N-Q 1 fixedincomesecurities_final.htm VANGUARD FIXED INCOME SECURITIES FUNDS fixedincomesecurities_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: 811-02368

Name of Registrant:  Vanguard Fixed Income Securities Funds

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Date of fiscal year end: January 31st

Date of reporting period: October 31, 2013

Item 1: Schedule of Investments


Vanguard Long-Term Investment-Grade Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (4.9%)        
U.S. Government Securities (4.5%)        
  United States Treasury Note/Bond 2.500% 8/15/23 105,000 104,557
1 United States Treasury Note/Bond 4.500% 2/15/36 270,000 314,971
  United States Treasury Note/Bond 3.500% 2/15/39 46,850 46,477
  United States Treasury Note/Bond 2.750% 8/15/42 124,825 104,638
  United States Treasury Strip Principal 0.000% 2/15/36 100,000 44,070
          614,713
Agency Bonds and Notes (0.4%)        
2 Tennessee Valley Authority 5.250% 9/15/39 32,000 35,202
2 Tennessee Valley Authority 3.500% 12/15/42 28,000 22,833
          58,035
Total U.S. Government and Agency Obligations (Cost $703,026)     672,748
Corporate Bonds (75.4%)        
Finance (21.6%)        
  Banking (12.4%)        
  American Express Co. 4.050% 12/3/42 40,906 36,510
  Bank of America Corp. 5.875% 2/7/42 26,660 30,616
  Bank of America NA 6.000% 10/15/36 22,750 26,212
  Bank One Corp. 7.750% 7/15/25 25,000 31,931
  Bank One Corp. 7.625% 10/15/26 25,950 32,672
  Bank One Corp. 8.000% 4/29/27 30,869 40,669
  Citigroup Inc. 3.500% 5/15/23 10,765 9,971
  Citigroup Inc. 3.875% 10/25/23 10,035 10,007
  Citigroup Inc. 6.875% 6/1/25 10,000 11,817
  Citigroup Inc. 6.625% 1/15/28 25,000 29,235
  Citigroup Inc. 6.625% 6/15/32 60,905 67,541
  Citigroup Inc. 6.000% 10/31/33 44,655 46,681
  Citigroup Inc. 5.850% 12/11/34 2,528 2,799
  Citigroup Inc. 6.125% 8/25/36 40,860 42,740
  Citigroup Inc. 5.875% 5/29/37 5,520 6,201
  Citigroup Inc. 6.875% 3/5/38 6,414 8,128
  Citigroup Inc. 8.125% 7/15/39 4,330 5,998
  Citigroup Inc. 5.875% 1/30/42 26,860 30,619
  Citigroup Inc. 6.675% 9/13/43 5,775 6,471
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.950% 11/9/22 19,500 18,982
  Goldman Sachs Group Inc. 6.125% 2/15/33 49,675 55,486
  Goldman Sachs Group Inc. 6.450% 5/1/36 55,000 57,969
  Goldman Sachs Group Inc. 6.750% 10/1/37 56,455 60,893
  Goldman Sachs Group Inc. 6.250% 2/1/41 23,475 27,045
  HSBC Bank USA NA 5.875% 11/1/34 50,700 55,595
  HSBC Bank USA NA 5.625% 8/15/35 32,775 35,158
  HSBC Holdings plc 7.625% 5/17/32 21,200 26,626
  HSBC Holdings plc 6.500% 5/2/36 10,000 11,758
  HSBC Holdings plc 6.500% 9/15/37 38,600 45,832
  HSBC Holdings plc 6.800% 6/1/38 93,749 114,432
  JPMorgan Chase & Co. 3.375% 5/1/23 19,490 18,229
  JPMorgan Chase & Co. 6.400% 5/15/38 90,000 108,720
  JPMorgan Chase & Co. 5.500% 10/15/40 17,000 18,573

 

 

  JPMorgan Chase & Co. 5.625% 8/16/43 54,290 55,684
  Merrill Lynch & Co. Inc. 6.110% 1/29/37 45,050 48,016
  Merrill Lynch & Co. Inc. 7.750% 5/14/38 21,555 27,390
  Morgan Stanley 5.500% 7/28/21 11,325 12,742
  Morgan Stanley 4.875% 11/1/22 12,215 12,515
  Morgan Stanley 4.100% 5/22/23 7,905 7,621
  Morgan Stanley 6.250% 8/9/26 11,035 12,686
  Morgan Stanley 7.250% 4/1/32 39,650 49,478
  Morgan Stanley 6.375% 7/24/42 41,825 49,459
3 Standard Chartered plc 3.950% 1/11/23 20,620 19,804
3 Standard Chartered plc 5.200% 1/26/24 22,480 23,203
  Wachovia Bank NA 5.850% 2/1/37 34,350 39,156
  Wachovia Bank NA 6.600% 1/15/38 62,325 77,659
  Wachovia Corp. 6.605% 10/1/25 30,000 35,621
  Wachovia Corp. 5.500% 8/1/35 23,955 24,727
  Wells Fargo & Co. 5.375% 11/2/43 13,700 13,834
  Wells Fargo Bank NA 5.950% 8/26/36 42,195 48,559
 
  Brokerage (0.2%)        
3 FMR LLC 6.450% 11/15/39 20,300 23,515
 
  Finance Companies (3.0%)        
  General Electric Capital Corp. 5.300% 2/11/21 9,960 11,088
  General Electric Capital Corp. 6.750% 3/15/32 127,220 155,334
  General Electric Capital Corp. 7.500% 8/21/35 7,000 9,218
  General Electric Capital Corp. 5.875% 1/14/38 123,190 138,787
  General Electric Capital Corp. 6.875% 1/10/39 62,420 78,870
4 General Electric Capital Corp. 6.250% 12/29/49 10,000 10,367
 
  Insurance (5.9%)        
  ACE Capital Trust II 9.700% 4/1/30 10,000 14,350
  ACE INA Holdings Inc. 4.150% 3/13/43 10,000 9,528
  Aetna Inc. 4.125% 11/15/42 15,010 13,369
  Allstate Corp. 4.500% 6/15/43 10,000 9,904
  AXA Financial Inc. 7.000% 4/1/28 24,910 28,196
  Berkshire Hathaway Inc. 4.500% 2/11/43 44,777 43,157
3 Guardian Life Insurance Co. of America 7.375% 9/30/39 13,775 17,799
3 Jackson National Life Insurance Co. 8.150% 3/15/27 2,130 2,614
3 John Hancock Life Insurance Co. 7.375% 2/15/24 30,000 36,482
3,4 Massachusetts Mutual Life Insurance Co. 7.625% 11/15/23 6,000 7,449
3 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 23,091 33,851
  MetLife Inc. 6.500% 12/15/32 8,990 11,055
  MetLife Inc. 4.125% 8/13/42 12,500 11,373
3 Metropolitan Life Insurance Co. 7.800% 11/1/25 35,000 45,200
  Munich Re America Corp. 7.450% 12/15/26 8,500 10,915
3 Nationwide Mutual Insurance Co. 8.250% 12/1/31 6,285 7,776
3 Nationwide Mutual Insurance Co. 9.375% 8/15/39 35,636 49,983
3 New York Life Insurance Co. 5.875% 5/15/33 45,275 50,484
3 Pacific Life Insurance Co. 9.250% 6/15/39 24,945 34,896
  Prudential Financial Inc. 5.750% 7/15/33 13,000 14,334
  Prudential Financial Inc. 6.200% 11/15/40 10,520 12,452
3 Swiss Re Treasury US Corp. 4.250% 12/6/42 12,470 11,063
3 Teachers Insurance & Annuity Association ofAmerica        
  6.850% 12/16/39 22,752 28,697
  Travelers Cos. Inc. 6.750% 6/20/36 5,000 6,460
  UnitedHealth Group Inc. 5.800% 3/15/36 50,236 56,709
  UnitedHealth Group Inc. 6.500% 6/15/37 10,900 13,378

 

 

UnitedHealth Group Inc. 6.625% 11/15/37 12,740 15,825
UnitedHealth Group Inc. 6.875% 2/15/38 31,922 40,764
UnitedHealth Group Inc. 5.700% 10/15/40 3,592 4,037
UnitedHealth Group Inc. 4.625% 11/15/41 36,745 35,764
UnitedHealth Group Inc. 4.375% 3/15/42 25,000 23,587
UnitedHealth Group Inc. 4.250% 3/15/43 3,415 3,136
WellPoint Inc. 5.850% 1/15/36 16,700 18,306
WellPoint Inc. 6.375% 6/15/37 25,516 29,760
WellPoint Inc. 5.800% 8/15/40 5,000 5,439
WellPoint Inc. 4.625% 5/15/42 19,000 17,734
WellPoint Inc. 4.650% 1/15/43 15,775 14,795
XL Group plc 6.375% 11/15/24 8,500 9,755
 
Real Estate Investment Trusts (0.1%)        
Simon Property Group LP 6.750% 2/1/40 11,900 15,258
        2,933,083
Industrial (40.0%)        
Basic Industry (0.5%)        
BHP Billiton Finance USA Ltd. 5.000% 9/30/43 35,000 35,939
Dow Chemical Co. 7.375% 11/1/29 8,450 10,740
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 3,790 3,879
Rio Tinto Finance USA plc 4.750% 3/22/42 3,746 3,622
Rio Tinto Finance USA plc 4.125% 8/21/42 15,000 13,092
Teck Resources Ltd. 5.200% 3/1/42 6,445 5,675
 
Capital Goods (3.4%)        
3M Co. 6.375% 2/15/28 25,740 32,407
3M Co. 5.700% 3/15/37 15,000 17,635
Boeing Co. 6.125% 2/15/33 30,065 36,583
Boeing Co. 5.875% 2/15/40 2,090 2,545
Boeing Co. 7.875% 4/15/43 8,000 11,287
Caterpillar Inc. 6.050% 8/15/36 1,500 1,781
Caterpillar Inc. 3.803% 8/15/42 49,608 42,701
Deere & Co. 7.125% 3/3/31 15,000 19,639
Deere & Co. 3.900% 6/9/42 25,860 23,342
General Electric Co. 4.125% 10/9/42 14,925 13,799
Lockheed Martin Corp. 5.500% 11/15/39 5,000 5,455
Lockheed Martin Corp. 4.850% 9/15/41 10,000 10,108
Raytheon Co. 4.700% 12/15/41 18,960 18,903
3 Siemens Financieringsmaatschappij NV 6.125% 8/17/26 15,710 18,915
United Technologies Corp. 7.500% 9/15/29 14,755 19,918
United Technologies Corp. 6.125% 7/15/38 46,175 56,585
United Technologies Corp. 5.700% 4/15/40 33,150 38,531
United Technologies Corp. 4.500% 6/1/42 88,680 87,149
 
Communication (9.4%)        
Alltel Corp. 6.800% 5/1/29 2,697 3,181
Alltel Corp. 7.875% 7/1/32 24,162 31,961
America Movil SAB de CV 6.125% 3/30/40 22,720 24,579
America Movil SAB de CV 4.375% 7/16/42 33,010 28,075
AT&T Inc. 6.500% 9/1/37 33,882 37,439
AT&T Inc. 6.300% 1/15/38 37,400 40,586
AT&T Inc. 6.550% 2/15/39 20,915 23,371
AT&T Inc. 5.350% 9/1/40 133,161 129,472
AT&T Inc. 5.550% 8/15/41 10,000 9,944
AT&T Inc. 4.300% 12/15/42 67,710 56,759
AT&T Inc. 4.350% 6/15/45 84,348 70,219

 

 

CBS Corp. 7.875% 7/30/30 35,000 43,532
Comcast Corp. 4.250% 1/15/33 10,435 10,038
Comcast Corp. 7.050% 3/15/33 9,400 11,814
Comcast Corp. 5.650% 6/15/35 43,414 48,347
Comcast Corp. 6.450% 3/15/37 18,000 21,829
Comcast Corp. 6.950% 8/15/37 27,505 35,236
Comcast Corp. 6.400% 5/15/38 9,735 11,791
Comcast Corp. 6.550% 7/1/39 11,790 14,534
Comcast Corp. 6.400% 3/1/40 14,365 17,509
Comcast Corp. 4.650% 7/15/42 19,770 19,222
Comcast Corp. 4.500% 1/15/43 15,095 14,503
3 COX Communications Inc. 6.450% 12/1/36 10,000 10,405
3 COX Communications Inc. 8.375% 3/1/39 21,310 26,333
Deutsche Telekom International Finance BV 8.750% 6/15/30 17,530 25,090
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.150% 3/15/42 13,000 11,748
Indiana Bell Telephone Co. Inc. 7.300% 8/15/26 18,000 21,219
NBCUniversal Media LLC 5.950% 4/1/41 6,000 6,895
NBCUniversal Media LLC 4.450% 1/15/43 35,400 33,467
News America Inc. 6.400% 12/15/35 28,000 31,985
News America Inc. 6.150% 2/15/41 10,400 11,766
News America Inc. 7.900% 12/1/95 10,000 11,494
Orange SA 8.750% 3/1/31 39,675 54,675
Time Warner Cable Inc. 6.550% 5/1/37 27,390 25,564
Time Warner Cable Inc. 6.750% 6/15/39 3,110 2,954
Time Warner Cable Inc. 5.875% 11/15/40 11,745 10,127
Verizon Communications Inc. 7.750% 12/1/30 20,000 25,148
Verizon Communications Inc. 6.400% 9/15/33 15,000 16,933
Verizon Communications Inc. 5.850% 9/15/35 35,000 37,335
Verizon Communications Inc. 6.400% 2/15/38 44,649 50,388
Verizon Communications Inc. 6.900% 4/15/38 28,708 34,122
Verizon Communications Inc. 7.350% 4/1/39 15,950 19,964
Verizon Communications Inc. 6.550% 9/15/43 52,700 61,110
Verizon Maryland LLC 5.125% 6/15/33 12,000 11,465
Vodafone Group plc 6.150% 2/27/37 15,705 17,571
Vodafone Group plc 4.375% 2/19/43 10,000 8,740
 
Consumer Cyclical (7.0%)        
CVS Caremark Corp. 6.250% 6/1/27 12,335 14,818
CVS Caremark Corp. 5.750% 5/15/41 3,550 3,929
Daimler Finance North America LLC 8.500% 1/18/31 23,644 34,271
Historic TW Inc. 6.625% 5/15/29 24,775 28,593
Home Depot Inc. 5.875% 12/16/36 39,775 46,262
Home Depot Inc. 5.950% 4/1/41 14,000 16,489
Home Depot Inc. 4.875% 2/15/44 62,300 64,469
Lowe's Cos. Inc. 6.500% 3/15/29 26,010 31,509
Lowe's Cos. Inc. 5.800% 10/15/36 9,300 10,488
Lowe's Cos. Inc. 5.800% 4/15/40 8,000 9,153
Lowe's Cos. Inc. 5.000% 9/15/43 28,690 29,784
McDonald's Corp. 6.300% 10/15/37 30,935 38,785
McDonald's Corp. 6.300% 3/1/38 36,635 45,822
McDonald's Corp. 5.700% 2/1/39 27,850 32,537
McDonald's Corp. 3.625% 5/1/43 14,750 12,764
NIKE Inc. 3.625% 5/1/43 18,360 16,135
Target Corp. 6.500% 10/15/37 22,750 28,259
Target Corp. 7.000% 1/15/38 12,205 15,961
Time Warner Inc. 7.625% 4/15/31 10,000 12,653

 

 

Time Warner Inc. 6.500% 11/15/36 10,000 11,470
Wal-Mart Stores Inc. 7.550% 2/15/30 51,000 69,102
Wal-Mart Stores Inc. 5.250% 9/1/35 4,789 5,208
Wal-Mart Stores Inc. 6.500% 8/15/37 42,625 53,188
Wal-Mart Stores Inc. 6.200% 4/15/38 83,350 100,589
Wal-Mart Stores Inc. 5.625% 4/1/40 10,000 11,392
Wal-Mart Stores Inc. 4.875% 7/8/40 20,000 20,654
Wal-Mart Stores Inc. 5.000% 10/25/40 16,855 17,785
Wal-Mart Stores Inc. 5.625% 4/15/41 75,432 86,138
Wal-Mart Stores Inc. 4.000% 4/11/43 24,245 21,806
Wal-Mart Stores Inc. 4.750% 10/2/43 17,000 17,247
Walt Disney Co. 3.700% 12/1/42 10,000 8,755
Walt Disney Co. 7.550% 7/15/93 25,900 31,864
 
Consumer Noncyclical (12.2%)        
Abbott Laboratories 6.000% 4/1/39 17,905 21,398
AbbVie Inc. 4.400% 11/6/42 30,885 29,150
Altria Group Inc. 9.950% 11/10/38 5,000 7,806
Altria Group Inc. 4.250% 8/9/42 15,980 13,602
Amgen Inc. 6.375% 6/1/37 25,000 28,855
Amgen Inc. 5.375% 5/15/43 4,850 4,978
Anheuser-Busch Cos. LLC 6.750% 12/15/27 3,500 4,337
Anheuser-Busch Cos. LLC 6.800% 8/20/32 5,000 6,294
Anheuser-Busch Cos. LLC 5.750% 4/1/36 11,460 13,048
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 10,000 9,177
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 42,455 63,760
Anheuser-Busch InBev Worldwide Inc. 8.000% 11/15/39 10,000 14,748
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 25,140 22,232
Archer-Daniels-Midland Co. 4.535% 3/26/42 33,274 32,269
Archer-Daniels-Midland Co. 4.016% 4/16/43 7,809 6,929
4 Ascension Health Alliance 4.847% 11/15/53 10,040 10,002
AstraZeneca plc 6.450% 9/15/37 68,080 84,052
Baxter International Inc. 3.650% 8/15/42 7,390 6,393
Becton Dickinson & Co. 7.000% 8/1/27 8,300 10,478
Becton Dickinson & Co. 6.700% 8/1/28 5,066 6,270
Bristol-Myers Squibb Co. 3.250% 8/1/42 8,990 7,326
Bristol-Myers Squibb Co. 4.500% 3/1/44 25,000 24,558
3 Cargill Inc. 6.125% 4/19/34 1,880 2,110
3 Cargill Inc. 6.125% 9/15/36 27,045 31,205
3 Cargill Inc. 6.625% 9/15/37 5,000 6,093
3 Cargill Inc. 4.100% 11/1/42 17,300 15,467
4 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 4,000 3,628
City of Hope 5.623% 11/15/43 10,000 9,934
Diageo Capital plc 3.875% 4/29/43 13,800 12,155
Diageo Investment Corp. 4.250% 5/11/42 5,000 4,709
Dignity Health California GO 4.500% 11/1/42 20,865 17,595
Eli Lilly & Co. 5.500% 3/15/27 23,525 27,660
Gilead Sciences Inc. 5.650% 12/1/41 19,960 22,497
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 20,597 22,933
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 55,905 70,222
GlaxoSmithKline Capital Inc. 4.200% 3/18/43 11,300 10,681
Johnson & Johnson 6.950% 9/1/29 22,457 30,233
Johnson & Johnson 4.500% 9/1/40 12,015 12,338
Kaiser Foundation Hospitals 4.875% 4/1/42 31,825 31,466
Kellogg Co. 7.450% 4/1/31 21,620 27,789
Kimberly-Clark Corp. 6.625% 8/1/37 5,300 6,868
Kimberly-Clark Corp. 5.300% 3/1/41 12,000 13,461

 

 

Kraft Foods Group Inc. 6.875% 1/26/39 6,750 8,340
4 Mayo Clinic 3.774% 11/15/43 13,095 10,956
Medtronic Inc. 6.500% 3/15/39 21,200 26,637
Medtronic Inc. 4.500% 3/15/42 10,000 9,797
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 26,775 27,228
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 11,285 9,486
Merck & Co. Inc. 6.500% 12/1/33 30,320 38,896
Merck & Co. Inc. 6.550% 9/15/37 43,715 55,765
Merck & Co. Inc. 3.600% 9/15/42 5,400 4,565
Merck & Co. Inc. 4.150% 5/18/43 12,625 11,810
Merck Sharp & Dohme Corp. 5.750% 11/15/36 11,000 12,821
Merck Sharp & Dohme Corp. 5.850% 6/30/39 20,000 23,846
North Shore Long Island Jewish Health Care        
Inc. 4.800% 11/1/42 11,015 9,803
North Shore Long Island Jewish Health Care        
Inc. 6.150% 11/1/43 25,000 27,375
Pepsi Bottling Group Inc. 7.000% 3/1/29 17,000 21,845
PepsiCo Inc. 5.500% 1/15/40 28,350 31,519
PepsiCo Inc. 4.875% 11/1/40 14,375 14,671
PepsiCo Inc. 4.000% 3/5/42 16,972 15,221
PepsiCo Inc. 3.600% 8/13/42 28,900 24,155
Pfizer Inc. 7.200% 3/15/39 60,817 83,213
Pfizer Inc. 4.300% 6/15/43 17,000 16,287
Pharmacia Corp. 6.750% 12/15/27 28,000 36,068
Philip Morris International Inc. 6.375% 5/16/38 31,340 37,748
Philip Morris International Inc. 4.125% 3/4/43 10,000 9,046
Procter & Gamble Co. 5.500% 2/1/34 15,000 17,219
Procter & Gamble Co. 5.550% 3/5/37 12,000 14,040
3 Roche Holdings Inc. 7.000% 3/1/39 47,905 64,824
3 SABMiller Holdings Inc. 4.950% 1/15/42 20,000 20,400
3 SC Johnson & Son Inc. 4.000% 5/15/43 16,745 14,959
St. Jude Medical Inc. 4.750% 4/15/43 37,690 36,475
3 Tesco plc 6.150% 11/15/37 24,520 27,807
Wyeth LLC 5.950% 4/1/37 72,150 85,911
 
Energy (3.4%)        
Apache Corp. 5.100% 9/1/40 5,665 5,799
Apache Corp. 4.750% 4/15/43 68,960 67,999
3 BG Energy Capital plc 5.125% 10/15/41 20,800 21,446
Burlington Resources Finance Co. 7.400% 12/1/31 25,000 33,604
ConocoPhillips 7.000% 3/30/29 13,150 16,145
ConocoPhillips 5.900% 10/15/32 20,300 23,842
ConocoPhillips 6.500% 2/1/39 68,735 87,999
Encana Corp. 6.500% 8/15/34 15,463 17,119
Encana Corp. 5.150% 11/15/41 9,845 9,290
Marathon Oil Corp. 6.600% 10/1/37 9,300 11,393
Shell International Finance BV 6.375% 12/15/38 54,060 67,890
Shell International Finance BV 5.500% 3/25/40 20,455 23,356
Shell International Finance BV 4.550% 8/12/43 11,065 11,030
Tosco Corp. 7.800% 1/1/27 15,000 20,325
Tosco Corp. 8.125% 2/15/30 20,000 28,159
Total Capital International SA 3.700% 1/15/24 10,000 10,188
 
Other Industrial (0.4%)        
3 Hutchison Whampoa International 11 Ltd. 4.625% 1/13/22 21,060 21,676

 

 

Massachusetts Institute of Technology GO 5.600% 7/1/11 6,000 7,108
4 Northwestern University 4.643% 12/1/44 28,215 28,887
 
Technology (2.6%)        
Apple Inc. 3.850% 5/4/43 51,890 43,944
Cisco Systems Inc. 5.900% 2/15/39 39,000 45,182
Cisco Systems Inc. 5.500% 1/15/40 20,000 22,236
HP Enterprise Services LLC 7.450% 10/15/29 3,868 4,234
Intel Corp. 4.800% 10/1/41 24,080 23,718
Intel Corp. 4.250% 12/15/42 14,240 12,834
International Business Machines Corp. 7.000% 10/30/25 30,400 39,700
International Business Machines Corp. 4.000% 6/20/42 24,100 21,602
Microsoft Corp. 5.300% 2/8/41 15,000 16,279
Microsoft Corp. 3.750% 5/1/43 10,000 8,593
Oracle Corp. 6.500% 4/15/38 43,833 54,640
Oracle Corp. 6.125% 7/8/39 19,559 23,232
Oracle Corp. 5.375% 7/15/40 39,580 43,239
 
Transportation (1.1%)        
Burlington Northern Santa Fe LLC 6.875% 12/1/27 15,000 18,794
Burlington Northern Santa Fe LLC 5.750% 5/1/40 2,520 2,788
Burlington Northern Santa Fe LLC 5.400% 6/1/41 9,097 9,653
Burlington Northern Santa Fe LLC 4.950% 9/15/41 6,100 6,073
Burlington Northern Santa Fe LLC 4.400% 3/15/42 10,000 9,239
Burlington Northern Santa Fe LLC 4.375% 9/1/42 10,875 9,984
Burlington Northern Santa Fe LLC 5.150% 9/1/43 4,500 4,647
CSX Corp. 6.220% 4/30/40 11,820 13,848
CSX Corp. 4.750% 5/30/42 1,964 1,910
CSX Corp. 4.400% 3/1/43 29,085 26,584
3 ERAC USA Finance LLC 7.000% 10/15/37 14,621 17,589
Union Pacific Corp. 4.750% 12/15/43 21,250 21,149
United Parcel Service Inc. 6.200% 1/15/38 4,700 5,847
United Parcel Service Inc. 4.875% 11/15/40 3,000 3,180
        5,427,960
Utilities (13.8%)        
Electric (12.7%)        
Alabama Power Co. 5.700% 2/15/33 12,800 14,429
Alabama Power Co. 6.000% 3/1/39 5,475 6,495
Alabama Power Co. 5.500% 3/15/41 13,015 14,675
Alabama Power Co. 5.200% 6/1/41 15,000 16,276
Appalachian Power Co. 6.700% 8/15/37 40,000 47,339
CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 15,775 13,509
Commonwealth Edison Co. 3.800% 10/1/42 22,805 20,206
Commonwealth Edison Co. 4.600% 8/15/43 12,560 12,541
Connecticut Light & Power Co. 6.350% 6/1/36 15,000 18,374
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 9,600 9,939
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 11,627
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 18,000 21,680
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 16,766
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 6,250 7,069
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 9,045 10,518
Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,665 10,140
Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 10,000 9,065
Duke Energy Carolinas LLC 6.450% 10/15/32 8,200 9,883
Duke Energy Carolinas LLC 6.100% 6/1/37 52,400 61,138
Duke Energy Carolinas LLC 5.300% 2/15/40 5,500 6,147
Duke Energy Carolinas LLC 4.250% 12/15/41 18,000 17,316

 

 

Duke Energy Carolinas LLC 4.000% 9/30/42 53,072 48,810
Duke Energy Corp. 3.950% 10/15/23 5,920 6,058
Duke Energy Florida Inc. 6.750% 2/1/28 22,375 26,457
Duke Energy Florida Inc. 5.650% 4/1/40 11,860 13,774
Duke Energy Indiana Inc. 6.350% 8/15/38 4,000 4,913
Duke Energy Indiana Inc. 4.200% 3/15/42 14,100 13,341
Duke Energy Indiana Inc. 4.900% 7/15/43 29,810 31,302
Duke Energy Progress Inc. 5.700% 4/1/35 7,500 8,451
Duke Energy Progress Inc. 4.100% 3/15/43 15,000 14,052
Florida Power & Light Co. 5.625% 4/1/34 16,275 18,775
Florida Power & Light Co. 5.400% 9/1/35 13,380 15,245
Florida Power & Light Co. 6.200% 6/1/36 3,500 4,367
Florida Power & Light Co. 5.690% 3/1/40 7,350 8,629
Florida Power & Light Co. 5.250% 2/1/41 19,780 22,131
Florida Power & Light Co. 4.125% 2/1/42 10,000 9,528
Florida Power & Light Co. 3.800% 12/15/42 29,975 27,225
Georgia Power Co. 5.950% 2/1/39 27,960 32,010
Georgia Power Co. 5.400% 6/1/40 10,100 10,847
Georgia Power Co. 4.750% 9/1/40 9,555 9,399
Georgia Power Co. 4.300% 3/15/42 5,000 4,586
Georgia Power Co. 4.300% 3/15/43 7,288 6,707
4 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 23,268 23,423
MidAmerican Energy Co. 5.800% 10/15/36 5,000 5,830
MidAmerican Energy Co. 4.800% 9/15/43 30,000 30,873
MidAmerican Energy Holdings Co. 6.125% 4/1/36 18,100 20,536
MidAmerican Energy Holdings Co. 5.950% 5/15/37 10,000 11,202
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 59,540 81,783
Nevada Power Co. 6.650% 4/1/36 6,530 8,167
Nevada Power Co. 5.375% 9/15/40 18,230 20,128
Northern States Power Co. 6.200% 7/1/37 40,000 49,504
Northern States Power Co. 3.400% 8/15/42 9,945 8,303
Oklahoma Gas & Electric Co. 6.500% 4/15/28 12,770 15,387
Oncor Electric Delivery Co. LLC 4.550% 12/1/41 16,615 15,638
Pacific Gas & Electric Co. 6.050% 3/1/34 45,330 51,236
Pacific Gas & Electric Co. 5.800% 3/1/37 8,862 9,806
Pacific Gas & Electric Co. 6.350% 2/15/38 8,192 9,571
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 41,572
Pacific Gas & Electric Co. 5.400% 1/15/40 19,800 20,861
PacifiCorp 6.100% 8/1/36 15,000 17,868
PacifiCorp 6.250% 10/15/37 7,815 9,636
PacifiCorp 6.350% 7/15/38 20,000 24,725
PacifiCorp 6.000% 1/15/39 34,100 41,008
PacifiCorp 4.100% 2/1/42 25,070 23,326
Peco Energy Co. 4.800% 10/15/43 27,230 28,522
PPL Electric Utilities Corp. 6.250% 5/15/39 10,075 12,523
PPL Electric Utilities Corp. 4.750% 7/15/43 1,930 1,993
PSEG Power LLC 8.625% 4/15/31 29,547 40,643
Public Service Co. of Colorado 3.600% 9/15/42 16,755 14,602
Public Service Electric & Gas Co. 3.650% 9/1/42 23,483 20,554
Puget Sound Energy Inc. 6.724% 6/15/36 10,000 12,768
Puget Sound Energy Inc. 6.274% 3/15/37 4,700 5,758
Puget Sound Energy Inc. 5.795% 3/15/40 18,500 21,483
Puget Sound Energy Inc. 5.764% 7/15/40 4,520 5,263
San Diego Gas & Electric Co. 4.300% 4/1/42 2,000 1,965
South Carolina Electric & Gas Co. 6.625% 2/1/32 35,000 43,438
South Carolina Electric & Gas Co. 6.050% 1/15/38 8,600 10,226

 

 

South Carolina Electric & Gas Co. 5.450% 2/1/41 3,042 3,411
South Carolina Electric & Gas Co. 4.350% 2/1/42 23,937 22,925
South Carolina Electric & Gas Co. 4.600% 6/15/43 3,330 3,320
Southern California Edison Co. 6.000% 1/15/34 20,095 24,157
Southern California Edison Co. 5.950% 2/1/38 16,100 19,283
Southern California Edison Co. 4.500% 9/1/40 12,000 11,927
Southern California Edison Co. 3.900% 12/1/41 5,425 4,950
Southern California Edison Co. 4.050% 3/15/42 7,625 7,125
Southern California Edison Co. 4.650% 10/1/43 29,800 30,485
Southwestern Public Service Co. 4.500% 8/15/41 25,055 24,899
Tampa Electric Co. 6.150% 5/15/37 35,000 41,238
Virginia Electric & Power Co. 6.000% 5/15/37 60,105 71,645
Virginia Electric & Power Co. 4.650% 8/15/43 10,000 10,098
Xcel Energy Inc. 4.800% 9/15/41 730 726
 
Natural Gas (1.1%)        
Energy Transfer Partners LP 5.150% 2/1/43 14,325 13,442
Energy Transfer Partners LP 5.950% 10/1/43 10,000 10,386
KeySpan Corp. 5.875% 4/1/33 12,000 12,983
KeySpan Corp. 5.803% 4/1/35 10,000 10,774
Southern California Gas Co. 3.750% 9/15/42 12,265 10,989
Texas Eastern Transmission LP 7.000% 7/15/32 17,000 20,425
TransCanada PipeLines Ltd. 7.625% 1/15/39 50,300 67,674
 
Other Utility (0.0%)        
3 Dominion Gas Holdings LLC 4.800% 11/1/43 5,000 5,024
        1,879,746
Total Corporate Bonds (Cost $9,516,148)       10,240,789
Sovereign Bonds (U.S. Dollar-Denominated) (1.4%)        
3 CDP Financial Inc. 5.600% 11/25/39 15,000 17,216
3 CNOOC Finance 2011 Ltd. 5.750% 1/26/41 9,620 10,511
3 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 21,540 23,824
3 Electricite de France SA 6.950% 1/26/39 18,040 22,687
Petrobras International Finance Co. 6.750% 1/27/41 23,275 22,952
Quebec 7.500% 9/15/29 10,000 13,694
Statoil ASA 5.100% 8/17/40 12,550 13,371
Statoil ASA 3.950% 5/15/43 6,725 6,074
3 Temasek Financial I Ltd. 3.375% 7/23/42 28,355 23,027
United Mexican States 4.750% 3/8/44 36,276 33,768
Total Sovereign Bonds (Cost $194,334)       187,124
Taxable Municipal Bonds (16.4%)        
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 59,240 60,970
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.499% 2/15/50 725 880
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 17,420 20,702
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 50,115 61,931
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 28,630 35,294
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 13,775 16,950
California GO 7.500% 4/1/34 30,655 40,341
California GO 7.550% 4/1/39 61,550 83,329
California GO 7.300% 10/1/39 109,045 142,943

 

 

California GO 7.350% 11/1/39 1,955 2,578
California GO 7.625% 3/1/40 30,135 40,818
California GO 7.600% 11/1/40 74,320 101,810
California Public Works Board Lease Revenue        
(Various Capital Projects) 8.361% 10/1/34 11,665 14,454
Chicago IL GO 5.432% 1/1/42 14,920 12,118
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 15,710 17,958
City of San Francisco CA Public Utilities        
Commission Water Revenue 6.000% 11/1/40 400 450
5 Commonwealth Financing Authority        
Pennsylvania Revenue 5.197% 6/1/26 25,000 26,182
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,740 2,085
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 2,200 2,284
Duke University North Carolina Revenue 5.850% 4/1/37 33,850 39,714
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 39,585 41,596
Grand Parkway Transportation Corp. 5.184% 10/1/42 14,620 15,119
Houston TX GO 6.290% 3/1/32 25,000 28,936
Illinois GO 5.100% 6/1/33 161,995 147,338
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 18,740 21,746
Illinois Toll Highway Authority Revenue 5.851% 12/1/34 170 189
Los Angeles CA Department of Water &        
Power Revenue 5.716% 7/1/39 4,175 4,591
Los Angeles CA Department of Water &        
Power Revenue 6.008% 7/1/39 11,850 13,643
Los Angeles CA Department of Water &        
Power Revenue 6.574% 7/1/45 34,080 42,946
Los Angeles CA Department of Water &        
Power Revenue 6.603% 7/1/50 4,155 5,441
Los Angeles CA Unified School District GO 5.755% 7/1/29 19,500 21,740
Los Angeles CA Unified School District GO 5.750% 7/1/34 9,090 10,278
Los Angeles CA Unified School District GO 6.758% 7/1/34 64,235 80,492
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.735% 6/1/39 15,100 16,709
Missouri State Health & Educational Facilities        
Authority 3.685% 2/15/47 10,000 8,684
6 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.425% 2/15/29 50,002 60,989
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 57,834 76,924
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 67,555 86,905
New York City NY Municipal Water Finance        
Authority 6.282% 6/15/42 7,225 7,878
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.724% 6/15/42 12,780 14,805
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.952% 6/15/42 18,210 21,744
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.011% 6/15/42 6,980 8,399
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 36,280 42,673
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.508% 8/1/37 2,875 3,201
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 65,755 86,929

 

 

New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 5,950 6,875
New York State Dormitory Authority 5.600% 3/15/40 2,000 2,244
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.289% 3/15/33 7,325 8,002
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.628% 3/15/39 19,595 22,067
North Texas Tollway Authority System        
Revenue 6.718% 1/1/49 26,971 32,937
Ohio State University General Receipts        
Revenue 4.910% 6/1/40 13,700 14,205
Ohio State University General Receipts        
Revenue 4.800% 6/1/11 31,483 27,849
7 Oregon School Boards Association GO 4.759% 6/30/28 10,000 10,490
Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 20,335 23,662
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 21,245 23,203
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 13,550 14,799
Port Authority of New York & New Jersey        
Revenue 4.926% 10/1/51 42,380 41,341
Port Authority of New York & New Jersey        
Revenue 4.458% 10/1/62 34,890 30,800
President & Fellows of Harvard College        
Massachusetts GO 6.300% 10/1/37 60,993 67,855
Salt River Project Arizona Agricultural        
Improvement & Power District Revenue 4.839% 1/1/41 18,525 19,090
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 11,650 13,752
San Antonio TX Electric & Gas Systems        
Revenue 4.427% 2/1/42 13,370 12,911
San Francisco CA City & County Public        
Utilities Commission Water Revenue 6.950% 11/1/50 13,325 17,132
State of California 6.509% 4/1/39 28,365 30,710
State of Connecticut 5.770% 3/15/25 20,365 24,020
State of Mississippi 5.539% 10/1/29 14,450 16,248
State of New York 5.590% 3/1/35 10,000 11,277
Texas Transportation Commission Revenue 5.178% 4/1/30 4,090 4,524
Texas Transportation Commission Revenue 4.631% 4/1/33 6,655 6,847
University of California 4.601% 5/15/31 11,165 11,149
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 22,225 26,493
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 8,695 10,255
University of California Revenue 5.770% 5/15/43 5,155 5,904
University of California Revenue 4.858% 5/15/12 38,625 33,787
University of Texas System Revenue        
Financing System Revenue 5.262% 7/1/39 12,800 14,109
University of Texas System Revenue        
Financing System Revenue 4.794% 8/15/46 9,915 10,111
Washington GO 5.481% 8/1/39 8,890 9,765
5 Wisconsin GO 5.700% 5/1/26 23,025 25,969
Total Taxable Municipal Bonds (Cost $2,098,808)       2,224,068

 

 

Temporary Cash Investments (0.9%)        
Repurchase Agreements (0.9%)        
Bank of America Securities, LLC        
(Dated 10/31/13, Repurchase Value        
$53,800,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.523%,        
6/1/43, and Federal National Mortgage        
Assn. 3.000%-3.500%, 2/1/38-8/1/42; with a        
value of $54,876,000) 0.100% 11/1/13 53,800 53,800
Barclays Capital Inc.        
(Dated 10/31/13, Repurchase Value        
$42,200,000, collateralized by U.S.        
Treasury Note/Bond 0.375%, 11/15/15; with        
a value of $43,044,000) 0.080% 11/1/13 42,200 42,200
Citigroup Global Markets Inc.        
(Dated 10/31/13, Repurchase Value        
$24,200,000, collateralized by U.S.        
Treasury Note/Bond 2.625%, 6/30/14; with        
a value of $24,684,000) 0.090% 11/1/13 24,200 24,200
        120,200
Total Temporary Cash Investments (Cost $120,200)       120,200
Total Investments (99.0%) (Cost $12,632,516)       13,444,929
Other Assets and Liabilities-Net (1.0%)8       139,168
Net Assets (100%)       13,584,097

 

1 Securities with a value of $3,841,000 have been segregated as collateral for open swap contracts.
2 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.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2013, the aggregate value of these securities was $794,334,000, representing 5.8% of net assets.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
6 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
7 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
8 Cash of $3,185,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.

A. Security Valuation: 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. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Repurchase Agreements: The fund may enter 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 pre-qualified 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.

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 672,748 —
Corporate Bonds — 10,240,789 —
Sovereign Bonds — 187,124 —
Taxable Municipal Bonds — 2,224,068 —
Temporary Cash Investments — 120,200 —
Futures Contracts—Liabilities1 (199) — —
Swap Contracts—Assets — 22,232 —
Total (199) 13,467,161 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, 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)
30-Year U.S. Treasury Bond December 2013 1,274 171,751 4,410

 

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

E. Swap Contracts: The fund may invest 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 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 pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund's if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each

 

counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

At October 31, 2013, the fund had the following open swap contracts:
Credit Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid)   (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
CDX - IG11 - 10yr/Baa12 12/20/18 GSI 198,400 2,264 1.400 7,360
CDX - IG14 - 10yr/Baa13 6/20/20 BOANA 100,000 108 1.000 409
CDX - IG16 - 10yr/Baa14 6/20/21 GSI 200,000 3,177 1.000 2,735
CDX - IG18 - 10yr/Baa15 6/20/22 GSI 50,000 1,205 1.000 893
CDX - IG19 - 10yr/Baa16 12/20/22 DBAG 200,000 6,041 1.000 3,132
CDX - IG19 - 10yr/Baa16 12/20/22 BOANA 200,000 6,099 1.000 3,189
CDX - IG19 - 10yr/Baa16 12/20/22 BOANA 300,000 8,981 1.000 4,617
      1,248,400     22,335
 
Credit Protection Purchased            
XL Capital Ltd. 12/20/13 GSI 8,500 (44) (5.000) (103)
            22,232

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

1 BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG.
GSI—Goldman Sachs International.
2 Investment Grade Corporate Credit Default Swap Index—Version 11.
3 Investment Grade Corporate Credit Default Swap Index—Version 14.
4 Investment Grade Corporate Credit Default Swap Index—Version 16.
5 Investment Grade Corporate Credit Default Swap Index—Version 18.
6 Investment Grade Corporate Credit Default Swap Index—Version 19.

At October 31, 2013, counterparties had deposited in segregated accounts securities with a value of $4,670,000 in connection with open swap contracts.

F. At October 31, 2013, the cost of investment securities for tax purposes was $12,632,516,000. Net unrealized appreciation of investment securities for tax purposes was $812,413,000, consisting of unrealized gains of $1,088,016,000 on securities that had risen in value since their purchase and $275,603,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.4%)        
Conventional Mortgage-Backed Securities (98.2%)        
1,2 Fannie Mae Pool 2.950% 5/1/28 17,874 16,778
1,2,3Fannie Mae Pool 3.000% 11/1/43–11/1/43 1,054,000 1,039,507
1,2 Fannie Mae Pool 3.360% 11/1/23 12,500 12,603
1,2 Fannie Mae Pool 3.460% 9/1/23–9/1/23 134,320 136,972
1,2,3Fannie Mae Pool 3.500% 6/1/42–11/1/43 967,414 992,249
1,2 Fannie Mae Pool 3.690% 10/1/42 1,874 1,808
1,2 Fannie Mae Pool 3.740% 8/1/23 15,500 15,848
1,2 Fannie Mae Pool 3.750% 7/1/25 4,800 4,884
1,2 Fannie Mae Pool 3.755% 8/1/25 7,334 7,482
1,2 Fannie Mae Pool 3.790% 8/1/25 2,639 2,702
1,2 Fannie Mae Pool 3.820% 11/1/25–11/1/25 11,355 11,571
1,2 Fannie Mae Pool 3.870% 10/1/25 16,220 16,686
1,2 Fannie Mae Pool 3.910% 11/1/25 6,000 6,142
1,2 Fannie Mae Pool 3.930% 11/1/25 13,000 13,282
1,2 Fannie Mae Pool 3.940% 8/1/25 12,333 12,722
1,2 Fannie Mae Pool 3.990% 9/1/25 9,866 10,135
1,2,3Fannie Mae Pool 4.000% 11/1/43 1,000,000 1,053,120
1,2 Fannie Mae Pool 4.060% 9/1/25–10/1/28 21,848 22,719
1,2 Fannie Mae Pool 4.150% 10/1/28 11,841 12,369
1,2 Fannie Mae Pool 4.250% 10/1/28–9/1/33 5,013 5,260
1,2 Fannie Mae Pool 4.380% 10/1/28 10,120 10,651
1,2 Fannie Mae Pool 4.400% 8/1/28 2,311 2,437
1,2 Fannie Mae Pool 5.000% 11/1/40–4/1/41 22,394 24,706
1,2 Fannie Mae Pool 5.180% 2/1/26 3,099 3,478
1,2 Fannie Mae Pool 6.000% 7/1/22 18 20
1,2 Freddie Mac Gold Pool 2.500% 12/1/42–8/1/43 204,475 191,242
1,2,3Freddie Mac Gold Pool 3.000% 11/1/43–11/1/43 611,100 600,216
1,3 Ginnie Mae I Pool 2.500% 11/1/43–11/1/43 765,000 720,775
1,3 Ginnie Mae I Pool 3.000% 11/15/41–11/1/43 1,046,730 1,043,263
1 Ginnie Mae I Pool 3.500% 3/15/39–11/1/43 1,769,686 1,840,786
1 Ginnie Mae I Pool 3.750% 7/15/42 7,184 7,556
1 Ginnie Mae I Pool 3.875% 5/15/42–6/15/42 13,494 14,193
1 Ginnie Mae I Pool 4.000% 6/15/19–11/1/43 2,421,384 2,584,440
1 Ginnie Mae I Pool 4.500% 5/15/19–11/1/43 2,429,445 2,629,940
1 Ginnie Mae I Pool 5.000% 1/15/30–11/1/43 2,297,247 2,507,665
1 Ginnie Mae I Pool 5.500% 11/15/13–12/1/43 1,411,296 1,547,962
1 Ginnie Mae I Pool 6.000% 10/15/16–11/1/43 1,055,536 1,163,531
1 Ginnie Mae I Pool 6.500% 12/15/13–7/15/40 780,066 866,576
1 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 119,778 137,575
1 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 74 77
1 Ginnie Mae I Pool 7.500% 10/15/31 45,892 52,985
1 Ginnie Mae I Pool 7.750% 2/15/27 29 30
1 Ginnie Mae I Pool 8.000% 8/15/31 19,810 22,930
1 Ginnie Mae I Pool 8.500% 5/15/16–6/15/28 4,212 4,401
1 Ginnie Mae I Pool 9.000% 4/15/16–5/15/21 2,123 2,220
1 Ginnie Mae I Pool 9.250% 9/15/16–7/15/17 13 14
1 Ginnie Mae I Pool 9.500% 3/15/16–8/15/21 1,386 1,452
1 Ginnie Mae I Pool 10.000% 2/15/16–7/15/19 35 35
1 Ginnie Mae I Pool 11.000% 2/15/18 3 3

 

 

1 Ginnie Mae I Pool 13.500% 12/15/14 1 1
1 Ginnie Mae II Pool 2.500% 11/20/42–11/1/43 210,077 198,963
1,3 Ginnie Mae II Pool 3.000% 1/20/42–11/1/43 130,572 130,345
1,3 Ginnie Mae II Pool 3.500% 4/20/42–11/1/43 1,833,245 1,904,886
1,3 Ginnie Mae II Pool 4.000% 6/20/39–11/1/43 1,733,446 1,849,362
1,3 Ginnie Mae II Pool 4.500% 12/20/32–11/1/43 2,679,783 2,907,817
1 Ginnie Mae II Pool 5.000% 10/20/32–7/20/42 1,222,953 1,342,382
1 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 214,473 234,505
1 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 159,445 176,223
1 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 3,920 4,377
1 Ginnie Mae II Pool 7.000% 10/20/25–5/20/38 412 447
1 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 267 304
1 Ginnie Mae II Pool 8.000% 12/20/15–4/20/16 19 19
1 Ginnie Mae II Pool 8.500% 4/20/16–1/20/17 212 223
1 Ginnie Mae II Pool 9.000% 6/20/16–9/20/16 56 62
1 Ginnie Mae II Pool 10.000% 11/20/15–8/20/18 16 18
1 Ginnie Mae II Pool 11.000% 6/20/14–2/20/16 3 3
1 Ginnie Mae II Pool 11.250% 9/20/15–2/20/16 15 15
1 Ginnie Mae II Pool 11.500% 9/20/15–11/20/15 2 3
1 Ginnie Mae II Pool 12.000% 6/20/14–12/20/15 7 8
1 Ginnie Mae II Pool 12.500% 5/20/14–7/20/15 1 1
1 Ginnie Mae II Pool 13.500% 8/20/14–10/20/14 1 1
          28,125,963
Nonconventional Mortgage-Backed Securities (1.2%)      
1,2 Fannie Mae REMICS 3.000% 11/25/42–6/25/43 69,824 54,017
1,2 Fannie Mae REMICS 3.500% 7/25/43 18,057 16,545
1,2 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 12,711 14,086
1,2 Freddie Mac REMICS 3.000% 8/15/42–3/15/43 108,155 90,615
1,2 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 39,054 43,473
1,4 Ginnie Mae REMICS 0.372% 2/20/37 10,416 10,332
1 Ginnie Mae REMICS 2.500% 8/16/42 13,303 10,930
1 Ginnie Mae REMICS 3.000% 3/20/43 10,692 9,559
1 Ginnie Mae REMICS 4.500% 6/20/39 11,774 12,552
1 Ginnie Mae REMICS 5.000% 6/16/37 37,297 40,895
1 Ginnie Mae REMICS 5.500% 1/20/33–8/16/36 31,484 35,344
1 Ginnie Mae REMICS 6.500% 4/20/31 3,072 3,524
1 Government National Mortgage Assn. 3.500% 7/20/43 23,327 22,799
          364,671
Total U.S. Government and Agency Obligations (Cost $28,019,597)   28,490,634
Temporary Cash Investments (16.4%)        
Repurchase Agreements (4.2%)        
  Bank of America Securities, LLC        
  (Dated 10/31/13, Repurchase Value        
  $56,800,000, collateralized by Federal        
  National Mortgage Assn. 3.500%, 10/1/26-        
  11/1/26, with a value of $57,936,000) 0.100% 11/1/13 56,800 56,800
  Bank of Montreal        
  (Dated 10/31/13, Repurchase Value        
  $10,000,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.750%-        
  4.000%, 3/27/19-9/1/43, and Federal        
  National Mortgage Assn. 0.760%, 2/24/16,        
  with a value of 10,200,000) 0.090% 11/1/13 10,000 10,000

 

 

Barclays Capital Inc.        
(Dated 10/31/13, Repurchase Value        
$89,700,000, collateralized by U.S.        
Treasury Note/Bond 0.750%, 2/28/18, with        
a value of $91,494,000) 0.080% 11/1/13 89,700 89,700
Citigroup Global Markets Inc.        
(Dated 10/31/13, Repurchase Value        
$277,701,000, collateralized by U.S.        
Treasury Note/Bond 0.250%-8.750%,        
4/30/14-10/31/19, with a value of        
$283,254,000) 0.090% 11/1/13 277,700 277,700
Credit Suisse Securities (USA), LLC        
(Dated 10/31/13, Repurchase Value        
$35,400,000, collateralized by U.S.        
Treasury Note/Bond 4.500%, 2/15/36, with        
a value of $36,108,000) 0.080% 11/1/13 35,400 35,400
HSBC Bank USA        
(Dated 10/31/13, Repurchase Value        
$100,000,000, collateralized by U.S.        
Treasury Note/Bond 1.375%-3.125%,        
5/31/20-2/15/43, with a value of        
$102,003,000) 0.080% 11/1/13 100,000 100,000
HSBC Bank USA        
(Dated 10/31/13, Repurchase Value        
$159,900,000, collateralized by        
Government National Mortgage Assn.        
3.000%-4.500%, 4/15/27-10/20/43, with a        
value of $163,099,000) 0.100% 11/1/13 159,900 159,900
RBC Capital Markets LLC        
(Dated 10/31/13, Repurchase Value        
$5,400,000, collateralized by Federal        
National Mortgage Assn. 2.506%-4.500%,        
9/1/33-9/1/43, and Federal Home Loan        
Mortgage Corp. 2.556%, 2/1/43, with a        
value of 5,508,000) 0.100% 11/1/13 5,400 5,400
RBS Securities, Inc.        
(Dated 10/31/13, Repurchase Value        
$436,401,000, collateralized by U.S.        
Treasury Note/Bond 1.250%-3.625%,        
4/15/14-8/31/20, with a value of        
$445,133,000) 0.090% 11/1/13 436,400 436,400
TD Securities (USA) LLC        
(Dated 10/31/13, Repurchase Value        
$12,000,000, collateralized by U.S.        
Treasury Note/Bond 0.000%-0.125%,        
12/26/13-4/30/15, and Federal National        
Mortgage Assn. 3.500%, 1/1/28, with a        
value of 12,240,000) 0.100% 11/1/13 12,000 12,000
        1,183,300
U.S. Government and Agency Obligations (12.2%)      
United States Treasury Bill 0.025%–0.037% 11/7/13 720,000 720,000
United States Treasury Bill 0.010%–0.260% 11/14/13 1,680,000 1,679,983
United States Treasury Bill 0.023% 11/21/13 400,000 399,992
United States Treasury Bill 0.015% 12/26/13 200,000 199,988

 

 

United States Treasury Bill 0.040% 1/9/14 500,000 499,970
        3,499,933
Total Temporary Cash Investments (Cost $4,683,218)       4,683,233
Total Investments (115.8%) (Cost $32,702,814)       33,173,867
Other Assets and Liabilities-Net (-15.8%)5       (4,524,758)
Net Assets (100%)       28,649,109

 

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2013.
4 Adjustable-rate security.
5 Cash of $21,545,000 has been segregated as initial margin for open futures contracts.

A. Security Valuation: 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 by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll 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) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

D. Repurchase Agreements: The fund may enter into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by

 

GNMA Fund

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.

E. 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 October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 28,490,634 —
Temporary Cash Investments — 4,683,233 —
Futures Contracts—Assets1 80 — —
Futures Contracts—Liabilities1 (1,306) — —
Total (1,226) 33,173,867 —
1 Represents variation margin on the last day of the reporting period.      

 

F. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

GNMA Fund        
 
 
        ($000)
    Number of Aggregate Unrealized
    Long (Short) Settlement Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
5-Year U.S. Treasury Note December 2013 10,238 1,245,837 15,282
10-Year U.S. Treasury Note December 2013 8,360 1,064,724 23,493

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

G. At October 31, 2013, the cost of investment securities for tax purposes was $32,752,749,000. Net unrealized appreciation of investment securities for tax purposes was $421,118,000, consisting of unrealized gains of $671,671,000 on securities that had risen in value since their purchase and $250,553,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (8.5%)        
U.S. Government Securities (8.4%)        
  United States Treasury Note/Bond 0.375% 3/15/15 63,500 63,639
  United States Treasury Note/Bond 2.500% 3/31/15 280,000 288,968
  United States Treasury Note/Bond 0.375% 4/15/15 187,712 188,123
  United States Treasury Note/Bond 0.250% 5/15/15 147,635 147,681
1,2 United States Treasury Note/Bond 2.125% 5/31/15 40,000 41,181
3 United States Treasury Note/Bond 0.375% 6/15/15 357,021 357,746
  United States Treasury Note/Bond 0.250% 7/15/15 63,800 63,790
  United States Treasury Note/Bond 1.250% 8/31/15 363 369
  United States Treasury Note/Bond 0.375% 3/15/16 75,000 74,942
  United States Treasury Note/Bond 0.625% 10/15/16 701,250 702,344
  United States Treasury Note/Bond 0.875% 11/30/16 1,000 1,007
  United States Treasury Note/Bond 0.625% 5/31/17 55,255 54,858
  United States Treasury Note/Bond 0.750% 3/31/18 45,500 44,732
  United States Treasury Note/Bond 0.625% 4/30/18 592,610 578,719
  United States Treasury Note/Bond 1.250% 10/31/18 1,081,500 1,077,780
1 United States Treasury Note/Bond 1.000% 8/31/19 188,000 181,478
          3,867,357
Conventional Mortgage-Backed Securities (0.0%)        
4,5 Fannie Mae Pool 6.000% 12/1/16–5/1/17 3,200 3,377
4,5 Fannie Mae Pool 6.500% 9/1/16 2,433 2,574
4,5 Fannie Mae Pool 7.500% 3/1/15 3 3
4,5 Freddie Mac Gold Pool 6.000% 3/1/17–4/1/17 1,796 1,885
          7,839
Nonconventional Mortgage-Backed Securities (0.1%)        
4,5,6 Fannie Mae Pool 2.125% 12/1/32 670 691
4,5,6 Fannie Mae Pool 2.250% 6/1/33 5,026 5,272
4,5,6 Fannie Mae Pool 2.310% 7/1/32 658 706
4,5,6 Fannie Mae Pool 2.335% 5/1/33 4,289 4,587
4,5,6 Fannie Mae Pool 2.340% 9/1/32 86 92
4,5,6 Fannie Mae Pool 2.375% 9/1/32 366 389
4,5,6 Fannie Mae Pool 2.414% 8/1/33 2,481 2,658
4,5,6 Fannie Mae Pool 2.420% 8/1/33 1,441 1,476
4,5,6 Fannie Mae Pool 2.535% 8/1/33 1,813 1,866
4,5,6 Fannie Mae Pool 2.550% 7/1/33 4,845 5,015
4,5,6 Fannie Mae Pool 2.564% 8/1/37 697 735
4,5,6 Fannie Mae Pool 2.605% 2/1/37 1,811 1,918
4,5,6 Fannie Mae Pool 2.692% 5/1/33 966 1,039
4,5,6 Freddie Mac Non Gold Pool 2.375% 8/1/32 2,151 2,272
4,5,6 Freddie Mac Non Gold Pool 2.379% 9/1/32 579 637
4,5,6 Freddie Mac Non Gold Pool 2.473% 8/1/37 2,809 2,980
4,5,6 Freddie Mac Non Gold Pool 2.518% 9/1/32 1,052 1,084
4,5,6 Freddie Mac Non Gold Pool 2.589% 8/1/33 1,235 1,324
4,5,6 Freddie Mac Non Gold Pool 2.836% 1/1/33–2/1/33 1,268 1,354
4,5,6 Freddie Mac Non Gold Pool 2.931% 10/1/32 666 714
          36,809
Total U.S. Government and Agency Obligations (Cost $3,911,583)     3,912,005

 

 

Asset-Backed/Commercial Mortgage-Backed Securities (19.4%)

4 Ally Auto Receivables Trust 2010-2 2.090% 5/15/15 19,100 19,176
4,7 Ally Auto Receivables Trust 2010-3 2.690% 2/15/17 18,850 19,087
4 Ally Auto Receivables Trust 2011-1 2.230% 3/15/16 63,241 64,066
4 Ally Auto Receivables Trust 2012-1 1.210% 7/15/16 14,300 14,413
4 Ally Auto Receivables Trust 2012-SN1 0.700% 12/21/15 11,450 11,462
4 Ally Auto Receivables Trust 2013-SN1 0.900% 5/22/17 24,150 24,149
4,7 Ally Master Owner Trust Series 2010-2 4.250% 4/15/17 2,600 2,726
4,7 Ally Master Owner Trust Series 2010-2 4.590% 4/15/17 15,500 16,239
4,6 Ally Master Owner Trust Series 2010-4 1.244% 8/15/17 58,280 58,833
4,6,7 Ally Master Owner Trust Series 2010-4 1.724% 8/15/17 39,172 39,637
4,6,7 Ally Master Owner Trust Series 2010-4 2.124% 8/15/17 29,770 30,072
4 Ally Master Owner Trust Series 2012-3 1.210% 6/15/17 39,400 39,630
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 78,200 77,770
4,6 American Express Credit Account Secured        
  Note Trust 2012-4 0.724% 5/15/20 27,755 27,712
4,6 American Express Issuance Trust II 2013-1 0.454% 2/15/19 131,000 130,357
4,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 16,990 18,213
4,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 11,185 12,845
4 AmeriCredit Automobile Receivables Trust        
  2012-1 1.230% 9/8/16 7,400 7,434
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 3,200 3,144
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 14,600 14,371
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 16,100 15,831
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 20,500 20,176
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 3,460 3,480
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 4,660 4,725
4,6,7 Arkle Master Issuer plc Series 2010-1 1.513% 5/17/60 26,540 26,785
4,6,7 Arran Residential Mortgages Funding 2010-1        
  plc 1.663% 5/16/47 17,016 17,223
4,6,7 Arran Residential Mortgages Funding 2011-1        
  plc 1.713% 11/19/47 30,550 30,957
7 Australia & New Zealand Banking Group Ltd. 2.400% 11/23/16 12,950 13,469
4,6 BA Credit Card Trust 2007-A4 0.214% 11/15/19 36,370 35,945
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,900 4,713
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 44,308 48,663
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 44,938 49,484
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.572% 4/10/49 43,970 48,334
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.623% 4/10/49 23,534 26,282
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.163% 2/10/51 97,176 108,985
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.207% 2/10/51 6,835 7,848
4,8 Banc of America Funding 2006-H Trust 2.792% 9/20/46 30,530 23,203
4 Banc of America Mortgage 2003-F Trust 2.766% 7/25/33 1,813 1,823
4 Bank of America Mortgage 2002-J Trust 3.562% 9/25/32 23 24

 

 

4,6,7 Bank of America Student Loan Trust 2010-1A 1.038% 2/25/43 36,979 37,270
7 Bank of Nova Scotia 1.750% 3/22/17 11,057 11,298
4,6 Bank One Issuance Trust Series 2004-C2 0.974% 2/15/17 6,600 6,604
4,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 15,921 16,121
4,8 Bear Stearns ARM Trust 2006-4 2.577% 10/25/36 39,653 30,354
4,8 Bear Stearns ARM Trust 2007-3 2.869% 5/25/47 29,877 24,128
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2005-PWR9 4.943% 9/11/42 13,370 14,205
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 23,856 26,383
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.708% 6/11/40 21,611 24,336
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 133,284 148,789
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 41,936 47,729
4,6,7 BMW Floorplan Master Owner Trust 2012-1A 0.574% 9/15/17 93,500 93,513
4,6 Brazos Higher Education Authority Inc. Series        
  2005-3 0.451% 6/25/26 15,150 14,184
4,6 Brazos Higher Education Authority Inc. Series        
  2010-1 1.162% 5/25/29 36,102 36,714
4,6 Brazos Higher Education Authority Inc. Series        
  2011-1 1.062% 2/25/30 48,400 48,753
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 8,370 8,321
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 15,161 15,018
4 Capital Auto Receivables Asset Trust 2013-1 0.970% 1/22/18 18,000 17,856
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 5,600 5,538
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 5,420 5,323
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 13,400 13,547
4,6 Capital One Multi-asset Execution Trust 2004-        
  C2 1.224% 12/15/16 2,940 2,940
4,6 Capital One Multi-asset Execution Trust 2006-        
  A11 0.264% 6/17/19 12,195 12,115
4,6 Capital One Multi-asset Execution Trust 2007-        
  A1 0.224% 11/15/19 27,690 27,447
4,6 Capital One Multi-asset Execution Trust 2007-        
  A2 0.254% 12/16/19 110,725 109,767
4,6 Capital One Multi-asset Execution Trust 2007-        
  A5 0.214% 7/15/20 33,485 33,016
4,6,7 Cards II Trust 2012-4A 0.624% 9/15/17 27,040 27,078
4 CarMax Auto Owner Trust 2010-2 2.040% 10/15/15 25,505 25,684
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 5,940 5,997
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 3,630 3,659
4 CD 2007-CD4 Commercial Mortgage Trust 5.205% 12/11/49 2,075 2,073
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 21,400 21,615
4,7 CFCRE Commercial Mortgage Trust 2011-C1 5.546% 4/15/44 3,100 3,349
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.559% 12/15/47 14,930 16,473
4,6 Chase Issuance Trust 2007-C1 0.634% 4/15/19 30,600 30,163
4,6 Chase Issuance Trust 2012-A10 0.434% 12/16/19 117,000 116,553
4 Chase Issuance Trust 2012-A3 0.790% 6/15/17 23,150 23,240
4 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 2.665% 11/19/33 2,133 2,007
4,8 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 2.634% 3/20/36 16,910 12,195
4,8 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 2.818% 2/25/47 19,807 15,006

 

 

4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 1.830% 3/15/19 3,985 3,996
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 4,785 4,799
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 5,185 5,200
4,7 CIT Equipment Collateral 2012-VT1 1.100% 8/22/16 22,830 22,894
4,6 Citibank Credit Card Issuance Trust 2005-C2 0.640% 3/24/17 4,380 4,367
4,6 Citibank Credit Card Issuance Trust 2006-A7 0.314% 12/17/18 31,075 30,801
4 Citibank Credit Card Issuance Trust 2007-A8 5.650% 9/20/19 24,075 27,942
4,6 Citibank Credit Card Issuance Trust 2008-A7 1.547% 5/20/20 61,200 63,933
4,7 Citibank Omni Master Trust 2009-A13 5.350% 8/15/18 77,575 80,434
4,6,7 Citibank Omni Master Trust 2009-A14A 2.924% 8/15/18 65,116 66,319
4,7 Citibank Omni Master Trust 2009-A17 4.900% 11/15/18 114,717 119,658
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,980 5,804
4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,100 2,101
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 4,885 4,895
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,100 5,891
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 33,878 35,770
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 7,270 7,702
4,8 Citigroup Mortgage Loan Trust 2007-AR8 2.755% 7/25/37 1,721 1,498
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 11,662 11,929
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 24,896 24,236
4 CNH Equipment Trust 2010-B 1.740% 1/17/17 39,720 39,952
4 CNH Equipment Trust 2010-C 1.750% 5/16/16 47,880 48,234
4 CNH Equipment Trust 2011-B 1.290% 9/15/17 3,200 3,227
4 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 24,554 27,300
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 67,383 74,356
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 36,900 40,622
4 COMM 2007-C9 Mortgage Trust 5.800% 12/10/49 910 910
4 COMM 2007-C9 Mortgage Trust 5.800% 12/10/49 25,210 28,564
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,925 2,866
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 4,100 4,131
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 7,520 7,175
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 5,955 5,671
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,509
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 30,255 31,704
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 14,650 15,089
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 6,830 7,035
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 22,465 22,564
4 COMM 2013-CCRE9 Mortgage Trust 4.238% 7/10/45 19,500 20,630
4,7 COMM 2013-CCRE9 Mortgage Trust 4.261% 7/10/45 11,250 11,680
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 20,750 21,573
4 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 9,520 9,982
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 32,400 33,630
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 10,688 11,140
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 11,725 12,328
4,7 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 18,565 19,577
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 4,100 3,926
4,7 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 5,490 5,191

 

 

4 Commercial Mortgage Trust 2005-GG5 5.224% 4/10/37 9,600 10,170
4 Commercial Mortgage Trust 2006-GG7 5.828% 7/10/38 34,277 37,591
7 Commonwealth Bank of Australia 2.250% 3/16/17 50,220 51,850
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 5.793% 6/15/38 19,958 21,867
4 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C1 5.361% 2/15/40 22,211 23,797
4 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C5 5.589% 9/15/40 2,282 2,285
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.036% 2/15/41 59,023 65,404
4,7 Cronos Containers Program Ltd. 2012-2A 3.810% 9/18/27 15,783 15,899
4,6 Discover Card Execution Note Trust 2012-A4 0.544% 11/15/19 52,825 52,912
4 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 114,300 111,168
4,6 Discover Card Execution Note Trust 2013-A1 0.474% 8/17/20 74,900 74,574
7 DNB Boligkreditt AS 1.450% 3/21/18 20,580 20,406
4 Dryrock Issuance Trust Series 2012-2 0.640% 8/15/18 13,500 13,467
4,7 Enterprise Fleet Financing LLC Series 2011-2 1.430% 10/20/16 8,968 9,005
4,7 Enterprise Fleet Financing LLC Series 2011-2 1.900% 10/20/16 12,300 12,427
4,7 Enterprise Fleet Financing LLC Series 2011-3 2.100% 5/20/17 12,201 12,298
4,7 Enterprise Fleet Financing LLC Series 2012-2 0.720% 4/20/18 27,029 27,030
4,7 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 10,300 10,282
4,8 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 2.023% 11/25/36 14,066 11,733
8 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 2.551% 1/25/37 31,864 26,506
4,7 Fontainebleau Miami Beach Trust 2012-FBLU 2.887% 5/5/27 5,070 5,130
4,7 Ford Credit Auto Lease Trust 2012-B 1.100% 12/15/15 10,050 10,069
4 Ford Credit Auto Lease Trust 2013-A 0.780% 4/15/16 13,500 13,441
4 Ford Credit Auto Lease Trust 2013-A 1.010% 5/15/16 18,050 17,946
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 13,780 13,697
4 Ford Credit Auto Owner Trust 2010-A 3.220% 3/15/16 6,040 6,142
4 Ford Credit Auto Owner Trust 2013-A 1.150% 7/15/18 8,200 8,189
4 Ford Credit Auto Owner Trust 2013-A 1.360% 10/15/18 4,000 3,990
4 Ford Credit Auto Owner Trust 2013-B 1.110% 10/15/18 10,460 10,503
4 Ford Credit Auto Owner Trust 2013-B 1.320% 1/15/19 4,130 4,135
4 Ford Credit Auto Owner Trust 2013-B 1.820% 11/15/19 3,340 3,374
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 4,900 4,930
4 Ford Credit Auto Owner Trust 2013-C 1.910% 3/15/19 4,250 4,277
4 Ford Credit Auto Owner Trust 2013-C 2.500% 1/15/20 4,550 4,594
4,6,7 Ford Credit Floorplan Master Owner Trust A        
  Series 2010-3 1.874% 2/15/17 28,982 29,456
4,7 Ford Credit Floorplan Master Owner Trust A        
  Series 2010-3 4.200% 2/15/17 22,356 23,313
4,7 Ford Credit Floorplan Master Owner Trust A        
  Series 2010-3 4.990% 2/15/17 21,000 21,955
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 26,800 27,353
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-4 0.940% 9/15/16 12,100 12,085
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-4 1.390% 9/15/16 28,200 28,238
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 116,300 116,307
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 7,200 7,174

 

 

4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 8,650 8,636
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 25,699 25,516
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 9,660 9,644
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-3 1.740% 6/15/17 7,529 7,523
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 6,180 6,175
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 6,630 6,551
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 2,650 2,625
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 6,815 6,791
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 29,242 29,006
4,6 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.174% 5/15/19 50,270 50,315
4 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 72,000 72,415
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 90,140 89,621
4,6 GE Dealer Floorplan Master Note Trust        
  Series 2012-1 0.743% 2/20/17 33,825 33,904
4,6 GE Dealer Floorplan Master Note Trust        
  Series 2012-2 0.923% 4/22/19 48,100 48,449
4,6 GE Dealer Floorplan Master Note Trust        
  Series 2012-4 0.613% 10/20/17 25,000 24,999
4 GMACM Mortgage Loan Trust 2005-AR6 3.398% 11/19/35 5,942 5,414
4,7 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 83,300 84,552
4,6,7 Golden Credit Card Trust 2012-3A 0.624% 7/17/17 60,000 60,079
4,6,7 Golden Credit Card Trust 2013-1A 0.424% 2/15/18 39,200 39,071
4,6 Granite Master Issuer plc Series 2007-1 0.313% 12/20/54 7,119 7,011
4,6 Granite Master Issuer plc Series 2007-2 0.254% 12/17/54 2,391 2,354
4,7 Great America Leasing Receivables 2011-1 2.340% 4/15/16 16,090 16,214
4,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 11,500 11,517
4 GS Mortgage Securities Trust 2006-GG6 5.553% 4/10/38 26,869 28,994
4,7 GS Mortgage Securities Trust 2010-C2 5.225% 12/10/43 3,530 3,798
4,7 GS Mortgage Securities Trust 2011-GC3 5.543% 3/10/44 2,280 2,459
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 20,420 20,511
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 18,290 17,363
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,097
4 GS Mortgage Securities Trust 2013-GC13 4.040% 7/10/46 22,170 23,226
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 16,420 15,877
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 22,530 23,423
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 8,192 8,626
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 49,000 51,557
4 Harley-Davidson Motorcycle Trust 2010-1 1.530% 9/15/15 10,616 10,636
4 Harley-Davidson Motorcycle Trust 2011-1 1.310% 3/15/17 5,800 5,843
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 18,350 18,286
4,7 Hertz Vehicle Financing LLC 2009-2A 5.290% 3/25/16 15,250 16,012
4,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 52,150 54,971
4,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 41,500 43,787
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 80,200 78,758
4,6,7 Holmes Master Issuer plc 2011-3A 1.794% 10/15/54 12,934 13,065
4,7 Hyundai Auto Lease Securitization Trust        
  2012-A 1.050% 4/17/17 22,000 22,082

 

 

4,7 Hyundai Auto Lease Securitization Trust        
  2013-A 0.660% 6/15/16 20,650 20,645
4,7 Hyundai Auto Lease Securitization Trust        
  2013-A 0.770% 10/17/16 9,952 9,942
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 8,100 8,230
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 5,840 5,849
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 9,850 9,864
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 6,500 6,529
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 5,470 5,512
4,6,7 Hyundai Floorplan Master Owner Trust Series        
  2013-1 0.524% 5/15/18 20,000 19,978
4,6,7 Hyundai Floorplan Master Owner Trust Series        
  2013-1 0.824% 5/15/18 8,950 8,908
4,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 18,476 18,498
6 Illinois Student Assistance Commission        
  Series 2010-1 1.288% 4/25/22 28,262 28,433
4,7 Irvine Core Office Trust 2013-IRV 2.068% 5/15/48 5,546 5,421
4,7 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 14,450 13,800
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2005-LDP1 4.625% 3/15/46 1,118 1,123
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 48,082 52,315
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 5.863% 4/15/45 36,322 40,208
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 4,880 5,406
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 44,650 50,332
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 39,645 44,147
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP11 5.798% 6/15/49 23,554 23,807
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.827% 2/15/51 1,200 1,210
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 33,463 37,932
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2009-IWST 5.633% 12/5/27 6,185 7,066
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 2,300 2,514
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 3,300 3,503
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 3,140 3,339
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.526% 11/15/43 6,225 6,843
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.526% 11/15/43 7,100 7,552
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 17,600 19,114
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 26,091 28,673
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 2,930 3,147
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.314% 8/15/46 4,100 4,650

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 2,950 2,815
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,030 3,940
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,850 5,682
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 14,110 14,594
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 4,885 4,860
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 11,321 10,791
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 17,080 17,215
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.027% 7/15/45 7,520 7,671
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 16,407 17,044
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 17,400 18,237
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 24,290 25,068
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 4,050 4,181
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.131% 11/15/45 27,200 28,289
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 17,820 18,556
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.251% 11/15/45 13,360 13,541
4,6,7 Kildare Securities Ltd. 2007-1A 0.376% 12/10/43 10,685 10,470
4,6,7 Lanark Master Issuer plc 2012-2A 1.662% 12/22/54 31,950 32,401
4,6,7 Lanark Master Issuer plc 2013-1A 0.762% 12/22/54 16,925 16,845
4 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 66,849 72,771
4 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 36,126 38,879
4 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 9,765 10,763
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 27,488 30,980
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL 3.220% 2/1/21 29,250 30,789
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-ELL 3.450% 2/1/22 13,800 14,768
4,7 Macquarie Equipment Funding Trust 2011-A 1.910% 4/20/17 9,136 9,182
4,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 13,647 13,636
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 12,460 13,021
4,7 Master Credit Card Trust 2012-2A 1.970% 4/21/17 4,000 4,004
4,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 4,319 4,325
4 MASTR Adjustable Rate Mortgages Trust        
  2004-3 2.214% 4/25/34 2,552 2,453
4,6 MBNA Credit Card Master Note Trust 2004-        
  A3 0.434% 8/16/21 17,800 17,599
4,6 MBNA Credit Card Master Note Trust 2004-        
  C2 1.074% 11/15/16 39,715 39,742
4,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 51,700 51,730
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 1.894% 2/25/33 3,135 3,081

 

 

4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 2.654% 7/25/33 897 886
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 11,898 13,146
4 Merrill Lynch Mortgage Trust 2007-C1 5.748% 6/12/50 2,745 2,751
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 11,590 13,066
4 ML-CFC Commercial Mortgage Trust 2006-2 5.887% 6/12/46 28,102 31,122
4 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 8,976 8,988
4,7 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 15,792 16,143
4,7 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 24,275 24,696
4,7 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 27,800 29,015
4,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 13,800 13,903
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 5,870 5,794
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 2,000 2,015
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 5,700 5,470
4,7 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-CKSV 3.277% 10/15/30 21,775 20,520
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.083% 7/15/46 24,600 25,702
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.085% 8/15/46 22,200 23,143
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 4.220% 8/15/46 30,315 31,956
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C12 3.824% 10/15/46 8,080 8,455
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 2.918% 2/15/46 6,400 6,114
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 3.214% 2/15/46 2,940 2,812
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C9 3.102% 5/15/46 9,080 8,755
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 79,517 87,674
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 36,717 40,544
4 Morgan Stanley Capital I Trust 2007-IQ15 5.910% 6/11/49 37,670 42,285
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 81,884 91,103
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 3,143 3,125
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,500 2,527
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,045 16,492
4 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 2.246% 6/25/36 14,347 13,432
4,6,7 Motor 2012 plc 0.669% 2/25/20 21,442 21,445
4,7 Motor 2012 plc 1.286% 2/25/20 12,030 12,032
7 National Australia Bank Ltd. 2.000% 6/20/17 30,200 30,901
4,6,7 Navistar Financial Dealer Note Master Owner        
  Trust Series 2013-1 0.840% 1/25/18 28,900 28,929
6 New Mexico Educational Assistance        
  Foundation 2013-1 0.880% 1/2/25 30,941 30,795
4 Nissan Auto Lease Trust 2013-A 0.740% 10/15/18 15,750 15,738
4,6 Nissan Master Owner Trust Receivables        
  Series 2012-A 0.644% 5/15/17 51,950 52,011
4,6 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.474% 2/15/18 39,200 39,073
7 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 24,250 24,177
6 North Carolina State Education Assistance        
  Authority 2011-1 1.138% 1/26/26 37,100 37,291

 

 

4,6 North Carolina State Education Assistance        
  Authority 2011-2 1.038% 7/25/25 5,420 5,420
4,7 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 10,065 11,083
4,7 Rental Car Finance Corp. 2011-1A 2.510% 2/25/16 87,600 88,854
4,8 RFMSI Series 2006-SA2 Trust 3.630% 8/25/36 28,316 23,306
4,8 RFMSI Series 2006-SA3 Trust 3.699% 9/25/36 10,693 9,560
4 Royal Bank of Canada 1.200% 9/19/18 31,200 31,107
4 Santander Drive Auto Receivables Trust        
  2013-1 1.760% 1/15/19 4,810 4,804
4 Santander Drive Auto Receivables Trust        
  2013-2 1.330% 3/15/18 6,000 5,920
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 24,200 23,850
4,6,7 Silverstone Master Issuer plc 2010-1A 1.746% 1/21/55 30,740 31,330
4,6 SLM Student Loan Trust 2005-5 0.338% 4/25/25 60,805 60,449
4,6 SLM Student Loan Trust 2005-9 0.358% 1/27/25 26,343 26,202
4,6 SLM Student Loan Trust 2006-5 0.348% 1/25/27 24,500 23,632
4,6 SLM Student Loan Trust 2006-6 0.348% 10/27/25 36,300 35,245
4,6 SLM Student Loan Trust 2007-1 0.328% 1/26/26 66,950 64,644
4,6,7 SLM Student Loan Trust 2011-A 1.174% 10/15/24 14,382 14,418
4,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 12,200 13,056
4,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 60,000 63,164
4,6,7 SLM Student Loan Trust 2011-C 1.574% 12/15/23 17,490 17,606
4,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 22,200 24,304
4,6 SLM Student Loan Trust 2012-6 0.450% 9/25/19 34,620 34,481
4,6,7 SLM Student Loan Trust 2012-B 1.274% 12/15/21 7,619 7,635
4,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 15,200 15,962
4,6,7 SLM Student Loan Trust 2012-E 0.924% 10/16/23 21,128 21,099
4,6,7 SLM Student Loan Trust 2013-1 1.224% 5/17/27 24,000 23,732
4,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 8,000 7,429
4,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 14,750 14,333
4,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 6,500 6,152
4,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 5,860 5,546
4,6,7 SMART ABS Series 2010-1US Trust 1.674% 12/14/15 27,720 27,867
4,6,7 SMART ABS Series 2011-1US Trust 1.024% 10/14/14 233 233
4,7 SMART ABS Series 2011-1US Trust 1.770% 10/14/14 703 703
4,7 SMART ABS Series 2011-1US Trust 2.520% 11/14/16 42,300 42,847
4,7 SMART ABS Series 2011-2US Trust 2.310% 4/14/17 26,850 27,387
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 26,200 26,252
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 9,100 9,007
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 18,500 18,256
4,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 13,908 14,969
4,6 South Carolina Student Loan Corp. Revenue        
  2010-1 1.238% 7/25/25 30,100 30,424
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 11,250 10,993
4,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 24,490 23,560
7 Stadshypotek AB 1.250% 5/23/18 12,815 12,587
7 Swedbank Hypotek AB 1.375% 3/28/18 14,200 14,018
4,7 Textainer Marine Containers Ltd. 2011-1A 4.700% 6/15/26 12,880 12,892
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,250 1,300
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 24,595 24,069
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 8,915 8,476
4,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 10,700 10,170
4 Volkswagen Auto Lease Trust 2012-A 1.060% 5/22/17 17,750 17,861
4 Volkswagen Auto Loan Enhanced Trust 2012-        
  1 1.150% 7/20/18 15,500 15,658

 

 

4,6,7 Volkswagen Credit Auto Master Owner Trust        
  2011-1A 0.853% 9/20/16 25,870 25,936
4,7 Volvo Financial Equipment LLC Series 2012-1 2.380% 9/16/19 5,400 5,490
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 8,543 9,262
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 43,865 48,341
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 46,760 51,310
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 36,404 40,247
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C33 5.925% 2/15/51 46,804 52,031
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C34 5.569% 5/15/46 15,968 15,969
4 WaMu Mortgage Pass-Through Certificates        
  Series 2002-AR18 2.496% 1/25/33 308 319
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR7 2.309% 8/25/33 1,893 1,853
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR9 2.427% 9/25/33 2,612 2,598
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 19,257 18,580
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,650 1,628
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 8,075 8,524
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 12,700 13,372
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.305% 7/15/46 4,906 5,100
4,8 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 2.621% 10/25/36 26,179 23,352
7 Westpac Banking Corp. 1.375% 7/17/15 6,480 6,568
4,7 Westpac Banking Corp. 1.250% 12/14/18 13,436 13,286
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 11,545 12,347
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 8,855 8,462
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 11,630 11,658
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 5,056 5,212
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 4,400 4,280
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 8,360 8,013
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,860 2,785
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,230 2,147
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 7,986 8,272
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 22,490 23,524
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 14,650 15,663
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 19,000 18,738
4 World Omni Automobile Lease Securitization        
  Trust 2011-A 1.780% 9/15/16 26,222 26,409
4,6,7 World Omni Master Owner Trust 2013-1 0.524% 2/15/18 18,000 17,972
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $8,933,895)   8,964,643

 

 

Corporate Bonds (59.8%)        
Finance (25.7%)        
Banking (19.6%)        
Abbey National Treasury Services plc 2.875% 4/25/14 19,625 19,831
7 Abbey National Treasury Services plc 3.875% 11/10/14 22,155 22,772
Abbey National Treasury Services plc 4.000% 4/27/16 35,320 37,642
Abbey National Treasury Services plc 3.050% 8/23/18 59,595 61,754
American Express Centurion Bank 0.875% 11/13/15 4,915 4,922
American Express Centurion Bank 6.000% 9/13/17 47,600 55,305
American Express Co. 6.150% 8/28/17 17,853 20,832
American Express Co. 7.000% 3/19/18 22,315 26,985
American Express Credit Corp. 1.750% 6/12/15 12,035 12,244
American Express Credit Corp. 2.750% 9/15/15 55,697 57,932
American Express Credit Corp. 2.800% 9/19/16 56,420 59,220
American Express Credit Corp. 2.375% 3/24/17 31,210 32,266
Amsouth Bank 5.200% 4/1/15 9,770 10,257
Associated Banc-Corp 1.875% 3/12/14 43,900 43,964
Australia & New Zealand Banking Group Ltd. 0.900% 2/12/16 19,500 19,524
7 Australia & New Zealand Banking Group Ltd. 3.250% 3/1/16 28,325 29,821
Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 54,192 54,654
Australia & New Zealand Banking Group Ltd. 1.450% 5/15/18 16,600 16,241
7 Banco Votorantim SA 5.250% 2/11/16 11,720 12,276
Bancolombia SA 4.250% 1/12/16 7,820 8,132
Bank of America Corp. 7.375% 5/15/14 30,501 31,577
Bank of America Corp. 4.500% 4/1/15 69,150 72,530
Bank of America Corp. 3.700% 9/1/15 5,960 6,244
Bank of America Corp. 1.500% 10/9/15 24,365 24,541
Bank of America Corp. 3.625% 3/17/16 13,175 13,911
Bank of America Corp. 3.750% 7/12/16 6,350 6,743
Bank of America Corp. 6.500% 8/1/16 63,503 72,171
Bank of America Corp. 5.625% 10/14/16 19,010 21,275
Bank of America Corp. 5.420% 3/15/17 21,197 23,506
Bank of America Corp. 3.875% 3/22/17 54,940 58,775
Bank of America Corp. 6.000% 9/1/17 27,184 31,166
Bank of America Corp. 5.750% 12/1/17 35,235 40,171
Bank of America Corp. 2.000% 1/11/18 30,590 30,372
Bank of America Corp. 5.650% 5/1/18 12,850 14,624
Bank of America Corp. 2.600% 1/15/19 5,840 5,860
Bank of America NA 5.300% 3/15/17 9,760 10,819
Bank of America NA 6.100% 6/15/17 6,429 7,321
Bank of Montreal 0.800% 11/6/15 19,500 19,531
Bank of Montreal 2.500% 1/11/17 77,815 80,967
Bank of Montreal 1.400% 9/11/17 41,205 40,961
Bank of Montreal 1.450% 4/9/18 48,550 47,933
Bank of New York Mellon Corp. 4.950% 3/15/15 41,945 44,314
Bank of New York Mellon Corp. 2.300% 7/28/16 28,134 29,146
Bank of New York Mellon Corp. 2.400% 1/17/17 28,950 29,946
Bank of New York Mellon Corp. 1.969% 6/20/17 8,300 8,428
Bank of Nova Scotia 2.050% 10/7/15 14,680 15,086
Bank of Nova Scotia 0.750% 10/9/15 29,360 29,377
Bank of Nova Scotia 2.900% 3/29/16 12,255 12,829
Bank of Nova Scotia 1.375% 7/15/16 78,190 78,902
Bank of Nova Scotia 2.550% 1/12/17 62,130 64,785
Bank of Nova Scotia 1.375% 12/18/17 31,425 31,071
Bank of Nova Scotia 1.450% 4/25/18 7,100 6,985
Bank of Nova Scotia 2.050% 10/30/18 22,820 22,894
Bank One Corp. 4.900% 4/30/15 14,615 15,432

 

 

7 Banque Federative du Credit Mutuel SA 2.500% 10/29/18 29,855 29,926
  Barclays Bank plc 5.200% 7/10/14 29,760 30,719
  Barclays Bank plc 2.750% 2/23/15 24,275 24,888
  Barclays Bank plc 5.000% 9/22/16 51,875 57,446
  BB&T Corp. 2.050% 4/28/14 18,015 18,126
  BB&T Corp. 5.700% 4/30/14 27,020 27,712
  BB&T Corp. 5.200% 12/23/15 21,527 23,316
  BB&T Corp. 3.200% 3/15/16 44,240 46,535
  BB&T Corp. 3.950% 4/29/16 9,890 10,598
  BB&T Corp. 2.150% 3/22/17 59,751 61,147
  BB&T Corp. 4.900% 6/30/17 9,750 10,814
  BB&T Corp. 1.600% 8/15/17 21,460 21,445
  BB&T Corp. 2.050% 6/19/18 18,058 18,066
  BBVA US Senior SAU 4.664% 10/9/15 128,791 135,498
  Bear Stearns Cos. LLC 5.300% 10/30/15 22,345 24,138
  Bear Stearns Cos. LLC 5.550% 1/22/17 24,450 27,317
  Bear Stearns Cos. LLC 6.400% 10/2/17 20,970 24,474
  Bear Stearns Cos. LLC 7.250% 2/1/18 21,801 26,282
  BNP Paribas SA 3.250% 3/11/15 29,581 30,581
  BNP Paribas SA 3.600% 2/23/16 84,830 89,742
  BNP Paribas SA 2.375% 9/14/17 151,540 155,062
  BNP Paribas SA 2.700% 8/20/18 41,035 42,058
  BNY Mellon NA 4.750% 12/15/14 22,530 23,569
  Branch Banking & Trust Co. 5.625% 9/15/16 9,510 10,627
  Canadian Imperial Bank of Commerce 1.350% 7/18/16 23,460 23,682
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 27,065 26,792
  Capital One Financial Corp. 2.150% 3/23/15 26,325 26,773
  Capital One Financial Corp. 6.150% 9/1/16 4,335 4,849
  Capital One NA 1.500% 3/22/18 60,395 59,261
  Citigroup Inc. 6.375% 8/12/14 6,559 6,847
  Citigroup Inc. 5.000% 9/15/14 18,920 19,632
  Citigroup Inc. 5.500% 10/15/14 7,763 8,110
  Citigroup Inc. 6.010% 1/15/15 18,183 19,264
  Citigroup Inc. 4.875% 5/7/15 9,728 10,237
  Citigroup Inc. 4.700% 5/29/15 18,762 19,799
  Citigroup Inc. 4.587% 12/15/15 12,700 13,567
  Citigroup Inc. 5.300% 1/7/16 7,315 7,943
  Citigroup Inc. 1.250% 1/15/16 2,445 2,448
  Citigroup Inc. 3.953% 6/15/16 86,180 91,958
  Citigroup Inc. 5.850% 8/2/16 17,290 19,307
  Citigroup Inc. 4.450% 1/10/17 24,385 26,429
  Citigroup Inc. 6.125% 11/21/17 35,565 41,148
  Citigroup Inc. 1.750% 5/1/18 20,544 20,126
  Citigroup Inc. 2.500% 9/26/18 50,810 51,208
4,7,9 Colonial BancGroup Inc. 7.114% 5/29/49 25,100 3
  Comerica Bank 5.700% 6/1/14 17,530 18,018
  Comerica Bank 5.750% 11/21/16 17,000 19,206
  Comerica Bank 5.200% 8/22/17 6,825 7,620
  Commonwealth Bank of Australia 1.250% 9/18/15 33,150 33,550
7 Commonwealth Bank of Australia 3.250% 3/17/16 30,600 32,247
  Commonwealth Bank of Australia 1.900% 9/18/17 19,280 19,533
  Commonwealth Bank of Australia 2.500% 9/20/18 49,315 50,341
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.125% 10/13/15 11,700 12,025
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.375% 1/19/17 116,823 124,412

 

 

Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 1.700% 3/19/18 25,093 24,977
Countrywide Financial Corp. 6.250% 5/15/16 37,914 42,073
Credit Suisse 3.500% 3/23/15 42,440 44,169
Credit Suisse USA Inc. 4.875% 1/15/15 17,953 18,876
Credit Suisse USA Inc. 5.125% 8/15/15 45,875 49,498
Credit Suisse USA Inc. 5.375% 3/2/16 16,725 18,434
7 Danske Bank A/S 3.875% 4/14/16 34,600 36,652
Deutsche Bank AG 3.875% 8/18/14 8,280 8,496
Deutsche Bank AG 3.250% 1/11/16 38,861 40,792
Deutsche Bank AG 6.000% 9/1/17 98,047 113,192
Deutsche Bank Financial LLC 5.375% 3/2/15 13,539 14,182
Fifth Third Bank 0.900% 2/26/16 24,395 24,300
Fifth Third Bank 1.450% 2/28/18 24,470 23,957
4 Fifth Third Capital Trust IV 6.500% 4/15/67 1,960 1,943
First Horizon National Corp. 5.375% 12/15/15 54,051 58,270
First Tennessee Bank NA 5.050% 1/15/15 20,881 21,651
Goldman Sachs Group Inc. 5.150% 1/15/14 7,030 7,093
Goldman Sachs Group Inc. 5.000% 10/1/14 15,515 16,149
Goldman Sachs Group Inc. 5.125% 1/15/15 62,333 65,493
Goldman Sachs Group Inc. 3.300% 5/3/15 35,709 36,962
Goldman Sachs Group Inc. 3.700% 8/1/15 50,131 52,370
Goldman Sachs Group Inc. 5.350% 1/15/16 40,460 44,185
Goldman Sachs Group Inc. 3.625% 2/7/16 52,445 55,300
Goldman Sachs Group Inc. 5.750% 10/1/16 22,820 25,670
Goldman Sachs Group Inc. 5.625% 1/15/17 37,115 41,283
Goldman Sachs Group Inc. 6.250% 9/1/17 68,105 78,787
Goldman Sachs Group Inc. 5.950% 1/18/18 48,765 55,941
Goldman Sachs Group Inc. 6.150% 4/1/18 17,320 20,075
Goldman Sachs Group Inc. 2.900% 7/19/18 8,900 9,081
7 HSBC Bank plc 1.500% 5/15/18 17,965 17,600
HSBC Bank USA NA 6.000% 8/9/17 10,110 11,552
HSBC USA Inc. 2.375% 2/13/15 95,532 97,654
HSBC USA Inc. 1.625% 1/16/18 64,365 63,913
HSBC USA Inc. 2.625% 9/24/18 32,245 33,013
HSBC USA Inc. 5.000% 9/27/20 7,815 8,538
Huntington Bancshares Inc. 2.600% 8/2/18 29,305 29,567
Intesa Sanpaolo SPA 3.125% 1/15/16 73,200 74,649
Intesa Sanpaolo SPA 3.875% 1/16/18 45,640 46,481
JPMorgan Chase & Co. 4.875% 3/15/14 34,090 34,636
JPMorgan Chase & Co. 5.125% 9/15/14 26,719 27,730
JPMorgan Chase & Co. 3.700% 1/20/15 44,237 45,886
JPMorgan Chase & Co. 4.750% 3/1/15 14,210 14,984
JPMorgan Chase & Co. 1.875% 3/20/15 34,900 35,460
JPMorgan Chase & Co. 3.400% 6/24/15 18,315 19,081
6 JPMorgan Chase & Co. 1.458% 9/1/15 10,570 10,526
JPMorgan Chase & Co. 5.150% 10/1/15 9,850 10,569
JPMorgan Chase & Co. 1.100% 10/15/15 27,325 27,373
JPMorgan Chase & Co. 2.600% 1/15/16 19,937 20,614
JPMorgan Chase & Co. 1.125% 2/26/16 29,275 29,370
JPMorgan Chase & Co. 3.450% 3/1/16 43,820 46,131
JPMorgan Chase & Co. 3.150% 7/5/16 70,101 73,731
JPMorgan Chase & Co. 2.000% 8/15/17 4,400 4,440
JPMorgan Chase & Co. 6.000% 1/15/18 49,253 56,969
JPMorgan Chase & Co. 1.800% 1/25/18 24,425 24,199
JPMorgan Chase & Co. 1.625% 5/15/18 8,780 8,605
JPMorgan Chase Bank NA 5.875% 6/13/16 9,750 10,889

 

 

JPMorgan Chase Bank NA 6.000% 7/5/17 8,592 9,785
JPMorgan Chase Bank NA 6.000% 10/1/17 16,455 18,963
KeyBank NA 1.650% 2/1/18 33,300 32,896
Lloyds Bank plc 4.875% 1/21/16 95,452 103,202
Lloyds Bank plc 4.200% 3/28/17 50,690 54,770
7 Lloyds Bank plc 6.500% 9/14/20 24,910 27,900
7 Macquarie Bank Ltd. 2.000% 8/15/16 42,070 42,473
Manufacturers & Traders Trust Co. 6.625% 12/4/17 39,089 46,056
Manufacturers & Traders Trust Co. 1.450% 3/7/18 24,395 23,891
4 Manufacturers & Traders Trust Co. 5.629% 12/1/21 9,755 10,132
Mellon Funding Corp. 5.000% 12/1/14 6,100 6,386
Merrill Lynch & Co. Inc. 5.450% 7/15/14 29,825 30,815
Merrill Lynch & Co. Inc. 5.000% 1/15/15 28,828 30,197
Merrill Lynch & Co. Inc. 6.050% 5/16/16 33,472 36,922
Merrill Lynch & Co. Inc. 5.700% 5/2/17 6,525 7,235
Merrill Lynch & Co. Inc. 6.400% 8/28/17 14,597 16,915
Merrill Lynch & Co. Inc. 6.875% 4/25/18 31,909 37,812
Morgan Stanley 4.750% 4/1/14 53,100 53,941
Morgan Stanley 4.200% 11/20/14 24,140 24,969
Morgan Stanley 4.100% 1/26/15 36,900 38,220
Morgan Stanley 6.000% 4/28/15 29,560 31,673
Morgan Stanley 4.000% 7/24/15 16,600 17,360
Morgan Stanley 5.375% 10/15/15 26,120 28,163
Morgan Stanley 3.450% 11/2/15 9,750 10,130
Morgan Stanley 3.800% 4/29/16 59,590 62,857
Morgan Stanley 5.750% 10/18/16 19,595 21,948
Morgan Stanley 5.450% 1/9/17 60,452 67,099
Morgan Stanley 5.550% 4/27/17 19,495 21,872
Morgan Stanley 6.250% 8/28/17 8,765 10,092
Morgan Stanley 5.950% 12/28/17 43,105 49,221
National Australia Bank Ltd. 2.000% 3/9/15 21,160 21,585
National Australia Bank Ltd. 1.600% 8/7/15 9,750 9,895
National Australia Bank Ltd. 1.300% 7/25/16 58,600 59,078
National Australia Bank Ltd. 2.750% 3/9/17 19,460 20,296
National Australia Bank Ltd. 2.300% 7/25/18 42,000 42,661
National Bank of Canada 1.500% 6/26/15 3,900 3,955
National Bank of Canada 1.450% 11/7/17 2,425 2,398
National City Bank 5.250% 12/15/16 14,250 15,904
National City Bank 5.800% 6/7/17 14,625 16,622
National City Corp. 6.875% 5/15/19 8,085 9,711
7 Nordea Bank AB 1.625% 5/15/18 13,130 12,890
PNC Bank NA 0.800% 1/28/16 26,345 26,332
PNC Bank NA 5.250% 1/15/17 27,935 31,144
PNC Bank NA 4.875% 9/21/17 14,135 15,728
PNC Bank NA 6.000% 12/7/17 4,885 5,665
PNC Bank NA 6.875% 4/1/18 4,197 5,038
PNC Funding Corp. 5.400% 6/10/14 6,820 7,022
PNC Funding Corp. 3.625% 2/8/15 4,885 5,060
PNC Funding Corp. 4.250% 9/21/15 23,385 24,863
PNC Funding Corp. 5.625% 2/1/17 4,380 4,912
Regions Bank 7.500% 5/15/18 38,405 45,726
Regions Financial Corp. 5.750% 6/15/15 33,764 36,101
Regions Financial Corp. 2.000% 5/15/18 27,350 26,942
Royal Bank of Canada 1.150% 3/13/15 19,324 19,507
Royal Bank of Canada 0.800% 10/30/15 34,200 34,342
Royal Bank of Canada 2.625% 12/15/15 4,380 4,557
Royal Bank of Canada 2.875% 4/19/16 73,300 76,805

 

 

Royal Bank of Canada 2.300% 7/20/16 66,735 69,117
Royal Bank of Canada 2.200% 7/27/18 81,600 82,593
Royal Bank of Scotland Group plc 2.550% 9/18/15 29,250 29,951
Royal Bank of Scotland NV 4.650% 6/4/18 21,450 22,256
Royal Bank of Scotland plc 4.875% 3/16/15 23,159 24,339
Royal Bank of Scotland plc 3.950% 9/21/15 43,868 45,976
Royal Bank of Scotland plc 4.375% 3/16/16 86,765 92,622
Santander Holdings USA Inc. 3.000% 9/24/15 30,401 31,215
Santander Holdings USA Inc. 4.625% 4/19/16 61,904 66,455
Santander Holdings USA Inc. 3.450% 8/27/18 10,745 11,046
7 Societe Generale SA 3.100% 9/14/15 3,900 4,043
7 Societe Generale SA 3.500% 1/15/16 12,750 13,384
Societe Generale SA 2.750% 10/12/17 52,650 54,139
Societe Generale SA 2.625% 10/1/18 57,025 57,617
SouthTrust Corp. 5.800% 6/15/14 25,467 26,229
Sovereign Bank 8.750% 5/30/18 33,955 40,364
State Street Bank & Trust Co. 5.300% 1/15/16 7,261 7,892
State Street Corp. 5.375% 4/30/17 19,520 22,151
6 SunTrust Bank 0.548% 4/1/15 5,855 5,812
SunTrust Banks Inc. 3.500% 1/20/17 12,711 13,495
SunTrust Banks Inc. 6.000% 9/11/17 8,795 10,128
Svenska Handelsbanken AB 2.875% 4/4/17 16,550 17,271
7 Swedbank AB 2.125% 9/29/17 2,800 2,834
7 Swedbank AB 1.750% 3/12/18 6,800 6,716
Toronto-Dominion Bank 2.500% 7/14/16 23,796 24,760
UBS AG 3.875% 1/15/15 19,873 20,632
UBS AG 5.875% 12/20/17 95,625 110,638
UBS AG 5.750% 4/25/18 115,735 134,703
Union Bank NA 5.950% 5/11/16 53,730 59,512
Union Bank NA 3.000% 6/6/16 56,590 59,589
Union Bank NA 1.500% 9/26/16 25,125 25,409
Union Bank NA 2.125% 6/16/17 29,740 30,287
Union Bank NA 2.625% 9/26/18 37,080 37,981
US Bancorp 1.650% 5/15/17 29,570 29,865
6 US Bank NA 0.524% 10/14/14 21,100 21,109
4 US Bank NA 3.778% 4/29/20 42,700 44,443
Wachovia Bank NA 4.800% 11/1/14 18,500 19,261
Wachovia Bank NA 4.875% 2/1/15 11,750 12,350
Wachovia Bank NA 5.000% 8/15/15 9,750 10,428
Wachovia Bank NA 5.600% 3/15/16 26,540 29,295
Wachovia Bank NA 6.000% 11/15/17 44,673 51,650
Wachovia Corp. 4.875% 2/15/14 13,305 13,466
Wachovia Corp. 5.250% 8/1/14 41,415 42,826
Wachovia Corp. 5.625% 10/15/16 34,080 38,186
Wachovia Corp. 5.750% 2/1/18 40,615 47,460
9 Washington Mutual Bank / Debt not acquired        
by JPMorgan 6.875% 6/15/11 21,983 2
Wells Fargo & Co. 4.625% 4/15/14 13,750 13,995
Wells Fargo & Co. 3.625% 4/15/15 24,060 25,070
Wells Fargo & Co. 3.676% 6/15/16 53,334 56,859
Wells Fargo & Co. 1.250% 7/20/16 34,715 34,898
Wells Fargo & Co. 5.625% 12/11/17 8,790 10,147
Wells Fargo & Co. 2.150% 1/15/19 35,175 35,297
Wells Fargo Bank NA 4.750% 2/9/15 11,265 11,812
Wells Fargo Bank NA 0.750% 7/20/15 14,650 14,688
Westpac Banking Corp. 4.200% 2/27/15 46,575 48,856
Westpac Banking Corp. 3.000% 8/4/15 27,650 28,827

 

 

Westpac Banking Corp. 1.125% 9/25/15 26,500 26,811
Westpac Banking Corp. 3.000% 12/9/15 33,150 34,697
Westpac Banking Corp. 0.950% 1/12/16 19,500 19,549
Westpac Banking Corp. 2.000% 8/14/17 54,800 55,743
Westpac Banking Corp. 1.600% 1/12/18 37,355 37,131
Westpac Banking Corp. 2.250% 7/30/18 20,830 21,112
Zions Bancorporation 5.500% 11/16/15 7,820 8,152
 
Brokerage (0.3%)        
Ameriprise Financial Inc. 5.650% 11/15/15 6,820 7,471
4 Ameriprise Financial Inc. 7.518% 6/1/66 6,634 7,331
Charles Schwab Corp. 0.850% 12/4/15 14,650 14,656
Charles Schwab Corp. 2.200% 7/25/18 5,080 5,149
Franklin Resources Inc. 1.375% 9/15/17 15,270 15,063
Franklin Resources Inc. 2.800% 9/15/22 4,888 4,647
Jefferies Group LLC 5.125% 4/13/18 12,335 13,337
9 Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 9,410 1
Nomura Holdings Inc. 4.125% 1/19/16 9,770 10,292
Nomura Holdings Inc. 2.000% 9/13/16 53,029 53,271
 
Finance Companies (1.8%)        
General Electric Capital Corp. 4.750% 9/15/14 10,000 10,371
General Electric Capital Corp. 3.750% 11/14/14 33,995 35,166
General Electric Capital Corp. 2.150% 1/9/15 140 143
General Electric Capital Corp. 3.500% 6/29/15 19,406 20,313
General Electric Capital Corp. 1.625% 7/2/15 24,395 24,783
General Electric Capital Corp. 4.375% 9/21/15 9,264 9,891
General Electric Capital Corp. 2.250% 11/9/15 18,790 19,344
General Electric Capital Corp. 1.000% 12/11/15 6,830 6,867
General Electric Capital Corp. 5.000% 1/8/16 22,905 24,958
General Electric Capital Corp. 2.950% 5/9/16 39,930 41,885
General Electric Capital Corp. 1.500% 7/12/16 20,170 20,414
General Electric Capital Corp. 3.350% 10/17/16 46,380 49,496
General Electric Capital Corp. 2.900% 1/9/17 41,905 43,973
General Electric Capital Corp. 5.400% 2/15/17 28,300 31,944
General Electric Capital Corp. 2.300% 4/27/17 37,327 38,477
General Electric Capital Corp. 5.625% 9/15/17 10,735 12,329
General Electric Capital Corp. 5.625% 5/1/18 29,835 34,471
4 General Electric Capital Corp. 6.375% 11/15/67 7,110 7,714
HSBC Finance Corp. 5.250% 4/15/15 19,525 20,730
HSBC Finance Corp. 5.000% 6/30/15 44,605 47,401
HSBC Finance Corp. 5.500% 1/19/16 63,490 69,313
6 HSBC Finance Corp. 0.690% 6/1/16 17,450 17,394
SLM Corp. 3.875% 9/10/15 63,420 65,800
SLM Corp. 6.250% 1/25/16 101,274 110,669
SLM Corp. 6.000% 1/25/17 40,700 44,370
SLM Corp. 4.625% 9/25/17 19,520 20,226
 
Insurance (2.6%)        
ACE INA Holdings Inc. 5.700% 2/15/17 10,847 12,280
Aetna Inc. 6.500% 9/15/18 11,700 13,948
Alleghany Corp. 5.625% 9/15/20 8,890 9,834
Allied World Assurance Co. Ltd. 7.500% 8/1/16 28,180 32,762
Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,075 2,280
American Financial Group Inc. 9.875% 6/15/19 4,885 6,404
American International Group Inc. 3.000% 3/20/15 44,095 45,376
American International Group Inc. 2.375% 8/24/15 9,750 9,954

 

 

American International Group Inc. 5.050% 10/1/15 29,335 31,618
American International Group Inc. 4.875% 9/15/16 37,809 41,580
American International Group Inc. 5.600% 10/18/16 9,770 10,937
American International Group Inc. 3.800% 3/22/17 21,555 23,051
American International Group Inc. 5.450% 5/18/17 13,300 14,985
American International Group Inc. 5.850% 1/16/18 98,511 113,536
American International Group Inc. 8.250% 8/15/18 52,933 66,941
Assurant Inc. 2.500% 3/15/18 29,300 28,942
Axis Capital Holdings Ltd. 5.750% 12/1/14 40,440 42,558
Axis Specialty Finance LLC 5.875% 6/1/20 2,440 2,717
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 24,144 27,908
Berkshire Hathaway Inc. 3.200% 2/11/15 8,860 9,179
Berkshire Hathaway Inc. 2.200% 8/15/16 4,850 5,033
Berkshire Hathaway Inc. 1.900% 1/31/17 11,515 11,777
Berkshire Hathaway Inc. 1.550% 2/9/18 33,923 33,785
Chubb Corp. 5.750% 5/15/18 5,793 6,773
4 Chubb Corp. 6.375% 3/29/67 4,850 5,286
Cigna Corp. 2.750% 11/15/16 9,600 9,977
CNA Financial Corp. 5.850% 12/15/14 10,130 10,676
CNA Financial Corp. 6.500% 8/15/16 20,495 23,175
CNA Financial Corp. 7.350% 11/15/19 3,900 4,805
Genworth Holdings Inc. 5.750% 6/15/14 5,821 5,989
Genworth Holdings Inc. 6.515% 5/22/18 17,918 20,725
Genworth Holdings Inc. 7.700% 6/15/20 3,080 3,707
Hartford Financial Services Group Inc. 4.000% 3/30/15 8,400 8,757
Hartford Financial Services Group Inc. 4.000% 10/15/17 4,985 5,352
Jefferson-Pilot Corp. 4.750% 1/30/14 8,780 8,868
Manulife Financial Corp. 3.400% 9/17/15 14,620 15,284
Marsh & McLennan Cos. Inc. 2.550% 10/15/18 9,875 10,004
7 MassMutual Global Funding II 3.125% 4/14/16 14,850 15,594
7 MassMutual Global Funding II 2.500% 10/17/22 8,475 7,829
MetLife Inc. 6.750% 6/1/16 40,950 46,924
MetLife Inc. 1.756% 12/15/17 14,600 14,604
MetLife Inc. 6.817% 8/15/18 13,300 16,158
7 Metropolitan Life Global Funding I 1.500% 1/10/18 29,350 28,939
7 Pacific LifeCorp 6.000% 2/10/20 10,854 12,174
PartnerRe Finance A LLC 6.875% 6/1/18 20,530 24,049
7 Pricoa Global Funding I 1.600% 5/29/18 14,650 14,364
Principal Financial Group Inc. 1.850% 11/15/17 15,600 15,540
7 Principal Life Global Funding I 5.050% 3/15/15 7,750 8,195
7 Principal Life Global Funding II 2.250% 10/15/18 11,725 11,852
4 Progressive Corp. 6.700% 6/15/67 9,760 10,516
Prudential Financial Inc. 6.200% 1/15/15 11,465 12,212
Prudential Financial Inc. 4.750% 9/17/15 19,450 20,860
Prudential Financial Inc. 3.000% 5/12/16 11,725 12,271
Reinsurance Group of America Inc. 5.625% 3/15/17 12,900 14,302
Reinsurance Group of America Inc. 6.450% 11/15/19 15,073 17,695
Transatlantic Holdings Inc. 5.750% 12/14/15 34,220 37,302
Travelers Cos. Inc. 5.800% 5/15/18 11,600 13,582
UnitedHealth Group Inc. 1.400% 10/15/17 12,825 12,801
7 UnumProvident Finance Co. plc 6.850% 11/15/15 19,425 21,329
WellPoint Inc. 5.250% 1/15/16 9,985 10,890
WellPoint Inc. 5.875% 6/15/17 10,500 11,994
WellPoint Inc. 2.300% 7/15/18 9,750 9,793
XL Group plc 5.250% 9/15/14 42,514 44,134

 

 

Other Finance (0.1%)        
NYSE Euronext 2.000% 10/5/17 39,800 39,950
ORIX Corp. 3.750% 3/9/17 19,000 19,842
 
Real Estate Investment Trusts (1.3%)        
BioMed Realty LP 3.850% 4/15/16 4,800 5,038
Boston Properties LP 3.700% 11/15/18 4,900 5,210
Brandywine Operating Partnership LP 5.400% 11/1/14 4,850 5,063
Brandywine Operating Partnership LP 5.700% 5/1/17 15,486 17,220
Brandywine Operating Partnership LP 4.950% 4/15/18 16,400 17,736
DDR Corp. 7.500% 4/1/17 405 475
DDR Corp. 4.750% 4/15/18 19,480 21,253
DDR Corp. 7.500% 7/15/18 2,500 2,987
Digital Realty Trust LP 4.500% 7/15/15 53,100 55,491
Duke Realty LP 7.375% 2/15/15 4,875 5,250
Duke Realty LP 5.950% 2/15/17 9,620 10,764
Duke Realty LP 6.500% 1/15/18 3,470 4,015
7 Goodman Funding Pty Ltd. 6.375% 11/12/20 19,140 21,403
HCP Inc. 3.750% 2/1/16 19,526 20,564
HCP Inc. 6.000% 1/30/17 9,750 10,992
HCP Inc. 5.625% 5/1/17 1,270 1,421
HCP Inc. 6.700% 1/30/18 44,125 51,763
Health Care REIT Inc. 3.625% 3/15/16 8,088 8,504
Health Care REIT Inc. 4.700% 9/15/17 14,620 16,000
Health Care REIT Inc. 2.250% 3/15/18 4,875 4,865
Health Care REIT Inc. 4.125% 4/1/19 23,730 25,127
Healthcare Realty Trust Inc. 6.500% 1/17/17 1,000 1,128
Highwoods Realty LP 5.850% 3/15/17 4,425 4,909
Kilroy Realty LP 4.800% 7/15/18 20,030 21,634
Kimco Realty Corp. 5.783% 3/15/16 15,783 17,360
Kimco Realty Corp. 4.300% 2/1/18 17,705 19,098
Liberty Property LP 4.750% 10/1/20 1,600 1,709
ProLogis LP 6.250% 3/15/17 15,125 17,194
ProLogis LP 4.500% 8/15/17 7,300 7,941
ProLogis LP 6.625% 5/15/18 9,980 11,760
ProLogis LP 2.750% 2/15/19 29,315 29,531
Realty Income Corp. 2.000% 1/31/18 4,870 4,811
Regency Centers LP 5.875% 6/15/17 13,675 15,314
Senior Housing Properties Trust 4.300% 1/15/16 11,460 11,947
Simon Property Group LP 5.100% 6/15/15 9,225 9,877
Simon Property Group LP 6.100% 5/1/16 5,820 6,493
Simon Property Group LP 2.800% 1/30/17 22,815 23,719
Simon Property Group LP 5.875% 3/1/17 9,180 10,391
Simon Property Group LP 2.150% 9/15/17 1,572 1,605
7 Simon Property Group LP 1.500% 2/1/18 4,850 4,747
Simon Property Group LP 6.125% 5/30/18 15,635 18,446
Simon Property Group LP 5.650% 2/1/20 1,405 1,622
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 29,870 29,520
        11,844,989
Industrial (29.5%)        
Basic Industry (2.6%)        
Air Products & Chemicals Inc. 2.000% 8/2/16 10,920 11,187
Air Products & Chemicals Inc. 1.200% 10/15/17 11,225 11,021
Airgas Inc. 1.650% 2/15/18 17,792 17,538
Barrick Gold Corp. 2.900% 5/30/16 45,500 46,668
Barrick Gold Corp. 2.500% 5/1/18 24,330 23,652
Barrick Gold Corp. 6.950% 4/1/19 9,900 11,380

 

 

7 Barrick International Barbados Corp. 5.750% 10/15/16 14,700 15,876
Barrick North America Finance LLC 6.800% 9/15/18 5,545 6,421
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 55,475 56,659
BHP Billiton Finance USA Ltd. 1.875% 11/21/16 23,480 24,062
BHP Billiton Finance USA Ltd. 1.625% 2/24/17 68,645 69,477
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 30,292 34,356
BHP Billiton Finance USA Ltd. 2.050% 9/30/18 9,770 9,830
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 14,119 17,022
CF Industries Inc. 6.875% 5/1/18 38,450 45,659
Eastman Chemical Co. 2.400% 6/1/17 20,804 21,162
Ecolab Inc. 2.375% 12/8/14 15,050 15,325
Ecolab Inc. 1.450% 12/8/17 28,970 28,675
EI du Pont de Nemours & Co. 5.875% 1/15/14 208 210
EI du Pont de Nemours & Co. 6.000% 7/15/18 37,383 44,217
Freeport-McMoRan Copper & Gold Inc. 1.400% 2/13/15 9,745 9,794
Freeport-McMoRan Copper & Gold Inc. 2.375% 3/15/18 26,415 26,312
Goldcorp Inc. 2.125% 3/15/18 14,640 14,379
International Paper Co. 5.300% 4/1/15 4,750 5,038
International Paper Co. 7.950% 6/15/18 36,578 45,426
Nucor Corp. 5.750% 12/1/17 8,790 10,062
Nucor Corp. 5.850% 6/1/18 24,788 28,564
Plains Exploration & Production Co. 6.125% 6/15/19 20,453 22,371
Plains Exploration & Production Co. 6.500% 11/15/20 28,650 31,515
Plains Exploration & Production Co. 6.625% 5/1/21 3,600 3,933
Plains Exploration & Production Co. 6.750% 2/1/22 9,915 10,931
Plains Exploration & Production Co. 6.875% 2/15/23 17,000 18,828
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 19,684 20,830
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 90,366 94,021
Rio Tinto Finance USA Ltd. 2.500% 5/20/16 19,228 19,820
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 19,540 23,345
Rio Tinto Finance USA plc 1.375% 6/17/16 38,045 38,240
Rio Tinto Finance USA plc 2.000% 3/22/17 40,230 40,586
Rio Tinto Finance USA plc 1.625% 8/21/17 60,437 60,273
Teck Resources Ltd. 3.150% 1/15/17 12,405 12,872
Teck Resources Ltd. 3.850% 8/15/17 8,395 8,795
Teck Resources Ltd. 2.500% 2/1/18 11,230 11,284
Teck Resources Ltd. 3.000% 3/1/19 2,380 2,375
Vale Canada Ltd. 5.700% 10/15/15 14,655 15,719
Vale Overseas Ltd. 6.250% 1/11/16 22,625 24,771
Vale Overseas Ltd. 6.250% 1/23/17 34,195 38,194
Vale Overseas Ltd. 5.625% 9/15/19 4,425 4,854
7 Xstrata Finance Canada Ltd. 2.050% 10/23/15 29,280 29,388
7 Xstrata Finance Canada Ltd. 3.600% 1/15/17 5,835 6,084
 
Capital Goods (2.9%)        
7 ABB Treasury Center USA Inc. 2.500% 6/15/16 14,650 15,168
Bemis Co. Inc. 5.650% 8/1/14 10,130 10,505
Boeing Capital Corp. 2.125% 8/15/16 17,810 18,451
Boeing Capital Corp. 2.900% 8/15/18 15,939 16,740
Boeing Capital Corp. 4.700% 10/27/19 7,200 8,182
Boeing Co. 3.500% 2/15/15 25,710 26,725
Boeing Co. 0.950% 5/15/18 25,805 24,999
Caterpillar Financial Services Corp. 6.125% 2/17/14 24,280 24,678
Caterpillar Financial Services Corp. 1.650% 4/1/14 26,625 26,774
Caterpillar Financial Services Corp. 4.750% 2/17/15 11,900 12,538
Caterpillar Financial Services Corp. 1.100% 5/29/15 17,910 18,067
Caterpillar Financial Services Corp. 2.750% 6/24/15 9,250 9,569

 

 

Caterpillar Financial Services Corp. 2.650% 4/1/16 5,625 5,864
Caterpillar Financial Services Corp. 2.050% 8/1/16 24,750 25,538
Caterpillar Financial Services Corp. 1.625% 6/1/17 4,885 4,920
Caterpillar Financial Services Corp. 1.250% 11/6/17 11,950 11,793
Caterpillar Inc. 1.500% 6/26/17 9,750 9,802
7 CNH Capital LLC 3.250% 2/1/17 24,430 24,705
CRH America Inc. 4.125% 1/15/16 38,050 39,994
CRH America Inc. 8.125% 7/15/18 14,960 18,220
Danaher Corp. 1.300% 6/23/14 13,300 13,376
Danaher Corp. 2.300% 6/23/16 23,758 24,602
7 Embraer Overseas Ltd. 5.696% 9/16/23 10,379 10,429
Emerson Electric Co. 4.125% 4/15/15 9,220 9,688
Emerson Electric Co. 5.375% 10/15/17 9,760 11,309
Emerson Electric Co. 5.250% 10/15/18 4,880 5,611
General Dynamics Corp. 1.375% 1/15/15 10,550 10,671
General Dynamics Corp. 2.250% 7/15/16 5,637 5,834
General Dynamics Corp. 1.000% 11/15/17 69,160 67,816
General Electric Co. 0.850% 10/9/15 18,420 18,501
General Electric Co. 5.250% 12/6/17 92,550 105,783
Harsco Corp. 2.700% 10/15/15 10,192 10,337
Honeywell International Inc. 5.300% 3/1/18 4,710 5,424
Honeywell International Inc. 5.000% 2/15/19 22,275 25,487
Illinois Tool Works Inc. 5.150% 4/1/14 18,725 19,088
7 Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 17,860 17,890
John Deere Capital Corp. 1.250% 12/2/14 12,160 12,268
John Deere Capital Corp. 2.950% 3/9/15 32,950 34,035
John Deere Capital Corp. 0.875% 4/17/15 4,875 4,901
John Deere Capital Corp. 0.950% 6/29/15 16,575 16,700
John Deere Capital Corp. 0.700% 9/4/15 6,350 6,367
John Deere Capital Corp. 0.750% 1/22/16 22,900 22,919
John Deere Capital Corp. 2.250% 6/7/16 28,375 29,433
John Deere Capital Corp. 1.850% 9/15/16 37,815 38,826
John Deere Capital Corp. 1.050% 10/11/16 11,000 11,041
John Deere Capital Corp. 2.000% 1/13/17 12,680 13,025
John Deere Capital Corp. 1.400% 3/15/17 19,490 19,580
John Deere Capital Corp. 2.800% 9/18/17 6,570 6,890
John Deere Capital Corp. 1.200% 10/10/17 35,105 34,706
John Deere Capital Corp. 1.300% 3/12/18 19,525 19,280
John Deere Capital Corp. 5.350% 4/3/18 14,635 16,863
John Deere Capital Corp. 5.750% 9/10/18 4,880 5,726
L-3 Communications Corp. 3.950% 11/15/16 11,560 12,349
Lockheed Martin Corp. 2.125% 9/15/16 17,210 17,764
Lockheed Martin Corp. 4.250% 11/15/19 19,250 21,125
Mohawk Industries Inc. 6.375% 1/15/16 16,586 18,207
Precision Castparts Corp. 0.700% 12/20/15 18,045 18,034
Precision Castparts Corp. 1.250% 1/15/18 62,205 61,078
Raytheon Co. 6.750% 3/15/18 7,360 8,864
Republic Services Inc. 3.800% 5/15/18 5,686 6,094
Roper Industries Inc. 1.850% 11/15/17 9,760 9,753
Roper Industries Inc. 2.050% 10/1/18 9,590 9,502
7 Schneider Electric SA 2.950% 9/27/22 5,850 5,542
United Technologies Corp. 4.875% 5/1/15 3,700 3,940
United Technologies Corp. 1.800% 6/1/17 74,200 75,545
United Technologies Corp. 5.375% 12/15/17 25,080 28,920
United Technologies Corp. 4.500% 4/15/20 2,600 2,906
Waste Management Inc. 6.375% 3/11/15 12,647 13,556
Waste Management Inc. 2.600% 9/1/16 8,200 8,492

 

 

Waste Management Inc. 6.100% 3/15/18 11,725 13,707
 
Communication (5.4%)        
21st Century Fox America Inc. 7.250% 5/18/18 7,205 8,806
America Movil SAB de CV 5.750% 1/15/15 12,225 12,906
America Movil SAB de CV 3.625% 3/30/15 48,771 50,724
America Movil SAB de CV 2.375% 9/8/16 87,760 89,438
America Movil SAB de CV 5.625% 11/15/17 22,570 25,654
American Tower Corp. 4.625% 4/1/15 18,589 19,533
American Tower Corp. 4.500% 1/15/18 4,875 5,243
American Tower Corp. 3.400% 2/15/19 29,320 29,646
AT&T Inc. 5.100% 9/15/14 25,478 26,499
AT&T Inc. 0.875% 2/13/15 11,750 11,780
AT&T Inc. 2.500% 8/15/15 61,005 62,811
AT&T Inc. 0.900% 2/12/16 13,600 13,569
AT&T Inc. 2.950% 5/15/16 38,280 40,000
AT&T Inc. 5.625% 6/15/16 22,605 25,204
AT&T Inc. 2.400% 8/15/16 75,441 78,029
AT&T Inc. 1.600% 2/15/17 44,038 44,292
AT&T Inc. 1.700% 6/1/17 80,110 80,445
AT&T Inc. 1.400% 12/1/17 24,400 24,066
AT&T Inc. 5.500% 2/1/18 80,904 92,181
AT&T Inc. 5.600% 5/15/18 7,800 8,992
BellSouth Corp. 5.200% 9/15/14 30,175 31,396
7 British Sky Broadcasting Group plc 6.100% 2/15/18 6,010 6,896
7 British Sky Broadcasting Group plc 9.500% 11/15/18 17,349 22,766
7 BSKYB Finance UK plc 5.625% 10/15/15 3,484 3,779
CBS Corp. 1.950% 7/1/17 22,671 22,887
CBS Corp. 4.625% 5/15/18 2,690 2,949
Cellco Partnership / Verizon Wireless Capital        
LLC 5.550% 2/1/14 31,216 31,528
Comcast Cable Communications LLC 8.875% 5/1/17 30,900 38,619
Comcast Corp. 6.500% 1/15/15 14,321 15,334
Comcast Corp. 5.850% 11/15/15 13,578 14,978
Comcast Corp. 5.900% 3/15/16 48,940 54,654
Comcast Corp. 6.500% 1/15/17 37,960 44,130
Comcast Corp. 6.300% 11/15/17 35,945 42,464
Comcast Corp. 5.875% 2/15/18 24,722 28,941
Comcast Corp. 5.700% 5/15/18 25,310 29,560
COX Communications Inc. 5.450% 12/15/14 6,667 7,013
Deutsche Telekom International Finance BV 4.875% 7/8/14 3,265 3,360
7 Deutsche Telekom International Finance BV 3.125% 4/11/16 38,016 39,630
7 Deutsche Telekom International Finance BV 2.250% 3/6/17 7,075 7,212
Deutsche Telekom International Finance BV 6.750% 8/20/18 6,819 8,205
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 4.750% 10/1/14 10,232 10,607
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 3.550% 3/15/15 41,275 42,769
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 3.125% 2/15/16 18,420 19,133
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 3.500% 3/1/16 12,035 12,627
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 2.400% 3/15/17 42,268 43,037
DIRECTV Holdings LLC / DIRECTV        
Financing Co. Inc. 5.875% 10/1/19 2,930 3,323
Discovery Communications LLC 3.700% 6/1/15 27,677 28,938

 

 

Embarq Corp. 7.082% 6/1/16 18,952 21,267
Interpublic Group of Cos. Inc. 6.250% 11/15/14 14,650 15,364
NBCUniversal Media LLC 3.650% 4/30/15 11,585 12,114
NBCUniversal Media LLC 2.875% 4/1/16 77,095 80,858
Omnicom Group Inc. 5.900% 4/15/16 34,830 38,787
Orange SA 2.125% 9/16/15 14,288 14,534
Orange SA 2.750% 9/14/16 6,840 7,087
Qwest Corp. 7.500% 10/1/14 9,033 9,531
Qwest Corp. 6.500% 6/1/17 9,653 10,845
Reed Elsevier Capital Inc. 7.750% 1/15/14 9,150 9,277
Rogers Communications Inc. 7.500% 3/15/15 5,299 5,785
Rogers Communications Inc. 6.800% 8/15/18 18,018 21,649
TCI Communications Inc. 8.750% 8/1/15 9,860 11,226
Telecom Italia Capital SA 6.999% 6/4/18 19,948 21,887
Telefonica Emisiones SAU 4.949% 1/15/15 9,175 9,565
Telefonica Emisiones SAU 3.992% 2/16/16 28,375 29,794
Telefonica Emisiones SAU 6.421% 6/20/16 14,670 16,262
Telefonica Emisiones SAU 6.221% 7/3/17 5,537 6,233
Telefonica Emisiones SAU 3.192% 4/27/18 45,212 45,916
Telefonos de Mexico SAB de CV 5.500% 1/27/15 9,775 10,274
Time Warner Cable Inc. 3.500% 2/1/15 22,325 23,027
Time Warner Cable Inc. 5.850% 5/1/17 17,610 19,378
Verizon Communications Inc. 0.700% 11/2/15 24,520 24,424
Verizon Communications Inc. 5.550% 2/15/16 39,897 43,840
Verizon Communications Inc. 3.000% 4/1/16 5,120 5,349
Verizon Communications Inc. 2.500% 9/15/16 85,085 88,207
Verizon Communications Inc. 2.000% 11/1/16 50,511 51,587
Verizon Communications Inc. 5.500% 4/1/17 3,700 4,170
Verizon Communications Inc. 5.500% 2/15/18 27,608 31,405
Verizon Communications Inc. 6.100% 4/15/18 26,345 30,649
Verizon Communications Inc. 3.650% 9/14/18 118,285 125,813
Vodafone Group plc 4.150% 6/10/14 9,221 9,421
Vodafone Group plc 5.375% 1/30/15 6,890 7,279
Vodafone Group plc 0.900% 2/19/16 17,788 17,739
Vodafone Group plc 5.750% 3/15/16 13,871 15,369
Vodafone Group plc 2.875% 3/16/16 47,325 49,187
Vodafone Group plc 5.625% 2/27/17 38,412 43,432
Vodafone Group plc 1.625% 3/20/17 42,641 42,733
Vodafone Group plc 1.250% 9/26/17 45,023 44,097
Vodafone Group plc 1.500% 2/19/18 38,865 38,181
WPP Finance UK 8.000% 9/15/14 23,355 24,753
 
Consumer Cyclical (4.1%)        
American Honda Finance Corp. 1.125% 10/7/16 20,030 20,136
American Honda Finance Corp. 2.125% 10/10/18 19,540 19,673
AutoZone Inc. 5.750% 1/15/15 11,270 11,932
AutoZone Inc. 5.500% 11/15/15 6,275 6,834
AutoZone Inc. 7.125% 8/1/18 33,707 40,466
Brinker International Inc. 2.600% 5/15/18 14,890 14,922
7 Daimler Finance North America LLC 2.300% 1/9/15 19,480 19,787
7 Daimler Finance North America LLC 2.400% 4/10/17 9,740 9,917
7 Daimler Finance North America LLC 2.375% 8/1/18 38,500 38,716
Dollar General Corp. 4.125% 7/15/17 19,825 21,194
Dollar General Corp. 1.875% 4/15/18 9,965 9,746
7 Experian Finance plc 2.375% 6/15/17 35,430 35,247
Ford Motor Credit Co. LLC 3.875% 1/15/15 9,770 10,113
Ford Motor Credit Co. LLC 7.000% 4/15/15 51,889 56,256

 

 

Ford Motor Credit Co. LLC 2.750% 5/15/15 33,161 34,024
Ford Motor Credit Co. LLC 5.625% 9/15/15 4,878 5,274
Ford Motor Credit Co. LLC 2.500% 1/15/16 17,080 17,514
Ford Motor Credit Co. LLC 4.207% 4/15/16 44,245 47,206
Ford Motor Credit Co. LLC 3.984% 6/15/16 45,205 48,103
Ford Motor Credit Co. LLC 8.000% 12/15/16 55,625 66,159
Ford Motor Credit Co. LLC 4.250% 2/3/17 9,755 10,534
Ford Motor Credit Co. LLC 3.000% 6/12/17 24,125 25,080
Ford Motor Credit Co. LLC 6.625% 8/15/17 57,291 66,659
Ford Motor Credit Co. LLC 5.000% 5/15/18 63,175 69,984
7 General Motors Co. 3.500% 10/2/18 18,000 18,360
7 Harley-Davidson Financial Services Inc. 1.150% 9/15/15 34,600 34,683
7 Harley-Davidson Financial Services Inc. 3.875% 3/15/16 14,418 15,309
7 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 16,147 16,673
7 Harley-Davidson Funding Corp. 5.750% 12/15/14 20,635 21,751
7 Hyundai Capital America 3.750% 4/6/16 10,980 11,508
7 Hyundai Capital America 4.000% 6/8/17 10,900 11,516
7 Hyundai Capital Services Inc. 4.375% 7/27/16 16,060 17,180
7 Kia Motors Corp. 3.625% 6/14/16 26,624 27,815
Lowe's Cos. Inc. 1.625% 4/15/17 39,934 40,371
Lowe's Cos. Inc. 6.100% 9/15/17 12,690 14,717
Macy's Retail Holdings Inc. 7.875% 7/15/15 15,245 16,982
Macy's Retail Holdings Inc. 5.900% 12/1/16 41,084 46,344
Macy's Retail Holdings Inc. 7.450% 7/15/17 42,319 50,326
Marriott International Inc. 6.375% 6/15/17 6,872 7,773
Marriott International Inc. 3.000% 3/1/19 9,760 9,934
Nordstrom Inc. 6.750% 6/1/14 7,434 7,695
Nordstrom Inc. 6.250% 1/15/18 14,275 16,748
PACCAR Financial Corp. 1.550% 9/29/14 16,740 16,923
PACCAR Financial Corp. 0.750% 8/14/15 12,680 12,727
PACCAR Financial Corp. 1.600% 3/15/17 17,566 17,699
Staples Inc. 2.750% 1/12/18 7,800 7,899
TJX Cos. Inc. 4.200% 8/15/15 8,150 8,667
TJX Cos. Inc. 6.950% 4/15/19 13,700 16,661
Toll Brothers Finance Corp. 5.150% 5/15/15 16,010 16,802
Toyota Motor Credit Corp. 2.000% 9/15/16 9,734 10,007
Toyota Motor Credit Corp. 2.050% 1/12/17 27,380 27,985
Toyota Motor Credit Corp. 1.750% 5/22/17 35,429 35,969
Toyota Motor Credit Corp. 2.000% 10/24/18 20,510 20,578
Viacom Inc. 6.250% 4/30/16 13,025 14,576
Viacom Inc. 2.500% 12/15/16 9,880 10,170
Viacom Inc. 6.125% 10/5/17 10,695 12,362
Viacom Inc. 2.500% 9/1/18 31,395 31,795
Viacom Inc. 5.625% 9/15/19 3,195 3,646
7 Volkswagen International Finance NV 1.875% 4/1/14 49,860 50,155
7 Volkswagen International Finance NV 2.375% 3/22/17 14,620 15,040
7 Volkswagen International Finance NV 1.600% 11/20/17 13,500 13,417
Wal-Mart Stores Inc. 1.625% 4/15/14 15,640 15,740
Wal-Mart Stores Inc. 2.875% 4/1/15 11,815 12,240
Wal-Mart Stores Inc. 1.500% 10/25/15 38,550 39,329
Wal-Mart Stores Inc. 0.600% 4/11/16 21,980 21,979
Wal-Mart Stores Inc. 2.800% 4/15/16 17,098 17,996
Wal-Mart Stores Inc. 5.375% 4/5/17 20,315 23,176
Wal-Mart Stores Inc. 5.800% 2/15/18 2,940 3,455
Wal-Mart Stores Inc. 1.125% 4/11/18 66,000 64,777
Wal-Mart Stores Inc. 1.950% 12/15/18 25,525 25,711
Wal-Mart Stores Inc. 3.625% 7/8/20 19,805 21,080

 

 

Walgreen Co. 1.000% 3/13/15 30,701 30,834
Walgreen Co. 1.800% 9/15/17 32,596 32,840
Walgreen Co. 5.250% 1/15/19 33,595 38,087
7 Wesfarmers Ltd. 2.983% 5/18/16 27,055 28,323
7 Wesfarmers Ltd. 1.874% 3/20/18 13,660 13,538
Wyndham Worldwide Corp. 2.950% 3/1/17 7,800 8,035
Wyndham Worldwide Corp. 2.500% 3/1/18 6,835 6,821
Yum! Brands Inc. 6.250% 4/15/16 18,560 20,791
Yum! Brands Inc. 6.250% 3/15/18 14,310 16,805
 
Consumer Noncyclical (7.7%)        
AbbVie Inc. 1.200% 11/6/15 48,775 49,231
AbbVie Inc. 1.750% 11/6/17 119,300 119,902
AbbVie Inc. 2.000% 11/6/18 30,740 30,698
Actavis Inc. 1.875% 10/1/17 66,640 66,429
Allergan Inc. 5.750% 4/1/16 15,530 17,306
Allergan Inc. 1.350% 3/15/18 7,800 7,663
Altria Group Inc. 8.500% 11/10/13 31,113 31,149
Altria Group Inc. 4.125% 9/11/15 43,357 45,983
AmerisourceBergen Corp. 5.875% 9/15/15 9,228 10,082
Amgen Inc. 1.875% 11/15/14 50,820 51,483
Amgen Inc. 2.300% 6/15/16 56,380 58,188
Amgen Inc. 2.500% 11/15/16 7,150 7,419
Amgen Inc. 2.125% 5/15/17 66,930 68,364
Amgen Inc. 5.850% 6/1/17 23,715 27,255
Amgen Inc. 6.150% 6/1/18 4,525 5,331
Anheuser-Busch Cos. LLC 5.000% 1/15/15 7,480 7,879
Anheuser-Busch Cos. LLC 5.050% 10/15/16 4,875 5,464
Anheuser-Busch Cos. LLC 5.500% 1/15/18 8,650 10,021
Anheuser-Busch InBev Finance Inc. 0.800% 1/15/16 46,393 46,502
Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 26,840 26,569
Anheuser-Busch InBev Worldwide Inc. 1.500% 7/14/14 39,000 39,310
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 28,675 30,103
Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 23,605 24,629
Anheuser-Busch InBev Worldwide Inc. 3.625% 4/15/15 19,495 20,379
Anheuser-Busch InBev Worldwide Inc. 0.800% 7/15/15 19,647 19,730
Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 46,615 48,857
Anheuser-Busch InBev Worldwide Inc. 1.375% 7/15/17 68,292 68,502
AstraZeneca plc 1.950% 9/18/19 5,490 5,433
Avon Products Inc. 4.600% 3/15/20 3,900 4,048
Baxter International Inc. 0.950% 6/1/16 5,860 5,882
Baxter International Inc. 5.375% 6/1/18 9,745 11,258
Baxter International Inc. 1.850% 6/15/18 13,345 13,386
Biogen Idec Inc. 6.875% 3/1/18 4,880 5,829
Boston Scientific Corp. 6.250% 11/15/15 10,150 11,170
Boston Scientific Corp. 6.400% 6/15/16 20,447 22,979
Boston Scientific Corp. 2.650% 10/1/18 9,760 9,841
Bottling Group LLC 5.500% 4/1/16 32,044 35,607
Brown-Forman Corp. 1.000% 1/15/18 5,480 5,367
Cardinal Health Inc. 1.900% 6/15/17 6,830 6,904
Cardinal Health Inc. 1.700% 3/15/18 20,540 20,200
CareFusion Corp. 5.125% 8/1/14 13,970 14,417
Catholic Health Initiatives Colorado GO 2.600% 8/1/18 2,900 2,920
Celgene Corp. 2.450% 10/15/15 14,610 15,023
Celgene Corp. 1.900% 8/15/17 6,835 6,887
Celgene Corp. 2.300% 8/15/18 14,950 15,045
Church & Dwight Co. Inc. 3.350% 12/15/15 9,760 10,136

 

 

Clorox Co. 5.950% 10/15/17 4,880 5,632
Coca-Cola Co. 1.150% 4/1/18 14,755 14,517
ConAgra Foods Inc. 1.300% 1/25/16 24,490 24,612
ConAgra Foods Inc. 5.819% 6/15/17 4,880 5,544
ConAgra Foods Inc. 1.900% 1/25/18 64,935 64,701
ConAgra Foods Inc. 7.000% 4/15/19 5,000 6,015
Constellation Brands Inc. 3.750% 5/1/21 5,130 4,899
Constellation Brands Inc. 4.250% 5/1/23 5,130 4,918
Covidien International Finance SA 1.350% 5/29/15 2,560 2,584
Covidien International Finance SA 2.800% 6/15/15 14,040 14,489
Covidien International Finance SA 6.000% 10/15/17 38,565 44,786
CR Bard Inc. 2.875% 1/15/16 22,350 23,242
Delhaize Group SA 6.500% 6/15/17 13,054 14,890
Diageo Capital plc 7.375% 1/15/14 3,221 3,265
Diageo Capital plc 1.500% 5/11/17 23,785 23,908
Diageo Capital plc 1.125% 4/29/18 7,115 6,921
Dr Pepper Snapple Group Inc. 2.900% 1/15/16 7,800 8,129
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 16,295 19,497
Dr Pepper Snapple Group Inc. 2.600% 1/15/19 3,060 3,114
Edwards Lifesciences Corp. 2.875% 10/15/18 24,400 24,518
Express Scripts Holding Co. 2.750% 11/21/14 21,430 21,895
Express Scripts Holding Co. 2.100% 2/12/15 29,220 29,707
Express Scripts Holding Co. 3.125% 5/15/16 43,300 45,400
Express Scripts Holding Co. 3.500% 11/15/16 32,230 34,258
Express Scripts Holding Co. 2.650% 2/15/17 48,031 49,792
Genentech Inc. 4.750% 7/15/15 15,730 16,857
General Mills Inc. 0.875% 1/29/16 10,175 10,183
General Mills Inc. 5.700% 2/15/17 5,600 6,369
Gilead Sciences Inc. 2.400% 12/1/14 35,880 36,558
Gilead Sciences Inc. 3.050% 12/1/16 37,210 39,348
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 13,565 13,805
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 16,600 19,352
GlaxoSmithKline Capital plc 1.500% 5/8/17 39,865 40,207
7 Hawk Acquisition Sub Inc. 4.250% 10/15/20 4,780 4,637
Ingredion Inc. 1.800% 9/25/17 5,855 5,796
Kellogg Co. 1.750% 5/17/17 10,240 10,367
Koninklijke Philips NV 5.750% 3/11/18 47,850 55,183
Kraft Foods Group Inc. 1.625% 6/4/15 14,625 14,842
Kraft Foods Group Inc. 2.250% 6/5/17 75,630 77,444
Kraft Foods Group Inc. 6.125% 8/23/18 19,120 22,626
Kroger Co. 2.200% 1/15/17 6,895 7,032
Kroger Co. 6.800% 12/15/18 5,950 7,170
Life Technologies Corp. 4.400% 3/1/15 14,600 15,219
Lorillard Tobacco Co. 3.500% 8/4/16 28,350 29,908
Lorillard Tobacco Co. 2.300% 8/21/17 18,520 18,689
McKesson Corp. 6.500% 2/15/14 12,970 13,189
McKesson Corp. 0.950% 12/4/15 23,400 23,391
McKesson Corp. 3.250% 3/1/16 16,079 16,850
McKesson Corp. 5.700% 3/1/17 5,675 6,449
McKesson Corp. 1.400% 3/15/18 14,640 14,281
Mead Johnson Nutrition Co. 3.500% 11/1/14 14,000 14,373
Medco Health Solutions Inc. 2.750% 9/15/15 8,774 9,057
Medco Health Solutions Inc. 7.125% 3/15/18 32,695 39,401
Merck & Co. Inc. 2.250% 1/15/16 34,988 36,212
Merck & Co. Inc. 0.700% 5/18/16 7,820 7,814
Merck & Co. Inc. 1.300% 5/18/18 23,400 23,034
Merck Sharp & Dohme Corp. 4.750% 3/1/15 6,100 6,446

 

 

Mondelez International Inc. 6.750% 2/19/14 24,400 24,839
Mondelez International Inc. 4.125% 2/9/16 41,360 44,202
Mondelez International Inc. 6.500% 8/11/17 43,885 51,381
Mondelez International Inc. 6.125% 2/1/18 43,723 50,863
Mondelez International Inc. 6.125% 8/23/18 28,755 33,741
7 Mylan Inc. 1.800% 6/24/16 31,375 31,714
7 Mylan Inc. 2.600% 6/24/18 56,410 56,706
Nabisco Inc. 7.550% 6/15/15 14,640 16,196
Newell Rubbermaid Inc. 2.050% 12/1/17 12,540 12,482
Novartis Capital Corp. 4.125% 2/10/14 31,775 32,065
PepsiCo Inc. 3.100% 1/15/15 13,475 13,897
PepsiCo Inc. 0.700% 2/26/16 14,650 14,623
PepsiCo Inc. 2.500% 5/10/16 21,805 22,736
PepsiCo Inc. 1.250% 8/13/17 13,550 13,451
7 Pernod Ricard SA 2.950% 1/15/17 58,895 61,268
7 Pernod Ricard SA 4.450% 1/15/22 2,925 3,016
Pfizer Inc. 5.350% 3/15/15 37,690 40,146
Pharmacia Corp. 6.500% 12/1/18 8,300 10,138
Philip Morris International Inc. 6.875% 3/17/14 18,431 18,893
Philip Morris International Inc. 2.500% 5/16/16 25,610 26,704
Philip Morris International Inc. 5.650% 5/16/18 19,490 22,695
Procter & Gamble Co. 3.500% 2/15/15 1,620 1,683
Procter & Gamble Co. 4.850% 12/15/15 2,925 3,189
Procter & Gamble Co. 4.700% 2/15/19 4,880 5,576
Reynolds American Inc. 1.050% 10/30/15 6,840 6,860
Reynolds American Inc. 6.750% 6/15/17 2,680 3,116
7 Roche Holdings Inc. 6.000% 3/1/19 18,975 22,704
Safeway Inc. 6.250% 3/15/14 9,650 9,806
Sanofi 1.200% 9/30/14 39,700 40,002
Sanofi 2.625% 3/29/16 55,635 58,123
Sanofi 1.250% 4/10/18 60,430 59,505
St. Jude Medical Inc. 2.500% 1/15/16 19,505 20,082
Stryker Corp. 3.000% 1/15/15 13,600 14,018
Stryker Corp. 2.000% 9/30/16 28,935 29,869
Sutter Health California GO 1.090% 8/15/53 10,000 9,964
7 Takeda Pharmaceutical Co. Ltd. 1.031% 3/17/15 33,060 33,244
7 Takeda Pharmaceutical Co. Ltd. 1.625% 3/17/17 33,074 33,337
Teva Pharmaceutical Finance Co. BV 2.400% 11/10/16 38,780 39,953
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 45,900 47,476
Teva Pharmaceutical Finance IV LLC 2.250% 3/18/20 15,365 14,702
Thermo Fisher Scientific Inc. 5.000% 6/1/15 2,330 2,470
Thermo Fisher Scientific Inc. 3.200% 3/1/16 19,490 20,379
Thermo Fisher Scientific Inc. 2.250% 8/15/16 13,695 14,022
Tyson Foods Inc. 6.600% 4/1/16 38,530 43,154
Whirlpool Corp. 6.500% 6/15/16 2,950 3,316
Wyeth LLC 5.500% 2/15/16 9,745 10,816
Wyeth LLC 5.450% 4/1/17 3,270 3,736
Zoetis Inc. 1.150% 2/1/16 30,805 30,995
Zoetis Inc. 1.875% 2/1/18 35,915 35,879
 
Energy (3.7%)        
Anadarko Petroleum Corp. 5.950% 9/15/16 74,940 84,691
Anadarko Petroleum Corp. 6.375% 9/15/17 68,218 79,726
Apache Corp. 5.625% 1/15/17 8,675 9,860
Apache Corp. 1.750% 4/15/17 26,105 26,456
BP Capital Markets plc 3.875% 3/10/15 56,945 59,499

 

 

BP Capital Markets plc 3.125% 10/1/15 37,918 39,715
BP Capital Markets plc 0.700% 11/6/15 23,840 23,850
BP Capital Markets plc 3.200% 3/11/16 77,518 81,521
BP Capital Markets plc 2.248% 11/1/16 37,575 38,782
BP Capital Markets plc 1.846% 5/5/17 41,475 42,134
BP Capital Markets plc 1.375% 11/6/17 19,000 18,872
BP Capital Markets plc 1.375% 5/10/18 35,175 34,516
BP Capital Markets plc 2.241% 9/26/18 21,575 21,817
Canadian Natural Resources Ltd. 1.450% 11/14/14 16,400 16,527
Canadian Natural Resources Ltd. 4.900% 12/1/14 10,974 11,463
Canadian Natural Resources Ltd. 5.700% 5/15/17 24,826 28,185
Chevron Corp. 1.104% 12/5/17 13,700 13,556
Chevron Corp. 1.718% 6/24/18 29,300 29,389
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 34,080 38,630
Ensco plc 3.250% 3/15/16 33,450 35,072
7 GS Caltex Corp. 5.500% 8/25/14 3,910 4,032
7 GS Caltex Corp. 5.500% 10/15/15 14,165 15,176
Marathon Oil Corp. 0.900% 11/1/15 63,610 63,649
Marathon Oil Corp. 5.900% 3/15/18 23,330 26,922
7 Nabors Industries Inc. 2.350% 9/15/16 16,600 16,843
Nabors Industries Inc. 6.150% 2/15/18 13,650 15,411
Noble Holding International Ltd. 3.450% 8/1/15 7,581 7,888
Noble Holding International Ltd. 3.050% 3/1/16 16,130 16,663
Occidental Petroleum Corp. 2.500% 2/1/16 19,750 20,493
Occidental Petroleum Corp. 4.125% 6/1/16 8,344 9,044
Occidental Petroleum Corp. 1.750% 2/15/17 93,490 94,959
Occidental Petroleum Corp. 1.500% 2/15/18 14,920 14,828
Petro-Canada 6.050% 5/15/18 4,885 5,719
Phillips 66 1.950% 3/5/15 29,365 29,840
Phillips 66 2.950% 5/1/17 36,280 37,823
Pioneer Natural Resources Co. 6.650% 3/15/17 4,880 5,649
Pioneer Natural Resources Co. 6.875% 5/1/18 4,425 5,253
Shell International Finance BV 3.100% 6/28/15 18,300 19,086
Shell International Finance BV 5.200% 3/22/17 14,225 16,090
Shell International Finance BV 1.125% 8/21/17 14,700 14,660
Suncor Energy Inc. 6.100% 6/1/18 33,389 39,231
Total Capital Canada Ltd. 1.450% 1/15/18 37,152 36,928
Total Capital International SA 0.750% 1/25/16 21,000 20,997
Total Capital International SA 1.500% 2/17/17 38,115 38,606
Total Capital International SA 1.550% 6/28/17 42,522 42,885
Total Capital SA 3.000% 6/24/15 7,241 7,536
Total Capital SA 3.125% 10/2/15 36,504 38,236
Total Capital SA 2.300% 3/15/16 34,038 35,282
Total Capital SA 2.125% 8/10/18 11,627 11,799
Transocean Inc. 4.950% 11/15/15 48,220 51,691
Transocean Inc. 5.050% 12/15/16 60,726 66,881
Transocean Inc. 2.500% 10/15/17 58,692 59,222
Transocean Inc. 6.000% 3/15/18 19,535 22,050
Valero Energy Corp. 4.500% 2/1/15 14,625 15,282
Valero Energy Corp. 6.125% 6/15/17 9,010 10,346
Weatherford International LLC 6.350% 6/15/17 13,005 14,748
Weatherford International Ltd. 5.500% 2/15/16 9,760 10,575
 
Technology (2.1%)        
Affiliated Computer Services Inc. 5.200% 6/1/15 9,750 10,324
Agilent Technologies Inc. 5.500% 9/14/15 7,149 7,723
Agilent Technologies Inc. 6.500% 11/1/17 9,500 11,112

 

 

  Altera Corp. 1.750% 5/15/17 7,375 7,335
  Altera Corp. 2.500% 11/15/18 26,375 26,264
  Amphenol Corp. 4.750% 11/15/14 19,500 20,277
  Apple Inc. 1.000% 5/3/18 29,410 28,611
  Applied Materials Inc. 2.650% 6/15/16 9,800 10,210
  Baidu Inc. 2.250% 11/28/17 6,850 6,792
  Baidu Inc. 3.250% 8/6/18 26,400 26,963
  Computer Sciences Corp. 2.500% 9/15/15 14,630 14,985
  Computer Sciences Corp. 6.500% 3/15/18 21,220 24,611
  Corning Inc. 1.450% 11/15/17 14,675 14,556
  Dell Inc. 2.100% 4/1/14 8,325 8,346
  Dell Inc. 5.625% 4/15/14 28,250 28,815
  EMC Corp. 1.875% 6/1/18 81,210 81,160
  Hewlett-Packard Co. 2.625% 12/9/14 9,750 9,942
  Hewlett-Packard Co. 2.350% 3/15/15 7,930 8,067
  Hewlett-Packard Co. 2.125% 9/13/15 14,010 14,224
  Hewlett-Packard Co. 2.200% 12/1/15 10,232 10,424
  Hewlett-Packard Co. 2.650% 6/1/16 31,758 32,561
  Hewlett-Packard Co. 3.000% 9/15/16 89,140 92,282
  Hewlett-Packard Co. 3.300% 12/9/16 24,852 25,975
  Hewlett-Packard Co. 5.400% 3/1/17 12,791 14,173
  Hewlett-Packard Co. 2.600% 9/15/17 34,970 35,551
  Intel Corp. 1.950% 10/1/16 7,780 8,032
  Intel Corp. 1.350% 12/15/17 123,327 122,889
  International Business Machines Corp. 0.875% 10/31/14 10,865 10,933
  International Business Machines Corp. 1.950% 7/22/16 33,175 34,277
  International Business Machines Corp. 1.250% 2/6/17 19,600 19,657
  International Business Machines Corp. 5.700% 9/14/17 11,650 13,544
  International Business Machines Corp. 1.250% 2/8/18 9,700 9,593
  Microsoft Corp. 0.875% 11/15/17 9,620 9,505
  Motorola Solutions Inc. 6.000% 11/15/17 4,773 5,479
  Oracle Corp. 1.200% 10/15/17 51,725 51,154
  Oracle Corp. 5.750% 4/15/18 12,700 14,857
7 Seagate HDD Cayman 3.750% 11/15/18 14,000 14,000
  Xerox Corp. 4.250% 2/15/15 20,250 21,078
  Xerox Corp. 6.400% 3/15/16 9,325 10,374
  Xerox Corp. 6.750% 2/1/17 18,525 21,208
  Xerox Corp. 2.950% 3/15/17 8,810 9,066
  Xerox Corp. 6.350% 5/15/18 16,640 19,213
  Xerox Corp. 5.625% 12/15/19 15,675 17,558
 
  Transportation (1.0%)        
4,7 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 37,746 37,746
  Burlington Northern Santa Fe LLC 4.875% 1/15/15 5,380 5,649
  Burlington Northern Santa Fe LLC 5.650% 5/1/17 4,875 5,573
  Canadian Pacific Railway Co. 6.500% 5/15/18 14,710 17,422
  Canadian Pacific Railway Co. 7.250% 5/15/19 2,925 3,603
  Canadian Pacific Railway Ltd. 4.500% 1/15/22 6,810 7,202
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 6,899 7,382
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 3,523 3,738
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 6,144 7,004
4 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 4/1/21 5,677 6,372

 

 

4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 3,375 3,417
  CSX Corp. 6.250% 4/1/15 11,557 12,436
  CSX Corp. 6.250% 3/15/18 10,895 12,795
4,10 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 5,012 5,526
4 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 13,479 14,912
4 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 2,951 3,142
7 ERAC USA Finance LLC 2.250% 1/10/14 49,660 49,824
7 ERAC USA Finance LLC 5.600% 5/1/15 10,245 10,940
7 ERAC USA Finance LLC 1.400% 4/15/16 8,775 8,775
7 ERAC USA Finance LLC 6.375% 10/15/17 11,170 12,973
7 ERAC USA Finance LLC 2.800% 11/1/18 16,645 16,900
4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 6,840 6,276
  JB Hunt Transport Services Inc. 3.375% 9/15/15 11,790 12,254
4,6,10 JetBlue Airways 2004-1 G-1 Pass Through        
  Trust 0.629% 6/15/15 2,086 2,087
4,6,10 JetBlue Airways 2004-1 G-2 Pass Through        
  Trust 0.674% 9/15/15 19,025 18,942
4,6,10 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.714% 5/15/18 9,655 8,762
  Kansas City Southern de Mexico SA de CV 2.350% 5/15/20 4,880 4,668
  Norfolk Southern Corp. 5.257% 9/17/14 12,315 12,811
  Norfolk Southern Corp. 5.750% 1/15/16 4,960 5,472
7 Penske Truck Leasing Co. Lp / PTL Finance        
  Corp. 2.500% 7/11/14 15,000 15,169
  Ryder System Inc. 5.850% 3/1/14 5,150 5,238
  Ryder System Inc. 7.200% 9/1/15 10,820 11,991
  Ryder System Inc. 3.600% 3/1/16 25,775 27,083
  Ryder System Inc. 5.850% 11/1/16 8,440 9,399
  Ryder System Inc. 2.500% 3/1/17 12,635 12,866
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 2,136 2,456
  United Continental Holdings Inc. 6.375% 6/1/18 2,740 2,850
  United Parcel Service Inc. 1.125% 10/1/17 12,850 12,765
  United Parcel Service Inc. 5.500% 1/15/18 14,239 16,483
  United Parcel Service Inc. 5.125% 4/1/19 19,160 22,097
          13,605,759
Utilities (4.6%)        
  Electric (3.6%)        
  Ameren Illinois Co. 6.125% 11/15/17 6,810 7,918
  Ameren Illinois Co. 6.250% 4/1/18 4,690 5,462
  American Electric Power Co. Inc. 1.650% 12/15/17 35,350 35,017
  Appalachian Power Co. 5.000% 6/1/17 5,605 6,205
  Arizona Public Service Co. 5.800% 6/30/14 8,050 8,320
  Arizona Public Service Co. 4.650% 5/15/15 5,850 6,189
  Arizona Public Service Co. 6.250% 8/1/16 4,027 4,573
  Baltimore Gas & Electric Co. 5.900% 10/1/16 6,810 7,710
  CenterPoint Energy Inc. 5.950% 2/1/17 21,490 24,371
  CenterPoint Energy Inc. 6.500% 5/1/18 7,270 8,600
  CMS Energy Corp. 4.250% 9/30/15 22,075 23,281
  CMS Energy Corp. 6.550% 7/17/17 2,685 3,115
  CMS Energy Corp. 5.050% 2/15/18 45,575 50,590
  Commonwealth Edison Co. 4.700% 4/15/15 2,807 2,970

 

 

  Commonwealth Edison Co. 5.950% 8/15/16 33,402 37,712
  Commonwealth Edison Co. 1.950% 9/1/16 31,705 32,504
  Commonwealth Edison Co. 6.150% 9/15/17 26,386 30,886
  Commonwealth Edison Co. 5.800% 3/15/18 33,975 39,729
  Consumers Energy Co. 5.500% 8/15/16 4,530 5,073
  Consumers Energy Co. 5.150% 2/15/17 14,095 15,836
  Consumers Energy Co. 5.650% 9/15/18 12,700 14,927
  Consumers Energy Co. 6.125% 3/15/19 7,180 8,626
  Consumers Energy Co. 6.700% 9/15/19 3,865 4,805
  DTE Electric Co. 5.600% 6/15/18 3,420 3,968
  Duke Energy Carolinas LLC 5.300% 10/1/15 10,750 11,717
  Duke Energy Carolinas LLC 1.750% 12/15/16 6,950 7,109
  Duke Energy Carolinas LLC 5.100% 4/15/18 25,322 28,935
  Duke Energy Carolinas LLC 7.000% 11/15/18 21,000 26,056
  Duke Energy Corp. 3.350% 4/1/15 4,875 5,049
  Duke Energy Corp. 1.625% 8/15/17 12,560 12,590
  Duke Energy Corp. 2.100% 6/15/18 10,490 10,559
  Duke Energy Corp. 6.250% 6/15/18 17,390 20,563
  Duke Energy Florida Inc. 0.650% 11/15/15 7,390 7,389
  Duke Energy Florida Inc. 5.100% 12/1/15 43,735 47,707
  Duke Energy Florida Inc. 5.800% 9/15/17 11,462 13,239
  Duke Energy Florida Inc. 5.650% 6/15/18 21,500 25,106
  Duke Energy Progress Inc. 5.150% 4/1/15 4,900 5,205
  Duke Energy Progress Inc. 5.250% 12/15/15 14,870 16,305
  Duke Energy Progress Inc. 5.300% 1/15/19 10,410 12,058
  Entergy Corp. 3.625% 9/15/15 18,420 19,105
  Entergy Corp. 4.700% 1/15/17 11,695 12,540
  Entergy Louisiana LLC 1.875% 12/15/14 10,350 10,487
  Exelon Corp. 4.900% 6/15/15 9,760 10,343
  Exelon Generation Co. LLC 6.200% 10/1/17 16,105 18,503
4,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 17,203 17,977
  Georgia Power Co. 3.000% 4/15/16 6,885 7,237
  Georgia Power Co. 5.700% 6/1/17 5,285 6,037
7 Iberdrola Finance Ireland Ltd. 3.800% 9/11/14 55,952 57,227
  LG&E & KU Energy LLC 2.125% 11/15/15 34,635 35,289
  Louisville Gas & Electric Co. 1.625% 11/15/15 5,040 5,137
  MidAmerican Energy Co. 4.650% 10/1/14 4,880 5,065
  MidAmerican Energy Co. 5.950% 7/15/17 14,170 16,450
  MidAmerican Energy Co. 5.300% 3/15/18 29,560 33,988
  MidAmerican Energy Holdings Co. 5.000% 2/15/14 3,000 3,037
  MidAmerican Energy Holdings Co. 5.750% 4/1/18 44,956 52,383
  National Rural Utilities Cooperative Finance        
  Corp. 4.750% 3/1/14 13,330 13,522
  National Rural Utilities Cooperative Finance        
  Corp. 1.000% 2/2/15 7,795 7,851
  National Rural Utilities Cooperative Finance        
  Corp. 1.900% 11/1/15 12,270 12,600
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 3/1/16 7,800 8,193
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 3,900 4,422
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 2/1/18 32,768 37,571
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 8,400 8,243
  Nevada Power Co. 5.875% 1/15/15 35,470 37,628
  Nevada Power Co. 6.500% 5/15/18 26,805 32,118

 

 

Nevada Power Co. 6.500% 8/1/18 7,401 8,918
NextEra Energy Capital Holdings Inc. 1.200% 6/1/15 40,895 41,131
NextEra Energy Capital Holdings Inc. 2.600% 9/1/15 29,535 30,414
NextEra Energy Capital Holdings Inc. 7.875% 12/15/15 14,650 16,716
4 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 5,895 5,924
7 Niagara Mohawk Power Corp. 3.553% 10/1/14 4,830 4,957
Northeast Utilities 1.450% 5/1/18 21,490 21,004
Northern States Power Co. 5.250% 3/1/18 2,890 3,318
NSTAR Electric Co. 5.625% 11/15/17 2,000 2,304
Ohio Power Co. 6.000% 6/1/16 9,838 10,995
Pacific Gas & Electric Co. 5.625% 11/30/17 45,304 52,172
PacifiCorp 5.650% 7/15/18 7,810 9,131
Pennsylvania Electric Co. 6.050% 9/1/17 5,445 6,154
PG&E Corp. 5.750% 4/1/14 52,933 54,015
PPL Capital Funding Inc. 1.900% 6/1/18 13,915 13,705
PPL Energy Supply LLC 5.400% 8/15/14 8,725 9,043
Public Service Co. of Colorado 5.500% 4/1/14 6,825 6,966
Public Service Co. of Colorado 5.800% 8/1/18 9,680 11,412
Public Service Co. of New Mexico 7.950% 5/15/18 8,700 10,511
Public Service Electric & Gas Co. 5.000% 8/15/14 9,500 9,840
Public Service Electric & Gas Co. 2.700% 5/1/15 13,500 13,936
Public Service Electric & Gas Co. 5.300% 5/1/18 2,930 3,370
Public Service Electric & Gas Co. 2.300% 9/15/18 18,075 18,554
Sierra Pacific Power Co. 6.000% 5/15/16 16,060 18,050
South Carolina Electric & Gas Co. 6.500% 11/1/18 8,450 10,225
Southern California Edison Co. 5.500% 8/15/18 5,295 6,178
Southwestern Electric Power Co. 5.550% 1/15/17 2,010 2,215
Southwestern Electric Power Co. 5.875% 3/1/18 10,080 11,479
Tampa Electric Co. 6.100% 5/15/18 21,670 25,571
TECO Finance Inc. 4.000% 3/15/16 10,895 11,597
TECO Finance Inc. 6.572% 11/1/17 5,710 6,659
7 Trans-Allegheny Interstate Line Co. 4.000% 1/15/15 53,650 55,302
Union Electric Co. 6.400% 6/15/17 12,271 14,292
4 Wisconsin Energy Corp. 6.250% 5/15/67 5,460 5,596
Xcel Energy Inc. 0.750% 5/9/16 35,312 35,118
 
Natural Gas (1.0%)        
Atmos Energy Corp. 4.950% 10/15/14 6,260 6,508
7 Centrica plc 4.000% 10/16/23 17,830 17,977
Colorado Interstate Gas Co. LLC 6.800% 11/15/15 39,762 44,517
El Paso Natural Gas Co. LLC 5.950% 4/15/17 10,300 11,611
El Paso Pipeline Partners Operating Co. LLC 4.100% 11/15/15 38,508 40,704
Enbridge Energy Partners LP 5.350% 12/15/14 2,440 2,559
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,860 2,095
Energy Transfer Partners LP 5.950% 2/1/15 9,842 10,428
Energy Transfer Partners LP 6.125% 2/15/17 19,583 22,200
Energy Transfer Partners LP 6.700% 7/1/18 32,999 38,848
Energy Transfer Partners LP 4.150% 10/1/20 11,725 12,152
Kinder Morgan Energy Partners LP 5.625% 2/15/15 8,770 9,292
Kinder Morgan Energy Partners LP 3.500% 3/1/16 25,785 27,162
Kinder Morgan Energy Partners LP 6.000% 2/1/17 15,835 17,983
Kinder Morgan Energy Partners LP 5.950% 2/15/18 9,440 10,882
Kinder Morgan Energy Partners LP 2.650% 2/1/19 12,600 12,656
Magellan Midstream Partners LP 6.450% 6/1/14 3,650 3,774
Nisource Finance Corp. 6.400% 3/15/18 13,190 15,392
ONEOK Partners LP 3.200% 9/15/18 9,770 10,099
Sempra Energy 6.500% 6/1/16 33,254 37,694

 

 

  Sempra Energy 2.300% 4/1/17 36,630 37,539
  Sempra Energy 6.150% 6/15/18 13,585 15,926
  Southern California Gas Co. 5.500% 3/15/14 7,979 8,123
7 Southern Natural Gas Co. LLC 5.900% 4/1/17 11,470 13,017
  Spectra Energy Partners LP 2.950% 9/25/18 9,770 10,026
4 TransCanada PipeLines Ltd. 6.350% 5/15/67 5,550 5,730
 
  Other Utility (0.0%)        
  American Water Capital Corp. 6.085% 10/15/17 9,357 10,804
 
          2,133,397
Total Corporate Bonds (Cost $27,280,299)       27,584,145
Sovereign Bonds (U.S. Dollar-Denominated) (8.2%)        
7 Abu Dhabi National Energy Co. 4.750% 9/15/14 11,700 12,051
7 Abu Dhabi National Energy Co. 2.500% 1/12/18 1,000 999
7 ADCB Finance Cayman Ltd. 4.750% 10/8/14 5,000 5,158
7 Banco de Costa Rica 5.250% 8/12/18 4,800 4,848
7 Banco del Estado de Chile 2.000% 11/9/17 6,200 6,085
7 Banco del Estado de Chile 3.875% 2/8/22 2,000 1,955
7 Banco do Brasil SA 4.500% 1/22/15 8,500 8,801
  Banco do Brasil SA 3.875% 1/23/17 11,085 11,388
7 Banco do Nordeste do Brasil SA 3.625% 11/9/15 2,000 2,025
7 Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 18,100 18,560
7 Banco Nacional de Desenvolvimento        
  Economico e Social 3.375% 9/26/16 6,400 6,479
7 Bank Nederlandse Gemeenten 1.375% 3/23/15 14,600 14,806
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 2,450 2,314
7 Bermuda 4.138% 1/3/23 6,000 5,774
7 Bermuda 4.854% 2/6/24 5,800 5,784
7 Caisse d'Amortissement de la Dette Sociale 1.750% 2/24/15 4,850 4,933
7 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 4,875 4,821
7 Caixa Economica Federal 2.375% 11/6/17 12,375 11,674
7 Centrais Eletricas Brasileiras SA 7.750% 11/30/15 2,250 2,470
7 Central American Bank for Economic        
  Integration 5.375% 9/24/14 7,000 7,252
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,800 1,778
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 4,000 3,929
7 CNPC General Capital Ltd. 1.450% 4/16/16 2,000 1,991
7 CNPC General Capital Ltd. 2.750% 4/19/17 4,875 4,983
7 CNPC HK Overseas Capital Ltd. 3.125% 4/28/16 5,000 5,179
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,825 4,880
7 Corp. Nacional del Cobre de Chile 4.750% 10/15/14 2,460 2,540
7 Corp. Nacional del Cobre de Chile 7.500% 1/15/19 5,700 6,909
7 Corp. Nacional del Cobre de Chile 3.750% 11/4/20 9,775 9,817
7 Corp. Nacional Del Cobre De Chile 3.875% 11/3/21 15,796 15,716
7 Corp. Nacional Del Cobre de Chile 3.000% 7/17/22 6,025 5,544
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 15,600 15,901
  Corporacion Andina de Fomento 3.750% 1/15/16 69,219 72,046
  Corporacion Andina de Fomento 5.750% 1/12/17 8,900 9,783
11 Development Bank of Japan Inc. 2.875% 4/20/15 5,000 5,177
11 Development Bank of Japan Inc. 2.750% 3/15/16 6,900 7,249
11 Development Bank of Japan Inc. 5.125% 2/1/17 4,800 5,418
7 Development Bank of Kazakhstan JSC 5.500% 12/20/15 2,762 2,920
  Development Bank of Kazakhstan JSC 5.500% 12/20/15 310 327
7 Development Bank of Kazakhstan JSC 4.125% 12/10/22 3,000 2,775
7,12 Dexia Credit Local SA 2.750% 4/29/14 25,300 25,402

 

 

7,12 Dexia Credit Local SA 1.250% 10/18/16 12,700 12,710
7 Electricite de France SA 5.500% 1/26/14 2,970 3,001
7 Emirate of Abu Dhabi 5.500% 4/8/14 14,390 14,678
4,7 ENA Norte Trust 4.950% 4/25/28 1,902 1,883
  European Investment Bank 2.875% 1/15/15 19,500 20,112
  European Investment Bank 2.750% 3/23/15 8,750 9,042
  European Investment Bank 1.125% 4/15/15 30,000 30,364
  European Investment Bank 1.625% 9/1/15 9,725 9,960
  European Investment Bank 2.500% 5/16/16 5,000 5,239
  Export-Import Bank of Korea 8.125% 1/21/14 4,850 4,928
7 Export-Import Bank of Korea 5.250% 2/10/14 2,550 2,582
  Export-Import Bank of Korea 5.875% 1/14/15 23,270 24,658
  Export-Import Bank of Korea 5.125% 3/16/15 9,600 10,108
  Export-Import Bank of Korea 4.125% 9/9/15 33,625 35,477
  Export-Import Bank of Korea 3.750% 10/20/16 18,695 19,851
  Export-Import Bank of Korea 4.000% 1/11/17 31,600 33,894
  Export-Import Bank of Korea 2.875% 9/17/18 11,700 11,925
  Export-Import Bank of Korea 4.000% 1/29/21 2,000 2,083
7 Federation of Malaysia 2.991% 7/6/16 4,875 5,075
  Federative Republic of Brazil 7.875% 3/7/15 23,825 25,921
  Federative Republic of Brazil 6.000% 1/17/17 59,495 66,872
4 Federative Republic of Brazil 8.000% 1/15/18 26,950 30,211
7 Gazprom OAO Via Gaz Capital SA 5.092% 11/29/15 42,520 45,182
7 Hrvatska Elektroprivreda 6.000% 11/9/17 2,925 2,998
  Hydro-Quebec 2.000% 6/30/16 21,750 22,473
7 Industrial Bank of Korea 7.125% 4/23/14 6,700 6,901
7 IPIC GMTN Ltd. 3.750% 3/1/17 2,850 3,025
11 Japan Bank for International Cooperation 2.875% 2/2/15 30,500 31,441
11 Japan Bank for International Cooperation 1.875% 9/24/15 60,350 61,843
11 Japan Bank for International Cooperation 2.500% 1/21/16 19,500 20,313
11 Japan Bank for International Cooperation 2.500% 5/18/16 22,000 22,999
11 Japan Bank for International Cooperation 2.250% 7/13/16 34,090 35,430
11 Japan Bank for International Cooperation 1.750% 7/31/18 26,800 26,848
11 Japan Finance Organization for Municipalities 4.625% 4/21/15 8,900 9,428
11 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,750 10,575
7 KazMunaiGaz Finance Sub BV 11.750% 1/23/15 4,400 4,917
7 Kingdom of Spain 4.000% 3/6/18 12,800 13,062
7 Kommunalbanken AS 2.375% 1/19/16 5,875 6,084
7 Kommunalbanken AS 0.875% 10/3/16 9,775 9,783
7 Kommunalbanken AS 1.125% 5/23/18 31,300 30,516
  Korea Development Bank 8.000% 1/23/14 9,550 9,704
  Korea Development Bank 4.375% 8/10/15 15,460 16,322
  Korea Development Bank 1.000% 1/22/16 4,800 4,753
  Korea Development Bank 3.250% 3/9/16 25,060 26,060
  Korea Development Bank 4.000% 9/9/16 4,000 4,262
  Korea Development Bank 3.875% 5/4/17 24,125 25,722
  Korea Development Bank 3.500% 8/22/17 22,675 23,947
  Korea Development Bank 1.500% 1/22/18 5,850 5,681
7 Korea Electric Power Corp. 3.000% 10/5/15 10,800 11,130
7 Korea Expressway Corp. 5.125% 5/20/15 3,900 4,108
7 Korea Expressway Corp. 1.875% 10/22/17 1,000 978
  Korea Finance Corp. 3.250% 9/20/16 9,800 10,222
  Korea Finance Corp. 2.250% 8/7/17 7,725 7,795
7 Korea Gas Corp. 6.000% 7/15/14 4,500 4,656
7 Korea Hydro & Nuclear Power Co. Ltd. 6.250% 6/17/14 2,782 2,868
7 Korea Hydro & Nuclear Power Co. Ltd. 3.125% 9/16/15 4,900 5,051
7 Korea National Oil Corp. 2.875% 11/9/15 2,900 2,985

 

 

7 Korea National Oil Corp. 4.000% 10/27/16 19,201 20,423
7 Korea Resources Corp. 2.125% 5/2/18 4,675 4,555
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 7,800 7,828
13 Landwirtschaftliche Rentenbank 3.125% 7/15/15 7,000 7,312
7 MDC-GMTN B.V. 5.750% 5/6/14 4,100 4,192
7 MDC-GMTN B.V. 3.750% 4/20/16 6,000 6,329
7 National Agricultural Cooperative Federation 5.000% 9/30/14 10,000 10,351
  North American Development Bank 2.300% 10/10/18 3,675 3,680
  North American Development Bank 2.400% 10/26/22 2,700 2,448
14 Oesterreichische Kontrollbank AG 1.375% 1/21/14 4,875 4,887
14 Oesterreichische Kontrollbank AG 4.500% 3/9/15 6,300 6,652
14 Oesterreichische Kontrollbank AG 1.750% 10/5/15 59,400 60,812
14 Oesterreichische Kontrollbank AG 2.000% 6/3/16 24,350 25,193
  Pemex Project Funding Master Trust 5.750% 3/1/18 53,990 60,137
7 Perusahaan Penerbit SBSN Indonesia 4.000% 11/21/18 4,800 4,812
  Petrobras Global Finance BV 3.000% 1/15/19 8,150 7,752
  Petrobras International Finance Co. 7.750% 9/15/14 9,725 10,285
  Petrobras International Finance Co. 2.875% 2/6/15 4,500 4,554
  Petrobras International Finance Co. 3.875% 1/27/16 50,320 51,904
  Petrobras International Finance Co. 6.125% 10/6/16 32,725 35,952
  Petrobras International Finance Co. 3.500% 2/6/17 44,875 45,479
  Petrobras International Finance Co. 5.875% 3/1/18 72,388 78,152
  Petrobras International Finance Co. 5.750% 1/20/20 16,020 16,934
  Petroleos Mexicanos 4.875% 3/15/15 47,902 50,295
  Petroleos Mexicanos 3.500% 7/18/18 10,530 10,779
  Petroleos Mexicanos 8.000% 5/3/19 6,700 8,207
  Petroleos Mexicanos 6.000% 3/5/20 4,900 5,487
4,7 Petroleum Co. of Trinidad & Tobago Ltd. 6.000% 5/8/22 2,156 2,285
7 Petronas Capital Ltd. 5.250% 8/12/19 15,840 17,843
  Province of Manitoba 2.625% 7/15/15 7,875 8,156
  Province of Manitoba 1.300% 4/3/17 32,225 32,734
  Province of New Brunswick 2.750% 6/15/18 975 1,030
  Province of Nova Scotia 2.375% 7/21/15 43,820 45,188
  Province of Ontario 1.375% 1/27/14 16,100 16,147
  Province of Ontario 4.100% 6/16/14 9,450 9,681
  Province of Ontario 2.950% 2/5/15 10,000 10,322
  Province of Ontario 0.950% 5/26/15 36,025 36,310
  Province of Ontario 2.700% 6/16/15 82,595 85,540
  Province of Ontario 1.875% 9/15/15 62,047 63,626
  Province of Ontario 4.750% 1/19/16 19,750 21,515
  Province of Ontario 5.450% 4/27/16 5,000 5,581
  Province of Ontario 2.300% 5/10/16 116,525 120,951
  Province of Ontario 1.000% 7/22/16 16,425 16,479
  Province of Ontario 1.600% 9/21/16 83,150 84,915
  Province of Ontario 1.100% 10/25/17 33,395 33,079
  Province of Ontario 1.200% 2/14/18 5,200 5,144
  Province of Ontario 3.000% 7/16/18 15,905 16,880
  Province of Ontario 2.000% 9/27/18 14,650 14,860
  Province of Ontario 1.650% 9/27/19 9,765 9,459
  Province of Ontario 2.450% 6/29/22 7,820 7,375
  PTT Public Co. Ltd. 3.375% 10/25/22 3,000 2,798
7,15 Qatari Diar Finance QSC 3.500% 7/21/15 2,725 2,824
7 Qtel International Finance Ltd. 6.500% 6/10/14 4,500 4,635
7 Qtel International Finance Ltd. 3.375% 10/14/16 9,025 9,416
7 Qtel International Finance Ltd. 3.250% 2/21/23 4,925 4,544
7 Qtel International Finance Ltd. 3.875% 1/31/28 1,800 1,595
  Quebec 4.875% 5/5/14 1,950 1,996

 

 

  Quebec 4.600% 5/26/15 9,750 10,384
  Quebec 5.000% 3/1/16 9,750 10,747
  Quebec 5.125% 11/14/16 11,000 12,383
  Quebec 3.500% 7/29/20 4,750 5,048
  Quebec 2.750% 8/25/21 26,285 25,904
  Quebec 2.625% 2/13/23 5,150 4,831
4,7 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 6,882 7,462
7 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 8,275 8,607
7 Republic of Austria 1.750% 6/17/16 9,750 10,052
  Republic of Chile 3.250% 9/14/21 9,575 9,702
  Republic of Chile 2.250% 10/30/22 3,000 2,752
  Republic of Colombia 8.250% 12/22/14 60,341 64,867
  Republic of Colombia 7.375% 1/27/17 57,425 66,900
  Republic of Colombia 7.375% 3/18/19 19,500 23,849
7 Republic of Iceland 4.875% 6/16/16 3,900 4,075
7 Republic of Indonesia 10.375% 5/4/14 9,750 10,164
7 Republic of Indonesia 6.875% 3/9/17 4,925 5,607
  Republic of Italy 3.125% 1/26/15 49,075 50,312
  Republic of Italy 4.750% 1/25/16 71,845 76,716
  Republic of Italy 5.250% 9/20/16 59,950 65,046
  Republic of Italy 5.375% 6/12/17 29,625 32,454
  Republic of Korea 5.750% 4/16/14 17,050 17,435
  Republic of Korea 4.875% 9/22/14 8,585 8,897
  Republic of Korea 5.125% 12/7/16 9,750 10,843
7 Republic of Latvia 5.250% 2/22/17 2,000 2,184
7 Republic of Latvia 2.750% 1/12/20 4,000 3,824
  Republic of Panama 7.250% 3/15/15 28,225 30,567
  Republic of Panama 5.200% 1/30/20 15,400 16,984
  Republic of Peru 9.875% 2/6/15 19,500 21,669
  Republic of Peru 8.375% 5/3/16 3,628 4,208
  Republic of Poland 5.250% 1/15/14 4,875 4,899
  Republic of Poland 3.875% 7/16/15 36,080 37,826
  Republic of Poland 5.000% 3/23/22 4,825 5,271
7 Republic of Romania 4.375% 8/22/23 3,800 3,714
7 Republic of Serbia 5.250% 11/21/17 1,000 1,010
7 Republic of Slovakia 4.375% 5/21/22 5,500 5,796
  Republic of South Africa 6.500% 6/2/14 6,900 7,110
  Republic of South Africa 5.500% 3/9/20 5,875 6,374
  Republic of Turkey 7.250% 3/15/15 14,575 15,559
  Republic of Turkey 7.000% 9/26/16 121,505 135,478
  Republic of Turkey 7.500% 7/14/17 4,900 5,611
  Republic of Turkey 6.750% 4/3/18 8,800 9,856
  Republic of Turkey 5.625% 3/30/21 19,530 20,751
  Republic of Turkey 3.250% 3/23/23 22,460 19,821
  Russian Federation 3.625% 4/29/15 5,400 5,610
7 Russian Federation 3.500% 1/16/19 8,000 8,222
4,7 Russian Federation 7.500% 3/31/30 4,254 5,071
7 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 5,775 5,933
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 20,200 20,277
  State of Israel 5.125% 3/1/14 8,925 9,052
  State of Israel 5.500% 11/9/16 4,875 5,483
  State of Israel 4.000% 6/30/22 1,900 1,978
  State of Israel 3.150% 6/30/23 6,000 5,810
7 State of Qatar 5.150% 4/9/14 3,200 3,266
7 State of Qatar 4.000% 1/20/15 12,700 13,170

 

 

7 State of Qatar 3.125% 1/20/17 8,000 8,380
  Statoil ASA 1.800% 11/23/16 5,900 6,055
  Statoil ASA 3.125% 8/17/17 8,956 9,547
  Statoil ASA 1.200% 1/17/18 5,150 5,077
  Statoil ASA 3.150% 1/23/22 2,000 1,993
  Svensk Exportkredit AB 1.750% 10/20/15 56,450 57,824
  Svensk Exportkredit AB 2.125% 7/13/16 24,400 25,295
  Svensk Exportkredit AB 1.750% 5/30/17 4,900 5,002
7 TDIC Finance Ltd. 6.500% 7/2/14 7,275 7,548
7 Temasek Financial I Ltd. 4.300% 10/25/19 7,250 7,970
7 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 4,616
7 Transnet SOC Ltd. 4.500% 2/10/16 4,400 4,576
7 Turkiye Halk Bankasi AS 4.875% 7/19/17 1,800 1,828
  United Mexican States 5.875% 1/15/14 10,000 10,085
  United Mexican States 5.875% 2/17/14 26,724 27,071
  United Mexican States 5.625% 1/15/17 70,547 79,114
  United Mexican States 5.750% 10/12/10 13,800 13,193
Total Sovereign Bonds (Cost $3,731,484)       3,769,971
Taxable Municipal Bonds (0.5%)        
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 9,800 9,395
  California GO 5.250% 4/1/14 4,850 4,945
  California GO 5.950% 3/1/18 26,110 30,457
  California GO 6.200% 10/1/19 13,650 16,119
  Colorado Housing & Finance Authority        
  Employment Compensation Special        
  Assessment Revenue 1.600% 5/15/16 14,600 14,711
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 1.298% 7/1/16 7,800 7,784
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.107% 7/1/18 5,350 5,253
  George Washington University District of        
  Columbia GO 3.485% 9/15/22 4,800 4,723
  Harris County TX Toll Road Revenue 1.361% 8/15/17 9,750 9,508
  Illinois GO 4.511% 3/1/15 7,780 8,094
  Illinois GO 4.961% 3/1/16 25,550 27,119
  Illinois GO 5.365% 3/1/17 16,540 17,660
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 1.570% 1/1/17 2,000 1,973
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 2.217% 1/1/19 1,850 1,794
6 Mississippi GO (Nissan North America, Inc.        
  Project) 0.880% 11/1/17 12,180 12,215
6 South Carolina Public Service Authority        
  Revenue 1.054% 6/1/15 20,000 20,045
  University of California Revenue 2.054% 5/15/18 3,400 3,412
  University of California Revenue 1.745% 5/15/19 6,250 6,099
6 University of California Revenue 0.760% 7/1/41 19,500 19,512
Total Taxable Municipal Bonds (Cost $220,117)       220,818
Tax-Exempt Municipal Bonds (1.0%)        
  Arizona Transportation Board Highway        
  Revenue 5.000% 7/1/36 4,320 4,569
  Arizona Transportation Board Highway        
  Revenue 5.000% 7/1/37 8,825 9,320

 

 

  Arizona Transportation Board Highway        
  Revenue 5.000% 7/1/38 5,430 5,718
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 5.000% 4/1/43 4,120 4,182
  Calhoun County TX Navigation Industrial        
  Development Authority Port Revenue (BP        
  plc) VRDO 0.120% 11/7/13 10,000 10,000
  California GO 5.000% 4/1/43 8,010 8,197
16 California Housing Finance Agency        
  Multifamily Housing Revenue VRDO 0.080% 11/7/13 14,490 14,490
  Cary NC Combined Enterprise System        
  Revenue 5.000% 12/1/42 6,730 7,185
  Contra Costa CA Community College District        
  GO 5.000% 8/1/38 5,035 5,292
  District of Columbia Water & Sewer Authority        
  Public Utility Revenue 5.000% 10/1/37 11,365 11,957
  Houston TX Community College System GO 5.000% 2/15/43 7,180 7,550
  Houston TX Utility System Revenue 5.000% 11/15/38 3,435 3,609
  Los Angeles CA Department of Water &        
  Power Revenue 5.000% 7/1/37 4,215 4,454
  Los Angeles CA Department of Water &        
  Power Revenue 5.000% 7/1/43 11,150 11,668
  Los Angeles CA Wastewater System        
  Revenue 5.000% 6/1/35 10,320 11,016
7 Louisiana Public Facilities Authority Dock &        
  Wharf Revenue (Impala Warehousing LLC        
  Project) 6.500% 7/1/36 6,700 6,165
  Massachusetts GO 5.000% 8/1/37 17,695 18,718
  Massachusetts GO 5.000% 8/1/41 35,390 37,173
  Massachusetts School Building Authority        
  Dedicated Sales Tax Revenue 5.000% 5/15/38 8,845 9,354
  Massachusetts School Building Authority        
  Dedicated Sales Tax Revenue 5.000% 10/15/41 8,490 8,869
  Massachusetts School Building Authority        
  Dedicated Sales Tax Revenue 5.000% 5/15/43 5,960 6,269
  New York City NY GO 5.000% 3/1/37 3,535 3,715
  New York City NY Industrial Development        
  Agency Special Facility Revenue (American        
  Airlines Inc. John F. Kennedy International        
  Airport Project) 7.500% 8/1/16 8,685 9,032
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.000% 6/15/44 10,300 10,649
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.000% 6/15/45 6,865 7,118
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.000% 6/15/47 13,730 14,257
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.000% 2/1/42 11,480 12,032
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.000% 5/1/42 10,165 10,642
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.000% 2/15/42 7,095 7,368
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.000% 3/15/42 10,640 11,052
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.000% 2/15/43 3,540 3,684

 

 

New York State Environmental Facilities        
Corp. Revenue (State Revolving Funds) 5.000% 11/15/38 9,715 10,313
San Antonio TX Water Revenue 5.000% 5/15/40 17,880 18,845
San Diego CA Community College District        
GO 5.000% 8/1/43 23,825 25,160
St. Louis MO Metropolitan Sewer District        
Wastewater System Revenue 5.000% 5/1/42 17,955 19,105
University of California Revenue 5.000% 5/15/36 5,430 5,804
University of California Revenue 5.000% 5/15/39 10,720 11,362
University of Colorado Enterprise System        
Revenue 5.000% 6/1/37 5,060 5,323
University of Virginia Revenue 5.000% 6/1/43 10,590 11,382
University of Washington Revenue 5.000% 7/1/41 17,940 18,953
Washington GO 5.000% 8/1/37 20,051 21,323
Washington GO 5.000% 8/1/38 21,310 22,591
Total Tax-Exempt Municipal Bonds (Cost $456,023)       465,465
      Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
9 Lehman Brothers Holdings Inc. Pfd.        
(Cost $29,160) 7.250%   29,160 —
Common Stocks (0.0%)        
Health Care (0.0%)        
HealthSouth Corp. (Cost $—)     5,306 186
Temporary Cash Investment (2.8%)        
Money Market Fund (2.8%)        
17 Vanguard Market Liquidity Fund        
(Cost $1,279,102) 0.120% 1,279,102,111 1,279,102
      Contracts18  
    Expiration Date (000)  
Swaption Contracts Purchased (0.0%)        
Put Swaption Contracts (0.0%)        
Pay a fixed rate of 3.875% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Morgan Stanley.   2/3/14 46,000 237
Pay a fixed rate of 4.140% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Wells Fargo.   2/26/14 32,300 88
Pay a fixed rate of 3.253% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Goldman Sachs.   2/3/14 24,800 83
Pay a fixed rate of 4.085% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Morgan Stanley.   2/20/14 25,100 77
Pay a fixed rate of 3.493% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Morgan Stanley.   2/20/14 14,400 32
Pay a fixed rate of 3.590% and receive a floating rate        
based on a 3-month LIBOR. Counterparty is        
Wells Fargo.   2/24/14 14,400 27
Total Swaption Contracts Purchased (Cost $3,334)       544

 

 

Total Investments (100.2%) (Cost $45,844,997)     46,196,879
Liability for Swaption Contracts Written (-0.0%)      
Put Swaption Contracts      
Receive a fixed rate of 4.625% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Morgan      
Stanley. 2/3/14 46,000 (7)
Receive a fixed rate of 4.003% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Goldman      
Sachs. 2/3/14 24,800 (6)
Receive a fixed rate of 4.890% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Wells      
Fargo. 2/24/14 32,300 (4)
Receive a fixed rate of 4.245% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Morgan      
Stanley. 2/20/14 14,400 (3)
Receive a fixed rate of 4.835% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Morgan      
Stanley. 2/20/14 25,100 (3)
Receive a fixed rate of 4.340% and pay a floating rate      
based on a 3-month LIBOR. Counterparty is Wells      
Fargo. 2/26/14 14,400 (3)
Total Liability for Swaption Contracts Written (Premiums received $709)     (26)
Other Assets and Liabilities-Net (-0.2%)     (70,322)
Net Assets (100%)     46,126,531

 

1 Securities with a value of $47,000,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $4,581,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $1,222,000 have been segregated as collateral for open swap contracts.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 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.
6 Adjustable-rate security.
7 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 October 31, 2013, the aggregate value of these securities was $5,222,663,000, representing 11.3% of net assets.
8 Security made only partial principal and or interest payments during the period ended October 31, 2013.
9 Non-income-producing security--security in default.
10 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
11 Guaranteed by the Government of Japan.
12 Guaranteed by multiple countries.
13 Guaranteed by the Federal Republic of Germany.
14 Guaranteed by the Republic of Austria.
15 Guaranteed by the State of Qatar.
16 Scheduled principal and interest payments are guaranteed by bank letter of credit.
17 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
18 One contract represents a notional amount of $1.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.

 

Short-Term Investment-Grade Fund

A. Security Valuation: 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. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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 October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,912,005 —
Asset-Backed/Commercial Mortgage-Backed      
Securities — 8,964,643 —
Corporate Bonds — 27,584,142 3
Sovereign Bonds — 3,769,971 —
Taxable Municipal Bonds — 220,818 —
Tax-Exempt Municipal Bonds — 465,465 —
Convertible Preferred Stocks — — —
Common Stocks 186 — —
Temporary Cash Investments 1,279,102 — —
Swaption Contracts Purchased 544 — —
Swaption Contracts Written (26) — —
Futures Contracts—Assets1 2,094 — —
Futures Contracts—Liabilities1 (533) — —
Swap Contracts—Assets 921 13,678 —
Swap Contracts—Liabilities — (6,778) —
Total 1,281,459 44,923,944 3
1 Represents variation margin on the last day of the reporting period.    

 

 

Short-Term Investment-Grade Fund

C. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate Unrealized
    Number of Long Settlement Value Appreciation
Futures Contracts Expiration (Short Contracts) Long (Short) (Depreciation)
5-Year U.S. Treasury Note December 2013 (28,550) (3,474,178) (31,461)
2-Year U.S. Treasury Note December 2013 10,330 2,276,958 5,268
10-Year U.S. Treasury Note December 2013 (4,603) (586,235) (2,206)
30-Year U.S. Treasury Bond December 2013 (2,581) (347,951) (6,011)
Ultra Long U.S. Treasury Bond December 2013 (573) (82,566) 196

 

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

D. Swap and Swaption Contracts: The fund may invest in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms

 

Short-Term Investment-Grade Fund

of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

A swaption contract is an option to enter into a swap contract. Swaptions can be used to attain a desired interest rate exposure. The fund has purchased put swaptions whereby the fund has bought the right to enter into an interest rate swap, paying a fixed rate and receiving a floating rate. The fund has also written put swaptions whereby the fund has granted a counterparty the right to enter into an interest rate swap, with the fund paying a floating rate and receiving a fixed rate.

The notional amounts of swap contracts are not recorded in the Schedule of Investment. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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. Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset that is subsequently adjusted daily to the current market value of the swaption purchased. The premium received for a written swaption is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the swaption written. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

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. The primary risk associated with purchasing swaptions is that interest rates move such that the option is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing swaptions is that interest rates move such that the option is in-the-money, the counterparty exercises the swaption and the fund loses an amount equal to the market value of the swaption less the premium received. A risk associated with all types of swaps and swaptions 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 or swaption contract. The fund mitigates its counterparty risk by only entering into swaps and swaptions with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap or swaption 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 and swaption 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's 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.

 

Short-Term Investment-Grade Fund

The fund may enter into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of pre-qualified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

At October 31, 2013, the fund had the following open swap contracts:
Credit Default Swaps            
        Remaining    
        Up-Front    
        Premium Periodic Unrealized
      Notional Received Premium Appreciation
  Termination   Amount (Paid) Received (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (Paid) (%) ($000)
Credit Protection Sold/Moody’s Rating          
Altria Group Inc./Baa1 12/20/16 JPMC 9,740 47 1.000 266
Altria Group Inc./Baa1 12/20/16 BOANA 9,740 55 1.000 275
Altria Group Inc./Baa1 12/20/18 MSCS 20,000 (465) 1.000 14
AT&T Inc./A3 12/20/18 DBAG 20,000 (215) 1.000 54
Bank of America Corp./Baa2 12/20/17 MSCS 16,900 521 1.000 641
BHP Billiton Finance Ltd./A1 12/20/18 DBAG 20,000 (265) 1.000 24
Boeing Co./A2 9/20/18 GSCM 4,885 (87) 1.000 57
BP plc/A2 12/20/18 DBAG 20,000 (295) 1.000 64
British Sky Broadcasting GRP            
plc/Baa1 12/20/18 BARC 20,000 (385) 1.000 25
Cisco Systems Inc./A1 6/20/17 BOANA 24,375 (171) 1.000 473
Danaher Corp./A2 12/20/18 MSCS 20,000 (608) 1.000 (43)
Deere & Co./A2 12/20/18 DBAG 20,000 (659) 1.000 —
Energy Transfer Partners LP/Baa3 6/20/17 BOANA 14,630 619 1.000 778
Energy Transfer Partners LP/Baa3 9/20/18 JPMC 8,310 34 1.000 31
Energy Transfer Partners LP/Baa3 9/20/18 JPMC 7,820 32 1.000 29
Federation of Malaysia/A3 12/20/18 BARC 24,400 262 1.000 222
Ford Motor Company/Baa3 12/20/18 JPMC 20,000 (3,600) 5.000 85
Goldman Sachs Group Inc./A3 12/20/17 MSCS 9,760 322 1.000 335
Hartford Financial Services Group            
Inc./Baa3 3/20/18 GSCM 9,750 21 1.000 118
Kinder Morgan Energy Partners            
LP/Baa2 6/20/18 CSFBI 10,300 (134) 1.000 (14)
Kinder Morgan Energy Partners            
LP/Baa2 9/20/18 CSFBI 8,310 (46) 1.000 36

 

 

Short-Term Investment-Grade Fund            
 
 
Kingdom of Belgium/Aa3 9/20/17 RBS 3,800 138 1.000 234
Kohls Corp./Baa1 6/20/18 JPMC 5,380 101 1.000 71
Kohls Corp./Baa1 9/20/18 BOANA 5,380 98 1.000 41
National Rural Utilities            
Cooperative Finance Corp./A2 12/20/17 CSFBI 3,900 (42) 1.000 61
National Rural Utilities            
Cooperative Finance Corp./A2 12/20/17 CSFBI 19,520 (223) 1.000 295
Republic of Chile/Aa3 12/20/18 BARC 12,800 (66) 1.000 39
Republic of Indonesia/Baa3 12/20/18 DBAG 7,000 439 1.000 123
Rio Tinto Ltd./A3 12/20/18 DBAG 20,000 106 1.000 122
Royal Bank of Scotland plc/A3 3/20/17 GSCM 9,750 (108) 3.000 561
Royal Bank of Scotland plc/A3 12/20/18 BOANA 19,540 441 1.000 81
TJX Cos Inc./A3 12/20/18 MSCS 20,000 (638) 1.000 (16)
United Parcel Service Inc./Aa3 12/20/18 BNPSW 20,000 (751) 1.000 34
Vodafone Group plc/A3 12/20/18 BARC 20,000 (345) 1.000 20
Wal-Mart Stores Inc./Aa2 12/20/18 MSCS 20,000 (741) 1.000 16
Wesfarmers Ltd./A3 12/20/18 DBAG 20,000 (275) 1.000 4
      525,990     5,156
 
Credit Protection Purchased            
Aetna Inc. 12/20/18 JPMC 16,475 484 (1.000) (66)
Baker Hughes Inc. 12/20/18 MSCS 16,475 276 (1.000) (142)
Bank of America Corp. 12/20/14 DBAG 6,700 (18) (1.000) (77)
Bank of America Corp. 12/20/14 BARC 6,700 (17) (1.000) (75)
Bank of America Corp. 12/20/14 BARC 9,700 (22) (1.000) (106)
Citigroup Inc. 6/20/14 BOANA 34,200 (205) (5.000) (1,280)
Computer Sciences Corp. 9/20/15 MSCS 7,315 525 (5.000) (147)
Computer Sciences Corp. 9/20/15 BARC 7,315 522 (5.000) (150)
Dow Chemical Company 12/20/18 GSCM 16,475 80 (1.000) (68)
El Du Pont De Nemours & Co. 9/20/18 GSCM 5,200 126 (1.000) (4)
El Du Pont De Nemours & Co. 9/20/18 BARC 5,200 123 (1.000) (7)
El Du Pont De Nemours & Co. 9/20/18 DBAG 5,200 123 (1.000) (7)
El Du Pont De Nemours & Co. 9/20/18 CSFBI 6,865 171 (1.000) --
El Du Pont De Nemours & Co. 9/20/18 BNPSW 5,200 123 (1.000) (7)
Encana Corp. 12/20/18 CSFBI 16,475 (276) (1.000) (181)
Expedia Inc. 12/20/18 MSCS 16,475 (640) (1.000) (217)
Federal Express Corp. 12/20/18 GSCM 21,640 342 (1.000) (44)
Federative Republic of Brazil 12/20/15 BOANA 3,500 (19) (1.000) (25)
Halliburton Company 12/20/18 BOANA 16,475 492 (1.000) (83)
Heineken NV 12/20/18 GSCM 16,475 251 (1.000) (88)
Hillshire Brands Co. 12/20/18 BOANA 16,475 (48) (1.000) (45)

 

 

Short-Term Investment-Grade Fund            
 
 
Home Depot Inc. 12/20/18 GSCM 16,475 517 (1.000) (72)
Merrill Lynch & Co. Inc. 12/20/17 MSCS 16,900 (477) (1.000) (645)
Morgan Stanley 9/20/15 BARC 11,000 (229) (1.000) (338)
Norfolk Southern Corp. 12/20/18 GSCM 16,475 560 (1.000) (80)
Orange SA 12/20/18 BOANA 16,475 (20) (1.000) (103)
Plains All American Pipeline LP 3/20/18 CSFBI 19,520 33 (1.000) (368)
Plains All American Pipeline LP 6/20/18 CSFBI 9,790 31 (1.000) (158)
PPG Industries Inc. 3/20/18 GSCM 24,400 353 (1.000) (339)
Republic of Austria 9/20/17 BNPSW 3,800 (115) (1.000) (239)
Republic of Korea 9/20/18 JPMC 7,800 69 (1.000) (94)
Republic of Turkey 12/20/18 JPMC 17,100 (669) (1.000) 10
Russian Federation 9/20/18 JPMC 19,500 (721) (1.000) (239)
Safeway Inc. 12/20/18 CSFBI 16,475 (1,085) (1.000) 147
Sherwin-Williams Company 12/20/18 JPMC 16,475 251 (1.000) (103)
Skandinaviska Enskilda Banken            
AB 6/20/18 BOANA 11,160 36 (1.000) (111)
Time Warner Cable Inc. 12/20/18 DBAG 16,475 (962) (1.000) (173)
Toyota Mortor Corp. 12/20/18 BOANA 16,475 392 (1.000) (186)
United Mexican States 12/20/15 BOANA 3,500 (23) (1.000) (63)
United Mexican States 12/20/18 DBAG 4,900 (31) (1.000) (24)
United Mexican States 12/20/18 GSCM 21,400 (73) (1.000) (44)
Valero Energy Corp. 12/20/18 DBAG 16,475 (295) (1.000) (274)
Walt Disney Company 12/20/18 GSCM 16,475 628 (1.000) (77)
Wells Fargo 3/20/15 GSCM 10,660 (25) (1.000) (156)
      586,240     (6,548)
            (1,392)

 

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

1 BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
MSCS—Morgan Stanley Capital Services Inc.
RBS —The Royal Bank of Scotland plc.

Centrally Cleared Interest Rate Swaps

 

Short-Term Investment-Grade Fund      
 
 
 
    Fixed    
    Interest Rate   Unrealized
  Notional Received Floating Interest Appreciation
Termination Amount (Paid) Rate Received (Depreciation)
Date ($000) (%) (Paid) (%) ($000)
3/15/15 25,000 0.326 (0.174)3 29
6/15/15 120,000 0.444 (0.174)3 432
2/15/16 150,000 0.700 (0.174)3 1,187
3/15/16 150,000 0.579 (0.174)3 472
        2,120

 

Over-the-Counter Interest Rate Swaps        
 
        Floating Interest Unrealized
    Notional Fixed Interest Rate Received Appreciation
Termination   Amount Rate Received (Paid) (Depreciation)
Date Counterparty1 ($000) (Paid) (%) (%) ($000)
12/1/13 GSCM 128,237 2.584 (0.260) 2 246
12/1/13 WFC 99,257 2.582 (0.260) 2 191
3/2/14 WFC 95,000 0.404 (0.179) 3 72
3/5/14 CSFBI 95,000 0.408 (0.174) 3 75
3/15/14 WFC 9,750 0.519 (0.254) 2 10
10/14/14 WFC 21,100 1.861 (0.244) 2 316
2/7/15 BARC 150,000 0.335 (0.174) 3 183
4/1/15 BNPSW 5,855 0.407 (0.248) 2 6
8/7/15 CSFBI 100,000 0.414 (0.174) 3 197
11/7/15 BOANA 155,000 0.375 (0.174) 3 90
11/7/15 BOANA 195,000 0.374 (0.174) 3 108
6/1/16 GSCM 125 0.555 (0.260) 2 —
6/1/16 WFC 9,500 2.910 (0.260) 2 576
6/1/16 WFC 6,075 0.566 (0.260) 2 2
11/7/17 BOANA 163,000 (0.716) 0.174 3 1,771
11/7/17 BOANA 162,000 (0.723) 0.174 3 1,720
2/7/18 BARC 150,000 (0.957) 0.174 3 834
2/7/19 WFC 150,000 (1.220) 0.174 3 1,895
            8,292

 

1 BARC—Barclays Bank plc.
BNPSW—BNP Paribas
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
GSCM—Goldman Sachs Bank USA.
MSCS—Morgan Stanley Capital Services Inc.
WFC—Wells Fargo Bank N.A.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

Short-Term Investment-Grade Fund

At October 31, 2013, counterparties had deposited in segregated accounts securities and cash with a value of $17,961,000 in connection with open swap contracts.

E. At October 31, 2013, the cost of investment securities for tax purposes was $45,859,438,000. Net unrealized appreciation of investment securities for tax purposes was $337,441,000, consisting of unrealized gains of $590,030,000 on securities that had risen in value since their purchase and $252,589,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (96.8%)        
U.S. Government Securities (20.6%)        
  United States Treasury Note/Bond 0.250% 9/30/14 33,750 33,787
  United States Treasury Note/Bond 0.250% 1/31/15 75,250 75,321
1 United States Treasury Note/Bond 0.375% 3/15/15 265,250 265,831
  United States Treasury Note/Bond 0.375% 4/15/15 28,543 28,605
  United States Treasury Note/Bond 4.125% 5/15/15 11,750 12,449
  United States Treasury Note/Bond 0.250% 8/15/15 33,920 33,904
  United States Treasury Note/Bond 0.250% 10/31/15 111,500 111,361
  United States Treasury Note/Bond 0.375% 3/15/16 9,500 9,493
  United States Treasury Note/Bond 2.250% 3/31/16 17,618 18,403
  United States Treasury Note/Bond 1.750% 5/31/16 3,775 3,899
  United States Treasury Note/Bond 0.625% 10/15/16 400,250 400,874
1 United States Treasury Note/Bond 0.875% 4/30/17 29,424 29,502
  United States Treasury Note/Bond 0.625% 5/31/17 3,305 3,281
  United States Treasury Note/Bond 0.750% 3/31/18 5,600 5,505
  United States Treasury Note/Bond 0.625% 4/30/18 73,953 72,219
          1,104,434
Agency Bonds and Notes (66.2%)        
2 Federal Home Loan Banks 0.875% 12/27/13 50,000 50,057
2 Federal Home Loan Banks 2.750% 12/12/14 14,000 14,398
2 Federal Home Loan Banks 0.250% 1/16/15 77,925 77,960
2 Federal Home Loan Banks 0.250% 2/20/15 5,000 5,002
2 Federal Home Loan Banks 2.750% 3/13/15 70,000 72,266
2 Federal Home Loan Banks 0.375% 8/28/15 39,000 39,030
2 Federal Home Loan Banks 1.750% 9/11/15 21,000 21,528
2 Federal Home Loan Banks 2.875% 9/11/15 24,000 25,122
3 Federal Home Loan Mortgage Corp. 1.000% 7/30/14 1,750 1,761
3 Federal Home Loan Mortgage Corp. 1.000% 8/27/14 79,500 80,053
3 Federal Home Loan Mortgage Corp. 0.750% 11/25/14 29,250 29,424
3 Federal Home Loan Mortgage Corp. 0.625% 12/29/14 154,825 155,601
3,4 Federal Home Loan Mortgage Corp. 0.420% 6/19/15 95,705 95,736
3,4 Federal Home Loan Mortgage Corp. 0.500% 9/14/15 68,700 68,708
3,4 Federal Home Loan Mortgage Corp. 0.500% 9/25/15 35,075 35,164
3,4 Federal Home Loan Mortgage Corp. 1.000% 3/14/16 31,025 31,112
3,4 Federal Home Loan Mortgage Corp. 0.700% 9/27/16 25,000 24,956
3 Federal Home Loan Mortgage Corp. 0.875% 10/14/16 170,900 172,014
3 Federal Home Loan Mortgage Corp. 1.000% 3/8/17 99,500 100,053
3 Federal Home Loan Mortgage Corp. 1.000% 6/29/17 47,000 47,048
3 Federal Home Loan Mortgage Corp. 0.750% 1/12/18 98,500 96,526
3,4 Federal Home Loan Mortgage Corp. 1.200% 3/20/18 67,000 66,272
3,4 Federal Home Loan Mortgage Corp. 1.050% 4/25/18 57,000 55,854
3 Federal Home Loan Mortgage Corp. 1.375% 5/1/20 22,000 21,008
3 Federal National Mortgage Assn. 0.375% 3/16/15 100,000 100,181
3,4 Federal National Mortgage Assn. 0.375% 3/25/15 39,000 39,012
3 Federal National Mortgage Assn. 0.500% 7/2/15 60,100 60,287
3 Federal National Mortgage Assn. 0.500% 9/28/15 235,750 236,410
3 Federal National Mortgage Assn. 1.625% 10/26/15 183,750 188,298
3,4 Federal National Mortgage Assn. 0.500% 1/29/16 46,000 46,016

 

 

3,4 Federal National Mortgage Assn. 0.550% 2/12/16 50,000 50,006
3 Federal National Mortgage Assn. 0.500% 3/30/16 166,000 166,028
3 Federal National Mortgage Assn. 2.375% 4/11/16 85,250 89,102
3,4 Federal National Mortgage Assn. 0.750% 9/13/16 10,000 10,003
3,4 Federal National Mortgage Assn. 0.750% 9/27/16 82,600 82,575
3,4 Federal National Mortgage Assn. 0.625% 10/25/16 100,000 99,509
3 Federal National Mortgage Assn. 1.250% 1/30/17 202,250 205,411
3,4 Federal National Mortgage Assn. 1.000% 2/13/17 73,445 73,462
3 Federal National Mortgage Assn. 5.000% 2/13/17 37,750 42,888
3,4 Federal National Mortgage Assn. 1.000% 3/20/17 57,000 57,009
3,4 Federal National Mortgage Assn. 1.000% 8/14/17 35,000 34,740
3,4 Federal National Mortgage Assn. 1.070% 9/27/17 27,000 26,819
3 Federal National Mortgage Assn. 0.875% 10/26/17 35,000 34,678
3,4 Federal National Mortgage Assn. 1.000% 11/28/17 20,500 20,328
3,4 Federal National Mortgage Assn. 1.200% 2/22/18 24,750 24,512
3,4 Federal National Mortgage Assn. 1.150% 2/28/18 80,000 79,004
3,4 Federal National Mortgage Assn. 1.200% 2/28/18 33,000 32,673
3,4 Federal National Mortgage Assn. 1.200% 2/28/18 50,000 49,504
3,4 Federal National Mortgage Assn. 1.000% 4/30/18 2,128 2,081
3,4 Federal National Mortgage Assn. 1.030% 5/21/18 40,000 39,100
3,4 Federal National Mortgage Assn. 1.250% 9/27/18 10,000 9,846
3 Federal National Mortgage Assn. 1.625% 11/27/18 152,750 153,149
3 Federal National Mortgage Assn. 0.000% 10/9/19 130,000 111,280
          3,550,564
Conventional Mortgage-Backed Securities (10.0%)        
3,4,5Fannie Mae Pool 2.000% 11/1/28 18,500 18,136
3,4,5Fannie Mae Pool 2.500% 1/1/28–11/1/28 67,527 68,349
3,4,5Fannie Mae Pool 3.000% 12/1/20–11/1/28 73,707 76,547
3,4,5Fannie Mae Pool 3.500% 8/1/24–11/1/28 55,722 58,961
3,4,5Fannie Mae Pool 4.000% 5/1/14–11/1/28 47,934 50,984
3,4 Fannie Mae Pool 4.500% 7/1/14–10/1/25 31,054 33,045
3,4,5Fannie Mae Pool 5.000% 5/1/14–10/1/28 18,992 20,148
3,4 Fannie Mae Pool 5.500% 12/1/13–1/1/25 7,379 7,771
3,4 Fannie Mae Pool 6.000% 4/1/14–5/1/24 1,299 1,371
3,4 Fannie Mae Pool 6.500% 8/1/16–9/1/16 2,152 2,276
3,4 Fannie Mae Pool 7.500% 3/1/15–8/1/15 30 32
3,4 Fannie Mae Pool 8.000% 10/1/14–9/1/15 237 243
3,4,5Freddie Mac Gold Pool 2.000% 6/1/28–11/1/28 10,963 10,747
3,4 Freddie Mac Gold Pool 2.500% 6/1/22–8/1/28 44,320 44,840
3,4,5Freddie Mac Gold Pool 3.000% 11/1/28 45,000 46,617
3,4,5Freddie Mac Gold Pool 3.500% 6/1/21–11/1/28 34,451 36,266
3,4 Freddie Mac Gold Pool 4.000% 1/1/15–9/1/26 26,404 27,952
3,4 Freddie Mac Gold Pool 4.500% 5/1/18–9/1/26 18,271 19,298
3,4 Freddie Mac Gold Pool 5.000% 4/1/14–6/1/25 10,871 11,596
3,4 Freddie Mac Gold Pool 5.500% 12/1/13–9/1/21 423 444
3,4 Freddie Mac Gold Pool 6.000% 10/1/18 146 151
          535,774
Total U.S. Government and Agency Obligations (Cost $5,186,544)     5,190,772

 

 

Temporary Cash Investment (1.0%)      
      Market
      Value
  Coupon Shares ($000)
Money Market Fund (1.0%)      
6 Vanguard Market Liquidity Fund (Cost $55,566)      
0.120% 55,566,102 55,566
 
Total Investments (97.8%) (Cost $5,242,110)     5,246,338
Other Assets and Liabilities-Net (2.2%)     116,523
Net Assets (100%)     5,362,861

 

1 Securities with a value of $5,514,000 have been segregated as initial margin for open futures contracts.
2 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.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2013.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll 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

 

Short-Term Federal Fund

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) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,190,772 —
Temporary Cash Investments 55,566 — —
Futures Contracts—Assets1 285 — —
Futures Contracts—Liabilities1 (72) — —
Total 55,779 5,190,772 —
1 Represents variation margin on the last day of the reporting period.      

 

E. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

Short-Term Federal Fund        
 
 
 
        ($000)
    Number of Aggregate Unrealized
    Long (Short) Settlement Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
2-Year U.S. Treasury Note December 2013 2,872 633,052 1,986
5-Year U.S. Treasury Note December 2013 (3,564) (433,694) (3,912)
10-Year U.S. Treasury Note December 2013 (640) (81,510) (380)
30-Year U.S. Treasury Note December 2013 (36) (4,853) (46)
Ultra Long U.S. Treasury Bond December 2013 1 144 3

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

F. At October 31, 2013, the cost of investment securities for tax purposes was $5,242,537,000. Net unrealized appreciation of investment securities for tax purposes was $3,801,000, consisting of unrealized gains of $15,964,000 on securities that had risen in value since their purchase and $12,163,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund

Schedule of Investments
As of October 31, 2013

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.1%)        
U.S. Government Securities (98.1%)        
United States Treasury Note/Bond 1.750% 5/15/23 70,000 65,341
United States Treasury Note/Bond 7.500% 11/15/24 3,600 5,280
1 United States Treasury Note/Bond 6.000% 2/15/26 62,900 83,618
United States Treasury Note/Bond 6.375% 8/15/27 19,100 26,453
United States Treasury Note/Bond 6.125% 11/15/27 2,500 3,395
United States Treasury Note/Bond 5.500% 8/15/28 9,000 11,593
United States Treasury Note/Bond 5.250% 11/15/28 51,250 64,511
United States Treasury Note/Bond 5.250% 2/15/29 112,200 141,214
United States Treasury Note/Bond 6.125% 8/15/29 10,000 13,741
United States Treasury Note/Bond 5.375% 2/15/31 111,500 143,260
United States Treasury Note/Bond 4.500% 2/15/36 52,900 61,711
United States Treasury Note/Bond 3.500% 2/15/39 154,000 152,773
United States Treasury Note/Bond 4.250% 5/15/39 61,200 68,678
United States Treasury Note/Bond 4.375% 11/15/39 148,600 170,007
United States Treasury Note/Bond 4.625% 2/15/40 81,850 97,261
United States Treasury Note/Bond 4.375% 5/15/40 162,500 185,833
United States Treasury Note/Bond 3.875% 8/15/40 253,000 266,558
United States Treasury Note/Bond 4.250% 11/15/40 43,500 48,740
United States Treasury Note/Bond 3.750% 8/15/41 80,000 82,187
United States Treasury Note/Bond 3.125% 11/15/41 37,250 33,962
United States Treasury Note/Bond 3.125% 2/15/42 125,000 113,789
United States Treasury Note/Bond 3.000% 5/15/42 108,700 96,335
United States Treasury Note/Bond 2.750% 8/15/42 190,850 159,986
United States Treasury Note/Bond 2.750% 11/15/42 322,700 270,009
United States Treasury Note/Bond 3.125% 2/15/43 136,000 123,122
United States Treasury Note/Bond 2.875% 5/15/43 132,697 113,788
        2,603,145
Conventional Mortgage-Backed Securities (0.0%)        
2,3 Fannie Mae Pool 6.000% 2/1/26–11/1/28 42 46
        46
Total U.S. Government and Agency Obligations (Cost $2,559,736)     2,603,191
Temporary Cash Investment (1.3%)        
        Market
        Value
  Coupon   Shares ($000)
Money Market Fund (1.3%)        
4 Vanguard Market Liquidity Fund (Cost        
$33,228) 0.120%   33,227,851 33,228
 
Total Investments (99.4%) (Cost $2,592,964)       2,636,419
Other Assets and Liabilities-Net (0.6%)       16,933
Net Assets (100%)       2,653,352

1 Securities with a value of $658,000 have been segregated as initial margin for open futures contracts.
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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll 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) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest ates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine he fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:

 

Long-Term Treasury Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,603,191 —
Temporary Cash Investments 33,228 — —
Futures Contracts—Assets1 47 — —
Futures Contracts—Liabilities1 (4) — —
Total 33,271 2,603,191 —
1 Represents variation margin on the last day of the reporting period.      

 

E. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, 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)
5-Year U.S. Treasury Note December 2013 (257) (31,274) (58)
Ultra Treasury Bond December 2013 60 8,646 (34)

 

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

F. At October 31, 2013, the cost of investment securities for tax purposes was $2,594,776,000. Net unrealized appreciation of investment securities for tax purposes was $41,643,000, consisting of unrealized gains of $144,365,000 on securities that had risen in value since their purchase and $102,722,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.7%)        
U.S. Government Securities (99.7%)        
  United States Treasury Note/Bond 0.250% 10/31/14 62,000 62,078
  United States Treasury Note/Bond 0.375% 11/15/14 100,000 100,234
  United States Treasury Note/Bond 4.250% 11/15/14 62,000 64,625
  United States Treasury Note/Bond 2.125% 11/30/14 33,000 33,696
  United States Treasury Note/Bond 0.250% 1/15/15 10,000 10,009
  United States Treasury Note/Bond 0.250% 1/31/15 80,000 80,075
1 United States Treasury Note/Bond 2.250% 1/31/15 265,000 271,832
  United States Treasury Note/Bond 0.250% 2/15/15 100,000 100,062
  United States Treasury Note/Bond 4.000% 2/15/15 35,000 36,706
  United States Treasury Note/Bond 0.250% 2/28/15 225,000 225,139
  United States Treasury Note/Bond 2.375% 2/28/15 93,000 95,659
  United States Treasury Note/Bond 0.375% 4/15/15 414,000 414,907
  United States Treasury Note/Bond 0.125% 4/30/15 110,000 109,845
  United States Treasury Note/Bond 2.500% 4/30/15 20,000 20,681
  United States Treasury Note/Bond 0.250% 5/15/15 110,000 110,034
  United States Treasury Note/Bond 4.125% 5/15/15 163,000 172,703
  United States Treasury Note/Bond 2.125% 5/31/15 80,000 82,362
  United States Treasury Note/Bond 0.375% 6/15/15 131,000 131,266
  United States Treasury Note/Bond 0.250% 7/31/15 150,000 149,976
  United States Treasury Note/Bond 1.750% 7/31/15 60,000 61,547
  United States Treasury Note/Bond 4.250% 8/15/15 15,000 16,064
  United States Treasury Note/Bond 0.375% 8/31/15 100,000 100,172
  United States Treasury Note/Bond 1.250% 8/31/15 171,000 174,020
  United States Treasury Note/Bond 0.250% 9/30/15 160,000 159,850
  United States Treasury Note/Bond 1.250% 9/30/15 27,000 27,489
  United States Treasury Note/Bond 0.250% 10/15/15 48,000 47,948
  United States Treasury Note/Bond 1.250% 10/31/15 257,000 261,778
  United States Treasury Note/Bond 1.375% 11/30/15 12,000 12,259
  United States Treasury Note/Bond 2.125% 12/31/15 25,000 25,961
  United States Treasury Note/Bond 2.000% 1/31/16 222,000 230,116
  United States Treasury Note/Bond 4.500% 2/15/16 106,000 115,987
  United States Treasury Note/Bond 2.125% 2/29/16 137,000 142,544
  United States Treasury Note/Bond 2.625% 2/29/16 112,000 117,811
  United States Treasury Note/Bond 0.250% 4/15/16 83,000 82,650
  United States Treasury Note/Bond 2.000% 4/30/16 132,000 137,115
  United States Treasury Note/Bond 2.625% 4/30/16 67,000 70,643
  United States Treasury Note/Bond 0.250% 5/15/16 139,000 138,348
  United States Treasury Note/Bond 0.500% 6/15/16 130,000 130,081
  United States Treasury Note/Bond 1.500% 6/30/16 16,000 16,428
  United States Treasury Note/Bond 3.250% 6/30/16 25,000 26,832
  United States Treasury Note/Bond 0.625% 7/15/16 100,000 100,328
  United States Treasury Note/Bond 1.500% 7/31/16 20,000 20,538
  United States Treasury Note/Bond 0.625% 8/15/16 86,000 86,242
  United States Treasury Note/Bond 4.875% 8/15/16 30,000 33,623
  United States Treasury Note/Bond 1.000% 8/31/16 90,000 91,139
  United States Treasury Note/Bond 3.000% 8/31/16 51,000 54,506
  United States Treasury Note/Bond 0.875% 9/15/16 77,000 77,722
  United States Treasury Note/Bond 1.000% 9/30/16 52,000 52,650
  United States Treasury Note/Bond 3.000% 9/30/16 43,000 46,003

 

 

United States Treasury Note/Bond 0.625% 10/15/16 51,000 51,080
United States Treasury Note/Bond 1.000% 10/31/16 9,000 9,107
United States Treasury Note/Bond 7.500% 11/15/16 20,000 24,134
United States Treasury Note/Bond 0.875% 11/30/16 25,000 25,180
United States Treasury Note/Bond 0.875% 12/31/16 55,000 55,361
United States Treasury Note/Bond 0.875% 1/31/17 110,000 110,602
United States Treasury Note/Bond 1.000% 3/31/17 35,000 35,273
United States Treasury Note/Bond 3.250% 3/31/17 9,000 9,754
United States Treasury Note/Bond 0.875% 4/30/17 155,000 155,412
United States Treasury Note/Bond 0.625% 5/31/17 55,000 54,605
United States Treasury Note/Bond 2.500% 6/30/17 40,000 42,350
United States Treasury Note/Bond 0.500% 7/31/17 25,000 24,637
United States Treasury Note/Bond 2.375% 7/31/17 8,000 8,432
United States Treasury Note/Bond 1.875% 9/30/17 70,000 72,428
United States Treasury Note/Bond 0.750% 10/31/17 45,000 44,578
United States Treasury Note/Bond 0.625% 11/30/17 111,000 109,231
United States Treasury Note/Bond 0.750% 12/31/17 141,000 139,237
United States Treasury Note/Bond 0.875% 1/31/18 50,000 49,563
United States Treasury Note/Bond 0.625% 4/30/18 46,000 44,922
United States Treasury Note/Bond 1.000% 5/31/18 38,000 37,685
United States Treasury Note/Bond 1.375% 6/30/18 9,817 9,886
United States Treasury Note/Bond 2.375% 6/30/18 8,000 8,420
United States Treasury Note/Bond 1.375% 7/31/18 12,000 12,075
United States Treasury Note/Bond 2.250% 7/31/18 7,000 7,327
United States Treasury Note/Bond 1.500% 8/31/18 37,000 37,410
United States Treasury Note/Bond 1.250% 10/31/18 60,000 59,794
        6,168,766
Conventional Mortgage-Backed Securities (0.0%)        
2,3 Fannie Mae Pool 7.000% 11/1/15–3/1/16 191 198
2,3 Freddie Mac Gold Pool 6.000% 5/1/18–4/1/28 306 335
2,3 Freddie Mac Gold Pool 7.000% 9/1/15–1/1/16 60 61
        594
Total U.S. Government and Agency Obligations (Cost $6,151,818)     6,169,360
Temporary Cash Investment (0.1%)        
        Market
        Value
  Coupon   Shares ($000)
Money Market Fund (0.1%)        
4 Vanguard Market Liquidity Fund (Cost        
$4,729) 0.120%   4,729,129 4,729
 
Total Investments (99.8%) (Cost $6,156,547)       6,174,089
Other Assets and Liabilities-Net (0.2%)       10,361
Net Assets (100%)       6,184,450

 

1 Securities with a value of $739,000 have been segregated as initial margin for open futures contracts.
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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

Short-Term Treasury Fund

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll 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) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:

 

Short-Term Treasury Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,169,360 —
Temporary Cash Investments 4,729 — —
Futures Contracts—Assets1 14 — —
Futures Contracts—Liabilities1 (13) — —
Total 4,730 6,169,360 —
1 Represents variation margin on the last day of the reporting period.      

 

E. Futures Contracts: The fund may use 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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, 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)
5-Year U.S. Treasury Note December 2013 (599) (72,891) 139
Ultra Long U.S. Treasury Bond December 2013 139 20,029 (78 )

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

F. At October 31, 2013, the cost of investment securities for tax purposes was $6,157,258,000. Net unrealized appreciation of investment securities for tax purposes was $16,831,000, consisting of unrealized gains of $22,612,000 on securities that had risen in value since their purchase and $5,781,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.3%)        
U.S. Government Securities (99.3%)        
  United States Treasury Note/Bond 0.875% 1/31/17 87,000 87,476
  United States Treasury Note/Bond 3.125% 1/31/17 119,000 128,204
  United States Treasury Note/Bond 0.875% 2/28/17 31,000 31,140
  United States Treasury Note/Bond 3.000% 2/28/17 159,000 170,776
  United States Treasury Note/Bond 3.250% 3/31/17 80,000 86,700
  United States Treasury Note/Bond 0.625% 5/31/17 31,000 30,777
  United States Treasury Note/Bond 2.750% 5/31/17 199,000 212,494
  United States Treasury Note/Bond 2.500% 6/30/17 53,000 56,114
  United States Treasury Note/Bond 0.500% 7/31/17 26,000 25,622
  United States Treasury Note/Bond 2.375% 7/31/17 68,000 71,676
  United States Treasury Note/Bond 1.875% 8/31/17 172,000 178,073
  United States Treasury Note/Bond 0.625% 9/30/17 116,000 114,531
  United States Treasury Note/Bond 1.875% 9/30/17 231,000 239,013
  United States Treasury Note/Bond 0.750% 10/31/17 15,000 14,859
  United States Treasury Note/Bond 1.875% 10/31/17 140,000 144,857
  United States Treasury Note/Bond 0.750% 12/31/17 5,000 4,938
  United States Treasury Note/Bond 0.875% 1/31/18 56,000 55,510
  United States Treasury Note/Bond 2.625% 1/31/18 43,000 45,755
  United States Treasury Note/Bond 0.750% 2/28/18 82,000 80,770
  United States Treasury Note/Bond 0.750% 3/31/18 10,000 9,831
  United States Treasury Note/Bond 0.625% 4/30/18 42,000 41,016
  United States Treasury Note/Bond 1.000% 5/31/18 32,000 31,735
  United States Treasury Note/Bond 1.375% 6/30/18 8,838 8,900
  United States Treasury Note/Bond 2.375% 6/30/18 119,500 125,774
  United States Treasury Note/Bond 2.250% 7/31/18 329,000 344,371
  United States Treasury Note/Bond 1.500% 8/31/18 53,500 54,093
  United States Treasury Note/Bond 1.375% 9/30/18 279,000 280,002
  United States Treasury Note/Bond 1.250% 10/31/18 106,000 105,635
  United States Treasury Note/Bond 1.375% 11/30/18 70,000 70,120
  United States Treasury Note/Bond 1.375% 12/31/18 5,000 5,002
  United States Treasury Note/Bond 1.250% 1/31/19 61,000 60,543
  United States Treasury Note/Bond 1.375% 2/28/19 15,000 14,958
  United States Treasury Note/Bond 1.500% 3/31/19 96,000 96,165
  United States Treasury Note/Bond 1.250% 4/30/19 45,000 44,416
  United States Treasury Note/Bond 1.000% 6/30/19 20,000 19,391
  United States Treasury Note/Bond 0.875% 7/31/19 60,000 57,628
  United States Treasury Note/Bond 1.000% 8/31/19 24,000 23,167
  United States Treasury Note/Bond 1.000% 9/30/19 94,000 90,593
  United States Treasury Note/Bond 1.125% 12/31/19 111,000 107,097
  United States Treasury Note/Bond 1.250% 2/29/20 24,000 23,239
  United States Treasury Note/Bond 1.125% 3/31/20 26,000 24,919
  United States Treasury Note/Bond 1.125% 4/30/20 11,000 10,521
  United States Treasury Note/Bond 1.375% 5/31/20 8,000 7,761
  United States Treasury Note/Bond 1.875% 6/30/20 6,000 6,001
  United States Treasury Note/Bond 2.625% 8/15/20 98,500 103,256
  United States Treasury Note/Bond 2.125% 8/31/20 13,000 13,177
  United States Treasury Note/Bond 2.000% 9/30/20 3,500 3,514
1 United States Treasury Note/Bond 2.625% 11/15/20 669,000 698,998
  United States Treasury Note/Bond 2.125% 8/15/21 142,500 142,100

 

 

United States Treasury Note/Bond 2.000% 11/15/21 108,500 106,652
United States Treasury Note/Bond 2.000% 2/15/22 111,000 108,589
United States Treasury Note/Bond 1.750% 5/15/22 63,000 60,086
United States Treasury Note/Bond 1.625% 8/15/22 72,000 67,612
United States Treasury Note/Bond 1.625% 11/15/22 170,000 158,605
United States Treasury Note/Bond 2.000% 2/15/23 100,000 95,953
United States Treasury Note/Bond 1.750% 5/15/23 245,100 228,786
United States Treasury Note/Bond 2.500% 8/15/23 6,400 6,373
        5,235,864
Conventional Mortgage-Backed Securities (0.0%)        
2,3 Freddie Mac Gold Pool 7.000% 5/1/15–3/1/16 70 73
        73
Total U.S. Government and Agency Obligations (Cost $5,178,034)     5,235,937
Temporary Cash Investment (0.5%)        
        Market
        Value
  Coupon   Shares ($000)
Money Market Fund (0.5%)        
       
4 Vanguard Market Liquidity Fund (Cost $24,034) 0.120%   24,034,449 24,034
 
Total Investments (99.8%) (Cost $5,202,068)       5,259,971
Other Assets and Liabilities-Net (0.2%)       11,588
Net Assets (100%)       5,271,559

1 Securities with a value of $596,000 have been segregated as initial margin for open futures contracts.
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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.

 

Intermediate-Term Treasury Fund

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll 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) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,235,937 —
Temporary Cash Investments 24,034 — —
Futures Contracts—Assets1 14 — —
Futures Contracts—Liabilities1 (12) — —
Total 24,036 5,235,937 —
1 Represents variation margin on the last day of the reporting period.      

 

E. Futures Contracts: The fund may use 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

 

Intermediate-Term Treasury Fund

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 in the Schedule of Investments as an asset (liability).

At October 31, 2013, 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)
5-Year U.S. Treasury Note December 2013 (511) (62,182) 119
Ultra Treasury Bond December 2013 118 17,003 (66 )
2-Year U.S. Treasury Note December 2013 70 15,430 2

 

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

F. At October 31, 2013, the cost of investment securities for tax purposes was $5,202,141,000. Net unrealized appreciation of investment securities for tax purposes was $57,830,000, consisting of unrealized gains of $103,247,000 on securities that had risen in value since their purchase and $45,417,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund

Schedule of Investments
As of October 31, 2013

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (1.1%)        
U.S. Government Securities (1.1%)        
  United States Treasury Note/Bond 2.250% 5/31/14 92,825 93,957
  United States Treasury Note/Bond 4.250% 8/15/15 75,000 80,320
Total U.S. Government and Agency Obligations (Cost $171,127)     174,277
Asset-Backed/Commercial Mortgage-Backed Security (0.2%)      
  Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. (Cost $41,110) 5.500% 4/1/23 41,126 39,738
Corporate Bonds (92.3%)        
Finance (16.2%)        
  Banking (3.7%)        
  Ally Financial Inc. 8.000% 3/15/20 75,950 90,381
  Ally Financial Inc. 7.500% 9/15/20 58,250 68,007
1 Barclays Bank plc 6.050% 12/4/17 143,492 161,358
  Barclays Bank plc 5.140% 10/14/20 39,235 41,852
1 Lloyds Bank plc 6.500% 9/14/20 28,730 32,179
  Royal Bank of Scotland Group plc 6.125% 12/15/22 113,600 117,880
  UBS AG 7.625% 8/17/22 80,150 91,347
 
  Finance Companies (10.0%)        
2 Air Lease Corp. 5.625% 4/1/17 125,330 136,610
  Air Lease Corp. 4.750% 3/1/20 63,582 64,536
  CIT Group Inc. 4.250% 8/15/17 48,445 50,867
  CIT Group Inc. 5.250% 3/15/18 102,005 109,910
1 CIT Group Inc. 6.625% 4/1/18 120,655 136,943
1 CIT Group Inc. 5.500% 2/15/19 78,830 85,136
  CIT Group Inc. 5.375% 5/15/20 98,370 105,256
  CIT Group Inc. 5.000% 8/15/22 98,135 99,362
  Homer City Generation LP 8.734% 10/1/26 50,856 52,382
  International Lease Finance Corp. 5.750% 5/15/16 19,146 20,462
1 International Lease Finance Corp. 6.750% 9/1/16 32,895 36,637
  International Lease Finance Corp. 8.750% 3/15/17 38,820 45,614
  International Lease Finance Corp. 3.875% 4/15/18 42,475 42,581
1 International Lease Finance Corp. 7.125% 9/1/18 55,210 63,768
  International Lease Finance Corp. 5.875% 4/1/19 46,220 49,802
  International Lease Finance Corp. 6.250% 5/15/19 70,781 77,328
  International Lease Finance Corp. 8.250% 12/15/20 51,121 60,195
  International Lease Finance Corp. 4.625% 4/15/21 29,400 28,628
  International Lease Finance Corp. 8.625% 1/15/22 29,100 35,066
1 Provident Funding Associates LP / PFG        
  Finance Corp. 6.750% 6/15/21 41,490 42,112
  SLM Corp. 6.250% 1/25/16 24,445 26,713
  SLM Corp. 6.000% 1/25/17 13,990 15,252
  SLM Corp. 8.450% 6/15/18 44,100 51,619
  SLM Corp. 5.500% 1/15/19 79,080 82,192
  SLM Corp. 8.000% 3/25/20 58,325 66,629
  SLM Corp. 7.250% 1/25/22 19,145 20,500
  SLM Corp. 5.500% 1/25/23 26,630 25,317

 

 

  Insurance (2.2%)        
3 Hartford Financial Services Group Inc. 8.125% 6/15/38 94,960 111,103
3 ING US Inc. 5.650% 5/15/53 37,580 35,654
1 Liberty Mutual Group Inc. 7.800% 3/15/37 58,440 63,773
1,3 MetLife Capital Trust IV 7.875% 12/15/67 46,910 53,946
1,3 MetLife Capital Trust X 9.250% 4/8/68 33,000 42,653
  Provident Cos. Inc. 7.000% 7/15/18 26,000 30,151
  Unum Group 6.750% 12/15/28 16,145 18,199
  Unum Group 7.375% 6/15/32 6,295 6,626
 
  Real Estate Investment Trusts (0.3%)        
  Felcor Lodging LP 5.625% 3/1/23 42,805 42,163
          2,638,689
Industrial (70.1%)        
  Basic Industry (4.5%)        
2,4 Arch Coal Inc. Bank Loan 5.750% 5/16/18 67,343 65,238
  Ashland Inc. 3.875% 4/15/18 19,130 19,273
1 Axiall Corp. 4.875% 5/15/23 7,245 6,955
  Cascades Inc. 7.750% 12/15/17 32,145 33,592
  Cascades Inc. 7.875% 1/15/20 9,330 9,983
  Celanese US Holdings LLC 6.625% 10/15/18 11,265 12,166
  Celanese US Holdings LLC 5.875% 6/15/21 12,740 13,648
  Chemtura Corp. 5.750% 7/15/21 4,760 4,820
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.250% 12/15/17 18,500 19,471
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.500% 12/15/19 7,570 8,195
  CONSOL Energy Inc. 8.000% 4/1/17 14,945 15,842
  CONSOL Energy Inc. 8.250% 4/1/20 39,305 43,039
1 Eagle Spinco Inc. 4.625% 2/15/21 12,900 12,513
1 FMG Resources August 2006 Pty Ltd. 7.000% 11/1/15 49,525 51,382
1 FMG Resources August 2006 Pty Ltd. 6.375% 2/1/16 9,720 10,109
  Hexion US Finance Corp. 6.625% 4/15/20 68,400 69,597
1 INEOS Finance plc 8.375% 2/15/19 56,035 62,479
1 INEOS Finance plc 7.500% 5/1/20 53,610 58,703
  Novelis Inc. 8.375% 12/15/17 40,790 43,441
  Novelis Inc. 8.750% 12/15/20 48,570 54,034
  Peabody Energy Corp. 7.375% 11/1/16 69,675 78,471
  Peabody Energy Corp. 7.875% 11/1/26 36,300 37,253
 
  Capital Goods (7.8%)        
1 Ardagh Packaging Finance plc 7.375% 10/15/17 42,300 45,525
1 Ardagh Packaging Finance plc 9.125% 10/15/20 24,775 26,447
1 Ardagh Packaging Finance plc / Ardagh MP        
  Holdings USA Inc. 7.375% 10/15/17 3,290 3,533
1 Ashtead Capital Inc. 6.500% 7/15/22 12,305 13,228
  B/E Aerospace Inc. 6.875% 10/1/20 37,830 41,755
  B/E Aerospace Inc. 5.250% 4/1/22 104,885 107,769
  Ball Corp. 7.375% 9/1/19 4,890 5,293
1 Building Materials Corp. of America 6.875% 8/15/18 14,580 15,564
1 Building Materials Corp. of America 6.750% 5/1/21 50,565 54,610
  Case New Holland Inc. 7.875% 12/1/17 91,500 108,313
  Clean Harbors Inc. 5.250% 8/1/20 40,606 41,773
  Clean Harbors Inc. 5.125% 6/1/21 11,845 12,023
  CNH Capital LLC 3.875% 11/1/15 11,740 12,121
  CNH Capital LLC 6.250% 11/1/16 43,785 48,163
  CNH Capital LLC 3.625% 4/15/18 34,260 34,774

 

 

Crown Americas LLC / Crown Americas        
Capital Corp. III 6.250% 2/1/21 38,900 41,526
1 Fibria Overseas Finance Ltd. 7.500% 5/4/20 17,161 18,877
1 Fibria Overseas Finance Ltd. 6.750% 3/3/21 10,200 11,168
HD Supply Inc. 8.125% 4/15/19 11,225 12,502
Huntington Ingalls Industries Inc. 6.875% 3/15/18 30,665 33,080
Huntington Ingalls Industries Inc. 7.125% 3/15/21 43,475 47,062
Masco Corp. 6.125% 10/3/16 17,785 19,822
Masco Corp. 5.850% 3/15/17 9,404 10,233
Masco Corp. 6.625% 4/15/18 3,895 4,299
Masco Corp. 7.125% 3/15/20 59,416 67,586
Masco Corp. 5.950% 3/15/22 24,000 25,440
Masco Corp. 7.750% 8/1/29 16,486 18,204
Masco Corp. 6.500% 8/15/32 5,880 5,836
Owens Corning 9.000% 6/15/19 39,840 49,202
Owens Corning 7.000% 12/1/36 5,380 5,856
Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 7.125% 4/15/19 63,750 68,053
TransDigm Inc. 5.500% 10/15/20 35,905 36,084
United Rentals North America Inc. 5.750% 7/15/18 15,155 16,254
United Rentals North America Inc. 7.375% 5/15/20 49,275 54,942
United Rentals North America Inc. 8.250% 2/1/21 3,585 4,055
United Rentals North America Inc. 7.625% 4/15/22 30,495 34,231
United Rentals North America Inc. 6.125% 6/15/23 12,545 12,890
Vulcan Materials Co. 6.400% 11/30/17 18,020 20,002
Vulcan Materials Co. 7.000% 6/15/18 56,250 64,125
Vulcan Materials Co. 7.500% 6/15/21 2,485 2,802
Vulcan Materials Co. 7.150% 11/30/37 7,270 7,234
 
Communication (21.8%)        
CCO Holdings LLC / CCO Holdings Capital        
Corp. 7.250% 10/30/17 14,105 14,951
CCO Holdings LLC / CCO Holdings Capital        
Corp. 7.000% 1/15/19 30,985 32,805
CCO Holdings LLC / CCO Holdings Capital        
Corp. 8.125% 4/30/20 37,042 40,561
CCO Holdings LLC / CCO Holdings Capital        
Corp. 6.500% 4/30/21 18,025 18,791
CCO Holdings LLC / CCO Holdings Capital        
Corp. 6.625% 1/31/22 18,700 19,355
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 12,845 12,042
CSC Holdings LLC 7.875% 2/15/18 27,180 31,325
CSC Holdings LLC 7.625% 7/15/18 79,045 91,198
CSC Holdings LLC 8.625% 2/15/19 10,520 12,414
CSC Holdings LLC 6.750% 11/15/21 10,914 11,924
DISH DBS Corp. 4.625% 7/15/17 9,730 10,107
DISH DBS Corp. 7.875% 9/1/19 11,685 13,598
DISH DBS Corp. 6.750% 6/1/21 133,715 144,579
DISH DBS Corp. 5.875% 7/15/22 65,390 67,025
DISH DBS Corp. 5.000% 3/15/23 20,135 19,279
1 eAccess Ltd. 8.250% 4/1/18 45,540 49,980
Embarq Corp. 7.995% 6/1/36 23,035 23,386
1 Gannett Co. Inc. 5.125% 10/15/19 16,530 17,026
1 Gannett Co. Inc. 5.125% 7/15/20 64,680 65,893
1 Gannett Co. Inc. 6.375% 10/15/23 48,800 51,240
Hughes Satellite Systems Corp. 6.500% 6/15/19 88,991 95,665

 

 

  IAC/InterActiveCorp 4.750% 12/15/22 22,085 21,036
1 Inmarsat Finance plc 7.375% 12/1/17 20,655 21,533
  Intelsat Jackson Holdings SA 7.250% 4/1/19 85,330 91,943
  Intelsat Jackson Holdings SA 8.500% 11/1/19 14,265 15,656
  Intelsat Jackson Holdings SA 7.250% 10/15/20 164,947 179,174
  Intelsat Jackson Holdings SA 7.500% 4/1/21 43,900 47,851
1 Intelsat Jackson Holdings SA 5.500% 8/1/23 58,000 56,115
  Lamar Media Corp. 5.875% 2/1/22 17,195 17,754
  Lamar Media Corp. 5.000% 5/1/23 36,840 35,274
2,4 Level 3 Financing, Inc. Bank Loan 4.000% 1/15/20 40,855 41,038
  Liberty Interactive LLC 8.500% 7/15/29 31,878 34,110
  Liberty Interactive LLC 8.250% 2/1/30 97,840 104,444
  MetroPCS Wireless Inc. 7.875% 9/1/18 55,420 59,854
  MetroPCS Wireless Inc. 6.625% 11/15/20 75,800 80,348
  National CineMedia LLC 6.000% 4/15/22 32,455 33,753
1 NBCUniversal Enterprise Inc. 5.250% 12/19/49 62,790 62,162
  Nielsen Finance LLC / Nielsen Finance Co. 7.750% 10/15/18 48,300 52,526
  NII Capital Corp. 7.625% 4/1/21 19,915 11,750
  Quebecor Media Inc. 7.750% 3/15/16 26,840 27,310
  Quebecor Media Inc. 5.750% 1/15/23 84,210 81,153
  Qwest Corp. 6.875% 9/15/33 34,167 33,825
  SBA Communications Corp. 5.625% 10/1/19 37,650 38,732
  SBA Telecommunications Inc. 8.250% 8/15/19 15,173 16,463
  SBA Telecommunications Inc. 5.750% 7/15/20 15,106 15,710
1 Sirius XM Radio Inc. 4.250% 5/15/20 8,595 8,230
1 Sirius XM Radio Inc. 5.250% 8/15/22 39,841 40,439
1 Sirius XM Radio Inc. 4.625% 5/15/23 24,150 22,218
1 Softbank Corp. 4.500% 4/15/20 159,095 157,679
1 Sprint Corp. 7.250% 9/15/21 95,745 103,165
1 Sprint Corp. 7.875% 9/15/23 89,370 96,520
1 Sprint Nextel Corp. 9.000% 11/15/18 92,545 112,211
1 Sprint Nextel Corp. 7.000% 3/1/20 135,830 150,432
  Starz LLC / Starz Finance Corp. 5.000% 9/15/19 30,905 31,291
1 T-Mobile USA Inc. 5.250% 9/1/18 13,725 14,240
  T-Mobile USA Inc. 6.464% 4/28/19 41,835 44,345
  T-Mobile USA Inc. 6.633% 4/28/21 71,475 75,585
  T-Mobile USA Inc. 6.731% 4/28/22 51,165 54,107
  T-Mobile USA Inc. 6.836% 4/28/23 34,920 36,928
1 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 46,780 45,377
1 UPCB Finance III Ltd. 6.625% 7/1/20 83,121 88,430
1 UPCB Finance V Ltd. 7.250% 11/15/21 40,995 44,890
1 UPCB Finance VI Ltd. 6.875% 1/15/22 42,036 45,393
  Videotron Ltd. 9.125% 4/15/18 11,880 12,474
  Videotron Ltd. 5.000% 7/15/22 82,242 81,008
  Virgin Media Finance plc 8.375% 10/15/19 14,560 15,870
1 Virgin Media Secured Finance plc 5.375% 4/15/21 29,130 29,421
1 Wind Acquisition Finance SA 11.750% 7/15/17 70,775 75,287
  WINDSTREAM HOLDINGS INC. 7.875% 11/1/17 42,820 48,975
  Windstream Holdings Inc. 8.125% 9/1/18 22,355 24,199
  Zayo Group LLC / Zayo Capital Inc. 8.125% 1/1/20 20,870 22,905
  Zayo Group LLC / Zayo Capital Inc. 10.125% 7/1/20 35,970 41,635
 
  Consumer Cyclical (11.3%)        
1 Activision Blizzard Inc. 5.625% 9/15/21 23,120 23,871
1 ADT Corp. 6.250% 10/15/21 59,125 61,490
  AMC Entertainment Inc. 8.750% 6/1/19 61,485 66,250

 

 

  AutoNation Inc. 5.500% 2/1/20 15,796 16,823
1 Carlson Wagonlit BV 6.875% 6/15/19 76,610 79,291
  Chrysler Group LLC / CG Co-Issuer Inc. 8.000% 6/15/19 5,250 5,814
  Cinemark USA Inc. 5.125% 12/15/22 6,030 5,879
1 Continental Rubber of America Corp. 4.500% 9/15/19 78,885 82,336
  Corrections Corp. of America 4.125% 4/1/20 39,805 38,909
  Corrections Corp. of America 4.625% 5/1/23 49,490 47,758
  Delphi Corp. 5.875% 5/15/19 34,727 37,071
  Delphi Corp. 6.125% 5/15/21 25,270 27,923
1 General Motors Co. 4.875% 10/2/23 16,585 16,792
1 General Motors Financial Co. Inc. 4.750% 8/15/17 97,350 103,434
1 General Motors Financial Co. Inc. 3.250% 5/15/18 13,040 13,040
  General Motors Financial Co. Inc. 6.750% 6/1/18 43,795 49,598
1 General Motors Financial Co. Inc. 4.250% 5/15/23 16,980 16,301
  Hanesbrands Inc. 6.375% 12/15/20 33,810 36,768
2,4 Hilton Worldwide Finance LLC Bank Loan 4.000% 10/26/20 140,580 141,353
  Host Hotels & Resorts LP 5.875% 6/15/19 16,470 17,932
  L Brands Inc. 8.500% 6/15/19 4,860 5,820
  L Brands Inc. 7.000% 5/1/20 22,210 25,042
  L Brands Inc. 6.625% 4/1/21 42,435 46,679
  L Brands Inc. 5.625% 2/15/22 19,235 19,836
  Neiman Marcus Group Inc. 7.125% 6/1/28 63,150 61,413
  PVH Corp. 7.375% 5/15/20 24,920 27,287
  PVH Corp. 4.500% 12/15/22 12,390 11,740
1 QVC Inc. 7.500% 10/1/19 66,400 71,712
1 Realogy Group LLC 7.625% 1/15/20 53,680 59,988
  Regal Cinemas Corp. 8.625% 7/15/19 62,520 67,600
  Regal Entertainment Group 5.750% 6/15/23 19,200 18,960
  Regal Entertainment Group 5.750% 2/1/25 5,250 4,974
  Rite Aid Corp. 8.000% 8/15/20 29,250 32,797
  Sally Holdings LLC / Sally Capital Inc. 6.875% 11/15/19 44,399 48,950
  Sally Holdings LLC / Sally Capital Inc. 5.750% 6/1/22 23,135 24,060
  Service Corp. International 6.750% 4/1/16 22,998 25,068
  Service Corp. International 7.000% 6/15/17 38,900 43,665
  Service Corp. International 7.625% 10/1/18 35,040 39,946
  Service Corp. International 4.500% 11/15/20 3,760 3,657
1 Service Corp. International 5.375% 1/15/22 27,630 27,975
  Tenneco Inc. 7.750% 8/15/18 8,215 8,893
  Tenneco Inc. 6.875% 12/15/20 29,075 31,801
1 TRW Automotive Inc. 7.250% 3/15/17 48,556 55,597
1 TRW Automotive Inc. 4.500% 3/1/21 14,475 14,801
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 7.875% 5/1/20 14,590 16,195
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 7.750% 8/15/20 73,000 82,673
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.375% 3/15/22 59,010 61,075
 
  Consumer Noncyclical (9.7%)        
1 ARAMARK Corp. 5.750% 3/15/20 40,045 41,947
  Biomet Inc. 6.500% 8/1/20 60,850 64,805
  Biomet Inc. 6.500% 10/1/20 75,990 79,220
1 Capsugel SA 7.000% 5/15/19 7,590 7,590
  CHS/Community Health Systems Inc. 5.125% 8/15/18 54,960 57,090
  Constellation Brands Inc. 7.250% 5/15/17 26,605 30,928
  DaVita HealthCare Partners Inc. 6.625% 11/1/20 36,385 38,841
1 Fresenius Medical Care US Finance II Inc. 5.625% 7/31/19 38,265 41,039

 

 

1 Fresenius Medical Care US Finance II Inc. 5.875% 1/31/22 15,090 15,958
1 Fresenius Medical Care US Finance Inc. 6.500% 9/15/18 5,830 6,559
1 Fresenius Medical Care US Finance Inc. 5.750% 2/15/21 47,730 50,713
1 Fresenius US Finance II Inc. 9.000% 7/15/15 27,270 30,474
  HCA Holdings Inc. 6.250% 2/15/21 25,540 26,817
  HCA Inc. 6.500% 2/15/16 19,860 21,772
  HCA Inc. 8.500% 4/15/19 23,905 25,668
  HCA Inc. 6.500% 2/15/20 127,050 141,343
  HCA Inc. 5.875% 3/15/22 60,405 63,727
  HCA Inc. 4.750% 5/1/23 72,500 70,144
  HCA Inc. 7.690% 6/15/25 4,510 4,735
  Health Management Associates Inc. 7.375% 1/15/20 74,537 83,109
1 Healthcare Technology Intermediate Inc. 7.375% 9/1/18 19,400 20,176
1 Hypermarcas SA 6.500% 4/20/21 71,815 75,217
1 IMS Health Inc. 12.500% 3/1/18 76,475 90,049
1 IMS Health Inc. 6.000% 11/1/20 16,480 17,222
  LifePoint Hospitals Inc. 6.625% 10/1/20 17,460 18,551
1 Mallinckrodt International Finance SA 3.500% 4/15/18 9,700 9,613
1 Mallinckrodt International Finance SA 4.750% 4/15/23 24,250 23,132
1 Party City Holdings Inc. 8.875% 8/1/20 88,580 97,217
  Tenet Healthcare Corp. 9.250% 2/1/15 8,760 9,548
  Tenet Healthcare Corp. 6.250% 11/1/18 40,210 44,030
  Tenet Healthcare Corp. 4.750% 6/1/20 16,875 16,791
  Tenet Healthcare Corp. 4.500% 4/1/21 42,147 40,935
1 Tenet Healthcare Corp. 4.375% 10/1/21 106,480 102,221
1 Tenet Healthcare Corp. 8.125% 4/1/22 14,955 16,413
  US Foods Inc. 8.500% 6/30/19 48,470 51,984
2,4 US Foods Inc. Bank Loan 4.500% 3/31/17 46,554 46,516
 
  Energy (4.7%)        
  Chesapeake Energy Corp. 9.500% 2/15/15 15,900 17,470
  Concho Resources Inc. 7.000% 1/15/21 15,256 17,010
  Concho Resources Inc. 6.500% 1/15/22 19,940 21,735
  Concho Resources Inc. 5.500% 10/1/22 88,070 91,483
  Continental Resources Inc. 5.000% 9/15/22 92,870 96,585
  Denbury Resources Inc. 8.250% 2/15/20 19,004 20,857
  Denbury Resources Inc. 6.375% 8/15/21 12,445 13,301
  Denbury Resources Inc. 4.625% 7/15/23 29,500 27,140
  EP Energy LLC / EP Energy Finance Inc. 9.375% 5/1/20 66,027 76,261
         
  EP Energy LLC / Everest Acquisition Finance Inc. 6.875% 5/1/19 15,710 16,888
  Harvest Operations Corp. 6.875% 10/1/17 50,600 54,268
1 MEG Energy Corp. 6.375% 1/30/23 30,650 30,842
1 MEG Energy Corp. 7.000% 3/31/24 48,500 49,349
  Newfield Exploration Co. 6.875% 2/1/20 16,575 17,735
  Newfield Exploration Co. 5.750% 1/30/22 26,890 28,302
  Newfield Exploration Co. 5.625% 7/1/24 29,045 29,662
  Range Resources Corp. 6.750% 8/1/20 13,580 14,734
  Range Resources Corp. 5.750% 6/1/21 44,365 47,249
  Range Resources Corp. 5.000% 8/15/22 19,225 19,201
1 Seadrill Ltd. 5.625% 9/15/17 71,195 73,331
 
  Other Industrial (0.6%)        
1 Antero Resources Corp. 5.375% 11/1/21 22,785 23,127
  CBRE Services Inc. 5.000% 3/15/23 83,320 80,820

 

 

  Technology (8.5%)        
1 Audatex North America Inc. 6.000% 6/15/21 14,680 15,194
1 Audatex North America Inc. 6.125% 11/1/23 13,835 14,008
  Brocade Communications Systems Inc. 6.875% 1/15/20 13,038 14,048
1 Brocade Communications Systems Inc. 4.625% 1/15/23 23,360 21,842
  CDW LLC / CDW Finance Corp. 8.000% 12/15/18 28,178 30,925
  CDW LLC / CDW Finance Corp. 8.500% 4/1/19 8,210 9,093
  Equinix Inc. 4.875% 4/1/20 8,750 8,783
  Equinix Inc. 7.000% 7/15/21 60,830 66,457
  Equinix Inc. 5.375% 4/1/23 37,690 37,407
  Fidelity National Information Services Inc. 5.000% 3/15/22 27,005 27,815
1 First Data Corp. 7.375% 6/15/19 53,405 57,410
1 First Data Corp. 8.875% 8/15/20 22,379 24,953
1 First Data Corp. 6.750% 11/1/20 54,020 57,126
1 First Data Corp. 8.250% 1/15/21 62,840 67,082
2,4 First Data Corp. Bank Loan 4.170% 9/24/14 48,433 48,473
  Flextronics International Ltd. 4.625% 2/15/20 38,975 39,072
  Flextronics International Ltd. 5.000% 2/15/23 58,120 57,975
1 Freescale Semiconductor Inc. 9.250% 4/15/18 18,668 20,185
1 Freescale Semiconductor Inc. 5.000% 5/15/21 33,890 32,789
1 Freescale Semiconductor Inc. 6.000% 1/15/22 22,130 22,351
2,4 Freescale Semiconductor Inc. Bank Loan 5.000% 3/1/20 93,154 93,875
  Infor (US) Inc. 11.500% 7/15/18 45,331 52,584
  Infor (US) Inc. 9.375% 4/1/19 34,141 38,579
2,4 Infor (US) Inc. Bank Loan 5.250% 4/5/18 19,461 19,592
  Iron Mountain Inc. 7.750% 10/1/19 34,055 37,886
  Iron Mountain Inc. 8.375% 8/15/21 45,555 49,085
  Iron Mountain Inc. 5.750% 8/15/24 21,880 20,841
  NCR Corp. 4.625% 2/15/21 54,399 53,583
  NCR Corp. 5.000% 7/15/22 16,915 16,619
1 NXP BV / NXP Funding LLC 3.750% 6/1/18 37,440 37,440
1 NXP BV / NXP Funding LLC 5.750% 3/15/23 8,635 8,808
1 Sensata Technologies BV 6.500% 5/15/19 67,739 72,819
  SunGard Data Systems Inc. 7.375% 11/15/18 53,200 56,458
  SunGard Data Systems Inc. 6.625% 11/1/19 39,220 40,985
  SunGard Data Systems Inc. 7.625% 11/15/20 98,546 107,046
 
  Transportation (1.2%)        
3 Continental Airlines 2007-1 Class B Pass        
  Through Trust 6.903% 4/19/22 19,307 20,007
1 Hertz Corp. 4.250% 4/1/18 8,040 8,040
  Hertz Corp. 6.750% 4/15/19 82,360 88,743
  Hertz Corp. 5.875% 10/15/20 6,205 6,515
  Hertz Corp. 7.375% 1/15/21 60,490 67,068
          11,384,214
Utilities (6.0%)        
  Electric (2.2%)        
  AES Corp. 7.750% 10/15/15 25,158 27,988
  AES Corp. 8.000% 10/15/17 45,766 53,775
  AES Corp. 8.000% 6/1/20 19,980 23,327
1 Calpine Corp. 7.500% 2/15/21 57,367 62,100
1 Calpine Corp. 6.000% 1/15/22 16,165 16,771
1 Calpine Corp. 7.875% 1/15/23 13,500 14,749
1 Calpine Corp. 5.875% 1/15/24 9,230 9,253
  DPL Inc. 6.500% 10/15/16 14,550 15,678
  DPL Inc. 7.250% 10/15/21 104,495 109,197
1 Ipalco Enterprises Inc. 7.250% 4/1/16 11,985 13,153

 

 

IPALCO Enterprises Inc. 5.000% 5/1/18 14,510 15,199
 
Natural Gas (3.8%)        
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 6.750% 5/20/20 25,965 28,302
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 7.000% 5/20/22 48,660 52,310
El Paso LLC 7.000% 6/15/17 21,395 24,168
El Paso LLC 7.250% 6/1/18 66,150 74,986
El Paso LLC 6.500% 9/15/20 41,765 44,542
El Paso LLC 7.750% 1/15/32 26,290 27,131
Energy Transfer Equity LP 7.500% 10/15/20 76,385 88,225
Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 74,191 75,489
1 Kinder Morgan Finance Co. LLC 6.000% 1/15/18 45,785 49,906
1 Kinder Morgan Inc. 5.000% 2/15/21 32,795 32,795
1 Kinder Morgan Inc. 5.625% 11/15/23 48,500 48,500
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 6.500% 8/15/21 8,533 9,258
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 6.250% 6/15/22 36,425 39,612
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 5.500% 2/15/23 13,200 13,761
MarkWest Energy Partners LP / MarkWest        
Energy Finance Corp. 4.500% 7/15/23 9,600 9,312
        979,487
Total Corporate Bonds (Cost $14,146,860)       15,002,390
      Shares  
Preferred Stocks (2.3%)        
Citigroup Capital XIII Pfd. 7.875%   5,301,250 145,784
GMAC Capital Trust I Pfd. 8.125%   4,743,200 127,687
Hartford Financial Services Group Inc. Pfd. 7.875%   3,307,200 97,695
Total Preferred Stocks (Cost $343,115)       371,166
Common Stock (0.0%)        
HealthSouth Corp.     27,999 983
Other (0.0%)        
* MediaNews Group Inc. Warrants Exp. 3/19/2017        
(Cost $27,348)     73,622 205
      Face  
      Amount  
      ($000)  
Temporary Cash Investments (4.9%)        
Repurchase Agreements (4.9%)        
Bank of America Securities, LLC        
(Dated 10/31/13, Repurchase Value        
$151,400,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.291%-        
4.000%, 8/1/42-3/1/43, and Federal        
National Mortgage Assn. 2.500%-3.000%,        
10/1/27-5/1/42, with a value of        
$154,428,000) 0.100% 11/1/13 151,400 151,400

 

 

Deutsche Bank Securities, Inc.        
(Dated 10/31/13, Repurchase Value        
$357,201,000, collateralized by Federal        
Home Loan Mortgage Corp. 3.500%-        
7.000%, 2/1/39-8/1/43, Federal National        
Mortgage Assn. 2.500%-6.000%, 8/1/27-        
10/1/43, and Government National        
Mortgage Assn. 2.030%-5.000%, 10/15/38-        
1/15/55, with a value of $364,344,000) 0.120% 11/1/13 357,200 357,200
RBC Capital Markets LLC        
(Dated 10/31/13, Repurchase Value        
$47,100,000, collateralized by Federal        
National Mortgage Assn. 2.506%-3.500%,        
7/1/43-11/1/43, with a value of        
$48,042,000) 0.100% 11/1/13 47,100 47,100
TD Securities (USA) LLC        
(Dated 10/31/13, Repurchase Value        
$237,101,000, collateralized by Federal        
Farm Credit Bank 0.193%, 7/8/16,        
Government National Mortgage Assn.        
2.500%, 1/20/43-3/20/43, and U.S.        
Treasury Note/Bond 0.250%-6.250%,        
5/15/14-5/15/30, with a value of        
$241,925,000) 0.100% 11/1/13 237,100 237,100
        792,800
Total Temporary Cash Investments (Cost $792,800)       792,800
Total Investments (100.8%) (Cost $15,522,360)       16,381,559
Other Assets and Liabilities-Net (-0.8%)       (136,901)
Net Assets (100%)       16,244,658

 

* Non-income-producing security.
1 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2013, the aggregate value of these securities was $4,623,570,000, representing 28.5% of net assets.
2 Adjustable-rate security.
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 is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At October 31, 2013, the aggregate value of these securities was $456,085,000, representing 2.8% of net assets.

A. Security Valuation: 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. 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. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

B. Repurchase Agreements: The fund may enter 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.

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 174,277 —
Asset-Backed/Commercial Mortgage-Backed Securities — 39,738 —
Corporate Bonds — 15,002,390 —
Preferred Stocks 371,166 — —
Common Stock 983 — —
Other — — 205
Temporary Cash Investments — 792,800 —
Total 372,149 16,009,205 205

 

D. At October 31, 2013, the cost of investment securities for tax purposes was $15,522,360,000. Net unrealized appreciation of investment securities for tax purposes was $859,199,000, consisting of unrealized gains of $954,310,000 on securities that had risen in value since their purchase and $95,111,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of October 31, 2013        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (6.1%)        
U.S. Government Securities (6.1%)        
1,2 United States Treasury Note/Bond 2.625% 4/30/16 4,700 4,956
  United States Treasury Note/Bond 0.625% 10/15/16 686,000 687,070
  United States Treasury Note/Bond 2.875% 3/31/18 15,000 16,120
  United States Treasury Note/Bond 0.625% 4/30/18 251,128 245,241
  United States Treasury Note/Bond 1.250% 10/31/18 13,250 13,204
1 United States Treasury Note/Bond 2.750% 2/15/19 6,395 6,828
  United States Treasury Note/Bond 1.250% 4/30/19 3,000 2,961
1 United States Treasury Note/Bond 3.625% 8/15/19 1,530 1,704
3 United States Treasury Note/Bond 3.375% 11/15/19 32,810 36,122
          1,014,206
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5,6Freddie Mac Non Gold Pool 2.375% 8/1/32 508 528
4,5,6Freddie Mac Non Gold Pool 2.518% 9/1/32 190 196
          724
Total U.S. Government and Agency Obligations (Cost $1,007,219)     1,014,930
Asset-Backed/Commercial Mortgage-Backed Securities (11.2%)      
5,7 Ally Auto Receivables Trust 2010-3 2.690% 2/15/17 3,250 3,291
5 Ally Auto Receivables Trust 2012-1 1.210% 7/15/16 5,550 5,594
5 Ally Auto Receivables Trust 2012-SN1 0.700% 12/21/15 2,500 2,503
5 Ally Auto Receivables Trust 2013-SN1 0.900% 5/22/17 4,000 4,000
5,7 Ally Master Owner Trust Series 2010-2 4.250% 4/15/17 1,035 1,085
5,7 Ally Master Owner Trust Series 2010-2 4.590% 4/15/17 3,280 3,436
4,5 Ally Master Owner Trust Series 2010-4 1.244% 8/15/17 39,470 39,845
4,5,7Ally Master Owner Trust Series 2010-4 1.724% 8/15/17 8,100 8,196
4,5,7Ally Master Owner Trust Series 2010-4 2.124% 8/15/17 6,160 6,222
5 Ally Master Owner Trust Series 2012-3 1.210% 6/15/17 10,900 10,964
4,5,7American Express Credit Account Secured        
  Note Trust 2004-2 0.844% 12/15/16 1,000 1,000
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 0.724% 5/15/20 7,000 6,989
4,5 American Express Issuance Trust II 2013-1 0.454% 2/15/19 13,000 12,936
5,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 6,000 6,432
5,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 3,540 4,065
5 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 720 707
5 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 3,100 3,051
5 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 1,500 1,475
5 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 2,500 2,460
5 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 1,660 1,670
5 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 2,230 2,261
4,5,7Arkle Master Issuer plc Series 2010-1 1.513% 5/17/60 14,170 14,301
4,5,7Arran Residential Mortgages Funding 2010-1        
  plc 1.663% 5/16/47 7,123 7,210

 

 

4,5,7Arran Residential Mortgages Funding 2011-1        
  plc 1.713% 11/19/47 5,600 5,675
5,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,975 4,785
5 Banc of America Commercial Mortgage Trust        
  2006-4 5.634% 7/10/46 24,950 27,342
5 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 4,028 4,424
5 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 4,397 4,842
5 Banc of America Commercial Mortgage Trust        
  2007-2 5.572% 4/10/49 4,303 4,730
5 Banc of America Commercial Mortgage Trust        
  2007-2 5.623% 4/10/49 11,887 13,275
5 Banc of America Commercial Mortgage Trust        
  2008-1 6.163% 2/10/51 9,546 10,707
5 Banc of America Commercial Mortgage Trust        
  2008-1 6.207% 2/10/51 24,812 28,488
4,5,7Bank of America Student Loan Trust 2010-        
  1A 1.038% 2/25/43 15,001 15,119
4,5 Bank One Issuance Trust Series 2004-C2 0.974% 2/15/17 1,200 1,201
5,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 3,354 3,396
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2005-PWR7 4.945% 2/11/41 395 395
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2005-PWR9 4.943% 9/11/42 1,320 1,402
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 2,403 2,658
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.708% 6/11/40 22,140 24,932
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 12,244 13,668
5 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 3,869 4,403
4,5 Brazos Higher Education Authority Inc.        
  Series 2005-3 0.451% 6/25/26 5,720 5,355
4,5 Brazos Higher Education Authority Inc.        
  Series 2010-1 1.162% 5/25/29 3,034 3,085
4,5 Brazos Higher Education Authority Inc.        
  Series 2011-1 1.062% 2/25/30 17,900 18,030
5,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 2,250 2,237
5,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 3,343 3,311
5 Capital Auto Receivables Asset Trust 2013-1 0.970% 1/22/18 6,550 6,498
5 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 1,550 1,533
5 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 1,700 1,670
5 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 6,485 6,556
4,5 Capital One Multi-asset Execution Trust        
  2004-C2 1.224% 12/15/16 1,988 1,988
4,5 Capital One Multi-asset Execution Trust        
  2007-A1 0.224% 11/15/19 1,130 1,120
4,5 Capital One Multi-asset Execution Trust        
  2007-A2 0.254% 12/16/19 17,225 17,076
4,5 Capital One Multi-asset Execution Trust        
  2007-A5 0.214% 7/15/20 18,644 18,383
4,5,7Cards II Trust 2012-4A 0.624% 9/15/17 5,910 5,918
5 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 2,920 2,948
5 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 1,785 1,799

 

 

5 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 9,100 9,192
5,7 CFCRE Commercial Mortgage Trust 2011-        
  C1 5.546% 4/15/44 2,900 3,133
5,7 CFCRE Commercial Mortgage Trust 2011-        
  C2 5.559% 12/15/47 5,260 5,804
4,5 Chase Issuance Trust 2007-C1 0.634% 4/15/19 6,100 6,013
4,5 Chase Issuance Trust 2012-A10 0.434% 12/16/19 6,000 5,977
5,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 1.830% 3/15/19 915 918
5,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 1,100 1,103
5,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 1,190 1,193
4,5 Citibank Credit Card Issuance Trust 2005-C2 0.640% 3/24/17 1,520 1,516
4,5 Citibank Credit Card Issuance Trust 2008-A7 1.547% 5/20/20 11,800 12,327
4,5 Citibank Credit Card Issuance Trust 2013-A2 0.450% 5/26/20 10,000 9,949
5,7 Citibank Omni Master Trust 2009-A13 5.350% 8/15/18 16,845 17,466
4,5,7Citibank Omni Master Trust 2009-A14A 2.924% 8/15/18 1,825 1,859
5,7 Citibank Omni Master Trust 2009-A17 4.900% 11/15/18 54,212 56,547
5 Citigroup Commercial Mortgage Trust 2006-        
  C5 5.431% 10/15/49 6,650 7,325
5 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,770 5,600
5,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,017 2,018
5 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 5,650 5,456
5 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 3,300 3,484
5 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 700 742
5,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 2,695 2,756
5,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 5,558 5,410
5 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 5,534 6,107
5 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 16,000 17,614
5 COMM 2007-C9 Mortgage Trust 5.800% 12/10/49 3,620 4,102
5 COMM 2007-C9 Mortgage Trust 5.800% 12/10/49 268 268
5 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,700 2,645
5 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900 3,930
5 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 2,855 2,724
5 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 5,750 5,475
5 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,700 2,566
5 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,400 1,442
5 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 5,000 5,022
5 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 1,700 1,767
5 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 800 839
5 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 3,180 3,301
5,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 1,050 1,094
5 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,800 3,639
5,7 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 6,500 6,147
5 Commercial Mortgage Trust 2005-GG5 5.224% 4/10/37 8,150 8,634
5 Commercial Mortgage Trust 2006-GG7 5.828% 7/10/38 24,746 27,138
7 Commonwealth Bank of Australia 2.250% 3/16/17 10,450 10,789
5 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 5.793% 6/15/38 761 834
5 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C1 5.361% 2/15/40 2,169 2,324

 

 

5 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C5 5.589% 9/15/40 690 691
5 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.036% 2/15/41 5,289 5,860
5,7 Cronos Containers Program Ltd. 2012-2A 3.810% 9/18/27 3,433 3,458
4,5 Discover Card Execution Note Trust 2012-A4 0.544% 11/15/19 4,555 4,563
5 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 40,000 38,904
4,5 Discover Card Execution Note Trust 2013-A1 0.474% 8/17/20 18,000 17,922
7 DNB Boligkreditt AS 1.450% 3/21/18 3,300 3,272
5 Dryrock Issuance Trust Series 2012-2 0.640% 8/15/18 7,000 6,983
5,7 Enterprise Fleet Financing LLC Series 2011-        
  3 2.100% 5/20/17 5,242 5,284
5,7 Enterprise Fleet Financing LLC Series 2012-        
  2 0.720% 4/20/18 5,835 5,835
5,7 Enterprise Fleet Financing LLC Series 2012-        
  2 0.930% 4/20/18 2,200 2,196
5,7 Fontainebleau Miami Beach Trust 2012-        
  FBLU 2.887% 5/5/27 5,800 5,869
5,7 Ford Credit Auto Lease Trust 2012-B 1.100% 12/15/15 2,200 2,204
5 Ford Credit Auto Lease Trust 2013-A 0.780% 4/15/16 1,800 1,792
5 Ford Credit Auto Lease Trust 2013-A 1.010% 5/15/16 4,000 3,977
5 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 3,050 3,032
5 Ford Credit Auto Owner Trust 2010-A 2.930% 11/15/15 1,000 1,013
5 Ford Credit Auto Owner Trust 2010-A 3.220% 3/15/16 1,210 1,230
5 Ford Credit Auto Owner Trust 2013-A 1.150% 7/15/18 1,850 1,847
5 Ford Credit Auto Owner Trust 2013-A 1.360% 10/15/18 900 898
5 Ford Credit Auto Owner Trust 2013-B 1.110% 10/15/18 1,700 1,707
5 Ford Credit Auto Owner Trust 2013-B 1.320% 1/15/19 800 801
5 Ford Credit Auto Owner Trust 2013-B 1.820% 11/15/19 600 606
5 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 2,000 2,012
5 Ford Credit Auto Owner Trust 2013-C 1.910% 3/15/19 1,650 1,661
5 Ford Credit Auto Owner Trust 2013-C 2.500% 1/15/20 1,850 1,868
5,7 Ford Credit Floorplan Master Owner Trust A        
  Series 2010-3 4.990% 2/15/17 8,785 9,185
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 2,000 2,041
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-4 0.940% 9/15/16 2,600 2,597
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-4 1.390% 9/15/16 6,100 6,108
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 24,000 24,001
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 1,600 1,594
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 1,900 1,897
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 5,700 5,659
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 2,100 2,096
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-3 1.740% 6/15/17 820 819
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 670 669
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 720 711
5 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 290 287

 

 

5,7 FRS I LLC 2013-1A 1.800% 4/15/43 1,492 1,487
5,7 FRS I LLC 2013-1A 3.080% 4/15/43 6,243 6,193
4,5 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.174% 5/15/19 10,800 10,810
5 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 30,000 30,173
5 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 2,300 2,287
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2012-2 0.923% 4/22/19 13,000 13,094
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2012-4 0.613% 10/20/17 10,000 10,000
5,7 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 18,000 18,271
4,5,7Golden Credit Card Trust 2012-3A 0.624% 7/17/17 12,100 12,116
4,5,7Golden Credit Card Trust 2013-1A 0.424% 2/15/18 9,000 8,970
5,7 Great America Leasing Receivables 2011-1 2.340% 4/15/16 1,236 1,246
5,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 2,500 2,504
5 GS Mortgage Securities Trust 2006-GG6 5.506% 4/10/38 4,204 4,203
5 GS Mortgage Securities Trust 2006-GG6 5.553% 4/10/38 13,213 14,258
5,7 GS Mortgage Securities Trust 2010-C2 5.225% 12/10/43 1,370 1,474
5,7 GS Mortgage Securities Trust 2011-GC3 5.543% 3/10/44 2,650 2,858
5,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 4,100 4,118
5,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 6,000 5,696
5,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,124
5 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 3,700 3,578
5 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 2,000 2,079
5 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 800 842
5 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 3,500 3,488
5,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 7,930 8,359
5,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 7,500 7,913
5,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 17,800 17,480
5,7 Hyundai Auto Lease Securitization Trust        
  2012-A 1.050% 4/17/17 4,500 4,517
5,7 Hyundai Auto Lease Securitization Trust        
  2013-A 0.770% 10/17/16 2,000 1,998
5 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 1,700 1,727
5 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 1,000 1,002
5 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 1,200 1,202
5 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 2,350 2,360
5 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 1,900 1,915
4,5,7Hyundai Floorplan Master Owner Trust        
  Series 2013-1 0.524% 5/15/18 4,000 3,996
4,5,7Hyundai Floorplan Master Owner Trust        
  Series 2013-1 0.824% 5/15/18 1,400 1,393
5,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 4,738 4,743
4 Illinois Student Assistance Commission        
  Series 2010-1 1.288% 4/25/22 11,425 11,494
5,7 Irvine Core Office Trust 2013-IRV 2.068% 5/15/48 5,980 5,846
5,7 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 6,000 5,730
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 4,821 5,246
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.475% 4/15/43 19,249 20,847
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 5.863% 4/15/45 3,677 4,070
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 25,084 27,790

 

 

5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 4,499 5,071
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 3,297 3,671
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.827% 2/15/51 360 363
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 2,653 3,008
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 10,030 10,963
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 1,250 1,327
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 1,175 1,249
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.526% 11/15/43 2,313 2,542
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.526% 11/15/43 2,730 2,904
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 6,550 7,114
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 4,990 5,484
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 3,170 3,405
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.314% 8/15/46 4,000 4,537
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 2,800 2,672
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,070 3,980
5,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,900 5,731
5 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 5,378 5,126
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 5,000 5,039
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.027% 7/15/45 5,000 5,100
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 1,300 1,350
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 1,400 1,467
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 2,300 2,374
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 400 413
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 1,750 1,822
5 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.251% 11/15/45 1,300 1,318
4,5,7Lanark Master Issuer plc 2012-2A 1.662% 12/22/54 2,110 2,140
4,5,7Lanark Master Issuer plc 2013-1A 0.762% 12/22/54 3,800 3,782
5 LB-UBS Commercial Mortgage Trust 2006-        
  C3 5.641% 3/15/39 6,954 7,570
5 LB-UBS Commercial Mortgage Trust 2006-        
  C6 5.342% 9/15/39 3,778 4,066
5 LB-UBS Commercial Mortgage Trust 2006-        
  C7 5.347% 11/15/38 25,211 27,787

 

 

5 LB-UBS Commercial Mortgage Trust 2007-        
  C7 5.866% 9/15/45 15,944 17,969
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL 3.220% 2/1/21 12,000 12,632
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-ELL 3.450% 2/1/22 5,475 5,859
5,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 8,570 8,563
5,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 1,245 1,301
5,7 Master Credit Card Trust 2012-2A 1.970% 4/21/17 1,400 1,401
5,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 2,100 2,103
4,5 MBNA Credit Card Master Note Trust 2004-        
  A3 0.434% 8/16/21 4,990 4,934
4,5 MBNA Credit Card Master Note Trust 2004-        
  C2 1.074% 11/15/16 16,655 16,666
5,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 15,000 15,009
5 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 809 894
5 Merrill Lynch Mortgage Trust 2007-C1 5.748% 6/12/50 792 794
5 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 16,140 18,195
5 ML-CFC Commercial Mortgage Trust 2006-2 5.887% 6/12/46 2,829 3,133
5,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 2,880 2,902
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 5,395 5,325
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 2,050 2,066
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 5,740 5,509
5,7 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-CKSV 3.277% 10/15/30 6,000 5,654
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.085% 8/15/46 1,800 1,876
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C12 3.824% 10/15/46 810 848
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 2.918% 2/15/46 2,470 2,360
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 3.214% 2/15/46 2,000 1,913
5 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C9 3.102% 5/15/46 5,710 5,505
5 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 6,596 7,273
5 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 3,780 4,174
5 Morgan Stanley Capital I Trust 2007-IQ15 5.910% 6/11/49 7,580 8,509
5 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 7,260 8,077
5 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440 2,466
5,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,000 5,805
4,5,7Motor 2012 plc 0.669% 2/25/20 4,660 4,661
5,7 Motor 2012 plc 1.286% 2/25/20 2,615 2,616
7 National Australia Bank Ltd. 2.000% 6/20/17 6,600 6,753
4,5,7Navistar Financial Dealer Note Master        
  Owner Trust Series 2013-1 0.840% 1/25/18 6,400 6,406
4 New Mexico Educational Assistance        
  Foundation 2013-1 0.880% 1/2/25 5,567 5,540
5 Nissan Auto Lease Trust 2013-A 0.740% 10/15/18 2,000 1,999
4,5 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.474% 2/15/18 9,000 8,971
7 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 5,500 5,483

 

 

4 North Carolina State Education Assistance        
  Authority 2011-1 1.138% 1/26/26 5,500 5,528
5 Royal Bank of Canada 1.200% 9/19/18 5,750 5,733
5 Santander Drive Auto Receivables Trust        
  2013-1 1.760% 1/15/19 1,070 1,069
5 Santander Drive Auto Receivables Trust        
  2013-2 1.330% 3/15/18 1,350 1,332
5 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 5,500 5,420
4,5,7Silverstone Master Issuer plc 2010-1A 1.746% 1/21/55 18,475 18,830
4,5 SLM Student Loan Trust 2005-5 0.338% 4/25/25 4,365 4,339
4,5 SLM Student Loan Trust 2006-5 0.348% 1/25/27 3,000 2,894
4,5 SLM Student Loan Trust 2006-6 0.348% 10/27/25 6,500 6,311
4,5 SLM Student Loan Trust 2007-1 0.328% 1/26/26 24,625 23,777
5,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 1,700 1,819
5,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 10,500 11,054
4,5,7SLM Student Loan Trust 2011-C 1.574% 12/15/23 2,795 2,814
5,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 5,450 5,966
4,5,7SLM Student Loan Trust 2012-B 1.274% 12/15/21 2,241 2,245
5,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 4,550 4,778
4,5,7SLM Student Loan Trust 2012-E 0.924% 10/16/23 9,597 9,584
4,5,7SLM Student Loan Trust 2013-1 1.224% 5/17/27 5,400 5,340
5,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 1,800 1,671
5,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 3,000 2,915
5,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 1,400 1,325
5,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 2,000 1,893
4,5,7SMART ABS Series 2010-1US Trust 1.674% 12/14/15 11,258 11,318
5,7 SMART ABS Series 2011-1US Trust 2.520% 11/14/16 5,000 5,065
5,7 SMART ABS Series 2011-2US Trust 2.310% 4/14/17 1,750 1,785
5 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 5,700 5,711
5 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 2,000 1,980
5 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 4,200 4,145
5,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 3,182 3,425
4,5 South Carolina Student Loan Corp. Revenue        
  2010-1 1.238% 7/25/25 11,550 11,674
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 2,000 1,954
5,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 10,400 10,005
7 Stadshypotek AB 1.250% 5/23/18 1,930 1,896
5,7 Textainer Marine Containers Ltd. 2011-1A 4.700% 6/15/26 2,147 2,149
5 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200 1,248
5,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,000 5,872
5 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 5,055 4,806
5,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 8,000 7,604
5 Volkswagen Auto Lease Trust 2012-A 1.060% 5/22/17 3,200 3,220
5,7 Volvo Financial Equipment LLC Series 2012-        
  1 2.380% 9/16/19 1,200 1,220
5 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 11,323 12,275
5 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 4,538 5,001
5 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 25,425 27,899
5 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 3,671 4,058
5 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C33 5.925% 2/15/51 4,350 4,836

 

 

5 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C34 5.569% 5/15/46 4,829 4,829
5 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 3,950 3,811
5 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,610 1,588
5 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 750 792
5,7 Westpac Banking Corp. 1.250% 12/14/18 2,450 2,423
5,7 WFRBS Commercial Mortgage Trust 2011-        
  C3 4.375% 3/15/44 5,450 5,828
5 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 4,930 4,711
5 WFRBS Commercial Mortgage Trust 2012-        
  C7 3.431% 6/15/45 5,400 5,413
5 WFRBS Commercial Mortgage Trust 2012-        
  C7 4.090% 6/15/45 4,170 4,298
5 WFRBS Commercial Mortgage Trust 2012-        
  C8 3.001% 8/15/45 3,300 3,210
5 WFRBS Commercial Mortgage Trust 2012-        
  C9 2.870% 11/15/45 5,650 5,416
5 WFRBS Commercial Mortgage Trust 2012-        
  C9 3.388% 11/15/45 2,870 2,794
5 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,220 2,137
5 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 600 622
5 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 1,900 1,987
5 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 4,000 3,945
4,5,7World Omni Master Owner Trust 2013-1 0.524% 2/15/18 4,000 3,994
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,824,729)   1,865,577
Corporate Bonds (75.8%)        
Finance (26.8%)        
  Banking (16.5%)        
  Abbey National Treasury Services plc 3.050% 8/23/18 3,950 4,093
  AgriBank FCB 9.125% 7/15/19 5,000 6,501
  American Express Bank FSB 6.000% 9/13/17 4,250 4,947
  American Express Centurion Bank 5.950% 6/12/17 10,000 11,479
  American Express Centurion Bank 6.000% 9/13/17 5,060 5,879
  American Express Co. 5.500% 9/12/16 6,070 6,805
  American Express Co. 6.150% 8/28/17 17,000 19,837
  American Express Co. 7.000% 3/19/18 12,000 14,511
  American Express Co. 2.650% 12/2/22 18,679 17,538
  American Express Credit Corp. 2.800% 9/19/16 2,700 2,834
7 ANZ Capital Trust II 5.360% 11/29/49 3,000 3,007
  Associates Corp. of North America 6.950% 11/1/18 8,855 10,573
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 8,000 8,068
7 Australia & New Zealand Banking Group Ltd. 4.875% 1/12/21 6,817 7,545
7 Banco de Credito del Peru 4.250% 4/1/23 5,000 4,774
7 Banco Santander Mexico SA Institucion de        
  Banca Multiple Grupo Financiero Santand 4.125% 11/9/22 5,000 4,767
  Bank of America Corp. 6.500% 8/1/16 6,375 7,245
  Bank of America Corp. 3.875% 3/22/17 1,400 1,498
  Bank of America Corp. 6.000% 9/1/17 1,750 2,006
  Bank of America Corp. 5.750% 12/1/17 4,000 4,560

 

 

  Bank of America Corp. 2.000% 1/11/18 15,000 14,893
  Bank of America Corp. 5.650% 5/1/18 4,500 5,121
  Bank of America Corp. 7.625% 6/1/19 13,000 16,178
  Bank of America Corp. 5.625% 7/1/20 32,500 37,276
  Bank of America Corp. 5.875% 1/5/21 18,500 21,353
  Bank of America Corp. 5.000% 5/13/21 17,750 19,499
  Bank of America Corp. 5.700% 1/24/22 14,000 16,066
  Bank of America Corp. 3.300% 1/11/23 29,267 28,033
  Bank of America NA 5.300% 3/15/17 8,877 9,840
  Bank of America NA 6.100% 6/15/17 5,000 5,694
  Bank of Montreal 1.400% 9/11/17 1,970 1,958
  Bank of Montreal 1.450% 4/9/18 5,800 5,726
  Bank of Montreal 2.375% 1/25/19 5,000 5,057
  Bank of Montreal 2.550% 11/6/22 30,000 28,218
  Bank of New York Mellon Corp. 5.500% 12/1/17 5,465 6,233
  Bank of New York Mellon Corp. 5.450% 5/15/19 6,580 7,591
  Bank of New York Mellon Corp. 4.600% 1/15/20 14,300 15,798
  Bank of New York Mellon Corp. 4.150% 2/1/21 9,000 9,639
  Bank of New York Mellon Corp. 3.550% 9/23/21 2,040 2,101
  Bank of Nova Scotia 2.050% 10/30/18 26,275 26,360
  Bank of Nova Scotia 4.375% 1/13/21 8,500 9,222
7 Banque Federative du Credit Mutuel SA 2.500% 10/29/18 10,800 10,826
  Barclays Bank plc 6.750% 5/22/19 33,530 40,580
  Barclays Bank plc 5.125% 1/8/20 18,125 20,369
  BB&T Corp. 4.900% 6/30/17 5,300 5,878
  BB&T Corp. 6.850% 4/30/19 5,714 6,998
  BB&T Corp. 5.250% 11/1/19 12,000 13,527
  BB&T Corp. 3.950% 3/22/22 7,500 7,575
  Bear Stearns Cos. LLC 6.400% 10/2/17 5,500 6,419
  BNP Paribas SA 2.700% 8/20/18 9,000 9,224
  BNP Paribas SA 5.000% 1/15/21 73,350 80,787
  BNP Paribas SA 3.250% 3/3/23 29,735 28,576
  Capital One NA 1.500% 3/22/18 7,000 6,869
  Citigroup Inc. 6.000% 8/15/17 3,000 3,446
  Citigroup Inc. 6.125% 11/21/17 6,111 7,070
  Citigroup Inc. 6.125% 5/15/18 15,000 17,419
  Citigroup Inc. 8.500% 5/22/19 19,317 24,973
  Citigroup Inc. 5.375% 8/9/20 31,422 35,692
  Citigroup Inc. 4.500% 1/14/22 38,500 40,941
  Citigroup Inc. 3.375% 3/1/23 14,000 13,527
  Citigroup Inc. 5.500% 9/13/25 9,000 9,515
5,7,8Colonial BancGroup Inc. 7.114% 5/29/49 17,340 2
  Commonwealth Bank of Australia 1.900% 9/18/17 7,750 7,852
  Commonwealth Bank of Australia 2.500% 9/20/18 7,000 7,146
7 Commonwealth Bank of Australia 5.000% 3/19/20 11,560 13,035
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.500% 1/11/21 24,000 25,750
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.875% 2/8/22 70,100 71,219
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.950% 11/9/22 29,500 28,716
  Credit Suisse 6.000% 2/15/18 3,692 4,221
  Credit Suisse 5.300% 8/13/19 24,588 28,111
  Credit Suisse 4.375% 8/5/20 14,000 15,222
5 Deutsche Bank AG 4.296% 5/24/28 21,000 19,260
  Discover Bank 7.000% 4/15/20 3,665 4,341
  Fifth Third Bank 1.450% 2/28/18 2,500 2,448
  First Niagara Financial Group Inc. 6.750% 3/19/20 4,720 5,531

 

 

First Niagara Financial Group Inc. 7.250% 12/15/21 14,217 16,670
FirstMerit Corp. 4.350% 2/4/23 9,000 9,041
Goldman Sachs Group Inc. 6.250% 9/1/17 3,000 3,470
Goldman Sachs Group Inc. 5.950% 1/18/18 7,000 8,030
Goldman Sachs Group Inc. 6.150% 4/1/18 7,225 8,374
Goldman Sachs Group Inc. 2.900% 7/19/18 5,850 5,969
Goldman Sachs Group Inc. 7.500% 2/15/19 15,000 18,511
Goldman Sachs Group Inc. 5.375% 3/15/20 21,460 24,115
Goldman Sachs Group Inc. 6.000% 6/15/20 12,420 14,318
Goldman Sachs Group Inc. 5.250% 7/27/21 34,910 38,273
Goldman Sachs Group Inc. 5.750% 1/24/22 30,035 33,979
Goldman Sachs Group Inc. 3.625% 1/22/23 3,300 3,216
HSBC Bank USA NA 6.000% 8/9/17 5,055 5,776
HSBC Bank USA NA 4.875% 8/24/20 31,288 33,972
HSBC Holdings plc 5.100% 4/5/21 51,948 57,877
HSBC Holdings plc 4.875% 1/14/22 11,500 12,575
HSBC Holdings plc 4.000% 3/30/22 26,100 27,061
HSBC USA Inc. 5.000% 9/27/20 17,000 18,573
Intesa Sanpaolo SPA 3.875% 1/16/18 16,591 16,897
Intesa Sanpaolo SPA 3.875% 1/15/19 17,000 17,061
JPMorgan Chase & Co. 6.125% 6/27/17 3,000 3,422
JPMorgan Chase & Co. 6.000% 1/15/18 6,000 6,940
JPMorgan Chase & Co. 1.800% 1/25/18 3,500 3,468
JPMorgan Chase & Co. 1.625% 5/15/18 3,395 3,327
JPMorgan Chase & Co. 6.300% 4/23/19 10,650 12,593
JPMorgan Chase & Co. 4.950% 3/25/20 12,300 13,648
JPMorgan Chase & Co. 4.400% 7/22/20 18,510 19,982
JPMorgan Chase & Co. 4.250% 10/15/20 26,930 28,732
JPMorgan Chase & Co. 4.625% 5/10/21 14,200 15,385
JPMorgan Chase & Co. 4.350% 8/15/21 16,600 17,635
JPMorgan Chase & Co. 4.500% 1/24/22 20,500 21,879
JPMorgan Chase & Co. 3.250% 9/23/22 17,000 16,364
JPMorgan Chase & Co. 3.200% 1/25/23 10,150 9,711
JPMorgan Chase Bank NA 6.000% 7/5/17 6,500 7,402
JPMorgan Chase Bank NA 6.000% 10/1/17 10,380 11,962
KeyBank NA 1.650% 2/1/18 4,000 3,951
7 Lloyds Bank plc 6.500% 9/14/20 8,170 9,151
Lloyds Bank plc 6.375% 1/21/21 38,592 45,745
Manufacturers & Traders Trust Co. 6.625% 12/4/17 8,555 10,080
Merrill Lynch & Co. Inc. 6.400% 8/28/17 7,850 9,097
Merrill Lynch & Co. Inc. 6.875% 4/25/18 8,123 9,626
Merrill Lynch & Co. Inc. 6.875% 11/15/18 2,797 3,372
Morgan Stanley 5.450% 1/9/17 3,000 3,330
Morgan Stanley 5.550% 4/27/17 2,300 2,580
Morgan Stanley 5.950% 12/28/17 2,000 2,284
Morgan Stanley 6.625% 4/1/18 5,700 6,691
Morgan Stanley 7.300% 5/13/19 15,000 18,209
Morgan Stanley 5.625% 9/23/19 20,500 23,323
Morgan Stanley 5.500% 1/26/20 20,535 23,108
Morgan Stanley 5.500% 7/24/20 12,000 13,495
Morgan Stanley 5.750% 1/25/21 24,000 27,470
Morgan Stanley 5.500% 7/28/21 6,600 7,426
Morgan Stanley 3.750% 2/25/23 7,000 6,903
National Australia Bank Ltd. 3.000% 1/20/23 20,190 19,173
7 Nordea Bank AB 1.625% 5/15/18 11,000 10,799
Northern Trust Co. 5.850% 11/9/17 7,280 8,343
Northern Trust Co. 6.500% 8/15/18 4,000 4,816
Northern Trust Corp. 3.450% 11/4/20 8,000 8,423

 

 

Northern Trust Corp. 3.375% 8/23/21 13,036 13,329
People's United Financial Inc. 3.650% 12/6/22 25,905 25,030
PNC Bank NA 6.000% 12/7/17 4,500 5,219
PNC Bank NA 6.875% 4/1/18 12,085 14,507
PNC Bank NA 2.700% 11/1/22 32,000 29,482
PNC Bank NA 2.950% 1/30/23 15,000 14,094
PNC Bank NA 3.800% 7/25/23 15,750 15,662
PNC Financial Services Group Inc. 2.854% 11/9/22 2,000 1,876
PNC Funding Corp. 6.700% 6/10/19 12,000 14,569
PNC Funding Corp. 5.125% 2/8/20 18,653 21,013
PNC Funding Corp. 4.375% 8/11/20 23,000 24,910
PNC Funding Corp. 3.300% 3/8/22 14,570 14,320
Regions Bank 7.500% 5/15/18 8,775 10,448
Regions Financial Corp. 2.000% 5/15/18 2,000 1,970
Royal Bank of Canada 2.200% 7/27/18 22,245 22,516
Royal Bank of Scotland Group plc 4.700% 7/3/18 2,000 2,051
Royal Bank of Scotland Group plc 6.400% 10/21/19 18,500 21,419
Royal Bank of Scotland NV 4.650% 6/4/18 1,550 1,608
Royal Bank of Scotland plc 5.625% 8/24/20 36,026 40,394
Royal Bank of Scotland plc 6.125% 1/11/21 29,500 33,737
Societe Generale SA 2.625% 10/1/18 4,210 4,254
7 Societe Generale SA 5.200% 4/15/21 7,800 8,582
Sovereign Bank 8.750% 5/30/18 5,000 5,944
State Street Corp. 1.350% 5/15/18 3,000 2,935
State Street Corp. 4.375% 3/7/21 22,340 24,290
State Street Corp. 3.100% 5/15/23 13,125 12,387
Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 13,500 13,150
Sumitomo Mitsui Banking Corp. 3.950% 7/19/23 3,700 3,745
7 Swedbank AB 2.125% 9/29/17 1,220 1,235
UBS AG 5.875% 12/20/17 13,050 15,099
UBS AG 4.875% 8/4/20 56,100 63,067
Union Bank NA 5.950% 5/11/16 1,131 1,253
Union Bank NA 2.125% 6/16/17 3,695 3,763
Union Bank NA 2.625% 9/26/18 4,000 4,097
UnionBanCal Corp. 3.500% 6/18/22 21,891 21,892
US Bancorp 4.125% 5/24/21 20,513 22,021
US Bancorp 3.000% 3/15/22 21,124 20,741
US Bancorp 2.950% 7/15/22 35,200 33,330
5 US Bank NA 3.778% 4/29/20 6,395 6,656
Wachovia Bank NA 6.000% 11/15/17 8,000 9,249
Wachovia Corp. 5.625% 10/15/16 8,000 8,964
Wachovia Corp. 5.750% 2/1/18 11,025 12,883
8 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.500% 1/15/13 6,147 1
8 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.650% 8/15/14 7,500 1
8 Washington Mutual Bank / Debt not acquired        
by JPMorgan 5.125% 1/15/15 9,000 1
Wells Fargo & Co. 5.625% 12/11/17 11,400 13,160
Wells Fargo & Co. 2.150% 1/15/19 14,231 14,281
Wells Fargo & Co. 4.600% 4/1/21 46,013 50,424
Wells Fargo & Co. 3.500% 3/8/22 37,657 38,287
Wells Fargo & Co. 3.450% 2/13/23 36,700 34,932
Wells Fargo & Co. 4.125% 8/15/23 15,500 15,519
Westpac Banking Corp. 1.600% 1/12/18 3,390 3,370
Westpac Banking Corp. 2.250% 7/30/18 9,010 9,132
Westpac Banking Corp. 4.875% 11/19/19 32,795 36,941

 

 

Brokerage (1.2%)        
Ameriprise Financial Inc. 7.300% 6/28/19 6,200 7,758
Ameriprise Financial Inc. 5.300% 3/15/20 26,570 30,334
Ameriprise Financial Inc. 4.000% 10/15/23 14,000 14,347
BlackRock Inc. 6.250% 9/15/17 4,395 5,132
BlackRock Inc. 5.000% 12/10/19 7,000 8,018
BlackRock Inc. 4.250% 5/24/21 27,250 29,481
BlackRock Inc. 3.375% 6/1/22 17,000 17,236
Charles Schwab Corp. 6.375% 9/1/17 6,000 6,981
Charles Schwab Corp. 2.200% 7/25/18 1,300 1,318
Charles Schwab Corp. 4.450% 7/22/20 11,500 12,573
Charles Schwab Corp. 3.225% 9/1/22 15,000 14,712
Franklin Resources Inc. 4.625% 5/20/20 7,550 8,251
Franklin Resources Inc. 2.800% 9/15/22 11,000 10,459
Invesco Finance plc 3.125% 11/30/22 22,485 21,248
Jefferies Group LLC 6.875% 4/15/21 3,000 3,380
Jefferies Group LLC 5.125% 1/20/23 3,000 3,019
8 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
 
Finance Companies (1.9%)        
General Electric Capital Corp. 5.400% 2/15/17 2,760 3,115
General Electric Capital Corp. 2.300% 4/27/17 2,000 2,062
General Electric Capital Corp. 5.625% 9/15/17 6,192 7,112
General Electric Capital Corp. 5.625% 5/1/18 12,975 14,991
General Electric Capital Corp. 6.000% 8/7/19 12,900 15,253
General Electric Capital Corp. 5.500% 1/8/20 20,772 23,997
General Electric Capital Corp. 5.550% 5/4/20 4,000 4,632
General Electric Capital Corp. 4.375% 9/16/20 24,250 26,384
General Electric Capital Corp. 4.625% 1/7/21 15,192 16,662
General Electric Capital Corp. 5.300% 2/11/21 13,500 15,029
General Electric Capital Corp. 4.650% 10/17/21 35,847 39,341
General Electric Capital Corp. 3.150% 9/7/22 13,845 13,542
General Electric Capital Corp. 3.100% 1/9/23 1,000 964
5 General Electric Capital Corp. 6.375% 11/15/67 7,000 7,595
HSBC Finance Corp. 6.676% 1/15/21 89,189 103,680
SLM Corp. 6.250% 1/25/16 9,000 9,835
SLM Corp. 6.000% 1/25/17 9,020 9,833
SLM Corp. 4.625% 9/25/17 5,000 5,181
 
Insurance (4.8%)        
ACE INA Holdings Inc. 2.700% 3/13/23 11,195 10,616
Aetna Inc. 6.500% 9/15/18 10,318 12,300
Aetna Inc. 3.950% 9/1/20 12,000 12,676
Aetna Inc. 2.750% 11/15/22 31,000 28,941
Aflac Inc. 8.500% 5/15/19 9,940 12,918
Aflac Inc. 4.000% 2/15/22 5,000 5,182
Aflac Inc. 3.625% 6/15/23 16,000 15,777
Alleghany Corp. 4.950% 6/27/22 2,586 2,764
Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,000 2,198
Allstate Corp. 3.150% 6/15/23 10,000 9,805
5 Allstate Corp. 5.750% 8/15/53 5,000 5,113
Alterra Finance LLC 6.250% 9/30/20 8,000 9,077
American Financial Group Inc. 9.875% 6/15/19 10,000 13,109
American International Group Inc. 3.800% 3/22/17 2,980 3,187
American International Group Inc. 5.450% 5/18/17 5,000 5,634
American International Group Inc. 5.850% 1/16/18 14,174 16,336
American International Group Inc. 8.250% 8/15/18 19,700 24,913
American International Group Inc. 3.375% 8/15/20 3,000 3,050

 

 

American International Group Inc. 6.400% 12/15/20 15,000 17,948
American International Group Inc. 4.875% 6/1/22 4,650 5,088
Axis Specialty Finance LLC 5.875% 6/1/20 21,240 23,652
Berkshire Hathaway Finance Corp. 4.250% 1/15/21 12,000 13,005
Berkshire Hathaway Finance Corp. 3.000% 5/15/22 11,360 11,143
Berkshire Hathaway Inc. 3.750% 8/15/21 20,000 20,964
Berkshire Hathaway Inc. 3.400% 1/31/22 7,706 7,817
5 Chubb Corp. 6.375% 3/29/67 4,900 5,341
Cigna Corp. 4.500% 3/15/21 5,000 5,396
Cigna Corp. 4.000% 2/15/22 10,645 10,963
CNA Financial Corp. 5.875% 8/15/20 5,000 5,790
Coventry Health Care Inc. 5.450% 6/15/21 5,000 5,604
Genworth Holdings Inc. 7.700% 6/15/20 3,000 3,610
Genworth Holdings Inc. 7.200% 2/15/21 3,000 3,551
Genworth Holdings Inc. 7.625% 9/24/21 5,000 6,121
Genworth Holdings Inc. 4.900% 8/15/23 5,000 5,189
Hartford Financial Services Group Inc. 5.125% 4/15/22 10,880 12,155
Humana Inc. 3.150% 12/1/22 1,000 945
Infinity Property & Casualty Corp. 5.000% 9/19/22 10,547 10,660
7 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,668
Lincoln National Corp. 6.250% 2/15/20 5,000 5,867
Lincoln National Corp. 4.200% 3/15/22 2,000 2,070
Loews Corp. 2.625% 5/15/23 8,000 7,376
Manulife Financial Corp. 4.900% 9/17/20 24,150 26,276
Marsh & McLennan Cos. Inc. 4.050% 10/15/23 5,000 5,062
7 MassMutual Global Funding II 2.500% 10/17/22 4,000 3,695
MetLife Inc. 7.717% 2/15/19 23,939 30,240
MetLife Inc. 4.750% 2/8/21 25,000 27,595
MetLife Inc. 3.048% 12/15/22 7,000 6,718
MetLife Inc. 4.368% 9/15/23 21,430 22,574
7 Metropolitan Life Global Funding I 3.000% 1/10/23 3,500 3,351
7 Nationwide Financial Services Inc. 5.375% 3/25/21 9,938 10,772
OneBeacon US Holdings Inc. 4.600% 11/9/22 4,000 4,000
7 Pacific LifeCorp 6.000% 2/10/20 9,800 10,992
PartnerRe Finance A LLC 6.875% 6/1/18 3,857 4,518
PartnerRe Finance B LLC 5.500% 6/1/20 16,550 18,275
Principal Financial Group Inc. 8.875% 5/15/19 11,195 14,669
Principal Financial Group Inc. 3.300% 9/15/22 14,870 14,535
Principal Financial Group Inc. 3.125% 5/15/23 4,000 3,817
Progressive Corp. 3.750% 8/23/21 13,250 13,806
5 Progressive Corp. 6.700% 6/15/67 6,500 7,004
Prudential Financial Inc. 4.500% 11/15/20 5,000 5,439
5 Prudential Financial Inc. 5.875% 9/15/42 6,000 6,105
5 Prudential Financial Inc. 5.625% 6/15/43 7,875 7,826
5 Prudential Financial Inc. 5.200% 3/15/44 5,000 4,825
Reinsurance Group of America Inc. 5.000% 6/1/21 5,000 5,375
Reinsurance Group of America Inc. 4.700% 9/15/23 7,000 7,264
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 13,152
7 Swiss Re Treasury US Corp. 2.875% 12/6/22 2,000 1,896
Torchmark Corp. 9.250% 6/15/19 3,000 3,942
Travelers Cos. Inc. 5.800% 5/15/18 2,328 2,726
Travelers Cos. Inc. 5.900% 6/2/19 3,000 3,574
Travelers Cos. Inc. 3.900% 11/1/20 4,405 4,740
Trinity Acquisition plc 4.625% 8/15/23 3,000 3,018
UnitedHealth Group Inc. 3.875% 10/15/20 14,000 14,872
UnitedHealth Group Inc. 4.700% 2/15/21 13,000 14,231
UnitedHealth Group Inc. 3.375% 11/15/21 8,000 8,026
UnitedHealth Group Inc. 2.875% 3/15/22 34,316 33,236

 

 

UnitedHealth Group Inc. 2.750% 2/15/23 12,000 11,302
UnitedHealth Group Inc. 2.875% 3/15/23 14,000 13,308
WellPoint Inc. 4.350% 8/15/20 2,000 2,149
WellPoint Inc. 3.700% 8/15/21 8,090 8,205
WR Berkley Corp. 4.625% 3/15/22 2,977 3,119
 
Other Finance (0.3%)        
CME Group Inc. 3.000% 9/15/22 10,805 10,413
IntercontinentalExchange Group Inc. 4.000% 10/15/23 34,330 34,925
NYSE Euronext 2.000% 10/5/17 8,000 8,030
ORIX Corp. 3.750% 3/9/17 5,500 5,744
 
Real Estate Investment Trusts (2.1%)        
American Campus Communities Operating        
Partnership LP 3.750% 4/15/23 2,000 1,923
BioMed Realty LP 4.250% 7/15/22 9,082 8,914
Boston Properties LP 3.700% 11/15/18 4,000 4,253
Boston Properties LP 4.125% 5/15/21 6,000 6,175
Boston Properties LP 3.850% 2/1/23 6,373 6,378
Brandywine Operating Partnership LP 4.950% 4/15/18 5,000 5,407
Brandywine Operating Partnership LP 3.950% 2/15/23 2,000 1,916
Camden Property Trust 4.875% 6/15/23 5,000 5,297
Corporate Office Properties LP 3.600% 5/15/23 11,025 10,223
DDR Corp. 7.500% 4/1/17 1,750 2,055
DDR Corp. 4.750% 4/15/18 3,000 3,273
DDR Corp. 7.875% 9/1/20 5,000 6,157
Duke Realty LP 6.500% 1/15/18 5 6
Duke Realty LP 4.375% 6/15/22 11,838 11,885
Federal Realty Investment Trust 3.000% 8/1/22 13,924 13,014
7 Goodman Funding Pty Ltd. 6.375% 4/15/21 2,400 2,690
7 Goodman Funding Pty Ltd. 6.000% 3/22/22 5,000 5,501
HCP Inc. 3.750% 2/1/19 3,000 3,131
HCP Inc. 2.625% 2/1/20 7,000 6,767
HCP Inc. 5.375% 2/1/21 11,600 12,840
HCP Inc. 3.150% 8/1/22 2,000 1,867
Health Care REIT Inc. 6.125% 4/15/20 5,000 5,758
Health Care REIT Inc. 4.950% 1/15/21 8,000 8,564
Health Care REIT Inc. 3.750% 3/15/23 5,000 4,768
Healthcare Realty Trust Inc. 5.750% 1/15/21 5,000 5,516
Healthcare Realty Trust Inc. 3.750% 4/15/23 7,000 6,631
Kilroy Realty LP 6.625% 6/1/20 7,470 8,617
Kilroy Realty LP 3.800% 1/15/23 8,736 8,343
Liberty Property LP 4.750% 10/1/20 9,565 10,215
Liberty Property LP 4.400% 2/15/24 4,000 4,043
Mid-America Apartments LP 4.300% 10/15/23 6,000 6,010
ProLogis LP 6.250% 3/15/17 1,520 1,728
ProLogis LP 6.625% 5/15/18 12,284 14,475
Realty Income Corp. 5.750% 1/15/21 3,000 3,371
Realty Income Corp. 3.250% 10/15/22 12,000 11,158
Senior Housing Properties Trust 6.750% 12/15/21 4,000 4,465
Simon Property Group LP 10.350% 4/1/19 10,815 14,852
Simon Property Group LP 5.650% 2/1/20 31,200 36,008
Simon Property Group LP 4.375% 3/1/21 26,594 28,638
Simon Property Group LP 4.125% 12/1/21 20,822 22,017
Simon Property Group LP 3.375% 3/15/22 7,000 6,983
Simon Property Group LP 2.750% 2/1/23 3,500 3,284
UDR Inc. 4.625% 1/10/22 3,455 3,612
Ventas Realty LP / Ventas Capital Corp. 4.750% 6/1/21 3,000 3,211

 

 

Ventas Realty LP / Ventas Capital Corp. 4.250% 3/1/22 3,000 3,072
Ventas Realty LP / Ventas Capital Corp. 3.250% 8/15/22 5,000 4,750
        4,465,809
Industrial (41.8%)        
Basic Industry (3.6%)        
Air Products & Chemicals Inc. 4.375% 8/21/19 7,325 7,996
Air Products & Chemicals Inc. 3.000% 11/3/21 10,235 10,092
Barrick Gold Corp. 3.850% 4/1/22 18,500 16,829
Barrick Gold Corp. 4.100% 5/1/23 5,000 4,530
Barrick North America Finance LLC 4.400% 5/30/21 11,930 11,484
Barrick PD Australia Finance Pty Ltd. 4.950% 1/15/20 1,062 1,073
BHP Billiton Finance USA Ltd. 1.625% 2/24/17 4,122 4,172
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 5,555 6,300
BHP Billiton Finance USA Ltd. 3.250% 11/21/21 29,030 29,237
BHP Billiton Finance USA Ltd. 2.875% 2/24/22 30,050 29,237
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 22,500 22,873
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 3,500 3,536
Celulosa Arauco y Constitucion SA 4.750% 1/11/22 4,000 3,949
CF Industries Inc. 7.125% 5/1/20 11,480 13,690
CF Industries Inc. 3.450% 6/1/23 5,685 5,404
Dow Chemical Co. 4.125% 11/15/21 5,250 5,430
Dow Chemical Co. 3.000% 11/15/22 4,000 3,749
Eastman Chemical Co. 4.500% 1/15/21 8,139 8,563
Eastman Chemical Co. 3.600% 8/15/22 3,500 3,418
EI du Pont de Nemours & Co. 4.625% 1/15/20 19,618 21,677
EI du Pont de Nemours & Co. 3.625% 1/15/21 13,635 14,237
EI du Pont de Nemours & Co. 4.250% 4/1/21 4,000 4,316
EI du Pont de Nemours & Co. 2.800% 2/15/23 12,225 11,544
Freeport-McMoRan Copper & Gold Inc. 3.100% 3/15/20 4,300 4,160
Freeport-McMoRan Copper & Gold Inc. 3.550% 3/1/22 13,000 12,246
Freeport-McMoRan Copper & Gold Inc. 3.875% 3/15/23 16,000 15,150
Goldcorp Inc. 3.700% 3/15/23 4,000 3,738
International Paper Co. 9.375% 5/15/19 7,000 9,279
International Paper Co. 4.750% 2/15/22 4,000 4,283
LyondellBasell Industries NV 5.000% 4/15/19 8,000 8,900
LyondellBasell Industries NV 6.000% 11/15/21 5,000 5,806
Nucor Corp. 4.125% 9/15/22 19,250 19,501
Plains Exploration & Production Co. 6.125% 6/15/19 2,105 2,302
Plains Exploration & Production Co. 6.500% 11/15/20 8,945 9,839
Plains Exploration & Production Co. 6.625% 5/1/21 4,000 4,370
Plains Exploration & Production Co. 6.750% 2/1/22 7,615 8,396
Plains Exploration & Production Co. 6.875% 2/15/23 7,600 8,417
Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 7,410 8,868
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 3,110 3,440
Praxair Inc. 4.500% 8/15/19 3,000 3,388
Praxair Inc. 4.050% 3/15/21 8,000 8,492
Praxair Inc. 3.000% 9/1/21 16,915 16,881
Praxair Inc. 2.450% 2/15/22 11,215 10,608
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 13,000 17,036
Rio Tinto Finance USA Ltd. 3.500% 11/2/20 19,000 19,356
Rio Tinto Finance USA Ltd. 4.125% 5/20/21 26,935 27,954
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 22,820 23,054
Rio Tinto Finance USA plc 2.250% 12/14/18 7,500 7,521
Rio Tinto Finance USA plc 3.500% 3/22/22 25,000 24,644
Rio Tinto Finance USA plc 2.875% 8/21/22 15,000 14,058
Syngenta Finance NV 3.125% 3/28/22 8,895 8,782
Teck Resources Ltd. 3.000% 3/1/19 2,000 1,996

 

 

Teck Resources Ltd. 4.500% 1/15/21 2,000 2,025
Teck Resources Ltd. 3.750% 2/1/23 5,000 4,723
Vale Overseas Ltd. 5.625% 9/15/19 18,000 19,745
Vale Overseas Ltd. 4.625% 9/15/20 5,000 5,174
Vale Overseas Ltd. 4.375% 1/11/22 10,500 10,284
7 Xstrata Finance Canada Ltd. 4.950% 11/15/21 5,000 5,100
 
Capital Goods (5.3%)        
ABB Finance USA Inc. 2.875% 5/8/22 5,000 4,866
7 ABB Treasury Center USA Inc. 4.000% 6/15/21 7,000 7,347
Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 10,990
Boeing Capital Corp. 2.900% 8/15/18 6,907 7,254
Boeing Capital Corp. 4.700% 10/27/19 4,032 4,582
Boeing Co. 3.750% 11/20/16 3,300 3,584
Boeing Co. 0.950% 5/15/18 9,985 9,673
Boeing Co. 6.000% 3/15/19 2,750 3,285
Boeing Co. 4.875% 2/15/20 21,680 24,777
Caterpillar Financial Services Corp. 5.500% 3/15/16 2,000 2,214
Caterpillar Financial Services Corp. 5.850% 9/1/17 2,000 2,313
Caterpillar Financial Services Corp. 1.250% 11/6/17 2,775 2,739
Caterpillar Financial Services Corp. 5.450% 4/15/18 14,406 16,609
Caterpillar Financial Services Corp. 7.150% 2/15/19 14,000 17,333
Caterpillar Inc. 7.900% 12/15/18 10,215 13,061
Caterpillar Inc. 3.900% 5/27/21 6,000 6,334
CRH America Inc. 6.000% 9/30/16 18,126 20,455
Danaher Corp. 2.300% 6/23/16 9,350 9,682
Danaher Corp. 5.400% 3/1/19 2,535 2,936
Danaher Corp. 3.900% 6/23/21 19,577 20,813
Deere & Co. 4.375% 10/16/19 11,850 13,245
Deere & Co. 2.600% 6/8/22 25,000 23,974
Dover Corp. 4.300% 3/1/21 7,000 7,599
7 EADS Finance BV 2.700% 4/17/23 18,000 16,851
7 Embraer Overseas Ltd. 5.696% 9/16/23 7,025 7,059
Embraer SA 5.150% 6/15/22 8,000 8,067
Emerson Electric Co. 4.875% 10/15/19 4,000 4,584
Emerson Electric Co. 2.625% 2/15/23 17,990 17,349
Flowserve Corp. 3.500% 9/15/22 5,000 4,808
General Dynamics Corp. 1.000% 11/15/17 4,075 3,996
General Dynamics Corp. 3.875% 7/15/21 23,155 24,344
General Dynamics Corp. 2.250% 11/15/22 20,000 18,344
General Electric Co. 5.250% 12/6/17 12,925 14,773
General Electric Co. 2.700% 10/9/22 40,000 38,370
Harsco Corp. 5.750% 5/15/18 7,065 7,573
Honeywell International Inc. 5.300% 3/1/18 9,772 11,254
Honeywell International Inc. 5.000% 2/15/19 7,409 8,477
Honeywell International Inc. 4.250% 3/1/21 22,075 24,274
Illinois Tool Works Inc. 6.250% 4/1/19 9,950 11,943
Illinois Tool Works Inc. 3.375% 9/15/21 5,000 5,120
7 Ingersoll-Rand Global Holding Co. Ltd. 4.250% 6/15/23 7,000 7,028
John Deere Capital Corp. 2.000% 1/13/17 9,500 9,758
John Deere Capital Corp. 1.200% 10/10/17 1,250 1,236
John Deere Capital Corp. 5.350% 4/3/18 3,000 3,457
John Deere Capital Corp. 5.750% 9/10/18 8,000 9,388
John Deere Capital Corp. 2.250% 4/17/19 8,400 8,478
John Deere Capital Corp. 1.700% 1/15/20 7,000 6,661
John Deere Capital Corp. 3.900% 7/12/21 12,180 12,885
John Deere Capital Corp. 3.150% 10/15/21 8,050 8,084
John Deere Capital Corp. 2.750% 3/15/22 12,800 12,381

 

 

John Deere Capital Corp. 2.800% 1/27/23 4,000 3,827
L-3 Communications Corp. 5.200% 10/15/19 8,500 9,270
L-3 Communications Corp. 4.750% 7/15/20 4,000 4,228
Lockheed Martin Corp. 7.650% 5/1/16 5,000 5,826
Lockheed Martin Corp. 4.250% 11/15/19 22,810 25,032
Lockheed Martin Corp. 3.350% 9/15/21 15,000 15,115
Mohawk Industries Inc. 3.850% 2/1/23 15,000 14,490
Owens Corning 6.500% 12/1/16 2,102 2,354
Owens Corning 9.000% 6/15/19 1,179 1,456
Precision Castparts Corp. 1.250% 1/15/18 12,735 12,504
Precision Castparts Corp. 2.500% 1/15/23 22,000 20,449
Raytheon Co. 6.400% 12/15/18 5,725 6,900
Raytheon Co. 4.400% 2/15/20 5,845 6,380
Raytheon Co. 3.125% 10/15/20 17,285 17,573
Raytheon Co. 2.500% 12/15/22 23,300 21,566
Republic Services Inc. 5.500% 9/15/19 7,400 8,439
Republic Services Inc. 5.000% 3/1/20 4,400 4,853
Republic Services Inc. 5.250% 11/15/21 4,000 4,433
Republic Services Inc. 3.550% 6/1/22 3,000 2,941
Rockwell Automation Inc. 5.650% 12/1/17 5,000 5,757
Rockwell Collins Inc. 3.100% 11/15/21 4,000 3,942
Roper Industries Inc. 2.050% 10/1/18 3,175 3,146
Roper Industries Inc. 6.250% 9/1/19 2,700 3,158
Roper Industries Inc. 3.125% 11/15/22 3,000 2,836
7 Schneider Electric SA 2.950% 9/27/22 15,000 14,210
Stanley Black & Decker Inc. 2.900% 11/1/22 7,000 6,638
United Technologies Corp. 1.800% 6/1/17 4,000 4,073
United Technologies Corp. 5.375% 12/15/17 3,005 3,465
United Technologies Corp. 6.125% 2/1/19 5,500 6,605
United Technologies Corp. 4.500% 4/15/20 20,500 22,915
United Technologies Corp. 3.100% 6/1/22 64,930 64,163
Waste Management Inc. 7.375% 3/11/19 4,250 5,179
Waste Management Inc. 2.900% 9/15/22 6,500 6,092
 
Communication (5.5%)        
America Movil SAB de CV 5.625% 11/15/17 7,424 8,438
America Movil SAB de CV 5.000% 10/16/19 12,000 13,219
America Movil SAB de CV 5.000% 3/30/20 24,500 26,825
America Movil SAB de CV 3.125% 7/16/22 39,300 36,984
American Tower Corp. 4.500% 1/15/18 10,000 10,755
American Tower Corp. 3.500% 1/31/23 7,000 6,450
AT&T Inc. 1.700% 6/1/17 10,000 10,042
AT&T Inc. 5.500% 2/1/18 22,085 25,163
AT&T Inc. 5.800% 2/15/19 27,849 32,367
AT&T Inc. 4.450% 5/15/21 22,500 23,692
AT&T Inc. 3.875% 8/15/21 25,729 26,049
AT&T Inc. 3.000% 2/15/22 41,396 38,868
AT&T Inc. 2.625% 12/1/22 21,000 18,852
7 British Sky Broadcasting Group plc 6.100% 2/15/18 4,470 5,129
7 British Sky Broadcasting Group plc 9.500% 11/15/18 9,640 12,650
7 British Sky Broadcasting Group plc 3.125% 11/26/22 5,000 4,671
CBS Corp. 8.875% 5/15/19 3,458 4,441
CBS Corp. 4.300% 2/15/21 3,000 3,139
CBS Corp. 3.375% 3/1/22 3,000 2,931
Cellco Partnership / Verizon Wireless Capital        
LLC 8.500% 11/15/18 19,000 24,397
Comcast Cable Communications LLC 8.875% 5/1/17 3,400 4,249
Comcast Corp. 5.700% 5/15/18 2,767 3,232

 

 

Comcast Corp. 5.700% 7/1/19 12,568 14,728
Comcast Corp. 5.150% 3/1/20 23,720 27,078
Comcast Corp. 3.125% 7/15/22 39,126 38,615
Comcast Corp. 2.850% 1/15/23 9,487 9,130
7 Deutsche Telekom International Finance BV 2.250% 3/6/17 7,395 7,538
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 3,000 3,403
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.200% 3/15/20 4,500 4,848
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 9,375 9,620
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.000% 3/1/21 6,035 6,329
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.800% 3/15/22 1,800 1,729
Discovery Communications LLC 4.375% 6/15/21 5,000 5,287
Discovery Communications LLC 3.300% 5/15/22 5,000 4,845
Interpublic Group of Cos. Inc. 3.750% 2/15/23 5,000 4,751
Moody's Corp. 4.500% 9/1/22 16,700 16,883
NBCUniversal Media LLC 5.150% 4/30/20 27,060 30,948
NBCUniversal Media LLC 4.375% 4/1/21 39,600 43,084
NBCUniversal Media LLC 2.875% 1/15/23 15,000 14,418
21st Century Fox America Inc. 6.900% 3/1/19 7,000 8,514
21st Century Fox America Inc. 3.000% 9/15/22 6,000 5,725
Omnicom Group Inc. 4.450% 8/15/20 14,200 14,964
Qwest Corp. 6.750% 12/1/21 12,628 13,792
Telefonica Emisiones SAU 5.877% 7/15/19 9,000 10,071
Telefonica Emisiones SAU 5.134% 4/27/20 9,000 9,499
Telefonica Emisiones SAU 5.462% 2/16/21 5,000 5,312
Telefonica Emisiones SAU 4.570% 4/27/23 3,000 2,989
Time Warner Cable Inc. 5.850% 5/1/17 2,000 2,201
Time Warner Cable Inc. 6.750% 7/1/18 13,000 14,622
Time Warner Cable Inc. 8.250% 4/1/19 15,000 17,562
Time Warner Cable Inc. 5.000% 2/1/20 8,363 8,556
Time Warner Cable Inc. 4.000% 9/1/21 4,000 3,754
Verizon Communications Inc. 5.500% 4/1/17 1,200 1,352
Verizon Communications Inc. 5.500% 2/15/18 5,825 6,626
Verizon Communications Inc. 6.100% 4/15/18 3,640 4,235
Verizon Communications Inc. 8.750% 11/1/18 15,594 20,114
Verizon Communications Inc. 6.350% 4/1/19 18,806 22,196
Verizon Communications Inc. 4.600% 4/1/21 10,000 10,733
Verizon Communications Inc. 3.500% 11/1/21 17,971 17,910
Verizon Communications Inc. 2.450% 11/1/22 7,200 6,492
Verizon Communications Inc. 5.150% 9/15/23 25,000 27,156
Vodafone Group plc 1.250% 9/26/17 8,200 8,031
Vodafone Group plc 1.500% 2/19/18 11,750 11,543
Vodafone Group plc 5.450% 6/10/19 6,000 6,892
Vodafone Group plc 4.375% 3/16/21 4,500 4,811
Vodafone Group plc 2.500% 9/26/22 34,000 31,032
Vodafone Group plc 2.950% 2/19/23 26,000 24,150
WPP Finance 2010 4.750% 11/21/21 5,000 5,221
WPP Finance 2010 3.625% 9/7/22 9,172 8,819
 
Consumer Cyclical (4.6%)        
American Honda Finance Corp. 2.125% 10/10/18 7,500 7,551
AutoZone Inc. 4.000% 11/15/20 7,000 7,252
AutoZone Inc. 3.700% 4/15/22 3,000 2,970
AutoZone Inc. 2.875% 1/15/23 8,500 7,833

 

 

Brinker International Inc. 3.875% 5/15/23 7,000 6,541
Cummins Inc. 3.650% 10/1/23 7,500 7,644
7 Daimler Finance North America LLC 2.375% 8/1/18 17,325 17,422
7 Daimler Finance North America LLC 3.875% 9/15/21 1,900 1,955
Dollar General Corp. 3.250% 4/15/23 8,500 7,845
eBay Inc. 2.600% 7/15/22 10,000 9,381
Ford Motor Credit Co. LLC 3.000% 6/12/17 5,250 5,458
Ford Motor Credit Co. LLC 6.625% 8/15/17 13,056 15,191
Ford Motor Credit Co. LLC 5.000% 5/15/18 17,348 19,218
Ford Motor Credit Co. LLC 8.125% 1/15/20 5,500 6,962
Ford Motor Credit Co. LLC 5.750% 2/1/21 19,545 22,229
Ford Motor Credit Co. LLC 5.875% 8/2/21 18,000 20,654
Ford Motor Credit Co. LLC 4.375% 8/6/23 5,000 5,150
Gap Inc. 5.950% 4/12/21 25,000 27,703
7 General Motors Co. 3.500% 10/2/18 6,570 6,701
7 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 3,618 3,736
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 11,725 13,976
Home Depot Inc. 2.700% 4/1/23 14,625 13,865
Host Hotels & Resorts LP 3.750% 10/15/23 10,000 9,500
7 Hyundai Capital America 3.750% 4/6/16 1,740 1,824
7 Hyundai Capital America 4.000% 6/8/17 4,798 5,069
7 Hyundai Capital Services Inc. 6.000% 5/5/15 3,000 3,204
7 Hyundai Capital Services Inc. 4.375% 7/27/16 2,160 2,311
7 Kia Motors Corp. 3.625% 6/14/16 3,200 3,343
Lowe's Cos. Inc. 4.625% 4/15/20 9,750 10,836
Lowe's Cos. Inc. 3.750% 4/15/21 5,950 6,234
Lowe's Cos. Inc. 3.800% 11/15/21 11,650 12,100
Lowe's Cos. Inc. 3.120% 4/15/22 24,000 23,634
Lowe's Cos. Inc. 3.875% 9/15/23 7,000 7,200
Macy's Retail Holdings Inc. 3.875% 1/15/22 6,000 5,981
Macy's Retail Holdings Inc. 2.875% 2/15/23 12,500 11,374
Macy's Retail Holdings Inc. 4.375% 9/1/23 1,500 1,528
Marriott International Inc. 6.375% 6/15/17 3,040 3,439
Marriott International Inc. 3.000% 3/1/19 2,500 2,544
Marriott International Inc. 3.250% 9/15/22 3,500 3,334
McDonald's Corp. 3.625% 5/20/21 4,500 4,748
McDonald's Corp. 2.625% 1/15/22 9,000 8,751
NIKE Inc. 2.250% 5/1/23 6,200 5,727
Nordstrom Inc. 4.750% 5/1/20 15,000 16,679
Nordstrom Inc. 4.000% 10/15/21 7,500 7,913
NVR Inc. 3.950% 9/15/22 10,000 9,730
O'Reilly Automotive Inc. 4.625% 9/15/21 7,000 7,390
O'Reilly Automotive Inc. 3.850% 6/15/23 7,000 6,874
PACCAR Financial Corp. 1.600% 3/15/17 2,500 2,519
Staples Inc. 2.750% 1/12/18 7,000 7,089
Starbucks Corp. 3.850% 10/1/23 12,000 12,339
Target Corp. 2.900% 1/15/22 4,500 4,429
Time Warner Inc. 4.875% 3/15/20 5,000 5,527
Time Warner Inc. 4.750% 3/29/21 6,500 7,052
Time Warner Inc. 4.000% 1/15/22 5,000 5,141
TJX Cos. Inc. 6.950% 4/15/19 15,663 19,048
TJX Cos. Inc. 2.500% 5/15/23 13,000 12,147
Toyota Motor Credit Corp. 4.500% 6/17/20 9,000 9,924
Toyota Motor Credit Corp. 4.250% 1/11/21 5,155 5,590
Toyota Motor Credit Corp. 3.400% 9/15/21 12,460 12,720
Toyota Motor Credit Corp. 3.300% 1/12/22 16,000 16,115
VF Corp. 3.500% 9/1/21 9,255 9,382
Viacom Inc. 3.125% 6/15/22 4,365 4,129

 

 

Viacom Inc. 4.250% 9/1/23 15,000 15,327
7 Volkswagen International Finance NV 2.875% 4/1/16 3,000 3,129
7 Volkswagen International Finance NV 1.600% 11/20/17 6,300 6,261
7 Volkswagen International Finance NV 4.000% 8/12/20 7,500 8,014
Wal-Mart Stores Inc. 3.625% 7/8/20 5,515 5,870
Wal-Mart Stores Inc. 3.250% 10/25/20 28,195 29,359
Wal-Mart Stores Inc. 4.250% 4/15/21 19,824 21,815
Wal-Mart Stores Inc. 2.550% 4/11/23 57,500 53,855
Walgreen Co. 5.250% 1/15/19 4,125 4,677
Walgreen Co. 3.100% 9/15/22 19,000 18,119
Walt Disney Co. 2.750% 8/16/21 11,500 11,366
Walt Disney Co. 2.550% 2/15/22 3,000 2,881
Walt Disney Co. 2.350% 12/1/22 10,000 9,321
7 Wesfarmers Ltd. 1.874% 3/20/18 6,000 5,946
Wyndham Worldwide Corp. 5.625% 3/1/21 2,500 2,719
Wyndham Worldwide Corp. 4.250% 3/1/22 4,000 3,972
Wyndham Worldwide Corp. 3.900% 3/1/23 2,000 1,933
 
Consumer Noncyclical (11.6%)        
AbbVie Inc. 2.000% 11/6/18 12,500 12,483
AbbVie Inc. 2.900% 11/6/22 25,000 23,815
Actavis Inc. 1.875% 10/1/17 5,000 4,984
Actavis Inc. 3.250% 10/1/22 15,000 14,208
Allergan Inc. 5.750% 4/1/16 12,000 13,372
Allergan Inc. 3.375% 9/15/20 9,000 9,367
Allergan Inc. 2.800% 3/15/23 5,000 4,781
Altria Group Inc. 9.700% 11/10/18 13,654 18,337
Altria Group Inc. 9.250% 8/6/19 8,014 10,687
Altria Group Inc. 4.750% 5/5/21 11,800 12,726
Altria Group Inc. 2.850% 8/9/22 10,000 9,298
AmerisourceBergen Corp. 5.875% 9/15/15 3,000 3,278
AmerisourceBergen Corp. 4.875% 11/15/19 6,270 7,080
AmerisourceBergen Corp. 3.500% 11/15/21 10,000 10,127
Amgen Inc. 2.125% 5/15/17 5,300 5,414
Amgen Inc. 5.850% 6/1/17 3,460 3,976
Amgen Inc. 6.150% 6/1/18 5,000 5,890
Amgen Inc. 5.700% 2/1/19 8,080 9,347
Amgen Inc. 3.450% 10/1/20 8,750 9,011
Amgen Inc. 3.625% 5/15/22 12,000 12,067
Anheuser-Busch Cos. LLC 5.600% 3/1/17 5,375 6,122
Anheuser-Busch Cos. LLC 5.500% 1/15/18 80 93
Anheuser-Busch Cos. LLC 5.000% 3/1/19 3,145 3,556
Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 18,375 17,385
Anheuser-Busch InBev Worldwide Inc. 5.375% 11/15/14 6,100 6,404
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 28,570 36,152
Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 18,514 23,115
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 42,085 48,650
Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 18,286 20,817
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 5,000 5,464
Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 39,177 36,913
Archer-Daniels-Midland Co. 5.450% 3/15/18 6,388 7,356
Archer-Daniels-Midland Co. 4.479% 3/1/21 13,750 14,928
AstraZeneca plc 1.950% 9/18/19 7,140 7,066
Avon Products Inc. 4.600% 3/15/20 3,350 3,477
Avon Products Inc. 5.000% 3/15/23 2,500 2,535
7 BAT International Finance plc 9.500% 11/15/18 4,000 5,375
Baxter International Inc. 5.375% 6/1/18 2,000 2,311
Baxter International Inc. 4.500% 8/15/19 2,000 2,238

 

 

Baxter International Inc. 4.250% 3/15/20 3,000 3,267
Baxter International Inc. 2.400% 8/15/22 10,965 10,203
Baxter International Inc. 3.200% 6/15/23 7,670 7,533
Becton Dickinson & Co. 5.000% 5/15/19 4,700 5,390
Becton Dickinson & Co. 3.250% 11/12/20 14,704 15,058
Becton Dickinson & Co. 3.125% 11/8/21 5,025 5,010
Boston Scientific Corp. 6.000% 1/15/20 6,500 7,563
Boston Scientific Corp. 4.125% 10/1/23 2,000 2,017
Bottling Group LLC 5.125% 1/15/19 10,275 11,748
Bristol-Myers Squibb Co. 3.250% 11/1/23 8,200 8,063
Brown-Forman Corp. 1.000% 1/15/18 930 911
Brown-Forman Corp. 2.250% 1/15/23 4,350 3,994
Cardinal Health Inc. 4.625% 12/15/20 6,352 6,911
Cardinal Health Inc. 3.200% 3/15/23 2,500 2,379
Catholic Health Initiatives Colorado GO 2.950% 11/1/22 1,500 1,394
Catholic Health Initiatives Colorado GO 4.200% 8/1/23 2,000 2,026
Celgene Corp. 3.950% 10/15/20 5,762 6,048
Celgene Corp. 3.250% 8/15/22 7,000 6,720
Clorox Co. 3.800% 11/15/21 5,000 5,087
Clorox Co. 3.050% 9/15/22 3,000 2,896
Coca-Cola Co. 4.875% 3/15/19 9,200 10,518
Coca-Cola Co. 3.150% 11/15/20 17,950 18,652
Coca-Cola Co. 3.300% 9/1/21 25,245 26,038
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,315
Colgate-Palmolive Co. 3.150% 8/5/15 2,000 2,096
Colgate-Palmolive Co. 2.300% 5/3/22 8,000 7,583
Colgate-Palmolive Co. 2.100% 5/1/23 10,000 9,130
ConAgra Foods Inc. 7.000% 4/15/19 3,200 3,849
ConAgra Foods Inc. 3.250% 9/15/22 5,000 4,802
ConAgra Foods Inc. 3.200% 1/25/23 15,000 14,329
Constellation Brands Inc. 3.750% 5/1/21 4,250 4,059
Constellation Brands Inc. 4.250% 5/1/23 2,250 2,157
Covidien International Finance SA 4.200% 6/15/20 5,000 5,389
Covidien International Finance SA 3.200% 6/15/22 13,500 13,301
Covidien International Finance SA 2.950% 6/15/23 25,330 24,063
CR Bard Inc. 4.400% 1/15/21 13,000 13,875
Delhaize Group SA 6.500% 6/15/17 5,880 6,707
Delhaize Group SA 4.125% 4/10/19 5,000 5,244
DENTSPLY International Inc. 4.125% 8/15/21 1,900 1,930
Diageo Capital plc 4.828% 7/15/20 12,989 14,630
Diageo Capital plc 2.625% 4/29/23 15,000 14,008
Diageo Investment Corp. 2.875% 5/11/22 16,000 15,500
Dr Pepper Snapple Group Inc. 2.600% 1/15/19 5,000 5,088
Dr Pepper Snapple Group Inc. 2.000% 1/15/20 2,500 2,397
Dr Pepper Snapple Group Inc. 2.700% 11/15/22 3,000 2,805
Estee Lauder Cos. Inc. 2.350% 8/15/22 5,000 4,616
Express Scripts Holding Co. 2.650% 2/15/17 5,500 5,702
Express Scripts Holding Co. 7.250% 6/15/19 3,000 3,703
Express Scripts Holding Co. 4.750% 11/15/21 13,625 14,720
Express Scripts Holding Co. 3.900% 2/15/22 8,000 8,177
Flowers Foods Inc. 4.375% 4/1/22 2,000 2,004
General Mills Inc. 5.650% 2/15/19 3,000 3,503
General Mills Inc. 3.150% 12/15/21 8,000 7,995
Genzyme Corp. 5.000% 6/15/20 15,349 17,286
Gilead Sciences Inc. 4.500% 4/1/21 7,996 8,666
Gilead Sciences Inc. 4.400% 12/1/21 14,050 15,190
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 7,400 8,627
GlaxoSmithKline Capital Inc. 2.800% 3/18/23 12,000 11,455

 

 

GlaxoSmithKline Capital plc 2.850% 5/8/22 29,000 28,209
Hasbro Inc. 6.300% 9/15/17 5,000 5,747
7 Hawk Acquisition Sub Inc. 4.250% 10/15/20 2,100 2,037
Hershey Co. 4.850% 8/15/15 5,000 5,371
Hershey Co. 4.125% 12/1/20 4,125 4,493
Hormel Foods Corp. 4.125% 4/15/21 3,350 3,543
Kaiser Foundation Hospitals 3.500% 4/1/22 5,765 5,658
Kellogg Co. 1.750% 5/17/17 1,500 1,519
Kimberly-Clark Corp. 6.125% 8/1/17 8,449 9,885
Kimberly-Clark Corp. 7.500% 11/1/18 10,000 12,621
Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,519
Koninklijke Philips NV 3.750% 3/15/22 32,849 33,323
Kraft Foods Group Inc. 2.250% 6/5/17 3,980 4,075
Kraft Foods Group Inc. 6.125% 8/23/18 6,000 7,100
Kraft Foods Group Inc. 3.500% 6/6/22 17,600 17,485
Kroger Co. 2.200% 1/15/17 2,920 2,978
Kroger Co. 3.400% 4/15/22 3,000 2,925
Kroger Co. 3.850% 8/1/23 5,000 4,980
Life Technologies Corp. 6.000% 3/1/20 5,000 5,737
Lorillard Tobacco Co. 3.500% 8/4/16 3,100 3,270
Lorillard Tobacco Co. 2.300% 8/21/17 4,000 4,036
Lorillard Tobacco Co. 8.125% 6/23/19 6,000 7,390
Lorillard Tobacco Co. 6.875% 5/1/20 15,815 18,481
McKesson Corp. 7.500% 2/15/19 6,100 7,565
McKesson Corp. 4.750% 3/1/21 3,420 3,708
McKesson Corp. 2.700% 12/15/22 18,469 17,244
McKesson Corp. 2.850% 3/15/23 5,000 4,712
Medco Health Solutions Inc. 7.125% 3/15/18 5,185 6,249
Medtronic Inc. 4.450% 3/15/20 10,000 11,060
Medtronic Inc. 4.125% 3/15/21 8,558 9,173
Medtronic Inc. 3.125% 3/15/22 7,000 6,952
Medtronic Inc. 2.750% 4/1/23 20,000 18,885
Merck & Co. Inc. 6.000% 9/15/17 5,000 5,874
Merck & Co. Inc. 3.875% 1/15/21 21,450 22,886
Merck & Co. Inc. 2.400% 9/15/22 5,950 5,581
Merck & Co. Inc. 2.800% 5/18/23 22,500 21,517
Merck Sharp & Dohme Corp. 5.000% 6/30/19 10,000 11,469
Mondelez International Inc. 4.125% 2/9/16 3,000 3,206
Mondelez International Inc. 6.125% 2/1/18 13,000 15,123
Mondelez International Inc. 6.125% 8/23/18 4,231 4,965
Mondelez International Inc. 5.375% 2/10/20 23,750 26,979
7 Mylan Inc. 2.600% 6/24/18 5,940 5,971
7 Mylan Inc. 3.125% 1/15/23 8,325 7,679
Newell Rubbermaid Inc. 2.050% 12/1/17 2,180 2,170
Newell Rubbermaid Inc. 4.700% 8/15/20 5,000 5,359
Novartis Capital Corp. 4.400% 4/24/20 15,000 16,571
Novartis Capital Corp. 2.400% 9/21/22 14,555 13,684
Novartis Securities Investment Ltd. 5.125% 2/10/19 27,894 32,108
PepsiCo Inc. 5.000% 6/1/18 16,500 18,746
PepsiCo Inc. 7.900% 11/1/18 14,000 17,896
PepsiCo Inc. 4.500% 1/15/20 16,500 18,274
PepsiCo Inc. 3.125% 11/1/20 14,500 14,817
PepsiCo Inc. 3.000% 8/25/21 17,990 17,991
PepsiCo Inc. 2.750% 3/5/22 13,860 13,319
PerkinElmer Inc. 5.000% 11/15/21 8,000 8,306
7 Pernod Ricard SA 5.750% 4/7/21 2,250 2,516
7 Pernod Ricard SA 4.450% 1/15/22 5,000 5,156
7 Pernod Ricard SA 4.250% 7/15/22 5,000 5,073

 

 

Pfizer Inc. 4.650% 3/1/18 6,000 6,799
Pfizer Inc. 6.200% 3/15/19 24,000 29,006
Pharmacia Corp. 6.500% 12/1/18 6,045 7,384
Philip Morris International Inc. 6.875% 3/17/14 2,750 2,819
Philip Morris International Inc. 2.500% 5/16/16 4,250 4,432
Philip Morris International Inc. 5.650% 5/16/18 8,695 10,125
Philip Morris International Inc. 4.500% 3/26/20 11,750 12,985
Philip Morris International Inc. 4.125% 5/17/21 4,000 4,246
Philip Morris International Inc. 2.900% 11/15/21 10,500 10,243
Philip Morris International Inc. 2.500% 8/22/22 6,000 5,584
Procter & Gamble Co. 3.500% 2/15/15 4,400 4,570
Procter & Gamble Co. 4.700% 2/15/19 21,200 24,225
Procter & Gamble Co. 2.300% 2/6/22 9,275 8,883
Quest Diagnostics Inc. 4.750% 1/30/20 2,000 2,139
Quest Diagnostics Inc. 4.700% 4/1/21 4,000 4,220
Reynolds American Inc. 6.750% 6/15/17 5,000 5,814
7 Roche Holdings Inc. 6.000% 3/1/19 12,280 14,693
Sanofi 2.625% 3/29/16 14,860 15,525
Sanofi 1.250% 4/10/18 9,615 9,468
Sanofi 4.000% 3/29/21 23,500 25,180
St. Jude Medical Inc. 3.250% 4/15/23 23,138 22,191
Stryker Corp. 4.375% 1/15/20 10,000 11,028
Sysco Corp. 5.250% 2/12/18 12,000 13,673
Sysco Corp. 2.600% 6/12/22 4,000 3,792
7 Takeda Pharmaceutical Co. Ltd. 1.625% 3/17/17 24,510 24,705
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21 20,550 20,453
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22 20,150 18,621
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21 23,535 23,327
Teva Pharmaceutical Finance IV LLC 2.250% 3/18/20 7,000 6,698
Thermo Fisher Scientific Inc. 5.000% 6/1/15 3,100 3,286
Thermo Fisher Scientific Inc. 2.250% 8/15/16 2,840 2,908
Thermo Fisher Scientific Inc. 4.700% 5/1/20 4,400 4,798
Thermo Fisher Scientific Inc. 4.500% 3/1/21 4,100 4,355
Thermo Fisher Scientific Inc. 3.600% 8/15/21 7,625 7,625
Tyson Foods Inc. 4.500% 6/15/22 15,750 16,419
Unilever Capital Corp. 4.800% 2/15/19 1,920 2,183
Unilever Capital Corp. 4.250% 2/10/21 9,300 10,117
Wyeth LLC 5.500% 2/15/16 5,000 5,550
Zoetis Inc. 1.875% 2/1/18 4,000 3,996
Zoetis Inc. 3.250% 2/1/23 10,000 9,538
 
Energy (5.9%)        
Anadarko Petroleum Corp. 6.375% 9/15/17 10,000 11,687
Anadarko Petroleum Corp. 8.700% 3/15/19 5,000 6,497
Anadarko Petroleum Corp. 6.950% 6/15/19 6,527 7,966
Apache Corp. 6.900% 9/15/18 3,000 3,686
Apache Corp. 3.625% 2/1/21 11,000 11,336
Apache Corp. 3.250% 4/15/22 26,700 26,468
Apache Corp. 2.625% 1/15/23 16,300 15,164
Baker Hughes Inc. 7.500% 11/15/18 4,845 6,095
Baker Hughes Inc. 3.200% 8/15/21 10,720 10,861
BP Capital Markets plc 1.375% 11/6/17 10,500 10,429
BP Capital Markets plc 1.375% 5/10/18 2,000 1,963
BP Capital Markets plc 4.750% 3/10/19 17,850 20,039
BP Capital Markets plc 4.500% 10/1/20 32,000 34,976
BP Capital Markets plc 4.742% 3/11/21 8,748 9,656
BP Capital Markets plc 3.561% 11/1/21 31,470 32,179
BP Capital Markets plc 3.245% 5/6/22 35,000 34,504

 

 

BP Capital Markets plc 2.500% 11/6/22 11,500 10,636
BP Capital Markets plc 2.750% 5/10/23 34,560 32,241
Canadian Natural Resources Ltd. 5.700% 5/15/17 3,190 3,622
Canadian Natural Resources Ltd. 3.450% 11/15/21 2,000 2,014
Chevron Corp. 4.950% 3/3/19 3,347 3,846
Chevron Corp. 2.427% 6/24/20 8,000 7,979
Chevron Corp. 2.355% 12/5/22 31,000 28,882
Chevron Corp. 3.191% 6/24/23 37,083 36,694
ConocoPhillips 5.750% 2/1/19 31,935 37,551
ConocoPhillips 6.000% 1/15/20 5,000 5,961
ConocoPhillips Co. 2.400% 12/15/22 10,000 9,328
Devon Energy Corp. 6.300% 1/15/19 5,000 5,872
Diamond Offshore Drilling Inc. 5.875% 5/1/19 5,000 5,917
Ensco plc 4.700% 3/15/21 10,000 10,793
EOG Resources Inc. 5.875% 9/15/17 3,000 3,485
EOG Resources Inc. 5.625% 6/1/19 10,250 12,000
EOG Resources Inc. 4.400% 6/1/20 12,000 13,071
EOG Resources Inc. 4.100% 2/1/21 6,000 6,415
EOG Resources Inc. 2.625% 3/15/23 15,958 14,999
EQT Corp. 8.125% 6/1/19 5,500 6,728
Halliburton Co. 6.150% 9/15/19 12,631 15,214
Halliburton Co. 3.250% 11/15/21 16,900 17,021
Halliburton Co. 3.500% 8/1/23 5,000 5,004
Hess Corp. 8.125% 2/15/19 5,075 6,398
Marathon Oil Corp. 6.000% 10/1/17 7,213 8,309
Marathon Oil Corp. 2.800% 11/1/22 5,000 4,714
7 Motiva Enterprises LLC 5.750% 1/15/20 5,000 5,742
Nabors Industries Inc. 5.000% 9/15/20 3,319 3,506
National Oilwell Varco Inc. 2.600% 12/1/22 28,000 26,413
Noble Energy Inc. 8.250% 3/1/19 6,000 7,549
Noble Holding International Ltd. 4.900% 8/1/20 5,000 5,355
Noble Holding International Ltd. 3.950% 3/15/22 1,000 990
Occidental Petroleum Corp. 1.500% 2/15/18 7,500 7,454
Occidental Petroleum Corp. 4.100% 2/1/21 24,525 26,105
Occidental Petroleum Corp. 3.125% 2/15/22 15,080 14,827
Occidental Petroleum Corp. 2.700% 2/15/23 15,604 14,600
Petro-Canada 6.050% 5/15/18 4,000 4,683
Phillips 66 2.950% 5/1/17 4,000 4,170
Phillips 66 4.300% 4/1/22 9,000 9,341
Pioneer Natural Resources Co. 3.950% 7/15/22 7,000 7,129
Pride International Inc. 6.875% 8/15/20 9,178 11,033
Rowan Cos. Inc. 4.875% 6/1/22 5,000 5,168
Shell International Finance BV 5.200% 3/22/17 2,680 3,031
Shell International Finance BV 4.300% 9/22/19 16,000 17,751
Shell International Finance BV 4.375% 3/25/20 19,035 21,013
Shell International Finance BV 2.375% 8/21/22 28,509 26,637
Southwestern Energy Co. 7.500% 2/1/18 5,000 5,969
Southwestern Energy Co. 4.100% 3/15/22 5,000 5,046
Suncor Energy Inc. 6.100% 6/1/18 5,000 5,875
Talisman Energy Inc. 7.750% 6/1/19 3,000 3,542
Talisman Energy Inc. 3.750% 2/1/21 3,300 3,129
Total Capital Canada Ltd. 1.450% 1/15/18 7,700 7,654
Total Capital Canada Ltd. 2.750% 7/15/23 7,000 6,644
Total Capital International SA 1.550% 6/28/17 2,450 2,471
Total Capital International SA 2.875% 2/17/22 28,500 27,934
Total Capital International SA 2.700% 1/25/23 23,160 21,887
Total Capital SA 4.450% 6/24/20 25,212 27,797
Total Capital SA 4.125% 1/28/21 12,525 13,393

 

 

Transocean Inc. 2.500% 10/15/17 2,380 2,401
Transocean Inc. 6.500% 11/15/20 8,000 9,069
Transocean Inc. 6.375% 12/15/21 15,000 16,872
Transocean Inc. 3.800% 10/15/22 5,000 4,781
Valero Energy Corp. 9.375% 3/15/19 4,200 5,485
Weatherford International Ltd. 6.000% 3/15/18 10,000 11,266
Weatherford International Ltd. 9.625% 3/1/19 3,750 4,793
Weatherford International Ltd. 5.125% 9/15/20 5,000 5,341
 
Technology (4.0%)        
Agilent Technologies Inc. 5.000% 7/15/20 3,000 3,278
Altera Corp. 1.750% 5/15/17 3,205 3,188
Apple Inc. 2.400% 5/3/23 78,300 71,281
Applied Materials Inc. 4.300% 6/15/21 13,615 14,357
Baidu Inc. 3.250% 8/6/18 10,100 10,315
Baidu Inc. 3.500% 11/28/22 13,000 12,196
Broadcom Corp. 2.500% 8/15/22 10,000 9,186
Cisco Systems Inc. 4.950% 2/15/19 11,800 13,466
Cisco Systems Inc. 4.450% 1/15/20 25,000 27,692
Corning Inc. 1.450% 11/15/17 5,150 5,108
Corning Inc. 6.625% 5/15/19 5,710 6,886
Corning Inc. 4.250% 8/15/20 9,000 9,714
EMC Corp. 1.875% 6/1/18 14,700 14,691
EMC Corp. 2.650% 6/1/20 34,455 34,272
EMC Corp. 3.375% 6/1/23 27,000 26,622
Equifax Inc. 6.300% 7/1/17 5,000 5,677
Fidelity National Information Services Inc. 3.500% 4/15/23 6,925 6,342
Fiserv Inc. 3.500% 10/1/22 8,000 7,657
Hewlett-Packard Co. 5.400% 3/1/17 2,500 2,770
Hewlett-Packard Co. 5.500% 3/1/18 2,000 2,236
Hewlett-Packard Co. 4.300% 6/1/21 20,000 19,924
Hewlett-Packard Co. 4.375% 9/15/21 13,022 12,984
Hewlett-Packard Co. 4.650% 12/9/21 5,000 5,051
Intel Corp. 1.350% 12/15/17 9,000 8,968
Intel Corp. 3.300% 10/1/21 42,900 43,320
Intel Corp. 2.700% 12/15/22 38,000 35,649
International Business Machines Corp. 5.700% 9/14/17 14,601 16,975
International Business Machines Corp. 7.625% 10/15/18 14,500 18,440
International Business Machines Corp. 1.625% 5/15/20 20,000 18,850
International Business Machines Corp. 2.900% 11/1/21 13,000 12,918
International Business Machines Corp. 1.875% 8/1/22 11,000 9,858
Microsoft Corp. 4.200% 6/1/19 3,800 4,228
Microsoft Corp. 3.000% 10/1/20 4,000 4,111
Microsoft Corp. 4.000% 2/8/21 8,000 8,600
Microsoft Corp. 2.125% 11/15/22 13,500 12,331
Microsoft Corp. 2.375% 5/1/23 10,000 9,206
Motorola Solutions Inc. 3.750% 5/15/22 7,000 6,738
Oracle Corp. 5.750% 4/15/18 4,160 4,867
Oracle Corp. 2.375% 1/15/19 3,250 3,303
Oracle Corp. 5.000% 7/8/19 14,000 15,977
Oracle Corp. 3.875% 7/15/20 13,000 13,930
Oracle Corp. 2.500% 10/15/22 33,000 30,874
Oracle Corp. 3.625% 7/15/23 14,000 14,052
Pitney Bowes Inc. 5.750% 9/15/17 4,707 5,221
7 Seagate HDD Cayman 3.750% 11/15/18 5,670 5,670
Texas Instruments Inc. 2.250% 5/1/23 5,000 4,572
Tyco Electronics Group SA 6.550% 10/1/17 2,990 3,468
Verisk Analytics Inc. 4.125% 9/12/22 12,800 12,749

 

 

  Xerox Corp. 6.350% 5/15/18 5,000 5,773
  Xerox Corp. 5.625% 12/15/19 8,000 8,961
 
  Transportation (1.3%)        
5,7 American Airlines 2013-2 Class A Pass        
  Through Trust 4.950% 7/15/24 12,000 12,390
  Burlington Northern Santa Fe LLC 8.125% 4/15/20 5,000 6,344
  Burlington Northern Santa Fe LLC 3.600% 9/1/20 3,000 3,126
  Canadian National Railway Co. 2.850% 12/15/21 7,380 7,307
  Canadian Pacific Railway Co. 7.250% 5/15/19 3,375 4,157
  Canadian Pacific Railway Co. 4.450% 3/15/23 2,085 2,215
  Canadian Pacific Railway Ltd. 4.500% 1/15/22 5,325 5,632
5 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 2,117 2,265
5 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 455 482
5 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 1,507 1,718
5 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 4/1/21 1,577 1,770
5 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 5/10/21 4,257 4,869
5 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 1,550 1,569
  CSX Corp. 7.900% 5/1/17 5,000 5,980
  CSX Corp. 7.375% 2/1/19 3,375 4,169
5,9 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 2,090 2,304
5 Delta Air Lines 2007-1 Class A Pass        
  Through Trust 6.821% 2/10/24 2,213 2,465
5 Delta Air Lines 2009-1 Class A Pass        
  Through Trust 7.750% 12/17/19 5,000 5,781
5 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 1/2/20 8,342 9,228
5 Delta Air Lines 2012-1 Class A Pass        
  Through Trust 4.750% 11/7/21 3,626 3,861
7 ERAC USA Finance LLC 6.375% 10/15/17 6,370 7,398
7 ERAC USA Finance LLC 5.250% 10/1/20 3,750 4,174
7 ERAC USA Finance LLC 4.500% 8/16/21 5,000 5,275
5 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 3,000 2,753
  JB Hunt Transport Services Inc. 3.375% 9/15/15 4,920 5,114
4,5,9JetBlue Airways 2004-1 G-1 Pass Through        
  Trust 0.629% 6/15/15 519 519
4,5,9JetBlue Airways 2004-1 G-2 Pass Through        
  Trust 0.674% 9/15/15 2,540 2,529
4,5,9JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.714% 5/15/18 2,465 2,237
  Kansas City Southern de Mexico SA de CV 2.350% 5/15/20 5,000 4,782
  Ryder System Inc. 2.500% 3/1/17 2,000 2,037
  Ryder System Inc. 2.350% 2/26/19 8,120 7,992
5 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 3,964 4,558
  Union Pacific Corp. 4.000% 2/1/21 5,000 5,307
  United Continental Holdings Inc. 6.375% 6/1/18 1,200 1,248
  United Parcel Service Inc. 5.500% 1/15/18 5,100 5,904
  United Parcel Service Inc. 3.125% 1/15/21 34,200 35,034
  United Parcel Service Inc. 2.450% 10/1/22 30,700 28,999

 

 

        6,948,085
Utilities (7.2%)        
Electric (6.0%)        
Alabama Power Co. 3.375% 10/1/20 7,000 7,296
Ameren Illinois Co. 6.125% 11/15/17 1,650 1,918
Ameren Illinois Co. 2.700% 9/1/22 22,449 21,577
American Electric Power Co. Inc. 1.650% 12/15/17 4,770 4,725
Appalachian Power Co. 5.000% 6/1/17 640 708
Appalachian Power Co. 4.600% 3/30/21 3,000 3,267
Arizona Public Service Co. 8.750% 3/1/19 10,850 14,053
Baltimore Gas & Electric Co. 3.500% 11/15/21 8,925 9,051
Baltimore Gas & Electric Co. 3.350% 7/1/23 3,000 2,952
CenterPoint Energy Houston Electric LLC 2.250% 8/1/22 5,650 5,248
CenterPoint Energy Inc. 5.950% 2/1/17 3,115 3,533
CenterPoint Energy Inc. 6.500% 5/1/18 2,000 2,366
CMS Energy Corp. 6.550% 7/17/17 750 870
CMS Energy Corp. 5.050% 2/15/18 4,730 5,251
CMS Energy Corp. 8.750% 6/15/19 11,180 14,356
CMS Energy Corp. 6.250% 2/1/20 3,255 3,784
Commonwealth Edison Co. 5.950% 8/15/16 5,000 5,645
Commonwealth Edison Co. 1.950% 9/1/16 2,500 2,563
Commonwealth Edison Co. 6.150% 9/15/17 1,570 1,838
Commonwealth Edison Co. 5.800% 3/15/18 4,110 4,806
Commonwealth Edison Co. 4.000% 8/1/20 19,071 20,481
Commonwealth Edison Co. 3.400% 9/1/21 5,400 5,546
Connecticut Light & Power Co. 5.650% 5/1/18 3,100 3,608
Connecticut Light & Power Co. 5.500% 2/1/19 11,695 13,608
Connecticut Light & Power Co. 2.500% 1/15/23 18,240 17,189
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 11,275 13,813
Consumers Energy Co. 5.650% 9/15/18 1,000 1,175
Consumers Energy Co. 6.125% 3/15/19 2,600 3,124
Consumers Energy Co. 6.700% 9/15/19 4,505 5,600
Consumers Energy Co. 5.650% 4/15/20 10,683 12,578
Consumers Energy Co. 2.850% 5/15/22 12,990 12,711
Consumers Energy Co. 3.375% 8/15/23 3,144 3,159
DTE Electric Co. 3.450% 10/1/20 7,680 8,066
DTE Electric Co. 3.900% 6/1/21 14,650 15,672
DTE Electric Co. 2.650% 6/15/22 1,000 961
Duke Energy Carolinas LLC 1.750% 12/15/16 2,875 2,941
Duke Energy Carolinas LLC 7.000% 11/15/18 6,100 7,569
Duke Energy Carolinas LLC 4.300% 6/15/20 12,915 14,217
Duke Energy Carolinas LLC 3.900% 6/15/21 8,686 9,276
Duke Energy Corp. 2.100% 6/15/18 2,445 2,461
Duke Energy Corp. 6.250% 6/15/18 4,272 5,051
Duke Energy Florida Inc. 5.650% 6/15/18 6,005 7,012
Duke Energy Florida Inc. 4.550% 4/1/20 9,645 10,683
Duke Energy Florida Inc. 3.100% 8/15/21 4,400 4,437
Duke Energy Indiana Inc. 3.750% 7/15/20 14,270 15,120
Duke Energy Ohio Inc. 5.450% 4/1/19 5,000 5,791
Duke Energy Progress Inc. 5.300% 1/15/19 13,177 15,263
Duke Energy Progress Inc. 3.000% 9/15/21 17,523 17,451
Duke Energy Progress Inc. 2.800% 5/15/22 10,405 10,097
Entergy Arkansas Inc. 3.750% 2/15/21 3,770 3,921
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 1,260 1,455
Entergy Louisiana LLC 4.800% 5/1/21 12,780 13,955
Entergy Louisiana LLC 3.300% 12/1/22 6,915 6,761
Entergy Texas Inc. 7.125% 2/1/19 5,485 6,565

 

 

  Exelon Generation Co. LLC 4.000% 10/1/20 4,000 4,068
  Exelon Generation Co. LLC 4.250% 6/15/22 5,000 4,908
  Florida Power & Light Co. 2.750% 6/1/23 9,200 8,891
5,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 5,172 5,405
  Georgia Power Co. 5.700% 6/1/17 1,185 1,354
  Georgia Power Co. 5.400% 6/1/18 8,000 9,172
  Indiana Michigan Power Co. 7.000% 3/15/19 5,000 6,019
7 Kansas Gas & Electric Co. 6.700% 6/15/19 4,824 5,930
  Kentucky Utilities Co. 3.250% 11/1/20 9,740 10,048
  LG&E & KU Energy LLC 3.750% 11/15/20 13,086 13,330
  LG&E & KU Energy LLC 4.375% 10/1/21 15,035 15,674
  Metropolitan Edison Co. 7.700% 1/15/19 5,000 6,109
  MidAmerican Energy Co. 5.300% 3/15/18 7,997 9,195
  MidAmerican Energy Co. 3.700% 9/15/23 3,500 3,591
  MidAmerican Energy Holdings Co. 5.750% 4/1/18 8,380 9,764
  National Rural Utilities Cooperative Finance        
  Corp. 4.750% 3/1/14 3,890 3,946
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 7,691 8,720
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 9,980 13,696
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 12,950 12,708
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 2/15/22 12,340 12,251
  Nevada Power Co. 6.500% 8/1/18 2,337 2,816
  Nevada Power Co. 7.125% 3/15/19 7,350 9,133
  NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 8,976 10,358
  NextEra Energy Capital Holdings Inc. 4.500% 6/1/21 8,755 9,250
  NextEra Energy Capital Holdings Inc. 3.625% 6/15/23 3,130 2,999
5 NextEra Energy Capital Holdings Inc. 6.350% 10/1/66 2,850 2,864
7 Niagara Mohawk Power Corp. 2.721% 11/28/22 2,000 1,888
  Northeast Utilities 2.800% 5/1/23 2,000 1,876
  Northern States Power Co. 2.150% 8/15/22 3,000 2,765
  NSTAR Electric Co. 5.625% 11/15/17 3,000 3,455
  NSTAR Electric Co. 2.375% 10/15/22 7,700 7,187
  NSTAR LLC 4.500% 11/15/19 7,000 7,722
  NV Energy Inc. 6.250% 11/15/20 3,920 4,567
  Pacific Gas & Electric Co. 3.500% 10/1/20 29,000 29,718
  Pacific Gas & Electric Co. 4.250% 5/15/21 15,200 16,084
  Pacific Gas & Electric Co. 3.250% 9/15/21 9,250 9,174
  Pacific Gas & Electric Co. 2.450% 8/15/22 6,500 5,942
  Pacific Gas & Electric Co. 3.250% 6/15/23 6,000 5,803
  PacifiCorp 5.500% 1/15/19 11,244 13,146
  PacifiCorp 3.850% 6/15/21 20,344 21,415
  PacifiCorp 2.950% 2/1/22 2,975 2,932
  Pennsylvania Electric Co. 6.050% 9/1/17 1,415 1,599
  Potomac Electric Power Co. 3.050% 4/1/22 2,270 2,240
  PPL Electric Utilities Corp. 3.000% 9/15/21 15,868 15,847
  PPL Energy Supply LLC 4.600% 12/15/21 6,161 6,015
7 PPL WEM Holdings plc 3.900% 5/1/16 2,875 3,025
7 PPL WEM Holdings plc 5.375% 5/1/21 3,000 3,275
  Progress Energy Inc. 3.150% 4/1/22 5,000 4,874
  Public Service Co. of Colorado 5.800% 8/1/18 3,280 3,867
  Public Service Co. of Colorado 5.125% 6/1/19 2,500 2,882
  Public Service Co. of Colorado 3.200% 11/15/20 5,000 5,159
  Public Service Co. of Colorado 2.250% 9/15/22 5,000 4,647
  Public Service Co. of New Mexico 7.950% 5/15/18 1,398 1,689

 

 

Public Service Electric & Gas Co. 3.500% 8/15/20 8,000 8,384
Public Service Electric & Gas Co. 2.375% 5/15/23 10,325 9,575
Puget Energy Inc. 6.500% 12/15/20 17,000 19,360
Puget Energy Inc. 5.625% 7/15/22 1,235 1,330
SCANA Corp. 6.250% 4/1/20 8,500 9,485
SCANA Corp. 4.750% 5/15/21 10,400 10,767
Sierra Pacific Power Co. 6.000% 5/15/16 2,500 2,810
Southern California Edison Co. 3.875% 6/1/21 11,156 11,907
Southern California Edison Co. 3.500% 10/1/23 12,550 12,688
Southwestern Electric Power Co. 5.550% 1/15/17 3,000 3,306
Southwestern Electric Power Co. 6.450% 1/15/19 2,118 2,481
Tampa Electric Co. 5.400% 5/15/21 13,000 14,929
Tampa Electric Co. 2.600% 9/15/22 4,070 3,829
TECO Finance Inc. 5.150% 3/15/20 14,332 15,731
UIL Holdings Corp. 4.625% 10/1/20 7,000 7,198
Union Electric Co. 6.400% 6/15/17 3,000 3,494
Union Electric Co. 6.700% 2/1/19 2,427 2,942
Virginia Electric & Power Co. 5.950% 9/15/17 5,000 5,828
Virginia Electric & Power Co. 5.400% 4/30/18 6,137 7,077
Virginia Electric & Power Co. 5.000% 6/30/19 3,930 4,490
Virginia Electric & Power Co. 3.450% 9/1/22 3,000 3,057
Westar Energy Inc. 5.100% 7/15/20 10,100 11,463
Western Massachusetts Electric Co. 3.500% 9/15/21 10,000 10,152
5 Wisconsin Energy Corp. 6.250% 5/15/67 6,415 6,575
Wisconsin Power & Light Co. 5.000% 7/15/19 4,500 5,135
Xcel Energy Inc. 5.613% 4/1/17 2,079 2,324
 
Natural Gas (1.2%)        
Atmos Energy Corp. 8.500% 3/15/19 5,000 6,424
Boardwalk Pipelines LP 5.750% 9/15/19 4,935 5,519
Buckeye Partners LP 4.875% 2/1/21 5,000 5,215
CenterPoint Energy Resources Corp. 4.500% 1/15/21 3,000 3,269
7 Centrica plc 4.000% 10/16/23 6,500 6,554
El Paso Natural Gas Co. LLC 5.950% 4/15/17 3,000 3,382
El Paso Pipeline Partners Operating Co. LLC 6.500% 4/1/20 18,295 21,307
El Paso Pipeline Partners Operating Co. LLC 5.000% 10/1/21 5,150 5,493
Enbridge Energy Partners LP 6.500% 4/15/18 1,750 2,043
Enbridge Energy Partners LP 5.200% 3/15/20 2,500 2,745
5 Enbridge Energy Partners LP 8.050% 10/1/77 1,110 1,250
Energy Transfer Partners LP 9.700% 3/15/19 4,432 5,790
Energy Transfer Partners LP 9.000% 4/15/19 2,334 2,969
Energy Transfer Partners LP 4.650% 6/1/21 15,350 16,048
Energy Transfer Partners LP 5.200% 2/1/22 8,000 8,599
5 Enterprise Products Operating LLC 8.375% 8/1/66 3,000 3,307
Kinder Morgan Energy Partners LP 5.950% 2/15/18 1,230 1,418
Kinder Morgan Energy Partners LP 2.650% 2/1/19 2,100 2,109
Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,410 6,985
Kinder Morgan Energy Partners LP 6.850% 2/15/20 14,547 17,445
Kinder Morgan Energy Partners LP 5.800% 3/1/21 5,000 5,658
Kinder Morgan Energy Partners LP 4.150% 3/1/22 8,420 8,491
7 Mega Advance Investments Ltd. 5.000% 5/12/21 2,000 2,101
Nisource Finance Corp. 6.400% 3/15/18 1,463 1,707
Nisource Finance Corp. 6.800% 1/15/19 1,500 1,778
Nisource Finance Corp. 6.125% 3/1/22 5,000 5,689
ONEOK Partners LP 6.150% 10/1/16 2,515 2,835
ONEOK Partners LP 8.625% 3/1/19 2,000 2,552
Sempra Energy 6.500% 6/1/16 13,327 15,106
Sempra Energy 2.300% 4/1/17 1,094 1,121

 

 

  Sempra Energy 6.150% 6/15/18 5,938 6,961
  Sempra Energy 9.800% 2/15/19 4,340 5,836
  Sempra Energy 2.875% 10/1/22 7,000 6,576
  Sunoco Logistics Partners Operations LP 4.650% 2/15/22 7,000 7,263
5 TransCanada PipeLines Ltd. 6.350% 5/15/67 4,000 4,130
 
          1,206,108
Total Corporate Bonds (Cost $12,304,586)       12,620,002
Sovereign Bonds (U.S. Dollar-Denominated) (3.7%)        
7 Abu Dhabi National Energy Co. 6.165% 10/25/17 1,000 1,140
7 Abu Dhabi National Energy Co. 3.625% 1/12/23 1,000 940
7 Aruba 4.625% 9/14/23 1,000 945
  Asian Development Bank 1.125% 3/15/17 4,000 4,034
  Asian Development Bank 1.875% 10/23/18 3,000 3,049
  Banco do Brasil SA 3.875% 10/10/22 1,000 905
7 Banco Latinoamericano de Comercio        
  Exterior SA 3.750% 4/4/17 4,500 4,614
7 Bank Nederlandse Gemeenten 1.375% 9/27/17 1,500 1,493
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 1,000 945
7 Bank of China Hong Kong Ltd. 3.750% 11/8/16 920 973
7 Bermuda 5.603% 7/20/20 2,300 2,472
7 Bermuda 4.138% 1/3/23 2,000 1,925
7 Bermuda 4.854% 2/6/24 1,000 997
7 Caixa Economica Federal 2.375% 11/6/17 3,000 2,830
  Canada 0.875% 2/14/17 5,000 5,035
  Cayman Islands 5.950% 11/24/19 500 555
7 CEZ AS 4.250% 4/3/22 1,000 1,004
  China Development Bank Corp. 5.000% 10/15/15 1,500 1,605
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,000 988
7 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 931
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 1,400 1,416
7 Corp. Nacional del Cobre de Chile 3.750% 11/4/20 2,500 2,511
7 Corp. Nacional Del Cobre De Chile 3.875% 11/3/21 3,000 2,985
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 1,500 1,529
  Corporacion Andina de Fomento 3.750% 1/15/16 11,500 11,970
5,7 ENA Norte Trust 4.950% 4/25/28 1,902 1,883
  European Investment Bank 2.250% 3/15/16 8,000 8,320
  European Investment Bank 2.125% 7/15/16 10,000 10,393
  European Investment Bank 2.875% 9/15/20 20,000 20,714
  Export-Import Bank of Korea 5.875% 1/14/15 3,000 3,179
  Export-Import Bank of Korea 4.125% 9/9/15 2,000 2,110
  Export-Import Bank of Korea 2.875% 9/17/18 3,000 3,058
  Export-Import Bank of Korea 5.125% 6/29/20 2,000 2,223
  Export-Import Bank of Korea 4.000% 1/29/21 1,000 1,041
  Federative Republic of Brazil 2.625% 1/5/23 13,000 11,589
7 Industrial Bank of Korea 7.125% 4/23/14 1,700 1,751
  Inter-American Development Bank 1.375% 10/18/16 3,000 3,056
  International Finance Corp. 1.000% 4/24/17 6,700 6,748
  International Finance Corp. 1.750% 9/4/18 3,000 3,037
7 IPIC GMTN Ltd. 5.500% 3/1/22 800 890
10 Japan Bank for International Cooperation 2.500% 5/18/16 8,000 8,363
10 Japan Bank for International Cooperation 2.125% 2/7/19 5,000 5,051
7 KazMunayGas National Co. JSC 4.400% 4/30/23 2,000 1,900
11 KFW 0.625% 4/24/15 25,000 25,117
11 KFW 1.250% 2/15/17 4,000 4,039
11 KFW 1.000% 6/11/18 11,750 11,568
11 KFW 2.750% 10/1/20 3,000 3,097

 

 

11 KFW 2.625% 1/25/22 9,000 8,964
11 KFW 2.000% 10/4/22 2,000 1,895
7 Kingdom of Spain 4.000% 3/6/18 2,100 2,143
7 Kommunalbanken AS 1.000% 9/26/17 1,500 1,485
  Korea Development Bank 8.000% 1/23/14 5,000 5,080
  Korea Development Bank 3.875% 5/4/17 5,000 5,331
  Korea Development Bank 1.500% 1/22/18 2,000 1,942
  Korea Finance Corp. 3.250% 9/20/16 1,000 1,043
  Korea Finance Corp. 4.625% 11/16/21 2,000 2,171
7 Korea Western Power Co. Ltd. 3.125% 5/10/17 1,300 1,338
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 2,000 2,007
7 Kowloon-Canton Railway Corp. 5.125% 5/20/19 2,500 2,835
11 Landwirtschaftliche Rentenbank 2.125% 7/15/16 5,000 5,184
11 Landwirtschaftliche Rentenbank 1.375% 10/23/19 2,000 1,943
  Nexen Energy ULC 6.200% 7/30/19 2,000 2,343
  North American Development Bank 2.300% 10/10/18 1,500 1,502
  North American Development Bank 2.400% 10/26/22 1,300 1,179
  Pemex Project Funding Master Trust 5.750% 3/1/18 15,500 17,265
7 Pertamina Persero PT 6.000% 5/3/42 1,000 880
  Petrobras International Finance Co. 5.875% 3/1/18 30,330 32,745
  Petrobras International Finance Co. 5.750% 1/20/20 28,500 30,127
  Petrobras International Finance Co. 5.375% 1/27/21 19,775 20,076
  Petroleos Mexicanos 3.500% 7/18/18 5,400 5,528
  Petroleos Mexicanos 8.000% 5/3/19 3,200 3,920
  Petroleos Mexicanos 6.000% 3/5/20 7,000 7,839
  Petroleos Mexicanos 5.500% 1/21/21 6,500 7,068
  Petroleos Mexicanos 4.875% 1/24/22 16,000 16,606
  Petroleos Mexicanos 3.500% 1/30/23 2,000 1,850
7 Petronas Capital Ltd. 5.250% 8/12/19 2,000 2,253
  Province of British Columbia 2.650% 9/22/21 1,500 1,501
  Province of Manitoba 1.750% 5/30/19 2,000 1,988
  Province of New Brunswick 2.750% 6/15/18 2,500 2,640
  Province of Ontario 1.000% 7/22/16 3,575 3,587
  Province of Ontario 3.000% 7/16/18 15,000 15,919
  Province of Ontario 4.000% 10/7/19 4,500 4,935
  PTT Public Co. Ltd. 3.375% 10/25/22 2,000 1,865
7,12 Qatari Diar Finance QSC 3.500% 7/21/15 500 518
7 Qtel International Finance Ltd. 4.750% 2/16/21 1,500 1,590
7 Qtel International Finance Ltd. 3.250% 2/21/23 700 646
  Quebec 2.750% 8/25/21 10,500 10,348
  Quebec 2.625% 2/13/23 5,700 5,347
7 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 2,725 2,834
  Republic of Chile 3.250% 9/14/21 4,700 4,762
  Republic of Colombia 7.375% 3/18/19 2,000 2,446
  Republic of Colombia 4.375% 7/12/21 10,200 10,771
  Republic of Colombia 6.125% 1/18/41 4,000 4,488
7 Republic of Iceland 4.875% 6/16/16 1,000 1,045
  Republic of Italy 4.750% 1/25/16 1,000 1,068
  Republic of Italy 5.250% 9/20/16 13,500 14,647
  Republic of Italy 5.375% 6/12/17 7,000 7,668
  Republic of Korea 7.125% 4/16/19 1,500 1,872
7 Republic of Latvia 2.750% 1/12/20 1,000 956
7 Republic of Namibia 5.500% 11/3/21 500 526
  Republic of Panama 5.200% 1/30/20 3,200 3,529
  Republic of Poland 3.875% 7/16/15 3,000 3,145
  Republic of Poland 6.375% 7/15/19 2,000 2,359
  Republic of Poland 5.125% 4/21/21 7,000 7,717
7 Republic of Romania 4.375% 8/22/23 1,000 977

 

 

  Republic of South Africa 6.875%   5/27/19 2,000 2,315
  Republic of South Africa 5.500%   3/9/20 4,000 4,340
  Republic of South Africa 5.875%   9/16/25 4,000 4,280
  Republic of Turkey 7.000%   9/26/16 28,200 31,443
  Republic of Turkey 5.625%   3/30/21 2,300 2,444
  Republic of Turkey 3.250%   3/23/23 11,500 10,149
  Republic of Turkey 7.375%   2/5/25 8,000 9,380
5,7 Russian Federation 7.500%   3/31/30 751 895
7 Sinopec Group Overseas Development 2013          
  Ltd. 4.375%   10/17/23 1,800 1,807
  State of Israel 5.125%   3/26/19 2,550 2,912
  State of Israel 3.150%   6/30/23 2,000 1,937
7 State of Qatar 5.250%   1/20/20 1,000 1,135
  Statoil ASA 2.450%   1/17/23 3,000 2,788
  Statoil ASA 3.950%   5/15/43 1,000 903
  Svensk Exportkredit AB 1.750%   10/20/15 3,000 3,073
7 TDIC Finance Ltd. 6.500%   7/2/14 2,600 2,697
7 Temasek Financial I Ltd. 2.375%   1/23/23 1,000 923
  United Mexican States 4.000%   10/2/23 10,800 10,927
  United Mexican States 5.750%   10/12/10 5,800 5,545
Total Sovereign Bonds (Cost $608,580)         613,047
Taxable Municipal Bonds (0.2%)          
  California Educational Facilities Authority          
  Revenue (Stanford University) 4.750%   5/1/19 1,850 2,116
  California GO 5.750%   3/1/17 2,000 2,265
  Florida Hurricane Catastrophe Fund Finance          
  Corp. Revenue 2.995%   7/1/20 1,250 1,194
  Illinois GO 5.365%   3/1/17 1,000 1,068
  JobsOhio Beverage System Statewide Liquor          
  Profits Revenue 2.885%   1/1/21 1,000 966
  Johns Hopkins University Maryland GO 5.250%   7/1/19 713 832
4 Mississippi GO (Nissan North America, Inc.          
  Project) 0.880%   11/1/17 5,520 5,536
  New York City NY Transitional Finance          
  Authority Future Tax Revenue 5.125%   2/1/24 1,500 1,675
  Port Authority of New York & New Jersey          
  Revenue 5.859%   12/1/24 2,000 2,330
4 South Carolina Public Service Authority          
  Revenue 1.054%   6/1/15 8,250 8,269
  University of California Revenue 2.054%   5/15/18 500 502
  University of California Revenue 2.300%   5/15/21 1,000 940
Total Taxable Municipal Bonds (Cost $27,206)         27,693
          Face Market
      Maturity   Amount Value
    Coupon Date   ($000) ($000)
Tax-Exempt Municipal Bonds (1.1%)          
  Arizona Transportation Board Highway Revenue 5.000% 7/1/36   1,580 1,671
  Arizona Transportation Board Highway Revenue 5.000% 7/1/37   3,275 3,459
  Arizona Transportation Board Highway Revenue 5.000% 7/1/38   2,020 2,127
  Bay Area Toll Authority California Toll Bridge          
  Revenue (San Francisco Bay Area) 5.000% 4/1/43   1,780 1,807
  California GO 5.000% 4/1/43   3,465 3,546
  Cary NC Combined Enterprise System Revenue 5.000% 12/1/42   2,910 3,107
  Contra Costa CA Community College District          
  GO 5.000% 8/1/38   1,845 1,939
  District of Columbia Water & Sewer Authority          
  Public Utility Revenue 5.000% 10/1/37   4,370 4,598

 

 

Houston TX Community College System GO 5.000% 2/15/43 2,650 2,787
Houston TX Utility System Revenue 5.000% 11/15/38 1,490 1,566
Los Angeles CA Department of Water & Power        
Revenue 5.000% 7/1/37 1,630 1,723
Los Angeles CA Department of Water & Power        
Revenue 5.000% 7/1/43 4,340 4,542
Los Angeles CA Wastewater System Revenue 5.000% 6/1/35 3,820 4,078
7 Louisiana Public Facilities Authority Dock &        
Wharf Revenue (Impala Warehousing LLC        
Project) 6.500% 7/1/36 3,300 3,036
Massachusetts GO 5.000% 8/1/37 6,890 7,288
Massachusetts GO 5.000% 8/1/41 13,775 14,469
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/38 3,285 3,474
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 10/15/41 3,310 3,458
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.000% 5/15/43 2,320 2,440
New York City NY GO 5.000% 3/1/37 1,380 1,450
8 New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 2,565 2,668
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/44 4,455 4,606
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/45 2,970 3,079
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.000% 6/15/47 5,940 6,168
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 2/1/42 4,250 4,455
New York City NY Transitional Finance Authority        
Future Tax Revenue 5.000% 5/1/42 4,215 4,413
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/42 2,740 2,845
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 3/15/42 4,110 4,269
New York State Dormitory Authority Revenue        
(Personal Income Tax) 5.000% 2/15/43 1,375 1,431
New York State Environmental Facilities Corp.        
Revenue (State Revolving Funds) 5.000% 11/15/38 4,200 4,458
San Antonio TX Water Revenue 5.000% 5/15/40 6,600 6,956
San Diego CA Community College District GO 5.000% 8/1/43 8,965 9,467
St. Louis MO Metropolitan Sewer District        
Wastewater System Revenue 5.000% 5/1/42 6,795 7,230
University of California Revenue 5.000% 5/15/36 2,070 2,212
University of California Revenue 5.000% 5/15/39 4,025 4,266
University of Colorado Enterprise System        
Revenue 5.000% 6/1/37 1,870 1,967
University of Virginia Revenue 5.000% 6/1/43 3,935 4,229
University of Washington Revenue 5.000% 7/1/41 6,640 7,015
Washington GO 5.000% 8/1/37 7,709 8,198
Washington GO 5.000% 8/1/38 8,190 8,682
Total Tax-Exempt Municipal Bonds (Cost $167,573)       171,179

 

 

        Market
        Value
  Coupon   Shares ($000)
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
8 Lehman Brothers Holdings Inc. Pfd. 7.250%   8,740 —
 
Total Convertible Preferred Stocks (Cost $8,740)       —
Common Stocks (0.0%)        
Health Care (0.0%)        
HealthSouth Corp.     2,400 84
 
Total Common Stocks (Cost $—)       84
Temporary Cash Investment (1.0%)        
Money Market Fund (1.0%)        
13 Vanguard Market Liquidity Fund (Cost        
$169,683) 0.120%   169,683,245 169,683
 
        Market
    Expiration   Value
    Date  Contracts14 ($000)
Swaption Contracts Purchased (0.0%)        
Put Swaption Contracts (0.0%)        
Pay a fixed rate of 3.875% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Morgan Stanley.   2/3/14 18,000 93
Pay a fixed rate of 4.140% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Wells Fargo.   2/24/14 11,900 32
Pay a fixed rate of 3.253% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Goldman Sachs.   2/3/14 9,600 32
Pay a fixed rate of 4.085% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Morgan Stanley.   2/20/14 9,300 29
Pay a fixed rate of 3.493% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Morgan Stanley.   2/20/14 5,300 12
Pay a fixed rate of 3.590% and receive a floating rate based on      
a 3-month LIBOR. Counterparty is Wells Fargo.   2/24/14 5,300 10
Total Swaption Contracts Purchased (Cost $1,260)       208
Total Investments (99.1%) (Cost $16,119,576)       16,482,403
Liablility for Swaption Contracts Written (0.0%)        
Put Swaption Contracts (0.0%)        
Receive a fixed rate of 4.003% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Goldman Sachs.   2/3/14 9,600 (2)
Receive a fixed rate of 4.625% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Morgan Stanley.   2/3/14 18,000 (3)
Receive a fixed rate of 4.243% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Morgan Stanley.   2/20/14 5,300 (1)
Receive a fixed rate of 4.835% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Morgan Stanley.   2/20/14 9,300 (1)
Receive a fixed rate of 4.340% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Wells Fargo.   2/24/14 5,300 (1)
Receive a fixed rate of 4.890% and pay a floating rate based      
on a 3-month LIBOR. Counterparty is Wells Fargo.   2/24/14 11,900 (2)
Total Liability for Swaption Contracts Written (Premiums received $267)   (10)
Other Assets and Liabilities-Net (0.9%)       153,427
Net Assets (100%)       16,635,820

 

 

1 Securities with a value of $10,782,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $258,000 have been segregated as collateral for open swap contracts.
3 Securities with a value of $110,000 have been segregated as initial margin for open cleared swap contracts.
4 Adjustable-rate security.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 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 October 31, 2013, the aggregate value of these securities was $1,133,220,000, representing 6.8% of net assets.
8 Non-income-producing security--security in default.
9 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
10 Guaranteed by the Government of Japan.
11 Guaranteed by the Federal Republic of Germany.
12 Guaranteed by the State of Qatar.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
14 One contract represents a notional amount of $1.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

A. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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 October 31, 2013, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 1,014,930 —
Asset Backed/Commercial Mortgage-Backed — 1,865,577 —
Corporate Bonds — 12,620,000 2
Sovereign Bonds — 613,047 —

 

 

Taxable Municipal Bonds — 27,693 —
Tax-Exempt Municipal Bonds — 171,179 —
Common Stocks 84 — —
Convertible Preferred Stocks — — —
Temporary Cash Investments 169,683 — —
Swaption Contracts Purchased 208 — —
Swaption Contracts Written (10) — —
Futures Contracts—Assets1 1,765 — —
Futures Contracts—Liabilities1 (100) — —
Swap Contracts—Assets 11 14,653 —
Swap Contracts—Liabilities — (3,755) —
Total 171,631 16,323,324 2
1 Represents variation margin on the last day of the reporting period.      

 

C. Futures and Options: The fund may use futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move such that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move such that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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 in the Schedule of Investments as an asset (liability).

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

At October 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

        ($000)
    Number of Aggregate  
      Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
10-Year U.S. Treasury Note December 2013 (8,375) (1,066,635) (14,775)
5-Year U.S. Treasury Note December 2013 6,465 786,710 5,682
2-Year U.S. Treasury Note December 2013 2,217 488,675 1,180
Ultra U.S. Treasury Bond December 2013 (220) (31,701) 75
30-Year U.S. Treasury Bond December 2013 208 28,041 34

 

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

D. Swap and Swaption Contracts: The fund may invest in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

A swaption contract is an option to enter into a swap contract. Swaptions can be used to attain a desired interest rate exposure. The fund has purchased put swaptions whereby the fund has bought the right to enter into an interest rate swap, paying a fixed rate and receiving a floating rate. The fund has also written put swaptions whereby the fund has granted a counterparty the right to enter into an interest rate swap, with the fund paying a floating rate and receiving a fixed rate.

The notional amounts of swap contracts are not recorded in the Schedule of Investment. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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. Swaptions are valued based on market quotations received from independent pricing services or

 

recognized dealers. The premium paid for a purchased swaption is recorded as an asset that is subsequently adjusted daily to the current market value of the swaption purchased. The premium received for a written swaption is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the swaption written. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

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. The primary risk associated with purchasing swaptions is that interest rates move such that the option is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing swaptions is that interest rates move such that the option is in-the-money, the counterparty exercises the swaption and the fund loses an amount equal to the market value of the swaption less the premium received. A risk associated with all types of swaps and swaptions 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 or swaption contract. The fund mitigates its counterparty risk by only entering into swaps and swaptions with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap or swaption 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 and swaption 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's 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 may enter into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of pre-qualified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

At October 31, 2013, the fund had the following open swap contracts:

 

Credit Default Swaps            
Reference Entity Termination  Counterparty1 Notional  Remaining Up- Periodic Unrealized
  Date   Amount  Front Premium Premium Appreciation
      ($000) Received Received (Depreciation)
        (Paid) (Paid) ($000)
        ($000) (%)  
 
Credit Protection Sold/Moody's Rating          
Altria Group Inc./Baa1 12/20/18 MSCS 10,000 (232.642) 1.000 7
AT&T Inc./A3 12/20/18 DBAG 10,000 (107.737) 1.000 27
Bank of America Corp./Baa2 12/20/17 MSCS 7,680 236.827 1.000 292
Belgium (Kingdom of)/Aa3 9/20/17 RBS 1,200 43.586 1.000 74
BHP Billiton Finance            
(USA) Ltd./A1 12/20/18 DBAG 10,000 (132.505) 1.000 12
BP plc/A2 12/20/18 DBAG 10,000 (147.417) 1.000 32
British Sky Broadcasting            
Group plc/Baa1 12/20/18 BARC 10,000 (192.382) 1.000 13
Chile (Republic of)/Aa3 12/20/18 BARC 2,000 (10.259) 1.000 6
Danaher Corporation/A2 12/20/18 MSCS 10,000 (303.759) 1.000 (22)
Deere & Co./A2 12/20/18 DBAG 10,000 (329.366) 1.000 —
Energy Transfer Partners LP            
/Baa3 9/20/18 JPMC 1,500 6.188 1.000 6
Ford Motor Company/Baa3 12/20/18 JPMC 10,000 (1800.032) 5.000 41
Indonesia (Republic of)/Baa3 12/20/18 DBAG 7,800 489.356 1.000 138
Kinder Morgan Energy            
Partners LP /Baa2 6/20/18 CSFBI 4,450 (57.907) 1.000 (6)
Kinder Morgan Energy            
Partners LP /Baa2 9/20/18 CSFBI 1,500 (8.321) 1.000 6
Kohls Corp./Baa1 6/20/18 JPMC 4,500 84.401 1.000 59
Kohls Corp./Baa1 9/20/18 BOANA 4,500 81.914 1.000 35
Malaysia (Federation of)/A3 12/20/18 BARC 5,000 53.766 1.000 46
Rio Tinto Ltd./A3 12/20/18 DBAG 10,000 53.116 1.000 61
Societe Generale SA/A2 3/20/18 DBAG 9,300 (717.531) 3.000 38
TJX Companies Inc./A3 12/20/18 MSCS 10,000 (319.109) 1.000 (8)
United Parcel Service of            
America Inc./Aa3 12/20/18 BNPSW 10,000 (375.731) 1.000 17
Vodafone Group plc/A3 12/20/18 BARC 10,000 (172.355) 1.000 10
Wal-Mart Stores Inc./Aa2 12/20/18 MSCS 10,000 (370.562) 1.000 8
Wesfarmers Ltd. /A3 12/20/18 DBAG 10,000 (137.472) 1.000 2
      189,430     891
 
Credit Protection Purchased            
Aetna Inc. 12/20/18 JPMC 8,225 241.443 (1.000) (33)

 

 

Austria (Republic of) 9/20/17 BNPSW 1,200 (22.412) (1.000) (61)
Baker Hughes Inc. 12/20/18 MSCS 8,225 137.653 (1.000) (71)
Bank of America Corp. 12/20/14 BARC 3,130 (8.856) (1.000) (36)
Bank of America Corp. 12/20/14 DBAG 3,130 (8.786) (1.000) (36)
Brazil (Federative Republic of) 12/20/15 BOANA 1,500 (7.977) (1.000) (10)
Capital One Financial Corp. 6/20/18 DBAG 25,000 77.671 (1.000) (346)
Deutsche Bank AG 9/20/18 BOANA 5,000 220.866 (3.000) (163)
Devon Energy Corp. 9/20/18 BARC 7,000 29.272 (1.000) (68)
Dow Chemical Company (The) 12/20/18 GSCM 8,225 40.073 (1.000) (34)
EI Du Pont De Nemours & Co. 9/20/18 BARC 2,250 53.180 (1.000) (3)
EI Du Pont De Nemours & Co. 9/20/18 DBAG 2,250 53.180 (1.000) (3)
EI Du Pont De Nemours & Co. 9/20/18 GSCM 2,250 54.375 (1.000) (2)
EI Du Pont De Nemours & Co. 9/20/18 CSFBI 2,970 74.040 (1.000) —
EI Du Pont De Nemours & Co. 9/20/18 BNPSW 2,250 53.180 (1.000) (3)
Encana Corp. 12/20/18 CSFBI 8,225 264.517 (1.000) 312
Expedia Inc. 12/20/18 MSCS 8,225 (319.759) (1.000) (109)
Federal Express Corp. 12/20/18 GSCM 7,840 123.729 (1.000) (16)
Halliburton Company 12/20/18 BOANA 8,225 245.641 (1.000) (41)
Heineken NV 12/20/18 GSCM 8,225 125.346 (1.000) (44)
Hillshire Brands Co. 12/20/18 BOANA 8,225 (23.881) (1.000) (22)
Home Depot Inc. 12/20/18 GSCM 8,225 (143.858) (1.000) (438)
Korea (Republic of) 9/20/18 JPMC 2,000 17.716 (1.000) (24)
Merrill Lynch & Co. Inc. 12/20/17 MSCS 7,680 (216.610) (1.000) (293)
Mexico (United Mexican State) 12/20/15 BOANA 1,500 (9.808) (1.000) (27)
Mexico (United Mexican State) 12/20/18 GSCM 3,100 (10.624) (1.000) (6)
Mexico (United Mexican State) 12/20/18 DBAG 15,000 (135.028) (1.000) (101)
Morgan Stanley 9/20/15 BARC 4,400 (91.511) (1.000) (135)
Norfolk Southern Corporation 12/20/18 GSCM 8,225 279.353 (1.000) (40)
Orange SA 12/20/18 BOANA 8,225 (9.996) (1.000) (51)
Safeway Inc. 12/20/18 CSFBI 8,225 (541.456) (1.000) 73
Sherwin-Williams            
Company (The) 12/20/18 JPMC 8,225 125.346 (1.000) (51)
Skandinaviska Enskilda            
Banken AB 6/20/18 BOANA 4,880 15.526 (1.000) (49)
Time Warner Cable Inc. 12/20/18 DBAG 8,225 (480.328) (1.000) (87)
Toyota Motor Corp. 12/20/18 BOANA 8,225 195.846 (1.000) (93)
Turkey (Republic of) 12/20/18 JPMC 2,500 (97.865) (1.000) 1
Valero Energy Corp. 12/20/18 DBAG 8,225 (147.239) (1.000) (137)
Walt Disney Company (The) 12/20/18 GSCM 8,225 313.295 (1.000) (38)
Wellpoint Inc. 12/20/17 CSFBI 10,000 (31.725) (1.000) (266)
Wells Fargo & Company 3/20/15 GSCM 4,400 (10.279) (1.000) (64)
            (2,614)

 

 

(1,723)

 

The notional amount represents the maximum potential amount the Trust could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

1 BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
MSCS—Morgan Stanley.
JPMC—JP Morgan Chase Bank.
RBS—Royal Bank of Scotland Group.

Centrally Cleared Interest Rate Swaps    
 
    Fixed Interest Floating Interest Unrealized
  Notional Rate Received Rate Received Appreciation
Termination Amount (Paid) (Paid) (Depreciation)
Date ($000) (%) (%) ($000)
5/22/16 3,800 0.546% (0.147%)2 (1)

 

At October 31, the fund had the following open swap contracts:    
 
Over the Counter Interest Rate Swaps      
 
      Fixed Interest Rate Floating Unrealized
    Notional Received (Paid)  Interest Rate Appreciation
Termination   Amount (%) Received (Depreciation)
Date Counterparty1 ($000)   (Paid) ($000)
        (%)  
12/1/13 GSCM 41,858 2.584% (0.260%)3 80
12/1/13 WFC 4,005 2.582% (0.260%)3 8
12/1/13 GSCM 2,540 2.584% (0.260%)3 5
2/14/14 WFC 21,200 1.022% (0.174%)2 51
2/25/14 WFC 4,660 0.201% (0.170%)2 4

 

 

3/6/14 GSCM 18,138 2.448% (0.174%)2 143
5/15/14 GSCM 1,000 1.528% (0.174%)2 7
5/16/14 WFC 8,640 1.083% (0.263%)3 39
6/15/14 WFC 40 2.577% (0.174%)2 1
6/15/14 WFC 4,400 2.338% (0.174%)2 59
6/15/14 WFC 1,200 1.150% (0.174%)2 7
8/15/14 JPMC 1,825 1.501% (0.174%)2 19
10/15/14 WFC 6,455 1.130% (0.174%)2 57
12/15/14 GSCM 1,865 0.553% (0.174%)2 6
1/25/15 BARC 6,400 0.313% (0.170%)2 6
2/17/15 GSCM 14,170 2.555% (0.263%)3 410
3/24/15 GSCM 1,520 2.910% (0.170%)2 56
7/15/15 CSFBI 12,100 0.393% (0.174%)2 21
8/15/15 GSCM 53,730 1.588% (0.174%)2 1,229
10/20/15 BOANA 10,000 0.390% (0.173%)2 11
10/21/15 WFC 18,475 1.485% (0.242%)3 390
2/15/16 BOANA 4,000 0.450% (0.174%)2 4
2/15/16 GSCM 9,000 0.448% (0.174%)2 9
2/15/16 WFC 9,000 0.450% (0.174%)2 9
2/22/16 BNPSW 2,050 0.522% (0.262%)3 3
5/16/16 GSCM 10,800 0.434% (0.174%)2 (9)
5/16/16 GSCM 5,400 0.451% (0.176%)2 (2)
5/19/16 WFC 4,624 1.454% (0.263%)3 62
6/15/16 BOANA 8,846 0.299% (0.174%)2 2
10/25/16 WFC 15,200 1.714% (0.238%)3 468
1/15/17 BARC 1,130 2.971% (0.174%)2 82
2/15/17 WFC 5,700 2.407% (0.174%)2 316
2/15/17 WFC 950 2.407% (0.174%)2 53
2/15/17 BARC 1,490 3.180% (0.174%)2 120
2/15/17 WFC 625 3.373% (0.174%)2 54
2/15/17 GSCM 365 3.433% (0.174%)2 32
2/15/17 BARC 1,145 2.287% (0.174%)2 59
2/15/17 BOANA 12,650 1.875% (0.174%)2 481
2/15/17 WFC 400 0.714% (0.174%)2 —
4/20/17 GSCM 13,000 0.960% (0.173%)2 83
5/5/17 BOANA 4,555 0.876% (0.174%)2 14
9/15/17 GSCM 7,295 2.533% (0.174%)2 448
9/15/17 BOANA 5,910 0.755% (0.174%)2 (40)
9/15/17 BARC 5,400 3.363% (0.174%)2 503
9/15/17 GSCM 4,850 3.520% (0.174%)2 481
9/15/17 WFC 1,100 2.345% (0.174%)2 60
10/16/17 WFC 7,000 0.750% (0.176%)2 (59)

 

 

12/15/17 GSCM 6,000 0.788% (0.174%)2 (59)
2/15/18 BARC 18,000 0.923% (0.174%)2 (133)
3/15/18 BOANA 13,000 0.944% (0.174%)2 (144)
5/24/18 BNPSW 10,000 0.984% (0.170%)2 (97)
8/15/18 BNPSW 5,400 0.715% (0.174%)2 (44)
3/15/19 GSCM 4,990 1.399% (0.174%)2 (26)
4/25/19 WFC 11,550 2.053% (0.237%)3 400
4/25/19 WFC 5,500 2.756% (0.238%)3 284
4/25/20 JPMC 28,610 3.024% (0.238%)3 1,958
4/25/20 GSCM 4,365 2.794% (0.238%)3 229
4/1/21 WFC 5,915 0.965% (0.180%)2 (103)
6/25/21 GSCM 5,720 3.143% (0.251%)3 425
10/25/21 WFC 6,500 3.328% (0.238%)3 548
11/25/22 UBSAG 3,493 2.491% (0.262%)3 134
11/25/22 BARC 17,900 2.758% (0.262%)3 1,003
1/25/23 WFC 3,000 3.144% (0.238%)3 213
7/25/23 BARC 24,625 3.483% (0.238%)3 2,194
          12,621

 

1 BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.
UBSAG—UBS AG.
WFC—Wells Fargo Bank N.A.
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

At October 31, 2013, counterparties had deposited in segregated accounts cash and securities with a value of $18,419,000 in connection with open swap contracts.

E. At October 31, 2013, the cost of investment securities for tax purposes was $16,128,699,000. Net unrealized appreciation of investment securities for tax purposes was $353,704,000, consisting of unrealized gains of $627,761,000 on securities that had risen in value since their purchase and $274,057,000 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 FIXED INCOME SECURITIES FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 19, 2013

 

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 FIXED INCOME SECURITIES FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 19, 2013

 

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: December 19, 2013

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.