NPORT-EX 1 vgultrashrttermbond0430191.htm vgultrashrttermbond0430191.htm - Generated by SEC Publisher for SEC Filing
Vanguard Ultra-Short-Term Bond Fund         
 
 
 
Schedule of Investments (unaudited)       
As of April 30, 2019         
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
Asset-Backed/Commercial Mortgage-Backed Securities (41.5%)       
1  Ally Master Owner Trust Series 2017-3  2.040%  6/15/22  350  347 
1  American Express Credit Account Master         
  Trust 2017-1  2.100%  9/15/22  8,586  8,536 
1  AmeriCredit Automobile Receivables         
  Trust 2016-2  3.650%  5/9/22  70  71 
1  AmeriCredit Automobile Receivables         
  Trust 2016-4  1.530%  7/8/21  109  109 
1  AmeriCredit Automobile Receivables         
  Trust 2017-3  1.690%  12/18/20  520  520 
1  AmeriCredit Automobile Receivables         
  Trust 2017-4  1.830%  5/18/21  5,518  5,515 
1  AmeriCredit Automobile Receivables         
  Trust 2017-4  2.040%  7/18/22  11,850  11,791 
1  AmeriCredit Automobile Receivables         
  Trust 2018-2  2.860%  11/18/21  30,656  30,683 
1,2  ARI Fleet Lease Trust 2017-A  1.910%  4/15/26  3,706  3,690 
1,2  ARI Fleet Lease Trust 2018-B  3.220%  8/16/27  7,000  7,030 
1,2  ARL Second LLC 2014-1A  2.920%  6/15/44  203  201 
1,2  Avis Budget Rental Car Funding AESOP         
  LLC 2014-1  2.460%  7/20/20  11,691  11,687 
1,2  Avis Budget Rental Car Funding AESOP         
  LLC 2014-2A  2.500%  2/20/21  42,235  42,124 
1,2  Avis Budget Rental Car Funding AESOP         
  LLC 2015-1A  2.500%  7/20/21  15,748  15,694 
1  BMW Vehicle Lease Trust 2017-2  2.070%  10/20/20  7,650  7,626 
1  BMW Vehicle Lease Trust 2018-1A  2.970%  12/21/20  35,000  35,066 
1  BMW Vehicle Lease Trust 2019-1  2.840%  11/22/21  21,000  21,072 
1  BMW Vehicle Lease Trust 2019-1  2.920%  8/22/22  6,500  6,546 
1,3  Brazos Higher Education Authority Inc.         
  Series 2011-1, 3M USD LIBOR +         
  0.800%  3.451%  2/25/30  118  118 
1,2  California Republic Auto Receivables         
  Trust 2015-4  2.580%  6/15/21  33  33 
1  California Republic Auto Receivables         
  Trust 2016-2  1.830%  12/15/21  174  173 
1  California Republic Auto Receivables         
  Trust 2018-1  2.860%  3/15/21  14,971  14,966 
1  California Republic Auto Receivables         
  Trust 2018-1  3.140%  8/15/22  17,000  17,081 
1,2  Canadian Pacer Auto Receivables Trust A         
  Series 2017  2.050%  3/19/21  5,282  5,270 
1,2  Canadian Pacer Auto Receivables Trust A         
  Series 2018  3.000%  6/21/21  10,731  10,772 
1,2  Canadian Pacer Auto Receivables Trust A         
  Series 2019  2.780%  3/21/22  30,000  30,026 
1  Capital Auto Receivables Asset Trust         
  2016-1  1.980%  10/20/20  470  469 
1  Capital Auto Receivables Asset Trust         
  2016-3  2.350%  9/20/21  70  69 

 

 

1  Capital Auto Receivables Asset Trust         
  2016-3  2.650%  1/20/24  40  40 
1,2  Capital Auto Receivables Asset Trust         
  2017-1  2.020%  8/20/21  6,129  6,107 
1,2  Capital Auto Receivables Asset Trust         
  2018-2  3.270%  6/20/23  15,000  15,058 
1  CarMax Auto Owner Trust 2015-3  2.280%  4/15/21  73  73 
1  CarMax Auto Owner Trust 2015-3  2.680%  6/15/21  95  95 
1  CarMax Auto Owner Trust 2016-1  1.610%  11/16/20  176  176 
1  CarMax Auto Owner Trust 2016-3  1.390%  5/17/21  2,103  2,092 
1  CarMax Auto Owner Trust 2018-4  3.110%  2/15/22  23,375  23,438 
1,2  Chesapeake Funding II LLC 2016-1A  2.110%  3/15/28  125  124 
1,2  Chesapeake Funding II LLC 2017-2A  1.990%  5/15/29  4,435  4,404 
1,2  Chesapeake Funding II LLC 2017-3A  1.910%  8/15/29  11,899  11,807 
1,2  Chesapeake Funding II LLC 2017-4A  2.120%  11/15/29  26,181  25,945 
1,2  Chesapeake Funding II LLC 2018-1  3.040%  4/15/30  13,420  13,463 
1,2  Chesapeake Funding II LLC 2018-2A  3.230%  8/15/30  24,431  24,575 
§,1,2  Chesapeake Funding II LLC 2019-1  2.950%  4/15/31  26,460  26,456 
1,2  Chrysler Capital Auto Receivables Trust         
  2015-BA  3.260%  4/15/21  500  500 
1,2  Chrysler Capital Auto Receivables Trust         
  2016-AA  2.880%  6/15/22  70  70 
1,2  Chrysler Capital Auto Receivables Trust         
  2016-AA  4.220%  2/15/23  570  576 
1,2  Chrysler Capital Auto Receivables Trust         
  2016-BA  1.640%  7/15/21  12  12 
1  CNH Equipment Trust 2019-A-A2  2.960%  5/16/22  6,000  6,015 
1  COMM 2013-CCRE10 Mortgage Trust  2.972%  8/10/46  44  44 
1  COMM 2014-CCRE14 Mortgage Trust  3.147%  2/10/47  34  34 
1  COMM 2015-CCRE25 Mortgage Trust  1.737%  8/10/48  142  141 
1,2  Daimler Trucks Retail Trust 2018-1  2.850%  7/15/21  16,670  16,681 
1,2  Daimler Trucks Retail Trust 2019-1  2.770%  4/15/21  37,000  37,010 
1,2  DB Master Finance LLC 2015-1A  3.980%  2/20/45  28,987  29,032 
1,2  Dell Equipment Finance Trust 2017-2  1.970%  2/24/20  1,574  1,573 
1,2  Dell Equipment Finance Trust 2018-1  2.970%  10/22/20  3,859  3,863 
1,2  Dell Equipment Finance Trust 2018-1  3.180%  6/22/23  3,990  4,015 
1,2  Dell Equipment Finance Trust 2018-2  3.160%  2/22/21  7,780  7,808 
1,2  Dell Equipment Finance Trust 2019-1  2.780%  8/23/21  18,000  18,029 
1,2  DLL Securitization Trust Series 2018-1  2.810%  11/17/20  12,525  12,528 
1,2  DLL Securitization Trust Series 2018-A2  3.140%  10/20/20  39,476  39,457 
1,2  DLL Securitization Trust Series 2019-DA1  2.790%  11/22/21  28,000  27,997 
1,2  DRB Prime Student Loan Trust 2017-C  1.870%  11/25/42  599  599 
1,2  Drive Auto Receivables Trust 2015-CA  4.200%  9/15/21  67  67 
1,2  Drive Auto Receivables Trust 2016-AA  3.910%  5/17/21  10  10 
1,2  Drive Auto Receivables Trust 2016-BA  3.190%  7/15/22  1,059  1,059 
1,2  Drive Auto Receivables Trust 2016-BA  4.530%  8/15/23  2,200  2,225 
1,2  Drive Auto Receivables Trust 2016-C  3.020%  11/15/21  3,325  3,325 
1,2  Drive Auto Receivables Trust 2016-C  4.180%  3/15/24  1,240  1,255 
1  Drive Auto Receivables Trust 2017-3  2.800%  7/15/22  6,732  6,732 
1  Drive Auto Receivables Trust 2018-2  2.880%  6/15/21  3,716  3,716 
1  Drive Auto Receivables Trust 2018-2  3.220%  4/15/22  3,100  3,101 
1  Drive Auto Receivables Trust 2018-2  3.630%  8/15/24  4,750  4,777 
1  Drive Auto Receivables Trust 2018-3  3.010%  11/15/21  13,236  13,242 
1  Drive Auto Receivables Trust 2018-3  3.370%  9/15/22  8,000  8,019 
1  Drive Auto Receivables Trust 2018-4  2.780%  10/15/20  1,669  1,669 
1  Drive Auto Receivables Trust 2018-4  3.040%  11/15/21  11,000  11,000 
1  Drive Auto Receivables Trust 2018-5  3.340%  10/15/22  46,275  46,513 

 

 

1  Drive Auto Receivables Trust 2018-5  3.680%  7/15/23  5,550  5,619 
1  Drive Auto Receivables Trust 2019-1  3.080%  9/15/21  12,500  12,507 
1  Drive Auto Receivables Trust 2019-2  3.040%  3/15/23  5,890  5,897 
1  Drive Auto Receivables Trust 2019-2  3.170%  11/15/23  18,000  18,096 
1,2  DT Auto Owner Trust 2018-3  3.020%  2/15/22  18,566  18,578 
1,2  Enterprise Fleet Financing LLC Series         
  2016-2  1.740%  2/22/22  393  392 
1,2  Enterprise Fleet Financing LLC Series         
  2017-1  2.130%  7/20/22  1,170  1,167 
1,2  Enterprise Fleet Financing LLC Series         
  2017-2  1.970%  1/20/23  15,444  15,366 
1,2  Enterprise Fleet Financing LLC Series         
  2017-3  2.130%  5/22/23  8,339  8,299 
1,2  Enterprise Fleet Financing LLC Series         
  2018-1  2.870%  10/20/23  13,061  13,076 
1,2  Enterprise Fleet Financing LLC Series         
  2018-3  3.380%  5/20/24  12,770  12,860 
1,2  Enterprise Fleet Financing LLC Series         
  2019-1  2.980%  10/22/24  10,800  10,841 
1,3,4  Fannie Mae Connecticut Avenue         
  Securities 2016-C04, 1M USD LIBOR +         
  1.450%  3.927%  1/25/29  86  86 
1,3,4  Fannie Mae Connecticut Avenue         
  Securities 2016-C05, 1M USD LIBOR +         
  0.015%  3.827%  1/25/29  49  49 
1,2,3,4  Fannie Mae Connecticut Avenue         
  Securities 2019-R03, 1M USD LIBOR +         
  0.750%  3.227%  9/25/31  11,310  11,306 
†,1  Fifth Third Auto Trust 2019-1  2.660%  5/16/22  22,000  21,999 
1,3  First National Master Note Trust 2017-2,         
  1M USD LIBOR + 0.440%  2.913%  10/16/23  250  250 
1,2  Flagship Credit Auto Trust 2017-1  1.930%  12/15/21  333  333 
1,2  Flagship Credit Auto Trust 2017-1  2.830%  3/15/23  3,000  2,998 
1,2  Flagship Credit Auto Trust 2017-4  2.070%  4/15/22  8,139  8,102 
1,2  Flagship Credit Auto Trust 2018-1  2.590%  6/15/22  12,213  12,182 
1,2  Flagship Credit Auto Trust 2018-1  3.410%  5/15/23  4,479  4,496 
1,2  Flagship Credit Auto Trust 2018-3  3.070%  2/15/23  12,195  12,228 
1  Ford Credit Auto Lease Trust 2017-B  2.030%  12/15/20  9,210  9,187 
1  Ford Credit Auto Lease Trust 2019-A  2.900%  5/15/22  16,490  16,575 
1,2  Ford Credit Auto Owner Trust 2014-REV1  2.260%  11/15/25  9,200  9,198 
1,2  Ford Credit Auto Owner Trust 2014-REV1  2.410%  11/15/25  800  800 
1,2  Ford Credit Auto Owner Trust 2014-REV2  2.310%  4/15/26  10,550  10,524 
1,2  Ford Credit Auto Owner Trust 2014-REV2  2.510%  4/15/26  200  200 
1,2  Ford Credit Auto Owner Trust 2015-REV1  2.120%  7/15/26  32,426  32,276 
1  Ford Credit Auto Owner Trust 2016-B  1.520%  8/15/21  700  695 
1  Ford Credit Auto Owner Trust 2016-B  1.850%  9/15/21  360  358 
1  Ford Credit Floorplan Master Owner Trust         
  A Series 2016-3  1.550%  7/15/21  3,520  3,511 
1  Ford Credit Floorplan Master Owner Trust         
  A Series 2017-1  2.070%  5/15/22  1,050  1,043 
1  Ford Credit Floorplan Master Owner Trust         
  A Series 2017-2  2.160%  9/15/22  1,030  1,022 
1  Ford Credit Floorplan Master Owner Trust         
  A Series 2017-2  2.340%  9/15/22  3,000  2,976 
1,2,3,4  Freddie Mac STACR Trust 2019-HQA2,         
  1M USD LIBOR + 0.700%  3.181%  4/25/49  5,000  5,000 

 

 

1,3,4  Freddie Mac Structured Agency Credit         
  Risk Debt Notes 2016-DNA2, 1M USD         
  LIBOR + 2.200%  4.677%  10/25/28  75  75 
1,3,4  Freddie Mac Structured Agency Credit         
  Risk Debt Notes 2016-DNA3, 1M USD         
  LIBOR + 2.000%  4.477%  12/25/28  145  146 
1,2,4  Freddie Mac Structured Agency Credit         
  Risk Debt Notes 2018-SPI1  3.744%  2/25/48  1,327  1,321 
1,2,4  Freddie Mac Structured Agency Credit         
  Risk Debt Notes 2018-SPI2  3.818%  5/25/48  1,442  1,397 
1,2,3,4  Freddie Mac Structured Agency Credit         
  Risk Debt Notes 2019-DNA2, 1M USD         
  LIBOR + 0.800%  3.277%  3/25/49  5,490  5,501 
1  GM Financial Automobile Leasing Trust         
  2017-1  2.260%  8/20/20  1,800  1,796 
1  GM Financial Automobile Leasing Trust         
  2017-2  2.020%  9/21/20  15,103  15,068 
1  GM Financial Automobile Leasing Trust         
  2017-2  2.180%  6/21/21  90  90 
1  GM Financial Automobile Leasing Trust         
  2017-3  1.720%  1/21/20  61  61 
1  GM Financial Automobile Leasing Trust         
  2017-3  2.010%  11/20/20  730  728 
1  GM Financial Automobile Leasing Trust         
  2017-3  2.120%  9/20/21  740  737 
1  GM Financial Automobile Leasing Trust         
  2017-3  2.400%  9/20/21  1,230  1,225 
1  GM Financial Automobile Leasing Trust         
  2017-3  2.730%  9/20/21  450  448 
1  GM Financial Automobile Leasing Trust         
  2018-1  2.610%  1/20/21  18,500  18,493 
1  GM Financial Automobile Leasing Trust         
  2018-2  2.830%  7/20/20  20,166  20,174 
1  GM Financial Automobile Leasing Trust         
  2018-2  3.060%  6/21/21  10,250  10,289 
†,1  GM Financial Automobile Leasing Trust         
  2019-2  2.670%  6/21/21  21,500  21,498 
1,2  GMF Floorplan Owner Revolving Trust         
  2016-1  2.410%  5/17/21  300  300 
1,2  GMF Floorplan Owner Revolving Trust         
  2016-1  2.850%  5/17/21  220  220 
1,2  GMF Floorplan Owner Revolving Trust         
  2017-3  2.460%  8/16/21  8,040  8,025 
1,2  GMF Floorplan Owner Revolving Trust         
  2018-1  3.060%  3/15/22  3,250  3,254 
1,2  GMF Floorplan Owner Revolving Trust         
  2018-1  3.250%  3/15/22  3,000  3,002 
1,2  GMF Floorplan Owner Revolving Trust         
  2018-1  3.500%  3/15/22  4,624  4,630 
1,2  Golden Credit Card Trust 2016-5A  1.600%  9/15/21  5,080  5,061 
1,2  Golden Credit Card Trust 2018-1A  2.620%  1/15/23  630  628 
1,2,3  Gosforth Funding 2016-1A plc, 3M USD         
  LIBOR + 0.700%  3.384%  2/15/58  204  204 
1,2,3  Gosforth Funding 2017-1A plc, 3M USD         
  LIBOR + 0.470%  3.095%  12/19/59  9,960  9,956 
1,2,3  Gosforth Funding 2018-1A plc, 3M USD         
  LIBOR + 0.450%  3.101%  8/25/60  11,109  11,097 

 

 

1,2  Great America Leasing Receivables         
  Funding LLC Series 2016-1  2.970%  6/15/21  22,000  22,051 
2  GTP Acquisition Partners I LLC  2.350%  6/15/20  425  421 
1,2,3  Hertz Fleet Lease Funding LP 2016-1, 1M         
  USD LIBOR + 1.100%  3.581%  4/10/30  552  552 
1,2  Hertz Fleet Lease Funding LP 2018-1  3.230%  5/10/32  7,900  7,924 
1,2  Hertz Vehicle Financing II LP 2015-1A  2.730%  3/25/21  34,664  34,586 
1,2  Hertz Vehicle Financing II LP 2015-2A  2.960%  10/25/21  40,000  39,868 
1,2  Hertz Vehicle Financing II LP 2016-3A  2.270%  7/25/20  420  419 
1,2,3  Holmes Master Issuer plc 2018-1, 3M         
  USD LIBOR + 0.360%  2.957%  10/15/54  11,160  11,146 
1,2,3  Holmes Master Issuer plc 2018-2A, 3M         
  USD LIBOR + 0.420%  3.017%  10/15/54  10,500  10,499 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-A  2.130%  4/15/21  7,600  7,584 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-B  1.970%  7/15/20  20,874  20,838 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-B  2.130%  3/15/21  200  199 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-C  1.890%  3/16/20  5,092  5,087 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-C  2.120%  2/16/21  11,680  11,648 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-C  2.210%  9/15/21  100  100 
1,2  Hyundai Auto Lease Securitization Trust         
  2017-C  2.460%  7/15/22  200  199 
1,2  Hyundai Auto Lease Securitization Trust         
  2018-A  2.810%  4/15/21  15,655  15,677 
1,2  Hyundai Auto Lease Securitization Trust         
  2018-B  3.040%  10/15/21  7,170  7,202 
1,2  Hyundai Auto Lease Securitization Trust         
  2019-A  2.980%  7/15/22  15,000  15,030 
1  John Deere Owner Trust 2016-B  1.490%  5/15/23  130  129 
1  JPMBB Commercial Mortgage Securities         
  Trust 2013-C14  3.019%  8/15/46  21  21 
1,2  Kubota Credit Owner Trust 2018-1A  2.800%  2/16/21  19,511  19,520 
1,2,3  Lanark Master Issuer plc 2018-1A, 3M         
  USD LIBOR + 0.420%  3.083%  12/22/69  4,864  4,866 
1,2,3  Lanark Master Issuer plc 2018-2A, 1M         
  USD LIBOR + 0.420%  3.083%  12/22/69  19,598  19,596 
1,2  Master Credit Card Trust II Series 2017-         
  1A  2.260%  7/21/21  7,900  7,871 
1  Mercedes-Benz Auto Lease Trust 2018-A  2.410%  2/16/21  9,900  9,882 
1,2  MMAF Equipment Finance LLC 2018-A  2.920%  7/12/21  6,583  6,589 
1,2  MMAF Equipment Finance LLC 2019-A  2.840%  1/10/22  19,250  19,316 
1  Morgan Stanley Bank of America Merrill         
  Lynch Trust 2013-C11  3.085%  8/15/46  181  182 
1,2,3  Motor plc 2017-1A, 1M USD LIBOR +         
  0.530%  3.007%  9/25/24  8,249  8,246 
1,2  Navient Student Loan Trust 2018-A  2.530%  2/18/42  23,303  23,265 
1,2  Navient Student Loan Trust 2018-CA  3.010%  6/16/42  6,733  6,747 
1,2  Navient Student Loan Trust 2019-A A1  3.030%  1/15/43  9,477  9,515 
1,2,3  Navistar Financial Dealer Note Master         
  Trust II 201, 1M USD LIBOR + 0.780%  3.257%  6/27/22  1,600  1,601 

 

 

3  New Mexico Educational Assistance         
  Foundation 2013-1, 1M USD LIBOR +         
  0.780%  3.202%  1/2/25  61  61 
1  Nissan Auto Lease Trust 2017-A  1.910%  4/15/20  1,079  1,077 
1  Nissan Auto Lease Trust 2017-A  2.040%  9/15/22  190  189 
1  Nissan Auto Lease Trust 2017-B  1.830%  12/16/19  8,845  8,838 
1  Nissan Auto Lease Trust 2017-B  2.050%  9/15/20  12,250  12,221 
1  Nissan Auto Lease Trust 2017-B  2.170%  12/15/21  140  139 
1  Nissan Auto Lease Trust 2019-A  2.710%  7/15/21  36,000  36,013 
1  Nissan Auto Receivables 2016-B Owner         
  Trust  1.320%  1/15/21  169  169 
1,2,3  Pepper Residential Securities Trust         
  2017A-A1UA, 1M USD LIBOR +         
  1.100%  3.581%  3/10/58  911  911 
1,2,3  Pepper Residential Securities Trust 2018-         
  2a-A1U1, 1M USD LIBOR + 0.350%  2.823%  10/13/19  30,000  29,988 
1,2,3  Pepper Residential Securities Trust         
  2018A-A1UA, 1M USD LIBOR +         
  0.950%  3.432%  3/12/47  8,493  8,496 
1,2,3  Pepper Residential Securities Trust 2019-         
  1A, 1M USD LIBOR + 0.350%  2.879%  4/14/20  24,000  24,000 
1,2,3  Pepper Residential Securities Trust         
  2019A-A1U2, 1M USD LIBOR +         
  0.350%  2.832%  10/12/19  15,800  15,742 
1,2,3  Pepper Residential Securities Trust 2021-         
  A1U, 1M USD LIBOR + 0.880%  3.357%  1/16/60  14,536  14,508 
1,2,3  Pepper Residential Securities Trust 2022-         
  A1U, 1M USD LIBOR + 0.350%  3.487%  6/20/60  26,522  26,458 
1,2,3  Permanent Master Issuer plc 2018-1A, 3M         
  USD LIBOR + 0.380%  2.977%  7/15/58  19,700  19,639 
1,2,3  PFS Financing Corp. 2017-C, 1M USD         
  LIBOR + 0.470%  2.943%  10/15/21  12,100  12,098 
1,2,3  Resimac Premier Series 2017-1A, 1M         
  USD LIBOR + 0.950%  3.434%  9/11/48  11,885  11,889 
1,2,3  Resimac Premier Series 2018-1NCA, 1M         
  USD LIBOR + 0.850%  3.327%  12/16/59  18,633  18,602 
1  Santander Drive Auto Receivables Trust         
  2016-3  2.460%  3/15/22  5,440  5,431 
1  Santander Drive Auto Receivables Trust         
  2017-2  2.210%  10/15/21  5,076  5,071 
1  Santander Drive Auto Receivables Trust         
  2017-3  1.870%  6/15/21  1,772  1,771 
1  Santander Drive Auto Receivables Trust         
  2017-3  2.190%  3/15/22  15,000  14,962 
1  Santander Drive Auto Receivables Trust         
  2018-1  2.320%  8/16/21  7,763  7,758 
1  Santander Drive Auto Receivables Trust         
  2018-2  3.030%  9/15/22  22,000  22,039 
1  Santander Drive Auto Receivables Trust         
  2018-3  2.780%  3/15/21  12,402  12,400 
1  Santander Drive Auto Receivables Trust         
  2018-3  3.030%  2/15/22  26,000  26,031 
1  Santander Drive Auto Receivables Trust         
  2018-3  3.290%  10/17/22  20,750  20,775 
1  Santander Drive Auto Receivables Trust         
  2018-5  3.190%  3/15/22  15,000  15,063 

 

 

1,2  Santander Retail Auto Lease Trust 2017-         
  A  2.020%  3/20/20  6,732  6,726 
1,2  Santander Retail Auto Lease Trust 2018-         
  A  2.930%  5/20/21  12,600  12,632 
1,2  Securitized Term Auto Receivables Trust         
  2017-2A  2.040%  4/26/21  6,388  6,364 
1,2  Securitized Term Auto Receivables Trust         
  2018-1A  2.807%  12/29/20  17,529  17,538 
1,2  Securitized Term Auto Receivables Trust         
  2018-1A  3.068%  1/25/22  21,760  21,854 
1,2  SLM Private Education Loan Trust 2013-B  1.850%  6/17/30  20  20 
1,2  SoFi Professional Loan Program 2017-A         
  LLC  1.550%  3/26/40  572  571 
1,2  SoFi Professional Loan Program 2017-B         
  LLC  1.830%  5/25/40  1,101  1,098 
1,2  SoFi Professional Loan Program 2017-C         
  LLC  1.750%  7/25/40  1,508  1,500 
1,2  SoFi Professional Loan Program 2017-D         
  LLC  1.720%  9/25/40  1,791  1,785 
1,2  SoFi Professional Loan Program 2017-E         
  LLC  1.860%  11/26/40  6,685  6,634 
1,2  SoFi Professional Loan Program 2017-F         
  LLC  2.050%  1/25/41  4,005  3,980 
1,2  SoFi Professional Loan Program 2018-A         
  LLC  2.390%  2/25/42  34,773  34,555 
1,2  SoFi Professional Loan Program 2018-B         
  LLC  2.640%  8/25/47  25,311  25,282 
1,2  SoFi Professional Loan Program 2018-C         
  LLC  3.080%  1/25/48  33,049  33,186 
1,2  SoFi Professional Loan Program 2018-D         
  LLC  3.120%  2/25/48  24,440  24,546 
1,2  Sofi Professional Loan Program 2019-A         
  LLC  3.180%  6/15/48  22,675  22,792 
1,2  SoFi Professional Loan Program 2019-B         
  LLC  2.780%  8/17/48  45,000  44,977 
1  Synchrony Credit Card Master Note Trust         
  2016-3  1.580%  9/15/22  4,640  4,619 
1  Synchrony Credit Card Master Note Trust         
  2016-3  1.910%  9/15/22  3,290  3,279 
1,2  TCF Auto Receivables Owner Trust 2016-         
  PT1  1.930%  6/15/22  10,862  10,765 
1,2  Tesla Auto Lease Trust 2018-A  2.320%  12/20/19  1,469  1,467 
1,2  Tesla Auto Lease Trust 2018-A  2.750%  2/20/20  320  320 
1,2  Tesla Auto Lease Trust 2018-A  2.970%  4/20/20  260  260 
1,2  Tesla Auto Lease Trust 2018-A  3.300%  5/20/20  290  290 
1,2  Tesla Auto Lease Trust 2018-B  3.710%  8/20/21  18,079  18,263 
1,2  Tidewater Auto Receivables Trust 2018-         
  AA  3.120%  7/15/22  2,649  2,650 
1,2  Trillium Credit Card Trust II 2019-2A  3.038%  1/26/24  24,000  24,103 
1,2  Trip Rail Master Funding LLC 2017-1A  2.709%  8/15/47  678  673 
1,2  Verizon Owner Trust 2017-1A  2.060%  9/20/21  7,595  7,570 
1,2  Verizon Owner Trust 2017-2A  1.920%  12/20/21  35,000  34,842 
1,2  Verizon Owner Trust 2017-3  2.060%  4/20/22  7,910  7,865 
1,2  Verizon Owner Trust 2018-1  2.820%  9/20/22  24,180  24,241 
1,2  Volvo Financial Equipment LLC Series         
  2017-1A  1.920%  3/15/21  4,449  4,430 

 

 

1  Wells Fargo Commercial Mortgage Trust         
  2013-LC12  1.676%  7/15/46  27  27 
1  WFRBS Commercial Mortgage Trust         
  2013-C18  3.027%  12/15/46  1  1 
1,2  Wheels SPV 2 LLC 2017-1A  1.880%  4/20/26  9,244  9,198 
1  World Omni Auto Receivables Trust 2015-         
  B  2.150%  8/15/22  175  174 
1  World Omni Auto Receivables Trust 2016-         
  A  1.770%  9/15/21  165  164 
1  World Omni Auto Receivables Trust 2018-         
  D  3.010%  4/15/22  34,250  34,342 
1  World Omni Automobile Lease         
  Securitization Trust 2017-A  2.320%  8/15/22  1,530  1,526 
1  World Omni Automobile Lease         
  Securitization Trust 2018-A  2.590%  11/16/20  20,058  20,044 
1  World Omni Automobile Lease         
  Securitization Trust 2018-A  2.830%  7/15/21  13,950  13,972 
1  World Omni Automobile Lease         
  Securitization Trust 2019-A A2A  2.890%  11/15/21  20,000  20,026 
1  World Omni Automobile Lease         
  Securitization Trust 2019-A A3  2.940%  5/16/22  17,500  17,603 
1,2  World Omni Select Auto Trust A Series         
  2018-1 A2  3.240%  4/15/22  20,930  20,988 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,457,185)    2,459,805 
Corporate Bonds (41.5%)         
Finance (18.8%)         
  Banking (15.2%)         
  American Express Credit Corp.  1.700%  10/30/19  2,000  1,991 
2  ANZ New Zealand International Ltd.  2.200%  7/17/20  4,095  4,063 
2  ANZ New Zealand International Ltd.  2.125%  7/28/21  30,000  29,450 
2  Australia & New Zealand Banking Group         
  Ltd.  2.250%  12/19/19  6,605  6,587 
2  Australia & New Zealand Banking Group         
  Ltd.  4.875%  1/12/21  2,418  2,501 
3  Bank of America NA, 3M USD LIBOR +         
  0.250%  2.879%  8/28/20  40,000  40,012 
3  Bank of Montreal, 3M USD LIBOR +         
  0.340%  2.937%  7/13/20  40,000  40,097 
  Bank of New York Mellon Corp.  4.150%  2/1/21  17,664  18,090 
  Bank of New York Mellon Corp.  2.050%  5/3/21  10,780  10,656 
  Bank of New York Mellon Corp.  3.550%  9/23/21  16,040  16,359 
  Bank of Nova Scotia  2.228%  12/11/19  48,130  48,011 
2  Banque Federative du Credit Mutuel SA  2.200%  7/20/20  20,000  19,855 
2  Banque Federative du Credit Mutuel SA  2.500%  4/13/21  3,000  2,975 
  BB&T Corp.  2.625%  6/29/20  8,000  7,990 
  BB&T Corp.  2.050%  5/10/21  10,000  9,855 
  Branch Banking & Trust Co.  2.100%  1/15/20  8,500  8,468 
  Capital One NA  1.850%  9/13/19  15,790  15,739 
  Capital One NA  2.250%  9/13/21  1,505  1,482 
3,5  Citigroup Inc., 3M Australian Bank Bill         
  Rate + 1.250%  3.268%  8/7/19  20,867  14,739 
  Commonwealth Bank of Australia  2.300%  3/12/20  21,490  21,421 
  Credit Suisse AG  2.300%  5/28/19  5,450  5,449 
  Credit Suisse Group Funding Guernsey         
  Ltd.  2.750%  3/26/20  25,000  24,960 
2  Danske Bank A/S  1.650%  9/6/19  1,500  1,494 
  Discover Bank  3.200%  8/9/21  4,017  4,040 

 

 

2  DNB Bank ASA  2.125%  10/2/20  20,000  19,819 
  Goldman Sachs Group Inc.  2.300%  12/13/19  22,755  22,692 
3,5  Goldman Sachs Group Inc., 3M Australian         
  Bank Bill Rate + 1.200%  3.079%  8/26/20  3,450  2,446 
3,5  Goldman Sachs Group Inc., 3M Australian         
  Bank Bill Rate + 1.300%  3.209%  8/21/19  24,140  17,057 
  HSBC Bank USA NA  4.875%  8/24/20  10,000  10,277 
  HSBC USA Inc.  2.375%  11/13/19  5,550  5,537 
  HSBC USA Inc.  5.000%  9/27/20  15,000  15,439 
  ICICI Bank Ltd.  4.800%  5/22/19  18,400  18,415 
  ICICI Bank Ltd.  5.750%  11/16/20  2,800  2,902 
3  Intesa Sanpaolo SPA, 3M USD LIBOR +         
  0.630%  3.218%  7/17/19  17,000  17,002 
3  JPMorgan Chase Bank NA, 3M USD         
  LIBOR + 0.230%  2.856%  9/1/20  13,000  13,006 
  KeyBank NA  1.600%  8/22/19  1,800  1,794 
  Lloyds Bank plc  2.700%  8/17/20  1,519  1,518 
2  Macquarie Bank Ltd.  2.850%  7/29/20  5,000  5,000 
  Mizuho Bank Ltd.  2.340%  12/4/19  9,720  9,705 
2  Mizuho Financial Group Inc.  2.632%  4/12/21  9,850  9,805 
  Mizuho Financial Group Inc.  2.273%  9/13/21  6,545  6,442 
  Morgan Stanley  2.650%  1/27/20  7,561  7,556 
  Morgan Stanley  5.500%  7/24/20  9,900  10,208 
  Morgan Stanley  5.750%  1/25/21  21,650  22,700 
2  MUFG Bank Ltd.  2.300%  3/5/20  10,000  9,966 
  MUFG Union Bank NA  2.250%  5/6/19  35,590  35,588 
2  Nationwide Building Society  2.350%  1/21/20  2,700  2,691 
2  Nordea Bank AB  2.125%  5/29/20  4,370  4,341 
  PNC Bank NA  1.450%  7/29/19  2,600  2,594 
  Royal Bank of Canada  1.500%  7/29/19  2,500  2,493 
  Santander Holdings USA Inc.  2.650%  4/17/20  19,205  19,153 
  Santander UK Group Holdings plc  2.875%  10/16/20  6,078  6,065 
  Santander UK Group Holdings plc  3.125%  1/8/21  5,000  5,001 
  Santander UK plc  2.125%  11/3/20  1,500  1,484 
  Santander UK plc  2.500%  1/5/21  5,194  5,157 
  Skandinaviska Enskilda Banken AB  1.875%  9/13/21  20,000  19,559 
  Sumitomo Mitsui Banking Corp.  2.514%  1/17/20  6,675  6,668 
3  Sumitomo Mitsui Banking Corp., 3M USD         
  LIBOR + 0.370%  2.971%  10/16/20  25,000  25,030 
  Sumitomo Mitsui Financial Group Inc.  2.442%  10/19/21  4,080  4,035 
  Svenska Handelsbanken AB  2.250%  6/17/19  5,000  4,998 
  Synchrony Financial  3.000%  8/15/19  1,685  1,685 
  Toronto-Dominion Bank  1.450%  8/13/19  13,973  13,929 
3  Toronto-Dominion Bank, 3M USD LIBOR         
  + 0.280%  2.881%  6/11/20  20,000  20,049 
2  UBS AG  2.450%  12/1/20  5,605  5,576 
2  UBS Group Funding Jersey Ltd.  2.950%  9/24/20  30,142  30,168 
2  UBS Group Funding Jersey Ltd.  3.000%  4/15/21  13,330  13,348 
  Wells Fargo & Co.  4.600%  4/1/21  35,000  36,140 
3,5  Wells Fargo & Co., 3M Australian Bank         
  Bill Rate + 0.850%  2.855%  8/8/19  14,500  10,231 
  Wells Fargo Bank NA  1.750%  5/24/19  1,600  1,599 
  Wells Fargo Bank NA  2.150%  12/6/19  470  468 
  Westpac Banking Corp.  1.650%  5/13/19  6,500  6,498 
  Westpac Banking Corp.  1.600%  8/19/19  3,000  2,991 
3  Westpac Banking Corp., 3M USD LIBOR         
  + 0.280%  2.964%  5/15/20  10,000  10,024 

 

 

Zions Bancorp NA  3.500%  8/27/21  15,360  15,521 
 
Brokerage (0.2%)         
Ameriprise Financial Inc.  5.300%  3/15/20  11,570  11,818 
 
Finance Companies (0.4%)         
AerCap Ireland Capital DAC / AerCap         
          Global Aviation Trust  4.625%  10/30/20  21,492  21,976 
 
Insurance (3.0%)         
Anthem Inc.  2.500%  11/21/20  25,000  24,881 
Aon plc  2.800%  3/15/21  4,001  3,992 
2       Metropolitan Life Global Funding I  1.950%  9/15/21  20,000  19,624 
2       Metropolitan Life Global Funding I  3.450%  10/9/21  30,000  30,527 
2       Principal Life Global Funding II  2.204%  12/11/19  40,000  39,830 
2       Protective Life Global Funding  2.700%  11/25/20  4,355  4,341 
2       Reliance Standard Life Global Funding II  2.500%  1/15/20  42,630  42,503 
2       Reliance Standard Life Global Funding II  3.050%  1/20/21  15,000  15,008 
 
Real Estate Investment Trusts (0.0%)         
Federal Realty Investment Trust  2.550%  1/15/21  2,700  2,688 
        1,115,842 
Industrial (20.1%)         
Basic Industry (2.1%)         
2        Air Liquide Finance SA  1.375%  9/27/19  9,450  9,403 
2        Air Liquide Finance SA  1.750%  9/27/21  15,965  15,610 
DowDuPont Inc.  3.766%  11/15/20  13,000  13,205 
Eastman Chemical Co.  2.700%  1/15/20  6,881  6,882 
Eastman Chemical Co.  3.500%  12/1/21  18,332  18,614 
EI du Pont de Nemours & Co.  2.200%  5/1/20  10,750  10,710 
International Flavors & Fragrances Inc.  3.400%  9/25/20  24,000  24,122 
Nutrien Ltd.  6.500%  5/15/19  8,186  8,196 
Nutrien Ltd.  4.875%  3/30/20  6,515  6,630 
WestRock RKT Co.  3.500%  3/1/20  13,929  13,989 
 
Capital Goods (0.9%)         
Acuity Brands Lighting Inc.  6.000%  12/15/19  7,159  7,275 
Boeing Capital Corp.  4.700%  10/27/19  7,150  7,226 
Caterpillar Financial Services Corp.  1.850%  9/4/20  5,091  5,042 
CNH Industrial Capital LLC  4.375%  11/6/20  6,060  6,167 
Fortive Corp.  1.800%  6/15/19  185  185 
United Technologies Corp.  4.500%  4/15/20  29,000  29,436 
 
Communication (3.1%)         
America Movil SAB de CV  5.000%  10/16/19  25,042  25,299 
America Movil SAB de CV  5.000%  3/30/20  6,500  6,630 
Charter Communications Operating LLC /
          Charter Communications Operating
          Capital 		        
       
3.579%  7/23/20  20,848  20,998 
Comcast Corp.  3.300%  10/1/20  48,000  48,425 
Discovery Communications LLC  2.200%  9/20/19  9,000  8,973 
2         Fox Corp.  3.666%  1/25/22  30,000  30,634 
Interpublic Group of Cos. Inc.  3.500%  10/1/20  24,000  24,183 
Orange SA  1.625%  11/3/19  2,200  2,187 
Telefonos de Mexico SAB de CV  5.500%  11/15/19  13,607  13,803 

 

 

  Consumer Cyclical (2.8%)         
2  Alimentation Couche-Tard Inc.  2.350%  12/13/19  19,000  18,937 
  American Honda Finance Corp.  3.150%  1/8/21  15,000  15,125 
3  American Honda Finance Corp., 3M USD         
  LIBOR + 0.260%  2.875%  6/16/20  35,000  35,029 
2  BMW US Capital LLC  2.150%  4/6/20  3,000  2,982 
2  BMW US Capital LLC  3.250%  8/14/20  18,000  18,115 
  General Motors Financial Co. Inc.  2.400%  5/9/19  7,000  6,999 
  General Motors Financial Co. Inc.  3.700%  11/24/20  9,000  9,081 
3  General Motors Financial Co. Inc., 3M         
  USD LIBOR + 1.450%  4.147%  5/9/19  7,010  7,012 
2  Harley-Davidson Financial Services Inc.  2.400%  9/15/19  9,625  9,596 
2  Harley-Davidson Financial Services Inc.  2.150%  2/26/20  8,000  7,944 
2  Nissan Motor Acceptance Corp.  1.550%  9/13/19  12,500  12,433 
2,3  Nissan Motor Acceptance Corp., 3M USD         
  LIBOR + 0.520%  3.128%  9/13/19  3,578  3,576 
  Toyota Motor Credit Corp.  3.050%  1/8/21  10,000  10,082 
5  Volkswagen Financial Services Australia         
  Pty Ltd.  3.250%  8/13/19  2,150  1,520 
2  Volkswagen Group of America Finance         
  LLC  2.125%  5/23/19  1,500  1,499 
3  Western Union Co., 3M USD LIBOR +         
  0.800%  3.463%  5/22/19  8,000  8,003 
 
  Consumer Noncyclical (3.6%)         
  AbbVie Inc.  2.300%  5/14/21  25,000  24,737 
  Altria Group Inc.  9.250%  8/6/19  26,565  26,995 
  Anheuser-Busch InBev Worldwide Inc.  6.875%  11/15/19  23,514  23,994 
  AstraZeneca plc  2.375%  11/16/20  3,289  3,269 
  Baxter International Inc.  1.700%  8/15/21  2,500  2,431 
2  Bayer US Finance LLC  3.000%  10/8/21  6,220  6,183 
  Becton Dickinson and Co.  2.675%  12/15/19  23,455  23,401 
3  Campbell Soup Co., 3M USD LIBOR +         
  0.500%  3.115%  3/16/20  15,000  14,975 
2  Cigna Corp.  3.200%  9/17/20  2,000  2,006 
2,3  Cigna Corp., 3M USD LIBOR + 0.350%  2.965%  3/17/20  15,000  15,000 
  Constellation Brands Inc.  3.875%  11/15/19  5,000  5,023 
  CVS Health Corp.  2.800%  7/20/20  22,000  21,975 
  CVS Health Corp.  2.125%  6/1/21  5,000  4,920 
  Express Scripts Holding Co.  2.250%  6/15/19  9,500  9,491 
  Mead Johnson Nutrition Co.  3.000%  11/15/20  11,770  11,811 
  Reynolds American Inc.  6.875%  5/1/20  8,304  8,620 
  Shire Acquisitions Investments Ireland         
  DAC  1.900%  9/23/19  2,200  2,191 
3  Tyson Foods Inc., 3M USD LIBOR +         
  0.450%  3.079%  5/30/19  7,000  6,998 
 
  Energy (5.4%)         
  Apache Corp.  3.625%  2/1/21  16,096  16,280 
  Boardwalk Pipelines LP  5.750%  9/15/19  17,058  17,213 
  BP Capital Markets America Inc.  4.500%  10/1/20  30,000  30,747 
  BP Capital Markets plc  2.315%  2/13/20  19,000  18,926 
  BP Capital Markets plc  3.561%  11/1/21  6,018  6,137 
  Cenovus Energy Inc.  5.700%  10/15/19  18,324  18,530 
  Enbridge Energy Partners LP  4.375%  10/15/20  4,295  4,379 
  Energy Transfer Operating LP  4.150%  10/1/20  20,000  20,291 
  Enterprise Products Operating LLC  3.500%  2/1/22  25,000  25,416 

 

 

EOG Resources Inc.  5.625%  6/1/19  1,953  1,957 
EOG Resources Inc.  4.100%  2/1/21  20,986  21,438 
EQT Corp.  8.125%  6/1/19  18,489  18,566 
EQT Corp.  2.500%  10/1/20  1,000  990 
Husky Energy Inc.  6.150%  6/15/19  8,792  8,825 
Husky Energy Inc.  7.250%  12/15/19  18,000  18,473 
Kinder Morgan Energy Partners LP  6.500%  4/1/20  4,000  4,124 
Kinder Morgan Energy Partners LP  3.500%  3/1/21  5,000  5,049 
Kinder Morgan Inc.  3.050%  12/1/19  16,550  16,560 
2        Kinder Morgan Inc.  5.000%  2/15/21  1,790  1,866 
Marathon Oil Corp.  2.700%  6/1/20  24,000  23,929 
Marathon Petroleum Corp.  5.125%  3/1/21  2,000  2,076 
2        Midwest Connector Capital Co. LLC  3.625%  4/1/22  5,835  5,924 
Pioneer Natural Resources Co.  7.500%  1/15/20  2,789  2,875 
Plains All American Pipeline LP / PAA         
Finance Corp.  5.000%  2/1/21  2,035  2,091 
Regency Energy Partners LP / Regency         
Energy Finance Corp.  5.875%  3/1/22  3,515  3,744 
Sabine Pass Liquefaction LLC  5.625%  2/1/21  6,636  6,882 
TransCanada PipeLines Ltd.  3.800%  10/1/20  5,710  5,798 
Williams Cos. Inc.  5.250%  3/15/20  11,675  11,893 
 
Technology (0.6%)         
Broadcom Corp. / Broadcom Cayman         
Finance Ltd.  2.375%  1/15/20  5,000  4,978 
DXC Technology Co.  2.875%  3/27/20  6,000  5,997 
KLA-Tencor Corp.  3.375%  11/1/19  2,415  2,419 
NetApp Inc.  2.000%  9/27/19  15,455  15,404 
Tyco Electronics Group SA  2.350%  8/1/19  4,457  4,450 
 
Transportation (1.6%)         
1 Burlington Northern and Santa Fe Railway         
Co. 1999-2 Pass Through Trust  7.570%  1/2/21  327  339 
1 Continental Airlines 2001-1 Class A-1         
Pass Through Trust  6.703%  6/15/21  1,841  1,953 
1 Continental Airlines 2009-2 Class A Pass         
Through Trust  7.250%  5/10/21  1,059  1,080 
1 Continental Airlines 2010-1 Class A Pass         
Through Trust  4.750%  7/12/22  3,145  3,217 
1 Delta Air Lines 2009-1 Class A Pass         
Through Trust  7.750%  6/17/21  6,156  6,309 
1 Delta Air Lines 2010-2 Class A Pass         
Through Trust  4.950%  11/23/20  1,209  1,210 
Delta Air Lines Inc.  2.875%  3/13/20  18,000  17,985 
FedEx Corp.  3.400%  1/14/22  15,000  15,219 
1 Northwest Airlines 2007-1 Class A Pass         
Through Trust  7.027%  5/1/21  692  706 
2 Penske Truck Leasing Co. Lp / PTL         
Finance Corp.  3.650%  7/29/21  25,000  25,313 
1 Southwest Airlines Co. 2007-1 Pass         
Through Trust  6.650%  8/1/22  4,264  4,488 
1 Southwest Airlines Co. 2007-1 Pass         
Through Trust  6.150%  2/1/24  9,433  9,913 
1 US Airways 2001-1C Pass Through Trust  7.346%  9/20/23  2,640  2,799 
1 US Airways 2012-1 Class B Pass Through         
Trust  8.000%  10/1/19  2,047  2,083 
        1,192,618 

 

 

Utilities (2.6%)         
  Electric (2.6%)         
  Arizona Public Service Co.  2.200%  1/15/20  1,100  1,095 
  CenterPoint Energy Inc.  3.600%  11/1/21  25,000  25,415 
  Dominion Energy Inc.  5.200%  8/15/19  13,021  13,105 
  Dominion Energy Inc.  2.000%  8/15/21  6,793  6,650 
2  EDP Finance BV  4.125%  1/15/20  1,478  1,484 
2  EDP Finance BV  5.250%  1/14/21  1,600  1,652 
  Emera US Finance LP  2.150%  6/15/19  3,000  2,998 
3,5  ETSA Utilities Finance Pty Ltd., 3M         
  Australian Bank Bill Rate + 0.260%  1.820%  10/15/19  28,300  19,902 
  Exelon Corp.  2.850%  6/15/20  5,000  5,002 
  Exelon Corp.  5.150%  12/1/20  7,358  7,571 
  Exelon Generation Co. LLC  2.950%  1/15/20  16,380  16,340 
  Georgia Power Co.  4.250%  12/1/19  5,500  5,544 
  NextEra Energy Capital Holdings Inc.  2.700%  9/15/19  11,454  11,443 
  NextEra Energy Capital Holdings Inc.  3.300%  8/15/22  17,000  17,135 
  Oncor Electric Delivery Co. LLC  2.150%  6/1/19  1,400  1,399 
  Pinnacle West Capital Corp.  2.250%  11/30/20  12,000  11,898 
  Puget Energy Inc.  6.000%  9/1/21  7,829  8,330 
          156,963 
Total Corporate Bonds (Cost $2,460,425)        2,465,423 
Sovereign Bonds (6.1%)         
  Abu Dhabi National Energy Co. PJSC  6.250%  9/16/19  7,375  7,463 
  African Export-Import Bank  4.750%  7/29/19  5,000  5,019 
  Bank of Baroda  4.875%  7/23/19  29,091  29,194 
  Caixa Economica Federal  4.250%  5/13/19  6,000  6,000 
  Corp. Financiera de Desarrollo SA  3.250%  7/15/19  3,000  2,999 
  Corp. Financiera de Desarrollo SA  4.750%  2/8/22  4,000  4,129 
2  Corp. Nacional del Cobre de Chile  3.750%  11/4/20  53,022  53,684 
  Empresa Nacional del Petroleo  4.750%  12/6/21  5,038  5,195 
  Export-Import Bank of India  3.875%  10/2/19  5,648  5,666 
  Export-Import Bank of Korea  2.250%  1/21/20  6,640  6,617 
  First Abu Dhabi Bank PJSC  3.000%  8/13/19  7,000  7,010 
  ICBCIL Finance Co. Ltd.  2.375%  5/19/19  2,050  2,049 
  ICBCIL Finance Co. Ltd.  2.125%  9/29/19  2,670  2,659 
3  Korea Development Bank, 3M USD         
  LIBOR + 0.550%  3.147%  3/12/21  10,000  10,026 
3  Korea Development Bank, 3M USD         
  LIBOR + 0.675%  3.300%  9/19/20  10,325  10,343 
  Minera y Metalurgica del Boleo SAPI de         
  CV  2.875%  5/7/19  1,500  1,500 
  ONGC Videsh Ltd.  3.250%  7/15/19  3,350  3,351 
  Petroleos Mexicanos  8.000%  5/3/19  20,553  20,556 
  Petronas Capital Ltd.  5.250%  8/12/19  42,283  42,570 
  Republic of Croatia  6.750%  11/5/19  15,000  15,280 
  Republic of Hungary  6.375%  3/29/21  3,376  3,591 
  Republic of Indonesia  4.875%  5/5/21  5,000  5,171 
  Republic of Lithuania  7.375%  2/11/20  18,100  18,736 
  Republic of Panama  5.200%  1/30/20  25,600  26,016 
  Republic of the Philippines  8.375%  6/17/19  20,300  20,452 
  Sinopec Group Overseas Development         
  2015 Ltd.  2.500%  4/28/20  7,110  7,083 
  Sinopec Group Overseas Development         
  2017 Ltd.  2.375%  4/12/20  10,000  9,956 
  Socialist Republic of Vietnam  6.750%  1/29/20  12,479  12,792 

 

 

  State Grid Overseas Investment 2014 Ltd.  2.750%  5/7/19  15,000  15,000 
Total Sovereign Bonds (Cost $359,447)        360,107 
 
        Shares   
Common Stocks (0.7%)         
Exchange-Traded Fund (0.7%)         
  iShares Short Maturity Bond ETF      875,000  43,969 
Total Common Stocks (Cost $43,896)        43,969 
Temporary Cash Investments (10.9%)         
Money Market Fund (2.0%)         
6  Vanguard Market Liquidity Fund  2.545%    1,177,351  117,747 
 
        Face   
        Amount   
        ($000)   
Certificates of Deposit (0.2%)         
  Cooperatieve Rabobank UA (New York         
  Branch)  1.980%  10/25/19  12,735  12,696 
 
Commercial Paper (2.5%)         
7  AT&T Inc.  3.093%  5/30/19  22,000  21,950 
2,7  BPCE SA  2.818%  5/2/19  40,000  39,994 
2,7  Enbridge US Inc.  2.994%  6/10/19  25,000  24,917 
2,7  JP Morgan Securities LLC  2.776%  5/6/19  15,000  14,994 
2,7  VW Credit Inc.  3.122%  7/1/19  22,000  21,891 
7  Walgreens Boots Alliance Inc.  3.285%  5/8/19  17,600  17,589 
7  Walgreens Boots Alliance Inc.  3.286%  5/9/19  7,400  7,394 
          148,729 
U.S. Government and Agency Obligations (6.2%)         
  Federal Home Loan Banks  1.375%  5/28/19  500  500 
8  United States Treasury Bill  2.484%  2/27/20  73,050  71,629 
  United States Treasury Bill  2.418%  3/26/20  300,000  293,661 
          365,790 
Total Temporary Cash Investments (Cost $644,765)        644,962 
Total Investments (100.7%) (Cost $5,965,718)        5,974,266 
Other Assets and Liabilities-Net (-0.7%)        (41,819) 
Net Assets (100%)        5,932,447 

† Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken
delivery as of April 30, 2019.
§ Security value determined using significant unobservable inputs.
1 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.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2019, the aggregate
value of these securities was $2,326,542,000, representing 39.2% of net assets.
3 Adjustable-rate security, rate shown is effective rate at period end. Certain adjustable rate securities are not
based on a published reference rate and spread but are determined by the issuer or agent based on current
market conditions.
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 Face amount denominated in Australian dollars.
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 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 April 30,
2019, the aggregate value of these securities was $148,729,000, representing 2.5% of net assets.
8 Securities with a value of $2,128,000 have been segregated as initial margin for open futures contracts.
LIBOR—London Interbank Offered Rate.

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    June 2019  5,629  1,199,021  2,757 
 
Short Futures Contracts           
5-Year U.S. Treasury Note    June 2019  (4,109)  (475,167)  (2,145) 
10-Year U.S. Treasury Note    June 2019  (2)  (247)  1 
Ultra 10-Year U.S. Treasury Note    June 2019  (1)  (132)  1 
            (2,143) 
            614 
 
 
Forward Currency Contracts           
  Contract       Unrealized Unrealized
  Settlement   Contract Amount (000)  Appreciation (Depreciation)
Counterparty  Date Receive   Deliver ($000) ($000)
Toronto-             
Dominion             
Bank  6/19/19 USD  66,223  AUD  93,698  90  — 
AUD—Australian dollar.           
USD—U.S. dollar.             

 

 

Ultra-Short-Term Bond Fund             
 
 
 
 
Over-the-Counter Credit Default Swaps             
 
 
 
 
          Remaining    
        Periodic   Up-Front    
        Premium   Premium  
      Notional Received   Received Unrealized Unrealized
Reference  Termination   Amount (Paid)1 Value (Paid) Appreciation (Depreciation)
Entity  Date Counterparty ($000)  (%) ($000) ($000) ($000) ($000)
Credit Protection Sold/Moody's Rating             
Berkshire                 
Hathaway                 
Inc./Aa2  12/20/21  GSI  5,000  1.000  91  (21)  70  — 
Oriental                 
Republic of                 
Uruguay/Baa2  9/20/20  BOANA  21,650  1.000  211  (134)  77  — 
Total          302  (155)  147  — 

 

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 Periodic premium received/paid quarterly.
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.

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

 

Ultra-Short-Term Bond Fund

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. 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. Any assets pledged as
initial margin for open contracts are noted in the Schedule of Investments.

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).

D. 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).

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

 

Ultra-Short-Term Bond Fund

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.

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

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

 

Ultra-Short-Term Bond Fund

The following table summarizes the market value of the fund's investments as of April 30, 2019,
based on the inputs used to value them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 
Asset-Backed/Commercial Mortgage-Backed Securities  —  2,438,967  26,456 
Corporate Bonds  —  2,459,805  — 
Sovereign Bonds  —  860,107  — 
Common Stocks  43,969  —  — 
Temporary Cash Investments  117,747  527,215  — 
Futures Contracts—Assets1  476  —  — 
Futures Contracts—Liabilities1  (660)  —  — 
Forward Currency Contracts—Assets  —  90  — 
Swap Contracts—Assets  —  147  — 
Total  161,532  5,786,331  26,456 
1 Represents variation margin on the last day of the reporting period.