N-Q 1 wellesley_final.htm wellesley_final.htm - Generated by SEC Publisher for SEC Filing

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: 881-01766

Name of Registrant: Vanguard Wellesley Income 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: September 30

Date of reporting period: June 30, 2014

Item 1: Schedule of Investments

 

 

Vanguard Wellesley Income Fund

Schedule of Investments
As of June 30, 2014

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (12.3%)        
U.S. Government Securities (7.3%)        
  United States Treasury Note/Bond 0.375% 6/30/15 27,700 27,765
  United States Treasury Note/Bond 0.375% 8/31/15 105,800 106,064
  United States Treasury Note/Bond 0.250% 9/30/15 256,000 256,279
  United States Treasury Note/Bond 0.250% 11/30/15 260,000 260,122
  United States Treasury Note/Bond 0.250% 12/31/15 78,400 78,400
  United States Treasury Note/Bond 0.375% 5/31/16 210,000 209,803
  United States Treasury Note/Bond 1.500% 6/30/16 314,200 320,679
  United States Treasury Note/Bond 0.875% 1/31/17 44,979 45,176
  United States Treasury Note/Bond 0.750% 10/31/17 120,000 118,800
  United States Treasury Note/Bond 0.625% 4/30/18 90,000 87,863
  United States Treasury Note/Bond 1.375% 9/30/18 616,100 615,231
  United States Treasury Note/Bond 2.875% 5/15/43 620,560 565,876
  United States Treasury Note/Bond 3.625% 2/15/44 115,000 121,109
          2,813,167
Agency Bonds and Notes (0.3%)        
  Arab Republic of Egypt 4.450% 9/15/15 22,500 23,545
  Private Export Funding Corp. 2.250% 12/15/17 51,055 52,768
1 Tennessee Valley Authority 4.375% 6/15/15 35,000 36,396
1 Tennessee Valley Authority 4.625% 9/15/60 19,800 21,003
          133,712
Conventional Mortgage-Backed Securities (4.4%)        
2,3 Fannie Mae Pool 2.500% 3/1/27–1/1/29 10,633 10,819
2,3,4 Fannie Mae Pool 4.500% 7/1/44 572,600 620,195
2,3 Freddie Mac Gold Pool 4.000% 6/1/18–1/1/42 9 10
2,3 Freddie Mac Gold Pool 4.500% 4/1/25–2/1/44 965,011 1,046,891
3 Ginnie Mae I Pool 6.000% 6/15/31–7/15/35 86 95
3 Ginnie Mae I Pool 6.500% 4/15/32–9/15/38 7,326 8,173
          1,686,183
Nonconventional Mortgage-Backed Securities (0.3%)        
2,3 Fannie Mae REMICS 3.500% 4/25/31 6,910 6,919
2,3 Fannie Mae REMICS 4.000% 9/25/29–5/25/31 13,201 13,833
2,3 Freddie Mac REMICS 3.500% 3/15/31 4,095 4,094
2,3 Freddie Mac REMICS 4.000% 12/15/30–4/15/31 77,206 80,304
          105,150
Total U.S. Government and Agency Obligations (Cost $4,642,912)   4,738,212
Asset-Backed/Commercial Mortgage-Backed Securities (2.4%)      
3 Ally Master Owner Trust Series 2012-4 1.720% 7/15/19 25,000 25,169
3 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 95,780 95,839
3 AmeriCredit Automobile Receivables Trust        
  2010-3 3.340% 4/8/16 4,380 4,427
3 AmeriCredit Automobile Receivables Trust        
  2011-3 2.280% 6/8/16 5,159 5,165
3,5,6 Apidos CDO 1.710% 4/17/26 39,850 39,866
3,5,6 ARES CLO Ltd. 1.763% 4/17/26 39,670 39,679
3,5,6 Atlas Senior Loan Fund V Ltd. 1.809% 7/16/26 9,890 9,902
3,5,6 Atrium IX 1.529% 2/28/24 5,350 5,312

 

 

Wellesley Income Fund

3,6 Avis Budget Rental Car Funding AESOP LLC        
  2010-5A 3.150% 3/20/17 8,000 8,241
3,5,6 Babson CLO Ltd. 1.720% 7/12/25 4,555 4,555
3 Banc of America Commercial Mortgage Trust        
  2006-2 5.919% 5/10/45 12,360 13,306
3 Banc of America Commercial Mortgage Trust        
  2006-5 5.414% 9/10/47 15,090 16,162
3 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.540% 9/11/41 8,679 9,384
3,5,6 Carlyle Global Market Strategies CLO 2013-3        
  Ltd. 1.346% 7/15/25 8,305 8,167
3,5,6 CECLO 2013-20A 144A 1.709% 1/25/26 40,000 39,982
3,5,6 Cent CLO 1.715% 7/27/26 13,260 13,260
3,5,6 CIFC Funding Ltd. 1.658% 4/18/25 38,255 38,274
3,6 Citibank Omni Master Trust 2009-A17 4.900% 11/15/18 18,000 18,298
3 COMM 2006-C7 Mortgage Trust 5.945% 6/10/46 9,457 10,170
3 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 16,040 16,200
3 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C4 5.467% 9/15/39 10,927 11,707
3,5,6 Dryden Senior Loan Fund 1.620% 4/18/26 37,710 37,454
3,6 First Investors Auto Owner Trust 2013-2 1.230% 3/15/19 12,949 13,007
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 27,005 27,541
3,6 Hilton USA Trust 2013-HLT 2.662% 11/5/30 37,815 38,224
3,5,6 ING Investment Management Co. 1.769% 4/18/26 37,635 37,653
3 LB-UBS Commercial Mortgage Trust 2006-C4 6.029% 6/15/38 9,286 10,038
3,5 LB-UBS Commercial Mortgage Trust 2008-C1 6.320% 4/15/41 24,200 27,489
3,5,6 Limerock CLO 1.735% 4/18/26 43,000 43,021
3,5,6 Madison Park Funding Ltd. 1.678% 1/19/25 24,975 24,929
3,5,6 Madison Park Funding Ltd. 1.723% 7/20/26 29,375 29,389
3 Merrill Lynch Mortgage Trust 2006-C1 5.862% 5/12/39 10,965 11,777
3 Morgan Stanley Capital I Trust 2005-HQ6 4.989% 8/13/42 10,000 10,282
3,6 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 23,260 25,808
3,5,6 OZLM VI Ltd. 1.730% 4/17/26 30,910 30,905
3 Santander Drive Auto Receivables Trust        
  2012-5 0.830% 12/15/16 4,056 4,058
3,5,6 Seneca Park CLO Ltd. 1.704% 7/17/26 21,705 21,696
3,5,6 Shackleton CLO Ltd. 0.000% 7/17/26 20,985 20,857
3,6 Springleaf Funding Trust 2.410% 12/15/22 37,000 37,066
3,6 Springleaf Mortgage Loan Trust 2013-1A 2.310% 6/25/58 7,480 7,214
3,5,6 SYMP 14-14AA2 144A 1.480% 7/14/26 36,945 36,932
3 Utility Debt Securitization Authority Series        
  2013T 3.435% 12/15/25 6,775 7,072
3,5,6 Voya CLO 2014-2 Ltd. 1.677% 7/17/26 5,905 5,893
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $938,878)   941,370
Corporate Bonds (40.6%)        
Finance (16.3%)        
  Banking (12.2%)        
  American Express Co. 5.500% 9/12/16 25,000 27,444
  American Express Co. 6.150% 8/28/17 35,000 40,063
  American Express Credit Corp. 2.750% 9/15/15 56,365 57,845
  American Express Credit Corp. 2.800% 9/19/16 13,635 14,194
  American Express Credit Corp. 2.375% 3/24/17 35,650 36,877
  Bank of America Corp. 3.625% 3/17/16 10,000 10,437
  Bank of America Corp. 3.750% 7/12/16 28,940 30,435
  Bank of America Corp. 5.625% 10/14/16 22,500 24,684
  Bank of America Corp. 5.650% 5/1/18 60,090 68,088

 

 

Wellesley Income Fund

Bank of America Corp. 5.625% 7/1/20 28,825 33,173
Bank of America Corp. 5.875% 1/5/21 10,285 12,005
Bank of America Corp. 5.000% 5/13/21 35,910 40,066
Bank of America Corp. 3.300% 1/11/23 18,875 18,581
Bank of America Corp. 4.100% 7/24/23 47,670 49,411
Bank of America Corp. 4.125% 1/22/24 15,000 15,420
Bank of America Corp. 4.000% 4/1/24 38,380 39,208
Bank of America Corp. 5.875% 2/7/42 8,770 10,367
Bank of America Corp. 5.000% 1/21/44 24,180 25,608
Bank of America Corp. 4.875% 4/1/44 7,820 8,100
Bank of Montreal 2.500% 1/11/17 71,580 74,485
Bank of Montreal 2.375% 1/25/19 29,000 29,566
Bank of New York Mellon Corp. 2.950% 6/18/15 14,750 15,122
Bank of New York Mellon Corp. 5.450% 5/15/19 49,465 56,775
Bank of Nova Scotia 3.400% 1/22/15 47,000 47,817
Bank of Nova Scotia 2.550% 1/12/17 31,000 32,132
Bank One Corp. 7.750% 7/15/25 25,000 32,790
6 Barclays Bank plc 6.050% 12/4/17 27,600 30,821
Barclays Bank plc 2.500% 2/20/19 25,800 26,164
Barclays Bank plc 6.750% 5/22/19 18,605 22,431
Barclays Bank plc 5.125% 1/8/20 12,065 13,608
Barclays Bank plc 5.140% 10/14/20 7,935 8,720
Barclays Bank plc 3.750% 5/15/24 19,300 19,405
BB&T Corp. 1.600% 8/15/17 19,775 19,920
BB&T Corp. 5.250% 11/1/19 19,000 21,572
Bear Stearns Cos. LLC 7.250% 2/1/18 14,860 17,638
BNP Paribas SA 3.250% 3/11/15 34,770 35,431
BNP Paribas SA 2.400% 12/12/18 11,000 11,103
BNP Paribas SA 3.250% 3/3/23 6,750 6,663
BPCE SA 2.500% 12/10/18 15,570 15,814
BPCE SA 4.000% 4/15/24 32,755 33,410
6 BPCE SA 5.150% 7/21/24 30,510 32,242
Canadian Imperial Bank of Commerce 2.350% 12/11/15 41,000 42,121
Capital One Financial Corp. 2.150% 3/23/15 24,030 24,321
Capital One Financial Corp. 3.150% 7/15/16 6,787 7,079
Capital One Financial Corp. 4.750% 7/15/21 36,165 40,143
Capital One Financial Corp. 3.750% 4/24/24 60,945 61,626
Citigroup Inc. 6.010% 1/15/15 10,099 10,389
Citigroup Inc. 4.587% 12/15/15 15,410 16,240
Citigroup Inc. 3.953% 6/15/16 41,322 43,589
Citigroup Inc. 4.450% 1/10/17 7,075 7,624
Citigroup Inc. 6.125% 11/21/17 18,000 20,562
Citigroup Inc. 1.750% 5/1/18 13,000 12,910
Citigroup Inc. 6.125% 5/15/18 8,500 9,795
Citigroup Inc. 2.500% 9/26/18 31,000 31,463
Citigroup Inc. 2.550% 4/8/19 30,000 30,217
Citigroup Inc. 8.500% 5/22/19 28,000 35,832
Citigroup Inc. 5.375% 8/9/20 72,645 83,248
Citigroup Inc. 4.500% 1/14/22 30,140 32,695
Citigroup Inc. 6.625% 6/15/32 9,000 10,790
Citigroup Inc. 6.000% 10/31/33 15,000 16,861
Citigroup Inc. 6.125% 8/25/36 50,000 57,470
Citigroup Inc. 8.125% 7/15/39 3,380 5,072
Citigroup Inc. 5.875% 1/30/42 7,460 8,870
Citigroup Inc. 4.950% 11/7/43 7,000 7,403
Citigroup Inc. 5.300% 5/6/44 17,515 18,155
Comerica Inc. 3.000% 9/16/15 3,065 3,154

 

 

Wellesley Income Fund

6 Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 3.200% 3/11/15 28,000 28,560
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.250% 1/14/19 44,660 45,183
6 Credit Agricole SA 3.500% 4/13/15 10,800 11,038
6 Credit Agricole SA 2.500% 4/15/19 45,420 45,873
Credit Suisse 3.500% 3/23/15 22,970 23,464
Credit Suisse 2.300% 5/28/19 6,975 6,972
Credit Suisse 5.300% 8/13/19 9,000 10,263
Credit Suisse 4.375% 8/5/20 25,000 27,265
Credit Suisse USA Inc. 4.875% 1/15/15 5,430 5,560
Deutsche Bank AG 3.450% 3/30/15 44,000 44,976
Deutsche Bank AG 2.500% 2/13/19 44,000 44,811
Deutsche Bank AG 3.700% 5/30/24 33,765 33,839
Goldman Sachs Group Inc. 3.625% 2/7/16 5,975 6,231
Goldman Sachs Group Inc. 5.950% 1/18/18 24,190 27,487
Goldman Sachs Group Inc. 2.900% 7/19/18 55,000 56,615
Goldman Sachs Group Inc. 7.500% 2/15/19 20,790 25,368
Goldman Sachs Group Inc. 5.375% 3/15/20 24,305 27,500
Goldman Sachs Group Inc. 6.000% 6/15/20 23,755 27,698
Goldman Sachs Group Inc. 5.250% 7/27/21 70,165 78,757
Goldman Sachs Group Inc. 5.750% 1/24/22 67,095 77,606
Goldman Sachs Group Inc. 3.625% 1/22/23 7,715 7,710
Goldman Sachs Group Inc. 6.125% 2/15/33 20,000 23,923
Goldman Sachs Group Inc. 6.450% 5/1/36 25,000 28,936
Goldman Sachs Group Inc. 6.250% 2/1/41 35,790 43,467
Goldman Sachs Group Inc. 4.800% 7/8/44 19,895 19,798
6 HSBC Bank plc 3.500% 6/28/15 30,000 30,882
6 HSBC Bank plc 4.750% 1/19/21 42,960 47,793
HSBC Bank USA NA 5.875% 11/1/34 21,000 25,129
HSBC Holdings plc 4.000% 3/30/22 10,870 11,598
HSBC Holdings plc 7.625% 5/17/32 15,800 20,886
HSBC Holdings plc 6.500% 5/2/36 22,000 26,786
HSBC Holdings plc 6.100% 1/14/42 43,680 54,730
HSBC Holdings plc 5.250% 3/14/44 5,795 6,215
HSBC USA Inc. 1.625% 1/16/18 35,910 35,881
HSBC USA Inc. 3.500% 6/23/24 26,200 26,215
Huntington National Bank 2.200% 4/1/19 17,850 17,867
6 ING Bank NV 3.750% 3/7/17 35,000 37,202
JPMorgan Chase & Co. 5.125% 9/15/14 5,625 5,676
JPMorgan Chase & Co. 2.000% 8/15/17 51,000 51,850
JPMorgan Chase & Co. 6.300% 4/23/19 68,310 80,677
JPMorgan Chase & Co. 4.625% 5/10/21 14,000 15,378
JPMorgan Chase & Co. 4.350% 8/15/21 33,285 36,004
JPMorgan Chase & Co. 4.500% 1/24/22 18,260 19,928
JPMorgan Chase & Co. 3.250% 9/23/22 22,380 22,422
JPMorgan Chase & Co. 3.375% 5/1/23 36,370 35,638
JPMorgan Chase & Co. 3.875% 2/1/24 11,200 11,518
JPMorgan Chase & Co. 5.600% 7/15/41 70,000 81,959
JPMorgan Chase & Co. 5.400% 1/6/42 16,235 18,469
JPMorgan Chase & Co. 5.625% 8/16/43 13,500 15,188
6 Lloyds Bank plc 4.375% 1/12/15 14,665 14,965
Mellon Funding Corp. 5.000% 12/1/14 12,000 12,226
Merrill Lynch & Co. Inc. 6.875% 4/25/18 32,000 37,659
Merrill Lynch & Co. Inc. 6.110% 1/29/37 30,000 34,559
Morgan Stanley 4.000% 7/24/15 32,000 33,128
Morgan Stanley 3.800% 4/29/16 9,470 9,954
Morgan Stanley 5.450% 1/9/17 15,000 16,521

 

 

Wellesley Income Fund

Morgan Stanley 6.625% 4/1/18 25,000 29,231
Morgan Stanley 2.125% 4/25/18 104,400 105,419
Morgan Stanley 2.500% 1/24/19 43,200 43,668
Morgan Stanley 7.300% 5/13/19 53,955 65,909
Morgan Stanley 5.500% 7/24/20 15,000 17,235
Morgan Stanley 5.750% 1/25/21 13,900 16,158
Morgan Stanley 3.875% 4/29/24 22,050 22,250
Morgan Stanley 7.250% 4/1/32 51,100 68,138
National City Bank 5.800% 6/7/17 50,000 56,304
6 Nordea Bank AB 3.700% 11/13/14 12,155 12,304
Northern Trust Corp. 3.450% 11/4/20 10,285 10,930
PNC Bank NA 5.250% 1/15/17 16,000 17,583
PNC Financial Services Group Inc. 3.900% 4/29/24 40,150 40,860
PNC Funding Corp. 4.250% 9/21/15 5,765 6,015
6 Standard Chartered plc 3.850% 4/27/15 8,525 8,747
State Street Corp. 5.375% 4/30/17 55,500 61,934
Svenska Handelsbanken AB 2.875% 4/4/17 57,000 59,625
UBS AG 3.875% 1/15/15 15,107 15,376
UBS AG 4.875% 8/4/20 45,000 50,571
US Bancorp 1.650% 5/15/17 25,000 25,345
US Bancorp 3.700% 1/30/24 39,005 40,396
US Bank NA 4.950% 10/30/14 12,400 12,587
Wachovia Bank NA 4.800% 11/1/14 19,640 19,927
Wachovia Corp. 5.750% 2/1/18 9,500 10,820
Wachovia Corp. 6.605% 10/1/25 15,000 18,398
Wells Fargo & Co. 3.750% 10/1/14 20,000 20,165
Wells Fargo & Co. 3.625% 4/15/15 11,400 11,689
Wells Fargo & Co. 3.676% 6/15/16 17,000 17,940
Wells Fargo & Co. 2.625% 12/15/16 20,000 20,745
Wells Fargo & Co. 5.625% 12/11/17 47,000 53,407
Wells Fargo & Co. 3.000% 1/22/21 27,580 28,053
Wells Fargo & Co. 4.600% 4/1/21 40,000 44,596
Wells Fargo & Co. 3.500% 3/8/22 61,300 63,331
Wells Fargo & Co. 3.450% 2/13/23 49,865 49,595
Wells Fargo & Co. 4.480% 1/16/24 34,444 36,548
Wells Fargo & Co. 5.606% 1/15/44 28,551 32,305
 
Brokerage (0.0%)        
Ameriprise Financial Inc. 5.300% 3/15/20 6,625 7,582
 
Finance Companies (1.2%)        
General Electric Capital Corp. 5.300% 2/11/21 6,305 7,171
General Electric Capital Corp. 4.650% 10/17/21 65,000 72,182
General Electric Capital Corp. 3.150% 9/7/22 58,351 58,587
General Electric Capital Corp. 3.100% 1/9/23 7,785 7,720
General Electric Capital Corp. 3.450% 5/15/24 31,000 31,017
General Electric Capital Corp. 6.750% 3/15/32 75,000 98,811
General Electric Capital Corp. 6.150% 8/7/37 11,850 14,638
General Electric Capital Corp. 5.875% 1/14/38 96,305 116,337
General Electric Capital Corp. 6.875% 1/10/39 33,000 44,501
 
Insurance (2.4%)        
ACE INA Holdings Inc. 2.600% 11/23/15 24,000 24,642
ACE INA Holdings Inc. 5.700% 2/15/17 15,000 16,738
ACE INA Holdings Inc. 5.900% 6/15/19 15,000 17,583
ACE INA Holdings Inc. 3.350% 5/15/24 20,340 20,471
Aetna Inc. 1.750% 5/15/17 2,966 2,999
Aetna Inc. 6.500% 9/15/18 5,395 6,380

 

 

Wellesley Income Fund

American International Group Inc. 4.125% 2/15/24 15,475 16,280
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 32,000 36,595
Cigna Corp. 2.750% 11/15/16 13,365 13,882
CNA Financial Corp. 3.950% 5/15/24 4,335 4,459
6 Five Corners Funding Trust 4.419% 11/15/23 35,685 37,632
Hartford Financial Services Group Inc. 5.500% 10/15/16 16,665 18,313
6 Liberty Mutual Group Inc. 4.250% 6/15/23 11,825 12,268
6 Liberty Mutual Insurance Co. 8.500% 5/15/25 21,665 27,912
Loews Corp. 2.625% 5/15/23 19,375 18,343
6 MassMutual Global Funding II 2.100% 8/2/18 45,015 45,405
6 MassMutual Global Funding II 2.350% 4/9/19 22,000 22,290
MetLife Inc. 3.600% 4/10/24 32,430 32,901
MetLife Inc. 4.125% 8/13/42 5,300 5,123
MetLife Inc. 4.875% 11/13/43 25,940 27,999
6 Metropolitan Life Global Funding I 2.000% 1/9/15 17,000 17,144
6 Metropolitan Life Global Funding I 1.500% 1/10/18 35,550 35,419
6 Metropolitan Life Global Funding I 1.875% 6/22/18 16,315 16,356
6 Metropolitan Life Insurance Co. 7.800% 11/1/25 25,000 32,983
6 New York Life Global Funding 1.650% 5/15/17 53,000 53,491
6 New York Life Insurance Co. 5.875% 5/15/33 44,785 52,993
Prudential Financial Inc. 5.100% 9/20/14 12,000 12,121
Prudential Financial Inc. 4.750% 6/13/15 21,000 21,842
Prudential Financial Inc. 3.000% 5/12/16 3,550 3,692
Prudential Financial Inc. 4.500% 11/15/20 24,055 26,530
6 QBE Insurance Group Ltd. 2.400% 5/1/18 8,185 8,064
Travelers Cos. Inc. 5.800% 5/15/18 8,690 9,990
Travelers Cos. Inc. 5.900% 6/2/19 9,400 11,055
UnitedHealth Group Inc. 6.000% 2/15/18 22,000 25,381
UnitedHealth Group Inc. 3.875% 10/15/20 6,786 7,269
UnitedHealth Group Inc. 2.875% 3/15/22 2,346 2,330
UnitedHealth Group Inc. 2.875% 3/15/23 12,000 11,747
UnitedHealth Group Inc. 6.625% 11/15/37 20,000 26,310
UnitedHealth Group Inc. 4.625% 11/15/41 36,010 37,637
UnitedHealth Group Inc. 4.250% 3/15/43 31,000 30,338
WellPoint Inc. 2.300% 7/15/18 12,045 12,270
WellPoint Inc. 3.700% 8/15/21 25,635 26,805
WellPoint Inc. 3.125% 5/15/22 30,450 30,348
WellPoint Inc. 3.300% 1/15/23 20,000 19,921
 
Real Estate Investment Trusts (0.5%)        
AvalonBay Communities Inc. 3.625% 10/1/20 17,315 18,089
Duke Realty LP 6.500% 1/15/18 5,170 5,911
HCP Inc. 6.000% 1/30/17 20,000 22,384
Liberty Property LP 6.625% 10/1/17 10,096 11,590
Realty Income Corp. 5.950% 9/15/16 9,940 10,982
Realty Income Corp. 5.750% 1/15/21 8,675 9,924
Simon Property Group LP 5.100% 6/15/15 16,000 16,700
Simon Property Group LP 5.250% 12/1/16 5,000 5,466
Simon Property Group LP 5.875% 3/1/17 15,000 16,760
Simon Property Group LP 6.125% 5/30/18 6,625 7,710
Simon Property Group LP 4.375% 3/1/21 22,000 24,199
Simon Property Group LP 4.125% 12/1/21 12,946 14,029
6 WEA Finance LLC 7.125% 4/15/18 21,425 26,080
        6,279,792
Industrial (21.5%)        
Basic Industry (0.7%)        
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 38,590 40,572

 

 

Wellesley Income Fund

CF Industries Inc. 5.375% 3/15/44 28,635 30,557
EI du Pont de Nemours & Co. 2.750% 4/1/16 23,000 23,873
Monsanto Co. 4.700% 7/15/64 7,025 7,037
Monsanto Finance Canada Co. 5.500% 7/30/35 15,000 17,387
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 9,450 9,929
Rio Tinto Finance USA plc 2.000% 3/22/17 18,285 18,680
Rio Tinto Finance USA plc 1.625% 8/21/17 38,000 38,402
Rio Tinto Finance USA plc 2.250% 12/14/18 23,950 24,377
Rio Tinto Finance USA plc 3.500% 3/22/22 44,000 45,128
 
Capital Goods (1.5%)        
3M Co. 6.375% 2/15/28 20,825 27,336
Caterpillar Financial Services Corp. 2.750% 6/24/15 7,500 7,680
Caterpillar Financial Services Corp. 2.625% 3/1/23 39,500 37,987
Caterpillar Inc. 3.900% 5/27/21 32,880 35,556
Caterpillar Inc. 2.600% 6/26/22 9,575 9,343
Caterpillar Inc. 3.400% 5/15/24 24,685 24,905
Caterpillar Inc. 3.803% 8/15/42 20,469 18,877
Caterpillar Inc. 4.300% 5/15/44 10,500 10,463
Deere & Co. 4.375% 10/16/19 13,090 14,560
Dover Corp. 4.875% 10/15/15 10,000 10,576
Eaton Corp. 5.300% 3/15/17 20,000 21,987
Eaton Corp. 6.500% 6/1/25 10,000 12,110
General Dynamics Corp. 3.875% 7/15/21 9,950 10,666
General Electric Co. 2.700% 10/9/22 14,000 13,772
General Electric Co. 4.125% 10/9/42 7,940 7,827
Honeywell International Inc. 4.250% 3/1/21 29,484 32,625
Illinois Tool Works Inc. 3.500% 3/1/24 53,930 55,204
John Deere Capital Corp. 2.000% 1/13/17 53,000 54,347
John Deere Capital Corp. 3.150% 10/15/21 21,251 21,804
Lockheed Martin Corp. 2.125% 9/15/16 6,700 6,896
Raytheon Co. 3.125% 10/15/20 10,000 10,344
6 Siemens Financieringsmaatschappij NV 5.750% 10/17/16 45,820 50,775
United Technologies Corp. 1.800% 6/1/17 13,070 13,335
United Technologies Corp. 4.500% 4/15/20 24,170 27,077
United Technologies Corp. 3.100% 6/1/22 10,095 10,220
United Technologies Corp. 4.500% 6/1/42 38,885 40,588
 
Communication (4.8%)        
21st Century Fox America Inc. 4.500% 2/15/21 4,650 5,103
21st Century Fox America Inc. 4.000% 10/1/23 5,445 5,674
21st Century Fox America Inc. 6.200% 12/15/34 11,000 13,514
21st Century Fox America Inc. 6.150% 3/1/37 12,668 15,229
21st Century Fox America Inc. 6.650% 11/15/37 5,320 6,781
21st Century Fox America Inc. 6.150% 2/15/41 7,985 9,717
America Movil SAB de CV 3.125% 7/16/22 66,820 65,563
America Movil SAB de CV 6.125% 3/30/40 10,000 11,814
America Movil SAB de CV 4.375% 7/16/42 17,680 16,544
6 American Tower Trust I 1.551% 3/15/18 13,530 13,588
6 American Tower Trust I 3.070% 3/15/23 32,900 32,183
AT&T Inc. 2.500% 8/15/15 21,000 21,455
AT&T Inc. 2.950% 5/15/16 40,093 41,656
AT&T Inc. 1.400% 12/1/17 20,000 19,921
AT&T Inc. 2.300% 3/11/19 43,350 43,680
AT&T Inc. 3.875% 8/15/21 20,000 21,268
AT&T Inc. 3.000% 2/15/22 10,000 9,950
AT&T Inc. 6.500% 9/1/37 50,000 61,874
AT&T Inc. 6.300% 1/15/38 2,863 3,469

 

 

Wellesley Income Fund

AT&T Inc. 6.400% 5/15/38 5,000 6,161
AT&T Inc. 6.550% 2/15/39 19,580 24,264
AT&T Inc. 5.350% 9/1/40 37,357 40,567
AT&T Inc. 5.550% 8/15/41 26,852 29,839
CBS Corp. 4.300% 2/15/21 22,710 24,450
Comcast Corp. 3.600% 3/1/24 31,280 32,172
Comcast Corp. 4.250% 1/15/33 15,060 15,428
Comcast Corp. 6.450% 3/15/37 20,000 25,506
Comcast Corp. 6.950% 8/15/37 45,000 60,811
Comcast Corp. 4.500% 1/15/43 20,000 20,352
Comcast Corp. 4.750% 3/1/44 13,005 13,730
6 COX Communications Inc. 5.875% 12/1/16 40,000 44,329
6 Deutsche Telekom International Finance BV 2.250% 3/6/17 14,240 14,591
Deutsche Telekom International Finance BV 8.750% 6/15/30 30,000 43,874
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 1.750% 1/15/18 16,655 16,684
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.200% 3/15/20 10,125 11,409
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 4,900 5,351
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 10,000 11,152
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.800% 3/15/22 20,875 21,560
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.450% 4/1/24 22,000 23,295
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.375% 3/1/41 15,160 18,284
Discovery Communications LLC 5.625% 8/15/19 7,635 8,779
Discovery Communications LLC 5.050% 6/1/20 13,365 15,009
Discovery Communications LLC 3.250% 4/1/23 4,465 4,377
Discovery Communications LLC 4.950% 5/15/42 3,205 3,268
Discovery Communications LLC 4.875% 4/1/43 6,780 6,826
Grupo Televisa SAB 6.625% 1/15/40 13,805 16,860
Grupo Televisa SAB 5.000% 5/13/45 5,925 5,869
Michigan Bell Telephone Co. 7.850% 1/15/22 25,000 31,855
6 NBCUniversal Enterprise Inc. 1.662% 4/15/18 47,135 47,107
6 NBCUniversal Enterprise Inc. 1.974% 4/15/19 84,070 83,255
NBCUniversal Media LLC 4.375% 4/1/21 26,000 28,663
Orange SA 9.000% 3/1/31 40,000 60,079
6 SBA Tower Trust 4.254% 4/15/15 16,640 16,995
6 SBA Tower Trust 2.933% 12/15/17 28,850 29,303
Time Warner Cable Inc. 5.850% 5/1/17 70,000 78,751
Time Warner Cable Inc. 6.550% 5/1/37 8,670 10,814
Time Warner Cable Inc. 7.300% 7/1/38 5,685 7,636
Time Warner Cable Inc. 6.750% 6/15/39 5,795 7,407
Time Warner Cable Inc. 5.875% 11/15/40 7,570 8,841
Verizon Communications Inc. 3.000% 4/1/16 5,630 5,837
Verizon Communications Inc. 3.450% 3/15/21 15,585 16,148
Verizon Communications Inc. 3.500% 11/1/21 78,905 81,254
Verizon Communications Inc. 6.400% 9/15/33 62,160 76,130
Verizon Communications Inc. 6.400% 2/15/38 23,000 28,198
Verizon Communications Inc. 4.750% 11/1/41 28,730 29,032
Verizon Communications Inc. 6.550% 9/15/43 89,955 113,017
Verizon New Jersey Inc. 8.000% 6/1/22 14,585 18,447
Verizon Virginia LLC 7.875% 1/15/22 16,000 20,172
Vodafone Group plc 1.250% 9/26/17 37,000 36,826

 

 

Wellesley Income Fund

  Vodafone Group plc 5.450% 6/10/19 26,000 29,868
 
  Consumer Cyclical (3.6%)        
  Amazon.com Inc. 2.500% 11/29/22 31,600 29,906
6 American Honda Finance Corp. 2.500% 9/21/15 25,000 25,608
6 American Honda Finance Corp. 1.500% 9/11/17 15,750 15,824
6 American Honda Finance Corp. 1.600% 2/16/18 14,340 14,331
  American Honda Finance Corp. 2.125% 10/10/18 29,535 30,003
  AutoZone Inc. 4.000% 11/15/20 25,000 26,605
  AutoZone Inc. 3.700% 4/15/22 12,752 13,141
  AutoZone Inc. 3.125% 7/15/23 22,000 21,294
  CVS Caremark Corp. 5.750% 6/1/17 12,176 13,712
  CVS Caremark Corp. 2.750% 12/1/22 20,000 19,336
3,6 CVS Pass-Through Trust 5.926% 1/10/34 15,551 17,744
6 Daimler Finance North America LLC 3.000% 3/28/16 6,500 6,754
6 Daimler Finance North America LLC 2.625% 9/15/16 44,000 45,532
6 Daimler Finance North America LLC 2.250% 7/31/19 55,275 55,461
  eBay Inc. 1.350% 7/15/17 10,960 11,012
  eBay Inc. 2.600% 7/15/22 17,530 16,786
  Ford Motor Credit Co. LLC 2.375% 3/12/19 55,300 55,463
6 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 12,122 12,564
  Home Depot Inc. 3.950% 9/15/20 5,500 6,035
  Home Depot Inc. 4.400% 4/1/21 12,300 13,723
  Home Depot Inc. 2.700% 4/1/23 24,715 24,012
  Home Depot Inc. 4.400% 3/15/45 20,965 21,174
6 Hyundai Capital America 1.625% 10/2/15 13,520 13,621
  Johnson Controls Inc. 5.000% 3/30/20 29,000 32,396
  Johnson Controls Inc. 3.750% 12/1/21 25,000 26,079
  Lowe's Cos. Inc. 5.000% 10/15/15 20,000 21,131
  Lowe's Cos. Inc. 2.125% 4/15/16 16,665 17,094
  Lowe's Cos. Inc. 6.650% 9/15/37 5,000 6,589
  Lowe's Cos. Inc. 5.800% 4/15/40 10,280 12,447
  McDonald's Corp. 1.875% 5/29/19 6,180 6,185
  McDonald's Corp. 3.500% 7/15/20 21,760 23,212
  McDonald's Corp. 2.625% 1/15/22 10,175 10,094
  McDonald's Corp. 3.250% 6/10/24 6,600 6,626
6 Nissan Motor Acceptance Corp. 1.950% 9/12/17 42,355 42,867
6 Nissan Motor Acceptance Corp. 1.800% 3/15/18 38,400 38,211
6 Nissan Motor Acceptance Corp. 2.650% 9/26/18 17,180 17,555
  PACCAR Financial Corp. 1.600% 3/15/17 34,687 35,110
  Target Corp. 5.375% 5/1/17 5,000 5,594
  Target Corp. 6.000% 1/15/18 16,500 19,010
  Target Corp. 2.900% 1/15/22 24,000 24,059
  Target Corp. 7.000% 1/15/38 17,500 24,382
  Time Warner Inc. 5.875% 11/15/16 39,000 43,396
  Time Warner Inc. 4.750% 3/29/21 13,000 14,409
  Time Warner Inc. 6.250% 3/29/41 8,000 9,598
  Toyota Motor Credit Corp. 2.800% 1/11/16 29,762 30,785
  Toyota Motor Credit Corp. 2.050% 1/12/17 26,000 26,653
  Toyota Motor Credit Corp. 1.750% 5/22/17 22,000 22,405
  Toyota Motor Credit Corp. 1.250% 10/5/17 34,150 34,139
  Viacom Inc. 6.250% 4/30/16 20,000 21,970
  Viacom Inc. 5.625% 9/15/19 10,000 11,537
  Viacom Inc. 3.875% 12/15/21 9,815 10,269
6 Volkswagen International Finance NV 1.625% 3/22/15 50,000 50,417
  Wal-Mart Stores Inc. 3.625% 7/8/20 75,000 80,559
  Wal-Mart Stores Inc. 3.250% 10/25/20 6,290 6,606
  Wal-Mart Stores Inc. 4.250% 4/15/21 15,000 16,585

 

 

Wellesley Income Fund

  Wal-Mart Stores Inc. 2.550% 4/11/23 70,275 67,570
  Wal-Mart Stores Inc. 5.625% 4/15/41 52,780 63,635
  Walt Disney Co. 4.125% 6/1/44 18,320 18,053
 
  Consumer Noncyclical (7.2%)        
  AbbVie Inc. 1.750% 11/6/17 28,485 28,605
  AbbVie Inc. 2.000% 11/6/18 34,395 34,483
6 Actavis Funding SCS 2.450% 6/15/19 5,010 5,027
6 Actavis Funding SCS 4.850% 6/15/44 28,150 28,239
  Altria Group Inc. 4.750% 5/5/21 40,806 44,996
  Altria Group Inc. 2.850% 8/9/22 13,000 12,521
  Altria Group Inc. 4.500% 5/2/43 46,000 44,265
  Amgen Inc. 2.300% 6/15/16 11,460 11,785
  Amgen Inc. 3.625% 5/22/24 49,185 49,599
  Amgen Inc. 5.150% 11/15/41 31,000 33,229
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 6,635 8,200
  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,300 10,221
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 75,000 86,461
  Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 7,000 7,727
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 49,836 47,747
  Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 6,610 5,990
  AstraZeneca plc 5.900% 9/15/17 50,000 57,016
  AstraZeneca plc 1.950% 9/18/19 34,225 34,120
3,5,6 Avery 2014 A 144A 1.758% 4/25/26 36,540 36,549
6 BAT International Finance plc 3.250% 6/7/22 50,880 50,762
  Baxter International Inc. 2.400% 8/15/22 34,155 32,254
  Becton Dickinson & Co. 1.750% 11/8/16 19,145 19,549
  Bestfoods 6.625% 4/15/28 25,000 32,013
  Bristol-Myers Squibb Co. 3.250% 11/1/23 16,630 16,772
  Cardinal Health Inc. 5.850% 12/15/17 4,000 4,563
  Cardinal Health Inc. 1.700% 3/15/18 2,401 2,393
  Cardinal Health Inc. 3.200% 3/15/23 11,650 11,542
6 Cargill Inc. 6.000% 11/27/17 7,000 8,003
6 Cargill Inc. 6.125% 9/15/36 22,000 27,016
6 Cargill Inc. 6.625% 9/15/37 42,830 56,965
  Catholic Health Initiatives Colorado GO 1.600% 11/1/17 1,935 1,915
3 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 12,455 11,915
  Celgene Corp. 2.250% 5/15/19 5,145 5,164
  Celgene Corp. 3.625% 5/15/24 11,980 12,001
  Coca-Cola Co. 5.350% 11/15/17 50,000 56,791
  Coca-Cola Enterprises Inc. 2.125% 9/15/15 5,000 5,092
  Coca-Cola Enterprises Inc. 2.000% 8/19/16 13,955 14,266
  Coca-Cola Enterprises Inc. 3.500% 9/15/20 4,600 4,798
  Coca-Cola Enterprises Inc. 4.500% 9/1/21 14,785 16,072
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 25,332 25,628
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 28,000 28,882
  Colgate-Palmolive Co. 2.950% 11/1/20 25,000 25,984
  ConAgra Foods Inc. 1.900% 1/25/18 8,125 8,162
  Diageo Capital plc 5.500% 9/30/16 11,066 12,203
  Diageo Capital plc 2.625% 4/29/23 42,580 40,700
  Diageo Investment Corp. 2.875% 5/11/22 17,245 17,079
  Dr Pepper Snapple Group Inc. 2.900% 1/15/16 7,406 7,655
  Dr Pepper Snapple Group Inc. 2.000% 1/15/20 6,850 6,716
  Dr Pepper Snapple Group Inc. 2.700% 11/15/22 6,900 6,627
  Eli Lilly & Co. 5.500% 3/15/27 20,000 23,951
  Eli Lilly & Co. 4.650% 6/15/44 23,540 24,746
  Express Scripts Holding Co. 2.650% 2/15/17 58,371 60,591
  Express Scripts Holding Co. 2.250% 6/15/19 14,030 13,985

 

 

Wellesley Income Fund

Express Scripts Holding Co. 4.750% 11/15/21 10,000 11,070
Express Scripts Holding Co. 3.500% 6/15/24 20,175 19,952
General Mills Inc. 5.650% 2/15/19 6,850 7,935
5 General Mills Inc. 6.390% 2/5/23 50,000 56,897
Gilead Sciences Inc. 3.700% 4/1/24 21,420 21,960
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 20,000 22,897
GlaxoSmithKline Capital Inc. 2.800% 3/18/23 29,335 28,551
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 16,055 18,855
GlaxoSmithKline Capital plc 1.500% 5/8/17 20,770 21,002
GlaxoSmithKline Capital plc 2.850% 5/8/22 43,395 42,813
6 Grupo Bimbo SAB de CV 3.875% 6/27/24 10,515 10,478
6 Heineken NV 1.400% 10/1/17 7,495 7,495
6 Heineken NV 2.750% 4/1/23 22,335 21,255
6 Heineken NV 4.000% 10/1/42 1,260 1,154
Johnson & Johnson 6.730% 11/15/23 15,000 19,520
Kaiser Foundation Hospitals 3.500% 4/1/22 11,760 11,868
Kaiser Foundation Hospitals 4.875% 4/1/42 11,840 12,873
Kimberly-Clark Corp. 6.250% 7/15/18 25,000 29,471
Kraft Foods Group Inc. 2.250% 6/5/17 10,085 10,353
Kraft Foods Group Inc. 3.500% 6/6/22 36,735 37,725
Kraft Foods Group Inc. 5.000% 6/4/42 11,075 11,820
Kroger Co. 2.200% 1/15/17 22,780 23,370
Kroger Co. 3.300% 1/15/21 13,605 13,924
Kroger Co. 3.850% 8/1/23 5,055 5,186
McKesson Corp. 3.250% 3/1/16 4,910 5,111
McKesson Corp. 2.700% 12/15/22 7,010 6,690
McKesson Corp. 2.850% 3/15/23 6,840 6,602
McKesson Corp. 3.796% 3/15/24 14,565 14,888
Medtronic Inc. 1.375% 4/1/18 16,225 16,105
Medtronic Inc. 3.625% 3/15/24 7,510 7,690
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 11,505 12,588
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 6,535 6,297
Merck & Co. Inc. 1.300% 5/18/18 20,615 20,408
Merck & Co. Inc. 3.875% 1/15/21 30,000 32,297
Merck & Co. Inc. 2.800% 5/18/23 15,650 15,237
Merck & Co. Inc. 4.150% 5/18/43 28,405 27,791
Merck Sharp & Dohme Corp. 5.000% 6/30/19 18,000 20,500
Molson Coors Brewing Co. 2.000% 5/1/17 1,036 1,056
Molson Coors Brewing Co. 3.500% 5/1/22 14,905 15,095
Molson Coors Brewing Co. 5.000% 5/1/42 13,220 13,808
Mondelez International Inc. 4.125% 2/9/16 15,000 15,771
Mondelez International Inc. 6.500% 2/9/40 20,312 25,933
Novartis Capital Corp. 3.400% 5/6/24 61,500 62,305
Partners Healthcare System Massachusetts        
GO 3.443% 7/1/21 2,000 2,085
PepsiCo Inc. 3.100% 1/15/15 24,287 24,650
PepsiCo Inc. 3.125% 11/1/20 48,610 50,614
PepsiCo Inc. 2.750% 3/5/22 12,360 12,222
PepsiCo Inc. 4.000% 3/5/42 35,200 33,603
Pfizer Inc. 6.200% 3/15/19 28,600 33,964
Pfizer Inc. 3.000% 6/15/23 40,000 39,927
Philip Morris International Inc. 4.500% 3/26/20 25,000 27,854
Philip Morris International Inc. 4.125% 5/17/21 15,705 17,014
Philip Morris International Inc. 2.500% 8/22/22 13,250 12,828
Philip Morris International Inc. 2.625% 3/6/23 23,000 22,322
Philip Morris International Inc. 3.875% 8/21/42 22,785 21,244

 

 

Wellesley Income Fund

3 Procter & Gamble - Esop 9.360% 1/1/21 15,997 20,510
Procter & Gamble Co. 6.450% 1/15/26 25,000 32,606
Procter & Gamble Co. 5.550% 3/5/37 25,000 30,355
6 Roche Holdings Inc. 6.000% 3/1/19 25,468 30,044
6 SABMiller Holdings Inc. 2.450% 1/15/17 15,100 15,553
6 SABMiller Holdings Inc. 3.750% 1/15/22 4,310 4,461
6 SABMiller Holdings Inc. 4.950% 1/15/42 5,700 6,158
6 SABMiller plc 6.500% 7/15/18 30,000 35,107
Sanofi 4.000% 3/29/21 36,275 39,224
St. Jude Medical Inc. 2.500% 1/15/16 18,175 18,676
6 Tesco plc 5.500% 11/15/17 10,000 11,196
Thermo Fisher Scientific Inc. 3.250% 11/20/14 5,160 5,217
Thermo Fisher Scientific Inc. 3.200% 5/1/15 6,020 6,154
Thermo Fisher Scientific Inc. 3.200% 3/1/16 9,330 9,695
Thermo Fisher Scientific Inc. 1.850% 1/15/18 18,975 19,067
Unilever Capital Corp. 4.250% 2/10/21 78,185 86,097
Wyeth LLC 5.950% 4/1/37 15,000 18,366
Zoetis Inc. 3.250% 2/1/23 3,160 3,129
Zoetis Inc. 4.700% 2/1/43 3,790 3,843
 
Energy (1.6%)        
6 BG Energy Capital plc 2.875% 10/15/16 26,655 27,755
BP Capital Markets plc 3.200% 3/11/16 10,000 10,445
BP Capital Markets plc 2.248% 11/1/16 34,545 35,623
BP Capital Markets plc 4.750% 3/10/19 18,140 20,345
BP Capital Markets plc 4.500% 10/1/20 28,000 31,067
BP Capital Markets plc 4.742% 3/11/21 10,000 11,181
BP Capital Markets plc 3.245% 5/6/22 10,000 10,112
BP Capital Markets plc 2.500% 11/6/22 8,000 7,619
BP Capital Markets plc 3.994% 9/26/23 6,155 6,476
BP Capital Markets plc 3.814% 2/10/24 24,850 25,721
Chevron Corp. 3.191% 6/24/23 42,875 43,504
ConocoPhillips 7.000% 3/30/29 11,500 15,051
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 15,000 16,616
Encana Corp. 6.500% 8/15/34 15,000 18,487
EOG Resources Inc. 5.625% 6/1/19 8,285 9,637
Halliburton Co. 3.500% 8/1/23 61,000 62,512
6 Motiva Enterprises LLC 5.750% 1/15/20 2,535 2,899
Occidental Petroleum Corp. 4.100% 2/1/21 27,466 29,849
Occidental Petroleum Corp. 2.700% 2/15/23 18,000 17,481
6 Schlumberger Investment SA 2.400% 8/1/22 20,765 19,959
Shell International Finance BV 4.375% 3/25/20 24,000 26,687
Shell International Finance BV 2.250% 1/6/23 46,000 43,250
Suncor Energy Inc. 5.950% 12/1/34 13,000 15,578
Texaco Capital Inc. 8.625% 4/1/32 25,000 38,401
Total Capital International SA 1.550% 6/28/17 38,435 38,863
Total Capital International SA 2.700% 1/25/23 30,390 29,408
 
Other Industrial (0.2%)        
6 Hutchison Whampoa International 09/16 Ltd. 4.625% 9/11/15 12,000 12,533
6 Hutchison Whampoa International 09/19 Ltd. 5.750% 9/11/19 12,000 13,825
6 Hutchison Whampoa International 11 Ltd. 3.500% 1/13/17 19,660 20,667
3 Johns Hopkins University Maryland GO 4.083% 7/1/53 24,695 24,060
 
Technology (1.3%)        
Apple Inc. 2.850% 5/6/21 34,300 34,612
Apple Inc. 3.450% 5/6/24 31,140 31,364
Apple Inc. 3.850% 5/4/43 15,275 14,071

 

 

Wellesley Income Fund

Apple Inc. 4.450% 5/6/44 4,035 4,061
Cisco Systems Inc. 2.125% 3/1/19 17,675 17,798
Cisco Systems Inc. 4.450% 1/15/20 41,500 46,046
Cisco Systems Inc. 2.900% 3/4/21 10,700 10,887
EMC Corp. 1.875% 6/1/18 17,750 17,868
EMC Corp. 2.650% 6/1/20 17,750 17,868
EMC Corp. 3.375% 6/1/23 17,750 17,984
Intel Corp. 3.300% 10/1/21 10,000 10,343
International Business Machines Corp. 2.000% 1/5/16 10,000 10,232
International Business Machines Corp. 1.250% 2/6/17 8,395 8,462
International Business Machines Corp. 5.700% 9/14/17 41,710 47,495
International Business Machines Corp. 3.375% 8/1/23 61,300 61,785
International Business Machines Corp. 3.625% 2/12/24 22,800 23,418
International Business Machines Corp. 7.000% 10/30/25 25,000 32,947
Microsoft Corp. 3.000% 10/1/20 10,000 10,453
Microsoft Corp. 3.625% 12/15/23 13,500 14,107
Microsoft Corp. 4.500% 10/1/40 18,210 18,805
Oracle Corp. 5.000% 7/8/19 35,000 39,917
Oracle Corp. 6.125% 7/8/39 8,000 10,065
 
Transportation (0.6%)        
Burlington Northern Santa Fe LLC 3.050% 3/15/22 7,235 7,268
6 ERAC USA Finance LLC 6.375% 10/15/17 36,290 41,635
6 ERAC USA Finance LLC 2.350% 10/15/19 12,165 12,147
6 ERAC USA Finance LLC 4.500% 8/16/21 10,270 11,098
6 ERAC USA Finance LLC 3.300% 10/15/22 745 737
6 ERAC USA Finance LLC 5.625% 3/15/42 31,000 34,940
FedEx Corp. 2.625% 8/1/22 14,760 14,167
FedEx Corp. 2.700% 4/15/23 15,810 15,065
FedEx Corp. 4.900% 1/15/34 15,540 16,697
FedEx Corp. 3.875% 8/1/42 4,505 4,038
FedEx Corp. 5.100% 1/15/44 26,055 28,187
Ryder System Inc. 2.500% 3/1/18 32,000 32,849
United Parcel Service Inc. 2.450% 10/1/22 17,095 16,591
United Parcel Service Inc. 4.875% 11/15/40 14,810 16,518
        8,305,137
Utilities (2.8%)        
Electric (2.5%)        
Alabama Power Co. 5.550% 2/1/17 11,765 13,025
Ameren Illinois Co. 2.700% 9/1/22 58,000 57,065
Baltimore Gas & Electric Co. 5.900% 10/1/16 15,000 16,634
Baltimore Gas & Electric Co. 2.800% 8/15/22 26,250 25,812
Berkshire Hathaway Energy Co. 6.500% 9/15/37 35,000 45,126
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 50,000 64,546
Duke Energy Carolinas LLC 5.250% 1/15/18 20,980 23,517
Duke Energy Carolinas LLC 3.900% 6/15/21 11,045 11,972
Duke Energy Corp. 2.150% 11/15/16 35,000 36,005
Duke Energy Corp. 1.625% 8/15/17 34,840 35,164
Duke Energy Progress Inc. 2.800% 5/15/22 20,140 20,051
Duke Energy Progress Inc. 6.300% 4/1/38 1,625 2,146
Florida Power & Light Co. 6.200% 6/1/36 22,452 29,067
Florida Power & Light Co. 5.250% 2/1/41 23,745 28,135
Florida Power & Light Co. 4.125% 2/1/42 20,000 19,947
Georgia Power Co. 5.700% 6/1/17 50,000 56,326
Georgia Power Co. 4.300% 3/15/42 25,835 25,871
Mississippi Power Co. 4.250% 3/15/42 20,000 19,550

 

 

Wellesley Income Fund

  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 2/15/22 13,800 14,013
6 Niagara Mohawk Power Corp. 3.553% 10/1/14 16,500 16,579
  NSTAR LLC 4.500% 11/15/19 1,880 2,071
  Oklahoma Gas & Electric Co. 6.500% 4/15/28 10,000 11,953
  Oncor Electric Delivery Co. LLC 5.250% 9/30/40 10,415 12,068
  Pacific Gas & Electric Co. 4.250% 5/15/21 8,335 9,105
  Pacific Gas & Electric Co. 2.450% 8/15/22 45,000 42,998
  Pacific Gas & Electric Co. 3.750% 8/15/42 35,460 32,343
  PacifiCorp 2.950% 6/1/23 14,835 14,682
  Potomac Electric Power Co. 6.500% 11/15/37 8,000 10,766
  PPL Electric Utilities Corp. 2.500% 9/1/22 12,830 12,502
  PPL Electric Utilities Corp. 6.250% 5/15/39 2,675 3,481
  Progress Energy Inc. 3.150% 4/1/22 20,800 20,866
  PSEG Power LLC 5.125% 4/15/20 15,000 16,757
  Public Service Electric & Gas Co. 3.500% 8/15/20 10,000 10,606
  Puget Sound Energy Inc. 4.434% 11/15/41 19,880 20,798
  South Carolina Electric & Gas Co. 4.350% 2/1/42 29,880 30,751
  Southern California Edison Co. 5.500% 8/15/18 31,730 36,370
  Southern California Edison Co. 3.875% 6/1/21 24,860 26,799
  Virginia Electric & Power Co. 5.950% 9/15/17 50,000 57,382
  Wisconsin Electric Power Co. 5.700% 12/1/36 13,825 16,975
 
  Natural Gas (0.3%)        
6 DCP Midstream LLC 6.450% 11/3/36 9,375 10,681
6 Dominion Gas Holdings LLC 3.550% 11/1/23 14,085 14,316
  Nisource Finance Corp. 6.400% 3/15/18 50,000 57,907
  TransCanada PipeLines Ltd. 3.800% 10/1/20 30,875 33,296
  TransCanada PipeLines Ltd. 2.500% 8/1/22 21,165 20,421
          1,086,445
Total Corporate Bonds (Cost $14,668,035)       15,671,374
Sovereign Bonds (U.S. Dollar-Denominated) (1.3%)        
6 Abu Dhabi National Energy Co. 5.875% 10/27/16 10,000 11,000
6 CDP Financial Inc. 4.400% 11/25/19 22,000 24,392
6 Electricite de France SA 4.600% 1/27/20 31,972 35,461
6 Electricite de France SA 4.875% 1/22/44 18,000 19,220
3,6 Electricite de France SA 5.250% 1/29/49 19,510 19,899
3,6 Electricite de France SA 5.625% 12/29/49 33,850 35,363
6 Gazprom Neft OAO Via GPN Capital SA 4.375% 9/19/22 20,000 18,561
  Korea Finance Corp. 2.875% 8/22/18 32,285 33,144
  Oesterreichische Kontrollbank AG 4.500% 3/9/15 17,000 17,500
  Province of New Brunswick 5.200% 2/21/17 30,000 33,283
  Province of Ontario 4.400% 4/14/20 48,000 53,640
6 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 7,855 7,943
  Republic of Poland 4.000% 1/22/24 31,725 33,073
6 State Grid Overseas Investment 2014 Ltd. 2.750% 5/7/19 41,455 41,790
  Statoil ASA 3.125% 8/17/17 33,000 34,920
  Statoil ASA 5.250% 4/15/19 8,895 10,208
  Statoil ASA 2.900% 11/8/20 12,495 12,726
  Statoil ASA 3.700% 3/1/24 12,930 13,514
6 Temasek Financial I Ltd. 2.375% 1/23/23 39,070 37,513
  United Mexican States 3.500% 1/21/21 11,250 11,678
Total Sovereign Bonds (Cost $479,199)       504,828
Taxable Municipal Bonds (2.9%)        
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 6.263% 4/1/49 33,860 45,515
  California GO 5.700% 11/1/21 15,655 18,794

 

 

Wellesley Income Fund

California GO 7.550% 4/1/39 39,955 59,453
California GO 7.300% 10/1/39 3,465 4,880
California GO 7.600% 11/1/40 17,685 26,792
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 4,445 5,333
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 14,590 16,332
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 13,390 17,114
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 22,485 29,536
District of Columbia Income Tax Revenue 5.591% 12/1/34 6,480 7,723
Duke University North Carolina Revenue 5.850% 4/1/37 62,165 78,156
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 24,006 29,274
Houston TX GO 6.290% 3/1/32 22,635 27,808
Illinois GO 5.100% 6/1/33 42,160 42,245
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 16,525 20,582
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 13,130 15,872
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 28,590 39,979
Los Angeles CA Unified School District GO 5.750% 7/1/34 30,000 36,573
Louisville & Jefferson County KY Metropolitan        
Sewer District Sewer & Drainage System        
Revenue 6.250% 5/15/43 11,000 14,010
Maryland Transportation Authority Facilities        
Projects Revenue 5.888% 7/1/43 12,005 15,025
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.715% 8/15/39 15,000 18,280
7 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 46,080 60,142
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 28,975 41,754
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 2,000 2,798
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.790% 6/15/41 1,805 1,983
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 11,965 15,232
New York Metropolitan Transportation        
Authority Revenue 6.814% 11/15/40 5,600 7,602
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 2,430 3,528
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 8,070 10,103
New York State Thruway Authority Revenue 5.883% 4/1/30 29,670 35,570
North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 31,790 43,659
Oregon Department of Transportation        
Highway User Tax Revenue 5.834% 11/15/34 14,510 18,147
8 Oregon School Boards Association GO 4.759% 6/30/28 15,000 16,245
Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 9,605 11,729
Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 5,665 7,047
Port Authority of New York & New Jersey        
Revenue 4.458% 10/1/62 58,000 59,118
President & Fellows of Harvard College        
Massachusetts GO 6.300% 10/1/37 68,000 74,800
Princeton University New Jersey GO 5.700% 3/1/39 13,020 16,372

 

 

Wellesley Income Fund

San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 6,175 7,944
Texas Transportation Commission Revenue 5.178% 4/1/30 12,275 14,458
University of California Regents General        
Revenue 4.601% 5/15/31 19,390 21,144
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 14,730 18,975
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 13,855 17,964
University of California Revenue 5.770% 5/15/43 23,675 28,947
University of California Revenue 4.765% 5/15/44 4,740 4,909
Utah GO 3.289% 7/1/20 21,900 23,146
9 Wisconsin GO 5.700% 5/1/26 9,000 10,503
Total Taxable Municipal Bonds (Cost $973,147)       1,143,095
        Market
        Value
      Shares ($000)
Common Stocks (38.9%)        
Consumer Discretionary (1.7%)        
McDonald's Corp.     2,540,220 255,902
Mattel Inc.     3,612,970 140,797
WPP plc     5,926,574 129,153
Thomson Reuters Corp.     3,260,810 118,563
        644,415
Consumer Staples (5.4%)        
Kraft Foods Group Inc.     8,065,086 483,502
Philip Morris International Inc.     3,521,300 296,881
Unilever NV     5,823,130 254,820
Sysco Corp.     5,162,140 193,322
British American Tobacco plc     3,208,114 190,892
Diageo plc ADR     1,171,800 149,135
Altria Group Inc.     3,292,610 138,092
Procter & Gamble Co.     1,717,060 134,944
PepsiCo Inc.     1,110,660 99,226
General Mills Inc.     1,565,710 82,263
Kimberly-Clark Corp.     602,620 67,023
        2,090,100
Energy (4.6%)        
Chevron Corp.     4,811,360 628,123
Exxon Mobil Corp.     5,319,370 535,554
ConocoPhillips     2,808,010 240,731
Royal Dutch Shell plc Class B     5,513,116 239,604
Enbridge Inc.     3,172,200 150,584
        1,794,596
Financials (6.1%)        
Wells Fargo & Co.     12,154,862 638,860
JPMorgan Chase & Co.     8,413,150 484,766
BlackRock Inc.     860,080 274,882
M&T Bank Corp.     1,948,000 241,649
Marsh & McLennan Cos. Inc.     4,141,230 214,598
MetLife Inc.     2,575,800 143,111
National Bank of Canada     3,213,900 136,321
Plum Creek Timber Co. Inc.     2,780,900 125,419
ACE Ltd.     857,600 88,933
        2,348,539

 

 

Wellesley Income Fund

Health Care (6.5%)        
Johnson & Johnson     6,283,430 657,372
Merck & Co. Inc.   10,262,190 593,668
Roche Holding AG     1,155,120 344,176
Pfizer Inc.     9,627,397 285,741
AstraZeneca plc ADR     2,471,160 183,632
Eli Lilly & Co.     2,650,800 164,800
Bristol-Myers Squibb Co.     3,105,500 150,648
Baxter International Inc.     1,628,440 117,736
        2,497,773
Industrials (4.3%)        
Eaton Corp. plc     5,663,230 437,088
General Electric Co.   15,555,020 408,786
Schneider Electric SE     2,503,900 236,102
United Parcel Service Inc. Class B     1,822,250 187,072
Lockheed Martin Corp.     930,350 149,535
Waste Management Inc.     3,260,180 145,828
Caterpillar Inc.     985,700 107,116
        1,671,527
Information Technology (4.6%)        
Microsoft Corp.   14,071,690 586,789
Analog Devices Inc.     6,725,180 363,630
Intel Corp.   11,253,410 347,730
Cisco Systems Inc.     9,843,320 244,607
Maxim Integrated Products Inc.     3,913,680 132,322
Texas Instruments Inc.     1,950,650 93,222
        1,768,300
Materials (1.3%)        
Dow Chemical Co.     3,923,680 201,913
EI du Pont de Nemours & Co.     2,628,650 172,019
Nucor Corp.     2,740,350 134,962
        508,894
Telecommunication Services (2.0%)        
Verizon Communications Inc.   10,681,356 522,639
BCE Inc.     3,927,500 178,146
AT&T Inc.     2,059,085 72,809
        773,594
Utilities (2.4%)        
National Grid plc   22,169,929 319,180
Xcel Energy Inc.     6,097,960 196,537
NextEra Energy Inc.     1,851,890 189,782
Northeast Utilities     3,748,460 177,190
PG&E Corp.     773,900 37,162
        919,851
Total Common Stocks (Cost $10,183,907)       15,017,589
      Face  
    Maturity Amount  
  Coupon Date ($000)  
Temporary Cash Investments (1.7%)        
Repurchase Agreements (1.2%)        
Bank of America Securities, LLC        
(Dated 6/30/14, Repurchase Value        
$67,600,000, collateralized by Government        
National Mortgage Assn. 4.000%, 6/20/44,        
with a value of $68,952,000) 0.100% 7/1/14 67,600 67,600

 

 

Wellesley Income Fund

  Barclays Capital Inc.        
  (Dated 6/30/14, Repurchase Value        
  $65,100,000, collateralized by U.S.        
  Treasury Note/Bond 1.750%-2.625%,        
  12/31/14-5/15/22, with a value of        
  $66,402,000) 0.070% 7/1/14 65,100 65,100
  Deutsche Bank Securities, Inc.        
  (Dated 6/30/14, Repurchase Value        
  $300,000, collateralized by Federal National        
  Mortgage Assn. 0.650%, 9/26/16, with a        
  value of $306,000) 0.100% 7/1/14 300 300
  HSBC Bank USA        
  (Dated 6/30/14, Repurchase Value        
  $11,500,000, collateralized by Federal        
  National Mortgage Assn. 3.500%, 11/1/42,        
  with a value of $11,732,000) 0.070% 7/1/14 11,500 11,500
  RBC Capital Markets LLC        
  (Dated 6/30/14, Repurchase Value        
  $68,500,000, collateralized by Federal        
  National Mortgage Assn. 3.000%, 12/1/26,        
  Federal Home Loan Mortgage Corp.        
  4.000%, 5/1/44, and Government National        
  Mortgage Assn. 3.500-4.500%, 5/20/44-        
  5/20/62, with a value of $69,870,000) 0.090% 7/1/14 68,500 68,500
  RBS Securities, Inc.        
  (Dated 6/30/14, Repurchase Value        
  $250,000,000, collateralized by U.S.        
  Treasury Note/Bond 0.375%-2.750%,        
  6/15/15-11/15/23, with a value of        
  $255,004,000) 0.080% 7/1/14 250,000 250,000
          463,000
U.S. Government and Agency Obligations (0.5%)        
1 Federal Home Loan Bank Discount Notes 0.065% 8/27/14 50,000 49,994
1 Federal Home Loan Bank Discount Notes 0.065% 8/27/14 50,000 49,994
          184,075
Total Temporary Cash Investments (Cost $647,076)       647,075
Total Investments (100.1%) (Cost $32,533,154)       38,663,543
Conventional Mortgage-Backed Securities–Sale Commitments (Net) (0.0%)    
2,3,11 Fannie Mae Pool 3.000% 9/1/42–7/1/44 (1,309) (812)
Total Conventional Mortgage-Backed Securities–Sale Commitments (Net Proceeds ($1,047)) (812)
Other Assets and Liabilities-Net (-0.1%)10       (26,823)
Net Assets (100%)       38,635,908
1 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.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of
June 30, 2014.
5 Adjustable-rate security.
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 June 30, 2014, the aggregate
value of these securities was $2,859,038,000, representing 7.4% of net assets.
7 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
 

Wellesley Income Fund

8 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
9 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
10 Cash of $17,108,000 has been segregated as initial margin for open futures contracts.
11 Represents the net of TBA purchases, long positions, and sale commitments in the same issuer and coupon.
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. 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

 

Wellesley Income Fund

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 (Other Assets) or Payables for Investment Securities Purchased (Liabilities).

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. 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, 2014, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 4,737,400 —
Asset-Backed/Commercial Mortgage-Backed Securities — 920,513 20,857
Corporate Bonds — 15,671,374 —
Sovereign Bonds — 504,828 —
Taxable Municipal Bonds — 1,143,095 —
Common Stocks 13,558,483 1,459,106  
Temporary Cash Investments   647,075 —

 

 

Wellesley Income Fund

Futures Contracts—Assets1 104 — —
Future Contracts—Liabilities1 (1,156)    
Total 13,557,431 25,083,391 20,857
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 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).

At June 30, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
10-Year U.S. Treasury Note September 2014 (13,212) (1,653,771) 200
2-Year U.S. Treasury Note October 2014 3,330 731,247 (422)
Ultra Long U.S. Treasury Bond September 2014 (188) (28,188) (174)
        (396)

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

H. At June 30, 2014, the cost of investment securities for tax purposes was $32,623,024,000. Net unrealized appreciation of investment securities for tax purposes was $6,039,707,000, consisting of unrealized gains of $6,107,914,000 on securities that had risen in value since their purchase and $68,207,000 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 WELLESLEY INCOME FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: August 20, 2014  

 

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 WELLESLEY INCOME FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: August 20, 2014  

 

 

  VANGUARD WELLESLEY INCOME FUND
 
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: August 20, 2014  

* 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.