N-Q 1 malvern_final.htm malvern_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:   811-05628

Name of Registrant:   Vanguard Malvern Funds

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

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

Date of fiscal year end:    September 30th

Date of reporting period:   December 31, 2015

Item 1: Schedule of Investments


Vanguard U.S. Value Fund

Schedule of Investments
As of December 31, 2015

    Market
    Value
  Shares ($000)
Common Stocks (99.4%)1    
Consumer Discretionary (6.1%)    
Target Corp. 158,500 11,509
General Motors Co. 326,100 11,091
Comcast Corp. Class A 133,189 7,516
Cooper Tire & Rubber Co. 167,000 6,321
* DISH Network Corp. Class A 108,300 6,192
Marriott International Inc. Class A 80,000 5,363
* Skechers U.S.A. Inc. Class A 136,800 4,133
Best Buy Co. Inc. 126,200 3,843
Darden Restaurants Inc. 60,100 3,825
Lowe's Cos. Inc. 47,300 3,597
Carnival Corp. 64,800 3,530
Home Depot Inc. 18,600 2,460
* Isle of Capri Casinos Inc. 166,600 2,321
News Corp. Class B 153,400 2,141
* MSG Networks Inc. 63,800 1,327
PVH Corp. 14,200 1,046
Hasbro Inc. 9,700 653
Cablevision Systems Corp. Class A 11,000 351
American Eagle Outfitters Inc. 21,700 336
* Carrols Restaurant Group Inc. 22,200 261
* Perry Ellis International Inc. 13,300 245
* Penn National Gaming Inc. 14,900 239
Movado Group Inc. 9,200 236
    78,536
Consumer Staples (6.9%)    
Procter & Gamble Co. 243,169 19,310
Tyson Foods Inc. Class A 154,500 8,239
Bunge Ltd. 118,900 8,119
Dean Foods Co. 368,400 6,318
Kroger Co. 150,200 6,283
Altria Group Inc. 107,500 6,258
Costco Wholesale Corp. 38,700 6,250
CVS Health Corp. 55,950 5,470
Wal-Mart Stores Inc. 83,500 5,119
Ingles Markets Inc. Class A 80,900 3,566
* Herbalife Ltd. 66,000 3,539
Universal Corp. 51,300 2,877
Mondelez International Inc. Class A 49,268 2,209
* Omega Protein Corp. 82,600 1,834
Philip Morris International Inc. 13,100 1,152
Walgreens Boots Alliance Inc. 9,400 800
* SUPERVALU Inc. 85,400 579
Fresh Del Monte Produce Inc. 13,300 517
ConAgra Foods Inc. 11,300 476
    88,915
Energy (12.0%)    
Exxon Mobil Corp. 500,700 39,030
Chevron Corp. 151,830 13,659

 

 

Schlumberger Ltd. 178,400 12,443
Phillips 66 139,500 11,411
Valero Energy Corp. 158,200 11,186
Marathon Petroleum Corp. 179,600 9,311
Tesoro Corp. 75,600 7,966
PBF Energy Inc. Class A 200,900 7,395
^ Nordic American Tankers Ltd. 419,300 6,516
Teekay Tankers Ltd. Class A 917,600 6,313
^ Noble Corp. plc 557,000 5,876
Alon USA Energy Inc. 370,100 5,492
Scorpio Tankers Inc. 514,500 4,126
^ Frontline Ltd. 1,281,400 3,831
Ensco plc Class A 144,400 2,222
^ Ship Finance International Ltd. 123,400 2,045
HollyFrontier Corp. 50,000 1,995
CVR Energy Inc. 37,600 1,480
* Cameron International Corp. 19,800 1,251
ConocoPhillips 19,790 924
^ Atwood Oceanics Inc. 70,500 721
* Par Pacific Holdings Inc. 12,900 304
    155,497
Financials (30.8%)    
JPMorgan Chase & Co. 544,540 35,956
Wells Fargo & Co. 637,623 34,661
Bank of America Corp. 1,637,976 27,567
Citigroup Inc. 487,361 25,221
* Berkshire Hathaway Inc. Class B 165,200 21,813
US Bancorp 313,400 13,373
PNC Financial Services Group Inc. 128,800 12,276
Travelers Cos. Inc. 95,600 10,789
Prudential Financial Inc. 131,500 10,705
Bank of New York Mellon Corp. 226,700 9,345
Goldman Sachs Group Inc. 51,017 9,195
Discover Financial Services 163,500 8,767
Capital One Financial Corp. 110,300 7,962
Hartford Financial Services Group Inc. 182,100 7,914
Everest Re Group Ltd. 40,700 7,452
Assured Guaranty Ltd. 278,400 7,358
Voya Financial Inc. 192,500 7,105
* Walker & Dunlop Inc. 234,100 6,744
* MGIC Investment Corp. 723,700 6,390
* Synchrony Financial 210,000 6,386
AmTrust Financial Services Inc. 102,700 6,324
Heritage Insurance Holdings Inc. 285,200 6,223
Ameriprise Financial Inc. 58,300 6,204
* Santander Consumer USA Holdings Inc. 378,000 5,991
^ Universal Insurance Holdings Inc. 220,380 5,108
Digital Realty Trust Inc. 53,100 4,016
Apple Hospitality REIT Inc. 187,900 3,752
VEREIT Inc. 470,100 3,723
Hospitality Properties Trust 136,100 3,559
* INTL. FCStone Inc. 103,000 3,446
Communications Sales & Leasing Inc. 183,900 3,437
Welltower Inc. 49,800 3,388
Alexandria Real Estate Equities Inc. 35,000 3,163
Gramercy Property Trust 408,200 3,151
Summit Hotel Properties Inc. 261,900 3,130

 

 

  Kimco Realty Corp. 117,200 3,101
  CyrusOne Inc. 81,300 3,045
  SunTrust Banks Inc. 69,600 2,982
  GEO Group Inc. 103,100 2,981
  CubeSmart 94,700 2,900
  UDR Inc. 77,100 2,897
  Weingarten Realty Investors 83,100 2,874
  DuPont Fabros Technology Inc. 89,900 2,858
  American International Group Inc. 44,000 2,727
  AvalonBay Communities Inc. 14,100 2,596
  Ryman Hospitality Properties Inc. 50,100 2,587
  Mack-Cali Realty Corp. 102,400 2,391
  CBL & Associates Properties Inc. 164,300 2,032
  HCI Group Inc. 55,600 1,938
  General Growth Properties Inc. 66,200 1,801
  Maiden Holdings Ltd. 108,200 1,613
  Lexington Realty Trust 183,800 1,470
  Government Properties Income Trust 91,100 1,446
  Nasdaq Inc. 24,600 1,431
  Piedmont Office Realty Trust Inc. Class A 74,400 1,405
  First American Financial Corp. 32,400 1,163
* Flagstar Bancorp Inc. 47,700 1,102
  EPR Properties 18,100 1,058
  Xenia Hotels & Resorts Inc. 63,800 978
  HCP Inc. 22,900 876
  Great Western Bancorp Inc. 29,500 856
* Cowen Group Inc. Class A 218,500 837
* Realogy Holdings Corp. 14,600 535
*,^ Impac Mortgage Holdings Inc. 29,000 522
  Corrections Corp. of America 13,400 355
  Equity Residential 3,300 269
  OM Asset Management plc 17,400 267
  RAIT Financial Trust 56,100 152
* RMR Group Inc. Class A 3,242 47
      397,686
Health Care (12.0%)    
  Johnson & Johnson 353,250 36,286
  Pfizer Inc. 597,025 19,272
  Aetna Inc. 86,900 9,396
  Merck & Co. Inc. 176,101 9,302
  Anthem Inc. 64,500 8,994
* Express Scripts Holding Co. 86,700 7,578
  UnitedHealth Group Inc. 62,700 7,376
* HCA Holdings Inc. 103,100 6,973
  Bristol-Myers Squibb Co. 101,300 6,968
  Eli Lilly & Co. 79,900 6,732
* Quintiles Transnational Holdings Inc. 87,800 6,028
  Medtronic plc 75,400 5,800
  Abbott Laboratories 105,500 4,738
  AbbVie Inc. 52,100 3,086
  Cardinal Health Inc. 33,400 2,982
* Amsurg Corp. 37,300 2,835
* Charles River Laboratories International Inc. 29,700 2,388
  Amgen Inc. 14,500 2,354
* INC Research Holdings Inc. Class A 29,500 1,431
* ICU Medical Inc. 12,400 1,398
* Allergan plc 3,700 1,156

 

 

* Amedisys Inc. 23,300 916
* Affymetrix Inc. 65,400 660
      154,649
Industrials (10.0%)    
  General Electric Co. 1,069,540 33,316
  Northrop Grumman Corp. 53,100 10,026
  General Dynamics Corp. 69,400 9,533
  Owens Corning 155,400 7,308
* Spirit AeroSystems Holdings Inc. Class A 131,200 6,569
* JetBlue Airways Corp. 273,400 6,193
  Southwest Airlines Co. 140,100 6,033
  Comfort Systems USA Inc. 198,800 5,650
  PACCAR Inc. 118,600 5,622
  General Cable Corp. 363,600 4,883
  Emerson Electric Co. 92,800 4,439
  Alaska Air Group Inc. 50,900 4,098
  BWX Technologies Inc. 126,500 4,019
  Global Brass & Copper Holdings Inc. 159,800 3,404
  United Technologies Corp. 31,100 2,988
  Cintas Corp. 26,100 2,376
* ACCO Brands Corp. 312,400 2,227
  Lockheed Martin Corp. 8,500 1,846
  GATX Corp. 33,800 1,438
  SkyWest Inc. 68,900 1,310
  Ennis Inc. 62,700 1,207
  Raytheon Co. 8,300 1,034
  Pitney Bowes Inc. 38,600 797
* Virgin America Inc. 21,700 781
* Aegion Corp. Class A 31,400 606
  Trinity Industries Inc. 16,400 394
  National Presto Industries Inc. 4,500 373
* RPX Corp. 24,800 273
  Aircastle Ltd. 12,900 269
  FreightCar America Inc. 11,900 231
      129,243
Information Technology (10.8%)    
  Intel Corp. 517,300 17,821
  Microsoft Corp. 292,600 16,233
  Cisco Systems Inc. 370,200 10,053
  Booz Allen Hamilton Holding Corp. Class A 233,000 7,188
  Jabil Circuit Inc. 296,700 6,910
  CDW Corp. 161,900 6,806
* Electronic Arts Inc. 97,100 6,673
  International Business Machines Corp. 44,600 6,138
* Tech Data Corp. 89,500 5,941
* Sykes Enterprises Inc. 173,100 5,328
*,^ Fitbit Inc. Class A 173,400 5,131
  HP Inc. 397,000 4,700
* Cirrus Logic Inc. 153,800 4,542
* Sigma Designs Inc. 617,900 3,905
* Aspen Technology Inc. 100,700 3,802
  SYNNEX Corp. 41,800 3,759
  Computer Sciences Corp. 108,200 3,536
  CSRA Inc. 117,300 3,519
* NeoPhotonics Corp. 315,700 3,429
  Avnet Inc. 72,300 3,097

 

 

  EarthLink Holdings Corp.     379,500 2,820
  NVIDIA Corp.     82,100 2,706
  QUALCOMM Inc.     33,300 1,665
* Multi-Fineline Electronix Inc.     63,500 1,313
* Sanmina Corp.     56,500 1,163
  Leidos Holdings Inc.     18,500 1,041
* Extreme Networks Inc.     243,500 993
          140,212
Materials (2.8%)        
  Dow Chemical Co.     242,300 12,474
  Avery Dennison Corp.     107,800 6,755
  LyondellBasell Industries NV Class A     68,700 5,970
  International Paper Co.     158,100 5,960
  Domtar Corp.     57,900 2,140
  Cabot Corp.     30,000 1,226
  Bemis Co. Inc.     11,900 532
  Schnitzer Steel Industries Inc.     35,300 507
* Kraton Performance Polymers Inc.     19,100 317
          35,881
Telecommunication Services (2.2%)        
  AT&T Inc.     452,710 15,578
  Verizon Communications Inc.     169,800 7,848
  CenturyLink Inc.     126,800 3,190
* Cincinnati Bell Inc.     466,400 1,679
          28,295
Utilities (5.8%)        
  Exelon Corp.     347,400 9,647
  American Electric Power Co. Inc.     164,500 9,586
  PPL Corp.     271,600 9,270
  Public Service Enterprise Group Inc.     233,300 9,026
  FirstEnergy Corp.     269,700 8,558
  WGL Holdings Inc.     120,500 7,590
  DTE Energy Co.     84,400 6,768
  UGI Corp.     188,900 6,377
  Edison International     84,500 5,003
  CMS Energy Corp.     38,800 1,400
  Ormat Technologies Inc.     20,700 755
  American States Water Co.     14,000 587
  NextEra Energy Inc.     5,000 520
  Chesapeake Utilities Corp.     6,800 386
          75,473
Total Common Stocks (Cost $1,156,409)       1,284,387
          Market
          Value
    Coupon     ($000)
Temporary Cash Investments (1.5%)1        
Money Market Fund (1.4%)        
2,3 Vanguard Market Liquidity Fund 0.363%   18,572,849 18,573
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.1%)        
4,5 Federal Home Loan Bank Discount Notes 0.200% 2/19/16 500 499
Total Temporary Cash Investments (Cost $19,073)       19,072

 

 

Total Investments (100.9%) (Cost $1,175,482) 1,303,459
Other Assets and Liabilities-Net (-0.9%)2 (11,217)
Net Assets (100%) 1,292,242

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $10,588,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 99.9% and 1.0%, respectively, of net assets.
2 Includes $11,166,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
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 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
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 acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

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

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

The following table summarizes the market value of the fund's investments as of December 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,284,387 — —
Temporary Cash Investments 18,573 499 —
Futures Contracts—Assets1 1 — —
Futures Contracts—Liabilities1 (65) — —
Total 1,302,896 499 —
1 Represents variation margin on the last day of the reporting period.

 

 

U.S. Value Fund

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

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

At December 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
 
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation) 
E-mini S&P 500 Index March 2016 66 6,717 53

 

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

D. At December 31, 2015, the cost of investment securities for tax purposes was $1,175,516,000. Net unrealized appreciation of investment securities for tax purposes was $127,943,000, consisting of unrealized gains of $177,286,000 on securities that had risen in value since their purchase and $49,343,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Capital Value Fund

Schedule of Investments
As of December 31, 2015

    Market
    Value
  Shares ($000)
Common Stocks (99.5%)    
Consumer Discretionary (10.9%)    
* Amazon.com Inc. 27,887 18,849
Las Vegas Sands Corp. 350,344 15,359
* Kate Spade & Co. 399,105 7,092
Quebecor Inc. Class B 275,000 6,733
Ralph Lauren Corp. Class A 53,000 5,908
* Global Brands Group Holding Ltd. 26,480,000 5,015
* DISH Network Corp. Class A 85,140 4,868
* Deckers Outdoor Corp. 98,740 4,661
* Fiat Chrysler Automobiles NV 328,738 4,566
Sky plc 272,018 4,459
* TripAdvisor Inc. 49,927 4,256
Electrolux AB Class B 150,049 3,620
* LifeLock Inc. 246,286 3,534
* Vera Bradley Inc. 221,700 3,494
Sands China Ltd. 896,000 3,038
Wynn Resorts Ltd. 39,606 2,740
Melco Crown Entertainment Ltd. ADR 148,600 2,496
* Party City Holdco Inc. 187,926 2,426
Signet Jewelers Ltd. 19,003 2,351
Williams-Sonoma Inc. 38,735 2,263
Tribune Media Co. Class A 65,462 2,213
Nordstrom Inc. 43,458 2,165
DSW Inc. Class A 86,049 2,053
HSN Inc. 18,607 943
    115,102
Consumer Staples (1.1%)    
British American Tobacco plc 145,313 8,070
Avon Products Inc. 849,496 3,440
    11,510
Energy (12.2%)    
Pioneer Natural Resources Co. 196,622 24,652
* Cobalt International Energy Inc. 2,700,088 14,580
* Southwestern Energy Co. 1,590,634 11,309
Halliburton Co. 255,995 8,714
Canadian Natural Resources Ltd. 361,939 7,901
Anadarko Petroleum Corp. 128,900 6,262
* Diamondback Energy Inc. 86,637 5,796
* Rice Energy Inc. 524,620 5,718
Helmerich & Payne Inc. 91,233 4,886
Marathon Oil Corp. 369,500 4,652
* Continental Resources Inc. 175,440 4,032
Golar LNG Ltd. 254,913 4,025
National Oilwell Varco Inc. 109,023 3,651
HollyFrontier Corp. 89,177 3,557
* Karoon Gas Australia Ltd. 2,669,921 3,412
QEP Resources Inc. 247,100 3,311
* McDermott International Inc. 955,180 3,200
* Newfield Exploration Co. 92,194 3,002

 

 

  Cabot Oil & Gas Corp. 138,357 2,448
*,^ Trican Well Service Ltd. 3,665,782 1,696
*,^ Laredo Petroleum Inc. 127,381 1,018
      127,822
Financials (22.9%)    
  Citigroup Inc. 471,568 24,404
  MetLife Inc. 502,382 24,220
  American International Group Inc. 315,085 19,526
  JPMorgan Chase & Co. 276,904 18,284
  Bank of America Corp. 1,083,869 18,241
  PNC Financial Services Group Inc. 159,214 15,175
  Principal Financial Group Inc. 294,737 13,257
  American Tower Corporation 113,319 10,986
  Raymond James Financial Inc. 172,890 10,022
  Torchmark Corp. 146,255 8,360
  M&T Bank Corp. 68,216 8,266
* OneMain Holdings Inc. Class A 181,002 7,519
* Markit Ltd. 246,469 7,436
  Unum Group 204,849 6,819
  Columbia Property Trust Inc. 277,044 6,505
  Arthur J Gallagher & Co. 157,100 6,432
* LendingClub Corp. 485,060 5,360
* Santander Consumer USA Holdings Inc. 332,534 5,271
  AvalonBay Communities Inc. 24,231 4,462
  Weyerhaeuser Co. 132,600 3,975
  ACE Ltd. 30,371 3,549
  SL Green Realty Corp. 29,860 3,373
  Boston Properties Inc. 24,100 3,074
  Host Hotels & Resorts Inc. 194,700 2,987
  Equity LifeStyle Properties Inc. 43,210 2,881
* Synchrony Financial 11,281 343
      240,727
Health Care (16.7%)    
  Merck & Co. Inc. 648,954 34,278
*,^ TherapeuticsMD Inc. 3,127,483 32,432
* Allergan plc 65,113 20,348
* Mylan NV 312,461 16,895
  Bristol-Myers Squibb Co. 194,710 13,394
* Portola Pharmaceuticals Inc. 248,610 12,791
  Eisai Co. Ltd. 146,535 9,693
* Envision Healthcare Holdings Inc. 340,192 8,835
* Biogen Inc. 23,950 7,337
  AstraZeneca plc ADR 161,100 5,469
  Perrigo Co. plc 35,397 5,122
* Alder Biopharmaceuticals Inc. 152,346 5,032
* TESARO Inc. 72,500 3,793
      175,419
Industrials (8.2%)    
*,^ XPO Logistics Inc. 574,746 15,662
  Eaton Corp. plc 157,988 8,222
* Builders FirstSource Inc. 650,106 7,203
  CSX Corp. 244,600 6,347
* Genesee & Wyoming Inc. Class A 117,337 6,300
  Macquarie Infrastructure Corp. 79,379 5,763
* Clean Harbors Inc. 133,072 5,542
* Swift Transportation Co. 359,994 4,975

 

 

  United Parcel Service Inc. Class B 51,000 4,908
* Generac Holdings Inc. 143,426 4,270
  Sanwa Holdings Corp. 514,700 4,071
  Norfolk Southern Corp. 40,300 3,409
^ Sulzer AG 35,035 3,293
* WESCO International Inc. 71,372 3,117
* KLX Inc. 57,842 1,781
* Scorpio Bulkers Inc. 114,939 1,137
      86,000
Information Technology (15.7%)    
*,^ SunPower Corp. Class A 672,911 20,194
  Cisco Systems Inc. 693,454 18,831
* Alphabet Inc. 17,579 13,340
  Sumco Corp. 1,459,160 11,009
* ARRIS Group Inc. 324,338 9,915
*,^ Quotient Technology Inc. 1,442,344 9,837
* Alphabet Inc. Class A 11,474 8,927
* Synaptics Inc. 93,700 7,528
*,^ Gogo Inc. 409,366 7,287
*,^ Zillow Group Inc. 305,979 7,184
  Cypress Semiconductor Corp. 597,013 5,857
  Western Digital Corp. 97,100 5,831
  Samsung Electronics Co. Ltd. 5,289 5,641
* Envestnet Inc. 185,835 5,547
*,^ SunEdison Inc. 1,037,816 5,282
* Paysafe Group plc 875,055 4,762
* Micron Technology Inc. 245,381 3,475
  GCL-Poly Energy Holdings Ltd. 23,092,790 3,433
* SunEdison Semiconductor Ltd. 428,491 3,359
  Silicon Motion Technology Corp. ADR 92,431 2,899
*,^ Stratasys Ltd. 102,132 2,398
* Alibaba Group Holding Ltd. ADR 27,753 2,255
*,^ Shutterstock Inc. 15,162 490
      165,281
Materials (6.6%)    
  Reliance Steel & Aluminum Co. 242,887 14,065
  Norbord Inc. 634,895 12,366
  Methanex Corp. 254,400 8,398
* Louisiana-Pacific Corp. 419,331 7,552
  Celanese Corp. Class A 109,079 7,344
  Cabot Corp. 103,496 4,231
  Bemis Co. Inc. 84,400 3,772
  Huntsman Corp. 326,800 3,716
  Nucor Corp. 75,700 3,051
* Constellium NV Class A 314,509 2,422
  Wacker Chemie AG 20,460 1,710
  Chemours Co. 202,000 1,083
      69,710
Other (0.2%)    
*,1 Allstar Co-Invest LLC Private Placement NA 1,565
* GCL-Poly Energy Holdings Ltd. Rights Expire 1/20/16 4,669,158 24
      1,589
Telecommunication Services (1.6%)    
  Verizon Communications Inc. 210,053 9,709
  SoftBank Group Corp. 76,955 3,884

 

 

* T-Mobile US Inc.     89,600 3,505
        17,098
Utilities (3.4%)        
PG&E Corp.     251,062 13,354
Exelon Corp.     447,140 12,417
OGE Energy Corp.     199,200 5,237
Pattern Energy Group Inc. Class A     132,677 2,774
Edison International     34,600 2,049
        35,831
Total Common Stocks (Cost $1,106,277)       1,046,089
Preferred Stocks (0.6%)        
*,2 Lithium Technologies Inc. Pfd. (Cost $5,828)   1,195,700 6,684
  Coupon      
Temporary Cash Investments (2.7%)        
Money Market Fund (2.6%)        
3,4 Vanguard Market Liquidity Fund 0.363%   27,630,250 27,630
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.1%)      
United States Treasury Bill 0.110%-0.125% 2/18/16 635 635
Total Temporary Cash Investments (Cost $28,265)     28,265
Total Investments (102.8%) (Cost $1,140,370)     1,081,038
Other Assets and Liabilities-Net (-2.8%)4       (29,011)
Net Assets (100%)       1,052,027

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $25,449,000.
1 Restricted security represents 0.2% of net assets. Shares not applicable for this private placement.
2 Restricted security represents 0.6% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
4 Includes $27,630,000 of collateral received for securities on loan.
ADR—American Depositary Receipt.

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 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as

 

Capital Value Fund

furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market 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—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of December 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 964,824 79,700 1,565
Preferred Stocks — — 6,684
Temporary Cash Investments 27,630 635 —
Forward Currency Contracts—Assets — 265 —
Total 992,454 80,600 8,249

 

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. 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

 

Capital Value Fund

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

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

At December 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

    Contract Amount (000)  
          Unrealized
  Contract       Appreciation
  Settlement       (Depreciation)
Counterparty Date   Receive Deliver ($000)
Citibank, N.A. 3/16/16 USD 9,102 GBP 5,994 265
GBP—British pound.
USD—U.S. dollar.

 

E. At December 31, 2015, the cost of investment securities for tax purposes was $1,140,370,000. Net unrealized depreciation of investment securities for tax purposes was $59,332,000, consisting of unrealized gains of $124,214,000 on securities that had risen in value since their purchase and $183,546,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Vanguard Institutional Intermediate-Term Bond Fund

Schedule of Investments
As of December 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (59.3%)        
U.S. Government Securities (28.2%)        
  United States Treasury Inflation Indexed        
  Bonds 0.375% 7/15/25 109,682 106,446
  United States Treasury Note/Bond 0.375% 3/15/16 12,500 12,504
  United States Treasury Note/Bond 2.000% 4/30/16 4,942 4,967
  United States Treasury Note/Bond 7.250% 5/15/16 25,325 25,938
  United States Treasury Note/Bond 0.625% 7/15/16 6,500 6,501
  United States Treasury Note/Bond 0.625% 8/15/16 78,200 78,188
  United States Treasury Note/Bond 0.500% 9/30/16 25 25
  United States Treasury Note/Bond 0.500% 11/30/16 1,000 998
  United States Treasury Note/Bond 0.875% 11/30/16 2,405 2,407
1,2 United States Treasury Note/Bond 0.750% 1/15/17 209,918 209,754
  United States Treasury Note/Bond 0.500% 3/31/17 51,900 51,673
  United States Treasury Note/Bond 1.000% 3/31/17 8,838 8,853
  United States Treasury Note/Bond 0.875% 4/15/17 44,926 44,919
3 United States Treasury Note/Bond 8.750% 5/15/17 21,707 24,003
  United States Treasury Note/Bond 0.625% 6/30/17 6,350 6,318
  United States Treasury Note/Bond 0.875% 8/15/17 15,150 15,117
  United States Treasury Note/Bond 0.625% 8/31/17 59,800 59,417
  United States Treasury Note/Bond 1.875% 8/31/17 28,655 29,054
4 United States Treasury Note/Bond 0.625% 9/30/17 81,550 80,989
  United States Treasury Note/Bond 0.875% 10/15/17 1,560 1,555
  United States Treasury Note/Bond 0.625% 11/30/17 54,700 54,256
  United States Treasury Note/Bond 2.250% 11/30/17 650 664
  United States Treasury Note/Bond 1.000% 12/15/17 42,750 42,697
  United States Treasury Note/Bond 0.750% 12/31/17 52,300 51,957
  United States Treasury Note/Bond 1.000% 12/31/17 49,100 49,046
  United States Treasury Note/Bond 1.000% 2/15/18 750 748
  United States Treasury Note/Bond 1.000% 5/31/18 1,000 995
  United States Treasury Note/Bond 1.125% 6/15/18 3,000 2,994
  United States Treasury Note/Bond 1.000% 8/15/18 1,500 1,491
  United States Treasury Note/Bond 1.000% 9/15/18 1,000 993
  United States Treasury Note/Bond 1.250% 12/15/18 79,900 79,738
  United States Treasury Note/Bond 2.750% 2/15/19 58,206 60,652
  United States Treasury Note/Bond 1.375% 2/28/19 32,131 32,111
  United States Treasury Note/Bond 1.625% 4/30/19 16,173 16,269
  United States Treasury Note/Bond 3.125% 5/15/19 118,795 125,348
  United States Treasury Note/Bond 1.125% 5/31/19 64,083 63,362
  United States Treasury Note/Bond 0.875% 7/31/19 13,100 12,805
  United States Treasury Note/Bond 3.625% 8/15/19 706 758
  United States Treasury Note/Bond 1.000% 8/31/19 39,984 39,197
4 United States Treasury Note/Bond 1.750% 9/30/19 173,000 174,190
  United States Treasury Note/Bond 3.375% 11/15/19 15,086 16,109
  United States Treasury Note/Bond 1.625% 12/31/19 31,600 31,600
  United States Treasury Note/Bond 1.250% 1/31/20 35,900 35,350
  United States Treasury Note/Bond 3.625% 2/15/20 72,356 78,054
  United States Treasury Note/Bond 1.375% 3/31/20 10,950 10,817
  United States Treasury Note/Bond 1.375% 4/30/20 50 49
  United States Treasury Note/Bond 1.625% 6/30/20 126,300 125,787
  United States Treasury Note/Bond 1.375% 9/30/20 51,400 50,516

 

 

  United States Treasury Note/Bond 1.375% 10/31/20 19,350 19,011
  United States Treasury Note/Bond 1.750% 10/31/20 41,300 41,236
  United States Treasury Note/Bond 2.000% 11/30/20 4,300 4,344
  United States Treasury Note/Bond 1.750% 12/31/20 36,550 36,527
  United States Treasury Note/Bond 2.125% 1/31/21 3,594 3,647
  United States Treasury Note/Bond 1.750% 5/15/22 10,333 10,162
  United States Treasury Note/Bond 2.125% 6/30/22 82,300 82,698
  United States Treasury Note/Bond 1.750% 9/30/22 51,500 50,462
  United States Treasury Note/Bond 1.625% 11/15/22 15,050 14,617
  United States Treasury Note/Bond 1.750% 5/15/23 11,300 11,005
  United States Treasury Note/Bond 2.500% 5/15/24 11,500 11,746
  United States Treasury Note/Bond 2.375% 8/15/24 43,550 43,986
          2,257,620
Agency Bonds and Notes (4.0%)        
14 AID-Jordan 2.578% 6/30/22 24,000 24,297
14 AID-Tunisia 2.452% 7/24/21 8,433 8,494
14 AID-Ukraine 1.847% 5/29/20 26,000 25,890
5 Federal Home Loan Banks 0.375% 6/10/16 36,000 35,972
5 Federal Home Loan Banks 2.000% 9/9/16 7,670 7,736
5 Federal Home Loan Banks 0.625% 11/23/16 19,250 19,219
5 Federal Home Loan Banks 0.750% 8/28/17 36,700 36,505
6 Federal Home Loan Mortgage Corp. 1.000% 3/8/17 4,450 4,456
6,7 Federal Home Loan Mortgage Corp. 0.875% 6/16/17 50,000 49,877
6 Federal Home Loan Mortgage Corp. 0.750% 1/12/18 48,650 48,247
6 Federal National Mortgage Assn. 1.125% 10/19/18 16,200 16,100
6 Federal National Mortgage Assn. 1.125% 12/14/18 29,350 29,117
6 Federal National Mortgage Assn. 1.750% 6/20/19 3,500 3,526
6 Federal National Mortgage Assn. 1.500% 11/30/20 7,900 7,766
          317,202
Conventional Mortgage-Backed Securities (27.1%)        
6,7 Fannie Mae Pool 2.000% 5/1/28–8/1/28 5,982 5,885
6,7,8 Fannie Mae Pool 2.500% 1/1/28–2/1/43 128,754 129,707
6,7 Fannie Mae Pool 3.000% 5/1/27–1/1/46 114,384 116,605
6,7,8 Fannie Mae Pool 3.500% 8/1/20–1/1/46 296,903 307,123
6,7 Fannie Mae Pool 4.000% 7/1/18–8/1/45 163,237 173,344
6,7,8 Fannie Mae Pool 4.500% 10/1/17–1/1/46 78,121 84,249
6,7 Fannie Mae Pool 5.000% 4/1/16–11/1/44 56,319 62,010
6,7 Fannie Mae Pool 5.500% 1/1/17–6/1/40 41,220 45,850
6,7 Fannie Mae Pool 6.000% 12/1/16–11/1/39 21,832 24,670
6,7 Fannie Mae Pool 6.500% 5/1/16–8/1/39 12,531 14,396
6,7 Fannie Mae Pool 7.000% 5/1/16–9/1/38 5,502 6,319
6,7 Fannie Mae Pool 7.500% 8/1/30–6/1/32 512 575
6,7 Fannie Mae Pool 8.000% 7/1/30–1/1/31 24 27
6,7 Fannie Mae Pool 8.500% 12/1/30 12 14
6,7 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 7,160 7,016
6,7,8 Freddie Mac Gold Pool 2.500% 9/1/27–4/1/43 37,646 37,940
6,7 Freddie Mac Gold Pool 3.000% 8/1/26–1/1/46 79,282 80,187
6,7 Freddie Mac Gold Pool 3.500% 8/1/20–8/1/45 228,848 236,777
6,7 Freddie Mac Gold Pool 4.000% 5/1/18–9/1/45 84,446 89,388
6,7,8 Freddie Mac Gold Pool 4.500% 10/1/18–1/1/46 48,402 52,165
6,7 Freddie Mac Gold Pool 5.000% 12/1/17–4/1/41 23,415 25,355
6,7 Freddie Mac Gold Pool 5.500% 1/1/16–1/1/46 16,405 18,327
6,7 Freddie Mac Gold Pool 6.000% 7/1/20–5/1/40 31,833 36,050
6,7 Freddie Mac Gold Pool 6.500% 1/1/16–9/1/38 7,248 8,343
6,7 Freddie Mac Gold Pool 7.000% 1/1/16–6/1/38 3,547 4,061
6,7 Freddie Mac Gold Pool 7.500% 3/1/30–5/1/32 380 443

 

 

6,7 Freddie Mac Gold Pool 8.000% 4/1/30–1/1/31 37 42
7 Ginnie Mae I Pool 2.500% 1/15/43–6/15/43 1,285 1,252
7 Ginnie Mae I Pool 3.000% 9/15/42–8/15/45 21,541 21,873
7 Ginnie Mae I Pool 3.500% 1/15/42–7/15/45 19,459 20,293
7 Ginnie Mae I Pool 4.000% 3/15/39–3/15/45 22,259 23,650
7,8 Ginnie Mae I Pool 4.500% 2/15/39–1/1/46 35,991 39,152
7 Ginnie Mae I Pool 5.000% 2/15/33–1/1/46 14,669 16,382
7 Ginnie Mae I Pool 5.500% 3/15/31–7/15/40 12,261 13,844
7 Ginnie Mae I Pool 6.000% 2/15/17–3/15/40 6,419 7,240
7 Ginnie Mae I Pool 6.500% 12/15/27–6/15/38 5,555 6,378
7 Ginnie Mae I Pool 7.000% 8/15/24–11/15/31 330 365
7 Ginnie Mae I Pool 7.500% 4/15/17–3/15/32 54 61
7 Ginnie Mae I Pool 8.000% 4/15/30–10/15/30 61 70
7 Ginnie Mae I Pool 8.500% 7/15/30 22 24
7 Ginnie Mae I Pool 9.000% 1/15/20–7/15/21 5 5
7 Ginnie Mae II Pool 2.500% 3/20/43–4/20/43 4,281 4,171
7 Ginnie Mae II Pool 3.000% 6/20/43–1/1/46 72,685 73,742
7 Ginnie Mae II Pool 3.500% 8/20/42–1/1/46 170,425 177,982
7 Ginnie Mae II Pool 4.000% 2/20/34–11/20/45 102,485 109,191
7 Ginnie Mae II Pool 4.500% 3/20/33–3/20/45 42,897 46,240
7 Ginnie Mae II Pool 5.000% 5/20/39–1/1/46 25,012 27,456
7 Ginnie Mae II Pool 5.500% 4/20/37–3/20/41 6,018 6,701
7 Ginnie Mae II Pool 6.000% 5/20/36–10/20/41 9,283 10,463
7 Ginnie Mae II Pool 6.500% 3/20/38–7/20/39 105 120
          2,173,523
Nonconventional Mortgage-Backed Securities (0.0%)        
6,7,9 Fannie Mae Pool 2.319% 12/1/32 10 11
6,7,9 Fannie Mae Pool 2.460% 5/1/33 97 103
6,7,9 Fannie Mae Pool 2.465% 9/1/32 1 1
6,7,9 Fannie Mae Pool 2.535% 8/1/33 122 127
6,7,9 Fannie Mae Pool 2.550% 7/1/33 190 195
6,7,9 Fannie Mae Pool 2.610% 5/1/33 23 25
6,7,9 Freddie Mac Non Gold Pool 2.500% 8/1/37 114 123
6,7,9 Freddie Mac Non Gold Pool 2.551% 1/1/33 13 14
6,7,9 Freddie Mac Non Gold Pool 2.586% 2/1/33 51 53
6,7,9 Freddie Mac Non Gold Pool 2.825% 10/1/32 30 32
          684
Total U.S. Government and Agency Obligations (Cost $4,735,337)   4,749,029
Asset-Backed/Commercial Mortgage-Backed Securities (11.9%)      
7 Ally Auto Receivables Trust 2014-SN1 0.950% 6/20/18 3,140 3,134
7 Ally Auto Receivables Trust 2014-SN2 1.210% 2/20/19 5,000 4,977
7 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 1,400 1,392
7 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 1,600 1,589
7 Ally Auto Receivables Trust 2015-2 1.840% 6/15/20 2,920 2,905
7 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 2,360 2,347
7,9 Ally Master Owner Trust Series 2014-1 0.800% 1/15/19 2,781 2,776
7 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 3,230 3,226
7 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 5,383 5,365
7 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 8,920 8,877
7 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 19,270 19,065
7,9 American Express Credit Account Secured        
  Note Trust 2012-4 0.570% 5/15/20 12,542 12,508
7,9 American Express Credit Account Secured        
  Note Trust 2013-3 0.701% 12/15/21 12,202 12,153
7,9 American Express Issuance Trust II 2013-1 0.610% 2/15/19 10,750 10,707
7,9 American Express Issuance Trust II 2013-2 0.761% 8/15/19 3,317 3,314

 

 

7,10 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 5,132 5,650
7,9,10Arran Residential Mortgages Funding 2011-1        
  plc 1.817% 11/19/47 448 449
10 Australia & New Zealand Banking Group Ltd. 2.400% 11/23/16 5,077 5,124
7,10 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 400 417
7,9 BA Credit Card Trust 2014-A1 0.710% 6/15/21 15,428 15,396
7 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 715 733
7,9,10Bank of America Student Loan Trust 2010-1A 1.120% 2/25/43 6,715 6,626
  Bank of Nova Scotia 1.850% 4/14/20 4,365 4,290
7 Barclays Dryrock Issuance Trust 2014-3 2.410% 7/15/22 9,200 9,231
7 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 1,924 1,955
7 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.722% 6/11/40 10,213 10,530
7,9,10BMW Floorplan Master Owner Trust 2015-1A 0.830% 7/15/20 6,185 6,140
7 BMW Vehicle Owner Trust 2015-2 1.550% 2/20/19 3,160 3,136
7,9 Brazos Higher Education Authority Inc. Series        
  2005-3 0.803% 6/25/26 3,410 3,279
7,9 Brazos Higher Education Authority Inc. Series        
  2011-1 1.182% 2/25/30 2,490 2,474
7 Cabela's Credit Card Master Note Trust 2015-        
  1A 2.260% 3/15/23 1,430 1,423
7,9 Cabela's Credit Card Master Note Trust 2015-        
  2A 1.001% 7/17/23 3,225 3,216
10 Canadian Imperial Bank of Commerce 2.250% 7/21/20 3,120 3,117
7,9 Capital One Multi-Asset Execution Trust 2014-        
  A3 0.710% 1/18/22 11,094 11,055
7 Capital One Multi-Asset Execution Trust 2015-        
  A2 2.080% 3/15/23 6,480 6,426
7 Capital One Multi-asset Execution Trust 2015-        
  A4 2.750% 5/15/25 7,765 7,834
7 Capital One Multi-asset Execution Trust 2015-        
  A8 2.050% 8/15/23 11,390 11,237
7 Carmax Auto Owner Trust 2014-4 1.810% 7/15/20 2,100 2,089
7 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 1,860 1,847
7 Carmax Auto Owner Trust 2015-2 1.800% 3/15/21 1,690 1,673
7 Carmax Auto Owner Trust 2015-3 1.980% 2/16/21 1,265 1,257
7 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 5,853 5,885
7,10 CFCRE Commercial Mortgage Trust 2011-C2 5.574% 12/15/47 2,054 2,367
7 Chase Issuance Trust 2014-A2 2.770% 3/15/23 2,333 2,373
7,10 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.340% 12/17/18 2,586 2,582
7,10 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.260% 10/15/20 2,790 2,781
7,10 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 2,062 2,060
7,9 Citibank Credit Card Issuance Trust 2008-A7 1.777% 5/20/20 3,898 3,988
7,9 Citibank Credit Card Issuance Trust 2013-A2 0.698% 5/26/20 14,014 13,970
7,9 Citibank Credit Card Issuance Trust 2013-A2 0.723% 9/10/20 10,049 10,039
7 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 4,486 4,582
7 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 12,870 12,933
7 Citigroup Commercial Mortgage Trust 2006-        
  C5 5.431% 10/15/49 2,458 2,500
7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 1,280 1,286

 

 

7,10 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 400 415
7 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 1,309 1,307
7 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 333 352
7 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 3,380 3,548
7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 65 67
7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 800 820
7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 2,308 2,397
7 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 940 960
7 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 130 132
7 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 480 479
7 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 3,280 3,337
7 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 2,670 2,734
7 CNH Equipment Trust 2041-A 1.500% 5/15/20 3,409 3,382
7 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 5,253 5,432
7 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 430 427
7 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 1,616 1,656
7 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 8,035 8,185
7 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 595 601
7 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 893 932
7 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 1,221 1,212
7 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 518 511
7 COMM 2012-CR3 Mortgage Trust 2.822% 10/15/45 1,531 1,515
7 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 1,835 1,952
7 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 842 902
7 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 655 684
7 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 1,845 1,953
7 COMM 2013-CCRE9 Mortgage Trust 4.233% 7/10/45 3,603 3,878
7,10 COMM 2013-CCRE9 Mortgage Trust 4.257% 7/10/45 2,083 2,219
7 COMM 2013-CR13 Mortgage Trust 4.194% 11/10/23 1,724 1,838
7,10 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 546 575
7 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 150 160
7 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 834 830
7,10 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 500 495
7 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 470 493
7 COMM 2014-CR14 Mortgage Trust 4.236% 2/10/47 593 634
7 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 1,172 1,227
7 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 295 311
7 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 100 104
7 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 3,205 3,326
7 COMM 2014-CR20 Mortgage Trust 3.590% 11/10/47 3,120 3,168
7 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 1,375 1,430
7 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 25 25
7 COMM 2015-CR24 Mortgage Trust 3.445% 8/10/55 310 320
7 COMM 2015-CR24 Mortgage Trust 3.696% 8/10/55 2,450 2,501

 

 

7 COMM 2015-CR25 Mortgage Trust 3.759% 8/10/48 850 870
7 COMM 2015-CR26 Mortgage Trust 3.630% 10/10/48 6,500 6,572
7 COMM 2015-CR27 Mortgage Trust 3.612% 10/10/48 4,260 4,306
10 Commonwealth Bank of Australia 2.000% 6/18/19 2,602 2,592
10 Commonwealth Bank of Australia 2.125% 7/22/20 2,720 2,684
7 CSAIL Commercial Mortgage Trust 2015-C3 3.718% 8/15/48 1,345 1,373
7 CSAIL Commercial Mortgage Trust 2015-C4 3.808% 11/15/48 145 148
7 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 13,138 12,983
7,9 Discover Card Execution Note Trust 2013-A1 0.631% 8/17/20 3,294 3,286
7,9 Discover Card Execution Note Trust 2013-A6 0.781% 4/15/21 5,095 5,090
7 Discover Card Execution Note Trust 2014-A4 2.120% 12/15/21 6,500 6,512
7 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 9,500 9,415
10 DNB Boligkreditt AS 1.450% 3/21/18 1,198 1,190
7,10 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 457 457
7,10 Enterprise Fleet Financing LLC Series 2013-2 1.510% 3/20/19 799 797
7,10 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 3,300 3,252
7 Fifth Third Auto 2013-1 1.300% 2/18/20 8,361 8,354
7,9 First National Master Note Trust 2013-2 0.861% 10/15/19 4,108 4,104
7,9 First National Master Note Trust 2015-1 1.100% 9/15/20 2,790 2,794
7 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 1,450 1,439
7 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 2,285 2,267
7,10 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 3,159 3,161
7,10 Ford Credit Auto Owner Trust 2015-2 2.440% 1/15/27 9,700 9,664
7 Ford Credit Auto Owner Trust 2015-C 1.740% 2/15/21 4,455 4,429
7,9 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.830% 2/15/21 6,191 6,172
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 8,705 8,604
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 9,340 9,330
7 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 2,986 2,996
7,9 GE Capital Credit Card Master Note Trust        
  Series 2012-3 0.781% 3/15/20 23,000 22,947
7 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 8,481 8,429
7,9 GE Dealer Floorplan Master Note Trust Series        
  2012-2 1.152% 4/22/19 6,570 6,575
7,9 GE Dealer Floorplan Master Note Trust Series        
  2014-1 0.782% 7/20/19 9,800 9,759
7,9 GE Dealer Floorplan Master Note Trust Series        
  2014-2 0.852% 10/20/19 2,600 2,590
7,9 GE Dealer Floorplan Master Note Trust Series        
  2015-2 1.052% 1/20/22 7,890 7,709
7,10 GM Financial Leasing Trust 2014-1A 1.300% 5/21/18 1,920 1,916
7 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 950 944
7 GM Financial Leasing Trust 2015-3 1.690% 3/20/19 3,880 3,850
7 GM Financial Leasing Trust 2015-3 1.810% 11/20/19 400 396
7,10 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 8,041 8,050
7,9,10Golden Credit Card Trust 2014-2A 0.781% 3/15/21 2,781 2,768
7,10 Great America Leasing Receivables 2013-1 1.160% 5/15/18 1,790 1,786
7,10 Great America Leasing Receivables 2014-1 1.470% 8/15/20 1,077 1,070
7 GS Mortgage Securities Trust 2006-GG8 5.560% 11/10/39 5,244 5,313
7,10 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 233 258
7 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 789 789
7 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 4,595 4,806
7 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 80 82

 

 

7 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 1,120 1,147
7 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 6,080 6,093
7 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 2,239 2,230
7 Harley-Davidson Motorcycle Trust 2014-1 1.550% 10/15/21 2,692 2,677
7,10 Hertz Vehicle Financing LLC 2015-3 2.670% 9/25/21 5,580 5,518
7,10 Hilton USA Trust 2013-HLT 2.662% 11/5/30 699 698
7 Honda Auto Receivables 2014-4 Owner Trust 1.460% 10/15/20 930 927
7 Honda Auto Receivables 2015-4 Owner Trust 1.440% 1/21/22 6,140 6,058
7,10 Hyundai Auto Lease Securitization Trust        
  2014-A 1.010% 9/15/17 987 986
7 Hyundai Auto Receivables Trust 2015-C 1.780% 11/15/21 2,910 2,894
9 Illinois Student Assistance Commission Series        
  2010-1 1.370% 4/25/22 2,062 2,062
7,10 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 1,906 1,896
7 John Deere Owner Trust 2015-B 1.780% 6/15/22 480 478
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 3,547 3,558
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 3,093 3,181
7,10 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 2,819 3,065
7,10 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.323% 8/15/46 833 943
7,10 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-RR1 4.717% 3/16/46 8,782 9,648
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 425 439
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 944 938
7,10 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 833 847
7,10 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 1,548 1,559
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 2,453 2,595
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 452 472
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 100 105
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 1,120 1,192
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 1,676 1,667
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 2,680 2,780
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.025% 7/15/45 1,309 1,375
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 358 375
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 270 288
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 179 187
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 3,606 3,884
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 2,232 2,368

 

 

7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 402 429
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 580 593
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 970 996
7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 4,280 4,358
7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.562% 12/15/48 155 158
7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 2,430 2,487
7,9,10Lanark Master Issuer plc 2012-2A 1.778% 12/22/54 706 707
7,9,10Lanark Master Issuer plc 2013-1A 0.878% 12/22/54 5,771 5,758
7 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 4,610 4,612
7 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 3,482 3,540
7 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 4,534 4,623
7 LB-UBS Commercial Mortgage Trust 2008-C1 6.087% 4/15/41 7,827 8,364
7,10 M&T Bank Auto Receivables Trust 2013-1A 1.570% 8/15/18 3,123 3,130
7,10 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 115 115
7,9 MBNA Credit Card Master Note Trust 2004-        
  A3 0.591% 8/16/21 15,215 15,104
7 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 4,550 4,515
7 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 830 840
7 ML-CFC Commercial Mortgage Trust 2006-2 5.880% 6/12/46 2,280 2,298
7 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 1,721 1,718
7,10 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 1,744 1,746
7,10 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 6,271 6,362
7,10 MMAF Equipment Finance LLC 2012-A 1.680% 5/11/20 1,732 1,719
7,10 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 599 597
7,10 MMAF Equipment Finance LLC 2012-A 2.570% 6/9/33 895 896
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 2,328 2,362
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 416 432
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 1,132 1,125
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.081% 7/15/46 4,581 4,872
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 880 938
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.214% 8/15/46 350 374
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 375 393
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 75 79
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 358 378
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 179 192
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 2,300 2,426
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 2,464 2,567
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 295 307

 

 

7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 4/15/48 1,010 997
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 2,800 2,861
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.383% 10/15/48 2,640 2,686
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 4,345 4,392
7 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 5,277 5,344
7 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 1,933 1,975
7,10 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 1,982 1,996
7,9 Navient Student Loan Trust 2014-8 0.862% 4/25/23 8,100 7,987
7,9 Navient Student Loan Trust 2015-3 1.072% 6/26/56 4,800 4,710
7 Nissan Auto Lease Trust 2014-A 1.040% 10/15/19 4,486 4,475
7 Nissan Auto Lease Trust 2015-A 1.580% 5/17/21 875 872
7 Nissan Auto Receivables 2015-B Owner Trust 1.500% 9/15/21 6,990 6,910
7 Nissan Auto Receivables 2015-B Owner Trust 1.790% 1/17/22 775 771
7 Nissan Auto Receivables 2015-C Owner Trust 1.670% 2/15/22 15,000 14,815
7,9 Nissan Master Owner Trust Receivables        
  Series 2013-A 0.631% 2/15/18 1,822 1,822
7 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 7,500 7,448
10 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 3,200 3,198
9 North Carolina State Education Assistance        
  Authority 2011-1 1.220% 1/26/26 1,289 1,289
  Royal Bank of Canada 1.875% 2/5/20 4,800 4,719
  Royal Bank of Canada 2.100% 10/14/20 4,360 4,289
7,9 SLM Student Loan Trust 2005-5 0.420% 4/25/25 11,183 11,025
7,9 SLM Student Loan Trust 2014-1 0.802% 7/26/21 5,196 5,141
7 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 357 356
7 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 836 834
7 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 1,420 1,413
7 SMART ABS Series 2014-1US Trust 1.680% 12/14/19 269 267
10 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 998 984
7,10 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 5,077 4,965
10 Swedbank Hypotek AB 1.375% 3/28/18 1,131 1,123
7 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 2,560 2,550
7 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 3,500 3,479
7 Synchrony Credit Card Master Note Trust        
  2015-3 2.380% 9/15/23 5,760 5,723
7 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 244 256
7,10 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 3,870 3,948
7 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 1,340 1,323
7,10 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 2,470 2,437
7 Volkswagen Auto Lease Trust 2014-A 0.990% 7/20/18 2,153 2,143
7 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 3,408 3,485
7 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 863 864
7 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 327 336
7 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 416 442

 

 

7 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 290 309
7 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 90 90
7 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 215 212
7 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 550 557
7 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 7,160 7,269
7 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 3,100 3,085
7 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 1,870 1,897
7 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 3,340 3,476
7 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 12/15/47 240 247
7 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 12/15/47 720 740
10 Westpac Banking Corp. 2.450% 11/28/16 4,837 4,886
10 Westpac Banking Corp. 1.850% 11/26/18 1,028 1,023
10 Westpac Banking Corp. 2.250% 11/9/20 3,460 3,412
7,10 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 1,221 1,322
7 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 1,072 1,104
7 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 610 646
7 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 208 208
7 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 2,428 2,411
7 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 566 574
7 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 476 499
7 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 225 241
7 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 161 168
7 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 595 624
7 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 1,488 1,578
7 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 461 489
7 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 595 624
7 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 1,210 1,236
7 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 140 144
7 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 692 735
7 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 1,732 1,724
7,9 World Financial Network Credit Card Master        
  Note Trust Series 2014-A 0.710% 12/15/19 6,729 6,729
7,9 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.811% 2/15/22 2,585 2,569
7 World Omni Auto Receivables Trust 2013-B 1.320% 1/15/20 1,953 1,944
7 World Omni Auto Receivables Trust 2014-B 1.680% 12/15/20 3,360 3,327

 

 

7 World Omni Auto Receivables Trust 2015-B 1.840% 1/17/22 15,000 14,825
7 World Omni Automobile Lease Securitization        
  Trust 2015-A 1.730% 12/15/20 850 850
7,9,10World Omni Master Owner Trust 2013-1 0.681% 2/15/18 1,612 1,612
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $954,463)   949,865
Corporate Bonds (20.1%)        
Finance (9.5%)        
  Banking (8.0%)        
  Abbey National Treasury Services plc 1.375% 3/13/17 760 757
  Abbey National Treasury Services plc 1.650% 9/29/17 4,500 4,490
  Abbey National Treasury Services plc 3.050% 8/23/18 3,410 3,498
  Abbey National Treasury Services plc 4.000% 3/13/24 4,490 4,671
10 ABN AMRO Bank NV 2.450% 6/4/20 3,345 3,318
  American Express Bank FSB 6.000% 9/13/17 1,000 1,071
  American Express Centurion Bank 6.000% 9/13/17 1,731 1,855
  American Express Credit Corp. 1.875% 11/5/18 4,107 4,087
  American Express Credit Corp. 2.250% 8/15/19 1,800 1,800
  American Express Credit Corp. 2.375% 5/26/20 4,900 4,855
  Australia & New Zealand Banking Group Ltd. 2.000% 11/16/18 3,640 3,632
  Australia & New Zealand Banking Group Ltd. 2.700% 11/16/20 3,195 3,205
10 Australia & New Zealand Banking Group Ltd. 4.500% 3/19/24 3,590 3,602
  Bank of America NA 1.250% 2/14/17 4,130 4,123
  Bank of Montreal 2.550% 11/6/22 3,140 3,105
  Bank of New York Mellon Corp. 1.969% 6/20/17 2,880 2,903
  Bank of New York Mellon Corp. 4.600% 1/15/20 3,770 4,082
  Bank of New York Mellon Corp. 2.150% 2/24/20 590 584
  Bank of New York Mellon Corp. 2.600% 8/17/20 1,246 1,251
  Bank of New York Mellon Corp. 4.150% 2/1/21 2,000 2,152
  Bank of New York Mellon Corp. 3.400% 5/15/24 1,890 1,920
  Bank of New York Mellon Corp. 3.000% 2/24/25 600 590
  Bank of Nova Scotia 1.450% 4/25/18 1,193 1,187
  Bank of Nova Scotia 2.050% 10/30/18 11,910 11,952
  Bank of Nova Scotia 2.350% 10/21/20 2,680 2,656
  Bank of Nova Scotia 4.375% 1/13/21 4,490 4,849
  Bank of Nova Scotia 2.800% 7/21/21 2,648 2,682
10 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 4,192 4,188
10 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 7,720 7,746
  Barclays Bank plc 3.750% 5/15/24 2,250 2,290
  BB&T Corp. 2.050% 6/19/18 3,798 3,816
  Bear Stearns Cos. LLC 6.400% 10/2/17 7,190 7,743
  Bear Stearns Cos. LLC 7.250% 2/1/18 5,050 5,561
  BNP Paribas SA 1.375% 3/17/17 1,800 1,797
  BNP Paribas SA 2.700% 8/20/18 3,590 3,638
  BNP Paribas SA 2.400% 12/12/18 5,350 5,392
  BPCE SA 2.500% 12/10/18 7,485 7,559
  BPCE SA 2.500% 7/15/19 2,225 2,231
  BPCE SA 4.000% 4/15/24 5,750 5,955
  Branch Banking & Trust Co. 3.625% 9/16/25 1,525 1,539
  Commonwealth Bank of Australia 1.625% 3/12/18 2,680 2,673
  Commonwealth Bank of Australia 2.500% 9/20/18 9,880 10,030
  Commonwealth Bank of Australia 1.750% 11/2/18 710 705
  Commonwealth Bank of Australia 2.250% 3/13/19 2,000 2,006
  Commonwealth Bank of Australia 2.300% 9/6/19 4,449 4,439
10 Commonwealth Bank of Australia 5.000% 3/19/20 2,970 3,254
  Commonwealth Bank of Australia 2.400% 11/2/20 1,355 1,342
10 Commonwealth Bank of Australia 4.500% 12/9/25 3,125 3,090
  Cooperatieve Rabobank UA 2.250% 1/14/19 3,590 3,605

 

 

  Cooperatieve Rabobank UA 2.250% 1/14/20 750 745
  Cooperatieve Rabobank UA 3.875% 2/8/22 4,187 4,406
  Cooperatieve Rabobank UA 4.625% 12/1/23 10,840 11,287
  Cooperatieve Rabobank UA 3.375% 5/21/25 1,292 1,279
  Credit Suisse 2.300% 5/28/19 5,990 5,996
  Credit Suisse 3.000% 10/29/21 3,000 2,992
  Credit Suisse 3.625% 9/9/24 2,800 2,820
10 Danske Bank A/S 2.750% 9/17/20 4,394 4,432
  Deutsche Bank AG 1.875% 2/13/18 2,600 2,584
  Goldman Sachs Group Inc. 2.550% 10/23/19 6,050 6,046
  Goldman Sachs Group Inc. 6.000% 6/15/20 3,165 3,578
  Goldman Sachs Group Inc. 2.750% 9/15/20 3,008 3,003
  Goldman Sachs Group Inc. 5.250% 7/27/21 1,200 1,328
  Goldman Sachs Group Inc. 5.750% 1/24/22 8,970 10,198
  Goldman Sachs Group Inc. 4.000% 3/3/24 10,000 10,266
  Goldman Sachs Group Inc. 3.850% 7/8/24 1,880 1,918
  Goldman Sachs Group Inc. 3.500% 1/23/25 11,275 11,060
10 HSBC Bank plc 1.500% 5/15/18 2,250 2,220
  HSBC Bank USA NA 4.875% 8/24/20 3,896 4,254
  HSBC Holdings plc 5.100% 4/5/21 5,840 6,481
  HSBC Holdings plc 4.000% 3/30/22 4,400 4,618
  HSBC Holdings plc 4.250% 3/14/24 2,700 2,705
  HSBC USA Inc. 2.625% 9/24/18 2,700 2,737
  HSBC USA Inc. 2.375% 11/13/19 2,960 2,950
  HSBC USA Inc. 2.750% 8/7/20 780 781
  Huntington National Bank 2.200% 11/6/18 1,812 1,807
  JPMorgan Chase & Co. 2.000% 8/15/17 4,490 4,512
  JPMorgan Chase & Co. 6.000% 1/15/18 12,490 13,467
  JPMorgan Chase & Co. 1.700% 3/1/18 2,400 2,388
  JPMorgan Chase & Co. 1.625% 5/15/18 545 541
  JPMorgan Chase & Co. 6.300% 4/23/19 8,450 9,460
  JPMorgan Chase & Co. 2.250% 1/23/20 6,490 6,416
  JPMorgan Chase & Co. 4.950% 3/25/20 5,955 6,474
  JPMorgan Chase & Co. 2.750% 6/23/20 4,475 4,485
  JPMorgan Chase & Co. 4.400% 7/22/20 4,720 5,045
  JPMorgan Chase & Co. 4.250% 10/15/20 4,784 5,075
  JPMorgan Chase & Co. 2.550% 10/29/20 5,165 5,119
  JPMorgan Chase & Co. 4.625% 5/10/21 2,740 2,960
  JPMorgan Chase & Co. 4.350% 8/15/21 7,155 7,616
  JPMorgan Chase & Co. 4.500% 1/24/22 9,891 10,649
  JPMorgan Chase & Co. 3.250% 9/23/22 3,140 3,159
  JPMorgan Chase & Co. 3.200% 1/25/23 10,053 10,002
  JPMorgan Chase & Co. 3.875% 2/1/24 1,500 1,536
  JPMorgan Chase & Co. 3.625% 5/13/24 3,350 3,390
  JPMorgan Chase & Co. 3.125% 1/23/25 700 681
  JPMorgan Chase & Co. 3.900% 7/15/25 2,353 2,411
  JPMorgan Chase Bank NA 6.000% 10/1/17 7,190 7,694
  KeyBank NA 1.650% 2/1/18 2,400 2,390
  Lloyds Bank plc 1.750% 5/14/18 3,080 3,074
  Lloyds Bank plc 2.350% 9/5/19 1,960 1,959
  Lloyds Bank plc 6.375% 1/21/21 2,880 3,384
  Lloyds Bank plc 3.500% 5/14/25 3,010 3,027
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 6,062 6,071
  Manufacturers & Traders Trust Co. 2.250% 7/25/19 3,400 3,384
  Manufacturers & Traders Trust Co. 2.900% 2/6/25 1,400 1,355
10 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 4,665 4,646
  Morgan Stanley 2.500% 1/24/19 4,973 4,991

 

 

  Morgan Stanley 2.375% 7/23/19 10,356 10,323
  Morgan Stanley 5.625% 9/23/19 2,868 3,160
  Morgan Stanley 2.650% 1/27/20 2,000 1,990
  Morgan Stanley 5.750% 1/25/21 6,800 7,644
  Morgan Stanley 3.875% 4/29/24 7,500 7,647
  MUFG Americas Holdings Corp. 3.500% 6/18/22 6,290 6,406
  MUFG Americas Holdings Corp. 3.000% 2/10/25 1,800 1,717
  MUFG Union Bank NA 2.625% 9/26/18 1,460 1,474
  National Australia Bank Ltd. 2.300% 7/25/18 3,140 3,162
  National Bank of Canada 2.100% 12/14/18 2,525 2,523
10 Nordea Bank AB 1.875% 9/17/18 2,440 2,430
10 Nordea Bank AB 2.500% 9/17/20 1,865 1,854
  PNC Bank NA 2.200% 1/28/19 3,300 3,309
  PNC Bank NA 2.450% 11/5/20 1,707 1,695
  PNC Bank NA 2.700% 11/1/22 4,900 4,757
  PNC Bank NA 3.300% 10/30/24 1,450 1,454
  PNC Bank NA 2.950% 2/23/25 4,610 4,452
  PNC Financial Services Group Inc. 2.854% 11/9/22 1,200 1,183
  PNC Funding Corp. 5.125% 2/8/20 2,550 2,807
  PNC Funding Corp. 3.300% 3/8/22 3,590 3,654
  State Street Corp. 1.350% 5/15/18 1,800 1,787
  State Street Corp. 2.550% 8/18/20 756 766
  State Street Corp. 3.300% 12/16/24 1,790 1,807
  State Street Corp. 3.550% 8/18/25 2,611 2,693
  Sumitomo Mitsui Banking Corp. 2.450% 10/20/20 435 431
  Svenska Handelsbanken AB 2.400% 10/1/20 610 606
10 Swedbank AB 2.375% 2/27/19 3,770 3,771
  Toronto-Dominion Bank 2.500% 12/14/20 5,555 5,544
  UBS AG 1.800% 3/26/18 4,000 3,995
  UBS AG 2.375% 8/14/19 2,310 2,312
  US Bancorp 4.125% 5/24/21 1,350 1,458
  US Bank NA 1.350% 1/26/18 601 599
  Wachovia Corp. 5.750% 6/15/17 4,570 4,839
  Wachovia Corp. 5.750% 2/1/18 6,740 7,282
  Wells Fargo & Co. 5.625% 12/11/17 7,020 7,533
  Wells Fargo & Co. 2.150% 1/15/19 2,044 2,055
  Wells Fargo & Co. 2.125% 4/22/19 2,400 2,402
  Wells Fargo & Co. 2.150% 1/30/20 6,490 6,440
  Wells Fargo & Co. 2.600% 7/22/20 7,410 7,410
  Wells Fargo & Co. 2.550% 12/7/20 9,143 9,068
  Wells Fargo & Co. 3.000% 1/22/21 2,240 2,274
  Wells Fargo & Co. 4.600% 4/1/21 5,670 6,173
  Wells Fargo & Co. 3.450% 2/13/23 7,460 7,464
  Wells Fargo & Co. 3.300% 9/9/24 8,860 8,794
  Wells Fargo & Co. 3.000% 2/19/25 2,200 2,125
  Wells Fargo & Co. 3.550% 9/29/25 3,179 3,202
  Wells Fargo Bank NA 6.000% 11/15/17 7,190 7,754
  Westpac Banking Corp. 2.250% 7/30/18 5,575 5,614
  Westpac Banking Corp. 4.875% 11/19/19 7,190 7,848
  Westpac Banking Corp. 2.600% 11/23/20 6,430 6,426
 
  Brokerage (0.3%)        
  Ameriprise Financial Inc. 3.700% 10/15/24 1,785 1,808
  Charles Schwab Corp. 2.200% 7/25/18 450 451
  Charles Schwab Corp. 4.450% 7/22/20 1,350 1,473
  CME Group Inc. 3.000% 3/15/25 1,340 1,315
  Franklin Resources Inc. 2.850% 3/30/25 1,785 1,683

 

 

  Intercontinental Exchange Inc. 4.000% 10/15/23 10,510 10,843
  Invesco Finance plc 3.125% 11/30/22 4,490 4,420
  Invesco Finance plc 3.750% 1/15/26 3,060 3,075
  TD Ameritrade Holding Corp. 2.950% 4/1/22 60 59
  TD Ameritrade Holding Corp. 3.625% 4/1/25 3,220 3,256
 
  Finance Companies (0.4%)        
10 GE Capital International Funding Co. 2.342% 11/15/20 16,157 16,027
10 GE Capital International Funding Co. 3.373% 11/15/25 12,728 12,859
 
  Insurance (0.6%)        
  ACE INA Holdings Inc. 2.875% 11/3/22 1,680 1,665
  ACE INA Holdings Inc. 3.150% 3/15/25 895 884
  ACE INA Holdings Inc. 3.350% 5/3/26 3,298 3,286
10 Jackson National Life Global Funding 4.700% 6/1/18 2,250 2,383
  Manulife Financial Corp. 4.900% 9/17/20 6,695 7,284
  MetLife Inc. 3.600% 4/10/24 995 1,024
  MetLife Inc. 3.000% 3/1/25 1,500 1,444
  MetLife Inc. 3.600% 11/13/25 2,480 2,492
10 Metropolitan Life Global Funding I 3.000% 1/10/23 3,500 3,471
  PartnerRe Finance A LLC 6.875% 6/1/18 2,250 2,474
  PartnerRe Finance B LLC 5.500% 6/1/20 1,740 1,907
10 Pricoa Global Funding I 2.550% 11/24/20 2,540 2,531
10 Protective Life Global Funding 2.700% 11/25/20 2,535 2,532
10 Swiss Re Treasury US Corp. 2.875% 12/6/22 4,580 4,425
  UnitedHealth Group Inc. 1.450% 7/17/17 670 670
  UnitedHealth Group Inc. 1.900% 7/16/18 1,020 1,025
  UnitedHealth Group Inc. 2.700% 7/15/20 1,010 1,021
  UnitedHealth Group Inc. 3.350% 7/15/22 2,080 2,119
  UnitedHealth Group Inc. 2.875% 3/15/23 2,700 2,664
  UnitedHealth Group Inc. 3.750% 7/15/25 1,290 1,329
 
  Real Estate Investment Trusts (0.2%)        
  Federal Realty Investment Trust 3.000% 8/1/22 2,300 2,274
  Federal Realty Investment Trust 2.750% 6/1/23 4,490 4,294
  Simon Property Group LP 5.650% 2/1/20 3,860 4,325
  Simon Property Group LP 2.500% 9/1/20 727 729
  Simon Property Group LP 4.375% 3/1/21 4,400 4,766
  Simon Property Group LP 3.750% 2/1/24 2,661 2,772
  Simon Property Group LP 3.500% 9/1/25 891 904
          763,404
Industrial (8.7%)        
  Basic Industry (0.5%)        
  BHP Billiton Finance USA Ltd. 5.400% 3/29/17 1,070 1,112
  BHP Billiton Finance USA Ltd. 3.250% 11/21/21 4,640 4,382
  BHP Billiton Finance USA Ltd. 2.875% 2/24/22 4,620 4,233
  BHP Billiton Finance USA Ltd. 3.850% 9/30/23 5,570 5,245
  EI du Pont de Nemours & Co. 4.625% 1/15/20 2,520 2,655
  EI du Pont de Nemours & Co. 3.625% 1/15/21 1,995 2,058
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 930 951
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 771 867
  Praxair Inc. 3.000% 9/1/21 2,850 2,883
  Praxair Inc. 2.200% 8/15/22 1,120 1,071
  Praxair Inc. 2.650% 2/5/25 1,015 974
  Rio Tinto Finance USA Ltd. 6.500% 7/15/18 2,000 2,166
  Rio Tinto Finance USA Ltd. 4.125% 5/20/21 3,595 3,587
  Rio Tinto Finance USA plc 1.625% 8/21/17 5,349 5,258

 

 

  Rio Tinto Finance USA plc 2.250% 12/14/18 900 877
  Rio Tinto Finance USA plc 3.500% 3/22/22 370 348
  Rio Tinto Finance USA plc 2.875% 8/21/22 370 335
  Sherwin-Williams Co. 3.450% 8/1/25 900 915
  Syngenta Finance NV 3.125% 3/28/22 1,080 1,046
 
  Capital Goods (1.4%)        
10 Airbus Group Finance BV 2.700% 4/17/23 9,486 9,186
  Boeing Capital Corp. 4.700% 10/27/19 2,790 3,062
  Boeing Co. 2.200% 10/30/22 375 362
  Boeing Co. 7.950% 8/15/24 5,890 7,865
  Boeing Co. 2.600% 10/30/25 375 363
  Caterpillar Financial Services Corp. 2.850% 6/1/22 6,000 5,969
  Caterpillar Inc. 2.600% 6/26/22 1,250 1,235
  Danaher Corp. 3.900% 6/23/21 2,215 2,356
  Danaher Corp. 3.350% 9/15/25 6,375 6,507
  Deere & Co. 2.600% 6/8/22 5,220 5,141
  Dover Corp. 3.150% 11/15/25 1,825 1,799
  General Dynamics Corp. 2.250% 11/15/22 4,490 4,315
  General Electric Capital Corp. 6.000% 8/7/19 1,441 1,629
  General Electric Capital Corp. 5.500% 1/8/20 2,662 2,986
  General Electric Capital Corp. 2.200% 1/9/20 961 962
  General Electric Capital Corp. 5.550% 5/4/20 391 443
  General Electric Capital Corp. 4.375% 9/16/20 1,604 1,745
  General Electric Capital Corp. 4.625% 1/7/21 1,902 2,088
  General Electric Capital Corp. 5.300% 2/11/21 1,286 1,448
  General Electric Capital Corp. 4.650% 10/17/21 400 441
  General Electric Capital Corp. 3.150% 9/7/22 481 492
  General Electric Capital Corp. 3.100% 1/9/23 516 523
  General Electric Co. 2.700% 10/9/22 10,844 10,797
  Honeywell International Inc. 3.350% 12/1/23 9,475 9,761
  John Deere Capital Corp. 2.450% 9/11/20 5,175 5,166
  John Deere Capital Corp. 2.800% 3/4/21 3,475 3,500
  John Deere Capital Corp. 2.750% 3/15/22 1,980 1,955
  John Deere Capital Corp. 2.800% 1/27/23 1,925 1,889
  Parker Hannifin Corp. 3.500% 9/15/22 1,885 1,950
  Parker-Hannifin Corp. 3.300% 11/21/24 815 824
  Precision Castparts Corp. 2.500% 1/15/23 4,130 3,985
  Raytheon Co. 2.500% 12/15/22 2,520 2,468
10 Siemens Financieringsmaatschappij NV 3.250% 5/27/25 7,710 7,710
 
  Communication (0.7%)        
  America Movil SAB de CV 2.375% 9/8/16 1,335 1,343
  America Movil SAB de CV 5.000% 10/16/19 1,800 1,939
  America Movil SAB de CV 5.000% 3/30/20 4,800 5,210
  America Movil SAB de CV 3.125% 7/16/22 7,364 7,196
  Comcast Cable Communications Holdings        
  Inc. 9.455% 11/15/22 1,530 2,123
  Comcast Corp. 5.875% 2/15/18 2,100 2,284
  Comcast Corp. 5.700% 5/15/18 2,220 2,428
  Comcast Corp. 2.850% 1/15/23 2,700 2,679
  Comcast Corp. 3.600% 3/1/24 3,600 3,721
  Comcast Corp. 3.375% 2/15/25 2,885 2,913
  Comcast Corp. 3.375% 8/15/25 1,815 1,838
  NBCUniversal Media LLC 5.150% 4/30/20 8,090 9,036
  NBCUniversal Media LLC 4.375% 4/1/21 6,290 6,834
  NBCUniversal Media LLC 2.875% 1/15/23 4,390 4,358

 

 

  Walt Disney Co. 3.150% 9/17/25 2,500 2,540
 
  Consumer Cyclical (1.2%)        
  Alibaba Group Holding Ltd. 3.125% 11/28/21 1,030 1,002
  Alibaba Group Holding Ltd. 3.600% 11/28/24 1,285 1,236
  American Honda Finance Corp. 1.600% 7/13/18 700 696
  American Honda Finance Corp. 2.250% 8/15/19 6,590 6,624
  American Honda Finance Corp. 2.450% 9/24/20 2,225 2,229
  Automatic Data Processing Inc. 2.250% 9/15/20 650 652
  Automatic Data Processing Inc. 3.375% 9/15/25 475 485
  Costco Wholesale Corp. 2.250% 2/15/22 2,790 2,738
  Cummins Inc. 3.650% 10/1/23 1,350 1,393
10 Daimler Finance North America LLC 2.375% 8/1/18 8,285 8,305
10 Daimler Finance North America LLC 2.875% 3/10/21 3,055 3,010
10 Daimler Finance North America LLC 3.875% 9/15/21 1,000 1,040
  Harley-Davidson Inc. 3.500% 7/28/25 2,665 2,659
  Home Depot Inc. 4.400% 4/1/21 2,030 2,232
  Home Depot Inc. 2.625% 6/1/22 2,700 2,696
  Home Depot Inc. 3.350% 9/15/25 950 971
  Lowe's Cos. Inc. 4.625% 4/15/20 2,070 2,247
  Lowe's Cos. Inc. 3.120% 4/15/22 3,590 3,674
  Lowe's Cos. Inc. 3.875% 9/15/23 3,775 3,990
  Lowe's Cos. Inc. 3.375% 9/15/25 775 786
  MasterCard Inc. 2.000% 4/1/19 670 673
  MasterCard Inc. 3.375% 4/1/24 1,350 1,378
  PACCAR Financial Corp. 1.600% 3/15/17 2,250 2,255
  PACCAR Financial Corp. 1.750% 8/14/18 220 220
  PACCAR Financial Corp. 2.200% 9/15/19 450 448
  PACCAR Financial Corp. 2.500% 8/14/20 315 313
  TJX Cos. Inc. 6.950% 4/15/19 6,740 7,758
  TJX Cos. Inc. 2.750% 6/15/21 2,700 2,737
  TJX Cos. Inc. 2.500% 5/15/23 900 869
  Toyota Motor Credit Corp. 1.550% 7/13/18 500 499
  Toyota Motor Credit Corp. 2.800% 7/13/22 600 597
  VF Corp. 3.500% 9/1/21 1,900 1,988
  Visa Inc. 2.200% 12/14/20 4,465 4,457
  Visa Inc. 2.800% 12/14/22 4,465 4,479
  Visa Inc. 3.150% 12/14/25 5,965 5,975
  Wal-Mart Stores Inc. 3.625% 7/8/20 1,365 1,461
  Wal-Mart Stores Inc. 3.250% 10/25/20 1,485 1,566
  Wal-Mart Stores Inc. 4.250% 4/15/21 2,852 3,155
  Wal-Mart Stores Inc. 2.550% 4/11/23 6,290 6,195
 
  Consumer Noncyclical (1.5%)        
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 5,840 6,242
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 970 961
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 2,050 2,051
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 2,355 2,259
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 1,990 2,201
  Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 990 1,075
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 2,725 2,617
  Coca-Cola Co. 3.300% 9/1/21 3,590 3,750
  Coca-Cola Co. 3.200% 11/1/23 1,435 1,486
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 2,655 2,660
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 1,350 1,370
  Colgate-Palmolive Co. 2.100% 5/1/23 1,200 1,157
  Covidien International Finance SA 4.200% 6/15/20 4,126 4,415

 

 

Covidien International Finance SA 2.950% 6/15/23 8,300 8,158
Gilead Sciences Inc. 3.250% 9/1/22 4,085 4,109
Gilead Sciences Inc. 3.700% 4/1/24 6,230 6,368
Gilead Sciences Inc. 3.500% 2/1/25 5,185 5,217
Gilead Sciences Inc. 3.650% 3/1/26 5,695 5,743
Hershey Co. 4.125% 12/1/20 785 848
Hershey Co. 2.625% 5/1/23 5,500 5,411
Hershey Co. 3.200% 8/21/25 2,680 2,715
Kaiser Foundation Hospitals 3.500% 4/1/22 1,105 1,120
Kimberly-Clark Corp. 3.625% 8/1/20 630 667
McCormick & Co. Inc. 3.250% 11/15/25 485 487
Medtronic Inc. 5.600% 3/15/19 1,800 1,994
Medtronic Inc. 2.750% 4/1/23 5,000 4,881
Medtronic Inc. 3.500% 3/15/25 4,400 4,452
PepsiCo Inc. 7.900% 11/1/18 900 1,053
PepsiCo Inc. 4.500% 1/15/20 2,250 2,443
PepsiCo Inc. 3.000% 8/25/21 1,360 1,393
PepsiCo Inc. 3.100% 7/17/22 6,318 6,480
PepsiCo Inc. 2.750% 3/1/23 900 898
PepsiCo Inc. 3.600% 3/1/24 6,536 6,822
PepsiCo Inc. 3.500% 7/17/25 5,350 5,516
Philip Morris International Inc. 2.900% 11/15/21 1,350 1,363
Philip Morris International Inc. 3.600% 11/15/23 3,050 3,175
Stryker Corp. 4.375% 1/15/20 1,800 1,936
Sysco Corp. 3.750% 10/1/25 2,095 2,121
 
Energy (1.5%)        
BP Capital Markets plc 1.375% 5/10/18 1,800 1,774
BP Capital Markets plc 2.241% 9/26/18 3,780 3,780
BP Capital Markets plc 4.750% 3/10/19 7,640 8,184
BP Capital Markets plc 4.500% 10/1/20 4,040 4,322
BP Capital Markets plc 3.561% 11/1/21 6,917 7,031
BP Capital Markets plc 3.062% 3/17/22 915 896
BP Capital Markets plc 3.245% 5/6/22 1,800 1,791
BP Capital Markets plc 2.500% 11/6/22 3,140 2,995
BP Capital Markets plc 2.750% 5/10/23 3,330 3,122
BP Capital Markets plc 3.994% 9/26/23 900 914
BP Capital Markets plc 3.814% 2/10/24 3,590 3,581
BP Capital Markets plc 3.535% 11/4/24 915 888
Chevron Corp. 2.193% 11/15/19 450 449
Chevron Corp. 2.411% 3/3/22 3,290 3,194
Chevron Corp. 2.355% 12/5/22 4,825 4,603
Chevron Corp. 3.191% 6/24/23 550 552
ConocoPhillips Co. 2.400% 12/15/22 1,800 1,635
Dominion Gas Holdings LLC 2.500% 12/15/19 2,690 2,687
Dominion Gas Holdings LLC 2.800% 11/15/20 2,685 2,694
EOG Resources Inc. 4.400% 6/1/20 2,065 2,192
EOG Resources Inc. 2.625% 3/15/23 5,390 5,089
EOG Resources Inc. 3.150% 4/1/25 3,010 2,841
Exxon Mobil Corp. 2.397% 3/6/22 1,100 1,081
Halliburton Co. 5.900% 9/15/18 450 492
Halliburton Co. 3.800% 11/15/25 5,800 5,692
National Oilwell Varco Inc. 2.600% 12/1/22 4,490 3,930
Occidental Petroleum Corp. 1.500% 2/15/18 2,250 2,215
Occidental Petroleum Corp. 4.100% 2/1/21 5,815 6,100
Occidental Petroleum Corp. 3.125% 2/15/22 2,695 2,643
Occidental Petroleum Corp. 2.700% 2/15/23 1,800 1,693

 

 

Occidental Petroleum Corp. 3.500% 6/15/25 3,000 2,922
Schlumberger Investment SA 3.650% 12/1/23 3,590 3,672
Shell International Finance BV 4.375% 3/25/20 1,840 1,972
Shell International Finance BV 3.250% 5/11/25 1,800 1,739
Total Capital Canada Ltd. 2.750% 7/15/23 2,700 2,596
Total Capital International SA 2.750% 6/19/21 7,190 7,161
Total Capital International SA 2.875% 2/17/22 4,040 4,005
Total Capital International SA 2.700% 1/25/23 1,350 1,286
Total Capital SA 4.450% 6/24/20 1,800 1,930
Total Capital SA 4.125% 1/28/21 805 859
 
Other Industrial (0.1%)        
Fluor Corp. 3.500% 12/15/24 7,725 7,731
 
Technology (1.4%)        
Analog Devices Inc. 3.900% 12/15/25 1,490 1,506
Apple Inc. 0.900% 5/12/17 2,565 2,560
Apple Inc. 2.000% 5/6/20 3,705 3,696
Apple Inc. 2.850% 5/6/21 5,840 5,983
Apple Inc. 2.150% 2/9/22 895 872
Apple Inc. 2.400% 5/3/23 3,590 3,498
Apple Inc. 3.450% 5/6/24 5,385 5,578
Apple Inc. 2.500% 2/9/25 1,980 1,894
Apple Inc. 3.200% 5/13/25 1,360 1,374
Applied Materials Inc. 2.625% 10/1/20 1,735 1,734
Applied Materials Inc. 3.900% 10/1/25 2,800 2,804
Baidu Inc. 3.250% 8/6/18 7,075 7,171
Broadcom Corp. 3.500% 8/1/24 465 466
Cisco Systems Inc. 4.950% 2/15/19 1,215 1,328
Cisco Systems Inc. 4.450% 1/15/20 590 642
EMC Corp. 3.375% 6/1/23 1,800 1,460
Intel Corp. 2.450% 7/29/20 885 895
Intel Corp. 3.300% 10/1/21 6,780 7,021
Intel Corp. 3.100% 7/29/22 1,335 1,360
Intel Corp. 2.700% 12/15/22 5,390 5,333
Intel Corp. 3.700% 7/29/25 5,240 5,419
International Business Machines Corp. 3.625% 2/12/24 1,800 1,845
Microsoft Corp. 1.300% 11/3/18 445 444
Microsoft Corp. 2.000% 11/3/20 660 660
Microsoft Corp. 2.375% 2/12/22 445 439
Microsoft Corp. 2.650% 11/3/22 700 699
Microsoft Corp. 2.700% 2/12/25 670 652
Microsoft Corp. 3.125% 11/3/25 3,000 3,009
Oracle Corp. 5.750% 4/15/18 1,810 1,976
Oracle Corp. 2.375% 1/15/19 2,920 2,960
Oracle Corp. 2.800% 7/8/21 1,345 1,362
Oracle Corp. 2.500% 5/15/22 8,260 8,097
Oracle Corp. 2.500% 10/15/22 6,300 6,150
Oracle Corp. 3.625% 7/15/23 4,500 4,651
Oracle Corp. 3.400% 7/8/24 6,090 6,175
Oracle Corp. 2.950% 5/15/25 3,000 2,928
QUALCOMM Inc. 1.400% 5/18/18 2,550 2,527
QUALCOMM Inc. 2.250% 5/20/20 2,315 2,295
Xilinx Inc. 3.000% 3/15/21 1,390 1,393

 

 

Transportation (0.4%)        
7 Continental Airlines 2012-2 Class A Pass        
Through Trust 4.000% 4/29/26 928 947
7 CSX Transportation Inc. 6.251% 1/15/23 1,365 1,558
7 Northwest Airlines 2007-1 Class A Pass        
Through Trust 7.027% 5/1/21 3,451 3,843
Union Pacific Corp. 4.163% 7/15/22 8,035 8,694
Union Pacific Corp. 2.750% 4/15/23 3,965 3,916
7 United Airlines 2013-1 Class A Pass Through        
Trust 4.300% 2/15/27 1,304 1,350
United Airlines 2015-1 Class A Pass Through        
Trust 3.700% 12/1/22 4,070 4,080
United Parcel Service Inc. 2.450% 10/1/22 10,322 10,189
        691,995
Utilities (1.9%)        
Electric (1.8%)        
Alabama Power Co. 3.375% 10/1/20 3,590 3,693
Alabama Power Co. 3.550% 12/1/23 450 463
Ameren Illinois Co. 2.700% 9/1/22 1,827 1,796
Baltimore Gas & Electric Co. 2.800% 8/15/22 2,649 2,624
Baltimore Gas & Electric Co. 3.350% 7/1/23 3,800 3,848
Commonwealth Edison Co. 3.400% 9/1/21 2,500 2,595
Commonwealth Edison Co. 3.100% 11/1/24 3,000 2,973
Connecticut Light & Power Co. 5.650% 5/1/18 2,160 2,349
Connecticut Light & Power Co. 5.500% 2/1/19 845 928
Connecticut Light & Power Co. 2.500% 1/15/23 4,385 4,247
Consumers Energy Co. 6.125% 3/15/19 1,120 1,256
Consumers Energy Co. 6.700% 9/15/19 1,745 2,009
Consumers Energy Co. 5.650% 4/15/20 6,158 6,945
Consumers Energy Co. 2.850% 5/15/22 4,380 4,372
Consumers Energy Co. 3.125% 8/31/24 1,350 1,348
DTE Electric Co. 3.450% 10/1/20 3,210 3,356
DTE Electric Co. 3.900% 6/1/21 4,115 4,381
Duke Energy Carolinas LLC 7.000% 11/15/18 2,160 2,463
Duke Energy Carolinas LLC 4.300% 6/15/20 3,465 3,750
Duke Energy Carolinas LLC 3.900% 6/15/21 1,729 1,836
Duke Energy Progress Llc 3.000% 9/15/21 7,945 8,094
Duke Energy Progress LLC 3.250% 8/15/25 585 589
Entergy Louisiana LLC 3.300% 12/1/22 1,300 1,304
Kentucky Utilities Co. 3.300% 10/1/25 2,730 2,757
Louisville Gas & Electric Co. 3.300% 10/1/25 2,730 2,750
MidAmerican Energy Co. 5.950% 7/15/17 3,287 3,484
MidAmerican Energy Co. 5.300% 3/15/18 3,326 3,572
MidAmerican Energy Co. 3.700% 9/15/23 1,350 1,410
MidAmerican Energy Co. 3.500% 10/15/24 7,350 7,512
National Rural Utilities Cooperative Finance        
Corp. 10.375% 11/1/18 4,242 5,181
National Rural Utilities Cooperative Finance        
Corp. 2.000% 1/27/20 135 133
National Rural Utilities Cooperative Finance        
Corp. 2.350% 6/15/20 4,490 4,445
National Rural Utilities Cooperative Finance        
Corp. 3.050% 2/15/22 4,857 4,903
National Rural Utilities Cooperative Finance        
Corp. 2.850% 1/27/25 1,770 1,711
National Rural Utilities Cooperative Finance        
Corp. 3.250% 11/1/25 1,900 1,887

 

 

  Pacific Gas & Electric Co. 3.500% 6/15/25 5,515 5,599
  PacifiCorp 5.500% 1/15/19 2,665 2,924
  PacifiCorp 3.600% 4/1/24 3,600 3,719
  PacifiCorp 3.350% 7/1/25 2,035 2,052
  Potomac Electric Power Co. 3.600% 3/15/24 3,210 3,321
  PPL Electric Utilities Corp. 3.000% 9/15/21 1,030 1,046
  Public Service Electric & Gas Co. 2.375% 5/15/23 1,930 1,848
  Public Service Electric & Gas Co. 3.050% 11/15/24 5,320 5,291
  Public Service Electric & Gas Co. 3.000% 5/15/25 3,850 3,800
  Southern California Edison Co. 3.875% 6/1/21 910 963
  Southern California Edison Co. 3.500% 10/1/23 6,110 6,324
  Southwestern Public Service Co. 3.300% 6/15/24 4,515 4,562
  Union Electric Co. 3.500% 4/15/24 1,520 1,565
 
  Natural Gas (0.1%)        
  Southern California Gas Co. 3.150% 9/15/24 5,510 5,489
 
          155,467
Total Corporate Bonds (Cost $1,605,167)       1,610,866
Sovereign Bonds (U.S. Dollar-Denominated) (6.0%)        
10 Banco del Estado de Chile 2.000% 11/9/17 1,450 1,436
10 Bank Nederlandse Gemeenten 1.375% 9/27/17 2,725 2,731
10 Bermuda 4.854% 2/6/24 2,725 2,801
  Canada 0.875% 2/14/17 1,825 1,822
10 CDP Financial Inc. 4.400% 11/25/19 4,550 4,926
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 5,860 5,781
10 CNPC General Capital Ltd. 3.400% 4/16/23 800 773
  Corp. Andina de Fomento 3.750% 1/15/16 11,825 11,801
  Corp. Andina de Fomento 4.375% 6/15/22 7,161 7,621
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 1,300 1,246
10 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 4,000 3,866
  Development Bank of Japan Inc. 2.750% 9/16/25 7,580 7,493
10,11 Dexia Credit Local SA 1.250% 10/18/16 2,725 2,727
10 Electricite de France SA 3.625% 10/13/25 9,110 8,934
  European Investment Bank 0.625% 4/15/16 4,550 4,549
  European Investment Bank 2.125% 7/15/16 3,650 3,675
  European Investment Bank 1.750% 3/15/17 5,450 5,496
  European Investment Bank 1.625% 6/15/17 2,275 2,292
  European Investment Bank 1.625% 12/15/20 35,715 35,049
  European Investment Bank 4.000% 2/16/21 9,100 9,932
  European Investment Bank 2.500% 4/15/21 7,275 7,429
10 Export-Import Bank of China/The via Avi        
  Funding Co. Ltd. 2.850% 9/16/20 9,400 9,301
  Export-Import Bank of Korea 3.750% 10/20/16 16,250 16,555
  Export-Import Bank of Korea 4.000% 1/11/17 14,430 14,781
  Export-Import Bank of Korea 1.750% 2/27/18 3,935 3,913
  Export-Import Bank of Korea 2.250% 1/21/20 5,390 5,350
  Export-Import Bank of Korea 4.000% 1/29/21 2,550 2,723
  Export-Import Bank of Korea 4.000% 1/14/24 2,000 2,115
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 1,000 1,019
  Inter-American Development Bank 1.125% 3/15/17 2,275 2,278
  Inter-American Development Bank 2.375% 8/15/17 2,725 2,779
  Inter-American Development Bank 3.875% 2/14/20 4,550 4,921
  Inter-American Development Bank 3.000% 2/21/24 3,250 3,408
  International Bank for Reconstruction &        
  Development 1.000% 9/15/16 4,550 4,554
  International Finance Corp. 2.250% 4/11/16 4,550 4,569

 

 

  International Finance Corp. 1.125% 11/23/16 2,900 2,904
12 Japan Bank for International Cooperation 1.750% 11/13/18 2,725 2,711
  Japan Bank for International Cooperation 2.125% 2/7/19 2,725 2,743
13 KFW 2.000% 6/1/16 6,825 6,858
13 KFW 1.250% 10/5/16 4,550 4,564
13 KFW 1.250% 2/15/17 20,000 20,054
13 KFW 1.000% 6/11/18 5,225 5,178
  Korea Development Bank 3.250% 3/9/16 3,375 3,387
  Korea Development Bank 4.000% 9/9/16 5,050 5,145
  Korea Development Bank 3.250% 9/20/16 2,000 2,029
  Korea Development Bank 3.875% 5/4/17 4,000 4,110
  Korea Development Bank 3.500% 8/22/17 6,155 6,327
10 Korea East-West Power Co. Ltd. 2.500% 7/16/17 2,050 2,064
  Korea East-West Power Co. Ltd. 2.625% 11/27/18 4,755 4,807
10 Korea Expressway Corp. 1.625% 4/28/17 4,750 4,715
10 Korea Gas Corp. 2.875% 7/29/18 3,650 3,705
10 Korea Land & Housing Corp. 1.875% 8/2/17 4,750 4,749
13 Landwirtschaftliche Rentenbank 2.125% 7/15/16 4,550 4,581
13 Landwirtschaftliche Rentenbank 2.375% 9/13/17 5,000 5,094
10 Municipality Finance plc 1.125% 4/17/18 2,275 2,262
10 Nederlandse Waterschapsbank NV 1.875% 3/13/19 1,800 1,812
  North American Development Bank 2.300% 10/10/18 3,750 3,770
10 Ooredoo International Finance Ltd. 3.375% 10/14/16 900 910
10 Province of Alberta 1.000% 6/21/17 1,825 1,818
10 Province of Alberta 1.750% 8/26/20 1,500 1,479
  Province of Manitoba 2.100% 9/6/22 1,900 1,836
  Province of New Brunswick 2.750% 6/15/18 1,145 1,174
  Province of Ontario 1.600% 9/21/16 9,140 9,178
  Province of Ontario 1.100% 10/25/17 11,625 11,548
  Province of Ontario 1.200% 2/14/18 2,275 2,262
  Province of Ontario 3.000% 7/16/18 11,926 12,326
  Province of Ontario 4.000% 10/7/19 5,475 5,856
  Province of Ontario 4.400% 4/14/20 3,175 3,469
  Quebec 3.500% 7/29/20 10,575 11,186
  Quebec 2.750% 8/25/21 9,225 9,339
  Quebec 7.500% 7/15/23 1,335 1,744
7,10 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 625 665
7,10 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.832% 9/30/16 570 583
  Republic of Korea 5.125% 12/7/16 2,275 2,352
  Republic of Korea 7.125% 4/16/19 3,175 3,680
  Republic of Poland 6.375% 7/15/19 15,000 17,138
  Republic of Poland 5.125% 4/21/21 7,115 7,912
  Republic of Poland 5.000% 3/23/22 3,275 3,632
  Republic of Poland 4.000% 1/22/24 15,400 16,193
10 Republic of Slovakia 4.375% 5/21/22 2,275 2,526
10 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 1,450 1,465
  State of Israel 5.125% 3/26/19 6,825 7,507
10 State of Qatar 3.125% 1/20/17 2,275 2,315
  Statoil ASA 5.250% 4/15/19 4,550 4,957
  Statoil ASA 3.150% 1/23/22 7,065 7,003
  Statoil ASA 2.450% 1/17/23 1,825 1,726
  Statoil ASA 3.700% 3/1/24 6,300 6,357
10 Temasek Financial I Ltd. 2.375% 1/23/23 1,750 1,717
Total Sovereign Bonds (Cost $471,450)       476,068

 

 

Taxable Municipal Bonds (0.1%)        
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.995% 7/1/20 2,050 2,079
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 2,986 3,054
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 1,433 1,477
University of California Revenue 2.054% 5/15/18 900 913
Total Taxable Municipal Bonds (Cost $7,368)       7,523
      Shares  
Temporary Cash Investment (5.9%)        
Money Market Fund (5.9%)        
15 Vanguard Market Liquidity Fund (Cost        
$471,686) 0.363%   471,685,947 471,686
Total Investments (103.3%) (Cost $8,245,471)       8,265,037
Other Assets and Liabilities-Net (-3.3%)       (260,791)
Net Assets (100%)       8,004,246

 

1 Securities with a value of $1,911,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $725,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
3 Securities with a value of $5,878,000 have been segregated as initial margin for open futures contracts.
4 Securities with a value of $728,000 have been segregated as collateral for open over-the-counter swap contracts.
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 issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 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.
8 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2015.
9 Adjustable-rate security.
10 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the aggregate value of these securities was $346,068,000, representing 4.3% of net assets.
11 Guaranteed by multiple countries.
12 Guaranteed by the Government of Japan.
13 Guaranteed by the Federal Republic of Germany.
14 U.S. government-guaranteed.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value.

 

Vanguard Institutional Intermediate-Term Bond Fund

Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

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

At December 31, 2015, counterparties had deposited in segregated accounts cash with a value of $260,000 in connection with TBA transactions.

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

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

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of December 31, 2015, based on the inputs used to value them:

 

Vanguard Institutional Intermediate-Term Bond Fund      
 
 
  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 4,749,029 —
Asset-Backed/Commercial Mortgage-Backed Securities — 949,865 —
Corporate Bonds — 1,610,866 —
Sovereign Bonds — 476,068 —
Taxable Municipal Bonds — 7,523 —
Temporary Cash Investments 471,686 — —
Futures Contracts—Assets1 1,042 — —
Futures Contracts—Liabilities1 (105) — —
Swap Contracts—Assets 69 209 —
Swap Contracts—Liabilities (196) (87) —
Total 472,496 7,793,473 —
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 aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At December 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
    Number of Aggregate Unrealized
    Long (Short ) Settlement Value Appreciation
Futures Contracts Expiration Contracts Long (Short) (Depreciation)
2-Year U.S. Treasury Note March 2016 1,460 317,162 (150)
10-Year U.S. Treasury Note March 2016 1,859 234,060 (45)
5-Year U.S. Treasury Note March 2016 1,555 183,988 (512)
Ultra Long U.S. Treasury Bond March 2016 (58) (9,204) 35
30-Year U.S. Treasury Bond March 2016 9 1,384 1
        (671)

 

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

 

Vanguard Institutional Intermediate-Term Bond Fund

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 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 the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

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

 

Vanguard Institutional Intermediate-Term Bond Fund

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.

At period ended December 31, 2015, the fund had the following open swap contracts:

 

Vanguard Institutional Intermediate-Term Bond Fund          
 
 
 
Over-the-Counter Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid)  (Depreciation)
Reference Entity Date Counterparty ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
 
Federation of Malaysia/A3 12/20/20 GSCM 3,000 169 1.000 53
 
Federation of Malaysia/A3 12/20/20 BNPSW 3,867 146 1.000 (3)
 
Federation of Malaysia/A3 12/20/20 GSCM 7,500 301 1.000 11
 
Peoples’ Republic of China/Aa3 9/20/20 BNPSW 5,000 32 1.000 21
 
Peoples’ Republic of China/Aa3 9/20/20 BNPSW 5,000 41 1.000 29
 
Peoples’ Republic of China/Aa3 12/20/20 JPMC 6,400 91 1.000 59
 
Republic of Chile/Aa3 12/20/20 JPMC 2,500 23 1.000 (12)
 
Republic of Chile/Aa3 12/20/20 JPMC 7,400 69 1.000 (36)
 
Republic of Chile/Aa3 12/20/20 JPMC 5,000 100 1.000 30
 
Republic of Chile/Aa3 12/20/20 BARC 8,000 119 1.000 6
      53,667     158
 
Credit Protection Purchased            
El Du Pont De Nemours & Co. 9/20/18 BNPSW 1,550 21 (1.000) (11)
El Du Pont De Nemours & Co. 9/20/18 GSCM 1,550 21 (1.000) (10)
Wells Fargo & Co. 9/20/20 BOANA 3,740 72 (1.000) (15)
      6,840     (36)
            122

 

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.
BARC--Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.

 

Vanguard Institutional Intermediate-Term Bond Fund        
 
 
Centrally Cleared Interest Rate Swaps          
 
        Fixed Interest     Unrealized
      Notional Rate Received Floating Interest   Appreciation
  Termination   Amount (Paid) Rate Received   (Depreciation)
  Date Clearinghouse ($000) (%) (Paid) (%)   ($000)
  3/15/17 CME 60,000 0.883 (0.331) 1 94
  3/16/17 CME 37,270 (1.000) 0 2 28
  8/15/17 LCH 80,000 0.981 (0.331) 1 114
  3/15/18 CME 28,000 0.899 (0.331) 1 (96)
  3/16/18 CME 59,441 1.500 0 2 (113)
  9/15/18 CME 5,920 1.544 (0.331) 1 57
  1/15/19 CME 25,000 (1.549) 0.331 1 (220)
  8/15/19 LCH 20,000 (1.524) 0.331 1 (123)
  3/16/20 CME 46,209 (2.000) 0 2 148
  8/15/20 LCH 50,000 (1.486) 0.331 1 46
  3/15/21 CME 10,000 1.823 (0.331) 1 110
  3/16/21 CME 9,049 (2.000) 0 2 35
  3/16/23 CME 9,053 (2.250) 0 2 47
              127
  CME—Chicago Mercantile Exchange.          
  LCH—London Clearing House.          
1 Based on 1-month London InterBank Offered Rate (LIBOR) as of the most recent payment date.  
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.  

 

G. At December 31, 2015, the cost of investment securities for tax purposes was $8,245,471,000. Net unrealized appreciation of investment securities for tax purposes was $19,566,000, consisting of unrealized gains of $59,167,000 on securities that had risen in value since their purchase and $39,601,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Vanguard Institutional Short-Term Bond Fund

Schedule of Investments
As of December 31, 2015

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (31.3%)        
U.S. Government Securities (8.4%)        
  United States Treasury Note/Bond 0.500% 9/30/16 2,100 2,097
  United States Treasury Note/Bond 0.500% 2/28/17 52,600 52,394
  United States Treasury Note/Bond 0.875% 2/28/17 126,100 126,178
  United States Treasury Note/Bond 0.625% 8/31/17 35,000 34,776
  United States Treasury Note/Bond 0.625% 9/30/17 44,250 43,945
  United States Treasury Note/Bond 0.875% 10/15/17 21,830 21,765
1 United States Treasury Note/Bond 0.875% 11/15/17 65,500 65,285
  United States Treasury Note/Bond 0.625% 11/30/17 69,900 69,332
2 United States Treasury Note/Bond 2.250% 11/30/17 27,200 27,804
  United States Treasury Note/Bond 1.000% 12/15/17 78,050 77,952
  United States Treasury Note/Bond 1.000% 12/31/17 5,750 5,744
3 United States Treasury Note/Bond 0.875% 1/15/18 35,500 35,339
  United States Treasury Note/Bond 1.000% 2/15/18 11,400 11,368
  United States Treasury Note/Bond 1.000% 5/31/18 7,700 7,661
  United States Treasury Note/Bond 1.125% 6/15/18 22,700 22,654
  United States Treasury Note/Bond 1.250% 11/15/18 33,400 33,348
  United States Treasury Note/Bond 1.250% 12/15/18 189,300 188,916
  United States Treasury Note/Bond 1.250% 1/31/19 19,000 18,941
  United States Treasury Note/Bond 1.375% 3/31/20 200 198
  United States Treasury Note/Bond 1.375% 4/30/20 30 30
  United States Treasury Note/Bond 2.000% 11/30/20 8,100 8,182
          853,909
Agency Bonds and Notes (22.9%)        
4 AID-Jordan 2.578% 6/30/22 13,750 13,920
5 Federal Farm Credit Banks 1.110% 2/20/18 26,000 25,953
5 Federal Home Loan Banks 0.375% 2/19/16 101,750 101,758
5 Federal Home Loan Banks 1.000% 3/11/16 13,750 13,767
5 Federal Home Loan Banks 0.500% 9/28/16 156,600 156,306
5 Federal Home Loan Banks 0.625% 11/23/16 76,750 76,626
5 Federal Home Loan Banks 1.625% 12/9/16 10,500 10,578
5 Federal Home Loan Banks 4.750% 12/16/16 10,000 10,371
5 Federal Home Loan Banks 0.875% 3/10/17 38,100 38,091
5 Federal Home Loan Banks 0.625% 5/30/17 18,750 18,648
5 Federal Home Loan Banks 0.750% 8/28/17 83,500 83,057
5 Federal Home Loan Banks 0.625% 10/26/17 29,500 29,252
6 Federal Home Loan Mortgage Corp. 0.400% 3/15/16 101,000 101,013
6 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 16,500 16,728
6 Federal Home Loan Mortgage Corp. 0.500% 5/13/16 11,250 11,250
6 Federal Home Loan Mortgage Corp. 2.000% 8/25/16 65,400 65,931
6 Federal Home Loan Mortgage Corp. 0.500% 1/27/17 238,950 238,052
6 Federal Home Loan Mortgage Corp. 0.875% 2/22/17 148,000 148,015
6 Federal Home Loan Mortgage Corp. 1.000% 3/8/17 229,500 229,833
6 Federal Home Loan Mortgage Corp. 0.750% 7/14/17 30,000 29,861
6 Federal Home Loan Mortgage Corp. 1.000% 9/29/17 31,200 31,143
6 Federal Home Loan Mortgage Corp. 1.000% 12/15/17 182,250 181,774
6 Federal Home Loan Mortgage Corp. 0.750% 1/12/18 156,800 155,500
6 Federal Home Loan Mortgage Corp. 1.750% 5/30/19 50,000 50,363
6 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 50,300 49,589

 

 

6 Federal National Mortgage Assn. 5.000% 3/15/16 47,750 48,188
6 Federal National Mortgage Assn. 0.500% 3/30/16 4,500 4,501
6 Federal National Mortgage Assn. 0.625% 8/26/16 2,350 2,349
6 Federal National Mortgage Assn. 1.375% 11/15/16 40,150 40,349
6 Federal National Mortgage Assn. 1.250% 1/30/17 3,000 3,013
6 Federal National Mortgage Assn. 5.000% 2/13/17 8,250 8,625
6 Federal National Mortgage Assn. 1.125% 4/27/17 44,850 44,925
6 Federal National Mortgage Assn. 5.000% 5/11/17 19,000 20,017
6 Federal National Mortgage Assn. 5.375% 6/12/17 35,600 37,801
6 Federal National Mortgage Assn. 1.000% 9/27/17 18,500 18,467
6 Federal National Mortgage Assn. 0.875% 10/26/17 3,150 3,136
6 Federal National Mortgage Assn. 1.125% 10/19/18 62,800 62,413
6 Federal National Mortgage Assn. 1.125% 12/14/18 126,650 125,647
6 Federal National Mortgage Assn. 1.750% 9/12/19 13,250 13,311
6 Federal National Mortgage Assn. 1.500% 11/30/20 18,100 17,793
5 Financing Corp. 0.000% 11/2/18 3,090 2,966
          2,340,880
Conventional Mortgage-Backed Securities (0.0%)        
6,7 Freddie Mac Gold Pool 6.000% 4/1/28 14 15
Total U.S. Government and Agency Obligations (Cost $3,201,435)     3,194,804
Asset-Backed/Commercial Mortgage-Backed Securities (26.7%)      
7 AEP Texas Central Transition Funding III LLC        
  2012-1 0.880% 12/1/18 5,034 5,002
7 Ally Auto Receivables Trust 2014-SN1 0.950% 6/20/18 13,601 13,574
7 Ally Auto Receivables Trust 2014-SN2 1.210% 2/20/19 19,400 19,312
7 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 5,445 5,416
7 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 6,230 6,186
7 Ally Auto Receivables Trust 2015-2 1.840% 6/15/20 10,990 10,932
7 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 33,047 32,861
7,8 Ally Master Owner Trust Series 2014-1 0.800% 1/15/19 16,509 16,479
7 Ally Master Owner Trust Series 2014-1 1.290% 1/15/19 20,121 20,098
7 Ally Master Owner Trust Series 2014-3 1.330% 3/15/19 42,211 42,069
7 Ally Master Owner Trust Series 2014-5 1.600% 10/15/19 24,060 23,945
7 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 72,490 71,719
7,8 American Express Credit Account Secured        
  Note Trust 2012-4 0.570% 5/15/20 25,038 24,970
7,8 American Express Credit Account Secured        
  Note Trust 2013-1 0.750% 2/16/21 23,451 23,433
7,8 American Express Credit Account Secured        
  Note Trust 2013-2 0.750% 5/17/21 12,663 12,663
7,8 American Express Credit Account Secured        
  Note Trust 2013-3 0.701% 12/15/21 38,834 38,679
7,8 American Express Issuance Trust II 2013-1 0.610% 2/15/19 38,477 38,324
7,8 American Express Issuance Trust II 2013-2 0.761% 8/15/19 11,072 11,060
7,9 Americold 2010 LLC Trust Series 2010-ART 4.954% 1/14/29 4,021 4,427
7,8,9 Arran Residential Mortgages Funding 2011-1        
  PLC 1.817% 11/19/47 766 768
7,9 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 559 582
7,8 BA Credit Card Trust 2014-A1 0.710% 6/15/21 84,098 83,923
7 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 530 543
7,8,9 Bank of America Student Loan Trust 2010-1A 1.120% 2/25/43 6,194 6,112
  Bank of Nova Scotia 1.850% 4/14/20 20,490 20,139
7 Bear Stearns Commercial Mortgage        
  Securities Trust 2006-PWR13 5.533% 9/11/41 2,008 2,041
7 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR16 5.722% 6/11/40 4,876 5,028

 

 

7,8,9 BMW Floorplan Master Owner Trust 2015-1A 0.830% 7/15/20 24,145 23,971
7 BMW Vehicle Owner Trust 2015-2 1.550% 2/20/19 12,160 12,069
7,8 Brazos Higher Education Authority Inc. Series        
  2005-3 0.803% 6/25/26 3,479 3,346
7,8 Brazos Higher Education Authority Inc. Series        
  2011-1 1.182% 2/25/30 5,641 5,606
7 Cabela's Credit Card Master Note Trust 2015-        
  1A 2.260% 3/15/23 5,500 5,475
7,8 Cabela's Credit Card Master Note Trust 2015-        
  2A 1.001% 7/17/23 12,475 12,439
9 Canadian Imperial Bank of Commerce 2.250% 7/21/20 15,060 15,045
7,8 Capital One Multi-Asset Execution Trust 2014-        
  A3 0.710% 1/18/22 38,989 38,853
7 Capital One Multi-Asset Execution Trust 2015-        
  A2 2.080% 3/15/23 38,740 38,420
7 Capital One Multi-asset Execution Trust 2015-        
  A4 2.750% 5/15/25 30,370 30,639
7 Capital One Multi-asset Execution Trust 2015-        
  A8 2.050% 8/15/23 40,000 39,462
7 Carmax Auto Owner Trust 2014-4 1.810% 7/15/20 8,300 8,256
7 Carmax Auto Owner Trust 2015-1 1.830% 7/15/20 3,070 3,049
7 Carmax Auto Owner Trust 2015-2 1.800% 3/15/21 6,530 6,465
7 Carmax Auto Owner Trust 2015-3 1.980% 2/16/21 5,075 5,043
7 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 11,516 11,580
7,9 CFCRE Commercial Mortgage Trust 2011-C2 5.574% 12/15/47 1,609 1,854
7,8 Chase Issuance Trust 2013-A6 0.750% 7/15/20 14,070 14,063
7,8 Chase Issuance Trust 2013-A9 0.750% 11/16/20 46,901 46,809
7 Chase Issuance Trust 2014-A2 2.770% 3/15/23 21,012 21,368
7,9 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.340% 12/17/18 8,553 8,539
7,9 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.260% 10/15/20 11,170 11,134
7,9 Cit Equipment Collateral 2013-VT1 1.130% 7/20/20 15,460 15,446
7,8 Citibank Credit Card Issuance Trust 2008-A2 1.569% 1/23/20 30,955 31,377
7,8 Citibank Credit Card Issuance Trust 2008-A7 1.777% 5/20/20 2,044 2,091
7,8 Citibank Credit Card Issuance Trust 2013-A2 0.698% 5/26/20 54,482 54,312
7,8 Citibank Credit Card Issuance Trust 2013-A2 0.723% 9/10/20 88,456 88,364
7 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 41,086 41,964
7 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 49,225 49,464
7 Citigroup Commercial Mortgage Trust 2006-        
  C5 5.431% 10/15/49 1,512 1,538
7 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 1,295 1,300
7,9 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 349 362
7 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 3,883 3,878
7 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 1,270 1,268
7 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 355 375
7 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 3,160 3,317
7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 66 68
7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 610 625

 

 

7 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 1,757 1,824
7 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 395 403
7 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 135 137
7 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 490 489
7 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 3,040 3,093
7 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 2,585 2,647
7 CNH Equipment Trust 2041-A 1.500% 5/15/20 15,196 15,075
7 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 5,499 5,686
7 COMM 15-CR22 Mortgage Trust 3.309% 3/10/48 440 437
7 COMM 2006-C8 Mortgage Trust 5.292% 12/10/46 1,602 1,641
7 COMM 2006-C8 Mortgage Trust 5.306% 12/10/46 8,237 8,390
7 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 492 497
7 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 700 730
7 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 1,075 1,067
7 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 396 391
7 COMM 2012-CR3 Mortgage Trust 2.822% 10/15/45 1,287 1,274
7 COMM 2013-CCRE11 Mortgage Trust 3.983% 10/10/46 760 808
7 COMM 2013-CCRE11 Mortgage Trust 4.258% 10/10/46 665 712
7 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 673 704
7 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 965 1,021
7 COMM 2013-CCRE9 Mortgage Trust 4.233% 7/10/45 3,495 3,763
7,9 COMM 2013-CCRE9 Mortgage Trust 4.257% 7/10/45 2,461 2,622
7 COMM 2013-CR13 Mortgage Trust 4.194% 11/10/23 1,025 1,093
7,9 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 516 543
7 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 130 139
7 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 828 825
7,9 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 1,009 1,000
7 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 349 366
7 COMM 2014-CR14 Mortgage Trust 4.236% 2/10/47 347 372
7 COMM 2014-CR17 Mortgage Trust 3.977% 5/10/47 871 912
7 COMM 2014-CR17 Mortgage Trust 4.174% 5/10/47 272 286
7 COMM 2014-CR18 Mortgage Trust 3.452% 7/15/47 100 104
7 COMM 2014-CR18 Mortgage Trust 3.828% 7/15/47 3,030 3,145
7 COMM 2014-CR20 Mortgage Trust 3.590% 11/10/47 2,580 2,620
7 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 1,400 1,456
7 COMM 2014-LC19 Mortgage Trust 3.040% 2/10/48 30 30
7 COMM 2015-CR24 Mortgage Trust 3.445% 8/10/55 300 310
7 COMM 2015-CR25 Mortgage Trust 3.759% 8/10/48 525 537
7 COMM 2015-CR26 Mortgage Trust 3.630% 10/10/48 4,960 5,015
7 COMM 2015-CR27 Mortgage Trust 3.612% 10/10/48 2,800 2,830
9 Commonwealth Bank of Australia 2.000% 6/18/19 21,387 21,302
9 Commonwealth Bank of Australia 2.125% 7/22/20 15,300 15,098
7 CSAIL Commercial Mortgage Trust 2015-C3 3.718% 8/15/48 1,300 1,327
7 CSAIL Commercial Mortgage Trust 2015-C4 3.808% 11/15/48 650 665
7 Discover Card Execution Note Trust 2012-A6 1.670% 1/18/22 40,670 40,188
7,8 Discover Card Execution Note Trust 2013-A1 0.631% 8/17/20 14,272 14,239
7,8 Discover Card Execution Note Trust 2013-A6 0.781% 4/15/21 16,718 16,700
7 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 44,000 43,608
9 DNB Boligkreditt AS 1.450% 3/21/18 4,035 4,009
7,9 Enterprise Fleet Financing LLC Series 2012-2 0.930% 4/20/18 1,578 1,577
7,9 Enterprise Fleet Financing LLC Series 2013-2 1.510% 3/20/19 5,817 5,804

 

 

7,9 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 12,450 12,269
7,8 First National Master Note Trust 2013-2 0.861% 10/15/19 13,527 13,515
7,8 First National Master Note Trust 2015-1 1.100% 9/15/20 10,640 10,655
7 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 5,400 5,357
7 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 9,300 9,226
7,9 Ford Credit Auto Owner Trust 2014-1 2.260% 11/15/25 13,150 13,159
7,9 Ford Credit Auto Owner Trust 2015-2 2.440% 1/15/27 37,000 36,864
7 Ford Credit Auto Owner Trust 2015-C 1.740% 2/15/21 16,855 16,755
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-2 1.920% 1/15/19 5,159 5,185
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.490% 9/15/19 30,271 30,059
7,8 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 0.830% 2/15/21 42,840 42,708
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-2 1.980% 1/15/22 4,410 4,359
7 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 36,500 36,462
7 GE Capital Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 16,577 16,630
7 GE Capital Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 31,532 31,339
7,8 GE Dealer Floorplan Master Note Trust Series        
  2012-2 1.152% 4/22/19 5,326 5,330
7,8 GE Dealer Floorplan Master Note Trust Series        
  2014-1 0.782% 7/20/19 38,600 38,439
7,8 GE Dealer Floorplan Master Note Trust Series        
  2014-2 0.852% 10/20/19 20,200 20,121
7,8 GE Dealer Floorplan Master Note Trust Series        
  2015-2 1.052% 1/20/22 12,350 12,067
7,9 GM Financial Leasing Trust 2014-1A 1.300% 5/21/18 16,750 16,717
7 GM Financial Leasing Trust 2015-1 1.730% 6/20/19 3,120 3,099
7 GM Financial Leasing Trust 2015-3 1.690% 3/20/19 14,430 14,320
7 GM Financial Leasing Trust 2015-3 1.810% 11/20/19 1,490 1,477
7,9 Golden Credit Card Trust 2012-2A 1.770% 1/15/19 25,147 25,174
7,8,9 Golden Credit Card Trust 2014-2A 0.781% 3/15/21 25,233 25,115
7,9 Great America Leasing Receivables 2013-1 1.160% 5/15/18 4,454 4,446
7,9 Great America Leasing Receivables 2014-1 1.470% 8/15/20 4,690 4,660
7 GS Mortgage Securities Trust 2006-GG8 5.560% 11/10/39 4,059 4,112
7,9 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 117 130
7 GS Mortgage Securities Trust 2013-GC13 4.036% 7/10/46 1,790 1,910
7 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 1,558 1,556
7 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 3,995 4,178
7 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 150 154
7 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 1,070 1,096
7 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 4,640 4,650
7 Harley-Davidson Motorcycle Trust 2013-1 0.870% 7/15/19 6,992 6,965
7 Harley-Davidson Motorcycle Trust 2014-1 1.550% 10/15/21 23,451 23,320
7,9 Hertz Vehicle Financing LLC 2015-3 2.670% 9/25/21 21,050 20,814
7,9 Hilton USA Trust 2013-HLT 2.662% 11/5/30 746 745
7 Honda Auto Receivables 2014-4 Owner Trust 1.460% 10/15/20 3,580 3,567
7 Honda Auto Receivables 2015-4 Owner Trust 1.440% 1/21/22 23,540 23,224
7,9 Hyundai Auto Lease Securitization Trust        
  2014-A 1.010% 9/15/17 18,667 18,642
7 Hyundai Auto Receivables Trust 2015-C 1.780% 11/15/21 11,030 10,971
8 Illinois Student Assistance Commission Series        
  2010-1 1.370% 4/25/22 3,172 3,172
7,9 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 2,382 2,370

 

 

7 John Deere Owner Trust 2015-B 1.780% 6/15/22 1,845 1,837
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2006-LDP6 5.471% 4/15/43 3,502 3,513
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP10 5.439% 1/15/49 3,049 3,135
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 150 156
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 275 282
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 478 505
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 2,143 2,235
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 4,070 4,425
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.323% 8/15/46 673 763
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-RR1 4.717% 3/16/46 6,791 7,461
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 559 556
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 673 685
7,9 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 1,062 1,070
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 3,009 3,184
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 469 490
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 205 216
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 1,000 1,064
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 1.855% 4/15/46 3,883 3,876
7 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-LC11 2.960% 4/15/46 1,351 1,344
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 3.664% 7/15/45 2,719 2,821
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C12 4.025% 7/15/45 1,425 1,496
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 3.761% 8/15/46 342 359
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C14 4.133% 8/15/46 210 224
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C15 3.659% 11/15/45 194 203
7 JPMBB Commercial Mortgage Securities        
  Trust 2013-C17 4.199% 1/15/47 1,856 1,999
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.079% 2/15/47 1,165 1,236
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C18 4.439% 2/15/47 544 581
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C21 3.428% 8/15/47 60 61
7 JPMBB Commercial Mortgage Securities        
  Trust 2014-C24 3.639% 11/15/47 970 996

 

 

7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 2,820 2,872
7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.562% 12/15/48 150 153
7 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 1,860 1,904
7,8,9 Lanark Master Issuer plc 2012-2A 1.778% 12/22/54 17,812 17,839
7,8,9 Lanark Master Issuer plc 2013-1A 0.878% 12/22/54 25,088 25,034
7 LB-UBS Commercial Mortgage Trust 2006-C3 5.641% 3/15/39 4,370 4,372
7 LB-UBS Commercial Mortgage Trust 2006-C6 5.342% 9/15/39 3,426 3,482
7 LB-UBS Commercial Mortgage Trust 2006-C7 5.347% 11/15/38 1,974 2,014
7 LB-UBS Commercial Mortgage Trust 2008-C1 6.087% 4/15/41 3,409 3,643
7,9 M&T Bank Auto Receivables Trust 2013-1A 1.570% 8/15/18 10,430 10,454
7,9 Macquarie Equipment Funding Trust 2012-A 0.850% 10/22/18 364 364
7,8 MBNA Credit Card Master Note Trust 2004-        
  A3 0.591% 8/16/21 4,073 4,043
7 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 18,000 17,862
7 Merrill Lynch Mortgage Trust 2006-C2 5.739% 8/12/43 767 776
7 ML-CFC Commercial Mortgage Trust 2006-2 5.880% 6/12/46 2,390 2,408
7 ML-CFC Commercial Mortgage Trust 2007-6 5.331% 3/12/51 749 748
7,9 MMAF Equipment Finance LLC 2009-A 3.510% 1/15/30 14 14
7,9 MMAF Equipment Finance LLC 2011-A 2.100% 7/15/17 3,136 3,141
7,9 MMAF Equipment Finance LLC 2011-A 3.040% 8/15/28 8,922 9,052
7,9 MMAF Equipment Finance LLC 2012-A 1.680% 5/11/20 8,508 8,443
7,9 MMAF Equipment Finance LLC 2012-A 1.980% 6/10/32 3,988 3,975
7,9 MMAF Equipment Finance LLC 2012-A 2.570% 6/9/33 7,037 7,038
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 1,670 1,695
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 337 349
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 896 891
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.081% 7/15/46 4,024 4,280
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 660 703
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.214% 8/15/46 130 139
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 388 408
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 75 79
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 194 205
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 194 208
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 1,730 1,825
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 2,104 2,192
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 361 375
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 4/15/48 1,005 993
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 2,600 2,656
7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.383% 10/15/48 2,010 2,045

 

 

7 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 3,920 3,963
7 Morgan Stanley Capital I Trust 2006-HQ9 5.728% 7/12/44 5,256 5,323
7 Morgan Stanley Capital I Trust 2006-IQ12 5.319% 12/15/43 1,881 1,922
7,9 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 1,578 1,589
7 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 2,050 2,091
7,8 Navient Student Loan Trust 2014-1 0.932% 6/25/31 8,000 7,629
7,8 Navient Student Loan Trust 2014-8 0.862% 4/25/23 30,970 30,537
7,8 Navient Student Loan Trust 2015-3 1.072% 6/26/56 16,600 16,290
7 Nissan Auto Lease Trust 2014-A 1.040% 10/15/19 18,761 18,715
7 Nissan Auto Lease Trust 2015-A 1.580% 5/17/21 3,085 3,073
7 Nissan Auto Receivables 2015-B Owner Trust 1.500% 9/15/21 27,560 27,243
7 Nissan Auto Receivables 2015-B Owner Trust 1.790% 1/17/22 2,970 2,953
7 Nissan Master Owner Trust Receivables        
  Series 2015-A 1.440% 1/15/20 2,400 2,383
9 Norddeutsche Landesbank Girozentrale 2.000% 2/5/19 15,050 15,041
8 North Carolina State Education Assistance        
  Authority 2011-1 1.220% 1/26/26 3,170 3,169
7,9 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 602 653
  Royal Bank of Canada 1.875% 2/5/20 4,900 4,817
7,8 SLM Student Loan Trust 2003-14 0.550% 1/25/23 10,600 10,484
7,8 SLM Student Loan Trust 2005-5 0.420% 4/25/25 11,494 11,332
7,8 SLM Student Loan Trust 2005-6 0.430% 7/27/26 3,235 3,194
7,8 SLM Student Loan Trust 2013-6 0.922% 2/25/21 22,285 22,203
7,8 SLM Student Loan Trust 2014-1 0.802% 7/26/21 17,081 16,900
7 SMART ABS Series 2012-4US Trust 0.970% 3/14/17 1,098 1,096
7 SMART ABS Series 2012-4US Trust 1.250% 8/14/18 2,596 2,589
7 SMART ABS Series 2013-1US Trust 1.050% 10/14/18 4,370 4,349
7 SMART ABS Series 2014-1US Trust 1.680% 12/14/19 4,409 4,374
9 SpareBank 1 Boligkreditt AS 1.250% 5/2/18 3,097 3,055
7,9 SpareBank 1 Boligkreditt AS 1.750% 11/15/20 8,341 8,156
9 Swedbank Hypotek AB 1.375% 3/28/18 3,868 3,840
7 Synchrony Credit Card Master Note Trust        
  2014-1 1.610% 11/15/20 44,200 44,013
7 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 12,680 12,633
7 Synchrony Credit Card Master Note Trust        
  2015-2 1.600% 4/15/21 14,360 14,273
7 Synchrony Credit Card Master Note Trust        
  2015-3 2.380% 9/15/23 21,730 21,591
7 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 192 202
7,9 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 2,772 2,828
7 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 1,018 1,005
7,9 VNO 2012-6AVE Mortgage Trust 2.996% 11/15/30 2,552 2,517
7 Volkswagen Auto Lease Trust 2014-A 0.990% 7/20/18 9,943 9,899
7 Wachovia Bank Commercial Mortgage Trust        
  Series 2006-C29 5.297% 11/15/48 3,262 3,336
7 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 725 726
7 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 259 265
7 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 407 431
7 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 1,743 1,858
7 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.299% 7/15/46 272 292

 

 

7 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 120 120
7 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 240 236
7 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 400 405
7 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 6,400 6,497
7 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 2,960 2,946
7 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 2,520 2,622
7 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 12/15/47 250 257
7 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 12/15/47 745 765
9 Westpac Banking Corp. 1.850% 11/26/18 13,270 13,207
9 Westpac Banking Corp. 2.250% 11/9/20 13,440 13,255
7,9 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 1,199 1,299
7 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 1,166 1,200
7 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 584 619
7 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 751 751
7 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 3,180 3,157
7 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 440 447
7 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 464 487
7 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 440 471
7 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 167 174
7 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 442 463
7 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 878 931
7 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 70 74
7 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 600 629
7 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 1,155 1,180
7 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 20 21
7 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 438 465
7 World Financial Network Credit Card Master        
  Note Trust Series 2012-D 2.150% 4/17/23 20,637 20,615
7 World Financial Network Credit Card Master        
  Note Trust Series 2013-A 1.610% 12/15/21 6,191 6,164
7,8 World Financial Network Credit Card Master        
  Note Trust Series 2014-A 0.710% 12/15/19 29,548 29,547
7,8 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 0.811% 2/15/22 11,160 11,092
7 World Omni Auto Receivables Trust 2013-B 1.320% 1/15/20 6,400 6,370
7 World Omni Auto Receivables Trust 2014-B 1.680% 12/15/20 12,760 12,635
7 World Omni Automobile Lease Securitization        
  Trust 2015-A 1.730% 12/15/20 3,200 3,199
7,8,9 World Omni Master Owner Trust 2013-1 0.681% 2/15/18 13,393 13,390
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,744,696)   2,732,082

 

 

Corporate Bonds (31.5%)        
Finance (17.1%)        
Banking (16.2%)        
Abbey National Treasury Services plc 1.375% 3/13/17 22,170 22,071
Abbey National Treasury Services plc 1.650% 9/29/17 15,910 15,873
Abbey National Treasury Services plc 3.050% 8/23/18 11,250 11,539
Abbey National Treasury Services plc 2.000% 8/24/18 10,115 10,094
9 ABN AMRO Bank NV 2.500% 10/30/18 2,750 2,768
American Express Credit Corp. 2.800% 9/19/16 21,530 21,800
American Express Credit Corp. 1.550% 9/22/17 3,000 2,999
American Express Credit Corp. 1.875% 11/5/18 7,642 7,604
Australia & New Zealand Banking Group Ltd. 1.250% 1/10/17 9,640 9,656
Australia & New Zealand Banking Group Ltd. 1.875% 10/6/17 4,590 4,611
Bank of America Corp. 1.750% 6/5/18 1,221 1,213
Bank of America NA 1.125% 11/14/16 6,430 6,416
Bank of America NA 1.250% 2/14/17 37,470 37,403
Bank of America NA 1.650% 3/26/18 15,965 15,856
Bank of America NA 2.050% 12/7/18 16,080 16,019
Bank of Montreal 2.500% 1/11/17 6,143 6,214
Bank of Montreal 1.300% 7/14/17 6,000 5,989
Bank of Montreal 1.400% 4/10/18 2,830 2,805
Bank of Montreal 1.800% 7/31/18 6,855 6,844
Bank of New York Mellon Corp. 4.600% 1/15/20 2,300 2,490
Bank of Nova Scotia 1.375% 7/15/16 14,160 14,194
Bank of Nova Scotia 2.550% 1/12/17 12,900 13,079
Bank of Nova Scotia 1.300% 7/21/17 30,420 30,334
Bank of Nova Scotia 1.375% 12/18/17 3,625 3,612
Bank of Nova Scotia 1.700% 6/11/18 11,630 11,600
Bank of Nova Scotia 2.050% 10/30/18 9,095 9,127
Bank of Nova Scotia 2.350% 10/21/20 4,575 4,533
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.200% 3/10/17 18,370 18,266
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.150% 9/14/18 6,240 6,222
9 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 5,392 5,386
BNP Paribas SA 1.250% 12/12/16 11,940 11,929
BNP Paribas SA 1.375% 3/17/17 22,217 22,183
BNP Paribas SA 2.375% 9/14/17 2,735 2,764
BPCE SA 1.625% 2/10/17 27,385 27,411
BPCE SA 1.625% 1/26/18 11,489 11,425
BPCE SA 2.500% 12/10/18 3,670 3,706
Branch Banking & Trust Co. 1.000% 4/3/17 5,510 5,477
Canadian Imperial Bank of Commerce 1.350% 7/18/16 8,260 8,280
Canadian Imperial Bank of Commerce 1.550% 1/23/18 1,255 1,248
Commonwealth Bank of Australia 1.125% 3/13/17 27,520 27,433
Commonwealth Bank of Australia 1.400% 9/8/17 22,300 22,298
Commonwealth Bank of Australia 1.900% 9/18/17 7,680 7,720
Commonwealth Bank of Australia 1.625% 3/12/18 7,300 7,280
Commonwealth Bank of Australia 2.500% 9/20/18 8,165 8,289
Commonwealth Bank of Australia 1.750% 11/2/18 6,137 6,097
Commonwealth Bank of Australia 2.300% 9/6/19 16,765 16,728
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 3.375% 1/19/17 9,730 9,930
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 1.700% 3/19/18 5,500 5,470
Cooperatieve Centrale Raiffeisen-        
Boerenleenbank BA 2.250% 1/14/19 11,020 11,067
Credit Suisse 1.375% 5/26/17 9,470 9,422
Credit Suisse 1.750% 1/29/18 12,090 12,052
Credit Suisse 1.700% 4/27/18 13,685 13,582

 

 

Deutsche Bank AG 1.350% 5/30/17 13,770 13,682
Deutsche Bank AG 1.875% 2/13/18 12,300 12,226
Fifth Third Bank 2.150% 8/20/18 6,448 6,452
Goldman Sachs Group Inc. 5.750% 10/1/16 3,950 4,074
Goldman Sachs Group Inc. 6.250% 9/1/17 16,510 17,674
Goldman Sachs Group Inc. 5.950% 1/18/18 21,905 23,563
Goldman Sachs Group Inc. 2.375% 1/22/18 39,705 40,037
Goldman Sachs Group Inc. 6.150% 4/1/18 24,760 26,884
Goldman Sachs Group Inc. 2.900% 7/19/18 34,109 34,774
Goldman Sachs Group Inc. 2.625% 1/31/19 11,570 11,663
Goldman Sachs Group Inc. 2.550% 10/23/19 9,769 9,762
HSBC Bank USA NA 6.000% 8/9/17 4,605 4,885
HSBC USA Inc. 1.500% 11/13/17 9,630 9,579
HSBC USA Inc. 1.625% 1/16/18 3,210 3,194
Huntington National Bank 2.200% 11/6/18 5,527 5,511
JPMorgan Chase & Co. 1.350% 2/15/17 38,460 38,378
JPMorgan Chase & Co. 2.000% 8/15/17 58,085 58,365
JPMorgan Chase & Co. 6.000% 1/15/18 46,352 49,979
JPMorgan Chase & Co. 1.800% 1/25/18 12,966 12,946
JPMorgan Chase & Co. 1.700% 3/1/18 29,082 28,938
JPMorgan Chase & Co. 2.200% 10/22/19 18,791 18,656
JPMorgan Chase & Co. 2.550% 10/29/20 5,487 5,438
JPMorgan Chase Bank NA 6.000% 10/1/17 11,790 12,617
Lloyds Bank plc 4.200% 3/28/17 3,210 3,311
Lloyds Bank plc 1.750% 5/14/18 6,160 6,147
Manufacturers & Traders Trust Co. 1.250% 1/30/17 9,180 9,152
9 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 5,960 5,935
Morgan Stanley 5.550% 4/27/17 9,044 9,481
Morgan Stanley 1.875% 1/5/18 6,400 6,394
Morgan Stanley 2.125% 4/25/18 34,017 34,069
Morgan Stanley 2.500% 1/24/19 6,470 6,493
Morgan Stanley 2.375% 7/23/19 8,621 8,594
Morgan Stanley 5.625% 9/23/19 1,721 1,897
MUFG Americas Holdings Corp. 1.625% 2/9/18 4,800 4,747
MUFG Union Bank NA 5.950% 5/11/16 1,210 1,230
MUFG Union Bank NA 3.000% 6/6/16 11,480 11,576
MUFG Union Bank NA 1.500% 9/26/16 3,935 3,947
MUFG Union Bank NA 2.125% 6/16/17 4,820 4,852
MUFG Union Bank NA 2.625% 9/26/18 5,970 6,029
MUFG Union Bank NA 2.250% 5/6/19 4,580 4,577
National Australia Bank Ltd. 2.750% 3/9/17 3,670 3,731
National Australia Bank Ltd. 1.875% 7/23/18 9,070 9,060
National Australia Bank Ltd. 2.300% 7/25/18 3,860 3,887
National Bank of Canada 2.100% 12/14/18 6,815 6,809
9 Nordea Bank AB 1.875% 9/17/18 3,135 3,122
9 Nordea Bank AB 2.500% 9/17/20 4,860 4,831
PNC Bank NA 1.150% 11/1/16 4,202 4,201
PNC Bank NA 1.125% 1/27/17 6,620 6,608
PNC Bank NA 1.500% 10/18/17 15,560 15,545
PNC Bank NA 1.500% 2/23/18 11,800 11,727
PNC Bank NA 1.600% 6/1/18 15,200 15,084
PNC Bank NA 1.800% 11/5/18 15,736 15,656
PNC Funding Corp. 2.700% 9/19/16 7,953 8,034
Royal Bank of Canada 2.300% 7/20/16 3,675 3,702
Royal Bank of Canada 1.450% 9/9/16 6,430 6,453
Royal Bank of Canada 1.400% 10/13/17 7,320 7,317
Royal Bank of Canada 2.200% 7/27/18 10,136 10,232
Royal Bank of Canada 1.800% 7/30/18 2,411 2,404

 

 

Royal Bank of Canada 2.000% 12/10/18 5,235 5,245
Royal Bank of Canada 2.100% 10/14/20 23,750 23,364
Royal Bank of Canada 2.350% 10/30/20 11,989 11,858
Svenska Handelsbanken AB 3.125% 7/12/16 3,670 3,712
Svenska Handelsbanken AB 2.250% 6/17/19 5,500 5,507
Toronto-Dominion Bank 1.125% 5/2/17 11,020 10,991
Toronto-Dominion Bank 1.625% 3/13/18 31,935 31,917
Toronto-Dominion Bank 1.400% 4/30/18 5,340 5,305
Toronto-Dominion Bank 1.750% 7/23/18 9,210 9,212
UBS AG 1.800% 3/26/18 23,725 23,696
US Bank NA 1.100% 1/30/17 4,130 4,126
US Bank NA 1.375% 9/11/17 7,810 7,818
US Bank NA 1.350% 1/26/18 6,175 6,153
Wachovia Corp. 5.625% 10/15/16 4,590 4,739
Wachovia Corp. 5.750% 6/15/17 12,900 13,661
Wachovia Corp. 5.750% 2/1/18 12,660 13,678
Wells Fargo & Co. 3.676% 6/15/16 21,885 22,151
Wells Fargo & Co. 1.250% 7/20/16 10,977 10,995
Wells Fargo & Co. 2.100% 5/8/17 8,870 8,959
Wells Fargo & Co. 1.150% 6/2/17 6,900 6,878
Wells Fargo & Co. 1.400% 9/8/17 14,380 14,336
Wells Fargo & Co. 5.625% 12/11/17 3,210 3,445
Wells Fargo & Co. 1.500% 1/16/18 26,771 26,662
Wells Fargo & Co. 2.150% 1/15/19 9,122 9,170
Wells Fargo & Co. 2.125% 4/22/19 6,430 6,435
Westpac Banking Corp. 1.050% 11/25/16 3,310 3,309
Westpac Banking Corp. 1.200% 5/19/17 17,804 17,755
Westpac Banking Corp. 2.000% 8/14/17 12,860 12,942
Westpac Banking Corp. 1.600% 1/12/18 3,390 3,385
Westpac Banking Corp. 1.550% 5/25/18 19,060 18,918
Westpac Banking Corp. 2.250% 7/30/18 9,010 9,073
Westpac Banking Corp. 4.875% 11/19/19 2,750 3,002
 
Brokerage (0.2%)        
Charles Schwab Corp. 1.500% 3/10/18 9,125 9,085
NYSE Euronext 2.000% 10/5/17 11,210 11,253
 
Insurance (0.6%)        
ACE INA Holdings Inc. 2.300% 11/3/20 6,294 6,229
Berkshire Hathaway Inc. 1.900% 1/31/17 2,350 2,371
9 MassMutual Global Funding II 2.000% 4/5/17 9,180 9,263
9 MassMutual Global Funding II 2.100% 8/2/18 3,113 3,129
MetLife Inc. 1.903% 12/15/17 18,000 18,089
9 Metropolitan Life Global Funding I 3.000% 1/10/23 1,000 992
9 Reliance Standard Life Global Funding II 2.150% 10/15/18 15,550 15,444
UnitedHealth Group Inc. 1.450% 7/17/17 4,900 4,898
UnitedHealth Group Inc. 1.400% 12/15/17 2,295 2,287
UnitedHealth Group Inc. 1.900% 7/16/18 2,610 2,623
 
Real Estate Investment Trusts (0.1%)        
Simon Property Group LP 6.100% 5/1/16 6,135 6,135
Simon Property Group LP 3.375% 3/15/22 2,230 2,301
        1,747,015
Industrial (12.2%)        
Basic Industry (0.5%)        
Air Products & Chemicals Inc. 1.200% 10/15/17 920 914
BHP Billiton Finance USA Ltd. 1.875% 11/21/16 6,581 6,583

 

 

BHP Billiton Finance USA Ltd. 1.625% 2/24/17 23,815 23,679
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 3,320 3,451
BHP Billiton Finance USA Ltd. 2.050% 9/30/18 4,590 4,506
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 2,060 2,269
Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 1,940 1,984
Praxair Inc. 5.200% 3/15/17 90 94
Rio Tinto Finance USA plc 2.000% 3/22/17 5,360 5,332
Rio Tinto Finance USA plc 1.625% 8/21/17 4,760 4,680
 
Capital Goods (2.6%)        
Boeing Capital Corp. 2.125% 8/15/16 2,350 2,367
Boeing Capital Corp. 2.900% 8/15/18 3,000 3,098
Boeing Capital Corp. 4.700% 10/27/19 4,590 5,037
Boeing Co. 0.950% 5/15/18 12,900 12,751
Boeing Co. 1.650% 10/30/20 1,525 1,490
Caterpillar Financial Services Corp. 1.000% 3/3/17 4,960 4,944
Caterpillar Financial Services Corp. 5.450% 4/15/18 2,470 2,671
Danaher Corp. 2.300% 6/23/16 1,815 1,827
Danaher Corp. 5.625% 1/15/18 2,700 2,913
Danaher Corp. 1.650% 9/15/18 3,125 3,122
Danaher Corp. 5.400% 3/1/19 9,105 10,011
General Dynamics Corp. 1.000% 11/15/17 17,115 17,063
General Electric Capital Corp. 2.950% 5/9/16 12,391 12,478
General Electric Capital Corp. 5.625% 9/15/17 10,423 11,145
General Electric Co. 5.250% 12/6/17 46,376 49,554
Honeywell International Inc. 5.300% 3/15/17 5,775 6,054
Honeywell International Inc. 5.300% 3/1/18 22,602 24,394
Honeywell International Inc. 5.000% 2/15/19 7,285 7,980
John Deere Capital Corp. 1.050% 10/11/16 12,775 12,784
John Deere Capital Corp. 1.050% 12/15/16 1,530 1,530
John Deere Capital Corp. 2.000% 1/13/17 8,461 8,566
John Deere Capital Corp. 1.200% 10/10/17 1,380 1,374
John Deere Capital Corp. 1.550% 12/15/17 13,745 13,754
John Deere Capital Corp. 5.350% 4/3/18 3,660 3,952
John Deere Capital Corp. 1.750% 8/10/18 4,570 4,569
John Deere Capital Corp. 5.750% 9/10/18 12,315 13,552
John Deere Capital Corp. 1.950% 12/13/18 2,695 2,701
John Deere Capital Corp. 1.950% 3/4/19 2,300 2,290
John Deere Capital Corp. 2.375% 7/14/20 6,140 6,123
Precision Castparts Corp. 1.250% 1/15/18 2,880 2,860
Raytheon Co. 6.750% 3/15/18 2,765 3,063
Raytheon Co. 6.400% 12/15/18 7,215 8,131
United Technologies Corp. 5.375% 12/15/17 2,882 3,098
 
Communication (1.2%)        
America Movil SAB de CV 2.375% 9/8/16 23,638 23,789
America Movil SAB de CV 5.625% 11/15/17 13,700 14,556
America Movil SAB de CV 5.000% 3/30/20 1,265 1,373
Comcast Corp. 4.950% 6/15/16 7,300 7,432
Comcast Corp. 6.500% 1/15/17 5,635 5,932
Comcast Corp. 6.300% 11/15/17 29,925 32,539
Comcast Corp. 5.875% 2/15/18 11,900 12,942
Comcast Corp. 5.700% 5/15/18 21,455 23,466
 
Consumer Cyclical (1.9%)        
Alibaba Group Holding Ltd. 1.625% 11/28/17 10,000 9,895
American Honda Finance Corp. 0.950% 5/5/17 2,975 2,957
American Honda Finance Corp. 1.550% 12/11/17 4,238 4,239

 

 

American Honda Finance Corp. 1.500% 3/13/18 4,560 4,530
American Honda Finance Corp. 1.600% 7/13/18 2,910 2,893
American Honda Finance Corp. 2.125% 10/10/18 11,670 11,751
Costco Wholesale Corp. 5.500% 3/15/17 6,395 6,729
9 Daimler Finance North America LLC 2.950% 1/11/17 2,460 2,490
9 Daimler Finance North America LLC 1.125% 3/10/17 6,145 6,090
9 Daimler Finance North America LLC 1.875% 1/11/18 9,105 9,067
9 Daimler Finance North America LLC 1.650% 3/2/18 6,630 6,545
9 Harley-Davidson Financial Services Inc. 2.700% 3/15/17 11,968 12,143
9 Harley-Davidson Funding Corp. 6.800% 6/15/18 415 460
Lowe's Cos. Inc. 1.625% 4/15/17 9,180 9,235
PACCAR Financial Corp. 1.600% 3/15/17 1,900 1,904
PACCAR Financial Corp. 1.100% 6/6/17 4,590 4,567
PACCAR Financial Corp. 1.400% 11/17/17 4,565 4,551
PACCAR Financial Corp. 1.750% 8/14/18 910 908
Target Corp. 2.300% 6/26/19 5,965 6,049
TJX Cos. Inc. 6.950% 4/15/19 4,130 4,754
Toyota Motor Credit Corp. 2.050% 1/12/17 2,730 2,754
Toyota Motor Credit Corp. 1.375% 1/10/18 9,375 9,351
Toyota Motor Credit Corp. 1.450% 1/12/18 10,965 10,953
Toyota Motor Credit Corp. 1.550% 7/13/18 3,900 3,889
Visa Inc. 1.200% 12/14/17 27,405 27,377
Wal-Mart Stores Inc. 5.800% 2/15/18 15,825 17,287
Wal-Mart Stores Inc. 1.125% 4/11/18 12,380 12,324
 
Consumer Noncyclical (2.3%)        
Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 240 238
Coca-Cola Co. 3.150% 11/15/20 3,700 3,868
Eli Lilly & Co. 1.250% 3/1/18 9,125 9,106
Gilead Sciences Inc. 3.050% 12/1/16 15,090 15,346
Gilead Sciences Inc. 1.850% 9/4/18 4,115 4,131
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 27,208 29,651
GlaxoSmithKline Capital plc 1.500% 5/8/17 12,050 12,092
Hershey Co. 1.600% 8/21/18 4,340 4,358
Hershey Co. 4.125% 12/1/20 10,000 10,799
Medtronic Inc. 1.500% 3/15/18 9,000 8,998
Medtronic Inc. 1.375% 4/1/18 11,700 11,640
Merck & Co. Inc. 1.300% 5/18/18 11,040 11,027
Merck Sharp & Dohme Corp. 5.000% 6/30/19 4,205 4,637
PepsiCo Inc. 1.125% 7/17/17 26,730 26,714
PepsiCo Inc. 1.000% 10/13/17 9,000 8,955
PepsiCo Inc. 1.250% 4/30/18 13,500 13,454
PepsiCo Inc. 5.000% 6/1/18 7,250 7,836
Pfizer Inc. 0.900% 1/15/17 3,004 2,997
Pfizer Inc. 1.100% 5/15/17 9,180 9,179
Philip Morris International Inc. 1.250% 8/11/17 12,770 12,785
Philip Morris International Inc. 1.250% 11/9/17 6,375 6,365
Sanofi 1.250% 4/10/18 5,680 5,653
Stryker Corp. 2.000% 9/30/16 3,210 3,234
9 Takeda Pharmaceutical Co. Ltd. 1.625% 3/17/17 6,430 6,424
 
Energy (2.0%)        
BP Capital Markets plc 2.248% 11/1/16 10,100 10,187
BP Capital Markets plc 1.846% 5/5/17 5,756 5,784
BP Capital Markets plc 1.375% 11/6/17 6,500 6,451
BP Capital Markets plc 1.674% 2/13/18 10,450 10,441
BP Capital Markets plc 1.375% 5/10/18 9,000 8,869
BP Capital Markets plc 2.241% 9/26/18 13,800 13,799

 

 

BP Capital Markets plc 4.500% 10/1/20 2,750 2,942
Chevron Corp. 1.344% 11/9/17 27,400 27,310
Chevron Corp. 1.365% 3/2/18 5,330 5,286
Chevron Corp. 1.718% 6/24/18 5,250 5,222
Chevron Corp. 2.193% 11/15/19 4,500 4,492
Chevron Corp. 2.427% 6/24/20 4,000 3,996
Dominion Gas Holdings LLC 2.500% 12/15/19 1,830 1,828
Exxon Mobil Corp. 1.305% 3/6/18 9,125 9,104
Occidental Petroleum Corp. 1.750% 2/15/17 12,860 12,882
9 Schlumberger Investment SA 1.950% 9/14/16 2,585 2,599
9 Schlumberger Norge AS 1.950% 9/14/16 1,840 1,863
9 Schlumberger SA 2.650% 1/15/16 1,580 1,580
Shell International Finance BV 1.625% 11/10/18 13,750 13,608
Shell International Finance BV 2.000% 11/15/18 9,200 9,182
Total Capital International SA 1.000% 1/10/17 6,500 6,489
Total Capital International SA 1.500% 2/17/17 3,670 3,671
Total Capital International SA 1.550% 6/28/17 12,470 12,467
Total Capital International SA 2.125% 1/10/19 4,150 4,147
Total Capital SA 2.125% 8/10/18 17,254 17,297
Total Capital SA 4.450% 6/24/20 5,000 5,361
 
Technology (1.3%)        
Apple Inc. 0.900% 5/12/17 21,505 21,466
Apple Inc. 1.000% 5/3/18 11,918 11,828
Baidu Inc. 3.250% 8/6/18 10,100 10,237
Cisco Systems Inc. 1.650% 6/15/18 3,620 3,635
EMC Corp. 1.875% 6/1/18 6,900 6,438
Intel Corp. 1.350% 12/15/17 27,490 27,524
Microsoft Corp. 1.300% 11/3/18 9,145 9,120
Oracle Corp. 1.200% 10/15/17 20,015 20,017
Oracle Corp. 5.750% 4/15/18 10,553 11,520
Oracle Corp. 2.375% 1/15/19 4,100 4,156
QUALCOMM Inc. 1.400% 5/18/18 3,305 3,275
 
Transportation (0.4%)        
Canadian National Railway Co. 5.850% 11/15/17 6,045 6,501
7 Northwest Airlines 2007-1 Class A Pass        
Through Trust 7.027% 5/1/21 4,407 4,908
United Parcel Service Inc. 5.500% 1/15/18 4,565 4,949
United Parcel Service Inc. 5.125% 4/1/19 23,480 25,908
        1,246,285
Utilities (2.2%)        
Electric (2.2%)        
Ameren Illinois Co. 6.125% 11/15/17 180 195
Arizona Public Service Co. 8.750% 3/1/19 760 903
Arizona Public Service Co. 2.200% 1/15/20 1,000 991
Commonwealth Edison Co. 5.950% 8/15/16 1,055 1,086
Commonwealth Edison Co. 6.150% 9/15/17 8,360 8,981
Commonwealth Edison Co. 5.800% 3/15/18 5,390 5,844
Connecticut Light & Power Co. 5.500% 2/1/19 2,230 2,449
Consumers Energy Co. 5.500% 8/15/16 1,528 1,568
Consumers Energy Co. 5.150% 2/15/17 2,750 2,858
Consumers Energy Co. 5.650% 9/15/18 1,840 2,010
Consumers Energy Co. 6.125% 3/15/19 9,345 10,476
Consumers Energy Co. 6.700% 9/15/19 9,825 11,313
DTE Electric Co. 3.450% 10/1/20 1,380 1,443
Duke Energy Carolinas LLC 5.250% 1/15/18 215 230

 

 

  Duke Energy Carolinas LLC 5.100% 4/15/18 7,715 8,281
  Duke Energy Carolinas LLC 7.000% 11/15/18 14,888 16,974
  Duke Energy Florida LLC 5.650% 6/15/18 7,590 8,286
  Duke Energy Progress LLC 5.300% 1/15/19 28,653 31,478
  Georgia Power Co. 5.700% 6/1/17 10,325 10,899
  Georgia Power Co. 1.950% 12/1/18 6,205 6,187
  MidAmerican Energy Co. 2.400% 3/15/19 2,785 2,802
  National Rural Utilities Cooperative Finance        
  Corp. 1.100% 1/27/17 3,670 3,669
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 4/10/17 4,560 4,777
  National Rural Utilities Cooperative Finance        
  Corp. 0.950% 4/24/17 13,480 13,419
  National Rural Utilities Cooperative Finance        
  Corp. 5.450% 2/1/18 1,150 1,231
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 10,152 12,400
  National Rural Utilities Cooperative Finance        
  Corp. 2.150% 2/1/19 1,540 1,542
  National Rural Utilities Cooperative Finance        
  Corp. 2.300% 11/15/19 10,270 10,210
  Pacific Gas & Electric Co. 5.625% 11/30/17 365 390
  Pacific Gas & Electric Co. 8.250% 10/15/18 1,370 1,592
  Pacific Gas & Electric Co. 3.500% 10/1/20 7,305 7,597
  PacifiCorp 3.850% 6/15/21 1,150 1,209
  Public Service Electric & Gas Co. 5.300% 5/1/18 1,840 1,990
  Public Service Electric & Gas Co. 2.300% 9/15/18 7,200 7,279
  Public Service Electric & Gas Co. 2.000% 8/15/19 7,300 7,250
  Public Service Electric & Gas Co. 3.500% 8/15/20 1,182 1,234
  South Carolina Electric & Gas Co. 6.500% 11/1/18 1,240 1,395
  Southern California Edison Co. 1.125% 5/1/17 5,510 5,473
  Union Electric Co. 6.400% 6/15/17 3,538 3,780
  Virginia Electric & Power Co. 5.400% 4/30/18 1,825 1,974
  Wisconsin Electric Power Co. 1.700% 6/15/18 4,660 4,636
          228,301
Total Corporate Bonds (Cost $3,230,801)       3,221,601
Sovereign Bonds (U.S. Dollar-Denominated) (9.3%)        
  Asian Development Bank 0.750% 1/11/17 25,000 24,955
9 Banco del Estado de Chile 2.000% 11/9/17 7,095 7,025
9 Bank Nederlandse Gemeenten 2.500% 1/11/16 4,600 4,601
9 Bank Nederlandse Gemeenten 1.125% 9/12/16 7,350 7,356
9 Bank Nederlandse Gemeenten 0.875% 2/21/17 14,700 14,660
9 Caisse d'Amortissement de la Dette Sociale 2.375% 3/31/16 4,600 4,615
9 Caisse d'Amortissement de la Dette Sociale 1.125% 1/30/17 4,350 4,350
9 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 1,825 1,823
  CNOOC Finance 2013 Ltd. 1.125% 5/9/16 1,800 1,799
  CNOOC Finance 2013 Ltd. 1.750% 5/9/18 16,820 16,594
  CNOOC Finance 2015 Australia Pty Ltd. 2.625% 5/5/20 1,050 1,026
  CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 16,425 16,342
9 CNPC General Capital Ltd. 1.450% 4/16/16 1,000 1,000
  Corp. Andina de Fomento 3.750% 1/15/16 50,011 49,909
  Corp. Andina de Fomento 1.500% 8/8/17 5,500 5,472
9 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 9,975 9,642
9 Corp. Nacional del Cobre de Chile 3.000% 7/17/22 2,375 2,133
9 Corp. Nacional del Cobre de Chile 4.500% 8/13/23 6,875 6,672
9,10 Development Bank of Japan Inc. 1.625% 10/5/16 2,750 2,762
10 Development Bank of Japan Inc. 5.125% 2/1/17 2,750 2,865

 

 

9,11 Dexia Credit Local SA 1.250% 10/18/16 5,500 5,505
9 Electricite de France SA 1.150% 1/20/17 13,775 13,729
9 Electricite de France SA 6.500% 1/26/19 1,825 2,041
  European Investment Bank 2.125% 7/15/16 2,750 2,769
  European Investment Bank 1.750% 3/15/17 8,275 8,346
  European Investment Bank 1.625% 6/15/17 2,300 2,317
  European Investment Bank 1.000% 3/15/18 13,775 13,672
  European Investment Bank 1.875% 3/15/19 18,375 18,531
  European Investment Bank 2.500% 4/15/21 11,025 11,259
9 Export-Import Bank of China/The via Avi        
  Funding Co. Ltd. 2.850% 9/16/20 6,700 6,629
  Export-Import Bank of Korea 4.000% 1/11/17 50,806 52,043
  Export-Import Bank of Korea 5.125% 6/29/20 1,375 1,523
  Export-Import Bank of Korea 4.000% 1/29/21 4,775 5,099
  FMS Wertmanagement AoeR 1.125% 9/5/17 4,580 4,566
  FMS Wertmanagement AoeR 1.625% 11/20/18 9,175 9,204
  Hydro-Quebec 2.000% 6/30/16 17,900 18,006
  Hydro-Quebec 1.375% 6/19/17 15,327 15,305
  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 4,500 4,517
  Inter-American Development Bank 0.875% 11/15/16 9,175 9,163
  Inter-American Development Bank 1.125% 3/15/17 4,600 4,606
  Inter-American Development Bank 2.375% 8/15/17 6,425 6,553
  Inter-American Development Bank 2.125% 11/9/20 1,800 1,813
  International Bank for Reconstruction &        
  Development 1.000% 9/15/16 13,775 13,788
  International Bank for Reconstruction &        
  Development 0.625% 10/14/16 20,000 19,962
  International Finance Corp. 1.125% 11/23/16 4,400 4,407
  International Finance Corp. 1.750% 9/4/18 15,600 15,740
9 IPIC GMTN Ltd. 3.750% 3/1/17 1,700 1,733
10 Japan Bank for International Cooperation 1.750% 7/31/18 4,600 4,587
10 Japan Bank for International Cooperation 1.750% 11/13/18 7,575 7,535
9 Japan Finance Organization for Municipalities 2.125% 3/6/19 13,775 13,848
12 KFW 2.000% 6/1/16 16,075 16,153
12 KFW 1.250% 10/5/16 4,600 4,614
12 KFW 1.250% 2/15/17 9,175 9,200
12 KFW 1.000% 6/11/18 11,475 11,371
12 KFW 1.875% 4/1/19 4,600 4,640
12 KFW 4.000% 1/27/20 4,125 4,475
12 KFW 2.625% 1/25/22 4,600 4,718
12 KFW 2.125% 1/17/23 1,825 1,803
9 Kingdom of Sweden 1.000% 11/15/16 6,425 6,435
9 Kommunalbanken AS 2.375% 1/19/16 3,675 3,677
9 Kommunalbanken AS 1.000% 3/15/18 2,750 2,724
9 Kommunalbanken AS 1.125% 5/23/18 7,350 7,293
9 Kommunalbanken AS 2.125% 3/15/19 12,850 13,002
9 Kommunalbanken AS 1.750% 5/28/19 13,775 13,778
9 Kommuninvest I Sverige AB 0.875% 12/13/16 6,425 6,417
9 Kommuninvest I Sverige AB 1.000% 10/24/17 2,750 2,733
  Korea Development Bank 3.250% 3/9/16 1,375 1,380
  Korea Development Bank 4.000% 9/9/16 9,210 9,383
  Korea Development Bank 3.875% 5/4/17 9,200 9,453
  Korea Development Bank 2.250% 8/7/17 7,115 7,162
  Korea Development Bank 3.500% 8/22/17 6,775 6,965
  Korea Development Bank 4.625% 11/16/21 1,800 1,980
9 Korea East-West Power Co. Ltd. 2.500% 7/16/17 2,050 2,064
9 Korea Expressway Corp. 1.625% 4/28/17 32,150 31,914
9 Korea Expressway Corp. 1.875% 10/22/17 1,800 1,795

 

 

9 Korea Gas Corp. 2.875% 7/29/18 7,350 7,461
9 Korea Land & Housing Corp. 1.875% 8/2/17 4,600 4,599
  Korea National Oil Corp. 3.125% 4/3/17 4,600 4,669
9 Korea National Oil Corp. 2.750% 1/23/19 18,375 18,568
9 Korea Resources Corp. 2.125% 5/2/18 2,750 2,736
12 Landwirtschaftliche Rentenbank 2.125% 7/15/16 4,600 4,631
9 Municipality Finance plc 1.125% 4/17/18 2,300 2,287
9 Nederlandse Waterschapsbank NV 1.875% 3/13/19 7,350 7,398
  North American Development Bank 2.300% 10/10/18 2,400 2,413
13 Oesterreichische Kontrollbank AG 2.000% 6/3/16 4,600 4,622
9 Province of Alberta 1.000% 6/21/17 2,750 2,739
9 Province of Alberta 1.750% 8/26/20 8,600 8,478
  Province of British Columbia 2.100% 5/18/16 2,575 2,589
  Province of Manitoba 2.100% 9/6/22 1,275 1,232
  Province of Ontario 2.300% 5/10/16 15,655 15,748
  Province of Ontario 1.600% 9/21/16 13,193 13,248
  Province of Ontario 1.100% 10/25/17 21,125 20,984
  Province of Ontario 4.000% 10/7/19 2,375 2,540
  Province of Ontario 4.400% 4/14/20 1,375 1,502
  Quebec 2.750% 8/25/21 5,825 5,897
7,9 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.832% 9/30/16 1,630 1,667
  Republic of Korea 5.125% 12/7/16 19,800 20,474
  Republic of Poland 6.375% 7/15/19 17,261 19,721
  Republic of Poland 5.000% 3/23/22 11,360 12,598
  Republic of Poland 4.000% 1/22/24 8,675 9,122
9 Sinopec Capital 2013 Ltd. 1.250% 4/24/16 4,600 4,600
9 Sinopec Group Overseas Development 2012        
  Ltd. 2.750% 5/17/17 2,000 2,020
9 State Grid Overseas Investment 2014 Ltd. 2.750% 5/7/19 9,175 9,253
  State of Israel 3.150% 6/30/23 1,800 1,826
9 State of Qatar 3.125% 1/20/17 2,300 2,340
  Statoil ASA 1.250% 11/9/17 25,000 24,864
  Statoil ASA 1.200% 1/17/18 1,550 1,534
  Statoil ASA 1.950% 11/8/18 13,775 13,770
  Statoil ASA 3.150% 1/23/22 2,700 2,676
  Statoil ASA 2.650% 1/15/24 1,825 1,728
  Svensk Exportkredit AB 1.125% 4/5/18 5,475 5,429
9 Temasek Financial I Ltd. 4.300% 10/25/19 2,250 2,424
9 Temasek Financial I Ltd. 2.375% 1/23/23 4,600 4,513
Total Sovereign Bonds (Cost $942,920)       944,426
Taxable Municipal Bonds (0.3%)        
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 1.298% 7/1/16 2,300 2,306
  Florida Hurricane Catastrophe Fund Finance        
  Corp. Revenue 2.107% 7/1/18 1,825 1,836
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-EGSL 3.220% 2/1/21 5,274 5,394
  Louisiana Local Government Environmental        
  Facilities & Community Development        
  Authority Revenue 2010-ELL 3.450% 2/1/22 10,837 11,171
  Princeton University New Jersey GO 4.950% 3/1/19 5,975 6,540
Total Taxable Municipal Bonds (Cost $26,980)       27,247

 

 

    Shares  
Temporary Cash Investment (0.3%)      
Money Market Fund (0.3%)      
14 Vanguard Market Liquidity Fund (Cost      
$34,334) 0.363% 34,334,000 34,334
Total Investments (99.4%) (Cost $10,181,166)     10,154,494
Other Assets and Liabilities-Net (0.6%)     62,746
Net Assets (100%)     10,217,240

1 Securities with a value of $2,193,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $7,241,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $601,000 have been segregated as collateral for open over-the-counter swap contracts.
4 U.S. government-guaranteed.
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 issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
7 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.
8 Adjustable-rate security.
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 December 31, 2015, the
aggregate value of these securities was $910,724,000, representing 8.9% of net assets.
10 Guaranteed by the Government of Japan.
11 Guaranteed by multiple countries.
12 Guaranteed by the Federal Republic of Germany.
13 Guaranteed by the Republic of Austria.
14 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.

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

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

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of December 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 3,194,804 —
Asset-Backed/Commercial Mortgage-Backed Securities — 2,732,082 —
Corporate Bonds — 3,221,601  
Sovereign Bonds — 944,426 —
Taxable Municipal Bonds — 27,247 —
Temporary Cash Investments 34,334 — —
Futures Contracts—Assets1 465 — —
Futures Contracts—Liabilities1 (589) — —
Swap Contracts—Assets 1631 175 —
Swap Contracts—Liabilities (653)1 (122) —
Total 33,720 10,120,213  
1 Represents variation margin on the last day of the reporting period.    

 

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

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

At December 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
2-Year U.S. Treasury Note March 2016 6,114 1,328,171 (1,616)
5-Year U.S. Treasury Note March 2016 (2,413) (285,507) 496
30-Year U.S. Treasury Bond March 2016 (196) (30,135) (93)
10-Year U.S. Treasury Note March 2016 (213) (26,818) (11)
Ultra Long U.S. Treasury Bond March 2016 59 9,363 79

 

 

(1,145)

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

D. 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 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 the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

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

 

would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the 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.

At period ended December 31, 2015, the fund had the following open swap contracts:

 

Over-the-Counter Credit Default Swaps          
        Remaining    
        Up-Front Periodic  
        Premium Premium Unrealized
      Notional Received Received Appreciation
  Termination   Amount (Paid) (Paid) (Depreciation) 
Reference Entity Date Counterparty  ($000) ($000) (%) ($000)
Credit Protection Sold/Moody’s Rating          
 
Federation of Malaysia/A3 12/20/20 BNPSW 8,500 322 1.000 (7)
 
Federation of Malaysia/A3 12/20/20 JPMC 5,000 222 1.000 29
 
Federation of Malaysia/A3 12/20/20 JPMC 8,000 311 1.000 1
 
Federation of Malaysia/A3 12/20/20 BOANA 8,000 397 1.000 88
 
People’s Republic of China/Aa3 12/20/20 JPMC 6,200 88 1.000 57
 
Republic of Chile/Aa3 12/20/20 BNPSW 15,000 183 1.000 (29)
 
Republic of Chile/Aa3 12/20/20 JPMC 7,600 70 1.000 (37)
 
Republic of Chile/Aa3 12/20/20 JPMC 7,500 70 1.000 (37)
      65,800     65
 
Credit Protection Purchased            
El Du Pont De Nemours & Co. 9/20/18 BNPSW 875 12 (1,000) (6)
El Du Pont De Nemours & Co. 9/20/18 GSCM 875 12 (1,000) (6)
      1,750     (12)
            53

 

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.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
GSCM—Goldman Sachs Bank USA.
JPMC—JP Morgan Chase Bank.

 

Centrally Cleared Interest Rate Swaps          
      Fixed Interest     Unrealized
    Notional Rate Received Floating Interest   Appreciation
Termination   Amount (Paid) Rate Received   (Depreciation)
Date Clearinghouse ($000) (%) (Paid) (%)   ($000)
3/15/17 CME 94,000 0.883 (0.331) 1 148
3/16/17 CME 196,425 (1.000) 0 2 146
8/15/17 LCH 150,000 0.981 (0.331) 1 214
3/15/18 CME 172,000 0.899 (0.331) 1 (592)
3/16/18 CME 443,290 1.500 0 2 (843)
9/7/18 CME 27,593 (0.907) 0.269 1 (418)
9/15/18 CME 3,093 1.544 (0.331) 1 23
12/15/18 CME 18,881 (1.470) 0.331 1 (128)
8/15/19 LCH 70,000 (1.524) 0.331 1 (430)
3/16/20 CME 100,455 (2.000) 0 2 322
8/15/20 LCH 200,000 (1.486) 0.331 1 183
3/16/21 CME 93,515 (2.000) 0 2 365
3/16/23 CME 3,018 2.250 0 2 (16)
            (1,026)

 

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

E. At December 31, 2015, the cost of investment securities for tax purposes was $10,181,166,000. Net unrealized depreciation of investment securities for tax purposes was $26,672,000, consisting of unrealized gains of $11,719,000 on securities that had risen in value since their purchase and $38,391,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Short-Term Inflation-Protected Securities Index Fund      
 
 
 
Schedule of Investments        
As of December 31, 2015        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (99.6%)        
U.S. Government Securities (99.6%)        
United States Treasury Inflation Indexed Bonds 2.000% 1/15/16 534,524 640,026
United States Treasury Inflation Indexed Bonds 0.125% 4/15/16 1,219,011 1,308,164
United States Treasury Inflation Indexed Bonds 2.500% 7/15/16 539,118 644,741
United States Treasury Inflation Indexed Bonds 2.375% 1/15/17 467,096 564,392
United States Treasury Inflation Indexed Bonds 0.125% 4/15/17 1,402,595 1,465,042
United States Treasury Inflation Indexed Bonds 2.625% 7/15/17 411,366 493,013
United States Treasury Inflation Indexed Bonds 1.625% 1/15/18 439,713 514,877
United States Treasury Inflation Indexed Bonds 0.125% 4/15/18 1,593,140 1,636,346
United States Treasury Inflation Indexed Bonds 1.375% 7/15/18 446,678 509,981
United States Treasury Inflation Indexed Bonds 2.125% 1/15/19 414,033 485,242
United States Treasury Inflation Indexed Bonds 0.125% 4/15/19 1,600,661 1,614,809
United States Treasury Inflation Indexed Bonds 1.875% 7/15/19 453,532 535,582
United States Treasury Inflation Indexed Bonds 1.375% 1/15/20 573,483 656,076
United States Treasury Inflation Indexed Bonds 0.125% 4/15/20 1,580,583 1,585,703
United States Treasury Inflation Indexed Bonds 1.250% 7/15/20 889,677 1,009,366
United States Treasury Inflation Indexed Bonds 1.125% 1/15/21 10,000 11,217
Total U.S. Government and Agency Obligations (Cost $13,851,756)     13,674,577
      Shares  
Temporary Cash Investment (0.4%)        
Money Market Fund (0.4%)        
1 Vanguard Market Liquidity Fund (Cost $57,035) 0.363%   57,035,000 57,035
Total Investments (100.0%) (Cost $13,908,791)       13,731,612
Other Assets and Liabilities-Net (0.0%)       (3,943)
Net Assets (100%)       13,727,669
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.
       

 

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

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

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Short-Term Inflation-Protected Securities Index Fund

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of December 31, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 13,674,577 —
Temporary Cash Investments 57,035 — —
Total 57,035 13,674,577 —

 

C. At December 31, 2015, the cost of investment securities for tax purposes was $13,917,881,000. Net unrealized depreciation of investment securities for tax purposes was $186,269,000, consisting entirely of 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 MALVERN FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date:  February 18, 2016

 

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 MALVERN FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: February 18, 2016

 

  VANGUARD MALVERN FUNDS
 
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: February 18, 2016

* By:/s/ Heidi Stam

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