0000932471-17-006114.txt : 20171228 0000932471-17-006114.hdr.sgml : 20171228 20171228160902 ACCESSION NUMBER: 0000932471-17-006114 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20171031 FILED AS OF DATE: 20171228 DATE AS OF CHANGE: 20171228 EFFECTIVENESS DATE: 20171228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUNDS CENTRAL INDEX KEY: 0000106444 IRS NUMBER: 231899003 STATE OF INCORPORATION: DE FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02368 FILM NUMBER: 171278524 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: WESTMINSTER BOND FUND INC DATE OF NAME CHANGE: 19800619 0000106444 S000002582 Vanguard GNMA Fund C000007087 Investor Shares VFIIX C000007088 Admiral Shares VFIJX 0000106444 S000002583 Vanguard Short-Term Treasury Fund C000007089 Investor Shares VFISX C000007090 Admiral Shares VFIRX 0000106444 S000002584 Vanguard High-Yield Corporate Fund C000007092 Investor Shares VWEHX C000007093 Admiral Shares VWEAX 0000106444 S000002586 Vanguard Intermediate-Term Investment-Grade Fund C000007097 Investor Shares VFICX C000007098 Admiral Shares VFIDX 0000106444 S000002587 Vanguard Intermediate-Term Treasury Fund C000007099 Investor Shares VFITX C000007100 Admiral Shares VFIUX 0000106444 S000002588 Vanguard Long-Term Investment-Grade Fund C000007101 Investor Shares VWESX C000007102 Admiral Shares VWETX 0000106444 S000002589 Vanguard Long-Term Treasury Fund C000007103 Investor Shares VUSTX C000007104 Admiral Shares VUSUX 0000106444 S000002590 Vanguard Short-Term Federal Fund C000007105 Investor Shares VSGBX C000007106 Admiral Shares VSGDX 0000106444 S000002591 Vanguard Short-Term Investment-Grade Fund C000007107 Investor Shares VFSTX C000007108 Admiral Shares VFSUX C000007109 Institutional Shares VFSIX 0000106444 S000048081 Vanguard Ultra-Short-Term Bond Fund C000151975 Admiral Shares VUSFX C000151976 Investor Shares VUBFX 0000106444 S000059086 Vanguard REIT II Index Fund C000193720 Vanguard REIT II Index Fund N-Q 1 fisf_final.htm fisf_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:

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

 

Date of fiscal year end:    January 31

 

Date of reporting period:    October 31, 2017

 

Item 1: Schedule of Investments

 


Vanguard Long-Term Investment-Grade Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (6.1%)        
U.S. Government Securities (4.9%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 1,910 1,915
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 1,000 1,053
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 1,650 1,656
  United States Treasury Note/Bond 0.750% 1/31/18 100 100
  United States Treasury Note/Bond 1.000% 2/15/18 150 150
  United States Treasury Note/Bond 0.875% 7/15/18 500 498
  United States Treasury Note/Bond 1.250% 12/15/18 3,600 3,590
  United States Treasury Note/Bond 0.875% 5/15/19 2,965 2,935
  United States Treasury Note/Bond 1.375% 10/31/20 5,820 5,757
  United States Treasury Note/Bond 1.375% 4/30/21 4,200 4,136
  United States Treasury Note/Bond 2.000% 8/31/21 5,057 5,079
  United States Treasury Note/Bond 1.875% 10/31/22 4,267 4,235
  United States Treasury Note/Bond 2.250% 11/15/24 11,600 11,609
  United States Treasury Note/Bond 2.000% 8/15/25 1,900 1,860
  United States Treasury Note/Bond 2.250% 11/15/25 13,457 13,402
  United States Treasury Note/Bond 1.625% 5/15/26 1,250 1,182
  United States Treasury Note/Bond 1.500% 8/15/26 59,000 55,073
  United States Treasury Note/Bond 2.375% 5/15/27 26,000 26,012
1 United States Treasury Note/Bond 6.125% 8/15/29 47,202 65,198
  United States Treasury Note/Bond 6.250% 5/15/30 2,174 3,070
1 United States Treasury Note/Bond 4.500% 2/15/36 145,530 186,233
  United States Treasury Note/Bond 4.750% 2/15/37 9,000 11,894
  United States Treasury Note/Bond 5.000% 5/15/37 6,700 9,115
  United States Treasury Note/Bond 4.250% 5/15/39 600 748
  United States Treasury Note/Bond 4.500% 8/15/39 250 322
  United States Treasury Note/Bond 4.375% 11/15/39 76,160 96,580
  United States Treasury Note/Bond 2.875% 5/15/43 3,100 3,115
  United States Treasury Note/Bond 3.750% 11/15/43 2,500 2,920
  United States Treasury Note/Bond 3.375% 5/15/44 7,300 8,017
  United States Treasury Note/Bond 3.000% 11/15/44 9,210 9,458
2 United States Treasury Note/Bond 2.500% 2/15/45 28,662 26,647
  United States Treasury Note/Bond 2.875% 8/15/45 3,700 3,703
1 United States Treasury Note/Bond 3.000% 11/15/45 78,585 80,562
1,2 United States Treasury Note/Bond 2.500% 2/15/46 31,825 29,488
  United States Treasury Note/Bond 2.500% 5/15/46 3,250 3,009
  United States Treasury Note/Bond 2.250% 8/15/46 19,500 17,087
  United States Treasury Note/Bond 2.875% 11/15/46 36,000 35,978
  United States Treasury Note/Bond 3.000% 2/15/47 11,000 11,268
  United States Treasury Note/Bond 3.000% 5/15/47 46,600 47,736
          792,390
Agency Bonds and Notes (0.2%)        
3 Tennessee Valley Authority 5.250% 9/15/39 18,800 24,620
3 Tennessee Valley Authority 4.250% 9/15/65 10,000 11,329
          35,949

 

 

Conventional Mortgage-Backed Securities (0.6%)        
4,5 Fannie Mae Pool 3.050% 10/1/32 1,766 1,767
4,5 Fannie Mae Pool 3.100% 6/1/32–10/1/32 20,730 21,144
4,5 Fannie Mae Pool 3.180% 9/1/32 10,750 11,051
4,5 Fannie Mae Pool 3.200% 9/1/32 5,660 5,822
4,5 Fannie Mae Pool 3.220% 7/1/32 2,260 2,301
4,5 Fannie Mae Pool 3.230% 7/1/32–8/1/32 6,013 6,117
4,5 Fannie Mae Pool 3.250% 6/1/32 6,115 6,318
4,5 Fannie Mae Pool 3.260% 9/1/32 26,625 27,620
4,5 Fannie Mae Pool 3.300% 7/1/32 1,634 1,707
4,5 Fannie Mae Pool 3.490% 2/1/32 5,695 6,004
          89,851
Nonconventional Mortgage-Backed Securities (0.4%)        
4,5 Fannie Mae Pool 3.135% 10/1/32 6,300 6,338
4,5 Fannie Mae REMICS 3.000% 7/25/47 12,564 12,241
4,5 Freddie Mac REMICS 3.000% 4/15/47 11,716 11,179
4 Ginnie Mae REMICS 3.000% 7/20/47–8/20/47 42,344 38,573
          68,331
Total U.S. Government and Agency Obligations (Cost $973,427)     986,521
Corporate Bonds (75.0%)        
Finance (19.2%)        
  Banking (12.0%)        
  American Express Co. 2.500% 8/1/22 15,000 14,922
  Bank of America Corp. 3.248% 10/21/27 14,160 13,900
4 Bank of America Corp. 3.824% 1/20/28 12,200 12,521
4 Bank of America Corp. 3.705% 4/24/28 35,080 35,691
  Bank of America Corp. 6.110% 1/29/37 20,000 25,046
4 Bank of America Corp. 4.244% 4/24/38 39,195 41,370
  Bank of America Corp. 5.875% 2/7/42 19,230 24,700
4 Bank of America Corp. 4.443% 1/20/48 30,000 32,293
  Bank of America NA 6.000% 10/15/36 20,450 25,984
  Bank One Corp. 8.000% 4/29/27 27,424 36,459
4 Citigroup Inc. 3.887% 1/10/28 21,905 22,570
  Citigroup Inc. 4.650% 7/30/45 13,983 15,580
6 Commonwealth Bank of Australia 4.500% 12/9/25 1,800 1,887
6 Commonwealth Bank of Australia 3.900% 7/12/47 3,500 3,500
  Cooperatieve Rabobank UA 5.250% 5/24/41 6,400 7,871
  Cooperatieve Rabobank UA 5.750% 12/1/43 25,781 32,655
  Goldman Sachs Group Inc. 3.500% 11/16/26 27,800 27,848
  Goldman Sachs Group Inc. 3.850% 1/26/27 8,010 8,176
4 Goldman Sachs Group Inc. 3.691% 6/5/28 66,715 67,108
  Goldman Sachs Group Inc. 6.125% 2/15/33 38,270 47,917
  Goldman Sachs Group Inc. 6.750% 10/1/37 23,785 31,273
4 Goldman Sachs Group Inc. 4.017% 10/31/38 46,525 46,861
  Goldman Sachs Group Inc. 6.250% 2/1/41 23,149 30,625
  Goldman Sachs Group Inc. 4.800% 7/8/44 16,792 18,676
  Goldman Sachs Group Inc. 4.750% 10/21/45 18,114 20,053
  HSBC Bank USA NA 5.875% 11/1/34 45,205 56,566
  HSBC Bank USA NA 5.625% 8/15/35 22,425 27,297
  HSBC Holdings plc 4.300% 3/8/26 500 536
  HSBC Holdings plc 4.375% 11/23/26 1,505 1,579
4 HSBC Holdings plc 4.041% 3/13/28 7,925 8,298
  HSBC Holdings plc 7.625% 5/17/32 21,200 28,658
  HSBC Holdings plc 6.500% 9/15/37 36,245 47,696
  HSBC Holdings plc 6.800% 6/1/38 58,749 79,959
  HSBC Holdings plc 6.100% 1/14/42 9,720 13,125

 

 

4 HSBC Holdings plc 6.000% 11/22/65 685 725
4 JPMorgan Chase & Co. 3.782% 2/1/28 27,000 27,709
  JPMorgan Chase & Co. 6.400% 5/15/38 69,515 93,238
4 JPMorgan Chase & Co. 3.882% 7/24/38 17,575 17,635
  JPMorgan Chase & Co. 5.500% 10/15/40 24,815 30,555
  JPMorgan Chase & Co. 5.600% 7/15/41 11,247 14,132
  JPMorgan Chase & Co. 5.625% 8/16/43 13,900 17,059
4 JPMorgan Chase & Co. 4.260% 2/22/48 51,885 54,411
4 JPMorgan Chase & Co. 4.032% 7/24/48 39,500 40,292
4 Lloyds Banking Group plc 2.907% 11/7/23 1,715 1,714
  Morgan Stanley 7.250% 4/1/32 32,360 44,193
4 Morgan Stanley 3.971% 7/22/38 68,445 68,760
  Morgan Stanley 6.375% 7/24/42 33,880 45,935
  Morgan Stanley 4.300% 1/27/45 39,380 41,550
  Morgan Stanley 4.375% 1/22/47 48,245 51,370
4,6 Nationwide Building Society 4.125% 10/18/32 545 545
  Wachovia Corp. 5.500% 8/1/35 21,905 25,571
4 Wells Fargo & Co. 3.584% 5/22/28 62,365 62,848
  Wells Fargo & Co. 5.375% 2/7/35 9,664 11,623
  Wells Fargo & Co. 5.375% 11/2/43 58,692 68,644
  Wells Fargo & Co. 5.606% 1/15/44 142,608 171,783
  Wells Fargo & Co. 4.650% 11/4/44 15,937 16,884
  Wells Fargo & Co. 4.900% 11/17/45 21,895 24,282
  Wells Fargo & Co. 4.400% 6/14/46 40,240 41,321
  Wells Fargo & Co. 4.750% 12/7/46 52,465 56,848
  Wells Fargo Bank NA 6.600% 1/15/38 500 678
4 Westpac Banking Corp. 4.322% 11/23/31 1,450 1,498
 
  Brokerage (0.2%)        
6 FMR LLC 6.450% 11/15/39 18,200 24,209
  Invesco Finance plc 5.375% 11/30/43 2,700 3,263
  Legg Mason Inc. 5.625% 1/15/44 2,000 2,173
 
  Finance Companies (1.7%)        
  GE Capital International Funding Co. 4.418% 11/15/35 263,654 282,065
 
  Insurance (5.2%)        
  ACE Capital Trust II 9.700% 4/1/30 7,050 10,645
  Aetna Inc. 4.125% 11/15/42 24,995 25,303
  Aetna Inc. 3.875% 8/15/47 23,450 22,239
  Aflac Inc. 4.000% 10/15/46 4,000 3,989
  Aon plc 4.250% 12/12/42 2,850 2,894
  Aon plc 4.750% 5/15/45 3,000 3,333
  Berkshire Hathaway Finance Corp. 5.750% 1/15/40 1,935 2,509
  Berkshire Hathaway Inc. 4.500% 2/11/43 58,057 65,574
6 Brighthouse Financial Inc. 4.700% 6/22/47 1,000 985
  Chubb Corp. 6.500% 5/15/38 5,000 6,943
  Chubb INA Holdings Inc. 4.350% 11/3/45 15,000 16,547
  CNA Financial Corp. 3.450% 8/15/27 115 114
6 Jackson National Life Insurance Co. 8.150% 3/15/27 200 266
  Marsh & McLennan Cos. Inc. 5.875% 8/1/33 1,600 1,978
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 14,595 15,718
6 Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 4,370 7,155
6 Massachusetts Mutual Life Insurance Co. 4.500% 4/15/65 310 321
6 Massachusetts Mutual Life Insurance Co. 4.900% 4/1/77 7,150 7,957
  MetLife Inc. 4.125% 8/13/42 39,795 40,848
  MetLife Inc. 4.875% 11/13/43 15,000 17,121

 

 

  MetLife Inc. 4.050% 3/1/45 8,365 8,523
  MetLife Inc. 4.600% 5/13/46 9,700 10,823
4 MetLife Inc. 5.250% 12/29/49 195 204
6 Metropolitan Life Insurance Co. 7.800% 11/1/25 23,750 30,557
6 Nationwide Mutual Insurance Co. 8.250% 12/1/31 4,435 6,301
6 Nationwide Mutual Insurance Co. 9.375% 8/15/39 26,031 43,139
6 Nationwide Mutual Insurance Co. 4.950% 4/22/44 13,215 14,588
6 New York Life Insurance Co. 5.875% 5/15/33 40,400 50,953
6 Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 19,090 25,019
6 Northwestern Mutual Life Insurance Co. 3.850% 9/30/47 8,944 8,819
4,6 Pacific Life Insurance Co. 4.300% 10/24/67 12,915 12,800
  Progressive Corp. 3.700% 1/26/45 1,750 1,719
  Progressive Corp. 4.125% 4/15/47 4,615 4,874
  Prudential Financial Inc. 5.700% 12/14/36 2,031 2,515
  Prudential Financial Inc. 6.625% 12/1/37 13,744 18,700
  Prudential Financial Inc. 5.800% 11/16/41 13,606 16,985
  Prudential Financial Inc. 4.600% 5/15/44 5,000 5,517
4 Prudential Financial Inc. 5.375% 5/15/45 270 291
6 Swiss Re Treasury US Corp. 4.250% 12/6/42 13,645 14,008
6 Teachers Insurance & Annuity Assn. of        
  America 4.900% 9/15/44 10,720 12,172
6 Teachers Insurance & Annuity Association of        
  America 6.850% 12/16/39 1,588 2,189
6 Teachers Insurance & Annuity Association of        
  America 4.270% 5/15/47 26,690 27,573
  Travelers Cos. Inc. 6.750% 6/20/36 500 692
  Travelers Cos. Inc. 3.750% 5/15/46 10,000 9,885
  Travelers Cos. Inc. 4.000% 5/30/47 2,000 2,090
  Trinity Acquisition plc 6.125% 8/15/43 2,565 3,175
  UnitedHealth Group Inc. 4.625% 7/15/35 17,955 20,257
  UnitedHealth Group Inc. 5.800% 3/15/36 49,846 63,429
  UnitedHealth Group Inc. 6.500% 6/15/37 1,100 1,522
  UnitedHealth Group Inc. 6.625% 11/15/37 800 1,104
  UnitedHealth Group Inc. 6.875% 2/15/38 18,457 26,677
  UnitedHealth Group Inc. 4.375% 3/15/42 25,000 26,970
  UnitedHealth Group Inc. 4.750% 7/15/45 50,840 58,817
  UnitedHealth Group Inc. 4.250% 4/15/47 46,710 49,901
  UnitedHealth Group Inc. 3.750% 10/15/47 14,705 14,447
 
  Real Estate Investment Trusts (0.1%)        
  Brandywine Operating Partnership LP 4.550% 10/1/29 3,855 3,941
  Federal Realty Investment Trust 4.500% 12/1/44 1,000 1,055
6 Goodman US Finance Three LLC 4.500% 10/15/37 1,300 1,326
  HCP Inc. 6.750% 2/1/41 875 1,133
  Simon Property Group LP 4.750% 3/15/42 2,550 2,822
  Simon Property Group LP 4.250% 10/1/44 3,755 3,855
          3,116,519
Industrial (41.3%)        
  Basic Industry (0.9%)        
  BHP Billiton Finance USA Ltd. 4.125% 2/24/42 16,000 16,743
  BHP Billiton Finance USA Ltd. 5.000% 9/30/43 36,820 43,727
6 Celulosa Arauco y Constitucion SA 5.500% 11/2/47 375 376
  Monsanto Co. 3.600% 7/15/42 600 537
  Monsanto Co. 4.400% 7/15/44 1,400 1,452
  Monsanto Co. 3.950% 4/15/45 1,000 959
  Monsanto Co. 4.700% 7/15/64 19,565 19,915
  Rio Tinto Finance USA Ltd. 5.200% 11/2/40 15,000 17,742

 

 

Rio Tinto Finance USA plc 4.750% 3/22/42 1,400 1,582
Rio Tinto Finance USA plc 4.125% 8/21/42 40,255 42,190
Sherwin-Williams Co. 4.500% 6/1/47 5,985 6,354
 
Capital Goods (3.4%)        
3M Co. 3.125% 9/19/46 15,000 13,413
3M Co. 3.625% 10/15/47 10,345 10,393
Boeing Co. 6.125% 2/15/33 13,565 17,729
Boeing Co. 5.875% 2/15/40 1,000 1,320
Boeing Co. 7.875% 4/15/43 5,900 9,310
Caterpillar Inc. 6.050% 8/15/36 3,082 4,035
Caterpillar Inc. 3.803% 8/15/42 28,040 28,892
Caterpillar Inc. 4.300% 5/15/44 6,219 6,907
Caterpillar Inc. 4.750% 5/15/64 7,300 8,173
Deere & Co. 7.125% 3/3/31 13,500 18,738
Dover Corp. 6.600% 3/15/38 1,375 1,864
Emerson Electric Co. 6.000% 8/15/32 1,071 1,347
Emerson Electric Co. 5.250% 11/15/39 1,000 1,200
General Electric Capital Corp. 6.750% 3/15/32 41,214 56,636
General Electric Capital Corp. 6.150% 8/7/37 2,031 2,678
General Electric Capital Corp. 5.875% 1/14/38 34,584 44,484
General Electric Capital Corp. 6.875% 1/10/39 11,174 16,088
7 General Electric Co. 2.125% 5/17/37 2,029 2,364
General Electric Co. 4.125% 10/9/42 11,875 12,286
General Electric Co. 4.500% 3/11/44 12,985 14,224
4 General Electric Co. 5.000% 12/29/49 1,184 1,234
Lockheed Martin Corp. 3.600% 3/1/35 5,870 5,821
Lockheed Martin Corp. 4.070% 12/15/42 10,120 10,383
Lockheed Martin Corp. 3.800% 3/1/45 13,625 13,383
6 Lockheed Martin Corp. 4.090% 9/15/52 31,622 32,045
Raytheon Co. 4.700% 12/15/41 37,524 42,979
6 Siemens Financieringsmaatschappij NV 4.200% 3/16/47 10,000 10,761
United Technologies Corp. 6.125% 7/15/38 55,575 72,312
United Technologies Corp. 5.700% 4/15/40 22,500 28,158
United Technologies Corp. 4.500% 6/1/42 19,110 20,860
United Technologies Corp. 3.750% 11/1/46 3,500 3,405
United Technologies Corp. 4.050% 5/4/47 33,895 34,505
 
Communication (3.8%)        
21st Century Fox America Inc. 7.900% 12/1/95 3,975 5,658
America Movil SAB de CV 6.125% 3/30/40 28,925 35,896
AT&T Inc. 5.250% 3/1/37 1,700 1,777
AT&T Inc. 4.900% 8/14/37 15,000 14,968
AT&T Inc. 5.150% 2/14/50 17,405 17,091
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.484% 10/23/45 6,879 7,890
6 Charter Communications Operating LLC /        
Charter Communications Operating Capital 5.375% 5/1/47 16,000 16,186
Comcast Corp. 4.250% 1/15/33 12,600 13,635
Comcast Corp. 7.050% 3/15/33 1,000 1,376
Comcast Corp. 4.200% 8/15/34 1,550 1,651
Comcast Corp. 5.650% 6/15/35 40,214 49,492
Comcast Corp. 6.500% 11/15/35 800 1,072
Comcast Corp. 3.200% 7/15/36 15,870 14,977
Comcast Corp. 6.450% 3/15/37 17,575 23,437
Comcast Corp. 6.950% 8/15/37 58,027 82,611
Comcast Corp. 6.400% 5/15/38 9,760 13,092

 

 

Comcast Corp. 4.650% 7/15/42 1,800 1,966
Comcast Corp. 4.500% 1/15/43 1,250 1,343
Comcast Corp. 4.750% 3/1/44 56,245 62,521
Comcast Corp. 4.600% 8/15/45 35,735 39,104
Comcast Corp. 3.400% 7/15/46 15,045 13,713
Comcast Corp. 4.000% 8/15/47 22,875 23,073
6 Cox Communications Inc. 6.450% 12/1/36 9,000 10,391
6 Cox Communications Inc. 8.375% 3/1/39 19,110 26,605
Discovery Communications LLC 5.000% 9/20/37 2,000 2,048
NBCUniversal Media LLC 5.950% 4/1/41 17,035 21,821
NBCUniversal Media LLC 4.450% 1/15/43 26,350 28,107
Orange SA 9.000% 3/1/31 2,000 3,029
Qwest Corp. 6.875% 9/15/33 1,699 1,682
Time Warner Cable LLC 6.550% 5/1/37 16,975 19,932
Verizon Communications Inc. 4.500% 8/10/33 11,370 11,699
Verizon Communications Inc. 5.250% 3/16/37 7,950 8,659
Verizon Communications Inc. 4.522% 9/15/48 2,525 2,410
Walt Disney Co. 4.125% 6/1/44 18,715 19,674
Walt Disney Co. 7.550% 7/15/93 15,750 19,159
 
Consumer Cyclical (3.9%)        
6 Alimentation Couche-Tard Inc. 4.500% 7/26/47 1,000 1,028
6 Amazon.com Inc. 3.875% 8/22/37 31,000 32,038
6 Amazon.com Inc. 4.050% 8/22/47 5,525 5,724
Cummins Inc. 4.875% 10/1/43 1,000 1,157
Daimler Finance North America LLC 8.500% 1/18/31 265 396
Ford Motor Co. 7.450% 7/16/31 750 971
Ford Motor Co. 5.291% 12/8/46 1,000 1,059
General Motors Co. 6.600% 4/1/36 2,000 2,391
General Motors Co. 5.150% 4/1/38 1,300 1,345
Home Depot Inc. 5.875% 12/16/36 40,575 53,546
Home Depot Inc. 5.400% 9/15/40 1,000 1,238
Home Depot Inc. 5.950% 4/1/41 22,170 29,326
Home Depot Inc. 4.200% 4/1/43 6,035 6,410
Home Depot Inc. 4.875% 2/15/44 66,510 77,761
Home Depot Inc. 4.400% 3/15/45 12,900 14,148
Home Depot Inc. 4.250% 4/1/46 20,015 21,585
Home Depot Inc. 3.500% 9/15/56 5,920 5,486
Lowe's Cos. Inc. 4.650% 4/15/42 1,250 1,385
Lowe's Cos. Inc. 4.250% 9/15/44 800 841
Lowe's Cos. Inc. 4.375% 9/15/45 1,000 1,074
Lowe's Cos. Inc. 3.700% 4/15/46 53,780 51,975
Lowe's Cos. Inc. 4.050% 5/3/47 40,885 42,128
Mastercard Inc. 3.800% 11/21/46 1,000 1,026
McDonald's Corp. 6.300% 3/1/38 21,940 28,720
NIKE Inc. 3.625% 5/1/43 30,604 29,949
NIKE Inc. 3.875% 11/1/45 25,000 25,425
NIKE Inc. 3.375% 11/1/46 13,090 12,279
Starbucks Corp. 4.300% 6/15/45 500 541
Target Corp. 7.000% 1/15/38 1,100 1,610
Target Corp. 4.000% 7/1/42 500 506
Target Corp. 3.625% 4/15/46 24,700 23,432
Visa Inc. 4.150% 12/14/35 23,915 26,033
Visa Inc. 4.300% 12/14/45 48,960 53,828
Visa Inc. 3.650% 9/15/47 32,445 32,272
Wal-Mart Stores Inc. 5.625% 4/1/40 1,890 2,471
Wal-Mart Stores Inc. 4.875% 7/8/40 2,000 2,393

 

 

Wal-Mart Stores Inc. 5.000% 10/25/40 1,700 2,070
Wal-Mart Stores Inc. 5.625% 4/15/41 3,850 5,068
Wal-Mart Stores Inc. 4.000% 4/11/43 10,400 11,114
Wal-Mart Stores Inc. 4.300% 4/22/44 1,000 1,138
Wal-Mart Stores Inc. 3.625% 12/15/47 21,985 22,385
 
Consumer Noncyclical (13.9%)        
Abbott Laboratories 4.750% 11/30/36 1,000 1,103
Abbott Laboratories 4.900% 11/30/46 500 561
Altria Group Inc. 4.250% 8/9/42 7,100 7,313
Altria Group Inc. 4.500% 5/2/43 3,880 4,146
Altria Group Inc. 5.375% 1/31/44 51,590 61,661
Altria Group Inc. 3.875% 9/16/46 36,370 35,557
Anheuser-Busch Cos. LLC 6.750% 12/15/27 400 486
Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 99,120 109,178
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 17,093 17,018
Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 216,065 242,622
7 Anheuser-Busch InBev SA/NV 3.250% 1/24/33 200 281
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 27,675 43,532
Anheuser-Busch InBev Worldwide Inc. 8.000% 11/15/39 9,220 14,376
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 28,995 27,880
Anheuser-Busch InBev Worldwide Inc. 4.439% 10/6/48 34,215 36,323
Archer-Daniels-Midland Co. 4.535% 3/26/42 1,500 1,649
Ascension Health 3.945% 11/15/46 18,495 18,944
4 Ascension Health 4.847% 11/15/53 8,855 10,187
AstraZeneca plc 6.450% 9/15/37 39,100 52,603
6 BAT Capital Corp. 4.390% 8/15/37 33,500 34,630
Bristol-Myers Squibb Co. 4.500% 3/1/44 17,500 19,740
Brown-Forman Corp. 4.500% 7/15/45 4,000 4,372
6 Cargill Inc. 4.760% 11/23/45 39,699 46,193
4 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 19,000 17,873
Children's Hospital Medical Center Ohio GO 4.268% 5/15/44 500 525
City of Hope 5.623% 11/15/43 2,000 2,493
Cleveland Clinic Foundation Ohio Revenue 4.858% 1/1/14 6,894 7,508
Coca-Cola Femsa SAB de CV 5.250% 11/26/43 1,200 1,394
Colgate-Palmolive Co. 3.700% 8/1/47 20,240 20,150
Dignity Health California GO 4.500% 11/1/42 21,483 20,612
Dignity Health California GO 5.267% 11/1/64 8,650 8,979
Eli Lilly & Co. 3.700% 3/1/45 27,130 27,373
Estee Lauder Cos. Inc. 4.375% 6/15/45 750 814
Estee Lauder Cos. Inc. 4.150% 3/15/47 900 956
Express Scripts Holding Co. 6.125% 11/15/41 2,000 2,403
Gilead Sciences Inc. 4.600% 9/1/35 15,025 16,722
Gilead Sciences Inc. 4.000% 9/1/36 20,000 20,681
Gilead Sciences Inc. 5.650% 12/1/41 8,955 11,262
Gilead Sciences Inc. 4.800% 4/1/44 16,560 18,632
Gilead Sciences Inc. 4.500% 2/1/45 27,930 30,414
Gilead Sciences Inc. 4.750% 3/1/46 16,920 19,040
Gilead Sciences Inc. 4.150% 3/1/47 33,055 33,985
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 15,000 18,187
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 39,725 54,500
Johnson & Johnson 3.550% 3/1/36 47,310 48,491
Johnson & Johnson 3.625% 3/3/37 45,415 47,272
Johnson & Johnson 5.950% 8/15/37 1,462 1,981
Johnson & Johnson 4.500% 12/5/43 5,725 6,585
Johnson & Johnson 3.700% 3/1/46 24,295 25,091
Johnson & Johnson 3.750% 3/3/47 10,000 10,577

 

 

Kaiser Foundation Hospitals 4.875% 4/1/42 12,365 14,454
Kaiser Foundation Hospitals 4.150% 5/1/47 25,225 26,837
Kimberly-Clark Corp. 6.625% 8/1/37 4,800 6,727
4 Mayo Clinic 3.774% 11/15/43 12,595 12,413
Medtronic Inc. 4.375% 3/15/35 42,113 46,400
Medtronic Inc. 6.500% 3/15/39 21,200 28,916
Medtronic Inc. 5.550% 3/15/40 4,600 5,728
Medtronic Inc. 4.500% 3/15/42 9,000 9,913
Medtronic Inc. 4.625% 3/15/44 2,000 2,250
Medtronic Inc. 4.625% 3/15/45 74,425 84,317
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 13,405 15,665
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 355 365
Merck & Co. Inc. 3.600% 9/15/42 9,067 9,024
Merck & Co. Inc. 4.150% 5/18/43 6,880 7,458
Merck & Co. Inc. 3.700% 2/10/45 67,020 68,072
New York & Presbyterian Hospital 4.024% 8/1/45 19,585 19,957
New York & Presbyterian Hospital 4.063% 8/1/56 3,000 3,112
New York & Presbyterian Hospital 4.763% 8/1/16 10,000 10,237
Newell Brands Inc. 5.375% 4/1/36 1,050 1,217
Newell Brands Inc. 5.500% 4/1/46 400 474
North Shore-Long Island Jewish Health Care        
Inc. Revenue 4.800% 11/1/42 1,100 1,177
Northwell Healthcare Inc. 3.979% 11/1/46 2,000 1,908
Northwell Healthcare Inc. 4.260% 11/1/47 8,280 8,239
Novartis Capital Corp. 4.400% 5/6/44 24,840 28,234
NYU Hospitals Center 4.784% 7/1/44 2,000 2,250
PepsiCo Inc. 5.500% 1/15/40 21,595 26,944
PepsiCo Inc. 4.875% 11/1/40 10,375 12,020
PepsiCo Inc. 4.000% 3/5/42 16,372 16,888
PepsiCo Inc. 3.600% 8/13/42 1,000 978
PepsiCo Inc. 4.450% 4/14/46 20,000 22,300
PepsiCo Inc. 3.450% 10/6/46 32,580 30,921
PepsiCo Inc. 4.000% 5/2/47 24,450 25,279
Pfizer Inc. 7.200% 3/15/39 34,912 53,113
Pfizer Inc. 4.300% 6/15/43 7,780 8,526
Pfizer Inc. 4.400% 5/15/44 8,615 9,575
Pfizer Inc. 4.125% 12/15/46 22,650 24,310
Philip Morris International Inc. 6.375% 5/16/38 34,215 45,661
Philip Morris International Inc. 4.500% 3/20/42 5,000 5,390
Philip Morris International Inc. 3.875% 8/21/42 4,620 4,568
Philip Morris International Inc. 4.125% 3/4/43 20,170 20,613
Philip Morris International Inc. 4.875% 11/15/43 22,455 25,433
Philip Morris International Inc. 4.250% 11/10/44 50,495 52,772
Procter & Gamble Co. 3.500% 10/25/47 36,505 36,195
4 Providence St. Joseph Health Obligated        
Group 3.744% 10/1/47 5,675 5,431
6 SC Johnson & Son Inc. 4.000% 5/15/43 21,645 21,866
6 SC Johnson & Son Inc. 4.750% 10/15/46 10,285 11,743
Southern Baptist Hospital of Florida Inc. 4.857% 7/15/45 1,000 1,147
The Kroger Co. 4.450% 2/1/47 4,700 4,483
Wyeth LLC 6.500% 2/1/34 1,310 1,766
Wyeth LLC 6.000% 2/15/36 4,392 5,779
Wyeth LLC 5.950% 4/1/37 67,685 90,376

 

 

  Energy (4.3%)        
4,6 Abu Dhabi Crude Oil Pipeline LLC 4.600% 11/2/47 1,500 1,533
  Baker Hughes a GE Co. LLC 5.125% 9/15/40 3,000 3,495
  BP Capital Markets plc 3.723% 11/28/28 25,135 26,025
  Canadian Natural Resources Ltd. 7.200% 1/15/32 820 1,025
  Canadian Natural Resources Ltd. 6.250% 3/15/38 9,260 11,421
  Canadian Natural Resources Ltd. 4.950% 6/1/47 18,570 20,230
  Cenovus Energy Inc. 4.450% 9/15/42 1,000 913
6 Cenovus Energy Inc. 5.400% 6/15/47 2,505 2,586
  ConocoPhillips 7.000% 3/30/29 10,850 13,892
  ConocoPhillips 5.900% 10/15/32 1,400 1,728
  ConocoPhillips 6.500% 2/1/39 52,316 71,410
  ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 1,500 1,875
  ConocoPhillips Co. 4.150% 11/15/34 3,000 3,146
  ConocoPhillips Co. 4.300% 11/15/44 11,715 12,542
  ConocoPhillips Co. 5.950% 3/15/46 31,155 41,457
  Dominion Energy Gas Holdings LLC 4.800% 11/1/43 1,575 1,722
  Energy Transfer LP 6.050% 6/1/41 780 846
  Exxon Mobil Corp. 3.567% 3/6/45 12,625 12,605
  Exxon Mobil Corp. 4.114% 3/1/46 30,770 33,499
  Hess Corp. 5.800% 4/1/47 16,670 17,888
  Kinder Morgan Inc. 7.800% 8/1/31 150 193
  Kinder Morgan Inc. 7.750% 1/15/32 155 199
  National Oilwell Varco Inc. 3.950% 12/1/42 1,000 856
  Occidental Petroleum Corp. 4.625% 6/15/45 1,750 1,939
  Occidental Petroleum Corp. 4.400% 4/15/46 22,385 24,215
  Petro-Canada 6.800% 5/15/38 19,388 26,383
  Phillips 66 Partners LP 4.680% 2/15/45 80 81
  Sabine Pass Liquefaction LLC 5.625% 3/1/25 730 809
  Shell International Finance BV 4.125% 5/11/35 30,515 32,463
  Shell International Finance BV 6.375% 12/15/38 4,300 5,945
  Shell International Finance BV 5.500% 3/25/40 21,455 26,961
  Shell International Finance BV 4.550% 8/12/43 18,590 20,512
  Shell International Finance BV 4.375% 5/11/45 53,555 57,830
  Shell International Finance BV 4.000% 5/10/46 28,050 28,630
  Shell International Finance BV 3.750% 9/12/46 41,115 40,476
  Spectra Energy Partners LP 5.950% 9/25/43 4,685 5,663
  Spectra Energy Partners LP 4.500% 3/15/45 1,515 1,554
  Suncor Energy Inc. 5.950% 12/1/34 25,000 30,331
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 40 48
  Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 195 251
  Tosco Corp. 7.800% 1/1/27 1,500 1,977
  Tosco Corp. 8.125% 2/15/30 20,000 28,239
  TransCanada PipeLines Ltd. 4.625% 3/1/34 9,500 10,439
  TransCanada PipeLines Ltd. 6.200% 10/15/37 5,630 7,325
  TransCanada PipeLines Ltd. 7.625% 1/15/39 37,230 55,933
  TransCanada PipeLines Ltd. 6.100% 6/1/40 900 1,175
  TransCanada PipeLines Ltd. 5.000% 10/16/43 6,000 7,000
 
  Other Industrial (0.3%)        
4 Massachusetts Institute of Technology GO 3.959% 7/1/38 25,200 26,879
  Massachusetts Institute of Technology GO 5.600% 7/1/11 1,100 1,468
  Massachusetts Institute of Technology GO 3.885% 7/1/16 18,335 17,282
6 President & Fellows of Harvard College        
  Massachusetts GO 6.500% 1/15/39 3,865 5,682

 

 

Technology (8.5%)        
Apple Inc. 4.500% 2/23/36 2,000 2,278
Apple Inc. 3.850% 5/4/43 36,955 37,439
Apple Inc. 4.450% 5/6/44 1,250 1,386
Apple Inc. 3.450% 2/9/45 40,860 38,802
Apple Inc. 4.375% 5/13/45 39,930 43,889
Apple Inc. 4.650% 2/23/46 55,280 62,901
Apple Inc. 3.850% 8/4/46 39,420 39,885
Apple Inc. 4.250% 2/9/47 39,230 42,193
Applied Materials Inc. 5.100% 10/1/35 100 119
Applied Materials Inc. 5.850% 6/15/41 6,695 8,605
Applied Materials Inc. 4.350% 4/1/47 23,945 26,103
Cisco Systems Inc. 5.900% 2/15/39 36,425 48,569
Cisco Systems Inc. 5.500% 1/15/40 12,338 15,722
Intel Corp. 4.800% 10/1/41 23,180 27,137
Intel Corp. 4.250% 12/15/42 2,000 2,166
Intel Corp. 4.900% 7/29/45 34,855 41,350
Intel Corp. 4.100% 5/19/46 29,605 31,307
Intel Corp. 4.100% 5/11/47 35,260 37,199
International Business Machines Corp. 4.000% 6/20/42 13,900 14,328
International Business Machines Corp. 4.700% 2/19/46 10,000 11,464
Microsoft Corp. 3.500% 2/12/35 7,835 7,963
Microsoft Corp. 3.450% 8/8/36 32,325 32,621
Microsoft Corp. 4.100% 2/6/37 46,065 50,414
Microsoft Corp. 4.500% 10/1/40 1,900 2,157
Microsoft Corp. 5.300% 2/8/41 1,500 1,883
Microsoft Corp. 3.500% 11/15/42 1,750 1,720
Microsoft Corp. 3.750% 5/1/43 10,000 10,128
Microsoft Corp. 4.875% 12/15/43 500 593
Microsoft Corp. 3.750% 2/12/45 74,350 75,416
Microsoft Corp. 4.450% 11/3/45 70,670 80,176
Microsoft Corp. 3.700% 8/8/46 69,030 69,318
Microsoft Corp. 4.250% 2/6/47 66,743 73,570
Microsoft Corp. 4.000% 2/12/55 10,075 10,400
Microsoft Corp. 4.750% 11/3/55 50,365 58,967
Microsoft Corp. 3.950% 8/8/56 46,076 46,999
Microsoft Corp. 4.500% 2/6/57 6,500 7,343
Oracle Corp. 3.900% 5/15/35 2,100 2,203
Oracle Corp. 3.850% 7/15/36 5,250 5,489
Oracle Corp. 6.500% 4/15/38 35,400 49,810
Oracle Corp. 6.125% 7/8/39 12,129 16,709
Oracle Corp. 5.375% 7/15/40 43,160 53,797
Oracle Corp. 4.125% 5/15/45 23,450 24,662
Oracle Corp. 4.000% 7/15/46 70,945 72,829
Oracle Corp. 4.375% 5/15/55 25,000 27,063
QUALCOMM Inc. 4.650% 5/20/35 8,950 9,766
QUALCOMM Inc. 4.800% 5/20/45 500 546
QUALCOMM Inc. 4.300% 5/20/47 43,540 44,005
Tyco Electronics Group SA 7.125% 10/1/37 805 1,153
Verisk Analytics Inc. 5.500% 6/15/45 2,000 2,288
 
Transportation (2.3%)        
6 Adani Ports & Special Economic Zone Ltd. 4.000% 7/30/27 700 700
6 Air Canada 7.750% 4/15/21 180 206
Burlington Northern Santa Fe LLC 7.950% 8/15/30 3,728 5,355
Burlington Northern Santa Fe LLC 5.750% 5/1/40 15,000 19,221
Burlington Northern Santa Fe LLC 5.050% 3/1/41 6,000 7,054

 

 

Burlington Northern Santa Fe LLC 4.950% 9/15/41 2,266 2,650
Burlington Northern Santa Fe LLC 4.400% 3/15/42 24,790 27,072
Burlington Northern Santa Fe LLC 4.375% 9/1/42 31,150 33,690
Burlington Northern Santa Fe LLC 4.450% 3/15/43 11,200 12,308
Burlington Northern Santa Fe LLC 5.150% 9/1/43 2,000 2,413
Burlington Northern Santa Fe LLC 4.900% 4/1/44 24,560 28,783
Burlington Northern Santa Fe LLC 4.550% 9/1/44 43,085 48,519
Burlington Northern Santa Fe LLC 4.150% 4/1/45 12,335 13,096
Burlington Northern Santa Fe LLC 3.900% 8/1/46 9,265 9,514
Burlington Northern Santa Fe LLC 4.125% 6/15/47 11,910 12,657
FedEx Corp. 4.550% 4/1/46 15,000 15,927
Union Pacific Corp. 3.375% 2/1/35 10,998 10,911
Union Pacific Corp. 4.050% 3/1/46 10,045 10,593
Union Pacific Corp. 4.000% 4/15/47 22,000 22,991
Union Pacific Corp. 3.799% 10/1/51 28,550 28,403
Union Pacific Corp. 4.375% 11/15/65 21,990 23,565
Union Pacific Corp. 4.100% 9/15/67 9,285 9,405
United Parcel Service Inc. 6.200% 1/15/38 13,700 18,528
United Parcel Service Inc. 4.875% 11/15/40 2,700 3,181
United Parcel Service Inc. 3.625% 10/1/42 5,820 5,734
        6,690,679
Utilities (14.5%)        
Electric (14.4%)        
6 AEP Texas Inc. 3.800% 10/1/47 2,455 2,492
AEP Transmission Co. LLC 4.000% 12/1/46 2,615 2,689
6 AEP Transmission Co. LLC 3.750% 12/1/47 28,965 29,240
Alabama Power Co. 6.000% 3/1/39 4,875 6,292
Alabama Power Co. 5.500% 3/15/41 26,943 32,823
Alabama Power Co. 5.200% 6/1/41 15,000 17,637
Alabama Power Co. 3.750% 3/1/45 22,325 22,643
Appalachian Power Co. 6.700% 8/15/37 35,900 48,350
Baltimore Gas & Electric Co. 6.350% 10/1/36 1,230 1,615
Berkshire Hathaway Energy Co. 6.125% 4/1/36 16,300 21,262
Berkshire Hathaway Energy Co. 5.950% 5/15/37 3,000 3,856
Berkshire Hathaway Energy Co. 5.150% 11/15/43 27,000 31,942
Berkshire Hathaway Energy Co. 4.500% 2/1/45 43,625 47,764
CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 14,175 13,884
6 Cerro del Aguila SA 4.125% 8/16/27 200 199
Commonwealth Edison Co. 5.900% 3/15/36 2,450 3,157
Commonwealth Edison Co. 3.800% 10/1/42 20,805 21,220
Commonwealth Edison Co. 4.600% 8/15/43 12,560 14,366
Commonwealth Edison Co. 4.700% 1/15/44 15,955 18,420
Commonwealth Edison Co. 3.700% 3/1/45 13,990 14,069
Commonwealth Edison Co. 3.650% 6/15/46 6,825 6,816
Connecticut Light & Power Co. 6.350% 6/1/36 14,500 19,211
Connecticut Light & Power Co. 4.300% 4/15/44 940 1,049
Connecticut Light & Power Co. 4.150% 6/1/45 8,445 9,164
Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 730 821
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 10,000 12,728
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 10,637 13,942
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 12,990 18,521
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 7,729 9,671
Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,995 10,262
Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,828 11,643
Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 10,935 11,364
Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 49,600 55,497
Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 6,335 7,168

 

 

Consolidated Edison Co. of New York Inc. 4.625% 12/1/54 8,365 9,447
Consolidated Edison Co. of New York Inc. 4.300% 12/1/56 23,865 25,736
Consumers Energy Co. 4.100% 11/15/45 1,500 1,588
Dominion Energy Inc. 4.700% 12/1/44 16,000 17,625
DTE Electric Co. 6.625% 6/1/36 860 1,164
Duke Energy Carolinas LLC 6.450% 10/15/32 8,200 10,932
Duke Energy Carolinas LLC 6.100% 6/1/37 51,000 66,288
Duke Energy Carolinas LLC 5.300% 2/15/40 4,900 6,017
Duke Energy Carolinas LLC 4.250% 12/15/41 16,200 17,649
Duke Energy Carolinas LLC 4.000% 9/30/42 41,047 42,991
Duke Energy Carolinas LLC 3.875% 3/15/46 5,645 5,861
Duke Energy Corp. 3.750% 9/1/46 10,000 9,713
Duke Energy Florida LLC 6.350% 9/15/37 800 1,092
Duke Energy Florida LLC 5.650% 4/1/40 11,860 15,157
Duke Energy Florida LLC 3.400% 10/1/46 11,850 11,269
Duke Energy Indiana LLC 6.120% 10/15/35 5,723 7,355
Duke Energy Indiana LLC 6.350% 8/15/38 818 1,113
Duke Energy Indiana LLC 6.450% 4/1/39 10,485 14,442
Duke Energy Indiana LLC 4.200% 3/15/42 14,700 15,420
Duke Energy Indiana LLC 4.900% 7/15/43 28,610 33,812
Duke Energy Ohio Inc. 3.700% 6/15/46 9,825 9,757
Duke Energy Progress LLC 4.100% 5/15/42 2,250 2,366
Duke Energy Progress LLC 4.100% 3/15/43 13,500 14,253
Duke Energy Progress LLC 4.150% 12/1/44 10,000 10,735
Duke Energy Progress LLC 4.200% 8/15/45 17,560 18,957
Duke Energy Progress LLC 3.700% 10/15/46 27,000 27,014
6 Enel Finance International NV 4.750% 5/25/47 555 590
Entergy Louisiana LLC 3.120% 9/1/27 340 342
Entergy Louisiana LLC 4.950% 1/15/45 1,105 1,147
FirstEnergy Corp. 4.850% 7/15/47 14,785 15,889
Florida Power & Light Co. 5.960% 4/1/39 16,100 21,371
Florida Power & Light Co. 5.690% 3/1/40 700 907
Florida Power & Light Co. 5.250% 2/1/41 21,662 26,878
Florida Power & Light Co. 4.125% 2/1/42 9,000 9,749
Florida Power & Light Co. 3.800% 12/15/42 26,975 27,875
Florida Power & Light Co. 4.050% 10/1/44 10,825 11,725
Georgia Power Co. 5.950% 2/1/39 21,562 27,051
Georgia Power Co. 5.400% 6/1/40 6,390 7,598
Georgia Power Co. 4.750% 9/1/40 20,750 22,811
Georgia Power Co. 4.300% 3/15/42 6,648 6,917
4 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 21,888 23,845
Kentucky Utilities Co. 5.125% 11/1/40 1,000 1,227
Kentucky Utilities Co. 4.650% 11/15/43 1,000 1,119
6 Massachusetts Electric Co. 4.004% 8/15/46 10,890 11,321
MidAmerican Energy Co. 5.800% 10/15/36 500 632
MidAmerican Energy Co. 4.800% 9/15/43 27,525 32,148
MidAmerican Energy Co. 4.250% 5/1/46 3,895 4,258
6 Monongahela Power Co. 5.400% 12/15/43 15,640 19,148
National Rural Utilities Cooperative Finance        
Corp. 8.000% 3/1/32 2,725 3,974
National Rural Utilities Cooperative Finance        
Corp. 4.023% 11/1/32 35,001 37,133
Nevada Power Co. 6.650% 4/1/36 5,830 7,962
Nevada Power Co. 5.375% 9/15/40 18,230 22,127
Nevada Power Co. 5.450% 5/15/41 25,120 30,917
Northern States Power Co. 6.200% 7/1/37 27,900 37,444
Northern States Power Co. 5.350% 11/1/39 800 992

 

 

Northern States Power Co. 3.600% 9/15/47 9,675 9,663
Oklahoma Gas & Electric Co. 4.550% 3/15/44 500 541
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 1,300 1,826
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,500 2,233
Oncor Electric Delivery Co. LLC 5.250% 9/30/40 1,500 1,819
Oncor Electric Delivery Co. LLC 4.550% 12/1/41 11,755 13,203
Oncor Electric Delivery Co. LLC 3.750% 4/1/45 28,000 28,206
6 Oncor Electric Delivery Co. LLC 3.800% 9/30/47 16,425 16,789
Pacific Gas & Electric Co. 6.050% 3/1/34 44,886 55,858
Pacific Gas & Electric Co. 5.800% 3/1/37 2,900 3,545
Pacific Gas & Electric Co. 6.350% 2/15/38 8,192 10,584
Pacific Gas & Electric Co. 6.250% 3/1/39 36,120 46,562
Pacific Gas & Electric Co. 5.400% 1/15/40 24,650 29,262
Pacific Gas & Electric Co. 4.500% 12/15/41 4,235 4,465
Pacific Gas & Electric Co. 4.750% 2/15/44 25,605 28,338
Pacific Gas & Electric Co. 4.000% 12/1/46 11,440 11,446
PacifiCorp 5.250% 6/15/35 1,301 1,559
PacifiCorp 6.100% 8/1/36 15,000 19,549
PacifiCorp 6.250% 10/15/37 7,815 10,520
PacifiCorp 6.350% 7/15/38 36,000 48,904
PacifiCorp 6.000% 1/15/39 32,296 43,045
PacifiCorp 4.100% 2/1/42 22,570 23,943
PECO Energy Co. 4.800% 10/15/43 15,530 17,724
PECO Energy Co. 3.700% 9/15/47 15,500 15,705
Potomac Electric Power Co. 6.500% 11/15/37 1,225 1,678
Potomac Electric Power Co. 7.900% 12/15/38 150 227
Potomac Electric Power Co. 4.150% 3/15/43 2,000 2,118
PPL Electric Utilities Corp. 6.250% 5/15/39 10,975 14,832
PPL Electric Utilities Corp. 5.200% 7/15/41 1,250 1,490
Public Service Co. of Colorado 3.600% 9/15/42 15,055 14,940
Public Service Electric & Gas Co. 3.650% 9/1/42 21,083 20,990
Puget Sound Energy Inc. 5.483% 6/1/35 200 240
Puget Sound Energy Inc. 6.274% 3/15/37 500 657
Puget Sound Energy Inc. 5.757% 10/1/39 1,100 1,428
Puget Sound Energy Inc. 5.795% 3/15/40 18,130 23,395
Puget Sound Energy Inc. 5.764% 7/15/40 1,100 1,402
Puget Sound Energy Inc. 4.300% 5/20/45 400 440
San Diego Gas & Electric Co. 3.950% 11/15/41 3,400 3,482
South Carolina Electric & Gas Co. 6.625% 2/1/32 34,000 43,287
South Carolina Electric & Gas Co. 6.050% 1/15/38 15,345 18,577
South Carolina Electric & Gas Co. 5.450% 2/1/41 300 349
South Carolina Electric & Gas Co. 4.350% 2/1/42 32,687 32,847
South Carolina Electric & Gas Co. 4.600% 6/15/43 900 958
South Carolina Electric & Gas Co. 4.100% 6/15/46 7,705 7,568
South Carolina Electric & Gas Co. 4.500% 6/1/64 19,430 19,328
Southern California Edison Co. 6.000% 1/15/34 19,095 24,527
Southern California Edison Co. 5.950% 2/1/38 16,100 21,210
Southern California Edison Co. 6.050% 3/15/39 845 1,131
Southern California Edison Co. 4.500% 9/1/40 12,000 13,497
Southern California Edison Co. 3.900% 12/1/41 500 508
Southern California Edison Co. 4.050% 3/15/42 800 852
Southern California Edison Co. 3.900% 3/15/43 18,480 19,280
Southern California Edison Co. 4.650% 10/1/43 27,150 31,841
Southern Co. 4.400% 7/1/46 10,000 10,521
Southwestern Public Service Co. 4.500% 8/15/41 24,055 26,808
Southwestern Public Service Co. 3.700% 8/15/47 20,540 20,550
Tampa Electric Co. 6.150% 5/15/37 32,050 40,637

 

 

Tampa Electric Co. 4.100% 6/15/42 1,010 1,026
Virginia Electric & Power Co. 6.000% 5/15/37 57,330 74,547
Virginia Electric & Power Co. 6.350% 11/30/37 2,000 2,689
Virginia Electric & Power Co. 4.000% 11/15/46 8,725 9,098
Virginia Electric & Power Co. 3.800% 9/15/47 27,225 27,581
Westar Energy Inc. 4.125% 3/1/42 1,175 1,245
Westar Energy Inc. 4.625% 9/1/43 1,300 1,451
Wisconsin Electric Power Co. 5.625% 5/15/33 550 665
 
Natural Gas (0.1%)        
Atmos Energy Corp. 4.150% 1/15/43 1,500 1,598
6 KeySpan Gas East Corp. 5.819% 4/1/41 4,035 5,232
Southern California Gas Co. 5.125% 11/15/40 1,922 2,345
Southwest Gas Corp. 3.800% 9/29/46 2,115 2,109
 
Other Utility (0.0%)        
American Water Capital Corp. 6.593% 10/15/37 1,000 1,374
American Water Capital Corp. 3.750% 9/1/47 2,290 2,298
        2,354,769
Total Corporate Bonds (Cost $10,999,117)       12,161,967
Sovereign Bonds (2.1%)        
6 Banco do Brasil SA 4.625% 1/15/25 500 499
7 Banque Centrale de Tunisie SA 5.625% 2/17/24 220 272
6 Banque Ouest Africaine de Developpement 5.000% 7/27/27 1,786 1,862
Bermuda 4.854% 2/6/24 1,280 1,391
6 CDP Financial Inc. 5.600% 11/25/39 1,500 1,949
6 CNPC HK Overseas Capital Ltd. 5.950% 4/28/41 700 888
Emirate of Abu Dhabi 3.125% 10/11/27 1,100 1,085
6 Emirate of Abu Dhabi 4.125% 10/11/47 82,000 81,379
Emirate of Abu Dhabi 4.125% 10/11/47 850 841
6 Empresa Nacional del Petroleo 4.500% 9/14/47 400 380
Federative Republic of Brazil 5.000% 1/27/45 650 603
6 Kingdom of Saudi Arabia 4.625% 10/4/47 68,455 70,087
Kingdom of Saudi Arabia 4.625% 10/4/47 1,400 1,432
Nexen Energy ULC 6.400% 5/15/37 1,800 2,350
6 OCP SA 5.625% 4/25/24 275 296
Pertamina Persero PT 6.000% 5/3/42 650 745
6 Pertamina Persero PT 6.450% 5/30/44 300 362
Petrobras Global Finance BV 8.750% 5/23/26 360 435
Petrobras Global Finance BV 7.375% 1/17/27 425 471
Petroleos Mexicanos 5.500% 1/21/21 1,320 1,406
Petroleos Mexicanos 4.875% 1/24/22 290 302
Petroleos Mexicanos 6.750% 9/21/47 2,000 2,060
6 Petroleos Mexicanos 6.750% 9/21/47 2,200 2,266
Province of Quebec 7.500% 9/15/29 11,025 15,665
Republic of Chile 3.860% 6/21/47 34,345 34,774
4 Republic of Colombia 3.875% 4/25/27 1,665 1,679
4 Republic of Colombia 5.000% 6/15/45 925 953
6 Republic of Indonesia 6.750% 1/15/44 500 671
7 Republic of Romania 2.750% 10/29/25 500 629
Republic of Turkey 5.750% 5/11/47 1,659 1,586
State of Israel 2.875% 3/16/26 155 155
State of Israel 4.500% 1/30/43 14,915 16,094
6 State of Qatar 4.625% 6/2/46 14,110 14,485
Statoil ASA 5.100% 8/17/40 9,436 11,104

 

 

Statoil ASA 4.250% 11/23/41 8,905 9,447
Statoil ASA 3.950% 5/15/43 38,980 39,934
Statoil ASA 4.800% 11/8/43 16,390 19,115
Sultanate of Oman 5.375% 3/8/27 300 308
United Mexican States 4.000% 10/2/23 1,000 1,048
Total Sovereign Bonds (Cost $332,541)       341,008
Taxable Municipal Bonds (12.5%)        
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.420% 5/1/21 1,000 1,015
Allentown PA Neighborhood Improvement        
Zone Development Authority Revenue 5.620% 5/1/22 1,930 1,969
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 46,000 59,236
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 12,420 15,378
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 41,205 58,509
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 25,730 37,487
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 13,775 21,205
California GO 7.500% 4/1/34 26,555 38,845
California GO 7.550% 4/1/39 45,860 70,697
California GO 7.300% 10/1/39 99,385 146,638
California GO 7.350% 11/1/39 200 296
California GO 7.625% 3/1/40 28,770 44,255
California GO 7.600% 11/1/40 69,390 108,894
California Public Works Board Lease Revenue        
(Various Capital Projects) 8.361% 10/1/34 1,200 1,830
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 15,710 21,364
Chicago IL Transit Authority Sales Tax        
Receipts Revenue 6.200% 12/1/40 1,080 1,366
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 31,590 41,952
Chicago IL Transit Authority 6.899% 12/1/40 10,115 13,433
Clark County NV Airport System Revenue 6.820% 7/1/45 5,700 8,308
Commonwealth Financing Authority 4.144% 6/1/38 17,060 17,783
8 Commonwealth Financing Authority        
Pennsylvania Revenue 5.197% 6/1/26 19,975 22,385
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 200 269
District of Columbia Water & Sewer Authority        
Public Utility Revenue 4.814% 10/1/14 2,000 2,241
Duke University North Carolina Revenue 5.850% 4/1/37 30,450 39,905
George Washington University District of        
Columbia GO 4.300% 9/15/44 3,000 3,201
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 43,201 54,696
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 2,000 2,485
Grand Parkway Transportation Corp. Texas        
System Toll Revenue 5.184% 10/1/42 1,500 1,806
Houston TX GO 6.290% 3/1/32 22,640 26,819
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 17,400 22,468
Kansas Development Finance Authority        
Revenue 4.727% 4/15/37 2,500 2,707

 

 

  Kansas Development Finance Authority        
  Revenue 4.927% 4/15/45 22,745 25,435
  Los Angeles CA Department of Water &        
  Power Revenue 5.716% 7/1/39 400 516
  Los Angeles CA Department of Water &        
  Power Revenue 6.008% 7/1/39 1,200 1,541
  Los Angeles CA Department of Water &        
  Power Revenue 6.574% 7/1/45 31,480 46,311
  Los Angeles CA Department of Water &        
  Power Revenue 6.603% 7/1/50 1,900 2,868
  Los Angeles CA Unified School District GO 5.755% 7/1/29 19,500 23,821
  Los Angeles CA Unified School District GO 5.750% 7/1/34 9,545 12,234
  Los Angeles CA Unified School District GO 6.758% 7/1/34 61,235 85,391
  Los Angeles County CA Metropolitan        
  Transportation Authority Sales Tax        
  Revenue 5.735% 6/1/39 15,100 18,860
9 New Jersey Economic Development Authority        
  Revenue (State Pension Funding) 7.425% 2/15/29 20,377 25,327
  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 43,354 65,957
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 54,700 80,676
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.724% 6/15/42 12,780 17,209
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.952% 6/15/42 18,210 24,810
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.011% 6/15/42 6,980 9,578
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.282% 6/15/42 700 781
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.882% 6/15/44 32,580 43,907
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.508% 8/1/37 2,875 3,610
  New York City Transitional Finance Authority        
  Future Tax Secured Revenue 3.140% 8/1/28 8,600 8,543
  New York City Transitional Finance Authority        
  Future Tax Secured Revenue 3.240% 8/1/29 12,635 12,552
  New York City Transitional Finance Authority        
  Future Tax Secured Revenue 3.430% 8/1/30 14,540 14,719
  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 66,105 101,065
  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 5,950 7,842
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.289% 3/15/33 7,325 8,603
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.628% 3/15/39 19,595 23,994
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.600% 3/15/40 2,000 2,485
  New York State GO 5.590% 3/1/35 1,000 1,208
  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 25,471 38,025
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 12,300 14,673
  Ohio State University General Receipts        
  Revenue 4.800% 6/1/11 20,231 22,049
10 Oregon School Boards Association GO 4.759% 6/30/28 10,000 11,042

 

 

Port Authority of New York & New Jersey        
Revenue 6.040% 12/1/29 17,495 22,402
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 21,245 27,589
Port Authority of New York & New Jersey        
Revenue 5.647% 11/1/40 15,250 19,804
Port Authority of New York & New Jersey        
Revenue 5.310% 8/1/46 9,260 10,316
Port Authority of New York & New Jersey        
Revenue 4.926% 10/1/51 25,005 30,091
Port Authority of New York & New Jersey        
Revenue 4.458% 10/1/62 35,940 40,256
President & Fellows of Harvard College        
Massachusetts GO 3.150% 7/15/46 17,450 16,537
Sacramento CA Municipal Utility District        
Revenue 6.156% 5/15/36 905 1,145
San Antonio TX Electric & Gas Systems        
Revenue 5.985% 2/1/39 10,450 13,895
San Antonio TX Electric & Gas Systems        
Revenue 4.427% 2/1/42 13,370 14,909
San Diego County CA Regional Airport        
Authority Revenue 5.594% 7/1/43 800 888
San Francisco CA City & County Public        
Utilities Commission Water Revenue 6.950% 11/1/50 1,400 2,055
Sonoma County CA Pension Obligation        
Revenue 6.000% 12/1/29 500 592
Texas Transportation Commission Revenue 5.178% 4/1/30 3,690 4,429
University of California Regents Medical        
Center Revenue 6.548% 5/15/48 25,770 35,674
University of California Regents Medical        
Center Revenue 6.583% 5/15/49 8,515 11,700
University of California Revenue 4.601% 5/15/31 11,165 12,551
University of California Revenue 5.770% 5/15/43 5,155 6,714
University of California Revenue 4.765% 5/15/44 9,290 10,000
University of California Revenue 3.931% 5/15/45 17,840 18,044
University of California Revenue 4.858% 5/15/12 31,025 33,766
University of California Revenue 4.767% 5/15/15 14,875 15,822
University of North Carolina University System        
Revenue 3.327% 12/1/36 9,715 9,798
University of Texas System Revenue        
Financing System Revenue 5.262% 7/1/39 11,500 14,306
University of Texas System Revenue        
Financing System Revenue 4.794% 8/15/46 8,915 10,798
Washington GO 5.481% 8/1/39 900 1,145
Wisconsin Annual Appropriation Revenue 3.954% 5/1/36 3,500 3,615
8 Wisconsin GO 5.700% 5/1/26 2,300 2,642
Total Taxable Municipal Bonds (Cost $1,677,972)       2,036,557

 

 

      Face  
      Amount  
      ($000)  
Temporary Cash Investments (3.9%)        
Repurchase Agreements (1.7%)        
Bank of America Securities, LLC        
(Dated 10/31/17, Repurchase Value        
$15,500,000, collateralized by Government        
National Mortgage Assn. 3.500%, 8/20/46,        
with a value of $15,810,000) 1.070% 11/1/17 15,500 15,500
Barclays Capital Inc.        
(Dated 10/31/17, Repurchase Value        
$50,401,000, collateralized by U.S.        
Treasury Note/Bond 1.375%-7.500%,        
6/30/18-5/15/40, with a value of        
$51,408,000) 1.040% 11/1/17 50,400 50,400
Citigroup Global Markets Inc.        
(Dated 10/31/17, Repurchase Value        
$18,501,000, collateralized by U.S.        
Treasury Note/Bond 1.125%, 7/31/21, with        
a value of 18,870,000) 1.050% 11/1/17 18,500 18,500
RBC Capital Markets LLC        
(Dated 10/31/17, Repurchase Value        
$101,903,000, collateralized by Federal        
Home Loan Mortgage Corp. 2.500%-        
5.500%, 12/1/22-11/1/47, Federal National        
Mortgage Assn. 3.000%-4.500%, 2/1/27-        
10/1/47, and Government National        
Mortgage Assn. 3.500%-5.000%, 8/20/46-        
9/20/47, with a value of $103,938,000) 1.040% 11/1/17 101,900 101,900
Wells Fargo & Co.        
(Dated 10/31/17, Repurchase Value        
$83,402,000, collateralized by Federal        
Home Loan Mortgage Corp. 3.500%,        
8/1/47, with a value of $85,068,000) 1.060% 11/1/17 83,400 83,400
        269,700
 
      Shares  
Money Market Fund (2.2%)        
11 Vanguard Market Liquidity Fund 1.246%   3,557,430 355,779
Total Temporary Cash Investments (Cost $625,496)       625,479

 

 

Total Investments (99.6%) (Cost $14,608,553)       16,151,532
 
        Notional  
        Amount Value
  Expiration Date Contracts Exercise Price ($000) ($000)
Liability for Options Written (0.0%)          
Written Options on Futures (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 20 USD 127.50 2,550 (—)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 46 USD 124.50 5,727 (15)
Total Options on Futures Written (Premiums Received $25)     (15)
        Notional  
        Amount on  
        Underlying  
    Expiration   Swap  
  Counterparty Date Exercise Rate ($000)  
Written Swaptions on Credit Default Index (0.0%)        
Call Swaptions on CDX-NA-IG-S28-          
V1 5-Year Index GSI 11/15/17 55.0% 3,170 (7)
Put Swaptions on CDX-NA-IG-S29-          
V1 5-Year Index JPMC 12/20/17 75.0% 9,405 (2)
Total Credit Default Swaptions Written (Premiums Received $13)     (9)
 
Total Liability on Options Written (Premiums Received $38)     (24)
Other Assets and Liabilities-Net (0.4%)12       65,823
Net Assets (100%)         16,217,331

1 Securities with a value of $49,635,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $9,521,000 have been segregated as initial margin for open futures 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 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 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2017, the
aggregate value of these securities was $816,697,000, representing 5.0% of net assets.
7 Face amount denominated in euro.
8 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
10 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
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.
12 Cash of $1,639,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.
GSI—Goldman Sachs International.
JPMC—JP Morgan Chase Bank.
REMICS—Real Estate Mortgage Investment Conduits.

 

Long-Term Investment-Grade Fund        
 
 
Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short Notional Appreciation
  Expiration Contracts) Amount (Depreciation)
Long Futures Contracts        
10-Year U.S. Treasury Note December 2017 3,220 402,299 (3,302 )
Ultra Long U.S. Treasury Bond December 2017 1,292 212,897 (1,819)
30-Year U.S. Treasury Bond December 2017 1,372 209,187 (2,547)
5-Year U.S. Treasury Note December 2017 477 55,898 (297)
2-Year U.S. Treasury Note December 2017 6 1,292 (—)
        (7,965)
Short Futures Contracts        
5-Year U.S. Treasury Note December 2017 (3,545) (415,430) 3,980
Ultra 10-Year U.S. Treasury Note December 2017 (381) (51,024) 577
10-Year U.S. Treasury Note December 2017 (259) (32,359) 344
2-Year U.S. Treasury Note December 2017 (104) (22,397) 81
Ultra 10-Year U.S. Treasury Note December 2017 (115) (15,401) 242
Euro-Buxl December 2017 (10) (1,935) (5)
Euro-Bund December 2017 (5) (948) —
Euro-Bobl December 2017 (4) (614) (—)
        5,219
        (2,746)

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

Forward Currency Contracts            
    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Goldman Sachs Bank AG 11/15/17 EUR 520 USD 603 3
BNP Paribas 11/15/17 USD 4,307 EUR 3,630 75
            78

EUR—euro.
USD—U.S. dollar.

Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

 

Long-Term Investment-Grade Fund

At October 31, 2017, a counterparty had deposited in a segregated account cash of $350,000 in connection with open forward currency contracts.

Centrally Cleared Credit Default Swaps          
 
        Periodic    
        Premium   Unrealized
        Received   Appreciation
  Termination Notional Amount (Paid)1 Value (Depreciation)
Reference Entity Date   (000) (%) ($000) ($000)
Credit Protection Sold            
 
CDX-NA-IG-S29-V1 12/20/22 USD 2,403,500 1.000 55,590 4,590
 
CDX-NA-IG-S29-V1 12/20/22 USD 9,457 1.000 219 6
 
CDX-NA-HY-S29-V1 12/20/22 USD 2,617 5.000 220 13
          56,029 4,609
Credit Protection Purchased            
 
CDX-NA-IG-S28-V1 6/20/22 USD 9,299 (1.000) (205) (5)
          (205) (5)
          55,824 4,604

1 Periodic premium received/paid quarterly.
USD—U.S. dollar.

Over-the-Counter Credit Default Swaps          
 
 
 
            Remaining  
        Periodic   Up-Front
        Premium   Premium Unrealized
      Notional Received   Received Appreciation
  Termination Counter Amount (Paid) Value (Paid) (Depreciation)
Reference Entity Date party ($000) (%) ($000) ($000) ($000)
Credit Protection Sold/              
Moody's Rating              
Berkshire              
Hathaway Inc./Aa2 12/20/21 CITNA 6,000 1.0002 131 (49) 82
Metlife Inc./A3 12/20/21 GSI 10,000 1.0002 235 (26) 209
Republic of              
Chile/Aa3 12/20/22 CITNA 8,100 1.0002 184 (157) 27
Republic of              
Peru/Aa3 12/20/22 GSI 1,725 1.0002 23 — 23
The Southern              
Company/Baa2 6/20/22 JPMC 3,170 1.0002 63 (50) 13
United Mexican              
States/Baa2 12/20/22 CITNA 1,720 1.0002 (6) 2 (4)
Total         630 (280) 350

 

 

Long-Term Investment-Grade Fund            
 
 
 
Credit Protection              
Purchased              
 
Bank of China Ltd. 12/20/21 BNPSW 300 (1.000) 2 (6) (1) (7)
 
CECONOMY AG 6/20/22 BARC 1601 (1.000) 2 (2) (—) (2)
 
CECONOMY AG 6/20/22 BARC 1601 (1.000) 2 (2) (1) (3)
 
CECONOMY AG 6/20/22 BARC 1601 (1.000) 2 (2) — (2)
 
CECONOMY AG 6/20/22 BARC 2351 (1.000) 2 (3) (—) (3)
 
CECONOMY AG 6/20/22 BARC 3901 (1.000) 2 (4) (1) (5)
 
CECONOMY AG 6/20/22 BARC 3901 (1.000) 2 (4) (1) (5)
 
CECONOMY AG 6/20/22 BARC 5551 (1.000) 2 (6) (2) (8)
Dominion Energy              
Inc. 6/20/22 JPMC 395 (1.000) 2 (12) 12 (—)
 
Exelon Corp. 6/20/22 JPMC 395 (1.000) 2 (13) 12 (1)
 
Exelon Corp. 6/20/22 JPMC 635 (1.000) 2 (21) 19 (2)
Federative              
Republic of Brazil 12/20/22 GSI 426 (1.000) 2 14 (21) (7)
Federative              
Republic of Brazil 12/20/22 BNPSW 2,398 (1.000) 2 77 (114) (37)
Federative              
Republic of Brazil 12/20/25 GSCM 315 (1.000) 2 29 (68) (39)
Federative              
Republic of Brazil 12/20/25 BOANA 315 (1.000) 2 29 (73) (44)
Republic of              
Indonesia 6/20/22 JPMC 585 (1.000) 2 (4) (6) (10)
Republic of              
Philippines 12/20/22 BNPSW 600 (1.000) 2 (11) 11 —
Republic of South              
Africa 12/20/20 JPMC 500 (1.000) 2 2 (25) (23)
 
Republic of Turkey 12/20/19 GSCM 2,185 (1.000) 2 (8) (25) (33)
 
Republic of Turkey 12/20/22 MSCS 1,450 (1.000) 2 56 (55) 1
 
Sempra Energy 6/20/22 JPMC 395 (1.000) 2 (13) 12 (1)
 
Sempra Energy 6/20/22 JPMC 635 (1.000) 2 (20) 19 (1)
 
Total         76 (308) (232)
 
              118

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 Notional amount denominated in euro.
2 Periodic premium received/paid quarterly.
BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.

 

Long-Term Investment-Grade Fund

CITNA—Citibank N.A.
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPMC--JP Morgan Chase Bank.
MSCS--Morgan Stanley Capital Services LLC.

Centrally Cleared Interest Rate Swaps        
 
    Fixed      
      Interest Floating    
      Rate Interest   Unrealized
  Future Notional Received Rate   Appreciation
Termination Effective Amount (Paid) 2 Received Value (Depreciation)
Date Date ($000) (%) (Paid) (%) ($000) ($000)
12/20/18 12/20/171 10,653 (1.750) 0.0003 (3) 12
12/20/19 12/20/171 12,118 2.000 (0.000)3 31 (34)
12/20/22 12/20/171 3,929 2.250 (0.000)3 23 38
12/20/24 12/20/171 3,825 2.500 (0.000)3 62 (37)
12/20/27 12/20/171 3,535 2.500 (0.000)3 33 (44)
12/20/32 12/20/171 17,559 (2.750) 0.0003 (476) 299
12/21/37 12/20/171 30,382 2.750 (0.000)3 721 (628)
12/20/47 12/20/171 43,489 (2.750) 0.0003 (1,080) 1,172
          (689) 778

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning
on a specified future effective date.
2 Fixed interest payment received/paid semi-annually.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid
quarterly.

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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

 

Long-Term Investment-Grade Fund

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. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 986,521 —
Corporate Bonds — 12,161,967 —
Sovereign Bonds — 341,008 —
Taxable Municipal Bonds — 2,036,557 —
Temporary Cash Investments 355,779 269,700 —
Liability for Options Written (15) (9) —
Futures Contracts—Assets1 824 — —

 

 

Long-Term Investment-Grade Fund      
 
 
Futures Contracts—Liabilities1 (382) — —
Forward Currency Contracts—Assets — 78 —
Swap Contracts—Assets 8721 355 —
Swap Contracts—Liabilities (75)1 (237) —
Total 357,003 15,795,940 —
1 Represents variation margin on the last day of the reporting period.    

 

E. 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 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).

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

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

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

 

Long-Term Investment-Grade Fund

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

 

Long-Term Investment-Grade Fund

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.

H. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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.

I. At October 31, 2017, the cost of investment securities for tax purposes was $14,614,410,000. Net unrealized appreciation of investment securities for tax purposes was $1,537,122,000, consisting of unrealized gains of $1,575,998,000 on securities that had risen in value since their purchase and $38,876,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Long-Term Investment-Grade Fund


Vanguard GNMA Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (96.8%)        
Conventional Mortgage-Backed Securities (94.1%)        
1,2 Fannie Mae Pool 2.250% 10/1/26–11/1/26 65,046 63,189
1,2 Fannie Mae Pool 2.500% 10/1/26–11/1/47 16,169 16,117
1,2 Fannie Mae Pool 2.640% 12/1/31 15,675 15,401
1,2 Fannie Mae Pool 2.710% 9/1/31 7,110 7,011
1,2 Fannie Mae Pool 2.720% 9/1/31 1,471 1,458
1,2 Fannie Mae Pool 2.870% 2/1/32 21,360 21,202
1,2 Fannie Mae Pool 2.950% 6/1/31 1,925 1,936
1,2 Fannie Mae Pool 2.960% 6/1/31 2,580 2,615
1,2 Fannie Mae Pool 2.990% 3/1/27 8,533 8,731
1,2 Fannie Mae Pool 3.030% 5/1/29 25,320 25,619
1,2 Fannie Mae Pool 3.050% 7/1/31 2,000 2,033
1,2 Fannie Mae Pool 3.140% 7/1/32 50,388 51,605
1,2 Fannie Mae Pool 3.160% 2/1/27 6,433 6,686
1,2 Fannie Mae Pool 3.170% 4/1/27 8,200 8,468
1,2 Fannie Mae Pool 3.210% 7/1/26–3/1/29 6,589 6,763
1,2 Fannie Mae Pool 3.220% 12/1/26 5,587 5,823
1,2 Fannie Mae Pool 3.230% 2/1/27–8/1/27 5,237 5,458
1,2 Fannie Mae Pool 3.240% 1/1/27 3,753 3,919
1,2 Fannie Mae Pool 3.250% 11/1/23–5/1/32 37,877 39,308
1,2 Fannie Mae Pool 3.260% 2/1/27 6,956 7,271
1,2 Fannie Mae Pool 3.270% 7/1/30 40,538 41,919
1,2 Fannie Mae Pool 3.280% 4/1/27–5/1/29 48,475 50,018
1,2 Fannie Mae Pool 3.290% 6/1/29 22,065 22,750
1,2 Fannie Mae Pool 3.320% 7/1/30 14,200 14,752
1,2 Fannie Mae Pool 3.330% 4/1/32 10,818 11,247
1,2 Fannie Mae Pool 3.340% 1/1/27 2,805 2,934
1,2 Fannie Mae Pool 3.350% 7/1/27–11/1/30 19,299 20,112
1,2 Fannie Mae Pool 3.380% 7/1/27 2,424 2,540
1,2 Fannie Mae Pool 3.410% 7/1/27–5/1/32 9,038 9,483
1,2 Fannie Mae Pool 3.420% 4/1/31 1,510 1,559
1,2 Fannie Mae Pool 3.430% 6/1/30 1,297 1,359
1,2 Fannie Mae Pool 3.460% 9/1/29 6,889 7,213
1,2 Fannie Mae Pool 3.480% 3/1/37 21,644 22,982
1,2 Fannie Mae Pool 3.490% 7/1/30 9,846 10,359
1,2,3Fannie Mae Pool 3.500% 2/1/27–11/1/47 933,515 959,565
1,2 Fannie Mae Pool 3.540% 6/1/30 1,730 1,825
1,2 Fannie Mae Pool 3.550% 2/1/30 8,875 9,313
1,2 Fannie Mae Pool 3.570% 10/1/29 1,046 1,102
1,2 Fannie Mae Pool 3.580% 7/1/29–1/1/31 29,478 31,105
1,2 Fannie Mae Pool 3.590% 9/1/30 50,357 53,236
1,2 Fannie Mae Pool 3.600% 4/1/28 572 599
1,2 Fannie Mae Pool 3.610% 10/1/29 4,749 5,012
1,2 Fannie Mae Pool 3.670% 3/1/28 463 486
1,2 Fannie Mae Pool 3.700% 12/1/25 2,193 2,277
1,2 Fannie Mae Pool 3.750% 7/1/25 4,646 4,964
1,2 Fannie Mae Pool 3.755% 8/1/25 6,909 7,378
1,2 Fannie Mae Pool 3.760% 1/1/26 3,677 3,910
1,2 Fannie Mae Pool 3.765% 12/1/25 42,997 45,745
1,2 Fannie Mae Pool 3.790% 8/1/25 2,470 2,640

 

 

1,2 Fannie Mae Pool 3.800% 10/1/23 7,223 7,660
1,2 Fannie Mae Pool 3.820% 11/1/25–11/1/25 10,775 11,502
1,2 Fannie Mae Pool 3.830% 6/1/34 3,335 3,613
1,2 Fannie Mae Pool 3.855% 12/1/25 6,600 7,040
1,2 Fannie Mae Pool 3.870% 10/1/25 11,037 11,824
1,2 Fannie Mae Pool 3.890% 5/1/30 14,241 15,237
1,2 Fannie Mae Pool 3.910% 11/1/25 13,000 13,896
1,2 Fannie Mae Pool 3.930% 11/1/25–3/1/26 7,313 7,822
1,2 Fannie Mae Pool 3.960% 12/1/25–5/1/34 7,428 8,072
1,2 Fannie Mae Pool 3.970% 12/1/25–5/1/29 5,959 6,375
1,2 Fannie Mae Pool 3.990% 9/1/25 9,288 9,803
1,2,3Fannie Mae Pool 4.000% 5/1/46–12/1/47 566,943 594,735
1,2 Fannie Mae Pool 4.060% 9/1/25–3/1/29 15,313 16,513
1,2 Fannie Mae Pool 4.070% 1/1/26 2,249 2,422
1,2 Fannie Mae Pool 4.080% 2/1/29 2,941 3,161
1,2 Fannie Mae Pool 4.150% 10/1/28–1/1/31 74,497 81,213
1,2 Fannie Mae Pool 4.180% 11/1/30 29,667 32,171
1,2 Fannie Mae Pool 4.210% 1/1/26 974 1,057
1,2 Fannie Mae Pool 4.250% 10/1/28–9/1/33 4,507 4,915
1,2 Fannie Mae Pool 4.280% 11/1/28 5,308 5,789
1,2 Fannie Mae Pool 4.380% 10/1/28 9,742 10,696
1,2 Fannie Mae Pool 4.400% 8/1/28 2,200 2,418
1,2 Fannie Mae Pool 4.500% 12/1/40–3/1/44 3,516 3,772
1,2 Fannie Mae Pool 5.180% 2/1/26 2,914 3,318
1,2 Fannie Mae Pool 6.000% 7/1/22 5 6
1,2 Fannie Mae Pool 6.500% 2/1/29–5/1/40 3,017 3,363
1,2 Freddie Mac Gold Pool 2.000% 2/1/32–11/1/32 3,454 3,448
1,2 Freddie Mac Gold Pool 3.000% 6/1/43–12/1/47 7,701 8,205
1,2 Freddie Mac Gold Pool 4.000% 9/1/30–4/1/44 8,719 9,173
1,2 Freddie Mac Gold Pool 4.500% 4/1/34–11/1/47 3,667 4,261
1,2 Freddie Mac Gold Pool 5.000% 6/1/29–8/1/44 34,666 37,509
1 Ginnie Mae I Pool 2.500% 11/15/42–9/15/43 106,760 104,951
1 Ginnie Mae I Pool 3.000% 1/15/26–11/1/47 1,284,232 1,304,590
1 Ginnie Mae I Pool 3.500% 7/15/39–11/1/47 827,017 863,734
1 Ginnie Mae I Pool 3.750% 7/15/42 3,582 3,777
1 Ginnie Mae I Pool 3.875% 5/15/42–6/15/42 7,014 7,453
1 Ginnie Mae I Pool 4.000% 6/15/19–11/1/47 1,127,563 1,194,393
1 Ginnie Mae I Pool 4.500% 5/15/19–1/15/45 778,913 833,931
1 Ginnie Mae I Pool 5.000% 1/15/30–12/1/47 694,584 759,022
1 Ginnie Mae I Pool 5.500% 9/15/23–11/1/47 458,303 504,910
1 Ginnie Mae I Pool 6.000% 3/15/19–11/1/47 256,442 284,090
1 Ginnie Mae I Pool 6.500% 4/15/23–7/15/40 184,649 197,950
1 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 55,979 64,282
1 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 54 55
1,4 Ginnie Mae I Pool 7.500% 10/15/31 21,221 24,533
1 Ginnie Mae I Pool 7.750% 2/15/27 24 24
1 Ginnie Mae I Pool 8.000% 8/15/31 7,925 9,149
1 Ginnie Mae I Pool 8.500% 8/15/18–6/15/28 1,029 1,083
1 Ginnie Mae I Pool 9.000% 4/15/18–5/15/21 9 10
1 Ginnie Mae I Pool 9.500% 5/15/18–8/15/21 205 217
1 Ginnie Mae I Pool 10.000% 3/15/18–7/15/19 3 3
1 Ginnie Mae II Pool 1.500% 6/20/39–6/20/47 1,178 1,015
1 Ginnie Mae II Pool 2.000% 10/20/43–2/20/47 974 877
1 Ginnie Mae II Pool 2.500% 11/20/42–11/1/47 546,412 537,203
1,3 Ginnie Mae II Pool 3.000% 4/20/31–11/1/47 3,810,703 3,859,114
1 Ginnie Mae II Pool 3.500% 10/20/40–11/1/47 5,088,404 5,285,807
1,3 Ginnie Mae II Pool 4.000% 4/20/39–12/1/47 3,355,447 3,528,161
1,3 Ginnie Mae II Pool 4.500% 12/20/32–11/1/47 899,606 964,565

 

 

1 Ginnie Mae II Pool 5.000% 10/20/32–3/20/45 360,969 392,116
1 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 38,886 42,544
1 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 50,233 56,198
1 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 1,334 1,492
1 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 112 127
1 Ginnie Mae II Pool 10.000% 3/20/18–7/20/18   1
          23,407,363
Nonconventional Mortgage-Backed Securities (2.7%)        
1,2 Fannie Mae Pool 2.325% 8/1/43 15,100 15,152
1,2 Fannie Mae Pool 2.780% 9/1/44 15,743 15,906
1,2 Fannie Mae REMICS 3.000% 6/25/43–6/25/47 30,669 28,960
1,2 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 5,428 6,075
1,2 Freddie Mac Non Gold Pool 2.269% 8/1/43 22,858 22,877
1,2 Freddie Mac Non Gold Pool 2.293% 9/1/43 9,917 9,912
1,2 Freddie Mac Non Gold Pool 2.710% 10/1/44 28,573 28,643
1,2 Freddie Mac Non Gold Pool 2.801% 7/1/44 9,528 9,572
1,2 Freddie Mac Non Gold Pool 2.838% 10/1/44 13,221 13,283
1,2 Freddie Mac Non Gold Pool 2.916% 4/1/44 14,799 14,856
1,2 Freddie Mac Non Gold Pool 2.933% 9/1/44 10,059 10,080
1,2 Freddie Mac Non Gold Pool 3.104% 10/1/44 22,097 22,200
1,2 Freddie Mac REMICS 3.000% 6/15/41–12/15/46 120,530 117,384
1,2 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 14,905 16,623
1,5 Ginnie Mae REMICS 1.439% 2/20/37 3,792 3,791
1 Ginnie Mae REMICS 2.500% 12/16/39 24,657 24,568
1 Ginnie Mae REMICS 2.350% 5/17/46 35,899 35,395
1 Ginnie Mae REMICS 2.500% 8/16/42–11/20/43 44,572 39,370
1 Ginnie Mae REMICS 2.650% 11/17/48 16,440 16,162
1 Ginnie Mae REMICS 3.000% 3/20/40–5/20/47 68,725 65,331
1 Ginnie Mae REMICS 3.000% 3/20/47 7,105 6,602
1 Ginnie Mae REMICs 3.000% 4/20/47 12,628 12,389
1 Ginnie Mae REMICS 3.250% 8/20/44 7,910 7,249
1 Ginnie Mae REMICS 3.500% 7/20/43–9/20/44 31,882 32,765
1 Ginnie Mae REMICS 3.500% 11/20/45 23,070 23,481
1 Ginnie Mae REMICS 3.750% 7/20/44 1,834 1,881
1 Ginnie Mae REMICS 4.500% 6/20/39 4,945 5,395
1 Ginnie Mae REMICS 5.000% 6/16/37 16,682 18,615
1 Ginnie Mae REMICS 5.500% 8/16/36 14,200 15,159
1,5 Government National Mortgage Assn. 2.700% 5/16/35 13,491 13,102
1 Government National Mortgage Assn. 2.400% 9/16/46 26,869 26,542
          679,320
Total U.S. Government and Agency Obligations (Cost $23,915,050)     24,086,683
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%)      
Asset-Backed/Commercial Mortgage-Backed Securities (0.9%)      
1,2,5Fannie Mae-Aces 2017-M4 2.597% 12/25/26 102,680 100,492
1,2,5Fannie Mae-Aces 2017-M7 2.961% 2/25/27 71,893 71,767
1,2 FHLMC Multifamily Structured Pass Through        
  Certificates K062 3.413% 12/25/26 25,000 26,062
1,2 FHLMC Multifamily Structured Pass Through        
  Certificates K063 3.430% 1/25/27 20,500 21,482
1,2,5FHLMC Multifamily Structured Pass Through        
  Certificates K064 3.224% 3/25/27 5,500 5,646
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $226,463)   225,449

 

 

Temporary Cash Investments (3.4%)        
Repurchase Agreements (2.1%)        
Bank of America Securities, LLC        
(Dated 10/31/17, Repurchased Value        
$36,201,000, collateralized by Government        
National Mortgage Assn. 4.000%, 7/20/44,        
with a value of $36,924,000) 1.070% 11/1/17 36,200 36,200
Barclays Capital Inc.        
(Dated 10/31/17, Repurchased Value        
$11,800,000, collateralized by U.S. Treasury        
Note/Bond 2.750%-8.125%, 5/15/21-8/15/42,        
with a value of $12,036,000) 1.040% 11/1/17 11,800 11,800
Citigroup Global Markets Inc.        
(Dated 10/31/17, Repurchased Value        
$21,801,000, collateralized by U.S. Treasury        
Note/Bond 2.250%, 10/31/24, with a value of        
$22,236,000) 1.050% 11/1/17 21,800 21,800
HSBC Bank USA        
(Dated 10/31/17, Repurchased Value        
$66,302,000, collateralized by U.S. Treasury        
Note/Bond 4.625%, 2/15/40, with a value of        
$67,631,000) 1.030% 11/1/17 66,300 66,300
HSBC Bank USA        
(Dated 10/31/17, Repurchased Value        
$28,101,000, collateralized by Federal        
National Mortgage Assn. 3.500%-6.000%,        
1/1/38-12/1/46, with a value of $28,665,000) 1.040% 11/1/17 28,100 28,100
Societe Generale        
(Dated 10/31/17, Repurchased Value        
$1,800,000, collateralized by Federal Home        
Loan Bank 1.375%, 3/18/19, Federal Home        
Loan Mortgage Corp. 1.250%-4.093%,        
7/26/19-2/1/47, Federal National Mortgage        
Assn. 1.000%-4.500%, 5/21/18-9/1/47,        
Government National Mortgage Assn.        
2.125%-4.500%, 1/20/26-2/20/47, U.S.        
Treasury Note/Bond 9.000%, 11/15/18, with        
a value of $1,836,000) 1.070% 11/1/17 1,800 1,800
TD Securities (USA) LLC        
(Dated 10/31/17, Repurchased Value        
$173,905,000, collateralized by Federal Farm        
Credit Bank 1.150%-1.409, 11/27/17-2/3/20,        
Federal Home Loan Bank 1.125%-1.750%,        
4/26/19-7/14/21, Federal Home Loan        
Mortgage Corp. 1.250%-1.375%, 4/20/20-        
6/5/20, Federal National Mortgage Assn.        
1.500%-6.625%, 2/19/19-10/1/47, U.S.        
Treasury Note/Bond 1.143%-1.263%,        
4/30/18-4/30/19, with a value of        
$177,378,000) 1.040% 11/1/17 173,900 173,900

 

 

GNMA Fund        
 
 
 
Wells Fargo & Co.        
(Dated 10/31/17, Repurchased Value        
$186,505,000, collateralized by Federal        
Home Loan Mortgage Corp. 3.500%,        
8/1/47, Federal National Mortgage Assn.        
2.650%-4.000%, 6/1/47-11/1/47, with a        
value of $190,230,000) 1.060% 11/1/17 186,500 186,500
        526,400
 
      Shares  
Money Market Fund (1.3%)        
6 Vanguard Market Liquidity Fund 1.246%   3,272,853 327,318
Total Temporary Cash Investments (Cost $853,686)       853,718
Total Investments (101.1%) (Cost $24,995,199)       25,165,850
Other Assets and Liabilities-Net (-1.1%)7,8       (280,686)
Net Assets (100%)       24,885,164

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of October 31, 2017.
4 Securities with a value of $22,753,000 have been segregated as initial margin for open futures contracts.
5 Adjustable-rate security based on 1-month USD LIBOR plus spread.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
7 Cash of $310,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions.
8 Cash of $27,505,000 has been segregated as initial margin for open cleared swap contracts.
REMICS—Real Estate Mortgage Investment Conduits.

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
10-Year U.S. Treasury Note December 2017 7,304 912,544 (239)
5-Year U.S. Treasury Note December 2017 2,342 274,453 (2,657)
        (2,896)

 

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

 

GNMA Fund            
 
 
 
Centrally Cleared Interest Rate Swaps          
 
 
 
    Fixed       
    Interest       
      Rate Floating    
  Future Notional Received Interest Rate   Unrealized
Termination Effective Amount (Paid)1 Received Value Appreciation
Date Date ($000) (%) (Paid) (%) ($000) (Depreciation) ($000)
5/15/24 N/A 349,500 (2.202) 1.2552 (558) (558)
7/14/27 N/A 292,775 (2.275) 1.3592 1,501 1,501
          943 943

1 Fixed interest payment received/paid semi-annually.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment
received/paid quarterly.

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At October 31, 2017, counterparties had deposited in segregated accounts securities and cash with a value of $9,634,000 in connection with TBA transactions.

 

GNMA Fund

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

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

E. 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 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).

F. Swap Contracts: 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.

 

GNMA Fund

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. 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.

During the six months ended July 31, 2017, the average amount of investments in interest rate swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

G. 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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

 

GNMA Fund

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 24,086,683 —
Asset-Backed/Commercial Mortgage-Backed Securities — 225,449 —
Temporary Cash Investments 327,318 526,400 —
Futures Contracts—Liabilities 1 (735) — —
Swap Contracts—Assets 1 102 — —
Swap Contracts—Liabilities 1 (30) — —
Total 326,655 24,838,532 —
1 Represents variation margin on the last day of the reporting period.      

 

At October 31, 2017, the cost of investment securities for tax purposes was $24,998,672,000. Net unrealized appreciation of investment securities for tax purposes was $167,178,000, consisting of unrealized gains of $300,945,000 on securities that had risen in value since their purchase and $133,767,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Investment-Grade Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (16.1%)        
U.S. Government Securities (16.1%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 404,691 405,796
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 41,800 44,024
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 71,300 71,567
  United States Treasury Note/Bond 1.500% 8/31/18 769,000 769,361
1 United States Treasury Note/Bond 1.375% 9/30/18 795,000 794,253
  United States Treasury Note/Bond 0.750% 10/31/18 544,000 540,089
1 United States Treasury Note/Bond 1.500% 12/31/18 514,400 514,318
  United States Treasury Note/Bond 1.125% 1/15/19 422,900 420,984
  United States Treasury Note/Bond 1.250% 1/31/19 211,000 210,308
  United States Treasury Note/Bond 1.500% 2/28/19 190,000 189,941
  United States Treasury Note/Bond 0.750% 7/15/19 450 444
  United States Treasury Note/Bond 1.000% 8/31/19 19 19
  United States Treasury Note/Bond 1.625% 8/31/19 430,000 430,202
  United States Treasury Note/Bond 0.875% 9/15/19 79,270 78,230
2 United States Treasury Note/Bond 1.375% 2/15/20 558,687 555,195
  United States Treasury Note/Bond 1.375% 3/31/20 157,000 155,871
  United States Treasury Note/Bond 1.625% 6/30/20 75,000 74,848
  United States Treasury Note/Bond 1.500% 7/15/20 773,400 769,053
  United States Treasury Note/Bond 1.625% 7/31/20 76,000 75,822
3 United States Treasury Note/Bond 1.375% 8/31/20 400,000 396,188
1 United States Treasury Note/Bond 2.125% 8/31/20 940,000 950,284
  United States Treasury Note/Bond 1.375% 9/30/20 457,000 452,288
  United States Treasury Note/Bond 2.000% 9/30/20 75,000 75,562
1,3 United States Treasury Note/Bond 1.375% 10/31/20 485,000 479,772
3 United States Treasury Note/Bond 1.625% 11/30/20 749,000 745,839
1 United States Treasury Note/Bond 2.000% 11/30/20 446,000 449,068
  United States Treasury Note/Bond 1.875% 9/30/22 620,000 615,933
  United States Treasury Note/Bond 1.500% 8/15/26 3,840 3,584
          10,268,843
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5,6Fannie Mae Pool 2.625% 12/1/32 251 257
4,5,6Fannie Mae Pool 3.080% 5/1/33 1,589 1,682
4,5,6Fannie Mae Pool 3.103% 6/1/33 1,691 1,759
4,5,6Fannie Mae Pool 3.310% 7/1/32 261 277
4,5,7Fannie Mae Pool 3.433% 2/1/37 838 889
4,5,7Fannie Mae Pool 3.500% 9/1/32 208 219
4,5,7Fannie Mae Pool 3.510% 8/1/37 472 490
4,5,7Fannie Mae Pool 3.535% 8/1/33 2,788 2,903
4,5,7Fannie Mae Pool 3.587% 7/1/33 2,223 2,289
4,5,7Fannie Mae Pool 3.721% 5/1/33 318 338
4,5,6Freddie Mac Non Gold Pool 3.351% 8/1/32 552 588
4,5,6Freddie Mac Non Gold Pool 3.375% 8/1/32 676 697
4,5,8Freddie Mac Non Gold Pool 3.486% 10/1/32 434 461
4,5,8Freddie Mac Non Gold Pool 3.500% 8/1/37 1,877 1,970
4,5,6Freddie Mac Non Gold Pool 3.504% 9/1/32 54 59

 

 

4,5,8Freddie Mac Non Gold Pool 3.586% 1/1/33 279 302
4,5,8Freddie Mac Non Gold Pool 3.643% 9/1/32 780 799
4,5,8Freddie Mac Non Gold Pool 3.711% 2/1/33–8/1/33 842 887
          16,866
Total U.S. Government and Agency Obligations (Cost $10,339,045)     10,285,709
Asset-Backed/Commercial Mortgage-Backed Securities (18.1%)      
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 11,675 11,676
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 4,315 4,319
4 Ally Master Owner Trust Series 2017-3 2.040% 6/15/22 20,510 20,440
4 American Express Credit Account Master        
  Trust 2017-6 2.040% 5/15/23 75,260 75,307
4,9 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 12,784 13,372
4,9 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 3,360 3,539
4,9 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 17,293 17,961
4,9 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 15,393 15,794
4,9 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 6,662 6,928
4,9 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 2,830 3,006
4,9 Americold 2010 LLC Trust Series 2010-ARTA 4.954% 1/14/29 15,984 17,067
4,9 Americold 2010 LLC Trust Series 2010-ARTA 6.811% 1/14/29 11,185 12,345
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 1,519 1,519
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 20,500 20,550
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 579 579
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 4,660 4,685
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 3,308 3,313
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 7,170 7,218
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 4,586 4,593
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 9,220 9,241
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 14,963 14,962
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 7,120 7,135
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 12,055 12,170
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 8,900 8,986
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 15,068 15,079
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 9,420 9,523
4 AmeriCredit Automobile Receivables Trust        
  2016-1 3.590% 2/8/22 6,820 6,952
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 15,130 15,122
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 4,770 4,786
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 5,600 5,656

 

 

4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 9,390 9,613
4 AmeriCredit Automobile Receivables Trust        
  2016-3 2.710% 9/8/22 10,170 10,133
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 25,630 25,611
4 AmeriCredit Automobile Receivables Trust        
  2017-3 1.690% 12/18/20 78,970 78,908
4,9 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 13,390 13,583
4,9 Applebee's Funding LLC/IHOP Funding LLC 4.277% 9/5/44 6,105 5,996
4,9 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 13,740 13,613
4,9 ARL Second LLC 2014-1A 2.920% 6/15/44 15,882 15,608
4,9 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 15,105 15,685
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 15,210 15,186
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 29,200 29,423
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2015-1A 2.500% 7/20/21 34,860 34,778
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2015-2A 2.630% 12/20/21 43,123 43,193
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2016-1A 2.990% 6/20/22 3,181 3,212
4,9 Avis Budget Rental Car Funding AESOP LLC        
  2017-1A 3.070% 9/20/23 7,640 7,718
4,9 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,900 4,965
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.254% 2/10/51 22,404 22,581
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 6,740 7,080
4 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.366% 9/15/48 1,600 1,616
4 Banc of America Commercial Mortgage Trust        
  2017-BNK3 3.574% 2/15/50 3,370 3,486
4,10 Banc of America Funding 2006-H Trust 3.657% 9/20/46 12,602 11,838
4 BANK 2017 - BNK4 3.625% 5/15/50 24,660 25,834
4 BANK 2017 - BNK5 3.390% 6/15/60 23,820 24,499
4 BANK 2017 - BNK6 3.518% 7/15/60 13,190 13,705
4 BANK 2017 - BNK7 3.435% 9/15/60 16,580 17,126
4,11 BANK 2017 - BNK8 3.488% 11/15/50 33,600 34,607
4 Bank of America Mortgage 2002-J Trust 4.259% 9/25/32 18 18
4,9,12 Bank of America Student Loan Trust 2010-1A 2.167% 2/25/43 12,221 12,277
  Bank of Nova Scotia 1.875% 4/26/21 62,747 61,867
9 Bank of Nova Scotia 1.875% 9/20/21 28,850 28,337
4,10 Bear Stearns ARM Trust 2006-4 3.412% 10/25/36 21,223 20,618
4,10 Bear Stearns ARM Trust 2007-3 3.667% 5/25/47 14,265 14,357
4,7,9BMW Floorplan Master Owner Trust 2015-1A 1.739% 7/15/20 59,345 59,484
4 BMW Vehicle Lease Trust 2017-2 2.070% 10/20/20 22,040 22,055
4 BMW Vehicle Lease Trust 2017-2 2.190% 3/22/21 6,860 6,860
4,12 Brazos Higher Education Authority Inc. Series        
  2005-3 1.528% 6/25/26 11,497 11,430
4,12 Brazos Higher Education Authority Inc. Series        
  2011-1 2.117% 2/25/30 19,909 20,028
4,7 Cabela's Credit Card Master Note Trust 2015-        
  2 1.909% 7/17/23 25,050 25,225
4,9 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 4,650 4,628

 

 

4,9 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 8,721 8,633
4,9 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 13,690 13,804
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 8,400 8,391
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 7,160 7,135
4 California Republic Auto Receivables Trust        
  2016-2 2.520% 5/16/22 6,520 6,494
4 California Republic Auto Receivables Trust        
  2016-2 3.510% 3/15/23 3,180 3,175
4,9 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 2.050% 3/19/21 8,130 8,110
4,9 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 2.286% 1/19/22 5,710 5,690
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 3,384 3,387
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 730 730
4 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 11,935 11,962
4 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 3,096 3,100
4 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 4,100 4,120
4 Capital Auto Receivables Asset Trust 2014-3 3.940% 4/20/23 5,440 5,527
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 22,240 22,270
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 20,360 20,423
4 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 6,170 6,197
4 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 6,880 6,952
4 Capital Auto Receivables Asset Trust 2016-2 3.160% 11/20/23 1,630 1,647
4 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 10,290 10,275
4 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 6,110 6,102
4 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 3,360 3,346
4,9,11 Capital Auto Receivables Asset Trust 2017-1 2.020% 8/20/21 12,160 12,159
4,9,11 Capital Auto Receivables Asset Trust 2017-1 2.220% 3/21/22 8,480 8,478
4 Capital One Multi-Asset Execution Trust 2015-        
  A4 2.750% 5/15/25 34,810 35,523
4 Capital One Multi-Asset Execution Trust 2017-        
  A4 1.990% 7/17/23 90,380 90,316
4,7 Capital One Multi-Asset Execution Trust 2017-        
  A5 1.818% 7/15/27 47,560 47,672
4,7,9CARDS II Trust 2016-1A 1.939% 7/15/21 56,125 56,297
4 CarMax Auto Owner Trust 2014-1 1.690% 8/15/19 2,530 2,530
4 CarMax Auto Owner Trust 2014-1 1.930% 11/15/19 4,730 4,736
4 CarMax Auto Owner Trust 2015-2 3.040% 11/15/21 5,850 5,896
4 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 3,875 3,871
4 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 5,560 5,602
4 CarMax Auto Owner Trust 2016-2 2.160% 12/15/21 4,850 4,819
4 CarMax Auto Owner Trust 2016-2 3.250% 11/15/22 5,800 5,810
4 CarMax Auto Owner Trust 2016-3 2.200% 6/15/22 5,740 5,682
4 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 4,050 4,005
4 CarMax Auto Owner Trust 2017-4 2.110% 10/17/22 12,120 12,123
4 CarMax Auto Owner Trust 2017-4 2.330% 5/15/23 6,860 6,863
4 CarMax Auto Owner Trust 2017-4 2.460% 8/15/23 3,240 3,238
4 CarMax Auto Owner Trust 2017-4 2.700% 10/16/23 3,240 3,237
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 2,005 1,965
4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 39,840 41,765
4 CD 2017-CD4 Commercial Mortgage Trust 3.514% 5/10/50 12,810 13,207
4 CD 2017-CD5 Commercial Mortgage Trust 3.431% 8/15/50 28,212 29,063
4 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 17,776 17,838

 

 

4,9 CFCRE Commercial Mortgage Trust 2011-C2 5.754% 12/15/47 14,930 16,606
4 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 25,764 26,085
4,9 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 73,134 73,154
4 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 3.457% 11/19/33 790 788
4,10 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 3.245% 3/20/36 9,105 8,077
4,10 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 3.407% 2/25/47 10,107 9,078
4,9 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.280% 7/15/19 4,629 4,632
4,9 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.930% 8/17/20 5,185 5,198
4,9 Chrysler Capital Auto Receivables Trust 2014-        
  AA 2.280% 11/15/19 10,230 10,260
4,9 Chrysler Capital Auto Receivables Trust 2014-        
  BA 3.440% 8/16/21 700 708
4,9 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.260% 10/15/20 16,900 16,964
4,9 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.700% 12/15/20 6,525 6,560
4,9 Chrysler Capital Auto Receivables Trust 2015-        
  BA 3.260% 4/15/21 10,155 10,343
4,9 Chrysler Capital Auto Receivables Trust 2015-        
  BA 4.170% 1/16/23 15,545 15,891
4,9 Chrysler Capital Auto Receivables Trust 2016-        
  AA 2.880% 2/15/22 5,040 5,073
4,9 Chrysler Capital Auto Receivables Trust 2016-        
  AA 4.220% 2/15/23 26,030 26,426
4,9 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.640% 7/15/21 10,730 10,689
4,9 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.870% 2/15/22 5,960 5,906
4 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 6,118 6,236
4,9 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 2,100 2,179
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 3,488 3,490
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 6,350 6,491
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 22,559 22,748
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 7,270 7,604
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.371% 9/10/46 3,786 4,103
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 19,843 21,256
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 6,872 7,149
4 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 40,226 42,692
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 25,685 26,961
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 12,426 12,732

 

 

4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 5,394 5,611
4 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.462% 7/10/47 6,380 6,365
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 18,100 18,570
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 40,950 42,754
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.345% 10/10/47 6,146 6,418
4 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.531% 10/10/47 1,035 1,034
4 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 38,271 38,666
4 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 27,532 29,041
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 28,246 29,824
4 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.570% 9/10/58 4,000 3,987
4 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.209% 5/10/49 47,360 48,124
4,11 Citigroup Commercial Mortgage Trust 2017-        
  C4 3.471% 10/12/50 29,470 30,352
4 Citigroup Commercial Mortgage Trust 2017-        
  P8 3.465% 9/15/50 42,951 44,401
4 Citigroup Commercial Mortgage Trust 2017-        
  P8 4.192% 9/15/50 9,500 9,773
4 Citigroup Commercial Mortgage Trust 2017-        
  P8 4.272% 9/15/50 9,500 9,531
4,10 Citigroup Mortgage Loan Trust 2007-AR8 3.587% 7/25/37 832 799
4,9 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 21,089 21,236
4,9 CLI Funding V LLC 2013-1A 2.830% 3/18/28 13,898 13,731
4,7,9Colony American Homes 2014-1A 2.387% 5/17/31 11,344 11,359
4,7,9Colony American Homes 2014-1A 2.587% 5/17/31 15,545 15,538
4,7,9Colony American Homes 2014-2 2.587% 7/17/31 10,473 10,480
4,7,9Colony American Homes 2015-1 2.737% 7/17/32 821 822
4,7,9Colony American Homes 2015-1A 2.437% 7/17/32 10,904 10,918
4,7,9Colony Starwood Homes 2016-1A Trust 2.738% 7/17/33 8,474 8,519
4,7,9Colony Starwood Homes 2016-1A Trust 3.388% 7/17/33 3,740 3,773
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,925 2,999
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 4,100 4,273
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 23,416 23,724
4,9 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 12,316 12,606
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 10,971 11,121
4 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 1,990 2,016
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,669
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 19,839 20,048
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 9,520 9,951
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 13,320 14,212
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 43,975 47,465
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 14,650 15,234
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 7,790 8,194
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 41,651 44,469
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/12/46 26,960 29,055
4 COMM 2013-CCRE13 Mortgage Trust 4.746% 11/12/46 4,517 4,904
4 COMM 2013-CCRE13 Mortgage Trust 4.746% 11/12/46 8,240 8,553

 

 

4,9 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 17,360 17,495
4,9 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 2,380 2,367
4 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 2,910 3,007
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 40,399 42,270
4 COMM 2013-CCRE9 Mortgage Trust 4.231% 7/10/45 27,409 29,632
4,9 COMM 2013-CCRE9 Mortgage Trust 4.254% 7/10/45 11,250 11,991
4,9 COMM 2013-CCRE9 Mortgage Trust 4.254% 7/10/45 12,690 13,152
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 21,393 21,582
4,9 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 10,688 11,146
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 13,605 14,663
4,9 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 18,565 20,054
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 4,100 4,149
4,9 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 5,490 5,528
4,9 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 33,245 34,534
4 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 1,915 2,031
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 17,690 19,029
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 15,911 16,076
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 20,250 21,586
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 13,450 14,347
4 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 1,930 2,017
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 47,271 50,138
4 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 27,380 28,825
4 COMM 2014-CCRE17 Mortgage Trust 4.735% 5/10/47 10,175 10,451
4 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 9,572 9,992
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 28,552 30,088
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 1,520 1,565
4 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 36,585 38,211
4 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 36,723 38,219
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 11,570 12,230
4 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 36,015 36,965
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 19,415 20,427
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 31,421 33,195
4 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 22,007 23,026
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 11,974 12,515
4 COMM 2015-CCRE27 Mortgage Trust 4.472% 10/10/48 8,118 8,319
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 18,400 18,760
9 Commonwealth Bank of Australia 2.000% 6/18/19 19,400 19,396
9 Commonwealth Bank of Australia 2.125% 7/22/20 63,480 63,440
4,9 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 42,700 43,521
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.307% 2/15/41 19,686 19,849
4 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 14,528 15,048
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 42,350 43,766
4 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 16,636 17,437
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.358% 8/15/48 10,600 10,617
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 39,572 41,404
4 CSAIL 2016-C5 Commercial Mortgage Trust 4.536% 11/15/48 7,660 7,859
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 39,930 40,839
4 CSAIL 2017-C8 Commercial Mortgage Trust 3.392% 6/15/50 31,360 31,871
4,9 DB Master Finance LLC 2017-1A 3.629% 11/20/47 11,560 11,650
4,9 DB Master Finance LLC 2017-1A 4.030% 11/20/47 8,660 8,689
4 DBJPM 16-C1 Mortgage Trust 3.351% 5/10/49 2,050 1,964
4 DBJPM 17-C6 Mortgage Trust 3.328% 6/10/50 21,940 22,445
4,9 Dell Equipment Finance Trust 2017-2 1.970% 2/24/20 18,700 18,700
4,9 Dell Equipment Finance Trust 2017-2 2.190% 10/24/22 10,090 10,095
4,7 Discover Card Execution Note Trust 2017-A5 1.839% 12/15/26 33,850 34,181
4,9 Drive Auto Receivables Trust 2015-AA 3.060% 5/17/21 4,960 4,990

 

 

4,9 Drive Auto Receivables Trust 2015-AA 4.120% 7/15/22 5,860 5,977
4,9 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 9,166 9,201
4,9 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 10,490 10,722
4,9 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 12,327 12,384
4,9 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 15,845 16,277
4,9 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 21,043 21,224
4,9 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 25,000 25,758
4,9 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 7,780 7,893
4,9 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 6,693 6,706
4,9 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 15,770 15,938
4,9 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 22,190 22,945
4,9 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 19,218 19,224
4,9 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 20,820 20,880
4,9 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 23,090 23,796
4 Drive Auto Receivables Trust 2017-1 1.860% 3/16/20 12,160 12,164
4 Drive Auto Receivables Trust 2017-1 3.840% 3/15/23 2,400 2,426
4 Drive Auto Receivables Trust 2017-3 1.650% 8/15/19 23,900 23,900
4 Drive Auto Receivables Trust 2017-3 1.850% 4/15/20 6,850 6,850
4 Drive Auto Receivables Trust 2017-3 2.300% 5/17/21 20,350 20,352
4 Drive Auto Receivables Trust 2017-3 2.800% 7/15/22 25,870 25,943
4,7,9Edsouth Indenture No 9 LLC 2015-1 2.038% 10/25/56 20,927 20,978
4,9 Enterprise Fleet Financing LLC Series 2015-1 1.740% 9/20/20 11,850 11,853
4,9 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 24,390 24,392
4,9 Enterprise Fleet Financing LLC Series 2016-2 2.040% 2/22/22 9,650 9,575
4,9 Enterprise Fleet Financing LLC Series 2017-3 2.360% 5/20/23 11,710 11,707
4,7,9Evergreen Credit Card Trust Series 2016-3 1.739% 11/16/20 27,030 27,131
4,7,9Evergreen Credit Card Trust Series 2017-1 1.499% 10/15/21 50,870 50,908
4,5,7Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.938% 4/25/28 170 170
4,5,7Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.688% 1/25/29 5,839 5,889
4,5,7Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.588% 1/25/29 2,806 2,821
4,5 Fannie Mae Grantor Trust 2017-T1 2.898% 6/25/27 19,256 19,063
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K054 2.745% 1/25/26 15,880 15,836
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K056 2.525% 5/25/26 6,470 6,334
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K057 2.570% 7/25/26 5,760 5,650
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K061 3.347% 11/25/26 28,420 29,478
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K062 3.413% 12/25/26 26,950 28,095
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K068 3.244% 8/25/27 10,870 11,173
4,10 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 3.049% 11/25/36 6,983 6,094
10 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 3.060% 1/25/37 13,096 11,642
4,7 First National Master Note Trust 2017-2 1.677% 10/16/23 17,910 17,923
4,9 Flagship Credit Auto Trust 2016-4 1.960% 2/16/21 16,140 16,087
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 16,270 16,288
4 Ford Credit Auto Lease Trust 2017-B 2.030% 12/15/20 29,900 29,902
4 Ford Credit Auto Lease Trust 2017-B 2.170% 2/15/21 15,130 15,137
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 12,800 12,801
4,9 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 20,498 20,616

 

 

4,9 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 9,831 9,873
4,9 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 29,520 29,730
4,9 Ford Credit Auto Owner Trust 2014-REV2 2.510% 4/15/26 7,475 7,514
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 12,035 12,026
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 5,380 5,394
4,9 Ford Credit Auto Owner Trust 2015-REV2 2.440% 1/15/27 61,000 61,489
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 7,040 6,971
4,9 Ford Credit Auto Owner Trust 2016-REV1 2.310% 8/15/27 20,800 20,858
4,9 Ford Credit Auto Owner Trust 2016-REV2 2.030% 12/15/27 74,340 73,570
4,9 Ford Credit Auto Owner Trust 2017-1 2.620% 8/15/28 21,295 21,494
4,9 Ford Credit Auto Owner Trust 2017-2 2.360% 3/15/29 38,380 38,186
4,9 Ford Credit Auto Owner Trust 2017-2 2.600% 3/15/29 6,826 6,762
4,9 Ford Credit Auto Owner Trust 2017-2 2.750% 3/15/29 13,976 13,828
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 6,180 6,188
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 6,630 6,634
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 2,650 2,650
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 4,473 4,483
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 23,545 23,733
4,7 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.769% 7/15/20 48,100 48,215
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2017-2 2.160% 9/15/22 60,820 60,889
4,5,7Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.488% 10/25/28 439 440
4,5,7Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.438% 10/25/28 2,570 2,607
4,5,7Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.338% 12/25/28 2,327 2,332
4,5,7Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 3.238% 12/25/28 6,490 6,618
4,9 FRS I LLC 2013-1A 1.800% 4/15/43 1,812 1,806
4,9 FRS I LLC 2013-1A 3.080% 4/15/43 27,964 27,874
4 GM Financial Automobile Leasing Trust 2015-        
  1 1.730% 6/20/19 6,350 6,352
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.420% 7/22/19 6,120 6,125
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.990% 7/22/19 5,440 5,457
4 GM Financial Automobile Leasing Trust 2015-        
  3 1.690% 3/20/19 17,049 17,049
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.320% 11/20/19 3,550 3,560
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.980% 11/20/19 7,820 7,877
4 GM Financial Automobile Leasing Trust 2015-        
  3 3.480% 8/20/20 7,820 7,896
4 GM Financial Automobile Leasing Trust 2016-        
  2 2.580% 3/20/20 6,500 6,478
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.010% 11/20/20 21,480 21,448
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.120% 9/20/21 4,660 4,652

 

 

4 GM Financial Automobile Leasing Trust 2017-        
  3 2.400% 9/20/21 8,440 8,412
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.730% 9/20/21 5,140 5,110
4,9 GM Financial Consumer Automobile 2017-3 2.130% 3/16/23 8,590 8,577
4,9 GM Financial Consumer Automobile 2017-3 2.330% 3/16/23 2,650 2,644
4,10 GMACM Mortgage Loan Trust 2005-AR6 3.669% 11/19/35 2,660 2,508
4,9 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 58,850 58,848
4,9 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 9,360 9,357
4,7,9GMF Floorplan Owner Revolving Trust 2016-1 2.089% 5/17/21 40,750 41,107
4,9 GMF Floorplan Owner Revolving Trust 2016-1 2.410% 5/17/21 12,009 12,001
4,9 GMF Floorplan Owner Revolving Trust 2016-1 2.850% 5/17/21 8,830 8,743
4,7,9GMF Floorplan Owner Revolving Trust 2017-1 1.809% 1/18/22 330 332
4,9 GMF Floorplan Owner Revolving Trust 2017-2 2.130% 7/15/22 54,900 54,633
4,9 GMF Floorplan Owner Revolving Trust 2017-2 2.440% 7/15/22 17,100 17,019
4,9 GMF Floorplan Owner Revolving Trust 2017-2 2.630% 7/15/22 9,380 9,333
4,7,9Golden Credit Card Trust 2015-1A 1.679% 2/15/20 59,900 59,956
4,9 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 53,490 53,434
4,9 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 76,602 75,910
4,9 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 20,500 21,108
4,9 GreatAmerica Leasing Receivables Funding        
  LLC Series 2015-1 2.020% 6/21/21 4,920 4,886
4,9 GS Mortgage Securities Corporation II 2012-        
  BWTR 2.954% 11/5/34 36,047 36,118
4 GS Mortgage Securities Corporation II 2015-        
  GC30 3.382% 5/10/50 24,410 25,139
4,9 GS Mortgage Securities Corporation Trust        
  2012-ALOHA 3.551% 4/10/34 32,716 34,014
4,9 GS Mortgage Securities Trust 2010-C2 5.183% 12/10/43 3,530 3,761
4,9 GS Mortgage Securities Trust 2011-GC3 5.632% 3/10/44 2,280 2,455
4,9 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,084
4 GS Mortgage Securities Trust 2012-GCJ7 5.702% 5/10/45 7,150 7,653
4 GS Mortgage Securities Trust 2013-GC13 4.033% 7/10/46 22,934 24,749
4,9 GS Mortgage Securities Trust 2013-GC13 4.066% 7/10/46 5,650 5,679
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 13,060 13,307
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 8,250 8,344
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 20,890 20,980
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 8,192 8,560
4 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 22,020 23,302
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 49,405 53,194
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 41,343 44,106
4 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 1,410 1,459
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 44,760 47,535
4 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 13,246 13,810
4 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 10,665 11,188
4 GS Mortgage Securities Trust 2014-GC24 4.529% 9/10/47 17,556 17,798
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 27,150 28,430
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 39,290 39,741
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 40,515 41,732
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 14,551 15,355
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 22,432 23,201
4 GS Mortgage Securities Trust 2015-GC34 4.654% 10/10/48 12,080 12,321
9 GTP Acquisition Partners I LLC 3.482% 6/16/25 26,340 26,157
4,9 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 6,785 6,732
4,9 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 60,810 60,745
4,9 Hertz Vehicle Financing LLC 2016-2A 2.950% 3/25/22 9,920 9,922
4,9 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 5,330 5,314

 

 

4,9 Hertz Vehicle Financing LLC 2016-4A 2.650% 7/25/22 6,800 6,709
4,9 Hertz Vehicle Financing LLC 2017-2A 3.290% 10/25/23 9,570 9,580
4,9 Hertz Vehicle Financing LLC 2017-2A 4.200% 10/25/23 18,190 18,251
4,9 Hilton USA Trust 2016-HHV 3.719% 11/5/38 3,950 4,070
4,9 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 30,910 30,683
4,9 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 14,750 15,062
4,9 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 21,250 21,255
4,9 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 16,395 16,406
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 6,500 6,508
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 5,470 5,483
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 8,350 8,358
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 5,710 5,727
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 10,050 10,080
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 3,510 3,524
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 8,360 8,379
12 Illinois Student Assistance Commission Series        
  2010-1 2.364% 4/25/22 3,833 3,846
4,7,9Invitation Homes 2014-SFR2 Trust 2.337% 9/17/31 11,129 11,129
4,7,9Invitation Homes 2014-SFR2 Trust 2.837% 9/17/31 8,980 8,980
4,7,9Invitation Homes 2015-SFR2 Trust 2.587% 6/17/32 7,315 7,338
4,7,9Invitation Homes 2015-SFR2 Trust 2.887% 6/17/32 2,850 2,858
4,7,9Invitation Homes 2015-SFR3 Trust 2.987% 8/17/32 3,200 3,204
4,9 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 14,791 15,122
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 335 336
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2009-IWST 5.633% 12/5/27 6,185 6,517
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 1,337 1,393
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 368 373
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 3,311 3,455
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.662% 11/15/43 7,100 7,464
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.662% 11/15/43 6,225 6,580
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 7,952 8,017
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 27,191 28,865
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 2,930 3,103
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.408% 8/15/46 4,100 4,465
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-RR1 4.717% 3/16/46 2,778 2,938
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 16,114 16,739
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 12,562 12,671
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 4,030 4,099
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 27,000 28,435

 

 

4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 5,818 5,959
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 40,130 40,728
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 15,150 16,182
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 4.052% 1/15/46 9,350 9,588
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 9,630 10,007
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 2,330 2,455
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 14,880 15,963
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.517% 12/15/46 14,600 15,635
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.910% 12/15/46 21,150 22,726
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.975% 12/15/46 9,770 10,280
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 28,354 28,858
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2016-JP4 3.648% 12/15/49 14,370 15,075
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2017-JP6 3.490% 7/15/50 12,517 12,884
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 17,866 18,770
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.030% 7/15/45 7,520 7,891
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 17,400 18,112
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 13,870 14,913
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 5,549 5,597
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 4,050 4,206
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.131% 11/15/45 27,200 29,277
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 17,820 19,044
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.081% 11/15/45 13,495 14,310
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 22,860 24,676
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 36,630 39,325
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 12,950 13,785
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.814% 2/15/47 13,200 14,022
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.814% 2/15/47 5,850 6,079
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 10,310 10,814

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.231% 1/15/48 29,560 29,898
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 48,480 50,367
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C27 3.179% 2/15/48 16,945 17,254
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.551% 7/15/48 23,680 24,404
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.822% 7/15/48 47,490 50,312
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 7/15/48 15,901 16,830
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 18,680 19,742
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 12,061 12,597
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 22,187 23,303
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP5 3.723% 3/15/50 33,410 35,094
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP7 3.454% 9/15/50 20,090 20,751
4 JPMDB Commercial Mortgage Securities        
  Trust 2017-C7 3.409% 10/15/50 10,453 10,677
4,9 LCCM 2014-909 Mortgage Trust 3.388% 5/15/31 18,640 19,101
4,9 Madison Avenue Trust 2013-650M 3.843% 10/12/32 12,460 12,928
4 MASTR Adjustable Rate Mortgages Trust        
  2004-3 3.252% 4/25/34 674 678
4,7 MBNA Credit Card Master Note Trust 2004-        
  A3 1.499% 8/16/21 30,595 30,679
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 2.953% 2/25/33 1,210 1,196
4 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 3.573% 7/25/33 508 515
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 941 945
4,9 Miramax LLC 2014-1A 3.340% 7/20/26 2,403 2,416
4,9 MMAF Equipment Finance LLC 2011-AA 3.040% 8/15/28 1,680 1,681
4,9 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 9,743 9,757
4,9 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 33,860 33,919
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 21,548 22,064
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 2,000 2,088
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 5,796 5,851
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.082% 7/15/46 3,372 3,369
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.082% 7/15/46 28,493 30,525
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 6,871 6,925
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 8,445 8,923
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.169% 8/15/46 45,116 48,002
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 8,080 8,409

 

 

4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 4.259% 10/15/46 3,830 4,127
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 8,300 8,831
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 2.918% 2/15/46 6,400 6,470
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 3.214% 2/15/46 2,940 2,993
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C9 3.102% 5/15/46 27,425 27,914
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 16,600 17,651
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 17,500 18,537
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 3.773% 4/15/47 43,080 45,210
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 22,440 23,875
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.892% 4/15/47 1,895 1,980
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 38,845 40,939
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 9,540 10,011
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.322% 6/15/47 22,920 23,910
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.755% 6/15/47 12,300 12,611
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 3.741% 8/15/47 32,178 33,979
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 4.011% 8/15/47 7,460 7,723
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C18 3.923% 10/15/47 13,400 14,142
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.526% 12/15/47 23,220 23,976
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.249% 2/15/48 45,626 46,372
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.451% 7/15/50 4,230 4,337
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 11,828 12,371
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.479% 5/15/48 20,280 20,898
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.732% 5/15/48 2,312 2,425
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 7,814 8,104
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C29 4.752% 5/15/49 2,210 2,306
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C32 3.720% 12/15/49 28,827 30,128
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2017-C34 3.536% 11/15/52 19,660 20,424
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 16,052 16,489
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,500 2,569
4,9 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,287 17,323

 

 

4,9 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 27,955 29,369
4,9 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 24,440 25,154
4,9 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 28,871 29,892
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 30,004 31,664
4 Morgan Stanley Capital I Trust 2015-UBS8 4.589% 12/15/48 11,440 11,609
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 7,437 7,238
4 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 3.158% 6/25/36 6,614 6,598
4,7,9Motor plc 2017 1A 1.768% 9/25/24 45,520 45,949
4,9 MSBAM Commercial Mortgage Securities        
  Trust 2012-CKSV 3.277% 10/15/30 37,985 37,825
9 National Australia Bank Ltd. 2.250% 3/16/21 2,360 2,356
4,7 Navient Student Loan Trust 2015-3 1.888% 6/26/56 23,540 23,604
4,7,9Navient Student Loan Trust 2016-3 2.088% 6/25/65 7,990 8,080
4,7,9Navient Student Loan Trust 2016-6A 1.988% 3/25/66 30,520 30,857
4,7,9Navient Student Loan Trust 2017-4A 1.738% 9/27/66 11,080 11,115
4,7,9Navient Student Loan Trust 2017-A 1.640% 12/16/58 19,280 19,280
4,9 Navient Student Loan Trust 2017-A 2.880% 12/16/58 17,580 17,578
4,7,9Navistar Financial Dealer Note Master Trust II        
  2016-1A 2.588% 9/27/21 28,280 28,484
4,7 New Mexico Educational Assistance        
  Foundation 2013-1 1.935% 1/2/25 17,082 17,041
4,9 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 15,220 15,310
4 Nissan Auto Lease Trust 2017-B 2.050% 9/15/20 30,500 30,463
4 Nissan Auto Lease Trust 2017-B 2.170% 12/15/21 8,520 8,528
12 North Carolina State Education Assistance        
  Authority 2011-1 2.267% 1/26/26 2,332 2,332
4,9 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 10,065 10,612
4,9 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 8,360 8,362
4,7,9Pepper Residential Securities Trust 2017A-        
  A1UA 2.338% 3/10/58 24,233 24,236
4,7,9Pepper Residential Securities Trust 2018A-        
  A1UA 2.188% 3/12/47 3,785 3,782
4,7,9,11 Pepper Residential Securities Trust 2019A-        
  A1U1 0.000% 10/12/18 28,700 28,700
4,9 PFS Financing Corp 2017-B 2.220% 7/15/22 20,500 20,397
4,7,9PFS Financing Corp. 2015-AA 1.859% 4/15/20 10,150 10,163
4,7,9PFS Financing Corp. 2017-C 1.708% 10/15/21 32,830 32,830
4,9 PFS Financing Corp. 2017-D 2.400% 10/17/22 34,130 34,139
4,7,9PHEAA Student Loan Trust 2016-2A 2.188% 11/25/65 34,780 34,868
4,9 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 13,289 13,288
4,9 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 7,215 7,224
4,9 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 25,052 25,104
4,9 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 9,310 9,490
4,9,12 Resimac Premier Series 2014-1A 2.010% 12/12/45 8,606 8,608
4,7,9Resimac Premier Series 2016-1A 2.628% 10/10/47 54,828 54,969
4,10 RFMSI Series 2006-SA2 Trust 4.477% 8/25/36 15,299 13,128
4,10 RFMSI Series 2006-SA3 Trust 4.698% 9/25/36 4,954 4,445
  Royal Bank of Canada 2.200% 9/23/19 7,813 7,840
  Royal Bank of Canada 2.100% 10/14/20 2,287 2,280
4 Royal Bank of Canada 1.875% 2/5/21 8,785 8,738
  Royal Bank of Canada 2.300% 3/22/21 7,976 7,943
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 14,985 15,288

 

 

4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 17,387 17,411
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 24,580 24,810
4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 24,440 24,532
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 6,995 7,010
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 4,600 4,638
4 Santander Drive Auto Receivables Trust        
  2016-2 3.390% 4/15/22 4,120 4,185
4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 20,710 20,681
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 33,200 33,318
4 Santander Drive Auto Receivables Trust        
  2017-3 1.870% 6/15/21 11,550 11,523
4 Santander Drive Auto Receivables Trust        
  2017-3 2.760% 12/15/22 5,760 5,805
9 SBA Tower Trust 3.156% 10/8/20 10,760 10,874
4,9 Securitized Term Auto Receivables Trust        
  2016-1A 1.524% 3/25/20 13,860 13,789
4,9 Securitized Term Auto Receivables Trust        
  2016-1A 1.794% 2/25/21 12,930 12,809
4,9 Securitized Term Auto Receivables Trust        
  2017-2A 2.289% 3/25/22 10,240 10,240
4,9 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 5,709 5,793
4,9 SLM Private Education Loan Trust 2011-B 3.740% 2/15/29 34,753 35,330
4,9 SLM Private Education Loan Trust 2011-C 4.540% 10/17/44 12,552 12,920
4,9 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 3,855 3,880
4,7,9SLM Private Education Loan Trust 2013-A 2.289% 5/17/27 19,083 19,193
4,9 SLM Private Education Loan Trust 2013-A 2.500% 3/15/47 8,000 8,000
4,9 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 13,677 13,669
4,9 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 14,700 14,735
4,9 SLM Private Education Loan Trust 2013-C 3.500% 6/15/44 5,860 5,990
4,9 SLM Private Education Loan Trust 2014-A 2.590% 1/15/26 3,814 3,832
4,9 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 4,100 4,186
4,12 SLM Student Loan Trust 2005-5 1.467% 4/25/25 7,725 7,719
4 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 4,780 4,713
4,9 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 14,040 14,026
4,7,9SMB Private Education Loan Trust 2016-B 2.689% 2/17/32 12,690 13,002
4,7,9SMB Private Education Loan Trust 2016-C 2.339% 9/15/34 12,920 13,153
4,7,9SMB Private Education Loan Trust 2017-A 2.139% 9/15/34 15,573 15,708
4,9 SMB Private Education Loan Trust 2017-B 2.820% 10/15/35 19,780 19,777
4,9 SoFi Professional Loan Program 2016-B LLC 2.740% 10/25/32 9,990 10,006
4,9 SoFi Professional Loan Program 2016-C LLC 2.360% 12/27/32 6,120 6,084
4,9 SoFi Professional Loan Program 2016-D LLC 2.340% 4/25/33 6,405 6,337
4,7,9SoFi Professional Loan Program 2016-D LLC 2.188% 1/25/39 5,710 5,765
4,9 SoFi Professional Loan Program 2017-A LLC 2.400% 3/26/40 2,112 2,091
4,9 SoFi Professional Loan Program 2017-B LLC 2.740% 5/25/40 14,150 14,189
4,7,9SoFi Professional Loan Program 2017-C LLC 1.838% 7/25/40 3,500 3,496
4,9 SoFi Professional Loan Program 2017-D LLC 2.650% 9/25/40 7,540 7,536
4,9 SoFi Professional Loan Program 2017-E LLC 1.860% 11/26/40 42,320 42,234
4,9 SoFi Professional Loan Program 2017-E LLC 2.720% 11/26/40 9,940 9,942
9 Stadshypotek AB 1.750% 4/9/20 15,923 15,777

 

 

4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 8,025 8,096
4 Synchrony Credit Card Master Note Trust        
  2015-4 2.380% 9/15/23 34,390 34,673
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 48,153 48,280
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 16,935 16,828
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 29,333 29,109
4 Synchrony Credit Card Master Note Trust        
  2017-2 2.620% 10/15/25 31,940 32,095
4 Synchrony Credit Card Master Note Trust        
  2017-2 2.820% 10/15/25 9,688 9,722
4 Synchrony Credit Card Master Note Trust        
  2017-2 3.010% 10/15/25 13,000 13,041
4 Synchrony Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 72,000 72,348
4,9 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 8,468 8,765
4,9 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 13,582 14,392
4,9 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 401 401
4,9 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 24,260 25,049
9 Toronto-Dominion Bank 2.250% 3/15/21 2,210 2,212
4,9 Trafigura Securitisation Finance plc 2017-1A 2.470% 12/15/20 47,250 47,070
4,7,9Trillium Credit Card Trust II 2016-1A 1.960% 5/26/21 125,220 125,634
4,9 Trip Rail Master Funding LLC 2017-1A 2.709% 8/15/47 4,240 4,242
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,250 1,313
4,9 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 25,038 25,356
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 9,054 9,113
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.244% 4/10/46 7,560 7,778
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.469% 4/10/46 2,304 2,360
4,9 Verizon Owner Trust 2017-2A 1.920% 12/20/21 40,800 40,750
4,9 Verizon Owner Trust 2017-3 2.060% 4/20/22 30,000 30,004
4,9 Verizon Owner Trust 2017-3 2.380% 4/20/22 17,380 17,385
4,9 Verizon Owner Trust 2017-3 2.530% 4/20/22 18,650 18,610
4,9 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 13,561 13,773
4,9 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 11,130 11,578
4,9 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 3,270 3,376
4,9 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 2,450 2,519
4,9 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 9,160 9,166
4,9 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 9,220 9,188
4 WaMu Mortgage Pass-Through Certificates        
  Series 2002-AR18 Trust 3.060% 1/25/33 126 124
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR7 Trust 3.126% 8/25/33 779 788
4 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR9 Trust 3.302% 9/25/33 1,102 1,128
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 29,945 30,373
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 1,650 1,684

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 8,075 8,463
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 35,262 37,926
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.294% 7/15/46 4,906 5,214
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 43,100 45,667
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 7,100 7,467
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 12,250 12,865
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 6,830 7,007
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.405% 12/15/47 3,285 3,369
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 26,570 26,808
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.190% 2/15/48 36,515 36,811
4 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 32,460 33,623
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 54,193 56,755
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.225% 6/15/48 12,420 12,496
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 22,214 22,935
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 20,610 21,629
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 17,222 18,139
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.497% 9/15/58 11,490 11,767
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 18,856 20,006
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 8,550 9,085
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.541% 9/15/58 14,300 14,332
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 9/15/48 32,455 34,215
4 Wells Fargo Commercial Mortgage Trust        
  2016-C32 3.560% 1/15/59 21,780 22,681
4 Wells Fargo Commercial Mortgage Trust        
  2016-C37 3.794% 12/15/49 11,500 12,187
4 Wells Fargo Commercial Mortgage Trust        
  2017-C38 3.453% 7/15/50 31,360 32,389
4 Wells Fargo Commercial Mortgage Trust        
  2017-C39 3.418% 9/15/50 31,290 32,226
4 Wells Fargo Commercial Mortgage Trust        
  2017-C40 3.581% 10/15/50 45,250 47,103
4 Wells Fargo Commercial Mortgage Trust        
  2017-RC1 3.631% 1/15/60 17,250 17,980
4,7 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2015-2 1.889% 1/20/22 17,030 17,132

 

 

4,10 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 3.624% 10/25/36 10,464 9,910
4,9 Wendys Funding LLC 2015-1A 3.371% 6/15/45 1,201 1,208
4,9 Wendys Funding LLC 2015-1A 4.080% 6/15/45 16,003 16,300
4,9 Wendys Funding LLC 2015-1A 4.497% 6/15/45 6,360 6,494
9 Westpac Banking Corp. 2.000% 3/3/20 30,961 30,871
9 Westpac Banking Corp. 2.250% 11/9/20 23,930 23,882
9 Westpac Banking Corp. 2.100% 2/25/21 2,395 2,376
4,9 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 35,485 36,848
4,9 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 11,719 12,355
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 10,955 11,085
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 11,800 12,219
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 5,056 5,270
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 4,491 4,587
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 24,482 24,791
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,860 2,907
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,230 2,249
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 22,490 23,391
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 14,980 16,054
4 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 14,650 15,908
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 3,500 3,625
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 4.023% 12/15/46 9,770 10,455
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 6,710 7,002
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 27,830 29,902
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.660% 12/15/46 5,775 6,238
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 3.829% 3/15/47 4,115 4,311
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 23,553 25,270
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 40,481 43,252
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.378% 5/15/47 11,110 11,500
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 4,500 4,541
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.410% 8/15/47 1,665 1,706
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 45,230 47,300
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 7,130 7,284
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 12,290 12,203
4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 10,655 11,352
4 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 24,615 25,664

 

 

4 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.766% 3/15/47 2,690 2,821
4 WFRBS Commercial Mortgage Trust 2014-        
LC14 4.045% 3/15/47 46,983 50,299
4 World Omni Auto Receivables Trust 2016-B 1.300% 2/15/22 18,425 18,270
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $11,502,420)   11,603,030
Corporate Bonds (53.5%)        
Finance (26.8%)        
Banking (22.9%)        
9 ABN AMRO Bank NV 1.800% 6/4/18 28,325 28,341
9 ABN AMRO Bank NV 2.500% 10/30/18 15,915 16,018
American Express Co. 7.000% 3/19/18 19,387 19,787
American Express Co. 2.200% 10/30/20 173,250 172,909
American Express Credit Corp. 1.875% 11/5/18 36,146 36,170
American Express Credit Corp. 2.125% 3/18/19 17,349 17,410
American Express Credit Corp. 1.875% 5/3/19 51,135 51,083
American Express Credit Corp. 2.250% 8/15/19 24,247 24,381
American Express Credit Corp. 1.700% 10/30/19 13,020 12,958
American Express Credit Corp. 2.200% 3/3/20 58,315 58,449
American Express Credit Corp. 2.375% 5/26/20 34,000 34,217
American Express Credit Corp. 2.250% 5/5/21 24,988 24,974
American Express Credit Corp. 2.700% 3/3/22 7,470 7,544
9 ANZ New Zealand International Ltd. 2.200% 7/17/20 29,275 29,268
Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 31,968 31,996
9 Australia & New Zealand Banking Group Ltd. 4.400% 5/19/26 5,000 5,214
Bank of America Corp. 2.000% 1/11/18 36,484 36,511
Bank of America Corp. 6.875% 4/25/18 47,676 48,832
Bank of America Corp. 5.650% 5/1/18 15,500 15,798
Bank of America Corp. 1.950% 5/12/18 29,300 29,332
Bank of America Corp. 2.600% 1/15/19 119,239 120,007
Bank of America Corp. 2.625% 10/19/20 43,700 44,057
Bank of America Corp. 2.151% 11/9/20 4,515 4,490
Bank of America Corp. 2.625% 4/19/21 37,900 38,087
4 Bank of America Corp. 2.369% 7/21/21 170,765 170,630
4 Bank of America Corp. 2.328% 10/1/21 146,370 145,874
4 Bank of America Corp. 3.124% 1/20/23 59,760 60,676
4 Bank of America Corp. 2.881% 4/24/23 29,055 29,146
Bank of America NA 1.750% 6/5/18 53,480 53,504
Bank of New York Mellon Corp. 2.100% 1/15/19 3,460 3,473
Bank of New York Mellon Corp. 2.200% 5/15/19 43,940 44,094
Bank of New York Mellon Corp. 2.300% 9/11/19 29,290 29,502
Bank of New York Mellon Corp. 2.150% 2/24/20 21,000 21,076
Bank of New York Mellon Corp. 2.600% 8/17/20 19,120 19,371
Bank of New York Mellon Corp. 2.450% 11/27/20 10,236 10,313
Bank of Nova Scotia 2.050% 6/5/19 10,850 10,880
Bank of Nova Scotia 1.650% 6/14/19 25,515 25,416
Bank of Nova Scotia 2.150% 7/14/20 48,795 48,886
Bank of Nova Scotia 2.700% 3/7/22 29,290 29,497
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 4,283 4,284
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.150% 9/14/18 32,373 32,413
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/10/19 11,750 11,776
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 57,228 57,203
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 79,000 79,917
9 Banque Federative du Credit Mutuel SA 2.000% 4/12/19 16,290 16,284
9 Banque Federative du Credit Mutuel SA 2.200% 7/20/20 66,200 66,080
9 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 48,170 48,677
9 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 25,495 25,523

 

 

9 Banque Federative du Credit Mutuel SA 2.700% 7/20/22 34,855 34,890
  BB&T Corp. 2.050% 6/19/18 18,058 18,098
  BB&T Corp. 2.450% 1/15/20 46,684 47,129
  Bear Stearns Cos. LLC 7.250% 2/1/18 21,551 21,845
  BNP Paribas SA 2.700% 8/20/18 79,778 80,364
  BNP Paribas SA 2.400% 12/12/18 2,850 2,872
  BPCE SA 2.500% 12/10/18 37,265 37,486
  BPCE SA 2.500% 7/15/19 7,500 7,554
13,1 BPCE SA        
  4 3.000% 4/24/20 19,310 14,930
13 BPCE SA 3.500% 4/24/20 21,350 16,613
  Branch Banking & Trust Co. 2.100% 1/15/20 21,000 21,063
  Branch Banking & Trust Co. 2.625% 1/15/22 55,389 55,949
9 Caisse Centrale Desjardins 1.750% 1/29/18 68,370 68,425
  Canadian Imperial Bank of Commerce 2.550% 6/16/22 35,785 35,805
  Capital One Bank USA NA 2.150% 11/21/18 11,650 11,670
  Capital One Bank USA NA 2.250% 2/13/19 24,420 24,471
  Capital One Bank USA NA 2.300% 6/5/19 22,420 22,432
  Capital One Financial Corp. 2.450% 4/24/19 25,525 25,660
  Capital One Financial Corp. 3.050% 3/9/22 26,645 27,023
  Capital One NA 1.650% 2/5/18 27,200 27,193
  Capital One NA 1.500% 3/22/18 60,395 60,324
  Citibank NA 2.100% 6/12/20 64,165 64,053
  Citibank NA 2.125% 10/20/20 216,530 215,642
  Citigroup Inc. 1.850% 11/24/17 60,550 60,562
  Citigroup Inc. 1.800% 2/5/18 36,140 36,138
  Citigroup Inc. 1.700% 4/27/18 83,010 82,980
  Citigroup Inc. 1.750% 5/1/18 54,775 54,763
  Citigroup Inc. 2.150% 7/30/18 7,400 7,415
  Citigroup Inc. 2.500% 9/26/18 55,110 55,406
  Citigroup Inc. 2.550% 4/8/19 29,097 29,304
  Citigroup Inc. 2.500% 7/29/19 21,060 21,202
  Citigroup Inc. 2.450% 1/10/20 25,170 25,310
  Citigroup Inc. 2.650% 10/26/20 68,589 69,221
  Citigroup Inc. 2.700% 3/30/21 13,175 13,280
  Citigroup Inc. 2.750% 4/25/22 63,390 63,534
4 Citigroup Inc. 2.876% 7/24/23 23,710 23,626
  Commonwealth Bank of Australia 2.500% 9/20/18 59,680 60,094
  Commonwealth Bank of Australia 1.750% 11/2/18 21,785 21,784
  Commonwealth Bank of Australia 2.250% 3/13/19 66,065 66,291
  Commonwealth Bank of Australia 2.300% 9/6/19 46,435 46,649
  Commonwealth Bank of Australia 2.300% 3/12/20 21,490 21,564
9 Commonwealth Bank of Australia 2.050% 9/18/20 71,235 70,921
  Commonwealth Bank of Australia 2.400% 11/2/20 35,635 35,791
9 Commonwealth Bank of Australia 2.000% 9/6/21 13,615 13,373
9 Commonwealth Bank of Australia 2.750% 3/10/22 92,430 93,314
9 Commonwealth Bank of Australia 2.500% 9/18/22 82,395 82,032
 
13,1 Commonwealth Bank of Australia        
  4 3.640% 11/5/24 44,100 34,365
9 Commonwealth Bank of Australia 4.500% 12/9/25 4,520 4,740
 
13,1 Commonwealth Bank of Australia        
  4 4.385% 6/3/26 14,000 11,179
  Compass Bank 2.875% 6/29/22 63,420 62,951
  Cooperatieve Rabobank UA 2.250% 1/14/19 68,805 69,135
  Cooperatieve Rabobank UA 2.250% 1/14/20 80,199 80,561
  Cooperatieve Rabobank UA 4.625% 12/1/23 7,800 8,438

 

 

13,1 Cooperatieve Rabobank UA        
  4 4.205% 7/2/25 17,100 13,428
13 Cooperatieve Rabobank UA 5.000% 7/2/25 10,800 8,547
  Credit Suisse AG 1.700% 4/27/18 58,595 58,617
  Credit Suisse AG 2.300% 5/28/19 40,490 40,699
4,9 Credit Suisse Group AG 2.997% 12/14/23 20,000 19,916
9 Credit Suisse Group AG 4.282% 1/9/28 12,135 12,638
  Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 4,905 4,955
  Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 23,415 23,843
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22 22,360 23,188
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 26,350 27,342
9 Danske Bank A/S 2.750% 9/17/20 23,273 23,535
  Deutsche Bank AG 1.875% 2/13/18 26,405 26,408
  Deutsche Bank AG 2.500% 2/13/19 7,225 7,259
  Deutsche Bank AG 2.700% 7/13/20 131,830 132,243
  Discover Bank 2.600% 11/13/18 24,412 24,548
9 DNB Bank ASA 2.125% 10/2/20 71,230 71,103
9 Federation des Caisses Desjardins du        
  Quebec 2.250% 10/30/20 86,625 86,729
  Fifth Third Bank 2.300% 3/15/19 26,956 27,104
  Fifth Third Bank 2.375% 4/25/19 25,627 25,789
  Fifth Third Bank 1.625% 9/27/19 42,565 42,273
  Fifth Third Bank 2.200% 10/30/20 50,250 50,209
  Fifth Third Bank 2.250% 6/14/21 28,181 28,117
  Fifth Third Bank 3.850% 3/15/26 2,210 2,280
  First Republic Bank 2.375% 6/17/19 47,605 47,663
  First Republic Bank 2.500% 6/6/22 86,865 86,207
  Goldman Sachs Group Inc. 5.950% 1/18/18 108,310 109,295
  Goldman Sachs Group Inc. 2.375% 1/22/18 80,630 80,770
  Goldman Sachs Group Inc. 6.150% 4/1/18 31,713 32,285
  Goldman Sachs Group Inc. 2.900% 7/19/18 81,521 82,133
  Goldman Sachs Group Inc. 2.625% 1/31/19 68,810 69,328
  Goldman Sachs Group Inc. 1.950% 7/23/19 68,305 68,116
13 Goldman Sachs Group Inc. 5.000% 8/21/19 20,270 16,182
  Goldman Sachs Group Inc. 2.550% 10/23/19 27,660 27,871
  Goldman Sachs Group Inc. 2.300% 12/13/19 123,150 123,457
  Goldman Sachs Group Inc. 5.375% 3/15/20 20,957 22,410
  Goldman Sachs Group Inc. 2.750% 9/15/20 73,455 74,227
  Goldman Sachs Group Inc. 2.600% 12/27/20 245,978 247,100
  Goldman Sachs Group Inc. 2.875% 2/25/21 114,856 116,341
  Goldman Sachs Group Inc. 2.625% 4/25/21 77,334 77,533
  Goldman Sachs Group Inc. 2.350% 11/15/21 900 889
  Goldman Sachs Group Inc. 5.750% 1/24/22 37,173 41,537
  Goldman Sachs Group Inc. 3.000% 4/26/22 93,455 94,207
4 Goldman Sachs Group Inc. 2.876% 10/31/22 90,995 91,096
4 Goldman Sachs Group Inc. 2.908% 6/5/23 123,680 123,478
4 Goldman Sachs Group Inc. 3.272% 9/29/25 60,495 60,294
9 HSBC Bank plc 1.500% 5/15/18 17,965 17,957
  HSBC Holdings plc 3.400% 3/8/21 37,705 38,915
  HSBC Holdings plc 2.950% 5/25/21 77,495 78,818
  HSBC Holdings plc 2.650% 1/5/22 67,265 67,352
4 HSBC Holdings plc 3.262% 3/13/23 205,915 209,706
  HSBC Holdings plc 3.600% 5/25/23 17,515 18,226
4 HSBC Holdings plc 6.000% 11/22/65 10,760 11,395
  HSBC USA Inc. 1.625% 1/16/18 56,555 56,559
  HSBC USA Inc. 2.375% 11/13/19 48,435 48,733
  HSBC USA Inc. 2.350% 3/5/20 56,284 56,554

 

 

  HSBC USA Inc. 2.750% 8/7/20 45,430 46,110
  Huntington Bancshares Inc. 2.600% 8/2/18 34,190 34,372
  Huntington National Bank 2.000% 6/30/18 53,720 53,841
  Huntington National Bank 2.200% 11/6/18 21,120 21,176
  Huntington National Bank 2.375% 3/10/20 54,920 55,141
  Huntington National Bank 2.875% 8/20/20 33,581 34,141
  Huntington National Bank 2.500% 8/7/22 55,115 54,708
  ICICI Bank Ltd. 4.000% 3/18/26 10,895 11,185
9 ING Bank NV 1.800% 3/16/18 8,204 8,209
9 ING Bank NV 2.500% 10/1/19 16,560 16,679
9 ING Bank NV 2.450% 3/16/20 24,430 24,571
9 ING Bank NV 2.700% 8/17/20 3,907 3,953
  ING Groep NV 3.150% 3/29/22 19,540 19,898
  Intesa Sanpaolo SPA 3.875% 1/16/18 26,174 26,282
9 Intesa Sanpaolo SPA 3.125% 7/14/22 54,890 55,004
  JPMorgan Chase & Co. 1.800% 1/25/18 19,720 19,730
  JPMorgan Chase & Co. 1.700% 3/1/18 93,263 93,264
  JPMorgan Chase & Co. 1.625% 5/15/18 3,685 3,684
  JPMorgan Chase & Co. 2.350% 1/28/19 65,537 65,901
  JPMorgan Chase & Co. 2.200% 10/22/19 13,806 13,858
  JPMorgan Chase & Co. 2.250% 1/23/20 82,433 82,845
  JPMorgan Chase & Co. 2.750% 6/23/20 118,678 120,510
  JPMorgan Chase & Co. 4.250% 10/15/20 25,589 27,052
  JPMorgan Chase & Co. 2.550% 10/29/20 141,889 143,048
  JPMorgan Chase & Co. 2.550% 3/1/21 24,825 24,990
  JPMorgan Chase & Co. 2.295% 8/15/21 49,630 49,414
  JPMorgan Chase & Co. 2.972% 1/15/23 78,267 79,274
4 JPMorgan Chase & Co. 2.776% 4/25/23 76,250 76,410
  JPMorgan Chase & Co. 2.700% 5/18/23 16,765 16,726
4 JPMorgan Chase & Co. 3.220% 3/1/25 43,425 43,814
4 JPMorgan Chase & Co. 3.782% 2/1/28 24,160 24,794
  KeyBank NA 1.650% 2/1/18 5,305 5,306
  KeyBank NA 2.350% 3/8/19 50,143 50,433
  KeyBank NA 2.500% 11/22/21 5,765 5,779
  Lloyds Banking Group plc 3.000% 1/11/22 16,255 16,449
4 Lloyds Banking Group plc 2.907% 11/7/23 78,040 78,006
9 Macquarie Bank Ltd. 2.400% 1/21/20 36,370 36,402
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 39,089 39,266
  Manufacturers & Traders Trust Co. 1.450% 3/7/18 34,010 33,993
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 38,480 38,638
  Manufacturers & Traders Trust Co. 2.050% 8/17/20 34,335 34,225
12 Manufacturers & Traders Trust Co. 1.956% 12/1/21 9,755 9,662
  Manufacturers & Traders Trust Co. 2.500% 5/18/22 18,790 18,825
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 51,515 52,306
  Mitsubishi UFJ Financial Group Inc. 2.665% 7/25/22 134,270 133,903
9 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 43,490 43,744
9 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 30,625 30,835
  Mizuho Financial Group Inc. 2.953% 2/28/22 34,195 34,522
  Morgan Stanley 5.950% 12/28/17 54,821 55,186
  Morgan Stanley 1.875% 1/5/18 62,508 62,544
  Morgan Stanley 6.625% 4/1/18 17,971 18,328
  Morgan Stanley 2.125% 4/25/18 14,001 14,022
  Morgan Stanley 2.500% 1/24/19 43,040 43,328
  Morgan Stanley 2.450% 2/1/19 36,506 36,691
  Morgan Stanley 2.375% 7/23/19 40,577 40,741
  Morgan Stanley 5.625% 9/23/19 7,458 7,930
  Morgan Stanley 5.500% 1/26/20 14,636 15,666

 

 

  Morgan Stanley 2.650% 1/27/20 55,713 56,185
  Morgan Stanley 2.800% 6/16/20 50,742 51,424
  Morgan Stanley 2.500% 4/21/21 46,934 46,971
  Morgan Stanley 2.625% 11/17/21 121,439 121,480
  Morgan Stanley 2.750% 5/19/22 79,850 79,829
12 Morgan Stanley 2.532% 5/8/24 31,700 32,144
  MUFG Americas Holdings Corp. 1.625% 2/9/18 14,400 14,402
  MUFG Americas Holdings Corp. 2.250% 2/10/20 29,300 29,339
  MUFG Union Bank NA 2.625% 9/26/18 39,640 39,900
  MUFG Union Bank NA 2.250% 5/6/19 24,420 24,498
  National Australia Bank Ltd. 2.300% 7/25/18 21,800 21,906
  National Australia Bank Ltd. 2.000% 1/14/19 21,829 21,851
  National Australia Bank Ltd. 1.375% 7/12/19 20,250 20,066
  National Australia Bank Ltd. 2.250% 1/10/20 34,555 34,629
  National Australia Bank Ltd. 1.875% 7/12/21 24,600 24,097
  National Australia Bank Ltd. 2.800% 1/10/22 4,275 4,326
  National Australia Bank Ltd. 2.500% 5/22/22 22,760 22,637
  National Bank of Canada 2.100% 12/14/18 26,935 27,005
  National Bank of Canada 2.150% 6/12/20 70,480 70,446
  National Bank of Canada 2.200% 11/2/20 151,645 151,433
  National City Corp. 6.875% 5/15/19 8,085 8,662
4,9 Nationwide Building Society 4.125% 10/18/32 19,520 19,524
9 Nordea Bank AB 1.625% 9/30/19 20,790 20,628
9 Nordea Bank AB 2.500% 9/17/20 12,568 12,655
4 Oversea-Chinese Banking Corp. Ltd. 4.000% 10/15/24 19,600 20,086
  PNC Bank NA 6.000% 12/7/17 4,885 4,906
  PNC Bank NA 6.875% 4/1/18 4,197 4,287
  PNC Bank NA 2.200% 1/28/19 48,707 48,927
  PNC Bank NA 2.250% 7/2/19 44,590 44,813
  PNC Bank NA 2.400% 10/18/19 71,148 71,744
  PNC Bank NA 2.300% 6/1/20 14,636 14,710
  PNC Bank NA 2.600% 7/21/20 43,010 43,461
  PNC Bank NA 2.450% 11/5/20 15,636 15,756
  PNC Bank NA 2.150% 4/29/21 14,236 14,138
  PNC Bank NA 2.550% 12/9/21 29,340 29,490
  PNC Bank NA 2.625% 2/17/22 100,485 101,200
  PNC Funding Corp. 5.125% 2/8/20 7,230 7,718
  Regions Bank 7.500% 5/15/18 7,579 7,803
  Regions Financial Corp. 2.750% 8/14/22 43,600 43,646
  Royal Bank of Canada 1.500% 1/16/18 3,900 3,900
  Royal Bank of Canada 2.000% 12/10/18 21,270 21,334
  Royal Bank of Canada 2.150% 3/15/19 30,550 30,676
  Royal Bank of Canada 1.500% 7/29/19 58,175 57,764
  Royal Bank of Canada 2.125% 3/2/20 147,285 148,142
  Royal Bank of Canada 2.150% 10/26/20 256,570 256,434
  Royal Bank of Canada 2.350% 10/30/20 7,170 7,212
4 Royal Bank of Scotland Group plc 3.498% 5/15/23 24,985 25,207
  Santander Holdings USA Inc. 2.700% 5/24/19 31,610 31,796
9 Santander Holdings USA Inc. 3.700% 3/28/22 60,955 62,281
  Santander UK plc 3.050% 8/23/18 45,920 46,351
  Santander UK plc 2.000% 8/24/18 16,087 16,103
  Santander UK plc 2.500% 3/14/19 65,240 65,709
  Santander UK plc 2.350% 9/10/19 64,539 64,920
9 Skandinaviska Enskilda Banken AB 1.750% 3/19/18 17,471 17,478
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 5,695 5,755
  Skandinaviska Enskilda Banken AB 1.875% 9/13/21 40,865 40,127
4 Skandinaviska Enskilda Banken AB 5.750% 12/31/49 14,725 15,384

 

 

  Sumitomo Mitsui Banking Corp. 2.092% 10/18/19 90,305 90,301
  Sumitomo Mitsui Banking Corp. 2.450% 1/16/20 29,295 29,478
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 7,380 7,497
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 5,585 5,493
  Sumitomo Mitsui Financial Group Inc. 2.784% 7/12/22 62,735 62,781
  Sumitomo Mitsui Financial Group Inc. 2.778% 10/18/22 35,530 35,549
  SunTrust Bank 2.250% 1/31/20 34,185 34,270
  SunTrust Bank 2.450% 8/1/22 55,075 54,766
  SunTrust Banks Inc. 2.900% 3/3/21 23,102 23,451
  Svenska Handelsbanken AB 2.500% 1/25/19 22,830 23,008
  Svenska Handelsbanken AB 1.500% 9/6/19 24,415 24,224
  Svenska Handelsbanken AB 1.950% 9/8/20 34,155 34,006
  Svenska Handelsbanken AB 2.450% 3/30/21 62,135 62,425
  Svenska Handelsbanken AB 1.875% 9/7/21 35,465 34,699
9 Swedbank AB 2.800% 3/14/22 53,955 54,538
  Synchrony Bank 3.000% 6/15/22 60,010 59,916
  Synchrony Financial 2.600% 1/15/19 16,640 16,728
  Synchrony Financial 3.000% 8/15/19 93,195 94,521
  Synchrony Financial 2.700% 2/3/20 39,200 39,465
  Synchrony Financial 4.250% 8/15/24 5,110 5,300
  Synchrony Financial 4.500% 7/23/25 8,555 8,971
  Toronto-Dominion Bank 2.125% 7/2/19 63,831 64,103
  Toronto-Dominion Bank 1.450% 8/13/19 20,000 19,835
  Toronto-Dominion Bank 1.900% 10/24/19 285,855 285,612
  Toronto-Dominion Bank 2.250% 11/5/19 41,410 41,642
  Toronto-Dominion Bank 1.850% 9/11/20 24,395 24,241
  Toronto-Dominion Bank 2.500% 12/14/20 22,500 22,703
  UBS AG 2.375% 8/14/19 11,718 11,792
9 UBS AG 2.200% 6/8/20 85,550 85,595
9 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 9,507 9,645
9 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 53,727 54,492
9 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 43,420 43,183
9 UBS Group Funding Switzerland AG 3.491% 5/23/23 19,190 19,682
4,9 UBS Group Funding Switzerland AG 2.859% 8/15/23 101,405 101,148
4 United Overseas Bank Ltd. 3.750% 9/19/24 11,360 11,581
  US Bank NA 2.125% 10/28/19 20,765 20,858
  US Bank NA 2.050% 10/23/20 146,365 146,245
  Wachovia Corp. 5.750% 2/1/18 53,681 54,230
11,15Washington Mutual Bank / Debt not acquired        
  by JPMorgan 6.875% 6/15/11 21,983 2
  Wells Fargo & Co. 2.600% 7/22/20 27,950 28,319
  Wells Fargo & Co. 2.100% 7/26/21 19,560 19,299
13 Wells Fargo & Co. 3.000% 7/27/21 19,650 15,040
  Wells Fargo & Co. 2.625% 7/22/22 116,070 115,552
  Wells Fargo Bank NA 6.000% 11/15/17 53,763 53,850
  Wells Fargo Bank NA 1.750% 5/24/19 73,058 72,897
  Wells Fargo Bank NA 2.150% 12/6/19 85,845 86,030
  Westpac Banking Corp. 2.250% 7/30/18 20,830 20,915
  Westpac Banking Corp. 1.950% 11/23/18 19,515 19,553
  Westpac Banking Corp. 2.250% 1/17/19 44,660 44,870
  Westpac Banking Corp. 1.600% 8/19/19 40,090 39,826
  Westpac Banking Corp. 4.875% 11/19/19 35,464 37,445
  Westpac Banking Corp. 2.300% 5/26/20 3,665 3,682
  Westpac Banking Corp. 2.600% 11/23/20 60,350 60,991
  Westpac Banking Corp. 2.100% 5/13/21 52,334 51,917
  Westpac Banking Corp. 2.000% 8/19/21 81,740 80,775
  Westpac Banking Corp. 2.500% 6/28/22 6,435 6,425

 

 

13,14Westpac Banking Corp. 3.770% 3/14/24 55,600 43,150
Westpac Banking Corp. 3.350% 3/8/27 15,340 15,552
4 Westpac Banking Corp. 4.322% 11/23/31 40,250 41,588
 
Brokerage (0.2%)        
Charles Schwab Corp. 1.500% 3/10/18 19,535 19,529
Jefferies Group LLC 5.125% 4/13/18 12,335 12,522
Legg Mason Inc. 2.700% 7/15/19 5,860 5,923
11,15Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 9,410 1
Nomura Holdings Inc. 2.750% 3/19/19 26,430 26,621
Stifel Financial Corp. 3.500% 12/1/20 24,945 25,435
Stifel Financial Corp. 4.250% 7/18/24 2,880 2,946
TD Ameritrade Holding Corp. 2.950% 4/1/22 17,515 17,791
 
Finance Companies (0.4%)        
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.750% 5/15/19 9,890 10,100
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 4.250% 7/1/20 6,835 7,151
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 4.625% 10/30/20 15,450 16,416
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 4.500% 5/15/21 56,035 59,537
Air Lease Corp. 3.375% 1/15/19 27,894 28,333
Air Lease Corp. 4.250% 9/15/24 3,325 3,531
GE Capital International Funding Co. 2.342% 11/15/20 116,444 117,034
International Lease Finance Corp. 3.875% 4/15/18 1,445 1,458
International Lease Finance Corp. 4.625% 4/15/21 9,845 10,460
9 SMBC Aviation Capital Finance DAC 2.650% 7/15/21 14,555 14,369
 
Insurance (2.2%)        
Aetna Inc. 1.700% 6/7/18 17,865 17,872
Aetna Inc. 2.800% 6/15/23 9,565 9,493
Aflac Inc. 3.625% 6/15/23 5,860 6,148
9 AIG Global Funding 2.150% 7/2/20 14,635 14,571
9 AIG Global Funding 2.700% 12/15/21 13,080 13,122
Alleghany Corp. 5.625% 9/15/20 8,890 9,642
Alterra Finance LLC 6.250% 9/30/20 9,765 10,712
American Financial Group Inc. 9.875% 6/15/19 31,750 35,489
American International Group Inc. 2.300% 7/16/19 5,036 5,058
American International Group Inc. 4.125% 2/15/24 6,155 6,546
American International Group Inc. 3.750% 7/10/25 8,264 8,541
Anthem Inc. 1.875% 1/15/18 19,336 19,351
Aon plc 4.750% 5/15/45 5,740 6,376
Aspen Insurance Holdings Ltd. 6.000% 12/15/20 25,904 28,260
Assurant Inc. 2.500% 3/15/18 29,300 29,384
AXIS Specialty Finance LLC 5.875% 6/1/20 1,508 1,636
AXIS Specialty Finance plc 2.650% 4/1/19 14,650 14,677
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 24,144 24,647
Berkshire Hathaway Finance Corp. 1.300% 8/15/19 36,720 36,421
Berkshire Hathaway Inc. 2.100% 8/14/19 4,875 4,893
Berkshire Hathaway Inc. 2.750% 3/15/23 57,493 58,249
9 Brighthouse Financial Inc. 3.700% 6/22/27 16,720 16,375
Chubb INA Holdings Inc. 2.300% 11/3/20 35,020 35,214
Chubb INA Holdings Inc. 2.875% 11/3/22 9,920 10,082
Chubb INA Holdings Inc. 2.700% 3/13/23 5,875 5,888
CNA Financial Corp. 3.450% 8/15/27 4,705 4,657

 

 

4,16 Delta Lloyd NV 4.375% 6/29/49 7,804 10,016
4,16 ELM BV for Swiss Reinsurance Co. Ltd. 2.600% 12/29/49 14,500 17,594
  Enstar Group Ltd. 4.500% 3/10/22 28,334 29,290
  Marsh & McLennan Cos. Inc. 2.550% 10/15/18 9,875 9,927
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 19,265 19,305
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 3,325 3,577
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 38,840 39,155
9 MassMutual Global Funding II 2.100% 8/2/18 12,735 12,780
9 MassMutual Global Funding II 1.950% 9/22/20 43,160 42,921
9 MassMutual Global Funding II 2.500% 4/13/22 5,590 5,560
9 MassMutual Global Funding II 2.500% 10/17/22 19,165 19,106
9 MassMutual Global Funding II 2.750% 6/22/24 51,700 51,210
  MetLife Inc. 1.756% 12/15/17 14,600 14,605
  MetLife Inc. 6.817% 8/15/18 13,300 13,823
  MetLife Inc. 7.717% 2/15/19 9,219 9,899
4 MetLife Inc. 5.250% 12/29/49 7,005 7,326
9 Metropolitan Life Global Funding I 1.500% 1/10/18 29,350 29,351
9 Metropolitan Life Global Funding I 2.300% 4/10/19 11,225 11,296
9 Metropolitan Life Global Funding I 1.550% 9/13/19 18,115 17,998
9 Metropolitan Life Global Funding I 1.950% 9/15/21 19,535 19,221
9 Metropolitan Life Global Funding I 3.000% 1/10/23 11,200 11,363
9 New York Life Global Funding 1.950% 2/11/20 17,975 17,900
9 New York Life Global Funding 1.950% 9/28/20 51,900 51,611
9 New York Life Global Funding 2.900% 1/17/24 9,918 9,991
9 Pricoa Global Funding I 2.550% 11/24/20 6,830 6,885
9 Pricoa Global Funding I 2.200% 6/3/21 9,790 9,761
9 Pricoa Global Funding I 2.450% 9/21/22 17,390 17,273
9 Principal Life Global Funding II 2.200% 4/8/20 28,665 28,693
  Prudential Financial Inc. 7.375% 6/15/19 10,442 11,338
  Prudential Financial Inc. 4.500% 11/15/20 1,423 1,515
  Prudential Financial Inc. 4.500% 11/16/21 10,789 11,606
4 Prudential Financial Inc. 5.375% 5/15/45 12,290 13,233
  Reinsurance Group of America Inc. 6.450% 11/15/19 21,183 22,929
  Reinsurance Group of America Inc. 3.950% 9/15/26 25,471 25,972
9 Reliance Standard Life Global Funding II 2.150% 10/15/18 27,320 27,409
9 Reliance Standard Life Global Funding II 2.500% 1/15/20 52,630 52,811
9 Reliance Standard Life Global Funding II 2.375% 5/4/20 17,860 17,919
9 Reliance Standard Life Global Funding II 3.050% 1/20/21 8,275 8,375
9 Sammons Financial Group Inc. 4.450% 5/12/27 9,625 9,906
9 Swiss Re Treasury US Corp. 2.875% 12/6/22 9,070 9,134
9 TIAA Asset Management Finance Co. LLC 2.950% 11/1/19 60,100 60,983
  Torchmark Corp. 9.250% 6/15/19 7,053 7,822
  Travelers Cos. Inc. 5.800% 5/15/18 2,273 2,324
  Travelers Cos. Inc. 5.900% 6/2/19 2,930 3,099
  Travelers Cos. Inc. 3.900% 11/1/20 4,300 4,486
  UnitedHealth Group Inc. 1.900% 7/16/18 20,510 20,559
  UnitedHealth Group Inc. 2.700% 7/15/20 14,640 14,870
  UnitedHealth Group Inc. 2.375% 10/15/22 53,670 53,492
4,16 XLIT Ltd. 3.250% 6/29/47 33,513 39,236
 
  Other Finance (0.0%)        
  ORIX Corp. 2.900% 7/18/22 29,275 29,291
 
  Real Estate Investment Trusts (1.1%)        
  Alexandria Real Estate Equities Inc. 2.750% 1/15/20 29,896 30,110
  Boston Properties LP 3.700% 11/15/18 4,900 4,975
  Boston Properties LP 5.875% 10/15/19 32,163 34,286

 

 

  Brandywine Operating Partnership LP 4.950% 4/15/18 21,275 21,529
  Brandywine Operating Partnership LP 3.950% 2/15/23 12,570 12,784
  Brandywine Operating Partnership LP 4.100% 10/1/24 7,205 7,266
  Brixmor Operating Partnership LP 3.650% 6/15/24 26,820 26,711
  Brixmor Operating Partnership LP 3.850% 2/1/25 5,895 5,908
  Brixmor Operating Partnership LP 4.125% 6/15/26 29,930 30,180
  Brixmor Operating Partnership LP 3.900% 3/15/27 19,510 19,355
  Camden Property Trust 4.875% 6/15/23 2,400 2,639
  Camden Property Trust 4.250% 1/15/24 5,900 6,215
  Camden Property Trust 3.500% 9/15/24 1,785 1,796
  CubeSmart LP 4.375% 12/15/23 9,620 10,156
  DDR Corp. 7.500% 7/15/18 2,500 2,585
  DDR Corp. 3.625% 2/1/25 2,761 2,691
  DDR Corp. 4.250% 2/1/26 15,690 15,841
  DDR Corp. 4.700% 6/1/27 10,725 11,138
  Digital Realty Trust LP 3.400% 10/1/20 22,047 22,698
  Digital Realty Trust LP 3.950% 7/1/22 34,798 36,610
  Duke Realty LP 3.250% 6/30/26 4,402 4,351
  ERP Operating LP 2.375% 7/1/19 4,875 4,912
  ERP Operating LP 4.750% 7/15/20 2,349 2,497
  Federal Realty Investment Trust 2.550% 1/15/21 9,351 9,382
9 Goodman Australia Industrial Fund 3.400% 9/30/26 17,000 16,642
13 GPT Wholesale Office Fund No. 1 4.000% 5/18/22 1,990 1,558
  HCP Inc. 2.625% 2/1/20 12,357 12,464
  HCP Inc. 4.250% 11/15/23 7,420 7,850
  HCP Inc. 4.200% 3/1/24 7,815 8,192
  HCP Inc. 3.400% 2/1/25 14,805 14,777
  HCP Inc. 4.000% 6/1/25 8,880 9,181
  Healthcare Trust of America Holdings LP 2.950% 7/1/22 14,635 14,724
  Healthcare Trust of America Holdings LP 3.700% 4/15/23 13,139 13,461
  Healthcare Trust of America Holdings LP 3.500% 8/1/26 9,850 9,711
  Kilroy Realty LP 4.800% 7/15/18 20,030 20,310
  Liberty Property LP 4.750% 10/1/20 10,940 11,549
  Liberty Property LP 3.750% 4/1/25 3,575 3,667
  Realty Income Corp. 2.000% 1/31/18 4,870 4,872
  Realty Income Corp. 5.750% 1/15/21 3,905 4,256
  Realty Income Corp. 4.125% 10/15/26 19,045 19,816
9 Scentre Group Trust 1/2 3.750% 3/23/27 28,575 29,039
  Senior Housing Properties Trust 3.250% 5/1/19 36,150 36,501
  Simon Property Group LP 2.500% 9/1/20 11,153 11,258
  Simon Property Group LP 4.375% 3/1/21 7,375 7,851
  Simon Property Group LP 2.350% 1/30/22 12,290 12,252
13 Stockland Trust 4.500% 11/23/22 1,400 1,120
  Ventas Realty LP 3.125% 6/15/23 4,673 4,687
  Ventas Realty LP 3.500% 2/1/25 6,655 6,692
  Ventas Realty LP 3.850% 4/1/27 6,745 6,858
  Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 14,362 14,370
  VEREIT Operating Partnership LP 3.000% 2/6/19 22,495 22,720
  Welltower Inc. 2.250% 3/15/18 15,769 15,803
  Welltower Inc. 4.125% 4/1/19 46,860 48,044
  Welltower Inc. 4.000% 6/1/25 7,025 7,293
          17,147,747
Industrial (23.7%)        
  Basic Industry (0.8%)        
  Agrium Inc. 6.750% 1/15/19 31,740 33,454
9 Air Liquide Finance SA 1.375% 9/27/19 23,090 22,818
9 Air Liquide Finance SA 1.750% 9/27/21 40,450 39,429

 

 

  Air Products & Chemicals Inc. 4.375% 8/21/19 7,155 7,467
  Airgas Inc. 1.650% 2/15/18 23,552 23,559
  Airgas Inc. 2.375% 2/15/20 9,890 9,937
  Airgas Inc. 3.050% 8/1/20 12,510 12,802
9 Celulosa Arauco y Constitucion SA 5.500% 11/2/47 3,775 3,781
  CF Industries Inc. 6.875% 5/1/18 26,245 26,868
9 CF Industries Inc. 3.400% 12/1/21 14,400 14,621
  EI du Pont de Nemours & Co. 6.000% 7/15/18 27,383 28,210
13 Glencore Australia Holdings Pty Ltd. 4.500% 9/19/19 4,160 3,271
  Goldcorp Inc. 2.125% 3/15/18 14,640 14,655
  Monsanto Co. 5.125% 4/15/18 22,515 22,855
  Monsanto Co. 1.850% 11/15/18 3,000 2,989
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 28,554 28,591
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 11,456 12,155
  PPG Industries Inc. 2.300% 11/15/19 27,820 27,879
  Praxair Inc. 4.500% 8/15/19 29,565 30,885
  Praxair Inc. 4.050% 3/15/21 17,539 18,605
  RPM International Inc. 6.500% 2/15/18 3,442 3,488
  Vale Overseas Ltd. 5.875% 6/10/21 49,050 53,771
  WestRock MWV LLC 7.375% 9/1/19 23,265 25,323
  WestRock RKT Co. 4.450% 3/1/19 9,164 9,425
  WestRock RKT Co. 4.900% 3/1/22 2,745 2,973
  WestRock RKT Co. 4.000% 3/1/23 21,986 23,087
 
  Capital Goods (2.0%)        
  Acuity Brands Lighting Inc. 6.000% 12/15/19 8,400 9,024
  Caterpillar Financial Services Corp. 7.150% 2/15/19 47,540 50,723
  Caterpillar Financial Services Corp. 1.900% 3/22/19 11,936 11,953
  Caterpillar Financial Services Corp. 1.350% 5/18/19 32,370 32,132
  Caterpillar Financial Services Corp. 2.100% 1/10/20 34,625 34,759
  Caterpillar Financial Services Corp. 1.700% 8/9/21 9,375 9,168
  Caterpillar Financial Services Corp. 1.931% 10/1/21 100,075 98,786
  Caterpillar Financial Services Corp. 2.400% 6/6/22 24,645 24,638
  Caterpillar Financial Services Corp. 3.300% 6/9/24 21,550 22,264
  Caterpillar Inc. 7.900% 12/15/18 59,914 63,988
  CNH Industrial Capital LLC 3.375% 7/15/19 16,065 16,326
  CNH Industrial Capital LLC 4.375% 11/6/20 19,978 20,927
  CNH Industrial Capital LLC 4.875% 4/1/21 3,830 4,084
  CNH Industrial Capital LLC 3.875% 10/15/21 7,070 7,318
  CNH Industrial Capital LLC 4.375% 4/5/22 23,205 24,626
  General Electric Capital Corp. 5.625% 5/1/18 5,855 5,975
  General Electric Capital Corp. 6.000% 8/7/19 30,727 32,977
  General Electric Capital Corp. 2.200% 1/9/20 30,647 30,791
  General Electric Capital Corp. 4.375% 9/16/20 31,110 33,118
  General Electric Capital Corp. 5.300% 2/11/21 6,288 6,882
9 General Electric Co. / LJ VP Holdings LLC 3.800% 6/18/19 15,205 15,665
9 Huntington Ingalls Industries Inc. 5.000% 11/15/25 41,710 45,151
  Illinois Tool Works Inc. 3.375% 9/15/21 17,075 17,664
  John Deere Capital Corp. 1.250% 10/9/19 18,800 18,560
  John Deere Capital Corp. 1.950% 6/22/20 24,390 24,316
  John Deere Capital Corp. 2.375% 7/14/20 51,283 51,640
  John Deere Capital Corp. 2.450% 9/11/20 43,491 43,900
  John Deere Capital Corp. 2.550% 1/8/21 14,640 14,798
  John Deere Capital Corp. 2.800% 3/4/21 32,710 33,225
  John Deere Capital Corp. 3.900% 7/12/21 9,760 10,318
  John Deere Capital Corp. 2.650% 6/24/24 24,395 24,236
  Komatsu Mining Corp. 5.125% 10/15/21 114,168 124,729

 

 

17 Leonardo SPA 8.000% 12/16/19 11,644 17,582
  Parker-Hannifin Corp. 5.500% 5/15/18 3,615 3,693
  Precision Castparts Corp. 2.500% 1/15/23 26,735 26,713
  Raytheon Co. 4.400% 2/15/20 2,070 2,185
  Raytheon Co. 3.125% 10/15/20 8,697 8,961
  Rockwell Automation Inc. 5.650% 12/1/17 4,885 4,901
  Roper Technologies Inc. 2.050% 10/1/18 19,060 19,097
  Roper Technologies Inc. 3.850% 12/15/25 11,888 12,371
9 Siemens Financieringsmaatschappij NV 2.200% 3/16/20 79,390 79,740
9 Siemens Financieringsmaatschappij NV 3.125% 3/16/24 26,415 26,989
  Textron Inc. 7.250% 10/1/19 12,114 13,215
  Textron Inc. 3.875% 3/1/25 9,990 10,396
  United Rentals North America Inc. 4.625% 7/15/23 46,770 48,933
  United Rentals North America Inc. 5.875% 9/15/26 6,720 7,325
  United Rentals North America Inc. 5.500% 5/15/27 9,830 10,530
 
  Communication (2.7%)        
  21st Century Fox America Inc. 7.250% 5/18/18 7,205 7,413
  Activision Blizzard Inc. 2.300% 9/15/21 15,350 15,262
  Activision Blizzard Inc. 2.600% 6/15/22 24,400 24,329
9 Activision Blizzard Inc. 6.125% 9/15/23 22,008 23,494
  America Movil SAB de CV 5.625% 11/15/17 44,269 44,331
  America Movil SAB de CV 5.000% 10/16/19 19,268 20,358
  America Movil SAB de CV 5.000% 3/30/20 52,683 55,966
  AT&T Inc. 1.400% 12/1/17 24,400 24,401
  AT&T Inc. 5.500% 2/1/18 31,834 32,152
  AT&T Inc. 5.600% 5/15/18 6,038 6,168
  AT&T Inc. 5.800% 2/15/19 27,420 28,738
  AT&T Inc. 5.875% 10/1/19 46,760 50,014
  AT&T Inc. 5.200% 3/15/20 63,054 67,580
  AT&T Inc. 4.600% 2/15/21 20,362 21,758
  AT&T Inc. 2.800% 2/17/21 72,521 73,740
  AT&T Inc. 3.200% 3/1/22 12,500 12,714
  AT&T Inc. 3.000% 6/30/22 14,931 15,180
  AT&T Inc. 4.450% 4/1/24 5,000 5,298
  AT&T Inc. 3.900% 8/14/27 13,660 13,607
16 AT&T Inc. 2.350% 9/4/29 7,200 8,695
  AT&T Inc. 5.150% 2/14/50 15,873 15,587
  CBS Corp. 2.300% 8/15/19 1,980 1,987
  Charter Communications Operating LLC /        
  Charter Communications Operating Capital 3.579% 7/23/20 110,780 113,411
  Charter Communications Operating LLC /        
  Charter Communications Operating Capital 4.464% 7/23/22 6,765 7,135
  Comcast Corp. 5.875% 2/15/18 17,672 17,890
  Comcast Corp. 3.375% 8/15/25 13,130 13,471
  Crown Castle International Corp. 3.400% 2/15/21 38,418 39,463
  Crown Castle International Corp. 2.250% 9/1/21 4,700 4,655
  Crown Castle International Corp. 4.875% 4/15/22 11,800 12,783
  Crown Castle International Corp. 4.450% 2/15/26 16,500 17,427
  Deutsche Telekom International Finance BV 6.750% 8/20/18 10,804 11,220
  Discovery Communications LLC 2.200% 9/20/19 24,315 24,340
  Discovery Communications LLC 3.800% 3/13/24 15,170 15,543
  Electronic Arts Inc. 3.700% 3/1/21 14,650 15,211
  Grupo Televisa SAB 6.000% 5/15/18 10,931 11,139
  Interpublic Group of Cos. Inc. 2.250% 11/15/17 2,000 2,000
9 NBCUniversal Enterprise Inc. 1.974% 4/15/19 66,650 66,783
  NBCUniversal Media LLC 4.375% 4/1/21 24,415 26,146

 

 

  NBCUniversal Media LLC 2.875% 1/15/23 30,690 31,178
  Omnicom Group Inc. 6.250% 7/15/19 5,860 6,261
  Orange SA 2.750% 2/6/19 29,240 29,565
  Qwest Corp. 6.750% 12/1/21 3,110 3,443
  Scripps Networks Interactive Inc. 2.800% 6/15/20 29,300 29,537
9 SES Global Americas Holdings GP 2.500% 3/25/19 53,705 53,424
9 Sirius XM Radio Inc. 6.000% 7/15/24 18,825 20,143
9 Sky plc 2.625% 9/16/19 12,200 12,215
9 Telstra Corp. Ltd. 3.125% 4/7/25 16,480 16,572
  Thomson Reuters Corp. 6.500% 7/15/18 27,270 28,165
  Time Warner Cable LLC 6.750% 7/1/18 76,655 79,092
  Time Warner Cable LLC 8.750% 2/14/19 18,305 19,761
  Time Warner Cable LLC 8.250% 4/1/19 23,445 25,397
  Verizon Communications Inc. 4.500% 9/15/20 196,589 209,367
  Verizon Communications Inc. 3.450% 3/15/21 19,400 20,119
  Verizon Communications Inc. 3.000% 11/1/21 35,341 36,029
  Verizon Communications Inc. 2.946% 3/15/22 130,510 132,231
  Verizon Communications Inc. 5.150% 9/15/23 1,900 2,126
  Viacom Inc. 5.625% 9/15/19 3,195 3,385
  Viacom Inc. 2.250% 2/4/22 4,800 4,582
 
  Consumer Cyclical (2.7%)        
  Alibaba Group Holding Ltd. 1.625% 11/28/17 37,630 37,627
  Alibaba Group Holding Ltd. 2.500% 11/28/19 19,064 19,176
9 Alimentation Couche-Tard Inc. 2.700% 7/26/22 59,525 59,506
  American Honda Finance Corp. 1.500% 11/19/18 14,650 14,614
  American Honda Finance Corp. 1.700% 2/22/19 14,050 14,058
  American Honda Finance Corp. 2.250% 8/15/19 41,660 41,912
  American Honda Finance Corp. 2.000% 2/14/20 48,800 48,834
  American Honda Finance Corp. 1.950% 7/20/20 14,640 14,594
  American Honda Finance Corp. 2.450% 9/24/20 16,675 16,843
  American Honda Finance Corp. 1.700% 9/9/21 16,450 16,120
  AutoZone Inc. 7.125% 8/1/18 19,022 19,714
  AutoZone Inc. 1.625% 4/21/19 8,345 8,279
  CVS Health Corp. 1.900% 7/20/18 16,605 16,616
  CVS Health Corp. 2.250% 12/5/18 19,520 19,605
  Ford Motor Credit Co. LLC 2.145% 1/9/18 14,665 14,677
  Ford Motor Credit Co. LLC 2.375% 1/16/18 14,635 14,653
13 Ford Motor Credit Co. LLC 4.050% 12/10/18 15,786 12,268
  Ford Motor Credit Co. LLC 2.597% 11/4/19 7,615 7,663
  Ford Motor Credit Co. LLC 2.459% 3/27/20 19,535 19,603
13 Ford Motor Credit Co. LLC 3.588% 6/2/20 29,162 22,615
  Ford Motor Credit Co. LLC 3.157% 8/4/20 38,695 39,451
  Ford Motor Credit Co. LLC 3.200% 1/15/21 20,827 21,288
  Ford Motor Credit Co. LLC 5.750% 2/1/21 11,559 12,710
  Ford Motor Credit Co. LLC 3.336% 3/18/21 67,975 69,547
  Ford Motor Credit Co. LLC 5.875% 8/2/21 33,165 36,925
  Ford Motor Credit Co. LLC 3.339% 3/28/22 29,275 29,868
  Ford Motor Credit Co. LLC 2.979% 8/3/22 8,780 8,804
  Ford Motor Credit Co. LLC 4.250% 9/20/22 11,635 12,304
  General Motors Co. 3.500% 10/2/18 36,615 37,136
  General Motors Co. 4.875% 10/2/23 23,744 25,891
  General Motors Financial Co. Inc. 6.750% 6/1/18 46,749 48,053
  General Motors Financial Co. Inc. 3.100% 1/15/19 5,220 5,283
  General Motors Financial Co. Inc. 2.400% 5/9/19 31,240 31,368
  General Motors Financial Co. Inc. 3.500% 7/10/19 29,234 29,873
  General Motors Financial Co. Inc. 3.700% 11/24/20 29,280 30,286

 

 

  General Motors Financial Co. Inc. 4.200% 3/1/21 36,658 38,474
  General Motors Financial Co. Inc. 3.200% 7/6/21 38,623 39,340
  General Motors Financial Co. Inc. 4.375% 9/25/21 2,660 2,824
  General Motors Financial Co. Inc. 3.450% 1/14/22 42,190 43,140
  General Motors Financial Co. Inc. 3.450% 4/10/22 9,760 9,975
  General Motors Financial Co. Inc. 3.150% 6/30/22 29,270 29,579
  General Motors Financial Co. Inc. 3.700% 5/9/23 10,461 10,726
  General Motors Financial Co. Inc. 4.250% 5/15/23 9,107 9,572
9 Harley-Davidson Financial Services Inc. 1.550% 11/17/17 3,415 3,415
9 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 9,765 9,793
9 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 10,800 10,757
9 Harley-Davidson Financial Services Inc. 2.400% 6/15/20 7,637 7,641
9 Harley-Davidson Financial Services Inc. 2.550% 6/9/22 33,570 33,273
9 Harley-Davidson Funding Corp. 6.800% 6/15/18 3,665 3,778
9 Hyundai Capital America 3.100% 4/5/22 19,825 19,763
17 Jaguar Land Rover Automotive plc 5.000% 2/15/22 18,141 26,419
16 Jaguar Land Rover Automotive plc 2.200% 1/15/24 10,070 11,927
  Lowe's Cos. Inc. 1.150% 4/15/19 12,150 12,037
  Lowe's Cos. Inc. 4.625% 4/15/20 19,120 20,100
  Macy's Retail Holdings Inc. 3.450% 1/15/21 19,515 19,568
  Mastercard Inc. 2.000% 4/1/19 9,620 9,654
  McDonald's Corp. 2.100% 12/7/18 11,710 11,755
9 Nissan Motor Acceptance Corp. 2.000% 3/8/19 31,275 31,244
9 Nissan Motor Acceptance Corp. 2.150% 7/13/20 25,860 25,800
9 Nissan Motor Acceptance Corp. 2.600% 9/28/22 11,575 11,524
  PACCAR Financial Corp. 1.750% 8/14/18 6,635 6,634
  PACCAR Financial Corp. 2.200% 9/15/19 19,025 19,093
  PACCAR Financial Corp. 2.500% 8/14/20 2,930 2,958
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 5,250 5,429
  Starbucks Corp. 2.100% 2/4/21 12,420 12,430
  TJX Cos. Inc. 2.750% 6/15/21 48,345 49,220
  Toyota Motor Credit Corp. 1.450% 1/12/18 27,350 27,346
  Toyota Motor Credit Corp. 2.000% 10/24/18 10,745 10,781
  Toyota Motor Credit Corp. 2.100% 1/17/19 19,530 19,610
  Toyota Motor Credit Corp. 2.125% 7/18/19 40,515 40,712
  Toyota Motor Credit Corp. 1.900% 4/8/21 3,610 3,580
  Toyota Motor Credit Corp. 2.750% 5/17/21 11,710 11,914
  Toyota Motor Credit Corp. 3.400% 9/15/21 9,683 10,084
  VF Corp. 5.950% 11/1/17 5,860 5,860
  Visa Inc. 2.200% 12/14/20 82,930 83,407
  Visa Inc. 2.800% 12/14/22 41,070 41,863
9 Volkswagen Group of America Finance LLC 1.600% 11/20/17 6,205 6,205
9 Volkswagen Group of America Finance LLC 1.650% 5/22/18 3,465 3,460
  Wal-Mart Stores Inc. 3.250% 10/25/20 19,080 19,807
  Wal-Mart Stores Inc. 2.350% 12/15/22 30,910 30,870
9 Wesfarmers Ltd. 1.874% 3/20/18 20,665 20,697
 
  Consumer Noncyclical (6.8%)        
  Abbott Laboratories 2.350% 11/22/19 193,152 194,297
  Abbott Laboratories 2.800% 9/15/20 18,990 19,242
  Abbott Laboratories 2.900% 11/30/21 79,930 81,172
  AbbVie Inc. 1.800% 5/14/18 126,410 126,524
  AbbVie Inc. 2.500% 5/14/20 92,302 93,029
  Agilent Technologies Inc. 6.500% 11/1/17 2,257 2,257
  Agilent Technologies Inc. 5.000% 7/15/20 10,185 10,904
  Agilent Technologies Inc. 3.200% 10/1/22 11,215 11,365
  Allergan Funding SCS 2.350% 3/12/18 239,151 239,713

 

 

  Allergan Funding SCS 3.000% 3/12/20 118,748 120,348
  Allergan Inc. 1.350% 3/15/18 7,800 7,800
  Altria Group Inc. 9.250% 8/6/19 69,792 78,501
  Altria Group Inc. 4.750% 5/5/21 40,225 43,632
  AmerisourceBergen Corp. 3.500% 11/15/21 7,200 7,431
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 8,650 8,715
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 2,345 2,345
  Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 62,856 62,914
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 26,110 26,204
  Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 332,420 336,592
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 14,670 15,129
  Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 14,600 16,081
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 32,250 34,454
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 57,710 61,873
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 15,700 15,723
9 BAT Capital Corp. 2.297% 8/14/20 146,370 146,401
9 BAT Capital Corp. 2.764% 8/15/22 126,855 126,951
9 BAT Capital Corp. 3.222% 8/15/24 36,115 36,292
  Baxalta Inc. 2.000% 6/22/18 6,885 6,905
  Baxalta Inc. 2.875% 6/23/20 86,737 87,979
  Becton Dickinson & Co. 2.675% 12/15/19 49,652 50,199
  Becton Dickinson & Co. 3.125% 11/8/21 34,675 35,486
  Becton Dickinson & Co. 2.894% 6/6/22 44,000 44,089
  Biogen Inc. 6.875% 3/1/18 4,880 4,972
  Biogen Inc. 3.625% 9/15/22 50,583 52,947
  Bunge Ltd. Finance Corp. 3.000% 9/25/22 11,750 11,757
9 Cargill Inc. 3.250% 11/15/21 9,750 10,034
  Catholic Health Initiatives Colorado GO 2.600% 8/1/18 2,900 2,915
  Celgene Corp. 2.125% 8/15/18 12,600 12,632
  Celgene Corp. 2.250% 8/15/21 132,105 130,792
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 9,800 9,832
  Conagra Brands Inc. 4.950% 8/15/20 2,679 2,863
  Constellation Brands Inc. 3.875% 11/15/19 26,682 27,604
  Diageo Capital plc 1.125% 4/29/18 7,115 7,099
  Dignity Health California GO 2.637% 11/1/19 2,000 2,010
  Edwards Lifesciences Corp. 2.875% 10/15/18 24,400 24,609
  Express Scripts Holding Co. 4.750% 11/15/21 12,200 13,171
  Express Scripts Holding Co. 3.000% 7/15/23 34,100 33,948
  Express Scripts Holding Co. 4.500% 2/25/26 9,800 10,383
16 Fresenius SE & Co. KGaA 3.000% 1/30/32 12,460 15,714
  Gilead Sciences Inc. 1.850% 9/20/19 28,785 28,775
  Gilead Sciences Inc. 2.350% 2/1/20 22,250 22,434
  Gilead Sciences Inc. 2.550% 9/1/20 176,941 179,270
  Gilead Sciences Inc. 4.400% 12/1/21 20,510 22,088
9 Grupo Bimbo SAB de CV 4.500% 1/25/22 11,180 11,825
  Hershey Co. 1.600% 8/21/18 3,060 3,057
  Kraft Foods Group Inc. 6.125% 8/23/18 14,240 14,725
  McCormick & Co. Inc. 2.700% 8/15/22 9,750 9,786
  McKesson Corp. 2.284% 3/15/19 34,250 34,412
17 McKesson Corp. 3.125% 2/17/29 22,787 30,626
  Mead Johnson Nutrition Co. 3.000% 11/15/20 24,500 25,045
  Medtronic Inc. 1.500% 3/15/18 28,725 28,729
  Medtronic Inc. 1.375% 4/1/18 11,900 11,896
  Medtronic Inc. 2.500% 3/15/20 45,285 45,860
  Medtronic Inc. 3.150% 3/15/22 19,500 20,106
  Medtronic Inc. 3.625% 3/15/24 7,512 7,912
  Merck Sharp & Dohme Corp. 5.000% 6/30/19 7,320 7,702

 

 

  Mylan Inc. 2.600% 6/24/18 6,830 6,859
  Newell Brands Inc. 2.600% 3/29/19 3,286 3,313
  Newell Brands Inc. 3.150% 4/1/21 30,603 31,278
  Newell Brands Inc. 3.850% 4/1/23 48,760 51,148
  Newell Brands Inc. 5.375% 4/1/36 7,395 8,572
  PepsiCo Inc. 2.250% 1/7/19 7,900 7,948
  PepsiCo Inc. 4.500% 1/15/20 23,505 24,870
  PepsiCo Inc. 1.850% 4/30/20 23,350 23,309
9 Pernod Ricard SA 5.750% 4/7/21 4,850 5,369
9 Pernod Ricard SA 4.450% 1/15/22 2,850 3,059
  Perrigo Finance Unlimited Co. 3.500% 12/15/21 338 347
  Pharmacia LLC 6.500% 12/1/18 8,300 8,699
  Quest Diagnostics Inc. 2.700% 4/1/19 19,535 19,700
9 Reckitt Benckiser Treasury Services plc 2.375% 6/24/22 58,500 57,747
  Reynolds American Inc. 2.300% 6/12/18 63,188 63,367
  Reynolds American Inc. 8.125% 6/23/19 53,388 58,528
9 Roche Holdings Inc. 2.250% 9/30/19 50,755 50,990
9 Roche Holdings Inc. 1.750% 1/28/22 20,890 20,383
9 Roche Holdings Inc. 3.350% 9/30/24 12,685 13,153
  Shire Acquisitions Investments Ireland DAC 1.900% 9/23/19 79,748 79,426
  Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 116,260 115,436
  Stryker Corp. 2.000% 3/8/19 9,850 9,871
  Teva Pharmaceutical Finance IV LLC 2.250% 3/18/20 34,238 33,500
16 Teva Pharmaceutical Finance Netherlands II        
  BV 1.125% 10/15/24 16,700 17,756
  Teva Pharmaceutical Finance Netherlands III        
  BV 1.400% 7/20/18 15,610 15,522
  Teva Pharmaceutical Finance Netherlands III        
  BV 1.700% 7/19/19 126,592 123,894
  Teva Pharmaceutical Finance Netherlands III        
  BV 2.200% 7/21/21 225,805 212,205
  Teva Pharmaceutical Finance Netherlands III        
  BV 2.800% 7/21/23 44,210 40,652
  The Kroger Co. 6.800% 12/15/18 5,950 6,245
  The Kroger Co. 2.000% 1/15/19 14,700 14,704
  The Kroger Co. 2.300% 1/15/19 31,250 31,348
  The Kroger Co. 6.150% 1/15/20 10,250 11,088
  The Kroger Co. 2.600% 2/1/21 19,550 19,600
  The Kroger Co. 2.950% 11/1/21 20,510 20,760
  The Kroger Co. 2.800% 8/1/22 13,900 13,883
  The Kroger Co. 3.700% 8/1/27 3,735 3,705
  Thermo Fisher Scientific Inc. 2.150% 12/14/18 14,600 14,619
  Zimmer Biomet Holdings Inc. 2.700% 4/1/20 59,883 60,377
 
  Energy (3.8%)        
  Anadarko Petroleum Corp. 4.850% 3/15/21 27,834 29,627
  Anadarko Petroleum Corp. 3.450% 7/15/24 6,800 6,763
9 Andeavor 4.750% 12/15/23 11,750 12,719
  BP Capital Markets plc 1.375% 11/6/17 19,450 19,449
  BP Capital Markets plc 1.375% 5/10/18 80,718 80,653
  BP Capital Markets plc 2.241% 9/26/18 24,638 24,768
  BP Capital Markets plc 4.750% 3/10/19 39,059 40,576
  BP Capital Markets plc 1.676% 5/3/19 10,250 10,222
  BP Capital Markets plc 2.237% 5/10/19 42,131 42,347
  BP Capital Markets plc 2.521% 1/15/20 38,005 38,463
  BP Capital Markets plc 2.315% 2/13/20 88,580 89,220
  BP Capital Markets plc 4.500% 10/1/20 122,905 130,953

 

 

BP Capital Markets plc 4.742% 3/11/21 68,435 73,974
BP Capital Markets plc 2.112% 9/16/21 7,700 7,648
BP Capital Markets plc 3.062% 3/17/22 19,465 19,967
BP Capital Markets plc 3.245% 5/6/22 17,200 17,798
BP Capital Markets plc 2.750% 5/10/23 8,508 8,544
BP Capital Markets plc 3.216% 11/28/23 15,795 16,180
Cenovus Energy Inc. 5.700% 10/15/19 70,591 74,826
Chevron Corp. 4.950% 3/3/19 25,050 26,090
Chevron Corp. 2.193% 11/15/19 9,800 9,866
Chevron Corp. 1.961% 3/3/20 41,685 41,734
Chevron Corp. 2.427% 6/24/20 21,595 21,854
Chevron Corp. 2.419% 11/17/20 14,760 14,918
ConocoPhillips Co. 2.200% 5/15/20 7,230 7,247
ConocoPhillips Co. 4.200% 3/15/21 117,822 124,540
ConocoPhillips Co. 2.875% 11/15/21 9,750 9,917
ConocoPhillips Co. 2.400% 12/15/22 13,200 13,095
Devon Energy Corp. 4.000% 7/15/21 19,530 20,323
Dominion Energy Gas Holdings LLC 2.500% 12/15/19 21,500 21,651
Dominion Energy Gas Holdings LLC 2.800% 11/15/20 11,700 11,868
Dominion Energy Gas Holdings LLC 3.550% 11/1/23 12,700 12,979
Enbridge Energy Partners LP 4.375% 10/15/20 975 1,024
4,12 Enbridge Energy Partners LP 5.132% 10/1/77 1,860 1,841
Encana Corp. 3.900% 11/15/21 6,680 6,903
Energy Transfer LP 2.500% 6/15/18 19,050 19,124
Energy Transfer LP 6.700% 7/1/18 40,929 42,206
Energy Transfer LP 4.150% 10/1/20 39,715 41,455
Energy Transfer LP 4.650% 6/1/21 15,210 16,116
Energy Transfer LP 5.200% 2/1/22 14,658 15,949
EOG Resources Inc. 5.625% 6/1/19 16,611 17,507
EOG Resources Inc. 2.450% 4/1/20 11,528 11,580
EQT Corp. 2.500% 10/1/20 19,500 19,501
EQT Corp. 3.000% 10/1/22 19,500 19,424
Hess Corp. 4.300% 4/1/27 5,600 5,640
Kinder Morgan Energy Partners LP 2.650% 2/1/19 2,050 2,062
Kinder Morgan Energy Partners LP 9.000% 2/1/19 5,285 5,720
Kinder Morgan Energy Partners LP 6.850% 2/15/20 12,912 14,204
Kinder Morgan Energy Partners LP 6.500% 4/1/20 17,870 19,557
Kinder Morgan Energy Partners LP 5.300% 9/15/20 4,875 5,238
Kinder Morgan Inc. 3.050% 12/1/19 1,760 1,788
Kinder Morgan Inc. 7.750% 1/15/32 6,485 8,331
Marathon Oil Corp. 2.700% 6/1/20 45,437 45,348
Marathon Oil Corp. 2.800% 11/1/22 64,610 63,464
MPLX LP 4.500% 7/15/23 33,060 35,322
Nabors Industries Inc. 6.150% 2/15/18 5,417 5,466
Nabors Industries Inc. 5.000% 9/15/20 9,800 9,898
Occidental Petroleum Corp. 1.500% 2/15/18 50,620 50,625
ONEOK Partners LP 3.200% 9/15/18 11,720 11,826
Petro-Canada 6.050% 5/15/18 4,885 4,993
Phillips 66 Partners LP 4.680% 2/15/45 3,285 3,338
Pioneer Natural Resources Co. 6.875% 5/1/18 12,710 13,017
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.750% 9/1/20 8,167 8,800
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.875% 3/1/22 10,010 11,086
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.000% 10/1/22 8,500 9,169
Sabine Pass Liquefaction LLC 5.625% 2/1/21 68,901 74,671

 

 

Sabine Pass Liquefaction LLC 6.250% 3/15/22 2,318 2,608
Sabine Pass Liquefaction LLC 5.750% 5/15/24 14,615 16,332
9 Schlumberger Holdings Corp. 2.350% 12/21/18 2,150 2,160
Shell International Finance BV 1.900% 8/10/18 9,775 9,794
Shell International Finance BV 1.625% 11/10/18 14,500 14,483
Shell International Finance BV 2.000% 11/15/18 15,675 15,714
Shell International Finance BV 1.375% 5/10/19 61,000 60,682
Shell International Finance BV 1.375% 9/12/19 70,500 69,949
Shell International Finance BV 4.300% 9/22/19 10,797 11,293
Shell International Finance BV 2.125% 5/11/20 53,700 53,879
Shell International Finance BV 2.250% 11/10/20 48,750 49,094
Shell International Finance BV 1.875% 5/10/21 93,580 92,716
Shell International Finance BV 1.750% 9/12/21 23,600 23,201
Shell International Finance BV 3.250% 5/11/25 14,000 14,360
Southern Natural Gas Co. LLC / Southern        
Natural Issuing Corp. 4.400% 6/15/21 6,395 6,759
Spectra Energy Partners LP 2.950% 9/25/18 9,770 9,845
Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 1,660 1,995
Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 8,289 10,668
Total Capital Canada Ltd. 1.450% 1/15/18 43,977 43,987
Total Capital International SA 2.125% 1/10/19 47,850 48,080
Total Capital International SA 2.100% 6/19/19 14,600 14,688
Total Capital SA 2.125% 8/10/18 11,627 11,654
Total Capital SA 4.450% 6/24/20 36,050 38,336
Total Capital SA 4.250% 12/15/21 19,525 21,008
TransCanada PipeLines Ltd. 2.500% 8/1/22 1,530 1,529
TransCanada PipeLines Ltd. 4.625% 3/1/34 7,000 7,692
Williams Partners LP 5.250% 3/15/20 4,880 5,220
Williams Partners LP 4.000% 11/15/21 16,585 17,406
Williams Partners LP 3.600% 3/15/22 17,204 17,725
Williams Partners LP 3.350% 8/15/22 4,875 4,971
9 Woodside Finance Ltd. 8.750% 3/1/19 15,850 17,115
 
Other Industrial (0.3%)        
9 CK Hutchison International 17 Ltd. 2.250% 9/29/20 95,155 94,495
9 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 118,427 127,289
 
Technology (3.2%)        
Apple Inc. 1.300% 2/23/18 14,635 14,631
Apple Inc. 2.100% 5/6/19 48,285 48,598
Apple Inc. 1.550% 2/7/20 19,535 19,406
Apple Inc. 2.000% 5/6/20 25,650 25,717
Apple Inc. 2.250% 2/23/21 100,900 101,456
Apple Inc. 2.850% 5/6/21 37,000 37,914
Apple Inc. 1.550% 8/4/21 9,000 8,806
Apple Inc. 2.150% 2/9/22 3,700 3,685
Apple Inc. 2.500% 2/9/22 48,830 49,299
Apple Inc. 2.700% 5/13/22 20,040 20,358
Apple Inc. 2.850% 5/11/24 19,200 19,398
Applied Materials Inc. 2.625% 10/1/20 23,420 23,806
Baidu Inc. 2.250% 11/28/17 16,615 16,624
Baidu Inc. 3.250% 8/6/18 31,200 31,491
Baidu Inc. 2.750% 6/9/19 17,575 17,648
9 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 2.375% 1/15/20 96,270 96,735
9 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 2.200% 1/15/21 19,515 19,426

 

 

9 Broadcom Corp. / Broadcom Cayman Finance        
  Ltd. 3.000% 1/15/22 58,615 59,269
9 Broadcom Corp. / Broadcom Cayman Finance        
  Ltd. 2.650% 1/15/23 19,515 19,329
  CA Inc. 2.875% 8/15/18 2,195 2,208
  Cisco Systems Inc. 4.450% 1/15/20 27,210 28,706
  Cisco Systems Inc. 2.200% 2/28/21 43,910 44,026
9 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 3.480% 6/1/19 78,090 79,482
9 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 4.420% 6/15/21 108,286 113,837
9 Diamond 1 Finance Corp. / Diamond 2        
  Finance Corp. 5.450% 6/15/23 17,865 19,595
  DXC Technology Co. 2.875% 3/27/20 13,670 13,815
  DXC Technology Co. 4.250% 4/15/24 29,295 30,852
  Fidelity National Information Services Inc. 2.000% 4/15/18 4,715 4,724
  Fidelity National Information Services Inc. 2.850% 10/15/18 36,474 36,829
  Hewlett Packard Enterprise Co. 2.850% 10/5/18 45,105 45,482
9 Hewlett Packard Enterprise Co. 2.100% 10/4/19 97,580 97,443
  Hewlett Packard Enterprise Co. 3.600% 10/15/20 65,207 67,333
  Intel Corp. 1.350% 12/15/17 33,388 33,388
  Intel Corp. 2.875% 5/11/24 29,170 29,490
  International Business Machines Corp. 2.500% 1/27/22 29,300 29,540
  KLA-Tencor Corp. 2.375% 11/1/17 13,845 13,844
  Microsoft Corp. 2.400% 2/6/22 97,675 98,354
  Microsoft Corp. 2.875% 2/6/24 87,910 89,514
  Pitney Bowes Inc. 5.600% 3/15/18 4,880 4,950
  Pitney Bowes Inc. 3.625% 10/1/21 13,165 12,873
  QUALCOMM Inc. 1.850% 5/20/19 34,130 34,117
  QUALCOMM Inc. 2.100% 5/20/20 29,860 29,898
  QUALCOMM Inc. 3.000% 5/20/22 35,611 36,254
  QUALCOMM Inc. 2.600% 1/30/23 62,625 62,419
  QUALCOMM Inc. 2.900% 5/20/24 19,510 19,536
9 Seagate HDD Cayman 4.250% 3/1/22 16,605 16,875
  Tech Data Corp. 3.700% 2/15/22 7,835 7,882
  Total System Services Inc. 2.375% 6/1/18 36,472 36,559
  Tyco Electronics Group SA 2.375% 12/17/18 14,650 14,692
  Tyco Electronics Group SA 2.350% 8/1/19 18,380 18,419
  Tyco Electronics Group SA 4.875% 1/15/21 1,955 2,091
  Tyco Electronics Group SA 3.500% 2/3/22 9,015 9,352
  Tyco Electronics Group SA 3.450% 8/1/24 9,312 9,602
  Verisk Analytics Inc. 5.800% 5/1/21 12,428 13,665
  Verisk Analytics Inc. 4.125% 9/12/22 25,539 26,928
  VMware Inc. 2.300% 8/21/20 48,790 48,647
  VMware Inc. 2.950% 8/21/22 39,030 39,139
  Xerox Corp. 6.350% 5/15/18 2,575 2,633
  Xerox Corp. 3.625% 3/15/23 48,790 48,129
  Xilinx Inc. 2.125% 3/15/19 19,555 19,574
 
  Transportation (1.4%)        
4,9 AA Aircraft Financing 2013-1 LLC 6.500% 11/1/17 16,011 16,011
9 Air Canada 7.750% 4/15/21 56,036 64,091
4,9 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 15,993 15,990
4 American Airlines 2016-3 Class B Pass        
  Through Trust 3.750% 10/15/25 60,110 59,922

 

 

4 American Airlines 2017-2B Class B Pass        
  Through Trust 3.700% 10/15/25 63,415 63,233
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 8,095 8,405
  Canadian National Railway Co. 5.850% 11/15/17 14,960 14,976
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 412 414
4 Continental Airlines 1999-1 Class B Pass        
  Through Trust 6.795% 2/2/20 155 159
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 2,678 2,946
4 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 10/1/22 28,960 31,422
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 2,144 2,248
  Continental Airlines 2012-3 Class C Pass        
  Thru Certificates 6.125% 4/29/18 59,755 60,636
4,18 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 21,452 23,907
4 Delta Air Lines 2007-1 Class A Pass Through        
  Trust 6.821% 2/10/24 37,099 42,541
4 Delta Air Lines 2007-1 Class B Pass Through        
  Trust 8.021% 8/10/22 8,055 9,131
4 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 6/17/21 18,828 20,436
4 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 6,967 7,146
4 Delta Air Lines 2010-2 Class A Pass Through        
  Trust 4.950% 11/23/20 3,363 3,459
4 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 1,943 2,024
  Delta Air Lines Inc. 3.625% 3/15/22 98,819 100,976
9 ERAC USA Finance LLC 2.800% 11/1/18 16,645 16,785
9 ERAC USA Finance LLC 2.350% 10/15/19 39,858 39,961
4,9 Heathrow Funding Ltd. 4.875% 7/15/23 10,045 10,785
9 HPHT Finance 15 Ltd. 2.250% 3/17/18 29,305 29,289
4 Northwest Airlines 2007-1 Class B Pass        
  Through Trust 8.028% 11/1/17 20,659 20,658
13 Qantas Airways Ltd. 7.500% 6/11/21 15,560 13,531
  Ryder System Inc. 2.500% 3/1/18 8,010 8,029
  Ryder System Inc. 2.550% 6/1/19 9,851 9,922
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.650% 8/1/22 12,017 13,099
4 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 4,227 4,627
4 Spirit Airlines 2015-1 Pass Through Trust B 4.450% 10/1/25 12,151 12,517
4 UAL 2007-1 Pass Through Trust 6.636% 7/2/22 17,483 18,977
4 United Airlines 2016-1 Class B Pass Through        
  Trust 3.650% 1/7/26 50,565 50,493
4 United Airlines 2016-2 Class B Pass Through        
  Trust 3.650% 10/7/25 53,940 54,203
  United Continental Holdings Inc. 6.375% 6/1/18 6,335 6,479
4 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 6,600 7,274
          15,115,973
Utilities (3.0%)        
  Electric (2.9%)        
  Alabama Power Co. 3.375% 10/1/20 3,650 3,762
  Arizona Public Service Co. 8.750% 3/1/19 29,145 31,649

 

 

13 AusNet Services Holdings Pty Ltd. 5.250% 2/14/20 8,200 6,616
  Baltimore Gas & Electric Co. 3.500% 11/15/21 6,215 6,478
  Baltimore Gas & Electric Co. 2.800% 8/15/22 3,555 3,584
  Berkshire Hathaway Energy Co. 5.750% 4/1/18 38,425 38,998
  Berkshire Hathaway Energy Co. 2.000% 11/15/18 39,110 39,188
  Berkshire Hathaway Energy Co. 2.400% 2/1/20 17,600 17,723
9 Cerro del Aguila SA 4.125% 8/16/27 8,100 8,059
  CMS Energy Corp. 6.250% 2/1/20 9,141 9,940
  Commonwealth Edison Co. 5.800% 3/15/18 36,085 36,624
  Commonwealth Edison Co. 2.150% 1/15/19 6,840 6,863
  Commonwealth Edison Co. 4.000% 8/1/20 27,778 29,127
  Connecticut Light & Power Co. 5.500% 2/1/19 11,695 12,189
  Dominion Energy Inc. 1.875% 1/15/19 33,170 33,085
  Dominion Energy Inc. 5.200% 8/15/19 4,175 4,399
  Edison International 2.400% 9/15/22 5,375 5,325
9 EDP Finance BV 4.900% 10/1/19 38,610 40,480
9 EDP Finance BV 4.125% 1/15/20 77,392 80,173
9 EDP Finance BV 5.250% 1/14/21 34,852 37,628
9 EDP Finance BV 3.625% 7/15/24 23,905 24,199
  Emera US Finance LP 2.150% 6/15/19 19,105 19,064
  Emera US Finance LP 2.700% 6/15/21 39,324 39,409
9 Enel Finance International NV 2.875% 5/25/22 152,220 152,987
9 Enel Finance International NV 3.625% 5/25/27 4,820 4,811
  Exelon Corp. 2.850% 6/15/20 29,290 29,750
  Exelon Corp. 2.450% 4/15/21 8,638 8,642
  Exelon Corp. 3.497% 6/1/22 7,263 7,471
  Exelon Generation Co. LLC 2.950% 1/15/20 13,180 13,394
  FirstEnergy Corp. 2.850% 7/15/22 73,340 73,223
  FirstEnergy Corp. 4.250% 3/15/23 2,814 2,975
9 FirstEnergy Transmission LLC 4.350% 1/15/25 46,888 49,657
  Fortis Inc. 2.100% 10/4/21 22,465 22,018
  Georgia Power Co. 5.400% 6/1/18 7,815 7,981
  Georgia Power Co. 2.000% 9/8/20 50,060 49,964
  Georgia Power Co. 2.400% 4/1/21 50,514 50,504
  LG&E & KU Energy LLC 3.750% 11/15/20 13,482 14,037
  MidAmerican Energy Co. 5.300% 3/15/18 36,392 36,915
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 2,873 3,105
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 27,320 27,515
  Nevada Power Co. 6.500% 5/15/18 32,715 33,540
  Nevada Power Co. 6.500% 8/1/18 9,683 10,021
  Oncor Electric Delivery Co. LLC 6.800% 9/1/18 8,010 8,328
  Oncor Electric Delivery Co. LLC 7.000% 9/1/22 14,364 17,139
  Pacific Gas & Electric Co. 5.625% 11/30/17 52,634 52,782
  Pacific Gas & Electric Co. 8.250% 10/15/18 38,963 41,279
  Pacific Gas & Electric Co. 3.500% 10/1/20 53,968 55,692
  Pacific Gas & Electric Co. 4.250% 5/15/21 16,350 17,281
  Pacific Gas & Electric Co. 3.250% 9/15/21 35,436 36,310
  PacifiCorp 5.650% 7/15/18 20,566 21,102
  PacifiCorp 5.500% 1/15/19 4,630 4,826
  PPL Capital Funding Inc. 1.900% 6/1/18 5,090 5,093
  PPL Capital Funding Inc. 4.200% 6/15/22 2,050 2,185
  PPL Capital Funding Inc. 3.500% 12/1/22 9,215 9,573
  PPL Capital Funding Inc. 3.100% 5/15/26 14,170 13,984
  Puget Energy Inc. 6.500% 12/15/20 15,190 16,911
  Puget Energy Inc. 6.000% 9/1/21 4,135 4,615

 

 

  Puget Energy Inc. 5.625% 7/15/22 28,065 31,311
  SCANA Corp. 4.750% 5/15/21 11,776 12,200
  South Carolina Electric & Gas Co. 5.250% 11/1/18 4,500 4,635
  South Carolina Electric & Gas Co. 6.500% 11/1/18 12,181 12,699
  Southern Co. 1.550% 7/1/18 28,865 28,828
  Southern Co. 1.850% 7/1/19 48,470 48,351
  Southern Co. 2.150% 9/1/19 14,449 14,495
  Southern Co. 2.750% 6/15/20 48,140 48,787
  Southern Co. 2.350% 7/1/21 76,255 75,867
4 Southern Co. 5.500% 3/15/57 13,665 14,451
  Southern Power Co. 1.950% 12/15/19 32,735 32,580
  Southwestern Electric Power Co. 5.875% 3/1/18 10,080 10,207
  Southwestern Electric Power Co. 6.450% 1/15/19 48,811 51,336
 
  Natural Gas (0.1%)        
9 Centrica plc 4.000% 10/16/23 31,743 32,845
9 Engie SA 2.875% 10/10/22 7,269 7,348
  Sempra Energy 6.150% 6/15/18 23,335 23,964
  Sempra Energy 2.400% 3/15/20 10,265 10,329
  Sempra Energy 2.850% 11/15/20 9,770 9,930
  Southern Co. Gas Capital Corp. 2.450% 10/1/23 6,570 6,401
 
  Other Utility (0.0%)        
13 DBNGP Finance Co. Pty Ltd. 6.000% 10/11/19 2,440 1,951
13 Energy Partnership Gas Pty Ltd. 4.250% 6/15/20 3,270 2,546
          1,921,233
Total Corporate Bonds (Cost $34,072,209)       34,184,953
Sovereign Bonds (6.2%)        
4,9 Abu Dhabi Crude Oil Pipeline LLC 4.600% 11/2/47 10,733 10,967
  Arab Republic of Egypt 6.125% 1/31/22 14,740 15,374
  Argentine Republic 6.875% 4/22/21 23,900 26,111
  Avi Funding Co. Ltd. 2.850% 9/16/20 8,875 8,853
9 Avi Funding Co. Ltd. 2.850% 9/16/20 11,075 11,073
9 Banco de Costa Rica 5.250% 8/12/18 4,800 4,865
9 Banco del Estado de Chile 2.000% 11/9/17 6,200 6,199
9 Banco do Brasil SA 4.625% 1/15/25 8,000 7,978
  Banco Nacional de Desenvolvimento        
  Economico e Social 6.369% 6/16/18 6,830 6,980
9 Bank Nederlandse Gemeenten NV 1.125% 5/25/18 29,970 29,911
9 Bank Nederlandse Gemeenten NV 2.500% 1/23/23 2,450 2,467
16 Banque Centrale de Tunisie SA 5.625% 2/17/24 10,740 13,256
9 Banque Ouest Africaine de Developpement 5.500% 5/6/21 6,500 6,936
9 Banque Ouest Africaine de Developpement 5.000% 7/27/27 17,455 18,195
9 Bermuda 5.603% 7/20/20 19,045 20,584
9 Bermuda 4.138% 1/3/23 6,000 6,290
9 Bermuda 4.854% 2/6/24 5,800 6,317
9 BOC Aviation Ltd. 2.375% 9/15/21 14,650 14,298
9 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 4,875 4,875
9 Caixa Economica Federal 2.375% 11/6/17 12,375 12,375
  Caixa Economica Federal 4.250% 5/13/19 14,996 15,258
  CCBL Cayman Corp. Ltd. 3.250% 7/28/20 19,500 19,636
9 CDP Financial Inc. 4.400% 11/25/19 21,300 22,349
9 CDP Financial Inc. 3.150% 7/24/24 24,580 25,229
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 4,000 3,996
9 CNPC General Capital Ltd. 2.750% 5/14/19 9,765 9,825
  Corp. Andina de Fomento 2.200% 7/18/20 65,526 65,408

 

 

  Corp. Andina de Fomento 2.125% 9/27/21 31,495 30,944
  Corp. Andina de Fomento 4.375% 6/15/22 30,472 32,788
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 2,000 2,033
9 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,825 5,145
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 18,415 19,200
9 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 9,896 10,320
  Corp. Nacional del Cobre de Chile 3.000% 7/17/22 9,269 9,314
9 CPPIB Capital Inc. 1.250% 9/20/19 58,400 57,772
9,19 Dexia Credit Local SA 1.875% 9/15/21 9,765 9,603
9 Dexia Credit Local SA 2.375% 9/20/22 5,800 5,784
9 Electricite de France SA 2.150% 1/22/19 34,190 34,311
  Emirate of Abu Dhabi 3.125% 10/11/27 72,400 71,439
4,9 ENA Norte Trust 4.950% 4/25/28 1,481 1,525
  Export-Import Bank of Korea 2.875% 9/17/18 11,700 11,768
  Export-Import Bank of Korea 1.500% 10/21/19 56,405 55,398
  Export-Import Bank of Korea 5.125% 6/29/20 20,000 21,263
  Export-Import Bank of Korea 4.000% 1/29/21 2,000 2,075
  Federative Republic of Brazil 6.000% 4/7/26 21,924 24,390
4 Federative Republic of Brazil 4.625% 1/13/28 7,200 7,158
  First Abu Dhabi Bank PJSC 3.000% 8/13/19 19,500 19,725
9 Fondo MIVIVIENDA SA 3.375% 4/2/19 19,500 19,792
  Fondo MIVIVIENDA SA 3.375% 4/2/19 4,850 4,927
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 7,405 8,067
  ICBCIL Finance Co. Ltd. 2.600% 11/13/18 4,800 4,813
9 ICBCIL Finance Co. Ltd. 2.375% 5/19/19 7,900 7,858
  ICBCIL Finance Co. Ltd. 3.250% 3/17/20 5,400 5,448
  ICBCIL Finance Co. Ltd. 3.000% 4/5/20 14,640 14,698
  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 14,720 14,722
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 15,950 16,204
20 Japan Bank for International Cooperation 1.750% 7/31/18 26,800 26,799
12,20Japan Bank for International Cooperation 1.753% 7/21/20 5,856 5,878
20 Japan Bank for International Cooperation 2.125% 7/21/20 38,055 38,031
20 Japan Finance Organization for Municipalities 4.000% 1/13/21 9,750 10,210
  KazMunayGas National Co. JSC 9.125% 7/2/18 79,346 82,811
9 KazMunayGas National Co. JSC 3.875% 4/19/22 11,120 11,259
9 Kingdom of Saudi Arabia 2.375% 10/26/21 1,615 1,588
  Kingdom of Saudi Arabia 2.375% 10/26/21 70,315 69,110
  Kingdom of Saudi Arabia 2.875% 3/4/23 49,470 49,271
  Kingdom of Sweden 1.500% 7/25/19 51,720 51,514
9 Kommunalbanken AS 1.125% 5/23/18 31,300 31,230
  Korea Development Bank 1.500% 1/22/18 13,450 13,435
12 Korea Development Bank 1.999% 9/19/20 10,000 9,986
  Korea Gas Corp. 2.875% 7/29/18 4,800 4,823
  Korea National Oil Corp. 2.750% 1/23/19 14,650 14,702
9 Korea Resources Corp. 2.125% 5/2/18 4,675 4,669
9 Korea Western Power Co. Ltd. 2.875% 10/10/18 7,800 7,831
  KSA Sukuk Ltd. 2.894% 4/20/22 44,145 44,186
  Majapahit Holding BV 8.000% 8/7/19 16,600 18,216
  National Savings Bank 8.875% 9/18/18 15,360 16,063
9 Nederlandse Waterschapsbank NV 1.250% 9/9/19 19,725 19,495
9 NongHyup Bank 1.875% 9/12/21 9,765 9,382
  North American Development Bank 2.300% 10/10/18 3,675 3,686
  North American Development Bank 2.400% 10/26/22 2,700 2,675
  NTPC Ltd. 4.250% 2/26/26 3,500 3,650
9 OCP SA 5.625% 4/25/24 8,325 8,949
9 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.125% 3/20/22 54,074 54,958

 

 

9 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.875% 3/20/27 6,000 6,170
  Ooredoo Tamweel Ltd. 3.039% 12/3/18 49,560 49,867
9 Perusahaan Penerbit SBSN Indonesia II 4.000% 11/21/18 4,800 4,896
  Perusahaan Penerbit SBSN Indonesia III 4.550% 3/29/26 12,290 12,997
  Petrobras Global Finance BV 4.875% 3/17/20 9,863 10,196
  Petrobras Global Finance BV 8.375% 5/23/21 6,550 7,541
9 Petrobras Global Finance BV 5.299% 1/27/25 3,226 3,242
  Petrobras Global Finance BV 8.750% 5/23/26 1,965 2,375
  Petrobras Global Finance BV 7.375% 1/17/27 19,515 21,637
9 Petrobras Global Finance BV 5.999% 1/27/28 51,149 51,788
  Petrobras International Finance Co. SA 5.375% 1/27/21 28,003 29,438
  Petroleos Mexicanos 5.750% 3/1/18 11,700 11,835
  Petroleos Mexicanos 5.500% 2/4/19 55,125 57,170
  Petroleos Mexicanos 8.000% 5/3/19 22,730 24,630
  Petroleos Mexicanos 5.500% 1/21/21 153,554 163,560
  Petroleos Mexicanos 4.875% 1/24/22 1,240 1,289
9 Petroleos Mexicanos 6.500% 3/13/27 24,395 26,650
  Province of New Brunswick 2.750% 6/15/18 485 488
  Province of Nova Scotia 8.250% 7/30/22 12,785 15,671
  Province of Ontario 1.200% 2/14/18 5,200 5,193
  Province of Ontario 3.000% 7/16/18 15,905 16,048
  Province of Ontario 1.625% 1/18/19 71,920 71,766
  Province of Ontario 1.250% 6/17/19 24,405 24,174
  Province of Ontario 1.875% 5/21/20 9,770 9,743
  Province of Ontario 2.500% 4/27/26 5,515 5,433
  Province of Quebec 3.500% 7/29/20 4,750 4,938
7 Province of Quebec 1.456% 9/21/20 17,600 17,796
  Province of Quebec 2.750% 8/25/21 16,785 17,141
  Province of Quebec 2.375% 1/31/22 29,123 29,272
4,9 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 3,156 3,266
4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 9,962 10,307
  Republic of Colombia 7.375% 3/18/19 56,501 60,497
  Republic of Colombia 4.000% 2/26/24 1,685 1,750
4 Republic of Colombia 3.875% 4/25/27 31,325 31,591
4 Republic of Colombia 5.000% 6/15/45 6,520 6,716
  Republic of Croatia 6.750% 11/5/19 51,292 55,261
  Republic of Guatemala 4.375% 6/5/27 10,210 10,159
  Republic of Hungary 4.125% 2/19/18 14,310 14,417
  Republic of Hungary 6.250% 1/29/20 66,745 72,380
  Republic of Hungary 6.375% 3/29/21 8,340 9,341
  Republic of Indonesia 6.875% 1/17/18 40,248 40,674
  Republic of Indonesia 4.875% 5/5/21 43,905 47,179
16 Republic of Indonesia 2.875% 7/8/21 10,849 13,685
  Republic of Indonesia 3.375% 4/15/23 17,180 17,436
  Republic of Indonesia 6.625% 2/17/37 3,440 4,420
  Republic of Kazakhstan 3.875% 10/14/24 17,360 17,911
9 Republic of Latvia 2.750% 1/12/20 4,000 4,045
  Republic of Lithuania 7.375% 2/11/20 101,690 113,644
9 Republic of Lithuania 6.125% 3/9/21 8,205 9,187
  Republic of Lithuania 6.125% 3/9/21 42,040 47,071
  Republic of Panama 9.375% 4/1/29 2,345 3,512
  Republic of Poland 6.375% 7/15/19 63,180 67,977
  Republic of Poland 5.125% 4/21/21 23,840 26,045
  Republic of Poland 5.000% 3/23/22 46,710 51,381
  Republic of Romania 6.750% 2/7/22 1,502 1,731
16 Republic of Romania 2.750% 10/29/25 14,635 18,423

 

 

9 Republic of Serbia 5.250% 11/21/17 22,470 22,506
  Republic of Serbia 5.250% 11/21/17 21,608 21,625
  Republic of Serbia 5.875% 12/3/18 53,321 55,130
  Republic of Serbia 4.875% 2/25/20 3,000 3,123
  Republic of Slovenia 4.750% 5/10/18 9,758 9,891
  Republic of Slovenia 5.500% 10/26/22 11,740 13,283
9 Republic of Slovenia 5.250% 2/18/24 10,700 12,169
21 Republic of Turkey 2.803% 3/26/18 95,610 95,527
  Republic of Turkey 6.750% 4/3/18 112,445 114,403
  Republic of Turkey 7.000% 3/11/19 39,035 41,133
  Republic of Turkey 7.500% 11/7/19 9,750 10,554
  Republic of Turkey 7.000% 6/5/20 82,935 89,881
  Republic of Turkey 5.625% 3/30/21 48,779 51,462
  Republic of Turkey 6.250% 9/26/22 13,170 14,322
  Republic of Turkey 5.750% 3/22/24 36,585 38,551
  Republic of Turkey 4.875% 10/9/26 2,610 2,555
  Republic of Turkey 5.750% 5/11/47 24,209 23,150
  SABIC Capital II BV 2.625% 10/3/18 9,600 9,635
  Sinopec Group Overseas Development 2013        
  Ltd. 2.500% 10/17/18 9,765 9,796
9 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 20,200 21,784
9 Sinopec Group Overseas Development 2017        
  Ltd. 2.375% 4/12/20 39,015 39,003
  Slovak Republic 4.375% 5/21/22 3,000 3,251
9 Slovak Republic 4.375% 5/21/22 5,500 5,968
  State of Israel 4.000% 6/30/22 6,700 7,144
  State of Israel 3.150% 6/30/23 6,000 6,169
  State of Israel 2.875% 3/16/26 9,635 9,662
  State of Kuwait 2.750% 3/20/22 42,883 43,253
  State of Qatar 2.099% 1/18/18 30,300 30,262
  State of Qatar 5.250% 1/20/20 39,600 41,878
  Statoil ASA 1.200% 1/17/18 21,105 21,090
  Statoil ASA 2.250% 11/8/19 19,500 19,566
  Statoil ASA 2.900% 11/8/20 10,000 10,207
  Statoil ASA 3.150% 1/23/22 2,000 2,064
  Sultanate of Oman 5.375% 3/8/27 6,100 6,257
  Svensk Exportkredit AB 1.125% 4/5/18 9,750 9,737
9 Temasek Financial I Ltd. 4.300% 10/25/19 7,250 7,564
9 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 4,991
  United Mexican States 3.625% 3/15/22 27,053 28,183
  Vnesheconombank Via VEB Finance plc 5.450% 11/22/17 1,900 1,901
  YPF SA 8.875% 12/19/18 6,231 6,608
Total Sovereign Bonds (Cost $3,935,625)       3,966,684
Taxable Municipal Bonds (0.2%)        
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 255 256
  California Department of Water Resources        
  Water System Revenue (Central Valley        
  Project) 1.871% 12/1/19 9,545 9,544
  California GO 5.950% 3/1/18 26,110 26,502
  California GO 6.200% 10/1/19 13,650 14,777
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.107% 7/1/18 5,350 5,359
  George Washington University District of        
  Columbia GO 3.485% 9/15/22 4,800 4,959

 

 

Illinois GO 5.665% 3/1/18 4,490 4,541
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 2.217% 1/1/19 1,850 1,856
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 11,958 12,030
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 10,352 10,479
University of California Revenue 2.054% 5/15/18 3,400 3,409
University of California Revenue 1.745% 5/15/19 6,250 6,256
Total Taxable Municipal Bonds (Cost $99,038)       99,968
Tax-Exempt Municipal Bonds (0.0%)        
Calhoun County TX Navigation Industrial        
Development Authority Port Revenue (BP        
plc) VRDO (Cost $10,000) 1.020% 11/7/17 10,000 10,000
 
      Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
11,15Lehman Brothers Holdings Inc. (Cost $28,923) 7.250%   29,160 —
 
Temporary Cash Investments (7.1%)        
Money Market Fund (5.5%)        
22 Vanguard Market Liquidity Fund 1.246%   35,240,780 3,524,430
 
      Face  
      Amount  
      ($000)  
Certificates of Deposit (0.5%)        
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.700% 1/26/18 92,300 92,365
Cooperatieve Rabobank UA 1.980% 10/25/19 248,845 248,827
        341,192
Commercial Paper (1.1%)        
23 Electricite de France 1.906% 1/5/18 36,140 36,034
9,23 Electricite de France 1.832% 1/10/18 25,045 24,966
9,23 Enbridge Energy Partners LP 2.091% 11/28/17 41,000 40,935
9,23 Energy Transfer LP 2.382% 12/11/17 472,255 471,008
9,23 Engie SA 1.544% 11/9/17 20,495 20,490
9,23 Engie SA 1.544% 11/10/17 20,290 20,284
9,23 Engie SA 1.544% 11/15/17 19,055 19,046
9,23 ENTERGY Corp. 1.657% 11/30/17 14,150 14,131
9,23 Ford Motor Credit Co. LLC 2.051% 6/21/18 14,635 14,460
9,23 Ford Motor Credit Co. LLC 2.061% 7/2/18 8,780 8,666
23 Plains All American Pipeline LP 2.668% 12/13/17 14,635 14,589
9,23 Vodafone Group plc 1.770% 9/4/18 7,679 7,564
        692,173
Total Temporary Cash Investments (Cost $4,558,056)       4,557,795

 

 

Total Investments (101.2%) (Cost $64,545,316)       64,708,139
        Notional  
        Amount  
  Expiration Date Contracts Exercise Price ($000)  
Liability for Options Written (0.0%)          
Written Options on Futures (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 859 USD 127.50 109,523 (13)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 1,936 USD 124.50 241,032 (605)
Total Options on Futures Written (Premiums Received $1,069)     (618)
 
        Notional  
        Amount on  
        Underlying  
    Expiration   Swap  
  Counterparty Date Exercise Rate ($000)  
Written Swaptions on Credit Default Index (0.0%)        
Call Swaptions on CDX-NA-IG-S28-          
V1 5-Year Index GSI 11/15/17 55.0% 132,020 (277)
Put Swaptions on CDX-NA-IG-S29-          
V1 5-Year Index JPMC 12/20/17 75.0% 394,430 (100)
Total Credit Default Swaptions Written (Premiums Received $535)     (377)
 
Total Liability on Options Written (Premiums Received $1,604)     (995)
 
 
Other Assets and Liabilities-Net (-1.2%)       (764,114)
Net Assets (100%)         63,943,030

1 Securities with a value of $8,540,000 have been segregated as collateral for open forward currency contracts and
over-the-counter swap contracts.
2 Securities with a value of $13,729,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $15,249,000 have been segregated as initial margin for open futures 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 based upon one-year Constant Maturity Treasury yield plus spread.
7 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
8 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
9 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2017, the
aggregate value of these securities was $10,733,529,000, representing 16.8% of net assets.
10 Security made only partial principal and/or interest payments during the period ended October 31, 2017.
11 Security value determined using significant unobservable inputs.
12 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
13 Face amount denominated in Australian dollars.
14 Adjustable-rate security based upon 3-month AUD Australian Bank Bill Rate plus spread.
15 Non-income-producing security--security in default.
16 Face amount denominated in euro.
17 Face amount denominated in British pounds.
18 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
19 Guaranteed by multiple countries.

 

20 Guaranteed by the Government of Japan.
21 Guaranteed by the Republic of Turkey.
22 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
23 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At October
31, 2017, the aggregate value of these securities was $692,173,000, representing 1.1% of net assets.
GO—General Obligation Bond.
GSI—Goldman Sachs International.
JPMC—JP Morgan Chase Bank.
VRDO—Variable Rate Demand Obligation.

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
5-Year U.S. Treasury Note December 2017 40,214 4,712,578 (28,989)
2-Year U.S. Treasury Note December 2017 12,284 2,645,475 (9,283)
30-Year U.S. Treasury Bond December 2017 368 56,109 136
        (38,136)
Short Futures Contracts        
Ultra 10-Year U.S. Treasury Note December 2017 (15,228) (2,039,362) 24,472
10-Year U.S. Treasury Note December 2017 (3,022) (377,561) 1,005
Ultra Long U.S. Treasury Bond December 2017 (2,192) (361,201) (358)
AUD 3-Year Treasury Bond December 2017 (3,283) (280,389) (477)
Euro-Bobl December 2017 (631) (96,862) 6
Euro-Bund December 2017 (454) (86,070) (909)
Long Gilt December 2017 (234) (38,641) 855
Euro-Buxl December 2017 (65) (12,578) (34)
AUD 10-Year Treasury Bond December 2017 (60) (5,917) (7)
Euro-Schatz December 2017 (30) (3,923) (4)
        24,549
        (13,587)

 

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 3-Year Treasury Bond and AUD 10-Year Treasury Bond futures contracts, is required to be treated as realized gain (loss) for tax purposes.

 

Short-Term Investment-Grade Fund          
 
 
Forward Currency Contracts            
            Unrealized
  Contract       Appreciation
  Settlement   Contract Amount (000) (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Barclays Capital 11/15/17 EUR 19,000 USD 22,534 (383)
JPMorgan Chase Bank, N.A. 11/15/17 EUR 16,000 USD 18,735 (81)
Goldman Sachs Bank AG 11/15/17 GBP 10,000 USD 13,209 78
Goldman Sachs Bank AG 11/15/17 EUR 7,000 USD 8,243 (82)
Goldman Sachs Bank AG 11/15/17 AUD 5,400 USD 4,144 (12)
Barclays Capital 11/15/17 USD 256,106 AUD 328,000 5,112
BNP Paribas 11/15/17 USD 234,839 EUR 198,000 4,005
JPMorgan Chase Bank, N.A. 11/15/17 USD 87,754 GBP 66,700 (873)
            7,764
AUD—Australian dollar.            
EUR—euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

Centrally Cleared Credit Default Swaps        
      Periodic    
      Premium   Unrealized
      Received   Appreciation
  Termination Notional Amount (Paid)1 Value (Depreciation)
Reference Entity Date (000 ) (% ) ($000) ($000)
Credit Protection Sold          
 
CDX-NA-HY-S29-V1 12/20/22 USD 108,529 5.000 9,122 527
 
CDX-NA-IG-S29-V1 12/20/22 USD 401,007 1.000 9,275 270
        18,397 797
Credit Protection Purchased          
 
CDX-NA-IG-S28-V1 6/20/22 USD 394,597 (1.000) (8,698) (208)
iTraxx Europe Crossover Index-          
S28-V1 12/20/22 EUR 41,000 (5.000) (6,210) (718)
iTraxx Europe Subordinated          
Financials-S27-V1 6/20/22 EUR 62,900 (1.000) (351) (2,275)
        (15,260) (3,201)
        3,137 (2,404)

 

 

Short-Term Investment-Grade Fund

1 Periodic premium received/paid quarterly.
EUR—euro.
USD—U.S. dollar.

Over-the-Counter Credit Default Swaps          
 
            Remaining  
        Periodic   Up-Front  
        Premium   Premium Unrealized
      Notional Received   Received Appreciation
Reference Termination Counter Amount (Paid) Value (Paid) (Depreciation)
Entity Date party ($000) (%) ($000) ($000) ($000)
Credit Protection Sold/Moody's Rating          
Berkshire              
Hathaway              
Inc./Aa2 6/20/21 JPMC 10,030 1.0002 216 (35) 181
Berkshire              
Hathaway              
Inc./Aa2 6/20/21 GSI 6,675 1.0002 143 (37) 106
Berkshire              
Hathaway              
Inc./Aa2 12/20/21 GSI 14,650 1.0002 319 (98) 221
Berkshire              
Hathaway              
Inc./Aa2 6/20/22 BARC 32,955 1.0002 725 (522) 203
Berkshire              
Hathaway              
Inc./Aa2 12/20/22 BARC 16,580 1.0002 359 (290) 69
General              
Electric Capital              
Corp./A1 12/20/19 DBAG 29,290 1.0002 495 (268) 227
Hartford              
Financial              
Services              
Group/Baa2 3/20/18 GSCM 9,750 1.0002 35 2 37
International              
Lease Finance              
Corp./Baa3 6/20/22 BARC 22,445 1.0002 224 (10) 214
 
Metlife Inc./A3 12/20/20 GSCM 14,025 1.0002 311 - 311
 
Metlife Inc./A3 12/20/21 BARC 6,575 1.0002 155 (10) 145
People’s              
Republic of   BNPS          
China/A1 6/20/22 W 26,335 1.0002 613 (212) 401
People’s              
Republic of              
China/A1 12/20/22 GSI 53,150 1.0002 1,215 (1,081) 134
Republic of              
Chile/Aa3 12/20/22 GSI 52,630 1.0002 1,197 (1,072) 125
Republic of              
Chile/Aa3 12/20/22 CITNA 22,900 1.0002 521 (443) 78
Republic of              
Indonesia/Baa   BNPS          
3 12/20/22 W 9,410 1.0002 24 11 35
Simon              
Property              
Group LP/A2 6/20/22 JPMC 10,060 1.0002 152 2 154

 

 

Short-Term Investment-Grade Fund          
 
 
 
Simon              
Property              
Group LP/A2 6/20/22 JPMC 6,705 1.0002 101 10 111
The Southern              
Company/Baa              
2 6/20/22 JPMC 131,955 1.0002 2,636 (2,050) 586
 
Total         9,441 (6,103) 3,338
 
 
Credit Protection Purchased            
 
Aetna Inc. 12/20/2019 CSFBI 19,525 (1.000) 2 (381) 280 (101)
 
Aetna Inc. 6/20/2020 GSCM 19,530 (1.000) 2 (451) 410 (41)
Altria Group              
Inc. 12/20/2021 GSI 73,260 (1.000) 2 (2,404) 1,824 (580)
Altria Group              
Inc. 12/20/2021 GSI 14,650 (1.000) 2 (481) 365 (116)
Altria Group              
Inc. 12/20/2021 GSI 9,770 (1.000) 2 (321) 243 (78)
American              
International              
Group Inc. 6/20/2020 BOANA 11,720 (1.000) 2 (257) 116 (141)
American              
International              
Group Inc. 6/20/2020 BOANA 11,720 (1.000) 2 (257) 116 (141)
American              
International              
Group Inc. 12/20/2020 GSCM 14,025 (1.000) 2 (349) 200 (149)
American              
International              
Group Inc. 12/20/2020 GSCM 6,990 (1.000) 2 (174) (68) (242)
 
Autozone Inc. 12/20/2020 GSCM 9,760 (1.000) 2 (216) 219 3
Banco Bilbao              
Vizcaya              
Argentaria SA 6/20/2021 BOANA 24,415 (1.000) 2 (545) (130) (675)
Bank of              
America Corp. 3/20/2020 GSCM 21,610 (1.000) 2 (403) 166 (237)
Bank of China   BNPS          
Ltd. 12/20/2021 W 13,100 (1.000) 2 (261) (38) (299)
Bank of China   BNPS          
Ltd. 6/20/2022 W 26,335 (1.000) 2 (515) 4 (511)
Barclays Bank              
plc 6/20/2022 CSFBI 33,5401 (1.000) 2 (1,080) 683 (397)
Barclays Bank              
plc 6/20/2022 BOANA 33,5351 (1.000) 2 (1,080) 674 (406)
Barclays Bank              
plc 12/20/2022 CITNA 13,3501 (1.000) 2 440 (565) (125)
CECONOMY              
AG 6/20/2022 BARC 23,0901 (1.000) 2 (260) (61) (321)
CECONOMY              
AG 6/20/2022 BARC 16,5201 (1.000) 2 (186) (34) (220)
CECONOMY              
AG 6/20/2022 BARC 16,5201 (1.000) 2 (186) (45) (231)
CECONOMY              
AG 6/20/2022 BARC 9,9001 (1.000) 2 (112) (26) (138)
CECONOMY              
AG 6/20/2022 BARC 6,5901 (1.000) 2 (74) (14) (88)

 

 

Short-Term Investment-Grade Fund          
 
 
 
CECONOMY              
AG 6/20/2022 BARC 6,5901 (1.000) 2 (74) (31) (105)
CECONOMY              
AG 6/20/2022 BARC 6,5901 (1.000) 2 (74) 6 (68)
CMBX-NA-              
AAA-9 9/17/2058 DBAG 19,500 (0.500) 3 (16) (1,110) (1,126)
CMBX-NA-              
AAA-9 9/17/2058 CSFBI 19,480 (0.500) 3 (15) (680) (695)
CMBX-NA-              
AAA-9 9/17/2058 MSCS 19,330 (0.500) 3 (16) (1,024) (1,040)
CMBX-NA-              
AAA-9 9/17/2058 JPM 19,300 (0.500) 3 (16) (961) (977)
CMBX-NA-              
AAA-9 9/17/2058 MSCS 19,280 (0.500) 3 (16) (803) (819)
CMBX-NA-              
AAA-9 9/17/2058 JPM 19,150 (0.500) 3 (15) (695) (710)
CMBX-NA-              
AAA-9 9/17/2058 DBAG 18,120 (0.500) 3 (15) (692) (707)
CMBX-NA-              
AAA-9 9/17/2058 GSI 3,910 (0.500) 3 (3) (160) (163)
Commerzbank              
AG 6/20/2021 BOANA 24,410 (1.000) 2 (545) (210) (755)
CVS Health              
Corp. 12/20/2020 BOANA 9,760 (1.000) 2 (229) 213 (16)
CVS Health              
Corp. 12/20/2020 BOANA 9,760 (1.000) 2 (229) 216 (13)
CVS Health              
Corp. 12/20/2020 BOANA 4,880 (1.000) 2 (114) 108 (6)
CVS Health              
Corp. 12/20/2020 BOANA 4,880 (1.000) 2 (114) 80 (34)
CVS Health              
Corp. 12/20/2021 JPMC 29,300 (1.000) 2 (742) 704 (38)
CVS Health              
Corp. 12/20/2021 BARC 19,535 (1.000) 2 (495) 539 44
CVS Health              
Corp. 12/20/2021 BARC 6,620 (1.000) 2 (168) 178 10
Deutsche              
Bank AG 12/20/2022 JPMC 33,535 (1.000) 2 (337) 166 (171)
Deutsche              
Bank AG 12/20/2022 JPMC 20,120 (1.000) 2 (203) 117 (86)
Deutsche              
Bank AG 12/20/2022 JPMC 13,415 (1.000) 2 (135) 68 (67)
Dominion              
Energy Inc. 6/20/2022 JPMC 16,495 (1.000) 2 (530) 525 (5)
EI du Pont de              
Nemours &              
Co. 12/20/2020 JPMC 25,215 (1.000) 2 (700) 387 (313)
Enel              
Investment            
Holding BV 6/20/2022 BNPSW 33,5351 (1.000) 2 (901) 623 (278)
             
Engie SA 12/20/2021 BNPSW 16,5401 (1.000) 2 (629) 238 (391)
 
Engie SA 6/20/2022 JPMC 16,5451 (1.000) 2 (647) 353 (294)
 
Exelon Corp. 6/20/2022 JPMC 26,390 (1.000) 2 (866) 806 (60)
 
Exelon Corp. 6/20/2022 JPMC 16,495 (1.000) 2 (542) 509 (33)
Federal              
Express Corp. 12/20/2018 GSCM 21,640 (1.000) 2 (242) 79 (163)

 

 

Short-Term Investment-Grade Fund          
 
 
 
Federative              
Republic of   BNPS          
Brazil 12/20/2022 W 74,572 (1.000) 2 2,404 (3,568) (1,164)
Federative              
Republic of              
Brazil 12/20/2022 GSI 18,330 (1.000) 2 591 (877) (286)
Federative              
Republic of              
Brazil 12/20/2025 BOANA 23,222 (1.000) 2 2,155 (5,430) (3,275)
Federative              
Republic of              
Brazil 12/20/2025 GSCM 10,925 (1.000) 2 1,014 (2,383) (1,369)
Lincoln              
National Corp. 6/20/2021 BARC 3,340 (1.000) 2 (88) (67) (155)
Lincoln              
National Corp. 6/20/2021 BARC 3,335 (1.000) 2 (88) 67 (21)
Lincoln              
National Corp. 12/20/2021 BARC 6,575 (1.000) 2 (175) (13) (188)
McDonald’s              
Corp. 6/20/2022 GSI 26,675 (1.000) 2 (987) 793 (194)
McKesson              
Corp. 3/20/2019 JPMC 18,210 (1.000) 2 (233) 183 (50)
McKesson              
Corp. 3/20/2019 JPMC 18,210 (1.000) 2 (233) 179 (54)
PPG Industries              
Inc. 3/20/2018 GSCM 9,760 (1.000) 2 (34) 22 (12)
 
Raytheon Co. 12/20/2021 GSI 24,420 (1.000) 2 (877) 744 (133)
 
Raytheon Co. 12/20/2021 GSI 24,415 (1.000) 2 (876) 737 (139)
Republic of              
Korea 9/20/2018 JPMC 7,800 (1.000) 2 (34) 13 (21)
Republic of   BNPS          
Philippines 12/20/2022 W 42,450 (1.000) 2 (771) 776 5
Republic of              
South Africa 12/20/2020 JPMC 18,950 (1.000) 2 70 (957) (887)
Republic of   BNPS          
Turkey 6/20/2018 W 23,410 (1.000) 2 (91) 76 (15)
Republic of   BNPS          
Turkey 3/20/2019 W 19,520 (1.000) 2 (102) 3 (99)
Republic of   BNPS          
Turkey 3/20/2019 W 19,515 (1.000) 2 (101) 2 (99)
Republic of              
Turkey 12/20/2019 GSCM 34,740 (1.000) 2 (131) (392) (523)
Republic of              
Turkey 12/20/2019 GSCM 34,100 (1.000) 2 (128) (385) (513)
Republic of   BNPS          
Turkey 6/20/2020 W 48,800 (1.000) 2 (32) (303) (335)
Republic of   BNPS          
Turkey 6/20/2020 W 24,385 (1.000) 2 (16) (210) (226)
Republic of   BNPS          
Turkey 6/20/2020 W 19,510 (1.000) 2 (13) (71) (84)
Republic of              
Turkey 6/20/2020 GSCM 19,500 (1.000) 2 (13) (91) (104)
Republic of              
Turkey 12/20/2022 GSI 85,845 (1.000) 2 3,330 (3,326) 4
Royal Bank of   BNPS          
Scotland plc 12/20/2020 W 18,060 (1.000) 2 (390) 97 (293)
Sempra              
Energy 6/20/2022 JPMC 26,390 (1.000) 2 (840) 782 (58)

 

 

Short-Term Investment-Grade Fund          
 
 
 
Sempra              
Energy 6/20/2022 JPMC 16,495 (1.000) 2 (525) 501 (24)
Societe              
General SA 12/20/2021 JPMC 9,765 (1.000) 2 (289) 50 (239)
Standard              
Chartered              
Bank 12/20/2021 JPMC 16,475 (1.000) 2 (452) (32) (484)
 
State of Qatar 6/20/2022 CITNA 3,450 (1.000) 2 (14) (38) (52)
 
State of Qatar 6/20/2022 BOANA 1,500 (1.000) 2 (6) (17) (23)
 
UniCredit SpA 6/20/2022 JPMC 13,390 (1.000) 2 443 (926) (483)
United              
Mexican              
States 12/20/2018 DBAG 4,900 (1.000) 2 (40) (7) (47)
United              
Mexican              
States 12/20/2022 BARC 24,400 (1.000) 2 65 (117) (52)
United              
Mexican              
States 12/20/2022 JPMC 19,513 (1.000) 2 52 (186) (134)
UnitedHealth              
Group Inc. 12/20/2019 CSFBI 19,525 (1.000) 2 (397) 272 (125)
UnitedHealth              
Group Inc. 6/20/2020 CSFBI 19,530 (1.000) 2 (476) 395 (81)
Wells Fargo &              
Co. 9/20/2020 BOANA 25,940 (1.000) 2 (565) 310 (255)
 
Total         (17,074) (9,526) (26,600)
 
              (23,262)

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 Notional amount denominated in euro.
2 Periodic premium received/paid quarterly.
3 Periodic premium received/paid monthly.
BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.
CITNA—Citibank N.A.
CSFBI--Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPM--JP Morgan Securities.
JPMC--JP Morgan Chase Bank.
MSCS--Morgan Stanley Capital Services LLC.

At October 31, 2017, the counterparties had deposited in segregated accounts securities and cash with a value of $9,986,000 in connection with open forward currency contracts and over-the-counter swap contracts.

 

Short-Term Investment-Grade Fund          
 
Centrally Cleared Interest Rate Swaps          
      Fixed Floating      
      Interest Interest      
      Rate Rate     Unrealized
  Future Notional Received Receive     Appreciation
Termination Effective Amount (Paid) 2 d (Paid)   Value (Depreciation
Date Date ($000) (%) (%)   ($000) ) ($000)
12/20/18 12/20/171 406,265 1.750 (0.000) 3 130 (512)
12/20/19 12/20/171 267,801 (2.000) 0.000 3 (694) 844
12/21/20 12/20/171 71,346 (2.250) 0.000 3 (573) 242
12/20/21 12/20/171 44,924 (2.250) 0.000 3 (332) 221
12/20/22 12/20/171 78,274 (2.250) 0.000 3 (458) 486
12/20/24 12/20/171 137,108 (2.500) 0.000 3 (2,231) 1,433
            (4,158) 2,714

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net
payments beginning on a specified future effective date.
2 Fixed interest payment received/paid semi-annually.
3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment
 received/paid quarterly.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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.

 

Short-Term Investment-Grade Fund

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 10,285,709 —
Asset-Backed/Commercial Mortgage-Backed Securities — 11,488,734 114,296
Corporate Bonds — 34,184,950 3
Sovereign Bonds — 3,966,684 —
Taxable Municipal Bonds — 99,968 —
Tax-Exempt Municipal Bonds — 10,000 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 3,524,430 1,033,365 —
Liability for Options Written (618) (377) —
Futures Contracts—Assets1 1,490 — —
Futures Contracts—Liabilities1 (5,673) — —
Forward Currency Contracts—Assets — 9,195 —
Forward Currency Contracts—Liabilities — (1,431) —
Swap Contracts—Assets 3921 3,404 —
Swap Contracts—Liabilities (328)1 (26,666) —
Total 3,519,693 61,053,535 114,299
1 Represents variation margin on the last day of the reporting period.      

 

D. 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

 

Short-Term Investment-Grade Fund

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 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).

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

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

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.

 

Short-Term Investment-Grade Fund

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

The fund 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.

G. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is

 

Short-Term Investment-Grade Fund

that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options contracts are 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.

H. At October 31, 2017, the cost of investment securities for tax purposes was $64,548,758,000. Net unrealized appreciation of investment securities for tax purposes was $159,381,000, consisting of unrealized gains of $367,844,000 on securities that had risen in value since their purchase and $208,463,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Federal Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.0%)        
U.S. Government Securities (15.9%)        
  United States Treasury Inflation Indexed Bonds 0.375% 1/15/27 34,155 34,248
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/46 4,040 4,255
  United States Treasury Inflation Indexed Bonds 0.875% 2/15/47 7,000 7,026
  United States Treasury Note/Bond 0.875% 7/15/18 56,000 55,799
  United States Treasury Note/Bond 1.375% 7/31/18 45,500 45,486
  United States Treasury Note/Bond 0.750% 8/31/18 275,000 273,454
  United States Treasury Note/Bond 0.750% 9/30/18 176,800 175,667
  United States Treasury Note/Bond 1.250% 5/31/19 10,500 10,451
  United States Treasury Note/Bond 1.625% 10/15/20 46,500 46,362
  United States Treasury Note/Bond 1.375% 5/31/21 99,740 98,119
1 United States Treasury Note/Bond 1.125% 6/30/21 45,000 43,847
  United States Treasury Note/Bond 1.125% 7/31/21 41,500 40,398
2 United States Treasury Note/Bond 1.625% 8/31/22 8,100 7,957
  United States Treasury Note/Bond 1.875% 9/30/22 2,000 1,987
  United States Treasury Note/Bond 2.250% 8/15/27 3,100 3,065
          848,121
Agency Bonds and Notes (71.9%)        
3 AID-Iraq 2.149% 1/18/22 67,135 67,275
3 AID-Israel 0.000% 11/1/19 14,470 13,886
3 AID-Israel 5.500% 9/18/23 12,700 14,922
3 AID-Israel 5.500% 4/26/24 4,100 4,867
3 AID-Jordan 2.578% 6/30/22 33,500 33,959
3 AID-Tunisia 1.416% 8/5/21 12,300 11,985
3 AID-Ukraine 1.844% 5/16/19 11,665 11,722
3 AID-Ukraine 1.471% 9/29/21 18,850 18,429
4 Fannie Mae Interest Strip 0.000% 1/15/19 1,560 1,529
4 Fannie Mae Principal Strip 0.000% 2/1/19 25,682 25,162
5 Federal Home Loan Banks 0.625% 8/7/18 6,440 6,402
5 Federal Home Loan Banks 1.750% 12/14/18 3,000 3,007
5 Federal Home Loan Banks 1.250% 1/16/19 45,400 45,235
5 Federal Home Loan Banks 1.375% 3/18/19 100,200 99,928
5 Federal Home Loan Banks 5.375% 5/15/19 46,000 48,633
5 Federal Home Loan Banks 1.375% 5/28/19 82,800 82,519
5 Federal Home Loan Banks 0.875% 8/5/19 83,500 82,404
5 Federal Home Loan Banks 1.500% 10/21/19 77,000 76,771
5 Federal Home Loan Banks 1.750% 6/12/20 20,000 20,001
5,6 Federal Home Loan Banks 1.800% 8/28/20 50,000 49,848
5,6 Federal Home Loan Banks 1.800% 8/28/20 123,250 122,877
5 Federal Home Loan Banks 1.375% 9/28/20 116,400 115,042
4,6 Federal Home Loan Mortgage Corp. 1.050% 5/25/18 50,000 49,903
4,6 Federal Home Loan Mortgage Corp. 1.060% 6/22/18 50,000 49,882
4,6 Federal Home Loan Mortgage Corp. 1.050% 7/27/18 50,000 49,852
4 Federal Home Loan Mortgage Corp. 0.875% 10/12/18 131,510 130,766
4,6 Federal Home Loan Mortgage Corp. 1.050% 11/7/18 75,000 74,618
4 Federal Home Loan Mortgage Corp. 1.125% 4/15/19 96,250 95,617
4,6 Federal Home Loan Mortgage Corp. 1.275% 6/28/19 50,000 49,664
4 Federal Home Loan Mortgage Corp. 0.875% 7/19/19 73,550 72,621
4,6 Federal Home Loan Mortgage Corp. 1.250% 7/26/19 50,000 49,618

 

 

4 Federal Home Loan Mortgage Corp. 1.375% 8/15/19 105,000 104,521
4 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 120,650 119,733
4 Federal Home Loan Mortgage Corp. 1.500% 1/17/20 66,700 66,406
4,6 Federal Home Loan Mortgage Corp. 1.800% 4/13/20 75,000 74,859
4 Federal Home Loan Mortgage Corp. 1.625% 9/29/20 43,600 43,399
4,6 Federal Home Loan Mortgage Corp. 1.700% 9/29/20 164,060 163,130
4,6 Federal Home Loan Mortgage Corp. 1.800% 9/29/20 75,000 74,748
4,6 Federal National Mortgage Assn. 1.250% 9/27/18 10,000 9,982
4 Federal National Mortgage Assn. 1.375% 1/28/19 33,750 33,676
4 Federal National Mortgage Assn. 1.000% 2/26/19 14,150 14,046
4,6 Federal National Mortgage Assn. 1.250% 2/26/19 75,000 74,609
4,6 Federal National Mortgage Assn. 1.250% 6/13/19 50,000 49,656
4 Federal National Mortgage Assn. 0.875% 8/2/19 16,950 16,729
4 Federal National Mortgage Assn. 0.000% 10/9/19 275,300 265,676
4,6 Federal National Mortgage Assn. 1.250% 11/25/19 75,000 74,237
4,6 Federal National Mortgage Assn. 1.150% 11/29/19 77,500 76,610
4,6 Federal National Mortgage Assn. 1.750% 1/17/20 50,000 49,910
4 Federal National Mortgage Assn. 1.500% 7/30/20 89,250 88,633
4 Federal National Mortgage Assn. 1.875% 9/24/26 75,650 71,738
5 Financing Corp. 0.000% 5/11/18 108,000 107,208
5 Financing Corp. 0.000% 11/2/18 1,540 1,516
5 Financing Corp. 0.000% 12/6/18 32,496 31,924
5 Financing Corp. 0.000% 3/7/19 3,910 3,824
  Government Trust Certificate 0.000% 4/1/20 10,419 9,876
  Private Export Funding Corp. 4.375% 3/15/19 9,570 9,916
  Private Export Funding Corp. 1.450% 8/15/19 24,042 23,893
  Private Export Funding Corp. 2.250% 3/15/20 12,393 12,516
  Private Export Funding Corp. 2.300% 9/15/20 17,450 17,640
  Private Export Funding Corp. 4.300% 12/15/21 4,430 4,815
  Private Export Funding Corp. 2.800% 5/15/22 13,545 13,920
  Private Export Funding Corp. 3.550% 1/15/24 15,500 16,567
  Private Export Funding Corp. 2.450% 7/15/24 5,300 5,300
  Private Export Funding Corp. 3.250% 6/15/25 16,200 16,957
  Residual Funding Corp. Principal Strip 0.000% 1/15/21 43,408 40,818
  Resolution Funding Corp. Interest Strip 0.000% 1/15/27 1,584 1,223
  Resolution Funding Corp. Interest Strip 0.000% 4/15/27 13,756 10,530
  Resolution Funding Corp. Interest Strip 0.000% 7/15/27 7,094 5,386
  Resolution Funding Corp. Interest Strip 0.000% 10/15/27 7,094 5,333
  Resolution Funding Corp. Principal Strip 0.000% 10/15/19 124,331 120,181
  Resolution Funding Corp. Principal Strip 0.000% 7/15/20 93,000 88,436
  Resolution Funding Corp. Principal Strip 0.000% 10/15/20 214,117 202,606
5 Tennessee Valley Authority 4.700% 7/15/33 20,990 25,026
5 Tennessee Valley Authority Principal Strip 0.000% 11/1/25 17,342 14,040
          3,840,693
Conventional Mortgage-Backed Securities (10.0%)        
4,6 Fannie Mae Pool 2.000% 10/1/27–1/1/32 23,091 22,713
4,6,7Fannie Mae Pool 2.500% 2/1/28–11/1/32 138,585 139,360
4,6,7Fannie Mae Pool 3.000% 12/1/20–11/1/32 114,572 117,598
4,6 Fannie Mae Pool 3.500% 8/1/20–5/1/30 45,018 47,045
4,6 Fannie Mae Pool 4.000% 6/1/18–12/1/28 14,125 14,729
4,6 Fannie Mae Pool 4.500% 1/1/18–10/1/25 2,795 2,848
4,6 Fannie Mae Pool 5.000% 11/1/17–3/1/38 4,392 4,643
4,6 Fannie Mae Pool 5.500% 11/1/17–1/1/25 609 619
4,6 Fannie Mae Pool 6.000% 5/1/24 1 1
4,6 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 7,754 7,644
4,6,7Freddie Mac Gold Pool 2.500% 6/1/22–11/1/32 82,187 82,636
4,6,7Freddie Mac Gold Pool 3.000% 4/1/27–11/1/32 54,781 56,162

 

 

4,6 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 16,646 17,431
4,6 Freddie Mac Gold Pool 4.000% 6/1/18–1/1/29 9,038 9,428
4,6 Freddie Mac Gold Pool 4.500% 5/1/18–9/1/26 5,976 6,153
4,6 Freddie Mac Gold Pool 5.000% 11/1/17–6/1/25 2,355 2,415
4,6 Freddie Mac Gold Pool 5.500% 7/1/18–2/1/19 18 18
4,6 Freddie Mac Gold Pool 6.000% 10/1/18 6 6
          531,449
Nonconventional Mortgage-Backed Securities (1.2%)        
4,6,8Fannie Mae Pool 3.094% 12/1/40 1,890 1,991
4,6,9Fannie Mae REMICS 2005-45 1.608% 6/25/35 1,084 1,086
4,6,9Fannie Mae REMICS 2005-95 1.648% 11/25/35 1,448 1,456
4,6,9Fannie Mae REMICS 2006-46 1.558% 6/25/36 4,031 4,027
4,6,9Fannie Mae REMICS 2007-4 1.683% 2/25/37 521 524
4,6,9Fannie Mae REMICS 2012-122 1.638% 11/25/42 1,479 1,480
4,6,9Fannie Mae REMICS 2013-19 1.538% 9/25/41 2,042 2,035
4,6,9Fannie Mae REMICS 2013-39 1.588% 5/25/43 1,907 1,902
4,6,9Fannie Mae REMICS 2015-22 1.538% 4/25/45 1,602 1,593
4,6,9Fannie Mae REMICS 2016-55 1.738% 8/25/46 3,147 3,171
4,6,9Fannie Mae REMICS 2016-60 1.488% 9/25/46 6,470 6,449
4,6,9Fannie Mae REMICS 2016-62 1.638% 9/25/46 6,446 6,468
4,6,9Fannie Mae REMICS 2016-93 1.588% 12/25/46 12,257 12,267
4,6,8Freddie Mac Non Gold Pool 3.172% 9/1/37 5,988 6,327
4,6 Freddie Mac Non Gold Pool 3.269% 7/1/33 1,036 1,090
4,6,8Freddie Mac Non Gold Pool 3.329% 7/1/35 7,588 7,983
4,6,9Freddie Mac REMICS 1.589% 11/15/36–8/15/43 3,047 3,050
4,6,9Freddie Mac REMICS 1.599% 11/15/36 1,034 1,036
4,6,9Freddie Mac REMICS 1.689% 6/15/42 571 574
          64,509
Total U.S. Government and Agency Obligations (Cost $5,313,372)   5,284,772
 
        Shares  
Temporary Cash Investment (2.3%)        
Money Market Fund (2.3%)        
 10 Vanguard Market Liquidity Fund (Cost $121,788) 1.246%   1,217,789 121,791
Total Investments (101.3%) (Cost $5,435,160)       5,406,563

 

        Notional  
  Expiration   Exercise Amount Value
  Date Contracts Price ($000) ($000)
Liability for Options Written (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 73 USD 127.50 9,308 (1)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 164 USD 124.50 20,418 (51)
Total Liability on Options Written (Premiums Received $91)     (52)
Other Assets and Liabilities-Net (-1.3%)         (67,485)
Net Assets (100%)         5,339,026

1 Securities with a value of $278,000 have been segregated as collateral for certain open To Be Announced (TBA)
transactions.
2 Securities with a value of $1,179,000 have been segregated as initial margin for open futures contracts.
3 U.S. government-guaranteed.
4 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.

 

5 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.
6 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.
7 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of October 31, 2017.
8 Adjustable-rate security based upon one-year Constant Maturity Treasury yield plus spread.
9 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REMICS—Real Estate Mortgage Investment Conduits.

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note December 2017  2,647 570,056 (1,284)
5-Year U.S. Treasury Note December 2017 3,804  445,781 (2,125)
10-Year U.S. Treasury Note December 2017 515  64,343 (166)
        (3,575)
Short Futures Contracts        
Ultra 10-Year U.S. Treasury Note December 2017 (1,618) (216,686) 3,008
Ultra Long U.S. Treasury Bond December 2017 (289) (47,622) (101)
30-Year U.S. Treasury Bond December 2017 (24) (3,659) 1
        2,908
        (667)

 

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

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market

 

Short-Term Federal Fund

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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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 or Payables for Investment Securities Purchased.

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

Investments Level 1) Level 2) Level 3)

 

 

Short-Term Federal Fund      
 
 
  ($000 ($000 ($000
U.S. Government and Agency Obligations — 5,284,772 —
Temporary Cash Investments 121,791 — —
Liability for Options Written (52) — —
Futures Contracts—Assets1 76 — —
Futures Contracts—Liabilities1 (487) — —
Total 121,328 5,284,772 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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 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).

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.

F. At October 31, 2017, the cost of investment securities for tax purposes was $5,435,160,000. Net unrealized depreciation of investment securities for tax purposes was $28,597,000, consisting of unrealized gains of $2,754,000 on securities that had risen in value since their purchase and $31,351,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Long-Term Treasury Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (98.5%)        
U.S. Government Securities (95.9%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 22,852 22,914
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 2,580 2,717
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 4,300 4,316
  United States Treasury Note/Bond 6.500% 11/15/26 4,800 6,439
  United States Treasury Note/Bond 5.250% 11/15/28 36,300 46,362
  United States Treasury Note/Bond 5.250% 2/15/29 18,238 23,370
  United States Treasury Note/Bond 6.250% 5/15/30 16,000 22,593
  United States Treasury Note/Bond 5.375% 2/15/31 44,000 58,616
  United States Treasury Note/Bond 4.500% 2/15/36 42,364 54,213
  United States Treasury Note/Bond 4.750% 2/15/37 4,000 5,286
  United States Treasury Note/Bond 5.000% 5/15/37 56,800 77,275
  United States Treasury Note/Bond 4.375% 2/15/38 34,400 43,527
  United States Treasury Note/Bond 4.500% 5/15/38 500 643
  United States Treasury Note/Bond 4.250% 5/15/39 30,324 37,806
  United States Treasury Note/Bond 4.500% 8/15/39 20,336 26,198
  United States Treasury Note/Bond 4.375% 11/15/39 44,496 56,426
  United States Treasury Note/Bond 4.625% 2/15/40 74,412 97,573
  United States Treasury Note/Bond 4.375% 5/15/40 54,381 69,063
  United States Treasury Note/Bond 3.875% 8/15/40 43,315 51,328
  United States Treasury Note/Bond 4.250% 11/15/40 45,222 56,535
  United States Treasury Note/Bond 4.750% 2/15/41 67,575 90,423
  United States Treasury Note/Bond 4.375% 5/15/41 40,000 50,975
  United States Treasury Note/Bond 3.750% 8/15/41 44,995 52,412
  United States Treasury Note/Bond 3.125% 11/15/41 15,876 16,747
  United States Treasury Note/Bond 3.125% 2/15/42 3,500 3,689
  United States Treasury Note/Bond 3.000% 5/15/42 11,083 11,431
  United States Treasury Note/Bond 2.750% 8/15/42 68,131 67,120
  United States Treasury Note/Bond 2.750% 11/15/42 84,475 83,116
  United States Treasury Note/Bond 3.125% 2/15/43 107,021 112,506
1 United States Treasury Note/Bond 2.875% 5/15/43 147,711 148,426
  United States Treasury Note/Bond 3.625% 8/15/43 145,053 165,859
  United States Treasury Note/Bond 3.750% 11/15/43 156,808 183,122
  United States Treasury Note/Bond 3.625% 2/15/44 120,999 138,544
  United States Treasury Note/Bond 3.375% 5/15/44 125,802 138,166
  United States Treasury Note/Bond 3.125% 8/15/44 91,500 96,161
  United States Treasury Note/Bond 3.000% 11/15/44 95,429 97,994
  United States Treasury Note/Bond 2.500% 2/15/45 103,246 95,987
  United States Treasury Note/Bond 3.000% 5/15/45 132,707 136,149
  United States Treasury Note/Bond 2.875% 8/15/45 127,670 127,770
  United States Treasury Note/Bond 3.000% 11/15/45 137,418 140,875
  United States Treasury Note/Bond 2.500% 2/15/46 129,950 120,406
  United States Treasury Note/Bond 2.500% 5/15/46 126,723 117,318
  United States Treasury Note/Bond 2.250% 8/15/46 74,953 65,678
  United States Treasury Note/Bond 2.875% 11/15/46 156,726 156,629
  United States Treasury Note/Bond 3.000% 2/15/47 132,227 135,451
  United States Treasury Note/Bond 3.000% 5/15/47 57,808 59,217

 

 

  United States Treasury Note/Bond   2.750% 8/15/47 58,500 56,992
            3,432,363
Agency Bonds and Notes (2.0%)          
2 Fannie Mae Interest Strip   0.000% 5/15/29 4,592 3,235
2 Fannie Mae Principal Strip   0.000% 5/15/30 25,912 17,844
2 Federal Home Loan Mortgage Corp.   0.000% 12/14/29 20,000 13,862
2 Freddie Mac Coupon Strips   0.000% 3/15/28 1,771 1,303
2 Freddie Mac Coupon Strips   0.000% 9/15/28 1,000 722
2 Freddie Mac Coupon Strips   0.000% 1/15/30 15,658 10,799
2 Freddie Mac Coupon Strips   0.000% 3/15/30 12,896 8,838
  Resolution Funding Corp. Interest Strip   0.000% 4/15/28 21,802 16,057
            72,660
Conventional Mortgage-Backed Securities (0.0%)        
 
2,3 Fannie Mae Pool     2/1/26–    
      6.000% 11/1/28 14 15
            15
Nonconventional Mortgage-Backed Securities (0.6%)        
2,3,4 Fannie Mae REMICS 2016-1   1.588% 2/25/46 6,852,996 6,820
2,3,4 Fannie Mae REMICS 2016-6   1.688% 2/25/46 4,546,087 4,561
2,3,4 Freddie Mac REMICS   1.639% 5/15/46 4,679 4,695
2,3,4 Freddie Mac REMICS   1.689% 10/15/46 4,058 4,084
            20,160
Total U.S. Government and Agency Obligations (Cost $3,394,415)     3,525,198
Temporary Cash Investment (0.9%)          
            Market
            Value
      Coupon   Shares ($000)
Money Market Fund (0.9%)          
5 Vanguard Market Liquidity Fund (Cost          
  $31,849)   1.246%   318,451 31,848
 
Options Purchased (0.0%)          
    Expiration     Notional Value
    Date Contracts Exercise Price Amount ($000)
Options on Futures Purchased (0.0%)          
  Call Option on 2 Year U.S. Treasury Note (Cost        
$40) 11/24/17 440 USD $107.88 94,930 21
Total Investments (99.4%) (Cost $3,426,304)         3,557,067
 
Liability for Options Written (0.0%)          
  Call Options on 10-year U.S. Treasury Note          
  Futures Contracts 11/24/17 (50) USD $127.50 (6,375) (1)
  Put Options on 2-year U.S. Treasury Note          
  Futures Contracts 11/24/17 (440) USD $107.63 (94,710) (55)
  Put Options on 10-year U.S. Treasury Note          
  Futures Contracts 11/24/17 (111) USD $124.50 (13,820) (35)
Total Liability for Options Written (Premiums received $135)     (91)
 
Other Assets and Liabilities-Net (0.6%)         22,259
Net Assets (100%)         3,579,235

1 Securities with a value of $2,661,000 have been segregated as initial margin for open futures contracts.

 

2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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.
USD—United School District.
REMICS—Real Estate Mortgage Investment Conduits

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
5-Year U.S. Treasury Note December 2017 1,354 158,672 (871)
30-Year U.S. Treasury Bond December 2017 427 65,104 265
10-Year U.S. Treasury Note December 2017 257 32,109 (74)
Ultra Long U.S. Treasury Bond December 2017 33 5,438 6
        (674)
Short Futures Contracts        
Ultra 10-Year U.S. Treasury Note December 2017 (603) (80,755) 568
        568
        (106)

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

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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-

 

Long-Term Treasury Fund

backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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 or Payables for Investment Securities Purchased.

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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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 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).

 

Long-Term Treasury Fund

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.

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,525,198 —
Temporary Cash Investments 31,848 — —
Options Purchased 21 — —
Liability for Option Written (91) — —
Futures Contracts—Assets1 219 — —
Futures Contracts—Liabilities1 (224) — —
Total 31,773 3,525,198 —
1 Represents variation margin on the last day of the reporting period.      

 

F. At October 31, 2017, the cost of investment securities for tax purposes was $3,426,264,000. Net unrealized appreciation of investment securities for tax purposes was $130,782,000, consisting of unrealized gains of $150,670,000 on securities that had risen in value since their purchase and $19,888,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Treasury Fund

Schedule of Investments (unaudited)
As of October 31, 2017

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (96.5%)        
U.S. Government Securities (88.1%)        
United States Treasury Inflation Indexed Bonds 0.375% 1/15/27 50,122 50,258
United States Treasury Inflation Indexed Bonds 1.000% 2/15/46 5,580 5,877
United States Treasury Inflation Indexed Bonds 0.875% 2/15/47 9,400 9,435
United States Treasury Note/Bond 1.000% 8/15/18 103,500 103,144
United States Treasury Note/Bond 0.750% 8/31/18 393,300 391,090
United States Treasury Note/Bond 1.500% 8/31/18 699,000 699,329
United States Treasury Note/Bond 1.000% 9/15/18 180,000 179,269
United States Treasury Note/Bond 0.750% 9/30/18 202,000 200,705
United States Treasury Note/Bond 1.375% 9/30/18 322,000 321,697
United States Treasury Note/Bond 0.875% 10/15/18 42,000 41,757
United States Treasury Note/Bond 0.750% 10/31/18 150,000 148,922
United States Treasury Note/Bond 1.250% 10/31/18 315,000 314,212
United States Treasury Note/Bond 1.750% 10/31/18 101,700 101,954
United States Treasury Note/Bond 1.250% 11/15/18 70,000 69,825
United States Treasury Note/Bond 1.250% 11/30/18 83,500 83,265
United States Treasury Note/Bond 1.375% 11/30/18 48,000 47,932
United States Treasury Note/Bond 1.250% 12/31/18 56,800 56,631
United States Treasury Note/Bond 0.750% 2/15/19 50,000 49,516
United States Treasury Note/Bond 1.500% 2/28/19 52,000 51,984
United States Treasury Note/Bond 1.625% 3/31/19 3,000 3,004
United States Treasury Note/Bond 1.250% 4/30/19 15,000 14,937
United States Treasury Note/Bond 3.125% 5/15/19 20,000 20,475
United States Treasury Note/Bond 1.250% 6/30/19 220,000 218,865
United States Treasury Note/Bond 0.750% 7/15/19 213,000 210,071
United States Treasury Note/Bond 0.875% 7/31/19 32,750 32,356
United States Treasury Note/Bond 1.375% 7/31/19 250,000 249,140
United States Treasury Note/Bond 1.625% 7/31/19 200,000 200,124
United States Treasury Note/Bond 1.000% 8/31/19 162,000 160,304
United States Treasury Note/Bond 1.250% 8/31/19 170,000 168,965
United States Treasury Note/Bond 1.750% 9/30/19 23,000 23,065
United States Treasury Note/Bond 1.000% 10/15/19 50,000 49,430
United States Treasury Note/Bond 1.500% 10/31/19 1,000 998
United States Treasury Note/Bond 1.000% 11/15/19 20,000 19,756
United States Treasury Note/Bond 1.000% 11/30/19 95,000 93,813
United States Treasury Note/Bond 1.375% 12/15/19 77,000 76,603
United States Treasury Note/Bond 1.125% 12/31/19 12,000 11,873
United States Treasury Note/Bond 1.625% 12/31/19 50,000 49,985
United States Treasury Note/Bond 1.375% 1/15/20 17,807 17,704
United States Treasury Note/Bond 1.250% 1/31/20 89,500 88,731
United States Treasury Note/Bond 3.625% 2/15/20 40,000 41,769
United States Treasury Note/Bond 1.250% 2/29/20 25,000 24,770
United States Treasury Note/Bond 1.125% 3/31/20 13,000 12,833
United States Treasury Note/Bond 1.375% 3/31/20 43,100 42,790
United States Treasury Note/Bond 1.500% 4/15/20 20,000 19,912
United States Treasury Note/Bond 1.375% 4/30/20 154,350 153,192
United States Treasury Note/Bond 1.500% 5/15/20 33,000 32,845
United States Treasury Note/Bond 1.375% 5/31/20 49,600 49,213
United States Treasury Note/Bond 1.500% 5/31/20 126,000 125,370
United States Treasury Note/Bond 1.625% 6/30/20 153,700 153,388

 

 

  United States Treasury Note/Bond 1.875% 6/30/20 49,100 49,315
  United States Treasury Note/Bond 1.500% 7/15/20 27,200 27,047
  United States Treasury Note/Bond 1.625% 7/31/20 110,000 109,743
  United States Treasury Note/Bond 2.625% 8/15/20 24,000 24,589
  United States Treasury Note/Bond 1.750% 10/31/20 12,000 12,002
  United States Treasury Note/Bond 2.625% 11/15/20 4,750 4,872
  United States Treasury Note/Bond 1.625% 11/30/20 59,500 59,249
  United States Treasury Note/Bond 2.000% 11/30/20 42,000 42,289
  United States Treasury Note/Bond 1.750% 12/31/20 23,415 23,389
  United States Treasury Note/Bond 2.375% 12/31/20 30,000 30,548
  United States Treasury Note/Bond 1.375% 1/31/21 140,000 138,141
1 United States Treasury Note/Bond 2.125% 1/31/21 64,000 64,660
  United States Treasury Note/Bond 3.625% 2/15/21 32,000 33,870
  United States Treasury Note/Bond 1.125% 2/28/21 62,000 60,634
  United States Treasury Note/Bond 2.000% 2/28/21 25,000 25,160
  United States Treasury Note/Bond 1.375% 4/30/21 35,000 34,464
  United States Treasury Note/Bond 1.125% 7/31/21 150,000 146,016
  United States Treasury Note/Bond 1.125% 8/31/21 125,000 121,524
  United States Treasury Note/Bond 1.250% 10/31/21 165,000 160,901
  United States Treasury Note/Bond 1.750% 11/30/21 105,600 104,923
  United States Treasury Note/Bond 1.875% 11/30/21 90,000 89,915
  United States Treasury Note/Bond 2.000% 12/31/21 120,000 120,356
  United States Treasury Note/Bond 1.750% 3/31/22 14,000 13,875
  United States Treasury Note/Bond 1.875% 4/30/22 5,000 4,978
  United States Treasury Note/Bond 1.750% 6/30/22 70,000 69,257
  United States Treasury Note/Bond 1.875% 7/31/22 44,000 43,739
          6,908,539
Agency Bonds and Notes (7.8%)        
2 AID-Iraq 2.149% 1/18/22 52,411 52,521
2 AID-Tunisia 1.416% 8/5/21 16,500 16,077
2 AID-Ukraine 1.471% 9/29/21 25,950 25,371
3 Fannie Mae Interest Strip 0.000% 1/15/19 2,197 2,153
3 Fannie Mae Principal Strip 0.000% 2/1/19 9,900 9,699
3 Federal National Mortgage Assn. 0.000% 10/9/19 162,100 156,433
4 Financing Corp. 0.000% 5/11/18 72,000 71,472
4 Financing Corp. 0.000% 11/2/18 2,150 2,116
4 Financing Corp. 0.000% 3/7/19 5,475 5,354
  Private Export Funding Corp. 4.375% 3/15/19 13,330 13,812
  Private Export Funding Corp. 1.450% 8/15/19 30,534 30,345
  Private Export Funding Corp. 2.250% 3/15/20 5,800 5,858
  Private Export Funding Corp. 2.300% 9/15/20 7,550 7,632
  Residual Funding Corp. Principal Strip 0.000% 1/15/21 47,000 44,195
  Resolution Funding Corp. Principal Strip 0.000% 10/15/19 101,170 97,793
  Resolution Funding Corp. Principal Strip 0.000% 7/15/20 19,100 18,163
  Resolution Funding Corp. Principal Strip 0.000% 10/15/20 58,220 55,090
          614,084
Conventional Mortgage-Backed Securities (0.0%)        
3,5 Freddie Mac Gold Pool 6.000% 5/1/18–4/1/28 97 109
          109
Nonconventional Mortgage-Backed Securities (0.6%)        
3,5,6Fannie Mae REMICS 2016-1 1.588% 2/25/46 12,417 12,358
3,5,6Fannie Mae REMICS 2016-6 1.688% 2/25/46 8,286 8,312
3,5,6Fannie Mae REMICS 2016-93 1.588% 12/25/46 8,994 9,002
3,5,6Freddie Mac REMICS 1.639% 5/15/46 8,882 8,912

 

 

3,5,6Freddie Mac REMICS   1.689% 10/15/46 7,800 7,850
          46,434
Total U.S. Government and Agency Obligations (Cost $7,590,148)     7,569,166
Temporary Cash Investment (3.1%)          
    Coupon   Shares  
Money Market Fund (3.1%)          
7 Vanguard Market Liquidity Fund (Cost          
$246,778)   1.246%   2,467,335 246,758
        Notional  
  Expiration   Exercise Amount Value
  Date Contracts Price ($000) ($000)
Options on Futures Purchased (0.0%)          
Call Options on 2-Year U.S.          
Treasury Note Futures Contracts          
(Cost $87) 11/24/17 955 USD 107.88 206,041 45
Total Investments (99.6%) (Cost $7,837,013)       7,815,969
Liability for Options Written (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 108 USD 127.50 13,770 (2)
Put Options on 2-Year U.S.          
Treasury Note Futures Contracts 11/24/17 955 USD 107.63 205,564 (119)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 241 USD 124.50 30,005 (75)
Total Liability on Options Written (Premiums Received $292)     (196)
Other Assets and Liabilities-Net (0.4%)         27,926
Net Assets (100%)         7,843,699

1 Securities with a value of $3,940,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
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 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.
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 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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.
REMICS—Real Estate Mortgage Investment Conduits

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note December 2017 5,686 1,224,533 (2,093)
5-Year U.S. Treasury Note December 2017 5,030 589,453 181

 

 

Vanguard Fiduciary Trust Company - Short-Term Treasury Fund      
 
 
10-Year U.S. Treasury Note December 2017 539 67,341 (165)
30-Year U.S. Treasury Bond December 2017 198 30,189 88
        (1,989)
 
Short Futures Contracts        
Ultra 10-Year U.S. Treasury Note December 2017 (1,385) (185,482) 2,498
Ultra Long U.S. Treasury Bond December 2017 (412) (67,890) (142)
        2,356
        367

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

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

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

 

Vanguard Fiduciary Trust Company - Short-Term Treasury Fund

proceeds of the sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 7,569,166 —
Temporary Cash Investments 246,758 — —
Options on Futures Purchased 45 — —
Liability for Options Written (196) — —
Futures Contracts—Assets1 83 — —
Futures Contracts—Liabilities1 (731) — —
Total 245,959 7,569,166 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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.

 

Vanguard Fiduciary Trust Company - Short-Term Treasury Fund

Futures contracts are valued at their quoted daily settlement prices. 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).

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.

F. At October 31, 2017, the cost of investment securities for tax purposes was $7,836,926,000. Net unrealized depreciation of investment securities for tax purposes was $21,002,000, consisting of unrealized gains of $472,000 on securities that had risen in value since their purchase and $21,474,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Treasury Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.5%)        
U.S. Government Securities (94.2%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 39,887 39,996
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 4,600 4,845
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 7,800 7,829
  United States Treasury Note/Bond 1.750% 12/31/20 20,000 19,978
  United States Treasury Note/Bond 1.125% 2/28/21 138,693 135,638
  United States Treasury Note/Bond 2.000% 2/28/21 50,000 50,320
  United States Treasury Note/Bond 1.250% 3/31/21 86,769 85,142
  United States Treasury Note/Bond 2.250% 3/31/21 77,000 78,095
  United States Treasury Note/Bond 1.375% 4/30/21 100,321 98,785
  United States Treasury Note/Bond 2.250% 4/30/21 78,000 79,097
  United States Treasury Note/Bond 1.375% 5/31/21 81,959 80,627
  United States Treasury Note/Bond 2.000% 5/31/21 75,000 75,398
  United States Treasury Note/Bond 2.125% 6/30/21 45,000 45,422
  United States Treasury Note/Bond 1.125% 7/31/21 56,950 55,437
  United States Treasury Note/Bond 2.250% 7/31/21 98,663 100,004
  United States Treasury Note/Bond 2.125% 8/15/21 35,000 35,323
  United States Treasury Note/Bond 1.125% 8/31/21 118,800 115,496
  United States Treasury Note/Bond 2.000% 8/31/21 35,000 35,153
  United States Treasury Note/Bond 1.125% 9/30/21 53,500 51,962
  United States Treasury Note/Bond 2.125% 9/30/21 75,000 75,644
  United States Treasury Note/Bond 1.250% 10/31/21 25,000 24,379
  United States Treasury Note/Bond 2.000% 10/31/21 5,000 5,020
  United States Treasury Note/Bond 1.750% 11/30/21 128,400 127,577
  United States Treasury Note/Bond 2.000% 12/31/21 126,500 126,876
  United States Treasury Note/Bond 2.125% 12/31/21 117,000 117,932
  United States Treasury Note/Bond 1.500% 1/31/22 121,400 119,238
  United States Treasury Note/Bond 1.875% 1/31/22 129,500 129,156
  United States Treasury Note/Bond 1.750% 2/28/22 16,057 15,927
  United States Treasury Note/Bond 1.875% 2/28/22 74,000 73,780
  United States Treasury Note/Bond 1.750% 3/31/22 115,000 113,975
  United States Treasury Note/Bond 1.875% 3/31/22 111,800 111,381
  United States Treasury Note/Bond 1.750% 4/30/22 82,500 81,701
  United States Treasury Note/Bond 1.875% 4/30/22 126,000 125,448
  United States Treasury Note/Bond 1.750% 5/31/22 70,000 69,300
  United States Treasury Note/Bond 1.875% 5/31/22 12,000 11,949
  United States Treasury Note/Bond 2.125% 6/30/22 81,000 81,468
  United States Treasury Note/Bond 1.875% 7/31/22 43,000 42,745
1 United States Treasury Note/Bond 2.000% 7/31/22 68,000 68,000
  United States Treasury Note/Bond 1.625% 8/31/22 15,000 14,735
  United States Treasury Note/Bond 1.875% 8/31/22 99,500 98,862
  United States Treasury Note/Bond 1.750% 9/30/22 82,000 80,950
  United States Treasury Note/Bond 2.000% 11/30/22 60,000 59,897
  United States Treasury Note/Bond 2.125% 12/31/22 50,752 50,942
  United States Treasury Note/Bond 1.750% 1/31/23 60,000 59,063
  United States Treasury Note/Bond 2.000% 2/15/23 100,000 99,656
  United States Treasury Note/Bond 1.500% 2/28/23 57,509 55,856

 

 

  United States Treasury Note/Bond 1.500% 3/31/23 51,337 49,813
  United States Treasury Note/Bond 1.625% 4/30/23 70,500 68,792
  United States Treasury Note/Bond 1.750% 5/15/23 114,957 112,874
  United States Treasury Note/Bond 1.625% 5/31/23 95,511 93,123
  United States Treasury Note/Bond 1.375% 6/30/23 66,279 63,680
  United States Treasury Note/Bond 1.250% 7/31/23 20,000 19,062
  United States Treasury Note/Bond 1.375% 8/31/23 35,000 33,562
  United States Treasury Note/Bond 1.375% 9/30/23 53,000 50,772
  United States Treasury Note/Bond 2.125% 11/30/23 10,000 9,992
  United States Treasury Note/Bond 2.250% 1/31/24 72,800 73,141
  United States Treasury Note/Bond 2.750% 2/15/24 85,119 88,005
  United States Treasury Note/Bond 2.125% 3/31/24 88,000 87,670
  United States Treasury Note/Bond 2.000% 4/30/24 50,000 49,422
  United States Treasury Note/Bond 2.500% 5/15/24 159,223 162,159
  United States Treasury Note/Bond 2.000% 5/31/24 25,000 24,695
  United States Treasury Note/Bond 2.000% 6/30/24 30,000 29,616
  United States Treasury Note/Bond 2.375% 8/15/24 164,018 165,607
  United States Treasury Note/Bond 2.125% 9/30/24 50,000 49,688
  United States Treasury Note/Bond 2.250% 11/15/24 85,000 85,066
  United States Treasury Note/Bond 2.000% 2/15/25 155,500 152,779
  United States Treasury Note/Bond 2.125% 5/15/25 98,800 97,796
  United States Treasury Note/Bond 2.000% 8/15/25 183,009 179,206
  United States Treasury Note/Bond 2.250% 11/15/25 131,190 130,657
  United States Treasury Note/Bond 1.625% 2/15/26 165,884 157,175
  United States Treasury Note/Bond 1.625% 5/15/26 198,891 188,014
  United States Treasury Note/Bond 1.500% 8/15/26 151,900 141,790
  United States Treasury Note/Bond 2.000% 11/15/26 158,500 153,918
  United States Treasury Note/Bond 2.250% 2/15/27 95,800 94,872
  United States Treasury Note/Bond 2.375% 5/15/27 44,000 44,021
  United States Treasury Note/Bond 2.250% 8/15/27 30,300 29,964
          5,922,935
Agency Bonds and Notes (4.7%)        
2 AID-Iraq 2.149% 1/18/22 43,400 43,491
2 AID-Israel 5.500% 9/18/23 14,500 17,036
2 AID-Israel 5.500% 4/26/24 4,700 5,579
2 AID-Israel 0.000% 5/1/24 13,215 11,014
2 AID-Israel 0.000% 11/1/24 75,000 62,509
2 AID-Israel 0.000% 8/15/25 15,929 12,837
2 AID-Tunisia 1.416% 8/5/21 15,200 14,811
2 AID-Ukraine 1.471% 9/29/21 23,100 22,584
  Private Export Funding Corp. 2.300% 9/15/20 13,600 13,748
  Private Export Funding Corp. 4.300% 12/15/21 4,150 4,511
  Private Export Funding Corp. 2.800% 5/15/22 15,470 15,898
  Private Export Funding Corp. 3.550% 1/15/24 18,500 19,773
  Private Export Funding Corp. 2.450% 7/15/24 6,085 6,085
  Private Export Funding Corp. 3.250% 6/15/25 18,600 19,469
  Resolution Funding Corp. Interest Strip 0.000% 1/15/27 1,988 1,535
  Resolution Funding Corp. Interest Strip 0.000% 4/15/27 16,673 12,762
  Resolution Funding Corp. Interest Strip 0.000% 7/15/27 8,704 6,609
  Resolution Funding Corp. Interest Strip 0.000% 10/15/27 8,704 6,543
          296,794
Nonconventional Mortgage-Backed Securities (0.6%)        
3,4,5 Fannie Mae REMICS 2016-1 1.588% 2/25/46 11,298 11,244
3,4,5 Fannie Mae REMICS 2016-6 1.688% 2/25/46 7,495 7,519
3,4,5 Freddie Mac REMICS 1.639% 5/15/46 7,901 7,927

 

 

3,4,5 Freddie Mac REMICS   1.689% 10/15/46 6,888 6,932
          33,622
Total U.S. Government and Agency Obligations (Cost $6,287,791)         6,253,351
Temporary Cash Investment (0.4%)          
Money Market Fund (0.4%)          
6 Vanguard Market Liquidity Fund (Cost          
$26,360)   1.246%   263,574 26,360
        Notional  
  Expiration     Amount Value
  Date Contracts Exercise Price ($000) ($000)
Options on Futures Purchased (0.0%)          
Call Options on 2-Year U.S.          
Treasury Note Futures Contracts          
(Cost $70) 11/24/17 765 USD 107.88 165,056 36
Total Investments (99.9%) (Cost $6,314,221)         6,279,747
Liability for Options Written (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 86 USD 127.50 10,965 (1)
Put Options on 2-Year U.S.          
Treasury Note Futures Contracts 11/24/17 765 USD 107.63 164,764 (96)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 193 USD 124.50 24,029 (60)
Total Liability on Options Written (Premiums Received $234)         (157)
Other Assets and Liabilities-Net (0.1%)         7,345
Net Assets (100%)         6,286,935

1 Securities with a value of $1,630,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 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.
5 Adjustable-rate security, based upon 1-month USD LIBOR plus spread.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
REMICS-Real Estate Mortgage Investment Conduits.

 

Intermediate-Term Treasury Fund        
 
 
Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
5-Year U.S. Treasury Note December 2017 1,899 222,539 (520)
2-Year U.S. Treasury Note December 2017 832 179,179 23
10-Year U.S. Treasury Note December 2017 852 106,447 (138)
30-Year U.S. Treasury Bond December 2017 158 24,090 70
        (565)
Short Futures Contracts        
Ultra 10-Year U.S. Treasury Note December 2017 (798) (106,870) 1,136
Ultra Long U.S. Treasury Bond December 2017 (443) (72,998) (151)
        985
        420

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

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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. 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

 

Intermediate-Term Treasury Fund

accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 6,253,351 —
Temporary Cash Investments 26,360 — —
Options Purchased 36 — —
Liability for Options Written (157) — —
Futures Contracts—Assets1 41 — —
Futures Contracts—Liabilities1 (284) — —
Total 25,996 6,253,351 —
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 exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that interest rates move such that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), 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 clearinghouses, 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.

 

Intermediate-Term Treasury Fund

Futures contracts are valued at their quoted daily settlement prices. 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).

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.

E. At October 31, 2017, the cost of investment securities for tax purposes was $6,316,314,000. Net unrealized depreciation of investment securities for tax purposes was $36,603,000, consisting of unrealized gains of $3,114,000 on securities that had risen in value since their purchase and $39,717,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard High-Yield Corporate Fund        
 
 
 
Schedule of Investments (unaudited)      
As of October 31, 2017        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (5.0%)        
U.S. Government Securities (5.0%)        
  United States Treasury Note/Bond 0.625% 11/30/17 235,140 235,029
1 United States Treasury Note/Bond 0.750% 2/28/18 250,000 249,610
  United States Treasury Note/Bond 1.000% 5/31/18 256,325 255,843
  United States Treasury Note/Bond 0.750% 8/31/18 250,000 248,595
  United States Treasury Note/Bond 0.875% 10/15/18 250,000 248,555
Total U.S. Government and Agency Obligations (Cost $1,238,773)     1,237,632
Corporate Bonds (92.1%)        
Finance (9.5%)        
  Banking (2.2%)        
  Ally Financial Inc. 4.625% 5/19/22 3,595 3,793
  Ally Financial Inc. 5.125% 9/30/24 16,315 17,865
  Ally Financial Inc. 4.625% 3/30/25 30,420 32,321
  Ally Financial Inc. 5.750% 11/20/25 56,528 62,463
  Ally Financial Inc. 8.000% 11/1/31 7,355 9,727
2 BNP Paribas SA 6.750% 12/31/49 57,750 63,092
2,3 Credit Suisse AG 6.250% 12/31/50 115,070 125,858
2 ING Groep NV 6.875% 12/31/49 52,200 58,153
  Royal Bank of Scotland Group plc 6.125% 12/15/22 52,705 58,467
2 UBS Group AG 6.875% 12/31/49 114,390 124,571
 
  Finance Companies (4.3%)        
2,4 AerCap Global Aviation Trust 6.500% 6/15/45 125,050 136,773
  Aircastle Ltd. 5.125% 3/15/21 1,020 1,081
  Aircastle Ltd. 5.500% 2/15/22 25,900 27,842
  Aircastle Ltd. 5.000% 4/1/23 41,450 43,937
  Aircastle Ltd. 4.125% 5/1/24 46,230 47,270
  CIT Group Inc. 3.875% 2/19/19 33,380 33,881
  CIT Group Inc. 5.375% 5/15/20 5,434 5,828
  CIT Group Inc. 5.000% 8/15/22 36,429 39,161
5 Homer City Generation LP 8.734% 10/1/26 115,318 41,514
  Navient Corp. 8.000% 3/25/20 63,325 69,816
  Navient Corp. 5.875% 3/25/21 5,000 5,263
  Navient Corp. 6.625% 7/26/21 13,400 14,372
  Navient Corp. 7.250% 1/25/22 43,900 47,851
  Navient Corp. 6.500% 6/15/22 107,700 114,431
  Navient Corp. 5.500% 1/25/23 38,420 38,900
  Navient Corp. 7.250% 9/25/23 24,615 26,707
  Navient Corp. 6.750% 6/25/25 153,710 160,627
4 OneMain Financial Holdings LLC 6.750% 12/15/19 9,560 9,919
  Springleaf Finance Corp. 5.250% 12/15/19 6,995 7,275
  Springleaf Finance Corp. 6.000% 6/1/20 2,132 2,228
  Springleaf Finance Corp. 8.250% 12/15/20 65,995 74,079
  Springleaf Finance Corp. 7.750% 10/1/21 69,567 78,263
  Springleaf Finance Corp. 6.125% 5/15/22 13,610 14,308
  Springleaf Finance Corp. 8.250% 10/1/23 17,136 19,449
 
  Insurance (1.9%)        
  Genworth Holdings Inc. 7.700% 6/15/20 9,600 9,408

 

 

  Genworth Holdings Inc. 7.200% 2/15/21 28,015 26,894
  Genworth Holdings Inc. 7.625% 9/24/21 25,505 24,740
  Genworth Holdings Inc. 4.900% 8/15/23 49,580 42,143
  Genworth Holdings Inc. 4.800% 2/15/24 17,335 14,735
4 Liberty Mutual Group Inc. 7.800% 3/15/37 58,440 74,219
  LifePoint Health Inc. 5.875% 12/1/23 54,045 55,531
  MGIC Investment Corp. 5.750% 8/15/23 24,695 27,134
  Radian Group Inc. 5.250% 6/15/20 5,647 6,014
  Radian Group Inc. 7.000% 3/15/21 29,547 33,388
  Radian Group Inc. 4.500% 10/1/24 70,050 71,626
2 Voya Financial Inc. 5.650% 5/15/53 87,753 93,018
 
  Other Finance (0.6%)        
  CNO Financial Group Inc. 4.500% 5/30/20 4,865 5,036
  CNO Financial Group Inc. 5.250% 5/30/25 60,468 64,247
4,6 Lincoln Finance Ltd. 6.875% 4/15/21 8,805 10,828
4 Lincoln Finance Ltd. 7.375% 4/15/21 15,975 16,948
  Nationstar Mortgage LLC / Nationstar Capital        
  Corp. 6.500% 7/1/21 53,182 54,046
 
  Real Estate Investment Trusts (0.5%)        
  Felcor Lodging LP 5.625% 3/1/23 78,105 80,702
  Felcor Lodging LP 6.000% 6/1/25 46,055 49,624
          2,377,366
Industrial (80.9%)        
  Basic Industry (7.2%)        
  AK Steel Corp. 7.625% 10/1/21 9,925 10,322
  AK Steel Corp. 7.500% 7/15/23 79,875 86,365
  AK Steel Corp. 6.375% 10/15/25 10,000 9,850
  AK Steel Corp. 7.000% 3/15/27 67,010 67,513
4 Alliance Resource Operating Partners LP /        
  Alliance Resource Finance Corp. 7.500% 5/1/25 52,359 55,304
4 Anglo American Capital plc 4.125% 4/15/21 27,840 29,058
4 Anglo American Capital plc 4.125% 9/27/22 17,150 17,922
4 Anglo American Capital plc 4.875% 5/14/25 43,250 46,223
4 Anglo American Capital plc 4.750% 4/10/27 24,815 26,191
  ArcelorMittal 5.125% 6/1/20 9,600 10,224
  ArcelorMittal 6.125% 6/1/25 21,830 25,186
  Chemours Co. 6.625% 5/15/23 85,270 90,599
  Chemours Co. 7.000% 5/15/25 68,620 76,597
  Chemours Co. 5.375% 5/15/27 22,045 23,478
  Commercial Metals Co. 5.375% 7/15/27 19,735 20,253
4,6 Constellium NV 4.625% 5/15/21 3,745 4,451
4 Constellium NV 8.000% 1/15/23 51,375 55,035
4 Constellium NV 5.750% 5/15/24 34,862 35,123
4 Constellium NV 6.625% 3/1/25 78,600 81,548
4 First Quantum Minerals Ltd. 7.000% 2/15/21 70,470 73,025
4 First Quantum Minerals Ltd. 7.250% 5/15/22 47,870 50,144
4 FMG Resources August 2006 Pty Ltd. 4.750% 5/15/22 22,335 22,813
4 FMG Resources August 2006 Pty Ltd. 5.125% 5/15/24 21,510 22,092
  Graphic Packaging International Inc. 4.125% 8/15/24 25,860 26,765
4 New Gold Inc. 6.250% 11/15/22 38,365 39,612
4 New Gold Inc. 6.375% 5/15/25 25,520 27,051
4 Novelis Corp. 6.250% 8/15/24 53,590 56,403
4 Novelis Corp. 5.875% 9/30/26 63,010 64,900
  Olin Corp. 5.125% 9/15/27 58,305 61,293
  Steel Dynamics Inc. 5.125% 10/1/21 41,770 42,919

 

 

  Steel Dynamics Inc. 5.500% 10/1/24 40,885 43,747
4 Steel Dynamics Inc. 4.125% 9/15/25 3,305 3,313
  Steel Dynamics Inc. 5.000% 12/15/26 9,730 10,314
  Teck Resources Ltd. 3.750% 2/1/23 9,705 9,790
4 Teck Resources Ltd. 8.500% 6/1/24 46,560 53,486
  Teck Resources Ltd. 6.125% 10/1/35 7,765 8,745
  Teck Resources Ltd. 6.000% 8/15/40 6,650 7,340
  Teck Resources Ltd. 6.250% 7/15/41 21,350 24,286
  Teck Resources Ltd. 5.200% 3/1/42 4,850 4,856
  Teck Resources Ltd. 5.400% 2/1/43 48,295 49,019
  United States Steel Corp. 7.375% 4/1/20 33,106 35,961
4 United States Steel Corp. 8.375% 7/1/21 88,430 96,831
  United States Steel Corp. 6.650% 6/1/37 13,760 13,210
4 Versum Materials Inc. 5.500% 9/30/24 21,566 23,022
4,6 VWR Funding Inc. 4.625% 4/15/22 116,316 140,925
  Westlake Chemical Corp. 4.875% 5/15/23 7,245 7,526
 
  Capital Goods (9.4%)        
  ARD Finance SA 7.125% 9/15/23 13,860 14,795
4 ARD Finance SA 7.125% 9/15/23 21,790 23,261
4 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 7.250% 5/15/24 70,023 77,025
4 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 6.000% 2/15/25 93,082 98,667
4,7 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 4.750% 7/15/27 5,520 7,470
4 Ashtead Capital Inc. 4.125% 8/15/25 46,175 46,521
4 Ashtead Capital Inc. 4.375% 8/15/27 46,175 46,868
  Ball Corp. 4.375% 12/15/20 27,255 28,550
6 Ball Corp. 4.375% 12/15/23 17,385 23,218
4 Beacon Escrow Corp. 4.875% 11/1/25 71,460 72,353
  Berry Plastics Corp. 5.500% 5/15/22 1,940 2,017
  Berry Plastics Corp. 5.125% 7/15/23 1,940 2,037
  Berry Plastics Escrow LLC/Berry Plastics        
  Escrow Corp. 6.000% 10/15/22 22,195 23,527
4 Bombardier Inc. 7.750% 3/15/20 80,000 85,800
4 CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 5,535 5,632
4 Cemex Finance LLC 6.000% 4/1/24 21,210 22,538
4 Cemex SAB de CV 6.125% 5/5/25 111,200 118,567
4 Cemex SAB de CV 7.750% 4/16/26 24,265 27,419
  Clean Harbors Inc. 5.250% 8/1/20 49,963 50,650
  Clean Harbors Inc. 5.125% 6/1/21 57,864 58,660
  CNH Industrial Capital LLC 3.625% 4/15/18 26,765 26,899
  CNH Industrial Capital LLC 3.875% 7/16/18 19,095 19,334
  CNH Industrial Capital LLC 3.375% 7/15/19 8,988 9,134
  CNH Industrial Capital LLC 4.375% 11/6/20 76,545 80,181
  CNH Industrial Capital LLC 4.875% 4/1/21 38,105 40,629
  CNH Industrial Capital LLC 4.375% 4/5/22 24,170 25,650
  CNH Industrial NV 4.500% 8/15/23 107,785 114,252
  Eagle Materials Inc. 4.500% 8/1/26 6,305 6,581
4 Flex Acquisition Co. Inc. 6.875% 1/15/25 127,475 131,937
4 HD Supply Inc. 5.750% 4/15/24 9,300 10,009
4 Huntington Ingalls Industries Inc. 5.000% 11/15/25 12,590 13,629
4,6 Loxam SAS 4.250% 4/15/24 5,520 6,890
4,6 Loxam SAS 6.000% 4/15/25 6,480 8,249
  Masco Corp. 7.750% 8/1/29 7,679 10,205
  Masco Corp. 6.500% 8/15/32 1,562 1,901

 

 

Meritage Homes Corp. 5.125% 6/6/27 17,560 17,735
4 Owens-Brockway Glass Container Inc. 5.875% 8/15/23 29,295 32,151
4 Owens-Brockway Glass Container Inc. 6.375% 8/15/25 11,675 13,193
PulteGroup Inc. 5.500% 3/1/26 41,055 44,955
Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 5.750% 10/15/20 31,580 32,054
8 Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 6.875% 2/15/21 25,093 25,658
4 Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 5.125% 7/15/23 49,930 51,990
4 Reynolds Group Issuer Inc. / Reynolds Group        
Issuer LLC / Reynolds Group Issuer Lu 7.000% 7/15/24 14,670 15,623
4 Signode Industrial Group Lux SA/Signode        
Industrial Group US Inc. 6.375% 5/1/22 92,625 96,214
4 Standard Industries Inc. 5.500% 2/15/23 9,705 10,239
4 Standard Industries Inc. 5.375% 11/15/24 36,177 38,167
4 Standard Industries Inc. 6.000% 10/15/25 139,715 151,591
4 Standard Industries Inc. 5.000% 2/15/27 16,990 17,712
TransDigm Inc. 6.000% 7/15/22 44,150 46,026
TransDigm Inc. 6.500% 7/15/24 96,400 99,533
United Rentals North America Inc. 4.625% 7/15/23 22,111 23,134
United Rentals North America Inc. 5.500% 7/15/25 33,095 35,536
United Rentals North America Inc. 4.625% 10/15/25 36,960 37,838
United Rentals North America Inc. 5.875% 9/15/26 38,755 42,243
United Rentals North America Inc. 5.500% 5/15/27 76,330 81,768
United Rentals North America Inc. 4.875% 1/15/28 60,445 60,747
4 USG Corp. 5.500% 3/1/25 8,590 9,213
4 USG Corp. 4.875% 6/1/27 16,420 17,036
 
Communication (20.6%)        
4 Altice Financing SA 6.625% 2/15/23 58,671 61,825
4 Altice Luxembourg SA 7.625% 2/15/25 40,000 43,400
4 Altice US Finance I Corp. 5.500% 5/15/26 83,145 86,367
4 Bankrate Inc. 6.125% 8/15/18 12,945 12,913
Belo Corp. 7.750% 6/1/27 6,820 7,732
Belo Corp. 7.250% 9/15/27 20,515 22,951
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 3/15/21 8,380 8,600
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 12,635 13,014
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 2/15/23 13,406 13,708
4 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 5/1/23 97,010 100,890
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 9/1/23 33,450 34,621
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 1/15/24 4,855 5,043
4 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.375% 5/1/25 79,205 81,977
4 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 2/15/26 47,140 49,261
4 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.500% 5/1/26 56,250 57,516
4 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.875% 5/1/27 24,255 25,316

 

 

4 Cequel Communications Holdings I LLC /        
Cequel Capital Corp. 5.125% 12/15/21 59,340 60,453
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.484% 10/23/45 44,215 50,715
CSC Holdings LLC 8.625% 2/15/19 25,520 27,338
CSC Holdings LLC 6.750% 11/15/21 60,764 66,840
4 CSC Holdings LLC 5.500% 4/15/27 76,415 78,707
DISH DBS Corp. 6.750% 6/1/21 152,345 159,581
DISH DBS Corp. 5.875% 7/15/22 108,923 109,604
DISH DBS Corp. 5.000% 3/15/23 15,135 14,624
DISH DBS Corp. 5.875% 11/15/24 87,950 88,060
DISH DBS Corp. 7.750% 7/1/26 106,630 116,760
Embarq Corp. 7.995% 6/1/36 23,035 23,265
Gannett Co. Inc. 5.125% 7/15/20 64,680 66,378
4 Gannett Co. Inc. 4.875% 9/15/21 12,990 13,250
Gannett Co. Inc. 6.375% 10/15/23 31,721 33,743
4 Gannett Co. Inc. 5.500% 9/15/24 11,145 11,716
4 Gray Television Inc. 5.125% 10/15/24 59,942 59,792
4 Gray Television Inc. 5.875% 7/15/26 27,675 28,298
Lamar Media Corp. 5.000% 5/1/23 33,940 35,043
Lamar Media Corp. 5.375% 1/15/24 3,885 4,079
Lamar Media Corp. 5.750% 2/1/26 5,740 6,171
Level 3 Financing Inc. 5.375% 8/15/22 75,480 77,744
Level 3 Financing Inc. 5.625% 2/1/23 26,620 27,419
Level 3 Financing Inc. 5.125% 5/1/23 36,380 37,244
Level 3 Financing Inc. 5.375% 1/15/24 13,050 13,507
Level 3 Financing Inc. 5.375% 5/1/25 36,380 37,835
Level 3 Financing Inc. 5.250% 3/15/26 48,500 50,076
Liberty Interactive LLC 8.500% 7/15/29 42,553 47,447
Liberty Interactive LLC 8.250% 2/1/30 126,903 140,228
Netflix Inc. 5.500% 2/15/22 30,950 33,194
Netflix Inc. 5.875% 2/15/25 96,935 104,447
4 Netflix Inc. 4.375% 11/15/26 46,905 45,908
Nokia Oyj 4.375% 6/12/27 13,650 13,647
4 Numericable Group SA 6.000% 5/15/22 47,955 49,993
4 Numericable-SFR SA 7.375% 5/1/26 51,640 55,578
Quebecor Media Inc. 5.750% 1/15/23 79,855 86,543
Qwest Corp. 6.875% 9/15/33 25,162 24,910
SBA Communications Corp. 4.875% 7/15/22 50,220 51,915
4 SFR Group SA 6.250% 5/15/24 20,000 21,025
Sinclair Television Group Inc. 6.125% 10/1/22 6,795 6,990
4 Sinclair Television Group Inc. 5.625% 8/1/24 6,795 6,897
4 Sinclair Television Group Inc. 5.875% 3/15/26 90,410 91,540
4 Sinclair Television Group Inc. 5.125% 2/15/27 57,340 54,401
4 Sirius XM Radio Inc. 4.625% 5/15/23 11,110 11,402
4 Sirius XM Radio Inc. 6.000% 7/15/24 38,712 41,422
4 Sirius XM Radio Inc. 5.375% 4/15/25 12,513 13,186
4 Softbank Corp. 4.500% 4/15/20 19,720 20,336
Sprint Capital Corp. 6.875% 11/15/28 131,570 140,780
Sprint Capital Corp. 8.750% 3/15/32 21,230 25,688
4 Sprint Communications Inc. 7.000% 3/1/20 73,700 79,596
Sprint Communications Inc. 6.000% 11/15/22 10,595 11,125
Sprint Corp. 7.250% 9/15/21 83,575 91,097
Sprint Corp. 7.875% 9/15/23 275,709 308,449
Sprint Corp. 7.125% 6/15/24 56,711 61,248
Sprint Corp. 7.625% 2/15/25 47,755 52,650
T-Mobile USA Inc. 5.375% 4/15/27 102,055 110,219

 

 

  Telecom Italia Capital SA 6.375% 11/15/33 12,326 14,298
  Telecom Italia Capital SA 6.000% 9/30/34 33,530 37,554
  Telecom Italia Capital SA 7.721% 6/4/38 42,725 55,276
4 Telecom Italia SpA/Milano 5.303% 5/30/24 10,000 10,775
  Time Warner Cable LLC 5.875% 11/15/40 2,050 2,228
  Time Warner Cable LLC 5.500% 9/1/41 65,846 68,710
9,10Tribune Company Bank Loan 4.242% 12/27/20 3,517 3,524
9,10Tribune Company Bank Loan 4.242% 1/27/24 43,834 43,925
  Tribune Media Co. 5.875% 7/15/22 64,190 66,597
4 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 27,954 28,793
4 Univision Communications Inc. 5.125% 5/15/23 17,900 18,124
4 Univision Communications Inc. 5.125% 2/15/25 200,720 199,215
2 Viacom Inc. 5.875% 2/28/57 70,748 69,602
2 Viacom Inc. 6.250% 2/28/57 42,627 41,902
  Videotron Ltd. 5.000% 7/15/22 108,654 117,346
4 Videotron Ltd. 5.375% 6/15/24 8,633 9,324
4 Virgin Media Finance plc 6.375% 4/15/23 5,085 5,301
4 Virgin Media Finance plc 6.000% 10/15/24 20,000 20,975
4 Virgin Media Secured Finance plc 5.500% 1/15/25 22,325 23,302
4 Virgin Media Secured Finance plc 5.500% 8/15/26 10,225 10,698
4 VTR Finance BV 6.875% 1/15/24 88,555 93,647
4 Wind Acquisition Finance SA 4.750% 7/15/20 68,850 69,452
4 Wind Acquisition Finance SA 7.375% 4/23/21 65,000 67,519
4 WMG Acquisition Corp. 6.750% 4/15/22 82,950 87,305
4 WMG Acquisition Corp. 5.000% 8/1/23 25,381 26,333
4 WMG Acquisition Corp. 4.875% 11/1/24 37,336 38,643
  Zayo Group LLC / Zayo Capital Inc. 6.000% 4/1/23 104,300 109,645
  Zayo Group LLC / Zayo Capital Inc. 6.375% 5/15/25 55,032 59,228
4 Zayo Group LLC / Zayo Capital Inc. 5.750% 1/15/27 18,835 19,824
 
  Consumer Cyclical (9.3%)        
4 1011778 BC ULC / New Red Finance Inc. 4.250% 5/15/24 61,725 62,111
4 1011778 BC ULC / New Red Finance Inc. 5.000% 10/15/25 42,560 43,305
4 1011778 BC ULC / New Red Finance Inc. 5.000% 10/15/25 35,730 36,311
4 Adient Global Holdings Ltd. 4.875% 8/15/26 124,787 128,219
4 APX Group Inc. 8.875% 12/1/22 134,375 151,340
9,10Asurion LLC, Bank Loan 4.242% 11/3/23 6,873 6,923
9,10Bass Pro Group, LLC. Bank Loan 6.242% 12/15/23 39,995 38,858
9,10Bass Pro Group, LLC. Bank Loan 6.242% 12/15/23 44,350 43,088
  CalAtlantic Group Inc. 5.875% 11/15/24 4,860 5,413
  CalAtlantic Group Inc. 5.250% 6/1/26 9,460 10,087
  CalAtlantic Group Inc. 5.000% 6/15/27 42,955 45,103
4 Cedar Fair LP / Canada's Wonderland Co. /        
  Magnum Management Corp. / Millennium        
  Op 5.375% 4/15/27 27,005 28,490
  Cedar Fair LP / Canada's Wonderland Co. /        
  MagnumManagement Corp. 5.375% 6/1/24 25,675 27,055
4 CRC Escrow Issuer LLC / CRC Finco Inc. 5.250% 10/15/25 92,085 92,545
  Dana Holding Corp. 5.500% 12/15/24 34,460 36,398
  GLP Capital LP / GLP Financing II Inc. 5.375% 4/15/26 60,235 65,054
  Goodyear Tire & Rubber Co. 5.125% 11/15/23 13,012 13,419
  Goodyear Tire & Rubber Co. 5.000% 5/31/26 37,160 38,043
  Goodyear Tire & Rubber Co. 4.875% 3/15/27 98,713 100,440
  Group 1 Automotive Inc. 5.000% 6/1/22 44,170 45,495
4 Group 1 Automotive Inc. 5.250% 12/15/23 34,460 35,666
4 GW Honos Security Corp. 8.750% 5/15/25 48,615 51,775

 

 

4 Hanesbrands Inc. 4.625% 5/15/24 24,270 24,968
4 Hanesbrands Inc. 4.875% 5/15/26 24,510 25,245
  Hilton Domestic Operating Co. Inc. 4.250% 9/1/24 60,310 61,516
  Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.625% 4/1/25 105,130 108,284
  Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.875% 4/1/27 64,885 68,291
4 IHO Verwaltungs GmbH 4.750% 9/15/26 8,470 8,661
  KB Home 8.000% 3/15/20 3,920 4,371
  KB Home 7.000% 12/15/21 7,810 8,767
  KB Home 7.500% 9/15/22 6,935 8,010
  KB Home 7.625% 5/15/23 41,775 48,041
4 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.000% 6/1/24 27,130 28,588
4 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.250% 6/1/26 29,156 30,978
4 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 4.750% 6/1/27 32,290 33,178
  L Brands Inc. 7.000% 5/1/20 18,505 20,332
  L Brands Inc. 6.625% 4/1/21 42,435 46,732
3,10La Quinta Intermediate Holdings LLC Bank        
  Loan 4.109% 4/14/21 54,658 54,965
  Lennar Corp. 4.750% 4/1/21 24,260 25,412
  Lennar Corp. 4.125% 1/15/22 35,495 36,649
  Lennar Corp. 4.875% 12/15/23 19,825 21,014
  Lennar Corp. 4.500% 4/30/24 72,365 74,536
  Neiman Marcus Group Inc. 7.125% 6/1/28 64,195 40,443
  Penske Automotive Group Inc. 5.750% 10/1/22 12,930 13,318
  Penske Automotive Group Inc. 5.375% 12/1/24 37,070 38,089
  PulteGroup Inc. 5.000% 1/15/27 4,315 4,552
  Service Corp. International 5.375% 1/15/22 27,630 28,424
4 Shea Homes LP / Shea Homes Funding Corp. 5.875% 4/1/23 14,550 15,096
4 Shea Homes LP / Shea Homes Funding Corp. 6.125% 4/1/25 14,550 15,132
  Toll Brothers Finance Corp. 4.875% 11/15/25 9,595 10,075
  Toll Brothers Finance Corp. 4.875% 3/15/27 68,200 71,610
  William Lyon Homes Inc. 7.000% 8/15/22 15,000 15,525
  William Lyon Homes Inc. 5.875% 1/31/25 48,230 49,195
4 Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.500% 3/1/25 52,425 55,046
4 Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.250% 5/15/27 53,010 54,004
4 ZF North America Capital Inc. 4.500% 4/29/22 15,355 16,084
4 ZF North America Capital Inc. 4.750% 4/29/25 61,220 64,281
 
  Consumer Noncyclical (11.2%)        
  Alere Inc. 6.500% 6/15/20 15,925 16,184
  Aramark Services Inc. 5.125% 1/15/24 32,435 34,219
4 Aramark Services Inc. 5.000% 4/1/25 48,595 51,754
  Aramark Services Inc. 4.750% 6/1/26 19,420 20,245
4 Catalent Pharma Solutions Inc. 4.875% 1/15/26 15,140 15,400
4 Change Healthcare Holdings LLC / Change        
  Healthcare Finance Inc. 5.750% 3/1/25 64,300 65,747
  CHS/Community Health Systems Inc. 7.125% 7/15/20 33,665 29,204
  CHS/Community Health Systems Inc. 5.125% 8/1/21 15,235 14,816
  CHS/Community Health Systems Inc. 6.875% 2/1/22 173,590 125,853
  CHS/Community Health Systems Inc. 6.250% 3/31/23 120,190 115,683
4 Endo Finance LLC / Endo Finco Inc. 6.000% 2/1/25 79,855 63,485

 

 

4 Endo Finance LLC / Endo Ltd. / Endo Finco        
  Inc. 6.000% 7/15/23 106,343 86,138
4 Envision Healthcare Corp. 5.125% 7/1/22 86,215 87,508
  Envision Healthcare Corp. 5.625% 7/15/22 81,010 82,630
  HCA Holdings Inc. 6.250% 2/15/21 27,980 30,079
  HCA Inc. 6.500% 2/15/20 127,050 136,738
  HCA Inc. 5.875% 3/15/22 60,405 66,144
  HCA Inc. 4.750% 5/1/23 72,500 75,853
  HCA Inc. 5.875% 5/1/23 10,000 10,713
  HCA Inc. 5.375% 2/1/25 19,375 19,956
  HCA Inc. 5.250% 4/15/25 45,000 47,925
  HCA Inc. 7.690% 6/15/25 4,510 5,119
  HCA Inc. 5.875% 2/15/26 64,000 67,280
  HCA Inc. 5.250% 6/15/26 31,895 33,888
4 inVentiv Group Holdings Inc/inVentiv Health        
  Inc/inVentiv Health Clinical Inc. 7.500% 10/1/24 16,178 17,836
4 Kinetic Concepts Inc / KCI USA Inc. 7.875% 2/15/21 52,240 54,656
4 Lamb Weston Holdings Inc. 4.625% 11/1/24 34,870 36,439
4 Lamb Weston Holdings Inc. 4.875% 11/1/26 34,870 36,570
9,10Lands' End, Inc. Bank Loan 4.490% 3/12/21 84,768 70,499
  LifePoint Health Inc. 5.375% 5/1/24 38,423 38,615
  LifePoint Hospitals Inc. 5.500% 12/1/21 42,661 43,514
4 MEDNAX Inc. 5.250% 12/1/23 19,125 19,890
4 MPH Acquisition Holdings LLC 7.125% 6/1/24 53,485 57,630
4 Post Holdings Inc. 5.500% 3/1/25 27,480 28,579
4 Post Holdings Inc. 5.000% 8/15/26 120,825 121,429
4 Post Holdings Inc. 5.750% 3/1/27 37,091 38,528
4 Quintiles IMS Inc. 5.000% 10/15/26 38,285 40,582
4 Quintiles Transnational Holdings Inc. 4.875% 5/15/23 24,350 25,385
  Revlon Consumer Products Corp. 5.750% 2/15/21 19,165 16,386
  Revlon Consumer Products Corp. 6.250% 8/1/24 67,860 50,047
9,10Revlon Consumer Products Corp. Bank Loan 4.742% 9/7/23 5,921 5,103
9,10Revlon Consumer Products Corp. Bank Loan 4.742% 9/7/23 20,124 17,345
9,10Revlon Consumer Products Corp. Bank Loan 4.742% 9/7/23 333 287
4 Sterigenics-Nordion Holdings LLC 6.500% 5/15/23 62,435 65,245
4 Sterigenics-Nordion Topco LLC 8.125% 11/1/21 20,000 20,400
  Tenet Healthcare Corp. 5.500% 3/1/19 24,215 24,578
  Tenet Healthcare Corp. 4.750% 6/1/20 16,875 17,297
  Tenet Healthcare Corp. 4.500% 4/1/21 42,147 42,674
  Tenet Healthcare Corp. 4.375% 10/1/21 106,480 106,746
  Tenet Healthcare Corp. 8.125% 4/1/22 11,995 12,025
4 Tenet Healthcare Corp. 4.625% 7/15/24 9,660 9,515
4 Valeant Pharmaceuticals International Inc. 5.375% 3/15/20 82,205 80,972
4 Valeant Pharmaceuticals International Inc. 6.375% 10/15/20 51,850 51,461
4 Valeant Pharmaceuticals International Inc. 6.500% 3/15/22 21,490 22,779
4 Valeant Pharmaceuticals International Inc. 7.000% 3/15/24 48,315 52,301
4 Valeant Pharmaceuticals International Inc. 5.500% 11/1/25 20,995 21,467
4 Vizient Inc. 10.375% 3/1/24 28,957 33,156
4 VRX Escrow Corp. 6.125% 4/15/25 100,000 84,000
4 West Street Merger Sub Inc. 6.375% 9/1/25 121,245 123,367
 
  Energy (13.5%)        
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 5.625% 5/20/24 46,910 49,490
  AmeriGas Finance LLC / AmeriGas Finance        
  Corp. 5.875% 8/20/26 46,910 48,669

 

 

  AmeriGas Partners LP / AmeriGas Finance        
  Corp. 5.500% 5/20/25 20,635 21,099
  AmeriGas Partners LP / AmeriGas Finance        
  Corp. 5.750% 5/20/27 59,170 60,501
  Anadarko Petroleum Corp. 5.550% 3/15/26 4,780 5,372
  Anadarko Petroleum Corp. 6.200% 3/15/40 24,145 28,688
  Anadarko Petroleum Corp. 6.600% 3/15/46 7,915 9,956
  Andeavor 5.125% 4/1/24 31,790 33,538
4 Andeavor 5.125% 12/15/26 22,340 24,769
  Antero Resources Corp. 5.125% 12/1/22 48,330 49,659
4 Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27 43,385 44,795
4 Chesapeake Energy Corp. 8.000% 6/15/27 80,395 77,983
  Continental Resources Inc. 5.000% 9/15/22 110,959 112,346
  Continental Resources Inc. 4.500% 4/15/23 75,805 76,658
  Continental Resources Inc. 3.800% 6/1/24 16,770 16,309
  Continental Resources Inc. 4.900% 6/1/44 23,196 21,630
4 DCP Midstream LLC 9.750% 3/15/19 15,000 16,350
4 DCP Midstream LLC 5.350% 3/15/20 11,125 11,570
  DCP Midstream Operating LP 2.700% 4/1/19 19,675 19,552
4 DCP Midstream Operating LP 4.750% 9/30/21 19,999 20,524
  DCP Midstream Operating LP 4.950% 4/1/22 45,799 47,574
  DCP Midstream Operating LP 3.875% 3/15/23 26,988 26,718
  DCP Midstream Operating LP 5.600% 4/1/44 26,895 25,685
4,6 Diamond BC BV 5.625% 8/15/25 51,750 62,150
  Diamondback Energy Inc. 4.750% 11/1/24 5,895 5,998
  Diamondback Energy Inc. 5.375% 5/31/25 47,860 49,655
  Energy Transfer Equity LP 7.500% 10/15/20 76,385 85,933
  Energy Transfer Equity LP 4.250% 3/15/23 84,735 86,218
  Energy Transfer Equity LP 5.875% 1/15/24 57,741 62,505
  Energy Transfer Equity LP 5.500% 6/1/27 98,160 103,927
  Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 82,009 77,909
  Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 1/15/22 16,317 15,460
  Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 6/15/23 26,720 24,850
  Kerr-McGee Corp. 6.950% 7/1/24 32,686 38,764
  Kinder Morgan Inc. 7.750% 1/15/32 26,290 33,772
  Laredo Petroleum Inc. 5.625% 1/15/22 69,522 70,826
  Laredo Petroleum Inc. 7.375% 5/1/22 17,860 18,597
  Laredo Petroleum Inc. 6.250% 3/15/23 70,158 72,877
  Marathon Oil Corp. 3.850% 6/1/25 39,540 39,727
  Marathon Oil Corp. 6.800% 3/15/32 8,295 9,795
  Marathon Oil Corp. 6.600% 10/1/37 9,850 11,607
  Marathon Oil Corp. 5.200% 6/1/45 13,170 13,670
  Matador Resources Co. 6.875% 4/15/23 102,250 108,385
4 MEG Energy Corp. 6.375% 1/30/23 30,650 27,892
4 MEG Energy Corp. 7.000% 3/31/24 47,348 42,968
4 MEG Energy Corp. 6.500% 1/15/25 97,700 97,211
  MPLX LP 4.875% 12/1/24 43,935 47,643
  MPLX LP 4.875% 6/1/25 87,120 94,416
  Newfield Exploration Co. 5.750% 1/30/22 10,890 11,707
  Newfield Exploration Co. 5.625% 7/1/24 13,045 14,072
4 NGPL PipeCo LLC 4.375% 8/15/22 13,995 14,380
4 NGPL PipeCo LLC 4.875% 8/15/27 16,650 17,274
4 Parsley Energy LLC / Parsley Finance Corp. 5.375% 1/15/25 47,585 48,299
4 Parsley Energy LLC / Parsley Finance Corp. 5.250% 8/15/25 6,810 6,878
  QEP Resources Inc. 6.800% 3/1/20 7,370 7,683
  QEP Resources Inc. 6.875% 3/1/21 30,605 32,594
  QEP Resources Inc. 5.375% 10/1/22 22,485 22,373

 

 

  QEP Resources Inc. 5.250% 5/1/23 42,925 42,388
  Rice Energy Inc. 7.250% 5/1/23 31,365 33,717
4 RSP Permian Inc. 5.250% 1/15/25 31,745 32,301
  Sabine Pass Liquefaction LLC 5.875% 6/30/26 41,960 47,467
  SESI LLC 7.125% 12/15/21 34,425 35,200
4 SESI LLC 7.750% 9/15/24 36,570 37,759
  SM Energy Co. 6.500% 11/15/21 3,485 3,537
  SM Energy Co. 6.125% 11/15/22 30,015 30,390
  SM Energy Co. 6.500% 1/1/23 2,525 2,569
  SM Energy Co. 5.000% 1/15/24 69,110 65,827
  SM Energy Co. 5.625% 6/1/25 38,240 37,188
  SM Energy Co. 6.750% 9/15/26 17,855 18,324
4 Southern Star Central Corp. 5.125% 7/15/22 14,790 15,289
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.500% 10/15/19 5,220 5,494
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.250% 10/15/22 35,901 38,235
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.375% 5/1/24 44,365 48,580
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.250% 1/15/25 51,601 55,471
4 Vine Oil & Gas LP / Vine Oil & Gas Finance        
  Corp. 8.750% 4/15/23 50,310 49,178
  Weatherford International Ltd. 7.000% 3/15/38 17,963 15,089
  Weatherford International Ltd. 6.750% 9/15/40 67,387 55,594
  Weatherford International Ltd. 5.950% 4/15/42 41,845 32,848
  Williams Cos. Inc. 7.875% 9/1/21 17,225 20,175
  Williams Cos. Inc. 3.700% 1/15/23 41,055 41,331
  Williams Cos. Inc. 4.550% 6/24/24 23,050 23,990
  Williams Cos. Inc. 5.750% 6/24/44 41,255 43,627
  WPX Energy Inc. 6.000% 1/15/22 91,165 94,812
  WPX Energy Inc. 5.250% 9/15/24 112,100 112,240
 
  Other Industrial (0.7%)        
4 Brand Energy & Infrastructure Services Inc. 8.500% 7/15/25 103,655 109,615
3,10HD Supply Waterworks LTD. Bank Loan 4.455% 8/1/24 9,505 9,576
4 KAR Auction Services Inc. 5.125% 6/1/25 44,780 46,348
 
  Technology (7.1%)        
  Alcatel-Lucent USA Inc. 6.500% 1/15/28 56,315 63,777
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 85,245 96,327
4 Camelot Finance SA 7.875% 10/15/24 63,230 67,814
4 CDK Global Inc. 4.875% 6/1/27 20,545 21,393
  CDW LLC / CDW Finance Corp. 5.000% 9/1/23 23,480 24,507
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 15,155 16,784
  CDW LLC / CDW Finance Corp. 5.000% 9/1/25 26,405 27,692
  Equinix Inc. 5.375% 4/1/23 20,864 21,594
  Equinix Inc. 5.875% 1/15/26 13,310 14,425
  Equinix Inc. 5.375% 5/15/27 47,030 50,440
4 First Data Corp. 5.375% 8/15/23 73,250 76,363
4 First Data Corp. 7.000% 12/1/23 181,545 194,253
4 First Data Corp. 5.000% 1/15/24 48,800 50,691
4 First Data Corp. 5.750% 1/15/24 131,820 137,587
9,10First Data Corp. Bank Loan 3.488% 7/8/22 20,495 20,552
  Infor US Inc. 6.500% 5/15/22 97,200 101,331
4,7 Iron Mountain Europe plc 6.125% 9/15/22 24,430 33,827
  Iron Mountain Inc. 5.750% 8/15/24 30,304 31,137

 

 

4 Iron Mountain Inc. 4.875% 9/15/27 28,670 29,172
4 MSCI Inc. 5.250% 11/15/24 12,975 13,770
4 MSCI Inc. 5.750% 8/15/25 51,525 55,647
4 MSCI Inc. 4.750% 8/1/26 18,330 19,155
NCR Corp. 4.625% 2/15/21 72,024 73,014
NCR Corp. 5.875% 12/15/21 4,855 5,013
NCR Corp. 5.000% 7/15/22 20,000 20,450
NCR Corp. 6.375% 12/15/23 15,145 16,092
Nokia Oyj 6.625% 5/15/39 117,400 133,836
4 Open Text Corp. 5.625% 1/15/23 34,150 35,730
4 Open Text Corp. 5.875% 6/1/26 46,495 50,389
Pitney Bowes Inc. 4.700% 4/1/23 33,860 33,072
4 Sensata Technologies BV 5.625% 11/1/24 19,290 21,243
4 Sensata Technologies BV 5.000% 10/1/25 52,750 55,915
4 Sensata Technologies UK Financing Co. plc 6.250% 2/15/26 49,705 54,365
SS&C Technologies Holdings Inc. 5.875% 7/15/23 29,280 30,817
4 Symantec Corp. 5.000% 4/15/25 66,150 69,138
 
Transportation (1.9%)        
4 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.125% 6/1/22 77,088 77,473
Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.500% 4/1/23 69,036 69,295
4 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 6.375% 4/1/24 24,490 25,470
4 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.250% 3/15/25 20,000 19,600
2 Continental Airlines 2007-1 Class B Pass        
Through Trust 6.903% 4/19/22 6,929 7,345
Hertz Corp. 6.750% 4/15/19 29,565 29,639
Hertz Corp. 5.875% 10/15/20 42,430 42,218
Hertz Corp. 7.375% 1/15/21 60,490 60,792
4 Hertz Corp. 7.625% 6/1/22 41,960 43,743
4 Hertz Corp. 5.500% 10/15/24 119,730 108,206
        20,183,459
Utilities (1.7%)        
Electric (1.7%)        
AES Corp. 8.000% 6/1/20 5,414 6,186
AES Corp. 4.875% 5/15/23 25,000 25,594
AES Corp. 5.500% 3/15/24 139,956 146,254
AES Corp. 5.500% 4/15/25 5,475 5,776
AES Corp. 5.125% 9/1/27 31,745 32,658
4 NextEra Energy Operating Partners LP 4.250% 9/15/24 22,350 22,601
4 NextEra Energy Operating Partners LP 4.500% 9/15/27 24,185 24,306
NRG Energy Inc. 6.250% 7/15/22 51,835 54,556
NRG Energy Inc. 6.625% 3/15/23 10,000 10,350
NRG Energy Inc. 6.250% 5/1/24 47,355 50,196
NRG Energy Inc. 7.250% 5/15/26 47,920 51,993
        430,470
Total Corporate Bonds (Cost $22,224,177)       22,991,295
Sovereign Bonds (0.2%)        
4 DAE Funding LLC 4.500% 8/1/22 28,790 29,150
4 DAE Funding LLC 5.000% 8/1/24 29,605 30,234
Total Sovereign Bonds (Cost $58,395)       59,384

 

 

      Shares  
Preferred Stocks (0.5%)        
GMAC Capital Trust I Pfd. (Cost $123,777) 7.201%   4,743,200 124,889
 
      Face  
      Amount  
      ($000)  
Temporary Cash Investments (1.3%)        
Repurchase Agreements (1.3%)        
Bank of America Securities, LLC        
(Dated 10/31/17, Repurchase Value        
$59,402,000, collateralized by Government        
National Mortgage Assn. 3.500%, 1/20/43,        
with a value of $60,588,000) 1.070% 11/1/17 59,400 59,400
RBC Capital Markets LLC        
(Dated 10/31/17, Repurchase Value        
$156,705,000, collateralized by Federal        
Home Loan Mortgage Assn. 3.000%-        
4.000%, 3/1/46-9/1/47, Federal National        
Mortgage Assn. 2.500%-5.000%, 11/1/19-        
10/1/47, and Government National        
Mortgage Assn. 3.500%-7.000%, 7/15/32-        
10/20/47, with a value of $159,834,000) 1.040% 11/1/17 156,700 156,700
TD Securities (USA) LLC        
(Dated 10/31/17, Repurchase Value        
$109,803,000, collateralized by Federal        
Home Loan Bank 1.086%, 4/17/18, Federal        
National Mortgage Assn. 3.500%, 3/1/32,        
and U.S. Treasury Note/Bond 1.148%-        
1.875%, 10/31/19-7/31/22, with a value of        
$111,996,000) 1.040% 11/1/17 109,800 109,800
Total Temporary Cash Investments (Cost $325,900)       325,900
Total Investments (99.1%) (Cost $23,971,022)       24,739,100
Other Assets and Liabilities-Net (0.9%)       218,600
Net Assets (100%)       24,957,700

1 Securities with a value of $27,612,000 have been segregated as initial margin for open cleared swap 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 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
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 October 31, 2017, the
aggregate value of these securities was $9,104,217,000, representing 36.5% of net assets.
5 Non-income-producing security--security in default.
6 Face amount denominated in euro.
7 Face amount denominated in British pounds.
8 Scheduled principal and interest payments are guaranteed by bank letter of credit.
9 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
10 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and
private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At October
31, 2017, the aggregate value of these securities was $314,645,000, representing 1.3% of net assets.

 

High-Yield Corporate Fund

Derivative Financial Instruments Outstanding as of Period End      
 
Forward Currency Contracts            
    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Deutsche Bank AG 11/30/17 USD 260,004 EUR 219,815 3,526
Goldman Sachs International 11/30/17 USD 40,062 GBP 30,534 (528)
            2,998
EUR—euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

At October 31, 2017, counterparties had deposited in segregated accounts cash of $5,386,000 in connection with open forward currency contracts.

Centrally Cleared Credit Default Swaps        
 
      Periodic    
      Premium   Unrealized
      Received   Appreciation
  Termination Notional Amount (Paid)1 Value (Depreciation)
Reference Entity Date (000) (%) ($000) ($000)
Credit Protection Sold          
CDX-NA-HY-29-V1 12/20/22 USD 550,000 5.000 46,230 5,736

1 Periodic premium received/paid quarterly.
USD—U.S. dollar.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or

 

High-Yield Corporate Fund

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. 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).

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

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

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

 

High-Yield Corporate Fund

the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

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

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared 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.

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

 

High-Yield Corporate Fund

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

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 1,237,632 —
Corporate Bonds — 22,991,295 —
Sovereign Bonds — 59,384 —
Preferred Stocks — 124,889 —
Temporary Cash Investments — 325,900 —
Forward Currency Contracts—Assets — 3,526 —
Forward Currency Contracts—Liabilities — (528) —
Swap Contracts—Assets1 758 — —
Total 758 24,742,098 —
1 Represents variation margin on the last day of the reporting period.      

 

G. At October 31, 2017, the cost of investment securities for tax purposes was $23,971,022,000. Net unrealized appreciation of investment securities for tax purposes was $768,078,000, consisting of unrealized gains of $1,067,206,000 on securities that had risen in value since their purchase and $299,128,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Intermediate-Term Investment-Grade Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (7.8%)        
U.S. Government Securities (7.8%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 185,556 186,063
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 20,160 21,232
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 34,000 34,127
  United States Treasury Note/Bond 0.875% 5/15/19 50,000 49,492
  United States Treasury Note/Bond 1.500% 5/31/19 54,000 53,958
  United States Treasury Note/Bond 1.625% 8/15/22 13,000 12,785
  United States Treasury Note/Bond 1.750% 9/30/22 13,000 12,833
  United States Treasury Note/Bond 1.625% 11/15/22 10,100 9,907
1 United States Treasury Note/Bond 1.750% 1/31/23 150,000 147,657
2 United States Treasury Note/Bond 1.500% 2/28/23 300,000 291,375
2 United States Treasury Note/Bond 1.500% 3/31/23 300,000 291,093
1 United States Treasury Note/Bond 1.625% 4/30/23 144,000 140,512
2 United States Treasury Note/Bond 1.750% 5/15/23 300,000 294,564
  United States Treasury Note/Bond 1.625% 5/31/23 150,000 146,250
  United States Treasury Note/Bond 1.375% 6/30/23 38,000 36,510
  United States Treasury Note/Bond 2.125% 5/15/25 42,750 42,316
2 United States Treasury Note/Bond 2.250% 11/15/25 100,000 99,594
3 United States Treasury Note/Bond 1.625% 2/15/26 161,000 152,548
  United States Treasury Note/Bond 1.625% 5/15/26 51,000 48,211
  United States Treasury Note/Bond 1.500% 8/15/26 2,015 1,881
  United States Treasury Note/Bond 2.250% 8/15/27 200,000 197,782
          2,270,690
Nonconventional Mortgage-Backed Securities (0.0%)        
4,5 Fannie Mae Grantor Trust 2017-T1 2.898% 6/25/27 10,268 10,165
4,5,6 Freddie Mac Non Gold Pool 3.375% 8/1/32 269 277
4,5,7 Freddie Mac Non Gold Pool 3.643% 9/1/32 141 144
          10,586
Total U.S. Government and Agency Obligations (Cost $2,332,315)     2,281,276
Asset-Backed/Commercial Mortgage-Backed Securities (16.1%)      
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 4,300 4,300
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 1,545 1,547
4 Ally Master Owner Trust Series 2017-3 2.040% 6/15/22 19,100 19,035
4 American Express Credit Account Master        
  Trust 2017-6 2.040% 5/15/23 36,520 36,543
4,8 American Express Credit Account Secured        
  Note Trust 2012-4 1.789% 5/15/20 7,000 7,000
4,9 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 3,986 4,169
4,9 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 1,060 1,116
4,9 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 6,723 6,983
4,9 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 5,239 5,375
4,9 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 2,826 2,939
4,9 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 1,070 1,137
4,9 Americold 2010 LLC Trust Series 2010-        
  ARTA 4.954% 1/14/29 6,402 6,836

 

 

4,9 Americold 2010 LLC Trust Series 2010-        
  ARTA 6.811% 1/14/29 3,540 3,907
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 142 142
4 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 2,500 2,506
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 279 280
4 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 2,230 2,242
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 768 769
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 1,655 1,666
4 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 936 937
4 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 500 501
4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 5,419 5,418
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 2,560 2,565
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 4,400 4,442
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 3,200 3,231
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 6,789 6,794
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 4,190 4,236
4 AmeriCredit Automobile Receivables Trust        
  2016-1 3.590% 2/8/22 2,980 3,038
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 6,460 6,456
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 2,040 2,047
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 1,960 1,980
4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 3,280 3,358
4 AmeriCredit Automobile Receivables Trust        
  2016-3 2.710% 9/8/22 3,390 3,378
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 7,205 7,200
4 AmeriCredit Automobile Receivables Trust        
  2017-3 1.690% 12/18/20 61,410 61,362
4,9 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 1,330 1,349
4,9 Applebee's Funding LLC/IHOP Funding        
  LLC 4.277% 9/5/44 1,260 1,238
4,9 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 830 822
4,9 ARL Second LLC 2014-1A 2.920% 6/15/44 6,064 5,960
4,9 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 1,482 1,539
4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2013-1A 1.920% 9/20/19 5,480 5,471
4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2013-2A 2.970% 2/20/20 10,300 10,379
4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2015-1A 2.500% 7/20/21 14,310 14,276

 

 

4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2015-2A 2.630% 12/20/21 15,725 15,751
4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2016-1A 2.990% 6/20/22 1,540 1,555
4,9 Avis Budget Rental Car Funding AESOP        
  LLC 2017-1A 3.070% 9/20/23 4,220 4,263
4,9 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 4,975 5,041
4 Banc of America Commercial Mortgage        
  Trust 2008-1 6.254% 2/10/51 2,206 2,223
4 Banc of America Commercial Mortgage        
  Trust 2015-UBS7 3.705% 9/15/48 1,806 1,897
4 Banc of America Commercial Mortgage        
  Trust 2015-UBS7 4.366% 9/15/48 360 364
4 Banc of America Commercial Mortgage        
  Trust 2017-BNK3 3.574% 2/15/50 1,150 1,190
4 BANK 2017 - BNK4 3.625% 5/15/50 10,040 10,518
4 BANK 2017 - BNK5 3.390% 6/15/60 10,480 10,779
4 BANK 2017 - BNK6 3.518% 7/15/60 5,740 5,964
4 BANK 2017 - BNK7 3.435% 9/15/60 5,490 5,671
4,8 BANK 2017 - BNK8 3.488% 11/15/50 11,520 11,865
4,9,10 Bank of America Student Loan Trust 2010-        
  1A 2.167% 2/25/43 4,958 4,981
  Bank of Nova Scotia 1.875% 4/26/21 38,080 37,546
9 Bank of Nova Scotia 1.875% 9/20/21 8,390 8,241
4,9 Bank of The West Auto Trust 2014-1 1.650% 3/16/20 8,780 8,781
4 Barclays Dryrock Issuance Trust 2014-3 2.410% 7/15/22 15,800 15,958
4,9,11 BMW Floorplan Master Owner Trust 2015-        
  1A 1.739% 7/15/20 23,160 23,214
4 BMW Vehicle Lease Trust 2017-2 2.070% 10/20/20 11,120 11,127
4 BMW Vehicle Lease Trust 2017-2 2.190% 3/22/21 3,460 3,460
4,10 Brazos Higher Education Authority Inc.        
  Series 2005-3 1.528% 6/25/26 4,341 4,316
4,10 Brazos Higher Education Authority Inc.        
  Series 2011-1 2.117% 2/25/30 7,428 7,472
4,11 Cabela's Credit Card Master Note Trust        
  2015-2 1.909% 7/17/23 8,920 8,982
4,9 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 1,250 1,244
4,9 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 1,923 1,904
4,9 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 5,910 5,959
4 California Republic Auto Receivables Trust        
  2016-1 3.430% 2/15/22 8,000 8,145
4 California Republic Auto Receivables Trust        
  2016-1 4.560% 12/15/22 8,320 8,528
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 10,580 10,569
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 2,430 2,421
4 California Republic Auto Receivables Trust        
  2016-2 2.520% 5/16/22 1,120 1,116
4 California Republic Auto Receivables Trust        
  2016-2 3.510% 3/15/23 540 539
4,9 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 2.050% 3/19/21 4,910 4,898
4,9 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 2.286% 1/19/22 3,450 3,438

 

 

4 Capital Auto Receivables Asset Trust 2013-        
  3 3.690% 2/20/19 1,647 1,649
4 Capital Auto Receivables Asset Trust 2013-        
  4 2.670% 2/20/19 164 164
4 Capital Auto Receivables Asset Trust 2013-        
  4 3.220% 5/20/19 1,775 1,779
4 Capital Auto Receivables Asset Trust 2014-        
  1 2.840% 4/22/19 632 633
4 Capital Auto Receivables Asset Trust 2014-        
  1 3.390% 7/22/19 800 804
4 Capital Auto Receivables Asset Trust 2014-        
  3 3.940% 4/20/23 2,410 2,449
4 Capital Auto Receivables Asset Trust 2015-        
  3 1.940% 1/21/20 8,550 8,562
4 Capital Auto Receivables Asset Trust 2015-        
  3 2.130% 5/20/20 7,900 7,924
4 Capital Auto Receivables Asset Trust 2015-        
  3 2.430% 9/21/20 2,430 2,441
4 Capital Auto Receivables Asset Trust 2015-        
  3 2.900% 12/21/20 2,700 2,728
4 Capital Auto Receivables Asset Trust 2016-        
  2 3.160% 11/20/23 360 364
4 Capital Auto Receivables Asset Trust 2016-        
  3 1.540% 8/20/20 3,820 3,814
4 Capital Auto Receivables Asset Trust 2016-        
  3 2.350% 9/20/21 1,630 1,628
4 Capital Auto Receivables Asset Trust 2016-        
  3 2.650% 1/20/24 900 896
4,8,9 Capital Auto Receivables Asset Trust 2017-        
  1 2.020% 8/20/21 5,830 5,829
4,8,9 Capital Auto Receivables Asset Trust 2017-        
  1 2.220% 3/21/22 4,060 4,059
4 Capital One Multi-Asset Execution Trust        
  2015-A4 2.750% 5/15/25 12,445 12,700
4 Capital One Multi-Asset Execution Trust        
  2017-A4 1.990% 7/17/23 54,610 54,571
4,11 Capital One Multi-Asset Execution Trust        
  2017-A5 1.818% 7/15/27 28,740 28,808
4,9,11 CARDS II Trust 2016-1A 1.939% 7/15/21 20,745 20,809
4 CarMax Auto Owner Trust 2014-1 1.690% 8/15/19 520 520
4 CarMax Auto Owner Trust 2014-1 1.930% 11/15/19 970 971
4 CarMax Auto Owner Trust 2014-4 1.810% 7/15/20 3,850 3,852
4 CarMax Auto Owner Trust 2015-2 3.040% 11/15/21 2,010 2,026
4 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 1,945 1,943
4 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 2,795 2,816
4 CarMax Auto Owner Trust 2016-2 2.160% 12/15/21 1,930 1,917
4 CarMax Auto Owner Trust 2016-2 3.250% 11/15/22 2,160 2,164
4 CarMax Auto Owner Trust 2016-3 2.200% 6/15/22 1,930 1,910
4 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 1,360 1,345
4 CarMax Auto Owner Trust 2017-4 2.110% 10/17/22 6,110 6,111
4 CarMax Auto Owner Trust 2017-4 2.330% 5/15/23 3,460 3,461
4 CarMax Auto Owner Trust 2017-4 2.460% 8/15/23 1,640 1,639
4 CarMax Auto Owner Trust 2017-4 2.700% 10/16/23 1,640 1,639
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 17,440 17,091
4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 13,280 13,922
4 CD 2017-CD4 Commercial Mortgage Trust 3.514% 5/10/50 4,970 5,124
4 CD 2017-CD5 Commercial Mortgage Trust 3.431% 8/15/50 10,770 11,095

 

 

4,9 CFCRE Commercial Mortgage Trust 2011-        
  C2 5.754% 12/15/47 5,260 5,851
4 CFCRE Commercial Mortgage Trust 2016-        
  C4 3.283% 5/10/58 4,826 4,886
4,9 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 31,525 31,533
4,9 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.280% 7/15/19 1,064 1,065
4,9 Chrysler Capital Auto Receivables Trust        
  2013-AA 2.930% 8/17/20 1,190 1,193
4,9 Chrysler Capital Auto Receivables Trust        
  2014-AA 2.280% 11/15/19 2,150 2,156
4,9 Chrysler Capital Auto Receivables Trust        
  2014-BA 3.440% 8/16/21 290 293
4,9 Chrysler Capital Auto Receivables Trust        
  2015-BA 2.260% 10/15/20 7,575 7,603
4,9 Chrysler Capital Auto Receivables Trust        
  2015-BA 2.700% 12/15/20 2,315 2,327
4,9 Chrysler Capital Auto Receivables Trust        
  2015-BA 3.260% 4/15/21 3,600 3,667
4,9 Chrysler Capital Auto Receivables Trust        
  2015-BA 4.170% 1/16/23 5,510 5,633
4,9 Chrysler Capital Auto Receivables Trust        
  2016-AA 2.880% 2/15/22 2,370 2,386
4,9 Chrysler Capital Auto Receivables Trust        
  2016-AA 4.220% 2/15/23 8,530 8,660
4,9 Chrysler Capital Auto Receivables Trust        
  2016-BA 1.640% 7/15/21 5,380 5,360
4,9 Chrysler Capital Auto Receivables Trust        
  2016-BA 1.870% 2/15/22 4,680 4,637
4 Citigroup Commercial Mortgage Trust        
  2012-GC8 3.024% 9/10/45 6,633 6,760
4,9 Citigroup Commercial Mortgage Trust        
  2012-GC8 3.683% 9/10/45 2,017 2,093
4 Citigroup Commercial Mortgage Trust        
  2013-GC11 3.093% 4/10/46 6,015 6,149
4 Citigroup Commercial Mortgage Trust        
  2013-GC15 3.161% 9/10/46 2,205 2,223
4 Citigroup Commercial Mortgage Trust        
  2013-GC15 3.942% 9/10/46 878 918
4 Citigroup Commercial Mortgage Trust        
  2013-GC15 4.371% 9/10/46 1,910 2,070
4 Citigroup Commercial Mortgage Trust        
  2014-GC19 3.753% 3/10/47 885 927
4 Citigroup Commercial Mortgage Trust        
  2014-GC19 4.023% 3/10/47 16,273 17,432
4 Citigroup Commercial Mortgage Trust        
  2014-GC21 3.575% 5/10/47 27,838 28,961
4 Citigroup Commercial Mortgage Trust        
  2014-GC21 3.855% 5/10/47 9,060 9,615
4 Citigroup Commercial Mortgage Trust        
  2014-GC23 3.622% 7/10/47 8,949 9,394
4 Citigroup Commercial Mortgage Trust        
  2014-GC23 3.863% 7/10/47 2,020 2,070
4 Citigroup Commercial Mortgage Trust        
  2014-GC23 4.175% 7/10/47 800 832
4 Citigroup Commercial Mortgage Trust        
  2014-GC23 4.462% 7/10/47 1,250 1,247

 

 

4 Citigroup Commercial Mortgage Trust        
  2014-GC25 3.372% 10/10/47 4,729 4,852
4 Citigroup Commercial Mortgage Trust        
  2014-GC25 3.635% 10/10/47 13,083 13,659
4 Citigroup Commercial Mortgage Trust        
  2014-GC25 4.345% 10/10/47 2,170 2,266
4 Citigroup Commercial Mortgage Trust        
  2014-GC25 4.531% 10/10/47 3,270 3,266
4 Citigroup Commercial Mortgage Trust        
  2015-GC27 3.137% 2/10/48 6,418 6,484
4 Citigroup Commercial Mortgage Trust        
  2015-GC31 3.762% 6/10/48 10,960 11,561
4 Citigroup Commercial Mortgage Trust        
  2015-GC33 3.778% 9/10/58 8,697 9,183
4 Citigroup Commercial Mortgage Trust        
  2015-GC33 4.570% 9/10/58 900 897
4 Citigroup Commercial Mortgage Trust        
  2016-C1 3.209% 5/10/49 9,456 9,608
4 Citigroup Commercial Mortgage Trust        
  2016-P4 2.902% 7/10/49 17,560 17,443
4,8 Citigroup Commercial Mortgage Trust        
  2017-C4 3.471% 10/12/50 9,850 10,145
4 Citigroup Commercial Mortgage Trust        
  2017-P8 3.465% 9/15/50 14,250 14,731
4 Citigroup Commercial Mortgage Trust        
  2017-P8 4.192% 9/15/50 3,150 3,241
4 Citigroup Commercial Mortgage Trust        
  2017-P8 4.272% 9/15/50 3,150 3,160
4,9 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 4,872 4,906
4,9 CLI Funding V LLC 2013-1A 2.830% 3/18/28 3,102 3,065
4,9,11 Colony American Homes 2014-1A 2.387% 5/17/31 2,382 2,386
4,9,11 Colony American Homes 2014-1A 2.587% 5/17/31 1,960 1,959
4,9,11 Colony American Homes 2014-2 2.587% 7/17/31 571 571
4,9,11 Colony American Homes 2015-1 2.737% 7/17/32 440 440
4,9,11 Colony American Homes 2015-1A 2.437% 7/17/32 3,741 3,746
4,9,11 Colony Starwood Homes 2016-1A Trust 2.738% 7/17/33 6,717 6,753
4,9,11 Colony Starwood Homes 2016-1A Trust 3.388% 7/17/33 2,970 2,996
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,971 3,047
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900 4,065
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 6,778 6,867
4,9 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 6,160 6,305
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,899 6,993
4 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 420 425
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,919 2,951
4,9 COMM 2013-300P Mortgage Trust 4.353% 8/10/30 12,270 13,207
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 1,633 1,650
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 800 836
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 4,876 5,202
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 4,757 5,135
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,737 1,806
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 5,860 6,164
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 13,048 13,931
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/12/46 15,127 16,303
4 COMM 2013-CCRE13 Mortgage Trust 4.746% 11/12/46 855 928
4 COMM 2013-CCRE13 Mortgage Trust 4.746% 11/12/46 1,560 1,619
4,9 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 9,240 9,312
4,9 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 1,400 1,392
4 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 1,020 1,054

 

 

4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 8,560 8,956
4 COMM 2013-CCRE9 Mortgage Trust 4.231% 7/10/45 11,658 12,603
4,9 COMM 2013-CCRE9 Mortgage Trust 4.254% 7/10/45 2,780 2,881
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 2,106 2,125
4,9 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 1,308 1,364
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 585 631
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,883 3,930
4,9 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 6,702 6,748
4,9 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 18,320 19,030
4 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 500 530
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 4,432 4,767
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 1,563 1,579
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 4,350 4,637
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 1,300 1,387
4 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 1,010 1,056
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 6,335 6,719
4 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 1,290 1,358
4 COMM 2014-CCRE17 Mortgage Trust 4.735% 5/10/47 4,400 4,519
4 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 6,260 6,535
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 10,820 11,402
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 5,200 5,352
4 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 15,433 16,119
4 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 22,572 23,492
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 2,438 2,577
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 4,220 4,440
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 460 486
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 3,748 3,917
4 COMM 2015-CCRE27 Mortgage Trust 4.472% 10/10/48 1,760 1,804
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 13,303 13,563
9 Commonwealth Bank of Australia 2.000% 6/18/19 4,300 4,299
9 Commonwealth Bank of Australia 2.125% 7/22/20 29,495 29,476
4,9 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 5,580 5,687
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.307% 2/15/41 1,770 1,785
4 CSAIL 2015-C1 Commercial Mortgage        
  Trust 3.505% 4/15/50 4,003 4,146
4 CSAIL 2015-C2 Commercial Mortgage        
  Trust 3.504% 6/15/57 6,650 6,872
4 CSAIL 2015-C3 Commercial Mortgage        
  Trust 3.718% 8/15/48 6,150 6,446
4 CSAIL 2015-C3 Commercial Mortgage        
  Trust 4.358% 8/15/48 2,160 2,163
4 CSAIL 2016-C5 Commercial Mortgage        
  Trust 4.536% 11/15/48 3,620 3,714
4 CSAIL 2016-C7 Commercial Mortgage        
  Trust 3.502% 11/15/49 6,280 6,423
4 CSAIL 2017-C8 Commercial Mortgage        
  Trust 3.392% 6/15/50 13,760 13,984
4,9 DB Master Finance LLC 2017-1A 3.629% 11/20/47 7,860 7,921
4,9 DB Master Finance LLC 2017-1A 4.030% 11/20/47 5,890 5,909
4 DBJPM 16-C1 Mortgage Trust 3.351% 5/10/49 1,250 1,198
4 DBJPM 17-C6 Mortgage Trust 3.328% 6/10/50 9,640 9,862
4,9 Dell Equipment Finance Trust 2017-2 1.970% 2/24/20 9,430 9,430
4,9 Dell Equipment Finance Trust 2017-2 2.190% 10/24/22 5,090 5,093
4,11 Discover Card Execution Note Trust 2017-        
  A5 1.839% 12/15/26 29,260 29,546
9 DNB Boligkreditt AS 1.450% 3/21/18 3,300 3,297
4,9 Drive Auto Receivables Trust 2015-AA 3.060% 5/17/21 1,692 1,702

 

 

4,9 Drive Auto Receivables Trust 2015-AA 4.120% 7/15/22 2,000 2,040
4,9 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 3,144 3,156
4,9 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 3,600 3,680
4,9 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 4,378 4,398
4,9 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 5,630 5,783
4,9 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 7,742 7,808
4,9 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 9,250 9,530
4,9 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 3,780 3,835
4,9 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 3,422 3,429
4,9 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 8,050 8,136
4,9 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 11,330 11,715
4,9 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 8,691 8,694
4,9 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 9,500 9,527
4,9 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 10,540 10,862
4 Drive Auto Receivables Trust 2017-1 1.860% 3/16/20 11,210 11,214
4 Drive Auto Receivables Trust 2017-1 3.840% 3/15/23 1,640 1,657
4 Drive Auto Receivables Trust 2017-3 1.650% 8/15/19 12,060 12,060
4 Drive Auto Receivables Trust 2017-3 1.850% 4/15/20 3,460 3,460
4 Drive Auto Receivables Trust 2017-3 2.300% 5/17/21 10,260 10,261
4 Drive Auto Receivables Trust 2017-3 2.800% 7/15/22 13,040 13,077
4,9,11 Edsouth Indenture No 9 LLC 2015-1 2.038% 10/25/56 7,136 7,154
4,9 Enterprise Fleet Financing LLC Series        
  2015-1 1.740% 9/20/20 17,660 17,664
4,9 Enterprise Fleet Financing LLC Series        
  2015-2 2.090% 2/22/21 7,190 7,191
4,9 Enterprise Fleet Financing LLC Series        
  2016-1 2.080% 9/20/21 18,140 18,079
4,9 Enterprise Fleet Financing LLC Series        
  2016-2 2.040% 2/22/22 2,750 2,729
4,9 Enterprise Fleet Financing LLC Series        
  2017-3 2.360% 5/20/23 5,910 5,909
4,9,11 Evergreen Credit Card Trust Series 2016-3 1.739% 11/16/20 11,910 11,954
4,9,11 Evergreen Credit Card Trust Series 2017-1 1.499% 10/15/21 25,660 25,679
4,5,11 Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.688% 1/25/29 1,818 1,834
4,5,11 Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.588% 1/25/29 1,037 1,043
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K054 2.745% 1/25/26 5,510 5,495
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K056 2.525% 5/25/26 2,250 2,203
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K057 2.570% 7/25/26 2,000 1,962
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K061 3.347% 11/25/26 9,430 9,781
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K062 3.413% 12/25/26 8,950 9,330
4,5 FHLMC Multifamily Structured Pass        
  Through Certificates K068 3.244% 8/25/27 3,610 3,711
4,11 First National Master Note Trust 2017-2 1.677% 10/16/23 9,120 9,127
4,9 Flagship Credit Auto Trust 2016-4 1.960% 2/16/21 6,360 6,339
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 5,560 5,566
4 Ford Credit Auto Lease Trust 2016-A 1.850% 7/15/19 17,030 17,046
4 Ford Credit Auto Lease Trust 2017-B 2.030% 12/15/20 14,340 14,341
4 Ford Credit Auto Lease Trust 2017-B 2.170% 2/15/21 7,250 7,253
4 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 2,890 2,890
4,9 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 17,458 17,559
4,9 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 2,900 2,912

 

 

4,9 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 10,300 10,373
4,9 Ford Credit Auto Owner Trust 2014-REV2 2.510% 4/15/26 2,160 2,171
4 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 4,670 4,667
4 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 2,085 2,090
4,9 Ford Credit Auto Owner Trust 2015-REV2 2.440% 1/15/27 26,000 26,209
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 2,430 2,406
4,9 Ford Credit Auto Owner Trust 2016-REV1 2.310% 8/15/27 13,820 13,859
4,9 Ford Credit Auto Owner Trust 2016-REV2 2.030% 12/15/27 20,230 20,020
4,9 Ford Credit Auto Owner Trust 2017-1 2.620% 8/15/28 24,010 24,235
4,9 Ford Credit Auto Owner Trust 2017-2 2.360% 3/15/29 26,970 26,834
4,9 Ford Credit Auto Owner Trust 2017-2 2.600% 3/15/29 4,800 4,755
4,9 Ford Credit Auto Owner Trust 2017-2 2.750% 3/15/29 9,830 9,726
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2013-4 2.100% 6/15/20 670 671
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2013-4 2.290% 6/15/20 720 720
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2013-4 2.790% 6/15/20 290 290
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2014-2 2.310% 2/15/21 900 902
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2015-5 2.390% 8/15/22 8,480 8,548
4,11 Ford Credit Floorplan Master Owner Trust        
  A Series 2016-1 2.139% 2/15/21 9,790 9,872
4,11 Ford Credit Floorplan Master Owner Trust        
  A Series 2016-4 1.769% 7/15/20 14,110 14,144
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2017-1 2.070% 5/15/22 56,020 56,002
4 Ford Credit Floorplan Master Owner Trust        
  A Series 2017-2 2.160% 9/15/22 37,850 37,893
4,5,11 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.488% 10/25/28 193 194
4,5,11 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.438% 10/25/28 1,130 1,146
4,5,11 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.338% 12/25/28 1,000 1,002
4,5,11 Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 3.238% 12/25/28 2,760 2,814
4,9 FRS I LLC 2013-1A 1.800% 4/15/43 402 401
4,9 FRS I LLC 2013-1A 3.080% 4/15/43 5,970 5,951
4 GM Financial Automobile Leasing Trust        
  2015-1 1.730% 6/20/19 1,650 1,651
4 GM Financial Automobile Leasing Trust        
  2015-2 2.420% 7/22/19 2,600 2,602
4 GM Financial Automobile Leasing Trust        
  2015-2 2.990% 7/22/19 2,320 2,327
4 GM Financial Automobile Leasing Trust        
  2015-3 1.690% 3/20/19 6,714 6,714
4 GM Financial Automobile Leasing Trust        
  2015-3 2.320% 11/20/19 1,310 1,314
4 GM Financial Automobile Leasing Trust        
  2015-3 2.980% 11/20/19 2,870 2,891
4 GM Financial Automobile Leasing Trust        
  2015-3 3.480% 8/20/20 2,870 2,898
4 GM Financial Automobile Leasing Trust        
  2016-1 1.790% 3/20/20 17,520 17,525
4 GM Financial Automobile Leasing Trust        
  2016-2 2.580% 3/20/20 1,920 1,913

 

 

4 GM Financial Automobile Leasing Trust        
  2017-2 2.180% 6/21/21 5,010 5,007
4 GM Financial Automobile Leasing Trust        
  2017-3 2.010% 11/20/20 10,470 10,454
4 GM Financial Automobile Leasing Trust        
  2017-3 2.120% 9/20/21 3,290 3,284
4 GM Financial Automobile Leasing Trust        
  2017-3 2.400% 9/20/21 4,120 4,106
4 GM Financial Automobile Leasing Trust        
  2017-3 2.730% 9/20/21 2,240 2,227
4,9 GM Financial Consumer Automobile 2017-        
  3 2.130% 3/16/23 5,350 5,342
4,9 GM Financial Consumer Automobile 2017-        
  3 2.330% 3/16/23 1,640 1,637
4,9 GMF Floorplan Owner Revolving Trust        
  2015-1 1.650% 5/15/20 12,000 12,000
4,9 GMF Floorplan Owner Revolving Trust        
  2015-1 1.970% 5/15/20 3,770 3,769
4,9,11 GMF Floorplan Owner Revolving Trust        
  2016-1 2.089% 5/17/21 20,000 20,175
4,9 GMF Floorplan Owner Revolving Trust        
  2016-1 2.410% 5/17/21 5,290 5,286
4,9 GMF Floorplan Owner Revolving Trust        
  2016-1 2.850% 5/17/21 3,900 3,861
4,9,11 GMF Floorplan Owner Revolving Trust        
  2017-1 1.809% 1/18/22 230 231
4,9 GMF Floorplan Owner Revolving Trust        
  2017-2 2.130% 7/15/22 42,410 42,204
4,9 GMF Floorplan Owner Revolving Trust        
  2017-2 2.440% 7/15/22 13,200 13,137
4,9 GMF Floorplan Owner Revolving Trust        
  2017-2 2.630% 7/15/22 7,240 7,203
4,9,11 Golden Credit Card Trust 2015-1A 1.679% 2/15/20 35,000 35,033
4,9 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 13,530 13,516
4,9 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 26,780 26,538
4,9 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 1,000 1,030
4,9 GreatAmerica Leasing Receivables        
  Funding LLC Series 2015-1 2.020% 6/21/21 1,680 1,668
4,9 GreatAmerica Leasing Receivables        
  Funding LLC Series 2016-1 1.990% 4/20/22 10,580 10,525
4,9 GS Mortgage Securities Corporation II        
  2012-BWTR 2.954% 11/5/34 7,625 7,640
4 GS Mortgage Securities Corporation II        
  2015-GC30 3.382% 5/10/50 4,788 4,931
4,9 GS Mortgage Securities Corporation Trust        
  2012-ALOHA 3.551% 4/10/34 5,430 5,645
4,9 GS Mortgage Securities Trust 2010-C2 5.183% 12/10/43 1,370 1,460
4,9 GS Mortgage Securities Trust 2011-GC3 5.632% 3/10/44 2,650 2,853
4,9 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,111
4 GS Mortgage Securities Trust 2012-GCJ7 5.702% 5/10/45 2,140 2,291
4 GS Mortgage Securities Trust 2013-GC13 4.033% 7/10/46 185 200
4,9 GS Mortgage Securities Trust 2013-GC13 4.066% 7/10/46 1,210 1,216
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 4,128 4,206
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 1,550 1,568
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 1,863 1,871
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 800 836
4 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 6,005 6,355
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 105 113

 

 

4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 10,638 11,349
4 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 570 590
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 13,475 14,310
4 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 6,520 6,798
4 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 2,610 2,738
4 GS Mortgage Securities Trust 2014-GC24 4.529% 9/10/47 4,615 4,679
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 10,930 11,445
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 9,200 9,306
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 14,490 15,291
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 7,670 7,933
4 GS Mortgage Securities Trust 2015-GC34 4.654% 10/10/48 2,610 2,662
9 GTP Acquisition Partners I LLC 3.482% 6/16/25 9,030 8,967
4,9 Hertz Vehicle Financing II LP 2015-1A 2.730% 3/25/21 11,150 11,152
4,9 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 4,700 4,663
4,9 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 16,350 16,333
4,9 Hertz Vehicle Financing LLC 2016-2A 2.950% 3/25/22 4,645 4,646
4,9 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 1,650 1,645
4,9 Hertz Vehicle Financing LLC 2016-4A 2.650% 7/25/22 3,290 3,246
4,9 Hertz Vehicle Financing LLC 2017-2A 3.290% 10/25/23 6,510 6,517
4,9 Hertz Vehicle Financing LLC 2017-2A 4.200% 10/25/23 12,380 12,422
4,9 Hilton USA Trust 2016-HHV 3.719% 11/5/38 7,780 8,016
4,9 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 4,000 3,971
4,9 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 4,750 4,850
4,9 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 7,250 7,252
4,9 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 7,130 7,135
4,9 Hyundai Auto Lease Securitization Trust        
  2017-B 2.130% 3/15/21 10,930 10,885
4 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 2,350 2,353
4 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 1,900 1,904
4 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 1,700 1,702
4 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 1,150 1,153
4 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 2,200 2,207
4 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 1,400 1,405
4 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 3,290 3,297
10 Illinois Student Assistance Commission        
  Series 2010-1 2.417% 4/25/22 1,559 1,564
4,9,11 Invitation Homes 2014-SFR2 Trust 2.337% 9/17/31 2,429 2,429
4,9,11 Invitation Homes 2014-SFR2 Trust 2.837% 9/17/31 700 700
4,9,11 Invitation Homes 2015-SFR2 Trust 2.587% 6/17/32 2,843 2,852
4,9,11 Invitation Homes 2015-SFR2 Trust 2.887% 6/17/32 1,510 1,514
4,9,11 Invitation Homes 2015-SFR3 Trust 2.987% 8/17/32 1,650 1,652
4,9 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 6,631 6,780
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 1,727 1,736
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 5,831 6,076
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 139 141
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 1,239 1,293
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.662% 11/15/43 2,313 2,445
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.662% 11/15/43 2,730 2,870
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 2,960 2,984

 

 

4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 7,534 7,998
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 3,170 3,357
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.408% 8/15/46 4,000 4,356
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-RR1 4.717% 3/16/46 920 973
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 3,921 4,073
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 4,729 4,769
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 22,630 23,019
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 1,350 1,422
4,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 6,079 6,227
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 4,670 4,740
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 323 345
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 4.052% 1/15/46 2,550 2,615
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 1,215 1,263
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 651 686
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 29,810 31,979
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.910% 12/15/46 2,135 2,294
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.975% 12/15/46 960 1,010
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 10,979 11,174
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2016-JP4 3.648% 12/15/49 9,670 10,145
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2017-JP6 3.490% 7/15/50 4,100 4,220
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.363% 7/15/45 6,780 7,007
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 5,515 5,794
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.030% 7/15/45 5,000 5,247
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 1,572 1,636
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 6,118 6,578
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 528 533
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 400 415
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 4.927% 11/15/45 1,750 1,870
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 5.081% 11/15/45 1,340 1,421

 

 

4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 4,363 4,710
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 14,680 15,760
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 600 639
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.814% 2/15/47 2,500 2,656
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.814% 2/15/47 1,000 1,039
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C19 3.997% 4/15/47 2,910 3,107
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.493% 8/15/47 5,570 5,731
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 2,117 2,221
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.231% 1/15/48 13,220 13,371
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C26 3.494% 1/15/48 5,120 5,319
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C27 3.179% 2/15/48 9,823 10,001
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.551% 7/15/48 4,640 4,782
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 3.822% 7/15/48 2,430 2,574
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 7/15/48 2,245 2,376
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 4,660 4,925
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 3,783 3,951
4 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 7,300 7,667
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP5 3.723% 3/15/50 11,590 12,174
4 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP7 3.454% 9/15/50 8,770 9,058
4 JPMDB Commercial Mortgage Securities        
  Trust 2017-C7 3.409% 10/15/50 3,460 3,534
4,9 LCCM 2014-909 Mortgage Trust 3.388% 5/15/31 910 932
4,9 Madison Avenue Trust 2013-650M 3.843% 10/12/32 1,245 1,292
4,9,11 Mercedes-Benz Master Owner Trust 2017-        
  B 1.659% 5/16/22 24,430 24,498
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 1,256 1,260
4,9 Miramax LLC 2014-1A 3.340% 7/20/26 522 525
4,9 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 2,048 2,051
4,9 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 13,600 13,624
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.176% 8/15/45 8,462 8,664
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C5 3.792% 8/15/45 16,040 16,748
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2012-C6 2.858% 11/15/45 6,337 6,397
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.082% 7/15/46 1,830 1,828
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2013-C10 4.082% 7/15/46 1,244 1,333

 

 

4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C11 3.085% 8/15/46 562 567
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C11 3.960% 8/15/46 11,427 12,074
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C11 4.169% 8/15/46 7,317 7,785
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C12 3.824% 10/15/46 1,005 1,046
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C12 4.259% 10/15/46 1,940 2,090
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C13 4.039% 11/15/46 400 426
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C7 2.918% 2/15/46 2,470 2,497
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C7 3.214% 2/15/46 2,000 2,036
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2013-C9 3.102% 5/15/46 12,980 13,211
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C14 4.064% 2/15/47 2,300 2,446
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C14 4.384% 2/15/47 1,600 1,695
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 3.773% 4/15/47 11,716 12,295
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 4.051% 4/15/47 20,825 22,157
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C15 4.892% 4/15/47 1,140 1,191
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 3.892% 6/15/47 8,646 9,112
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.094% 6/15/47 935 981
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.322% 6/15/47 7,090 7,396
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C16 4.755% 6/15/47 2,400 2,461
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C17 3.741% 8/15/47 28,696 30,302
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C17 4.011% 8/15/47 1,380 1,429
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C18 3.923% 10/15/47 5,430 5,731
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2014-C19 3.526% 12/15/47 3,940 4,068
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C20 3.249% 2/15/48 12,573 12,778
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C23 3.451% 7/15/50 3,420 3,506
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C24 3.479% 5/15/48 4,300 4,431
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C24 3.732% 5/15/48 770 808
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2015-C25 3.635% 10/15/48 2,938 3,047
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2016-C29 3.325% 5/15/49 700 711
4 Morgan Stanley Bank of America Merrill        
Lynch Trust 2016-C29 4.752% 5/15/49 1,090 1,137

 

 

4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2016-C32 3.720% 12/15/49 19,390 20,265
4 Morgan Stanley Bank of America Merrill        
  Lynch Trust 2017-C34 3.536% 11/15/52 6,520 6,773
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 2,260 2,322
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440 2,507
4,9 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,407 6,420
4,9 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370 6,692
4,9 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 2,795 2,877
4,9 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 4,430 4,587
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 10,064 10,620
4 Morgan Stanley Capital I Trust 2015-UBS8 4.589% 12/15/48 3,210 3,257
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 21,780 21,198
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594% 3/15/49 4,770 4,934
4,9,11 Motor plc 2017 1A 1.768% 9/25/24 31,470 31,766
4,9 MSBAM Commercial Mortgage Securities        
  Trust 2012-CKSV 3.277% 10/15/30 11,190 11,143
9 National Australia Bank Ltd. 2.250% 3/16/21 1,830 1,827
4,9,11 Navient Student Loan Trust 2016-2 2.288% 6/25/65 2,420 2,454
4,9,11 Navient Student Loan Trust 2016-3 2.088% 6/25/65 2,050 2,073
4,9,11 Navient Student Loan Trust 2016-6A 1.988% 3/25/66 12,400 12,537
4,9,11 Navient Student Loan Trust 2017-4A 1.738% 9/27/66 8,390 8,417
4,9,11 Navient Student Loan Trust 2017-A 1.640% 12/16/58 9,810 9,810
4,9 Navient Student Loan Trust 2017-A 2.880% 12/16/58 8,940 8,939
4,9,11 Navistar Financial Dealer Note Master        
  Trust II 2016-1A 2.588% 9/27/21 15,350 15,461
4,11 New Mexico Educational Assistance        
  Foundation 2013-1 1.935% 1/2/25 3,089 3,081
4,9 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 6,720 6,760
4 Nissan Auto Lease Trust 2017-A 1.910% 4/15/20 24,810 24,811
4 Nissan Auto Lease Trust 2017-A 2.040% 9/15/22 8,960 8,921
4 Nissan Auto Lease Trust 2017-B 2.050% 9/15/20 18,990 18,967
4 Nissan Auto Lease Trust 2017-B 2.170% 12/15/21 5,300 5,305
10 North Carolina State Education Assistance        
  Authority 2011-1 2.267% 1/26/26 348 348
4,9 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 121 128
4,9 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 8,980 8,982
4,9,11 Pepper Residential Securities Trust 2017A-        
  A1UA 2.338% 3/10/58 9,257 9,258
4,9,11 Pepper Residential Securities Trust 2018A-        
  A1UA 2.188% 3/12/47 1,911 1,910
4,8,9, Pepper Residential Securities Trust 2019A-        
11 A1U1 1.614% 10/12/18 13,610 13,610
4,9 PFS Financing Corp 2017-B 2.220% 7/15/22 15,980 15,900
4,9,11 PFS Financing Corp. 2015-AA 1.859% 4/15/20 3,500 3,504
4,9,11 PFS Financing Corp. 2017-C 1.708% 10/15/21 16,560 16,560
4,9 PFS Financing Corp. 2017-D 2.400% 10/17/22 17,210 17,215
4,9,11 PHEAA Student Loan Trust 2016-2A 2.188% 11/25/65 15,352 15,391
4,9 Porsche Innovative Lease Owner Trust        
  2015-1 1.430% 5/21/21 4,510 4,509
4,9 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 2,464 2,467
4,9 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 9,332 9,352
4,9 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 3,460 3,527
4,9,10 Resimac Premier Series 2014-1A 2.010% 12/12/45 1,867 1,868
4,9,11 Resimac Premier Series 2016-1A 2.628% 10/10/47 25,638 25,704
  Royal Bank of Canada 2.200% 9/23/19 2,573 2,582
  Royal Bank of Canada 2.100% 10/14/20 1,090 1,087

 

 

4 Royal Bank of Canada 1.875% 2/5/21 4,800 4,774
  Royal Bank of Canada 2.300% 3/22/21 5,540 5,517
4 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 5,160 5,264
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 6,699 6,708
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 9,420 9,508
4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 9,610 9,646
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 2,450 2,455
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 1,610 1,623
4 Santander Drive Auto Receivables Trust        
  2016-2 3.390% 4/15/22 1,440 1,463
4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 8,060 8,049
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 9,330 9,363
4 Santander Drive Auto Receivables Trust        
  2017-3 1.870% 6/15/21 7,990 7,971
4 Santander Drive Auto Receivables Trust        
  2017-3 2.760% 12/15/22 3,980 4,011
9 SBA Tower Trust 3.156% 10/8/20 3,970 4,012
4,9 Securitized Term Auto Receivables Trust        
  2016-1A 1.524% 3/25/20 5,850 5,820
4,9 Securitized Term Auto Receivables Trust        
  2016-1A 1.794% 2/25/21 5,460 5,409
4,9 Securitized Term Auto Receivables Trust        
  2017-2A 2.289% 3/25/22 6,400 6,400
4,9 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 802 814
4,9 SLM Private Education Loan Trust 2011-B 3.740% 2/15/29 6,082 6,183
4,9 SLM Private Education Loan Trust 2011-C 4.540% 10/17/44 3,082 3,172
4,9 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 1,166 1,173
4,9,11 SLM Private Education Loan Trust 2013-A 2.289% 5/17/27 4,546 4,572
4,9 SLM Private Education Loan Trust 2013-A 2.500% 3/15/47 1,800 1,800
4,9 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 2,801 2,799
4,9 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 3,000 3,007
4,9 SLM Private Education Loan Trust 2013-C 3.500% 6/15/44 2,000 2,044
4,9 SLM Private Education Loan Trust 2014-A 2.590% 1/15/26 763 766
4,9 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 800 817
4,10 SLM Student Loan Trust 2005-5 1.467% 4/25/25 559 559
4 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 1,830 1,804
4,9 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 6,210 6,204
4,9,11 SMB Private Education Loan Trust 2016-B 2.689% 2/17/32 4,480 4,590
4,9,11 SMB Private Education Loan Trust 2016-C 2.339% 9/15/34 5,600 5,701
4,9,11 SMB Private Education Loan Trust 2017-A 2.139% 9/15/34 8,230 8,301
4,9 SMB Private Education Loan Trust 2017-B 2.820% 10/15/35 9,810 9,808
4,9 SoFi Professional Loan Program 2016-B        
  LLC 2.740% 10/25/32 4,300 4,307
4,9 SoFi Professional Loan Program 2016-C        
  LLC 2.360% 12/27/32 2,235 2,222
4,9 SoFi Professional Loan Program 2016-D        
  LLC 2.340% 4/25/33 2,340 2,315
4,9,11 SoFi Professional Loan Program 2016-D        
  LLC 2.188% 1/25/39 2,087 2,107

 

 

4,9 SoFi Professional Loan Program 2017-A        
  LLC 2.400% 3/26/40 1,280 1,267
4,9 SoFi Professional Loan Program 2017-B        
  LLC 2.740% 5/25/40 7,170 7,190
4,9,11 SoFi Professional Loan Program 2017-C        
  LLC 1.838% 7/25/40 1,841 1,839
4,9 SoFi Professional Loan Program 2017-D        
  LLC 2.650% 9/25/40 5,700 5,697
4,9 SoFi Professional Loan Program 2017-E        
  LLC 1.860% 11/26/40 21,630 21,586
4,9 SoFi Professional Loan Program 2017-E        
  LLC 2.720% 11/26/40 5,080 5,081
9 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 2,000 1,995
9 Stadshypotek AB 1.250% 5/23/18 1,930 1,923
9 Stadshypotek AB 1.750% 4/9/20 3,689 3,655
4 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 3,690 3,723
4 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 10,400 10,400
4 Synchrony Credit Card Master Note Trust        
  2015-4 2.380% 9/15/23 20,127 20,293
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 21,070 21,126
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 5,710 5,674
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 9,890 9,814
4 Synchrony Credit Card Master Note Trust        
  2017-2 2.620% 10/15/25 15,680 15,756
4 Synchrony Credit Card Master Note Trust        
  2017-2 2.820% 10/15/25 4,770 4,787
4 Synchrony Credit Card Master Note Trust        
  2017-2 3.010% 10/15/25 6,390 6,410
4 Synchrony Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 30,000 30,145
4,9 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 3,663 3,791
4,9 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 5,861 6,210
4,9 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 180 180
4,9 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 2,800 2,891
9 Toronto-Dominion Bank 2.250% 3/15/21 1,700 1,702
4,9 Trafigura Securitisation Finance plc 2014-        
  1A 2.184% 10/15/18 5,720 5,720
4,9 Trafigura Securitisation Finance plc 2017-        
  1A 2.470% 12/15/20 43,600 43,433
4,9,11 Trillium Credit Card Trust II 2016-1A 1.960% 5/26/21 53,860 54,038
4,9 Trip Rail Master Funding LLC 2017-1A 2.709% 8/15/47 3,282 3,283
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200 1,261
4,9 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,673 6,758
4 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 5,703 5,740
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.244% 4/10/46 3,970 4,084
4 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.469% 4/10/46 1,160 1,188
4,9 Verizon Owner Trust 2016-2A 1.680% 5/20/21 20,870 20,790
4,9 Verizon Owner Trust 2017-2A 1.920% 12/20/21 45,090 45,035
4,9 Verizon Owner Trust 2017-3 2.060% 4/20/22 15,460 15,462
4,9 Verizon Owner Trust 2017-3 2.380% 4/20/22 8,950 8,952

 

 

4,9 Verizon Owner Trust 2017-3 2.530% 4/20/22 9,610 9,589
4,9 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 9,070 9,211
4,9 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 1,100 1,144
4,9 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 650 671
4,9 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 490 504
4,9 Volvo Financial Equipment LLC Series        
  2015-1A 1.910% 1/15/20 3,105 3,107
4,9 Volvo Financial Equipment LLC Series        
  2016-1A 1.890% 9/15/20 3,450 3,438
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 6,384 6,475
4 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 7,210 7,358
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 954 1,000
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 7,883 8,479
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.548% 8/15/50 11,500 11,894
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 8,920 9,451
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 700 736
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 2,400 2,521
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 1,450 1,488
4 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.405% 12/15/47 1,470 1,508
4 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 29,385 29,648
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 16,385 17,160
4 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.225% 6/15/48 2,310 2,324
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 7,300 7,537
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 4,380 4,596
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 2,250 2,370
4 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.497% 9/15/58 2,740 2,806
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 5,269 5,590
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 2,045 2,173
4 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.541% 9/15/58 5,225 5,237
4 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 9/15/48 7,831 8,256
4 Wells Fargo Commercial Mortgage Trust        
  2016-C32 3.560% 1/15/59 5,750 5,988
4 Wells Fargo Commercial Mortgage Trust        
  2016-C37 3.794% 12/15/49 7,730 8,192
4 Wells Fargo Commercial Mortgage Trust        
  2017-C38 3.453% 7/15/50 13,750 14,201

 

 

4 Wells Fargo Commercial Mortgage Trust        
  2017-C39 3.418% 9/15/50 13,790 14,202
4 Wells Fargo Commercial Mortgage Trust        
  2017-C40 3.581% 10/15/50 15,120 15,739
4 Wells Fargo Commercial Mortgage Trust        
  2017-RC1 3.631% 1/15/60 5,830 6,077
4,11 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2015-2 1.889% 1/20/22 19,025 19,139
4,9 Wendys Funding LLC 2015-1A 3.371% 6/15/45 480 483
4,9 Wendys Funding LLC 2015-1A 4.080% 6/15/45 7,125 7,257
4,9 Wendys Funding LLC 2015-1A 4.497% 6/15/45 2,264 2,312
9 Westpac Banking Corp. 1.850% 11/26/18 6,285 6,284
9 Westpac Banking Corp. 2.000% 3/3/20 13,770 13,730
9 Westpac Banking Corp. 2.250% 11/9/20 7,430 7,415
9 Westpac Banking Corp. 2.100% 2/25/21 1,860 1,845
4,9 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 4,640 4,818
4,9 WFRBS Commercial Mortgage Trust 2011-        
  C3 4.375% 3/15/44 6,202 6,538
4 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 5,280 5,343
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 3.431% 6/15/45 6,130 6,348
4 WFRBS Commercial Mortgage Trust 2012-        
  C7 4.090% 6/15/45 4,170 4,347
4 WFRBS Commercial Mortgage Trust 2012-        
  C8 3.001% 8/15/45 3,789 3,870
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 2.870% 11/15/45 11,371 11,514
4 WFRBS Commercial Mortgage Trust 2012-        
  C9 3.388% 11/15/45 2,870 2,917
4 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 2,220 2,239
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 2,133 2,218
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 6,044 6,477
4 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 357 370
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 2,116 2,208
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 7,778 8,357
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.660% 12/15/46 1,085 1,172
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 3.829% 3/15/47 2,130 2,231
4 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 10,595 11,368
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 14,675 15,680
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.378% 5/15/47 2,410 2,495
4 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 1,410 1,423
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.410% 8/15/47 1,520 1,558
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 13,235 13,841

 

 

4 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 700 715
4 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 2,410 2,393
4 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 4,167 4,440
4 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 14,179 14,783
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.766% 3/15/47 920 965
4 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 13,996 14,984
4 World Omni Auto Receivables Trust 2016-A 1.770% 9/15/21 12,000 11,994
4 World Omni Auto Receivables Trust 2016-B 1.300% 2/15/22 5,630 5,583
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,703,581)   4,715,861
Corporate Bonds (67.7%)        
Finance (30.7%)        
  Banking (20.9%)        
9 ABN AMRO Bank NV 2.500% 10/30/18 27,285 27,461
  American Express Co. 3.000% 10/30/24 41,835 41,755
  American Express Credit Corp. 1.700% 10/30/19 4,669 4,647
  American Express Credit Corp. 2.200% 3/3/20 19,825 19,870
  American Express Credit Corp. 2.375% 5/26/20 4,700 4,730
  American Express Credit Corp. 2.250% 5/5/21 7,448 7,444
  American Express Credit Corp. 2.700% 3/3/22 28,365 28,647
  Australia & New Zealand Banking Group        
  Ltd. 2.550% 11/23/21 15,852 15,866
9 Australia & New Zealand Banking Group        
  Ltd. 4.500% 3/19/24 8,270 8,682
12 Australia & New Zealand Banking Group        
  Ltd. 3.640% 6/25/24 15,205 11,801
9 Banco de Credito del Peru 4.250% 4/1/23 5,000 5,290
  Bank of America Corp. 3.300% 1/11/23 12,677 12,984
4 Bank of America Corp. 3.124% 1/20/23 28,235 28,668
  Bank of America Corp. 4.125% 1/22/24 33,430 35,593
  Bank of America Corp. 3.875% 8/1/25 10,000 10,489
4 Bank of America Corp. 3.093% 10/1/25 72,895 72,641
  Bank of America Corp. 4.450% 3/3/26 8,900 9,462
4 Bank of America Corp. 3.824% 1/20/28 23,700 24,323
  Bank of New York Mellon Corp. 2.600% 8/17/20 3,017 3,057
  Bank of New York Mellon Corp. 2.450% 11/27/20 14,339 14,447
  Bank of New York Mellon Corp. 4.150% 2/1/21 17,664 18,683
  Bank of New York Mellon Corp. 2.050% 5/3/21 10,780 10,731
  Bank of New York Mellon Corp. 3.550% 9/23/21 16,040 16,787
  Bank of New York Mellon Corp. 3.650% 2/4/24 17,000 17,875
  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 11,444
  Bank of New York Mellon Corp. 3.000% 2/24/25 15,800 15,906
  Bank of New York Mellon Corp. 2.800% 5/4/26 8,115 7,954
4 Bank of New York Mellon Corp. 3.442% 2/7/28 29,200 29,909
  Bank of New York Mellon Corp. 3.000% 10/30/28 7,000 6,816
  Bank of Nova Scotia 4.375% 1/13/21 7,990 8,512
  Bank of Nova Scotia 2.700% 3/7/22 6,375 6,420
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 11,110 11,105
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 31,431 31,796
9 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 18,410 18,604
9 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 23,830 23,856

 

 

9 Banque Federative du Credit Mutuel SA 2.700% 7/20/22 50,685 50,736
  BB&T Corp. 5.250% 11/1/19 12,000 12,723
  BB&T Corp. 3.950% 3/22/22 4,400 4,647
  BNP Paribas SA 2.400% 12/12/18 3,150 3,175
  BNP Paribas SA 5.000% 1/15/21 29,350 31,767
  BNP Paribas SA 3.250% 3/3/23 6,235 6,402
12 BPCE SA 3.000% 4/24/20 7,260 5,613
12 BPCE SA 3.500% 4/24/20 19,800 15,407
  BPCE SA 4.000% 4/15/24 5,090 5,403
  Branch Banking & Trust Co. 2.850% 4/1/21 10,425 10,613
  Branch Banking & Trust Co. 2.625% 1/15/22 35,175 35,531
  Branch Banking & Trust Co. 3.625% 9/16/25 22,495 23,374
  Canadian Imperial Bank of Commerce 2.550% 6/16/22 3,225 3,227
  Capital One Financial Corp. 2.450% 4/24/19 2,450 2,463
  Capital One Financial Corp. 3.050% 3/9/22 12,715 12,895
  Capital One Financial Corp. 3.200% 2/5/25 2,650 2,635
  Capital One Financial Corp. 3.750% 7/28/26 20,000 19,885
  Capital One NA 1.500% 3/22/18 7,000 6,992
  Citigroup Inc. 2.900% 12/8/21 14,930 15,091
  Citigroup Inc. 3.375% 3/1/23 16,000 16,336
4 Citigroup Inc. 2.876% 7/24/23 35,700 35,574
  Citigroup Inc. 3.875% 10/25/23 28,736 30,014
  Citigroup Inc. 3.200% 10/21/26 44,200 43,664
9 Commonwealth Bank of Australia 5.000% 10/15/19 2,702 2,849
  Commonwealth Bank of Australia 2.300% 3/12/20 3,000 3,010
9 Commonwealth Bank of Australia 5.000% 3/19/20 11,560 12,290
  Commonwealth Bank of Australia 2.400% 11/2/20 11,075 11,123
9 Commonwealth Bank of Australia 2.000% 9/6/21 6,480 6,365
9 Commonwealth Bank of Australia 2.750% 3/10/22 22,040 22,251
9 Commonwealth Bank of Australia 2.500% 9/18/22 33,880 33,731
12 Commonwealth Bank of Australia 3.640% 11/5/24 20,700 16,131
9 Commonwealth Bank of Australia 4.500% 12/9/25 23,555 24,699
12 Commonwealth Bank of Australia 4.385% 6/3/26 5,300 4,232
9 Commonwealth Bank of Australia 3.150% 9/19/27 36,935 36,509
  Cooperatieve Rabobank UA 2.250% 1/14/20 15,590 15,660
  Cooperatieve Rabobank UA 2.500% 1/19/21 21,455 21,636
  Cooperatieve Rabobank UA 3.875% 2/8/22 22,757 24,094
  Cooperatieve Rabobank UA 3.950% 11/9/22 15,660 16,455
  Cooperatieve Rabobank UA 4.625% 12/1/23 80,134 86,689
12 Cooperatieve Rabobank UA 4.205% 7/2/25 3,500 2,748
  Cooperatieve Rabobank UA 4.375% 8/4/25 63,075 66,627
  Credit Suisse AG 2.300% 5/28/19 9,820 9,871
  Credit Suisse AG 3.000% 10/29/21 40,000 40,869
  Credit Suisse AG 3.625% 9/9/24 65,000 67,671
9 Credit Suisse Group AG 4.282% 1/9/28 20,610 21,464
  Credit Suisse Group Funding Guernsey        
  Ltd. 3.800% 9/15/22 3,525 3,656
  Credit Suisse Group Funding Guernsey        
  Ltd. 3.800% 6/9/23 22,915 23,778
  Discover Bank 7.000% 4/15/20 3,665 4,048
  Fifth Third Bank 2.875% 10/1/21 12,105 12,329
  Fifth Third Bank 3.850% 3/15/26 2,790 2,878
  First Republic Bank 2.375% 6/17/19 11,791 11,805
  First Republic Bank 2.500% 6/6/22 39,370 39,072
  FirstMerit Corp. 4.350% 2/4/23 9,000 9,445
  Goldman Sachs Group Inc. 2.300% 12/13/19 58,075 58,220
  Goldman Sachs Group Inc. 2.750% 9/15/20 15,522 15,685
  Goldman Sachs Group Inc. 2.600% 12/27/20 23,970 24,079

 

 

  Goldman Sachs Group Inc. 2.875% 2/25/21 15,632 15,834
  Goldman Sachs Group Inc. 2.625% 4/25/21 21,894 21,950
  Goldman Sachs Group Inc. 5.750% 1/24/22 52,535 58,703
  Goldman Sachs Group Inc. 3.000% 4/26/22 36,960 37,258
4 Goldman Sachs Group Inc. 2.876% 10/31/22 41,745 41,791
4 Goldman Sachs Group Inc. 2.908% 6/5/23 34,180 34,124
4 Goldman Sachs Group Inc. 2.905% 7/24/23 29,410 29,254
  Goldman Sachs Group Inc. 4.000% 3/3/24 32,121 33,871
  Goldman Sachs Group Inc. 3.850% 7/8/24 25,937 27,021
13 Goldman Sachs Group Inc. 1.250% 5/1/25 3,742 4,382
  Goldman Sachs Group Inc. 3.750% 5/22/25 95,297 98,205
4 Goldman Sachs Group Inc. 3.272% 9/29/25 67,815 67,590
4 Goldman Sachs Group Inc. 3.691% 6/5/28 31,070 31,253
4 Goldman Sachs Group Inc. 4.017% 10/31/38 12,400 12,490
  HSBC Bank USA NA 4.875% 8/24/20 24,478 26,212
  HSBC Holdings plc 3.400% 3/8/21 14,110 14,563
  HSBC Holdings plc 2.950% 5/25/21 22,430 22,813
  HSBC Holdings plc 2.650% 1/5/22 13,920 13,938
  HSBC Holdings plc 4.000% 3/30/22 25,000 26,399
4 HSBC Holdings plc 3.262% 3/13/23 77,780 79,212
  HSBC Holdings plc 3.600% 5/25/23 50,120 52,155
  HSBC Holdings plc 4.250% 3/14/24 17,500 18,306
  HSBC Holdings plc 4.300% 3/8/26 4,200 4,505
  HSBC Holdings plc 3.900% 5/25/26 9,665 10,103
  HSBC Holdings plc 4.375% 11/23/26 9,010 9,455
4 HSBC Holdings plc 4.041% 3/13/28 100,399 105,124
4 HSBC Holdings plc 6.000% 11/22/65 13,930 14,752
  Huntington National Bank 2.400% 4/1/20 7,000 7,026
  Huntington National Bank 2.500% 8/7/22 28,610 28,399
  ICICI Bank Ltd. 4.000% 3/18/26 3,500 3,593
  ING Groep NV 3.950% 3/29/27 10,000 10,466
9 Intesa Sanpaolo SPA 3.125% 7/14/22 8,750 8,768
9 Intesa Sanpaolo SPA 3.875% 7/14/27 24,175 24,266
  JPMorgan Chase & Co. 2.550% 10/29/20 61,384 61,885
  JPMorgan Chase & Co. 2.550% 3/1/21 17,560 17,677
  JPMorgan Chase & Co. 2.295% 8/15/21 15,250 15,184
  JPMorgan Chase & Co. 4.500% 1/24/22 18,655 20,091
  JPMorgan Chase & Co. 3.250% 9/23/22 23,500 24,180
  JPMorgan Chase & Co. 2.972% 1/15/23 54,172 54,869
4 JPMorgan Chase & Co. 2.776% 4/25/23 31,685 31,752
  JPMorgan Chase & Co. 2.700% 5/18/23 26,538 26,476
  JPMorgan Chase & Co. 3.875% 2/1/24 22,900 24,210
  JPMorgan Chase & Co. 3.625% 5/13/24 6,336 6,593
  JPMorgan Chase & Co. 3.125% 1/23/25 17,320 17,372
4 JPMorgan Chase & Co. 3.220% 3/1/25 19,675 19,851
  JPMorgan Chase & Co. 3.300% 4/1/26 8,665 8,704
  JPMorgan Chase & Co. 3.200% 6/15/26 8,186 8,181
4 JPMorgan Chase & Co. 3.782% 2/1/28 49,000 50,286
4 JPMorgan Chase & Co. 3.540% 5/1/28 27,820 27,982
4 JPMorgan Chase & Co. 3.882% 7/24/38 15,640 15,693
  KeyBank NA 3.300% 6/1/25 20,000 20,353
  Lloyds Bank plc 2.700% 8/17/20 13,573 13,763
  Lloyds Bank plc 6.375% 1/21/21 9,172 10,223
  Lloyds Banking Group plc 3.000% 1/11/22 6,030 6,102
4 Lloyds Banking Group plc 2.907% 11/7/23 35,695 35,679
9 Macquarie Bank Ltd. 2.400% 1/21/20 7,765 7,772
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 5,758 5,782
  Manufacturers & Traders Trust Co. 2.500% 5/18/22 8,490 8,506

 

 

  Manufacturers & Traders Trust Co. 3.400% 8/17/27 13,885 13,933
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 103,235 104,820
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 32,705 32,159
  Mitsubishi UFJ Financial Group Inc. 2.998% 2/22/22 8,925 9,044
  Mitsubishi UFJ Financial Group Inc. 2.665% 7/25/22 45,975 45,849
  Mitsubishi UFJ Financial Group Inc. 2.527% 9/13/23 8,975 8,769
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 28,570 29,525
  Mitsubishi UFJ Financial Group Inc. 3.287% 7/25/27 55,440 55,025
9 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 20,000 20,117
9 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 29,055 29,254
  Mizuho Financial Group Inc. 2.953% 2/28/22 6,990 7,057
  Morgan Stanley 7.300% 5/13/19 5,000 5,388
  Morgan Stanley 5.625% 9/23/19 20,500 21,796
  Morgan Stanley 5.500% 1/26/20 16,035 17,164
  Morgan Stanley 5.500% 7/24/20 12,000 13,020
  Morgan Stanley 5.750% 1/25/21 24,000 26,487
  Morgan Stanley 2.500% 4/21/21 3,224 3,227
  Morgan Stanley 5.500% 7/28/21 26,800 29,555
  Morgan Stanley 2.625% 11/17/21 56,720 56,739
  Morgan Stanley 2.750% 5/19/22 44,275 44,263
  Morgan Stanley 3.875% 4/29/24 21,900 22,921
10 Morgan Stanley 2.532% 5/8/24 14,865 15,073
  Morgan Stanley 3.700% 10/23/24 15,525 16,098
  Morgan Stanley 4.000% 7/23/25 30,681 32,268
  Morgan Stanley 3.875% 1/27/26 48,504 50,615
  Morgan Stanley 3.625% 1/20/27 50,495 51,276
4 Morgan Stanley 3.591% 7/22/28 24,410 24,496
4 Morgan Stanley 3.971% 7/22/38 9,500 9,544
  MUFG Americas Holdings Corp. 2.250% 2/10/20 3,400 3,405
  MUFG Americas Holdings Corp. 3.500% 6/18/22 21,891 22,450
  MUFG Americas Holdings Corp. 3.000% 2/10/25 12,000 11,778
  National Australia Bank Ltd. 2.500% 5/22/22 18,950 18,847
  National Australia Bank Ltd. 3.000% 1/20/23 14,320 14,474
4,9 Nationwide Building Society 4.125% 10/18/32 9,045 9,047
9 Nordea Bank AB 2.500% 9/17/20 4,715 4,748
  Northern Trust Co. 6.500% 8/15/18 4,000 4,146
  Northern Trust Corp. 3.450% 11/4/20 500 518
  Northern Trust Corp. 3.375% 8/23/21 13,036 13,541
  PNC Bank NA 6.875% 4/1/18 12,085 12,345
  PNC Bank NA 2.600% 7/21/20 15,120 15,279
  PNC Bank NA 2.450% 11/5/20 2,218 2,235
  PNC Bank NA 2.150% 4/29/21 268 266
  PNC Bank NA 2.550% 12/9/21 9,040 9,086
  PNC Bank NA 2.625% 2/17/22 10,370 10,444
  PNC Bank NA 2.700% 11/1/22 41,080 41,260
  PNC Bank NA 3.800% 7/25/23 15,750 16,554
  PNC Bank NA 3.300% 10/30/24 19,634 20,213
  PNC Bank NA 2.950% 2/23/25 16,680 16,660
  PNC Bank NA 3.250% 6/1/25 61,302 62,334
  PNC Bank NA 3.100% 10/25/27 22,930 22,759
  PNC Financial Services Group Inc. 2.854% 11/9/22 12,493 12,662
  PNC Financial Services Group Inc. 3.900% 4/29/24 6,525 6,835
  PNC Funding Corp. 6.700% 6/10/19 12,000 12,864
  PNC Funding Corp. 5.125% 2/8/20 21,243 22,678
  PNC Funding Corp. 4.375% 8/11/20 23,000 24,359
  Regions Bank 7.500% 5/15/18 1,732 1,783
  Regions Financial Corp. 2.750% 8/14/22 19,750 19,771
  Royal Bank of Canada 1.500% 7/29/19 15,910 15,798

 

 

  Royal Bank of Canada 2.350% 10/30/20 11,539 11,606
  Royal Bank of Canada 4.650% 1/27/26 6,445 6,934
4 Royal Bank of Scotland Group plc 3.498% 5/15/23 18,435 18,599
  Royal Bank of Scotland Group plc 3.875% 9/12/23 1,000 1,023
9 Santander Holdings USA Inc. 3.700% 3/28/22 24,870 25,411
9 Santander Holdings USA Inc. 4.400% 7/13/27 9,720 10,008
  Santander UK plc 2.500% 3/14/19 8,926 8,990
  Santander UK plc 2.350% 9/10/19 23,472 23,610
  Santander UK plc 4.000% 3/13/24 6,560 6,930
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 2,825 2,855
4 Skandinaviska Enskilda Banken AB 5.750% 12/31/49 6,710 7,010
  State Street Corp. 3.100% 5/15/23 15,025 15,289
  State Street Corp. 3.700% 11/20/23 32,620 34,718
  State Street Corp. 3.300% 12/16/24 27,435 28,463
  State Street Corp. 3.550% 8/18/25 36,058 37,611
  Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 3,000 3,058
  Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 8,160 8,619
  Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 5,000 5,130
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 13,550 13,766
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 13,233 13,015
12 Sumitomo Mitsui Financial Group Inc. 2.980% 3/29/22 11,799 9,082
  Sumitomo Mitsui Financial Group Inc. 2.784% 7/12/22 50,685 50,722
  Sumitomo Mitsui Financial Group Inc. 2.778% 10/18/22 30,000 30,016
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 43,905 41,709
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 10,000 9,771
  SunTrust Bank 2.450% 8/1/22 24,950 24,810
  SunTrust Bank 3.300% 5/15/26 10,000 9,899
  SunTrust Banks Inc. 2.900% 3/3/21 6,318 6,413
  Svenska Handelsbanken AB 2.450% 3/30/21 22,515 22,620
  Svenska Handelsbanken AB 1.875% 9/7/21 1,895 1,854
9 Swedbank AB 2.800% 3/14/22 16,390 16,567
  Synchrony Bank 3.000% 6/15/22 27,245 27,202
  Synchrony Financial 4.250% 8/15/24 12,750 13,223
  Synchrony Financial 4.500% 7/23/25 31,350 32,875
  Toronto-Dominion Bank 1.450% 8/13/19 3,900 3,868
  Toronto-Dominion Bank 2.500% 12/14/20 40,480 40,845
  Toronto-Dominion Bank 2.125% 4/7/21 29,110 28,994
9 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 11,140 11,299
9 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 30,671 30,504
9 UBS Group Funding Switzerland AG 3.491% 5/23/23 18,355 18,826
4,9 UBS Group Funding Switzerland AG 2.859% 8/15/23 77,900 77,703
4 United Overseas Bank Ltd. 3.750% 9/19/24 5,000 5,097
4 United Overseas Bank Ltd. 2.880% 3/8/27 3,000 2,975
  US Bancorp 2.350% 1/29/21 8,500 8,559
  US Bancorp 4.125% 5/24/21 19,555 20,770
  US Bancorp 3.000% 3/15/22 23,724 24,334
  US Bancorp 2.950% 7/15/22 35,200 36,030
  US Bancorp 3.700% 1/30/24 18,500 19,493
  US Bancorp 3.600% 9/11/24 14,800 15,433
  US Bancorp 3.100% 4/27/26 18,611 18,532
  US Bank NA 2.800% 1/27/25 14,400 14,327
8,14 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.500% 1/15/13 6,147 1
8,14 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.650% 8/15/14 7,500 1
8,14 Washington Mutual Bank / Debt not        
  acquired by JPMorgan 5.125% 1/15/15 9,000 1
  Wells Fargo & Co. 2.600% 7/22/20 14,235 14,423

 

 

  Wells Fargo & Co. 4.600% 4/1/21 7,673 8,224
  Wells Fargo & Co. 2.100% 7/26/21 32,370 31,938
12 Wells Fargo & Co. 3.000% 7/27/21 18,950 14,504
  Wells Fargo & Co. 2.625% 7/22/22 55,335 55,088
  Wells Fargo & Co. 3.450% 2/13/23 36,700 37,706
  Wells Fargo & Co. 4.125% 8/15/23 13,100 13,830
  Wells Fargo & Co. 3.300% 9/9/24 57,524 58,343
  Wells Fargo & Co. 3.000% 2/19/25 50,700 50,378
  Wells Fargo & Co. 3.550% 9/29/25 17,459 17,873
  Wells Fargo & Co. 3.000% 4/22/26 1,676 1,637
4 Wells Fargo & Co. 3.584% 5/22/28 37,115 37,402
  Wells Fargo Bank NA 2.150% 12/6/19 31,575 31,643
  Westpac Banking Corp. 4.875% 11/19/19 10,795 11,398
  Westpac Banking Corp. 2.600% 11/23/20 15,885 16,054
  Westpac Banking Corp. 2.100% 5/13/21 25,290 25,088
  Westpac Banking Corp. 2.000% 8/19/21 23,105 22,832
  Westpac Banking Corp. 2.500% 6/28/22 9,120 9,105
12 Westpac Banking Corp. 3.770% 3/14/24 47,100 36,553
  Westpac Banking Corp. 3.350% 3/8/27 48,060 48,725
4 Westpac Banking Corp. 4.322% 11/23/31 47,504 49,084
 
  Brokerage (1.1%)        
  Affiliated Managers Group Inc. 4.250% 2/15/24 10,340 10,841
  Ameriprise Financial Inc. 7.300% 6/28/19 3,200 3,463
  Ameriprise Financial Inc. 4.000% 10/15/23 10,819 11,528
  Ameriprise Financial Inc. 3.700% 10/15/24 15,000 15,647
9 Apollo Management Holdings LP 4.000% 5/30/24 14,608 14,889
9 Apollo Management Holdings LP 4.400% 5/27/26 8,305 8,671
  BlackRock Inc. 4.250% 5/24/21 4,250 4,535
  BlackRock Inc. 3.375% 6/1/22 12,000 12,506
  BlackRock Inc. 3.200% 3/15/27 25,455 25,686
  Charles Schwab Corp. 4.450% 7/22/20 6,500 6,911
  Charles Schwab Corp. 3.225% 9/1/22 11,150 11,400
  Charles Schwab Corp. 3.200% 3/2/27 5,950 5,989
  CME Group Inc. 3.000% 3/15/25 5,000 5,091
  Franklin Resources Inc. 4.625% 5/20/20 7,550 7,981
  Franklin Resources Inc. 2.800% 9/15/22 11,000 11,091
  Intercontinental Exchange Inc. 4.000% 10/15/23 34,330 36,953
  Invesco Finance plc 3.125% 11/30/22 30,485 30,970
  Invesco Finance plc 4.000% 1/30/24 21,300 22,516
  Invesco Finance plc 3.750% 1/15/26 6,673 6,927
  Jefferies Group LLC 4.850% 1/15/27 12,440 13,190
  Legg Mason Inc. 3.950% 7/15/24 5,000 5,134
8,14 Lehman Brothers Holdings Inc. 6.500% 7/19/17 20,000 2
  Stifel Financial Corp. 3.500% 12/1/20 9,435 9,620
  Stifel Financial Corp. 4.250% 7/18/24 11,830 12,102
  TD Ameritrade Holding Corp. 2.950% 4/1/22 16,715 16,979
  TD Ameritrade Holding Corp. 3.625% 4/1/25 11,400 11,836
 
  Finance Companies (0.3%)        
  AerCap Ireland Capital DAC / AerCap        
  Global Aviation Trust 3.750% 5/15/19 4,645 4,743
  Air Lease Corp. 3.375% 1/15/19 6,175 6,272
  Air Lease Corp. 4.250% 9/15/24 22,100 23,467
  Air Lease Corp. 3.625% 4/1/27 8,000 8,043
  GE Capital International Funding Co. 2.342% 11/15/20 15,553 15,632
  GE Capital International Funding Co. 3.373% 11/15/25 16,581 16,987
  HSBC Finance Corp. 6.676% 1/15/21 18,433 20,735

 

 

  International Lease Finance Corp. 4.625% 4/15/21 2,845 3,023
 
  Insurance (5.0%)        
  Aetna Inc. 2.750% 11/15/22 19,260 19,218
  Aetna Inc. 2.800% 6/15/23 35,010 34,746
  Aetna Inc. 3.500% 11/15/24 10,000 10,208
  Aflac Inc. 4.000% 2/15/22 2,000 2,119
  Aflac Inc. 3.625% 6/15/23 6,000 6,295
  Aflac Inc. 3.625% 11/15/24 5,000 5,246
9 AIA Group Ltd. 3.200% 3/11/25 40,589 40,410
9 AIG Global Funding 2.700% 12/15/21 3,910 3,923
  Alleghany Corp. 4.950% 6/27/22 2,586 2,820
4,13 Allianz SE 2.241% 7/7/45 3,100 3,779
4,13 Allianz SE 3.375% 9/29/49 10,100 12,971
4 Allstate Corp. 5.750% 8/15/53 5,000 5,500
  Alterra Finance LLC 6.250% 9/30/20 8,000 8,776
  American Financial Group Inc. 9.875% 6/15/19 10,000 11,178
  American Financial Group Inc. 3.500% 8/15/26 11,725 11,744
  American International Group Inc. 3.750% 7/10/25 14,650 15,141
  Anthem Inc. 4.350% 8/15/20 2,000 2,109
  Anthem Inc. 3.700% 8/15/21 3,090 3,212
  Aon plc 3.500% 6/14/24 14,237 14,680
  Aon plc 4.750% 5/15/45 7,820 8,687
  Arch Capital Finance LLC 4.011% 12/15/26 11,735 12,165
  AXIS Specialty Finance LLC 5.875% 6/1/20 4,600 4,989
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 2,000 2,132
  Berkshire Hathaway Inc. 2.750% 3/15/23 99,963 101,278
  Berkshire Hathaway Inc. 3.125% 3/15/26 48,768 49,224
9 Brighthouse Financial Inc. 3.700% 6/22/27 27,095 26,535
  Chubb INA Holdings Inc. 2.875% 11/3/22 10,205 10,371
  Chubb INA Holdings Inc. 2.700% 3/13/23 20,325 20,368
  Chubb INA Holdings Inc. 3.350% 5/15/24 39,741 41,020
  Chubb INA Holdings Inc. 3.150% 3/15/25 18,312 18,604
  CNA Financial Corp. 5.875% 8/15/20 5,000 5,433
  CNA Financial Corp. 3.450% 8/15/27 5,000 4,949
  Coventry Health Care Inc. 5.450% 6/15/21 8,500 9,305
4,13 Delta Lloyd NV 4.375% 6/29/49 3,550 4,556
4,13 ELM BV for Swiss Reinsurance Co. Ltd. 2.600% 12/29/49 13,500 16,381
  Enstar Group Ltd. 4.500% 3/10/22 13,520 13,976
  First American Financial Corp. 4.600% 11/15/24 12,000 12,297
9 Five Corners Funding Trust 4.419% 11/15/23 36,084 38,857
  Hartford Financial Services Group Inc. 5.125% 4/15/22 2,880 3,174
  Humana Inc. 3.950% 3/15/27 7,300 7,568
  Infinity Property & Casualty Corp. 5.000% 9/19/22 10,547 11,175
9 Jackson National Life Global Funding 4.700% 6/1/18 2,500 2,541
  Loews Corp. 2.625% 5/15/23 8,000 7,995
  Manulife Financial Corp. 4.900% 9/17/20 24,150 25,770
  Manulife Financial Corp. 4.150% 3/4/26 17,855 19,037
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 5,275 5,286
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 4,850 5,218
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 5,425 5,469
  Marsh & McLennan Cos. Inc. 3.300% 3/14/23 8,345 8,570
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 10,087 10,595
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 42,110 43,183
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 34,351 35,367
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26 6,580 6,889
9 MassMutual Global Funding II 2.500% 10/17/22 10,500 10,468
9 MassMutual Global Funding II 2.750% 6/22/24 45,930 45,495

 

 

4 MetLife Inc. 5.250% 12/29/49 2,635 2,756
9 Metropolitan Life Global Funding I 3.000% 1/10/23 22,728 23,059
9 Metropolitan Life Global Funding I 3.450% 12/18/26 23,455 24,107
9 Metropolitan Life Global Funding I 3.000% 9/19/27 35,965 35,487
9 New York Life Global Funding 1.950% 2/11/20 1,595 1,588
9 New York Life Global Funding 2.900% 1/17/24 4,800 4,835
  PartnerRe Finance B LLC 5.500% 6/1/20 16,550 17,762
15 PGH Capital plc 5.750% 7/7/21 2,660 3,970
9 Pricoa Global Funding I 2.200% 6/3/21 1,950 1,944
9 Pricoa Global Funding I 2.450% 9/21/22 7,880 7,827
4 Principal Financial Group Inc. 4.700% 5/15/55 1,500 1,541
9 Principal Life Global Funding II 2.200% 4/8/20 10,650 10,660
  Progressive Corp. 2.450% 1/15/27 12,700 12,055
  Prudential Financial Inc. 4.500% 11/16/21 4,025 4,330
4 Prudential Financial Inc. 5.875% 9/15/42 6,000 6,620
4 Prudential Financial Inc. 5.625% 6/15/43 7,875 8,584
4 Prudential Financial Inc. 5.200% 3/15/44 2,500 2,666
4 Prudential Financial Inc. 5.375% 5/15/45 7,150 7,699
  Reinsurance Group of America Inc. 5.000% 6/1/21 5,000 5,385
  Reinsurance Group of America Inc. 3.950% 9/15/26 26,655 27,179
9 Reliance Standard Life Global Funding II 2.500% 1/15/20 19,115 19,181
9 Reliance Standard Life Global Funding II 2.375% 5/4/20 6,710 6,732
9 Reliance Standard Life Global Funding II 3.050% 1/20/21 3,320 3,360
9 Sammons Financial Group Inc. 4.450% 5/12/27 34,455 35,459
  Swiss Re Solutions Holding Corp. 6.450% 3/1/19 11,250 11,844
9 Swiss Re Treasury US Corp. 2.875% 12/6/22 7,640 7,693
9 TIAA Asset Management Finance Co. LLC 4.125% 11/1/24 34,863 36,854
  Trinity Acquisition plc 4.625% 8/15/23 3,000 3,206
  Trinity Acquisition plc 4.400% 3/15/26 4,815 5,060
  UnitedHealth Group Inc. 2.700% 7/15/20 3,870 3,931
  UnitedHealth Group Inc. 3.875% 10/15/20 14,000 14,643
  UnitedHealth Group Inc. 4.700% 2/15/21 13,000 13,953
  UnitedHealth Group Inc. 2.875% 12/15/21 10,000 10,206
  UnitedHealth Group Inc. 2.875% 3/15/22 16,816 17,127
  UnitedHealth Group Inc. 3.350% 7/15/22 17,660 18,332
  UnitedHealth Group Inc. 2.750% 2/15/23 12,000 12,114
  UnitedHealth Group Inc. 2.875% 3/15/23 9,000 9,166
  UnitedHealth Group Inc. 3.750% 7/15/25 51,692 54,669
  UnitedHealth Group Inc. 3.450% 1/15/27 22,000 22,631
  UnitedHealth Group Inc. 3.375% 4/15/27 6,580 6,739
  UnitedHealth Group Inc. 2.950% 10/15/27 45,000 44,511
  Willis North America Inc. 3.600% 5/15/24 12,450 12,758
  WR Berkley Corp. 4.625% 3/15/22 2,977 3,196
  XLIT Ltd. 6.375% 11/15/24 4,745 5,551
4,13 XLIT Ltd. 3.250% 6/29/47 15,255 17,860
 
  Other Finance (0.1%)        
  ORIX Corp. 3.700% 7/18/27 25,345 25,493
 
  Real Estate Investment Trusts (3.3%)        
  Alexandria Real Estate Equities Inc. 3.950% 1/15/27 13,114 13,420
  Alexandria Real Estate Equities Inc. 4.500% 7/30/29 6,465 6,867
  AvalonBay Communities Inc. 2.850% 3/15/23 12,400 12,487
  AvalonBay Communities Inc. 2.950% 5/11/26 20,000 19,717
  AvalonBay Communities Inc. 3.350% 5/15/27 18,500 18,723
  Boston Properties LP 3.800% 2/1/24 3,375 3,517
  Boston Properties LP 3.650% 2/1/26 10,000 10,158
  Brandywine Operating Partnership LP 3.950% 2/15/23 6,910 7,028

 

 

  Brandywine Operating Partnership LP 4.100% 10/1/24 20,570 20,743
  Brandywine Operating Partnership LP 4.550% 10/1/29 17,567 17,960
  Brixmor Operating Partnership LP 3.650% 6/15/24 12,170 12,120
  Brixmor Operating Partnership LP 3.850% 2/1/25 9,855 9,876
  Brixmor Operating Partnership LP 4.125% 6/15/26 23,535 23,732
  Brixmor Operating Partnership LP 3.900% 3/15/27 9,340 9,266
  Camden Property Trust 4.625% 6/15/21 630 671
  Camden Property Trust 4.875% 6/15/23 960 1,055
  Camden Property Trust 4.250% 1/15/24 3,860 4,066
  Camden Property Trust 3.500% 9/15/24 1,105 1,112
  Columbia Property Trust Operating        
  Partnership LP 4.150% 4/1/25 7,985 8,142
  Columbia Property Trust Operating        
  Partnership LP 3.650% 8/15/26 9,787 9,600
  CubeSmart LP 4.375% 12/15/23 4,510 4,761
  DDR Corp. 3.375% 5/15/23 7,000 6,935
  DDR Corp. 3.900% 8/15/24 14,580 14,685
  DDR Corp. 3.625% 2/1/25 7,195 7,013
  DDR Corp. 4.250% 2/1/26 12,900 13,024
  DDR Corp. 4.700% 6/1/27 4,865 5,052
  Digital Realty Trust LP 3.400% 10/1/20 2,247 2,313
  Digital Realty Trust LP 5.250% 3/15/21 12,225 13,260
  Digital Realty Trust LP 3.950% 7/1/22 9,362 9,849
  Digital Realty Trust LP 4.750% 10/1/25 5,645 6,179
  Digital Realty Trust LP 3.700% 8/15/27 28,700 29,081
  Duke Realty LP 3.625% 4/15/23 9,000 9,266
  Duke Realty LP 3.250% 6/30/26 2,491 2,462
  ERP Operating LP 3.375% 6/1/25 21,000 21,459
  Essex Portfolio LP 3.500% 4/1/25 3,400 3,428
  Federal Realty Investment Trust 2.550% 1/15/21 5,417 5,435
  Federal Realty Investment Trust 3.000% 8/1/22 22,448 22,771
  Federal Realty Investment Trust 2.750% 6/1/23 3,000 2,976
  Federal Realty Investment Trust 3.950% 1/15/24 8,269 8,637
  Federal Realty Investment Trust 3.250% 7/15/27 3,665 3,630
9 Goodman Australia Industrial Fund 3.400% 9/30/26 12,090 11,835
9 Goodman US Finance Three LLC 3.700% 3/15/28 14,555 14,496
9 Goodman US Finance Three LLC 4.500% 10/15/37 15,215 15,518
12 GPT Wholesale Office Fund No. 1 4.000% 5/18/22 960 752
  HCP Inc. 2.625% 2/1/20 7,000 7,060
  HCP Inc. 4.000% 12/1/22 7,000 7,345
  HCP Inc. 4.250% 11/15/23 5,400 5,713
  HCP Inc. 4.200% 3/1/24 8,055 8,443
  HCP Inc. 3.400% 2/1/25 7,185 7,172
  HCP Inc. 4.000% 6/1/25 8,710 9,005
  Healthcare Realty Trust Inc. 3.750% 4/15/23 13,000 13,203
  Healthcare Realty Trust Inc. 3.875% 5/1/25 7,000 7,022
  Healthcare Trust of America Holdings LP 3.375% 7/15/21 4,705 4,827
  Healthcare Trust of America Holdings LP 3.700% 4/15/23 14,912 15,277
  Healthcare Trust of America Holdings LP 3.500% 8/1/26 4,700 4,634
  Healthcare Trust of America Holdings LP 3.750% 7/1/27 19,455 19,443
  Highwoods Realty LP 3.200% 6/15/21 6,000 6,072
  Highwoods Realty LP 3.875% 3/1/27 19,500 19,632
  Kilroy Realty LP 4.375% 10/1/25 5,160 5,408
  Kilroy Realty LP 4.250% 8/15/29 4,663 4,781
  Liberty Property LP 4.400% 2/15/24 9,900 10,587
  Liberty Property LP 3.750% 4/1/25 1,340 1,374
  Mid-America Apartments LP 4.300% 10/15/23 2,135 2,264
  Mid-America Apartments LP 4.000% 11/15/25 7,620 7,920

 

 

  National Retail Properties Inc. 4.000% 11/15/25 2,100 2,154
  National Retail Properties Inc. 3.600% 12/15/26 7,000 6,934
  Omega Healthcare Investors Inc. 4.950% 4/1/24 9,000 9,450
  Omega Healthcare Investors Inc. 4.750% 1/15/28 22,240 22,240
  Realty Income Corp. 4.650% 8/1/23 6,000 6,513
  Realty Income Corp. 4.125% 10/15/26 10,500 10,925
9 Scentre Group Trust 1 / Scentre Group        
  Trust 2 3.750% 3/23/27 13,610 13,831
  Simon Property Group LP 2.500% 9/1/20 1,760 1,777
  Simon Property Group LP 4.375% 3/1/21 28,394 30,227
  Simon Property Group LP 4.125% 12/1/21 20,822 22,086
  Simon Property Group LP 3.375% 3/15/22 4,328 4,472
  Simon Property Group LP 2.750% 2/1/23 5,500 5,517
  Simon Property Group LP 3.750% 2/1/24 28,466 29,838
  Simon Property Group LP 3.375% 10/1/24 4,000 4,108
  Simon Property Group LP 3.500% 9/1/25 12,997 13,313
  Simon Property Group LP 3.300% 1/15/26 7,000 7,039
  Simon Property Group LP 3.250% 11/30/26 24,545 24,530
  Tanger Properties LP 3.125% 9/1/26 36,940 34,975
  UDR Inc. 2.950% 9/1/26 4,124 3,961
  Ventas Realty LP 3.125% 6/15/23 10,006 10,037
  Ventas Realty LP 3.500% 2/1/25 3,180 3,198
  Ventas Realty LP 3.850% 4/1/27 7,925 8,058
  VEREIT Operating Partnership LP 3.950% 8/15/27 48,600 48,442
  Welltower Inc. 3.750% 3/15/23 13,439 13,967
  Welltower Inc. 4.000% 6/1/25 2,230 2,315
          8,992,540
Industrial (33.2%)        
  Basic Industry (0.8%)        
  Agrium Inc. 3.500% 6/1/23 15,000 15,409
  Agrium Inc. 3.375% 3/15/25 8,000 8,066
9 Air Liquide Finance SA 1.750% 9/27/21 27,700 27,001
9 Air Liquide Finance SA 2.250% 9/27/23 14,830 14,420
9 Air Liquide Finance SA 2.500% 9/27/26 7,965 7,555
  Air Products & Chemicals Inc. 2.750% 2/3/23 3,015 3,063
  Air Products & Chemicals Inc. 3.350% 7/31/24 7,000 7,225
  Airgas Inc. 2.375% 2/15/20 3,725 3,743
  Airgas Inc. 3.050% 8/1/20 4,690 4,799
  Airgas Inc. 3.650% 7/15/24 3,500 3,634
9 Celulosa Arauco y Constitucion SA 5.500% 11/2/47 5,200 5,208
9 CF Industries Inc. 4.500% 12/1/26 9,770 10,262
12 Glencore Australia Holdings Pty Ltd. 4.500% 9/19/19 2,500 1,966
  Monsanto Co. 2.750% 7/15/21 15,885 16,036
  Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 4,764 5,001
  Potash Corp. of Saskatchewan Inc. 3.625% 3/15/24 1,270 1,292
  Potash Corp. of Saskatchewan Inc. 3.000% 4/1/25 423 413
  Potash Corp. of Saskatchewan Inc. 4.000% 12/15/26 12,901 13,249
  Praxair Inc. 4.050% 3/15/21 1,905 2,021
  Praxair Inc. 3.000% 9/1/21 8,828 9,044
  Praxair Inc. 2.450% 2/15/22 28,405 28,638
  Praxair Inc. 2.700% 2/21/23 7,550 7,639
  Praxair Inc. 2.650% 2/5/25 2,865 2,831
  Vale Overseas Ltd. 5.875% 6/10/21 4,685 5,136
9 WestRock Co. 3.000% 9/15/24 10,000 9,934
  WestRock RKT Co. 4.900% 3/1/22 1,250 1,354
  WestRock RKT Co. 4.000% 3/1/23 13,660 14,344

 

 

  Capital Goods (3.0%)        
  Acuity Brands Lighting Inc. 6.000% 12/15/19 10,000 10,743
  Caterpillar Financial Services Corp. 2.100% 1/10/20 16,500 16,564
  Caterpillar Financial Services Corp. 2.750% 8/20/21 11,885 12,058
  Caterpillar Financial Services Corp. 2.850% 6/1/22 26,600 27,085
  Caterpillar Financial Services Corp. 2.400% 6/6/22 45,905 45,892
  Caterpillar Financial Services Corp. 2.625% 3/1/23 14,845 14,873
  Caterpillar Financial Services Corp. 3.750% 11/24/23 27,995 29,650
  Caterpillar Financial Services Corp. 3.300% 6/9/24 9,705 10,027
  Caterpillar Financial Services Corp. 3.250% 12/1/24 8,655 8,877
  Caterpillar Inc. 2.600% 6/26/22 25,285 25,532
9 CRH America Inc. 3.875% 5/18/25 14,206 14,817
  Eagle Materials Inc. 4.500% 8/1/26 29,555 30,848
  Embraer SA 5.150% 6/15/22 5,000 5,385
  General Dynamics Corp. 3.875% 7/15/21 4,377 4,629
  General Dynamics Corp. 1.875% 8/15/23 10,000 9,646
  General Dynamics Corp. 2.125% 8/15/26 5,000 4,690
  General Dynamics Corp. 2.625% 11/15/27 45,875 44,401
13 General Electric Co. 2.125% 5/17/37 21,723 25,306
4 General Electric Co. 5.000% 12/29/49 2,000 2,085
  Illinois Tool Works Inc. 3.500% 3/1/24 13,712 14,424
  Illinois Tool Works Inc. 2.650% 11/15/26 44,265 43,292
  John Deere Capital Corp. 3.900% 7/12/21 10,000 10,572
  John Deere Capital Corp. 2.750% 3/15/22 43,350 43,927
  John Deere Capital Corp. 2.800% 1/27/23 28,894 29,236
  John Deere Capital Corp. 2.800% 3/6/23 38,075 38,630
  John Deere Capital Corp. 2.800% 9/8/27 12,990 12,783
  L3 Technologies Inc. 3.950% 5/28/24 684 714
9 LafargeHolcim Finance US LLC 3.500% 9/22/26 10,000 9,912
13 Leonardo SPA 5.250% 1/21/22 1,140 1,586
  Parker-Hannifin Corp. 3.300% 11/21/24 16,899 17,332
9 Parker-Hannifin Corp. 3.250% 3/1/27 41,929 42,368
  Precision Castparts Corp. 2.500% 1/15/23 58,482 58,434
  Precision Castparts Corp. 3.250% 6/15/25 32,595 33,288
  Roper Technologies Inc. 3.850% 12/15/25 5,380 5,599
  Roper Technologies Inc. 3.800% 12/15/26 9,260 9,592
9 Siemens Financieringsmaatschappij NV 3.125% 3/16/24 43,225 44,164
9 Siemens Financieringsmaatschappij NV 2.350% 10/15/26 18,260 17,213
  Spirit AeroSystems Inc. 3.850% 6/15/26 17,840 18,099
  Textron Inc. 3.875% 3/1/25 4,775 4,969
  Textron Inc. 3.650% 3/15/27 32,021 32,280
  United Rentals North America Inc. 4.625% 7/15/23 20,825 21,788
  United Rentals North America Inc. 5.875% 9/15/26 3,115 3,395
  United Rentals North America Inc. 5.500% 5/15/27 4,830 5,174
  United Technologies Corp. 3.125% 5/4/27 15,000 15,026
 
  Communication (4.0%)        
  Activision Blizzard Inc. 2.300% 9/15/21 4,300 4,275
  Activision Blizzard Inc. 2.600% 6/15/22 5,000 4,985
  Activision Blizzard Inc. 3.400% 9/15/26 17,270 17,522
  AMC Networks Inc. 5.000% 4/1/24 9,700 9,870
  AMC Networks Inc. 4.750% 8/1/25 11,665 11,650
  America Movil SAB de CV 5.000% 10/16/19 12,000 12,679
  America Movil SAB de CV 5.000% 3/30/20 15,000 15,935
  America Movil SAB de CV 3.125% 7/16/22 39,350 40,142
  AT&T Inc. 4.600% 2/15/21 9,375 10,018
  AT&T Inc. 5.000% 3/1/21 10,637 11,550
  AT&T Inc. 3.800% 3/15/22 6,800 7,144

 

 

  AT&T Inc. 4.450% 4/1/24 26,842 28,444
  AT&T Inc. 3.400% 8/14/24 10,500 10,501
  AT&T Inc. 4.125% 2/17/26 57,875 59,376
  AT&T Inc. 4.250% 3/1/27 10,434 10,711
  AT&T Inc. 3.900% 8/14/27 29,245 29,132
13 AT&T Inc. 2.350% 9/4/29 3,400 4,106
13 AT&T Inc. 3.150% 9/4/36 6,249 7,474
15 AT&T Inc. 3.550% 9/14/37 5,160 6,591
  AT&T Inc. 5.150% 2/14/50 2,865 2,813
  CBS Corp. 3.700% 8/15/24 20,898 21,572
  CBS Corp. 3.500% 1/15/25 14,600 14,825
  CC Holdings GS V LLC / Crown Castle GS        
  III Corp. 3.849% 4/15/23 8,459 8,802
  Charter Communications Operating LLC /        
  Charter Communications Operating        
  Capital 4.464% 7/23/22 80,462 84,862
  Charter Communications Operating LLC /        
  Charter Communications Operating        
  Capital 4.908% 7/23/25 48,045 50,991
  Comcast Cable Communications Holdings        
  Inc. 9.455% 11/15/22 9,966 13,162
  Comcast Corp. 3.125% 7/15/22 20,126 20,847
  Comcast Corp. 3.000% 2/1/24 19,057 19,309
  Comcast Corp. 3.600% 3/1/24 9,000 9,427
  Comcast Corp. 3.375% 2/15/25 33,000 33,831
  Comcast Corp. 3.375% 8/15/25 67,163 68,910
  Comcast Corp. 3.150% 3/1/26 36,000 36,242
  Comcast Corp. 2.350% 1/15/27 29,400 27,584
  Comcast Corp. 3.150% 2/15/28 9,600 9,472
  Crown Castle International Corp. 2.250% 9/1/21 7,100 7,032
  Crown Castle International Corp. 4.450% 2/15/26 28,300 29,889
  Crown Castle International Corp. 3.700% 6/15/26 4,000 4,012
  Crown Castle International Corp. 4.000% 3/1/27 1,730 1,772
  Crown Castle International Corp. 3.650% 9/1/27 11,780 11,716
  Discovery Communications LLC 3.800% 3/13/24 17,885 18,324
  Discovery Communications LLC 4.900% 3/11/26 22,200 23,790
  Electronic Arts Inc. 4.800% 3/1/26 10,000 11,040
  NBCUniversal Media LLC 4.375% 4/1/21 12,110 12,969
  NBCUniversal Media LLC 2.875% 1/15/23 66,207 67,259
  Qwest Corp. 6.750% 12/1/21 12,628 13,980
  Qwest Corp. 7.250% 9/15/25 9,354 10,342
  Scripps Networks Interactive Inc. 3.900% 11/15/24 9,750 9,999
9 Telstra Corp. Ltd. 3.125% 4/7/25 11,000 11,062
  Thomson Reuters Corp. 4.300% 11/23/23 6,000 6,385
  Thomson Reuters Corp. 3.350% 5/15/26 12,000 11,947
  Time Warner Cable LLC 8.250% 4/1/19 4,500 4,875
  Time Warner Entertainment Co. LP 8.375% 3/15/23 9,000 11,147
  Verizon Communications Inc. 3.000% 11/1/21 7,000 7,136
  Verizon Communications Inc. 3.500% 11/1/21 5,971 6,202
  Verizon Communications Inc. 2.946% 3/15/22 51,348 52,025
  Verizon Communications Inc. 5.150% 9/15/23 43,675 48,876
  Verizon Communications Inc. 4.150% 3/15/24 3,188 3,382
  Verizon Communications Inc. 4.125% 3/16/27 54,863 57,146
  Viacom Inc. 3.250% 3/15/23 7,250 7,097
  Viacom Inc. 4.250% 9/1/23 6,900 7,106
 
  Consumer Cyclical (3.7%)        
  Alibaba Group Holding Ltd. 3.125% 11/28/21 15,000 15,293

 

 

9 Alimentation Couche-Tard Inc. 3.550% 7/26/27 19,450 19,469
  American Honda Finance Corp. 1.650% 7/12/21 19,600 19,181
  American Honda Finance Corp. 2.900% 2/16/24 10,000 10,107
  Automatic Data Processing Inc. 3.375% 9/15/25 14,470 14,917
  Costco Wholesale Corp. 2.750% 5/18/24 16,620 16,698
  Costco Wholesale Corp. 3.000% 5/18/27 20,775 20,813
  Cummins Inc. 3.650% 10/1/23 7,500 7,872
  Ford Motor Co. 4.346% 12/8/26 3,900 4,051
  Ford Motor Co. 6.625% 10/1/28 4,891 5,936
12 Ford Motor Credit Co. LLC 3.588% 6/2/20 15,990 12,400
  Ford Motor Credit Co. LLC 3.219% 1/9/22 5,000 5,061
  Ford Motor Credit Co. LLC 3.664% 9/8/24 7,000 7,058
  Ford Motor Credit Co. LLC 4.134% 8/4/25 26,000 26,705
  Ford Motor Credit Co. LLC 4.389% 1/8/26 19,369 20,209
  General Motors Co. 4.875% 10/2/23 6,000 6,542
  General Motors Co. 4.200% 10/1/27 9,720 9,855
  General Motors Financial Co. Inc. 4.375% 9/25/21 20,000 21,234
  General Motors Financial Co. Inc. 3.450% 4/10/22 5,000 5,110
  General Motors Financial Co. Inc. 3.700% 5/9/23 10,000 10,253
  General Motors Financial Co. Inc. 4.250% 5/15/23 10,000 10,510
  General Motors Financial Co. Inc. 3.950% 4/13/24 14,000 14,415
  General Motors Financial Co. Inc. 4.300% 7/13/25 14,123 14,630
  General Motors Financial Co. Inc. 5.250% 3/1/26 10,941 11,968
  General Motors Financial Co. Inc. 4.350% 1/17/27 5,000 5,142
9 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 3,945 3,929
9 Harley-Davidson Financial Services Inc. 2.550% 6/9/22 15,320 15,184
9 Harley-Davidson Funding Corp. 6.800% 6/15/18 12,380 12,763
  Harley-Davidson Inc. 3.500% 7/28/25 12,000 12,355
  Home Depot Inc. 2.625% 6/1/22 20,960 21,239
  Home Depot Inc. 2.700% 4/1/23 17,254 17,422
  Home Depot Inc. 3.750% 2/15/24 4,000 4,228
  Home Depot Inc. 3.350% 9/15/25 9,990 10,292
  Home Depot Inc. 3.000% 4/1/26 4,000 4,036
  Home Depot Inc. 2.125% 9/15/26 5,000 4,695
9 Hyundai Capital America 3.100% 4/5/22 9,455 9,426
15 Jaguar Land Rover Automotive plc 5.000% 2/15/22 8,251 12,016
13 Jaguar Land Rover Automotive plc 2.200% 1/15/24 4,530 5,365
  Lowe's Cos. Inc. 3.750% 4/15/21 21,595 22,727
  Lowe's Cos. Inc. 3.120% 4/15/22 21,949 22,653
  Lowe's Cos. Inc. 3.875% 9/15/23 9,750 10,413
  Lowe's Cos. Inc. 3.125% 9/15/24 3,505 3,585
  Lowe's Cos. Inc. 3.375% 9/15/25 21,130 21,760
  Lowe's Cos. Inc. 2.500% 4/15/26 56,380 54,013
  Lowe's Cos. Inc. 3.100% 5/3/27 23,790 23,717
  Macy's Retail Holdings Inc. 3.450% 1/15/21 6,000 6,016
  Macy's Retail Holdings Inc. 2.875% 2/15/23 7,500 6,857
  Mastercard Inc. 3.375% 4/1/24 16,000 16,692
9 Nissan Motor Acceptance Corp. 2.550% 3/8/21 13,785 13,848
9 Nissan Motor Acceptance Corp. 2.600% 9/28/22 5,310 5,287
  QVC Inc. 4.850% 4/1/24 5,000 5,274
  QVC Inc. 4.450% 2/15/25 1,000 1,020
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 1,600 1,655
  Starbucks Corp. 2.700% 6/15/22 9,745 9,898
  Starbucks Corp. 2.450% 6/15/26 10,665 10,256
  TJX Cos. Inc. 2.500% 5/15/23 13,400 13,395
  TJX Cos. Inc. 2.250% 9/15/26 25,140 23,442
  Toyota Motor Credit Corp. 4.500% 6/17/20 9,000 9,556
  Toyota Motor Credit Corp. 4.250% 1/11/21 5,155 5,484

 

 

  Toyota Motor Credit Corp. 2.750% 5/17/21 8,625 8,775
  Toyota Motor Credit Corp. 3.400% 9/15/21 24,460 25,472
  Toyota Motor Credit Corp. 3.300% 1/12/22 7,375 7,666
  Visa Inc. 2.800% 12/14/22 30,375 30,962
  Visa Inc. 3.150% 12/14/25 118,722 121,289
9 Volkswagen Group of America Finance        
  LLC 1.600% 11/20/17 2,395 2,395
9 Volkswagen Group of America Finance        
  LLC 1.650% 5/22/18 1,335 1,333
  Wal-Mart Stores Inc. 4.250% 4/15/21 13,619 14,596
  Wal-Mart Stores Inc. 2.350% 12/15/22 14,160 14,142
  Wal-Mart Stores Inc. 2.550% 4/11/23 77,171 77,697
  Wal-Mart Stores Inc. 2.650% 12/15/24 42,930 42,852
  Wyndham Worldwide Corp. 4.250% 3/1/22 4,000 4,083
  Wyndham Worldwide Corp. 3.900% 3/1/23 2,000 1,999
 
  Consumer Noncyclical (6.9%)        
  Abbott Laboratories 2.900% 11/30/21 15,000 15,233
  Abbott Laboratories 2.550% 3/15/22 9,000 8,974
  Abbott Laboratories 3.250% 4/15/23 24,138 24,676
  Abbott Laboratories 2.950% 3/15/25 10,000 9,834
  Abbott Laboratories 3.875% 9/15/25 19,000 19,587
  AbbVie Inc. 3.600% 5/14/25 45,075 46,372
  Agilent Technologies Inc. 5.000% 7/15/20 2,000 2,141
  Agilent Technologies Inc. 3.200% 10/1/22 10,000 10,133
  Altria Group Inc. 9.250% 8/6/19 8,014 9,014
  Altria Group Inc. 2.850% 8/9/22 19,409 19,672
  AmerisourceBergen Corp. 4.875% 11/15/19 6,270 6,606
  AmerisourceBergen Corp. 3.400% 5/15/24 17,000 17,373
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 80 81
  Anheuser-Busch Cos. LLC 5.000% 3/1/19 3,145 3,270
  Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 15,000 15,188
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 19,347 19,362
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 95,460 98,448
  Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 14,863 15,583
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 140,090 144,546
13 Anheuser-Busch InBev SA/NV 3.250% 1/24/33 600 843
  Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 8,514 9,331
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 7,210 7,730
  Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 12,286 13,141
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 19,381 19,409
9 BAT Capital Corp. 3.557% 8/15/27 40,000 40,094
  Baxalta Inc. 3.600% 6/23/22 7,000 7,242
  Baxalta Inc. 4.000% 6/23/25 48,729 50,903
  Becton Dickinson & Co. 3.734% 12/15/24 7,800 8,041
  Becton Dickinson & Co. 3.700% 6/6/27 14,250 14,356
  Biogen Inc. 4.050% 9/15/25 26,800 28,474
  Boston Scientific Corp. 4.125% 10/1/23 2,000 2,121
  Bristol-Myers Squibb Co. 3.250% 2/27/27 33,913 34,618
  Cardinal Health Inc. 3.500% 11/15/24 7,000 7,129
9 Cargill Inc. 3.250% 11/15/21 10,515 10,821
9 Cargill Inc. 3.300% 3/1/22 10,000 10,246
  Catholic Health Initiatives Colorado GO 4.200% 8/1/23 2,000 2,114
  Celgene Corp. 2.250% 8/15/21 41,425 41,013
  Coca-Cola Co. 2.875% 10/27/25 12,000 12,187
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 1,595 1,600
  Coca-Cola Femsa SAB de CV 4.625% 2/15/20 5,000 5,250
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 12,500 13,123

 

 

  Conagra Brands Inc. 3.250% 9/15/22 11,950 12,184
  Constellation Brands Inc. 3.750% 5/1/21 4,250 4,432
  Constellation Brands Inc. 4.750% 11/15/24 11,015 12,057
  Covidien International Finance SA 4.200% 6/15/20 7,735 8,139
  Covidien International Finance SA 3.200% 6/15/22 13,500 13,870
  Diageo Capital plc 4.828% 7/15/20 5,689 6,106
  Dignity Health California GO 3.812% 11/1/24 1,000 1,038
  Express Scripts Holding Co. 3.000% 7/15/23 5,959 5,932
  Express Scripts Holding Co. 3.500% 6/15/24 9,000 9,107
  Express Scripts Holding Co. 4.500% 2/25/26 28,000 29,667
  Express Scripts Holding Co. 3.400% 3/1/27 5,000 4,910
13 Fresenius SE & Co. KGaA 3.000% 1/30/32 14,135 17,826
  Gilead Sciences Inc. 3.700% 4/1/24 139,860 147,053
  Gilead Sciences Inc. 3.500% 2/1/25 82,807 85,880
  Gilead Sciences Inc. 3.650% 3/1/26 13,800 14,345
9 Grupo Bimbo SAB de CV 3.875% 6/27/24 5,500 5,665
  Hormel Foods Corp. 4.125% 4/15/21 625 663
  JM Smucker Co. 2.500% 3/15/20 1,575 1,586
  Kimberly-Clark Corp. 3.625% 8/1/20 3,300 3,434
  Kimberly-Clark Corp. 3.050% 8/15/25 5,252 5,295
  Koninklijke Philips NV 3.750% 3/15/22 5,000 5,247
  Kraft Foods Group Inc. 6.125% 8/23/18 6,000 6,204
  Laboratory Corp. of America Holdings 3.250% 9/1/24 12,000 12,098
  Laboratory Corp. of America Holdings 3.600% 2/1/25 2,000 2,043
  McKesson Corp. 7.500% 2/15/19 6,100 6,503
  McKesson Corp. 2.850% 3/15/23 5,000 5,009
15 McKesson Corp. 3.125% 2/17/29 11,100 14,919
  Medtronic Inc. 3.150% 3/15/22 41,853 43,155
  Medtronic Inc. 3.625% 3/15/24 15,590 16,419
  Medtronic Inc. 3.500% 3/15/25 85,100 88,450
  Newell Brands Inc. 3.850% 4/1/23 21,000 22,029
  Newell Brands Inc. 4.200% 4/1/26 27,000 28,412
  Newell Brands Inc. 5.375% 4/1/36 6,750 7,824
  PepsiCo Inc. 2.750% 3/5/22 8,635 8,810
  PepsiCo Inc. 3.600% 3/1/24 7,240 7,634
  PepsiCo Inc. 2.750% 4/30/25 16,000 15,950
  PerkinElmer Inc. 5.000% 11/15/21 8,000 8,666
  Perrigo Finance Unlimited Co. 3.900% 12/15/24 25,000 25,423
  Perrigo Finance Unlimited Co. 4.375% 3/15/26 37,476 38,396
  Philip Morris International Inc. 2.900% 11/15/21 4,150 4,227
  Philip Morris International Inc. 4.500% 3/20/42 5,000 5,390
  Providence St. Joseph Health Obligated        
  Group 2.746% 10/1/26 7,500 7,177
  Quest Diagnostics Inc. 4.750% 1/30/20 1,000 1,053
  Quest Diagnostics Inc. 4.700% 4/1/21 4,000 4,273
  Quest Diagnostics Inc. 4.250% 4/1/24 2,000 2,131
  Quest Diagnostics Inc. 3.450% 6/1/26 6,900 6,930
9 Reckitt Benckiser Treasury Services plc 2.750% 6/26/24 33,095 32,539
9 Reckitt Benckiser Treasury Services plc 3.000% 6/26/27 1,603 1,563
  Reynolds American Inc. 6.875% 5/1/20 8,304 9,219
  Reynolds American Inc. 4.850% 9/15/23 7,000 7,678
9 Roche Holdings Inc. 2.875% 9/29/21 21,521 21,994
9 Roche Holdings Inc. 3.350% 9/30/24 56,738 58,831
9 Roche Holdings Inc. 2.375% 1/28/27 15,000 14,258
  Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 18,090 17,905
  Stryker Corp. 4.375% 1/15/20 4,000 4,198
  Stryker Corp. 3.375% 5/15/24 5,000 5,153

 

 

13 Teva Pharmaceutical Finance Netherlands        
  II BV 1.125% 10/15/24 7,600 8,081
  Teva Pharmaceutical Finance Netherlands        
  III BV 2.800% 7/21/23 42,580 39,153
  Teva Pharmaceutical Finance Netherlands        
  III BV 3.150% 10/1/26 67,820 60,018
  The Kroger Co. 2.950% 11/1/21 3,000 3,037
  The Kroger Co. 3.400% 4/15/22 3,000 3,083
  The Kroger Co. 3.500% 2/1/26 17,475 17,268
  The Kroger Co. 3.700% 8/1/27 11,965 11,870
  The Kroger Co. 4.450% 2/1/47 8,000 7,630
  Thermo Fisher Scientific Inc. 4.500% 3/1/21 4,100 4,380
  Thermo Fisher Scientific Inc. 3.650% 12/15/25 15,190 15,673
  Thermo Fisher Scientific Inc. 3.200% 8/15/27 4,000 3,967
  Tyson Foods Inc. 4.500% 6/15/22 12,470 13,460
  Tyson Foods Inc. 3.950% 8/15/24 6,000 6,326
  Whole Foods Market Inc. 5.200% 12/3/25 4,000 4,581
  Zimmer Biomet Holdings Inc. 3.550% 4/1/25 31,000 31,523
 
  Energy (5.9%)        
  Anadarko Petroleum Corp. 4.850% 3/15/21 6,290 6,695
  Anadarko Petroleum Corp. 3.450% 7/15/24 10,000 9,945
  Anadarko Petroleum Corp. 5.550% 3/15/26 15,500 17,419
9 Andeavor 5.125% 12/15/26 24,530 27,198
  Apache Corp. 3.250% 4/15/22 8,000 8,127
9 APT Pipelines Ltd. 4.250% 7/15/27 6,840 7,078
  Boardwalk Pipelines LP 4.450% 7/15/27 9,775 10,009
  BP Capital Markets plc 4.750% 3/10/19 8,350 8,674
  BP Capital Markets plc 4.500% 10/1/20 20,500 21,842
  BP Capital Markets plc 3.561% 11/1/21 21,780 22,724
  BP Capital Markets plc 3.062% 3/17/22 15,970 16,382
  BP Capital Markets plc 3.245% 5/6/22 44,000 45,530
  BP Capital Markets plc 2.520% 9/19/22 10,000 9,969
  BP Capital Markets plc 2.500% 11/6/22 16,852 16,800
  BP Capital Markets plc 2.750% 5/10/23 50,250 50,464
  BP Capital Markets plc 3.994% 9/26/23 22,000 23,533
  BP Capital Markets plc 3.216% 11/28/23 27,000 27,659
  BP Capital Markets plc 3.814% 2/10/24 36,910 38,966
  BP Capital Markets plc 3.224% 4/14/24 12,600 12,883
  BP Capital Markets plc 3.535% 11/4/24 27,845 28,909
  BP Capital Markets plc 3.506% 3/17/25 5,125 5,313
  BP Capital Markets plc 3.119% 5/4/26 17,150 17,290
  BP Capital Markets plc 3.279% 9/19/27 42,100 42,246
  Canadian Natural Resources Ltd. 3.850% 6/1/27 18,000 18,453
  Cenovus Energy Inc. 3.800% 9/15/23 3,240 3,297
9 Cenovus Energy Inc. 4.250% 4/15/27 30,500 30,614
  Chevron Corp. 2.193% 11/15/19 2,000 2,013
  Chevron Corp. 1.961% 3/3/20 9,220 9,231
  Chevron Corp. 2.411% 3/3/22 21,340 21,484
  Chevron Corp. 2.355% 12/5/22 52,115 52,011
  Chevron Corp. 3.191% 6/24/23 13,933 14,424
  Chevron Corp. 2.895% 3/3/24 25,000 25,373
  Chevron Corp. 3.326% 11/17/25 6,210 6,409
  Cimarex Energy Co. 3.900% 5/15/27 12,542 12,919
  Columbia Pipeline Group Inc. 4.500% 6/1/25 11,936 12,825
  Concho Resources Inc. 3.750% 10/1/27 5,000 5,044
  ConocoPhillips Co. 4.200% 3/15/21 3,250 3,435
  ConocoPhillips Co. 2.875% 11/15/21 12,000 12,206

 

 

  ConocoPhillips Co. 2.400% 12/15/22 31,500 31,250
  ConocoPhillips Co. 3.350% 11/15/24 18,184 18,770
  ConocoPhillips Co. 4.950% 3/15/26 43,907 49,862
  Devon Energy Corp. 3.250% 5/15/22 10,000 10,098
  Dominion Energy Gas Holdings LLC 3.600% 12/15/24 25,000 25,619
4,10 Enbridge Energy Partners LP 5.132% 10/1/77 1,110 1,099
  Energy Transfer LP 9.700% 3/15/19 4,432 4,868
  Energy Transfer LP 4.650% 6/1/21 2,795 2,961
  Energy Transfer LP 5.200% 2/1/22 18,963 20,633
  Energy Transfer LP 3.600% 2/1/23 8,439 8,590
  Energy Transfer LP 4.900% 2/1/24 8,042 8,573
  Energy Transfer LP 4.050% 3/15/25 1,000 1,013
  EOG Resources Inc. 2.625% 3/15/23 18,885 18,706
  EQT Corp. 8.125% 6/1/19 5,500 6,001
  EQT Corp. 4.875% 11/15/21 4,000 4,303
  EQT Corp. 3.900% 10/1/27 10,000 9,937
  Exxon Mobil Corp. 2.726% 3/1/23 15,850 16,056
  Exxon Mobil Corp. 2.709% 3/6/25 11,250 11,266
  Exxon Mobil Corp. 3.043% 3/1/26 21,000 21,340
  Halliburton Co. 3.250% 11/15/21 10,800 11,019
  Halliburton Co. 3.500% 8/1/23 5,000 5,196
  Hess Corp. 4.300% 4/1/27 6,000 6,043
  Kinder Morgan Energy Partners LP 5.800% 3/1/21 5,000 5,464
  Kinder Morgan Inc. 7.800% 8/1/31 3,130 4,020
  Kinder Morgan Inc. 7.750% 1/15/32 3,145 4,040
  Marathon Oil Corp. 2.800% 11/1/22 16,800 16,502
  Marathon Oil Corp. 3.850% 6/1/25 13,850 13,915
  Marathon Oil Corp. 4.400% 7/15/27 9,720 9,945
  MPLX LP 4.500% 7/15/23 13,800 14,744
  MPLX LP 4.875% 12/1/24 28,400 30,797
  MPLX LP 4.000% 2/15/25 6,012 6,195
  National Oilwell Varco Inc. 2.600% 12/1/22 9,300 9,162
  Occidental Petroleum Corp. 3.125% 2/15/22 19,080 19,674
  Occidental Petroleum Corp. 2.700% 2/15/23 22,604 22,808
  Occidental Petroleum Corp. 3.500% 6/15/25 13,471 13,873
  ONEOK Partners LP 5.000% 9/15/23 8,805 9,536
  Phillips 66 Partners LP 3.750% 3/1/28 11,625 11,618
  Phillips 66 Partners LP 4.680% 2/15/45 1,500 1,524
  Pioneer Natural Resources Co. 3.950% 7/15/22 13,000 13,644
  Pioneer Natural Resources Co. 4.450% 1/15/26 3,000 3,222
  Regency Energy Partners LP / Regency        
  Energy Finance Corp. 5.875% 3/1/22 6,025 6,673
  Regency Energy Partners LP / Regency        
  Energy Finance Corp. 5.000% 10/1/22 26,484 28,570
  Sabine Pass Liquefaction LLC 5.625% 4/15/23 15,400 17,055
  Sabine Pass Liquefaction LLC 5.750% 5/15/24 44,480 49,706
  Sabine Pass Liquefaction LLC 5.625% 3/1/25 23,870 26,466
  Sabine Pass Liquefaction LLC 5.875% 6/30/26 14,670 16,595
9 Schlumberger Holdings Corp. 3.625% 12/21/22 6,150 6,362
9 Schlumberger Holdings Corp. 4.000% 12/21/25 6,801 7,164
  Schlumberger Investment SA 3.650% 12/1/23 4,200 4,435
  Shell International Finance BV 2.375% 8/21/22 29,609 29,633
  Shell International Finance BV 2.250% 1/6/23 10,500 10,415
  Shell International Finance BV 3.400% 8/12/23 10,000 10,486
  Shell International Finance BV 3.250% 5/11/25 68,378 70,137
  Shell International Finance BV 2.875% 5/10/26 28,750 28,483
  Shell International Finance BV 4.000% 5/10/46 5,000 5,103
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 795 956

 

 

Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 3,960 5,096
Total Capital Canada Ltd. 2.750% 7/15/23 26,570 26,940
Total Capital International SA 2.875% 2/17/22 31,378 32,071
Total Capital International SA 2.700% 1/25/23 9,660 9,765
Total Capital International SA 3.700% 1/15/24 5,000 5,287
Total Capital International SA 3.750% 4/10/24 15,186 16,088
Total Capital SA 4.450% 6/24/20 9,812 10,434
TransCanada PipeLines Ltd. 3.800% 10/1/20 4,292 4,479
TransCanada PipeLines Ltd. 2.500% 8/1/22 8,025 8,019
TransCanada PipeLines Ltd. 3.750% 10/16/23 19,615 20,767
TransCanada PipeLines Ltd. 4.875% 1/15/26 18,330 20,830
TransCanada PipeLines Ltd. 4.625% 3/1/34 3,335 3,665
Valero Energy Corp. 9.375% 3/15/19 4,200 4,607
Valero Energy Partners LP 4.375% 12/15/26 6,835 7,153
Williams Partners LP 4.500% 11/15/23 6,133 6,527
Williams Partners LP 3.900% 1/15/25 5,116 5,256
Williams Partners LP / ACMP Finance        
Corp. 4.875% 3/15/24 9,000 9,439
 
Other Industrial (0.1%)        
CBRE Services Inc. 4.875% 3/1/26 10,000 10,796
9 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 20,710 22,260
 
Technology (6.8%)        
Altera Corp. 4.100% 11/15/23 4,623 4,990
Apple Inc. 2.850% 5/6/21 17,125 17,548
Apple Inc. 2.150% 2/9/22 16,220 16,153
Apple Inc. 2.700% 5/13/22 29,730 30,201
Apple Inc. 2.850% 2/23/23 46,815 47,819
Apple Inc. 2.400% 5/3/23 106,325 105,963
Apple Inc. 3.000% 2/9/24 20,950 21,325
Apple Inc. 3.450% 5/6/24 64,000 66,666
Apple Inc. 2.850% 5/11/24 46,542 47,022
Apple Inc. 2.500% 2/9/25 52,463 51,680
Apple Inc. 3.200% 5/13/25 15,370 15,768
Apple Inc. 3.250% 2/23/26 51,963 53,074
Apple Inc. 2.450% 8/4/26 10,120 9,749
Apple Inc. 3.350% 2/9/27 40,600 41,592
Apple Inc. 3.200% 5/11/27 20,000 20,316
Apple Inc. 3.000% 6/20/27 13,125 13,084
Apple Inc. 2.900% 9/12/27 48,055 47,672
Applied Materials Inc. 3.900% 10/1/25 10,000 10,693
Applied Materials Inc. 3.300% 4/1/27 10,000 10,197
Baidu Inc. 3.500% 11/28/22 13,000 13,371
9 Broadcom Corp. / Broadcom Cayman        
Finance Ltd. 3.625% 1/15/24 29,750 30,728
9 Broadcom Corp. / Broadcom Cayman        
Finance Ltd. 3.125% 1/15/25 19,450 19,308
9 Broadcom Corp. / Broadcom Cayman        
Finance Ltd. 3.875% 1/15/27 29,750 30,626
9 Broadcom Corp. / Broadcom Cayman        
Finance Ltd. 3.500% 1/15/28 19,450 19,402
Cisco Systems Inc. 3.000% 6/15/22 7,000 7,207
Cisco Systems Inc. 2.200% 9/20/23 17,500 17,207
Cisco Systems Inc. 2.950% 2/28/26 18,870 18,984
9 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 4.420% 6/15/21 2,525 2,654

 

 

9 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 5.450% 6/15/23 42,975 47,136
9 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 6.020% 6/15/26 24,590 27,481
DXC Technology Co. 4.250% 4/15/24 8,760 9,226
DXC Technology Co. 4.750% 4/15/27 9,775 10,479
Fidelity National Information Services Inc. 3.500% 4/15/23 4,061 4,180
Fidelity National Information Services Inc. 3.875% 6/5/24 637 664
Fidelity National Information Services Inc. 3.000% 8/15/26 10,000 9,681
Hewlett Packard Enterprise Co. 4.400% 10/15/22 10,000 10,651
Hewlett Packard Enterprise Co. 4.900% 10/15/25 33,500 35,612
Intel Corp. 3.300% 10/1/21 14,540 15,111
Intel Corp. 2.350% 5/11/22 5,575 5,595
Intel Corp. 2.875% 5/11/24 20,175 20,396
Intel Corp. 3.700% 7/29/25 18,871 19,954
Intel Corp. 3.150% 5/11/27 25,000 25,355
International Business Machines Corp. 1.875% 8/1/22 17,000 16,586
International Business Machines Corp. 3.375% 8/1/23 21,000 21,851
International Business Machines Corp. 3.625% 2/12/24 22,000 23,143
International Business Machines Corp. 3.450% 2/19/26 15,500 15,988
International Business Machines Corp. 3.300% 1/27/27 10,400 10,600
Microsoft Corp. 2.375% 2/12/22 33,070 33,296
Microsoft Corp. 2.650% 11/3/22 14,215 14,419
Microsoft Corp. 2.125% 11/15/22 9,000 8,923
Microsoft Corp. 2.000% 8/8/23 30,000 29,315
Microsoft Corp. 3.625% 12/15/23 19,000 20,154
Microsoft Corp. 2.700% 2/12/25 45,175 45,316
Microsoft Corp. 3.125% 11/3/25 47,715 49,036
Microsoft Corp. 2.400% 8/8/26 38,545 37,214
Microsoft Corp. 3.300% 2/6/27 80,745 83,432
Oracle Corp. 2.500% 5/15/22 42,635 42,951
Oracle Corp. 2.500% 10/15/22 41,852 42,033
Oracle Corp. 2.400% 9/15/23 32,000 31,711
Oracle Corp. 3.400% 7/8/24 43,500 45,546
Oracle Corp. 2.950% 5/15/25 38,885 39,259
Pitney Bowes Inc. 3.625% 10/1/21 6,375 6,233
QUALCOMM Inc. 3.000% 5/20/22 26,510 26,989
QUALCOMM Inc. 2.600% 1/30/23 11,805 11,766
QUALCOMM Inc. 2.900% 5/20/24 76,995 77,097
QUALCOMM Inc. 3.450% 5/20/25 14,665 15,070
QUALCOMM Inc. 3.250% 5/20/27 53,525 53,535
9 Seagate HDD Cayman 4.875% 3/1/24 14,665 14,812
Tech Data Corp. 4.950% 2/15/27 5,000 5,243
Total System Services Inc. 3.750% 6/1/23 10,800 11,103
Tyco Electronics Group SA 4.875% 1/15/21 4,335 4,637
Tyco Electronics Group SA 3.500% 2/3/22 19,370 20,094
Tyco Electronics Group SA 3.450% 8/1/24 8,695 8,966
Tyco Electronics Group SA 3.700% 2/15/26 7,483 7,743
Tyco Electronics Group SA 3.125% 8/15/27 21,355 21,159
Verisk Analytics Inc. 4.125% 9/12/22 11,264 11,876
Verisk Analytics Inc. 4.000% 6/15/25 8,000 8,355
VMware Inc. 2.950% 8/21/22 9,720 9,747
VMware Inc. 3.900% 8/21/27 29,160 29,212
Xerox Corp. 6.350% 5/15/18 1,251 1,279
 
Transportation (2.0%)        
9 Adani Ports & Special Economic Zone Ltd. 4.000% 7/30/27 19,100 19,087
9 Air Canada 7.750% 4/15/21 26,205 29,972

 

 

4 American Airlines 2016-3 Class B Pass        
  Through Trust 3.750% 10/15/25 27,555 27,469
4 American Airlines 2017-2B Class B Pass        
  Through Trust 3.700% 10/15/25 29,125 29,041
12 Asciano Finance Ltd. 5.250% 5/19/25 8,640 6,936
  Burlington Northern Santa Fe LLC 4.100% 6/1/21 2,488 2,634
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 2,980 3,094
  Burlington Northern Santa Fe LLC 3.000% 3/15/23 10,830 11,058
  Burlington Northern Santa Fe LLC 3.850% 9/1/23 8,505 9,104
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 8,000 8,502
  Burlington Northern Santa Fe LLC 3.400% 9/1/24 41,327 43,047
  Burlington Northern Santa Fe LLC 7.000% 12/15/25 16,231 20,814
  Burlington Northern Santa Fe LLC 3.250% 6/15/27 14,360 14,666
  Canadian National Railway Co. 2.950% 11/21/24 1,130 1,147
4 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 129 130
4 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 657 722
4 Continental Airlines 2005-ERJ1 Pass        
  Through Trust 9.798% 10/1/22 771 837
4 Continental Airlines 2009-2 Class A Pass        
  Through Trust 7.250% 5/10/21 3,254 3,537
4 Continental Airlines 2010-1 Class A Pass        
  Through Trust 4.750% 7/12/22 4,916 5,175
4 Continental Airlines 2012-1 Class A Pass        
  Through Trust 4.150% 10/11/25 6,867 7,215
4 Continental Airlines 2012-2 Class A Pass        
  Through Trust 4.000% 4/29/26 5,395 5,652
4 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 985 1,032
4 CSX Transportation Inc. 6.251% 1/15/23 2,631 2,991
4 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 8,643 9,632
4 Delta Air Lines 2007-1 Class A Pass        
  Through Trust 6.821% 2/10/24 32,859 37,679
4 Delta Air Lines 2009-1 Class A Pass        
  Through Trust 7.750% 6/17/21 2,394 2,599
4 Delta Air Lines 2010-1 Class A Pass        
  Through Trust 6.200% 1/2/20 4,312 4,423
4 Delta Air Lines 2012-1 Class A Pass        
  Through Trust 4.750% 11/7/21 2,388 2,487
4 Delta Air Lines 2015-1 Class A Pass        
  Through Trust 3.875% 1/30/29 8,230 8,547
  Delta Air Lines Inc. 3.625% 3/15/22 33,425 34,155
9 ERAC USA Finance LLC 3.850% 11/15/24 8,000 8,296
9 ERAC USA Finance LLC 3.800% 11/1/25 9,000 9,245
4 Hawaiian Airlines 2013-1 Class A Pass        
  Through Certificates 3.900% 1/15/26 40,778 41,870
4,9 Heathrow Funding Ltd. 4.875% 7/15/23 330 354
  Kansas City Southern 3.125% 6/1/26 33,465 32,547
12 Qantas Airways Ltd. 7.500% 6/11/21 13,790 11,992
12 Qantas Airways Ltd. 7.750% 5/19/22 4,780 4,293
  Southwest Airlines Co. 7.375% 3/1/27 4,795 6,171
4 Southwest Airlines Co. 2007-1 Pass        
  Through Trust 6.650% 8/1/22 5,565 6,067
4 Southwest Airlines Co. 2007-1 Pass        
  Through Trust 6.150% 2/1/24 12,369 13,538

 

 

4 Spirit Airlines Class A Pass Through        
  Certificates Series 2015-1 4.100% 10/1/29 28,008 29,196
  Union Pacific Corp. 2.950% 1/15/23 8,364 8,593
4 United Airlines 2013-1 Class A Pass        
  Through Trust 4.300% 2/15/27 4,828 5,136
4 United Airlines 2016-1 Class B Pass        
  Through Trust 3.650% 1/7/26 23,175 23,142
4 United Airlines 2016-2 Class B Pass        
  Through Trust 3.650% 10/7/25 24,720 24,840
  United Continental Holdings Inc. 6.375% 6/1/18 2,775 2,838
4 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 3,057 3,369
12 WSO Finance Pty Ltd. 3.500% 7/14/23 10,260 7,823
          9,727,368
Utilities (3.8%)        
  Electric (3.7%)        
  AEP Transmission Co. LLC 3.100% 12/1/26 6,835 6,799
9 AEP Transmission Co. LLC 3.100% 12/1/26 3,265 3,248
  Ameren Illinois Co. 2.700% 9/1/22 7,449 7,531
  Ameren Illinois Co. 3.250% 3/1/25 11,680 11,942
12 AusNet Services Holdings Pty Ltd. 5.250% 2/14/20 3,700 2,985
  Baltimore Gas & Electric Co. 2.800% 8/15/22 16,840 16,978
  Baltimore Gas & Electric Co. 3.350% 7/1/23 10,627 10,967
  Berkshire Hathaway Energy Co. 3.750% 11/15/23 47,864 50,355
9 Cerro del Aguila SA 4.125% 8/16/27 11,000 10,945
  Commonwealth Edison Co. 3.100% 11/1/24 5,790 5,864
  Connecticut Light & Power Co. 2.500% 1/15/23 32,960 32,981
  DTE Electric Co. 3.900% 6/1/21 14,650 15,396
  DTE Electric Co. 2.650% 6/15/22 1,000 1,006
  Duke Energy Corp. 2.650% 9/1/26 1,262 1,209
  Duke Energy Corp. 3.150% 8/15/27 35,407 35,001
  Edison International 2.400% 9/15/22 4,500 4,458
9 EDP Finance BV 4.900% 10/1/19 14,676 15,387
9 EDP Finance BV 4.125% 1/15/20 24,100 24,966
9 EDP Finance BV 5.250% 1/14/21 2,500 2,699
9 EDP Finance BV 3.625% 7/15/24 10,885 11,019
  Emera US Finance LP 2.700% 6/15/21 8,160 8,178
9 Enel Finance International NV 2.875% 5/25/22 15,105 15,181
9 Enel Finance International NV 3.625% 5/25/27 25,000 24,954
  Entergy Arkansas Inc. 3.750% 2/15/21 8,770 9,129
  Entergy Arkansas Inc. 3.050% 6/1/23 7,410 7,545
  Entergy Arkansas Inc. 3.700% 6/1/24 3,318 3,485
  Entergy Arkansas Inc. 3.500% 4/1/26 15,620 16,117
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 5,699 6,611
  Entergy Louisiana LLC 4.800% 5/1/21 12,780 13,470
  Entergy Louisiana LLC 3.300% 12/1/22 6,915 7,099
  Entergy Louisiana LLC 4.050% 9/1/23 6,400 6,843
  Entergy Louisiana LLC 5.400% 11/1/24 8,562 9,747
  Entergy Louisiana LLC 2.400% 10/1/26 14,120 13,421
  Entergy Louisiana LLC 3.120% 9/1/27 6,425 6,464
  Entergy Louisiana LLC 4.950% 1/15/45 9,250 9,603
  Eversource Energy 2.800% 5/1/23 2,000 2,007
  Exelon Corp. 3.497% 6/1/22 3,631 3,735
  Exelon Corp. 3.950% 6/15/25 26,652 27,888
  FirstEnergy Corp. 4.250% 3/15/23 11,842 12,519
  FirstEnergy Corp. 3.900% 7/15/27 28,050 28,600
9 FirstEnergy Transmission LLC 4.350% 1/15/25 26,295 27,848
  Fortis Inc. 3.055% 10/4/26 14,275 13,865

 

 

  Georgia Power Co. 2.400% 4/1/21 4,735 4,734
  Georgia Power Co. 2.850% 5/15/22 16,559 16,781
  Georgia Power Co. 3.250% 3/30/27 22,090 22,076
  ITC Holdings Corp. 3.250% 6/30/26 14,700 14,636
  Kentucky Utilities Co. 3.300% 10/1/25 8,940 9,085
  LG&E & KU Energy LLC 4.375% 10/1/21 9,785 10,481
  Louisville Gas & Electric Co. 3.300% 10/1/25 4,530 4,632
  MidAmerican Energy Co. 3.700% 9/15/23 5,500 5,764
  National Rural Utilities Cooperative Finance        
  Corp. 2.950% 2/7/24 3,415 3,452
9 Niagara Mohawk Power Corp. 2.721% 11/28/22 2,000 2,006
  NSTAR Electric Co. 2.375% 10/15/22 7,700 7,660
  NSTAR Electric Co. 3.250% 11/15/25 10,000 10,129
  NSTAR Electric Co. 3.200% 5/15/27 16,330 16,589
  Oncor Electric Delivery Co. LLC 7.000% 9/1/22 23,887 28,501
  Oncor Electric Delivery Co. LLC 2.950% 4/1/25 1,200 1,199
  Pacific Gas & Electric Co. 2.450% 8/15/22 6,500 6,423
  Pacific Gas & Electric Co. 3.250% 6/15/23 28,755 29,309
  Pacific Gas & Electric Co. 3.850% 11/15/23 3,710 3,892
  PacifiCorp 3.600% 4/1/24 14,000 14,630
  PacifiCorp 3.350% 7/1/25 12,720 13,060
  Potomac Electric Power Co. 3.050% 4/1/22 2,270 2,255
  Potomac Electric Power Co. 3.600% 3/15/24 12,690 13,326
  PPL Capital Funding Inc. 3.100% 5/15/26 36,300 35,823
  PSEG Power LLC 4.300% 11/15/23 1,210 1,276
  Puget Energy Inc. 5.625% 7/15/22 19,769 22,055
  Puget Energy Inc. 3.650% 5/15/25 13,665 14,030
  SCANA Corp. 6.250% 4/1/20 8,500 9,081
  SCANA Corp. 4.750% 5/15/21 11,312 11,719
  SCANA Corp. 4.125% 2/1/22 2,000 2,024
  Southern Co. 2.350% 7/1/21 2,307 2,295
4 Southern Co. 5.500% 3/15/57 6,545 6,921
  Southwestern Electric Power Co. 3.550% 2/15/22 16,530 17,131
  Southwestern Public Service Co. 3.300% 6/15/24 41,070 42,133
  Tampa Electric Co. 5.400% 5/15/21 13,000 14,215
9 Trans-Allegheny Interstate Line Co. 3.850% 6/1/25 11,000 11,495
  Virginia Electric & Power Co. 3.450% 9/1/22 9,000 9,358
  Virginia Electric & Power Co. 2.750% 3/15/23 4,744 4,785
  Virginia Electric & Power Co. 3.450% 2/15/24 7,000 7,249
  Virginia Electric & Power Co. 3.100% 5/15/25 8,885 8,964
  Virginia Electric & Power Co. 3.150% 1/15/26 10,000 10,124
  Virginia Electric & Power Co. 2.950% 11/15/26 12,185 12,035
  Westar Energy Inc. 2.550% 7/1/26 16,620 16,031
  Westar Energy Inc. 3.100% 4/1/27 13,170 13,119
  Western Massachusetts Electric Co. 3.500% 9/15/21 10,000 10,334
 
  Natural Gas (0.1%)        
9 Centrica plc 4.000% 10/16/23 14,032 14,519
9 Engie SA 2.875% 10/10/22 3,480 3,517
  Sempra Energy 3.250% 6/15/27 17,359 17,249
  Southern Co. Gas Capital Corp. 3.250% 6/15/26 4,125 4,116
          1,108,263
Total Corporate Bonds (Cost $19,527,757)       19,828,171
Sovereign Bonds (7.0%)        
4,9 Abu Dhabi Crude Oil Pipeline LLC 4.600% 11/2/47 15,000 15,327
9 Banco do Brasil SA 4.625% 1/15/25 10,200 10,172

 

 

9 Banco Latinoamericano de Comercio        
  Exterior SA 3.250% 5/7/20 4,000 4,084
9 Bank Nederlandse Gemeenten NV 2.500% 1/23/23 1,000 1,007
13 Banque Centrale de Tunisie SA 5.625% 2/17/24 10,340 12,762
9 Banque Ouest Africaine de Developpement 5.000% 7/27/27 4,929 5,138
9 Bermuda 4.138% 1/3/23 2,000 2,097
  Bermuda 4.854% 2/6/24 17,825 19,366
9 Bermuda 4.854% 2/6/24 1,000 1,089
  BOC Aviation Ltd. 3.875% 5/9/19 800 816
9 BOC Aviation Ltd. 2.375% 9/15/21 15,000 14,640
  BOC Aviation Ltd. 3.875% 4/27/26 3,700 3,832
  Cayman Islands 5.950% 11/24/19 500 536
9 CDP Financial Inc. 4.400% 11/25/19 16,450 17,260
9 CDP Financial Inc. 3.150% 7/24/24 8,000 8,211
  CNOOC Curtis Funding No 1 Pty Ltd. 4.500% 10/3/23 5,000 5,407
  CNOOC Finance 2013 Ltd. 3.000% 5/9/23 20,000 20,090
9 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 1,021
  Corp. Financiera de Desarrollo SA 3.250% 7/15/19 5,000 5,082
9 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 1,400 1,493
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 29,660 30,925
9 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 3,000 3,129
  Corp. Nacional del Cobre de Chile 4.500% 9/16/25 17,250 18,563
9,16 Dexia Credit Local SA 1.875% 9/15/21 10,000 9,834
9 Dexia Credit Local SA 2.375% 9/20/22 1,750 1,745
  Ecopetrol SA 5.875% 9/18/23 14,600 16,425
9 Electricite de France SA 3.625% 10/13/25 4,800 4,928
  Emirate of Abu Dhabi 3.125% 10/11/27 83,900 82,787
  Emirate of Abu Dhabi 4.125% 10/11/47 10,950 10,837
9 Empresa Nacional del Petroleo 4.500% 9/14/47 9,200 8,737
4,9 ENA Norte Trust 4.950% 4/25/28 1,473 1,517
  Export-Import Bank of India 3.375% 8/5/26 5,000 4,943
  Export-Import Bank of Korea 2.875% 9/17/18 3,000 3,017
  Export-Import Bank of Korea 5.125% 6/29/20 17,000 18,073
  Export-Import Bank of Korea 4.000% 1/29/21 1,000 1,037
  Export-Import Bank of Korea 3.000% 11/1/22 20,000 20,031
  Export-Import Bank of Korea 4.000% 1/14/24 2,000 2,106
4 Federative Republic of Brazil 4.625% 1/13/28 12,600 12,527
  Federative Republic of Brazil 5.000% 1/27/45 10,450 9,692
  Gazprom OAO Via Gaz Capital SA 9.250% 4/23/19 27,800 30,286
  Gazprom OAO Via Gaz Capital SA 7.288% 8/16/37 7,000 8,496
  ICBCIL Finance Co. Ltd. 3.250% 3/17/20 4,800 4,843
  ICBCIL Finance Co. Ltd. 3.000% 4/5/20 3,538 3,552
  ICBCIL Finance Co. Ltd. 3.200% 11/10/20 5,000 5,043
  ICBCIL Finance Co. Ltd. 2.750% 5/19/21 10,000 9,900
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 2,400 2,438
17 Japan Bank for International Cooperation 2.000% 11/4/21 37,500 36,964
  Japan Finance Organization for        
  Municipalities 1.375% 2/5/18 18,400 18,388
  Japan Finance Organization for        
  Municipalities 1.375% 4/18/18 5,000 4,986
  Japan Finance Organization for        
  Municipalities 2.500% 9/12/18 6,200 6,216
  KazMunayGas National Co. JSC 9.125% 7/2/18 26,000 27,135
9 KazMunayGas National Co. JSC 3.875% 4/19/22 8,600 8,708
9 Kingdom of Saudi Arabia 2.375% 10/26/21 785 772
  Kingdom of Saudi Arabia 2.375% 10/26/21 97,077 95,414
  Kingdom of Saudi Arabia 2.875% 3/4/23 31,670 31,542
  Kingdom of Saudi Arabia 4.625% 10/4/47 20,340 20,812

 

 

  Korea Development Bank 1.500% 1/22/18 2,000 1,998
  Korea Development Bank 4.625% 11/16/21 2,000 2,136
9 Korea Western Power Co. Ltd. 2.875% 10/10/18 2,000 2,008
9 Kowloon-Canton Railway Corp. 5.125% 5/20/19 2,500 2,612
  KSA Sukuk Ltd. 2.894% 4/20/22 9,000 9,008
  Nexen Energy ULC 6.200% 7/30/19 2,000 2,120
  Nexen Energy ULC 5.875% 3/10/35 3,500 4,271
  Nexen Energy ULC 6.400% 5/15/37 1,800 2,350
9 NongHyup Bank 1.875% 9/12/21 19,500 18,736
  North American Development Bank 2.300% 10/10/18 1,500 1,504
  North American Development Bank 2.400% 10/26/22 1,300 1,288
  NTPC Ltd. 4.250% 2/26/26 1,500 1,564
  OCP SA 5.625% 4/25/24 9,000 9,667
9 OCP SA 5.625% 4/25/24 4,200 4,515
  OCP SA 6.875% 4/25/44 9,000 10,139
9 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.125% 3/20/22 6,000 6,098
9 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.875% 3/20/27 7,000 7,198
  Ooredoo Tamweel Ltd. 3.039% 12/3/18 10,000 10,062
9 Pertamina Persero PT 6.000% 5/3/42 1,000 1,145
  Perusahaan Penerbit SBSN Indonesia III 4.550% 3/29/26 2,660 2,813
  Petrobras Global Finance BV 8.375% 5/23/21 3,250 3,742
9 Petrobras Global Finance BV 5.299% 1/27/25 2,835 2,849
  Petrobras Global Finance BV 8.750% 5/23/26 9,625 11,634
  Petrobras Global Finance BV 7.375% 1/17/27 390 432
9 Petrobras Global Finance BV 5.999% 1/27/28 35,518 35,962
  Petrobras International Finance Co. SA 5.375% 1/27/21 20,401 21,447
  Petroleos Mexicanos 5.500% 2/4/19 5,515 5,720
  Petroleos Mexicanos 5.500% 1/21/21 160,211 170,650
  Petroleos Mexicanos 6.375% 2/4/21 8,000 8,720
  Petroleos Mexicanos 4.875% 1/24/22 3,200 3,327
9 Petroleos Mexicanos 6.750% 9/21/47 9,790 10,084
  Province of Alberta 1.900% 12/6/19 25,000 24,986
9 Province of Alberta 2.050% 8/17/26 7,000 6,610
  Province of New Brunswick 2.750% 6/15/18 1,250 1,258
  Province of Ontario 3.000% 7/16/18 3,000 3,027
  Province of Ontario 4.000% 10/7/19 4,500 4,677
  Province of Quebec 2.375% 1/31/22 15,700 15,780
  Republic of Chile 3.250% 9/14/21 7,275 7,558
  Republic of Chile 2.250% 10/30/22 15,750 15,627
  Republic of Colombia 7.375% 3/18/19 2,150 2,302
  Republic of Colombia 4.000% 2/26/24 12,520 13,002
4 Republic of Colombia 3.875% 4/25/27 7,250 7,312
  Republic of Colombia 10.375% 1/28/33 17,366 27,163
4 Republic of Colombia 5.000% 6/15/45 12,905 13,292
  Republic of Guatemala 4.375% 6/5/27 19,205 19,109
  Republic of Hungary 4.125% 2/19/18 19,000 19,142
  Republic of Hungary 6.250% 1/29/20 69,735 75,623
  Republic of Hungary 6.375% 3/29/21 5,980 6,698
  Republic of Indonesia 4.875% 5/5/21 52,925 56,872
13 Republic of Indonesia 2.875% 7/8/21 5,400 6,812
  Republic of Indonesia 3.750% 4/25/22 70,858 73,541
  Republic of Indonesia 3.375% 4/15/23 6,000 6,089
  Republic of Indonesia 5.375% 10/17/23 7,000 7,876
  Republic of Kazakhstan 3.875% 10/14/24 12,000 12,381
  Republic of Korea 7.125% 4/16/19 1,500 1,603
9 Republic of Latvia 2.750% 1/12/20 1,000 1,011

 

 

  Republic of Lithuania 7.375% 2/11/20 18,265 20,412
9 Republic of Lithuania 6.125% 3/9/21 7,400 8,286
  Republic of Lithuania 6.125% 3/9/21 42,564 47,657
  Republic of Panama 8.875% 9/30/27 10,000 14,475
  Republic of Panama 9.375% 4/1/29 300 449
  Republic of Panama 8.125% 4/28/34 9,136 12,686
4 Republic of Panama 6.700% 1/26/36 2,400 3,173
  Republic of Poland 5.125% 4/21/21 16,505 18,032
  Republic of Poland 5.000% 3/23/22 10,730 11,803
  Republic of Romania 6.750% 2/7/22 982 1,132
13 Republic of Romania 2.750% 10/29/25 4,500 5,665
9 Republic of Serbia 5.250% 11/21/17 8,000 8,013
  Republic of Slovenia 5.500% 10/26/22 36,554 41,357
  Republic of the Philippines 4.000% 1/15/21 5,000 5,272
  Republic of Turkey 6.750% 4/3/18 17,915 18,227
  Republic of Turkey 5.750% 3/22/24 37,100 39,094
  Republic of Turkey 4.875% 10/9/26 6,690 6,548
  Republic of Turkey 4.875% 4/16/43 2,186 1,899
  Republic of Turkey 5.750% 5/11/47 26,327 25,175
  Sinopec Capital 2013 Ltd. 3.125% 4/24/23 13,170 13,279
9 Sinopec Group Overseas Development        
  2012 Ltd. 4.875% 5/17/42 5,000 5,680
  Sinopec Group Overseas Development        
  2012 Ltd. 4.875% 5/17/42 18,656 21,173
  Sinopec Group Overseas Development        
  2013 Ltd. 2.500% 10/17/18 5,310 5,327
9 Sinopec Group Overseas Development        
  2013 Ltd. 4.375% 10/17/23 1,800 1,941
  Sinopec Group Overseas Development        
  2017 Ltd. 2.500% 9/13/22 5,000 4,928
9 Sinopec Group Overseas Development        
  2017 Ltd. 3.625% 4/12/27 17,500 17,947
  Socialist Republic of Vietnam 4.800% 11/19/24 8,000 8,569
  State of Israel 3.150% 6/30/23 2,000 2,056
  State of Israel 2.875% 3/16/26 3,980 3,991
  State of Kuwait 2.750% 3/20/22 19,406 19,574
  State of Qatar 5.250% 1/20/20 30,000 31,726
  State of Qatar 2.375% 6/2/21 775 758
  Statoil ASA 1.950% 11/8/18 2,000 2,001
  Statoil ASA 5.250% 4/15/19 4,000 4,189
  Statoil ASA 3.150% 1/23/22 3,000 3,096
  Statoil ASA 2.450% 1/17/23 3,000 2,995
  Statoil ASA 3.950% 5/15/43 3,191 3,269
  Sultanate of Oman 5.375% 3/8/27 8,000 8,206
9 Temasek Financial I Ltd. 2.375% 1/23/23 1,000 998
  United Mexican States 3.625% 3/15/22 13,656 14,227
  United Mexican States 4.000% 10/2/23 41,772 43,795
  YPF SA 8.875% 12/19/18 2,500 2,651
Total Sovereign Bonds (Cost $2,021,822)       2,042,659
Taxable Municipal Bonds (0.1%)        
  Allentown PA Neighborhood Improvement        
  Zone Development Authority Revenue 5.420% 5/1/21 4,000 4,061
  Florida Hurricane Catastrophe Fund        
  Finance Corp. Revenue 2.995% 7/1/20 1,250 1,272
  Illinois GO 5.000% 1/1/23 1,835 1,906
  JobsOhio Beverage System Statewide        
  Liquor Profits Revenue 2.885% 1/1/21 1,000 1,017

 

 

Johns Hopkins University Maryland GO 5.250% 7/1/19 199 209
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 4,948 4,978
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 4,107 4,157
New York City NY Transitional Finance        
Authority Future Tax Revenue 5.125% 2/1/24 1,500 1,707
New York State Dormitory Authority        
Revenue (Employer Assessment) 3.892% 12/1/24 2,000 2,156
Port Authority of New York & New Jersey        
Revenue 5.859% 12/1/24 2,000 2,398
San Diego County CA Regional Airport        
Authority Revenue 3.730% 7/1/21 800 827
San Diego County CA Regional Airport        
Authority Revenue 5.594% 7/1/43 6,200 6,879
Sonoma County CA Pension Obligation        
Revenue 6.000% 12/1/29 4,960 5,875
Texas GO 3.682% 8/1/24 2,000 2,089
University of California Revenue 2.054% 5/15/18 500 501
University of California Revenue 2.300% 5/15/21 1,000 1,006
Total Taxable Municipal Bonds (Cost $40,084)       41,038
  Coupon   Shares  
Convertible Preferred Stocks (0.0%)        
Financials (0.0%)        
*,8,14 Lehman Brothers Holdings Inc. (Cost $8,571) 6.500%   8,740 —
Temporary Cash Investment (1.8%)        
Money Market Fund (1.8%)        
18 Vanguard Market Liquidity Fund (Cost        
$546,312) 1.246%   5,462,439 546,299
Total Investments (100.5%) (Cost $29,180,442)       29,455,304

 

        Notional  
        Amount Value
  Expiration Date Contracts Exercise Price ($000) ($000)
Liability for Options Written (0.0%)        
Written Options on Futures (0.0%)          
Call Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 394 USD 127.50 50,235 (6)
Put Options on 10-Year U.S.          
Treasury Note Futures Contracts 11/24/17 888 USD 124.50 110,556 (278)
 
Total Options on Futures Written (Premiums Received $490)     (284)
 
        Notional  
        Amount on  
        Underlying  
        Swap Value
  Counterparty Expiration Date Exercise Rate ($000) ($000)
Written Swaptions on Credit Default Index (0.0%)        
Call Swaptions on CDX-NA-IG-27-        
V1 5-Year Index  GSI 11/15/47 55.0% 59,810 (125)
Put Swaptions on CDX-NA-IG-27-        
V1 5-Year Index  GSI 12/20/17 75.0% 180,845 (46)

 

 

Total Credit Default Swaptions Written (Premiums Received $245) (171)
Total Liability on Options Written (Premiums Received $735) (455)
 
Other Assets and Liabilities-Net (-0.5%) (163,142)
Net Assets (100%) 29,292,162

* Non-income-producing security.
1 Securities with a value of $7,631,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $3,596,000 have been segregated as collateral for open over-the-counter swap
contracts.
3 Securities with a value of $29,362,000 have been segregated as initial margin for open futures 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 based upon one-year Constant Maturity Treasury yield plus spread.
7 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
8 Security value determined using significant unobservable inputs.
9 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2017, the
aggregate value of these securities was $4,358,231,000, representing 14.9% of net assets.
10 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
11 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
12 Face amount denominated in Australian dollars.
13 Face amount denominated in euro.
14 Non-income-producing security--security in default.
15 Face amount denominated in British pounds.
16 Guaranteed by multiple countries.
17 Guaranteed by the Government of Japan.
18 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.
USD—United School District.

Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
10-Year U.S. Treasury Note December 2017 18,101 2,261,494 (18,406)
5-Year U.S. Treasury Note December 2017 12,435 1,457,227 (9,462)
10-Year Ultra U.S. Treasury Note December 2017 2,971 397,882 304
Euro-Schatz December 2017 31 4,054 2
        (27,562)
Short Futures Contracts        
2-Year U.S. Treasury Note December 2017 (4,525) (974,501) 2,110

 

 

Ultra Long U.S. Treasury Bond December 2017 (1,740) (286,719) 1,219
AUD 3-Year Treasury Bond December 2017 (1,392) (118,885) (202)
30-Year U.S. Treasury Bond December 2017 (650) (99,105) (237)
Euro-Bund December 2017 (346) (65,595) (46)
Euro-Bobl December 2017 (331) (50,810) 3
Euro-Buxl December 2017 (214) (41,411) (114)
Long Gilt December 2017 (195) (32,200) 712
AUD 10-Year Treasury Bond December 2017 (260) (25,641) (32)
        3,413
        (24,149)

 

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 3-Year Treasury Bond and AUD 10-Year Treasury Bond futures contracts, is required to be treated as realized gain (loss) for tax purposes.

Forward Currency Contracts            
    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Goldman Sachs Bank AG 11/15/17 EUR 10,500 USD 12,363 (122)
Toronto-Dominion Bank 11/15/17 AUD 14,400 USD 11,198 (179)
JPMorgan Chase Bank, N.A. 11/15/17 EUR 8,000 USD 9,367 (41)
Barclays Capital 11/15/17 EUR 7,800 USD 9,250 (157)
Goldman Sachs Bank AG 11/15/17 AUD 11,000 USD 8,442 (25)
Goldman Sachs Bank AG 11/15/17 EUR 5,800 USD 6,722 40
Goldman Sachs Bank AG 11/15/17 GBP 4,500 USD 5,944 35
BNP Paribas 11/15/17 EUR 2,000 USD 2,363 (32)
BNP Paribas 11/15/17 GBP 800 USD 1,055 8
Barclays Capital 11/15/17 USD 193,641 AUD 248,000 3,865
BNP Paribas 11/15/17 USD 201,682 EUR 170,000 3,491
JPMorgan Chase Bank, N.A. 11/15/17 USD 44,206 GBP 33,600 (440)
Goldman Sachs Bank AG 11/15/17 USD 1,532 EUR 1,300 17
            6,460
AUD—Australian dollar.            
EUR—Euro.            
GBP—British pound.            
USD—U.S. dollar.            

 

Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

 

Centrally Cleared Credit Default Swaps        
      Periodic   Value and
      Premium   Unrealized
      Received   Appreciation
  Termination Notional Amount (Paid)1 Value (Depreciation)
Reference Entity Date (000) (%)  ($000) ($000)
Credit Protection Sold          
CDX-NA-HY-S29-V1 12/20/22 USD 49,600 5.000 4,177 241
CDX-NA-IG-S29-V1 12/20/22 USD 183,939 1.000 4,254 124
        8,431 365
Credit Protection Purchased          
CDX-NA-IG-S28-V1 6/20/22 USD 180,772 (1.000) (3,985) (95)
iTraxx Europe Crossover Index-          
S28-V1 12/20/22 EUR 24,300 (5.000) (3,681) (426)
iTraxx Europe Subordinated          
Financials-S27-V1 6/20/22 EUR 28,730 (1.000) (160) (681)
        (7,826) (1,202)
        605 (837)

1. Periodic premium received/paid quarterly.
EUR—euro.
USD—U.S. dollar.

Over-the-Counter Credit Default Swaps            
 
 
 
            Remaining  
        Periodic   Up-Front Value and
        Premium   Premium Unrealized
      Notional Received   Received Appreciation
  Termination   Amount (Paid) Value (Paid) (Depreciation)
Reference Entity Date Counterparty ($000) (%) ($000) ($000) ($000)
Credit Protection Sold/Moody's Rating            
America Movil 12/20/22 BARC 15,000 1.0002 (213) (150) (63)
Berkshire Hathaway              
Inc./Aa2 6/20/21 GSI 3,110 1.0002 67 17 50
Berkshire Hathaway              
Inc./Aa2 6/20/21 JPMC 4,655 1.0002 100 16 84
Berkshire Hathaway              
Inc./Aa2 6/20/21 JPMC 15,000 1.0002 322 (16) 338
Berkshire Hathaway              
Inc./Aa2 6/20/22 BARC 15,760 1.0002 346 250 96
Berkshire Hathaway              
Inc./Aa2 12/20/22 BARC 7,605 1.0002 165 133 32

 

 

Berkshire Hathaway              
Inc./Aa2 6/20/24 JPMC 9,400 1.0002 101 97 4
Berkshire Hathaway              
Inc./Aa2 6/20/24 BARC 19,400 1.0002 208 - 208
International Lease              
Finance Corp./Baa3 6/20/22 BARC 7,000 1.0002 70 3 67
Metlife Inc./A3 12/20/20 GSCM 5,625 1.0002 125 - 125
Metlife Inc./A3 12/20/21 BARC 3,165 1.0002 74 4 70
Metlife Inc./A3 6/20/24 BARC 24,300 1.0002 248 29 219
People’s Republic of              
China/A1 6/20/22 BNPSW 22,800 1.0002 531 184 347
People’s Republic of              
China/A1 12/20/22 GSI 41,100 1.0002 940 837 103
Republic of              
Chile/Aa3 12/20/22 GSI 8,955 1.0002 204 182 21
Republic of              
Chile/Aa3 12/20/22 CITNA 450 1.0002 10 8 2
Republic of              
Colombia/Baa2 12/20/22 MSCS 15,000 1.0002 (89) (82) (7)
Republic of              
Indonesia/Baa3 12/20/22 BNPSW 49,520 1.0002 128 (59) 187
Republic of Peru/A3 12/20/22 GSI 11,125 1.0002 148 - 148
Saudi Arabia/A1 12/20/22 MSCS 51,100 1.0002 407 - 407
Simon Property              
Group LP/A2 6/20/22 JPMC 3,040 1.0002 46 (4) 50
Simon Property              
Group LP/A2 6/20/22 JPMC 4,560 1.0002 69 (1) 70
The Southern              
Company/Baa2 6/20/22 JPMC 59,775 1.0002 1,194 937 257
Total         5,201 2,386 2,815
Credit Protection              
Purchased              
American              
International Group              
Inc. 12/20/20 GSCM 2,835 (1.000)2 (71) 27 (98)
American              
International Group              
Inc. 12/20/20 GSCM 5,625 (1.000)2 (140) (80) (60)
Banco Bilbao              
Vizcaya Argentaria              
SA 6/20/21 BOANA 24,495 (1.000)2 (547) 540 (1,087)
Bank of America              
Corp. 3/20/20 GSCM 7,870 (1.000)2 (147) (61) (86)
        (1.000)2      
Bank of China Ltd. 12/20/21 BNPSW 6,200   (124) 18 (142)
        (1.000)2      
Bank of China Ltd. 6/20/22 BNPSW 22,800   (446) (4) (442)
        (1.000)2      
Barclays Bank plc 6/20/22 CSFBI 15,1901   (489) (310) (179)
        (1.000)2      
Barclays Bank plc 6/20/22 BOANA 15,1951   (489) (305) (184)
        (1.000)2      
Barclays Bank plc 12/20/22 CITNA 6,1301   202 260 (58)
CECONOMY AG 6/20/22 BARC 3,0001 (1.000)2 (34) 14 (48)
CECONOMY AG 6/20/22 BARC 3,0001 (1.000)2 (34) 6 (40)
CECONOMY AG 6/20/22 BARC 3,0001 (1.000)2 (34) (3) (31)
CECONOMY AG 6/20/22 BARC 10,4851 (1.000)2 (118) 28 (146)

 

 

CECONOMY AG 6/20/22 BARC 4,4901 (1.000)2 (51) 12 (63)
CECONOMY AG 6/20/22 BARC 7,4651 (1.000)2 (84) 20 (104)
CECONOMY AG 6/20/22 BARC 7,4651 (1.000)2 (84) 15 (99)
CMBX-NA-AAA-9 9/17/58 CSFBI 5,045 (0.500)3 (4) 176 (180)
CMBX-NA-AAA-9 9/17/58 JPM 5,300 (0.500)3 (4) 197 (201)
CMBX-NA-AAA-9 9/17/58 GSI 980 (0.500)3 (1) 40 (41)
CMBX-NA-AAA-9 9/17/58 DBAG 6,440 (0.500)3 (5) 246 (251)
CMBX-NA-AAA-9 9/17/58 MSCS 5,150 (0.500)3 (4) 215 (219)
CMBX-NA-AAA-9 9/17/58 JPM 5,140 (0.500)3 (4) 256 (260)
CMBX-NA-AAA-9 9/17/58 MSCS 5,110 (0.500)3 (4) 271 (275)
CMBX-NA-AAA-9 9/17/58 DBAG 5,030 (0.500)3 (4) 286 (290)
Commerzbank AG 6/20/21 BOANA 24,495 (1.000)2 (547) 336 (883)
CVS Health Corp. 12/20/21 BARC 3,220 (1.000)2 (82) (87) 5
CVS Health Corp. 12/20/21 BOANA 15,000 (1.000)2 (380) (407) 27
Deutsche Bank AG 12/20/21 BARC 19,400 (1.000)2 (247) 217 (464)
Deutsche Bank AG 12/20/22 JPMC 9,115 (1.000)2 (92) (53) (39)
Deutsche Bank AG 12/20/22 JPMC 6,075 (1.000)2 (61) (30) (31)
Deutsche Bank AG 12/20/22 JPMC 15,195 (1.000)2 (153) (75) (78)
Dominion Energy              
Inc. 6/20/22 JPMC 7,470 (1.000)2 (240) (238) (2)
EI du Pont de              
Nemours & Co. 12/20/20 JPMC 10,230 (1.000)2 (284) (157) (127)
Enel Investment              
Holding BV 6/20/22 BNPSW 15,1951 (1.000)2 (408) (282) (126)
Engie SA 12/20/21 BNPSW 7,8801 (1.000)2 (300) (114) (186)
Engie SA 6/20/22 JPMC 7,8751 (1.000)2 (308) (168) (140)
Exelon Corp. 6/20/22 JPMC 11,955 (1.000)2 (393) (366) (27)
Exelon Corp. 6/20/22 JPMC 7,470 (1.000)2 (245) (230) (15)
Federal Express              
Corp. 12/20/18 GSCM 7,840 (1.000)2 (88) (29) (59)
Federative Republic              
of Brazil 12/20/22 GSI 20,268 (1.000)2 653 969 (316)
Federative Republic              
of Brazil 12/20/22 BNPSW 32,350 (1.000)2 1,043 1,548 (505)
Federative Republic              
of Brazil 12/20/25 BOANA 3,885 (1.000)2 361 909 (548)
Federative Republic              
of Brazil 12/20/25 GSCM 2,485 (1.000)2 231 542 (311)
JPMorgan Chase              
Bank N.A. 12/20/20 MSCS 25,000 (1.000)2 (570) (99) (471)
Lincoln National              
Corp. 6/20/21 BARC 10,000 (1.000)2 (264) 160 (424)
Lincoln National              
Corp. 6/20/21 BARC 1,555 (1.000)2 (41) 31 (72)
Lincoln National 6/20/21 BARC   (1.000)2      

 

 

Corp.     1,555   (41) (31) (10)
Lincoln National              
Corp. 12/20/21 BARC 3,165 (1.000)2 (84) 7 (91)
McDonald’s Corp. 6/20/22 GSI 12,325 (1.000)2 (456) (366) (90)
McKesson Corp. 3/20/19 JPMC 6,360 (1.000)2 (81) (62) (19)
McKesson Corp. 3/20/19 JPMC 6,360 (1.000)2 (81) (64) (17)
Republic of Korea 9/20/18 JPMC 2,000 (1.000)2 (9) (4) (5)
Republic of              
Philippines 12/20/22 BNPSW 29,940 (1.000)2 (544) (547) 3
Republic of Turkey 12/20/19 GSCM 26,350 (1.000)2 (99) 298 (397)
Republic of Turkey 12/20/22 GSI 49,460 (1.000)2 1,919 1,917 2
Royal Bank of              
Scotland 12/20/20 BNPSW 6,510 (1.000)2 (141) (35) (106)
Sempra Energy 6/20/22 JPMC 11,955 (1.000)2 (381) (355) (26)
Sempra Energy 6/20/22 JPMC 7,470 (1.000)2 (238) (227) (11)
Societe General SA 12/20/21 JPMC 14,675 (1.000)2 (434) (75) (359)
Standard Chartered              
Bank 12/20/21 JPMC 7,945 (1.000)2 (218) 15 (233)
State of Qatar 6/20/22 BOANA 1,360 (1.000)2 (6) 15 (21)
State of Qatar 6/20/22 CITNA 2,640 (1.000)2 (11) 29 (40)
UniCredit SpA 6/20/22 JPMC 6,100 (1.000)2 202 422 (220)
United Mexican              
States 12/20/22 JPMC 15,000 (1.000)2 40 143 (103)
Wells Fargo & Co. 9/20/20 BOANA 9,700 (1.000)2 (211) (70) (141)
Total         6,009 5,251 (11,260)
              (8,445)

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 Notional amount denominated in euro.
2 Periodic premium received/paid quarterly.
3 Periodic premium received/paid monthly.
BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
BOANA--Bank of America, N.A.
CITNA—Citibank N.A.
CSFBI--Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM--Goldman Sachs Bank USA.
GSI--Goldman Sachs International.
JPMC--JP Morgan Chase Bank.
MSCS--Morgan Stanley Capital Services LLC

 

Centrally Cleared Interest Rate Swaps          
 
 
      Fixed      
      Interest Floating    
      Rate Interest   Unrealized
  Future Notional Received Rate   Appreciation
Termination Effective Amount (Paid)2 Received Value (Depreciation)
Date Date ($000) (%) (Paid) (%) ($000) ($000)
11/27/17 N/A 3,580 0.664 (1.240)3 (1) (2)
12/20/18 12/20/171 135,458 1.750 (0.000)4 43 (154)
12/20/19 12/20/171 172,962 (2.000) 0.0004 (448) 461
1/21/20 N/A 20,920 1.224 (1.239)3 (244) (244)
1/21/20 N/A 3,130 1.363 (1.239)3 (27) (27)
4/15/20 N/A 14,650 1.345 (1.239)3 (154) (154)
6/15/20 N/A 2,050 0.931 (1.239)3 (46) (46)
7/15/20 N/A 8,920 1.571 (1.239)3 (57) (57)
12/21/20 12/20/171 59,554 (2.250) 0.0004 (478) 269
12/20/21 12/20/171 18,568 (2.250) 0.0004 (137) 81
12/20/22 12/20/171 64,149 (2.250) 0.0004 (375) 359
12/20/24 12/20/171 55,078 (2.500) 0.0004 (896) 650
          (2,820) 1,136

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic
net payments beginning on a specified future effective date.
2 Fixed interest payment received/paid semi-annually.

3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest
payment received/paid monthly.
4 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest
payment received/paid quarterly.

Over-the-Counter Interest Rate Swaps      
      Fixed Floating  
      Interest Rate Interest Rate Unrealized
    Notional Received Received Appreciation
Termination   Amount (Paid)3 (Paid) (Depreciation)
Date Counterparty ($000) (%) (%) ($000)
12/27/17 GSCM 355 0.625 (1.240)1 (1)
8/15/18 BNPSW 2,837 0.715 (1.239)1 (3)
4/25/19 WFC 1,171 2.756 (1.367)2 23
4/27/20 GSCM 1,828 2.794 (1.367)2 30

 

 

4/1/21 WFC 3,646 0.965 (1.235)1 (42)
6/25/21 GSCM 4,780 3.143 (1.328)2 95
11/25/22 BARC 9,418 2.758 (1.317)2 193
9/25/29 GSCM 9,072 1.794 (1.240)1 (109)
          186

BARC--Barclays Bank plc.
BNPSW--BNP Paribas.
GSCM—Goldman Sachs Bank USA.
WFC—Wells Fargo Bank N.A.
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating
interest payment received/paid monthly.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating
interest payment received/paid quarterly.
3 Fixed interest payment received/paid semi-annually.

At October 31, 2017, counterparties had deposited in segregated accounts securities and cash with a value of $11,415,000 in connection with open swap contracts.

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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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). Any investments valued with significant unobservable inputs are noted on the
Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 2,281,276 —
Asset-Backed/Commercial Mortgage-Backed Securities — 4,663,353 52,508
Corporate Bonds — 19,828,166 5
Sovereign Bonds — 2,042,659 —
Taxable Municipal Bonds — 41,038 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 546,299 — —
Liability for Options Written (455) — —
Futures Contracts—Assets1 1,434 — —
Futures Contracts—Liabilities1 (5,107) — —
Forward Currency Contracts—Assets — 7,456 —
Forward Currency Contracts—Liabilities — (996) —
Swap Contracts—Assets1 67 3,263 —
Swap Contracts—Liabilities1 (21) (11,522) —
Total 542,217 28,854,693 52,513
1 Represents variation margin on the last day of the reporting period.      

 

D. 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 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).

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

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

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

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt

 

instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund 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.

G. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

 

Options contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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.

H. At October 31, 2017, the cost of investment securities for tax purposes was $29,192,396,000. Net unrealized appreciation of investment securities for tax purposes was $262,908,000, consisting of unrealized gains of $429,274,000 on securities that had risen in value since their purchase and $166,366,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard REIT II Index Fund

Schedule of Investments (unaudited)
As of October 31, 2017

    Market
    Value
  Shares ($000)
Equity Real Estate Investment Trusts (REITs) (100.0%)    
Diversified REITs (7.8%)    
VEREIT Inc. 7,241,019 57,132
WP Carey Inc. 791,592 53,947
Colony NorthStar Inc. Class A 3,887,739 47,741
Liberty Property Trust 1,094,109 46,915
Forest City Realty Trust Inc. Class A 1,585,995 39,063
Gramercy Property Trust 1,128,825 33,526
STORE Capital Corp. 1,270,807 31,376
Spirit Realty Capital Inc. 3,597,468 29,895
PS Business Parks Inc. 151,564 20,057
Empire State Realty Trust Inc. 991,279 19,875
Washington REIT 571,070 18,383
Lexington Realty Trust 1,608,581 16,279
Alexander & Baldwin Inc. 347,286 15,711
Select Income REIT 498,483 12,043
Global Net Lease Inc. 493,931 10,669
American Assets Trust Inc. 262,746 10,192
* iStar Inc. 482,623 5,647
Investors Real Estate Trust 906,849 5,305
Armada Hoffler Properties Inc. 334,384 4,772
Gladstone Commercial Corp. 187,266 4,056
One Liberty Properties Inc. 102,948 2,494
RAIT Financial Trust 621,404 333
    485,411
Health Care REITs (11.8%)    
Welltower Inc. 2,721,372 182,223
Ventas Inc. 2,637,428 165,499
HCP Inc. 3,464,552 89,524
Healthcare Trust of America Inc. Class A 1,422,125 42,735
^ Omega Healthcare Investors Inc. 1,462,716 42,214
Medical Properties Trust Inc. 2,705,306 35,791
Senior Housing Properties Trust 1,765,566 32,486
Healthcare Realty Trust Inc. 920,212 29,668
Sabra Health Care REIT Inc. 1,306,967 26,035
National Health Investors Inc. 304,600 23,208
Physicians Realty Trust 1,320,740 22,954
LTC Properties Inc. 294,134 13,680
* Quality Care Properties Inc. 695,652 11,012
CareTrust REIT Inc. 539,382 10,194
Universal Health Realty Income Trust 96,206 7,043
New Senior Investment Group Inc. 610,903 5,462
    739,728
Hotel & Resort REITs (6.7%)    
Host Hotels & Resorts Inc. 5,497,808 107,537
Hospitality Properties Trust 1,220,909 34,894
Park Hotels & Resorts Inc. 1,117,798 32,181
Apple Hospitality REIT Inc. 1,575,024 29,831
RLJ Lodging Trust 1,299,090 28,138
Sunstone Hotel Investors Inc. 1,638,808 26,745

 

 

LaSalle Hotel Properties 841,671 23,744
Ryman Hospitality Properties Inc. 341,903 22,610
^ Pebblebrook Hotel Trust 517,128 18,441
Xenia Hotels & Resorts Inc. 794,048 17,278
DiamondRock Hospitality Co. 1,489,002 16,171
MGM Growth Properties LLC Class A 514,458 15,182
Chesapeake Lodging Trust 446,639 12,461
Summit Hotel Properties Inc. 775,289 12,257
Chatham Lodging Trust 285,565 6,211
Hersha Hospitality Trust Class A 310,724 5,497
Ashford Hospitality Trust Inc. 724,438 5,093
Ashford Hospitality Prime Inc. 190,774 1,854
    416,125
Industrial REITs (7.6%)    
Prologis Inc. 3,941,315 254,530
Duke Realty Corp. 2,642,803 75,267
DCT Industrial Trust Inc. 683,264 39,643
First Industrial Realty Trust Inc. 871,762 26,920
EastGroup Properties Inc. 251,932 22,823
STAG Industrial Inc. 659,668 18,009
Rexford Industrial Realty Inc. 496,073 14,728
Terreno Realty Corp. 371,636 13,646
Monmouth Real Estate Investment Corp. 485,902 8,280
    473,846
Office REITs (13.0%)    
Boston Properties Inc. 1,143,527 138,573
Vornado Realty Trust 1,266,500 94,810
Alexandria Real Estate Equities Inc. 676,879 83,906
SL Green Realty Corp. 756,431 72,375
Kilroy Realty Corp. 730,510 52,034
Douglas Emmett Inc. 1,091,491 43,431
Hudson Pacific Properties Inc. 1,159,813 39,225
Highwoods Properties Inc. 758,263 38,709
Cousins Properties Inc. 3,113,531 28,084
* Equity Commonwealth 922,209 27,713
Corporate Office Properties Trust 739,222 23,603
Paramount Group Inc. 1,461,987 23,275
Brandywine Realty Trust 1,303,348 22,796
* JBG SMITH Properties 703,018 21,941
Piedmont Office Realty Trust Inc. Class A 1,080,606 20,899
Columbia Property Trust Inc. 910,378 20,101
Mack-Cali Realty Corp. 634,947 14,458
Government Properties Income Trust 715,469 13,000
* New York REIT Inc. 1,247,855 9,421
Franklin Street Properties Corp. 757,821 7,578
Tier REIT Inc. 355,402 6,955
Easterly Government Properties Inc. 275,840 5,550
NorthStar Realty Europe Corp. 388,707 5,236
    813,673
Residential REITs (16.5%)    
AvalonBay Communities Inc. 1,024,100 185,700
Equity Residential 2,728,678 183,531
Essex Property Trust Inc. 487,529 127,942
Mid-America Apartment Communities Inc. 844,084 86,392
UDR Inc. 1,987,296 77,087
Camden Property Trust 688,736 62,840

 

 

Equity LifeStyle Properties Inc. 613,219 54,258
Sun Communities Inc. 579,033 52,264
Apartment Investment & Management Co. 1,166,988 51,324
American Campus Communities Inc. 996,499 41,434
American Homes 4 Rent Class A 1,727,477 36,761
Starwood Waypoint Homes 927,948 33,694
Education Realty Trust Inc. 544,058 18,988
Independence Realty Trust Inc. 606,915 6,160
Altisource Residential Corp. 378,577 4,039
UMH Properties Inc. 221,380 3,307
NexPoint Residential Trust Inc. 117,766 2,797
    1,028,518
Retail REITs (18.2%)    
Simon Property Group Inc. 2,320,264 360,407
Realty Income Corp. 2,029,380 108,917
GGP Inc. 4,591,683 89,354
Regency Centers Corp. 1,137,630 70,021
Federal Realty Investment Trust 536,937 64,712
Kimco Realty Corp. 3,163,426 57,448
Macerich Co. 895,727 48,907
National Retail Properties Inc. 1,108,486 44,539
Brixmor Property Group Inc. 2,265,986 39,587
Weingarten Realty Investors 906,699 27,609
Retail Properties of America Inc. 1,760,960 21,519
Taubman Centers Inc. 451,312 21,311
Urban Edge Properties 846,143 19,850
DDR Corp. 2,319,502 17,791
Acadia Realty Trust 629,942 17,733
Tanger Factory Outlet Centers Inc. 717,146 16,315
Retail Opportunity Investments Corp. 815,909 14,670
Kite Realty Group Trust 621,649 11,619
Washington Prime Group Inc. 1,379,110 10,798
CBL & Associates Properties Inc. 1,271,569 9,969
Agree Realty Corp. 210,769 9,967
^ Seritage Growth Properties Class A 188,464 7,752
Ramco-Gershenson Properties Trust 590,269 7,455
Alexander's Inc. 17,088 7,023
Getty Realty Corp. 245,079 6,963
Saul Centers Inc. 95,893 5,861
Pennsylvania REIT 518,959 5,044
Urstadt Biddle Properties Inc. Class A 221,135 4,805
Whitestone REIT 283,048 3,781
Cedar Realty Trust Inc. 636,060 3,460
    1,135,187
Specialized REITs (18.4%)    
Equinix Inc. 579,039 268,385
Public Storage 1,162,807 240,992
Digital Realty Trust Inc. 1,524,168 180,522
Extra Space Storage Inc. 936,163 76,381
Iron Mountain Inc. 1,864,762 74,590
Gaming and Leisure Properties Inc. 1,470,018 53,714
CyrusOne Inc. 619,479 38,030
EPR Properties 547,428 37,871
CubeSmart 1,339,158 36,452
CoreSite Realty Corp. 254,224 28,155
Life Storage Inc. 345,677 27,938

 

 

GEO Group Inc.   922,755 23,945
CoreCivic Inc.   878,248 21,658
QTS Realty Trust Inc. Class A   356,245 20,609
Four Corners Property Trust Inc.   446,464 11,019
National Storage Affiliates Trust   328,946 8,155
      1,148,416
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,282,976)   6,240,904
  Coupon    
Temporary Cash Investment (0.1%)      
Money Market Fund (0.1%)      
1,2 Vanguard Market Liquidity Fund (Cost $7,940) 1.246% 79,389 7,940
Total Temporary Cash Investments (Cost $7,940)     7,940
Total Investments (100.1%) (Cost $6,290,916)     6,248,844
Other Assets and Liabilities-Net (-0.1%)2     (5,555)
Net Assets (100%)     6,243,289

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,368,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
2 Includes $7,940,000 of collateral received for securities on loan.
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. 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. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

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

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

At October 31, 2017, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.

 

REIT II Index Fund

C. At October 31, 2017, the cost of investment securities for tax purposes was $6,290,916,000. Net unrealized depreciation of investment securities for tax purposes was $42,072,000, consisting of unrealized gains of $178,972,000 on securities that had risen in value since their purchase and $221,044,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Ultra-Short-Term Bond Fund

Schedule of Investments (unaudited)
As of October 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (1.6%)        
U.S. Government Securities (0.0%)        
1 United States Treasury Note/Bond 1.250% 5/31/19 400 398
1 United States Treasury Note/Bond 1.375% 7/31/19 200 199
          597
Agency Bonds and Notes (1.4%)        
2 Federal Home Loan Banks 1.250% 6/8/18 7,500 7,496
2 Federal Home Loan Banks 0.625% 8/7/18 190 189
2 Federal Home Loan Banks 0.875% 10/1/18 5,000 4,973
2 Federal Home Loan Banks 1.750% 12/14/18 7,500 7,517
2 Federal Home Loan Banks 1.375% 5/28/19 1,100 1,096
2 Federal Home Loan Banks 0.875% 8/5/19 6,000 5,921
2 Federal Home Loan Banks 1.500% 10/21/19 2,000 1,994
3 Federal Home Loan Mortgage Corp. 0.875% 10/12/18 3,220 3,202
3 Federal Home Loan Mortgage Corp. 1.125% 4/15/19 1,000 993
3 Federal Home Loan Mortgage Corp. 0.875% 7/19/19 800 790
3 Federal Home Loan Mortgage Corp. 1.375% 8/15/19 1,000 995
3 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 300 298
3 Federal Home Loan Mortgage Corp. 1.500% 1/17/20 2,100 2,091
3 Federal National Mortgage Assn. 1.125% 7/20/18 500 499
3 Federal National Mortgage Assn. 1.000% 2/26/19 700 695
3 Federal National Mortgage Assn. 0.875% 8/2/19 3,350 3,306
3 Federal National Mortgage Assn. 1.000% 8/28/19 450 445
3 Federal National Mortgage Assn. 1.500% 2/28/20 3,950 3,930
  Private Export Funding Corp. 4.375% 3/15/19 1,000 1,036
            47,466
Nonconventional Mortgage-Backed Securities (0.2%)        
3,4,5Fannie Mae REMICS 2012-60E 1.638% 6/25/42 2,188 2,190
3,4,5Fannie Mae REMICS 2016-62 1.638% 9/25/46 1,185 1,189
3,4,5Fannie Mae REMICS 2016-93 1.588% 12/25/46 2,928 2,931
          6,310
Total U.S. Government and Agency Obligations (Cost $54,596)     54,373
Asset-Backed/Commercial Mortgage-Backed Securities (46.9%)      
4 Ally Auto Receivables Trust 2014-1 2.040% 12/15/19 12,290 12,301
4 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 348 348
4 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 800 800
4 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 40 40
4 Ally Auto Receivables Trust 2015-2 1.490% 11/15/19 747 747
4 Ally Auto Receivables Trust 2016-1 1.470% 4/15/20 1,185 1,184
4 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 2,030 2,030
4 Ally Master Owner Trust Series 2017-2 1.579% 6/15/21 32,290 32,340
4,5 American Express Credit Account Master        
  Trust 2008-2 2.499% 9/15/20 1,300 1,305
4 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 9 9
4 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 172 172
4 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 20 20

 

 

4 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 88 88
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 150 150
4 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 255 257
4 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 330 333
4 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 789 790
4 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 110 111
4 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 300 300
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 40 40
4 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 40 40
4 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 70 72
4 AmeriCredit Automobile Receivables Trust        
  2016-3 1.370% 11/8/19 1,193 1,193
4 AmeriCredit Automobile Receivables Trust        
  2016-4 1.340% 4/8/20 2,296 2,294
4 AmeriCredit Automobile Receivables Trust        
  2016-4 1.530% 7/8/21 310 309
4 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 345 345
4 AmeriCredit Automobile Receivables Trust        
  2017-1 1.510% 5/18/20 6,766 6,762
4 AmeriCredit Automobile Receivables Trust        
  2017-2 1.650% 9/18/20 16,000 15,994
4 AmeriCredit Automobile Receivables Trust        
  2017-3 1.690% 12/18/20 7,580 7,574
4,6 ARI Fleet Lease Trust 2015-A 1.110% 11/15/18 101 101
4,6 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 226 224
4,6 ARI Fleet Lease Trust 2017-A 1.910% 4/15/26 9,000 8,996
4,6 ARL Second LLC 2014-1A 2.920% 6/15/44 266 261
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 150 150
4,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 8,555 8,620
4 BA Credit Card Trust 2015-A2 1.360% 9/15/20 850 850
4 Banc of America Commercial Mortgage Trust        
  2008-1 6.254% 2/10/51 50 50
4,5,6BMW Floorplan Master Owner Trust 2015-1A 1.739% 7/15/20 4,255 4,265
4 BMW Vehicle Lease Trust 2015-2 1.400% 9/20/18 1,006 1,006
4 BMW Vehicle Lease Trust 2016-2 1.230% 1/22/19 2,493 2,490
4 BMW Vehicle Lease Trust 2017-2 1.800% 2/20/20 11,000 10,999
4 BMW Vehicle Lease Trust 2017-2 2.070% 10/20/20 7,650 7,655
4,7 Brazos Higher Education Authority Inc. Series        
  2011-1 2.117% 2/25/30 175 176
4,5,6Cabela's Credit Card Master Note Trust 2013-        
  2A 1.889% 8/16/21 9,925 9,963
4,5 Cabela's Credit Card Master Note Trust 2016-        
  1 2.089% 6/15/22 2,780 2,807

 

 

4 California Republic Auto Receivables Trust        
  2013-2 1.230% 3/15/19 — —
4,6 California Republic Auto Receivables Trust        
  2015-4 2.040% 1/15/20 1,046 1,047
4,6 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 81 82
4 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 1,496 1,494
4 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 240 239
4 California Republic Auto Receivables Trust        
  2017-1 1.550% 11/15/19 8,536 8,532
4,6 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 1.772% 12/19/19 8,000 7,987
4,6 Canadian Pacer Auto Receiveable Trust A        
  Series 2017 2.050% 3/19/21 5,920 5,905
4 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 21 21
4 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 4 4
4 Capital Auto Receivables Asset Trust 2014-3 3.940% 4/20/23 500 508
4 Capital Auto Receivables Asset Trust 2015-1 2.100% 1/21/20 3,900 3,906
4 Capital Auto Receivables Asset Trust 2015-2 1.730% 9/20/19 584 584
4 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 260 260
4 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 500 502
4 Capital Auto Receivables Asset Trust 2015-4 1.620% 3/20/19 534 534
4 Capital Auto Receivables Asset Trust 2016-1 1.980% 10/20/20 1,500 1,501
4 Capital Auto Receivables Asset Trust 2016-2 1.460% 6/22/20 2,250 2,247
4 Capital Auto Receivables Asset Trust 2016-3 1.360% 4/22/19 626 626
4 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 70 70
4 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 70 70
4 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 40 40
4,6,8Capital Auto Receivables Asset Trust 2017-1 2.020% 8/20/21 6,670 6,669
4 Capital One Multi-Asset Execution Trust 2015-        
  A7 1.450% 8/16/21 2,100 2,096
4,5 Capital One Multi-Asset Execution Trust 2016-        
  A1 1.689% 2/15/22 4,190 4,212
4,5,6CARDS II Trust 2016-1A 1.939% 7/15/21 13,885 13,928
4,5,6CARDS II Trust 2017-1A 1.609% 4/18/22 4,650 4,663
4 CarMax Auto Owner Trust 2015-3 1.630% 5/15/20 873 873
4 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 73 73
4 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 95 96
4 CarMax Auto Owner Trust 2016-1 1.610% 11/16/20 1,000 1,000
4 CarMax Auto Owner Trust 2016-3 1.390% 5/17/21 5,000 4,973
4 CarMax Auto Owner Trust 2016-4 1.210% 11/15/19 7,927 7,916
4,5 Chase Issuance Trust 2013-A7 1.669% 9/15/20 1,000 1,003
4 Chase Issuance Trust 2015-A5 1.360% 4/15/20 400 400
4 Chase Issuance Trust 2016-A6 1.100% 1/15/20 30,000 29,982
4,6 Chesapeake Funding II LLC 2016-1A 2.110% 3/15/28 702 698
4,6 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 1,934 1,935
4,6 Chesapeake Funding II LLC 2017-3A 1.910% 8/15/29 20,000 19,935
4,6,8Chesapeake Funding II LLC 2017-4 2.120% 11/15/29 18,000 17,999
4,6 Chrysler Capital Auto Receivables Trust 2014-        
  BA 3.440% 8/16/21 800 809
4,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 1.910% 3/16/20 1,097 1,098
4,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 3.260% 4/15/21 500 509

 

 

4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 1.960% 1/18/22 1,110 1,109
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 2.880% 2/15/22 70 70
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 4.220% 2/15/23 570 579
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.360% 1/15/20 2,450 2,447
4,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.640% 7/15/21 40 40
4,5 Citibank Credit Card Issuance Trust 2013-A2 1.518% 5/26/20 13,287 13,303
4 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 1,007 1,008
4 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 981 990
4 Citigroup Commercial Mortgage Trust 2014-        
  GC19 1.199% 3/10/47 8 8
4,6 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 267 269
4,5,6Colony American Homes 2014-1A 2.387% 5/17/31 127 127
4,5,6Colony American Homes 2014-1A 2.587% 5/17/31 100 100
4,5,6Colony American Homes 2014-2 2.587% 7/17/31 82 82
4,5,6Colony American Homes 2015-1A 2.437% 7/17/32 201 202
4 COMM 2013-CCRE10 Mortgage Trust 1.278% 8/10/46 99 98
4 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 1,000 1,011
4 COMM 2013-CCRE13 Mortgage Trust 1.259% 11/12/46 41 41
4 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 1,000 1,009
4 COMM 2014-CCRE14 Mortgage Trust 1.330% 2/10/47 11 11
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 100 101
4 COMM 2014-CCRE16 Mortgage Trust 1.445% 4/10/47 30 30
4 COMM 2014-CCRE17 Mortgage Trust 1.275% 5/10/47 47 47
4 COMM 2014-CCRE18 Mortgage Trust 1.442% 7/15/47 112 111
4 COMM 2014-CCRE21 Mortgage Trust 1.494% 12/10/47 274 273
4 COMM 2014-UBS5 Mortgage Trust 1.373% 9/10/47 73 73
4 COMM 2015-CCRE25 Mortgage Trust 1.737% 8/10/48 284 283
4 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.307% 2/15/41 115 116
4,6 Dell Equipment Finance Trust 2016-1 1.430% 9/24/18 1,649 1,648
4,6 Dell Equipment Finance Trust 2016-1 1.650% 7/22/21 2,000 1,997
4,6 Dell Equipment Finance Trust 2017-1 1.860% 6/24/19 3,500 3,489
4,6 Dell Equipment Finance Trust 2017-2 1.970% 2/24/20 10,170 10,170
4,5 Discover Card Execution Note Trust 2013-A1 1.539% 8/17/20 400 400
4,5 Discover Card Execution Note Trust 2015-A1 1.589% 8/17/20 2,196 2,198
4 Discover Card Execution Note Trust 2015-A3 1.450% 3/15/21 2,500 2,496
4 Discover Card Execution Note Trust 2016-A1 1.640% 7/15/21 1,000 999
4,5 Discover Card Execution Note Trust 2016-A2 1.779% 9/15/21 330 332
4,6 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 172 172
4,6 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 114 115
4,6 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 145 149
4,6 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 10,107 10,194
4,6 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 270 274
4,6 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 245 245
4,6 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 10,570 10,683
4,6 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 2,200 2,275
4,6 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 990 990
4,6 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 1,110 1,113
4,6 Drive Auto Receivables Trust 2016-C 3.020% 11/15/21 7,500 7,585
4,6 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 1,240 1,278

 

 

4 Drive Auto Receivables Trust 2017-1 1.670% 5/15/19 11,891 11,891
4 Drive Auto Receivables Trust 2017-1 1.860% 3/16/20 920 920
4 Drive Auto Receivables Trust 2017-1 2.360% 3/15/21 28,500 28,527
4 Drive Auto Receivables Trust 2017-2 1.630% 8/15/19 17,250 17,248
4 Drive Auto Receivables Trust 2017-3 1.650% 8/15/19 8,770 8,770
4 Drive Auto Receivables Trust 2017-3 1.850% 4/15/20 9,200 9,199
4 Drive Auto Receivables Trust 2017-3 2.300% 5/17/21 10,620 10,621
4 Drive Auto Receivables Trust 2017-3 2.800% 7/15/22 7,120 7,140
4,6 Drive Auto Receivables Trust 2017-AA 1.480% 3/15/19 560 560
4,6 Drive Auto Receivables Trust 2017-AA 1.770% 1/15/20 10,010 10,014
4,6 Drive Auto Receivables Trust 2017-BA 1.740% 6/17/19 15,000 15,006
4,6 Drive Auto Receivables Trust 2017-BA 2.200% 5/15/20 7,500 7,509
4,6 Enterprise Fleet Financing LLC Series 2015-1 1.300% 9/20/20 26 26
4,6 Enterprise Fleet Financing LLC Series 2015-2 1.590% 2/22/21 460 459
4,6 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 1,690 1,690
4,6 Enterprise Fleet Financing LLC Series 2016-1 1.830% 9/20/21 675 673
4,6 Enterprise Fleet Financing LLC Series 2016-2 1.740% 2/22/22 2,378 2,371
4,6 Enterprise Fleet Financing LLC Series 2017-1 2.130% 7/20/22 3,000 3,001
4,6 Enterprise Fleet Financing LLC Series 2017-2 1.970% 1/20/23 8,750 8,754
4,6 Enterprise Fleet Financing LLC Series 2017-3 2.130% 5/22/23 12,000 12,000
4,5,6Evergreen Credit Card Trust Series 2016-1 1.959% 4/15/20 4,665 4,677
4,5,6Evergreen Credit Card Trust Series 2016-3 1.739% 11/16/20 1,230 1,235
4,5,6Evergreen Credit Card Trust Series 2017-1 1.499% 10/15/21 14,000 14,011
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.688% 1/25/29 250 252
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.588% 1/25/29 645 648
4,5 First National Master Note Trust 2017-1 1.639% 4/18/22 4,360 4,363
4,6 Flagship Credit Auto Trust 2016-4 1.470% 3/16/20 2,981 2,979
4,6 Flagship Credit Auto Trust 2017-1 1.930% 12/15/21 7,793 7,793
4,6 Flagship Credit Auto Trust 2017-1 2.830% 3/15/23 3,000 3,006
4 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 490 491
4 Ford Credit Auto Lease Trust 2016-A 1.850% 7/15/19 500 500
4 Ford Credit Auto Lease Trust 2017-B 2.030% 12/15/20 9,210 9,211
4,6 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 9,200 9,253
4,6 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 800 803
4,6 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 1,700 1,712
4 Ford Credit Auto Owner Trust 2015-C 1.410% 2/15/20 678 677
4 Ford Credit Auto Owner Trust 2016-A 1.390% 7/15/20 1,250 1,248
4 Ford Credit Auto Owner Trust 2016-B 1.520% 8/15/21 700 695
4 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 160 158
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 1.739% 2/15/21 1,265 1,269
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 827 829
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-1 1.639% 1/15/20 6,250 6,253
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-4 1.770% 8/15/20 1,400 1,401
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-4 1.839% 8/15/20 4,280 4,295
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-1 2.139% 2/15/21 4,760 4,800
4 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-3 1.550% 7/15/21 3,520 3,500
4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.769% 7/15/20 1,695 1,699

 

 

4,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-5 1.699% 11/15/21 8,000 8,037
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.488% 10/25/28 25 25
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.438% 10/25/28 250 254
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.338% 12/25/28 90 90
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 3.238% 12/25/28 250 255
4,6 FRS I LLC 2013-1A 1.800% 4/15/43 25 25
4,6 FRS I LLC 2013-1A 3.080% 4/15/43 1,730 1,725
4 GM Financial Automobile Leasing Trust 2015-        
  2 1.680% 12/20/18 4,049 4,050
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.420% 7/22/19 250 250
4 GM Financial Automobile Leasing Trust 2015-        
  2 2.990% 7/22/19 120 120
4 GM Financial Automobile Leasing Trust 2015-        
  3 1.690% 3/20/19 1,929 1,929
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.320% 11/20/19 50 50
4 GM Financial Automobile Leasing Trust 2015-        
  3 2.980% 11/20/19 120 121
4 GM Financial Automobile Leasing Trust 2015-        
  3 3.480% 8/20/20 2,144 2,165
4 GM Financial Automobile Leasing Trust 2016-        
  1 1.790% 3/20/20 150 150
4 GM Financial Automobile Leasing Trust 2016-        
  2 2.580% 3/20/20 240 239
4 GM Financial Automobile Leasing Trust 2016-        
  3 1.350% 2/20/19 5,416 5,410
4 GM Financial Automobile Leasing Trust 2017-        
  1 2.260% 8/20/20 1,800 1,807
4 GM Financial Automobile Leasing Trust 2017-        
  2 2.020% 9/21/20 16,250 16,269
4 GM Financial Automobile Leasing Trust 2017-        
  3 1.720% 1/21/20 4,820 4,810
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.010% 11/20/20 730 729
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.120% 9/20/21 660 659
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.400% 9/20/21 1,150 1,146
4 GM Financial Automobile Leasing Trust 2017-        
  3 2.730% 9/20/21 450 447
4,6 GM Financial Consumer Automobile 2017-3A 1.970% 5/16/22 10,500 10,494
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 450 450
4,6 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 820 820
4,5,6GMF Floorplan Owner Revolving Trust 2016-1 2.089% 5/17/21 1,130 1,140
4,6 GMF Floorplan Owner Revolving Trust 2016-1 2.410% 5/17/21 300 300
4,6 GMF Floorplan Owner Revolving Trust 2016-1 2.850% 5/17/21 220 218
4,5,6Golden Credit Card Trust 2014-2A 1.689% 3/15/21 3,335 3,342
4,5,6Golden Credit Card Trust 2015-1A 1.679% 2/15/20 3,490 3,493
4,6 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 7,740 7,670
4,6,7Gosforth Funding 2016-1A plc 2.015% 2/15/58 814 816
4,6,7Gosforth Funding 2017-1A plc 1.787% 12/19/59 18,000 18,014

 

 

4,6 GreatAmerica Leasing Receivables Funding        
  LLC Series 2017-1 1.720% 4/22/19 5,000 4,998
4 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 966 970
4 GS Mortgage Securities Trust 2014-GC22 1.290% 6/10/47 26 26
4 Harley-Davidson Motorcycle Trust 2015-2 1.300% 3/16/20 1,219 1,218
4,5,6Hertz Fleet Lease Funding LP 2016-1 2.335% 4/10/30 2,108 2,107
4,6 Hertz Vehicle Financing II LP 2015-2A 2.020% 9/25/19 2,135 2,114
4,6 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 5,560 5,554
4,6 Hertz Vehicle Financing LLC 2016-1A 2.320% 3/25/20 2,100 2,086
4,6 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 420 419
4 Honda Auto Receivables 2015-2 Owner Trust 1.470% 8/23/21 800 799
4 Honda Auto Receivables 2015-3 Owner Trust 1.270% 4/18/19 589 589
4 Honda Auto Receivables 2015-3 Owner Trust 1.560% 10/18/21 290 290
4 Honda Auto Receivables 2015-4 Owner Trust 1.230% 9/23/19 2,452 2,447
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 1.660% 7/15/19 1,000 1,000
4,6 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 250 250
4,6 Hyundai Auto Lease Securitization Trust        
  2016-A 1.600% 7/15/19 989 989
4,6 Hyundai Auto Lease Securitization Trust        
  2016-C 1.300% 3/15/19 4,444 4,439
4,6 Hyundai Auto Lease Securitization Trust        
  2017-A 2.130% 4/15/21 7,400 7,406
4,6 Hyundai Auto Lease Securitization Trust        
  2017-B 1.970% 7/15/20 24,000 24,029
4 Hyundai Auto Receivables Trust 2015-C 1.460% 2/18/20 888 887
4 Hyundai Auto Receivables Trust 2016-A 1.560% 9/15/20 1,000 999
4 Hyundai Auto Receivables Trust 2016-B 1.120% 10/15/19 5,090 5,080
4,6 Hyundai Floorplan Master Owner Trust Series        
  2016-1A 1.810% 3/15/21 320 320
7 Illinois Student Assistance Commission Series        
  2010-1 2.417% 4/25/22 23 23
4,5,6Invitation Homes 2014-SFR2 Trust 2.837% 9/17/31 100 100
4,5,6Invitation Homes 2015-SFR2 Trust 2.587% 6/17/32 97 98
4 John Deere Owner Trust 2015-B 1.440% 10/15/19 1,118 1,118
4 John Deere Owner Trust 2016-B 1.490% 5/15/23 130 129
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 1 1
4,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 158 159
4 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2014-C20 1.268% 7/15/47 179 178
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.019% 8/15/46 83 84
4 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 2.977% 11/15/45 278 280
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 1.254% 2/15/47 73 73
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C19 1.266% 4/15/47 11 11
4 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 1.322% 8/15/47 69 69
4,5,6Master Credit Card Trust II Series 2016-1A 1.989% 9/23/19 3,670 3,679
4,6 Master Credit Card Trust II Series 2016-1A 2.570% 9/23/19 5,000 5,007
4,6 Master Credit Card Trust II Series 2017-1A 2.260% 7/21/21 7,900 7,938
4 Mercedes-Benz Auto Lease Trust 2016-B 1.150% 1/15/19 2,575 2,574

 

 

4 Mercedes-Benz Auto Receivables Trust 2015-        
  1 1.340% 12/16/19 684 684
4,5,6Mercedes-Benz Master Owner Trust 2015-BA 1.619% 4/15/20 1,000 1,001
4,5,6Mercedes-Benz Master Owner Trust 2016-AA 1.819% 5/15/20 3,500 3,508
4,5,6Mercedes-Benz Master Owner Trust 2016-B 1.939% 5/17/21 2,560 2,578
4 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 3 3
4,6 MMAF Equipment Finance LLC 2011-AA 3.040% 8/15/28 14 14
4,6 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 71 71
4,6 MMAF Equipment Finance LLC 2017-A 1.730% 5/18/20 4,250 4,246
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 929 937
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 1.313% 10/15/46 104 104
4 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 1.551% 8/15/47 135 134
4,5,6Motor plc 2017 1A 1.768% 9/25/24 12,940 13,062
4,5 Navient Student Loan Trust 2015-2 1.518% 11/25/24 83 83
4,5 Navient Student Loan Trust 2015-3 1.558% 7/25/30 338 338
4,5,6Navient Student Loan Trust 2016-2 1.988% 6/25/65 311 312
4,5,6Navient Student Loan Trust 2016-3 1.838% 6/25/65 352 352
4,5,6Navient Student Loan Trust 2016-6A 1.718% 3/25/66 6,846 6,861
4,5,6Navient Student Loan Trust 2017-1 1.638% 7/26/66 14,785 14,790
4,5,6Navient Student Loan Trust 2017-3A 1.538% 7/26/66 9,916 9,928
4,5,6Navient Student Loan Trust 2017-4A 1.478% 9/27/66 15,923 15,928
4,5,6Navient Student Loan Trust 2017-A 1.640% 12/16/58 5,160 5,160
4,5,6Navistar Financial Dealer Note Master Trust II        
  2016-1A 2.588% 9/27/21 1,480 1,491
4,5,6Navistar Financial Dealer Note Master Trust II        
  2017-1A 2.018% 6/27/22 1,600 1,601
4,5 New Mexico Educational Assistance        
  Foundation 2013-1 1.935% 1/2/25 86 86
4,6 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 1,850 1,861
4 Nissan Auto Lease Trust 2016-A 1.650% 10/15/21 1,060 1,059
4 Nissan Auto Lease Trust 2016-B 1.500% 7/15/19 2,220 2,216
4 Nissan Auto Lease Trust 2017-A 1.910% 4/15/20 1,530 1,530
4 Nissan Auto Lease Trust 2017-B 1.830% 12/16/19 36,000 35,982
4 Nissan Auto Lease Trust 2017-B 2.050% 9/15/20 12,250 12,235
4 Nissan Auto Receivables 2015-C Owner Trust 1.370% 5/15/20 1,471 1,469
4 Nissan Auto Receivables 2016-A Owner Trust 1.340% 10/15/20 2,000 1,994
4 Nissan Auto Receivables 2016-B Owner Trust 1.320% 1/15/21 500 498
4 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 61 61
4,5 Nissan Master Owner Trust Receivables        
  Series 2016-A 1.879% 6/15/21 2,000 2,015
7 North Carolina State Education Assistance        
  Authority 2011-1 2.267% 1/26/26 14 14
4,5,6Pepper Residential Securities Trust 2016A-        
  A1U2 1.888% 3/13/18 18,375 18,365
4,5,6Pepper Residential Securities Trust 2017A-        
  A1UA 2.338% 3/10/58 4,861 4,862
4,5,6Pepper Residential Securities Trust 2018A-        
  A1UA 2.188% 3/12/47 32,241 32,221
4,5,6,8 Pepper Residential Securities Trust 2019A-        
  A1U1 0.000% 10/12/18 11,200 11,200
4,5,6PFS Financing Corp. 2015-AA 1.859% 4/15/20 100 100
4,5,6PFS Financing Corp. 2016-A 2.439% 2/18/20 3,070 3,078

 

 

4,5,6PFS Financing Corp. 2017-AA 1.819% 3/15/21 20,750 20,778
4,5,6PFS Financing Corp. 2017-C 1.708% 10/15/21 12,100 12,100
4,6 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 368 368
4,5,6Resimac Premier Series 2016-1A 2.628% 10/10/47 2,474 2,481
4,5,6Resimac Premier Series 2017-1A 2.187% 9/11/48 27,086 27,073
  Royal Bank of Canada 2.200% 9/23/19 855 858
4 Santander Drive Auto Receivables Trust        
  2014-4 2.600% 11/16/20 1,826 1,831
4 Santander Drive Auto Receivables Trust        
  2015-1 2.570% 4/15/21 1,850 1,857
4 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 283 283
4 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 400 404
4 Santander Drive Auto Receivables Trust        
  2016-1 1.620% 3/16/20 1,162 1,162
4 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 230 231
4 Santander Drive Auto Receivables Trust        
  2016-2 1.560% 5/15/20 2,582 2,582
4 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 170 170
4 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 110 111
4 Santander Drive Auto Receivables Trust        
  2016-3 1.340% 11/15/19 1,728 1,727
4 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 540 539
4 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 5,440 5,459
4 Santander Drive Auto Receivables Trust        
  2017-1 1.490% 2/18/20 7,199 7,194
4 Santander Drive Auto Receivables Trust        
  2017-1 1.770% 9/15/20 2,740 2,738
4 Santander Drive Auto Receivables Trust        
  2017-2 1.600% 3/16/20 26,000 25,988
4 Santander Drive Auto Receivables Trust        
  2017-2 2.210% 10/15/21 11,000 11,005
4 Santander Drive Auto Receivables Trust        
  2017-3 1.670% 6/15/20 11,010 11,004
4 Santander Drive Auto Receivables Trust        
  2017-3 1.870% 6/15/21 9,280 9,258
4 Santander Drive Auto Receivables Trust        
  2017-3 2.190% 3/15/22 15,000 14,941
4,6 Securitized Term Auto Receivables Trust        
  2016-1A 1.284% 11/26/18 3,249 3,247
4,6 Securitized Term Auto Receivables Trust        
  2017-1A 1.510% 4/25/19 10,818 10,810
4,6 Securitized Term Auto Receivables Trust        
  2017-2A 1.775% 1/27/20 12,500 12,500
4,6 Securitized Term Auto Receivables Trust        
  2017-2A 2.040% 4/26/21 6,430 6,430
4,6 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 47 48
4,6 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 4,602 4,632
4,6 SLM Private Education Loan Trust 2012-D 2.950% 2/15/46 5,681 5,685
4,6 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 93 93

 

 

4,5,6SLM Private Education Loan Trust 2013-C 2.639% 10/15/31 7,126 7,209
4,7 SLM Student Loan Trust 2005-5 1.467% 4/25/25 66 66
4 SMART ABS Series 2016-2US Trust 1.450% 8/14/19 6,934 6,920
4,5,6SMB Private Education Loan Trust 2015-A 1.839% 7/17/23 386 386
4,5,6SMB Private Education Loan Trust 2016-A 1.939% 5/15/23 469 469
4,5,6SMB Private Education Loan Trust 2016-B 1.889% 11/15/23 907 908
4,5,6SMB Private Education Loan Trust 2016-C 1.789% 11/15/23 3,236 3,243
4,5,6SMB Private Education Loan Trust 2017-A 1.689% 6/17/24 3,326 3,332
4,6 SoFi Professional Loan Program 2016-B LLC 1.680% 3/25/31 627 627
4,6 SoFi Professional Loan Program 2016-C LLC 1.480% 5/26/31 871 868
4,6 SoFi Professional Loan Program 2016-D LLC 1.530% 4/25/33 3,439 3,429
4,6 SoFi Professional Loan Program 2016-E LLC 1.630% 1/25/36 1,914 1,908
4,6 SoFi Professional Loan Program 2017-A LLC 1.550% 3/26/40 3,625 3,612
4,6 SoFi Professional Loan Program 2017-B LLC 1.830% 5/25/40 6,817 6,810
4,6 SoFi Professional Loan Program 2017-C LLC 1.750% 7/25/40 6,068 6,056
4,6 SoFi Professional Loan Program 2017-D LLC 1.720% 9/25/40 8,313 8,297
4,6 SoFi Professional Loan Program 2017-E LLC 1.860% 11/26/40 14,300 14,271
4 Synchrony Credit Card Master Note Trust        
  2014-1 1.610% 11/15/20 7,225 7,226
4 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 250 250
4 Synchrony Credit Card Master Note Trust        
  2015-3 1.740% 9/15/21 2,750 2,751
4 Synchrony Credit Card Master Note Trust        
  2015-3 1.940% 9/15/21 9,209 9,204
4 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 1,180 1,183
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 4,640 4,611
4 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 3,190 3,166
4,6 TCF Auto Receivables Owner Trust 2016-PT1 1.930% 6/15/22 27,722 27,704
4,6 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 9 9
6 Toronto-Dominion Bank 1.950% 4/2/20 15,081 15,018
4,5,6Trillium Credit Card Trust II 2016-1A 1.960% 5/26/21 9,140 9,170
4,6 Trip Rail Master Funding LLC 2017-1A 2.709% 8/15/47 978 978
4 USAA Auto Owner Trust 2015-1 1.540% 11/16/20 1,400 1,399
4,6 Verizon Owner Trust 2016-2A 1.680% 5/20/21 2,130 2,122
4,6 Verizon Owner Trust 2017-1A 2.060% 9/20/21 8,500 8,513
4,6 Verizon Owner Trust 2017-2A 1.920% 12/20/21 35,000 34,957
4,6 Verizon Owner Trust 2017-3 2.060% 4/20/22 7,500 7,501
4,6 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 160 159
4,6 Volvo Financial Equipment LLC Series 2017-        
  1A 1.550% 10/15/19 12,000 11,988
4,6 Volvo Financial Equipment LLC Series 2017-        
  1A 1.920% 3/15/21 6,000 5,984
4 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 1.676% 7/15/46 127 126
4,5 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2015-1 1.739% 1/20/20 3,201 3,203
4,6 Wendys Funding LLC 2015-1A 3.371% 6/15/45 13,750 13,840
6 Westpac Banking Corp. 1.375% 5/30/18 6,500 6,484
6 Westpac Banking Corp. 1.850% 11/26/18 5,151 5,150
4 WFRBS Commercial Mortgage Trust 2013-        
  C15 2.900% 8/15/46 46 47

 

 

4 WFRBS Commercial Mortgage Trust 2013-        
  C16 1.406% 9/15/46 15 15
4 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.027% 12/15/46 100 101
4 WFRBS Commercial Mortgage Trust 2013-        
  UBS1 1.122% 3/15/46 13 13
4,6 Wheels SPV 2 LLC 2015-1A 1.810% 4/22/24 200 199
4,6 Wheels SPV 2 LLC 2016-1A 1.590% 5/20/25 1,153 1,152
4,6 Wheels SPV 2 LLC 2017-1A 1.880% 4/20/26 19,300 19,268
4,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 1.719% 2/15/22 19,370 19,405
4 World Omni Auto Receivables Trust 2016-A 1.770% 9/15/21 420 420
4 World Omni Auto Receivables Trust 2016-B 1.100% 1/15/20 4,422 4,417
4 World Omni Automobile Lease Securitization        
  Trust 2017-A 2.320% 8/15/22 1,530 1,538
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,535,744)   1,535,421
Corporate Bonds (35.5%)        
Finance (12.9%)        
  Banking (10.8%)        
  American Express Credit Corp. 1.800% 7/31/18 645 645
  American Express Credit Corp. 1.700% 10/30/19 2,000 1,991
  Australia & New Zealand Banking Group Ltd. 1.500% 1/16/18 842 842
  Bank of America Corp. 5.750% 12/1/17 1,000 1,003
  Bank of America Corp. 2.000% 1/11/18 2,300 2,302
  Bank of America Corp. 2.600% 1/15/19 4,035 4,061
  Bank of America Corp. 2.650% 4/1/19 750 756
  Bank of Nova Scotia 1.650% 6/14/19 200 199
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 1,500 1,500
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.700% 9/9/18 1,000 1,006
6 Banque Federative du Credit Mutuel SA 2.000% 4/12/19 9,020 9,017
  BB&T Corp. 1.450% 1/12/18 7,951 7,951
  Branch Banking & Trust Co. 2.100% 1/15/20 8,500 8,526
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 842 842
  Capital One Bank USA NA 2.150% 11/21/18 300 301
  Capital One NA 1.650% 2/5/18 6,925 6,923
  Capital One NA 1.500% 3/22/18 342 342
  Capital One NA 2.350% 8/17/18 2,090 2,096
  Citigroup Inc. 1.850% 11/24/17 930 930
  Citigroup Inc. 1.700% 4/27/18 2,200 2,199
  Citigroup Inc. 1.750% 5/1/18 3,000 2,999
  Citigroup Inc. 2.500% 9/26/18 1,500 1,508
  Citigroup Inc. 2.050% 12/7/18 1,500 1,501
  Citigroup Inc. 2.550% 4/8/19 625 629
6 Commonwealth Bank of Australia 4.650% 6/15/18 9,200 9,338
  Commonwealth Bank of Australia 1.750% 11/2/18 4,200 4,200
  Commonwealth Bank of Australia 2.250% 3/13/19 5,650 5,669
  Cooperatieve Rabobank UA 2.250% 1/14/19 14,500 14,569
6 Danske Bank A/S 1.650% 9/6/19 1,500 1,486
  Discover Bank 2.000% 2/21/18 4,883 4,888
  Discover Bank 2.600% 11/13/18 4,400 4,424
  Fifth Third Bancorp 4.500% 6/1/18 529 537
  Goldman Sachs Group Inc. 5.950% 1/18/18 625 631
  Goldman Sachs Group Inc. 2.375% 1/22/18 3,000 3,005
  Goldman Sachs Group Inc. 6.150% 4/1/18 650 662
  Goldman Sachs Group Inc. 2.900% 7/19/18 11,355 11,440
  Goldman Sachs Group Inc. 2.625% 1/31/19 748 754
  Goldman Sachs Group Inc. 2.300% 12/13/19 2,755 2,762

 

 

  HSBC USA Inc. 1.625% 1/16/18 6,425 6,425
  HSBC USA Inc. 1.700% 3/5/18 8,193 8,196
  Huntington Bancshares Inc. 2.600% 8/2/18 1,043 1,049
  Huntington National Bank 1.700% 2/26/18 4,850 4,851
  Huntington National Bank 2.200% 11/6/18 1,300 1,303
6 ING Bank NV 1.800% 3/16/18 1,415 1,416
6 ING Bank NV 2.050% 8/17/18 1,610 1,610
6 ING Bank NV 2.300% 3/22/19 2,380 2,388
  JPMorgan Chase & Co. 6.000% 1/15/18 730 737
  JPMorgan Chase & Co. 1.800% 1/25/18 1,000 1,001
  JPMorgan Chase & Co. 1.700% 3/1/18 10,374 10,374
  JPMorgan Chase & Co. 1.625% 5/15/18 3,500 3,499
  JPMorgan Chase & Co. 6.300% 4/23/19 3,000 3,187
  KeyBank NA 1.650% 2/1/18 6,680 6,681
  KeyBank NA 1.600% 8/22/19 1,800 1,788
  Lloyds Bank plc 2.300% 11/27/18 4,250 4,269
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 9,490 9,533
  Morgan Stanley 1.875% 1/5/18 9,831 9,837
  Morgan Stanley 2.125% 4/25/18 3,000 3,005
  Morgan Stanley 2.500% 1/24/19 7,322 7,371
  National Australia Bank Ltd. 1.875% 7/23/18 760 761
  National Australia Bank Ltd. 2.250% 1/10/20 8,000 8,017
  National Bank of Canada 2.100% 12/14/18 2,100 2,105
6 Nordea Bank AB 1.625% 9/30/19 5,600 5,556
  PNC Bank NA 6.875% 4/1/18 6,031 6,161
  PNC Bank NA 1.700% 12/7/18 4,000 3,994
  PNC Bank NA 1.450% 7/29/19 2,600 2,578
  Royal Bank of Canada 1.800% 7/30/18 2,395 2,398
  Royal Bank of Canada 2.150% 3/15/19 6,936 6,965
  Royal Bank of Canada 1.500% 7/29/19 2,500 2,482
  Santander Holdings USA Inc. 2.700% 5/24/19 2,247 2,260
6 Skandinaviska Enskilda Banken AB 1.750% 3/19/18 2,000 2,001
6 Skandinaviska Enskilda Banken AB 2.375% 11/20/18 2,800 2,813
6 Skandinaviska Enskilda Banken AB 2.375% 3/25/19 720 725
  State Street Corp. 1.350% 5/15/18 350 350
  Sumitomo Mitsui Banking Corp. 1.750% 1/16/18 2,500 2,501
  Sumitomo Mitsui Banking Corp. 1.950% 7/23/18 1,700 1,702
  Sumitomo Mitsui Banking Corp. 2.092% 10/18/19 6,000 6,000
  Svenska Handelsbanken AB 1.625% 3/21/18 3,200 3,201
  Svenska Handelsbanken AB 2.500% 1/25/19 6,860 6,914
  Svenska Handelsbanken AB 2.250% 6/17/19 5,000 5,028
6 Swedbank AB 2.375% 2/27/19 1,061 1,066
  Synchrony Financial 2.600% 1/15/19 9,325 9,374
  Toronto-Dominion Bank 2.625% 9/10/18 1,100 1,109
6,7 UBS AG 1.637% 12/7/18 14,000 14,033
  US Bank NA 1.350% 1/26/18 4,900 4,899
  US Bank NA 1.450% 1/29/18 2,774 2,774
  Wells Fargo & Co. 1.500% 1/16/18 1,500 1,500
  Wells Fargo & Co. 2.150% 1/15/19 11,000 11,035
  Wells Fargo Bank NA 1.750% 5/24/19 1,600 1,596
  Wells Fargo Bank NA 2.150% 12/6/19 470 471
  Westpac Banking Corp. 2.250% 1/17/19 7,244 7,278
  Westpac Banking Corp. 1.650% 5/13/19 6,500 6,466
  Westpac Banking Corp. 1.600% 8/19/19 3,000 2,980

 

 

Finance Companies (0.4%)        
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.750% 5/15/19 2,200 2,247
Air Lease Corp. 2.125% 1/15/18 5,283 5,288
International Lease Finance Corp. 3.875% 4/15/18 4,750 4,791
 
Insurance (0.5%)        
Aetna Inc. 1.700% 6/7/18 1,700 1,701
6 AIA GROUP Ltd. 2.250% 3/11/19 1,430 1,429
Marsh & McLennan Cos. Inc. 2.550% 10/15/18 8,305 8,348
6 Metropolitan Life Global Funding I 1.350% 9/14/18 1,361 1,356
6 Pricoa Global Funding I 1.900% 9/21/18 1,735 1,737
6 Reliance Standard Life Global Funding II 2.150% 10/15/18 1,560 1,565
Travelers Cos. Inc. 5.750% 12/15/17 1,302 1,309
 
Real Estate Investment Trusts (1.2%)        
Brandywine Operating Partnership LP 4.950% 4/15/18 9,687 9,803
HCP Inc. 3.750% 2/1/19 165 168
Kilroy Realty LP 4.800% 7/15/18 4,251 4,310
Realty Income Corp. 2.000% 1/31/18 7,896 7,899
UDR Inc. 4.250% 6/1/18 1,083 1,100
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 9,000 9,005
Welltower Inc. 2.250% 3/15/18 6,464 6,478
        420,581
Industrial (18.5%)        
Basic Industry (1.5%)        
Agrium Inc. 6.750% 1/15/19 650 685
6 Air Liquide Finance SA 1.375% 9/27/19 4,000 3,953
Air Products & Chemicals Inc. 4.375% 8/21/19 4,120 4,299
Airgas Inc. 1.650% 2/15/18 1,251 1,251
Dow Chemical Co. 5.700% 5/15/18 5,735 5,854
Dow Chemical Co. 8.550% 5/15/19 2,555 2,805
Ecolab Inc. 1.450% 12/8/17 2,001 2,001
LyondellBasell Industries NV 5.000% 4/15/19 11,350 11,730
RPM International Inc. 6.500% 2/15/18 9,392 9,518
WestRock RKT Co. 4.450% 3/1/19 7,930 8,156
 
Capital Goods (1.2%)        
Acuity Brands Lighting Inc. 6.000% 12/15/19 1,400 1,504
Caterpillar Financial Services Corp. 1.800% 11/13/18 2,738 2,740
Caterpillar Financial Services Corp. 7.150% 2/15/19 510 544
Caterpillar Financial Services Corp. 1.350% 5/18/19 690 685
Caterpillar Financial Services Corp. 2.100% 1/10/20 4,000 4,015
Fortive Corp. 1.800% 6/15/19 1,600 1,590
General Electric Capital Corp. 6.000% 8/7/19 3,000 3,220
General Electric Co. 5.250% 12/6/17 2,560 2,570
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 1,810 1,878
John Deere Capital Corp. 1.950% 1/8/19 500 501
John Deere Capital Corp. 1.250% 10/9/19 2,000 1,974
Parker-Hannifin Corp. 5.500% 5/15/18 11,524 11,774
Parker-Hannifin Corp. 6.550% 7/15/18 1,905 1,968
Precision Castparts Corp. 1.250% 1/15/18 2,025 2,024
6 Siemens Financieringsmaatschappij NV 1.300% 9/13/19 2,500 2,468
 
Communication (1.3%)        
America Movil SAB de CV 5.625% 11/15/17 10,000 10,014
AT&T Inc. 1.400% 12/1/17 600 600

 

 

  British Telecommunications plc 5.950% 1/15/18 2,000 2,016
  Deutsche Telekom International Finance BV 6.750% 8/20/18 3,500 3,635
  Discovery Communications LLC 2.200% 9/20/19 9,000 9,009
  Grupo Televisa SAB 6.000% 5/15/18 2,745 2,797
  Moody's Corp. 2.750% 7/15/19 3,000 3,033
  Orange SA 2.750% 2/6/19 800 809
  Orange SA 1.625% 11/3/19 2,200 2,181
  S&P Global Inc. 2.500% 8/15/18 1,800 1,809
  Time Warner Cable LLC 6.750% 7/1/18 8,000 8,255
 
  Consumer Cyclical (3.9%)        
  American Honda Finance Corp. 1.550% 12/11/17 2,400 2,401
  American Honda Finance Corp. 1.700% 2/22/19 5,988 5,992
  AutoZone Inc. 1.625% 4/21/19 1,450 1,439
6 BMW US Capital LLC 1.500% 4/11/19 800 795
6 BMW US Capital LLC 1.450% 9/13/19 3,000 2,976
  CVS Health Corp. 1.900% 7/20/18 2,800 2,802
  Dollar General Corp. 1.875% 4/15/18 10,200 10,201
  Ford Motor Credit Co. LLC 2.375% 1/16/18 1,059 1,060
  Ford Motor Credit Co. LLC 5.000% 5/15/18 300 305
  General Motors Co. 3.500% 10/2/18 1,592 1,615
7 General Motors Financial Co. Inc. 3.419% 1/15/19 882 898
7 General Motors Financial Co. Inc. 2.761% 5/9/19 7,010 7,110
6 Harley-Davidson Financial Services Inc. 1.550% 11/17/17 4,218 4,218
6 Harley-Davidson Financial Services Inc. 2.250% 1/15/19 5,610 5,615
6 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 5,595 5,611
6 Harley-Davidson Funding Corp. 6.800% 6/15/18 4,684 4,829
6 Hyundai Capital America 2.000% 3/19/18 1,250 1,249
6 Hyundai Capital America 2.875% 8/9/18 4,250 4,267
  Marriott International Inc. 6.750% 5/15/18 3,775 3,872
  Marriott International Inc. 3.000% 3/1/19 2,650 2,676
6 Nissan Motor Acceptance Corp. 1.500% 3/2/18 3,357 3,355
6 Nissan Motor Acceptance Corp. 1.800% 3/15/18 1,265 1,266
6 Nissan Motor Acceptance Corp. 2.650% 9/26/18 4,729 4,762
6 Nissan Motor Acceptance Corp. 2.350% 3/4/19 6,791 6,817
6 Nissan Motor Acceptance Corp. 2.000% 3/8/19 1,250 1,249
6 Nissan Motor Acceptance Corp. 1.550% 9/13/19 10,500 10,385
6,7 Nissan Motor Acceptance Corp. 1.837% 9/13/19 3,578 3,594
  PACCAR Financial Corp. 1.750% 8/14/18 290 290
  Toyota Motor Credit Corp. 1.375% 1/10/18 400 400
6 Volkswagen Group of America Finance LLC 1.650% 5/22/18 7,940 7,928
6 Volkswagen Group of America Finance LLC 2.125% 5/23/19 1,500 1,499
6 Wesfarmers Ltd. 1.874% 3/20/18 8,373 8,386
7 Western Union Co. 2.115% 5/22/19 8,000 8,000
 
  Consumer Noncyclical (4.5%)        
  Abbott Laboratories 5.125% 4/1/19 2,007 2,094
  Abbott Laboratories 2.350% 11/22/19 2,500 2,515
  AbbVie Inc. 1.800% 5/14/18 7,064 7,070
  AbbVie Inc. 2.000% 11/6/18 800 802
  Agilent Technologies Inc. 6.500% 11/1/17 116 116
  Allergan Funding SCS 2.350% 3/12/18 7,079 7,096
  Altria Group Inc. 9.700% 11/10/18 6,821 7,355
  Amgen Inc. 6.150% 6/1/18 944 970
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 2,500 2,500
  Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 10,000 10,009
  Anheuser-Busch InBev Worldwide Inc. 2.200% 8/1/18 1,125 1,128

 

 

Baxalta Inc. 2.000% 6/22/18 5,250 5,265
Biogen Inc. 6.875% 3/1/18 1,500 1,528
Celgene Corp. 2.125% 8/15/18 2,100 2,105
Coca-Cola Femsa SAB de CV 2.375% 11/26/18 1,222 1,226
Constellation Brands Inc. 3.875% 11/15/19 5,000 5,173
Express Scripts Holding Co. 2.250% 6/15/19 9,500 9,533
Gilead Sciences Inc. 1.850% 9/4/18 500 501
Hershey Co. 1.600% 8/21/18 1,100 1,099
JM Smucker Co. 1.750% 3/15/18 1,000 1,001
Kraft Foods Group Inc. 6.125% 8/23/18 8,000 8,273
Mylan Inc. 2.600% 6/24/18 11,182 11,229
Mylan Inc. 2.550% 3/28/19 3,654 3,667
Newell Brands Inc. 2.050% 12/1/17 5,496 5,498
Newell Brands Inc. 2.600% 3/29/19 977 985
Philip Morris International Inc. 5.650% 5/16/18 7,000 7,151
Reynolds American Inc. 2.300% 6/12/18 7,600 7,621
Shire Acquisitions Investments Ireland DAC 1.900% 9/23/19 2,200 2,191
Stryker Corp. 1.300% 4/1/18 1,200 1,199
Teva Pharmaceutical Finance Netherlands III        
BV 1.400% 7/20/18 7,800 7,756
Teva Pharmaceutical Finance Netherlands III        
BV 1.700% 7/19/19 8,000 7,829
7 Tyson Foods Inc. 1.768% 5/30/19 7,000 7,017
Zimmer Biomet Holdings Inc. 2.000% 4/1/18 6,750 6,754
 
Energy (2.8%)        
Anadarko Petroleum Corp. 6.950% 6/15/19 2,475 2,654
BP Capital Markets plc 1.375% 5/10/18 8,000 7,994
BP Capital Markets plc 2.241% 9/26/18 2,900 2,915
BP Capital Markets plc 4.750% 3/10/19 6,000 6,233
Canadian Natural Resources Ltd. 1.750% 1/15/18 7,000 7,000
Cenovus Energy Inc. 5.700% 10/15/19 8,000 8,480
Chevron Corp. 1.344% 11/9/17 2,000 2,000
Chevron Corp. 1.345% 11/15/17 2,500 2,500
Chevron Corp. 4.950% 3/3/19 1,250 1,302
ConocoPhillips Co. 1.050% 12/15/17 10,000 9,996
Enterprise Products Operating LLC 1.650% 5/7/18 700 700
EOG Resources Inc. 5.625% 6/1/19 2,450 2,582
Kinder Morgan Energy Partners LP 5.950% 2/15/18 17 17
Kinder Morgan Inc. 2.000% 12/1/17 17 17
Marathon Oil Corp. 2.700% 6/1/20 8,000 7,984
Occidental Petroleum Corp. 1.500% 2/15/18 11,350 11,351
Petro-Canada 6.050% 5/15/18 2,840 2,903
6 Schlumberger Holdings Corp. 2.350% 12/21/18 10,000 10,048
Shell International Finance BV 1.250% 11/10/17 1,500 1,500
Shell International Finance BV 1.375% 9/12/19 3,000 2,977
 
Technology (2.8%)        
Amphenol Corp. 2.550% 1/30/19 9,827 9,898
6 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 2.375% 1/15/20 5,000 5,024
CA Inc. 2.875% 8/15/18 7,220 7,263
DXC Technology Co. 2.875% 3/27/20 6,000 6,064
Fidelity National Information Services Inc. 2.000% 4/15/18 6,075 6,086
Fidelity National Information Services Inc. 2.850% 10/15/18 3,766 3,803
Hewlett Packard Enterprise Co. 2.850% 10/5/18 8,405 8,475
KLA-Tencor Corp. 2.375% 11/1/17 7,355 7,355

 

 

NetApp Inc. 2.000% 9/27/19 10,000 9,970
7 QUALCOMM Inc. 1.676% 5/20/19 15,000 15,056
Total System Services Inc. 2.375% 6/1/18 8,667 8,688
Tyco Electronics Group SA 2.375% 12/17/18 1,315 1,319
Tyco Electronics Group SA 2.350% 8/1/19 500 501
Verisk Analytics Inc. 4.875% 1/15/19 501 516
 
Transportation (0.5%)        
4 Burlington Northern and Santa Fe Railway Co.        
1999-2 Pass Through Trust 7.570% 1/2/21 1,507 1,582
Canadian National Railway Co. 5.850% 11/15/17 3,145 3,148
Canadian National Railway Co. 5.550% 3/1/19 5,000 5,239
4 Continental Airlines 2009-2 Class A Pass        
Through Trust 7.250% 5/10/21 1,172 1,273
Ryder System Inc. 2.500% 3/1/18 2,800 2,807
4 US Airways 2012-1 Class B Pass Through        
Trust 8.000% 10/1/19 2,161 2,336
        605,539
Utilities (4.1%)        
Electric (4.1%)        
Arizona Public Service Co. 2.200% 1/15/20 1,100 1,100
Berkshire Hathaway Energy Co. 5.750% 4/1/18 3,651 3,705
Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 900 949
Consumers Energy Co. 5.650% 9/15/18 2,221 2,292
Consumers Energy Co. 6.125% 3/15/19 125 132
Dominion Energy Inc. 1.875% 1/15/19 1,045 1,042
Dominion Energy Inc. 5.200% 8/15/19 130 137
Duke Energy Carolinas LLC 5.250% 1/15/18 11,000 11,089
Duke Energy Carolinas LLC 7.000% 11/15/18 723 762
Duke Energy Corp. 6.250% 6/15/18 642 660
Duke Energy Florida LLC 5.650% 6/15/18 50 51
6 EDP Finance BV 4.900% 10/1/19 2,998 3,143
6 EDP Finance BV 4.125% 1/15/20 2,440 2,528
Emera US Finance LP 2.150% 6/15/19 3,000 2,994
Entergy Louisiana LLC 6.500% 9/1/18 580 602
Exelon Generation Co. LLC 2.950% 1/15/20 3,500 3,557
Georgia Power Co. 1.950% 12/1/18 10,275 10,278
MidAmerican Energy Co. 5.300% 3/15/18 1,000 1,014
National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 7,464 8,067
Oncor Electric Delivery Co. LLC 6.800% 9/1/18 12,407 12,900
Oncor Electric Delivery Co. LLC 2.150% 6/1/19 1,400 1,401
Pacific Gas & Electric Co. 5.625% 11/30/17 3,535 3,545
Pacific Gas & Electric Co. 8.250% 10/15/18 1,400 1,483
PacifiCorp 5.650% 7/15/18 9,975 10,235
PPL Capital Funding Inc. 1.900% 6/1/18 8,000 8,004
South Carolina Electric & Gas Co. 5.250% 11/1/18 6,633 6,832
Southern California Edison Co. 1.250% 11/1/17 295 295
Southern Co. 1.550% 7/1/18 1,210 1,208
Southwestern Electric Power Co. 5.875% 3/1/18 1,532 1,551
Tampa Electric Co. 6.100% 5/15/18 9,120 9,320
TECO Finance Inc. 6.572% 11/1/17 58 58
7 TECO Finance Inc. 1.950% 4/10/18 100 100
Virginia Electric & Power Co. 1.200% 1/15/18 3,000 2,998
Virginia Electric & Power Co. 5.400% 4/30/18 14,394 14,663
Wisconsin Electric Power Co. 1.700% 6/15/18 5,000 5,006

 

 

  Natural Gas (0.0%)        
  Atmos Energy Corp. 8.500% 3/15/19 1,280 1,391
          135,092
Total Corporate Bonds (Cost $1,161,627)       1,161,212
Sovereign Bonds (5.2%)        
  Caixa Economica Federal 2.375% 11/6/17 750 750
  Caixa Economica Federal 4.250% 5/13/19 6,000 6,105
  Ecopetrol SA 4.250% 9/18/18 1,500 1,526
  Export-Import Bank of Korea 1.750% 2/27/18 50 50
  First Abu Dhabi Bank PJSC 3.000% 8/13/19 7,000 7,081
  ICBCIL Finance Co. Ltd. 2.375% 5/19/19 2,050 2,038
  ICBCIL Finance Co. Ltd. 2.125% 9/29/19 2,670 2,637
  Japan Finance Organization for Municipalities 1.375% 4/18/18 1,000 997
  KazMunayGas National Co. JSC 9.125% 7/2/18 5,300 5,531
  Korea Development Bank 1.500% 1/22/18 1,000 999
7 Korea Development Bank 1.999% 9/19/20 15,000 14,980
  North American Development Bank 2.300% 10/10/18 300 301
  Ooredoo Tamweel Ltd. 3.039% 12/3/18 7,300 7,345
  Petroleos Mexicanos 5.750% 3/1/18 3,000 3,035
  Petroleos Mexicanos 5.500% 2/4/19 5,500 5,704
  Petroleos Mexicanos 8.000% 5/3/19 4,800 5,201
  Republic of Colombia 7.375% 3/18/19 10,000 10,707
  Republic of Croatia 6.750% 11/5/19 6,000 6,464
  Republic of Hungary 4.125% 2/19/18 10,000 10,075
  Republic of Hungary 6.250% 1/29/20 422 458
  Republic of Indonesia 6.875% 1/17/18 15,500 15,664
  Republic of Korea 7.125% 4/16/19 9,500 10,150
  Republic of Poland 6.375% 7/15/19 1,000 1,076
  Republic of Serbia 5.250% 11/21/17 7,200 7,206
  Republic of Serbia 5.875% 12/3/18 7,700 7,961
  Republic of Slovenia 4.125% 2/18/19 5,000 5,119
9 Republic of Turkey 2.803% 3/26/18 6,000 5,995
  Republic of Turkey 6.750% 4/3/18 10,000 10,174
  State Bank of India 3.250% 4/18/18 3,400 3,417
  State of Qatar 2.099% 1/18/18 7,000 6,991
  Statoil ASA 1.200% 1/17/18 3,847 3,844
Total Sovereign Bonds (Cost $169,588)       169,581
Taxable Municipal Bond (0.0%)        
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL (Cost $104) 3.220% 2/1/21 102 103
 
        Shares  
Temporary Cash Investments (11.0%)        
Money Market Fund (4.8%)        
10 Vanguard Market Liquidity Fund 1.246%   1,563,960 156,411
 
        Face  
        Amount  
        ($000)  
Certificates of Deposit (2.4%)        
  Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
  Branch) 1.700% 1/26/18 5,500 5,504
  Cooperatieve Rabobank UA (New York        
  Branch) 1.980% 10/25/19 12,735 12,734
  Royal Bank of Canada (New York Branch) 1.610% 9/19/18 17,000 16,980

 

 

Toronto Dominion Bank (New York Branch) 1.440% 2/12/18 13,000 13,000
6,11 UBS AG (London Branch) 1.812% 10/12/18 12,000 11,795
Westpac Banking Corp. (New York Branch) 1.600% 9/19/18 17,000 16,979
        76,992
Commercial Paper (3.8%)        
6,11 Anheuser-Busch Inbev Worldwide Inc. 1.574% 1/10/18 3,000 2,992
6,11 Bank of Nova Scotia 1.523% 2/1/18 10,000 9,965
6,11 Danske Corp. 1.616% 2/15/18 5,000 4,979
11 Electricite de France 1.906% 1/5/18 4,500 4,487
6,11 Enbridge Energy Partners LP 2.091% 11/28/17 8,000 7,987
6,11 Energy Transfer LP 2.382% 12/11/17 16,000 15,958
6,11 Engie SA 1.544% 11/10/17 250 250
6,11 Engie SA 1.544% 11/15/17 250 250
6,11 ENTERGY Corp. 1.657% 11/30/17 10,000 9,987
11 Ford Motor Credit Co. LLC 1.936% 2/2/18 2,000 1,992
6,11 Ford Motor Credit Co. LLC 2.051% 6/21/18 1,000 988
6,11 Ford Motor Credit Co. LLC 2.010% 8/20/18 4,000 3,935
11 GlaxoSmithKline Finance plc 1.523% 12/7/17 6,500 6,492
JP Morgan Securities LLC 1.730% 10/1/18 12,000 11,817
11 Plains All American Pipeline LP 2.668% 12/13/17 10,000 9,969
6,11 Sempra Energy 1.422% 11/1/17 8,100 8,100
6,11 Vodafone Group plc 1.770% 9/4/18 8,000 7,880
6,11 Vodafone Group plc 1.812% 9/25/18 8,000 7,869
6,11 WGL Holdings Inc. 1.463% 11/8/17 10,000 9,997
        125,894
Total Temporary Cash Investments (Cost $359,333)       359,297
Total Investments (100.2%) (Cost $3,280,992)       3,279,987
Other Assets and Liabilities-Net (-0.2%)       (6,824)
Net Assets (100%)       3,273,163

1 Securities with a value of $597,000 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 based upon 1-month USD LIBOR plus spread.
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 October 31, 2017, the
aggregate value of these securities was $1,161,372,000, representing 35.5% of net assets.
7 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
8 Security value determined using significant unobservable inputs.
9 Guaranteed by the Republic of Turkey.
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
11 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At October
31, 2017, the aggregate value of these securities was $125,872,000, representing 3.8% of net assets.

 

Ultra-Short-Term Bond Fund        
 
 
 
Derivative Financial Instruments Outstanding as of Period End      
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note December 2017 1,631 351,251 (498)
Short Futures Contracts        
5-Year U.S. Treasury Note December 2017 (470) (55,078) 559
10-Year U.S. Treasury Note December 2017 (18) (2,249) 20
        579
        81

 

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

Over-the-Counter Credit Default Swaps          
             
            Remaining  
        Periodic   Up-Front  
        Premium   Premium Unrealized
Notional Received Received Appreciation
Reference Entity Termination Date Counterparty Amount ($000) (Paid) (%) Value ($000) (Paid) ($000) (Depreciation) ($000)
Credit Protection Sold/Moody's Rating          
Berkshire Hathaway              
Inc./Aa2 12/20/21 GSI 5,000 1.0001 109 (33) 76

1 Periodic premium received/paid quarterly.
GSI--Goldman Sachs International.

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.

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 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

 

Ultra-Short-Term Bond Fund

independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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. 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 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 54,373 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,499,553 35,868
Corporate Bonds — 1,161,212 —
Sovereign Bonds — 169,581 —
Taxable Municipal Bonds — 103 —
Temporary Cash Investments 156,411 202,886 —
Futures Contracts—Assets1 41 — —
Futures Contracts—Liabilities1 (91) — —
Swap Contracts—Assets — 76 —
Total 156,361 3,087,784 35,868
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

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). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.

The following table summarizes the market value of the fund's investments as of October 31, 2017, based on the inputs used to value them:

 

Ultra-Short-Term Bond Fund

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 October 31, 2017. 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
  Securities
Amount Valued Based on Level 3 Inputs ($000)
Balance as of January 31, 2017 32,965
Purchases 35,868
Transfers into Level 3 —
Transfers out of Level 3 (32,965)1
Balance as of October 31, 2017 35,868

1 Transfers out of Level 3 are because observable market data became available for these securities.

The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of October 31, 2017:

Fair Value Valuation Unobservable
Security Type ($000) Technique Input Price Range 
Asset-Backed/Commercial Mortgage-Backed Securities 35,868 Market Approach Recent Purchase Price $99.99-$100.00
     

 

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.

D. 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.

 

Ultra-Short-Term Bond Fund

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).

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

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

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

 

Ultra-Short-Term Bond Fund

F. At October 31, 2017, the cost of investment securities for tax purposes was $3,281,016,000. Net unrealized depreciation of investment securities for tax purposes was $1,029,000, consisting of unrealized gains of $2,031,000 on securities that had risen in value since their purchase and $3,060,000 in unrealized losses on securities that had fallen in value since their purchase.


Item 2: Controls and Procedures

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD FIXED INCOME SECURITIES FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: December 21, 2017  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

VANGUARD FIXED INCOME SECURITIES FUNDS

 

By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: December 21, 2017  
 

VANGUARD FIXED INCOME SECURITIES FUNDS

 

By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: December 21, 2017  

 

* By:/s/ Anne E. Robinson

Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016, see file Number 33-32548,
Incorporated by Reference.

 EX-99.CERT 2 fixedincome_certs.htm fixedincome_certs.htm - Generated by SEC Publisher for SEC Filing

 

 

CERTIFICATIONS

 

I, F. William McNabb III, certify that:

 

1. I have reviewed this report on Form N-Q of Vanguard Fixed Income Securities Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

 

Date:    December 21, 2017                

/s/ F. William McNabb III

 

F. William McNabb III

 

Chief Executive Officer

 

0362216, v0.221

 

 

 

CERTIFICATIONS

 

I, Thomas J. Higgins, certify that:                                                                                           

 

1. I have reviewed this report on Form N-Q of Vanguard Fixed Income Securities Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

                                               

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

                                                  

Date:      December 21, 2017              

/s/  Thomas J Higgins

 

Thomas J. Higgins

 

Chief Financial Officer

 

0362216, v0.221