Form N-Q VANGUARD MALVERN FUNDS For: Jun 30
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number: 811-05628
Name of Registrant: Vanguard Malvern Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Date of fiscal year end: September 30
Date of reporting period: June 30, 2016
Item 1: Schedule of Investments
Vanguard U.S. Value Fund | |||
Schedule of Investments | |||
As of June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.5%)1 | |||
Consumer Discretionary (5.1%) | |||
Target Corp. | 156,630 | 10,936 | |
Lear Corp. | 67,049 | 6,823 | |
PVH Corp. | 48,826 | 4,601 | |
Darden Restaurants Inc. | 66,735 | 4,227 | |
Cooper Tire & Rubber Co. | 137,748 | 4,108 | |
General Motors Co. | 133,264 | 3,771 | |
Regal Entertainment Group Class A | 154,576 | 3,407 | |
* | Discovery Communications Inc. Class A | 118,774 | 2,997 |
Carnival Corp. | 66,086 | 2,921 | |
* | Isle of Capri Casinos Inc. | 149,041 | 2,730 |
News Corp. Class B | 226,020 | 2,638 | |
Best Buy Co. Inc. | 74,845 | 2,290 | |
Whirlpool Corp. | 13,735 | 2,289 | |
DR Horton Inc. | 68,256 | 2,149 | |
* | Liberty SiriusXM Group Class A | 58,530 | 1,835 |
Children's Place Inc. | 20,317 | 1,629 | |
* | MSG Networks Inc. | 89,867 | 1,378 |
AMC Entertainment Holdings Inc. | 42,613 | 1,176 | |
Ethan Allen Interiors Inc. | 33,628 | 1,111 | |
American Eagle Outfitters Inc. | 66,358 | 1,057 | |
* | Cooper-Standard Holding Inc. | 13,200 | 1,043 |
Abercrombie & Fitch Co. | 55,814 | 994 | |
Tupperware Brands Corp. | 16,947 | 954 | |
Marriott International Inc. Class A | 10,455 | 695 | |
Rent-A-Center Inc. | 56,089 | 689 | |
Gannett Co. Inc. | 46,988 | 649 | |
Nordstrom Inc. | 7,400 | 282 | |
69,379 | |||
Consumer Staples (8.6%) | |||
Procter & Gamble Co. | 271,730 | 23,007 | |
Wal-Mart Stores Inc. | 256,496 | 18,729 | |
Philip Morris International Inc. | 97,887 | 9,957 | |
JM Smucker Co. | 57,778 | 8,806 | |
Tyson Foods Inc. Class A | 126,863 | 8,473 | |
ConAgra Foods Inc. | 161,134 | 7,704 | |
Dean Foods Co. | 396,467 | 7,172 | |
*,^ Herbalife Ltd. | 118,614 | 6,943 | |
Ingredion Inc. | 44,044 | 5,700 | |
Energizer Holdings Inc. | 105,216 | 5,418 | |
Universal Corp. | 59,514 | 3,436 | |
Ingles Markets Inc. Class A | 78,533 | 2,929 | |
Mondelez International Inc. Class A | 28,373 | 1,291 | |
Fresh Del Monte Produce Inc. | 22,443 | 1,222 | |
PepsiCo Inc. | 11,349 | 1,202 | |
SpartanNash Co. | 36,446 | 1,115 | |
Colgate-Palmolive Co. | 14,103 | 1,032 | |
* | Omega Protein Corp. | 48,477 | 969 |
Walgreens Boots Alliance Inc. | 9,400 | 783 | |
115,888 | |||
Energy (12.7%) | |||
Exxon Mobil Corp. | 576,697 | 54,060 | |
Chevron Corp. | 161,402 | 16,920 | |
Valero Energy Corp. | 172,546 | 8,800 | |
Apache Corp. | 149,760 | 8,337 | |
Tesoro Corp. | 101,561 | 7,609 | |
Rowan Cos. plc Class A | 430,423 | 7,601 | |
^ | Nordic American Tankers Ltd. | 504,903 | 7,013 |
Ensco plc Class A | 688,178 | 6,682 | |
^ | Ship Finance International Ltd. | 429,983 | 6,338 |
Schlumberger Ltd. | 76,777 | 6,071 | |
Noble Corp. plc | 721,963 | 5,949 | |
* | Newfield Exploration Co. | 97,591 | 4,312 |
Diamond Offshore Drilling Inc. | 167,556 | 4,077 | |
*,^ EP Energy Corp. Class A | 594,621 | 3,080 | |
PBF Energy Inc. Class A | 119,958 | 2,853 | |
DHT Holdings Inc. | 439,907 | 2,213 | |
Scorpio Tankers Inc. | 499,449 | 2,098 | |
Teekay Tankers Ltd. Class A | 634,275 | 1,890 | |
Transocean Ltd. | 145,328 | 1,728 | |
Devon Energy Corp. | 45,215 | 1,639 | |
^ | Frontline Ltd. | 204,062 | 1,606 |
Atwood Oceanics Inc. | 114,522 | 1,434 | |
*,^ Seadrill Ltd. | 440,832 | 1,428 | |
* | TETRA Technologies Inc. | 199,655 | 1,272 |
Cimarex Energy Co. | 7,308 | 872 | |
* | McDermott International Inc. | 145,119 | 717 |
Energen Corp. | 14,591 | 703 | |
* | RPC Inc. | 44,973 | 698 |
* | Par Pacific Holdings Inc. | 45,146 | 692 |
* | Sanchez Energy Corp. | 96,092 | 678 |
* | Laredo Petroleum Inc. | 64,384 | 675 |
Occidental Petroleum Corp. | 8,752 | 661 | |
Overseas Shipholding Group Inc. Class A | 60,148 | 661 | |
Alon USA Energy Inc. | 88,984 | 577 | |
171,944 | |||
Financials (28.6%) | |||
JPMorgan Chase & Co. | 568,212 | 35,309 | |
* | Berkshire Hathaway Inc. Class B | 180,935 | 26,198 |
Bank of America Corp. | 1,785,047 | 23,688 | |
Citigroup Inc. | 523,134 | 22,176 | |
Wells Fargo & Co. | 417,834 | 19,776 | |
Bank of New York Mellon Corp. | 306,585 | 11,911 | |
Travelers Cos. Inc. | 95,600 | 11,380 | |
Capital One Financial Corp. | 172,553 | 10,959 | |
Aflac Inc. | 149,667 | 10,800 | |
Prudential Financial Inc. | 148,825 | 10,617 | |
Discover Financial Services | 172,477 | 9,243 | |
PNC Financial Services Group Inc. | 104,055 | 8,469 | |
Fifth Third Bancorp | 466,624 | 8,208 | |
Hospitality Properties Trust | 277,524 | 7,993 | |
Ameriprise Financial Inc. | 88,191 | 7,924 | |
Government Properties Income Trust | 334,718 | 7,719 | |
Nasdaq Inc. | 117,876 | 7,623 |
US Bancorp | 187,742 | 7,572 |
Navient Corp. | 621,454 | 7,426 |
Assured Guaranty Ltd. | 283,844 | 7,201 |
Gaming and Leisure Properties Inc. | 207,406 | 7,151 |
American Express Co. | 116,088 | 7,053 |
Lexington Realty Trust | 606,257 | 6,129 |
VEREIT Inc. | 602,065 | 6,105 |
* Walker & Dunlop Inc. | 254,005 | 5,786 |
DuPont Fabros Technology Inc. | 116,570 | 5,542 |
Unum Group | 173,370 | 5,511 |
SunTrust Banks Inc. | 127,542 | 5,239 |
Mack-Cali Realty Corp. | 179,709 | 4,852 |
CBL & Associates Properties Inc. | 510,329 | 4,751 |
Universal Insurance Holdings Inc. | 243,380 | 4,522 |
GEO Group Inc. | 123,004 | 4,204 |
Hartford Financial Services Group Inc. | 93,565 | 4,152 |
Apple Hospitality REIT Inc. | 212,867 | 4,004 |
* INTL. FCStone Inc. | 143,113 | 3,905 |
Heritage Insurance Holdings Inc. | 291,905 | 3,494 |
Great Western Bancorp Inc. | 109,183 | 3,444 |
WP Glimcher Inc. | 300,888 | 3,367 |
* Flagstar Bancorp Inc. | 124,030 | 3,028 |
Select Income REIT | 111,408 | 2,895 |
Macerich Co. | 32,099 | 2,741 |
Summit Hotel Properties Inc. | 196,196 | 2,598 |
Communications Sales & Leasing Inc. | 84,503 | 2,442 |
WP Carey Inc. | 34,096 | 2,367 |
Primerica Inc. | 39,153 | 2,241 |
Regions Financial Corp. | 259,420 | 2,208 |
Ryman Hospitality Properties Inc. | 40,719 | 2,062 |
Maiden Holdings Ltd. | 137,547 | 1,684 |
Piedmont Office Realty Trust Inc. Class A | 74,400 | 1,603 |
NorthStar Realty Finance Corp. | 105,411 | 1,205 |
* E*TRADE Financial Corp. | 42,899 | 1,008 |
Care Capital Properties Inc. | 29,299 | 768 |
Outfront Media Inc. | 30,257 | 731 |
American International Group Inc. | 13,117 | 694 |
United Fire Group Inc. | 16,197 | 687 |
Assurant Inc. | 7,900 | 682 |
Goldman Sachs Group Inc. | 4,587 | 681 |
Global Net Lease Inc. | 84,541 | 672 |
Monmouth Real Estate Investment Corp. | 49,381 | 655 |
Hanover Insurance Group Inc. | 7,607 | 644 |
Sunstone Hotel Investors Inc. | 49,267 | 595 |
386,294 | ||
Health Care (10.9%) | ||
Johnson & Johnson | 338,899 | 41,108 |
Pfizer Inc. | 562,374 | 19,801 |
Merck & Co. Inc. | 212,244 | 12,227 |
Baxter International Inc. | 205,379 | 9,287 |
* HCA Holdings Inc. | 106,713 | 8,218 |
* Express Scripts Holding Co. | 103,722 | 7,862 |
Medtronic plc | 86,443 | 7,501 |
Bristol-Myers Squibb Co. | 96,451 | 7,094 |
Aetna Inc. | 56,311 | 6,877 |
Anthem Inc. | 51,993 | 6,829 |
* Quintiles Transnational Holdings Inc. | 74,854 | 4,890 |
Eli Lilly & Co. | 51,929 | 4,089 |
* Charles River Laboratories International Inc. | 29,700 | 2,449 |
* WellCare Health Plans Inc. | 22,742 | 2,440 |
Amgen Inc. | 14,500 | 2,206 |
* INC Research Holdings Inc. Class A | 55,800 | 2,128 |
* Orthofix International NV | 25,828 | 1,095 |
Abbott Laboratories | 17,593 | 692 |
* Emergent BioSolutions Inc. | 20,775 | 584 |
147,377 | ||
Industrials (10.0%) | ||
General Electric Co. | 1,149,164 | 36,176 |
Delta Air Lines Inc. | 212,701 | 7,749 |
BWX Technologies Inc. | 206,080 | 7,372 |
Global Brass & Copper Holdings Inc. | 249,871 | 6,819 |
Comfort Systems USA Inc. | 195,040 | 6,352 |
Masco Corp. | 202,787 | 6,274 |
* JetBlue Airways Corp. | 377,539 | 6,252 |
General Cable Corp. | 453,807 | 5,768 |
Owens Corning | 106,447 | 5,484 |
* ACCO Brands Corp. | 524,094 | 5,414 |
* Spirit AeroSystems Holdings Inc. Class A | 115,741 | 4,977 |
SkyWest Inc. | 177,149 | 4,687 |
Briggs & Stratton Corp. | 204,825 | 4,338 |
L-3 Communications Holdings Inc. | 29,277 | 4,295 |
GATX Corp. | 90,927 | 3,998 |
Alaska Air Group Inc. | 66,313 | 3,865 |
United Technologies Corp. | 27,219 | 2,791 |
Ennis Inc. | 135,108 | 2,591 |
* Aegion Corp. Class A | 120,869 | 2,358 |
Universal Forest Products Inc. | 19,890 | 1,844 |
Southwest Airlines Co. | 32,699 | 1,282 |
* Wabash National Corp. | 56,915 | 723 |
Quad/Graphics Inc. | 30,931 | 720 |
^ American Railcar Industries Inc. | 17,476 | 690 |
Union Pacific Corp. | 7,758 | 677 |
Huntington Ingalls Industries Inc. | 4,022 | 676 |
West Corp. | 33,879 | 666 |
134,838 | ||
Information Technology (9.6%) | ||
Cisco Systems Inc. | 379,527 | 10,889 |
Intel Corp. | 318,743 | 10,455 |
HP Inc. | 765,859 | 9,611 |
Computer Sciences Corp. | 161,180 | 8,003 |
SYNNEX Corp. | 81,431 | 7,721 |
* Advanced Micro Devices Inc. | 1,487,185 | 7,644 |
* Tech Data Corp. | 100,727 | 7,237 |
Avnet Inc. | 173,768 | 7,039 |
Booz Allen Hamilton Holding Corp. Class A | 233,000 | 6,906 |
* Sykes Enterprises Inc. | 214,360 | 6,208 |
NVIDIA Corp. | 130,637 | 6,141 |
Oracle Corp. | 143,966 | 5,892 |
CDW Corp. | 144,824 | 5,805 |
* NeoPhotonics Corp. | 563,782 | 5,373 |
* Sigma Designs Inc. | 713,968 | 4,591 |
EarthLink Holdings Corp. | 514,300 | 3,291 |
* Cirrus Logic Inc. | 79,466 | 3,082 |
Leidos Holdings Inc. | 63,504 | 3,040 |
* Extreme Networks Inc. | 638,887 | 2,166 |
* NETGEAR Inc. | 45,264 | 2,152 |
* First Data Corp. Class A | 175,131 | 1,939 |
* CACI International Inc. Class A | 20,449 | 1,849 |
* NCR Corp. | 39,289 | 1,091 |
QUALCOMM Inc. | 17,587 | 942 |
* Sanmina Corp. | 15,987 | 429 |
129,496 | ||
Materials (2.9%) | ||
Steel Dynamics Inc. | 300,178 | 7,354 |
LyondellBasell Industries NV Class A | 77,154 | 5,742 |
Commercial Metals Co. | 339,159 | 5,732 |
Cabot Corp. | 114,720 | 5,238 |
Dow Chemical Co. | 99,155 | 4,929 |
Avery Dennison Corp. | 58,032 | 4,338 |
International Paper Co. | 42,779 | 1,813 |
* AK Steel Holding Corp. | 299,901 | 1,397 |
Schnitzer Steel Industries Inc. | 67,400 | 1,186 |
* Ryerson Holding Corp. | 43,359 | 759 |
* Kraton Performance Polymers Inc. | 24,700 | 690 |
Rayonier Advanced Materials Inc. | 22,000 | 299 |
39,477 | ||
Telecommunication Services (3.9%) | ||
AT&T Inc. | 587,575 | 25,389 |
Verizon Communications Inc. | 204,613 | 11,426 |
CenturyLink Inc. | 304,368 | 8,830 |
* T-Mobile US Inc. | 115,603 | 5,002 |
* Cincinnati Bell Inc. | 636,851 | 2,910 |
53,557 | ||
Utilities (7.2%) | ||
Edison International | 130,795 | 10,159 |
PPL Corp. | 263,122 | 9,933 |
Public Service Enterprise Group Inc. | 199,058 | 9,278 |
FirstEnergy Corp. | 264,203 | 9,223 |
Entergy Corp. | 109,979 | 8,947 |
CenterPoint Energy Inc. | 352,696 | 8,465 |
NRG Energy Inc. | 518,927 | 7,779 |
NiSource Inc. | 291,289 | 7,725 |
UGI Corp. | 168,004 | 7,602 |
Duke Energy Corp. | 73,720 | 6,324 |
AES Corp. | 319,849 | 3,992 |
MDU Resources Group Inc. | 113,581 | 2,726 |
ONE Gas Inc. | 40,905 | 2,724 |
Great Plains Energy Inc. | 43,251 | 1,315 |
Southwest Gas Corp. | 11,415 | 898 |
NextEra Energy Inc. | 5,004 | 652 |
97,742 | ||
Total Common Stocks (Cost $1,231,337) | 1,345,992 |
Coupon | ||||
Temporary Cash Investments (1.6%)1 | ||||
Money Market Fund (1.6%) | ||||
2,3 Vanguard Market Liquidity Fund | 0.538% | 21,070,755 | 21,071 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
4,5 Federal Home Loan Bank Discount Notes | 0.476% | 8/17/16 | 400 | 400 |
4,5 Federal Home Loan Bank Discount Notes | 0.486% | 8/24/16 | 100 | 100 |
500 | ||||
Total Temporary Cash Investments (Cost $21,571) | 21,571 | |||
Total Investments (101.1%) (Cost $1,252,908) | 1,367,563 | |||
Other Assets and Liabilities-Net (-1.1%)3 | (15,281) | |||
Net Assets (100%) | 1,352,282 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $16,614,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.1%, respectively, of net assets.
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 Includes $18,021,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
U.S. Value Fund
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,345,992 | — | — |
Temporary Cash Investments | 21,071 | 500 | — |
Futures Contracts—Assets1 | 69 | — | — |
Total | 1,367,132 | 500 | — |
1 Represents variation margin on the last day of the reporting period. |
C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value Long | Appreciation | ||
Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 61 | 6,375 | 73 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. At June 30, 2016, the cost of investment securities for tax purposes was $1,253,214,000. Net unrealized appreciation of investment securities for tax purposes was $114,349,000, consisting of unrealized gains of $162,568,000 on securities that had risen in value since their purchase and $48,219,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Capital Value Fund | |||
Schedule of Investments | |||
As of June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (98.7%) | |||
Consumer Discretionary (11.0%) | |||
* | Amazon.com Inc. | 15,530 | 11,114 |
Las Vegas Sands Corp. | 248,112 | 10,790 | |
Ralph Lauren Corp. Class A | 88,753 | 7,954 | |
SES SA Class A | 344,256 | 7,436 | |
* | DISH Network Corp. Class A | 125,134 | 6,557 |
Aramark | 172,269 | 5,757 | |
Nordstrom Inc. | 127,242 | 4,842 | |
Signet Jewelers Ltd. | 58,591 | 4,829 | |
* | TripAdvisor Inc. | 73,684 | 4,738 |
* | Chipotle Mexican Grill Inc. Class A | 11,350 | 4,571 |
* | Kate Spade & Co. | 188,920 | 3,894 |
Expedia Inc. | 35,810 | 3,807 | |
* | LifeLock Inc. | 239,196 | 3,782 |
* | Restoration Hardware Holdings Inc. | 122,436 | 3,511 |
Sky plc | 271,461 | 3,081 | |
Delphi Automotive plc | 46,391 | 2,904 | |
* | Norwegian Cruise Line Holdings Ltd. | 66,500 | 2,649 |
* | Global Brands Group Holding Ltd. | 26,404,000 | 2,319 |
Sands China Ltd. | 645,600 | 2,186 | |
Melco Crown Entertainment Ltd. ADR | 147,900 | 1,861 | |
John Wiley & Sons Inc. Class A | 33,700 | 1,758 | |
Advance Auto Parts Inc. | 8,854 | 1,431 | |
Fiat Chrysler Automobiles NV | 198,648 | 1,226 | |
102,997 | |||
Consumer Staples (1.6%) | |||
British American Tobacco plc | 120,632 | 7,850 | |
^ | Coty Inc. Class A | 129,300 | 3,361 |
Whole Foods Market Inc. | 102,888 | 3,294 | |
14,505 | |||
Energy (11.4%) | |||
Pioneer Natural Resources Co. | 95,029 | 14,369 | |
Anadarko Petroleum Corp. | 194,100 | 10,336 | |
Halliburton Co. | 227,074 | 10,284 | |
^ | Golar LNG Ltd. | 594,107 | 9,209 |
Cabot Oil & Gas Corp. | 294,357 | 7,577 | |
Canadian Natural Resources Ltd. | 245,296 | 7,562 | |
Marathon Oil Corp. | 438,853 | 6,587 | |
Suncor Energy Inc. | 227,219 | 6,301 | |
Helmerich & Payne Inc. | 78,233 | 5,252 | |
* | Diamondback Energy Inc. | 57,237 | 5,221 |
* | Southwestern Energy Co. | 362,561 | 4,561 |
QEP Resources Inc. | 229,300 | 4,043 | |
* | Cobalt International Energy Inc. | 2,327,282 | 3,118 |
HollyFrontier Corp. | 128,077 | 3,044 | |
Hess Corp. | 49,800 | 2,993 | |
* | Karoon Gas Australia Ltd. | 2,061,949 | 2,000 |
*,^ Trican Well Service Ltd. | 868,496 | 1,660 | |
National Oilwell Varco Inc. | 47,123 | 1,586 |
Energen Corp. | 13,300 | 641 | |
PrairieSky Royalty Ltd. | 5,103 | 95 | |
106,439 | |||
Financials (20.6%) | |||
MetLife Inc. | 491,802 | 19,589 | |
Citigroup Inc. | 366,311 | 15,528 | |
American Tower Corporation | 126,567 | 14,379 | |
PNC Financial Services Group Inc. | 158,579 | 12,907 | |
* | Markit Ltd. | 362,232 | 11,809 |
Principal Financial Group Inc. | 280,962 | 11,550 | |
Raymond James Financial Inc. | 226,201 | 11,152 | |
Arthur J Gallagher & Co. | 209,274 | 9,962 | |
JPMorgan Chase & Co. | 148,400 | 9,222 | |
American International Group Inc. | 174,167 | 9,212 | |
M&T Bank Corp. | 74,544 | 8,813 | |
Bank of America Corp. | 634,144 | 8,415 | |
Torchmark Corp. | 115,972 | 7,169 | |
Unum Group | 203,032 | 6,454 | |
Host Hotels & Resorts Inc. | 395,400 | 6,410 | |
STORE Capital Corp. | 217,200 | 6,397 | |
Columbia Property Trust Inc. | 275,339 | 5,892 | |
* | Synchrony Financial | 163,860 | 4,142 |
Legg Mason Inc. | 134,902 | 3,978 | |
* | MGIC Investment Corp. | 446,410 | 2,656 |
Boston Properties Inc. | 19,500 | 2,572 | |
*,^ LendingClub Corp. | 583,529 | 2,509 | |
* | Santander Consumer USA Holdings Inc. | 155,507 | 1,606 |
* | OneMain Holdings Inc. Class A | 30,548 | 697 |
193,020 | |||
Health Care (19.0%) | |||
*,^ TherapeuticsMD Inc. | 4,166,790 | 35,418 | |
Merck & Co. Inc. | 339,470 | 19,557 | |
* | Allergan plc | 77,675 | 17,950 |
* | Mylan NV | 327,115 | 14,144 |
Bristol-Myers Squibb Co. | 161,534 | 11,881 | |
Eisai Co. Ltd. | 188,182 | 10,456 | |
McKesson Corp. | 41,059 | 7,664 | |
AstraZeneca plc ADR | 230,346 | 6,954 | |
* | Portola Pharmaceuticals Inc. | 288,488 | 6,808 |
* | TESARO Inc. | 75,900 | 6,379 |
Teva Pharmaceutical Industries Ltd. ADR | 125,000 | 6,279 | |
* | Alder Biopharmaceuticals Inc. | 250,172 | 6,247 |
* | Coherus Biosciences Inc. | 350,939 | 5,927 |
* | Envision Healthcare Holdings Inc. | 218,500 | 5,543 |
* | Biogen Inc. | 17,753 | 4,293 |
* | Cepheid | 134,900 | 4,148 |
* | MEDNAX Inc. | 39,300 | 2,847 |
* | Senseonics Holdings Inc. | 684,488 | 2,690 |
*,^ Novavax Inc. | 277,200 | 2,015 | |
177,200 | |||
Industrials (8.5%) | |||
*,^ XPO Logistics Inc. | 421,123 | 11,059 | |
CSX Corp. | 345,625 | 9,014 | |
* | Genesee & Wyoming Inc. Class A | 116,837 | 6,887 |
Eaton Corp. plc | 97,658 | 5,833 | |
Sanwa Holdings Corp. | 576,700 | 5,212 |
* | Builders FirstSource Inc. | 433,700 | 4,879 |
* | United Continental Holdings Inc. | 114,419 | 4,696 |
American Airlines Group Inc. | 148,951 | 4,217 | |
* | Clean Harbors Inc. | 73,489 | 3,829 |
* | Generac Holdings Inc. | 105,745 | 3,697 |
* | Avis Budget Group Inc. | 109,100 | 3,516 |
Norfolk Southern Corp. | 30,000 | 2,554 | |
Zumtobel Group AG | 210,017 | 2,549 | |
* | IHS Inc. Class A | 20,627 | 2,385 |
* | Swift Transportation Co. | 152,195 | 2,345 |
United Parcel Service Inc. Class B | 21,600 | 2,327 | |
* | WESCO International Inc. | 45,172 | 2,326 |
Sulzer AG | 18,994 | 1,651 | |
Macquarie Infrastructure Corp. | 12,118 | 897 | |
79,873 | |||
Information Technology (16.9%) | |||
Cisco Systems Inc. | 547,189 | 15,699 | |
* | Envestnet Inc. | 318,066 | 10,595 |
* | Alphabet Inc. Class C | 14,601 | 10,105 |
*,^ Quotient Technology Inc. | 745,689 | 10,000 | |
*,^ SunPower Corp. Class A | 611,197 | 9,467 | |
* | First Solar Inc. | 192,505 | 9,333 |
* | Alliance Data Systems Corp. | 41,940 | 8,217 |
Lam Research Corp. | 97,643 | 8,208 | |
* | Alphabet Inc. Class A | 10,928 | 7,688 |
Sumco Corp. | 1,189,305 | 7,564 | |
*,^ Mobileye NV | 151,919 | 7,009 | |
Samsung Electronics Co. Ltd. | 5,263 | 6,552 | |
* | Blackhawk Network Holdings Inc. | 160,963 | 5,391 |
*,^ Gogo Inc. | 604,017 | 5,068 | |
* | Mellanox Technologies Ltd. | 100,890 | 4,839 |
Western Digital Corp. | 96,600 | 4,565 | |
* | ARRIS International plc | 198,545 | 4,161 |
Skyworks Solutions Inc. | 60,460 | 3,826 | |
* | Qorvo Inc. | 67,178 | 3,712 |
* | Micron Technology Inc. | 233,548 | 3,214 |
* | Synaptics Inc. | 58,326 | 3,135 |
Silicon Motion Technology Corp. ADR | 65,300 | 3,121 | |
* | Twitter Inc. | 177,294 | 2,998 |
Nintendo Co. Ltd. | 13,727 | 1,959 | |
Cypress Semiconductor Corp. | 128,005 | 1,350 | |
* | SunEdison Semiconductor Ltd. | 48,558 | 288 |
158,064 | |||
Materials (4.2%) | |||
Reliance Steel & Aluminum Co. | 113,619 | 8,737 | |
Celanese Corp. Class A | 132,844 | 8,695 | |
CF Industries Holdings Inc. | 290,280 | 6,996 | |
CRH plc | 135,521 | 3,990 | |
Bemis Co. Inc. | 46,200 | 2,379 | |
^ | Norbord Inc. | 97,577 | 1,908 |
Monsanto Co. | 18,300 | 1,892 | |
* | Louisiana-Pacific Corp. | 97,513 | 1,692 |
* | Constellium NV Class A | 313,009 | 1,468 |
Cabot Corp. | 31,023 | 1,417 | |
39,174 |
Other (0.2%) | ||||
*,1 Allstar Co-Invest LLC Private Placement | NA | 1,565 | ||
Telecommunication Services (1.1%) | ||||
Verizon Communications Inc. | 109,515 | 6,115 | ||
* T-Mobile US Inc. | 105,000 | 4,544 | ||
10,659 | ||||
Utilities (4.2%) | ||||
PG&E Corp. | 211,461 | 13,517 | ||
Exelon Corp. | 299,657 | 10,895 | ||
OGE Energy Corp. | 198,200 | 6,491 | ||
* Calpine Corp. | 434,368 | 6,407 | ||
Pattern Energy Group Inc. Class A | 83,913 | 1,927 | ||
39,237 | ||||
Total Common Stocks (Cost $913,875) | 922,733 | |||
Preferred Stocks (0.7%) | ||||
*,2 Lithium Technologies Inc. Pfd. (Cost $5,828) | 1,195,700 | 6,122 | ||
Coupon | ||||
Temporary Cash Investments (4.4%) | ||||
Money Market Fund (4.0%) | ||||
3,4 Vanguard Market Liquidity Fund | 0.538% | 37,226,713 | 37,227 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
Repurchase Agreement (0.4%) | ||||
RBS Securities, Inc. | ||||
(Dated 6/30/16, Repurchase Value | ||||
$3,700,000, collateralized by U.S. Treasury | ||||
Note/Bond 2.625%, 11/15/20, with a value of | ||||
$3,776,000) | 0.400% | 7/1/16 | 3,700 | 3,700 |
Total Temporary Cash Investments (Cost $40,927) | 40,927 | |||
Total Investments (103.8%) (Cost $960,630) | 969,782 | |||
Other Assets and Liabilities-Net (-3.8%)4 | (35,125) | |||
Net Assets (100%) | 934,657 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $28,333,000
1 Restricted security represents 0.2% of net assets. Shares not applicable for this private placement.
2 Restricted security represents 0.7% of net assets.
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 Includes $37,227,000 of collateral received for securities on loan.
ADR—American Depositary Receipt.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures
Capital Value Fund
contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 855,138 | 66,030 | 1,565 |
Preferred Stocks | — | — | 6,122 |
Temporary Cash Investments | 37,227 | 3,700 | — |
Forward Currency Contracts—Assets | — | 436 | — |
Total | 892,365 | 70,166 | 7,687 |
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a
Capital Value Fund
counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At June 30, 2016, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
UBS AG | 9/21/16 | USD | 5,828 | EUR | 5,132 | 115 |
JPMorgan Chase Bank, N.A. | 9/21/16 | USD | 3,998 | GBP | 2,759 | 321 |
436 | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
E. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
F. At June 30, 2016, the cost of investment securities for tax purposes was $960,630,000. Net unrealized appreciation of investment securities for tax purposes was $9,152,000, consisting of unrealized gains of $114,707,000 on securities that had risen in value since their purchase and $105,555,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Short-Term Inflation-Protected Securities Index Fund | ||||
Schedule of Investments | ||||
As of June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (99.6%) | ||||
U.S. Government Securities (99.6%) | ||||
United States Treasury Inflation Indexed Bonds | 2.500% | 7/15/16 | 604,239 | 717,541 |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/17 | 523,033 | 632,078 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/17 | 1,573,504 | 1,667,639 |
United States Treasury Inflation Indexed Bonds | 2.625% | 7/15/17 | 460,827 | 553,597 |
United States Treasury Inflation Indexed Bonds | 1.625% | 1/15/18 | 492,543 | 583,793 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/18 | 1,779,265 | 1,868,940 |
United States Treasury Inflation Indexed Bonds | 1.375% | 7/15/18 | 499,392 | 581,019 |
United States Treasury Inflation Indexed Bonds | 2.125% | 1/15/19 | 462,288 | 552,442 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/19 | 1,786,344 | 1,862,213 |
United States Treasury Inflation Indexed Bonds | 1.875% | 7/15/19 | 523,465 | 634,691 |
United States Treasury Inflation Indexed Bonds | 1.375% | 1/15/20 | 642,973 | 759,538 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/20 | 1,787,104 | 1,867,807 |
United States Treasury Inflation Indexed Bonds | 1.250% | 7/15/20 | 996,314 | 1,175,035 |
United States Treasury Inflation Indexed Bonds | 1.125% | 1/15/21 | 1,142,878 | 1,337,324 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 571,705 | 591,478 |
United States Treasury Inflation Indexed Bonds | 0.625% | 7/15/21 | 14,000 | 15,647 |
Total U.S. Government and Agency Obligations (Cost $15,253,327) | 15,400,782 | |||
Shares | ||||
Temporary Cash Investment (0.0%) | ||||
Money Market Fund (0.0%) | ||||
1 Vanguard Market Liquidity Fund (Cost $3,155) | 0.538% | 3,155,135 | 3,155 | |
Total Investments (99.6%) (Cost $15,256,482) | 15,403,937 | |||
Other Assets and Liabilities-Net (0.4%) | 63,457 | |||
Net Assets (100%) | 15,467,394 |
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.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Short-Term Inflation-Protected Securities Index Fund
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 15,400,782 | — |
Temporary Cash Investments | 3,155 | — | — |
Total | 3,155 | 15,400,782 | — |
C. At June 30, 2016, the cost of investment securities for tax purposes was $15,325,823,000. Net unrealized appreciation of investment securities for tax purposes was $78,114,000, consisting of unrealized gains of $81,245,000 on securities that had risen in value since their purchase and $3,131,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Institutional Intermediate-Term Bond Fund | |||||
Schedule of Investments | |||||
As of June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (58.2%) | |||||
U.S. Government Securities (28.2%) | |||||
United States Treasury Inflation Indexed | |||||
Bonds | 2.375% | 1/15/17 | 147,805 | 178,620 | |
1 | United States Treasury Inflation Indexed | ||||
Bonds | 0.125% | 4/15/17 | 276,738 | 293,294 | |
United States Treasury Inflation Indexed | |||||
Bonds | 0.125% | 4/15/21 | 77,680 | 80,367 | |
United States Treasury Inflation Indexed | |||||
Bonds | 0.375% | 7/15/25 | 107,192 | 111,394 | |
United States Treasury Inflation Indexed | |||||
Bonds | 0.625% | 1/15/26 | 23,134 | 24,543 | |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 25 | 25 | |
2 | United States Treasury Note/Bond | 0.625% | 9/30/17 | 30,000 | 30,033 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 1,560 | 1,566 | |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 19,700 | 19,715 | |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 650 | 665 | |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 42,750 | 43,017 | |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 52,300 | 52,439 | |
3 | United States Treasury Note/Bond | 1.000% | 12/31/17 | 184,400 | 185,582 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 79,000 | 79,222 | |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 750 | 755 | |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 30,000 | 30,150 | |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 18,900 | 19,048 | |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 3,000 | 3,030 | |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 1,500 | 1,512 | |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 1,000 | 1,008 | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 11,900 | 12,036 | |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 2,900 | 2,906 | |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 9,131 | 9,298 | |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 123,700 | 124,763 | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 5,300 | 5,326 | |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 16,173 | 16,590 | |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 64,083 | 64,874 | |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 42,200 | 43,156 | |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 8,100 | 8,133 | |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 706 | 769 | |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 39,984 | 40,303 | |
2 | United States Treasury Note/Bond | 1.750% | 9/30/19 | 136,600 | 140,869 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 15,086 | 16,394 | |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 31,600 | 32,474 | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 35,900 | 36,427 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 10,950 | 11,159 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 50 | 51 | |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 70,800 | 72,116 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 126,300 | 129,911 | |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 51,400 | 52,348 | |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 19,350 | 19,704 | |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 41,300 | 42,694 | |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 17,218 | 17,724 | |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 4,300 | 4,494 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 134,350 | 138,989 | |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 3,594 | 3,779 | |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 2,340 | 2,357 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 68,100 | 69,292 | |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 10,333 | 10,679 | |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 68,600 | 72,352 | |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 51,500 | 53,142 | |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 15,050 | 15,407 | |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 11,300 | 11,660 | |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 43,550 | 46,891 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 42,000 | 44,828 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 3,950 | 3,996 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 3,300 | 4,894 | |
2,538,770 | |||||
Agency Bonds and Notes (4.9%) | |||||
4 | AID-Jordan | 2.578% | 6/30/22 | 24,000 | 25,656 |
5 | Federal Home Loan Banks | 2.000% | 9/9/16 | 7,670 | 7,693 |
5 | Federal Home Loan Banks | 0.625% | 11/23/16 | 19,250 | 19,260 |
5 | Federal Home Loan Banks | 0.750% | 8/28/17 | 36,700 | 36,762 |
5 | Federal Home Loan Banks | 1.000% | 12/19/17 | 2,800 | 2,814 |
5 | Federal Home Loan Banks | 1.125% | 4/25/18 | 8,250 | 8,316 |
5 | Federal Home Loan Banks | 0.875% | 6/29/18 | 21,250 | 21,326 |
5 | Federal Home Loan Banks | 1.375% | 2/18/21 | 40,000 | 40,472 |
6 | Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 4,450 | 4,464 |
6,7 | Federal Home Loan Mortgage Corp. | 0.875% | 6/16/17 | 50,000 | 50,131 |
6 | Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 10,000 | 10,052 |
6 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 24,800 | 24,840 |
6 | Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 1,750 | 1,756 |
6 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 9,500 | 9,511 |
6 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 32,550 | 32,838 |
6 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 4,900 | 4,956 |
6 | Federal National Mortgage Assn. | 1.125% | 10/19/18 | 16,200 | 16,344 |
6 | Federal National Mortgage Assn. | 1.125% | 12/14/18 | 29,350 | 29,600 |
6 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 57,350 | 57,645 |
6 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 3,500 | 3,595 |
6 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 5,000 | 5,055 |
6 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 24,000 | 24,710 |
437,796 | |||||
Conventional Mortgage-Backed Securities (24.9%) | |||||
6,7 | Fannie Mae Pool | 2.000% | 5/1/28–8/1/28 | 5,600 | 5,700 |
6,7,8 | Fannie Mae Pool | 2.500% | 4/1/28–2/1/43 | 57,400 | 59,406 |
6,7,8 | Fannie Mae Pool | 3.000% | 5/1/27–8/1/46 | 207,518 | 216,810 |
6,7 | Fannie Mae Pool | 3.500% | 8/1/20–7/1/46 | 236,178 | 251,062 |
6,7,8 | Fannie Mae Pool | 4.000% | 7/1/18–7/1/46 | 209,463 | 225,771 |
6,7 | Fannie Mae Pool | 4.500% | 10/1/17–7/1/46 | 81,587 | 89,258 |
6,7 | Fannie Mae Pool | 5.000% | 12/1/16–11/1/44 | 53,164 | 59,124 |
6,7 | Fannie Mae Pool | 5.500% | 1/1/17–6/1/40 | 35,322 | 39,629 |
6,7 | Fannie Mae Pool | 6.000% | 12/1/16–11/1/39 | 19,534 | 22,304 |
6,7 | Fannie Mae Pool | 6.500% | 9/1/16–8/1/39 | 11,179 | 12,816 |
6,7 | Fannie Mae Pool | 7.000% | 9/1/28–9/1/38 | 5,028 | 5,763 |
6,7 | Fannie Mae Pool | 7.500% | 8/1/30–6/1/32 | 432 | 480 |
6,7 | Fannie Mae Pool | 8.000% | 7/1/30–1/1/31 | 21 | 23 |
6,7 | Fannie Mae Pool | 8.500% | 12/1/30 | 10 | 12 |
6,7 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 6,717 | 6,829 |
6,7,8 | Freddie Mac Gold Pool | 2.500% | 9/1/27–4/1/43 | 58,617 | 60,507 |
6,7,8 | Freddie Mac Gold Pool | 3.000% | 8/1/26–8/1/46 | 111,037 | 115,702 |
6,7 | Freddie Mac Gold Pool | 3.500% | 8/1/20–3/1/46 | 185,803 | 197,104 |
6,7 | Freddie Mac Gold Pool | 4.000% | 5/1/18–1/1/46 | 54,506 | 58,544 |
6,7 | Freddie Mac Gold Pool | 4.500% | 10/1/18–12/1/45 | 37,796 | 41,184 |
6,7 | Freddie Mac Gold Pool | 5.000% | 12/1/17–4/1/41 | 17,214 | 18,745 |
6,7 | Freddie Mac Gold Pool | 5.500% | 9/1/17–8/1/46 | 14,223 | 16,034 |
6,7 | Freddie Mac Gold Pool | 6.000% | 7/1/20–5/1/40 | 28,148 | 32,270 |
6,7 | Freddie Mac Gold Pool | 6.500% | 7/1/16–9/1/38 | 6,352 | 7,310 |
6,7 | Freddie Mac Gold Pool | 7.000% | 8/1/16–6/1/38 | 3,180 | 3,649 |
6,7 | Freddie Mac Gold Pool | 7.500% | 3/1/30–5/1/32 | 336 | 384 |
6,7 | Freddie Mac Gold Pool | 8.000% | 4/1/30–1/1/31 | 30 | 33 |
7 | Ginnie Mae I Pool | 2.500% | 1/15/43–6/15/43 | 1,233 | 1,257 |
7 | Ginnie Mae I Pool | 3.000% | 9/15/42–8/15/45 | 20,487 | 21,438 |
7 | Ginnie Mae I Pool | 3.500% | 1/15/42–7/15/45 | 17,425 | 18,537 |
7,8 | Ginnie Mae I Pool | 4.000% | 4/15/39–7/1/46 | 20,535 | 22,071 |
7,8 | Ginnie Mae I Pool | 4.500% | 2/15/39–8/1/46 | 42,894 | 47,575 |
7 | Ginnie Mae I Pool | 5.000% | 2/15/33–7/1/46 | 19,504 | 22,115 |
7 | Ginnie Mae I Pool | 5.500% | 3/15/31–7/15/40 | 11,045 | 12,530 |
7 | Ginnie Mae I Pool | 6.000% | 2/15/17–3/15/40 | 5,340 | 6,112 |
7 | Ginnie Mae I Pool | 6.500% | 12/15/27–6/15/38 | 5,050 | 5,743 |
7 | Ginnie Mae I Pool | 7.000% | 8/15/24–11/15/31 | 308 | 338 |
7 | Ginnie Mae I Pool | 7.500% | 4/15/17–3/15/32 | 52 | 59 |
7 | Ginnie Mae I Pool | 8.000% | 4/15/30–10/15/30 | 58 | 66 |
7 | Ginnie Mae I Pool | 8.500% | 7/15/30 | 22 | 23 |
7 | Ginnie Mae I Pool | 9.000% | 1/15/20–7/15/21 | 4 | 5 |
7 | Ginnie Mae II Pool | 2.500% | 3/20/43–4/20/43 | 4,002 | 4,119 |
7,8 | Ginnie Mae II Pool | 3.000% | 6/20/43–8/1/46 | 98,474 | 102,956 |
7,8 | Ginnie Mae II Pool | 3.500% | 8/20/42–8/1/46 | 223,151 | 237,620 |
7 | Ginnie Mae II Pool | 4.000% | 2/20/34–8/1/46 | 104,384 | 111,849 |
7 | Ginnie Mae II Pool | 4.500% | 3/20/33–2/20/46 | 35,001 | 37,700 |
7 | Ginnie Mae II Pool | 5.000% | 5/20/39–8/1/46 | 20,840 | 22,857 |
7 | Ginnie Mae II Pool | 5.500% | 4/20/37–3/20/41 | 5,378 | 5,943 |
7 | Ginnie Mae II Pool | 6.000% | 5/20/36–10/20/41 | 8,192 | 9,165 |
7 | Ginnie Mae II Pool | 6.500% | 3/20/38–7/20/39 | 97 | 111 |
2,236,642 | |||||
Nonconventional Mortgage-Backed Securities (0.2%) | |||||
6,7,9 | Fannie Mae Pool | 2.347% | 12/1/32 | 9 | 9 |
6,7,9 | Fannie Mae Pool | 2.465% | 9/1/32 | 1 | 2 |
6,7,9 | Fannie Mae Pool | 2.535% | 8/1/33 | 118 | 124 |
6,7,9 | Fannie Mae Pool | 2.551% | 7/1/33 | 181 | 187 |
6,7,9 | Fannie Mae Pool | 2.781% | 5/1/33 | 77 | 82 |
6,7,9 | Fannie Mae Pool | 3.028% | 5/1/33 | 15 | 16 |
6,7,9 | Freddie Mac Non Gold Pool | 2.500% | 8/1/37 | 102 | 106 |
6,7,9 | Freddie Mac Non Gold Pool | 2.517% | 7/1/35 | 17,529 | 18,543 |
6,7,9 | Freddie Mac Non Gold Pool | 2.825% | 10/1/32 | 29 | 31 |
6,7,9 | Freddie Mac Non Gold Pool | 2.836% | 1/1/33 | 13 | 14 |
6,7,9 | Freddie Mac Non Gold Pool | 3.086% | 2/1/33 | 41 | 42 |
19,156 | |||||
Total U.S. Government and Agency Obligations (Cost $5,141,271) | 5,232,364 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (15.0%) | |||||
7 | Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 1,538 | 1,538 |
7 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 5,000 | 5,002 |
7 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 1,600 | 1,619 |
7 | Ally Auto Receivables Trust 2015-2 | 1.840% | 6/15/20 | 2,920 | 2,965 |
7 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 2,360 | 2,367 |
7,9 | Ally Master Owner Trust Series 2014-1 | 0.912% | 1/15/19 | 2,781 | 2,782 |
7 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 3,230 | 3,234 |
7 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 5,383 | 5,393 |
7 | Ally Master Owner Trust Series 2014-5 | 1.600% | 10/15/19 | 8,920 | 8,957 |
7 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 19,270 | 19,363 |
7,9 | American Express Credit Account Secured | ||||
Note Trust 2013-3 | 0.812% | 12/15/21 | 12,202 | 12,195 | |
7,9 | American Express Issuance Trust II 2013-1 | 0.722% | 2/15/19 | 10,750 | 10,744 |
7,9 | American Express Issuance Trust II 2013-2 | 0.872% | 8/15/19 | 3,317 | 3,326 |
7,10 | Americold 2010 LLC Trust Series 2010-ARTA | 4.954% | 1/14/29 | 5,132 | 5,698 |
10 | Australia & New Zealand Banking Group Ltd. | 2.400% | 11/23/16 | 5,077 | 5,112 |
7,10 | Aventura Mall Trust 2013-AVM | 3.867% | 12/5/32 | 400 | 432 |
7,9 | BA Credit Card Trust 2014-A1 | 0.822% | 6/15/21 | 15,428 | 15,444 |
7 | Banc of America Commercial Mortgage Trust | ||||
2015-UBS7 | 3.705% | 9/15/48 | 715 | 786 | |
7,9,10 Bank of America Student Loan Trust 2010-1A | 1.438% | 2/25/43 | 5,825 | 5,724 | |
10 | Bank of Montreal | 1.750% | 6/15/21 | 3,380 | 3,389 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 4,365 | 4,422 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 10,260 | 10,355 | |
7 | Barclays Dryrock Issuance Trust 2014-3 | 2.410% | 7/15/22 | 9,200 | 9,436 |
7 | Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR13 | 5.533% | 9/11/41 | 971 | 970 | |
7 | Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR16 | 5.910% | 6/11/40 | 9,723 | 9,930 | |
7,9,10 BMW Floorplan Master Owner Trust 2015-1A | 0.942% | 7/15/20 | 6,185 | 6,185 | |
7 | BMW Vehicle Owner Trust 2015-2 | 1.550% | 2/20/19 | 3,160 | 3,156 |
7,9 | Brazos Higher Education Authority Inc. Series | ||||
2005-3 | 0.840% | 6/25/26 | 3,410 | 3,287 | |
7,9 | Brazos Higher Education Authority Inc. Series | ||||
2011-1 | 1.462% | 2/25/30 | 2,205 | 2,161 | |
7 | Cabela's Credit Card Master Note Trust 2015- | ||||
1A | 2.260% | 3/15/23 | 1,430 | 1,465 | |
7,9 | Cabela's Credit Card Master Note Trust 2015- | ||||
2 | 1.112% | 7/17/23 | 3,225 | 3,189 | |
7,9 | Cabela's Credit Card Master Note Trust 2016- | ||||
1 | 0.998% | 6/15/22 | 3,440 | 3,442 | |
10 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 3,120 | 3,206 |
7,9 | Capital One Multi-Asset Execution Trust 2014- | ||||
A3 | 0.822% | 1/18/22 | 11,094 | 11,091 | |
7 | Capital One Multi-Asset Execution Trust 2015- | ||||
A2 | 2.080% | 3/15/23 | 6,480 | 6,675 | |
7 | Capital One Multi-asset Execution Trust 2015- | ||||
A4 | 2.750% | 5/15/25 | 7,765 | 8,222 | |
7 | Capital One Multi-asset Execution Trust 2015- | ||||
A8 | 2.050% | 8/15/23 | 11,390 | 11,608 | |
7,9 | Capital One Multi-Asset Execution Trust 2016- | ||||
A1 | 0.900% | 2/15/22 | 33,200 | 33,229 | |
7,9 | Capital One Multi-Asset Execution Trust 2016- | ||||
A2 | 1.066% | 2/15/24 | 2,900 | 2,909 | |
7 | Carmax Auto Owner Trust 2014-4 | 1.810% | 7/15/20 | 2,100 | 2,131 |
7 | Carmax Auto Owner Trust 2015-1 | 1.830% | 7/15/20 | 1,860 | 1,886 |
7 | Carmax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 1,690 | 1,706 |
7 | Carmax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 1,265 | 1,281 |
7 | Carmax Auto Owner Trust 2016-1 | 1.880% | 6/15/21 | 3,080 | 3,114 |
7 | CenterPoint Energy Transition Bond Co. IV | ||||
LLC 2012-1 | 2.161% | 10/15/21 | 5,853 | 5,996 | |
7,10 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.823% | 12/15/47 | 2,054 | 2,440 |
7 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 3,220 | 3,387 |
7 | Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 2,333 | 2,478 |
7,9 | Chase Issuance Trust 2016-A1 | 0.852% | 5/17/21 | 30,978 | 31,031 |
7,10 | Chrysler Capital Auto Receivables Trust 2013- | ||||
AA | 1.340% | 12/17/18 | 2,586 | 2,589 | |
7,10 | Chrysler Capital Auto Receivables Trust 2015- | ||||
BA | 2.260% | 10/15/20 | 2,790 | 2,828 | |
7,10 | Chrysler Capital Auto Receivables Trust 2016- | ||||
AA | 1.960% | 1/18/22 | 5,360 | 5,403 | |
7,10 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 616 | 616 |
7,9 | Citibank Credit Card Issuance Trust 2008-A7 | 1.823% | 5/20/20 | 3,898 | 3,971 |
7,9 | Citibank Credit Card Issuance Trust 2013-A2 | 0.732% | 5/26/20 | 14,014 | 14,024 |
7,9 | Citibank Credit Card Issuance Trust 2013-A7 | 0.875% | 9/10/20 | 6,379 | 6,395 |
7 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 4,486 | 4,776 |
7 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 11,400 | 11,743 |
7 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 1,743 | 1,748 |
7 | Citigroup Commercial Mortgage Trust 2012- | ||||
GC8 | 3.024% | 9/10/45 | 1,280 | 1,356 | |
7,10 | Citigroup Commercial Mortgage Trust 2012- | ||||
GC8 | 3.683% | 9/10/45 | 400 | 431 | |
7 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC11 | 3.093% | 4/10/46 | 1,309 | 1,383 | |
7 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 3.942% | 9/10/46 | 333 | 361 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC19 | 3.753% | 3/10/47 | 160 | 172 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC19 | 4.023% | 3/10/47 | 4,790 | 5,334 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.477% | 5/10/47 | 65 | 70 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.575% | 5/10/47 | 840 | 914 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.855% | 5/10/47 | 3,658 | 4,038 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.622% | 7/10/47 | 1,380 | 1,504 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.863% | 7/10/47 | 240 | 261 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.372% | 10/10/47 | 480 | 512 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.635% | 10/10/47 | 3,810 | 4,133 | |
7 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC33 | 3.778% | 9/10/58 | 2,670 | 2,938 | |
7 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.209% | 5/10/49 | 120 | 126 |
7 | CNH Equipment Trust 2016-B | 1.970% | 11/15/21 | 3,090 | 3,128 |
7 | CNH Equipment Trust 2041-A | 1.500% | 5/15/20 | 3,409 | 3,415 |
7 | COBALT CMBS Commercial Mortgage Trust | ||||
2007-C2 | 5.484% | 4/15/47 | 5,151 | 5,244 | |
7 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 1,559 | 1,575 |
7 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 6,445 | 6,472 |
7 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 595 | 634 |
7 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 893 | 969 |
7 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 1,221 | 1,280 |
7 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 30 | 32 |
7 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 518 | 540 |
7 | COMM 2012-CR3 Mortgage Trust | 2.822% | 10/15/45 | 1,531 | 1,597 |
7 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 1,835 | 2,053 |
7 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 842 | 947 |
7 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 655 | 701 |
7 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 310 | 340 |
7 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 1,895 | 2,110 |
7 | COMM 2013-CCRE9 Mortgage Trust | 4.375% | 7/10/45 | 3,603 | 4,077 |
7,10 | COMM 2013-CCRE9 Mortgage Trust | 4.399% | 7/10/45 | 2,083 | 2,320 |
7 | COMM 2013-CR13 Mortgage Trust | 4.194% | 11/10/23 | 3,194 | 3,603 |
7,10 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 546 | 588 |
7 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 150 | 169 |
7 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 834 | 878 |
7,10 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 500 | 524 |
7 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 470 | 505 |
7 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 650 | 694 |
7 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 2,470 | 2,667 |
7 | COMM 2014-CR14 Mortgage Trust | 4.236% | 2/10/47 | 593 | 671 |
7 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 1,182 | 1,314 |
7 | COMM 2014-CR17 Mortgage Trust | 4.174% | 5/10/47 | 295 | 326 |
7 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 100 | 106 |
7 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 3,205 | 3,528 |
7 | COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 3,390 | 3,685 |
7 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,375 | 1,523 |
7 | COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 25 | 26 |
7 | COMM 2015-CR22 Mortgage Trust | 3.309% | 3/10/48 | 460 | 487 |
7 | COMM 2015-CR24 Mortgage Trust | 3.445% | 8/10/55 | 310 | 332 |
7 | COMM 2015-CR24 Mortgage Trust | 3.696% | 8/10/55 | 2,450 | 2,677 |
7 | COMM 2015-CR25 Mortgage Trust | 3.759% | 8/10/48 | 850 | 930 |
7 | COMM 2015-CR26 Mortgage Trust | 3.630% | 10/10/48 | 6,500 | 7,031 |
7 | COMM 2015-CR27 Mortgage Trust | 3.612% | 10/10/48 | 4,260 | 4,606 |
10 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 2,602 | 2,650 |
10 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 2,720 | 2,779 |
7 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.718% | 8/15/48 | 1,345 | 1,460 |
7 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.808% | 11/15/48 | 145 | 160 |
7 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 13,138 | 13,348 |
7,9 | Discover Card Execution Note Trust 2013-A1 | 0.742% | 8/17/20 | 3,294 | 3,292 |
7 | Discover Card Execution Note Trust 2014-A4 | 2.120% | 12/15/21 | 6,500 | 6,677 |
7 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 9,500 | 9,816 |
7 | Discover Card Execution Note Trust 2016-A1 | 1.640% | 7/15/21 | 3,200 | 3,247 |
7,9 | Discover Card Execution Note Trust 2016-A2 | 0.982% | 9/15/21 | 3,670 | 3,690 |
10 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 1,198 | 1,201 |
7,10 | Enterprise Fleet Financing LLC Series 2013-2 | 1.510% | 3/20/19 | 799 | 799 |
7,10 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 3,300 | 3,328 |
7,10 | Enterprise Fleet Financing LLC Series 2016-1 | 2.080% | 9/20/21 | 7,640 | 7,641 |
7,9,10 Evergreen Credit Card Trust 2016-1A | 1.162% | 4/15/20 | 36,000 | 36,013 | |
7 | Fifth Third Auto 2013-1 | 1.300% | 2/18/20 | 8,361 | 8,369 |
7,9 | First National Master Note Trust 2013-2 | 0.972% | 10/15/19 | 4,108 | 4,108 |
7,9 | First National Master Note Trust 2015-1 | 1.212% | 9/15/20 | 2,790 | 2,798 |
7 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 1,450 | 1,454 |
7 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 2,285 | 2,289 |
7 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 5,790 | 5,823 |
7,10 | Ford Credit Auto Owner Trust 2014-1 | 2.260% | 11/15/25 | 4,089 | 4,174 |
7,10 | Ford Credit Auto Owner Trust 2015-2 | 2.440% | 1/15/27 | 9,700 | 9,988 |
7 | Ford Credit Auto Owner Trust 2015-C | 1.740% | 2/15/21 | 4,455 | 4,498 |
7,10 | Ford Credit Auto Owner Trust 2016-1 | 2.310% | 8/15/27 | 11,910 | 12,211 |
7,10 | Ford Credit Auto Owner Trust 2016-2 | 2.030% | 12/15/27 | 12,230 | 12,301 |
7 | Ford Credit Auto Owner Trust 2016-B | 1.520% | 8/15/21 | 4,510 | 4,535 |
7,9 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 0.942% | 2/15/21 | 6,191 | 6,167 | |
7,9 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-2 | 1.012% | 1/15/22 | 7,310 | 7,288 |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-2 | 1.980% | 1/15/22 | 8,705 | 8,797 | |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-5 | 2.390% | 8/15/22 | 9,340 | 9,577 | |
7,9 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.342% | 2/15/21 | 11,720 | 11,786 | |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.760% | 2/15/21 | 13,270 | 13,334 | |
7 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-2 | 2.220% | 1/15/22 | 2,986 | 3,030 | |
7,9 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-3 | 0.892% | 3/15/20 | 23,000 | 23,009 | |
7 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-6 | 1.360% | 8/17/20 | 8,481 | 8,471 | |
7,9 | GE Dealer Floorplan Master Note Trust Series | ||||
2012-2 | 1.198% | 4/22/19 | 6,570 | 6,581 | |
7,9 | GE Dealer Floorplan Master Note Trust Series | ||||
2014-1 | 0.828% | 7/20/19 | 9,800 | 9,772 | |
7,9 | GE Dealer Floorplan Master Note Trust Series | ||||
2014-2 | 0.898% | 10/20/19 | 2,600 | 2,594 | |
7,9 | GE Dealer Floorplan Master Note Trust Series | ||||
2015-2 | 1.098% | 1/20/22 | 12,080 | 12,024 | |
7,10 | GM Financial Leasing Trust 2014-1A | 1.300% | 5/21/18 | 1,920 | 1,921 |
7 | GM Financial Leasing Trust 2015-1 | 1.730% | 6/20/19 | 950 | 952 |
7 | GM Financial Leasing Trust 2015-3 | 1.690% | 3/20/19 | 3,880 | 3,910 |
7 | GM Financial Leasing Trust 2015-3 | 1.810% | 11/20/19 | 400 | 402 |
7 | GM Financial Leasing Trust 2016-1 | 1.790% | 3/20/20 | 7,100 | 7,109 |
7 | GM Financial Leasing Trust 2016-2 | 1.620% | 9/20/19 | 21,390 | 21,503 |
7 | GM Financial Leasing Trust 2016-2 | 1.760% | 3/20/20 | 5,010 | 5,041 |
7,9,10 GMF Floorplan Owner Revolving Trust 2016-1 | 1.292% | 5/17/21 | 10,260 | 10,225 | |
7,10 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 8,041 | 8,059 |
7,9,10 Golden Credit Card Trust 2014-2A | 0.892% | 3/15/21 | 2,921 | 2,899 | |
7,10 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 930 | 929 |
7,10 | Great America Leasing Receivables 2014-1 | 1.470% | 8/15/20 | 1,077 | 1,076 |
7,10 | Great America Leasing Receivables 2016-1 | 1.990% | 4/20/22 | 3,770 | 3,778 |
7 | GS Mortgage Securities Trust 2006-GG8 | 5.560% | 11/10/39 | 2,802 | 2,798 |
7,10 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 233 | 264 |
7 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 899 | 957 |
7 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 4,835 | 5,382 |
7 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 280 | 304 |
7 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 1,470 | 1,618 |
7 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 6,080 | 6,563 |
7 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 2,239 | 2,236 |
7 | Harley-Davidson Motorcycle Trust 2014-1 | 1.550% | 10/15/21 | 2,692 | 2,686 |
7,10 | Hertz Vehicle Financing LLC 2015-3 | 2.670% | 9/25/21 | 5,580 | 5,713 |
7,10 | Hertz Vehicle Financing LLC 2016-2 | 2.950% | 3/25/22 | 6,970 | 7,162 |
7,10 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 7,110 | 7,164 |
7,10 | Hertz Vehicle Financing LLC 2016-4 | 2.650% | 7/25/22 | 8,470 | 8,533 |
7,10 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 699 | 702 |
7 | Honda Auto Receivables 2014-4 Owner Trust | 1.460% | 10/15/20 | 930 | 930 |
7 | Honda Auto Receivables 2015-4 Owner Trust | 1.440% | 1/21/22 | 6,140 | 6,159 |
7,10 | Hyundai Auto Lease Securitization Trust 2014- | ||||
A | 1.010% | 9/15/17 | 987 | 987 | |
7,10 | Hyundai Auto Lease Securitization Trust 2016- | ||||
A | 1.800% | 12/16/19 | 2,590 | 2,601 | |
7,10 | Hyundai Auto Lease Securitization Trust 2016- | ||||
B | 1.680% | 4/15/20 | 4,110 | 4,120 |
7 | Hyundai Auto Receivables Trust 2015-C | 1.780% | 11/15/21 | 2,910 | 2,944 |
7,10 | Hyundai Floorplan Master Owner Trust Series | ||||
2016-1A | 1.810% | 3/15/21 | 2,090 | 2,099 | |
9 | Illinois Student Assistance Commission Series | ||||
2010-1 | 1.688% | 4/25/22 | 1,627 | 1,629 | |
7,10 | Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 1,906 | 2,027 |
7 | John Deere Owner Trust 2015-B | 1.780% | 6/15/22 | 480 | 485 |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP10 | 5.439% | 1/15/49 | 2,722 | 2,766 | |
7,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.717% | 2/15/46 | 2,819 | 3,130 | |
7,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C5 | 5.494% | 8/15/46 | 833 | 956 | |
7,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 8,782 | 9,806 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 425 | 460 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 944 | 987 | |
7,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 3.424% | 10/15/45 | 833 | 877 | |
7,10 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 1,548 | 1,625 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 3.994% | 1/15/46 | 2,453 | 2,731 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 452 | 491 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 100 | 111 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 1,120 | 1,262 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 1,676 | 1,758 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 3.363% | 7/15/45 | 1,310 | 1,408 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 3.664% | 7/15/45 | 2,680 | 2,931 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C12 | 4.161% | 7/15/45 | 1,309 | 1,433 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C14 | 3.761% | 8/15/46 | 358 | 389 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C14 | 4.133% | 8/15/46 | 270 | 304 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C15 | 3.659% | 11/15/45 | 179 | 194 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2013-C17 | 4.199% | 1/15/47 | 3,606 | 4,075 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C18 | 4.079% | 2/15/47 | 2,232 | 2,500 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C18 | 4.439% | 2/15/47 | 402 | 448 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C21 | 3.428% | 8/15/47 | 580 | 623 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2014-C24 | 3.639% | 11/15/47 | 970 | 1,056 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C32 | 3.598% | 11/15/48 | 4,280 | 4,646 |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C33 | 3.562% | 12/15/48 | 155 | 168 | |
7 | JPMBB Commercial Mortgage Securities Trust | ||||
2015-C33 | 3.770% | 12/15/48 | 2,430 | 2,673 | |
7,9,10 Lanark Master Issuer plc 2013-1A | 1.154% | 12/22/54 | 5,403 | 5,396 | |
7 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 2,492 | 2,494 |
7 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 2,861 | 2,865 |
7 | LB-UBS Commercial Mortgage Trust 2008-C1 | 6.248% | 4/15/41 | 7,580 | 7,957 |
7,10 | M&T Bank Auto Receivables Trust 2013-1A | 1.570% | 8/15/18 | 3,123 | 3,131 |
7,9,10 Master Credit Card Trust 2016-1A | 1.198% | 9/23/19 | 10,790 | 10,805 | |
7,9 | MBNA Credit Card Master Note Trust 2004-A3 | 0.702% | 8/16/21 | 15,215 | 15,142 |
7 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 2,670 | 2,686 |
7 | Mercedes-Benz Auto Lease Trust 2016-A | 1.690% | 11/15/21 | 5,400 | 5,419 |
7,9,10 Mercedes-Benz Master Owner Trust 2016-B | 1.142% | 5/17/21 | 12,000 | 12,005 | |
7 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 1,616 | 1,614 |
7,10 | MMAF Equipment Finance LLC 2011-A | 2.100% | 7/15/17 | 49 | 49 |
7,10 | MMAF Equipment Finance LLC 2011-A | 3.040% | 8/15/28 | 6,271 | 6,326 |
7,10 | MMAF Equipment Finance LLC 2012-A | 1.680% | 5/11/20 | 1,732 | 1,745 |
7,10 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 599 | 606 |
7,10 | MMAF Equipment Finance LLC 2012-A | 2.570% | 6/9/33 | 895 | 923 |
7,10 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 5,240 | 5,294 |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.176% | 8/15/45 | 2,328 | 2,468 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.792% | 8/15/45 | 416 | 447 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C6 | 2.858% | 11/15/45 | 1,132 | 1,184 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C10 | 4.219% | 7/15/46 | 4,581 | 5,128 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.960% | 8/15/46 | 880 | 980 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.360% | 8/15/46 | 350 | 397 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 3.824% | 10/15/46 | 375 | 408 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 4.259% | 10/15/46 | 130 | 147 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.039% | 11/15/46 | 75 | 84 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.064% | 2/15/47 | 358 | 401 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.384% | 2/15/47 | 179 | 199 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C15 | 4.051% | 4/15/47 | 4,350 | 4,862 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.892% | 6/15/47 | 2,464 | 2,721 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.094% | 6/15/47 | 295 | 323 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C22 | 3.306% | 4/15/48 | 1,090 | 1,143 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.719% | 7/15/50 | 2,800 | 3,066 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.383% | 10/15/48 | 2,640 | 2,807 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.635% | 10/15/48 | 4,345 | 4,743 |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C29 | 3.325% | 5/15/49 | 1,500 | 1,595 | |
7 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 1,759 | 1,768 |
7,10 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 1,982 | 2,097 |
7 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 1,760 | 1,919 |
10 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 13,870 | 14,236 |
7,9 | Navient Student Loan Trust 2014-8 | 0.893% | 4/25/23 | 8,100 | 7,998 |
7,9 | Navient Student Loan Trust 2015-3 | 1.103% | 6/26/56 | 4,800 | 4,575 |
7,9,10 Navient Student Loan Trust 2016-2 | 1.503% | 6/25/65 | 1,450 | 1,456 | |
7,9,10 Navient Student Loan Trust 2016-3 | 1.457% | 6/25/65 | 1,880 | 1,874 | |
7,10 | NextGear Floorplan Master Owner Trust 2016- | ||||
1A | 2.740% | 4/15/21 | 2,950 | 2,973 | |
7 | Nissan Auto Lease Trust 2014-A | 1.040% | 10/15/19 | 4,486 | 4,486 |
7 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 875 | 880 |
7 | Nissan Auto Lease Trust 2016-A | 1.650% | 10/15/21 | 14,700 | 14,763 |
7 | Nissan Auto Receivables 2015-B Owner Trust | 1.500% | 9/15/21 | 6,990 | 7,041 |
7 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 775 | 789 |
7 | Nissan Auto Receivables 2015-C Owner Trust | 1.670% | 2/15/22 | 15,000 | 15,166 |
7 | Nissan Auto Receivables 2016-A Owner Trust | 1.590% | 7/15/22 | 9,120 | 9,231 |
7 | Nissan Auto Receivables 2016-B Owner Trust | 1.540% | 10/17/22 | 2,910 | 2,926 |
7 | Nissan Master Owner Trust Receivables | ||||
Series 2015-A | 1.440% | 1/15/20 | 7,500 | 7,525 | |
10 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 3,200 | 3,252 |
9 | North Carolina State Education Assistance | ||||
Authority 2011-1 | 1.538% | 1/26/26 | 1,005 | 1,004 | |
7,10 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 840 | 852 |
Royal Bank of Canada | 2.200% | 9/23/19 | 3,072 | 3,148 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 4,360 | 4,455 | |
7 | Royal Bank of Canada | 1.875% | 2/5/21 | 4,800 | 4,862 |
Royal Bank of Canada | 2.300% | 3/22/21 | 2,903 | 2,987 | |
7,9 | SLM Student Loan Trust 2005-5 | 0.738% | 4/25/25 | 9,026 | 8,928 |
7,9 | SLM Student Loan Trust 2014-1 | 0.833% | 7/26/21 | 4,450 | 4,431 |
7 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 684 | 683 |
7 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 963 | 961 |
7 | SMART ABS Series 2014-1US Trust | 1.680% | 12/14/19 | 269 | 269 |
10 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 998 | 999 |
7,10 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 5,077 | 5,133 |
10 | Swedbank Hypotek AB | 1.375% | 3/28/18 | 1,131 | 1,135 |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-1 | 2.370% | 3/15/23 | 2,955 | 3,054 | |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-2 | 1.600% | 4/15/21 | 3,500 | 3,517 | |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-3 | 2.380% | 9/15/23 | 6,363 | 6,549 | |
7 | Synchrony Credit Card Master Note Trust | ||||
2016-2 | 2.210% | 5/15/24 | 5,840 | 5,941 | |
7 | Toyota Auto Receivables 2015-6 Owner Trust | 1.520% | 8/16/21 | 2,470 | 2,487 |
7,9,10 Trillium Credit Card Trust II 2016-1A | 1.185% | 5/26/21 | 23,940 | 23,946 | |
7 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 244 | 269 |
7,10 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 3,870 | 4,155 |
7 | UBS-Barclays Commercial Mortgage Trust | ||||
2012-C4 | 2.850% | 12/10/45 | 1,340 | 1,402 | |
7,10 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 2,470 | 2,595 |
7 | Volkswagen Auto Lease Trust 2014-A | 0.990% | 7/20/18 | 2,153 | 2,151 |
7,10 | Volkswagen Credit Auto Master Owner Trust | ||||
2014-1A | 1.400% | 7/22/19 | 1,300 | 1,284 |
7,10 | Volvo Financial Equipment LLC Series 2016- | ||||
1A | 1.890% | 9/15/20 | 1,280 | 1,293 | |
7 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C29 | 5.297% | 11/15/48 | 3,238 | 3,267 | |
7 | Wells Fargo Commercial Mortgage Trust 2012- | ||||
LC5 | 2.918% | 10/15/45 | 863 | 905 | |
7 | Wells Fargo Commercial Mortgage Trust 2012- | ||||
LC5 | 3.539% | 10/15/45 | 327 | 350 | |
7 | Wells Fargo Commercial Mortgage Trust 2013- | ||||
LC12 | 3.928% | 7/15/46 | 416 | 455 | |
7 | Wells Fargo Commercial Mortgage Trust 2013- | ||||
LC12 | 4.218% | 7/15/46 | 290 | 326 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C26 | 2.991% | 2/15/48 | 90 | 94 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C26 | 3.166% | 2/15/48 | 215 | 226 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C29 | 3.400% | 6/15/48 | 550 | 587 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C29 | 3.637% | 6/15/48 | 7,270 | 7,842 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C30 | 3.411% | 9/15/58 | 3,100 | 3,327 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
C30 | 3.664% | 9/15/58 | 1,870 | 2,042 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
LC22 | 3.839% | 9/15/58 | 3,340 | 3,693 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
SG1 | 3.556% | 12/15/47 | 240 | 258 | |
7 | Wells Fargo Commercial Mortgage Trust 2015- | ||||
SG1 | 3.789% | 12/15/47 | 720 | 791 | |
10 | Westpac Banking Corp. | 2.450% | 11/28/16 | 4,837 | 4,866 |
10 | Westpac Banking Corp. | 1.850% | 11/26/18 | 1,028 | 1,041 |
10 | Westpac Banking Corp. | 2.000% | 3/3/20 | 3,280 | 3,339 |
10 | Westpac Banking Corp. | 2.250% | 11/9/20 | 3,460 | 3,545 |
10 | Westpac Banking Corp. | 2.100% | 2/25/21 | 5,260 | 5,355 |
7,10 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 1,221 | 1,354 |
7 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 1,072 | 1,159 |
7 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 610 | 669 |
7 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 208 | 220 |
7 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 2,428 | 2,549 |
7 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 566 | 600 |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 3.720% | 8/15/46 | 476 | 513 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 4.153% | 8/15/46 | 225 | 253 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C17 | 3.558% | 12/15/46 | 161 | 173 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 3.676% | 12/15/46 | 595 | 643 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 4.162% | 12/15/46 | 1,488 | 1,673 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C14 | 3.766% | 3/15/47 | 60 | 66 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 4.101% | 3/15/47 | 971 | 1,086 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C23 | 3.917% | 10/15/57 | 775 | 859 |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C24 | 3.607% | 11/15/47 | 2,010 | 2,181 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 3.522% | 3/15/47 | 140 | 150 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 4.045% | 3/15/47 | 1,272 | 1,417 | |
7 | World Financial Network Credit Card Master | ||||
Note Trust Series 2013-A | 1.610% | 12/15/21 | 1,732 | 1,741 | |
7,9 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-A | 0.922% | 2/15/22 | 2,585 | 2,585 | |
7 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-B | 2.550% | 6/17/24 | 1,330 | 1,371 | |
7 | World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 1,953 | 1,960 |
7 | World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 3,360 | 3,374 |
7 | World Omni Auto Receivables Trust 2015-B | 1.840% | 1/17/22 | 15,000 | 15,157 |
7 | World Omni Auto Receivables Trust 2016-A | 1.770% | 9/15/21 | 1,390 | 1,411 |
7 | World Omni Automobile Lease Securitization | ||||
Trust 2015-A | 1.730% | 12/15/20 | 850 | 849 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,331,159) | 1,350,469 | ||||
Corporate Bonds (21.5%) | |||||
Finance (10.6%) | |||||
Banking (8.7%) | |||||
10 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 5,390 | 5,525 |
American Express Bank FSB | 6.000% | 9/13/17 | 1,000 | 1,055 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 1,731 | 1,827 | |
American Express Credit Corp. | 1.875% | 11/5/18 | 4,107 | 4,154 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 1,800 | 1,839 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 4,900 | 5,013 | |
10 | ANZ New Zealand International Ltd. | 2.750% | 2/3/21 | 4,050 | 4,157 |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 3,640 | 3,691 | |
10 | Australia & New Zealand Banking Group Ltd. | 4.500% | 3/19/24 | 2,270 | 2,365 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 2,880 | 2,905 | |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 3,770 | 4,159 | |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 590 | 603 | |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 1,246 | 1,293 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 2,000 | 2,207 | |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 3,685 | 3,745 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 1,890 | 2,038 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 600 | 633 | |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 3,685 | 3,808 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 11,910 | 12,101 | |
Bank of Nova Scotia | 4.375% | 1/13/21 | 4,490 | 4,997 | |
Bank of Nova Scotia | 2.450% | 3/22/21 | 6,935 | 7,131 | |
10 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.750% | 9/14/20 | 4,192 | 4,333 |
10 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 7,230 | 7,477 |
10 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 8,860 | 9,035 |
BB&T Corp. | 2.050% | 6/19/18 | 3,798 | 3,860 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 7,190 | 7,640 | |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 5,050 | 5,502 | |
BNP Paribas SA | 1.375% | 3/17/17 | 1,800 | 1,809 | |
BNP Paribas SA | 2.700% | 8/20/18 | 3,590 | 3,678 | |
BNP Paribas SA | 2.400% | 12/12/18 | 5,350 | 5,459 | |
BPCE SA | 2.500% | 12/10/18 | 7,485 | 7,637 | |
BPCE SA | 2.500% | 7/15/19 | 2,225 | 2,274 | |
BPCE SA | 2.650% | 2/3/21 | 2,550 | 2,617 | |
BPCE SA | 4.000% | 4/15/24 | 5,750 | 6,298 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 1,525 | 1,619 |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 990 | 997 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 9,260 | 9,478 | |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 710 | 715 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 2,000 | 2,044 | |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 6,329 | 6,431 | |
10 | Commonwealth Bank of Australia | 5.000% | 3/19/20 | 2,970 | 3,311 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 1,355 | 1,382 | |
10 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 3,125 | 3,275 |
10 | Commonwealth Bank of Australia | 2.850% | 5/18/26 | 6,625 | 6,719 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 2,380 | 2,427 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 1,960 | 1,989 | |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 2,020 | 2,070 | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 4,187 | 4,562 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 10,840 | 11,451 | |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 1,292 | 1,352 | |
Credit Suisse AG | 2.300% | 5/28/19 | 5,990 | 6,070 | |
Credit Suisse AG | 3.000% | 10/29/21 | 3,000 | 3,069 | |
Credit Suisse AG | 3.625% | 9/9/24 | 2,800 | 2,888 | |
10 | Danske Bank A/S | 2.750% | 9/17/20 | 1,105 | 1,127 |
10 | Danske Bank A/S | 2.800% | 3/10/21 | 6,584 | 6,826 |
Fifth Third Bank | 2.300% | 3/15/19 | 1,360 | 1,388 | |
Fifth Third Bank | 2.250% | 6/14/21 | 5,364 | 5,448 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 13,230 | 13,523 | |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 3,165 | 3,608 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 1,200 | 1,352 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 8,970 | 10,403 | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 10,000 | 10,697 | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 1,880 | 1,994 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 11,275 | 11,590 | |
10 | HSBC Bank plc | 1.500% | 5/15/18 | 2,250 | 2,243 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 3,896 | 4,215 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 5,840 | 6,430 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 5,400 | 5,463 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 4,400 | 4,711 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 4,520 | 4,620 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 7,389 | 7,836 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 4,960 | 5,101 | |
HSBC USA Inc. | 2.625% | 9/24/18 | 2,700 | 2,742 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 2,960 | 2,987 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 780 | 790 | |
Huntington National Bank | 2.200% | 11/6/18 | 1,812 | 1,834 | |
10 | ING Bank NV | 2.750% | 3/22/21 | 8,055 | 8,320 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 4,490 | 4,532 | |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 2,400 | 2,414 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 545 | 547 | |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 8,352 | 8,459 | |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 3,995 | 4,417 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 4,475 | 4,596 | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 4,720 | 5,143 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 4,784 | 5,205 | |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 5,165 | 5,268 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 1,500 | 1,526 | |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 2,740 | 3,044 | |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 3,635 | 3,683 | |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 7,155 | 7,870 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 9,891 | 10,972 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 3,140 | 3,281 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 10,053 | 10,387 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 5,337 | 5,364 | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 1,500 | 1,622 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 3,350 | 3,554 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 700 | 715 | |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 6,105 | 6,282 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 3,170 | 3,242 | |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 7,190 | 7,599 | |
KeyBank NA | 1.650% | 2/1/18 | 2,400 | 2,412 | |
KeyBank NA | 2.350% | 3/8/19 | 881 | 900 | |
Lloyds Bank plc | 1.750% | 5/14/18 | 3,080 | 3,071 | |
Lloyds Bank plc | 2.050% | 1/22/19 | 4,160 | 4,134 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 1,960 | 1,973 | |
Lloyds Bank plc | 2.700% | 8/17/20 | 1,545 | 1,576 | |
Lloyds Bank plc | 3.500% | 5/14/25 | 460 | 473 | |
10 | Macquarie Bank Ltd. | 3.900% | 1/15/26 | 5,875 | 6,134 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 6,062 | 6,195 | |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 3,400 | 3,471 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 1,400 | 1,439 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 6,100 | 6,673 | |
10 | Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 4,665 | 4,786 |
Morgan Stanley | 2.500% | 1/24/19 | 4,973 | 5,068 | |
Morgan Stanley | 2.375% | 7/23/19 | 10,356 | 10,528 | |
Morgan Stanley | 5.625% | 9/23/19 | 2,868 | 3,179 | |
Morgan Stanley | 2.650% | 1/27/20 | 2,000 | 2,033 | |
Morgan Stanley | 5.750% | 1/25/21 | 6,800 | 7,762 | |
Morgan Stanley | 2.500% | 4/21/21 | 329 | 332 | |
Morgan Stanley | 3.875% | 4/29/24 | 7,500 | 8,027 | |
Morgan Stanley | 3.875% | 1/27/26 | 2,504 | 2,660 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 6,290 | 6,669 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 1,800 | 1,832 | |
MUFG Union Bank NA | 2.625% | 9/26/18 | 1,460 | 1,492 | |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 3,140 | 3,197 | |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 728 | 739 | |
National Bank of Canada | 2.100% | 12/14/18 | 2,525 | 2,559 | |
10 | Nordea Bank AB | 1.875% | 9/17/18 | 2,440 | 2,468 |
10 | Nordea Bank AB | 2.500% | 9/17/20 | 1,865 | 1,913 |
PNC Bank NA | 2.200% | 1/28/19 | 3,300 | 3,367 | |
PNC Bank NA | 2.450% | 11/5/20 | 1,707 | 1,761 | |
PNC Bank NA | 2.150% | 4/29/21 | 2,233 | 2,278 | |
PNC Bank NA | 2.700% | 11/1/22 | 4,900 | 4,955 | |
PNC Bank NA | 3.300% | 10/30/24 | 1,450 | 1,546 | |
PNC Bank NA | 2.950% | 2/23/25 | 4,610 | 4,808 | |
PNC Bank NA | 3.250% | 6/1/25 | 597 | 630 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 1,200 | 1,242 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 2,550 | 2,852 | |
PNC Funding Corp. | 3.300% | 3/8/22 | 3,590 | 3,820 | |
Royal Bank of Canada | 2.500% | 1/19/21 | 3,710 | 3,845 | |
Santander UK plc | 1.375% | 3/13/17 | 760 | 758 | |
Santander UK plc | 1.650% | 9/29/17 | 4,500 | 4,499 | |
Santander UK plc | 3.050% | 8/23/18 | 3,410 | 3,490 | |
Santander UK plc | 2.500% | 3/14/19 | 3,118 | 3,150 | |
Santander UK plc | 2.350% | 9/10/19 | 3,950 | 3,969 | |
Santander UK plc | 4.000% | 3/13/24 | 1,384 | 1,487 | |
Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 1,220 | 1,262 | |
State Street Corp. | 1.350% | 5/15/18 | 1,800 | 1,810 | |
State Street Corp. | 3.300% | 12/16/24 | 1,790 | 1,926 |
State Street Corp. | 3.550% | 8/18/25 | 2,611 | 2,828 | |
State Street Corp. | 2.650% | 5/19/26 | 5,552 | 5,676 | |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 2,864 | 2,984 | |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 1,296 | 1,420 | |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 610 | 626 | |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 4,610 | 4,736 | |
10 | Swedbank AB | 2.375% | 2/27/19 | 3,770 | 3,848 |
10 | Swedbank AB | 2.650% | 3/10/21 | 3,861 | 4,007 |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 6,580 | 6,809 | |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 9,125 | 9,288 | |
UBS AG | 1.800% | 3/26/18 | 4,000 | 4,035 | |
UBS AG | 2.375% | 8/14/19 | 3,730 | 3,817 | |
US Bancorp | 4.125% | 5/24/21 | 1,350 | 1,502 | |
US Bancorp | 3.100% | 4/27/26 | 1,212 | 1,261 | |
US Bank NA | 1.350% | 1/26/18 | 601 | 605 | |
Wachovia Corp. | 5.750% | 6/15/17 | 3,390 | 3,537 | |
Wachovia Corp. | 5.750% | 2/1/18 | 6,740 | 7,208 | |
Wells Fargo & Co. | 5.625% | 12/11/17 | 7,020 | 7,470 | |
Wells Fargo & Co. | 2.150% | 1/15/19 | 75 | 77 | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 2,400 | 2,454 | |
Wells Fargo & Co. | 2.150% | 1/30/20 | 6,490 | 6,603 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 7,410 | 7,618 | |
Wells Fargo & Co. | 2.550% | 12/7/20 | 6,593 | 6,761 | |
Wells Fargo & Co. | 3.000% | 1/22/21 | 2,240 | 2,345 | |
Wells Fargo & Co. | 4.600% | 4/1/21 | 5,670 | 6,334 | |
Wells Fargo & Co. | 3.450% | 2/13/23 | 7,460 | 7,703 | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 11,193 | 11,712 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 4,700 | 4,810 | |
Wells Fargo & Co. | 3.550% | 9/29/25 | 8,054 | 8,586 | |
Wells Fargo Bank NA | 6.000% | 11/15/17 | 7,190 | 7,648 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 5,575 | 5,686 | |
Westpac Banking Corp. | 1.950% | 11/23/18 | 2,376 | 2,407 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 7,190 | 7,958 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 6,430 | 6,645 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 9,365 | 9,468 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 1,000 | 1,017 | |
Brokerage (0.2%) | |||||
Charles Schwab Corp. | 2.200% | 7/25/18 | 450 | 458 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 1,350 | 1,496 | |
CME Group Inc. | 3.000% | 3/15/25 | 1,340 | 1,395 | |
Invesco Finance plc | 3.125% | 11/30/22 | 4,490 | 4,697 | |
Invesco Finance plc | 3.750% | 1/15/26 | 3,060 | 3,300 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 60 | 63 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,220 | 3,441 | |
Finance Companies (0.3%) | |||||
10 | GE Capital International Funding Co. | 2.342% | 11/15/20 | 15,782 | 16,309 |
10 | GE Capital International Funding Co. | 3.373% | 11/15/25 | 6,433 | 7,020 |
Insurance (1.2%) | |||||
Aetna Inc. | 2.400% | 6/15/21 | 1,145 | 1,169 | |
Aetna Inc. | 2.750% | 11/15/22 | 1,700 | 1,735 | |
Aetna Inc. | 2.800% | 6/15/23 | 2,050 | 2,092 | |
Aetna Inc. | 3.200% | 6/15/26 | 4,415 | 4,530 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 20,850 | 21,540 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 5,970 | 6,260 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 1,680 | 1,757 | |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 3,860 | 4,111 | |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 5,109 | 5,332 | |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 760 | 809 | |
10 | Jackson National Life Global Funding | 4.700% | 6/1/18 | 2,250 | 2,379 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 6,695 | 7,418 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 7,914 | 8,497 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 4,820 | 5,358 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 1,995 | 2,065 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 740 | 768 | |
MetLife Inc. | 3.600% | 4/10/24 | 995 | 1,049 | |
MetLife Inc. | 3.000% | 3/1/25 | 1,500 | 1,514 | |
MetLife Inc. | 3.600% | 11/13/25 | 2,480 | 2,606 | |
10 | Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 3,500 | 3,591 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 2,250 | 2,447 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 1,740 | 1,941 | |
10 | Pricoa Global Funding I | 2.550% | 11/24/20 | 2,130 | 2,197 |
10 | Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 1,270 | 1,311 |
10 | Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 4,580 | 4,641 |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 1,020 | 1,036 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 1,010 | 1,052 | |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 2,080 | 2,226 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 2,700 | 2,802 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 1,290 | 1,416 | |
Real Estate Investment Trusts (0.2%) | |||||
Federal Realty Investment Trust | 3.000% | 8/1/22 | 2,300 | 2,388 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 4,490 | 4,579 | |
Simon Property Group LP | 5.650% | 2/1/20 | 3,860 | 4,370 | |
Simon Property Group LP | 2.500% | 9/1/20 | 727 | 752 | |
Simon Property Group LP | 4.375% | 3/1/21 | 4,400 | 4,895 | |
Simon Property Group LP | 3.750% | 2/1/24 | 2,661 | 2,909 | |
Simon Property Group LP | 3.500% | 9/1/25 | 891 | 956 | |
Simon Property Group LP | 3.300% | 1/15/26 | 894 | 952 | |
949,952 | |||||
Industrial (9.8%) | |||||
Basic Industry (0.3%) | |||||
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,100 | 1,174 | |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 1,040 | 1,074 | |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 1,070 | 1,101 | |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 5,885 | 6,217 | |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 4,620 | 4,799 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 5,570 | 6,075 | |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 545 | 670 | |
Praxair Inc. | 3.000% | 9/1/21 | 3,600 | 3,839 | |
Praxair Inc. | 2.450% | 2/15/22 | 2,455 | 2,547 | |
Praxair Inc. | 2.200% | 8/15/22 | 1,120 | 1,145 | |
Praxair Inc. | 2.650% | 2/5/25 | 1,015 | 1,053 | |
Sherwin-Williams Co. | 3.450% | 8/1/25 | 900 | 934 | |
Capital Goods (1.4%) | |||||
10 | Airbus Group Finance BV | 2.700% | 4/17/23 | 9,486 | 9,836 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 6,000 | 6,301 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 7,070 | 7,544 | |
Caterpillar Inc. | 2.600% | 6/26/22 | 1,250 | 1,290 | |
Caterpillar Inc. | 3.400% | 5/15/24 | 2,625 | 2,823 | |
Deere & Co. | 2.600% | 6/8/22 | 5,220 | 5,385 |
Dover Corp. | 3.150% | 11/15/25 | 1,825 | 1,935 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 1,441 | 1,651 | |
General Electric Capital Corp. | 5.500% | 1/8/20 | 4,137 | 4,708 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 961 | 991 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 391 | 452 | |
General Electric Capital Corp. | 4.375% | 9/16/20 | 1,604 | 1,791 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 12,962 | 14,703 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 1,286 | 1,486 | |
General Electric Capital Corp. | 4.650% | 10/17/21 | 7,785 | 8,912 | |
General Electric Capital Corp. | 3.150% | 9/7/22 | 3,306 | 3,548 | |
General Electric Capital Corp. | 3.100% | 1/9/23 | 8,336 | 8,901 | |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 2,650 | 2,916 | |
John Deere Capital Corp. | 2.450% | 9/11/20 | 5,175 | 5,342 | |
John Deere Capital Corp. | 2.800% | 3/4/21 | 3,475 | 3,646 | |
John Deere Capital Corp. | 2.750% | 3/15/22 | 1,980 | 2,049 | |
John Deere Capital Corp. | 2.800% | 1/27/23 | 1,925 | 2,002 | |
John Deere Capital Corp. | 2.800% | 3/6/23 | 10,985 | 11,499 | |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 1,885 | 2,064 | |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 815 | 877 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 4,130 | 4,270 | |
Raytheon Co. | 2.500% | 12/15/22 | 2,520 | 2,623 | |
Raytheon Co. | 3.150% | 12/15/24 | 2,750 | 2,980 | |
Raytheon Co. | 7.000% | 11/1/28 | 3,665 | 5,186 | |
Communication (0.7%) | |||||
America Movil SAB de CV | 2.375% | 9/8/16 | 1,335 | 1,336 | |
America Movil SAB de CV | 5.000% | 10/16/19 | 1,800 | 1,968 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 4,800 | 5,306 | |
America Movil SAB de CV | 3.125% | 7/16/22 | 7,364 | 7,532 | |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 1,530 | 2,178 | |
Comcast Corp. | 5.875% | 2/15/18 | 2,100 | 2,262 | |
Comcast Corp. | 5.700% | 5/15/18 | 2,220 | 2,411 | |
Comcast Corp. | 2.850% | 1/15/23 | 2,700 | 2,839 | |
Comcast Corp. | 3.600% | 3/1/24 | 3,600 | 3,946 | |
Comcast Corp. | 3.375% | 2/15/25 | 2,885 | 3,115 | |
Comcast Corp. | 3.375% | 8/15/25 | 1,815 | 1,957 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 8,090 | 9,171 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 6,290 | 7,012 | |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 4,390 | 4,612 | |
Walt Disney Co. | 3.150% | 9/17/25 | 2,500 | 2,739 | |
Walt Disney Co. | 3.000% | 2/13/26 | 1,500 | 1,615 | |
Consumer Cyclical (1.3%) | |||||
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 1,030 | 1,059 | |
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 1,285 | 1,320 | |
American Honda Finance Corp. | 1.600% | 7/13/18 | 700 | 708 | |
American Honda Finance Corp. | 2.250% | 8/15/19 | 6,590 | 6,794 | |
American Honda Finance Corp. | 2.450% | 9/24/20 | 2,225 | 2,311 | |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 475 | 517 | |
10 | BMW US Capital LLC | 2.000% | 4/11/21 | 4,740 | 4,776 |
10 | BMW US Capital LLC | 2.800% | 4/11/26 | 4,915 | 5,041 |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 2,790 | 2,874 | |
Cummins Inc. | 3.650% | 10/1/23 | 1,350 | 1,464 | |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 2,665 | 2,859 | |
Home Depot Inc. | 4.400% | 4/1/21 | 2,030 | 2,287 | |
Home Depot Inc. | 2.625% | 6/1/22 | 2,700 | 2,824 | |
Home Depot Inc. | 3.350% | 9/15/25 | 950 | 1,036 |
Home Depot Inc. | 3.000% | 4/1/26 | 870 | 925 | |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 2,070 | 2,278 | |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 355 | 390 | |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 3,590 | 3,836 | |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 3,775 | 4,213 | |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 775 | 847 | |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 4,200 | 4,279 | |
MasterCard Inc. | 3.375% | 4/1/24 | 1,350 | 1,464 | |
10 | Nissan Motor Acceptance Corp. | 2.550% | 3/8/21 | 5,415 | 5,590 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 740 | 751 | |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 450 | 462 | |
Starbucks Corp. | 2.100% | 2/4/21 | 1,980 | 2,035 | |
Starbucks Corp. | 2.450% | 6/15/26 | 3,645 | 3,685 | |
Target Corp. | 2.500% | 4/15/26 | 1,750 | 1,792 | |
TJX Cos. Inc. | 6.950% | 4/15/19 | 6,740 | 7,786 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 3,150 | 3,329 | |
TJX Cos. Inc. | 2.500% | 5/15/23 | 900 | 938 | |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 500 | 505 | |
Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 600 | 631 | |
VF Corp. | 3.500% | 9/1/21 | 1,900 | 2,064 | |
Visa Inc. | 2.200% | 12/14/20 | 4,465 | 4,599 | |
Visa Inc. | 2.800% | 12/14/22 | 4,465 | 4,697 | |
Visa Inc. | 3.150% | 12/14/25 | 14,825 | 15,778 | |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 1,365 | 1,493 | |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 1,485 | 1,605 | |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 2,852 | 3,231 | |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 6,290 | 6,554 | |
Consumer Noncyclical (2.1%) | |||||
Altria Group Inc. | 2.850% | 8/9/22 | 9,340 | 9,786 | |
Altria Group Inc. | 4.000% | 1/31/24 | 5,305 | 5,937 | |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 5,840 | 6,224 | |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 970 | 972 | |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 2,050 | 2,094 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 6,300 | 6,528 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 2,355 | 2,388 | |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 11,900 | 12,507 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 27,000 | 28,856 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 1,990 | 2,249 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 2,725 | 2,769 | |
Coca-Cola Co. | 3.300% | 9/1/21 | 3,590 | 3,896 | |
Coca-Cola Co. | 3.200% | 11/1/23 | 1,435 | 1,546 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 2,655 | 2,701 | |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 1,350 | 1,448 | |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 1,200 | 1,222 | |
Covidien International Finance SA | 4.200% | 6/15/20 | 4,126 | 4,547 | |
Danaher Corp. | 3.900% | 6/23/21 | 2,215 | 2,442 | |
Danaher Corp. | 3.350% | 9/15/25 | 6,375 | 7,030 | |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 4,085 | 4,357 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 14,585 | 15,803 | |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 5,185 | 5,539 | |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 6,955 | 7,565 | |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 1,105 | 1,189 | |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 630 | 688 | |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 3,000 | 3,146 | |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 6,500 | 6,800 | |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 2,500 | 2,706 |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 485 | 521 | |
Medtronic Inc. | 5.600% | 3/15/19 | 1,800 | 2,008 | |
Medtronic Inc. | 3.500% | 3/15/25 | 4,400 | 4,812 | |
PepsiCo Inc. | 7.900% | 11/1/18 | 900 | 1,040 | |
PepsiCo Inc. | 4.500% | 1/15/20 | 2,250 | 2,491 | |
PepsiCo Inc. | 3.000% | 8/25/21 | 1,360 | 1,449 | |
PepsiCo Inc. | 3.100% | 7/17/22 | 6,318 | 6,732 | |
PepsiCo Inc. | 2.750% | 3/1/23 | 900 | 942 | |
PepsiCo Inc. | 3.600% | 3/1/24 | 6,536 | 7,184 | |
PepsiCo Inc. | 2.850% | 2/24/26 | 2,615 | 2,738 | |
10 | Roche Holdings Inc. | 2.875% | 9/29/21 | 1,590 | 1,686 |
10 | Roche Holdings Inc. | 3.350% | 9/30/24 | 3,860 | 4,179 |
Energy (1.6%) | |||||
BP Capital Markets plc | 1.375% | 5/10/18 | 1,800 | 1,803 | |
BP Capital Markets plc | 2.241% | 9/26/18 | 3,780 | 3,856 | |
BP Capital Markets plc | 4.750% | 3/10/19 | 7,640 | 8,278 | |
BP Capital Markets plc | 4.500% | 10/1/20 | 4,040 | 4,470 | |
BP Capital Markets plc | 3.561% | 11/1/21 | 6,917 | 7,435 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 915 | 954 | |
BP Capital Markets plc | 3.245% | 5/6/22 | 2,600 | 2,734 | |
BP Capital Markets plc | 2.500% | 11/6/22 | 3,140 | 3,166 | |
BP Capital Markets plc | 2.750% | 5/10/23 | 6,630 | 6,677 | |
BP Capital Markets plc | 3.994% | 9/26/23 | 900 | 974 | |
BP Capital Markets plc | 3.814% | 2/10/24 | 3,590 | 3,849 | |
BP Capital Markets plc | 3.535% | 11/4/24 | 915 | 965 | |
BP Capital Markets plc | 3.119% | 5/4/26 | 1,600 | 1,629 | |
Chevron Corp. | 2.193% | 11/15/19 | 450 | 462 | |
Chevron Corp. | 2.411% | 3/3/22 | 3,290 | 3,353 | |
Chevron Corp. | 2.355% | 12/5/22 | 4,825 | 4,901 | |
Chevron Corp. | 3.191% | 6/24/23 | 8,550 | 9,063 | |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 2,690 | 2,744 | |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 2,685 | 2,778 | |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 1,100 | 1,130 | |
Halliburton Co. | 5.900% | 9/15/18 | 450 | 489 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,250 | 2,258 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 5,815 | 6,377 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 2,695 | 2,821 | |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 1,920 | 1,967 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 1,800 | 1,834 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 3,000 | 3,193 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 250 | 264 | |
10 | Schlumberger Holdings Corp. | 3.625% | 12/21/22 | 6,000 | 6,332 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 3,590 | 3,851 | |
Shell International Finance BV | 4.375% | 3/25/20 | 1,840 | 2,017 | |
Shell International Finance BV | 3.250% | 5/11/25 | 1,800 | 1,883 | |
Shell International Finance BV | 2.875% | 5/10/26 | 9,500 | 9,647 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 2,700 | 2,774 | |
Total Capital International SA | 2.750% | 6/19/21 | 7,190 | 7,477 | |
Total Capital International SA | 2.875% | 2/17/22 | 4,040 | 4,196 | |
Total Capital International SA | 2.700% | 1/25/23 | 1,350 | 1,384 | |
Total Capital SA | 4.450% | 6/24/20 | 8,800 | 9,745 | |
Total Capital SA | 4.125% | 1/28/21 | 805 | 884 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 1,200 | 1,192 |
Other Industrial (0.2%) | ||||
Fluor Corp. | 3.500% | 12/15/24 | 13,795 | 14,736 |
Technology (1.3%) | ||||
Analog Devices Inc. | 3.900% | 12/15/25 | 1,490 | 1,657 |
Apple Inc. | 2.000% | 5/6/20 | 3,705 | 3,797 |
Apple Inc. | 2.250% | 2/23/21 | 1,500 | 1,544 |
Apple Inc. | 2.850% | 5/6/21 | 5,840 | 6,172 |
Apple Inc. | 2.150% | 2/9/22 | 895 | 912 |
Apple Inc. | 2.850% | 2/23/23 | 4,780 | 5,008 |
Apple Inc. | 2.400% | 5/3/23 | 3,590 | 3,659 |
Apple Inc. | 3.450% | 5/6/24 | 5,385 | 5,833 |
Apple Inc. | 2.500% | 2/9/25 | 4,105 | 4,174 |
Apple Inc. | 3.200% | 5/13/25 | 1,360 | 1,440 |
Apple Inc. | 3.250% | 2/23/26 | 6,360 | 6,741 |
Applied Materials Inc. | 2.625% | 10/1/20 | 1,735 | 1,803 |
Applied Materials Inc. | 3.900% | 10/1/25 | 5,447 | 6,046 |
Baidu Inc. | 3.250% | 8/6/18 | 7,075 | 7,254 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 590 | 651 |
Cisco Systems Inc. | 2.950% | 2/28/26 | 4,290 | 4,567 |
EMC Corp. | 2.650% | 6/1/20 | 1,315 | 1,255 |
EMC Corp. | 3.375% | 6/1/23 | 565 | 515 |
Intel Corp. | 2.450% | 7/29/20 | 885 | 919 |
Intel Corp. | 3.300% | 10/1/21 | 6,780 | 7,338 |
Intel Corp. | 3.100% | 7/29/22 | 1,335 | 1,437 |
Intel Corp. | 2.700% | 12/15/22 | 5,390 | 5,656 |
Intel Corp. | 3.700% | 7/29/25 | 5,240 | 5,830 |
Intel Corp. | 2.600% | 5/19/26 | 6,300 | 6,385 |
International Business Machines Corp. | 3.625% | 2/12/24 | 1,800 | 1,965 |
Microsoft Corp. | 2.375% | 2/12/22 | 445 | 460 |
Microsoft Corp. | 2.650% | 11/3/22 | 700 | 730 |
Microsoft Corp. | 2.700% | 2/12/25 | 2,685 | 2,772 |
Microsoft Corp. | 3.125% | 11/3/25 | 985 | 1,053 |
Oracle Corp. | 2.375% | 1/15/19 | 2,920 | 3,006 |
Oracle Corp. | 2.800% | 7/8/21 | 1,345 | 1,412 |
Oracle Corp. | 2.500% | 5/15/22 | 7,025 | 7,190 |
Oracle Corp. | 3.625% | 7/15/23 | 290 | 318 |
Oracle Corp. | 3.400% | 7/8/24 | 4,000 | 4,276 |
Oracle Corp. | 2.950% | 5/15/25 | 1,400 | 1,452 |
QUALCOMM Inc. | 2.250% | 5/20/20 | 2,315 | 2,381 |
Xilinx Inc. | 3.000% | 3/15/21 | 1,390 | 1,456 |
Transportation (0.9%) | ||||
7 American Airlines 2016-1 Class AA Pass | ||||
Through Trust | 3.575% | 1/15/28 | 4,675 | 4,897 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 9,470 | 10,310 |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 5,840 | 6,174 |
Burlington Northern Santa Fe LLC | 6.875% | 12/1/27 | 4,965 | 6,621 |
7 Continental Airlines 2012-2 Class A Pass | ||||
Through Trust | 4.000% | 4/29/26 | 903 | 955 |
7 CSX Transportation Inc. | 6.251% | 1/15/23 | 1,365 | 1,599 |
7 Delta Air Lines 2007-1 Class A Pass Through | ||||
Trust | 6.821% | 2/10/24 | 4,250 | 4,940 |
7 Northwest Airlines 2007-1 Class A Pass | ||||
Through Trust | 7.027% | 5/1/21 | 3,346 | 3,773 |
7 Southwest Airlines Co. 2007-1 Pass Through | ||||
Trust | 6.150% | 2/1/24 | 3,861 | 4,363 |
Union Pacific Corp. | 4.163% | 7/15/22 | 12,740 | 14,349 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 4,555 | 4,769 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 1,340 | 1,479 | |
Union Pacific Corp. | 3.750% | 3/15/24 | 3,770 | 4,188 | |
7 | United Airlines 2013-1 Class A Pass Through | ||||
Trust | 4.300% | 2/15/27 | 1,270 | 1,372 | |
United Airlines 2015-1 Class A Pass Through | |||||
Trust | 3.700% | 6/1/24 | 4,070 | 4,212 | |
7 | United Airlines 2016-1 Class AA Pass Through | ||||
Trust | 3.100% | 7/7/28 | 4,820 | 4,953 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 1,467 | 1,518 | |
884,760 | |||||
Utilities (1.1%) | |||||
Electric (1.0%) | |||||
Alabama Power Co. | 2.800% | 4/1/25 | 2,400 | 2,495 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 1,827 | 1,909 | |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 4,600 | 5,028 | |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 3,375 | 5,218 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 2,500 | 2,703 | |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 3,000 | 3,194 | |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 3,775 | 3,830 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 5,550 | 5,673 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 4,380 | 4,582 | |
Consumers Energy Co. | 3.125% | 8/31/24 | 1,350 | 1,432 | |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 1,300 | 1,374 | |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 2,230 | 2,285 | |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 4,280 | 4,373 | |
Georgia Power Co. | 3.250% | 4/1/26 | 2,795 | 2,969 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 3,326 | 3,557 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 1,350 | 1,487 | |
National Rural Utilities Cooperative Finance | |||||
Corp. | 10.375% | 11/1/18 | 4,242 | 5,121 | |
National Rural Utilities Cooperative Finance | |||||
Corp. | 2.350% | 6/15/20 | 3,500 | 3,615 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 550 | 590 | |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 2,185 | 2,396 | |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 1,980 | 2,155 | |
PacifiCorp | 5.500% | 1/15/19 | 2,665 | 2,938 | |
PacifiCorp | 3.600% | 4/1/24 | 3,600 | 3,955 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 13,616 | 14,563 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 2,045 | 2,048 | |
Natural Gas (0.1%) | |||||
Southern California Gas Co. | 3.150% | 9/15/24 | 5,510 | 5,898 | |
95,388 | |||||
Total Corporate Bonds (Cost $1,859,824) | 1,930,100 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (5.8%) | |||||
10 | Avi Funding Co. Ltd. | 2.850% | 9/16/20 | 9,400 | 9,540 |
10 | Banco del Estado de Chile | 2.000% | 11/9/17 | 1,450 | 1,452 |
10 | Bank Nederlandse Gemeenten NV | 1.375% | 9/27/17 | 2,725 | 2,738 |
10 | Bermuda | 4.854% | 2/6/24 | 2,725 | 2,915 |
Canada | 0.875% | 2/14/17 | 1,825 | 1,827 | |
10 | CDP Financial Inc. | 4.400% | 11/25/19 | 17,160 | 18,878 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 5,860 | 5,865 | |
10 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 800 | 822 |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 7,161 | 7,959 | |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 1,300 | 1,377 |
10 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 2,950 | 3,122 |
Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 970 | 959 | |
11 | Development Bank of Japan Inc. | 2.750% | 9/16/25 | 7,580 | 8,155 |
10,12 Dexia Credit Local SA | 1.250% | 10/18/16 | 2,725 | 2,724 | |
10 | Electricite de France SA | 3.625% | 10/13/25 | 9,110 | 9,509 |
European Investment Bank | 2.125% | 7/15/16 | 3,650 | 3,648 | |
European Investment Bank | 1.750% | 3/15/17 | 5,450 | 5,489 | |
European Investment Bank | 1.625% | 6/15/17 | 2,275 | 2,295 | |
European Investment Bank | 1.625% | 12/15/20 | 35,715 | 36,257 | |
European Investment Bank | 4.000% | 2/16/21 | 9,100 | 10,191 | |
European Investment Bank | 2.500% | 4/15/21 | 7,275 | 7,670 | |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 16,250 | 16,371 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 14,430 | 14,644 | |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 3,935 | 3,950 | |
Export-Import Bank of Korea | 2.250% | 1/21/20 | 5,390 | 5,467 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,550 | 2,770 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 2,000 | 2,236 | |
10 | ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 8,000 | 8,008 |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 1,000 | 1,036 | |
Inter-American Development Bank | 1.125% | 3/15/17 | 2,275 | 2,281 | |
Inter-American Development Bank | 2.375% | 8/15/17 | 2,725 | 2,774 | |
Inter-American Development Bank | 3.875% | 2/14/20 | 4,550 | 5,000 | |
Inter-American Development Bank | 3.000% | 2/21/24 | 3,250 | 3,591 | |
International Bank for Reconstruction & | |||||
Development | 1.000% | 9/15/16 | 4,550 | 4,554 | |
International Bank for Reconstruction & | |||||
Development | 1.375% | 5/24/21 | 18,250 | 18,416 | |
International Finance Corp. | 1.125% | 11/23/16 | 2,900 | 2,905 | |
11 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 2,725 | 2,754 |
11 | Japan Bank for International Cooperation | 2.125% | 2/7/19 | 2,725 | 2,785 |
13 | KFW | 1.250% | 10/5/16 | 4,550 | 4,557 |
13 | KFW | 1.250% | 2/15/17 | 20,000 | 20,074 |
13 | KFW | 1.000% | 6/11/18 | 5,225 | 5,245 |
Korea Development Bank | 4.000% | 9/9/16 | 5,050 | 5,078 | |
Korea Development Bank | 3.250% | 9/20/16 | 2,000 | 2,010 | |
Korea Development Bank | 3.875% | 5/4/17 | 4,000 | 4,092 | |
Korea Development Bank | 3.500% | 8/22/17 | 6,155 | 6,313 | |
Korea Development Bank | 2.500% | 1/13/21 | 4,750 | 4,850 | |
10 | Korea East-West Power Co. Ltd. | 2.500% | 7/16/17 | 2,050 | 2,073 |
Korea East-West Power Co. Ltd. | 2.625% | 11/27/18 | 4,755 | 4,861 | |
10 | Korea Expressway Corp. | 1.625% | 4/28/17 | 4,750 | 4,761 |
10 | Korea Gas Corp. | 2.875% | 7/29/18 | 3,650 | 3,744 |
10 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 4,750 | 4,761 |
13 | Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 4,550 | 4,552 |
13 | Landwirtschaftliche Rentenbank | 2.375% | 9/13/17 | 5,000 | 5,081 |
10 | Municipality Finance plc | 1.125% | 4/17/18 | 2,275 | 2,285 |
10 | Nederlandse Waterschapsbank NV | 1.875% | 3/13/19 | 1,800 | 1,837 |
North American Development Bank | 2.300% | 10/10/18 | 3,750 | 3,829 | |
10 | Ooredoo International Finance Ltd. | 3.375% | 10/14/16 | 900 | 904 |
10 | Province of Alberta | 1.000% | 6/21/17 | 1,825 | 1,828 |
10 | Province of Alberta | 1.750% | 8/26/20 | 1,500 | 1,526 |
Province of Manitoba | 2.100% | 9/6/22 | 1,900 | 1,939 | |
Province of New Brunswick | 2.750% | 6/15/18 | 1,145 | 1,179 | |
Province of Ontario | 1.600% | 9/21/16 | 9,140 | 9,159 | |
Province of Ontario | 1.100% | 10/25/17 | 11,625 | 11,662 | |
Province of Ontario | 1.200% | 2/14/18 | 2,275 | 2,284 | |
Province of Ontario | 3.000% | 7/16/18 | 11,926 | 12,388 |
Province of Ontario | 4.000% | 10/7/19 | 5,475 | 5,953 | |
Province of Ontario | 4.400% | 4/14/20 | 3,175 | 3,528 | |
Province of Ontario | 2.500% | 4/27/26 | 1,135 | 1,170 | |
Quebec | 3.500% | 7/29/20 | 10,575 | 11,461 | |
Quebec | 2.750% | 8/25/21 | 9,225 | 9,754 | |
Quebec | 7.500% | 7/15/23 | 1,335 | 1,785 | |
Quebec | 7.125% | 2/9/24 | 670 | 890 | |
7,10 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 567 | 603 |
7,10 | Ras Laffan Liquefied Natural Gas Co. Ltd. III | 5.832% | 9/30/16 | 285 | 288 |
Republic of Korea | 5.125% | 12/7/16 | 2,275 | 2,316 | |
Republic of Korea | 7.125% | 4/16/19 | 3,175 | 3,680 | |
Republic of Lithuania | 6.125% | 3/9/21 | 3,000 | 3,491 | |
Republic of Poland | 6.375% | 7/15/19 | 15,000 | 16,995 | |
Republic of Poland | 5.125% | 4/21/21 | 10,205 | 11,451 | |
Republic of Poland | 5.000% | 3/23/22 | 6,485 | 7,283 | |
Republic of Poland | 3.250% | 4/6/26 | 7,635 | 7,770 | |
10 | Republic of Slovakia | 4.375% | 5/21/22 | 2,275 | 2,585 |
10 | Sinopec Group Overseas Development 2012 | ||||
Ltd. | 2.750% | 5/17/17 | 1,450 | 1,466 | |
State of Israel | 5.125% | 3/26/19 | 6,825 | 7,507 | |
State of Israel | 2.875% | 3/16/26 | 15,265 | 15,748 | |
10 | State of Qatar | 3.125% | 1/20/17 | 2,275 | 2,299 |
Statoil ASA | 5.250% | 4/15/19 | 4,550 | 5,009 | |
Statoil ASA | 3.150% | 1/23/22 | 7,065 | 7,428 | |
Statoil ASA | 2.450% | 1/17/23 | 1,825 | 1,843 | |
Statoil ASA | 3.700% | 3/1/24 | 6,300 | 6,817 | |
10 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,750 | 1,801 |
Total Sovereign Bonds (Cost $503,348) | 516,727 | ||||
Taxable Municipal Bonds (0.1%) | |||||
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 2.995% | 7/1/20 | 2,050 | 2,143 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-EGSL | 3.220% | 2/1/21 | 2,679 | 2,730 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-ELL | 3.450% | 2/1/22 | 1,433 | 1,479 | |
University of California Revenue | 2.054% | 5/15/18 | 900 | 921 | |
Total Taxable Municipal Bonds (Cost $7,061) | 7,273 | ||||
Shares | |||||
Temporary Cash Investment (3.4%) | |||||
Money Market Fund (3.4%) | |||||
14 | Vanguard Market Liquidity Fund (Cost | ||||
$306,899) | 0.538% | 306,898,592 | 306,899 | ||
Total Investments (104.0%) (Cost $9,149,562) | 9,343,832 | ||||
Other Assets and Liabilities-Net (-4.0%) | (355,914) | ||||
Net Assets (100%) | 8,987,918 |
1 Securities with a value of $2,591,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $773,000 have been segregated as collateral for open over-the-counter swap contracts.
3 Securities with a value of $2,893,000 have been segregated as initial margin for open futures contracts.
4 U.S. government-guaranteed.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 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.
8 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2016.
9 Adjustable-rate security.
10 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $615,509,000, representing 6.8% of net assets.
11 Guaranteed by the Government of Japan.
12 Guaranteed by multiple countries.
13 Guaranteed by the Federal Republic of Germany.
14 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At June 30, 2016, counterparties had deposited in segregated accounts cash of $350,000 in connection with TBA transactions.
C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll
Institutional Intermediate-Term Bond Fund
transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold (Other Assets) or Payables for Investment Securities Purchased (Liabilities).
D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,232,364 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,350,469 | — |
Corporate Bonds | — | 1,930,100 | — |
Sovereign Bonds | — | 516,727 | — |
Taxable Municipal Bonds | — | 7,273 | — |
Temporary Cash Investments | 306,899 | — | — |
Futures Contracts—Assets1 | 396 | — | — |
Futures Contracts—Liabilities1 | (147) | — | — |
Swap Contracts—Assets | 1001 | 437 | — |
Swap Contracts—Liabilities | (50)1 | (51) | — |
Total | 307,198 | 9,037,319 | — |
1 Represents variation margin on the last day of the reporting period. |
E. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and
Institutional Intermediate-Term Bond Fund
clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value Long | Appreciation | ||
Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
2-Year U.S. Treasury Note | September 2016 | 893 | 195,860 | 345 |
5-Year U.S. Treasury Note | September 2016 | 1,525 | 186,300 | 2,236 |
10-Year U.S. Treasury Note | September 2016 | 1,197 | 159,182 | 1,812 |
Ultra 10-Year U.S. Treasury Note | September 2016 | (427) | (62,202) | (970) |
30-Year U.S. Treasury Bond | September 2016 | 38 | 6,549 | 377 |
Ultra Long U.S. Treasury Bond | September 2016 | 4 | 746 | — |
3,800 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized
Institutional Intermediate-Term Bond Fund
dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
At period ended June 30, 2016, the fund had the following open swap contracts:
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody's Rating | ||||||
Federation of | ||||||
Malaysia/N/A | 6/20/21 | BNPSW | 10,500 | 303 | 1.000 | 28 |
Federation of | ||||||
Malaysia/N/A | 6/20/21 | BARC | 3,867 | 112 | 1.000 | 11 |
Institutional Intermediate-Term Bond Fund | ||||||
People's Republic | ||||||
of China/Aa3 | 12/20/20 | JPMC | 6,400 | 82 | 1.000 | 48 |
People's Republic | ||||||
of China/Aa3 | 12/20/20 | GSCM | 3,000 | 56 | 1.000 | 41 |
People's Republic | ||||||
of China/Aa3 | 9/20/20 | BNPSW | 5,000 | 37 | 1.000 | 23 |
People's Republic | ||||||
of China/Aa3 | 9/20/20 | BNPSW | 5,000 | 29 | 1.000 | 14 |
Republic of | ||||||
Chile/Aa3 | 6/20/21 | BNPSW | 1,250 | 4 | 1.000 | 6 |
Republic of | ||||||
Chile/Aa3 | 6/20/21 | JPMC | 7,400 | (18) | 1.000 | (4) |
Republic of | ||||||
Chile/Aa3 | 6/20/21 | BNPSW | 1,250 | (4) | 1.000 | (1) |
Republic of | ||||||
Chile/Aa3 | 12/20/20 | BARC | 8,000 | 107 | 1.000 | 149 |
Republic of | ||||||
Chile/Aa3 | 12/20/20 | JPMC | 5,000 | 91 | 1.000 | 117 |
56,667 | 432 | |||||
Credit Protection Purchased | ||||||
EI du Pont de | ||||||
Nemours & Co. | 12/20/20 | JPMC | 4,015 | 86 | (1.000) | (29) |
Wells Fargo & Co. | 9/20/20 | BOANA | 3,740 | 64 | (1.000) | (17) |
Total | 7,755 | (46) | ||||
386 |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the
reference entity was subject to a credit event.
BARC-—Barclays Bank plc.
BNPSW-—BNP Paribas.
BOANA-—Bank of America, N.A.
GSCM-—Goldman Sachs Bank USA.
JPMC-—JP Morgan Chase Bank.
Centrally Cleared Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Future | Notional | Received | Received | Appreciation | ||
Termination | Effective | Amount | (Paid) | (Paid) | (Depreciation) | |
Date | Date | Clearinghouse | ($000) | (%) | (%) | ($000) |
8/15/17 | NA | LCH | 80,000 | 0.981 | (0.442) 2 | 421 |
9/21/17 | 9/21/161 | CME | 67,883 | (1.250) | 0.0003 | (88) |
3/15/18 | NA | CME | 28,000 | 0.899 | (0.442) 2 | 168 |
9/21/18 | 9/21/161 | CME | 254,551 | 1.500 | (0.000) 3 | 858 |
Institutional Intermediate-Term Bond Fund | ||||||
1/15/19 | NA | CME | 18,000 | (1.549) | 0.442 2 | (422) |
8/15/19 | NA | LCH | 20,000 | (1.524) | 0.442 2 | (530) |
9/21/19 | 9/21/161 | CME | 9,112 | 1.500 | (0.000) 3 | 38 |
8/15/20 | NA | LCH | 50,000 | (1.486) | 0.442 2 | (1,474) |
9/21/20 | 9/21/161 | CME | 69,111 | (1.750) | 0.0003 | (371) |
11/30/20 | 10/5/161 | LCH | 23,550 | (1.338) | 0.0003 | (372) |
9/21/21 | 9/21/161 | CME | 30,043 | (2.000) | 0.0003 | (191) |
Total | (1,963) |
CME-—Chicago Mercantile Exchange.
LCH-—London Clearing House.
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning
on a specified future effective date.
2 Based on one-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on three-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
G. At June 30, 2016, the cost of investment securities for tax purposes was $9,149,562,000. Net unrealized appreciation of investment securities for tax purposes was $194,270,000, consisting of unrealized gains of $203,538,000 on securities that had risen in value since their purchase and $9,268,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Institutional Short-Term Bond Fund
Schedule of Investments | |||||
As of June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (25.6%) | |||||
U.S. Government Securities (5.3%) | |||||
United States Treasury Note/Bond | 0.625% | 6/30/17 | 100,000 | 100,109 | |
1 | United States Treasury Note/Bond | 0.875% | 11/15/17 | 42,247 | 42,425 |
2 | United States Treasury Note/Bond | 0.625% | 11/30/17 | 94,900 | 94,974 |
3 | United States Treasury Note/Bond | 2.250% | 11/30/17 | 27,200 | 27,842 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 20,000 | 20,056 | |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 50,000 | 50,234 | |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 950 | 955 | |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 135,500 | 136,664 | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 75,053 | 75,416 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 200 | 204 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 30 | 31 | |
548,910 | |||||
Agency Bonds and Notes (20.3%) | |||||
4 | AID-Jordan | 2.578% | 6/30/22 | 13,750 | 14,698 |
5 | Federal Farm Credit Banks | 1.110% | 2/20/18 | 26,000 | 26,193 |
5 | Federal Home Loan Banks | 0.875% | 3/10/17 | 38,100 | 38,188 |
5 | Federal Home Loan Banks | 0.625% | 5/30/17 | 18,750 | 18,758 |
5 | Federal Home Loan Banks | 0.750% | 8/28/17 | 83,500 | 83,641 |
5 | Federal Home Loan Banks | 2.250% | 9/8/17 | 44,205 | 45,064 |
5 | Federal Home Loan Banks | 1.000% | 12/19/17 | 9,000 | 9,047 |
5 | Federal Home Loan Banks | 0.875% | 3/19/18 | 84,550 | 84,840 |
5 | Federal Home Loan Banks | 1.125% | 4/25/18 | 24,000 | 24,191 |
5 | Federal Home Loan Banks | 0.875% | 6/29/18 | 150,550 | 151,090 |
5 | Federal Home Loan Banks | 5.375% | 5/15/19 | 23,000 | 25,972 |
5 | Federal Home Loan Banks | 1.375% | 2/18/21 | 49,000 | 49,579 |
6 | Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 148,000 | 148,325 |
6 | Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 229,500 | 230,221 |
6 | Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 22,000 | 22,129 |
6 | Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 9,500 | 9,545 |
6 | Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 104,200 | 104,738 |
6 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 80,100 | 80,230 |
6 | Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 10,500 | 10,535 |
6 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 262,250 | 262,557 |
6 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 152,850 | 154,201 |
6 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 25,900 | 26,195 |
6 | Federal National Mortgage Assn. | 1.125% | 4/27/17 | 21,950 | 22,050 |
6 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 19,000 | 19,722 |
6 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 35,600 | 37,203 |
6 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 18,500 | 18,588 |
6 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 3,150 | 3,160 |
6 | Federal National Mortgage Assn. | 0.875% | 3/28/18 | 12,500 | 12,541 |
6 | Federal National Mortgage Assn. | 1.125% | 10/19/18 | 62,800 | 63,359 |
6 | Federal National Mortgage Assn. | 1.125% | 12/14/18 | 126,650 | 127,729 |
6 | Federal National Mortgage Assn. | 1.375% | 1/28/19 | 46,000 | 46,692 |
6 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 104,025 | 104,560 |
6 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 29,500 | 30,004 |
6 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 6,000 | 6,066 |
5 | Financing Corp. | 0.000% | 11/2/18 | 3,090 | 3,033 |
2,114,644 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
6,7 | Freddie Mac Gold Pool | 6.000% | 4/1/28 | 12 | 14 |
Total U.S. Government and Agency Obligations (Cost $2,649,480) | 2,663,568 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (31.9%) | |||||
7 | AEP Texas Central Transition Funding III LLC | ||||
2012-1 | 0.880% | 12/1/18 | 3,607 | 3,592 | |
7 | Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 6,661 | 6,660 |
7 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 19,400 | 19,408 |
7 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 6,230 | 6,306 |
7 | Ally Auto Receivables Trust 2015-2 | 1.840% | 6/15/20 | 10,990 | 11,159 |
7 | Ally Auto Receivables Trust 2016-1 | 1.730% | 11/16/20 | 19,500 | 19,634 |
7 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 33,047 | 33,146 |
7,8 | Ally Master Owner Trust Series 2014-1 | 0.912% | 1/15/19 | 16,509 | 16,516 |
7 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 20,121 | 20,149 |
7 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 42,211 | 42,286 |
7 | Ally Master Owner Trust Series 2014-5 | 1.600% | 10/15/19 | 24,060 | 24,160 |
7 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 72,490 | 72,839 |
7,8 | American Express Credit Account Secured | ||||
Note Trust 2013-1 | 0.862% | 2/16/21 | 12,751 | 12,790 | |
7,8 | American Express Credit Account Secured | ||||
Note Trust 2013-2 | 0.862% | 5/17/21 | 12,663 | 12,704 | |
7,8 | American Express Credit Account Secured | ||||
Note Trust 2013-3 | 0.812% | 12/15/21 | 38,834 | 38,812 | |
7,8 | American Express Issuance Trust II 2013-1 | 0.722% | 2/15/19 | 38,477 | 38,457 |
7,8 | American Express Issuance Trust II 2013-2 | 0.872% | 8/15/19 | 11,072 | 11,101 |
7,9 | Americold 2010 LLC Trust Series 2010-ARTA | 4.954% | 1/14/29 | 4,021 | 4,464 |
7,9 | Aventura Mall Trust 2013-AVM | 3.867% | 12/5/32 | 559 | 604 |
7,8 | BA Credit Card Trust 2014-A1 | 0.822% | 6/15/21 | 77,298 | 77,379 |
7 | Banc of America Commercial Mortgage Trust | ||||
2015-UBS7 | 3.705% | 9/15/48 | 530 | 583 | |
7,8,9Bank of America Student Loan Trust 2010-1A | 1.438% | 2/25/43 | 5,373 | 5,280 | |
9 | Bank of Montreal | 1.750% | 6/15/21 | 9,380 | 9,405 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 20,490 | 20,758 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 17,070 | 17,229 | |
7 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2006-PWR13 | 5.533% | 9/11/41 | 1,014 | 1,013 | |
7 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2007-PWR16 | 5.910% | 6/11/40 | 4,642 | 4,741 | |
7,8,9BMW Floorplan Master Owner Trust 2015-1A | 0.942% | 7/15/20 | 24,145 | 24,146 | |
7 | BMW Vehicle Owner Trust 2015-2 | 1.550% | 2/20/19 | 12,160 | 12,143 |
7,8 | Brazos Higher Education Authority Inc. Series | ||||
2005-3 | 0.840% | 6/25/26 | 3,479 | 3,354 | |
7,8 | Brazos Higher Education Authority Inc. Series | ||||
2011-1 | 1.462% | 2/25/30 | 4,996 | 4,897 | |
7 | Cabela's Credit Card Master Note Trust 2015- | ||||
1A | 2.260% | 3/15/23 | 5,500 | 5,635 | |
7,8 | Cabela's Credit Card Master Note Trust 2015- | ||||
2 | 1.112% | 7/17/23 | 12,475 | 12,336 | |
7,8 | Cabelas Credit Card Master Note Trust 2016- | ||||
1 | 0.998% | 6/15/22 | 55,030 | 55,060 | |
9 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 15,060 | 15,476 |
7 | Capital One Multi-Asset Execution Trust 2015- | ||||
A2 | 2.080% | 3/15/23 | 38,740 | 39,903 |
7 | Capital One Multi-asset Execution Trust 2015- | ||||
A4 | 2.750% | 5/15/25 | 30,370 | 32,159 | |
7,8 | Capital One Multi-Asset Execution Trust 2016- | ||||
A2 | 1.066% | 2/15/24 | 10,720 | 10,752 | |
7 | Carmax Auto Owner Trust 2014-4 | 1.810% | 7/15/20 | 8,300 | 8,422 |
7 | Carmax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 6,530 | 6,591 |
7 | Carmax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 5,075 | 5,140 |
7 | Carmax Auto Owner Trust 2016-1 | 1.880% | 6/15/21 | 11,970 | 12,100 |
7 | CenterPoint Energy Transition Bond Co. IV | ||||
LLC 2012-1 | 2.161% | 10/15/21 | 11,516 | 11,797 | |
7,9 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.823% | 12/15/47 | 1,609 | 1,911 |
7,8 | Chase Issuance Trust 2013-A6 | 0.862% | 7/15/20 | 14,070 | 14,107 |
7,8 | Chase Issuance Trust 2013-A9 | 0.862% | 11/16/20 | 46,901 | 47,046 |
7 | Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 2,012 | 2,137 |
7,8 | Chase Issuance Trust 2016-A1 | 0.852% | 5/17/21 | 2,575 | 2,579 |
7,9 | Chrysler Capital Auto Receivables Trust 2013- | ||||
AA | 1.340% | 12/17/18 | 8,553 | 8,562 | |
7,9 | Chrysler Capital Auto Receivables Trust 2015- | ||||
BA | 2.260% | 10/15/20 | 11,170 | 11,320 | |
7,9 | Chrysler Capital Auto Receivables Trust 2016- | ||||
AA | 1.960% | 1/18/22 | 21,280 | 21,449 | |
7,9 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 4,618 | 4,615 |
7,8 | Citibank Credit Card Issuance Trust 2013-A2 | 0.732% | 5/26/20 | 54,482 | 54,521 |
7,8 | Citibank Credit Card Issuance Trust 2013-A7 | 0.875% | 9/10/20 | 73,946 | 74,126 |
7 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 37,086 | 39,484 |
7 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 43,615 | 44,926 |
7 | Citigroup Commercial Mortgage Trust 2006- | ||||
C5 | 5.431% | 10/15/49 | 1,072 | 1,075 | |
7 | Citigroup Commercial Mortgage Trust 2012- | ||||
GC8 | 3.024% | 9/10/45 | 1,295 | 1,372 | |
7,9 | Citigroup Commercial Mortgage Trust 2012- | ||||
GC8 | 3.683% | 9/10/45 | 349 | 376 | |
7 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC11 | 1.987% | 4/10/46 | 3,883 | 3,916 | |
7 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC11 | 3.093% | 4/10/46 | 1,270 | 1,341 | |
7 | Citigroup Commercial Mortgage Trust 2013- | ||||
GC15 | 3.942% | 9/10/46 | 355 | 385 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC19 | 4.023% | 3/10/47 | 3,350 | 3,730 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.477% | 5/10/47 | 66 | 71 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.575% | 5/10/47 | 630 | 686 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC21 | 3.855% | 5/10/47 | 2,627 | 2,900 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.622% | 7/10/47 | 655 | 714 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.863% | 7/10/47 | 205 | 223 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.372% | 10/10/47 | 490 | 522 | |
7 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.635% | 10/10/47 | 3,380 | 3,667 | |
7 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC33 | 3.778% | 9/10/58 | 2,585 | 2,844 |
7 | Citigroup Commercial Mortgage Trust 2016- | ||||
C1 | 3.209% | 5/10/49 | 20 | 21 | |
7 | CNH Equipment Trust 2016-B | 1.970% | 11/15/21 | 8,340 | 8,443 |
7 | CNH Equipment Trust 2041-A | 1.500% | 5/15/20 | 15,196 | 15,223 |
7 | COBALT CMBS Commercial Mortgage Trust | ||||
2007-C2 | 5.484% | 4/15/47 | 5,392 | 5,489 | |
7 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 1,545 | 1,561 |
7 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 6,607 | 6,634 |
7 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 492 | 524 |
7 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 700 | 759 |
7 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 1,075 | 1,128 |
7 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 396 | 414 |
7 | COMM 2012-CR3 Mortgage Trust | 2.822% | 10/15/45 | 1,287 | 1,343 |
7 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 760 | 850 |
7 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 665 | 748 |
7 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 673 | 721 |
7 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 975 | 1,086 |
7 | COMM 2013-CCRE9 Mortgage Trust | 4.375% | 7/10/45 | 3,495 | 3,955 |
7,9 | COMM 2013-CCRE9 Mortgage Trust | 4.399% | 7/10/45 | 2,461 | 2,741 |
7 | COMM 2013-CR13 Mortgage Trust | 4.194% | 11/10/23 | 1,025 | 1,156 |
7,9 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 516 | 556 |
7 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 130 | 146 |
7 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 828 | 873 |
7,9 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 1,009 | 1,060 |
7 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 349 | 375 |
7 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 1,100 | 1,188 |
7 | COMM 2014-CR14 Mortgage Trust | 4.236% | 2/10/47 | 347 | 393 |
7 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 871 | 968 |
7 | COMM 2014-CR17 Mortgage Trust | 4.174% | 5/10/47 | 272 | 300 |
7 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 100 | 106 |
7 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 3,030 | 3,335 |
7 | COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 2,580 | 2,804 |
7 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,400 | 1,551 |
7 | COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 30 | 31 |
7 | COMM 2015-CR22 Mortgage Trust | 3.309% | 3/10/48 | 440 | 466 |
7 | COMM 2015-CR24 Mortgage Trust | 3.445% | 8/10/55 | 300 | 321 |
7 | COMM 2015-CR25 Mortgage Trust | 3.759% | 8/10/48 | 525 | 574 |
7 | COMM 2015-CR26 Mortgage Trust | 3.630% | 10/10/48 | 4,960 | 5,365 |
7 | COMM 2015-CR27 Mortgage Trust | 3.612% | 10/10/48 | 2,800 | 3,027 |
9 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 21,387 | 21,779 |
9 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 15,300 | 15,630 |
7 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.718% | 8/15/48 | 1,300 | 1,411 |
7 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.808% | 11/15/48 | 650 | 716 |
7 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 40,670 | 41,318 |
7,8 | Discover Card Execution Note Trust 2013-A1 | 0.742% | 8/17/20 | 14,272 | 14,263 |
7 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 24,030 | 24,830 |
7 | Discover Card Execution Note Trust 2016-A1 | 1.640% | 7/15/21 | 51,290 | 52,048 |
7,8 | Discover Card Execution Note Trust 2016-A2 | 0.982% | 9/15/21 | 14,310 | 14,387 |
9 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 4,035 | 4,046 |
7,9 | Enterprise Fleet Financing LLC Series 2013-2 | 1.510% | 3/20/19 | 5,817 | 5,817 |
7,9 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 12,450 | 12,557 |
7,8,9Evergreen Credit Card Trust 2016-1A | 1.162% | 4/15/20 | 17,410 | 17,416 | |
7,8 | First National Master Note Trust 2013-2 | 0.972% | 10/15/19 | 13,527 | 13,528 |
7,8 | First National Master Note Trust 2015-1 | 1.212% | 9/15/20 | 10,640 | 10,670 |
7 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 5,400 | 5,416 |
7 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 9,300 | 9,317 |
7 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 24,460 | 24,601 |
7,9 | Ford Credit Auto Owner Trust 2014-1 | 2.260% | 11/15/25 | 14,450 | 14,751 |
7,9 | Ford Credit Auto Owner Trust 2014-2 | 2.310% | 4/15/26 | 1,120 | 1,148 |
7,9 | Ford Credit Auto Owner Trust 2015-2 | 2.440% | 1/15/27 | 37,000 | 38,100 |
7 | Ford Credit Auto Owner Trust 2015-C | 1.740% | 2/15/21 | 16,855 | 17,018 |
7,9 | Ford Credit Auto Owner Trust 2016-1 | 2.310% | 8/15/27 | 35,255 | 36,147 |
7,9 | Ford Credit Auto Owner Trust 2016-2 | 2.030% | 12/15/27 | 25,450 | 25,597 |
7 | Ford Credit Auto Owner Trust 2016-A | 1.600% | 6/15/21 | 12,130 | 12,281 |
7 | Ford Credit Auto Owner Trust 2016-B | 1.520% | 8/15/21 | 11,260 | 11,323 |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-2 | 1.920% | 1/15/19 | 5,159 | 5,182 | |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-5 | 1.490% | 9/15/19 | 30,271 | 30,405 | |
7,8 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 0.942% | 2/15/21 | 42,840 | 42,672 | |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-2 | 1.980% | 1/15/22 | 4,410 | 4,456 | |
7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-5 | 2.390% | 8/15/22 | 36,500 | 37,425 | |
7 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-2 | 2.220% | 1/15/22 | 16,577 | 16,821 | |
7 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-6 | 1.360% | 8/17/20 | 31,532 | 31,495 | |
7,8 | GE Dealer Floorplan Master Note Trust Series | ||||
2012-2 | 1.198% | 4/22/19 | 5,326 | 5,335 | |
7,8 | GE Dealer Floorplan Master Note Trust Series | ||||
2014-1 | 0.828% | 7/20/19 | 38,600 | 38,492 | |
7,8 | GE Dealer Floorplan Master Note Trust Series | ||||
2014-2 | 0.898% | 10/20/19 | 20,200 | 20,154 | |
7,8 | GE Dealer Floorplan Master Note Trust Series | ||||
2015-2 | 1.098% | 1/20/22 | 18,460 | 18,374 | |
7,9 | GM Financial Leasing Trust 2014-1A | 1.300% | 5/21/18 | 16,750 | 16,761 |
7 | GM Financial Leasing Trust 2015-1 | 1.730% | 6/20/19 | 3,120 | 3,127 |
7 | GM Financial Leasing Trust 2015-3 | 1.690% | 3/20/19 | 14,430 | 14,540 |
7 | GM Financial Leasing Trust 2015-3 | 1.810% | 11/20/19 | 1,490 | 1,496 |
7 | GM Financial Leasing Trust 2016-2 | 1.620% | 9/20/19 | 10,700 | 10,757 |
7 | GM Financial Leasing Trust 2016-2 | 1.760% | 3/20/20 | 6,800 | 6,843 |
7,8,9GMF Floorplan Owner Revolving Trust 2016-1 | 1.292% | 5/17/21 | 28,850 | 28,752 | |
7,9 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 25,147 | 25,204 |
7,9 | Golden Credit Card Trust 2012-4A | 1.390% | 7/15/19 | 8,985 | 9,012 |
7,8,9Golden Credit Card Trust 2014-2A | 0.892% | 3/15/21 | 25,433 | 25,245 | |
7,8,9Golden Credit Card Trust 2016-1A | 1.042% | 1/15/20 | 93,590 | 93,895 | |
7,8,9Gosforth Funding 2016-1A plc | 1.326% | 2/15/58 | 43,282 | 43,254 | |
7,9 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 2,314 | 2,312 |
7,9 | Great America Leasing Receivables 2014-1 | 1.470% | 8/15/20 | 4,690 | 4,685 |
7 | GS Mortgage Securities Trust 2006-GG8 | 5.560% | 11/10/39 | 2,169 | 2,165 |
7,9 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 117 | 133 |
7 | GS Mortgage Securities Trust 2013-GC13 | 4.170% | 7/10/46 | 1,790 | 2,017 |
7 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 1,558 | 1,657 |
7 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 3,995 | 4,447 |
7 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 150 | 163 |
7 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 1,070 | 1,177 |
7 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 4,640 | 5,008 |
7 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 6,992 | 6,983 |
7 | Harley-Davidson Motorcycle Trust 2014-1 | 1.550% | 10/15/21 | 23,451 | 23,396 |
7,9 | Hertz Vehicle Financing LLC 2015-3 | 2.670% | 9/25/21 | 21,050 | 21,553 |
7,9 | Hertz Vehicle Financing LLC 2016-2 | 2.950% | 3/25/22 | 27,650 | 28,413 |
7,9 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 13,460 | 13,562 |
7,9 | Hertz Vehicle Financing LLC 2016-4 | 2.650% | 7/25/22 | 16,670 | 16,794 |
7,9 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 746 | 749 |
7 | Honda Auto Receivables 2014-4 Owner Trust | 1.460% | 10/15/20 | 3,580 | 3,580 |
7 | Honda Auto Receivables 2015-4 Owner Trust | 1.440% | 1/21/22 | 23,540 | 23,612 |
7,9 | Hyundai Auto Lease Securitization Trust | ||||
2014-A | 1.010% | 9/15/17 | 18,667 | 18,664 | |
7,9 | Hyundai Auto Lease Securitization Trust | ||||
2016-A | 1.800% | 12/16/19 | 9,760 | 9,803 | |
7,9 | Hyundai Auto Lease Securitization Trust | ||||
2016-B | 1.680% | 4/15/20 | 3,380 | 3,388 | |
7 | Hyundai Auto Receivables Trust 2015-C | 1.780% | 11/15/21 | 11,030 | 11,157 |
7,9 | Hyundai Floorplan Master Owner Trust Series | ||||
2016-1A | 1.810% | 3/15/21 | 8,360 | 8,394 | |
8 | Illinois Student Assistance Commission Series | ||||
2010-1 | 1.688% | 4/25/22 | 2,503 | 2,506 | |
7,9 | Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 2,382 | 2,535 |
7 | John Deere Owner Trust 2015-B | 1.780% | 6/15/22 | 1,845 | 1,862 |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP10 | 5.439% | 1/15/49 | 2,683 | 2,726 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C1 | 4.608% | 6/15/43 | 147 | 158 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C2 | 3.616% | 11/15/43 | 275 | 281 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2010-C2 | 4.070% | 11/15/43 | 478 | 515 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.388% | 2/15/46 | 2,143 | 2,232 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.717% | 2/15/46 | 4,070 | 4,519 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C5 | 5.494% | 8/15/46 | 673 | 774 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 6,791 | 7,583 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 559 | 585 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 3.424% | 10/15/45 | 673 | 709 | |
7,9 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 1,062 | 1,115 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 3.994% | 1/15/46 | 3,009 | 3,351 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 469 | 509 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 205 | 228 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 1,000 | 1,127 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 1.855% | 4/15/46 | 3,883 | 3,922 | |
7 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 1,351 | 1,417 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.664% | 7/15/45 | 2,719 | 2,975 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 4.161% | 7/15/45 | 1,425 | 1,559 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.761% | 8/15/46 | 342 | 373 |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.133% | 8/15/46 | 210 | 236 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 3.659% | 11/15/45 | 194 | 211 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.199% | 1/15/47 | 1,856 | 2,098 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 1,165 | 1,305 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.439% | 2/15/47 | 544 | 606 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.428% | 8/15/47 | 60 | 64 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.639% | 11/15/47 | 970 | 1,056 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C32 | 3.598% | 11/15/48 | 2,820 | 3,061 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C33 | 3.562% | 12/15/48 | 150 | 163 | |
7 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C33 | 3.770% | 12/15/48 | 1,860 | 2,046 | |
7,8,9Lanark Master Issuer plc 2013-1A | 1.154% | 12/22/54 | 23,490 | 23,460 | |
7 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 2,451 | 2,453 |
7 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 1,246 | 1,248 |
7 | LB-UBS Commercial Mortgage Trust 2008-C1 | 6.248% | 4/15/41 | 3,301 | 3,465 |
7,9 | M&T Bank Auto Receivables Trust 2013-1A | 1.570% | 8/15/18 | 10,430 | 10,455 |
7,8,9Master Credit Card Trust 2016-1A | 1.198% | 9/23/19 | 43,020 | 43,081 | |
7 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 10,360 | 10,423 |
7,8,9Mercedes-Benz Master Owner Trust 2016-B | 1.142% | 5/17/21 | 9,730 | 9,734 | |
7 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 704 | 703 |
7,9 | MMAF Equipment Finance LLC 2011-A | 2.100% | 7/15/17 | 88 | 88 |
7,9 | MMAF Equipment Finance LLC 2011-A | 3.040% | 8/15/28 | 8,922 | 9,001 |
7,9 | MMAF Equipment Finance LLC 2012-A | 1.680% | 5/11/20 | 8,508 | 8,570 |
7,9 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 3,988 | 4,033 |
7,9 | MMAF Equipment Finance LLC 2012-A | 2.570% | 6/9/33 | 7,037 | 7,256 |
7,9 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 7,480 | 7,557 |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.176% | 8/15/45 | 1,670 | 1,771 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.792% | 8/15/45 | 337 | 362 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C6 | 2.858% | 11/15/45 | 896 | 938 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C10 | 4.219% | 7/15/46 | 4,024 | 4,505 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.960% | 8/15/46 | 660 | 735 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.360% | 8/15/46 | 130 | 147 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 3.824% | 10/15/46 | 388 | 423 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 4.259% | 10/15/46 | 50 | 57 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.039% | 11/15/46 | 75 | 84 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.064% | 2/15/47 | 194 | 218 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.384% | 2/15/47 | 194 | 216 |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C15 | 4.051% | 4/15/47 | 1,870 | 2,090 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.892% | 6/15/47 | 2,104 | 2,323 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.094% | 6/15/47 | 361 | 395 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C22 | 3.306% | 4/15/48 | 1,015 | 1,064 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.719% | 7/15/50 | 2,600 | 2,847 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.383% | 10/15/48 | 2,010 | 2,137 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.635% | 10/15/48 | 3,920 | 4,279 | |
7 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C29 | 3.325% | 5/15/49 | 1,590 | 1,691 | |
7 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 1,711 | 1,720 |
7,9 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 1,578 | 1,670 |
7 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 2,050 | 2,266 |
9 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 21,700 | 22,273 |
7,8 | Navient Student Loan Trust 2014-1 | 0.963% | 6/25/31 | 8,000 | 7,684 |
7,8 | Navient Student Loan Trust 2014-8 | 0.893% | 4/25/23 | 30,970 | 30,578 |
7,8 | Navient Student Loan Trust 2015-3 | 1.103% | 6/26/56 | 16,600 | 15,822 |
7,8,9Navient Student Loan Trust 2016-2 | 1.489% | 6/25/65 | 5,810 | 5,835 | |
7,8,9Navient Student Loan Trust 2016-3 | 1.457% | 6/25/65 | 5,140 | 5,124 | |
7,9 | NextGear Floorplan Master Owner Trust | ||||
2016-1A | 2.740% | 4/15/21 | 8,250 | 8,313 | |
7 | Nissan Auto Lease Trust 2014-A | 1.040% | 10/15/19 | 18,761 | 18,761 |
7 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 3,085 | 3,103 |
7 | Nissan Auto Lease Trust 2016-A | 1.650% | 10/15/21 | 11,570 | 11,620 |
7 | Nissan Auto Receivables 2015-B Owner Trust | 1.500% | 9/15/21 | 27,560 | 27,763 |
7 | Nissan Auto Receivables 2016-B Owner Trust | 1.540% | 10/17/22 | 14,030 | 14,109 |
7 | Nissan Master Owner Trust Receivables | ||||
Series 2015-A | 1.440% | 1/15/20 | 2,400 | 2,408 | |
9 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 15,050 | 15,296 |
8 | North Carolina State Education Assistance | ||||
Authority 2011-1 | 1.538% | 1/26/26 | 2,472 | 2,468 | |
7,9 | OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 602 | 663 |
7,9 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 250 | 254 |
Royal Bank of Canada | 2.200% | 9/23/19 | 14,165 | 14,514 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 23,750 | 24,265 | |
7 | Royal Bank of Canada | 1.875% | 2/5/21 | 4,900 | 4,963 |
Royal Bank of Canada | 2.300% | 3/22/21 | 12,175 | 12,525 | |
7,8 | SLM Student Loan Trust 2003-14 | 0.868% | 1/25/23 | 8,663 | 8,537 |
7,8 | SLM Student Loan Trust 2005-5 | 0.738% | 4/25/25 | 9,278 | 9,177 |
7,8 | SLM Student Loan Trust 2005-6 | 0.748% | 7/27/26 | 2,570 | 2,545 |
7,8 | SLM Student Loan Trust 2013-6 | 0.953% | 2/25/21 | 15,639 | 15,542 |
7,8 | SLM Student Loan Trust 2014-1 | 0.833% | 7/26/21 | 14,627 | 14,566 |
7 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 2,125 | 2,122 |
7 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 2,965 | 2,957 |
7 | SMART ABS Series 2014-1US Trust | 1.680% | 12/14/19 | 4,409 | 4,410 |
9 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 3,097 | 3,100 |
7,9 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 8,341 | 8,433 |
9 | Swedbank Hypotek AB | 1.375% | 3/28/18 | 3,868 | 3,882 |
7 | Synchrony Credit Card Master Note Trust | ||||
2014-1 | 1.610% | 11/15/20 | 44,200 | 44,392 |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-1 | 2.370% | 3/15/23 | 13,760 | 14,221 | |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-2 | 1.600% | 4/15/21 | 14,360 | 14,429 | |
7 | Synchrony Credit Card Master Note Trust | ||||
2015-3 | 2.380% | 9/15/23 | 22,600 | 23,260 | |
7 | Toyota Auto Receivables 2015-6 Owner Trust | 1.520% | 8/16/21 | 3,520 | 3,545 |
7,8,9Trillium Credit Card Trust II 2016-1A | 1.185% | 5/26/21 | 66,330 | 66,348 | |
7 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 192 | 211 |
7,9 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 2,772 | 2,976 |
7 | UBS-Barclays Commercial Mortgage Trust | ||||
2012-C4 | 2.850% | 12/10/45 | 1,018 | 1,066 | |
7,9 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 2,552 | 2,680 |
7 | Volkswagen Auto Lease Trust 2014-A | 0.990% | 7/20/18 | 9,943 | 9,934 |
7,9 | Volkswagen Credit Auto Master Owner Trust | ||||
2014-1A | 1.400% | 7/22/19 | 5,080 | 5,017 | |
7,9 | Volvo Financial Equipment LLC Series 2016- | ||||
1A | 1.890% | 9/15/20 | 5,160 | 5,212 | |
7 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C29 | 5.297% | 11/15/48 | 3,099 | 3,127 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 2.918% | 10/15/45 | 725 | 761 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2012-LC5 | 3.539% | 10/15/45 | 259 | 276 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 3.928% | 7/15/46 | 407 | 445 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.218% | 7/15/46 | 1,743 | 1,960 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.433% | 7/15/46 | 272 | 302 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C26 | 2.991% | 2/15/48 | 120 | 125 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C26 | 3.166% | 2/15/48 | 240 | 253 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 3.400% | 6/15/48 | 400 | 427 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 3.637% | 6/15/48 | 6,400 | 6,904 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 3.411% | 9/15/58 | 2,960 | 3,177 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 3.839% | 9/15/58 | 2,520 | 2,786 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-SG1 | 3.556% | 12/15/47 | 250 | 269 | |
7 | Wells Fargo Commercial Mortgage Trust | ||||
2015-SG1 | 3.789% | 12/15/47 | 745 | 819 | |
9 | Westpac Banking Corp. | 1.850% | 11/26/18 | 13,270 | 13,434 |
9 | Westpac Banking Corp. | 2.000% | 3/3/20 | 10,646 | 10,838 |
9 | Westpac Banking Corp. | 2.250% | 11/9/20 | 13,440 | 13,769 |
9 | Westpac Banking Corp. | 2.100% | 2/25/21 | 12,170 | 12,390 |
7,9 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 1,199 | 1,331 |
7 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 1,166 | 1,260 |
7 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 584 | 641 |
7 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 751 | 793 |
7 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 3,180 | 3,338 |
7 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 440 | 467 |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 3.720% | 8/15/46 | 464 | 501 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C15 | 4.153% | 8/15/46 | 440 | 495 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C17 | 3.558% | 12/15/46 | 167 | 179 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 3.676% | 12/15/46 | 442 | 477 | |
7 | WFRBS Commercial Mortgage Trust 2013- | ||||
C18 | 4.162% | 12/15/46 | 878 | 987 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C14 | 3.766% | 3/15/47 | 40 | 44 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C19 | 4.101% | 3/15/47 | 70 | 78 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C23 | 3.917% | 10/15/57 | 720 | 798 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
C24 | 3.607% | 11/15/47 | 1,665 | 1,806 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 3.522% | 3/15/47 | 20 | 21 | |
7 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 4.045% | 3/15/47 | 668 | 744 | |
7 | World Financial Network Credit Card Master | ||||
Note Trust Series 2012-D | 2.150% | 4/17/23 | 20,637 | 21,085 | |
7 | World Financial Network Credit Card Master | ||||
Note Trust Series 2013-A | 1.610% | 12/15/21 | 6,191 | 6,225 | |
7,8 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-A | 0.922% | 2/15/22 | 11,160 | 11,158 | |
7 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-B | 2.550% | 6/17/24 | 3,030 | 3,124 | |
7 | World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 6,400 | 6,423 |
7 | World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 12,760 | 12,812 |
7 | World Omni Auto Receivables Trust 2016-A | 1.770% | 9/15/21 | 13,950 | 14,157 |
7 | World Omni Automobile Lease Securitization | ||||
Trust 2015-A | 1.730% | 12/15/20 | 3,200 | 3,196 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,283,154) | 3,316,527 | ||||
Corporate Bonds (31.5%) | |||||
Finance (16.8%) | |||||
Banking (15.9%) | |||||
9 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 2,750 | 2,819 |
American Express Credit Corp. | 1.550% | 9/22/17 | 3,000 | 3,012 | |
American Express Credit Corp. | 1.875% | 11/5/18 | 7,642 | 7,728 | |
9 | ANZ New Zealand Int'l Ltd. | 2.250% | 2/1/19 | 13,630 | 13,868 |
Australia & New Zealand Banking Group Ltd. | 1.250% | 1/10/17 | 9,640 | 9,650 | |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 4,590 | 4,632 | |
Bank of America NA | 1.250% | 2/14/17 | 37,470 | 37,522 | |
Bank of America NA | 1.650% | 3/26/18 | 15,965 | 16,027 | |
Bank of America NA | 1.750% | 6/5/18 | 1,221 | 1,230 | |
Bank of America NA | 2.050% | 12/7/18 | 16,080 | 16,309 | |
Bank of Montreal | 1.300% | 7/14/17 | 6,000 | 6,010 | |
Bank of Montreal | 1.400% | 4/10/18 | 2,830 | 2,845 | |
Bank of Montreal | 1.800% | 7/31/18 | 6,855 | 6,942 | |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 2,300 | 2,538 | |
Bank of Nova Scotia | 2.550% | 1/12/17 | 12,900 | 13,008 | |
Bank of Nova Scotia | 1.375% | 12/18/17 | 3,625 | 3,639 | |
Bank of Nova Scotia | 1.700% | 6/11/18 | 11,630 | 11,747 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 9,095 | 9,241 |
Bank of Nova Scotia | 1.650% | 6/14/19 | 18,170 | 18,293 |
Bank of Nova Scotia | 2.350% | 10/21/20 | 3,890 | 3,969 |
9 Bank of Tokyo-Mitsubishi UFJ Ltd. | 1.200% | 3/10/17 | 18,370 | 18,361 |
9 Bank of Tokyo-Mitsubishi UFJ Ltd. | 1.700% | 3/5/18 | 2,270 | 2,272 |
9 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.700% | 9/9/18 | 300 | 306 |
9 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.150% | 9/14/18 | 6,240 | 6,306 |
9 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.750% | 9/14/20 | 5,392 | 5,573 |
9 Banque Federative du Credit Mutuel SA | 2.000% | 4/12/19 | 17,540 | 17,694 |
BNP Paribas SA | 1.375% | 3/17/17 | 22,217 | 22,328 |
BPCE SA | 1.625% | 2/10/17 | 27,385 | 27,437 |
BPCE SA | 1.625% | 1/26/18 | 11,489 | 11,540 |
BPCE SA | 2.500% | 12/10/18 | 3,670 | 3,744 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 1,255 | 1,262 |
Commonwealth Bank of Australia | 1.125% | 3/13/17 | 27,520 | 27,541 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 22,300 | 22,395 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 7,680 | 7,754 |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 5,310 | 5,348 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 7,220 | 7,390 |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 6,137 | 6,180 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 19,150 | 19,459 |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 4,780 | 4,936 |
Cooperatieve Rabobank UA | 3.375% | 1/19/17 | 9,730 | 9,858 |
Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 5,500 | 5,549 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 11,020 | 11,237 |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 1,795 | 1,840 |
Credit Suisse AG | 1.375% | 5/26/17 | 9,470 | 9,474 |
Credit Suisse AG | 1.750% | 1/29/18 | 12,090 | 12,101 |
Credit Suisse AG | 1.700% | 4/27/18 | 13,685 | 13,702 |
Fifth Third Bank | 2.150% | 8/20/18 | 6,448 | 6,547 |
Fifth Third Bank | 2.300% | 3/15/19 | 5,252 | 5,362 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 21,905 | 23,395 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 39,705 | 40,246 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 24,760 | 26,681 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 34,109 | 35,001 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 11,570 | 11,827 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 9,769 | 9,985 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 4,605 | 4,814 |
HSBC USA Inc. | 1.500% | 11/13/17 | 9,630 | 9,608 |
HSBC USA Inc. | 1.625% | 1/16/18 | 25,090 | 25,024 |
HSBC USA Inc. | 1.700% | 3/5/18 | 4,343 | 4,346 |
Huntington National Bank | 2.200% | 11/6/18 | 5,527 | 5,595 |
9 ING Bank NV | 2.000% | 11/26/18 | 5,810 | 5,869 |
9 ING Bank NV | 2.300% | 3/22/19 | 21,816 | 22,193 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 58,085 | 58,627 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 46,352 | 49,580 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 12,966 | 13,053 |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 37,910 | 38,126 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 18,791 | 19,076 |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 3,915 | 3,965 |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 11,732 | 11,965 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 11,790 | 12,461 |
KeyBank NA | 2.350% | 3/8/19 | 6,798 | 6,944 |
Lloyds Bank plc | 4.200% | 3/28/17 | 3,210 | 3,280 |
Lloyds Bank plc | 1.750% | 5/14/18 | 6,160 | 6,143 |
Manufacturers & Traders Trust Co. | 1.250% | 1/30/17 | 9,180 | 9,187 |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 11,815 | 12,251 |
9 Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 5,960 | 6,115 |
Morgan Stanley | 5.550% | 4/27/17 | 9,044 | 9,361 |
Morgan Stanley | 1.875% | 1/5/18 | 6,400 | 6,437 |
Morgan Stanley | 2.125% | 4/25/18 | 30,756 | 31,020 |
Morgan Stanley | 2.200% | 12/7/18 | 1,088 | 1,101 |
Morgan Stanley | 2.500% | 1/24/19 | 10,235 | 10,430 |
Morgan Stanley | 2.375% | 7/23/19 | 8,621 | 8,764 |
Morgan Stanley | 5.625% | 9/23/19 | 1,721 | 1,908 |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 4,800 | 4,809 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 4,820 | 4,865 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 5,970 | 6,102 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 4,580 | 4,651 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 3,670 | 3,715 |
National Australia Bank Ltd. | 1.875% | 7/23/18 | 9,070 | 9,185 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 3,860 | 3,930 |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 6,293 | 6,386 |
National Bank of Canada | 2.100% | 12/14/18 | 6,815 | 6,907 |
9 Nordea Bank AB | 1.875% | 9/17/18 | 3,135 | 3,171 |
9 Nordea Bank AB | 2.500% | 9/17/20 | 4,860 | 4,984 |
PNC Bank NA | 1.500% | 10/18/17 | 15,560 | 15,631 |
PNC Bank NA | 1.500% | 2/23/18 | 11,800 | 11,876 |
PNC Bank NA | 1.600% | 6/1/18 | 15,200 | 15,337 |
PNC Bank NA | 1.800% | 11/5/18 | 15,736 | 15,913 |
PNC Bank NA | 1.950% | 3/4/19 | 22,720 | 23,061 |
PNC Funding Corp. | 2.700% | 9/19/16 | 7,953 | 7,973 |
Royal Bank of Canada | 1.400% | 10/13/17 | 7,320 | 7,348 |
Royal Bank of Canada | 2.200% | 7/27/18 | 10,136 | 10,341 |
Royal Bank of Canada | 1.800% | 7/30/18 | 2,411 | 2,438 |
Royal Bank of Canada | 2.000% | 12/10/18 | 5,235 | 5,326 |
Royal Bank of Canada | 2.150% | 3/15/19 | 5,365 | 5,485 |
Royal Bank of Canada | 2.350% | 10/30/20 | 8,389 | 8,628 |
Royal Bank of Canada | 2.500% | 1/19/21 | 3,945 | 4,089 |
Santander UK plc | 1.375% | 3/13/17 | 22,170 | 22,116 |
Santander UK plc | 1.650% | 9/29/17 | 15,910 | 15,907 |
Santander UK plc | 3.050% | 8/23/18 | 11,250 | 11,513 |
Santander UK plc | 2.000% | 8/24/18 | 7,787 | 7,796 |
Santander UK plc | 2.500% | 3/14/19 | 10,220 | 10,325 |
Santander UK plc | 2.350% | 9/10/19 | 2,328 | 2,339 |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 2,153 | 2,175 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 5,765 | 5,889 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 1,250 | 1,267 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 5,500 | 5,602 |
9 Swedbank AB | 1.750% | 3/12/18 | 17,350 | 17,438 |
Toronto-Dominion Bank | 1.125% | 5/2/17 | 11,020 | 11,033 |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 31,935 | 32,223 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 5,340 | 5,366 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 9,210 | 9,306 |
UBS AG | 1.800% | 3/26/18 | 23,725 | 23,931 |
US Bank NA | 1.375% | 9/11/17 | 7,810 | 7,851 |
US Bank NA | 1.350% | 1/26/18 | 6,175 | 6,212 |
Wachovia Corp. | 5.750% | 6/15/17 | 12,900 | 13,459 |
Wachovia Corp. | 5.750% | 2/1/18 | 12,660 | 13,539 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 8,870 | 8,948 |
Wells Fargo & Co. | 1.150% | 6/2/17 | 6,900 | 6,902 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 14,380 | 14,432 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 3,210 | 3,416 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 21,106 | 21,224 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 9,122 | 9,309 |
Wells Fargo & Co. | 2.125% | 4/22/19 | 6,430 | 6,574 |
Wells Fargo & Co. | 2.150% | 1/30/20 | 4,953 | 5,039 |
Wells Fargo Bank NA | 1.650% | 1/22/18 | 21,087 | 21,264 |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 16,864 | 17,062 |
Westpac Banking Corp. | 1.200% | 5/19/17 | 17,804 | 17,836 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 12,860 | 12,988 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 3,390 | 3,411 |
Westpac Banking Corp. | 1.550% | 5/25/18 | 19,060 | 19,168 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 9,010 | 9,189 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 25,460 | 28,181 |
Brokerage (0.2%) | ||||
Charles Schwab Corp. | 1.500% | 3/10/18 | 9,125 | 9,211 |
NYSE Euronext | 2.000% | 10/5/17 | 11,210 | 11,324 |
Insurance (0.7%) | ||||
Aetna Inc. | 1.900% | 6/7/19 | 10,870 | 11,008 |
Aetna Inc. | 2.400% | 6/15/21 | 2,865 | 2,925 |
Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 7,900 | 8,024 |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 6,294 | 6,471 |
9 MassMutual Global Funding II | 2.100% | 8/2/18 | 3,113 | 3,175 |
MetLife Inc. | 1.903% | 12/15/17 | 18,000 | 18,188 |
9 Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 1,000 | 1,026 |
9 Reliance Standard Life Global Funding II | 2.150% | 10/15/18 | 15,550 | 15,695 |
9 Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 1,610 | 1,662 |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 2,610 | 2,650 |
Real Estate Investment Trusts (0.0%) | ||||
Simon Property Group LP | 3.375% | 3/15/22 | 2,230 | 2,398 |
1,745,041 | ||||
Industrial (13.3%) | ||||
Basic Industry (0.4%) | ||||
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 920 | 924 |
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 1,595 | 1,743 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 23,815 | 23,870 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 3,320 | 3,417 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 4,590 | 4,653 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 2,060 | 2,334 |
Praxair Inc. | 4.500% | 8/15/19 | 1,931 | 2,125 |
Capital Goods (2.7%) | ||||
Boeing Co. | 2.350% | 10/30/21 | 3,860 | 4,018 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 17,560 | 17,722 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 2,470 | 2,662 |
Caterpillar Financial Services Corp. | 1.700% | 6/16/18 | 11,815 | 11,967 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 2,775 | 2,815 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 10,575 | 12,129 |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 13,585 | 13,652 |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 13,660 | 14,029 |
Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 4,410 | 4,577 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 10,423 | 11,014 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 3,480 | 4,021 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 7,695 | 8,592 |
General Electric Co. | 5.250% | 12/6/17 | 38,586 | 40,924 |
Honeywell International Inc. | 5.300% | 3/1/18 | 22,602 | 24,197 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 2,725 | 3,082 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 1,380 | 1,386 |
John Deere Capital Corp. | 1.550% | 12/15/17 | 13,745 | 13,881 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 3,660 | 3,934 |
John Deere Capital Corp. | 1.750% | 8/10/18 | 4,570 | 4,631 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 12,315 | 13,578 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 2,695 | 2,753 |
John Deere Capital Corp. | 1.950% | 1/8/19 | 15,070 | 15,377 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 2,300 | 2,347 |
John Deere Capital Corp. | 2.375% | 7/14/20 | 6,140 | 6,330 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 12,225 | 12,282 |
Raytheon Co. | 6.750% | 3/15/18 | 4,400 | 4,825 |
Raytheon Co. | 6.400% | 12/15/18 | 17,535 | 19,698 |
United Technologies Corp. | 5.375% | 12/15/17 | 2,882 | 3,067 |
Communication (1.3%) | ||||
America Movil SAB de CV | 2.375% | 9/8/16 | 23,638 | 23,665 |
America Movil SAB de CV | 5.625% | 11/15/17 | 32,700 | 34,405 |
America Movil SAB de CV | 5.000% | 3/30/20 | 1,265 | 1,398 |
Comcast Corp. | 6.500% | 1/15/17 | 5,635 | 5,800 |
Comcast Corp. | 6.300% | 11/15/17 | 29,925 | 32,147 |
Comcast Corp. | 5.875% | 2/15/18 | 11,900 | 12,820 |
Comcast Corp. | 5.700% | 5/15/18 | 21,455 | 23,297 |
Consumer Cyclical (1.7%) | ||||
Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 2,500 | 2,506 |
American Honda Finance Corp. | 0.950% | 5/5/17 | 2,975 | 2,975 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 4,238 | 4,275 |
American Honda Finance Corp. | 1.500% | 3/13/18 | 4,560 | 4,606 |
American Honda Finance Corp. | 1.600% | 7/13/18 | 2,910 | 2,942 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 11,670 | 11,971 |
9 BMW US Capital LLC | 1.500% | 4/11/19 | 13,810 | 13,906 |
9 Daimler Finance North America LLC | 1.125% | 3/10/17 | 6,145 | 6,146 |
9 Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 11,968 | 12,085 |
9 Harley-Davidson Financial Services Inc. | 2.250% | 1/15/19 | 1,097 | 1,120 |
9 Harley-Davidson Financial Services Inc. | 2.400% | 9/15/19 | 6,360 | 6,537 |
9 Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 415 | 458 |
Lowe's Cos. Inc. | 1.150% | 4/15/19 | 2,320 | 2,324 |
9 Nissan Motor Acceptance Corp. | 2.000% | 3/8/19 | 6,090 | 6,164 |
PACCAR Financial Corp. | 1.100% | 6/6/17 | 4,590 | 4,600 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 4,565 | 4,600 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 910 | 923 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 4,130 | 4,771 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 9,375 | 9,433 |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 10,965 | 11,044 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 8,180 | 8,211 |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 3,900 | 3,940 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 8,175 | 8,220 |
Visa Inc. | 1.200% | 12/14/17 | 27,405 | 27,538 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 15,825 | 17,107 |
Consumer Noncyclical (3.0%) | ||||
Altria Group Inc. | 2.625% | 1/14/20 | 6,420 | 6,669 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 240 | 241 |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 69,238 | 70,401 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 4,475 | 5,177 |
AstraZeneca plc | 5.900% | 9/15/17 | 4,750 | 5,021 |
AstraZeneca plc | 1.750% | 11/16/18 | 8,756 | 8,877 |
Coca-Cola Co. | 3.150% | 11/15/20 | 3,700 | 3,979 |
Danaher Corp. | 5.625% | 1/15/18 | 2,700 | 2,895 |
Danaher Corp. | 5.400% | 3/1/19 | 9,105 | 10,127 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 4,115 | 4,188 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 24,985 | 25,753 |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 10,905 | 11,292 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 27,208 | 29,479 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 12,050 | 12,113 |
Hershey Co. | 1.600% | 8/21/18 | 4,340 | 4,404 |
Medtronic Inc. | 1.500% | 3/15/18 | 9,000 | 9,076 |
Medtronic Inc. | 1.375% | 4/1/18 | 11,700 | 11,771 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 4,205 | 4,675 |
PepsiCo Inc. | 1.250% | 4/30/18 | 13,500 | 13,574 |
PepsiCo Inc. | 5.000% | 6/1/18 | 7,250 | 7,801 |
Pfizer Inc. | 0.900% | 1/15/17 | 3,004 | 3,008 |
Pfizer Inc. | 1.100% | 5/15/17 | 9,180 | 9,200 |
Pfizer Inc. | 6.200% | 3/15/19 | 9,090 | 10,269 |
Philip Morris International Inc. | 1.250% | 8/11/17 | 12,770 | 12,822 |
Philip Morris International Inc. | 1.250% | 11/9/17 | 6,375 | 6,400 |
Philip Morris International Inc. | 1.875% | 1/15/19 | 3,937 | 4,011 |
9 Roche Holdings Inc. | 2.250% | 9/30/19 | 8,575 | 8,864 |
Sanofi | 1.250% | 4/10/18 | 1,890 | 1,902 |
9 Takeda Pharmaceutical Co. Ltd. | 1.625% | 3/17/17 | 6,430 | 6,454 |
Energy (2.8%) | ||||
BP Capital Markets plc | 2.248% | 11/1/16 | 10,100 | 10,143 |
BP Capital Markets plc | 1.846% | 5/5/17 | 5,756 | 5,790 |
BP Capital Markets plc | 1.375% | 11/6/17 | 6,500 | 6,521 |
BP Capital Markets plc | 1.674% | 2/13/18 | 18,727 | 18,874 |
BP Capital Markets plc | 1.375% | 5/10/18 | 9,000 | 9,016 |
BP Capital Markets plc | 2.241% | 9/26/18 | 13,800 | 14,077 |
BP Capital Markets plc | 1.676% | 5/3/19 | 17,700 | 17,842 |
BP Capital Markets plc | 4.500% | 10/1/20 | 2,750 | 3,042 |
Chevron Corp. | 1.344% | 11/9/17 | 25,400 | 25,505 |
Chevron Corp. | 1.365% | 3/2/18 | 13,330 | 13,402 |
Chevron Corp. | 1.718% | 6/24/18 | 6,810 | 6,874 |
Chevron Corp. | 2.193% | 11/15/19 | 4,500 | 4,622 |
Chevron Corp. | 2.427% | 6/24/20 | 4,000 | 4,132 |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 1,830 | 1,867 |
Exxon Mobil Corp. | 1.305% | 3/6/18 | 9,125 | 9,188 |
9 Schlumberger Investment SA | 1.950% | 9/14/16 | 2,585 | 2,590 |
9 Schlumberger Norge AS | 1.950% | 9/14/16 | 1,840 | 1,844 |
Shell International Finance BV | 1.625% | 11/10/18 | 13,750 | 13,880 |
Shell International Finance BV | 2.000% | 11/15/18 | 9,200 | 9,355 |
Shell International Finance BV | 1.375% | 5/10/19 | 59,000 | 59,199 |
Total Capital International SA | 1.000% | 1/10/17 | 6,500 | 6,481 |
Total Capital International SA | 1.500% | 2/17/17 | 3,670 | 3,679 |
Total Capital International SA | 1.550% | 6/28/17 | 12,470 | 12,526 |
Total Capital International SA | 2.125% | 1/10/19 | 4,150 | 4,231 |
Total Capital SA | 2.125% | 8/10/18 | 17,254 | 17,611 |
Total Capital SA | 4.450% | 6/24/20 | 5,000 | 5,537 |
Other Industrial (0.1%) | ||||
9 Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 14,665 | 16,939 |
Technology (0.9%) | ||||
Apple Inc. | 1.000% | 5/3/18 | 21,008 | 21,052 |
Apple Inc. | 1.700% | 2/22/19 | 23,845 | 24,268 |
Baidu Inc. | 3.250% | 8/6/18 | 10,100 | 10,355 |
EMC Corp. | 1.875% | 6/1/18 | 6,900 | 6,790 |
Intel Corp. | 1.350% | 12/15/17 | 18,910 | 19,023 |
Oracle Corp. | 2.375% | 1/15/19 | 8,480 | 8,730 |
Oracle Corp. | 5.000% | 7/8/19 | 1,885 | 2,091 |
Transportation (0.4%) | ||||
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 21,852 | 24,166 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 6,045 | 6,437 |
7 Northwest Airlines 2007-1 Class A Pass | ||||
Through Trust | 7.027% | 5/1/21 | 4,273 | 4,817 |
7 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 5,528 | 5,705 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 4,565 | 4,880 |
1,384,014 | ||||
Utilities (1.4%) | ||||
Electric (1.3%) | ||||
Arizona Public Service Co. | 8.750% | 3/1/19 | 760 | 901 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 8,360 | 8,874 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 5,390 | 5,823 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 2,230 | 2,470 |
Georgia Power Co. | 5.700% | 6/1/17 | 12,860 | 13,382 |
Georgia Power Co. | 1.950% | 12/1/18 | 6,205 | 6,307 |
MidAmerican Energy Co. | 2.400% | 3/15/19 | 2,785 | 2,878 |
National Rural Utilities Cooperative Finance | ||||
Corp. | 10.375% | 11/1/18 | 39,312 | 47,457 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 20,020 | 21,245 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 2,280 | 2,630 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 7,305 | 7,864 |
PacifiCorp | 3.850% | 6/15/21 | 1,150 | 1,267 |
Public Service Electric & Gas Co. | 2.000% | 8/15/19 | 7,300 | 7,481 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 1,182 | 1,271 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 1,240 | 1,386 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 4,660 | 4,696 |
Natural Gas (0.1%) | ||||
Atmos Energy Corp. | 8.500% | 3/15/19 | 8,720 | 10,285 |
146,217 | ||||
Total Corporate Bonds (Cost $3,248,989) | 3,275,272 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (9.0%) | ||||
Asian Development Bank | 0.750% | 1/11/17 | 25,000 | 25,015 |
9 Avi Funding Co Ltd. | 2.850% | 9/16/20 | 6,700 | 6,800 |
9 Banco del Estado de Chile | 2.000% | 11/9/17 | 7,095 | 7,107 |
9 Bank Nederlandse Gemeenten NV | 1.125% | 9/12/16 | 7,350 | 7,354 |
9 Bank Nederlandse Gemeenten NV | 0.875% | 2/21/17 | 14,700 | 14,685 |
9 Bank Nederlandse Gemeenten NV | 1.125% | 5/25/18 | 36,700 | 36,831 |
Bermuda | 5.603% | 7/20/20 | 4,225 | 4,683 |
9 Caisse d'Amortissement de la Dette Sociale | 1.125% | 1/30/17 | 4,350 | 4,365 |
9 Caisse d'Amortissement de la Dette Sociale | 1.375% | 1/29/18 | 1,825 | 1,844 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 16,820 | 16,834 |
CNOOC Finance 2015 Australia Pty Ltd. | 2.625% | 5/5/20 | 1,050 | 1,054 |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 16,425 | 16,446 |
Corp. Andina de Fomento | 1.500% | 8/8/17 | 14,590 | 14,611 |
9 Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 7,275 | 7,699 |
Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 2,520 | 2,491 |
9 Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 2,375 | 2,358 |
9 | Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 6,875 | 7,293 |
9,10 Development Bank of Japan Inc. | 1.625% | 10/5/16 | 2,750 | 2,754 | |
10 | Development Bank of Japan Inc. | 5.125% | 2/1/17 | 2,750 | 2,816 |
9,11 Dexia Credit Local SA | 1.250% | 10/18/16 | 5,500 | 5,498 | |
9 | Electricite de France SA | 1.150% | 1/20/17 | 13,775 | 13,757 |
9 | Electricite de France SA | 6.500% | 1/26/19 | 1,825 | 2,051 |
European Investment Bank | 2.125% | 7/15/16 | 2,750 | 2,748 | |
European Investment Bank | 1.750% | 3/15/17 | 8,275 | 8,335 | |
European Investment Bank | 1.625% | 6/15/17 | 2,300 | 2,321 | |
European Investment Bank | 1.000% | 3/15/18 | 13,775 | 13,806 | |
European Investment Bank | 1.875% | 3/15/19 | 18,375 | 18,819 | |
European Investment Bank | 2.500% | 4/15/21 | 11,025 | 11,624 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 50,806 | 51,560 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 1,375 | 1,546 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 4,775 | 5,187 | |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 4,580 | 4,601 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 9,175 | 9,334 | |
Hydro-Quebec | 1.375% | 6/19/17 | 15,327 | 15,340 | |
9 | ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 6,360 | 6,366 |
Industrial & Commercial Bank of China Asia | |||||
Ltd. | 2.351% | 11/13/17 | 4,500 | 4,539 | |
Inter-American Development Bank | 0.875% | 11/15/16 | 9,175 | 9,169 | |
Inter-American Development Bank | 1.125% | 3/15/17 | 4,600 | 4,612 | |
Inter-American Development Bank | 2.375% | 8/15/17 | 6,425 | 6,540 | |
Inter-American Development Bank | 2.125% | 11/9/20 | 1,800 | 1,869 | |
International Bank for Reconstruction & | |||||
Development | 1.000% | 9/15/16 | 13,775 | 13,786 | |
International Bank for Reconstruction & | |||||
Development | 0.625% | 10/14/16 | 20,000 | 19,995 | |
International Finance Corp. | 1.125% | 11/23/16 | 4,400 | 4,408 | |
International Finance Corp. | 1.750% | 9/4/18 | 15,600 | 15,853 | |
9 | IPIC GMTN Ltd. | 3.750% | 3/1/17 | 1,700 | 1,730 |
10 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 4,600 | 4,643 |
10 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 7,575 | 7,655 |
9 | Japan Finance Organization for Municipalities | 2.125% | 3/6/19 | 13,775 | 13,990 |
12 | KFW | 1.250% | 10/5/16 | 4,600 | 4,607 |
12 | KFW | 1.250% | 2/15/17 | 9,175 | 9,209 |
12 | KFW | 1.000% | 6/11/18 | 11,475 | 11,518 |
12 | KFW | 1.875% | 4/1/19 | 4,600 | 4,725 |
12 | KFW | 4.000% | 1/27/20 | 4,125 | 4,542 |
12 | KFW | 2.625% | 1/25/22 | 4,600 | 4,904 |
12 | KFW | 2.125% | 1/17/23 | 1,825 | 1,899 |
9 | Kingdom of Sweden | 1.000% | 11/15/16 | 6,425 | 6,433 |
9 | Kommunalbanken AS | 1.000% | 3/15/18 | 2,750 | 2,745 |
9 | Kommunalbanken AS | 1.125% | 5/23/18 | 7,350 | 7,342 |
9 | Kommunalbanken AS | 2.125% | 3/15/19 | 12,850 | 13,169 |
9 | Kommunalbanken AS | 1.750% | 5/28/19 | 13,775 | 13,957 |
9 | Kommuninvest I Sverige AB | 0.875% | 12/13/16 | 6,425 | 6,428 |
9 | Kommuninvest I Sverige AB | 1.000% | 10/24/17 | 2,750 | 2,758 |
Korea Development Bank | 4.000% | 9/9/16 | 9,210 | 9,262 | |
Korea Development Bank | 3.875% | 5/4/17 | 9,200 | 9,411 | |
Korea Development Bank | 2.250% | 8/7/17 | 7,115 | 7,200 | |
Korea Development Bank | 3.500% | 8/22/17 | 6,775 | 6,949 | |
Korea Development Bank | 4.625% | 11/16/21 | 1,800 | 2,046 | |
9 | Korea East-West Power Co. Ltd. | 2.500% | 7/16/17 | 2,050 | 2,073 |
9 | Korea Expressway Corp. | 1.625% | 4/28/17 | 32,150 | 32,225 |
9 | Korea Expressway Corp. | 1.875% | 10/22/17 | 1,800 | 1,811 |
9 | Korea Gas Corp. | 2.875% | 7/29/18 | 7,350 | 7,539 |
9 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 4,600 | 4,611 |
Korea National Oil Corp. | 3.125% | 4/3/17 | 4,600 | 4,662 | |
9 | Korea National Oil Corp. | 2.750% | 1/23/19 | 18,375 | 18,834 |
9 | Korea Resources Corp. | 2.125% | 5/2/18 | 2,750 | 2,776 |
12 | Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 4,600 | 4,602 |
9 | Municipality Finance plc | 1.125% | 4/17/18 | 2,300 | 2,310 |
9 | Nederlandse Waterschapsbank NV | 1.875% | 3/13/19 | 7,350 | 7,500 |
North American Development Bank | 2.300% | 10/10/18 | 2,400 | 2,450 | |
9 | Province of Alberta | 1.000% | 6/21/17 | 2,750 | 2,754 |
9 | Province of Alberta | 1.750% | 8/26/20 | 8,600 | 8,751 |
Province of Manitoba | 2.100% | 9/6/22 | 1,275 | 1,301 | |
Province of Ontario | 1.600% | 9/21/16 | 13,193 | 13,220 | |
Province of Ontario | 1.100% | 10/25/17 | 21,125 | 21,192 | |
Province of Ontario | 1.625% | 1/18/19 | 16,500 | 16,714 | |
Province of Ontario | 2.000% | 1/30/19 | 8,630 | 8,821 | |
Province of Ontario | 1.250% | 6/17/19 | 27,250 | 27,436 | |
Province of Ontario | 4.000% | 10/7/19 | 2,375 | 2,582 | |
Province of Ontario | 4.400% | 4/14/20 | 1,375 | 1,528 | |
Quebec | 2.750% | 8/25/21 | 5,825 | 6,159 | |
7,9 | Ras Laffan Liquefied Natural Gas Co. Ltd. III | 5.832% | 9/30/16 | 814 | 822 |
Republic of Korea | 5.125% | 12/7/16 | 19,800 | 20,161 | |
Republic of Poland | 6.375% | 7/15/19 | 17,261 | 19,556 | |
Republic of Poland | 5.125% | 4/21/21 | 1,240 | 1,391 | |
Republic of Poland | 5.000% | 3/23/22 | 17,150 | 19,262 | |
Republic of Poland | 3.250% | 4/6/26 | 1,155 | 1,175 | |
9 | Sinopec Group Overseas Development 2012 | ||||
Ltd. | 2.750% | 5/17/17 | 2,000 | 2,022 | |
9 | State Grid Overseas Investment 2014 Ltd. | 2.750% | 5/7/19 | 9,175 | 9,406 |
State of Israel | 3.150% | 6/30/23 | 1,800 | 1,915 | |
9 | State of Qatar | 3.125% | 1/20/17 | 2,300 | 2,325 |
Statoil ASA | 1.250% | 11/9/17 | 25,000 | 25,072 | |
Statoil ASA | 1.200% | 1/17/18 | 1,550 | 1,549 | |
Statoil ASA | 1.950% | 11/8/18 | 13,775 | 13,957 | |
Statoil ASA | 3.150% | 1/23/22 | 2,700 | 2,839 | |
Statoil ASA | 2.650% | 1/15/24 | 1,825 | 1,849 | |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 5,475 | 5,494 | |
9 | Temasek Financial I Ltd. | 4.300% | 10/25/19 | 2,250 | 2,462 |
9 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 4,600 | 4,733 |
Total Sovereign Bonds (Cost $920,911) | 931,667 | ||||
Taxable Municipal Bonds (0.3%) | |||||
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 1.298% | 7/1/16 | 2,300 | 2,300 | |
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 2.107% | 7/1/18 | 1,825 | 1,854 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-EGSL | 3.220% | 2/1/21 | 4,731 | 4,822 | |
Louisiana Local Government Environmental | |||||
Facilities & Community Development | |||||
Authority Revenue 2010-ELL | 3.450% | 2/1/22 | 10,837 | 11,186 | |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 5,975 | 6,587 | |
Total Taxable Municipal Bonds (Cost $26,331) | 26,749 |
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (1.7%) | |||
Money Market Fund (1.7%) | |||
13 Vanguard Market Liquidity Fund (Cost | |||
$175,793) | 0.538% | 175,792,618 | 175,793 |
Total Investments (100.0%) (Cost $10,304,658) | 10,389,576 | ||
Other Assets and Liabilities-Net (0.0%) | (1,864) | ||
Net Assets (100%) | 10,387,712 |
1 Securities with a value of $1,808,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $306,000 have been segregated as collateral for open over-the-counter swap contracts.
3 Securities with a value of $8,541,000 have been segregated as initial margin for open cleared swap contracts.
4 U.S. government-guaranteed.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 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.
8 Adjustable-rate security.
9 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 June 30, 2016, the aggregate value of these securities was $1,567,922,000, representing 15.1% of net assets.
10 Guaranteed by the Government of Japan.
11 Guaranteed by multiple countries.
12 Guaranteed by the Federal Republic of Germany.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Institutional Short-Term Bond Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 2,663,568 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 3,316,527 | — |
Corporate Bonds | — | 3,275,272 | |
Sovereign Bonds | — | 931,667 | — |
Taxable Municipal Bonds | — | 26,749 | — |
Temporary Cash Investments | 175,793 | — | — |
Futures Contracts—Assets1 | 1,030 | — | — |
Futures Contracts—Liabilities1 | (466) | — | — |
Swap Contracts—Assets | 2301 | 377 | — |
Swap Contracts—Liabilities | (1231) | (58) | — |
Total | 176,464 | 10,214,102 | |
1 Represents variation margin on the last day of the reporting period. |
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
Institutional Short-Term Bond Fund
At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value Long | Appreciation | ||
Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
2-Year U.S. Treasury Note | September 2016 | 5,829 | 1,278,464 | 8,198 |
5-Year U.S. Treasury Note | September 2016 | (2,183) | (266,684) | (3,007) |
10-Year U.S. Treasury Note | September 2016 | (968) | (128,729) | (2,171) |
Ultra 10-Year U.S. Treasury Note | September 2016 | (265) | (38,603) | (1,372) |
30-Year U.S. Treasury Bond | September 2016 | 46 | 7,928 | 456 |
Ultra Long U.S. Treasury Bond | September 2016 | 23 | 4,286 | 283 |
2,387 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
D. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
Institutional Short-Term Bond Fund
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
Institutional Short-Term Bond Fund
At period ended June 30, 2016, the fund had the following open swap contracts:
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Federation of Malaysia/A3 | 6/20/21 | BARC | 16,500 | 479 | 1.000 | 46 |
Federation of Malaysia/A3 | 6/20/21 | BNPSW | 13,000 | 376 | 1.000 | 34 |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 6,100 | 114 | 1.000 | 83 |
People’s Republic of China/Aa3 | 12/20/20 | JPMC | 6,200 | 79 | 1.000 | 47 |
Republic of Chile/Aa3 | 12/20/20 | GSCM | 7,200 | 111 | 1.000 | 149 |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 18,750 | (56) | 1.000 | (18) |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 3,750 | 11 | 1.000 | 18 |
Republic of Chile/Aa3 | 6/20/21 | JPMC | 7,600 | (19) | 1.000 | (4) |
79,100 | 355 | |||||
Credit Protection Purchased | ||||||
El Du Pont De Nemours & Co. | 12/20/20 | JPMC | 4,915 | 106 | (1.000) | (36) |
319 |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
BARC--Barclays Bank plc.
BNPSW—BNP Paribas.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
Institutional Short-Term Bond Fund | |||||||
Centrally Cleared Interest Rate Swaps | |||||||
Fixed | |||||||
Interest | Floating | ||||||
Rate | Interest | Unrealized | |||||
Future | Notional | Received | Rate | Appreciation | |||
Termination | Effective | Amount | (Paid) | Received | (Depreciation | ||
Date | Date | Clearinghouse | ($000) | (%) | (Paid) (%) | ) ($000) | |
8/15/17 | NA | LCH | 150,000 | 0.981 | (0.442) | 2 | 789 |
9/21/17 | 9/21/161 | CME | 158,652 | (1.250) | 0.000 | 3 | (207) |
3/15/18 | NA | CME | 84,500 | 0.899 | (0.442) | 2 | 507 |
9/21/18 | 9/21/161 | CME | 582,477 | 1.500 | (0.000) | 3 | 1,676 |
8/15/19 | NA | LCH | 70,000 | (1.524) | 0.442 | 2 | (1,856) |
9/21/19 | 9/21/161 | CME | 6,008 | 1.500 | (0.000) | 3 | 25 |
8/15/20 | NA | LCH | 200,000 | (1.486) | 0.442 | 2 | (5,894) |
9/21/20 | 9/21/161 | CME | 76,072 | (1.750) | 0.000 | 3 | (408) |
11/30/20 | 10/5/161 | CME | 28,504 | (1.338) | 0.000 | 3 | (450) |
9/21/21 | 9/21/161 | CME | 70,100 | (2.000) | 0.000 | 3 | (445) |
9/21/23 | 9/21/161 | LCH | 1,886 | (2.250) | 0.000 | 3 | (16) |
(6,279) |
CME—Chicago Mercantile Exchange.
LCH—London Clearing House.
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date.
2 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
E. At June 30, 2016, the cost of investment securities for tax purposes was $10,304,658,000. Net unrealized appreciation of investment securities for tax purposes was $84,918,000, consisting of unrealized gains of $91,169,000 on securities that had risen in value since their purchase and $6,251,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Core Bond Fund
Schedule of Investments
As of June 30, 2016
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (63.4%) | ||||
U.S. Government Securities (37.2%) | ||||
United States Treasury Inflation Indexed | ||||
Bonds | 0.125% | 4/15/17 | 22,000 | 23,316 |
United States Treasury Inflation Indexed | ||||
Bonds | 0.125% | 4/15/21 | 4,661 | 4,822 |
United States Treasury Inflation Indexed | ||||
Bonds | 0.625% | 1/15/26 | 8,037 | 8,526 |
United States Treasury Note/Bond | 0.625% | 7/31/17 | 1,400 | 1,402 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 3,500 | 3,515 |
United States Treasury Note/Bond | 0.875% | 11/30/17 | 1,200 | 1,205 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 4,285 | 4,297 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 5,000 | 5,014 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 5,000 | 5,034 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 2,000 | 2,010 |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 50 | 50 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 44 | 46 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 1,200 | 1,225 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 11,563 | 11,695 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 800 | 817 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 14,100 | 14,129 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 1,500 | 1,527 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 4,500 | 4,539 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 432 | 443 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 3,400 | 3,416 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 2,250 | 2,301 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 303 | 372 |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 650 | 662 |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 650 | 662 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 900 | 930 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 650 | 669 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 1,000 | 1,045 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 1,586 | 1,641 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 2,400 | 2,443 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 700 | 736 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 6,925 | 6,975 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 800 | 837 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 2,000 | 2,024 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 1,744 | 1,775 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 2,300 | 2,435 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 1,200 | 1,222 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 2,050 | 2,147 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 580 | 611 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 2,300 | 2,437 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 950 | 995 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 900 | 942 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 2,000 | 2,048 |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 500 | 515 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 460 | 482 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 1,000 | 1,015 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 980 | 994 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 5,500 | 5,675 | |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 8,500 | 9,209 | |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 244 | 269 | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 2,000 | 2,113 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 500 | 523 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 2,730 | 2,914 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 2,468 | 2,497 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 1,600 | 1,621 | |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 200 | 296 | |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 800 | 1,196 | |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 1,601 | 2,363 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 1,950 | 2,984 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 1,200 | 1,886 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 1,000 | 1,483 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 1,200 | 1,728 | |
1 | United States Treasury Note/Bond | 4.750% | 2/15/37 | 2,850 | 4,240 |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 608 | 935 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 1,650 | 2,155 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 3,100 | 3,664 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 1,400 | 1,656 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 6,600 | 7,629 | |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 1,050 | 1,179 | |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 2,182 | 2,511 | |
2 | United States Treasury Note/Bond | 2.500% | 2/15/46 | 8,000 | 8,338 |
205,007 | |||||
Agency Bonds and Notes (5.8%) | |||||
3 | Federal Home Loan Banks | 0.875% | 6/29/18 | 3,700 | 3,713 |
3 | Federal Home Loan Banks | 1.375% | 2/18/21 | 6,000 | 6,071 |
4 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 1,250 | 1,251 |
4 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 2,500 | 2,513 |
4 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 5,000 | 5,148 |
3 | Financing Corp. | 0.000% | 11/11/17 | 3,000 | 2,972 |
Private Export Funding Corp. | 5.450% | 9/15/17 | 500 | 528 | |
Private Export Funding Corp. | 2.250% | 12/15/17 | 3,000 | 3,065 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 150 | 157 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 1,300 | 1,459 | |
Residual Funding Corp. Principal Strip | 0.000% | 10/15/20 | 2,000 | 1,900 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/27 | 1,300 | 1,023 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 3,000 | 2,274 | |
32,074 | |||||
Conventional Mortgage-Backed Securities (20.2%) | |||||
4,5,6Fannie Mae Pool | 2.500% | 8/1/30–7/1/31 | 8,225 | 8,509 | |
4,5,6Fannie Mae Pool | 3.000% | 7/1/31–7/1/46 | 11,495 | 11,978 | |
4,5,6Fannie Mae Pool | 3.500% | 7/1/31–7/1/46 | 14,427 | 15,287 | |
4,5,6Fannie Mae Pool | 4.000% | 7/1/31–7/1/46 | 20,151 | 21,659 | |
4,5,6Fannie Mae Pool | 4.500% | 1/1/41–7/1/46 | 4,750 | 5,254 | |
4,5 | Fannie Mae Pool | 5.000% | 8/1/39–3/1/44 | 8,063 | 9,062 |
4,5,6Freddie Mac Gold Pool | 2.500% | 8/1/30–7/1/31 | 2,550 | 2,633 | |
4,5,6Freddie Mac Gold Pool | 3.000% | 8/1/30–7/1/46 | 6,350 | 6,604 | |
4,5 | Freddie Mac Gold Pool | 4.000% | 1/1/46 | 211 | 228 |
4,5,6Freddie Mac Gold Pool | 5.000% | 7/1/46 | 800 | 882 | |
5,6 | Ginnie Mae I Pool | 4.000% | 7/15/45–7/1/46 | 1,435 | 1,542 |
5,6 | Ginnie Mae I Pool | 4.500% | 2/15/39–7/1/46 | 3,464 | 3,840 |
5,6 | Ginnie Mae I Pool | 5.000% | 3/15/38–7/1/45 | 2,788 | 3,113 |
5,6 | Ginnie Mae II Pool | 3.000% | 7/1/46–8/1/46 | 6,070 | 6,335 |
5,6 | Ginnie Mae II Pool | 3.500% | 2/20/45–8/1/46 | 11,686 | 12,430 |
5 | Ginnie Mae II Pool | 4.500% | 11/20/44–8/1/46 | 1,429 | 1,564 |
110,920 | |||||
Nonconventional Mortgage-Backed Securities (0.2%) | |||||
4,5,7Freddie Mac Non Gold Pool | 2.517% | 7/1/35 | 1,050 | 1,111 | |
1,111 | |||||
Total U.S. Government and Agency Obligations (Cost $344,226) | 349,112 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (13.1%) | |||||
5 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 1,500 | 1,507 |
5,8 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 98 | 105 |
5 | AmeriCredit Automobile Receivables Trust | ||||
2014-1 | 2.150% | 3/9/20 | 90 | 91 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2014-2 | 2.180% | 6/8/20 | 60 | 60 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2015-3 | 3.340% | 8/8/21 | 285 | 292 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 1.600% | 11/9/20 | 170 | 171 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.210% | 5/10/21 | 30 | 30 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 2.870% | 11/8/21 | 20 | 21 | |
5 | AmeriCredit Automobile Receivables Trust | ||||
2016-2 | 3.650% | 5/9/22 | 125 | 127 | |
5,8 | Applebee's Funding LLC/IHOP Funding LLC | ||||
2014-1 | 4.277% | 9/5/44 | 60 | 61 | |
5,8 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 79 | 77 |
5,8 | Aventura Mall Trust 2013-AVM | 3.867% | 12/5/32 | 800 | 865 |
5,8 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2013-2A | 2.970% | 2/20/20 | 575 | 590 | |
5,8 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2015-2A | 2.630% | 12/20/21 | 155 | 157 | |
5,8 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2016-1A | 2.990% | 6/20/22 | 100 | 103 | |
5,8 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2016-2 | 2.720% | 11/20/22 | 420 | 427 | |
8 | Bank of Montreal | 1.750% | 6/15/21 | 260 | 261 |
Bank of Nova Scotia | 1.875% | 4/26/21 | 330 | 333 | |
5,7 | Cabelas Credit Card Master Note Trust | ||||
2016-1 | 0.998% | 6/15/22 | 1,100 | 1,101 | |
5,8 | California Republic Auto Receivables Trust | ||||
2015-4 | 2.580% | 6/15/21 | 81 | 83 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.560% | 7/15/20 | 160 | 160 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 1.830% | 12/15/21 | 130 | 131 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 2.520% | 5/16/22 | 210 | 212 | |
5 | California Republic Auto Receivables Trust | ||||
2016-2 | 3.510% | 3/15/23 | 210 | 212 | |
5 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 360 | 363 |
5,7 | Capital One Multi-Asset Execution Trust | ||||
2016-A1 | 0.900% | 2/15/22 | 800 | 801 | |
5,7 | Capital One Multi-Asset Execution Trust | ||||
2016-A2 | 1.066% | 2/15/24 | 410 | 411 | |
5 | Carmax Auto Owner Trust 2016-2 | 2.160% | 12/15/21 | 100 | 101 |
5 | Carmax Auto Owner Trust 2016-2 | 3.250% | 11/15/22 | 100 | 101 |
5 | CFCRE Commercial Mortgage Trust 2016- | ||||
C4 | 3.283% | 5/10/58 | 350 | 368 | |
5,7 | Chase Issuance Trust 2016-A1 | 0.852% | 5/17/21 | 700 | 701 |
5,8 | Chesapeake Funding II LLC 2016-2 | 1.880% | 6/15/28 | 610 | 612 |
5,8 | Chrysler Capital Auto Receivables Trust | ||||
2014-BA | 3.440% | 8/16/21 | 200 | 199 | |
5,8 | Chrysler Capital Auto Receivables Trust | ||||
2016-AA | 1.960% | 1/18/22 | 600 | 605 | |
5,8 | Chrysler Capital Auto Receivables Trust | ||||
2016-AA | 2.880% | 2/15/22 | 90 | 91 | |
5,8 | Chrysler Capital Auto Receivables Trust | ||||
2016-AA | 4.220% | 1/17/23 | 90 | 91 | |
5 | Citigroup Commercial Mortgage Trust 2012- | ||||
GC25 | 4.345% | 10/10/47 | 140 | 155 | |
5 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC19 | 4.023% | 3/10/47 | 350 | 390 | |
5 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 3.622% | 7/10/47 | 500 | 545 | |
5 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC23 | 4.175% | 7/10/47 | 230 | 246 | |
5 | Citigroup Commercial Mortgage Trust 2014- | ||||
GC25 | 3.635% | 10/10/47 | 1,400 | 1,519 | |
5 | Citigroup Commercial Mortgage Trust 2015- | ||||
GC27 | 3.137% | 2/10/48 | 450 | 473 | |
5 | Citigroup Commercial Mortgage Trust 2016- | ||||
C1 | 3.209% | 5/10/49 | 450 | 473 | |
5 | Citigroup/Deutsche Bank Commercial | ||||
Mortgage Trust 2016-C1 | 3.506% | 5/10/49 | 140 | 125 | |
5,8 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 83 | 84 |
5 | CNH Equipment Trust 2016-B | 1.970% | 11/15/21 | 600 | 607 |
5,7,8Colony American Homes 2015-1 | 1.646% | 7/17/32 | 185 | 183 | |
5,7,8Colony American Homes Single-Family | |||||
Rental Pass-Through Certificates 2015-1 | 1.935% | 7/17/32 | 70 | 69 | |
5,7,8Colony Starwood Homes 2016-1 Trust | 1.946% | 7/17/33 | 495 | 495 | |
5,7,8Colony Starwood Homes 2016-1 Trust | 2.596% | 7/17/33 | 185 | 185 | |
5 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 500 | 526 |
5 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 500 | 557 |
5,8 | COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 210 | 216 |
5,8 | COMM 2013-CR9 Mortgage Trust | 4.399% | 7/10/45 | 230 | 235 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 500 | 559 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.865% | 2/10/47 | 240 | 270 |
5 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 500 | 556 |
5 | COMM 2014-CR17 Mortgage Trust | 4.895% | 5/10/47 | 190 | 193 |
5 | COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 500 | 543 |
5 | COMM 2015-CR22 Mortgage Trust | 3.309% | 3/10/48 | 450 | 476 |
5 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.808% | 11/15/48 | 350 | 386 |
5,8 | DB Master Finance LL 2015-1A | 3.980% | 2/20/45 | 59 | 61 |
5,8 | Drive Auto Receivables Trust 2015-A | 3.060% | 5/17/21 | 500 | 501 |
5,8 | Drive Auto Receivables Trust 2015-DA | 4.590% | 1/17/23 | 132 | 133 |
5,8 | Drive Auto Receivables Trust 2016-B | 4.530% | 8/15/23 | 200 | 202 |
5,8 | Drive Auto Receivables Trust 2016-BA | 1.670% | 7/15/19 | 1,000 | 1,001 |
5,8 | Drive Auto Receivables Trust 2016-BA | 2.560% | 6/15/20 | 420 | 421 |
5,8 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 270 | 271 |
5,7,8Evergreen Credit Card Trust 2016-1A | 1.162% | 4/15/20 | 1,175 | 1,175 | |
5,8 | Ford Credit Auto Owner Trust 2014-1 | 2.260% | 11/15/25 | 190 | 194 |
5,8 | Ford Credit Auto Owner Trust 2014-1 | 2.410% | 11/15/25 | 150 | 151 |
5,8 | Ford Credit Auto Owner Trust 2014-2 | 2.310% | 4/15/26 | 1,050 | 1,077 |
5,8 | Ford Credit Auto Owner Trust 2014-2 | 2.510% | 4/15/26 | 200 | 203 |
5,8 | Ford Credit Auto Owner Trust 2016-1 | 2.310% | 8/15/27 | 100 | 103 |
5,8 | Ford Credit Auto Owner Trust 2016-2 | 2.030% | 12/15/27 | 200 | 201 |
5 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 200 | 201 |
5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-1 | 2.310% | 2/15/21 | 200 | 201 | |
5,7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 0.942% | 2/15/21 | 1,000 | 996 | |
5,7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-2 | 1.012% | 1/15/22 | 630 | 628 | |
5,7 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.342% | 2/15/21 | 400 | 402 | |
4,5,7Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA2 | 1.703% | 10/25/28 | 246 | 247 | |
4,5,7Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 1.546% | 12/25/28 | 250 | 250 | |
4,5,7Freddie Mac Structured Agency Credit Risk | |||||
Debt Notes 2016-DNA3 | 2.446% | 12/25/28 | 250 | 251 | |
5,7 | GE Dealer Floorplan Master Note Trust | ||||
Series 2015-2 | 1.098% | 1/20/22 | 370 | 368 | |
5 | GM Financial Leasing Trust 2015-2 | 2.420% | 7/22/19 | 420 | 424 |
5 | GM Financial Leasing Trust 2015-2 | 2.990% | 7/22/19 | 50 | 50 |
5 | GM Financial Leasing Trust 2016-2 | 1.620% | 9/20/19 | 130 | 131 |
5 | GM Financial Leasing Trust 2016-2 | 1.760% | 3/20/20 | 900 | 906 |
5 | GM Financial Leasing Trust 2016-2 | 2.580% | 3/20/20 | 190 | 191 |
5,8 | GMF Floorplan Owner Revolving Trust 2015- | ||||
1 | 1.970% | 5/15/20 | 250 | 249 | |
5,7,8GMF Floorplan Owner Revolving Trust 2016- | |||||
1 | 1.292% | 5/17/21 | 800 | 797 | |
5,8 | GMF Floorplan Owner Revolving Trust 2016- | ||||
1 | 2.410% | 5/17/21 | 330 | 331 | |
5,8 | GMF Floorplan Owner Revolving Trust 2016- | ||||
1 | 2.850% | 5/17/21 | 330 | 331 | |
5,7,8Golden Credit Card Trust 2014-2A | 0.892% | 3/15/21 | 680 | 675 | |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 350 | 372 |
5 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 450 | 501 |
5 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 400 | 444 |
5 | GS Mortgage Securities Trust 2014-GC24 | 4.641% | 9/10/47 | 170 | 191 |
5 | GS Mortgage Securities Trust 2014-GC24 | 4.662% | 9/10/47 | 150 | 154 |
5 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 500 | 532 |
5 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 450 | 481 |
5 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 500 | 550 |
5,8 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 680 | 681 |
5,8 | Hertz Vehicle Financing LLC 2015-1 | 2.730% | 3/25/21 | 850 | 869 |
5,8 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 120 | 121 |
5,8 | Hertz Vehicle Financing LLC 2016-4 | 2.650% | 7/25/22 | 340 | 343 |
5,8 | Hyundai Auto Lease Securitization Trust | ||||
2016-B | 1.680% | 4/15/20 | 1,000 | 1,002 | |
5,8 | Hyundai Floorplan Master Owner Trust | ||||
Series 2016-1A | 1.810% | 3/15/21 | 110 | 110 | |
5,7,8Invitation Homes 2014-SFR1 Trust | 1.946% | 6/17/31 | 275 | 274 | |
5,7,8Invitation Homes 2015-SFR2 Trust | 2.093% | 6/17/32 | 70 | 69 | |
5,7,8Invitation Homes 2015-SFR3 Trust | 2.196% | 8/17/32 | 70 | 69 | |
5,8 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.717% | 2/15/46 | 1,700 | 1,887 | |
5 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 4.189% | 1/15/46 | 230 | 231 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.363% | 7/15/45 | 1,600 | 1,720 |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 5.212% | 11/15/45 | 30 | 32 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 500 | 560 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.494% | 1/15/48 | 500 | 539 | |
5 | JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C27 | 3.179% | 2/15/48 | 450 | 474 | |
5,7,8Mercedes-Benz Master Owner Trust 2016-B | 1.142% | 5/17/21 | 800 | 800 | |
5,8 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 290 | 293 |
5,8 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2012-CKSV | 3.277% | 10/15/30 | 1,700 | 1,760 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C10 | 4.219% | 7/15/46 | 200 | 205 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2013-C12 | 4.259% | 10/15/46 | 400 | 453 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C15 | 5.058% | 4/15/47 | 150 | 156 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C17 | 3.741% | 8/15/47 | 500 | 549 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C18 | 3.923% | 10/15/47 | 1,300 | 1,442 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2014-C19 | 3.526% | 12/15/47 | 450 | 490 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C20 | 3.249% | 2/15/48 | 475 | 502 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C22 | 3.306% | 4/15/48 | 450 | 472 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2015-C24 | 3.732% | 5/15/48 | 350 | 384 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2016-C29 | 3.325% | 5/15/49 | 400 | 425 | |
5 | Morgan Stanley Bank of America Merrill | ||||
Lynch Trust 2016-C29 | 4.912% | 5/15/49 | 160 | 159 | |
5 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 350 | 387 |
8 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 50 | 51 |
5,7,8Navient Student Loan Trust 2016-2 | 1.503% | 6/25/65 | 200 | 201 | |
5,7,8Navient Student Loan Trust 2016-3 | 1.457% | 6/25/65 | 60 | 60 | |
5,8 | NextGear Floorplan Master Owner Trust | ||||
2016-1A | 2.740% | 4/15/21 | 580 | 584 | |
5 | Nissan Auto Lease Trust 2016-A | 1.650% | 10/15/21 | 1,000 | 1,004 |
5,8 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 700 | 710 |
5,8 | Progress Residential 2015-SFR3 Trust | 3.067% | 11/12/32 | 414 | 426 |
5,7,8Resimac MBS Trust 2016-1A | 1.835% | 10/10/47 | 800 | 801 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 390 | 398 | |
Royal Bank of Canada | 2.300% | 3/22/21 | 600 | 617 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 1.560% | 5/15/20 | 870 | 872 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.080% | 2/16/21 | 215 | 216 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 2.660% | 11/15/21 | 170 | 172 | |
5 | Santander Drive Auto Receivables Trust | ||||
2016-2 | 3.390% | 4/15/22 | 140 | 142 | |
5,8 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 440 | 446 |
5,8 | SoFi Professional Loan Program SOFI 2016- | ||||
BX | 2.740% | 10/25/32 | 470 | 477 | |
5,8 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 250 | 253 |
5 | Synchrony Credit Card Master Note Trust | ||||
2015-1 | 2.370% | 3/15/23 | 385 | 398 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2015-3 | 2.380% | 9/15/23 | 337 | 347 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2016-1 | 2.390% | 3/15/22 | 345 | 349 | |
5 | Synchrony Credit Card Master Note Trust | ||||
2016-2 | 2.210% | 5/15/24 | 470 | 478 | |
5,8 | Taco Bell Funding LLC 2016-1 | 3.832% | 5/25/46 | 59 | 60 |
5,8 | Taco Bell Funding LLC 2016-1 | 4.377% | 5/25/46 | 36 | 37 |
5,8 | Taco Bell Funding LLC 2016-1 | 4.970% | 5/25/46 | 31 | 32 |
8 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 350 | 359 |
5,7,8Trillium Credit Card Trust II 2016-1A | 1.185% | 5/26/21 | 760 | 760 | |
5,8 | Volkswagen Credit Auto Master Owner Trust | ||||
2014-1A | 1.400% | 7/22/19 | 300 | 296 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.218% | 7/15/46 | 350 | 394 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 4.433% | 7/15/46 | 450 | 500 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C27 | 3.190% | 2/15/48 | 500 | 528 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C29 | 3.637% | 6/15/48 | 350 | 378 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2015-C30 | 4.646% | 9/15/58 | 200 | 201 | |
5 | Wells Fargo Commercial Mortgage Trust | ||||
2015-LC22 | 4.690% | 9/15/58 | 160 | 162 | |
5,8 | Wendys Funding LLC 2015-1 | 3.371% | 6/15/45 | 179 | 179 |
5,8 | Wendys Funding LLC 2015-1 | 4.080% | 6/15/45 | 57 | 58 |
5,8 | Wendys Funding LLC 2015-1 | 4.497% | 6/15/45 | 50 | 50 |
8 | Westpac Banking Corp. | 2.250% | 11/9/20 | 365 | 374 |
8 | Westpac Banking Corp. | 2.100% | 2/25/21 | 95 | 97 |
5 | WFRBS Commercial Mortgage Trust 2014- | ||||
C21 | 3.678% | 8/15/47 | 500 | 545 | |
5 | WFRBS Commercial Mortgage Trust 2014- | ||||
C24 | 3.607% | 11/15/47 | 450 | 488 | |
5 | WFRBS Commercial Mortgage Trust 2014- | ||||
LC14 | 4.045% | 3/15/47 | 500 | 557 | |
5 | World Financial Network Credit Card Master | ||||
Note Trust Series 2012-D | 2.150% | 4/17/23 | 1,000 | 1,022 | |
5 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-B | 2.550% | 6/17/24 | 220 | 227 | |
5 | World Omni Auto Receivables Trust 2015-B | 2.150% | 8/15/22 | 175 | 177 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $71,267) | 72,176 | ||||
Corporate Bonds (26.4%) | |||||
Finance (10.3%) | |||||
Banking (5.2%) | |||||
8 | ABN AMRO Bank NV | 4.750% | 7/28/25 | 600 | 618 |
8 | ABN AMRO Bank NV | 4.800% | 4/18/26 | 200 | 209 |
8 | Australia & New Zealand Banking Group Ltd. | 4.400% | 5/19/26 | 300 | 306 |
Bank of America Corp. | 5.700% | 1/24/22 | 370 | 427 | |
Bank of America Corp. | 3.300% | 1/11/23 | 546 | 561 | |
Bank of America Corp. | 4.000% | 4/1/24 | 500 | 534 | |
Bank of America Corp. | 3.875% | 8/1/25 | 400 | 424 | |
Bank of Nova Scotia | 4.500% | 12/16/25 | 240 | 253 | |
8 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 600 | 612 |
9 | BPCE SA | 2.875% | 4/22/26 | 200 | 222 |
Citigroup Inc. | 4.500% | 1/14/22 | 645 | 713 | |
Citigroup Inc. | 3.875% | 10/25/23 | 325 | 349 | |
Citigroup Inc. | 3.700% | 1/12/26 | 450 | 472 | |
8 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 300 | 314 |
8 | Commonwealth Bank of Australia | 2.850% | 5/18/26 | 215 | 218 |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 250 | 256 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 780 | 806 | |
8 | Credit Agricole SA/London | 2.375% | 7/1/21 | 360 | 364 |
8 | Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 410 | 409 |
Discover Financial Services | 5.200% | 4/27/22 | 370 | 407 | |
First Republic Bank | 2.375% | 6/17/19 | 510 | 516 | |
10 | Goldman Sachs Group Inc. | 6.125% | 5/14/17 | 100 | 138 |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 41 | 42 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 600 | 626 | |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 822 | 862 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 480 | 600 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 1,107 | 1,219 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 180 | 182 | |
HSBC Holdings plc | 3.600% | 5/23/23 | 480 | 491 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 1,000 | 1,060 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 440 | 453 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 600 | 607 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 1,290 | 1,312 | |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 250 | 253 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 182 | 183 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 340 | 348 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 216 | 271 | |
Lloyds Bank Group plc | 4.650% | 3/24/26 | 1,275 | 1,286 | |
8 | Macquarie Bank Ltd. | 2.600% | 6/24/19 | 78 | 80 |
8 | Macquarie Bank Ltd. | 3.900% | 1/15/26 | 360 | 376 |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 510 | 529 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 200 | 219 | |
Morgan Stanley | 2.200% | 12/7/18 | 1,134 | 1,148 | |
Morgan Stanley | 2.500% | 4/21/21 | 66 | 67 | |
Morgan Stanley | 3.750% | 2/25/23 | 500 | 530 | |
Morgan Stanley | 3.875% | 1/27/26 | 1,420 | 1,509 | |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 570 | 576 | |
8 | Nordea Bank AB | 2.250% | 5/27/21 | 350 | 354 |
PNC Bank NA | 3.250% | 6/1/25 | 270 | 285 | |
8 | Santander UK Group Holdings plc | 4.750% | 9/15/25 | 1,320 | 1,314 |
State Street Corp. | 2.650% | 5/19/26 | 35 | 36 | |
Synchrony Financial | 4.500% | 7/23/25 | 900 | 934 | |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 440 | 448 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 210 | 216 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 258 | 264 | |
Wells Fargo & Co. | 5.375% | 2/7/35 | 150 | 182 | |
Wells Fargo & Co. | 4.400% | 6/14/46 | 110 | 111 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 179 | 185 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 410 | 414 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 200 | 203 | |
Brokerage (0.2%) | |||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 250 | 264 | |
8 | Apollo Management Holdings LP | 4.400% | 5/27/26 | 525 | 545 |
Invesco Finance plc | 4.000% | 1/30/24 | 180 | 198 |
Finance Companies (0.5%) | |||||
AerCap Ireland Capital Ltd. / AerCap Global | |||||
Aviation Trust | 3.750% | 5/15/19 | 150 | 150 | |
AerCap Ireland Capital Ltd. / AerCap Global | |||||
Aviation Trust | 3.950% | 2/1/22 | 150 | 149 | |
Air Lease Corp. | 3.375% | 1/15/19 | 1,824 | 1,856 | |
8 | GE Capital International Funding Co. | 4.418% | 11/15/35 | 400 | 448 |
Insurance (2.8%) | |||||
Aetna Inc. | 2.400% | 6/15/21 | 75 | 77 | |
Aetna Inc. | 2.800% | 6/15/23 | 250 | 255 | |
Aetna Inc. | 3.200% | 6/15/26 | 500 | 513 | |
Aetna Inc. | 4.250% | 6/15/36 | 250 | 258 | |
Aetna Inc. | 4.375% | 6/15/46 | 100 | 104 | |
5,9 | Allianz Finance II BV | 5.750% | 7/8/41 | 300 | 379 |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 432 | 442 | |
9 | American International Group Inc. | 1.500% | 6/8/23 | 243 | 271 |
Aon plc | 3.500% | 6/14/24 | 500 | 516 | |
5,9 | Aquarius and Investments plc for Zurich | ||||
Insurance Co. Ltd. | 4.250% | 10/2/43 | 260 | 312 | |
5,9 | AXA SA | 5.125% | 7/4/43 | 100 | 126 |
5,9 | AXA SA | 3.875% | 5/20/49 | 225 | 244 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 90 | 101 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 1,110 | 1,147 | |
5 | Chubb Corp. | 6.375% | 3/29/67 | 25 | 22 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 500 | 523 | |
CNA Financial Corp. | 4.500% | 3/1/26 | 552 | 591 | |
5,10 CNP Assurances | 7.375% | 9/30/41 | 100 | 143 | |
5,9 | CNP Assurances | 4.500% | 6/10/47 | 100 | 105 |
5,9 | Credit Agricole Assurances SA | 4.250% | 1/29/49 | 100 | 105 |
5,9 | Credit Agricole Assurances SA | 4.500% | 10/31/49 | 100 | 105 |
First American Financial Corp. | 4.600% | 11/15/24 | 290 | 304 | |
8 | Five Corners Funding Trust | 4.419% | 11/15/23 | 828 | 898 |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 100 | 103 | |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 520 | 553 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 1,305 | 1,401 | |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 180 | 184 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 1,580 | 1,636 | |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 500 | 527 | |
5 | Progressive Corp. | 6.700% | 6/15/67 | 210 | 192 |
Prudential Financial Inc. | 4.500% | 11/15/20 | 20 | 22 | |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 170 | 184 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 395 | 406 | |
8 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 240 | 241 |
8 | TIAA Asset Management Finance Co. LLC | 4.125% | 11/1/24 | 246 | 259 |
Trinity Acquisition plc | 3.500% | 9/15/21 | 610 | 634 | |
9 | Trinity Acquisition plc | 2.125% | 5/26/22 | 200 | 222 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 50 | 54 | |
Trinity Acquisition plc | 6.125% | 8/15/43 | 102 | 114 | |
Voya Financial Inc. | 3.650% | 6/15/26 | 60 | 60 | |
XLIT Ltd. | 6.375% | 11/15/24 | 948 | 1,145 | |
Real Estate Investment Trusts (1.6%) | |||||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 345 | 358 | |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 113 | 114 | |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 294 | 302 | |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 710 | 729 | |
ERP Operating LP | 4.750% | 7/15/20 | 775 | 860 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 759 | 773 | |
Liberty Property LP | 4.400% | 2/15/24 | 1,250 | 1,347 | |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 1,075 | 1,137 | |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 625 | 619 | |
9 | Prologis International Funding II SA | 1.876% | 4/17/25 | 250 | 285 |
Sovran Acquisition LP | 3.500% | 7/1/26 | 662 | 668 | |
Ventas Realty LP | 3.125% | 6/15/23 | 210 | 214 | |
Welltower Inc. | 5.250% | 1/15/22 | 1,068 | 1,195 | |
56,592 | |||||
Industrial (13.8%) | |||||
Basic Industry (0.8%) | |||||
Agrium Inc. | 3.375% | 3/15/25 | 600 | 618 | |
Agrium Inc. | 5.250% | 1/15/45 | 200 | 217 | |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 45 | 46 | |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 300 | 306 | |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 300 | 304 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 270 | 294 | |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 270 | 314 | |
Dow Chemical Co. | 8.550% | 5/15/19 | 187 | 223 | |
Goldcorp Inc. | 3.700% | 3/15/23 | 300 | 305 | |
International Paper Co. | 4.800% | 6/15/44 | 150 | 153 | |
LYB International Finance BV | 4.000% | 7/15/23 | 360 | 387 | |
9 | LYB International Finance II BV | 1.875% | 3/2/22 | 200 | 232 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 100 | 103 | |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 100 | 113 | |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 200 | 211 | |
Praxair Inc. | 4.500% | 8/15/19 | 400 | 440 | |
Praxair Inc. | 4.050% | 3/15/21 | 75 | 83 | |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 30 | 31 | |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 95 | 95 | |
Capital Goods (0.9%) | |||||
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 175 | 176 | |
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 400 | 411 | |
Embraer Netherlands BV | 5.050% | 6/15/25 | 600 | 592 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 612 | 855 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 600 | 830 | |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 125 | 141 | |
John Deere Capital Corp. | 2.800% | 3/6/23 | 950 | 994 | |
Raytheon Co. | 3.150% | 12/15/24 | 300 | 325 | |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 235 | 244 | |
WW Grainger Inc. | 4.600% | 6/15/45 | 150 | 178 | |
Communication (1.7%) | |||||
21st Century Fox America Inc. | 3.000% | 9/15/22 | 120 | 125 | |
21st Century Fox America Inc. | 4.950% | 10/15/45 | 120 | 136 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 1,100 | 1,216 | |
America Movil SAB de CV | 6.375% | 3/1/35 | 300 | 367 | |
American Tower Corp. | 4.700% | 3/15/22 | 610 | 673 | |
10 | AT&T Inc. | 5.875% | 4/28/17 | 100 | 138 |
AT&T Inc. | 5.350% | 9/1/40 | 200 | 218 | |
AT&T Inc. | 4.800% | 6/15/44 | 600 | 618 | |
9 | British Telecommunications plc | 1.750% | 3/10/26 | 100 | 115 |
8 | Charter Communications Operating LLC / | ||||
Charter Communications Operating | |||||
Capital | 4.908% | 7/23/25 | 120 | 131 |
8 | Charter Communications Operating LLC / | ||||
Charter Communications Operating | |||||
Capital | 6.384% | 10/23/35 | 200 | 236 | |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 250 | 378 | |
Electronic Arts Inc. | 4.800% | 3/1/26 | 120 | 130 | |
Grupo Televisa SAB | 6.125% | 1/31/46 | 600 | 650 | |
Moody's Corp. | 5.250% | 7/15/44 | 210 | 256 | |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 300 | 416 | |
Orange SA | 5.375% | 1/13/42 | 160 | 196 | |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 120 | 126 | |
Verizon Communications Inc. | 5.150% | 9/15/23 | 435 | 507 | |
Verizon Communications Inc. | 4.150% | 3/15/24 | 920 | 1,014 | |
Verizon Communications Inc. | 5.050% | 3/15/34 | 450 | 500 | |
Verizon Communications Inc. | 4.400% | 11/1/34 | 200 | 207 | |
Verizon Communications Inc. | 3.850% | 11/1/42 | 350 | 331 | |
Verizon Communications Inc. | 5.012% | 8/21/54 | 525 | 558 | |
Vodafone Group plc | 2.950% | 2/19/23 | 250 | 253 | |
Consumer Cyclical (1.9%) | |||||
AutoZone Inc. | 3.125% | 4/21/26 | 250 | 256 | |
8 | BMW US Capital LLC | 2.000% | 4/11/21 | 170 | 171 |
8 | BMW US Capital LLC | 2.800% | 4/11/26 | 175 | 180 |
CVS Health Corp. | 2.800% | 7/20/20 | 120 | 125 | |
CVS Health Corp. | 5.125% | 7/20/45 | 535 | 663 | |
9 | FCA Capital Ireland plc | 1.250% | 9/23/20 | 200 | 222 |
Ford Motor Co. | 4.750% | 1/15/43 | 420 | 441 | |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 1,200 | 1,245 | |
General Motors Co. | 4.000% | 4/1/25 | 240 | 242 | |
General Motors Co. | 6.600% | 4/1/36 | 300 | 347 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 510 | 526 | |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 300 | 315 | |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 650 | 702 | |
8 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 300 | 306 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 150 | 165 | |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 140 | 143 | |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 200 | 260 | |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 100 | 131 | |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 150 | 171 | |
McDonald's Corp. | 3.500% | 7/15/20 | 240 | 257 | |
McDonald's Corp. | 4.700% | 12/9/35 | 420 | 474 | |
9 | Priceline Group Inc. | 1.800% | 3/3/27 | 400 | 419 |
Starbucks Corp. | 2.450% | 6/15/26 | 165 | 167 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 20 | 21 | |
Visa Inc. | 3.150% | 12/14/25 | 355 | 378 | |
Visa Inc. | 4.150% | 12/14/35 | 240 | 272 | |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 300 | 313 | |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 480 | 631 | |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 210 | 281 | |
10 | Walgreens Boots Alliance Inc. | 2.875% | 11/20/20 | 100 | 136 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 180 | 183 | |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 390 | 400 | |
Consumer Noncyclical (3.1%) | |||||
AbbVie Inc. | 2.300% | 5/14/21 | 205 | 207 | |
AbbVie Inc. | 2.900% | 11/6/22 | 510 | 519 | |
AbbVie Inc. | 3.600% | 5/14/25 | 500 | 524 | |
AbbVie Inc. | 4.700% | 5/14/45 | 285 | 301 | |
Actavis Funding SCS | 3.000% | 3/12/20 | 450 | 463 |
Actavis Funding SCS | 3.850% | 6/15/24 | 300 | 315 |
Actavis Funding SCS | 4.550% | 3/15/35 | 700 | 725 |
Actavis Funding SCS | 4.750% | 3/15/45 | 150 | 157 |
Altria Group Inc. | 9.250% | 8/6/19 | 107 | 132 |
Altria Group Inc. | 4.750% | 5/5/21 | 210 | 240 |
Altria Group Inc. | 5.375% | 1/31/44 | 225 | 289 |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 300 | 321 |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 750 | 844 |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 650 | 762 |
Biogen Inc. | 4.050% | 9/15/25 | 135 | 146 |
Biogen Inc. | 5.200% | 9/15/45 | 190 | 214 |
9 Bunge Finance Europe BV | 1.850% | 6/16/23 | 800 | 897 |
9 DH Europe Finance SA | 2.500% | 7/8/25 | 200 | 250 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 200 | 212 |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 910 | 1,001 |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 300 | 300 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 270 | 302 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 160 | 201 |
8 Grupo Bimbo SAB de CV | 4.875% | 6/27/44 | 400 | 394 |
JM Smucker Co. | 3.500% | 3/15/25 | 240 | 259 |
8 Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 100 | 101 |
8 Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 100 | 105 |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 450 | 470 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 300 | 321 |
Medtronic Inc. | 2.500% | 3/15/20 | 180 | 187 |
Medtronic Inc. | 3.500% | 3/15/25 | 250 | 273 |
Medtronic Inc. | 4.375% | 3/15/35 | 150 | 169 |
Medtronic Inc. | 5.550% | 3/15/40 | 240 | 304 |
Medtronic Inc. | 4.625% | 3/15/45 | 200 | 234 |
9 Molson Coors Brewing Co. | 1.250% | 7/15/24 | 100 | 111 |
9 Mondelez International Inc. | 1.000% | 3/7/22 | 100 | 112 |
Mondelez International Inc. | 4.000% | 2/1/24 | 750 | 820 |
9 Mondelez International Inc. | 1.625% | 3/8/27 | 100 | 110 |
Mondelez International Inc. | 6.500% | 2/9/40 | 150 | 206 |
8 Mylan NV | 3.950% | 6/15/26 | 500 | 503 |
Newell Brands Inc. | 5.500% | 4/1/46 | 180 | 214 |
PepsiCo Inc. | 5.500% | 1/15/40 | 200 | 256 |
Perrigo Co. plc | 5.300% | 11/15/43 | 300 | 316 |
Pfizer Inc. | 7.200% | 3/15/39 | 200 | 304 |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 100 | 103 |
Reynolds American Inc. | 4.450% | 6/12/25 | 150 | 168 |
Reynolds American Inc. | 5.700% | 8/15/35 | 400 | 487 |
Reynolds American Inc. | 5.850% | 8/15/45 | 150 | 192 |
Stryker Corp. | 4.625% | 3/15/46 | 210 | 235 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 150 | 166 |
Tyson Foods Inc. | 5.150% | 8/15/44 | 200 | 231 |
Energy (2.6%) | ||||
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 550 | 537 |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 250 | 302 |
Apache Corp. | 3.625% | 2/1/21 | 240 | 250 |
Apache Corp. | 5.100% | 9/1/40 | 100 | 105 |
BP Capital Markets plc | 3.245% | 5/6/22 | 300 | 316 |
BP Capital Markets plc | 2.750% | 5/10/23 | 450 | 453 |
BP Capital Markets plc | 3.506% | 3/17/25 | 300 | 317 |
Chevron Corp. | 2.355% | 12/5/22 | 240 | 244 |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 240 | 257 |
ConocoPhillips Co. | 4.200% | 3/15/21 | 300 | 324 |
ConocoPhillips Co. | 4.950% | 3/15/26 | 725 | 822 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 180 | 224 |
Devon Energy Corp. | 4.000% | 7/15/21 | 200 | 203 |
Devon Energy Corp. | 3.250% | 5/15/22 | 300 | 291 |
Devon Energy Corp. | 5.850% | 12/15/25 | 500 | 552 |
Devon Energy Corp. | 5.000% | 6/15/45 | 125 | 116 |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 355 | 362 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 420 | 445 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 330 | 351 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 360 | 409 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 892 | 942 |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 700 | 722 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 180 | 218 |
EOG Resources Inc. | 2.625% | 3/15/23 | 180 | 179 |
EOG Resources Inc. | 3.900% | 4/1/35 | 120 | 120 |
Marathon Oil Corp. | 3.850% | 6/1/25 | 200 | 183 |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 255 | 261 |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 215 | 227 |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 100 | 110 |
Plains All American Pipeline LP / PAA | ||||
Finance Corp. | 6.500% | 5/1/18 | 150 | 159 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 450 | 483 |
Shell International Finance BV | 2.250% | 1/6/23 | 210 | 210 |
Shell International Finance BV | 2.875% | 5/10/26 | 500 | 508 |
Shell International Finance BV | 3.625% | 8/21/42 | 150 | 146 |
Shell International Finance BV | 4.000% | 5/10/46 | 300 | 308 |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 150 | 167 |
Spectra Energy Partners LP | 3.500% | 3/15/25 | 180 | 185 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 350 | 342 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 150 | 154 |
Total Capital International SA | 2.100% | 6/19/19 | 150 | 154 |
Total Capital International SA | 3.750% | 4/10/24 | 360 | 395 |
Transocean Inc. | 3.750% | 10/15/17 | 750 | 754 |
Williams Partners LP | 4.125% | 11/15/20 | 180 | 178 |
Williams Partners LP | 4.000% | 9/15/25 | 270 | 247 |
Other Industrial (0.1%) | ||||
9 CK Hutchison Finance 16 Ltd. | 1.250% | 4/6/23 | 100 | 111 |
Fluor Corp. | 3.500% | 12/15/24 | 260 | 278 |
9 Hutchison Whampoa Europe Finance 12 Ltd. | 3.625% | 6/6/22 | 100 | 127 |
Technology (1.7%) | ||||
Apple Inc. | 2.850% | 2/23/23 | 790 | 828 |
Apple Inc. | 3.850% | 5/4/43 | 360 | 361 |
Apple Inc. | 3.450% | 2/9/45 | 170 | 160 |
Applied Materials Inc. | 5.100% | 10/1/35 | 125 | 143 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 4.420% | 6/15/21 | 530 | 545 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 5.875% | 6/15/21 | 95 | 97 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 5.450% | 6/15/23 | 490 | 506 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 7.125% | 6/15/24 | 95 | 99 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 6.020% | 6/15/26 | 410 | 425 |
8 Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 8.100% | 7/15/36 | 50 | 54 |
8 | Diamond 1 Finance Corp. / Diamond 2 | ||||
Finance Corp. | 8.350% | 7/15/46 | 50 | 54 | |
EMC Corp. | 3.375% | 6/1/23 | 40 | 36 | |
Equifax Inc. | 3.250% | 6/1/26 | 75 | 77 | |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 75 | 75 | |
Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 1,000 | 1,103 | |
8 | Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 1,000 | 1,045 |
Intel Corp. | 4.900% | 7/29/45 | 180 | 210 | |
Intel Corp. | 4.100% | 5/19/46 | 415 | 432 | |
Lam Research Corp. | 3.450% | 6/15/23 | 1,000 | 1,032 | |
Oracle Corp. | 3.625% | 7/15/23 | 840 | 921 | |
Total System Services Inc. | 4.800% | 4/1/26 | 500 | 543 | |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 65 | 72 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 90 | 95 | |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 84 | 96 | |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 300 | 315 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 225 | 231 | |
Transportation (1.0%) | |||||
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 300 | 371 | |
5,11 Delta Air Lines 2002-1 Class G-1 Pass | |||||
Through Trust | 6.718% | 7/2/24 | 42 | 48 | |
5 | Delta Air Lines 2007-1 Class A Pass | ||||
Through Trust | 6.821% | 2/10/24 | 554 | 645 | |
5 | Delta Air Lines 2007-1 Class B Pass | ||||
Through Trust | 8.021% | 8/10/22 | 73 | 83 | |
8 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 500 | 678 |
Kansas City Southern | 3.125% | 6/1/26 | 230 | 235 | |
8 | Kansas City Southern | 4.300% | 5/15/43 | 250 | 255 |
5 | Southwest Airlines Co. 2007-1 Pass Through | ||||
Trust | 6.650% | 8/1/22 | 91 | 101 | |
5 | UAL 2007-1 Pass Through Trust | 6.636% | 7/2/22 | 1,777 | 1,879 |
Union Pacific Corp. | 4.821% | 2/1/44 | 400 | 481 | |
5 | United Airlines 2014-2 Class B Pass Through | ||||
Trust | 4.625% | 9/3/22 | 332 | 331 | |
5 | United Airlines 2016-1 Class AA Pass | ||||
Through Trust | 3.100% | 7/7/28 | 285 | 293 | |
5 | US Airways 2001-1C Pass Through Trust | 7.346% | 3/20/22 | 51 | 55 |
8 | WestJet Airlines Ltd. | 3.500% | 6/16/21 | 320 | 322 |
76,012 | |||||
Utilities (2.3%) | |||||
Electric (2.3%) | |||||
Ameren Illinois Co. | 3.250% | 3/1/25 | 300 | 323 | |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 150 | 205 | |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 205 | 317 | |
8 | Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 445 | 458 |
8 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 40 | 42 |
CMS Energy Corp. | 3.600% | 11/15/25 | 150 | 160 | |
CMS Energy Corp. | 3.000% | 5/15/26 | 100 | 102 | |
CMS Energy Corp. | 4.875% | 3/1/44 | 150 | 176 | |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 223 | 316 | |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 210 | 240 | |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 50 | 65 | |
8 | EDP Finance BV | 4.125% | 1/15/20 | 1,200 | 1,236 |
8 | Emera US Finance LP | 2.700% | 6/15/21 | 110 | 112 |
8 | Emera US Finance LP | 3.550% | 6/15/26 | 85 | 87 |
8 | Emera US Finance LP | 4.750% | 6/15/46 | 445 | 454 |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 300 | 329 |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 350 | 359 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 300 | 316 |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 590 | 603 |
Exelon Corp. | 3.950% | 6/15/25 | 250 | 270 |
FirstEnergy Corp. | 4.250% | 3/15/23 | 1,105 | 1,140 |
Georgia Power Co. | 5.650% | 3/1/37 | 180 | 223 |
ITC Holdings Corp. | 3.250% | 6/30/26 | 300 | 300 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 150 | 166 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 230 | 301 |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 100 | 140 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 15 | 19 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 180 | 263 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 300 | 408 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 150 | 191 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 240 | 291 |
PacifiCorp | 5.250% | 6/15/35 | 275 | 339 |
PacifiCorp | 6.100% | 8/1/36 | 200 | 269 |
PacifiCorp | 6.000% | 1/15/39 | 235 | 318 |
Puget Energy Inc. | 3.650% | 5/15/25 | 350 | 360 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 100 | 138 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 120 | 163 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 100 | 129 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 150 | 163 |
Southern Co. | 2.350% | 7/1/21 | 100 | 102 |
Southern Co. | 3.250% | 7/1/26 | 130 | 135 |
Southern Co. | 4.400% | 7/1/46 | 255 | 273 |
9 Southern Power Co. | 1.000% | 6/20/22 | 300 | 335 |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 150 | 160 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 210 | 244 |
Westar Energy Inc. | 2.550% | 7/1/26 | 125 | 125 |
12,865 | ||||
Total Corporate Bonds (Cost $141,762) | 145,469 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (3.2%) | ||||
8 CDP Financial Inc. | 4.400% | 11/25/19 | 600 | 660 |
8 Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 570 | 566 |
Ecopetrol SA | 5.875% | 9/18/23 | 150 | 155 |
Electricite de France SA | 3.625% | 10/13/25 | 600 | 625 |
Export-Import Bank of Korea | 2.250% | 1/21/20 | 1,200 | 1,217 |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 500 | 562 |
8 ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 300 | 300 |
Nexen Energy ULC | 6.400% | 5/15/37 | 300 | 374 |
7 Petrobras Global Finance BV | 2.768% | 1/15/19 | 150 | 135 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 130 | 121 |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 418 | 431 |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 110 | 100 |
8 Petroleos Mexicanos | 5.500% | 2/4/19 | 600 | 632 |
Province of Ontario | 2.000% | 1/30/19 | 500 | 511 |
Province of Ontario | 2.500% | 4/27/26 | 50 | 52 |
Quebec | 7.125% | 2/9/24 | 200 | 266 |
Quebec | 7.500% | 9/15/29 | 75 | 114 |
Republic of Colombia | 4.375% | 7/12/21 | 800 | 855 |
Republic of Colombia | 6.125% | 1/18/41 | 300 | 346 |
Republic of Hungary | 6.250% | 1/29/20 | 1,200 | 1,331 |
9 Republic of Indonesia | 3.750% | 6/14/28 | 500 | 560 |
Republic of Indonesia | 5.125% | 1/15/45 | 600 | 638 |
Republic of Kazakhstan | 3.875% | 10/14/24 | 300 | 303 |
Republic of Lithuania | 6.125% | 3/9/21 | 600 | 698 |
5 Republic of Panama | 4.000% | 9/22/24 | 600 | 644 |
Republic of Poland | 5.125% | 4/21/21 | 615 | 690 |
Republic of Poland | 3.250% | 4/6/26 | 45 | 46 |
Republic of Turkey | 5.625% | 3/30/21 | 470 | 512 |
Republic of Turkey | 5.125% | 3/25/22 | 500 | 534 |
Republic of Turkey | 4.875% | 4/16/43 | 750 | 732 |
State of Israel | 5.125% | 3/26/19 | 240 | 264 |
State of Israel | 4.500% | 1/30/43 | 200 | 225 |
Statoil ASA | 2.450% | 1/17/23 | 600 | 606 |
United Mexican States | 5.625% | 1/15/17 | 1,000 | 1,023 |
United Mexican States | 6.050% | 1/11/40 | 500 | 629 |
Total Sovereign Bonds (Cost $17,058) | 17,457 | |||
Taxable Municipal Bonds (0.3%) | ||||
California GO | 7.550% | 4/1/39 | 500 | 791 |
Illinois GO | 5.100% | 6/1/33 | 700 | 672 |
Total Taxable Municipal Bonds (Cost $1,423) | 1,463 | |||
Coupon | Shares | |||
Temporary Cash Investment (5.2%) | ||||
Money Market Fund (5.3%) | ||||
12 Vanguard Market Liquidity Fund (Cost | ||||
$28,924) | 0.538% | 28,924,305 | 28,924 | |
Notional | ||||
Amount | ||||
Counterparty | Expiration Date | ($000) | ||
Credit Default Swaptions (0.0%) | ||||
Put Swaptions on CDX. NA.IG.26.V1 5-Year | ||||
Index, Strike: 95% | JPMC | 7/20/16 | 1,830 | 1 |
Total Credit Default Swaptions Purchased (Cost $6) | 1 | |||
Total Investments (111.6%) (Cost $604,666) | 614,602 | |||
Liabilities for Options Written (0.0%) | ||||
Contracts | ||||
Written Options on Futures (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 7/22/16 | 2 | (1) | |
Total Options on Futures Written (Premiums received $1) | (1) | |||
Notional | ||||
Amount | ||||
($000) | ||||
Written Swaptions on Credit Default Index (0.0%) | ||||
Put Swaptions on CDX. NA.IG.26.V1 5-Year | ||||
Index, Strike: 120% | JPMC | 7/20/16 | 1,830 | — |
Total Credit Default Swaptions Written (Premium received $3) | — | |||
Total Liabilities on Options Written (0.0%) (Premiums received $4) | (1) | |||
Other Assets and Liabilities-Net (-11.6%) | (63,985) | |||
Net Assets (100%) | 550,616 |
1 Securities with a value of $342,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $521,095 have been segregated as initial margin for open futures contracts.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2016.
7 Adjustable-rate security.
8 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $46,782,000, representing 8.5% of net assets.
9 Face amount denominated in euro.
10 Face amount denominated in British pounds.
11 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
12 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security
for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 349,112 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 72,176 | — |
Corporate Bonds | — | 145,358 | 111 |
Sovereign Bonds | — | 17,457 | — |
Taxable Municipal Bonds | — | 1,463 | — |
Temporary Cash Investments | 28,924 | — | — |
Options Purchased | 1 | — | — |
Liability for Options Written | (1) | — | — |
Futures Contracts—Assets1 | 56 | — | — |
Futures Contracts—Liabilities1 | (46) | — | — |
Swap Contracts—Assets | 361 | 46 | — |
Swap Contracts—Liabilities | (45)1 | (9) | — |
Total | 28,925 | 585,603 | 111 |
1 Represents variation margin on the last day of the reporting period. |
E. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value Long | Appreciation | ||
Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
Ultra 10-Year U.S. Treasury Note | September 2016 | (218) | (31,756) | (934) |
5-Year U.S. Treasury Note | September 2016 | 156 | 19,058 | 173 |
10-Year U.S. Treasury Note | September 2016 | (92) | (12,235) | (48) |
Ultra Long U.S. Treasury Bond | September 2016 | 41 | 7,641 | 480 |
Euro-Bund | September 2016 | (19) | (3,175) | (59) |
2-Year U.S. Treasury Note | September 2016 | (10) | (2,193) | (1) |
Euro-Bobl | September 2016 | (11) | (1,470) | (14) |
Euro-Buxl | September 2016 | (1) | (196) | (13) |
30-Year U.S. Treasury Bond | September 2016 | 1 | 172 | -- |
Long Gilt | September 2016 | (1) | (128) | (8) |
(424) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of
credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
At period ended June 30, 2016, the fund had the following open swap contracts:
Centrally Cleared Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection | ||||||
Purchased | ||||||
CDX-HY-26-V1 | 6/20/21 | ICE | 391 | 12 | (5.000) | - |
CDX-IG-26-V1 | 6/20/21 | CME | 4,700 | 20 | (1.000) | 3 |
5,091 | 3 | |||||
CME--Chicago Mercantile Exchange. | ||||||
ICE--Intercontinental Exchange. |
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody's Rating | ||||||
Berkshire Hathaway | ||||||
Inc./Aa2 | 6/20/21 | BARC | 160 | 1 | 1.000 | - |
Berkshire Hathaway | ||||||
Inc./Aa2 | 6/20/21 | BARC | 125 | (1) | 1.000 | (1) |
Berkshire Hathaway | ||||||
Inc./Aa2 | 6/20/21 | JPMC | 70 | - | 1.000 | (1) |
Berkshire Hathaway | ||||||
Inc./Aa2 | 6/20/21 | GSI | 55 | - | 1.000 | (1) |
Republic of | ||||||
Colombia/Baa2 | 6/20/21 | BOANA | 100 | 6 | 1.000 | 1 |
Republic of Peru/A3 | 6/20/21 | GSI | 1,200 | 39 | 1.000 | 17 |
Republic of Peru/A3 | 6/20/21 | GSI | 1,000 | 25 | 1.000 | 7 |
United Mexican | ||||||
States/A2 | 9/20/21 | JPMC | 200 | 7 | 1.000 | - |
United Mexican | ||||||
States/A3 | 9/20/21 | BNPSW | 450 | 15 | 1.000 | 2 |
United Mexican | ||||||
States/A3 | 6/20/21 | BNPSW | 300 | 11 | 1.000 | 3 |
United Mexican | ||||||
States/A3 | 6/20/21 | GSI | 1,500 | 55 | 1.000 | 15 |
Total | 5,160 | 42 |
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Purchased | ||||||
CMBS-NA-9-AAA | 9/17/58 | JPMC | 90 | (5) | (0.500) | - |
CMBS-NA-9-AAA | 9/17/58 | MSCS | 90 | (5) | (0.500) | - |
CMBS-NA-9-AAA | 9/17/58 | MSCS | 130 | (7) | (0.500) | (1) |
CMBS-NA-9-AAA | 9/17/58 | CSFBI | 280 | (16) | (0.500) | (1) |
CMBS-NA-9-AAA | 9/17/58 | GSI | 160 | (10) | (0.500) | (1) |
Federative Republic | ||||||
of Brazil | 6/20/21 | GSI | 150 | (17) | (1.000) | (3) |
Lincoln National | ||||||
Corporation | 6/20/21 | BARC | 25 | (1) | (1.000) | - |
Lincoln National | ||||||
Corporation | 6/20/21 | BARC | 35 | - | (1.000) | 1 |
960 | (5) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
BARC-- BarclaysBank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.
CSFBI--Credit Suisse First Boston International.
GSI--Goldman Sachs International.
JPMC--JP Morgan Chase Bank.
MSCS--Morgan Stanley Capital Services LLC.
Centrally Cleared Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Future | Notional | Received | Received | Appreciation | ||
Termination | Effective | Amount | (Paid) | (Paid) | (Depreciation) | |
Date | Date | Clearinghouse | ($000) | (%) | (%) | ($000) |
9/21/17 | 9/21/161 | CME | 66 | 1.250 | (0.000)2 | - |
9/21/18 | 9/21/161 | CME | 11,584 | 1.500 | (0.000)2 | 42 |
9/21/19 | 9/21/161 | CME | 501 | (1.500) | (0.000)2 | (2) |
9/21/20 | 9/21/161 | CME | 500 | 1.750 | (0.000)2 | 5 |
11/30/20 | 9/21/161 | CME | 1,070 | (1.338) | (0.000)2 | (17) |
9/21/21 | 9/21/161 | CME | 2,003 | (2.000) | (0.000)2 | (13) |
9/21/23 | 9/21/161 | LCH | 298 | 2.250 | (0.000)2 | 3 |
18 |
CME--Chicago Mercantile Exchange.
LCH--London Clearing House.
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
G. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to
the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recongnized dealers. The premium paid for a purchased option is recorded in the Schedule of Investments as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Schedule of Investments as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
H. At June 30, 2016, the cost of investment securities for tax purposes was $604,666,000. Net unrealized appreciation of investment securities for tax purposes was $9,936,000, consisting of unrealized gains of $10,347,000 on securities that had risen in value since their purchase and $411,000 in unrealized losses on securities that had fallen in value since their purchase.
Vanguard Emerging Markets Bond Fund | |||||
Schedule of Investments | |||||
As of June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Argentina (9.9%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (9.9%) | |||||
Argentine Republic | 7.000% | 4/17/17 | 200 | 205 | |
Argentine Republic | 6.250% | 4/22/19 | 410 | 428 | |
Argentine Republic | 7.125% | 7/6/36 | 150 | 150 | |
1 | Argentine Republic | 2.500% | 12/31/38 | 100 | 67 |
2 | YPF SA | 8.500% | 3/23/21 | 100 | 107 |
YPF SA | 8.500% | 7/28/25 | 100 | 106 | |
Total Argentina (Cost $1,048) | 1,063 | ||||
Brazil (6.9%) | |||||
Corporate Bonds (1.9%) | |||||
2 | Marfrig Holdings Europe BV | 8.000% | 6/8/23 | 200 | 205 |
Sovereign Bonds (U.S. Dollar-Denominated) (5.0%) | |||||
Federative Republic of Brazil | 5.000% | 1/27/45 | 50 | 45 | |
3 | Petrobras Global Finance BV | 2.768% | 1/15/19 | 200 | 180 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 64 | 60 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 200 | 206 | |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 56 | 51 | |
542 | |||||
Total Brazil (Cost $730) | 747 | ||||
China (3.4%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.4%) | |||||
Nexen Energy ULC | 6.400% | 5/15/37 | 100 | 125 | |
Sinopec Group Overseas Development 2013 | |||||
Ltd. | 4.375% | 10/17/23 | 225 | 243 | |
Total China (Cost $354) | 368 | ||||
Colombia (6.5%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (6.5%) | |||||
Ecopetrol SA | 5.875% | 9/18/23 | 321 | 331 | |
Republic of Colombia | 4.000% | 2/26/24 | 350 | 365 | |
Total Colombia (Cost $681) | 696 | ||||
Costa Rica (1.6%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.6%) | |||||
Republic of Costa Rica | 5.625% | 4/30/43 | 200 | 171 | |
Total Costa Rica (Cost $154) | 171 | ||||
Cote d'Ivoire (1.7%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.7%) | |||||
1 | Republic of Cote d'Ivoire | 5.750% | 12/31/32 | 200 | 186 |
Total Cote d’Ivoire (Cost $179) | 186 | ||||
Croatia (1.5%) | |||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.5%) | |||||
Republic of Croatia | 6.750% | 11/5/19 | 150 | 163 |
Total Croatia (Cost $163) | 163 | |||
Dominican Republic (2.3%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.3%) | ||||
1 Dominican Republic | 7.500% | 5/6/21 | 125 | 138 |
Dominican Republic | 7.450% | 4/30/44 | 100 | 109 |
Total Dominican Republic (Cost $234) | 247 | |||
Gabon (1.6%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.6%) | ||||
1 Gabonese Republic | 6.375% | 12/12/24 | 200 | 173 |
Total Gabon (Cost $169) | 173 | |||
Guatemala (1.9%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.9%) | ||||
Republic of Guatemala | 4.500% | 5/3/26 | 200 | 203 |
Total Guatemala (Cost $198) | 203 | |||
Hungary (4.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (4.7%) | ||||
Republic of Hungary | 6.375% | 3/29/21 | 250 | 284 |
Republic of Hungary | 7.625% | 3/29/41 | 150 | 217 |
Total Hungary (Cost $489) | 501 | |||
Indonesia (5.1%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (5.1%) | ||||
4 Republic of Indonesia | 3.750% | 6/14/28 | 200 | 224 |
Republic of Indonesia | 5.250% | 1/17/42 | 300 | 320 |
Total Indonesia (Cost $528) | 544 | |||
Kazakhstan (4.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (4.7%) | ||||
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 250 | 277 |
Republic of Kazakhstan | 3.875% | 10/14/24 | 225 | 227 |
Total Kazakhstan (Cost $488) | 504 | |||
Kenya (1.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.7%) | ||||
Republic of Kenya | 6.875% | 6/24/24 | 200 | 185 |
Total Kenya (Cost $187) | 185 | |||
Lithuania (3.2%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.2%) | ||||
Republic of Lithuania | 6.125% | 3/9/21 | 300 | 349 |
Total Lithuania (Cost $345) | 349 | |||
Mexico (8.4%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (8.4%) | ||||
Petroleos Mexicanos | 5.500% | 1/21/21 | 330 | 348 |
United Mexican States | 3.625% | 3/15/22 | 435 | 459 |
United Mexican States | 5.750% | 10/12/10 | 90 | 99 |
Total Mexico (Cost $888) | 906 | |||
Pakistan (2.0%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.0%) | ||||
Islamic Republic of Pakistan | 8.250% | 4/15/24 | 200 | 211 |
Total Pakistan (Cost $208) | 211 | |||
Peru (3.9%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.9%) | ||||
Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 200 | 213 |
Republic of Peru | 8.750% | 11/21/33 | 50 | 79 |
Republic of Peru | 5.625% | 11/18/50 | 100 | 124 |
Total Peru (Cost $394) | 416 | |||
Poland (3.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.7%) | ||||
Republic of Poland | 5.125% | 4/21/21 | 100 | 112 |
Republic of Poland | 5.000% | 3/23/22 | 250 | 281 |
Total Poland (Cost $391) | 393 | |||
Romania (0.9%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (0.9%) | ||||
Republic of Romania | 6.125% | 1/22/44 | 80 | 100 |
Total Romania (Cost $97) | 100 | |||
Russia (4.0%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (4.0%) | ||||
Russian Federation | 5.000% | 4/29/20 | 400 | 431 |
Total Russia (Cost $422) | 431 | |||
Serbia, Republic Of (3.9%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.9%) | ||||
Republic of Serbia | 5.875% | 12/3/18 | 200 | 212 |
Republic of Serbia | 4.875% | 2/25/20 | 200 | 206 |
Total Serbia, Republic Of (Cost $414) | 418 | |||
South Africa (2.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.7%) | ||||
5 Republic of South Africa | 6.250% | 3/31/36 | 6,000 | 294 |
Total South Africa (Cost $285) | 294 | |||
Supranational (2.9%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.9%) | ||||
2 Banque Ouest Africaine de Developpement | 5.500% | 5/6/21 | 300 | 310 |
Total Supranational (Cost $297) | 310 | |||
Tunisia (1.7%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.7%) | ||||
Banque Centrale de Tunisie SA | 5.750% | 1/30/25 | 200 | 181 |
Total Tunisia (Cost $177) | 181 | |||
Turkey (3.8%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.8%) | ||||
Export Credit Bank of Turkey | 5.875% | 4/24/19 | 200 | 212 |
Republic of Turkey | 4.875% | 4/16/43 | 200 | 195 |
Total Turkey (Cost $388) | 407 | |||
Ukraine (3.2%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.2%) | ||||
Ukraine | 7.750% | 9/1/19 | 200 | 197 |
1 Ukreximbank Via Biz Finance plc | 9.625% | 4/27/22 | 150 | 146 |
Total Ukraine (Cost $324) | 343 | |||
Venezuela (2.5%) | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.5%) | ||||
Bolivarian Republic of Venezuela | 7.750% | 10/13/19 | 50 | 22 |
Bolivarian Republic of Venezuela | 7.650% | 4/21/25 | 230 | 94 |
1 Bolivarian Republic of Venezuela | 11.950% | 8/5/31 | 50 | 24 |
Petroleos de Venezuela SA | 5.375% | 4/12/27 | 387 | 135 |
Total Venezuela (Cost $250) | 275 | |||
Shares | ||||
Temporary Cash Investments (0.8%) | ||||
Money Market Fund (0.8%) | ||||
6 Vanguard Market Liquidity Fund (Cost $82) | 0.538% | 82,272 | 82 | |
Notional | ||||
Amount | ||||
Counterparty | ($000) | |||
Options on Spot Contracts (0.0%) | ||||
Call options on USD, Strike Price: TRY 3.0225 | JPMC | 8/19/16 | 300,000 | 2 |
Call options on USD, Strike Price: TRY 3.000 | GSI | 8/24/16 | 200,000 | 2 |
Total Options on Foreign Currency Purchased (Cost $5) | 4 | |||
Total Investments (101.1%) (Cost $10,569) | 10,871 | |||
Other Assets and Liabilities-Net (-1.1%)7 | (119) | |||
Net Assets (100%) | 10,752 |
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 June 30, 2016, the aggregate value of these securities was $622,000, representing 5.8% of net assets.
3 Adjustable-rate security.
4 Face amount denominated in euro.
5 Face amount denominated in South African rand.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Cash of $9,000 has been segregated as initial margin for open futures contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of
Emerging Markets Bond Fund
securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Corporate Bonds | — | 205 | — |
Sovereign Bonds | — | 10,580 | — |
Temporary Cash Investments | 82 | — | — |
Options Purchased | — | 4 | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Forward Currency Contracts—Assets | — | 37 | — |
Forward Currency Contracts—Liabilities | — | (50) | — |
Swap Contracts—Assets | — | 20 | — |
Total | 80 | 10,796 | — |
1 Represents variation margin on the last day of the reporting period. |
D. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Emerging Markets Bond Fund
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value Long | Appreciation | ||
Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
Ultra Long U.S. Treasury Bond | September 2016 | 2 | 373 | 25 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Forward Currency Contracts and Options: The fund enters into forward currency contracts and options on spot contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates and adjust its exposure to the underlying investments.
The fund's risks in using forward currency contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
Options on spot contracts are transacted over-the-counter (OTC) and not on an exchange. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into options with a diverse group of prequalified counterparties and monitoring their financial strength. The primary risk associated with purchasing options on spot contracts is that the value of the underlying foreign currencies may move in such a way that the
Emerging Markets Bond Fund
option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options on spot contracts is that the value of the underlying foreign currencies may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Options on spot contracts are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Schedule of Investments as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Schedule of Investments as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
At June 30, 2016, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.
Contract Amount (000) | ||||||
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
BNP Paribas | 7/1/16 | BRL | 1,084 | USD | 325 | 13 |
JPMorgan Chase Bank N.A. | 7/5/16 | ZAR | 4,190 | USD | 272 | 12 |
Morgan Stanley Capital Services LLC | 7/5/16 | EUR | 153 | USD | 172 | (1) |
Bank of America N.A. | 7/5/16 | EUR | 144 | USD | 159 | 1 |
Morgan Stanley Capital Services LLC | 7/5/16 | EUR | 142 | USD | 157 | — |
JPMorgan Chase Bank N.A. | 8/22/16 | TRY | 265 | USD | 90 | 1 |
Bank of America N.A. | 7/5/16 | ZAR | 786 | USD | 50 | 3 |
BNP Paribas | 7/5/16 | USD | 381 | EUR | 339 | 5 |
BNP Paribas | 7/1/16 | USD | 320 | BRL | 1,084 | (18) |
JPMorgan Chase Bank N.A. | 8/2/16 | USD | 285 | ZAR | 4,318 | (6) |
Morgan Stanley Capital Services LLC | 7/20/16 | USD | 256 | EUR | 232 | 1 |
Morgan Stanley Capital Services LLC | 7/5/16 | USD | 204 | ZAR | 3,200 | (13) |
Bank of America N.A. | 8/3/16 | USD | 160 | EUR | 144 | (1) |
JPMorgan Chase Bank N.A. | 7/5/16 | USD | 113 | EUR | 100 | 2 |
JPMorgan Chase Bank N.A. | 7/5/16 | USD | 112 | ZAR | 1,765 | (8) |
JPMorgan Chase Bank N.A. | 8/22/16 | USD | 90 | TRY | 265 | (1) |
Bank of America N.A. | 7/20/16 | USD | 72 | TRY | 210 | (1) |
JPMorgan Chase Bank N.A. | 7/20/16 | USD | 19 | EUR | 17 | — |
(13) | ||||||
BRL—Brazilian real. | ||||||
EUR—Euro. |
Emerging Markets Bond Fund
TRY—Turkish new lira.
USD—U.S. dollar.
ZAR—South African rand.
F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Emerging Markets Bond Fund
At period ended June 30, 2016, the fund had the following open credit default swap contracts:
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Federation of Malaysia/A3 | 6/20/21 | GSI | 350 | 11 | 1.000 | 1 |
Federative Republic of | ||||||
Brazil/Ba2 | 6/20/21 | BNPSW | 250 | 26 | 1.000 | 3 |
Republic of Columbia/Baa2 | 6/20/21 | BNPSW | 300 | 15 | 1.000 | 1 |
Republic of Indonesia/Baa3 | 6/20/21 | BNPSW | 195 | 9 | 1.000 | 1 |
Republic of Peru/A3 | 6/20/21 | BNPSW | 480 | 12 | 1.000 | 3 |
Russian Federation/Ba1 | 12/20/20 | GSI | 350 | 27 | 1.000 | 11 |
1,925 | 20 | |||||
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event. | ||||||
BNPSW—BNP Paribas. | ||||||
GSI—Goldman Sachs International. |
G. At June 30, 2016, the cost of investment securities for tax purposes was $10,564,000. Net unrealized appreciation of investment securities for tax purposes was $303,000, consisting of unrealized gains of $308,000 on securities that had risen in value since their purchase and $5,000 in unrealized losses on securities that had fallen in value since their purchase.
Item 2: Controls and Procedures
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3: Exhibits
(a) Certifications
VANGUARD MALVERN FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 |
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 MALVERN FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 |
VANGUARD MALVERN FUNDS | |
/s/ THOMAS J. HIGGINS* | |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 17, 2016 |
* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620,
Incorporated by Reference.
CERTIFICATIONS
I, F. William McNabb III, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Malvern Funds;
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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
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 registrant’s most recent fiscal quarter 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: August 17, 2016 |
/s/ F. William McNabb III |
|
F. William McNabb III |
|
Chief Executive Officer |
CERTIFICATIONS
I, Thomas J. Higgins, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Malvern Funds;
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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
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 registrant’s most recent fiscal quarter 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: August 17, 2016 |
/s/ Thomas J Higgins |
|
Thomas J. Higgins |
|
Chief Financial Officer |
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