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:      811-01766

 

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:

Anne E. Robinson, Esquire
P.O. Box 876
Valley Forge, PA 19482

 

Date of fiscal year end:     September 30

 

Date of reporting period:    December 31, 2016

 

Item 1: Schedule of Investments

 


Vanguard Wellesley Income Fund

Schedule of Investments (unaudited)

As of December 31, 2016

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (10.6%)        
U.S. Government Securities (9.8%)        
  United States Treasury Note/Bond 0.875% 1/31/17 19,979 19,986
  United States Treasury Note/Bond 0.500% 2/28/17 11,000 10,998
  United States Treasury Note/Bond 0.500% 3/31/17 113,300 113,282
  United States Treasury Note/Bond 0.625% 7/31/17 298,000 297,908
  United States Treasury Note/Bond 1.000% 9/15/17 629,315 630,202
  United States Treasury Note/Bond 0.750% 10/31/17 74,500 74,430
  United States Treasury Note/Bond 0.625% 11/30/17 123,200 122,892
  United States Treasury Note/Bond 0.875% 3/31/18 217,000 216,729
  United States Treasury Note/Bond 0.750% 4/30/18 45,000 44,852
  United States Treasury Note/Bond 0.750% 8/31/18 38,000 37,763
  United States Treasury Note/Bond 1.375% 9/30/18 662,270 664,754
  United States Treasury Note/Bond 1.750% 9/30/19 665,000 671,337
  United States Treasury Note/Bond 1.625% 6/30/20 258,195 258,154
  United States Treasury Note/Bond 1.250% 3/31/21 162,000 158,127
  United States Treasury Note/Bond 2.000% 2/15/25 350,870 341,112
  United States Treasury Note/Bond 2.000% 8/15/25 109,605 106,025
  United States Treasury Note/Bond 2.250% 11/15/25 5,685 5,605
  United States Treasury Note/Bond 1.625% 2/15/26 105,000 97,962
  United States Treasury Note/Bond 1.625% 5/15/26 110,000 102,437
  United States Treasury Note/Bond 2.875% 5/15/43 203,565 196,282
  United States Treasury Note/Bond 3.625% 2/15/44 99,150 109,715
  United States Treasury Note/Bond 3.375% 5/15/44 322,125 341,101
  United States Treasury Note/Bond 2.500% 2/15/46 163,150 144,719
  United States Treasury Note/Bond 2.500% 5/15/46 48,215 42,768
  United States Treasury Note/Bond 2.250% 8/15/46 49,700 41,709
          4,850,849
Agency Bonds and Notes (0.1%)        
  Private Export Funding Corp. 2.250% 12/15/17 51,055 51,622
1 Tennessee Valley Authority 4.625% 9/15/60 19,800 21,806
          73,428
Conventional Mortgage-Backed Securities (0.5%)        
2,3 Fannie Mae Pool 2.500% 8/1/27–10/1/28 7,768 7,798
2,3 Fannie Mae Pool 3.000% 10/1/46–1/1/47 99,249 98,856
2,3 Fannie Mae Pool 4.500% 10/1/29–11/1/44 115,987 125,177
2,3 Freddie Mac Gold Pool 3.000% 12/1/46–1/1/47 75 107
2,3 Freddie Mac Gold Pool 4.000% 7/1/33 5 6
2,3 Freddie Mac Gold Pool 4.500% 9/1/43 2 2
2 Ginnie Mae I Pool 6.000% 6/15/31–7/15/35 54 61
2 Ginnie Mae I Pool 6.500% 4/15/32–9/15/38 4,187 4,730
          236,737
Nonconventional Mortgage-Backed Securities (0.2%)        
2,3 Fannie Mae REMICS 3.500% 4/25/31 6,910 7,120
2,3 Fannie Mae REMICS 4.000% 9/25/29–5/25/31 13,201 13,942
2,3 Freddie Mac REMICS 3.500% 3/15/31 4,095 4,218
2,3 Freddie Mac REMICS 4.000% 12/15/30–4/15/31 77,070 81,581
          106,861
Total U.S. Government and Agency Obligations (Cost $5,266,945)   5,267,875

 

 

Asset-Backed/Commercial Mortgage-Backed Securities (2.4%)      
2 Ally Master Owner Trust Series 2012-4 1.720% 7/15/19 25,000 25,063
2 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 95,780 95,920
2 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 117,745 117,950
4 American Tower Trust I 1.551% 3/15/18 13,530 13,473
4 American Tower Trust I 3.070% 3/15/23 32,900 32,641
2,4,5Apidos CLO XVII 2.193% 4/17/26 39,775 39,748
2,4,5ARES CLO Ltd. 2.400% 4/17/26 39,670 39,720
2,4,5Atlas Senior Loan Fund Ltd. 2.420% 10/15/26 12,360 12,373
2,4,5Babson CLO Ltd. 2.371% 7/20/25 4,555 4,562
2,4,5Cent CLO 2.376% 7/27/26 13,260 13,257
2,4,5Cent CLO 20 Ltd. 2.362% 1/25/26 40,000 40,016
2,4,5Cent CLO 22 Ltd. 2.291% 11/7/26 29,995 29,925
2,4,5CIFC Funding Ltd. 2.382% 4/18/25 38,255 38,305
2 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 16,040 16,529
2,4,5Dryden Senior Loan Fund 2.232% 4/18/26 37,710 37,758
2,4 Ford Credit Floorplan Master Owner Trust A 2.090% 3/15/22 10,250 10,233
2 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 27,005 27,014
2,5 LB-UBS Commercial Mortgage Trust 2008-C1 6.113% 4/15/41 18,971 19,692
2,4,5Limerock CLO 2.382% 4/18/26 43,000 43,047
2,4,5Madison Park Funding XII Ltd. 2.328% 1/19/25 24,975 25,011
2,4,5Madison Park Funding XIII Ltd. 2.381% 7/20/26 29,375 29,416
4 National Australia Bank Ltd. 2.400% 12/7/21 75,600 75,006
2,4 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 23,260 24,694
2,4 OneMain Financial Issuance Trust 2016-1A 3.660% 2/20/29 12,215 12,344
2,4 OneMain Financial Issuance Trust 2016-2 4.100% 3/20/28 23,305 23,755
2,4,5OZLM VI Ltd. 2.430% 4/17/26 30,910 30,943
2 Santander Drive Auto Receivables Trust        
  2013-2 2.570% 3/15/19 15,610 15,719
2 Santander Drive Auto Receivables Trust        
  2014-2 2.330% 11/15/19 9,665 9,708
4 SBA Tower Trust 2.898% 10/15/19 37,250 37,468
2,4,5Seneca Park CLO Ltd. 2.360% 7/17/26 21,705 21,739
2,4,5SFAVE Commercial Mortgage Securities        
  Trust 2015-5AVE 4.144% 1/5/43 22,000 21,775
2,4,5Shackleton CLO Ltd. 2.360% 7/17/26 20,985 21,018
2,4 Springleaf Funding Trust 2.410% 12/15/22 11,685 11,691
2,4 Springleaf Funding Trust 3.160% 11/15/24 43,060 43,335
2,4 Springleaf Funding Trust 2015-B 3.480% 5/15/28 19,420 19,418
2,4,5Symphony CLO XIV Ltd. 2.361% 7/14/26 36,945 37,051
2,4,5Thacher Park CLO Ltd. 2.351% 10/20/26 16,115 16,144
2 Utility Debt Securitization Authority Series        
  2013T 3.435% 12/15/25 6,775 7,004
2 Volkswagen Auto Loan Enhanced Trust 2014-        
  1 1.450% 9/21/20 16,897 16,879
2 Volkswagen Auto Loan Enhanced Trust 2014-        
  2 0.950% 4/22/19 9,785 9,760
2,4,5Voya CLO 2014-1 Ltd. 2.015% 4/18/26 16,960 16,948
2,4,5Voya CLO 2014-2 Ltd. 2.330% 7/17/26 5,905 5,915
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,188,614)   1,189,967
Corporate Bonds (42.1%)        
Finance (16.0%)        
  Banking (12.4%)        
  American Express Co. 6.150% 8/28/17 35,000 36,045
  American Express Credit Corp. 2.375% 3/24/17 35,650 35,749

 

 

American Express Credit Corp. 2.250% 8/15/19 24,000 24,114
Bank of America Corp. 6.875% 4/25/18 32,000 33,980
Bank of America Corp. 5.650% 5/1/18 60,090 63,078
Bank of America Corp. 5.625% 7/1/20 28,825 31,681
Bank of America Corp. 5.875% 1/5/21 10,285 11,431
Bank of America Corp. 5.000% 5/13/21 35,910 38,998
Bank of America Corp. 3.300% 1/11/23 18,875 18,885
Bank of America Corp. 4.100% 7/24/23 47,670 49,757
Bank of America Corp. 4.125% 1/22/24 7,500 7,762
Bank of America Corp. 4.000% 1/22/25 26,225 26,189
Bank of America Corp. 6.110% 1/29/37 30,000 35,019
Bank of America Corp. 5.875% 2/7/42 8,770 10,585
Bank of America Corp. 5.000% 1/21/44 24,180 26,253
Bank of America Corp. 4.875% 4/1/44 7,820 8,456
Bank of Montreal 2.500% 1/11/17 71,580 71,597
Bank of Montreal 2.375% 1/25/19 29,000 29,256
Bank of New York Mellon Corp. 5.450% 5/15/19 49,465 53,295
Bank of New York Mellon Corp. 2.150% 2/24/20 49,755 49,583
Bank of New York Mellon Corp. 2.200% 8/16/23 32,698 31,129
5 Bank of New York Mellon Corp. 1.937% 10/30/23 43,060 43,614
Bank of New York Mellon Corp. 3.000% 2/24/25 22,710 22,291
Bank of Nova Scotia 2.550% 1/12/17 31,000 31,014
Bank of Nova Scotia 2.450% 3/22/21 39,905 39,618
Bank of Nova Scotia 2.800% 7/21/21 58,100 58,420
4 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 44,350 44,251
Bank One Corp. 7.750% 7/15/25 25,000 31,409
4 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 37,820 37,940
4 Barclays Bank plc 6.050% 12/4/17 27,600 28,468
Barclays Bank plc 5.140% 10/14/20 7,935 8,356
BB&T Corp. 1.600% 8/15/17 19,775 19,798
BB&T Corp. 5.250% 11/1/19 19,000 20,516
Bear Stearns Cos. LLC 7.250% 2/1/18 14,860 15,712
BNP Paribas SA 2.400% 12/12/18 11,000 11,086
BNP Paribas SA 3.250% 3/3/23 6,750 6,784
BPCE SA 2.500% 12/10/18 15,570 15,712
BPCE SA 2.500% 7/15/19 42,100 42,335
BPCE SA 4.000% 4/15/24 25,885 26,861
4 BPCE SA 5.150% 7/21/24 37,185 37,742
Capital One Financial Corp. 4.750% 7/15/21 36,165 39,010
Capital One Financial Corp. 3.750% 4/24/24 60,945 61,721
Capital One Financial Corp. 3.200% 2/5/25 12,500 12,118
Capital One Financial Corp. 4.200% 10/29/25 9,715 9,708
Citigroup Inc. 1.750% 5/1/18 13,000 12,964
Citigroup Inc. 2.500% 9/26/18 31,000 31,274
Citigroup Inc. 2.550% 4/8/19 30,000 30,255
Citigroup Inc. 2.500% 7/29/19 29,565 29,747
Citigroup Inc. 2.400% 2/18/20 87,550 87,329
Citigroup Inc. 4.500% 1/14/22 30,140 32,112
Citigroup Inc. 4.125% 7/25/28 45,085 44,292
Citigroup Inc. 6.625% 6/15/32 9,000 10,908
Citigroup Inc. 8.125% 7/15/39 1,883 2,783
Citigroup Inc. 5.875% 1/30/42 7,460 8,802
Citigroup Inc. 5.300% 5/6/44 12,142 12,980
Compass Bank 2.750% 9/29/19 12,250 12,166
Cooperatieve Rabobank UA 2.250% 1/14/19 44,660 44,843
4 Credit Agricole SA 2.500% 4/15/19 45,420 45,608
Credit Suisse AG 1.750% 1/29/18 25,940 25,884

 

 

Credit Suisse AG 2.300% 5/28/19 18,975 19,022
Credit Suisse AG 5.300% 8/13/19 9,000 9,693
Credit Suisse AG 3.000% 10/29/21 53,710 54,179
Credit Suisse AG 3.625% 9/9/24 3,955 3,983
Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 25,000 24,921
Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22 45,685 46,033
Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 57,400 56,007
4 Danske Bank A/S 2.000% 9/8/21 41,970 40,704
Deutsche Bank AG 1.875% 2/13/18 8,730 8,677
Deutsche Bank AG 2.500% 2/13/19 12,005 11,919
4 Deutsche Bank AG 4.250% 10/14/21 45,940 46,055
4 DNB Bank ASA 2.375% 6/2/21 42,450 41,896
Fifth Third Bank 2.875% 10/1/21 8,780 8,858
Fifth Third Bank 3.850% 3/15/26 29,295 29,384
Goldman Sachs Group Inc. 5.950% 1/18/18 24,190 25,202
Goldman Sachs Group Inc. 2.900% 7/19/18 55,000 55,751
Goldman Sachs Group Inc. 7.500% 2/15/19 20,790 23,031
Goldman Sachs Group Inc. 5.375% 3/15/20 24,305 26,316
Goldman Sachs Group Inc. 2.600% 4/23/20 11,900 11,887
Goldman Sachs Group Inc. 6.000% 6/15/20 23,755 26,330
Goldman Sachs Group Inc. 2.875% 2/25/21 25,990 26,081
Goldman Sachs Group Inc. 2.625% 4/25/21 9,270 9,192
Goldman Sachs Group Inc. 5.250% 7/27/21 70,165 76,833
Goldman Sachs Group Inc. 5.750% 1/24/22 67,095 75,003
Goldman Sachs Group Inc. 3.625% 1/22/23 7,715 7,851
Goldman Sachs Group Inc. 3.500% 1/23/25 16,660 16,418
Goldman Sachs Group Inc. 4.250% 10/21/25 13,000 13,181
Goldman Sachs Group Inc. 3.500% 11/16/26 48,000 47,017
Goldman Sachs Group Inc. 6.125% 2/15/33 20,000 24,154
Goldman Sachs Group Inc. 6.450% 5/1/36 25,000 29,519
Goldman Sachs Group Inc. 6.250% 2/1/41 35,790 44,321
Goldman Sachs Group Inc. 4.800% 7/8/44 19,895 20,859
Goldman Sachs Group Inc. 4.750% 10/21/45 15,895 16,686
4 HSBC Bank plc 4.750% 1/19/21 42,960 46,001
HSBC Bank USA NA 5.875% 11/1/34 21,000 24,283
HSBC Holdings plc 3.400% 3/8/21 50,000 50,797
HSBC Holdings plc 4.000% 3/30/22 10,870 11,248
HSBC Holdings plc 3.600% 5/25/23 56,130 56,352
HSBC Holdings plc 7.625% 5/17/32 15,800 20,444
HSBC Holdings plc 6.500% 5/2/36 22,000 26,760
HSBC Holdings plc 6.100% 1/14/42 43,680 53,864
HSBC Holdings plc 5.250% 3/14/44 5,795 6,186
HSBC USA Inc. 1.625% 1/16/18 35,910 35,844
HSBC USA Inc. 2.350% 3/5/20 58,195 57,712
HSBC USA Inc. 3.500% 6/23/24 26,200 26,320
Huntington Bancshares Inc. 3.150% 3/14/21 26,950 27,315
Huntington National Bank 1.700% 2/26/18 15,000 14,994
Huntington National Bank 2.200% 4/1/19 17,850 17,849
Huntington National Bank 2.400% 4/1/20 36,530 36,333
4 ING Bank NV 3.750% 3/7/17 35,000 35,141
4 ING Bank NV 1.800% 3/16/18 51,425 51,374
JPMorgan Chase & Co. 2.000% 8/15/17 10,025 10,061
JPMorgan Chase & Co. 6.300% 4/23/19 68,310 74,504
JPMorgan Chase & Co. 2.550% 3/1/21 26,000 25,853
JPMorgan Chase & Co. 4.625% 5/10/21 14,000 15,054
JPMorgan Chase & Co. 4.350% 8/15/21 33,285 35,480
JPMorgan Chase & Co. 4.500% 1/24/22 18,260 19,647

 

 

JPMorgan Chase & Co. 3.250% 9/23/22 22,380 22,619
JPMorgan Chase & Co. 3.375% 5/1/23 36,370 36,236
JPMorgan Chase & Co. 3.875% 2/1/24 11,200 11,596
JPMorgan Chase & Co. 3.900% 7/15/25 11,560 11,881
JPMorgan Chase & Co. 3.300% 4/1/26 26,730 26,228
JPMorgan Chase & Co. 2.950% 10/1/26 75,000 71,500
JPMorgan Chase & Co. 4.125% 12/15/26 24,400 24,808
JPMorgan Chase & Co. 4.250% 10/1/27 9,275 9,492
JPMorgan Chase & Co. 5.600% 7/15/41 70,000 83,808
JPMorgan Chase & Co. 5.400% 1/6/42 16,235 19,005
JPMorgan Chase & Co. 5.625% 8/16/43 13,500 15,493
JPMorgan Chase & Co. 4.950% 6/1/45 12,000 12,797
KeyBank NA 2.350% 3/8/19 30,000 30,195
4 Macquarie Bank Ltd. 2.400% 1/21/20 10,195 10,112
Manufacturers & Traders Trust Co. 2.100% 2/6/20 14,540 14,460
Manufacturers & Traders Trust Co. 2.900% 2/6/25 20,085 19,547
Morgan Stanley 5.450% 1/9/17 15,000 15,007
Morgan Stanley 1.875% 1/5/18 9,470 9,485
Morgan Stanley 6.625% 4/1/18 25,000 26,406
Morgan Stanley 2.125% 4/25/18 104,400 104,816
Morgan Stanley 2.500% 1/24/19 43,200 43,535
Morgan Stanley 7.300% 5/13/19 53,955 60,115
Morgan Stanley 2.375% 7/23/19 35,000 35,097
Morgan Stanley 5.500% 7/24/20 15,000 16,374
Morgan Stanley 5.750% 1/25/21 13,900 15,392
Morgan Stanley 2.500% 4/21/21 30,630 30,267
Morgan Stanley 2.625% 11/17/21 30,200 29,752
Morgan Stanley 3.750% 2/25/23 23,000 23,545
Morgan Stanley 3.875% 4/29/24 22,050 22,551
Morgan Stanley 4.000% 7/23/25 20,805 21,228
Morgan Stanley 3.125% 7/27/26 36,950 35,052
Morgan Stanley 4.350% 9/8/26 15,000 15,284
Morgan Stanley 7.250% 4/1/32 51,100 69,052
Morgan Stanley 4.300% 1/27/45 24,705 24,459
National City Bank 5.800% 6/7/17 50,000 50,870
4 Nationwide Building Society 2.350% 1/21/20 22,720 22,626
Northern Trust Corp. 3.450% 11/4/20 10,285 10,734
PNC Bank NA 5.250% 1/15/17 16,000 16,017
PNC Bank NA 3.300% 10/30/24 14,645 14,725
PNC Bank NA 2.950% 2/23/25 34,775 34,010
PNC Financial Services Group Inc. 3.900% 4/29/24 40,150 40,943
Royal Bank of Canada 2.500% 1/19/21 24,750 24,759
Santander Bank NA 2.000% 1/12/18 21,075 21,023
Santander Bank NA 8.750% 5/30/18 5,225 5,633
Santander Holdings USA Inc. 2.700% 5/24/19 28,100 28,079
Santander Holdings USA Inc. 2.650% 4/17/20 19,225 18,927
Santander Issuances SAU 5.179% 11/19/25 14,600 14,691
Santander UK plc 2.500% 3/14/19 79,400 79,733
4 Skandinaviska Enskilda Banken AB 2.450% 5/27/20 50,900 50,685
State Street Corp. 5.375% 4/30/17 55,500 56,208
SunTrust Bank 3.300% 5/15/26 11,955 11,533
SunTrust Banks Inc. 2.900% 3/3/21 34,300 34,683
Svenska Handelsbanken AB 2.875% 4/4/17 57,000 57,231
Svenska Handelsbanken AB 1.875% 9/7/21 37,750 36,568
Synchrony Financial 2.600% 1/15/19 17,915 17,992
Synchrony Financial 3.000% 8/15/19 8,570 8,677
Synchrony Financial 2.700% 2/3/20 12,580 12,538

 

 

Toronto-Dominion Bank 2.500% 12/14/20 97,700 97,984
4 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 36,710 36,695
4 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 58,970 58,943
4 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 46,000 44,654
US Bancorp 3.700% 1/30/24 39,005 40,455
US Bancorp 2.375% 7/22/26 45,000 41,545
Wachovia Corp. 5.750% 2/1/18 9,500 9,899
Wachovia Corp. 6.605% 10/1/25 15,000 17,306
Wells Fargo & Co. 5.625% 12/11/17 47,000 48,734
Wells Fargo & Co. 2.150% 1/30/20 38,370 38,173
Wells Fargo & Co. 3.000% 1/22/21 27,580 27,954
Wells Fargo & Co. 4.600% 4/1/21 40,000 42,950
Wells Fargo & Co. 3.500% 3/8/22 54,840 56,345
Wells Fargo & Co. 3.450% 2/13/23 49,865 50,165
Wells Fargo & Co. 4.480% 1/16/24 34,444 36,224
Wells Fargo & Co. 3.000% 2/19/25 28,660 27,458
Wells Fargo & Co. 3.550% 9/29/25 27,170 27,008
Wells Fargo & Co. 3.000% 4/22/26 36,830 34,900
Wells Fargo & Co. 4.100% 6/3/26 33,000 33,411
Wells Fargo & Co. 3.000% 10/23/26 19,135 18,163
Wells Fargo & Co. 5.606% 1/15/44 28,551 32,100
Wells Fargo & Co. 4.650% 11/4/44 20,735 20,411
Wells Fargo & Co. 4.900% 11/17/45 16,060 16,381
Wells Fargo & Co. 4.400% 6/14/46 36,200 34,468
Wells Fargo & Co. 4.750% 12/7/46 38,790 39,151
 
Brokerage (0.0%)        
Ameriprise Financial Inc. 5.300% 3/15/20 6,625 7,169
 
Finance Companies (0.7%)        
GE Capital International Funding Co. 2.342% 11/15/20 58,112 58,042
GE Capital International Funding Co. 3.373% 11/15/25 59,548 60,336
GE Capital International Funding Co. 4.418% 11/15/35 209,754 219,529
 
Insurance (2.5%)        
Aetna Inc. 1.750% 5/15/17 2,966 2,968
Aetna Inc. 3.950% 9/1/20 4,860 5,092
Aetna Inc. 2.800% 6/15/23 27,105 26,656
Aetna Inc. 3.200% 6/15/26 43,190 42,669
Aetna Inc. 4.250% 6/15/36 27,050 27,079
4 AIG Global Funding 2.700% 12/15/21 41,815 41,718
Anthem Inc. 2.300% 7/15/18 12,045 12,116
Anthem Inc. 3.700% 8/15/21 25,635 26,498
Anthem Inc. 3.125% 5/15/22 30,450 30,316
Anthem Inc. 3.300% 1/15/23 20,000 19,946
Anthem Inc. 4.650% 8/15/44 8,832 8,926
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 32,000 33,843
Berkshire Hathaway Inc. 2.750% 3/15/23 36,055 35,922
Berkshire Hathaway Inc. 3.125% 3/15/26 23,645 23,449
Chubb INA Holdings Inc. 5.700% 2/15/17 15,000 15,073
Chubb INA Holdings Inc. 5.900% 6/15/19 15,000 16,354
Chubb INA Holdings Inc. 2.300% 11/3/20 5,235 5,227
Chubb INA Holdings Inc. 3.350% 5/15/24 20,340 20,645
Chubb INA Holdings Inc. 3.350% 5/3/26 12,280 12,408
Chubb INA Holdings Inc. 4.350% 11/3/45 24,795 26,089
Cigna Corp. 3.250% 4/15/25 43,165 41,850
CNA Financial Corp. 3.950% 5/15/24 4,335 4,376

 

 

4 Five Corners Funding Trust 4.419% 11/15/23 5,320 5,606
4 Guardian Life Global Funding 2.000% 4/26/21 12,825 12,480
4 Liberty Mutual Group Inc. 4.250% 6/15/23 11,825 12,367
4 Liberty Mutual Insurance Co. 8.500% 5/15/25 21,665 26,626
Loews Corp. 2.625% 5/15/23 14,100 13,692
4 MassMutual Global Funding II 2.100% 8/2/18 45,015 45,388
4 MassMutual Global Funding II 2.350% 4/9/19 22,000 22,217
4 MassMutual Global Funding II 2.000% 4/15/21 42,188 41,062
MetLife Inc. 1.903% 12/15/17 7,340 7,361
MetLife Inc. 3.600% 4/10/24 28,000 28,738
MetLife Inc. 4.125% 8/13/42 5,300 5,171
MetLife Inc. 4.875% 11/13/43 17,500 18,883
4 Metropolitan Life Global Funding I 1.500% 1/10/18 35,550 35,538
4 Metropolitan Life Global Funding I 1.875% 6/22/18 16,315 16,357
4 Metropolitan Life Global Funding I 3.450% 12/18/26 29,970 30,171
4 Metropolitan Life Insurance Co. 7.800% 11/1/25 25,000 31,471
4 New York Life Global Funding 1.650% 5/15/17 53,000 53,123
4 New York Life Insurance Co. 5.875% 5/15/33 44,785 53,057
Prudential Financial Inc. 4.500% 11/15/20 24,055 25,765
4 QBE Insurance Group Ltd. 2.400% 5/1/18 8,185 8,209
4 Teachers Insurance & Annuity Assn. of America 4.900% 9/15/44 11,990 12,880
Travelers Cos. Inc. 5.800% 5/15/18 8,690 9,173
Travelers Cos. Inc. 5.900% 6/2/19 9,400 10,259
UnitedHealth Group Inc. 6.000% 2/15/18 22,000 23,053
UnitedHealth Group Inc. 3.875% 10/15/20 6,786 7,114
UnitedHealth Group Inc. 2.875% 3/15/22 2,346 2,375
UnitedHealth Group Inc. 2.875% 3/15/23 12,000 12,017
UnitedHealth Group Inc. 3.100% 3/15/26 14,220 14,007
UnitedHealth Group Inc. 4.625% 7/15/35 31,295 34,002
UnitedHealth Group Inc. 6.625% 11/15/37 20,000 26,125
UnitedHealth Group Inc. 4.625% 11/15/41 36,010 37,776
UnitedHealth Group Inc. 4.250% 3/15/43 31,000 31,483
UnitedHealth Group Inc. 4.750% 7/15/45 19,035 20,963
 
Other Finance (0.1%)        
4 LeasePlan Corp. NV 2.875% 1/22/19 30,515 30,487
 
Real Estate Investment Trusts (0.3%)        
AvalonBay Communities Inc. 3.625% 10/1/20 17,315 17,940
Boston Properties LP 3.125% 9/1/23 13,520 13,229
Duke Realty LP 6.500% 1/15/18 4,819 5,042
Realty Income Corp. 5.750% 1/15/21 8,675 9,597
Simon Property Group LP 4.375% 3/1/21 22,000 23,506
Simon Property Group LP 4.125% 12/1/21 12,946 13,786
Simon Property Group LP 3.375% 10/1/24 20,470 20,601
Simon Property Group LP 3.300% 1/15/26 23,500 23,265
4 WEA Finance LLC / Westfield UK & Europe Finance plc 1.750% 9/15/17 11,670 11,678
4 WEA Finance LLC / Westfield UK & Europe Finance plc 2.700% 9/17/19 17,715 17,912
        7,909,056
Industrial (22.0%)        
Basic Industry (0.3%)        
4 Air Liquide Finance SA 2.250% 9/27/23 21,000 20,109
4 Air Liquide Finance SA 2.500% 9/27/26 16,815 15,811
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 38,275 40,341

 

 

LyondellBasell Industries NV 4.625% 2/26/55 28,625 26,381
Monsanto Co. 4.700% 7/15/64 7,025 6,320
Monsanto Finance Canada Co. 5.500% 7/30/35 15,000 16,131
Rio Tinto Finance USA plc 3.500% 3/22/22 1,454 1,502
 
Capital Goods (1.9%)        
3M Co. 6.375% 2/15/28 20,825 26,651
4 BAE Systems Holdings Inc. 2.850% 12/15/20 5,020 5,025
4 BAE Systems Holdings Inc. 3.800% 10/7/24 26,068 26,666
4 BAE Systems Holdings Inc. 3.850% 12/15/25 29,838 30,302
Caterpillar Financial Services Corp. 2.625% 3/1/23 39,500 38,825
Caterpillar Inc. 3.900% 5/27/21 32,880 34,610
Caterpillar Inc. 2.600% 6/26/22 9,575 9,496
Caterpillar Inc. 3.400% 5/15/24 19,475 19,973
Caterpillar Inc. 5.200% 5/27/41 19,770 22,743
Caterpillar Inc. 3.803% 8/15/42 20,469 19,706
Caterpillar Inc. 4.300% 5/15/44 7,885 8,193
Deere & Co. 4.375% 10/16/19 13,090 13,904
Eaton Corp. 5.300% 3/15/17 20,000 20,150
Eaton Corp. 6.500% 6/1/25 10,000 11,500
General Dynamics Corp. 3.875% 7/15/21 9,950 10,548
General Electric Capital Corp. 5.300% 2/11/21 1,806 2,002
General Electric Capital Corp. 4.650% 10/17/21 18,610 20,373
General Electric Capital Corp. 3.150% 9/7/22 16,706 17,033
General Electric Capital Corp. 3.100% 1/9/23 6,094 6,181
General Electric Capital Corp. 6.750% 3/15/32 9,962 13,205
General Electric Capital Corp. 6.150% 8/7/37 13,205 16,984
General Electric Capital Corp. 5.875% 1/14/38 27,573 34,642
General Electric Capital Corp. 6.875% 1/10/39 9,904 13,951
General Electric Co. 2.700% 10/9/22 14,000 13,982
General Electric Co. 4.500% 3/11/44 8,725 9,311
Honeywell International Inc. 4.250% 3/1/21 29,484 31,829
Illinois Tool Works Inc. 3.500% 3/1/24 42,775 44,170
John Deere Capital Corp. 2.000% 1/13/17 53,000 53,016
John Deere Capital Corp. 2.800% 1/27/23 8,000 7,969
John Deere Capital Corp. 3.350% 6/12/24 9,000 9,178
Johnson Controls International plc 5.000% 3/30/20 29,000 31,104
Johnson Controls International plc 3.750% 12/1/21 25,000 25,902
4 LafargeHolcim Finance US LLC 4.750% 9/22/46 14,970 14,465
Lockheed Martin Corp. 2.500% 11/23/20 12,340 12,438
Lockheed Martin Corp. 2.900% 3/1/25 26,840 26,134
Lockheed Martin Corp. 4.500% 5/15/36 6,715 7,129
Lockheed Martin Corp. 4.700% 5/15/46 16,650 18,112
Parker-Hannifin Corp. 4.450% 11/21/44 14,290 15,072
Raytheon Co. 3.125% 10/15/20 10,000 10,310
4 Siemens Financieringsmaatschappij NV 2.900% 5/27/22 60,840 61,112
4 Siemens Financieringsmaatschappij NV 4.400% 5/27/45 40,495 42,713
United Technologies Corp. 4.500% 4/15/20 24,170 25,931
United Technologies Corp. 3.100% 6/1/22 10,095 10,346
United Technologies Corp. 4.500% 6/1/42 38,885 41,530
 
Communication (3.4%)        
21st Century Fox America Inc. 4.500% 2/15/21 4,650 4,967
21st Century Fox America Inc. 6.200% 12/15/34 11,000 12,885
America Movil SAB de CV 3.125% 7/16/22 66,820 65,965
America Movil SAB de CV 6.125% 3/30/40 10,010 11,497
American Tower Corp. 3.450% 9/15/21 23,985 24,271

 

 

  American Tower Corp. 4.700% 3/15/22 2,905 3,100
  American Tower Corp. 5.000% 2/15/24 23,881 25,621
  AT&T Inc. 1.400% 12/1/17 15,595 15,559
  AT&T Inc. 1.750% 1/15/18 21,060 21,063
  AT&T Inc. 5.200% 3/15/20 10,125 10,871
  AT&T Inc. 2.450% 6/30/20 17,525 17,372
  AT&T Inc. 4.600% 2/15/21 4,900 5,177
  AT&T Inc. 5.000% 3/1/21 10,000 10,750
  AT&T Inc. 3.875% 8/15/21 20,000 20,605
  AT&T Inc. 4.500% 3/9/48 32,292 29,059
  CBS Corp. 4.300% 2/15/21 22,710 24,065
  Comcast Corp. 3.600% 3/1/24 60,515 62,442
  Comcast Corp. 3.150% 3/1/26 15,280 15,052
  Comcast Corp. 4.250% 1/15/33 15,060 15,597
  Comcast Corp. 4.200% 8/15/34 18,620 19,021
  Comcast Corp. 4.400% 8/15/35 22,290 23,279
  Comcast Corp. 6.450% 3/15/37 20,000 25,643
  Comcast Corp. 6.950% 8/15/37 45,000 61,208
  Comcast Corp. 4.650% 7/15/42 7,260 7,528
  Comcast Corp. 4.500% 1/15/43 20,000 20,534
  Comcast Corp. 4.750% 3/1/44 16,635 17,750
  Comcast Corp. 4.600% 8/15/45 26,430 27,470
4 Cox Communications Inc. 4.800% 2/1/35 58,525 54,453
  Crown Castle International Corp. 3.700% 6/15/26 19,465 19,084
  Deutsche Telekom International Finance BV 8.750% 6/15/30 30,000 44,059
  Discovery Communications LLC 5.625% 8/15/19 7,635 8,244
  Discovery Communications LLC 5.050% 6/1/20 13,365 14,338
  Grupo Televisa SAB 6.625% 1/15/40 13,805 14,549
  Grupo Televisa SAB 5.000% 5/13/45 5,925 5,070
  Grupo Televisa SAB 6.125% 1/31/46 13,475 13,368
4 GTP Acquisition Partners I LLC 2.350% 6/15/20 18,745 18,492
  Michigan Bell Telephone Co. 7.850% 1/15/22 23,750 28,085
4 NBCUniversal Enterprise Inc. 1.662% 4/15/18 47,135 47,175
4 NBCUniversal Enterprise Inc. 1.974% 4/15/19 84,070 84,297
  NBCUniversal Media LLC 4.375% 4/1/21 26,000 28,042
  Omnicom Group Inc. 3.600% 4/15/26 22,925 22,622
  Orange SA 9.000% 3/1/31 54,566 82,071
2,4 SBA Tower Trust 2.933% 12/15/42 28,850 28,843
4 Sky plc 2.625% 9/16/19 30,550 30,588
4 Sky plc 3.125% 11/26/22 7,000 6,920
4 Sky plc 3.750% 9/16/24 35,911 36,005
  Time Warner Cable LLC 5.850% 5/1/17 70,000 70,984
  Time Warner Cable LLC 8.750% 2/14/19 915 1,031
  Time Warner Cable LLC 8.250% 4/1/19 11,944 13,429
  Time Warner Entertainment Co. LP 8.375% 3/15/23 3,215 4,040
  Time Warner Inc. 4.750% 3/29/21 13,000 13,917
  Time Warner Inc. 6.250% 3/29/41 8,000 9,310
  Verizon Communications Inc. 3.450% 3/15/21 15,585 16,005
  Verizon Communications Inc. 3.500% 11/1/21 78,905 81,219
  Verizon Communications Inc. 6.400% 9/15/33 62,160 74,949
  Verizon Communications Inc. 6.400% 2/15/38 23,000 27,445
  Verizon Communications Inc. 4.750% 11/1/41 28,730 28,163
  Verizon Communications Inc. 6.550% 9/15/43 48,350 59,922
  Viacom Inc. 5.625% 9/15/19 10,000 10,762
  Vodafone Group plc 1.250% 9/26/17 37,000 36,930
  Vodafone Group plc 5.450% 6/10/19 26,000 27,949

 

 

  Walt Disney Co. 4.125% 6/1/44 18,320 18,891
 
  Consumer Cyclical (2.9%)        
  Alibaba Group Holding Ltd. 2.500% 11/28/19 10,480 10,523
  Alibaba Group Holding Ltd. 3.125% 11/28/21 2,035 2,035
  Alibaba Group Holding Ltd. 3.600% 11/28/24 45,610 45,268
  Amazon.com Inc. 2.500% 11/29/22 31,600 31,267
  Amazon.com Inc. 4.800% 12/5/34 55,880 61,423
  Amazon.com Inc. 4.950% 12/5/44 17,920 20,413
4 American Honda Finance Corp. 1.500% 9/11/17 15,750 15,771
4 American Honda Finance Corp. 1.600% 2/16/18 14,340 14,352
  American Honda Finance Corp. 2.125% 10/10/18 29,535 29,801
  American Honda Finance Corp. 2.300% 9/9/26 17,135 15,901
  AutoZone Inc. 4.000% 11/15/20 25,000 26,236
  AutoZone Inc. 3.700% 4/15/22 12,752 13,169
  AutoZone Inc. 3.125% 7/15/23 22,000 21,750
4 BMW US Capital LLC 2.000% 4/11/21 19,815 19,369
4 BMW US Capital LLC 2.250% 9/15/23 93,000 89,016
4 BMW US Capital LLC 2.800% 4/11/26 9,530 9,175
  CVS Health Corp. 2.750% 12/1/22 20,000 19,705
  CVS Health Corp. 4.875% 7/20/35 18,205 19,563
  CVS Health Corp. 5.125% 7/20/45 42,460 47,230
2,4 CVS Pass-Through Trust 5.926% 1/10/34 14,416 16,395
4 Daimler Finance North America LLC 2.250% 7/31/19 58,255 58,321
4 Daimler Finance North America LLC 2.450% 5/18/20 2,260 2,253
4 Daimler Finance North America LLC 2.000% 7/6/21 60,000 58,046
4 Daimler Finance North America LLC 3.875% 9/15/21 3,270 3,429
  eBay Inc. 1.350% 7/15/17 10,960 10,964
  Ford Motor Co. 4.346% 12/8/26 11,945 12,056
  Ford Motor Credit Co. LLC 2.375% 3/12/19 56,800 56,755
  Ford Motor Credit Co. LLC 3.157% 8/4/20 23,890 24,077
4 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 12,122 12,122
  Home Depot Inc. 4.400% 4/1/21 12,300 13,335
  Home Depot Inc. 2.700% 4/1/23 24,715 24,644
  Home Depot Inc. 4.400% 3/15/45 22,390 23,630
  Lowe's Cos. Inc. 6.650% 9/15/37 5,000 6,617
  Lowe's Cos. Inc. 5.800% 4/15/40 10,280 12,606
  Marriott International Inc. 2.300% 1/15/22 44,000 42,624
  McDonald's Corp. 3.500% 7/15/20 21,760 22,547
  McDonald's Corp. 2.625% 1/15/22 10,175 10,114
  McDonald's Corp. 3.250% 6/10/24 4,400 4,467
  McDonald's Corp. 4.875% 12/9/45 22,775 24,233
4 Nissan Motor Acceptance Corp. 1.950% 9/12/17 42,355 42,457
4 Nissan Motor Acceptance Corp. 1.800% 3/15/18 38,400 38,425
4 Nissan Motor Acceptance Corp. 2.650% 9/26/18 17,180 17,344
  PACCAR Financial Corp. 1.600% 3/15/17 34,687 34,722
  Target Corp. 5.375% 5/1/17 5,000 5,069
  Target Corp. 6.000% 1/15/18 16,500 17,247
  Target Corp. 2.900% 1/15/22 11,850 12,065
  Toyota Motor Credit Corp. 2.050% 1/12/17 26,000 26,005
  Toyota Motor Credit Corp. 1.750% 5/22/17 22,000 22,051
  Toyota Motor Credit Corp. 1.250% 10/5/17 34,150 34,146
4 Volkswagen Group of America Finance LLC 2.450% 11/20/19 13,860 13,821
  Wal-Mart Stores Inc. 3.625% 7/8/20 75,000 78,838
  Wal-Mart Stores Inc. 3.250% 10/25/20 6,290 6,517
  Wal-Mart Stores Inc. 4.250% 4/15/21 15,000 16,201
  Wal-Mart Stores Inc. 2.550% 4/11/23 44,450 44,067

 

 

  Wal-Mart Stores Inc. 5.625% 4/15/41 52,780 65,193
  Wal-Mart Stores Inc. 4.750% 10/2/43 20,300 22,650
  Wal-Mart Stores Inc. 4.300% 4/22/44 16,995 17,901
 
  Consumer Noncyclical (7.6%)        
  Actavis Funding SCS 3.000% 3/12/20 32,675 33,110
  Actavis Funding SCS 3.450% 3/15/22 45,660 45,788
  Actavis Funding SCS 4.550% 3/15/35 13,255 13,013
  Actavis Funding SCS 4.850% 6/15/44 14,075 13,902
  Altria Group Inc. 4.750% 5/5/21 40,806 44,458
  Altria Group Inc. 2.850% 8/9/22 11,835 11,838
  Altria Group Inc. 4.500% 5/2/43 10,105 10,233
  Amgen Inc. 3.625% 5/22/24 38,185 38,741
  Amgen Inc. 5.150% 11/15/41 27,515 28,994
4 Amgen Inc. 4.563% 6/15/48 4,615 4,440
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 63,200 64,280
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 57,035 57,828
  Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 159,135 167,192
  Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 137,375 148,392
  Anheuser-Busch InBev Worldwide Inc. 6.500% 7/15/18 30,000 32,126
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 6,635 7,378
  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,300 9,377
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 81,200 88,526
  Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 800 853
  Anheuser-Busch InBev Worldwide Inc. 3.750% 1/15/22 4,310 4,504
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 9,836 9,674
  Anheuser-Busch InBev Worldwide Inc. 4.950% 1/15/42 5,700 6,184
  Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 19,080 17,249
  AstraZeneca plc 5.900% 9/15/17 50,000 51,569
  AstraZeneca plc 1.950% 9/18/19 12,435 12,398
  AstraZeneca plc 2.375% 11/16/20 37,225 37,081
  AstraZeneca plc 3.375% 11/16/25 27,755 27,513
  AstraZeneca plc 4.375% 11/16/45 25,305 25,190
2,4,5Avery Point IV CLO Ltd. 2.402% 4/25/26 36,540 36,584
4 BAT International Finance plc 2.750% 6/15/20 17,600 17,663
4 BAT International Finance plc 3.250% 6/7/22 50,880 51,563
4 BAT International Finance plc 3.500% 6/15/22 7,440 7,614
4 BAT International Finance plc 3.950% 6/15/25 15,000 15,490
4 Bayer US Finance LLC 2.375% 10/8/19 6,140 6,150
4 Bayer US Finance LLC 3.000% 10/8/21 38,730 38,927
4 Bayer US Finance LLC 3.375% 10/8/24 9,425 9,345
  Bestfoods 6.625% 4/15/28 25,000 32,609
  Biogen Inc. 2.900% 9/15/20 17,465 17,639
  Bristol-Myers Squibb Co. 3.250% 11/1/23 16,630 17,102
  Cardinal Health Inc. 1.700% 3/15/18 2,401 2,398
  Cardinal Health Inc. 2.400% 11/15/19 22,090 22,223
  Cardinal Health Inc. 3.200% 3/15/23 11,650 11,715
  Cardinal Health Inc. 3.500% 11/15/24 20,020 20,198
  Cardinal Health Inc. 4.500% 11/15/44 23,250 22,894
4 Cargill Inc. 6.000% 11/27/17 7,000 7,284
4 Cargill Inc. 4.760% 11/23/45 57,879 61,779
  Catholic Health Initiatives Colorado GO 1.600% 11/1/17 1,935 1,936
  Catholic Health Initiatives Colorado GO 2.950% 11/1/22 17,856 17,311
2 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 30,010 26,560
  Celgene Corp. 2.250% 5/15/19 5,145 5,149
  Celgene Corp. 3.550% 8/15/22 15,160 15,490
  Celgene Corp. 3.625% 5/15/24 11,980 12,007

 

 

Celgene Corp. 5.000% 8/15/45 25,000 26,100
Coca-Cola Enterprises Inc. 3.500% 9/15/20 4,600 4,733
Coca-Cola Enterprises Inc. 4.500% 9/1/21 14,785 15,752
Coca-Cola Femsa SAB de CV 2.375% 11/26/18 25,332 25,393
Coca-Cola Femsa SAB de CV 3.875% 11/26/23 28,000 28,552
Colgate-Palmolive Co. 2.950% 11/1/20 25,000 25,652
Diageo Capital plc 2.625% 4/29/23 42,580 42,078
Diageo Investment Corp. 2.875% 5/11/22 17,245 17,317
Dignity Health California GO 2.637% 11/1/19 4,480 4,507
Dignity Health California GO 3.812% 11/1/24 9,060 8,982
Eli Lilly & Co. 3.700% 3/1/45 20,040 18,907
4 EMD Finance LLC 2.400% 3/19/20 1,100 1,094
4 EMD Finance LLC 2.950% 3/19/22 19,640 19,495
4 EMD Finance LLC 3.250% 3/19/25 39,545 38,651
Express Scripts Holding Co. 2.250% 6/15/19 14,030 14,026
4 Forest Laboratories Inc. 4.875% 2/15/21 7,125 7,615
4 Forest Laboratories LLC 5.000% 12/15/21 23,725 25,593
General Mills Inc. 5.650% 2/15/19 6,850 7,359
5 General Mills Inc. 6.390% 2/5/23 50,000 56,780
Gilead Sciences Inc. 2.550% 9/1/20 15,245 15,359
Gilead Sciences Inc. 2.500% 9/1/23 26,390 25,398
Gilead Sciences Inc. 3.700% 4/1/24 21,420 21,981
Gilead Sciences Inc. 3.500% 2/1/25 28,575 28,655
Gilead Sciences Inc. 4.500% 2/1/45 55,782 55,535
Gilead Sciences Inc. 4.750% 3/1/46 13,200 13,672
GlaxoSmithKline Capital Inc. 2.800% 3/18/23 25,750 25,779
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 16,055 18,719
GlaxoSmithKline Capital plc 2.850% 5/8/22 51,595 51,914
4 Imperial Tobacco Finance plc 3.750% 7/21/22 58,995 60,601
Johnson & Johnson 6.730% 11/15/23 15,000 18,582
Johnson & Johnson 2.450% 3/1/26 78,000 74,527
Kaiser Foundation Hospitals 3.500% 4/1/22 19,815 20,316
Kaiser Foundation Hospitals 4.875% 4/1/42 12,710 13,812
Kimberly-Clark Corp. 6.250% 7/15/18 25,000 26,754
Kraft Foods Group Inc. 2.250% 6/5/17 10,085 10,110
Kraft Heinz Foods Co. 5.000% 7/15/35 7,370 7,718
Kraft Heinz Foods Co. 4.375% 6/1/46 24,920 23,342
2 Mayo Clinic 4.128% 11/15/52 11,465 11,199
McKesson Corp. 2.700% 12/15/22 7,010 6,805
McKesson Corp. 2.850% 3/15/23 6,840 6,684
McKesson Corp. 3.796% 3/15/24 9,525 9,788
Medtronic Inc. 1.375% 4/1/18 16,225 16,187
Medtronic Inc. 2.500% 3/15/20 25,335 25,549
Medtronic Inc. 3.150% 3/15/22 61,030 62,338
Medtronic Inc. 3.625% 3/15/24 7,510 7,802
Medtronic Inc. 3.500% 3/15/25 62,791 64,366
Medtronic Inc. 4.375% 3/15/35 21,968 23,148
Memorial Sloan-Kettering Cancer Center New York GO 5.000% 7/1/42 11,505 12,902
Memorial Sloan-Kettering Cancer Center New York GO 4.125% 7/1/52 6,535 6,284
Memorial Sloan-Kettering Cancer Center New York GO 4.200% 7/1/55 10,430 10,124
Merck & Co. Inc. 3.875% 1/15/21 30,000 31,803
Merck & Co. Inc. 2.350% 2/10/22 24,825 24,549
Merck & Co. Inc. 2.800% 5/18/23 15,650 15,605
Merck & Co. Inc. 2.750% 2/10/25 38,000 37,188

 

 

Merck & Co. Inc. 4.150% 5/18/43 28,405 29,011
Merck Sharp & Dohme Corp. 5.000% 6/30/19 18,000 19,412
Molson Coors Brewing Co. 3.500% 5/1/22 14,905 15,325
Molson Coors Brewing Co. 5.000% 5/1/42 5,710 5,955
New York & Presbyterian Hospital 4.024% 8/1/45 22,955 22,294
Novartis Capital Corp. 3.400% 5/6/24 13,425 13,803
Novartis Capital Corp. 4.400% 5/6/44 21,485 23,048
Partners Healthcare System Massachusetts        
GO 3.443% 7/1/21 2,000 2,028
PepsiCo Inc. 3.125% 11/1/20 48,610 50,187
PepsiCo Inc. 2.375% 10/6/26 72,545 68,323
PepsiCo Inc. 4.000% 3/5/42 35,200 34,880
PepsiCo Inc. 3.450% 10/6/46 45,740 41,401
Pfizer Inc. 3.000% 6/15/23 25,440 25,753
Pfizer Inc. 3.000% 12/15/26 45,100 44,373
Philip Morris International Inc. 4.500% 3/26/20 25,000 26,720
Philip Morris International Inc. 1.875% 2/25/21 43,455 42,453
Philip Morris International Inc. 4.125% 5/17/21 15,705 16,765
Philip Morris International Inc. 2.500% 8/22/22 13,250 12,960
Philip Morris International Inc. 2.625% 3/6/23 23,000 22,606
Philip Morris International Inc. 4.500% 3/20/42 11,665 11,809
Philip Morris International Inc. 3.875% 8/21/42 22,785 21,263
Philip Morris International Inc. 4.875% 11/15/43 5,835 6,329
Philip Morris International Inc. 4.250% 11/10/44 15,000 14,788
2 Procter & Gamble - Esop 9.360% 1/1/21 11,459 13,321
Procter & Gamble Co. 5.550% 3/5/37 2,388 3,085
Providence St. Joseph Health Obligated        
Group 2.746% 10/1/26 18,290 17,218
2 Providence St. Joseph Health Obligated        
Group 3.744% 10/1/47 11,430 10,535
4 Roche Holdings Inc. 2.875% 9/29/21 26,150 26,545
4 Roche Holdings Inc. 2.375% 1/28/27 61,570 57,376
Sanofi 4.000% 3/29/21 36,275 38,441
4 Sigma Alimentos SA de CV 4.125% 5/2/26 27,145 25,878
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21 6,765 6,854
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 36,645 34,447
Teva Pharmaceutical Finance Netherlands III        
BV 3.150% 10/1/26 8,895 8,188
Teva Pharmaceutical Finance Netherlands III        
BV 4.100% 10/1/46 18,550 15,824
The Kroger Co. 3.300% 1/15/21 13,605 13,954
The Kroger Co. 3.850% 8/1/23 5,055 5,251
The Kroger Co. 3.875% 10/15/46 28,920 26,377
Thermo Fisher Scientific Inc. 1.850% 1/15/18 18,975 19,001
Unilever Capital Corp. 4.250% 2/10/21 78,185 83,892
Wyeth LLC 5.950% 4/1/37 15,000 18,867
 
Energy (2.9%)        
4 BG Energy Capital plc 4.000% 10/15/21 17,070 18,081
BP Capital Markets plc 4.750% 3/10/19 18,140 19,198
BP Capital Markets plc 2.315% 2/13/20 3,760 3,766
BP Capital Markets plc 4.500% 10/1/20 28,000 29,961
BP Capital Markets plc 4.742% 3/11/21 10,000 10,864
BP Capital Markets plc 3.062% 3/17/22 35,770 36,074
BP Capital Markets plc 3.245% 5/6/22 10,000 10,182
BP Capital Markets plc 2.500% 11/6/22 8,000 7,819

 

 

BP Capital Markets plc 3.994% 9/26/23 13,130 13,780
BP Capital Markets plc 3.814% 2/10/24 38,000 39,275
BP Capital Markets plc 3.506% 3/17/25 41,710 42,023
Chevron Corp. 2.355% 12/5/22 6,000 5,883
Chevron Corp. 3.191% 6/24/23 69,750 71,354
ConocoPhillips 5.750% 2/1/19 6,365 6,837
ConocoPhillips 6.000% 1/15/20 3,115 3,438
ConocoPhillips 7.000% 3/30/29 11,500 13,999
ConocoPhillips Co. 4.200% 3/15/21 17,925 19,017
ConocoPhillips Co. 2.875% 11/15/21 21,951 22,090
ConocoPhillips Co. 3.350% 11/15/24 10,275 10,275
ConocoPhillips Co. 3.350% 5/15/25 24,815 24,582
ConocoPhillips Co. 4.950% 3/15/26 12,710 14,001
ConocoPhillips Co. 4.300% 11/15/44 48,640 48,264
Devon Energy Corp. 3.250% 5/15/22 15,905 15,808
Dominion Gas Holdings LLC 3.550% 11/1/23 14,085 14,238
Dominion Gas Holdings LLC 4.800% 11/1/43 10,000 10,350
Enterprise Products Operating LLC 4.900% 5/15/46 5,000 5,112
EOG Resources Inc. 5.625% 6/1/19 16,285 17,588
Exxon Mobil Corp. 2.222% 3/1/21 12,735 12,744
Exxon Mobil Corp. 2.726% 3/1/23 10,710 10,716
Exxon Mobil Corp. 3.043% 3/1/26 7,330 7,297
Exxon Mobil Corp. 4.114% 3/1/46 10,845 11,079
Halliburton Co. 3.500% 8/1/23 67,975 69,175
Noble Energy Inc. 4.150% 12/15/21 14,890 15,550
Occidental Petroleum Corp. 4.100% 2/1/21 27,466 29,185
Occidental Petroleum Corp. 2.700% 2/15/23 9,250 9,147
Occidental Petroleum Corp. 3.400% 4/15/26 33,675 33,861
Occidental Petroleum Corp. 4.400% 4/15/46 35,145 35,621
Phillips 66 4.300% 4/1/22 30,000 32,201
Phillips 66 4.875% 11/15/44 8,855 9,310
4 Schlumberger Holdings Corp. 3.000% 12/21/20 25,500 25,974
4 Schlumberger Investment SA 2.400% 8/1/22 20,765 20,398
Shell International Finance BV 4.375% 3/25/20 16,000 17,061
Shell International Finance BV 2.250% 11/10/20 49,900 49,716
Shell International Finance BV 3.250% 5/11/25 28,680 28,576
Shell International Finance BV 4.125% 5/11/35 38,475 39,031
Shell International Finance BV 5.500% 3/25/40 10,795 12,541
Shell International Finance BV 4.375% 5/11/45 95,725 97,165
Suncor Energy Inc. 6.100% 6/1/18 13,825 14,594
Suncor Energy Inc. 3.600% 12/1/24 19,505 19,827
Suncor Energy Inc. 5.950% 12/1/34 13,000 15,260
Sunoco Logistics Partners Operations LP 4.400% 4/1/21 25,945 27,322
Texaco Capital Inc. 8.625% 4/1/32 25,000 36,347
Total Capital International SA 1.550% 6/28/17 38,435 38,486
Total Capital International SA 2.700% 1/25/23 32,714 32,371
Total Capital International SA 3.750% 4/10/24 50,000 52,297
TransCanada PipeLines Ltd. 3.800% 10/1/20 30,875 32,184
TransCanada PipeLines Ltd. 2.500% 8/1/22 21,165 20,699
TransCanada PipeLines Ltd. 4.875% 1/15/26 58,060 64,432
 
Other Industrial (0.1%)        
George Washington University District of        
Columbia GO 3.545% 9/15/46 10,000 8,593
4 Hutchison Whampoa International Ltd. 5.750% 9/11/19 12,000 13,087
4 Hutchison Whampoa International Ltd. 3.500% 1/13/17 19,660 19,660

 

 

2 Johns Hopkins University Maryland GO 4.083% 7/1/53 24,695 24,628
 
Technology (2.3%)        
Apple Inc. 2.850% 5/6/21 34,300 34,954
Apple Inc. 2.850% 2/23/23 43,845 43,869
Apple Inc. 3.450% 5/6/24 31,140 32,077
Apple Inc. 3.250% 2/23/26 38,220 38,280
Apple Inc. 2.450% 8/4/26 55,182 51,703
Apple Inc. 3.850% 5/4/43 15,275 14,644
Apple Inc. 4.450% 5/6/44 4,035 4,179
Apple Inc. 3.850% 8/4/46 36,510 35,027
Cisco Systems Inc. 4.450% 1/15/20 25,000 26,788
Cisco Systems Inc. 2.200% 2/28/21 78,505 78,306
Cisco Systems Inc. 2.900% 3/4/21 10,700 10,930
Cisco Systems Inc. 2.500% 9/20/26 15,921 15,112
Intel Corp. 3.300% 10/1/21 10,000 10,376
Intel Corp. 4.100% 5/19/46 47,755 47,528
International Business Machines Corp. 5.700% 9/14/17 41,710 42,954
International Business Machines Corp. 3.375% 8/1/23 61,300 62,588
International Business Machines Corp. 3.625% 2/12/24 22,800 23,646
International Business Machines Corp. 7.000% 10/30/25 25,000 31,917
Microsoft Corp. 3.000% 10/1/20 10,000 10,320
Microsoft Corp. 2.375% 2/12/22 19,865 19,771
Microsoft Corp. 3.625% 12/15/23 13,500 14,190
Microsoft Corp. 2.700% 2/12/25 23,890 23,361
Microsoft Corp. 3.125% 11/3/25 26,300 26,533
Microsoft Corp. 2.400% 8/8/26 64,501 60,574
Microsoft Corp. 3.450% 8/8/36 53,965 51,243
Microsoft Corp. 4.500% 10/1/40 18,210 19,371
Microsoft Corp. 4.450% 11/3/45 61,885 65,549
Microsoft Corp. 3.700% 8/8/46 50,485 47,440
Oracle Corp. 5.000% 7/8/19 35,000 37,697
Oracle Corp. 1.900% 9/15/21 70,285 68,657
Oracle Corp. 2.500% 5/15/22 38,860 38,447
Oracle Corp. 2.400% 9/15/23 63,535 61,367
Oracle Corp. 2.950% 5/15/25 11,300 11,045
 
Transportation (0.6%)        
Burlington Northern Santa Fe LLC 3.050% 3/15/22 7,235 7,408
4 ERAC USA Finance LLC 6.375% 10/15/17 36,290 37,601
4 ERAC USA Finance LLC 2.350% 10/15/19 12,165 12,151
4 ERAC USA Finance LLC 4.500% 8/16/21 10,270 10,936
4 ERAC USA Finance LLC 3.300% 10/15/22 745 745
4 ERAC USA Finance LLC 7.000% 10/15/37 3,775 4,777
4 ERAC USA Finance LLC 5.625% 3/15/42 31,000 33,937
FedEx Corp. 2.700% 4/15/23 15,810 15,621
FedEx Corp. 4.900% 1/15/34 25,040 26,598
FedEx Corp. 3.875% 8/1/42 4,505 4,087
FedEx Corp. 5.100% 1/15/44 26,055 28,195
FedEx Corp. 4.550% 4/1/46 14,460 14,534
Kansas City Southern 4.950% 8/15/45 28,170 28,568
Ryder System Inc. 2.500% 3/1/18 32,000 32,246
United Parcel Service Inc. 2.450% 10/1/22 17,095 17,000
United Parcel Service Inc. 4.875% 11/15/40 14,810 16,919
        10,937,976

 

 

Utilities (4.1%)        
Electric (3.7%)        
Alabama Power Co. 5.550% 2/1/17 11,765 11,802
Alabama Power Co. 3.750% 3/1/45 20,255 19,104
Ameren Illinois Co. 2.700% 9/1/22 58,000 58,137
Baltimore Gas & Electric Co. 2.800% 8/15/22 26,250 26,339
Baltimore Gas & Electric Co. 2.400% 8/15/26 20,945 19,535
Berkshire Hathaway Energy Co. 6.125% 4/1/36 33,795 42,260
Berkshire Hathaway Energy Co. 6.500% 9/15/37 66,165 85,744
Commonwealth Edison Co. 4.350% 11/15/45 6,815 7,135
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 9,500 11,492
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 50,000 64,362
Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 30,855 32,648
Delmarva Power & Light Co. 3.500% 11/15/23 9,550 9,820
5 Dominion Resources Inc. 2.962% 7/1/19 17,030 17,234
Dominion Resources Inc. 4.450% 3/15/21 30,000 32,038
Dominion Resources Inc. 3.625% 12/1/24 23,850 23,989
Duke Energy Carolinas LLC 5.250% 1/15/18 20,980 21,769
Duke Energy Carolinas LLC 3.900% 6/15/21 11,045 11,718
Duke Energy Carolinas LLC 6.000% 12/1/28 5,000 6,192
Duke Energy Carolinas LLC 6.100% 6/1/37 13,915 17,118
Duke Energy Carolinas LLC 4.250% 12/15/41 6,375 6,512
Duke Energy Carolinas LLC 4.000% 9/30/42 5,205 5,162
Duke Energy Corp. 1.625% 8/15/17 34,840 34,882
Duke Energy Corp. 2.650% 9/1/26 17,480 16,299
Duke Energy Corp. 4.800% 12/15/45 37,600 39,656
Duke Energy Corp. 3.750% 9/1/46 14,740 13,247
Duke Energy Progress LLC 2.800% 5/15/22 20,140 20,346
Duke Energy Progress LLC 6.300% 4/1/38 1,625 2,095
Duke Energy Progress LLC 4.200% 8/15/45 42,055 42,747
Entergy Corp. 2.950% 9/1/26 22,080 20,677
Eversource Energy 4.500% 11/15/19 1,880 1,995
Eversource Energy 3.150% 1/15/25 6,775 6,680
Florida Power & Light Co. 6.200% 6/1/36 22,452 28,538
Florida Power & Light Co. 5.250% 2/1/41 29,745 35,040
Florida Power & Light Co. 4.125% 2/1/42 20,000 20,613
4 Fortis Inc. 3.055% 10/4/26 44,365 41,383
Georgia Power Co. 5.700% 6/1/17 50,000 50,891
Georgia Power Co. 5.950% 2/1/39 30,476 36,754
Georgia Power Co. 5.400% 6/1/40 10,136 11,573
Georgia Power Co. 4.750% 9/1/40 16,105 16,973
Georgia Power Co. 4.300% 3/15/42 47,540 48,409
MidAmerican Energy Co. 5.750% 11/1/35 9,925 12,012
MidAmerican Energy Co. 4.250% 5/1/46 13,105 13,480
Mississippi Power Co. 4.250% 3/15/42 20,000 17,293
4 Monongahela Power Co. 4.100% 4/15/24 11,000 11,521
National Rural Utilities Cooperative Finance        
Corp. 3.050% 2/15/22 13,800 14,086
National Rural Utilities Cooperative Finance        
Corp. 2.850% 1/27/25 32,210 31,459
NextEra Energy Capital Holdings Inc. 2.700% 9/15/19 30,500 30,911
Oklahoma Gas & Electric Co. 6.500% 4/15/28 10,000 12,129
Oncor Electric Delivery Co. LLC 4.100% 6/1/22 13,935 14,871
Oncor Electric Delivery Co. LLC 2.950% 4/1/25 31,858 31,512
Oncor Electric Delivery Co. LLC 5.250% 9/30/40 11,325 13,134
Oncor Electric Delivery Co. LLC 4.550% 12/1/41 1,025 1,093
Pacific Gas & Electric Co. 4.250% 5/15/21 8,335 8,869

 

 

  Pacific Gas & Electric Co. 2.450% 8/15/22 45,000 44,407
  Pacific Gas & Electric Co. 3.750% 8/15/42 35,460 33,226
  PacifiCorp 2.950% 6/1/23 14,835 14,904
  PacifiCorp 3.600% 4/1/24 20,000 20,775
  PacifiCorp 3.350% 7/1/25 15,354 15,570
  PacifiCorp 5.750% 4/1/37 14,188 17,360
  Potomac Electric Power Co. 6.500% 11/15/37 8,000 10,470
  PPL Electric Utilities Corp. 2.500% 9/1/22 12,830 12,620
  PPL Electric Utilities Corp. 6.250% 5/15/39 2,675 3,460
  Progress Energy Inc. 3.150% 4/1/22 20,800 20,976
  Public Service Electric & Gas Co. 3.500% 8/15/20 10,000 10,380
  Puget Sound Energy Inc. 4.434% 11/15/41 19,880 20,868
  South Carolina Electric & Gas Co. 6.050% 1/15/38 15,980 19,745
  South Carolina Electric & Gas Co. 5.450% 2/1/41 6,995 8,100
  South Carolina Electric & Gas Co. 4.350% 2/1/42 29,880 30,284
  South Carolina Electric & Gas Co. 4.100% 6/15/46 18,810 18,773
  South Carolina Electric & Gas Co. 5.100% 6/1/65 19,550 21,473
  Southern California Edison Co. 5.500% 8/15/18 31,730 33,714
  Southern California Edison Co. 3.875% 6/1/21 24,860 26,294
  Southern California Edison Co. 2.400% 2/1/22 8,270 8,272
  Southern California Edison Co. 4.500% 9/1/40 5,150 5,483
  Southern California Edison Co. 3.600% 2/1/45 8,160 7,702
  Southern Co. 2.950% 7/1/23 44,985 44,369
  Southwestern Electric Power Co. 2.750% 10/1/26 25,000 23,562
  Tampa Electric Co. 2.600% 9/15/22 20,205 19,863
  Virginia Electric & Power Co. 5.950% 9/15/17 50,000 51,468
  Virginia Electric & Power Co. 6.000% 5/15/37 9,435 11,667
  Wisconsin Electric Power Co. 5.700% 12/1/36 13,825 16,830
  Xcel Energy Inc. 3.350% 12/1/26 33,370 33,314
 
  Natural Gas (0.4%)        
4 KeySpan Gas East Corp. 2.742% 8/15/26 37,580 35,626
4 KeySpan Gas East Corp. 5.819% 4/1/41 5,060 6,028
  NiSource Finance Corp. 6.400% 3/15/18 19,895 20,950
  NiSource Finance Corp. 6.250% 12/15/40 10,000 12,327
  Nisource Finance Corp. 5.250% 2/15/43 13,546 14,960
  NiSource Finance Corp. 4.800% 2/15/44 8,500 8,936
  Sempra Energy 2.850% 11/15/20 11,900 11,985
  Sempra Energy 2.875% 10/1/22 14,066 13,919
  Sempra Energy 6.000% 10/15/39 36,184 43,047
  Southern California Gas Co. 2.600% 6/15/26 28,885 27,687
          2,032,672
Total Corporate Bonds (Cost $20,366,068)       20,879,704
Sovereign Bonds (3.0%)        
4 CDP Financial Inc. 4.400% 11/25/19 22,000 23,491
4 Electricite de France SA 4.600% 1/27/20 31,972 33,880
4 Electricite de France SA 4.875% 1/22/44 2,910 2,801
4 Electricite de France SA 4.950% 10/13/45 12,500 12,706
2,4 Electricite de France SA 5.250% 1/29/49 17,185 16,240
2,4 Electricite de France SA 5.625% 12/29/49 8,445 7,938
  Export-Import Bank of Korea 1.750% 5/26/19 70,100 69,705
6 Japan 0.000% 2/13/17 8,100,000 69,326
6 Japan 0.000% 2/27/17 2,740,000 23,454
6 Japan 0.000% 3/6/17 5,690,000 48,709
6 Japan 0.000% 3/21/17 8,520,000 72,951
4 Kingdom of Saudi Arabia 2.375% 10/26/21 31,570 30,650

 

 

Korea Development Bank 2.875% 8/22/18 32,285 32,823
Korea Development Bank 2.500% 3/11/20 62,550 62,282
4 Petroleos Mexicanos 5.500% 2/4/19 10,825 11,282
7 Province of New Brunswick 0.000% 1/17/17 26,000 19,360
7 Province of New Brunswick 0.000% 1/24/17 25,000 18,614
Province of New Brunswick 5.200% 2/21/17 30,000 30,174
7 Province of Ontario 0.000% 1/11/17 10,000 7,447
7 Province of Ontario 0.000% 1/18/17 19,428 14,466
7 Province of Ontario 0.000% 2/1/17 35,000 26,055
Province of Ontario 4.400% 4/14/20 48,000 51,567
Province of Ontario 2.500% 4/27/26 100,400 96,586
7 Province of Quebec 0.000% 1/20/17 28,000 20,847
Province of Quebec 2.500% 4/20/26 134,755 128,481
4 Sinopec Group Overseas Development 2015        
Ltd. 2.500% 4/28/20 51,685 51,274
4 Sinopec Group Overseas Development 2015        
Ltd. 3.250% 4/28/25 51,685 49,495
4 Sinopec Group Overseas Development 2016        
Ltd. 3.500% 5/3/26 28,000 27,195
4 State Grid Overseas Investment 2014 Ltd. 2.750% 5/7/19 41,455 41,989
Statoil ASA 3.125% 8/17/17 33,000 33,370
Statoil ASA 5.250% 4/15/19 8,895 9,547
Statoil ASA 2.250% 11/8/19 16,095 16,174
Statoil ASA 2.900% 11/8/20 22,450 22,859
Statoil ASA 2.750% 11/10/21 31,091 31,343
Statoil ASA 2.450% 1/17/23 10,840 10,560
Statoil ASA 2.650% 1/15/24 10,105 9,876
Statoil ASA 3.700% 3/1/24 20,035 20,892
Statoil ASA 3.250% 11/10/24 22,425 22,657
4 Temasek Financial I Ltd. 2.375% 1/23/23 39,070 38,088
8 United Kingdom Treasury Bill 0.000% 1/3/17 60,000 73,931
8 United Kingdom Treasury Bill 0.000% 1/9/17 60,300 74,356
United Mexican States 3.500% 1/21/21 11,250 11,462
United Mexican States 3.600% 1/30/25 9,855 9,519
United Mexican States 4.750% 3/8/44 13,870 12,716
Total Sovereign Bonds (Cost $1,518,909)       1,499,138
Taxable Municipal Bonds (2.7%)        
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 33,860 45,999
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 22,775 32,217
California GO 5.700% 11/1/21 15,655 17,961
California GO 7.550% 4/1/39 45,525 67,605
California GO 7.300% 10/1/39 4,460 6,299
California GO 7.625% 3/1/40 2,345 3,446
California GO 7.600% 11/1/40 47,525 71,518
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 4,445 5,313
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 14,590 16,363
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 13,390 17,477
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 55,190 68,919
Chicago Transit Authority 6.899% 12/1/40 24,650 30,782
Commonwealth Financing Authority 4.144% 6/1/38 22,735 21,863
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 22,485 29,332

 

 

District of Columbia Income Tax Revenue 5.591% 12/1/34 6,480 7,889
Duke University North Carolina Revenue 5.850% 4/1/37 62,165 79,049
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 42,806 52,708
Houston TX GO 6.290% 3/1/32 21,830 25,962
Illinois GO 5.100% 6/1/33 50,105 44,769
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 16,525 20,760
Kansas Development Finance Authority        
Revenue 4.927% 4/15/45 44,345 47,310
Los Angeles CA Community College District        
GO 6.750% 8/1/49 12,915 18,558
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 28,590 39,123
Los Angeles CA Unified School District GO 5.750% 7/1/34 30,000 36,986
Louisville & Jefferson County KY Metropolitan        
Sewer District Sewer & Drainage System        
Revenue 6.250% 5/15/43 11,000 14,195
Maryland Transportation Authority Facilities        
Projects Revenue 5.888% 7/1/43 12,005 14,973
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.715% 8/15/39 15,000 18,844
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 28,975 41,739
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 2,000 2,794
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.790% 6/15/41 1,805 1,996
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 12,820 16,561
New York Metropolitan Transportation        
Authority Revenue 6.814% 11/15/40 5,600 7,468
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 2,430 3,572
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 16,940 21,487
New York State Thruway Authority Revenue 5.883% 4/1/30 29,670 35,345
North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 31,790 44,395
Oregon Department of Transportation        
Highway User Tax Revenue 5.834% 11/15/34 14,510 18,270
Oregon School Boards Association GO 4.759% 6/30/28 15,000 16,628
Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 9,605 11,522
Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 5,665 7,096
Port Authority of New York & New Jersey        
Revenue 4.458% 10/1/62 58,000 58,193
Port Authority of New York & New Jersey        
Revenue 4.810% 10/15/65 10,910 11,666
Princeton University New Jersey GO 5.700% 3/1/39 13,020 17,056
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 6,175 7,924
Texas Transportation Commission Revenue 5.178% 4/1/30 12,275 14,495
University of California 3.931% 5/15/45 18,275 18,090
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 16,165 21,210
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 20,890 27,267
University of California Revenue 4.601% 5/15/31 19,390 21,358

 

 

University of California Revenue 5.770% 5/15/43 23,675 28,946
University of California Revenue 4.765% 5/15/44 4,740 4,991
Utah GO 3.289% 7/1/20 21,900 22,820
9 Wisconsin GO 5.700% 5/1/26 9,000 10,494
Total Taxable Municipal Bonds (Cost $1,195,156)       1,349,603
 
      Shares  
Common Stocks (38.3%)        
Consumer Discretionary (1.1%)        
McDonald's Corp.     2,734,690 332,866
VF Corp.     3,902,000 208,172
        541,038
Consumer Staples (5.2%)        
Philip Morris International Inc.     7,177,760 656,693
British American Tobacco plc     5,701,553 323,140
Coca-Cola Co.     7,468,060 309,626
Unilever NV     6,825,790 280,267
Kraft Heinz Co.     3,163,286 276,218
Altria Group Inc.     3,544,640 239,688
PepsiCo Inc.     1,995,270 208,765
Diageo plc ADR     1,261,460 131,116
Procter & Gamble Co.     1,514,780 127,363
        2,552,876
Energy (4.9%)        
Chevron Corp.     4,381,740 515,731
Exxon Mobil Corp.     4,677,210 422,165
Suncor Energy Inc.     12,581,320 411,283
Occidental Petroleum Corp.     4,642,670 330,698
^ TransCanada Corp.     5,742,420 258,925
Phillips 66     2,787,930 240,905
Marathon Petroleum Corp.     3,860,150 194,359
Enbridge Inc.     1,804,590 76,009
        2,450,075
Financials (6.0%)        
JPMorgan Chase & Co.     9,557,280 824,698
Wells Fargo & Co.     14,809,612 816,158
BlackRock Inc.     925,880 352,334
MetLife Inc.     6,043,880 325,705
Chubb Ltd.     1,994,143 263,466
Thomson Reuters Corp.     4,230,490 185,211
BB&T Corp.     2,524,200 118,688
National Bank of Canada     2,544,300 103,333
        2,989,593
Health Care (5.1%)        
Johnson & Johnson     5,667,530 652,956
Pfizer Inc.     17,670,247 573,930
Merck & Co. Inc.     8,805,270 518,366
Novartis AG     3,189,865 231,978
Eli Lilly & Co.     2,814,900 207,036
Bristol-Myers Squibb Co.     3,416,700 199,672
Roche Holding AG     718,303 163,739
        2,547,677
Industrials (4.2%)        
General Electric Co.     18,685,070 590,448
Eaton Corp. plc     5,818,330 390,352

 

 

Union Pacific Corp.     3,263,640 338,374
Caterpillar Inc.     2,296,700 212,996
3M Co.     1,174,030 209,647
Lockheed Martin Corp.     783,880 195,923
United Parcel Service Inc. Class B     1,449,330 166,151
        2,103,891
Information Technology (5.5%)        
Microsoft Corp.     15,437,220 959,269
Cisco Systems Inc.     18,989,060 573,849
Intel Corp.     13,654,550 495,250
Analog Devices Inc.     4,344,597 315,505
QUALCOMM Inc.     3,132,700 204,252
Maxim Integrated Products Inc.     4,213,370 162,510
        2,710,635
Materials (1.3%)        
Dow Chemical Co.     5,567,490 318,572
^ Agrium Inc.     2,050,579 206,186
International Paper Co.     1,969,510 104,502
Nucor Corp.     547,450 32,584
        661,844
Telecommunication Services (1.6%)        
Verizon Communications Inc.     10,117,526 540,074
BCE Inc.     5,676,180 245,327
        785,401
Utilities (3.4%)        
Dominion Resources Inc.     6,400,870 490,242
Eversource Energy     4,704,850 259,849
Duke Energy Corp.     3,236,120 251,188
Xcel Energy Inc.     5,113,360 208,114
NextEra Energy Inc.     1,602,180 191,396
National Grid plc     13,290,088 155,279
Sempra Energy     1,484,300 149,380
        1,705,448
Total Common Stocks (Cost $14,107,706)       19,048,478
 
  Coupon      
Temporary Cash Investments (0.8%)        
Money Market Fund (0.7%)        
10,11 Vanguard Market Liquidity Fund 0.823%   3,289,408 328,974
 
      Face  
    Maturity Amount  
    Date ($000)  
Repurchase Agreements (0.1%)        
Bank of America Securities, LLC        
(Dated 12/30/16, Repurchase Value        
$6,800,000, collateralized by Government        
National Mortgage Assn., 4.358%-4.372%,        
11/20/66-12/20/66, with a value of        
$6,936,000) 0.480% 1/3/17 6,800 6,800
Deutsche Bank Securities, Inc.        
(Dated 12/30/16, Repurchase Value        
$38,302,000, collateralized by U.S.        
Treasury Note/Bond 1.125%, 7/31/21, with        
a value of $39,066,000) 0.510% 1/3/17 38,300 38,300

 

 

HSBC Bank USA        
(Dated 12/30/16, Repurchase Value        
$25,901,000, collateralized by U.S.        
Treasury Note/Bond 1.625%-3.375%,        
6/30/20-5/15/44, with a value of        
$26,421,000) 0.460% 1/3/17 25,900 25,900
RBC Capital Markets LLC        
(Dated 12/30/16, Repurchase Value        
$900,000, collateralized by Federal Home        
Loan Mortgage Corp. 2.905%, 6/1/37, and        
Government National Mortgage Assn.,        
4.000%, 9/20/46, with a value of $919,000) 0.400% 1/3/17 900 900
RBS Securities, Inc.        
(Dated 12/30/16, Repurchase Value        
$5,600,000, collateralized by U.S. Treasury        
Note/Bond 0.625%, 4/30/18, with a value of        
$5,716,000) 0.470% 1/3/17 5,600 5,600
        77,500
Total Temporary Cash Investments (Cost $406,469)       406,474
Total Investments (99.9%) (Cost $44,049,867)       49,641,239
 
        Amount
        ($000)
Other Assets and Liabilities-Net (0.1%)11,12       43,258
Net Assets (100%)       49,684,497

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $314,823,000.
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 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.
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 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 December 31, 2016, the
aggregate value of these securities was $4,107,864,000, representing 8.3% of net assets.
5 Adjustable-rate security.
6 Face amount denominated in Japanese yen.
7 Face amount denominated in Canadian dollars.
8 Face amount denominated in British pounds.
9 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
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 Includes $328,937,000 of collateral received for securities on loan.
12 Cash of $1,122,000 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 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. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its 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, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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 December 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,267,875 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,189,967 —
Corporate Bonds — 20,879,704 —
Sovereign Bonds — 1,499,138 —
Taxable Municipal Bonds — 1,349,603 —
Common Stocks 18,174,342 874,136 —
Temporary Cash Investments 328,974 77,500 —
Futures Contracts—Liabilities1 (266) — —
Forward Currency Contracts—Assets — 18,698 —
Total 18,503,050 31,156,621 —

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 December 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
 
 
    Number of Aggregate Unrealized
    Long (Short) Settlement Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
10-Year U.S. Treasury Note March 2017 (774) (96,194) (1,024)

 

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

H. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At December 31, 2016, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.

 

 

Contract Amount (000)
    Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
J.P. Morgan Securities, Inc. 1/3/17 USD 78,037 GBP 60,000 4,086
Goldman Sachs International 1/9/17 USD 76,001 GBP 60,300 1,668
Citbank, N.A 3/21/17 USD 75,598 JPY 8,520,000 2,403
Bank of America, N.A 2/13/17 USD 75,326 JPY 8,100,000 5,860
J.P. Morgan Securities, Inc. 3/6/17 USD 50,983 JPY 5,690,000 2,143
J.P. Morgan Securities, Inc. 2/1/17 USD 26,659 CAD 35,000 581
J.P. Morgan Securities, Inc. 2/27/17 USD 24,544 JPY 2,740,000 1,033
J.P. Morgan Securities, Inc. 1/20/17 USD 21,109 CAD 28,000 249
J.P. Morgan Securities, Inc. 1/17/17 USD 19,567 CAD 26,000 198
J.P. Morgan Securities, Inc. 1/24/17 USD 18,850 CAD 25,000 225
Goldman Sachs International 1/18/17 USD 10,406 CAD 13,800 125
J.P. Morgan Securities, Inc. 1/11/17 USD 7,526 CAD 10,000 77
J.P. Morgan Securities, Inc. 1/18/17 USD 4,243 CAD 5,628 50
            18,698

CAD—Canadian dollar.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.

At December 31, 2016, counterparties had deposited in segregated accounts securities with a value of $19,339,000 in connection with open forward currency contracts.

I. 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 absence of a default, the collateral pledged or received by the fund cannot be repledged, resold or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund had no open swap contracts at period ended December 31, 2016.

J. At December 31, 2016, the cost of investment securities for tax purposes was $44,127,976,000. Net unrealized appreciation of investment securities for tax purposes was $5,513,263,000, consisting of unrealized gains of $5,891,950,000 on securities that had risen in value since their purchase and $378,687,000 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:  February 16, 2017  

 

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:  February 16, 2017  
  VANGUARD WELLESLEY INCOME FUND

 

 

 /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date:  February 16, 2017  

 

*By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016, see File
Number 33-32548, Incorporated by Reference.