      2,591
6 Scottish Hydro Electric Transmission plc  2.125%  3/24/36     619        543
6 Severn Trent Utilities Finance plc  4.875%  1/24/42     400        455
  Southern California Edison Co.  5.625%   2/1/36     925        922
  Southern California Edison Co.  5.950%   2/1/38  11,060     11,365
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Southern California Edison Co.  4.500%   9/1/40  14,228     12,318
  Southern California Edison Co.  3.900%  12/1/41   7,660      5,905
  Southern California Edison Co.  4.050%  3/15/42   1,704      1,381
  Southern California Edison Co.  3.900%  3/15/43  21,775     17,148
  Southern California Edison Co.  4.650%  10/1/43  21,739     19,035
  Southern California Edison Co.  3.600%   2/1/45   3,837      2,781
  Southern California Edison Co.  4.000%   4/1/47  41,120     32,992
  Southern California Edison Co.  4.125%   3/1/48  36,182     29,427
  Southern California Edison Co.  4.875%   3/1/49   1,415      1,260
  Southern California Edison Co.  3.650%   2/1/50  12,650      9,481
  Southern California Edison Co.  2.950%   2/1/51   1,505        986
  Southern California Edison Co.  3.450%   2/1/52  23,965     17,000
  Southern California Edison Co.  5.450%   6/1/52  23,110     22,392
  Southern California Edison Co.  5.875%  12/1/53  16,107     16,531
  Southern California Gas Co.  5.125% 11/15/40   1,870      1,802
  Southern California Gas Co.  4.125%   6/1/48  30,835     24,382
  Southern California Gas Co.  4.300%  1/15/49  15,075     12,530
  Southern California Gas Co.  6.350% 11/15/52   6,090      6,731
  Southern California Gas Co.  5.750%   6/1/53  27,605     28,162
  Southern Co. Gas Capital Corp.  4.400%  5/30/47   4,915      4,062
  Southwestern Public Service Co.  4.500%  8/15/41  23,975     20,703
  Southwestern Public Service Co.  3.700%  8/15/47  20,540     15,572
  Southwestern Public Service Co.  3.750%  6/15/49   3,490      2,663
  Southwestern Public Service Co.  3.150%   5/1/50  10,750      7,350
  Tampa Electric Co.  3.450%  3/15/51   2,000      1,424
  Tampa Electric Co.  5.000%  7/15/52   3,790      3,491
  Tucson Electric Power Co.  3.250%   5/1/51  20,000     13,419
  Tucson Electric Power Co.  5.500%  4/15/53  12,165     12,030
  Union Electric Co.  3.900%  9/15/42   4,326      3,486
  Union Electric Co.  4.000%   4/1/48  21,550     17,387
  Union Electric Co.  3.250%  10/1/49   2,025      1,416
  Union Electric Co.  3.900%   4/1/52   9,575      7,770
  Union Electric Co.  5.450%  3/15/53   7,415      7,531
  Virginia Electric and Power Co.  6.000%  5/15/37  52,203     54,465
  Virginia Electric and Power Co.  6.350% 11/30/37   1,944      2,053
  Virginia Electric and Power Co.  4.450%  2/15/44  15,490     13,343
  Virginia Electric and Power Co.  4.200%  5/15/45   2,000      1,647
  Virginia Electric and Power Co.  4.000% 11/15/46   8,725      6,921
  Virginia Electric and Power Co.  3.800%  9/15/47  34,972     27,124
  Virginia Electric and Power Co.  4.600%  12/1/48   7,310      6,463
  Virginia Electric and Power Co.  3.300%  12/1/49   1,400      1,003
  Virginia Electric and Power Co.  2.450% 12/15/50  18,170     10,915
 
91

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Virginia Electric and Power Co.  2.950% 11/15/51  16,390     10,952
  Virginia Electric and Power Co.  4.625%  5/15/52  19,040     16,925
  Virginia Electric and Power Co.  5.450%   4/1/53  16,730     16,842
5 Vistra Operations Co. LLC  5.625%  2/15/27     105        102
5 Vistra Operations Co. LLC  5.000%  7/31/27     200        188
  Wisconsin Electric Power Co.  5.625%  5/15/33     521        540
  Wisconsin Public Service Corp.  3.300%   9/1/49   4,034      2,884
  Xcel Energy Inc.  3.500%  12/1/49   1,340        966
                                          2,473,402
Total Corporate Bonds (Cost $15,127,318) 12,870,179
Floating Rate Loan Interests (0.0%)
8 American Airlines Inc. Term Loan, TSFR3M + 4.750% 10.338%  4/20/28     317        328
8 CDK Global Inc. Term Loan B, TSFR3M + 4.250%  9.492%   7/6/29      84         84
8 Cloud Software Group Inc. Term Loan B, TSFR3M + 4.500%  9.842%  3/30/29      30         29
8 DirecTV Financing LLC Term Loan, TSFR1M + 5.000% 10.433%   8/2/27     115        114
8 First Student Bidco Inc. Term Loan B, TSFR3M + 4.000%  9.342%  7/21/28     235        230
8 First Student Bidco Inc. Term Loan C, TSFR3M + 4.000%  9.342%  7/21/28      16         16
8 Fortrea Holdings Inc. Term Loan B TSFR3M + 3.750%  8.992%   7/1/30      15         15
8 McAfee LLC Term Loan B, TSFR1M + 3.750%  8.963%   3/1/29      79         76
8 Medline Borrower LP Term Loan B, TSFR1M + 3.250%  8.683% 10/23/28     164        162
8 SBA Senior Finance II LLC Term Loan B, TSFR1M + 1.750%  7.170%  4/11/25      15         15
8 Spirit AeroSystems Inc. Term Loan, TSFR3M + 4.500%  9.869%  1/15/27       2          2
Total Floating Rate Loan Interests (Cost $1,050) 1,071
Sovereign Bonds (1.2%)
5 Bank Gospodarstwa Krajowego  5.375%  5/22/33   2,562      2,557
5 CDP Financial Inc.  5.600% 11/25/39   1,500      1,596
  Government of Bermuda  5.000%  7/15/32   4,510      4,411
  Kingdom of Saudi Arabia  4.500% 10/26/46     450        391
  Kingdom of Saudi Arabia  4.625%  10/4/47   1,965      1,727
  Kingdom of Saudi Arabia  3.250% 11/17/51   3,000      2,070
5 Kingdom of Saudi Arabia  5.000%  1/18/53  36,390     33,533
  Kingdom of Saudi Arabia  5.000%  1/18/53   6,690      6,177
5 OMERS Finance Trust  4.000%  4/19/52  14,000     11,366
  Republic of Chile  3.100%   5/7/41  34,285     25,708
  Republic of Chile  3.500%  1/25/50  10,784      8,125
  Republic of Chile  3.500%  4/15/53  17,590     13,163
  Republic of Chile  5.330%   1/5/54  24,520     24,447
  Republic of Chile  3.100%  1/22/61  17,745     11,645
  Republic of Chile  3.250%  9/21/71  24,130     15,675
5 Republic of Guatemala  6.600%  6/13/36   2,460      2,517
  Republic of Indonesia  6.625%  2/17/37   3,300      3,763
3 Republic of Panama  4.500%  4/16/50     259        201
3 Republic of Panama  4.300%  4/29/53   3,830      2,863
3 Republic of Panama  3.870%  7/23/60   6,432      4,278
  Republic of Panama  4.500%  1/19/63   1,330        985
  Republic of Poland  5.750% 11/16/32   2,119      2,236
7 Republic of Poland  4.250%  2/14/43   4,400      4,726
  Republic of Poland  5.500%   4/4/53   3,213      3,267
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United Mexican States  6.350%   2/9/35   7,447      7,842
  United Mexican States  4.400%  2/12/52     974        770
  United Mexican States  6.338%   5/4/53   4,252      4,357
Total Sovereign Bonds (Cost $232,030) 200,396
Taxable Municipal Bonds (9.3%)
  American Municipal Power Inc. Electric Power & Light Revenue  6.270%  2/15/50  40,386     43,474
  Bay Area Toll Authority Highway Revenue  6.793%   4/1/30       9         10
  Bay Area Toll Authority Highway Revenue  6.918%   4/1/40  23,745     27,437
  Bay Area Toll Authority Highway Revenue  6.263%   4/1/49  10,420     12,104
  California GO  2.500%  10/1/29   4,500      3,974
  California GO  7.500%   4/1/34   4,800      5,762
  California GO  5.125%   3/1/38   2,300      2,286
  California GO  4.600%   4/1/38  31,195     29,465
  California GO  7.550%   4/1/39   6,500      8,084
  California GO  7.300%  10/1/39  37,286     44,490
  California GO  7.350%  11/1/39   1,000      1,199
  California GO  7.625%   3/1/40   3,770      4,666
  California GO  7.600%  11/1/40  60,685     76,048
  California GO  5.200%   3/1/43  13,435     13,084
  California Health Facilities Financing Authority Intergovernmental Agreement Revenue  4.353%   6/1/41   1,950      1,750
  California State Public Works Board Lease (Abatement) Revenue  8.361%  10/1/34   1,136      1,393
  California State University College & University Revenue  3.899%  11/1/47   1,620      1,363
  California State University College & University Revenue  2.975%  11/1/51  27,825     19,150
  California State University College & University Revenue  2.719%  11/1/52  10,925      7,317
  Chicago O'Hare International Airport Port, Airport & Marina Revenue  4.472%   1/1/49  11,525     10,532
  Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue  6.899%  12/1/40  42,170     47,579
  Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue  6.899%  12/1/40   9,360     10,561
  Commonwealth Financing Authority Appropriations Revenue  4.144%   6/1/38  17,060     15,279
  Commonwealth Financing Authority Appropriations Revenue (Plancon Program)  3.864%   6/1/38  19,285     16,940
  Commonwealth of Massachusetts GO  2.514%   7/1/41   6,670      4,934
  Commonwealth of Massachusetts GO  2.813%   9/1/43  40,910     29,882
  Commonwealth of Massachusetts GO  2.900%   9/1/49   6,540      4,588
  Dallas Area Rapid Transit Sales Tax Revenue  5.999%  12/1/44     189        208
  Dallas Area Rapid Transit Sales Tax Revenue  2.613%  12/1/48  25,470     17,638
  Dallas Fort Worth International Airport Port, Airport & Marina Revenue  2.843%  11/1/46  16,740     12,141
 
92

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dallas Fort Worth International Airport Port, Airport & Marina Revenue  4.087%  11/1/51   2,160      1,859
  District of Columbia Water & Sewer Authority Water Revenue  4.814%  10/1/14   1,944      1,739
  Duke University College & University Revenue  5.850%   4/1/37  29,490     32,304
  Georgia Municipal Electric Authority Electric Power & Light Revenue  6.637%   4/1/57     901      1,005
  Georgia Municipal Electric Authority Electric Power & Light Revenue  6.655%   4/1/57     324        362
  Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue  2.746%   6/1/34   1,055        855
  Golden State Tobacco Securitization Corp. Tobacco Settlement Funded Revenue  4.214%   6/1/50  26,160     19,079
  Grand Parkway Transportation Corp. Highway Revenue  5.184%  10/1/42   1,420      1,427
  Grand Parkway Transportation Corp. Texas System Highway Revenue  3.236%  10/1/52   2,690      1,921
  Houston TX GO  6.290%   3/1/32   1,707      1,788
  Houston TX GO  3.961%   3/1/47   1,500      1,300
  Illinois State Toll Highway Authority Highway Revenue  6.184%   1/1/34  10,330     11,089
  Kansas Development Finance Authority Appropriations Revenue  4.727%  4/15/37   2,417      2,326
  Kansas Development Finance Authority Appropriations Revenue  4.927%  4/15/45  20,480     19,934
9 Kansas Development Finance Authority Appropriations Revenue  2.774%   5/1/51  14,225      9,976
  Los Angeles CA Unified School District GO  6.758%   7/1/34  30,950     34,617
  Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue  5.735%   6/1/39  15,020     15,888
  Los Angeles Department of Water & Power System Electric Power & Light Revenue  5.716%   7/1/39     379        400
  Los Angeles Department of Water & Power System Water Revenue  6.603%   7/1/50   1,849      2,243
  Los Angeles Department of Water Revenue  6.008%   7/1/39   1,136      1,208
  Louisiana Local Government Environmental Facilities & Community Development Authority Intergovernmental Agreement Revenue  5.198%  12/1/39   2,300      2,316
  Maryland Health & Higher Educational Facilities Authority Health, Hospital, Nursing Home Revenue  3.052%   7/1/40   1,165        856
  Massachusetts Water Resources Authority Water Revenue  2.823%   8/1/41  16,390     12,538
  Metropolitan Transportation Authority Fuel Sales Tax Revenue  6.089% 11/15/40   3,833      4,142
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Metropolitan Transportation Authority Miscellaneous Taxes Revenue  7.336% 11/15/39  52,780     64,656
  Metropolitan Transportation Authority Transit Revenue  5.871% 11/15/39     210        210
  Metropolitan Transportation Authority Transit Revenue  6.814% 11/15/40     750        816
  Metropolitan Transportation Authority Transit Revenue  5.175% 11/15/49   1,525      1,397
  Michigan Finance Authority Health, Hospital, Nursing Home Revenue  3.384%  12/1/40   3,230      2,563
  Michigan Strategic Fund Lease (Appropriation) Revenue  3.225%   9/1/47   8,310      6,225
10 New Jersey Economic Development Authority Appropriations Revenue  7.425%  2/15/29   6,570      7,065
  New Jersey Rutgers State University College & University Revenue  3.915%   5/1/19  44,030     30,816
  New Jersey Turnpike Authority Highway Revenue  7.414%   1/1/40   3,607      4,448
  New Jersey Turnpike Authority Highway Revenue  7.102%   1/1/41  40,362     48,515
  New York City Municipal Water Finance Authority Water Revenue  5.952%  6/15/42  18,114     19,879
  New York City Municipal Water Finance Authority Water Revenue  6.011%  6/15/42   6,843      7,553
  New York City Municipal Water Finance Authority Water Revenue  5.882%  6/15/44  32,580     35,238
  New York City Transitional Finance Authority Future Tax Secured Sales Tax Revenue  5.508%   8/1/37   2,859      2,945
  New York City Water & Sewer System Water Revenue  5.724%  6/15/42  12,711     13,614
  New York NY GO  5.590%   3/1/35     947        988
  New York NY GO  6.271%  12/1/37     550        609
  New York NY GO  5.263%  10/1/52  10,670     11,087
  New York State Dormitory Authority Income Tax Revenue  5.289%  3/15/33   6,000      6,066
  New York State Dormitory Authority Income Tax Revenue  3.110%  2/15/39   8,465      6,791
  New York State Dormitory Authority Income Tax Revenue  5.628%  3/15/39  15,919     16,492
  New York State Dormitory Authority Income Tax Revenue  5.600%  3/15/40     189        196
  New York State Dormitory Authority Income Tax Revenue  3.190%  2/15/43   7,295      5,557
  New York State Thruway Authority Highway Revenue  3.500%   1/1/42  10,945      8,932
  New York State Urban Development Corp. Income Tax Revenue  3.900%  3/15/33  16,310     15,204
  North Texas Tollway Authority Highway Revenue  6.718%   1/1/49  22,942     28,000
  Ohio State University College & University Revenue  4.910%   6/1/40  12,300     11,978
  Ohio State University College & University Revenue  4.800%   6/1/11  17,638     15,622
11 Oregon School Boards Assn. GO  4.759%  6/30/28     646        637
 
93

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Pennsylvania State University College & University Revenue  2.790%   9/1/43   1,000        744
  Permanent University Fund - Texas A&M University System College & University Revenue  3.100%   7/1/49     565        418
  Permanent University Fund - University of Texas System College & University Revenue  5.262%   7/1/39  11,500     11,762
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  6.040%  12/1/29   2,038      2,163
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  5.647%  11/1/40  15,253     16,140
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  5.647%  11/1/40  10,176     10,767
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  4.926%  10/1/51  25,005     24,762
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  5.072%  7/15/53   5,730      5,776
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  4.458%  10/1/62  46,790     42,450
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue  3.287%   8/1/69  31,474     21,601
  Sacramento Municipal Utility District Electric Power & Light Revenue  6.156%  5/15/36     857        928
  Sales Tax Securitization Corp. Illinois Sales Tax Revenue  3.587%   1/1/43  36,460     30,509
  Sales Tax Securitization Corp. Intergovernmental Agreement Revenue  3.238%   1/1/42  25,400     19,989
  Sales Tax Securitization Corp. Sales Tax Revenue  4.637%   1/1/40  15,235     14,636
  San Antonio TX Electric & Gas Systems Electric Power & Light Revenue  5.985%   2/1/39  10,450     11,184
  San Antonio TX Electric & Gas Systems Electric Power & Light Revenue  4.427%   2/1/42   1,326      1,224
  San Diego County Regional Airport Authority Port, Airport & Marina Revenue  5.594%   7/1/43     717        677
  San Francisco CA Public Utilities Commission Water Revenue  6.950%  11/1/50   1,326      1,598
12 San Joaquin Hills Transportation Corridor Agency Highway Revenue  3.492%  1/15/50   3,975      2,963
  Sonoma County CA Miscellaneous Revenue  6.000%  12/1/29     378        390
  Texas GO  5.517%   4/1/39   2,750      2,892
  Texas Natural Gas Securitization Finance Corp. Natural Gas Revenue  5.169%   4/1/41   3,450      3,493
  Texas Private Activity Bond Surface Transportation Corp. Highway Revenue  3.922% 12/31/49   4,150      3,305
  Texas Transportation Commission GO  2.472%  10/1/44   8,625      5,969
  University of California College & University Revenue  5.770%  5/15/43     473        502
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  University of California College & University Revenue  3.931%  5/15/45  17,840     16,099
  University of California College & University Revenue  4.858%  5/15/12  32,223     28,257
  University of California College & University Revenue  4.767%  5/15/15  14,875     12,777
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue  6.548%  5/15/48   8,918     10,281
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue  6.583%  5/15/49     852        983
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue  3.006%  5/15/50  30,500     21,069
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue  4.563%  5/15/53   9,765      8,900
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue  3.706%  5/15/20     790        520
  University of Michigan College & University Revenue  2.437%   4/1/40   1,500      1,106
  University of Michigan College & University Revenue  3.599%   4/1/47  26,363     22,467
  University of Michigan College & University Revenue  3.504%   4/1/52  19,835     15,574
  University of Michigan College & University Revenue  3.504%   4/1/52  14,898     11,697
  University of Minnesota College & University Revenue  4.048%   4/1/52  21,515     18,804
  University of North Carolina at Chapel Hill College & University Revenue  3.327%  12/1/36   6,730      5,913
  University of Texas System Regents College & University Revenue  4.794%  8/15/46   8,915      8,881
  University of Virginia College & University Revenue  2.256%   9/1/50  17,580     10,713
  University of Virginia College & University Revenue  2.584%  11/1/51   2,025      1,318
  University of Virginia College & University Revenue  3.227%   9/1/19  35,640     21,522
  Washington GO  5.481%   8/1/39     852        881
12 Wisconsin Appropriations Revenue  5.700%   5/1/26   1,347      1,357
  Wisconsin Appropriations Revenue  3.954%   5/1/36   3,364      3,068
Total Taxable Municipal Bonds (Cost $1,623,701) 1,487,638
          Shares  
Temporary Cash Investments (2.0%)
Money Market Fund (0.3%)
13 Vanguard Market Liquidity Fund   5.274%          484,155     48,406
 
94

 

Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Repurchase Agreements (1.7%)
  Bank of America Securities LLC
(Dated 7/31/23, Repurchase Value $46,807,000, collateralized by U.S. Treasury Note/Bond 0.625%, 10/15/24, with a value of $47,736,000)  		 5.300%   8/1/23  46,800     46,800
  Barclays Capital Inc.
(Dated 7/31/23, Repurchase Value $61,909,000, collateralized by U.S. Treasury Note/Bond 2.875%, 5/15/32, with a value of $63,138,000)  		 5.300%   8/1/23  61,900     61,900
  Citigroup Global Markets Inc.
(Dated 7/31/23, Repurchase Value $43,006,000, collateralized by U.S. Treasury Note/Bond 0.625%–3.500%, 12/31/27–2/15/33, with a value of $43,860,000)  		 5.270%   8/1/23  43,000     43,000
  JP Morgan Securities LLC
(Dated 7/31/23, Repurchase Value $12,002,000, collateralized by U.S. Treasury Note/Bond 2.750%–4.125%, 5/15/25–9/30/27, with a value of $12,240,000)  		 5.290%   8/1/23  12,000     12,000
  RBC Capital Markets LLC
(Dated 7/31/23, Repurchase Value $44,507,000, collateralized by Fannie Mae 3.500%, 1/1/43, U.S. Treasury Bill 0.000%, 10/17/23–11/7/23, and U.S. Treasury Inflation Indexed Note/Bond 5.326%–5.466%, 1/31/24–7/31/25, with a value of $45,390,000)  		 5.300%   8/1/23  44,500     44,500
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Wells Fargo & Co.
(Dated 7/31/23, Repurchase Value $56,908,000, collateralized by Fannie Mae 5.500%, 6/1/53, with a value of $58,038,000)  		 5.310%   8/1/23  56,900     56,900
                                   265,100
Total Temporary Cash Investments (Cost $313,507) 313,506
Total Investments (98.9%) (Cost $18,359,301) 15,834,002
Other Assets and Liabilities—Net (1.1%) 182,085
Net Assets (100%) 16,016,087
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $15,075,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $55,838,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 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 July 31, 2023, the aggregate value was $711,401,000, representing 4.4% of net assets.
6 Face amount denominated in British pounds.
7 Face amount denominated in euro.
8 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
9 Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co.
10 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
11 Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp.
12 Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp.
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.
  DAC—Designated Activity Company.
  GO—General Obligation Bond.
  REIT—Real Estate Investment Trust.
  TSFR1M—CME Term Secured Overnight Financing Rate 1-Month.
  TSFR3M—CME Term Secured Overnight Financing Rate 3-Month.
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
Long U.S. Treasury Bond September 2023 321 39,944 (684)
Ultra 10-Year U.S. Treasury Note September 2023 2,693 315,039 (7,634)
Ultra Long U.S. Treasury Bond September 2023 1,313 173,603 (4,840)
        (13,158)
 
95

 

Long-Term Investment-Grade Fund
Futures Contracts (continued)
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts        
2-Year U.S. Treasury Note September 2023 (54) (10,964) 28
5-Year U.S. Treasury Note September 2023 (336) (35,892) 337
10-Year Japanese Government Bond September 2023 (17) (17,542) 155
10-Year U.S. Treasury Note September 2023 (1,767) (196,855) 2,609
Euro-Bund September 2023 (33) (4,826) 50
Euro-Buxl September 2023 (38) (5,623) 125
Long Gilt September 2023 (48) (5,922) —
Long U.S. Treasury Bond September 2023 (633) (78,769) 1,765
Ultra 10-Year U.S. Treasury Note September 2023 (42) (4,913) —
        5,069
        (8,089)
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
HSBC Bank plc 9/20/23 GBP 1,511 USD 1,944 — (4)
JPMorgan Chase Bank, N.A. 9/20/23 GBP 391 USD 500 2 —
Toronto-Dominion Bank 9/20/23 GBP 198 USD 254 — —
Toronto-Dominion Bank 9/20/23 JPY 15,604 USD 111 — (1)
Standard Chartered Bank 9/20/23 JPY 14,270 USD 101 — —
Morgan Stanley Capital Services Inc. 9/20/23 JPY 9,702 USD 70 — (1)
BNP Paribas 9/20/23 USD 176 AUD 255 4 —
State Street Bank & Trust Co. 9/20/23 USD 13,283 EUR 11,797 279 —
HSBC Bank plc 9/20/23 USD 224 EUR 202 1 —
Bank of Montreal 9/20/23 USD 226 EUR 201 5 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 6,559 GBP 5,110 — —
State Street Bank & Trust Co. 9/20/23 USD 435 GBP 340 — (1)
Wells Fargo Bank N.A. 9/20/23 USD 219 GBP 170 1 —
State Street Bank & Trust Co. 9/20/23 USD 202 GBP 155 3 —
Bank of New York 9/20/23 USD 192 GBP 151 — (2)
JPMorgan Chase Bank, N.A. 9/20/23 USD 17 GBP 13 — —
Bank of Montreal 9/20/23 USD 183 JPY 25,521 2 —
Morgan Stanley Capital Services Inc. 9/20/23 USD 92 JPY 12,801 1 —
State Street Bank & Trust Co. 9/20/23 USD 71 JPY 10,030 — —
            298 (9)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
    
96

 

Long-Term Investment-Grade Fund
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-HY-S40-V1 6/21/28 USD 4,970 5.000 207 45
CDX-NA-IG-S40-V1 6/21/28 USD 1,836,150 1.000 31,757 16,451
          31,964 16,496
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000)1 		Periodic
Premium
Received
(Paid)
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Republic of Chile/A2 6/21/28 GSI 8,300 1.000 145 (59) 204 —
1 Periodic premium received/paid quarterly.
GSI—Goldman Sachs International.
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
See accompanying Notes, which are an integral part of the Financial Statements.
97

 

Long-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $18,310,894) 15,785,596
Affiliated Issuers (Cost $48,407) 48,406
Total Investments in Securities 15,834,002
Investment in Vanguard 552
Cash 2,180
Foreign Currency, at Value (Cost $543) 543
Receivables for Investment Securities Sold 6,380
Receivables for Accrued Income 202,529
Receivables for Capital Shares Issued 8,136
Variation Margin Receivable—Futures Contracts 564
Unrealized Appreciation—Forward Currency Contracts 298
Unrealized Appreciation—Over-the-Counter Swap Contracts 204
Other Assets 54
Total Assets 16,055,442
Liabilities  
Payables for Investment Securities Purchased 8,428
Payables to Investment Advisor 590
Payables for Capital Shares Redeemed 20,640
Payables for Distributions 7,347
Payables to Vanguard 870
Swap Premiums Received 59
Unrealized Depreciation—Forward Currency Contracts 9
Variation Margin Payable—Centrally Cleared Swap Contracts 1,412
Total Liabilities 39,355
Net Assets 16,016,087
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 19,541,089
Total Distributable Earnings (Loss) (3,525,002)
Net Assets 16,016,087
 
Investor Shares—Net Assets  
Applicable to 486,012,981 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,856,156
Net Asset Value Per Share—Investor Shares $7.93
 
Admiral Shares—Net Assets  
Applicable to 1,532,583,079 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		12,159,931
Net Asset Value Per Share—Admiral Shares $7.93
See accompanying Notes, which are an integral part of the Financial Statements.
98

 

Long-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 375,748
Total Income 375,748
Expenses  
Investment Advisory Fees—Note B 1,326
The Vanguard Group—Note C  
Management and Administrative—
Investor Shares 		3,537
Management and Administrative—
Admiral Shares 		5,512
Marketing and Distribution—
Investor Shares 		113
Marketing and Distribution—
Admiral Shares 		372
Custodian Fees 27
Shareholders’ Reports—Investor Shares 51
Shareholders’ Reports—Admiral Shares 28
Trustees’ Fees and Expenses 4
Other Expenses 10
Total Expenses 10,980
Net Investment Income 364,768
Realized Net Gain (Loss)  
Investment Securities Sold1 (325,181)
Futures Contracts (11,432)
Swap Contracts 24,081
Forward Currency Contracts (469)
Foreign Currencies 40
Realized Net Gain (Loss) (312,961)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (430,294)
Futures Contracts (9,575)
Swap Contracts (6,221)
Forward Currency Contracts 267
Foreign Currencies (15)
Change in Unrealized Appreciation (Depreciation) (445,838)
Net Increase (Decrease) in Net Assets Resulting from Operations (394,031)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,962,000, $12,000, and ($8,000), respectively. Purchases and sales are for temporary cash investment purposes.
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 364,768   669,307
Realized Net Gain (Loss) (312,961)   (664,202)
Change in Unrealized Appreciation (Depreciation) (445,838)   (3,188,163)
Net Increase (Decrease) in Net Assets Resulting from Operations (394,031)   (3,183,058)
Distributions      
Investor Shares (87,014)   (161,314)
Admiral Shares (287,086)   (524,700)
Total Distributions (374,100)   (686,014)
Capital Share Transactions      
Investor Shares 153,032   (16,768)
Admiral Shares 271,525   636,679
Net Increase (Decrease) from Capital Share Transactions 424,557   619,911
Total Increase (Decrease) (343,574)   (3,249,161)
Net Assets      
Beginning of Period 16,359,661   19,608,822
End of Period 16,016,087   16,359,661
 
See accompanying Notes, which are an integral part of the Financial Statements.
99

 

Long-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $8.32 $10.33 $11.42 $11.48 $9.79 $10.40
Investment Operations            
Net Investment Income1 .180 .339 .323 .349 .381 .397
Net Realized and Unrealized Gain (Loss) on Investments (.386) (2.001) (.836) .399 1.854 (.560)
Total from Investment Operations (.206) (1.662) (.513) .748 2.235 (.163)
Distributions            
Dividends from Net Investment Income (.184) (.348) (.340) (.368) (.399) (.413)
Distributions from Realized Capital Gains — — (.237) (.440) (.146) (.034)
Total Distributions (.184) (.348) (.577) (.808) (.545) (.447)
Net Asset Value, End of Period $7.93 $8.32 $10.33 $11.42 $11.48 $9.79
Total Return2 -2.47% -16.05% -4.64% 6.54% 23.31% -1.45%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,856 $3,884 $4,840 $5,070 $4,942 $4,098
Ratio of Total Expenses to Average Net Assets 0.22% 0.21% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets 4.53% 3.98% 2.94% 2.97% 3.57% 4.08%
Portfolio Turnover Rate 17% 26% 24% 30% 34%3 32%3
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
100

 

Long-Term Investment-Grade Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $8.32 $10.33 $11.42 $11.48 $9.79 $10.40
Investment Operations            
Net Investment Income1 .184 .348 .334 .361 .392 .407
Net Realized and Unrealized Gain (Loss) on Investments (.386) (2.001) (.836) .399 1.853 (.560)
Total from Investment Operations (.202) (1.653) (.502) .760 2.245 (.153)
Distributions            
Dividends from Net Investment Income (.188) (.357) (.351) (.380) (.409) (.423)
Distributions from Realized Capital Gains — — (.237) (.440) (.146) (.034)
Total Distributions (.188) (.357) (.588) (.820) (.555) (.457)
Net Asset Value, End of Period $7.93 $8.32 $10.33 $11.42 $11.48 $9.79
Total Return2 -2.43% -15.97% -4.54% 6.64% 23.43% -1.35%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $12,160 $12,475 $14,769 $15,455 $15,335 $12,820
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 4.63% 4.08% 3.04% 3.07% 3.67% 4.18%
Portfolio Turnover Rate 17% 26% 24% 30% 34%3 32%3
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
101

 

Long-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Long-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services.
Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. 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).
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
4. Floating Rate Loan Interests: Floating rate loan interests represent interests in amounts owed by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the fund to supply additional cash to the borrower on demand. Floating rate loan interests may be made directly with a borrower or acquired through assignment or participation. The fund’s right to enforce a borrower’s compliance with the terms of the loan agreement, or benefit directly from the collateral supporting the loan, varies when the loan is a direct borrowing, an assignment, or a participation. Floating rate loan interests involve various risks including risk of loss in case of default, insolvency, or the bankruptcy of the borrower and are generally subject to restrictions on transfer with limited opportunities to sell them in secondary markets. The fund may also invest in loan commitments, which are contractual obligations for a future funding. The fund may earn a commitment fee on any unfunded portion of these commitments which is amortized to interest income over the commitment period. Both the funded portion of a floating rate loan interest as well as its unfunded commitment, if any, is reflected on the Schedule of Investments.
102

 

Long-Term Investment-Grade Fund
5. 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.
6. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 2% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
7. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.
The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
103

 

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During the six months ended July 31, 2023, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
8. 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 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.
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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.
During the six months ended July 31, 2023, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 12% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
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Long-Term Investment-Grade Fund
9. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
10. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
11. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
12. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company llp provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor.
Vanguard provides investment advisory services to a portion of the fund as described below; the fund paid Vanguard advisory fees of $145,000 for the six months ended July 31, 2023.
For the six months ended July 31, 2023, the aggregate investment advisory fee paid to all advisors represented an effective annual rate of 0.02% of the fund’s average net assets.
C. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management,
105

 

Long-Term Investment-Grade Fund
administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $552,000, representing less than 0.01% of the fund’s net assets and 0.22% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 922,628 — 922,628
Asset-Backed/Commercial Mortgage-Backed Securities — 38,584 — 38,584
Corporate Bonds — 12,870,179 — 12,870,179
Floating Rate Loan Interests — 1,071 — 1,071
Sovereign Bonds — 200,396 — 200,396
Taxable Municipal Bonds — 1,487,638 — 1,487,638
Temporary Cash Investments 48,406 265,100 — 313,506
Total 48,406 15,785,596 — 15,834,002
Derivative Financial Instruments         
Assets        
Futures Contracts1 5,069 — — 5,069
Forward Currency Contracts — 298 — 298
Swap Contracts 16,4961 204 — 16,700
Total 21,565 502 — 22,067
Liabilities        
Futures Contracts1 13,158 — — 13,158
Forward Currency Contracts — 9 — 9
Total 13,158 9 — 13,167
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2023, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Futures Contracts1 5,069 — — 5,069
Unrealized Appreciation—Centrally Cleared Swap Contracts1 — — 16,496 16,496
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Long-Term Investment-Grade Fund
  Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Forward Currency Contracts — 298 — 298
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 204 204
Total Assets 5,069 298 16,700 22,067
         
Swap Premiums Received — — 59 59
Unrealized Depreciation—Futures Contracts1 13,158 — — 13,158
Unrealized Depreciation—Forward Currency Contracts — 9 — 9
Total Liabilities 13,158 9 59 13,226
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2023, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts (11,432) — — (11,432)
Swap Contracts — — 24,081 24,081
Forward Currency Contracts — (469) — (469)
Realized Net Gain (Loss) on Derivatives (11,432) (469) 24,081 12,180
Change in Unrealized Appreciation (Depreciation)
on Derivatives 		       
Futures Contracts (9,575) — — (9,575)
Swap Contracts — — (6,221) (6,221)
Forward Currency Contracts — 267 — 267
Change in Unrealized Appreciation (Depreciation) on Derivatives (9,575) 267 (6,221) (15,529)
F. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 18,371,535
Gross Unrealized Appreciation 148,514
Gross Unrealized Depreciation (2,677,206)
Net Unrealized Appreciation (Depreciation) (2,528,692)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $672,271,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended July 31, 2023, the fund purchased $2,314,307,000 of investment securities and sold $1,766,365,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $676,270,000 and $909,673,000, respectively.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended July 31, 2023, such purchases were $0 and sales were $692,000, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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Long-Term Investment-Grade Fund
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 180,832 22,723   259,888 29,766
Issued in Lieu of Cash Distributions 84,628 10,562   156,937 18,689
Redeemed (112,428) (14,045)   (433,593) (50,028)
Net Increase (Decrease)—Investor Shares 153,032 19,240   (16,768) (1,573)
Admiral Shares          
Issued 1,152,216 144,055   2,561,188 296,703
Issued in Lieu of Cash Distributions 244,497 30,512   444,560 53,034
Redeemed (1,125,188) (141,187)   (2,369,069) (279,594)
Net Increase (Decrease)—Admiral Shares 271,525 33,380   636,679 70,143
I. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
J. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
108

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Short-Term Investment-Grade Fund and Vanguard Intermediate-Term Investment-Grade Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board has also renewed Vanguard Long-Term Investment-Grade Fund’s investment advisory arrangements with Wellington Management Company llp (Wellington Management) and Vanguard, through its Fixed Income Group. The board determined that renewing each fund’s advisory arrangements was in the best interests of the funds and their shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of each advisor. The board considered the following:
Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The portfolio manager has the support of a deep and experienced team of investment-grade credit research analysts. The team conducts independent credit analysis on individual issuers in the universe of bonds considered for the fund. The portfolio manager draws upon the sector experience of these analysts and the broader fixed income team at Wellington Management to manage the fund’s duration, sector, quality, and curve positioning. The firm has managed the Long-Term Investment-Grade Fund since its inception in 1973.
Vanguard. Vanguard has been managing investments for more than four decades and has advised the Short-Term Investment-Grade and Intermediate-Term Investment-Grade Funds since their inceptions, and a portion of the Long-Term Investment-Grade Fund since 2013. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each fund and advisor, as applicable, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue.
Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate or expenses were also below the peer-group average.
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The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee for the Long-Term Investment-Grade Fund because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the Long-Term Investment-Grade Fund shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board also concluded that the Short-Term Investment-Grade, Intermediate-Term Investment-Grade, and Long-Term Investment-Grade Funds’ arrangements with Vanguard ensure that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, and Vanguard Long-Term Investment-Grade Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds'liquidity risk.
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© 2023 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q392 092023
Semiannual Report   |   July 31, 2023
Vanguard Ultra-Short-Term Bond Fund

 

Contents
About Your Fund’s Expenses
1
Financial Statements
4
Trustees Approve Advisory Arrangement
34
Liquidity Risk Management
36

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Six Months Ended July 31, 2023      
Ultra-Short-Term Bond Fund Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,019.80 $1.00
Admiral™ Shares 1,000.00 1,020.30 0.50
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

Ultra-Short-Term Bond Fund
Fund Allocation
As of July 31, 2023
Asset-Backed/Commercial Mortgage-Backed Securities 17.0%
Corporate Bonds 71.0
Short-Term Reserves 0.6
Sovereign Bonds 1.5
Treasury/Agency 9.0
Commercial Paper 0.9
The table reflects the fund’s investments, except for derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
3

 

Ultra-Short-Term Bond Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
Asset-Backed/Commercial Mortgage-Backed Securities (16.9%)
1 Ally Auto Receivables Trust Class A2 Series 2022-2        4.620% 10/15/25      25,172     25,085
1 Ally Auto Receivables Trust Class A2 Series 2022-3        5.290%  6/16/25      13,466     13,432
1 Ally Auto Receivables Trust Class A3 Series 2023-1        5.460%  5/15/28      12,590     12,598
1 American Express Credit Account Class A Series 2022-2        3.390%  5/15/27      37,312     36,071
1 American Express Credit Account Master Trust Class A Series 2022-3        3.750%  8/15/27      34,644     33,607
1 AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2        4.200% 12/18/25      20,463     20,305
1 AmeriCredit Automobile Receivables Trust Class A3 Series 2020-3        0.530%  6/18/25         503        502
1 AmeriCredit Automobile Receivables Trust Class A3 Series 2021-1        0.370%  8/18/25       2,374      2,359
1 AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2        0.340% 12/18/26       4,486      4,386
1 AmeriCredit Automobile Receivables Trust Class A3 Series 2023-1        5.620% 11/18/27      11,150     11,092
1 AmeriCredit Automobile Receivables Trust Class C Series 2020-2        1.480%  2/18/26       2,520      2,439
1,2 ARI Fleet Lease Trust Class A2 Series 2021-A        0.370%  3/15/30       1,728      1,712
1,2 ARI Fleet Lease Trust Class A2 Series 2022-A        3.120%  1/15/31       2,218      2,176
1,2 ARI Fleet Lease Trust Class A2 Series 2023-A        5.410%  2/17/32       9,240      9,137
1,2 ARI Fleet Lease Trust Class A3 Series 2022-A        3.430%  1/15/31       1,950      1,865
1 BA Credit Card Trust Class A1 Series 2022-A1        3.530% 11/15/27      45,485     44,076
1 BA Credit Card Trust Class A2 Series 2022-A2        5.000%  4/15/28      11,426     11,384
1,2 Bank of America Auto Trust Class A3 Series 2023-1A        5.530%  2/15/28      17,200     17,227
1 BMW Vehicle Lease Trust Class A3 Series 2023-1        5.160% 11/25/25       7,750      7,704
1 BMW Vehicle Owner Trust Class A3 Series 2023-A        5.470%  2/25/28      10,030     10,083
1 BMW Vehicle Owner Trust Class A4 Series 2020-A        0.620%  4/26/27       4,230      4,125
1,2,3 Brass No. 10 plc Class A1 Series 10A        0.669%  4/16/69       5,157      4,915
1 Capital One Multi-Asset Execution Trust Class A Series 2022-A3        4.950% 10/15/27       5,150      5,121
1 Capital One Multi-Asset Execution Trust Class A3 Series 2021-A3        1.040% 11/15/26       4,900      4,634
4

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Capital One Prime Auto Receivables Trust Class A2 Series 2023-1        5.200%  5/15/26      22,450     22,361
1 Capital One Prime Auto Receivables Trust Class A2a Series 2022-2        3.740%  9/15/25       6,923      6,867
1 CarMax Auto Owner Trust Class A2 Series 2022-1        0.910%  2/18/25       2,373      2,366
1 CarMax Auto Owner Trust Class A2A Series 2023-1        5.230%  1/15/26      11,420     11,383
1 Carmax Auto Owner Trust Class A2A Series 2023-3        5.720% 11/16/26      18,680     18,661
1 CarMax Auto Owner Trust Class A3 Series 2020-3        0.620%  3/17/25       4,625      4,592
1 CarMax Auto Owner Trust Class A3 Series 2022-2        3.490%  2/16/27       3,680      3,589
1 Carmax Auto Owner Trust Class A3 Series 2023-2        5.050%  1/18/28      20,260     20,103
1 CarMax Auto Owner Trust Class A4 Series 2020-3        0.770%  3/16/26       4,660      4,513
1 Carvana Auto Receivables Trust Class A3 Series 2022-P1        3.350%  2/10/27       5,700      5,504
1,2 Chase Auto Owner Trust Class A2 Series 2022-AA        3.860% 10/27/25       8,204      8,146
1,2 Chesapeake Funding II LLC Class A1 Series 2020-1A        0.870%  8/15/32       3,595      3,574
1,2 Chesapeake Funding II LLC Class A1 Series 2023-1A        5.650%  5/15/35       9,714      9,630
1,2 Citizens Auto Receivables Trust Class A3 Series 2023-1        5.840%  1/18/28      16,760     16,712
1 CNH Equipment Trust Class A2 Series 2021-C        0.330%  1/15/25         686        685
1 CNH Equipment Trust Class A2 Series 2022-B        3.940% 12/15/25       4,687      4,651
1 CNH Equipment Trust Class A2 Series 2022-C        5.420%  7/15/26      23,624     23,558
1 CNH Equipment Trust Class A2 Series 2023-A        5.340%  9/15/26       4,260      4,239
1 CNH Equipment Trust Class A3 Series 2020-A        1.160%  6/16/25         914        904
1 CNH Equipment Trust Class A3 Series 2022-A        2.940%  7/15/27      11,425     10,944
1 CNH Equipment Trust Class A4 Series 2020-A        1.510%  4/15/27       2,250      2,196
1 COMM Mortgage Trust Class A2 Series 2014-CR14        3.147%  2/10/47          26         26
1 COMM Mortgage Trust Class ASB Series 2014-CCRE16        3.653%  4/10/47         522        519
1 Daimler Trucks Retail Trust Class A2 Series 2022-1        5.070%  9/16/24       6,893      6,870
1,2 Dell Equipment Finance Trust Class A2 Series 2022-2        4.030%  7/22/27      10,097     10,008
1,2 Dell Equipment Finance Trust Class A3 Series 2023-1        5.650%  9/22/28      25,160     25,214
1,2 Dell Equipment Finance Trust Class A3 Series 2023-2        5.650%  1/22/29       4,710      4,696
1 Discover Card Execution Note Trust Class A Series 2022-A4        5.030% 10/15/27      17,500     17,437
1 Discover Card Execution Note Trust Class A3 Series 2022-A3        3.560%  7/15/27      23,220     22,502
1,2 DLLAA LLC Class A2 Series 2023-1A        5.930%  7/20/26       7,700      7,710
1,2 DLLAD LLC Class A2 Series 2023-1A        5.190%  4/20/26       8,020      7,960
1,2 DLLMT LLC Class A2 Series 2023-1A        5.780% 11/20/25      15,820     15,721
1,2 DLLST LLC Class A3 Series 2022-1A        3.400%  1/21/25      11,000     10,833
1,2 DLLST LLC Class A4 Series 2022-1A        3.690%  9/20/28       2,810      2,715
1,2 Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2        0.560% 12/11/34       3,765      3,668
5

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Drive Auto Receivables Trust Class C Series 2020-2        2.280%  8/17/26         153        153
1 Drive Auto Receivables Trust Class D Series 2019-4        2.700%  2/16/27       1,099      1,087
1 Drive Auto Receivables Trust Class D Series 2020-1        2.700%  5/17/27       1,517      1,487
1,2 DT Auto Owner Trust Class A Series 2021-4        0.560%  9/15/25         967        963
1,2 DT Auto Owner Trust Class A Series 2022-2A        2.880%  6/15/26       2,805      2,776
1,2 Enterprise Fleet Financing LLC Class A2 Series 2020-2        0.610%  7/20/26       3,238      3,193
1,2 Enterprise Fleet Financing LLC Class A2 Series 2021-1        0.440% 12/21/26       1,931      1,896
1,2 Enterprise Fleet Financing LLC Class A2 Series 2021-2        0.480%  5/20/27       7,639      7,381
1,2 Enterprise Fleet Financing LLC Class A2 Series 2021-3        0.770%  8/20/27       6,678      6,429
1,2 Enterprise Fleet Financing LLC Class A2 Series 2023-1        5.510%  1/22/29      10,000      9,908
1,2 Enterprise Fleet Financing LLC Class A2 Series 2023-2        5.560%  4/22/30      11,720     11,667
1 Exeter Automobile Receivables Trust Class A3 Series 2022-2A        2.800% 11/17/25       6,608      6,582
1,2,3,4 Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR30A + 0.900%        5.969% 11/25/41      12,692     12,658
1,2,3,4 Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR30A + 0.750%        5.819% 10/25/41       4,743      4,726
1,2,3,4 Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2023-R06, SOFR30A + 1.700%        6.769%  7/25/43       4,030      4,040
1,2 Flagship Credit Auto Trust Class A Series 2021-2        0.370% 12/15/26       2,141      2,125
1,2 Flagship Credit Auto Trust Class A Series 2021-3        0.360%  7/15/27       8,969      8,755
1,2 Flagship Credit Auto Trust Class A Series 2021-4        0.810%  7/17/26       5,941      5,798
1 Ford Credit Auto Lease Trust Class A4 Series 2022-A        3.370%  7/15/25       2,630      2,577
1 Ford Credit Auto Lease Trust Class C Series 2022-A        4.180% 10/15/25       8,350      8,106
1,2 Ford Credit Auto Owner Trust Class A Series 2019-1        3.520%  7/15/30      30,270     29,971
1,2 Ford Credit Auto Owner Trust Class A Series 2020-1        2.040%  8/15/31      25,274     23,890
1 Ford Credit Auto Owner Trust Class A2A Series 2022-B        3.440%  2/15/25       9,447      9,392
1 Ford Credit Auto Owner Trust Class A2A Series 2022-C        4.520%  4/15/25      10,548     10,505
1 Ford Credit Auto Owner Trust Class A2A Series 2022-D        5.370%  8/15/25      11,927     11,898
1 Ford Credit Auto Owner Trust Class A3 Series 2020-B        0.560% 10/15/24         548        547
1 Ford Credit Auto Owner Trust Class A3 Series 2023-A        4.650%  2/15/28       9,420      9,302
1 Ford Credit Auto Owner Trust Class A3 Series 2023-B        5.230%  5/15/28      13,290     13,228
1 Ford Credit Auto Owner Trust Class A4 Series 2020-A        1.350%  7/15/25       2,312      2,282
1 Ford Credit Floorplan Master Owner Trust A Class C Series 2020-1        1.420%  9/15/25       4,790      4,764
6

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Ford Credit Floorplan Master Owner Trust Class A Series 2019-4        2.440%  9/15/26       2,590      2,496
1 Ford Credit Floorplan Master Owner Trust Class A Series 2020-1B        0.980%  9/15/25       5,200      5,170
1 Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1        0.700%  9/15/25      52,100     51,814
1 Ford Credit Floorplan Master Owner Trust Class D Series 2020-1        2.120%  9/15/25       6,730      6,692
1,2,3,4 Freddie Mac STACR REMICS Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800%        5.869% 10/25/41      13,957     13,918
1,2 GLS Auto Receivables Issuer Trust Class A Series 2021-4A        0.840%  7/15/25       1,657      1,652
1,2 GLS Auto Receivables Trust Class A Series 2022-1A        1.980%  8/15/25       2,667      2,650
1 GM Financial Automobile Leasing Trust Class A3 Series 2023-1        5.160%  4/20/26      12,500     12,427
1 GM Financial Automobile Leasing Trust Class A3 Series 2023-2        5.050%  7/20/26       9,320      9,246
1 GM Financial Automobile Leasing Trust Class A4 Series 2022-2        3.540%  5/20/26       7,470      7,302
1 GM Financial Automobile Leasing Trust Class A4 Series 2023-2        5.090%  5/20/27       2,600      2,572
1 GM Financial Automobile Leasing Trust Class B Series 2022-2        4.020%  5/20/26       5,250      5,097
1 GM Financial Consumer Automobile Receivables Trust Class A2 Series 2022-1        0.760%  2/18/25       2,207      2,200
1 GM Financial Consumer Automobile Receivables Trust Class A2a Series 2022-4        4.600% 11/17/25      28,091     27,944
1 GM Financial Consumer Automobile Receivables Trust Class A2A Series 2023-1        5.190%  3/16/26      12,770     12,727
1 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2020-2        1.490% 12/16/24         870        866
1 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2023-3        5.450%  6/16/28       4,770      4,782
1 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2020-2        1.740%  8/18/25       9,000      8,854
1 GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3        0.810%  1/16/26       2,100      2,000
1 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3        1.370%  1/16/26         900        863
1,2 GMF Floorplan Owner Revolving Trust Class A Series 2020-1        0.680%  8/15/25      10,940     10,923
1,2 GMF Floorplan Owner Revolving Trust Class A Series 2020-2        0.690% 10/15/25      29,460     29,180
1,2 GMF Floorplan Owner Revolving Trust Class B Series 2020-1        1.030%  8/15/25       1,670      1,667
1,2 GMF Floorplan Owner Revolving Trust Class C Series 2020-1        1.480%  8/15/25       1,360      1,357
1 Harley-Davidson Motorcycle Trust Class A2A Series 2023-A        5.320%  6/15/26       9,750      9,703
1 Harley-Davidson Motorcycle Trust Class A3 Series 2021-A        0.370%  4/15/26       3,624      3,546
1 Harley-Davidson Motorcycle Trust Class A3 Series 2022-A        3.060%  2/15/27       5,660      5,520
1 Hershey Co.        4.930% 11/15/27       9,880      9,784
1,2 Hertz Vehicle Financing III LLC Class A Series 2022-3A        3.370%  3/25/25      14,780     14,615
1,2 Hertz Vehicle Financing III LLC Class C Series 2022-3A        4.350%  3/25/25       2,760      2,724
7

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Honda Auto Receivables Owner Trust Class A2 Series 2022-2        3.810%  3/18/25       6,914      6,869
1 Honda Auto Receivables Owner Trust Class A3 Series 2023-1        5.040%  4/21/27      12,250     12,182
1 Honda Auto Receivables Owner Trust Class A4 Series 2020-2        1.090% 10/15/26       4,730      4,689
1 Honda Auto Receivables Owner Trust Class A4 Series 2020-3        0.460%  4/19/27      10,740     10,485
1,2 HPEFS Equipment Trust Class A2 Series 2022-1A        1.020%  5/21/29       2,653      2,642
1,2 HPEFS Equipment Trust Class A3 Series 2021-2A        0.360%  9/20/28       3,064      3,048
1,2 Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B        0.330%  6/17/24         726        725
1,2 Hyundai Auto Lease Securitization Trust Class A3 Series 2023-B        5.150%  6/15/26      14,720     14,615
1,2 Hyundai Auto Lease Securitization Trust Class A4 Series 2022-B        3.500%  4/15/26      22,270     21,737
1,2 Hyundai Auto Lease Securitization Trust Class A4 Series 2022-C        4.480%  8/17/26      16,042     15,791
1,2 Hyundai Auto Lease Securitization Trust Class A4 Series 2023-B        5.170%  4/15/27      10,460     10,297
1 Hyundai Auto Receivables Trust Class A2 Series 2022-B        3.640%  5/15/25       7,312      7,262
1 Hyundai Auto Receivables Trust Class A2A Series 2020-C        5.350% 11/17/25      23,984     23,907
1 Hyundai Auto Receivables Trust Class A3 Series 2020-B        0.480% 12/16/24         953        950
1 Hyundai Auto Receivables Trust Class A3 Series 2023-A        4.580%  4/15/27       4,900      4,832
1 Hyundai Auto Receivables Trust Class A3 Series 2023-B        5.480%  4/17/28       9,040      9,060
1 Hyundai Auto Receivables Trust Class A4 Series 2019-B        2.000%  4/15/25         565        564
1 Hyundai Auto Receivables Trust Class A4 Series 2020-A        1.720%  6/15/26       9,260      9,063
1 Hyundai Auto Receivables Trust Class A4 Series 2020-B        0.620% 12/15/25       8,020      7,851
1 John Deere Owner Trust Class A2 Series 2022-B        3.730%  6/16/25       8,255      8,197
1 John Deere Owner Trust Class A2 Series 2023-A        5.280%  3/16/26      21,250     21,160
1 John Deere Owner Trust Class A2 Series 2023-B        5.590%  6/15/26       7,460      7,452
1 John Deere Owner Trust Class A3 Series 2020-B        0.510% 11/15/24       1,021      1,014
1 John Deere Owner Trust Class A3 Series 2023-A        5.010% 11/15/27      12,750     12,637
1 John Deere Owner Trust Class A4 Series 2020-B        0.720%  6/15/27       3,820      3,737
1,2 JPMorgan Chase Bank NA - CACLN Class B Series 2021-1        0.875%  9/25/28       5,138      4,979
1,2 JPMorgan Chase Bank NA - CACLN Class B Series 2021-2        0.889% 12/26/28       3,288      3,180
1,2 JPMorgan Chase Bank NA - CACLN Class B Series 2021-3        0.760%  2/26/29       7,476      7,134
1,2 JPMorgan Chase Bank NA - CACLN Class C Series 2020-2        1.139%  2/25/28         300        296
1,2 JPMorgan Chase Bank NA - CACLN Class C Series 2021-1        1.024%  9/25/28       3,186      3,084
1,2 JPMorgan Chase Bank NA Class B Series 2020-1        0.991%  1/25/28         529        526
1,2 JPMorgan Chase Bank NA Class C Series 2020-1        1.389%  1/25/28          55         55
1,2 JPMorgan Chase Bank NA Class D Series 2020-1        1.886%  1/25/28          43         43
1,2 Kubota Credit Owner Trust Class A2 Series 2022-2A        4.070%  6/17/25      12,790     12,683
8

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 Kubota Credit Owner Trust Class A2 Series 2023-1A        5.400%  2/17/26       8,700      8,607
1,2 Kubota Credit Owner Trust Class A2 Series 2023-2A        5.610%  7/15/26      13,190     13,172
1,2 Kubota Credit Owner Trust Class A3 Series 2020-2        0.590% 10/15/24       4,006      3,963
1,2 Kubota Credit Owner Trust Class A4 Series 2020-2        0.730%  6/15/26       4,810      4,661
1 Mercedes-Benz Auto Lease Trust Class A3 2023-A        4.740%  1/15/27      32,340     31,958
1 Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B        0.400% 11/15/24      11,507     11,359
1 Mercedes-Benz Auto Receivables Trust Class A2 Series 2022-1        5.260% 10/15/25      30,896     30,835
1 Mercedes-Benz Auto Receivables Trust Class A2 Series 2023-1        5.090%  1/15/26      13,331     13,283
1,2 MMAF Equipment Finance LLC Class A2 Series 2020-A        0.740%   4/9/24          18         18
1 Nissan Auto Lease Trust Class A3 Series 2023-B        5.690%  7/15/26       5,540      5,550
1 Nissan Auto Receivables Owner Trust Class A2 Series 2022-B        4.500%  8/15/25      15,149     15,064
1 Nissan Auto Receivables Owner Trust Class A3 Series 2020-A        1.380% 12/16/24       2,188      2,176
1 Nissan Auto Receivables Owner Trust Class A3 Series 2023-A        4.910% 11/15/27      27,790     27,572
1 Nissan Auto Receivables Owner Trust Class A4 Series 2020-A        1.700%  5/17/27       6,830      6,624
1 Nissan Auto Receivables Owner Trust Class A4 Series 2020-B        0.710%  2/16/27       6,296      6,203
1,2,3 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, SOFR + 1.114%        6.319%  6/20/60         513        513
1,2,3 Pepper Residential Securities Trust No. 24 Class A1U Series 24A, SOFR + 1.014%        6.199% 11/18/60         621        620
1,2 Porsche Financial Auto Securitization Trust Class A3 Series 2023-1A        4.810%  9/22/28      11,900     11,788
1,2,3 RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740%        5.808%   2/3/53       7,857      7,778
1,2 RESIMAC Premier Class A1B Series 2020-1        1.274%   2/7/52       1,112      1,112
1,2 Santander Bank NA - SBCLN Class B Series 2021-1A        1.833% 12/15/31       5,447      5,256
1 Santander Drive Auto Receivables Trust Class A3 Series 2022-2        2.980% 10/15/26       5,664      5,599
1 Santander Drive Auto Receivables Trust Class A3 Series 2022-3        3.400% 12/15/26         812        802
1 Santander Drive Auto Receivables Trust Class A3 Series 2022-4        4.140%  2/16/27      19,480     19,245
1 Santander Drive Auto Receivables Trust Class A3 Series 2022-5        4.110%  8/17/26       9,780      9,697
1 Santander Drive Auto Receivables Trust Class A3 Series 2022-6        4.490% 11/16/26       1,440      1,427
1 Santander Drive Auto Receivables Trust Class A3 Series 2023-1        4.880%  4/15/27      15,610     15,435
1 Santander Drive Auto Receivables Trust Class A3 Series 2023-2        5.210%  7/15/27      12,910     12,758
1 Santander Drive Auto Receivables Trust Class A3 Series 2023-3        5.610% 10/15/27       8,270      8,250
1 Santander Drive Auto Receivables Trust Class B Series 2022-2        3.440%  9/15/27      10,000      9,704
9

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Santander Drive Auto Receivables Trust Class C Series 2021-1        0.750%  2/17/26       1,646      1,637
1,2 Santander Retail Auto Lease Trust Class A3 Series 2021-B        0.510%  8/20/24      12,487     12,341
1,2 Santander Retail Auto Lease Trust Class A3 Series 2021-C        0.500%  3/20/25       6,907      6,842
1,2 Santander Retail Auto Lease Trust Class A4 Series 2020-B        0.650% 12/20/24       9,950      9,888
1,2 Santander Retail Auto Lease Trust Class A4 Series 2022-B        3.330% 10/20/26       4,050      3,910
1,2 Santander Retail Auto Lease Trust Class B Series 2022-B        3.850%  3/22/27       4,790      4,621
1,2 SFS Auto Receivables Securitization Trust Class A2A Series 2023-1A        5.890%  3/22/27       9,850      9,836
1,2 Tesla Auto Lease Trust Class A2 Series 2021-B        0.360%  9/22/25       4,850      4,808
1,2 Tesla Auto Lease Trust Class A3 Series 2023-A        5.889%  6/22/26      18,980     18,952
1,2 Tesla Auto Lease Trust Class A4 Series 2023-A        5.940%  7/20/27       4,750      4,749
1 Toyota Auto Receivables Owner Trust Class A2 Series 2023-A        5.050%  1/15/26      12,000     11,951
1 Toyota Auto Receivables Owner Trust Class A2A Series 2022-C        3.830%  8/15/25      10,087     10,005
1 Toyota Auto Receivables Owner Trust Class A2A Series 2022-D        5.270%  1/15/26      15,235     15,185
1 Toyota Auto Receivables Owner Trust Class A3 Series 2023-B        4.710%  2/15/28      11,900     11,778
1 Toyota Auto Receivables Owner Trust Class A4 Series 2020-B        1.660%  9/15/25       4,460      4,382
1 Toyota Auto Receivables Owner Trust Class A4 Series 2020-C        0.570% 10/15/25       7,530      7,320
1,2 Toyota Lease Owner Trust Crass A3 Series 2023-A        4.930%  4/20/26      22,000     21,808
1,2 USAA Auto Owner Trust Class A2 Series 2022-A        4.600%  2/18/25      17,780     17,736
1 Verizon Master Trust Class A Series 2021-2        0.990%  4/20/28      17,470     16,516
1 Verizon Master Trust Class A Series 2022-6        3.670%  1/22/29      16,180     15,658
1 Verizon Master Trust Class A Series 2023-2        4.890%  4/13/28      19,120     18,951
1 Verizon Master Trust Class A1A Series 2022-5        3.720%  7/20/27       4,010      3,973
1 Verizon Owner Trust Class B Series 2020-B        0.680%  2/20/25      13,620     13,467
1 Verizon Owner Trust Class C Series 2020-B        0.830%  2/20/25      21,010     20,760
1 Volkswagen Auto Lease Trust Class A2 Series 2022-A        3.020% 10/21/24       8,926      8,873
1 Volkswagen Auto Loan Enhanced Trust Class A2A Series 2023-1        5.500% 12/21/26      19,250     19,189
1 Volkswagen Auto Loan Enhanced Trust Class A4 Series 2020-1        1.260%  8/20/26       3,590      3,531
1,2 Volvo Financial Equipment LLC Class A3 Series 2020-1A        0.510% 10/15/24       3,779      3,753
1,2 Volvo Financial Equipment LLC Class A4 Series 2020-1A        0.600%  3/15/28       4,700      4,538
1,2 Westlake Automobile Receivables Trust Class A3 Series 2021-3A        0.950%  6/16/25      19,983     19,853
1,2 Westlake Automobile Receivables Trust Class A3 Series 2022-1A        2.420%  7/15/25      28,100     27,765
1,2 Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A        2.470% 10/18/36       2,458      2,402
1,2 Wheels SPV 2 LLC Class A3 Series 2020-1A        0.620%  8/20/29       3,108      3,041
1 World Omni Auto Receivables Trust Ciass A3 Series 2023-B        4.660%  5/15/28       9,200      9,080
10

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 World Omni Auto Receivables Trust Class A2 Series 2022-C        3.730%  3/16/26       5,988      5,924
1 World Omni Auto Receivables Trust Class A2A Series 2022-D        5.510%  3/16/26      28,484     28,455
1 World Omni Auto Receivables Trust Class A2A Series 2023-A        5.180%  7/15/26      11,780     11,735
1 World Omni Auto Receivables Trust Class A3 Series 2020-A        1.100%  4/15/25         118        118
1 World Omni Automobile Lease Securitization Class A3 Series 2023-A        5.070%  9/15/26      13,270     13,160
1 World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A        3.340%  6/15/27       1,200      1,171
1 World Omni Automobile Lease Securitization Trust Class A4 Series 2023-A        5.040%  7/17/28      10,150     10,070
1 World Omni Automobile Lease Securitization Trust Class B Series 2022-A        3.670%  6/15/27       3,890      3,772
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,100,401) 2,082,748
Corporate Bonds (70.7%)
Communications (3.8%)
  British Telecommunications plc        4.500%  12/4/23       8,059      8,011
  Charter Communications Operating LLC / Charter Communications Operating Capital        4.908%  7/23/25      62,520     61,542
  Discovery Communications LLC        3.800%  3/13/24       8,000      7,890
  Fox Corp.        4.030%  1/25/24      68,452     67,781
2 Netflix Inc.        3.625%  6/15/25      14,643     14,160
2 NTT Finance Corp.        0.583%   3/1/24      83,588     81,043
  Omnicom Group Inc. / Omnicom Capital Inc.        3.650%  11/1/24       7,200      7,040
  Sprint Corp.        7.625%  2/15/25       9,425      9,640
  Sprint LLC        7.875%  9/15/23      52,105     52,206
  Take-Two Interactive Software Inc.        3.300%  3/28/24       1,632      1,604
  Take-Two Interactive Software Inc.        3.550%  4/14/25      19,050     18,399
  Verizon Communications Inc.        0.750%  3/22/24       3,521      3,406
  Vodafone Group plc        3.750%  1/16/24      68,869     68,207
  Walt Disney Co.        3.700%  9/15/24       8,130      7,975
  Warnermedia Holdings Inc.        3.428%  3/15/24      37,540     36,970
  Warnermedia Holdings Inc.        3.638%  3/15/25      26,509     25,636
                        471,510
Consumer Discretionary (5.8%)
  Amazon.com Inc.        2.800%  8/22/24      10,400     10,123
5 Amazon.com Inc.        4.700% 11/29/24      70,000     69,589
  American Honda Finance Corp.        2.900%  2/16/24       2,697      2,656
  American Honda Finance Corp.        4.600%  4/17/25     110,000    109,054
  American Honda Finance Corp.        5.000%  5/23/25      43,000     42,784
  AutoZone Inc.        3.250%  4/15/25       2,610      2,512
2 BMW US Capital LLC        3.900%   4/9/25      35,000     34,214
2 ERAC USA Finance LLC        2.700%  11/1/23      83,131     82,439
  General Motors Co.        6.125%  10/1/25      14,090     14,245
  General Motors Financial Co. Inc.        5.100%  1/17/24       1,526      1,521
  General Motors Financial Co. Inc.        2.900%  2/26/25      23,041     22,043
  General Motors Financial Co. Inc.        3.800%   4/7/25      35,920     34,870
  Lennar Corp.        4.875% 12/15/23       8,327      8,295
2 Mercedes-Benz Finance North America LLC        3.650%  2/22/24      23,810     23,515
2 Mercedes-Benz Finance North America LLC        4.950%  3/30/25      26,710     26,543
2 Mercedes-Benz Finance North America LLC        5.375%   8/1/25      46,665     46,572
  Toyota Motor Credit Corp.        2.500%  3/22/24      46,595     45,638
11

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Toyota Motor Credit Corp.        4.400%  9/20/24      30,228     29,899
  Toyota Motor Credit Corp.        4.800%  1/10/25      12,115     12,049
2 Volkswagen Group of America Finance LLC        0.875% 11/22/23      92,478     91,077
                        709,638
Consumer Staples (5.3%)
2 7-Eleven Inc.        0.800%  2/10/24      73,354     71,301
  Altria Group Inc.        4.000%  1/31/24      67,408     66,697
  Altria Group Inc.        3.800%  2/14/24       1,623      1,603
  BAT Capital Corp.        3.222%  8/15/24       7,800      7,590
  BAT Capital Corp.        2.789%   9/6/24       3,577      3,458
2 BAT International Finance plc        3.950%  6/15/25      30,137     29,219
  Coca-Cola Co.        1.750%   9/6/24      17,370     16,744
  Conagra Brands Inc.        0.500%  8/11/23      17,500     17,476
  Constellation Brands Inc.        3.600%   5/9/24      14,000     13,758
  Costco Wholesale Corp.        2.750%  5/18/24      20,178     19,746
2 Danone SA        2.589%  11/2/23      30,000     29,745
  Diageo Capital plc        2.125% 10/24/24       7,700      7,395
  Haleon UK Capital plc        3.125%  3/24/25       4,250      4,083
  Haleon US Capital LLC        3.024%  3/24/24      22,450     22,007
  Hershey Co.        2.050% 11/15/24      11,539     11,099
2 Kenvue Inc.        5.500%  3/22/25      38,290     38,472
  Keurig Dr Pepper Inc.        3.130% 12/15/23      11,200     11,103
  Keurig Dr Pepper Inc.        0.750%  3/15/24      59,858     58,031
2 Mars Inc.        2.700%   4/1/25       8,730      8,360
  Mondelez International Inc.        2.125%  3/17/24       8,475      8,284
  Mondelez International Inc.        1.500%   5/4/25      12,544     11,735
  PepsiCo Inc.        3.500%  7/17/25      50,515     49,093
  Philip Morris International Inc.        2.875%   5/1/24       1,281      1,255
  Philip Morris International Inc.        5.125% 11/15/24      95,809     95,499
  Philip Morris International Inc.        5.000% 11/17/25      11,400     11,376
  Reynolds American Inc.        4.850%  9/15/23       2,837      2,832
  Reynolds American Inc.        4.450%  6/12/25       1,000        980
  Unilever Capital Corp.        2.600%   5/5/24      13,600     13,295
  Walmart Inc.        2.850%   7/8/24      24,791     24,209
                        656,445
Energy (3.8%)
  Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc.        1.231% 12/15/23      10,227     10,059
  Canadian Natural Resources Ltd.        3.800%  4/15/24       4,100      4,038
  Cheniere Corpus Christi Holdings LLC        5.875%  3/31/25       8,120      8,122
  Enbridge Inc.        4.000%  10/1/23       4,232      4,214
  Enbridge Inc.        0.550%  10/4/23      40,528     40,150
  Energy Transfer LP        4.200%  9/15/23      23,114     23,058
  Energy Transfer LP        5.875%  1/15/24      31,556     31,525
  Energy Transfer LP        4.900%   2/1/24       8,314      8,258
  Energy Transfer LP        4.500%  4/15/24       1,149      1,138
  Energy Transfer LP        3.900%  5/15/24       3,000      2,948
  Energy Transfer LP        4.050%  3/15/25       5,000      4,876
  EOG Resources Inc.        3.150%   4/1/25       2,400      2,321
  Equinor ASA        2.650%  1/15/24      11,544     11,388
  Equinor ASA        3.250% 11/10/24       8,000      7,784
  Exxon Mobil Corp.        2.019%  8/16/24       7,983      7,708
  Kinder Morgan Energy Partners LP        4.150%   2/1/24      11,031     10,932
  Kinder Morgan Energy Partners LP        4.300%   5/1/24       8,460      8,358
2 Kinder Morgan Inc.        5.625% 11/15/23      18,337     18,314
12

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Kinder Morgan Inc.        4.300%   6/1/25       7,001      6,852
  Marathon Petroleum Corp.        4.700%   5/1/25      11,010     10,874
  MPLX LP        4.875%   6/1/25      40,052     39,521
  Ovintiv Inc.        5.650%  5/15/25      16,715     16,692
  Phillips 66        0.900%  2/15/24      34,862     33,939
  Plains All American Pipeline LP / PAA Finance Corp.        4.650% 10/15/25      38,420     37,511
  Sabine Pass Liquefaction LLC        5.750%  5/15/24          70         70
  Sabine Pass Liquefaction LLC        5.625%   3/1/25       2,046      2,042
  Saudi Arabian Oil Co.        1.250% 11/24/23         966        952
  Shell International Finance BV        2.000%  11/7/24      11,823     11,351
  Spectra Energy Partners LP        4.750%  3/15/24       1,129      1,121
  TotalEnergies Capital International SA        3.700%  1/15/24       2,144      2,125
  TransCanada PipeLines Ltd.        3.750% 10/16/23      12,021     11,968
  TransCanada PipeLines Ltd.        1.000% 10/12/24       8,747      8,274
  Western Midstream Operating LP        3.100%   2/1/25      11,950     11,432
  Western Midstream Operating LP        3.950%   6/1/25       1,775      1,714
  Williams Cos. Inc.        4.500% 11/15/23      30,204     30,079
  Williams Cos. Inc.        4.300%   3/4/24      24,974     24,730
  Williams Cos. Inc.        3.900%  1/15/25       6,190      6,040
                        462,478
Financials (30.4%)
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust        4.500%  9/15/23       5,788      5,776
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust        4.875%  1/16/24       2,400      2,386
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust        6.500%  7/15/25      14,686     14,803
3 AerCap Ireland Capital DAC / AerCap Global Aviation Trust, SOFR + 0.680%        5.936%  9/29/23      37,100     37,072
  Affiliated Managers Group Inc.        4.250%  2/15/24       9,420      9,322
  Air Lease Corp.        3.000%  9/15/23       4,243      4,227
  Ally Financial Inc.        1.450%  10/2/23      91,708     90,871
  American Express Co.        2.500%  7/30/24      42,012     40,687
  American Express Co.        3.950%   8/1/25       8,500      8,254
  American Express Co.        4.990%   5/1/26     103,773    102,638
  American International Group Inc.        2.500%  6/30/25      13,371     12,701
2 ANZ New Zealand International Ltd.        3.400%  3/19/24      17,345     17,071
  Aon plc        4.000% 11/27/23      37,277     37,055
2 Athene Global Funding        1.200% 10/13/23      26,054     25,761
2 Athene Global Funding        0.950%   1/8/24      52,152     50,909
2 Athene Global Funding        2.514%   3/8/24       2,250      2,191
2 Australia & New Zealand Banking Group Ltd.        4.829%   2/3/25      25,000     24,771
  Australia & New Zealand Banking Group Ltd.        5.375%   7/3/25      28,240     28,264
3,6 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 1.030%        5.080%  12/6/23      10,479      7,054
3,6 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000%        6.350%  7/26/29      25,894     17,511
  Banco Santander SA        2.706%  6/27/24      50,600     49,116
  Banco Santander SA        5.742%  6/30/24      20,000     19,927
  Banco Santander SA        2.746%  5/28/25      11,200     10,595
  Bank of America Corp.        3.458%  3/15/25      28,149     27,697
  Bank of America Corp.        3.950%  4/21/25      15,169     14,713
  Bank of America Corp.        3.093%  10/1/25       3,700      3,582
  Bank of America Corp.        3.366%  1/23/26      20,000     19,302
  Bank of America Corp.        2.015%  2/13/26      15,600     14,726
13

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Bank of America Corp.        3.384%   4/2/26      21,960     21,136
  Bank of America Corp.        4.827%  7/22/26      16,090     15,904
  Bank of Montreal        4.250%  9/14/24      20,509     20,208
  Bank of Montreal        5.200% 12/12/24      22,200     22,088
  Bank of New York Mellon        5.224% 11/21/25       4,050      4,029
  Bank of New York Mellon        5.148%  5/22/26      31,600     31,512
  Bank of New York Mellon Corp.        3.650%   2/4/24       2,040      2,016
  Bank of New York Mellon Corp.        2.100% 10/24/24       8,308      7,980
  Bank of New York Mellon Corp.        1.600%  4/24/25       3,340      3,135
  Bank of New York Mellon Corp.        4.414%  7/24/26       2,440      2,396
  Bank of Nova Scotia        3.400%  2/11/24       7,143      7,051
  Bank of Nova Scotia        0.700%  4/15/24       2,200      2,123
  Bank of Nova Scotia        5.250%  12/6/24      21,828     21,725
  Bank of Nova Scotia        5.450%  6/12/25     120,500    120,165
2 Banque Federative du Credit Mutuel SA        0.650%  2/27/24      12,267     11,901
  Barclays plc        2.852%   5/7/26      11,000     10,389
  BlackRock Inc.        3.500%  3/18/24       7,500      7,401
2 BNP Paribas SA        3.800%  1/10/24      18,597     18,413
2 BPCE SA        5.700% 10/22/23      12,210     12,172
  Canadian Imperial Bank of Commerce        3.100%   4/2/24       4,521      4,436
  Canadian Imperial Bank of Commerce        5.144%  4/28/25      82,000     81,558
  Capital One Financial Corp.        3.900%  1/29/24       2,927      2,895
  Citigroup Inc.        3.700%  1/12/26       7,870      7,566
  Citigroup Inc.        2.014%  1/25/26       9,450      8,922
  Citigroup Inc.        3.290%  3/17/26      19,058     18,305
  Citigroup Inc.        3.106%   4/8/26      10,212      9,778
2 Cooperatieve Rabobank UA        2.625%  7/22/24       9,990      9,691
  Cooperatieve Rabobank UA        3.875%  8/22/24      14,065     13,813
  Cooperatieve Rabobank UA        5.000%  1/13/25      39,700     39,450
  Cooperatieve Rabobank UA        3.375%  5/21/25       3,515      3,390
  Cooperatieve Rabobank UA        5.500%  7/18/25      52,360     52,470
2 Corebridge Global Funding        0.400%  9/13/23      82,858     82,167
2 Corebridge Global Funding        0.450%  12/8/23      15,000     14,709
  Credit Suisse AG        4.750%   8/9/24       9,497      9,333
  Credit Suisse AG        3.625%   9/9/24      28,880     28,022
  Credit Suisse AG        2.950%   4/9/25      19,800     18,760
  Discover Bank        4.200%   8/8/23      41,311     41,292
2 DNB Bank ASA        2.968%  3/28/25      50,000     49,007
  Fifth Third Bancorp        4.300%  1/16/24         919        910
2 Five Corners Funding Trust        4.419% 11/15/23      34,381     34,200
  Franklin Resources Inc.        2.850%  3/30/25       4,895      4,686
2 GA Global Funding Trust        1.250%  12/8/23         912        893
2 GA Global Funding Trust        1.000%   4/8/24      45,015     43,211
  Goldman Sachs Group Inc.        3.625%  2/20/24      10,819     10,686
  Goldman Sachs Group Inc.        0.925% 10/21/24      54,900     54,228
  Goldman Sachs Group Inc.        5.700%  11/1/24      40,177     40,141
  HSBC Holdings plc        0.732%  8/17/24      28,760     28,681
  HSBC Holdings plc        1.162% 11/22/24      26,200     25,752
  HSBC Holdings plc        2.999%  3/10/26      31,360     29,934
  HSBC Holdings plc        1.645%  4/18/26      20,000     18,567
  HSBC Holdings plc        4.292%  9/12/26       8,650      8,357
  HSBC USA Inc.        3.750%  5/24/24       2,460      2,418
  HSBC USA Inc.        5.625%  3/17/25      27,695     27,698
  Huntington Bancshares Inc.        4.000%  5/15/25      16,995     16,384
  Huntington National Bank        3.550%  10/6/23      25,260     25,099
14

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Invesco Finance plc        4.000%  1/30/24      65,350     64,688
  Jackson Financial Inc.        1.125% 11/22/23      15,474     15,229
2 Jackson National Life Global Funding        3.250%  1/30/24         982        968
  JPMorgan Chase & Co.        3.875%  9/10/24       1,911      1,873
  JPMorgan Chase & Co.        4.023%  12/5/24      50,000     49,673
  JPMorgan Chase & Co.        3.845%  6/14/25      19,462     19,103
  JPMorgan Chase & Co.        2.595%  2/24/26       1,860      1,776
  JPMorgan Chase & Co.        2.005%  3/13/26      20,163     19,025
  JPMorgan Chase & Co.        2.083%  4/22/26       6,484      6,104
  Legg Mason Inc.        3.950%  7/15/24      10,000      9,804
  Lloyds Banking Group plc        4.050%  8/16/23      69,479     69,416
6 Lloyds Banking Group plc        3.900% 11/23/23       8,880      5,934
2 Macquarie Group Ltd.        6.207% 11/22/24      62,000     61,998
  Marsh & McLennan Cos. Inc.        4.050% 10/15/23       5,058      5,011
  Marsh & McLennan Cos. Inc.        3.875%  3/15/24      22,940     22,669
  Marsh & McLennan Cos. Inc.        3.500%   6/3/24      24,356     23,945
2 Metropolitan Life Global Funding I        0.400%   1/7/24      21,712     21,223
2 Metropolitan Life Global Funding I        3.600%  1/11/24      18,956     18,774
  Mitsubishi UFJ Financial Group Inc.        3.407%   3/7/24       6,200      6,112
  Mitsubishi UFJ Financial Group Inc.        0.848%  9/15/24      10,000      9,931
  Mitsubishi UFJ Financial Group Inc.        2.193%  2/25/25       8,801      8,334
  Mitsubishi UFJ Financial Group Inc.        3.777%   3/2/25      13,364     12,975
  Mitsubishi UFJ Financial Group Inc.        5.719%  2/20/26      55,720     55,556
  Mitsubishi UFJ Financial Group Inc.        3.837%  4/17/26         225        217
  Mitsubishi UFJ Financial Group Inc.        5.541%  4/17/26      16,233     16,165
  Mizuho Financial Group Inc.        2.226%  5/25/26       6,370      5,941
  Morgan Stanley        2.630%  2/18/26      23,380     22,260
  Morgan Stanley        2.188%  4/28/26       3,531      3,323
  Morgan Stanley Bank NA        5.479%  7/16/25      47,610     47,696
3 Morgan Stanley, SOFR + 0.466%        5.592% 11/10/23       2,918      2,917
  Nasdaq Inc.        5.650%  6/28/25      37,000     37,078
  National Australia Bank Ltd.        5.200%  5/13/25      58,300     58,160
  National Bank of Canada        5.250%  1/17/25      36,650     36,525
2 National Securities Clearing Corp.        5.150%  5/30/25      28,370     28,370
  NatWest Group plc        3.875%  9/12/23      11,111     11,080
2 New York Life Global Funding        2.900%  1/17/24         437        431
2 New York Life Global Funding        0.550%  4/26/24         350        337
2 Nordea Bank Abp        4.750%  9/22/25       2,691      2,641
  ORIX Corp.        4.050%  1/16/24       2,596      2,573
  ORIX Corp.        3.250%  12/4/24       1,163      1,120
2 Penske Truck Leasing Co. LP / PTL Finance Corp.        4.125%   8/1/23       4,472      4,472
2 Penske Truck Leasing Co. LP / PTL Finance Corp.        3.900%   2/1/24         747        738
2 Penske Truck Leasing Co. LP / PTL Finance Corp.        4.000%  7/15/25      11,875     11,425
  PNC Bank NA        3.250%   6/1/25      21,565     20,642
  PNC Financial Services Group Inc.        3.900%  4/29/24       6,978      6,863
  PNC Financial Services Group Inc.        2.200%  11/1/24       2,000      1,915
  PNC Financial Services Group Inc.        5.671% 10/28/25       5,695      5,670
  PNC Financial Services Group Inc.        5.812%  6/12/26      52,510     52,577
2 Pricoa Global Funding I        3.450%   9/1/23      10,536     10,514
2 Principal Life Global Funding II        0.500%   1/8/24      33,765     32,979
2 Protective Life Global Funding        0.631% 10/13/23       4,426      4,380
  Protective Life Global Funding        0.631% 10/13/23      12,200     12,073
2 Protective Life Global Funding        0.473%  1/12/24      11,902     11,617
  Reinsurance Group of America Inc.        4.700%  9/15/23       1,454      1,451
2 Reliance Standard Life Global Funding II        3.850%  9/19/23      44,405     44,217
15

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Royal Bank of Canada        3.970%  7/26/24     102,133    100,390
  Royal Bank of Canada        4.950%  4/25/25      46,899     46,408
2 Santander UK plc        5.000%  11/7/23      11,303     11,237
  Santander UK plc        4.000%  3/13/24      24,100     23,802
  Santander UK plc        1.089%  3/15/25       5,000      4,817
  State Bank of India        4.500%  9/28/23       6,550      6,542
  State Street Corp.        3.300% 12/16/24       2,715      2,637
  State Street Corp.        2.354%  11/1/25      20,980     20,111
  State Street Corp.        4.857%  1/26/26       7,610      7,520
  State Street Corp.        5.104%  5/18/26     120,000    119,076
  Sumitomo Mitsui Banking Corp.        3.950%  1/10/24       1,910      1,893
  Sumitomo Mitsui Financial Group Inc.        2.696%  7/16/24      10,755     10,440
  Sumitomo Mitsui Financial Group Inc.        2.348%  1/15/25      21,102     20,094
  Sumitomo Mitsui Financial Group Inc.        1.474%   7/8/25      20,315     18,747
2 Sumitomo Mitsui Trust Bank Ltd.        0.850%  3/25/24      31,878     30,837
  Toronto-Dominion Bank        4.285%  9/13/24      54,323     53,511
  Toronto-Dominion Bank        3.766%   6/6/25      23,438     22,744
  Toronto-Dominion Bank        1.150%  6/12/25      11,872     10,988
  Toronto-Dominion Bank        0.750%  9/11/25      36,240     32,922
  Truist Bank        1.500%  3/10/25      16,505     15,373
  Truist Financial Corp.        3.700%   6/5/25      11,930     11,502
  Truist Financial Corp.        1.200%   8/5/25         780        713
  Truist Financial Corp.        4.260%  7/28/26       4,579      4,435
2 UBS AG        0.450%   2/9/24      23,620     22,902
2 UBS AG        1.375%  1/13/25      21,570     20,270
  US Bancorp        3.375%   2/5/24      13,583     13,418
  US Bancorp        1.450%  5/12/25       6,647      6,217
  US Bancorp        5.727% 10/21/26      28,000     28,102
  US Bank NA        2.050%  1/21/25      29,270     27,770
  Wells Fargo & Co.        3.750%  1/24/24      19,919     19,718
  Wells Fargo & Co.        3.550%  9/29/25       5,439      5,232
  Wells Fargo & Co.        2.406% 10/30/25      28,415     27,215
  Wells Fargo & Co.        3.908%  4/25/26      15,000     14,517
  Wells Fargo & Co.        2.188%  4/30/26      48,375     45,522
  Wells Fargo & Co.        4.540%  8/15/26       7,672      7,505
  Willis North America Inc.        3.600%  5/15/24      10,566     10,341
                        3,742,091
Health Care (6.5%)
  AbbVie Inc.        2.600% 11/21/24      25,632     24,680
  AbbVie Inc.        3.600%  5/14/25       7,803      7,563
  Aetna Inc.        3.500% 11/15/24         976        952
  AmerisourceBergen Corp.        3.400%  5/15/24      22,674     22,248
  Amgen Inc.        3.625%  5/22/24      21,412     21,051
  Amgen Inc.        5.250%   3/2/25      11,945     11,913
  Amgen Inc.        3.125%   5/1/25      29,803     28,642
  Astrazeneca Finance LLC        0.700%  5/28/24      22,765     21,877
  Baxter International Inc.        0.868%  12/1/23       1,567      1,541
3 Baxter International Inc., SOFR + 0.260%        5.441%  12/1/23      42,000     41,902
2 Bayer US Finance II LLC        3.875% 12/15/23      60,013     59,602
2 Bayer US Finance II LLC        4.250% 12/15/25      15,538     15,069
  Becton Dickinson & Co.        3.363%   6/6/24       6,452      6,324
  Cardinal Health Inc.        3.079%  6/15/24      16,250     15,863
  Cigna Group        0.613%  3/15/24      10,215      9,886
  GE HealthCare Technologies Inc.        5.550% 11/15/24      53,133     53,075
  GE HealthCare Technologies Inc.        5.600% 11/15/25       4,280      4,294
16

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Gilead Sciences Inc.        3.700%   4/1/24       1,770      1,747
  GlaxoSmithKline Capital plc        3.000%   6/1/24      10,672     10,448
  HCA Inc.        5.375%   2/1/25      28,500     28,333
  Novartis Capital Corp.        3.400%   5/6/24       9,898      9,738
  Novartis Capital Corp.        1.750%  2/14/25       7,955      7,566
  Pfizer Investment Enterprises Pte Ltd.        4.650%  5/19/25     150,000    148,705
  Quest Diagnostics Inc.        3.500%  3/30/25      48,375     46,836
  Revvity Inc.        0.550%  9/15/23      67,895     67,458
  Royalty Pharma plc        0.750%   9/2/23      42,701     42,484
  Stryker Corp.        0.600%  12/1/23      25,000     24,578
  Stryker Corp.        1.150%  6/15/25       7,034      6,517
  Takeda Pharmaceutical Co. Ltd.        4.400% 11/26/23      58,925     58,621
  Thermo Fisher Scientific Inc.        1.215% 10/18/24       1,364      1,295
  Wyeth LLC        6.450%   2/1/24       4,863      4,878
                        805,686
Industrials (4.0%)
6 Aurizon Network Pty Ltd.        4.000%  6/21/24      29,340     19,486
2 BAE Systems Holdings Inc.        3.800%  10/7/24      12,060     11,774
  Boeing Co.        1.433%   2/4/24       3,211      3,136
  Boeing Co.        4.875%   5/1/25      74,689     73,785
  Burlington Northern Santa Fe LLC        3.400%   9/1/24       8,130      7,955
  Canadian Pacific Railway Co.        1.350%  12/2/24      24,420     23,074
  Canadian Pacific Railway Co.        2.900%   2/1/25      33,100     31,863
  Caterpillar Financial Services Corp.        0.600%  9/13/24       6,947      6,582
  Caterpillar Financial Services Corp.        4.900%  1/17/25      19,364     19,326
  Caterpillar Inc.        3.400%  5/15/24      15,763     15,534
  CNH Industrial Capital LLC        4.200%  1/15/24       1,981      1,964
  CNH Industrial Capital LLC        5.450% 10/14/25      10,580     10,562
  CNH Industrial NV        4.500%  8/15/23       1,414      1,413
2 Daimler Trucks Finance North America LLC        1.125% 12/14/23      12,235     12,013
2 Daimler Trucks Finance North America LLC        5.200%  1/17/25      25,600     25,453
  Honeywell International Inc.        2.300%  8/15/24      24,000     23,253
  Huntington Ingalls Industries Inc.        0.670%  8/16/23      30,454     30,390
  John Deere Capital Corp.        4.550% 10/11/24       7,439      7,388
  John Deere Capital Corp.        1.250%  1/10/25      11,250     10,639
  John Deere Capital Corp.        4.950%   6/6/25      14,750     14,748
  Norfolk Southern Corp.        3.850%  1/15/24       3,104      3,072
  Parker-Hannifin Corp.        3.650%  6/15/24      12,280     12,048
  RTX Corp.        3.200%  3/15/24      67,924     66,804
  Ryder System Inc.        3.875%  12/1/23      19,951     19,799
  Ryder System Inc.        3.650%  3/18/24       8,616      8,498
  Ryder System Inc.        2.500%   9/1/24       3,740      3,608
  Ryder System Inc.        4.625%   6/1/25       9,462      9,290
  Ryder System Inc.        3.350%   9/1/25      10,709     10,240
2 Siemens Financieringsmaatschappij NV        3.125%  3/16/24       5,097      5,019
1,7 US Airways Series 2001-1C Pass Through Trust        7.346%  9/20/23          16         16
                        488,732
Materials (2.0%)
  Berry Global Inc.        0.950%  2/15/24       5,500      5,347
  Carlisle Cos. Inc.        0.550%   9/1/23      25,470     25,354
  Celanese US Holdings LLC        3.500%   5/8/24       2,930      2,869
  Celanese US Holdings LLC        5.900%   7/5/24       7,735      7,721
  DuPont de Nemours Inc.        4.493% 11/15/25      39,419     38,703
  Eastman Chemical Co.        3.800%  3/15/25      12,068     11,733
2 Georgia-Pacific LLC        0.625%  5/15/24      11,962     11,501
17

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Georgia-Pacific LLC        3.600%   3/1/25       9,050      8,763
  Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT        5.710% 11/15/23      35,874     35,836
  LyondellBasell Industries NV        5.750%  4/15/24      14,198     14,161
  Mosaic Co.        4.250% 11/15/23      79,586     79,112
                        241,100
Real Estate (3.5%)
  American Tower Corp.        0.600%  1/15/24       6,660      6,501
  American Tower Corp.        5.000%  2/15/24       2,870      2,854
  American Tower Corp.        2.950%  1/15/25      15,592     14,991
  American Tower Corp.        4.000%   6/1/25       7,726      7,509
  AvalonBay Communities Inc.        4.200% 12/15/23      25,272     25,103
  AvalonBay Communities Inc.        3.450%   6/1/25       4,595      4,445
  Boston Properties LP        3.125%   9/1/23      68,350     68,068
  Boston Properties LP        3.800%   2/1/24       7,850      7,718
  ERP Operating LP        3.375%   6/1/25       6,628      6,397
  Essex Portfolio LP        3.875%   5/1/24       1,050      1,032
  Essex Portfolio LP        3.500%   4/1/25       5,681      5,489
  Federal Realty OP LP        3.950%  1/15/24      45,198     44,681
6 General Property Trust Co.        3.591%  11/7/23      25,770     17,297
6 General Property Trust Co.        3.673%  9/19/24       2,420      1,598
  Healthpeak OP LLC        4.000%   6/1/25       1,020        988
  Kilroy Realty LP        3.450% 12/15/24      19,433     18,669
  Mid-America Apartments LP        4.300% 10/15/23      35,900     35,738
  Mid-America Apartments LP        4.000% 11/15/25       3,457      3,363
  NNN REIT Inc.        3.900%  6/15/24      16,746     16,414
  Omega Healthcare Investors Inc.        4.375%   8/1/23       6,246      6,246
  Realty Income Corp.        4.600%   2/6/24      40,935     40,630
  Realty Income Corp.        4.625%  11/1/25      13,903     13,705
6 Shopping Centres Australasia Property Retail Trust        3.900%   6/7/24       8,560      5,682
  Simon Property Group LP        3.750%   2/1/24      29,723     29,412
6 Stockland Trust Co.        3.300%  3/22/24       7,780      5,165
  Ventas Realty LP        3.500%  4/15/24      10,040      9,850
  Ventas Realty LP        3.750%   5/1/24       5,000      4,908
  Welltower OP LLC        4.500%  1/15/24      29,751     29,483
  Welltower OP LLC        3.625%  3/15/24       1,495      1,471
                        435,407
Technology (1.9%)
  Apple Inc.        1.800%  9/11/24      11,976     11,564
  Broadcom Corp. / Broadcom Cayman Finance Ltd.        3.625%  1/15/24      17,246     17,063
  Broadcom Inc.        3.625% 10/15/24      36,183     35,263
  Fiserv Inc.        3.800%  10/1/23      31,592     31,447
  Hewlett Packard Enterprise Co.        5.900%  10/1/24      64,110     64,183
  HP Inc.        2.200%  6/17/25       5,100      4,804
  Oracle Corp.        3.400%   7/8/24       1,622      1,588
  Oracle Corp.        2.500%   4/1/25      52,576     50,143
  Salesforce Inc.        0.625%  7/15/24      19,996     19,101
                        235,156
Utilities (3.7%)
  Abu Dhabi National Energy Co. PJSC        3.875%   5/6/24      10,100      9,950
  American Electric Power Co. Inc.        5.699%  8/15/25      17,790     17,777
  Appalachian Power Co.        3.400%   6/1/25         920        884
6 Ausgrid Finance Pty Ltd.        3.750% 10/30/24      15,700     10,368
18

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Berkshire Hathaway Energy Co.        4.050%  4/15/25      68,123     66,708
  Consolidated Edison Inc.        0.650%  12/1/23       9,357      9,202
6 DBNGP Finance Co. Pty Ltd.        4.225%  5/28/25       8,520      5,578
3 Dominion Energy Inc., 3M USD LIBOR + 0.530%        6.082%  9/15/23       6,090      6,090
  DTE Electric Co.        3.650%  3/15/24      20,720     20,447
  DTE Energy Co.        1.050%   6/1/25         800        737
  Duke Energy Corp.        3.950% 10/15/23      12,095     12,044
  Duke Energy Corp.        3.750%  4/15/24      22,900     22,585
  Eastern Energy Gas Holdings LLC        3.550%  11/1/23      25,493     25,327
6 Energy Partnership Gas Co. Ltd.        3.642% 12/11/24      12,190      7,989
  Eversource Energy        3.800%  12/1/23         278        276
3 Eversource Energy, SOFR + 0.250%        5.379%  8/15/23      32,600     32,587
6 Network Finance Co. Pty Ltd.        3.500%  12/6/24       3,990      2,625
  NextEra Energy Capital Holdings Inc.        4.255%   9/1/24      29,862     29,414
  NextEra Energy Capital Holdings Inc.        6.051%   3/1/25       5,650      5,695
3 NextEra Energy Capital Holdings Inc., SOFR + 0.400%        5.494%  11/3/23      37,700     37,687
  NiSource Inc.        0.950%  8/15/25       9,498      8,702
  Public Service Enterprise Group Inc.        0.800%  8/15/25       3,900      3,549
  Southern California Edison Co.        0.700%   8/1/23       2,150      2,150
  Southern California Edison Co.        3.500%  10/1/23      38,368     38,229
  Southern Co.        0.600%  2/26/24       1,296      1,258
6 United Energy Distribution Pty Ltd.        3.500%  9/12/23      25,140     16,861
3,6 Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.500%        4.416%  8/23/24      11,900      7,963
  Virginia Electric and Power Co.        3.150%  1/15/26       7,680      7,322
  WEC Energy Group Inc.        0.550%  9/15/23      40,000     39,712
                         449,716
Total Corporate Bonds (Cost $8,750,705) 8,697,959
Sovereign Bonds (1.5%)
8 Korea Monetary Stabilization Bond        3.310%   9/9/23 181,000,000    141,942
  Republic of Hungary        5.375%  3/25/24      24,838     24,765
  Republic of Panama        4.000%  9/22/24         845        826
  Romania        4.375%  8/22/23      13,860     13,840
Total Sovereign Bonds (Cost $169,713) 181,373
          Shares  
Temporary Cash Investments (10.5%)
Money Market Fund (0.6%)
9 Vanguard Market Liquidity Fund         5.274%              728,419     72,828
        Maturity
Date 		Face
Amount
($000) 		 
Commercial Paper (0.9%)
  AT&T Inc.        5.960%  2/21/24      61,000     58,939
  CDP Financial Inc.        5.497%  4/15/24      59,730     57,303
                        116,242
19

 

Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (9.0%)
  United States Treasury Bill 5.232%–5.413%  6/13/24     212,635    203,048
  United States Treasury Bill        5.456%  7/11/24     947,000    900,625
                         1,103,673
Total Temporary Cash Investments (Cost $1,293,147) 1,292,743
Total Investments (99.6%) (Cost $12,313,966) 12,254,823
Other Assets and Liabilities—Net (0.4%) 49,509
Net Assets (100%) 12,304,332
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2023, the aggregate value was $2,195,212,000, representing 17.8% of net assets.
3 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
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 Securities with a value of $5,089,000 have been segregated as initial margin for open futures contracts.
6 Face amount denominated in Australian dollars.
7 Security value determined using significant unobservable inputs.
8 Face amount denominated in Korean won.
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.
  3M—3-month.
  DAC—Designated Activity Company.
  LIBOR—London Interbank Offered Rate.
  REIT—Real Estate Investment Trust.
  REMICS—Real Estate Mortgage Investment Conduits.
  SOFR—Secured Overnight Financing Rate.
  SOFR30A—30 Day Average Secured Overnight Financing Rate.
  USD—U.S. dollar.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 125 25,379 (3)
 
20

 

Ultra-Short-Term Bond Fund
Futures Contracts (continued)
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts        
5-Year U.S. Treasury Note September 2023 (818) (87,379) 1,224
AUD 3-Year Treasury Bond September 2023 (200) (14,241) 27
        1,251
        1,248
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Bank of New York 9/20/23 AUD 41,679 USD 28,424 — (378)
State Street Bank & Trust Co. 9/20/23 AUD 1,249 USD 849 — (8)
BNP Paribas 9/20/23 USD 144,595 AUD 209,853 3,384 —
Bank of New York 9/20/23 USD 13,401 AUD 19,457 309 —
JPMorgan Chase Bank, N.A. 9/20/23 USD 5,085 AUD 7,601 — (29)
JPMorgan Chase Bank, N.A. 9/20/23 USD 645 GBP 502 — —
JPMorgan Chase Bank, N.A. 9/20/23 USD 142,095 KRW 180,000,000 466 —
            4,159 (415)
AUD—Australian dollar.
GBP—British pound.
KRW—Korean won.
USD—U.S. dollar.
At July 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $5,508,000 in connection with open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Ultra-Short-Term Bond Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $12,241,139) 12,181,995
Affiliated Issuers (Cost $72,827) 72,828
Total Investments in Securities 12,254,823
Investment in Vanguard 425
Foreign Currency, at Value (Cost $1,505) 1,506
Receivables for Investment Securities Sold 94,049
Receivables for Accrued Income 78,402
Receivables for Capital Shares Issued 12,951
Unrealized Appreciation—Forward Currency Contracts 4,159
Total Assets 12,446,315
Liabilities  
Due to Custodian 388
Payables for Investment Securities Purchased 117,207
Payables for Capital Shares Redeemed 15,500
Payables for Distributions 7,714
Payables to Vanguard 560
Variation Margin Payable—Futures Contracts 199
Unrealized Depreciation—Forward Currency Contracts 415
Total Liabilities 141,983
Net Assets 12,304,332
At July 31, 2023, net assets consisted of:  
   
Paid-in Capital 12,623,313
Total Distributable Earnings (Loss) (318,981)
Net Assets 12,304,332
 
Investor Shares—Net Assets  
Applicable to 36,111,046 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		357,434
Net Asset Value Per Share—Investor Shares $9.90
 
Admiral Shares—Net Assets  
Applicable to 603,407,721 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		11,946,898
Net Asset Value Per Share—Admiral Shares $19.80
  
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

Ultra-Short-Term Bond Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 250,162
Total Income 250,162
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 719
Management and Administrative—Investor Shares 380
Management and Administrative—Admiral Shares 5,127
Marketing and Distribution—Investor Shares 21
Marketing and Distribution—Admiral Shares 401
Custodian Fees 49
Shareholders’ Reports—Investor Shares 9
Shareholders’ Reports—Admiral Shares 39
Trustees’ Fees and Expenses 3
Other Expenses 11
Total Expenses 6,759
Expenses Paid Indirectly (46)
Net Expenses 6,713
Net Investment Income 243,449
Realized Net Gain (Loss)  
Investment Securities Sold1 (49,666)
Futures Contracts (617)
Forward Currency Contracts (4,826)
Foreign Currencies 871
Realized Net Gain (Loss) (54,238)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 50,914
Futures Contracts 698
Forward Currency Contracts 23,484
Foreign Currencies (405)
Change in Unrealized Appreciation (Depreciation) 74,691
Net Increase (Decrease) in Net Assets Resulting from Operations 263,902
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,771,000, $16,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Ultra-Short-Term Bond Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 243,449   249,047
Realized Net Gain (Loss) (54,238)   (215,866)
Change in Unrealized Appreciation (Depreciation) 74,691   (1,986)
Net Increase (Decrease) in Net Assets Resulting from Operations 263,902   31,195
Distributions      
Investor Shares (7,888)   (7,678)
Admiral Shares (237,972)   (242,810)
Total Distributions (245,860)   (250,488)
Capital Share Transactions      
Investor Shares (146,448)   (167,644)
Admiral Shares (1,558,996)   (5,774,177)
Net Increase (Decrease) from Capital Share Transactions (1,705,444)   (5,941,821)
Total Increase (Decrease) (1,687,402)   (6,161,114)
Net Assets      
Beginning of Period 13,991,734   20,152,848
End of Period 12,304,332   13,991,734
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Ultra-Short-Term Bond Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $9.89 $9.99 $10.08 $10.04 $9.98 $9.97
Investment Operations            
Net Investment Income1 .177 .141 .047 .127 .252 .227
Net Realized and Unrealized Gain (Loss) on Investments .017 (.093) (.086) .053 .065 .003
Total from Investment Operations .194 .048 (.039) .180 .317 .230
Distributions            
Dividends from Net Investment Income (.184) (.148) (.050) (.140) (.257) (.220)
Distributions from Realized Capital Gains — — (.001) — — —
Total Distributions (.184) (.148) (.051) (.140) (.257) (.220)
Net Asset Value, End of Period $9.90 $9.89 $9.99 $10.08 $10.04 $9.98
Total Return2 1.98% 0.49% -0.39% 1.81% 3.21% 2.34%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $357 $503 $677 $728 $471 $309
Ratio of Total Expenses to Average Net Assets 0.20%3 0.20%3 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.61% 1.42% 0.47% 1.27% 2.53% 2.28%
Portfolio Turnover Rate 42% 61% 57%4 60%4 70% 61%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%.
4 Includes 1% and 3% attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Ultra-Short-Term Bond Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $19.78 $19.99 $20.15 $20.08 $19.96 $19.94
Investment Operations            
Net Investment Income1 .369 .294 .113 .263 .527 .473
Net Realized and Unrealized Gain (Loss) on Investments .029 (.188) (.152) .107 .126 .008
Total from Investment Operations .398 .106 (.039) .370 .653 .481
Distributions            
Dividends from Net Investment Income (.378) (.316) (.119) (.300) (.533) (.461)
Distributions from Realized Capital Gains — — (.002) — — —
Total Distributions (.378) (.316) (.121) (.300) (.533) (.461)
Net Asset Value, End of Period $19.80 $19.78 $19.99 $20.15 $20.08 $19.96
Total Return2 2.03% 0.54% -0.20% 1.86% 3.31% 2.44%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $11,947 $13,489 $19,476 $16,060 $6,443 $5,244
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.75% 1.49% 0.56% 1.31% 2.63% 2.38%
Portfolio Turnover Rate 42% 61% 57%4 60%4 70% 61%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Includes 1% and 3% attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Ultra-Short-Term Bond Fund
Notes to Financial Statements
Vanguard Ultra-Short-Term Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. 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).
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
27

 

Ultra-Short-Term Bond Fund
4. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 7% and 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset
28

 

Ultra-Short-Term Bond Fund
(liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2023, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of the notional amounts at each quarter-end during the period.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
7. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
8. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
29

 

Ultra-Short-Term Bond Fund
9. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $425,000, representing less than 0.01% of the fund’s net assets and 0.17% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $46,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
30

 

Ultra-Short-Term Bond Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Asset-Backed/Commercial Mortgage-Backed Securities — 2,082,748 — 2,082,748
Corporate Bonds — 8,697,943 16 8,697,959
Sovereign Bonds — 181,373 — 181,373
Temporary Cash Investments 72,828 1,219,915 — 1,292,743
Total 72,828 12,181,979 16 12,254,823
Derivative Financial Instruments         
Assets        
Futures Contracts1 1,251 — — 1,251
Forward Currency Contracts — 4,159 — 4,159
Total 1,251 4,159 — 5,410
Liabilities        
Futures Contracts1 3 — — 3
Forward Currency Contracts — 415 — 415
Total 3 415 — 418
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2023, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Futures Contracts1 1,251 — 1,251
Unrealized Appreciation—Forward Currency Contracts — 4,159 4,159
Total Assets 1,251 4,159 5,410
       
Unrealized Depreciation—Futures Contracts1 3 — 3
Unrealized Depreciation—Forward Currency Contracts — 415 415
Total Liabilities 3 415 418
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
31

 

Ultra-Short-Term Bond Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2023, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Total
($000)
Futures Contracts (617) — (617)
Forward Currency Contracts — (4,826) (4,826)
Realized Net Gain (Loss) on Derivatives (617) (4,826) (5,443)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts 698 — 698
Forward Currency Contracts — 23,484 23,484
Change in Unrealized Appreciation (Depreciation) on Derivatives 698 23,484 24,182
F. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 12,329,333
Gross Unrealized Appreciation 6,270
Gross Unrealized Depreciation (75,788)
Net Unrealized Appreciation (Depreciation) (69,518)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $214,341,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended July 31, 2023, the fund purchased $4,389,236,000 of investment securities and sold $5,305,326,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $4,030,000 and $12,168,000, respectively.
32

 

Ultra-Short-Term Bond Fund
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 90,312 9,124   332,662 33,704
Issued in Lieu of Cash Distributions 7,210 729   7,063 716
Redeemed (243,970) (24,617)   (507,369) (51,293)
Net Increase (Decrease)—Investor Shares (146,448) (14,764)   (167,644) (16,873)
Admiral Shares          
Issued 2,193,175 110,764   8,320,891 420,395
Issued in Lieu of Cash Distributions 196,815 9,951   200,018 10,135
Redeemed (3,948,986) (199,388)   (14,295,086) (722,648)
Net Increase (Decrease)—Admiral Shares (1,558,996) (78,673)   (5,774,177) (292,118)
I. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
J. Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
33

 

Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Ultra-Short-Term Bond Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about the fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the fund since its inception in 2015; it also took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the performance of the fund since its inception in 2015, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
Cost
The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also below the peer-group average.
34

 

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
35

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Ultra-Short-Term Bond Fund's Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
36

 

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Connect with Vanguard®>vanguard.com
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Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2023 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q14922 092023
Semiannual Report   |   July 31, 2023
Vanguard High-Yield Corporate Fund

 

Contents
About Your Fund’s Expenses
1
Financial Statements
4
Trustees Approve Advisory Arrangement
38
Liquidity Risk Management
40

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
High-Yield Corporate Fund      
Investor Shares $1,000.00 $1,019.70 $1.10
Admiral™ Shares 1,000.00 1,020.20 0.60
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.70 $1.10
Admiral Shares 1,000.00 1,024.20 0.60
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.22% for Investor Shares and 0.12% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

High-Yield Corporate Fund
Fund Allocation
As of July 31, 2023
Corporate Bonds - Communications 15.3%
Corporate Bonds - Consumer Discretionary 17.9
Corporate Bonds - Consumer Staples 3.4
Corporate Bonds - Energy 11.8
Corporate Bonds - Financials 6.0
Corporate Bonds - Health Care 8.5
Corporate Bonds - Industrials 9.4
Corporate Bonds - Materials 8.5
Corporate Bonds - Real Estate 1.6
Corporate Bonds - Technology 7.6
Corporate Bonds - Utilities 2.3
Floating Rate Loan Interests 3.2
U.S. Government and Agency Obligations 4.5
The table reflects the fund’s investments, except for short-term investments, other financial instruments, and derivatives.
3

 

High-Yield Corporate Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (4.2%)
U.S. Government Securities (4.2%)
  United States Treasury Note/Bond   2.500%  5/15/24   155,325    151,830
  United States Treasury Note/Bond   3.000%  6/30/24    20,000     19,569
  United States Treasury Note/Bond   1.750%  7/31/24    10,000      9,648
  United States Treasury Note/Bond   3.000%  7/31/24    25,532     24,942
  United States Treasury Note/Bond   4.250% 12/31/24    39,000     38,476
  United States Treasury Note/Bond   1.750%  3/15/25    50,000     47,398
1,2 United States Treasury Note/Bond   3.500%  9/15/25    23,200     22,569
1 United States Treasury Note/Bond   3.750%  4/15/26   368,832    360,879
  United States Treasury Note/Bond   3.625%  5/15/26    75,742     73,896
  United States Treasury Note/Bond   4.500%  7/15/26    14,594     14,589
  United States Treasury Note/Bond   2.750%  7/31/27    15,000     14,142
  United States Treasury Note/Bond   1.250%  4/30/28     7,502      6,553
2 United States Treasury Note/Bond   1.250%  6/30/28    86,924     75,637
  United States Treasury Note/Bond   1.125%  8/31/28    32,483     27,976
  United States Treasury Note/Bond   4.000%  2/28/30    10,719     10,652
  United States Treasury Note/Bond   3.500%  4/30/30    43,312     41,810
  United States Treasury Note/Bond   3.750%  6/30/30     2,714      2,661
  United States Treasury Note/Bond   3.500%  2/15/33    19,446     18,741
  United States Treasury Note/Bond   3.375%  5/15/33     7,493      7,147
  United States Treasury Note/Bond   4.500%  5/15/38     5,173      5,474
  United States Treasury Note/Bond   3.250%  5/15/42     1,017        889
  United States Treasury Note/Bond   3.375%  8/15/42     2,454      2,183
  United States Treasury Note/Bond   3.875%  2/15/43     1,236      1,181
  United States Treasury Note/Bond   3.875%  5/15/43       200        191
  United States Treasury Note/Bond   3.125%  5/15/48     1,711      1,436
  United States Treasury Note/Bond   3.375% 11/15/48       382        336
  United States Treasury Note/Bond   3.625%  5/15/53       115        108
Total U.S. Government and Agency Obligations (Cost $1,003,320) 980,913
Corporate Bonds (87.4%)
Communications (14.5%)
3,4 Altice France SA   2.125%  2/15/25     6,940      6,683
3 Altice France SA   8.125%   2/1/27     8,872      7,256
3 Altice France SA   5.500%  1/15/28    15,740     11,570
3 Altice France SA   5.125%  7/15/29    96,845     67,904
3 Banijay Entertainment SASU   5.375%   3/1/25    23,092     22,671
  Belo Corp.   7.750%   6/1/27    24,745     24,544
4

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Belo Corp.   7.250%  9/15/27    11,942     11,718
3 Cable One Inc.   4.000% 11/15/30     4,461      3,524
3 CCO Holdings LLC / CCO Holdings Capital Corp.   5.500%   5/1/26    47,125     45,986
3 CCO Holdings LLC / CCO Holdings Capital Corp.   5.125%   5/1/27    51,977     48,762
3 CCO Holdings LLC / CCO Holdings Capital Corp.   5.000%   2/1/28     8,150      7,534
3 CCO Holdings LLC / CCO Holdings Capital Corp.   5.375%   6/1/29    26,345     24,102
3 CCO Holdings LLC / CCO Holdings Capital Corp.   6.375%   9/1/29    40,000     38,245
3 CCO Holdings LLC / CCO Holdings Capital Corp.   4.500%  8/15/30    94,670     80,087
3 CCO Holdings LLC / CCO Holdings Capital Corp.   4.250%   2/1/31    96,315     79,071
3 CCO Holdings LLC / CCO Holdings Capital Corp.   7.375%   3/1/31    48,650     48,297
3 CCO Holdings LLC / CCO Holdings Capital Corp.   4.750%   2/1/32     4,325      3,583
  CCO Holdings LLC / CCO Holdings Capital Corp.   4.500%   5/1/32   136,793    111,512
3 CCO Holdings LLC / CCO Holdings Capital Corp.   4.500%   6/1/33    16,820     13,322
3 CCO Holdings LLC / CCO Holdings Capital Corp.   4.250%  1/15/34    27,600     21,189
3 CSC Holdings LLC   5.500%  4/15/27    19,220     16,471
3 CSC Holdings LLC   6.500%   2/1/29    11,610      9,863
3 CSC Holdings LLC   5.750%  1/15/30     3,350      1,736
3 CSC Holdings LLC   4.125%  12/1/30    74,628     53,956
3 CSC Holdings LLC   4.625%  12/1/30     5,275      2,661
3 CSC Holdings LLC   3.375%  2/15/31    71,240     49,189
3 CSC Holdings LLC   4.500% 11/15/31    99,190     71,142
3 CSC Holdings LLC   5.000% 11/15/31    26,470     13,399
3 Directv Financing LLC / Directv Financing Co-Obligor Inc.   5.875%  8/15/27    22,140     19,985
  DISH DBS Corp.   5.875% 11/15/24    34,150     31,162
  DISH DBS Corp.   7.750%   7/1/26    14,585      9,434
3 DISH DBS Corp.   5.250%  12/1/26     2,920      2,394
  DISH DBS Corp.   7.375%   7/1/28    45,390     25,512
3 DISH DBS Corp.   5.750%  12/1/28    40,625     31,344
  DISH DBS Corp.   5.125%   6/1/29    14,684      7,403
3 DISH Network Corp.  11.750% 11/15/27    44,270     44,562
  Embarq Corp.   7.995%   6/1/36    11,475      6,507
3 Frontier Communications Holdings LLC   5.875% 10/15/27    16,240     14,845
3 Frontier Communications Holdings LLC   5.000%   5/1/28   126,099    106,896
3 Frontier Communications Holdings LLC   6.750%   5/1/29    13,467     10,415
  Frontier Communications Holdings LLC   5.875%  11/1/29    42,213     30,944
3 Frontier Communications Holdings LLC   8.750%  5/15/30     1,460      1,407
3 Frontier Communications Holdings LLC   8.625%  3/15/31    28,915     27,703
3 Go Daddy Operating Co. LLC / GD Finance Co. Inc.   3.500%   3/1/29    72,140     62,080
3 Iliad Holding SASU   6.500% 10/15/26    20,325     19,455
3 Iliad Holding SASU   7.000% 10/15/28    19,075     17,908
  Lamar Media Corp.   3.750%  2/15/28    30,000     27,468
  Lamar Media Corp.   4.875%  1/15/29     2,920      2,734
  Lamar Media Corp.   4.000%  2/15/30    75,500     66,489
  Lamar Media Corp.   3.625%  1/15/31    59,108     50,221
3 Level 3 Financing Inc.   3.400%   3/1/27     2,695      2,378
3 Level 3 Financing Inc.   3.625%  1/15/29    19,482     12,864
3 Level 3 Financing Inc.   3.875% 11/15/29    12,300     10,487
3 Level 3 Financing Inc.  10.500%  5/15/30    21,660     22,438
3,4 Lorca Telecom Bondco SA   4.000%  9/18/27    55,975     57,561
3 Lumen Technologies Inc.   4.000%  2/15/27     7,040      4,625
3 Match Group Holdings II LLC   4.625%   6/1/28     5,480      5,075
3 Match Group Holdings II LLC   4.125%   8/1/30    14,026     12,082
3 Match Group Holdings II LLC   3.625%  10/1/31    12,425     10,232
3 News Corp.   3.875%  5/15/29    25,192     22,225
3 Nexstar Media Inc.   4.750%  11/1/28    12,325     10,869
5

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Outfront Media Capital LLC / Outfront Media Capital Corp.   6.250%  6/15/25    32,550     32,379
3 Outfront Media Capital LLC / Outfront Media Capital Corp.   5.000%  8/15/27    21,296     19,607
3 Outfront Media Capital LLC / Outfront Media Capital Corp.   4.250%  1/15/29    10,100      8,552
3 Outfront Media Capital LLC / Outfront Media Capital Corp.   4.625%  3/15/30    86,818     72,592
5 Paramount Global Inc.   6.250%  2/28/57    33,146     25,943
5 Paramount Global Inc.   6.375%  3/30/62    33,700     27,792
3 ROBLOX Corp.   3.875%   5/1/30    83,290     70,442
3 Scripps Escrow II Inc.   3.875%  1/15/29    50,685     42,126
3 Scripps Escrow II Inc.   5.375%  1/15/31    14,680     11,180
3 Scripps Escrow Inc.   5.875%  7/15/27    22,080     18,445
3 Sirius XM Radio Inc.   3.125%   9/1/26    12,245     11,031
3 Sirius XM Radio Inc.   4.000%  7/15/28    35,170     30,607
3 Sirius XM Radio Inc.   4.125%   7/1/30    75,495     62,167
3 Sirius XM Radio Inc.   3.875%   9/1/31    53,360     41,775
  Sprint LLC   7.875%  9/15/23    86,490     86,657
  Sprint LLC   7.125%  6/15/24    35,947     36,282
  TEGNA Inc.   4.625%  3/15/28    14,555     13,105
  TEGNA Inc.   5.000%  9/15/29    48,200     42,948
  Telecom Italia Capital SA   6.375% 11/15/33     6,520      5,499
  Telecom Italia Capital SA   6.000%  9/30/34    22,450     18,140
  Telecom Italia Capital SA   7.721%   6/4/38    22,295     19,803
3 Telecom Italia SpA   5.303%  5/30/24     6,555      6,417
3 Telenet Finance Luxembourg Notes Sarl   5.500%   3/1/28    58,600     53,795
3,4 TMNL Holding BV   3.750%  1/15/29    33,365     32,641
3 Uber Technologies Inc.   7.500%  5/15/25    22,695     23,012
3 Uber Technologies Inc.   8.000%  11/1/26    14,270     14,552
3 Uber Technologies Inc.   7.500%  9/15/27    12,020     12,269
3 Uber Technologies Inc.   6.250%  1/15/28    10,000      9,975
3 Uber Technologies Inc.   4.500%  8/15/29    48,425     44,750
3,6 Univision Communications Inc.   8.000%  8/15/28     9,420      9,490
3 Univision Communications Inc.   7.375%  6/30/30       315        307
3 UPC Broadband Finco BV   4.875%  7/15/31    67,944     57,197
3 UPC Holding BV   5.500%  1/15/28    87,652     78,459
3 Videotron Ltd.   5.375%  6/15/24     7,848      7,782
7 Videotron Ltd.   5.625%  6/15/25     9,725      7,281
3 Videotron Ltd.   5.125%  4/15/27    28,240     27,330
3,7 Videotron Ltd.   3.625%  6/15/28    97,435     64,034
3 Videotron Ltd.   3.625%  6/15/29    77,456     67,392
3 Virgin Media Secured Finance plc   5.500%  5/15/29    43,280     39,986
3 Virgin Media Secured Finance plc   4.500%  8/15/30    42,595     36,527
3,8 Virgin Media Vendor Financing Notes III DAC   4.875%  7/15/28    37,010     38,636
3 Virgin Media Vendor Financing Notes IV DAC   5.000%  7/15/28    38,325     33,679
3 Vmed O2 UK Financing I plc   4.250%  1/31/31    94,695     78,602
3 VZ Secured Financing BV   5.000%  1/15/32    58,570     47,601
3,4 WMG Acquisition Corp.   2.750%  7/15/28    18,490     18,654
3 WMG Acquisition Corp.   3.875%  7/15/30    58,405     51,158
3 WMG Acquisition Corp.   3.000%  2/15/31    62,070     50,765
3 Zayo Group Holdings Inc.   4.000%   3/1/27     2,425      1,734
3 Ziggo BV   4.875%  1/15/30    66,840     56,529
                   3,351,307
Consumer Discretionary (16.9%)
3 1011778 BC ULC / New Red Finance Inc.   3.875%  1/15/28    44,747     40,953
3 1011778 BC ULC / New Red Finance Inc.   4.375%  1/15/28     8,000      7,388
3 1011778 BC ULC / New Red Finance Inc.   3.500%  2/15/29    45,540     40,058
3 1011778 BC ULC / New Red Finance Inc.   4.000% 10/15/30   133,629    114,637
6

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Adient Global Holdings Ltd.   4.875%  8/15/26    14,507     13,916
3 American Builders & Contractors Supply Co. Inc.   4.000%  1/15/28    30,213     27,690
3 American Builders & Contractors Supply Co. Inc.   3.875% 11/15/29    56,370     48,958
  Asbury Automotive Group Inc.   4.500%   3/1/28    22,880     20,965
3 Asbury Automotive Group Inc.   4.625% 11/15/29    21,780     19,313
  Asbury Automotive Group Inc.   4.750%   3/1/30    11,463     10,121
3 Asbury Automotive Group Inc.   5.000%  2/15/32    26,865     23,434
3 Ashton Woods USA LLC / Ashton Woods Finance Co.   6.625%  1/15/28     3,335      3,209
3 Ashton Woods USA LLC / Ashton Woods Finance Co.   4.625%   8/1/29     5,580      4,828
3 Ashton Woods USA LLC / Ashton Woods Finance Co.   4.625%   4/1/30    34,479     29,521
  Bath & Body Works Inc.   6.694%  1/15/27    17,487     17,549
  Bath & Body Works Inc.   5.250%   2/1/28     1,550      1,478
3 Bath & Body Works Inc.   6.625%  10/1/30    37,375     36,100
  Bath & Body Works Inc.   6.875%  11/1/35     5,565      5,162
  Bath & Body Works Inc.   6.750%   7/1/36       700        637
3 Beacon Roofing Supply Inc.   4.125%  5/15/29    15,200     13,441
3 Beacon Roofing Supply Inc.   6.500%   8/1/30    14,745     14,781
  Boyd Gaming Corp.   4.750%  12/1/27   121,735    114,826
3 Boyd Gaming Corp.   4.750%  6/15/31     6,005      5,376
3 Boyne USA Inc.   4.750%  5/15/29     4,445      4,054
3 Builders FirstSource Inc.   5.000%   3/1/30     5,000      4,678
3 Builders FirstSource Inc.   4.250%   2/1/32    28,500     24,745
3 Caesars Entertainment Inc.   6.250%   7/1/25   120,550    119,777
3 Caesars Entertainment Inc.   8.125%   7/1/27    74,280     76,267
3 Caesars Entertainment Inc.   4.625% 10/15/29    41,390     36,433
3 Caesars Entertainment Inc.   7.000%  2/15/30   102,010    103,030
3 Caesars Resort Collection LLC / CRC Finco Inc.   5.750%   7/1/25    64,437     65,043
3 Camelot Return Merger Sub Inc.   8.750%   8/1/28     8,770      8,579
3 Carnival Corp.   7.625%   3/1/26     7,330      7,228
3 Carnival Corp.   5.750%   3/1/27    23,970     22,167
3 Carnival Corp.   9.875%   8/1/27    10,645     11,108
3 Carnival Corp.   4.000%   8/1/28   105,830     94,001
3 Carnival Corp.   6.000%   5/1/29   146,540    131,601
3 Carnival Corp.  10.500%   6/1/30    41,275     43,664
3 Carnival Holdings Bermuda Ltd.  10.375%   5/1/28    13,530     14,744
3 CDI Escrow Issuer Inc.   5.750%   4/1/30    34,716     32,247
  Cedar Fair LP   5.250%  7/15/29    54,526     48,880
3 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op   5.500%   5/1/25    10,480     10,364
  Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op   5.375%  4/15/27    28,965     27,346
  Century Communities Inc.   6.750%   6/1/27     9,993     10,030
3 Century Communities Inc.   3.875%  8/15/29    34,362     29,885
3 Churchill Downs Inc.   5.500%   4/1/27     4,267      4,126
3 Churchill Downs Inc.   4.750%  1/15/28    11,690     10,801
3 Churchill Downs Inc.   6.750%   5/1/31     4,860      4,750
3 Cinemark USA Inc.   8.750%   5/1/25     2,082      2,112
3 Cinemark USA Inc.   5.875%  3/15/26     7,325      6,935
3 Cinemark USA Inc.   5.250%  7/15/28    33,730     29,637
3,4 Cirsa Finance International Sarl   4.500%  3/15/27     7,990      8,094
3 Clarios Global LP / Clarios US Finance Co.   6.250%  5/15/26    30,723     30,707
3 Clarios Global LP / Clarios US Finance Co.   8.500%  5/15/27    31,417     31,810
3 Clarios Global LP / Clarios US Finance Co.   6.750%  5/15/28    30,163     30,351
  Dana Inc.   5.625%  6/15/28     3,718      3,537
  Dana Inc.   4.500%  2/15/32     3,215      2,690
  Ford Motor Co.   4.346%  12/8/26    17,205     16,776
7

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ford Motor Co.   9.625%  4/22/30     2,271      2,653
  Ford Motor Co.   3.250%  2/12/32   111,665     88,236
  Ford Motor Co.   4.750%  1/15/43    24,775     19,388
  Ford Motor Co.   5.291%  12/8/46     8,515      7,022
  Ford Motor Credit Co. LLC   4.375%   8/6/23       210        210
  Ford Motor Credit Co. LLC   3.370% 11/17/23    16,305     16,148
  Ford Motor Credit Co. LLC   3.810%   1/9/24     5,000      4,938
  Ford Motor Credit Co. LLC   5.584%  3/18/24     5,000      4,968
  Ford Motor Credit Co. LLC   4.134%   8/4/25     9,450      9,028
  Ford Motor Credit Co. LLC   3.375% 11/13/25    16,070     15,026
  Ford Motor Credit Co. LLC   4.389%   1/8/26     4,800      4,559
  Ford Motor Credit Co. LLC   2.700%  8/10/26   100,560     90,133
  Ford Motor Credit Co. LLC   4.950%  5/28/27    18,065     17,150
  Ford Motor Credit Co. LLC   3.815%  11/2/27     6,000      5,388
  Ford Motor Credit Co. LLC   2.900%  2/16/28     2,880      2,477
  Ford Motor Credit Co. LLC   6.800%  5/12/28    48,232     48,671
  Ford Motor Credit Co. LLC   7.350%   3/6/30    11,730     12,142
  Ford Motor Credit Co. LLC   7.200%  6/10/30    17,948     18,439
  Ford Motor Credit Co. LLC   3.625%  6/17/31     1,830      1,513
3 Gap Inc.   3.625%  10/1/29    21,580     16,080
3 Gap Inc.   3.875%  10/1/31    19,660     14,058
  Goodyear Tire & Rubber Co.   5.000%  7/15/29    19,915     18,361
  Goodyear Tire & Rubber Co.   5.250%  7/15/31    16,230     14,472
  Griffon Corp.   5.750%   3/1/28    11,490     10,810
3 Hanesbrands Inc.   4.875%  5/15/26    93,794     88,161
3 Hanesbrands Inc.   9.000%  2/15/31    21,155     21,639
3 Hilton Domestic Operating Co. Inc.   5.750%   5/1/28     9,746      9,603
3 Hilton Domestic Operating Co. Inc.   3.750%   5/1/29    13,415     11,962
3 Hilton Domestic Operating Co. Inc.   4.000%   5/1/31     1,945      1,697
3 Hilton Domestic Operating Co. Inc.   3.625%  2/15/32    15,280     12,813
  KB Home   4.800% 11/15/29    15,825     14,634
  KB Home   7.250%  7/15/30     5,000      5,103
  KB Home   4.000%  6/15/31    38,745     33,659
3 KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC   4.750%   6/1/27    29,785     28,775
3 Lithia Motors Inc.   4.625% 12/15/27    66,275     61,669
3 Lithia Motors Inc.   3.875%   6/1/29     7,615      6,558
3 Lithia Motors Inc.   4.375%  1/15/31    22,880     19,669
3 Live Nation Entertainment Inc.   4.875%  11/1/24    14,775     14,572
3 Live Nation Entertainment Inc.   3.750%  1/15/28     6,085      5,479
3 Mattel Inc.   3.375%   4/1/26    33,225     30,895
3 Mattel Inc.   5.875% 12/15/27    48,989     48,088
3 Melco Resorts Finance Ltd.   4.875%   6/6/25    16,555     15,840
3 Melco Resorts Finance Ltd.   5.250%  4/26/26     5,370      5,052
3 Melco Resorts Finance Ltd.   5.375%  12/4/29    26,050     22,188
  MGM Resorts International   6.750%   5/1/25    10,080     10,121
  MGM Resorts International   5.750%  6/15/25    55,431     54,756
3 Michaels Cos. Inc.   5.250%   5/1/28    45,085     38,323
3 Michaels Cos. Inc.   7.875%   5/1/29    23,475     16,731
3 NCL Corp Ltd.   8.375%   2/1/28    41,980     43,791
3 NCL Corp. Ltd.   7.750%  2/15/29    20,930     20,039
  Newell Brands Inc.   4.700%   4/1/26     4,166      3,969
  Newell Brands Inc.   6.375%  9/15/27    15,093     14,832
  Newell Brands Inc.   6.625%  9/15/29    16,832     16,854
3 Nissan Motor Co. Ltd.   4.810%  9/17/30     6,218      5,600
8

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Ontario Gaming GTA LP   8.000%   8/1/30     8,960      9,054
3 Openlane Inc.   5.125%   6/1/25    10,007      9,748
3 PetSmart Inc. / PetSmart Finance Corp.   4.750%  2/15/28    55,391     50,762
3 PetSmart Inc. / PetSmart Finance Corp.   7.750%  2/15/29    16,145     15,755
3 Royal Caribbean Cruises Ltd.   4.250%   7/1/26    11,360     10,566
3 Royal Caribbean Cruises Ltd.   5.500%  8/31/26    96,080     92,261
3 Royal Caribbean Cruises Ltd.   5.375%  7/15/27    19,070     18,134
3 Royal Caribbean Cruises Ltd.  11.625%  8/15/27    26,350     28,758
3 Royal Caribbean Cruises Ltd.   5.500%   4/1/28    33,440     31,519
3 Royal Caribbean Cruises Ltd.   8.250%  1/15/29    49,872     52,085
3 Royal Caribbean Cruises Ltd.   9.250%  1/15/29     5,030      5,355
3 Royal Caribbean Cruises Ltd.   7.250%  1/15/30     5,210      5,274
  Sands China Ltd.   5.625%   8/8/25    25,700     25,341
  Sands China Ltd.   5.900%   8/8/28    42,780     41,577
  Sands China Ltd.   4.875%  6/18/30    22,315     20,312
  Sands China Ltd.   3.750%   8/8/31    17,210     14,150
3 Scientific Games International Inc.   7.000%  5/15/28    20,020     19,942
  Service Corp. International   4.625% 12/15/27    20,770     19,710
  Service Corp. International   5.125%   6/1/29    44,190     42,051
  Service Corp. International   3.375%  8/15/30    26,810     22,354
  Service Corp. International   4.000%  5/15/31    65,605     55,920
3 Speedway Motorsports LLC / Speedway Funding II Inc.   4.875%  11/1/27    33,461     31,285
3 Taylor Morrison Communities Inc.   5.875%  6/15/27     5,967      5,880
3 Taylor Morrison Communities Inc.   5.125%   8/1/30    23,777     22,198
3 Tempur Sealy International Inc.   3.875% 10/15/31    19,802     16,081
  Under Armour Inc.   3.250%  6/15/26    42,005     38,528
3 Viking Cruises Ltd.   9.125%  7/15/31    24,270     24,910
3 William Carter Co.   5.625%  3/15/27    12,968     12,681
3 WW International Inc.   4.500%  4/15/29     4,741      3,367
3 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.   5.500%   3/1/25    91,076     89,268
3 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.   5.250%  5/15/27    30,990     29,408
3 Wynn Macau Ltd.   5.500%  1/15/26    15,750     14,872
3 Wynn Macau Ltd.   5.125% 12/15/29    51,536     43,498
3 Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.   5.125%  10/1/29     2,872      2,602
3 Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.   7.125%  2/15/31    38,525     38,522
3 Yum! Brands Inc.   4.750%  1/15/30    39,610     37,036
  Yum! Brands Inc.   3.625%  3/15/31    64,357     55,072
  Yum! Brands Inc.   4.625%  1/31/32    18,090     16,386
                   3,919,702
Consumer Staples (3.2%)
3 Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC   6.500%  2/15/28    12,300     12,255
  B&G Foods Inc.   5.250%   4/1/25    49,587     47,167
  B&G Foods Inc.   5.250%  9/15/27    47,340     40,792
3 Coty Inc.   5.000%  4/15/26     2,475      2,386
3 Coty Inc./HFC Prestige Products Inc./HFC Prestige International US LLC   6.625%  7/15/30    25,020     25,238
3,4 Darling Global Finance BV   3.625%  5/15/26    12,945     13,914
3 Darling Ingredients Inc.   5.250%  4/15/27    12,745     12,380
3 Darling Ingredients Inc.   6.000%  6/15/30    13,430     13,239
3 Energizer Holdings Inc.   4.750%  6/15/28    58,571     52,558
3 Energizer Holdings Inc.   4.375%  3/31/29    76,351     66,280
3 Lamb Weston Holdings Inc.   4.125%  1/31/30     1,763      1,556
3 Performance Food Group Inc.   6.875%   5/1/25    10,425     10,446
3 Performance Food Group Inc.   5.500% 10/15/27    96,710     93,620
9

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Performance Food Group Inc.   4.250%   8/1/29    90,104     79,906
3 Post Holdings Inc.   5.750%   3/1/27     8,810      8,629
3 Post Holdings Inc.   5.625%  1/15/28    86,750     83,904
3 Post Holdings Inc.   5.500% 12/15/29    36,090     33,510
3 Post Holdings Inc.   4.625%  4/15/30    73,894     65,137
3 Post Holdings Inc.   4.500%  9/15/31    48,465     41,288
3 United Natural Foods Inc.   6.750% 10/15/28    25,600     21,346
3 US Foods Inc.   4.625%   6/1/30    18,913     17,009
                   742,560
Energy (11.2%)
  Apache Corp.   4.875% 11/15/27    33,110     30,953
  Apache Corp.   4.375% 10/15/28     2,625      2,429
  Apache Corp.   4.250%  1/15/30    23,875     21,684
  Apache Corp.   5.100%   9/1/40    14,658     12,445
  Apache Corp.   5.250%   2/1/42    10,349      8,699
  Apache Corp.   4.250%  1/15/44     1,011        702
  Apache Corp.   5.350%   7/1/49    20,237     16,755
3 Baytex Energy Corp.   8.500%  4/30/30     9,625      9,756
3 Blue Racer Midstream LLC / Blue Racer Finance Corp.   7.625% 12/15/25     9,330      9,396
3 Blue Racer Midstream LLC / Blue Racer Finance Corp.   6.625%  7/15/26    11,960     11,764
  Buckeye Partners LP   4.350% 10/15/24     4,850      4,734
3 Buckeye Partners LP   4.125%   3/1/25    50,184     48,379
  Buckeye Partners LP   3.950%  12/1/26    21,628     19,864
  Buckeye Partners LP   4.125%  12/1/27    23,220     21,059
3 Buckeye Partners LP   4.500%   3/1/28    88,628     79,923
  Cheniere Energy Partners LP   4.500%  10/1/29    11,104     10,324
  Cheniere Energy Partners LP   4.000%   3/1/31     7,900      7,028
3 Chesapeake Energy Corp.   5.875%   2/1/29    17,045     16,300
3 Chesapeake Energy Corp.   6.750%  4/15/29    21,240     21,132
3 Civitas Resources Inc.   8.750%   7/1/31    20,060     20,761
3 CNX Resources Corp.   6.000%  1/15/29     6,825      6,385
3 CNX Resources Corp.   7.375%  1/15/31    16,440     16,306
  Continental Resources Inc.   4.375%  1/15/28    21,625     20,477
3 Continental Resources Inc.   5.750%  1/15/31    30,055     29,075
  Continental Resources Inc.   4.900%   6/1/44    66,669     52,769
3 CrownRock LP / CrownRock Finance Inc.   5.625% 10/15/25    14,908     14,717
3 DT Midstream Inc.   4.125%  6/15/29    95,524     84,708
3 DT Midstream Inc.   4.375%  6/15/31   121,695    105,861
3 Earthstone Energy Holdings LLC   8.000%  4/15/27    30,495     30,319
3 Earthstone Energy Holdings LLC   9.875%  7/15/31    19,580     20,248
3 Enerflex Ltd.   9.000% 10/15/27    35,885     36,072
3 EnLink Midstream LLC   5.625%  1/15/28    27,875     27,259
  EnLink Midstream LLC   5.375%   6/1/29    28,150     26,757
3 EnLink Midstream LLC   6.500%   9/1/30    27,820     28,010
  EnLink Midstream Partners LP   4.150%   6/1/25    27,661     26,631
  EnLink Midstream Partners LP   4.850%  7/15/26    27,144     26,369
  EnLink Midstream Partners LP   5.050%   4/1/45    34,405     27,185
  EnLink Midstream Partners LP   5.450%   6/1/47    25,380     20,888
  EQM Midstream Partners LP   4.000%   8/1/24     8,934      8,741
3 EQM Midstream Partners LP   6.000%   7/1/25    62,191     61,774
  EQM Midstream Partners LP   4.125%  12/1/26    11,328     10,647
3 EQM Midstream Partners LP   7.500%   6/1/27     3,760      3,818
3 EQM Midstream Partners LP   6.500%   7/1/27    61,070     60,768
  EQM Midstream Partners LP   5.500%  7/15/28    30,727     29,614
3 EQM Midstream Partners LP   4.500%  1/15/29    34,140     31,187
10

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 EQM Midstream Partners LP   7.500%   6/1/30     3,860      3,980
3 EQM Midstream Partners LP   4.750%  1/15/31    90,662     80,879
  Genesis Energy LP / Genesis Energy Finance Corp.   6.500%  10/1/25     4,116      4,079
3 Hess Midstream Operations LP   4.250%  2/15/30     2,225      1,956
3 Matador Resources Co.   6.875%  4/15/28    37,900     37,724
3 Noble Finance II LLC   8.000%  4/15/30    69,580     71,670
  Occidental Petroleum Corp.   5.550%  3/15/26     7,040      7,001
  Occidental Petroleum Corp.   3.400%  4/15/26     3,625      3,398
  Occidental Petroleum Corp.   3.200%  8/15/26     3,125      2,858
  Occidental Petroleum Corp.   3.000%  2/15/27     9,320      8,372
  Occidental Petroleum Corp.   6.375%   9/1/28    16,503     16,938
  Occidental Petroleum Corp.   6.625%   9/1/30    10,274     10,774
  Occidental Petroleum Corp.   6.125%   1/1/31    44,979     46,034
  Occidental Petroleum Corp.   6.450%  9/15/36     7,160      7,515
  Occidental Petroleum Corp.   4.400%  4/15/46     8,420      6,684
  Ovintiv Inc.   7.200%  11/1/31     2,757      2,904
  Ovintiv Inc.   7.375%  11/1/31    26,708     28,852
  Ovintiv Inc.   6.500%  8/15/34    10,685     10,946
  Ovintiv Inc.   6.500%   2/1/38    14,250     14,285
3 Permian Resources Operating LLC   5.375%  1/15/26     2,655      2,552
3 Permian Resources Operating LLC   7.750%  2/15/26     2,540      2,569
3 Permian Resources Operating LLC   6.875%   4/1/27    10,465     10,394
3 Permian Resources Operating LLC   5.875%   7/1/29    64,319     61,338
  Range Resources Corp.   8.250%  1/15/29    14,335     14,917
3 Range Resources Corp.   4.750%  2/15/30    56,221     51,727
3 Rockies Express Pipeline LLC   4.950%  7/15/29     4,050      3,719
3 Rockies Express Pipeline LLC   4.800%  5/15/30     3,250      2,889
3 Rockies Express Pipeline LLC   7.500%  7/15/38     4,100      3,782
3 Seadrill Finance Ltd.   8.375%   8/1/30     4,810      4,909
  SM Energy Co.   6.750%  9/15/26    23,350     22,972
  SM Energy Co.   6.625%  1/15/27     1,295      1,281
  SM Energy Co.   6.500%  7/15/28    14,800     14,469
  Southwestern Energy Co.   5.375%   2/1/29    25,600     24,186
  Southwestern Energy Co.   5.375%  3/15/30    71,313     66,714
  Southwestern Energy Co.   4.750%   2/1/32    36,707     32,638
  Sunoco LP / Sunoco Finance Corp.   6.000%  4/15/27    70,255     69,600
  Sunoco LP / Sunoco Finance Corp.   5.875%  3/15/28    11,360     11,055
  Sunoco LP / Sunoco Finance Corp.   4.500%  5/15/29    32,920     29,606
  Sunoco LP / Sunoco Finance Corp.   4.500%  4/30/30    51,930     46,147
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.875%  1/15/29    12,795     13,039
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.   4.875%   2/1/31    30,250     28,141
3 Transocean Inc.  11.500%  1/30/27     2,870      3,011
3 Transocean Inc.   8.750%  2/15/30    77,843     80,793
3 Transocean Titan Financing Ltd.   8.375%   2/1/28    12,422     12,881
3 Valaris Ltd.   8.375%  4/30/30    27,762     28,396
3 Venture Global Calcasieu Pass LLC   3.875%  8/15/29    62,200     53,908
3 Venture Global Calcasieu Pass LLC   6.250%  1/15/30    23,783     23,264
3 Venture Global Calcasieu Pass LLC   4.125%  8/15/31    66,555     56,466
3 Venture Global Calcasieu Pass LLC   3.875%  11/1/33    49,140     39,829
3 Venture Global LNG Inc.   8.125%   6/1/28    10,045     10,212
3 Venture Global LNG Inc.   8.375%   6/1/31    52,540     53,324
3 Weatherford International Ltd.   8.625%  4/30/30    55,350     56,710
  Western Midstream Operating LP   3.950%   6/1/25     4,070      3,931
  Western Midstream Operating LP   4.650%   7/1/26    24,081     23,389
11

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Western Midstream Operating LP   4.750%  8/15/28     4,715      4,521
  Western Midstream Operating LP   4.050%   2/1/30     2,205      2,004
  Western Midstream Operating LP   5.450%   4/1/44    13,155     11,505
  Western Midstream Operating LP   5.300%   3/1/48    25,628     21,969
  Western Midstream Operating LP   5.250%   2/1/50    34,013     28,904
                   2,581,182
Financials (5.6%)
3 Acrisure LLC / Acrisure Finance Inc.   4.250%  2/15/29    85,650     73,736
3,5 AerCap Global Aviation Trust   6.500%  6/15/45   125,005    122,496
3 Alliant Holdings Intermediate LLC / Alliant Holdings Co.   6.750%  4/15/28    38,525     38,323
3 AmWINS Group Inc.   4.875%  6/30/29     6,822      6,247
3 Avolon Holdings Funding Ltd.   5.250%  5/15/24    50,695     50,024
3 Burford Capital Global Finance LLC   6.875%  4/15/30    15,520     14,186
3 Compass Group Diversified Holdings LLC   5.250%  4/15/29    13,305     12,110
3 Enact Holdings Inc.   6.500%  8/15/25    45,900     45,416
3 FirstCash Inc.   4.625%   9/1/28    18,915     16,912
3 FirstCash Inc.   5.625%   1/1/30    14,515     13,403
3 GGAM Finance Ltd.   7.750%  5/15/26    14,975     15,111
3 GGAM Finance Ltd.   8.000%  6/15/28    22,475     22,893
3 goeasy Ltd.   4.375%   5/1/26    29,748     27,237
3 HUB International Ltd.   7.000%   5/1/26     5,900      5,888
3 HUB International Ltd.   5.625%  12/1/29    19,965     17,809
3 HUB International Ltd.   7.250%  6/15/30    74,650     76,187
3 Intesa Sanpaolo SpA   5.017%  6/26/24    27,090     26,439
3 Intesa Sanpaolo SpA   5.710%  1/15/26    53,100     51,259
3 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.   4.250%   2/1/27    14,704     13,236
3 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.   4.750%  6/15/29    21,410     18,042
  MGIC Investment Corp.   5.250%  8/15/28    14,730     14,015
3 Nationstar Mortgage Holdings Inc.   5.500%  8/15/28    22,500     20,398
3 Nationstar Mortgage Holdings Inc.   5.125% 12/15/30    82,619     69,923
3 Nationstar Mortgage Holdings Inc.   5.750% 11/15/31    17,750     15,101
  Navient Corp.   7.250%  9/25/23     5,589      5,591
  Navient Corp.   6.125%  3/25/24     6,200      6,160
  Navient Corp.   5.875% 10/25/24     3,725      3,690
  Navient Corp.   6.750%  6/15/26       910        887
  Navient Corp.   4.875%  3/15/28     9,301      8,128
  Navient Corp.   5.500%  3/15/29    53,540     46,134
  Navient Corp.   9.375%  7/25/30     8,885      8,945
  Navient Corp.   5.625%   8/1/33     6,576      5,037
  OneMain Finance Corp.   8.250%  10/1/23    12,466     12,500
  OneMain Finance Corp.   6.125%  3/15/24    27,155     27,074
  OneMain Finance Corp.   7.125%  3/15/26    99,246     98,283
  OneMain Finance Corp.   3.500%  1/15/27    20,735     17,974
  OneMain Finance Corp.   3.875%  9/15/28    36,560     30,093
  OneMain Finance Corp.   9.000%  1/15/29    29,099     29,567
  OneMain Finance Corp.   4.000%  9/15/30    28,880     22,721
3 Park Aerospace Holdings Ltd.   5.500%  2/15/24     4,970      4,935
3 PennyMac Financial Services Inc.   5.375% 10/15/25    38,913     37,192
3 PennyMac Financial Services Inc.   4.250%  2/15/29    30,140     24,900
3 PennyMac Financial Services Inc.   5.750%  9/15/31     3,885      3,287
  Radian Group Inc.   4.500%  10/1/24    45,300     44,150
  Radian Group Inc.   6.625%  3/15/25     3,250      3,243
  Radian Group Inc.   4.875%  3/15/27    22,275     21,270
12

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.   2.875% 10/15/26     1,945      1,733
3 Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.   3.625%   3/1/29     4,870      4,147
3 Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.   3.875%   3/1/31    12,180     10,026
3 Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.   4.000% 10/15/33       975        778
3 United Wholesale Mortgage LLC   5.500% 11/15/25    17,200     16,540
3 United Wholesale Mortgage LLC   5.750%  6/15/27    24,350     22,778
3 United Wholesale Mortgage LLC   5.500%  4/15/29     3,800      3,341
                   1,307,495
Health Care (8.0%)
3 Acadia Healthcare Co. Inc.   5.500%   7/1/28    26,060     24,960
3 Acadia Healthcare Co. Inc.   5.000%  4/15/29    23,232     21,560
3,4 Avantor Funding Inc.   2.625%  11/1/25    77,060     80,995
3 Avantor Funding Inc.   4.625%  7/15/28    58,690     54,469
3 Avantor Funding Inc.   3.875%  11/1/29     4,230      3,702
3 Bausch Health Cos. Inc.   5.500%  11/1/25    19,675     17,702
3 Catalent Pharma Solutions Inc.   5.000%  7/15/27    24,770     23,212
3,4 Catalent Pharma Solutions Inc.   2.375%   3/1/28    45,735     42,170
3 Catalent Pharma Solutions Inc.   3.125%  2/15/29    19,369     16,173
3 Catalent Pharma Solutions Inc.   3.500%   4/1/30    46,530     38,882
  Centene Corp.   4.625% 12/15/29    10,890     10,121
3 Charles River Laboratories International Inc.   4.250%   5/1/28    22,589     20,865
3 Charles River Laboratories International Inc.   3.750%  3/15/29    16,385     14,501
3 Charles River Laboratories International Inc.   4.000%  3/15/31    24,970     21,761
3 CHS/Community Health Systems Inc.   8.000%  3/15/26     4,540      4,460
3 CHS/Community Health Systems Inc.   5.625%  3/15/27    78,775     70,252
3 CHS/Community Health Systems Inc.   8.000% 12/15/27     2,925      2,859
3 CHS/Community Health Systems Inc.   6.000%  1/15/29    13,260     11,457
3 CHS/Community Health Systems Inc.   5.250%  5/15/30    29,280     23,423
3 CHS/Community Health Systems Inc.   4.750%  2/15/31    10,695      8,107
3 DaVita Inc.   3.750%  2/15/31    31,580     25,239
3 Fortrea Holdings Inc.   7.500%   7/1/30    11,113     11,364
3 Grifols Escrow Issuer SA   4.750% 10/15/28    14,355     12,642
3,4 Grifols SA   2.250% 11/15/27    42,955     42,650
  HCA Inc.   5.875%  2/15/26     2,245      2,251
  HCA Inc.   5.875%   2/1/29    24,195     24,405
  HCA Inc.   3.500%   9/1/30    41,155     36,182
3 Hologic Inc.   3.250%  2/15/29    45,365     39,706
3 IQVIA Inc.   5.000% 10/15/26    46,310     45,008
3 IQVIA Inc.   5.000%  5/15/27    95,232     91,906
3,4 IQVIA Inc.   2.250%  1/15/28    36,995     36,467
3,4 IQVIA Inc.   2.875%  6/15/28    61,595     62,072
3 IQVIA Inc.   6.500%  5/15/30    25,630     25,882
3 Jazz Securities DAC   4.375%  1/15/29    22,850     20,327
3 Medline Borrower LP   3.875%   4/1/29   165,193    144,751
3 Medline Borrower LP   5.250%  10/1/29    84,324     74,875
3 Organon & Co. / Organon Foreign Debt Co.-Issuer BV   4.125%  4/30/28   103,261     92,549
3 Organon & Co. / Organon Foreign Debt Co.-Issuer BV   5.125%  4/30/31    58,065     49,210
3 Owens & Minor Inc.   4.500%  3/31/29    16,645     14,339
3 Owens & Minor Inc.   6.625%   4/1/30    53,987     49,486
3 Prestige Brands Inc.   5.125%  1/15/28    18,350     17,529
3 Prestige Brands Inc.   3.750%   4/1/31     5,398      4,533
3 Teleflex Inc.   4.250%   6/1/28    34,312     31,746
  Tenet Healthcare Corp.   4.875%   1/1/26    13,025     12,609
  Tenet Healthcare Corp.   5.125%  11/1/27     8,670      8,234
  Tenet Healthcare Corp.   4.625%  6/15/28    14,205     13,149
13

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Tenet Healthcare Corp.   6.125%  10/1/28    39,180     37,333
  Tenet Healthcare Corp.   4.250%   6/1/29    10,405      9,325
  Tenet Healthcare Corp.   4.375%  1/15/30    27,970     24,959
  Tenet Healthcare Corp.   6.125%  6/15/30    63,975     62,205
3 Tenet Healthcare Corp.   6.750%  5/15/31    67,840     67,640
  Teva Pharmaceutical Finance Netherlands III BV   3.150%  10/1/26    58,280     52,708
  Teva Pharmaceutical Finance Netherlands III BV   4.750%   5/9/27     8,850      8,216
  Teva Pharmaceutical Finance Netherlands III BV   6.750%   3/1/28    43,910     43,461
  Teva Pharmaceutical Finance Netherlands III BV   5.125%   5/9/29    15,195     13,934
  Teva Pharmaceutical Finance Netherlands III BV   7.875%  9/15/29    13,128     13,669
  Teva Pharmaceutical Finance Netherlands III BV   8.125%  9/15/31    22,096     23,408
  Teva Pharmaceutical Finance Netherlands III BV   4.100%  10/1/46     6,145      4,046
                   1,861,646
Industrials (8.9%)
3 Air Canada   3.875%  8/15/26    45,780     42,541
3 Allison Transmission Inc.   5.875%   6/1/29     2,340      2,271
3 Allison Transmission Inc.   3.750%  1/30/31     1,461      1,236
3 American Airlines Inc.   7.250%  2/15/28    10,312     10,232
3 American Airlines Inc. / AAdvantage Loyalty IP Ltd.   5.500%  4/20/26    27,243     26,844
3,9 American Airlines Inc. / AAdvantage Loyalty IP Ltd.   5.750%  4/20/29    32,172     31,185
3 Aramark Services Inc.   5.000%   4/1/25    65,662     64,799
3 Aramark Services Inc.   6.375%   5/1/25    43,915     43,985
3 Aramark Services Inc.   5.000%   2/1/28    44,167     41,739
3 BWX Technologies Inc.   4.125%  6/30/28    29,906     27,401
3 BWX Technologies Inc.   4.125%  4/15/29    49,453     44,818
3 Chart Industries Inc.   7.500%   1/1/30     6,290      6,453
3 Chart Industries Inc.   9.500%   1/1/31     8,690      9,372
3 Clean Harbors Inc.   4.875%  7/15/27    48,605     46,625
3 Clean Harbors Inc.   5.125%  7/15/29    25,851     24,746
3 Clean Harbors Inc.   6.375%   2/1/31    20,716     20,844
3 Covanta Holding Corp.   4.875%  12/1/29    37,100     32,970
  Delta Air Lines Inc.   3.750% 10/28/29     7,545      6,830
3 Emerald Debt Merger Sub LLC   6.625% 12/15/30   121,477    120,901
3 First Student Bidco Inc. / First Transit Parent Inc.   4.000%  7/31/29    83,972     71,278
3 Garda World Security Corp.   7.750%  2/15/28     3,670      3,649
3 Gates Global LLC / Gates Corp.   6.250%  1/15/26    23,814     23,668
3 Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.   5.750%  1/20/26    86,335     81,530
3 Herc Holdings Inc.   5.500%  7/15/27   153,422    147,386
4 Loxam SAS   2.875%  4/15/26    19,380     19,723
4 Loxam SAS   3.750%  7/15/26    14,790     15,379
3 Moog Inc.   4.250% 12/15/27     6,260      5,800
3 Mueller Water Products Inc.   4.000%  6/15/29     6,225      5,563
3,4 Q-Park Holding I BV   1.500%   3/1/25    27,330     28,911
3,4 Q-Park Holding I BV   2.000%   3/1/27    26,765     25,923
3 Ritchie Bros Holdings Inc.   6.750%  3/15/28     5,325      5,397
3 Ritchie Bros Holdings Inc.   7.750%  3/15/31     5,252      5,491
3 Rolls-Royce plc   3.625% 10/14/25    24,995     23,662
3 Rolls-Royce plc   5.750% 10/15/27    39,450     38,841
3 Sensata Technologies BV   5.625%  11/1/24    13,135     13,060
3 Sensata Technologies BV   5.000%  10/1/25    52,750     51,414
3 Sensata Technologies Inc.   4.375%  2/15/30    12,765     11,363
3 Sensata Technologies Inc.   3.750%  2/15/31    43,118     36,410
3 Spirit AeroSystems Inc.   7.500%  4/15/25    29,438     29,452
  Spirit AeroSystems Inc.   3.850%  6/15/26     3,185      2,986
14

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Spirit AeroSystems Inc.   4.600%  6/15/28    10,164      8,654
3 Spirit AeroSystems Inc.   9.375% 11/30/29    58,606     62,792
3,4 TK Elevator Midco GmbH   4.375%  7/15/27    20,249     20,222
3 TK Elevator US Newco Inc.   5.250%  7/15/27    35,331     33,046
3 TopBuild Corp.   4.125%  2/15/32     9,025      7,750
3 TransDigm Inc.   6.250%  3/15/26    81,630     81,247
  TransDigm Inc.   5.500% 11/15/27    16,970     16,070
3 TransDigm Inc.   6.750%  8/15/28    98,530     99,007
  TransDigm Inc.   4.625%  1/15/29    90,841     81,084
  TransDigm Inc.   4.875%   5/1/29    21,053     18,949
3 Triumph Group Inc.   9.000%  3/15/28    17,387     17,880
9 United Airlines Class A Series 2020-1 Pass Through Trust   5.875% 10/15/27    19,748     19,613
3 United Airlines Inc.   4.375%  4/15/26    38,846     36,794
3 United Airlines Inc.   4.625%  4/15/29    50,975     46,213
  United Rentals North America Inc.   5.500%  5/15/27    27,616     27,156
  United Rentals North America Inc.   4.875%  1/15/28    66,256     63,164
  United Rentals North America Inc.   5.250%  1/15/30    15,110     14,392
  United Rentals North America Inc.   4.000%  7/15/30    50,560     44,709
  United Rentals North America Inc.   3.875%  2/15/31    46,504     40,061
  United Rentals North America Inc.   3.750%  1/15/32    56,825     48,110
3 WESCO Distribution Inc.   7.125%  6/15/25    15,830     16,010
3 Williams Scotsman International Inc.   4.625%  8/15/28    12,035     11,108
                   2,066,709
Materials (8.1%)
3 Advanced Drainage Systems Inc.   5.000%  9/30/27     2,435      2,331
3 Advanced Drainage Systems Inc.   6.375%  6/15/30    18,336     18,239
3 Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc   3.250%   9/1/28    26,400     22,841
3 Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc   4.000%   9/1/29    19,652     16,074
3 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   5.250%  4/30/25     6,300      6,186
3 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   4.125%  8/15/26    41,525     38,907
3 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   5.250%  8/15/27    52,682     45,434
3 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc.   5.250%  8/15/27    13,308     11,413
3,6 Arsenal AIC Parent LLC   8.000%  10/1/30    21,765     22,200
3 ASP Unifrax Holdings Inc.   5.250%  9/30/28     3,330      2,476
3 Avient Corp.   7.125%   8/1/30    57,080     57,548
3 Axalta Coating Systems LLC   3.375%  2/15/29    54,059     46,616
  Ball Corp.   5.250%   7/1/25    12,680     12,569
  Ball Corp.   4.875%  3/15/26    25,000     24,435
4 Ball Corp.   1.500%  3/15/27    68,205     67,360
  Ball Corp.   6.875%  3/15/28    25,010     25,570
  Ball Corp.   6.000%  6/15/29    34,070     34,070
  Ball Corp.   2.875%  8/15/30     9,615      7,933
  Ball Corp.   3.125%  9/15/31       975        802
3 Berry Global Inc.   4.500%  2/15/26    52,154     49,842
3 Berry Global Inc.   4.875%  7/15/26    22,330     21,606
3 Berry Global Inc.   5.625%  7/15/27     8,560      8,396
3 Canpack SA / Canpack US LLC   3.125%  11/1/25     8,385      7,789
3 Canpack SA / Canpack US LLC   3.875% 11/15/29     7,690      6,232
  Chemours Co.   5.375%  5/15/27    25,240     23,998
3 Chemours Co.   5.750% 11/15/28    23,065     21,289
3 Chemours Co.   4.625% 11/15/29    38,721     32,807
3 Cleveland-Cliffs Inc.   6.750%  3/15/26    24,153     24,307
3 Clydesdale Acquisition Holdings Inc.   6.625%  4/15/29    24,725     23,657
15

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commercial Metals Co.   4.125%  1/15/30     8,740      7,847
  Commercial Metals Co.   3.875%  2/15/31     2,885      2,500
  Commercial Metals Co.   4.375%  3/15/32    19,045     16,601
3 Constellium SE   5.875%  2/15/26    10,026      9,906
3 Constellium SE   5.625%  6/15/28    22,629     21,599
3 Constellium SE   3.750%  4/15/29    36,000     31,326
  Crown Americas LLC   5.250%   4/1/30    25,415     24,190
  Crown Americas LLC / Crown Americas Capital Corp. V   4.250%  9/30/26    10,184      9,652
  Crown Americas LLC / Crown Americas Capital Corp. VI   4.750%   2/1/26    12,455     12,050
3,4 Crown European Holdings SA   2.875%   2/1/26    31,200     33,129
3 Element Solutions Inc.   3.875%   9/1/28    37,481     33,132
3 FMG Resources August 2006 Pty Ltd.   5.875%  4/15/30    21,375     20,506
3 FMG Resources August 2006 Pty Ltd.   4.375%   4/1/31    44,053     37,886
3 FMG Resources August 2006 Pty Ltd.   6.125%  4/15/32    21,227     20,387
  Graphic Packaging International LLC   4.125%  8/15/24    18,940     18,559
3 Graphic Packaging International LLC   4.750%  7/15/27     7,870      7,572
3 Graphic Packaging International LLC   3.500%  3/15/28    71,362     64,220
3 Graphic Packaging International LLC   3.500%   3/1/29    10,705      9,353
3 Graphic Packaging International LLC   3.750%   2/1/30    15,803     13,729
3 Hudbay Minerals Inc.   6.125%   4/1/29    30,156     28,852
3 Ingevity Corp.   3.875%  11/1/28     1,890      1,637
3 Kaiser Aluminum Corp.   4.625%   3/1/28    11,598     10,402
3 Kaiser Aluminum Corp.   4.500%   6/1/31    11,879      9,735
3 NOVA Chemicals Corp.   5.250%   6/1/27    26,509     23,868
3 Novelis Corp.   3.250% 11/15/26    40,425     36,745
3 Novelis Corp.   4.750%  1/30/30    53,965     48,456
3 Novelis Corp.   3.875%  8/15/31    47,047     39,375
3 OCI NV   4.625% 10/15/25    22,514     21,822
  Olin Corp.   5.125%  9/15/27     5,575      5,329
  Olin Corp.   5.625%   8/1/29     5,250      5,083
3 Olympus Water US Holding Corp.   7.125%  10/1/27    11,505     10,526
3 Olympus Water US Holding Corp.   4.250%  10/1/28    27,538     22,139
3 Olympus Water US Holding Corp.   9.750% 11/15/28    41,620     40,258
3 Olympus Water US Holding Corp.   6.250%  10/1/29     4,875      3,600
3 Owens-Brockway Glass Container Inc.   6.375%  8/15/25    42,000     42,069
3 Owens-Brockway Glass Container Inc.   6.625%  5/13/27    26,440     26,341
3 Owens-Brockway Glass Container Inc.   7.250%  5/15/31    14,265     14,508
3 Pactiv Evergreen Group Issuer Inc./Pactiv Evergreen Group Issuer LLC   4.000% 10/15/27    15,475     13,947
3 Pactiv Evergreen Group Issuer Inc./Pactiv Evergreen Group Issuer LLC   4.375% 10/15/28     4,765      4,227
3 Sealed Air Corp.   4.000%  12/1/27     6,025      5,550
3 Sealed Air Corp.   6.125%   2/1/28     4,970      4,956
3 Sealed Air Corp.   5.000%  4/15/29     1,775      1,658
3 Sealed Air Corp.   6.875%  7/15/33     3,745      3,908
  Silgan Holdings Inc.   4.125%   2/1/28     8,800      8,048
4 Silgan Holdings Inc.   2.250%   6/1/28    43,070     40,628
3 SPCM SA   3.125%  3/15/27    16,730     15,011
3 Standard Industries Inc.   5.000%  2/15/27    14,735     14,093
3 Standard Industries Inc.   4.750%  1/15/28    31,779     29,552
3 Standard Industries Inc.   4.375%  7/15/30    53,906     46,851
3 Standard Industries Inc.   3.375%  1/15/31    72,685     58,655
3,4 Trivium Packaging Finance BV   3.750%  8/15/26    16,095     16,240
3 Trivium Packaging Finance BV   5.500%  8/15/26    62,555     59,420
3 Trivium Packaging Finance BV   8.500%  8/15/27     1,178      1,135
3 Tronox Inc.   4.625%  3/15/29    44,100     36,540
16

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Windsor Holdings III LLC   8.500%  6/15/30    29,775     29,941
3 WR Grace Holdings LLC   5.625%  8/15/29    11,196      9,454
3 WR Grace Holdings LLC   7.375%   3/1/31     9,080      9,084
                   1,876,714
Real Estate (1.6%)
3 Iron Mountain Inc.   4.875%  9/15/27    36,420     34,132
3 Iron Mountain Inc.   5.250%  3/15/28       910        855
3 Iron Mountain Inc.   7.000%  2/15/29    37,900     38,049
3 Iron Mountain Inc.   4.875%  9/15/29    58,106     52,440
3 Iron Mountain Inc.   5.250%  7/15/30    29,500     26,702
3 Iron Mountain Inc.   4.500%  2/15/31    11,180      9,628
3 Iron Mountain Inc.   5.625%  7/15/32     7,825      7,054
3 Iron Mountain Information Management Services Inc.   5.000%  7/15/32       429        371
  MPT Operating Partnership LP / MPT Finance Corp.   5.000% 10/15/27     3,640      3,192
  MPT Operating Partnership LP / MPT Finance Corp.   4.625%   8/1/29    25,640     20,433
  MPT Operating Partnership LP / MPT Finance Corp.   3.500%  3/15/31    17,340     12,487
  SBA Communications Corp.   3.875%  2/15/27    11,065     10,192
  SBA Communications Corp.   3.125%   2/1/29    10,805      9,110
  Service Properties Trust   7.500%  9/15/25     2,983      2,949
  Service Properties Trust   5.250%  2/15/26     4,125      3,766
  Service Properties Trust   4.750%  10/1/26     9,592      8,387
  Service Properties Trust   5.500% 12/15/27    15,224     13,363
3 VICI Properties LP / VICI Note Co. Inc.   5.625%   5/1/24     1,900      1,891
3 VICI Properties LP / VICI Note Co. Inc.   4.250%  12/1/26    87,348     82,402
3 VICI Properties LP / VICI Note Co. Inc.   3.750%  2/15/27     9,724      8,994
3 VICI Properties LP / VICI Note Co. Inc.   4.625%  12/1/29    14,375     13,147
                   359,544
Technology (7.2%)
3 Black Knight InfoServ LLC   3.625%   9/1/28    51,266     46,897
  Block Inc.   2.750%   6/1/26    53,443     48,875
  Block Inc.   3.500%   6/1/31     9,160      7,674
3 Booz Allen Hamilton Inc.   3.875%   9/1/28     9,295      8,413
3 Booz Allen Hamilton Inc.   4.000%   7/1/29     9,610      8,688
  CDW LLC / CDW Finance Corp.   4.250%   4/1/28    31,874     29,554
  CDW LLC / CDW Finance Corp.   3.250%  2/15/29    44,384     38,680
3 Cloud Software Group Inc.   6.500%  3/31/29    10,940      9,853
3 Cloud Software Grp Inc.   9.000%  9/30/29    10,335      9,262
3 Coherent Corp.   5.000% 12/15/29    61,155     55,063
3 CommScope Inc.   8.250%   3/1/27     1,960      1,486
3 CommScope Inc.   7.125%   7/1/28    11,145      7,418
3 CommScope Technologies LLC   6.000%  6/15/25     3,405      3,090
3 CommScope Technologies LLC   5.000%  3/15/27     6,790      4,532
3 Entegris Escrow Corp.   4.750%  4/15/29    39,570     36,937
3 Entegris Escrow Corp.   5.950%  6/15/30    11,175     10,711
3 Entegris Inc.   4.375%  4/15/28    67,185     61,519
3 Entegris Inc.   3.625%   5/1/29    27,465     23,951
3 Fair Isaac Corp.   4.000%  6/15/28    32,367     29,708
3 Gartner Inc.   3.625%  6/15/29    12,435     10,982
3 Gartner Inc.   3.750%  10/1/30    38,129     33,264
3 Gen Digital Inc.   5.000%  4/15/25   107,805    106,292
3 Imola Merger Corp.   4.750%  5/15/29   230,775    202,653
3 McAfee Corp.   7.375%  2/15/30    59,647     51,553
3 Minerva Merger Sub Inc.   6.500%  2/15/30    74,058     62,785
3 MSCI Inc.   4.000% 11/15/29    24,320     22,145
3 MSCI Inc.   3.625%   9/1/30     6,790      5,970
17

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 MSCI Inc.   3.625%  11/1/31       840        726
  Nokia of America Corp.   6.500%  1/15/28    56,315     54,497
  Nokia of America Corp.   6.450%  3/15/29    88,747     84,272
  Nokia OYJ   4.375%  6/12/27    13,480     12,737
  Nokia OYJ   6.625%  5/15/39    46,739     45,352
3 Open Text Corp.   3.875%  2/15/28    61,342     54,591
3 Open Text Corp.   3.875%  12/1/29    39,970     33,806
3 Open Text Holdings Inc.   4.125%  2/15/30    63,245     54,312
3 Open Text Holdings Inc.   4.125%  12/1/31    28,055     23,286
3 Presidio Holdings Inc.   4.875%   2/1/27    83,750     79,159
3 Presidio Holdings Inc.   8.250%   2/1/28    10,000      9,701
3 PTC Inc.   3.625%  2/15/25    15,330     14,808
3 PTC Inc.   4.000%  2/15/28    12,620     11,644
3 Seagate HDD Cayman   8.250% 12/15/29     5,380      5,635
3 Seagate HDD Cayman   8.500%  7/15/31     8,955      9,377
3 SS&C Technologies Inc.   5.500%  9/30/27   147,721    142,730
  Western Digital Corp.   4.750%  2/15/26    21,250     20,302
  Xerox Corp.   4.800%   3/1/35     2,625      1,810
3 Xerox Holdings Corp.   5.000%  8/15/25     3,195      3,067
3 Xerox Holdings Corp.   5.500%  8/15/28    81,060     71,133
                   1,670,900
Utilities (2.2%)
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.500%  5/20/25    31,676     30,702
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.875%  8/20/26    57,552     54,208
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.750%  5/20/27    34,064     31,112
3 AmeriGas Partners LP / AmeriGas Finance Corp.   9.375%   6/1/28    35,790     36,539
3 Calpine Corp.   4.500%  2/15/28    14,600     13,412
3 Calpine Corp.   5.125%  3/15/28    17,300     15,688
3 Calpine Corp.   4.625%   2/1/29     6,270      5,403
3 Clearway Energy Operating LLC   4.750%  3/15/28    18,731     17,364
3 Clearway Energy Operating LLC   3.750%  2/15/31    87,235     72,278
3 Clearway Energy Operating LLC   3.750%  1/15/32    16,020     13,112
  FirstEnergy Corp.   4.150%  7/15/27    17,185     16,265
3 NextEra Energy Operating Partners LP   4.250%  7/15/24    33,229     32,607
3 NextEra Energy Operating Partners LP   4.250%  9/15/24     3,532      3,374
3 NextEra Energy Operating Partners LP   3.875% 10/15/26   104,720     97,546
3 NextEra Energy Operating Partners LP   4.500%  9/15/27    19,651     18,386
3 Suburban Propane Partners LP / Suburban Energy Finance Corp.   5.000%   6/1/31    12,970     11,145
  TransAlta Corp.   7.750% 11/15/29     2,750      2,848
3 Vistra Operations Co. LLC   5.625%  2/15/27     5,725      5,536
3 Vistra Operations Co. LLC   4.375%   5/1/29    23,069     20,366
                   497,891
Total Corporate Bonds (Cost $21,611,517) 20,235,650
Floating Rate Loan Interests (3.1%)
5 Alterra Mountain Co. Term Loan B, TSFR1M + 3.750%   9.169%  5/31/30     2,860      2,853
5,6 American Airlines Inc. Term Loan, TSFR3M + 4.750%  10.338%  4/20/28    31,491     32,580
10 Arsenal AIC PARENT LLC       —%  10/1/30     8,630      8,608
5 Asurion LLC Term Loan B-11, TSFR1M + 4.250%   9.669%  8/19/28     6,793      6,511
5 Asurion LLC Term Loan B-7, SOFR30A + 3.000%   8.538%  11/3/24    19,633     19,600
5 Athenahealth Inc. Term Loan B, TSFR1M + 3.500%   8.805%  2/15/29    28,039     27,182
5 Axalta Coating Systems US Holdings Inc. Term Loan B-4, TSFR3M + 3.000%   8.242% 12/20/29    13,432     13,454
5 Belron Finance US LLC Term Loan, TSFR3M + 2.750%   8.160%  4/18/29     5,255      5,252
18

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
5 Bombardier Recreational Products Inc. Term Loan B, TSFR1M + 3.500%   8.819% 12/13/29    14,352     14,359
5 Brown Group Holding LLC Term Loan B, TSFR1M + 2.500%   7.805%   6/7/28    20,673     20,483
5 Chemours Co. Term Loan B, TSFR1M + 1.750%   7.169%   4/3/25     1,889      1,882
5 Clarios Global LP Term Loan, TSFR1M + 3.750%   9.069%   5/6/30    29,422     29,392
5 Cloud Software Group Inc. Term Loan B, TSFR3M + 4.500%   9.842%  3/30/29    33,205     31,778
5 CommScope Inc. Term Loan B, TSFR1M + 3.250%   8.555%   4/6/26    21,125     19,616
5 DirecTV Financing LLC Term Loan, TSFR1M + 5.000%  10.433%   8/2/27    27,013     26,828
  Dun & Bradstreet Corp. Term Loan B, TSFR1M + 3.000%   8.416%   2/6/26    53,264     53,264
5 First Student Bidco Inc. Term Loan B, TSFR3M + 3.000%   8.501%  7/21/28    17,414     16,940
5 First Student Bidco Inc. Term Loan C, TSFR3M + 3.000%   8.501%  7/21/28     6,514      6,337
5 Fortrea Holdings Inc. Term Loan B TSFR3M + 3.750%   8.992%   7/1/30     2,258      2,259
5,6 HUB International Ltd. Term Loan B, TSFR1M + 4.250%   9.584%  6/20/30    33,161     33,277
5 IRB Holding Corp. Term Loan B, TSFR1M + 3.000%   8.419% 12/15/27    44,729     44,473
5 McAfee LLC Term Loan B, TSFR1M + 3.750%   8.963%   3/1/29    36,042     34,789
5 Medline Borrower LP Term Loan B, TSFR1M + 3.250%   8.683% 10/23/28    60,784     60,124
5 Mileage Plus Holdings LLC Term Loan B, 3M USD LIBOR + 5.250%  10.764%  6/21/27    26,791     27,914
5 NorthRiver Midstream Finance LP Term Loan B, TSFR1M + 3.250%   8.780%  10/1/25    22,574     22,522
5 Open Text Corp. Term Loan B, TSFR1M +3.500%   8.919%  1/31/30     4,836      4,840
5 Peraton Corp. Term Loan B, TSFR1M + 3.750%   9.169%   2/1/28    16,518     16,366
5,6 PetSmart LLC Term Loan B, TSFR1M + 3.750%   9.169%  2/11/28     5,000      4,992
5 SBA Senior Finance II LLC Term Loan B, TSFR1M + 1.750%   7.170%  4/11/25    28,427     28,392
5 SkyMiles IP Ltd. Term Loan B, TSFR3M + 3.750%   9.076% 10/20/27    48,191     50,064
5 Spirit AeroSystems Inc. Term Loan, TSFR3M + 4.500%   9.869%  1/15/27       955        956
5 SS&C Technologies Inc. Term Loan B-5, TSFR1M + 1.750%   7.183%  4/16/25    21,817     21,800
5 Trans Union LLC Term Loan B-6, TSFR1M + 2.250%   7.683%  12/1/28    13,705     13,679
5 TransDigm Inc. Term Loan H, TSFR3M + 3.250%   8.492%  2/22/27       920        915
5 TransDigm Inc. Term Loan I, TSFR3M + 3.250%   8.492%  8/24/28     5,687      5,690
5 Zayo Group Holdings Inc. Term Loan, TSFR1M + 3.000%   8.433%   3/9/27     5,360      4,074
Total Floating Rate Loan Interests (Cost $710,436) 714,045
          Shares  
Temporary Cash Investments (5.2%)
Money Market Fund (1.2%)
11 Vanguard Market Liquidity Fund    5.274%          2,711,912    271,137
        Maturity
Date 		Face
Amount
($000) 		 
Repurchase Agreements (2.7%)
  Bank of America Securities LLC
(Dated 7/31/23, Repurchase Value $158,823,000, collateralized by U.S. Treasury Note/Bond 1.375%–4.500%, 11/30/24–10/31/28, with a value of $161,976,000)  		  5.300%   8/1/23   158,800    158,800
  Credit Agricole Securities
(Dated 7/31/23, Repurchase Value $114,217,000, collateralized by U.S. Treasury Note/Bond 4.125%, 6/15/26, with a value of $116,484,000)  		  5.280%   8/1/23   114,200    114,200
19

 

High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  JP Morgan Securities LLC
(Dated 7/31/23, Repurchase Value $14,002,000, collateralized by U.S. Treasury Note/Bond 0.375%–3.500%, 9/15/25–2/15/49, with a value of $14,280,000)  		  5.290%   8/1/23    14,000     14,000
  JP Morgan Securities LLC
(Dated 7/31/23, Repurchase Value $59,709,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.375%, 7/15/27, with a value of $60,894,000)  		  5.280%   8/1/23    59,700     59,700
  RBC Capital Markets LLC
(Dated 7/31/23, Repurchase Value $139,020,000, collateralized by U.S. Treasury Bill 0.000%, 10/19/23–6/13/24, and U.S. Treasury Note/Bond 1.750%, 6/30/24, with a value of $141,780,000)  		  5.300%   8/1/23   139,000    139,000
  TD Securities (USA) LLC
(Dated 7/31/23, Repurchase Value $139,821,000, collateralized by Ginnie Mae 3.000%–5.000%, 1/20/51–9/20/52, with a value of $142,596,000)  		  5.300%   8/1/23   139,800    139,800
                   625,500
U.S. Government and Agency Obligations (1.3%)
12 United States Treasury Bill   0.010% 10/26/23   156,025    154,061
  United States Treasury Bill   0.010%  1/11/24   154,075    150,402
                   304,463
Total Temporary Cash Investments (Cost $1,201,236) 1,201,100
Total Investments (99.9%) (Cost $24,526,509) 23,131,708
Other Assets and Liabilities—Net (0.1%) 14,179
Net Assets (100%) 23,145,887
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $61,461,000 have been segregated as initial margin for open centrally cleared swap contracts.
2 Securities with a value of $5,351,000 have been segregated as initial margin for open futures contracts.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2023, the aggregate value was $15,070,605,000, representing 65.1% of net assets.
4 Face amount denominated in euro.
5 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
7 Face amount denominated in Canadian dollars.
8 Face amount denominated in British pounds.
9 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.
10 Represents an unsettled loan as of July 31, 2023. The coupon rate is not known until the settlement date.
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12 Securities with a value of $721,000 have been segregated as collateral for open forward currency contracts.
  3M—3-month.
  DAC—Designated Activity Company.
  LIBOR—London Interbank Offered Rate.
  SOFR30A—30 Day Average Secured Overnight Financing Rate.
  TSFR1M—CME Term Secured Overnight Financing Rate 1-Month.
  TSFR3M—CME Term Secured Overnight Financing Rate 3-Month.
  USD—U.S. dollar.
    
20

 

High-Yield Corporate Fund
Other Financial Instruments as of Period End
Floating Rate Loan Commitments        
  Total
Unfunded
Commitment
($000) 		Fair
Value
Commitment
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Athenahealth Inc. 3,453 3,354 — (99)
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2023 1,829 371,344 (4,122)
5-Year U.S. Treasury Note September 2023 2,131 227,634 (1,856)
10-Year U.S. Treasury Note September 2023 355 39,549 (495)
Long U.S. Treasury Bond September 2023 330 41,064 (833)
Ultra 10-Year U.S. Treasury Note September 2023 262 30,650 (470)
Ultra Long U.S. Treasury Bond September 2023 50 6,611 (139)
        (7,915)
Short Futures Contracts        
2-Year U.S. Treasury Note September 2023 (149) (30,252) 35
10-Year U.S. Treasury Note September 2023 (2,694) (300,128) 4,609
Long U.S. Treasury Bond September 2023 (40) (4,978) 123
Ultra 10-Year U.S. Treasury Note September 2023 (73) (8,540) 118
Ultra Long U.S. Treasury Bond September 2023 (6) (793) 15
        4,900
        (3,015)
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
UBS AG 8/31/23 USD 81,191 CAD 107,251 — (178)
Deutsche Bank AG 8/31/23 USD 675,927 EUR 609,659 4,515 —
JPMorgan Chase Bank, N.A. 8/31/23 USD 2,961 EUR 2,685 4 —
Barclays Bank plc 8/31/23 USD 48,733 GBP 37,919 63 —
            4,582 (178)
CAD—Canadian dollar.
EUR—euro.
GBP—British pound.
USD—U.S. dollar.
21

 

High-Yield Corporate Fund
At July 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $492,000 in connection with open forward currency contracts.
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-HY-S40-V1 6/21/28 USD 664,480 5.000 27,726 23,585
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

High-Yield Corporate Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $24,255,370) 22,860,571
Affiliated Issuers (Cost $271,139) 271,137
Total Investments in Securities 23,131,708
Investment in Vanguard 778
Cash 2,328
Foreign Currency, at Value (Cost $7,791) 7,764
Receivables for Investment Securities Sold 24,261
Receivables for Accrued Income 309,773
Receivables for Capital Shares Issued 20,351
Variation Margin Receivable—Futures Contracts 144
Unrealized Appreciation—Forward Currency Contracts 4,582
Total Assets 23,501,689
Liabilities  
Payables for Investment Securities Purchased 281,356
Payables to Investment Advisor 1,210
Payables for Capital Shares Redeemed 46,308
Payables for Distributions 24,034
Payables to Vanguard 1,139
Unrealized Depreciation—Floating Rate Loan Commitments 99
Unrealized Depreciation—Forward Currency Contracts 178
Variation Margin Payable—Centrally Cleared Swap Contracts 1,478
Total Liabilities 355,802
Net Assets 23,145,887
23

 

High-Yield Corporate Fund
Statement of Assets and Liabilities (continued)
At July 31, 2023, net assets consisted of:  
($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 26,362,570
Total Distributable Earnings (Loss) (3,216,683)
Net Assets 23,145,887
 
Investor Shares—Net Assets  
Applicable to 558,190,328 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,929,655
Net Asset Value Per Share—Investor Shares $5.25
 
Admiral Shares—Net Assets  
Applicable to 3,851,820,916 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		20,216,232
Net Asset Value Per Share—Admiral Shares $5.25
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

High-Yield Corporate Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 670,236
Total Income 670,236
Expenses  
Investment Advisory Fees—Note B 3,694
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 2,601
Management and Administrative—Admiral Shares 8,082
Marketing and Distribution—Investor Shares 113
Marketing and Distribution—Admiral Shares 644
Custodian Fees 65
Shareholders’ Reports—Investor Shares 45
Shareholders’ Reports—Admiral Shares 106
Trustees’ Fees and Expenses 6
Other Expenses 9
Total Expenses 15,365
Expenses Paid Indirectly (53)
Net Expenses 15,312
Net Investment Income 654,924
Realized Net Gain (Loss)  
Investment Securities Sold1 (436,037)
Futures Contracts (4,581)
Swap Contracts 39,589
Forward Currency Contracts (4,349)
Foreign Currencies 519
Realized Net Gain (Loss) (404,859)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 220,383
Floating Rate Loan Commitments 225
Futures Contracts (1,277)
Swap Contracts (12,118)
Forward Currency Contracts 1,469
Foreign Currencies (315)
Change in Unrealized Appreciation (Depreciation) 208,367
Net Increase (Decrease) in Net Assets Resulting from Operations 458,432
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,441,000, ($12,000), and ($12,000), respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

High-Yield Corporate Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 654,924   1,244,219
Realized Net Gain (Loss) (404,859)   (787,055)
Change in Unrealized Appreciation (Depreciation) 208,367   (1,539,235)
Net Increase (Decrease) in Net Assets Resulting from Operations 458,432   (1,082,071)
Distributions      
Investor Shares (85,783)   (157,825)
Admiral Shares (594,328)   (1,120,494)
Total Distributions (680,111)   (1,278,319)
Capital Share Transactions      
Investor Shares (82,297)   (281,664)
Admiral Shares (163,561)   (2,367,257)
Net Increase (Decrease) from Capital Share Transactions (245,858)   (2,648,921)
Total Increase (Decrease) (467,537)   (5,009,311)
Net Assets      
Beginning of Period 23,613,424   28,622,735
End of Period 23,145,887   23,613,424
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

High-Yield Corporate Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $5.30 $5.77 $5.96 $5.94 $5.67 $5.91
Investment Operations            
Net Investment Income1 .146 .261 .238 .259 .302 .317
Net Realized and Unrealized Gain (Loss) on Investments (.044) (.462) (.185) .034 .278 (.230)
Total from Investment Operations .102 (.201) .053 .293 .580 .087
Distributions            
Dividends from Net Investment Income (.152) (.269) (.243) (.273) (.310) (.327)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.152) (.269) (.243) (.273) (.310) (.327)
Net Asset Value, End of Period $5.25 $5.30 $5.77 $5.96 $5.94 $5.67
Total Return2 1.97% -3.37% 0.84% 5.22% 10.45% 1.61%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,930 $3,041 $3,612 $3,877 $4,102 $3,557
Ratio of Total Expenses to Average Net Assets 0.22%3 0.23%3 0.23% 0.23% 0.23% 0.23%
Ratio of Net Investment Income to Average Net Assets 5.65% 4.90% 4.00% 4.51% 5.16% 5.55%
Portfolio Turnover Rate 20% 36% 31% 38% 28% 21%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.22% and 0.23%, respectively.
  
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

High-Yield Corporate Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $5.30 $5.77 $5.96 $5.94 $5.67 $5.91
Investment Operations            
Net Investment Income1 .149 .266 .244 .265 .308 .323
Net Realized and Unrealized Gain (Loss) on Investments (.045) (.462) (.185) .033 .278 (.230)
Total from Investment Operations .104 (.196) .059 .298 .586 .093
Distributions            
Dividends from Net Investment Income (.154) (.274) (.249) (.278) (.316) (.333)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.154) (.274) (.249) (.278) (.316) (.333)
Net Asset Value, End of Period $5.25 $5.30 $5.77 $5.96 $5.94 $5.67
Total Return2 2.02% -3.27% 0.94% 5.32% 10.55% 1.71%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $20,216 $20,573 $25,011 $24,798 $22,701 $19,285
Ratio of Total Expenses to Average Net Assets 0.12%3 0.13%3 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets 5.75% 5.00% 4.10% 4.60% 5.26% 5.65%
Portfolio Turnover Rate 20% 36% 31% 38% 28% 21%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.12% and 0.13%, respectively.
  
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

High-Yield Corporate Fund
Notes to Financial Statements
Vanguard High-Yield Corporate Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. 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).
3. Floating Rate Loan Interests: Floating rate loan interests represent interests in amounts owed by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the fund to supply additional cash to the borrower on demand. Floating rate loan interests may be made directly with a borrower or acquired through assignment or participation. The fund’s right to enforce a borrower’s compliance with the terms of the loan agreement, or benefit directly from the collateral supporting the loan, varies when the loan is a direct borrowing, an assignment, or a participation. Floating rate loan interests involve various risks including risk of loss in case of default, insolvency, or the bankruptcy of the borrower and are generally subject to restrictions on transfer with limited opportunities to sell them in secondary markets. The fund may also invest in loan commitments, which are contractual obligations for a future funding. The fund may earn a commitment fee on any unfunded portion of these commitments which is amortized to interest income over the commitment period. Both the funded portion of a floating rate loan interest as well as its unfunded commitment, if any, is reflected on the Schedule of Investments.
4. 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
29

 

High-Yield Corporate Fund
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.
5. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities.Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilitiesas an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 2% and 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
6. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is
30

 

High-Yield Corporate Fund
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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2023, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of the notional amounts at each quarter-end during the period.
7. 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 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.
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
31

 

High-Yield Corporate Fund
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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.
During the six months ended July 31, 2023, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 2% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
8. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
9. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
10. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
32

 

High-Yield Corporate Fund
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
11. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company llp provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor.
Vanguard provides investment advisory services to a portion of the fund as described below; the fund paid Vanguard advisory fees of $1,265,000 for the six months ended July 31, 2023.
For the six months ended July 31, 2023, the aggregate investment advisory fee paid to all advisors represented an effective annual rate of 0.03% of the fund’s average net assets.
C. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. 
33

 

High-Yield Corporate Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $778,000, representing less than 0.01% of the fund’s net assets and 0.31% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $53,000 (an annual rate of less than 0.01% of average net assets).
E. Various inputs may be used to determine the value of the fund’s investments, other financial instruments, and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments, other financial instruments, and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
34

 

High-Yield Corporate Fund
The following table summarizes the market value of the fund’s investments, other financial instruments, and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 980,913 — 980,913
Corporate Bonds — 20,235,650 — 20,235,650
Floating Rate Loan Interests — 714,045 — 714,045
Temporary Cash Investments 271,137 929,963 — 1,201,100
Total 271,137 22,860,571 — 23,131,708
Other Financial Instruments         
Liabilities        
Floating Rate Loan Commitments — 99 — 99
Derivative Financial Instruments         
Assets        
Futures Contracts1 4,900 — — 4,900
Forward Currency Contracts — 4,582 — 4,582
Swap Contracts 23,5851 — — 23,585
Total 28,485 4,582 — 33,067
Liabilities        
Futures Contracts1 7,915 — — 7,915
Forward Currency Contracts — 178 — 178
Total 7,915 178 — 8,093
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
F. At July 31, 2023, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Futures Contracts1 4,900 — — 4,900
Unrealized Appreciation—Centrally Cleared Swap Contracts — — 23,585 23,585
Unrealized Appreciation—Forward Currency Contracts — 4,582 — 4,582
Total Assets 4,900 4,582 23,585 33,067
         
Unrealized Depreciation—Futures Contracts1 7,915 — — 7,915
35

 

High-Yield Corporate Fund
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Depreciation—Forward Currency Contracts — 178 — 178
Total Liabilities 7,915 178 — 8,093
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2023, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts (4,581) — — (4,581)
Swap Contracts — — 39,589 39,589
Forward Currency Contracts — (4,349) — (4,349)
Realized Net Gain (Loss) on Derivatives (4,581) (4,349) 39,589 30,659
Change in Unrealized Appreciation
(Depreciation) on Derivatives 		       
Futures Contracts (1,277) — — (1,277)
Swap Contracts — — (12,118) (12,118)
Forward Currency Contracts — 1,469 — 1,469
Change in Unrealized Appreciation (Depreciation) on Derivatives (1,277) 1,469 (12,118) (11,926)
G. As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 24,485,630
Gross Unrealized Appreciation 211,099
Gross Unrealized Depreciation (1,540,146)
Net Unrealized Appreciation (Depreciation) (1,329,047)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $1,464,166,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
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High-Yield Corporate Fund
H. During the six months ended July 31, 2023, the fund purchased $3,114,558,000 of investment securities and sold $3,196,435,000 of investment securities, other than U.S. government securities andtemporary cash investments.Purchases and sales of U.S. government securities were $1,307,115,000 and $1,695,066,000, respectively.
I. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 212,413 40,709   497,489 93,790
Issued in Lieu of Cash Distributions 72,658 13,915   133,453 25,232
Redeemed (367,368) (70,430)   (912,606) (171,056)
Net Increase (Decrease)—Investor Shares (82,297) (15,806)   (281,664) (52,034)
Admiral Shares          
Issued 1,527,660 292,759   4,440,999 830,126
Issued in Lieu of Cash Distributions 462,420 88,559   868,371 164,160
Redeemed (2,153,641) (413,210)   (7,676,627) (1,445,674)
Net Increase (Decrease)—Admiral Shares (163,561) (31,892)   (2,367,257) (451,388)
J. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
K. Management has determined that no other events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
37

 

Trustees Approve Advisory Arrangement
The board of trustees of Vanguard High-Yield Corporate Fund has renewed the fund’s investment advisory arrangements with Wellington Management Company llp (Wellington Management) and The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about the fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisors.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of each advisor. The board considered the following:
Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The portfolio manager has the support of an experienced team of fixed income research analysts who conduct detailed credit analysis. The advisor focuses on higher-quality high-yield bonds, as it expects these higher-quality issues to offer a more favorable risk/reward tradeoff over the long term. The team’s credit analysis seeks to identify companies whose fundamentals are stable or improving and whose securities offer an attractive yield. The firm has managed the fund since its inception in 1978.
Vanguard. Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability and depth. Vanguard has managed a portion of the fund since 2022.
38

 

The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of the fund and each advisor, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue.
Cost
The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the fund’s advisory expense rate was also below the peer-group average.
The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets managed by Wellington Management increase.
The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets managed by Vanguard increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
39

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard High-Yield Corporate Fund's Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
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You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2023 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q292 092023
Semiannual Report  |  July 31, 2023
Vanguard GNMA Fund

 

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
GNMA Fund      
Investor Shares $1,000.00 $988.20 $1.04
Admiral™ Shares 1,000.00 988.70 0.54
Based on Hypothetical 5% Yearly Return      
GNMA Fund      
Investor Shares $1,000.00 $1,023.75 $1.05
Admiral Shares 1,000.00 1,024.25 0.55
The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratios for that period are 0.21% for Investor Shares and 0.11% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

GNMA Fund
Distribution by Stated Maturity
As of July 31, 2023
0 - 5 Years 0.6%
5 - 10 Years 1.7
10 - 15 Years 2.0
15 - 20 Years 12.3
20 - 25 Years 22.8
Over 25 Years 60.6
The table reflects the fund's investments, except for short-term investments and derivatives.
3

 

GNMA Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (98.1%)
Conventional Mortgage-Backed Securities (91.1%)  
  1,2 Fannie Mae Pool 2.120%            5/1/31    20,825     17,423
  1,2 Fannie Mae Pool 2.250%            4/1/33    27,145     22,265
  1,2 Fannie Mae Pool 2.690%            3/1/37     7,984      6,552
  1,2 Fannie Mae Pool 2.950%            6/1/31     1,922      1,716
  1,2 Fannie Mae Pool 2.960%            6/1/31     2,298      2,061
  1,2 Fannie Mae Pool 3.010%            8/1/34     2,045      1,761
  1,2 Fannie Mae Pool 3.050%            7/1/31     1,970      1,770
  1,2 Fannie Mae Pool 3.240%            3/1/28     5,852      5,489
  1,2 Fannie Mae Pool 3.260%           12/1/37     4,175      3,536
  1,2 Fannie Mae Pool 3.410%            5/1/32     4,100      3,737
  1,2 Fannie Mae Pool 3.420%            4/1/31     1,331      1,228
  1,2 Fannie Mae Pool 3.460%            9/1/29     6,191      5,799
  1,2 Fannie Mae Pool 3.520%           11/1/32    21,125     19,355
  1,2 Fannie Mae Pool 4.125%            6/1/28    28,792     27,994
  1,2 Fannie Mae Pool 4.370%            5/1/28    18,127     17,827
1,2,3,4 Fannie Mae Pool 4.500%            8/1/33    15,961     15,951
  1,2 Fannie Mae Pool 4.510%            5/1/33    23,076     22,859
  1,2 Fannie Mae Pool 4.625%            6/1/28    16,874     16,782
  1,2 Freddie Mac Gold Pool 3.000%     6/1/43–1/1/47    10,329      9,198
  1,2 Freddie Mac Gold Pool 3.500%    11/1/47–8/1/48     1,515      1,394
  1,2 Freddie Mac Gold Pool 4.000%     9/1/30–4/1/44     1,819      1,746
  1,2 Freddie Mac Gold Pool 4.500%    4/1/34–11/1/45    20,302     19,865
  1,2 Freddie Mac Gold Pool 5.000%     1/1/38–4/1/44     7,175      7,271
   1 Ginnie Mae I Pool 2.500% 11/15/42–12/15/46    47,748     41,820
   1 Ginnie Mae I Pool 3.000%   1/15/26–3/15/46   388,149    347,363
   1 Ginnie Mae I Pool 3.250%           8/15/42     8,747      8,013
   1 Ginnie Mae I Pool 3.500%   7/15/39–6/15/48   313,616    290,428
   1 Ginnie Mae I Pool 3.750%           7/15/42     1,022        963
   1 Ginnie Mae I Pool 3.875%  10/15/40–6/15/42    14,560     13,832
   1 Ginnie Mae I Pool 4.000%   8/15/24–7/15/46   427,674    403,042
   1 Ginnie Mae I Pool 4.500%   4/15/33–4/15/44   219,320    215,025
   1 Ginnie Mae I Pool 5.000%   1/15/30–7/15/52   216,737    215,890
   1 Ginnie Mae I Pool 5.500%   1/15/24–9/15/45   159,717    162,439
   1 Ginnie Mae I Pool 6.000%   2/15/24–3/15/40    65,365     66,253
   1 Ginnie Mae I Pool 6.500%  10/15/23–7/15/40    56,988     57,667
   1 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36     8,564      8,732
   1 Ginnie Mae I Pool 7.250%           1/15/27         5          5
   1 Ginnie Mae I Pool 7.500%          10/15/31     4,631      4,757
   1 Ginnie Mae I Pool 8.000%           8/15/31     1,569      1,640
4

 

GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
   1 Ginnie Mae I Pool 8.500%  11/15/26–6/15/28         7          8
   1 Ginnie Mae II Pool 1.500%   4/20/44–4/20/52   140,595    112,105
 1,4,5 Ginnie Mae II Pool 2.000%  10/20/43–8/15/53 3,035,212  2,542,277
 1,4,5 Ginnie Mae II Pool 2.500%  11/20/42–8/15/53 3,552,169  3,067,581
 1,4,5 Ginnie Mae II Pool 3.000%   4/20/31–8/15/53 2,940,019  2,640,119
1,4,5,6 Ginnie Mae II Pool 3.500%  10/20/40–8/15/53 1,912,506  1,785,182
  1,4 Ginnie Mae II Pool 4.000%   4/20/39–8/15/53   456,439    445,277
  1,4 Ginnie Mae II Pool 4.500%  12/20/32–8/15/53   608,948    592,118
  1,4 Ginnie Mae II Pool 5.000%  10/20/32–8/15/53   997,089    978,692
  1,4 Ginnie Mae II Pool 5.500%   1/20/34–8/15/53   103,424    103,141
   1 Ginnie Mae II Pool 6.000%  4/20/28–10/20/38     1,226      1,254
   1 Ginnie Mae II Pool 6.500%   5/20/37–3/20/41       454        479
   1 Ginnie Mae II Pool 7.500%           8/20/25        15         15
 1,2,4 UMBS Pool 2.000%   11/1/46–8/25/53     4,853      3,933
 1,2,4 UMBS Pool 2.500%    7/1/27–8/25/53     3,665      4,225
  1,2 UMBS Pool 3.000%    12/1/25–6/1/49    19,123     18,251
 1,2,4 UMBS Pool 3.500%    9/1/46–8/25/53     3,996      4,062
  1,2 UMBS Pool 4.000%     5/1/46–6/1/46     1,974      1,877
 1,2,4 UMBS Pool 4.500%   12/1/40–8/25/53     3,213      3,099
  1,2 UMBS Pool 5.000%            9/1/35     3,986      3,949
 1,2,4 UMBS Pool 5.500%    6/1/53–8/25/53   163,689    162,711
  1,2 UMBS Pool 6.000%           12/1/52    47,695     48,539
  1,2 UMBS Pool 6.500%     2/1/29–5/1/40       864        895
                                            14,591,237
Nonconventional Mortgage-Backed Securities (7.0%)  
 1,2,7 Fannie Mae Pool, 12M USD LIBOR + 1.560% 4.347%            8/1/43     1,862      1,860
 1,2,7 Fannie Mae Pool, 12M USD LIBOR + 1.580% 3.971%            9/1/44     2,803      2,804
  1,2 Fannie Mae REMICS 1.500%  11/25/50–1/25/51    27,418     13,712
  1,2 Fannie Mae REMICS 2.000%           9/25/42     3,469      3,098
  1,2 Fannie Mae REMICS 2.500%          10/25/42     2,831      2,588
  1,2 Fannie Mae REMICS 3.000%   4/25/40–7/25/49    64,981     57,196
  1,2 Fannie Mae REMICS 3.500%   7/25/44–4/25/59    69,067     60,196
  1,2 Fannie Mae REMICS 6.000%  10/25/28–9/25/32     1,319      1,320
  1,2 Freddie Mac Non Gold Pool 2.949%           10/1/44     1,829      1,756
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.600% 3.850%           10/1/44     4,527      4,588
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.615% 4.148%            9/1/44     2,256      2,286
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 3.870%            9/1/43     2,093      2,142
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 3.893%           10/1/44     2,534      2,565
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 4.016%            7/1/44     1,225      1,244
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.630% 4.065%            4/1/44     2,415      2,415
 1,2,7 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.638% 4.591%            8/1/43     2,492      2,445
  1,2 Freddie Mac REMICS 2.000%           4/15/42     3,761      3,363
  1,2 Freddie Mac REMICS 2.500%           3/25/52     5,369      3,626
  1,2 Freddie Mac REMICS 3.000%   8/15/42–3/15/43    77,163     69,205
  1,2 Freddie Mac REMICS 3.500%   8/15/45–1/25/46    19,029     17,320
  1,2 Freddie Mac REMICS 4.000%           6/15/54     3,885      3,156
  1,2 Freddie Mac REMICS 6.000%  4/15/28–11/15/32     3,724      3,741
   1 Ginnie Mae REMICS 1.000%   8/20/50–6/20/51    32,355     24,822
   1 Ginnie Mae REMICS 1.500%   4/16/50–9/20/50    67,317     53,299
5

 

GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
   1 Ginnie Mae REMICS 1.650%          11/20/45    32,135     28,480
   1 Ginnie Mae REMICS 1.750%           7/20/44    16,048     13,255
   1 Ginnie Mae REMICS 2.000%   7/20/42–1/20/52    75,030     64,230
   1 Ginnie Mae REMICS 2.250%           3/16/45     6,469      5,775
   1 Ginnie Mae REMICS 2.375%           4/20/44     5,283      4,748
   1 Ginnie Mae REMICS 2.500%  12/16/39–2/20/52   172,903    145,592
   1 Ginnie Mae REMICS 2.650%          11/17/48     2,662      2,548
   1 Ginnie Mae REMICS 3.000%   6/20/39–3/20/52   391,046    340,291
   1 Ginnie Mae REMICS 3.250%   8/20/44–2/20/49    12,772     10,748
   1 Ginnie Mae REMICS 3.500%   7/20/43–1/20/52    83,093     75,335
   1 Ginnie Mae REMICS 3.675%          10/20/48    11,443     10,306
   1 Ginnie Mae REMICS 3.750%          12/16/39     2,272      1,965
   1 Ginnie Mae REMICS 4.000%  9/20/44–12/20/48    54,998     51,448
   1 Ginnie Mae REMICS 4.500%   6/20/39–4/16/41    19,066     18,442
   1 Ginnie Mae REMICS 5.000%           6/16/37     5,126      5,026
   1 Ginnie Mae REMICS 5.500%           8/16/36     4,536      4,567
  1,7 Ginnie Mae REMICS, TSFR1M + 0.314% 5.569%           2/20/37     1,217      1,198
                                              1,124,701
Total U.S. Government and Agency Obligations (Cost $17,291,593) 15,715,938
Asset-Backed/Commercial Mortgage-Backed Securities (1.2%)
   1 Seasoned Credit Risk Transfer Trust Series 2018-3 3.500%           8/25/57    10,113      8,163
   1 Seasoned Credit Risk Transfer Trust Series 2018-4 3.500%           3/25/58    10,636      8,876
   1 Seasoned Credit Risk Transfer Trust Series 2019-1 3.500%           7/25/58    14,650     11,824
   1 Seasoned Credit Risk Transfer Trust Series 2019-3 3.500%          10/25/58   108,564     97,045
   1 Seasoned Credit Risk Transfer Trust Series 2019-3 3.500%          10/25/58    13,657     12,057
   1 Seasoned Credit Risk Transfer Trust Series 2020-1 2.500%           8/25/59    68,603     57,710
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $237,986) 195,675
          Shares  
Temporary Cash Investments (4.7%)
Money Market Fund (0.7%)
   8 Vanguard Market Liquidity Fund 5.274%                   1,089,407    108,919
        Maturity
Date 		Face
Amount
($000) 		 
Repurchase Agreements (4.0%)
     Bank of America Securities LLC
(Dated 7/31/23, Repurchase Value $38,906,000, collateralized by U.S. Treasury Note/Bond 1.750%, 12/31/24, with a value of $39,678,000) 		5.300%            8/1/23    38,900     38,900
6

 

GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
     Bank of Nova Scotia
(Dated 7/31/23, Repurchase Value $34,005,000, collateralized by U.S. Treasury Bill 0.000%, 10/12/23, and U.S. Treasury Note/Bond 0.125%–3.625%, 9/30/23–2/15/44, with a value of $34,685,000) 		5.270%            8/1/23    34,000     34,000
     Barclays Capital Inc.
(Dated 7/31/23, Repurchase Value $75,611,000, collateralized by U.S. Treasury Note/Bond 0.500%–2.875%, 3/31/25–5/15/32, with a value of $77,112,000) 		5.300%            8/1/23    75,600     75,600
     Citigroup Global Markets Inc.
(Dated 7/31/23, Repurchase Value $30,004,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.625%, 2/28/25–10/31/25, with a value of $30,600,000) 		5.270%            8/1/23    30,000     30,000
     Credit Agricole Securities (USA) Inc.
(Dated 7/31/23, Repurchase Value $29,804,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.125%, 4/15/27–1/15/33, with a value of $30,396,000) 		5.280%            8/1/23    29,800     29,800
     HSBC Bank USA
(Dated 7/31/23, Repurchase Value $58,809,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–0.500%, 4/15/24–4/15/27, and U.S. Treasury Note/Bond 2.375%–4.000%, 2/29/24–7/31/30, with a value of $59,976,000) 		5.270%            8/1/23    58,800     58,800
     HSBC Bank USA
(Dated 7/31/23, Repurchase Value $75,511,000, collateralized by Fannie Mae 2.500%–5.000%, 2/1/35–11/1/52, with a value of $77,010,000) 		5.300%            8/1/23    75,500     75,500
     JP Morgan Securities LLC
(Dated 7/31/23, Repurchase Value $14,002,000, collateralized by U.S. Treasury Note/Bond 1.125%, 2/29/28, with a value of $14,280,000) 		5.290%            8/1/23    14,000     14,000
     Natixis SA
(Dated 7/31/23, Repurchase Value $81,712,000, collateralized by Treasury Inflation Indexed Note/Bond 0.250%–1.375%, 2/15/44–2/15/50, U.S. Treasury Bill 0.000%, 10/12/23–11/9/23, and U.S. Treasury Note/Bond 0.500%–6.000%, 8/15/25–2/15/53, with a value of $83,334,000) 		5.280%            8/1/23    81,700     81,700
     Societe Generale
(Dated 7/31/23, Repurchase Value $34,005,000, collateralized by U.S. Treasury Bill 0.000%, 11/14/23–6/13/24, with a value of $34,680,000) 		5.280%            8/1/23    34,000     34,000
7

 

GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
     TD Securities (USA) LLC
(Dated 7/31/23, Repurchase Value $78,912,000, collateralized by Ginnie Mae 3.000%, 9/20/51, with a value of $80,478,000) 		5.300%            8/1/23    78,900     78,900
     Wells Fargo & Co.
(Dated 7/31/23, Repurchase Value $85,013,000, collateralized by Fannie Mae 5.500%, 6/1/53, with a value of $86,700,000) 		5.310%            8/1/23    85,000     85,000
                                                636,200
Total Temporary Cash Investments (Cost $745,137) 745,119
Total Investments (104.0%) (Cost $18,274,716)   16,656,732
Other Assets and Liabilities—Net (-4.0%)   (638,810)
Net Assets (100%)   16,017,922
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Security value determined using significant unobservable inputs.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2023.
5 Securities with a value of $9,768,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
6 Securities with a value of $14,116,000 have been segregated as initial margin for open futures contracts.
7 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
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.
  12M—12-month.
  LIBOR—London Interbank Offered Rate.
  REMICS—Real Estate Mortgage Investment Conduits.
  TSFR1M—CME Term Secured Overnight Financing Rate 1-Month.
  UMBS—Uniform Mortgage-Backed Securities.
  USD—U.S. dollar.
8

 

GNMA Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note September 2023 4,025 817,201 (10,522)
10-Year U.S. Treasury Note September 2023 889 99,040 (550)
        (11,072)
 
Short Futures Contracts
5-Year U.S. Treasury Note September 2023 (2,010) (214,709) 246
Long U.S. Treasury Bond September 2023 (1,238) (154,054) 3,335
Ultra 10-Year U.S. Treasury Note September 2023 (1,852) (216,655) 5,139
        8,720
        (2,352)
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

GNMA Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $18,165,779) 16,547,813
Affiliated Issuers (Cost $108,937) 108,919
Total Investments in Securities 16,656,732
Investment in Vanguard 546
Receivables for Investment Securities Sold 1,053,809
Receivables for Accrued Income 44,146
Receivables for Capital Shares Issued 3,522
Other Assets 615
Total Assets 17,759,370
Liabilities  
Due to Custodian 256
Payables for Investment Securities Purchased 1,714,069
Payables for Capital Shares Redeemed 17,638
Payables for Distributions 7,944
Payables to Investment Advisor 429
Payables to Vanguard 927
Variation Margin Payable—Futures Contracts 185
Total Liabilities 1,741,448
Net Assets 16,017,922
10

 

GNMA Fund
Statement of Assets and Liabilities (continued)
 
At July 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 18,855,597
Total Distributable Earnings (Loss) (2,837,675)
Net Assets 16,017,922
 
Investor Shares—Net Assets  
Applicable to 551,611,652 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,065,447
Net Asset Value Per Share—Investor Shares $9.18
 
Admiral Shares—Net Assets  
Applicable to 1,192,687,616 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		10,952,475
Net Asset Value Per Share—Admiral Shares $9.18
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

GNMA Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Interest1 279,913
Total Income 279,913
Expenses  
Investment Advisory Fees—Note B 865
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 4,824
Management and Administrative—Admiral Shares 5,121
Marketing and Distribution—Investor Shares 145
Marketing and Distribution—Admiral Shares 283
Custodian Fees 212
Shareholders’ Reports—Investor Shares 62
Shareholders’ Reports—Admiral Shares 54
Trustees’ Fees and Expenses 4
Other Expenses 8
Total Expenses 11,578
Expenses Paid Indirectly (53)
Net Expenses 11,525
Net Investment Income 268,388
Realized Net Gain (Loss)  
Investment Securities Sold1 (48,516)
Futures Contracts 9,121
Realized Net Gain (Loss) (39,395)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (421,083)
Futures Contracts (1,165)
Change in Unrealized Appreciation (Depreciation) (422,248)
Net Increase (Decrease) in Net Assets Resulting from Operations (193,255)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,624,000, $0, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

GNMA Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 268,388   457,158
Realized Net Gain (Loss) (39,395)   (744,685)
Change in Unrealized Appreciation (Depreciation) (422,248)   (1,248,827)
Net Increase (Decrease) in Net Assets Resulting from Operations (193,255)   (1,536,354)
Distributions      
Investor Shares (82,318)   (134,234)
Admiral Shares (185,934)   (319,199)
Total Distributions (268,252)   (453,433)
Capital Share Transactions      
Investor Shares (60,762)   (847,109)
Admiral Shares (414,587)   (2,506,168)
Net Increase (Decrease) from Capital Share Transactions (475,349)   (3,353,277)
Total Increase (Decrease) (936,856)   (5,343,064)
Net Assets      
Beginning of Period 16,954,778   22,297,842
End of Period 16,017,922   16,954,778
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

GNMA Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $9.44 $10.41 $10.73 $10.58 $10.31 $10.32
Investment Operations            
Net Investment Income1 .149 .230 .085 .178 .285 .298
Net Realized and Unrealized Gain (Loss) on Investments (.260) (.969) (.321) .157 .272 (.011)
Total from Investment Operations (.111) (.739) (.236) .335 .557 .287
Distributions            
Dividends from Net Investment Income (.149) (.231) (.084) (.176) (.287) (.297)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — — — (.009) — —
Total Distributions (.149) (.231) (.084) (.185) (.287) (.297)
Net Asset Value, End of Period $9.18 $9.44 $10.41 $10.73 $10.58 $10.31
Total Return2 -1.18% -7.09% -2.21% 3.17% 5.46% 2.85%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,065 $5,270 $6,711 $7,719 $7,365 $6,715
Ratio of Total Expenses to Average Net Assets 0.21%3 0.21%3 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets 3.24% 2.40% 0.80% 1.66% 2.71% 2.93%
Portfolio Turnover Rate4 160% 478% 800% 638% 616% 415%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.21%.
4 Includes 88%, 206%, 298%, 182%, 198%, and 200%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

GNMA Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $9.44 $10.41 $10.73 $10.58 $10.31 $10.32
Investment Operations            
Net Investment Income1 .154 .239 .098 .184 .295 .309
Net Realized and Unrealized Gain (Loss) on Investments (.260) (.969) (.323) .161 .272 (.012)
Total from Investment Operations (.106) (.730) (.225) .345 .567 .297
Distributions            
Dividends from Net Investment Income (.154) (.240) (.095) (.185) (.297) (.307)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — — — (.010) — —
Total Distributions (.154) (.240) (.095) (.195) (.297) (.307)
Net Asset Value, End of Period $9.18 $9.44 $10.41 $10.73 $10.58 $10.31
Total Return2 -1.13% -7.00% -2.11% 3.28% 5.57% 2.95%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $10,952 $11,685 $15,587 $19,602 $17,356 $14,706
Ratio of Total Expenses to Average Net Assets 0.11%3 0.11%3 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets 3.34% 2.49% 0.92% 1.72% 2.81% 3.03%
Portfolio Turnover Rate4 160% 478% 800% 638% 616% 415%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.11%.
4 Includes 88%, 206%, 298%, 182%, 198%, and 200%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

GNMA Fund
Notes to Financial Statements
Vanguard GNMA Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
At July 31, 2023, counterparties had deposited in segregated accounts securities with a value of $2,763,000 and cash of $1,211,000 in connection with TBA transactions.
3. 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
16

 

GNMA Fund
repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
4. 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.
5. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented 6% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
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GNMA Fund
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. The portion of distributions that exceed a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
8. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
18

 

GNMA Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  Wellington Management Company llp provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the six months ended July 31, 2023, the investment advisory fee represented an effective annual basic rate of 0.01% of the fund’s average net assets.
C.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $546,000, representing less than 0.01% of the fund’s net assets and 0.22% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended July 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $53,000 (an annual rate of less than 0.01% of average net assets).
E.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
19

 

GNMA Fund
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 15,699,987 15,951 15,715,938
Asset-Backed/Commercial Mortgage-Backed Securities — 195,675 — 195,675
Temporary Cash Investments 108,919 636,200 — 745,119
Total 108,919 16,531,862 15,951 16,656,732
Derivative Financial Instruments        
Assets        
Futures Contracts1 8,720 — — 8,720
Liabilities        
Futures Contracts1 11,072 — — 11,072
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
F.  As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 18,275,789
Gross Unrealized Appreciation 33,515
Gross Unrealized Depreciation (1,654,924)
Net Unrealized Appreciation (Depreciation) (1,621,409)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $1,186,693,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G.  During the six months ended July 31, 2023, the fund purchased $25,939,922,000 of investment securities and sold $26,335,758,000 of investment securities, other than temporary cash investments.
20

 

GNMA Fund
H.  Capital share transactions for each class of shares were:
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 128,117 13,785   286,688 29,390
Issued in Lieu of Cash Distributions 78,391 8,459   127,545 13,438
Redeemed (267,270) (28,759)   (1,261,342) (129,326)
Net Increase (Decrease)—Investor Shares (60,762) (6,515)   (847,109) (86,498)
Admiral Shares          
Issued 616,542 66,417   1,210,417 126,390
Issued in Lieu of Cash Distributions 143,186 15,451   247,028 26,013
Redeemed (1,174,315) (126,811)   (3,963,613) (411,886)
Net Increase (Decrease)—Admiral Shares (414,587) (44,943)   (2,506,168) (259,483)
I.  Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental ‎disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
J.  Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
21

 

Trustees Approve Advisory Arrangement
The board of trustees of Vanguard GNMA Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company llp (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders. 
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about the fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional investment managers. The portfolio managers are backed by a team of experienced analysts who help inform their strategic perspective and conduct statistical and cash-flow analysis. The team leverages its deep knowledge of the mortgage industry to analyze the relative value of various GNMA bonds and seeks to construct a portfolio with lower prepayment and extension risk than the benchmark, but with similar interest rate risk. Wellington Management has advised the GNMA Fund since its inception in 1980.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
Cost
The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also below the peer-group average.
22

 

The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
23

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard GNMA Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
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Q362 092023
Semiannual Report  |  July 31, 2023
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The Real Estate Index Fund, in addition to its own expenses, bears its proportionate share of the costs for the Subsidiary. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. For the Real Estate Index Fund, the costs were calculated using the expense ratio and the acquired fund fees and expenses.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
1

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended July 31, 2023      
  Beginning
Account Value
1/31/2023 		Ending
Account Value
7/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $955.80 $1.31
ETF Shares 1,000.00 956.00 0.63
Admiral™ Shares 1,000.00 956.40 0.63
Institutional Shares 1,000.00 956.60 0.53
Real Estate II Index Fund $1,000.00 $956.90 $0.39
Based on Hypothetical 5% Yearly Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $1,023.46 $1.35
ETF Shares 1,000.00 1,024.15 0.65
Admiral Shares 1,000.00 1,024.15 0.65
Institutional Shares 1,000.00 1,024.25 0.55
Real Estate II Index Fund $1,000.00 $1,024.40 $0.40
The calculations for the Real Estate Index Fund are based on expenses incurred combined with acquired fund fees and expenses for the most recent six-month period. The fund’s combined, annualized six-month expense figures for that period are: 0.27% for Investor Shares, 0.13% for ETF Shares, 0.13% for Admiral Shares, and 0.11% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense figure multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
The calculations for the Real Estate II Index Fund are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.08%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

Real Estate Index Fund
Fund Allocation
As of July 31, 2023
Data Center REITs 8.3%
Diversified Real Estate Activities 0.2
Diversified REITs 2.1
Health Care REITs 8.1
Hotel & Resort REITs 2.7
Industrial REITs 12.7
Multi-Family Residential REITs 9.2
Office REITs 4.7
Other Specialized REITs 5.9
Real Estate Development 0.3
Real Estate Operating Companies 0.3
Real Estate Services 6.9
Retail REITs 12.6
Self-Storage REITs 6.6
Single-Family Residential REITs 4.7
Telecom Tower REITs 12.1
Timber REITs 2.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

Real Estate Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Equity Real Estate Investment Trusts (REITs) (92.6%)
Data Center REITs (7.2%)
   Equinix Inc.   3,942,576  3,193,171
   Digital Realty Trust Inc.  11,656,281  1,452,606
                        4,645,777
Diversified REITs (1.8%)
   WP Carey Inc.   9,017,490    608,951
   Essential Properties Realty Trust Inc.   6,274,690    154,044
   Broadstone Net Lease Inc.   7,891,758    128,636
   Alexander & Baldwin Inc.   3,060,193     58,756
   Empire State Realty Trust Inc.
Class A 		  5,746,815     51,434
   American Assets Trust Inc.   2,174,837     48,933
 1 Global Net Lease Inc.   4,375,006     46,769
   Armada Hoffler Properties Inc.   2,854,748     35,456
   Gladstone Commercial Corp.   1,705,890     22,688
   NexPoint Diversified Real Estate Trust   1,331,846     15,569
   One Liberty Properties Inc.     716,078     14,629
                        1,185,865
Health Care REITs (7.0%)
   Welltower Inc.  20,173,802  1,657,278
   Ventas Inc.  16,867,251    818,399
   Healthpeak Properties Inc.  23,061,148    503,425
   Omega Healthcare Investors Inc.   9,875,701    315,035
 1 Healthcare Realty Trust Inc.
Class A 		 16,052,884    313,513
 1 Medical Properties Trust Inc.  25,226,304    254,533
   Physicians Realty Trust  10,058,406    148,261
          Shares Market
Value•

($000)
   Sabra Health Care REIT Inc.   9,743,190    126,564
   National Health Investors Inc.   1,828,463    100,401
   CareTrust REIT Inc.   4,196,942     87,254
   LTC Properties Inc.   1,744,302     58,539
   Community Healthcare Trust Inc.   1,043,689     36,780
   Universal Health Realty Income Trust     553,369     26,412
   Global Medical REIT Inc.   2,629,583     26,033
   Diversified Healthcare Trust  10,120,172     21,151
                        4,493,578
Hotel & Resort REITs (2.4%)
   Host Hotels & Resorts Inc.  30,078,602    553,446
   Ryman Hospitality Properties Inc.   2,212,844    210,862
   Apple Hospitality REIT Inc.   9,185,969    142,382
   Park Hotels & Resorts Inc.   9,352,889    127,480
   Sunstone Hotel Investors Inc.   8,342,160     85,007
   Pebblebrook Hotel Trust   5,269,087     81,407
   DiamondRock Hospitality Co.   8,895,336     75,610
   RLJ Lodging Trust   6,816,044     70,205
   Xenia Hotels & Resorts Inc.   4,686,682     59,521
   Service Properties Trust   6,974,746     59,216
   Summit Hotel Properties Inc.   4,514,474     29,073
   Chatham Lodging Trust   2,061,410     19,790
                        1,513,999
Industrial REITs (11.0%)
   Prologis Inc.  38,932,811  4,856,868
   Rexford Industrial Realty Inc.   8,464,510    466,310
   Americold Realty Trust Inc.  11,387,047    369,168
   EastGroup Properties Inc.   1,865,210    330,478
4

 

Real Estate Index Fund
          Shares Market
Value•

($000)
   First Industrial Realty Trust Inc.   5,574,611    288,207
   STAG Industrial Inc.   7,563,346    274,550
   Terreno Realty Corp.   3,490,187    207,108
   LXP Industrial Trust  12,332,576    124,189
   Innovative Industrial Properties Inc.   1,180,592     93,538
   Plymouth Industrial REIT Inc.   1,631,043     37,139
   Industrial Logistics Properties Trust   2,753,579     11,675
                        7,059,230
Multi-Family Residential REITs (8.0%)
   AvalonBay Communities Inc.   5,902,869  1,113,576
   Equity Residential  14,576,104    961,148
   Mid-America Apartment Communities Inc.   4,916,146    735,751
   Essex Property Trust Inc.   2,717,872    661,938
   UDR Inc.  13,183,660    538,948
   Camden Property Trust   4,498,636    490,756
   Apartment Income REIT Corp.
Class A 		  6,287,346    217,165
   Independence Realty Trust Inc.   9,460,758    161,211
   Elme Communities   3,697,367     60,082
 * Veris Residential Inc.   3,073,847     57,420
   Apartment Investment & Management Co.
Class A 		  5,685,970     47,364
   NexPoint Residential Trust Inc.     972,958     40,436
   Centerspace     633,038     39,331
                        5,125,126
Office REITs (4.1%)
   Alexandria Real Estate Equities Inc.   6,929,166    870,857
   Boston Properties Inc.   6,280,981    418,502
   Kilroy Realty Corp.   4,689,655    167,421
   Cousins Properties Inc.   6,393,921    156,203
   Vornado Realty Trust   6,874,326    154,535
   Corporate Office Properties Trust   4,742,660    123,309
   Highwoods Properties Inc.   4,448,091    112,403
   Douglas Emmett Inc.   7,407,684    108,893
 1 SL Green Realty Corp.   2,714,642    102,369
   Equity Commonwealth   4,692,954     91,935
   JBG SMITH Properties   4,567,909     76,421
   Easterly Government Properties Inc.
Class A 		  3,877,384     57,230
   Piedmont Office Realty Trust Inc.
Class A 		  5,209,491     38,759
   Brandywine Realty Trust   7,233,191     36,528
          Shares Market
Value•

($000)
   Paramount Group Inc.   6,862,147     35,958
   Hudson Pacific Properties Inc.   5,355,707     31,438
   Office Properties Income Trust   2,049,098     15,778
   Orion Office REIT Inc.   2,264,876     14,722
   City Office REIT Inc.   1,679,263      9,185
   Franklin Street Properties Corp.   3,909,501      6,568
*,2 New York REIT Liquidating LLC       1,208          9
                        2,629,023
Other (12.6%)3
4,5 Vanguard Real Estate II Index Fund 395,983,094  8,105,774
Other Specialized REITs (5.1%)
   VICI Properties Inc.
Class A 		 36,936,653  1,162,766
   Iron Mountain Inc.  12,293,438    754,817
   Gaming & Leisure Properties Inc.  11,060,685    524,940
   Lamar Advertising Co.
Class A 		  3,686,910    363,898
   EPR Properties   3,174,109    141,692
   Outfront Media Inc.   6,262,717     96,822
   Four Corners Property Trust Inc.   3,631,831     95,517
   Uniti Group Inc.  10,052,886     56,095
   Safehold Inc.   1,615,634     39,955
   Gladstone Land Corp.   1,433,103     23,990
                        3,260,492
Retail REITs (10.9%)
   Realty Income Corp.  27,847,385  1,697,855
   Simon Property Group Inc.  13,375,136  1,666,542
   Kimco Realty Corp.  26,134,145    529,478
   Regency Centers Corp.   6,499,869    425,936
   NNN REIT Inc.   7,676,979    327,653
   Federal Realty Investment Trust   3,093,291    314,031
   Brixmor Property Group Inc.  12,671,459    288,149
   Agree Realty Corp.   3,805,982    246,551
   Spirit Realty Capital Inc.   5,958,860    240,321
   Kite Realty Group Trust   9,246,111    211,551
 1 Phillips Edison & Co. Inc.   4,943,857    174,568
   Macerich Co.   9,060,700    115,524
   SITE Centers Corp.   7,937,438    111,521
 1 Tanger Factory Outlet Centers Inc.   4,438,122    103,896
   Urban Edge Properties   4,958,062     84,337
   Retail Opportunity Investments Corp.   5,272,156     77,659
   InvenTrust Properties Corp.   2,844,927     69,246
   Acadia Realty Trust   4,012,731     63,040
 
5

 

Real Estate Index Fund
          Shares Market
Value•

($000)
   Getty Realty Corp.   1,873,541     60,553
   NETSTREIT Corp.   2,454,233     43,906
   Necessity Retail REIT Inc.
Class A 		  5,635,384     40,011
   RPT Realty   3,648,737     39,662
   Urstadt Biddle Properties Inc.
Class A 		  1,205,129     27,332
   Saul Centers Inc.     555,560     21,417
   Alexander's Inc.      97,127     18,781
   CBL & Associates Properties Inc.     473,776     10,314
   Urstadt Biddle Properties Inc.      16,032        360
*,2 Spirit MTA REIT   2,071,263         —
                        7,010,194
Self-Storage REITs (5.7%)
   Public Storage   6,670,305  1,879,358
   Extra Space Storage Inc.   8,902,683  1,242,548
   CubeSmart   9,507,704    412,254
   National Storage Affiliates Trust   3,537,556    119,534
                        3,653,694
Single-Family Residential REITs (4.1%)
   Invitation Homes Inc.  25,796,679    915,782
   Sun Communities Inc.   5,245,281    683,460
   Equity LifeStyle Properties Inc.   7,456,722    530,770
   American Homes 4 Rent
Class A 		 12,652,694    474,223
   UMH Properties Inc.   2,401,043     39,977
 * Bluerock Homes Trust Inc.         149          2
                        2,644,214
Telecom Tower REITs (10.5%)
   American Tower Corp.  19,648,163  3,739,242
   Crown Castle Inc.  18,283,746  1,979,947
   SBA Communications Corp.
Class A 		  4,566,956    999,935
                        6,719,124
Timber REITs (2.2%)
   Weyerhaeuser Co.  30,899,171  1,052,426
   Rayonier Inc.   5,905,320    195,584
   PotlatchDeltic Corp.   3,370,203    180,744
                        1,428,754
Total Equity Real Estate Investment Trusts (REITs) (Cost $58,933,754) 59,474,844
Real Estate Management & Development (6.7%)
Diversified Real Estate Activities (0.2%)
   St. Joe Co.   1,476,299     93,715
   RMR Group Inc.
Class A 		    656,652     15,484
                          109,199
          Shares Market
Value•

($000)
Real Estate Development (0.2%)
 * Howard Hughes Corp.   1,475,666    124,591
 * Forestar Group Inc.     840,551     24,779
                          149,370
Real Estate Operating Companies (0.3%)
   DigitalBridge Group Inc.   6,816,877    109,206
   Kennedy-Wilson Holdings Inc.   4,071,692     67,183
*,1 Seritage Growth Properties
Class A 		  1,535,324     14,417
*,1 WeWork Inc.
Class A 		  6,038,835      1,307
                          192,113
Real Estate Services (6.0%)
 * CoStar Group Inc.  17,149,630  1,440,054
 * CBRE Group Inc.
Class A 		 13,103,483  1,091,651
 * Zillow Group Inc.
Class C 		  6,497,236    351,890
 * Jones Lang LaSalle Inc.   2,007,227    334,304
 * Zillow Group Inc.
Class A 		  2,400,101    127,733
 * Opendoor Technologies Inc.  21,679,831    110,784
 1 eXp World Holdings Inc.   3,143,060     78,388
 * Cushman & Wakefield plc   6,698,796     65,849
*,1 Redfin Corp.   4,276,913     64,068
 * Compass Inc.
Class A 		 12,060,878     50,535
   Newmark Group Inc.
Class A 		  6,099,416     42,208
   Marcus & Millichap Inc.   1,074,172     39,401
 * Anywhere Real Estate Inc.   4,182,102     35,046
   RE/MAX Holdings Inc.
Class A 		    762,497     15,029
   Douglas Elliman Inc.   3,158,515      6,980
*,1 Offerpad Solutions Inc.     228,257      2,703
*,1 Doma Holdings Inc.     200,189      1,656
                        3,858,279
Total Real Estate Management & Development (Cost $5,060,270) 4,308,961
 
6

 

Real Estate Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (1.2%)
Money Market Fund (1.2%)
6,7 Vanguard Market Liquidity Fund, 5.274%
(Cost $748,640) 		  7,488,214           748,672
Total Investments (100.5%)
(Cost $64,742,664) 		  64,532,477
Other Assets and Liabilities—Net (-0.5%)   (300,258)
Net Assets (100%)   64,232,219
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $302,594,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
5 Represents a wholly owned subsidiary of the fund. See accompanying financial statements for Vanguard Real Estate II Index Fund's Schedule of Investments.
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 Collateral of $318,355,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
7

 

Real Estate Index Fund
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
American Homes 4 Rent Class A 8/31/23 BANA 37,223 (5.272) 1,979 —
Digital Realty Trust Inc. 8/31/23 BANA 42,701 (5.272) 3,857 —
Digital Realty Trust Inc. 1/31/24 GSI 29,553 (5.301) 1,547 —
Equity Residential 8/31/23 BANA 39,582 (5.272) 218 —
Redfin Corp. 1/31/24 GSI 5,796 (5.251) — (564)
Simon Property Group Inc. 1/31/24 GSI 48,660 (5.301) 1,089 —
VICI Properties Inc. Class A 8/31/23 BANA 169,722 (5.672) 1,629 —
Welltower Inc. 8/31/23 BANA 60,668 (5.272) 697 —
          11,016 (564)
1 Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  GSI—Goldman Sachs International.
At July 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $9,080,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Real Estate Index Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $56,454,915) 55,678,031
Affiliated Issuers (Cost $748,640) 748,672
Vanguard Real Estate II Index Fund (Cost $7,539,109) 8,105,774
Total Investments in Securities 64,532,477
Investment in Vanguard 1,834
Cash 7,946
Receivables for Accrued Income 31,640
Receivables for Capital Shares Issued 21,660
Unrealized Appreciation—Over-the-Counter Swap Contracts 11,016
Total Assets 64,606,573
Liabilities  
Payables for Investment Securities Purchased 21,487
Collateral for Securities on Loan 318,355
Payables for Capital Shares Redeemed 30,788
Payables to Vanguard 3,160
Unrealized Depreciation—Over-the-Counter Swap Contracts 564
Total Liabilities 374,354
Net Assets 64,232,219
1 Includes $302,594,000 of securities on loan.  
9

 

Real Estate Index Fund
Statement of Assets and Liabilities (continued)
 
At July 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 67,350,617
Total Distributable Earnings (Loss) (3,118,398)
Net Assets 64,232,219
 
Investor Shares—Net Assets  
Applicable to 3,427,358 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		97,115
Net Asset Value Per Share—Investor Shares $28.34
 
ETF Shares—Net Assets  
Applicable to 394,822,280 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		33,663,918
Net Asset Value Per Share—ETF Shares $85.26
 
Admiral Shares—Net Assets  
Applicable to 169,437,432 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		20,474,793
Net Asset Value Per Share—Admiral Shares $120.84
 
Institutional Shares—Net Assets  
Applicable to 534,490,081 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		9,996,393
Net Asset Value Per Share—Institutional Shares $18.70
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Real Estate Index Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Dividends—Unaffiliated Issuers 851,077
Dividends—Vanguard Real Estate II Index Fund 161,605
Interest—Affiliated Issuers 8,377
Securities Lending—Net 760
Total Income 1,021,819
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 674
Management and Administrative—Investor Shares 120
Management and Administrative—ETF Shares 16,838
Management and Administrative—Admiral Shares 10,574
Management and Administrative—Institutional Shares 4,250
Marketing and Distribution—Investor Shares 4
Marketing and Distribution—ETF Shares 838
Marketing and Distribution—Admiral Shares 552
Marketing and Distribution—Institutional Shares 180
Custodian Fees 44
Shareholders’ Reports—Investor Shares —
Shareholders’ Reports—ETF Shares 655
Shareholders’ Reports—Admiral Shares 179
Shareholders’ Reports—Institutional Shares 73
Trustees’ Fees and Expenses 17
Other Expenses 30
Total Expenses 35,028
Net Investment Income 986,791
Realized Net Gain (Loss)  
Capital Gain Distributions Received—Unaffiliated Issuers 168,393
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund —
Investment Securities Sold—Unaffiliated Issuers1 (94,554)
Investment Securities Sold—Affiliated Issuers 24
Investment Securities Sold—Vanguard Real Estate II Index Fund —
Futures Contracts 99
Swap Contracts 21,755
Realized Net Gain (Loss) 95,717
11

 

Real Estate Index Fund
Statement of Operations (continued)
  Six Months Ended
July 31, 2023
  ($000)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities—Unaffiliated Issuers (3,716,698)
Investment Securities—Affiliated Issuers (46)
Investment Securities—Vanguard Real Estate II Index Fund (527,018)
Swap Contracts (20,545)
Change in Unrealized Appreciation (Depreciation) (4,264,307)
Net Increase (Decrease) in Net Assets Resulting from Operations (3,181,799)
1 Includes $874,579,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

Real Estate Index Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 986,791   1,757,360
Realized Net Gain (Loss) 95,717   2,948,495
Change in Unrealized Appreciation (Depreciation) (4,264,307)   (14,507,077)
Net Increase (Decrease) in Net Assets Resulting from Operations (3,181,799)   (9,801,222)
Distributions      
Net Investment Income and/or Realized Capital Gains      
Investor Shares (2,008)   (3,184)
ETF Shares (663,421)   (893,338)
Admiral Shares (408,596)   (518,210)
Institutional Shares (199,226)   (253,055)
Return of Capital      
Investor Shares —   (1,590)
ETF Shares —   (446,081)
Admiral Shares —   (258,764)
Institutional Shares —   (126,361)
Total Distributions (1,273,251)   (2,500,583)
Capital Share Transactions      
Investor Shares (21,777)   (41,427)
ETF Shares (767,399)   (3,046,898)
Admiral Shares (237,649)   34,532
Institutional Shares 41,028   306,763
Net Increase (Decrease) from Capital Share Transactions (985,797)   (2,747,030)
Total Increase (Decrease) (5,440,847)   (15,048,835)
Net Assets      
Beginning of Period 69,673,066   84,721,901
End of Period 64,232,219   69,673,066
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

Real Estate Index Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $30.26 $35.37 $28.23 $31.21 $27.69 $26.40
Investment Operations            
Net Investment Income1 .397 .684 .602 .586 .719 .787
Net Realized and Unrealized Gain (Loss) on Investments (1.774) (4.766) 7.475 (2.498) 3.801 1.639
Total from Investment Operations (1.377) (4.082) 8.077 (1.912) 4.520 2.426
Distributions            
Dividends from Net Investment Income (.543) (.686) (.620) (.624) (.752) (.851)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — (.342) (.317) (.444) (.248) (.285)
Total Distributions (.543) (1.028) (.937) (1.068) (1.000) (1.136)
Net Asset Value, End of Period $28.34 $30.26 $35.37 $28.23 $31.21 $27.69
Total Return2 -4.42% -11.39% 28.73% -5.88% 16.59% 9.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $97 $127 $196 $188 $243 $1,871
Ratio of Total Expenses to Average Net Assets 0.26% 0.26%3 0.26% 0.26% 0.26% 0.25%
Acquired Fund Fees and Expenses4 0.01% — — — — —
Ratio of Net Investment Income to Average Net Assets 2.78% 2.18% 1.77% 2.18% 2.48% 3.02%
Portfolio Turnover Rate5 6% 7% 7% 8% 6% 24%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.25%.
4 For the fiscal year ended January 31, 2023, and for each prior period, the acquired fund fees and expenses were less than 0.01%.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

Real Estate Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $91.06 $106.44 $84.96 $93.93 $83.36 $79.47
Investment Operations            
Net Investment Income1 1.299 2.240 1.960 1.889 2.335 2.487
Net Realized and Unrealized Gain (Loss) on Investments (5.401) (14.394) 22.486 (7.525) 11.379 4.934
Total from Investment Operations (4.102) (12.154) 24.446 (5.636) 13.714 7.421
Distributions            
Dividends from Net Investment Income (1.698) (2.152) (1.943) (1.947) (2.364) (2.646)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — (1.074) (1.023) (1.387) (.780) (.885)
Total Distributions (1.698) (3.226) (2.966) (3.334) (3.144) (3.531)
Net Asset Value, End of Period $85.26 $91.06 $106.44 $84.96 $93.93 $83.36
Total Return -4.40% -11.25% 28.88% -5.80% 16.70% 9.70%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $33,664 $36,825 $46,673 $32,064 $37,682 $30,857
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%2 0.12% 0.12% 0.12% 0.12%
Acquired Fund Fees and Expenses3 0.01% — — — — —
Ratio of Net Investment Income to Average Net Assets 3.04% 2.38% 1.90% 2.33% 2.60% 3.15%
Portfolio Turnover Rate4 6% 7% 7% 8% 6% 24%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.12%.
3 For the fiscal year ended January 31, 2023, and for each prior period, the acquired fund fees and expenses were less than 0.01%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

Real Estate Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $129.05 $150.85 $120.40 $133.12 $118.14 $112.63
Investment Operations            
Net Investment Income1 1.866 3.201 2.761 2.677 3.315 3.507
Net Realized and Unrealized Gain (Loss) on Investments (7.669) (20.428) 31.890 (10.672) 16.121 7.008
Total from Investment Operations (5.803) (17.227) 34.651 (7.995) 19.436 10.515
Distributions            
Dividends from Net Investment Income (2.407) (3.050) (2.770) (2.759) (3.350) (3.751)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — (1.523) (1.431) (1.966) (1.106) (1.254)
Total Distributions (2.407) (4.573) (4.201) (4.725) (4.456) (5.005)
Net Asset Value, End of Period $120.84 $129.05 $150.85 $120.40 $133.12 $118.14
Total Return2 -4.36% -11.26% 28.91% -5.74% 16.73% 9.69%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $20,475 $22,110 $25,764 $19,702 $23,274 $18,223
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%3 0.12% 0.12% 0.12% 0.11%
Acquired Fund Fees and Expenses4 0.01% — — — — —
Ratio of Net Investment Income to Average Net Assets 3.09% 2.41% 1.90% 2.33% 2.60% 3.16%
Portfolio Turnover Rate5 6% 7% 7% 8% 6% 24%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.12%.
4 For the fiscal year ended January 31, 2023, and for each prior period, the acquired fund fees and expenses were less than 0.01%.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16

 

Real Estate Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $19.97 $23.35 $18.64 $20.60 $18.28 $17.43
Investment Operations            
Net Investment Income1 .294 .500 .432 .421 .518 .543
Net Realized and Unrealized Gain (Loss) on Investments (1.190) (3.168) 4.933 (1.646) 2.496 1.085
Total from Investment Operations (.896) (2.668) 5.365 (1.225) 3.014 1.628
Distributions            
Dividends from Net Investment Income (.374) (.475) (.432) (.429) (.522) (.583)
Distributions from Realized Capital Gains — — — — — —
Return of Capital — (.237) (.223) (.306) (.172) (.195)
Total Distributions (.374) (.712) (.655) (.735) (.694) (.778)
Net Asset Value, End of Period $18.70 $19.97 $23.35 $18.64 $20.60 $18.28
Total Return -4.34% -11.27% 28.91% -5.68% 16.77% 9.70%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $9,996 $10,610 $12,089 $9,478 $10,027 $8,206
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%2 0.10% 0.10% 0.10% 0.09%
Acquired Fund Fees and Expenses3 0.01% — — — — —
Ratio of Net Investment Income to Average Net Assets 3.14% 2.43% 1.92% 2.37% 2.63% 3.18%
Portfolio Turnover Rate4 6% 7% 7% 8% 6% 24%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
3 For the fiscal year ended January 31, 2023, and for each prior period, the acquired fund fees and expenses were less than 0.01%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17

 

Real Estate Index Fund
Notes to Financial Statements
Vanguard Real Estate Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.  ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
As a part of its principal investment strategy, the fund attempts to replicate its benchmark index by investing all, or substantially all, of its assets—either directly or indirectly through a wholly owned subsidiary—in the stocks that make up the index. Vanguard Real Estate II Index Fund (“the Subsidiary”) is the wholly owned subsidiary in which the fund has invested a portion of its assets. Expenses of the Subsidiary are reflected in the Acquired Fund Fees and Expenses in the Financial Highlights. For additional financial information about the Subsidiary, refer to the accompanying financial statements.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in affiliated Vanguard funds 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
18

 

Real Estate Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at July 31, 2023.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended July 31, 2023, the fund’s average amounts of investments in total return swaps represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
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Real Estate Index Fund
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. The portion of distributions that exceed a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
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Real Estate Index Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Distributions received from investment securities are recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Each investment security reports annually the tax character of its distributions. Dividend income, capital gain distributions received, and unrealized appreciation (depreciation) reflect the amounts of taxable income, capital gain, and return of capital reported by the REITs, and management’s estimates of such amounts for REIT distributions for which actual information has not been reported. Income, capital gain, and return of capital distributions received from affiliated Vanguard funds are recorded on ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,834,000, representing less than 0.01% of the fund’s net assets and 0.73% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
21

 

Real Estate Index Fund
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 63,783,796 — 9 63,783,805
Temporary Cash Investments 748,672 — — 748,672
Total 64,532,468 — 9 64,532,477
Derivative Financial Instruments        
Assets        
Swap Contracts — 11,016 — 11,016
Liabilities        
Swap Contracts — 564 — 564
D.  As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 65,047,486
Gross Unrealized Appreciation 8,039,695
Gross Unrealized Depreciation (8,544,252)
Net Unrealized Appreciation (Depreciation) (504,557)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2023, the fund had available capital losses totaling $2,572,771,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
22

 

Real Estate Index Fund
E.  During the six months ended July 31, 2023, the fund purchased $6,038,552,000 of investment securities and sold $7,031,479,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,344,402,000 and $3,478,267,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended July 31, 2023, such purchases were $0 and sales were $36,121,000, resulting in net realized loss of $6,561,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 4,597 165   12,156 378
Issued in Lieu of Cash Distributions 2,008 76   4,774 163
Redeemed (28,382) (1,019)   (58,357) (1,875)
Net Increase (Decrease)—Investor Shares (21,777) (778)   (41,427) (1,334)
ETF Shares          
Issued 2,713,573 32,493   6,166,911 65,225
Issued in Lieu of Cash Distributions — —   — —
Redeemed (3,480,972) (42,100)   (9,213,809) (99,300)
Net Increase (Decrease)—ETF Shares (767,399) (9,607)   (3,046,898) (34,075)
Admiral Shares          
Issued 1,090,760 9,213   2,666,411 20,054
Issued in Lieu of Cash Distributions 359,906 3,188   682,639 5,494
Redeemed (1,688,315) (14,296)   (3,314,518) (25,007)
Net Increase (Decrease)—Admiral Shares (237,649) (1,895)   34,532 541
Institutional Shares          
Issued 842,292 46,430   2,009,244 97,409
Issued in Lieu of Cash Distributions 188,354 10,777   357,630 18,606
Redeemed (989,618) (53,934)   (2,060,111) (102,593)
Net Increase (Decrease)—Institutional Shares 41,028 3,273   306,763 13,422
23

 

Real Estate Index Fund
G.  Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows:
    Current Period Transactions  
  Jan. 31, 2023
Market Value
($000) 		Purchases
at Cost
($000) 		Proceeds
from
Securities
Sold1
($000) 		Realized
Net Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Jul. 31, 2023
Market Value
($000)
Vanguard Market Liquidity Fund 399,890 NA2 NA2 24 (46) 8,377 — 748,672
Vanguard Real Estate II Index Fund 8,471,187 161,605 — — (527,018) 161,605 — 8,105,774
Total 8,871,077 161,605 — 24 (527,064) 169,982 — 8,854,446
1 Does not include adjustments related to return of capital.
2 Not applicable—purchases and sales are for temporary cash investment purposes.
H.  Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental ‎disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
24

 

Real Estate II Index Fund
Fund Allocation
As of July 31, 2023
Data Center REITs 8.4%
Diversified Real Estate Activities 0.2
Diversified REITs 2.1
Health Care REITs 8.1
Hotel & Resort REITs 2.6
Industrial REITs 12.5
Multi-Family Residential REITs 9.2
Office REITs 4.7
Other Specialized REITs 6.1
Real Estate Development 0.3
Real Estate Operating Companies 0.4
Real Estate Services 6.9
Retail REITs 12.6
Self-Storage REITs 6.5
Single-Family Residential REITs 4.8
Telecom Tower REITs 12.0
Timber REITs 2.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
25

 

Real Estate II Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Equity Real Estate Investment Trusts (REITs) (92.1%)
Data Center REITs (8.4%)
   Equinix Inc.   587,443   475,782
   Digital Realty Trust Inc. 1,829,912   228,043
                       703,825
Diversified REITs (2.1%)
   WP Carey Inc. 1,343,609    90,734
   Essential Properties Realty Trust Inc.   935,225    22,960
   Broadstone Net Lease Inc. 1,176,757    19,181
   Alexander & Baldwin Inc.   456,328     8,761
   Empire State Realty Trust Inc.
Class A 		  857,807     7,677
   American Assets Trust Inc.   324,583     7,303
   Global Net Lease Inc.   651,051     6,960
   Armada Hoffler Properties Inc.   424,682     5,275
   Gladstone Commercial Corp.   253,297     3,369
   NexPoint Diversified Real Estate Trust   198,130     2,316
   One Liberty Properties Inc.   106,763     2,181
                       176,717
Health Care REITs (8.1%)
   Welltower Inc. 3,117,650   256,115
   Ventas Inc. 2,513,126   121,937
   Healthpeak Properties Inc. 3,435,708    75,001
   Omega Healthcare Investors Inc. 1,471,877    46,953
   Healthcare Realty Trust Inc.
Class A 		2,392,450    46,725
 1 Medical Properties Trust Inc. 3,759,071    37,929
   Physicians Realty Trust 1,499,083    22,096
   Sabra Health Care REIT Inc. 1,453,255    18,878
   National Health Investors Inc.   272,909    14,985
 1 CareTrust REIT Inc.   625,117    12,996
   LTC Properties Inc.   260,065     8,728
          Shares Market
Value•

($000)
   Community Healthcare Trust Inc.   155,386     5,476
   Universal Health Realty Income Trust    82,242     3,925
   Global Medical REIT Inc.   390,459     3,866
   Diversified Healthcare Trust 1,503,164     3,142
                       678,752
Hotel & Resort REITs (2.6%)
   Host Hotels & Resorts Inc. 4,482,467    82,477
   Ryman Hospitality Properties Inc.   329,655    31,413
   Apple Hospitality REIT Inc. 1,369,203    21,223
   Park Hotels & Resorts Inc.   994,915    13,561
   Sunstone Hotel Investors Inc. 1,242,571    12,662
   Pebblebrook Hotel Trust   785,075    12,129
   DiamondRock Hospitality Co. 1,325,572    11,267
   RLJ Lodging Trust 1,015,725    10,462
   Xenia Hotels & Resorts Inc.   698,930     8,877
   Service Properties Trust 1,039,842     8,828
   Summit Hotel Properties Inc.   670,418     4,318
   Chatham Lodging Trust   306,386     2,941
                       220,158
Industrial REITs (12.5%)
   Prologis Inc. 5,800,982   723,672
   Rexford Industrial Realty Inc. 1,261,311    69,486
   EastGroup Properties Inc.   277,944    49,246
   Americold Realty Trust Inc. 1,446,613    46,899
   First Industrial Realty Trust Inc.   830,362    42,930
   STAG Industrial Inc. 1,126,656    40,898
   Terreno Realty Corp.   519,847    30,848
   LXP Industrial Trust 1,839,052    18,519
   Innovative Industrial Properties Inc.   175,887    13,936
26

 

Real Estate II Index Fund
          Shares Market
Value•

($000)
   Plymouth Industrial REIT Inc.   242,877     5,530
   Industrial Logistics Properties Trust   411,150     1,743
                     1,043,707
Multi-Family Residential REITs (9.2%)
   AvalonBay Communities Inc.   879,493   165,916
   Equity Residential 2,261,118   149,098
   Mid-America Apartment Communities Inc.   732,419   109,614
   Essex Property Trust Inc.   404,969    98,630
   UDR Inc. 1,964,562    80,311
   Camden Property Trust   670,352    73,129
   Apartment Income REIT Corp.
Class A 		  936,857    32,359
   Independence Realty Trust Inc. 1,409,758    24,022
   Elme Communities   551,223     8,957
 * Veris Residential Inc.   458,588     8,567
   Apartment Investment & Management Co.
Class A 		  848,623     7,069
   NexPoint Residential Trust Inc.   144,817     6,019
   Centerspace    94,248     5,856
                       769,547
Office REITs (4.7%)
   Alexandria Real Estate Equities Inc. 1,032,549   129,771
   Boston Properties Inc.   935,876    62,357
   Kilroy Realty Corp.   699,156    24,960
   Cousins Properties Inc.   953,177    23,286
   Vornado Realty Trust 1,025,138    23,045
   Corporate Office Properties Trust   707,404    18,392
   Highwoods Properties Inc.   662,959    16,753
   Douglas Emmett Inc. 1,104,122    16,231
 1 SL Green Realty Corp.   404,291    15,246
   Equity Commonwealth   698,721    13,688
   JBG SMITH Properties   681,013    11,393
   Easterly Government Properties Inc.
Class A 		  578,240     8,535
   Piedmont Office Realty Trust Inc.
Class A 		  775,476     5,770
   Brandywine Realty Trust 1,077,029     5,439
   Paramount Group Inc. 1,021,740     5,354
   Hudson Pacific Properties Inc.   795,243     4,668
   Office Properties Income Trust   304,573     2,345
   Orion Office REIT Inc.   337,384     2,193
          Shares Market
Value•

($000)
   City Office REIT Inc.   250,470     1,370
   Franklin Street Properties Corp.   582,646       979
                       391,775
Other Specialized REITs (6.1%)
   VICI Properties Inc.
Class A 		6,308,079   198,578
   Iron Mountain Inc. 1,831,641   112,463
   Gaming & Leisure Properties Inc. 1,648,153    78,221
   Lamar Advertising Co.
Class A 		  549,458    54,232
   EPR Properties   472,982    21,114
   Outfront Media Inc.   932,476    14,416
   Four Corners Property Trust Inc.   540,734    14,221
   Uniti Group Inc. 1,500,203     8,371
   Safehold Inc.   240,552     5,949
   Gladstone Land Corp.   212,786     3,562
                       511,127
Retail REITs (12.6%)
   Simon Property Group Inc. 2,052,497   255,741
   Realty Income Corp. 4,149,201   252,977
   Kimco Realty Corp. 3,894,384    78,900
   Regency Centers Corp.   968,400    63,459
   NNN REIT Inc. 1,143,927    48,823
   Federal Realty Investment Trust   460,918    46,792
   Brixmor Property Group Inc. 1,887,584    42,924
   Agree Realty Corp.   566,985    36,729
   Spirit Realty Capital Inc.   887,774    35,804
   Kite Realty Group Trust 1,377,371    31,514
   Phillips Edison & Co. Inc.   736,686    26,012
   Macerich Co. 1,350,332    17,217
   SITE Centers Corp. 1,182,667    16,617
   Tanger Factory Outlet Centers Inc.   661,387    15,483
   Urban Edge Properties   738,521    12,562
   Retail Opportunity Investments Corp.   785,556    11,571
   InvenTrust Properties Corp.   424,000    10,320
   Acadia Realty Trust   598,719     9,406
   Getty Realty Corp.   279,318     9,028
   NETSTREIT Corp.   366,436     6,556
   Necessity Retail REIT Inc.
Class A 		  838,870     5,956
   RPT Realty   543,222     5,905
   Urstadt Biddle Properties Inc.
Class A 		  181,705     4,121
   Saul Centers Inc.    82,487     3,180
   Alexander's Inc.    14,415     2,787
 
27

 

Real Estate II Index Fund
          Shares Market
Value•

($000)
   CBL & Associates Properties Inc.    70,377     1,532
*,2 Spirit MTA REIT   257,871        —
                     1,051,916
Self-Storage REITs (6.5%)
   Public Storage   993,870   280,023
   Extra Space Storage Inc. 1,326,495   185,139
   CubeSmart 1,416,567    61,422
   National Storage Affiliates Trust   527,242    17,816
                       544,400
Single-Family Residential REITs (4.8%)
   Invitation Homes Inc. 3,843,523   136,445
   Sun Communities Inc.   781,616   101,845
   Equity LifeStyle Properties Inc. 1,111,161    79,092
   American Homes 4 Rent
Class A 		2,041,988    76,534
   UMH Properties Inc.   357,483     5,952
                       399,868
Telecom Tower REITs (12.0%)
   American Tower Corp. 2,927,580   557,148
   Crown Castle Inc. 2,724,272   295,011
   SBA Communications Corp.
Class A 		  680,470   148,989
                     1,001,148
Timber REITs (2.5%)
   Weyerhaeuser Co. 4,603,891   156,808
   Rayonier Inc.   879,943    29,144
   PotlatchDeltic Corp.   501,988    26,922
                       212,874
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,959,736) 7,705,814
Real Estate Management & Development (7.7%)
Diversified Real Estate Activities (0.2%)
   St. Joe Co.   219,984    13,964
   RMR Group Inc.
Class A 		   97,862     2,308
                        16,272
Real Estate Development (0.3%)
 * Howard Hughes Corp.   220,011    18,576
 * Forestar Group Inc.   124,871     3,681
                        22,257
Real Estate Operating Companies (0.3%)
   DigitalBridge Group Inc. 1,015,094    16,262
   Kennedy-Wilson Holdings Inc.   606,881    10,013
*,1 Seritage Growth Properties
Class A 		  228,505     2,146
*,1 WeWork Inc.
Class A 		  906,069       196
                        28,617
          Shares Market
Value•

($000)
Real Estate Services (6.9%)
 * CoStar Group Inc. 2,555,313   214,570
 * CBRE Group Inc.
Class A 		1,952,421   162,656
 * Zillow Group Inc.
Class C 		  964,649    52,245
 * Jones Lang LaSalle Inc.   299,137    49,821
 * Zillow Group Inc.
Class A 		  361,047    19,215
 * Opendoor Technologies Inc. 3,228,388    16,497
 1 eXp World Holdings Inc.   468,451    11,683
 * Redfin Corp.   689,490    10,329
 * Cushman & Wakefield plc   998,900     9,819
 * Compass Inc.
Class A 		1,800,307     7,543
   Newmark Group Inc.
Class A 		  908,197     6,285
   Marcus & Millichap Inc.   159,605     5,854
 * Anywhere Real Estate Inc.   622,774     5,219
   RE/MAX Holdings Inc.
Class A 		  113,649     2,240
   Douglas Elliman Inc.   472,368     1,044
*,1 Offerpad Solutions Inc.    34,520       409
 * Doma Holdings Inc.    28,787       238
                       575,667
Total Real Estate Management & Development (Cost $709,864) 642,813
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
3,4 Vanguard Market Liquidity Fund, 5.274%
(Cost $71,479) 		  714,905          71,476
Total Investments (100.7%)
(Cost $7,741,079) 		  8,420,103
Other Assets and Liabilities—Net (-0.7%)   (56,350)
Net Assets (100%)   8,363,753
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $55,810,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $59,444,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
28

 

Real Estate II Index Fund
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Americold Realty Trust Inc. 1/31/24 GSI 8,148 (5.251) — (58)
Park Hotels & Resorts Inc. 1/31/24 GSI 5,224 (5.251) 218 —
          218 (58)
1 Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  GSI—Goldman Sachs International.
  
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

Real Estate II Index Fund
Statement of Assets and Liabilities
As of July 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $7,669,600) 8,348,627
Affiliated Issuers (Cost $71,479) 71,476
Total Investments in Securities 8,420,103
Investment in Vanguard 278
Cash 2,092
Receivables for Accrued Income 4,484
Receivables for Capital Shares Issued 93
Unrealized Appreciation—Over-the-Counter Swap Contracts 218
Total Assets 8,427,268
Liabilities  
Payables for Investment Securities Purchased 3,712
Collateral for Securities on Loan 59,444
Payables for Capital Shares Redeemed 6
Payables to Vanguard 295
Unrealized Depreciation—Over-the-Counter Swap Contracts 58
Total Liabilities 63,515
Net Assets 8,363,753
1 Includes $55,810,000 of securities on loan.  
 
At July 31, 2023, net assets consisted of:

   
Paid-in Capital 7,798,161
Total Distributable Earnings (Loss) 565,592
Net Assets 8,363,753
   
Net Assets  
Applicable to 408,622,376 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		8,363,753
Net Asset Value Per Share $20.47
See accompanying Notes, which are an integral part of the Financial Statements.
30

 

Real Estate II Index Fund
Statement of Operations
  Six Months Ended
July 31, 2023
  ($000)
Investment Income  
Income  
Dividends 124,070
Interest1 134
Securities Lending—Net 110
Total Income 124,314
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 82
Management and Administrative 2,957
Marketing and Distribution 71
Custodian Fees 83
Shareholders’ Reports 9
Trustees’ Fees and Expenses 2
Other Expenses 8
Total Expenses 3,212
Net Investment Income 121,102
Realized Net Gain (Loss)  
Capital Gain Distributions Received 24,390
Investment Securities Sold1 (78,412)
Futures Contracts 14
Swap Contracts (422)
Realized Net Gain (Loss) (54,430)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (441,731)
Swap Contracts 160
Change in Unrealized Appreciation (Depreciation) (441,571)
Net Increase (Decrease) in Net Assets Resulting from Operations (374,899)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $134,000, ($4,000), and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

Real Estate II Index Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2023 		  Year Ended
January 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 121,102   211,725
Realized Net Gain (Loss) (54,430)   70,280
Change in Unrealized Appreciation (Depreciation) (441,571)   (1,336,365)
Net Increase (Decrease) in Net Assets Resulting from Operations (374,899)   (1,054,360)
Distributions      
Net Investment Income and/or Realized Capital Gains (166,659)   (291,773)
Return of Capital —   (48,996)
Total Distributions (166,659)   (340,769)
Capital Share Transactions      
Issued 53,498   203,267
Issued in Lieu of Cash Distributions 166,659   340,769
Redeemed (4,681)   (1,113)
Net Increase (Decrease) from Capital Share Transactions 215,476   542,923
Total Increase (Decrease) (326,082)   (852,206)
Net Assets      
Beginning of Period 8,689,835   9,542,041
End of Period 8,363,753   8,689,835
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

Real Estate II Index Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2023 		Year Ended January 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $21.86 $25.69 $20.50 $22.64 $20.10 $19.17
Investment Operations            
Net Investment Income1 .300 .558 .484 .471 .571 .611
Net Realized and Unrealized Gain (Loss) on Investments (1.275) (3.493) 5.427 (1.808) 2.752 1.176
Total from Investment Operations (.975) (2.935) 5.911 (1.337) 3.323 1.787
Distributions            
Dividends from Net Investment Income (.415) (.528) (.477) (.465) (.590) (.626)
Distributions from Realized Capital Gains — (.238) (.034) — — —
Return of Capital — (.129) (.210) (.338) (.193) (.231)
Total Distributions (.415) (.895) (.721) (.803) (.783) (.857)
Net Asset Value, End of Period $20.47 $21.86 $25.69 $20.50 $22.64 $20.10
Total Return -4.31% -11.23% 28.96% -5.70% 16.78% 9.68%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,364 $8,690 $9,542 $7,400 $7,848 $6,719
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.93% 2.47% 1.95% 2.41% 2.63% 3.22%
Portfolio Turnover Rate 5% 5%3 6% 4% 3% 23%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

Real Estate II Index Fund
Notes to Financial Statements
Vanguard Real Estate II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund is a wholly owned subsidiary of Vanguard Real Estate Index Fund (“Real Estate Index Fund”), and at July 31, 2023, the Real Estate Index Fund was the record and beneficial owner of 96.9% of the fund’s net assets. As part of the Real Estate Index Fund’s principal investment strategy, it attempts to replicate the benchmark index by investing all, or substantially all, of its assets—either directly or indirectly through the fund—in the stocks that make up the index.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at July 31, 2023.
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Real Estate II Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended July 31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
35

 

Real Estate II Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. The portion of distributions that exceed a fund's current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the
36

 

Real Estate II Index Fund
conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended July 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Distributions received from investment securities are recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Each investment security reports annually the tax character of its distributions. Dividend income, capital gain distributions received, and unrealized appreciation (depreciation) reflect the amounts of taxable income, capital gain, and return of capital reported by the REITs, and management’s estimates of such amounts for REIT distributions for which actual information has not been reported. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2023, the fund had contributed to Vanguard capital in the amount of $278,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
37

 

Real Estate II Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 8,348,627 — — 8,348,627
Temporary Cash Investments 71,476 — — 71,476
Total 8,420,103 — — 8,420,103
Derivative Financial Instruments        
Assets        
Swap Contracts — 218 — 218
Liabilities        
Swap Contracts — 58 — 58
D.  As of July 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 7,791,542
Gross Unrealized Appreciation 1,641,298
Gross Unrealized Depreciation (1,012,577)
Net Unrealized Appreciation (Depreciation) 628,721
E.  During the six months ended July 31, 2023, the fund purchased $586,052,000 of investment securities and sold $374,306,000 of investment securities, other than temporary cash investments.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended July 31, 2023, such purchases were $31,616,000 and sales were $739,000, resulting in net realized loss of $426,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
38

 

Real Estate II Index Fund
F.  Capital shares issued and redeemed were:
  Six Months Ended
July 31, 2023 		  Year Ended
January 31, 2023
  Shares
(000) 		  Shares
(000)
Issued 2,645   9,838
Issued in Lieu of Cash Distributions 8,728   16,244
Redeemed (232)   (52)
Net Increase (Decrease) in Shares Outstanding 11,141   26,030
G.  Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental ‎disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to July 31, 2023, that would require recognition or disclosure in these financial statements.
39

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Real Estate Index Fund and the board of trustees of Vanguard Real Estate II Index Fund have renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. Each board determined that continuing the respective fund’s internalized management structure was in the best interests of the fund and its shareholders.
Each board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
Each board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, each board received periodic reports throughout the year, which included information about the respective fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees of each board were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether either board approved its respective fund’s arrangement. Rather, it was the totality of the circumstances that drove each board’s decision.
Nature, extent, and quality of services
The board of the Real Estate Index Fund reviewed the quality of that fund’s investment management services over both the short and long term, while the board of the Real Estate II Index Fund reviewed the quality of that fund’s investment management services since its inception in 2017; each took into account the organizational depth and stability of the advisor. Each board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
Each board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement with its respective fund.
Investment performance
The board of the Real Estate Index Fund considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group, while the board of the Real Estate II Index Fund considered the short-term and since inception performance of the fund compared with its target index and peer group. Each board concluded that the performance of its respective fund was such that its advisory arrangement should continue.
40

 

Cost
Each board concluded that the respective fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the respective fund’s advisory expenses were also below the peer-group average.
Neither board conducts a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
Each board concluded that its respective fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
Each board will consider whether to renew its respective advisory arrangement again after a one-year period.
41

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Specialized Funds and Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Real Estate Index Fund and Vanguard Real Estate II Index Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
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All rights reserved.
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Q1232 092023

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

 

 

 

Item 6: Investments.

 

Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 10: Submission of Matters to a Vote of Security Holders.

 

Not applicable.

 

Item 11: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13: Exhibits.

 

(a)(1)Not applicable.

(a)(2)Certifications filed herewith.

(b)Certifications filed herewith.

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  VANGUARD FIXED INCOME SECURITIES FUNDS  
     
BY: /s/ MORTIMER J. BUCKLEY*  
  MORTIMER J. BUCKLEY  
  CHIEF EXECUTIVE OFFICER  

 

Date: September 21, 2023

 

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: September 21, 2023

 

  VANGUARD FIXED INCOME SECURITIES FUNDS  
     
BY: /s/ CHRISTINE BUCHANAN*  
  CHRISTINE BUCHANAN  
  CHIEF FINANCIAL OFFICER  

 

Date: September 21, 2023

 

* By:  /s/ Anne E. Robinson  

 

Anne E. Robinson, pursuant to a Power of Attorney filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.