N-Q 1 fixedincomesec_final.htm fixedincomesec_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 31

Date of reporting period: April 30, 2015

Item 1: Schedule of Investments


Vanguard Long-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (3.2%)        
U.S. Government Securities (2.8%)        
  United States Treasury Inflation Indexed        
  Bonds 0.750% 2/15/45 3,000 3,008
  United States Treasury Note/Bond 0.880% 7/15/17 50 50
  United States Treasury Note/Bond 0.880% 8/15/17 350 351
  United States Treasury Note/Bond 1.000% 12/15/17 100 101
  United States Treasury Note/Bond 1.000% 2/15/18 100 100
  United States Treasury Note/Bond 2.000% 8/31/21 2,750 2,795
  United States Treasury Note/Bond 2.380% 8/15/24 29,825 30,738
  United States Treasury Note/Bond 2.250% 11/15/24 17,200 17,528
  United States Treasury Note/Bond 2.000% 2/15/25 10,100 10,065
  United States Treasury Note/Bond 6.250% 5/15/30 1,700 2,540
  United States Treasury Note/Bond 5.380% 2/15/31 51,150 71,323
1,2 United States Treasury Note/Bond 4.500% 2/15/36 166,775 220,769
  United States Treasury Note/Bond 3.750% 11/15/43 3,697 4,449
  United States Treasury Note/Bond 3.130% 8/15/44 55,900 60,215
  United States Treasury Note/Bond 3.000% 11/15/44 7,700 8,103
  United States Treasury Note/Bond 2.500% 2/15/45 14,000 13,302
          445,437
Agency Bonds and Notes (0.4%)        
3 Tennessee Valley Authority 5.250% 9/15/39 28,800 36,762
3 Tennessee Valley Authority 3.500% 12/15/42 25,200 25,262
          62,024
Total U.S. Government and Agency Obligations (Cost $480,329)     507,461
Corporate Bonds (75.0%)        
Finance (21.2%)        
  Banking (12.6%)        
  American Express Co. 4.050% 12/3/42 27,006 26,065
  Bank of America Corp. 4.000% 1/22/25 26,735 26,461
  Bank of America Corp. 3.950% 4/21/25 10,885 10,736
  Bank of America Corp. 6.110% 1/29/37 14,850 17,322
  Bank of America Corp. 7.750% 5/14/38 19,355 26,918
  Bank of America Corp. 5.880% 2/7/42 29,710 36,504
  Bank of America Corp. 5.000% 1/21/44 28,005 30,872
  Bank of America Corp. 4.880% 4/1/44 21,305 23,133
  Bank of America NA 6.000% 10/15/36 20,450 25,352
4 Bank of Tokyo-Mitsubishi UFJ Ltd. 4.700% 3/10/44 6,905 8,061
  Bank One Corp. 7.750% 7/15/25 22,900 29,764
  Bank One Corp. 7.630% 10/15/26 25,950 34,326
  Bank One Corp. 8.000% 4/29/27 30,869 41,760
  Citigroup Inc. 6.880% 6/1/25 1,000 1,261
  Citigroup Inc. 6.630% 1/15/28 22,950 28,955
  Citigroup Inc. 6.630% 6/15/32 31,545 38,333
  Citigroup Inc. 6.000% 10/31/33 40,155 46,066
  Citigroup Inc. 6.130% 8/25/36 36,760 43,263
  Citigroup Inc. 8.130% 7/15/39 2,650 4,036
  Citigroup Inc. 5.880% 1/30/42 10,364 12,733
  Citigroup Inc. 6.680% 9/13/43 7,675 9,848
  Citigroup Inc. 4.950% 11/7/43 1,150 1,274

 

 

Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 3.950% 11/9/22 2,000 2,055
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 4.630% 12/1/23 27,935 30,054
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.250% 5/24/41 5,000 5,874
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 5.750% 12/1/43 28,730 34,546
4 Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 34,205 34,207
Deutsche Bank AG 4.500% 4/1/25 23,875 23,428
5 Deutsche Bank AG 4.300% 5/24/28 13,935 13,565
Goldman Sachs Group Inc. 6.130% 2/15/33 38,270 47,483
Goldman Sachs Group Inc. 6.450% 5/1/36 49,400 60,029
Goldman Sachs Group Inc. 6.750% 10/1/37 46,315 58,180
Goldman Sachs Group Inc. 6.250% 2/1/41 24,525 30,850
Goldman Sachs Group Inc. 4.800% 7/8/44 17,592 18,800
HSBC Bank USA NA 5.880% 11/1/34 44,700 54,933
HSBC Bank USA NA 5.630% 8/15/35 32,775 39,507
HSBC Holdings plc 7.630% 5/17/32 21,200 27,716
HSBC Holdings plc 6.500% 5/2/36 10,000 12,610
HSBC Holdings plc 6.500% 9/15/37 43,100 54,278
HSBC Holdings plc 6.800% 6/1/38 86,849 114,045
HSBC Holdings plc 6.100% 1/14/42 1,000 1,298
HSBC Holdings plc 5.250% 3/14/44 16,725 18,693
5 HSBC Holdings plc 6.380% 3/29/49 320 330
5 HSBC Holdings plc 6.380% 12/29/49 380 391
JPMorgan Chase & Co. 3.380% 5/1/23 1,060 1,060
JPMorgan Chase & Co. 6.400% 5/15/38 90,000 116,818
JPMorgan Chase & Co. 5.500% 10/15/40 25,675 30,278
JPMorgan Chase & Co. 5.600% 7/15/41 18,552 22,252
JPMorgan Chase & Co. 5.630% 8/16/43 57,582 66,960
JPMorgan Chase & Co. 4.850% 2/1/44 2,500 2,769
5 JPMorgan Chase & Co. 5.300% 12/29/49 740 741
Morgan Stanley 6.250% 8/9/26 10,460 12,877
Morgan Stanley 4.350% 9/8/26 31,790 32,565
Morgan Stanley 3.950% 4/23/27 8,120 7,946
Morgan Stanley 7.250% 4/1/32 44,360 60,419
Morgan Stanley 6.380% 7/24/42 35,331 45,530
Morgan Stanley 4.300% 1/27/45 36,615 36,007
PNC Bank NA 4.200% 11/1/25 965 1,048
Wachovia Corp. 6.610% 10/1/25 26,500 32,636
Wachovia Corp. 5.500% 8/1/35 21,905 25,334
Wells Fargo & Co. 4.100% 6/3/26 50,455 52,141
Wells Fargo & Co. 5.380% 2/7/35 1,090 1,279
Wells Fargo & Co. 5.380% 11/2/43 43,351 49,102
Wells Fargo & Co. 5.610% 1/15/44 152,733 177,328
Wells Fargo & Co. 4.650% 11/4/44 21,960 22,349
Wells Fargo & Co. 3.900% 5/1/45 19,075 18,483
Wells Fargo Bank NA 6.600% 1/15/38 500 684
 
Brokerage (0.2%)        
4 FMR LLC 6.450% 11/15/39 18,200 23,777
Invesco Finance plc 5.380% 11/30/43 2,000 2,383
Legg Mason Inc. 5.630% 1/15/44 2,000 2,282
 
Finance Companies (2.9%)        
GATX Corp. 5.200% 3/15/44 4,420 4,811
General Electric Capital Corp. 5.300% 2/11/21 1,000 1,155

 

 

  General Electric Capital Corp. 6.750% 3/15/32 126,620 175,010
  General Electric Capital Corp. 7.500% 8/21/35 5,100 7,596
  General Electric Capital Corp. 6.150% 8/7/37 5,325 7,129
  General Electric Capital Corp. 5.880% 1/14/38 125,855 162,470
  General Electric Capital Corp. 6.880% 1/10/39 62,465 90,571
5 General Electric Capital Corp. 6.250% 12/29/49 10,000 11,277
 
  Insurance (5.3%)        
  ACE Capital Trust II 9.700% 4/1/30 7,050 10,575
  ACE INA Holdings Inc. 4.150% 3/13/43 9,000 9,433
  Aetna Inc. 4.130% 11/15/42 26,510 26,900
  Aetna Inc. 4.750% 3/15/44 11,380 12,841
  Allstate Corp. 4.500% 6/15/43 2,465 2,731
  American International Group Inc. 3.880% 1/15/35 2,905 2,838
  American International Group Inc. 4.500% 7/16/44 35,210 36,159
  Anthem Inc. 6.380% 6/15/37 16,791 21,155
  Anthem Inc. 4.630% 5/15/42 17,100 17,938
  AXA Financial Inc. 7.000% 4/1/28 24,910 31,980
  AXIS Specialty Finance plc 5.150% 4/1/45 3,000 3,248
  Berkshire Hathaway Inc. 4.500% 2/11/43 44,557 49,096
4 Guardian Life Insurance Co. of America 7.380% 9/30/39 12,160 16,906
4 Guardian Life Insurance Co. of America 4.880% 6/19/64 10,700 11,323
4 Jackson National Life Insurance Co. 8.150% 3/15/27 200 265
4 John Hancock Life Insurance Co. 7.380% 2/15/24 30,000 37,712
  Loews Corp. 4.130% 5/15/43 1,800 1,744
4,5 Massachusetts Mutual Life Insurance Co. 7.630% 11/15/23 600 765
4 Massachusetts Mutual Life Insurance Co. 8.880% 6/1/39 16,751 26,545
4 Massachusetts Mutual Life Insurance Co. 5.380% 12/1/41 6,160 7,207
4 Massachusetts Mutual Life Insurance Co. 4.500% 4/15/65 1,000 957
  MetLife Inc. 6.500% 12/15/32 900 1,190
  MetLife Inc. 4.130% 8/13/42 20,385 20,548
  MetLife Inc. 4.880% 11/13/43 2,049 2,309
  MetLife Inc. 4.050% 3/1/45 3,000 2,956
4 Metropolitan Life Insurance Co. 7.800% 11/1/25 32,250 43,195
  Munich Re America Corp. 7.450% 12/15/26 7,600 10,101
4 Nationwide Mutual Insurance Co. 8.250% 12/1/31 6,285 8,676
4 Nationwide Mutual Insurance Co. 9.380% 8/15/39 39,206 61,431
4 Nationwide Mutual Insurance Co. 4.950% 4/22/44 13,215 13,595
4 New York Life Insurance Co. 5.880% 5/15/33 47,575 58,635
4 Northwestern Mutual Life Insurance Co. 6.060% 3/30/40 14,890 19,023
4 Pacific Life Insurance Co. 9.250% 6/15/39 26,945 41,608
5 Progressive Corp. 6.700% 6/15/67 1,051 1,106
4 Swiss Re Treasury US Corp. 4.250% 12/6/42 12,470 12,890
4 Teachers Insurance & Annuity Association of        
  America 6.850% 12/16/39 20,452 27,574
4 Teachers Insurance & Annuity Association of        
  America 4.900% 9/15/44 10,720 11,756
  Travelers Cos. Inc. 6.750% 6/20/36 500 699
  Travelers Cos. Inc. 6.250% 6/15/37 1,355 1,813
  Travelers Cos. Inc. 4.600% 8/1/43 2,000 2,247
  UnitedHealth Group Inc. 5.800% 3/15/36 50,236 62,978
  UnitedHealth Group Inc. 6.500% 6/15/37 10,900 14,804
  UnitedHealth Group Inc. 6.630% 11/15/37 800 1,091
  UnitedHealth Group Inc. 6.880% 2/15/38 28,722 40,201
  UnitedHealth Group Inc. 4.630% 11/15/41 33,045 35,857
  UnitedHealth Group Inc. 4.380% 3/15/42 25,000 26,381

 

 

Real Estate Investment Trusts (0.2%)        
Alexandria Real Estate Equities Inc. 4.500% 7/30/29 535 554
Federal Realty Investment Trust 4.500% 12/1/44 1,000 1,051
4 Omega Healthcare Investors Inc. 4.500% 4/1/27 4,000 3,920
Simon Property Group LP 6.750% 2/1/40 10,700 14,667
Simon Property Group LP 4.250% 10/1/44 10,750 11,060
        3,393,216
Industrial (39.7%)        
Basic Industry (1.2%)        
Agrium Inc. 4.130% 3/15/35 1,000 971
Agrium Inc. 4.900% 6/1/43 2,000 2,118
BHP Billiton Finance USA Ltd. 4.130% 2/24/42 16,000 15,641
BHP Billiton Finance USA Ltd. 5.000% 9/30/43 46,700 52,146
CF Industries Inc. 5.380% 3/15/44 17,495 19,027
Dow Chemical Co. 4.250% 10/1/34 4,125 4,130
Freeport-McMoRan Inc. 5.450% 3/15/43 3,000 2,617
International Paper Co. 4.800% 6/15/44 13,440 13,460
Monsanto Co. 4.200% 7/15/34 1,000 1,044
Monsanto Co. 5.880% 4/15/38 3,000 3,645
Monsanto Co. 3.600% 7/15/42 600 550
Monsanto Co. 4.650% 11/15/43 600 650
Monsanto Co. 4.400% 7/15/44 28,330 29,130
Monsanto Co. 3.950% 4/15/45 1,000 958
Monsanto Co. 4.700% 7/15/64 1,500 1,532
Potash Corp. of Saskatchewan Inc. 5.880% 12/1/36 500 613
Potash Corp. of Saskatchewan Inc. 5.630% 12/1/40 1,000 1,235
PPG Industries Inc. 5.500% 11/15/40 1,225 1,458
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 8,894 9,703
Rio Tinto Finance USA plc 4.750% 3/22/42 4,746 4,978
Rio Tinto Finance USA plc 4.130% 8/21/42 30,675 29,596
 
Capital Goods (3.9%)        
3M Co. 6.380% 2/15/28 23,140 30,769
3M Co. 5.700% 3/15/37 13,500 17,426
Boeing Co. 6.130% 2/15/33 27,065 35,809
Boeing Co. 7.880% 4/15/43 6,700 10,604
Caterpillar Inc. 6.050% 8/15/36 3,082 3,889
Caterpillar Inc. 3.800% 8/15/42 45,322 43,770
Caterpillar Inc. 4.300% 5/15/44 19,745 20,876
Deere & Co. 7.130% 3/3/31 15,000 20,650
Deere & Co. 3.900% 6/9/42 18,585 18,645
Dover Corp. 6.600% 3/15/38 3,175 4,305
Dover Corp. 5.380% 3/1/41 980 1,185
Emerson Electric Co. 6.000% 8/15/32 1,071 1,378
Emerson Electric Co. 5.250% 11/15/39 775 927
General Electric Co. 4.130% 10/9/42 16,725 17,297
General Electric Co. 4.500% 3/11/44 22,300 24,480
Honeywell International Inc. 5.700% 3/15/36 2,960 3,715
Honeywell International Inc. 5.700% 3/15/37 4,065 5,141
Illinois Tool Works Inc. 3.900% 9/1/42 4,850 4,801
Lockheed Martin Corp. 3.600% 3/1/35 17,210 16,802
Lockheed Martin Corp. 6.150% 9/1/36 8,102 10,461
Lockheed Martin Corp. 5.500% 11/15/39 6,000 7,323
Lockheed Martin Corp. 4.850% 9/15/41 27,319 30,742
Lockheed Martin Corp. 4.070% 12/15/42 10,120 10,220
Lockheed Martin Corp. 3.800% 3/1/45 13,625 13,105
Parker-Hannifin Corp. 4.450% 11/21/44 2,500 2,717

 

 

Raytheon Co. 4.700% 12/15/41 37,524 41,798
Raytheon Co. 4.200% 12/15/44 3,185 3,329
Rockwell Collins Inc. 4.800% 12/15/43 20,129 23,082
United Technologies Corp. 7.500% 9/15/29 14,755 21,269
United Technologies Corp. 6.130% 7/15/38 55,575 71,815
United Technologies Corp. 5.700% 4/15/40 31,350 39,479
United Technologies Corp. 4.500% 6/1/42 34,330 36,560
Waste Management Inc. 3.900% 3/1/35 10,000 9,958
Waste Management Inc. 4.100% 3/1/45 20,700 20,107
 
Communication (5.5%)        
21st Century Fox America Inc. 6.400% 12/15/35 25,200 32,424
21st Century Fox America Inc. 7.900% 12/1/95 3,975 5,231
Alltel Corp. 7.880% 7/1/32 2,400 3,408
America Movil SAB de CV 6.380% 3/1/35 3,600 4,481
America Movil SAB de CV 6.130% 3/30/40 24,520 30,171
America Movil SAB de CV 4.380% 7/16/42 2,750 2,715
AT&T Inc. 6.300% 1/15/38 1,000 1,171
AT&T Inc. 6.550% 2/15/39 575 702
AT&T Inc. 5.550% 8/15/41 1,000 1,099
AT&T Inc. 4.800% 6/15/44 750 740
AT&T Inc. 4.750% 5/15/46 2,000 1,955
CBS Corp. 4.900% 8/15/44 18,470 18,728
CC Holdings GS V LLC / Crown Castle GS III        
Corp. 3.850% 4/15/23 1,500 1,516
Comcast Corp. 4.250% 1/15/33 11,435 11,912
Comcast Corp. 7.050% 3/15/33 10,535 14,296
Comcast Corp. 4.200% 8/15/34 2,300 2,386
Comcast Corp. 5.650% 6/15/35 42,764 51,978
Comcast Corp. 6.450% 3/15/37 18,000 23,847
Comcast Corp. 6.950% 8/15/37 66,717 90,592
Comcast Corp. 6.400% 5/15/38 10,485 13,793
Comcast Corp. 6.550% 7/1/39 11,765 15,781
Comcast Corp. 6.400% 3/1/40 19,865 26,043
Comcast Corp. 4.650% 7/15/42 21,540 23,100
Comcast Corp. 4.500% 1/15/43 14,860 15,634
Comcast Corp. 4.750% 3/1/44 66,670 73,113
4 COX Communications Inc. 6.450% 12/1/36 9,000 10,790
4 COX Communications Inc. 8.380% 3/1/39 19,110 26,385
Deutsche Telekom International Finance BV 8.750% 6/15/30 17,730 26,415
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.350% 3/15/40 2,500 2,914
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 6.000% 8/15/40 1,000 1,118
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.150% 3/15/42 1,300 1,315
Grupo Televisa SAB 5.000% 5/13/45 1,500 1,524
Historic TW Inc. 6.630% 5/15/29 22,275 28,288
Moody's Corp. 5.250% 7/15/44 2,750 3,049
NBCUniversal Media LLC 6.400% 4/30/40 2,050 2,698
NBCUniversal Media LLC 5.950% 4/1/41 18,000 22,578
NBCUniversal Media LLC 4.450% 1/15/43 33,460 35,156
Orange SA 9.000% 3/1/31 17,000 25,500
Qwest Corp. 6.880% 9/15/33 2,000 2,018
4 SES Global Americas Holdings GP 5.300% 3/25/44 1,000 1,090
Time Warner Cable Inc. 6.550% 5/1/37 31,750 32,802
Time Warner Cable Inc. 7.300% 7/1/38 10,960 12,056
Time Warner Cable Inc. 6.750% 6/15/39 8,320 8,759

 

 

Time Warner Cable Inc. 4.500% 9/15/42 4,050 3,495
Time Warner Inc. 7.630% 4/15/31 9,000 12,313
Time Warner Inc. 6.500% 11/15/36 9,000 11,407
Verizon Communications Inc. 7.750% 12/1/30 2,000 2,766
Verizon Communications Inc. 5.850% 9/15/35 1,500 1,737
Verizon Communications Inc. 6.550% 9/15/43 98 122
Verizon Communications Inc. 4.860% 8/21/46 22,403 22,506
4 Verizon Communications Inc. 4.520% 9/15/48 74,556 70,408
4 Verizon Communications Inc. 4.670% 3/15/55 15,089 14,088
Walt Disney Co. 3.700% 12/1/42 9,300 9,141
Walt Disney Co. 7.550% 7/15/93 20,750 26,835
 
Consumer Cyclical (6.1%)        
4 Alibaba Group Holding Ltd. 4.500% 11/28/34 2,500 2,504
Amazon.com Inc. 4.800% 12/5/34 1,000 1,066
Amazon.com Inc. 4.950% 12/5/44 1,000 1,056
Brinker International Inc. 3.880% 5/15/23 2,000 1,993
Cummins Inc. 4.880% 10/1/43 1,400 1,596
CVS Health Corp. 5.750% 5/15/41 7,110 8,857
Daimler Finance North America LLC 8.500% 1/18/31 21,570 33,338
Ford Motor Co. 7.450% 7/16/31 20,750 28,111
Ford Motor Co. 4.750% 1/15/43 3,000 3,113
Home Depot Inc. 5.880% 12/16/36 39,775 51,241
Home Depot Inc. 5.950% 4/1/41 20,470 26,477
Home Depot Inc. 4.200% 4/1/43 6,035 6,383
Home Depot Inc. 4.880% 2/15/44 70,200 81,297
Home Depot Inc. 4.400% 3/15/45 12,900 14,079
Lowe's Cos. Inc. 6.500% 3/15/29 24,210 31,267
Lowe's Cos. Inc. 5.500% 10/15/35 600 716
Lowe's Cos. Inc. 5.800% 10/15/36 10,460 13,101
Lowe's Cos. Inc. 6.650% 9/15/37 12,497 17,132
Lowe's Cos. Inc. 5.800% 4/15/40 11,390 14,437
Lowe's Cos. Inc. 5.130% 11/15/41 7,460 8,810
Lowe's Cos. Inc. 4.650% 4/15/42 1,250 1,390
Lowe's Cos. Inc. 5.000% 9/15/43 28,090 32,720
Lowe's Cos. Inc. 4.250% 9/15/44 800 841
McDonald's Corp. 6.300% 10/15/37 15,765 20,035
McDonald's Corp. 6.300% 3/1/38 26,940 34,861
McDonald's Corp. 5.700% 2/1/39 11,980 14,458
NIKE Inc. 3.630% 5/1/43 30,604 29,891
Target Corp. 6.500% 10/15/37 18,673 25,442
Target Corp. 7.000% 1/15/38 1,100 1,566
Target Corp. 4.000% 7/1/42 2,000 2,026
VF Corp. 6.450% 11/1/37 1,226 1,660
Wal-Mart Stores Inc. 7.550% 2/15/30 51,000 75,280
Wal-Mart Stores Inc. 5.250% 9/1/35 4,789 5,788
Wal-Mart Stores Inc. 6.500% 8/15/37 42,625 58,468
Wal-Mart Stores Inc. 6.200% 4/15/38 83,350 111,164
Wal-Mart Stores Inc. 5.630% 4/1/40 10,000 12,565
Wal-Mart Stores Inc. 4.880% 7/8/40 20,000 23,107
Wal-Mart Stores Inc. 5.000% 10/25/40 16,855 19,800
Wal-Mart Stores Inc. 5.630% 4/15/41 75,432 95,388
Wal-Mart Stores Inc. 4.000% 4/11/43 24,345 24,797
Wal-Mart Stores Inc. 4.750% 10/2/43 15,300 17,264
Wal-Mart Stores Inc. 4.300% 4/22/44 24,965 26,914
 
Consumer Noncyclical (12.3%)        
Abbott Laboratories 6.000% 4/1/39 16,105 21,032

 

 

Abbott Laboratories 5.300% 5/27/40 1,000 1,226
Actavis Funding SCS 4.550% 3/15/35 27,125 27,523
Actavis Funding SCS 4.750% 3/15/45 18,630 19,123
Altria Group Inc. 9.950% 11/10/38 1,608 2,751
Altria Group Inc. 4.250% 8/9/42 7,505 7,188
Altria Group Inc. 5.380% 1/31/44 1,250 1,405
AmerisourceBergen Corp. 4.250% 3/1/45 1,800 1,834
Amgen Inc. 6.380% 6/1/37 5,500 6,844
Anheuser-Busch Cos. LLC 6.750% 12/15/27 400 516
Anheuser-Busch Cos. LLC 6.800% 8/20/32 5,000 6,675
Anheuser-Busch Cos. LLC 5.750% 4/1/36 11,460 13,860
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 9,000 8,954
Anheuser-Busch InBev Finance Inc. 4.630% 2/1/44 1,850 2,000
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 41,590 64,778
Anheuser-Busch InBev Worldwide Inc. 8.000% 11/15/39 10,000 15,206
Anheuser-Busch InBev Worldwide Inc. 6.380% 1/15/40 14,844 19,284
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 23,940 22,722
Archer-Daniels-Midland Co. 4.540% 3/26/42 21,694 24,013
Archer-Daniels-Midland Co. 4.020% 4/16/43 8,609 8,646
5 Ascension Health 4.850% 11/15/53 10,040 11,305
AstraZeneca plc 6.450% 9/15/37 55,180 74,081
Baxter International Inc. 3.650% 8/15/42 6,690 6,187
Becton Dickinson & Co. 7.000% 8/1/27 800 1,041
6 Bristol-Myers Squibb Co. 1.750% 5/15/35 1,000 1,118
Bristol-Myers Squibb Co. 6.130% 5/1/38 1,846 2,412
Bristol-Myers Squibb Co. 3.250% 8/1/42 5,800 5,197
Bristol-Myers Squibb Co. 4.500% 3/1/44 22,500 24,947
Cardinal Health Inc. 4.500% 11/15/44 18,770 19,361
4 Cargill Inc. 6.130% 4/19/34 200 254
4 Cargill Inc. 6.130% 9/15/36 27,045 34,786
4 Cargill Inc. 6.630% 9/15/37 4,500 6,218
4 Cargill Inc. 4.100% 11/1/42 15,500 15,704
5 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 19,400 18,490
Children’s Hospital Medical Center Ohio GO 4.270% 5/15/44 500 516
City of Hope 5.620% 11/15/43 12,080 14,579
Cleveland Clinic Foundation Ohio Revenue 4.860% 1/1/14 4,000 3,982
Coca-Cola Femsa SAB de CV 5.250% 11/26/43 1,200 1,366
Diageo Capital plc 3.880% 4/29/43 12,400 12,314
Diageo Investment Corp. 4.250% 5/11/42 5,000 5,200
Dignity Health 5.270% 11/1/64 800 859
Dignity Health California GO 4.500% 11/1/42 20,865 20,734
Eli Lilly & Co. 5.500% 3/15/27 16,125 19,781
Eli Lilly & Co. 4.650% 6/15/44 25,625 28,950
Eli Lilly & Co. 3.700% 3/1/45 27,670 26,887
General Mills Inc. 5.400% 6/15/40 800 928
Gilead Sciences Inc. 5.650% 12/1/41 19,915 24,039
Gilead Sciences Inc. 4.800% 4/1/44 26,555 29,017
Gilead Sciences Inc. 4.500% 2/1/45 22,580 23,720
GlaxoSmithKline Capital Inc. 5.380% 4/15/34 18,497 22,055
GlaxoSmithKline Capital Inc. 6.380% 5/15/38 54,345 71,431
4 Grupo Bimbo SAB de CV 4.880% 6/27/44 3,000 2,949
4 JM Smucker Co. 4.250% 3/15/35 7,805 7,773
4 JM Smucker Co. 4.380% 3/15/45 2,615 2,600
Johnson & Johnson 6.950% 9/1/29 10,157 14,712
Johnson & Johnson 5.950% 8/15/37 2,742 3,677
Johnson & Johnson 4.500% 9/1/40 12,015 13,714
Johnson & Johnson 4.500% 12/5/43 7,950 9,127
Kaiser Foundation Hospitals 4.880% 4/1/42 28,625 32,067

 

 

Kellogg Co. 7.450% 4/1/31 14,570 19,473
Kimberly-Clark Corp. 6.630% 8/1/37 5,300 7,346
Kimberly-Clark Corp. 5.300% 3/1/41 11,400 13,960
Koninklijke Philips NV 6.880% 3/11/38 2,090 2,713
Kraft Foods Group Inc. 6.880% 1/26/39 1,515 1,983
Kraft Foods Group Inc. 5.000% 6/4/42 2,518 2,717
Lorillard Tobacco Co. 7.000% 8/4/41 2,000 2,532
5 Mayo Clinic 3.770% 11/15/43 13,095 12,886
McKesson Corp. 4.880% 3/15/44 18,395 20,286
4 Medtronic Inc. 4.380% 3/15/35 45,792 48,384
Medtronic Inc. 6.500% 3/15/39 21,200 28,579
Medtronic Inc. 5.550% 3/15/40 1,490 1,811
Medtronic Inc. 4.500% 3/15/42 9,000 9,446
Medtronic Inc. 4.630% 3/15/44 2,000 2,138
4 Medtronic Inc. 4.630% 3/15/45 94,140 101,575
Memorial Sloan-Kettering Cancer Center 4.200% 7/1/55 4,675 4,559
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 26,775 30,082
Memorial Sloan-Kettering Cancer Center New        
York GO 4.130% 7/1/52 11,285 10,699
Merck & Co. Inc. 3.600% 9/15/42 11,567 11,136
Merck & Co. Inc. 4.150% 5/18/43 13,845 14,359
Merck & Co. Inc. 3.700% 2/10/45 40,265 38,919
New York & Presbyterian Hospital 4.020% 8/1/45 19,585 18,769
North Shore-Long Island Jewish Health Care        
Inc. Revenue 4.800% 11/1/42 8,265 8,277
North Shore-Long Island Jewish Health Care        
Inc. Revenue 6.150% 11/1/43 21,550 26,545
Novant Health Inc. 4.370% 11/1/43 552 554
Novartis Capital Corp. 4.400% 5/6/44 29,840 33,331
NYU Hospitals Center 4.780% 7/1/44 2,000 2,160
Pepsi Bottling Group Inc. 7.000% 3/1/29 12,000 16,897
PepsiCo Inc. 5.500% 1/15/40 25,450 30,947
PepsiCo Inc. 4.880% 11/1/40 10,375 11,638
PepsiCo Inc. 4.000% 3/5/42 16,872 17,150
PepsiCo Inc. 3.600% 8/13/42 1,500 1,420
Pfizer Inc. 7.200% 3/15/39 51,762 74,015
Pfizer Inc. 4.300% 6/15/43 15,300 15,858
Pharmacia Corp. 6.750% 12/15/27 2,800 3,729
Philip Morris International Inc. 6.380% 5/16/38 32,015 41,831
Philip Morris International Inc. 4.130% 3/4/43 10,000 9,991
Philip Morris International Inc. 4.880% 11/15/43 31,930 35,435
Philip Morris International Inc. 4.250% 11/10/44 27,775 28,007
Procter & Gamble Co. 5.500% 2/1/34 13,500 17,251
Procter & Gamble Co. 5.550% 3/5/37 13,200 17,044
4 Roche Holdings Inc. 7.000% 3/1/39 4,900 7,232
4 Roche Holdings Inc. 4.000% 11/28/44 29,605 31,136
4 SABMiller Holdings Inc. 4.950% 1/15/42 18,000 19,967
4 SC Johnson & Son Inc. 4.000% 5/15/43 21,645 21,463
4 SC Johnson & Son Inc. 4.350% 9/30/44 14,255 14,960
St. Jude Medical Inc. 4.750% 4/15/43 37,890 40,452
Sysco Corp. 4.350% 10/2/34 3,000 3,075
Sysco Corp. 4.500% 10/2/44 42,935 43,850
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 2,466 3,024
5 Texas Health Resources 4.330% 11/15/55 1,000 994
Tyson Foods Inc. 4.880% 8/15/34 2,000 2,166
Tyson Foods Inc. 5.150% 8/15/44 1,500 1,676
Wyeth LLC 6.000% 2/15/36 1,600 2,041

 

 

Wyeth LLC 5.950% 4/1/37 68,185 85,272
 
Energy (4.5%)        
Apache Corp. 5.100% 9/1/40 6,865 7,195
Apache Corp. 4.750% 4/15/43 29,175 29,673
Baker Hughes Inc. 5.130% 9/15/40 2,375 2,676
Burlington Resources Finance Co. 7.400% 12/1/31 23,500 32,565
Cameron International Corp. 5.950% 6/1/41 1,250 1,347
ConocoPhillips 7.000% 3/30/29 10,850 13,906
ConocoPhillips 5.900% 10/15/32 20,300 24,935
ConocoPhillips 6.500% 2/1/39 75,816 99,922
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 1,500 1,855
ConocoPhillips Co. 4.300% 11/15/44 27,155 27,937
Diamond Offshore Drilling Inc. 5.700% 10/15/39 500 472
Diamond Offshore Drilling Inc. 4.880% 11/1/43 2,750 2,333
Dominion Gas Holdings LLC 4.800% 11/1/43 1,575 1,715
Encana Corp. 6.500% 8/15/34 13,863 16,158
Encana Corp. 5.150% 11/15/41 7,645 7,794
Energy Transfer Partners LP 6.050% 6/1/41 1,500 1,631
Energy Transfer Partners LP 5.150% 2/1/43 12,825 12,600
5 Enterprise Products Operating LLC 8.380% 8/1/66 1,835 1,945
EOG Resources Inc. 3.900% 4/1/35 1,000 1,010
Exxon Mobil Corp. 3.570% 3/6/45 33,755 33,733
Halliburton Co. 6.700% 9/15/38 500 658
Halliburton Co. 7.450% 9/15/39 500 702
Halliburton Co. 4.500% 11/15/41 1,200 1,247
Halliburton Co. 4.750% 8/1/43 3,050 3,304
Kinder Morgan Inc. 5.550% 6/1/45 24,210 24,243
Kinder Morgan Inc. 5.050% 2/15/46 11,500 10,800
Marathon Oil Corp. 6.600% 10/1/37 7,750 9,421
National Oilwell Varco Inc. 3.950% 12/1/42 1,000 920
Petro-Canada 6.800% 5/15/38 16,243 21,324
Phillips 66 Partners LP 3.610% 2/15/25 80 79
Shell International Finance BV 6.380% 12/15/38 43,260 58,812
Shell International Finance BV 5.500% 3/25/40 20,955 25,669
Shell International Finance BV 4.550% 8/12/43 22,665 24,984
Suncor Energy Inc. 3.600% 12/1/24 4,855 4,998
Suncor Energy Inc. 6.500% 6/15/38 11,910 15,278
Suncor Energy Inc. 6.850% 6/1/39 7,035 9,243
Texas Eastern Transmission LP 7.000% 7/15/32 15,300 19,908
Tosco Corp. 7.800% 1/1/27 15,000 20,540
Tosco Corp. 8.130% 2/15/30 20,000 28,858
TransCanada PipeLines Ltd. 4.630% 3/1/34 5,000 5,317
TransCanada PipeLines Ltd. 6.200% 10/15/37 1,500 1,844
TransCanada PipeLines Ltd. 7.630% 1/15/39 49,700 71,475
TransCanada PipeLines Ltd. 6.100% 6/1/40 2,300 2,859
Transocean Inc. 7.500% 4/15/31 500 409
Williams Partners LP 5.100% 9/15/45 29,550 27,977
 
Other Industrial (0.7%)        
4 Hutchison Whampoa International 11 Ltd. 4.630% 1/13/22 18,960 20,791
5 Massachusetts Institute of Technology GO 3.960% 7/1/38 25,200 26,611
Massachusetts Institute of Technology GO 5.600% 7/1/11 600 786
5 Northwestern University 3.870% 12/1/48 24,930 25,059
5 Northwestern University Illinois GO 4.640% 12/1/44 25,315 28,908
4 President & Fellows of Harvard College        
Massachusetts GO 6.500% 1/15/39 3,865 5,531

 

 

Technology (4.2%)        
Apple Inc. 3.850% 5/4/43 41,755 40,362
Apple Inc. 4.450% 5/6/44 24,730 26,320
Apple Inc. 3.450% 2/9/45 52,950 47,142
Applied Materials Inc. 5.850% 6/15/41 1,150 1,369
Broadcom Corp. 4.500% 8/1/34 500 527
Cisco Systems Inc. 5.900% 2/15/39 37,500 46,055
Cisco Systems Inc. 5.500% 1/15/40 35,725 42,325
Intel Corp. 4.800% 10/1/41 24,080 26,168
Intel Corp. 4.250% 12/15/42 9,240 9,375
International Business Machines Corp. 7.000% 10/30/25 28,025 37,452
International Business Machines Corp. 4.000% 6/20/42 24,600 23,728
Microsoft Corp. 3.500% 2/12/35 35,235 33,489
Microsoft Corp. 4.500% 10/1/40 1,900 2,054
Microsoft Corp. 5.300% 2/8/41 15,000 18,088
Microsoft Corp. 3.500% 11/15/42 1,750 1,588
Microsoft Corp. 3.750% 5/1/43 10,000 9,795
Microsoft Corp. 4.880% 12/15/43 500 576
Microsoft Corp. 3.750% 2/12/45 71,860 67,787
Microsoft Corp. 4.000% 2/12/55 14,000 13,202
Oracle Corp. 4.300% 7/8/34 3,500 3,635
Oracle Corp. 3.900% 5/15/35 8,000 7,868
Oracle Corp. 6.500% 4/15/38 40,833 53,706
Oracle Corp. 6.130% 7/8/39 19,559 24,649
Oracle Corp. 5.380% 7/15/40 43,160 50,842
Oracle Corp. 4.500% 7/8/44 2,000 2,090
Oracle Corp. 4.130% 5/15/45 37,000 36,464
Oracle Corp. 4.380% 5/15/55 37,000 36,009
4 Seagate HDD Cayman 4.750% 1/1/25 1,500 1,541
4 Seagate HDD Cayman 5.750% 12/1/34 1,500 1,605
Tyco Electronics Group SA 7.130% 10/1/37 525 720
 
Transportation (1.3%)        
Burlington Northern Santa Fe LLC 6.880% 12/1/27 12,500 16,111
Burlington Northern Santa Fe LLC 5.750% 5/1/40 18,888 23,156
Burlington Northern Santa Fe LLC 5.400% 6/1/41 8,197 9,760
Burlington Northern Santa Fe LLC 4.400% 3/15/42 9,000 9,406
Canadian Pacific Railway Co. 7.130% 10/15/31 2,013 2,732
Canadian Pacific Railway Co. 5.750% 3/15/33 900 1,075
CSX Corp. 6.220% 4/30/40 10,620 13,782
CSX Corp. 4.400% 3/1/43 21,185 22,341
CSX Corp. 4.500% 8/1/54 3,195 3,340
4 ERAC USA Finance LLC 7.000% 10/15/37 15,821 20,712
4 ERAC USA Finance LLC 4.500% 2/15/45 2,000 1,982
FedEx Corp. 3.900% 2/1/35 9,070 8,837
FedEx Corp. 5.100% 1/15/44 3,605 4,020
Union Pacific Corp. 3.380% 2/1/35 1,500 1,434
Union Pacific Corp. 4.750% 9/15/41 2,000 2,268
Union Pacific Corp. 4.250% 4/15/43 5,125 5,392
Union Pacific Corp. 4.750% 12/15/43 20,510 23,382
Union Pacific Corp. 4.820% 2/1/44 12,000 13,876
Union Pacific Corp. 4.150% 1/15/45 1,500 1,560
5 United Airlines 2013-1 Class A Pass Through        
Trust 4.300% 2/15/27 2,149 2,321
5 United Airlines 2014-1 Class A Pass Through        
Trust 4.000% 10/11/27 2,500 2,662
United Parcel Service Inc. 6.200% 1/15/38 8,350 11,087
United Parcel Service Inc. 4.880% 11/15/40 2,700 3,142

 

 

United Parcel Service Inc. 3.630% 10/1/42 8,290 8,057
        6,350,045
Utilities (14.1%)        
Electric (13.9%)        
Alabama Power Co. 5.700% 2/15/33 1,300 1,634
Alabama Power Co. 6.000% 3/1/39 5,475 7,176
Alabama Power Co. 5.500% 3/15/41 26,943 33,516
Alabama Power Co. 5.200% 6/1/41 15,000 18,144
Alabama Power Co. 3.750% 3/1/45 22,325 22,046
Ameren Illinois Co. 4.300% 7/1/44 19,415 20,936
Appalachian Power Co. 6.700% 8/15/37 38,600 52,089
Baltimore Gas & Electric Co. 6.350% 10/1/36 1,230 1,657
Berkshire Hathaway Energy Co. 6.130% 4/1/36 17,452 22,265
Berkshire Hathaway Energy Co. 5.950% 5/15/37 9,000 11,218
Berkshire Hathaway Energy Co. 5.150% 11/15/43 10,000 11,708
Berkshire Hathaway Energy Co. 4.500% 2/1/45 20,675 22,101
CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 15,775 14,903
Commonwealth Edison Co. 5.900% 3/15/36 2,120 2,721
Commonwealth Edison Co. 3.800% 10/1/42 20,805 20,663
Commonwealth Edison Co. 4.600% 8/15/43 12,560 14,103
Commonwealth Edison Co. 4.700% 1/15/44 15,955 18,146
Commonwealth Edison Co. 3.700% 3/1/45 15,990 15,677
Connecticut Light & Power Co. 6.350% 6/1/36 15,000 20,220
Connecticut Light & Power Co. 4.300% 4/15/44 940 1,010
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 9,330 10,367
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 12,534
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 12,127 15,559
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 17,903
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 6,250 7,574
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,995 9,959
Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,250 10,602
Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 16,485 16,650
Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 48,300 52,083
Consolidated Edison Co. of New York Inc. 4.630% 12/1/54 9,635 10,323
Delmarva Power & Light Co. 4.000% 6/1/42 1,000 1,025
Dominion Resources Inc. 4.700% 12/1/44 18,505 19,930
DTE Electric Co. 6.630% 6/1/36 3,110 4,331
DTE Electric Co. 4.000% 4/1/43 1,900 1,958
Duke Energy Carolinas LLC 6.450% 10/15/32 8,200 10,693
Duke Energy Carolinas LLC 6.100% 6/1/37 52,400 68,063
Duke Energy Carolinas LLC 6.050% 4/15/38 2,440 3,253
Duke Energy Carolinas LLC 5.300% 2/15/40 4,900 6,109
Duke Energy Carolinas LLC 4.250% 12/15/41 18,000 19,474
Duke Energy Carolinas LLC 4.000% 9/30/42 42,242 43,596
Duke Energy Carolinas LLC 3.750% 6/1/45 18,320 18,284
Duke Energy Florida Inc. 6.750% 2/1/28 2,300 2,946
Duke Energy Florida Inc. 6.400% 6/15/38 1,000 1,384
Duke Energy Florida Inc. 5.650% 4/1/40 11,860 15,304
Duke Energy Florida Inc. 3.850% 11/15/42 2,000 2,031
Duke Energy Indiana Inc. 6.120% 10/15/35 2,723 3,475
Duke Energy Indiana Inc. 6.350% 8/15/38 5,135 7,038
Duke Energy Indiana Inc. 6.450% 4/1/39 9,100 12,633
Duke Energy Indiana Inc. 4.200% 3/15/42 12,700 13,527
Duke Energy Indiana Inc. 4.900% 7/15/43 26,810 31,470
Duke Energy Progress Inc. 5.700% 4/1/35 7,500 9,191
Duke Energy Progress Inc. 4.100% 5/15/42 1,250 1,317
Duke Energy Progress Inc. 4.100% 3/15/43 15,000 15,715

 

 

Duke Energy Progress Inc. 4.380% 3/30/44 2,000 2,193
Duke Energy Progress Inc. 4.150% 12/1/44 9,380 9,959
Entergy Louisiana LLC 4.950% 1/15/45 750 766
4 FirstEnergy Transmission LLC 4.350% 1/15/25 850 898
Florida Power & Light Co. 5.630% 4/1/34 16,275 20,570
Florida Power & Light Co. 5.400% 9/1/35 13,380 16,586
Florida Power & Light Co. 6.200% 6/1/36 400 536
Florida Power & Light Co. 5.960% 4/1/39 15,100 20,077
Florida Power & Light Co. 5.690% 3/1/40 7,350 9,569
Florida Power & Light Co. 5.250% 2/1/41 19,780 24,275
Florida Power & Light Co. 4.130% 2/1/42 11,265 11,934
Florida Power & Light Co. 3.800% 12/15/42 26,975 27,390
Florida Power & Light Co. 4.050% 10/1/44 10,825 11,360
Georgia Power Co. 5.950% 2/1/39 29,827 38,360
Georgia Power Co. 5.400% 6/1/40 10,100 12,216
Georgia Power Co. 4.750% 9/1/40 18,680 20,928
Georgia Power Co. 4.300% 3/15/42 9,982 10,573
Georgia Power Co. 4.300% 3/15/43 6,588 6,986
5 John Sevier Combined Cycle Generation LLC 4.630% 1/15/42 22,780 25,662
Kentucky Utilities Co. 4.650% 11/15/43 1,000 1,130
MidAmerican Energy Co. 5.800% 10/15/36 5,000 6,431
MidAmerican Energy Co. 4.800% 9/15/43 29,300 33,742
Mississippi Power Co. 4.250% 3/15/42 2,000 2,019
National Rural Utilities Cooperative Finance        
Corp. 4.020% 11/1/32 44,509 46,372
Nevada Power Co. 6.650% 4/1/36 5,830 8,055
Nevada Power Co. 5.380% 9/15/40 18,230 22,433
Nevada Power Co. 5.450% 5/15/41 23,620 29,214
Northern States Power Co. 6.200% 7/1/37 39,400 53,400
Northern States Power Co. 3.400% 8/15/42 8,945 8,530
Oglethorpe Power Corp. 5.380% 11/1/40 2,000 2,362
Oklahoma Gas & Electric Co. 6.500% 4/15/28 1,300 1,666
Oklahoma Gas & Electric Co. 4.550% 3/15/44 500 556
Pacific Gas & Electric Co. 6.050% 3/1/34 46,041 59,149
Pacific Gas & Electric Co. 5.800% 3/1/37 8,862 11,064
Pacific Gas & Electric Co. 6.350% 2/15/38 8,192 10,786
Pacific Gas & Electric Co. 6.250% 3/1/39 35,905 46,980
Pacific Gas & Electric Co. 5.400% 1/15/40 22,200 26,614
Pacific Gas & Electric Co. 4.500% 12/15/41 700 763
Pacific Gas & Electric Co. 5.130% 11/15/43 2,500 2,947
Pacific Gas & Electric Co. 4.750% 2/15/44 22,155 25,019
PacifiCorp 5.250% 6/15/35 1,301 1,546
PacifiCorp 6.100% 8/1/36 15,000 19,812
PacifiCorp 6.250% 10/15/37 7,815 10,559
PacifiCorp 6.350% 7/15/38 20,000 27,432
PacifiCorp 6.000% 1/15/39 32,446 42,616
PacifiCorp 4.100% 2/1/42 24,520 25,788
Peco Energy Co. 4.800% 10/15/43 20,305 23,737
PECO Energy Co. 4.150% 10/1/44 1,100 1,176
Potomac Electric Power Co. 6.500% 11/15/37 1,225 1,703
Potomac Electric Power Co. 7.900% 12/15/38 150 236
Potomac Electric Power Co. 4.150% 3/15/43 2,000 2,109
PPL Electric Utilities Corp. 6.250% 5/15/39 10,975 14,973
PPL Electric Utilities Corp. 5.200% 7/15/41 1,250 1,515
Progress Energy Inc. 7.750% 3/1/31 4,180 5,900
PSEG Power LLC 8.630% 4/15/31 26,547 38,716
Public Service Co. of Colorado 3.600% 9/15/42 15,055 14,669
Public Service Electric & Gas Co. 3.650% 9/1/42 23,483 23,003

 

 

Public Service Electric & Gas Co. 4.000% 6/1/44 700 727
Puget Sound Energy Inc. 6.720% 6/15/36 10,000 14,036
Puget Sound Energy Inc. 6.270% 3/15/37 4,700 6,272
Puget Sound Energy Inc. 5.760% 10/1/39 1,100 1,422
Puget Sound Energy Inc. 5.800% 3/15/40 18,130 23,258
Puget Sound Energy Inc. 5.760% 7/15/40 4,520 5,820
South Carolina Electric & Gas Co. 6.630% 2/1/32 35,000 46,743
South Carolina Electric & Gas Co. 6.050% 1/15/38 10,600 13,726
South Carolina Electric & Gas Co. 5.450% 2/1/41 300 364
South Carolina Electric & Gas Co. 4.350% 2/1/42 33,287 35,129
South Carolina Electric & Gas Co. 4.600% 6/15/43 1,705 1,873
South Carolina Electric & Gas Co. 4.500% 6/1/64 19,430 20,138
Southern California Edison Co. 6.000% 1/15/34 19,095 24,920
Southern California Edison Co. 5.950% 2/1/38 16,100 21,073
Southern California Edison Co. 6.050% 3/15/39 845 1,113
Southern California Edison Co. 4.500% 9/1/40 12,000 13,253
Southern California Edison Co. 3.900% 12/1/41 5,425 5,515
Southern California Edison Co. 4.050% 3/15/42 7,625 7,957
Southern California Edison Co. 3.900% 3/15/43 18,480 18,730
Southern California Edison Co. 4.650% 10/1/43 29,150 33,319
Southern California Edison Co. 3.600% 2/1/45 1,185 1,145
Southwestern Public Service Co. 4.500% 8/15/41 25,055 27,818
Tampa Electric Co. 6.150% 5/15/37 36,000 47,961
Tampa Electric Co. 4.100% 6/15/42 1,010 1,054
Virginia Electric & Power Co. 6.000% 5/15/37 57,330 75,215
Virginia Electric & Power Co. 6.350% 11/30/37 2,000 2,746
Virginia Electric & Power Co. 4.650% 8/15/43 1,140 1,283
Virginia Electric and Power Co. 4.450% 2/15/44 6,715 7,325
Westar Energy Inc. 4.130% 3/1/42 1,175 1,231
Westar Energy Inc. 4.630% 9/1/43 1,300 1,470
Wisconsin Public Service Corp. 4.750% 11/1/44 17,500 20,473
 
Natural Gas (0.2%)        
Atmos Energy Corp. 4.130% 10/15/44 1,000 1,032
KeySpan Corp. 5.800% 4/1/35 7,850 9,375
Laclede Group Inc. 4.700% 8/15/44 1,900 2,029
ONE Gas Inc. 4.660% 2/1/44 700 787
Southern California Gas Co. 5.130% 11/15/40 3,922 4,737
Southern California Gas Co. 3.750% 9/15/42 11,265 11,303
   
        2,246,166
Total Corporate Bonds (Cost $10,561,012)       11,989,427
Sovereign Bonds (U.S. Dollar-Denominated) (2.1%)        
4 CDP Financial Inc. 5.600% 11/25/39 15,000 19,612
4 CNOOC Finance 2011 Ltd. 5.750% 1/26/41 8,620 10,422
4 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 14,865 18,475
4 Corp. Nacional del Cobre de Chile 4.880% 11/4/44 1,000 1,037
Ecopetrol SA 5.880% 5/28/45 2,250 2,157
4 Electricite de France SA 6.950% 1/26/39 23,040 30,621
4 Electricite de France SA 5.600% 1/27/40 6,540 7,611
4 Electricite de France SA 4.880% 1/22/44 26,075 28,780
4 Electricite de France SA 6.000% 1/22/14 2,280 2,557
Export-Import Bank of Korea 3.250% 8/12/26 5,000 5,105
Federative Republic of Brazil 4.250% 1/7/25 690 684
Federative Republic of Brazil 5.000% 1/27/45 758 711
4 OCP SA 5.630% 4/25/24 275 294
5 Oriental Republic of Uruguay 5.100% 6/18/50 325 331

 

 

  Pertamina Persero PT 6.000% 5/3/42 650 650
4 Pertamina Persero PT 6.450% 5/30/44 300 321
  Petrobras Global Finance BV 5.630% 5/20/43 1,500 1,235
  Petroleos Mexicanos 5.500% 1/21/21 7,000 7,698
4 Petroleos Mexicanos 5.630% 1/23/46 1,200 1,212
  Quebec 7.500% 9/15/29 9,000 13,536
  Republic of Colombia 6.130% 1/18/41 825 970
5 Republic of Colombia 5.630% 2/26/44 138 153
5 Republic of Colombia 5.000% 6/15/45 2,060 2,094
4 Republic of Indonesia 6.630% 2/17/37 200 242
  Republic of Indonesia 6.630% 2/17/37 1,400 1,703
4 Republic of Indonesia 6.750% 1/15/44 950 1,202
  Republic of Indonesia 5.130% 1/15/45 400 414
  Republic of Kazakhstan 4.880% 10/14/44 1,230 1,156
  Republic of Peru 5.630% 11/18/50 1,150 1,391
  Republic of Poland 4.000% 1/22/24 5,000 5,437
  Republic of Romania 4.380% 8/22/23 1,000 1,061
  Republic of Turkey 6.750% 4/3/18 300 331
  Republic of Turkey 7.000% 6/5/20 3,000 3,455
  Republic of Turkey 3.250% 3/23/23 500 471
  Republic of Turkey 4.250% 4/14/26 825 800
  Republic of Turkey 4.880% 4/16/43 2,150 2,060
4,5 Rio Oil Finance Trust Series 2014-3 6.750% 1/6/27 350 345
4 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 2,000 2,138
  Statoil ASA 5.100% 8/17/40 15,050 17,625
  Statoil ASA 4.250% 11/23/41 2,000 2,083
  Statoil ASA 3.950% 5/15/43 29,310 29,578
  Statoil ASA 4.800% 11/8/43 13,690 15,680
4 Temasek Financial I Ltd. 3.380% 7/23/42 28,355 26,431
  United Mexican States 4.750% 3/8/44 62,401 64,070
  United Mexican States 5.750% 10/12/10 2,000 2,142
Total Sovereign Bonds (Cost $314,337)       336,081
Taxable Municipal Bonds (15.5%)        
  Allentown PA Neighborhood Improvement        
  Zone Development Authority Revenue 5.420% 5/1/21 1,000 1,046
  Allentown PA Neighborhood Improvement        
  Zone Development Authority Revenue 5.620% 5/1/22 1,930 2,042
  American Municipal Power Ohio Inc. Revenue        
  (Prairie State Energy Campus Project) 6.270% 2/15/50 53,500 66,594
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 6.790% 4/1/30 17,420 22,399
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 6.920% 4/1/40 50,115 68,281
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 6.260% 4/1/49 25,730 36,018
  Bay Area Toll Authority California Toll Bridge        
  Revenue (San Francisco Bay Area) 7.040% 4/1/50 13,775 20,061
  California GO 7.500% 4/1/34 26,555 39,079
  California GO 6.510% 4/1/39 9,265 10,896
  California GO 7.550% 4/1/39 55,350 85,306
  California GO 7.300% 10/1/39 109,045 159,727
  California GO 7.350% 11/1/39 3,645 5,372
  California GO 7.630% 3/1/40 30,135 46,178
  California GO 7.600% 11/1/40 74,320 116,358
  California Public Works Board Lease Revenue        
  (Various Capital Projects) 8.360% 10/1/34 11,665 17,172
  Chicago IL GO 5.430% 1/1/42 1,500 1,291

 

 

Chicago IL GO 6.310% 1/1/44 1,500 1,442
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 1,000 1,245
Chicago IL O'Hare International Airport        
Revenue 6.400% 1/1/40 15,710 20,811
7 Commonwealth Financing Authority        
Pennsylvania Revenue 5.200% 6/1/26 19,975 22,041
Connecticut GO 5.770% 3/15/25 15,365 18,773
Dallas TX Area Rapid Transit Revenue 6.000% 12/1/44 1,740 2,332
Dallas TX Area Rapid Transit Revenue 5.020% 12/1/48 2,200 2,648
District of Columbia Water & Sewer Authority        
Public Utility Revenue 4.810% 10/1/14 2,000 2,171
Duke University North Carolina Revenue 5.850% 4/1/37 30,450 39,631
George Washington University District of        
Columbia GO 4.300% 9/15/44 3,000 3,040
Georgia Municipal Electric Power Authority        
Revenue 6.640% 4/1/57 39,585 51,167
Grand Parkway Transportation Corp. Texas        
System Toll Revenue 5.180% 10/1/42 14,620 18,009
Houston TX GO 6.290% 3/1/32 24,190 30,246
Illinois GO 5.100% 6/1/33 193,305 192,321
Illinois Toll Highway Authority Revenue 6.180% 1/1/34 19,300 24,946
Illinois Toll Highway Authority Revenue 5.850% 12/1/34 170 217
Los Angeles CA Department of Water &        
Power Revenue 5.720% 7/1/39 4,175 5,234
Los Angeles CA Department of Water &        
Power Revenue 6.010% 7/1/39 11,900 15,022
Los Angeles CA Department of Water &        
Power Revenue 6.570% 7/1/45 31,480 44,927
Los Angeles CA Department of Water &        
Power Revenue 6.600% 7/1/50 4,155 5,992
Los Angeles CA Unified School District GO 5.760% 7/1/29 19,500 24,024
Los Angeles CA Unified School District GO 5.750% 7/1/34 10,815 13,440
Los Angeles CA Unified School District GO 6.760% 7/1/34 64,235 88,012
Los Angeles County CA Metropolitan        
Transportation Authority Sales Tax        
Revenue 5.740% 6/1/39 15,100 19,024
Mississippi GO 5.540% 10/1/29 15,700 18,700
Missouri Health & Educational Facilities        
Authority Revenue (Washington University) 3.690% 2/15/47 9,000 9,238
8 New Jersey Economic Development Authority        
Revenue (State Pension Funding) 7.430% 2/15/29 50,002 61,481
New Jersey Turnpike Authority Revenue 7.410% 1/1/40 52,934 78,754
New Jersey Turnpike Authority Revenue 7.100% 1/1/41 62,755 90,834
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.720% 6/15/42 12,780 16,606
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.950% 6/15/42 18,210 24,349
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.010% 6/15/42 6,980 9,392
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 6.280% 6/15/42 7,225 8,391
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.880% 6/15/44 32,580 43,613
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.510% 8/1/37 2,875 3,600
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.340% 11/15/39 66,105 99,534

 

 

  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 6.090% 11/15/40 5,950 7,753
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.290% 3/15/33 7,325 8,701
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.630% 3/15/39 19,595 24,264
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.600% 3/15/40 2,000 2,524
  New York State GO 5.590% 3/1/35 10,000 12,239
  North Texas Tollway Authority System        
  Revenue 6.720% 1/1/49 26,971 38,953
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 12,300 14,525
  Ohio State University General Receipts        
  Revenue 4.800% 6/1/11 26,456 27,068
  Oregon GO 5.890% 6/1/27 14,590 17,900
9 Oregon School Boards Association GO 4.760% 6/30/28 10,000 11,183
  Port Authority of New York & New Jersey        
  Revenue 6.040% 12/1/29 20,335 25,767
  Port Authority of New York & New Jersey        
  Revenue 5.650% 11/1/40 15,250 19,046
  Port Authority of New York & New Jersey        
  Revenue 5.650% 11/1/40 21,245 26,533
  Port Authority of New York & New Jersey        
  Revenue 4.960% 8/1/46 2,000 2,310
  Port Authority of New York & New Jersey        
  Revenue 5.310% 8/1/46 9,260 10,092
  Port Authority of New York & New Jersey        
  Revenue 4.930% 10/1/51 42,380 48,978
  Port Authority of New York & New Jersey        
  Revenue 4.460% 10/1/62 34,890 37,550
10 President & Fellows of Harvard College        
  Massachusetts GO 6.300% 10/1/37 60,993 64,195
  Salt River Project Arizona Agricultural        
  Improvement & Power District Revenue 4.840% 1/1/41 16,625 19,818
  San Antonio TX Electric & Gas Systems        
  Revenue 5.990% 2/1/39 10,450 13,975
  San Antonio TX Electric & Gas Systems        
  Revenue 4.430% 2/1/42 13,370 14,750
  San Francisco CA City & County Public        
  Utilities Commission Water Revenue 6.950% 11/1/50 1,400 2,019
  Texas Transportation Commission Revenue 5.180% 4/1/30 3,690 4,409
  Texas Transportation Commission Revenue 4.630% 4/1/33 5,955 6,752
  University of California 3.930% 5/15/45 8,400 8,389
  University of California Regents General        
  Revenue 4.600% 5/15/31 11,165 12,302
  University of California Regents Medical        
  Center Revenue 6.550% 5/15/48 25,770 34,405
  University of California Regents Medical        
  Center Revenue 6.580% 5/15/49 8,695 11,564
  University of California Revenue 5.770% 5/15/43 5,155 6,544
  University of California Revenue 4.770% 5/15/44 9,290 9,949
  University of California Revenue 4.860% 5/15/12 38,625 37,837
  University of California Revenue 4.770% 5/15/15 14,875 14,300
  University of Texas System Revenue        
  Financing System Revenue 5.260% 7/1/39 11,500 14,472
  University of Texas System Revenue        
  Financing System Revenue 4.790% 8/15/46 8,915 10,550

 

 

Washington GO 5.480% 8/1/39 8,890 11,117
Washington University Revenue 4.070% 10/15/44 9,000 9,692
7 Wisconsin GO 5.700% 5/1/26 23,025 27,672
Total Taxable Municipal Bonds (Cost $2,099,758)       2,479,124
      Shares  
Temporary Cash Investments (4.0%)        
Money Market Fund (1.0%)        
11 Vanguard Market Liquidity Fund 0.121%   156,745,446 156,745
 
      Face  
      Amount  
      ($000)  
Repurchase Agreements (2.4%)        
Bank of America Securities, LLC        
Dated 4/30/15, Repurchase Value        
$10,200,000, collateralized by Federal        
Farm Credit Bank 3.940%, 9/5/34, and        
Federal Home Loan Bank 4.750%,        
12/16/16, with a value of $10,404,000 0.110% 5/1/15 10,200 10,200
Bank of Montreal        
Dated 4/30/15, Repurchase Value        
$140,000,000, collateralized by U.S.        
Treasury Note/Bond 0.375%-2.750%,        
6/15/15-2/15/45, with a value of        
$142,800,000 0.090% 5/1/15 140,000 140,000
Barclays Capital Inc.        
Dated 4/30/15, Repurchase Value        
$117,200,000, collateralized by U.S.        
Treasury Note/Bond 0.000%-3.625%,        
10/15/15-7/31/21, with a value of        
$119,544,000 0.080% 5/1/15 117,200 117,200
Citigroup Global Markets Inc.        
Dated 4/30/15, Repurchase Value        
$52,400,000, collateralized by U.S.        
Treasury Note/Bond 1.000%-1.125%,        
9/30/16-5/31/19, with a value of        
$53,448,000 0.100% 5/1/15 52,400 52,400
RBC Capital Markets LLC        
(Dated 4/30/15, Repurchase Value        
$69,300,000, collateralized by Federal        
National Mortgage Assn. 2.211%-4.500%,        
3/1/29-3/1/45, Federal Home Loan        
Mortgage Corp. 2.500%-4.000%, 3/1/25-        
10/1/44, and Government National        
Mortgage Assn. 3.500%-4.500%, 10/20/43-        
4/20/45, with a value of $70,686,000 0.100% 5/1/15 69,300 69,300
        389,100
U.S. Government and Agency Obligations (0.6%)        
3 Federal Home Loan Bank Discount Notes 0.090% 6/19/15 100,000 99,986
Total Temporary Cash Investments (Cost $645,835)       645,831

 

 

Total Investments (99.8%) (Cost $14,101,271)     15,957,924
 
  Expiration Date Contracts  
Liability for Options Written (0.0%)      
 
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $130.50 5/22/15 53 (3)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $130.00 5/22/15 52 (6)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $131.00 5/22/15 18 (1)
Call Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $131.50 5/22/15 9 —
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $128.50 5/22/15 53 (36)
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $128.00 5/22/15 52 (24)
Put Options on 10-year U.S. Treasury Note      
Futures Contracts, Strike Price $127.00 5/22/15 5 (1)
Total Liability for Options Written (Premiums received $75)     (71)
Other Assets and Liabilities-Net (0.2%)1     30,835
Net Assets (100%)     15,988,688

 

1 Cash of $6,775,000 has been segregated as initial margin for open futures contracts.
2 Securities with a value of $19,181,000 have been segregated as initial margin for open cleared swap contracts.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 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 April 30, 2015, the aggregate value of these securities was $1,114,654,000, representing 7.0% of net assets.
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 Face amount denominated in euro.
7 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
8 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
9 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
10 Securities with a value of $4,199,000 have been segregated as initial margin for open futures contracts.
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.

 

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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 April 30, 2015, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 507,461 —
Corporate Bonds — 11,988,309 1,118
Sovereign Bonds — 336,081 —
Taxable Municipal Bonds — 2,479,124 —
Temporary Cash Investments 156,745 489,086 —
Futures Contracts—Assets1 825 — —
Futures Contracts—Liabilities1 (919) — —
Forward Currency Contracts—Assets — 77 —
Forward Currency Contracts—Liabilities — (103) —
Swap Contracts—Assets 451 18,908 —
Swap Contracts—Liabilities (405)1 (48) —
Liability for Options Written (71) — —
Total 156,220 15,818,895 1,118
1 Represents variation margin on the last day of the reporting period.

 

E. Futures and Options: The fund uses 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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
     ($000)

 

 

      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2015 1,863 239,163 1,385
Ultra Long U.S. Treasury Bond June 2015 1,306 214,837 (3,161)
30-Year U.S. Treasury Bond June 2015 740 118,099 (666)
5-Year U.S. Treasury Note June 2015 154 18,500 118
2-Year U.S. Treasury Note June 2015 124 (14,252) 3
Euro-Bund June 2015 (12) (2,111) 15
Euro-Buxl June 2015 (1) (189) 10
        (2,296)

 

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

F. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

 

At April 30, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 5/5/15 EUR 800 USD 867 31
Goldman Sacks Bank USA 5/5/15 EUR 680 USD 720 43
Morgan Stanley Capital Services LLC 5/5/15 GBP 115 USD 174 3
Morgan Stanley Capital Services LLC 6/2/15 USD 1,974 EUR 1,790 (36)
Bank of America, N.A. 5/5/15 USD 1,527 EUR 1,409 (56)
Morgan Stanley Capital Services LLC 6/2/15 USD 174 GBP 115 (3)
BNP Paribas 5/5/15 USD 171 GBP 115 (6)
BNP Paribas 5/5/15 USD 76 EUR 70 (2)
            (26)

EUR—Euro.
GBP—British pound.
USD—U.S. dollar.

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

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

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

 

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
Over-the-Counter Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date  Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
CDX-NAIGS14V1-10Y/Baa32 6/20/20 BOANA 100,000 92 1.000 1,917
CDX-NAIGS16V1-10Y/Baa33 6/20/21 GSI 200,000 2,713 1.000 5,532
CDX-NAIGS19V1-10Y/Baa33 12/20/22 BOANA 25,000 656 1.000 892
CDX-NAIGS19V1-10Y/Baa34 12/20/22 BOANA 300,000 7,697 1.000 10,532
Federative Republic of            
Brazil/Baa2 6/20/20 BOANA 2,000 107 1.000 (16)
Federative Republic of            
Brazil/Baa2 6/20/20 BOANA 1,600 124 1.000 26
Mexico (United Mexican State)            
/A3 6/20/20 GSCM 1,700 19 1.000 2
Mexico (United Mexican State)            
/A3 6/20/20 GSCM 700 10 1.000 3

 

 

Peoples Republic of China/Aa3 6/20/20 BNPSW 8,000 (34) 1.000 (3)
Republic of Chile/Aa3 6/20/20 BNPSW 10,000 (72) 1.000 (22)
Russian Federation/Ba1 6/20/17 GSCM 400 22 1.000 4
Russian Federation/Ba1 6/20/17 GSCM 200 11 1.000 2
Republic of Turkey/Baa3 12/20/16 BNPSW 2,000 5 1.000 (2)
Republic of Turkey/Baa3 3/20/20 BOANA 500 24 1.000 (2)
      652,100     19
 
Credit Protection Purchased            
Republic of Colombia 6/20/20 BOANA 1,000 (22) (1.000) (3 )

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.
GSCM—Goldman Sachs Bank USA.
GSI—Goldman Sachs International.
MSCS—Morgan Stanley Capital Services LLC.
Investment Grade Corporate Credit Default Swap
2 Index-Version 14.
Investment Grade Corporate Credit Default Swap
3 Index-Version 16.
Investment Grade Corporate Credit Default Swap
4 Index-Version 19.

Centrally Cleared Credit            
Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date  Clearinghouse1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody's            
Rating            
 
CDX-IG24/A2 6/20/20 ICE 401,700 (7,421) 1.000 (218)
 
CDX-IG24/Aa3 6/20/20 CME 645,300 (11,913) 1.000 (260)
 
      1,047,000     (478)
1 CME—Chicago Mercantile Exchange.          
ICE—Intercontinental Exchange.          

 

Centrally Cleared Interest Rate Swap          
 
      Fixed Floating  
      Interest Rate Interest Rate Unrealized
    Notional Received Received Appreciation
    Amount (Paid) (Paid)  (Depreciation)
Termination Date Clearinghouse1 ($000) (%) (%) ($000)
6/17/35 CME 11,800 2.250 (0.000)2 187

 

 

           
6/17/45 CME 12,900 (3.250) 0.0002 (136)
          51
1 CME—Chicago Mercantile Exchange.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

At April 30, 2015, counterparties had deposited in segregated accounts securities with a value of $8,664,000 in connection with open swap contracts.

H. At April 30, 2015, the cost of investment securities for tax purposes was $14,111,551,000. Net unrealized appreciation of investment securities for tax purposes was $1,846,373,000, consisting of unrealized gains of $1,897,689,000 on securities that had risen in value since their purchase and $51,316,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (1.9%)        
U.S. Government Securities (1.9%)        
1 United States Treasury Note/Bond 0.375% 5/31/16 170,920 171,080
  United States Treasury Note/Bond 0.875% 11/30/16 169,570 170,630
Total U.S. Government and Agency Obligations (Cost $341,450)     341,710
Asset-Backed/Commercial Mortgage-Backed Security (0.3%)      
  Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. (Cost $55,570) 5.500% 4/1/23 55,636 57,027
 
Corporate Bonds (94.1%)        
Finance (12.5%)        
  Banking (2.8%)        
2,3 Credit Suisse Group AG 6.250% 12/29/49 96,200 95,238
2 HSBC Holdings plc 5.625% 12/29/49 35,775 36,573
2 HSBC Holdings plc 6.375% 12/29/49 71,525 73,671
  Royal Bank of Scotland Group plc 6.125% 12/15/22 113,600 126,083
  Royal Bank of Scotland Group plc 6.000% 12/19/23 21,835 23,943
  Royal Bank of Scotland Group plc 5.125% 5/28/24 15,710 16,246
2,3 Societe Generale SA 6.000% 10/27/49 61,835 58,898
  UBS AG 7.625% 8/17/22 55,150 66,168
 
  Finance Companies (8.0%)        
3 AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 3.750% 5/15/19 47,800 48,398
3 AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.500% 5/15/21 57,835 60,799
3 AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 5.000% 10/1/21 22,830 24,485
  Aircastle Ltd. 6.250% 12/1/19 11,530 12,712
  Aircastle Ltd. 5.125% 3/15/21 1,020 1,069
  Aircastle Ltd. 5.500% 2/15/22 25,900 27,584
  CIT Group Inc. 5.250% 3/15/18 102,005 105,575
3 CIT Group Inc. 6.625% 4/1/18 120,655 130,006
3 CIT Group Inc. 5.500% 2/15/19 78,830 82,574
  CIT Group Inc. 3.875% 2/19/19 33,380 33,046
  CIT Group Inc. 5.375% 5/15/20 98,370 103,534
  CIT Group Inc. 5.000% 8/15/22 96,680 99,580
  Homer City Generation LP 8.734% 10/1/26 121,041 123,159
  International Lease Finance Corp. 8.750% 3/15/17 20,970 23,329
  International Lease Finance Corp. 3.875% 4/15/18 38,110 39,158
  International Lease Finance Corp. 5.875% 4/1/19 46,220 50,495
  International Lease Finance Corp. 6.250% 5/15/19 70,781 78,390
  International Lease Finance Corp. 8.250% 12/15/20 51,121 62,623
  International Lease Finance Corp. 4.625% 4/15/21 29,400 31,017
  International Lease Finance Corp. 8.625% 1/15/22 29,100 37,175
  International Lease Finance Corp. 5.875% 8/15/22 2,605 2,944
  iStar Financial Inc. 4.875% 7/1/18 8,955 8,955
  iStar Financial Inc. 5.000% 7/1/19 6,190 6,213
  Navient Corp. 8.450% 6/15/18 44,100 49,227
  Navient Corp. 5.500% 1/15/19 79,080 80,464

 

 

  Navient Corp. 8.000% 3/25/20 58,325 64,887
  Navient Corp. 7.250% 1/25/22 19,145 20,485
  Navient Corp. 5.500% 1/25/23 25,175 24,357
3 Provident Funding Associates LP / PFG        
  Finance Corp. 6.750% 6/15/21 8,825 8,384
 
  Insurance (1.2%)        
3 Liberty Mutual Group Inc. 7.800% 3/15/37 58,440 71,881
  Unum Group 7.375% 6/15/32 6,295 7,402
2 Voya Financial Inc. 5.650% 5/15/53 87,753 91,812
  WellCare Health Plans Inc. 5.750% 11/15/20 49,515 52,486
 
  Other Finance (0.2%)        
3 Argos Merger Sub Inc. 7.125% 3/15/23 37,090 38,898
 
  Real Estate Investment Trusts (0.3%)        
  Felcor Lodging LP 5.625% 3/1/23 42,805 44,731
          2,244,654
Industrial (77.6%)        
  Basic Industry (6.9%)        
  AK Steel Corp. 7.625% 10/1/21 77,440 63,888
  ArcelorMittal 6.000% 8/5/20 16,015 16,856
  ArcelorMittal 6.250% 3/1/21 7,280 7,680
  ArcelorMittal 7.000% 2/25/22 18,740 20,419
4,5 Arch Coal Inc. Bank Loan 6.250% 5/16/18 109,250 81,255
  Axiall Corp. 4.875% 5/15/23 7,245 7,299
  Cascades Inc. 7.875% 1/15/20 9,330 9,726
3 Cascades Inc. 5.500% 7/15/22 9,990 10,190
  Cloud Peak Energy Resources LLC / Cloud        
  Peak Energy Finance Corp. 8.500% 12/15/19 6,820 6,325
3,6 Constellium NV 4.625% 5/15/21 3,745 4,062
3 Constellium NV 8.000% 1/15/23 51,375 55,421
3 Constellium NV 5.750% 5/15/24 15,447 14,868
  Eagle Spinco Inc. 4.625% 2/15/21 23,555 23,938
3 FMG Resources August 2006 Pty Ltd. 9.750% 3/1/22 6,275 6,479
3 FMG Resources August 2006 Pty Ltd. 6.875% 4/1/22 161,760 121,724
  Hexion US Finance Corp. 6.625% 4/15/20 123,010 115,322
3 Huntsman International LLC 5.125% 11/15/22 36,635 37,139
3 INEOS Finance plc 7.500% 5/1/20 63,610 67,188
3,6 INEOS Group Holdings SA 5.750% 2/15/19 25,775 29,641
3 INEOS Group Holdings SA 5.875% 2/15/19 41,500 42,019
  Novelis Inc. 8.375% 12/15/17 40,790 42,625
  Novelis Inc. 8.750% 12/15/20 77,187 82,204
  Peabody Energy Corp. 6.000% 11/15/18 12,770 9,961
  Peabody Energy Corp. 6.500% 9/15/20 3,880 2,425
  Peabody Energy Corp. 6.250% 11/15/21 8,060 4,937
3 Peabody Energy Corp. 10.000% 3/15/22 48,400 40,898
  Peabody Energy Corp. 7.875% 11/1/26 48,672 29,325
3 Steel Dynamics Inc. 5.125% 10/1/21 41,770 42,292
3 Steel Dynamics Inc. 5.500% 10/1/24 37,825 39,149
  United States Steel Corp. 7.375% 4/1/20 37,839 39,636
  United States Steel Corp. 6.875% 4/1/21 33,676 33,929
  United States Steel Corp. 6.650% 6/1/37 13,760 12,659
3,6 VWR Funding Inc. 4.625% 4/15/22 81,641 90,451
3,6 VWR Funding Inc. 4.625% 4/15/22 31,275 34,650

 

 

Capital Goods (6.1%)        
3 Ardagh Packaging Finance plc 9.125% 10/15/20 24,775 26,602
3 Ashtead Capital Inc. 6.500% 7/15/22 28,180 30,293
3 BlueLine Rental Finance Corp. 7.000% 2/1/19 10,167 10,472
3 Building Materials Corp. of America 6.750% 5/1/21 67,904 71,893
3 Building Materials Corp. of America 5.375% 11/15/24 36,177 37,172
Case New Holland Inc. 7.875% 12/1/17 91,500 101,107
3 Cemex Finance LLC 6.000% 4/1/24 17,210 17,623
3 Cemex SAB de CV 6.125% 5/5/25 108,600 111,315
Clean Harbors Inc. 5.250% 8/1/20 62,913 65,036
Clean Harbors Inc. 5.125% 6/1/21 40,024 41,025
CNH Industrial Capital LLC 6.250% 11/1/16 43,785 45,865
CNH Industrial Capital LLC 3.625% 4/15/18 34,260 34,303
3 CNH Industrial Capital LLC 3.375% 7/15/19 8,988 8,842
Crown Americas LLC / Crown Americas        
Capital Corp. III 6.250% 2/1/21 38,900 40,894
3 HD Supply Inc. 5.250% 12/15/21 38,735 40,381
Huntington Ingalls Industries Inc. 7.125% 3/15/21 43,475 46,464
Masco Corp. 6.625% 4/15/18 3,895 4,285
Masco Corp. 7.125% 3/15/20 59,416 69,517
Masco Corp. 7.750% 8/1/29 16,486 19,618
Masco Corp. 6.500% 8/15/32 5,880 6,321
Owens Corning 9.000% 6/15/19 4,142 5,008
Owens Corning 7.000% 12/1/36 5,380 6,437
3 Rexel SA 5.250% 6/15/20 5,130 5,361
Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 5.750% 10/15/20 28,075 29,303
Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 6.875% 2/15/21 38,716 40,797
United Rentals Inc. 4.625% 7/15/23 12,015 12,210
United Rentals North America Inc. 7.375% 5/15/20 63,402 68,633
United Rentals North America Inc. 8.250% 2/1/21 1,647 1,785
United Rentals North America Inc. 7.625% 4/15/22 40,245 44,521
United Rentals North America Inc. 6.125% 6/15/23 11,580 12,188
United Rentals North America Inc. 5.500% 7/15/25 15,370 15,620
3 USG Corp. 5.500% 3/1/25 5,945 6,235
Vulcan Materials Co. 7.150% 11/30/37 7,270 8,288
 
Communication (24.0%)        
3 Altice Financing SA 6.625% 2/15/23 24,571 25,370
CCO Holdings LLC / CCO Holdings Capital        
Corp. 7.000% 1/15/19 13,281 13,779
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 3/15/21 8,380 8,485
CCO Holdings LLC / CCO Holdings Capital        
Corp. 6.500% 4/30/21 18,025 18,814
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 12,635 12,572
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 2/15/23 13,406 13,272
3 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 5/1/23 97,010 95,797
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 9/1/23 33,450 33,868
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 1/15/24 4,855 4,916
3 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.375% 5/1/25 79,205 78,413

 

 

3 CCO Holdings LLC / CCO Holdings Capital        
  Corp. 5.875% 5/1/27 24,255 24,012
3 Cequel Communications Holdings I LLC /        
  Cequel Capital Corp. 5.125% 12/15/21 59,340 59,637
  Crown Castle International Corp. 4.875% 4/15/22 39,480 41,158
  CSC Holdings LLC 7.875% 2/15/18 27,180 30,645
  CSC Holdings LLC 7.625% 7/15/18 79,045 89,321
  CSC Holdings LLC 8.625% 2/15/19 10,520 12,230
  CSC Holdings LLC 6.750% 11/15/21 20,914 23,737
  DISH DBS Corp. 7.875% 9/1/19 11,685 13,175
  DISH DBS Corp. 6.750% 6/1/21 150,560 160,346
  DISH DBS Corp. 5.875% 7/15/22 94,575 95,284
  DISH DBS Corp. 5.000% 3/15/23 15,135 14,378
  DISH DBS Corp. 5.875% 11/15/24 8,045 7,904
  Embarq Corp. 7.995% 6/1/36 23,035 27,341
  Gannett Co. Inc. 5.125% 10/15/19 16,530 17,356
  Gannett Co. Inc. 5.125% 7/15/20 64,680 68,076
3 Gannett Co. Inc. 4.875% 9/15/21 4,115 4,218
  Gannett Co. Inc. 6.375% 10/15/23 48,800 52,704
3 Gannett Co. Inc. 5.500% 9/15/24 2,315 2,408
  Hughes Satellite Systems Corp. 6.500% 6/15/19 91,086 99,967
  IAC/InterActiveCorp 4.875% 11/30/18 19,725 20,415
  IAC/InterActiveCorp 4.750% 12/15/22 17,085 17,170
3 Inmarsat Finance plc 4.875% 5/15/22 34,230 34,230
  Intelsat Jackson Holdings SA 7.250% 4/1/19 85,330 88,317
  Intelsat Jackson Holdings SA 7.250% 10/15/20 164,947 169,895
  Intelsat Jackson Holdings SA 7.500% 4/1/21 53,900 55,989
  Intelsat Jackson Holdings SA 5.500% 8/1/23 61,350 58,589
  Lamar Media Corp. 5.875% 2/1/22 17,195 18,141
  Lamar Media Corp. 5.000% 5/1/23 33,940 34,746
  Level 3 Escrow II Inc. 5.375% 8/15/22 75,480 77,178
  Level 3 Financing Inc. 6.125% 1/15/21 4,395 4,653
3 Level 3 Financing Inc. 5.625% 2/1/23 26,620 27,285
3 Level 3 Financing Inc. 5.125% 5/1/23 36,380 36,289
3 Level 3 Financing Inc. 5.375% 5/1/25 36,380 36,335
4,5 Level 3 Financing, Inc. Bank Loan 4.000% 1/15/20 40,855 40,974
  Liberty Interactive LLC 8.500% 7/15/29 34,473 38,610
  Liberty Interactive LLC 8.250% 2/1/30 114,203 126,194
3,6 Matterhorn Telecom SA 3.875% 5/1/22 42,691 47,154
3,6 Matterhorn Telecom SA 4.875% 5/1/22 21,426 23,663
  MetroPCS Wireless Inc. 6.625% 11/15/20 75,800 79,400
  National CineMedia LLC 6.000% 4/15/22 32,455 33,591
3 NBCUniversal Enterprise Inc. 5.250% 3/29/49 62,790 66,702
3 Netflix Inc. 5.875% 2/15/25 54,935 58,437
3 Nielsen Finance LLC / Nielsen Finance Co. 5.000% 4/15/22 128,155 128,796
3 Numericable Group SA 4.875% 5/15/19 30,785 31,054
3 Numericable Group SA 6.000% 5/15/22 37,955 38,790
  Quebecor Media Inc. 5.750% 1/15/23 81,310 84,955
  Qwest Corp. 6.875% 9/15/33 29,607 29,866
  SBA Communications Corp. 5.625% 10/1/19 37,650 39,580
3 SBA Communications Corp. 4.875% 7/15/22 48,275 47,672
  SBA Telecommunications Inc. 5.750% 7/15/20 33,911 35,395
3 Sirius XM Radio Inc. 4.250% 5/15/20 8,595 8,563
3 Sirius XM Radio Inc. 4.625% 5/15/23 11,110 10,763
3 Softbank Corp. 4.500% 4/15/20 159,095 162,874
  Sprint Corp. 7.250% 9/15/21 95,745 95,865
  Sprint Corp. 7.875% 9/15/23 69,035 69,380
  Sprint Corp. 7.125% 6/15/24 24,340 23,610

 

 

3 Sprint Nextel Corp. 9.000% 11/15/18 92,545 105,617
3 Sprint Nextel Corp. 7.000% 3/1/20 135,830 150,092
  T-Mobile USA Inc. 5.250% 9/1/18 13,725 14,188
  T-Mobile USA Inc. 6.464% 4/28/19 41,835 43,247
  T-Mobile USA Inc. 6.633% 4/28/21 71,475 75,495
  T-Mobile USA Inc. 6.125% 1/15/22 10,000 10,313
  T-Mobile USA Inc. 6.731% 4/28/22 51,165 53,915
  T-Mobile USA Inc. 6.836% 4/28/23 4,943 5,233
  T-Mobile USA Inc. 6.500% 1/15/24 4,345 4,524
4,5 Tribune Company Bank Loan 4.000% 12/27/20 108,352 108,758
3 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 31,060 32,458
3 Univision Communications Inc. 5.125% 2/15/25 126,080 127,183
3 UPCB Finance V Ltd. 7.250% 11/15/21 40,995 44,480
3 UPCB Finance VI Ltd. 6.875% 1/15/22 32,036 34,599
  Videotron Ltd. 9.125% 4/15/18 2,599 2,644
  Videotron Ltd. 5.000% 7/15/22 85,064 87,829
3 Videotron Ltd. 5.375% 6/15/24 7,178 7,481
3 Virgin Media Secured Finance plc 5.375% 4/15/21 42,489 44,348
3 Wind Acquisition Finance SA 4.750% 7/15/20 67,250 67,124
  Zayo Group LLC / Zayo Capital Inc. 10.125% 7/1/20 30,004 34,017
3 Zayo Group LLC / Zayo Capital Inc. 6.000% 4/1/23 104,300 104,561
  Consumer Cyclical (8.7%)        
3 Activision Blizzard Inc. 5.625% 9/15/21 48,038 51,341
3 Activision Blizzard Inc. 6.125% 9/15/23 48,570 53,488
  ADT Corp. 5.250% 3/15/20 10,000 10,562
  ADT Corp. 6.250% 10/15/21 68,835 74,342
3 Carlson Travel Holdings Inc. 7.500% 8/15/19 25,375 25,724
3 Carlson Wagonlit BV 6.875% 6/15/19 76,610 80,536
3 Cedar Fair LP / Canada's Wonderland Co. /        
  Magnum Management Corp. 5.375% 6/1/24 25,675 26,606
  Chrysler Group LLC / CG Co-Issuer Inc. 8.250% 6/15/21 64,265 71,013
  Dana Holding Corp. 5.375% 9/15/21 16,781 17,431
4,5 Delta Alpha Topco Bank Loan 7.750% 7/29/22 51,730 51,816
3 Family Tree Escrow LLC 5.250% 3/1/20 7,405 7,766
3 Family Tree Escrow LLC 5.750% 3/1/23 47,970 50,368
  General Motors Financial Co. Inc. 4.750% 8/15/17 97,350 102,704
  General Motors Financial Co. Inc. 3.250% 5/15/18 13,040 13,366
  General Motors Financial Co. Inc. 6.750% 6/1/18 43,795 49,379
  General Motors Financial Co. Inc. 4.250% 5/15/23 14,530 14,966
3 Group 1 Automotive Inc. 5.000% 6/1/22 19,380 19,477
4,5 Hilton Worldwide Finance LLC Bank Loan 3.500% 10/26/20 4,079 4,092
4,5 Hilton Worldwide Finance LLC Bank Loan 3.500% 10/26/20 21,752 21,822
4,5 Hilton Worldwide Finance LLC Bank Loan 3.500% 10/26/20 2,719 2,728
4,5 Hilton Worldwide Finance LLC Bank Loan 3.500% 10/26/20 14,501 14,548
4,5 Ion Media Networks Bank Loan 4.750% 12/18/20 45,274 45,331
  KB Home 4.750% 5/15/19 25,825 25,631
  KB Home 8.000% 3/15/20 3,920 4,332
  KB Home 7.000% 12/15/21 5,000 5,219
  KB Home 7.500% 9/15/22 6,935 7,273
  KB Home 7.625% 5/15/23 41,775 43,550
  L Brands Inc. 7.000% 5/1/20 22,210 25,653
  L Brands Inc. 6.625% 4/1/21 42,435 48,482
  L Brands Inc. 5.625% 2/15/22 14,385 15,716
4,5 La Quinta Intermediate Holdings LLC Bank        
  Loan 4.000% 4/14/21 58,291 58,455
  Neiman Marcus Group Inc. 7.125% 6/1/28 64,195 66,121

 

 

3 Netflix Inc. 5.500% 2/15/22 28,635 30,138
  Penske Automotive Group Inc. 5.750% 10/1/22 8,075 8,539
  Penske Automotive Group Inc. 5.375% 12/1/24 11,925 12,372
3 Realogy Group LLC 7.625% 1/15/20 57,160 61,018
  Sally Holdings LLC / Sally Capital Inc. 6.875% 11/15/19 44,399 46,952
  Sally Holdings LLC / Sally Capital Inc. 5.750% 6/1/22 22,170 23,556
  Service Corp. International 7.625% 10/1/18 35,040 40,427
  Service Corp. International 5.375% 1/15/22 27,630 29,288
3 Shea Homes LP / Shea Homes Funding Corp. 5.875% 4/1/23 14,550 14,950
3 Shea Homes LP / Shea Homes Funding Corp. 6.125% 4/1/25 14,550 14,914
  Sonic Automotive Inc. 7.000% 7/15/22 970 1,051
  Sonic Automotive Inc. 5.000% 5/15/23 8,780 8,714
  Tenneco Inc. 6.875% 12/15/20 29,075 30,819
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.375% 3/15/22 49,010 49,990
3 ZF North America Capital Inc. 4.500% 4/29/22 15,355 15,413
3 ZF North America Capital Inc. 4.750% 4/29/25 61,220 61,297
 
  Consumer Noncyclical (11.9%)        
  Amsurg Corp. 5.625% 7/15/22 81,010 82,428
  ARAMARK Corp. 5.750% 3/15/20 47,640 49,724
3 Capsugel SA 7.000% 5/15/19 46,650 47,583
  CHS/Community Health Systems Inc. 5.125% 8/15/18 54,960 56,678
  CHS/Community Health Systems Inc. 7.125% 7/15/20 33,665 36,022
  CHS/Community Health Systems Inc. 5.125% 8/1/21 15,235 15,806
  CHS/Community Health Systems Inc. 6.875% 2/1/22 149,325 159,031
3 Endo Finance LLC / Endo Finco Inc. 6.000% 2/1/25 35,320 36,291
3 Envision Healthcare Corp. 5.125% 7/1/22 86,215 88,801
  ExamWorks Group Inc. 5.625% 4/15/23 14,550 15,077
3 Fresenius Medical Care US Finance II Inc. 5.625% 7/31/19 38,265 41,900
3 Fresenius Medical Care US Finance Inc. 5.750% 2/15/21 44,830 49,089
3 Grifols Worldwide Operations Ltd. 5.250% 4/1/22 34,184 34,953
  HCA Holdings Inc. 6.250% 2/15/21 27,980 30,568
  HCA Inc. 3.750% 3/15/19 17,860 18,329
  HCA Inc. 6.500% 2/15/20 127,050 145,155
  HCA Inc. 5.875% 3/15/22 60,405 67,578
  HCA Inc. 4.750% 5/1/23 72,500 76,125
  HCA Inc. 5.875% 5/1/23 10,000 10,800
  HCA Inc. 5.375% 2/1/25 15,875 16,669
  HCA Inc. 7.690% 6/15/25 4,510 5,187
3 Hypermarcas SA 6.500% 4/20/21 66,837 69,987
3 IMS Health Inc. 6.000% 11/1/20 93,781 97,532
  Kinetic Concepts Inc / KCI USA Inc 10.500% 11/1/18 70,000 75,425
4,5 Lands' End, Inc. Bank Loan 4.250% 3/12/21 91,344 89,898
  LifePoint Hospitals Inc. 5.500% 12/1/21 17,661 18,566
3 MPH Acquisition Holdings LLC 6.625% 4/1/22 42,100 44,205
4,5 MPH Acquisition Holdings LLC Bank Loan 3.750% 3/31/21 34,979 34,952
  Party City Holdings Inc. 8.875% 8/1/20 105,350 114,305
3 Salix Pharmaceuticals Ltd. 6.500% 1/15/21 45,239 51,346
  Tenet Healthcare Corp. 6.250% 11/1/18 40,210 43,628
3 Tenet Healthcare Corp. 5.000% 3/1/19 43,950 43,730
3 Tenet Healthcare Corp. 5.500% 3/1/19 24,215 24,518
  Tenet Healthcare Corp. 4.750% 6/1/20 16,875 17,170
  Tenet Healthcare Corp. 4.500% 4/1/21 42,147 42,042
  Tenet Healthcare Corp. 4.375% 10/1/21 106,480 105,149
  Tenet Healthcare Corp. 8.125% 4/1/22 45,105 49,334
4,5 US Foods Inc. Bank Loan 4.500% 3/31/17 45,854 45,988

 

 

3 VRX Escrow Corp. 6.125% 4/15/25 89,550 92,684
 
  Energy (9.6%)        
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 6.750% 5/20/20 25,965 27,458
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 7.000% 5/20/22 47,695 51,391
  Antero Resources Corp. 5.375% 11/1/21 22,785 23,013
  Antero Resources Corp. 5.125% 12/1/22 53,185 53,185
3 Antero Resources Corp. 5.625% 6/1/23 14,830 15,201
  Chesapeake Energy Corp. 6.625% 8/15/20 34,575 35,612
  Chesapeake Energy Corp. 6.125% 2/15/21 1,455 1,462
  Chesapeake Energy Corp. 4.875% 4/15/22 11,561 10,694
  Concho Resources Inc. 7.000% 1/15/21 15,256 16,019
  Concho Resources Inc. 6.500% 1/15/22 19,940 20,987
  Concho Resources Inc. 5.500% 10/1/22 85,170 86,767
3 Crestwood Midstream Partners LP /        
  Crestwood Midstream Finance Corp. 6.250% 4/1/23 37,610 38,926
  DCP Midstream Operating LP 4.950% 4/1/22 36,074 35,680
  DCP Midstream Operating LP 5.600% 4/1/44 26,895 23,503
4,5 Energy Future Intermediate Holding Company        
  LLC Bank Loan 4.250% 6/6/16 14,500 14,579
  Energy Transfer Equity LP 7.500% 10/15/20 76,385 86,315
  EP Energy LLC / Everest Acquisition Finance        
  Inc. 6.875% 5/1/19 18,015 18,646
  EP Energy LLC / Everest Acquisition Finance        
  Inc. 9.375% 5/1/20 75,787 81,092
  Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 73,031 74,127
  Harvest Operations Corp. 6.875% 10/1/17 75,600 69,930
  Kinder Morgan Inc. 6.500% 9/15/20 28,700 33,634
3 Kinder Morgan Inc. 5.625% 11/15/23 22,310 24,638
  Kinder Morgan Inc. 7.750% 1/15/32 26,290 31,895
  Laredo Petroleum Inc. 5.625% 1/15/22 49,750 49,999
  Laredo Petroleum Inc. 7.375% 5/1/22 16,490 17,562
  Laredo Petroleum Inc. 6.250% 3/15/23 55,075 56,865
  MarkWest Energy Partners LP / MarkWest        
  Energy Finance Corp. 6.500% 8/15/21 8,533 8,938
  MarkWest Energy Partners LP / MarkWest        
  Energy Finance Corp. 6.250% 6/15/22 26,425 28,011
  MarkWest Energy Partners LP / MarkWest        
  Energy Finance Corp. 4.875% 12/1/24 43,935 45,802
3 Matador Resources Co. 6.875% 4/15/23 22,670 23,293
3 MEG Energy Corp. 6.500% 3/15/21 16,537 16,413
3 MEG Energy Corp. 6.375% 1/30/23 30,650 29,960
3 MEG Energy Corp. 7.000% 3/31/24 51,963 51,573
  Newfield Exploration Co. 5.750% 1/30/22 10,890 11,516
  Newfield Exploration Co. 5.625% 7/1/24 13,045 13,860
3 Paragon Offshore plc 6.750% 7/15/22 31,630 13,047
3 Paragon Offshore plc 7.250% 8/15/24 22,570 9,423
  QEP Resources Inc. 6.800% 3/1/20 7,370 7,637
  QEP Resources Inc. 6.875% 3/1/21 15,540 16,628
  QEP Resources Inc. 5.375% 10/1/22 7,620 7,696
  QEP Resources Inc. 5.250% 5/1/23 4,855 4,879
  Range Resources Corp. 6.750% 8/1/20 13,580 14,157
  Range Resources Corp. 5.750% 6/1/21 44,365 46,251
  Range Resources Corp. 5.000% 8/15/22 16,325 16,488
3 Rice Energy Inc. 7.250% 5/1/23 21,365 22,220
  Rosetta Resources Inc. 5.625% 5/1/21 9,665 9,677

 

 

  Rosetta Resources Inc. 5.875% 6/1/22 51,885 51,950
  Rosetta Resources Inc. 5.875% 6/1/24 10,195 10,182
3 Seadrill Ltd. 6.125% 9/15/17 71,195 63,364
3 SM Energy Co. 6.125% 11/15/22 22,705 23,840
3 Southern Star Central Corp. 5.125% 7/15/22 14,790 15,382
  Tesoro Corp. 5.125% 4/1/24 31,790 32,982
3 Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.500% 10/15/19 5,220 5,533
3 Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.250% 10/15/22 35,901 38,100
  WPX Energy Inc. 6.000% 1/15/22 29,315 28,875
  WPX Energy Inc. 5.250% 9/15/24 61,930 57,285
  Technology (9.2%)        
3 Alcatel-Lucent USA Inc. 4.625% 7/1/17 10,000 10,375
3 Alcatel-Lucent USA Inc. 6.750% 11/15/20 15,210 16,427
3 Audatex North America Inc. 6.000% 6/15/21 78,106 81,230
3 Audatex North America Inc. 6.125% 11/1/23 30,295 31,734
4,5 Avago Technologies Limited Bank Loan 3.750% 5/6/21 162 163
4,5 Avago Technologies Limited Bank Loan 3.750% 5/6/21 55,751 55,985
  CDW LLC / CDW Finance Corp. 6.000% 8/15/22 118,945 128,758
  CDW LLC / CDW Finance Corp. 5.000% 9/1/23 23,480 24,214
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 15,155 16,159
  Equinix Inc. 4.875% 4/1/20 9,545 9,879
  Equinix Inc. 5.375% 4/1/23 20,864 21,646
3 First Data Corp. 7.375% 6/15/19 53,405 55,608
3 First Data Corp. 8.875% 8/15/20 16,299 17,297
3 First Data Corp. 6.750% 11/1/20 35,065 37,344
3 First Data Corp. 8.250% 1/15/21 113,800 121,624
  First Data Corp. 11.250% 1/15/21 9,927 11,217
  First Data Corp. 12.625% 1/15/21 49,375 58,201
  First Data Corp. 11.750% 8/15/21 15,725 18,084
4,5 First Data Corp. Bank Loan 3.682% 3/23/18 73,433 73,540
  Flextronics International Ltd. 4.625% 2/15/20 22,975 24,066
  Flextronics International Ltd. 5.000% 2/15/23 32,120 34,288
3 Freescale Semiconductor Inc. 5.000% 5/15/21 36,815 38,748
3 Freescale Semiconductor Inc. 6.000% 1/15/22 22,130 23,956
4,5 Freescale Semiconductor Inc. Bank Loan 4.250% 3/1/20 99,723 100,066
4,5 Infor (US) Inc. Bank Loan 3.750% 4/5/18 18,845 18,792
3 Infor Software Parent LLC 7.125% 5/1/21 17,470 17,601
3 Infor US Inc. 6.500% 5/15/22 106,715 109,650
3,7 Iron Mountain Europe plc 6.125% 9/15/22 24,430 39,521
  Iron Mountain Inc. 5.750% 8/15/24 22,675 23,582
  NCR Corp. 4.625% 2/15/21 62,314 62,002
3 NXP BV / NXP Funding LLC 3.750% 6/1/18 37,440 38,329
3 NXP BV / NXP Funding LLC 5.750% 3/15/23 8,635 9,239
3 Open Text Corp. 5.625% 1/15/23 30,770 32,001
3 Sensata Technologies BV 5.625% 11/1/24 2,395 2,563
3 Sensata Technologies BV 5.000% 10/1/25 48,515 50,092
  SunGard Data Systems Inc. 7.375% 11/15/18 26,097 27,141
  SunGard Data Systems Inc. 6.625% 11/1/19 108,115 112,710
  SunGard Data Systems Inc. 7.625% 11/15/20 98,546 104,212
 
  Transportation (1.2%)        
3 Avis Budget Car Rental LLC / Avis Budget        
  Finance Inc. 5.125% 6/1/22 26,270 26,598
2 Continental Airlines 2007-1 Class B Pass        
  Through Trust 6.903% 4/19/22 18,631 19,888

 

 

Hertz Corp. 4.250% 4/1/18 12,745 12,889
Hertz Corp. 6.750% 4/15/19 82,360 84,831
Hertz Corp. 5.875% 10/15/20 4,565 4,656
Hertz Corp. 7.375% 1/15/21 60,490 63,212
        13,938,192
Utilities (4.0%)        
Electric (4.0%)        
AES Corp. 8.000% 6/1/20 19,980 23,277
AES Corp. 4.875% 5/15/23 25,000 24,437
AES Corp. 5.500% 3/15/24 110,885 111,024
3 Calpine Corp. 6.000% 1/15/22 16,165 17,216
Calpine Corp. 5.375% 1/15/23 34,775 35,079
3 Calpine Corp. 5.875% 1/15/24 9,230 9,864
Calpine Corp. 5.750% 1/15/25 109,915 110,465
DPL Inc. 7.250% 10/15/21 102,130 110,556
3 Dynegy Inc. 7.375% 11/1/22 48,070 51,194
Dynegy Inc. 5.875% 6/1/23 36,790 36,514
3 Dynegy Inc. 7.625% 11/1/24 17,690 19,017
GenOn Energy Inc. 7.875% 6/15/17 19,175 19,319
GenOn Energy Inc. 9.500% 10/15/18 54,525 56,979
GenOn Energy Inc. 9.875% 10/15/20 24,755 25,621
NRG Energy Inc. 7.875% 5/15/21 5,810 6,246
NRG Energy Inc. 6.250% 7/15/22 34,505 35,971
NRG Energy Inc. 6.625% 3/15/23 10,000 10,525
NRG Energy Inc. 6.250% 5/1/24 19,415 19,852
        723,156
Total Corporate Bonds (Cost $16,482,572)       16,906,002
      Shares  
Preferred Stocks (1.2%)        
GMAC Capital Trust I Pfd. 8.125%   4,743,200 124,557
Hartford Financial Services Group Inc. Pfd. 7.875%   2,944,300 91,656
Citigroup Capital XIII Pfd. 7.875%   275,250 7,126
Total Preferred Stocks (Cost $204,781)       223,339
Other (0.0%)        
MediaNews Group Inc. Warrants Exp. 03/19/2017 (Cost $27,348)   73,622 36
      Face  
      Amount  
      ($000)  
Temporary Cash Investments (1.3%)        
Repurchase Agreements (1.3%)        
Bank of America Securities, LLC        
(Dated 4/30/15, Repurchase Value        
$66,600,000, collateralized by Federal        
National Mortgage Assn. 0.000%-2.350%,        
4/28/28-5/15/30, with a value of        
$67,932,000) 0.110% 5/1/15 66,600 66,600
Bank of Montreal        
(Dated 4/30/15, Repurchase Value        
$40,000,000, collateralized by U.S.        
Treasury Note/Bond 0.000%-9.125%,        
2/4/16-8/15/40, with a value of        
$40,800,000) 0.090% 5/1/15 40,000 40,000

 

 

Bank of Montreal        
(Dated 4/30/15, Repurchase Value        
$50,000,000, collateralized by Federal        
Home Loan Mortgage Corp. 4.000%-        
4.500%, 1/1/34-2/1/45, and Federal        
National Mortgage Assn. 2.000%-4.500%,        
6/1/23-3/1/45, and U.S. Treasury        
Note/Bond 7.625%, 11/15/22, with a value        
of $51,000,000) 0.100% 5/1/15 50,000 50,000
RBC Capital Markets LLC        
(Dated 4/30/15, Repurchase Value        
$34,700,000, collateralized by Government        
National Mortgage Assn. 3.500%-4.500%,        
10/20/43-4/20/45, Federal Home Loan        
Mortgage Corp. 4.000%, 6/1/26-4/1/45, and        
Federal National Mortgage Assn. 2.500%-        
5.500%, 8/1/20-5/1/42, with a value of        
$35,394,000) 0.100% 5/1/15 34,700 34,700
TD Securities (USA)        
(Dated 4/30/15, Repurchase Value        
$38,000,000, collateralized by Federal        
National Mortgage Assn. 3.000%-5.500%,        
12/31/22-1/1/45, and U.S. Treasury        
Note/Bond 1.750%, 3/31/22, with a value of        
$38,760,000) 0.110% 5/1/15 38,000 38,000
 
        229,300
Total Temporary Cash Investments (Cost $229,300)       229,300
Total Investments (98.8%) (Cost $17,341,021)       17,757,414
Other Assets and Liabilities-Net (1.2%)       220,761
Net Assets (100%)       17,978,175

1 Securities with a value of $5,170,000 have been segregated as collateral for open forward currency contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 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 April 30, 2015, the aggregate value of these securities was $5,872,122,000, representing 32.7% of net assets.
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 April 30, 2015, the aggregate value of these securities was $863,742,000, representing 4.8% of net assets.
5 Adjustable-rate security.
6 Face amount denominated in euro.
7 Face amount denominated in British pounds.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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 April 30, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 341,710 —
Asset-Backed/Commercial Mortgage-Backed Securities — 57,027 —
Corporate Bonds — 16,906,002 —
Preferred Stocks — 223,339 —
Other — — 36
Temporary Cash Investments — 229,300 —
Forward Currency Contracts—Liabilities — (9,124) —
Total — 17,748,254 36

 

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund

 

mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

At April 30, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Bank of America, N.A. 5/29/15 USD 155,888 EUR 143,361 (5,146)
UBS AG 6/17/15 USD 62,661 EUR 58,595 (3,175)
Goldman Sachs Bank USA 5/29/15 USD 37,586 GBP 25,014 (803)
            (9,124)

EUR—Euro. GBP—British pound. USD—U.S. dollar.

F. At April 30, 2015, the cost of investment securities for tax purposes was $17,341,021,000. Net unrealized appreciation of investment securities for tax purposes was $416,393,000, consisting of unrealized gains of $652,861,000 on securities that had risen in value since their purchase and $236,468,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (103.1%)        
U.S. Government Securities (98.5%)        
United States Treasury Inflation Indexed        
Bonds 0.750% 2/15/45 27,000 27,073
United States Treasury Note/Bond 0.250% 4/15/16 83,000 83,013
United States Treasury Note/Bond 2.625% 4/30/16 31,000 31,722
United States Treasury Note/Bond 1.750% 5/31/16 53,000 53,828
United States Treasury Note/Bond 3.250% 5/31/16 44,000 45,396
United States Treasury Note/Bond 0.500% 6/15/16 73,000 73,148
United States Treasury Note/Bond 0.500% 6/30/16 43,000 43,087
United States Treasury Note/Bond 1.500% 6/30/16 56,000 56,753
United States Treasury Note/Bond 0.625% 7/15/16 100,000 100,312
United States Treasury Note/Bond 0.500% 7/31/16 66,000 66,114
United States Treasury Note/Bond 1.500% 7/31/16 72,000 73,012
United States Treasury Note/Bond 3.250% 7/31/16 32,300 33,451
United States Treasury Note/Bond 0.625% 8/15/16 56,000 56,166
United States Treasury Note/Bond 4.875% 8/15/16 37,000 39,145
United States Treasury Note/Bond 0.500% 8/31/16 68,000 68,096
United States Treasury Note/Bond 1.000% 8/31/16 120,000 120,956
United States Treasury Note/Bond 3.000% 8/31/16 51,000 52,769
United States Treasury Note/Bond 0.875% 9/15/16 77,000 77,481
United States Treasury Note/Bond 0.500% 9/30/16 82,000 82,089
United States Treasury Note/Bond 1.000% 9/30/16 91,000 91,753
United States Treasury Note/Bond 3.000% 9/30/16 54,000 55,957
United States Treasury Note/Bond 0.625% 10/15/16 68,000 68,191
United States Treasury Note/Bond 0.375% 10/31/16 55,000 54,940
United States Treasury Note/Bond 1.000% 10/31/16 77,000 77,638
United States Treasury Note/Bond 3.125% 10/31/16 76,000 79,028
United States Treasury Note/Bond 0.625% 11/15/16 139,000 139,325
United States Treasury Note/Bond 4.625% 11/15/16 63,000 67,026
United States Treasury Note/Bond 7.500% 11/15/16 20,000 22,147
United States Treasury Note/Bond 0.500% 11/30/16 150,000 150,070
United States Treasury Note/Bond 0.875% 11/30/16 115,000 115,719
United States Treasury Note/Bond 0.625% 12/15/16 140,000 140,307
United States Treasury Note/Bond 0.625% 12/31/16 75,000 75,164
United States Treasury Note/Bond 0.875% 12/31/16 140,000 140,897
United States Treasury Note/Bond 3.250% 12/31/16 51,000 53,319
United States Treasury Note/Bond 0.750% 1/15/17 125,000 125,507
United States Treasury Note/Bond 0.500% 1/31/17 90,000 89,972
United States Treasury Note/Bond 0.875% 1/31/17 110,000 110,670
United States Treasury Note/Bond 0.625% 2/15/17 62,000 62,097
United States Treasury Note/Bond 4.625% 2/15/17 35,000 37,548
United States Treasury Note/Bond 0.500% 2/28/17 70,000 69,957
United States Treasury Note/Bond 0.875% 2/28/17 86,000 86,511
United States Treasury Note/Bond 3.000% 2/28/17 50,000 52,226
United States Treasury Note/Bond 0.750% 3/15/17 75,000 75,281
United States Treasury Note/Bond 0.500% 3/31/17 97,000 96,894
United States Treasury Note/Bond 1.000% 3/31/17 48,000 48,397
United States Treasury Note/Bond 3.250% 3/31/17 9,000 9,457
United States Treasury Note/Bond 0.875% 4/15/17 90,000 90,520
United States Treasury Note/Bond 0.500% 4/30/17 150,000 149,766

 

 

United States Treasury Note/Bond 0.875% 4/30/17 80,000 80,450
United States Treasury Note/Bond 3.125% 4/30/17 80,000 84,000
United States Treasury Note/Bond 0.875% 5/15/17 45,000 45,239
United States Treasury Note/Bond 0.625% 5/31/17 55,000 54,991
United States Treasury Note/Bond 0.875% 6/15/17 76,000 76,380
United States Treasury Note/Bond 0.750% 6/30/17 75,000 75,141
United States Treasury Note/Bond 2.500% 6/30/17 40,000 41,581
United States Treasury Note/Bond 0.875% 7/15/17 62,000 62,272
United States Treasury Note/Bond 0.500% 7/31/17 50,000 49,789
United States Treasury Note/Bond 2.375% 7/31/17 61,000 63,306
United States Treasury Note/Bond 0.875% 8/15/17 67,000 67,262
United States Treasury Note/Bond 4.750% 8/15/17 12,000 13,106
United States Treasury Note/Bond 0.625% 8/31/17 16,000 15,960
United States Treasury Note/Bond 1.875% 8/31/17 11,500 11,809
United States Treasury Note/Bond 1.000% 9/15/17 72,000 72,462
United States Treasury Note/Bond 0.625% 9/30/17 54,000 53,840
United States Treasury Note/Bond 1.875% 9/30/17 60,000 61,631
United States Treasury Note/Bond 0.875% 10/15/17 67,000 67,188
United States Treasury Note/Bond 0.750% 10/31/17 63,000 62,961
United States Treasury Note/Bond 1.875% 10/31/17 25,000 25,684
United States Treasury Note/Bond 0.625% 11/30/17 96,000 95,565
United States Treasury Note/Bond 1.000% 12/15/17 91,000 91,427
United States Treasury Note/Bond 0.750% 12/31/17 69,000 68,870
United States Treasury Note/Bond 2.750% 12/31/17 75,000 78,820
United States Treasury Note/Bond 0.875% 1/15/18 8,000 8,008
United States Treasury Note/Bond 0.875% 1/31/18 51,000 51,032
United States Treasury Note/Bond 1.000% 2/15/18 105,000 105,394
United States Treasury Note/Bond 3.500% 2/15/18 9,000 9,655
United States Treasury Note/Bond 0.750% 2/28/18 80,000 79,700
United States Treasury Note/Bond 2.750% 2/28/18 52,000 54,730
United States Treasury Note/Bond 1.000% 3/15/18 55,000 55,172
United States Treasury Note/Bond 0.750% 3/31/18 55,000 54,759
United States Treasury Note/Bond 2.875% 3/31/18 50,000 52,828
United States Treasury Note/Bond 0.750% 4/15/18 272,000 270,768
United States Treasury Note/Bond 0.625% 4/30/18 26,000 25,773
United States Treasury Note/Bond 1.000% 5/31/18 93,000 93,116
United States Treasury Note/Bond 2.375% 5/31/18 10,000 10,431
United States Treasury Note/Bond 1.375% 6/30/18 9,817 9,937
United States Treasury Note/Bond 2.375% 6/30/18 32,000 33,380
United States Treasury Note/Bond 1.375% 7/31/18 12,000 12,137
United States Treasury Note/Bond 2.250% 7/31/18 7,000 7,278
United States Treasury Note/Bond 1.500% 8/31/18 35,000 35,519
1 United States Treasury Note/Bond 1.250% 10/31/18 56,000 56,297
United States Treasury Note/Bond 1.750% 10/31/18 9,000 9,203
United States Treasury Note/Bond 1.250% 11/30/18 28,000 28,123
United States Treasury Note/Bond 1.375% 11/30/18 11,000 11,100
United States Treasury Note/Bond 1.375% 12/31/18 13,000 13,106
United States Treasury Note/Bond 1.500% 12/31/18 37,000 37,468
United States Treasury Note/Bond 1.500% 1/31/19 23,000 23,277
United States Treasury Note/Bond 1.375% 2/28/19 18,000 18,121
United States Treasury Note/Bond 1.500% 2/28/19 28,000 28,324
United States Treasury Note/Bond 1.625% 3/31/19 27,500 27,934
United States Treasury Note/Bond 1.625% 4/30/19 26,200 26,593
United States Treasury Note/Bond 3.125% 5/15/19 30,000 32,213
United States Treasury Note/Bond 1.125% 5/31/19 20,000 19,900
United States Treasury Note/Bond 1.500% 5/31/19 23,600 23,821
United States Treasury Note/Bond 1.000% 6/30/19 10,100 9,986

 

 

United States Treasury Note/Bond 1.625% 6/30/19 27,000 27,380
United States Treasury Note/Bond 0.875% 7/31/19 13,000 12,775
United States Treasury Note/Bond 1.625% 7/31/19 26,000 26,345
United States Treasury Note/Bond 1.000% 8/31/19 27,000 26,629
United States Treasury Note/Bond 1.625% 8/31/19 19,000 19,246
United States Treasury Note/Bond 1.000% 9/30/19 36,000 35,471
United States Treasury Note/Bond 1.750% 9/30/19 35,000 35,612
United States Treasury Note/Bond 1.250% 10/31/19 14,000 13,939
United States Treasury Note/Bond 1.250% 1/31/20 17,000 16,880
United States Treasury Note/Bond 1.375% 3/31/20 77,000 76,784
United States Treasury Note/Bond 1.375% 4/30/20 177,000 176,503
        6,842,276
Conventional Mortgage-Backed Securities (4.6%)        
2,3,4Fannie Mae Pool 3.500% 6/1/45 185,250 193,616
2,3,4Fannie Mae Pool 4.000% 6/1/45 115,000 122,708
2,3 Fannie Mae Pool 7.000% 11/1/15–3/1/16 35 36
2,3 Freddie Mac Gold Pool 6.000% 5/1/18–4/1/28 183 208
2,3 Freddie Mac Gold Pool 7.000% 9/1/15–1/1/16 13 14
        316,582
Total U.S. Government and Agency Obligations (Cost $7,131,626)     7,158,858
Temporary Cash Investment (0.5%)        
      Shares  
Money Market Fund (0.5%)        
5 Vanguard Market Liquidity Fund (Cost        
$39,093) 0.121%   39,092,799 39,093
Total Investments (103.6%) (Cost $7,170,719)       7,197,951
    Expiration    
    Date Contracts  
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 226 (25)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 227 (14)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 76 (4)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 38 (1)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 23 (4)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/22/15 226 (102)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 227 (156)
Total Liability for Options Written (Premiums received $324)     (306)
Other Assets and Liabilities-Net (-3.6%)       (252,907)
Net Assets (100%)       6,944,738

 

1 Securities with a value of $2,533,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2015.

 

5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $870,000 in connection with TBA transactions.

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 April 30, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)

 

 

Short-Term Treasury Fund      
 
 
U.S. Government and Agency Obligations — 7,158,858 —
Temporary Cash Investments 39,093 — —
Futures Contracts—Assets1 337 — —
Futures Contracts—Liabilities1 (538) — —
Liability for Options Written (306) — —
Total 38,586 7,158,858 —
1 Represents variation margin on the last day of the reporting period.      

 

D. Futures and Options: The fund uses 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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
5-Year U.S. Treasury Note June 2015 873 104,876 380
2-Year U.S. Treasury Note June 2015 (451) (98,889) (209)
Ultra Long U.S. Treasury Bond June 2015 (294) (48,363) 923
30-Year U.S. Treasury Bond June 2015 (122) (19,470) 370

 

 

Short-Term Treasury Fund        
 
   
10-Year U.S. Treasury Note June 2015 (100) (12,838) (2)
        1,462

 

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

E. At April 30, 2015, the cost of investment securities for tax purposes was $7,171,257,000. Net unrealized appreciation of investment securities for tax purposes was $26,694,000, consisting of unrealized gains of $27,899,000 on securities that had risen in value since their purchase and $1,205,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (103.7%)        
U.S. Government Securities (99.3%)        
United States Treasury Inflation Indexed        
Bonds 0.750% 2/15/45 22,000 22,059
United States Treasury Note/Bond 0.750% 4/15/18 115,000 114,479
United States Treasury Note/Bond 0.625% 4/30/18 42,000 41,632
United States Treasury Note/Bond 1.000% 5/31/18 32,000 32,040
United States Treasury Note/Bond 1.375% 6/30/18 8,838 8,946
United States Treasury Note/Bond 2.375% 6/30/18 92,500 96,489
United States Treasury Note/Bond 1.375% 7/31/18 63,000 63,719
United States Treasury Note/Bond 2.250% 7/31/18 18,000 18,714
United States Treasury Note/Bond 1.500% 8/31/18 53,500 54,294
United States Treasury Note/Bond 1.375% 9/30/18 133,000 134,371
United States Treasury Note/Bond 1.250% 10/31/18 60,000 60,319
United States Treasury Note/Bond 1.375% 11/30/18 63,000 63,571
United States Treasury Note/Bond 1.375% 12/31/18 10,000 10,081
United States Treasury Note/Bond 1.500% 12/31/18 133,000 134,684
United States Treasury Note/Bond 1.250% 1/31/19 51,000 51,151
United States Treasury Note/Bond 1.500% 1/31/19 37,000 37,445
United States Treasury Note/Bond 1.375% 2/28/19 15,000 15,101
United States Treasury Note/Bond 1.500% 2/28/19 91,000 92,052
United States Treasury Note/Bond 1.500% 3/31/19 78,000 78,877
United States Treasury Note/Bond 1.625% 3/31/19 49,000 49,773
United States Treasury Note/Bond 1.625% 4/30/19 75,000 76,125
United States Treasury Note/Bond 1.125% 5/31/19 78,000 77,610
United States Treasury Note/Bond 1.500% 5/31/19 54,000 54,507
United States Treasury Note/Bond 1.000% 6/30/19 20,000 19,775
United States Treasury Note/Bond 1.625% 6/30/19 55,000 55,773
United States Treasury Note/Bond 0.875% 7/31/19 118,000 115,954
United States Treasury Note/Bond 1.625% 7/31/19 55,000 55,730
United States Treasury Note/Bond 3.625% 8/15/19 18,000 19,744
United States Treasury Note/Bond 1.000% 8/31/19 72,000 71,010
United States Treasury Note/Bond 1.625% 8/31/19 7,000 7,091
United States Treasury Note/Bond 1.000% 9/30/19 157,000 154,694
United States Treasury Note/Bond 1.750% 9/30/19 105,000 106,837
United States Treasury Note/Bond 1.250% 10/31/19 17,000 16,926
United States Treasury Note/Bond 1.500% 10/31/19 68,000 68,404
United States Treasury Note/Bond 3.375% 11/15/19 56,000 60,944
United States Treasury Note/Bond 1.000% 11/30/19 40,000 39,331
United States Treasury Note/Bond 1.500% 11/30/19 127,000 127,754
United States Treasury Note/Bond 1.125% 12/31/19 111,000 109,647
United States Treasury Note/Bond 1.625% 12/31/19 53,000 53,555
United States Treasury Note/Bond 1.250% 1/31/20 80,000 79,438
United States Treasury Note/Bond 1.375% 1/31/20 43,000 42,946
United States Treasury Note/Bond 3.625% 2/15/20 56,000 61,749
United States Treasury Note/Bond 1.250% 2/29/20 81,000 80,329
United States Treasury Note/Bond 1.375% 2/29/20 55,000 54,888
United States Treasury Note/Bond 1.125% 3/31/20 26,000 25,614
United States Treasury Note/Bond 1.375% 3/31/20 118,000 117,668
United States Treasury Note/Bond 1.125% 4/30/20 33,000 32,485
United States Treasury Note/Bond 1.375% 5/31/20 8,000 7,965

 

 

United States Treasury Note/Bond 1.875% 6/30/20 6,000 6,119
United States Treasury Note/Bond 2.000% 7/31/20 13,000 13,329
United States Treasury Note/Bond 2.625% 8/15/20 70,500 74,466
United States Treasury Note/Bond 2.125% 8/31/20 48,000 49,477
United States Treasury Note/Bond 2.000% 9/30/20 13,500 13,823
United States Treasury Note/Bond 1.750% 10/31/20 80,000 80,775
1 United States Treasury Note/Bond 2.625% 11/15/20 225,000 237,445
United States Treasury Note/Bond 2.000% 11/30/20 12,500 12,777
United States Treasury Note/Bond 2.000% 2/28/21 41,300 42,133
United States Treasury Note/Bond 2.250% 3/31/21 16,000 16,537
United States Treasury Note/Bond 3.125% 5/15/21 15,000 16,247
United States Treasury Note/Bond 2.000% 5/31/21 48,000 48,870
United States Treasury Note/Bond 2.125% 6/30/21 39,000 39,969
United States Treasury Note/Bond 2.250% 7/31/21 50,000 51,594
United States Treasury Note/Bond 2.125% 8/15/21 122,500 125,409
United States Treasury Note/Bond 2.000% 8/31/21 4,000 4,066
United States Treasury Note/Bond 2.125% 9/30/21 39,500 40,420
United States Treasury Note/Bond 2.000% 10/31/21 51,000 51,773
United States Treasury Note/Bond 2.000% 11/15/21 97,000 98,515
United States Treasury Note/Bond 1.875% 11/30/21 55,000 55,395
United States Treasury Note/Bond 2.125% 12/31/21 57,500 58,794
United States Treasury Note/Bond 1.500% 1/31/22 55,000 54,003
United States Treasury Note/Bond 2.000% 2/15/22 84,000 85,221
United States Treasury Note/Bond 1.750% 2/28/22 4,000 3,989
United States Treasury Note/Bond 1.750% 3/31/22 38,000 37,881
United States Treasury Note/Bond 1.750% 4/30/22 90,000 89,705
United States Treasury Note/Bond 1.750% 5/15/22 59,000 58,816
United States Treasury Note/Bond 1.625% 8/15/22 72,000 71,022
United States Treasury Note/Bond 1.625% 11/15/22 140,000 137,813
United States Treasury Note/Bond 2.000% 2/15/23 101,000 101,931
United States Treasury Note/Bond 1.750% 5/15/23 218,100 215,409
United States Treasury Note/Bond 2.500% 8/15/23 70,400 73,546
United States Treasury Note/Bond 2.750% 11/15/23 52,500 55,863
United States Treasury Note/Bond 2.750% 2/15/24 93,000 98,856
United States Treasury Note/Bond 2.500% 5/15/24 117,000 121,900
United States Treasury Note/Bond 2.375% 8/15/24 78,500 80,904
United States Treasury Note/Bond 2.250% 11/15/24 112,500 114,644
United States Treasury Note/Bond 7.500% 11/15/24 5,000 7,404
United States Treasury Note/Bond 2.000% 2/15/25 142,500 142,010
        5,663,140
Conventional Mortgage-Backed Securities (4.4%)        
2,3,4Fannie Mae Pool 3.500% 6/1/45 147,000 153,639
2,3,4Fannie Mae Pool 4.000% 6/1/45 90,000 96,033
2,3 Freddie Mac Gold Pool 7.000% 5/1/15–3/1/16 13 13
        249,685
Total U.S. Government and Agency Obligations (Cost $5,812,615)     5,912,825

 

 

Temporary Cash Investment (0.2%)        
      Shares  
Money Market Fund (0.2%)        
5 Vanguard Market Liquidity Fund (Cost        
$8,798) 0.121%   8,798,000 8,798
Total Investments (103.9%) (Cost $5,821,413)       5,921,623
    Expiration    
    Date Contracts  
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 186 (20)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 185 (12)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 62 (3)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 31 (1)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 19 (4)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/22/15 186 (84)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 185 (127)
Total Liability for Options Written (Premiums received $265)     (251)
Other Assets and Liabilities-Net (-3.9%)       (222,431)
Net Assets (100%)       5,698,941

 

1 Securities with a value of $1,900,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2015.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a

 

Intermediate-Term Treasury Fund

future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $709,000 in connection with TBA transactions.

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 April 30, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,912,825 —
Temporary Cash Investments 8,798 — —
Futures Contracts—Assets1 153 — —
Futures Contracts—Liabilities1 (77) — —
Liability for Options Written (251) — —
Total 8,623 5,912,825 —
1 Represents variation margin on the last day of the reporting period.

 

D. Futures and Options: The fund uses 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

 

Intermediate-Term Treasury Fund

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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2015 (255) (55,913) 201)
Ultra Long U.S. Treasury Bond June 2015 (235) (38,658) 738
5-Year U.S. Treasury Note June 2015 (178) (21,384) 17
30-Year U.S. Treasury Bond June 2015 (96) (15,321) 292
10-Year U.S. Treasury Note June 2015 107 13,736 (17)
        829

 

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

E. At April 30, 2015, the cost of investment securities for tax purposes was $5,831,957,000. Net unrealized appreciation of investment securities for tax purposes was $89,666,000, consisting of unrealized gains of $93,815,000 on securities that had risen in value since their purchase and $4,149,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard GNMA Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (91.5%)        
U.S. Government Securities (1.1%)        
1 United States Treasury Floating Rate Note 0.095% 7/31/16 300,000 300,018
 
Conventional Mortgage-Backed Securities (87.6%)        
2,3 Fannie Mae Pool 2.090% 11/1/22 1,667 1,640
2,3 Fannie Mae Pool 2.190% 12/1/22 1,434 1,417
2,3 Fannie Mae Pool 2.350% 12/1/22 959 958
2,3 Fannie Mae Pool 2.370% 4/1/23–5/1/23 124,297 124,317
2,3 Fannie Mae Pool 2.390% 4/1/22 486 481
2,3 Fannie Mae Pool 2.410% 12/1/22 3,937 3,947
2,3 Fannie Mae Pool 2.440% 11/1/22–1/1/23 5,836 5,855
2,3 Fannie Mae Pool 2.450% 8/1/22–4/1/23 6,153 6,191
2,3 Fannie Mae Pool 2.480% 8/1/22 692 699
2,3 Fannie Mae Pool 2.520% 5/1/23 314 315
2,3 Fannie Mae Pool 2.550% 2/1/23–5/1/23 8,700 8,806
2,3 Fannie Mae Pool 2.640% 3/1/23 653 665
2,3 Fannie Mae Pool 2.650% 8/1/22 1,150 1,167
2,3 Fannie Mae Pool 2.660% 9/1/22 2,238 2,283
2,3 Fannie Mae Pool 2.700% 5/1/22–4/1/23 3,138 3,211
2,3 Fannie Mae Pool 2.730% 2/1/23–11/1/24 3,991 4,080
2,3 Fannie Mae Pool 2.740% 4/1/23 1,561 1,599
2,3 Fannie Mae Pool 2.750% 3/1/22 493 501
2,3 Fannie Mae Pool 2.760% 5/1/21 19,615 20,331
2,3 Fannie Mae Pool 2.780% 4/1/22 3,251 3,345
2,3 Fannie Mae Pool 2.790% 6/1/23 1,943 1,998
2,3 Fannie Mae Pool 2.820% 6/1/23 1,248 1,287
2,3 Fannie Mae Pool 2.860% 4/1/23 1,028 1,061
2,3 Fannie Mae Pool 2.900% 3/1/23 1,203 1,246
2,3 Fannie Mae Pool 2.910% 8/1/23 1,635 1,696
2,3 Fannie Mae Pool 2.940% 6/1/23 972 1,010
2,3 Fannie Mae Pool 2.950% 6/1/22–5/1/28 19,492 20,002
2,3 Fannie Mae Pool 2.960% 1/1/27 20,975 21,495
2,3 Fannie Mae Pool 2.970% 7/1/23 7,981 8,310
2,3 Fannie Mae Pool 2.980% 1/1/22 3,038 3,160
2,3 Fannie Mae Pool 3.000% 8/1/20–2/1/45 4,376 4,605
2,3 Fannie Mae Pool 3.023% 7/1/22 613 632
2,3 Fannie Mae Pool 3.040% 7/1/23–2/1/27 16,032 16,574
2,3 Fannie Mae Pool 3.080% 1/1/27 34,390 35,725
2,3 Fannie Mae Pool 3.100% 6/1/22–5/1/33 39,808 41,421
2,3 Fannie Mae Pool 3.120% 5/1/22 2,200 2,308
2,3 Fannie Mae Pool 3.150% 11/1/21 2,003 2,100
2,3 Fannie Mae Pool 3.180% 12/1/24 9,000 9,388
2,3 Fannie Mae Pool 3.200% 4/1/22 2,486 2,618
2,3 Fannie Mae Pool 3.210% 5/1/23 24,480 25,859
2,3 Fannie Mae Pool 3.220% 5/1/21–12/1/26 9,291 9,777
2,3 Fannie Mae Pool 3.230% 2/1/27 2,160 2,268
2,3 Fannie Mae Pool 3.240% 1/1/27 3,800 3,990
2,3 Fannie Mae Pool 3.250% 11/1/23 9,738 10,305
2,3 Fannie Mae Pool 3.270% 12/1/23 11,435 12,118
2,3 Fannie Mae Pool 3.300% 12/1/23 6,046 6,416

 

 

2,3 Fannie Mae Pool 3.320% 7/1/23 1,077 1,145
2,3 Fannie Mae Pool 3.340% 4/1/24 12,030 12,824
2,3 Fannie Mae Pool 3.350% 1/1/30 5,408 5,693
2,3 Fannie Mae Pool 3.360% 11/1/23–12/1/23 19,211 20,471
2,3 Fannie Mae Pool 3.370% 3/1/24–7/1/25 7,944 8,476
2,3 Fannie Mae Pool 3.380% 1/1/27 5,380 5,721
2,3 Fannie Mae Pool 3.410% 11/1/23 7,030 7,515
2,3 Fannie Mae Pool 3.415% 11/1/23 6,606 7,067
2,3 Fannie Mae Pool 3.440% 1/1/24 5,996 6,421
2,3 Fannie Mae Pool 3.450% 1/1/24 23,281 24,944
2,3 Fannie Mae Pool 3.460% 9/1/23–9/1/29 106,082 113,365
2,3 Fannie Mae Pool 3.470% 11/1/23–1/1/24 6,397 6,862
2,3 Fannie Mae Pool 3.480% 1/1/24 4,512 4,844
2,3,4Fannie Mae Pool 3.500% 5/1/30–5/1/45 128,550 136,245
2,3 Fannie Mae Pool 3.510% 12/1/23–1/1/24 28,912 31,097
2,3 Fannie Mae Pool 3.520% 1/1/24 4,920 5,295
2,3 Fannie Mae Pool 3.530% 2/1/24 7,694 8,290
2,3 Fannie Mae Pool 3.540% 8/1/23–2/1/24 32,164 34,675
2,3 Fannie Mae Pool 3.550% 10/1/23–5/1/26 41,417 44,682
2,3 Fannie Mae Pool 3.560% 12/1/23–1/1/24 6,918 7,460
2,3 Fannie Mae Pool 3.570% 12/1/23–3/1/24 39,779 42,945
2,3 Fannie Mae Pool 3.580% 2/1/24–7/1/29 42,209 45,555
2,3 Fannie Mae Pool 3.590% 7/1/23 2,696 2,914
2,3 Fannie Mae Pool 3.600% 12/1/23–4/1/28 8,595 9,272
2,3 Fannie Mae Pool 3.610% 8/1/23–1/1/24 31,067 33,329
2,3 Fannie Mae Pool 3.620% 2/1/24 8,236 8,924
2,3 Fannie Mae Pool 3.640% 10/1/23–1/1/24 16,733 18,139
2,3 Fannie Mae Pool 3.650% 8/1/23–11/1/23 23,567 25,562
2,3 Fannie Mae Pool 3.660% 11/1/23 2,649 2,874
2,3 Fannie Mae Pool 3.665% 1/1/24 37,884 41,131
2,3 Fannie Mae Pool 3.670% 8/1/23–3/1/28 24,679 26,790
2,3 Fannie Mae Pool 3.680% 10/1/23–3/1/24 20,597 22,388
2,3 Fannie Mae Pool 3.690% 1/1/24 5,652 6,155
2,3 Fannie Mae Pool 3.700% 10/1/23–1/1/24 20,229 22,000
2,3 Fannie Mae Pool 3.710% 9/1/23 7,594 8,270
2,3 Fannie Mae Pool 3.725% 10/1/23 3,481 3,793
2,3 Fannie Mae Pool 3.730% 12/1/23 1,340 1,460
2,3 Fannie Mae Pool 3.750% 9/1/23–7/1/25 13,409 14,639
2,3 Fannie Mae Pool 3.755% 8/1/25 7,185 7,846
2,3 Fannie Mae Pool 3.760% 3/1/24–1/1/26 8,152 8,881
2,3 Fannie Mae Pool 3.765% 12/1/25 42,997 47,025
2,3 Fannie Mae Pool 3.770% 1/1/24 1,684 1,840
2,3 Fannie Mae Pool 3.780% 7/1/23–2/1/24 2,486 2,718
2,3 Fannie Mae Pool 3.790% 8/1/25 2,579 2,823
2,3 Fannie Mae Pool 3.800% 10/1/23 7,474 8,177
2,3 Fannie Mae Pool 3.810% 11/1/23 392 429
2,3 Fannie Mae Pool 3.820% 11/1/25 11,159 12,257
2,3 Fannie Mae Pool 3.830% 2/1/24–6/1/34 19,929 21,816
2,3 Fannie Mae Pool 3.840% 1/1/24 3,910 4,291
2,3 Fannie Mae Pool 3.850% 1/1/24 886 973
2,3 Fannie Mae Pool 3.855% 12/1/25 6,600 7,265
2,3 Fannie Mae Pool 3.860% 11/1/23 3,435 3,775
2,3 Fannie Mae Pool 3.870% 10/1/25 11,489 12,658
2,3 Fannie Mae Pool 3.890% 9/1/23–5/1/30 16,145 17,761
2,3 Fannie Mae Pool 3.910% 11/1/25 13,000 14,367
2,3 Fannie Mae Pool 3.930% 10/1/23–3/1/26 22,686 25,032
2,3 Fannie Mae Pool 3.940% 8/1/25 12,333 13,640

 

 

2,3 Fannie Mae Pool 3.960% 12/1/25–5/1/34 7,707 8,453
2,3 Fannie Mae Pool 3.970% 7/1/23–5/1/29 5,618 6,233
2,3 Fannie Mae Pool 3.990% 9/1/25 9,664 10,542
2,3 Fannie Mae Pool 4.060% 9/1/25–3/1/29 16,055 17,994
2,3 Fannie Mae Pool 4.070% 1/1/26 2,332 2,608
2,3 Fannie Mae Pool 4.080% 2/1/29 3,045 3,417
2,3 Fannie Mae Pool 4.150% 10/1/28–1/1/31 76,185 85,667
2,3 Fannie Mae Pool 4.180% 11/1/30 30,478 34,218
2,3 Fannie Mae Pool 4.190% 10/1/23 742 830
2,3 Fannie Mae Pool 4.210% 1/1/26 1,008 1,138
2,3 Fannie Mae Pool 4.250% 10/1/28–9/1/33 4,836 5,407
2,3 Fannie Mae Pool 4.280% 11/1/28 5,501 6,272
2,3 Fannie Mae Pool 4.380% 10/1/28 10,061 11,558
2,3 Fannie Mae Pool 4.400% 8/1/28 2,272 2,613
2,3 Fannie Mae Pool 5.000% 11/1/40–4/1/41 16,213 18,153
2,3 Fannie Mae Pool 5.180% 2/1/26 3,034 3,616
2,3 Fannie Mae Pool 6.000% 7/1/22 11 13
2,3 Fannie Mae Pool 6.500% 2/1/29–5/1/45 6,570 7,594
2,3 Freddie Mac Gold Pool 3.000% 8/1/29 35,926 37,849
2,3 Freddie Mac Gold Pool 3.500% 4/1/34–10/1/34 97,896 103,198
2 Ginnie Mae I Pool 2.500% 11/15/42–9/15/43 151,569 150,586
2 Ginnie Mae I Pool 3.000% 1/15/42–5/1/45 1,600,566 1,649,311
2,4 Ginnie Mae I Pool 3.500% 7/15/39–6/1/45 2,096,131 2,215,172
2 Ginnie Mae I Pool 3.750% 7/15/42 6,006 6,425
2 Ginnie Mae I Pool 3.875% 5/15/42–6/15/42 10,526 11,517
2,4 Ginnie Mae I Pool 4.000% 6/15/19–6/1/45 2,502,429 2,713,770
2 Ginnie Mae I Pool 4.500% 5/15/19–5/1/45 1,403,995 1,557,339
2 Ginnie Mae I Pool 5.000% 1/15/30–5/1/45 1,470,041 1,651,693
2 Ginnie Mae I Pool 5.500% 9/15/23–5/1/45 777,340 878,716
2 Ginnie Mae I Pool 6.000% 10/15/16–5/1/45 430,186 484,656
2 Ginnie Mae I Pool 6.500% 4/15/23–7/15/40 326,443 366,626
2 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 90,529 105,152
2 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 67 70
2 Ginnie Mae I Pool 7.500% 10/15/31 34,950 40,512
2 Ginnie Mae I Pool 7.750% 2/15/27 27 28
2 Ginnie Mae I Pool 8.000% 8/15/31 14,051 16,413
2 Ginnie Mae I Pool 8.500% 5/15/16–6/15/28 2,652 2,782
2 Ginnie Mae I Pool 9.000% 4/15/16–5/15/21 811 845
2 Ginnie Mae I Pool 9.250% 7/15/17 4 4
2 Ginnie Mae I Pool 9.500% 3/15/16–8/15/21 836 873
2 Ginnie Mae I Pool 10.000% 4/15/16–7/15/19 19 19
2 Ginnie Mae I Pool 11.000% 2/15/18 2 2
2,4 Ginnie Mae II Pool 2.500% 4/20/43–6/1/45 90,893 89,668
2,4 Ginnie Mae II Pool 3.000% 9/20/42–5/1/45 789,656 812,202
2,4 Ginnie Mae II Pool 3.500% 11/20/26–6/1/45 4,256,536 4,491,212
2,4 Ginnie Mae II Pool 4.000% 4/20/39–6/1/45 1,763,877 1,886,511
2 Ginnie Mae II Pool 4.500% 12/20/32–5/1/45 1,182,331 1,289,183
2,4 Ginnie Mae II Pool 5.000% 10/20/32–5/1/45 852,827 944,739
2 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 72,391 80,983
2 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 94,316 106,504
2 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 2,266 2,584
2 Ginnie Mae II Pool 7.000% 10/20/25–5/20/38 351 390
2 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 185 213
2 Ginnie Mae II Pool 8.000% 12/20/15–4/20/16 7 7
2 Ginnie Mae II Pool 8.500% 4/20/16–1/20/17 78 80
2 Ginnie Mae II Pool 9.000% 6/20/16–9/20/16 12 13
2 Ginnie Mae II Pool 10.000% 11/20/15–8/20/18 8 10

 

 

          23,406,166
Nonconventional Mortgage-Backed Securities (2.8%)      
2,3 Fannie Mae Pool 2.329% 8/1/43 26,493 27,483
2,3 Fannie Mae Pool 2.787% 9/1/44 26,267 27,257
2,3 Fannie Mae REMICS 3.000% 11/25/42–6/25/43 73,034 64,814
2,3 Fannie Mae REMICS 3.500% 7/25/43 19,029 19,001
2,3 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 8,962 10,034
2,3 Freddie Mac Non Gold Pool 2.266% 8/1/43 43,023 44,579
2,3 Freddie Mac Non Gold Pool 2.373% 9/1/43 15,896 16,505
2,3 Freddie Mac Non Gold Pool 2.761% 10/1/44 54,795 56,764
2,3 Freddie Mac Non Gold Pool 2.831% 10/1/44 24,017 24,935
2,3 Freddie Mac Non Gold Pool 2.834% 7/1/44 17,796 18,472
2,3 Freddie Mac Non Gold Pool 2.918% 9/1/44 17,112 17,765
2,3 Freddie Mac Non Gold Pool 2.938% 4/1/44 29,128 30,470
2,3 Freddie Mac Non Gold Pool 3.112% 10/1/44 34,006 35,416
2,3 Freddie Mac REMICS 3.000% 8/15/42–3/15/43 95,483 89,946
2,3 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 26,996 30,445
1,2 Ginnie Mae REMICS 0.381% 2/20/37 6,688 6,634
2 Ginnie Mae REMICS 2.500% 8/16/42–11/20/43 43,830 38,365
2 Ginnie Mae REMICS 3.000% 3/20/40–8/20/44 61,259 58,828
2 Ginnie Mae REMICS 3.250% 8/20/44 7,293 6,417
2 Ginnie Mae REMICS 3.500% 7/20/43 23,327 24,520
2 Ginnie Mae REMICS 3.500% 9/20/44 7,839 7,998
2 Ginnie Mae REMICS 4.500% 6/20/39 7,368 7,997
2 Ginnie Mae REMICS 5.000% 6/16/37 27,544 30,197
2 Ginnie Mae REMICS 5.500% 1/20/33–8/16/36 27,572 31,129
2 Ginnie Mae REMICS 6.500% 4/20/31 2,379 2,752
          728,723
Total U.S. Government and Agency Obligations (Cost $23,764,738)   24,434,907
Temporary Cash Investments (17.4%)        
 
        Shares  
Money Market Fund (4.9%)        
5 Vanguard Market Liquidity Fund 0.121% 1,315,269,000 1,315,269
 
        Face  
        Amount  
        ($000)  
Repurchase Agreements (3.3%)        
  Bank of America Securities, LLC        
  (Dated 4/30/15, Repurchase Value        
  $144,400,000, collateralized by        
  Government National Mortgage Assn.        
  2.268%-5.492%, 6/20/40-3/20/65,        
  with a value of $147,288,000) 0.110% 5/1/15 144,400 144,400
  Bank of Montreal        
  (Dated 4/30/15, Repurchase Value        
  $79,500,000, collateralized by        
  U.S. Treasury Note/Bond 0.000%-9.125%,        
  4/30/17-8/15/40, with a value of        
  $81,090,000) 0.090% 5/1/15 79,500 79,500

 

 

  Bank of Nova Scotia        
  (Dated 4/30/15, Repurchase Value        
  $35,000,000, collateralized by Federal        
  Home Loan Mortgage Corp. 2.676%-        
  4.000%, 1/1/30-3/1/45, Federal National        
  Mortgage Assn. 3.000%-4.500%, 5/1/26-      
  5/1/45, and U.S. Treasury Note/Bond        
  0.500%-2.750%, 6/15/16-2/15/24,        
  with a value of $35,700,000) 0.100% 5/1/15 35,000 35,000
  Barclays Capital Inc.        
  (Dated 4/30/15, Repurchase Value        
  $82,400,000, collateralized by        
  U.S. Treasury Note/Bond 0.000%-9.250%,      
  7/23/15-7/15/17, with a value of        
  $84,048,000) 0.080% 5/1/15 82,400 82,400
  Citigroup Global Markets Inc.        
  (Dated 4/30/15, Repurchase Value        
  $112,400,000, collateralized by        
  U.S. Treasury Note/Bond 1.750%,        
  10/31/20, with a value of $114,648,000) 0.100% 5/1/15 112,400 112,400
  HSBC Bank USA        
  (Dated 4/30/15, Repurchase Value        
  $41,300,000, collateralized by Federal        
  National Mortgage Assn. 4.500%, 11/1/40-      
  12/1/44, with a value of $42,127,000) 0.100% 5/1/15 41,300 41,300
  RBC Capital Markets LLC        
  (Dated 4/30/15, Repurchase Value        
  $57,000,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.000%-        
  4.000%, 10/1/29-7/1/44, Federal National      
  Mortgage Assn. 2.862%-6.000%, 1/1/29-      
  3/1/45, and Government National Mortgage      
  Assn. 3.000%-5.500%, 11/20/38-4/20/45,      
  with a value of $58,140,000) 0.100% 5/1/15 57,000 57,000
  Societe Generale        
  (Dated 4/30/15, Repurchase Value        
  $79,100,000, collateralized by        
  U.S. Treasury Note/Bond 0.875%-1.750%,      
  4/15/17-5/15/22, with a value of        
  $80,682,000) 0.130% 5/1/15 79,100 79,100
  TD Securities (USA)        
  (Dated 4/30/15, Repurchase Value        
  $258,201,000, collateralized by Federal        
  Home Loan Mortgage Corp. 3.000%-        
  4.000%, 8/1/28-1/1/45, Federal National        
  Mortgage Assn. 2.500%-6.500%, 12/1/24-      
  3/1/45, and U.S. Treasury Note/Bond        
  0.625%-1.750%, 12/31/16-3/31/22,        
  with a value of $263,364,000) 0.110% 5/1/15 258,200 258,200
Total Repurchase Agreements (Cost $889,300)     889,300
U.S. Government and Agency Obligations (9.2%)      
6 Federal Home Loan Bank Discount Notes 0.060% 5/22/15 52,960 52,957
6 Federal Home Loan Bank Discount Notes 0.060% 5/27/15 147,040 147,030
6 Federal Home Loan Bank Discount Notes 0.080% 7/22/15 300,000 299,928
  United States Treasury Bill 0.017%–0.022% 5/14/15 752,000 752,000
  United States Treasury Bill 0.008% 5/21/15 200,000 200,000

 

 

United States Treasury Bill 0.020% 7/23/15 1,000,000 999,980
        2,451,895
Total Temporary Cash Investments (Cost $4,656,454)       4,656,464
Total Investments (108.9%) (Cost $28,421,192)       29,091,371
Other Assets and Liabilities-Net (-8.9%)7,8       (2,371,949)
Net Assets (100%)       26,719,422

 

1 Adjustable-rate security.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2015.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 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.
7 Cash of $7,389,000 has been segregated as initial margin for open futures contracts.
8 Cash of $3,106,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

 

Vanguard GNMA Fund

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $714,000 in connection with TBA transactions.

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

D. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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 April 30, 2015, based on the inputs used to value them:

 

Vanguard GNMA Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 26,886,802 —
Temporary Cash Investments 1,315,269 889,300 —
Futures Contracts—Assets1 1,588 — —
Futures Contracts—Liabilities1 (2,091) — —
Total 1,314,766 27,776,102 —
1 Represents variation margin on the last day of the reporting period.

 

F. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
10-Year U.S. Treasury Note June 2015 2,697 346,227 (127)
30-Year U.S. Treasury Bond June 2015 1,768 282,162 (8,381)
5-Year U.S. Treasury Note June 2015 (1,727) (207,469) (178)
        (8,686)

 

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

G. At April 30, 2015, the cost of investment securities for tax purposes was $28,426,976,000. Net unrealized appreciation of investment securities for tax purposes was $664,395,000, consisting of unrealized gains of $705,211,000 on securities that had risen in value since their purchase and $40,816,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (14.1%)        
U.S. Government Securities (14.0%)        
  United States Treasury Inflation Indexed        
  Bonds 0.750% 2/15/45 104,000 104,280
  United States Treasury Note/Bond 1.250% 8/31/15 363 364
  United States Treasury Note/Bond 0.250% 9/15/15 367,100 367,386
  United States Treasury Note/Bond 0.250% 9/30/15 301,050 301,285
1 United States Treasury Note/Bond 1.250% 9/30/15 713,700 717,154
  United States Treasury Note/Bond 0.250% 10/15/15 475,300 475,671
1,2 United States Treasury Note/Bond 0.250% 10/31/15 491,800 492,184
1 United States Treasury Note/Bond 0.250% 12/15/15 579,400 579,759
  United States Treasury Note/Bond 0.250% 12/31/15 387,700 387,882
  United States Treasury Note/Bond 2.125% 12/31/15 182,000 184,361
  United States Treasury Note/Bond 0.375% 3/15/16 317,600 317,997
  United States Treasury Note/Bond 0.500% 6/15/16 331,900 332,574
  United States Treasury Note/Bond 0.500% 6/30/16 507,400 508,430
  United States Treasury Note/Bond 0.625% 7/15/16 342,000 343,067
  United States Treasury Note/Bond 0.875% 9/15/16 77,100 77,582
  United States Treasury Note/Bond 0.500% 9/30/16 6,440 6,447
  United States Treasury Note/Bond 0.875% 11/30/16 1,000 1,006
  United States Treasury Note/Bond 0.625% 9/30/17 28,500 28,415
  United States Treasury Note/Bond 0.875% 10/15/17 32,120 32,210
3 United States Treasury Note/Bond 0.875% 11/15/17 486,050 487,115
  United States Treasury Note/Bond 1.000% 12/15/17 176,750 177,579
  United States Treasury Note/Bond 0.875% 1/15/18 360,150 360,489
  United States Treasury Note/Bond 1.000% 2/15/18 47,400 47,578
  United States Treasury Note/Bond 1.000% 3/15/18 131,050 131,459
  United States Treasury Note/Bond 0.750% 3/31/18 45,500 45,301
  United States Treasury Note/Bond 0.750% 4/15/18 607,200 604,449
  United States Treasury Note/Bond 1.000% 8/31/19 3,750 3,698
  United States Treasury Note/Bond 1.375% 3/31/20 376,100 375,043
          7,490,765
Conventional Mortgage-Backed Securities (0.0%)        
4,5 Fannie Mae Pool 6.000% 12/1/16–5/1/17 1,281 1,338
4,5 Fannie Mae Pool 6.500% 9/1/16 793 819
4,5 Freddie Mac Gold Pool 6.000% 3/1/17–4/1/17 694 715
          2,872
Nonconventional Mortgage-Backed Securities (0.1%)        
4,5,6Fannie Mae Pool 2.125% 12/1/32 451 464
4,5,6Fannie Mae Pool 2.250% 9/1/32–6/1/33 4,261 4,465
4,5,6Fannie Mae Pool 2.285% 8/1/33 4,935 5,147
4,5,6Fannie Mae Pool 2.310% 7/1/32 386 413
4,5,6Fannie Mae Pool 2.340% 9/1/32 27 29
4,5,6Fannie Mae Pool 2.349% 5/1/33 2,979 3,177
4,5,6Fannie Mae Pool 2.356% 2/1/37 1,681 1,798
4,5,6Fannie Mae Pool 2.385% 8/1/37 665 705
4,5,6Fannie Mae Pool 2.425% 7/1/33 3,836 3,963
4,5,6Fannie Mae Pool 2.460% 5/1/33 652 699
4,5,6Freddie Mac Non Gold Pool 2.250% 8/1/37 2,536 2,683
4,5,6Freddie Mac Non Gold Pool 2.375% 8/1/32 1,907 2,009

 

 

4,5,6Freddie Mac Non Gold Pool 2.379% 9/1/32 260 285
4,5,6Freddie Mac Non Gold Pool 2.393% 9/1/32 985 1,012
4,5,6Freddie Mac Non Gold Pool 2.461% 10/1/32–8/1/33 1,628 1,739
4,5,6Freddie Mac Non Gold Pool 2.551% 1/1/33 525 573
4,5,6Freddie Mac Non Gold Pool 2.586% 2/1/33 374 387
          29,548
Total U.S. Government and Agency Obligations (Cost $7,514,725)     7,523,185
Asset-Backed/Commercial Mortgage-Backed Securities (17.8%)      
4,6 Ally Master Owner Trust Series 2010-4 1.252% 8/15/17 33,624 33,687
4,6,7Ally Master Owner Trust Series 2010-4 1.731% 8/15/17 38,935 39,032
4,6,7Ally Master Owner Trust Series 2010-4 2.131% 8/15/17 29,590 29,678
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 90,765 91,137
4,6 Ally Master Owner Trust Series 2014-1 0.651% 1/15/19 14,849 14,871
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 15,845 15,909
4 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 11,330 11,368
4,6 American Express Credit Account Secured        
  Note Trust 2008-2 1.442% 9/15/20 32,330 33,217
4,6 American Express Credit Account Secured        
  Note Trust 2012-4 0.731% 5/15/20 27,587 27,695
4,6 American Express Issuance Trust II 2013-1 0.461% 2/15/19 131,000 130,912
4,6,7American Homes 4 Rent 2014-SFR1 1.250% 6/17/31 5,115 5,086
4,6,7American Homes 4 Rent 2014-SFR1 1.600% 6/17/31 4,320 4,295
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 13,360 14,009
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 3,360 3,539
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 18,118 18,828
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 16,130 16,512
4,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 16,990 19,002
4,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 11,185 13,125
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 3,181 3,183
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 14,512 14,527
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 16,003 16,187
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 20,500 20,894
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 3,439 3,494
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 4,660 4,778
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 6,336 6,398
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 7,170 7,278
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 4,900 4,917
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 9,220 9,229
4,7 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 13,390 13,692
4,7 Applebee's Funding LLC/IHOP Funding LLC        
  2014-1 4.277% 9/5/44 10,140 10,456
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 13,740 13,709
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 10,371 10,394
4,6,7Arran Residential Mortgages Funding 2011-1        
  plc 1.707% 11/19/47 13,307 13,385
4,7 Aventura Mall Trust 2013-AVM 3.867% 12/5/32 15,105 16,231

 

 

4,7 Avis Budget Rental Car Funding AESOP LLC        
  2015-1A 2.500% 7/20/21 34,860 35,044
4,6 BA Credit Card Trust 2007-A4 0.222% 11/15/19 11,799 11,740
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,900 4,995
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 23,858 24,915
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 44,521 46,809
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.731% 4/10/49 33,895 36,128
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.386% 2/10/51 58,558 64,404
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.430% 2/10/51 5,659 6,223
4,8 Banc of America Funding 2006-H Trust 2.813% 9/20/46 22,882 18,604
4 Banc of America Mortgage 2003-F Trust 2.650% 7/25/33 1,240 1,208
4 Bank of America Mortgage 2002-J Trust 3.580% 9/25/32 20 19
4,6,7Bank of America Student Loan Trust 2010-1A 1.075% 2/25/43 25,703 25,733
  Bank of Nova Scotia 1.850% 4/14/20 18,965 18,917
4,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 13,221 13,502
4,8 Bear Stearns ARM Trust 2006-4 2.498% 10/25/36 34,358 29,753
4,8 Bear Stearns ARM Trust 2007-3 2.753% 5/25/47 24,756 20,749
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2005-PWR9 4.943% 9/11/42 13,370 13,468
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 22,543 23,585
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.896% 6/11/40 21,586 23,208
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 78,050 84,642
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 41,482 45,008
4,6,7BMW Floorplan Master Owner Trust 2012-1A 0.582% 9/15/17 27,557 27,562
4,6 Brazos Higher Education Authority Inc. Series        
  2005-3 0.467% 6/25/26 15,150 14,841
4,6 Brazos Higher Education Authority Inc. Series        
  2010-1 1.162% 5/25/29 26,321 26,348
4,6 Brazos Higher Education Authority Inc. Series        
  2011-1 1.062% 2/25/30 36,628 36,828
4 Cabela's Credit Card Master Note Trust 2015-        
  1A 2.260% 3/15/23 9,170 9,267
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 6,975 7,024
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 12,746 12,830
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 5,566 5,574
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 5,387 5,397
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 13,319 13,692
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 22,285 22,378
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 15,138 15,258
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 13,543 13,724
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 11,935 12,093
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 12,097 12,159
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 6,163 6,233
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 4,900 4,967
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 4,100 4,170
4,6 Capital One Multi-asset Execution Trust 2007-        
  A5 0.222% 7/15/20 33,317 33,100

 

 

4,6 Capital One Multi-Asset Execution Trust 2014-        
  A3 0.561% 1/18/22 35,000 35,010
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 5,904 5,952
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 3,608 3,655
4 Carmax Auto Owner Trust 2014-1 1.690% 8/15/19 2,530 2,524
4 Carmax Auto Owner Trust 2014-1 1.930% 11/15/19 4,730 4,724
4 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 4,400 4,433
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 21,400 21,733
4,7 CFCRE Commercial Mortgage Trust 2011-C1 5.721% 4/15/44 3,100 3,540
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.753% 12/15/47 14,930 17,459
4,6 Chase Issuance Trust 2007-C1 0.641% 4/15/19 30,415 30,292
4,6 Chase Issuance Trust 2012-A10 0.442% 12/16/19 116,750 116,648
4 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 2.449% 11/19/33 1,366 1,315
4,8 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 2.439% 3/20/36 14,878 12,740
4,8 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 2.582% 2/25/47 16,539 13,203
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 3,961 3,983
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.280% 7/15/19 4,785 4,824
4,7 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.930% 8/17/20 5,185 5,261
4,7 Chrysler Capital Auto Receivables Trust 2014-        
  AA 2.280% 11/15/19 10,230 10,305
4,7 CIT Equipment Collateral 2013-VT1 1.130% 7/20/20 13,553 13,565
4,6 Citibank Credit Card Issuance Trust 2008-A7 1.556% 5/20/20 61,200 63,229
4 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 16,000 16,650
4 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 80,045 81,507
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,980 6,187
4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,100 2,225
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 4,885 4,946
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,100 6,287
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 33,878 35,408
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 7,270 7,827
4,6,7Citigroup Commercial Mortgage Trust 2014-        
  388G 0.932% 6/15/33 18,500 18,515
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 1,565 1,708
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 6,190 6,570
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 18,240 19,706
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 6,830 7,254
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 10,396 11,068
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 3,754 3,969

 

 

4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.604% 7/10/47 6,380 6,663
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 27,540 29,213
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 8,880 9,075
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 23,985 24,428
4,8 Citigroup Mortgage Loan Trust 2007-AR8 2.692% 7/25/37 1,347 1,253
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 22,989 23,534
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 20,930 20,729
4 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 23,155 24,613
4,6,7Colony American Homes 2014-1 1.400% 5/17/31 12,607 12,542
4,6,7Colony American Homes 2014-1 1.600% 5/17/31 15,545 15,400
4,6,7Colony American Homes Single-Family Rental        
  Pass-Through Certificates 2014-2 1.532% 7/17/31 12,850 12,709
4 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 22,860 23,620
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 23,505 24,771
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 35,515 37,315
4 COMM 2007-C9 Mortgage Trust 5.989% 12/10/49 25,193 27,325
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,925 3,053
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 4,100 4,385
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 7,520 7,677
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 10,825 11,065
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,678
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 13,320 14,582
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 43,975 48,946
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 14,650 15,548
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 35,181 38,619
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 25,210 27,926
4 COMM 2013-CCRE13 Mortgage Trust 4.913% 12/10/23 4,517 5,056
4 COMM 2013-CCRE13 Mortgage Trust 4.913% 12/10/23 8,240 8,918
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 22,465 24,024
4 COMM 2013-CCRE9 Mortgage Trust 4.377% 7/10/45 24,875 27,820
4,7 COMM 2013-CCRE9 Mortgage Trust 4.401% 7/10/45 11,250 12,350
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 20,736 21,574
4 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 9,520 10,245
4,7 COMM 2013-CR9 Mortgage Trust 4.401% 7/10/45 8,250 8,576
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 32,400 33,794
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 10,688 11,478
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 13,605 15,097
4,7 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 18,565 20,789
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 4,100 4,200
4,7 COMM 2013-SFS Mortgage Trust 3.086% 4/12/35 5,490 5,580
4,7 COMM 2014-277P Mortgage Trust 3.732% 8/10/49 29,250 30,978
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 7,670 8,048
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 5,375 5,742
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 10,110 11,233
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 16,800 17,459
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 17,040 18,718
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 13,450 14,953
4 COMM 2014-CCRE15 Mortgage Trust 4.869% 2/10/47 8,250 9,272
4 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 34,940 38,055
4 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 27,380 29,868
4 COMM 2014-CR17 Mortgage Trust 4.896% 5/10/47 4,250 4,547
4 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 10,600 11,165
4 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 26,294 28,344

 

 

4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 11,570 12,559
4 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 4,330 4,447
4 Commercial Mortgage Trust 2006-GG7 6.014% 7/10/38 33,142 34,233
7 Commonwealth Bank of Australia 1.875% 12/11/18 30,550 30,849
7 Commonwealth Bank of Australia 2.000% 6/18/19 19,400 19,574
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 42,700 43,746
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 6.000% 6/15/38 18,769 19,311
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.169% 2/15/41 35,445 39,069
4,7 DB Master Finance LL 2015-1 3.262% 2/20/45 10,477 10,552
4,6 Discover Card Execution Note Trust 2012-A4 0.551% 11/15/19 28,048 28,098
4 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 114,300 114,111
4,6 Discover Card Execution Note Trust 2013-A1 0.482% 8/17/20 74,700 74,696
4 Discover Card Execution Note Trust 2014-A4 2.120% 12/15/21 50,450 51,142
4,7 Drive Auto Receivables Trust 2015-A 2.280% 6/17/19 12,310 12,346
4,7 Drive Auto Receivables Trust 2015-A 3.060% 5/17/21 8,060 8,102
4,7 Drive Auto Receivables Trust 2015-A 4.120% 6/15/22 5,860 5,904
4,7 Enterprise Fleet Financing LLC Series 2011-3 2.100% 5/20/17 3,909 3,916
4,7 Enterprise Fleet Financing LLC Series 2012-2 0.720% 4/20/18 3,652 3,653
4,7 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 10,300 10,303
4,7 Enterprise Fleet Financing LLC Series 2015-1 1.740% 9/20/20 11,850 11,889
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 6,242 6,266
4,6 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 7,483 7,495
4,8 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 2.065% 11/25/36 12,937 10,664
8 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 2.554% 1/25/37 25,750 22,215
4 Ford Credit Auto Lease Trust 2013-A 1.010% 5/15/16 17,941 17,949
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 13,697 13,701
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 22,593 22,623
4 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 8,390 8,389
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 4,870 4,905
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 12,338 12,379
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 12,800 12,833
4,7 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 20,918 21,306
4,7 Ford Credit Auto Owner Trust 2014-1 2.410% 11/15/25 6,440 6,505
4,7 Ford Credit Auto Owner Trust 2014-2 2.310% 4/15/26 32,410 33,014
4,7 Ford Credit Auto Owner Trust 2014-2 2.510% 4/15/26 5,760 5,828
4,7 Ford Credit Auto Owner Trust 2015-1 2.120% 7/15/26 22,750 22,942
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 26,574 26,941
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 117,285 117,983
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 7,100 7,139
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 8,550 8,637
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 25,544 25,619
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 9,560 9,595
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-3 1.740% 6/15/17 7,483 7,493
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 6,180 6,250

 

 

4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 6,630 6,673
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 2,650 2,695
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 10,238 10,273
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 4,473 4,533
4,6 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.682% 2/15/21 9,200 9,220
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 68,275 68,447
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 9,396 9,376
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 4,811 4,784
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 28,448 28,604
4,6 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.181% 5/15/19 49,966 50,077
4 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 72,000 72,760
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 89,890 89,859
4,6 GE Dealer Floorplan Master Note Trust Series        
  2012-2 0.931% 4/22/19 47,694 47,991
4,6 GE Dealer Floorplan Master Note Trust Series        
  2012-4 0.621% 10/20/17 24,789 24,802
4,6 GE Dealer Floorplan Master Note Trust Series        
  2015-2 0.831% 1/20/22 10,860 10,866
4,7 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 7,900 7,943
4 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 6,350 6,383
4 GMACM Mortgage Loan Trust 2005-AR6 2.803% 11/19/35 4,676 4,411
4,7 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 82,764 83,717
4,6,7Golden Credit Card Trust 2012-3A 0.632% 7/17/17 2,595 2,596
4,6,7Golden Credit Card Trust 2015-1A 0.622% 2/15/20 59,900 59,894
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 53,490 53,481
4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 20,500 21,555
4,6 Granite Master Issuer plc Series 2007-1 0.321% 12/20/54 3,992 3,968
4,6 Granite Master Issuer plc Series 2007-2 0.260% 12/17/54 1,326 1,316
4,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 11,500 11,513
4,7 Great America Leasing Receivables 2015-1 2.020% 6/21/21 4,920 4,957
4,7 GS Mortgage Securities Trust 2010-C2 5.396% 12/10/43 3,530 3,901
4,7 GS Mortgage Securities Trust 2011-GC3 5.739% 3/10/44 2,280 2,595
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 25,305 26,876
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 27,725 28,145
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,140
4 GS Mortgage Securities Trust 2013-GC13 4.173% 7/10/46 22,170 24,565
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 9,925 10,254
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 8,250 8,572
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 22,515 23,535
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 8,192 8,761
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 49,000 54,519
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 10,399 11,356
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 40,940 44,442
4 GS Mortgage Securities Trust 2014-GC24 4.640% 9/10/47 9,410 10,207
4 GS Mortgage Securities Trust 2014-GC24 4.661% 9/10/47 13,616 14,223
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 18,190 19,271
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 9,730 10,118
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 18,187 18,173

 

 

4,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 51,709 52,594
4,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 41,149 42,552
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 60,150 60,178
4,7 Hilton USA Trust 2013-HLT 2.662% 11/5/30 15,740 15,705
4,7 Hilton USA Trust 2013-HLT 3.367% 11/5/30 16,365 16,495
4,7 Hilton USA Trust 2013-HLT 3.714% 11/5/30 7,365 7,459
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 30,910 31,147
4,7 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 8,800 8,787
4,7 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 10,100 10,104
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 1.650% 8/15/19 21,000 21,084
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 21,250 21,336
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 8,051 8,137
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 5,805 5,816
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 9,790 9,872
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 6,500 6,630
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 5,470 5,581
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 8,350 8,400
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 5,710 5,715
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 10,050 10,096
4,6,7Hyundai Floorplan Master Owner Trust Series        
  2013-1 0.831% 5/15/18 8,950 8,927
4,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 16,395 16,477
6 Illinois Student Assistance Commission Series        
  2010-1 1.327% 4/25/22 17,041 17,136
4,6,7Invitation Homes 2014-SFR1 Trust 1.680% 6/17/31 24,491 24,491
4,6,7Invitation Homes 2014-SFR2 Trust 1.282% 9/17/31 11,731 11,731
4,6,7Invitation Homes 2014-SFR2 Trust 1.782% 9/17/31 8,980 8,999
4,6,7Invitation Homes 2015-SFR2 Trust 1.528% 6/17/32 7,525 7,551
4,7 Irvine Core Office Trust 2013-IRV 3.279% 5/15/48 14,450 14,903
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 28,330 29,083
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 6.057% 4/15/45 34,701 36,169
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 4,833 5,181
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 43,815 47,333
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 39,193 41,701
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 29,204 31,538
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2009-IWST 5.633% 12/5/27 6,185 7,115
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 2,300 2,434
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 3,300 3,465
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 3,140 3,419
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.689% 11/15/43 6,225 6,954
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.689% 11/15/43 7,100 7,642

 

 

4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 17,600 18,937
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 26,091 29,383
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 2,930 3,250
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.500% 8/15/46 4,100 4,777
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 18,490 19,694
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 13,145 13,417
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,030 4,208
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 27,000 29,684
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,850 6,048
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 40,130 40,833
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 14,110 15,449
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 9,630 10,300
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 1,300 1,399
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 9,700 10,708
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.517% 12/15/46 14,600 16,251
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.111% 12/15/46 21,150 23,785
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.176% 12/15/46 9,770 10,695
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 4,885 4,923
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 11,321 11,576
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 17,080 18,245
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.162% 7/15/45 7,520 8,145
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 16,407 17,132
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 17,400 18,695
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 24,290 25,315
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 4,050 4,328
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.131% 11/15/45 27,200 29,947
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 17,820 19,884
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.251% 11/15/45 13,360 14,716
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 22,300 24,666

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 18,600 20,401
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 12,950 14,334
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.970% 2/15/47 13,200 14,674
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.970% 2/15/47 5,850 6,280
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 8,370 8,831
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 10,310 10,952
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 44,910 47,017
6 Kentucky Higher Education Student Loan        
  Corp. 2013-2 0.779% 9/1/28 11,854 11,823
4,6,7Kildare Securities Ltd. 2007-1A 0.385% 12/10/43 2,630 2,614
4,7 Ladder Capital Commercial Mortgage 2013-        
  GCP Mortgage Trust 3.388% 5/15/31 18,640 19,462
4,6,7Lanark Master Issuer plc 2012-2A 1.662% 12/22/54 23,136 23,285
4,6,7Lanark Master Issuer plc 2013-1A 0.762% 12/22/54 15,330 15,327
4 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 55,637 57,323
4 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 21,005 21,946
4 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 9,755 10,256
4 LB-UBS Commercial Mortgage Trust 2007-C2 5.387% 2/15/40 29,155 31,155
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 27,102 29,561
4,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 6,896 6,903
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 12,460 13,366
4,7 Master Credit Card Trust 2012-2A 1.970% 4/21/17 3,900 3,914
4,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 4,219 4,222
4 MASTR Adjustable Rate Mortgages Trust        
  2004-3 2.176% 4/25/34 1,917 1,753
4,6 MBNA Credit Card Master Note Trust 2004-        
  A3 0.442% 8/16/21 89,145 88,859
4,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 51,264 51,336
4,6,7Mercedes-Benz Master Owner Trust 2015-B 0.560% 4/15/20 9,160 9,160
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 1.884% 2/25/33 2,737 2,515
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 2.605% 7/25/33 815 826
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 11,620 12,121
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 8,466 9,157
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 4,212 4,251
4 ML-CFC Commercial Mortgage Trust 2006-2 6.060% 6/12/46 8,085 8,400
4 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 7,411 7,406
4,7 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 4,503 4,515
4,7 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 17,389 17,509
4,7 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 27,566 28,276
4,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 13,700 13,817
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 21,300 22,172
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 2,000 2,144
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 5,700 5,812
4,7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-CKSV 3.277% 10/15/30 21,775 22,030

 

 

4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.218% 7/15/46 27,100 29,979
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 22,200 23,235
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.363% 8/15/46 45,116 50,114
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 8,080 8,673
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 8,300 9,111
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 2.918% 2/15/46 6,400 6,539
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 3.214% 2/15/46 2,940 3,018
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C9 3.102% 5/15/46 22,100 22,803
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 16,600 18,183
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 17,500 19,418
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 27,350 29,590
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 9,540 10,366
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.483% 6/15/47 12,300 13,120
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.916% 6/15/47 12,300 13,037
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 3.741% 8/15/47 19,580 20,923
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 4.011% 8/15/47 5,340 5,765
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C18 3.923% 10/15/47 11,150 12,082
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.326% 12/15/47 14,610 15,270
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.526% 12/15/47 6,390 6,718
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.069% 2/15/48 8,060 8,277
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.249% 2/15/48 4,475 4,597
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 5/15/46 15,140 15,564
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 51,869 54,171
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 11,135 11,718
4 Morgan Stanley Capital I Trust 2007-IQ15 6.104% 6/11/49 35,881 38,778
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 54,043 58,222
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 3,143 3,287
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,500 2,669
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,045 17,633
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 27,955 30,171
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 10,690 11,220
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 25,700 27,105
4 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 2.121% 6/25/36 11,599 10,916
4,6 Navient Student Loan Trust 2014-1 0.931% 2/25/39 5,940 5,852
4,6 Navient Student Loan Trust 2015-1 0.781% 4/25/40 8,650 8,656

 

 

4,6 New Mexico Educational Assistance        
  Foundation 2013-1 0.879% 1/2/25 25,967 25,831
4,6 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.482% 2/15/18 38,869 38,851
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 12,139 12,152
7 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 24,250 24,554
6 North Carolina State Education Assistance        
  Authority 2011-1 1.177% 1/26/26 24,805 24,743
4,6 North Carolina State Education Assistance        
  Authority 2011-2 1.056% 7/25/25 5,320 5,336
4,7 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 10,065 11,288
4,6,7PFS Financing Corp. 2014-AA 0.781% 2/15/19 8,300 8,292
4,6,7PFS Financing Corp. 2015-AA 0.826% 4/15/20 10,150 10,143
4,6,7Resimac MBS Trust 2014-1A 0.968% 12/12/45 17,933 17,944
4,8 RFMSI Series 2006-SA2 Trust 3.531% 8/25/36 24,612 21,373
4,8 RFMSI Series 2006-SA3 Trust 3.602% 9/25/36 8,870 7,365
  Royal Bank of Canada 1.875% 2/5/20 24,700 24,668
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 24,054 24,170
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 7,946 7,968
4,6,7Silver Bay Realty 2014-1 Trust 1.182% 9/17/31 10,995 10,946
4,6,7Silver Bay Realty 2014-1 Trust 1.632% 9/17/31 6,500 6,434
4,6 SLM Student Loan Trust 2005-5 0.377% 4/25/25 42,346 42,157
4,6 SLM Student Loan Trust 2005-9 0.397% 1/27/25 16,869 16,769
4,6 SLM Student Loan Trust 2006-5 0.387% 1/25/27 24,500 24,297
4,6 SLM Student Loan Trust 2006-6 0.387% 10/27/25 36,118 35,859
4,6 SLM Student Loan Trust 2007-1 0.367% 1/26/26 66,950 65,582
4,6,7SLM Student Loan Trust 2011-A 1.181% 10/15/24 6,758 6,777
4,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 12,100 12,927
4,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 60,000 62,910
4,6,7SLM Student Loan Trust 2011-C 1.582% 12/15/23 5,837 5,857
4,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 22,200 24,020
4,6,7SLM Student Loan Trust 2012-B 1.281% 12/15/21 2,101 2,103
4,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 15,048 15,569
4,6,7SLM Student Loan Trust 2012-E 0.932% 10/16/23 11,381 11,405
4,6,7SLM Student Loan Trust 2013-1 1.231% 5/17/27 24,000 24,028
4,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 8,000 7,771
4,6 SLM Student Loan Trust 2013-6 0.831% 6/26/28 19,400 19,212
4,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 14,650 14,546
4,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 14,700 14,583
4,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 5,860 5,916
4,6 SLM Student Loan Trust 2014-1 0.781% 2/26/29 10,900 10,899
4,7 SLM Student Loan Trust 2014-A 2.590% 1/15/26 4,500 4,601
4,7 SLM Student Loan Trust 2014-A 3.500% 11/15/44 4,100 4,110
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 14,212 14,206
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 9,023 9,038
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 18,344 18,324
4,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 13,128 13,847
4,6 South Carolina Student Loan Corp. Revenue        
  2010-1 1.277% 7/25/25 24,093 24,256
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 11,250 11,203
4,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 24,490 24,412
7 Stadshypotek AB 1.750% 4/9/20 35,833 35,575
4,6,7SWAY Residential 2014-1 Trust 1.480% 1/17/32 22,706 22,809
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 14,500 14,668

 

 

4,7 Tidewater Auto Receivables Trust 2014-AA 1.400% 7/15/18 4,000 3,999
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 22,300 23,494
7 Toronto-Dominion Bank 1.950% 4/2/20 35,735 35,712
4,6,7Trade MAPS 1 Ltd. 2013-1A 0.881% 12/10/18 29,820 29,853
4,6,7Trade MAPS 1 Ltd. 2013-1A 1.431% 12/10/18 5,640 5,643
4,6,7Trade MAPS 1 Ltd. 2013-1A 2.431% 12/10/18 3,095 3,090
4,6,7Trafigura Securitisation Finance plc 2014-1 1.132% 10/15/21 20,770 20,737
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,250 1,358
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 24,595 25,690
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 8,915 9,045
4,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 13,250 13,484
4,7 VNO 2013-PENN Mortgage Trust 3.808% 12/13/29 11,130 11,950
4,7 VNO 2013-PENN Mortgage Trust 4.079% 12/13/29 3,270 3,499
4,7 VNO 2013-PENN Mortgage Trust 4.079% 12/13/29 2,450 2,587
4,7 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 39,464 39,629
4,7 Volvo Financial Equipment LLC Series 2012-1 2.380% 9/16/19 5,350 5,371
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 9,160 9,220
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 7,730 7,995
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 22,337 23,469
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 40,751 42,750
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 34,911 36,777
4 WaMu Mortgage Pass-Through Certificates        
  Series 2002-AR18 2.508% 1/25/33 226 229
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR7 2.299% 8/25/33 1,415 1,386
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR9 2.405% 9/25/33 2,012 2,015
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 29,967 30,783
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,650 1,739
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 8,075 8,787
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 34,646 38,473
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.436% 7/15/46 4,906 5,421
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 17,100 18,113
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 43,100 46,416
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 7,100 7,644
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 12,250 13,054
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 6,830 7,093
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 31,900 33,255
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 13,450 13,780

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 13,450 13,708
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 8,570 8,940
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 8,570 8,938
4,8 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 2.617% 10/25/36 21,471 20,509
7 Westpac Banking Corp. 1.850% 11/26/18 27,865 28,128
7 Westpac Banking Corp. 2.000% 3/3/20 24,850 24,868
4,7 WFLD 2014-MONT Mortgage Trust 3.880% 8/10/31 18,630 19,841
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 11,545 12,794
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 8,855 9,055
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 11,630 12,327
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 5,056 5,503
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 4,400 4,544
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 17,145 17,538
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,860 2,981
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,230 2,309
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 7,976 8,280
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 22,490 24,200
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 2,800 3,100
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 14,650 16,517
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 3,500 3,736
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 4.023% 12/15/46 9,770 10,703
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.027% 12/15/46 8,940 9,341
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 6,710 7,210
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 25,260 28,018
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.827% 12/15/46 5,775 6,396
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 17,254 18,943
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.638% 5/15/47 21,637 23,148
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 22,270 24,330
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 4,500 4,710
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 14,490 15,443
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 7,130 7,606
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 12,290 12,628
4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 4,980 5,382

 

 

4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 2,100 2,233
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 22,500 24,669
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 19,000 19,044
4,6 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.703% 2/15/22 20,670 20,677
4,6,7World Omni Master Owner Trust 2013-1 0.532% 2/15/18 17,848 17,837
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,363,379)   9,473,825
Corporate Bonds (60.4%)        
Finance (28.5%)        
  Banking (22.4%)        
  Abbey National Treasury Services plc 4.000% 4/27/16 35,212 36,297
  Abbey National Treasury Services plc 1.375% 3/13/17 93,971 94,239
  Abbey National Treasury Services plc 1.650% 9/29/17 5,280 5,302
  Abbey National Treasury Services plc 3.050% 8/23/18 45,920 47,817
  Abbey National Treasury Services plc 2.350% 9/10/19 8,485 8,607
  Abbey National Treasury Services plc 2.375% 3/16/20 78,145 78,651
7 ABN AMRO Bank NV 4.250% 2/2/17 9,965 10,468
7 ABN AMRO Bank NV 2.500% 10/30/18 22,475 22,977
  American Express Centurion Bank 6.000% 9/13/17 64,650 71,488
  American Express Co. 6.150% 8/28/17 19,963 22,132
  American Express Co. 7.000% 3/19/18 22,315 25,678
  American Express Credit Corp. 2.750% 9/15/15 55,697 56,129
  American Express Credit Corp. 2.800% 9/19/16 56,170 57,748
  American Express Credit Corp. 2.375% 3/24/17 31,210 32,011
  American Express Credit Corp. 1.550% 9/22/17 11,440 11,505
  American Express Credit Corp. 2.125% 3/18/19 24,425 24,643
  American Express Credit Corp. 2.250% 8/15/19 37,090 37,537
7 ANZ New Zealand International Ltd. 1.750% 3/29/18 29,305 29,408
  Australia & New Zealand Banking Group Ltd. 0.900% 2/12/16 19,500 19,533
7 Australia & New Zealand Banking Group Ltd. 3.250% 3/1/16 28,325 28,940
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 53,942 54,589
  Australia & New Zealand Banking Group Ltd. 1.450% 5/15/18 16,600 16,553
7 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 36,815 38,348
7 Banco Votorantim SA 5.250% 2/11/16 11,720 11,938
  Bank of America Corp. 3.700% 9/1/15 5,940 5,993
  Bank of America Corp. 1.500% 10/9/15 24,336 24,408
  Bank of America Corp. 3.625% 3/17/16 32,076 32,829
  Bank of America Corp. 6.050% 5/16/16 33,472 35,063
  Bank of America Corp. 3.750% 7/12/16 52,549 54,149
  Bank of America Corp. 6.500% 8/1/16 81,244 86,420
  Bank of America Corp. 5.420% 3/15/17 21,197 22,527
  Bank of America Corp. 5.700% 5/2/17 6,525 7,017
  Bank of America Corp. 6.400% 8/28/17 14,568 16,082
  Bank of America Corp. 6.000% 9/1/17 43,443 47,597
  Bank of America Corp. 5.750% 12/1/17 63,938 70,330
  Bank of America Corp. 2.000% 1/11/18 56,895 57,317
  Bank of America Corp. 6.875% 4/25/18 51,349 58,672
  Bank of America Corp. 5.650% 5/1/18 15,500 17,145
  Bank of America Corp. 2.600% 1/15/19 117,339 119,185
  Bank of America Corp. 2.250% 4/21/20 14,530 14,385
  Bank of America NA 1.125% 11/14/16 63,100 63,250
  Bank of America NA 1.250% 2/14/17 19,100 19,154
  Bank of America NA 5.300% 3/15/17 9,760 10,401
  Bank of America NA 6.100% 6/15/17 6,429 6,984

 

 

Bank of America NA 1.650% 3/26/18 70,815 70,863
Bank of Montreal 2.500% 1/11/17 18,545 19,097
Bank of Montreal 1.300% 7/14/17 19,000 19,091
Bank of Montreal 1.400% 9/11/17 25,675 25,794
Bank of Montreal 1.450% 4/9/18 10,670 10,702
Bank of Montreal 1.400% 4/10/18 31,155 31,203
Bank of New York Mellon Corp. 2.300% 7/28/16 8,594 8,761
Bank of New York Mellon Corp. 2.400% 1/17/17 28,950 29,652
Bank of New York Mellon Corp. 1.969% 6/20/17 8,100 8,238
Bank of New York Mellon Corp. 2.100% 1/15/19 3,460 3,493
Bank of New York Mellon Corp. 2.200% 5/15/19 43,940 44,475
Bank of New York Mellon Corp. 2.300% 9/11/19 29,290 29,710
Bank of New York Mellon Corp. 2.150% 2/24/20 21,000 21,072
Bank of Nova Scotia 2.050% 10/7/15 14,618 14,724
Bank of Nova Scotia 0.750% 10/9/15 29,298 29,348
Bank of Nova Scotia 2.900% 3/29/16 43,962 44,920
Bank of Nova Scotia 1.375% 7/15/16 38,978 39,305
Bank of Nova Scotia 2.550% 1/12/17 90,083 92,535
Bank of Nova Scotia 1.250% 4/11/17 9,765 9,812
Bank of Nova Scotia 1.300% 7/21/17 21,154 21,242
Bank of Nova Scotia 1.375% 12/18/17 31,425 31,494
Bank of Nova Scotia 1.450% 4/25/18 46,055 46,087
Bank of Nova Scotia 2.050% 10/30/18 68,761 69,793
Bank of Nova Scotia 2.050% 6/5/19 10,850 10,921
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/10/19 11,750 11,843
7 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 39,075 39,282
Barclays Bank plc 5.000% 9/22/16 15,695 16,549
Barclays Bank plc 2.500% 2/20/19 51,925 52,995
Barclays Bank plc 6.750% 5/22/19 27,855 32,827
Barclays plc 2.750% 11/8/19 71,570 72,593
BB&T Corp. 5.200% 12/23/15 21,527 22,112
BB&T Corp. 3.200% 3/15/16 14,240 14,524
BB&T Corp. 2.150% 3/22/17 69,521 70,892
BB&T Corp. 4.900% 6/30/17 9,750 10,433
BB&T Corp. 1.600% 8/15/17 6,820 6,872
BB&T Corp. 2.050% 6/19/18 18,058 18,274
BB&T Corp. 2.450% 1/15/20 24,415 24,702
Bear Stearns Cos. LLC 5.300% 10/30/15 22,331 22,817
Bear Stearns Cos. LLC 5.550% 1/22/17 24,436 26,126
Bear Stearns Cos. LLC 6.400% 10/2/17 38,076 42,398
Bear Stearns Cos. LLC 7.250% 2/1/18 21,551 24,722
BNP Paribas SA 3.600% 2/23/16 84,830 86,734
BNP Paribas SA 1.375% 3/17/17 46,900 46,948
BNP Paribas SA 2.375% 9/14/17 88,726 90,666
BNP Paribas SA 2.700% 8/20/18 70,011 72,229
BNP Paribas SA 2.400% 12/12/18 2,850 2,901
BPCE SA 1.613% 7/25/17 17,366 17,386
BPCE SA 1.625% 1/26/18 9,770 9,814
BPCE SA 2.500% 12/10/18 109,780 112,577
BPCE SA 2.250% 1/27/20 14,785 14,895
Branch Banking & Trust Co. 5.625% 9/15/16 9,510 10,083
Branch Banking & Trust Co. 1.000% 4/3/17 25,400 25,401
Branch Banking & Trust Co. 1.350% 10/1/17 29,280 29,344
7 Caisse Centrale Desjardins 1.750% 1/29/18 68,370 68,541
Canadian Imperial Bank of Commerce 1.550% 1/23/18 27,065 27,226
Capital One Bank USA NA 1.150% 11/21/16 11,720 11,686
Capital One Bank USA NA 1.200% 2/13/17 8,750 8,727
Capital One Bank USA NA 2.150% 11/21/18 14,650 14,752

 

 

  Capital One Bank USA NA 2.250% 2/13/19 24,420 24,451
  Capital One Bank USA NA 2.300% 6/5/19 32,965 32,946
  Capital One Financial Corp. 6.150% 9/1/16 4,335 4,606
  Capital One Financial Corp. 2.450% 4/24/19 28,005 28,233
  Capital One Financial Corp. 3.200% 2/5/25 14,400 14,117
  Capital One NA 1.500% 9/5/17 17,570 17,547
  Capital One NA 1.650% 2/5/18 27,200 27,072
  Capital One NA 1.500% 3/22/18 60,395 59,879
  Capital One NA 2.400% 9/5/19 31,440 31,550
  Citigroup Inc. 4.700% 5/29/15 18,744 18,797
  Citigroup Inc. 1.250% 1/15/16 3,941 3,954
  Citigroup Inc. 1.300% 4/1/16 13,644 13,693
  Citigroup Inc. 3.953% 6/15/16 54,042 55,796
  Citigroup Inc. 5.850% 8/2/16 8,595 9,080
  Citigroup Inc. 4.450% 1/10/17 51,479 54,088
  Citigroup Inc. 1.350% 3/10/17 7,914 7,906
  Citigroup Inc. 1.550% 8/14/17 13,826 13,827
  Citigroup Inc. 6.125% 11/21/17 53,745 59,632
  Citigroup Inc. 1.850% 11/24/17 48,830 49,186
  Citigroup Inc. 1.800% 2/5/18 36,140 36,212
  Citigroup Inc. 1.700% 4/27/18 83,010 82,661
  Citigroup Inc. 1.750% 5/1/18 68,076 67,927
  Citigroup Inc. 6.125% 5/15/18 9,760 10,972
  Citigroup Inc. 2.500% 9/26/18 61,030 62,215
  Citigroup Inc. 2.550% 4/8/19 59,260 60,137
  Citigroup Inc. 2.500% 7/29/19 21,060 21,250
4,7,9Colonial BancGroup Inc. 7.114% 5/29/49 25,100 2
  Comerica Bank 5.750% 11/21/16 17,000 18,211
  Comerica Bank 5.200% 8/22/17 6,825 7,380
  Commonwealth Bank of Australia 1.250% 9/18/15 33,150 33,249
7 Commonwealth Bank of Australia 3.250% 3/17/16 30,600 31,295
  Commonwealth Bank of Australia 1.125% 3/13/17 9,750 9,776
  Commonwealth Bank of Australia 1.400% 9/8/17 53,400 53,647
  Commonwealth Bank of Australia 1.900% 9/18/17 19,030 19,350
  Commonwealth Bank of Australia 1.625% 3/12/18 23,445 23,621
  Commonwealth Bank of Australia 2.500% 9/20/18 64,205 66,084
  Commonwealth Bank of Australia 2.250% 3/13/19 57,815 58,534
  Commonwealth Bank of Australia 2.300% 9/6/19 34,200 34,576
  Commonwealth Bank of Australia 2.300% 3/12/20 21,490 21,664
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.375% 1/19/17 89,189 92,686
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 1.700% 3/19/18 46,263 46,606
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/19 76,230 77,275
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/20 25,125 25,367
10 Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.750% 11/9/20 19,526 24,571
  Countrywide Financial Corp. 6.250% 5/15/16 37,914 39,813
  Credit Suisse 1.375% 5/26/17 38,775 38,812
  Credit Suisse 2.300% 5/28/19 69,795 70,080
  Credit Suisse 4.375% 8/5/20 2,030 2,237
  Credit Suisse AG 1.750% 1/29/18 40,800 40,891
7 Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 29,305 29,460
  Credit Suisse USA Inc. 5.125% 8/15/15 45,875 46,471
  Credit Suisse USA Inc. 5.375% 3/2/16 16,725 17,355
  Credit Suisse NY 1.700% 4/27/18 58,595 58,433

 

 

7 Danske Bank A/S 3.875% 4/14/16 34,300 35,229
  Deutsche Bank AG 3.250% 1/11/16 38,861 39,571
  Deutsche Bank AG 1.400% 2/13/17 93,890 93,990
  Deutsche Bank AG 6.000% 9/1/17 97,907 107,595
  Deutsche Bank AG 1.875% 2/13/18 56,405 56,585
  Deutsche Bank AG 2.500% 2/13/19 21,485 21,800
  Fifth Third Bank 0.900% 2/26/16 24,395 24,409
  Fifth Third Bank 2.375% 4/25/19 38,830 39,332
  First Horizon National Corp. 5.375% 12/15/15 31,966 32,694
  First Republic Bank 2.375% 6/17/19 47,605 48,053
  Goldman Sachs Group Inc. 3.300% 5/3/15 5,307 5,307
  Goldman Sachs Group Inc. 3.700% 8/1/15 50,099 50,454
  Goldman Sachs Group Inc. 5.350% 1/15/16 43,487 44,821
  Goldman Sachs Group Inc. 3.625% 2/7/16 4,999 5,102
  Goldman Sachs Group Inc. 5.625% 1/15/17 37,115 39,609
11 Goldman Sachs Group Inc. 6.125% 5/14/17 37,400 62,139
  Goldman Sachs Group Inc. 6.250% 9/1/17 73,865 81,506
  Goldman Sachs Group Inc. 5.950% 1/18/18 108,310 119,974
  Goldman Sachs Group Inc. 2.375% 1/22/18 50,700 51,595
  Goldman Sachs Group Inc. 6.150% 4/1/18 31,713 35,519
  Goldman Sachs Group Inc. 2.900% 7/19/18 76,640 78,974
12 Goldman Sachs Group Inc. 5.000% 8/8/18 12,310 10,219
  Goldman Sachs Group Inc. 2.625% 1/31/19 90,880 92,598
  Goldman Sachs Group Inc. 2.550% 10/23/19 17,910 18,118
7 HSBC Bank plc 1.500% 5/15/18 17,965 17,914
  HSBC Bank USA NA 6.000% 8/9/17 10,110 11,080
4 HSBC Holdings plc 6.375% 3/29/49 10,560 10,877
4 HSBC Holdings plc 6.375% 12/29/49 10,650 10,969
  HSBC USA Inc. 1.500% 11/13/17 7,190 7,214
  HSBC USA Inc. 1.625% 1/16/18 56,555 56,733
  HSBC USA Inc. 2.625% 9/24/18 63,495 65,217
  HSBC USA Inc. 2.250% 6/23/19 29,545 29,784
  HSBC USA Inc. 2.375% 11/13/19 48,435 48,747
  Huntington Bancshares Inc. 2.600% 8/2/18 43,955 44,770
  Huntington National Bank 1.375% 4/24/17 25,150 25,154
7 ING Bank NV 3.750% 3/7/17 66,683 69,556
7 ING Bank NV 2.450% 3/16/20 39,075 39,517
  Intesa Sanpaolo SPA 3.125% 1/15/16 59,065 59,778
  Intesa Sanpaolo SPA 2.375% 1/13/17 71,950 72,659
  Intesa Sanpaolo SPA 3.875% 1/16/18 55,390 57,945
  JPMorgan Chase & Co. 3.400% 6/24/15 29,286 29,399
  JPMorgan Chase & Co. 5.150% 10/1/15 9,836 10,015
  JPMorgan Chase & Co. 1.100% 10/15/15 35,284 35,350
  JPMorgan Chase & Co. 2.600% 1/15/16 38,773 39,261
  JPMorgan Chase & Co. 1.125% 2/26/16 4,476 4,490
  JPMorgan Chase & Co. 3.450% 3/1/16 99,006 101,169
  JPMorgan Chase & Co. 3.150% 7/5/16 49,792 51,037
  JPMorgan Chase & Co. 1.350% 2/15/17 12,476 12,516
  JPMorgan Chase & Co. 2.000% 8/15/17 25,984 26,357
  JPMorgan Chase & Co. 6.000% 1/15/18 71,913 80,151
  JPMorgan Chase & Co. 1.800% 1/25/18 19,720 19,837
  JPMorgan Chase & Co. 1.700% 3/1/18 49,200 49,368
  JPMorgan Chase & Co. 1.625% 5/15/18 48,046 48,073
  JPMorgan Chase & Co. 2.350% 1/28/19 59,070 59,906
  JPMorgan Chase & Co. 6.300% 4/23/19 15,163 17,491
  JPMorgan Chase & Co. 2.200% 10/22/19 43,950 43,905
  JPMorgan Chase & Co. 2.250% 1/23/20 55,770 55,634
4 JPMorgan Chase & Co. 5.300% 12/29/49 24,510 24,541

 

 

  JPMorgan Chase Bank NA 5.875% 6/13/16 9,750 10,271
11 JPMorgan Chase Bank NA 5.375% 9/28/16 13,750 22,247
  JPMorgan Chase Bank NA 6.000% 7/5/17 8,592 9,412
  JPMorgan Chase Bank NA 6.000% 10/1/17 35,313 39,064
  KeyBank NA 1.650% 2/1/18 5,305 5,323
4,7 LBG Capital No.1 plc 8.000% 12/29/49 14,560 15,870
  Lloyds Bank plc 4.875% 1/21/16 12,562 12,933
  Lloyds Bank plc 2.300% 11/27/18 13,185 13,409
  Lloyds Bank plc 2.350% 9/5/19 15,160 15,339
  Lloyds Bank plc 2.400% 3/17/20 34,190 34,482
7 Macquarie Bank Ltd. 2.000% 8/15/16 41,911 42,437
7 Macquarie Bank Ltd. 1.600% 10/27/17 57,550 57,566
7 Macquarie Bank Ltd. 2.400% 1/21/20 36,370 36,720
  Manufacturers & Traders Trust Co. 1.250% 1/30/17 9,750 9,774
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 39,089 44,006
  Manufacturers & Traders Trust Co. 1.450% 3/7/18 34,010 33,957
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 43,530 44,132
  Manufacturers & Traders Trust Co. 2.250% 7/25/19 40,550 40,852
  Manufacturers & Traders Trust Co. 2.100% 2/6/20 19,530 19,482
4 Manufacturers & Traders Trust Co. 5.629% 12/1/21 9,755 10,129
7 Mitsubishi UFJ Trust & Banking Corp. 1.600% 10/16/17 29,290 29,340
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 29,290 29,619
  Morgan Stanley 4.000% 7/24/15 16,600 16,723
  Morgan Stanley 5.375% 10/15/15 26,120 26,652
  Morgan Stanley 3.450% 11/2/15 9,750 9,874
  Morgan Stanley 3.800% 4/29/16 39,075 40,194
  Morgan Stanley 5.750% 10/18/16 69,245 73,813
  Morgan Stanley 5.450% 1/9/17 27,352 29,183
  Morgan Stanley 5.550% 4/27/17 19,495 21,017
  Morgan Stanley 6.250% 8/28/17 8,665 9,563
  Morgan Stanley 5.950% 12/28/17 54,821 60,754
  Morgan Stanley 1.875% 1/5/18 62,508 62,717
  Morgan Stanley 6.625% 4/1/18 22,850 25,876
  Morgan Stanley 2.125% 4/25/18 30,740 31,067
  Morgan Stanley 2.500% 1/24/19 33,000 33,500
  Morgan Stanley 2.375% 7/23/19 44,790 44,952
  Morgan Stanley 2.650% 1/27/20 32,700 33,027
  MUFG Americas Holdings Corp. 1.625% 2/9/18 14,400 14,415
  MUFG Americas Holdings Corp. 2.250% 2/10/20 29,300 29,333
  MUFG Union Bank NA 5.950% 5/11/16 53,730 56,325
  MUFG Union Bank NA 3.000% 6/6/16 56,590 57,811
  MUFG Union Bank NA 1.500% 9/26/16 39,855 40,131
  MUFG Union Bank NA 2.125% 6/16/17 29,740 30,214
  MUFG Union Bank NA 2.625% 9/26/18 39,640 40,756
  MUFG Union Bank NA 2.250% 5/6/19 24,420 24,631
  National Australia Bank Ltd. 1.600% 8/7/15 9,750 9,782
  National Australia Bank Ltd. 2.300% 7/25/18 21,800 22,239
  National City Bank 5.250% 12/15/16 14,250 15,152
  National City Bank 5.800% 6/7/17 14,625 15,958
  National City Corp. 6.875% 5/15/19 8,085 9,499
7 Nationwide Building Society 2.350% 1/21/20 39,835 39,988
  PNC Bank NA 0.800% 1/28/16 26,345 26,415
  PNC Bank NA 5.250% 1/15/17 27,935 29,872
  PNC Bank NA 1.125% 1/27/17 46,690 46,848
  PNC Bank NA 4.875% 9/21/17 14,135 15,222
  PNC Bank NA 1.500% 10/18/17 48,800 49,085
  PNC Bank NA 6.000% 12/7/17 4,885 5,401
  PNC Bank NA 1.500% 2/23/18 55,800 56,020

 

 

PNC Bank NA 6.875% 4/1/18 4,197 4,803
PNC Bank NA 2.200% 1/28/19 48,707 49,170
PNC Bank NA 2.250% 7/2/19 44,590 45,149
PNC Bank NA 2.400% 10/18/19 43,940 44,620
PNC Funding Corp. 4.250% 9/21/15 23,385 23,703
PNC Funding Corp. 2.700% 9/19/16 40,143 41,061
PNC Funding Corp. 5.625% 2/1/17 4,380 4,691
PNC Funding Corp. 5.125% 2/8/20 7,230 8,221
Regions Bank 7.500% 5/15/18 7,579 8,765
Regions Financial Corp. 2.000% 5/15/18 27,350 27,226
Royal Bank of Canada 2.875% 4/19/16 73,300 75,008
Royal Bank of Canada 2.300% 7/20/16 41,185 41,982
Royal Bank of Canada 1.250% 6/16/17 19,520 19,577
Royal Bank of Canada 1.400% 10/13/17 26,360 26,500
Royal Bank of Canada 1.500% 1/16/18 3,900 3,927
Royal Bank of Canada 2.200% 7/27/18 25,890 26,462
Royal Bank of Scotland Group plc 6.400% 10/21/19 8,295 9,549
Royal Bank of Scotland plc 3.950% 9/21/15 43,808 44,328
Royal Bank of Scotland plc 4.375% 3/16/16 13,710 14,100
Royal Bank of Scotland plc 5.625% 8/24/20 12,650 14,592
Royal Bank of Scotland plc 6.125% 1/11/21 1,380 1,635
Santander Bank NA 8.750% 5/30/18 33,955 39,741
Societe Generale SA 2.750% 10/12/17 24,310 25,017
State Street Bank & Trust Co. 5.300% 1/15/16 7,261 7,498
Sumitomo Mitsui Banking Corp. 1.350% 7/11/17 14,620 14,623
SunTrust Banks Inc. 3.500% 1/20/17 12,711 13,196
SunTrust Banks Inc. 6.000% 9/11/17 8,795 9,695
Svenska Handelsbanken AB 2.500% 1/25/19 39,685 40,632
Svenska Handelsbanken AB 2.250% 6/17/19 17,975 18,220
7 Swedbank AB 2.200% 3/4/20 13,480 13,496
Synchrony Financial 3.000% 8/15/19 84,600 86,220
Synchrony Financial 2.700% 2/3/20 39,200 39,244
Synchrony Financial 3.750% 8/15/21 9,760 10,066
Toronto-Dominion Bank 2.500% 7/14/16 23,423 23,940
Toronto-Dominion Bank 1.625% 3/13/18 63,495 64,061
Toronto-Dominion Bank 1.400% 4/30/18 28,510 28,555
Toronto-Dominion Bank 2.125% 7/2/19 63,831 64,829
Toronto-Dominion Bank 2.250% 11/5/19 57,880 58,741
UBS AG 5.875% 12/20/17 52,925 58,649
UBS AG 1.800% 3/26/18 54,700 54,768
UBS AG 5.750% 4/25/18 72,185 80,700
UBS AG 2.375% 8/14/19 44,990 45,301
US Bancorp 2.200% 4/25/19 8,860 9,014
US Bank NA 1.100% 1/30/17 5,729 5,755
US Bank NA 1.375% 9/11/17 42,077 42,308
US Bank NA 1.350% 1/26/18 22,067 22,134
US Bank NA 2.125% 10/28/19 37,470 37,872
6 US Bank NA 2.282% 4/29/20 36,995 36,999
Wachovia Bank NA 5.000% 8/15/15 9,750 9,869
Wachovia Bank NA 5.600% 3/15/16 26,540 27,669
Wachovia Bank NA 6.000% 11/15/17 53,763 59,802
Wachovia Corp. 5.625% 10/15/16 34,080 36,295
Wachovia Corp. 5.750% 6/15/17 37,230 40,793
Wachovia Corp. 5.750% 2/1/18 48,799 54,418
9 Washington Mutual Bank / Debt not acquired        
by JPMorgan 6.875% 6/15/11 21,983 2
Wells Fargo & Co. 3.676% 6/15/16 53,334 55,089
Wells Fargo & Co. 1.150% 6/2/17 7,300 7,303

 

 

Wells Fargo & Co. 1.400% 9/8/17 36,020 36,188
Wells Fargo & Co. 5.625% 12/11/17 19,840 21,958
Wells Fargo & Co. 1.500% 1/16/18 12,300 12,340
Wells Fargo & Co. 2.150% 1/15/19 25,673 25,970
Wells Fargo & Co. 2.125% 4/22/19 62,240 62,809
Wells Fargo & Co. 2.150% 1/30/20 44,900 44,850
4 Wells Fargo & Co. 5.900% 12/29/49 7,240 7,584
Westpac Banking Corp. 1.125% 9/25/15 26,447 26,521
Westpac Banking Corp. 3.000% 12/9/15 33,086 33,581
Westpac Banking Corp. 0.950% 1/12/16 19,436 19,494
Westpac Banking Corp. 1.050% 11/25/16 24,571 24,643
Westpac Banking Corp. 1.200% 5/19/17 19,436 19,503
Westpac Banking Corp. 2.000% 8/14/17 54,486 55,487
Westpac Banking Corp. 1.500% 12/1/17 48,825 49,110
Westpac Banking Corp. 1.600% 1/12/18 44,378 44,663
Westpac Banking Corp. 2.250% 7/30/18 20,830 21,284
Westpac Banking Corp. 2.250% 1/17/19 23,400 23,789
Westpac Banking Corp. 4.875% 11/19/19 35,464 39,763
Zions Bancorporation 5.500% 11/16/15 819 834
 
Brokerage (0.6%)        
Ameriprise Financial Inc. 5.650% 11/15/15 3,160 3,239
4 Ameriprise Financial Inc. 7.518% 6/1/66 6,634 6,899
Charles Schwab Corp. 6.375% 9/1/17 5,860 6,543
Charles Schwab Corp. 1.500% 3/10/18 19,535 19,619
Franklin Resources Inc. 1.375% 9/15/17 15,056 15,139
Jefferies Group LLC 5.125% 4/13/18 12,335 13,036
Legg Mason Inc. 2.700% 7/15/19 5,860 5,976
9 Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 9,410 1
Nomura Holdings Inc. 4.125% 1/19/16 23,440 23,928
Nomura Holdings Inc. 2.000% 9/13/16 93,195 94,133
Nomura Holdings Inc. 2.750% 3/19/19 26,430 26,953
NYSE Euronext 2.000% 10/5/17 39,586 40,122
TD Ameritrade Holding Corp. 2.950% 4/1/22 17,515 17,724
7 TIAA Asset Management Finance Co. LLC 2.950% 11/1/19 60,100 61,436
 
Finance Companies (1.7%)        
Air Lease Corp. 5.625% 4/1/17 81,514 87,016
Air Lease Corp. 3.375% 1/15/19 31,655 32,525
General Electric Capital Corp. 1.625% 7/2/15 24,383 24,431
General Electric Capital Corp. 4.375% 9/21/15 9,252 9,390
General Electric Capital Corp. 2.250% 11/9/15 18,773 18,944
General Electric Capital Corp. 1.000% 12/11/15 6,813 6,835
General Electric Capital Corp. 5.000% 1/8/16 22,888 23,604
General Electric Capital Corp. 2.950% 5/9/16 17,620 18,050
General Electric Capital Corp. 1.500% 7/12/16 38,903 39,322
General Electric Capital Corp. 3.350% 10/17/16 56,233 58,389
General Electric Capital Corp. 2.900% 1/9/17 14,748 15,279
General Electric Capital Corp. 5.400% 2/15/17 34,848 37,628
General Electric Capital Corp. 2.450% 3/15/17 76,293 78,402
General Electric Capital Corp. 5.625% 9/15/17 105,609 116,618
General Electric Capital Corp. 5.625% 5/1/18 106,280 119,514
General Electric Capital Corp. 6.000% 8/7/19 14,432 16,869
General Electric Capital Corp. 2.200% 1/9/20 44,590 45,257
4 General Electric Capital Corp. 6.375% 11/15/67 7,110 7,750
HSBC Finance Corp. 5.000% 6/30/15 44,573 44,887
HSBC Finance Corp. 5.500% 1/19/16 63,490 65,557

 

 

6 HSBC Finance Corp. 0.692% 6/1/16 17,234 17,213
 
  Insurance (2.1%)        
  Aflac Inc. 2.400% 3/16/20 11,720 11,879
  Alleghany Corp. 5.625% 9/15/20 8,890 9,919
  Allied World Assurance Co. Ltd. 7.500% 8/1/16 55,754 59,932
  Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,075 2,342
  Alterra Finance LLC 6.250% 9/30/20 9,765 11,425
  American Financial Group Inc. 9.875% 6/15/19 31,750 40,309
  American International Group Inc. 2.375% 8/24/15 9,750 9,796
  American International Group Inc. 5.050% 10/1/15 9,835 10,010
  American International Group Inc. 5.600% 10/18/16 41,978 44,726
11 American International Group Inc. 6.765% 11/15/17 14,642 25,329
  American International Group Inc. 5.850% 1/16/18 91,452 101,825
  American International Group Inc. 2.300% 7/16/19 35,798 36,207
  American International Group Inc. 3.875% 1/15/35 5,255 5,134
  Anthem Inc. 1.875% 1/15/18 19,336 19,460
  Aspen Insurance Holdings Ltd. 6.000% 12/15/20 19,334 21,783
  Assurant Inc. 2.500% 3/15/18 29,300 29,779
  Axis Specialty Finance LLC 5.875% 6/1/20 11,618 13,246
  AXIS Specialty Finance plc 2.650% 4/1/19 14,650 14,794
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 24,144 27,128
  Berkshire Hathaway Inc. 2.200% 8/15/16 4,850 4,948
  Berkshire Hathaway Inc. 2.100% 8/14/19 4,875 4,960
  CNA Financial Corp. 6.500% 8/15/16 20,495 21,879
  CNA Financial Corp. 7.350% 11/15/19 3,900 4,680
  Hartford Financial Services Group Inc. 4.000% 10/15/17 4,985 5,321
  Manulife Financial Corp. 3.400% 9/17/15 14,461 14,604
  Marsh & McLennan Cos. Inc. 2.550% 10/15/18 9,875 10,145
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 14,385 14,461
7 MassMutual Global Funding II 3.125% 4/14/16 11,760 12,046
7 MassMutual Global Funding II 2.000% 4/5/17 8,141 8,280
7 MassMutual Global Funding II 2.100% 8/2/18 12,735 12,996
7 MassMutual Global Funding II 2.500% 10/17/22 14,335 14,106
  MetLife Inc. 6.750% 6/1/16 40,736 43,301
  MetLife Inc. 1.756% 12/15/17 14,600 14,787
  MetLife Inc. 6.817% 8/15/18 13,300 15,493
  MetLife Inc. 7.717% 2/15/19 9,219 11,155
7 Metropolitan Life Global Funding I 1.500% 1/10/18 29,350 29,512
7 Metropolitan Life Global Funding I 2.300% 4/10/19 11,225 11,397
7 Metropolitan Life Global Funding I 2.000% 4/14/20 19,530 19,453
7 New York Life Global Funding 1.950% 2/11/20 17,975 17,939
  PartnerRe Finance A LLC 6.875% 6/1/18 20,530 23,346
  Principal Financial Group Inc. 1.850% 11/15/17 15,600 15,755
7 Principal Life Global Funding II 2.250% 10/15/18 11,725 11,976
7 Principal Life Global Funding II 2.200% 4/8/20 28,665 28,766
4 Progressive Corp. 6.700% 6/15/67 9,760 10,272
  Prudential Financial Inc. 3.000% 5/12/16 11,725 11,979
  Prudential Financial Inc. 7.375% 6/15/19 10,442 12,589
  Prudential Financial Inc. 2.350% 8/15/19 9,790 9,884
  Reinsurance Group of America Inc. 5.625% 3/15/17 12,900 13,871
  Reinsurance Group of America Inc. 6.450% 11/15/19 21,183 24,700
7 Reliance Standard Life Global Funding II 2.500% 1/15/20 52,630 52,875
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 17,860 17,727
  Torchmark Corp. 9.250% 6/15/19 7,053 8,869
  Transatlantic Holdings Inc. 5.750% 12/14/15 18,420 18,952
  Travelers Cos. Inc. 5.800% 5/15/18 2,273 2,561
  Travelers Cos. Inc. 5.900% 6/2/19 2,930 3,389

 

 

Travelers Cos. Inc. 3.900% 11/1/20 4,300 4,663
UnitedHealth Group Inc. 1.400% 12/15/17 12,210 12,305
UnitedHealth Group Inc. 2.300% 12/15/19 9,765 9,935
Unum Group 7.125% 9/30/16 13,498 14,578
7 UnumProvident Finance Co. plc 6.850% 11/15/15 9,895 10,192
 
Real Estate Investment Trusts (1.7%)        
Alexandria Real Estate Equities Inc. 2.750% 1/15/20 29,896 30,060
ARC Properties Operating Partnership        
LP/Clark Acquisition LLC 2.000% 2/6/17 112,260 109,685
ARC Properties Operating Partnership        
LP/Clark Acquisition LLC 3.000% 2/6/19 22,495 21,737
AvalonBay Communities Inc. 3.625% 10/1/20 8,980 9,495
BioMed Realty LP 3.850% 4/15/16 16,095 16,472
Boston Properties LP 3.700% 11/15/18 4,900 5,211
Boston Properties LP 5.875% 10/15/19 25,653 29,677
Brandywine Operating Partnership LP 5.700% 5/1/17 15,370 16,512
Brandywine Operating Partnership LP 4.950% 4/15/18 21,275 22,867
DDR Corp. 9.625% 3/15/16 8,701 9,330
DDR Corp. 7.500% 4/1/17 289 320
DDR Corp. 4.750% 4/15/18 29,245 31,424
DDR Corp. 7.500% 7/15/18 2,500 2,895
DDR Corp. 7.875% 9/1/20 7,085 8,818
Digital Realty Trust LP 4.500% 7/15/15 6,350 6,366
Digital Realty Trust LP 5.875% 2/1/20 29,982 34,068
Duke Realty LP 5.950% 2/15/17 882 951
Duke Realty LP 6.500% 1/15/18 3,235 3,624
ERP Operating LP 4.750% 7/15/20 4,304 4,779
7 Goodman Funding Pty Ltd. 6.375% 11/12/20 21,270 24,728
HCP Inc. 3.750% 2/1/16 32,511 33,178
HCP Inc. 6.700% 1/30/18 9,705 10,967
HCP Inc. 2.625% 2/1/20 12,357 12,428
HCP Inc. 5.375% 2/1/21 18,503 20,830
Health Care REIT Inc. 3.625% 3/15/16 46,635 47,682
Health Care REIT Inc. 4.700% 9/15/17 14,620 15,698
Health Care REIT Inc. 2.250% 3/15/18 15,769 15,986
Health Care REIT Inc. 4.125% 4/1/19 46,860 50,028
Health Care REIT Inc. 6.125% 4/15/20 14,650 17,006
Healthcare Realty Trust Inc. 6.500% 1/17/17 13,939 15,141
Highwoods Realty LP 5.850% 3/15/17 4,425 4,770
Kilroy Realty LP 4.800% 7/15/18 20,030 21,682
Liberty Property LP 5.500% 12/15/16 27,672 29,428
Liberty Property LP 4.750% 10/1/20 1,600 1,744
ProLogis LP 4.500% 8/15/17 7,300 7,767
ProLogis LP 2.750% 2/15/19 4,255 4,362
Realty Income Corp. 2.000% 1/31/18 4,870 4,911
Realty Income Corp. 6.750% 8/15/19 5,985 7,039
Regency Centers LP 5.875% 6/15/17 13,675 14,905
Senior Housing Properties Trust 4.300% 1/15/16 11,460 11,632
Senior Housing Properties Trust 3.250% 5/1/19 36,150 36,685
Simon Property Group LP 2.800% 1/30/17 22,815 23,465
Simon Property Group LP 2.150% 9/15/17 1,572 1,606
Simon Property Group LP 10.350% 4/1/19 10,565 13,621
Simon Property Group LP 5.650% 2/1/20 1,405 1,627
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 14,362 14,515
7 WEA Finance LLC / Westfield UK & Europe        
Finance plc 1.750% 9/15/17 29,290 29,481

 

 

7 WEA Finance LLC / Westfield UK & Europe        
  Finance plc 2.700% 9/17/19 29,290 29,719
          15,179,583
Industrial (28.2%)        
  Basic Industry (2.3%)        
  Agrium Inc. 6.750% 1/15/19 11,665 13,586
  Air Products & Chemicals Inc. 2.000% 8/2/16 10,706 10,870
  Air Products & Chemicals Inc. 1.200% 10/15/17 11,225 11,266
  Air Products & Chemicals Inc. 4.375% 8/21/19 7,155 7,843
  Airgas Inc. 2.950% 6/15/16 1,630 1,661
  Airgas Inc. 1.650% 2/15/18 23,552 23,466
  Airgas Inc. 2.375% 2/15/20 9,890 9,908
  Albemarle Corp. 3.000% 12/1/19 4,880 4,893
  Barrick North America Finance LLC 6.800% 9/15/18 16,290 18,730
10 BHP Billiton Finance Ltd. 6.375% 4/4/16 13,675 16,228
  BHP Billiton Finance USA Ltd. 1.875% 11/21/16 3,874 3,936
  BHP Billiton Finance USA Ltd. 1.625% 2/24/17 68,574 69,602
  BHP Billiton Finance USA Ltd. 5.400% 3/29/17 35,646 38,615
  BHP Billiton Finance USA Ltd. 2.050% 9/30/18 13,920 14,209
  BHP Billiton Finance USA Ltd. 6.500% 4/1/19 36,339 42,761
  CF Industries Inc. 6.875% 5/1/18 38,450 43,833
  Eastman Chemical Co. 2.400% 6/1/17 28,934 29,560
  Eastman Chemical Co. 2.700% 1/15/20 33,195 33,730
  EI du Pont de Nemours & Co. 6.000% 7/15/18 27,383 31,225
  EI du Pont de Nemours & Co. 4.625% 1/15/20 11,348 12,663
  Freeport-McMoRan Inc. 2.300% 11/14/17 14,645 14,717
  Freeport-McMoRan Inc. 2.375% 3/15/18 26,415 26,342
  Freeport-McMoRan Inc. 3.100% 3/15/20 18,855 18,658
7 Glencore Finance Canada Ltd. 3.600% 1/15/17 19,830 20,530
7 Glencore Funding LLC 2.500% 1/15/19 9,770 9,755
  Goldcorp Inc. 2.125% 3/15/18 14,640 14,766
  LyondellBasell Industries NV 5.000% 4/15/19 42,005 46,242
  Monsanto Co. 5.125% 4/15/18 22,515 24,833
  Monsanto Co. 1.850% 11/15/18 3,000 3,024
  Monsanto Co. 2.125% 7/15/19 39,050 39,411
  Nucor Corp. 5.750% 12/1/17 8,790 9,760
  Nucor Corp. 5.850% 6/1/18 24,788 27,692
  Plains Exploration & Production Co. 6.500% 11/15/20 18,650 19,816
  Plains Exploration & Production Co. 6.750% 2/1/22 6,446 6,897
  Plains Exploration & Production Co. 6.875% 2/15/23 11,008 11,834
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 22,109 23,094
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 8,460 9,921
  Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 3,040 3,415
  PPG Industries Inc. 1.900% 1/15/16 9,911 9,929
  PPG Industries Inc. 2.300% 11/15/19 29,285 29,671
10 PPG Industries Inc. 0.875% 3/13/22 16,422 18,280
  Praxair Inc. 4.500% 8/15/19 21,490 23,705
  Rio Tinto Finance USA Ltd. 2.500% 5/20/16 19,228 19,540
  Rio Tinto Finance USA Ltd. 6.500% 7/15/18 29,871 34,296
  Rio Tinto Finance USA Ltd. 9.000% 5/1/19 19,530 24,512
  Rio Tinto Finance USA plc 1.375% 6/17/16 38,045 38,191
  Rio Tinto Finance USA plc 2.000% 3/22/17 40,230 40,777
  Rio Tinto Finance USA plc 1.625% 8/21/17 57,919 58,217
  Rio Tinto Finance USA plc 2.250% 12/14/18 22,117 22,404
  Teck Resources Ltd. 3.150% 1/15/17 12,405 12,598
  Teck Resources Ltd. 3.850% 8/15/17 8,395 8,686
  Teck Resources Ltd. 2.500% 2/1/18 11,230 11,199

 

 

  Teck Resources Ltd. 3.000% 3/1/19 2,380 2,374
  Vale Overseas Ltd. 6.250% 1/11/16 22,625 23,353
  Vale Overseas Ltd. 6.250% 1/23/17 34,195 36,363
  Vale Overseas Ltd. 5.625% 9/15/19 16,145 17,296
 
  Capital Goods (3.1%)        
7 ABB Treasury Center USA Inc. 2.500% 6/15/16 14,650 14,901
  Boeing Capital Corp. 2.125% 8/15/16 17,596 17,915
  Boeing Capital Corp. 2.900% 8/15/18 22,681 23,704
  Boeing Capital Corp. 4.700% 10/27/19 13,132 14,713
  Boeing Co. 0.950% 5/15/18 35,550 35,207
  Boeing Co. 6.000% 3/15/19 13,172 15,294
  Caterpillar Financial Services Corp. 2.750% 6/24/15 9,250 9,282
  Caterpillar Financial Services Corp. 5.450% 4/15/18 45,680 50,900
  Caterpillar Financial Services Corp. 7.050% 10/1/18 6,360 7,472
  Caterpillar Financial Services Corp. 7.150% 2/15/19 37,670 44,929
  Caterpillar Inc. 7.900% 12/15/18 34,539 42,027
  Crane Co. 2.750% 12/15/18 12,615 12,949
  Danaher Corp. 2.300% 6/23/16 32,674 33,312
  Danaher Corp. 5.400% 3/1/19 19,405 21,963
  Danaher Corp. 3.900% 6/23/21 21,861 23,897
10 Dover Corp. 2.125% 12/1/20 10,205 12,275
7 Embraer Overseas Ltd. 5.696% 9/16/23 10,379 11,132
  Emerson Electric Co. 5.375% 10/15/17 9,760 10,764
  Emerson Electric Co. 5.250% 10/15/18 4,880 5,482
  Emerson Electric Co. 5.000% 4/15/19 3,235 3,631
  Emerson Electric Co. 4.875% 10/15/19 13,693 15,443
  General Dynamics Corp. 2.250% 7/15/16 5,423 5,531
  General Dynamics Corp. 1.000% 11/15/17 69,160 69,130
  General Electric Co. 0.850% 10/9/15 18,403 18,445
  General Electric Co. 5.250% 12/6/17 131,375 144,855
  Harris Corp. 1.999% 4/27/18 14,650 14,698
  Harris Corp. 2.700% 4/27/20 7,150 7,185
  Harsco Corp. 2.700% 10/15/15 10,192 10,233
  Honeywell International Inc. 5.300% 3/1/18 25,919 28,854
  Honeywell International Inc. 5.000% 2/15/19 55,684 62,391
  Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 9,765 11,296
  Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 33,363 34,224
  Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 9,760 9,831
  John Deere Capital Corp. 0.950% 6/29/15 16,559 16,573
  John Deere Capital Corp. 2.250% 6/7/16 28,350 28,870
  John Deere Capital Corp. 1.850% 9/15/16 37,790 38,389
  John Deere Capital Corp. 2.000% 1/13/17 12,655 12,914
  John Deere Capital Corp. 1.400% 3/15/17 19,465 19,681
  John Deere Capital Corp. 2.800% 9/18/17 6,545 6,811
  John Deere Capital Corp. 1.200% 10/10/17 35,080 35,158
  John Deere Capital Corp. 1.550% 12/15/17 19,525 19,706
  John Deere Capital Corp. 5.350% 4/3/18 19,520 21,783
  John Deere Capital Corp. 5.750% 9/10/18 19,420 22,118
  John Deere Capital Corp. 1.950% 12/13/18 47,286 48,215
  John Deere Capital Corp. 1.950% 3/4/19 8,311 8,380
  John Deere Capital Corp. 2.300% 9/16/19 12,500 12,717
  John Deere Capital Corp. 2.050% 3/10/20 19,535 19,648
12 John Deere Financial Ltd. 3.500% 12/18/19 19,040 15,318
  L-3 Communications Corp. 3.950% 11/15/16 11,560 11,985
  L-3 Communications Corp. 1.500% 5/28/17 9,765 9,695
  L-3 Communications Corp. 5.200% 10/15/19 15,207 16,853
  Lockheed Martin Corp. 4.250% 11/15/19 41,515 45,796

 

 

  Lockheed Martin Corp. 3.350% 9/15/21 19,010 20,087
  Mohawk Industries Inc. 6.125% 1/15/16 38,574 39,953
  Precision Castparts Corp. 0.700% 12/20/15 18,045 18,046
  Precision Castparts Corp. 1.250% 1/15/18 75,784 75,612
  Raytheon Co. 6.750% 3/15/18 14,663 16,853
  Raytheon Co. 6.400% 12/15/18 30,010 34,980
  Rockwell Automation Inc. 5.650% 12/1/17 4,885 5,395
  Roper Industries Inc. 1.850% 11/15/17 21,480 21,678
  Roper Industries Inc. 2.050% 10/1/18 9,590 9,658
10 Schneider Electric SE 3.750% 7/12/18 9,800 12,176
7 Schneider Electric SE 2.950% 9/27/22 21,466 21,681
  United Rentals North America Inc. 4.625% 7/15/23 14,375 14,609
  United Technologies Corp. 4.875% 5/1/15 3,620 3,620
  United Technologies Corp. 5.375% 12/15/17 28,015 31,022
  United Technologies Corp. 6.125% 2/1/19 33,666 38,928
  Waste Management Inc. 2.600% 9/1/16 8,200 8,348
  Waste Management Inc. 6.100% 3/15/18 11,725 13,203
 
  Communication (4.6%)        
  21st Century Fox America Inc. 7.250% 5/18/18 7,205 8,398
  21st Century Fox America Inc. 6.900% 3/1/19 6,840 8,080
  America Movil SAB de CV 2.375% 9/8/16 89,229 90,777
  America Movil SAB de CV 5.625% 11/15/17 29,869 32,919
10 America Movil SAB de CV 1.000% 6/4/18 29,300 33,383
  America Movil SAB de CV 5.000% 10/16/19 8,810 9,921
  America Movil SAB de CV 5.000% 3/30/20 37,160 42,074
  American Tower Corp. 4.500% 1/15/18 29,290 31,348
  American Tower Corp. 3.400% 2/15/19 16,615 17,215
  AT&T Inc. 2.500% 8/15/15 27,068 27,207
  AT&T Inc. 2.400% 8/15/16 55,441 56,347
  AT&T Inc. 1.600% 2/15/17 14,738 14,813
11 AT&T Inc. 5.875% 4/28/17 28,800 47,889
  AT&T Inc. 1.700% 6/1/17 15,250 15,341
  AT&T Inc. 1.400% 12/1/17 24,400 24,383
  AT&T Inc. 5.500% 2/1/18 32,499 35,784
  AT&T Inc. 5.600% 5/15/18 6,038 6,710
  AT&T Inc. 2.375% 11/27/18 12,675 12,857
  AT&T Inc. 5.800% 2/15/19 22,120 24,978
  AT&T Inc. 2.300% 3/11/19 24,250 24,442
  AT&T Inc. 2.450% 6/30/20 43,000 42,948
  British Telecommunications plc 1.250% 2/14/17 14,655 14,679
  British Telecommunications plc 2.350% 2/14/19 19,535 19,872
  CBS Corp. 1.950% 7/1/17 22,671 22,931
  CBS Corp. 4.625% 5/15/18 2,690 2,909
  CBS Corp. 2.300% 8/15/19 17,480 17,477
  Comcast Cable Communications LLC 8.875% 5/1/17 24,479 28,193
  Comcast Corp. 5.900% 3/15/16 24,469 25,592
  Comcast Corp. 6.500% 1/15/17 26,164 28,628
  Comcast Corp. 6.300% 11/15/17 12,729 14,348
  Comcast Corp. 5.875% 2/15/18 17,672 19,888
  Comcast Corp. 5.700% 5/15/18 50,722 57,237
  Comcast Corp. 5.700% 7/1/19 36,293 41,786
  Comcast Corp. 5.150% 3/1/20 2,407 2,755
7 Deutsche Telekom International Finance BV 3.125% 4/11/16 21,376 21,809
7 Deutsche Telekom International Finance BV 2.250% 3/6/17 18,870 19,178
  Deutsche Telekom International Finance BV 6.750% 8/20/18 10,804 12,541
  Deutsche Telekom International Finance BV 6.000% 7/8/19 11,530 13,261

 

 

DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 3.500% 3/1/16 32,190 32,858
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 2.400% 3/15/17 62,931 64,063
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 1.750% 1/15/18 47,725 47,780
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.875% 10/1/19 37,260 42,752
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 5.200% 3/15/20 19,682 22,153
DIRECTV Holdings LLC / DIRECTV Financing        
Co. Inc. 4.600% 2/15/21 4,762 5,159
Embarq Corp. 7.082% 6/1/16 18,952 20,023
Interpublic Group of Cos. Inc. 2.250% 11/15/17 2,000 2,026
7 KT Corp. 1.750% 4/22/17 34,185 34,240
Moody's Corp. 2.750% 7/15/19 56,407 57,678
Moody's Corp. 5.500% 9/1/20 8,645 9,854
NBCUniversal Media LLC 2.875% 4/1/16 23,134 23,618
NBCUniversal Media LLC 5.150% 4/30/20 16,340 18,709
Omnicom Group Inc. 5.900% 4/15/16 34,830 36,451
Omnicom Group Inc. 6.250% 7/15/19 5,860 6,810
Omnicom Group Inc. 4.450% 8/15/20 23,402 25,627
Orange SA 2.750% 9/14/16 18,127 18,539
Orange SA 2.750% 2/6/19 29,240 30,132
Qwest Corp. 6.500% 6/1/17 9,653 10,502
Rogers Communications Inc. 6.800% 8/15/18 37,353 43,276
7 SES Global Americas Holdings GP 2.500% 3/25/19 53,705 53,916
7 Sky plc 2.625% 9/16/19 12,200 12,380
TCI Communications Inc. 8.750% 8/1/15 9,828 10,019
Telecom Italia Capital SA 5.250% 10/1/15 4,900 4,979
Telecom Italia Capital SA 6.999% 6/4/18 15,048 16,762
Telecom Italia Capital SA 7.175% 6/18/19 9,765 11,230
Telefonica Emisiones SAU 3.992% 2/16/16 47,895 48,957
Telefonica Emisiones SAU 6.421% 6/20/16 8,695 9,199
Telefonica Emisiones SAU 6.221% 7/3/17 26,132 28,742
Telefonica Emisiones SAU 3.192% 4/27/18 43,552 45,259
Telefonica Emisiones SAU 5.877% 7/15/19 10,725 12,276
Telefonica Emisiones SAU 5.134% 4/27/20 15,150 16,944
Thomson Reuters Corp. 0.875% 5/23/16 13,012 13,008
Thomson Reuters Corp. 1.300% 2/23/17 21,480 21,462
Thomson Reuters Corp. 6.500% 7/15/18 27,270 31,088
Thomson Reuters Corp. 4.700% 10/15/19 19,869 21,807
Time Warner Cable Inc. 5.850% 5/1/17 48,900 52,496
Time Warner Cable Inc. 6.750% 7/1/18 76,845 85,688
Time Warner Cable Inc. 8.750% 2/14/19 18,305 21,721
Time Warner Cable Inc. 8.250% 4/1/19 23,445 27,528
Time Warner Cable Inc. 5.000% 2/1/20 10,125 10,699
Time Warner Cable Inc. 4.000% 9/1/21 2,950 2,949
Verizon Communications Inc. 2.500% 9/15/16 24,700 25,207
Verizon Communications Inc. 1.350% 6/9/17 66,517 66,534
Verizon Communications Inc. 6.100% 4/15/18 16,606 18,703
Verizon Communications Inc. 3.650% 9/14/18 87,250 92,499
Verizon Communications Inc. 6.350% 4/1/19 13,047 15,118
Verizon Communications Inc. 2.625% 2/21/20 58,137 58,925
Verizon Communications Inc. 4.500% 9/15/20 25,450 27,889
Verizon Communications Inc. 3.500% 11/1/21 9,750 10,150
Viacom Inc. 6.250% 4/30/16 13,025 13,720
Viacom Inc. 2.500% 12/15/16 9,880 10,089

 

 

Viacom Inc. 6.125% 10/5/17 10,695 11,814
Viacom Inc. 2.500% 9/1/18 13,895 14,155
Viacom Inc. 5.625% 9/15/19 3,195 3,604
Vodafone Group plc 1.250% 9/26/17 15,718 15,660
Vodafone Group plc 5.450% 6/10/19 4,900 5,561
 
Consumer Cyclical (4.1%)        
7 Alibaba Group Holding Ltd. 1.625% 11/28/17 37,630 37,695
7 Alibaba Group Holding Ltd. 2.500% 11/28/19 67,825 67,727
Amazon.com Inc. 2.600% 12/5/19 39,065 39,872
American Honda Finance Corp. 1.125% 10/7/16 19,816 19,908
American Honda Finance Corp. 0.950% 5/5/17 15,960 15,946
American Honda Finance Corp. 2.125% 10/10/18 19,540 19,897
American Honda Finance Corp. 2.250% 8/15/19 41,660 42,300
AutoZone Inc. 7.125% 8/1/18 33,707 39,148
AutoZone Inc. 4.000% 11/15/20 16,040 17,177
Brinker International Inc. 2.600% 5/15/18 26,410 26,536
Costco Wholesale Corp. 5.500% 3/15/17 5,860 6,373
Costco Wholesale Corp. 1.750% 2/15/20 14,650 14,607
CVS Health Corp. 2.250% 12/5/18 24,400 24,945
7 Daimler Finance North America LLC 2.950% 1/11/17 16,915 17,433
7 Daimler Finance North America LLC 1.125% 3/10/17 27,650 27,674
7 Daimler Finance North America LLC 2.400% 4/10/17 9,740 9,970
7 Daimler Finance North America LLC 1.375% 8/1/17 19,525 19,558
7 Daimler Finance North America LLC 1.875% 1/11/18 5,520 5,579
7 Daimler Finance North America LLC 1.650% 3/2/18 14,035 14,118
7 Daimler Finance North America LLC 2.375% 8/1/18 38,500 39,320
7 Daimler Finance North America LLC 2.250% 9/3/19 14,645 14,799
7 Daimler Finance North America LLC 2.250% 3/2/20 14,035 14,058
Dollar General Corp. 4.125% 7/15/17 12,850 13,502
Dollar General Corp. 1.875% 4/15/18 9,965 9,905
eBay Inc. 2.200% 8/1/19 19,800 19,756
7 Experian Finance plc 2.375% 6/15/17 35,430 35,807
Ford Motor Credit Co. LLC 2.500% 1/15/16 17,080 17,270
Ford Motor Credit Co. LLC 4.207% 4/15/16 52,658 54,172
Ford Motor Credit Co. LLC 3.984% 6/15/16 30,550 31,449
Ford Motor Credit Co. LLC 8.000% 12/15/16 55,625 61,407
Ford Motor Credit Co. LLC 4.250% 2/3/17 9,755 10,222
Ford Motor Credit Co. LLC 3.000% 6/12/17 24,125 24,801
Ford Motor Credit Co. LLC 6.625% 8/15/17 57,191 63,460
Ford Motor Credit Co. LLC 2.145% 1/9/18 29,300 29,589
Ford Motor Credit Co. LLC 5.000% 5/15/18 82,715 90,057
Ford Motor Credit Co. LLC 2.375% 3/12/19 19,535 19,693
Ford Motor Credit Co. LLC 2.597% 11/4/19 18,950 19,145
Ford Motor Credit Co. LLC 2.459% 3/27/20 19,535 19,494
General Motors Co. 3.500% 10/2/18 24,415 25,086
General Motors Financial Co. Inc. 2.625% 7/10/17 19,525 19,769
General Motors Financial Co. Inc. 4.750% 8/15/17 975 1,029
General Motors Financial Co. Inc. 3.250% 5/15/18 20,550 21,064
General Motors Financial Co. Inc. 3.500% 7/10/19 5,855 6,001
7 Harley-Davidson Financial Services Inc. 1.150% 9/15/15 38,887 38,962
7 Harley-Davidson Financial Services Inc. 3.875% 3/15/16 14,640 15,022
7 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 16,094 16,553
7 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 9,765 9,917
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 10,800 10,867
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 3,665 4,236
Home Depot Inc. 2.000% 6/15/19 19,525 19,854
7 Hyundai Capital America 4.000% 6/8/17 10,785 11,314

 

 

7 Hyundai Capital Services Inc. 6.000% 5/5/15 2,900 2,900
7 Hyundai Capital Services Inc. 4.375% 7/27/16 8,300 8,612
7 Kia Motors Corp. 3.625% 6/14/16 26,624 27,315
  Lowe's Cos. Inc. 1.625% 4/15/17 39,826 40,406
  Lowe's Cos. Inc. 6.100% 9/15/17 12,582 14,051
  Lowe's Cos. Inc. 4.625% 4/15/20 15,127 16,878
  Macy's Retail Holdings Inc. 5.900% 12/1/16 12,254 13,173
  Macy's Retail Holdings Inc. 7.450% 7/15/17 6,179 6,948
  Marriott International Inc. 6.375% 6/15/17 6,872 7,548
  Marriott International Inc. 3.000% 3/1/19 9,760 10,047
  MasterCard Inc. 2.000% 4/1/19 12,700 12,918
  Nordstrom Inc. 6.250% 1/15/18 24,970 28,058
  PACCAR Financial Corp. 0.750% 8/14/15 12,600 12,614
  PACCAR Financial Corp. 1.600% 3/15/17 17,431 17,640
  PACCAR Financial Corp. 1.450% 3/9/18 7,815 7,854
  PACCAR Financial Corp. 2.200% 9/15/19 19,025 19,291
  QVC Inc. 3.125% 4/1/19 9,770 9,827
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 5,250 5,294
  Staples Inc. 2.750% 1/12/18 2,770 2,797
  Starbucks Corp. 2.000% 12/5/18 18,550 18,960
  Target Corp. 2.300% 6/26/19 27,835 28,416
  TJX Cos. Inc. 6.950% 4/15/19 13,700 16,257
  TJX Cos. Inc. 2.750% 6/15/21 25,415 26,022
  Toll Brothers Finance Corp. 5.150% 5/15/15 16,010 16,021
  Toyota Motor Credit Corp. 2.000% 9/15/16 9,734 9,919
  Toyota Motor Credit Corp. 2.050% 1/12/17 27,380 27,972
  Toyota Motor Credit Corp. 1.750% 5/22/17 35,429 35,968
  Toyota Motor Credit Corp. 1.450% 1/12/18 27,350 27,512
  Toyota Motor Credit Corp. 2.000% 10/24/18 20,510 20,893
  Toyota Motor Credit Corp. 2.100% 1/17/19 19,530 19,862
  Toyota Motor Credit Corp. 2.125% 7/18/19 39,540 40,083
  Toyota Motor Credit Corp. 2.150% 3/12/20 16,870 17,006
  VF Corp. 5.950% 11/1/17 5,860 6,529
  Wal-Mart Stores Inc. 0.600% 4/11/16 18,431 18,473
  Wal-Mart Stores Inc. 2.800% 4/15/16 16,974 17,368
  Wal-Mart Stores Inc. 5.375% 4/5/17 20,191 21,966
  Wal-Mart Stores Inc. 5.800% 2/15/18 23,798 26,929
  Wal-Mart Stores Inc. 1.125% 4/11/18 22,940 22,973
  Wal-Mart Stores Inc. 1.950% 12/15/18 18,300 18,715
  Wal-Mart Stores Inc. 3.625% 7/8/20 19,805 21,527
  Wal-Mart Stores Inc. 3.250% 10/25/20 19,080 20,408
  Wal-Mart Stores Inc. 4.250% 4/15/21 4,885 5,476
  Walgreen Co. 1.800% 9/15/17 23,321 23,549
  Walgreen Co. 5.250% 1/15/19 14,070 15,709
  Walgreens Boots Alliance Inc. 1.750% 11/17/17 9,765 9,838
  Walgreens Boots Alliance Inc. 2.700% 11/18/19 14,635 14,921
11 Walgreens Boots Alliance Inc. 2.875% 11/20/20 11,561 17,916
7 Wesfarmers Ltd. 2.983% 5/18/16 48,251 49,326
7 Wesfarmers Ltd. 1.874% 3/20/18 17,250 17,385
  Wyndham Worldwide Corp. 2.950% 3/1/17 7,800 7,973
  Wyndham Worldwide Corp. 2.500% 3/1/18 6,835 6,877
  Yum! Brands Inc. 6.250% 4/15/16 9,285 9,750
  Yum! Brands Inc. 6.250% 3/15/18 3,096 3,468
 
  Consumer Noncyclical (6.3%)        
  Abbott Laboratories 2.000% 3/15/20 24,400 24,530
  AbbVie Inc. 1.750% 11/6/17 36,285 36,501
  Actavis Funding SCS 1.850% 3/1/17 29,461 29,673

 

 

  Actavis Funding SCS 2.350% 3/12/18 48,961 49,603
  Actavis Funding SCS 2.450% 6/15/19 9,765 9,752
  Actavis Funding SCS 3.000% 3/12/20 103,408 105,690
  Actavis Inc. 1.875% 10/1/17 26,481 26,554
  Actavis Inc. 6.125% 8/15/19 9,765 11,126
  Agilent Technologies Inc. 6.500% 11/1/17 2,257 2,519
  Agilent Technologies Inc. 5.000% 7/15/20 10,435 11,492
  Allergan Inc. 5.750% 4/1/16 27,255 28,435
  Allergan Inc. 1.350% 3/15/18 7,800 7,731
  Altria Group Inc. 4.125% 9/11/15 48,357 48,972
  Altria Group Inc. 9.250% 8/6/19 55,737 71,253
  Altria Group Inc. 4.750% 5/5/21 29,917 33,356
  Amgen Inc. 2.125% 5/15/17 76,632 78,052
  Amgen Inc. 5.850% 6/1/17 39,277 42,963
  Amgen Inc. 6.150% 6/1/18 4,525 5,140
  Amgen Inc. 5.700% 2/1/19 7,895 8,977
  Amgen Inc. 2.200% 5/22/19 55,125 55,714
  Amgen Inc. 2.125% 5/1/20 20,485 20,447
  Anheuser-Busch Cos. LLC 5.050% 10/15/16 4,875 5,178
  Anheuser-Busch Cos. LLC 5.600% 3/1/17 5,275 5,736
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 8,650 9,602
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 11,020 11,062
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 20,035 20,386
  Anheuser-Busch InBev Worldwide Inc. 2.875% 2/15/16 17,115 17,428
  Anheuser-Busch InBev Worldwide Inc. 1.375% 7/15/17 64,832 65,362
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 22,450 27,047
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 9,850 11,292
  Baxter International Inc. 5.375% 6/1/18 9,745 10,842
7 Bayer US Finance LLC 1.500% 10/6/17 19,525 19,675
7 Bayer US Finance LLC 2.375% 10/8/19 58,575 59,465
  Becton Dickinson & Co. 1.800% 12/15/17 14,600 14,746
  Becton Dickinson & Co. 2.675% 12/15/19 9,815 10,012
  Biogen Inc. 6.875% 3/1/18 4,880 5,600
  Boston Scientific Corp. 6.250% 11/15/15 10,150 10,428
  Boston Scientific Corp. 6.400% 6/15/16 15,572 16,447
  Boston Scientific Corp. 2.650% 10/1/18 20,960 21,374
  Bottling Group LLC 5.500% 4/1/16 12,544 13,116
  Cardinal Health Inc. 1.900% 6/15/17 6,830 6,918
  Cardinal Health Inc. 1.700% 3/15/18 20,540 20,680
7 Cargill Inc. 1.900% 3/1/17 26,836 27,214
7 Cargill Inc. 6.000% 11/27/17 12,295 13,694
10 Cargill Inc. 1.875% 9/4/19 9,766 11,598
  Catholic Health Initiatives Colorado GO 2.600% 8/1/18 2,900 2,983
  Clorox Co. 5.950% 10/15/17 4,880 5,422
  Coca-Cola Co. 1.650% 3/14/18 6,774 6,895
  Coca-Cola Co. 1.150% 4/1/18 14,755 14,748
  Coca-Cola Co. 3.150% 11/15/20 7,695 8,196
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 18,500 18,895
  Colgate-Palmolive Co. 0.900% 5/1/18 24,500 24,338
  ConAgra Foods Inc. 1.300% 1/25/16 29,250 29,345
  ConAgra Foods Inc. 5.819% 6/15/17 2,977 3,231
  ConAgra Foods Inc. 1.900% 1/25/18 28,800 28,795
  ConAgra Foods Inc. 2.100% 3/15/18 2,811 2,827
  ConAgra Foods Inc. 7.000% 4/15/19 3,909 4,532
  Constellation Brands Inc. 3.875% 11/15/19 9,750 10,091
  Constellation Brands Inc. 3.750% 5/1/21 5,130 5,245
  Covidien International Finance SA 1.350% 5/29/15 19,105 19,116
  Covidien International Finance SA 2.800% 6/15/15 13,960 13,995

 

 

  Covidien International Finance SA 6.000% 10/15/17 48,315 53,915
  CR Bard Inc. 1.375% 1/15/18 15,595 15,525
  Diageo Capital plc 1.125% 4/29/18 7,115 7,076
  Dignity Health 2.637% 11/1/19 2,000 2,029
  Edwards Lifesciences Corp. 2.875% 10/15/18 24,400 25,152
  Express Scripts Holding Co. 2.650% 2/15/17 52,581 53,798
  Genentech Inc. 4.750% 7/15/15 15,571 15,706
  General Mills Inc. 5.700% 2/15/17 9,110 9,844
  General Mills Inc. 1.400% 10/20/17 14,685 14,721
  Gilead Sciences Inc. 3.050% 12/1/16 17,466 18,049
  Gilead Sciences Inc. 2.350% 2/1/20 22,174 22,690
  Gilead Sciences Inc. 4.500% 4/1/21 5,860 6,577
  Gilead Sciences Inc. 4.400% 12/1/21 10,900 12,222
  GlaxoSmithKline Capital Inc. 5.650% 5/15/18 16,600 18,711
  Ingredion Inc. 1.800% 9/25/17 5,855 5,849
7 JM Smucker Co. 1.750% 3/15/18 26,400 26,506
7 JM Smucker Co. 2.500% 3/15/20 28,695 28,938
  Kraft Foods Group Inc. 2.250% 6/5/17 6,275 6,387
  Kraft Foods Group Inc. 6.125% 8/23/18 14,240 16,133
  Kroger Co. 1.200% 10/17/16 6,840 6,857
  Kroger Co. 2.200% 1/15/17 6,895 7,015
  Kroger Co. 6.800% 12/15/18 5,950 6,966
  Kroger Co. 2.300% 1/15/19 31,250 31,655
  Laboratory Corp. of America Holdings 2.625% 2/1/20 9,765 9,861
  Lorillard Tobacco Co. 3.500% 8/4/16 30,285 31,115
  Lorillard Tobacco Co. 8.125% 6/23/19 20,285 24,708
10 Luxottica Group SPA 3.625% 3/19/19 21,450 26,932
  McKesson Corp. 0.950% 12/4/15 23,400 23,453
  McKesson Corp. 3.250% 3/1/16 16,079 16,404
  McKesson Corp. 5.700% 3/1/17 5,675 6,138
  McKesson Corp. 2.284% 3/15/19 34,250 34,655
  Medco Health Solutions Inc. 7.125% 3/15/18 32,695 37,512
7 Medtronic Inc. 1.500% 3/15/18 28,725 28,905
7 Medtronic Inc. 2.500% 3/15/20 75,710 77,368
  Medtronic Inc. 4.450% 3/15/20 12,806 14,262
7 Medtronic Inc. 3.150% 3/15/22 9,750 10,073
  Merck & Co. Inc. 1.850% 2/10/20 23,270 23,350
  Merck Sharp & Dohme Corp. 5.000% 6/30/19 14,231 16,048
  Mondelez International Inc. 4.125% 2/9/16 34,462 35,338
  Mondelez International Inc. 2.250% 2/1/19 38,795 39,220
10 Mondelez International Inc. 2.375% 1/26/21 7,984 9,663
10 Mondelez International Inc. 1.000% 3/7/22 29,731 33,290
  Mylan Inc. 1.800% 6/24/16 31,375 31,573
  Mylan Inc. 2.600% 6/24/18 56,410 57,372
  Mylan Inc. 2.550% 3/28/19 14,340 14,385
  Nabisco Inc. 7.550% 6/15/15 4,940 4,976
  Newell Rubbermaid Inc. 2.050% 12/1/17 12,540 12,651
  Newell Rubbermaid Inc. 2.875% 12/1/19 9,675 9,875
  PepsiCo Inc. 0.700% 2/26/16 14,650 14,681
  PepsiCo Inc. 2.500% 5/10/16 21,805 22,253
  PepsiCo Inc. 5.000% 6/1/18 11,720 12,993
  PepsiCo Inc. 7.900% 11/1/18 13,680 16,487
  PepsiCo Inc. 1.850% 4/30/20 48,750 48,463
7 Pernod Ricard SA 2.950% 1/15/17 58,895 60,482
7 Pernod Ricard SA 4.450% 1/15/22 2,925 3,164
  Perrigo Co. plc 2.300% 11/8/18 14,645 14,757
  Pfizer Inc. 6.200% 3/15/19 53,797 62,621
  Pharmacia Corp. 6.500% 12/1/18 8,300 9,711

 

 

Philip Morris International Inc. 2.500% 5/16/16 20,635 21,049
Philip Morris International Inc. 1.125% 8/21/17 4,975 4,994
Philip Morris International Inc. 5.650% 5/16/18 19,490 21,948
Procter & Gamble Co. 4.850% 12/15/15 2,925 3,005
Procter & Gamble Co. 4.700% 2/15/19 10,940 12,215
Quest Diagnostics Inc. 2.700% 4/1/19 19,535 19,873
Reynolds American Inc. 6.750% 6/15/17 10,880 12,034
7 Roche Holdings Inc. 6.000% 3/1/19 22,318 25,743
7 Roche Holdings Inc. 2.250% 9/30/19 29,295 29,820
Sanofi 1.250% 4/10/18 48,805 48,853
St. Jude Medical Inc. 2.500% 1/15/16 19,291 19,537
Stryker Corp. 1.300% 4/1/18 11,850 11,841
Sutter Health California GO 1.090% 8/15/53 10,000 10,000
Sysco Corp. 2.350% 10/2/19 45,700 46,596
Sysco Corp. 3.000% 10/2/21 9,750 10,028
7 Takeda Pharmaceutical Co. Ltd. 1.625% 3/17/17 57,004 57,539
Teva Pharmaceutical Finance Co. BV 2.400% 11/10/16 38,645 39,428
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 45,820 45,943
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21 11,800 12,297
Thermo Fisher Scientific Inc. 3.200% 3/1/16 19,490 19,865
Thermo Fisher Scientific Inc. 2.250% 8/15/16 13,695 13,909
Tyson Foods Inc. 6.600% 4/1/16 38,414 40,367
Tyson Foods Inc. 2.650% 8/15/19 57,375 58,553
Tyson Foods Inc. 4.500% 6/15/22 6,800 7,422
Whirlpool Corp. 6.500% 6/15/16 2,950 3,131
Whirlpool Corp. 1.650% 11/1/17 19,525 19,636
Wyeth LLC 5.500% 2/15/16 9,745 10,128
Wyeth LLC 5.450% 4/1/17 3,270 3,556
Zimmer Holdings Inc. 2.000% 4/1/18 19,535 19,714
Zimmer Holdings Inc. 2.700% 4/1/20 34,220 34,605
Zoetis Inc. 1.875% 2/1/18 35,915 35,943
 
Energy (3.8%)        
Anadarko Petroleum Corp. 5.950% 9/15/16 35,870 38,164
Anadarko Petroleum Corp. 6.375% 9/15/17 12,242 13,610
BP Capital Markets plc 3.200% 3/11/16 77,518 79,185
BP Capital Markets plc 2.248% 11/1/16 37,575 38,307
BP Capital Markets plc 1.846% 5/5/17 41,475 42,079
BP Capital Markets plc 1.375% 11/6/17 19,450 19,501
BP Capital Markets plc 1.375% 5/10/18 53,854 53,799
BP Capital Markets plc 2.241% 9/26/18 24,638 25,130
BP Capital Markets plc 4.750% 3/10/19 30,289 33,507
BP Capital Markets plc 2.237% 5/10/19 24,500 24,766
BP Capital Markets plc 2.315% 2/13/20 34,150 34,614
Canadian Natural Resources Ltd. 1.750% 1/15/18 9,750 9,698
Chevron Corp. 1.345% 11/15/17 48,815 49,164
Chevron Corp. 1.104% 12/5/17 13,700 13,720
Chevron Corp. 1.365% 3/2/18 28,485 28,611
Chevron Corp. 1.718% 6/24/18 29,300 29,679
Chevron Corp. 1.961% 3/3/20 25,185 25,308
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 34,080 36,428
Dominion Gas Holdings LLC 2.500% 12/15/19 21,500 21,891
Dominion Gas Holdings LLC 3.550% 11/1/23 12,700 13,221
El Paso Natural Gas Co. LLC 5.950% 4/15/17 10,283 11,081
7 Enable Midstream Partners LP 2.400% 5/15/19 19,530 19,100
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,860 1,934
Energy Transfer Partners LP 6.125% 2/15/17 19,467 20,952

 

 

  Energy Transfer Partners LP 6.700% 7/1/18 40,929 46,599
  Energy Transfer Partners LP 4.150% 10/1/20 12,700 13,431
  Ensco plc 4.700% 3/15/21 13,180 13,529
  EOG Resources Inc. 5.875% 9/15/17 2,950 3,267
  EOG Resources Inc. 5.625% 6/1/19 6,611 7,573
  EOG Resources Inc. 4.400% 6/1/20 14,600 16,145
  Exxon Mobil Corp. 1.912% 3/6/20 59,000 59,456
7 GS Caltex Corp. 5.500% 10/15/15 14,165 14,425
  Kinder Morgan Energy Partners LP 3.500% 3/1/16 16,018 16,347
  Kinder Morgan Energy Partners LP 6.000% 2/1/17 15,818 16,990
  Kinder Morgan Energy Partners LP 5.950% 2/15/18 19,173 21,160
  Kinder Morgan Energy Partners LP 2.650% 2/1/19 18,525 18,561
  Kinder Morgan Energy Partners LP 6.500% 4/1/20 17,870 20,664
  Kinder Morgan Inc. 7.000% 6/15/17 23,460 25,777
  Kinder Morgan Inc. 7.250% 6/1/18 14,650 16,670
  Kinder Morgan Inc. 3.050% 12/1/19 40,360 40,782
10 Kinder Morgan Inc. 1.500% 3/16/22 21,385 23,972
  Marathon Oil Corp. 0.900% 11/1/15 12,630 12,658
  Marathon Oil Corp. 5.900% 3/15/18 13,565 15,030
  Nabors Industries Inc. 2.350% 9/15/16 16,600 16,651
  Nabors Industries Inc. 6.150% 2/15/18 19,540 20,949
  Noble Holding International Ltd. 3.450% 8/1/15 7,581 7,611
  Noble Holding International Ltd. 3.050% 3/1/16 16,130 16,228
  Occidental Petroleum Corp. 4.125% 6/1/16 5,369 5,573
  Occidental Petroleum Corp. 1.750% 2/15/17 93,490 94,792
  Occidental Petroleum Corp. 1.500% 2/15/18 41,620 41,625
  ONEOK Partners LP 3.200% 9/15/18 11,720 12,013
  ONEOK Partners LP 8.625% 3/1/19 7,940 9,520
  Petro-Canada 6.050% 5/15/18 4,885 5,513
  Phillips 66 2.950% 5/1/17 42,140 43,587
  Phillips 66 Partners LP 3.605% 2/15/25 2,820 2,794
  Pioneer Natural Resources Co. 6.650% 3/15/17 4,880 5,337
  Pioneer Natural Resources Co. 6.875% 5/1/18 12,710 14,374
  Plains All American Pipeline LP / PAA        
  Finance Corp. 5.000% 2/1/21 9,640 10,684
  Pride International Inc. 8.500% 6/15/19 7,750 9,223
  Pride International Inc. 6.875% 8/15/20 11,625 13,316
  Shell International Finance BV 5.200% 3/22/17 14,225 15,387
  Shell International Finance BV 1.125% 8/21/17 6,900 6,936
  Shell International Finance BV 1.900% 8/10/18 9,775 9,948
  Shell International Finance BV 2.000% 11/15/18 15,675 15,963
  Shell International Finance BV 4.300% 9/22/19 9,750 10,797
7 Southern Natural Gas Co. LLC 5.900% 4/1/17 11,453 12,293
  Southern Natural Gas Co. LLC / Southern        
  Natural Issuing Corp. 4.400% 6/15/21 6,395 6,665
  Southwestern Energy Co. 3.300% 1/23/18 10,600 10,878
  Southwestern Energy Co. 7.500% 2/1/18 14,700 16,611
  Southwestern Energy Co. 4.050% 1/23/20 51,160 53,061
  Spectra Energy Partners LP 2.950% 9/25/18 9,770 10,031
  Suncor Energy Inc. 6.100% 6/1/18 12,721 14,338
  Total Capital Canada Ltd. 1.450% 1/15/18 43,977 44,237
  Total Capital International SA 1.500% 2/17/17 28,278 28,595
  Total Capital International SA 1.550% 6/28/17 17,925 18,143
  Total Capital International SA 2.125% 1/10/19 39,500 40,190
  Total Capital International SA 2.100% 6/19/19 14,600 14,812
  Total Capital SA 2.125% 8/10/18 11,627 11,897
4 TransCanada PipeLines Ltd. 6.350% 5/15/67 5,060 4,916
  Transocean Inc. 4.950% 11/15/15 29,393 29,834

 

 

  Transocean Inc. 5.050% 12/15/16 60,726 62,851
  Transocean Inc. 3.000% 10/15/17 65,947 63,639
  Transocean Inc. 6.000% 3/15/18 19,535 19,437
  Valero Energy Corp. 6.125% 6/15/17 9,010 9,891
  Weatherford International LLC 6.350% 6/15/17 13,005 13,887
  Weatherford International Ltd. 5.500% 2/15/16 9,760 10,033
  Weatherford International Ltd. 6.000% 3/15/18 10,655 11,324
  Weatherford International Ltd. 5.125% 9/15/20 11,700 11,858
  Western Gas Partners LP 2.600% 8/15/18 6,840 6,961
  Williams Partners LP 3.600% 3/15/22 20,500 20,341
7 Woodside Finance Ltd. 8.750% 3/1/19 15,850 19,469
 
  Other Industrial (0.2%)        
10 G4S International Finance plc 2.625% 12/6/18 10,777 12,903
7 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 30,700 36,865
7 Hutchison Whampoa International 14 Ltd. 1.625% 10/31/17 35,955 35,741
 
  Technology (2.6%)        
  Adobe Systems Inc. 4.750% 2/1/20 20,025 22,383
  Altera Corp. 1.750% 5/15/17 7,375 7,433
  Altera Corp. 2.500% 11/15/18 50,990 51,966
  Amphenol Corp. 2.550% 1/30/19 9,127 9,269
  Apple Inc. 1.000% 5/3/18 29,410 29,267
  Apple Inc. 2.100% 5/6/19 61,365 62,635
  Apple Inc. 1.550% 2/7/20 39,065 38,720
  Apple Inc. 2.850% 5/6/21 37,000 38,400
  Applied Materials Inc. 2.650% 6/15/16 9,800 9,998
  Baidu Inc. 2.250% 11/28/17 16,615 16,761
  Baidu Inc. 3.250% 8/6/18 31,200 32,298
  Baidu Inc. 2.750% 6/9/19 17,575 17,756
  Cisco Systems Inc. 4.950% 2/15/19 11,520 12,909
  Cisco Systems Inc. 2.125% 3/1/19 29,310 29,818
  Cisco Systems Inc. 4.450% 1/15/20 34,185 38,107
  Computer Sciences Corp. 2.500% 9/15/15 14,630 14,720
  Computer Sciences Corp. 6.500% 3/15/18 21,220 23,795
  Corning Inc. 1.450% 11/15/17 19,705 19,824
  Corning Inc. 6.625% 5/15/19 5,575 6,567
  EMC Corp. 1.875% 6/1/18 16,210 16,384
  Fidelity National Information Services Inc. 1.450% 6/5/17 11,230 11,233
  Fidelity National Information Services Inc. 2.000% 4/15/18 3,015 3,033
  Fiserv Inc. 3.125% 6/15/16 3,225 3,302
  Fiserv Inc. 6.800% 11/20/17 3,900 4,396
  Hewlett-Packard Co. 2.125% 9/13/15 14,010 14,079
  Hewlett-Packard Co. 2.200% 12/1/15 10,232 10,319
  Hewlett-Packard Co. 2.650% 6/1/16 25,208 25,654
  Hewlett-Packard Co. 3.000% 9/15/16 76,662 78,668
  Hewlett-Packard Co. 3.300% 12/9/16 24,852 25,695
  Hewlett-Packard Co. 5.400% 3/1/17 12,791 13,730
  Hewlett-Packard Co. 2.600% 9/15/17 36,000 36,900
  Hewlett-Packard Co. 5.500% 3/1/18 7,330 8,121
  Hewlett-Packard Co. 2.750% 1/14/19 26,040 26,690
  Intel Corp. 1.950% 10/1/16 7,566 7,708
  Intel Corp. 1.350% 12/15/17 59,675 60,016
  Intel Corp. 3.300% 10/1/21 9,765 10,335
  International Business Machines Corp. 1.250% 2/6/17 19,600 19,802
  International Business Machines Corp. 5.700% 9/14/17 25,910 28,685
  International Business Machines Corp. 1.250% 2/8/18 9,700 9,738
  International Business Machines Corp. 7.625% 10/15/18 18,250 21,978

 

 

  International Business Machines Corp. 1.950% 2/12/19 26,865 27,173
  International Business Machines Corp. 1.625% 5/15/20 15,625 15,417
  KLA-Tencor Corp. 2.375% 11/1/17 13,845 14,052
  KLA-Tencor Corp. 3.375% 11/1/19 3,625 3,763
  Lam Research Corp. 2.750% 3/15/20 24,420 24,547
  Microsoft Corp. 0.875% 11/15/17 9,620 9,612
  Oracle Corp. 1.200% 10/15/17 27,305 27,372
  Oracle Corp. 5.750% 4/15/18 12,700 14,290
  Oracle Corp. 2.375% 1/15/19 51,790 53,046
  Oracle Corp. 5.000% 7/8/19 13,670 15,372
  Oracle Corp. 2.250% 10/8/19 82,990 84,307
  Oracle Corp. 2.800% 7/8/21 31,730 32,556
  Pitney Bowes Inc. 5.600% 3/15/18 4,880 5,306
  Seagate HDD Cayman 3.750% 11/15/18 27,775 29,025
  Tyco Electronics Group SA 2.375% 12/17/18 14,650 14,910
  Tyco Electronics Group SA 2.350% 8/1/19 18,380 18,554
  Xerox Business Services LLC 5.200% 6/1/15 9,750 9,782
  Xerox Corp. 5.625% 12/15/19 15,675 17,843
  Xerox Corp. 2.750% 9/1/20 14,655 14,666
  Xilinx Inc. 2.125% 3/15/19 31,415 31,625
 
  Transportation (1.2%)        
4,7 AA Aircraft Financing 2013-1 LLC 6.500% 11/1/17 18,528 18,945
4 AFC X Ltd. 3.500% 5/31/15 13,300 13,034
4 AFC X Ltd. 3.140% 7/10/15 32,547 32,506
4,7 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 31,018 31,639
  Canadian National Railway Co. 5.850% 11/15/17 15,930 17,757
  Canadian National Railway Co. 5.550% 3/1/19 3,810 4,332
  Canadian National Railway Co. 2.850% 12/15/21 10,400 10,704
  Canadian Pacific Railway Co. 6.500% 5/15/18 14,710 16,736
  Canadian Pacific Railway Co. 7.250% 5/15/19 8,325 9,943
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 4,150 4,399
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 1,582 1,657
4 Continental Airlines 1998-1 Class B Pass        
  Through Trust 6.748% 9/15/18 3,585 3,831
4 Continental Airlines 1999-1 Class B Pass        
  Through Trust 6.795% 2/2/20 842 887
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 5,564 6,294
4 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 10/1/22 12,313 13,883
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 2,905 3,080
  CSX Corp. 6.250% 3/15/18 30,078 34,104
4,13 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 16,106 18,803
4 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 6/17/21 26,942 31,185
4 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 10,994 12,066
4 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 2,646 2,861
7 ERAC USA Finance LLC 5.600% 5/1/15 10,245 10,246
7 ERAC USA Finance LLC 1.400% 4/15/16 8,717 8,753
7 ERAC USA Finance LLC 6.375% 10/15/17 11,112 12,405

 

 

7 ERAC USA Finance LLC 2.800% 11/1/18 16,645 17,149
7 ERAC USA Finance LLC 2.350% 10/15/19 11,715 11,757
4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 7,780 7,917
7 HPHT Finance 15 Ltd. 2.250% 3/17/18 29,305 29,438
  JB Hunt Transport Services Inc. 3.375% 9/15/15 16,590 16,739
  JB Hunt Transport Services Inc. 2.400% 3/15/19 5,100 5,167
4,6,13 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.708% 5/15/18 9,655 9,510
  Ryder System Inc. 7.200% 9/1/15 10,820 11,049
  Ryder System Inc. 5.850% 11/1/16 8,440 9,005
  Ryder System Inc. 2.500% 3/1/17 12,635 12,903
  Ryder System Inc. 2.450% 11/15/18 5,850 5,952
  Ryder System Inc. 2.350% 2/26/19 7,499 7,566
  Ryder System Inc. 2.550% 6/1/19 6,840 6,918
  Ryder System Inc. 2.650% 3/2/20 14,650 14,839
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 5,044 5,825
4,7 UAL 2009-2B Pass Through Trust 12.000% 7/15/17 3,273 3,461
  Union Pacific Corp. 5.750% 11/15/17 9,624 10,709
  Union Pacific Corp. 5.700% 8/15/18 28,989 32,933
  Union Pacific Corp. 2.250% 2/15/19 15,645 15,990
  Union Pacific Corp. 1.800% 2/1/20 8,400 8,402
  United Continental Holdings Inc. 6.375% 6/1/18 6,335 6,763
  United Parcel Service Inc. 5.125% 4/1/19 50,822 57,527
  United Parcel Service of America Inc. 8.375% 4/1/20 22,951 29,637
          15,028,264
Utilities (3.7%)        
  Electric (3.3%)        
  Ameren Illinois Co. 6.125% 11/15/17 6,810 7,647
  Ameren Illinois Co. 6.250% 4/1/18 4,690 5,282
  American Electric Power Co. Inc. 1.650% 12/15/17 35,350 35,569
  Appalachian Power Co. 5.000% 6/1/17 5,605 6,021
  Arizona Public Service Co. 4.650% 5/15/15 5,770 5,777
  Arizona Public Service Co. 6.250% 8/1/16 3,892 4,160
  Arizona Public Service Co. 8.750% 3/1/19 14,605 18,285
  Baltimore Gas & Electric Co. 5.900% 10/1/16 6,756 7,230
  Berkshire Hathaway Energy Co. 5.750% 4/1/18 44,840 50,293
  Berkshire Hathaway Energy Co. 2.000% 11/15/18 39,110 39,537
  Berkshire Hathaway Energy Co. 2.400% 2/1/20 17,600 17,809
  CenterPoint Energy Inc. 5.950% 2/1/17 21,490 23,234
  CenterPoint Energy Inc. 6.500% 5/1/18 7,270 8,251
  CMS Energy Corp. 6.550% 7/17/17 2,646 2,938
  CMS Energy Corp. 5.050% 2/15/18 45,536 49,678
  Commonwealth Edison Co. 5.950% 8/15/16 38,233 40,676
  Commonwealth Edison Co. 1.950% 9/1/16 34,091 34,620
  Commonwealth Edison Co. 6.150% 9/15/17 27,867 31,112
  Commonwealth Edison Co. 5.800% 3/15/18 36,085 40,609
  Commonwealth Edison Co. 2.150% 1/15/19 6,840 6,968
  Commonwealth Edison Co. 3.400% 9/1/21 4,550 4,806
  Consumers Energy Co. 5.500% 8/15/16 2,130 2,257
  Consumers Energy Co. 5.150% 2/15/17 13,960 14,986
  Consumers Energy Co. 5.650% 9/15/18 12,700 14,435
  Consumers Energy Co. 6.125% 3/15/19 25,262 29,366
  Consumers Energy Co. 6.700% 9/15/19 27,675 33,088
  DTE Electric Co. 5.600% 6/15/18 16,931 19,028
  Duke Energy Carolinas LLC 5.100% 4/15/18 25,322 28,101

 

 

  Duke Energy Carolinas LLC 7.000% 11/15/18 27,502 32,566
  Duke Energy Carolinas LLC 4.300% 6/15/20 12,615 14,008
  Duke Energy Corp. 2.100% 6/15/18 10,490 10,694
  Duke Energy Corp. 6.250% 6/15/18 21,562 24,600
  Duke Energy Corp. 5.050% 9/15/19 12,700 14,296
  Duke Energy Florida Inc. 5.800% 9/15/17 11,424 12,653
  Duke Energy Florida Inc. 5.650% 6/15/18 39,575 44,704
  Duke Energy Florida Inc. 4.550% 4/1/20 18,900 21,053
  Duke Energy Progress Inc. 5.250% 12/15/15 14,832 15,266
7 EDP Finance BV 6.000% 2/2/18 4,880 5,307
7 EDP Finance BV 4.900% 10/1/19 17,314 18,475
7 EDP Finance BV 4.125% 1/15/20 29,075 30,130
7 EDP Finance BV 5.250% 1/14/21 5,405 5,845
  Entergy Corp. 3.625% 9/15/15 18,420 18,590
  Entergy Corp. 4.700% 1/15/17 11,695 12,229
  Entergy Louisiana LLC 6.500% 9/1/18 14,300 16,558
  Eversource Energy 1.450% 5/1/18 21,490 21,403
  Eversource Energy 4.500% 11/15/19 3,980 4,393
  Exelon Generation Co. LLC 6.200% 10/1/17 16,105 17,767
  Exelon Generation Co. LLC 2.950% 1/15/20 19,535 19,857
  FirstEnergy Corp. 2.750% 3/15/18 23,426 23,932
  FirstEnergy Corp. 4.250% 3/15/23 26,204 27,235
7 FirstEnergy Transmission LLC 4.350% 1/15/25 28,370 29,957
4,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 16,410 17,641
  LG&E & KU Energy LLC 3.750% 11/15/20 13,482 14,287
  Louisville Gas & Electric Co. 1.625% 11/15/15 4,826 4,849
  MidAmerican Energy Co. 5.950% 7/15/17 14,170 15,585
  MidAmerican Energy Co. 5.300% 3/15/18 37,367 41,462
  National Rural Utilities Cooperative Finance        
  Corp. 1.900% 11/1/15 12,199 12,288
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 3/1/16 7,729 7,890
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 11,340 12,326
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 2/1/18 32,768 36,321
  National Rural Utilities Cooperative Finance        
  Corp. 2.150% 2/1/19 27,680 28,004
  National Rural Utilities Cooperative Finance        
  Corp. 2.300% 11/15/19 13,665 13,886
  National Rural Utilities Cooperative Finance        
  Corp. 2.000% 1/27/20 29,405 29,399
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 31,755 32,161
  Nevada Power Co. 6.500% 5/15/18 32,715 37,571
  Nevada Power Co. 6.500% 8/1/18 9,683 11,165
  NextEra Energy Capital Holdings Inc. 2.400% 9/15/19 16,600 16,796
  NextEra Energy Capital Holdings Inc. 2.700% 9/15/19 55,670 56,833
  NSTAR Electric Co. 5.625% 11/15/17 4,930 5,469
  Ohio Power Co. 6.000% 6/1/16 9,838 10,376
7 Origin Energy Finance Ltd. 5.450% 10/14/21 9,190 10,244
  Pacific Gas & Electric Co. 5.625% 11/30/17 52,634 58,019
  Pacific Gas & Electric Co. 8.250% 10/15/18 25,020 30,433
  Pacific Gas & Electric Co. 3.500% 10/1/20 4,875 5,154
  PacifiCorp 5.650% 7/15/18 20,566 23,163
  PacifiCorp 5.500% 1/15/19 4,630 5,244
  PacifiCorp 3.850% 6/15/21 3,900 4,239
  Pennsylvania Electric Co. 6.050% 9/1/17 5,445 5,995

 

 

  PPL Capital Funding Inc. 1.900% 6/1/18 13,915 13,944
  Public Service Co. of New Mexico 7.950% 5/15/18 8,700 10,220
  Public Service Electric & Gas Co. 5.300% 5/1/18 2,930 3,258
  Public Service Electric & Gas Co. 2.300% 9/15/18 28,815 29,606
  Sierra Pacific Power Co. 6.000% 5/15/16 18,500 19,499
  South Carolina Electric & Gas Co. 5.250% 11/1/18 1,125 1,269
  South Carolina Electric & Gas Co. 6.500% 11/1/18 12,181 14,267
  Southern California Edison Co. 1.125% 5/1/17 6,840 6,860
  Southern California Edison Co. 5.500% 8/15/18 5,295 5,968
  Southwestern Electric Power Co. 5.550% 1/15/17 2,010 2,159
  Southwestern Electric Power Co. 5.875% 3/1/18 10,080 11,214
  Tampa Electric Co. 6.100% 5/15/18 21,670 24,576
  TECO Finance Inc. 4.000% 3/15/16 13,987 14,371
  TECO Finance Inc. 6.572% 11/1/17 9,950 11,143
  Union Electric Co. 6.400% 6/15/17 14,987 16,661
  Union Electric Co. 6.700% 2/1/19 16,542 19,490
4 Wisconsin Energy Corp. 6.250% 5/15/67 5,460 5,433
 
  Natural Gas (0.4%)        
10 2i Rete Gas SPA 1.750% 7/16/19 23,545 27,389
  Atmos Energy Corp. 8.500% 3/15/19 9,760 12,034
  Sempra Energy 6.500% 6/1/16 77,159 81,821
  Sempra Energy 2.300% 4/1/17 36,630 37,388
  Sempra Energy 6.150% 6/15/18 13,585 15,387
  Sempra Energy 2.400% 3/15/20 15,140 15,252
 
  Other Utility (0.0%)        
  American Water Capital Corp. 6.085% 10/15/17 9,357 10,391
          1,979,681
Total Corporate Bonds (Cost $31,971,961)       32,187,528
Sovereign Bonds (U.S. Dollar-Denominated) (7.0%)        
  Abu Dhabi National Energy Co. PJSC 4.125% 3/13/17 4,077 4,271
7 Banco de Costa Rica 5.250% 8/12/18 4,800 4,938
7 Banco del Estado de Chile 2.000% 11/9/17 6,200 6,265
7 Banco del Estado de Chile 3.875% 2/8/22 2,000 2,088
7 Banco do Nordeste do Brasil SA 3.625% 11/9/15 2,000 2,015
  Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 14,200 14,669
7 Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 8,750 8,995
7 Banco Latinoamericano de Comercio Exterior        
  SA 3.250% 5/7/20 1,850 1,844
7 Banco Nacional de Desenvolvimento        
  Economico e Social 3.375% 9/26/16 6,400 6,472
7 Bank Nederlandse Gemeenten 0.875% 2/21/17 23,500 23,537
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 2,450 2,513
7 Bermuda 4.138% 1/3/23 6,000 6,130
7 Bermuda 4.854% 2/6/24 5,800 6,194
7 Caisse d'Amortissement de la Dette Sociale 1.125% 1/30/17 3,000 3,022
7 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 4,875 4,917
7 Caixa Economica Federal 2.375% 11/6/17 12,375 11,930
7 CDP Financial Inc. 3.150% 7/24/24 24,580 25,479
7 Centrais Eletricas Brasileiras SA 7.750% 11/30/15 2,250 2,301
  Centrais Eletricas Brasileiras SA 5.750% 10/27/21 10,800 9,990
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,800 1,870
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 4,000 3,990
  CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 34,475 34,587

 

 

7 CNPC General Capital Ltd. 1.450% 4/16/16 2,000 2,002
7 CNPC General Capital Ltd. 2.750% 4/19/17 4,875 4,963
7 CNPC General Capital Ltd. 2.750% 5/14/19 9,765 9,812
7 CNPC HK Overseas Capital Ltd. 3.125% 4/28/16 5,000 5,088
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 2,000 2,030
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,825 5,173
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 2,800 2,950
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 15,796 16,737
7 Corp. Nacional del Cobre de Chile 3.000% 7/17/22 19,525 19,190
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 10,800 11,659
7 Corp. Nacional del Cobre de Chile 4.875% 11/4/44 4,250 4,405
  Corporacion Andina De Fomento 3.750% 1/15/16 74,569 76,129
  Corporacion Andina De Fomento 5.750% 1/12/17 8,900 9,549
  Corporacion Andina De Fomento 7.790% 3/1/17 9,570 10,620
  Corporacion Andina De Fomento 1.500% 8/8/17 8,790 8,847
  Corporacion Andina De Fomento 4.375% 6/15/22 32,912 36,146
7 Democratic Socialist Republic of Sri Lanka 5.125% 4/11/19 4,800 4,812
14 Development Bank of Japan Inc. 2.750% 3/15/16 6,900 7,041
14 Development Bank of Japan Inc. 5.125% 2/1/17 4,800 5,157
7 Development Bank of Kazakhstan JSC 5.500% 12/20/15 2,762 2,818
  Development Bank of Kazakhstan JSC 5.500% 12/20/15 310 316
7,15 Dexia Credit Local SA 1.250% 10/18/16 12,700 12,784
  Ecopetrol SA 7.375% 9/18/43 3,900 4,388
  Ecopetrol SA 5.875% 5/28/45 23,770 22,790
7 Electricite de France SA 1.150% 1/20/17 58,610 58,922
7 Electricite de France SA 2.150% 1/22/19 34,190 34,527
7 Electricite de France SA 6.000% 1/22/14 1,610 1,806
12 Emirates NBD PJSC 5.750% 5/8/19 10,770 9,052
4,7 ENA Norte Trust 4.950% 4/25/28 1,778 1,842
  Eskom Holdings SOC Ltd. 5.750% 1/26/21 32,800 32,636
  European Investment Bank 2.500% 5/16/16 5,000 5,111
  Export-Import Bank of Korea 4.125% 9/9/15 33,625 34,013
  Export-Import Bank of Korea 3.750% 10/20/16 18,695 19,446
  Export-Import Bank of Korea 4.000% 1/11/17 98,200 102,590
  Export-Import Bank of Korea 2.875% 9/17/18 11,700 12,112
  Export-Import Bank of Korea 4.000% 1/29/21 2,000 2,165
7 Federation of Malaysia 2.991% 7/6/16 4,875 4,988
4 Federative Republic of Brazil 8.000% 1/15/18 20,267 21,918
  Federative Republic of Brazil 4.250% 1/7/25 32,110 31,813
4 Federative Republic of Brazil 11.000% 8/17/40 5,500 5,662
7 Fondo MIVIVIENDA SA 3.375% 4/2/19 19,500 19,817
  Fondo MIVIVIENDA SA 3.375% 4/2/19 4,850 4,929
  Hydro-Quebec 2.000% 6/30/16 21,750 22,084
  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 14,720 14,832
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 15,950 16,374
  International Bank for Reconstruction &        
  Development 0.625% 10/14/16 10,000 9,966
  IPIC GMTN Ltd. 3.125% 11/15/15 9,750 9,862
7 IPIC GMTN Ltd. 3.750% 3/1/17 2,850 2,968
14 Japan Bank for International Cooperation 1.875% 9/24/15 60,350 60,679
14 Japan Bank for International Cooperation 2.500% 1/21/16 19,500 19,777
14 Japan Bank for International Cooperation 2.500% 5/18/16 22,000 22,448
14 Japan Bank for International Cooperation 2.250% 7/13/16 34,090 34,752
14 Japan Bank for International Cooperation 1.750% 7/31/18 26,800 27,168
14 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,750 10,822
  KazMunayGas National Co. JSC 9.125% 7/2/18 60,176 68,149
7 Kommunalbanken AS 2.375% 1/19/16 5,875 5,958
7 Kommunalbanken AS 0.875% 10/3/16 9,775 9,816

 

 

7 Kommunalbanken AS 1.125% 5/23/18 31,300 31,264
7 Kommunalbanken AS 2.125% 3/15/19 14,000 14,405
  Korea Development Bank 4.375% 8/10/15 15,460 15,595
  Korea Development Bank 1.000% 1/22/16 4,800 4,807
  Korea Development Bank 3.250% 3/9/16 29,606 30,180
  Korea Development Bank 4.000% 9/9/16 4,000 4,152
  Korea Development Bank 3.250% 9/20/16 9,800 10,083
  Korea Development Bank 3.875% 5/4/17 24,125 25,215
  Korea Development Bank 2.250% 8/7/17 19,445 19,752
  Korea Development Bank 3.500% 8/22/17 22,675 23,659
  Korea Development Bank 1.500% 1/22/18 5,850 5,834
  Korea Electric Power Corp. 3.000% 10/5/15 29,300 29,568
7 Korea Electric Power Corp. 3.000% 10/5/15 10,800 10,899
7 Korea Expressway Corp. 5.125% 5/20/15 3,900 3,908
7 Korea Expressway Corp. 1.625% 4/28/17 9,800 9,781
  Korea Expressway Corp. 1.625% 4/28/17 9,800 9,781
  Korea Expressway Corp. 1.875% 10/22/17 21,130 21,210
7 Korea Expressway Corp. 1.875% 10/22/17 1,000 1,003
  Korea Gas Corp. 2.875% 7/29/18 4,800 4,955
7 Korea Hydro & Nuclear Power Co. Ltd. 3.125% 9/16/15 4,900 4,940
7 Korea Land & Housing Corp. 1.875% 8/2/17 7,000 7,021
7 Korea National Oil Corp. 2.875% 11/9/15 2,900 2,936
7 Korea National Oil Corp. 4.000% 10/27/16 19,201 19,949
7 Korea Resources Corp. 2.125% 5/2/18 4,675 4,691
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 7,800 8,027
16 Landwirtschaftliche Rentenbank 3.125% 7/15/15 7,000 7,040
  Majapahit Holding BV 8.000% 8/7/19 16,600 19,566
7 MDC-GMTN B.V. 3.750% 4/20/16 6,000 6,141
  North American Development Bank 2.300% 10/10/18 3,675 3,748
  North American Development Bank 2.400% 10/26/22 2,700 2,682
7 OCP SA 5.625% 4/25/24 8,325 8,898
17 Oesterreichische Kontrollbank AG 1.750% 10/5/15 59,400 59,774
17 Oesterreichische Kontrollbank AG 2.000% 6/3/16 24,350 24,753
7 Ooredoo International Finance Ltd. 3.375% 10/14/16 9,025 9,258
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 4,925 4,905
7 Ooredoo International Finance Ltd. 3.875% 1/31/28 1,800 1,771
7 Perusahaan Penerbit SBSN Indonesia II 4.000% 11/21/18 4,800 5,046
  Petrobras Global Finance BV 5.625% 5/20/43 4,180 3,441
  Petrobras International Finance Co. SA 3.875% 1/27/16 109,305 109,578
  Petrobras International Finance Co. SA 5.875% 3/1/18 73,323 75,015
  Petrobras International Finance Co. SA 6.875% 1/20/40 2,950 2,795
  Petroleos Mexicanos 5.750% 3/1/18 113,804 123,865
  Petroleos Mexicanos 3.500% 7/18/18 5,000 5,163
  Petroleos Mexicanos 8.000% 5/3/19 6,700 7,993
  Petroleos Mexicanos 5.500% 1/21/21 90,850 99,910
  Petroleos Mexicanos 4.875% 1/24/22 24,500 26,049
  Province of Manitoba 2.625% 7/15/15 7,875 7,914
  Province of Manitoba 1.300% 4/3/17 32,225 32,543
  Province of New Brunswick 2.750% 6/15/18 485 506
  Province of Nova Scotia 2.375% 7/21/15 43,820 44,032
  Province of Ontario 0.950% 5/26/15 36,025 36,035
  Province of Ontario 2.700% 6/16/15 82,595 82,804
  Province of Ontario 1.875% 9/15/15 62,047 62,404
  Province of Ontario 5.450% 4/27/16 5,000 5,233
  Province of Ontario 2.300% 5/10/16 67,725 68,826
  Province of Ontario 1.200% 2/14/18 5,200 5,201
  Province of Ontario 3.000% 7/16/18 15,905 16,726
7,18 Qatari Diar Finance QSC 3.500% 7/21/15 2,725 2,735

 

 

  Quebec 4.600% 5/26/15 9,750 9,773
  Quebec 5.000% 3/1/16 9,750 10,132
  Quebec 5.125% 11/14/16 11,000 11,710
  Quebec 3.500% 7/29/20 4,750 5,143
  Quebec 2.750% 8/25/21 16,785 17,446
  Quebec 2.625% 2/13/23 5,150 5,276
  Quebec 2.875% 10/16/24 6,750 6,968
4,7 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 5,549 6,002
4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 8,596 9,294
  Republic of Colombia 7.375% 3/18/19 12,872 15,189
  Republic of Colombia 4.375% 7/12/21 9,900 10,504
4 Republic of Colombia 5.000% 6/15/45 14,700 14,943
  Republic of Croatia 6.250% 4/27/17 41,520 44,074
  Republic of Hungary 4.000% 3/25/19 30,950 32,381
  Republic of Indonesia 6.875% 3/9/17 4,885 5,355
  Republic of Indonesia 6.875% 1/17/18 11,463 12,939
  Republic of Indonesia 5.875% 3/13/20 51,308 58,106
  Republic of Indonesia 6.625% 2/17/37 10,100 12,284
  Republic of Italy 4.750% 1/25/16 45,945 47,233
10 Republic of Italy 1.050% 12/1/19 31,000 35,490
10 Republic of Italy 2.150% 12/15/21 15,500 18,649
  Republic of Korea 5.125% 12/7/16 9,750 10,397
7 Republic of Latvia 5.250% 2/22/17 2,000 2,145
7 Republic of Latvia 2.750% 1/12/20 4,000 4,091
  Republic of Namibia 5.500% 11/3/21 8,850 9,735
  Republic of Poland 3.875% 7/16/15 36,080 36,325
  Republic of Poland 6.375% 7/15/19 34,090 40,011
  Republic of Poland 5.125% 4/21/21 11,335 12,937
  Republic of Poland 5.000% 3/23/22 39,165 44,477
  Republic of Romania 4.375% 8/22/23 9,800 10,401
  Republic of Serbia 5.250% 11/21/17 4,800 4,962
7 Republic of Serbia 5.250% 11/21/17 1,000 1,030
  Republic of Slovakia 4.375% 5/21/22 3,000 3,375
7 Republic of Slovakia 4.375% 5/21/22 5,500 6,160
7 Republic of Slovenia 5.250% 2/18/24 10,700 12,292
  Republic of Turkey 7.000% 9/26/16 110,605 118,868
  Republic of Turkey 7.500% 7/14/17 179,550 198,823
  Republic of Turkey 6.750% 4/3/18 11,800 13,035
  Republic of Turkey 3.250% 3/23/23 7,900 7,446
  Republic of Turkey 4.250% 4/14/26 16,685 16,184
4,7 Rio Oil Finance Trust Series 2014-3 6.750% 1/6/27 14,160 13,948
  SABIC Capital II BV 2.625% 10/3/18 9,600 9,780
7 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 16,820 17,980
7 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 5,775 5,895
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 20,200 21,638
  State Bank of India 4.125% 8/1/17 19,230 20,088
  State of Israel 5.500% 11/9/16 4,875 5,230
  State of Israel 4.000% 6/30/22 1,900 2,084
  State of Israel 3.150% 6/30/23 6,000 6,228
7 State of Qatar 3.125% 1/20/17 8,000 8,294
  Statoil ASA 1.800% 11/23/16 5,900 5,990
  Statoil ASA 3.125% 8/17/17 8,956 9,358
  Statoil ASA 1.200% 1/17/18 6,430 6,426
  Statoil ASA 2.250% 11/8/19 19,500 19,875
  Statoil ASA 2.900% 11/8/20 10,000 10,414
  Statoil ASA 3.150% 1/23/22 2,000 2,076

 

 

Svensk Exportkredit AB 1.750% 10/20/15 56,450 56,833
Svensk Exportkredit AB 2.125% 7/13/16 24,400 24,870
Svensk Exportkredit AB 1.750% 5/30/17 4,900 4,993
Svensk Exportkredit AB 1.125% 4/5/18 9,750 9,753
7 Temasek Financial I Ltd. 4.300% 10/25/19 7,250 8,034
7 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 4,946
7 Turkiye Halk Bankasi AS 4.875% 7/19/17 1,800 1,850
United Mexican States 5.625% 1/15/17 3,758 4,030
United Mexican States 5.750% 10/12/10 13,800 14,781
Total Sovereign Bonds (Cost $3,704,803)       3,745,371
Taxable Municipal Bonds (0.4%)        
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 1.871% 12/1/19 9,800 9,894
California GO 5.950% 3/1/18 26,110 29,574
California GO 6.200% 10/1/19 13,650 16,088
Colorado Housing & Finance Authority        
Employment Compensation Special        
Assessment Revenue 1.600% 5/15/16 14,600 14,746
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 1.298% 7/1/16 7,800 7,845
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.107% 7/1/18 5,350 5,462
George Washington University District of        
Columbia GO 3.485% 9/15/22 4,800 4,992
Harris County TX Toll Road Revenue 1.361% 8/15/17 9,750 9,809
Illinois GO 4.961% 3/1/16 25,550 26,436
Illinois GO 5.365% 3/1/17 16,540 17,675
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 1.570% 1/1/17 2,000 2,020
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 2.217% 1/1/19 1,850 1,883
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 29,003 30,067
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 13,800 14,448
6 Mississippi GO (Nissan North America, Inc.        
Project) 0.879% 11/1/17 12,180 12,250
New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 4,585 4,790
University of California Revenue 2.054% 5/15/18 3,400 3,503
University of California Revenue 1.745% 5/15/19 6,250 6,286
Total Taxable Municipal Bonds (Cost $212,091)       217,768
Tax-Exempt Municipal Bonds (0.0%)        
Calhoun County TX Navigation Industrial        
Development Authority Port Revenue (BP        
plc) VRDO 0.160% 5/7/15 10,000 10,000
7 Louisiana Public Facilities Authority Dock &        
Wharf Revenue (Impala Warehousing LLC        
Project) 6.500% 7/1/36 6,700 7,611
Total Tax-Exempt Municipal Bonds (Cost $16,700)       17,611

 

 

      Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
9 Lehman Brothers Holdings Inc. Pfd.     29,160 —
Total Convertible Preferred Stocks (Cost $28,924)       —
 
  Coupon      
Temporary Cash Investment (0.5%)        
Money Market Fund (0.5%)        
19 Vanguard Market Liquidity Fund        
(Cost $278,347) 0.121%   278,347,000 278,347
Total Investments (100.2%) (Cost $53,090,930)       53,443,635
 
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 1,733 (190)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 1,730 (108)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 573 (27)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 288 (9)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 174 (33)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/22/15 1,733 (785)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 1,730 (1,189)
Total Liability for Options Written (Premiums received $2,473)     (2,341)
Other Assets and Liabilities-Net (-0.2%)       (88,995)
Net Assets (100%)       53,352,299

 

1 Securities with a value of $18,870,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $19,015,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $8,997,000 have been segregated as initial margin for open cleared 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 April 30, 2015, the aggregate value of these securities was $6,156,413,000, representing 11.5% of net assets.
8 Security made only partial principal and/or interest payments during the period ended April 30, 2015.
9 Non-income-producing security—security in default.
10 Face amount denominated in Euro.
11 Face amount denominated in British pounds.

 

12 Face amount denominated in Australian dollars.
13 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
14 Guaranteed by the Government of Japan.
15 Guaranteed by multiple countries.
16 Guaranteed by the Federal Republic of Germany.
17 Guaranteed by the Republic of Austria.
18 Guaranteed by the State of Qatar.
19 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. 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).

 

Short-Term Investment-Grade Fund

The following table summarizes the market value of the fund's investments as of April 30, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 7,523,185 —
Asset-Backed/Commercial Mortgage-Backed Securities — 9,411,184 62,641
Corporate Bonds — 32,126,040 61,488
Sovereign Bonds — 3,743,527 1,844
Taxable Municipal Bonds — 217,768 —
Tax-Exempt Municipal Bonds — 17,611 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 278,347 — —
Liability for Options Written (2,341) — —
Futures Contracts—Assets1 2,478 — —
Futures Contracts—Liabilities1 (1,464) — —
Forward Currency Contracts—Assets — 10,413 —
Forward Currency Contracts—Liabilities — (24,083) —
Swap Contracts—Assets 5521 3,970 —
Swap Contracts—Liabilities (134)1 (3,108) —
Total 277,438 53,026,507 125,973
1 Represents variation margin on the last day of the reporting period.

 

D. Futures and Options: The fund uses 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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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.

 

Short-Term Investment-Grade Fund

At April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short Value Long Appreciation
Futures Contracts Expiration Contracts) (Short)  (Depreciation)
5-Year U.S. Treasury Note June 2015 13,321 1,600,289 (1,260)
2-Year U.S. Treasury Note June 2015 2,901 636,090 67
10-Year U.S. Treasury Note June 2015 (4,566) (586,160) 1,524
30-Year U.S. Treasury Bond June 2015 (1,918) (306,101) 4,320
Euro-Bobl June 2015 (1,032) (149,251) 399
Ultra Long U.S. Treasury Bond June 2015 (791) (130,120) 3,449
Euro-Bund June 2015 (371) (65,278) 472
Australian 3-Year Treasury Bond June 2015 (538) (47,602) 144
Long Gilt June 2015 (193) (34,994) 86
Euro-Schatz June 2015 17 2,122 —
Euro-Buxl June 2015 8 1,515 (51)
        9,150

 

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

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

 

Short-Term Investment-Grade Fund

At April 30, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 5/5/15 EUR 207,298 USD 224,732 8,048
Morgan Stanley Capital Services LLC 5/5/15 GBP 68,978 USD 104,363 1,515
Morgan Stanley Capital Services LLC 5/5/15 AUD 26,855 USD 20,792 274
Morgan Stanley Capital Services LLC 5/4/15 AUD 18,794 USD 14,678 191
UBS AG 5/5/15 EUR 7,910 USD 8,497 385
Barclays Bank plc 6/2/15 USD 241,416 EUR 222,650 (8,695)
Goldman Sachs Bank AG 5/5/15 USD 233,168 EUR 215,208 (8,494)
Bank of America NA 6/2/15 USD 104,343 GBP 68,978 (1,514)
BNP Paribas 5/5/15 USD 102,092 GBP 68,978 (3,785)
Morgan Stanley Capital Services LLC 6/2/15 USD 39,830 AUD 51,080 (517)
Morgan Stanley Capital Services LLC 5/5/15 USD 20,531 AUD 26,855 (715)
Morgan Stanley Capital Services LLC 5/4/15 USD 14,506 AUD 18,794 (363)
            (13,670)

AUD—Australian dollar.
EUR—Euro.
GBP—British pound.
USD—U.S. dollar.

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

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

 

Short-Term Investment-Grade Fund

The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

 

Short-Term Investment-Grade Fund            
 
 
 
 
Over-the-Counter Credit Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating            
Bank of America Corp./Baa2 12/20/17 MSCS 16,900 336 1.000 610
Boeing Co./A2 9/20/18 GSCM 4,885 (61) 1.000 81
Energy Transfer Partners LP/A2 6/20/17 BOANA 14,630 370 1.000 457
Federation of Malaysia/A3 6/20/20 BOANA 20,660 389 1.000 143
Federation of Malaysia/A3 6/20/20 JPMC 23,523 432 1.000 152
Federation of Malaysia/A3 6/20/20 GSCM 18,000 296 1.000 82
Federation of Malaysia/A3 6/20/20 BOANA 18,000 296 1.000 82
Federative Republic of Brazil/Baa2 6/20/20 GSCM 5,485 447 1.000 109
Federative Republic of Brazil/Baa2 6/20/20 BOANA 18,800 1,463 1.000 302
Federative Republic of Brazil/Baa2 6/20/20 JPMC 10,740 638 1.000 (25)
Federative Republic of Brazil/Baa2 6/20/20 BARC 32,000 1,770 1.000 (206)
General Electric Capital Corp./A1 12/20/19 DBAG 29,290 (568) 1.000 291
Goldman Sachs Group Inc./Baa1 12/20/17 MSCS 9,760 222 1.000 352
Goldman Sachs Group Inc./Baa1 3/20/20 BOANA 21,610 (188) 1.000 (27)
Hartford Financial Services Group            
Inc./Baa2 3/20/18 GSCM 9,750 14 1.000 200
Kohls Corp./Baa1 6/20/18 JPMC 5,380 69 1.000 174
Kohls Corp./Baa1 9/20/18 BOANA 5,380 69 1.000 173
Peoples Republic of China/Aa3 6/20/20 BNPSW 24,405 (105) 1.000 (8)
Republic of Chile/Aa3 6/20/20 JPMC 11,525 (50) 1.000 8
Republic of Chile/Aa3 6/20/20 JPMC 29,295 (227) 1.000 (79)
Republic of Chile/Aa3 6/20/20 BNPSW 21,400 (155) 1.000 (47)
Republic of Indonesia/Baa3 6/20/20 BNPSW 12,500 292 1.000 (97)
Republic of Turkey/Baa3 12/20/16 BNPSW 10,740 29 1.000 (13)
Russian Federation/Ba1 6/20/17 GSCM 16,020 874 1.000 153
Russian Federation/Ba1 6/20/17 GSCM 9,600 523 1.000 91
Russian Federation/Ba1 6/20/17 GSCM 19,540 1,082 1.000 203
United Mexican States/A3 6/20/20 GSCM 10,550 151 1.000 40
United Mexican States/A3 6/20/20 GSCM 38,810 445 1.000 36
United Mexican States/A3 6/20/20 JPMC 37,390 438 1.000 44
      506,568     3,281

 

 

Short-Term Investment-Grade Fund            
 
 
 
 
Credit Protection Purchased            
Aetna Inc. 12/20/19 CSFBI 19,525 594 (1.000) (162)
Aetna Inc. 6/20/20 GSCM 19,530 784 (1.000) (6)
Banco Bilbao Vizcaya Argentaria SA 12/20/19 BOANA 14,510 159 (1.000) 34
Banco Santander SA 3/20/20 BARC 18,110 91 (1.000) (45)
Banco Santander SA 3/20/20 BOANA 17,975 17 (1.000) (119)
Bank of America Corp. 3/20/20 GSCM 21,610 333 (1.000) (73)
BBVA Senior Finance 3/20/20 BOANA 18,060 128 (1.000) (7)
Computer Sciences Corp. 9/20/15 BARC 7,315 108 (5.000) (37)
Computer Sciences Corp. 9/20/15 MSCS 7,315 108 (5.000) (36)
EI du Pont de Nemours & Co. 9/20/18 BNPSW 5,200 86 (1.000) (55)
EI du Pont de Nemours & Co. 9/20/18 CSFBI 6,865 132 (1.000) (53)
EI du Pont de Nemours & Co. 9/20/18 DBAG 5,200 86 (1.000) (55)
EI du Pont de Nemours & Co. 9/20/18 BARC 5,200 86 (1.000) (55)
EI du Pont de Nemours & Co. 9/20/18 GSCM 5,200 87 (1.000) (53)
Federal Express Corp. 12/20/18 GSCM 21,640 243 (1.000) (354)
Federative Republic of Brazil 12/20/15 BOANA 3,500 (6) (1.000) (16)
Intesa Sanpaolo SpA 6/20/19 DBAG 19,530 1,466 (3.000) (332)
Intesa Sanpaolo SpA 12/20/19 BARC 14,510 139 (1.000) 17
Intesa Sanpaolo SpA 3/20/20 BOANA 18,060 86 (1.000) (46)
McKesson Corp. 3/20/19 JPMC 18,210 501 (1.000) (128)
McKesson Corp. 3/20/19 JPMC 18,210 490 (1.000) (139)
Morgan Stanley 9/20/15 BARC 11,000 (48) (1.000) (83)
PPG Industries Inc. 3/20/18 GSCM 9,760 101 (1.000) (155)
Republic of Austria 9/20/17 BNPSW 3,800 (89) (1.000) (172)
Republic of Colombia 6/20/20 BOANA 13,500 (298) (1.000) (36)
Republic of Colombia 6/20/20 JPMC 11,150 (238) (1.000) (22)
Republic of Korea 9/20/18 JPMC 7,800 48 (1.000) (151)
Republic of Turkey 6/20/20 BNPSW 23,150 (1,170) (1.000) 136
United Mexican States 12/20/15 BOANA 3,500 (7) (1.000) (21)
United Mexican States 12/20/18 DBAG 4,900 (22) (1.000) (35)
UnitedHealth Group Inc. 12/20/19 CSFBI 19,525 577 (1.000) (152)
UnitedHealth Group Inc. 6/20/20 CSFBI 19,530 753 (1.000) (8)
      412,890     (2,419)
            862

 

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 NA.
CSFBI—Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank NA.
MSCS—Morgan Stanley Capital Services Inc.

 

Short-Term Investment-Grade Fund        
 
 
 
Centrally Cleared Interest Rate Swaps        
 
        Floating Unrealized
    Notional Fixed Interest Rate Interest Rate Appreciation
Termination   Amount Received (Paid) Received (Depreciation)
Date Clearinghouse1 ($000) (%) (Paid) (%) ($000)
          3
8/7/15 CME 100,000 0.413 (0.178) (56)
          3
11/7/15 LCH 120,000 0.375 (0.178) (104)
          3
12/15/15 CME 100,000 0.327 (0.182) 45
          3
2/15/16 LCH 150,000 0.700 (0.182) 465
          3
3/15/16 LCH 150,000 0.579 (0.182) 326
          2
6/1/16 CME 9,500 2.910 (0.262) (57)
          2
6/1/16 CME 6,075 0.566 (0.262) —
          3
6/15/16 CME 100,000 0.446 (0.182) 47
          3
11/15/16 LCH 150,000 0.681 (0.182) 290
          3
11/15/17 LCH 100,000 1.069 (0.182) 466
          3
7/10/18 CME 50,000 (1.380) 0.181 (507)
          3
1/15/19 LCH 200,000 (1.400) 0.182 (1,508)
          3
2/7/19 CME 150,000 (1.220) 0.178 39
          3
7/10/19 CME 50,000 (1.686) 0.181 (811)
          3
8/15/19 LCH 175,000 (1.524) 0.182 (1,537)
          (2,902)

 

1 CME—Chicago Mercantile Exchange.
LCH—London Clearing House.
2 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.
3 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

 

Short-Term Investment-Grade Fund

Over-the-Counter Interest Rate Swaps          
   
        Floating    
      Fixed Interest Rate   Unrealized
    Notional Interest Rate Received   Appreciation
Termination   Amount Received (Paid) (Paid)   (Depreciation)
Date Counterparty1 ($000) (%) (%)   ($000)
 
6/1/16 GSCM 125 0.555 (0.262) 2 —

 

1 GSCM—Goldman Sachs Bank USA.
2 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.

Cross-Currency Swaps          
  
 
        Notional Notional  
        Amount of Amount of Unrealized
Fixed Interest       Currency Currency Appreciation
Rate Fixed Interest Termination   Received Delivered (Depreciation
Received Rate Paid Date Counterparty1 ($000) (000) ) ($000)
USD 5.453% GBP 5.875% 4/28/17 MSCS 24,528 GBP 14,650 2,029
USD 4.684% GBP 5.375% 9/28/16 MSCS 23,541 GBP 13,750 2,410
USD 5.272% EUR 3.750% 11/9/20 MSCS 19,868 EUR 14,645 3,751
USD 6.653% EUR 6.375% 4/4/16 MSCS 18,804 EUR 13,675 3,584
USD 5.693% GBP 6.125% 5/14/17 BARC 16,195 GBP 9,770 1,203
USD 4.020% EUR 2.625% 12/6/18 BARC 14,423 EUR 10,777 2,474
USD 3.221% EUR 2.125% 12/1/20 BARC 13,998 EUR 10,205 2,299
USD 5.686% GBP 6.125% 5/14/17 BARC 13,493 GBP 8,119 1,036
USD 5.013% EUR 3.750% 7/12/18 MSCS 13,086 EUR 9,800 2,251
            21,037

 

1 BARC—Barclays Bank plc.
MSCS—Morgan Stanley Capital Services LLC.

EUR—Euro.
GBP—British pound.
USD—U.S. dollar.

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $19,615,000 in connection with open swap contracts and forward currency contracts.

G. At April 30, 2015, the cost of investment securities for tax purposes was $53,103,901,000. Net unrealized appreciation of investment securities for tax purposes was $339,734,000, consisting of unrealized gains of $565,014,000 on securities that had risen in value since their purchase and $225,280,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (104.4%)        
U.S. Government Securities (11.6%)        
  United States Treasury Inflation Indexed        
  Bonds 0.750% 2/15/45 10,000 10,027
  United States Treasury Note/Bond 0.625% 7/15/16 38,000 38,119
  United States Treasury Note/Bond 1.500% 7/31/16 50,000 50,703
1 United States Treasury Note/Bond 0.625% 8/15/16 49,650 49,797
  United States Treasury Note/Bond 0.375% 10/31/16 5,250 5,244
  United States Treasury Note/Bond 0.500% 4/30/17 100 100
  United States Treasury Note/Bond 0.875% 11/15/17 23,050 23,100
  United States Treasury Note/Bond 1.000% 12/15/17 3,200 3,215
  United States Treasury Note/Bond 1.000% 2/15/18 4,950 4,969
  United States Treasury Note/Bond 0.750% 2/28/18 44,500 44,333
  United States Treasury Note/Bond 2.750% 2/28/18 8,200 8,631
  United States Treasury Note/Bond 1.000% 3/15/18 6,800 6,821
  United States Treasury Note/Bond 0.750% 3/31/18 3,350 3,335
  United States Treasury Note/Bond 0.750% 4/15/18 4,250 4,231
  United States Treasury Note/Bond 1.000% 5/31/18 26,000 26,033
  United States Treasury Note/Bond 1.375% 6/30/18 73,950 74,851
  United States Treasury Note/Bond 1.500% 8/31/18 32,600 33,084
  United States Treasury Note/Bond 1.375% 9/30/18 37,500 37,887
  United States Treasury Note/Bond 1.250% 10/31/18 45,000 45,239
  United States Treasury Note/Bond 1.750% 10/31/18 68,000 69,530
  United States Treasury Note/Bond 1.375% 12/31/18 26,500 26,715
  United States Treasury Note/Bond 1.500% 3/31/19 2,500 2,528
  United States Treasury Note/Bond 1.000% 9/30/19 10,500 10,346
  United States Treasury Note/Bond 1.250% 1/31/20 6,350 6,305
  United States Treasury Note/Bond 1.375% 3/31/20 700 698
          585,841
Agency Bonds and Notes (77.9%)        
2 AID-Tunisia 2.452% 7/24/21 15,000 15,675
3 Federal Farm Credit Banks 1.110% 2/20/18 14,000 14,067
3 Federal Home Loan Banks 0.375% 6/10/16 26,000 26,002
3 Federal Home Loan Banks 2.000% 9/9/16 8,420 8,592
3 Federal Home Loan Banks 0.500% 9/28/16 149,000 149,003
3 Federal Home Loan Banks 0.625% 11/23/16 144,000 144,125
3 Federal Home Loan Banks 1.625% 12/9/16 15,500 15,754
3 Federal Home Loan Banks 0.875% 3/10/17 8,500 8,535
3,4 Federal Home Loan Banks 1.100% 9/19/17 75,000 75,086
3 Federal Home Loan Banks 1.375% 3/9/18 75,700 76,592
3 Federal Home Loan Banks 1.125% 4/25/18 17,250 17,336
3,4 Federal Home Loan Banks 1.200% 5/24/18 50,000 49,971
5 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 9,700 10,160
5 Federal Home Loan Mortgage Corp. 0.500% 5/13/16 4,750 4,758
4,5 Federal Home Loan Mortgage Corp. 0.550% 5/20/16 45,450 45,458
4,5 Federal Home Loan Mortgage Corp. 0.500% 5/27/16 50,000 50,011
5 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 21,500 21,926
4,5 Federal Home Loan Mortgage Corp. 0.700% 9/27/16 25,000 25,019
4,5 Federal Home Loan Mortgage Corp. 0.650% 9/30/16 100,000 100,078
5 Federal Home Loan Mortgage Corp. 0.875% 10/14/16 87,000 87,435

 

 

4,5 Federal Home Loan Mortgage Corp. 0.800% 11/21/16 42,750 42,764
5 Federal Home Loan Mortgage Corp. 0.500% 1/27/17 135,800 135,592
5 Federal Home Loan Mortgage Corp. 0.875% 2/22/17 143,000 143,658
5 Federal Home Loan Mortgage Corp. 1.000% 3/8/17 333,000 335,211
4,5 Federal Home Loan Mortgage Corp. 0.800% 4/28/17 28,600 28,595
5 Federal Home Loan Mortgage Corp. 1.000% 7/28/17 35,000 35,195
5 Federal Home Loan Mortgage Corp. 1.000% 9/29/17 61,250 61,515
5 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 50,000 55,308
4,5 Federal Home Loan Mortgage Corp. 1.300% 11/27/17 52,000 52,038
5 Federal Home Loan Mortgage Corp. 0.750% 1/12/18 207,650 206,734
4,5 Federal Home Loan Mortgage Corp. 1.250% 1/30/18 50,000 50,043
4,5 Federal Home Loan Mortgage Corp. 1.250% 4/20/18 50,000 50,029
5 Federal Home Loan Mortgage Corp. 1.750% 5/30/19 95,000 96,490
5 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 50,000 49,566
5 Federal National Mortgage Assn. 2.250% 3/15/16 10,705 10,887
5 Federal National Mortgage Assn. 0.500% 3/30/16 65,000 65,116
5 Federal National Mortgage Assn. 0.375% 7/5/16 20,000 19,994
5 Federal National Mortgage Assn. 0.625% 8/26/16 29,650 29,707
5 Federal National Mortgage Assn. 1.375% 11/15/16 6,500 6,582
5 Federal National Mortgage Assn. 1.250% 1/30/17 180,000 182,034
5 Federal National Mortgage Assn. 5.000% 2/13/17 6,000 6,464
5 Federal National Mortgage Assn. 1.125% 4/27/17 104,000 104,977
5 Federal National Mortgage Assn. 5.000% 5/11/17 94,500 102,670
4,5 Federal National Mortgage Assn. 2.000% 5/16/17 80,000 81,386
5 Federal National Mortgage Assn. 5.375% 6/12/17 17,800 19,536
4,5 Federal National Mortgage Assn. 1.000% 8/14/17 35,000 34,903
4,5 Federal National Mortgage Assn. 2.000% 9/26/17 100,000 102,021
5 Federal National Mortgage Assn. 1.000% 9/27/17 85,750 86,120
4,5 Federal National Mortgage Assn. 1.070% 9/27/17 27,000 26,958
4,5 Federal National Mortgage Assn. 2.000% 10/17/17 100,000 102,005
5 Federal National Mortgage Assn. 0.875% 10/26/17 88,000 88,078
4,5 Federal National Mortgage Assn. 1.000% 11/28/17 20,500 20,561
5 Federal National Mortgage Assn. 0.875% 12/20/17 31,000 30,983
5 Federal National Mortgage Assn. 0.875% 2/8/18 25,100 25,065
4,5 Federal National Mortgage Assn. 1.050% 4/13/18 50,000 49,981
4,5 Federal National Mortgage Assn. 1.250% 9/27/18 10,000 10,041
5 Federal National Mortgage Assn. 1.750% 6/20/19 94,000 95,418
5 Federal National Mortgage Assn. 1.750% 9/12/19 30,750 31,160
5 Federal National Mortgage Assn. 0.000% 10/9/19 130,000 119,778
5 Federal National Mortgage Assn. 1.750% 11/26/19 35,500 35,916
5 Federal National Mortgage Assn. 1.625% 1/21/20 87,500 87,942
5 Federal National Mortgage Assn. 1.500% 6/22/20 62,000 61,746
          3,926,350
Conventional Mortgage-Backed Securities (14.9%)        
4,5 Fannie Mae Pool 2.000% 10/1/27–7/1/28 11,184 11,226
4,5,6Fannie Mae Pool 2.500% 12/1/27–5/1/30 75,674 77,635
4,5,6Fannie Mae Pool 3.000% 12/1/20–5/1/30 86,766 90,837
4,5,6Fannie Mae Pool 3.500% 11/1/24–6/1/45 193,280 203,158
4,5,6Fannie Mae Pool 4.000% 6/1/18–6/1/45 119,278 127,149
4,5 Fannie Mae Pool 4.500% 1/1/18–10/1/25 16,398 17,203
4,5 Fannie Mae Pool 5.000% 8/1/15–6/1/25 13,119 13,800
4,5 Fannie Mae Pool 5.500% 3/1/16–1/1/25 7,168 7,506
4,5 Fannie Mae Pool 6.000% 4/1/17–5/1/24 610 640
4,5 Fannie Mae Pool 6.500% 8/1/16–9/1/16 688 709
4,5 Fannie Mae Pool 7.500% 7/1/15–8/1/15 1 1
4,5 Fannie Mae Pool 8.000% 7/1/15–9/1/15 8 8
4,5,6Freddie Mac Gold Pool 2.000% 9/1/28–5/1/30 10,378 10,372

 

 

4,5,6Freddie Mac Gold Pool 2.500% 6/1/22–5/1/30 56,673 58,092
4,5,6Freddie Mac Gold Pool 3.000% 11/1/29–5/1/30 54,670 57,285
4,5 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 28,681 30,610
4,5 Freddie Mac Gold Pool 4.000% 6/1/18–1/1/29 22,044 23,381
4,5 Freddie Mac Gold Pool 4.500% 5/1/18–9/1/26 12,481 13,187
4,5 Freddie Mac Gold Pool 5.000% 6/1/17–6/1/25 6,361 6,718
4,5 Freddie Mac Gold Pool 5.500% 1/1/16–9/1/21 177 183
4,5 Freddie Mac Gold Pool 6.000% 10/1/18 60 62
        749,762
Total U.S. Government and Agency Obligations (Cost $5,246,770)     5,261,953
Temporary Cash Investment (4.3%)        
      Shares  
Money Market Fund (4.3%)        
7 Vanguard Market Liquidity Fund (Cost        
$219,326) 0.121%   219,326,194 219,326
Total Investments (108.7%) (Cost $5,466,096)       5,481,279
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 164 (18)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 164 (10)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 56 (3)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 28 (1)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 16 (3)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/22/15 164 (74)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 164 (113)
Total Liability for Options Written (Premiums received $235)     (222)
Other Assets and Liabilities-Net (-8.7%)       (438,803)
Net Assets (100%)       5,042,254

 

1 Securities with a value of $1,700,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
4 The 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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2015.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities,

 

Short-Term Federal Fund

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

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $1,566,000 in connection with TBA transactions.

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 April 30, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 5,261,953 —
Temporary Cash Investments 219,326 — —
Futures Contracts—Assets1 135 — —
Futures Contracts—Liabilities1 (22) — —
Liability for Options Written (222) — —
Total 219,217 5,261,953 —
1 Represents variation margin on the last day of the reporting period.

 

 

Short-Term Federal Fund

D. Futures and Options: The fund uses 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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2015 (470) (103,055) (9)
30-Year U.S. Treasury Bond June 2015 (129) (20,588) 356
Ultra Long U.S. Treasury Bond June 2015 (123) (20,234) 477
10-Year U.S. Treasury Note June 2015 156 20,027 4
5-Year U.S. Treasury Note June 2015 148 17,780 3
        831

 

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

E. At April 30, 2015, the cost of investment securities for tax purposes was $5,466,114,000. Net unrealized appreciation of investment securities for tax purposes was $15,165,000, consisting of

 

Short-Term Federal Fund

unrealized gains of $17,808,000 on securities that had risen in value since their purchase and $2,643,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (9.5%)        
U.S. Government Securities (9.5%)        
  United States Treasury Inflation Indexed        
  Bonds 0.750% 2/15/45 38,000 38,102
  United States Treasury Note/Bond 0.250% 5/31/15 116,500 116,519
  United States Treasury Note/Bond 0.250% 7/15/15 72,500 72,534
  United States Treasury Note/Bond 0.250% 10/15/15 161,500 161,626
1 United States Treasury Note/Bond 2.625% 4/30/16 4,700 4,809
  United States Treasury Note/Bond 0.500% 6/15/16 75,500 75,653
  United States Treasury Note/Bond 0.500% 9/30/16 315 315
  United States Treasury Note/Bond 0.375% 10/31/16 500 500
  United States Treasury Note/Bond 0.500% 11/30/16 5,250 5,253
1,2 United States Treasury Note/Bond 0.750% 1/15/17 90,500 90,867
  United States Treasury Note/Bond 0.625% 9/30/17 22,500 22,433
  United States Treasury Note/Bond 0.875% 10/15/17 73,610 73,817
  United States Treasury Note/Bond 0.875% 11/15/17 70,250 70,404
  United States Treasury Note/Bond 1.000% 12/15/17 71,000 71,333
  United States Treasury Note/Bond 0.875% 1/15/18 164,950 165,105
2 United States Treasury Note/Bond 1.000% 3/15/18 102,950 103,271
3 United States Treasury Note/Bond 2.875% 3/31/18 15,000 15,848
  United States Treasury Note/Bond 0.750% 4/15/18 557,950 555,423
  United States Treasury Note/Bond 2.750% 2/15/19 6,395 6,765
  United States Treasury Note/Bond 1.625% 4/30/19 3,000 3,045
1 United States Treasury Note/Bond 3.625% 8/15/19 1,530 1,678
  United States Treasury Note/Bond 1.375% 3/31/20 126,700 126,344
  United States Treasury Note/Bond 2.000% 8/31/21 31,250 31,763
  United States Treasury Note/Bond 2.375% 8/15/24 67,950 70,031
          1,883,438
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5,6Freddie Mac Non Gold Pool 2.375% 8/1/32 451 468
4,5,6Freddie Mac Non Gold Pool 2.393% 9/1/32 178 183
          651
Total U.S. Government and Agency Obligations (Cost $1,878,181)     1,884,089
Asset-Backed/Commercial Mortgage-Backed Securities (11.8%)      
4 Ally Auto Receivables Trust 2014-SN2 1.210% 2/20/19 3,000 3,002
4,5 Ally Master Owner Trust Series 2010-4 1.252% 8/15/17 39,470 39,544
4,5,7Ally Master Owner Trust Series 2010-4 1.731% 8/15/17 8,100 8,120
4,5,7Ally Master Owner Trust Series 2010-4 2.131% 8/15/17 6,160 6,178
4 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 2,620 2,631
4,5 Ally Master Owner Trust Series 2014-1 0.651% 1/15/19 3,050 3,055
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 3,500 3,514
4 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 2,400 2,408
4 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 10,380 10,426
4,5 American Express Credit Account Secured        
  Note Trust 2008-2 1.442% 9/15/20 10,170 10,449
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 0.731% 5/15/20 7,000 7,027
4,5 American Express Issuance Trust II 2013-1 0.461% 2/15/19 13,000 12,991
4,5,7American Homes 4 Rent 2014-SFR1 1.250% 6/17/31 1,084 1,077
4,5,7American Homes 4 Rent 2014-SFR1 1.600% 6/17/31 970 964

 

 

4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 4,166 4,368
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 1,060 1,117
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 5,170 5,372
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 5,490 5,620
4,7 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 6,000 6,710
4,7 Americold 2010 LLC Trust Series 2010-ART 6.811% 1/14/29 3,540 4,154
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 720 721
4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 3,100 3,103
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 1,500 1,517
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 2,500 2,548
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 1,660 1,686
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 2,230 2,287
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 1,470 1,484
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 1,655 1,680
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 1,000 1,003
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 500 500
4,7 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 1,330 1,360
4,7 Applebee's Funding LLC/IHOP Funding LLC        
  2014-1 4.277% 9/5/44 2,090 2,155
4,7 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 830 828
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 1,713 1,717
4,5,7Arran Residential Mortgages Funding 2010-1        
  plc 1.658% 5/16/47 3,583 3,597
4,5,7Arran Residential Mortgages Funding 2011-1        
  plc 1.707% 11/19/47 2,460 2,475
4,7 Aventura Mall Trust 2013-AVM 3.867% 12/5/32 1,370 1,472
4,7 Avis Budget Rental Car Funding AESOP        
  LLC 2015-1A 2.500% 7/20/21 14,310 14,386
4,5 BA Credit Card Trust 2014-A1 0.561% 6/15/21 18,930 18,950
4,7 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,975 5,071
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 2,211 2,309
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 4,359 4,583
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.731% 4/10/49 3,319 3,538
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.386% 2/10/51 5,757 6,332
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.430% 2/10/51 20,542 22,590
4,5,7Bank of America Student Loan Trust 2010-        
  1A 1.075% 2/25/43 10,427 10,439
  Bank of Nova Scotia 1.850% 4/14/20 4,450 4,439
4,7 Bank of The West Auto Trust 2014-1 1.650% 3/16/20 9,400 9,473
4 Barclays Dryrock Issuance Trust 2014-3 2.410% 7/15/22 15,800 16,142
4,7 Beacon Container Finance LLC 2012-1A 3.720% 9/20/27 2,785 2,844

 

 

4 Bear Stearns Commercial Mortgage        
  Securities Trust 2005-PWR9 4.943% 9/11/42 1,320 1,330
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 2,273 2,378
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.896% 6/11/40 22,140 23,803
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 7,187 7,794
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 3,829 4,155
4,5 Brazos Higher Education Authority Inc.        
  Series 2005-3 0.467% 6/25/26 5,720 5,603
4,5 Brazos Higher Education Authority Inc.        
  Series 2010-1 1.162% 5/25/29 2,231 2,234
4,5 Brazos Higher Education Authority Inc.        
  Series 2011-1 1.062% 2/25/30 13,666 13,740
4 Cabela's Credit Card Master Note Trust        
  2015-1A 2.260% 3/15/23 3,160 3,193
4,7 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 1,875 1,888
4,7 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 2,810 2,829
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 1,550 1,552
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 1,700 1,703
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 6,485 6,667
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 5,020 5,041
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 3,400 3,427
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 3,045 3,086
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 1,775 1,798
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 2,500 2,513
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 650 657
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 1,000 1,014
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 800 814
4,5 Capital One Multi-asset Execution Trust        
  2007-A2 0.262% 12/16/19 5,610 5,593
4,5 Capital One Multi-asset Execution Trust        
  2007-A5 0.222% 7/15/20 18,644 18,523
4,5 Capital One Multi-Asset Execution Trust        
  2014-A3 0.561% 1/18/22 5,135 5,136
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 2,920 2,944
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 1,785 1,808
4 Carmax Auto Owner Trust 2014-1 1.690% 8/15/19 520 519
4 Carmax Auto Owner Trust 2014-1 1.930% 11/15/19 970 969
4 Carmax Auto Owner Trust 2014-4 1.810% 7/15/20 3,850 3,878
4 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 11,290 11,376
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 9,100 9,242
4,7 CFCRE Commercial Mortgage Trust 2011-        
  C1 5.721% 4/15/44 2,900 3,311
4,7 CFCRE Commercial Mortgage Trust 2011-        
  C2 5.753% 12/15/47 5,260 6,151
4,5 Chase Issuance Trust 2007-C1 0.641% 4/15/19 6,100 6,075
4,5 Chase Issuance Trust 2012-A10 0.442% 12/16/19 6,000 5,995
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 1.830% 3/15/19 915 920
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 1,100 1,109
4,7 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 1,190 1,207

 

 

4,7 Chrysler Capital Auto Receivables Trust        
  2014-AA 2.280% 11/15/19 2,150 2,166
4,7 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 3,145 3,148
4,5 Citibank Credit Card Issuance Trust 2008-A7 1.556% 5/20/20 11,800 12,191
4,5 Citibank Credit Card Issuance Trust 2013-A2 0.462% 5/26/20 10,000 9,996
4 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 23,045 23,466
4 Citigroup Commercial Mortgage Trust 2006-        
  C5 5.431% 10/15/49 6,650 6,967
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 5,770 5,970
4,7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,017 2,137
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 5,650 5,823
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 3,300 3,449
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 700 754

 

4,5,7Citigroup Commercial Mortgage Trust 2014-        
388G 0.932% 6/15/33 1,000 1,001

 

4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 230 251
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 920 976
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 2,480 2,679
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 2,460 2,613
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 1,020 1,086
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 740 782
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.604% 7/10/47 1,250 1,306
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 5,300 5,622
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 940 961
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 2,535 2,582
4,7 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 5,311 5,437
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 4,672 4,627
4,5,7Colony American Homes 2014-1 1.400% 5/17/31 2,648 2,634
4,5,7Colony American Homes 2014-1 1.600% 5/17/31 1,960 1,942
4,5,7Colony American Homes Single-Family        
  Rental Pass-Through Certificates 2014-2 1.532% 7/17/31 700 692
4 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 3,130 3,234
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 1,933 2,037
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 15,410 16,191
4 COMM 2007-C9 Mortgage Trust 5.989% 12/10/49 3,620 3,926
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,700 2,818
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900 4,171
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 2,855 2,915
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,215 6,353
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,700 2,739
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 4,800 5,255
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 4,690 5,220
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,400 1,486

 

 

4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 7,740 8,496
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 6,375 7,062
4 COMM 2013-CCRE13 Mortgage Trust 4.913% 12/10/23 855 957
4 COMM 2013-CCRE13 Mortgage Trust 4.913% 12/10/23 1,560 1,688
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 5,000 5,347
4 COMM 2013-CCRE9 Mortgage Trust 4.377% 7/10/45 4,980 5,569
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 1,700 1,769
4 COMM 2013-CCRE9 Mortgage Trust 3.795% 8/10/46 800 861
4,7 COMM 2013-CR9 Mortgage Trust 4.401% 7/10/45 1,600 1,663
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 3,180 3,317
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 1,050 1,128
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 585 649
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,800 3,893
4,7 COMM 2013-SFS Mortgage Trust 3.086% 4/12/35 6,500 6,606
4,7 COMM 2014-277P Mortgage Trust 3.732% 8/10/49 6,150 6,513
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 2,890 3,032
4 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 1,520 1,624
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 2,540 2,822
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 1,650 1,715
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 2,510 2,757
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 1,300 1,445
4 COMM 2014-CCRE15 Mortgage Trust 4.869% 2/10/47 1,600 1,798
4 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 3,335 3,632
4 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 1,290 1,407
4 COMM 2014-CR17 Mortgage Trust 4.896% 5/10/47 1,340 1,434
4 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 1,600 1,685
4 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 3,865 4,166
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 2,270 2,464
4 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 470 483
4 Commercial Mortgage Trust 2006-GG7 6.014% 7/10/38 23,944 24,732
7 Commonwealth Bank of Australia 1.875% 12/11/18 3,350 3,383
7 Commonwealth Bank of Australia 2.000% 6/18/19 4,300 4,338
4,7 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 5,580 5,717
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 6.000% 6/15/38 716 737
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.169% 2/15/41 3,178 3,503
4,7 DB Master Finance LL 2015-1 3.262% 2/20/45 4,305 4,336
4,5 Discover Card Execution Note Trust 2012-A4 0.551% 11/15/19 4,555 4,563
4 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 40,000 39,934
4,5 Discover Card Execution Note Trust 2013-A1 0.482% 8/17/20 18,000 17,999
4 Discover Card Execution Note Trust 2014-A4 2.120% 12/15/21 10,900 11,050
7 DNB Boligkreditt AS 1.450% 3/21/18 3,300 3,311
4,7 Drive Auto Receivables Trust 2015-A 2.280% 6/17/19 4,200 4,212
4,7 Drive Auto Receivables Trust 2015-A 3.060% 5/17/21 2,750 2,764
4,7 Drive Auto Receivables Trust 2015-A 4.120% 6/15/22 2,000 2,015
4,7 Enterprise Fleet Financing LLC Series 2011-        
  3 2.100% 5/20/17 1,679 1,682
4,7 Enterprise Fleet Financing LLC Series 2012-        
  2 0.720% 4/20/18 793 794
4,7 Enterprise Fleet Financing LLC Series 2012-        
  2 0.930% 4/20/18 2,200 2,201
4,7 Enterprise Fleet Financing LLC Series 2015-        
  1 1.740% 9/20/20 17,660 17,719
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 2,132 2,140
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 2,542 2,546

 

 

4 Ford Credit Auto Lease Trust 2013-A 1.010% 5/15/16 4,000 4,002
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 3,050 3,051
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 4,730 4,736
4 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 3,035 3,035
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 2,000 2,014
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 2,800 2,809
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 2,890 2,897
4,7 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 4,588 4,673
4,7 Ford Credit Auto Owner Trust 2014-1 2.410% 11/15/25 1,400 1,414
4,7 Ford Credit Auto Owner Trust 2014-2 2.310% 4/15/26 10,930 11,134
4,7 Ford Credit Auto Owner Trust 2014-2 2.510% 4/15/26 1,600 1,619
4 Ford Credit Auto Owner Trust 2014-C 1.560% 2/15/20 2,400 2,414
4,7 Ford Credit Auto Owner Trust 2015-1 2.120% 7/15/26 6,600 6,656
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 2,000 2,028
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 24,203 24,347
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 1,600 1,609
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 1,900 1,919
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 5,700 5,717
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 2,100 2,108
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-3 1.740% 6/15/17 820 821
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 670 678
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 720 725
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 290 295
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 2,000 2,007
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 900 912
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.682% 2/15/21 6,100 6,114
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 14,795 14,832
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 11,758 11,733
4,7 FRS I LLC 2013-1A 1.800% 4/15/43 1,068 1,062
4,7 FRS I LLC 2013-1A 3.080% 4/15/43 6,074 6,107
4,5 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.181% 5/15/19 10,800 10,824
4 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 30,000 30,317
4,5 GE Capital Credit Card Master Note Trust        
  Series 2012-3 0.632% 3/15/20 39,385 39,413
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 2,300 2,299
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2012-2 0.931% 4/22/19 13,000 13,081
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2012-4 0.621% 10/20/17 10,000 10,005

 

 

4,5 GE Dealer Floorplan Master Note Trust        
  Series 2014-2 0.631% 10/20/19 4,400 4,396
4,5 GE Dealer Floorplan Master Note Trust        
  Series 2015-2 0.831% 1/20/22 20,920 20,932
4,7 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 1,700 1,709
4,7 GM Financial Leasing Trust 2014-2A 1.620% 2/20/18 8,000 8,045
4 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 1,650 1,659
4,7 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 18,000 18,207
4,5,7Golden Credit Card Trust 2012-3A 0.632% 7/17/17 7,422 7,425
4,5,7Golden Credit Card Trust 2015-1A 0.622% 2/15/20 35,000 34,997
4,7 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 13,530 13,528
4,7 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 1,000 1,051
4,7 Great America Leasing Receivables 2013-1 1.160% 5/15/18 2,500 2,503
4,7 Great America Leasing Receivables 2015-1 2.020% 6/21/21 1,680 1,693
4,7 GS Mortgage Securities Trust 2010-C2 5.396% 12/10/43 1,370 1,514
4,7 GS Mortgage Securities Trust 2011-GC3 5.739% 3/10/44 2,650 3,016
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 4,100 4,355
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 6,450 6,548
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,168
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 2,240 2,314
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 1,550 1,610
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 2,000 2,091
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 800 856
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 3,390 3,702
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 8,070 8,760
4 GS Mortgage Securities Trust 2014-GC24 4.640% 9/10/47 1,860 2,018
4 GS Mortgage Securities Trust 2014-GC24 4.661% 9/10/47 2,685 2,805
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 1,050 1,112
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 1,100 1,144
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 3,500 3,497
4,7 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 7,930 8,066
4,7 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 7,500 7,756
4,7 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 13,350 13,356
4,7 Hilton USA Trust 2013-HLT 2.662% 11/5/30 3,120 3,113
4,7 Hilton USA Trust 2013-HLT 3.367% 11/5/30 3,240 3,266
4,7 Hilton USA Trust 2013-HLT 3.714% 11/5/30 1,455 1,474
4 Honda Auto Receivables 2014-4 Owner        
  Trust 1.460% 10/15/20 1,660 1,669
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 4,000 4,031
4,7 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 1,900 1,897
4,7 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 550 550
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 1.650% 8/15/19 10,880 10,924
4,7 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 7,250 7,279
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 1,700 1,718
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 1,000 1,002
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 1,200 1,210
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 2,350 2,397
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 1,900 1,938
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 1,700 1,710
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 1,150 1,151
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 2,200 2,210
4,5,7Hyundai Floorplan Master Owner Trust        
  Series 2013-1 0.831% 5/15/18 1,400 1,396
4,7 Icon Brands Holdings LLC 2012-1 4.229% 1/25/43 4,204 4,225

 

 

5 Illinois Student Assistance Commission        
  Series 2010-1 1.327% 4/25/22 6,931 6,970
4,5,7Invitation Homes 2014-SFR1 Trust 1.680% 6/17/31 4,750 4,750
4,5,7Invitation Homes 2014-SFR2 Trust 1.282% 9/17/31 2,560 2,560
4,5,7Invitation Homes 2014-SFR2 Trust 1.782% 9/17/31 700 701
4,5,7Invitation Homes 2015-SFR2 Trust 1.528% 6/17/32 2,925 2,935
4,7 Irvine Core Office Trust 2013-IRV 3.279% 5/15/48 6,000 6,188
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 2,866 2,942
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 6.057% 4/15/45 3,515 3,664
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 24,843 26,632
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 4,417 4,772
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 3,261 3,470
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 2,452 2,648
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 10,030 10,615
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 1,250 1,312
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 1,175 1,279
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.689% 11/15/43 2,313 2,584
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.689% 11/15/43 2,730 2,938
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 6,550 7,048
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 4,990 5,620
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 3,170 3,516
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.500% 8/15/46 4,000 4,661
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 4,499 4,792
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 4,640 4,736
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,070 4,249
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 1,350 1,484
4,7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,900 6,099
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 4,670 4,752
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 980 1,048
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 290 312
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.111% 12/15/46 2,135 2,401
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 5.176% 12/15/46 960 1,051

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 5,378 5,499
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 5,000 5,341
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.162% 7/15/45 5,000 5,416
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 1,300 1,357
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 1,400 1,504
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 2,300 2,397
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 400 427
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 1,750 1,953
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.251% 11/15/45 1,300 1,432
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 4,070 4,502
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 7,000 7,678
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 600 664
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.970% 2/15/47 2,500 2,779
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.970% 2/15/47 1,000 1,074
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 680 717
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 2,000 2,124
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 4,130 4,324
5 Kentucky Higher Education Student Loan        
  Corp. 2013-2 0.779% 9/1/28 2,733 2,725
4,7 Ladder Capital Commercial Mortgage 2013-        
  GCP Mortgage Trust 3.388% 5/15/31 910 950
4,5,7Lanark Master Issuer plc 2012-2A 1.662% 12/22/54 1,545 1,555
4,5,7Lanark Master Issuer plc 2013-1A 0.762% 12/22/54 3,442 3,441
4 LB-UBS Commercial Mortgage Trust 2006-        
  C3 5.641% 3/15/39 5,790 5,966
4 LB-UBS Commercial Mortgage Trust 2006-        
  C6 5.342% 9/15/39 2,210 2,309
4 LB-UBS Commercial Mortgage Trust 2006-        
  C7 5.347% 11/15/38 25,211 26,506
4 LB-UBS Commercial Mortgage Trust 2007-        
  C2 5.387% 2/15/40 18,469 19,736
4 LB-UBS Commercial Mortgage Trust 2007-        
  C7 5.866% 9/15/45 15,731 17,158
4,7 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 4,378 4,382
4,7 Madison Avenue Trust 2013-650M 3.843% 10/12/32 1,245 1,336
4,7 Master Credit Card Trust 2012-2A 1.970% 4/21/17 1,400 1,405
4,7 Master Credit Card Trust 2013-3A 2.280% 1/22/18 2,100 2,102
4,5 MBNA Credit Card Master Note Trust 2004-        
  A3 0.442% 8/16/21 27,360 27,272
4,7 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 15,000 15,021
4,5,7Mercedes-Benz Master Owner Trust 2015-B 0.560% 4/15/20 14,650 14,650

 

 

4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 791 825
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 11,789 12,752
4,7 Miramax LLC 2014-1A 3.340% 7/20/26 916 924
4 ML-CFC Commercial Mortgage Trust 2006-2 6.060% 6/12/46 852 885
4,7 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 2,880 2,905
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 7,445 7,750
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 2,050 2,198
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 5,740 5,853
4,7 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-CKSV 3.277% 10/15/30 6,000 6,070
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.218% 7/15/46 780 863
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 3.085% 8/15/46 1,800 1,884
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C11 4.363% 8/15/46 7,317 8,128
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C12 3.824% 10/15/46 810 869
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C13 4.039% 11/15/46 400 439
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 2.918% 2/15/46 2,470 2,524
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C7 3.214% 2/15/46 2,000 2,053
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C9 3.102% 5/15/46 11,910 12,289
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C14 4.064% 2/15/47 2,300 2,519
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C14 4.384% 2/15/47 1,600 1,775
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 3.892% 6/15/47 4,610 4,988
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.094% 6/15/47 935 1,016
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.483% 6/15/47 2,400 2,560
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C16 4.916% 6/15/47 2,400 2,544
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C17 3.741% 8/15/47 10,050 10,739
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C17 4.011% 8/15/47 530 572
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C18 3.923% 10/15/47 2,150 2,330
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C19 3.326% 12/15/47 1,080 1,129
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2014-C19 3.526% 12/15/47 470 494
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C20 3.069% 2/15/48 765 786
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C20 3.249% 2/15/48 425 437
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2015-C22 3.306% 5/15/46 2,300 2,364
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 4,285 4,475

 

 

4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 1,236 1,301
4 Morgan Stanley Capital I Trust 2007-IQ15 6.104% 6/11/49 7,225 7,808
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 4,793 5,164
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440 2,605
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,000 6,207
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370 6,875
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 1,050 1,102
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 3,760 3,966
4,5 Navient Student Loan Trust 2014-1 0.931% 2/25/39 650 640
4,5 Navient Student Loan Trust 2015-1 0.781% 4/25/40 16,000 16,012
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 0.879% 1/2/25 4,695 4,671
4,5 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.482% 2/15/18 9,000 8,996
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 21,640 21,662
7 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 5,500 5,569
5 North Carolina State Education Assistance        
  Authority 2011-1 1.177% 1/26/26 3,700 3,690
4,5,7PFS Financing Corp. 2014-AA 0.781% 2/15/19 1,600 1,599
4,5,7PFS Financing Corp. 2015-AA 0.826% 4/15/20 3,500 3,498
4,5,7Resimac MBS Trust 2014-1A 0.968% 12/12/45 3,891 3,893
4 Royal Bank of Canada 1.200% 9/19/18 5,750 5,753
  Royal Bank of Canada 1.875% 2/5/20 13,500 13,482
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 5,500 5,526
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 1,758 1,763
4,5,7Silver Bay Realty 2014-1 Trust 1.182% 9/17/31 2,378 2,367
4,5,7Silver Bay Realty 2014-1 Trust 1.632% 9/17/31 498 493
4,5 SLM Student Loan Trust 2005-5 0.377% 4/25/25 3,066 3,052
4,5 SLM Student Loan Trust 2006-5 0.387% 1/25/27 3,000 2,975
4,5 SLM Student Loan Trust 2006-6 0.387% 10/27/25 6,500 6,453
4,5 SLM Student Loan Trust 2007-1 0.367% 1/26/26 24,625 24,122
4,7 SLM Student Loan Trust 2011-A 4.370% 4/17/28 1,700 1,816
4,7 SLM Student Loan Trust 2011-B 3.740% 2/15/29 10,500 11,009
4,5,7SLM Student Loan Trust 2011-C 1.582% 12/15/23 941 944
4,7 SLM Student Loan Trust 2011-C 4.540% 10/17/44 5,450 5,897
4,5,7SLM Student Loan Trust 2012-B 1.281% 12/15/21 625 625
4,7 SLM Student Loan Trust 2012-B 3.480% 10/15/30 4,550 4,708
4,5,7SLM Student Loan Trust 2012-E 0.932% 10/16/23 5,213 5,224
4,5,7SLM Student Loan Trust 2013-1 1.231% 5/17/27 5,400 5,406
4,7 SLM Student Loan Trust 2013-1 2.500% 3/15/47 1,800 1,748
4,5 SLM Student Loan Trust 2013-6 0.831% 6/26/28 4,500 4,456
4,7 SLM Student Loan Trust 2013-B 1.850% 6/17/30 3,000 2,979
4,7 SLM Student Loan Trust 2013-B 3.000% 5/16/44 3,000 2,976
4,7 SLM Student Loan Trust 2013-C 3.500% 6/15/44 2,000 2,019
4,5 SLM Student Loan Trust 2014-1 0.781% 2/26/29 1,150 1,150
4,7 SLM Student Loan Trust 2014-A 2.590% 1/15/26 900 920
4,7 SLM Student Loan Trust 2014-A 3.500% 11/15/44 800 802
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 3,118 3,117
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 2,000 2,003
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 4,200 4,196
4,7 Sonic Capital LLC 2011-1A 5.438% 5/20/41 3,022 3,187
4,5 South Carolina Student Loan Corp. Revenue        
  2010-1 1.277% 7/25/25 9,324 9,387
7 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 2,000 1,992
4,7 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 10,400 10,367

 

 

7 Stadshypotek AB 1.250% 5/23/18 1,930 1,923
7 Stadshypotek AB 1.750% 4/9/20 8,294 8,234
4,5,7SWAY Residential 2014-1 Trust 1.480% 1/17/32 6,443 6,473
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 6,670 6,747
4,7 Tidewater Auto Receivables Trust 2014-AA 1.400% 7/15/18 900 900
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 2,160 2,276
7 Toronto-Dominion Bank 1.950% 4/2/20 8,400 8,395
4,5,7Trade MAPS 1 Ltd. 2013-1A 0.881% 12/10/18 6,460 6,467
4,5,7Trade MAPS 1 Ltd. 2013-1A 1.431% 12/10/18 1,225 1,226
4,5,7Trade MAPS 1 Ltd. 2013-1A 2.431% 12/10/18 670 669
4,5,7Trafigura Securitisation Finance plc 2014-1 1.132% 10/15/21 5,720 5,711
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200 1,303
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,000 6,267
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 5,055 5,129
4,7 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 8,350 8,498
4,7 VNO 2013-PENN Mortgage Trust 3.808% 12/13/29 1,100 1,181
4,7 VNO 2013-PENN Mortgage Trust 4.079% 12/13/29 650 696
4,7 VNO 2013-PENN Mortgage Trust 4.079% 12/13/29 490 517
4,7 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 8,600 8,636
4,7 Volvo Financial Equipment LLC Series 2012-        
  1 2.380% 9/16/19 1,200 1,205
4,7 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 3,105 3,125
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 10,255 10,608
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 2,310 2,427
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 22,173 23,260
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 3,523 3,711
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 5,990 6,153
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,610 1,697
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 750 816
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 7,570 8,406
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 2,400 2,542
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 5,800 6,246
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 700 754
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 2,400 2,558
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 1,450 1,506
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 2,410 2,512
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 1,840 1,885
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 1,840 1,875

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 1,260 1,314
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 1,260 1,314
7 Westpac Banking Corp. 1.850% 11/26/18 6,285 6,344
7 Westpac Banking Corp. 2.000% 3/3/20 13,000 13,010
4,7 WFLD 2014-MONT Mortgage Trust 3.880% 8/10/31 1,910 2,034
4,7 WFRBS Commercial Mortgage Trust 2011-        
  C3 4.375% 3/15/44 5,450 6,040
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 4,930 5,041
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 3.431% 6/15/45 5,400 5,723
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 4.090% 6/15/45 4,170 4,539
4 WFRBS Commercial Mortgage Trust 2012-        
  C8 3.001% 8/15/45 3,300 3,408
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 2.870% 11/15/45 7,360 7,529
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 3.388% 11/15/45 2,870 2,991
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,220 2,299
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 600 623
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 1,900 2,044
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 630 698
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 357 381
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.027% 12/15/46 3,365 3,516
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 1,895 2,036
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 6,340 7,032
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.827% 12/15/46 1,085 1,202
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 6,075 6,670
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.638% 5/15/47 3,020 3,231
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 2,430 2,655
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 1,410 1,476
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 5,215 5,558
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 700 747
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 2,410 2,476
4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 980 1,059
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 170 181

 

 

4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 3,200 3,508
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 4,000 4,009
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.703% 2/15/22 8,755 8,758
4,5,7World Omni Master Owner Trust 2013-1 0.532% 2/15/18 4,000 3,997
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,313,897)   2,356,111
Corporate Bonds (74.7%)        
Finance (29.4%)        
  Banking (19.2%)        
  Abbey National Treasury Services plc 3.050% 8/23/18 3,950 4,113
  Abbey National Treasury Services plc 2.350% 9/10/19 3,415 3,464
  Abbey National Treasury Services plc 4.000% 3/13/24 43,500 46,306
  AgriBank FCB 9.125% 7/15/19 5,000 6,342
  American Express Bank FSB 6.000% 9/13/17 4,250 4,695
  American Express Centurion Bank 5.950% 6/12/17 10,000 10,949
  American Express Centurion Bank 6.000% 9/13/17 5,060 5,595
  American Express Co. 6.150% 8/28/17 10,900 12,084
  American Express Co. 7.000% 3/19/18 12,000 13,808
  American Express Co. 2.650% 12/2/22 16,082 15,876
  Associates Corp. of North America 6.950% 11/1/18 8,855 10,296
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 8,000 8,096
7 Australia & New Zealand Banking Group Ltd. 4.875% 1/12/21 16,817 19,061
7 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 16,000 16,666
7 Banco de Credito del Peru 4.250% 4/1/23 5,000 5,160
  Bank of America Corp. 6.500% 8/1/16 6,375 6,781
  Bank of America Corp. 6.400% 8/28/17 7,850 8,666
  Bank of America Corp. 6.000% 9/1/17 1,750 1,917
  Bank of America Corp. 5.750% 12/1/17 4,000 4,400
  Bank of America Corp. 6.875% 4/25/18 8,123 9,281
  Bank of America Corp. 5.650% 5/1/18 4,500 4,978
  Bank of America Corp. 6.875% 11/15/18 2,797 3,244
  Bank of America Corp. 2.600% 1/15/19 13,000 13,204
  Bank of America Corp. 7.625% 6/1/19 13,000 15,629
  Bank of America Corp. 2.250% 4/21/20 3,400 3,366
  Bank of America Corp. 5.625% 7/1/20 19,340 22,131
  Bank of America Corp. 5.875% 1/5/21 16,010 18,605
  Bank of America Corp. 5.000% 5/13/21 5,285 5,924
  Bank of America Corp. 5.700% 1/24/22 25,800 29,859
  Bank of America Corp. 3.300% 1/11/23 39,767 39,850
  Bank of America Corp. 4.100% 7/24/23 11,500 12,065
  Bank of America Corp. 4.125% 1/22/24 34,600 36,533
  Bank of America Corp. 4.000% 4/1/24 6,000 6,275
  Bank of America Corp. 4.200% 8/26/24 12,000 12,130
  Bank of America NA 5.300% 3/15/17 8,877 9,460
  Bank of America NA 6.100% 6/15/17 5,000 5,432
  Bank of Montreal 2.375% 1/25/19 5,000 5,104
  Bank of Montreal 2.550% 11/6/22 16,000 15,872
  Bank of New York Mellon Corp. 5.500% 12/1/17 5,465 6,006
  Bank of New York Mellon Corp. 5.450% 5/15/19 6,580 7,483
  Bank of New York Mellon Corp. 4.600% 1/15/20 14,300 15,934
  Bank of New York Mellon Corp. 2.150% 2/24/20 2,840 2,850
  Bank of New York Mellon Corp. 4.150% 2/1/21 21,944 24,010
  Bank of New York Mellon Corp. 3.550% 9/23/21 16,040 17,004
  Bank of New York Mellon Corp. 3.650% 2/4/24 17,000 18,088
  Bank of New York Mellon Corp. 3.400% 5/15/24 20,200 20,902

 

 

  Bank of New York Mellon Corp. 3.250% 9/11/24 11,142 11,396
  Bank of New York Mellon Corp. 3.000% 2/24/25 19,300 19,383
  Bank of Nova Scotia 1.450% 4/25/18 5,085 5,089
  Bank of Nova Scotia 2.050% 10/30/18 26,275 26,669
  Bank of Nova Scotia 2.050% 6/5/19 7,930 7,982
  Bank of Nova Scotia 4.375% 1/13/21 8,500 9,416
  Bank of Nova Scotia 2.800% 7/21/21 17,352 17,740
  Barclays Bank plc 3.750% 5/15/24 57,613 59,902
  Barclays plc 2.750% 11/8/19 12,000 12,171
  Barclays plc 3.650% 3/16/25 25,000 24,716
  BB&T Corp. 4.900% 6/30/17 5,300 5,671
  BB&T Corp. 6.850% 4/30/19 5,714 6,753
  BB&T Corp. 5.250% 11/1/19 12,000 13,467
  BB&T Corp. 3.950% 3/22/22 4,400 4,667
  Bear Stearns Cos. LLC 6.400% 10/2/17 5,500 6,124
  BNP Paribas SA 2.400% 12/12/18 3,150 3,206
  BNP Paribas SA 5.000% 1/15/21 54,350 61,569
  BNP Paribas SA 3.250% 3/3/23 21,235 21,575
  BPCE SA 2.500% 12/10/18 14,875 15,254
  BPCE SA 2.250% 1/27/20 2,000 2,015
  BPCE SA 4.000% 4/15/24 50,690 53,263
  Branch Banking & Trust Co. 2.850% 4/1/21 5,000 5,141
  Capital One Financial Corp. 2.450% 4/24/19 2,450 2,470
  Capital One Financial Corp. 3.750% 4/24/24 3,000 3,090
  Capital One Financial Corp. 3.200% 2/5/25 5,300 5,196
  Capital One NA 1.500% 3/22/18 7,000 6,940
  Capital One NA 2.400% 9/5/19 5,800 5,820
  Capital One NA 2.950% 7/23/21 12,000 12,078
  Citigroup Inc. 6.000% 8/15/17 3,000 3,288
  Citigroup Inc. 6.125% 11/21/17 12,491 13,859
  Citigroup Inc. 6.125% 5/15/18 15,000 16,863
  Citigroup Inc. 8.500% 5/22/19 19,317 23,908
  Citigroup Inc. 5.375% 8/9/20 31,422 35,725
  Citigroup Inc. 4.500% 1/14/22 46,600 50,693
  Citigroup Inc. 3.375% 3/1/23 21,000 21,210
  Citigroup Inc. 3.875% 10/25/23 28,500 29,619
  Citigroup Inc. 3.750% 6/16/24 12,000 12,404
  Citigroup Inc. 3.300% 4/27/25 15,000 14,800
  Citigroup Inc. 5.500% 9/13/25 9,000 10,079
4,7,8Colonial BancGroup Inc. 7.114% 5/29/49 17,340 2
  Commonwealth Bank of Australia 2.500% 9/20/18 8,165 8,404
7 Commonwealth Bank of Australia 5.000% 10/15/19 2,702 3,030
  Commonwealth Bank of Australia 2.300% 3/12/20 3,000 3,024
7 Commonwealth Bank of Australia 5.000% 3/19/20 11,560 13,040
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/19 4,000 4,055
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 2.250% 1/14/20 3,500 3,534
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.500% 1/11/21 5,744 6,399
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.875% 2/8/22 53,100 56,899
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 3.950% 11/9/22 49,880 51,256
  Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 4.625% 12/1/23 68,532 73,731
9 Cooperatieve Centrale Raiffeisen-        
  Boerenleenbank BA 5.250% 9/14/27 4,800 8,305

 

 

7 Credit Agricole SA 4.375% 3/17/25 5,000 4,943
Credit Suisse 2.300% 5/28/19 9,820 9,860
Credit Suisse 4.375% 8/5/20 11,370 12,528
Credit Suisse 3.000% 10/29/21 40,000 40,651
Credit Suisse 3.625% 9/9/24 69,650 71,124
7 Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 20,000 20,001
Deutsche Bank AG 2.500% 2/13/19 4,000 4,059
Deutsche Bank AG 3.700% 5/30/24 34,250 34,755
Discover Bank 7.000% 4/15/20 3,665 4,328
Fifth Third Bank 2.875% 10/1/21 10,000 10,106
First Niagara Financial Group Inc. 6.750% 3/19/20 4,720 5,211
First Niagara Financial Group Inc. 7.250% 12/15/21 14,217 15,817
FirstMerit Corp. 4.350% 2/4/23 9,000 9,459
Goldman Sachs Group Inc. 6.250% 9/1/17 3,000 3,310
Goldman Sachs Group Inc. 2.375% 1/22/18 3,000 3,053
Goldman Sachs Group Inc. 6.150% 4/1/18 2,315 2,593
Goldman Sachs Group Inc. 2.900% 7/19/18 55 57
Goldman Sachs Group Inc. 2.625% 1/31/19 2,240 2,282
Goldman Sachs Group Inc. 7.500% 2/15/19 15,000 17,797
Goldman Sachs Group Inc. 2.550% 10/23/19 2,200 2,226
Goldman Sachs Group Inc. 5.375% 3/15/20 17,155 19,370
Goldman Sachs Group Inc. 2.600% 4/23/20 8,500 8,530
Goldman Sachs Group Inc. 6.000% 6/15/20 14,720 17,059
Goldman Sachs Group Inc. 5.250% 7/27/21 35,387 40,083
Goldman Sachs Group Inc. 5.750% 1/24/22 42,535 49,326
Goldman Sachs Group Inc. 3.625% 1/22/23 13,300 13,675
Goldman Sachs Group Inc. 4.000% 3/3/24 47,290 49,515
Goldman Sachs Group Inc. 3.850% 7/8/24 9,400 9,702
Goldman Sachs Group Inc. 3.500% 1/23/25 8,000 7,994
HSBC Bank USA NA 6.000% 8/9/17 5,055 5,540
HSBC Bank USA NA 4.875% 8/24/20 24,478 27,445
HSBC Holdings plc 5.100% 4/5/21 53,948 61,225
HSBC Holdings plc 4.000% 3/30/22 30,100 32,277
HSBC Holdings plc 4.250% 3/14/24 35,000 36,525
4 HSBC Holdings plc 6.375% 3/29/49 3,870 3,986
4 HSBC Holdings plc 6.375% 12/29/49 715 736
HSBC USA Inc. 2.375% 11/13/19 17,185 17,296
Intesa Sanpaolo SPA 3.875% 1/15/19 10,000 10,506
JPMorgan Chase & Co. 6.125% 6/27/17 3,000 3,278
JPMorgan Chase & Co. 6.000% 1/15/18 6,000 6,687
JPMorgan Chase & Co. 1.800% 1/25/18 8,100 8,148
JPMorgan Chase & Co. 1.625% 5/15/18 3,395 3,397
JPMorgan Chase & Co. 6.300% 4/23/19 10,650 12,285
JPMorgan Chase & Co. 2.200% 10/22/19 6,000 5,994
JPMorgan Chase & Co. 2.250% 1/23/20 7,500 7,482
JPMorgan Chase & Co. 4.950% 3/25/20 21,496 24,026
JPMorgan Chase & Co. 4.400% 7/22/20 18,510 20,233
JPMorgan Chase & Co. 4.250% 10/15/20 20,480 22,213
JPMorgan Chase & Co. 4.625% 5/10/21 22,450 24,815
JPMorgan Chase & Co. 4.350% 8/15/21 14,235 15,587
JPMorgan Chase & Co. 4.500% 1/24/22 25,000 27,331
JPMorgan Chase & Co. 3.250% 9/23/22 23,500 23,825
JPMorgan Chase & Co. 3.200% 1/25/23 15,225 15,278
JPMorgan Chase & Co. 3.875% 2/1/24 22,900 23,947
JPMorgan Chase & Co. 3.625% 5/13/24 14,750 15,158
JPMorgan Chase & Co. 3.125% 1/23/25 9,200 9,075
4 JPMorgan Chase & Co. 5.300% 12/29/49 9,160 9,171
JPMorgan Chase Bank NA 6.000% 7/5/17 6,500 7,120

 

 

  JPMorgan Chase Bank NA 6.000% 10/1/17 10,380 11,483
  KeyBank NA 1.650% 2/1/18 4,000 4,013
4,7 LBG Capital No.1 plc 8.000% 12/29/49 5,100 5,559
10 Leeds Building Society 2.625% 4/1/21 5,277 6,370
  Lloyds Bank plc 6.375% 1/21/21 16,892 20,351
7 Macquarie Bank Ltd. 2.400% 1/21/20 7,765 7,840
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 8,555 9,631
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 5,758 5,838
  Manufacturers & Traders Trust Co. 2.900% 2/6/25 22,400 21,916
7 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 20,000 20,225
  Morgan Stanley 5.950% 12/28/17 2,000 2,216
  Morgan Stanley 6.625% 4/1/18 5,700 6,455
  Morgan Stanley 7.300% 5/13/19 5,000 5,937
  Morgan Stanley 5.625% 9/23/19 20,500 23,221
  Morgan Stanley 5.500% 1/26/20 16,035 18,178
  Morgan Stanley 2.650% 1/27/20 4,300 4,343
  Morgan Stanley 5.500% 7/24/20 12,000 13,754
  Morgan Stanley 5.750% 1/25/21 24,000 27,767
  Morgan Stanley 5.500% 7/28/21 26,800 30,820
  Morgan Stanley 3.750% 2/25/23 26,000 26,819
  Morgan Stanley 3.875% 4/29/24 35,900 36,989
  MUFG Americas Holdings Corp. 3.500% 6/18/22 21,891 22,674
  MUFG Americas Holdings Corp. 3.000% 2/10/25 10,000 9,711
  MUFG Union Bank NA 5.950% 5/11/16 1,131 1,186
  MUFG Union Bank NA 2.125% 6/16/17 3,695 3,754
  National Australia Bank Ltd. 3.000% 1/20/23 14,320 14,488
7 Nationwide Building Society 2.350% 1/21/20 14,215 14,269
  Northern Trust Co. 5.850% 11/9/17 7,280 8,106
  Northern Trust Co. 6.500% 8/15/18 4,000 4,616
  Northern Trust Corp. 3.450% 11/4/20 500 534
  Northern Trust Corp. 3.375% 8/23/21 13,036 13,865
  People's United Financial Inc. 3.650% 12/6/22 11,405 11,511
  PNC Bank NA 6.000% 12/7/17 4,500 4,975
  PNC Bank NA 6.875% 4/1/18 12,085 13,830
  PNC Bank NA 2.200% 1/28/19 4,630 4,674
  PNC Bank NA 2.400% 10/18/19 10,000 10,155
  PNC Bank NA 2.700% 11/1/22 41,080 40,670
  PNC Bank NA 2.950% 1/30/23 15,000 14,919
  PNC Bank NA 3.800% 7/25/23 15,750 16,557
  PNC Bank NA 3.300% 10/30/24 19,634 20,185
  PNC Bank NA 2.950% 2/23/25 16,680 16,527
  PNC Financial Services Group Inc. 2.854% 11/9/22 12,493 12,506
  PNC Funding Corp. 6.700% 6/10/19 12,000 14,221
  PNC Funding Corp. 5.125% 2/8/20 21,243 24,154
  PNC Funding Corp. 4.375% 8/11/20 23,000 25,445
  PNC Funding Corp. 3.300% 3/8/22 14,570 15,197
  Regions Bank 7.500% 5/15/18 1,732 2,003
  Regions Financial Corp. 2.000% 5/15/18 2,000 1,991
  Royal Bank of Scotland plc 5.625% 8/24/20 30,626 35,328
  Royal Bank of Scotland plc 6.125% 1/11/21 14,500 17,181
  Santander Bank NA 8.750% 5/30/18 5,000 5,852
  State Street Corp. 1.350% 5/15/18 3,000 2,992
  State Street Corp. 4.375% 3/7/21 10,740 12,017
  State Street Corp. 3.100% 5/15/23 15,025 15,122
  State Street Corp. 3.700% 11/20/23 32,620 34,559
  State Street Corp. 3.300% 12/16/24 27,435 27,959
  Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 3,000 3,050
  Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 8,160 8,723

 

 

  Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 5,000 5,107
  SunTrust Bank 2.750% 5/1/23 16,661 16,380
  Svenska Handelsbanken AB 2.500% 1/25/19 2,895 2,964
7 Swedbank AB 2.200% 3/4/20 13,200 13,216
  Synchrony Financial 2.700% 2/3/20 8,550 8,559
  Synchrony Financial 3.750% 8/15/21 27,100 27,949
  Toronto-Dominion Bank 2.250% 11/5/19 25,705 26,087
  UBS AG 2.375% 8/14/19 4,340 4,370
  UBS AG 4.875% 8/4/20 37,600 42,390
  US Bancorp 4.125% 5/24/21 28,055 30,842
  US Bancorp 3.000% 3/15/22 23,724 24,273
  US Bancorp 2.950% 7/15/22 35,200 35,315
  US Bancorp 3.700% 1/30/24 18,500 19,695
  US Bancorp 3.600% 9/11/24 14,800 15,337
  US Bank NA 2.125% 10/28/19 4,441 4,489
5 US Bank NA 2.282% 4/29/20 6,395 6,396
  US Bank NA 2.800% 1/27/25 14,400 14,220
  Wachovia Bank NA 6.000% 11/15/17 8,000 8,899
  Wachovia Corp. 5.625% 10/15/16 8,000 8,520
  Wachovia Corp. 5.750% 6/15/17 4,280 4,690
  Wachovia Corp. 5.750% 2/1/18 11,025 12,295
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 12,617
  Wells Fargo & Co. 2.150% 1/15/19 18,636 18,852
  Wells Fargo & Co. 2.150% 1/30/20 5,900 5,893
  Wells Fargo & Co. 4.600% 4/1/21 26,843 29,913
  Wells Fargo & Co. 3.500% 3/8/22 23,772 24,878
  Wells Fargo & Co. 3.450% 2/13/23 36,700 37,303
  Wells Fargo & Co. 4.125% 8/15/23 19,750 20,982
  Wells Fargo & Co. 3.300% 9/9/24 41,525 42,062
  Wells Fargo & Co. 3.000% 2/19/25 10,180 10,002
4 Wells Fargo & Co. 5.900% 12/29/49 2,390 2,504
  Westpac Banking Corp. 1.600% 1/12/18 3,390 3,412
  Westpac Banking Corp. 2.250% 7/30/18 9,010 9,207
  Westpac Banking Corp. 4.875% 11/19/19 10,795 12,103
 
  Brokerage (1.8%)        
  Affiliated Managers Group Inc. 4.250% 2/15/24 10,000 10,571
  Ameriprise Financial Inc. 7.300% 6/28/19 6,200 7,464
  Ameriprise Financial Inc. 5.300% 3/15/20 9,570 11,009
  Ameriprise Financial Inc. 4.000% 10/15/23 10,819 11,630
  Ameriprise Financial Inc. 3.700% 10/15/24 26,500 27,974
  BlackRock Inc. 4.250% 5/24/21 4,250 4,740
  BlackRock Inc. 3.375% 6/1/22 12,000 12,622
  BlackRock Inc. 3.500% 3/18/24 20,000 20,950
10 BlackRock Inc. 1.250% 5/6/25 2,500 2,755
  Charles Schwab Corp. 4.450% 7/22/20 6,500 7,276
  Charles Schwab Corp. 3.225% 9/1/22 11,150 11,447
  CME Group Inc. 3.000% 3/15/25 13,500 13,513
  Franklin Resources Inc. 4.625% 5/20/20 7,550 8,433
  Franklin Resources Inc. 2.800% 9/15/22 11,000 11,118
  Franklin Resources Inc. 2.850% 3/30/25 8,000 7,953
  Intercontinental Exchange Inc. 4.000% 10/15/23 34,330 36,903

 

 

Invesco Finance plc 3.125% 11/30/22 30,485 30,785
Invesco Finance plc 4.000% 1/30/24 21,300 22,541
Jefferies Group LLC 6.875% 4/15/21 8,000 9,236
Jefferies Group LLC 5.125% 1/20/23 5,000 5,179
Legg Mason Inc. 3.950% 7/15/24 5,000 5,164
8 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
Nomura Holdings Inc. 2.750% 3/19/19 9,950 10,147
NYSE Euronext 2.000% 10/5/17 8,000 8,108
TD Ameritrade Holding Corp. 2.950% 4/1/22 16,715 16,914
TD Ameritrade Holding Corp. 3.625% 4/1/25 11,400 11,849
7 TIAA Asset Management Finance Co. LLC 4.125% 11/1/24 30,000 31,456
 
Finance Companies (1.8%)        
Air Lease Corp. 3.375% 1/15/19 8,000 8,220
Air Lease Corp. 3.875% 4/1/21 6,000 6,195
Air Lease Corp. 4.250% 9/15/24 9,000 9,270
General Electric Capital Corp. 2.300% 4/27/17 2,000 2,054
General Electric Capital Corp. 5.625% 9/15/17 6,192 6,837
General Electric Capital Corp. 5.625% 5/1/18 12,975 14,591
General Electric Capital Corp. 6.000% 8/7/19 12,900 15,078
General Electric Capital Corp. 5.500% 1/8/20 20,772 24,046
General Electric Capital Corp. 2.200% 1/9/20 9,900 10,048
General Electric Capital Corp. 5.550% 5/4/20 8,200 9,538
General Electric Capital Corp. 4.375% 9/16/20 33,650 37,433
General Electric Capital Corp. 4.625% 1/7/21 13,492 15,178
General Electric Capital Corp. 5.300% 2/11/21 13,500 15,593
General Electric Capital Corp. 4.650% 10/17/21 35,847 40,906
General Electric Capital Corp. 3.150% 9/7/22 13,645 14,219
General Electric Capital Corp. 3.100% 1/9/23 22,700 23,503
General Electric Capital Corp. 3.450% 5/15/24 8,455 8,968
4 General Electric Capital Corp. 6.375% 11/15/67 7,000 7,630
HSBC Finance Corp. 6.676% 1/15/21 63,939 75,478
7 Peachtree Corners Funding Trust 3.976% 2/15/25 15,000 15,203
 
Insurance (4.3%)        
ACE INA Holdings Inc. 2.700% 3/13/23 7,695 7,647
ACE INA Holdings Inc. 3.350% 5/15/24 20,000 20,728
ACE INA Holdings Inc. 3.150% 3/15/25 14,000 14,227
Aetna Inc. 2.750% 11/15/22 24,000 23,986
Aetna Inc. 3.500% 11/15/24 15,000 15,431
Aflac Inc. 4.000% 2/15/22 2,000 2,155
Aflac Inc. 3.625% 6/15/23 16,000 16,893
Aflac Inc. 3.625% 11/15/24 15,000 15,534
7 AIA Group Ltd. 3.200% 3/11/25 12,000 12,011
Alleghany Corp. 4.950% 6/27/22 2,586 2,849
Allied World Assurance Co. Ltd. 5.500% 11/15/20 2,000 2,257
Allstate Corp. 3.150% 6/15/23 1,000 1,028
4 Allstate Corp. 5.750% 8/15/53 5,000 5,437
Alterra Finance LLC 6.250% 9/30/20 8,000 9,360
American Financial Group Inc. 9.875% 6/15/19 10,000 12,696
American International Group Inc. 5.850% 1/16/18 7,174 7,988
American International Group Inc. 3.375% 8/15/20 3,000 3,156
American International Group Inc. 6.400% 12/15/20 5,300 6,377
American International Group Inc. 4.875% 6/1/22 16,650 18,808
American International Group Inc. 3.875% 1/15/35 1,880 1,837
Anthem Inc. 4.350% 8/15/20 2,000 2,202
Anthem Inc. 3.700% 8/15/21 3,090 3,261
Aspen Insurance Holdings Ltd. 4.650% 11/15/23 5,500 5,777

 

 

  Axis Specialty Finance LLC 5.875% 6/1/20 25,240 28,777
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 20,202 22,699
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 2,000 2,225
  Berkshire Hathaway Finance Corp. 3.000% 5/15/22 4,360 4,511
  Berkshire Hathaway Inc. 3.750% 8/15/21 11,500 12,586
  Berkshire Hathaway Inc. 3.400% 1/31/22 12,706 13,508
10 Berkshire Hathaway Inc. 0.750% 3/16/23 8,000 8,842
10 Berkshire Hathaway Inc. 1.125% 3/16/27 8,300 9,047
  Brown & Brown Inc. 4.200% 9/15/24 15,000 15,257
4 Chubb Corp. 6.375% 3/29/67 4,900 5,200
  CNA Financial Corp. 5.875% 8/15/20 5,000 5,767
  CNA Financial Corp. 3.950% 5/15/24 2,000 2,055
  Coventry Health Care Inc. 5.450% 6/15/21 8,500 9,842
  First American Financial Corp. 4.600% 11/15/24 12,000 12,422
  Hartford Financial Services Group Inc. 5.125% 4/15/22 2,880 3,257
  Infinity Property & Casualty Corp. 5.000% 9/19/22 10,547 11,390
7 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,725
  Kemper Corp. 4.350% 2/15/25 15,000 15,180
  Loews Corp. 2.625% 5/15/23 8,000 7,833
  Manulife Financial Corp. 4.900% 9/17/20 24,150 26,898
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 5,275 5,303
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 4,850 5,446
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 8,000 8,513
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 15,280 15,652
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 12,000 12,293
7 MassMutual Global Funding II 2.500% 10/17/22 10,500 10,332
  MetLife Inc. 4.750% 2/8/21 17,000 19,181
  MetLife Inc. 3.048% 12/15/22 17,000 17,301
  MetLife Inc. 4.368% 9/15/23 38,430 42,398
  MetLife Inc. 3.600% 4/10/24 28,005 29,204
  MetLife Inc. 3.000% 3/1/25 18,500 18,361
7 New York Life Global Funding 1.950% 2/11/20 6,595 6,582
  OneBeacon US Holdings Inc. 4.600% 11/9/22 7,269 7,598
  PartnerRe Finance A LLC 6.875% 6/1/18 3,857 4,386
  PartnerRe Finance B LLC 5.500% 6/1/20 16,550 18,729
  Principal Financial Group Inc. 8.875% 5/15/19 11,195 13,970
7 Principal Life Global Funding II 2.200% 4/8/20 10,650 10,687
4 Progressive Corp. 6.700% 6/15/67 6,500 6,841
  Prudential Financial Inc. 2.350% 8/15/19 1,950 1,969
4 Prudential Financial Inc. 5.875% 9/15/42 6,000 6,547
4 Prudential Financial Inc. 5.625% 6/15/43 7,875 8,407
4 Prudential Financial Inc. 5.200% 3/15/44 2,500 2,575
  Reinsurance Group of America Inc. 5.000% 6/1/21 5,000 5,570
  Reinsurance Group of America Inc. 4.700% 9/15/23 3,000 3,277
7 Reliance Standard Life Global Funding II 2.500% 1/15/20 19,115 19,204
7 Reliance Standard Life Global Funding II 2.375% 5/4/20 6,710 6,660
  Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 12,814
7 Swiss Re Treasury US Corp. 2.875% 12/6/22 2,000 1,995
  Torchmark Corp. 9.250% 6/15/19 3,000 3,772
  Trinity Acquisition plc 4.625% 8/15/23 3,000 3,146
  UnitedHealth Group Inc. 2.300% 12/15/19 10,000 10,174
  UnitedHealth Group Inc. 3.875% 10/15/20 14,000 15,224
  UnitedHealth Group Inc. 4.700% 2/15/21 13,000 14,690
  UnitedHealth Group Inc. 2.875% 12/15/21 10,000 10,197
  UnitedHealth Group Inc. 2.875% 3/15/22 16,816 17,127
  UnitedHealth Group Inc. 2.750% 2/15/23 12,000 12,018
  UnitedHealth Group Inc. 2.875% 3/15/23 9,000 9,099

 

 

WR Berkley Corp. 4.625% 3/15/22 2,977 3,197
 
Real Estate Investment Trusts (2.3%)        
Alexandria Real Estate Equities Inc. 4.500% 7/30/29 6,465 6,700
American Campus Communities Operating        
Partnership LP 3.750% 4/15/23 2,000 2,025
BioMed Realty LP 4.250% 7/15/22 3,082 3,210
Boston Properties LP 3.125% 9/1/23 2,654 2,661
Boston Properties LP 3.800% 2/1/24 3,375 3,529
Brandywine Operating Partnership LP 4.100% 10/1/24 17,000 17,160
Brixmor Operating Partnership LP 3.850% 2/1/25 7,000 7,012
Columbia Property Trust Operating        
Partnership LP 4.150% 4/1/25 15,000 15,368
Corporate Office Properties LP 3.600% 5/15/23 4,525 4,360
CubeSmart LP 4.375% 12/15/23 725 776
DDR Corp. 7.500% 4/1/17 1,750 1,937
DDR Corp. 3.375% 5/15/23 7,000 6,959
DDR Corp. 3.625% 2/1/25 10,000 9,923
Digital Realty Trust LP 5.250% 3/15/21 12,225 13,524
Duke Realty LP 6.500% 1/15/18 5 6
Duke Realty LP 3.875% 2/15/21 11,530 12,152
Essex Portfolio LP 3.500% 4/1/25 5,000 5,004
Federal Realty Investment Trust 3.000% 8/1/22 16,499 16,596
Federal Realty Investment Trust 3.950% 1/15/24 3,700 3,935
7 Goodman Funding Pty Ltd. 6.375% 4/15/21 3,650 4,258
7 Goodman Funding Pty Ltd. 6.000% 3/22/22 8,155 9,307
HCP Inc. 2.625% 2/1/20 7,000 7,040
HCP Inc. 5.375% 2/1/21 11,600 13,059
Health Care REIT Inc. 6.125% 4/15/20 5,000 5,804
Health Care REIT Inc. 4.950% 1/15/21 8,000 8,871
Health Care REIT Inc. 3.750% 3/15/23 5,000 5,141
Health Care REIT Inc. 4.500% 1/15/24 7,000 7,500
Healthcare Realty Trust Inc. 5.750% 1/15/21 5,000 5,644
Healthcare Realty Trust Inc. 3.750% 4/15/23 13,000 12,921
Healthcare Realty Trust Inc. 3.875% 5/1/25 7,000 6,946
Healthcare Trust of America Holdings LP 3.375% 7/15/21 2,000 2,023
Healthcare Trust of America Holdings LP 3.700% 4/15/23 13,030 12,995
Highwoods Realty LP 3.200% 6/15/21 6,000 6,088
Liberty Property LP 4.750% 10/1/20 9,565 10,427
Liberty Property LP 4.400% 2/15/24 4,000 4,224
Mid-America Apartments LP 4.300% 10/15/23 2,000 2,121
National Retail Properties Inc. 3.900% 6/15/24 11,000 11,333
Omega Healthcare Investors Inc. 4.950% 4/1/24 19,000 19,950
7 Omega Healthcare Investors Inc. 4.500% 4/1/27 10,000 9,800
ProLogis LP 4.250% 8/15/23 5,000 5,342
Realty Income Corp. 4.650% 8/1/23 6,000 6,531
Retail Properties of America Inc. 4.000% 3/15/25 10,000 9,992
Senior Housing Properties Trust 6.750% 12/15/21 4,000 4,632
Simon Property Group LP 5.650% 2/1/20 21,200 24,542
Simon Property Group LP 4.375% 3/1/21 18,394 20,299
Simon Property Group LP 4.125% 12/1/21 20,822 22,762
Simon Property Group LP 3.375% 3/15/22 7,000 7,246
Simon Property Group LP 2.750% 2/1/23 7,500 7,408
Simon Property Group LP 3.750% 2/1/24 30,500 32,129
Simon Property Group LP 3.375% 10/1/24 4,000 4,099
UDR Inc. 4.625% 1/10/22 3,455 3,747
Ventas Realty LP 3.750% 5/1/24 10,000 10,239

 

 

          5,852,428
Industrial (39.4%)        
  Basic Industry (2.6%)        
  Agrium Inc. 3.150% 10/1/22 3,908 3,919
  Agrium Inc. 3.500% 6/1/23 15,000 15,276
  Agrium Inc. 3.375% 3/15/25 5,000 4,973
  Air Products & Chemicals Inc. 3.000% 11/3/21 5,390 5,589
  Air Products & Chemicals Inc. 3.350% 7/31/24 7,000 7,254
  Airgas Inc. 2.375% 2/15/20 3,725 3,732
  Airgas Inc. 3.650% 7/15/24 3,500 3,594
  Barrick Gold Corp. 3.850% 4/1/22 5,500 5,425
  Barrick North America Finance LLC 4.400% 5/30/21 5,430 5,614
9 BHP Billiton Finance Ltd. 3.250% 9/25/24 7,000 11,090
  BHP Billiton Finance USA Ltd. 3.250% 11/21/21 18,030 18,810
  BHP Billiton Finance USA Ltd. 2.875% 2/24/22 17,750 17,965
  BHP Billiton Finance USA Ltd. 3.850% 9/30/23 26,800 28,442
  Celulosa Arauco y Constitucion SA 5.000% 1/21/21 3,500 3,723
  Celulosa Arauco y Constitucion SA 4.750% 1/11/22 4,000 4,220
  CF Industries Inc. 7.125% 5/1/20 3,480 4,202
  CF Industries Inc. 3.450% 6/1/23 5,685 5,717
  Dow Chemical Co. 3.500% 10/1/24 7,000 7,085
  Eastman Chemical Co. 4.500% 1/15/21 8,139 8,865
  Eastman Chemical Co. 3.800% 3/15/25 3,000 3,098
  EI du Pont de Nemours & Co. 3.625% 1/15/21 13,635 14,628
  EI du Pont de Nemours & Co. 4.250% 4/1/21 967 1,065
  EI du Pont de Nemours & Co. 2.800% 2/15/23 18,225 18,239
  Freeport-McMoRan Inc. 3.550% 3/1/22 13,000 12,252
  Freeport-McMoRan Inc. 3.875% 3/15/23 10,000 9,344
7 Glencore Funding LLC 4.125% 5/30/23 5,000 5,036
  Goldcorp Inc. 3.700% 3/15/23 4,000 3,941
  LyondellBasell Industries NV 5.000% 4/15/19 8,000 8,807
  LyondellBasell Industries NV 6.000% 11/15/21 5,000 5,863
  LyondellBasell Industries NV 5.750% 4/15/24 7,340 8,682
  Monsanto Co. 2.125% 7/15/19 7,397 7,465
  Monsanto Co. 2.750% 7/15/21 10,000 10,186
  Monsanto Co. 3.375% 7/15/24 15,000 15,450
  Monsanto Co. 2.850% 4/15/25 6,000 5,913
  Newmont Mining Corp. 3.500% 3/15/22 4,000 3,943
  Packaging Corp. of America 3.650% 9/15/24 7,000 7,056
  Plains Exploration & Production Co. 6.500% 11/15/20 5,863 6,229
  Plains Exploration & Production Co. 6.750% 2/1/22 4,870 5,211
  Plains Exploration & Production Co. 6.875% 2/15/23 9,148 9,834
  Potash Corp. of Saskatchewan Inc. 3.625% 3/15/24 19,455 20,335
  Potash Corp. of Saskatchewan Inc. 3.000% 4/1/25 9,000 8,932
  PPG Industries Inc. 3.600% 11/15/20 3,740 3,962
10 PPG Industries Inc. 0.875% 3/13/22 4,957 5,518
10 PPG Industries Inc. 1.400% 3/13/27 3,800 4,186
  Praxair Inc. 4.050% 3/15/21 8,000 8,826
  Praxair Inc. 3.000% 9/1/21 16,915 17,583
  Praxair Inc. 2.450% 2/15/22 8,215 8,180
  Praxair Inc. 2.650% 2/5/25 2,865 2,822
10 Praxair Inc. 1.625% 12/1/25 8,000 9,288
  Rio Tinto Finance USA Ltd. 9.000% 5/1/19 3,000 3,765
  Rio Tinto Finance USA Ltd. 3.500% 11/2/20 11,500 12,115
  Rio Tinto Finance USA Ltd. 4.125% 5/20/21 12,935 13,894
  Rio Tinto Finance USA Ltd. 3.750% 9/20/21 18,820 19,824
  Rio Tinto Finance USA plc 3.500% 3/22/22 11,000 11,340

 

 

Rio Tinto Finance USA plc 2.875% 8/21/22 5,000 4,956
Southern Copper Corp. 3.875% 4/23/25 7,000 6,969
Syngenta Finance NV 3.125% 3/28/22 8,895 9,025
Teck Resources Ltd. 3.000% 3/1/19 2,000 1,995
Teck Resources Ltd. 4.500% 1/15/21 2,000 2,050
Vale Overseas Ltd. 5.625% 9/15/19 6,000 6,428
Vale Overseas Ltd. 4.625% 9/15/20 5,000 5,136
Vale Overseas Ltd. 4.375% 1/11/22 10,500 10,177
 
Capital Goods (3.9%)        
ABB Finance USA Inc. 2.875% 5/8/22 5,000 5,066
7 ABB Treasury Center USA Inc. 4.000% 6/15/21 7,000 7,648
Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 11,235
7 Airbus Group Finance BV 2.700% 4/17/23 18,000 17,950
7 BAE Systems Holdings Inc. 3.800% 10/7/24 15,000 15,685
Boeing Co. 4.875% 2/15/20 10,580 12,102
Boeing Co. 7.950% 8/15/24 17,489 24,629
Boeing Co. 2.850% 10/30/24 5,000 5,092
9 Bouygues SA 5.500% 10/6/26 8,750 16,326
Caterpillar Financial Services Corp. 3.750% 11/24/23 14,000 14,974
Caterpillar Financial Services Corp. 3.250% 12/1/24 10,000 10,266
Caterpillar Inc. 3.400% 5/15/24 18,000 18,799
Crane Co. 4.450% 12/15/23 2,000 2,150
Danaher Corp. 5.400% 3/1/19 2,535 2,869
Danaher Corp. 3.900% 6/23/21 22,957 25,095
Deere & Co. 4.375% 10/16/19 11,850 13,141
Deere & Co. 2.600% 6/8/22 29,800 29,841
Dover Corp. 4.300% 3/1/21 7,000 7,741
7 Embraer Overseas Ltd. 5.696% 9/16/23 7,025 7,535
Embraer SA 5.150% 6/15/22 8,000 8,453
Emerson Electric Co. 2.625% 2/15/23 24,700 24,659
Flowserve Corp. 3.500% 9/15/22 5,000 5,055
General Dynamics Corp. 3.875% 7/15/21 17,155 18,712
General Dynamics Corp. 2.250% 11/15/22 21,925 21,391
General Electric Co. 2.700% 10/9/22 47,000 47,510
General Electric Co. 3.375% 3/11/24 10,425 10,985
Harsco Corp. 5.750% 5/15/18 7,065 7,352
Harris Corp. 2.700% 4/27/20 2,680 2,693
Harris Corp. 3.832% 4/27/25 10,000 10,027
Honeywell International Inc. 3.350% 12/1/23 21,590 22,744
Huntington Ingalls Industries Inc. 7.125% 3/15/21 7,320 7,823
Illinois Tool Works Inc. 6.250% 4/1/19 9,950 11,533
Ingersoll-Rand Luxembourg Finance SA 3.550% 11/1/24 5,000 5,001
John Deere Capital Corp. 2.000% 1/13/17 9,500 9,694
John Deere Capital Corp. 1.200% 10/10/17 1,250 1,253
John Deere Capital Corp. 5.350% 4/3/18 3,000 3,348
John Deere Capital Corp. 5.750% 9/10/18 8,000 9,112
John Deere Capital Corp. 1.700% 1/15/20 7,000 6,920
John Deere Capital Corp. 2.800% 3/4/21 7,005 7,203
John Deere Capital Corp. 3.150% 10/15/21 8,050 8,421
John Deere Capital Corp. 2.750% 3/15/22 12,800 12,993
John Deere Capital Corp. 2.800% 1/27/23 4,000 4,011
John Deere Capital Corp. 3.350% 6/12/24 10,000 10,448
L-3 Communications Corp. 5.200% 10/15/19 8,500 9,420
L-3 Communications Corp. 4.750% 7/15/20 4,000 4,321
L-3 Communications Corp. 3.950% 5/28/24 2,000 2,029
Lockheed Martin Corp. 3.350% 9/15/21 28,523 30,139
Lockheed Martin Corp. 2.900% 3/1/25 10,000 9,967

 

 

  Mohawk Industries Inc. 3.850% 2/1/23 15,000 15,272
  Owens Corning 6.500% 12/1/16 121 129
  Owens Corning 9.000% 6/15/19 195 236
  Parker Hannifin Corp. 3.500% 9/15/22 4,885 5,165
  Parker-Hannifin Corp. 3.300% 11/21/24 20,015 20,782
  Precision Castparts Corp. 2.500% 1/15/23 22,000 21,562
  Raytheon Co. 2.500% 12/15/22 30,000 29,879
  Rockwell Collins Inc. 3.100% 11/15/21 9,000 9,376
  Rockwell Collins Inc. 3.700% 12/15/23 2,300 2,441
  Roper Industries Inc. 2.050% 10/1/18 3,175 3,197
  Roper Industries Inc. 6.250% 9/1/19 2,700 3,119
  Roper Industries Inc. 3.125% 11/15/22 3,000 2,977
7 Schneider Electric SE 2.950% 9/27/22 20,425 20,630
  Stanley Black & Decker Inc. 2.900% 11/1/22 7,000 7,085
  Textron Inc. 3.875% 3/1/25 7,000 7,182
10 Tyco International Finance SA 1.375% 2/25/25 8,125 9,048
  United Rentals North America Inc. 4.625% 7/15/23 5,285 5,371
  United Technologies Corp. 3.100% 6/1/22 24,000 24,867
 
  Communication (4.1%)        
  21st Century Fox America Inc. 6.900% 3/1/19 7,000 8,269
  America Movil SAB de CV 5.000% 10/16/19 12,000 13,513
  America Movil SAB de CV 5.000% 3/30/20 18,500 20,947
  America Movil SAB de CV 3.125% 7/16/22 32,300 32,792
  American Tower Corp. 4.500% 1/15/18 10,000 10,703
  American Tower Corp. 3.450% 9/15/21 15,565 15,762
  AT&T Inc. 5.500% 2/1/18 6,085 6,700
  AT&T Inc. 2.450% 6/30/20 6,000 5,993
  AT&T Inc. 4.450% 5/15/21 21,500 23,375
  AT&T Inc. 3.875% 8/15/21 7,329 7,734
  AT&T Inc. 3.000% 2/15/22 2,396 2,395
10 AT&T Inc. 1.300% 9/5/23 8,000 8,918
  AT&T Inc. 3.400% 5/15/25 10,000 9,884
  British Telecommunications plc 2.350% 2/14/19 6,000 6,104
  CBS Corp. 4.300% 2/15/21 3,000 3,239
  CBS Corp. 3.700% 8/15/24 6,000 6,123
  CC Holdings GS V LLC / Crown Castle GS III        
  Corp. 3.849% 4/15/23 5,685 5,747
  Comcast Cable Communications Holdings        
  Inc. 9.455% 11/15/22 9,966 14,398
  Comcast Corp. 5.150% 3/1/20 16,288 18,639
  Comcast Corp. 3.125% 7/15/22 25,126 25,955
  Comcast Corp. 2.850% 1/15/23 9,487 9,612
  Comcast Corp. 3.600% 3/1/24 25,000 26,616
  Comcast Corp. 3.375% 2/15/25 11,790 12,153
9 Deutsche Telekom International Finance BV 6.500% 4/8/22 3,000 5,736
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 5.200% 3/15/20 7,500 8,442
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 4.600% 2/15/21 9,375 10,157
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 5.000% 3/1/21 10,637 11,787
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 3.800% 3/15/22 13,800 14,290
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 4.450% 4/1/24 8,000 8,458
  DIRECTV Holdings LLC / DIRECTV Financing        
  Co. Inc. 3.950% 1/15/25 6,000 6,107

 

 

Interpublic Group of Cos. Inc. 3.750% 2/15/23 6,000 6,163
Moody's Corp. 4.500% 9/1/22 16,700 18,108
NBCUniversal Media LLC 5.150% 4/30/20 28,060 32,128
NBCUniversal Media LLC 4.375% 4/1/21 34,710 38,535
NBCUniversal Media LLC 2.875% 1/15/23 18,000 18,169
Omnicom Group Inc. 4.450% 8/15/20 10,427 11,418
Omnicom Group Inc. 3.625% 5/1/22 14,163 14,791
Omnicom Group Inc. 3.650% 11/1/24 6,000 6,170
Orange SA 2.750% 2/6/19 6,200 6,389
Orange SA 4.125% 9/14/21 6,400 6,973
Qwest Corp. 6.750% 12/1/21 12,628 14,441
Rogers Communications Inc. 4.100% 10/1/23 3,000 3,177
Telefonica Emisiones SAU 5.877% 7/15/19 9,000 10,302
Telefonica Emisiones SAU 5.134% 4/27/20 13,000 14,539
Telefonica Emisiones SAU 4.570% 4/27/23 7,205 7,869
Thomson Reuters Corp. 4.300% 11/23/23 12,000 12,852
Time Warner Cable Inc. 6.750% 7/1/18 6,000 6,690
Time Warner Cable Inc. 8.250% 4/1/19 4,500 5,284
Time Warner Cable Inc. 5.000% 2/1/20 4,363 4,610
Time Warner Cable Inc. 4.000% 9/1/21 5,000 4,999
Time Warner Entertainment Co. LP 8.375% 3/15/23 4,000 4,930
Time Warner Inc. 4.750% 3/29/21 4,500 4,991
Time Warner Inc. 4.000% 1/15/22 5,000 5,295
Verizon Communications Inc. 3.650% 9/14/18 10,000 10,602
Verizon Communications Inc. 6.350% 4/1/19 8,806 10,204
Verizon Communications Inc. 2.625% 2/21/20 7,000 7,095
Verizon Communications Inc. 4.500% 9/15/20 17,000 18,629
Verizon Communications Inc. 3.450% 3/15/21 13,000 13,608
Verizon Communications Inc. 4.600% 4/1/21 18,000 19,840
Verizon Communications Inc. 3.000% 11/1/21 7,000 7,081
Verizon Communications Inc. 3.500% 11/1/21 15,971 16,626
Verizon Communications Inc. 2.450% 11/1/22 9,200 8,876
Verizon Communications Inc. 5.150% 9/15/23 23,000 26,016
Verizon Communications Inc. 3.500% 11/1/24 3,000 3,034
Viacom Inc. 3.125% 6/15/22 4,365 4,274
Viacom Inc. 3.875% 4/1/24 3,000 3,031
Vodafone Group plc 1.500% 2/19/18 3,750 3,750
Vodafone Group plc 4.375% 3/16/21 4,500 4,959
Vodafone Group plc 2.500% 9/26/22 3,885 3,750
Vodafone Group plc 2.950% 2/19/23 2,000 1,956
Walt Disney Co. 2.550% 2/15/22 3,000 3,015
Walt Disney Co. 2.350% 12/1/22 10,000 9,939
WPP Finance 2010 4.750% 11/21/21 5,000 5,631
WPP Finance 2010 3.625% 9/7/22 3,172 3,310
WPP Finance 2010 3.750% 9/19/24 5,000 5,193
 
Consumer Cyclical (4.9%)        
7 Alibaba Group Holding Ltd. 2.500% 11/28/19 5,130 5,123
7 Alibaba Group Holding Ltd. 3.125% 11/28/21 27,760 27,786
7 Alibaba Group Holding Ltd. 3.600% 11/28/24 39,665 39,510
Amazon.com Inc. 3.300% 12/5/21 11,000 11,406
Amazon.com Inc. 3.800% 12/5/24 11,000 11,450
American Honda Finance Corp. 2.125% 10/10/18 7,500 7,637
AutoZone Inc. 3.700% 4/15/22 15,915 16,569
AutoZone Inc. 2.875% 1/15/23 8,500 8,330
Brinker International Inc. 3.875% 5/15/23 13,000 12,952
Costco Wholesale Corp. 2.250% 2/15/22 6,880 6,820
Cummins Inc. 3.650% 10/1/23 7,500 7,981

 

 

  CVS Health Corp. 3.375% 8/12/24 5,000 5,151
7 Daimler Finance North America LLC 1.650% 3/2/18 5,130 5,160
7 Daimler Finance North America LLC 2.250% 3/2/20 5,130 5,138
7 Daimler Finance North America LLC 2.875% 3/10/21 11,605 11,939
7 Daimler Finance North America LLC 3.875% 9/15/21 3,506 3,785
7 Daimler Finance North America LLC 3.250% 8/1/24 6,500 6,737
  Dollar General Corp. 3.250% 4/15/23 4,500 4,383
  eBay Inc. 2.875% 8/1/21 8,385 8,433
  eBay Inc. 2.600% 7/15/22 10,000 9,549
  eBay Inc. 3.450% 8/1/24 12,885 12,735
  Expedia Inc. 4.500% 8/15/24 7,000 7,133
  Ford Motor Credit Co. LLC 3.000% 6/12/17 5,250 5,397
  Ford Motor Credit Co. LLC 6.625% 8/15/17 13,056 14,487
  Ford Motor Credit Co. LLC 5.000% 5/15/18 17,348 18,888
  Ford Motor Credit Co. LLC 8.125% 1/15/20 5,500 6,842
  Ford Motor Credit Co. LLC 5.750% 2/1/21 19,545 22,565
  Ford Motor Credit Co. LLC 5.875% 8/2/21 18,000 20,987
  Ford Motor Credit Co. LLC 3.219% 1/9/22 5,000 5,066
  Ford Motor Credit Co. LLC 4.375% 8/6/23 5,000 5,352
  Gap Inc. 5.950% 4/12/21 5,000 5,754
  General Motors Financial Co. Inc. 3.500% 7/10/19 6,000 6,150
  General Motors Financial Co. Inc. 3.450% 4/10/22 5,000 4,963
  General Motors Financial Co. Inc. 4.250% 5/15/23 10,000 10,300
7 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 3,618 3,721
7 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 3,945 3,969
7 Harley-Davidson Funding Corp. 6.800% 6/15/18 12,380 14,307
  Home Depot Inc. 2.700% 4/1/23 14,625 14,772
  Home Depot Inc. 3.750% 2/15/24 15,000 16,188
  Host Hotels & Resorts LP 3.750% 10/15/23 10,000 10,044
7 Kia Motors Corp. 3.625% 6/14/16 3,200 3,283
  Kohl's Corp. 3.250% 2/1/23 2,970 2,948
  Kohl's Corp. 4.750% 12/15/23 3,041 3,324
  L Brands Inc. 6.625% 4/1/21 3,628 4,145
  L Brands Inc. 5.625% 10/15/23 5,000 5,588
  Lowe's Cos. Inc. 3.750% 4/15/21 11,350 12,302
  Lowe's Cos. Inc. 3.800% 11/15/21 6,650 7,220
  Lowe's Cos. Inc. 3.120% 4/15/22 15,000 15,600
  Lowe's Cos. Inc. 3.875% 9/15/23 20,000 21,750
  Lowe's Cos. Inc. 3.125% 9/15/24 10,000 10,259
  Macy's Retail Holdings Inc. 2.875% 2/15/23 7,500 7,472
  Macy's Retail Holdings Inc. 3.625% 6/1/24 5,000 5,171
  Marriott International Inc. 6.375% 6/15/17 3,040 3,339
  Marriott International Inc. 3.000% 3/1/19 2,500 2,573
  Marriott International Inc. 3.250% 9/15/22 3,500 3,539
  MasterCard Inc. 2.000% 4/1/19 1,250 1,272
  MasterCard Inc. 3.375% 4/1/24 16,000 16,748
  McDonald's Corp. 3.625% 5/20/21 4,500 4,836
  McDonald's Corp. 2.625% 1/15/22 9,000 9,064
  Nordstrom Inc. 4.750% 5/1/20 5,000 5,611
  Nordstrom Inc. 4.000% 10/15/21 7,500 8,136
  NVR Inc. 3.950% 9/15/22 10,000 10,409
  O'Reilly Automotive Inc. 4.625% 9/15/21 7,000 7,746
  O'Reilly Automotive Inc. 3.800% 9/1/22 4,000 4,150
  O'Reilly Automotive Inc. 3.850% 6/15/23 7,000 7,267
  PACCAR Financial Corp. 1.600% 3/15/17 2,500 2,530
10 Priceline Group Inc. 1.800% 3/3/27 13,982 15,257
  QVC Inc. 3.125% 4/1/19 2,000 2,012
  QVC Inc. 4.850% 4/1/24 5,000 5,139

 

 

  Smithsonian Institute Washington DC GO 3.434% 9/1/23 1,600 1,613
  Staples Inc. 2.750% 1/12/18 5,150 5,200
  Starbucks Corp. 2.000% 12/5/18 2,000 2,044
  Starbucks Corp. 3.850% 10/1/23 12,000 13,089
  Target Corp. 2.900% 1/15/22 4,500 4,616
  Target Corp. 3.500% 7/1/24 15,985 16,818
  TJX Cos. Inc. 6.950% 4/15/19 15,663 18,586
  TJX Cos. Inc. 2.750% 6/15/21 6,000 6,143
  TJX Cos. Inc. 2.500% 5/15/23 16,000 15,636
  Toyota Motor Credit Corp. 4.500% 6/17/20 9,000 10,078
  Toyota Motor Credit Corp. 4.250% 1/11/21 5,155 5,707
  Toyota Motor Credit Corp. 3.400% 9/15/21 24,460 26,052
  Toyota Motor Credit Corp. 3.300% 1/12/22 16,000 16,774
  Toyota Motor Credit Corp. 2.625% 1/10/23 6,000 6,023
  VF Corp. 3.500% 9/1/21 5,505 5,900
  Wal-Mart Stores Inc. 3.625% 7/8/20 5,515 5,995
  Wal-Mart Stores Inc. 3.250% 10/25/20 21,195 22,670
  Wal-Mart Stores Inc. 4.250% 4/15/21 14,824 16,619
10 Wal-Mart Stores Inc. 1.900% 4/8/22 7,000 8,450
  Wal-Mart Stores Inc. 2.550% 4/11/23 68,021 68,319
  Wal-Mart Stores Inc. 3.300% 4/22/24 25,300 26,710
  Walgreen Co. 5.250% 1/15/19 4,125 4,606
  Walgreens Boots Alliance Inc. 3.300% 11/18/21 15,000 15,333
7 Wesfarmers Ltd. 1.874% 3/20/18 6,000 6,047
10 Wesfarmers Ltd. 2.750% 8/2/22 5,000 6,276
  Wyndham Worldwide Corp. 5.625% 3/1/21 2,500 2,794
  Wyndham Worldwide Corp. 4.250% 3/1/22 4,000 4,086
  Wyndham Worldwide Corp. 3.900% 3/1/23 2,000 1,992
 
  Consumer Noncyclical (9.7%)        
  Abbott Laboratories 2.550% 3/15/22 15,000 14,982
  Abbott Laboratories 2.950% 3/15/25 5,000 5,026
  Actavis Funding SCS 3.000% 3/12/20 6,300 6,439
  Actavis Funding SCS 3.450% 3/15/22 15,000 15,323
  Actavis Funding SCS 3.850% 6/15/24 10,000 10,287
  Actavis Funding SCS 3.800% 3/15/25 15,000 15,158
  Actavis Inc. 3.250% 10/1/22 26,000 25,782
  Agilent Technologies Inc. 5.000% 7/15/20 2,000 2,203
  Agilent Technologies Inc. 3.200% 10/1/22 10,000 9,845
  Agilent Technologies Inc. 3.875% 7/15/23 7,500 7,780
  Allergan Inc. 3.375% 9/15/20 9,000 9,263
  Allergan Inc. 2.800% 3/15/23 5,000 4,785
  Altria Group Inc. 9.250% 8/6/19 8,014 10,245
  Altria Group Inc. 4.750% 5/5/21 11,800 13,156
  Altria Group Inc. 2.850% 8/9/22 24,650 24,491
  AmerisourceBergen Corp. 4.875% 11/15/19 6,270 7,022
  AmerisourceBergen Corp. 3.400% 5/15/24 8,000 8,214
  AmerisourceBergen Corp. 3.250% 3/1/25 10,000 10,068
  Amgen Inc. 6.150% 6/1/18 5,000 5,680
  Amgen Inc. 2.200% 5/22/19 5,305 5,362
  Amgen Inc. 2.125% 5/1/20 4,030 4,023
  Amgen Inc. 3.625% 5/15/22 12,000 12,589
  Amgen Inc. 3.625% 5/22/24 14,000 14,588
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 80 89
  Anheuser-Busch Cos. LLC 5.000% 3/1/19 3,145 3,506
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 23,382 23,038
  Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 15,000 15,815
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 5,570 6,711

 

 

  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,514 10,300
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 7,210 8,266
  Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,286 14,010
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 30,792 30,414
7 BAT International Finance plc 9.500% 11/15/18 4,000 5,034
  Baxter International Inc. 5.375% 6/1/18 2,000 2,225
  Baxter International Inc. 4.500% 8/15/19 2,000 2,199
  Baxter International Inc. 4.250% 3/15/20 3,000 3,286
  Baxter International Inc. 2.400% 8/15/22 5,965 5,767
7 Bayer US Finance LLC 3.000% 10/8/21 7,000 7,224
7 Bayer US Finance LLC 3.375% 10/8/24 13,000 13,453
  Becton Dickinson & Co. 5.000% 5/15/19 4,700 5,206
  Becton Dickinson & Co. 3.250% 11/12/20 7,000 7,267
  Boston Scientific Corp. 6.000% 1/15/20 6,500 7,478
  Boston Scientific Corp. 4.125% 10/1/23 2,000 2,113
  Bottling Group LLC 5.125% 1/15/19 2,275 2,553
  Bristol-Myers Squibb Co. 2.000% 8/1/22 8,200 7,989
10 Bristol-Myers Squibb Co. 1.000% 5/15/25 6,200 6,891
  Brown-Forman Corp. 2.250% 1/15/23 4,350 4,177
  Cardinal Health Inc. 3.500% 11/15/24 7,000 7,178
7 Cargill Inc. 4.307% 5/14/21 8,565 9,469
7 Cargill Inc. 3.250% 11/15/21 7,515 7,869
10 Cargill Inc. 2.500% 2/15/23 5,000 6,231
  Catholic Health Initiatives Colorado GO 2.950% 11/1/22 1,500 1,494
  Catholic Health Initiatives Colorado GO 4.200% 8/1/23 2,000 2,147
  Celgene Corp. 3.250% 8/15/22 12,000 12,282
  Celgene Corp. 3.625% 5/15/24 4,000 4,142
  Clorox Co. 3.800% 11/15/21 5,000 5,357
  Clorox Co. 3.050% 9/15/22 3,000 3,018
  Coca-Cola Co. 3.150% 11/15/20 7,950 8,467
  Coca-Cola Co. 3.300% 9/1/21 10,245 10,954
  Coca-Cola Co. 3.200% 11/1/23 28,420 29,582
10 Coca-Cola Co. 1.125% 3/9/27 10,000 11,050
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 3,095 3,161
  Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,527
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 12,500 13,331
  Colgate-Palmolive Co. 2.300% 5/3/22 8,000 8,006
  Colgate-Palmolive Co. 1.950% 2/1/23 2,079 2,002
  Colgate-Palmolive Co. 2.100% 5/1/23 17,000 16,548
  Colgate-Palmolive Co. 3.250% 3/15/24 20,375 21,419
  ConAgra Foods Inc. 7.000% 4/15/19 2,502 2,900
  ConAgra Foods Inc. 3.250% 9/15/22 5,000 4,945
  Constellation Brands Inc. 3.750% 5/1/21 4,250 4,346
  Constellation Brands Inc. 4.750% 11/15/24 5,000 5,313
  Covidien International Finance SA 4.200% 6/15/20 7,735 8,525
  Covidien International Finance SA 3.200% 6/15/22 13,500 13,970
  Covidien International Finance SA 2.950% 6/15/23 17,330 17,531
  CR Bard Inc. 4.400% 1/15/21 6,000 6,557
  DENTSPLY International Inc. 4.125% 8/15/21 1,900 2,024
  Diageo Capital plc 4.828% 7/15/20 12,989 14,728
  Diageo Capital plc 2.625% 4/29/23 15,000 14,741
  Diageo Investment Corp. 2.875% 5/11/22 11,000 11,109
  Dignity Health 3.812% 11/1/24 1,000 1,042
  Estee Lauder Cos. Inc. 2.350% 8/15/22 5,000 4,938
  Express Scripts Holding Co. 7.250% 6/15/19 3,000 3,590
  Express Scripts Holding Co. 4.750% 11/15/21 7,625 8,471
  Flowers Foods Inc. 4.375% 4/1/22 2,000 2,134
10 General Mills Inc. 1.500% 4/27/27 5,000 5,518

 

 

  Genzyme Corp. 5.000% 6/15/20 15,349 17,564
  Gilead Sciences Inc. 4.400% 12/1/21 9,050 10,148
  Gilead Sciences Inc. 3.700% 4/1/24 27,655 29,182
  Gilead Sciences Inc. 3.500% 2/1/25 57,084 59,186
  GlaxoSmithKline Capital Inc. 2.800% 3/18/23 21,570 21,663
  GlaxoSmithKline Capital plc 2.850% 5/8/22 10,000 10,154
7 Grupo Bimbo SAB de CV 3.875% 6/27/24 12,000 12,290
  Hershey Co. 4.125% 12/1/20 4,125 4,566
  Hershey Co. 2.625% 5/1/23 20,450 20,459
  Hormel Foods Corp. 4.125% 4/15/21 625 690
7 JM Smucker Co. 2.500% 3/15/20 1,575 1,588
7 JM Smucker Co. 3.000% 3/15/22 10,000 10,050
7 JM Smucker Co. 3.500% 3/15/25 15,000 15,113
  Kaiser Foundation Hospitals 3.500% 4/1/22 5,765 5,900
  Kimberly-Clark Corp. 7.500% 11/1/18 10,000 12,011
  Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,556
  Kraft Foods Group Inc. 6.125% 8/23/18 6,000 6,798
  Kraft Foods Group Inc. 3.500% 6/6/22 6,000 6,137
  Kroger Co. 2.200% 1/15/17 2,920 2,971
  Kroger Co. 3.300% 1/15/21 5,500 5,722
  Kroger Co. 2.950% 11/1/21 3,000 3,050
  Kroger Co. 3.400% 4/15/22 3,000 3,094
  Kroger Co. 3.850% 8/1/23 5,000 5,297
  Laboratory Corp. of America Holdings 3.600% 2/1/25 7,000 6,995
  Life Technologies Corp. 6.000% 3/1/20 5,000 5,752
  Lorillard Tobacco Co. 6.875% 5/1/20 7,065 8,355
10 Luxottica Group SPA 2.625% 2/10/24 6,200 7,849
  McKesson Corp. 7.500% 2/15/19 6,100 7,287
  McKesson Corp. 2.850% 3/15/23 5,000 4,979
7 Medtronic Inc. 2.500% 3/15/20 17,700 18,088
  Medtronic Inc. 4.450% 3/15/20 10,000 11,137
  Medtronic Inc. 3.125% 3/15/22 7,000 7,234
7 Medtronic Inc. 3.150% 3/15/22 36,853 38,074
  Medtronic Inc. 2.750% 4/1/23 30,000 30,023
  Medtronic Inc. 3.625% 3/15/24 10,000 10,588
7 Medtronic Inc. 3.500% 3/15/25 71,300 73,651
  Merck & Co. Inc. 2.800% 5/18/23 42,254 42,867
  Merck & Co. Inc. 2.750% 2/10/25 36,400 36,156
  Mondelez International Inc. 2.250% 2/1/19 5,000 5,055
10 Mondelez International Inc. 1.000% 3/7/22 4,275 4,787
  Mondelez International Inc. 4.000% 2/1/24 3,000 3,215
10 Mondelez International Inc. 1.625% 3/8/27 13,000 14,418
7 Mylan Inc. 3.125% 1/15/23 16,325 16,046
  Mylan Inc. 4.200% 11/29/23 5,850 6,169
  Newell Rubbermaid Inc. 4.000% 12/1/24 5,000 5,231
  Novartis Capital Corp. 4.400% 4/24/20 15,000 16,789
  Novartis Capital Corp. 2.400% 9/21/22 29,555 29,478
  Novartis Capital Corp. 3.400% 5/6/24 10,000 10,565
  PepsiCo Inc. 4.500% 1/15/20 13,800 15,414
  PepsiCo Inc. 3.000% 8/25/21 17,990 18,774
  PepsiCo Inc. 2.750% 3/5/22 13,860 14,112
  PepsiCo Inc. 2.750% 3/1/23 9,000 9,096
  PepsiCo Inc. 3.600% 3/1/24 14,000 14,871
  PepsiCo Inc. 2.750% 4/30/25 25,000 24,530
  PerkinElmer Inc. 5.000% 11/15/21 8,000 8,880
7 Pernod Ricard SA 5.750% 4/7/21 2,250 2,607
7 Pernod Ricard SA 4.450% 1/15/22 5,000 5,409
7 Pernod Ricard SA 4.250% 7/15/22 5,000 5,342

 

 

Perrigo Finance plc 3.900% 12/15/24 15,000 15,499
Pfizer Inc. 3.000% 6/15/23 10,000 10,225
Pfizer Inc. 3.400% 5/15/24 16,737 17,372
Pharmacia Corp. 6.500% 12/1/18 6,045 7,073
Philip Morris International Inc. 2.900% 11/15/21 6,000 6,146
Philip Morris International Inc. 2.500% 8/22/22 8,425 8,331
Philip Morris International Inc. 2.625% 3/6/23 2,000 1,977
Philip Morris International Inc. 3.600% 11/15/23 5,000 5,279
Philip Morris International Inc. 3.250% 11/10/24 16,000 16,291
Procter & Gamble Co. 2.300% 2/6/22 4,275 4,326
Procter & Gamble Co. 3.100% 8/15/23 5,000 5,243
Quest Diagnostics Inc. 4.750% 1/30/20 1,000 1,102
Quest Diagnostics Inc. 4.700% 4/1/21 4,000 4,373
Quest Diagnostics Inc. 4.250% 4/1/24 2,000 2,125
Reynolds American Inc. 3.250% 11/1/22 5,011 4,952
7 Roche Holdings Inc. 6.000% 3/1/19 13,574 15,657
7 Roche Holdings Inc. 3.350% 9/30/24 12,000 12,543
Sanofi 4.000% 3/29/21 18,500 20,285
St. Jude Medical Inc. 3.250% 4/15/23 16,138 16,457
Stryker Corp. 4.375% 1/15/20 4,000 4,408
Stryker Corp. 3.375% 5/15/24 4,000 4,090
Sysco Corp. 2.350% 10/2/19 3,000 3,059
Sysco Corp. 3.000% 10/2/21 7,500 7,714
Sysco Corp. 2.600% 6/12/22 14,017 13,910
Sysco Corp. 3.500% 10/2/24 29,050 29,875
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21 9,248 9,627
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22 29,011 28,797
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21 8,791 9,162
Thermo Fisher Scientific Inc. 2.250% 8/15/16 2,840 2,884
Thermo Fisher Scientific Inc. 4.700% 5/1/20 4,400 4,837
Thermo Fisher Scientific Inc. 4.500% 3/1/21 4,100 4,480
Tyson Foods Inc. 4.500% 6/15/22 5,750 6,276
Tyson Foods Inc. 3.950% 8/15/24 23,150 24,232
Unilever Capital Corp. 4.800% 2/15/19 1,920 2,139
Whirlpool Corp. 4.000% 3/1/24 4,000 4,197
Wyeth LLC 5.500% 2/15/16 5,000 5,196
Zimmer Holdings Inc. 3.550% 4/1/25 15,000 15,013
Zoetis Inc. 3.250% 2/1/23 5,000 4,966
 
Energy (7.3%)        
Anadarko Petroleum Corp. 3.450% 7/15/24 3,000 3,045
Apache Corp. 3.625% 2/1/21 17,000 17,891
Apache Corp. 3.250% 4/15/22 5,324 5,374
Baker Hughes Inc. 7.500% 11/15/18 4,845 5,782
Boardwalk Pipelines LP 5.750% 9/15/19 4,935 5,295
BP Capital Markets plc 1.375% 5/10/18 2,000 1,998
BP Capital Markets plc 4.750% 3/10/19 8,350 9,237
BP Capital Markets plc 2.521% 1/15/20 5,000 5,111
BP Capital Markets plc 4.500% 10/1/20 20,500 22,908
BP Capital Markets plc 4.742% 3/11/21 8,748 9,820
BP Capital Markets plc 3.561% 11/1/21 31,470 33,276
BP Capital Markets plc 3.062% 3/17/22 8,970 9,134
BP Capital Markets plc 3.245% 5/6/22 35,000 36,190
BP Capital Markets plc 2.500% 11/6/22 16,352 15,937
BP Capital Markets plc 2.750% 5/10/23 34,560 34,024
BP Capital Markets plc 3.994% 9/26/23 5,000 5,325
BP Capital Markets plc 3.814% 2/10/24 28,410 29,758
BP Capital Markets plc 3.506% 3/17/25 8,970 9,140

 

 

Cameron International Corp. 3.600% 4/30/22 1,335 1,347
Cameron International Corp. 4.000% 12/15/23 5,000 5,110
Cameron International Corp. 3.700% 6/15/24 5,000 5,000
CenterPoint Energy Resources Corp. 4.500% 1/15/21 3,000 3,299
Chevron Corp. 4.950% 3/3/19 3,347 3,753
Chevron Corp. 2.193% 11/15/19 2,000 2,040
Chevron Corp. 1.961% 3/3/20 9,220 9,265
Chevron Corp. 2.411% 3/3/22 8,315 8,326
Chevron Corp. 2.355% 12/5/22 41,000 40,539
Chevron Corp. 3.191% 6/24/23 37,083 38,408
ConocoPhillips 6.000% 1/15/20 5,000 5,893
ConocoPhillips Co. 2.875% 11/15/21 12,000 12,329
ConocoPhillips Co. 2.400% 12/15/22 10,000 9,829
ConocoPhillips Co. 3.350% 11/15/24 17,000 17,350
Continental Resources Inc. 5.000% 9/15/22 14,000 14,210
Continental Resources Inc. 3.800% 6/1/24 5,000 4,778
Devon Energy Corp. 6.300% 1/15/19 5,000 5,734
Diamond Offshore Drilling Inc. 5.875% 5/1/19 5,000 5,640
Diamond Offshore Drilling Inc. 3.450% 11/1/23 6,000 5,849
Dominion Gas Holdings LLC 3.600% 12/15/24 25,000 26,013
7 Enable Midstream Partners LP 3.900% 5/15/24 2,000 1,934
Enbridge Energy Partners LP 6.500% 4/15/18 1,750 1,956
Enbridge Energy Partners LP 5.200% 3/15/20 2,500 2,755
Enbridge Energy Partners LP 4.200% 9/15/21 6,150 6,431
4 Enbridge Energy Partners LP 8.050% 10/1/77 1,110 1,154
Enbridge Inc. 3.500% 6/10/24 3,000 2,947
Energy Transfer Partners LP 9.700% 3/15/19 4,432 5,552
Energy Transfer Partners LP 9.000% 4/15/19 2,334 2,866
Energy Transfer Partners LP 4.650% 6/1/21 12,850 13,757
Energy Transfer Partners LP 5.200% 2/1/22 16,530 18,049
Energy Transfer Partners LP 3.600% 2/1/23 5,909 5,886
Energy Transfer Partners LP 4.900% 2/1/24 3,042 3,261
Energy Transfer Partners LP 4.050% 3/15/25 10,000 9,976
Ensco plc 4.700% 3/15/21 14,300 14,679
Ensco plc 5.200% 3/15/25 12,000 12,364
Enterprise Products Operating LLC 3.350% 3/15/23 5,500 5,538
Enterprise Products Operating LLC 3.750% 2/15/25 7,500 7,648
4 Enterprise Products Operating LLC 8.375% 8/1/66 1,500 1,590
EOG Resources Inc. 5.625% 6/1/19 10,250 11,742
EOG Resources Inc. 2.450% 4/1/20 5,950 6,056
EOG Resources Inc. 4.400% 6/1/20 12,000 13,270
EOG Resources Inc. 4.100% 2/1/21 11,000 12,006
EOG Resources Inc. 2.625% 3/15/23 17,885 17,804
EOG Resources Inc. 3.150% 4/1/25 7,630 7,754
EQT Corp. 8.125% 6/1/19 5,500 6,555
EQT Corp. 4.875% 11/15/21 4,000 4,272
Exxon Mobil Corp. 2.397% 3/6/22 8,825 8,869
Exxon Mobil Corp. 2.709% 3/6/25 21,100 21,191
Halliburton Co. 6.150% 9/15/19 4,631 5,403
Halliburton Co. 3.250% 11/15/21 10,800 11,223
Halliburton Co. 3.500% 8/1/23 5,000 5,148
Hess Corp. 8.125% 2/15/19 5,075 6,081
Kinder Morgan Energy Partners LP 2.650% 2/1/19 2,100 2,104
Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,410 6,572
Kinder Morgan Energy Partners LP 6.850% 2/15/20 8,227 9,625
Kinder Morgan Energy Partners LP 5.800% 3/1/21 5,000 5,588
Kinder Morgan Energy Partners LP 4.150% 3/1/22 1,240 1,270
Kinder Morgan Inc. 3.050% 12/1/19 7,060 7,134

 

 

10 Kinder Morgan Inc. 1.500% 3/16/22 7,885 8,839
  Kinder Morgan Inc. 4.300% 6/1/25 13,600 13,801
10 Kinder Morgan Inc. 2.250% 3/16/27 4,200 4,769
  Nabors Industries Inc. 5.000% 9/15/20 3,319 3,382
  National Oilwell Varco Inc. 2.600% 12/1/22 24,000 23,324
  Nisource Finance Corp. 4.450% 12/1/21 3,225 3,507
  Nisource Finance Corp. 3.850% 2/15/23 8,518 8,903
  Noble Energy Inc. 8.250% 3/1/19 6,000 7,195
  Noble Energy Inc. 3.900% 11/15/24 1,000 1,026
  Noble Holding International Ltd. 4.900% 8/1/20 5,000 5,059
  Noble Holding International Ltd. 3.950% 3/15/22 5,000 4,517
  Occidental Petroleum Corp. 4.100% 2/1/21 16,525 18,009
  Occidental Petroleum Corp. 3.125% 2/15/22 19,080 19,640
  Occidental Petroleum Corp. 2.700% 2/15/23 20,604 20,405
  ONEOK Partners LP 8.625% 3/1/19 2,000 2,398
  ONEOK Partners LP 3.375% 10/1/22 12,083 11,725
  Petro-Canada 6.050% 5/15/18 4,000 4,514
  Phillips 66 2.950% 5/1/17 4,000 4,137
  Phillips 66 4.300% 4/1/22 9,000 9,784
  Phillips 66 Partners LP 3.605% 2/15/25 1,030 1,020
  Pioneer Natural Resources Co. 3.950% 7/15/22 9,000 9,337
  Plains All American Pipeline LP / PAA        
  Finance Corp. 3.650% 6/1/22 14,970 15,481
  Plains All American Pipeline LP / PAA        
  Finance Corp. 2.850% 1/31/23 1,902 1,840
  Plains All American Pipeline LP / PAA        
  Finance Corp. 3.600% 11/1/24 2,042 2,052
  Pride International Inc. 6.875% 8/15/20 12,178 13,950
  Rowan Cos. Inc. 4.875% 6/1/22 8,000 7,779
7 Schlumberger Investment SA 3.300% 9/14/21 13,900 14,360
  Schlumberger Investment SA 3.650% 12/1/23 21,000 22,222
  Shell International Finance BV 5.200% 3/22/17 2,680 2,899
  Shell International Finance BV 4.300% 9/22/19 16,000 17,718
  Shell International Finance BV 4.375% 3/25/20 14,035 15,647
  Shell International Finance BV 2.375% 8/21/22 29,609 29,113
  Shell International Finance BV 2.250% 1/6/23 10,500 10,268
  Shell International Finance BV 3.400% 8/12/23 5,000 5,266
  Southwestern Energy Co. 7.500% 2/1/18 5,000 5,650
  Southwestern Energy Co. 4.050% 1/23/20 5,000 5,186
  Southwestern Energy Co. 4.100% 3/15/22 7,000 7,050
  Southwestern Energy Co. 4.950% 1/23/25 17,000 17,652
  Suncor Energy Inc. 3.600% 12/1/24 6,745 6,944
  Sunoco Logistics Partners Operations LP 4.650% 2/15/22 3,485 3,703
  Talisman Energy Inc. 7.750% 6/1/19 3,000 3,501
  Talisman Energy Inc. 3.750% 2/1/21 3,300 3,310
  Total Capital Canada Ltd. 1.450% 1/15/18 7,700 7,746
  Total Capital Canada Ltd. 2.750% 7/15/23 19,420 19,323
  Total Capital International SA 2.750% 6/19/21 7,000 7,155
  Total Capital International SA 2.875% 2/17/22 31,378 31,854
  Total Capital International SA 2.700% 1/25/23 23,160 23,034
  Total Capital International SA 3.700% 1/15/24 10,000 10,588
  Total Capital International SA 3.750% 4/10/24 25,000 26,522
  Total Capital SA 4.450% 6/24/20 25,212 28,129
  Total Capital SA 4.125% 1/28/21 12,525 13,767
  TransCanada PipeLines Ltd. 3.800% 10/1/20 4,292 4,605
  TransCanada PipeLines Ltd. 2.500% 8/1/22 530 515
  TransCanada PipeLines Ltd. 3.750% 10/16/23 18,315 19,181
4 TransCanada PipeLines Ltd. 6.350% 5/15/67 2,000 1,943

 

 

  Transocean Inc. 6.375% 12/15/21 5,000 4,406
  Valero Energy Corp. 9.375% 3/15/19 4,200 5,250
  Weatherford International Ltd. 9.625% 3/1/19 3,750 4,365
  Weatherford International Ltd. 5.125% 9/15/20 9,647 9,777
  Weatherford International Ltd. 4.500% 4/15/22 2,000 1,926
  Williams Partners LP 4.500% 11/15/23 11,000 11,451
  Williams Partners LP 4.000% 9/15/25 15,000 14,800
  Williams Partners LP / ACMP Finance Corp. 4.875% 5/15/23 5,000 5,069
  Williams Partners LP / ACMP Finance Corp. 4.875% 3/15/24 9,000 9,203
7 Woodside Finance Ltd. 3.650% 3/5/25 15,000 14,879
 
  Other Industrial (0.3%)        
  Fluor Corp. 3.500% 12/15/24 23,375 24,188
7 Hutchison Whampoa International 11 Ltd. 4.625% 1/13/22 19,240 21,098
7 Hutchison Whampoa International 14 Ltd. 3.625% 10/31/24 5,000 5,087
 
  Technology (5.3%)        
  Adobe Systems Inc. 3.250% 2/1/25 15,000 15,151
  Altera Corp. 1.750% 5/15/17 3,205 3,230
  Altera Corp. 2.500% 11/15/18 10,000 10,191
  Altera Corp. 4.100% 11/15/23 4,623 4,896
  Apple Inc. 2.850% 5/6/21 37,125 38,529
  Apple Inc. 2.150% 2/9/22 19,000 18,683
10 Apple Inc. 1.000% 11/10/22 7,500 8,555
  Apple Inc. 2.400% 5/3/23 94,325 92,044
  Apple Inc. 3.450% 5/6/24 54,000 56,693
  Apple Inc. 2.500% 2/9/25 23,500 22,611
10 Apple Inc. 1.625% 11/10/26 5,000 5,878
  Applied Materials Inc. 4.300% 6/15/21 10,615 11,632
  Baidu Inc. 3.250% 8/6/18 10,100 10,456
  Baidu Inc. 3.500% 11/28/22 13,000 13,165
  Broadcom Corp. 2.500% 8/15/22 9,000 8,801
  Broadcom Corp. 3.500% 8/1/24 6,485 6,692
  Cisco Systems Inc. 3.625% 3/4/24 15,000 15,915
  Corning Inc. 4.250% 8/15/20 9,000 9,889
  Corning Inc. 3.700% 11/15/23 15,000 15,798
  EMC Corp. 1.875% 6/1/18 6,700 6,772
  EMC Corp. 2.650% 6/1/20 12,455 12,798
  EMC Corp. 3.375% 6/1/23 15,500 16,039
  Equifax Inc. 6.300% 7/1/17 5,000 5,519
  Fidelity National Information Services Inc. 3.500% 4/15/23 9,165 9,210
  Fidelity National Information Services Inc. 3.875% 6/5/24 10,000 10,251
  Fiserv Inc. 3.500% 10/1/22 8,000 8,200
  Hewlett-Packard Co. 2.750% 1/14/19 6,250 6,406
  Hewlett-Packard Co. 3.750% 12/1/20 5,024 5,273
  Hewlett-Packard Co. 4.300% 6/1/21 15,000 16,045
  Hewlett-Packard Co. 4.375% 9/15/21 13,022 13,986
  Hewlett-Packard Co. 4.650% 12/9/21 3,500 3,842
  Intel Corp. 3.300% 10/1/21 34,900 36,936
  Intel Corp. 2.700% 12/15/22 28,000 28,175
  International Business Machines Corp. 1.875% 8/1/22 17,000 16,128
  International Business Machines Corp. 3.375% 8/1/23 31,000 32,213
  International Business Machines Corp. 3.625% 2/12/24 23,000 23,940
  KLA-Tencor Corp. 3.375% 11/1/19 1,285 1,334
  KLA-Tencor Corp. 4.125% 11/1/21 3,000 3,124
  KLA-Tencor Corp. 4.650% 11/1/24 12,000 12,439
  Lam Research Corp. 3.800% 3/15/25 4,000 3,981
  Microsoft Corp. 2.375% 2/12/22 22,000 21,913

 

 

  Microsoft Corp. 2.125% 11/15/22 9,000 8,831
  Microsoft Corp. 2.375% 5/1/23 16,500 16,436
  Microsoft Corp. 3.625% 12/15/23 19,000 20,450
  Microsoft Corp. 2.700% 2/12/25 39,250 38,622
  Motorola Solutions Inc. 3.750% 5/15/22 7,000 7,044
  Oracle Corp. 5.750% 4/15/18 4,160 4,681
  Oracle Corp. 2.375% 1/15/19 3,250 3,329
  Oracle Corp. 3.875% 7/15/20 13,000 14,194
  Oracle Corp. 2.800% 7/8/21 18,000 18,469
  Oracle Corp. 2.500% 5/15/22 23,750 23,570
  Oracle Corp. 2.500% 10/15/22 43,000 42,427
  Oracle Corp. 3.625% 7/15/23 24,000 25,551
  Oracle Corp. 3.400% 7/8/24 43,500 44,890
  Oracle Corp. 2.950% 5/15/25 10,000 9,907
  Pitney Bowes Inc. 5.750% 9/15/17 707 771
  Pitney Bowes Inc. 4.625% 3/15/24 5,000 5,171
  Seagate HDD Cayman 3.750% 11/15/18 5,670 5,925
  Seagate HDD Cayman 4.750% 6/1/23 5,000 5,212
7 Seagate HDD Cayman 4.750% 1/1/25 13,500 13,871
  Texas Instruments Inc. 2.250% 5/1/23 5,000 4,798
  Tyco Electronics Group SA 6.550% 10/1/17 2,990 3,345
  Tyco Electronics Group SA 3.500% 2/3/22 16,710 17,311
10 Tyco Electronics Group SA 1.100% 3/1/23 7,453 8,319
  Tyco Electronics Group SA 3.450% 8/1/24 7,000 7,196
  Verisk Analytics Inc. 4.125% 9/12/22 16,264 16,929
  Xerox Corp. 5.625% 12/15/19 8,000 9,107
  Xilinx Inc. 3.000% 3/15/21 19,000 19,573
 
  Transportation (1.3%)        
4 American Airlines 2015-1 Class B Pass        
  Through Trust 3.700% 11/1/24 5,000 5,019
  Canadian National Railway Co. 2.850% 12/15/21 7,380 7,595
  Canadian Pacific Railway Co. 7.250% 5/15/19 3,375 4,031
  Canadian Pacific Railway Co. 4.450% 3/15/23 5,085 5,610
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 1,298 1,375
4 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 204 214
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 1,365 1,544
4 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 10/1/22 1,311 1,479
4 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 5/10/21 3,873 4,503
4 Continental Airlines 2012-2 Class A Pass        
  Through Trust 4.000% 4/29/26 13,934 14,909
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 1,334 1,414
  CSX Corp. 7.900% 5/1/17 5,000 5,662
  CSX Corp. 7.375% 2/1/19 3,375 4,030
  CSX Corp. 3.400% 8/1/24 5,000 5,177
4 CSX Transportation Inc. 6.251% 1/15/23 3,306 3,907
4,11 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 6,011 7,018
4 Delta Air Lines 2007-1 Class A Pass        
  Through Trust 6.821% 2/10/24 1,991 2,352
4 Delta Air Lines 2009-1 Class A Pass        
  Through Trust 7.750% 6/17/21 3,952 4,574

 

 

4 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 1/2/20 6,803 7,467
4 Delta Air Lines 2012-1 Class A Pass        
  Through Trust 4.750% 11/7/21 3,252 3,516
7 ERAC USA Finance LLC 6.375% 10/15/17 6,370 7,111
7 ERAC USA Finance LLC 5.250% 10/1/20 3,750 4,255
7 ERAC USA Finance LLC 4.500% 8/16/21 5,000 5,494
7 ERAC USA Finance LLC 3.850% 11/15/24 3,000 3,104
9 Firstgroup plc 8.750% 4/8/21 6,000 11,701
4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 5,589 5,686
4,5,11 JetBlue Airways 2004-2 G-2 Pass Through        
  Trust 0.708% 5/15/18 2,465 2,428
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 4,410 5,093
  Union Pacific Corp. 4.000% 2/1/21 10,000 10,974
  Union Pacific Corp. 4.163% 7/15/22 5,255 5,828
  Union Pacific Corp. 2.950% 1/15/23 5,939 6,088
  Union Pacific Corp. 2.750% 4/15/23 9,378 9,486
  Union Pacific Corp. 3.646% 2/15/24 5,000 5,368
  Union Pacific Corp. 3.750% 3/15/24 24,925 26,875
  United Continental Holdings Inc. 6.375% 6/1/18 2,775 2,962
  United Parcel Service Inc. 2.450% 10/1/22 61,450 61,579
          7,828,305
Utilities (5.9%)        
Electric (5.7%)        
Alabama Power Co. 3.375% 10/1/20 7,000 7,416
Alabama Power Co. 3.550% 12/1/23 5,750 6,104
Alabama Power Co. 2.800% 4/1/25 7,000 6,995
Ameren Illinois Co. 2.700% 9/1/22 22,449 22,644
Ameren Illinois Co. 3.250% 3/1/25 13,180 13,596
Arizona Public Service Co. 8.750% 3/1/19 10,850 13,584
Arizona Public Service Co. 3.350% 6/15/24 8,200 8,548
Baltimore Gas & Electric Co. 3.500% 11/15/21 8,925 9,485
Baltimore Gas & Electric Co. 2.800% 8/15/22 13,600 13,753
Baltimore Gas & Electric Co. 3.350% 7/1/23 12,575 13,124
Berkshire Hathaway Energy Co. 5.750% 4/1/18 8,380 9,399
Berkshire Hathaway Energy Co. 3.750% 11/15/23 4,100 4,333
CMS Energy Corp. 5.050% 2/15/18 4,730 5,160
CMS Energy Corp. 8.750% 6/15/19 11,180 13,991
CMS Energy Corp. 6.250% 2/1/20 3,255 3,814
Commonwealth Edison Co. 5.800% 3/15/18 4,110 4,625
Commonwealth Edison Co. 4.000% 8/1/20 19,071 20,746
Commonwealth Edison Co. 3.400% 9/1/21 5,400 5,704
Commonwealth Edison Co. 3.100% 11/1/24 3,990 4,066
Connecticut Light & Power Co. 5.500% 2/1/19 11,695 13,255
Connecticut Light & Power Co. 2.500% 1/15/23 18,240 18,002
Consumers Energy Co. 5.650% 9/15/18 1,000 1,137
Consumers Energy Co. 6.125% 3/15/19 5,600 6,510
Consumers Energy Co. 6.700% 9/15/19 6,319 7,555
Consumers Energy Co. 5.650% 4/15/20 10,683 12,404
Consumers Energy Co. 2.850% 5/15/22 15,640 15,911
Consumers Energy Co. 3.375% 8/15/23 6,144 6,441
Consumers Energy Co. 3.125% 8/31/24 16,000 16,397
DTE Electric Co. 3.450% 10/1/20 7,680 8,105
DTE Electric Co. 3.900% 6/1/21 14,650 15,915
DTE Electric Co. 2.650% 6/15/22 1,000 1,000

 

 

  DTE Electric Co. 3.375% 3/1/25 14,575 15,152
  Duke Energy Carolinas LLC 3.900% 6/15/21 4,966 5,448
  Duke Energy Indiana Inc. 3.750% 7/15/20 14,270 15,412
  Duke Energy Progress Inc. 5.300% 1/15/19 12,448 14,020
  Duke Energy Progress Inc. 3.000% 9/15/21 17,523 18,220
7 EDP Finance BV 4.900% 10/1/19 5,425 5,789
7 EDP Finance BV 4.125% 1/15/20 10,240 10,612
7 EDP Finance BV 5.250% 1/14/21 3,020 3,266
  Entergy Arkansas Inc. 3.750% 2/15/21 8,770 9,359
  Entergy Arkansas Inc. 3.050% 6/1/23 7,410 7,511
  Entergy Arkansas Inc. 3.700% 6/1/24 3,318 3,526
  Entergy Gulf States Louisiana LLC 6.000% 5/1/18 1,260 1,421
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 5,699 6,783
  Entergy Louisiana LLC 4.800% 5/1/21 12,780 14,267
  Entergy Louisiana LLC 3.300% 12/1/22 6,915 7,164
  Entergy Louisiana LLC 4.050% 9/1/23 5,400 5,869
  Entergy Louisiana LLC 5.400% 11/1/24 3,562 4,206
  Entergy Louisiana LLC 4.950% 1/15/45 9,250 9,452
  Entergy Texas Inc. 7.125% 2/1/19 5,485 6,489
  Eversource Energy 4.500% 11/15/19 925 1,021
  Eversource Energy 2.800% 5/1/23 2,000 1,976
  Exelon Generation Co. LLC 4.000% 10/1/20 4,000 4,232
  Exelon Generation Co. LLC 4.250% 6/15/22 5,000 5,244
  FirstEnergy Corp. 4.250% 3/15/23 8,864 9,213
7 FirstEnergy Transmission LLC 4.350% 1/15/25 10,090 10,654
  Florida Power & Light Co. 2.750% 6/1/23 9,200 9,327
4,7 FPL Energy Marcus Hook LP 7.590% 7/10/18 4,934 5,304
  Georgia Power Co. 5.400% 6/1/18 8,000 8,903
  Indiana Michigan Power Co. 7.000% 3/15/19 5,000 5,927
  ITC Holdings Corp. 3.650% 6/15/24 7,000 7,209
7 Kansas Gas & Electric Co. 6.700% 6/15/19 4,824 5,649
  LG&E & KU Energy LLC 3.750% 11/15/20 13,086 13,867
  LG&E & KU Energy LLC 4.375% 10/1/21 9,785 10,734
  Metropolitan Edison Co. 7.700% 1/15/19 5,000 5,950
  MidAmerican Energy Co. 3.700% 9/15/23 5,500 5,927
  MidAmerican Energy Co. 3.500% 10/15/24 23,475 24,873
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 9,980 12,889
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 5,450 5,520
  National Rural Utilities Cooperative Finance        
  Corp. 3.050% 2/15/22 13,340 13,720
  National Rural Utilities Cooperative Finance        
  Corp. 3.400% 11/15/23 13,737 14,456
  National Rural Utilities Cooperative Finance        
  Corp. 2.850% 1/27/25 15,870 15,844
  Nevada Power Co. 7.125% 3/15/19 7,350 8,753
  NextEra Energy Capital Holdings Inc. 6.000% 3/1/19 8,976 10,250
  NextEra Energy Capital Holdings Inc. 2.400% 9/15/19 3,000 3,035
  NextEra Energy Capital Holdings Inc. 4.500% 6/1/21 8,755 9,604
  NextEra Energy Capital Holdings Inc. 3.625% 6/15/23 15,990 16,566
7 Niagara Mohawk Power Corp. 2.721% 11/28/22 2,000 1,996
  NSTAR Electric Co. 2.375% 10/15/22 7,700 7,538
  NV Energy Inc. 6.250% 11/15/20 12,485 14,685
7 Origin Energy Finance Ltd. 5.450% 10/14/21 5,761 6,422
  Pacific Gas & Electric Co. 3.500% 10/1/20 29,000 30,661
  Pacific Gas & Electric Co. 4.250% 5/15/21 15,200 16,596
  Pacific Gas & Electric Co. 3.250% 9/15/21 4,050 4,231

 

 

Pacific Gas & Electric Co. 2.450% 8/15/22 6,500 6,356
Pacific Gas & Electric Co. 3.250% 6/15/23 16,500 16,916
Pacific Gas & Electric Co. 3.400% 8/15/24 20,475 21,135
PacifiCorp 3.850% 6/15/21 16,844 18,310
Potomac Electric Power Co. 3.050% 4/1/22 2,270 2,314
Potomac Electric Power Co. 3.600% 3/15/24 8,690 9,212
PPL Electric Utilities Corp. 3.000% 9/15/21 15,868 16,527
Public Service Co. of Colorado 5.800% 8/1/18 3,280 3,728
Public Service Co. of Colorado 2.250% 9/15/22 5,000 4,947
Public Service Co. of New Mexico 7.950% 5/15/18 1,398 1,642
Public Service Electric & Gas Co. 3.500% 8/15/20 8,000 8,592
Public Service Electric & Gas Co. 2.375% 5/15/23 18,825 18,495
Public Service Electric & Gas Co. 3.150% 8/15/24 1,000 1,027
Puget Energy Inc. 6.500% 12/15/20 15,565 18,621
Puget Energy Inc. 6.000% 9/1/21 4,235 5,003
Puget Energy Inc. 5.625% 7/15/22 19,769 22,953
SCANA Corp. 6.250% 4/1/20 8,500 9,733
SCANA Corp. 4.750% 5/15/21 7,900 8,573
SCANA Corp. 4.125% 2/1/22 2,000 2,079
Southern California Edison Co. 3.875% 6/1/21 11,156 12,196
Southern California Edison Co. 3.500% 10/1/23 17,500 18,548
Southwestern Electric Power Co. 6.450% 1/15/19 2,118 2,456
Tampa Electric Co. 5.400% 5/15/21 13,000 15,133
Tampa Electric Co. 2.600% 9/15/22 6,220 6,183
TECO Finance Inc. 5.150% 3/15/20 14,332 16,155
7 Trans-Allegheny Interstate Line Co. 3.850% 6/1/25 11,000 11,373
Union Electric Co. 6.700% 2/1/19 2,427 2,859
Union Electric Co. 3.500% 4/15/24 5,410 5,713
Virginia Electric & Power Co. 5.400% 4/30/18 6,137 6,864
Virginia Electric & Power Co. 5.000% 6/30/19 3,930 4,425
Virginia Electric & Power Co. 3.450% 9/1/22 3,000 3,165
Virginia Electric & Power Co. 3.450% 2/15/24 7,000 7,380
Western Massachusetts Electric Co. 3.500% 9/15/21 10,000 10,624
4 Wisconsin Energy Corp. 6.250% 5/15/67 4,276 4,255
 
Natural Gas (0.2%)        
Laclede Gas Co. 3.400% 8/15/23 5,000 5,168
Sempra Energy 6.150% 6/15/18 5,938 6,726
Sempra Energy 9.800% 2/15/19 4,340 5,561
Sempra Energy 2.875% 10/1/22 7,000 6,994
Sempra Energy 3.550% 6/15/24 2,000 2,071
Southern California Gas Co. 3.150% 9/15/24 22,290 22,986
 
Other Utility (0.0%)        
American Water Capital Corp. 3.400% 3/1/25 3,000 3,109
 
        1,178,568
Total Corporate Bonds (Cost $14,353,077)       14,859,301
Sovereign Bonds (U.S. Dollar-Denominated) (3.1%)        
7 Abu Dhabi National Energy Co. PJSC 6.165% 10/25/17 1,000 1,111
7 Abu Dhabi National Energy Co. PJSC 3.625% 1/12/23 1,000 1,025
Asian Development Bank 1.125% 3/15/17 4,000 4,036
Asian Development Bank 1.875% 10/23/18 3,000 3,075
7 Banco Latinoamericano de Comercio        
Exterior SA 3.250% 5/7/20 5,000 4,983
7 Bank Nederlandse Gemeenten 2.500% 1/23/23 1,000 1,026
7 Bank of China Hong Kong Ltd. 3.750% 11/8/16 920 951

 

 

7 Bermuda 5.603% 7/20/20 2,300 2,520
7 Bermuda 4.138% 1/3/23 2,000 2,043
7 Bermuda 4.854% 2/6/24 1,000 1,068
  Cayman Islands 5.950% 11/24/19 500 570
7 CDP Financial Inc. 3.150% 7/24/24 8,000 8,293
  Centrais Eletricas Brasileiras SA 5.750% 10/27/21 1,800 1,665
7 CEZ AS 4.250% 4/3/22 1,000 1,075
  China Development Bank Corp. 5.000% 10/15/15 1,500 1,526
7 CNOOC Finance 2012 Ltd. 3.875% 5/2/22 1,000 1,039
7 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 1,000
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 5,000 5,075
7 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 1,400 1,501
7 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 3,000 3,179
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 1,500 1,581
7 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 1,500 1,619
7 Corp. Nacional del Cobre de Chile 4.875% 11/4/44 750 777
  Corporacion Andina De Fomento 3.750% 1/15/16 11,500 11,741
7 Democratic Socialist Republic of Sri Lanka 5.125% 4/11/19 2,000 2,005
  Ecopetrol SA 7.375% 9/18/43 1,000 1,125
  Ecopetrol SA 5.875% 5/28/45 8,000 7,670
7 Electricite de France SA 6.000% 1/22/14 50 56
12 Emirates NBD PJSC 5.750% 5/8/19 4,060 3,412
4,7 ENA Norte Trust 4.950% 4/25/28 1,778 1,842
  Eskom Holdings SOC Ltd. 5.750% 1/26/21 12,200 12,139
  European Investment Bank 2.250% 3/15/16 8,000 8,134
  European Investment Bank 2.125% 7/15/16 10,000 10,205
  European Investment Bank 2.500% 4/15/21 7,000 7,308
  European Investment Bank 3.250% 1/29/24 2,000 2,191
  Export-Import Bank of Korea 4.125% 9/9/15 2,000 2,023
  Export-Import Bank of Korea 4.000% 1/11/17 10,000 10,447
  Export-Import Bank of Korea 2.875% 9/17/18 3,000 3,106
  Export-Import Bank of Korea 5.125% 6/29/20 2,000 2,277
  Export-Import Bank of Korea 4.000% 1/29/21 1,000 1,082
  Export-Import Bank of Korea 4.000% 1/14/24 2,000 2,174
  Federative Republic of Brazil 4.250% 1/7/25 10,850 10,750
  FMS Wertmanagement AoeR 1.625% 11/20/18 5,000 5,076
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 2,400 2,464
  Inter-American Development Bank 3.000% 2/21/24 6,425 6,920
  International Finance Corp. 1.000% 4/24/17 6,700 6,719
  International Finance Corp. 1.750% 9/4/18 3,000 3,057
7 IPIC GMTN Ltd. 5.500% 3/1/22 800 934
7 KazMunayGas National Co. JSC 4.400% 4/30/23 2,000 1,878
13 KFW 1.250% 2/15/17 4,000 4,044
13 KFW 1.000% 6/11/18 11,750 11,731
13 KFW 2.750% 10/1/20 3,000 3,174
13 KFW 2.625% 1/25/22 9,000 9,434
13 KFW 2.000% 10/4/22 2,000 2,010
7 Kommunalbanken AS 1.000% 9/26/17 1,500 1,502
  Korea Development Bank 3.250% 9/20/16 1,000 1,029
  Korea Development Bank 3.875% 5/4/17 5,000 5,226
  Korea Development Bank 1.500% 1/22/18 2,000 1,994
  Korea Development Bank 4.625% 11/16/21 2,000 2,256
7 Korea Land & Housing Corp. 1.875% 8/2/17 5,000 5,015
7 Korea Western Power Co. Ltd. 3.125% 5/10/17 1,300 1,337
7 Korea Western Power Co. Ltd. 2.875% 10/10/18 2,000 2,058
7 Kowloon-Canton Railway Corp. 5.125% 5/20/19 2,500 2,795
13 Landwirtschaftliche Rentenbank 2.125% 7/15/16 5,000 5,100
13 Landwirtschaftliche Rentenbank 1.375% 10/23/19 2,000 1,992

 

 

  Nexen Energy ULC 6.200% 7/30/19 2,000 2,282
  North American Development Bank 2.300% 10/10/18 1,500 1,530
  North American Development Bank 2.400% 10/26/22 1,300 1,291
7 OCP SA 5.625% 4/25/24 1,200 1,283
7 Ooredoo International Finance Ltd. 4.750% 2/16/21 1,500 1,653
7 Ooredoo International Finance Ltd. 3.250% 2/21/23 700 697
7 Pertamina Persero PT 6.000% 5/3/42 1,000 1,003
  Petrobras Global Finance BV 5.625% 5/20/43 12,160 10,012
  Petrobras International Finance Co. SA 3.875% 1/27/16 4,025 4,035
  Petrobras International Finance Co. SA 5.875% 3/1/18 15,631 15,992
  Petrobras International Finance Co. SA 5.375% 1/27/21 13,275 12,727
  Petrobras International Finance Co. SA 6.875% 1/20/40 800 758
  Petroleos Mexicanos 5.750% 3/1/18 15,500 16,870
  Petroleos Mexicanos 8.000% 5/3/19 3,200 3,818
  Petroleos Mexicanos 5.500% 1/21/21 26,000 28,593
  Petroleos Mexicanos 4.875% 1/24/22 24,000 25,518
  Petroleos Mexicanos 3.500% 1/30/23 2,000 1,937
  Province of Manitoba 1.750% 5/30/19 2,000 2,016
  Province of New Brunswick 2.750% 6/15/18 1,250 1,305
  Province of Ontario 3.000% 7/16/18 3,000 3,155
  Province of Ontario 4.000% 10/7/19 4,500 4,950
7,14 Qatari Diar Finance QSC 3.500% 7/21/15 500 502
  Quebec 2.625% 2/13/23 5,700 5,840
  Quebec 2.875% 10/16/24 8,250 8,517
  Republic of Colombia 4.375% 7/12/21 14,200 15,066
  Republic of Colombia 6.125% 1/18/41 5,450 6,405
4 Republic of Colombia 5.000% 6/15/45 7,240 7,360
  Republic of Hungary 4.000% 3/25/19 10,250 10,724
  Republic of Indonesia 3.750% 4/25/22 3,000 3,056
  Republic of Indonesia 6.625% 2/17/37 1,500 1,824
10 Republic of Italy 1.050% 12/1/19 6,000 6,869
10 Republic of Italy 2.500% 12/1/24 2,100 2,574
  Republic of Korea 7.125% 4/16/19 1,500 1,804
7 Republic of Latvia 2.750% 1/12/20 1,000 1,023
  Republic of Namibia 5.500% 11/3/21 4,400 4,840
  Republic of Poland 3.875% 7/16/15 3,000 3,020
  Republic of Poland 5.125% 4/21/21 12,600 14,380
  Republic of Romania 4.375% 8/22/23 2,000 2,123
  Republic of South Africa 6.875% 5/27/19 2,000 2,295
  Republic of the Philippines 7.750% 1/14/31 981 1,476
  Republic of the Philippines 3.950% 1/20/40 871 931
  Republic of Turkey 7.500% 7/14/17 58,000 64,226
  Republic of Turkey 6.750% 4/3/18 2,600 2,872
  Republic of Turkey 7.000% 6/5/20 6,000 6,909
  Republic of Turkey 6.250% 9/26/22 4,700 5,304
  Republic of Turkey 3.250% 3/23/23 8,200 7,728
  Republic of Turkey 4.250% 4/14/26 12,000 11,640
4,7 Rio Oil Finance Trust Series 2014-3 6.750% 1/6/27 2,150 2,118
7 Saudi Electricity Global Sukuk Co. 3 4.000% 4/8/24 1,000 1,069
7 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 1,800 1,928
  State of Israel 5.125% 3/26/19 2,550 2,877
  State of Israel 3.150% 6/30/23 2,000 2,076
7 State of Qatar 5.250% 1/20/20 1,000 1,138
  Statoil ASA 2.450% 1/17/23 3,000 2,948
  Statoil ASA 3.950% 5/15/43 1,000 1,009
  Statoil ASA 4.800% 11/8/43 2,000 2,291
  Svensk Exportkredit AB 1.750% 10/20/15 3,000 3,020

 

 

7 Temasek Financial I Ltd. 2.375% 1/23/23 1,000 989
United Mexican States 6.050% 1/11/40 1,676 2,036
United Mexican States 5.550% 1/21/45 1,700 1,948
United Mexican States 5.750% 10/12/10 5,800 6,212
Total Sovereign Bonds (Cost $598,324)       610,562
Taxable Municipal Bonds (0.2%)        
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.420% 5/1/21 4,000 4,186
California GO 5.750% 3/1/17 2,000 2,174
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.995% 7/1/20 1,250 1,280
Illinois GO 5.365% 3/1/17 1,000 1,069
Illinois GO 5.000% 1/1/23 1,835 1,912
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 2.885% 1/1/21 1,000 1,045
Johns Hopkins University Maryland GO 5.250% 7/1/19 199 227
Louisiana Local Government Environmental        
Facilities & Community Development Authority        
Revenue 2010-EGSL 3.220% 2/1/21 12,000 12,440
Louisiana Local Government Environmental        
Facilities & Community Development Authority        
Revenue 2010-ELL 3.450% 2/1/22 5,475 5,732
5 Mississippi GO (Nissan North America, Inc.        
Project) 0.879% 11/1/17 5,520 5,552
New York City NY Industrial Development        
Agency Special Facility Revenue (American        
Airlines Inc. John F. Kennedy International        
Airport Project) 7.500% 8/1/16 1,565 1,635
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.125% 2/1/24 1,500 1,748
New York State Dormitory Authority Revenue        
(Employer Assessment) 3.892% 12/1/24 2,000 2,160
Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 2,000 2,475
San Diego County CA Regional Airport        
Authority Revenue 3.730% 7/1/21 800 846
Texas GO 3.682% 8/1/24 2,000 2,145
University of California Revenue 2.054% 5/15/18 500 515
University of California Revenue 2.300% 5/15/21 1,000 1,009
Total Taxable Municipal Bonds (Cost $46,149)       48,150
Tax-Exempt Municipal Bonds (0.0%)        
7 Louisiana Public Facilities Authority Dock &        
Wharf Revenue (Impala Warehousing LLC        
Project) 6.500% 7/1/36 3,300 3,748
Total Tax-Exempt Municipal Bonds (Cost $3,300)       3,748

 

 

        Market
        Value
  Coupon   Shares ($000)
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
*,8 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) 7.250%   8,740 —
Temporary Cash Investment (1.3%)        
Money Market Fund (1.3%)        
15 Vanguard Market Liquidity Fund (Cost        
$266,277) 0.121%   266,276,559 266,277
Total Investments (100.6%) (Cost $19,467,776)       20,028,238
    Expiration Date Contracts  
Liability for Options Written (0.0%)        
 
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 650 (71)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 649 (41)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 209 (10)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 104 (3)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 65 (12)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/27/15 650 (295)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 649 (446)
 
Total Liability for Options Written (Premiums received $925)     (878)
Other Assets and Liabilities-Net (-0.6%)       (45,740)
Net Assets (100%)       19,981,620

 

* Non-income-producing security.
1 Securities with a value of $12,032,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $3,960,000 have been segregated as collateral for open over-the-counter swap contracts and forward currency contracts.
3 Securities with a value of $6,325,000 have been segregated as initial margin for open cleared 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 Adjustable-rate security.
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 April 30, 2015, the aggregate value of these securities was $1,724,412,000, representing 8.7% of net assets.
8 Non-income-producing security—security in default.
9 Face amount denominated in British pounds.
10 Face amount denominated in euro.
11 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
12 Face amount denominated in Australian dollars.
13 Guaranteed by the Federal Republic of Germany.

 

14 Guaranteed by the State of Qatar.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
USD—United School District.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. 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 April 30, 2015, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 1,884,089 —
Asset-Backed/Commercial Mortgage-Backed Securities — 2,327,933 28,178
Corporate Bonds — 14,852,408 6,893
Sovereign Bonds — 605,579 4,983
Taxable Municipal Bonds — 48,150 —
Tax-Exempt Municipal Bonds — 3,748 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 266,277 — —
Liability for Options Written (878) — —
Futures Contracts—Assets1 2,163 — —
Futures Contracts—Liabilities1 (1,350) — —
Forward Currency Contracts—Assets — 6,041 —
Forward Currency Contracts—Liabilities — (12,586) —
Swap Contracts—Assets — 13,617 —
Swap Contracts—Liabilities (276)1 (861) —
Total 265,936 19,728,118 40,054
1 Represents variation margin on the last day of the reporting period.

 

D. Futures and Options: The fund uses 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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
5-Year U.S. Treasury Note June 2015 9,938 1,193,880 7,653
2-Year U.S. Treasury Note June 2015 (1,302) (285,484) 45
10-Year U.S. Treasury Note June 2015 (1,228) (157,645) (11 )
Euro-Bund June 2015 (1,018) (179,118) 540
30-Year U.S. Treasury Bond June 2015 (452) (72,136) 824
Ultra Long U.S. Treasury Bond June 2015 (217) (35,697) 1,124
Euro-Bobl June 2015 (68) (9,834) 20
Australia 3-Year Treasury Bond June 2015 (38) (4,601) 13
Euro-Buxl June 2015 (5) (947) 21
Long Gilt June 2015 5 907 (2 )
Euro-Schatz June 2015 3 374 -
        10,227

 

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

E. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exhange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

 

At April 30, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

        Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Morgan Stanley Capital Services LLC 5/5/15 EUR 151,890 USD 164,664 5,897
Morgan Stanley Capital Services LLC 5/5/15 GBP 3,485 USD 5,273 77
Morgan Stanley Capital Services LLC 5/4/15 AUD 2,788 USD 2,177 28
Goldman Sachs Bank USA 5/5/15 EUR 614 USD 650 39
Morgan Stanley Capital Services LLC 6/2/15 USD 164,722 EUR 151,890 (5,902)
Bank of America, N.A. 5/5/15 USD 153,217 EUR 141,415 (5,581)
Morgan Stanley Capital Services LLC 6/2/15 USD 6,707 EUR 6,000 (33)
UBS AG 5/5/15 USD 5,629 EUR 5,240 (255)
Morgan Stanley Capital Services LLC 6/2/15 USD 5,272 GBP 3,485 (77)
BNP Paribas 5/5/15 USD 5,159 GBP 3,485 (191)
UBS AG 5/5/15 USD 4,442 EUR 4,125 (191)
Morgan Stanley Capital Services LLC 6/2/15 USD 2,745 EUR 2,500 (63)
Morgan Stanley Capital Services LLC 6/2/15 USD 2,174 AUD 2,788 (28)
Barclays Bank plc 5/4/15 USD 2,119 AUD 2,788 (86)
Morgan Stanley Capital Services LLC 6/2/15 USD 2,027 AUD 2,600 (27)
Morgan Stanley Capital Services LLC 6/2/15 USD 1,617 EUR 1,500 (68)
Morgan Stanley Capital Services LLC 6/2/15 USD 1,261 AUD 1,615 (15)
Barclays Bank plc 5/5/15 USD 695 EUR 639 (22)
J. P. Morgan Chase Bank 5/5/15 USD 639 EUR 595 (29)
Barclays Bank plc 5/5/15 USD 532 EUR 490 (18)
            (6,545)

AUD—Australian dollar.
EUR—Euro.
GBP—British pound.
USD—U.S. dollar.

F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term

 

of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

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

The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of 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 if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate 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 April 30, 2015, the fund had the following open swap contracts:
Over-the-Counter Credit Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received  Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Sold/Moody's            
Rating            
Bank of America Corp./Baa2 12/20/17 MSCS 7,680 153 1.000 276
Federation of Malaysia/A3 6/20/20 BOANA 3,840 72 1.000 27
Federation of Malaysia/A3 6/20/20 JPMC 860 16 1.000 6
Federation of Malaysia/A3 6/20/20 BOANA 1,500 25 1.000 7
Federation of Malaysia/A3 6/20/20 GSCM 1,500 25 1.000 7
Federative Republic of            
Brazil/Baa2 6/20/20 GSCM 21,060 1,718 1.000 417
Federative Republic of            
Brazil/Baa2 6/20/20 BARC 7,240 400 1.000 (47)
Federative Republic of            
Brazil/Baa2 6/20/20 BOANA 4,600 358 1.000 74
Goldman Sachs Group Inc./Baa1 3/20/20 BOANA 7,870 (68) 1.000 (10)
Republic of Chile/Aa3 6/20/20 JPMC 10,100 (44) 1.000 7
Republic of Chile/Aa3 6/20/20 BNPSW 3,300 (24) 1.000 (7)
Republic of Indonesia/Baa3 6/20/20 BNPSW 2,200 53 1.000 (15)
Republic of Turkey/Baa3 12/20/16 BNPSW 7,000 19 1.000 (8)
Russian Federation/Ba1 6/20/17 GSCM 3,200 174 1.000 31
United Mexican States/A3 6/20/20 GSCM 3,600 41 1.000 3
United Mexican States/A3 6/20/20 GSCM 3,500 50 1.000 13
Total     89,050     781

 

 

Over-the-Counter Credit Default Swaps            
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation)
Reference Entity Date Counterparty1 ($000) ($000) (%) ($000)
Credit Protection Purchased            
Banco Bilbao Vizcaya Argentaria            
SA 12/20/19 BOANA 5,135 56 (1.000) 12
Banco Santander SA 3/20/20 BOANA 6,595 6 (1.000) (43)
Banco Santander SA 3/20/20 BARC 6,460 33 (1.000) (16)
Bank of America Corp. 3/20/20 GSCM 7,870 121 (1.000) (26)
BBVA Senior Finance 3/20/20 BOANA 6,510 46 (1.000) (3)
Devon Energy Corporation 9/20/18 BARC 7,000 20 (1.000) (136)
EI du Pont de Nemours & Co. 9/20/18 GSCM 2,250 38 (1.000) (23)
EI du Pont de Nemours & Co. 9/20/18 BARC 2,250 37 (1.000) (24)
EI du Pont de Nemours & Co. 9/20/18 DBAG 2,250 37 (1.000) (24)
EI du Pont de Nemours & Co. 9/20/18 BNPSW 2,250 37 (1.000) (24)
EI du Pont de Nemours & Co. 9/20/18 CSFBI 2,970 57 (1.000) (23)
Federal Express Corp. 12/20/18 GSCM 7,840 88 (1.000) (128)
Federative Republic of Brazil 12/20/15 BOANA 1,500 (2) (1.000) (7)
Intesa Sanpaolo SpA 12/20/19 BARC 5,135 49 (1.000) 6
Intesa Sanpaolo SpA 3/20/20 BOANA 6,510 31 (1.000) (16)
McKesson Corp. 3/20/19 JPMC 6,360 175 (1.000) (45)
McKesson Corp. 3/20/19 JPMC 6,360 171 (1.000) (49)
Morgan Stanley 9/20/15 BARC 4,400 (19) (1.000) (33)
Republic of Austria 9/20/17 BNPSW 1,200 (14) (1.000) (40)
Republic of Colombia 6/20/20 BOANA 5,000 (110) (1.000) (13)
Republic of Colombia 6/20/20 JPMC 3,500 (75) (1.000) (7)
Republic of Korea 9/20/18 JPMC 2,000 12 (1.000) (39)
Republic of Turkey 6/20/20 BNPSW 4,550 (230) (1.000) 27
United Mexican States 12/20/15 BOANA 1,500 (3) (1.000) (9)
Total     107,395     (683)

 

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 LLC

Centrally Cleared Interest Rate Swaps            
      Fixed Floating    
      Interest Rate Interest Rate   Unrealized
    Notional Received Received   Appreciation
    Amount (Paid) (Paid)   (Depreciation)
Termination Date Clearinghouse1 ($000) (%) (%)   ($000)
7/15/15 CME 7,422 0.393 (0.182) 3 (4)
8/15/15 CME 53,730 1.587 (0.182) 3 (185)
10/20/15 LCH 10,000 0.390 (0.181) 3 (10)
2/15/16 LCH 4,000 0.450 (0.182) 3 (4)
2/15/16 CME 9,000 0.448 (0.182) 3 (2)
5/16/16 CME 10,800 0.434 (0.182) 3 1
5/16/16 CME 1,400 0.451 (0.183) 3 -
5/22/16 CME 3,800 0.546 (0.262) 2 2
6/15/16 LCH 3,594 0.299 (0.182) 3 (1)
6/17/16 CME 1,100 0.485 (0.180) 3 1
6/17/16 CME 970 0.485 (0.180) 3 1
6/17/16 CME 4,400 0.444 (0.180) 3 2
9/17/16 CME 1,050 0.643 (0.180) 3 2
9/17/16 CME 2,560 0.643 (0.180) 3 5
10/25/16 CME 15,200 1.714 (0.277) 2 (35)
12/10/16 LCH 8,355 0.656 (0.181) 3 10
1/15/17 CME 3,050 0.770 (0.182) 3 9
1/17/17 LCH 6,500 0.700 (0.180) 3 10
2/15/17 CME 1,600 0.729 (0.182) 3 3
2/15/17 LCH 6,585 1.875 (0.182) 3 (37)
2/15/17 CME 625 3.373 (0.182) 3 (4)
2/15/17 CME 950 2.407 (0.182) 3 (4)
2/15/17 CME 5,700 2.407 (0.182) 3 (22)
2/15/17 CME 400 0.714 (0.182) 3 -
2/15/17 CME 1,490 3.180 (0.182) 3 (10)
2/15/17 CME 1,145 2.287 (0.182) 3 (5)

 

 

2/15/17 CME 365 3.432 (0.182) 3 (3)
3/15/17 CME 39,385 0.937 (0.182) 3 205
4/20/17 CME 13,000 0.960 (0.181) 3 (6)
5/5/17 LCH 4,555 0.876 (0.182) 3 1
5/17/17 CME 3,900 1.036 (0.180) 3 26
6/17/17 LCH 2,925 0.736 (0.180) 3 (1)
9/15/17 LCH 5,910 0.755 (0.182) 3 14
9/15/17 CME 1,100 2.345 (0.182) 3 (3)
9/15/17 CME 5,400 3.363 (0.182) 3 (37)
9/15/17 CME 4,850 3.520 (0.182) 3 (33)
9/15/17 CME 7,295 2.532 (0.182) 3 (32)
10/16/17 CME 7,000 0.749 (0.183) 3 8
12/15/17 CME 6,000 0.788 (0.182) 3 -
2/15/18 CME 10,170 1.348 (0.182) 3 112
2/15/18 CME 18,000 0.923 (0.182) 3 (14)
2/15/18 LCH 35,000 1.097 (0.182) 3 132
3/15/18 LCH 13,000 0.944 (0.182) 3 94
4/16/18 LCH 3,500 1.013 (0.182) 3 1
5/1/18 CME 3,400 1.214 (0.179) 3 21
5/24/18 CME 10,000 0.984 (0.182) 3 (12)
1/15/19 LCH 18,930 1.509 (0.182) 3 217
3/15/19 CME 5,135 1.701 (0.182) 3 93
3/15/19 CME 22,370 1.699 (0.182) 3 407
3/15/19 CME 4,990 1.399 (0.182) 3 (15)
6/12/19 CME 4,600 1.674 (0.268) 2 49
1/20/20 CME 20,920 1.224 (0.181) 3 (166)
4/15/20 LCH 14,650 1.344 (0.171) 3 (67)
4/25/20 CME 28,610 3.024 (0.277) 2 (226)
2/15/21 CME 6,100 2.200 (0.182) 3 213
10/15/21 LCH 5,720 1.949 (0.182) 3 98
2/15/22 LCH 8,755 1.583 (0.176) 3 (75)
1/25/23 CME 4,500 2.560 (0.181) 3 246
3/25/23 CME 1,150 2.773 (0.181) 3 81
2/25/25 CME 2,490 2.077 (0.181) 3 20
2/25/25 CME 3,100 2.077 (0.181) 3 25
9/17/31 CME 2,396 3.065 (0.180) 3 269

 

 

9/17/31   CME 498 3.065 (0.180) 3 56
  Total           1,421

 

1 CME--Chicago Mercantile Exchange.
LCH--London Clearing House.
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.

Over-the-Counter Interest Rate Swaps          
      Fixed Floating    
      Interest Rate Interest Rate   Unrealized
    Notional Received Received   Appreciation
    Amount (Paid) (Paid)   (Depreciation)
Termination Date Counterparty1 ($000) (%) (%)   ($000)
2/22/16 BNPSW 1,501 0.522 (0.262) 2 1
5/19/16 WFC 1,672 1.454 (0.257) 2 17
8/15/18 BNPSW 5,400 0.715 (0.182) 3 (10)
4/25/19 WFC 4,841 2.756 (0.277) 2 190
4/25/19 WFC 9,457 2.053 (0.279) 2 222
4/25/20 GSCM 3,821 2.794 (0.277) 2 166
4/1/21 WFC 4,958 0.965 (0.179) 3 (36)
6/25/21 GSCM 5,720 3.143 (0.267) 2 340
10/25/21 WFC 6,500 3.328 (0.277) 2 455
11/25/22 BARC 16,796 2.758 (0.262) 2 743
11/25/22 UBSAG 2,652 2.491 (0.262) 2 94
1/25/23 WFC 3,000 3.144 (0.277) 2 202
7/25/23 BARC 24,625 3.483 (0.277) 2 2,161
12/25/26 WFC 16,000 1.920 (0.181) 3 232
Total           4,777

 

1 BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
GSCM--Goldman Sachs Bank USA.
UBSAG--UBS AG.
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.

 

Cross-Currency Swaps          
 
 
        Notional Notional  
        Amount of Amount of Unrealized
Fixed Interest       Currency Currency Appreciation
Rate Fixed Interest Termination   Received Delivered (Depreciation)
Received Rate Paid Date Counterparty1 ($000) (000) ($000)
USD 5.555% GBP 5. 500% 10/6/26 BARC 10,725 GBP 6,250 1,063
USD 3.180% EUR 1.900% 4/8/22 BARC 9,666 EUR 7,000 1,635
USD 3.331% GBP 3.250% 9/25/24 BNSPW 8,523 GBP 5,000 708
USD 5.502% GBP 5.250% 9/14/27 MSCS 8,061 GBP 4,800 641
USD 4.076% EUR 2.750% 8/2/22 MSCS 6,897 EUR 5,000 1,221
USD 4.112% EUR 2.625% 4/1/21 MSCS 6,783 EUR 5,000 1,201
USD 8.542% GBP 8.750% 4/8/21 MSCS 5,134 GBP 3,000 607
USD 6.403% GBP 6.500% 4/8/22 BARC 5,072 GBP 3,000 444
USD 5.780% GBP 5.500% 10/6/26 MSCS 4,146 GBP 2,500 293
USD 3.766% EUR 2.625% 4/1/21 BARC 384 EUR 277 68
            7,881

 

1 BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

MSCS—Morgan Stanley Capital Services LLC.

EUR—Euro.

GBP—British pound.

At April 30, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $12,424,000 in connection with open swap contracts and forward currency contracts.

G. At April 30, 2015, the cost of investment securities for tax purposes was $19,487,725,000. Net unrealized appreciation of investment securites for tax purposes was $540,513,000, consisting of unrealized gains of $647,939,000 on securities that had risen in value since their purchase and $107,426,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund        
 
 
 
Schedule of Investments        
As of April 30, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (103.6%)        
U.S. Government Securities (98.8%)        
United States Treasury Inflation Indexed        
Bonds 0.750% 2/15/45 13,500 13,536
United States Treasury Note/Bond 2.250% 11/15/24 15,500 15,796
United States Treasury Note/Bond 2.000% 2/15/25 20,000 19,931
United States Treasury Note/Bond 7.625% 2/15/25 1,500 2,255
1 United States Treasury Note/Bond 6.000% 2/15/26 47,100 64,880
United States Treasury Note/Bond 6.750% 8/15/26 19,400 28,427
United States Treasury Note/Bond 6.500% 11/15/26 20,000 28,900
United States Treasury Note/Bond 6.125% 11/15/27 13,000 18,562
United States Treasury Note/Bond 5.500% 8/15/28 1,400 1,918
United States Treasury Note/Bond 5.250% 11/15/28 43,250 58,138
United States Treasury Note/Bond 5.250% 2/15/29 52,400 70,568
United States Treasury Note/Bond 6.125% 8/15/29 25,700 37,562
United States Treasury Note/Bond 6.250% 5/15/30 12,000 17,927
United States Treasury Note/Bond 5.375% 2/15/31 98,000 136,649
United States Treasury Note/Bond 4.500% 2/15/36 86,400 114,372
United States Treasury Note/Bond 4.750% 2/15/37 13,400 18,308
United States Treasury Note/Bond 5.000% 5/15/37 9,600 13,560
United States Treasury Note/Bond 4.500% 5/15/38 4,500 5,946
United States Treasury Note/Bond 3.500% 2/15/39 129,300 147,927
United States Treasury Note/Bond 4.250% 5/15/39 60,366 77,183
United States Treasury Note/Bond 4.500% 8/15/39 51,100 67,723
United States Treasury Note/Bond 4.375% 11/15/39 54,500 71,054
United States Treasury Note/Bond 4.625% 2/15/40 57,450 77,602
United States Treasury Note/Bond 4.375% 5/15/40 57,449 75,060
United States Treasury Note/Bond 3.875% 8/15/40 54,300 66,017
United States Treasury Note/Bond 4.250% 11/15/40 68,500 88,173
United States Treasury Note/Bond 3.750% 8/15/41 60,700 72,793
United States Treasury Note/Bond 3.125% 11/15/41 59,950 64,596
United States Treasury Note/Bond 3.125% 2/15/42 84,000 90,352
United States Treasury Note/Bond 3.000% 5/15/42 66,400 69,751
United States Treasury Note/Bond 2.750% 8/15/42 195,850 195,972
United States Treasury Note/Bond 2.750% 11/15/42 263,500 263,500
United States Treasury Note/Bond 3.125% 2/15/43 132,700 142,528
United States Treasury Note/Bond 2.875% 5/15/43 180,897 185,334
United States Treasury Note/Bond 3.625% 8/15/43 47,300 55,666
United States Treasury Note/Bond 3.750% 11/15/43 71,600 86,166
United States Treasury Note/Bond 3.625% 2/15/44 159,100 187,439
United States Treasury Note/Bond 3.375% 5/15/44 164,750 185,756
United States Treasury Note/Bond 3.125% 8/15/44 149,900 161,471
United States Treasury Note/Bond 3.000% 11/15/44 123,600 130,069
United States Treasury Note/Bond 2.500% 2/15/45 121,800 115,730
        3,345,097
Conventional Mortgage-Backed Securities (4.8%)        
2,3,4Fannie Mae Pool 3.500% 6/1/45 94,000 98,245
2,3,4Fannie Mae Pool 4.000% 6/1/45 59,000 62,955

 

 

2,3 Fannie Mae Pool 6.000% 2/1/26–11/1/28 27 31
        161,231
Total U.S. Government and Agency Obligations (Cost $3,157,524)     3,506,328
Temporary Cash Investment (0.5%)        
      Shares  
Money Market Fund (0.5%)        
5 Vanguard Market Liquidity Fund (Cost        
$16,511) 0.121%   16,511,108 16,511
Total Investments (104.1%) (Cost $3,174,035)       3,522,839
 
Liability for Options Written (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.00   5/22/15 112 (12)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $130.50   5/22/15 114 (7)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.00   5/22/15 39 (2)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $131.50   5/22/15 19 (1)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/22/15 11 (2)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.00   5/22/15 112 (51)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $128.50   5/22/15 114 (78)
Total Liability for Options Written (Premiums received $162)     (153)
Other Assets and Liabilities-Net (-4.1%)       (137,328)
Net Assets (100%)       3,385,358

 

1 Securities with a value of $820,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2015.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

Long-Term Treasury Fund

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At April 30, 2015, counterparties had deposited in segregated accounts cash with a value of $280,000 in connection with TBA transactions.

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 April 30, 2015, based on the inputs used to value them:
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,506,328 —
Temporary Cash Investments 16,511 — —
Futures Contracts—Assets1 44 — —
Futures Contracts—Liabilities1 (9) — —
Liability for Options Written (153) — —
Total 16,393 3,506,328 —
1 Represents variation margin on the last day of the reporting period.

 

D. Futures and Options: The fund uses 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

 

Long-Term Treasury Fund

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 settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

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 April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
2-Year U.S. Treasury Note June 2015 (236) (51,747) (182)
5-Year U.S. Treasury Note June 2015 (124) (14,896) 3
30-Year U.S. Treasury Bond June 2015 (60) (9,576) 182
10-Year U.S. Treasury Note June 2015 (39) (5,007) (1)
Ultra Long U.S. Treasury Bond June 2015 (21) (3,455) 107
        (109)

 

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

E. At April 30, 2015, the cost of investment securities for tax purposes was $3,180,182,000. Net unrealized appreciation of investment securities for tax purposes was $342,657,000, consisting of unrealized gains of $347,869,000 on securities that had risen in value since their purchase and $5,212,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Ultra-Short-Term Bond Fund

Schedule of Investments
As of April 30, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (21.8%)        
U.S. Government Securities (12.0%)        
  United States Treasury Note/Bond 0.250% 10/31/15 1,770 1,771
  United States Treasury Note/Bond 0.250% 12/15/15 1,680 1,681
1 United States Treasury Note/Bond 0.250% 12/31/15 530 530
  United States Treasury Note/Bond 0.500% 6/15/16 1,000 1,002
  United States Treasury Note/Bond 1.500% 6/30/16 4,000 4,054
  United States Treasury Note/Bond 0.625% 8/15/16 5,300 5,316
  United States Treasury Note/Bond 1.000% 8/31/16 4,400 4,435
  United States Treasury Note/Bond 0.875% 9/15/16 1,700 1,711
          20,500
Agency Bonds and Notes (9.8%)        
2 Federal Home Loan Banks 0.375% 8/28/15 1,250 1,251
2 Federal Home Loan Banks 0.190% 11/19/15 500 500
2 Federal Home Loan Banks 0.500% 11/20/15 2,255 2,259
2 Federal Home Loan Banks 1.375% 12/11/15 400 403
2 Federal Home Loan Banks 5.000% 12/11/15 250 257
2 Federal Home Loan Banks 0.375% 12/30/15 1,000 1,001
2 Federal Home Loan Banks 0.340% 1/25/16 350 350
2 Federal Home Loan Banks 0.375% 2/19/16 135 135
2 Federal Home Loan Banks 0.250% 3/11/16 200 200
2 Federal Home Loan Banks 3.125% 3/11/16 1,000 1,024
2 Federal Home Loan Banks 0.250% 4/29/16 1,000 999
2 Federal Home Loan Banks 5.375% 5/18/16 1,350 1,421
3 Federal Home Loan Mortgage Corp. 4.750% 11/17/15 356 365
3 Federal Home Loan Mortgage Corp. 0.500% 5/13/16 1,350 1,352
3 Federal Home Loan Mortgage Corp. 0.400% 5/27/16 300 300
3 Federal National Mortgage Assn. 2.000% 9/21/15 250 252
3 Federal National Mortgage Assn. 1.625% 10/26/15 450 453
3 Federal National Mortgage Assn. 0.375% 12/21/15 1,050 1,051
3 Federal National Mortgage Assn. 5.000% 3/15/16 1,720 1,790
3 Federal National Mortgage Assn. 0.500% 3/30/16 1,485 1,488
          16,851
Total U.S. Government and Agency Obligations (Cost $37,343)     37,351
Asset-Backed/Commercial Mortgage-Backed Securities (27.8%)      
4 Ally Auto Receivables Trust 2015-SN1 0.930% 6/20/17 800 801
4,5 Ally Master Owner Trust Series 2010-4 1.252% 8/15/17 286 287
4,5,6Ally Master Owner Trust Series 2010-4 1.731% 8/15/17 237 238
4,5,6Ally Master Owner Trust Series 2010-4 2.131% 8/15/17 180 181
4,5 Ally Master Owner Trust Series 2014-1 0.651% 1/15/19 151 151
4 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 155 156
4,5 American Express Credit Account Secured        
  Note Trust 2008-2 1.442% 9/15/20 100 103
4,5 American Express Credit Account Secured        
  Note Trust 2012-4 0.731% 5/15/20 168 169
4,5 American Express Credit Account Secured        
  Note Trust 2014-5 0.471% 5/15/20 410 410
4,5,6American Homes 4 Rent 2014-SFR1 1.600% 6/17/31 100 99
4 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 19 19

 

 

4 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 88 88
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 97 98
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 21 21
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 39 39
4 AmeriCredit Automobile Receivables Trust        
  2015-2 0.830% 9/10/18 650 650
4,6 ARI Fleet Lease Trust 2014-A 0.810% 11/15/22 896 888
4,6 ARI Fleet Lease Trust 2015-A 1.110% 11/15/18 1,100 1,099
4,5,6Arran Residential Mortgages Funding 2011-1        
  plc 1.707% 11/19/47 113 114
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2012-2A 2.802% 5/20/18 1,300 1,333
4,5 BA Credit Card Trust 2007-A4 0.222% 11/15/19 101 101
4 BA Credit Card Trust 2015-A2 1.360% 9/15/20 850 851
4 Banc of America Commercial Mortgage Trust        
  2006-5 5.415% 9/10/47 16 17
4 Banc of America Commercial Mortgage Trust        
  2006-6 5.347% 10/10/45 30 32
4 Banc of America Commercial Mortgage Trust        
  2007-2 5.731% 4/10/49 22 24
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.386% 2/10/51 39 43
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 20 21
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.896% 6/11/40 25 27
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 43 46
4 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-TOP28 5.710% 9/11/42 28 30
4,5 Brazos Higher Education Authority Inc. Series        
  2010-1 1.162% 5/25/29 245 245
4,5 Brazos Higher Education Authority Inc. Series        
  2011-1 1.062% 2/25/30 322 324
4 Capital Auto Receivables Asset Trust 2013-1 1.290% 4/20/18 34 34
4 Capital Auto Receivables Asset Trust 2013-1 1.740% 10/22/18 33 33
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 81 83
4 Capital Auto Receivables Asset Trust 2013-4 1.470% 7/20/18 190 191
4 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 92 93
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 82 83
4 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 103 104
4 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 37 37
4,5 Capital One Multi-asset Execution Trust 2007-        
  A1 0.232% 11/15/19 100 100
4,5 Capital One Multi-asset Execution Trust 2007-        
  A5 0.222% 7/15/20 168 167
4 Carmax Auto Owner Trust 2013-3 1.910% 3/15/19 36 36
4 Carmax Auto Owner Trust 2013-3 2.850% 2/18/20 22 22
4,5 Chase Issuance Trust 2007-C1 0.641% 4/15/19 185 184
4,5 Chase Issuance Trust 2012-A10 0.442% 12/16/19 250 250
4,5 Chase Issuance Trust 2014-A3 0.381% 5/15/18 350 350
4,5 Chase Issuance Trust 2015-A3 0.430% 4/15/19 1,200 1,200
4 Chase Issuance Trust 2015-A4 1.360% 4/15/20 400 400

 

 

4,6 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 24 24
4,6 Chrysler Capital Auto Receivables Trust 2013-        
  BA 1.270% 3/15/19 800 803
4,6 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 147 147
4 Citibank Credit Card Issuance Trust 2014-A4 1.230% 4/24/19 600 602
4 CNH Equipment Trust 2015-A 0.840% 6/15/18 250 250
4 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 24 25
4,5,6Colony American Homes 2014-1 1.400% 5/17/31 141 140
4,5,6Colony American Homes 2014-1 1.600% 5/17/31 100 99
4,5,6Colony American Homes Single-Family Rental        
  Pass-Through Certificates 2014-2 1.532% 7/17/31 100 99
4 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 38 40
4 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 24 25
4 COMM 2007-C9 Mortgage Trust 5.989% 12/10/49 17 18
4 COMM 2013-CCRE10 Mortgage Trust 1.278% 8/10/46 109 109
4 COMM 2013-CCRE13 Mortgage Trust 1.259% 11/10/18 129 129
4 COMM 2013-CCRE6 Mortgage Trust 0.719% 3/10/46 40 40
4 COMM 2013-CCRE9 Mortgage Trust 2.972% 8/10/46 14 15
4 COMM 2014-CCRE17 Mortgage Trust 1.275% 5/10/47 122 122
4 COMM 2014-CR14 Mortgage Trust 1.330% 2/10/47 48 48
4 COMM 2014-CR16 Mortgage Trust 1.445% 4/10/47 85 85
4 Commercial Mortgage Trust 2006-GG7 6.014% 7/10/38 24 25
4 Credit Suisse Commercial Mortgage Trust        
  Series 2006-C3 6.000% 6/15/38 12 12
4 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C1 5.361% 2/15/40 12 13
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.169% 2/15/41 24 26
4,6 Dell Equipment Finance Trust 2015-1 1.010% 7/24/17 1,100 1,100
4,5 Discover Card Execution Note Trust 2012-A4 0.551% 11/15/19 297 298
4,5 Discover Card Execution Note Trust 2013-A1 0.482% 8/17/20 400 400
4 Discover Card Execution Note Trust 2013-A2 0.690% 8/15/18 525 525
4,6 Drive Auto Receivables Trust 2015-A 1.010% 11/15/17 500 500
4,6 Enterprise Fleet Financing LLC Series 2012-2 0.720% 4/20/18 23 23
4,6 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 525 525
4,6 Enterprise Fleet Financing LLC Series 2015-1 1.300% 9/20/20 250 250
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 38 38
4,5 Fannie Mae Connecticut Avenue Securities        
  2015-C01 1.681% 2/25/25 45 45
4 Ford Credit Auto Lease Trust 2013-A 1.010% 5/15/16 109 109
4 Ford Credit Auto Lease Trust 2013-A 1.280% 6/15/16 83 83
4 Ford Credit Auto Lease Trust 2014-A 1.160% 8/15/17 137 137
4 Ford Credit Auto Lease Trust 2015-A 0.790% 12/15/17 1,000 1,000
4 Ford Credit Auto Owner Trust 2013-C 1.680% 11/15/18 30 30
4 Ford Credit Auto Owner Trust 2013-D 1.540% 3/15/19 62 62
4 Ford Credit Auto Owner Trust 2015-A 0.810% 1/15/18 500 501
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 226 229
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 100 101
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 100 101
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.370% 1/15/18 155 155

 

 

4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-1 1.820% 1/15/18 100 100
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-3 1.740% 6/15/17 46 46
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 1.400% 2/15/19 62 62
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-1 2.310% 2/15/21 27 27
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 250 251
4,6 FRS I LLC 2013-1A 1.800% 4/15/43 66 66
4,5 GE Capital Credit Card Master Note Trust        
  Series 2011-2 1.181% 5/15/19 304 305
4 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 250 250
4,5 GE Dealer Floorplan Master Note Trust Series        
  2012-2 0.931% 4/22/19 406 409
4,5 GE Dealer Floorplan Master Note Trust Series        
  2012-4 0.621% 10/20/17 211 211
4,5 GE Dealer Floorplan Master Note Trust Series        
  2014-2 0.631% 10/20/19 875 874
4 GE Equipment Transportation LLC Series        
  2015-1 0.890% 11/24/17 250 250
4,6 GM Financial Leasing Trust 2014-1A 1.760% 5/21/18 100 101
4 GM Financial Leasing Trust 2015-1 1.100% 12/20/17 600 601
4,6 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 536 542
4,5 Granite Master Issuer plc Series 2007-2 0.260% 12/17/54 15 15
4,6 Great America Leasing Receivables 2015-1 1.120% 6/20/17 500 501
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 15 16
4 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 163 163
4,6 Hertz Vehicle Financing LLC 2010-1A 3.740% 2/25/17 441 449
4,6 Hertz Vehicle Financing LLC 2011-1A 3.290% 3/25/18 351 363
4,6 Hyundai Auto Lease Securitization Trust        
  2014-A 1.300% 7/16/18 100 100
4,6 Hyundai Auto Lease Securitization Trust        
  2014-B 1.540% 12/17/18 100 100
4,6 Hyundai Auto Lease Securitization Trust        
  2015-A 1.000% 10/16/17 300 300
4 Hyundai Auto Receivables Trust 2012-B 1.950% 10/15/18 49 50
4 Hyundai Auto Receivables Trust 2013-B 1.450% 2/15/19 35 35
4 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 60 61
4 Hyundai Auto Receivables Trust 2015-B 0.690% 4/16/18 1,100 1,100
5 Illinois Student Assistance Commission Series        
  2010-1 1.327% 4/25/22 104 104
4,5,6Invitation Homes 2014-SFR1 Trust 1.680% 6/17/31 149 149
4,5,6Invitation Homes 2014-SFR2 Trust 1.782% 9/17/31 100 100
4,5,6Invitation Homes 2015-SFR2 Trust 1.528% 6/17/32 100 100
4 John Deere Owner Trust 2015-A 0.870% 2/15/18 300 300
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 19 19
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP7 6.057% 4/15/45 23 24
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 30 32
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 26 28

 

 

4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 20 21
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 1.247% 1/15/47 84 84
4,5,6Kildare Securities Ltd. 2007-1A 0.385% 12/10/43 14 13
4,6 Kubota Credit Owner Trust 2014-1 1.160% 5/15/18 400 400
4,5,6Lanark Master Issuer plc 2012-2A 1.662% 12/22/54 263 265
4 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 37 38
4 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 14 15
4 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 10 11
4 LB-UBS Commercial Mortgage Trust 2007-C2 5.387% 2/15/40 19 21
4 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 18 20
4,6 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 75 75
4,6 Master Credit Card Trust 2012-2A 1.970% 4/21/17 100 100
4,6 Master Credit Card Trust 2013-3A 2.280% 1/22/18 100 100
4,6 Mercedes-Benz Master Owner Trust 2012-A 0.790% 11/15/17 436 437
4,5,6Mercedes-Benz Master Owner Trust 2015-A 0.500% 4/15/19 1,200 1,200
4 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 12 12
4 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 9 9
4,6 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 38 38
4,6 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 148 149
4,6 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 234 240
4,6 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 100 101
4,6 MMAF Equipment Finance LLC 2013-A 1.030% 12/11/17 595 596
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 0.916% 8/15/45 54 54
4 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 35 36
4 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 17 18
4 Morgan Stanley Capital I Trust 2007-IQ15 6.104% 6/11/49 24 26
4 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 36 39
4,5 Navient Student Loan Trust 2015-2 0.490% 11/25/24 1,000 1,000
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 0.879% 1/2/25 131 130
4 Nissan Auto Lease Trust 2014-B 1.290% 3/16/20 681 683
4 Nissan Auto Receivables 2015-B Owner Trust 0.670% 9/15/17 900 900
4,5 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.482% 2/15/18 331 331
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 61 61
5 North Carolina State Education Assistance        
  Authority 2011-1 1.177% 1/26/26 151 150
4,5 North Carolina State Education Assistance        
  Authority 2011-2 1.056% 7/25/25 100 100
4,5,6PFS Financing Corp. 2015-AA 0.826% 4/15/20 100 100
4 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 146 147
4 Santander Drive Auto Receivables Trust        
  2013-5 1.550% 10/15/18 48 48
4 Santander Drive Auto Receivables Trust        
  2015-2 0.880% 9/17/18 1,000 1,000
4,5,6Silver Bay Realty 2014-1 Trust 1.632% 9/17/31 100 99
4,5 SLM Student Loan Trust 2005-5 0.377% 4/25/25 360 359
4,5 SLM Student Loan Trust 2005-9 0.397% 1/27/25 143 143
4,5 SLM Student Loan Trust 2006-6 0.387% 10/27/25 182 181
4,5,6SLM Student Loan Trust 2011-A 1.181% 10/15/24 58 58
4,6 SLM Student Loan Trust 2011-A 4.370% 4/17/28 100 107
4,5,6SLM Student Loan Trust 2011-C 1.582% 12/15/23 50 50

 

 

4,5,6SLM Student Loan Trust 2012-B 1.281% 12/15/21 23 23
4,6 SLM Student Loan Trust 2012-B 3.480% 10/15/30 152 157
4,5,6SLM Student Loan Trust 2012-E 0.932% 10/16/23 97 97
4,6 SLM Student Loan Trust 2013-B 1.850% 6/17/30 100 99
4 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 178 178
4 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 892 894
4 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 411 411
4,5,6SMB Private Education Loan Trust 2015-A 0.780% 7/17/23 1,000 1,000
4,6 Sonic Capital LLC 2011-1A 5.438% 5/20/41 80 84
4,5 South Carolina Student Loan Corp. Revenue        
  2010-1 1.277% 7/25/25 205 206
4,5,6SWAY Residential 2014-1 Trust 1.480% 1/17/32 193 194
4 Toyota Auto Receivables 2015-A Owner Trust 0.710% 7/17/17 250 250
4 UBS Commercial Mortgage Trust 2011-C1 1.524% 1/10/45 120 121
4 Volkswagen Auto Lease Trust 2015-A 0.870% 6/20/17 250 250
4,6 Volkswagen Credit Auto Master Owner Trust        
  2014-1A 1.400% 7/22/19 336 337
4,6 Volvo Financial Equipment LLC Series 2012-1 2.380% 9/16/19 50 50
4,6 Volvo Financial Equipment LLC Series 2015-        
  1A 0.950% 11/15/17 500 500
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C27 5.765% 7/15/45 8 8
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.559% 10/15/48 25 26
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C28 5.572% 10/15/48 27 28
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 23 24
4 Wachovia Bank Commercial Mortgage Trust        
  Series 2007-C33 6.150% 2/15/51 17 19
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 10 10
4 WFRBS Commercial Mortgage Trust 2013-        
  UBS1 1.122% 3/15/46 40 40
4,6 Wheels SPV 2 LLC 2014-1A 0.840% 3/20/23 608 602
4 World Financial Network Credit Card Master        
  Note Trust Series 2013-B 0.910% 3/16/20 1,100 1,095
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2014-A 0.561% 12/15/19 1,000 1,000
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.703% 2/15/22 115 115
4 World Omni Auto Receivables Trust 2015-A 0.790% 7/16/18 250 250
4 World Omni Automobile Lease Securitization        
  Trust 2013-A 1.100% 12/15/16 336 337
4,5,6World Omni Master Owner Trust 2013-1 0.532% 2/15/18 152 152
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $47,695)   47,706
Corporate Bonds (24.3%)        
Finance (10.5%)        
  Banking (8.5%)        
  Abbey National Treasury Services plc 4.000% 4/27/16 108 111
  Abbey National Treasury Services plc 1.375% 3/13/17 301 302
  Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 500 506
  Bank of America Corp. 3.700% 9/1/15 20 20
  Bank of America Corp. 1.500% 10/9/15 29 29
  Bank of America Corp. 3.625% 3/17/16 29 30
  Bank of America Corp. 3.750% 7/12/16 29 30
  Bank of America Corp. 6.500% 8/1/16 29 31

 

 

Bank of America Corp. 1.350% 11/21/16 130 130
Bank of America Corp. 6.400% 8/28/17 229 253
Bank of America Corp. 6.000% 9/1/17 29 32
Bank of New York Mellon Corp. 2.300% 7/28/16 770 785
Bank of Nova Scotia 2.050% 10/7/15 62 63
Bank of Nova Scotia 0.750% 10/9/15 62 62
Bank of Nova Scotia 2.900% 3/29/16 62 63
Bank of Nova Scotia 1.375% 7/15/16 62 63
Bank of Nova Scotia 2.550% 1/12/17 252 259
Bank of Nova Scotia 1.300% 7/21/17 62 62
Bear Stearns Cos. LLC 5.300% 10/30/15 14 14
Bear Stearns Cos. LLC 5.550% 1/22/17 14 15
Bear Stearns Cos. LLC 6.400% 10/2/17 14 16
BNP Paribas SA 1.375% 3/17/17 680 681
BPCE SA 1.700% 4/25/16 285 287
BPCE SA 1.613% 7/25/17 214 214
Canadian Imperial Bank of Commerce 2.350% 12/11/15 350 354
Capital One Financial Corp. 3.150% 7/15/16 80 82
Citigroup Inc. 4.700% 5/29/15 18 18
Citigroup Inc. 1.250% 1/15/16 26 26
Citigroup Inc. 1.300% 4/1/16 26 26
Citigroup Inc. 3.953% 6/15/16 223 230
Citigroup Inc. 4.450% 1/10/17 26 27
Citigroup Inc. 1.350% 3/10/17 26 26
Citigroup Inc. 1.550% 8/14/17 44 44
Commonwealth Bank of Australia 1.400% 9/8/17 850 854
Commonwealth Bank of Australia 1.900% 9/18/17 250 254
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.125% 10/13/15 135 136
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 3.375% 1/19/17 214 222
Deutsche Bank AG 3.250% 1/11/16 208 212
Goldman Sachs Group Inc. 3.300% 5/3/15 32 32
Goldman Sachs Group Inc. 3.700% 8/1/15 32 32
Goldman Sachs Group Inc. 5.350% 1/15/16 50 52
Goldman Sachs Group Inc. 3.625% 2/7/16 235 240
Goldman Sachs Group Inc. 6.250% 9/1/17 50 55
Huntington National Bank 1.375% 4/24/17 250 250
JPMorgan Chase & Co. 3.400% 6/24/15 9 9
JPMorgan Chase & Co. 5.150% 10/1/15 14 14
JPMorgan Chase & Co. 1.100% 10/15/15 14 14
JPMorgan Chase & Co. 2.600% 1/15/16 162 164
JPMorgan Chase & Co. 1.125% 2/26/16 154 155
JPMorgan Chase & Co. 3.450% 3/1/16 14 14
JPMorgan Chase & Co. 3.150% 7/5/16 319 327
JPMorgan Chase & Co. 1.350% 2/15/17 14 14
JPMorgan Chase & Co. 2.000% 8/15/17 41 42
Lloyds Bank plc 4.875% 1/21/16 650 669
6 Macquarie Bank Ltd. 2.000% 8/15/16 416 421
Morgan Stanley 1.750% 2/25/16 461 464
National Australia Bank Ltd. 2.750% 3/9/17 500 516
PNC Bank NA 1.500% 10/18/17 310 312
PNC Funding Corp. 2.700% 9/19/16 485 496
Royal Bank of Canada 1.250% 6/16/17 361 362
Royal Bank of Scotland plc 3.950% 9/21/15 60 61
Royal Bank of Scotland plc 4.375% 3/16/16 240 247
State Street Corp. 1.350% 5/15/18 350 349

 

 

Toronto-Dominion Bank 2.500% 7/14/16 373 381
UBS AG 1.375% 8/14/17 600 600
US Bank NA 1.350% 1/26/18 400 401
Wells Fargo & Co. 1.250% 7/20/16 735 739
Westpac Banking Corp. 1.125% 9/25/15 53 53
Westpac Banking Corp. 3.000% 12/9/15 362 368
Westpac Banking Corp. 0.950% 1/12/16 64 64
Westpac Banking Corp. 1.050% 11/25/16 64 64
Westpac Banking Corp. 1.200% 5/19/17 64 64
Westpac Banking Corp. 2.000% 8/14/17 64 65
 
Brokerage (0.5%)        
Ameriprise Financial Inc. 5.650% 11/15/15 214 220
Franklin Resources Inc. 1.375% 9/15/17 214 215
Nomura Holdings Inc. 4.125% 1/19/16 200 204
NYSE Euronext 2.000% 10/5/17 214 217
 
Finance Companies (0.4%)        
Air Lease Corp. 5.625% 4/1/17 116 124
General Electric Capital Corp. 1.625% 7/2/15 12 12
General Electric Capital Corp. 4.375% 9/21/15 12 12
General Electric Capital Corp. 2.250% 11/9/15 17 17
General Electric Capital Corp. 1.000% 12/11/15 17 17
General Electric Capital Corp. 5.000% 1/8/16 17 17
General Electric Capital Corp. 2.950% 5/9/16 17 17
General Electric Capital Corp. 1.500% 7/12/16 17 17
General Electric Capital Corp. 3.350% 10/17/16 17 18
General Electric Capital Corp. 2.900% 1/9/17 17 18
General Electric Capital Corp. 5.400% 2/15/17 17 18
General Electric Capital Corp. 2.450% 3/15/17 132 136
General Electric Capital Corp. 5.625% 9/15/17 17 19
HSBC Finance Corp. 5.000% 6/30/15 32 32
5 HSBC Finance Corp. 0.692% 6/1/16 216 216
 
Insurance (0.7%)        
American International Group Inc. 5.050% 10/1/15 150 153
American International Group Inc. 5.600% 10/18/16 52 55
American International Group Inc. 5.850% 1/16/18 29 32
Manulife Financial Corp. 3.400% 9/17/15 159 161
6 MassMutual Global Funding II 3.125% 4/14/16 160 164
6 MassMutual Global Funding II 2.000% 4/5/17 159 162
MetLife Inc. 6.750% 6/1/16 372 395
 
Real Estate Investment Trusts (0.4%)        
Brandywine Operating Partnership LP 5.700% 5/1/17 116 125
DDR Corp. 7.500% 4/1/17 136 150
Health Care REIT Inc. 3.625% 3/15/16 260 266
Healthcare Realty Trust Inc. 6.500% 1/17/17 159 173
        18,061
Industrial (11.4%)        
Basic Industry (1.1%)        
Air Products & Chemicals Inc. 2.000% 8/2/16 214 217
Airgas Inc. 3.250% 10/1/15 170 171
Airgas Inc. 2.950% 6/15/16 100 102
Airgas Inc. 1.650% 2/15/18 100 100
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 70 72
BHP Billiton Finance USA Ltd. 1.875% 11/21/16 71 72

 

 

BHP Billiton Finance USA Ltd. 1.625% 2/24/17 271 275
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 71 77
Eastman Chemical Co. 3.000% 12/15/15 170 172
PPG Industries Inc. 1.900% 1/15/16 214 214
Praxair Inc. 0.750% 2/21/16 200 201
Praxair Inc. 5.200% 3/15/17 200 216
 
Capital Goods (1.6%)        
Boeing Capital Corp. 2.125% 8/15/16 214 218
Danaher Corp. 2.300% 6/23/16 214 218
General Dynamics Corp. 2.250% 7/15/16 214 218
General Dynamics Corp. 1.000% 11/15/17 200 200
General Electric Co. 0.850% 10/9/15 17 17
General Electric Co. 5.250% 12/6/17 300 331
John Deere Capital Corp. 0.950% 6/29/15 16 16
John Deere Capital Corp. 0.750% 1/22/16 76 76
John Deere Capital Corp. 2.250% 6/7/16 25 26
John Deere Capital Corp. 1.850% 9/15/16 25 25
John Deere Capital Corp. 1.050% 10/11/16 16 16
John Deere Capital Corp. 1.050% 12/15/16 16 16
John Deere Capital Corp. 2.000% 1/13/17 25 26
John Deere Capital Corp. 1.400% 3/15/17 25 25
John Deere Capital Corp. 1.125% 6/12/17 135 136
John Deere Capital Corp. 2.800% 9/18/17 25 26
John Deere Capital Corp. 1.200% 10/10/17 25 25
Lockheed Martin Corp. 2.125% 9/15/16 275 280
Mohawk Industries Inc. 6.125% 1/15/16 275 285
Precision Castparts Corp. 1.250% 1/15/18 400 399
United Technologies Corp. 4.875% 5/1/15 80 80
 
Communication (1.7%)        
America Movil SAB de CV 2.375% 9/8/16 650 661
AT&T Inc. 0.800% 12/1/15 100 100
AT&T Inc. 2.950% 5/15/16 275 280
Comcast Cable Communications LLC 8.875% 5/1/17 46 53
Comcast Corp. 5.900% 3/15/16 256 268
Comcast Corp. 6.500% 1/15/17 46 50
Deutsche Telekom International Finance BV 5.750% 3/23/16 325 339
NBCUniversal Media LLC 2.875% 4/1/16 141 144
Omnicom Group Inc. 5.900% 4/15/16 400 419
TCI Communications Inc. 8.750% 8/1/15 32 33
Thomson Reuters Corp. 0.875% 5/23/16 150 150
Verizon Communications Inc. 2.500% 9/15/16 308 314
Verizon Communications Inc. 1.350% 6/9/17 58 58
 
Consumer Cyclical (2.1%)        
American Honda Finance Corp. 1.125% 10/7/16 214 215
American Honda Finance Corp. 0.950% 5/5/17 400 400
American Honda Finance Corp. 1.550% 12/11/17 200 202
Ford Motor Credit Co. LLC 4.207% 4/15/16 290 298
Ford Motor Credit Co. LLC 6.625% 8/15/17 100 111
6 Harley-Davidson Financial Services Inc. 1.150% 9/15/15 53 53
6 Harley-Davidson Financial Services Inc. 3.875% 3/15/16 353 362
6 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 53 54
Lowe's Cos. Inc. 2.125% 4/15/16 200 203
Lowe's Cos. Inc. 1.625% 4/15/17 108 109
Lowe's Cos. Inc. 6.100% 9/15/17 108 121

 

 

PACCAR Financial Corp. 0.750% 8/14/15 80 80
PACCAR Financial Corp. 1.600% 3/15/17 135 137
Starbucks Corp. 6.250% 8/15/17 300 335
Toyota Motor Credit Corp. 0.800% 5/17/16 100 100
Toyota Motor Credit Corp. 2.000% 9/15/16 100 102
Toyota Motor Credit Corp. 1.750% 5/22/17 100 101
Wal-Mart Stores Inc. 0.600% 4/11/16 124 124
Wal-Mart Stores Inc. 2.800% 4/15/16 124 127
Wal-Mart Stores Inc. 5.375% 4/5/17 124 135
6 Wesfarmers Ltd. 2.983% 5/18/16 259 265
 
Consumer Noncyclical (2.6%)        
Actavis Funding SCS 1.850% 3/1/17 99 100
Actavis Funding SCS 1.300% 6/15/17 100 99
Actavis Funding SCS 2.350% 3/12/18 39 40
Actavis Inc. 1.875% 10/1/17 39 39
Agilent Technologies Inc. 6.500% 11/1/17 116 130
Amgen Inc. 2.500% 11/15/16 55 56
Amgen Inc. 2.125% 5/15/17 58 59
Amgen Inc. 5.850% 6/1/17 58 63
6 Cargill Inc. 1.900% 3/1/17 459 466
Celgene Corp. 1.900% 8/15/17 370 375
Covidien International Finance SA 1.350% 5/29/15 80 80
Covidien International Finance SA 2.800% 6/15/15 80 80
Genentech Inc. 4.750% 7/15/15 159 160
Gilead Sciences Inc. 3.050% 12/1/16 214 221
GlaxoSmithKline Capital plc 1.500% 5/8/17 265 268
Medtronic Inc. 2.625% 3/15/16 350 356
Mondelez International Inc. 4.125% 2/9/16 58 60
Mylan Inc. 1.800% 6/24/16 180 181
PepsiCo Inc. 2.500% 5/10/16 625 638
St. Jude Medical Inc. 2.500% 1/15/16 319 323
Teva Pharmaceutical Finance Co. BV 2.400% 11/10/16 360 367
Teva Pharmaceutical Finance II BV / Teva        
Pharmaceutical Finance III LLC 3.000% 6/15/15 80 80
Tyson Foods Inc. 6.600% 4/1/16 216 227
 
Energy (1.1%)        
El Paso Natural Gas Co. LLC 5.950% 4/15/17 17 18
Energy Transfer Partners LP 6.125% 2/15/17 116 125
Enterprise Products Operating LLC 6.300% 9/15/17 170 189
Kinder Morgan Energy Partners LP 3.500% 3/1/16 117 120
Kinder Morgan Energy Partners LP 6.000% 2/1/17 17 18
Kinder Morgan Energy Partners LP 5.950% 2/15/18 17 19
Kinder Morgan Inc. 7.000% 6/15/17 17 19
Kinder Morgan Inc. 2.000% 12/1/17 17 17
NiSource Finance Corp. 5.250% 9/15/17 180 196
Shell International Finance BV 0.625% 12/4/15 300 300
6 Southern Natural Gas Co. LLC 5.900% 4/1/17 17 18
Total Capital International SA 1.500% 2/17/17 687 695
Total Capital International SA 1.550% 6/28/17 187 189
 
Technology (0.5%)        
Fidelity National Information Services Inc. 1.450% 6/5/17 100 100
Intel Corp. 1.950% 10/1/16 214 218
Intel Corp. 1.350% 12/15/17 200 201

 

 

Oracle Corp. 1.200% 10/15/17 350 351
 
Transportation (0.7%)        
Canadian National Railway Co. 5.850% 11/15/17 345 384
6 ERAC USA Finance LLC 1.400% 4/15/16 308 309
6 ERAC USA Finance LLC 6.375% 10/15/17 58 65
Ryder System Inc. 2.500% 3/1/17 275 281
United Parcel Service Inc. 1.125% 10/1/17 214 215
        19,566
Utilities (2.4%)        
Electric (2.4%)        
Arizona Public Service Co. 4.650% 5/15/15 80 80
Arizona Public Service Co. 6.250% 8/1/16 135 144
Baltimore Gas & Electric Co. 5.900% 10/1/16 54 58
Berkshire Hathaway Energy Co. 5.750% 4/1/18 116 130
CMS Energy Corp. 6.550% 7/17/17 39 43
CMS Energy Corp. 5.050% 2/15/18 39 43
Commonwealth Edison Co. 5.950% 8/15/16 54 57
Commonwealth Edison Co. 1.950% 9/1/16 54 55
Commonwealth Edison Co. 6.150% 9/15/17 54 60
Consumers Energy Co. 5.500% 8/15/16 119 126
Consumers Energy Co. 5.150% 2/15/17 135 145
Duke Energy Carolinas LLC 5.300% 10/1/15 288 294
Duke Energy Florida Inc. 0.650% 11/15/15 38 38
Duke Energy Florida Inc. 5.100% 12/1/15 38 39
Duke Energy Florida Inc. 5.800% 9/15/17 38 42
Duke Energy Florida Inc. 5.650% 6/15/18 50 57
Duke Energy Progress Inc. 5.250% 12/15/15 38 39
Louisville Gas & Electric Co. 1.625% 11/15/15 414 416
National Rural Utilities Cooperative Finance        
Corp. 1.900% 11/1/15 71 72
National Rural Utilities Cooperative Finance        
Corp. 3.050% 3/1/16 71 72
National Rural Utilities Cooperative Finance        
Corp. 5.450% 4/10/17 221 240
National Rural Utilities Cooperative Finance        
Corp. 0.950% 4/24/17 225 225
Pacific Gas & Electric Co. 5.625% 11/30/17 675 744
TECO Finance Inc. 4.000% 3/15/16 143 147
TECO Finance Inc. 6.572% 11/1/17 58 65
5 TECO Finance Inc. 0.871% 4/10/18 100 100
Union Electric Co. 6.400% 6/15/17 214 238
Xcel Energy Inc. 0.750% 5/9/16 250 250
        4,019
Total Corporate Bonds (Cost $41,645)       41,646
Sovereign Bonds (U.S. Dollar-Denominated) (1.5%)        
CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 200 201
Corporacion Andina de Fomento 3.750% 1/15/16 150 153
Corporacion Andina de Fomento 7.790% 3/1/17 200 222
Export-Import Bank of Korea 3.750% 10/20/16 200 208
Export-Import Bank of Korea 4.000% 1/11/17 200 209
Export-Import Bank of Korea 1.750% 2/27/18 50 50
Korea Development Bank 3.250% 3/9/16 100 102
Korea Development Bank 4.000% 9/9/16 150 156
Korea Development Bank 2.250% 8/7/17 200 203
North American Development Bank 2.300% 10/10/18 300 306

 

 

Statoil ASA 3.125% 8/17/17 200 209
Statoil ASA 1.200% 1/17/18 300 300
Svensk Exportkredit AB 0.625% 5/31/16 300 300
Total Sovereign Bonds (Cost $2,614)       2,619
Taxable Municipal Bond (0.1%)        
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL (Cost $256) 3.220% 2/1/21 247 256
 
      Shares  
Temporary Cash Investment (29.1%)        
Money Market Fund (29.1%)        
7 Vanguard Market Liquidity Fund (Cost        
$49,988) 0.121%   49,987,743 49,988
 
Total Investments (104.6%) (Cost $179,541)       179,566
Other Assets and Liabilities-Net (-4.6%)       (7,906)
Net Assets (100%)       171,660

1 Securities with a value of $100,000 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 Adjustable-rate security.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2015, the aggregate
value of these securities was $20,295,000, representing 11.8% of net assets.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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.

 

Ultra-Short-Term Bond Fund

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 April 30, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 37,351 —
Asset-Backed/Commercial Mortgage-Backed      
Securities — 46,106 1,600
Corporate Bonds — 41,246 400
Sovereign Bonds — 2,619 —
Taxable Municipal Bonds — 256 —
Temporary Cash Investments 49,988 — —
Futures Contracts—Liabilities1 (2) — —
Total 49,986 127,578 2,000
1 Represents variation margin on the last day of the reporting period.

 

The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the fund in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended April 30, 2015. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in  
  Asset-  
  Backed/Commercial  
  Mortgage-Backed Investments in
  Securities Corporate Bonds
Amount Valued Based on Level 3 Inputs ($000) ($000)
Balance as of February 10, 2015 (Inception Date) — —
Purchases 400 400
Transfers into Level 3 1,200 —
Change in Unrealized Appreciation (Depreciation) — —
Balance as of April 30, 2015 1,600 400

 

The fund’s investments that are categorized as Level 3 are valued utilizing recent transaction prices without adjustment (which is based on unobservable inputs).

 

Ultra-Short-Term Bond Fund

Significant increases or decreases in the significant unobservable inputs used in the fair value measurement of the fund’s Level 3 securities, in isolation, could result in a significantly higher or lower fair value measurement.

C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At April 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
90-Day Euro June 2015 36 8,972 3
2-Year U.S. Treasury Note June 2015 32 7,017 —
5-Year U.S. Treasury Note June 2015 (5) (601) —
        3

 

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

D. At April 30, 2015, the cost of investment securities for tax purposes was $179,541,000. Net unrealized appreciation of investment securities for tax purposes was $25,000, consisting of unrealized gains of $78,000 on securities that had risen in value since their purchase and $53,000 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: June 18, 2015  

 

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: June 18, 2015  

 

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF EXECUTIVE OFFICER
 
Date: June 18, 2015  

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated by Reference.