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: 811-01027
Name of Registrant: | Vanguard World Fund |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2020—February 28, 2021
Item 1: Reports to Shareholders
Results of Proxy Voting | 1 |
About Your Fund’s Expenses | 2 |
Trustees Approve Advisory Arrangements | 23 |
Vanguard Fund | For | Abstain | Against | Broker Non-Votes | Percentage For |
U.S. Growth Fund | 176,546,682 | 14,581,964 | 15,940,557 | 0 | 85.3% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
U.S. Growth Fund | Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,114.00 | $2.04 |
Admiral™ Shares | 1,000.00 | 1,114.50 | 1.52 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,022.86 | $1.96 |
Admiral Shares | 1,000.00 | 1,023.36 | 1.45 |
Communication Services | 14.6% |
Consumer Discretionary | 21.6 |
Consumer Staples | 1.9 |
Energy | 0.0 |
Financials | 3.5 |
Health Care | 9.8 |
Industrials | 4.5 |
Information Technology | 42.8 |
Materials | 0.3 |
Real Estate | 1.0 |
Utilities | 0.0 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (97.2%) | |||
Communication Services (14.2%) | |||
* | Alphabet Inc. Class C | 806,646 | 1,643,025 |
* | Facebook Inc. Class A | 4,138,887 | 1,066,260 |
* | Netflix Inc. | 1,808,671 | 974,602 |
* | Roku Inc. | 1,462,792 | 578,505 |
* | Alphabet Inc. Class A | 226,072 | 457,097 |
* | Match Group Inc. | 2,681,276 | 409,833 |
* | Spotify Technology SA | 967,066 | 297,257 |
* | Snap Inc. Class A | 4,100,478 | 269,237 |
* | Zillow Group Inc. Class A | 1,225,536 | 208,121 |
Tencent Holdings Ltd. | 2,259,721 | 196,589 | |
* | ZoomInfo Technologies Inc. Class A | 2,309,175 | 121,047 |
Walt Disney Co. | 633,568 | 119,770 | |
* | Twitter Inc. | 1,485,968 | 114,509 |
*,1 | Bumble Inc. Class A | 697,941 | 46,978 |
Activision Blizzard Inc. | 362,013 | 34,612 | |
* | Eventbrite Inc. Class A | 1,652,109 | 32,827 |
* | Take-Two Interactive Software Inc. | 114,358 | 21,095 |
Electronic Arts Inc. | 68,932 | 9,235 | |
* | Pinterest Inc. Class A | 109,536 | 8,827 |
* | Altice USA Inc. Class A | 111,612 | 3,751 |
* | Zynga Inc. Class A | 316,869 | 3,533 |
6,616,710 | |||
Consumer Discretionary (21.0%) | |||
* | Amazon.com Inc. | 1,007,963 | 3,117,559 |
* | Tesla Inc. | 2,265,088 | 1,530,067 |
* | Wayfair Inc. Class A | 2,262,958 | 653,950 |
*,1 | Chewy Inc. Class A | 4,608,762 | 468,066 |
TJX Cos. Inc. | 5,664,642 | 373,810 | |
* | Chegg Inc. | 3,857,763 | 372,390 |
* | Lululemon Athletica Inc. | 1,169,726 | 364,580 |
* | Carvana Co. Class A | 1,167,177 | 330,895 |
* | MercadoLibre Inc. | 195,699 | 320,576 |
LVMH Moet Hennessy Louis Vuitton SE | 413,665 | 262,106 | |
NIKE Inc. Class B | 1,718,330 | 231,596 | |
* | Vroom Inc. | 5,061,493 | 223,971 |
* | Stitch Fix Inc. Class A | 2,357,466 | 179,898 |
* | DraftKings Inc. Class A | 2,579,781 | 158,734 |
* | Farfetch Ltd. Class A | 2,319,439 | 152,805 |
Shares | Market Value• ($000) | ||
* | Booking Holdings Inc. | 55,368 | 128,925 |
* | Alibaba Group Holding Ltd. ADR | 499,590 | 118,783 |
* | Burlington Stores Inc. | 436,022 | 112,851 |
Hilton Worldwide Holdings Inc. | 698,111 | 86,342 | |
Home Depot Inc. | 295,794 | 76,415 | |
* | Peloton Interactive Inc. Class A | 544,931 | 65,648 |
Lowe's Cos. Inc. | 346,434 | 55,343 | |
* | Airbnb Inc. Class A | 259,503 | 53,548 |
*,2 | Airbnb Inc. Class B | 256,246 | 47,589 |
*,1 | DoorDash Inc. Class A | 272,046 | 46,109 |
* | Etsy Inc. | 199,010 | 43,836 |
eBay Inc. | 765,702 | 43,201 | |
Best Buy Co. Inc. | 287,436 | 28,844 | |
Yum! Brands Inc. | 254,605 | 26,359 | |
Polaris Inc. | 221,168 | 26,045 | |
H&R Block Inc. | 1,307,965 | 25,152 | |
Tempur Sealy International Inc. | 587,400 | 19,625 | |
* | NVR Inc. | 3,706 | 16,680 |
Tractor Supply Co. | 89,714 | 14,261 | |
Target Corp. | 58,843 | 10,794 | |
* | frontdoor Inc. | 151,085 | 7,912 |
Service Corp. International | 70,011 | 3,344 | |
Domino's Pizza Inc. | 7,543 | 2,614 | |
Dollar General Corp. | 13,067 | 2,470 | |
* | Chipotle Mexican Grill Inc. Class A | 917 | 1,322 |
9,805,015 | |||
Consumer Staples (1.8%) | |||
Constellation Brands Inc. Class A | 1,099,071 | 235,355 | |
Estee Lauder Cos. Inc. Class A | 821,158 | 234,736 | |
* | Monster Beverage Corp. | 1,720,015 | 150,914 |
Altria Group Inc. | 1,066,403 | 46,495 | |
Hershey Co. | 208,320 | 30,342 | |
* | Herbalife Nutrition Ltd. | 659,399 | 29,660 |
* | Sprouts Farmers Market Inc. | 1,336,348 | 28,210 |
Costco Wholesale Corp. | 83,850 | 27,754 | |
Campbell Soup Co. | 465,209 | 21,158 | |
Procter & Gamble Co. | 122,314 | 15,109 | |
PepsiCo Inc. | 101,687 | 13,137 | |
Coca-Cola Co. | 116,984 | 5,731 | |
1 | Albertsons Cos. Inc. Class A | 332,761 | 5,381 |
* | Pilgrim's Pride Corp. | 196,326 | 4,396 |
Clorox Co. | 23,417 | 4,240 | |
852,618 | |||
Energy (0.0%) | |||
Equitrans Midstream Corp. | 258,831 | 1,871 | |
Financials (3.5%) | |||
MarketAxess Holdings Inc. | 669,677 | 372,300 | |
First Republic Bank | 1,764,255 | 290,661 | |
American Express Co. | 1,393,616 | 188,501 | |
*,1 | Lemonade Inc. | 1,342,255 | 168,842 |
Progressive Corp. | 1,834,877 | 157,708 | |
S&P Global Inc. | 269,342 | 88,711 | |
* | Markel Corp. | 76,138 | 82,899 |
Marsh & McLennan Cos. Inc. | 714,183 | 82,288 |
Shares | Market Value• ($000) | ||
Blackstone Group Inc. Class A | 1,143,411 | 79,158 | |
LPL Financial Holdings Inc. | 205,404 | 27,019 | |
SLM Corp. | 1,267,384 | 20,012 | |
KKR & Co. Inc. | 423,404 | 19,290 | |
Virtu Financial Inc. Class A | 667,653 | 18,207 | |
Synchrony Financial | 310,554 | 12,012 | |
Primerica Inc. | 50,392 | 7,117 | |
1,614,725 | |||
Health Care (9.5%) | |||
* | Illumina Inc. | 1,335,709 | 586,924 |
* | Moderna Inc. | 2,565,732 | 397,201 |
* | ABIOMED Inc. | 1,168,707 | 379,304 |
UnitedHealth Group Inc. | 753,245 | 250,243 | |
* | Penumbra Inc. | 874,464 | 248,724 |
* | Novocure Ltd. | 1,667,087 | 248,563 |
* | Teladoc Health Inc. | 936,455 | 207,041 |
Danaher Corp. | 935,610 | 205,525 | |
* | Denali Therapeutics Inc. | 2,465,757 | 177,041 |
* | Glaukos Corp. | 1,769,014 | 167,278 |
* | Boston Scientific Corp. | 4,135,411 | 160,371 |
* | Alnylam Pharmaceuticals Inc. | 910,226 | 134,804 |
* | Intuitive Surgical Inc. | 156,281 | 115,148 |
* | Seagen Inc. | 617,352 | 93,288 |
Eli Lilly and Co. | 415,468 | 85,125 | |
* | Vertex Pharmaceuticals Inc. | 369,849 | 78,611 |
Merck & Co. Inc. | 1,068,218 | 77,574 | |
* | Sartorius Stedim Biotech | 157,858 | 69,023 |
Thermo Fisher Scientific Inc. | 146,556 | 65,962 | |
* | Mettler-Toledo International Inc. | 57,556 | 64,235 |
* | Biogen Inc. | 195,566 | 53,366 |
HCA Healthcare Inc. | 244,396 | 42,043 | |
Cigna Corp. | 187,646 | 39,387 | |
* | Sana Biotechnology Inc. | 1,263,627 | 38,844 |
McKesson Corp. | 218,982 | 37,122 | |
Johnson & Johnson | 230,832 | 36,578 | |
* | IQVIA Holdings Inc. | 184,644 | 35,598 |
* | Avantor Inc. | 1,189,560 | 33,153 |
Cardinal Health Inc. | 599,053 | 30,863 | |
* | Charles River Laboratories International Inc. | 103,590 | 29,641 |
Humana Inc. | 77,069 | 29,259 | |
* | Veeva Systems Inc. Class A | 96,918 | 27,148 |
* | Zai Lab Ltd. ADR | 174,701 | 25,772 |
AbbVie Inc. | 200,408 | 21,592 | |
* | Quidel Corp. | 121,513 | 19,960 |
* | Hologic Inc. | 182,044 | 13,124 |
* | IDEXX Laboratories Inc. | 23,351 | 12,146 |
Amgen Inc. | 52,219 | 11,745 | |
AmerisourceBergen Corp. Class A | 114,477 | 11,587 | |
Bristol-Myers Squibb Co. | 153,365 | 9,406 | |
Anthem Inc. | 30,575 | 9,270 | |
Bruker Corp. | 144,057 | 8,785 | |
* | DaVita Inc. | 85,041 | 8,685 |
PerkinElmer Inc. | 67,643 | 8,529 | |
* | Laboratory Corp. of America Holdings | 31,043 | 7,448 |
* | Henry Schein Inc. | 113,893 | 7,044 |
Shares | Market Value• ($000) | ||
Zoetis Inc. | 39,568 | 6,143 | |
* | Regeneron Pharmaceuticals Inc. | 11,333 | 5,106 |
Agilent Technologies Inc. | 41,691 | 5,089 | |
* | PRA Health Sciences Inc. | 34,394 | 5,070 |
* | Sarepta Therapeutics Inc. | 45,644 | 3,974 |
* | Incyte Corp. | 45,492 | 3,578 |
West Pharmaceutical Services Inc. | 11,870 | 3,331 | |
* | Waters Corp. | 11,193 | 3,066 |
Chemed Corp. | 2,636 | 1,174 | |
4,456,611 | |||
Industrials (4.4%) | |||
* | Uber Technologies Inc. | 6,156,694 | 318,609 |
TransUnion | 2,569,564 | 216,383 | |
* | CoStar Group Inc. | 217,512 | 179,178 |
Watsco Inc. | 645,233 | 156,856 | |
* | Safran SA | 1,092,679 | 148,946 |
* | Copart Inc. | 1,302,483 | 142,179 |
IHS Markit Ltd. | 1,395,988 | 125,862 | |
Canadian National Railway Co. | 941,054 | 102,876 | |
Northrop Grumman Corp. | 340,157 | 99,210 | |
HEICO Corp. Class A | 675,283 | 78,171 | |
JB Hunt Transport Services Inc. | 469,718 | 68,988 | |
Airbus SE ADR | 2,298,850 | 67,103 | |
Lockheed Martin Corp. | 158,861 | 52,464 | |
United Parcel Service Inc. Class B | 286,471 | 45,214 | |
* | Lyft Inc. Class A | 748,819 | 41,709 |
Booz Allen Hamilton Holding Corp. Class A | 424,156 | 32,719 | |
IDEX Corp. | 149,572 | 29,192 | |
Landstar System Inc. | 156,373 | 25,042 | |
Allison Transmission Holdings Inc. | 515,167 | 19,535 | |
WW Grainger Inc. | 51,282 | 19,113 | |
Nielsen Holdings plc | 849,231 | 19,031 | |
* | Generac Holdings Inc. | 51,771 | 17,062 |
Allegion plc | 85,829 | 9,337 | |
Illinois Tool Works Inc. | 46,122 | 9,325 | |
Expeditors International of Washington Inc. | 86,623 | 7,956 | |
Cintas Corp. | 19,329 | 6,269 | |
Old Dominion Freight Line Inc. | 27,658 | 5,940 | |
* | IAA Inc. | 23,899 | 1,401 |
* | Array Technologies Inc. | 30,863 | 1,144 |
2,046,814 | |||
Information Technology (41.6%) | |||
Apple Inc. | 19,237,372 | 2,332,724 | |
Microsoft Corp. | 9,369,873 | 2,177,371 | |
* | Shopify Inc. Class A (XTSE) | 1,362,578 | 1,745,422 |
Mastercard Inc. Class A | 2,594,606 | 918,101 | |
* | Trade Desk Inc. Class A | 1,050,318 | 845,916 |
* | PayPal Holdings Inc. | 3,204,302 | 832,638 |
NVIDIA Corp. | 1,507,970 | 827,242 | |
* | Twilio Inc. Class A | 1,840,437 | 723,071 |
* | Adobe Inc. | 1,430,457 | 657,538 |
Visa Inc. Class A | 3,095,606 | 657,476 | |
* | Workday Inc. Class A | 2,505,211 | 614,228 |
* | Zoom Video Communications Inc. Class A | 1,490,368 | 556,816 |
* | Square Inc. Class A | 2,356,512 | 542,068 |
Shares | Market Value• ($000) | ||
* | salesforce.com Inc. | 2,275,896 | 492,731 |
* | ServiceNow Inc. | 811,522 | 432,915 |
*,3 | Adyen NV | 156,679 | 365,593 |
* | Advanced Micro Devices Inc. | 3,605,737 | 304,721 |
*,1 | Appian Corp. Class A | 1,737,065 | 298,601 |
Microchip Technology Inc. | 1,546,991 | 236,117 | |
* | FleetCor Technologies Inc. | 844,303 | 234,134 |
* | Crowdstrike Holdings Inc. Class A | 1,038,611 | 224,340 |
* | Autodesk Inc. | 765,096 | 211,166 |
Intuit Inc. | 489,576 | 191,003 | |
CDW Corp. | 1,182,683 | 185,551 | |
* | Coupa Software Inc. | 530,375 | 183,648 |
* | Cloudflare Inc. Class A | 2,481,898 | 183,586 |
* | Atlassian Corp. plc Class A | 754,737 | 179,401 |
Global Payments Inc. | 895,750 | 177,350 | |
Fidelity National Information Services Inc. | 1,266,468 | 174,773 | |
*,1 | Affirm Holdings Inc. | 1,482,693 | 137,979 |
* | Snowflake Inc. Class A | 491,583 | 127,585 |
* | Datadog Inc. Class A | 1,231,990 | 117,544 |
* | Tyler Technologies Inc. | 226,716 | 105,065 |
* | nCino Inc. | 1,451,971 | 99,286 |
Accenture plc Class A | 339,746 | 85,242 | |
* | Splunk Inc. | 550,994 | 78,798 |
* | Slack Technologies Inc. Class A | 1,893,346 | 77,495 |
Oracle Corp. | 1,078,824 | 69,595 | |
SS&C Technologies Holdings Inc. | 975,169 | 64,634 | |
Lam Research Corp. | 110,045 | 62,416 | |
* | DocuSign Inc. Class A | 270,238 | 61,252 |
QUALCOMM Inc. | 444,106 | 60,483 | |
Texas Instruments Inc. | 346,203 | 59,640 | |
* | Afterpay Ltd. ADR | 615,231 | 58,689 |
* | Yext Inc. | 3,016,113 | 51,033 |
* | Cadence Design Systems Inc. | 359,800 | 50,764 |
* | Okta Inc. | 176,392 | 46,118 |
Monolithic Power Systems Inc. | 112,476 | 42,124 | |
* | Fortinet Inc. | 246,755 | 41,665 |
Teradyne Inc. | 317,645 | 40,852 | |
* | Synopsys Inc. | 165,740 | 40,641 |
* | GoDaddy Inc. Class A | 471,222 | 38,226 |
* | Manhattan Associates Inc. | 307,126 | 37,761 |
* | Dropbox Inc. Class A | 1,529,225 | 34,476 |
Jabil Inc. | 740,828 | 31,982 | |
* | Teradata Corp. | 744,423 | 29,851 |
* | Paycom Software Inc. | 79,443 | 29,731 |
Applied Materials Inc. | 244,281 | 28,872 | |
Broadcom Inc. | 45,337 | 21,302 | |
HP Inc. | 732,129 | 21,210 | |
* | Ceridian HCM Holding Inc. | 197,101 | 17,672 |
* | Fair Isaac Corp. | 32,256 | 14,759 |
KLA Corp. | 37,606 | 11,704 | |
* | Comm Scope Holding Co. Inc. | 752,576 | 10,980 |
* | Qualtrics International Inc. Class A | 208,064 | 7,906 |
* | SolarEdge Technologies Inc. | 16,328 | 4,871 |
NortonLifeLock Inc. | 204,966 | 3,999 | |
* | Dell Technologies Class C | 30,071 | 2,438 |
Shares | Market Value• ($000) | ||
* | Enphase Energy Inc. | 6,840 | 1,204 |
*,1 | BigCommerce Holdings Inc. Series 1 | 18,306 | 1,082 |
* | Elastic NV | 7,797 | 1,048 |
19,436,215 | |||
Materials (0.3%) | |||
Ball Corp. | 1,442,317 | 123,159 | |
Sherwin-Williams Co. | 18,626 | 12,672 | |
RPM International Inc. | 95,780 | 7,628 | |
Royal Gold Inc. | 63,862 | 6,623 | |
Scotts Miracle-Gro Co. | 20,133 | 4,291 | |
Graphic Packaging Holding Co. | 176,652 | 2,804 | |
157,177 | |||
Other (0.0%) | |||
*,2,4 | The We Company Class A PP | 19,046 | 72 |
Real Estate (0.9%) | |||
* | Redfin Corp. | 3,826,131 | 289,791 |
Equinix Inc. | 135,916 | 88,120 | |
Iron Mountain Inc. | 1,041,580 | 36,236 | |
Crown Castle International Corp. | 70,644 | 11,003 | |
Simon Property Group Inc. | 84,975 | 9,595 | |
SBA Communications Corp. Class A | 4,988 | 1,273 | |
American Tower Corp. | 5,723 | 1,237 | |
437,255 | |||
Utilities (0.0%) | |||
NRG Energy Inc. | 188,934 | 6,898 | |
Total Common Stocks (Cost $24,571,297) | 45,431,981 | ||
Preferred Stocks (0.0%) | |||
*,2,4,5 | The We Company Pfd. D1 PP | 260,418 | 1,643 |
*,2,4,5 | The We Company Pfd. D2 PP | 204,614 | 1,291 |
Total Preferred Stocks (Cost $7,743) | 2,934 | ||
Temporary Cash Investments (3.2%) | |||
Money Market Fund (3.1%) | |||
6,7 | Vanguard Market Liquidity Fund, 0.099% | 14,526,306 | 1,452,631 |
Face Amount ($000) | |||
Repurchase Agreement (0.1%) | |||
Bank of America Securities, LLC 0.020%, 3/1/21 (Dated 2/26/21, Repurchase Value $38,800,000, collateralized by Federal Home Loan Bank 0.300%, 11/18/2024 and Federal Home Loan Mortgage Corp. 2.000%–8.500%, 4/1/21–10/2/50, with a value of $39,580,000) | 38,800 | 38,800 |
Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||
8 | U.S. Treasury Bill, 0.083%, 3/30/21 | 1,300 | 1,300 |
Total Temporary Cash Investments (Cost $1,492,558) | 1,492,731 | ||
Total Investments (100.4%) (Cost $26,071,598) | 46,927,646 | ||
Other Assets and Liabilities—Net (-0.4%) | (185,844) | ||
Net Assets (100%) | 46,741,802 | ||
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 $268,912,000. |
2 | Restricted securities totaling $50,595,000, representing 0.1% of net assets. See Restricted Securities table for additional information. |
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 February 28, 2021, the aggregate value was $365,593,000, representing 0.8% of net assets. |
4 | Security value determined using significant unobservable inputs. |
5 | Perpetual security with no stated maturity date. |
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 $273,191,000 was received for securities on loan. |
8 | Securities with a value of $845,000 have been segregated as initial margin for open futures contracts. |
ADR—American Depositary Receipt. | |
PP—Private Placement. |
Restricted Securities as of Period End | ||
Security Name | Acquisition Date | Acquisition Cost ($000) |
The We Company Pfd. D1 PP | December 2014 | 4,336 |
The We Company Pfd. D2 PP | December 2014 | 3,407 |
The We Company Class A PP | December 2014 | 317 |
Airbnb Inc. Class B | June 2015 | 11,928 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 5,939 | 1,131,142 | (4,707) |
E-mini S&P Mid-Cap 400 Index | March 2021 | 262 | 65,361 | 6,758 |
2,051 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $24,619,140) | 45,475,015 |
Affiliated Issuers (Cost $1,452,458) | 1,452,631 |
Total Investments in Securities | 46,927,646 |
Investment in Vanguard | 1,733 |
Cash | 8,556 |
Cash Collateral Pledged—Futures Contracts | 67,051 |
Receivables for Investment Securities Sold | 239,836 |
Receivables for Accrued Income | 17,200 |
Receivables for Capital Shares Issued | 49,179 |
Total Assets | 47,311,201 |
Liabilities | |
Payables for Investment Securities Purchased | 237,179 |
Collateral for Securities on Loan | 273,191 |
Payables to Investment Advisor | 15,729 |
Payables for Capital Shares Redeemed | 34,174 |
Payables to Vanguard | 3,551 |
Variation Margin Payable—Futures Contracts | 5,575 |
Total Liabilities | 569,399 |
Net Assets | 46,741,802 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 21,119,627 |
Total Distributable Earnings (Loss) | 25,622,175 |
Net Assets | 46,741,802 |
Investor Shares—Net Assets | |
Applicable to 179,936,647 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,010,630 |
Net Asset Value Per Share—Investor Shares | $66.75 |
Admiral Shares—Net Assets | |
Applicable to 200,875,318 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 34,731,172 |
Net Asset Value Per Share—Admiral Shares | $172.90 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 79,025 |
Interest2 | 644 |
Securities Lending—Net | 8,832 |
Total Income | 88,501 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 28,650 |
Performance Adjustment | 5,080 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 11,970 |
Management and Administrative—Admiral Shares | 18,853 |
Marketing and Distribution—Investor Shares | 400 |
Marketing and Distribution—Admiral Shares | 519 |
Custodian Fees | 71 |
Shareholders’ Reports and Proxy—Investor Shares | 313 |
Shareholders’ Reports and Proxy—Admiral Shares | 322 |
Trustees’ Fees and Expenses | 14 |
Total Expenses | 66,192 |
Expenses Paid Indirectly | (234) |
Net Expenses | 65,958 |
Net Investment Income | 22,543 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 5,162,930 |
Futures Contracts | 102,027 |
Foreign Currencies | (685) |
Realized Net Gain (Loss) | 5,264,272 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (586,141) |
Futures Contracts | (45,374) |
Foreign Currencies | 127 |
Change in Unrealized Appreciation (Depreciation) | (631,388) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,655,427 |
1 | Dividends are net of foreign withholding taxes of $91,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $543,000, $21,000, and ($20,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 22,543 | 90,247 | |
Realized Net Gain (Loss) | 5,264,272 | 1,427,385 | |
Change in Unrealized Appreciation (Depreciation) | (631,388) | 13,015,813 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,655,427 | 14,533,445 | |
Distributions | |||
Investor Shares | (441,143) | (357,080) | |
Admiral Shares | (1,285,155) | (704,493) | |
Total Distributions | (1,726,298) | (1,061,573) | |
Capital Share Transactions | |||
Investor Shares | (1,112,355) | (747,873) | |
Admiral Shares | 4,654,856 | 1,666,649 | |
Net Increase (Decrease) from Capital Share Transactions | 3,542,501 | 918,776 | |
Total Increase (Decrease) | 6,471,630 | 14,390,648 | |
Net Assets | |||
Beginning of Period | 40,270,172 | 25,879,524 | |
End of Period | 46,741,802 | 40,270,172 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $62.28 | $41.02 | $43.31 | $35.62 | $30.32 | $30.89 |
Investment Operations | ||||||
Net Investment Income | .0101 | .1131 | .1761 | .1341 | .1511 | .151 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.017 | 22.856 | .771 | 9.394 | 5.590 | 1.944 |
Total from Investment Operations | 7.027 | 22.969 | .947 | 9.528 | 5.741 | 2.095 |
Distributions | ||||||
Dividends from Net Investment Income | (.019) | (.119) | (.132) | (.146) | (.121) | (.147) |
Distributions from Realized Capital Gains | (2.538) | (1.590) | (3.105) | (1.692) | (.320) | (2.518) |
Total Distributions | (2.557) | (1.709) | (3.237) | (1.838) | (.441) | (2.665) |
Net Asset Value, End of Period | $66.75 | $62.28 | $41.02 | $43.31 | $35.62 | $30.32 |
Total Return2 | 11.40% | 58.01% | 3.70% | 27.64% | 19.24% | 6.89% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,011 | $12,410 | $8,819 | $4,582 | $4,113 | $3,794 |
Ratio of Total Expenses to Average Net Assets3 | 0.39% | 0.38% | 0.39% | 0.42% | 0.43% | 0.46% |
Ratio of Net Investment Income to Average Net Assets | 0.04% | 0.25% | 0.44% | 0.35% | 0.47% | 0.50% |
Portfolio Turnover Rate | 28% | 38% | 41% | 33% | 27% | 32% |
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 performance-based investment advisory fee increases (decreases) of 0.02%, 0.02%, 0.01%, 0.01%, (0.01%), and 0.02% |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $161.42 | $106.30 | $112.28 | $92.24 | $78.52 | $80.01 |
Investment Operations | ||||||
Net Investment Income | .1091 | .4101 | .5721 | .4761 | .5021 | .506 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.176 | 59.231 | 1.963 | 24.323 | 14.480 | 5.018 |
Total from Investment Operations | 18.285 | 59.641 | 2.535 | 24.799 | 14.982 | 5.524 |
Distributions | ||||||
Dividends from Net Investment Income | (.224) | (.401) | (.464) | (.375) | (.433) | (.499) |
Distributions from Realized Capital Gains | (6.581) | (4.120) | (8.051) | (4.384) | (.829) | (6.515) |
Total Distributions | (6.805) | (4.521) | (8.515) | (4.759) | (1.262) | (7.014) |
Net Asset Value, End of Period | $172.90 | $161.42 | $106.30 | $112.28 | $92.24 | $78.52 |
Total Return2 | 11.45% | 58.17% | 3.80% | 27.78% | 19.42% | 7.03% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $34,731 | $27,860 | $17,060 | $6,249 | $3,791 | $3,066 |
Ratio of Total Expenses to Average Net Assets3 | 0.29% | 0.28% | 0.28% | 0.30% | 0.30% | 0.32% |
Ratio of Net Investment Income to Average Net Assets | 0.14% | 0.35% | 0.55% | 0.47% | 0.60% | 0.64% |
Portfolio Turnover Rate | 28% | 38% | 41% | 33% | 27% | 32% |
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 performance-based investment advisory fee increases (decreases) of 0.02%, 0.02%, 0.01%, 0.01%, (0.01%), and 0.02% |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | The investment advisory firms Jennison Associates LLC, Wellington Management Company llp, and Baillie Gifford Overseas Ltd., each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Jennison Associates LLC and Wellington Management Company llp are subject to quarterly adjustments based on performance relative to the Russell 1000 Growth Index for the preceding three years. The basic fee of Baillie Gifford Overseas Ltd. is subject to quarterly adjustments based on performance relative to the S&P 500 Index for the preceding three years. Pursuant to board approval, a portion of the fund was managed by Jackson Square Partners, LLC through February 2021. The basic fee paid to Jackson Square Partners, LLC, was subject to quarterly adjustments based on performance relative to the Russell 1000 Growth Index for the preceding three years. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund 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. |
D. | The fund has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the fund part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. For the period ended February 28, 2021, these arrangements reduced the fund’s expenses by $234,000 (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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 44,342,063 | 1,089,846 | 72 | 45,431,981 |
Preferred Stocks | — | — | 2,934 | 2,934 |
Temporary Cash Investments | 1,452,631 | 40,100 | — | 1,492,731 |
Total | 45,794,694 | 1,129,946 | 3,006 | 46,927,646 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 6,758 | — | — | 6,758 |
Liabilities | ||||
Futures Contracts1 | 4,707 | — | — | 4,707 |
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 February 28, 2021, 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 | 26,128,561 |
Gross Unrealized Appreciation | 20,987,810 |
Gross Unrealized Depreciation | (186,674) |
Net Unrealized Appreciation (Depreciation) | 20,801,136 |
G. | During the six months ended February 28, 2021, the fund purchased $13,262,875,000 of investment securities and sold $11,613,757,000 of investment securities, other than temporary cash investments. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 1,614,488 | 25,217 | 2,060,722 | 44,973 | |
Issued in Lieu of Cash Distributions | 426,496 | 6,567 | 347,590 | 8,288 | |
Redeemed | (3,153,339) | (51,092) | (3,156,185) | (69,011) | |
Net Increase (Decrease)—Investor Shares | (1,112,355) | (19,308) | (747,873) | (15,750) | |
Admiral Shares | |||||
Issued | 6,792,837 | 41,314 | 5,160,714 | 42,335 | |
Issued in Lieu of Cash Distributions | 1,197,201 | 7,119 | 662,481 | 6,099 | |
Redeemed | (3,335,182) | (20,152) | (4,156,546) | (36,332) | |
Net Increase (Decrease)—Admiral Shares | 4,654,856 | 28,281 | 1,666,649 | 12,102 |
I. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
About Your Fund’s Expenses | 1 |
Financial Statements (unaudited) | 4 |
Trustees Approve Advisory Arrangements | 22 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
International Growth Fund | Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,228.60 | $2.38 |
Admiral™ Shares | 1,000.00 | 1,229.10 | 1.77 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,022.66 | $2.16 |
Admiral Shares | 1,000.00 | 1,023.21 | 1.61 |
Communication Services | 9.2% |
Consumer Discretionary | 35.0 |
Consumer Staples | 3.9 |
Energy | 1.4 |
Financials | 9.0 |
Health Care | 15.1 |
Industrials | 9.0 |
Information Technology | 14.6 |
Materials | 1.9 |
Utilities | 0.7 |
Other | 0.2 |
Shares | Market Value• ($000) | ||
Common Stocks (97.5%) | |||
Australia (0.6%) | |||
* | Afterpay Ltd. | 4,147,434 | 378,844 |
* | Xero Ltd. | 343,128 | 31,403 |
410,247 | |||
Austria (0.4%) | |||
Erste Group Bank AG | 7,843,772 | 257,567 | |
Belgium (2.2%) | |||
Umicore SA | 11,849,441 | 696,140 | |
* | Argenx SE | 1,978,464 | 658,061 |
UCB SA | 2,152,252 | 213,410 | |
1,567,611 | |||
Brazil (0.3%) | |||
B3 SA - Brasil Bolsa Balcao | 14,269,879 | 138,263 | |
Raia Drogasil SA | 21,795,702 | 90,346 | |
228,609 | |||
Canada (0.9%) | |||
Toronto-Dominion Bank | 5,740,327 | 347,956 | |
Canadian National Railway Co. | 2,413,784 | 263,475 | |
611,431 | |||
China (18.5%) | |||
Tencent Holdings Ltd. | 45,419,800 | 3,951,387 | |
* | Alibaba Group Holding Ltd. | 78,622,556 | 2,362,544 |
*,1 | Meituan Class B | 43,138,930 | 1,937,562 |
* | NIO Inc. ADR | 31,223,162 | 1,429,396 |
* | TAL Education Group ADR | 15,272,843 | 1,184,256 |
* | Alibaba Group Holding Ltd. ADR | 2,744,361 | 652,499 |
* | Baidu Inc. ADR | 2,041,992 | 578,823 |
Ping An Insurance Group Co. of China Ltd. Class H | 44,035,500 | 544,920 | |
* | Pinduoduo Inc. ADR | 1,468,332 | 251,320 |
* | China Mengniu Dairy Co. Ltd. | 41,766,000 | 228,231 |
* | Kingdee International Software Group Co. Ltd. | 20,279,000 | 72,579 |
13,193,517 | |||
Denmark (3.2%) | |||
* | Genmab A/S | 2,548,873 | 854,855 |
Ambu A/S Class B | 13,909,666 | 641,012 | |
Vestas Wind Systems A/S | 2,005,591 | 376,099 | |
Novozymes A/S Class B | 2,401,809 | 147,860 |
Shares | Market Value• ($000) | ||
Chr Hansen Holding A/S | 1,658,818 | 142,240 | |
* | Pandora A/S | 1,100,608 | 106,853 |
2,268,919 | |||
France (5.6%) | |||
Kering SA | 2,915,915 | 1,844,168 | |
L'Oreal SA | 2,664,975 | 972,582 | |
Schneider Electric SE | 5,322,107 | 787,004 | |
Alstom SA | 4,941,513 | 246,310 | |
Legrand SA | 1,694,372 | 147,308 | |
3,997,372 | |||
Germany (7.8%) | |||
*,1 | Zalando SE | 10,259,895 | 1,054,791 |
*,1 | Delivery Hero SE | 7,334,216 | 937,163 |
*,2 | HelloFresh SE | 10,552,945 | 819,913 |
Infineon Technologies AG | 11,105,739 | 483,230 | |
Bayerische Motoren Werke AG | 4,822,772 | 416,731 | |
*,2,3 | Jumia Technologies AG ADR | 6,724,836 | 297,977 |
* | adidas AG | 846,586 | 295,107 |
*,3 | CureVac NV | 2,731,786 | 257,607 |
SAP SE | 1,671,694 | 206,766 | |
Allianz SE (Registered) | 806,821 | 194,734 | |
BASF SE | 2,275,881 | 186,192 | |
GEA Group AG | 5,015,311 | 173,645 | |
Knorr-Bremse AG | 1,138,106 | 144,941 | |
* | MorphoSys AG | 664,989 | 66,731 |
*,2 | Home24 SE | 2,066,394 | 42,566 |
5,578,094 | |||
Hong Kong (2.2%) | |||
AIA Group Ltd. | 84,315,800 | 1,063,343 | |
Hong Kong Exchanges & Clearing Ltd. | 8,680,143 | 533,680 | |
1,597,023 | |||
India (1.3%) | |||
Housing Development Finance Corp. Ltd. | 11,680,736 | 404,238 | |
* | HDFC Bank Ltd. | 18,297,957 | 383,802 |
Larsen & Toubro Ltd. | 5,632,629 | 110,458 | |
*,4,5 | ANI Technologies Private Ltd. PP | 166,185 | 30,496 |
928,994 | |||
Indonesia (0.3%) | |||
Bank Central Asia Tbk PT | 78,475,300 | 184,632 | |
Israel (0.4%) | |||
* | Wix.com Ltd. | 917,880 | 319,945 |
Italy (2.9%) | |||
Ferrari NV | 5,252,763 | 1,022,216 | |
EXOR NV | 5,131,716 | 411,352 | |
* | Intesa Sanpaolo SPA | 113,537,246 | 291,908 |
Stellantis NV | 13,737,294 | 222,665 | |
Stellantis NV (XTLA) | 7,566,220 | 122,548 | |
2,070,689 | |||
Japan (8.6%) | |||
M3 Inc. | 23,314,500 | 1,852,988 | |
Nidec Corp. | 11,414,800 | 1,455,559 | |
SMC Corp. | 1,103,400 | 654,376 |
Shares | Market Value• ($000) | ||
Sony Corp. | 4,177,000 | 441,096 | |
Recruit Holdings Co. Ltd. | 6,663,200 | 332,956 | |
Takeda Pharmaceutical Co. Ltd. | 8,085,400 | 272,468 | |
Bridgestone Corp. | 6,138,800 | 242,509 | |
Murata Manufacturing Co. Ltd. | 2,060,700 | 176,653 | |
Kubota Corp. | 6,908,800 | 156,729 | |
Sekisui Chemical Co. Ltd. | 8,225,300 | 147,407 | |
Toyota Motor Corp. | 1,865,700 | 137,864 | |
SBI Holdings Inc. | 4,470,400 | 125,077 | |
Pigeon Corp. | 3,300,800 | 119,531 | |
6,115,213 | |||
Netherlands (10.3%) | |||
ASML Holding NV | 7,704,464 | 4,369,365 | |
*,1 | Adyen NV | 903,347 | 2,107,857 |
Royal Dutch Shell plc Class A (XLON) | 17,575,777 | 362,721 | |
Koninklijke Philips NV | 4,790,736 | 261,560 | |
Royal Dutch Shell plc Class A | 11,500,265 | 236,161 | |
7,337,664 | |||
Norway (0.8%) | |||
Equinor ASA | 19,413,927 | 368,173 | |
DNB ASA | 12,264,292 | 238,264 | |
606,437 | |||
South Korea (1.2%) | |||
Samsung Electronics Co. Ltd. | 7,978,596 | 584,717 | |
Samsung SDI Co. Ltd. | 404,645 | 242,111 | |
826,828 | |||
Spain (1.9%) | |||
Industria de Diseno Textil SA | 21,245,632 | 700,537 | |
* | Banco Bilbao Vizcaya Argentaria SA | 60,461,703 | 336,220 |
* | Iberdrola SA (XMAD) | 25,799,239 | 323,314 |
1,360,071 | |||
Sweden (2.2%) | |||
Atlas Copco AB Class A | 12,963,440 | 739,834 | |
* | Kinnevik AB Class B | 9,975,592 | 462,901 |
Assa Abloy AB Class B | 8,191,729 | 205,488 | |
Svenska Handelsbanken AB Class A | 12,601,242 | 132,853 | |
1,541,076 | |||
Switzerland (4.0%) | |||
* | Roche Holding AG | 1,918,560 | 629,401 |
Nestle SA (Registered) | 5,551,567 | 579,410 | |
Temenos AG (Registered) | 1,868,930 | 252,357 | |
Novartis AG (Registered) | 2,847,827 | 245,273 | |
Cie Financiere Richemont SA (Registered) Class A | 2,498,714 | 240,780 | |
Lonza Group AG (Registered) | 361,430 | 227,971 | |
* | Alcon Inc. | 3,177,947 | 218,872 |
Chocoladefabriken Lindt & Spruengli AG Ptg. Ctf. | 21,622 | 181,438 | |
Sika AG (Registered) | 509,430 | 134,713 | |
Straumann Holding AG (Registered) | 91,350 | 110,320 | |
2,820,535 |
Shares | Market Value• ($000) | ||
Taiwan (1.6%) | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | 43,048,000 | 940,471 | |
* | Sea Ltd. ADR | 761,673 | 179,519 |
1,119,990 | |||
United Kingdom (4.1%) | |||
* | Ocado Group plc | 24,326,206 | 747,385 |
Diageo plc | 9,945,508 | 391,244 | |
Rolls-Royce Holdings plc | 202,156,568 | 304,546 | |
Whitbread plc | 5,049,041 | 240,338 | |
Burberry Group plc | 8,332,421 | 212,122 | |
National Grid plc | 18,276,405 | 205,508 | |
Next plc | 1,919,266 | 203,298 | |
Barclays plc | 90,738,042 | 202,503 | |
Bunzl plc | 5,066,202 | 158,170 | |
Reckitt Benckiser Group plc | 1,859,226 | 155,954 | |
GlaxoSmithKline plc | 7,228,389 | 120,611 | |
2,941,679 | |||
United States (16.2%) | |||
* | MercadoLibre Inc. | 1,873,136 | 3,068,403 |
* | Tesla Inc. | 3,518,534 | 2,376,770 |
* | Illumina Inc. | 4,910,590 | 2,157,762 |
* | Moderna Inc. | 10,949,005 | 1,695,015 |
* | Spotify Technology SA | 5,494,248 | 1,688,822 |
* | Amazon.com Inc. | 110,408 | 341,484 |
* | Booking Holdings Inc. | 97,679 | 227,447 |
11,555,703 | |||
Total Common Stocks (Cost $33,936,689) | 69,439,846 | ||
Preferred Stock (0.2%) | |||
*,2,4,5,6 | You & Mr. Jones PP (Cost $44,800) | 44,800,000 | 143,808 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (2.4%) | |||
Money Market Fund (2.4%) | |||
7,8 | Vanguard Market Liquidity Fund, 0.099% (Cost $1,682,026) | 16,821,219 | 1,682,122 |
Total Investments (100.1%) (Cost $35,663,515) | 71,265,776 | ||
Other Assets and Liabilities—Net (-0.1%) | (88,223) | ||
Net Assets (100%) | 71,177,553 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2021, the aggregate value was $6,037,373,000, representing 8.5% of net assets. |
2 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
3 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $129,095,000. |
4 | Restricted securities totaling $174,304,000, representing 0.2% of net assets. See Restricted Securities table for additional information. |
5 | Security value determined using significant unobservable inputs. |
6 | Perpetual security with no stated maturity date. |
7 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
8 | Collateral of $133,364,000 was received for securities on loan. |
ADR—American Depositary Receipt. |
PP—Private Placement. |
Ptg. Ctf.—Participating Certificates. |
Restricted Securities as of Period End | ||
Security Name | Acquisition Date | Acquisition Cost ($000) |
You & Mr. Jones PP | September 2015 | 44,800 |
ANI Technologies Private Ltd. PP | December 2015 | 51,748 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 101 | 19,237 | (359) |
MSCI EAFE Index | March 2021 | 4,911 | 531,370 | (7,096) |
MSCI Emerging Markets Index | March 2021 | 3,891 | 260,327 | (12,417) |
(19,872) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $33,603,054) | 68,279,390 |
Affiliated Issuers (Cost $2,060,461) | 2,986,386 |
Total Investments in Securities | 71,265,776 |
Investment in Vanguard | 2,725 |
Cash Collateral Pledged—Futures Contracts | 51,153 |
Foreign Currency, at Value (Cost $55,358) | 56,132 |
Receivables for Investment Securities Sold | 20,791 |
Receivables for Accrued Income | 77,940 |
Receivables for Capital Shares Issued | 76,176 |
Other Assets | 421 |
Total Assets | 71,551,114 |
Liabilities | |
Due to Custodian | 69,055 |
Payables for Investment Securities Purchased | 72,341 |
Collateral for Securities on Loan | 133,364 |
Payables to Investment Advisor | 29,531 |
Payables for Capital Shares Redeemed | 30,992 |
Payables to Vanguard | 6,011 |
Variation Margin Payable—Futures Contracts | 10,746 |
Deferred Foreign Capital Gain Taxes | 21,521 |
Total Liabilities | 373,561 |
Net Assets | 71,177,553 |
Statement of Assets and Liabilities (continued) | |
At February 28, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 31,325,908 |
Total Distributable Earnings (Loss) | 39,851,645 |
Net Assets | 71,177,553 |
Investor Shares—Net Assets | |
Applicable to 212,462,339 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,951,938 |
Net Asset Value Per Share—Investor Shares | $51.55 |
Admiral Shares—Net Assets | |
Applicable to 367,259,382 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 60,225,615 |
Net Asset Value Per Share—Admiral Shares | $163.99 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers1 | 184,348 |
Dividends—Affiliated Issuers | — |
Interest—Unaffiliated Issuers | 50 |
Interest—Affiliated Issuers | 615 |
Securities Lending—Net | 9,823 |
Total Income | 194,836 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 45,008 |
Performance Adjustment | 9,255 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 12,208 |
Management and Administrative—Admiral Shares | 38,034 |
Marketing and Distribution—Investor Shares | 402 |
Marketing and Distribution—Admiral Shares | 1,049 |
Custodian Fees | 1,368 |
Shareholders’ Reports—Investor Shares | 29 |
Shareholders’ Reports—Admiral Shares | 69 |
Trustees’ Fees and Expenses | 19 |
Total Expenses | 107,441 |
Net Investment Income | 87,395 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers | 4,413,286 |
Investment Securities Sold—Affiliated Issuers | 100 |
Futures Contracts | 144,481 |
Forward Currency Contracts | (519) |
Foreign Currencies | (285) |
Realized Net Gain (Loss) | 4,557,063 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers2 | 7,755,758 |
Investment Securities—Affiliated Issuers | 527,172 |
Futures Contracts | (32,307) |
Forward Currency Contracts | 519 |
Foreign Currencies | 47 |
Change in Unrealized Appreciation (Depreciation) | 8,251,189 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,895,647 |
1 | Dividends are net of foreign withholding taxes of $20,019,000. |
2 | The change in unrealized appreciation (depreciation) is net of the change in deferred foreign capital gains taxes of $21,521,000. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 87,395 | 338,623 | |
Realized Net Gain (Loss) | 4,557,063 | 1,295,635 | |
Change in Unrealized Appreciation (Depreciation) | 8,251,189 | 17,702,794 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,895,647 | 19,337,052 | |
Distributions | |||
Investor Shares | (233,493) | (94,219) | |
Admiral Shares | (1,364,832) | (424,749) | |
Total Distributions | (1,598,325) | (518,968) | |
Capital Share Transactions | |||
Investor Shares | (439,167) | (760,869) | |
Admiral Shares | 3,755,414 | 2,901,570 | |
Net Increase (Decrease) from Capital Share Transactions | 3,316,247 | 2,140,701 | |
Total Increase (Decrease) | 14,613,569 | 20,958,785 | |
Net Assets | |||
Beginning of Period | 56,563,984 | 35,605,199 | |
End of Period | 71,177,553 | 56,563,984 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $42.94 | $28.30 | $31.23 | $28.38 | $22.38 | $20.83 |
Investment Operations | ||||||
Net Investment Income | .0441 | .2381 | .3421 | .3811 | .2401 | .304 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.716 | 14.791 | (1.941) | 2.722 | 6.028 | 1.539 |
Total from Investment Operations | 9.760 | 15.029 | (1.599) | 3.103 | 6.268 | 1.843 |
Distributions | ||||||
Dividends from Net Investment Income | (.106) | (.389) | (.403) | (.253) | (.268) | (.293) |
Distributions from Realized Capital Gains | (1.044) | — | (.928) | — | — | — |
Total Distributions | (1.150) | (.389) | (1.331) | (.253) | (.268) | (.293) |
Net Asset Value, End of Period | $51.55 | $42.94 | $28.30 | $31.23 | $28.38 | $22.38 |
Total Return2 | 22.86% | 53.60% | -4.58% | 10.97% | 28.43% | 8.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,952 | $9,658 | $7,056 | $8,074 | $7,731 | $6,700 |
Ratio of Total Expenses to Average Net Assets3 | 0.43% | 0.44% | 0.43% | 0.45% | 0.45% | 0.46% |
Ratio of Net Investment Income to Average Net Assets | 0.18% | 0.74% | 1.23% | 1.25% | 1.01% | 1.47% |
Portfolio Turnover Rate | 13% | 20% | 13% | 16% | 15% | 29% |
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 transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction or account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of 0.03%, 0.04%, 0.03%, 0.03%, 0.03%, and 0.04% |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $136.68 | $90.05 | $99.45 | $90.24 | $71.19 | $66.28 |
Investment Operations | ||||||
Net Investment Income | .2211 | .8631 | 1.2031 | 1.3651 | .8791 | 1.062 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.912 | 47.105 | (6.230) | 8.652 | 19.127 | 4.877 |
Total from Investment Operations | 31.133 | 47.968 | (5.027) | 10.017 | 20.006 | 5.939 |
Distributions | ||||||
Dividends from Net Investment Income | (.497) | (1.338) | (1.418) | (.807) | (.956) | (1.029) |
Distributions from Realized Capital Gains | (3.326) | — | (2.955) | — | — | — |
Total Distributions | (3.823) | (1.338) | (4.373) | (.807) | (.956) | (1.029) |
Net Asset Value, End of Period | $163.99 | $136.68 | $90.05 | $99.45 | $90.24 | $71.19 |
Total Return2 | 22.91% | 53.81% | -4.50% | 11.14% | 28.57% | 9.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $60,226 | $46,906 | $28,549 | $29,170 | $23,101 | $15,704 |
Ratio of Total Expenses to Average Net Assets3 | 0.32% | 0.33% | 0.32% | 0.32% | 0.32% | 0.33% |
Ratio of Net Investment Income to Average Net Assets | 0.29% | 0.83% | 1.34% | 1.38% | 1.14% | 1.60% |
Portfolio Turnover Rate | 13% | 20% | 13% | 16% | 15% | 29% |
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 transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction or account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of 0.03%, 0.04%, 0.03%, 0.03%, 0.03%, and 0.04% |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | The investment advisory firms Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc. each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc. are subject to quarterly adjustments based on performance relative to the MSCI All Country World Index ex USA for the preceding three years. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund 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. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 12,395,743 | — | — | 12,395,743 |
Common Stocks—Other | 5,151,342 | 51,862,265 | 30,496 | 57,044,103 |
Preferred Stock | — | — | 143,808 | 143,808 |
Temporary Cash Investments | 1,682,122 | — | — | 1,682,122 |
Total | 19,229,207 | 51,862,265 | 174,304 | 71,265,776 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 19,872 | — | — | 19,872 |
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 February 28, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities Caption | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Depreciation—Futures Contracts1 | 19,872 | — | 19,872 |
1Includes 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) on Derivatives | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 144,481 | — | 144,481 |
Forward Currency Contracts | — | (519) | (519) |
Realized Net Gain (Loss) on Derivatives | 144,481 | (519) | 143,962 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (32,307) | — | (32,307) |
Forward Currency Contracts | — | 519 | 519 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (32,307) | 519 | (31,788) |
F. | As of February 28, 2021, 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 | 35,711,470 |
Gross Unrealized Appreciation | 36,276,159 |
Gross Unrealized Depreciation | (741,725) |
Net Unrealized Appreciation (Depreciation) | 35,534,434 |
G. | During the six months ended February 28, 2021, the fund purchased $9,727,220,000 of investment securities and sold $7,970,990,000 of investment securities, other than temporary cash investments. |
H. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 1,711,731 | 34,483 | 1,336,137 | 39,787 | |
Issued in Lieu of Cash Distributions | 223,098 | 4,530 | 90,043 | 2,857 | |
Redeemed | (2,373,996) | (51,437) | (2,187,049) | (67,132) | |
Net Increase (Decrease)—Investor Shares | (439,167) | (12,424) | (760,869) | (24,488) | |
Admiral Shares | |||||
Issued | 8,924,639 | 57,937 | 7,810,043 | 74,363 | |
Issued in Lieu of Cash Distributions | 1,227,492 | 7,836 | 382,469 | 3,816 | |
Redeemed | (6,396,717) | (41,697) | (5,290,942) | (52,026) | |
Net Increase (Decrease)—Admiral Shares | 3,755,414 | 24,076 | 2,901,570 | 26,153 |
I. | Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows: |
Current Period Transactions | ||||||||
Aug. 31, 2020 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Feb. 28, 2021 Market Value ($000) | |
HelloFresh SE | 543,702 | — | — | — | 276,211 | — | — | 819,913 |
Home24 SE | 23,358 | 4,336 | — | — | 14,872 | — | — | 42,566 |
Jumia Technologies AG ADR | 61,801 | — | — | — | 236,176 | — | — | 297,977 |
Vanguard Market Liquidity Fund | 1,795,364 | NA1 | NA1 | 100 | (87) | 615 | — | 1,682,122 |
You & Mr. Jones PP | 143,808 | — | — | — | — | — | — | 143,808 |
Total | 2,568,033 | 100 | 527,172 | 615 | — | 2,986,386 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
J. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
FTSE Social Index Fund | Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | |||
Admiral™ Shares | $1,000.00 | $1,091.50 | $0.73 |
Institutional Shares | 1,000.00 | 1,091.40 | 0.62 |
Based on Hypothetical 5% Yearly Return | |||
Admiral Shares | $1,000.00 | $1,024.10 | $0.70 |
Institutional Shares | 1,000.00 | 1,024.20 | 0.60 |
Basic Materials | 1.7% |
Consumer Discretionary | 18.0 |
Consumer Staples | 5.0 |
Financials | 10.6 |
Health Care | 13.4 |
Industrials | 11.1 |
Real Estate | 2.9 |
Technology | 32.5 |
Telecommunications | 3.9 |
Utilities | 0.9 |
Shares | Market Value• ($000) | ||
Common Stocks (99.7%) | |||
Basic Materials (1.7%) | |||
Linde plc | 208,077 | 50,827 | |
Air Products and Chemicals Inc. | 87,443 | 22,352 | |
Dow Inc. | 294,400 | 17,461 | |
Newmont Corp. | 318,226 | 17,305 | |
International Flavors & Fragrances Inc. | 98,453 | 13,341 | |
Fastenal Co. | 227,286 | 10,539 | |
LyondellBasell Industries NV Class A | 100,878 | 10,399 | |
International Paper Co. | 155,300 | 7,711 | |
Nucor Corp. | 119,194 | 7,130 | |
Albemarle Corp. | 45,118 | 7,093 | |
Celanese Corp. Class A | 46,200 | 6,418 | |
Eastman Chemical Co. | 53,800 | 5,878 | |
Avery Dennison Corp. | 33,140 | 5,806 | |
FMC Corp. | 51,210 | 5,208 | |
CF Industries Holdings Inc. | 83,139 | 3,765 | |
Steel Dynamics Inc. | 78,000 | 3,243 | |
Westlake Chemical Corp. | 13,200 | 1,130 | |
195,606 | |||
Consumer Discretionary (18.0%) | |||
* | Amazon.com Inc. | 167,910 | 519,334 |
* | Tesla Inc. | 299,480 | 202,299 |
Walt Disney Co. | 715,896 | 135,333 | |
Home Depot Inc. | 425,686 | 109,972 | |
* | Netflix Inc. | 168,461 | 90,775 |
NIKE Inc. Class B | 485,682 | 65,460 | |
McDonald's Corp. | 294,932 | 60,797 | |
Costco Wholesale Corp. | 174,810 | 57,862 | |
Starbucks Corp. | 463,154 | 50,034 | |
Lowe's Cos. Inc. | 299,712 | 47,879 | |
* | Booking Holdings Inc. | 16,195 | 37,710 |
Target Corp. | 197,590 | 36,246 | |
TJX Cos. Inc. | 473,732 | 31,262 | |
* | MercadoLibre Inc. | 18,100 | 29,650 |
Activision Blizzard Inc. | 301,899 | 28,865 | |
* | Uber Technologies Inc. | 545,300 | 28,219 |
Estee Lauder Cos. Inc. Class A | 87,731 | 25,079 | |
Dollar General Corp. | 99,683 | 18,839 | |
Ford Motor Co. | 1,546,347 | 18,092 |
Shares | Market Value• ($000) | ||
Ross Stores Inc. | 137,770 | 16,069 | |
* | Chipotle Mexican Grill Inc. Class A | 11,004 | 15,868 |
* | Spotify Technology SA | 51,600 | 15,861 |
Aptiv plc | 105,657 | 15,832 | |
Electronic Arts Inc. | 112,635 | 15,090 | |
eBay Inc. | 258,900 | 14,607 | |
* | Lululemon Athletica Inc. | 44,741 | 13,945 |
ViacomCBS Inc. Class B | 214,601 | 13,840 | |
* | O'Reilly Automotive Inc. | 28,395 | 12,702 |
Yum! Brands Inc. | 119,400 | 12,361 | |
* | AutoZone Inc. | 9,211 | 10,684 |
* | Etsy Inc. | 46,800 | 10,309 |
VF Corp. | 127,943 | 10,124 | |
DR Horton Inc. | 129,912 | 9,986 | |
Yum China Holdings Inc. | 159,382 | 9,537 | |
* | Dollar Tree Inc. | 92,276 | 9,061 |
Best Buy Co. Inc. | 89,723 | 9,004 | |
* | Copart Inc. | 80,800 | 8,820 |
Lennar Corp. Class A | 104,641 | 8,682 | |
Expedia Group Inc. | 53,390 | 8,596 | |
* | Take-Two Interactive Software Inc. | 44,800 | 8,264 |
* | Wayfair Inc. Class A | 27,900 | 8,062 |
* | CarMax Inc. | 64,164 | 7,668 |
Garmin Ltd. | 58,928 | 7,308 | |
Tractor Supply Co. | 45,638 | 7,255 | |
Darden Restaurants Inc. | 51,367 | 7,054 | |
* | Ulta Beauty Inc. | 21,339 | 6,878 |
* | Burlington Stores Inc. | 25,600 | 6,626 |
* | NVR Inc. | 1,340 | 6,031 |
Genuine Parts Co. | 55,709 | 5,869 | |
* | Discovery Inc. Class C | 130,398 | 5,868 |
Omnicom Group Inc. | 84,433 | 5,803 | |
* | Lyft Inc. Class A | 98,000 | 5,459 |
Domino's Pizza Inc. | 15,400 | 5,336 | |
* | Live Nation Entertainment Inc. | 56,500 | 5,021 |
Vail Resorts Inc. | 15,900 | 4,916 | |
* | LKQ Corp. | 120,691 | 4,754 |
Hasbro Inc. | 50,700 | 4,751 | |
PulteGroup Inc. | 104,380 | 4,709 | |
Whirlpool Corp. | 24,318 | 4,622 | |
Fortune Brands Home & Security Inc. | 54,831 | 4,559 | |
BorgWarner Inc. | 97,590 | 4,392 | |
Fox Corp. Class A | 126,530 | 4,215 | |
Advance Auto Parts Inc. | 26,125 | 4,189 | |
* | Mohawk Industries Inc. | 23,243 | 4,067 |
Interpublic Group of Cos. Inc. | 155,013 | 4,049 | |
Lear Corp. | 23,256 | 3,863 | |
Newell Brands Inc. | 153,927 | 3,566 | |
Southwest Airlines Co. | 59,472 | 3,457 | |
News Corp. Class A | 145,200 | 3,405 | |
Gentex Corp. | 94,945 | 3,359 | |
Aramark | 88,587 | 3,288 | |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 73,200 | 3,230 |
Autoliv Inc. | 35,045 | 3,154 | |
Nielsen Holdings plc | 138,359 | 3,101 |
Shares | Market Value• ($000) | ||
Delta Air Lines Inc. | 62,359 | 2,989 | |
* | Discovery Inc. Class A | 55,066 | 2,920 |
Rollins Inc. | 86,700 | 2,876 | |
Sirius XM Holdings Inc. | 444,600 | 2,601 | |
Fox Corp. Class B | 64,872 | 2,071 | |
* | United Airlines Holdings Inc. | 28,541 | 1,503 |
News Corp. Class B | 58,100 | 1,332 | |
* | Liberty Media Corp.- Liberty SiriusXM Class A | 29,200 | 1,297 |
American Airlines Group Inc. | 52,994 | 1,110 | |
Lennar Corp. Class B | 8,300 | 549 | |
2,032,081 | |||
Consumer Staples (5.0%) | |||
Procter & Gamble Co. | 965,047 | 119,212 | |
Coca-Cola Co. | 1,531,400 | 75,023 | |
PepsiCo Inc. | 549,800 | 71,029 | |
CVS Health Corp. | 517,116 | 35,231 | |
Mondelez International Inc. Class A | 558,327 | 29,681 | |
Colgate-Palmolive Co. | 333,566 | 25,084 | |
Kimberly-Clark Corp. | 133,950 | 17,190 | |
Sysco Corp. | 191,592 | 15,257 | |
Walgreens Boots Alliance Inc. | 286,380 | 13,726 | |
Corteva Inc. | 296,800 | 13,401 | |
General Mills Inc. | 239,999 | 13,202 | |
* | Monster Beverage Corp. | 145,945 | 12,805 |
McKesson Corp. | 63,976 | 10,845 | |
Kroger Co. | 308,100 | 9,924 | |
Kraft Heinz Co. | 257,773 | 9,378 | |
Clorox Co. | 49,642 | 8,988 | |
Hershey Co. | 58,168 | 8,472 | |
McCormick & Co. Inc. | 97,828 | 8,245 | |
Church & Dwight Co. Inc. | 97,796 | 7,701 | |
Tyson Foods Inc. Class A | 113,454 | 7,677 | |
Conagra Brands Inc. | 192,604 | 6,535 | |
AmerisourceBergen Corp. Class A | 57,748 | 5,845 | |
Kellogg Co. | 99,475 | 5,741 | |
Keurig Dr Pepper Inc. | 177,506 | 5,418 | |
Hormel Foods Corp. | 110,725 | 5,134 | |
J M Smucker Co. | 43,853 | 4,912 | |
Lamb Weston Holdings Inc. | 58,118 | 4,636 | |
Bunge Ltd. | 54,099 | 4,143 | |
Coca-Cola European Partners plc | 79,498 | 4,050 | |
Campbell Soup Co. | 76,008 | 3,457 | |
Ingredion Inc. | 26,146 | 2,358 | |
* | Herbalife Nutrition Ltd. | 35,029 | 1,576 |
565,876 | |||
Financials (10.6%) | |||
JPMorgan Chase & Co. | 1,199,518 | 176,533 | |
Bank of America Corp. | 3,063,331 | 106,328 | |
Citigroup Inc. | 824,977 | 54,350 | |
Morgan Stanley | 553,892 | 42,578 | |
Goldman Sachs Group Inc. | 131,283 | 41,942 | |
BlackRock Inc. | 58,212 | 40,428 | |
Charles Schwab Corp. | 544,542 | 33,609 | |
S&P Global Inc. | 95,353 | 31,405 | |
Truist Financial Corp. | 532,973 | 30,358 |
Shares | Market Value• ($000) | ||
Chubb Ltd. | 177,857 | 28,916 | |
PNC Financial Services Group Inc. | 167,898 | 28,267 | |
CME Group Inc. | 140,445 | 28,047 | |
U.S. Bancorp | 538,231 | 26,912 | |
Intercontinental Exchange Inc. | 219,032 | 24,161 | |
Marsh & McLennan Cos. Inc. | 200,291 | 23,078 | |
Aon plc Class A | 89,843 | 20,458 | |
Progressive Corp. | 231,470 | 19,895 | |
Moody's Corp. | 64,380 | 17,697 | |
MetLife Inc. | 303,620 | 17,489 | |
American International Group Inc. | 341,048 | 14,989 | |
Travelers Cos. Inc. | 100,005 | 14,551 | |
T Rowe Price Group Inc. | 89,298 | 14,479 | |
IHS Markit Ltd. | 156,929 | 14,149 | |
Prudential Financial Inc. | 156,525 | 13,574 | |
MSCI Inc. Class A | 32,250 | 13,368 | |
Bank of New York Mellon Corp. | 315,762 | 13,313 | |
Aflac Inc. | 275,122 | 13,176 | |
Allstate Corp. | 120,098 | 12,802 | |
Discover Financial Services | 121,577 | 11,437 | |
First Republic Bank | 68,537 | 11,291 | |
Willis Towers Watson plc | 51,026 | 11,258 | |
Ameriprise Financial Inc. | 46,846 | 10,364 | |
* | SVB Financial Group | 20,400 | 10,309 |
State Street Corp. | 139,763 | 10,171 | |
KKR & Co. Inc. | 213,600 | 9,732 | |
Fifth Third Bancorp | 279,682 | 9,702 | |
Arthur J Gallagher & Co. | 75,089 | 8,996 | |
MarketAxess Holdings Inc. | 14,500 | 8,061 | |
Regions Financial Corp. | 378,883 | 7,816 | |
KeyCorp. | 383,573 | 7,725 | |
M&T Bank Corp. | 50,539 | 7,628 | |
Citizens Financial Group Inc. | 168,341 | 7,313 | |
Northern Trust Corp. | 75,710 | 7,202 | |
Hartford Financial Services Group Inc. | 141,325 | 7,164 | |
Broadridge Financial Solutions Inc. | 45,288 | 6,453 | |
Nasdaq Inc. | 45,356 | 6,272 | |
Ally Financial Inc. | 148,048 | 6,144 | |
Huntington Bancshares Inc. | 399,737 | 6,132 | |
Principal Financial Group Inc. | 107,645 | 6,091 | |
Cincinnati Financial Corp. | 59,551 | 5,828 | |
* | Markel Corp. | 5,352 | 5,827 |
Raymond James Financial Inc. | 48,766 | 5,693 | |
* | Arch Capital Group Ltd. | 155,872 | 5,583 |
Credicorp Ltd. | 31,900 | 5,104 | |
Equitable Holdings Inc. | 159,711 | 4,723 | |
Annaly Capital Management Inc. | 559,933 | 4,653 | |
FactSet Research Systems Inc. | 14,800 | 4,498 | |
Lincoln National Corp. | 76,883 | 4,372 | |
Brown & Brown Inc. | 94,000 | 4,315 | |
Cboe Global Markets Inc. | 43,100 | 4,265 | |
Fidelity National Financial Inc. | 109,213 | 4,181 | |
Everest Re Group Ltd. | 15,801 | 3,821 | |
Comerica Inc. | 55,604 | 3,787 | |
W R Berkley Corp. | 54,231 | 3,760 |
Shares | Market Value• ($000) | ||
Globe Life Inc. | 40,205 | 3,755 | |
Alleghany Corp. | 5,368 | 3,470 | |
AGNC Investment Corp. | 211,990 | 3,398 | |
RenaissanceRe Holdings Ltd. | 20,318 | 3,393 | |
Zions Bancorp NA | 63,146 | 3,357 | |
Commerce Bancshares Inc. | 41,077 | 3,041 | |
Voya Financial Inc. | 49,153 | 2,963 | |
Assurant Inc. | 22,918 | 2,824 | |
Franklin Resources Inc. | 105,200 | 2,753 | |
SEI Investments Co. | 43,731 | 2,449 | |
Santander Consumer USA Holdings Inc. | 27,998 | 700 | |
CNA Financial Corp. | 10,900 | 464 | |
1,197,090 | |||
Health Care (13.3%) | |||
UnitedHealth Group Inc. | 373,963 | 124,238 | |
Abbott Laboratories | 684,534 | 81,994 | |
AbbVie Inc. | 697,919 | 75,194 | |
Pfizer Inc. | 2,203,166 | 73,784 | |
Merck & Co. Inc. | 1,000,845 | 72,681 | |
Thermo Fisher Scientific Inc. | 156,510 | 70,442 | |
Eli Lilly and Co. | 333,753 | 68,383 | |
Medtronic plc | 531,461 | 62,165 | |
Bristol-Myers Squibb Co. | 897,326 | 55,033 | |
Danaher Corp. | 248,067 | 54,493 | |
Amgen Inc. | 230,952 | 51,946 | |
* | Intuitive Surgical Inc. | 45,839 | 33,774 |
Stryker Corp. | 136,990 | 33,246 | |
Gilead Sciences Inc. | 496,781 | 30,502 | |
Anthem Inc. | 98,585 | 29,890 | |
Cigna Corp. | 140,226 | 29,433 | |
Zoetis Inc. | 187,986 | 29,183 | |
Becton Dickinson and Co. | 109,277 | 26,352 | |
* | Illumina Inc. | 58,005 | 25,488 |
* | Boston Scientific Corp. | 566,375 | 21,964 |
* | Vertex Pharmaceuticals Inc. | 102,720 | 21,833 |
* | Edwards Lifesciences Corp. | 244,139 | 20,288 |
Humana Inc. | 52,436 | 19,907 | |
HCA Healthcare Inc. | 105,666 | 18,178 | |
* | Align Technology Inc. | 30,948 | 17,551 |
* | Moderna Inc. | 113,200 | 17,525 |
* | IDEXX Laboratories Inc. | 33,291 | 17,317 |
* | Regeneron Pharmaceuticals Inc. | 38,149 | 17,189 |
* | Biogen Inc. | 60,885 | 16,614 |
Baxter International Inc. | 201,146 | 15,627 | |
* | Veeva Systems Inc. Class A | 53,400 | 14,958 |
Agilent Technologies Inc. | 121,925 | 14,883 | |
* | DexCom Inc. | 36,400 | 14,479 |
* | IQVIA Holdings Inc. | 75,067 | 14,472 |
Zimmer Biomet Holdings Inc. | 81,872 | 13,350 | |
* | Centene Corp. | 227,458 | 13,315 |
* | Alexion Pharmaceuticals Inc. | 84,198 | 12,861 |
ResMed Inc. | 56,924 | 10,974 | |
* | Teladoc Health Inc. | 42,600 | 9,418 |
* | Laboratory Corp. of America Holdings | 38,157 | 9,154 |
Cerner Corp. | 119,872 | 8,288 |
Shares | Market Value• ($000) | ||
West Pharmaceutical Services Inc. | 28,900 | 8,111 | |
* | Exact Sciences Corp. | 58,600 | 7,977 |
* | Seagen Inc. | 49,900 | 7,540 |
Cooper Cos. Inc. | 19,319 | 7,460 | |
Teleflex Inc. | 18,400 | 7,325 | |
* | Hologic Inc. | 101,027 | 7,283 |
* | Viatris Inc. | 477,713 | 7,094 |
* | Alnylam Pharmaceuticals Inc. | 45,488 | 6,737 |
* | Varian Medical Systems Inc. | 35,863 | 6,286 |
Quest Diagnostics Inc. | 52,797 | 6,103 | |
Cardinal Health Inc. | 115,713 | 5,962 | |
* | Elanco Animal Health Inc. (XNYS) | 180,407 | 5,928 |
STERIS plc | 33,200 | 5,803 | |
* | ABIOMED Inc. | 17,580 | 5,706 |
* | Incyte Corp. | 72,056 | 5,668 |
* | BioMarin Pharmaceutical Inc. | 71,514 | 5,537 |
* | Bio-Rad Laboratories Inc. Class A | 8,400 | 4,910 |
* | Masimo Corp. | 19,500 | 4,889 |
DENTSPLY SIRONA Inc. | 86,899 | 4,612 | |
Universal Health Services Inc. Class B | 29,470 | 3,694 | |
* | Jazz Pharmaceuticals plc | 21,054 | 3,538 |
* | Henry Schein Inc. | 55,554 | 3,436 |
* | DaVita Inc. | 29,723 | 3,036 |
* | Sarepta Therapeutics Inc. | 29,100 | 2,533 |
Perrigo Co. plc | 53,108 | 2,143 | |
1,507,677 | |||
Industrials (11.1%) | |||
Visa Inc. Class A | 668,688 | 142,023 | |
Mastercard Inc. Class A | 349,462 | 123,657 | |
* | PayPal Holdings Inc. | 465,267 | 120,900 |
Accenture plc Class A | 252,463 | 63,343 | |
Union Pacific Corp. | 268,889 | 55,380 | |
Caterpillar Inc. | 214,520 | 46,311 | |
United Parcel Service Inc. Class B | 283,809 | 44,794 | |
Deere & Co. | 124,146 | 43,342 | |
American Express Co. | 258,542 | 34,970 | |
Fidelity National Information Services Inc. | 244,307 | 33,714 | |
* | Square Inc. Class A | 146,000 | 33,584 |
Automatic Data Processing Inc. | 170,096 | 29,600 | |
CSX Corp. | 301,626 | 27,614 | |
* | Fiserv Inc. | 227,326 | 26,227 |
Illinois Tool Works Inc. | 124,734 | 25,219 | |
FedEx Corp. | 95,721 | 24,361 | |
Global Payments Inc. | 117,924 | 23,348 | |
Sherwin-Williams Co. | 32,654 | 22,216 | |
Capital One Financial Corp. | 179,782 | 21,608 | |
Johnson Controls International plc | 286,949 | 16,009 | |
DuPont de Nemours Inc. | 211,885 | 14,900 | |
Trane Technologies plc | 94,360 | 14,460 | |
PACCAR Inc. | 134,379 | 12,227 | |
Paychex Inc. | 127,500 | 11,611 | |
Cintas Corp. | 34,900 | 11,319 | |
Rockwell Automation Inc. | 45,568 | 11,086 | |
Stanley Black & Decker Inc. | 61,205 | 10,701 | |
* | Keysight Technologies Inc. | 74,266 | 10,510 |
Shares | Market Value• ($000) | ||
* | Zebra Technologies Corp. Class A | 20,800 | 10,388 |
* | Mettler-Toledo International Inc. | 9,287 | 10,365 |
Verisk Analytics Inc. Class A | 62,795 | 10,289 | |
* | FleetCor Technologies Inc. | 32,800 | 9,096 |
Synchrony Financial | 229,353 | 8,871 | |
Vulcan Materials Co. | 52,006 | 8,684 | |
Martin Marietta Materials Inc. | 24,590 | 8,284 | |
Old Dominion Freight Line Inc. | 38,475 | 8,263 | |
Kansas City Southern | 36,751 | 7,804 | |
* | Trimble Inc. | 98,450 | 7,299 |
Xylem Inc. | 70,653 | 7,034 | |
Dover Corp. | 56,818 | 7,003 | |
* | Waters Corp. | 24,209 | 6,630 |
WW Grainger Inc. | 17,647 | 6,577 | |
TransUnion | 75,100 | 6,324 | |
Expeditors International of Washington Inc. | 66,687 | 6,124 | |
IDEX Corp. | 29,800 | 5,816 | |
Masco Corp. | 103,900 | 5,530 | |
Westinghouse Air Brake Technologies Corp. | 71,901 | 5,208 | |
* | Fair Isaac Corp. | 11,200 | 5,125 |
Packaging Corp. of America | 37,320 | 4,927 | |
JB Hunt Transport Services Inc. | 33,451 | 4,913 | |
CH Robinson Worldwide Inc. | 52,797 | 4,797 | |
Jack Henry & Associates Inc. | 30,400 | 4,513 | |
Westrock Co. | 102,000 | 4,446 | |
Snap-on Inc. | 21,519 | 4,371 | |
* | XPO Logistics Inc. | 36,300 | 4,233 |
Allegion plc | 36,959 | 4,020 | |
Western Union Co. | 159,627 | 3,706 | |
Robert Half International Inc. | 44,607 | 3,470 | |
1,249,144 | |||
Real Estate (2.9%) | |||
American Tower Corp. | 174,485 | 37,711 | |
Prologis Inc. | 291,238 | 28,853 | |
Crown Castle International Corp. | 164,494 | 25,620 | |
Equinix Inc. | 35,210 | 22,828 | |
Digital Realty Trust Inc. | 110,246 | 14,853 | |
Public Storage | 59,637 | 13,952 | |
* | CoStar Group Inc. | 15,403 | 12,688 |
Welltower Inc. | 165,837 | 11,260 | |
SBA Communications Corp. Class A | 43,900 | 11,200 | |
* | CBRE Group Inc. Class A | 131,274 | 9,947 |
AvalonBay Communities Inc. | 55,321 | 9,723 | |
Equity Residential | 145,115 | 9,492 | |
* | Zillow Group Inc. Class C | 57,400 | 9,260 |
Alexandria Real Estate Equities Inc. | 52,680 | 8,412 | |
Realty Income Corp. | 138,302 | 8,334 | |
Ventas Inc. | 147,198 | 7,787 | |
Invitation Homes Inc. | 221,441 | 6,453 | |
Sun Communities Inc. | 41,900 | 6,367 | |
Extra Space Storage Inc. | 50,000 | 6,285 | |
Healthpeak Properties Inc. | 213,150 | 6,201 | |
Boston Properties Inc. | 61,667 | 6,113 | |
Mid-America Apartment Communities Inc. | 45,126 | 6,080 | |
Duke Realty Corp. | 146,002 | 5,731 |
Shares | Market Value• ($000) | ||
UDR Inc. | 116,433 | 4,794 | |
WP Carey Inc. | 67,700 | 4,640 | |
Host Hotels & Resorts Inc. | 278,900 | 4,627 | |
Equity LifeStyle Properties Inc. | 69,400 | 4,279 | |
Iron Mountain Inc. | 114,724 | 3,991 | |
* | Zillow Group Inc. Class A | 23,050 | 3,914 |
Regency Centers Corp. | 67,402 | 3,692 | |
VEREIT Inc. | 85,018 | 3,316 | |
Kimco Realty Corp. | 166,644 | 3,055 | |
Federal Realty Investment Trust | 29,400 | 2,974 | |
Vornado Realty Trust | 68,358 | 2,935 | |
327,367 | |||
Technology (32.4%) | |||
Apple Inc. | 6,392,064 | 775,102 | |
Microsoft Corp. | 2,965,878 | 689,211 | |
* | Facebook Inc. Class A | 951,177 | 245,042 |
* | Alphabet Inc. Class A | 118,891 | 240,387 |
* | Alphabet Inc. Class C | 115,136 | 234,516 |
NVIDIA Corp. | 233,839 | 128,279 | |
Intel Corp. | 1,624,987 | 98,767 | |
* | Adobe Inc. | 190,560 | 87,595 |
* | salesforce.com Inc. | 347,361 | 75,204 |
Broadcom Inc. | 156,504 | 73,537 | |
Texas Instruments Inc. | 363,695 | 62,654 | |
QUALCOMM Inc. | 445,879 | 60,724 | |
Oracle Corp. | 746,951 | 48,186 | |
Applied Materials Inc. | 363,092 | 42,914 | |
International Business Machines Corp. | 351,460 | 41,799 | |
* | ServiceNow Inc. | 77,033 | 41,094 |
* | Micron Technology Inc. | 439,670 | 40,243 |
* | Advanced Micro Devices Inc. | 473,471 | 40,013 |
Intuit Inc. | 99,838 | 38,951 | |
Lam Research Corp. | 57,371 | 32,540 | |
* | Zoom Video Communications Inc. Class A | 67,600 | 25,256 |
* | Autodesk Inc. | 86,704 | 23,930 |
* | Twitter Inc. | 308,499 | 23,773 |
Analog Devices Inc. | 145,590 | 22,686 | |
* | Twilio Inc. Class A | 56,876 | 22,345 |
NXP Semiconductors NV | 110,348 | 20,144 | |
KLA Corp. | 61,550 | 19,156 | |
* | Workday Inc. Class A | 69,856 | 17,127 |
* | DocuSign Inc. Class A | 70,700 | 16,025 |
HP Inc. | 542,787 | 15,725 | |
Cognizant Technology Solutions Corp. Class A | 212,237 | 15,595 | |
* | Cadence Design Systems Inc. | 108,800 | 15,351 |
Microchip Technology Inc. | 98,700 | 15,065 | |
* | Synopsys Inc. | 59,615 | 14,618 |
* | Palo Alto Networks Inc. | 36,818 | 13,192 |
Marvell Technology Group Ltd. | 263,800 | 12,736 | |
Xilinx Inc. | 96,475 | 12,571 | |
* | Atlassian Corp. plc Class A | 52,000 | 12,360 |
* | Okta Inc. | 45,500 | 11,896 |
* | RingCentral Inc. Class A | 31,200 | 11,799 |
Skyworks Solutions Inc. | 66,047 | 11,744 | |
Maxim Integrated Products Inc. | 105,596 | 9,838 |
Shares | Market Value• ($000) | ||
* | Coupa Software Inc. | 27,000 | 9,349 |
* | Splunk Inc. | 62,458 | 8,932 |
* | Fortinet Inc. | 52,400 | 8,848 |
CDW Corp. | 55,908 | 8,771 | |
Teradyne Inc. | 65,100 | 8,373 | |
* | Dell Technologies Class C | 101,953 | 8,265 |
Western Digital Corp. | 120,123 | 8,232 | |
* | Qorvo Inc. | 45,000 | 7,863 |
* | EPAM Systems Inc. | 21,000 | 7,846 |
* | VeriSign Inc. | 39,849 | 7,732 |
* | Yandex NV Class A | 117,720 | 7,532 |
Hewlett Packard Enterprise Co. | 509,361 | 7,416 | |
* | Paycom Software Inc. | 19,500 | 7,298 |
* | Wix.com Ltd. | 19,100 | 6,658 |
Citrix Systems Inc. | 48,738 | 6,510 | |
Seagate Technology plc | 88,871 | 6,508 | |
* | Arista Networks Inc. | 23,242 | 6,504 |
* | Slack Technologies Inc. Class A | 151,000 | 6,180 |
* | Gartner Inc. | 34,200 | 6,123 |
* | Akamai Technologies Inc. | 63,303 | 5,982 |
* | Zscaler Inc. | 28,600 | 5,864 |
* | Datadog Inc. Class A | 60,200 | 5,744 |
* | PTC Inc. | 41,300 | 5,656 |
NetApp Inc. | 87,765 | 5,494 | |
* | GoDaddy Inc. Class A | 66,500 | 5,395 |
* | F5 Networks Inc. | 24,244 | 4,606 |
* | Check Point Software Technologies Ltd. | 41,658 | 4,592 |
*,1 | VMware Inc. Class A | 32,174 | 4,447 |
NortonLifeLock Inc. | 219,383 | 4,280 | |
Amdocs Ltd. | 51,025 | 3,868 | |
* | Flex Ltd. | 194,500 | 3,538 |
* | Arrow Electronics Inc. | 29,188 | 2,926 |
3,667,022 | |||
Telecommunications (3.8%) | |||
Comcast Corp. Class A | 1,794,990 | 94,632 | |
Verizon Communications Inc. | 1,641,080 | 90,752 | |
AT&T Inc. | 2,825,280 | 78,797 | |
Cisco Systems Inc. | 1,682,185 | 75,480 | |
* | Charter Communications Inc. Class A | 57,340 | 35,173 |
* | T-Mobile US Inc. | 217,623 | 26,108 |
Motorola Solutions Inc. | 67,286 | 11,807 | |
Lumen Technologies Inc. | 434,300 | 5,338 | |
* | Altice USA Inc. Class A | 113,900 | 3,828 |
* | Liberty Global plc Class C | 144,300 | 3,506 |
* | DISH Network Corp. Class A | 95,700 | 3,016 |
Juniper Networks Inc. | 127,625 | 2,971 | |
* | Liberty Global plc Class A | 72,200 | 1,778 |
433,186 | |||
Utilities (0.9%) | |||
Waste Management Inc. | 166,614 | 18,476 | |
Sempra Energy | 114,500 | 13,280 | |
American Water Works Co. Inc. | 71,797 | 10,187 | |
Consolidated Edison Inc. | 133,825 | 8,786 | |
PPL Corp. | 303,137 | 7,939 | |
Edison International | 141,400 | 7,634 |
Shares | Market Value• ($000) | ||
Republic Services Inc. Class A | 82,932 | 7,388 | |
AES Corp. | 261,200 | 6,937 | |
CMS Energy Corp. | 113,205 | 6,125 | |
Alliant Energy Corp. | 99,300 | 4,584 | |
Atmos Energy Corp. | 49,800 | 4,214 | |
CenterPoint Energy Inc. | 196,416 | 3,818 | |
NiSource Inc. | 148,792 | 3,214 | |
Avangrid Inc. | 21,839 | 999 | |
103,581 | |||
Total Common Stocks (Cost $6,671,659) | 11,278,630 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $21,188) | 211,879 | 21,188 |
Total Investments (99.9%) (Cost $6,692,847) | 11,299,818 | ||
Other Assets and Liabilities—Net (0.1%) | 7,628 | ||
Net Assets (100%) | 11,307,446 | ||
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 $3,607,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $3,837,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 135 | 25,712 | (320) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,671,659) | 11,278,630 |
Affiliated Issuers (Cost $21,188) | 21,188 |
Total Investments in Securities | 11,299,818 |
Investment in Vanguard | 414 |
Cash Collateral Pledged—Futures Contracts | 1,492 |
Receivables for Investment Securities Sold | 78 |
Receivables for Accrued Income | 9,767 |
Receivables for Capital Shares Issued | 22,373 |
Total Assets | 11,333,942 |
Liabilities | |
Due to Custodian | 79 |
Payables for Investment Securities Purchased | 17,559 |
Collateral for Securities on Loan | 3,837 |
Payables for Capital Shares Redeemed | 4,187 |
Payables to Vanguard | 707 |
Variation Margin Payable—Futures Contracts | 127 |
Total Liabilities | 26,496 |
Net Assets | 11,307,446 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 7,168,339 |
Total Distributable Earnings (Loss) | 4,139,107 |
Net Assets | 11,307,446 |
Admiral Shares—Net Assets | |
Applicable to 174,833,297 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,494,506 |
Net Asset Value Per Share—Admiral Shares | $37.15 |
Institutional Shares—Net Assets | |
Applicable to 179,985,295 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,812,940 |
Net Asset Value Per Share—Institutional Shares | $26.74 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 67,642 |
Interest2 | 15 |
Securities Lending—Net | 58 |
Total Income | 67,715 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 760 |
Management and Administrative—Admiral Shares | 3,369 |
Management and Administrative—Institutional Shares | 2,161 |
Marketing and Distribution—Admiral Shares | 146 |
Marketing and Distribution—Institutional Shares | 74 |
Custodian Fees | 36 |
Shareholders’ Reports—Admiral Shares | 29 |
Shareholders’ Reports—Institutional Shares | 11 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 6,588 |
Net Investment Income | 61,127 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (21,661) |
Futures Contracts | 2,986 |
Realized Net Gain (Loss) | (18,675) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 854,497 |
Futures Contracts | (591) |
Change in Unrealized Appreciation (Depreciation) | 853,906 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 896,358 |
1 | Dividends are net of foreign withholding taxes of $12,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 61,127 | 118,476 | |
Realized Net Gain (Loss) | (18,675) | (431,510) | |
Change in Unrealized Appreciation (Depreciation) | 853,906 | 2,226,427 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 896,358 | 1,913,393 | |
Distributions | |||
Investor Shares | — | (124) | |
Admiral Shares | (37,464) | (65,035) | |
Institutional Shares | (28,740) | (50,308) | |
Total Distributions | (66,204) | (115,467) | |
Capital Share Transactions | |||
Investor Shares | — | (59,575) | |
Admiral Shares | 718,725 | 804,650 | |
Institutional Shares | 449,871 | 528,553 | |
Net Increase (Decrease) from Capital Share Transactions | 1,168,596 | 1,273,628 | |
Total Increase (Decrease) | 1,998,750 | 3,071,554 | |
Net Assets | |||
Beginning of Period | 9,308,696 | 6,237,142 | |
End of Period | 11,307,446 | 9,308,696 |
Admiral Shares | |||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | February 7 , 20191 to August 31, 2019 |
2020 | |||
Net Asset Value, Beginning of Period | $34.27 | $27.27 | $25.00 |
Investment Operations | |||
Net Investment Income2 | .212 | .465 | .273 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.902 | 6.996 | 2.183 |
Total from Investment Operations | 3.114 | 7.461 | 2.456 |
Distributions | |||
Dividends from Net Investment Income | (.234) | (.461) | (.186) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.234) | (.461) | (.186) |
Net Asset Value, End of Period | $37.15 | $34.27 | $27.27 |
Total Return3 | 9.15% | 27.83% | 9.85% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $6,495 | $5,305 | $3,478 |
Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14%4 |
Ratio of Net Investment Income to Average Net Assets | 1.22% | 1.60% | 1.79%4 |
Portfolio Turnover Rate | 2% | 18% | 11%5,6 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
4 | Annualized. |
5 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
6 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $24.67 | $19.63 | $19.28 | $16.15 | $13.96 | $13.00 |
Investment Operations | ||||||
Net Investment Income | .1551 | .3391 | .3141 | .3051 | .2711 | .254 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.086 | 5.037 | .351 | 3.105 | 2.175 | 1.029 |
Total from Investment Operations | 2.241 | 5.376 | .665 | 3.410 | 2.446 | 1.283 |
Distributions | ||||||
Dividends from Net Investment Income | (.171) | (.336) | (.315) | (.280) | (.256) | (.323) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.171) | (.336) | (.315) | (.280) | (.256) | (.323) |
Net Asset Value, End of Period | $26.74 | $24.67 | $19.63 | $19.28 | $16.15 | $13.96 |
Total Return | 9.14% | 27.86% | 3.58% | 21.34% | 17.72% | 10.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,813 | $4,003 | $2,701 | $2,349 | $1,443 | $876 |
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 | 1.24% | 1.62% | 1.49% | 1.71% | 1.79% | 1.97% |
Portfolio Turnover Rate | 2% | 18% | 11%2 | 8%2 | 11%2 | 16%2 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of February 28, 2021, 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 | 6,697,892 |
Gross Unrealized Appreciation | 4,642,678 |
Gross Unrealized Depreciation | (41,072) |
Net Unrealized Appreciation (Depreciation) | 4,601,606 |
E. | During the six months ended February 28, 2021, the fund purchased $1,313,446,000 of investment securities and sold $149,924,000 of investment securities, other than temporary cash investments. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | — | — | 922 | 45 | |
Issued in Lieu of Cash Distributions | — | — | 124 | 6 | |
Redeemed1 | — | — | (60,621) | (3,047) | |
Net Increase (Decrease)—Investor Shares | — | — | (59,575) | (2,996) |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued1 | 1,303,105 | 36,591 | 1,697,269 | 58,728 | |
Issued in Lieu of Cash Distributions | 32,833 | 957 | 56,851 | 2,114 | |
Redeemed | (617,213) | (17,519) | (949,470) | (33,560) | |
Net Increase (Decrease)—Admiral Shares | 718,725 | 20,029 | 804,650 | 27,282 | |
Institutional Shares | |||||
Issued | 843,659 | 33,147 | 1,143,683 | 54,448 | |
Issued in Lieu of Cash Distributions | 27,999 | 1,133 | 48,991 | 2,528 | |
Redeemed | (421,787) | (16,566) | (664,121) | (32,286) | |
Net Increase (Decrease)—Institutional Shares | 449,871 | 17,714 | 528,553 | 24,690 |
1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 68,000 and 49,000 shares, respectively, in the amount of $1,355,000 from the conversion during the year ended August 31, 2020. |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Vanguard Communication Services Index Fund |
Vanguard Consumer Discretionary Index Fund |
Vanguard Consumer Staples Index Fund |
Vanguard Energy Index Fund |
Vanguard Financials Index Fund |
Vanguard Health Care Index Fund |
Vanguard Industrials Index Fund |
Vanguard Information Technology Index Fund |
Vanguard Materials Index Fund |
Vanguard Utilities Index Fund |
About Your Fund’s Expenses | 1 |
Communication Services Index Fund | 4 |
Consumer Discretionary Index Fund | 15 |
Consumer Staples Index Fund | 27 |
Energy Index Fund | 37 |
Financials Index Fund | 48 |
Health Care Index Fund | 62 |
Industrials Index Fund | 76 |
Information Technology Index Fund | 88 |
Materials Index Fund | 100 |
Utilities Index Fund | 110 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Communication Services Index Fund | |||
ETF Shares | $1,000.00 | $1,194.30 | $0.54 |
AdmiralTM Shares | 1,000.00 | 1,194.20 | 0.54 |
Consumer Discretionary Index Fund | |||
ETF Shares | $1,000.00 | $1,169.20 | $0.54 |
Admiral Shares | 1,000.00 | 1,169.10 | 0.54 |
Consumer Staples Index Fund | |||
ETF Shares | $1,000.00 | $1,004.10 | $0.50 |
Admiral Shares | 1,000.00 | 1,004.20 | 0.50 |
Energy Index Fund | |||
ETF Shares | $1,000.00 | $1,424.60 | $0.60 |
Admiral Shares | 1,000.00 | 1,424.70 | 0.60 |
Financials Index Fund | |||
ETF Shares | $1,000.00 | $1,326.90 | $0.58 |
Admiral Shares | 1,000.00 | 1,327.30 | 0.58 |
Health Care Index Fund | |||
ETF Shares | $1,000.00 | $1,090.40 | $0.52 |
Admiral Shares | 1,000.00 | 1,090.40 | 0.52 |
Industrials Index Fund | |||
ETF Shares | $1,000.00 | $1,208.90 | $0.55 |
Admiral Shares | 1,000.00 | 1,209.10 | 0.55 |
Information Technology Index Fund | |||
ETF Shares | $1,000.00 | $1,090.00 | $0.52 |
Admiral Shares | 1,000.00 | 1,090.00 | 0.52 |
Materials Index Fund | |||
ETF Shares | $1,000.00 | $1,199.40 | $0.55 |
Admiral Shares | 1,000.00 | 1,199.60 | 0.55 |
Utilities Index Fund | |||
ETF Shares | $1,000.00 | $1,008.10 | $0.50 |
Admiral Shares | 1,000.00 | 1,008.30 | 0.50 |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Hypothetical 5% Yearly Return | |||
Communication Services Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Consumer Discretionary Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Consumer Staples Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Energy Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Financials Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Health Care Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Industrials Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Information Technology Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Materials Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Utilities Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Advertising | 1.8% |
Alternative Carriers | 2.7 |
Broadcasting | 4.6 |
Cable & Satellite | 10.6 |
Integrated Telecommunication Services | 9.3 |
Interactive Home Entertainment | 4.7 |
Interactive Media & Services | 46.2 |
Movies & Entertainment | 16.0 |
Publishing | 1.7 |
Wireless Telecommunication Services | 2.4 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $6,924) | 69,256 | 6,926 |
Total Investments (100.1%) (Cost $2,817,283) | 3,634,812 | ||
Other Assets and Liabilities— Net (-0.1%) | (3,465) | ||
Net Assets (100.0%) | 3,631,347 | ||
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 $3,018,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $3,208,000 was received for securities on loan. |
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) |
Sirius XM Holdings Inc. | 1/31/22 | GSI | 3,894 | (0.108) | — | (82) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,810,359) | 3,627,886 |
Affiliated Issuers (Cost $6,924) | 6,926 |
Total Investments in Securities | 3,634,812 |
Investment in Vanguard | 125 |
Receivables for Investment Securities Sold | 52,614 |
Receivables for Accrued Income | 225 |
Receivables for Capital Shares Issued | 448 |
Total Assets | 3,688,224 |
Liabilities | |
Due to Custodian | 453 |
Payables for Investment Securities Purchased | 51,219 |
Collateral for Securities on Loan | 3,208 |
Payables for Capital Shares Redeemed | 1,742 |
Payables to Vanguard | 173 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 82 |
Total Liabilities | 56,877 |
Net Assets | 3,631,347 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 3,016,836 |
Total Distributable Earnings (Loss) | 614,511 |
Net Assets | 3,631,347 |
ETF Shares—Net Assets | |
Applicable to 27,541,985 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,538,958 |
Net Asset Value Per Share—ETF Shares | $128.49 |
Admiral Shares—Net Assets | |
Applicable to 1,410,923 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 92,389 |
Net Asset Value Per Share—Admiral Shares | $65.48 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $108.04 | $87.24 | $86.83 | $93.54 | $95.16 | $83.80 |
Investment Operations | ||||||
Net Investment Income | .3921 | 1.0051 | .9171 | 3.0671 | 3.1081 | 2.622 |
Net Realized and Unrealized Gain (Loss) on Investments | 20.519 | 20.743 | .316 | (6.297) | (1.587) | 12.811 |
Total from Investment Operations | 20.911 | 21.748 | 1.233 | (3.230) | 1.521 | 15.433 |
Distributions | ||||||
Dividends from Net Investment Income | (.461) | (.948) | (.823) | (3.480) | (3.141) | (4.073) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.461) | (.948) | (.823) | (3.480) | (3.141) | (4.073) |
Net Asset Value, End of Period | $128.49 | $108.04 | $87.24 | $86.83 | $93.54 | $95.16 |
Total Return | 19.43% | 25.15% | 1.47% | -3.50% | 1.62% | 19.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,539 | $2,914 | $2,016 | $1,015 | $1,388 | $1,483 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.69% | 1.09% | 1.09% | 3.48% | 3.26% | 3.10% |
Portfolio Turnover Rate2 | 7% | 15% | 33% | 84% | 18% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $55.06 | $44.46 | $44.25 | $47.67 | $48.50 | $42.71 |
Investment Operations | ||||||
Net Investment Income | .1991 | .5121 | .4701 | 1.5541 | 1.6011 | 1.337 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.456 | 10.571 | .157 | (3.199) | (.829) | 6.529 |
Total from Investment Operations | 10.655 | 11.083 | .627 | (1.645) | .772 | 7.866 |
Distributions | ||||||
Dividends from Net Investment Income | (.235) | (.483) | (.417) | (1.775) | (1.602) | (2.076) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.235) | (.483) | (.417) | (1.775) | (1.602) | (2.076) |
Net Asset Value, End of Period | $65.48 | $55.06 | $44.46 | $44.25 | $47.67 | $48.50 |
Total Return2 | 19.42% | 25.16% | 1.46% | -3.48% | 1.61% | 19.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $92 | $67 | $50 | $46 | $50 | $65 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.68% | 1.10% | 1.09% | 3.48% | 3.26% | 3.10% |
Portfolio Turnover Rate3 | 7% | 15% | 33% | 84% | 18% | 20% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,627,886 | — | — | 3,627,886 |
Temporary Cash Investments | 6,926 | — | — | 6,926 |
Total | 3,634,812 | — | — | 3,634,812 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 82 | — | 82 |
D. | As of February 28, 2021, 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 | 2,819,150 |
Gross Unrealized Appreciation | 888,077 |
Gross Unrealized Depreciation | (72,415) |
Net Unrealized Appreciation (Depreciation) | 815,662 |
E. | During the six months ended February 28, 2021, the fund purchased $818,160,000 of investment securities and sold $712,727,000 of investment securities, other than temporary cash investments. Purchases and sales include $564,318,000 and $493,730,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 581,465 | 4,925 | 1,330,015 | 14,802 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (486,825) | (4,350) | (965,210) | (10,950) | |
Net Increase (Decrease)—ETF Shares | 94,640 | 575 | 364,805 | 3,852 | |
Admiral Shares | |||||
Issued | 26,756 | 449 | 39,541 | 862 | |
Issued in Lieu of Cash Distributions | 253 | 5 | 448 | 10 | |
Redeemed | (15,271) | (264) | (35,280) | (771) | |
Net Increase (Decrease)—Admiral Shares | 11,738 | 190 | 4,709 | 101 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Apparel Retail | 4.1% |
Apparel, Accessories & Luxury Goods | 3.0 |
Auto Parts & Equipment | 2.7 |
Automobile Manufacturers | 12.4 |
Automotive Retail | 3.2 |
Casinos & Gaming | 2.6 |
Computer & Electronics Retail | 0.8 |
Consumer Electronics | 0.6 |
Department Stores | 0.5 |
Distributors | 1.0 |
Education Services | 1.0 |
Footwear | 4.1 |
General Merchandise Stores | 3.6 |
Home Furnishings | 0.7 |
Home Improvement Retail | 8.3 |
Homebuilding | 2.9 |
Homefurnishing Retail | 0.7 |
Hotels, Resorts & Cruise Lines | 3.5 |
Household Appliances | 0.5 |
Housewares & Specialties | 0.3 |
Internet & Direct Marketing Retail | 29.1 |
Leisure Facilities | 0.6 |
Leisure Products | 1.8 |
Motorcycle Manufacturers | 0.1 |
Other | 0.0 |
Restaurants | 9.4 |
Specialized Consumer Services | 0.7 |
Specialty Stores | 1.6 |
Textiles | 0.0 |
Tires & Rubber | 0.2 |
Shares | Market Value• ($000) | ||
Steven Madden Ltd. | 133,657 | 4,944 | |
Wolverine World Wide Inc. | 140,805 | 4,921 | |
Kontoor Brands Inc. | 91,248 | 3,855 | |
Levi Strauss & Co. Class A | 140,340 | 3,264 | |
Oxford Industries Inc. | 38,926 | 2,968 | |
* | G-III Apparel Group Ltd. | 99,278 | 2,858 |
* | Fossil Group Inc. | 156,890 | 2,375 |
Movado Group Inc. | 77,495 | 1,767 | |
* | Unifi Inc. | 64,846 | 1,617 |
* | Vera Bradley Inc. | 108,925 | 1,034 |
409,790 | |||
Total Common Stocks (Cost $4,081,034) | 5,828,734 | ||
Temporary Cash Investments (0.8%) | |||
Money Market Fund (0.8%) | |||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $47,053) | 470,602 | 47,060 |
Total Investments (100.5%) (Cost $4,128,087) | 5,875,794 | ||
Other Assets and Liabilities— Net (-0.5%) | (28,490) | ||
Net Assets (100.0%) | 5,847,304 | ||
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 $25,754,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $27,703,000 was received for securities on loan. |
CVR— | Contingent Value Rights. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 18 | 3,428 | (25) |
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) |
Tesla Inc. | 1/31/22 | GSI | 19,906 | (0.108) | — | (3,019) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $4,081,034) | 5,828,734 |
Affiliated Issuers (Cost $47,053) | 47,060 |
Total Investments in Securities | 5,875,794 |
Investment in Vanguard | 216 |
Cash | 1,229 |
Cash Collateral Pledged—Futures Contracts | 200 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 2,860 |
Receivables for Investment Securities Sold | 119,167 |
Receivables for Accrued Income | 3,980 |
Receivables for Capital Shares Issued | 3,296 |
Total Assets | 6,006,742 |
Liabilities | |
Payables for Investment Securities Purchased | 128,211 |
Collateral for Securities on Loan | 27,703 |
Payables to Vanguard | 280 |
Variation Margin Payable—Futures Contracts | 225 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 3,019 |
Total Liabilities | 159,438 |
Net Assets | 5,847,304 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 4,072,067 |
Total Distributable Earnings (Loss) | 1,775,237 |
Net Assets | 5,847,304 |
ETF Shares—Net Assets | |
Applicable to 18,425,857 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,231,871 |
Net Asset Value Per Share—ETF Shares | $283.94 |
Admiral Shares—Net Assets | |
Applicable to 4,187,433 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 615,433 |
Net Asset Value Per Share—Admiral Shares | $146.97 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $246.86 | $178.51 | $180.85 | $141.74 | $126.45 | $120.80 |
Investment Operations | ||||||
Net Investment Income | .8721 | 1.9981 | 2.0521 | 2.0661 | 2.0681 | 1.875 |
Net Realized and Unrealized Gain (Loss) on Investments | 40.002 | 68.603 | (2.391) | 39.031 | 15.248 | 6.259 |
Total from Investment Operations | 40.874 | 70.601 | (.339) | 41.097 | 17.316 | 8.134 |
Distributions | ||||||
Dividends from Net Investment Income | (3.794) | (2.251) | (2.001) | (1.987) | (2.026) | (2.484) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.794) | (2.251) | (2.001) | (1.987) | (2.026) | (2.484) |
Net Asset Value, End of Period | $283.94 | $246.86 | $178.51 | $180.85 | $141.74 | $126.45 |
Total Return | 16.92% | 39.98% | -0.14% | 29.22% | 13.81% | 6.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,232 | $4,026 | $3,049 | $3,199 | $2,198 | $1,926 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.63% | 1.06% | 1.20% | 1.28% | 1.53% | 1.54% |
Portfolio Turnover Rate2 | 6% | 10% | 9% | 28% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $127.78 | $92.40 | $93.61 | $73.36 | $65.45 | $62.53 |
Investment Operations | ||||||
Net Investment Income | .4491 | 1.0331 | 1.0581 | 1.0731 | 1.0711 | .971 |
Net Realized and Unrealized Gain (Loss) on Investments | 20.705 | 35.512 | (1.232) | 20.205 | 7.890 | 3.239 |
Total from Investment Operations | 21.154 | 36.545 | (.174) | 21.278 | 8.961 | 4.210 |
Distributions | ||||||
Dividends from Net Investment Income | (1.964) | (1.165) | (1.036) | (1.028) | (1.051) | (1.290) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.964) | (1.165) | (1.036) | (1.028) | (1.051) | (1.290) |
Net Asset Value, End of Period | $146.97 | $127.78 | $92.40 | $93.61 | $73.36 | $65.45 |
Total Return2 | 16.91% | 40.01% | -0.14% | 29.24% | 13.81% | 6.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $615 | $437 | $321 | $328 | $204 | $169 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.62% | 1.06% | 1.20% | 1.28% | 1.53% | 1.54% |
Portfolio Turnover Rate3 | 6% | 10% | 9% | 28% | 6% | 7% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 5,828,731 | — | 3 | 5,828,734 |
Temporary Cash Investments | 47,060 | — | — | 47,060 |
Total | 5,875,791 | — | 3 | 5,875,794 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 25 | — | — | 25 |
Swap Contracts | — | 3,019 | — | 3,019 |
Total | 25 | 3,019 | — | 3,044 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2021, 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 | 4,136,073 |
Gross Unrealized Appreciation | 1,792,996 |
Gross Unrealized Depreciation | (53,300) |
Net Unrealized Appreciation (Depreciation) | 1,739,696 |
E. | During the six months ended February 28, 2021, the fund purchased $1,383,435,000 of investment securities and sold $643,098,000 of investment securities, other than temporary cash investments. Purchases and sales include $906,834,000 and $373,824,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 975,737 | 3,666 | 928,490 | 4,882 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (373,048) | (1,550) | (1,003,299) | (5,650) | |
Net Increase (Decrease)—ETF Shares | 602,689 | 2,116 | (74,809) | (768) | |
Admiral Shares | |||||
Issued | 191,618 | 1,375 | 134,048 | 1,375 | |
Issued in Lieu of Cash Distributions | 6,003 | 50 | 3,403 | 36 | |
Redeemed | (88,728) | (655) | (134,606) | (1,465) | |
Net Increase (Decrease)—Admiral Shares | 108,893 | 770 | 2,845 | (54) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Agricultural Products | 3.3% |
Brewers | 1.0 |
Distillers & Vintners | 2.9 |
Drug Retail | 2.0 |
Food Distributors | 3.2 |
Food Retail | 2.2 |
Household Products | 22.2 |
Hypermarkets & Super Centers | 14.3 |
Packaged Foods & Meats | 16.5 |
Personal Products | 4.6 |
Soft Drinks | 19.3 |
Tobacco | 8.5 |
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) |
Campbell Soup Co. | 1/31/22 | GSI | 8,069 | 0.108 | — | (110) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,406,906) | 6,024,095 |
Affiliated Issuers (Cost $9,868) | 9,868 |
Total Investments in Securities | 6,033,963 |
Investment in Vanguard | 234 |
Cash | 3 |
Receivables for Investment Securities Sold | 120,350 |
Receivables for Accrued Income | 4,939 |
Receivables for Capital Shares Issued | 1,341 |
Total Assets | 6,160,830 |
Liabilities | |
Due to Custodian | 611 |
Payables for Investment Securities Purchased | 123,153 |
Collateral for Securities on Loan | 4,950 |
Payables for Capital Shares Redeemed | 1,073 |
Payables to Vanguard | 288 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 110 |
Total Liabilities | 130,185 |
Net Assets | 6,030,645 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 5,347,749 |
Total Distributable Earnings (Loss) | 682,896 |
Net Assets | 6,030,645 |
ETF Shares—Net Assets | |
Applicable to 31,670,751 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,245,020 |
Net Asset Value Per Share—ETF Shares | $165.61 |
Admiral Shares—Net Assets | |
Applicable to 9,620,841 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 785,625 |
Net Asset Value Per Share—Admiral Shares | $81.66 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $167.31 | $154.72 | $140.13 | $140.15 | $139.97 | $123.72 |
Investment Operations | ||||||
Net Investment Income | 2.1961 | 3.9921 | 3.8961 | 3.6031 | 3.6511 | 3.189 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.452) | 12.658 | 14.346 | (.033) | .212 | 17.752 |
Total from Investment Operations | .744 | 16.650 | 18.242 | 3.570 | 3.863 | 20.941 |
Distributions | ||||||
Dividends from Net Investment Income | (2.444) | (4.060) | (3.652) | (3.590) | (3.683) | (4.691) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.444) | (4.060) | (3.652) | (3.590) | (3.683) | (4.691) |
Net Asset Value, End of Period | $165.61 | $167.31 | $154.72 | $140.13 | $140.15 | $139.97 |
Total Return | 0.41% | 11.01% | 13.24% | 2.60% | 2.83% | 17.36% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,245 | $5,712 | $5,296 | $3,983 | $3,780 | $3,518 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.49% | 2.58% | 2.71% | 2.60% | 2.63% | 2.50% |
Portfolio Turnover Rate2 | 2% | 3% | 6% | 8% | 5% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $82.50 | $76.29 | $69.09 | $69.10 | $69.02 | $61.01 |
Investment Operations | ||||||
Net Investment Income | 1.0771 | 1.9731 | 1.9231 | 1.7761 | 1.7971 | 1.575 |
Net Realized and Unrealized Gain (Loss) on Investments | (.712) | 6.239 | 7.076 | (.018) | .101 | 8.752 |
Total from Investment Operations | .365 | 8.212 | 8.999 | 1.758 | 1.898 | 10.327 |
Distributions | ||||||
Dividends from Net Investment Income | (1.205) | (2.002) | (1.799) | (1.768) | (1.818) | (2.317) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.205) | (2.002) | (1.799) | (1.768) | (1.818) | (2.317) |
Net Asset Value, End of Period | $81.66 | $82.50 | $76.29 | $69.09 | $69.10 | $69.02 |
Total Return2 | 0.42% | 11.03% | 13.24% | 2.59% | 2.81% | 17.37% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $786 | $791 | $710 | $587 | $742 | $728 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.48% | 2.59% | 2.71% | 2.60% | 2.63% | 2.50% |
Portfolio Turnover Rate3 | 2% | 3% | 6% | 8% | 5% | 6% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 6,024,095 | — | — | 6,024,095 |
Temporary Cash Investments | 9,868 | — | — | 9,868 |
Total | 6,033,963 | — | — | 6,033,963 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 110 | — | 110 |
D. | As of February 28, 2021, 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 | 5,421,239 |
Gross Unrealized Appreciation | 915,230 |
Gross Unrealized Depreciation | (302,506) |
Net Unrealized Appreciation (Depreciation) | 612,724 |
E. | During the six months ended February 28, 2021, the fund purchased $358,495,000 of investment securities and sold $768,322,000 of investment securities, other than temporary cash investments. Purchases and sales include $114,154,000 and $614,442,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 195,808 | 1,155 | 1,146,786 | 7,587 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (612,803) | (3,625) | (1,152,447) | (7,675) | |
Net Increase (Decrease)—ETF Shares | (416,995) | (2,470) | (5,661) | (88) | |
Admiral Shares | |||||
Issued | 106,569 | 1,276 | 294,479 | 3,969 | |
Issued in Lieu of Cash Distributions | 9,375 | 113 | 15,970 | 211 | |
Redeemed | (112,893) | (1,353) | (287,989) | (3,896) | |
Net Increase (Decrease)—Admiral Shares | 3,051 | 36 | 22,460 | 284 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Coal & Consumable Fuels | 0.1% |
Integrated Oil & Gas | 42.4 |
Oil & Gas Drilling | 0.8 |
Oil & Gas Equipment & Services | 10.0 |
Oil & Gas Exploration & Production | 23.5 |
Oil & Gas Refining & Marketing | 11.9 |
Oil & Gas Storage & Transportation | 11.3 |
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) |
Hess Corp. | 1/31/22 | GSI | 18,525 | (0.108) | 1,133 | — |
Schlumberger NV | 8/31/21 | BOANA | 8,373 | (0.120) | 37 | — |
1,170 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,658,463) | 5,491,599 |
Affiliated Issuers (Cost $3,381) | 3,384 |
Total Investments in Securities | 5,494,983 |
Investment in Vanguard | 166 |
Receivables for Investment Securities Sold | 13,036 |
Receivables for Accrued Income | 41,686 |
Receivables for Capital Shares Issued | 3,636 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,170 |
Total Assets | 5,554,677 |
Liabilities | |
Due to Custodian | 13,956 |
Payables for Investment Securities Purchased | 15,253 |
Collateral for Securities on Loan | 3,375 |
Payables for Capital Shares Redeemed | 2,342 |
Payables to Vanguard | 247 |
Total Liabilities | 35,173 |
Net Assets | 5,519,504 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 7,595,809 |
Total Distributable Earnings (Loss) | (2,076,305) |
Net Assets | 5,519,504 |
ETF Shares—Net Assets | |
Applicable to 67,318,670 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,485,490 |
Net Asset Value Per Share—ETF Shares | $66.63 |
Admiral Shares—Net Assets | |
Applicable to 31,064,353 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,034,014 |
Net Asset Value Per Share—Admiral Shares | $33.29 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $47.90 | $75.75 | $103.13 | $85.71 | $95.06 | $93.86 |
Investment Operations | ||||||
Net Investment Income | 1.4061 | 2.9571 | 2.7691 | 2.5191 | 2.8191,2 | 2.470 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.479 | (28.064) | (27.449) | 17.837 | (9.801) | 2.587 |
Total from Investment Operations | 19.885 | (25.107) | (24.680) | 20.356 | (6.982) | 5.057 |
Distributions | ||||||
Dividends from Net Investment Income | (1.155) | (2.743) | (2.700) | (2.936) | (2.368) | (3.857) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.155) | (2.743) | (2.700) | (2.936) | (2.368) | (3.857) |
Net Asset Value, End of Period | $66.63 | $47.90 | $75.75 | $103.13 | $85.71 | $95.06 |
Total Return | 42.46% | -33.87% | -24.34% | 24.06% | -7.55% | 5.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,485 | $2,720 | $3,029 | $4,288 | $3,656 | $3,944 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 5.56% | 4.91% | 3.15% | 2.56% | 2.93%2 | 2.86% |
Portfolio Turnover Rate3 | 1% | 8% | 7% | 5% | 11% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.453 and 0.47%, respectively, from income received as a result of General Electric Co. and Baker Hughes Inc. merger in July 2017. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $23.93 | $37.84 | $51.52 | $42.82 | $47.49 | $46.89 |
Investment Operations | ||||||
Net Investment Income | .7501 | 1.4611 | 1.3881 | 1.2491 | 1.3751,2 | 1.234 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.188 | (14.001) | (13.720) | 8.916 | (4.863) | 1.293 |
Total from Investment Operations | 9.938 | (12.540) | (12.332) | 10.165 | (3.488) | 2.527 |
Distributions | ||||||
Dividends from Net Investment Income | (.578) | (1.370) | (1.348) | (1.465) | (1.182) | (1.927) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.578) | (1.370) | (1.348) | (1.465) | (1.182) | (1.927) |
Net Asset Value, End of Period | $33.29 | $23.93 | $37.84 | $51.52 | $42.82 | $47.49 |
Total Return3 | 42.47% | -33.82% | -24.33% | 24.06% | -7.56% | 5.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,034 | $407 | $468 | $642 | $523 | $894 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 5.78% | 4.84% | 3.15% | 2.56% | 2.93%2 | 2.86% |
Portfolio Turnover Rate4 | 1% | 8% | 7% | 5% | 11% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.228 and 0.47%, respectively, from income received as a result of General Electric Co. and Baker Hughes Inc. merger in July 2017. |
3 | 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. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 5,491,599 | — | — | 5,491,599 |
Temporary Cash Investments | 3,384 | — | — | 3,384 |
Total | 5,494,983 | — | — | 5,494,983 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,170 | — | 1,170 |
D. | As of February 28, 2021, 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 | 6,700,521 |
Gross Unrealized Appreciation | 155,339 |
Gross Unrealized Depreciation | (1,360,877) |
Net Unrealized Appreciation (Depreciation) | (1,205,538) |
E. | During the six months ended February 28, 2021, the fund purchased $1,331,949,000 of investment securities and sold $376,465,000 of investment securities, other than temporary cash investments. Purchases and sales include $785,759,000 and $325,787,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 885,654 | 16,998 | 1,802,367 | 36,134 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (326,308) | (6,450) | (1,108,388) | (19,350) | |
Net Increase (Decrease)—ETF Shares | 559,346 | 10,548 | 693,979 | 16,784 | |
Admiral Shares | |||||
Issued | 500,579 | 18,917 | 415,739 | 16,420 | |
Issued in Lieu of Cash Distributions | 10,062 | 412 | 16,719 | 566 | |
Redeemed | (135,650) | (5,275) | (350,766) | (12,349) | |
Net Increase (Decrease)—Admiral Shares | 374,991 | 14,054 | 81,692 | 4,637 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Asset Management & Custody Banks | 8.9% |
Consumer Finance | 5.6 |
Data Processing & Outsourced Services | 0.0 |
Diversified Banks | 24.3 |
Financial Exchanges & Data | 8.4 |
Insurance Brokers | 4.1 |
Investment Banking & Brokerage | 8.2 |
Life & Health Insurance | 4.0 |
Mortgage REITs | 1.5 |
Multi-line Insurance | 1.7 |
Multi-Sector Holdings | 7.7 |
Other | 0.0 |
Other Diversified Financial Services | 0.4 |
Property & Casualty Insurance | 7.6 |
Regional Banks | 15.5 |
Reinsurance | 0.9 |
Thrifts & Mortgage Finance | 1.2 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $18,326) | 183,276 | 18,328 |
Total Investments (100.0%) (Cost $7,808,768) | 9,050,331 | ||
Other Assets and Liabilities— Net (0.0%) | 1,804 | ||
Net Assets (100.0%) | 9,052,135 | ||
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 $6,760,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $6,983,000 was received for securities on loan. |
CVR— | Contingent Value Rights. |
REIT— | Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 56 | 10,666 | 11 |
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) |
T Rowe Price Group Inc. | 8/31/21 | BOANA | 16,214 | (0.120) | — | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $7,790,442) | 9,032,003 |
Affiliated Issuers (Cost $18,326) | 18,328 |
Total Investments in Securities | 9,050,331 |
Investment in Vanguard | 301 |
Receivables for Investment Securities Sold | 31,608 |
Receivables for Accrued Income | 8,595 |
Receivables for Capital Shares Issued | 1,612 |
Variation Margin Receivable—Futures Contracts | 11 |
Total Assets | 9,092,458 |
Liabilities | |
Due to Custodian | 1,144 |
Payables for Investment Securities Purchased | 30,981 |
Collateral for Securities on Loan | 6,983 |
Payables for Capital Shares Redeemed | 799 |
Payables to Vanguard | 416 |
Total Liabilities | 40,323 |
Net Assets | 9,052,135 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 7,785,608 |
Total Distributable Earnings (Loss) | 1,266,527 |
Net Assets | 9,052,135 |
ETF Shares—Net Assets | |
Applicable to 105,261,957 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,438,093 |
Net Asset Value Per Share—ETF Shares | $80.16 |
Admiral Shares—Net Assets | |
Applicable to 15,284,169 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 614,042 |
Net Asset Value Per Share—Admiral Shares | $40.18 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $61.18 | $67.31 | $71.60 | $62.26 | $50.81 | $47.70 |
Investment Operations | ||||||
Net Investment Income | .7991 | 1.6521 | 1.5391 | 1.2981 | 1.0351 | 1.108 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.015 | (6.081) | (4.338) | 9.307 | 11.387 | 3.070 |
Total from Investment Operations | 19.814 | (4.429) | (2.799) | 10.605 | 12.422 | 4.178 |
Distributions | ||||||
Dividends from Net Investment Income | (.834) | (1.701) | (1.491) | (1.265) | (.972) | (1.068) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.834) | (1.701) | (1.491) | (1.265) | (.972) | (1.068) |
Net Asset Value, End of Period | $80.16 | $61.18 | $67.31 | $71.60 | $62.26 | $50.81 |
Total Return | 32.69% | -6.73% | -3.85% | 17.15% | 24.65% | 8.93% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,438 | $6,140 | $7,222 | $8,512 | $6,127 | $3,735 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.36% | 2.53% | 2.30% | 1.87% | 1.75% | 2.39% |
Portfolio Turnover Rate2 | 1% | 5% | 5% | 3% | 5% | 21% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $30.66 | $33.73 | $35.88 | $31.20 | $25.47 | $23.91 |
Investment Operations | ||||||
Net Investment Income | .4021 | .8281 | .7711 | .6511 | .5141 | .556 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.536 | (3.046) | (2.174) | 4.663 | 5.704 | 1.539 |
Total from Investment Operations | 9.938 | (2.218) | (1.403) | 5.314 | 6.218 | 2.095 |
Distributions | ||||||
Dividends from Net Investment Income | (.418) | (.852) | (.747) | (.634) | (.488) | (.535) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.418) | (.852) | (.747) | (.634) | (.488) | (.535) |
Net Asset Value, End of Period | $40.18 | $30.66 | $33.73 | $35.88 | $31.20 | $25.47 |
Total Return2 | 32.73% | -6.70% | -3.87% | 17.16% | 24.62% | 8.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $614 | $432 | $490 | $690 | $518 | $244 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.37% | 2.53% | 2.30% | 1.87% | 1.75% | 2.39% |
Portfolio Turnover Rate3 | 1% | 5% | 5% | 3% | 5% | 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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 9,031,898 | 101 | 4 | 9,032,003 |
Temporary Cash Investments | 18,328 | — | — | 18,328 |
Total | 9,050,226 | 101 | 4 | 9,050,331 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 11 | — | — | 11 |
Liabilities | ||||
Swap Contracts | — | — | — | — |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2021, 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 | 7,813,277 |
Gross Unrealized Appreciation | 1,585,857 |
Gross Unrealized Depreciation | (348,792) |
Net Unrealized Appreciation (Depreciation) | 1,237,065 |
E. | During the six months ended February 28, 2021, the fund purchased $1,242,672,000 of investment securities and sold $774,554,000 of investment securities, other than temporary cash investments. Purchases and sales include $991,217,000 and $712,127,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,138,607 | 16,275 | 1,881,744 | 30,583 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (719,111) | (11,375) | (2,335,793) | (37,525) | |
Net Increase (Decrease)—ETF Shares | 419,496 | 4,900 | (454,049) | (6,942) | |
Admiral Shares | |||||
Issued | 150,958 | 4,278 | 245,111 | 8,139 | |
Issued in Lieu of Cash Distributions | 4,850 | 148 | 10,126 | 310 | |
Redeemed | (111,199) | (3,232) | (269,610) | (8,886) | |
Net Increase (Decrease)—Admiral Shares | 44,609 | 1,194 | (14,373) | (437) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Biotechnology | 19.5% |
Health Care Distributors | 1.4 |
Health Care Equipment | 23.8 |
Health Care Facilities | 1.7 |
Health Care Services | 5.1 |
Health Care Supplies | 2.6 |
Health Care Technology | 2.3 |
Life Sciences Tools & Services | 9.6 |
Managed Health Care | 9.3 |
Pharmaceuticals | 24.7 |
Shares | Market Value• ($000) | ||
* | Theravance Biopharma Inc. | 135,567 | 2,246 |
* | Collegium Pharmaceutical Inc. | 94,010 | 2,218 |
* | Aerie Pharmaceuticals Inc. | 119,909 | 2,205 |
* | Amphastar Pharmaceuticals Inc. | 114,372 | 2,005 |
* | Provention Bio Inc. | 140,896 | 1,792 |
* | TherapeuticsMD Inc. | 1,112,561 | 1,691 |
* | Amneal Pharmaceuticals Inc. | 292,157 | 1,575 |
Phibro Animal Health Corp. Class A | 62,004 | 1,337 | |
* | Relmada Therapeutics Inc. | 39,202 | 1,307 |
* | Odonate Therapeutics Inc. | 57,530 | 1,211 |
* | Pliant Therapeutics Inc. | 32,494 | 1,075 |
* | Phathom Pharmaceuticals Inc. | 21,346 | 940 |
* | SIGA Technologies Inc. | 147,785 | 934 |
* | WaVe Life Sciences Ltd. | 95,260 | 896 |
* | ANI Pharmaceuticals Inc. | 30,525 | 888 |
*,1 | Evolus Inc. | 69,068 | 836 |
*,1 | Kala Pharmaceuticals Inc. | 103,185 | 765 |
*,1 | Xeris Pharmaceuticals Inc. | 139,800 | 762 |
* | Cymabay Therapeutics Inc. | 149,039 | 715 |
* | Tricida Inc. | 87,675 | 448 |
* | Verrica Pharmaceuticals Inc. | 26,849 | 368 |
* | Optinose Inc. | 86,696 | 336 |
* | Eloxx Pharmaceuticals Inc. | 70,727 | 319 |
*,2 | Clinical Data CVR | 8,685 | — |
3,950,541 | |||
Total Common Stocks (Cost $11,809,355) | 16,005,767 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.099% (Cost $47,511) | 475,206 | 47,521 |
Total Investments (100.2%) (Cost $11,856,866) | 16,053,288 | ||
Other Assets and Liabilities— Net (-0.2%) | (28,883) | ||
Net Assets (100.0%) | 16,024,405 | ||
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 $46,300,000. |
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 $49,419,000 was received for securities on loan, of which $47,520,000 is held in Vanguard Market Liquidity Fund and $1,899,000 is held in cash. |
CVR— | Contingent Value Rights. |
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) |
Gilead Sciences Inc. | 8/31/21 | BOANA | 12,280 | (0.120) | — | (1) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $11,809,355) | 16,005,767 |
Affiliated Issuers (Cost $47,511) | 47,521 |
Total Investments in Securities | 16,053,288 |
Investment in Vanguard | 613 |
Cash | 1,899 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 570 |
Receivables for Investment Securities Sold | 56,694 |
Receivables for Accrued Income | 21,096 |
Receivables for Capital Shares Issued | 4,152 |
Total Assets | 16,138,312 |
Liabilities | |
Due to Custodian | 5,400 |
Payables for Investment Securities Purchased | 54,352 |
Collateral for Securities on Loan | 49,419 |
Payables for Capital Shares Redeemed | 3,968 |
Payables to Vanguard | 767 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 1 |
Total Liabilities | 113,907 |
Net Assets | 16,024,405 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 11,767,505 |
Total Distributable Earnings (Loss) | 4,256,900 |
Net Assets | 16,024,405 |
ETF Shares—Net Assets | |
Applicable to 60,825,467 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,673,905 |
Net Asset Value Per Share—ETF Shares | $224.81 |
Admiral Shares—Net Assets | |
Applicable to 20,901,967 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,350,500 |
Net Asset Value Per Share—Admiral Shares | $112.45 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $207.65 | $169.74 | $177.07 | $151.13 | $133.25 | $132.34 |
Investment Operations | ||||||
Net Investment Income | 1.4071 | 2.7021 | 3.6001,2 | 2.1941 | 1.9941 | 1.795 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.266 | 37.758 | (7.457) | 25.846 | 17.846 | 1.559 |
Total from Investment Operations | 18.673 | 40.460 | (3.857) | 28.040 | 19.840 | 3.354 |
Distributions | ||||||
Dividends from Net Investment Income | (1.513) | (2.550) | (3.473) | (2.100) | (1.960) | (2.444) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.513) | (2.550) | (3.473) | (2.100) | (1.960) | (2.444) |
Net Asset Value, End of Period | $224.81 | $207.65 | $169.74 | $177.07 | $151.13 | $133.25 |
Total Return | 9.04% | 24.05% | -2.22% | 18.75% | 15.06% | 2.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,674 | $11,724 | $8,899 | $8,594 | $7,002 | $5,708 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.30% | 1.45% | 2.12%2 | 1.38% | 1.46% | 1.40% |
Portfolio Turnover Rate3 | 2% | 7% | 5% | 6% | 4% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $1.132 and 0.67%, respectively, resulting from a cash payment received in connection with the merger of Cigna Corp. and Express Scripts Holding Co. in December 2018. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $103.87 | $84.91 | $88.57 | $75.60 | $66.65 | $66.20 |
Investment Operations | ||||||
Net Investment Income | .7041 | 1.3511 | 1.8041,2 | 1.1011 | .9961 | .898 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.634 | 18.884 | (3.727) | 12.920 | 8.934 | .774 |
Total from Investment Operations | 9.338 | 20.235 | (1.923) | 14.021 | 9.930 | 1.672 |
Distributions | ||||||
Dividends from Net Investment Income | (.758) | (1.275) | (1.737) | (1.051) | (.980) | (1.222) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.758) | (1.275) | (1.737) | (1.051) | (.980) | (1.222) |
Net Asset Value, End of Period | $112.45 | $103.87 | $84.91 | $88.57 | $75.60 | $66.65 |
Total Return3 | 9.04% | 24.06% | -2.21% | 18.74% | 15.07% | 2.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,351 | $1,676 | $1,316 | $1,248 | $924 | $800 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.30% | 1.45% | 2.12%2 | 1.38% | 1.46% | 1.40% |
Portfolio Turnover Rate4 | 2% | 7% | 5% | 6% | 4% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.566 and 0.67%, respectively, resulting from a cash payment received in connection with the merger of Cigna Corp. and Express Scripts Holding Co. in December 2018. |
3 | 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. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 16,004,822 | 37 | 908 | 16,005,767 |
Temporary Cash Investments | 47,521 | — | — | 47,521 |
Total | 16,052,343 | 37 | 908 | 16,053,288 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 1 | — | 1 |
D. | As of February 28, 2021, 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 | 11,883,164 |
Gross Unrealized Appreciation | 4,508,793 |
Gross Unrealized Depreciation | (338,669) |
Net Unrealized Appreciation (Depreciation) | 4,170,124 |
E. | During the six months ended February 28, 2021, the fund purchased $2,444,592,000 of investment securities and sold $928,654,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,530,890,000 and $667,475,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,654,939 | 7,537 | 2,267,426 | 12,263 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (677,510) | (3,175) | (1,477,005) | (8,225) | |
Net Increase (Decrease)—ETF Shares | 977,429 | 4,362 | 790,421 | 4,038 | |
Admiral Shares | |||||
Issued | 730,032 | 6,558 | 453,890 | 4,915 | |
Issued in Lieu of Cash Distributions | 11,253 | 107 | 17,644 | 194 | |
Redeemed | (207,028) | (1,899) | (407,797) | (4,469) | |
Net Increase (Decrease)—Admiral Shares | 534,257 | 4,766 | 63,737 | 640 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Aerospace & Defense | 15.6% |
Agricultural & Farm Machinery | 3.4 |
Air Freight & Logistics | 6.1 |
Airlines | 3.0 |
Airport Services | 0.1 |
Building Products | 6.3 |
Commercial Printing | 0.2 |
Construction & Engineering | 1.7 |
Construction Machinery & Heavy Trucks | 6.3 |
Diversified Support Services | 1.9 |
Electrical Components & Equipment | 7.1 |
Environmental & Facilities Services | 3.5 |
Heavy Electrical Equipment | 0.2 |
Human Resource & Employment Services | 1.0 |
Industrial Conglomerates | 10.9 |
Industrial Machinery | 11.4 |
Marine | 0.2 |
Office Services & Supplies | 0.4 |
Railroads | 7.9 |
Research & Consulting Services | 5.8 |
Security & Alarm Services | 0.2 |
Trading Companies & Distributors | 3.4 |
Trucking | 3.4 |
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) |
L3Harris Technologies Inc. | 8/31/21 | BOANA | 4,366 | (0.120) | — | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,837,296) | 4,583,237 |
Affiliated Issuers (Cost $5,329) | 5,330 |
Total Investments in Securities | 4,588,567 |
Investment in Vanguard | 163 |
Cash | 1 |
Receivables for Investment Securities Sold | 60,729 |
Receivables for Accrued Income | 8,872 |
Receivables for Capital Shares Issued | 885 |
Total Assets | 4,659,217 |
Liabilities | |
Due to Custodian | 7,454 |
Payables for Investment Securities Purchased | 57,980 |
Collateral for Securities on Loan | 3,291 |
Payables for Capital Shares Redeemed | 300 |
Payables to Vanguard | 213 |
Total Liabilities | 69,238 |
Net Assets | 4,589,979 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 3,843,222 |
Total Distributable Earnings (Loss) | 746,757 |
Net Assets | 4,589,979 |
ETF Shares—Net Assets | |
Applicable to 24,388,562 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,298,092 |
Net Asset Value Per Share—ETF Shares | $176.23 |
Admiral Shares—Net Assets | |
Applicable to 3,223,956 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 291,887 |
Net Asset Value Per Share—Admiral Shares | $90.54 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $146.89 | $142.53 | $146.12 | $128.70 | $111.57 | $99.23 |
Investment Operations | ||||||
Net Investment Income | 1.1311 | 2.3661 | 2.5971 | 2.2631 | 2.3831 | 2.083 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.404 | 4.554 | (3.754) | 17.412 | 16.998 | 13.204 |
Total from Investment Operations | 30.535 | 6.920 | (1.157) | 19.675 | 19.381 | 15.287 |
Distributions | ||||||
Dividends from Net Investment Income | (1.195) | (2.560) | (2.433) | (2.255) | (2.251) | (2.947) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.195) | (2.560) | (2.433) | (2.255) | (2.251) | (2.947) |
Net Asset Value, End of Period | $176.23 | $146.89 | $142.53 | $146.12 | $128.70 | $111.57 |
Total Return | 20.89% | 4.96% | -0.73% | 15.41% | 17.55% | 15.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,298 | $3,090 | $3,457 | $3,957 | $3,202 | $2,338 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.38% | 1.69% | 1.87% | 1.62% | 1.95% | 2.08% |
Portfolio Turnover Rate2 | 3% | 4% | 4% | 4% | 5% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $75.46 | $73.22 | $75.07 | $66.12 | $57.32 | $50.98 |
Investment Operations | ||||||
Net Investment Income | .5801 | 1.2211 | 1.3401 | 1.1541 | 1.2371 | 1.069 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.114 | 2.336 | (1.941) | 8.955 | 8.721 | 6.783 |
Total from Investment Operations | 15.694 | 3.557 | (.601) | 10.109 | 9.958 | 7.852 |
Distributions | ||||||
Dividends from Net Investment Income | (.614) | (1.317) | (1.249) | (1.159) | (1.158) | (1.512) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.614) | (1.317) | (1.249) | (1.159) | (1.158) | (1.512) |
Net Asset Value, End of Period | $90.54 | $75.46 | $73.22 | $75.07 | $66.12 | $57.32 |
Total Return2 | 20.91% | 4.98% | -0.75% | 15.41% | 17.55% | 15.77% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $292 | $210 | $202 | $213 | $176 | $77 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.38% | 1.71% | 1.87% | 1.62% | 1.95% | 2.08% |
Portfolio Turnover Rate3 | 3% | 4% | 4% | 4% | 5% | 8% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 4,583,237 | — | — | 4,583,237 |
Temporary Cash Investments | 5,330 | — | — | 5,330 |
Total | 4,588,567 | — | — | 4,588,567 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | — | — | — |
D. | As of February 28, 2021, 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 | 3,850,012 |
Gross Unrealized Appreciation | 1,017,031 |
Gross Unrealized Depreciation | (278,476) |
Net Unrealized Appreciation (Depreciation) | 738,555 |
E. | During the six months ended February 28, 2021, the fund purchased $890,012,000 of investment securities and sold $306,536,000 of investment securities, other than temporary cash investments. Purchases and sales include $740,348,000 and $200,815,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 764,489 | 4,575 | 651,928 | 5,081 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (203,488) | (1,225) | (1,109,156) | (8,300) | |
Net Increase (Decrease)—ETF Shares | 561,001 | 3,350 | (457,228) | (3,219) | |
Admiral Shares | |||||
Issued | 86,132 | 1,026 | 99,484 | 1,405 | |
Issued in Lieu of Cash Distributions | 1,576 | 20 | 3,135 | 44 | |
Redeemed | (50,035) | (599) | (100,525) | (1,432) | |
Net Increase (Decrease)—Admiral Shares | 37,673 | 447 | 2,094 | 17 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Application Software | 13.5% |
Communications Equipment | 2.8 |
Data Processing & Outsourced Services | 14.1 |
Electronic Components | 0.9 |
Electronic Equipment & Instruments | 1.2 |
Electronic Manufacturing Services | 0.8 |
Internet Services & Infrastructure | 1.7 |
IT Consulting & Other Services | 3.4 |
Research & Consulting Services | 0.4 |
Semiconductor Equipment | 3.4 |
Semiconductors | 16.3 |
Systems Software | 20.0 |
Technology Distributors | 0.4 |
Technology Hardware, Storage & Peripherals | 21.1 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | March 2021 | 280 | 72,302 | (1,766) |
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) |
Visa Inc. | 8/31/21 | BOANA | 106,195 | (0.120) | 159 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $26,764,129) | 47,327,748 |
Affiliated Issuers (Cost $161,211) | 161,255 |
Total Investments in Securities | 47,489,003 |
Investment in Vanguard | 1,767 |
Cash | 17 |
Cash Collateral Pledged—Futures Contracts | 3,240 |
Receivables for Investment Securities Sold | 229,461 |
Receivables for Accrued Income | 40,493 |
Receivables for Capital Shares Issued | 23,885 |
Variation Margin Receivable—Futures Contracts | 267 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 159 |
Total Assets | 47,788,292 |
Liabilities | |
Due to Custodian | 1,003 |
Payables for Investment Securities Purchased | 218,759 |
Collateral for Securities on Loan | 55,344 |
Payables for Capital Shares Redeemed | 187,924 |
Payables to Vanguard | 2,296 |
Total Liabilities | 465,326 |
Net Assets | 47,322,966 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 25,285,710 |
Total Distributable Earnings (Loss) | 22,037,256 |
Net Assets | 47,322,966 |
ETF Shares—Net Assets | |
Applicable to 116,339,025 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 41,483,558 |
Net Asset Value Per Share—ETF Shares | $356.57 |
Admiral Shares—Net Assets | |
Applicable to 31,982,286 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,839,408 |
Net Asset Value Per Share—Admiral Shares | $182.58 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $328.54 | $213.66 | $202.82 | $151.19 | $117.82 | $102.35 |
Investment Operations | ||||||
Net Investment Income | 1.3111 | 2.9261 | 2.5721 | 1.9211 | 1.6461 | 1.566 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.116 | 114.955 | 10.792 | 51.430 | 33.329 | 16.049 |
Total from Investment Operations | 29.427 | 117.881 | 13.364 | 53.351 | 34.975 | 17.615 |
Distributions | ||||||
Dividends from Net Investment Income | (1.397) | (3.001) | (2.524) | (1.721) | (1.605) | (2.145) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.397) | (3.001) | (2.524) | (1.721) | (1.605) | (2.145) |
Net Asset Value, End of Period | $356.57 | $328.54 | $213.66 | $202.82 | $151.19 | $117.82 |
Total Return | 9.00% | 55.72% | 6.70% | 35.52% | 29.93% | 17.48% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $41,484 | $38,711 | $20,738 | $22,595 | $14,638 | $9,429 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.78% | 1.17% | 1.32% | 1.10% | 1.24% | 1.50% |
Portfolio Turnover Rate2 | 1% | 5% | 5% | 7% | 6% | 5% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $168.23 | $109.40 | $103.86 | $77.42 | $60.33 | $52.41 |
Investment Operations | ||||||
Net Investment Income | .6741 | 1.5041 | 1.3261 | 1.0011 | .8501 | .802 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.393 | 58.864 | 5.509 | 26.324 | 17.062 | 8.216 |
Total from Investment Operations | 15.067 | 60.368 | 6.835 | 27.325 | 17.912 | 9.018 |
Distributions | ||||||
Dividends from Net Investment Income | (.717) | (1.538) | (1.295) | (.885) | (.822) | (1.098) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.717) | (1.538) | (1.295) | (.885) | (.822) | (1.098) |
Net Asset Value, End of Period | $182.58 | $168.23 | $109.40 | $103.86 | $77.42 | $60.33 |
Total Return2 | 9.00% | 55.78% | 6.70% | 35.54% | 29.94% | 17.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,839 | $5,149 | $2,470 | $2,033 | $933 | $456 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.78% | 1.17% | 1.32% | 1.10% | 1.24% | 1.50% |
Portfolio Turnover Rate3 | 1% | 5% | 5% | 7% | 6% | 5% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 47,327,748 | — | — | 47,327,748 |
Temporary Cash Investments | 161,255 | — | — | 161,255 |
Total | 47,489,003 | — | — | 47,489,003 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 159 | — | 159 |
Liabilities | ||||
Futures Contracts1 | 1,766 | — | — | 1,766 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2021, 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 | 26,944,155 |
Gross Unrealized Appreciation | 20,846,096 |
Gross Unrealized Depreciation | (303,014) |
Net Unrealized Appreciation (Depreciation) | 20,543,082 |
E. | During the six months ended February 28, 2021, the fund purchased $3,070,692,000 of investment securities and sold $3,104,553,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,998,574,000 and $2,579,779,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 2,312,264 | 6,836 | 7,928,607 | 32,065 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,763,763) | (8,325) | (2,787,898) | (11,300) | |
Net Increase (Decrease)—ETF Shares | (451,499) | (1,489) | 5,140,709 | 20,765 | |
Admiral Shares | |||||
Issued | 1,212,342 | 6,988 | 2,339,727 | 18,276 | |
Issued in Lieu of Cash Distributions | 20,040 | 121 | 35,023 | 293 | |
Redeemed | (984,656) | (5,738) | (1,313,625) | (10,540) | |
Net Increase (Decrease)—Admiral Shares | 247,726 | 1,371 | 1,061,125 | 8,029 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Aluminum | 0.8% |
Commodity Chemicals | 8.7 |
Construction Materials | 4.9 |
Copper | 4.5 |
Diversified Chemicals | 2.2 |
Diversified Metals & Mining | 0.3 |
Fertilizers & Agricultural Chemicals | 7.1 |
Forest Products | 0.5 |
Gold | 4.9 |
Industrial Gases | 17.0 |
Metal & Glass Containers | 5.8 |
Paper Packaging | 8.3 |
Paper Products | 0.6 |
Silver | 0.3 |
Specialty Chemicals | 28.6 |
Steel | 5.5 |
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) |
Amcor plc | 8/31/21 | BOANA | 5,197 | (0.120) | 55 | — |
International Flavors & Fragrances Inc. | 1/31/22 | GSI | 3,422 | (0.192) | — | (34) |
55 | (34) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,106,346) | 3,393,466 |
Affiliated Issuers (Cost $11,335) | 11,336 |
Total Investments in Securities | 3,404,802 |
Investment in Vanguard | 120 |
Cash | 5 |
Receivables for Investment Securities Sold | 2,913 |
Receivables for Accrued Income | 5,502 |
Receivables for Capital Shares Issued | 2,468 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 55 |
Total Assets | 3,415,865 |
Liabilities | |
Due to Custodian | 97 |
Payables for Investment Securities Purchased | 12,165 |
Collateral for Securities on Loan | 195 |
Payables for Capital Shares Redeemed | 843 |
Payables to Vanguard | 158 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 34 |
Total Liabilities | 13,492 |
Net Assets | 3,402,373 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 3,148,014 |
Total Distributable Earnings (Loss) | 254,359 |
Net Assets | 3,402,373 |
ETF Shares—Net Assets | |
Applicable to 16,403,231 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,627,680 |
Net Asset Value Per Share—ETF Shares | $160.19 |
Admiral Shares—Net Assets | |
Applicable to 9,491,586 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 774,693 |
Net Asset Value Per Share—Admiral Shares | $81.62 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $134.84 | $122.80 | $134.33 | $124.29 | $108.16 | $96.39 |
Investment Operations | ||||||
Net Investment Income | 1.2591 | 2.5221 | 2.5011 | 2.2851 | 2.1751 | 1.980 |
Net Realized and Unrealized Gain (Loss) on Investments | 25.506 | 12.053 | (11.541) | 9.961 | 16.072 | 12.770 |
Total from Investment Operations | 26.765 | 14.575 | (9.040) | 12.246 | 18.247 | 14.750 |
Distributions | ||||||
Dividends from Net Investment Income | (1.415) | (2.535) | (2.490) | (2.206) | (2.117) | (2.980) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.415) | (2.535) | (2.490) | (2.206) | (2.117) | (2.980) |
Net Asset Value, End of Period | $160.19 | $134.84 | $122.80 | $134.33 | $124.29 | $108.16 |
Total Return | 19.94% | 12.12% | -6.73% | 9.91% | 17.06% | 15.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,628 | $1,676 | $1,921 | $2,749 | $1,913 | $1,448 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 2.05% | 2.04% | 1.71% | 1.87% | 2.06% |
Portfolio Turnover Rate2 | 3% | 4% | 4% | 5% | 5% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $68.70 | $62.57 | $68.45 | $63.33 | $55.11 | $49.12 |
Investment Operations | ||||||
Net Investment Income | .6461 | 1.2941 | 1.2821 | 1.1591 | 1.1041 | 1.008 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.995 | 6.130 | (5.892) | 5.084 | 8.195 | 6.505 |
Total from Investment Operations | 13.641 | 7.424 | (4.610) | 6.243 | 9.299 | 7.513 |
Distributions | ||||||
Dividends from Net Investment Income | (.721) | (1.294) | (1.270) | (1.123) | (1.079) | (1.523) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.721) | (1.294) | (1.270) | (1.123) | (1.079) | (1.523) |
Net Asset Value, End of Period | $81.62 | $68.70 | $62.57 | $68.45 | $63.33 | $55.11 |
Total Return2 | 19.96% | 12.14% | -6.74% | 9.91% | 17.06% | 15.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $775 | $583 | $482 | $452 | $372 | $235 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.69% | 2.08% | 2.04% | 1.71% | 1.87% | 2.06% |
Portfolio Turnover Rate3 | 3% | 4% | 4% | 5% | 5% | 6% |
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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,393,466 | — | — | 3,393,466 |
Temporary Cash Investments | 11,336 | — | — | 11,336 |
Total | 3,404,802 | — | — | 3,404,802 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 55 | — | 55 |
Liabilities | ||||
Swap Contracts | — | 34 | — | 34 |
D. | As of February 28, 2021, 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 | 3,123,477 |
Gross Unrealized Appreciation | 429,954 |
Gross Unrealized Depreciation | (148,629) |
Net Unrealized Appreciation (Depreciation) | 281,325 |
E. | During the six months ended February 28, 2021, the fund purchased $974,494,000 of investment securities and sold $284,540,000 of investment securities, other than temporary cash investments. Purchases and sales include $796,811,000 and $208,786,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 821,144 | 5,327 | 449,882 | 3,931 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (208,799) | (1,350) | (820,892) | (7,150) | |
Net Increase (Decrease)—ETF Shares | 612,345 | 3,977 | (371,010) | (3,219) | |
Admiral Shares | |||||
Issued | 158,681 | 2,042 | 170,584 | 2,794 | |
Issued in Lieu of Cash Distributions | 5,857 | 79 | 9,703 | 159 | |
Redeemed | (85,942) | (1,114) | (129,903) | (2,174) | |
Net Increase (Decrease)—Admiral Shares | 78,596 | 1,007 | 50,384 | 779 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Electric Utilities | 59.8% |
Gas Utilities | 4.6 |
Independent Power Producers & Energy Traders | 3.0 |
Multi-Utilities | 26.7 |
Renewable Electricity | 1.2 |
Water Utilities | 4.7 |
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) |
Ameren Corp. | 1/31/22 | GSI | 7,266 | (0.108) | — | (239) |
Sempra Energy | 8/31/21 | BOANA | 9,278 | (0.120) | — | (2) |
— | (241) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,331,461) | 5,366,305 |
Affiliated Issuers (Cost $1,153) | 1,153 |
Total Investments in Securities | 5,367,458 |
Investment in Vanguard | 216 |
Receivables for Investment Securities Sold | 10,979 |
Receivables for Accrued Income | 23,369 |
Receivables for Capital Shares Issued | 2,569 |
Total Assets | 5,404,591 |
Liabilities | |
Payables for Investment Securities Purchased | 18,250 |
Payables for Capital Shares Redeemed | 2,226 |
Payables to Vanguard | 262 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 241 |
Total Liabilities | 20,979 |
Net Assets | 5,383,612 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 5,408,961 |
Total Distributable Earnings (Loss) | (25,349) |
Net Assets | 5,383,612 |
ETF Shares—Net Assets | |
Applicable to 31,975,886 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,100,629 |
Net Asset Value Per Share—ETF Shares | $128.24 |
Admiral Shares—Net Assets | |
Applicable to 19,940,781 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,282,983 |
Net Asset Value Per Share—Admiral Shares | $64.34 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $129.35 | $139.09 | $119.32 | $120.75 | $107.35 | $91.41 |
Investment Operations | ||||||
Net Investment Income | 2.0831 | 4.3061 | 4.0871 | 3.7571 | 3.6971 | 3.355 |
Net Realized and Unrealized Gain (Loss) on Investments | (.977) | (9.802) | 19.562 | (1.434) | 13.374 | 15.889 |
Total from Investment Operations | 1.106 | (5.496) | 23.649 | 2.323 | 17.071 | 19.244 |
Distributions | ||||||
Dividends from Net Investment Income | (2.216) | (4.244) | (3.879) | (3.753) | (3.671) | (3.304) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.216) | (4.244) | (3.879) | (3.753) | (3.671) | (3.304) |
Net Asset Value, End of Period | $128.24 | $129.35 | $139.09 | $119.32 | $120.75 | $107.35 |
Total Return | 0.81% | -4.08% | 20.17% | 2.05% | 16.27% | 21.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,101 | $4,014 | $4,107 | $2,809 | $2,689 | $2,249 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 3.10% | 3.18% | 3.22% | 3.25% | 3.33% | 3.38% |
Portfolio Turnover Rate2 | 3% | 5% | 4% | 4% | 4% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $64.89 | $69.78 | $59.86 | $60.58 | $53.86 | $45.86 |
Investment Operations | ||||||
Net Investment Income | 1.0491 | 2.1631 | 2.0381 | 1.8831 | 1.8631 | 1.683 |
Net Realized and Unrealized Gain (Loss) on Investments | (.487) | (4.924) | 9.828 | (.719) | 6.698 | 7.974 |
Total from Investment Operations | .562 | (2.761) | 11.866 | 1.164 | 8.561 | 9.657 |
Distributions | ||||||
Dividends from Net Investment Income | (1.112) | (2.129) | (1.946) | (1.884) | (1.841) | (1.657) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.112) | (2.129) | (1.946) | (1.884) | (1.841) | (1.657) |
Net Asset Value, End of Period | $64.34 | $64.89 | $69.78 | $59.86 | $60.58 | $53.86 |
Total Return2 | 0.83% | -4.05% | 20.19% | 2.04% | 16.24% | 21.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,283 | $1,281 | $1,266 | $868 | $845 | $704 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 3.11% | 3.18% | 3.22% | 3.25% | 3.33% | 3.38% |
Portfolio Turnover Rate3 | 3% | 5% | 4% | 4% | 4% | 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 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 5,366,305 | — | — | 5,366,305 |
Temporary Cash Investments | 1,153 | — | — | 1,153 |
Total | 5,367,458 | — | — | 5,367,458 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 241 | — | 241 |
D. | As of February 28, 2021, 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 | 5,345,920 |
Gross Unrealized Appreciation | 449,581 |
Gross Unrealized Depreciation | (428,043) |
Net Unrealized Appreciation (Depreciation) | 21,538 |
E. | During the six months ended February 28, 2021, the fund purchased $673,312,000 of investment securities and sold $553,233,000 of investment securities, other than temporary cash investments. Purchases and sales include $427,585,000 and $392,086,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 506,942 | 3,818 | 1,271,911 | 9,330 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (392,768) | (2,875) | (1,030,181) | (7,825) | |
Net Increase (Decrease)—ETF Shares | 114,174 | 943 | 241,730 | 1,505 | |
Admiral Shares | |||||
Issued | 220,074 | 3,226 | 569,278 | 8,372 | |
Issued in Lieu of Cash Distributions | 17,726 | 268 | 33,444 | 493 | |
Redeemed | (224,486) | (3,297) | (4,783,710) | (7,268) | |
Net Increase (Decrease)—Admiral Shares | 13,314 | 197 | 124,351 | 1,597 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Extended Duration Treasury Index Fund | |||
ETF Shares | $1,000.00 | $856.90 | $0.32 |
Institutional Shares | 1,000.00 | 856.80 | 0.28 |
Institutional Plus Shares | 1,000.00 | 856.70 | 0.18 |
Based on Hypothetical 5% Yearly Return | |||
Extended Duration Treasury Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.60 | 0.20 |
15 - 20 Years | 0.4% |
20 - 25 Years | 51.4 |
25 - 30 Years | 48.2 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (100.0%) | ||||||
U.S. Government Securities (100.0%) | ||||||
United States Treasury Strip Coupon | 0.000% | 2/15/41 | 12,443 | 8,082 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/41 | 63,051 | 40,619 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/41 | 66,015 | 42,291 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/41 | 59,007 | 37,516 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/42 | 67,889 | 42,860 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/42 | 40,726 | 25,495 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/42 | 77,238 | 48,123 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/42 | 48,116 | 29,783 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/43 | 50,601 | 31,143 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/43 | 72,246 | 44,183 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/43 | 50,051 | 30,410 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/43 | 51,263 | 30,942 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/44 | 66,562 | 39,953 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/44 | 41,159 | 24,525 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/44 | 36,963 | 21,852 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/44 | 56,987 | 33,475 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/45 | 49,532 | 28,938 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/45 | 49,701 | 28,881 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/45 | 33,547 | 19,355 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/45 | 54,011 | 30,976 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/46 | 59,373 | 33,945 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/46 | 59,138 | 33,556 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/46 | 50,252 | 28,373 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/46 | 58,960 | 33,119 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/47 | 55,455 | 31,033 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/47 | 50,102 | 27,865 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/47 | 45,484 | 25,144 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/47 | 65,703 | 36,085 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/48 | 42,104 | 23,055 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/48 | 71,272 | 38,821 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/48 | 41,884 | 22,709 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/48 | 47,537 | 25,674 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/49 | 43,151 | 23,180 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/49 | 33,660 | 17,998 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/49 | 12,624 | 6,727 | ||
United States Treasury Strip Coupon | 0.000% | 11/15/49 | 8,175 | 4,360 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/50 | 9,024 | 4,764 | ||
United States Treasury Strip Coupon | 0.000% | 5/15/50 | 3,557 | 1,873 | ||
United States Treasury Strip Coupon | 0.000% | 8/15/50 | 2,024 | 1,063 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Strip Coupon | 0.000% | 11/15/50 | 1,019 | 533 | ||
United States Treasury Strip Coupon | 0.000% | 2/15/51 | 1,067 | 554 | ||
United States Treasury Strip Principal | 0.000% | 5/15/41 | 38,710 | 25,634 | ||
United States Treasury Strip Principal | 0.000% | 8/15/41 | 40,956 | 26,890 | ||
United States Treasury Strip Principal | 0.000% | 11/15/41 | 37,894 | 24,690 | ||
United States Treasury Strip Principal | 0.000% | 2/15/42 | 26,264 | 17,016 | ||
United States Treasury Strip Principal | 0.000% | 5/15/42 | 22,220 | 14,249 | ||
United States Treasury Strip Principal | 0.000% | 8/15/42 | 25,615 | 16,304 | ||
United States Treasury Strip Principal | 0.000% | 11/15/42 | 47,002 | 29,670 | ||
United States Treasury Strip Principal | 0.000% | 2/15/43 | 49,172 | 30,859 | ||
United States Treasury Strip Principal | 0.000% | 5/15/43 | 24,877 | 15,513 | ||
United States Treasury Strip Principal | 0.000% | 8/15/43 | 38,761 | 23,999 | ||
United States Treasury Strip Principal | 0.000% | 11/15/43 | 47,228 | 29,023 | ||
United States Treasury Strip Principal | 0.000% | 2/15/44 | 40,732 | 24,853 | ||
United States Treasury Strip Principal | 0.000% | 5/15/44 | 30,302 | 18,337 | ||
United States Treasury Strip Principal | 0.000% | 8/15/44 | 50,008 | 30,056 | ||
United States Treasury Strip Principal | 0.000% | 11/15/44 | 45,868 | 27,388 | ||
United States Treasury Strip Principal | 0.000% | 2/15/45 | 25,342 | 15,027 | ||
United States Treasury Strip Principal | 0.000% | 5/15/45 | 32,142 | 18,984 | ||
United States Treasury Strip Principal | 0.000% | 8/15/45 | 46,470 | 27,250 | ||
United States Treasury Strip Principal | 0.000% | 11/15/45 | 44,749 | 26,108 | ||
United States Treasury Strip Principal | 0.000% | 2/15/46 | 44,728 | 25,893 | ||
United States Treasury Strip Principal | 0.000% | 5/15/46 | 41,384 | 23,776 | ||
United States Treasury Strip Principal | 0.000% | 8/15/46 | 27,271 | 15,583 | ||
United States Treasury Strip Principal | 0.000% | 11/15/46 | 55,396 | 31,489 | ||
United States Treasury Strip Principal | 0.000% | 2/15/47 | 59,080 | 33,477 | ||
United States Treasury Strip Principal | 0.000% | 5/15/47 | 39,017 | 21,984 | ||
United States Treasury Strip Principal | 0.000% | 8/15/47 | 48,840 | 27,328 | ||
United States Treasury Strip Principal | 0.000% | 11/15/47 | 66,994 | 37,276 | ||
United States Treasury Strip Principal | 0.000% | 2/15/48 | 69,448 | 38,462 | ||
United States Treasury Strip Principal | 0.000% | 5/15/48 | 57,795 | 31,832 | ||
United States Treasury Strip Principal | 0.000% | 8/15/48 | 40,947 | 22,447 | ||
United States Treasury Strip Principal | 0.000% | 11/15/48 | 31,851 | 17,409 | ||
United States Treasury Strip Principal | 0.000% | 2/15/49 | 66,603 | 36,174 | ||
United States Treasury Strip Principal | 0.000% | 5/15/49 | 46,462 | 25,100 | ||
United States Treasury Strip Principal | 0.000% | 8/15/49 | 55,404 | 29,719 | ||
United States Treasury Strip Principal | 0.000% | 11/15/49 | 74,886 | 40,023 | ||
United States Treasury Strip Principal | 0.000% | 2/15/50 | 57,924 | 30,799 | ||
United States Treasury Strip Principal | 0.000% | 5/15/50 | 101,693 | 53,746 | ||
United States Treasury Strip Principal | 0.000% | 8/15/50 | 102,050 | 53,680 | ||
United States Treasury Strip Principal | 0.000% | 11/15/50 | 105,550 | 55,208 | ||
United States Treasury Strip Principal | 0.000% | 2/15/51 | 97,050 | 50,345 | ||
Total U.S. Government and Agency Obligations (Cost $2,258,472) | 2,203,433 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $339) | 0.099% | 3,395 | 339 | ||
Total Investments (100.0%) (Cost $2,258,811) | 2,203,772 | |||||
Other Assets and Liabilities—Net (0.0%) | (546) | |||||
Net Assets (100%) | 2,203,226 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,258,472) | 2,203,433 |
Affiliated Issuers (Cost $339) | 339 |
Total Investments in Securities | 2,203,772 |
Investment in Vanguard | 93 |
Receivables for Investment Securities Sold | 60,122 |
Receivables for Capital Shares Issued | 12,500 |
Total Assets | 2,276,487 |
Liabilities | |
Due to Custodian | 119 |
Payables for Investment Securities Purchased | 65,561 |
Payables for Capital Shares Redeemed | 7,517 |
Payables to Vanguard | 64 |
Total Liabilities | 73,261 |
Net Assets | 2,203,226 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 2,059,949 |
Total Distributable Earnings (Loss) | 143,277 |
Net Assets | 2,203,226 |
ETF Shares—Net Assets | |
Applicable to 8,075,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,080,057 |
Net Asset Value Per Share—ETF Shares | $133.75 |
Institutional Shares—Net Assets | |
Applicable to 19,106,721 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 772,092 |
Net Asset Value Per Share—Institutional Shares | $40.41 |
Institutional Plus Shares—Net Assets | |
Applicable to 3,461,054 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 351,077 |
Net Asset Value Per Share—Institutional Plus Shares | $101.44 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 26,694 |
Total Income | 26,694 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 32 |
Management and Administrative—ETF Shares | 454 |
Management and Administrative—Institutional Shares | 229 |
Management and Administrative—Institutional Plus Shares | 89 |
Marketing and Distribution—ETF Shares | 37 |
Marketing and Distribution—Institutional Shares | 11 |
Marketing and Distribution—Institutional Plus Shares | 3 |
Custodian Fees | 3 |
Shareholders’ Reports—ETF Shares | 20 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—Institutional Plus Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 878 |
Net Investment Income | 25,816 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | 192,532 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (614,168) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (395,820) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $188,801,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 25,816 | 63,819 | |
Realized Net Gain (Loss) | 192,532 | 405,593 | |
Change in Unrealized Appreciation (Depreciation) | (614,168) | (49,993) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (395,820) | 419,419 | |
Distributions | |||
ETF Shares | (62,239) | (39,381) | |
Institutional Shares | (36,767) | (26,547) | |
Institutional Plus Shares | (22,186) | (23,883) | |
Total Distributions | (121,192) | (89,811) | |
Capital Share Transactions | |||
ETF Shares | (459,878) | 343,500 | |
Institutional Shares | 44,786 | (76,455) | |
Institutional Plus Shares | (253,581) | (182,509) | |
Net Increase (Decrease) from Capital Share Transactions | (668,673) | 84,536 | |
Total Increase (Decrease) | (1,185,685) | 414,144 | |
Net Assets | |||
Beginning of Period | 3,388,911 | 2,974,767 | |
End of Period | 2,203,226 | 3,388,911 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $163.11 | $146.43 | $113.39 | $120.92 | $139.77 | $116.00 |
Investment Operations | ||||||
Net Investment Income | 1.3931 | 3.1461 | 3.3471 | 3.3531 | 3.3831 | 3.420 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (23.945) | 18.113 | 32.972 | (7.272) | (16.377) | 25.019 |
Total from Investment Operations | (22.552) | 21.259 | 36.319 | (3.919) | (12.994) | 28.439 |
Distributions | ||||||
Dividends from Net Investment Income | (1.474) | (3.329) | (3.279) | (3.314) | (3.402) | (3.414) |
Distributions from Realized Capital Gains | (5.334) | (1.250) | — | (.297) | (2.454) | (1.255) |
Total Distributions | (6.808) | (4.579) | (3.279) | (3.611) | (5.856) | (4.669) |
Net Asset Value, End of Period | $133.75 | $163.11 | $146.43 | $113.39 | $120.92 | $139.77 |
Total Return | -14.31% | 14.98% | 32.92% | -3.24% | -8.86% | 25.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,080 | $1,810 | $1,333 | $658 | $623 | $615 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 2.06% | 2.87% | 2.93% | 2.90% | 2.77% |
Portfolio Turnover Rate3 | 8% | 17% | 20% | 18% | 18% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.03, $.07, $.04, $.07, $.16, and $.06. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $49.27 | $44.24 | $34.25 | $36.52 | $42.20 | $35.02 |
Investment Operations | ||||||
Net Investment Income | .4221 | .9591 | 1.0151 | 1.0161 | 1.0241 | 1.036 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (7.222) | 5.459 | 9.967 | (2.191) | (4.934) | 7.558 |
Total from Investment Operations | (6.800) | 6.418 | 10.982 | (1.175) | (3.910) | 8.594 |
Distributions | ||||||
Dividends from Net Investment Income | (.448) | (1.010) | (.992) | (1.005) | (1.030) | (1.035) |
Distributions from Realized Capital Gains | (1.612) | (.378) | — | (.090) | (.740) | (.379) |
Total Distributions | (2.060) | (1.388) | (.992) | (1.095) | (1.770) | (1.414) |
Net Asset Value, End of Period | $40.41 | $49.27 | $44.24 | $34.25 | $36.52 | $42.20 |
Total Return3 | -14.32% | 14.98% | 32.94% | -3.23% | -8.86% | 25.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $772 | $889 | $862 | $787 | $682 | $660 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.83% | 2.10% | 2.88% | 2.94% | 2.91% | 2.78% |
Portfolio Turnover Rate4 | 8% | 17% | 20% | 18% | 18% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.01, $.02, $.01, $.02, $.05, and $.02. |
3 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $123.70 | $111.06 | $85.99 | $91.68 | $105.93 | $87.92 |
Investment Operations | ||||||
Net Investment Income | 1.0741 | 2.4321 | 2.5641 | 2.5681 | 2.5881 | 2.620 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (18.153) | 13.716 | 25.015 | (5.492) | (12.375) | 18.958 |
Total from Investment Operations | (17.079) | 16.148 | 27.579 | (2.924) | (9.787) | 21.578 |
Distributions | ||||||
Dividends from Net Investment Income | (1.135) | (2.560) | (2.509) | (2.541) | (2.603) | (2.616) |
Distributions from Realized Capital Gains | (4.046) | (.948) | — | (.225) | (1.860) | (.952) |
Total Distributions | (5.181) | (3.508) | (2.509) | (2.766) | (4.463) | (3.568) |
Net Asset Value, End of Period | $101.44 | $123.70 | $111.06 | $85.99 | $91.68 | $105.93 |
Total Return3 | -14.33% | 15.02% | 32.95% | -3.20% | -8.84% | 25.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $351 | $689 | $780 | $533 | $367 | $258 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.84% | 2.12% | 2.90% | 2.96% | 2.93% | 2.80% |
Portfolio Turnover Rate4 | 8% | 17% | 20% | 18% | 18% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.02, $.05, $.03, $.06, $.12, and $.05. |
3 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 2,203,433 | — | 2,203,433 |
Temporary Cash Investments | 339 | — | — | 339 |
Total | 339 | 2,203,433 | — | 2,203,772 |
Amount ($000) | |
Tax Cost | 2,260,506 |
Gross Unrealized Appreciation | 142,757 |
Gross Unrealized Depreciation | (199,491) |
Net Unrealized Appreciation (Depreciation) | (56,734) |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued1 | 532,866 | 3,400 | 1,411,503 | 8,875 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (992,744) | (6,425) | (1,068,003) | (6,875) | |
Net Increase (Decrease)—ETF Shares | (459,878) | (3,025) | 343,500 | 2,000 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued1 | 83,809 | 1,875 | 166,646 | 3,592 | |
Issued in Lieu of Cash Distributions | 36,572 | 789 | 26,362 | 611 | |
Redeemed | (75,595) | (1,608) | (269,463) | (5,642) | |
Net Increase (Decrease)—Institutional Shares | 44,786 | 1,056 | (76,455) | (1,439) | |
Institutional Plus Shares | |||||
Issued1 | 4,466 | 35 | 332 | — | |
Issued in Lieu of Cash Distributions | 22,186 | 191 | 23,883 | 221 | |
Redeemed | (280,233) | (2,335) | (206,724) | (1,674) | |
Net Increase (Decrease)—Institutional Plus Shares | (253,581) | (2,109) | (182,509) | (1,453) |
1 | Includes purchase fees for fiscal 2021 and 2020 of $470,000 and $1,324,000, respectively (fund totals). |
Vanguard Mega Cap Index Fund |
Vanguard Mega Cap Growth Index Fund |
Vanguard Mega Cap Value Index Fund |
About Your Fund’s Expenses | 1 |
Mega Cap Index Fund | 3 |
Mega Cap Growth Index Fund | 20 |
Mega Cap Value Index Fund | 34 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Mega Cap Index Fund | |||
ETF Shares | $1,000.00 | $1,084.10 | $0.36 |
Institutional Shares | 1,000.00 | 1,084.20 | 0.31 |
Mega Cap Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,035.00 | $0.35 |
Institutional Shares | 1,000.00 | 1,035.10 | 0.30 |
Mega Cap Value Index Fund | |||
ETF Shares | $1,000.00 | $1,152.60 | $0.37 |
Institutional Shares | 1,000.00 | 1,152.80 | 0.32 |
Based on Hypothetical 5% Yearly Return | |||
Mega Cap Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Mega Cap Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Mega Cap Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Basic Materials | 1.2% |
Consumer Discretionary | 16.7 |
Consumer Staples | 5.4 |
Energy | 2.4 |
Financials | 10.5 |
Health Care | 13.0 |
Industrials | 13.3 |
Real Estate | 1.3 |
Technology | 30.3 |
Telecommunications | 3.8 |
Utilities | 2.1 |
Shares | Market Value• ($000) | ||
Common Stocks (99.8%) | |||
Basic Materials (1.1%) | |||
Linde plc | 68,658 | 16,771 | |
Air Products and Chemicals Inc. | 29,013 | 7,416 | |
Ecolab Inc. | 33,571 | 7,029 | |
Dow Inc. | 97,169 | 5,763 | |
Newmont Corp. | 52,875 | 2,876 | |
LyondellBasell Industries NV Class A | 16,521 | 1,703 | |
41,558 | |||
Consumer Discretionary (16.7%) | |||
* | Amazon.com Inc. | 55,846 | 172,728 |
* | Tesla Inc. | 99,347 | 67,109 |
Walt Disney Co. | 236,742 | 44,754 | |
Home Depot Inc. | 141,067 | 36,443 | |
* | Netflix Inc. | 57,855 | 31,175 |
Walmart Inc. | 185,585 | 24,111 | |
NIKE Inc. Class B | 164,445 | 22,164 | |
McDonald's Corp. | 97,620 | 20,123 | |
Costco Wholesale Corp. | 57,822 | 19,139 | |
Starbucks Corp. | 153,751 | 16,610 | |
Lowe's Cos. Inc. | 95,972 | 15,332 | |
* | Booking Holdings Inc. | 5,326 | 12,402 |
Target Corp. | 65,605 | 12,035 | |
Activision Blizzard Inc. | 101,181 | 9,674 | |
TJX Cos. Inc. | 141,393 | 9,331 | |
General Motors Co. | 159,000 | 8,161 | |
* | Uber Technologies Inc. | 149,941 | 7,759 |
Estee Lauder Cos. Inc. Class A | 26,772 | 7,653 | |
Dollar General Corp. | 32,542 | 6,150 | |
Ford Motor Co. | 512,323 | 5,994 | |
Ross Stores Inc. | 46,497 | 5,423 | |
Electronic Arts Inc. | 38,047 | 5,097 | |
eBay Inc. | 85,978 | 4,851 | |
Marriott International Inc. Class A | 31,885 | 4,721 | |
* | O'Reilly Automotive Inc. | 9,427 | 4,217 |
Yum! Brands Inc. | 39,407 | 4,080 | |
VF Corp. | 40,641 | 3,216 | |
Las Vegas Sands Corp. | 50,008 | 3,131 | |
* | Lululemon Athletica Inc. | 7,772 | 2,422 |
Southwest Airlines Co. | 38,973 | 2,265 |
Shares | Market Value• ($000) | ||
Hilton Worldwide Holdings Inc. | 18,290 | 2,262 | |
* | AutoZone Inc. | 1,553 | 1,801 |
* | Airbnb Inc. Class A | 6,550 | 1,352 |
Sirius XM Holdings Inc. | 67,687 | 396 | |
594,081 | |||
Consumer Staples (5.4%) | |||
Procter & Gamble Co. | 324,853 | 40,129 | |
Coca-Cola Co. | 506,694 | 24,823 | |
PepsiCo Inc. | 181,062 | 23,391 | |
Philip Morris International Inc. | 203,913 | 17,133 | |
CVS Health Corp. | 171,324 | 11,672 | |
Altria Group Inc. | 243,217 | 10,604 | |
Mondelez International Inc. Class A | 187,274 | 9,956 | |
Colgate-Palmolive Co. | 112,127 | 8,432 | |
Kimberly-Clark Corp. | 44,649 | 5,730 | |
Sysco Corp. | 63,535 | 5,059 | |
Walgreens Boots Alliance Inc. | 96,565 | 4,628 | |
Constellation Brands Inc. Class A | 21,152 | 4,530 | |
General Mills Inc. | 79,749 | 4,387 | |
* | Monster Beverage Corp. | 48,561 | 4,261 |
Brown-Forman Corp. Class B | 40,805 | 2,921 | |
Kraft Heinz Co. | 80,231 | 2,919 | |
Hershey Co. | 19,423 | 2,829 | |
Keurig Dr Pepper Inc. | 73,996 | 2,258 | |
Archer-Daniels-Midland Co. | 36,545 | 2,068 | |
McKesson Corp. | 10,520 | 1,783 | |
Kroger Co. | 48,285 | 1,555 | |
Brown-Forman Corp. Class A | 5,391 | 359 | |
191,427 | |||
Energy (2.4%) | |||
Exxon Mobil Corp. | 553,663 | 30,103 | |
Chevron Corp. | 252,027 | 25,203 | |
ConocoPhillips | 177,333 | 9,223 | |
Schlumberger NV | 181,590 | 5,068 | |
EOG Resources Inc. | 76,442 | 4,935 | |
Kinder Morgan Inc. | 252,149 | 3,707 | |
Phillips 66 | 28,724 | 2,385 | |
Marathon Petroleum Corp. | 42,956 | 2,346 | |
Williams Cos. Inc. | 80,033 | 1,828 | |
84,798 | |||
Financials (10.5%) | |||
JPMorgan Chase & Co. | 399,409 | 58,781 | |
* | Berkshire Hathaway Inc. Class B | 233,411 | 56,138 |
Bank of America Corp. | 1,020,234 | 35,412 | |
Wells Fargo & Co. | 514,644 | 18,615 | |
Citigroup Inc. | 272,791 | 17,971 | |
Morgan Stanley | 196,551 | 15,109 | |
Goldman Sachs Group Inc. | 45,123 | 14,416 | |
BlackRock Inc. | 17,970 | 12,480 | |
Charles Schwab Corp. | 199,989 | 12,343 | |
S&P Global Inc. | 31,508 | 10,377 | |
Truist Financial Corp. | 176,510 | 10,054 | |
CME Group Inc. | 47,008 | 9,388 | |
PNC Financial Services Group Inc. | 55,439 | 9,334 |
Shares | Market Value• ($000) | ||
U.S. Bancorp | 177,789 | 8,889 | |
Chubb Ltd. | 50,292 | 8,176 | |
Intercontinental Exchange Inc. | 73,743 | 8,135 | |
Marsh & McLennan Cos. Inc. | 66,420 | 7,653 | |
Aon plc Class A | 29,835 | 6,794 | |
Progressive Corp. | 76,849 | 6,605 | |
Blackstone Group Inc. Class A | 88,238 | 6,109 | |
Moody's Corp. | 20,993 | 5,771 | |
MetLife Inc. | 88,680 | 5,108 | |
T Rowe Price Group Inc. | 29,732 | 4,821 | |
Travelers Cos. Inc. | 33,006 | 4,802 | |
Prudential Financial Inc. | 51,932 | 4,504 | |
Bank of New York Mellon Corp. | 104,195 | 4,393 | |
Aflac Inc. | 87,643 | 4,197 | |
Allstate Corp. | 37,928 | 4,043 | |
American International Group Inc. | 55,960 | 2,459 | |
* | Berkshire Hathaway Inc. Class A | 5 | 1,823 |
*,1 | Rocket Cos. Inc. Class A | 15,062 | 329 |
375,029 | |||
Health Care (13.0%) | |||
Johnson & Johnson | 344,931 | 54,658 | |
UnitedHealth Group Inc. | 124,296 | 41,294 | |
Abbott Laboratories | 232,153 | 27,807 | |
AbbVie Inc. | 231,300 | 24,920 | |
Pfizer Inc. | 728,161 | 24,386 | |
Merck & Co. Inc. | 331,495 | 24,073 | |
Thermo Fisher Scientific Inc. | 51,903 | 23,361 | |
Eli Lilly and Co. | 112,817 | 23,115 | |
Medtronic plc | 176,318 | 20,624 | |
Danaher Corp. | 83,754 | 18,398 | |
Bristol-Myers Squibb Co. | 296,007 | 18,154 | |
Amgen Inc. | 76,216 | 17,143 | |
* | Intuitive Surgical Inc. | 15,428 | 11,367 |
Stryker Corp. | 44,271 | 10,744 | |
Gilead Sciences Inc. | 163,979 | 10,068 | |
Cigna Corp. | 47,285 | 9,925 | |
Anthem Inc. | 32,632 | 9,894 | |
Zoetis Inc. | 62,168 | 9,651 | |
Becton Dickinson and Co. | 37,952 | 9,152 | |
* | Illumina Inc. | 19,109 | 8,397 |
* | Boston Scientific Corp. | 187,235 | 7,261 |
* | Vertex Pharmaceuticals Inc. | 34,102 | 7,248 |
* | Edwards Lifesciences Corp. | 81,439 | 6,768 |
Humana Inc. | 17,360 | 6,591 | |
HCA Healthcare Inc. | 35,544 | 6,115 | |
* | Regeneron Pharmaceuticals Inc. | 13,035 | 5,873 |
* | Biogen Inc. | 20,140 | 5,496 |
Baxter International Inc. | 67,054 | 5,209 | |
Agilent Technologies Inc. | 40,189 | 4,906 | |
Zimmer Biomet Holdings Inc. | 27,206 | 4,436 | |
* | Moderna Inc. | 20,808 | 3,221 |
* | Alexion Pharmaceuticals Inc. | 13,717 | 2,095 |
462,350 |
Shares | Market Value• ($000) | ||
Industrials (13.3%) | |||
Visa Inc. Class A | 221,723 | 47,092 | |
Mastercard Inc. Class A | 116,523 | 41,232 | |
* | PayPal Holdings Inc. | 153,475 | 39,880 |
Accenture plc Class A | 83,019 | 20,829 | |
Honeywell International Inc. | 91,935 | 18,603 | |
Union Pacific Corp. | 88,269 | 18,180 | |
Boeing Co. | 73,978 | 15,684 | |
Caterpillar Inc. | 71,133 | 15,356 | |
United Parcel Service Inc. Class B | 93,661 | 14,783 | |
General Electric Co. | 1,146,392 | 14,376 | |
Raytheon Technologies Corp. | 198,949 | 14,322 | |
3M Co. | 75,592 | 13,233 | |
Deere & Co. | 37,019 | 12,924 | |
* | Square Inc. Class A | 50,284 | 11,567 |
Fidelity National Information Services Inc. | 81,216 | 11,208 | |
American Express Co. | 79,071 | 10,695 | |
Lockheed Martin Corp. | 31,199 | 10,303 | |
Automatic Data Processing Inc. | 53,351 | 9,284 | |
CSX Corp. | 100,045 | 9,159 | |
* | Fiserv Inc. | 74,633 | 8,610 |
Norfolk Southern Corp. | 33,323 | 8,399 | |
FedEx Corp. | 31,000 | 7,889 | |
Global Payments Inc. | 39,118 | 7,745 | |
Illinois Tool Works Inc. | 37,227 | 7,527 | |
Sherwin-Williams Co. | 10,727 | 7,298 | |
Capital One Financial Corp. | 60,119 | 7,226 | |
Eaton Corp. plc | 52,118 | 6,785 | |
Emerson Electric Co. | 78,285 | 6,725 | |
Northrop Grumman Corp. | 19,674 | 5,738 | |
Johnson Controls International plc | 95,116 | 5,307 | |
General Dynamics Corp. | 31,912 | 5,217 | |
DuPont de Nemours Inc. | 70,279 | 4,942 | |
Cummins Inc. | 19,272 | 4,880 | |
Parker-Hannifin Corp. | 16,862 | 4,839 | |
Trane Technologies plc | 31,560 | 4,836 | |
PPG Industries Inc. | 30,872 | 4,162 | |
PACCAR Inc. | 45,587 | 4,148 | |
Paychex Inc. | 42,209 | 3,844 | |
Stanley Black & Decker Inc. | 20,888 | 3,652 | |
Rockwell Automation Inc. | 7,595 | 1,848 | |
Otis Worldwide Corp. | 28,269 | 1,801 | |
* | Vontier Corp. | 20 | 1 |
472,129 | |||
Real Estate (1.3%) | |||
American Tower Corp. | 58,149 | 12,568 | |
Prologis Inc. | 96,920 | 9,602 | |
Crown Castle International Corp. | 56,602 | 8,816 | |
Equinix Inc. | 11,645 | 7,550 | |
Public Storage | 19,455 | 4,551 | |
Simon Property Group Inc. | 21,407 | 2,417 | |
45,504 | |||
Technology (30.2%) | |||
Apple Inc. | 2,004,508 | 243,067 | |
Microsoft Corp. | 990,440 | 230,158 |
Shares | Market Value• ($000) | ||
* | Facebook Inc. Class A | 314,960 | 81,140 |
* | Alphabet Inc. Class A | 39,313 | 79,487 |
* | Alphabet Inc. Class C | 36,792 | 74,940 |
NVIDIA Corp. | 77,075 | 42,282 | |
Intel Corp. | 536,975 | 32,637 | |
* | Adobe Inc. | 62,804 | 28,869 |
Broadcom Inc. | 52,978 | 24,893 | |
* | salesforce.com Inc. | 113,189 | 24,505 |
Texas Instruments Inc. | 120,310 | 20,726 | |
QUALCOMM Inc. | 148,224 | 20,187 | |
Oracle Corp. | 236,649 | 15,266 | |
Applied Materials Inc. | 119,566 | 14,132 | |
International Business Machines Corp. | 116,719 | 13,881 | |
* | ServiceNow Inc. | 25,558 | 13,634 |
* | Micron Technology Inc. | 145,681 | 13,334 |
* | Advanced Micro Devices Inc. | 157,529 | 13,313 |
Intuit Inc. | 32,714 | 12,763 | |
Lam Research Corp. | 18,803 | 10,665 | |
* | Zoom Video Communications Inc. Class A | 24,229 | 9,052 |
* | Autodesk Inc. | 28,762 | 7,938 |
Analog Devices Inc. | 48,370 | 7,537 | |
* | Workday Inc. Class A | 23,621 | 5,791 |
TE Connectivity Ltd. | 43,457 | 5,651 | |
HP Inc. | 180,384 | 5,226 | |
Roper Technologies Inc. | 13,732 | 5,186 | |
Cognizant Technology Solutions Corp. Class A | 70,192 | 5,158 | |
* | Snap Inc. Class A | 72,919 | 4,788 |
* | Twilio Inc. Class A | 9,193 | 3,612 |
* | Dell Technologies Class C | 32,497 | 2,635 |
* | VMware Inc. Class A | 10,460 | 1,446 |
* | Snowflake Inc. Class A | 3,442 | 893 |
* | DoorDash Inc. Class A | 3,813 | 646 |
1,075,438 | |||
Telecommunications (3.8%) | |||
Comcast Corp. Class A | 598,192 | 31,537 | |
Verizon Communications Inc. | 542,322 | 29,990 | |
AT&T Inc. | 933,629 | 26,039 | |
Cisco Systems Inc. | 498,189 | 22,354 | |
* | Charter Communications Inc. Class A | 18,311 | 11,232 |
* | T-Mobile US Inc. | 73,089 | 8,769 |
L3Harris Technologies Inc. | 27,564 | 5,014 | |
134,935 | |||
Utilities (2.1%) | |||
NextEra Energy Inc. | 256,739 | 18,865 | |
Duke Energy Corp. | 96,370 | 8,248 | |
Southern Co. | 138,079 | 7,832 | |
Dominion Energy Inc. | 107,058 | 7,314 | |
Waste Management Inc. | 55,484 | 6,153 | |
Exelon Corp. | 127,336 | 4,915 | |
American Electric Power Co. Inc. | 64,907 | 4,858 | |
Sempra Energy | 37,972 | 4,404 | |
Xcel Energy Inc. | 68,638 | 4,022 | |
Public Service Enterprise Group Inc. | 66,292 | 3,568 | |
Republic Services Inc. Class A | 27,220 | 2,425 |
Shares | Market Value• ($000) | ||
Consolidated Edison Inc. | 22,433 | 1,473 | |
74,077 | |||
Total Common Stocks (Cost $2,207,990) | 3,551,326 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $2,142) | 21,421 | 2,142 |
Total Investments (99.9%) (Cost $2,210,132) | 3,553,468 | ||
Other Assets and Liabilities—Net (0.1%) | 4,513 | ||
Net Assets (100%) | 3,557,981 | ||
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 $308,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $296,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 35 | 6,666 | (143) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,207,990) | 3,551,326 |
Affiliated Issuers (Cost $2,142) | 2,142 |
Total Investments in Securities | 3,553,468 |
Investment in Vanguard | 132 |
Cash Collateral Pledged—Futures Contracts | 412 |
Receivables for Accrued Income | 4,948 |
Receivables for Capital Shares Issued | 1 |
Total Assets | 3,558,961 |
Liabilities | |
Payables for Investment Securities Purchased | 531 |
Collateral for Securities on Loan | 296 |
Payables to Vanguard | 118 |
Variation Margin Payable—Futures Contracts | 35 |
Total Liabilities | 980 |
Net Assets | 3,557,981 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 2,179,904 |
Total Distributable Earnings (Loss) | 1,378,077 |
Net Assets | 3,557,981 |
ETF Shares—Net Assets | |
Applicable to 25,050,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,380,297 |
Net Asset Value Per Share—ETF Shares | $134.94 |
Institutional Shares—Net Assets | |
Applicable to 667,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 177,684 |
Net Asset Value Per Share—Institutional Shares | $266.06 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 26,358 |
Interest1 | 4 |
Securities Lending—Net | 10 |
Total Income | 26,372 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 251 |
Management and Administrative—ETF Shares | 785 |
Management and Administrative—Institutional Shares | 37 |
Marketing and Distribution—ETF Shares | 63 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 11 |
Shareholders’ Reports—ETF Shares | 3 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,152 |
Net Investment Income | 25,220 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 56,768 |
Futures Contracts | 990 |
Realized Net Gain (Loss) | 57,758 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 191,460 |
Futures Contracts | (599) |
Change in Unrealized Appreciation (Depreciation) | 190,861 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 273,839 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $68,303,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 25,220 | 46,077 | |
Realized Net Gain (Loss) | 57,758 | 121,553 | |
Change in Unrealized Appreciation (Depreciation) | 190,861 | 472,864 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 273,839 | 640,494 | |
Distributions | |||
ETF Shares | (24,882) | (41,365) | |
Institutional Shares | (1,444) | (2,886) | |
Total Distributions | (26,326) | (44,251) | |
Capital Share Transactions | |||
ETF Shares | 109,862 | 532,703 | |
Institutional Shares | (15,780) | (5,958) | |
Net Increase (Decrease) from Capital Share Transactions | 94,082 | 526,745 | |
Total Increase (Decrease) | 341,595 | 1,122,988 | |
Net Assets | |||
Beginning of Period | 3,216,386 | 2,093,398 | |
End of Period | 3,557,981 | 3,216,386 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $125.47 | $101.36 | $100.26 | $85.02 | $74.19 | $67.35 |
Investment Operations | ||||||
Net Investment Income | .9671 | 1.9921 | 2.0451 | 1.7901 | 1.6761 | 1.582 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.512 | 24.065 | 1.052 | 15.214 | 10.788 | 6.793 |
Total from Investment Operations | 10.479 | 26.057 | 3.097 | 17.004 | 12.464 | 8.375 |
Distributions | ||||||
Dividends from Net Investment Income | (1.009) | (1.947) | (1.997) | (1.764) | (1.634) | (1.535) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.009) | (1.947) | (1.997) | (1.764) | (1.634) | (1.535) |
Net Asset Value, End of Period | $134.94 | $125.47 | $101.36 | $100.26 | $85.02 | $74.19 |
Total Return | 8.41% | 26.14% | 3.26% | 20.25% | 17.01% | 12.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,380 | $3,036 | $1,944 | $1,542 | $1,233 | $1,057 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.50% | 1.85% | 2.10% | 1.93% | 2.12% | 2.23% |
Portfolio Turnover Rate2 | 2% | 4% | 4% | 4% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $247.38 | $199.84 | $197.68 | $167.62 | $146.25 | $132.77 |
Investment Operations | ||||||
Net Investment Income | 1.9211 | 3.9431 | 4.0531 | 3.5131 | 3.3621 | 3.117 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.760 | 47.454 | 2.062 | 30.038 | 21.220 | 13.419 |
Total from Investment Operations | 20.681 | 51.397 | 6.115 | 33.551 | 24.582 | 16.536 |
Distributions | ||||||
Dividends from Net Investment Income | (2.001) | (3.857) | (3.955) | (3.491) | (3.212) | (3.056) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.001) | (3.857) | (3.955) | (3.491) | (3.212) | (3.056) |
Net Asset Value, End of Period | $266.06 | $247.38 | $199.84 | $197.68 | $167.62 | $146.25 |
Total Return | 8.42% | 26.19% | 3.25% | 20.26% | 17.02% | 12.63% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $178 | $180 | $150 | $122 | $132 | $133 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.51% | 1.86% | 2.11% | 1.94% | 2.13% | 2.24% |
Portfolio Turnover Rate2 | 2% | 4% | 4% | 4% | 6% | 7% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of February 28, 2021, 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 | 2,210,317 |
Gross Unrealized Appreciation | 1,387,611 |
Gross Unrealized Depreciation | (44,603) |
Net Unrealized Appreciation (Depreciation) | 1,343,008 |
E. | During the six months ended February 28, 2021, the fund purchased $279,082,000 of investment securities and sold $181,976,000 of investment securities, other than temporary cash investments. Purchases and sales include $215,600,000 and $112,528,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 235,344 | 1,875 | 767,900 | 7,475 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (125,482) | (1,025) | (235,197) | (2,450) | |
Net Increase (Decrease)—ETF Shares | 109,862 | 850 | 532,703 | 5,025 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 5,772 | 23 | 14,779 | 73 | |
Issued in Lieu of Cash Distributions | 705 | 3 | 1,311 | 7 | |
Redeemed | (22,257) | (86) | (22,048) | (102) | |
Net Increase (Decrease)—Institutional Shares | (15,780) | (60) | (5,958) | (22) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 1.4% |
Consumer Discretionary | 24.6 |
Consumer Staples | 0.9 |
Financials | 1.8 |
Health Care | 6.6 |
Industrials | 12.7 |
Real Estate | 1.7 |
Technology | 49.5 |
Telecommunications | 0.8 |
Shares | Market Value• ($000) | ||
Common Stocks (99.9%) | |||
Basic Materials (1.4%) | |||
* | Linde plc | 345,359 | 84,361 |
Ecolab Inc. | 168,983 | 35,378 | |
Newmont Corp. | 264,615 | 14,390 | |
134,129 | |||
Consumer Discretionary (24.6%) | |||
* | Amazon.com Inc. | 280,982 | 869,058 |
* | Tesla Inc. | 499,534 | 337,435 |
Home Depot Inc. | 709,248 | 183,227 | |
* | Netflix Inc. | 291,069 | 156,843 |
NIKE Inc. Class B | 826,772 | 111,432 | |
McDonald's Corp. | 490,828 | 101,179 | |
Costco Wholesale Corp. | 290,695 | 96,220 | |
Starbucks Corp. | 773,186 | 83,527 | |
Lowe's Cos. Inc. | 482,719 | 77,114 | |
* | Booking Holdings Inc. | 26,942 | 62,735 |
Activision Blizzard Inc. | 508,679 | 48,635 | |
TJX Cos. Inc. | 710,294 | 46,872 | |
* | Uber Technologies Inc. | 754,425 | 39,041 |
Estee Lauder Cos. Inc. Class A | 134,544 | 38,461 | |
Dollar General Corp. | 163,818 | 30,960 | |
Ross Stores Inc. | 234,806 | 27,388 | |
Electronic Arts Inc. | 191,214 | 25,617 | |
* | O'Reilly Automotive Inc. | 47,812 | 21,388 |
Yum! Brands Inc. | 198,826 | 20,584 | |
* | Lululemon Athletica Inc. | 38,984 | 12,151 |
Hilton Worldwide Holdings Inc. | 91,354 | 11,299 | |
* | AutoZone Inc. | 7,627 | 8,847 |
* | Airbnb Inc. Class A | 32,708 | 6,749 |
Sirius XM Holdings Inc. | 348,182 | 2,037 | |
2,418,799 | |||
Consumer Staples (0.9%) | |||
Colgate-Palmolive Co. | 564,247 | 42,431 | |
* | Monster Beverage Corp. | 243,670 | 21,379 |
Brown-Forman Corp. Class B | 206,059 | 14,750 | |
Hershey Co. | 97,186 | 14,155 | |
Brown-Forman Corp. Class A | 26,141 | 1,741 | |
94,456 |
Shares | Market Value• ($000) | ||
Financials (1.8%) | |||
S&P Global Inc. | 158,400 | 52,171 | |
Intercontinental Exchange Inc. | 369,461 | 40,755 | |
Aon plc Class A | 150,865 | 34,354 | |
Moody's Corp. | 105,287 | 28,942 | |
Marsh & McLennan Cos. Inc. | 167,317 | 19,278 | |
175,500 | |||
Health Care (6.6%) | |||
Thermo Fisher Scientific Inc. | 261,091 | 117,512 | |
* | Intuitive Surgical Inc. | 77,427 | 57,048 |
Stryker Corp. | 222,706 | 54,049 | |
Zoetis Inc. | 312,910 | 48,576 | |
Danaher Corp. | 210,497 | 46,240 | |
Becton Dickinson and Co. | 190,945 | 46,046 | |
Bristol-Myers Squibb Co. | 743,990 | 45,629 | |
* | Illumina Inc. | 96,283 | 42,308 |
* | Boston Scientific Corp. | 944,693 | 36,635 |
* | Vertex Pharmaceuticals Inc. | 171,533 | 36,459 |
* | Edwards Lifesciences Corp. | 410,422 | 34,106 |
* | Regeneron Pharmaceuticals Inc. | 65,616 | 29,565 |
Agilent Technologies Inc. | 201,879 | 24,643 | |
* | Moderna Inc. | 104,006 | 16,101 |
Baxter International Inc. | 168,187 | 13,067 | |
647,984 | |||
Industrials (12.6%) | |||
Visa Inc. Class A | 1,114,938 | 236,802 | |
Mastercard Inc. Class A | 586,060 | 207,377 | |
* | PayPal Holdings Inc. | 771,974 | 200,597 |
Accenture plc Class A | 417,440 | 104,736 | |
Boeing Co. | 371,832 | 78,832 | |
* | Square Inc. Class A | 252,709 | 58,131 |
Fidelity National Information Services Inc. | 408,550 | 56,380 | |
Automatic Data Processing Inc. | 268,130 | 46,660 | |
Union Pacific Corp. | 221,780 | 45,678 | |
* | Fiserv Inc. | 374,992 | 43,263 |
Global Payments Inc. | 197,450 | 39,093 | |
United Parcel Service Inc. Class B | 235,363 | 37,147 | |
Sherwin-Williams Co. | 53,917 | 36,682 | |
Lockheed Martin Corp. | 78,189 | 25,822 | |
Paychex Inc. | 213,127 | 19,409 | |
Rockwell Automation Inc. | 38,199 | 9,293 | |
1,245,902 | |||
Real Estate (1.7%) | |||
American Tower Corp. | 292,651 | 63,250 | |
Crown Castle International Corp. | 283,910 | 44,219 | |
Equinix Inc. | 58,725 | 38,074 | |
Public Storage | 98,028 | 22,933 | |
168,476 | |||
Technology (49.5%) | |||
Apple Inc. | 10,080,370 | 1,222,346 | |
Microsoft Corp. | 4,980,731 | 1,157,422 | |
* | Facebook Inc. Class A | 1,583,695 | 407,991 |
* | Alphabet Inc. Class A | 197,793 | 399,920 |
* | Alphabet Inc. Class C | 184,927 | 376,670 |
Shares | Market Value• ($000) | ||
NVIDIA Corp. | 387,405 | 212,523 | |
* | Adobe Inc. | 316,028 | 145,269 |
Broadcom Inc. | 266,494 | 125,218 | |
* | salesforce.com Inc. | 569,576 | 123,313 |
Texas Instruments Inc. | 604,421 | 104,124 | |
Applied Materials Inc. | 601,506 | 71,092 | |
* | ServiceNow Inc. | 128,534 | 68,568 |
* | Advanced Micro Devices Inc. | 792,347 | 66,961 |
Intuit Inc. | 164,365 | 64,125 | |
Lam Research Corp. | 94,820 | 53,781 | |
* | Zoom Video Communications Inc. Class A | 121,738 | 45,482 |
* | Autodesk Inc. | 144,631 | 39,918 |
Analog Devices Inc. | 243,757 | 37,982 | |
* | Micron Technology Inc. | 367,232 | 33,613 |
* | Workday Inc. Class A | 118,783 | 29,123 |
Roper Technologies Inc. | 69,185 | 26,126 | |
* | Snap Inc. Class A | 365,751 | 24,015 |
* | Twilio Inc. Class A | 46,080 | 18,104 |
*,1 | VMware Inc. Class A | 52,474 | 7,252 |
* | Snowflake Inc. Class A | 17,302 | 4,491 |
*,1 | DoorDash Inc. Class A | 19,031 | 3,226 |
4,868,655 | |||
Telecommunications (0.8%) | |||
* | Charter Communications Inc. Class A | 92,090 | 56,490 |
L3Harris Technologies Inc. | 138,609 | 25,214 | |
81,704 | |||
Total Common Stocks (Cost $6,263,682) | 9,835,605 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $4,843) | 48,427 | 4,843 |
Total Investments (100.0%) (Cost $6,268,525) | 9,840,448 | ||
Other Assets and Liabilities—Net (0.0%) | 1,077 | ||
Net Assets (100%) | 9,841,525 | ||
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 $4,709,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $4,842,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | March 2021 | 15 | 3,873 | (140) |
E-mini S&P 500 Index | March 2021 | 11 | 2,095 | (16) |
(156) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $6,263,682) | 9,835,605 |
Affiliated Issuers (Cost $4,843) | 4,843 |
Total Investments in Securities | 9,840,448 |
Investment in Vanguard | 373 |
Cash Collateral Pledged—Futures Contracts | 256 |
Receivables for Investment Securities Sold | 198 |
Receivables for Accrued Income | 6,386 |
Variation Margin Receivable—Futures Contracts | 7 |
Total Assets | 9,847,668 |
Liabilities | |
Due to Custodian | 966 |
Collateral for Securities on Loan | 4,842 |
Payables for Capital Shares Redeemed | 1 |
Payables to Vanguard | 334 |
Total Liabilities | 6,143 |
Net Assets | 9,841,525 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 5,518,864 |
Total Distributable Earnings (Loss) | 4,322,661 |
Net Assets | 9,841,525 |
ETF Shares—Net Assets | |
Applicable to 48,464,192 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,807,746 |
Net Asset Value Per Share—ETF Shares | $202.37 |
Institutional Shares—Net Assets | |
Applicable to 84,036 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 33,779 |
Net Asset Value Per Share—Institutional Shares | $401.96 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 35,604 |
Interest1 | 3 |
Securities Lending—Net | 6 |
Total Income | 35,613 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 736 |
Management and Administrative—ETF Shares | 2,390 |
Management and Administrative—Institutional Shares | 14 |
Marketing and Distribution—ETF Shares | 188 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 20 |
Shareholders’ Reports—ETF Shares | 64 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 3,414 |
Net Investment Income | 32,199 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 939,197 |
Futures Contracts | 1,614 |
Realized Net Gain (Loss) | 940,811 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (665,463) |
Futures Contracts | (177) |
Change in Unrealized Appreciation (Depreciation) | (665,640) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 307,370 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $964,383,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 32,199 | 55,154 | |
Realized Net Gain (Loss) | 940,811 | 263,771 | |
Change in Unrealized Appreciation (Depreciation) | (665,640) | 2,767,434 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 307,370 | 3,086,359 | |
Distributions | |||
ETF Shares | (35,908) | (51,457) | |
Institutional Shares | (259) | (515) | |
Total Distributions | (36,167) | (51,972) | |
Capital Share Transactions | |||
ETF Shares | (653,605) | 2,801,123 | |
Institutional Shares | (49,902) | 6,716 | |
Net Increase (Decrease) from Capital Share Transactions | (703,507) | 2,807,839 | |
Total Increase (Decrease) | (432,304) | 5,842,226 | |
Net Assets | |||
Beginning of Period | 10,273,829 | 4,431,603 | |
End of Period | 9,841,525 | 10,273,829 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $196.25 | $132.22 | $127.79 | $104.09 | $87.15 | $80.22 |
Investment Operations | ||||||
Net Investment Income | .6411 | 1.3581 | 1.5881 | 1.4851 | 1.3511 | 1.269 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.196 | 64.007 | 3.860 | 23.677 | 16.920 | 6.897 |
Total from Investment Operations | 6.837 | 65.365 | 5.448 | 25.162 | 18.271 | 8.166 |
Distributions | ||||||
Dividends from Net Investment Income | (.717) | (1.335) | (1.018) | (1.462) | (1.331) | (1.236) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.717) | (1.335) | (1.018) | (1.462) | (1.331) | (1.236) |
Net Asset Value, End of Period | $202.37 | $196.25 | $132.22 | $127.79 | $104.09 | $87.15 |
Total Return | 3.50% | 49.84% | 4.32% | 24.38% | 21.17% | 10.28% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,808 | $10,193 | $4,388 | $4,152 | $3,135 | $2,247 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.63% | 0.90% | 1.30% | 1.29% | 1.43% | 1.55% |
Portfolio Turnover Rate2 | 2% | 6% | 14% | 9% | 8% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $389.78 | $262.63 | $253.80 | $206.74 | $173.07 | $159.31 |
Investment Operations | ||||||
Net Investment Income | 1.2671 | 2.7071 | 3.1841 | 2.9631 | 2.6991 | 2.528 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.344 | 127.126 | 7.684 | 47.023 | 33.622 | 13.693 |
Total from Investment Operations | 13.611 | 129.833 | 10.868 | 49.986 | 36.321 | 16.221 |
Distributions | ||||||
Dividends from Net Investment Income | (1.431) | (2.683) | (2.038) | (2.926) | (2.651) | (2.461) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.431) | (2.683) | (2.038) | (2.926) | (2.651) | (2.461) |
Net Asset Value, End of Period | $401.96 | $389.78 | $262.63 | $253.80 | $206.74 | $173.07 |
Total Return | 3.51% | 49.87% | 4.34% | 24.39% | 21.20% | 10.28% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $34 | $81 | $43 | $43 | $35 | $30 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.63% | 0.91% | 1.31% | 1.30% | 1.44% | 1.56% |
Portfolio Turnover Rate2 | 2% | 6% | 14% | 9% | 8% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of February 28, 2021, 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 | 6,268,594 |
Gross Unrealized Appreciation | 3,580,205 |
Gross Unrealized Depreciation | (8,507) |
Net Unrealized Appreciation (Depreciation) | 3,571,698 |
E. | During the six months ended February 28, 2021, the fund purchased $1,115,901,000 of investment securities and sold $1,824,739,000 of investment securities, other than temporary cash investments. Purchases and sales include $903,174,000 and $1,618,531,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 954,567 | 4,975 | 3,379,154 | 22,750 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,608,172) | (8,450) | (578,031) | (4,000) | |
Net Increase (Decrease)—ETF Shares | (653,605) | (3,475) | 2,801,123 | 18,750 | |
Institutional Shares | |||||
Issued | 2,542 | 6 | 41,327 | 157 | |
Issued in Lieu of Cash Distributions | 259 | 1 | 515 | 2 | |
Redeemed | (52,703) | (131) | (35,126) | (116) | |
Net Increase (Decrease)—Institutional Shares | (49,902) | (124) | 6,716 | 43 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 0.9% |
Consumer Discretionary | 7.1 |
Consumer Staples | 10.8 |
Energy | 5.3 |
Financials | 21.3 |
Health Care | 20.9 |
Industrials | 14.1 |
Real Estate | 0.8 |
Technology | 6.7 |
Telecommunications | 7.4 |
Utilities | 4.7 |
Shares | Market Value• ($000) | ||
Common Stocks (99.9%) | |||
Basic Materials (0.9%) | |||
Air Products and Chemicals Inc. | 69,965 | 17,885 | |
Dow Inc. | 234,780 | 13,925 | |
LyondellBasell Industries NV Class A | 39,406 | 4,062 | |
International Flavors & Fragrances Inc. | 1 | — | |
35,872 | |||
Consumer Discretionary (7.1%) | |||
Walt Disney Co. | 571,999 | 108,131 | |
Walmart Inc. | 448,493 | 58,268 | |
Target Corp. | 158,563 | 29,087 | |
General Motors Co. | 385,130 | 19,769 | |
Ford Motor Co. | 1,235,434 | 14,454 | |
eBay Inc. | 207,211 | 11,691 | |
Marriott International Inc. Class A | 77,094 | 11,415 | |
VF Corp. | 98,472 | 7,792 | |
Las Vegas Sands Corp. | 120,628 | 7,551 | |
Southwest Airlines Co. | 93,182 | 5,417 | |
273,575 | |||
Consumer Staples (10.8%) | |||
Procter & Gamble Co. | 785,077 | 96,980 | |
Coca-Cola Co. | 1,224,243 | 59,976 | |
PepsiCo Inc. | 437,541 | 56,526 | |
Philip Morris International Inc. | 492,883 | 41,412 | |
CVS Health Corp. | 414,268 | 28,224 | |
Altria Group Inc. | 587,923 | 25,633 | |
Mondelez International Inc. Class A | 452,876 | 24,075 | |
Kimberly-Clark Corp. | 107,529 | 13,799 | |
Sysco Corp. | 153,078 | 12,190 | |
Walgreens Boots Alliance Inc. | 232,818 | 11,159 | |
Constellation Brands Inc. Class A | 51,044 | 10,931 | |
General Mills Inc. | 193,547 | 10,647 | |
Kraft Heinz Co. | 193,011 | 7,022 | |
Keurig Dr Pepper Inc. | 178,607 | 5,451 | |
Archer-Daniels-Midland Co. | 87,720 | 4,963 | |
McKesson Corp. | 25,367 | 4,300 | |
Kroger Co. | 116,399 | 3,749 | |
417,037 |
Shares | Market Value• ($000) | ||
Energy (5.3%) | |||
Exxon Mobil Corp. | 1,338,309 | 72,764 | |
Chevron Corp. | 609,420 | 60,942 | |
ConocoPhillips | 428,845 | 22,304 | |
Schlumberger NV | 440,470 | 12,293 | |
EOG Resources Inc. | 184,419 | 11,906 | |
Kinder Morgan Inc. | 610,240 | 8,971 | |
Phillips 66 | 68,925 | 5,724 | |
Marathon Petroleum Corp. | 102,621 | 5,605 | |
Williams Cos. Inc. | 191,491 | 4,374 | |
204,883 | |||
Financials (21.3%) | |||
JPMorgan Chase & Co. | 964,842 | 141,996 | |
* | Berkshire Hathaway Inc. Class B | 579,785 | 139,444 |
Bank of America Corp. | 2,464,464 | 85,542 | |
Wells Fargo & Co. | 1,243,162 | 44,965 | |
Citigroup Inc. | 658,999 | 43,415 | |
Morgan Stanley | 474,832 | 36,500 | |
Goldman Sachs Group Inc. | 108,927 | 34,800 | |
BlackRock Inc. | 43,448 | 30,175 | |
Charles Schwab Corp. | 483,568 | 29,846 | |
Truist Financial Corp. | 426,617 | 24,300 | |
CME Group Inc. | 113,633 | 22,693 | |
PNC Financial Services Group Inc. | 134,075 | 22,573 | |
U.S. Bancorp | 428,946 | 21,447 | |
Chubb Ltd. | 121,465 | 19,748 | |
Progressive Corp. | 185,332 | 15,929 | |
Blackstone Group Inc. Class A | 213,583 | 14,786 | |
MetLife Inc. | 213,758 | 12,312 | |
Travelers Cos. Inc. | 80,222 | 11,672 | |
T Rowe Price Group Inc. | 71,588 | 11,607 | |
Prudential Financial Inc. | 125,519 | 10,885 | |
Bank of New York Mellon Corp. | 252,644 | 10,652 | |
Aflac Inc. | 211,632 | 10,135 | |
Allstate Corp. | 91,419 | 9,745 | |
Marsh & McLennan Cos. Inc. | 80,387 | 9,262 | |
American International Group Inc. | 136,741 | 6,010 | |
*,1 | Rocket Cos. Inc. Class A | 36,260 | 792 |
* | Berkshire Hathaway Inc. Class A | 1 | 365 |
821,596 | |||
Health Care (20.9%) | |||
Johnson & Johnson | 833,219 | 132,032 | |
UnitedHealth Group Inc. | 300,344 | 99,780 | |
Abbott Laboratories | 561,013 | 67,198 | |
AbbVie Inc. | 558,725 | 60,197 | |
Pfizer Inc. | 1,759,200 | 58,916 | |
Merck & Co. Inc. | 800,812 | 58,155 | |
Eli Lilly and Co. | 272,509 | 55,834 | |
Medtronic plc | 425,874 | 49,815 | |
Amgen Inc. | 184,246 | 41,441 | |
Gilead Sciences Inc. | 396,703 | 24,358 | |
Cigna Corp. | 114,342 | 24,000 | |
Anthem Inc. | 78,707 | 23,863 | |
Danaher Corp. | 101,253 | 22,242 | |
Bristol-Myers Squibb Co. | 357,587 | 21,931 |
Shares | Market Value• ($000) | ||
Humana Inc. | 41,874 | 15,897 | |
HCA Healthcare Inc. | 85,720 | 14,746 | |
* | Biogen Inc. | 48,708 | 13,291 |
Zimmer Biomet Holdings Inc. | 65,660 | 10,707 | |
Baxter International Inc. | 80,750 | 6,274 | |
* | Alexion Pharmaceuticals Inc. | 32,913 | 5,027 |
805,704 | |||
Industrials (14.1%) | |||
Honeywell International Inc. | 222,077 | 44,937 | |
Caterpillar Inc. | 171,986 | 37,128 | |
General Electric Co. | 2,772,134 | 34,763 | |
Raytheon Technologies Corp. | 480,586 | 34,597 | |
3M Co. | 182,511 | 31,950 | |
Deere & Co. | 89,297 | 31,175 | |
American Express Co. | 191,255 | 25,869 | |
CSX Corp. | 242,111 | 22,165 | |
Union Pacific Corp. | 106,679 | 21,972 | |
Norfolk Southern Corp. | 80,401 | 20,266 | |
FedEx Corp. | 74,886 | 19,059 | |
Illinois Tool Works Inc. | 90,224 | 18,242 | |
United Parcel Service Inc. Class B | 113,145 | 17,858 | |
Capital One Financial Corp. | 144,887 | 17,414 | |
Eaton Corp. plc | 126,205 | 16,431 | |
Emerson Electric Co. | 189,395 | 16,269 | |
Northrop Grumman Corp. | 47,473 | 13,846 | |
Johnson Controls International plc | 229,081 | 12,780 | |
General Dynamics Corp. | 77,213 | 12,622 | |
Lockheed Martin Corp. | 37,685 | 12,445 | |
DuPont de Nemours Inc. | 169,847 | 11,944 | |
Cummins Inc. | 46,875 | 11,869 | |
Parker-Hannifin Corp. | 40,681 | 11,674 | |
Trane Technologies plc | 76,072 | 11,657 | |
PPG Industries Inc. | 74,856 | 10,092 | |
PACCAR Inc. | 109,742 | 9,985 | |
Stanley Black & Decker Inc. | 50,709 | 8,866 | |
Otis Worldwide Corp. | 68,539 | 4,367 | |
542,242 | |||
Real Estate (0.8%) | |||
Prologis Inc. | 233,809 | 23,164 | |
Simon Property Group Inc. | 51,286 | 5,791 | |
28,955 | |||
Technology (6.7%) | |||
Intel Corp. | 1,297,025 | 78,833 | |
QUALCOMM Inc. | 357,962 | 48,751 | |
Oracle Corp. | 571,979 | 36,899 | |
International Business Machines Corp. | 282,028 | 33,542 | |
* | Micron Technology Inc. | 175,956 | 16,105 |
TE Connectivity Ltd. | 104,778 | 13,624 | |
HP Inc. | 434,824 | 12,597 | |
Cognizant Technology Solutions Corp. Class A | 169,014 | 12,419 | |
* | Dell Technologies Class C | 78,145 | 6,335 |
259,105 |
Shares | Market Value• ($000) | ||
Telecommunications (7.4%) | |||
Comcast Corp. Class A | 1,445,254 | 76,194 | |
Verizon Communications Inc. | 1,310,157 | 72,452 | |
AT&T Inc. | 2,255,217 | 62,898 | |
Cisco Systems Inc. | 1,203,505 | 54,001 | |
* | T-Mobile US Inc. | 176,789 | 21,209 |
286,754 | |||
Utilities (4.6%) | |||
NextEra Energy Inc. | 620,149 | 45,569 | |
Duke Energy Corp. | 233,039 | 19,946 | |
Southern Co. | 334,371 | 18,966 | |
Dominion Energy Inc. | 258,237 | 17,643 | |
Waste Management Inc. | 133,894 | 14,847 | |
Exelon Corp. | 307,850 | 11,883 | |
American Electric Power Co. Inc. | 157,011 | 11,752 | |
Sempra Energy | 91,577 | 10,621 | |
Xcel Energy Inc. | 166,374 | 9,748 | |
Public Service Enterprise Group Inc. | 160,186 | 8,623 | |
Republic Services Inc. Class A | 65,519 | 5,837 | |
Consolidated Edison Inc. | 53,944 | 3,541 | |
178,976 | |||
Total Common Stocks (Cost $3,044,048) | 3,854,699 | ||
Temporary Cash Investments (0.0%) | |||
Money Market Fund (0.0%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $741) | 7,409 | 741 |
Total Investments (99.9%) (Cost $3,044,789) | 3,855,440 | ||
Other Assets and Liabilities—Net (0.1%) | 3,057 | ||
Net Assets (100%) | 3,858,497 | ||
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 $769,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $739,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 20 | 3,809 | (34) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,044,048) | 3,854,699 |
Affiliated Issuers (Cost $741) | 741 |
Total Investments in Securities | 3,855,440 |
Investment in Vanguard | 138 |
Cash Collateral Pledged—Futures Contracts | 280 |
Receivables for Accrued Income | 8,819 |
Receivables for Capital Shares Issued | 2 |
Total Assets | 3,864,679 |
Liabilities | |
Due to Custodian | 3,858 |
Payables for Investment Securities Purchased | 1,300 |
Collateral for Securities on Loan | 739 |
Payables for Capital Shares Redeemed | 135 |
Payables to Vanguard | 125 |
Variation Margin Payable—Futures Contracts | 25 |
Total Liabilities | 6,182 |
Net Assets | 3,858,497 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 3,064,781 |
Total Distributable Earnings (Loss) | 793,716 |
Net Assets | 3,858,497 |
ETF Shares—Net Assets | |
Applicable to 41,535,539 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,729,568 |
Net Asset Value Per Share—ETF Shares | $89.79 |
Institutional Shares—Net Assets | |
Applicable to 724,103 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 128,929 |
Net Asset Value Per Share—Institutional Shares | $178.05 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 45,994 |
Interest1 | 1 |
Securities Lending—Net | 21 |
Total Income | 46,016 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 258 |
Management and Administrative—ETF Shares | 786 |
Management and Administrative—Institutional Shares | 24 |
Marketing and Distribution—ETF Shares | 71 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 22 |
Shareholders’ Reports—ETF Shares | 22 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,185 |
Net Investment Income | 44,831 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 33,307 |
Futures Contracts | 435 |
Realized Net Gain (Loss) | 33,742 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 409,953 |
Futures Contracts | (258) |
Change in Unrealized Appreciation (Depreciation) | 409,695 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 488,268 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $67,787,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 44,831 | 80,365 | |
Realized Net Gain (Loss) | 33,742 | 21,714 | |
Change in Unrealized Appreciation (Depreciation) | 409,695 | 18,262 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 488,268 | 120,341 | |
Distributions | |||
ETF Shares | (43,911) | (74,008) | |
Institutional Shares | (1,618) | (3,648) | |
Total Distributions | (45,529) | (77,656) | |
Capital Share Transactions | |||
ETF Shares | 285,708 | 526,191 | |
Institutional Shares | (3,942) | (17,219) | |
Net Increase (Decrease) from Capital Share Transactions | 281,766 | 508,972 | |
Total Increase (Decrease) | 724,505 | 551,657 | |
Net Assets | |||
Beginning of Period | 3,133,992 | 2,582,335 | |
End of Period | 3,858,497 | 3,133,992 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $78.96 | $78.94 | $79.89 | $70.19 | $63.52 | $56.89 |
Investment Operations | ||||||
Net Investment Income | 1.0911 | 2.2711 | 2.2611 | 1.8931 | 1.8431 | 1.638 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.847 | (.044) | (1.027) | 9.668 | 6.557 | 6.583 |
Total from Investment Operations | 11.938 | 2.227 | 1.234 | 11.561 | 8.400 | 8.221 |
Distributions | ||||||
Dividends from Net Investment Income | (1.108) | (2.207) | (2.184) | (1.861) | (1.730) | (1.591) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.108) | (2.207) | (2.184) | (1.861) | (1.730) | (1.591) |
Net Asset Value, End of Period | $89.79 | $78.96 | $78.94 | $79.89 | $70.19 | $63.52 |
Total Return | 15.26% | 2.94% | 1.69% | 16.71% | 13.40% | 14.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,730 | $3,017 | $2,448 | $2,120 | $1,717 | $1,322 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.63% | 2.90% | 2.90% | 2.50% | 2.73% | 2.84% |
Portfolio Turnover Rate2 | 6% | 9% | 10% | 8% | 8% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $156.56 | $156.53 | $158.41 | $139.18 | $125.94 | $112.80 |
Investment Operations | ||||||
Net Investment Income | 2.1701 | 4.5221 | 4.4671 | 3.7431 | 3.5961 | 3.259 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.523 | (.102) | (2.002) | 19.188 | 13.077 | 13.063 |
Total from Investment Operations | 23.693 | 4.420 | 2.465 | 22.931 | 16.673 | 16.322 |
Distributions | ||||||
Dividends from Net Investment Income | (2.203) | (4.390) | (4.345) | (3.701) | (3.433) | (3.182) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.203) | (4.390) | (4.345) | (3.701) | (3.433) | (3.182) |
Net Asset Value, End of Period | $178.05 | $156.56 | $156.53 | $158.41 | $139.18 | $125.94 |
Total Return | 15.28% | 3.00% | 1.68% | 16.71% | 13.41% | 14.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $129 | $117 | $134 | $131 | $125 | $207 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 2.64% | 2.89% | 2.91% | 2.51% | 2.74% | 2.85% |
Portfolio Turnover Rate2 | 6% | 9% | 10% | 8% | 8% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of February 28, 2021, 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 | 3,046,478 |
Gross Unrealized Appreciation | 897,617 |
Gross Unrealized Depreciation | (88,689) |
Net Unrealized Appreciation (Depreciation) | 808,928 |
E. | During the six months ended February 28, 2021, the fund purchased $675,594,000 of investment securities and sold $391,794,000 of investment securities, other than temporary cash investments. Purchases and sales include $427,419,000 and $181,582,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 460,573 | 5,476 | 673,200 | 9,075 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (174,865) | (2,150) | (147,009) | (1,875) | |
Net Increase (Decrease)—ETF Shares | 285,708 | 3,326 | 526,191 | 7,200 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 6,310 | 37 | 7,676 | 51 | |
Issued in Lieu of Cash Distributions | 1,005 | 6 | 2,292 | 15 | |
Redeemed | (11,257) | (67) | (27,187) | (177) | |
Net Increase (Decrease)—Institutional Shares | (3,942) | (24) | (17,219) | (111) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Global Wellington Fund | |||
Investor Shares | $1,000.00 | $1,092.70 | $2.18 |
AdmiralTM Shares | 1,000.00 | 1,093.40 | 1.66 |
Based on Hypothetical 5% Yearly Return | |||
Global Wellington Fund | |||
Investor Shares | $1,000.00 | $1,022.71 | $2.11 |
Admiral Shares | 1,000.00 | 1,023.21 | 1.61 |
United States | 58.0% |
United Kingdom | 9.6 |
Japan | 7.1 |
France | 5.9 |
Switzerland | 4.2 |
Sweden | 2.2 |
Spain | 1.7 |
Canada | 1.7 |
Taiwan | 1.6 |
Germany | 1.3 |
South Korea | 1.3 |
Other | 5.4 |
Shares | Market Value• ($000) | |||||
Common Stocks (65.1%) | ||||||
Canada (0.6%) | ||||||
Dollarama Inc. | 137,112 | 5,218 | ||||
Suncor Energy Inc. | 202,944 | 4,030 | ||||
9,248 | ||||||
France (4.3%) | ||||||
TOTAL SE | 210,719 | 9,826 | ||||
* | Engie SA | 660,499 | 9,616 | |||
* | BNP Paribas SA | 149,617 | 8,894 | |||
* | Safran SA | 63,786 | 8,695 | |||
Vinci SA | 75,875 | 7,891 | ||||
Arkema SA | 67,628 | 7,455 | ||||
*,1 | Amundi SA | 61,899 | 4,704 | |||
Schneider Electric SE | 23,126 | 3,420 | ||||
Legrand SA | 25,164 | 2,188 | ||||
62,689 | ||||||
Germany (0.4%) | ||||||
Bayerische Motoren Werke AG | 69,354 | 5,993 | ||||
Japan (5.7%) | ||||||
Tokio Marine Holdings Inc. | 306,997 | 15,251 | ||||
Nippon Telegraph & Telephone Corp. | 479,744 | 12,428 | ||||
Astellas Pharma Inc. | 764,000 | 12,080 | ||||
Marui Group Co. Ltd. | 524,465 | 10,060 | ||||
Isuzu Motors Ltd. | 913,414 | 9,613 | ||||
Mitsubishi UFJ Financial Group Inc. | 1,178,022 | 6,196 | ||||
Sumitomo Mitsui Financial Group Inc. | 174,801 | 6,171 | ||||
Honda Motor Co. Ltd. | 222,100 | 6,139 | ||||
Mitsubishi Estate Co. Ltd. | 319,400 | 5,558 | ||||
83,496 | ||||||
Netherlands (0.2%) | ||||||
ING Groep NV | 319,690 | 3,501 | ||||
South Korea (1.2%) | ||||||
Samsung Electronics Co. Ltd. | 244,693 | 17,933 | ||||
Spain (1.4%) | ||||||
Iberdrola SA | 933,121 | 11,694 | ||||
CaixaBank SA | 3,015,874 | 8,734 | ||||
20,428 | ||||||
Sweden (2.1%) | ||||||
* | Autoliv Inc. | 153,822 | 13,844 |
Shares | Market Value• ($000) | |||||
* | Alfa Laval AB | 286,630 | 8,854 | |||
Lundin Energy AB | 263,451 | 8,549 | ||||
31,247 | ||||||
Switzerland (3.6%) | ||||||
Novartis AG (Registered) | 257,511 | 22,178 | ||||
Nestle SA (Registered) | 144,589 | 15,091 | ||||
Julius Baer Group Ltd. | 133,926 | 8,244 | ||||
Zurich Insurance Group AG | 19,652 | 8,022 | ||||
53,535 | ||||||
Taiwan (1.6%) | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,053,175 | 23,009 | ||||
United Kingdom (6.4%) | ||||||
2 | AstraZeneca plc ADR | 413,621 | 20,011 | |||
Diageo plc | 412,215 | 16,216 | ||||
Prudential plc | 729,369 | 14,529 | ||||
Linde plc | 51,645 | 12,719 | ||||
WPP plc | 948,254 | 11,341 | ||||
* | Rotork plc | 1,803,732 | 9,005 | |||
Derwent London plc | 108,647 | 5,003 | ||||
BAE Systems plc | 724,768 | 4,906 | ||||
93,730 | ||||||
United States (37.6%) | ||||||
Microsoft Corp. | 116,319 | 27,030 | ||||
Johnson & Johnson | 166,762 | 26,425 | ||||
Bank of America Corp. | 730,855 | 25,368 | ||||
Cisco Systems Inc. | 499,412 | 22,409 | ||||
United Parcel Service Inc. Class B | 131,868 | 20,813 | ||||
Chubb Ltd. | 122,386 | 19,898 | ||||
Medtronic plc | 154,790 | 18,106 | ||||
Deere & Co. | 50,634 | 17,677 | ||||
General Motors Co. | 327,969 | 16,835 | ||||
Comcast Corp. Class A | 304,531 | 16,055 | ||||
JPMorgan Chase & Co. | 106,433 | 15,664 | ||||
Sempra Energy | 132,499 | 15,367 | ||||
American Express Co. | 112,896 | 15,270 | ||||
McDonald's Corp. | 73,952 | 15,244 | ||||
Mondelez International Inc. Class A | 284,714 | 15,135 | ||||
Northrop Grumman Corp. | 50,720 | 14,793 | ||||
Merck & Co. Inc. | 196,471 | 14,268 | ||||
Raytheon Technologies Corp. | 194,995 | 14,038 | ||||
Broadcom Inc. | 29,635 | 13,925 | ||||
UnitedHealth Group Inc. | 40,025 | 13,297 | ||||
TJX Cos. Inc. | 197,709 | 13,047 | ||||
Texas Instruments Inc. | 74,450 | 12,825 | ||||
Eli Lilly & Co. | 60,037 | 12,301 | ||||
PNC Financial Services Group Inc. | 72,088 | 12,137 | ||||
Lockheed Martin Corp. | 35,965 | 11,877 | ||||
PepsiCo Inc. | 90,123 | 11,643 | ||||
General Dynamics Corp. | 71,035 | 11,612 | ||||
Baxter International Inc. | 138,143 | 10,732 | ||||
Pioneer Natural Resources Co. | 66,094 | 9,820 | ||||
Caterpillar Inc. | 45,433 | 9,808 | ||||
* | Alphabet Inc. Class A | 4,619 | 9,339 | |||
Colgate-Palmolive Co. | 99,613 | 7,491 |
Shares | Market Value• ($000) | |||||
KLA Corp. | 22,814 | 7,100 | ||||
RenaissanceRe Holdings Ltd. | 38,294 | 6,394 | ||||
American Tower Corp. | 29,022 | 6,273 | ||||
Union Pacific Corp. | 28,943 | 5,961 | ||||
Verizon Communications Inc. | 103,786 | 5,739 | ||||
Duke Energy Corp. | 63,726 | 5,454 | ||||
Marsh & McLennan Cos. Inc. | 41,773 | 4,813 | ||||
Gilead Sciences Inc. | 78,223 | 4,803 | ||||
Intel Corp. | 73,498 | 4,467 | ||||
BlackRock Inc. | 5,769 | 4,007 | ||||
Honeywell International Inc. | 19,301 | 3,906 | ||||
Accenture plc Class A | 13,975 | 3,506 | ||||
Abbott Laboratories | 20,336 | 2,436 | ||||
555,108 | ||||||
Total Common Stocks (Cost $763,099) | 959,917 | |||||
Coupon | Maturity Date | Face Amount ($000) | ||||
U.S. Government and Agency Obligations (4.7%) | ||||||
3,4 | Fannie Mae Pool | 3.070% | 2/1/25 | 150 | 162 | |
3,4 | Fannie Mae REMICS | 2.000% | 9/25/40 | 94 | 96 | |
3,4 | Fannie Mae REMICS | 2.500% | 5/25/45–3/25/53 | 790 | 813 | |
3,4 | Fannie Mae REMICS | 3.000% | 2/25/49 | 177 | 186 | |
3,4 | Fannie Mae REMICS | 3.500% | 6/25/44–6/25/59 | 1,834 | 1,965 | |
3,4 | Freddie Mac REMICS | 1.750% | 9/15/42 | 888 | 912 | |
3,4 | Freddie Mac REMICS | 3.500% | 9/15/40–11/15/40 | 171 | 174 | |
3,4 | Freddie Mac REMICS | 4.000% | 12/15/39–8/15/40 | 857 | 947 | |
3 | Ginnie Mae REMICS | 2.750% | 9/20/44 | 155 | 159 | |
3,4,5 | UMBS Pool | 1.500% | 3/15/36–4/15/36 | 11,045 | 11,171 | |
3,4,5 | UMBS Pool | 2.000% | 3/15/36–4/15/51 | 7,950 | 8,046 | |
3,4,5 | UMBS Pool | 2.500% | 3/15/51 | 5,950 | 6,169 | |
5 | United States Treasury Note/Bond | 0.500% | 2/28/26 | 1,885 | 1,860 | |
United States Treasury Note/Bond | 0.125% | 8/15/23–2/15/24 | 16,485 | 16,427 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25–7/31/25 | 10,865 | 10,714 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 2,650 | 2,607 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 1,245 | 1,188 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 600 | 514 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 558 | 544 | ||
United States Treasury Note/Bond | 1.250% | 5/15/50 | 105 | 85 | ||
6 | United States Treasury Note/Bond | 1.375% | 8/15/50 | 985 | 822 | |
United States Treasury Note/Bond | 1.875% | 2/15/51 | 1,480 | 1,401 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 2,065 | 1,837 | ||
United States Treasury Note/Bond | 2.750% | 11/15/47 | 450 | 509 | ||
Total U.S. Government and Agency Obligations (Cost $69,780) | 69,308 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%) | ||||||
Bermuda (0.0%) | ||||||
1,3 | START Ireland Series 2019-1 | 4.089% | 3/15/44 | 155 | 155 | |
Canada (0.2%) | ||||||
1,3 | Chesapeake Funding II LLC Series 2018-2A | 3.230% | 8/15/30 | 341 | 345 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,3,7 | Ford Auto Securitization Trust Series 2019-AA | 2.354% | 6/15/23 | 1,034 | 819 | |
1,3,8 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR+0.490% | 0.601% | 7/21/24 | 765 | 767 | |
1,931 | ||||||
Cayman Islands (0.3%) | ||||||
1,3 | Horizon Aircraft Finance II Ltd. Series 2019-1 | 3.721% | 7/15/39 | 233 | 233 | |
1,3,8 | KKR CLO 16 Ltd., 3M USD LIBOR+1.250% | 1.474% | 1/20/29 | 360 | 360 | |
1,3,8 | Madison Park Funding XVIII Ltd. Series 2015-18A, 3M USD LIBOR+1.190% | 1.414% | 10/21/30 | 730 | 730 | |
1,3,8 | Madison Park Funding XXX Ltd. Series 2018-30A, 3M USD LIBOR+0.750% | 0.991% | 4/15/29 | 1,400 | 1,397 | |
1,3,8 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR+0.800% | 1.041% | 1/15/28 | 1,375 | 1,374 | |
1,3,8 | Race Point IX CLO Ltd. Series 2015-9A, 3M USD LIBOR+1.210% | 1.451% | 10/15/30 | 726 | 726 | |
4,820 | ||||||
United States (0.4%) | ||||||
1,3 | Aaset Trust Series 2019-1 | 3.844% | 5/15/39 | 219 | 221 | |
1,3 | Angel Oak Mortgage Trust I LLC Series 2018-3 | 3.649% | 9/25/48 | 203 | 205 | |
1,3 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 219 | 219 | |
1,3 | CF Hippolyta LLC Series 2020-1 | 1.690% | 7/15/60 | 783 | 785 | |
1,3 | DB Master Finance LLC Series 2019-1A | 3.787% | 5/20/49 | 143 | 146 | |
1,3 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 123 | 130 | |
1,3 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870% | 10/20/23 | 28 | 28 | |
Ford Credit Auto Lease Trust Series 2021-A | 0.780% | 9/15/25 | 280 | 280 | ||
1,3,4 | Freddie Mac STACR REMIC Trust Series 2021-DNA1 | 0.695% | 1/25/51 | 490 | 490 | |
3,4,8 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1M USD LIBOR+5.000% | 5.118% | 12/25/28 | 396 | 419 | |
3,4,8 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1M USD LIBOR+2.500% | 2.618% | 3/25/30 | 945 | 962 | |
1,3 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 132 | 134 | |
1,3 | MMAF Equipment Finance LLC Series 2017-B | 2.210% | 10/17/22 | 23 | 23 | |
3 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 233 | 253 | |
1,3 | SoFi Consumer Loan Program Trust Series 2019-3 | 2.900% | 5/25/28 | 342 | 344 | |
1,3 | Towd Point Mortgage Trust Series 2018-1 | 3.000% | 1/25/58 | 178 | 183 | |
1,3 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 192 | 200 | |
1,3 | Vantage Data Centers LLC Series 2020-1A | 1.645% | 9/15/45 | 810 | 809 | |
1,3 | Verus Securitization Trust Series 2019-2 | 3.211% | 5/25/59 | 178 | 179 | |
6,010 | ||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $12,820) | 12,916 | |||||
Corporate Bonds (20.7%) | ||||||
Australia (0.4%) | ||||||
1,3 | National Australia Bank Ltd. | 2.400% | 12/7/21 | 575 | 584 | |
1,3 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 2,020 | 1,953 | |
1,3 | National Australia Bank Ltd. | 3.933% | 8/2/34 | 1,050 | 1,139 | |
1,3 | Scentre Group Trust 1 | 3.625% | 1/28/26 | 809 | 879 | |
1,3 | Scentre Group Trust 1 | 4.375% | 5/28/30 | 1,230 | 1,401 | |
5,956 | ||||||
Austria (0.0%) | ||||||
1,3 | JAB Holdings BV | 2.200% | 11/23/30 | 430 | 415 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Belgium (0.3%) | ||||||
3 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 925 | 1,115 | |
3,9 | Anheuser-Busch InBev SA/NV | 2.000% | 3/17/28 | 217 | 294 | |
3,9 | Anheuser-Busch InBev SA/NV | 2.875% | 4/2/32 | 800 | 1,172 | |
3,9 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 350 | 514 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 670 | 782 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 170 | 197 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.500% | 6/1/50 | 770 | 890 | ||
4,964 | ||||||
Canada (0.4%) | ||||||
3,7 | Bell Canada | 3.350% | 3/22/23 | 975 | 801 | |
8 | Canadian Imperial Bank of Commerce, 3M USD LIBOR+0.720% | 0.939% | 6/16/22 | 570 | 574 | |
Emera US Finance LP | 2.700% | 6/15/21 | 400 | 402 | ||
Fortis Inc. | 3.055% | 10/4/26 | 775 | 841 | ||
Nutrien Ltd. | 4.125% | 3/15/35 | 650 | 742 | ||
3,7 | Royal Bank of Canada | 2.949% | 5/1/23 | 1,875 | 1,545 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 400 | 463 | ||
5,368 | ||||||
China (0.2%) | ||||||
1,3 | Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 1,025 | 1,049 | |
1,3 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 2,135 | 2,185 | |
3,234 | ||||||
Denmark (0.4%) | ||||||
9 | Danske Bank A/S | 0.500% | 8/27/25 | 2,450 | 2,982 | |
1,3 | Danske Bank A/S | 1.621% | 9/11/26 | 1,320 | 1,318 | |
3,10 | Danske Bank A/S | 2.250% | 1/14/28 | 1,440 | 2,060 | |
6,360 | ||||||
France (1.5%) | ||||||
3,9 | Airbus SE | 2.375% | 4/7/32 | 600 | 832 | |
3,9 | Airbus SE | 2.375% | 6/9/40 | 700 | 945 | |
3,9 | AXA SA | 5.125% | 7/4/43 | 600 | 804 | |
1,3 | BNP Paribas SA | 2.819% | 11/19/25 | 470 | 500 | |
1,3 | BNP Paribas SA | 2.219% | 6/9/26 | 1,095 | 1,133 | |
3,9 | BNP Paribas SA | 0.125% | 9/4/26 | 600 | 716 | |
3,9 | BNP Paribas SA | 2.125% | 1/23/27 | 1,800 | 2,359 | |
3,9 | BNP Paribas SA | 1.125% | 4/17/29 | 1,000 | 1,251 | |
3,9 | BPCE SA | 1.125% | 1/18/23 | 700 | 864 | |
3,9 | BPCE SA | 0.500% | 9/15/27 | 1,400 | 1,696 | |
1,3 | BPCE SA | 3.250% | 1/11/28 | 525 | 565 | |
9 | Cie de Saint-Gobain | 2.375% | 10/4/27 | 1,000 | 1,369 | |
3,9 | Credit Mutuel Arkea SA | 1.625% | 4/15/26 | 1,500 | 1,928 | |
1,3 | Danone SA | 2.947% | 11/2/26 | 555 | 599 | |
3,9 | Engie SA | 0.000% | 3/4/27 | 1,300 | 1,551 | |
3,9 | Orange SA | 1.000% | 5/12/25 | 1,300 | 1,631 | |
3,9 | Orange SA | 0.500% | 9/4/32 | 300 | 360 | |
3,9 | RCI Banque SA | 0.750% | 9/26/22 | 500 | 609 | |
3,9 | RCI Banque SA | 1.375% | 3/8/24 | 1,400 | 1,739 | |
21,451 | ||||||
Germany (0.9%) | ||||||
1,3 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 1,000 | 1,125 | |
1,3 | Bayer US Finance LLC | 3.375% | 10/8/24 | 770 | 836 | |
3,10 | E.ON International Finance BV | 4.750% | 1/31/34 | 200 | 357 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,10 | E.ON International Finance BV | 5.875% | 10/30/37 | 250 | 514 | |
1,3 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 650 | 671 | |
3,9 | Volkswagen International Finance NV | 1.250% | 9/23/32 | 800 | 994 | |
3,9 | Volkswagen Leasing GmbH | 2.625% | 1/15/24 | 425 | 549 | |
3,9 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 3,100 | 3,889 | |
3,9 | Vonovia Finance BV | 1.625% | 10/7/39 | 600 | 769 | |
9 | Wintershall Dea Finance BV | 0.840% | 9/25/25 | 1,300 | 1,589 | |
9 | Wintershall Dea Finance BV | 1.823% | 9/25/31 | 1,400 | 1,734 | |
13,027 | ||||||
Hong Kong (0.0%) | ||||||
1,3 | AIA Group Ltd. | 3.375% | 4/7/30 | 260 | 285 | |
Ireland (0.4%) | ||||||
1,3 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 400 | 385 | |
1,3 | Avolon Holdings Funding Ltd. | 2.750% | 2/21/28 | 1,635 | 1,555 | |
9 | CRH Finance DAC | 3.125% | 4/3/23 | 1,634 | 2,105 | |
3,9 | CRH SMW Finance DAC | 1.250% | 11/5/26 | 1,200 | 1,529 | |
5,574 | ||||||
Japan (0.2%) | ||||||
1,3,5 | NTT Finance Corp. | 1.162% | 4/3/26 | 1,180 | 1,176 | |
1,3,5 | NTT Finance Corp. | 2.065% | 4/3/31 | 265 | 264 | |
9 | Takeda Pharmaceutical Co. Ltd. | 1.375% | 7/9/32 | 850 | 1,071 | |
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 200 | 200 | ||
2,711 | ||||||
Mexico (0.1%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 275 | 303 | ||
America Movil SAB de CV | 6.375% | 3/1/35 | 350 | 501 | ||
804 | ||||||
Netherlands (0.4%) | ||||||
3,9 | ABN AMRO Bank NV | 2.500% | 11/29/23 | 1,330 | 1,725 | |
1,3 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 1,090 | 1,085 | |
3,10 | Cooperatieve Rabobank UA | 4.625% | 5/23/29 | 100 | 166 | |
3,9 | Heineken NV | 1.500% | 10/3/29 | 1,325 | 1,750 | |
9 | ING Groep NV | 0.250% | 2/18/29 | 1,200 | 1,415 | |
Shell International Finance BV | 4.000% | 5/10/46 | 300 | 339 | ||
6,480 | ||||||
Norway (0.1%) | ||||||
1,3 | Aker BP ASA | 4.000% | 1/15/31 | 1,090 | 1,167 | |
Singapore (0.0%) | ||||||
1,3 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 510 | 578 | |
South Korea (0.0%) | ||||||
1,3 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 200 | 213 | |
Spain (0.2%) | ||||||
3,9 | Iberdrola Finanzas SA | 1.250% | 10/28/26 | 1,300 | 1,667 | |
Telefonica Emisiones SA | 4.665% | 3/6/38 | 1,055 | 1,202 | ||
2,869 | ||||||
Switzerland (0.4%) | ||||||
1,3 | Alcon Finance Corp. | 3.000% | 9/23/29 | 1,280 | 1,352 | |
1,3 | Alcon Finance Corp. | 2.600% | 5/27/30 | 625 | 640 | |
3,9 | Credit Suisse Group AG | 1.250% | 7/17/25 | 675 | 843 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3,10 | Credit Suisse Group AG | 2.250% | 6/9/28 | 1,075 | 1,550 | |
3,9 | Credit Suisse Group AG | 0.650% | 9/10/29 | 1,100 | 1,334 | |
5,719 | ||||||
United Arab Emirates (0.3%) | ||||||
1,3 | DAE Funding LLC | 3.375% | 3/20/28 | 2,435 | 2,462 | |
1,3 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 2,355 | 2,338 | |
4,800 | ||||||
United Kingdom (2.0%) | ||||||
AstraZeneca plc | 4.000% | 1/17/29 | 755 | 860 | ||
1,3 | BAE Systems plc | 3.400% | 4/15/30 | 200 | 218 | |
Barclays plc | 4.337% | 1/10/28 | 1,380 | 1,563 | ||
3 | Barclays plc | 4.972% | 5/16/29 | 1,875 | 2,200 | |
Barclays plc | 2.645% | 6/24/31 | 815 | 826 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 1,240 | 1,344 | ||
BP Capital Markets plc | 3.814% | 2/10/24 | 475 | 518 | ||
3,7 | BP Capital Markets plc | 3.470% | 5/15/25 | 1,350 | 1,146 | |
9 | BP Capital Markets plc | 1.104% | 11/15/34 | 800 | 976 | |
1,3 | CK Hutchison International 17 II Ltd. | 2.750% | 3/29/23 | 1,275 | 1,332 | |
3,10 | CPUK Finance Ltd. | 3.588% | 8/28/25 | 1,400 | 2,080 | |
3,9 | FCE Bank plc | 0.869% | 9/13/21 | 1,800 | 2,171 | |
3,10 | Heathrow Funding Ltd. | 2.750% | 8/9/49 | 250 | 332 | |
8 | HSBC Holdings plc, 3M USD LIBOR+1.000% | 1.189% | 5/18/24 | 245 | 248 | |
3,10 | HSBC Holdings plc | 2.256% | 11/13/26 | 600 | 870 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 580 | 581 | ||
3 | HSBC Holdings plc | 4.041% | 3/13/28 | 1,160 | 1,301 | |
3 | HSBC Holdings plc | 2.357% | 8/18/31 | 2,020 | 2,001 | |
3,9 | Natwest Group plc | 1.750% | 3/2/26 | 1,850 | 2,355 | |
Prudential plc | 3.125% | 4/14/30 | 540 | 587 | ||
1,3 | Sky Ltd. | 3.125% | 11/26/22 | 725 | 759 | |
1,3 | Standard Chartered plc | 2.744% | 9/10/22 | 1,095 | 1,107 | |
1,3 | Standard Chartered plc | 0.991% | 1/12/25 | 815 | 816 | |
3,9 | Vodafone Group plc | 1.625% | 11/24/30 | 2,675 | 3,547 | |
Vodafone Group plc | 5.250% | 5/30/48 | 400 | 517 | ||
30,255 | ||||||
United States (12.5%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 1,060 | 1,161 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 275 | 316 | ||
AbbVie Inc. | 4.750% | 3/15/45 | 225 | 273 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 675 | 783 | ||
3 | Alabama Power Co. | 4.300% | 7/15/48 | 255 | 311 | |
Altria Group Inc. | 5.800% | 2/14/39 | 560 | 692 | ||
Altria Group Inc. | 3.875% | 9/16/46 | 400 | 390 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 300 | 389 | ||
American Electric Power Co. Inc. | 3.200% | 11/13/27 | 950 | 1,045 | ||
9 | American Express Credit Corp. | 0.625% | 11/22/21 | 1,900 | 2,307 | |
10 | American Honda Finance Corp. | 0.750% | 11/25/26 | 1,855 | 2,538 | |
9 | American International Group Inc. | 1.500% | 6/8/23 | 975 | 1,213 | |
American International Group Inc. | 4.250% | 3/15/29 | 502 | 581 | ||
American International Group Inc. | 3.400% | 6/30/30 | 585 | 641 | ||
American International Group Inc. | 4.500% | 7/16/44 | 73 | 87 | ||
American International Group Inc. | 4.750% | 4/1/48 | 45 | 56 | ||
American International Group Inc. | 4.375% | 6/30/50 | 570 | 677 | ||
American Tower Corp. | 5.000% | 2/15/24 | 380 | 428 | ||
American Tower Corp. | 4.400% | 2/15/26 | 300 | 340 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Amgen Inc. | 3.625% | 5/22/24 | 275 | 299 | ||
Amgen Inc. | 4.663% | 6/15/51 | 350 | 442 | ||
1,3 | Amgen Inc. | 2.770% | 9/1/53 | 590 | 536 | |
Anthem Inc. | 3.500% | 8/15/24 | 275 | 299 | ||
Anthem Inc. | 2.250% | 5/15/30 | 1,010 | 1,017 | ||
Anthem Inc. | 4.375% | 12/1/47 | 500 | 596 | ||
9 | AT&T Inc. | 2.050% | 5/19/32 | 475 | 631 | |
9 | AT&T Inc. | 3.150% | 9/4/36 | 575 | 830 | |
9 | AT&T Inc. | 2.600% | 5/19/38 | 425 | 572 | |
1,3 | AT&T Inc. | 3.500% | 9/15/53 | 1,480 | 1,358 | |
AutoZone Inc. | 3.125% | 4/21/26 | 1,525 | 1,650 | ||
3 | Bank of America Corp. | 3.300% | 1/11/23 | 570 | 601 | |
3 | Bank of America Corp. | 3.593% | 7/21/28 | 1,885 | 2,094 | |
3 | Bank of America Corp. | 4.271% | 7/23/29 | 1,640 | 1,898 | |
3 | Bank of America Corp. | 2.496% | 2/13/31 | 770 | 788 | |
3,8 | Bank of New York Mellon Corp., 3M USD LIBOR+1.050% | 1.262% | 10/30/23 | 415 | 421 | |
9 | Becton Dickinson Euro Finance Sarl | 1.213% | 2/12/36 | 595 | 720 | |
Boeing Co. | 1.433% | 2/4/24 | 1,145 | 1,147 | ||
Boeing Co. | 2.196% | 2/4/26 | 1,145 | 1,149 | ||
Boeing Co. | 3.250% | 3/1/28 | 632 | 658 | ||
Boeing Co. | 3.450% | 11/1/28 | 230 | 240 | ||
3 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 415 | 414 | |
1,3 | Boston Gas Co. | 3.001% | 8/1/29 | 130 | 139 | |
Boston Scientific Corp. | 4.000% | 3/1/29 | 60 | 68 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 600 | 725 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 890 | 944 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 1,510 | 1,705 | ||
1,3 | Broadcom Inc. | 3.500% | 2/15/41 | 590 | 587 | |
1,3 | Broadcom Inc. | 3.750% | 2/15/51 | 285 | 282 | |
1,3 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 965 | 1,136 | |
1,3 | Cargill Inc. | 4.760% | 11/23/45 | 340 | 429 | |
Carrier Global Corp. | 2.722% | 2/15/30 | 648 | 672 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 250 | 259 | ||
Charles Schwab Corp. | 4.625% | 3/22/30 | 750 | 911 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 595 | 697 | ||
Charter Communications Operating LLC | 6.384% | 10/23/35 | 355 | 475 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 110 | 129 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 90 | 104 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 118 | 130 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 610 | 581 | ||
9 | Chubb INA Holdings Inc. | 0.875% | 6/15/27 | 1,455 | 1,859 | |
9 | Chubb INA Holdings Inc. | 1.400% | 6/15/31 | 525 | 681 | |
Cigna Corp. | 4.375% | 10/15/28 | 420 | 488 | ||
Cigna Corp. | 2.400% | 3/15/30 | 310 | 314 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 1,040 | 1,131 | ||
Citigroup Inc. | 2.700% | 3/30/21 | 345 | 346 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 535 | 614 | ||
Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 475 | 524 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 325 | 338 | ||
Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 535 | 616 | ||
Comcast Corp. | 3.950% | 10/15/25 | 250 | 281 | ||
9 | Comcast Corp. | 0.250% | 5/20/27 | 1,050 | 1,273 | |
10 | Comcast Corp. | 1.500% | 2/20/29 | 630 | 875 | |
Comcast Corp. | 6.500% | 11/15/35 | 885 | 1,284 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comcast Corp. | 4.000% | 3/1/48 | 40 | 46 | ||
Comcast Corp. | 4.700% | 10/15/48 | 140 | 178 | ||
Comcast Corp. | 3.999% | 11/1/49 | 120 | 139 | ||
Comcast Corp. | 4.049% | 11/1/52 | 20 | 23 | ||
Comcast Corp. | 2.650% | 8/15/62 | 25 | 22 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 770 | 834 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 355 | 386 | ||
CommonSpirit Health | 4.187% | 10/1/49 | 435 | 480 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 35 | 39 | ||
Commonwealth Edison Co. | 4.000% | 3/1/48 | 245 | 284 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 200 | 230 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 640 | 627 | ||
3 | Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 75 | 104 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 290 | 359 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 115 | 121 | ||
3 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 190 | 201 | |
1,3 | Cox Communications Inc. | 3.500% | 8/15/27 | 1,420 | 1,572 | |
1,3 | Cox Communications Inc. | 4.800% | 2/1/35 | 100 | 122 | |
Crown Castle International Corp. | 2.100% | 4/1/31 | 1,865 | 1,802 | ||
CSX Corp. | 4.300% | 3/1/48 | 495 | 588 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 1,455 | 1,562 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 289 | 332 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 235 | 268 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 125 | 158 | ||
9 | Danaher Corp. | 2.100% | 9/30/26 | 1,550 | 2,064 | |
Dignity Health | 3.812% | 11/1/24 | 594 | 646 | ||
Dignity Health | 4.500% | 11/1/42 | 166 | 182 | ||
9 | Discovery Communications LLC | 1.900% | 3/19/27 | 1,825 | 2,360 | |
Discovery Communications LLC | 3.625% | 5/15/30 | 785 | 863 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 445 | 519 | ||
Dominion Energy Inc. | 2.715% | 8/15/21 | 140 | 141 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 156 | 220 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 113 | 148 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 300 | 402 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 230 | 291 | ||
Eastern Energy Gas Holdings LLC | 4.600% | 12/15/44 | 660 | 777 | ||
Energy Transfer Operating LP | 4.900% | 3/15/35 | 1,075 | 1,150 | ||
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 535 | 582 | ||
1,3 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 150 | 151 | |
1,3 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 825 | 812 | |
1,3 | ERAC USA Finance LLC | 3.300% | 12/1/26 | 300 | 330 | |
1,3 | ERAC USA Finance LLC | 4.500% | 2/15/45 | 455 | 546 | |
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 235 | 239 | ||
3 | Evergy Metro Inc. | 2.250% | 6/1/30 | 245 | 251 | |
Exxon Mobil Corp. | 2.275% | 8/16/26 | 1,075 | 1,132 | ||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 190 | 198 | ||
FedEx Corp. | 4.100% | 2/1/45 | 85 | 93 | ||
FedEx Corp. | 4.750% | 11/15/45 | 227 | 273 | ||
FedEx Corp. | 4.550% | 4/1/46 | 117 | 137 | ||
FedEx Corp. | 4.050% | 2/15/48 | 33 | 36 | ||
9 | Fidelity National Information Services Inc. | 1.500% | 5/21/27 | 1,820 | 2,332 | |
9 | Fidelity National Information Services Inc. | 2.000% | 5/21/30 | 235 | 313 | |
Fifth Third Bancorp | 2.550% | 5/5/27 | 555 | 592 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 355 | 386 | ||
9 | Fiserv Inc. | 1.625% | 7/1/30 | 1,125 | 1,462 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
10 | Fiserv Inc. | 3.000% | 7/1/31 | 775 | 1,178 | |
9 | General Mills Inc. | 0.450% | 1/15/26 | 1,275 | 1,561 | |
General Motors Co. | 4.200% | 10/1/27 | 475 | 531 | ||
General Motors Co. | 5.000% | 10/1/28 | 935 | 1,090 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 1,310 | 1,345 | ||
1,3 | Genting New York LLC | 3.300% | 2/15/26 | 415 | 416 | |
Georgia Power Co. | 4.300% | 3/15/42 | 860 | 1,010 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 1,005 | 924 | ||
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 575 | 576 | ||
3 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 1,375 | 1,489 | |
1,3 | Gray Oak Pipeline LLC | 2.600% | 10/15/25 | 436 | 445 | |
1,3 | Gray Oak Pipeline LLC | 3.450% | 10/15/27 | 70 | 72 | |
HCA Inc. | 5.250% | 6/15/49 | 575 | 713 | ||
Healthpeak Properties Inc. | 4.000% | 6/1/25 | 850 | 947 | ||
Healthpeak Properties Inc. | 3.500% | 7/15/29 | 335 | 368 | ||
Hess Corp. | 7.300% | 8/15/31 | 1,750 | 2,244 | ||
Hess Corp. | 5.600% | 2/15/41 | 425 | 504 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 1,425 | 1,352 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 550 | 608 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 1,510 | 1,495 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 420 | 497 | ||
International Paper Co. | 4.350% | 8/15/48 | 605 | 736 | ||
1,3 | ITC Holdings Corp. | 2.950% | 5/14/30 | 965 | 1,017 | |
3 | John Deere Capital Corp. | 3.450% | 3/13/25 | 985 | 1,083 | |
3 | Johnson Controls International plc | 4.950% | 7/2/64 | 692 | 873 | |
3 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 975 | 1,130 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 45 | 60 | ||
1,3 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 400 | 429 | |
Kroger Co. | 4.450% | 2/1/47 | 330 | 388 | ||
Kroger Co. | 5.400% | 1/15/49 | 290 | 387 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 1,845 | 1,788 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 1,010 | 1,184 | ||
1,3 | Massachusetts Mutual Life Insurance Co. | 3.375% | 4/15/50 | 550 | 559 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 180 | 185 | ||
3 | McDonald's Corp. | 4.450% | 9/1/48 | 475 | 573 | |
3 | McDonald's Corp. | 3.625% | 9/1/49 | 50 | 54 | |
9 | Medtronic Global Holdings SCA | 1.125% | 3/7/27 | 1,595 | 2,031 | |
9 | Medtronic Global Holdings SCA | 1.625% | 3/7/31 | 785 | 1,052 | |
3 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 235 | 234 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 150 | 185 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 545 | 609 | ||
3 | Mercy Health | 3.555% | 8/1/27 | 410 | 449 | |
3 | Mercy Health | 4.302% | 7/1/28 | 370 | 424 | |
1,3 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 1,555 | 1,743 | |
1,3 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 775 | 847 | |
1,3 | Microchip Technology Inc. | 0.972% | 2/15/24 | 1,630 | 1,635 | |
Microsoft Corp. | 3.700% | 8/8/46 | 1,125 | 1,329 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 10 | 12 | ||
1,3 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 1,145 | 1,257 | |
3,7 | Molson Coors International LP | 2.840% | 7/15/23 | 1,875 | 1,532 | |
Morgan Stanley | 2.750% | 5/19/22 | 1,375 | 1,416 | ||
3 | Morgan Stanley | 3.125% | 7/27/26 | 1,850 | 2,019 | |
3 | Morgan Stanley | 3.772% | 1/24/29 | 570 | 637 | |
9 | Morgan Stanley | 0.497% | 2/7/31 | 1,050 | 1,251 | |
National Retail Properties Inc. | 3.900% | 6/15/24 | 805 | 879 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,3 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 1,330 | 1,460 | |
1,3 | Niagara Mohawk Power Corp. | 1.960% | 6/27/30 | 985 | 978 | |
Norfolk Southern Corp. | 2.550% | 11/1/29 | 1,165 | 1,218 | ||
1,3 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 230 | 254 | |
1,3 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 36 | 38 | |
NVIDIA Corp. | 3.500% | 4/1/40 | 445 | 492 | ||
1,3 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 210 | 267 | |
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 161 | 191 | ||
1,3 | Oglethorpe Power Corp. | 3.750% | 8/1/50 | 415 | 419 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 305 | 361 | ||
Oracle Corp. | 3.400% | 7/8/24 | 575 | 624 | ||
Oracle Corp. | 3.600% | 4/1/50 | 850 | 892 | ||
Oracle Corp. | 3.850% | 4/1/60 | 225 | 243 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 85 | 87 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 195 | 202 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 335 | 349 | ||
PacifiCorp | 2.700% | 9/15/30 | 205 | 217 | ||
1,3 | Penske Truck Leasing Co. LP | 3.375% | 2/1/22 | 145 | 148 | |
1,3 | Penske Truck Leasing Co. LP | 4.250% | 1/17/23 | 1,405 | 1,501 | |
1,3 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 170 | 180 | |
1,3 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 1,120 | 1,236 | |
1,3 | Penske Truck Leasing Co. LP | 4.000% | 7/15/25 | 180 | 201 | |
Pfizer Inc. | 1.700% | 5/28/30 | 275 | 270 | ||
Philip Morris International Inc. | 2.500% | 11/2/22 | 575 | 595 | ||
3 | PNC Bank NA | 3.250% | 1/22/28 | 910 | 1,002 | |
3 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 225 | 255 | |
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 285 | 319 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 725 | 868 | ||
Republic Services Inc. | 2.300% | 3/1/30 | 1,290 | 1,312 | ||
1,3 | Royalty Pharma plc | 3.300% | 9/2/40 | 315 | 316 | |
1,3 | Royalty Pharma plc | 3.550% | 9/2/50 | 765 | 754 | |
3 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 1,360 | 1,322 | |
3 | San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 261 | 301 | |
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 2,400 | 2,471 | ||
1,3 | SBA Tower Trust | 3.448% | 3/15/23 | 675 | 713 | |
1,3 | SBA Tower Trust | 1.884% | 1/15/26 | 245 | 249 | |
3 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 400 | 396 | |
3 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 165 | 164 | |
3 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 95 | 94 | |
Sempra Energy | 3.250% | 6/15/27 | 1,050 | 1,146 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 149 | 159 | ||
3 | Southern California Edison Co. | 3.700% | 8/1/25 | 30 | 33 | |
3 | Southern California Edison Co. | 2.950% | 2/1/51 | 790 | 722 | |
Southern Co. | 4.400% | 7/1/46 | 5 | 6 | ||
1,3 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 805 | 866 | |
3 | SSM Health Care Corp. | 3.823% | 6/1/27 | 320 | 372 | |
Starbucks Corp. | 4.500% | 11/15/48 | 730 | 880 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 60 | 61 | ||
3 | Sutter Health | 2.294% | 8/15/30 | 360 | 366 | |
3 | Synchrony Bank | 3.000% | 6/15/22 | 450 | 464 | |
Sysco Corp. | 2.400% | 2/15/30 | 1,495 | 1,519 | ||
1,3 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 860 | 1,073 | |
1,3 | T-Mobile USA Inc. | 2.050% | 2/15/28 | 1,975 | 1,967 | |
1,3 | T-Mobile USA Inc. | 3.600% | 11/15/60 | 405 | 389 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
3 | Toledo Hospital | 5.325% | 11/15/28 | 555 | 654 | |
Toledo Hospital | 5.750% | 11/15/38 | 210 | 254 | ||
Trinity Acquisition plc | 4.400% | 3/15/26 | 1,274 | 1,449 | ||
3 | Truist Bank | 3.300% | 5/15/26 | 450 | 494 | |
3 | Truist Financial Corp. | 3.200% | 9/3/21 | 510 | 516 | |
3 | Truist Financial Corp. | 2.200% | 3/16/23 | 875 | 907 | |
3 | Truist Financial Corp. | 3.700% | 6/5/25 | 970 | 1,075 | |
Union Pacific Corp. | 3.750% | 2/5/70 | 285 | 308 | ||
3 | United Airlines Pass-Through Trust Class B Series 2018-1 | 4.600% | 3/1/26 | 58 | 58 | |
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 820 | 930 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 240 | 240 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 75 | 93 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 65 | 75 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 535 | 575 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 285 | 283 | ||
VEREIT Operating Partnership LP | 3.100% | 12/15/29 | 830 | 863 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 120 | 120 | ||
9 | Verizon Communications Inc. | 1.250% | 4/8/30 | 1,100 | 1,407 | |
1,3 | Verizon Communications Inc. | 1.680% | 10/30/30 | 307 | 291 | |
10 | Verizon Communications Inc. | 3.375% | 10/27/36 | 200 | 322 | |
Verizon Communications Inc. | 4.522% | 9/15/48 | 720 | 848 | ||
Verizon Communications Inc. | 5.012% | 8/21/54 | 475 | 602 | ||
VF Corp. | 2.800% | 4/23/27 | 185 | 199 | ||
VF Corp. | 2.950% | 4/23/30 | 1,765 | 1,882 | ||
3,7 | Wells Fargo & Co. | 2.975% | 5/19/26 | 625 | 519 | |
3 | Wells Fargo & Co. | 4.100% | 6/3/26 | 920 | 1,041 | |
3 | Wells Fargo & Co. | 4.300% | 7/22/27 | 275 | 318 | |
3 | Wells Fargo & Co. | 2.879% | 10/30/30 | 435 | 459 | |
3 | Wells Fargo & Co. | 4.750% | 12/7/46 | 800 | 986 | |
Welltower Inc. | 4.000% | 6/1/25 | 275 | 305 | ||
183,697 | ||||||
Total Corporate Bonds (Cost $290,125) | 305,927 | |||||
Sovereign Bonds (4.3%) | ||||||
Australia (0.3%) | ||||||
3,11 | Commonwealth of Australia | 2.750% | 11/21/27 | 135 | 113 | |
3,11 | Commonwealth of Australia | 2.250% | 5/21/28 | 1,195 | 970 | |
3,11 | Commonwealth of Australia | 2.500% | 5/21/30 | 4,085 | 3,348 | |
3,11 | Commonwealth of Australia | 1.000% | 11/21/31 | 600 | 420 | |
4,851 | ||||||
Bermuda (0.0%) | ||||||
1,3 | Bermuda | 2.375% | 8/20/30 | 200 | 205 | |
1,3 | Bermuda | 3.375% | 8/20/50 | 200 | 207 | |
412 | ||||||
Canada (0.5%) | ||||||
7 | Canadian Government Bond | 0.500% | 9/1/25 | 2,900 | 2,246 | |
7 | City of Montreal | 3.150% | 12/1/36 | 750 | 637 | |
7 | City of Montreal | 3.500% | 12/1/38 | 410 | 358 | |
7 | City of Toronto | 3.200% | 8/1/48 | 1,000 | 859 | |
7 | Province of Ontario | 2.900% | 6/2/28 | 1,910 | 1,631 | |
3,12 | Province of Ontario | 0.250% | 6/28/29 | 985 | 1,105 | |
6,836 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Chile (0.1%) | ||||||
3 | Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 650 | 716 | |
9 | Republic of Chile | 1.250% | 1/22/51 | 670 | 742 | |
1,458 | ||||||
Colombia (0.1%) | ||||||
3 | Republic of Colombia | 4.000% | 2/26/24 | 1,350 | 1,438 | |
Croatia (0.2%) | ||||||
9 | Republic of Croatia | 1.500% | 6/17/31 | 1,640 | 2,069 | |
Hungary (0.2%) | ||||||
9 | Republic of Hungary | 1.625% | 4/28/32 | 1,125 | 1,454 | |
9 | Republic of Hungary | 1.750% | 6/5/35 | 525 | 677 | |
2,131 | ||||||
Japan (1.0%) | ||||||
3,13 | Japan | 0.100% | 12/20/28 | 619,050 | 5,821 | |
3,13 | Japan | 0.100% | 3/20/29 | 158,800 | 1,492 | |
3,13 | Japan | 0.100% | 6/20/29 | 40,250 | 378 | |
3,13 | Japan | 0.100% | 12/20/30 | 668,000 | 6,227 | |
13,918 | ||||||
Norway (0.1%) | ||||||
Equinor ASA | 3.000% | 4/6/27 | 1,545 | 1,677 | ||
Panama (0.1%) | ||||||
1,3 | Empresa de Transmision Electrica SA | 5.125% | 5/2/49 | 470 | 551 | |
3 | Republic of Panama | 2.252% | 9/29/32 | 1,525 | 1,456 | |
2,007 | ||||||
Qatar (0.2%) | ||||||
1,3 | State of Qatar | 2.375% | 6/2/21 | 1,400 | 1,405 | |
1,3 | State of Qatar | 3.875% | 4/23/23 | 550 | 589 | |
1,3 | State of Qatar | 5.103% | 4/23/48 | 255 | 329 | |
1,3 | State of Qatar | 4.400% | 4/16/50 | 780 | 927 | |
3,250 | ||||||
Romania (0.2%) | ||||||
1,9 | Republic of Romania | 1.375% | 12/2/29 | 765 | 921 | |
3,9 | Republic of Romania | 2.500% | 2/8/30 | 1,225 | 1,589 | |
3,9 | Republic of Romania | 2.124% | 7/16/31 | 725 | 900 | |
3,410 | ||||||
Saudi Arabia (0.2%) | ||||||
1,3 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 2,020 | 2,101 | |
1,3 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 500 | 527 | |
1,3 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 680 | 740 | |
3,368 | ||||||
Spain (0.1%) | ||||||
1,9 | Kingdom of Spain | 0.600% | 10/31/29 | 1,050 | 1,309 | |
Supranational (0.1%) | ||||||
3,9 | European Union | 0.750% | 4/4/31 | 1,125 | 1,481 | |
United Arab Emirates (0.1%) | ||||||
3 | Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,235 | 1,355 | |
United Kingdom (0.8%) | ||||||
10 | United Kingdom | 0.625% | 6/7/25 | 700 | 988 | |
10 | United Kingdom | 1.250% | 7/22/27 | 655 | 951 | |
10 | United Kingdom | 0.875% | 10/22/29 | 1,100 | 1,542 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
10 | United Kingdom | 0.375% | 10/22/30 | 5,375 | 7,167 | |
10 | United Kingdom | 3.500% | 1/22/45 | 735 | 1,463 | |
12,111 | ||||||
Total Sovereign Bonds (Cost $61,456) | 63,081 | |||||
Taxable Municipal Bonds (0.6%) | ||||||
United States (0.6%) | ||||||
3 | Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 100 | 104 | |
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.300% | 12/1/21 | 20 | 21 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 805 | 1,146 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 55 | 78 | ||
3 | Dallas/Fort Worth International Airport Revenue | 3.089% | 11/1/40 | 90 | 91 | |
3 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 55 | 59 | |
3,14 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 405 | 430 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 755 | 1,095 | ||
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 43 | 63 | ||
3 | Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 290 | 295 | |
Illinois GO | 5.100% | 6/1/33 | 660 | 737 | ||
14 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.371% | 5/1/26 | 610 | 682 | |
3 | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 175 | 181 | |
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 20 | 23 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.668% | 11/15/39 | 170 | 235 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 445 | 573 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 285 | 301 | ||
15 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 635 | 795 | |
3 | Port Authority of New York & New Jersey Revenue | 3.175% | 7/15/60 | 295 | 295 | |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 305 | 391 | ||
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 650 | 797 | ||
State of Connecticut GO | 2.000% | 7/1/23 | 190 | 198 | ||
State of Connecticut GO | 5.770% | 3/15/25 | 275 | 332 | ||
3 | University of California Revenue | 1.316% | 5/15/27 | 155 | 154 | |
3 | University of Virginia Revenue | 2.256% | 9/1/50 | 200 | 184 | |
Total Taxable Municipal Bonds (Cost $8,459) | 9,260 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (5.0%) | ||||||
Money Market Fund (5.0%) | ||||||
16,17 | Vanguard Market Liquidity Fund (Cost $73,338) | 0.099% | 733,587 | 73,359 | ||
Total Investments (101.3%) (Cost $1,279,077) | 1,493,768 | |||||
Other Assets and Liabilities—Net (-1.3%) | (18,486) | |||||
Net Assets (100%) | 1,475,282 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2021, the aggregate value of these securities was $89,321,000, representing 6.1% of net assets. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $16,120,000. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2021. |
6 | Securities with a value of $643,000 have been segregated as initial margin for open futures contracts. |
7 | Face amount denominated in Canadian dollars. |
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 | Face amount denominated in euro. |
10 | Face amount denominated in British pounds. |
11 | Face amount denominated in Australian dollars. |
12 | Face amount denominated in Swiss francs. |
13 | Face amount denominated in Japanese yen. |
14 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
15 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
16 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
17 | Collateral of $16,660,000 was received for securities on loan. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
GO—Government Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Euro-Bobl | March 2021 | 51 | 8,258 | (62) |
Euro-BTP | March 2021 | 12 | 2,169 | (21) |
Euro-Buxl | March 2021 | 19 | 4,810 | (297) |
Euro-OAT | March 2021 | 15 | 2,958 | (72) |
Euro-Schatz | March 2021 | 93 | 12,587 | (19) |
(471) | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2021 | (229) | (30,393) | 368 |
Euro-Bund | March 2021 | (52) | (10,879) | 223 |
Long Gilt | June 2021 | (7) | (1,246) | 11 |
Ultra 10-Year U.S. Treasury Note | June 2021 | (41) | (6,041) | 60 |
662 | ||||
191 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
J.P. Morgan Securities LLC | 3/31/21 | EUR | 1,201 | USD | 1,459 | — | (8) |
J.P. Morgan Securities LLC | 3/31/21 | GBP | 607 | USD | 849 | — | (3) |
Goldman Sachs International | 3/31/21 | USD | 6,192 | AUD | 7,837 | 161 | — |
Goldman Sachs International | 3/31/21 | USD | 12,221 | CAD | 15,411 | 110 | — |
J.P. Morgan Securities LLC | 3/31/21 | AUD | 900 | CAD | 897 | — | (12) |
J.P. Morgan Securities LLC | 3/31/21 | USD | 1,597 | CHF | 1,434 | 19 | — |
J.P. Morgan Securities LLC | 3/31/21 | USD | 91,342 | EUR | 75,060 | 706 | — |
Goldman Sachs International | 3/31/21 | USD | 4,035 | EUR | 3,317 | 29 | — |
Goldman Sachs International | 3/31/21 | GBP | 2,624 | EUR | 3,036 | — | (10) |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Bank of America, N.A. | 3/31/21 | USD | 32,209 | GBP | 22,872 | 337 | — |
J.P. Morgan Securities LLC | 3/31/21 | USD | 16,720 | JPY | 1,758,473 | 218 | — |
1,580 | (33) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,205,739) | 1,420,409 |
Affiliated Issuers (Cost $73,338) | 73,359 |
Total Investments in Securities | 1,493,768 |
Investment in Vanguard | 54 |
Foreign Currency, at Value (Cost $12,235) | 12,231 |
Receivables for Investment Securities Sold | 17,121 |
Receivables for Accrued Income | 5,816 |
Receivables for Capital Shares Issued | 2,941 |
Unrealized Appreciation—Forward Currency Contracts | 1,580 |
Total Assets | 1,533,511 |
Liabilities | |
Due to Custodian | 212 |
Payables for Investment Securities Purchased | 40,166 |
Collateral for Securities on Loan | 16,660 |
Payables for Capital Shares Redeemed | 572 |
Payables to Investment Advisor | 429 |
Payables to Vanguard | 147 |
Variation Margin Payable—Futures Contracts | 10 |
Unrealized Depreciation—Forward Currency Contracts | 33 |
Total Liabilities | 58,229 |
Net Assets | 1,475,282 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 1,258,628 |
Total Distributable Earnings (Loss) | 216,654 |
Net Assets | 1,475,282 |
Investor Shares—Net Assets | |
Applicable to 8,031,980 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 194,067 |
Net Asset Value Per Share—Investor Shares | $24.16 |
Admiral Shares—Net Assets | |
Applicable to 42,416,369 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,281,215 |
Net Asset Value Per Share—Admiral Shares | $30.21 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 10,140 |
Interest2 | 3,723 |
Securities Lending—Net | 1 |
Total Income | 13,864 |
Expenses | |
Basic Fee | 1,032 |
Performance Adjustment | (225) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 258 |
Management and Administrative—Admiral Shares | 1,125 |
Marketing and Distribution—Investor Shares | 11 |
Marketing and Distribution—Admiral Shares | 32 |
Custodian Fees | 19 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—Admiral Shares | 8 |
Trustees’ Fees and Expenses | — |
Total Expenses | 2,260 |
Net Investment Income | 11,604 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 13,801 |
Futures Contracts | 1,131 |
Forward Currency Contracts | (4,880) |
Foreign Currencies | 592 |
Realized Net Gain (Loss) | 10,644 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 96,983 |
Futures Contracts | 23 |
Forward Currency Contracts | 3,065 |
Foreign Currencies | (349) |
Change in Unrealized Appreciation (Depreciation) | 99,722 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 121,970 |
1 | Dividends are net of foreign withholding taxes of $447,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $30,000, $0, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 11,604 | 24,282 | |
Realized Net Gain (Loss) | 10,644 | (7,459) | |
Change in Unrealized Appreciation (Depreciation) | 99,722 | 57,999 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 121,970 | 74,822 | |
Distributions | |||
Investor Shares | (1,476) | (3,574) | |
Admiral Shares | (10,266) | (19,722) | |
Total Distributions | (11,742) | (23,296) | |
Capital Share Transactions | |||
Investor Shares | (1,885) | (728) | |
Admiral Shares | 56,342 | 257,012 | |
Net Increase (Decrease) from Capital Share Transactions | 54,457 | 256,284 | |
Total Increase (Decrease) | 164,685 | 307,810 | |
Net Assets | |||
Beginning of Period | 1,310,597 | 1,002,787 | |
End of Period | 1,475,282 | 1,310,597 |
Investor Shares | ||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | Oct. 18, 20171 to August 31, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $22.29 | $21.41 | $20.51 | $20.00 |
Investment Operations | ||||
Net Investment Income2 | .185 | .430 | .443 | .392 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.873 | .874 | .920 | .379 |
Total from Investment Operations | 2.058 | 1.304 | 1.363 | .771 |
Distributions | ||||
Dividends from Net Investment Income | (.188) | (.389) | (.426) | (.261) |
Distributions from Realized Capital Gains | — | (.035) | (.037) | — |
Total Distributions | (.188) | (.424) | (.463) | (.261) |
Net Asset Value, End of Period | $24.16 | $22.29 | $21.41 | $20.51 |
Total Return3 | 9.27% | 6.22% | 6.80% | 3.88% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $194 | $181 | $176 | $172 |
Ratio of Total Expenses to Average Net Assets | 0.42%4 | 0.44%4 | 0.46%4 | 0.46%5,6 |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 2.01% | 2.19% | 2.32%5 |
Portfolio Turnover Rate | 34%7 | 58%7 | 54% | 44% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $20.00. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
4 | Includes performance-based investment advisory fee increases (decreases) of (0.03%) for 2021, (0.01%) for 2020, and 0.01% for 2019. |
5 | Annualized. |
6 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.45%. |
7 | Includes 10% and 10%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | Oct. 18, 20171 to August 31, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $27.87 | $26.76 | $25.65 | $25.00 |
Investment Operations | ||||
Net Investment Income2 | .246 | .564 | .583 | .511 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.345 | 1.104 | 1.132 | .480 |
Total from Investment Operations | 2.591 | 1.668 | 1.715 | .991 |
Distributions | ||||
Dividends from Net Investment Income | (.251) | (.514) | (.559) | (.341) |
Distributions from Realized Capital Gains | — | (.044) | (.046) | — |
Total Distributions | (.251) | (.558) | (.605) | (.341) |
Net Asset Value, End of Period | $30.21 | $27.87 | $26.76 | $25.65 |
Total Return3 | 9.34% | 6.38% | 6.85% | 3.99% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $1,281 | $1,129 | $826 | $715 |
Ratio of Total Expenses to Average Net Assets | 0.32%4 | 0.34%4 | 0.36%4 | 0.36%5,6 |
Ratio of Net Investment Income to Average Net Assets | 1.71% | 2.11% | 2.29% | 2.42%5 |
Portfolio Turnover Rate | 34%7 | 58%7 | 54% | 44% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $25.00. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
4 | Includes performance-based investment advisory fee increases (decreases) of (0.03%) for 2021, (0.01%) for 2020, and 0.01% for 2019. |
5 | Annualized. |
6 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.35%. |
7 | Includes 10% and 10%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 564,356 | — | — | 564,356 |
Common Stocks—Other | 33,855 | 361,706 | — | 395,561 |
U.S. Government and Agency Obligations | — | 69,308 | — | 69,308 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 12,916 | — | 12,916 |
Corporate Bonds | — | 305,927 | — | 305,927 |
Sovereign Bonds | — | 63,081 | — | 63,081 |
Taxable Municipal Bonds | — | 9,260 | — | 9,260 |
Temporary Cash Investments | 73,359 | — | — | 73,359 |
Total | 671,570 | 822,198 | — | 1,493,768 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 662 | — | — | 662 |
Forward Currency Contracts | — | 1,580 | — | 1,580 |
Total | 662 | 1,580 | — | 2,242 |
Liabilities | ||||
Futures Contracts1 | 471 | — | — | 471 |
Forward Currency Contracts | — | 33 | — | 33 |
Total | 471 | 33 | — | 504 |
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. |
Statement of Assets and Liabilities Caption | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 662 | — | 662 |
Unrealized Appreciation—Forward Currency Contracts | — | 1,580 | 1,580 |
Total Assets | 662 | 1,580 | 2,242 |
Unrealized Depreciation—Futures Contracts1 | 471 | — | 471 |
Unrealized Depreciation—Forward Currency Contracts | — | 33 | 33 |
Total Liabilities | 471 | 33 | 504 |
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) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 1,131 | — | 1,131 |
Forward Currency Contracts | — | (4,880) | (4,880) |
Realized Net Gain (Loss) on Derivatives | 1,131 | (4,880) | (3,749) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 23 | — | 23 |
Forward Currency Contracts | — | 3,065 | 3,065 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 23 | 3,065 | 3,088 |
Amount ($000) | |
Tax Cost | 1,279,603 |
Gross Unrealized Appreciation | 240,820 |
Gross Unrealized Depreciation | (24,917) |
Net Unrealized Appreciation (Depreciation) | 215,903 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 35,600 | 1,528 | 69,272 | 3,217 | |
Issued in Lieu of Cash Distributions | 1,317 | 57 | 3,177 | 151 | |
Redeemed | (38,802) | (1,685) | (73,177) | (3,475) | |
Net Increase (Decrease)—Investor Shares | (1,885) | (100) | (728) | (107) | |
Admiral Shares | |||||
Issued | 195,468 | 6,688 | 572,797 | 21,800 | |
Issued in Lieu of Cash Distributions | 9,179 | 318 | 17,237 | 659 | |
Redeemed | (148,305) | (5,107) | (333,022) | (12,820) | |
Net Increase (Decrease)—Admiral Shares | 56,342 | 1,899 | 257,012 | 9,639 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Global Wellesley Income Fund | |||
Investor Shares | $1,000.00 | $1,043.50 | $2.08 |
AdmiralTM Shares | 1,000.00 | 1,043.70 | 1.57 |
Based on Hypothetical 5% Yearly Return | |||
Global Wellesley Income Fund | |||
Investor Shares | $1,000.00 | $1,022.76 | $2.06 |
Admiral Shares | 1,000.00 | 1,023.26 | 1.56 |
United States | 50.6% |
United Kingdom | 8.4 |
France | 7.7 |
Canada | 5.6 |
Japan | 5.1 |
Switzerland | 3.1 |
Germany | 2.6 |
Netherlands | 1.8 |
Taiwan | 1.4 |
Spain | 1.3 |
Hong Kong | 1.3 |
Norway | 1.3 |
China | 1.2 |
Australia | 1.2 |
Cayman Islands | 1.1 |
Other | 6.3 |
Shares | Market Value• ($000) | |||||
Common Stocks (38.4%) | ||||||
Canada (3.2%) | ||||||
Bank of Nova Scotia | 91,014 | 5,321 | ||||
TC Energy Corp. | 92,460 | 3,873 | ||||
Royal Bank of Canada | 44,160 | 3,760 | ||||
Enbridge Inc. | 94,460 | 3,190 | ||||
16,144 | ||||||
China (1.0%) | ||||||
ENN Energy Holdings Ltd. | 191,700 | 2,932 | ||||
Guangdong Investment Ltd. | 1,106,000 | 1,975 | ||||
4,907 | ||||||
France (4.4%) | ||||||
AXA SA | 239,822 | 6,031 | ||||
TOTAL SE | 103,545 | 4,828 | ||||
Vinci SA | 36,930 | 3,841 | ||||
Nexity SA | 78,534 | 3,838 | ||||
* | Bureau Veritas SA | 125,759 | 3,402 | |||
21,940 | ||||||
Germany (0.8%) | ||||||
Volkswagen AG Preference Shares | 18,621 | 3,896 | ||||
Greece (0.6%) | ||||||
Hellenic Telecommunications Organization SA | 192,639 | 2,977 | ||||
Hong Kong (1.2%) | ||||||
* | Sands China Ltd. | 727,200 | 3,428 | |||
AIA Group Ltd. | 200,000 | 2,522 | ||||
5,950 | ||||||
Japan (2.8%) | ||||||
Tokio Marine Holdings Inc. | 93,900 | 4,665 | ||||
Mitsubishi UFJ Financial Group Inc. | 663,800 | 3,491 | ||||
KDDI Corp. | 105,300 | 3,283 | ||||
Isuzu Motors Ltd. | 229,100 | 2,411 | ||||
13,850 | ||||||
Netherlands (0.8%) | ||||||
Koninklijke KPN NV | 1,290,525 | 4,230 | ||||
Norway (0.8%) | ||||||
DNB ASA | 204,182 | 3,967 | ||||
Spain (0.6%) | ||||||
Industria de Diseno Textil SA | 89,965 | 2,966 |
Shares | Market Value• ($000) | |||||
Switzerland (2.2%) | ||||||
Novartis AG (Registered) | 49,834 | 4,292 | ||||
UBS Group AG (Registered) | 269,457 | 4,192 | ||||
Nestle SA (Registered) | 25,861 | 2,699 | ||||
11,183 | ||||||
Taiwan (1.3%) | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 310,000 | 6,772 | ||||
United Kingdom (2.9%) | ||||||
AstraZeneca plc | 39,971 | 3,882 | ||||
BAE Systems plc | 569,882 | 3,858 | ||||
National Grid plc | 332,794 | 3,742 | ||||
* | Standard Chartered plc | 460,937 | 2,983 | |||
14,465 | ||||||
United States (15.8%) | ||||||
Bank of America Corp. | 158,842 | 5,513 | ||||
Philip Morris International Inc. | 62,987 | 5,292 | ||||
Comcast Corp. Class A | 96,732 | 5,100 | ||||
Cisco Systems Inc. | 99,465 | 4,463 | ||||
Verizon Communications Inc. | 78,789 | 4,357 | ||||
Pfizer Inc. | 127,925 | 4,284 | ||||
Progressive Corp. | 48,409 | 4,161 | ||||
Anthem Inc. | 13,199 | 4,002 | ||||
Microsoft Corp. | 16,252 | 3,776 | ||||
Lockheed Martin Corp. | 10,570 | 3,491 | ||||
Duke Energy Corp. | 39,908 | 3,416 | ||||
Texas Instruments Inc. | 18,588 | 3,202 | ||||
TJX Cos. Inc. | 47,097 | 3,108 | ||||
Medtronic plc | 26,116 | 3,055 | ||||
Exelon Corp. | 72,544 | 2,800 | ||||
Medical Properties Trust Inc. | 128,390 | 2,772 | ||||
Boston Properties Inc. | 27,883 | 2,764 | ||||
Kellogg Co. | 43,116 | 2,488 | ||||
Edison International | 46,005 | 2,484 | ||||
FMC Corp. | 23,666 | 2,406 | ||||
Merck & Co. Inc. | 31,437 | 2,283 | ||||
Home Depot Inc. | 8,070 | 2,085 | ||||
Chubb Ltd. | 12,398 | 2,016 | ||||
79,318 | ||||||
Total Common Stocks (Cost $172,153) | 192,565 | |||||
Coupon | Maturity Date | Face Amount ($000) | ||||
U.S. Government and Agency Obligations (7.2%) | ||||||
1,2 | Fannie Mae Pool | 3.070% | 2/1/25 | 125 | 135 | |
1,2 | Fannie Mae REMICS | 2.000% | 9/25/40 | 115 | 118 | |
1,2 | Fannie Mae REMICS | 2.500% | 5/25/45–3/25/53 | 799 | 826 | |
1,2 | Fannie Mae REMICS | 3.000% | 2/25/49 | 130 | 137 | |
1,2 | Fannie Mae REMICS | 3.500% | 6/25/44–6/25/59 | 1,298 | 1,390 | |
1,2 | Freddie Mac REMICS | 1.750% | 9/15/42 | 1,046 | 1,073 | |
1,2 | Freddie Mac REMICS | 3.500% | 9/15/40–11/15/40 | 204 | 209 | |
1,2 | Freddie Mac REMICS | 4.000% | 12/15/39–8/15/40 | 1,033 | 1,141 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Ginnie Mae REMICS | 2.750% | 9/20/44 | 184 | 189 | |
1,2,3 | UMBS Pool | 1.500% | 3/15/36–4/15/36 | 6,195 | 6,266 | |
1,2,3 | UMBS Pool | 2.000% | 3/15/36–4/15/51 | 4,950 | 5,011 | |
1,2,3 | UMBS Pool | 2.500% | 3/15/51 | 3,050 | 3,162 | |
United States Treasury Note/Bond | 0.125% | 11/30/22–2/15/24 | 9,445 | 9,417 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 2,400 | 2,361 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 505 | 482 | ||
United States Treasury Note/Bond | 1.250% | 5/15/50 | 163 | 131 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 482 | 469 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 1,005 | 839 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 940 | 890 | ||
4 | United States Treasury Note/Bond | 1.625% | 11/15/50 | 1,640 | 1,459 | |
United States Treasury Note/Bond | 2.875% | 5/15/49 | 370 | 431 | ||
Total U.S. Government and Agency Obligations (Cost $36,335) | 36,136 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.2%) | ||||||
Bermuda (0.0%) | ||||||
1,5 | START Ireland Series 2019-1 | 4.089% | 3/15/44 | 155 | 156 | |
Canada (0.2%) | ||||||
1,5 | Chesapeake Funding II LLC Series 2018-2A | 3.230% | 8/15/30 | 339 | 343 | |
1,5,6 | Ford Auto Securitization Trust Series 2019-AA | 2.354% | 6/15/23 | 939 | 744 | |
1,087 | ||||||
Cayman Islands (1.1%) | ||||||
1,5,7 | KKR CLO 16 Ltd., 3M USD LIBOR+1.250% | 1.474% | 1/20/29 | 435 | 435 | |
1,5,7 | Madison Park Funding XVIII Ltd. Series 2015-18A, 3M USD LIBOR+1.190% | 1.414% | 10/21/30 | 875 | 875 | |
1,5,7 | Madison Park Funding XXX Ltd. Series 2018-30A, 3M USD LIBOR+0.750% | 0.991% | 4/15/29 | 1,570 | 1,567 | |
1,5,7 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR+0.800% | 1.041% | 1/15/28 | 1,510 | 1,508 | |
1,5,7 | Race Point IX CLO Ltd. Series 2015-9A, 3M USD LIBOR+1.210% | 1.451% | 10/15/30 | 865 | 865 | |
5,250 | ||||||
United States (0.9%) | ||||||
1,5 | Angel Oak Mortgage Trust I LLC Series 2018-3 | 3.649% | 9/25/48 | 213 | 215 | |
1,5 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 203 | 203 | |
1,5 | CF Hippolyta LLC Series 2020-1 | 1.690% | 7/15/60 | 532 | 534 | |
1,5 | DB Master Finance LLC Series 2019-1A | 3.787% | 5/20/49 | 128 | 131 | |
1,5 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 113 | 120 | |
1,5 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870% | 10/20/23 | 30 | 30 | |
Ford Credit Auto Lease Trust Series 2021-A | 0.780% | 9/15/25 | 180 | 180 | ||
1,2,5 | Freddie Mac STACR REMIC Trust Series 2021-DNA1 | 0.695% | 1/25/51 | 320 | 320 | |
1,2,7 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1M USD LIBOR+5.000% | 5.118% | 12/25/28 | 238 | 252 | |
1,2,7 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1M USD LIBOR+2.500% | 2.618% | 3/25/30 | 615 | 626 | |
1,5 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 145 | 146 | |
1,5 | MMAF Equipment Finance LLC Series 2017-B | 2.210% | 10/17/22 | 28 | 28 | |
1 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 296 | 321 | |
1,5 | SoFi Consumer Loan Program Trust Series 2019-3 | 2.900% | 5/25/28 | 312 | 314 | |
1,5 | Towd Point Mortgage Trust Series 2018-1 | 3.000% | 1/25/58 | 194 | 199 | |
1,5 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 138 | 144 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,5 | Vantage Data Centers LLC Series 2020-1A | 1.645% | 9/15/45 | 540 | 539 | |
1,5 | Verus Securitization Trust Series 2019-2 | 3.211% | 5/25/59 | 161 | 162 | |
4,464 | ||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,872) | 10,957 | |||||
Corporate Bonds (39.5%) | ||||||
Australia (0.5%) | ||||||
1,5 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 1,065 | 1,030 | |
1,5 | National Australia Bank Ltd. | 3.933% | 8/2/34 | 850 | 922 | |
1,5 | Scentre Group Trust 1 | 3.625% | 1/28/26 | 549 | 596 | |
2,548 | ||||||
Austria (0.1%) | ||||||
1,5 | JAB Holdings BV | 2.200% | 11/23/30 | 260 | 251 | |
Belgium (0.6%) | ||||||
1 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 700 | 844 | |
1,8 | Anheuser-Busch InBev SA/NV | 2.000% | 3/17/28 | 167 | 226 | |
1,8 | Anheuser-Busch InBev SA/NV | 2.875% | 4/2/32 | 450 | 659 | |
1,8 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 225 | 330 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 4/15/38 | 480 | 560 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 300 | 348 | ||
2,967 | ||||||
Canada (0.9%) | ||||||
1,6 | Bell Canada | 3.350% | 3/22/23 | 950 | 781 | |
Fortis Inc. | 3.055% | 10/4/26 | 625 | 678 | ||
Nutrien Ltd. | 4.125% | 3/15/35 | 750 | 857 | ||
1,6 | Royal Bank of Canada | 2.949% | 5/1/23 | 1,825 | 1,504 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 475 | 549 | ||
4,369 | ||||||
China (0.2%) | ||||||
1,5 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 1,110 | 1,136 | |
Denmark (0.7%) | ||||||
8 | Danske Bank A/S | 0.500% | 8/27/25 | 1,650 | 2,008 | |
1,5 | Danske Bank A/S | 1.621% | 9/11/26 | 875 | 874 | |
1,9 | Danske Bank A/S | 2.250% | 1/14/28 | 560 | 801 | |
3,683 | ||||||
France (3.1%) | ||||||
1,8 | Airbus SE | 2.375% | 4/7/32 | 475 | 659 | |
1,8 | Airbus SE | 2.375% | 6/9/40 | 300 | 405 | |
1,8 | AXA SA | 5.125% | 7/4/43 | 750 | 1,005 | |
1,5 | BNP Paribas SA | 2.819% | 11/19/25 | 360 | 383 | |
1,5 | BNP Paribas SA | 2.219% | 6/9/26 | 770 | 797 | |
1,8 | BNP Paribas SA | 0.125% | 9/4/26 | 400 | 477 | |
1,8 | BNP Paribas SA | 2.125% | 1/23/27 | 900 | 1,179 | |
1,8 | BNP Paribas SA | 1.125% | 4/17/29 | 700 | 876 | |
1,8 | BPCE SA | 1.125% | 1/18/23 | 900 | 1,111 | |
1,8 | BPCE SA | 0.500% | 9/15/27 | 900 | 1,090 | |
1,5 | BPCE SA | 3.250% | 1/11/28 | 500 | 538 | |
8 | Cie de Saint-Gobain | 2.375% | 10/4/27 | 700 | 958 | |
1,8 | Credit Mutuel Arkea SA | 1.625% | 4/15/26 | 1,100 | 1,414 | |
1,5 | Danone SA | 2.947% | 11/2/26 | 285 | 308 | |
1,8 | Engie SA | 0.000% | 3/4/27 | 1,000 | 1,193 | |
1,8 | Orange SA | 1.000% | 5/12/25 | 1,200 | 1,505 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,8 | Orange SA | 0.500% | 9/4/32 | 100 | 120 | |
1,8 | RCI Banque SA | 0.750% | 9/26/22 | 625 | 762 | |
1,8 | RCI Banque SA | 1.375% | 3/8/24 | 575 | 714 | |
15,494 | ||||||
Germany (1.7%) | ||||||
1,5 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 660 | 743 | |
1,5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 765 | 831 | |
1,9 | E.ON International Finance BV | 4.750% | 1/31/34 | 100 | 178 | |
1,9 | E.ON International Finance BV | 5.875% | 10/30/37 | 200 | 411 | |
1,5 | Volkswagen Group of America Finance LLC | 3.350% | 5/13/25 | 200 | 217 | |
1,8 | Volkswagen International Finance NV | 1.250% | 9/23/32 | 500 | 621 | |
1,8 | Volkswagen Leasing GmbH | 2.625% | 1/15/24 | 525 | 678 | |
1,8 | Volkswagen Leasing GmbH | 1.375% | 1/20/25 | 1,825 | 2,289 | |
1,8 | Vonovia Finance BV | 1.625% | 10/7/39 | 400 | 513 | |
8 | Wintershall Dea Finance BV | 0.840% | 9/25/25 | 900 | 1,100 | |
8 | Wintershall Dea Finance BV | 1.823% | 9/25/31 | 900 | 1,115 | |
8,696 | ||||||
Hong Kong (0.0%) | ||||||
1,5 | AIA Group Ltd. | 3.375% | 4/7/30 | 200 | 219 | |
Ireland (0.8%) | ||||||
1,5 | Avolon Holdings Funding Ltd. | 2.125% | 2/21/26 | 260 | 250 | |
1,5 | Avolon Holdings Funding Ltd. | 2.750% | 2/21/28 | 1,060 | 1,008 | |
8 | CRH Finance DAC | 3.125% | 4/3/23 | 1,177 | 1,517 | |
1,8 | CRH SMW Finance DAC | 1.250% | 11/5/26 | 800 | 1,019 | |
3,794 | ||||||
Japan (0.4%) | ||||||
1,3,5 | NTT Finance Corp. | 1.162% | 4/3/26 | 700 | 697 | |
1,3,5 | NTT Finance Corp. | 2.065% | 4/3/31 | 200 | 199 | |
8 | Takeda Pharmaceutical Co. Ltd. | 1.375% | 7/9/32 | 575 | 725 | |
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 200 | 200 | ||
1,821 | ||||||
Netherlands (0.9%) | ||||||
1,8 | ABN AMRO Bank NV | 2.500% | 11/29/23 | 1,025 | 1,329 | |
1,5 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 530 | 528 | |
1,9 | Cooperatieve Rabobank UA | 4.625% | 5/23/29 | 100 | 166 | |
1,8 | Heineken NV | 1.500% | 10/3/29 | 950 | 1,254 | |
8 | ING Groep NV | 0.250% | 2/18/29 | 800 | 944 | |
Shell International Finance BV | 4.000% | 5/10/46 | 275 | 311 | ||
4,532 | ||||||
Norway (0.2%) | ||||||
1,5 | Aker BP ASA | 4.000% | 1/15/31 | 725 | 777 | |
South Korea (0.0%) | ||||||
1,5 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 200 | 213 | |
Spain (0.5%) | ||||||
1,8 | Iberdrola Finanzas SA | 1.250% | 10/28/26 | 1,000 | 1,282 | |
Telefonica Emisiones SA | 4.665% | 3/6/38 | 845 | 963 | ||
2,245 | ||||||
Switzerland (0.7%) | ||||||
1,5 | Alcon Finance Corp. | 3.000% | 9/23/29 | 1,005 | 1,061 | |
1,8 | Credit Suisse Group AG | 1.250% | 7/17/25 | 600 | 750 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,9 | Credit Suisse Group AG | 2.250% | 6/9/28 | 675 | 973 | |
1,8 | Credit Suisse Group AG | 0.650% | 9/10/29 | 700 | 849 | |
3,633 | ||||||
United Arab Emirates (0.6%) | ||||||
1,5 | DAE Funding LLC | 3.375% | 3/20/28 | 1,440 | 1,456 | |
1,5 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 1,490 | 1,479 | |
2,935 | ||||||
United Kingdom (4.2%) | ||||||
AstraZeneca plc | 4.000% | 1/17/29 | 720 | 820 | ||
1,5 | BAE Systems plc | 3.400% | 4/15/30 | 200 | 218 | |
Barclays plc | 4.337% | 1/10/28 | 625 | 708 | ||
1 | Barclays plc | 4.972% | 5/16/29 | 1,415 | 1,660 | |
Barclays plc | 2.645% | 6/24/31 | 480 | 486 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 1,210 | 1,311 | ||
1,6 | BP Capital Markets plc | 3.470% | 5/15/25 | 1,325 | 1,125 | |
8 | BP Capital Markets plc | 1.104% | 11/15/34 | 525 | 641 | |
1,5 | CK Hutchison International 17 II Ltd. | 2.750% | 3/29/23 | 975 | 1,019 | |
1,9 | CPUK Finance Ltd. | 3.588% | 8/28/25 | 1,200 | 1,783 | |
1,8 | FCE Bank plc | 0.869% | 9/13/21 | 500 | 603 | |
1,9 | Heathrow Funding Ltd. | 2.750% | 8/9/49 | 150 | 199 | |
7 | HSBC Holdings plc, 3M USD LIBOR+1.000% | 1.189% | 5/18/24 | 255 | 258 | |
1,9 | HSBC Holdings plc | 2.256% | 11/13/26 | 1,725 | 2,502 | |
HSBC Holdings plc | 1.589% | 5/24/27 | 420 | 421 | ||
1 | HSBC Holdings plc | 2.357% | 8/18/31 | 705 | 698 | |
1,8 | Natwest Group plc | 1.750% | 3/2/26 | 1,175 | 1,496 | |
Prudential plc | 3.125% | 4/14/30 | 430 | 467 | ||
1,5 | Sky Ltd. | 3.125% | 11/26/22 | 825 | 864 | |
1,5 | Standard Chartered plc | 2.744% | 9/10/22 | 905 | 915 | |
1,5 | Standard Chartered plc | 0.991% | 1/12/25 | 530 | 530 | |
1,8 | Vodafone Group plc | 1.625% | 11/24/30 | 1,825 | 2,420 | |
21,144 | ||||||
United States (23.4%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 550 | 603 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 210 | 241 | ||
AbbVie Inc. | 4.750% | 3/15/45 | 275 | 334 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 340 | 394 | ||
1 | Alabama Power Co. | 4.300% | 7/15/48 | 275 | 336 | |
Amazon.com Inc. | 4.800% | 12/5/34 | 150 | 194 | ||
9 | American Honda Finance Corp. | 0.750% | 11/25/26 | 1,235 | 1,690 | |
8 | American International Group Inc. | 1.500% | 6/8/23 | 875 | 1,089 | |
American International Group Inc. | 4.250% | 3/15/29 | 650 | 752 | ||
American International Group Inc. | 3.400% | 6/30/30 | 435 | 477 | ||
American Tower Corp. | 5.000% | 2/15/24 | 200 | 225 | ||
American Tower Corp. | 4.400% | 2/15/26 | 325 | 368 | ||
Amgen Inc. | 4.663% | 6/15/51 | 350 | 442 | ||
1,5 | Amgen Inc. | 2.770% | 9/1/53 | 290 | 264 | |
Anthem Inc. | 3.500% | 8/15/24 | 325 | 354 | ||
8 | AT&T Inc. | 2.050% | 5/19/32 | 300 | 398 | |
8 | AT&T Inc. | 3.150% | 9/4/36 | 250 | 361 | |
8 | AT&T Inc. | 2.600% | 5/19/38 | 275 | 370 | |
1,5 | AT&T Inc. | 3.500% | 9/15/53 | 1,172 | 1,075 | |
AutoZone Inc. | 3.125% | 4/21/26 | 425 | 460 | ||
1 | Bank of America Corp. | 3.300% | 1/11/23 | 700 | 738 | |
1 | Bank of America Corp. | 3.593% | 7/21/28 | 1,550 | 1,722 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Bank of America Corp. | 4.271% | 7/23/29 | 980 | 1,134 | |
1 | Bank of America Corp. | 2.496% | 2/13/31 | 300 | 307 | |
8 | Becton Dickinson Euro Finance Sarl | 1.213% | 2/12/36 | 375 | 454 | |
Boeing Co. | 1.433% | 2/4/24 | 740 | 741 | ||
Boeing Co. | 2.196% | 2/4/26 | 680 | 682 | ||
Boeing Co. | 3.250% | 3/1/28 | 567 | 590 | ||
Boeing Co. | 3.450% | 11/1/28 | 175 | 182 | ||
1 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 275 | 274 | |
1,5 | Boston Gas Co. | 3.001% | 8/1/29 | 105 | 112 | |
Boston Scientific Corp. | 4.000% | 3/1/29 | 55 | 62 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 550 | 665 | ||
Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 800 | 848 | ||
Broadcom Inc. | 4.700% | 4/15/25 | 1,190 | 1,344 | ||
1,5 | Broadcom Inc. | 3.500% | 2/15/41 | 355 | 353 | |
1,5 | Broadcom Inc. | 3.750% | 2/15/51 | 175 | 173 | |
1,5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 760 | 895 | |
1,5 | Cargill Inc. | 4.760% | 11/23/45 | 275 | 347 | |
Charles Schwab Corp. | 4.625% | 3/22/30 | 590 | 716 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 435 | 510 | ||
Charter Communications Operating LLC | 2.300% | 2/1/32 | 635 | 605 | ||
Charter Communications Operating LLC | 6.384% | 10/23/35 | 305 | 408 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 55 | 65 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 47 | 54 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 60 | 66 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 40 | 38 | ||
8 | Chubb INA Holdings Inc. | 1.400% | 6/15/31 | 1,125 | 1,459 | |
Cigna Corp. | 4.375% | 10/15/28 | 435 | 505 | ||
Cigna Corp. | 2.400% | 3/15/30 | 220 | 223 | ||
Cimarex Energy Co. | 4.375% | 6/1/24 | 859 | 934 | ||
1 | Citigroup Inc. | 3.520% | 10/27/28 | 1,105 | 1,222 | |
Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 675 | 744 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 270 | 281 | ||
Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 225 | 259 | ||
Comcast Corp. | 3.950% | 10/15/25 | 255 | 287 | ||
9 | Comcast Corp. | 1.500% | 2/20/29 | 465 | 646 | |
Comcast Corp. | 6.500% | 11/15/35 | 775 | 1,124 | ||
Comcast Corp. | 4.000% | 3/1/48 | 20 | 23 | ||
Comcast Corp. | 4.049% | 11/1/52 | 10 | 12 | ||
Comcast Corp. | 2.650% | 8/15/62 | 130 | 115 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 895 | 969 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 145 | 158 | ||
CommonSpirit Health | 4.187% | 10/1/49 | 175 | 193 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 420 | 412 | ||
Constellation Brands Inc. | 2.875% | 5/1/30 | 90 | 95 | ||
1 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 140 | 148 | |
Crown Castle International Corp. | 2.100% | 4/1/31 | 1,180 | 1,140 | ||
CSX Corp. | 4.300% | 3/1/48 | 405 | 481 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 1,000 | 1,074 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 246 | 283 | ||
8 | Danaher Corp. | 2.100% | 9/30/26 | 1,225 | 1,631 | |
Dignity Health | 3.812% | 11/1/24 | 659 | 717 | ||
Dignity Health | 4.500% | 11/1/42 | 202 | 222 | ||
8 | Discovery Communications LLC | 1.900% | 3/19/27 | 800 | 1,035 | |
Discovery Communications LLC | 3.625% | 5/15/30 | 565 | 621 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 450 | 525 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Dominion Energy Inc. | 2.715% | 8/15/21 | 125 | 126 | ||
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 156 | 220 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 129 | 169 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 250 | 335 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 280 | 355 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 350 | 415 | ||
Eastern Energy Gas Holdings LLC | 4.600% | 12/15/44 | 625 | 735 | ||
Energy Transfer Operating LP | 4.900% | 3/15/35 | 975 | 1,043 | ||
1,5 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 100 | 101 | |
1,5 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 565 | 556 | |
1,5 | ERAC USA Finance LLC | 3.300% | 12/1/26 | 235 | 258 | |
1,5 | ERAC USA Finance LLC | 4.500% | 2/15/45 | 295 | 354 | |
1 | Evergy Metro Inc. | 2.250% | 6/1/30 | 180 | 184 | |
Exxon Mobil Corp. | 2.275% | 8/16/26 | 865 | 911 | ||
FedEx Corp. | 4.100% | 2/1/45 | 65 | 71 | ||
FedEx Corp. | 4.750% | 11/15/45 | 187 | 225 | ||
FedEx Corp. | 4.550% | 4/1/46 | 95 | 111 | ||
FedEx Corp. | 4.050% | 2/15/48 | 28 | 31 | ||
FedEx Corp. | 4.950% | 10/17/48 | 175 | 218 | ||
8 | Fidelity National Information Services Inc. | 1.500% | 5/21/27 | 1,405 | 1,800 | |
Fiserv Inc. | 3.200% | 7/1/26 | 320 | 348 | ||
8 | Fiserv Inc. | 1.625% | 7/1/30 | 750 | 975 | |
9 | Fiserv Inc. | 3.000% | 7/1/31 | 525 | 798 | |
8 | General Mills Inc. | 0.450% | 1/15/26 | 900 | 1,102 | |
General Motors Co. | 4.200% | 10/1/27 | 550 | 615 | ||
General Motors Co. | 5.000% | 10/1/28 | 1,095 | 1,277 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 1,535 | 1,575 | ||
1,5 | Genting New York LLC | 3.300% | 2/15/26 | 270 | 271 | |
Georgia Power Co. | 4.300% | 3/15/42 | 500 | 587 | ||
1 | Georgia Power Co. | 3.700% | 1/30/50 | 35 | 38 | |
Gilead Sciences Inc. | 2.800% | 10/1/50 | 670 | 616 | ||
1 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 1,425 | 1,543 | |
1 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 235 | 264 | |
1 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 285 | 327 | |
1,5 | Gray Oak Pipeline LLC | 2.600% | 10/15/25 | 291 | 297 | |
1,5 | Gray Oak Pipeline LLC | 3.450% | 10/15/27 | 45 | 47 | |
Healthpeak Properties Inc. | 4.000% | 6/1/25 | 475 | 529 | ||
Hess Corp. | 7.300% | 8/15/31 | 925 | 1,186 | ||
Hess Corp. | 5.600% | 2/15/41 | 415 | 492 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 975 | 925 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 500 | 552 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 570 | 564 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 315 | 373 | ||
International Paper Co. | 4.350% | 8/15/48 | 475 | 578 | ||
1,5 | ITC Holdings Corp. | 2.950% | 5/14/30 | 690 | 727 | |
1 | John Deere Capital Corp. | 3.450% | 3/13/25 | 830 | 912 | |
1 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 500 | 580 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 55 | 73 | ||
1,5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 500 | 536 | |
Kroger Co. | 4.450% | 2/1/47 | 220 | 259 | ||
Kroger Co. | 5.400% | 1/15/49 | 195 | 260 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 1,225 | 1,187 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 705 | 826 | ||
1,5 | Massachusetts Mutual Life Insurance Co. | 3.375% | 4/15/50 | 140 | 142 | |
McCormick & Co. Inc. | 2.500% | 4/15/30 | 140 | 144 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | McDonald's Corp. | 4.450% | 9/1/48 | 250 | 301 | |
1 | McDonald's Corp. | 3.625% | 9/1/49 | 40 | 43 | |
8 | Medtronic Global Holdings SCA | 1.125% | 3/7/27 | 1,275 | 1,623 | |
8 | Medtronic Global Holdings SCA | 1.625% | 3/7/31 | 360 | 482 | |
1 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 195 | 194 | |
Merck & Co. Inc. | 3.400% | 3/7/29 | 500 | 559 | ||
1 | Mercy Health | 3.555% | 8/1/27 | 535 | 586 | |
1,5 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 1,015 | 1,138 | |
1,5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 700 | 765 | |
1,5 | Microchip Technology Inc. | 0.972% | 2/15/24 | 1,080 | 1,084 | |
Microsoft Corp. | 3.700% | 8/8/46 | 650 | 768 | ||
1,5 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 778 | 854 | |
1,6 | Molson Coors International LP | 2.840% | 7/15/23 | 1,825 | 1,491 | |
1 | Morgan Stanley | 3.125% | 7/27/26 | 2,100 | 2,292 | |
1 | Morgan Stanley | 3.772% | 1/24/29 | 175 | 196 | |
8 | Morgan Stanley | 0.497% | 2/7/31 | 675 | 804 | |
National Retail Properties Inc. | 3.900% | 6/15/24 | 400 | 437 | ||
1,5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 1,050 | 1,153 | |
1,5 | Niagara Mohawk Power Corp. | 1.960% | 6/27/30 | 670 | 665 | |
Norfolk Southern Corp. | 2.550% | 11/1/29 | 915 | 956 | ||
1,5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 280 | 309 | |
1,5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 12 | 13 | |
1,5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 285 | 363 | |
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 20 | 21 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 81 | 82 | ||
1,5 | Oglethorpe Power Corp. | 3.750% | 8/1/50 | 260 | 262 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 190 | 225 | ||
Oracle Corp. | 4.000% | 11/15/47 | 265 | 294 | ||
Oracle Corp. | 3.600% | 4/1/50 | 390 | 409 | ||
Oracle Corp. | 3.850% | 4/1/60 | 145 | 157 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 65 | 67 | ||
Otis Worldwide Corp. | 3.112% | 2/15/40 | 140 | 145 | ||
Otis Worldwide Corp. | 3.362% | 2/15/50 | 250 | 260 | ||
PacifiCorp | 2.700% | 9/15/30 | 160 | 169 | ||
1,5 | Penske Truck Leasing Co. LP | 4.250% | 1/17/23 | 1,125 | 1,202 | |
1,5 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 180 | 191 | |
1,5 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 740 | 817 | |
1,5 | Penske Truck Leasing Co. LP | 4.000% | 7/15/25 | 140 | 156 | |
Pfizer Inc. | 1.700% | 5/28/30 | 195 | 192 | ||
1 | PNC Bank NA | 3.250% | 1/22/28 | 600 | 661 | |
1 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 245 | 277 | |
Raytheon Technologies Corp. | 3.950% | 8/16/25 | 310 | 347 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 550 | 658 | ||
1,5 | Royalty Pharma plc | 3.300% | 9/2/40 | 210 | 211 | |
1,5 | Royalty Pharma plc | 3.550% | 9/2/50 | 505 | 498 | |
1 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 710 | 690 | |
1 | San Diego Gas & Electric Co. | 4.100% | 6/15/49 | 174 | 201 | |
Santander Holdings USA Inc. | 3.700% | 3/28/22 | 1,700 | 1,751 | ||
1,5 | SBA Tower Trust | 3.448% | 3/15/23 | 755 | 798 | |
1,5 | SBA Tower Trust | 1.884% | 1/15/26 | 110 | 112 | |
1 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 250 | 247 | |
1 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 105 | 104 | |
1 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 60 | 60 | |
Sempra Energy | 3.250% | 6/15/27 | 1,000 | 1,092 | ||
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 180 | 192 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Southern California Edison Co. | 3.700% | 8/1/25 | 30 | 33 | |
1 | Southern California Edison Co. | 2.950% | 2/1/51 | 515 | 471 | |
1,5 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 1,100 | 1,183 | |
1 | SSM Health Care Corp. | 3.823% | 6/1/27 | 380 | 442 | |
Starbucks Corp. | 4.500% | 11/15/48 | 335 | 404 | ||
Starbucks Corp. | 3.350% | 3/12/50 | 90 | 91 | ||
1 | Synchrony Bank | 3.000% | 6/15/22 | 550 | 567 | |
1,5 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 635 | 792 | |
1,5 | T-Mobile USA Inc. | 2.050% | 2/15/28 | 1,185 | 1,180 | |
1,5 | T-Mobile USA Inc. | 3.300% | 2/15/51 | 495 | 465 | |
1 | Toledo Hospital | 5.325% | 11/15/28 | 410 | 483 | |
Toledo Hospital | 5.750% | 11/15/38 | 155 | 188 | ||
Trinity Acquisition plc | 4.400% | 3/15/26 | 888 | 1,010 | ||
1 | Truist Bank | 3.300% | 5/15/26 | 975 | 1,071 | |
Union Pacific Corp. | 3.750% | 2/5/70 | 190 | 205 | ||
1 | United Airlines Pass-Through Trust Class B Series 2018-1 | 4.600% | 3/1/26 | 62 | 63 | |
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 415 | 470 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 215 | 215 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 90 | 112 | ||
VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 365 | 392 | ||
VEREIT Operating Partnership LP | 2.200% | 6/15/28 | 185 | 184 | ||
VEREIT Operating Partnership LP | 3.100% | 12/15/29 | 550 | 572 | ||
VEREIT Operating Partnership LP | 2.850% | 12/15/32 | 80 | 80 | ||
8 | Verizon Communications Inc. | 1.250% | 4/8/30 | 750 | 959 | |
9 | Verizon Communications Inc. | 3.375% | 10/27/36 | 175 | 282 | |
Verizon Communications Inc. | 4.522% | 9/15/48 | 390 | 459 | ||
Verizon Communications Inc. | 5.012% | 8/21/54 | 380 | 482 | ||
VF Corp. | 2.800% | 4/23/27 | 145 | 156 | ||
VF Corp. | 2.950% | 4/23/30 | 875 | 933 | ||
1,6 | Wells Fargo & Co. | 2.975% | 5/19/26 | 600 | 498 | |
1 | Wells Fargo & Co. | 4.300% | 7/22/27 | 325 | 376 | |
1 | Wells Fargo & Co. | 4.750% | 12/7/46 | 700 | 862 | |
Welltower Inc. | 4.000% | 6/1/25 | 325 | 361 | ||
117,458 | ||||||
Total Corporate Bonds (Cost $186,303) | 197,915 | |||||
Sovereign Bonds (7.8%) | ||||||
Australia (0.6%) | ||||||
1,10 | Commonwealth of Australia | 2.750% | 11/21/27 | 160 | 135 | |
1,10 | Commonwealth of Australia | 2.250% | 5/21/28 | 870 | 707 | |
1,10 | Commonwealth of Australia | 2.500% | 5/21/30 | 2,630 | 2,155 | |
1,10 | Commonwealth of Australia | 1.000% | 11/21/31 | 225 | 157 | |
3,154 | ||||||
Bermuda (0.0%) | ||||||
1,5 | Bermuda | 2.375% | 8/20/30 | 200 | 205 | |
Canada (1.1%) | ||||||
6 | Canadian Government Bond | 0.250% | 11/1/22 | 2,500 | 1,966 | |
6 | City of Montreal | 3.500% | 12/1/38 | 910 | 795 | |
6 | City of Toronto | 3.200% | 8/1/48 | 1,000 | 859 | |
6 | Province of Ontario | 2.900% | 6/2/28 | 815 | 696 | |
1,11 | Province of Ontario | 0.250% | 6/28/29 | 1,075 | 1,206 | |
5,522 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Chile (0.3%) | ||||||
1 | Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 800 | 881 | |
8 | Republic of Chile | 1.250% | 1/22/51 | 435 | 482 | |
1,363 | ||||||
Colombia (0.2%) | ||||||
1 | Republic of Colombia | 4.000% | 2/26/24 | 1,045 | 1,113 | |
Croatia (0.3%) | ||||||
8 | Republic of Croatia | 1.500% | 6/17/31 | 1,060 | 1,337 | |
Hungary (0.3%) | ||||||
8 | Republic of Hungary | 1.625% | 4/28/32 | 775 | 1,002 | |
8 | Republic of Hungary | 1.750% | 6/5/35 | 350 | 451 | |
1,453 | ||||||
Japan (1.8%) | ||||||
1,12 | Japan | 0.100% | 12/20/28 | 601,350 | 5,655 | |
1,12 | Japan | 0.100% | 3/20/29 | 42,600 | 400 | |
1,12 | Japan | 0.100% | 6/20/29 | 12,000 | 113 | |
1,12 | Japan | 0.100% | 12/20/30 | 323,000 | 3,011 | |
9,179 | ||||||
Norway (0.3%) | ||||||
Equinor ASA | 3.000% | 4/6/27 | 1,215 | 1,319 | ||
Panama (0.3%) | ||||||
1,5 | Empresa de Transmision Electrica SA | 5.125% | 5/2/49 | 415 | 486 | |
1 | Republic of Panama | 2.252% | 9/29/32 | 995 | 950 | |
1,436 | ||||||
Qatar (0.3%) | ||||||
1,5 | State of Qatar | 3.875% | 4/23/23 | 785 | 840 | |
1,5 | State of Qatar | 5.103% | 4/23/48 | 285 | 368 | |
1,5 | State of Qatar | 4.400% | 4/16/50 | 205 | 243 | |
1,451 | ||||||
Romania (0.5%) | ||||||
5,8 | Republic of Romania | 1.375% | 12/2/29 | 505 | 608 | |
1,8 | Republic of Romania | 2.500% | 2/8/30 | 850 | 1,102 | |
1,8 | Republic of Romania | 2.124% | 7/16/31 | 475 | 590 | |
2,300 | ||||||
Saudi Arabia (0.1%) | ||||||
1,5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 585 | 636 | |
Spain (0.2%) | ||||||
5,8 | Kingdom of Spain | 0.600% | 10/31/29 | 775 | 966 | |
Supranational (0.2%) | ||||||
1,8 | European Union | 0.750% | 4/4/31 | 725 | 954 | |
United Arab Emirates (0.3%) | ||||||
1 | Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,435 | 1,575 | |
United Kingdom (1.0%) | ||||||
9 | United Kingdom | 1.250% | 7/22/27 | 770 | 1,118 | |
9 | United Kingdom | 0.375% | 10/22/30 | 1,550 | 2,067 | |
9 | United Kingdom | 3.500% | 1/22/45 | 990 | 1,971 | |
5,156 | ||||||
Total Sovereign Bonds (Cost $37,617) | 39,119 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Taxable Municipal Bonds (1.5%) | ||||||
United States (1.5%) | ||||||
1 | Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 80 | 83 | |
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.300% | 12/1/21 | 25 | 26 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 645 | 918 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 40 | 57 | ||
1 | Dallas/Fort Worth International Airport Revenue | 3.089% | 11/1/40 | 60 | 61 | |
1 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 45 | 48 | |
1,13 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 315 | 335 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 483 | 701 | ||
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 49 | 72 | ||
1 | Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 210 | 214 | |
Illinois GO | 5.100% | 6/1/33 | 515 | 575 | ||
13 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.371% | 5/1/26 | 755 | 844 | |
1 | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 135 | 139 | |
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 15 | 17 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.668% | 11/15/39 | 155 | 214 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 315 | 405 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 210 | 222 | ||
14 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 525 | 658 | |
1 | Port Authority of New York & New Jersey Revenue | 3.175% | 7/15/60 | 440 | 441 | |
Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 545 | 668 | ||
State of Connecticut GO | 2.000% | 7/1/23 | 135 | 140 | ||
State of Connecticut GO | 5.770% | 3/15/25 | 250 | 302 | ||
1 | University of California Revenue | 1.316% | 5/15/27 | 105 | 104 | |
1 | University of Virginia Revenue | 2.256% | 9/1/50 | 95 | 87 | |
Total Taxable Municipal Bonds (Cost $6,683) | 7,331 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (4.7%) | ||||||
Money Market Fund (4.7%) | ||||||
15 | Vanguard Market Liquidity Fund (Cost $23,317) | 0.099% | 233,169 | 23,317 | ||
Total Investments (101.3%) (Cost $473,280) | 507,340 | |||||
Other Assets and Liabilities—Net (-1.3%) | (6,346) | |||||
Net Assets (100%) | 500,994 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2021. |
4 | Securities with a value of $402,000 have been segregated as initial margin for open futures contracts. |
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 February 28, 2021, the aggregate value of these securities was $54,708,000, representing 10.9% of net assets. |
6 | Face amount denominated in Canadian dollars. |
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 | Face amount denominated in euro. |
9 | Face amount denominated in British pounds. |
10 | Face amount denominated in Australian dollars. |
11 | Face amount denominated in Swiss francs. |
12 | Face amount denominated in Japanese yen. |
13 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
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. |
1M—1-month. | |
3M—3-month. | |
GO—Government Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
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 | June 2021 | 11 | 1,364 | (9) |
Euro-Bobl | March 2021 | 21 | 3,400 | (26) |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Euro-BTP | March 2021 | 8 | 1,446 | (14) |
Euro-Buxl | March 2021 | 12 | 3,038 | (190) |
Euro-OAT | March 2021 | 10 | 1,972 | (48) |
Euro-Schatz | March 2021 | 65 | 8,797 | (14) |
(301) | ||||
Short Futures Contracts | ||||
10-Year Government of Canada Bond | June 2021 | (7) | (769) | 14 |
10-Year U.S. Treasury Note | June 2021 | (142) | (18,846) | 228 |
Euro-Bund | March 2021 | (33) | (6,904) | 140 |
Long Gilt | June 2021 | (5) | (890) | 8 |
Ultra 10-Year U.S. Treasury Note | June 2021 | (18) | (2,652) | 27 |
417 | ||||
116 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
J.P. Morgan Securities LLC | 3/31/21 | EUR | 740 | USD | 899 | — | (5) |
J.P. Morgan Securities LLC | 3/31/21 | GBP | 432 | USD | 604 | — | (2) |
Goldman Sachs International | 3/31/21 | USD | 5,109 | AUD | 6,467 | 133 | — |
Goldman Sachs International | 3/31/21 | USD | 11,430 | CAD | 14,413 | 103 | — |
J.P. Morgan Securities LLC | 3/31/21 | USD | 1,366 | CHF | 1,227 | 16 | — |
J.P. Morgan Securities LLC | 3/31/21 | USD | 61,614 | EUR | 50,631 | 476 | — |
Goldman Sachs International | 3/31/21 | USD | 1,879 | EUR | 1,545 | 14 | — |
Goldman Sachs International | 3/31/21 | GBP | 96 | EUR | 111 | — | — |
Bank of America, N.A. | 3/31/21 | USD | 15,882 | GBP | 11,277 | 167 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
J.P. Morgan Securities LLC | 3/31/21 | AUD | 1,970 | GBP | 1,105 | — | (24) |
J.P. Morgan Securities LLC | 3/31/21 | USD | 9,914 | JPY | 1,042,657 | 129 | — |
1,038 | (31) |
AUD—Australian dollar. |
CAD—Canadian dollar. |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
JPY—Japanese yen. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $449,963) | 484,023 |
Affiliated Issuers (Cost $23,317) | 23,317 |
Total Investments in Securities | 507,340 |
Investment in Vanguard | 19 |
Cash | 269 |
Foreign Currency, at Value (Cost $5,228) | 5,227 |
Receivables for Investment Securities Sold | 6,676 |
Receivables for Accrued Income | 2,737 |
Receivables for Capital Shares Issued | 440 |
Unrealized Appreciation—Forward Currency Contracts | 1,038 |
Total Assets | 523,746 |
Liabilities | |
Payables for Investment Securities Purchased | 21,455 |
Payables for Capital Shares Redeemed | 1,083 |
Payables to Investment Advisor | 127 |
Payables to Vanguard | 51 |
Variation Margin Payable—Futures Contracts | 5 |
Unrealized Depreciation—Forward Currency Contracts | 31 |
Total Liabilities | 22,752 |
Net Assets | 500,994 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 483,298 |
Total Distributable Earnings (Loss) | 17,696 |
Net Assets | 500,994 |
Investor Shares—Net Assets | |
Applicable to 3,868,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 81,720 |
Net Asset Value Per Share—Investor Shares | $21.13 |
Admiral Shares—Net Assets | |
Applicable to 15,873,847 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 419,274 |
Net Asset Value Per Share—Admiral Shares | $26.41 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,038 |
Interest1,2 | 2,664 |
Securities Lending—Net | 3 |
Total Income | 5,705 |
Expenses | |
Basic Fee | 289 |
Performance Adjustment | (35) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 111 |
Management and Administrative—Admiral Shares | 374 |
Marketing and Distribution—Investor Shares | 5 |
Marketing and Distribution—Admiral Shares | 11 |
Custodian Fees | 13 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—Admiral Shares | 3 |
Trustees’ Fees and Expenses | — |
Total Expenses | 771 |
Net Investment Income | 4,934 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 7,036 |
Futures Contracts | 723 |
Forward Currency Contracts | (3,459) |
Foreign Currencies | 470 |
Realized Net Gain (Loss) | 4,770 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 8,541 |
Futures Contracts | (4) |
Forward Currency Contracts | 2,112 |
Foreign Currencies | (203) |
Change in Unrealized Appreciation (Depreciation) | 10,446 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,150 |
1 | Dividends and Interest are net of foreign withholding taxes of $216,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $11,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 4,934 | 11,025 | |
Realized Net Gain (Loss) | 4,770 | (9,178) | |
Change in Unrealized Appreciation (Depreciation) | 10,446 | 11,303 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,150 | 13,150 | |
Distributions | |||
Investor Shares | (676) | (1,891) | |
Admiral Shares | (3,546) | (9,124) | |
Total Distributions | (4,222) | (11,015) | |
Capital Share Transactions | |||
Investor Shares | (2,089) | (4,268) | |
Admiral Shares | 17,227 | 7,647 | |
Net Increase (Decrease) from Capital Share Transactions | 15,138 | 3,379 | |
Total Increase (Decrease) | 31,066 | 5,514 | |
Net Assets | |||
Beginning of Period | 469,928 | 464,414 | |
End of Period | 500,994 | 469,928 |
Investor Shares | ||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | Oct. 18, 20171 to August 31, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $20.42 | $20.16 | $19.87 | $20.00 |
Investment Operations | ||||
Net Investment Income2 | .205 | .453 | .513 | .443 |
Net Realized and Unrealized Gain (Loss) on Investments | .682 | .263 | .529 | (.269) |
Total from Investment Operations | .887 | .716 | 1.042 | .174 |
Distributions | ||||
Dividends from Net Investment Income | (.177) | (.456) | (.473) | (.304) |
Distributions from Realized Capital Gains | — | — | (.279) | — |
Total Distributions | (.177) | (.456) | (.752) | (.304) |
Net Asset Value, End of Period | $21.13 | $20.42 | $20.16 | $19.87 |
Total Return3 | 4.35% | 3.66% | 5.50% | 0.88% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $82 | $81 | $85 | $93 |
Ratio of Total Expenses to Average Net Assets | 0.41%4 | 0.41%4 | 0.42%4 | 0.43%5,6 |
Ratio of Net Investment Income to Average Net Assets | 1.94% | 2.27% | 2.63% | 2.68%5 |
Portfolio Turnover Rate | 46%7 | 72%7 | 90% | 39% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $20.00. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
4 | Includes performance-based investment advisory fee increases (decreases) of (0.01%), (0.01%), and (0.01%). |
5 | Annualized. |
6 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.42%. |
7 | Includes 15% and 1%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | ||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | Oct. 18, 20171 to August 31, 2018 | |
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $25.53 | $25.20 | $24.84 | $25.00 |
Investment Operations | ||||
Net Investment Income2 | .269 | .592 | .666 | .577 |
Net Realized and Unrealized Gain (Loss) on Investments | .845 | .334 | .658 | (.341) |
Total from Investment Operations | 1.114 | .926 | 1.324 | .236 |
Distributions | ||||
Dividends from Net Investment Income | (.234) | (.596) | (.616) | (.396) |
Distributions from Realized Capital Gains | — | — | (.348) | — |
Total Distributions | (.234) | (.596) | (.964) | (.396) |
Net Asset Value, End of Period | $26.41 | $25.53 | $25.20 | $24.84 |
Total Return3 | 4.37% | 3.79% | 5.60% | 0.96% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $419 | $389 | $379 | $408 |
Ratio of Total Expenses to Average Net Assets | 0.31%4 | 0.31%4 | 0.32%4 | 0.33%5,6 |
Ratio of Net Investment Income to Average Net Assets | 2.04% | 2.37% | 2.73% | 2.78%5 |
Portfolio Turnover Rate | 46%7 | 72%7 | 90% | 39% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $25.00. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
4 | Includes performance-based investment advisory fee increases (decreases) of (0.01%), (0.01%), and (0.01%). |
5 | Annualized. |
6 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.32%. |
7 | Includes 15% and 1%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 95,462 | — | — | 95,462 |
Common Stocks—Other | — | 97,103 | — | 97,103 |
U.S. Government and Agency Obligations | — | 36,136 | — | 36,136 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 10,957 | — | 10,957 |
Corporate Bonds | — | 197,915 | — | 197,915 |
Sovereign Bonds | — | 39,119 | — | 39,119 |
Taxable Municipal Bonds | — | 7,331 | — | 7,331 |
Temporary Cash Investments | 23,317 | — | — | 23,317 |
Total | 118,779 | 388,561 | — | 507,340 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 417 | — | — | 417 |
Forward Currency Contracts | — | 1,038 | — | 1,038 |
Total | 417 | 1,038 | — | 1,455 |
Liabilities | ||||
Futures Contracts1 | 301 | — | — | 301 |
Forward Currency Contracts | — | 31 | — | 31 |
Total | 301 | 31 | — | 332 |
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. |
Statement of Assets and Liabilities Caption | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 417 | — | 417 |
Unrealized Appreciation—Forward Currency Contracts | — | 1,038 | 1,038 |
Total Assets | 417 | 1,038 | 1,455 |
Unrealized Depreciation—Futures Contracts1 | 301 | — | 301 |
Unrealized Depreciation—Forward Currency Contracts | — | 31 | 31 |
Total Liabilities | 301 | 31 | 332 |
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) on Derivatives | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 723 | — | 723 |
Forward Currency Contracts | — | (3,459) | (3,459) |
Realized Net Gain (Loss) on Derivatives | 723 | (3,459) | (2,736) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (4) | — | (4) |
Forward Currency Contracts | — | 2,112 | 2,112 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (4) | 2,112 | 2,108 |
Amount ($000) | |
Tax Cost | 473,719 |
Gross Unrealized Appreciation | 43,016 |
Gross Unrealized Depreciation | (8,273) |
Net Unrealized Appreciation (Depreciation) | 34,743 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 18,195 | 866 | 34,659 | 1,733 | |
Issued in Lieu of Cash Distributions | 579 | 28 | 1,619 | 82 | |
Redeemed | (20,863) | (1,001) | (40,546) | (2,058) | |
Net Increase (Decrease)—Investor Shares | (2,089) | (107) | (4,268) | (243) |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 76,914 | 2,940 | 164,236 | 6,588 | |
Issued in Lieu of Cash Distributions | 3,024 | 115 | 7,760 | 316 | |
Redeemed | (62,711) | (2,409) | (164,349) | (6,729) | |
Net Increase (Decrease)—Admiral Shares | 17,227 | 646 | 7,647 | 175 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
ESG U.S. Stock ETF | Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,116.30 | $0.63 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.20 | 0.60 |
Basic Materials | 2.0% |
Consumer Discretionary | 17.7 |
Consumer Staples | 4.8 |
Energy | 0.2 |
Financials | 11.0 |
Health Care | 13.7 |
Industrials | 11.7 |
Real Estate | 3.6 |
Technology | 30.6 |
Telecommunications | 3.6 |
Utilities | 1.1 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2021 | 27 | 5,142 | (8) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,924,725) | 3,500,297 |
Affiliated Issuers (Cost $1,706) | 1,706 |
Total Investments in Securities | 3,502,003 |
Investment in Vanguard | 121 |
Cash Collateral Pledged—Futures Contracts | 243 |
Receivables for Investment Securities Sold | 35 |
Receivables for Accrued Income | 2,839 |
Receivables for Capital Shares Issued | 14 |
Total Assets | 3,505,255 |
Liabilities | |
Due to Custodian | 11 |
Payables for Investment Securities Purchased | 96 |
Collateral for Securities on Loan | 168 |
Payables to Vanguard | 199 |
Variation Margin Payable—Futures Contracts | 19 |
Total Liabilities | 493 |
Net Assets | 3,504,762 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 2,849,736 |
Total Distributable Earnings (Loss) | 655,026 |
Net Assets | 3,504,762 |
Net Assets | |
Applicable to 49,025,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,504,762 |
Net Asset Value Per Share | $71.49 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 17,321 |
Interest1 | 2 |
Securities Lending—Net | 28 |
Total Income | 17,351 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 198 |
Management and Administrative | 1,277 |
Marketing and Distribution | 63 |
Custodian Fees | 17 |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,568 |
Net Investment Income | 15,783 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 97,334 |
Futures Contracts | 764 |
Realized Net Gain (Loss) | 98,098 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 178,762 |
Futures Contracts | (227) |
Change in Unrealized Appreciation (Depreciation) | 178,535 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 292,416 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $99,489,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 15,783 | 17,157 | |
Realized Net Gain (Loss) | 98,098 | (16,325) | |
Change in Unrealized Appreciation (Depreciation) | 178,535 | 366,944 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 292,416 | 367,776 | |
Distributions | |||
Total Distributions | (15,793) | (14,177) | |
Capital Share Transactions | |||
Issued | 1,499,947 | 1,046,350 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (246,151) | (20,140) | |
Net Increase (Decrease) from Capital Share Transactions | 1,253,796 | 1,026,210 | |
Total Increase (Decrease) | 1,530,419 | 1,379,809 | |
Net Assets | |||
Beginning of Period | 1,974,343 | 594,534 | |
End of Period | 3,504,762 | 1,974,343 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | September 18, 20181 to August 31, 2019 | |
For a Share Outstanding Throughout Each Period | |||
Net Asset Value, Beginning of Period | $64.47 | $51.25 | $50.00 |
Investment Operations | |||
Net Investment Income2 | .406 | .846 | .792 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.046 | 13.146 | .868 |
Total from Investment Operations | 7.452 | 13.992 | 1.660 |
Distributions | |||
Dividends from Net Investment Income | (.432) | (.772) | (.410) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.432) | (.772) | (.410) |
Net Asset Value, End of Period | $71.49 | $64.47 | $51.25 |
Total Return | 11.63% | 27.60% | 3.40% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $3,505 | $1,974 | $595 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12%3 |
Ratio of Net Investment Income to Average Net Assets | 1.24% | 1.54% | 1.67%3 |
Portfolio Turnover Rate4 | 2% | 6% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,497,705 | 2,591 | 1 | 3,500,297 |
Temporary Cash Investments | 1,706 | — | — | 1,706 |
Total | 3,499,411 | 2,591 | 1 | 3,502,003 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 8 | — | — | 8 |
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. |
Amount ($000) | |
Tax Cost | 2,928,953 |
Gross Unrealized Appreciation | 643,564 |
Gross Unrealized Depreciation | (70,522) |
Net Unrealized Appreciation (Depreciation) | 573,042 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 22,125 | 19,400 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (3,725) | (375) | |
Net Increase (Decrease) in Shares Outstanding | 18,400 | 19,025 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2021 | |||
ESG International Stock ETF | Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,168.00 | $0.81 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.05 | 0.75 |
Basic Materials | 5.5% |
Consumer Discretionary | 16.1 |
Consumer Staples | 6.1 |
Energy | 0.5 |
Financials | 21.9 |
Health Care | 10.2 |
Industrials | 11.4 |
Real Estate | 4.1 |
Technology | 18.2 |
Telecommunications | 4.1 |
Utilities | 1.9 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $4,933) | 49,339 | 4,934 | |||
Total Investments (99.9%) (Cost $1,467,988) | 1,783,458 | |||||
Other Assets and Liabilities—Net (0.1%) | 1,277 | |||||
Net Assets (100%) | 1,784,735 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security value determined using significant unobservable inputs. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,116,000. |
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 February 28, 2021, the aggregate value of these securities was $45,918,000, representing 2.6% of net assets. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $3,419,000 was received for securities on loan. |
ADR—American Depositary Receipt. | |
FDR—Fiduciary Depositary Receipt. | |
GDR—Global Depositary Receipt. | |
NVDR—Non-Voting Depositary Receipt. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
MSCI EAFE Index | March 2021 | 16 | 1,731 | (53) |
MSCI Emerging Market Index | March 2021 | 67 | 4,483 | (227) |
(280) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 4/6/21 | JPY | 178,947 | USD | 1,698 | — | (19) |
J.P. Morgan Securities LLC | 3/2/21 | QAR | 51 | USD | 14 | — | — |
BNP Paribas | 4/6/21 | USD | 2,320 | JPY | 239,718 | 70 | — |
70 | (19) |
JPY—Japanese yen. |
QAR—Qatari riyal. |
USD—U.S. dollar. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,463,055) | 1,778,524 |
Affiliated Issuers (Cost $4,933) | 4,934 |
Total Investments in Securities | 1,783,458 |
Investment in Vanguard | 62 |
Foreign Currency, at Value (Cost $3,950) | 3,936 |
Cash Collateral Pledged—Futures Contracts | 410 |
Receivables for Investment Securities Sold | 37 |
Receivables for Accrued Income | 3,242 |
Unrealized Appreciation—Forward Currency Contracts | 70 |
Total Assets | 1,791,215 |
Liabilities | |
Due to Custodian | 7 |
Payables for Investment Securities Purchased | 1,484 |
Collateral for Securities on Loan | 3,419 |
Payables to Vanguard | 129 |
Variation Margin Payable—Futures Contracts | 87 |
Unrealized Depreciation—Forward Currency Contracts | 19 |
Deferred Foreign Capital Gains Taxes | 1,335 |
Total Liabilities | 6,480 |
Net Assets | 1,784,735 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 1,483,082 |
Total Distributable Earnings (Loss) | 301,653 |
Net Assets | 1,784,735 |
Net Assets | |
Applicable to 29,500,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,784,735 |
Net Asset Value Per Share | $60.50 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 10,944 |
Interest2 | 3 |
Securities Lending—Net | 90 |
Total Income | 11,037 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 111 |
Management and Administrative | 834 |
Marketing and Distribution | 35 |
Custodian Fees | 118 |
Shareholders’ Reports | 9 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,107 |
Net Investment Income | 9,930 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (365) |
Futures Contracts | 2,073 |
Forward Currency Contracts | (53) |
Foreign Currencies | 146 |
Realized Net Gain (Loss) | 1,801 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2,3 | 216,189 |
Futures Contracts | (316) |
Forward Currency Contracts | 57 |
Foreign Currencies | (65) |
Change in Unrealized Appreciation (Depreciation) | 215,865 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 227,596 |
1 | Dividends are net of foreign withholding taxes of $1,094,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | The change in unrealized appreciation (depreciation) is net of the change in deferred foreign capital gains taxes of ($1,164,000). |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,930 | 18,028 | |
Realized Net Gain (Loss) | 1,801 | (12,482) | |
Change in Unrealized Appreciation (Depreciation) | 215,865 | 101,315 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 227,596 | 106,861 | |
Distributions | |||
Total Distributions | (15,499) | (14,331) | |
Capital Share Transactions | |||
Issued | 367,806 | 693,888 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | — | — | |
Net Increase (Decrease) from Capital Share Transactions | 367,806 | 693,888 | |
Total Increase (Decrease) | 579,903 | 786,418 | |
Net Assets | |||
Beginning of Period | 1,204,832 | 418,414 | |
End of Period | 1,784,735 | 1,204,832 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | September 18, 20181 to August 31, 2019 | |
For a Share Outstanding Throughout Each Period | |||
Net Asset Value, Beginning of Period | $52.38 | $48.09 | $50.00 |
Investment Operations | |||
Net Investment Income2 | .380 | 1.192 | 1.529 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.354 | 4.138 | (2.714) |
Total from Investment Operations | 8.734 | 5.330 | (1.185) |
Distributions | |||
Dividends from Net Investment Income | (.614) | (1.040) | (.725) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.614) | (1.040) | (.725) |
Net Asset Value, End of Period | $60.50 | $52.38 | $48.09 |
Total Return | 16.80% | 11.23% | -2.36% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,785 | $1,205 | $418 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.17%3,4 |
Ratio of Net Investment Income to Average Net Assets | 0.54% | 2.45% | 3.30%3 |
Portfolio Turnover Rate5 | 3% | 12% | 22% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.15%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 145,565 | 7,293 | — | 152,858 |
Common Stocks—Other | 70,725 | 1,554,772 | 169 | 1,625,666 |
Temporary Cash Investments | 4,934 | — | — | 4,934 |
Total | 221,224 | 1,562,065 | 169 | 1,783,458 |
Derivative Financial Instruments | ||||
Assets | ||||
Forward Currency Contracts | — | 70 | — | 70 |
Liabilities | ||||
Futures Contracts1 | 280 | — | — | 280 |
Forward Currency Contracts | — | 19 | — | 19 |
Total | 280 | 19 | — | 299 |
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. |
Statement of Assets and Liabilities Caption | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Forward Currency Contracts | — | 70 | 70 |
Total Assets | — | 70 | 70 |
Unrealized Depreciation—Futures Contracts1 | 280 | — | 280 |
Unrealized Depreciation—Forward Currency Contracts | — | 19 | 19 |
Total Liabilities | 280 | 19 | 299 |
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) on Derivatives | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 2,073 | — | 2,073 |
Forward Currency Contracts | — | (53) | (53) |
Realized Net Gain (Loss) on Derivatives | 2,073 | (53) | 2,020 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (316) | — | (316) |
Forward Currency Contracts | — | 57 | 57 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (316) | 57 | (259) |
Amount ($000) | |
Tax Cost | 1,471,138 |
Gross Unrealized Appreciation | 374,040 |
Gross Unrealized Depreciation | (61,949) |
Net Unrealized Appreciation (Depreciation) | 312,091 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
Shares (000) | Shares (000) | ||
Issued | 6,500 | 14,300 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | — | — | |
Net Increase (Decrease) in Shares Outstanding | 6,500 | 14,300 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Period Ended February 28, 2021 | |||
ESG U.S. Corporate Bond ETF | Beginning Account Value 9/22/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $986.10 | $0.52 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.26 | 0.53 |
Corporate Bonds – Communications | 14.4% |
Corporate Bonds – Consumer Discretionary | 6.5 |
Corporate Bonds – Consumer Staples | 3.9 |
Corporate Bonds – Financials | 37.9 |
Corporate Bonds – Health Care | 16.3 |
Corporate Bonds – Industrials | 3.7 |
Corporate Bonds – Materials | 1.6 |
Corporate Bonds – Real Estate | 2.0 |
Corporate Bonds – Technology | 13.7 |
Corporate Bonds – Utilities | 0.0 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Corporate Bonds (99.1%) | ||||||
Communications (14.2%) | ||||||
Activision Blizzard Inc. | 3.400% | 9/15/26 | 50 | 56 | ||
Activision Blizzard Inc. | 2.500% | 9/15/50 | 35 | 31 | ||
Alphabet Inc. | 3.375% | 2/25/24 | 40 | 43 | ||
Alphabet Inc. | 1.998% | 8/15/26 | 45 | 47 | ||
Alphabet Inc. | 0.800% | 8/15/27 | 60 | 58 | ||
Alphabet Inc. | 1.100% | 8/15/30 | 35 | 33 | ||
Alphabet Inc. | 1.900% | 8/15/40 | 70 | 63 | ||
Alphabet Inc. | 2.050% | 8/15/50 | 96 | 83 | ||
Alphabet Inc. | 2.250% | 8/15/60 | 40 | 34 | ||
America Movil SAB de CV | 3.125% | 7/16/22 | 5 | 5 | ||
America Movil SAB de CV | 3.625% | 4/22/29 | 85 | 94 | ||
America Movil SAB de CV | 2.875% | 5/7/30 | 65 | 68 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 60 | 84 | ||
America Movil SAB de CV | 4.375% | 7/16/42 | 45 | 53 | ||
America Movil SAB de CV | 4.375% | 4/22/49 | 20 | 24 | ||
AT&T Inc. | 3.000% | 6/30/22 | 75 | 77 | ||
AT&T Inc. | 2.625% | 12/1/22 | 5 | 5 | ||
AT&T Inc. | 4.450% | 4/1/24 | 25 | 28 | ||
AT&T Inc. | 3.400% | 5/15/25 | 125 | 136 | ||
AT&T Inc. | 4.125% | 2/17/26 | 50 | 57 | ||
AT&T Inc. | 3.800% | 2/15/27 | 50 | 56 | ||
AT&T Inc. | 2.300% | 6/1/27 | 160 | 166 | ||
AT&T Inc. | 1.650% | 2/1/28 | 65 | 64 | ||
AT&T Inc. | 4.350% | 3/1/29 | 75 | 86 | ||
1 | AT&T Inc. | 4.300% | 2/15/30 | 75 | 86 | |
AT&T Inc. | 2.750% | 6/1/31 | 85 | 86 | ||
AT&T Inc. | 2.250% | 2/1/32 | 75 | 72 | ||
AT&T Inc. | 4.500% | 5/15/35 | 65 | 74 | ||
AT&T Inc. | 5.250% | 3/1/37 | 70 | 87 | ||
AT&T Inc. | 4.850% | 3/1/39 | 84 | 98 | ||
AT&T Inc. | 5.350% | 9/1/40 | 80 | 101 | ||
AT&T Inc. | 3.500% | 6/1/41 | 275 | 275 | ||
AT&T Inc. | 3.100% | 2/1/43 | 155 | 146 | ||
AT&T Inc. | 4.350% | 6/15/45 | 10 | 11 | ||
AT&T Inc. | 4.750% | 5/15/46 | 50 | 58 | ||
AT&T Inc. | 4.500% | 3/9/48 | 20 | 22 | ||
AT&T Inc. | 4.550% | 3/9/49 | 175 | 196 | ||
AT&T Inc. | 3.650% | 6/1/51 | 100 | 96 | ||
AT&T Inc. | 3.300% | 2/1/52 | 25 | 23 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2 | AT&T Inc. | 3.500% | 9/15/53 | 205 | 188 | |
1,2 | AT&T Inc. | 3.550% | 9/15/55 | 260 | 239 | |
1,2 | AT&T Inc. | 3.800% | 12/1/57 | 42 | 40 | |
1,2 | AT&T Inc. | 3.650% | 9/15/59 | 130 | 120 | |
AT&T Inc. | 3.850% | 6/1/60 | 100 | 94 | ||
AT&T Inc. | 3.500% | 2/1/61 | 25 | 22 | ||
Bell Canada | 4.464% | 4/1/48 | 40 | 47 | ||
Booking Holdings Inc. | 4.100% | 4/13/25 | 70 | 78 | ||
Booking Holdings Inc. | 4.500% | 4/13/27 | 20 | 23 | ||
Booking Holdings Inc. | 4.625% | 4/13/30 | 40 | 48 | ||
British Telecommunications plc | 9.625% | 12/15/30 | 40 | 63 | ||
Charter Communications Operating LLC | 4.464% | 7/23/22 | 76 | 80 | ||
Charter Communications Operating LLC | 4.908% | 7/23/25 | 125 | 143 | ||
Charter Communications Operating LLC | 3.750% | 2/15/28 | 25 | 27 | ||
Charter Communications Operating LLC | 4.200% | 3/15/28 | 75 | 84 | ||
Charter Communications Operating LLC | 5.050% | 3/30/29 | 20 | 23 | ||
Charter Communications Operating LLC | 2.800% | 4/1/31 | 50 | 51 | ||
Charter Communications Operating LLC | 2.300% | 2/1/32 | 40 | 38 | ||
Charter Communications Operating LLC | 6.384% | 10/23/35 | 95 | 127 | ||
Charter Communications Operating LLC | 5.375% | 4/1/38 | 75 | 90 | ||
3 | Charter Communications Operating LLC | 3.500% | 6/1/41 | 70 | 68 | |
Charter Communications Operating LLC | 6.484% | 10/23/45 | 105 | 141 | ||
Charter Communications Operating LLC | 5.375% | 5/1/47 | 30 | 35 | ||
Charter Communications Operating LLC | 5.750% | 4/1/48 | 53 | 65 | ||
Charter Communications Operating LLC | 5.125% | 7/1/49 | 25 | 29 | ||
Charter Communications Operating LLC | 4.800% | 3/1/50 | 40 | 44 | ||
Charter Communications Operating LLC | 3.700% | 4/1/51 | 115 | 110 | ||
3 | Charter Communications Operating LLC | 3.900% | 6/1/52 | 20 | 20 | |
Charter Communications Operating LLC | 3.850% | 4/1/61 | 85 | 79 | ||
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 60 | 69 | ||
Comcast Corp. | 3.000% | 2/1/24 | 25 | 27 | ||
Comcast Corp. | 3.600% | 3/1/24 | 25 | 27 | ||
Comcast Corp. | 3.700% | 4/15/24 | 50 | 55 | ||
Comcast Corp. | 3.375% | 2/15/25 | 100 | 109 | ||
Comcast Corp. | 3.375% | 8/15/25 | 25 | 27 | ||
Comcast Corp. | 3.950% | 10/15/25 | 115 | 129 | ||
Comcast Corp. | 3.150% | 3/1/26 | 25 | 27 | ||
Comcast Corp. | 2.350% | 1/15/27 | 60 | 63 | ||
Comcast Corp. | 3.300% | 2/1/27 | 100 | 111 | ||
Comcast Corp. | 3.300% | 4/1/27 | 50 | 55 | ||
Comcast Corp. | 3.150% | 2/15/28 | 25 | 27 | ||
Comcast Corp. | 3.550% | 5/1/28 | 15 | 17 | ||
Comcast Corp. | 4.150% | 10/15/28 | 50 | 58 | ||
Comcast Corp. | 2.650% | 2/1/30 | 50 | 52 | ||
Comcast Corp. | 3.400% | 4/1/30 | 25 | 28 | ||
Comcast Corp. | 4.250% | 10/15/30 | 20 | 24 | ||
Comcast Corp. | 1.950% | 1/15/31 | 75 | 74 | ||
Comcast Corp. | 4.250% | 1/15/33 | 15 | 18 | ||
Comcast Corp. | 7.050% | 3/15/33 | 75 | 110 | ||
Comcast Corp. | 4.400% | 8/15/35 | 15 | 18 | ||
Comcast Corp. | 6.500% | 11/15/35 | 100 | 145 | ||
Comcast Corp. | 3.200% | 7/15/36 | 75 | 81 | ||
Comcast Corp. | 6.450% | 3/15/37 | 15 | 22 | ||
Comcast Corp. | 6.950% | 8/15/37 | 20 | 30 | ||
Comcast Corp. | 4.600% | 10/15/38 | 40 | 50 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comcast Corp. | 3.750% | 4/1/40 | 40 | 45 | ||
Comcast Corp. | 4.650% | 7/15/42 | 95 | 119 | ||
Comcast Corp. | 4.750% | 3/1/44 | 73 | 93 | ||
Comcast Corp. | 4.600% | 8/15/45 | 50 | 62 | ||
Comcast Corp. | 3.400% | 7/15/46 | 100 | 105 | ||
Comcast Corp. | 4.000% | 8/15/47 | 50 | 58 | ||
Comcast Corp. | 3.969% | 11/1/47 | 120 | 137 | ||
Comcast Corp. | 4.000% | 3/1/48 | 50 | 57 | ||
Comcast Corp. | 4.700% | 10/15/48 | 75 | 95 | ||
Comcast Corp. | 3.999% | 11/1/49 | 45 | 52 | ||
Comcast Corp. | 3.450% | 2/1/50 | 35 | 37 | ||
Comcast Corp. | 2.800% | 1/15/51 | 52 | 49 | ||
Comcast Corp. | 2.450% | 8/15/52 | 5 | 4 | ||
Comcast Corp. | 4.950% | 10/15/58 | 35 | 48 | ||
Comcast Corp. | 2.650% | 8/15/62 | 95 | 84 | ||
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 140 | 212 | ||
Discovery Communications LLC | 2.950% | 3/20/23 | 18 | 19 | ||
Discovery Communications LLC | 3.950% | 3/20/28 | 100 | 112 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 5 | 5 | ||
Discovery Communications LLC | 5.200% | 9/20/47 | 55 | 68 | ||
Discovery Communications LLC | 5.300% | 5/15/49 | 60 | 75 | ||
Discovery Communications LLC | 4.650% | 5/15/50 | 35 | 41 | ||
1,2 | Discovery Communications LLC | 4.000% | 9/15/55 | 15 | 15 | |
1,2 | Expedia Group Inc. | 4.625% | 8/1/27 | 25 | 28 | |
Expedia Group Inc. | 3.800% | 2/15/28 | 70 | 75 | ||
Expedia Group Inc. | 3.250% | 2/15/30 | 15 | 15 | ||
Fox Corp. | 4.030% | 1/25/24 | 5 | 5 | ||
Fox Corp. | 4.709% | 1/25/29 | 90 | 105 | ||
Fox Corp. | 5.476% | 1/25/39 | 60 | 77 | ||
Fox Corp. | 5.576% | 1/25/49 | 28 | 37 | ||
NBCUniversal Media LLC | 5.950% | 4/1/41 | 100 | 143 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 20 | 24 | ||
Omnicom Group Inc. | 3.625% | 5/1/22 | 25 | 26 | ||
Omnicom Group Inc. | 3.650% | 11/1/24 | 60 | 66 | ||
Omnicom Group Inc. | 3.600% | 4/15/26 | 15 | 17 | ||
Orange SA | 9.000% | 3/1/31 | 75 | 119 | ||
Orange SA | 5.375% | 1/13/42 | 25 | 33 | ||
Orange SA | 5.500% | 2/6/44 | 20 | 27 | ||
Rogers Communications Inc. | 4.100% | 10/1/23 | 30 | 33 | ||
Rogers Communications Inc. | 5.000% | 3/15/44 | 20 | 25 | ||
Rogers Communications Inc. | 4.300% | 2/15/48 | 20 | 23 | ||
Rogers Communications Inc. | 4.350% | 5/1/49 | 45 | 53 | ||
Rogers Communications Inc. | 3.700% | 11/15/49 | 25 | 27 | ||
Telefonica Emisiones SA | 4.103% | 3/8/27 | 90 | 102 | ||
Telefonica Emisiones SA | 7.045% | 6/20/36 | 55 | 78 | ||
Telefonica Emisiones SA | 4.665% | 3/6/38 | 10 | 11 | ||
Telefonica Emisiones SA | 5.213% | 3/8/47 | 95 | 111 | ||
Telefonica Emisiones SA | 4.895% | 3/6/48 | 60 | 69 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 35 | 44 | ||
Telefonica Europe BV | 8.250% | 9/15/30 | 15 | 22 | ||
TELUS Corp. | 4.600% | 11/16/48 | 5 | 6 | ||
Time Warner Cable LLC | 6.550% | 5/1/37 | 75 | 101 | ||
Time Warner Cable LLC | 6.750% | 6/15/39 | 65 | 89 | ||
Time Warner Cable LLC | 5.875% | 11/15/40 | 40 | 51 | ||
Time Warner Cable LLC | 5.500% | 9/1/41 | 35 | 43 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Time Warner Cable LLC | 4.500% | 9/15/42 | 55 | 60 | ||
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 20 | 23 | ||
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 50 | 75 | ||
1,2 | T-Mobile USA Inc. | 3.500% | 4/15/25 | 70 | 76 | |
1,2 | T-Mobile USA Inc. | 1.500% | 2/15/26 | 25 | 25 | |
1,2 | T-Mobile USA Inc. | 3.750% | 4/15/27 | 145 | 160 | |
1,2 | T-Mobile USA Inc. | 2.050% | 2/15/28 | 55 | 55 | |
1,2 | T-Mobile USA Inc. | 3.875% | 4/15/30 | 200 | 220 | |
1,2 | T-Mobile USA Inc. | 2.550% | 2/15/31 | 125 | 125 | |
1,2 | T-Mobile USA Inc. | 2.250% | 11/15/31 | 35 | 34 | |
1,2 | T-Mobile USA Inc. | 4.375% | 4/15/40 | 50 | 56 | |
1,2 | T-Mobile USA Inc. | 3.000% | 2/15/41 | 70 | 66 | |
1,2 | T-Mobile USA Inc. | 4.500% | 4/15/50 | 80 | 90 | |
1,2 | T-Mobile USA Inc. | 3.300% | 2/15/51 | 110 | 103 | |
1,2 | T-Mobile USA Inc. | 3.600% | 11/15/60 | 30 | 29 | |
1 | TWDC Enterprises 18 Corp. | 2.350% | 12/1/22 | 10 | 10 | |
1 | TWDC Enterprises 18 Corp. | 3.150% | 9/17/25 | 20 | 22 | |
1 | TWDC Enterprises 18 Corp. | 2.950% | 6/15/27 | 20 | 22 | |
1 | TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 45 | 53 | |
Verizon Communications Inc. | 5.150% | 9/15/23 | 225 | 251 | ||
Verizon Communications Inc. | 3.376% | 2/15/25 | 120 | 131 | ||
Verizon Communications Inc. | 2.625% | 8/15/26 | 25 | 27 | ||
Verizon Communications Inc. | 4.125% | 3/16/27 | 95 | 110 | ||
Verizon Communications Inc. | 3.000% | 3/22/27 | 105 | 113 | ||
Verizon Communications Inc. | 4.329% | 9/21/28 | 115 | 133 | ||
Verizon Communications Inc. | 4.016% | 12/3/29 | 85 | 97 | ||
Verizon Communications Inc. | 3.150% | 3/22/30 | 75 | 80 | ||
Verizon Communications Inc. | 1.500% | 9/18/30 | 10 | 9 | ||
1,2 | Verizon Communications Inc. | 1.680% | 10/30/30 | 100 | 95 | |
Verizon Communications Inc. | 1.750% | 1/20/31 | 50 | 47 | ||
Verizon Communications Inc. | 4.500% | 8/10/33 | 70 | 83 | ||
Verizon Communications Inc. | 4.400% | 11/1/34 | 85 | 101 | ||
Verizon Communications Inc. | 4.272% | 1/15/36 | 40 | 46 | ||
Verizon Communications Inc. | 5.250% | 3/16/37 | 50 | 64 | ||
Verizon Communications Inc. | 2.650% | 11/20/40 | 70 | 65 | ||
Verizon Communications Inc. | 3.850% | 11/1/42 | 150 | 165 | ||
Verizon Communications Inc. | 4.125% | 8/15/46 | 30 | 34 | ||
Verizon Communications Inc. | 4.862% | 8/21/46 | 126 | 156 | ||
Verizon Communications Inc. | 4.522% | 9/15/48 | 60 | 71 | ||
Verizon Communications Inc. | 5.012% | 4/15/49 | 75 | 95 | ||
Verizon Communications Inc. | 4.000% | 3/22/50 | 30 | 33 | ||
Verizon Communications Inc. | 2.875% | 11/20/50 | 120 | 109 | ||
Verizon Communications Inc. | 4.672% | 3/15/55 | 40 | 48 | ||
1,2 | Verizon Communications Inc. | 2.987% | 10/30/56 | 135 | 122 | |
Verizon Communications Inc. | 3.000% | 11/20/60 | 135 | 121 | ||
ViacomCBS Inc. | 4.250% | 9/1/23 | 25 | 27 | ||
ViacomCBS Inc. | 4.750% | 5/15/25 | 35 | 40 | ||
ViacomCBS Inc. | 4.000% | 1/15/26 | 25 | 28 | ||
ViacomCBS Inc. | 7.875% | 7/30/30 | 70 | 99 | ||
ViacomCBS Inc. | 4.950% | 1/15/31 | 50 | 60 | ||
ViacomCBS Inc. | 4.200% | 5/19/32 | 25 | 29 | ||
ViacomCBS Inc. | 4.375% | 3/15/43 | 60 | 68 | ||
ViacomCBS Inc. | 5.850% | 9/1/43 | 40 | 53 | ||
ViacomCBS Inc. | 4.950% | 5/19/50 | 25 | 30 | ||
Vodafone Group plc | 2.950% | 2/19/23 | 105 | 110 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Vodafone Group plc | 3.750% | 1/16/24 | 25 | 27 | ||
Vodafone Group plc | 4.125% | 5/30/25 | 60 | 67 | ||
Vodafone Group plc | 4.375% | 5/30/28 | 75 | 88 | ||
Vodafone Group plc | 6.150% | 2/27/37 | 30 | 41 | ||
Vodafone Group plc | 4.375% | 2/19/43 | 15 | 17 | ||
Vodafone Group plc | 5.250% | 5/30/48 | 100 | 129 | ||
Vodafone Group plc | 4.875% | 6/19/49 | 80 | 97 | ||
Vodafone Group plc | 4.250% | 9/17/50 | 90 | 100 | ||
Walt Disney Co. | 3.000% | 9/15/22 | 90 | 94 | ||
Walt Disney Co. | 3.350% | 3/24/25 | 50 | 55 | ||
Walt Disney Co. | 1.750% | 1/13/26 | 25 | 26 | ||
Walt Disney Co. | 2.200% | 1/13/28 | 80 | 83 | ||
Walt Disney Co. | 2.000% | 9/1/29 | 65 | 66 | ||
Walt Disney Co. | 3.800% | 3/22/30 | 30 | 34 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 115 | 120 | ||
Walt Disney Co. | 6.200% | 12/15/34 | 60 | 86 | ||
Walt Disney Co. | 6.400% | 12/15/35 | 50 | 74 | ||
Walt Disney Co. | 6.650% | 11/15/37 | 25 | 37 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 45 | 49 | ||
Walt Disney Co. | 4.700% | 3/23/50 | 60 | 77 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 75 | 82 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 80 | 90 | ||
Weibo Corp. | 3.500% | 7/5/24 | 50 | 53 | ||
Weibo Corp. | 3.375% | 7/8/30 | 10 | 10 | ||
WPP Finance 2010 | 3.750% | 9/19/24 | 20 | 22 | ||
15,706 | ||||||
Consumer Discretionary (6.4%) | ||||||
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 75 | 82 | ||
Alibaba Group Holding Ltd. | 3.400% | 12/6/27 | 35 | 38 | ||
Alibaba Group Holding Ltd. | 2.125% | 2/9/31 | 45 | 44 | ||
Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 55 | 61 | ||
Alibaba Group Holding Ltd. | 2.700% | 2/9/41 | 35 | 32 | ||
Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 45 | 50 | ||
Alibaba Group Holding Ltd. | 3.150% | 2/9/51 | 45 | 43 | ||
Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 30 | 35 | ||
Amazon.com Inc. | 2.400% | 2/22/23 | 50 | 52 | ||
Amazon.com Inc. | 2.800% | 8/22/24 | 105 | 113 | ||
Amazon.com Inc. | 0.800% | 6/3/25 | 65 | 65 | ||
Amazon.com Inc. | 1.200% | 6/3/27 | 50 | 50 | ||
Amazon.com Inc. | 3.150% | 8/22/27 | 165 | 183 | ||
Amazon.com Inc. | 1.500% | 6/3/30 | 60 | 58 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 80 | 104 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 90 | 121 | ||
Amazon.com Inc. | 4.050% | 8/22/47 | 115 | 137 | ||
Amazon.com Inc. | 2.500% | 6/3/50 | 95 | 88 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 30 | 37 | ||
Amazon.com Inc. | 2.700% | 6/3/60 | 70 | 65 | ||
1 | American Honda Finance Corp. | 2.200% | 6/27/22 | 50 | 51 | |
1 | American Honda Finance Corp. | 2.050% | 1/10/23 | 20 | 21 | |
1 | American Honda Finance Corp. | 1.950% | 5/10/23 | 20 | 21 | |
1 | American Honda Finance Corp. | 0.875% | 7/7/23 | 60 | 61 | |
1 | American Honda Finance Corp. | 0.650% | 9/8/23 | 40 | 40 | |
1 | American Honda Finance Corp. | 1.200% | 7/8/25 | 20 | 20 | |
AutoZone Inc. | 4.000% | 4/15/30 | 65 | 74 | ||
BorgWarner Inc. | 2.650% | 7/1/27 | 35 | 37 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Cintas Corp. No. 2 | 3.700% | 4/1/27 | 70 | 79 | ||
Daimler Finance North America LLC | 8.500% | 1/18/31 | 30 | 46 | ||
eBay Inc. | 3.800% | 3/9/22 | 50 | 52 | ||
eBay Inc. | 2.600% | 7/15/22 | 35 | 36 | ||
eBay Inc. | 1.900% | 3/11/25 | 25 | 26 | ||
eBay Inc. | 3.600% | 6/5/27 | 70 | 78 | ||
eBay Inc. | 2.700% | 3/11/30 | 20 | 21 | ||
eBay Inc. | 4.000% | 7/15/42 | 20 | 22 | ||
General Motors Co. | 4.875% | 10/2/23 | 50 | 55 | ||
General Motors Co. | 6.125% | 10/1/25 | 70 | 83 | ||
General Motors Co. | 4.200% | 10/1/27 | 70 | 78 | ||
General Motors Co. | 5.000% | 10/1/28 | 50 | 58 | ||
General Motors Co. | 5.000% | 4/1/35 | 45 | 54 | ||
General Motors Co. | 6.250% | 10/2/43 | 35 | 47 | ||
General Motors Co. | 5.200% | 4/1/45 | 60 | 72 | ||
General Motors Co. | 6.750% | 4/1/46 | 20 | 28 | ||
General Motors Co. | 5.400% | 4/1/48 | 60 | 73 | ||
General Motors Co. | 5.950% | 4/1/49 | 10 | 13 | ||
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 25 | 26 | ||
General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 55 | 57 | ||
General Motors Financial Co. Inc. | 3.550% | 7/8/22 | 50 | 52 | ||
General Motors Financial Co. Inc. | 5.200% | 3/20/23 | 85 | 93 | ||
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 75 | 79 | ||
General Motors Financial Co. Inc. | 5.100% | 1/17/24 | 35 | 39 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 20 | 22 | ||
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 100 | 109 | ||
General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 75 | 80 | ||
General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 25 | 28 | ||
General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 25 | 26 | ||
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 25 | 28 | ||
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 45 | 52 | ||
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 10 | 11 | ||
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 85 | 96 | ||
General Motors Financial Co. Inc. | 2.700% | 8/20/27 | 40 | 42 | ||
General Motors Financial Co. Inc. | 3.600% | 6/21/30 | 65 | 70 | ||
Hasbro Inc. | 3.900% | 11/19/29 | 35 | 39 | ||
Home Depot Inc. | 2.625% | 6/1/22 | 54 | 55 | ||
Home Depot Inc. | 2.700% | 4/1/23 | 45 | 47 | ||
Home Depot Inc. | 3.350% | 9/15/25 | 75 | 83 | ||
Home Depot Inc. | 2.125% | 9/15/26 | 100 | 105 | ||
Home Depot Inc. | 2.500% | 4/15/27 | 25 | 27 | ||
Home Depot Inc. | 2.950% | 6/15/29 | 65 | 70 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 65 | 69 | ||
Home Depot Inc. | 1.375% | 3/15/31 | 50 | 47 | ||
Home Depot Inc. | 5.875% | 12/16/36 | 50 | 72 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 55 | 60 | ||
Home Depot Inc. | 4.200% | 4/1/43 | 20 | 24 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 80 | 97 | ||
Home Depot Inc. | 3.900% | 6/15/47 | 75 | 86 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 50 | 51 | ||
Home Depot Inc. | 3.350% | 4/15/50 | 90 | 96 | ||
Home Depot Inc. | 3.500% | 9/15/56 | 105 | 115 | ||
Lear Corp. | 3.800% | 9/15/27 | 10 | 11 | ||
Lennar Corp. | 4.750% | 11/29/27 | 25 | 29 | ||
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 40 | 41 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 15 | 16 | ||
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 75 | 80 | ||
Lowe's Cos. Inc. | 1.300% | 4/15/28 | 25 | 24 | ||
Lowe's Cos. Inc. | 3.650% | 4/5/29 | 85 | 95 | ||
Lowe's Cos. Inc. | 1.700% | 10/15/30 | 70 | 67 | ||
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 20 | 22 | ||
Lowe's Cos. Inc. | 4.050% | 5/3/47 | 80 | 91 | ||
Lowe's Cos. Inc. | 3.000% | 10/15/50 | 25 | 24 | ||
Magna International Inc. | 3.625% | 6/15/24 | 15 | 16 | ||
Magna International Inc. | 2.450% | 6/15/30 | 30 | 31 | ||
1 | Marriott International Inc. | 5.750% | 5/1/25 | 55 | 63 | |
1 | Marriott International Inc. | 3.125% | 6/15/26 | 60 | 63 | |
1 | Marriott International Inc. | 4.625% | 6/15/30 | 20 | 23 | |
1 | Marriott International Inc. | 3.500% | 10/15/32 | 20 | 21 | |
1 | McDonald's Corp. | 3.700% | 1/30/26 | 25 | 28 | |
1 | McDonald's Corp. | 3.500% | 3/1/27 | 50 | 56 | |
1 | McDonald's Corp. | 3.500% | 7/1/27 | 55 | 61 | |
1 | McDonald's Corp. | 3.800% | 4/1/28 | 10 | 11 | |
1 | McDonald's Corp. | 2.625% | 9/1/29 | 160 | 167 | |
1 | McDonald's Corp. | 4.700% | 12/9/35 | 70 | 86 | |
1 | McDonald's Corp. | 4.875% | 12/9/45 | 50 | 63 | |
1 | McDonald's Corp. | 4.450% | 3/1/47 | 50 | 60 | |
1 | McDonald's Corp. | 4.450% | 9/1/48 | 32 | 39 | |
1 | McDonald's Corp. | 3.625% | 9/1/49 | 40 | 43 | |
1 | McDonald's Corp. | 4.200% | 4/1/50 | 10 | 12 | |
NIKE Inc. | 2.400% | 3/27/25 | 10 | 11 | ||
NIKE Inc. | 2.375% | 11/1/26 | 65 | 69 | ||
NIKE Inc. | 2.750% | 3/27/27 | 59 | 64 | ||
NIKE Inc. | 2.850% | 3/27/30 | 45 | 49 | ||
NIKE Inc. | 3.250% | 3/27/40 | 35 | 38 | ||
NIKE Inc. | 3.375% | 3/27/50 | 53 | 58 | ||
NVR Inc. | 3.000% | 5/15/30 | 7 | 7 | ||
O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 25 | 28 | ||
Ralph Lauren Corp. | 2.950% | 6/15/30 | 15 | 16 | ||
Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 20 | 21 | ||
Stanley Black & Decker Inc. | 2.750% | 11/15/50 | 20 | 19 | ||
1 | Stanley Black & Decker Inc. | 4.000% | 3/15/60 | 35 | 38 | |
Starbucks Corp. | 3.100% | 3/1/23 | 20 | 21 | ||
Starbucks Corp. | 3.800% | 8/15/25 | 50 | 56 | ||
Starbucks Corp. | 4.000% | 11/15/28 | 45 | 52 | ||
Starbucks Corp. | 3.550% | 8/15/29 | 30 | 34 | ||
Starbucks Corp. | 2.250% | 3/12/30 | 50 | 51 | ||
Starbucks Corp. | 2.550% | 11/15/30 | 45 | 47 | ||
Starbucks Corp. | 4.500% | 11/15/48 | 50 | 60 | ||
Starbucks Corp. | 3.500% | 11/15/50 | 20 | 21 | ||
TJX Cos. Inc. | 3.500% | 4/15/25 | 35 | 38 | ||
TJX Cos. Inc. | 2.250% | 9/15/26 | 75 | 79 | ||
TJX Cos. Inc. | 3.750% | 4/15/27 | 25 | 28 | ||
VF Corp. | 2.050% | 4/23/22 | 25 | 25 | ||
VF Corp. | 2.400% | 4/23/25 | 60 | 63 | ||
7,093 | ||||||
Consumer Staples (3.9%) | ||||||
Archer-Daniels-Midland Co. | 2.500% | 8/11/26 | 45 | 48 | ||
Archer-Daniels-Midland Co. | 3.250% | 3/27/30 | 25 | 28 | ||
Campbell Soup Co. | 4.150% | 3/15/28 | 15 | 17 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Coca-Cola Co. | 2.500% | 4/1/23 | 70 | 73 | ||
Coca-Cola Co. | 1.750% | 9/6/24 | 45 | 47 | ||
Coca-Cola Co. | 2.875% | 10/27/25 | 30 | 33 | ||
Coca-Cola Co. | 3.375% | 3/25/27 | 70 | 78 | ||
Coca-Cola Co. | 1.000% | 3/15/28 | 60 | 58 | ||
Coca-Cola Co. | 2.125% | 9/6/29 | 60 | 61 | ||
Coca-Cola Co. | 3.450% | 3/25/30 | 65 | 73 | ||
Coca-Cola Co. | 1.650% | 6/1/30 | 25 | 24 | ||
Coca-Cola Co. | 1.375% | 3/15/31 | 20 | 19 | ||
Coca-Cola Co. | 2.500% | 6/1/40 | 70 | 69 | ||
Coca-Cola Co. | 2.600% | 6/1/50 | 33 | 31 | ||
Coca-Cola Co. | 2.500% | 3/15/51 | 50 | 46 | ||
Coca-Cola Co. | 2.750% | 6/1/60 | 20 | 19 | ||
Conagra Brands Inc. | 4.600% | 11/1/25 | 25 | 29 | ||
Conagra Brands Inc. | 4.850% | 11/1/28 | 50 | 60 | ||
Conagra Brands Inc. | 5.300% | 11/1/38 | 25 | 32 | ||
Conagra Brands Inc. | 5.400% | 11/1/48 | 60 | 79 | ||
Dollar General Corp. | 3.250% | 4/15/23 | 80 | 84 | ||
Dollar General Corp. | 3.500% | 4/3/30 | 40 | 44 | ||
Dollar Tree Inc. | 3.700% | 5/15/23 | 70 | 75 | ||
Dollar Tree Inc. | 4.000% | 5/15/25 | 20 | 22 | ||
Dollar Tree Inc. | 4.200% | 5/15/28 | 25 | 29 | ||
General Mills Inc. | 3.700% | 10/17/23 | 25 | 27 | ||
General Mills Inc. | 4.000% | 4/17/25 | 10 | 11 | ||
General Mills Inc. | 4.200% | 4/17/28 | 60 | 69 | ||
General Mills Inc. | 2.875% | 4/15/30 | 25 | 26 | ||
Hormel Foods Corp. | 1.800% | 6/11/30 | 20 | 20 | ||
J M Smucker Co. | 3.500% | 3/15/25 | 10 | 11 | ||
Kellogg Co. | 3.250% | 4/1/26 | 25 | 28 | ||
Keurig Dr Pepper Inc. | 4.057% | 5/25/23 | 25 | 27 | ||
Keurig Dr Pepper Inc. | 4.417% | 5/25/25 | 70 | 79 | ||
Keurig Dr Pepper Inc. | 4.597% | 5/25/28 | 95 | 112 | ||
Keurig Dr Pepper Inc. | 3.200% | 5/1/30 | 10 | 11 | ||
Keurig Dr Pepper Inc. | 3.800% | 5/1/50 | 10 | 11 | ||
Kimberly-Clark Corp. | 3.100% | 3/26/30 | 25 | 28 | ||
McCormick & Co. Inc. | 2.700% | 8/15/22 | 25 | 26 | ||
McCormick & Co. Inc. | 3.400% | 8/15/27 | 20 | 22 | ||
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 66 | 74 | ||
Mondelez International Inc. | 0.625% | 7/1/22 | 50 | 50 | ||
Mondelez International Inc. | 1.500% | 5/4/25 | 20 | 20 | ||
Mondelez International Inc. | 2.750% | 4/13/30 | 25 | 26 | ||
Mondelez International Inc. | 2.625% | 9/4/50 | 30 | 27 | ||
PepsiCo Inc. | 2.750% | 3/5/22 | 35 | 36 | ||
PepsiCo Inc. | 2.250% | 5/2/22 | 25 | 26 | ||
PepsiCo Inc. | 3.100% | 7/17/22 | 70 | 72 | ||
PepsiCo Inc. | 2.750% | 3/1/23 | 25 | 26 | ||
PepsiCo Inc. | 3.600% | 3/1/24 | 21 | 23 | ||
PepsiCo Inc. | 2.250% | 3/19/25 | 75 | 79 | ||
PepsiCo Inc. | 2.375% | 10/6/26 | 80 | 85 | ||
PepsiCo Inc. | 3.000% | 10/15/27 | 50 | 55 | ||
PepsiCo Inc. | 2.750% | 3/19/30 | 90 | 96 | ||
PepsiCo Inc. | 1.625% | 5/1/30 | 25 | 25 | ||
PepsiCo Inc. | 3.500% | 3/19/40 | 50 | 56 | ||
PepsiCo Inc. | 4.000% | 3/5/42 | 25 | 30 | ||
PepsiCo Inc. | 4.450% | 4/14/46 | 40 | 51 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
PepsiCo Inc. | 3.450% | 10/6/46 | 35 | 38 | ||
PepsiCo Inc. | 3.375% | 7/29/49 | 80 | 87 | ||
PepsiCo Inc. | 3.625% | 3/19/50 | 50 | 56 | ||
PepsiCo Inc. | 3.875% | 3/19/60 | 18 | 21 | ||
Procter & Gamble Co. | 2.150% | 8/11/22 | 50 | 51 | ||
Procter & Gamble Co. | 3.100% | 8/15/23 | 30 | 32 | ||
Procter & Gamble Co. | 2.450% | 11/3/26 | 85 | 91 | ||
Procter & Gamble Co. | 2.850% | 8/11/27 | 5 | 5 | ||
Procter & Gamble Co. | 3.000% | 3/25/30 | 40 | 44 | ||
Procter & Gamble Co. | 1.200% | 10/29/30 | 25 | 24 | ||
Sysco Corp. | 5.650% | 4/1/25 | 35 | 41 | ||
Sysco Corp. | 3.300% | 7/15/26 | 25 | 27 | ||
Sysco Corp. | 3.250% | 7/15/27 | 75 | 83 | ||
Sysco Corp. | 5.950% | 4/1/30 | 25 | 32 | ||
Sysco Corp. | 6.600% | 4/1/50 | 50 | 74 | ||
Target Corp. | 3.500% | 7/1/24 | 5 | 5 | ||
Target Corp. | 2.250% | 4/15/25 | 75 | 79 | ||
Target Corp. | 2.500% | 4/15/26 | 10 | 11 | ||
Target Corp. | 3.375% | 4/15/29 | 50 | 56 | ||
Target Corp. | 2.350% | 2/15/30 | 10 | 10 | ||
Target Corp. | 4.000% | 7/1/42 | 45 | 56 | ||
Tyson Foods Inc. | 4.500% | 6/15/22 | 95 | 99 | ||
Tyson Foods Inc. | 4.000% | 3/1/26 | 5 | 6 | ||
Tyson Foods Inc. | 3.550% | 6/2/27 | 100 | 111 | ||
Tyson Foods Inc. | 4.550% | 6/2/47 | 25 | 31 | ||
Tyson Foods Inc. | 5.100% | 9/28/48 | 40 | 53 | ||
Unilever Capital Corp. | 2.200% | 5/5/22 | 65 | 66 | ||
Unilever Capital Corp. | 2.600% | 5/5/24 | 25 | 27 | ||
Unilever Capital Corp. | 2.900% | 5/5/27 | 55 | 60 | ||
Unilever Capital Corp. | 3.500% | 3/22/28 | 20 | 22 | ||
Unilever Capital Corp. | 2.125% | 9/6/29 | 25 | 26 | ||
Unilever Capital Corp. | 5.900% | 11/15/32 | 30 | 42 | ||
Walgreen Co. | 3.100% | 9/15/22 | 65 | 68 | ||
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 35 | 39 | ||
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 75 | 83 | ||
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 60 | 68 | ||
4,267 | ||||||
Financials (37.6%) | ||||||
1 | Aegon NV | 5.500% | 4/11/48 | 10 | 11 | |
AerCap Ireland Capital DAC | 4.500% | 9/15/23 | 10 | 11 | ||
AerCap Ireland Capital DAC | 3.150% | 2/15/24 | 50 | 52 | ||
AerCap Ireland Capital DAC | 6.500% | 7/15/25 | 65 | 76 | ||
AerCap Ireland Capital DAC | 3.650% | 7/21/27 | 40 | 43 | ||
Aflac Inc. | 3.600% | 4/1/30 | 45 | 51 | ||
Air Lease Corp. | 3.000% | 9/15/23 | 45 | 47 | ||
1 | Air Lease Corp. | 2.300% | 2/1/25 | 25 | 26 | |
1 | Air Lease Corp. | 3.750% | 6/1/26 | 60 | 65 | |
Air Lease Corp. | 3.125% | 12/1/30 | 50 | 50 | ||
1 | Allstate Corp. | 5.750% | 8/15/53 | 30 | 32 | |
Ally Financial Inc. | 3.050% | 6/5/23 | 50 | 53 | ||
Ally Financial Inc. | 1.450% | 10/2/23 | 25 | 25 | ||
Ally Financial Inc. | 3.875% | 5/21/24 | 60 | 65 | ||
Ally Financial Inc. | 5.800% | 5/1/25 | 50 | 58 | ||
1 | Ally Financial Inc. | 8.000% | 11/1/31 | 43 | 61 | |
American Express Co. | 2.750% | 5/20/22 | 40 | 41 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Express Co. | 2.500% | 8/1/22 | 100 | 103 | ||
American Express Co. | 2.650% | 12/2/22 | 23 | 24 | ||
American Express Co. | 3.400% | 2/27/23 | 70 | 74 | ||
American Express Co. | 3.700% | 8/3/23 | 20 | 22 | ||
American Express Co. | 3.400% | 2/22/24 | 40 | 43 | ||
American Express Co. | 2.500% | 7/30/24 | 75 | 79 | ||
American Express Co. | 3.000% | 10/30/24 | 30 | 32 | ||
American Express Co. | 3.125% | 5/20/26 | 65 | 71 | ||
American Express Co. | 4.050% | 12/3/42 | 30 | 35 | ||
1 | American Express Credit Corp. | 2.700% | 3/3/22 | 25 | 26 | |
1 | American Express Credit Corp. | 3.300% | 5/3/27 | 60 | 67 | |
American International Group Inc. | 2.500% | 6/30/25 | 50 | 53 | ||
American International Group Inc. | 3.750% | 7/10/25 | 20 | 22 | ||
American International Group Inc. | 3.900% | 4/1/26 | 110 | 123 | ||
American International Group Inc. | 4.200% | 4/1/28 | 50 | 57 | ||
American International Group Inc. | 3.400% | 6/30/30 | 55 | 60 | ||
American International Group Inc. | 3.875% | 1/15/35 | 35 | 40 | ||
American International Group Inc. | 6.250% | 5/1/36 | 25 | 35 | ||
American International Group Inc. | 4.500% | 7/16/44 | 60 | 71 | ||
American International Group Inc. | 4.800% | 7/10/45 | 10 | 12 | ||
American International Group Inc. | 4.750% | 4/1/48 | 50 | 62 | ||
1 | American International Group Inc. | 5.750% | 4/1/48 | 10 | 11 | |
American International Group Inc. | 4.375% | 1/15/55 | 55 | 65 | ||
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 50 | 55 | ||
Aon Corp. | 3.750% | 5/2/29 | 10 | 11 | ||
Aon Corp. | 2.800% | 5/15/30 | 25 | 26 | ||
Aon plc | 3.875% | 12/15/25 | 25 | 28 | ||
Arch Capital Group Ltd. | 3.635% | 6/30/50 | 10 | 10 | ||
Athene Holding Ltd. | 4.125% | 1/12/28 | 45 | 50 | ||
1 | Australia & New Zealand Banking Group Ltd. | 2.050% | 11/21/22 | 50 | 51 | |
1 | Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 25 | 28 | |
AXA SA | 8.600% | 12/15/30 | 10 | 16 | ||
Banco Bilbao Vizcaya Argentaria SA | 0.875% | 9/18/23 | 25 | 25 | ||
Banco Bilbao Vizcaya Argentaria SA | 1.125% | 9/18/25 | 20 | 20 | ||
Banco Santander SA | 3.500% | 4/11/22 | 10 | 10 | ||
Banco Santander SA | 3.125% | 2/23/23 | 5 | 5 | ||
Banco Santander SA | 3.848% | 4/12/23 | 35 | 37 | ||
Banco Santander SA | 2.746% | 5/28/25 | 110 | 117 | ||
Banco Santander SA | 5.179% | 11/19/25 | 40 | 46 | ||
Banco Santander SA | 4.250% | 4/11/27 | 75 | 86 | ||
Banco Santander SA | 3.800% | 2/23/28 | 40 | 44 | ||
Banco Santander SA | 4.379% | 4/12/28 | 25 | 29 | ||
Banco Santander SA | 3.306% | 6/27/29 | 10 | 11 | ||
Banco Santander SA | 3.490% | 5/28/30 | 75 | 81 | ||
Bancolombia SA | 3.000% | 1/29/25 | 15 | 16 | ||
1 | Bank of America Corp. | 2.503% | 10/21/22 | 10 | 10 | |
1 | Bank of America Corp. | 3.300% | 1/11/23 | 100 | 105 | |
1 | Bank of America Corp. | 2.881% | 4/24/23 | 125 | 129 | |
1 | Bank of America Corp. | 2.816% | 7/21/23 | 150 | 155 | |
Bank of America Corp. | 4.100% | 7/24/23 | 150 | 164 | ||
1 | Bank of America Corp. | 3.004% | 12/20/23 | 150 | 157 | |
1 | Bank of America Corp. | 4.125% | 1/22/24 | 25 | 28 | |
1 | Bank of America Corp. | 3.550% | 3/5/24 | 130 | 137 | |
1 | Bank of America Corp. | 4.000% | 4/1/24 | 75 | 82 | |
1 | Bank of America Corp. | 3.864% | 7/23/24 | 100 | 107 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Bank of America Corp. | 4.200% | 8/26/24 | 100 | 111 | |
1 | Bank of America Corp. | 0.810% | 10/24/24 | 95 | 96 | |
1 | Bank of America Corp. | 4.000% | 1/22/25 | 50 | 55 | |
1 | Bank of America Corp. | 3.458% | 3/15/25 | 50 | 54 | |
1 | Bank of America Corp. | 3.950% | 4/21/25 | 25 | 28 | |
1 | Bank of America Corp. | 3.875% | 8/1/25 | 80 | 89 | |
1 | Bank of America Corp. | 0.981% | 9/25/25 | 75 | 75 | |
1 | Bank of America Corp. | 2.456% | 10/22/25 | 75 | 79 | |
1 | Bank of America Corp. | 3.366% | 1/23/26 | 50 | 54 | |
1 | Bank of America Corp. | 2.015% | 2/13/26 | 100 | 103 | |
1 | Bank of America Corp. | 3.500% | 4/19/26 | 100 | 111 | |
1 | Bank of America Corp. | 1.319% | 6/19/26 | 85 | 85 | |
1 | Bank of America Corp. | 4.250% | 10/22/26 | 58 | 67 | |
1 | Bank of America Corp. | 1.197% | 10/24/26 | 175 | 174 | |
1 | Bank of America Corp. | 3.559% | 4/23/27 | 25 | 28 | |
1 | Bank of America Corp. | 3.248% | 10/21/27 | 75 | 82 | |
1 | Bank of America Corp. | 4.183% | 11/25/27 | 75 | 85 | |
1 | Bank of America Corp. | 3.419% | 12/20/28 | 153 | 169 | |
1 | Bank of America Corp. | 3.970% | 3/5/29 | 25 | 28 | |
1 | Bank of America Corp. | 4.271% | 7/23/29 | 88 | 102 | |
1 | Bank of America Corp. | 3.974% | 2/7/30 | 100 | 114 | |
1 | Bank of America Corp. | 3.194% | 7/23/30 | 100 | 108 | |
1 | Bank of America Corp. | 2.884% | 10/22/30 | 50 | 53 | |
1 | Bank of America Corp. | 2.496% | 2/13/31 | 265 | 271 | |
1 | Bank of America Corp. | 2.592% | 4/29/31 | 75 | 77 | |
1 | Bank of America Corp. | 1.898% | 7/23/31 | 25 | 24 | |
Bank of America Corp. | 6.110% | 1/29/37 | 50 | 69 | ||
1 | Bank of America Corp. | 4.244% | 4/24/38 | 85 | 101 | |
Bank of America Corp. | 7.750% | 5/14/38 | 90 | 144 | ||
1 | Bank of America Corp. | 4.078% | 4/23/40 | 10 | 12 | |
1 | Bank of America Corp. | 2.676% | 6/19/41 | 135 | 130 | |
1 | Bank of America Corp. | 5.875% | 2/7/42 | 60 | 84 | |
1 | Bank of America Corp. | 5.000% | 1/21/44 | 25 | 33 | |
1 | Bank of America Corp. | 4.443% | 1/20/48 | 50 | 61 | |
1 | Bank of America Corp. | 3.946% | 1/23/49 | 55 | 63 | |
1 | Bank of America Corp. | 4.330% | 3/15/50 | 80 | 95 | |
1 | Bank of America Corp. | 4.083% | 3/20/51 | 170 | 195 | |
1 | Bank of America Corp. | 2.831% | 10/24/51 | 55 | 52 | |
1 | Bank of America NA | 6.000% | 10/15/36 | 195 | 279 | |
1 | Bank of Montreal | 2.900% | 3/26/22 | 23 | 24 | |
1 | Bank of Montreal | 2.550% | 11/6/22 | 50 | 52 | |
Bank of Montreal | 0.450% | 12/8/23 | 45 | 45 | ||
1 | Bank of Montreal | 3.300% | 2/5/24 | 25 | 27 | |
1 | Bank of Montreal | 2.500% | 6/28/24 | 25 | 27 | |
1 | Bank of Montreal | 1.850% | 5/1/25 | 95 | 98 | |
1 | Bank of Montreal | 0.949% | 1/22/27 | 25 | 25 | |
1 | Bank of Montreal | 4.338% | 10/5/28 | 24 | 26 | |
1 | Bank of Montreal | 3.803% | 12/15/32 | 60 | 67 | |
1 | Bank of New York Mellon Corp. | 1.950% | 8/23/22 | 45 | 46 | |
1 | Bank of New York Mellon Corp. | 1.850% | 1/27/23 | 20 | 21 | |
1 | Bank of New York Mellon Corp. | 2.950% | 1/29/23 | 50 | 52 | |
1 | Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 35 | 36 | |
1 | Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 86 | 90 | |
1 | Bank of New York Mellon Corp. | 0.350% | 12/7/23 | 50 | 50 | |
1 | Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 20 | 21 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 25 | 26 | |
1 | Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 20 | 22 | |
1 | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 55 | 61 | |
1 | Bank of New York Mellon Corp. | 3.400% | 1/29/28 | 25 | 28 | |
1 | Bank of New York Mellon Corp. | 3.850% | 4/28/28 | 25 | 29 | |
1 | Bank of New York Mellon Corp. | 3.300% | 8/23/29 | 60 | 66 | |
Bank of Nova Scotia | 2.700% | 3/7/22 | 20 | 21 | ||
Bank of Nova Scotia | 2.000% | 11/15/22 | 115 | 118 | ||
Bank of Nova Scotia | 1.950% | 2/1/23 | 15 | 15 | ||
Bank of Nova Scotia | 1.625% | 5/1/23 | 50 | 51 | ||
Bank of Nova Scotia | 3.400% | 2/11/24 | 40 | 43 | ||
Bank of Nova Scotia | 2.200% | 2/3/25 | 15 | 16 | ||
Bank of Nova Scotia | 1.300% | 6/11/25 | 25 | 25 | ||
Bank of Nova Scotia | 4.500% | 12/16/25 | 15 | 17 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 65 | 70 | ||
Barclays Bank plc | 1.700% | 5/12/22 | 29 | 29 | ||
1 | Barclays plc | 4.338% | 5/16/24 | 50 | 54 | |
Barclays plc | 4.375% | 9/11/24 | 175 | 192 | ||
Barclays plc | 3.650% | 3/16/25 | 50 | 54 | ||
1 | Barclays plc | 3.932% | 5/7/25 | 10 | 11 | |
Barclays plc | 4.375% | 1/12/26 | 65 | 74 | ||
1 | Barclays plc | 2.852% | 5/7/26 | 50 | 53 | |
Barclays plc | 5.200% | 5/12/26 | 100 | 114 | ||
Barclays plc | 4.836% | 5/9/28 | 90 | 103 | ||
1 | Barclays plc | 4.972% | 5/16/29 | 25 | 29 | |
Barclays plc | 2.645% | 6/24/31 | 100 | 101 | ||
Barclays plc | 5.250% | 8/17/45 | 55 | 71 | ||
Barclays plc | 4.950% | 1/10/47 | 15 | 19 | ||
1 | BBVA USA | 2.875% | 6/29/22 | 35 | 36 | |
BlackRock Inc. | 3.500% | 3/18/24 | 20 | 22 | ||
BlackRock Inc. | 3.250% | 4/30/29 | 25 | 28 | ||
BlackRock Inc. | 2.400% | 4/30/30 | 58 | 61 | ||
BlackRock Inc. | 1.900% | 1/28/31 | 45 | 45 | ||
1 | BNP Paribas SA | 3.250% | 3/3/23 | 5 | 5 | |
1 | BNP Paribas SA | 4.250% | 10/15/24 | 65 | 73 | |
BPCE SA | 4.000% | 4/15/24 | 45 | 50 | ||
Brighthouse Financial Inc. | 3.700% | 6/22/27 | 19 | 21 | ||
Brighthouse Financial Inc. | 4.700% | 6/22/47 | 40 | 41 | ||
Canadian Imperial Bank of Commerce | 2.550% | 6/16/22 | 25 | 26 | ||
Canadian Imperial Bank of Commerce | 0.950% | 6/23/23 | 10 | 10 | ||
1 | Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 25 | 26 | |
1 | Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 80 | 86 | |
Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 40 | 43 | ||
Canadian Imperial Bank of Commerce | 2.250% | 1/28/25 | 15 | 16 | ||
Capital One Bank USA NA | 3.375% | 2/15/23 | 25 | 26 | ||
Capital One Financial Corp. | 3.050% | 3/9/22 | 25 | 26 | ||
Capital One Financial Corp. | 3.200% | 1/30/23 | 80 | 84 | ||
Capital One Financial Corp. | 2.600% | 5/11/23 | 50 | 52 | ||
Capital One Financial Corp. | 3.500% | 6/15/23 | 15 | 16 | ||
Capital One Financial Corp. | 3.900% | 1/29/24 | 15 | 16 | ||
Capital One Financial Corp. | 3.750% | 4/24/24 | 15 | 16 | ||
Capital One Financial Corp. | 3.300% | 10/30/24 | 75 | 81 | ||
Capital One Financial Corp. | 4.200% | 10/29/25 | 45 | 50 | ||
Capital One Financial Corp. | 3.750% | 7/28/26 | 85 | 93 | ||
Capital One Financial Corp. | 3.750% | 3/9/27 | 40 | 45 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Capital One Financial Corp. | 3.650% | 5/11/27 | 20 | 22 | ||
Capital One Financial Corp. | 3.800% | 1/31/28 | 40 | 45 | ||
Charles Schwab Corp. | 2.650% | 1/25/23 | 75 | 78 | ||
Charles Schwab Corp. | 3.850% | 5/21/25 | 20 | 22 | ||
Charles Schwab Corp. | 0.900% | 3/11/26 | 25 | 25 | ||
Chubb Corp. | 6.000% | 5/11/37 | 35 | 49 | ||
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 95 | 99 | ||
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 25 | 27 | ||
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 10 | 11 | ||
Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 50 | 48 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 30 | 37 | ||
1 | Citibank NA | 3.650% | 1/23/24 | 20 | 22 | |
Citigroup Inc. | 2.750% | 4/25/22 | 125 | 128 | ||
Citigroup Inc. | 4.050% | 7/30/22 | 25 | 26 | ||
Citigroup Inc. | 2.700% | 10/27/22 | 50 | 52 | ||
Citigroup Inc. | 3.500% | 5/15/23 | 125 | 133 | ||
1 | Citigroup Inc. | 2.876% | 7/24/23 | 50 | 52 | |
Citigroup Inc. | 3.875% | 10/25/23 | 50 | 54 | ||
1 | Citigroup Inc. | 1.678% | 5/15/24 | 50 | 51 | |
Citigroup Inc. | 0.776% | 10/30/24 | 60 | 60 | ||
1 | Citigroup Inc. | 3.352% | 4/24/25 | 35 | 38 | |
Citigroup Inc. | 3.300% | 4/27/25 | 100 | 109 | ||
Citigroup Inc. | 4.400% | 6/10/25 | 75 | 84 | ||
Citigroup Inc. | 5.500% | 9/13/25 | 25 | 29 | ||
Citigroup Inc. | 3.700% | 1/12/26 | 100 | 111 | ||
Citigroup Inc. | 4.600% | 3/9/26 | 75 | 86 | ||
1 | Citigroup Inc. | 3.106% | 4/8/26 | 75 | 81 | |
Citigroup Inc. | 3.400% | 5/1/26 | 50 | 55 | ||
Citigroup Inc. | 3.200% | 10/21/26 | 50 | 54 | ||
Citigroup Inc. | 1.122% | 1/28/27 | 25 | 25 | ||
Citigroup Inc. | 4.450% | 9/29/27 | 215 | 247 | ||
1 | Citigroup Inc. | 3.887% | 1/10/28 | 40 | 45 | |
1 | Citigroup Inc. | 3.668% | 7/24/28 | 50 | 55 | |
Citigroup Inc. | 4.125% | 7/25/28 | 100 | 113 | ||
1 | Citigroup Inc. | 3.520% | 10/27/28 | 80 | 88 | |
1 | Citigroup Inc. | 4.075% | 4/23/29 | 75 | 85 | |
1 | Citigroup Inc. | 3.980% | 3/20/30 | 125 | 141 | |
1 | Citigroup Inc. | 2.976% | 11/5/30 | 100 | 106 | |
1 | Citigroup Inc. | 2.666% | 1/29/31 | 25 | 26 | |
1 | Citigroup Inc. | 4.412% | 3/31/31 | 50 | 58 | |
1 | Citigroup Inc. | 2.572% | 6/3/31 | 120 | 122 | |
Citigroup Inc. | 6.625% | 6/15/32 | 65 | 89 | ||
1 | Citigroup Inc. | 3.878% | 1/24/39 | 6 | 7 | |
Citigroup Inc. | 8.125% | 7/15/39 | 72 | 121 | ||
1 | Citigroup Inc. | 5.316% | 3/26/41 | 35 | 47 | |
Citigroup Inc. | 5.875% | 1/30/42 | 50 | 71 | ||
Citigroup Inc. | 6.675% | 9/13/43 | 40 | 61 | ||
Citigroup Inc. | 5.300% | 5/6/44 | 45 | 59 | ||
Citigroup Inc. | 4.650% | 7/30/45 | 45 | 56 | ||
Citigroup Inc. | 4.750% | 5/18/46 | 25 | 31 | ||
1 | Citigroup Inc. | 4.281% | 4/24/48 | 25 | 30 | |
Citigroup Inc. | 4.650% | 7/23/48 | 50 | 64 | ||
1 | Citizens Bank NA | 2.250% | 4/28/25 | 20 | 21 | |
CME Group Inc. | 3.000% | 3/15/25 | 50 | 54 | ||
CME Group Inc. | 5.300% | 9/15/43 | 13 | 18 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Comerica Inc. | 3.700% | 7/31/23 | 35 | 38 | ||
Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 50 | 52 | ||
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 50 | 55 | ||
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 35 | 40 | ||
1 | Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 25 | 28 | |
1 | Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 95 | 129 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 50 | 70 | ||
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 25 | 33 | ||
Credit Suisse AG | 2.800% | 4/8/22 | 60 | 62 | ||
Credit Suisse AG | 1.000% | 5/5/23 | 125 | 127 | ||
1 | Credit Suisse AG | 3.625% | 9/9/24 | 85 | 93 | |
Credit Suisse AG | 2.950% | 4/9/25 | 45 | 49 | ||
Credit Suisse Group AG | 3.800% | 6/9/23 | 65 | 70 | ||
Credit Suisse Group AG | 3.750% | 3/26/25 | 25 | 27 | ||
Credit Suisse Group AG | 4.550% | 4/17/26 | 75 | 87 | ||
Credit Suisse Group AG | 4.875% | 5/15/45 | 55 | 71 | ||
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 60 | 63 | ||
Deutsche Bank AG | 3.950% | 2/27/23 | 50 | 53 | ||
Deutsche Bank AG | 3.700% | 5/30/24 | 20 | 22 | ||
1 | Deutsche Bank AG | 2.222% | 9/18/24 | 50 | 51 | |
1 | Deutsche Bank AG | 3.961% | 11/26/25 | 40 | 44 | |
Deutsche Bank AG | 2.129% | 11/24/26 | 45 | 45 | ||
1 | Deutsche Bank AG | 3.547% | 9/18/31 | 60 | 63 | |
1 | Discover Bank | 4.200% | 8/8/23 | 40 | 43 | |
Discover Bank | 2.450% | 9/12/24 | 65 | 69 | ||
1 | Discover Bank | 3.450% | 7/27/26 | 25 | 27 | |
1 | Discover Bank | 4.650% | 9/13/28 | 65 | 76 | |
Discover Financial Services | 4.100% | 2/9/27 | 25 | 28 | ||
Equitable Holdings Inc. | 4.350% | 4/20/28 | 35 | 40 | ||
Equitable Holdings Inc. | 5.000% | 4/20/48 | 31 | 39 | ||
Everest Reinsurance Holdings Inc. | 3.500% | 10/15/50 | 15 | 15 | ||
Fifth Third Bancorp | 3.650% | 1/25/24 | 25 | 27 | ||
Fifth Third Bancorp | 2.375% | 1/28/25 | 75 | 78 | ||
Fifth Third Bancorp | 2.550% | 5/5/27 | 50 | 53 | ||
Fifth Third Bancorp | 8.250% | 3/1/38 | 15 | 25 | ||
1 | Fifth Third Bank NA | 3.950% | 7/28/25 | 35 | 39 | |
Franklin Resources Inc. | 1.600% | 10/30/30 | 65 | 61 | ||
Global Payments Inc. | 2.650% | 2/15/25 | 2 | 2 | ||
Global Payments Inc. | 4.800% | 4/1/26 | 15 | 17 | ||
Global Payments Inc. | 3.200% | 8/15/29 | 50 | 53 | ||
Global Payments Inc. | 2.900% | 5/15/30 | 65 | 68 | ||
Global Payments Inc. | 4.150% | 8/15/49 | 15 | 17 | ||
Goldman Sachs Capital I | 6.345% | 2/15/34 | 35 | 47 | ||
Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 50 | 50 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 125 | 132 | ||
1 | Goldman Sachs Group Inc. | 0.481% | 1/27/23 | 25 | 25 | |
Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 50 | 53 | ||
1 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 100 | 103 | |
1 | Goldman Sachs Group Inc. | 0.627% | 11/17/23 | 50 | 50 | |
Goldman Sachs Group Inc. | 3.625% | 2/20/24 | 125 | 136 | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 100 | 110 | ||
1 | Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 150 | 164 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 63 | 69 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 74 | 81 | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 110 | 121 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 25 | 27 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 75 | 84 | ||
Goldman Sachs Group Inc. | 0.855% | 2/12/26 | 30 | 30 | ||
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 150 | 167 | ||
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 37 | 41 | ||
1 | Goldman Sachs Group Inc. | 1.093% | 12/9/26 | 25 | 25 | |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 50 | 62 | ||
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 65 | 73 | ||
1 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 55 | 62 | |
1 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 100 | 112 | |
1 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 100 | 115 | |
Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 25 | 26 | ||
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 30 | 34 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 25 | 24 | ||
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 125 | 172 | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 50 | 73 | ||
1 | Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 50 | 58 | |
1 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 45 | 54 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 100 | 148 | ||
1 | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 50 | 65 | |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 145 | 191 | ||
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 70 | 90 | ||
Hartford Financial Services Group Inc. | 3.600% | 8/19/49 | 50 | 54 | ||
1 | HSBC Holdings plc | 3.262% | 3/13/23 | 140 | 144 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 70 | 75 | ||
1 | HSBC Holdings plc | 3.033% | 11/22/23 | 50 | 52 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 25 | 27 | ||
1 | HSBC Holdings plc | 3.950% | 5/18/24 | 25 | 27 | |
1 | HSBC Holdings plc | 3.803% | 3/11/25 | 25 | 27 | |
HSBC Holdings plc | 4.250% | 8/18/25 | 50 | 56 | ||
HSBC Holdings plc | 4.300% | 3/8/26 | 50 | 57 | ||
1 | HSBC Holdings plc | 1.645% | 4/18/26 | 75 | 76 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 25 | 28 | ||
1 | HSBC Holdings plc | 2.099% | 6/4/26 | 50 | 52 | |
1 | HSBC Holdings plc | 4.292% | 9/12/26 | 125 | 140 | |
HSBC Holdings plc | 4.375% | 11/23/26 | 65 | 74 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 105 | 105 | ||
1 | HSBC Holdings plc | 2.013% | 9/22/28 | 100 | 101 | |
1 | HSBC Holdings plc | 4.583% | 6/19/29 | 95 | 109 | |
HSBC Holdings plc | 4.950% | 3/31/30 | 135 | 163 | ||
1 | HSBC Holdings plc | 3.973% | 5/22/30 | 100 | 111 | |
1 | HSBC Holdings plc | 2.848% | 6/4/31 | 35 | 36 | |
1 | HSBC Holdings plc | 2.357% | 8/18/31 | 50 | 50 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 55 | 76 | ||
HSBC Holdings plc | 6.500% | 9/15/37 | 20 | 28 | ||
HSBC Holdings plc | 6.800% | 6/1/38 | 55 | 79 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 65 | 93 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 67 | 86 | ||
HSBC USA Inc. | 3.500% | 6/23/24 | 90 | 98 | ||
Huntington Bancshares Inc. | 2.625% | 8/6/24 | 50 | 53 | ||
Huntington Bancshares Inc. | 2.550% | 2/4/30 | 35 | 36 | ||
1 | Huntington National Bank | 3.550% | 10/6/23 | 10 | 11 | |
ING Groep NV | 3.150% | 3/29/22 | 35 | 36 | ||
ING Groep NV | 4.100% | 10/2/23 | 25 | 27 | ||
ING Groep NV | 3.550% | 4/9/24 | 75 | 82 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
ING Groep NV | 3.950% | 3/29/27 | 95 | 108 | ||
ING Groep NV | 4.050% | 4/9/29 | 25 | 29 | ||
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 35 | 38 | ||
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 45 | 50 | ||
Intercontinental Exchange Inc. | 2.100% | 6/15/30 | 45 | 45 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 95 | 90 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 25 | 24 | ||
Intercontinental Exchange Inc. | 4.250% | 9/21/48 | 20 | 23 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 15 | 14 | ||
Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 55 | 52 | ||
International Lease Finance Corp. | 5.875% | 8/15/22 | 95 | 101 | ||
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 100 | 105 | ||
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 120 | 126 | ||
1 | JPMorgan Chase & Co. | 3.207% | 4/1/23 | 50 | 51 | |
1 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 45 | 46 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 14 | 15 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 215 | 236 | ||
1 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 150 | 154 | |
1 | JPMorgan Chase & Co. | 3.797% | 7/23/24 | 190 | 205 | |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 50 | 55 | ||
1 | JPMorgan Chase & Co. | 0.653% | 9/16/24 | 50 | 50 | |
1 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 125 | 136 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 75 | 81 | ||
JPMorgan Chase & Co. | 0.563% | 2/16/25 | 30 | 30 | ||
1 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 40 | 43 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 25 | 28 | ||
1 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 75 | 79 | |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 50 | 55 | ||
1 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 260 | 270 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 100 | 109 | ||
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 100 | 108 | ||
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 30 | 34 | ||
1 | JPMorgan Chase & Co. | 3.960% | 1/29/27 | 95 | 107 | |
1 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 70 | 79 | |
1 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 105 | 117 | |
1 | JPMorgan Chase & Co. | 2.182% | 6/1/28 | 100 | 103 | |
1 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 25 | 27 | |
1 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 105 | 119 | |
1 | JPMorgan Chase & Co. | 4.203% | 7/23/29 | 85 | 98 | |
1 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 80 | 94 | |
1 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 25 | 28 | |
1 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 115 | 121 | |
1 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 165 | 196 | |
1 | JPMorgan Chase & Co. | 2.522% | 4/22/31 | 150 | 153 | |
1 | JPMorgan Chase & Co. | 2.956% | 5/13/31 | 100 | 104 | |
JPMorgan Chase & Co. | 1.764% | 11/19/31 | 65 | 62 | ||
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 65 | 96 | ||
1 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 50 | 57 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 70 | 97 | ||
1 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 70 | 73 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 65 | 92 | ||
JPMorgan Chase & Co. | 2.525% | 11/19/41 | 40 | 38 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 25 | 35 | ||
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 55 | 72 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 5 | 7 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | JPMorgan Chase & Co. | 4.260% | 2/22/48 | 90 | 110 | |
1 | JPMorgan Chase & Co. | 4.032% | 7/24/48 | 100 | 117 | |
1 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 60 | 70 | |
1 | JPMorgan Chase & Co. | 3.897% | 1/23/49 | 105 | 121 | |
1 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 50 | 50 | |
1 | KeyBank NA | 2.300% | 9/14/22 | 50 | 52 | |
1 | KeyBank NA | 3.300% | 6/1/25 | 15 | 16 | |
1 | KeyCorp | 2.250% | 4/6/27 | 20 | 21 | |
1 | KeyCorp | 2.550% | 10/1/29 | 25 | 26 | |
1 | Lloyds Banking Group plc | 2.858% | 3/17/23 | 75 | 77 | |
Lloyds Banking Group plc | 4.050% | 8/16/23 | 100 | 108 | ||
1 | Lloyds Banking Group plc | 2.907% | 11/7/23 | 25 | 26 | |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 25 | 28 | ||
1 | Lloyds Banking Group plc | 3.870% | 7/9/25 | 75 | 82 | |
Lloyds Banking Group plc | 4.582% | 12/10/25 | 100 | 113 | ||
1 | Lloyds Banking Group plc | 2.438% | 2/5/26 | 80 | 83 | |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 75 | 85 | ||
Lloyds Banking Group plc | 3.750% | 1/11/27 | 25 | 28 | ||
Lloyds Banking Group plc | 4.550% | 8/16/28 | 55 | 64 | ||
1 | Lloyds Banking Group plc | 3.574% | 11/7/28 | 25 | 28 | |
Lloyds Banking Group plc | 5.300% | 12/1/45 | 25 | 33 | ||
Lloyds Banking Group plc | 4.344% | 1/9/48 | 50 | 58 | ||
1 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 60 | 65 | |
Marsh & McLennan Cos. Inc. | 3.875% | 3/15/24 | 45 | 49 | ||
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 55 | 64 | ||
Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 25 | 25 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 30 | 39 | ||
Mastercard Inc. | 3.375% | 4/1/24 | 20 | 22 | ||
Mastercard Inc. | 2.950% | 11/21/26 | 35 | 38 | ||
Mastercard Inc. | 3.300% | 3/26/27 | 40 | 44 | ||
Mastercard Inc. | 3.350% | 3/26/30 | 70 | 78 | ||
Mastercard Inc. | 3.650% | 6/1/49 | 35 | 40 | ||
Mastercard Inc. | 3.850% | 3/26/50 | 35 | 41 | ||
1 | MetLife Inc. | 4.368% | 9/15/23 | 50 | 55 | |
MetLife Inc. | 3.600% | 4/10/24 | 10 | 11 | ||
MetLife Inc. | 4.550% | 3/23/30 | 70 | 84 | ||
MetLife Inc. | 5.700% | 6/15/35 | 90 | 125 | ||
1 | MetLife Inc. | 6.400% | 12/15/36 | 45 | 57 | |
MetLife Inc. | 5.875% | 2/6/41 | 10 | 14 | ||
MetLife Inc. | 4.125% | 8/13/42 | 5 | 6 | ||
MetLife Inc. | 4.875% | 11/13/43 | 35 | 46 | ||
MetLife Inc. | 4.050% | 3/1/45 | 25 | 30 | ||
Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 150 | 155 | ||
Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 47 | 49 | ||
Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 50 | 53 | ||
Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 105 | 113 | ||
Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 75 | 81 | ||
Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 50 | 53 | ||
Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 125 | 130 | ||
Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 18 | 20 | ||
Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 25 | 25 | ||
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 70 | 79 | ||
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 25 | 27 | ||
Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 45 | 51 | ||
Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 75 | 84 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Mitsubishi UFJ Financial Group Inc. | 2.559% | 2/25/30 | 70 | 72 | ||
Mitsubishi UFJ Financial Group Inc. | 2.048% | 7/17/30 | 75 | 75 | ||
Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 25 | 28 | ||
Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 60 | 62 | ||
Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 100 | 106 | ||
1 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 100 | 101 | |
1 | Mizuho Financial Group Inc. | 2.226% | 5/25/26 | 45 | 47 | |
Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 20 | 23 | ||
1 | Mizuho Financial Group Inc. | 4.254% | 9/11/29 | 45 | 52 | |
1 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 50 | 54 | |
1 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 50 | 50 | |
1 | Mizuho Financial Group Inc. | 1.979% | 9/8/31 | 25 | 24 | |
Morgan Stanley | 2.750% | 5/19/22 | 150 | 154 | ||
Morgan Stanley | 4.875% | 11/1/22 | 60 | 64 | ||
1 | Morgan Stanley | 3.125% | 1/23/23 | 50 | 53 | |
1 | Morgan Stanley | 3.750% | 2/25/23 | 75 | 80 | |
1 | Morgan Stanley | 4.100% | 5/22/23 | 100 | 108 | |
1 | Morgan Stanley | 0.560% | 11/10/23 | 50 | 50 | |
1 | Morgan Stanley | 0.529% | 1/25/24 | 25 | 25 | |
1 | Morgan Stanley | 3.875% | 4/29/24 | 75 | 82 | |
1 | Morgan Stanley | 2.720% | 7/22/25 | 150 | 159 | |
1 | Morgan Stanley | 0.864% | 10/21/25 | 50 | 50 | |
Morgan Stanley | 5.000% | 11/24/25 | 100 | 117 | ||
1 | Morgan Stanley | 3.875% | 1/27/26 | 100 | 113 | |
1 | Morgan Stanley | 2.188% | 4/28/26 | 200 | 208 | |
1 | Morgan Stanley | 3.125% | 7/27/26 | 100 | 109 | |
1 | Morgan Stanley | 4.350% | 9/8/26 | 25 | 29 | |
Morgan Stanley | 0.985% | 12/10/26 | 125 | 123 | ||
Morgan Stanley | 3.625% | 1/20/27 | 25 | 28 | ||
Morgan Stanley | 3.950% | 4/23/27 | 200 | 225 | ||
1 | Morgan Stanley | 3.591% | 7/22/28 | 65 | 73 | |
1 | Morgan Stanley | 3.772% | 1/24/29 | 110 | 123 | |
1 | Morgan Stanley | 4.431% | 1/23/30 | 90 | 105 | |
1 | Morgan Stanley | 2.699% | 1/22/31 | 75 | 78 | |
1 | Morgan Stanley | 3.622% | 4/1/31 | 90 | 100 | |
1 | Morgan Stanley | 1.794% | 2/13/32 | 35 | 33 | |
Morgan Stanley | 7.250% | 4/1/32 | 100 | 146 | ||
1 | Morgan Stanley | 3.971% | 7/22/38 | 25 | 29 | |
1 | Morgan Stanley | 4.457% | 4/22/39 | 10 | 12 | |
Morgan Stanley | 6.375% | 7/24/42 | 70 | 107 | ||
Morgan Stanley | 4.300% | 1/27/45 | 95 | 117 | ||
Morgan Stanley | 4.375% | 1/22/47 | 110 | 137 | ||
1 | Morgan Stanley | 5.597% | 3/24/51 | 65 | 95 | |
1 | Morgan Stanley | 2.802% | 1/25/52 | 25 | 24 | |
1 | MUFG Union Bank NA | 3.150% | 4/1/22 | 60 | 62 | |
1 | National Australia Bank Ltd. | 2.500% | 5/22/22 | 25 | 26 | |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 75 | 79 | ||
National Australia Bank Ltd. | 3.375% | 1/14/26 | 25 | 28 | ||
1 | National Australia Bank Ltd. | 2.500% | 7/12/26 | 75 | 80 | |
1 | National Bank of Canada | 2.100% | 2/1/23 | 50 | 51 | |
Natwest Group plc | 6.125% | 12/15/22 | 75 | 82 | ||
1 | Natwest Group plc | 3.498% | 5/15/23 | 50 | 52 | |
Natwest Group plc | 3.875% | 9/12/23 | 75 | 81 | ||
Natwest Group plc | 6.000% | 12/19/23 | 61 | 69 | ||
Natwest Group plc | 5.125% | 5/28/24 | 15 | 17 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Natwest Group plc | 4.269% | 3/22/25 | 75 | 82 | |
Natwest Group plc | 4.800% | 4/5/26 | 25 | 29 | ||
1 | Natwest Group plc | 3.073% | 5/22/28 | 50 | 53 | |
1 | Natwest Group plc | 4.892% | 5/18/29 | 40 | 47 | |
1 | Natwest Group plc | 3.754% | 11/1/29 | 85 | 90 | |
1 | Natwest Group plc | 5.076% | 1/27/30 | 65 | 77 | |
1 | Natwest Group plc | 3.032% | 11/28/35 | 50 | 49 | |
Nomura Holdings Inc. | 1.851% | 7/16/25 | 100 | 102 | ||
Nomura Holdings Inc. | 3.103% | 1/16/30 | 5 | 5 | ||
Nomura Holdings Inc. | 2.679% | 7/16/30 | 65 | 67 | ||
Northern Trust Corp. | 3.950% | 10/30/25 | 25 | 28 | ||
Northern Trust Corp. | 1.950% | 5/1/30 | 40 | 40 | ||
PayPal Holdings Inc. | 2.200% | 9/26/22 | 70 | 72 | ||
PayPal Holdings Inc. | 1.350% | 6/1/23 | 35 | 36 | ||
PayPal Holdings Inc. | 2.400% | 10/1/24 | 10 | 11 | ||
PayPal Holdings Inc. | 1.650% | 6/1/25 | 25 | 26 | ||
PayPal Holdings Inc. | 2.650% | 10/1/26 | 75 | 80 | ||
PayPal Holdings Inc. | 2.850% | 10/1/29 | 20 | 21 | ||
PayPal Holdings Inc. | 2.300% | 6/1/30 | 25 | 26 | ||
PayPal Holdings Inc. | 3.250% | 6/1/50 | 25 | 26 | ||
1 | PNC Bank NA | 2.450% | 7/28/22 | 75 | 77 | |
1 | PNC Bank NA | 2.700% | 11/1/22 | 25 | 26 | |
1 | PNC Bank NA | 2.950% | 1/30/23 | 75 | 79 | |
1 | PNC Bank NA | 3.500% | 6/8/23 | 15 | 16 | |
1 | PNC Bank NA | 3.100% | 10/25/27 | 25 | 28 | |
1 | PNC Bank NA | 4.050% | 7/26/28 | 65 | 75 | |
1 | PNC Bank NA | 2.700% | 10/22/29 | 75 | 78 | |
PNC Financial Services Group Inc. | 3.300% | 3/8/22 | 20 | 21 | ||
PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 45 | 49 | ||
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 45 | 49 | ||
PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 25 | 27 | ||
PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 10 | 11 | ||
PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 35 | 39 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 15 | 16 | ||
Progressive Corp. | 4.125% | 4/15/47 | 55 | 66 | ||
1 | Prudential Financial Inc. | 5.700% | 12/14/36 | 35 | 48 | |
1 | Prudential Financial Inc. | 5.625% | 6/15/43 | 65 | 69 | |
1 | Prudential Financial Inc. | 5.375% | 5/15/45 | 25 | 28 | |
Prudential Financial Inc. | 3.905% | 12/7/47 | 35 | 39 | ||
1 | Prudential Financial Inc. | 5.700% | 9/15/48 | 25 | 28 | |
Prudential Financial Inc. | 3.935% | 12/7/49 | 25 | 29 | ||
1 | Prudential Financial Inc. | 4.350% | 2/25/50 | 45 | 54 | |
1 | Prudential Financial Inc. | 3.700% | 10/1/50 | 25 | 26 | |
1 | Prudential Financial Inc. | 3.700% | 3/13/51 | 50 | 55 | |
Prudential plc | 3.125% | 4/14/30 | 35 | 38 | ||
Raymond James Financial Inc. | 4.950% | 7/15/46 | 35 | 45 | ||
Regions Financial Corp. | 3.800% | 8/14/23 | 20 | 22 | ||
1 | Royal Bank of Canada | 2.800% | 4/29/22 | 10 | 10 | |
1 | Royal Bank of Canada | 1.950% | 1/17/23 | 65 | 67 | |
1 | Royal Bank of Canada | 1.600% | 4/17/23 | 85 | 87 | |
1 | Royal Bank of Canada | 3.700% | 10/5/23 | 50 | 54 | |
1 | Royal Bank of Canada | 0.500% | 10/26/23 | 75 | 75 | |
1 | Royal Bank of Canada | 0.425% | 1/19/24 | 25 | 25 | |
1 | Royal Bank of Canada | 2.250% | 11/1/24 | 50 | 53 | |
1 | Royal Bank of Canada | 1.150% | 6/10/25 | 50 | 50 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Royal Bank of Canada | 4.650% | 1/27/26 | 15 | 17 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 75 | 78 | ||
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 20 | 22 | ||
Santander Holdings USA Inc. | 3.244% | 10/5/26 | 50 | 54 | ||
Santander Holdings USA Inc. | 4.400% | 7/13/27 | 65 | 73 | ||
Santander UK Group Holdings plc | 3.571% | 1/10/23 | 50 | 51 | ||
1 | Santander UK Group Holdings plc | 3.373% | 1/5/24 | 70 | 74 | |
1 | Santander UK Group Holdings plc | 3.823% | 11/3/28 | 15 | 17 | |
Santander UK plc | 2.100% | 1/13/23 | 50 | 52 | ||
Santander UK plc | 4.000% | 3/13/24 | 45 | 50 | ||
Santander UK plc | 2.875% | 6/18/24 | 30 | 32 | ||
1 | State Street Corp. | 2.653% | 5/15/23 | 50 | 51 | |
State Street Corp. | 3.100% | 5/15/23 | 45 | 48 | ||
State Street Corp. | 3.700% | 11/20/23 | 45 | 49 | ||
State Street Corp. | 3.300% | 12/16/24 | 25 | 28 | ||
State Street Corp. | 3.550% | 8/18/25 | 25 | 28 | ||
State Street Corp. | 2.650% | 5/19/26 | 35 | 38 | ||
Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 125 | 129 | ||
Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 75 | 79 | ||
Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 50 | 54 | ||
Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 75 | 82 | ||
Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 25 | 27 | ||
Sumitomo Mitsui Financial Group Inc. | 2.348% | 1/15/25 | 50 | 52 | ||
Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 50 | 51 | ||
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 45 | 50 | ||
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 25 | 27 | ||
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 45 | 49 | ||
Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 50 | 55 | ||
Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 100 | 111 | ||
Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 25 | 27 | ||
Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 75 | 79 | ||
Sumitomo Mitsui Financial Group Inc. | 2.130% | 7/8/30 | 105 | 104 | ||
Sumitomo Mitsui Financial Group Inc. | 2.142% | 9/23/30 | 10 | 10 | ||
1 | Svenska Handelsbanken AB | 3.900% | 11/20/23 | 45 | 49 | |
1 | Synchrony Bank | 3.000% | 6/15/22 | 10 | 10 | |
Synchrony Financial | 2.850% | 7/25/22 | 25 | 26 | ||
Synchrony Financial | 4.250% | 8/15/24 | 75 | 82 | ||
Synchrony Financial | 4.500% | 7/23/25 | 20 | 22 | ||
Synchrony Financial | 3.950% | 12/1/27 | 10 | 11 | ||
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 15 | 15 | ||
TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 40 | 44 | ||
1 | Toronto-Dominion Bank | 1.900% | 12/1/22 | 105 | 108 | |
1 | Toronto-Dominion Bank | 0.750% | 6/12/23 | 25 | 25 | |
1 | Toronto-Dominion Bank | 3.500% | 7/19/23 | 50 | 54 | |
1 | Toronto-Dominion Bank | 0.450% | 9/11/23 | 50 | 50 | |
1 | Toronto-Dominion Bank | 3.250% | 3/11/24 | 60 | 65 | |
1 | Toronto-Dominion Bank | 1.150% | 6/12/25 | 40 | 40 | |
1 | Toronto-Dominion Bank | 0.750% | 1/6/26 | 50 | 49 | |
1 | Toronto-Dominion Bank | 3.625% | 9/15/31 | 25 | 28 | |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 45 | 61 | ||
1 | Truist Bank | 2.800% | 5/17/22 | 105 | 108 | |
1 | Truist Bank | 2.450% | 8/1/22 | 55 | 57 | |
1 | Truist Bank | 1.250% | 3/9/23 | 75 | 76 | |
1 | Truist Bank | 3.200% | 4/1/24 | 25 | 27 | |
1 | Truist Bank | 2.150% | 12/6/24 | 25 | 26 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1 | Truist Bank | 3.625% | 9/16/25 | 25 | 28 | |
1 | Truist Bank | 3.800% | 10/30/26 | 55 | 62 | |
1 | Truist Bank | 2.250% | 3/11/30 | 65 | 66 | |
1 | Truist Financial Corp. | 2.750% | 4/1/22 | 20 | 20 | |
1 | Truist Financial Corp. | 3.050% | 6/20/22 | 25 | 26 | |
1 | Truist Financial Corp. | 3.750% | 12/6/23 | 25 | 27 | |
1 | Truist Financial Corp. | 2.500% | 8/1/24 | 55 | 58 | |
1 | Truist Financial Corp. | 2.850% | 10/26/24 | 75 | 81 | |
1,3 | Truist Financial Corp. | 1.267% | 3/2/27 | 30 | 30 | |
1 | Truist Financial Corp. | 1.125% | 8/3/27 | 75 | 74 | |
1 | Truist Financial Corp. | 1.950% | 6/5/30 | 25 | 25 | |
1 | US Bancorp | 3.000% | 3/15/22 | 30 | 31 | |
1 | US Bancorp | 2.950% | 7/15/22 | 20 | 21 | |
1 | US Bancorp | 3.700% | 1/30/24 | 25 | 27 | |
US Bancorp | 3.375% | 2/5/24 | 70 | 76 | ||
1 | US Bancorp | 3.600% | 9/11/24 | 70 | 77 | |
US Bancorp | 1.450% | 5/12/25 | 75 | 76 | ||
1 | US Bancorp | 3.950% | 11/17/25 | 75 | 85 | |
1 | US Bancorp | 3.100% | 4/27/26 | 25 | 27 | |
1 | US Bancorp | 2.375% | 7/22/26 | 20 | 21 | |
1 | US Bancorp | 3.900% | 4/26/28 | 50 | 57 | |
1 | US Bancorp | 3.000% | 7/30/29 | 20 | 22 | |
1 | US Bancorp | 1.375% | 7/22/30 | 25 | 24 | |
1 | US Bank NA | 2.650% | 5/23/22 | 15 | 15 | |
US Bank NA | 1.950% | 1/9/23 | 25 | 26 | ||
1 | US Bank NA | 2.850% | 1/23/23 | 75 | 78 | |
1 | US Bank NA | 3.400% | 7/24/23 | 20 | 21 | |
1 | US Bank NA | 2.800% | 1/27/25 | 35 | 38 | |
Visa Inc. | 2.800% | 12/14/22 | 115 | 120 | ||
Visa Inc. | 3.150% | 12/14/25 | 60 | 66 | ||
Visa Inc. | 1.900% | 4/15/27 | 25 | 26 | ||
Visa Inc. | 2.050% | 4/15/30 | 90 | 92 | ||
Visa Inc. | 1.100% | 2/15/31 | 50 | 47 | ||
Visa Inc. | 4.150% | 12/14/35 | 45 | 55 | ||
Visa Inc. | 4.300% | 12/14/45 | 70 | 88 | ||
Visa Inc. | 3.650% | 9/15/47 | 75 | 86 | ||
Visa Inc. | 2.000% | 8/15/50 | 70 | 59 | ||
Westpac Banking Corp. | 2.500% | 6/28/22 | 25 | 26 | ||
Westpac Banking Corp. | 2.750% | 1/11/23 | 100 | 105 | ||
Westpac Banking Corp. | 3.300% | 2/26/24 | 20 | 22 | ||
Westpac Banking Corp. | 2.850% | 5/13/26 | 125 | 136 | ||
Westpac Banking Corp. | 3.350% | 3/8/27 | 25 | 28 | ||
Westpac Banking Corp. | 3.400% | 1/25/28 | 50 | 56 | ||
Westpac Banking Corp. | 2.650% | 1/16/30 | 15 | 16 | ||
1 | Westpac Banking Corp. | 2.894% | 2/4/30 | 25 | 26 | |
1 | Westpac Banking Corp. | 4.322% | 11/23/31 | 80 | 89 | |
Westpac Banking Corp. | 4.110% | 7/24/34 | 25 | 28 | ||
Westpac Banking Corp. | 2.668% | 11/15/35 | 60 | 59 | ||
Westpac Banking Corp. | 4.421% | 7/24/39 | 35 | 41 | ||
41,491 | ||||||
Health Care (16.1%) | ||||||
Abbott Laboratories | 2.550% | 3/15/22 | 15 | 15 | ||
Abbott Laboratories | 3.750% | 11/30/26 | 60 | 68 | ||
Abbott Laboratories | 4.750% | 11/30/36 | 110 | 143 | ||
Abbott Laboratories | 4.900% | 11/30/46 | 80 | 108 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AbbVie Inc. | 3.450% | 3/15/22 | 55 | 56 | ||
AbbVie Inc. | 3.250% | 10/1/22 | 155 | 161 | ||
AbbVie Inc. | 2.900% | 11/6/22 | 150 | 156 | ||
AbbVie Inc. | 3.200% | 11/6/22 | 75 | 78 | ||
AbbVie Inc. | 2.300% | 11/21/22 | 70 | 72 | ||
AbbVie Inc. | 3.850% | 6/15/24 | 25 | 27 | ||
AbbVie Inc. | 2.600% | 11/21/24 | 25 | 27 | ||
AbbVie Inc. | 3.800% | 3/15/25 | 100 | 110 | ||
AbbVie Inc. | 3.600% | 5/14/25 | 25 | 27 | ||
AbbVie Inc. | 3.200% | 5/14/26 | 15 | 16 | ||
AbbVie Inc. | 2.950% | 11/21/26 | 175 | 190 | ||
AbbVie Inc. | 4.250% | 11/14/28 | 50 | 58 | ||
AbbVie Inc. | 3.200% | 11/21/29 | 125 | 136 | ||
AbbVie Inc. | 4.550% | 3/15/35 | 145 | 175 | ||
AbbVie Inc. | 4.500% | 5/14/35 | 95 | 114 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 25 | 29 | ||
AbbVie Inc. | 4.400% | 11/6/42 | 75 | 89 | ||
AbbVie Inc. | 4.850% | 6/15/44 | 75 | 93 | ||
AbbVie Inc. | 4.750% | 3/15/45 | 100 | 121 | ||
AbbVie Inc. | 4.700% | 5/14/45 | 120 | 145 | ||
AbbVie Inc. | 4.450% | 5/14/46 | 50 | 59 | ||
AbbVie Inc. | 4.875% | 11/14/48 | 10 | 13 | ||
AbbVie Inc. | 4.250% | 11/21/49 | 155 | 180 | ||
Aetna Inc. | 2.800% | 6/15/23 | 20 | 21 | ||
Aetna Inc. | 3.500% | 11/15/24 | 50 | 55 | ||
Aetna Inc. | 6.625% | 6/15/36 | 25 | 36 | ||
Aetna Inc. | 3.875% | 8/15/47 | 45 | 49 | ||
AmerisourceBergen Corp. | 3.450% | 12/15/27 | 45 | 50 | ||
Amgen Inc. | 2.650% | 5/11/22 | 125 | 128 | ||
Amgen Inc. | 3.625% | 5/15/22 | 25 | 26 | ||
Amgen Inc. | 2.250% | 8/19/23 | 50 | 52 | ||
Amgen Inc. | 3.125% | 5/1/25 | 15 | 16 | ||
Amgen Inc. | 2.600% | 8/19/26 | 40 | 43 | ||
Amgen Inc. | 2.200% | 2/21/27 | 20 | 21 | ||
Amgen Inc. | 2.450% | 2/21/30 | 20 | 21 | ||
Amgen Inc. | 2.300% | 2/25/31 | 75 | 76 | ||
Amgen Inc. | 3.150% | 2/21/40 | 115 | 118 | ||
Amgen Inc. | 4.400% | 5/1/45 | 30 | 36 | ||
Amgen Inc. | 4.563% | 6/15/48 | 50 | 61 | ||
Amgen Inc. | 3.375% | 2/21/50 | 40 | 41 | ||
Amgen Inc. | 4.663% | 6/15/51 | 85 | 107 | ||
1,2 | Amgen Inc. | 2.770% | 9/1/53 | 80 | 73 | |
Anthem Inc. | 3.125% | 5/15/22 | 20 | 21 | ||
Anthem Inc. | 3.300% | 1/15/23 | 30 | 32 | ||
Anthem Inc. | 3.500% | 8/15/24 | 75 | 82 | ||
Anthem Inc. | 3.650% | 12/1/27 | 112 | 126 | ||
Anthem Inc. | 4.101% | 3/1/28 | 5 | 6 | ||
Anthem Inc. | 2.875% | 9/15/29 | 45 | 48 | ||
Anthem Inc. | 2.250% | 5/15/30 | 10 | 10 | ||
Anthem Inc. | 4.625% | 5/15/42 | 30 | 37 | ||
Anthem Inc. | 4.650% | 1/15/43 | 20 | 25 | ||
Anthem Inc. | 4.650% | 8/15/44 | 5 | 6 | ||
Anthem Inc. | 4.375% | 12/1/47 | 35 | 42 | ||
Anthem Inc. | 4.550% | 3/1/48 | 30 | 37 | ||
Anthem Inc. | 3.700% | 9/15/49 | 30 | 32 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Anthem Inc. | 3.125% | 5/15/50 | 80 | 79 | ||
AstraZeneca plc | 3.500% | 8/17/23 | 20 | 21 | ||
AstraZeneca plc | 3.375% | 11/16/25 | 85 | 94 | ||
AstraZeneca plc | 0.700% | 4/8/26 | 50 | 49 | ||
AstraZeneca plc | 3.125% | 6/12/27 | 15 | 16 | ||
AstraZeneca plc | 4.000% | 1/17/29 | 50 | 57 | ||
AstraZeneca plc | 1.375% | 8/6/30 | 20 | 19 | ||
AstraZeneca plc | 6.450% | 9/15/37 | 40 | 58 | ||
AstraZeneca plc | 4.000% | 9/18/42 | 35 | 40 | ||
AstraZeneca plc | 4.375% | 11/16/45 | 25 | 30 | ||
AstraZeneca plc | 4.375% | 8/17/48 | 47 | 56 | ||
Baxalta Inc. | 4.000% | 6/23/25 | 20 | 22 | ||
Baxter International Inc. | 2.600% | 8/15/26 | 36 | 38 | ||
Becton Dickinson & Co. | 2.894% | 6/6/22 | 68 | 70 | ||
Becton Dickinson & Co. | 3.700% | 6/6/27 | 34 | 38 | ||
Becton Dickinson & Co. | 2.823% | 5/20/30 | 70 | 73 | ||
Becton Dickinson & Co. | 4.669% | 6/6/47 | 55 | 68 | ||
Becton Dickinson & Co. | 3.794% | 5/20/50 | 60 | 66 | ||
Biogen Inc. | 3.625% | 9/15/22 | 75 | 79 | ||
Biogen Inc. | 4.050% | 9/15/25 | 30 | 34 | ||
Biogen Inc. | 3.150% | 5/1/50 | 45 | 42 | ||
1,2 | Biogen Inc. | 3.250% | 2/15/51 | 72 | 70 | |
Boston Scientific Corp. | 3.450% | 3/1/24 | 25 | 27 | ||
Boston Scientific Corp. | 3.750% | 3/1/26 | 70 | 78 | ||
Boston Scientific Corp. | 2.650% | 6/1/30 | 25 | 26 | ||
Boston Scientific Corp. | 4.550% | 3/1/39 | 30 | 36 | ||
Boston Scientific Corp. | 4.700% | 3/1/49 | 46 | 57 | ||
Bristol-Myers Squibb Co. | 2.600% | 5/16/22 | 40 | 41 | ||
Bristol-Myers Squibb Co. | 3.250% | 8/15/22 | 115 | 119 | ||
Bristol-Myers Squibb Co. | 3.550% | 8/15/22 | 30 | 31 | ||
Bristol-Myers Squibb Co. | 0.537% | 11/13/23 | 45 | 45 | ||
Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 40 | 43 | ||
Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 145 | 162 | ||
Bristol-Myers Squibb Co. | 0.750% | 11/13/25 | 100 | 99 | ||
Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 40 | 44 | ||
Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 50 | 57 | ||
Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 75 | 86 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 80 | 90 | ||
Bristol-Myers Squibb Co. | 1.450% | 11/13/30 | 90 | 87 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 50 | 60 | ||
Bristol-Myers Squibb Co. | 2.350% | 11/13/40 | 25 | 24 | ||
Bristol-Myers Squibb Co. | 5.000% | 8/15/45 | 54 | 72 | ||
Bristol-Myers Squibb Co. | 4.350% | 11/15/47 | 20 | 24 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 55 | 70 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 95 | 115 | ||
Bristol-Myers Squibb Co. | 2.550% | 11/13/50 | 80 | 75 | ||
Cardinal Health Inc. | 2.616% | 6/15/22 | 50 | 51 | ||
Cardinal Health Inc. | 3.079% | 6/15/24 | 25 | 27 | ||
Cigna Corp. | 3.750% | 7/15/23 | 140 | 151 | ||
1 | Cigna Corp. | 3.250% | 4/15/25 | 75 | 81 | |
Cigna Corp. | 4.125% | 11/15/25 | 25 | 28 | ||
1 | Cigna Corp. | 4.500% | 2/25/26 | 50 | 57 | |
1 | Cigna Corp. | 3.400% | 3/1/27 | 75 | 82 | |
Cigna Corp. | 4.375% | 10/15/28 | 35 | 41 | ||
Cigna Corp. | 2.400% | 3/15/30 | 11 | 11 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Cigna Corp. | 4.800% | 8/15/38 | 60 | 74 | ||
Cigna Corp. | 3.200% | 3/15/40 | 5 | 5 | ||
1 | Cigna Corp. | 4.800% | 7/15/46 | 60 | 75 | |
1 | Cigna Corp. | 3.875% | 10/15/47 | 25 | 27 | |
Cigna Corp. | 4.900% | 12/15/48 | 90 | 113 | ||
Cigna Corp. | 3.400% | 3/15/50 | 85 | 87 | ||
CVS Health Corp. | 3.500% | 7/20/22 | 50 | 52 | ||
CVS Health Corp. | 2.750% | 12/1/22 | 25 | 26 | ||
CVS Health Corp. | 3.700% | 3/9/23 | 90 | 96 | ||
CVS Health Corp. | 2.625% | 8/15/24 | 10 | 11 | ||
CVS Health Corp. | 3.875% | 7/20/25 | 150 | 166 | ||
CVS Health Corp. | 2.875% | 6/1/26 | 50 | 54 | ||
CVS Health Corp. | 3.000% | 8/15/26 | 75 | 81 | ||
CVS Health Corp. | 3.625% | 4/1/27 | 50 | 56 | ||
CVS Health Corp. | 1.300% | 8/21/27 | 25 | 24 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 140 | 161 | ||
CVS Health Corp. | 3.250% | 8/15/29 | 90 | 97 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 80 | 76 | ||
CVS Health Corp. | 4.780% | 3/25/38 | 210 | 256 | ||
CVS Health Corp. | 2.700% | 8/21/40 | 25 | 24 | ||
CVS Health Corp. | 5.300% | 12/5/43 | 40 | 51 | ||
CVS Health Corp. | 5.125% | 7/20/45 | 130 | 164 | ||
CVS Health Corp. | 5.050% | 3/25/48 | 215 | 272 | ||
CVS Health Corp. | 4.250% | 4/1/50 | 45 | 52 | ||
DENTSPLY SIRONA Inc. | 3.250% | 6/1/30 | 10 | 11 | ||
DH Europe Finance II Sarl | 2.600% | 11/15/29 | 80 | 83 | ||
DH Europe Finance II Sarl | 3.250% | 11/15/39 | 30 | 31 | ||
DH Europe Finance II Sarl | 3.400% | 11/15/49 | 25 | 26 | ||
Eli Lilly & Co. | 3.375% | 3/15/29 | 65 | 72 | ||
Eli Lilly & Co. | 2.250% | 5/15/50 | 35 | 31 | ||
Eli Lilly & Co. | 4.150% | 3/15/59 | 20 | 24 | ||
Eli Lilly & Co. | 2.500% | 9/15/60 | 90 | 79 | ||
Gilead Sciences Inc. | 3.250% | 9/1/22 | 50 | 52 | ||
Gilead Sciences Inc. | 2.500% | 9/1/23 | 60 | 63 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 75 | 81 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 50 | 54 | ||
Gilead Sciences Inc. | 3.650% | 3/1/26 | 25 | 28 | ||
Gilead Sciences Inc. | 2.950% | 3/1/27 | 100 | 108 | ||
Gilead Sciences Inc. | 1.200% | 10/1/27 | 35 | 34 | ||
Gilead Sciences Inc. | 1.650% | 10/1/30 | 60 | 57 | ||
Gilead Sciences Inc. | 4.600% | 9/1/35 | 20 | 24 | ||
Gilead Sciences Inc. | 2.600% | 10/1/40 | 20 | 19 | ||
Gilead Sciences Inc. | 5.650% | 12/1/41 | 15 | 20 | ||
Gilead Sciences Inc. | 4.800% | 4/1/44 | 35 | 43 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 35 | 42 | ||
Gilead Sciences Inc. | 4.750% | 3/1/46 | 95 | 117 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 55 | 63 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 95 | 87 | ||
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 15 | 16 | ||
GlaxoSmithKline Capital Inc. | 3.375% | 5/15/23 | 50 | 53 | ||
GlaxoSmithKline Capital Inc. | 3.625% | 5/15/25 | 50 | 55 | ||
GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 80 | 92 | ||
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 105 | 158 | ||
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 60 | 62 | ||
GlaxoSmithKline Capital plc | 2.875% | 6/1/22 | 60 | 62 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 10 | 11 | ||
HCA Inc. | 4.750% | 5/1/23 | 50 | 54 | ||
HCA Inc. | 5.000% | 3/15/24 | 55 | 62 | ||
HCA Inc. | 5.250% | 6/15/26 | 50 | 58 | ||
HCA Inc. | 4.500% | 2/15/27 | 50 | 57 | ||
HCA Inc. | 4.125% | 6/15/29 | 50 | 56 | ||
HCA Inc. | 5.500% | 6/15/47 | 90 | 113 | ||
HCA Inc. | 5.250% | 6/15/49 | 70 | 87 | ||
Humana Inc. | 4.950% | 10/1/44 | 13 | 16 | ||
Johnson & Johnson | 2.250% | 3/3/22 | 45 | 46 | ||
Johnson & Johnson | 2.625% | 1/15/25 | 25 | 27 | ||
Johnson & Johnson | 2.450% | 3/1/26 | 125 | 134 | ||
Johnson & Johnson | 2.950% | 3/3/27 | 25 | 28 | ||
Johnson & Johnson | 2.900% | 1/15/28 | 95 | 104 | ||
Johnson & Johnson | 1.300% | 9/1/30 | 75 | 72 | ||
Johnson & Johnson | 3.625% | 3/3/37 | 25 | 29 | ||
Johnson & Johnson | 5.950% | 8/15/37 | 70 | 102 | ||
Johnson & Johnson | 2.100% | 9/1/40 | 50 | 47 | ||
Johnson & Johnson | 3.700% | 3/1/46 | 40 | 46 | ||
Johnson & Johnson | 3.500% | 1/15/48 | 20 | 22 | ||
Johnson & Johnson | 2.250% | 9/1/50 | 60 | 54 | ||
Johnson & Johnson | 2.450% | 9/1/60 | 75 | 67 | ||
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 50 | 54 | ||
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 25 | 31 | ||
McKesson Corp. | 3.796% | 3/15/24 | 25 | 27 | ||
Medtronic Inc. | 3.500% | 3/15/25 | 102 | 112 | ||
Medtronic Inc. | 4.375% | 3/15/35 | 25 | 31 | ||
Medtronic Inc. | 4.625% | 3/15/45 | 60 | 78 | ||
Merck & Co. Inc. | 2.400% | 9/15/22 | 30 | 31 | ||
Merck & Co. Inc. | 2.800% | 5/18/23 | 75 | 79 | ||
Merck & Co. Inc. | 2.750% | 2/10/25 | 80 | 85 | ||
Merck & Co. Inc. | 0.750% | 2/24/26 | 75 | 74 | ||
Merck & Co. Inc. | 3.400% | 3/7/29 | 30 | 34 | ||
Merck & Co. Inc. | 1.450% | 6/24/30 | 20 | 19 | ||
Merck & Co. Inc. | 3.900% | 3/7/39 | 25 | 29 | ||
Merck & Co. Inc. | 2.350% | 6/24/40 | 15 | 14 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 20 | 24 | ||
Merck & Co. Inc. | 3.700% | 2/10/45 | 40 | 45 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 50 | 60 | ||
Merck & Co. Inc. | 2.450% | 6/24/50 | 95 | 86 | ||
Mylan Inc. | 5.200% | 4/15/48 | 65 | 78 | ||
Novartis Capital Corp. | 2.400% | 5/17/22 | 40 | 41 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 105 | 114 | ||
Novartis Capital Corp. | 3.000% | 11/20/25 | 40 | 44 | ||
Novartis Capital Corp. | 2.000% | 2/14/27 | 85 | 89 | ||
Novartis Capital Corp. | 2.200% | 8/14/30 | 70 | 72 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 65 | 81 | ||
Novartis Capital Corp. | 4.000% | 11/20/45 | 45 | 53 | ||
Novartis Capital Corp. | 2.750% | 8/14/50 | 20 | 20 | ||
PerkinElmer Inc. | 3.300% | 9/15/29 | 25 | 27 | ||
Perrigo Finance Unlimited Co. | 3.150% | 6/15/30 | 25 | 26 | ||
Pfizer Inc. | 3.200% | 9/15/23 | 75 | 80 | ||
Pfizer Inc. | 2.950% | 3/15/24 | 75 | 80 | ||
Pfizer Inc. | 3.400% | 5/15/24 | 50 | 54 | ||
Pfizer Inc. | 0.800% | 5/28/25 | 25 | 25 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Pfizer Inc. | 2.750% | 6/3/26 | 25 | 27 | ||
Pfizer Inc. | 3.000% | 12/15/26 | 25 | 28 | ||
Pfizer Inc. | 3.600% | 9/15/28 | 20 | 23 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 20 | 22 | ||
Pfizer Inc. | 2.625% | 4/1/30 | 58 | 62 | ||
Pfizer Inc. | 7.200% | 3/15/39 | 25 | 40 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 75 | 74 | ||
Pfizer Inc. | 4.300% | 6/15/43 | 50 | 61 | ||
Pfizer Inc. | 4.125% | 12/15/46 | 75 | 89 | ||
Pfizer Inc. | 4.200% | 9/15/48 | 30 | 36 | ||
Pfizer Inc. | 4.000% | 3/15/49 | 25 | 30 | ||
Pfizer Inc. | 2.700% | 5/28/50 | 110 | 105 | ||
Quest Diagnostics Inc. | 2.950% | 6/30/30 | 15 | 16 | ||
Regeneron Pharmaceuticals Inc. | 1.750% | 9/15/30 | 25 | 24 | ||
Regeneron Pharmaceuticals Inc. | 2.800% | 9/15/50 | 20 | 18 | ||
1,2 | Royalty Pharma plc | 0.750% | 9/2/23 | 103 | 103 | |
1,2 | Royalty Pharma plc | 1.200% | 9/2/25 | 50 | 50 | |
1,2 | Royalty Pharma plc | 1.750% | 9/2/27 | 10 | 10 | |
1,2 | Royalty Pharma plc | 3.300% | 9/2/40 | 20 | 20 | |
1,2 | Royalty Pharma plc | 3.550% | 9/2/50 | 10 | 10 | |
Sanofi | 3.625% | 6/19/28 | 65 | 73 | ||
Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 105 | 111 | ||
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 75 | 82 | ||
Stryker Corp. | 3.375% | 11/1/25 | 25 | 27 | ||
Stryker Corp. | 3.500% | 3/15/26 | 15 | 17 | ||
Stryker Corp. | 1.950% | 6/15/30 | 10 | 10 | ||
Stryker Corp. | 4.625% | 3/15/46 | 25 | 31 | ||
Takeda Pharmaceutical Co. Ltd. | 4.400% | 11/26/23 | 45 | 50 | ||
Takeda Pharmaceutical Co. Ltd. | 5.000% | 11/26/28 | 25 | 30 | ||
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 150 | 147 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 25 | 25 | ||
Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 75 | 73 | ||
Takeda Pharmaceutical Co. Ltd. | 3.375% | 7/9/60 | 25 | 25 | ||
Thermo Fisher Scientific Inc. | 4.133% | 3/25/25 | 75 | 84 | ||
Thermo Fisher Scientific Inc. | 2.950% | 9/19/26 | 75 | 81 | ||
Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 6 | 7 | ||
Thermo Fisher Scientific Inc. | 4.497% | 3/25/30 | 10 | 12 | ||
Thermo Fisher Scientific Inc. | 4.100% | 8/15/47 | 10 | 12 | ||
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 40 | 42 | ||
UnitedHealth Group Inc. | 2.375% | 10/15/22 | 40 | 41 | ||
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 25 | 26 | ||
UnitedHealth Group Inc. | 3.500% | 6/15/23 | 25 | 27 | ||
UnitedHealth Group Inc. | 3.500% | 2/15/24 | 20 | 22 | ||
UnitedHealth Group Inc. | 2.375% | 8/15/24 | 50 | 53 | ||
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 80 | 89 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 75 | 85 | ||
UnitedHealth Group Inc. | 3.875% | 12/15/28 | 15 | 17 | ||
UnitedHealth Group Inc. | 2.875% | 8/15/29 | 50 | 54 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 25 | 25 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 35 | 44 | ||
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 35 | 48 | ||
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 75 | 115 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 25 | 30 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 25 | 32 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 15 | 17 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 75 | 84 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 65 | 79 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 75 | 93 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 30 | 33 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 50 | 49 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 20 | 20 | ||
1,2 | Universal Health Services Inc. | 2.650% | 10/15/30 | 25 | 25 | |
Utah Acquisition Sub Inc. | 3.950% | 6/15/26 | 55 | 61 | ||
Utah Acquisition Sub Inc. | 5.250% | 6/15/46 | 55 | 66 | ||
1,2 | Viatris Inc. | 1.125% | 6/22/22 | 55 | 55 | |
1,2 | Viatris Inc. | 1.650% | 6/22/25 | 65 | 66 | |
1,2 | Viatris Inc. | 2.700% | 6/22/30 | 40 | 40 | |
1,2 | Viatris Inc. | 3.850% | 6/22/40 | 20 | 21 | |
1,2 | Viatris Inc. | 4.000% | 6/22/50 | 40 | 42 | |
Wyeth LLC | 6.500% | 2/1/34 | 10 | 15 | ||
Wyeth LLC | 5.950% | 4/1/37 | 60 | 85 | ||
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 65 | 67 | ||
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 20 | 22 | ||
Zimmer Biomet Holdings Inc. | 3.550% | 3/20/30 | 25 | 27 | ||
Zoetis Inc. | 3.250% | 2/1/23 | 70 | 73 | ||
Zoetis Inc. | 3.000% | 9/12/27 | 75 | 82 | ||
Zoetis Inc. | 4.700% | 2/1/43 | 35 | 44 | ||
17,813 | ||||||
Industrials (3.7%) | ||||||
1 | 3M Co. | 3.250% | 2/14/24 | 25 | 27 | |
3M Co. | 2.000% | 2/14/25 | 10 | 10 | ||
3M Co. | 2.875% | 10/15/27 | 45 | 49 | ||
1 | 3M Co. | 3.375% | 3/1/29 | 25 | 28 | |
3M Co. | 2.375% | 8/26/29 | 25 | 26 | ||
3M Co. | 3.250% | 8/26/49 | 50 | 53 | ||
ABB Finance USA Inc. | 2.875% | 5/8/22 | 35 | 36 | ||
Amphenol Corp. | 2.800% | 2/15/30 | 35 | 37 | ||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 35 | 38 | ||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 80 | 111 | ||
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 30 | 39 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 25 | 31 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 10 | 12 | ||
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 15 | 17 | ||
Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 20 | 24 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 50 | 59 | ||
Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 15 | 17 | ||
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 30 | 47 | ||
Carrier Global Corp. | 2.242% | 2/15/25 | 45 | 47 | ||
Carrier Global Corp. | 2.493% | 2/15/27 | 25 | 26 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 60 | 62 | ||
Carrier Global Corp. | 3.377% | 4/5/40 | 50 | 52 | ||
Carrier Global Corp. | 3.577% | 4/5/50 | 85 | 88 | ||
1 | Caterpillar Financial Services Corp. | 0.950% | 5/13/22 | 50 | 50 | |
1 | Caterpillar Financial Services Corp. | 1.900% | 9/6/22 | 15 | 15 | |
1 | Caterpillar Financial Services Corp. | 1.950% | 11/18/22 | 15 | 15 | |
Caterpillar Financial Services Corp. | 0.650% | 7/7/23 | 25 | 25 | ||
1 | Caterpillar Financial Services Corp. | 0.450% | 9/14/23 | 25 | 25 | |
1 | Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 40 | 42 | |
1 | Caterpillar Financial Services Corp. | 0.800% | 11/13/25 | 25 | 25 | |
1 | Caterpillar Financial Services Corp. | 1.100% | 9/14/27 | 10 | 10 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Caterpillar Inc. | 3.400% | 5/15/24 | 20 | 22 | ||
Caterpillar Inc. | 2.600% | 4/9/30 | 45 | 47 | ||
Caterpillar Inc. | 3.803% | 8/15/42 | 45 | 53 | ||
Caterpillar Inc. | 3.250% | 9/19/49 | 55 | 59 | ||
Caterpillar Inc. | 3.250% | 4/9/50 | 45 | 48 | ||
CSX Corp. | 3.250% | 6/1/27 | 50 | 55 | ||
CSX Corp. | 3.800% | 3/1/28 | 45 | 51 | ||
CSX Corp. | 4.100% | 3/15/44 | 50 | 57 | ||
CSX Corp. | 3.800% | 11/1/46 | 30 | 33 | ||
Cummins Inc. | 1.500% | 9/1/30 | 30 | 29 | ||
Deere & Co. | 2.600% | 6/8/22 | 35 | 36 | ||
Deere & Co. | 3.900% | 6/9/42 | 55 | 65 | ||
Deere & Co. | 3.750% | 4/15/50 | 65 | 77 | ||
Eaton Corp. | 2.750% | 11/2/22 | 90 | 94 | ||
Eaton Corp. | 4.150% | 11/2/42 | 15 | 18 | ||
Emerson Electric Co. | 0.875% | 10/15/26 | 25 | 25 | ||
FedEx Corp. | 3.800% | 5/15/25 | 30 | 33 | ||
FedEx Corp. | 3.250% | 4/1/26 | 50 | 55 | ||
FedEx Corp. | 3.100% | 8/5/29 | 30 | 32 | ||
FedEx Corp. | 4.250% | 5/15/30 | 20 | 23 | ||
FedEx Corp. | 4.750% | 11/15/45 | 50 | 60 | ||
FedEx Corp. | 4.550% | 4/1/46 | 30 | 35 | ||
FedEx Corp. | 4.950% | 10/17/48 | 65 | 81 | ||
FedEx Corp. | 5.250% | 5/15/50 | 65 | 84 | ||
1 | FedEx Corp. Pass-Through Trust Class AA Series 2020-1 | 1.875% | 2/20/34 | 19 | 19 | |
Fortive Corp. | 3.150% | 6/15/26 | 35 | 38 | ||
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 40 | 43 | ||
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 35 | 42 | ||
1 | John Deere Capital Corp. | 3.450% | 3/13/25 | 20 | 22 | |
Otis Worldwide Corp. | 2.056% | 4/5/25 | 73 | 76 | ||
Otis Worldwide Corp. | 2.565% | 2/15/30 | 30 | 31 | ||
Parker-Hannifin Corp. | 3.250% | 6/14/29 | 20 | 22 | ||
Parker-Hannifin Corp. | 4.000% | 6/14/49 | 25 | 29 | ||
Republic Services Inc. | 2.500% | 8/15/24 | 10 | 11 | ||
Republic Services Inc. | 3.950% | 5/15/28 | 70 | 80 | ||
Roper Technologies Inc. | 4.200% | 9/15/28 | 20 | 23 | ||
Roper Technologies Inc. | 1.750% | 2/15/31 | 25 | 24 | ||
Southwest Airlines Co. | 5.250% | 5/4/25 | 45 | 52 | ||
Southwest Airlines Co. | 5.125% | 6/15/27 | 90 | 105 | ||
Trane Technologies Luxembourg Finance SA | 3.800% | 3/21/29 | 30 | 34 | ||
Union Pacific Corp. | 3.950% | 9/10/28 | 70 | 80 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 30 | 34 | ||
Union Pacific Corp. | 2.400% | 2/5/30 | 55 | 57 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 53 | 55 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 35 | 39 | ||
Union Pacific Corp. | 3.839% | 3/20/60 | 20 | 22 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 60 | 65 | ||
1 | United Airlines Pass-Through Trust Class A Series 2020-1 | 5.875% | 10/15/27 | 59 | 66 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 20 | 21 | ||
United Parcel Service Inc. | 2.500% | 4/1/23 | 25 | 26 | ||
United Parcel Service Inc. | 3.900% | 4/1/25 | 4 | 4 | ||
United Parcel Service Inc. | 3.050% | 11/15/27 | 15 | 17 | ||
United Parcel Service Inc. | 3.400% | 3/15/29 | 37 | 41 | ||
United Parcel Service Inc. | 4.450% | 4/1/30 | 50 | 60 | ||
United Parcel Service Inc. | 6.200% | 1/15/38 | 60 | 87 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United Parcel Service Inc. | 3.750% | 11/15/47 | 20 | 23 | ||
United Parcel Service Inc. | 5.300% | 4/1/50 | 70 | 96 | ||
Waste Management Inc. | 3.150% | 11/15/27 | 25 | 28 | ||
Waste Management Inc. | 1.500% | 3/15/31 | 50 | 47 | ||
Waste Management Inc. | 4.100% | 3/1/45 | 15 | 17 | ||
Waste Management Inc. | 4.150% | 7/15/49 | 45 | 54 | ||
Westinghouse Air Brake Technologies Corp. | 3.450% | 11/15/26 | 85 | 92 | ||
Westinghouse Air Brake Technologies Corp. | 4.950% | 9/15/28 | 20 | 23 | ||
WW Grainger Inc. | 4.600% | 6/15/45 | 45 | 56 | ||
4,076 | ||||||
Materials (1.6%) | ||||||
Air Products and Chemicals Inc. | 2.050% | 5/15/30 | 40 | 41 | ||
Air Products and Chemicals Inc. | 2.800% | 5/15/50 | 45 | 44 | ||
Carlisle Cos. Inc. | 2.750% | 3/1/30 | 30 | 31 | ||
Dow Chemical Co. | 3.500% | 10/1/24 | 25 | 27 | ||
Dow Chemical Co. | 7.375% | 11/1/29 | 72 | 100 | ||
Dow Chemical Co. | 2.100% | 11/15/30 | 55 | 54 | ||
Dow Chemical Co. | 9.400% | 5/15/39 | 15 | 26 | ||
Dow Chemical Co. | 5.250% | 11/15/41 | 25 | 32 | ||
Dow Chemical Co. | 4.375% | 11/15/42 | 90 | 106 | ||
DuPont de Nemours Inc. | 2.169% | 5/1/23 | 70 | 70 | ||
DuPont de Nemours Inc. | 4.205% | 11/15/23 | 55 | 60 | ||
DuPont de Nemours Inc. | 4.493% | 11/15/25 | 25 | 29 | ||
DuPont de Nemours Inc. | 4.725% | 11/15/28 | 75 | 89 | ||
DuPont de Nemours Inc. | 5.319% | 11/15/38 | 50 | 64 | ||
DuPont de Nemours Inc. | 5.419% | 11/15/48 | 70 | 92 | ||
Eastman Chemical Co. | 3.600% | 8/15/22 | 55 | 57 | ||
Eastman Chemical Co. | 4.650% | 10/15/44 | 30 | 36 | ||
Huntsman International LLC | 4.500% | 5/1/29 | 15 | 17 | ||
International Flavors & Fragrances Inc. | 5.000% | 9/26/48 | 10 | 13 | ||
International Paper Co. | 4.800% | 6/15/44 | 41 | 51 | ||
International Paper Co. | 4.400% | 8/15/47 | 15 | 18 | ||
International Paper Co. | 4.350% | 8/15/48 | 40 | 49 | ||
Mosaic Co. | 4.250% | 11/15/23 | 45 | 49 | ||
Newmont Corp. | 2.250% | 10/1/30 | 50 | 49 | ||
Newmont Corp. | 6.250% | 10/1/39 | 25 | 36 | ||
Newmont Corp. | 4.875% | 3/15/42 | 10 | 13 | ||
Nutrien Ltd. | 4.200% | 4/1/29 | 40 | 46 | ||
Nutrien Ltd. | 5.000% | 4/1/49 | 9 | 12 | ||
PPG Industries Inc. | 3.750% | 3/15/28 | 25 | 29 | ||
Rohm & Haas Co. | 7.850% | 7/15/29 | 15 | 21 | ||
Sherwin-Williams Co. | 3.450% | 6/1/27 | 60 | 66 | ||
Sherwin-Williams Co. | 2.950% | 8/15/29 | 25 | 26 | ||
Sherwin-Williams Co. | 4.500% | 6/1/47 | 45 | 54 | ||
Suzano Austria GmbH | 6.000% | 1/15/29 | 110 | 132 | ||
Suzano Austria GmbH | 5.000% | 1/15/30 | 25 | 28 | ||
Vulcan Materials Co. | 3.500% | 6/1/30 | 20 | 22 | ||
WRKCo Inc. | 4.900% | 3/15/29 | 25 | 30 | ||
1,719 | ||||||
Real Estate (2.0%) | ||||||
Alexandria Real Estate Equities Inc. | 3.375% | 8/15/31 | 25 | 27 | ||
Alexandria Real Estate Equities Inc. | 1.875% | 2/1/33 | 78 | 73 | ||
American Tower Corp. | 3.500% | 1/31/23 | 35 | 37 | ||
American Tower Corp. | 5.000% | 2/15/24 | 25 | 28 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
American Tower Corp. | 4.000% | 6/1/25 | 50 | 55 | ||
American Tower Corp. | 3.375% | 10/15/26 | 10 | 11 | ||
American Tower Corp. | 2.750% | 1/15/27 | 35 | 37 | ||
American Tower Corp. | 3.550% | 7/15/27 | 10 | 11 | ||
American Tower Corp. | 3.800% | 8/15/29 | 25 | 28 | ||
American Tower Corp. | 2.900% | 1/15/30 | 30 | 31 | ||
American Tower Corp. | 2.100% | 6/15/30 | 20 | 20 | ||
American Tower Corp. | 1.875% | 10/15/30 | 50 | 48 | ||
American Tower Corp. | 3.100% | 6/15/50 | 40 | 38 | ||
Boston Properties LP | 3.850% | 2/1/23 | 20 | 21 | ||
Boston Properties LP | 3.200% | 1/15/25 | 20 | 21 | ||
Boston Properties LP | 3.650% | 2/1/26 | 35 | 39 | ||
Boston Properties LP | 2.750% | 10/1/26 | 45 | 48 | ||
Boston Properties LP | 3.400% | 6/21/29 | 63 | 67 | ||
Boston Properties LP | 3.250% | 1/30/31 | 25 | 26 | ||
Brixmor Operating Partnership LP | 4.125% | 5/15/29 | 15 | 17 | ||
Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 80 | 88 | ||
Camden Property Trust | 2.800% | 5/15/30 | 35 | 37 | ||
CC Holdings GS V LLC | 3.849% | 4/15/23 | 15 | 16 | ||
Crown Castle International Corp. | 5.250% | 1/15/23 | 75 | 81 | ||
Crown Castle International Corp. | 3.150% | 7/15/23 | 20 | 21 | ||
Crown Castle International Corp. | 3.200% | 9/1/24 | 20 | 22 | ||
Crown Castle International Corp. | 4.450% | 2/15/26 | 50 | 57 | ||
Crown Castle International Corp. | 3.700% | 6/15/26 | 45 | 50 | ||
Crown Castle International Corp. | 3.800% | 2/15/28 | 5 | 6 | ||
Crown Castle International Corp. | 3.300% | 7/1/30 | 50 | 54 | ||
Crown Castle International Corp. | 2.250% | 1/15/31 | 5 | 5 | ||
Crown Castle International Corp. | 3.250% | 1/15/51 | 37 | 35 | ||
Digital Realty Trust LP | 3.700% | 8/15/27 | 10 | 11 | ||
Digital Realty Trust LP | 3.600% | 7/1/29 | 35 | 39 | ||
Equinix Inc. | 2.625% | 11/18/24 | 90 | 95 | ||
Equinix Inc. | 5.375% | 5/15/27 | 20 | 22 | ||
Equinix Inc. | 3.200% | 11/18/29 | 25 | 27 | ||
Equinix Inc. | 2.150% | 7/15/30 | 20 | 20 | ||
GLP Capital LP | 5.250% | 6/1/25 | 10 | 11 | ||
GLP Capital LP | 5.375% | 4/15/26 | 30 | 35 | ||
GLP Capital LP | 5.300% | 1/15/29 | 25 | 29 | ||
Healthpeak Properties Inc. | 4.000% | 6/1/25 | 10 | 11 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 75 | 79 | ||
1 | Host Hotels & Resorts LP | 3.500% | 9/15/30 | 12 | 12 | |
Prologis LP | 3.750% | 11/1/25 | 10 | 11 | ||
Prologis LP | 2.250% | 4/15/30 | 75 | 76 | ||
Prologis LP | 1.250% | 10/15/30 | 20 | 19 | ||
Realty Income Corp. | 4.650% | 8/1/23 | 50 | 54 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 40 | 43 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 20 | 22 | ||
Simon Property Group LP | 3.500% | 9/1/25 | 35 | 38 | ||
Simon Property Group LP | 3.250% | 11/30/26 | 30 | 33 | ||
Simon Property Group LP | 3.375% | 6/15/27 | 35 | 38 | ||
Simon Property Group LP | 3.375% | 12/1/27 | 85 | 93 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 5 | 5 | ||
Simon Property Group LP | 2.650% | 7/15/30 | 50 | 51 | ||
Simon Property Group LP | 3.250% | 9/13/49 | 18 | 17 | ||
Simon Property Group LP | 3.800% | 7/15/50 | 35 | 37 | ||
Ventas Realty LP | 4.400% | 1/15/29 | 5 | 6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Welltower Inc. | 3.625% | 3/15/24 | 15 | 16 | ||
Welltower Inc. | 4.000% | 6/1/25 | 6 | 7 | ||
Welltower Inc. | 4.250% | 4/15/28 | 10 | 11 | ||
Welltower Inc. | 3.100% | 1/15/30 | 65 | 69 | ||
2,192 | ||||||
Technology (13.6%) | ||||||
Adobe Inc. | 3.250% | 2/1/25 | 75 | 82 | ||
Adobe Inc. | 2.150% | 2/1/27 | 25 | 26 | ||
Adobe Inc. | 2.300% | 2/1/30 | 25 | 26 | ||
Analog Devices Inc. | 3.900% | 12/15/25 | 55 | 62 | ||
Apple Inc. | 2.300% | 5/11/22 | 50 | 51 | ||
Apple Inc. | 2.700% | 5/13/22 | 50 | 51 | ||
Apple Inc. | 1.700% | 9/11/22 | 15 | 15 | ||
Apple Inc. | 2.100% | 9/12/22 | 50 | 51 | ||
Apple Inc. | 2.400% | 1/13/23 | 175 | 182 | ||
Apple Inc. | 2.400% | 5/3/23 | 175 | 183 | ||
Apple Inc. | 0.750% | 5/11/23 | 25 | 25 | ||
Apple Inc. | 3.000% | 2/9/24 | 50 | 54 | ||
Apple Inc. | 3.450% | 5/6/24 | 25 | 27 | ||
Apple Inc. | 2.750% | 1/13/25 | 50 | 54 | ||
Apple Inc. | 2.500% | 2/9/25 | 50 | 53 | ||
Apple Inc. | 3.200% | 5/13/25 | 25 | 27 | ||
Apple Inc. | 0.550% | 8/20/25 | 75 | 74 | ||
Apple Inc. | 3.250% | 2/23/26 | 290 | 319 | ||
Apple Inc. | 2.450% | 8/4/26 | 25 | 27 | ||
Apple Inc. | 2.050% | 9/11/26 | 75 | 78 | ||
Apple Inc. | 3.350% | 2/9/27 | 215 | 239 | ||
Apple Inc. | 3.200% | 5/11/27 | 75 | 83 | ||
Apple Inc. | 3.000% | 6/20/27 | 50 | 55 | ||
Apple Inc. | 2.900% | 9/12/27 | 25 | 27 | ||
Apple Inc. | 3.000% | 11/13/27 | 20 | 22 | ||
Apple Inc. | 2.200% | 9/11/29 | 50 | 51 | ||
Apple Inc. | 1.650% | 5/11/30 | 50 | 49 | ||
Apple Inc. | 1.650% | 2/8/31 | 110 | 107 | ||
Apple Inc. | 4.500% | 2/23/36 | 138 | 175 | ||
Apple Inc. | 3.850% | 5/4/43 | 140 | 164 | ||
Apple Inc. | 4.375% | 5/13/45 | 110 | 137 | ||
Apple Inc. | 4.650% | 2/23/46 | 50 | 64 | ||
Apple Inc. | 3.850% | 8/4/46 | 75 | 86 | ||
Apple Inc. | 4.250% | 2/9/47 | 50 | 61 | ||
Apple Inc. | 3.750% | 9/12/47 | 20 | 23 | ||
Apple Inc. | 3.750% | 11/13/47 | 75 | 85 | ||
Apple Inc. | 2.950% | 9/11/49 | 50 | 50 | ||
Apple Inc. | 2.650% | 5/11/50 | 145 | 136 | ||
Apple Inc. | 2.650% | 2/8/51 | 105 | 99 | ||
Apple Inc. | 2.800% | 2/8/61 | 60 | 56 | ||
Applied Materials Inc. | 3.300% | 4/1/27 | 71 | 79 | ||
Applied Materials Inc. | 4.350% | 4/1/47 | 45 | 56 | ||
Applied Materials Inc. | 2.750% | 6/1/50 | 15 | 15 | ||
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 55 | 61 | ||
Automatic Data Processing Inc. | 1.250% | 9/1/30 | 35 | 33 | ||
Broadcom Corp. | 3.625% | 1/15/24 | 40 | 43 | ||
Broadcom Corp. | 3.875% | 1/15/27 | 175 | 192 | ||
Broadcom Corp. | 3.500% | 1/15/28 | 45 | 48 | ||
Broadcom Inc. | 3.625% | 10/15/24 | 30 | 33 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Broadcom Inc. | 4.700% | 4/15/25 | 50 | 56 | ||
Broadcom Inc. | 3.150% | 11/15/25 | 100 | 107 | ||
Broadcom Inc. | 4.250% | 4/15/26 | 130 | 146 | ||
Broadcom Inc. | 3.459% | 9/15/26 | 30 | 32 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 110 | 122 | ||
Broadcom Inc. | 4.750% | 4/15/29 | 100 | 114 | ||
Broadcom Inc. | 5.000% | 4/15/30 | 25 | 29 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 75 | 83 | ||
1,2 | Broadcom Inc. | 2.450% | 2/15/31 | 85 | 83 | |
Broadcom Inc. | 4.300% | 11/15/32 | 90 | 101 | ||
1,2 | Broadcom Inc. | 2.600% | 2/15/33 | 55 | 53 | |
1,2 | Broadcom Inc. | 3.500% | 2/15/41 | 90 | 90 | |
Broadridge Financial Solutions Inc. | 2.900% | 12/1/29 | 25 | 26 | ||
Cisco Systems Inc. | 2.200% | 9/20/23 | 25 | 26 | ||
Cisco Systems Inc. | 3.625% | 3/4/24 | 50 | 55 | ||
Cisco Systems Inc. | 2.500% | 9/20/26 | 45 | 49 | ||
Cisco Systems Inc. | 5.900% | 2/15/39 | 10 | 14 | ||
Cisco Systems Inc. | 5.500% | 1/15/40 | 105 | 149 | ||
Citrix Systems Inc. | 4.500% | 12/1/27 | 45 | 52 | ||
Corning Inc. | 4.375% | 11/15/57 | 80 | 91 | ||
1,2 | Dell International LLC | 5.450% | 6/15/23 | 85 | 93 | |
1,2 | Dell International LLC | 4.000% | 7/15/24 | 5 | 5 | |
1,2 | Dell International LLC | 5.850% | 7/15/25 | 25 | 29 | |
1,2 | Dell International LLC | 6.020% | 6/15/26 | 160 | 191 | |
1,2 | Dell International LLC | 4.900% | 10/1/26 | 75 | 86 | |
1,2 | Dell International LLC | 5.300% | 10/1/29 | 35 | 41 | |
1,2 | Dell International LLC | 6.200% | 7/15/30 | 45 | 57 | |
1,2 | Dell International LLC | 8.100% | 7/15/36 | 54 | 80 | |
1,2 | Dell International LLC | 8.350% | 7/15/46 | 65 | 99 | |
Equifax Inc. | 2.600% | 12/1/24 | 60 | 64 | ||
3 | Fidelity National Information Services Inc. | 0.600% | 3/1/24 | 75 | 75 | |
Fidelity National Information Services Inc. | 3.000% | 8/15/26 | 50 | 55 | ||
Fidelity National Information Services Inc. | 3.750% | 5/21/29 | 55 | 62 | ||
3 | Fidelity National Information Services Inc. | 2.250% | 3/1/31 | 40 | 40 | |
3 | Fidelity National Information Services Inc. | 3.100% | 3/1/41 | 25 | 25 | |
Fiserv Inc. | 3.800% | 10/1/23 | 50 | 54 | ||
Fiserv Inc. | 2.750% | 7/1/24 | 75 | 80 | ||
Fiserv Inc. | 3.850% | 6/1/25 | 30 | 33 | ||
Fiserv Inc. | 3.200% | 7/1/26 | 50 | 54 | ||
Fiserv Inc. | 2.250% | 6/1/27 | 55 | 57 | ||
Fiserv Inc. | 4.200% | 10/1/28 | 25 | 29 | ||
Fiserv Inc. | 3.500% | 7/1/29 | 55 | 60 | ||
Fiserv Inc. | 2.650% | 6/1/30 | 15 | 16 | ||
Fiserv Inc. | 4.400% | 7/1/49 | 92 | 110 | ||
Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 75 | 79 | ||
Hewlett Packard Enterprise Co. | 2.250% | 4/1/23 | 50 | 52 | ||
Hewlett Packard Enterprise Co. | 4.450% | 10/2/23 | 25 | 27 | ||
Hewlett Packard Enterprise Co. | 1.450% | 4/1/24 | 20 | 20 | ||
Hewlett Packard Enterprise Co. | 4.650% | 10/1/24 | 25 | 28 | ||
Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 15 | 17 | ||
Hewlett Packard Enterprise Co. | 1.750% | 4/1/26 | 25 | 25 | ||
Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 60 | 79 | ||
HP Inc. | 2.200% | 6/17/25 | 35 | 37 | ||
HP Inc. | 3.000% | 6/17/27 | 40 | 43 | ||
HP Inc. | 3.400% | 6/17/30 | 40 | 43 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
HP Inc. | 6.000% | 9/15/41 | 23 | 30 | ||
IBM Credit LLC | 3.000% | 2/6/23 | 25 | 26 | ||
Intel Corp. | 2.350% | 5/11/22 | 60 | 61 | ||
Intel Corp. | 2.700% | 12/15/22 | 50 | 52 | ||
Intel Corp. | 2.875% | 5/11/24 | 25 | 27 | ||
Intel Corp. | 3.400% | 3/25/25 | 25 | 27 | ||
Intel Corp. | 3.700% | 7/29/25 | 50 | 56 | ||
Intel Corp. | 3.750% | 3/25/27 | 55 | 62 | ||
Intel Corp. | 3.150% | 5/11/27 | 50 | 55 | ||
Intel Corp. | 2.450% | 11/15/29 | 50 | 52 | ||
Intel Corp. | 3.900% | 3/25/30 | 60 | 70 | ||
Intel Corp. | 4.000% | 12/15/32 | 35 | 41 | ||
Intel Corp. | 4.600% | 3/25/40 | 25 | 32 | ||
Intel Corp. | 4.800% | 10/1/41 | 25 | 32 | ||
Intel Corp. | 4.900% | 7/29/45 | 25 | 33 | ||
Intel Corp. | 4.100% | 5/11/47 | 20 | 24 | ||
Intel Corp. | 3.734% | 12/8/47 | 100 | 112 | ||
Intel Corp. | 3.250% | 11/15/49 | 40 | 42 | ||
Intel Corp. | 4.750% | 3/25/50 | 60 | 77 | ||
Intel Corp. | 3.100% | 2/15/60 | 40 | 40 | ||
Intel Corp. | 4.950% | 3/25/60 | 45 | 62 | ||
International Business Machines Corp. | 2.850% | 5/13/22 | 50 | 52 | ||
International Business Machines Corp. | 1.875% | 8/1/22 | 50 | 51 | ||
International Business Machines Corp. | 2.875% | 11/9/22 | 50 | 52 | ||
International Business Machines Corp. | 3.375% | 8/1/23 | 50 | 54 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 50 | 55 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 65 | 70 | ||
International Business Machines Corp. | 3.450% | 2/19/26 | 63 | 70 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 85 | 94 | ||
International Business Machines Corp. | 1.700% | 5/15/27 | 55 | 56 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 80 | 88 | ||
International Business Machines Corp. | 1.950% | 5/15/30 | 100 | 99 | ||
International Business Machines Corp. | 4.150% | 5/15/39 | 50 | 59 | ||
International Business Machines Corp. | 4.000% | 6/20/42 | 20 | 23 | ||
International Business Machines Corp. | 4.250% | 5/15/49 | 70 | 83 | ||
International Business Machines Corp. | 2.950% | 5/15/50 | 45 | 43 | ||
KLA Corp. | 4.100% | 3/15/29 | 65 | 75 | ||
KLA Corp. | 3.300% | 3/1/50 | 20 | 21 | ||
Lam Research Corp. | 3.750% | 3/15/26 | 15 | 17 | ||
Lam Research Corp. | 4.000% | 3/15/29 | 75 | 87 | ||
Lam Research Corp. | 1.900% | 6/15/30 | 15 | 15 | ||
Lam Research Corp. | 4.875% | 3/15/49 | 5 | 7 | ||
Lam Research Corp. | 2.875% | 6/15/50 | 25 | 25 | ||
Microchip Technology Inc. | 4.333% | 6/1/23 | 60 | 65 | ||
Micron Technology Inc. | 4.185% | 2/15/27 | 30 | 34 | ||
Micron Technology Inc. | 4.663% | 2/15/30 | 25 | 29 | ||
Microsoft Corp. | 2.125% | 11/15/22 | 30 | 31 | ||
Microsoft Corp. | 2.000% | 8/8/23 | 105 | 109 | ||
Microsoft Corp. | 3.625% | 12/15/23 | 55 | 60 | ||
Microsoft Corp. | 2.875% | 2/6/24 | 150 | 160 | ||
Microsoft Corp. | 2.700% | 2/12/25 | 30 | 32 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 75 | 83 | ||
Microsoft Corp. | 2.400% | 8/8/26 | 160 | 171 | ||
Microsoft Corp. | 3.300% | 2/6/27 | 100 | 111 | ||
Microsoft Corp. | 4.200% | 11/3/35 | 50 | 63 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Microsoft Corp. | 3.450% | 8/8/36 | 95 | 111 | ||
Microsoft Corp. | 4.100% | 2/6/37 | 10 | 12 | ||
Microsoft Corp. | 5.300% | 2/8/41 | 20 | 29 | ||
Microsoft Corp. | 3.500% | 11/15/42 | 50 | 58 | ||
Microsoft Corp. | 4.450% | 11/3/45 | 60 | 78 | ||
Microsoft Corp. | 3.700% | 8/8/46 | 95 | 112 | ||
Microsoft Corp. | 4.250% | 2/6/47 | 55 | 71 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 150 | 141 | ||
Microsoft Corp. | 4.000% | 2/12/55 | 50 | 61 | ||
Microsoft Corp. | 3.950% | 8/8/56 | 120 | 149 | ||
Microsoft Corp. | 4.500% | 2/6/57 | 25 | 34 | ||
Microsoft Corp. | 2.675% | 6/1/60 | 85 | 79 | ||
Motorola Solutions Inc. | 4.600% | 5/23/29 | 65 | 75 | ||
NetApp Inc. | 1.875% | 6/22/25 | 35 | 36 | ||
NVIDIA Corp. | 3.200% | 9/16/26 | 40 | 44 | ||
NVIDIA Corp. | 2.850% | 4/1/30 | 50 | 54 | ||
NVIDIA Corp. | 3.500% | 4/1/40 | 30 | 33 | ||
NVIDIA Corp. | 3.500% | 4/1/50 | 70 | 76 | ||
1,2 | NXP BV | 3.875% | 6/18/26 | 65 | 73 | |
1,2 | NXP BV | 4.300% | 6/18/29 | 35 | 40 | |
1,2 | NXP BV | 3.400% | 5/1/30 | 15 | 16 | |
Oracle Corp. | 2.500% | 5/15/22 | 50 | 51 | ||
Oracle Corp. | 2.500% | 10/15/22 | 90 | 93 | ||
Oracle Corp. | 2.625% | 2/15/23 | 50 | 52 | ||
Oracle Corp. | 3.625% | 7/15/23 | 75 | 81 | ||
Oracle Corp. | 2.400% | 9/15/23 | 50 | 52 | ||
Oracle Corp. | 2.950% | 11/15/24 | 50 | 54 | ||
Oracle Corp. | 2.500% | 4/1/25 | 25 | 26 | ||
Oracle Corp. | 2.950% | 5/15/25 | 50 | 54 | ||
Oracle Corp. | 2.650% | 7/15/26 | 15 | 16 | ||
Oracle Corp. | 2.800% | 4/1/27 | 225 | 242 | ||
Oracle Corp. | 3.250% | 11/15/27 | 75 | 83 | ||
Oracle Corp. | 2.950% | 4/1/30 | 105 | 112 | ||
Oracle Corp. | 4.300% | 7/8/34 | 150 | 180 | ||
Oracle Corp. | 3.850% | 7/15/36 | 60 | 69 | ||
Oracle Corp. | 3.800% | 11/15/37 | 20 | 22 | ||
Oracle Corp. | 6.500% | 4/15/38 | 40 | 59 | ||
Oracle Corp. | 6.125% | 7/8/39 | 25 | 36 | ||
Oracle Corp. | 3.600% | 4/1/40 | 140 | 153 | ||
Oracle Corp. | 5.375% | 7/15/40 | 110 | 145 | ||
Oracle Corp. | 4.500% | 7/8/44 | 25 | 30 | ||
Oracle Corp. | 4.000% | 7/15/46 | 130 | 146 | ||
Oracle Corp. | 4.000% | 11/15/47 | 50 | 56 | ||
Oracle Corp. | 3.600% | 4/1/50 | 150 | 157 | ||
Oracle Corp. | 4.375% | 5/15/55 | 10 | 12 | ||
Oracle Corp. | 3.850% | 4/1/60 | 85 | 92 | ||
QUALCOMM Inc. | 3.000% | 5/20/22 | 53 | 55 | ||
QUALCOMM Inc. | 2.900% | 5/20/24 | 25 | 27 | ||
QUALCOMM Inc. | 3.450% | 5/20/25 | 50 | 55 | ||
QUALCOMM Inc. | 3.250% | 5/20/27 | 47 | 52 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 125 | 126 | ||
QUALCOMM Inc. | 4.650% | 5/20/35 | 25 | 31 | ||
QUALCOMM Inc. | 4.800% | 5/20/45 | 20 | 26 | ||
QUALCOMM Inc. | 4.300% | 5/20/47 | 45 | 55 | ||
QUALCOMM Inc. | 3.250% | 5/20/50 | 55 | 57 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
RELX Capital Inc. | 4.000% | 3/18/29 | 15 | 17 | ||
RELX Capital Inc. | 3.000% | 5/22/30 | 50 | 53 | ||
salesforce.com Inc. | 3.250% | 4/11/23 | 10 | 11 | ||
salesforce.com Inc. | 3.700% | 4/11/28 | 65 | 74 | ||
ServiceNow Inc. | 1.400% | 9/1/30 | 15 | 14 | ||
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 25 | 26 | ||
Texas Instruments Inc. | 2.250% | 9/4/29 | 45 | 46 | ||
Texas Instruments Inc. | 1.750% | 5/4/30 | 50 | 49 | ||
Texas Instruments Inc. | 4.150% | 5/15/48 | 55 | 67 | ||
Verisk Analytics Inc. | 4.000% | 6/15/25 | 41 | 46 | ||
VMware Inc. | 2.950% | 8/21/22 | 45 | 47 | ||
VMware Inc. | 3.900% | 8/21/27 | 60 | 67 | ||
VMware Inc. | 4.700% | 5/15/30 | 60 | 70 | ||
Xilinx Inc. | 2.375% | 6/1/30 | 60 | 61 | ||
14,963 | ||||||
Utilities (0.0%) | ||||||
American Water Capital Corp. | 6.593% | 10/15/37 | 32 | 47 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 10 | 11 | ||
58 | ||||||
Total Investments (99.1%) (Cost $111,757) | 109,378 | |||||
Other Assets and Liabilities—Net (0.9%) | 964 | |||||
Net Assets (100%) | 110,342 |
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 February 28, 2021, the aggregate value of these securities was $3,507,000, representing 3.2% of net assets. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2021. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $111,757) | 109,378 |
Investment in Vanguard | 4 |
Cash | 188 |
Receivables for Investment Securities Sold | 1,402 |
Receivables for Accrued Income | 952 |
Total Assets | 111,924 |
Liabilities | |
Payables for Investment Securities Purchased | 1,572 |
Payables to Vanguard | 6 |
Variation Margin Payable—Futures Contracts1 | 4 |
Total Liabilities | 1,582 |
Net Assets | 110,342 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 112,563 |
Total Distributable Earnings (Loss) | (2,221) |
Net Assets | 110,342 |
Net Assets | |
Applicable to 1,500,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 110,342 |
Net Asset Value Per Share | $73.56 |
1 | Represents variation margin on the last day of the reporting period for recently closed futures contracts. |
September 22, 20201 to February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest | 589 |
Total Income | 589 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 33 |
Marketing and Distribution | 1 |
Custodian Fees | 6 |
Trustees’ Fees and Expenses | — |
Total Expenses | 40 |
Net Investment Income | 549 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (3) |
Futures Contracts | 17 |
Realized Net Gain (Loss) | 14 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (2,379) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,816) |
1 | Inception. |
September 22, 20201 to February 28, 2021 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 549 |
Realized Net Gain (Loss) | 14 |
Change in Unrealized Appreciation (Depreciation) | (2,379) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,816) |
Distributions | |
Total Distributions | (405) |
Capital Share Transactions | |
Issued | 112,563 |
Issued in Lieu of Cash Distributions | — |
Redeemed | — |
Net Increase (Decrease) from Capital Share Transactions | 112,563 |
Total Increase (Decrease) | 110,342 |
Net Assets | |
Beginning of Period | — |
End of Period | 110,342 |
1 | Inception. |
September 22, 20201 to February 28, 2021 | |
For a Share Outstanding Throughout Each Period | |
Net Asset Value, Beginning of Period | $75.00 |
Investment Operations | |
Net Investment Income2 | .540 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.578) |
Total from Investment Operations | (1.038) |
Distributions | |
Dividends from Net Investment Income | (.402) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.402) |
Net Asset Value, End of Period | $73.56 |
Total Return | -1.39% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $110 |
Ratio of Total Expenses to Average Net Assets | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 1.65% |
Portfolio Turnover Rate3 | 9% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Amount ($000) | |
Tax Cost | 111,757 |
Gross Unrealized Appreciation | 232 |
Gross Unrealized Depreciation | (2,611) |
Net Unrealized Appreciation (Depreciation) | (2,379) |
September 22, 20201 to February 28, 2021 | |
Shares (000) | |
Issued | 1,500 |
Issued in Lieu of Cash Distributions | — |
Redeemed | — |
Net Increase (Decrease) in Shares Outstanding | 1,500 |
1 | Inception. |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable.
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. In 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard U.S. Growth Fund, Vanguard International Growth Fund, Vanguard FTSE Social Index Fund, Vanguard Communication Services Index Fund, Vanguard Consumer Discretionary Index Fund, Vanguard Consumer Staples Index Fund, Vanguard Energy Index Fund, Vanguard Financials Index Fund, Vanguard Health Care Index Fund, Vanguard Industrials Index Fund, Vanguard Information Technology Index Fund, Vanguard Materials Index Fund, Vanguard Utilities Index Fund, Vanguard Extended Duration Treasury Index Fund, Vanguard Mega Cap Index Fund
Vanguard Mega Cap Growth Index Fund, Vanguard Mega Cap Value Index Fund, Vanguard Global Wellington Fund, Vanguard Global Wellesley Income Fund, and Vanguard ESG U.S. Corporate Bond. There were no other significant changes in 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) | Certifications. |
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 WORLD FUND
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 20, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD WORLD FUND
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 20, 2021
VANGUARD WORLD FUND
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: April 20, 2021
*
By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on December 18, 2020 (see File Number 33-64845), Incorporated by Reference
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard World Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 20, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
CERTIFICATIONS
I, John Bendl, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard World Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 20, 2021
/s/ John Bendl | |
John Bendl | |
Chief Financial Officer | |
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard World Fund
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: April 20, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard World Fund
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: April 20, 2021
/s/ John Bendl | |
John Bendl | |
Chief Financial Officer |
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