Form N-Q VANGUARD WELLINGTON FUND For: Feb 29
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E-mailUNITED 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: 811-00121 |
|
Name of Registrant: Vanguard Wellington Fund |
|
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: November 30 |
|
Date of reporting period: February 29, 2016 |
|
Item 1: Schedule of Investments |
Vanguard Wellington Fund
Schedule of Investments
As of February 29, 2016
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (64.7%) | ||
| Consumer Discretionary (4.5%) | ||
| Comcast Corp. Class A | 26,701,186 | 1,541,459 |
| Ford Motor Co. | 52,143,870 | 652,320 |
| Twenty-First Century Fox Inc. Class A | 23,500,361 | 634,980 |
| Hilton Worldwide Holdings Inc. | 20,603,924 | 428,150 |
| Lowe's Cos. Inc. | 6,188,670 | 417,921 |
| Bayerische Motoren Werke AG | 1,593,115 | 129,422 |
| 3,804,252 | ||
| Consumer Staples (6.5%) | ||
| CVS Health Corp. | 11,218,150 | 1,090,067 |
| Coca-Cola Co. | 16,094,430 | 694,153 |
| Philip Morris International Inc. | 6,505,240 | 592,172 |
| Colgate-Palmolive Co. | 8,573,200 | 562,745 |
| PepsiCo Inc. | 5,728,110 | 560,324 |
| Mondelez International Inc. Class A | 12,068,360 | 489,130 |
| Diageo plc | 18,503,396 | 475,550 |
| Walgreens Boots Alliance Inc. | 4,881,300 | 385,330 |
| Costco Wholesale Corp. | 2,211,120 | 331,734 |
| Wal-Mart Stores Inc. | 3,694,750 | 245,110 |
| Diageo plc ADR | 304,500 | 31,242 |
| 5,457,557 | ||
| Energy (5.7%) | ||
| Chevron Corp. | 14,790,930 | 1,234,155 |
| Exxon Mobil Corp. | 14,117,404 | 1,131,510 |
| TOTAL SA | 12,511,837 | 560,789 |
| EOG Resources Inc. | 6,449,620 | 417,548 |
| Royal Dutch Shell plc Class B | 16,534,317 | 375,425 |
| Anadarko Petroleum Corp. | 9,343,930 | 354,602 |
| Hess Corp. | 6,197,810 | 270,225 |
| Schlumberger Ltd. | 3,478,493 | 249,478 |
| Marathon Petroleum Corp. | 5,282,570 | 180,928 |
| 4,774,660 | ||
| Financials (14.3%) | ||
| Wells Fargo & Co. | 42,103,467 | 1,975,495 |
| JPMorgan Chase & Co. | 22,598,506 | 1,272,296 |
| * Chubb Ltd. | 10,669,000 | 1,232,590 |
| Prudential Financial Inc. | 13,160,250 | 869,761 |
| PNC Financial Services Group Inc. | 10,095,910 | 820,898 |
| BlackRock Inc. | 2,395,140 | 747,188 |
| Bank of America Corp. | 46,215,480 | 578,618 |
| Marsh & McLennan Cos. Inc. | 9,939,150 | 567,028 |
| American Express Co. | 7,678,840 | 426,790 |
| American Tower Corporation | 4,329,677 | 399,196 |
| Northern Trust Corp. | 6,256,354 | 371,502 |
| US Bancorp | 8,892,410 | 342,536 |
| MetLife Inc. | 8,462,084 | 334,760 |
| Bank of Nova Scotia | 8,269,070 | 330,763 |
| Mitsubishi UFJ Financial Group Inc. | 65,826,100 | 284,060 |
| Hartford Financial Services Group Inc. | 6,613,792 | 278,573 |
| Goldman Sachs Group Inc. | 1,848,280 | 276,373 |
| * Synchrony Financial | 8,738,340 | 235,498 |
| UBS Group AG | 14,408,852 | 219,303 |
| AvalonBay Communities Inc. | 916,196 | 157,256 |
| American International Group Inc. | 2,769,370 | 139,022 |
| BNP Paribas SA | 2,913,112 | 135,859 |
| 11,995,365 | ||
| Health Care (11.9%) | ||
| Merck & Co. Inc. | 32,595,552 | 1,636,623 |
| Bristol-Myers Squibb Co. | 17,338,285 | 1,073,760 |
| Johnson & Johnson | 9,853,876 | 1,036,726 |
| Medtronic plc | 12,640,290 | 978,232 |
| AstraZeneca plc ADR | 29,453,696 | 844,438 |
| Pfizer Inc. | 28,213,550 | 837,096 |
| Cardinal Health Inc. | 8,334,240 | 680,907 |
| UnitedHealth Group Inc. | 5,237,590 | 623,797 |
| Eli Lilly & Co. | 6,764,755 | 487,062 |
| Baxter International Inc. | 11,959,290 | 472,512 |
| Novartis AG | 6,297,822 | 448,584 |
| Roche Holding AG | 1,258,839 | 322,786 |
| * Celgene Corp. | 3,190,860 | 321,734 |
| Gilead Sciences Inc. | 1,685,566 | 147,066 |
| Takeda Pharmaceutical Co. Ltd. | 1,981,500 | 94,323 |
| 10,005,646 | ||
| Industrials (7.7%) | ||
| United Parcel Service Inc. Class B | 10,046,553 | 969,995 |
| Honeywell International Inc. | 7,865,130 | 797,131 |
| Lockheed Martin Corp. | 2,913,530 | 628,711 |
| General Electric Co. | 19,387,012 | 564,937 |
| CSX Corp. | 22,471,730 | 542,468 |
| FedEx Corp. | 3,156,960 | 432,125 |
| Caterpillar Inc. | 6,319,901 | 427,857 |
| Eaton Corp. plc | 7,491,630 | 424,850 |
| United Technologies Corp. | 3,947,917 | 381,448 |
| Canadian National Railway Co. | 6,198,896 | 358,916 |
| Raytheon Co. | 2,495,891 | 309,116 |
| Schneider Electric SE | 4,656,367 | 277,546 |
| ^ ABB Ltd. ADR | 11,060,066 | 196,869 |
| Illinois Tool Works Inc. | 1,636,345 | 154,225 |
| 6,466,194 | ||
| Information Technology (8.4%) | ||
| Microsoft Corp. | 36,074,090 | 1,835,450 |
| * Alphabet Inc. Class A | 1,920,662 | 1,377,537 |
| Intel Corp. | 39,280,880 | 1,162,321 |
| Apple Inc. | 8,773,955 | 848,354 |
| Accenture plc Class A | 7,970,550 | 799,127 |
| Cisco Systems Inc. | 30,195,030 | 790,506 |
| Texas Instruments Inc. | 4,923,286 | 261,033 |
| 7,074,328 | ||
| Materials (1.0%) | ||
| Praxair Inc. | 4,144,620 | 421,881 |
| International Paper Co. | 11,221,740 | 400,616 |
| BHP Billiton plc | 4,094,103 | 41,181 |
| 863,678 |
| Telecommunication Services (1.9%) | |||||
| Verizon Communications Inc. | 30,391,540 | 1,541,763 | |||
| Utilities (2.8%) | |||||
| NextEra Energy Inc. | 8,158,490 | 920,441 | |||
| Dominion Resources Inc. | 9,856,740 | 689,183 | |||
| Exelon Corp. | 14,986,814 | 471,935 | |||
| Duke Energy Corp. | 2,943,250 | 218,624 | |||
| 2,300,183 | |||||
| Total Common Stocks (Cost $41,834,018) | 54,283,626 | ||||
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (6.2%) | |||||
| U.S. Government Securities (5.5%) | |||||
| 1 | United States Treasury Note/Bond | 1.500% | 6/30/16 | 4,905 | 4,922 |
| United States Treasury Note/Bond | 0.625% | 12/31/16 | 219,245 | 219,142 | |
| United States Treasury Note/Bond | 0.875% | 1/31/17 | 12,165 | 12,186 | |
| United States Treasury Note/Bond | 0.625% | 7/31/17 | 368,000 | 367,308 | |
| United States Treasury Note/Bond | 1.000% | 9/15/17 | 500,000 | 501,640 | |
| United States Treasury Note/Bond | 0.750% | 10/31/17 | 83,700 | 83,648 | |
| United States Treasury Note/Bond | 1.000% | 5/31/18 | 220,000 | 220,825 | |
| 2 | United States Treasury Note/Bond | 1.375% | 9/30/18 | 874,350 | 886,232 |
| United States Treasury Note/Bond | 1.750% | 9/30/19 | 950,000 | 973,304 | |
| United States Treasury Note/Bond | 1.375% | 2/29/20 | 62,000 | 62,582 | |
| United States Treasury Note/Bond | 1.625% | 6/30/20 | 67,210 | 68,449 | |
| United States Treasury Note/Bond | 2.000% | 2/15/25 | 410,420 | 419,975 | |
| United States Treasury Note/Bond | 2.000% | 8/15/25 | 82,680 | 84,527 | |
| United States Treasury Note/Bond | 2.250% | 11/15/25 | 6,805 | 7,109 | |
| United States Treasury Note/Bond | 2.875% | 5/15/43 | 275,732 | 291,716 | |
| United States Treasury Note/Bond | 3.375% | 5/15/44 | 149,670 | 174,084 | |
| United States Treasury Note/Bond | 2.500% | 2/15/45 | 163,255 | 159,123 | |
| United States Treasury Note/Bond | 2.875% | 8/15/45 | 72,665 | 76,502 | |
| 4,613,274 | |||||
| Conventional Mortgage-Backed Securities (0.5%) | |||||
| 3,4 Fannie Mae Pool | 2.500% | 7/1/27–1/1/29 | 8,246 | 8,474 | |
| 3,4,5Fannie Mae Pool | 3.500% | 11/1/25–3/1/46 | 194,000 | 203,275 | |
| 3,4 Fannie Mae Pool | 4.500% | 6/1/28–3/1/46 | 124,471 | 137,447 | |
| 3,4 Freddie Mac Gold Pool | 3.000% | 5/1/22–8/1/29 | 39 | 41 | |
| 3,4 Freddie Mac Gold Pool | 4.500% | 6/1/23–3/1/46 | 77,932 | 85,193 | |
| 4 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/33 | 3,318 | 3,907 |
| 4 | Ginnie Mae I Pool | 8.000% | 6/15/17 | 7 | 7 |
| 438,344 | |||||
| Nonconventional Mortgage-Backed Securities (0.2%) | |||||
| 3,4 Fannie Mae REMICS | 3.500% | 4/25/31 | 9,730 | 10,383 | |
| 3,4 Fannie Mae REMICS | 4.000% | 9/25/29–5/25/31 | 18,581 | 20,179 | |
| 3,4 Freddie Mac REMICS | 3.500% | 3/15/31 | 5,760 | 6,153 | |
| 3,4 Freddie Mac REMICS | 4.000% | 12/15/30–4/15/31 | 108,686 | 119,475 | |
| 156,190 | |||||
| Total U.S. Government and Agency Obligations (Cost $5,034,057) | 5,207,808 | ||||
| Asset-Backed/Commercial Mortgage-Backed Securities (1.7%) | |||||
| 4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 105,755 | 105,751 |
| 4 | Ally Master Owner Trust Series 2014-5 | 1.600% | 10/15/19 | 145,385 | 145,501 |
| 6 | American Tower Trust I | 1.551% | 3/15/18 | 14,885 | 14,859 |
| 6 | American Tower Trust I | 3.070% | 3/15/23 | 43,000 | 43,102 |
| 4 | AmeriCredit Automobile Receivables Trust | ||||
| 2012-1 | 4.720% | 3/8/18 | 11,557 | 11,648 | |
| 4,6,7Apidos CDO | 2.120% | 4/18/16 | 50,405 | 49,421 | |
| 4,6,7ARES CLO Ltd. | 2.140% | 4/18/16 | 49,360 | 48,523 | |
| 4,6,7Atlas Senior Loan Fund Ltd. | 2.162% | 4/15/16 | 13,245 | 13,041 | |
| 4,6,7Atlas Senior Loan Fund V Ltd. | 2.170% | 4/18/16 | 12,135 | 12,041 | |
| 4,6 | Avis Budget Rental Car Funding AESOP | ||||
| LLC 2010-5A | 3.150% | 3/20/17 | 2,000 | 2,002 | |
| 4,6,7Babson CLO Ltd. | 2.114% | 4/20/16 | 5,660 | 5,587 | |
| 4 | Banc of America Commercial Mortgage Trust | ||||
| 2006-2 | 5.832% | 3/10/16 | 1,475 | 1,477 | |
| 4 | Banc of America Commercial Mortgage Trust | ||||
| 2006-5 | 5.414% | 9/10/47 | 15,640 | 15,756 | |
| 4 | Bear Stearns Commercial Mortgage | ||||
| Securities Trust 2006-PWR13 | 5.540% | 9/11/41 | 16,602 | 16,757 | |
| 4,6,7Cent CLO | 2.111% | 4/27/16 | 24,430 | 23,822 | |
| 4,6,7Cent CLO 20 Ltd. | 2.099% | 4/25/16 | 40,000 | 39,169 | |
| 4,6,7Cent CLO 22 Ltd. | 2.100% | 5/9/16 | 37,150 | 35,849 | |
| 4,6,7CIFC Funding Ltd. | 2.120% | 4/18/16 | 47,325 | 46,754 | |
| 4 | COMM 2006-C7 Mortgage Trust | 5.777% | 3/10/16 | 7,420 | 7,436 |
| 4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 18,085 | 18,720 |
| 4 | Credit Suisse Commercial Mortgage Trust | ||||
| Series 2006-C4 | 5.467% | 9/15/39 | 10,473 | 10,526 | |
| 4,6,7Dryden Senior Loan Fund | 1.970% | 4/18/16 | 46,650 | 45,814 | |
| 4,6 | First Investors Auto Owner Trust 2013-2 | 1.230% | 3/15/19 | 2,833 | 2,830 |
| 4,6 | Ford Credit Floorplan Master Owner Trust A | 2.090% | 3/15/22 | 12,600 | 12,705 |
| 4,6 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 45,820 | 45,814 |
| 4,6,7ING Investment Management Co. | 2.120% | 4/18/16 | 46,560 | 45,991 | |
| 4 | LB-UBS Commercial Mortgage Trust 2006- | ||||
| C4 | 5.852% | 3/15/16 | 5,218 | 5,212 | |
| 4,7 | LB-UBS Commercial Mortgage Trust 2008- | ||||
| C1 | 6.087% | 3/15/16 | 26,029 | 27,790 | |
| 4,6,7Limerock CLO | 2.121% | 4/18/16 | 53,500 | 52,262 | |
| 4,6,7Madison Park Funding XII Ltd. | 2.070% | 4/19/16 | 31,070 | 30,666 | |
| 4,6,7Madison Park Funding XIII Ltd. | 2.124% | 4/20/16 | 37,385 | 36,908 | |
| 4 | Merrill Lynch Mortgage Trust 2006-C1 | 5.757% | 3/12/16 | 1,888 | 1,887 |
| 4,6 | MMAF Equipment Finance LLC 2012-A | 2.570% | 6/9/33 | 8,570 | 8,711 |
| 4,6,7OZLM VI Ltd. | 2.170% | 4/18/16 | 38,280 | 37,878 | |
| 4 | Santander Drive Auto Receivables Trust | ||||
| 2013-2 | 2.570% | 3/15/19 | 19,690 | 19,815 | |
| 4 | Santander Drive Auto Receivables Trust | ||||
| 2014-2 | 2.330% | 11/15/19 | 12,545 | 12,585 | |
| 6 | SBA Tower Trust | 2.898% | 10/15/19 | 46,310 | 46,404 |
| 4,6,7Seneca Park CLO Ltd. | 2.100% | 4/18/16 | 27,340 | 26,913 | |
| 4,6,7SFAVE Commercial Mortgage Securities | |||||
| Trust 2015-5AVE | 4.144% | 3/5/16 | 27,300 | 25,534 | |
| 4,6,7Shackleton CLO Ltd. | 2.100% | 4/18/16 | 26,765 | 26,102 | |
| 4,6 | Springleaf Funding Trust | 2.410% | 12/15/22 | 45,080 | 45,174 |
| 4,6 | Springleaf Funding Trust | 3.160% | 11/15/24 | 53,215 | 52,284 |
| 4,6 | Springleaf Funding Trust 2015-B | 3.480% | 5/15/28 | 23,420 | 23,467 |
| 4,6 | Springleaf Mortgage Loan Trust 2013-1A | 2.310% | 6/25/58 | 8,330 | 8,329 |
| 4,6,7Symphony CLO XIV Ltd. | 2.104% | 4/14/16 | 46,405 | 45,679 | |
| 4,6,7Thacher Park CLO Ltd. | 2.094% | 4/20/16 | 19,915 | 19,569 | |
| 4 | Utility Debt Securitization Authority Series | ||||
| 2013T | 3.435% | 12/15/25 | 8,625 | 9,253 | |
| 4,6,7Voya CLO 2014-2 Ltd. | 2.070% | 4/18/16 | 7,275 | 7,145 | |
| 4,6 Westlake Automobile Receivables Trust | 0.970% | 10/16/17 | 8,705 | 8,699 | |
| Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,414,662) | 1,399,162 | ||||
| Corporate Bonds (23.4%) | |||||
| Finance (8.9%) | |||||
| Banking (6.8%) | |||||
| American Express Centurion Bank | 6.000% | 9/13/17 | 20,000 | 21,266 | |
| American Express Co. | 1.550% | 5/22/18 | 62,130 | 61,417 | |
| American Express Credit Corp. | 2.375% | 3/24/17 | 71,985 | 72,780 | |
| American Express Credit Corp. | 2.125% | 7/27/18 | 49,605 | 49,969 | |
| American Express Credit Corp. | 2.250% | 8/15/19 | 30,200 | 30,224 | |
| Bank of America Corp. | 6.050% | 5/16/16 | 70,000 | 70,684 | |
| Bank of America Corp. | 6.400% | 8/28/17 | 23,000 | 24,401 | |
| Bank of America Corp. | 6.000% | 9/1/17 | 69,725 | 73,609 | |
| Bank of America Corp. | 5.750% | 12/1/17 | 30,000 | 31,822 | |
| Bank of America Corp. | 6.875% | 4/25/18 | 40,000 | 43,673 | |
| Bank of America Corp. | 5.625% | 7/1/20 | 4,550 | 5,027 | |
| Bank of America Corp. | 5.875% | 1/5/21 | 40,000 | 45,141 | |
| Bank of America Corp. | 3.300% | 1/11/23 | 24,005 | 23,992 | |
| Bank of America Corp. | 4.100% | 7/24/23 | 6,735 | 7,015 | |
| Bank of America Corp. | 4.125% | 1/22/24 | 26,100 | 27,163 | |
| Bank of America Corp. | 4.000% | 1/22/25 | 32,900 | 31,991 | |
| Bank of America Corp. | 5.875% | 2/7/42 | 9,965 | 11,482 | |
| Bank of America Corp. | 5.000% | 1/21/44 | 39,433 | 41,842 | |
| Bank of America Corp. | 4.875% | 4/1/44 | 7,110 | 7,350 | |
| Bank of America NA | 5.300% | 3/15/17 | 68,000 | 70,304 | |
| Bank of America NA | 6.000% | 10/15/36 | 30,000 | 35,473 | |
| Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 61,325 | 61,534 | |
| Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 27,990 | 28,060 | |
| Bank of Nova Scotia | 2.050% | 10/30/18 | 64,150 | 64,482 | |
| Bank of Nova Scotia | 2.800% | 7/21/21 | 25,650 | 26,158 | |
| 6 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 1.700% | 3/5/18 | 54,260 | 53,952 |
| 6 | Barclays Bank plc | 6.050% | 12/4/17 | 47,500 | 50,137 |
| Barclays Bank plc | 5.140% | 10/14/20 | 11,905 | 12,800 | |
| BB&T Corp. | 4.900% | 6/30/17 | 8,045 | 8,345 | |
| BB&T Corp. | 5.250% | 11/1/19 | 8,000 | 8,743 | |
| Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 8,765 | 9,363 | |
| Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 16,385 | 17,957 | |
| BNP Paribas SA | 2.400% | 12/12/18 | 53,700 | 54,031 | |
| BNP Paribas SA | 3.250% | 3/3/23 | 12,270 | 12,495 | |
| BPCE SA | 2.500% | 12/10/18 | 18,325 | 18,501 | |
| BPCE SA | 2.500% | 7/15/19 | 53,100 | 53,432 | |
| BPCE SA | 4.000% | 4/15/24 | 30,615 | 32,267 | |
| 6 | BPCE SA | 5.150% | 7/21/24 | 43,790 | 43,091 |
| Capital One Bank USA NA | 2.150% | 11/21/18 | 45,055 | 44,548 | |
| Capital One Financial Corp. | 5.250% | 2/21/17 | 3,580 | 3,702 | |
| Capital One Financial Corp. | 4.750% | 7/15/21 | 18,835 | 20,282 | |
| Capital One Financial Corp. | 3.750% | 4/24/24 | 55,460 | 55,426 | |
| Capital One Financial Corp. | 3.200% | 2/5/25 | 33,400 | 31,948 | |
| Capital One Financial Corp. | 4.200% | 10/29/25 | 11,740 | 11,531 | |
| Citigroup Inc. | 1.750% | 5/1/18 | 25,000 | 24,758 | |
| Citigroup Inc. | 2.500% | 9/26/18 | 18,000 | 18,120 | |
| Citigroup Inc. | 2.550% | 4/8/19 | 55,000 | 55,153 | |
| Citigroup Inc. | 2.500% | 7/29/19 | 37,530 | 37,620 | |
| Citigroup Inc. | 2.400% | 2/18/20 | 65,200 | 64,493 | |
| Citigroup Inc. | 4.500% | 1/14/22 | 33,920 | 36,409 | |
| Citigroup Inc. | 6.625% | 6/15/32 | 45,000 | 51,296 | |
| Citigroup Inc. | 8.125% | 7/15/39 | 4,638 | 6,607 | |
| Citigroup Inc. | 5.875% | 1/30/42 | 1,290 | 1,472 |
| Citigroup Inc. | 4.950% | 11/7/43 | 16,000 | 16,518 |
| Citigroup Inc. | 5.300% | 5/6/44 | 23,950 | 23,989 |
| Compass Bank | 2.750% | 9/29/19 | 15,105 | 14,824 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 55,610 | 56,002 |
| 6 Credit Agricole SA | 2.500% | 4/15/19 | 57,830 | 58,340 |
| Credit Suisse | 1.750% | 1/29/18 | 32,250 | 32,045 |
| Credit Suisse | 2.300% | 5/28/19 | 109,260 | 108,363 |
| Credit Suisse | 3.000% | 10/29/21 | 18,325 | 18,372 |
| Credit Suisse | 3.625% | 9/9/24 | 4,885 | 4,905 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 55,260 | 54,259 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 67,850 | 63,911 |
| Deutsche Bank AG | 2.500% | 2/13/19 | 55,800 | 54,579 |
| Fifth Third Bank | 2.875% | 10/1/21 | 10,345 | 10,438 |
| Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 19,820 | 20,474 |
| Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 44,000 | 46,878 |
| Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 22,200 | 22,336 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 30,790 | 33,732 |
| Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 25,750 | 25,639 |
| Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 11,090 | 12,469 |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 56,720 | 62,827 |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 40,725 | 46,259 |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 35,320 | 35,938 |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 17,545 | 17,349 |
| Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 50,000 | 54,657 |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 43,995 | 49,935 |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 35,320 | 42,203 |
| Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 30,675 | 30,824 |
| Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 12,715 | 12,860 |
| 6 HSBC Bank plc | 4.750% | 1/19/21 | 62,040 | 68,364 |
| HSBC Holdings plc | 4.000% | 3/30/22 | 72,455 | 75,365 |
| HSBC Holdings plc | 6.500% | 5/2/36 | 25,000 | 27,547 |
| HSBC Holdings plc | 6.100% | 1/14/42 | 40,665 | 49,859 |
| HSBC Holdings plc | 5.250% | 3/14/44 | 13,210 | 12,620 |
| HSBC USA Inc. | 1.625% | 1/16/18 | 39,500 | 39,329 |
| HSBC USA Inc. | 2.625% | 9/24/18 | 20,000 | 20,100 |
| HSBC USA Inc. | 2.350% | 3/5/20 | 71,330 | 69,723 |
| HSBC USA Inc. | 3.500% | 6/23/24 | 40,000 | 40,291 |
| Huntington National Bank | 2.200% | 4/1/19 | 22,280 | 22,092 |
| Huntington National Bank | 2.400% | 4/1/20 | 44,990 | 44,677 |
| 6 ING Bank NV | 3.750% | 3/7/17 | 23,000 | 23,503 |
| 6 ING Bank NV | 1.800% | 3/16/18 | 36,610 | 36,545 |
| JPMorgan Chase & Co. | 6.000% | 1/15/18 | 57,000 | 61,154 |
| JPMorgan Chase & Co. | 6.300% | 4/23/19 | 10,340 | 11,603 |
| JPMorgan Chase & Co. | 4.950% | 3/25/20 | 55,000 | 59,927 |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 41,386 | 44,867 |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 44,780 | 48,531 |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 18,645 | 18,920 |
| JPMorgan Chase & Co. | 3.375% | 5/1/23 | 27,610 | 27,395 |
| JPMorgan Chase & Co. | 3.875% | 2/1/24 | 39,000 | 41,082 |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 13,870 | 14,583 |
| JPMorgan Chase & Co. | 4.125% | 12/15/26 | 29,835 | 30,267 |
| JPMorgan Chase & Co. | 4.250% | 10/1/27 | 13,420 | 13,656 |
| JPMorgan Chase & Co. | 5.600% | 7/15/41 | 96,000 | 112,547 |
| JPMorgan Chase & Co. | 5.400% | 1/6/42 | 18,035 | 20,685 |
| JPMorgan Chase & Co. | 5.625% | 8/16/43 | 16,100 | 17,446 |
| JPMorgan Chase & Co. | 4.950% | 6/1/45 | 15,000 | 15,166 |
| 6 Macquarie Bank Ltd. | 2.400% | 1/21/20 | 12,610 | 12,579 |
| Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 17,870 | 17,597 |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 24,685 | 24,098 |
| Morgan Stanley | 5.450% | 1/9/17 | 70,000 | 72,264 |
| Morgan Stanley | 1.875% | 1/5/18 | 9,470 | 9,447 |
| Morgan Stanley | 2.125% | 4/25/18 | 52,125 | 52,085 |
| Morgan Stanley | 2.500% | 1/24/19 | 100,000 | 100,540 |
| Morgan Stanley | 5.625% | 9/23/19 | 24,355 | 26,732 |
| Morgan Stanley | 5.750% | 1/25/21 | 79,825 | 89,628 |
| Morgan Stanley | 3.875% | 4/29/24 | 97,010 | 99,651 |
| Morgan Stanley | 3.700% | 10/23/24 | 29,050 | 29,353 |
| Morgan Stanley | 4.000% | 7/23/25 | 29,455 | 30,342 |
| Morgan Stanley | 6.250% | 8/9/26 | 20,000 | 23,586 |
| Morgan Stanley | 4.300% | 1/27/45 | 18,360 | 17,404 |
| National City Corp. | 6.875% | 5/15/19 | 13,950 | 15,494 |
| 6 Nationwide Building Society | 2.350% | 1/21/20 | 28,075 | 27,935 |
| Northern Trust Corp. | 3.450% | 11/4/20 | 9,000 | 9,525 |
| PNC Bank NA | 4.875% | 9/21/17 | 50,000 | 52,034 |
| PNC Bank NA | 3.300% | 10/30/24 | 18,195 | 18,709 |
| PNC Bank NA | 4.200% | 11/1/25 | 16,650 | 18,128 |
| PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 41,565 | 42,949 |
| Santander Bank NA | 2.000% | 1/12/18 | 25,901 | 25,542 |
| Santander Holdings USA Inc. | 2.650% | 4/17/20 | 23,185 | 22,377 |
| Santander Issuances SAU | 5.179% | 11/19/25 | 29,800 | 27,524 |
| 6 Skandinaviska Enskilda Banken AB | 2.450% | 5/27/20 | 61,300 | 61,654 |
| State Street Corp. | 5.375% | 4/30/17 | 51,315 | 53,473 |
| Svenska Handelsbanken AB | 2.875% | 4/4/17 | 40,000 | 40,668 |
| Synchrony Financial | 2.600% | 1/15/19 | 20,920 | 20,750 |
| Synchrony Financial | 3.000% | 8/15/19 | 10,990 | 10,991 |
| Synchrony Financial | 2.700% | 2/3/20 | 15,605 | 15,291 |
| UBS AG | 1.800% | 3/26/18 | 34,055 | 34,054 |
| 6 UBS Group Funding Jersey Ltd. | 2.950% | 9/24/20 | 44,570 | 44,484 |
| US Bancorp | 3.700% | 1/30/24 | 52,500 | 56,377 |
| Wells Fargo & Co. | 5.625% | 12/11/17 | 31,150 | 33,297 |
| Wells Fargo & Co. | 2.150% | 1/15/19 | 91,150 | 91,794 |
| Wells Fargo & Co. | 2.150% | 1/30/20 | 58,180 | 57,983 |
| Wells Fargo & Co. | 3.000% | 1/22/21 | 26,735 | 27,469 |
| Wells Fargo & Co. | 3.500% | 3/8/22 | 64,245 | 67,224 |
| Wells Fargo & Co. | 3.450% | 2/13/23 | 61,885 | 62,809 |
| Wells Fargo & Co. | 4.480% | 1/16/24 | 46,156 | 48,792 |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 32,170 | 33,311 |
| Wells Fargo & Co. | 5.606% | 1/15/44 | 68,281 | 74,373 |
| Wells Fargo & Co. | 4.650% | 11/4/44 | 10,315 | 10,062 |
| Wells Fargo & Co. | 4.900% | 11/17/45 | 19,160 | 19,435 |
| Brokerage (0.0%) | ||||
| Ameriprise Financial Inc. | 5.300% | 3/15/20 | 11,590 | 12,908 |
| Finance Companies (0.5%) | ||||
| 6 GE Capital International Funding Co. | 2.342% | 11/15/20 | 89,662 | 90,504 |
| 6 GE Capital International Funding Co. | 3.373% | 11/15/25 | 111,589 | 116,614 |
| 6 GE Capital International Funding Co. | 4.418% | 11/15/35 | 159,635 | 166,258 |
| Insurance (1.5%) | ||||
| ACE Capital Trust II | 9.700% | 4/1/30 | 20,000 | 28,425 |
| ACE INA Holdings Inc. | 5.800% | 3/15/18 | 40,360 | 43,872 |
| ACE INA Holdings Inc. | 2.300% | 11/3/20 | 6,330 | 6,355 |
| ACE INA Holdings Inc. | 3.350% | 5/15/24 | 22,345 | 22,928 |
| ACE INA Holdings Inc. | 4.350% | 11/3/45 | 29,835 | 31,169 |
| Aetna Inc. | 1.750% | 5/15/17 | 2,636 | 2,640 |
| 4 Allstate Corp. | 6.125% | 5/15/67 | 30,000 | 29,587 |
| 4 Allstate Corp. | 6.500% | 5/15/67 | 20,000 | 21,500 |
| Anthem Inc. | 2.300% | 7/15/18 | 15,110 | 15,193 |
| Anthem Inc. | 3.700% | 8/15/21 | 10,000 | 10,278 |
| Anthem Inc. | 3.125% | 5/15/22 | 53,740 | 52,976 |
| Anthem Inc. | 3.300% | 1/15/23 | 42,468 | 41,829 |
| Anthem Inc. | 4.650% | 8/15/44 | 5,695 | 5,371 |
| Chubb Corp. | 6.000% | 5/11/37 | 50,000 | 61,673 |
| Cigna Corp. | 3.250% | 4/15/25 | 52,030 | 50,909 |
| CNA Financial Corp. | 3.950% | 5/15/24 | 5,410 | 5,303 |
| 6 Farmers Exchange Capital | 7.050% | 7/15/28 | 25,000 | 30,230 |
| 6 Five Corners Funding Trust | 4.419% | 11/15/23 | 5,935 | 6,079 |
| 6 Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 18,890 | 25,170 |
| 6 Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 14,330 | 14,637 |
| 6 Liberty Mutual Insurance Co. | 7.875% | 10/15/26 | 31,210 | 37,987 |
| Loews Corp. | 2.625% | 5/15/23 | 7,120 | 6,953 |
| 6 MassMutual Global Funding II | 2.100% | 8/2/18 | 46,890 | 47,342 |
| 6 MassMutual Global Funding II | 2.350% | 4/9/19 | 28,000 | 28,347 |
| MetLife Inc. | 1.903% | 3/15/16 | 9,010 | 9,012 |
| MetLife Inc. | 3.600% | 4/10/24 | 35,035 | 35,186 |
| MetLife Inc. | 4.125% | 8/13/42 | 5,565 | 4,961 |
| MetLife Inc. | 4.875% | 11/13/43 | 20,820 | 21,191 |
| 6 Metropolitan Life Global Funding I | 1.500% | 1/10/18 | 50,360 | 49,975 |
| 6 Metropolitan Life Global Funding I | 1.875% | 6/22/18 | 12,690 | 12,640 |
| 6 New York Life Global Funding | 1.650% | 5/15/17 | 44,000 | 44,240 |
| 6 New York Life Insurance Co. | 5.875% | 5/15/33 | 55,395 | 66,234 |
| Prudential Financial Inc. | 2.300% | 8/15/18 | 24,545 | 24,550 |
| Prudential Financial Inc. | 4.500% | 11/15/20 | 34,365 | 36,872 |
| 6 QBE Insurance Group Ltd. | 2.400% | 5/1/18 | 9,160 | 9,168 |
| 6 Teachers Insurance & Annuity Association of | ||||
| America | 4.900% | 9/15/44 | 14,830 | 15,040 |
| Torchmark Corp. | 7.875% | 5/15/23 | 45,000 | 57,141 |
| Travelers Cos. Inc. | 5.800% | 5/15/18 | 32,500 | 35,371 |
| UnitedHealth Group Inc. | 6.000% | 6/15/17 | 9,500 | 10,070 |
| UnitedHealth Group Inc. | 6.000% | 2/15/18 | 26,300 | 28,528 |
| UnitedHealth Group Inc. | 3.875% | 10/15/20 | 27,960 | 29,890 |
| UnitedHealth Group Inc. | 2.875% | 3/15/22 | 4,696 | 4,778 |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 16,000 | 16,201 |
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 32,330 | 34,770 |
| UnitedHealth Group Inc. | 4.250% | 3/15/43 | 67,400 | 66,776 |
| UnitedHealth Group Inc. | 4.750% | 7/15/45 | 30,995 | 33,809 |
| Other Finance (0.0%) | ||||
| 6 LeasePlan Corp. NV | 2.875% | 1/22/19 | 24,670 | 24,547 |
| Real Estate Investment Trusts (0.1%) | ||||
| AvalonBay Communities Inc. | 3.625% | 10/1/20 | 20,780 | 21,716 |
| Duke Realty LP | 6.500% | 1/15/18 | 8,160 | 8,793 |
| Realty Income Corp. | 6.750% | 8/15/19 | 21,075 | 24,119 |
| Realty Income Corp. | 4.650% | 8/1/23 | 25,010 | 26,391 |
| 6 WEA Finance LLC / Westfield UK & Europe | ||||
| Finance plc | 1.750% | 9/15/17 | 14,730 | 14,621 |
| 6 WEA Finance LLC / Westfield UK & Europe | ||||
| Finance plc | 2.700% | 9/17/19 | 22,360 | 22,348 |
| 7,435,896 | ||||
| Industrial (12.5%) | ||||
| Basic Industry (0.2%) | ||||
| BHP Billiton Finance USA Ltd. | 7.250% | 3/1/16 | 15,000 | 15,005 |
| BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 44,045 | 44,104 |
| CF Industries Inc. | 5.375% | 3/15/44 | 36,165 | 30,708 |
| LyondellBasell Industries NV | 4.625% | 2/26/55 | 34,730 | 28,468 |
| Monsanto Co. | 4.700% | 7/15/64 | 8,775 | 6,775 |
| Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 37,000 | 39,560 |
| Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 11,700 | 11,570 |
| Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 8,095 | 8,045 |
| Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 10,080 | 9,801 |
| 4 Rohm and Haas Holdings Ltd. | 9.800% | 4/15/20 | 3,375 | 3,824 |
| Capital Goods (1.1%) | ||||
| 3M Co. | 6.375% | 2/15/28 | 24,990 | 33,264 |
| 6 BAE Systems Holdings Inc. | 2.850% | 12/15/20 | 6,060 | 6,123 |
| 6 BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 11,010 | 11,310 |
| Boeing Co. | 8.625% | 11/15/31 | 9,460 | 14,267 |
| Caterpillar Financial Services Corp. | 1.625% | 6/1/17 | 25,220 | 25,314 |
| Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 53,000 | 52,155 |
| Caterpillar Inc. | 3.900% | 5/27/21 | 46,914 | 50,198 |
| Caterpillar Inc. | 2.600% | 6/26/22 | 11,345 | 11,453 |
| Caterpillar Inc. | 3.400% | 5/15/24 | 24,200 | 24,742 |
| Caterpillar Inc. | 3.803% | 8/15/42 | 13,960 | 12,750 |
| Caterpillar Inc. | 4.300% | 5/15/44 | 26,035 | 25,295 |
| Deere & Co. | 7.125% | 3/3/31 | 17,500 | 23,989 |
| General Dynamics Corp. | 3.875% | 7/15/21 | 14,925 | 16,140 |
| General Electric Capital Corp. | 4.625% | 1/7/21 | 22,598 | 25,256 |
| General Electric Capital Corp. | 5.300% | 2/11/21 | 8,833 | 10,072 |
| General Electric Capital Corp. | 3.150% | 9/7/22 | 34,079 | 35,820 |
| General Electric Capital Corp. | 3.100% | 1/9/23 | 8,635 | 9,032 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 3,986 | 5,315 |
| General Electric Capital Corp. | 6.150% | 8/7/37 | 17,093 | 22,091 |
| General Electric Capital Corp. | 5.875% | 1/14/38 | 19,160 | 24,012 |
| General Electric Capital Corp. | 6.875% | 1/10/39 | 7,834 | 10,954 |
| General Electric Co. | 5.250% | 12/6/17 | 11,685 | 12,525 |
| General Electric Co. | 2.700% | 10/9/22 | 9,965 | 10,285 |
| General Electric Co. | 4.125% | 10/9/42 | 8,735 | 8,815 |
| General Electric Co. | 4.500% | 3/11/44 | 43,750 | 46,662 |
| Honeywell International Inc. | 4.250% | 3/1/21 | 40,681 | 45,184 |
| Illinois Tool Works Inc. | 3.500% | 3/1/24 | 52,955 | 56,343 |
| John Deere Capital Corp. | 2.250% | 4/17/19 | 28,125 | 28,537 |
| John Deere Capital Corp. | 1.700% | 1/15/20 | 21,935 | 21,651 |
| Lockheed Martin Corp. | 2.900% | 3/1/25 | 10,450 | 10,386 |
| Lockheed Martin Corp. | 4.500% | 5/15/36 | 8,015 | 8,375 |
| Lockheed Martin Corp. | 4.700% | 5/15/46 | 19,870 | 21,282 |
| Parker-Hannifin Corp. | 4.450% | 11/21/44 | 17,735 | 18,844 |
| 6 Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 30,800 | 31,724 |
| 6 Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 34,365 | 35,892 |
| United Technologies Corp. | 3.100% | 6/1/22 | 7,010 | 7,295 |
| United Technologies Corp. | 7.500% | 9/15/29 | 19,230 | 26,633 |
| United Technologies Corp. | 6.050% | 6/1/36 | 20,325 | 24,762 |
| United Technologies Corp. | 6.125% | 7/15/38 | 45,000 | 55,840 |
| Communication (2.1%) | ||||
| 21st Century Fox America Inc. | 4.500% | 2/15/21 | 14,500 | 15,789 |
| 21st Century Fox America Inc. | 3.000% | 9/15/22 | 11,891 | 11,936 |
| America Movil SAB de CV | 3.125% | 7/16/22 | 84,600 | 84,015 |
| America Movil SAB de CV | 4.375% | 7/16/42 | 20,430 | 18,636 |
| American Tower Corp. | 3.450% | 9/15/21 | 30,665 | 30,641 |
| AT&T Inc. | 1.400% | 12/1/17 | 18,715 | 18,644 |
| AT&T Inc. | 5.600% | 5/15/18 | 44,000 | 47,461 |
| AT&T Inc. | 2.300% | 3/11/19 | 16,760 | 16,860 |
| AT&T Inc. | 4.450% | 5/15/21 | 10,000 | 10,700 |
| AT&T Inc. | 6.450% | 6/15/34 | 33,115 | 37,418 |
| CBS Corp. | 4.300% | 2/15/21 | 27,830 | 29,279 |
| Comcast Corp. | 3.600% | 3/1/24 | 22,230 | 23,515 |
| Comcast Corp. | 4.250% | 1/15/33 | 42,890 | 43,780 |
| Comcast Corp. | 4.200% | 8/15/34 | 23,435 | 23,802 |
| Comcast Corp. | 5.650% | 6/15/35 | 4,725 | 5,455 |
| Comcast Corp. | 4.400% | 8/15/35 | 26,835 | 27,840 |
| Comcast Corp. | 6.500% | 11/15/35 | 4,720 | 5,924 |
| Comcast Corp. | 6.400% | 5/15/38 | 4,320 | 5,445 |
| Comcast Corp. | 4.650% | 7/15/42 | 47,970 | 50,850 |
| Comcast Corp. | 4.500% | 1/15/43 | 22,000 | 22,350 |
| Comcast Corp. | 4.750% | 3/1/44 | 22,875 | 24,049 |
| Comcast Corp. | 4.600% | 8/15/45 | 32,640 | 34,332 |
| 6 Cox Communications Inc. | 4.800% | 2/1/35 | 30,000 | 25,042 |
| 6 Deutsche Telekom International Finance BV | 4.875% | 3/6/42 | 27,715 | 28,837 |
| DIRECTV Holdings LLC / DIRECTV Financing | ||||
| Co. Inc. | 1.750% | 1/15/18 | 23,605 | 23,553 |
| DIRECTV Holdings LLC / DIRECTV Financing | ||||
| Co. Inc. | 5.200% | 3/15/20 | 10,120 | 11,086 |
| DIRECTV Holdings LLC / DIRECTV Financing | ||||
| Co. Inc. | 4.600% | 2/15/21 | 5,000 | 5,374 |
| Discovery Communications LLC | 5.625% | 8/15/19 | 10,635 | 11,527 |
| Discovery Communications LLC | 5.050% | 6/1/20 | 8,365 | 8,799 |
| Grupo Televisa SAB | 6.625% | 1/15/40 | 25,090 | 25,723 |
| Grupo Televisa SAB | 5.000% | 5/13/45 | 6,100 | 5,099 |
| Grupo Televisa SAB | 6.125% | 1/31/46 | 12,550 | 12,257 |
| 6 GTP Acquisition Partners I LLC | 2.350% | 6/15/20 | 22,530 | 21,970 |
| 6 NBCUniversal Enterprise Inc. | 1.662% | 4/15/18 | 76,135 | 76,328 |
| 6 NBCUniversal Enterprise Inc. | 1.974% | 4/15/19 | 100,115 | 100,745 |
| NBCUniversal Media LLC | 4.375% | 4/1/21 | 23,900 | 26,426 |
| NBCUniversal Media LLC | 2.875% | 1/15/23 | 9,760 | 9,953 |
| Orange SA | 9.000% | 9/1/16 | 13,360 | 18,729 |
| Orange SA | 4.125% | 9/14/21 | 60,990 | 65,409 |
| 6 SBA Tower Trust | 2.933% | 12/15/17 | 33,310 | 33,138 |
| 6 Sky plc | 2.625% | 9/16/19 | 38,021 | 38,010 |
| 6 Sky plc | 3.750% | 9/16/24 | 45,046 | 44,672 |
| Time Warner Cable Inc. | 5.850% | 5/1/17 | 34,980 | 36,377 |
| Time Warner Cable Inc. | 8.750% | 2/14/19 | 1,120 | 1,294 |
| Time Warner Cable Inc. | 8.250% | 4/1/19 | 14,433 | 16,518 |
| Time Warner Cos. Inc. | 7.570% | 2/1/24 | 20,000 | 24,288 |
| Time Warner Cos. Inc. | 6.950% | 1/15/28 | 20,000 | 23,838 |
| Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,925 | 4,752 |
| Time Warner Inc. | 4.875% | 3/15/20 | 14,000 | 15,109 |
| Time Warner Inc. | 4.750% | 3/29/21 | 8,000 | 8,648 |
| Verizon Communications Inc. | 4.500% | 9/15/20 | 95,525 | 103,898 |
| Verizon Communications Inc. | 3.450% | 3/15/21 | 19,600 | 20,376 |
| Verizon Communications Inc. | 3.500% | 11/1/21 | 5,495 | 5,740 |
| Verizon Communications Inc. | 6.400% | 9/15/33 | 79,665 | 91,189 |
| Verizon Communications Inc. | 5.850% | 9/15/35 | 49,525 | 53,966 |
| Verizon Communications Inc. | 6.900% | 4/15/38 | 9,710 | 11,342 |
| Verizon Communications Inc. | 4.750% | 11/1/41 | 11,880 | 11,323 |
| Verizon Communications Inc. | 6.550% | 9/15/43 | 8,620 | 10,453 |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 78,107 | 76,331 |
| Viacom Inc. | 6.125% | 10/5/17 | 7,500 | 7,890 |
| Walt Disney Co. | 4.125% | 6/1/44 | 23,115 | 23,846 |
| Consumer Cyclical (1.8%) | ||||
| Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 12,965 | 12,887 |
| Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 2,515 | 2,511 |
| Amazon.com Inc. | 2.500% | 11/29/22 | 34,760 | 34,726 |
| Amazon.com Inc. | 4.800% | 12/5/34 | 37,370 | 40,368 |
| Amazon.com Inc. | 4.950% | 12/5/44 | 25,020 | 27,651 |
| 6 American Honda Finance Corp. | 1.500% | 9/11/17 | 18,760 | 18,762 |
| 6 American Honda Finance Corp. | 1.600% | 2/16/18 | 30,845 | 30,826 |
| American Honda Finance Corp. | 2.125% | 10/10/18 | 45,655 | 46,122 |
| AutoZone Inc. | 3.700% | 4/15/22 | 46,136 | 47,808 |
| AutoZone Inc. | 3.125% | 7/15/23 | 33,000 | 32,906 |
| CVS Health Corp. | 5.750% | 6/1/17 | 7,891 | 8,326 |
| CVS Health Corp. | 2.750% | 12/1/22 | 40,255 | 40,118 |
| CVS Health Corp. | 4.875% | 7/20/35 | 43,800 | 46,978 |
| CVS Health Corp. | 5.125% | 7/20/45 | 51,085 | 57,173 |
| 6 Daimler Finance North America LLC | 2.375% | 8/1/18 | 35,000 | 35,175 |
| 6 Daimler Finance North America LLC | 2.250% | 7/31/19 | 73,100 | 72,535 |
| 6 Daimler Finance North America LLC | 2.450% | 5/18/20 | 2,740 | 2,711 |
| 6 Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,961 | 4,140 |
| Daimler Finance North America LLC | 8.500% | 1/18/31 | 33,000 | 49,390 |
| eBay Inc. | 1.350% | 7/15/17 | 12,580 | 12,541 |
| Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 70,000 | 68,852 |
| Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 37,845 | 37,700 |
| Home Depot Inc. | 2.250% | 9/10/18 | 39,555 | 40,573 |
| Home Depot Inc. | 2.700% | 4/1/23 | 31,170 | 31,963 |
| Home Depot Inc. | 4.400% | 3/15/45 | 28,655 | 30,520 |
| Johnson Controls Inc. | 7.125% | 7/15/17 | 36,300 | 38,632 |
| Lowe's Cos. Inc. | 6.875% | 2/15/28 | 5,790 | 7,673 |
| Lowe's Cos. Inc. | 6.500% | 3/15/29 | 39,900 | 51,330 |
| Lowe's Cos. Inc. | 5.500% | 10/15/35 | 20,000 | 23,515 |
| Lowe's Cos. Inc. | 6.650% | 9/15/37 | 25,905 | 34,143 |
| McDonald's Corp. | 2.625% | 1/15/22 | 7,805 | 7,822 |
| McDonald's Corp. | 3.250% | 6/10/24 | 5,460 | 5,564 |
| 6 Nissan Motor Acceptance Corp. | 1.950% | 9/12/17 | 44,895 | 45,042 |
| 6 Nissan Motor Acceptance Corp. | 1.800% | 3/15/18 | 46,400 | 46,270 |
| 6 Nissan Motor Acceptance Corp. | 2.650% | 9/26/18 | 24,990 | 25,462 |
| PACCAR Financial Corp. | 1.600% | 3/15/17 | 39,311 | 39,516 |
| Target Corp. | 2.900% | 1/15/22 | 12,300 | 12,761 |
| Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 47,000 | 47,306 |
| Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 35,945 | 35,922 |
| 6 Volkswagen Group of America Finance LLC | 2.450% | 11/20/19 | 16,935 | 16,409 |
| Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 25,754 | 27,427 |
| Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 29,000 | 32,344 |
| Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 38,325 | 39,005 |
| Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 112,595 | 138,380 |
| Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 20,480 | 21,518 |
| Consumer Noncyclical (4.3%) | ||||
| AbbVie Inc. | 1.750% | 11/6/17 | 31,160 | 31,139 |
| Actavis Funding SCS | 3.000% | 3/12/20 | 18,480 | 18,778 |
| Actavis Funding SCS | 3.450% | 3/15/22 | 33,005 | 33,621 | |
| Actavis Funding SCS | 4.850% | 6/15/44 | 18,000 | 18,458 | |
| Altria Group Inc. | 4.750% | 5/5/21 | 23,376 | 25,882 | |
| Altria Group Inc. | 2.850% | 8/9/22 | 18,810 | 19,003 | |
| Altria Group Inc. | 4.500% | 5/2/43 | 16,890 | 16,711 | |
| AmerisourceBergen Corp. | 3.500% | 11/15/21 | 12,320 | 12,761 | |
| Amgen Inc. | 3.875% | 11/15/21 | 33,315 | 35,323 | |
| Amgen Inc. | 5.150% | 11/15/41 | 36,380 | 37,546 | |
| Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 13,000 | 14,138 | |
| Anheuser-Busch Cos. LLC | 6.500% | 1/1/28 | 19,550 | 23,548 | |
| Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 75,400 | 77,474 | |
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 68,045 | 70,169 | |
| Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 156,200 | 162,826 | |
| Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 99,460 | 106,847 | |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 37,010 | 41,217 | |
| Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 3,120 | 3,416 | |
| Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 141,996 | 140,708 | |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 19,610 | 17,722 | |
| 4 | Ascension Health | 4.847% | 11/15/53 | 44,750 | 50,531 |
| AstraZeneca plc | 1.950% | 9/18/19 | 12,065 | 12,055 | |
| AstraZeneca plc | 2.375% | 11/16/20 | 44,480 | 44,735 | |
| AstraZeneca plc | 6.450% | 9/15/37 | 23,385 | 29,721 | |
| AstraZeneca plc | 4.375% | 11/16/45 | 30,240 | 30,483 | |
| 4,6,7Avery Point IV CLO Ltd. | 2.139% | 4/25/16 | 46,220 | 45,743 | |
| 6 | BAT International Finance plc | 2.750% | 6/15/20 | 21,250 | 21,624 |
| 6 | BAT International Finance plc | 3.250% | 6/7/22 | 58,280 | 60,049 |
| 6 | BAT International Finance plc | 3.500% | 6/15/22 | 8,980 | 9,367 |
| 6 | Bayer US Finance LLC | 2.375% | 10/8/19 | 7,510 | 7,619 |
| 6 | Bayer US Finance LLC | 3.000% | 10/8/21 | 46,850 | 48,189 |
| 6 | Bayer US Finance LLC | 3.375% | 10/8/24 | 11,700 | 12,131 |
| Biogen Inc. | 2.900% | 9/15/20 | 21,115 | 21,343 | |
| Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 40,790 | 43,208 | |
| Cardinal Health Inc. | 1.700% | 3/15/18 | 2,585 | 2,577 | |
| Cardinal Health Inc. | 2.400% | 11/15/19 | 27,350 | 27,499 | |
| Cardinal Health Inc. | 3.200% | 3/15/23 | 13,035 | 13,209 | |
| Cardinal Health Inc. | 3.500% | 11/15/24 | 24,705 | 25,286 | |
| Cardinal Health Inc. | 4.500% | 11/15/44 | 28,805 | 27,820 | |
| 6 | Cargill Inc. | 6.000% | 11/27/17 | 25,000 | 26,748 |
| 6 | Cargill Inc. | 4.307% | 5/14/21 | 60,532 | 66,153 |
| 6 | Cargill Inc. | 6.875% | 5/1/28 | 19,355 | 24,783 |
| 6 | Cargill Inc. | 4.760% | 11/23/45 | 35,615 | 38,295 |
| Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 2,140 | 2,137 | |
| Catholic Health Initiatives Colorado GO | 2.600% | 8/1/18 | 9,745 | 9,891 | |
| 4 | Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 17,905 | 17,529 |
| Celgene Corp. | 2.250% | 5/15/19 | 6,565 | 6,576 | |
| Celgene Corp. | 3.550% | 8/15/22 | 18,400 | 18,907 | |
| Coca-Cola Co. | 3.300% | 9/1/21 | 10,075 | 10,745 | |
| Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 9,900 | 10,294 | |
| Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 8,430 | 9,243 | |
| Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 30,936 | 31,658 | |
| Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 34,200 | 35,065 | |
| Colgate-Palmolive Co. | 7.600% | 5/19/25 | 13,920 | 18,948 | |
| Diageo Capital plc | 2.625% | 4/29/23 | 48,310 | 48,425 | |
| Diageo Investment Corp. | 2.875% | 5/11/22 | 26,991 | 27,617 | |
| Dignity Health California GO | 2.637% | 11/1/19 | 5,595 | 5,711 | |
| Dignity Health California GO | 3.812% | 11/1/24 | 11,415 | 12,047 | |
| Eli Lilly & Co. | 3.700% | 3/1/45 | 24,450 | 24,072 | |
| 6 EMD Finance LLC | 2.950% | 3/19/22 | 23,660 | 23,426 |
| 6 EMD Finance LLC | 3.250% | 3/19/25 | 47,000 | 46,102 |
| Express Scripts Holding Co. | 2.250% | 6/15/19 | 23,100 | 22,944 |
| 6 Forest Laboratories Inc. | 4.875% | 2/15/21 | 9,000 | 9,810 |
| 7 General Mills Inc. | 6.390% | 8/5/16 | 50,000 | 58,358 |
| Gilead Sciences Inc. | 2.550% | 9/1/20 | 26,330 | 26,761 |
| Gilead Sciences Inc. | 3.700% | 4/1/24 | 26,895 | 28,319 |
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 22,335 | 23,294 |
| Gilead Sciences Inc. | 4.500% | 2/1/45 | 27,480 | 27,889 |
| GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 31,740 | 32,479 |
| GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 45,000 | 53,705 |
| GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 28,930 | 29,959 |
| 6 Grupo Bimbo SAB de CV | 3.875% | 6/27/24 | 18,395 | 17,955 |
| 6 Imperial Tobacco Finance plc | 3.750% | 7/21/22 | 20,495 | 20,975 |
| 6 Japan Tobacco Inc. | 2.100% | 7/23/18 | 22,200 | 22,352 |
| Johnson & Johnson | 5.150% | 7/15/18 | 14,800 | 16,193 |
| Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 20,786 | 21,587 |
| Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 14,250 | 15,818 |
| Kraft Foods Group Inc. | 2.250% | 6/5/17 | 11,390 | 11,490 |
| 6 Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 8,940 | 9,303 |
| Kroger Co. | 3.300% | 1/15/21 | 16,485 | 17,220 |
| Kroger Co. | 3.850% | 8/1/23 | 10,770 | 11,494 |
| Kroger Co. | 4.000% | 2/1/24 | 22,290 | 23,674 |
| McKesson Corp. | 3.250% | 3/1/16 | 6,650 | 6,651 |
| McKesson Corp. | 2.700% | 12/15/22 | 7,710 | 7,538 |
| McKesson Corp. | 2.850% | 3/15/23 | 7,620 | 7,468 |
| Medtronic Inc. | 1.375% | 4/1/18 | 13,520 | 13,530 |
| Medtronic Inc. | 2.500% | 3/15/20 | 34,350 | 35,220 |
| Medtronic Inc. | 3.150% | 3/15/22 | 57,630 | 60,007 |
| Medtronic Inc. | 3.625% | 3/15/24 | 10,350 | 10,901 |
| Medtronic Inc. | 3.500% | 3/15/25 | 76,150 | 79,893 |
| Medtronic Inc. | 4.375% | 3/15/35 | 10,565 | 10,906 |
| Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 15,150 | 15,330 |
| Memorial Sloan-Kettering Cancer Center | ||||
| New York GO | 4.125% | 7/1/52 | 11,055 | 10,904 |
| Merck & Co. Inc. | 2.350% | 2/10/22 | 30,760 | 30,734 |
| Merck & Co. Inc. | 2.800% | 5/18/23 | 54,775 | 55,858 |
| Merck & Co. Inc. | 2.750% | 2/10/25 | 47,090 | 47,319 |
| Merck & Co. Inc. | 6.550% | 9/15/37 | 10,000 | 13,643 |
| Merck & Co. Inc. | 4.150% | 5/18/43 | 22,090 | 22,716 |
| Molson Coors Brewing Co. | 3.500% | 5/1/22 | 16,525 | 16,962 |
| Molson Coors Brewing Co. | 5.000% | 5/1/42 | 6,465 | 6,429 |
| New York & Presbyterian Hospital | 4.024% | 8/1/45 | 28,410 | 28,243 |
| Novartis Capital Corp. | 3.400% | 5/6/24 | 16,695 | 17,827 |
| Novartis Capital Corp. | 4.400% | 5/6/44 | 25,896 | 27,919 |
| Partners Healthcare System Massachusetts | ||||
| GO | 3.443% | 7/1/21 | 1,950 | 2,063 |
| PepsiCo Inc. | 2.750% | 3/1/23 | 29,800 | 30,665 |
| PepsiCo Inc. | 4.000% | 3/5/42 | 51,391 | 50,831 |
| Pfizer Inc. | 3.000% | 6/15/23 | 47,025 | 48,682 |
| Philip Morris International Inc. | 4.500% | 3/26/20 | 8,250 | 9,100 |
| Philip Morris International Inc. | 4.125% | 5/17/21 | 43,025 | 47,064 |
| Philip Morris International Inc. | 2.500% | 8/22/22 | 21,645 | 21,858 |
| Philip Morris International Inc. | 2.625% | 3/6/23 | 46,850 | 47,501 |
| 4 Procter & Gamble - Esop | 9.360% | 1/1/21 | 30,363 | 36,519 |
| 6 Roche Holdings Inc. | 6.000% | 3/1/19 | 6,326 | 7,155 |
| 6 Roche Holdings Inc. | 2.875% | 9/29/21 | 33,000 | 34,328 |
| 6 SABMiller Holdings Inc. | 2.450% | 1/15/17 | 11,400 | 11,501 |
| 6 SABMiller Holdings Inc. | 3.750% | 1/15/22 | 2,390 | 2,506 |
| 6 SABMiller Holdings Inc. | 4.950% | 1/15/42 | 4,100 | 4,342 |
| Sanofi | 4.000% | 3/29/21 | 44,090 | 48,244 |
| The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 10,000 | 13,758 |
| Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 20,495 | 20,461 |
| Unilever Capital Corp. | 4.250% | 2/10/21 | 95,235 | 105,975 |
| Wyeth LLC | 5.950% | 4/1/37 | 25,000 | 30,845 |
| Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 29,000 | 36,925 |
| Energy (1.8%) | ||||
| 6 BG Energy Capital plc | 4.000% | 10/15/21 | 5,000 | 5,008 |
| BP Capital Markets plc | 1.846% | 5/5/17 | 25,000 | 25,007 |
| BP Capital Markets plc | 4.750% | 3/10/19 | 27,215 | 28,656 |
| BP Capital Markets plc | 2.315% | 2/13/20 | 5,855 | 5,717 |
| BP Capital Markets plc | 4.500% | 10/1/20 | 16,000 | 16,858 |
| BP Capital Markets plc | 3.062% | 3/17/22 | 43,130 | 42,200 |
| BP Capital Markets plc | 3.245% | 5/6/22 | 35,000 | 34,506 |
| BP Capital Markets plc | 2.500% | 11/6/22 | 22,000 | 20,512 |
| BP Capital Markets plc | 3.994% | 9/26/23 | 16,185 | 16,402 |
| BP Capital Markets plc | 3.814% | 2/10/24 | 24,500 | 24,228 |
| BP Capital Markets plc | 3.506% | 3/17/25 | 50,285 | 48,944 |
| Chevron Corp. | 3.191% | 6/24/23 | 49,470 | 49,414 |
| ConocoPhillips | 5.200% | 5/15/18 | 80,000 | 82,990 |
| ConocoPhillips | 5.750% | 2/1/19 | 7,510 | 7,814 |
| ConocoPhillips | 6.000% | 1/15/20 | 3,680 | 3,862 |
| ConocoPhillips Co. | 2.875% | 11/15/21 | 26,575 | 24,092 |
| ConocoPhillips Co. | 3.350% | 11/15/24 | 10,520 | 9,294 |
| ConocoPhillips Co. | 3.350% | 5/15/25 | 12,735 | 11,236 |
| ConocoPhillips Co. | 4.300% | 11/15/44 | 60,450 | 48,498 |
| Devon Energy Corp. | 3.250% | 5/15/22 | 18,600 | 14,322 |
| Devon Energy Corp. | 5.850% | 12/15/25 | 38,395 | 33,359 |
| Devon Energy Corp. | 5.600% | 7/15/41 | 10,015 | 6,820 |
| Devon Energy Corp. | 5.000% | 6/15/45 | 21,975 | 14,335 |
| Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 21,445 | 21,720 |
| Encana Corp. | 6.500% | 5/15/19 | 29,970 | 24,426 |
| EOG Resources Inc. | 5.625% | 6/1/19 | 23,100 | 24,363 |
| EOG Resources Inc. | 2.625% | 3/15/23 | 14,438 | 13,026 |
| Exxon Mobil Corp. | 2.222% | 3/1/21 | 14,165 | 14,165 |
| Exxon Mobil Corp. | 2.726% | 3/1/23 | 11,910 | 11,910 |
| Exxon Mobil Corp. | 3.043% | 3/1/26 | 8,115 | 8,115 |
| Exxon Mobil Corp. | 4.114% | 3/1/46 | 12,060 | 12,060 |
| Halliburton Co. | 2.700% | 11/15/20 | 13,510 | 13,278 |
| Halliburton Co. | 3.375% | 11/15/22 | 23,825 | 23,486 |
| Halliburton Co. | 3.500% | 8/1/23 | 78,795 | 73,646 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 39,240 | 41,351 |
| Occidental Petroleum Corp. | 2.700% | 2/15/23 | 10,750 | 10,072 |
| Phillips 66 | 4.875% | 11/15/44 | 10,800 | 9,891 |
| Plains All American Pipeline LP / PAA | ||||
| Finance Corp. | 3.850% | 10/15/23 | 60,000 | 49,176 |
| 6 Schlumberger Holdings Corp. | 3.000% | 12/21/20 | 30,755 | 30,267 |
| 6 Schlumberger Investment SA | 2.400% | 8/1/22 | 23,925 | 22,826 |
| Schlumberger Investment SA | 3.650% | 12/1/23 | 44,520 | 45,003 |
| Shell International Finance BV | 4.375% | 3/25/20 | 28,875 | 30,625 |
| Shell International Finance BV | 3.250% | 5/11/25 | 11,051 | 10,760 |
| Shell International Finance BV | 4.125% | 5/11/35 | 46,100 | 43,012 |
| Shell International Finance BV | 5.500% | 3/25/40 | 12,990 | 13,787 |
| Shell International Finance BV | 4.375% | 5/11/45 | 83,025 | 77,063 |
| Suncor Energy Inc. | 3.600% | 12/1/24 | 24,135 | 21,862 |
| Suncor Energy Inc. | 5.950% | 12/1/34 | 20,700 | 18,027 |
| Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 30,900 | 28,476 |
| Total Capital International SA | 1.550% | 6/28/17 | 44,415 | 44,413 |
| Total Capital International SA | 2.700% | 1/25/23 | 36,510 | 34,976 |
| Total Capital International SA | 3.750% | 4/10/24 | 41,500 | 42,260 |
| Total Capital SA | 2.125% | 8/10/18 | 42,000 | 42,075 |
| TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 47,125 | 47,567 |
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 47,256 | 48,890 |
| Other Industrial (0.1%) | ||||
| 6 Hutchison Whampoa International 11 Ltd. | 3.500% | 1/13/17 | 6,145 | 6,245 |
| 4 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 26,970 | 28,347 |
| Technology (0.6%) | ||||
| Apple Inc. | 2.850% | 5/6/21 | 44,000 | 45,685 |
| Apple Inc. | 3.450% | 5/6/24 | 39,950 | 42,199 |
| Apple Inc. | 3.850% | 5/4/43 | 17,000 | 15,888 |
| Apple Inc. | 4.450% | 5/6/44 | 5,075 | 5,183 |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 24,095 | 26,407 |
| Cisco Systems Inc. | 2.900% | 3/4/21 | 13,350 | 13,761 |
| EMC Corp. | 1.875% | 6/1/18 | 49,375 | 47,585 |
| International Business Machines Corp. | 8.375% | 11/1/19 | 25,000 | 30,722 |
| International Business Machines Corp. | 3.375% | 8/1/23 | 70,925 | 73,597 |
| International Business Machines Corp. | 3.625% | 2/12/24 | 35,000 | 36,767 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 25,000 | 30,478 |
| Microsoft Corp. | 2.375% | 2/12/22 | 24,670 | 25,095 |
| Microsoft Corp. | 3.625% | 12/15/23 | 16,000 | 17,445 |
| Microsoft Corp. | 3.125% | 11/3/25 | 31,615 | 33,141 |
| Microsoft Corp. | 3.500% | 2/12/35 | 23,520 | 22,243 |
| Microsoft Corp. | 4.450% | 11/3/45 | 14,250 | 15,207 |
| Oracle Corp. | 2.500% | 5/15/22 | 46,930 | 46,888 |
| Oracle Corp. | 2.950% | 5/15/25 | 13,635 | 13,768 |
| Transportation (0.5%) | ||||
| Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 7,595 | 7,800 |
| Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 21,397 | 21,712 |
| Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 20,891 | 22,367 |
| 4 Continental Airlines 2007-1 Class A Pass | ||||
| Through Trust | 5.983% | 10/19/23 | 24,869 | 27,419 |
| 6 ERAC USA Finance LLC | 2.750% | 3/15/17 | 6,795 | 6,865 |
| 6 ERAC USA Finance LLC | 2.350% | 10/15/19 | 27,135 | 26,990 |
| 6 ERAC USA Finance LLC | 4.500% | 8/16/21 | 9,295 | 9,986 |
| 6 ERAC USA Finance LLC | 3.300% | 10/15/22 | 2,115 | 2,111 |
| 6 ERAC USA Finance LLC | 7.000% | 10/15/37 | 32,995 | 40,608 |
| 6 ERAC USA Finance LLC | 5.625% | 3/15/42 | 10,000 | 10,739 |
| 4 Federal Express Corp. 1998 Pass Through | ||||
| Trust | 6.720% | 1/15/22 | 22,631 | 25,262 |
| FedEx Corp. | 2.700% | 4/15/23 | 23,430 | 23,103 |
| FedEx Corp. | 4.900% | 1/15/34 | 10,610 | 10,905 |
| FedEx Corp. | 3.875% | 8/1/42 | 5,095 | 4,457 |
| FedEx Corp. | 4.100% | 4/15/43 | 20,500 | 18,896 |
| FedEx Corp. | 5.100% | 1/15/44 | 18,015 | 18,370 |
| 6 Kansas City Southern | 4.950% | 8/15/45 | 39,060 | 39,010 |
| Southwest Airlines Co. | 5.750% | 12/15/16 | 32,500 | 33,557 |
| 4 Southwest Airlines Co. 2007-1 Pass Through | ||||
| Trust | 6.150% | 2/1/24 | 16,454 | 18,469 |
| United Parcel Service Inc. | 2.450% | 10/1/22 | 17,950 | 18,328 |
| United Parcel Service Inc. | 4.875% | 11/15/40 | 14,815 | 17,277 |
| 10,476,604 | ||||
| Utilities (2.0%) | ||||
| Electric (1.9%) | ||||
| Alabama Power Co. | 5.550% | 2/1/17 | 17,650 | 18,299 |
| Alabama Power Co. | 5.700% | 2/15/33 | 15,000 | 17,959 |
| Alabama Power Co. | 3.750% | 3/1/45 | 24,430 | 23,476 |
| Ameren Illinois Co. | 6.125% | 12/15/28 | 54,000 | 67,313 |
| Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 25,000 | 29,857 |
| Commonwealth Edison Co. | 4.350% | 11/15/45 | 8,130 | 8,624 |
| Connecticut Light & Power Co. | 5.650% | 5/1/18 | 13,655 | 14,837 |
| Consolidated Edison Co. of New York Inc. | 5.300% | 12/1/16 | 25,505 | 26,287 |
| Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 11,278 | 12,875 |
| Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 36,735 | 39,006 |
| Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 51,625 | 53,692 |
| Delmarva Power & Light Co. | 3.500% | 11/15/23 | 11,816 | 12,496 |
| Dominion Resources Inc. | 5.200% | 8/15/19 | 19,250 | 21,067 |
| Dominion Resources Inc. | 3.625% | 12/1/24 | 29,400 | 29,414 |
| Duke Energy Carolinas LLC | 5.250% | 1/15/18 | 9,000 | 9,634 |
| Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 18,235 | 19,621 |
| Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 50,025 | 54,347 |
| Duke Energy Corp. | 4.800% | 12/15/45 | 44,700 | 46,522 |
| Duke Energy Florida LLC | 6.350% | 9/15/37 | 8,000 | 10,508 |
| Duke Energy Florida LLC | 6.400% | 6/15/38 | 27,055 | 35,904 |
| Duke Energy Progress LLC | 6.300% | 4/1/38 | 14,705 | 19,430 |
| Duke Energy Progress LLC | 4.200% | 8/15/45 | 32,825 | 34,373 |
| Eversource Energy | 4.500% | 11/15/19 | 3,535 | 3,818 |
| Eversource Energy | 3.150% | 1/15/25 | 5,025 | 4,991 |
| Florida Power & Light Co. | 5.650% | 2/1/35 | 50,000 | 61,426 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 10,000 | 11,592 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 5,000 | 6,130 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 39,215 | 50,996 |
| Georgia Power Co. | 5.400% | 6/1/18 | 38,660 | 41,965 |
| Georgia Power Co. | 4.300% | 3/15/42 | 23,145 | 22,830 |
| MidAmerican Energy Co. | 4.250% | 5/1/46 | 3,925 | 4,132 |
| National Rural Utilities Cooperative Finance | ||||
| Corp. | 5.450% | 2/1/18 | 60,000 | 64,305 |
| National Rural Utilities Cooperative Finance | ||||
| Corp. | 2.850% | 1/27/25 | 40,345 | 40,382 |
| Northern States Power Co. | 6.250% | 6/1/36 | 50,000 | 65,687 |
| Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 11,365 | 12,352 |
| Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 17,950 | 19,275 |
| Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 12,250 | 13,022 |
| Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 11,255 | 12,832 |
| PacifiCorp | 2.950% | 6/1/23 | 29,675 | 30,281 |
| PacifiCorp | 5.900% | 8/15/34 | 12,500 | 15,194 |
| PacifiCorp | 6.250% | 10/15/37 | 36,635 | 47,429 |
| Peco Energy Co. | 5.350% | 3/1/18 | 20,545 | 22,089 |
| Potomac Electric Power Co. | 6.500% | 11/15/37 | 25,000 | 33,408 |
| Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 25,100 | 27,176 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 3,600 | 4,565 |
| Sierra Pacific Power Co. | 3.375% | 8/15/23 | 34,040 | 35,538 |
| South Carolina Electric & Gas Co. | 5.800% | 1/15/33 | 9,000 | 10,479 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 34,000 | 41,293 |
| South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 23,540 | 25,784 | |
| Southern California Edison Co. | 2.400% | 2/1/22 | 4,295 | 4,323 | |
| Southern California Edison Co. | 6.000% | 1/15/34 | 7,695 | 9,705 | |
| Southern California Edison Co. | 5.550% | 1/15/37 | 50,475 | 60,367 | |
| Southern California Edison Co. | 5.950% | 2/1/38 | 40,000 | 50,574 | |
| Southern California Edison Co. | 3.600% | 2/1/45 | 3,560 | 3,389 | |
| Southern Co. | 2.450% | 9/1/18 | 9,395 | 9,509 | |
| Virginia Electric & Power Co. | 2.750% | 3/15/23 | 34,540 | 34,764 | |
| Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 17,280 | 21,652 | |
| Wisconsin Public Service Corp. | 6.080% | 12/1/28 | 45,000 | 57,720 | |
| Natural Gas (0.0%) | |||||
| AGL Capital Corp. | 6.375% | 7/15/16 | 25,815 | 26,285 | |
| NiSource Finance Corp. | 4.800% | 2/15/44 | 10,370 | 10,764 | |
| Other Utility (0.1%) | |||||
| UGI Utilities Inc. | 5.753% | 9/30/16 | 37,590 | 38,353 | |
| 1,661,917 | |||||
| Total Corporate Bonds (Cost $18,742,531) | 19,574,417 | ||||
| Sovereign Bonds (U.S. Dollar-Denominated) (1.1%) | |||||
| 6 | Abu Dhabi National Energy Co. PJSC | 5.875% | 10/27/16 | 41,140 | 42,256 |
| 6 | CDP Financial Inc. | 4.400% | 11/25/19 | 40,000 | 43,724 |
| 4,6 Electricite de France SA | 5.625% | 7/22/16 | 45,000 | 38,025 | |
| 4,6 Electricite de France SA | 5.250% | 7/29/16 | 22,485 | 19,450 | |
| 6 | Electricite de France SA | 4.600% | 1/27/20 | 50,000 | 54,587 |
| 6 | Electricite de France SA | 4.875% | 1/22/44 | 1,775 | 1,737 |
| 6 | Electricite de France SA | 4.950% | 10/13/45 | 15,100 | 15,084 |
| International Bank for Reconstruction & | |||||
| Development | 4.750% | 2/15/35 | 40,000 | 51,434 | |
| Korea Development Bank | 2.875% | 8/22/18 | 37,605 | 38,636 | |
| Korea Development Bank | 2.500% | 3/11/20 | 78,800 | 80,575 | |
| 6 | Petroleos Mexicanos | 5.500% | 2/4/19 | 13,315 | 13,658 |
| Province of Ontario | 4.000% | 10/7/19 | 56,415 | 61,052 | |
| Province of Ontario | 4.400% | 4/14/20 | 50,000 | 55,330 | |
| 6 | Sinopec Group Overseas Development 2015 | ||||
| Ltd. | 2.500% | 4/28/20 | 62,500 | 62,046 | |
| 6 | Sinopec Group Overseas Development 2015 | ||||
| Ltd. | 3.250% | 4/28/25 | 62,500 | 61,244 | |
| 6 | State Grid Overseas Investment 2014 Ltd. | 2.750% | 5/7/19 | 51,455 | 52,341 |
| Statoil ASA | 2.250% | 11/8/19 | 22,515 | 22,298 | |
| Statoil ASA | 2.900% | 11/8/20 | 57,210 | 56,971 | |
| Statoil ASA | 2.750% | 11/10/21 | 32,860 | 32,407 | |
| Statoil ASA | 2.450% | 1/17/23 | 15,017 | 14,115 | |
| Statoil ASA | 2.650% | 1/15/24 | 14,000 | 13,088 | |
| Statoil ASA | 3.700% | 3/1/24 | 25,320 | 25,428 | |
| Statoil ASA | 3.250% | 11/10/24 | 29,975 | 29,114 | |
| 6 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 45,150 | 45,484 |
| United Mexican States | 3.500% | 1/21/21 | 13,956 | 14,376 | |
| United Mexican States | 3.600% | 1/30/25 | 12,000 | 11,938 | |
| Total Sovereign Bonds (Cost $932,256) | 956,398 | ||||
| Taxable Municipal Bonds (1.9%) | |||||
| Atlanta GA Downtown Development Authority | |||||
| Revenue | 6.875% | 2/1/21 | 6,695 | 7,452 | |
| Bay Area Toll Authority California Toll Bridge | |||||
| Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 40,000 | 56,227 | |
| Bay Area Toll Authority California Toll Bridge | ||||
| Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 27,735 | 39,682 |
| California GO | 5.700% | 11/1/21 | 16,840 | 20,019 |
| California GO | 7.550% | 4/1/39 | 43,215 | 64,396 |
| California GO | 7.300% | 10/1/39 | 11,800 | 16,793 |
| California GO | 7.625% | 3/1/40 | 3,510 | 5,216 |
| California GO | 7.600% | 11/1/40 | 34,800 | 52,937 |
| Chicago IL Metropolitan Water Reclamation | ||||
| District GO | 5.720% | 12/1/38 | 8,545 | 10,352 |
| Chicago IL O'Hare International Airport | ||||
| Revenue | 6.845% | 1/1/38 | 25,680 | 29,250 |
| Chicago IL O'Hare International Airport | ||||
| Revenue | 6.395% | 1/1/40 | 8,970 | 11,754 |
| Chicago IL Transit Authority Transfer Tax | ||||
| Receipts Revenue | 6.899% | 12/1/40 | 15,230 | 18,081 |
| Chicago Transit Authority | 6.899% | 12/1/40 | 27,070 | 32,138 |
| Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 29,925 | 41,266 |
| Georgia Municipal Electric Power Authority | ||||
| Revenue | 6.637% | 4/1/57 | 42,555 | 51,808 |
| Grand Parkway Transportation Corp. Texas | ||||
| System Toll Revenue | 5.184% | 10/1/42 | 40,435 | 50,202 |
| Houston TX GO | 6.290% | 3/1/32 | 23,740 | 29,478 |
| Illinois GO | 5.100% | 6/1/33 | 61,950 | 57,693 |
| Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 29,200 | 37,932 |
| Kansas Development Finance Authority | ||||
| Revenue | 4.927% | 4/15/45 | 18,925 | 19,708 |
| 8 Kansas Development Finance Authority | ||||
| Revenue (Public Employees Retirement | ||||
| System) | 5.501% | 5/1/34 | 50,000 | 58,878 |
| Los Angeles CA Community College District | ||||
| GO | 6.750% | 8/1/49 | 13,625 | 19,848 |
| Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 55,325 | 68,928 |
| Louisville & Jefferson County KY Metropolitan | ||||
| Sewer District Sewer & Drainage System | ||||
| Revenue | 6.250% | 5/15/43 | 19,000 | 25,084 |
| Maryland Transportation Authority Facilities | ||||
| Projects Revenue | 5.888% | 7/1/43 | 21,685 | 27,950 |
| Massachusetts School Building Authority | ||||
| Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 22,105 | 27,939 |
| New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 35,285 | 52,056 |
| New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 4,000 | 5,721 |
| New York City NY Municipal Water Finance | ||||
| Authority Water & Sewer System Revenue | 5.790% | 6/15/41 | 2,030 | 2,265 |
| New York City NY Municipal Water Finance | ||||
| Authority Water & Sewer System Revenue | 5.882% | 6/15/44 | 16,995 | 22,765 |
| New York Metropolitan Transportation | ||||
| Authority Revenue | 6.814% | 11/15/40 | 4,000 | 5,478 |
| New York Metropolitan Transportation | ||||
| Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 10,860 | 16,426 |
| New York Metropolitan Transportation | ||||
| Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,085 | 21,135 |
| North Texas Tollway Authority System | ||||
| Revenue | 6.718% | 1/1/49 | 61,100 | 87,665 |
| Oregon Department of Transportation | ||||
| Highway User Tax Revenue | 5.834% | 11/15/34 | 25,930 | 34,079 |
| Oregon GO | 5.902% | 8/1/38 | 19,510 | 24,752 |
| 8 Oregon School Boards Association GO | 5.528% | 6/30/28 | 50,000 | 59,438 |
| Port Authority of New York & New Jersey | ||||
| Revenue | 5.859% | 12/1/24 | 12,735 | 15,875 |
| Port Authority of New York & New Jersey | ||||
| Revenue | 6.040% | 12/1/29 | 10,455 | 13,242 |
| Port Authority of New York & New Jersey | ||||
| Revenue | 4.458% | 10/1/62 | 53,000 | 53,179 |
| Port Authority of New York & New Jersey | ||||
| Revenue | 4.810% | 10/15/65 | 21,985 | 23,479 |
| San Antonio TX Electric & Gas Systems | ||||
| Revenue | 5.985% | 2/1/39 | 11,890 | 15,755 |
| Stanford University | 6.875% | 2/1/24 | 34,745 | 44,991 |
| Stanford University | 7.650% | 6/15/26 | 29,000 | 40,391 |
| University of California | 3.931% | 5/15/45 | 22,370 | 22,521 |
| University of California Regents General | ||||
| Revenue | 4.601% | 5/15/31 | 21,975 | 24,474 |
| University of California Regents Medical | ||||
| Center Revenue | 6.548% | 5/15/48 | 18,650 | 25,103 |
| University of California Regents Medical | ||||
| Center Revenue | 6.583% | 5/15/49 | 31,110 | 41,933 |
| University of California Revenue | 5.770% | 5/15/43 | 24,325 | 30,801 |
| University of California Revenue | 4.765% | 5/15/44 | 5,980 | 6,238 |
| Total Taxable Municipal Bonds (Cost $1,331,112) | 1,570,773 | |||
| Shares | ||||
| Temporary Cash Investments (0.2%) | ||||
| Money Market Fund (0.0%) | ||||
| 9,10 Vanguard Market Liquidity Fund | 0.475% | 621,300 | 621 | |
| Face | ||||
| Amount | ||||
| ($000) | ||||
| Repurchase Agreements (0.2%) | ||||
| Bank of America Securities, LLC | ||||
| (Dated 2/29/16, Repurchase Value | ||||
| $25,700,000 collateralized by Federal | ||||
| National Mortgage Assn. 2.110%, 9/1/43, | ||||
| with a value of $26,214,000) | 0.310% | 3/1/16 | 25,700 | 25,700 |
| Citigroup Global Markets Inc. | ||||
| (Dated 2/29/16, Repurchase Value | ||||
| $35,000,000 collateralized by U.S. Treasury | ||||
| Note 1.750%, 4/30/22, with a value of | ||||
| $35,700,000) | 0.290% | 3/1/16 | 35,000 | 35,000 |
| HSBC Bank USA | ||||
| (Dated 2/29/16, Repurchase Value | ||||
| $1,100,000 collateralized by Federal | ||||
| National Mortgage Assn. 3.500%, 12/1/26, | ||||
| with a value of $1,124,000) | 0.290% | 3/1/16 | 1,100 | 1,100 |
| RBC Capital Markets LLC | ||||
| (Dated 2/29/16, Repurchase Value | ||||
| $79,001,000 collateralized by Federal | ||||
| Home Loan Mortgage Corp. 2.390%- | ||||
| 4.500%, 3/1/40-3/1/46, Federal National | ||||
| Mortgage Assn. 2.011%-4.865%, 9/1/33- | ||||
| 2/1/46, with a value of $80,580,000) | 0.300% | 3/1/16 | 79,000 | 79,000 |
| TD Securities (USA) LLC | ||||
| (Dated 2/29/16, Repurchase Value | ||||
| $31,400,000 collateralized by Federal | ||||
| National Mortgage Assn. 3.500%, 1/1/35- | ||||
| 6/1/42, with a value of $32,028,000) | 0.300% | 3/1/16 | 31,400 | 31,400 |
| 172,200 | ||||
| Total Temporary Cash Investments (Cost $172,821) | 172,821 | |||
| Total Investments (99.2%) (Cost $69,461,457) | 83,165,005 | |||
| Other Assets and Liabilities-Net (0.8%)9,11 | 664,542 | |||
| Net Assets (100%) | 83,829,547 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $582,000.
1 Securities with a value of $713,000 have been segregated as collateral for open over-the-counter swap contracts.
2 Securities with a value of $1,621,000 have been segregated as collateral for certain open To Be Announced
(TBA) transactions.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of February 29, 2016.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2016, the
aggregate value of these securities was $4,263,483,000, representing 5.1% of net assets.
7 Adjustable-rate security.
8 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9 Includes $621,000 of collateral received for securities on loan.
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
11 Cash of $2,806,000 has been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
GO—General Obligation Bond.
REMICS—Real Estate Mortgage Investment Conduits.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments 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
Wellington Fund
(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. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.
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
Wellington Fund
with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
F. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund's investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 51,138,100 | 3,145,526 | — |
| U.S. Government and Agency Obligations | — | 5,207,808 | — |
| Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,399,162 | — |
| Corporate Bonds | — | 19,528,167 | 46,250 |
| Sovereign Bonds | — | 956,398 | — |
| Taxable Municipal Bonds | — | 1,570,773 | — |
| Temporary Cash Investments | 621 | 172,200 | — |
| Futures Contracts—Liabilities1 | (557) | — | — |
| Swap Contracts—Liabilities | — | (96) | — |
| Total | 51,138,164 | 31,979,938 | 46,250 |
| 1 Represents variation margin on the last day of the reporting period. | |||
G. 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 February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
Wellington Fund
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value Long | Appreciation | ||
| Futures Contracts | Expiration | Contracts | (Short) | (Depreciation) |
| 5-Year U.S. Treasury Note | June 2016 | (3,464) | (419,090) | 1,460 |
| 10-Year U.S. Treasury Note | June 2016 | (1,456) | (190,031) | 70 |
| 1,530 | ||||
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
H. 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
Wellington Fund
master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
At February 29, 2016, the fund had the following open credit default swap contracts:
| 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 | ||||||
| General Mills Inc. | 3/20/18 | DBAG | 25,000 | 370 | (1.000) | (96) |
| DBAG—Deutsche Bank AG. | ||||||
I. At February 29, 2016, the cost of investment securities for tax purposes was $69,561,926,000. Net unrealized appreciation of investment securities for tax purposes was $13,603,079,000, consisting of unrealized gains of $15,967,178,000 on securities that had risen in value since their purchase and $2,364,099,000 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 WELLINGTON FUND | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 15, 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 WELLINGTON FUND | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 15, 2016 | |
| VANGUARD WELLINGTON FUND | |
|
|
/s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| Date: April 15, 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 Wellington Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the 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.
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Date: April 15, 2016 |
/s/ F. William McNabb III |
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F. William McNabb III |
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Chief Executive Officer |
0362216, v0.102
CERTIFICATIONS
I, Thomas J. Higgins, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Wellington Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the 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.
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Date: April 15, 2016 |
/s/ Thomas J Higgins |
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Thomas J. Higgins |
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Chief Financial Officer |
0362216, v0.102
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