N-Q 1 variable_final.htm variable_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: 811-05962

 

Name of Registrant: Vanguard Variable Insurance Funds

 

Address of Registrant:
P.O. Box 2600

Valley Forge, PA 19482

 

Name and address of agent for service:
Anne E. Robinson, Esquire
P.O. Box 876

Valley Forge, PA 19482

 

Date of fiscal year end: December 31

 

Date of reporting period: March 31, 2017

 

Item 1: Schedule of Investments

 


Vanguard High Yield Bond Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
Corporate Bonds (96.0%)        
Finance (8.5%)        
  Banking (0.3%)        
  Royal Bank of Scotland Group plc 6.125% 12/15/22 1,635 1,732
 
  Finance Companies (5.3%)        
1,2 AerCap Global Aviation Trust 6.500% 6/15/45 3,750 3,905
  Aircastle Ltd. 5.125% 3/15/21 30 32
  Aircastle Ltd. 5.500% 2/15/22 830 886
  Aircastle Ltd. 5.000% 4/1/23 1,225 1,288
  Aircastle Ltd. 4.125% 5/1/24 1,330 1,330
  CIT Group Inc. 3.875% 2/19/19 1,100 1,127
  CIT Group Inc. 5.375% 5/15/20 2,915 3,104
  CIT Group Inc. 5.000% 8/15/22 1,205 1,259
  Homer City Generation LP 8.734% 10/1/26 3,575 1,376
  Navient Corp. 5.500% 1/15/19 2,125 2,203
  Navient Corp. 8.000% 3/25/20 2,000 2,157
  Navient Corp. 6.625% 7/26/21 315 325
  Navient Corp. 7.250% 1/25/22 615 638
  Navient Corp. 6.500% 6/15/22 3,010 3,032
  Navient Corp. 5.500% 1/25/23 2,325 2,225
  Navient Corp. 7.250% 9/25/23 590 597
2 OneMain Financial Holdings LLC 6.750% 12/15/19 285 297
2 Park Aerospace Holdings Ltd. 5.250% 8/15/22 1,370 1,426
2 Park Aerospace Holdings Ltd. 5.500% 2/15/24 1,850 1,935
  Springleaf Finance Corp. 5.250% 12/15/19 210 211
  Springleaf Finance Corp. 6.000% 6/1/20 65 66
  Springleaf Finance Corp. 8.250% 12/15/20 2,300 2,498
  Springleaf Finance Corp. 7.750% 10/1/21 1,965 2,093
  Springleaf Finance Corp. 8.250% 10/1/23 515 541
 
  Insurance (1.9%)        
  Genworth Holdings Inc. 7.700% 6/15/20 270 266
  Genworth Holdings Inc. 7.200% 2/15/21 830 783
  Genworth Holdings Inc. 7.625% 9/24/21 760 718
  Genworth Holdings Inc. 4.900% 8/15/23 1,475 1,232
  Genworth Holdings Inc. 4.800% 2/15/24 220 181
2 Liberty Mutual Group Inc. 7.800% 3/15/37 1,560 1,790
  LifePoint Health Inc. 5.875% 12/1/23 1,635 1,684
  MGIC Investment Corp. 5.750% 8/15/23 725 763
  Radian Group Inc. 5.250% 6/15/20 295 308
  Radian Group Inc. 7.000% 3/15/21 1,705 1,876
1 Voya Financial Inc. 5.650% 5/15/53 2,725 2,773
 
  Other Finance (0.4%)        
  CNO Financial Group Inc. 4.500% 5/30/20 150 155
  CNO Financial Group Inc. 5.250% 5/30/25 1,190 1,220
2,3 Lincoln Finance Ltd. 6.875% 4/15/21 265 302
2 Lincoln Finance Ltd. 7.375% 4/15/21 485 515

 

 

  Nationstar Mortgage LLC / Nationstar Capital        
  Corp. 6.500% 7/1/21 459 462
 
  Real Estate Investment Trusts (0.6%)        
  Felcor Lodging LP 5.625% 3/1/23 2,325 2,412
  Felcor Lodging LP 6.000% 6/1/25 1,160 1,212
          54,935
Industrial (84.8%)        
  Basic Industry (7.3%)        
  AK Steel Corp. 7.625% 10/1/21 355 370
  AK Steel Corp. 7.500% 7/15/23 2,265 2,458
  AK Steel Corp. 7.000% 3/15/27 955 949
2 Anglo American Capital plc 3.625% 5/14/20 1,025 1,037
2 Anglo American Capital plc 4.125% 4/15/21 855 868
2 Anglo American Capital plc 4.125% 9/27/22 665 667
2 Anglo American Capital plc 4.875% 5/14/25 850 858
  ArcelorMittal 5.125% 6/1/20 295 308
  ArcelorMittal 7.000% 2/25/22 560 636
  ArcelorMittal 6.125% 6/1/25 670 743
2 Axalta Coating Systems LLC 4.875% 8/15/24 685 706
  Chemours Co. 6.625% 5/15/23 2,565 2,712
  Chemours Co. 7.000% 5/15/25 1,950 2,101
2,3 Constellium NV 4.625% 5/15/21 125 130
2 Constellium NV 8.000% 1/15/23 1,520 1,558
2 Constellium NV 5.750% 5/15/24 1,085 1,001
2 Constellium NV 6.625% 3/1/25 1,380 1,332
2 First Quantum Minerals Ltd. 7.000% 2/15/21 1,252 1,290
2 First Quantum Minerals Ltd. 7.250% 5/15/22 1,580 1,625
  Graphic Packaging International Inc. 4.125% 8/15/24 760 754
  Hexion Inc. 6.625% 4/15/20 1,545 1,414
2 New Gold Inc. 7.000% 4/15/20 260 261
2 New Gold Inc. 6.250% 11/15/22 1,004 1,008
2 Novelis Corp. 6.250% 8/15/24 1,580 1,643
2 Novelis Corp. 5.875% 9/30/26 1,475 1,501
  Olin Corp. 5.125% 9/15/27 1,685 1,710
  Steel Dynamics Inc. 5.125% 10/1/21 1,320 1,351
  Steel Dynamics Inc. 5.500% 10/1/24 1,185 1,235
  Teck Resources Ltd. 3.750% 2/1/23 295 286
2 Teck Resources Ltd. 8.500% 6/1/24 1,395 1,609
  Teck Resources Ltd. 6.125% 10/1/35 235 243
  Teck Resources Ltd. 6.000% 8/15/40 200 200
  Teck Resources Ltd. 6.250% 7/15/41 645 669
  Teck Resources Ltd. 5.200% 3/1/42 150 141
  Teck Resources Ltd. 5.400% 2/1/43 1,450 1,385
  United States Steel Corp. 7.375% 4/1/20 1,034 1,110
  United States Steel Corp. 6.875% 4/1/21 590 603
2 United States Steel Corp. 8.375% 7/1/21 2,640 2,930
  United States Steel Corp. 7.500% 3/15/22 575 595
  United States Steel Corp. 6.650% 6/1/37 460 401
2 Versum Materials Inc. 5.500% 9/30/24 530 547
2,3 VWR Funding Inc. 4.625% 4/15/22 3,500 3,876
2 Westlake Chemical Corp. 4.875% 5/15/23 230 239
 
  Capital Goods (8.7%)        
2 ARD Finance SA 7.125% 9/15/23 1,795 1,844
2 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 7.250% 5/15/24 1,415 1,512

 

 

2 Ardagh Packaging Finance PLC / Ardagh        
  Holdings USA Inc. 6.000% 2/15/25 2,215 2,234
2 Ashtead Capital Inc. 6.500% 7/15/22 825 858
  Berry Plastics Corp. 5.500% 5/15/22 60 62
  Berry Plastics Corp. 5.125% 7/15/23 60 62
  Berry Plastics Escrow LLC/Berry Plastics        
  Escrow Corp. 6.000% 10/15/22 750 791
2 Bombardier Inc. 7.750% 3/15/20 1,500 1,601
2 Cemex Finance LLC 6.000% 4/1/24 290 305
2 Cemex SAB de CV 6.125% 5/5/25 3,580 3,822
2 Cemex SAB de CV 7.750% 4/16/26 735 827
  Clean Harbors Inc. 5.250% 8/1/20 2,006 2,036
  Clean Harbors Inc. 5.125% 6/1/21 2,033 2,069
  CNH Industrial Capital LLC 3.625% 4/15/18 930 939
  CNH Industrial Capital LLC 3.875% 7/16/18 1,745 1,771
  CNH Industrial Capital LLC 3.375% 7/15/19 257 259
  CNH Industrial Capital LLC 4.375% 11/6/20 1,230 1,272
  CNH Industrial Capital LLC 4.875% 4/1/21 1,155 1,213
  CNH Industrial NV 4.500% 8/15/23 2,320 2,349
  Eagle Materials Inc. 4.500% 8/1/26 185 184
2 Flex Acquisition Co. Inc. 6.875% 1/15/25 3,170 3,218
2 HD Supply Inc. 5.250% 12/15/21 1,105 1,160
2 HD Supply Inc. 5.750% 4/15/24 280 294
2 Huntington Ingalls Industries Inc. 5.000% 11/15/25 385 401
2,3 Loxam SAS 4.250% 4/15/24 190 205
2,3 Loxam SAS 6.000% 4/15/25 185 200
  Masco Corp. 7.750% 8/1/29 480 617
  Masco Corp. 6.500% 8/15/32 120 142
2 Owens-Brockway Glass Container Inc. 5.875% 8/15/23 895 946
2 Owens-Brockway Glass Container Inc. 6.375% 8/15/25 355 379
  PulteGroup Inc. 5.500% 3/1/26 1,245 1,290
  Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 5.750% 10/15/20 985 1,012
2 Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 5.125% 7/15/23 1,490 1,533
2 Reynolds Group Issuer Inc. / Reynolds Group        
  Issuer LLC / Reynolds Group Issuer Lu 7.000% 7/15/24 440 470
2 Signode Industrial Group Lux SA/Signode        
  Industrial Group US Inc. 6.375% 5/1/22 2,293 2,342
2 Standard Industries Inc. 5.500% 2/15/23 295 301
2 Standard Industries Inc. 5.375% 11/15/24 1,085 1,100
2 Standard Industries Inc. 6.000% 10/15/25 4,295 4,435
2 Standard Industries Inc. 5.000% 2/15/27 495 484
  TransDigm Inc. 6.500% 7/15/24 1,600 1,616
  TransDigm Inc. 6.500% 5/15/25 2,635 2,635
  United Rentals North America Inc. 6.125% 6/15/23 355 370
  United Rentals North America Inc. 4.625% 7/15/23 840 864
  United Rentals North America Inc. 5.500% 7/15/25 1,025 1,058
  United Rentals North America Inc. 5.875% 9/15/26 1,215 1,267
  United Rentals North America Inc. 5.500% 5/15/27 1,630 1,642
2 USG Corp. 5.500% 3/1/25 263 272
 
  Communication (25.7%)        
2 Altice Financing SA 6.625% 2/15/23 1,365 1,420
2 Altice Luxembourg SA 7.625% 2/15/25 600 635
2 Altice US Finance I Corp. 5.500% 5/15/26 2,500 2,562
2 Bankrate Inc. 6.125% 8/15/18 385 387

 

 

Belo Corp. 7.750% 6/1/27 205 222
Belo Corp. 7.250% 9/15/27 616 653
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 3/15/21 250 257
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.250% 9/30/22 365 377
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 2/15/23 400 412
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.125% 5/1/23 2,990 3,080
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 9/1/23 1,150 1,193
CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 1/15/24 145 151
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.375% 5/1/25 2,441 2,508
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.750% 2/15/26 1,450 1,523
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.500% 5/1/26 1,686 1,743
2 CCO Holdings LLC / CCO Holdings Capital        
Corp. 5.875% 5/1/27 745 782
2 Cequel Communications Holdings I LLC /        
Cequel Capital Corp. 5.125% 12/15/21 1,935 1,962
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.484% 10/23/45 1,341 1,545
2 Columbus International Inc. 7.375% 3/30/21 1,455 1,553
CSC Holdings LLC 8.625% 2/15/19 1,345 1,480
CSC Holdings LLC 6.750% 11/15/21 1,735 1,878
2 CSC Holdings LLC 5.500% 4/15/27 2,230 2,266
DISH DBS Corp. 6.750% 6/1/21 3,805 4,109
DISH DBS Corp. 5.875% 7/15/22 3,405 3,575
DISH DBS Corp. 5.000% 3/15/23 525 528
DISH DBS Corp. 5.875% 11/15/24 1,575 1,652
DISH DBS Corp. 7.750% 7/1/26 2,350 2,726
Embarq Corp. 7.995% 6/1/36 720 711
Frontier Communications Corp. 11.000% 9/15/25 2,030 1,967
Gannett Co. Inc. 5.125% 7/15/20 1,995 2,055
2 Gannett Co. Inc. 4.875% 9/15/21 410 416
Gannett Co. Inc. 6.375% 10/15/23 2,300 2,429
2 Gannett Co. Inc. 5.500% 9/15/24 200 205
2 Gray Television Inc. 5.125% 10/15/24 1,285 1,266
2 Gray Television Inc. 5.875% 7/15/26 820 836
Lamar Media Corp. 5.000% 5/1/23 1,070 1,105
Lamar Media Corp. 5.375% 1/15/24 115 119
Lamar Media Corp. 5.750% 2/1/26 170 181
Level 3 Financing Inc. 5.375% 8/15/22 2,515 2,600
Level 3 Financing Inc. 5.625% 2/1/23 870 899
Level 3 Financing Inc. 5.125% 5/1/23 1,120 1,134
Level 3 Financing Inc. 5.375% 1/15/24 450 459
Level 3 Financing Inc. 5.375% 5/1/25 1,120 1,145
Level 3 Financing Inc. 5.250% 3/15/26 1,500 1,508
Liberty Interactive LLC 8.500% 7/15/29 1,465 1,641
Liberty Interactive LLC 8.250% 2/1/30 3,945 4,231
National CineMedia LLC 6.000% 4/15/22 1,095 1,126
2 NBCUniversal Enterprise Inc. 5.250% 3/29/49 880 924
Netflix Inc. 5.500% 2/15/22 980 1,039

 

 

  Netflix Inc. 5.875% 2/15/25 2,995 3,205
2 Netflix Inc. 4.375% 11/15/26 1,265 1,243
2 Nielsen Finance LLC / Nielsen Finance Co. 5.000% 4/15/22 3,020 3,088
2 Numericable Group SA 6.000% 5/15/22 1,575 1,632
2 Numericable-SFR SA 7.375% 5/1/26 1,450 1,497
  Quebecor Media Inc. 5.750% 1/15/23 2,385 2,486
  Qwest Corp. 6.875% 9/15/33 481 476
  SBA Communications Corp. 4.875% 7/15/22 1,545 1,566
  Sinclair Television Group Inc. 6.125% 10/1/22 205 214
2 Sinclair Television Group Inc. 5.625% 8/1/24 200 204
2 Sinclair Television Group Inc. 5.875% 3/15/26 2,740 2,808
2 Sinclair Television Group Inc. 5.125% 2/15/27 1,590 1,542
2 Sirius XM Radio Inc. 4.250% 5/15/20 305 308
2 Sirius XM Radio Inc. 4.625% 5/15/23 390 399
2 Sirius XM Radio Inc. 6.000% 7/15/24 1,193 1,279
2 Sirius XM Radio Inc. 5.375% 4/15/25 382 391
2 Softbank Corp. 4.500% 4/15/20 4,925 5,048
  Sprint Capital Corp. 6.875% 11/15/28 4,015 4,241
  Sprint Capital Corp. 8.750% 3/15/32 635 762
2 Sprint Communications Inc. 7.000% 3/1/20 2,245 2,441
  Sprint Communications Inc. 6.000% 11/15/22 325 332
  Sprint Corp. 7.250% 9/15/21 2,590 2,797
  Sprint Corp. 7.875% 9/15/23 8,359 9,258
  Sprint Corp. 7.125% 6/15/24 1,726 1,834
  Sprint Corp. 7.625% 2/15/25 1,440 1,573
  T-Mobile USA Inc. 6.633% 4/28/21 2,665 2,755
  T-Mobile USA Inc. 5.375% 4/15/27 2,945 3,033
  Telecom Italia Capital SA 6.375% 11/15/33 381 384
  Telecom Italia Capital SA 6.000% 9/30/34 1,005 990
  Telecom Italia Capital SA 7.721% 6/4/38 1,280 1,418
  Time Warner Cable LLC 5.875% 11/15/40 60 64
  Time Warner Cable LLC 5.500% 9/1/41 1,973 2,021
4,5 Tribune Company Bank Loan 3.982% 12/27/20 122 123
4,5 Tribune Company Bank Loan 3.982% 1/27/24 1,523 1,532
  Tribune Media Co. 5.875% 7/15/22 2,300 2,392
2 Unitymedia Hessen GmbH & Co. KG /        
  Unitymedia NRW GmbH 5.500% 1/15/23 1,190 1,232
2 Univision Communications Inc. 5.125% 5/15/23 550 548
2 Univision Communications Inc. 5.125% 2/15/25 5,640 5,555
1 Viacom Inc. 5.875% 2/28/57 680 692
1 Viacom Inc. 6.250% 2/28/57 930 935
  Videotron Ltd. 5.000% 7/15/22 3,763 3,928
2 Videotron Ltd. 5.375% 6/15/24 260 270
2 Virgin Media Secured Finance plc 5.500% 1/15/25 610 624
2 Virgin Media Secured Finance plc 5.500% 8/15/26 355 360
2 VTR Finance BV 6.875% 1/15/24 2,720 2,842
2 Wind Acquisition Finance SA 4.750% 7/15/20 2,185 2,218
2 Wind Acquisition Finance SA 7.375% 4/23/21 1,900 1,969
2 WMG Acquisition Corp. 6.750% 4/15/22 2,462 2,585
2 WMG Acquisition Corp. 5.000% 8/1/23 740 749
2 WMG Acquisition Corp. 4.875% 11/1/24 1,105 1,113
  Zayo Group LLC / Zayo Capital Inc. 6.000% 4/1/23 3,315 3,497
  Zayo Group LLC / Zayo Capital Inc. 6.375% 5/15/25 1,430 1,543
2 Zayo Group LLC / Zayo Capital Inc. 5.750% 1/15/27 445 468
 
  Consumer Cyclical (9.2%)        
2 Adient Global Holdings Ltd. 4.875% 8/15/26 3,075 3,014

 

 

  American Axle & Manufacturing Inc. 6.625% 10/15/22 1,300 1,337
4,5 Bass Pro Group, LLC Bank Loan 5.970% 12/15/23 1,323 1,273
4,5 Bass Pro Group, LLC Bank Loan 5.970% 12/15/23 1,772 1,706
  CalAtlantic Group Inc. 5.875% 11/15/24 140 147
  CalAtlantic Group Inc. 5.250% 6/1/26 270 269
  Cedar Fair LP / Canada's Wonderland Co. /        
  MagnumManagement Corp. 5.375% 6/1/24 835 858
  Dana Holding Corp. 5.375% 9/15/21 557 576
  Dana Holding Corp. 5.500% 12/15/24 1,055 1,068
4,5 Delta Alpha Topco Bank Loan 8.068% 7/29/22 1,155 1,157
  GLP Capital LP / GLP Financing II Inc. 4.375% 4/15/21 105 108
  GLP Capital LP / GLP Financing II Inc. 5.375% 11/1/23 2,630 2,785
  GLP Capital LP / GLP Financing II Inc. 5.375% 4/15/26 1,810 1,862
  Goodyear Tire & Rubber Co. 4.875% 3/15/27 1,440 1,436
  Group 1 Automotive Inc. 5.000% 6/1/22 1,335 1,347
2 Group 1 Automotive Inc. 5.250% 12/15/23 1,055 1,063
2 Hanesbrands Inc. 4.625% 5/15/24 730 721
2 Hanesbrands Inc. 4.875% 5/15/26 735 721
2 Hilton Domestic Operating Co. Inc. 4.250% 9/1/24 1,770 1,748
2 Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.625% 4/1/25 3,025 3,048
2 Hilton Worldwide Finance LLC / Hilton        
  Worldwide Finance Corp. 4.875% 4/1/27 1,870 1,884
2 IHO Verwaltungs GmbH 4.500% 9/15/23 725 718
2 IHO Verwaltungs GmbH 4.750% 9/15/26 680 661
4,5 Ion Media Networks Bank Loan 4.500% 12/18/20 1,783 1,796
  KB Home 4.750% 5/15/19 830 852
  KB Home 8.000% 3/15/20 120 133
  KB Home 7.000% 12/15/21 230 253
  KB Home 7.500% 9/15/22 215 236
  KB Home 7.625% 5/15/23 1,300 1,406
2 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.000% 6/1/24 815 828
2 KFC Holding Co./Pizza Hut Holdings        
  LLC/Taco Bell of America LLC 5.250% 6/1/26 760 773
  L Brands Inc. 6.625% 4/1/21 1,430 1,560
4,5 La Quinta Intermediate Holdings LLC Bank        
  Loan 3.772% 4/14/21 1,820 1,831
  Lennar Corp. 4.750% 4/1/21 740 767
  Lennar Corp. 4.125% 1/15/22 1,015 1,023
  Lennar Corp. 4.875% 12/15/23 625 635
  Neiman Marcus Group Inc. 7.125% 6/1/28 1,820 1,329
  Penske Automotive Group Inc. 5.750% 10/1/22 387 401
  Penske Automotive Group Inc. 5.375% 12/1/24 813 814
  PulteGroup Inc. 5.000% 1/15/27 115 115
  Service Corp. International 8.000% 11/15/21 1,225 1,424
  Service Corp. International 5.375% 1/15/22 905 933
2 ServiceMaster Co. LLC 5.125% 11/15/24 1,770 1,810
2 Shea Homes LP / Shea Homes Funding Corp. 5.875% 4/1/23 450 451
2 Shea Homes LP / Shea Homes Funding Corp. 6.125% 4/1/25 450 450
  Toll Brothers Finance Corp. 4.875% 11/15/25 295 295
  Toll Brothers Finance Corp. 4.875% 3/15/27 1,490 1,490
  William Lyon Homes Inc. 7.000% 8/15/22 450 470
2 William Lyon Homes Inc. 5.875% 1/31/25 1,155 1,164
  Wynn Las Vegas LLC / Wynn Las Vegas        
  Capital Corp. 5.375% 3/15/22 4,121 4,209
2 ZF North America Capital Inc. 4.500% 4/29/22 470 489

 

 

2 ZF North America Capital Inc. 4.750% 4/29/25 1,725 1,785
 
  Consumer Noncyclical (13.1%)        
  Alere Inc. 6.500% 6/15/20 481 485
2 Alere Inc. 6.375% 7/1/23 1,135 1,158
  Aramark Services Inc. 5.125% 1/15/24 975 1,021
2 Aramark Services Inc. 5.000% 4/1/25 1,400 1,444
  Aramark Services Inc. 4.750% 6/1/26 580 584
2 Capsugel SA 7.000% 5/15/19 1,155 1,154
2 Change Healthcare Holdings LLC / Change        
  Healthcare Finance Inc. 5.750% 3/1/25 1,290 1,324
  CHS/Community Health Systems Inc. 7.125% 7/15/20 1,060 973
  CHS/Community Health Systems Inc. 5.125% 8/1/21 525 518
  CHS/Community Health Systems Inc. 6.875% 2/1/22 5,455 4,691
  CHS/Community Health Systems Inc. 6.250% 3/31/23 2,185 2,223
2,4 Endo Finance LLC / Endo Finco Inc. 6.000% 2/1/25 2,845 2,432
2 Endo Finance LLC / Endo Ltd. / Endo Finco        
  Inc. 6.000% 7/15/23 2,515 2,201
2 Envision Healthcare Corp. 5.125% 7/1/22 2,806 2,838
  Envision Healthcare Corp. 5.625% 7/15/22 2,645 2,711
  Grifols Worldwide Operations Ltd. 5.250% 4/1/22 996 1,035
  HCA Holdings Inc. 6.250% 2/15/21 1,020 1,102
  HCA Inc. 6.500% 2/15/20 3,875 4,233
  HCA Inc. 5.875% 3/15/22 1,850 2,035
  HCA Inc. 4.750% 5/1/23 2,100 2,189
  HCA Inc. 5.875% 5/1/23 300 324
  HCA Inc. 5.375% 2/1/25 505 525
  HCA Inc. 5.250% 4/15/25 1,500 1,594
  HCA Inc. 7.690% 6/15/25 130 148
  HCA Inc. 5.875% 2/15/26 1,900 2,004
  HCA Inc. 5.250% 6/15/26 975 1,027
2 inVentiv Group Holdings Inc/inVentiv Health        
  Inc/inVentiv Health Clinical Inc. 7.500% 10/1/24 795 819
2 Kinetic Concepts Inc / KCI USA Inc. 7.875% 2/15/21 1,570 1,656
2 Lamb Weston Holdings Inc. 4.625% 11/1/24 1,040 1,058
2 Lamb Weston Holdings Inc. 4.875% 11/1/26 1,040 1,056
4,5 Lands' End, Inc. Bank Loan 4.250% 3/12/21 3,084 2,468
2 LifePoint Health Inc. 5.375% 5/1/24 1,463 1,481
2 MEDNAX Inc. 5.250% 12/1/23 580 592
2 MPH Acquisition Holdings LLC 7.125% 6/1/24 1,590 1,713
2 Post Holdings Inc. 5.500% 3/1/25 795 797
2 Post Holdings Inc. 5.000% 8/15/26 2,915 2,780
2 Post Holdings Inc. 5.750% 3/1/27 665 662
2 Quintiles IMS Inc. 5.000% 10/15/26 1,130 1,130
2 Quintiles Transnational Holdings Inc. 4.875% 5/15/23 750 759
  Revlon Consumer Products Corp. 5.750% 2/15/21 570 569
  Revlon Consumer Products Corp. 6.250% 8/1/24 1,880 1,880
4,5 Revlon Consumer Products Corp. Bank Loan 4.482% 9/7/23 176 176
4,5 Revlon Consumer Products Corp. Bank Loan 4.482% 9/7/23 597 597
4,5 Revlon Consumer Products Corp. Bank Loan 4.482% 9/7/23 16 16
2 Sterigenics-Nordion Holdings LLC 6.500% 5/15/23 1,915 1,958
2 Sterigenics-Nordion Topco LLC 8.125% 11/1/21 275 282
  Tempur Sealy International Inc. 5.625% 10/15/23 270 271
  Tenet Healthcare Corp. 5.000% 3/1/19 1,560 1,560
  Tenet Healthcare Corp. 5.500% 3/1/19 785 793
  Tenet Healthcare Corp. 4.750% 6/1/20 835 852
  Tenet Healthcare Corp. 4.500% 4/1/21 932 933

 

 

Tenet Healthcare Corp. 4.375% 10/1/21 3,520 3,520
2 Tenet Healthcare Corp. 7.500% 1/1/22 265 286
Tenet Healthcare Corp. 8.125% 4/1/22 2,830 2,950
THC Escrow Corp. II 6.750% 6/15/23 595 585
2 Valeant Pharmaceuticals International Inc. 5.375% 3/15/20 2,445 2,188
2 Valeant Pharmaceuticals International Inc. 6.375% 10/15/20 1,550 1,403
2 Valeant Pharmaceuticals International Inc. 6.500% 3/15/22 620 638
2 Valeant Pharmaceuticals International Inc. 7.000% 3/15/24 1,390 1,426
2 Valeant Pharmaceuticals International Inc. 6.125% 4/15/25 1,500 1,155
2 Vizient Inc. 10.375% 3/1/24 1,225 1,396
 
Energy (12.0%)        
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 5.625% 5/20/24 1,395 1,402
AmeriGas Finance LLC / AmeriGas Finance        
Corp. 5.875% 8/20/26 1,395 1,395
AmeriGas Partners LP / AmeriGas Finance        
Corp. 5.500% 5/20/25 620 615
AmeriGas Partners LP / AmeriGas Finance        
Corp. 5.750% 5/20/27 1,015 1,000
Anadarko Petroleum Corp. 5.550% 3/15/26 145 161
Anadarko Petroleum Corp. 6.200% 3/15/40 731 825
Anadarko Petroleum Corp. 6.600% 3/15/46 240 290
Antero Resources Corp. 5.125% 12/1/22 1,445 1,459
Concho Resources Inc. 5.500% 10/1/22 2,440 2,525
Concho Resources Inc. 5.500% 4/1/23 1,150 1,190
Continental Resources Inc. 5.000% 9/15/22 3,354 3,392
Continental Resources Inc. 4.500% 4/15/23 2,280 2,223
Continental Resources Inc. 3.800% 6/1/24 505 470
Continental Resources Inc. 4.900% 6/1/44 706 605
2 DCP Midstream LLC 9.750% 3/15/19 450 505
2 DCP Midstream LLC 5.350% 3/15/20 335 347
DCP Midstream Operating LP 2.700% 4/1/19 600 593
DCP Midstream Operating LP 4.950% 4/1/22 1,436 1,450
DCP Midstream Operating LP 3.875% 3/15/23 325 313
DCP Midstream Operating LP 5.600% 4/1/44 875 809
2 Diamondback Energy Inc. 4.750% 11/1/24 175 176
2 Diamondback Energy Inc. 5.375% 5/31/25 1,430 1,469
Energy Transfer Equity LP 7.500% 10/15/20 2,460 2,755
Energy Transfer Equity LP 5.875% 1/15/24 185 197
Energy Transfer Equity LP 5.500% 6/1/27 2,430 2,545
Ferrellgas LP / Ferrellgas Finance Corp. 6.500% 5/1/21 2,403 2,283
Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 1/15/22 165 156
Ferrellgas LP / Ferrellgas Finance Corp. 6.750% 6/15/23 50 47
Kerr-McGee Corp. 6.950% 7/1/24 985 1,162
Kinder Morgan Inc. 7.750% 1/15/32 740 923
Laredo Petroleum Inc. 5.625% 1/15/22 1,662 1,662
Laredo Petroleum Inc. 7.375% 5/1/22 550 571
Laredo Petroleum Inc. 6.250% 3/15/23 2,158 2,190
Marathon Oil Corp. 3.850% 6/1/25 1,190 1,169
Marathon Oil Corp. 6.800% 3/15/32 250 285
Marathon Oil Corp. 6.600% 10/1/37 300 340
Marathon Oil Corp. 5.200% 6/1/45 395 389
Matador Resources Co. 6.875% 4/15/23 1,720 1,789
2 Matador Resources Co. 6.875% 4/15/23 1,070 1,113
2 MEG Energy Corp. 6.375% 1/30/23 850 761
2 MEG Energy Corp. 7.000% 3/31/24 1,439 1,288

 

 

2 MEG Energy Corp. 6.500% 1/15/25 2,600 2,600
  MPLX LP 4.875% 12/1/24 1,410 1,479
  MPLX LP 4.875% 6/1/25 2,685 2,809
  Newfield Exploration Co. 5.625% 7/1/24 600 632
2 Parsley Energy LLC / Parsley Finance Corp. 5.375% 1/15/25 815 825
  QEP Resources Inc. 6.800% 3/1/20 220 228
  QEP Resources Inc. 6.875% 3/1/21 913 968
  QEP Resources Inc. 5.375% 10/1/22 535 528
  QEP Resources Inc. 5.250% 5/1/23 597 587
  Rice Energy Inc. 7.250% 5/1/23 1,040 1,108
2 RSP Permian Inc. 5.250% 1/15/25 595 599
2 Sabine Pass Liquefaction LLC 5.875% 6/30/26 1,255 1,384
  SM Energy Co. 6.500% 11/15/21 100 103
  SM Energy Co. 6.125% 11/15/22 935 949
  SM Energy Co. 6.500% 1/1/23 75 76
  SM Energy Co. 5.000% 1/15/24 1,994 1,884
  SM Energy Co. 5.625% 6/1/25 1,096 1,044
  SM Energy Co. 6.750% 9/15/26 305 307
2 Southern Star Central Corp. 5.125% 7/15/22 480 482
  Tesoro Corp. 5.125% 4/1/24 996 1,038
2 Tesoro Corp. 5.125% 12/15/26 665 697
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.500% 10/15/19 165 174
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.250% 10/15/22 1,120 1,182
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 6.375% 5/1/24 1,135 1,220
  Tesoro Logistics LP / Tesoro Logistics        
  Finance Corp. 5.250% 1/15/25 970 1,011
  Williams Cos. Inc. 7.875% 9/1/21 510 589
  Williams Cos. Inc. 3.700% 1/15/23 1,225 1,204
  Williams Cos. Inc. 4.550% 6/24/24 681 688
  Williams Cos. Inc. 5.750% 6/24/44 795 801
  WPX Energy Inc. 6.000% 1/15/22 2,706 2,740
  WPX Energy Inc. 5.250% 9/15/24 3,104 2,980
 
  Technology (7.1%)        
  Alcatel-Lucent USA Inc. 6.500% 1/15/28 1,355 1,484
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 2,500 2,750
2 Camelot Finance SA 7.875% 10/15/24 1,260 1,326
  CDW LLC / CDW Finance Corp. 5.000% 9/1/23 730 739
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 485 508
  CDW LLC / CDW Finance Corp. 5.000% 9/1/25 760 772
  Equinix Inc. 5.375% 4/1/23 680 707
  Equinix Inc. 5.375% 5/15/27 780 805
2 First Data Corp. 5.375% 8/15/23 2,265 2,358
2 First Data Corp. 7.000% 12/1/23 5,565 5,969
2 First Data Corp. 5.000% 1/15/24 1,500 1,526
2 First Data Corp. 5.750% 1/15/24 3,901 4,013
  Infor US Inc. 6.500% 5/15/22 3,060 3,121
2,6 Iron Mountain Europe plc 6.125% 9/15/22 755 1,001
  Iron Mountain Inc. 5.750% 8/15/24 825 842
2 MSCI Inc. 5.250% 11/15/24 395 417
2 MSCI Inc. 5.750% 8/15/25 1,560 1,658
2 MSCI Inc. 4.750% 8/1/26 510 516
  NCR Corp. 4.625% 2/15/21 2,375 2,423
  NCR Corp. 5.875% 12/15/21 145 152

 

 

NCR Corp. 5.000% 7/15/22 600 609
NCR Corp. 6.375% 12/15/23 455 479
Nokia Oyj 6.625% 5/15/39 2,250 2,371
2 Open Text Corp. 5.625% 1/15/23 1,070 1,111
2 Open Text Corp. 5.875% 6/1/26 1,345 1,402
2 Sensata Technologies BV 5.625% 11/1/24 575 598
2 Sensata Technologies BV 5.000% 10/1/25 1,610 1,622
2 Sensata Technologies UK Financing Co. plc 6.250% 2/15/26 1,520 1,607
SS&C Technologies Holdings Inc. 5.875% 7/15/23 890 941
2 Symantec Corp. 5.000% 4/15/25 1,920 1,965
 
Transportation (1.7%)        
2 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.125% 6/1/22 1,876 1,801
Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 5.500% 4/1/23 2,028 1,970
2 Avis Budget Car Rental LLC / Avis Budget        
Finance Inc. 6.375% 4/1/24 580 579
1 Continental Airlines 2007-1 Class B Pass        
Through Trust 6.903% 4/19/22 291 303
Hertz Corp. 6.750% 4/15/19 720 719
Hertz Corp. 5.875% 10/15/20 1,330 1,273
Hertz Corp. 7.375% 1/15/21 2,230 2,219
2 Hertz Corp. 5.500% 10/15/24 2,690 2,337
        547,317
Utilities (2.7%)        
Electric (2.7%)        
AES Corp. 4.875% 5/15/23 600 596
AES Corp. 5.500% 3/15/24 3,706 3,762
Calpine Corp. 5.375% 1/15/23 1,025 1,034
2 Calpine Corp. 5.875% 1/15/24 285 301
Calpine Corp. 5.750% 1/15/25 4,580 4,534
GenOn Energy Inc. 7.875% 6/15/17 575 397
GenOn Energy Inc. 9.500% 10/15/18 1,800 1,204
GenOn Energy Inc. 9.875% 10/15/20 745 488
NRG Energy Inc. 7.875% 5/15/21 44 45
NRG Energy Inc. 6.250% 7/15/22 1,544 1,571
NRG Energy Inc. 6.625% 3/15/23 300 306
NRG Energy Inc. 6.250% 5/1/24 1,416 1,414
NRG Energy Inc. 7.250% 5/15/26 1,425 1,464
        17,116
Total Corporate Bonds (Cost $606,759)       619,368
 
      Shares  
Temporary Cash Investment (2.6%)        
Repurchase Agreement (2.6%)        
Bank of America Securities, LLC        
(Dated 3/31/17, Repurchase Value        
$16,901,000, collateralized by Government        
National Mortgage Assn. 3.500%, 2/20/47,        
with a value of $17,238,000) (Cost        
$16,900) 0.800% 4/3/17 16,900 16,900
Total Investments (98.6%) (Cost $623,659)       636,268
Other Assets and Liabilities-Net (1.4%)7       9,011
Net Assets (100%)       645,279

 

 

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the aggregate
value of these securities was $235,547,000, representing 36.5% of net assets.
3 Face amount denominated in euro.
4 Adjustable-rate security.
5 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and
private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At March 31,
2017, the aggregate value of these securities was $12,675,000, representing 2.0% of net assets.
6 Face amount denominated in British pounds.
7 Cash of $165,000 has been segregated as initial margin for open cleared swap contracts.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.

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

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

 

D. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Corporate Bonds — 619,368 —
Temporary Cash Investments — 16,900 —
Forward Currency Contracts—Assets — 110 —
Swap Contracts—Assets1 159 — —
Total 159 636,378 —

1 Represents variation margin on the last day of the reporting period.

E. Forward Currency Contracts: The portfolio enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The portfolio'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 portfolio mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio 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 portfolio under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio's net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

 

At March 31, 2017, the portfolio had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.

    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Citbank, N.A. 4/28/17 USD 5,132 EUR 4,710 102
JPMorgan Chase Bank, N.A. 4/28/17 USD 973 GBP 771 6
Barclays Bank plc 4/28/17 USD 403 EUR 375 2
            110

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

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

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the portfolio 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 portfolio (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the portfolio) will be significantly less than the amount paid by the portfolio and, in a physically settled swap, the portfolio 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 portfolio. The portfolio's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The portfolio mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the portfolio 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 portfolio under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio's net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The portfolio enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the portfolio's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the portfolio 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 the period ended March 31, 2017, the portfolio had the following open credit default swap contracts:

Centrally Cleared 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            
CDX-HY-S28-V1-5Y 6/20/22 ICE 2,885 — 5.000 2
ICE – Intercontinental Exchange.

 

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.

G. At March 31, 2017, the cost of investment securities for tax purposes was $623,659,000. Net unrealized appreciation of investment securities for tax purposes was $12,609,000, consisting of unrealized gains of $20,967,000 on securities that had risen in value since their purchase and $8,358,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Money Market Portfolio

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

        Face Market
      Maturity Amount Value
    Yield1 Date ($000) ($000)
U.S. Government and Agency Obligations (25.2%)        
2 Federal Home Loan Bank Discount        
  Notes 0.750% 4/10/17 2,100 2,100
2 Federal Home Loan Bank Discount 0.535%–      
  Notes 0.750% 4/12/17 36,729 36,721
2 Federal Home Loan Bank Discount        
  Notes 0.770% 4/17/17 250 250
2 Federal Home Loan Bank Discount        
  Notes 0.750% 4/21/17 10,800 10,795
  United States Treasury Bill 0.471% 4/20/17 13,359 13,356
  United States Treasury Bill 0.476% 4/27/17 15,309 15,304
  United States Treasury Bill 0.501% 5/4/17 15,000 14,993
  United States Treasury Bill 0.536% 5/11/17 20,000 19,988
  United States Treasury Bill 0.627% 5/18/17 20,000 19,984
  United States Treasury Bill 0.607% 5/25/17 20,000 19,982
    0.741%–      
  United States Treasury Bill        
    0.756% 6/8/17 17,750 17,725
  United States Treasury Bill 0.647% 6/15/17 15,000 14,980
  United States Treasury Bill 0.672% 8/24/17 15,000 14,959
    0.823%–      
  United States Treasury Bill        
    0.833% 8/31/17 20,000 19,930
3 United States Treasury Floating        
  Rate Note 0.952% 10/31/18 15,000 15,000
Total U.S. Government and Agency Obligations (Cost $236,067)     236,067
Commercial Paper (36.5%)        
Bank Holding Company (0.3%)        
4 ABN Amro Funding USA LLC 1.195% 4/27/17 750 749
4 ABN Amro Funding USA LLC 1.154% 5/18/17 500 499
4 ABN Amro Funding USA LLC 1.154% 5/22/17 1,000 999
4 ABN Amro Funding USA LLC 1.125% 6/22/17 250 250
4 ABN Amro Funding USA LLC 1.205% 7/17/17 500 498
          2,995
Finance—Auto (1.5%)        
  American Honda Finance Corp. 0.932% 4/25/17 3,500 3,498
  American Honda Finance Corp. 0.973% 5/4/17 2,000 1,998
  American Honda Finance Corp. 0.973% 5/5/17 1,250 1,249
4 BMW US Capital LLC 0.830% 4/6/17 1,000 1,000
4 BMW US Capital LLC 0.913% 6/28/17 250 249
  Toyota Motor Credit Corp. 1.046% 5/8/17 800 799
  Toyota Motor Credit Corp. 1.024% 6/27/17 1,000 998
  Toyota Motor Credit Corp. 1.175% 7/17/17 250 249
3 Toyota Motor Credit Corp. 1.214% 8/25/17 750 750
3 Toyota Motor Credit Corp. 1.311% 9/14/17 1,000 1,000
3 Toyota Motor Credit Corp. 1.332% 9/15/17 1,000 1,000
3 Toyota Motor Credit Corp. 1.281% 10/6/17 750 750
3 Toyota Motor Credit Corp. 1.281% 10/10/17 500 500
          14,040

 

 

Vanguard Money Market Portfolio

Foreign Banks (21.9%)        
3, Australia & New Zealand Banking        
  4 Group Ltd. 0.984% 9/7/17 3,250 3,250
3, Australia & New Zealand Banking        
  4 Group Ltd. 0.998% 9/12/17 1,000 1,000
 
3,4 Bank of Nova Scotia 1.474% 5/12/17 5,000 5,002
 
3,4 Bank of Nova Scotia 1.200% 6/6/17 5,000 5,000
 
3,4 Bank of Nova Scotia 1.220% 7/6/17 2,000 2,000
 
3,4 Canadian Imperial Bank of Commerce 1.434% 7/24/17 5,000 5,000
 
3,4 Canadian Imperial Bank of Commerce 1.261% 8/3/17 5,000 5,000
 
3,4 Commonwealth Bank of Australia 1.532% 5/19/17 1,250 1,250
 
3,4 Commonwealth Bank of Australia 1.532% 5/26/17 3,750 3,750
 
3,4 Commonwealth Bank of Australia 1.626% 6/21/17 2,000 2,000
 
3,4 Commonwealth Bank of Australia 1.422% 6/30/17 2,250 2,250
 
3,4 Commonwealth Bank of Australia 1.602% 6/30/17 2,750 2,750
 
3,4 Commonwealth Bank of Australia 1.334% 8/1/17 2,750 2,750
 
3,4 Commonwealth Bank of Australia 1.335% 8/3/17 2,250 2,250
 
3,4 Commonwealth Bank of Australia 1.662% 9/25/17 1,250 1,250
 
3,4 Commonwealth Bank of Australia 1.350% 1/5/18 1,000 1,000
 
3,4 Commonwealth Bank of Australia 1.463% 1/12/18 4,000 4,000
 
3,4 Commonwealth Bank of Australia 1.254% 1/25/18 2,000 2,000
 
3,4 Commonwealth Bank of Australia 1.342% 2/26/18 500 500
  credit agricole corporate and        
  investment bank (new york) 0.800% 4/3/17 5,000 5,000
4 danske corp. 1.129% 4/24/17 1,750 1,749
4 Danske Corp. 1.104% 5/9/17 1,000 999
4 Danske Corp. 1.104% 5/10/17 1,250 1,248
4   1.033%–      
  Danske Corp.        
    1.074% 6/1/17 8,800 8,784
4 Danske Corp. 1.114% 6/14/17 4,500 4,490
4 Danske Corp. 1.084% 6/16/17 1,508 1,505
4 DBS Bank Ltd. 0.860% 4/5/17 23,500 23,498
 
3,4 HSBC Bank plc 1.228% 12/20/17 2,750 2,750
 
3,4 HSBC Bank plc 1.308% 3/19/18 1,500 1,500
    1.053%–      
  ING US Funding LLC        
    1.084% 5/12/17 6,000 5,993
  ING US Funding LLC 1.129% 5/15/17 2,500 2,497
  Lloyds Bank plc 1.084% 5/4/17 2,300 2,298

 

 

Vanguard Money Market Portfolio        
 
 
 
  Lloyds Bank plc 0.982% 5/26/17 600 599
  Lloyds Bank plc 1.064% 6/13/17 1,000 998
 
3,4 National Australia Bank Ltd. 1.458% 4/10/17 2,500 2,500
4 National Australia Bank Ltd. 1.096% 4/18/17 1,500 1,499
 
3,4 National Australia Bank Ltd. 1.260% 8/4/17 1,500 1,500
 
3,4 National Australia Bank Ltd. 1.297% 9/8/17 6,000 6,000
4 National Australia Bank Ltd. 1.197% 9/25/17 5,000 4,971
  Natixis (New York Branch) 0.900% 4/3/17 9,000 8,999
4 Societe Generale SA 0.840% 4/3/17 18,500 18,499
4 Svenska Handelsbanken AB 1.217% 9/5/17 500 497
4 Svenska Handelsbanken AB 1.259% 10/2/17 1,500 1,490
4 Svenska Handelsbanken AB 1.321% 11/1/17 500 496
  Swedbank AB 1.008% 6/12/17 3,000 2,994
  Swedbank AB 1.003% 6/14/17 900 898
  Swedbank AB 1.003% 6/16/17 3,300 3,293
  Swedbank AB 1.013% 6/19/17 10,000 9,978
  Swedbank AB 1.008% 6/22/17 800 798
4 Toronto Dominion Holdings USA Inc. 1.165% 7/3/17 1,000 997
 
3,4 Westpac Banking Corp. 1.382% 4/27/17 3,000 3,000
 
3,4 Westpac Banking Corp. 1.522% 5/26/17 4,250 4,250
4 Westpac Banking Corp. 1.207% 8/4/17 2,000 1,992
4 Westpac Banking Corp. 1.259% 8/30/17 5,000 4,974
 
3,4 Westpac Banking Corp. 1.480% 10/6/17 2,000 2,000
 
3,4 Westpac Banking Corp. 1.411% 12/14/17 3,000 3,000
 
3,4 Westpac Banking Corp. 1.170% 3/1/18 2,000 2,000
 
3,4 Westpac Banking Corp. 1.263% 3/12/18 3,000 3,000
          205,535
Foreign Governments (10.5%)        
4   1.176%–      
  CDP Financial Inc.        
    1.217% 4/3/17 7,750 7,750
4   1.155%–      
  CDP Financial Inc.        
    1.156% 4/20/17 2,250 2,249
4 CDP Financial Inc. 1.147% 5/8/17 500 499
4 CDP Financial Inc. 1.104% 5/9/17 250 250
4 CDP Financial Inc. 1.155% 5/26/17 1,500 1,497
4   1.206%–      
  CDP Financial Inc.        
    1.288% 6/8/17 6,250 6,235
4 CDP Financial Inc. 1.257% 6/30/17 500 498
4 CDP Financial Inc. 1.204% 7/6/17 250 249
4 CDP Financial Inc. 1.235% 7/17/17 250 249
4 CDP Financial Inc. 1.154% 7/24/17 250 249
4   1.185%–      
  CDP Financial Inc.        
    1.226% 8/4/17 9,300 9,261
4 CDP Financial Inc. 1.359% 9/27/17 500 497
5 CPPIB Capital Inc. 0.877% 6/2/17 3,000 2,996
5 CPPIB Capital Inc. 0.877% 6/5/17 2,000 1,997
5 CPPIB Capital Inc. 0.867% 6/20/17 5,000 4,990
  Export Development Canada 1.003% 6/15/17 500 499

 

 

Vanguard Money Market Portfolio        
 
 
 
4   1.033%–      
  Ontario Teachers' Finance Trust        
    1.207% 4/11/17 3,350 3,349
4 Ontario Teachers' Finance Trust 1.187% 4/17/17 2,000 1,999
4 Ontario Teachers' Finance Trust 1.239% 4/26/17 250 250
4 Ontario Teachers' Finance Trust 1.239% 4/27/17 4,740 4,736
4 Ontario Teachers' Finance Trust 1.228% 5/10/17 250 250
4 Ontario Teachers' Finance Trust 1.239% 5/19/17 600 599
 
3,4 Ontario Teachers' Finance Trust 1.374% 5/24/17 1,000 1,000
4 Ontario Teachers' Finance Trust 1.329% 6/29/17 11,324 11,287
 
3,4 Ontario Teachers' Finance Trust 1.352% 7/27/17 500 500
 
3,4 Ontario Teachers' Finance Trust 1.261% 8/3/17 1,000 1,000
4 Ontario Teachers' Finance Trust 1.269% 8/21/17 500 498
4 Ontario Teachers' Finance Trust 1.310% 8/24/17 500 497
4 Ontario Teachers' Finance Trust 1.257% 9/6/17 5,000 4,973
4 Ontario Teachers' Finance Trust 1.259% 9/18/17 500 497
 
3,4 Ontario Teachers' Finance Trust 1.111% 10/13/17 1,000 1,000
5   0.850%–      
  PSP Capital Inc.        
    0.948% 4/3/17 12,015 12,014
5 PSP Capital Inc. 0.982% 4/17/17 500 500
5 PSP Capital Inc. 0.982% 4/18/17 1,000 1,000
5 PSP Capital Inc. 0.982% 4/19/17 500 500
5 PSP Capital Inc. 1.033% 4/28/17 1,981 1,979
5 PSP Capital Inc. 1.034% 5/5/17 1,000 999
5 PSP Capital Inc. 1.034% 5/8/17 750 749
5 PSP Capital Inc. 1.034% 5/9/17 500 499
5 PSP Capital Inc. 1.023% 5/24/17 1,000 999
5 PSP Capital Inc. 1.023% 5/25/17 500 499
5 PSP Capital Inc. 1.024% 5/30/17 500 499
5 PSP Capital Inc. 1.013% 6/1/17 350 349
5 PSP Capital Inc. 0.963% 6/20/17 250 249
5   0.953%–      
  PSP Capital Inc.        
    0.963% 6/23/17 500 499
5 PSP Capital Inc. 0.953% 6/28/17 4,700 4,689
5 PSP Capital Inc. 0.943% 6/30/17 500 499
          98,922
Foreign Industrial (1.9%)        
  Nestle Finance International Ltd. 0.893% 6/22/17 2,500 2,495
  Nestle Finance International Ltd. 0.862% 6/29/17 2,000 1,996
4 Total Capital Canada Ltd. 0.952% 4/3/17 2,000 2,000
4 Total Capital Canada Ltd. 0.952% 4/10/17 500 500
4 Total Capital Canada Ltd. 0.952% 4/11/17 3,750 3,749
4 Total Capital Canada Ltd. 0.942% 4/18/17 3,000 2,998
4 Total Capital Canada Ltd. 0.932% 4/28/17 500 499
4 Total Capital Canada Ltd. 1.028% 6/20/17 3,000 2,993
  Toyota Capital Canada Inc. 1.013% 4/5/17 500 500
  Toyota Capital Canada Inc. 1.187% 8/14/17 250 249
          18,979
Industrial (0.4%)        
  GE Capital Treasury Services US LLC 0.903% 6/26/17 750 748
4 Henkel of America Inc. 1.133% 6/12/17 250 249
4 Henkel of America Inc. 1.174% 6/20/17 500 499
4 Henkel of America Inc. 1.184% 6/19/17 500 499
4 Henkel of America Inc. 1.143% 6/21/17 500 499

 

 

Vanguard Money Market Portfolio        
 
 
 
4 Henkel of America Inc. 1.093% 6/23/17 250 249
4 Henkel of America Inc. 1.093% 6/26/17 500 499
          3,242
Total Commercial Paper (Cost $342,713)       342,713
Certificates of Deposit (32.9%)        
Domestic Banks (5.9%)        
  Citibank NA 1.050% 4/3/17 4,000 4,000
  Citibank NA 1.220% 8/7/17 1,250 1,250
  Citibank NA 1.280% 8/17/17 1,000 1,000
  Citibank NA 1.260% 8/21/17 1,500 1,500
  Citibank NA 1.260% 8/22/17 1,250 1,250
  Citibank NA 1.260% 8/23/17 1,250 1,250
  Citibank NA 1.260% 8/24/17 1,250 1,250
3 Citibank NA 1.172% 8/30/17 2,500 2,500
3 HSBC Bank USA NA 1.421% 4/3/17 3,000 3,000
3 HSBC Bank USA NA 1.578% 4/19/17 1,000 1,000
3 HSBC Bank USA NA 1.440% 5/4/17 750 750
3 HSBC Bank USA NA 1.300% 6/5/17 1,500 1,500
3 HSBC Bank USA NA 1.164% 9/1/17 4,000 4,000
3 HSBC Bank USA NA 1.004% 10/2/17 2,000 2,000
3 HSBC Bank USA NA 1.194% 3/2/18 750 750
3 HSBC Bank USA NA 1.190% 3/6/18 1,000 1,000
3 JPMorgan Chase Bank NA 1.526% 4/21/17 500 500
3 JPMorgan Chase Bank NA 1.339% 5/2/17 500 500
3 State Street Bank & Trust Co. 1.356% 6/21/17 9,000 9,000
  Wells Fargo Bank NA 0.940% 4/3/17 2,000 2,000
3 Wells Fargo Bank NA 1.452% 4/25/17 3,000 3,000
3 Wells Fargo Bank NA 1.271% 5/4/17 2,000 2,000
3 Wells Fargo Bank NA 1.184% 6/1/17 4,000 4,000
3 Wells Fargo Bank NA 1.364% 7/24/17 1,000 1,000
3 Wells Fargo Bank NA 0.990% 9/6/17 5,000 5,000
          55,000
Eurodollar Certificates of Deposit (0.4%)        
3 National Australia Bank Ltd. 1.220% 11/6/17 4,000 4,000
 
Yankee Certificates of Deposit (26.6%)        
3 Bank of Montreal (Chicago Branch) 1.189% 5/2/17 5,000 5,000
3 Bank of Montreal (Chicago Branch) 1.224% 6/7/17 7,000 7,000
3 Bank of Montreal (Chicago Branch) 1.210% 7/5/17 5,000 5,000
3 Bank of Montreal (Chicago Branch) 0.971% 9/1/17 1,000 1,000
3 Bank of Montreal (Chicago Branch) 1.000% 9/6/17 1,000 1,000
3 Bank of Montreal (Chicago Branch) 1.168% 9/20/17 4,000 4,000
3 Bank of Nova Scotia (Houston        
  Branch) 1.516% 6/9/17 1,000 1,001
  Bank of Tokyo-Mitsubishi UFJ Ltd.        
  (New York Branch) 1.120% 5/17/17 5,000 5,000
  Bank of Tokyo-Mitsubishi UFJ Ltd.        
  (New York Branch) 1.140% 5/18/17 3,000 3,000
  Bank of Tokyo-Mitsubishi UFJ Ltd.        
  (New York Branch) 1.140% 6/1/17 5,000 5,000
  Bank of Tokyo-Mitsubishi UFJ Ltd.        
  (New York Branch) 1.140% 6/2/17 4,000 4,000
  Bank of Tokyo-Mitsubishi UFJ Ltd.        
  (New York Branch) 1.220% 7/20/17 1,000 1,000
  BNP Paribas SA (New York Branch) 0.890% 4/4/17 13,000 13,000
  BNP Paribas SA (New York Branch) 0.880% 4/6/17 5,000 5,000

 

 

Vanguard Money Market Portfolio        
 
 
 
3 Canadian Imperial Bank of Commerce        
  (New York Branch) 1.201% 5/3/17 1,000 1,000
3 Canadian Imperial Bank of Commerce        
  (New York Branch) 1.282% 5/15/17 5,000 5,000
  Canadian Imperial Bank of Commerce        
  (New York Branch) 1.170% 8/8/17 4,000 4,000
  Canadian Imperial Bank of Commerce        
  (New York Branch) 1.400% 9/20/17 3,000 3,001
  DNB Bank ASA (New York Branch) 0.870% 4/6/17 8,000 8,000
  DNB Bank ASA (New York Branch) 1.050% 6/2/17 5,000 5,000
  DNB Bank ASA (New York Branch) 1.020% 6/27/17 10,000 10,000
  KBC Bank NV (New York Branch) 0.880% 4/5/17 500 500
  Natixis (New York Branch) 0.860% 4/5/17 3,000 3,000
  Nordea Bank AB (New York Branch) 1.000% 5/26/17 5,000 5,000
  Nordea Bank AB (New York Branch) 0.985% 6/22/17 3,000 3,000
  Nordea Bank AB (New York Branch) 0.990% 6/30/17 1,750 1,750
  Nordea Bank AB (New York Branch) 1.350% 9/8/17 9,000 9,003
3 Royal Bank of Canada (New York        
  Branch) 1.261% 6/12/17 7,000 7,000
3 Royal Bank of Canada (New York        
  Branch) 1.191% 7/3/17 5,000 5,000
3 Royal Bank of Canada (New York        
  Branch) 1.158% 9/20/17 5,260 5,260
3 Royal Bank of Canada (New York        
  Branch) 1.238% 12/20/17 8,000 8,000
3 Royal Bank of Canada (New York        
  Branch) 1.184% 3/7/18 1,125 1,125
3 Royal Bank of Canada (New York        
  Branch) 1.298% 3/20/18 1,220 1,220
  Skandinaviska Enskilda Banken AB        
  (New York Branch) 0.870% 4/6/17 18,000 18,000
  Skandinaviska Enskilda Banken AB        
  (New York Branch) 0.950% 5/30/17 5,000 5,000
  Sumitomo Mitsui Banking Corp. (New        
  York Branch) 1.100% 4/4/17 5,000 5,000
  Sumitomo Mitsui Banking Corp. (New        
  York Branch) 1.100% 4/5/17 3,000 3,000
  Sumitomo Mitsui Banking Corp. (New        
  York Branch) 1.100% 4/21/17 1,000 1,000
  Sumitomo Mitsui Banking Corp. (New        
  York Branch) 1.100% 6/8/17 500 500
3 Svenska HandelsBanken AB (New York        
  Branch) 1.209% 5/2/17 5,000 5,000
3 Svenska HandelsBanken AB (New York        
  Branch) 1.452% 5/26/17 5,000 5,000
3 Svenska HandelsBanken AB (New York        
  Branch) 1.210% 7/5/17 5,000 5,000
  Svenska HandelsBanken AB (New York        
  Branch) 1.210% 7/26/17 1,000 1,000
  Swedbank AB (New York Branch) 0.880% 4/3/17 5,000 5,000
3 Swedbank AB (New York Branch) 1.317% 5/22/17 5,000 5,000
3 Toronto Dominion Bank (New York        
  Branch) 1.217% 6/8/17 4,000 4,000
3 Toronto Dominion Bank (New York        
  Branch) 1.335% 7/6/17 4,250 4,250
  Toronto Dominion Bank (New York        
  Branch) 1.170% 8/22/17 5,000 5,000

 

 

Vanguard Money Market Portfolio        
 
 
 
3 Toronto Dominion Bank (New York        
  Branch) 1.249% 9/5/17 4,000 4,000
3 Toronto Dominion Bank (New York        
  Branch) 1.224% 11/1/17 2,000 2,000
3 Toronto Dominion Bank (New York        
  Branch) 1.238% 12/20/17 3,000 3,000
3 Toronto Dominion Bank (New York        
  Branch) 1.298% 3/20/18 5,000 5,000
  UBS AG (Stamford Branch) 1.000% 6/1/17 5,000 5,000
  UBS AG (Stamford Branch) 1.010% 6/9/17 3,000 3,000
  UBS AG (Stamford Branch) 1.010% 6/12/17 2,000 2,000
3 UBS AG (Stamford Branch) 1.037% 7/10/17 5,000 5,000
3 Westpac Banking Corp. (New York        
  Branch) 1.663% 9/28/17 1,500 1,500
3 Westpac Banking Corp. (New York        
  Branch) 1.662% 9/29/17 2,000 2,000
          250,110
Total Certificates of Deposit (Cost $309,110)       309,110
Other Notes (0.9%)        
  Bank of America NA 1.060% 5/12/17 2,400 2,400
  Bank of America NA 1.050% 6/1/17 1,500 1,500
  Bank of America NA 1.060% 7/3/17 1,500 1,500
3 Bank of America NA 0.944% 7/6/17 1,500 1,500
3 Bank of America NA 1.184% 10/2/17 1,500 1,500
Total Other Notes (Cost $8,400)       8,400
Tax-Exempt Municipal Bonds (2.6%)        
6 Arizona Health Facilities Authority        
  Revenue (Catholic Healthcare West)        
  VRDO 0.950% 4/7/17 250 250
6 Bay Area Toll Authority California        
  Toll Bridge Revenue (San Francisco        
  Bay Area) VRDO 0.870% 4/7/17 7,400 7,400
5, BlackRock Municipal Income Trust        
  6 TOB VRDO 1.010% 4/3/17 1,650 1,650
  Board of Regents of the University        
  of Texas System Revenue Financing        
  System Revenue VRDO 0.940% 4/7/17 750 750
  Board of Regents of the University        
  of Texas System Revenue Financing        
  System Revenue VRDO 0.940% 4/7/17 1,000 1,000
6 Clark County NV Airport Improvement        
  Revenue VRDO 0.920% 4/7/17 750 750
6 Indiana Finance Authority Revenue        
  VRDO 0.920% 4/7/17 7,895 7,895
6 Jacksonville FL Capital Project        
  Revenue VRDO 0.920% 4/7/17 250 250
6 Kentucky Higher Education Student        
  Loan Corp. Student Loan Revenue        
  VRDO 0.890% 4/7/17 250 250
  Loudoun County VA Industrial        
  Development Authority Revenue        
  (Howard Hughes Medical Institute)        
  VRDO 0.850% 4/7/17 250 250

 

 

Vanguard Money Market Portfolio        
 
 
 
  Maryland Economic Development Corp.        
    Revenue (Howard Hughes Medical        
    Institute) VRDO 0.850% 4/7/17 250 250
6 New York State Dormitory Authority        
    Revenue (City University System)        
    VRDO 0.880% 4/7/17 1,650 1,650
6 New York State Housing Finance        
    Agency Housing Revenue (625 W 57th        
    Street) VRDO 0.840% 4/7/17 500 500
6 University of Alabama at Birmingham        
    Hospital Revenue VRDO 0.910% 4/7/17 250 250
  University of Texas Permanent        
    University Fund Revenue VRDO 0.890% 4/7/17 1,000 1,000
Total Tax-Exempt Municipal Bonds (Cost $24,095)       24,095
Corporate Bonds (0.4%)        
  Credit Suisse AG (New York Branch) 1.375% 5/26/17 1,000 1,001
3 Toyota Motor Credit Corp. 1.373% 4/24/17 3,000 3,000
Total Corporate Bonds (Cost $4,001)       4,001
Taxable Municipal Bonds (1.5%)        
5, BlackRock Municipal Bond Trust TOB        
  6 VRDO 1.010% 4/3/17 285 285
5, BlackRock Municipal Income        
  6 Investment Quality Trust TOB VRDO 1.010% 4/3/17 300 300
5, BlackRock Municipal Income Trust II        
  6 TOB VRDO 1.010% 4/3/17 2,000 2,000
5, BlackRock MuniHoldings Fund II,        
  6 Inc. TOB VRDO 1.010% 4/3/17 330 330
5, BlackRock MuniHoldings Fund, Inc.        
  6 TOB VRDO 1.010% 4/3/17 195 195
5, BlackRock MuniHoldings Quality Fund        
  6 II, Inc. TOB VRDO 1.010% 4/3/17 1,550 1,550
5, BlackRock MuniHoldings Quality Fund        
  6 II, Inc. TOB VRDO 1.010% 4/3/17 390 390
5, BlackRock MuniVest Fund II, Inc.        
  6 TOB VRDO 1.010% 4/3/17 1,150 1,150
5, BlackRock MuniVest Fund, Inc. TOB        
  6 VRDO 1.010% 4/3/17 1,000 1,000
5, BlackRock MuniYield Investment        
  6 Quality Fund TOB VRDO 1.010% 4/3/17 380 380
5, BlackRock MuniYield Investment        
  6 Quality Fund TOB VRDO 1.010% 4/3/17 1,000 1,000
5, BlackRock Strategic Municipal Trust        
  6 TOB VRDO 1.010% 4/3/17 200 200
5 Los Angeles CA Department of Water        
    & Power Revenue TOB VRDO 1.060% 4/7/17 145 145
5 Massachusetts Transportation Fund        
    Revenue TOB VRDO 1.060% 4/7/17 100 100
6 New Jersey Housing & Mortgage        
    Finance Agency Multi-Family        
    Housing Revenue 1.000% 4/7/17 4,095 4,095
6 New York State Housing Finance        
    Agency Housing Revenue VRDO 0.980% 4/7/17 500 500
5 Seattle WA Municipal Light & Power        
    Revenue TOB VRDO 1.060% 4/7/17 100 100
Total Taxable Municipal Bonds (Cost $13,720)       13,720

 

 

Vanguard Money Market Portfolio

Total Investments (100.0%) (Cost $938,106) 938,106
Other Assets and Liabilities-Net (0.0%) 62
Net Assets (100%) 938,168

1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
4 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At March 31,
2017, the aggregate value of these securities was $242,585,000, representing 25.9% of net assets.
5 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 March 31, 2017, the aggregate
value of these securities was $47,280,000, representing 5.0% of net assets.
6 Scheduled principal and interest payments are guaranteed by bank letter of credit.
TOB
Tender Option Bond.
—
VRD
—Variable Rate Demand Obligation.
O

 

Vanguard Money Market Portfolio

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. Securities are valued at amortized cost, which approximates market value.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to determine the fair value of investments).

At March 31, 2017, 100% of the market value of the portfolio's investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.


Vanguard Short-Term Investment-Grade Portfolio

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

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (17.6%)        
U.S. Government Securities (17.5%)        
  United States Treasury Inflation Indexed        
  Bonds 1.625% 1/15/18 4,050 4,791
  United States Treasury Inflation Indexed        
  Bonds 0.125% 4/15/18 20,925 22,161
  United States Treasury Inflation Indexed        
  Bonds 0.375% 1/15/27 28,959 28,994
  United States Treasury Inflation Indexed        
  Bonds 1.000% 2/15/46 1,000 1,040
  United States Treasury Inflation Indexed        
  Bonds 0.875% 2/15/47 1,750 1,733
  United States Treasury Note/Bond 1.250% 11/15/18 2,450 2,452
  United States Treasury Note/Bond 1.125% 1/15/19 6,800 6,787
  United States Treasury Note/Bond 1.250% 1/31/19 6,000 6,001
  United States Treasury Note/Bond 0.750% 2/15/19 20,100 19,918
  United States Treasury Note/Bond 2.750% 2/15/19 1,000 1,028
  United States Treasury Note/Bond 1.500% 2/28/19 4,600 4,621
  United States Treasury Note/Bond 1.000% 3/15/19 8,300 8,257
1 United States Treasury Note/Bond 1.625% 3/31/19 8,500 8,560
  United States Treasury Note/Bond 0.875% 4/15/19 7,200 7,141
  United States Treasury Note/Bond 1.625% 4/30/19 4,500 4,531
  United States Treasury Note/Bond 0.875% 6/15/19 9,000 8,913
  United States Treasury Note/Bond 1.625% 6/30/19 5,010 5,043
  United States Treasury Note/Bond 0.750% 7/15/19 14,518 14,325
  United States Treasury Note/Bond 0.750% 8/15/19 13,179 12,992
  United States Treasury Note/Bond 1.000% 8/31/19 6,770 6,710
  United States Treasury Note/Bond 1.625% 8/31/19 3,000 3,018
  United States Treasury Note/Bond 0.875% 9/15/19 1,800 1,777
  United States Treasury Note/Bond 1.000% 11/30/19 12,500 12,363
  United States Treasury Note/Bond 1.375% 1/15/20 4,933 4,921
  United States Treasury Note/Bond 1.375% 2/15/20 24,500 24,424
  United States Treasury Note/Bond 1.125% 4/30/20 25,000 24,680
  United States Treasury Note/Bond 1.375% 10/31/20 6,400 6,329
2 United States Treasury Note/Bond 1.625% 11/30/20 6,927 6,905
  United States Treasury Note/Bond 1.125% 2/28/21 900 878
  United States Treasury Note/Bond 1.875% 5/31/22 1,000 995
2 United States Treasury Note/Bond 1.750% 9/30/22 1,000 985
          263,273
Nonconventional Mortgage-Backed Securities (0.1%)        
3,4,5Fannie Mae Pool 2.625% 12/1/32 9 9
3,4,5Fannie Mae Pool 2.675% 6/1/33 64 67
3,4,5Fannie Mae Pool 2.685% 7/1/32 6 7
3,4,5Fannie Mae Pool 2.778% 5/1/33 48 51
3,4,5Fannie Mae Pool 3.000% 9/1/32 5 6
3,4,5Fannie Mae Pool 3.010% 8/1/37 14 15
3,4,5Fannie Mae Pool 3.035% 8/1/33 91 95
3,4,5Fannie Mae Pool 3.050% 7/1/33 121 125
3,4,5Fannie Mae Pool 3.145% 5/1/33 9 9
3,4,5Fannie Mae Pool 3.445% 2/1/37 27 29

 

 

3,4,5Freddie Mac Non Gold Pool 2.754% 9/1/32 1 1
3,4,5Freddie Mac Non Gold Pool 3.000% 8/1/37 44 46
3,4,5Freddie Mac Non Gold Pool 3.143% 9/1/32 20 20
3,4,5Freddie Mac Non Gold Pool 3.211% 8/1/33 18 19
3,4,5Freddie Mac Non Gold Pool 3.435% 10/1/32 11 12
3,4,5Freddie Mac Non Gold Pool 3.586% 1/1/33 12 13
3,4,5Freddie Mac Non Gold Pool 3.711% 2/1/33 11 12
          536
Total U.S. Government and Agency Obligations (Cost $265,031)     263,809
Asset-Backed/Commercial Mortgage-Backed Securities (17.5%)      
3 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 280 280
3 Ally Auto Receivables Trust 2015-1 2.260% 10/15/20 100 101
3 Ally Master Owner Trust Series 2012-5 1.540% 9/15/19 1,600 1,601
3,5 American Express Credit Account Secured        
  Note Trust 2012-4 1.462% 5/15/20 700 701
3,5,6American Homes 4 Rent 2014-SFR1 1.943% 6/17/31 118 118
3,5,6American Homes 4 Rent 2014-SFR1 2.293% 6/17/31 110 110
3,6 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 288 299
3,6 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 80 83
3,6 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 423 433
3,6 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 367 371
3,6 American Homes 4 Rent 2015-SFR2 3.732% 10/17/45 176 182
3,6 American Homes 4 Rent 2015-SFR2 4.295% 10/17/45 100 103
3,6 Americold 2010 LLC Trust Series 2010-ARTA 4.954% 1/14/29 428 463
3,6 Americold 2010 LLC Trust Series 2010-ARTA 6.811% 1/14/29 275 307
3 AmeriCredit Automobile Receivables Trust        
  2013-1 1.570% 1/8/19 11 11
3 AmeriCredit Automobile Receivables Trust        
  2013-2 1.790% 3/8/19 98 98
3 AmeriCredit Automobile Receivables Trust        
  2013-3 2.380% 6/10/19 310 310
3 AmeriCredit Automobile Receivables Trust        
  2013-3 3.000% 7/8/19 500 504
3 AmeriCredit Automobile Receivables Trust        
  2013-4 2.720% 9/9/19 66 66
3 AmeriCredit Automobile Receivables Trust        
  2013-4 3.310% 10/8/19 110 111
3 AmeriCredit Automobile Receivables Trust        
  2013-5 2.290% 11/8/19 155 156
3 AmeriCredit Automobile Receivables Trust        
  2013-5 2.860% 12/9/19 175 177
3 AmeriCredit Automobile Receivables Trust        
  2014-1 2.150% 3/9/20 100 100
3 AmeriCredit Automobile Receivables Trust        
  2014-2 2.180% 6/8/20 280 281
3 AmeriCredit Automobile Receivables Trust        
  2015-3 1.540% 3/9/20 650 650
3 AmeriCredit Automobile Receivables Trust        
  2015-3 2.080% 9/8/20 170 171
3 AmeriCredit Automobile Receivables Trust        
  2015-3 2.730% 3/8/21 290 292
3 AmeriCredit Automobile Receivables Trust        
  2015-3 3.340% 8/8/21 200 203
3 AmeriCredit Automobile Receivables Trust        
  2016-1 1.810% 10/8/20 460 461

 

 

3 AmeriCredit Automobile Receivables Trust        
  2016-1 2.890% 1/10/22 280 283
3 AmeriCredit Automobile Receivables Trust        
  2016-1 3.590% 2/8/22 200 204
3 AmeriCredit Automobile Receivables Trust        
  2016-2 1.600% 11/9/20 370 370
3 AmeriCredit Automobile Receivables Trust        
  2016-2 2.210% 5/10/21 120 120
3 AmeriCredit Automobile Receivables Trust        
  2016-2 2.870% 11/8/21 130 131
3 AmeriCredit Automobile Receivables Trust        
  2016-2 3.650% 5/9/22 220 225
3 AmeriCredit Automobile Receivables Trust        
  2016-3 2.710% 9/8/22 240 238
3 AmeriCredit Automobile Receivables Trust        
  2016-4 2.410% 7/8/22 595 590
3,6 AOA 2015-1177 Mortgage Trust 2.957% 12/13/29 280 284
3,6 Applebee's Funding LLC/IHOP Funding LLC 4.277% 9/5/44 270 264
3,6 ARI Fleet Lease Trust 2015-A 1.670% 9/15/23 160 159
3,6 ARL Second LLC 2014-1A 2.920% 6/15/44 451 437
3,6 Aventura Mall Trust 2013-AVM 3.743% 12/5/32 480 504
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-1A 1.920% 9/20/19 360 360
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2013-2A 2.970% 2/20/20 500 507
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2015-1A 2.500% 7/20/21 730 729
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2015-2A 2.630% 12/20/21 1,120 1,121
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2016-1A 2.990% 6/20/22 600 607
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2016-2A 2.720% 11/20/22 425 421
3,6 Avis Budget Rental Car Funding AESOP LLC        
  2017-1A 3.070% 9/20/23 640 645
3,6 BAMLL Commercial Mortgage Securities        
  Trust 2012-PARK 2.959% 12/10/30 125 126
3 Banc of America Commercial Mortgage Trust        
  2008-1 6.187% 2/10/51 1,295 1,318
3 Banc of America Commercial Mortgage Trust        
  2008-1 6.231% 2/10/51 110 112
3 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 220 228
3 Banc of America Commercial Mortgage Trust        
  2015-UBS7 4.366% 9/15/48 40 41
3,7 Banc of America Funding 2006-H Trust 3.219% 9/20/46 334 305
3 Bank of America Mortgage 2002-J Trust 3.961% 9/25/32 1 1
3,5,6Bank of America Student Loan Trust 2010-1A 1.838% 2/25/43 393 390
6 Bank of Montreal 1.750% 6/15/21 570 555
  Bank of Nova Scotia 1.875% 4/26/21 470 461
6 Bank of Nova Scotia 1.875% 9/20/21 590 575
3,7 Bear Stearns ARM Trust 2006-4 3.175% 10/25/36 493 473
3,7 Bear Stearns ARM Trust 2007-3 3.433% 5/25/47 395 384
3 Bear Stearns Commercial Mortgage        
  Securities Trust 2007-PWR17 5.650% 6/11/50 1,469 1,481
3,5,6BMW Floorplan Master Owner Trust 2015-1A 1.412% 7/15/20 1,425 1,427

 

 

3,5 Brazos Higher Education Authority Inc. Series        
  2005-3 1.353% 6/25/26 324 315
3,5 Brazos Higher Education Authority Inc. Series        
  2011-1 1.852% 2/25/30 473 470
3 Cabela's Credit Card Master Note Trust 2015-        
  1A 2.260% 3/15/23 220 220
3,5 Cabela's Credit Card Master Note Trust 2015-        
  2 1.582% 7/17/23 600 605
3,6 CAL Funding II Ltd. Series 2012-1A 3.470% 10/25/27 112 109
3,6 CAL Funding II Ltd. Series 2013-1A 3.350% 3/27/28 210 204
3,6 California Republic Auto Receivables Trust        
  2015-4 2.580% 6/15/21 400 404
3 California Republic Auto Receivables Trust        
  2016-2 1.560% 7/15/20 200 200
3 California Republic Auto Receivables Trust        
  2016-2 1.830% 12/15/21 170 169
3 California Republic Auto Receivables Trust        
  2016-2 2.520% 5/16/22 150 147
3 California Republic Auto Receivables Trust        
  2016-2 3.510% 3/15/23 70 70
3 Capital Auto Receivables Asset Trust 2013-3 3.690% 2/20/19 315 317
3 Capital Auto Receivables Asset Trust 2013-4 2.060% 10/22/18 356 357
3 Capital Auto Receivables Asset Trust 2013-4 2.670% 2/20/19 330 331
3 Capital Auto Receivables Asset Trust 2013-4 3.220% 5/20/19 290 292
3 Capital Auto Receivables Asset Trust 2014-1 1.690% 10/22/18 153 153
3 Capital Auto Receivables Asset Trust 2014-1 2.220% 1/22/19 150 150
3 Capital Auto Receivables Asset Trust 2014-1 2.840% 4/22/19 100 101
3 Capital Auto Receivables Asset Trust 2014-1 3.390% 7/22/19 100 101
3 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 530 532
3 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 520 522
3 Capital Auto Receivables Asset Trust 2015-3 2.430% 9/21/20 150 151
3 Capital Auto Receivables Asset Trust 2015-3 2.900% 12/21/20 170 171
3 Capital Auto Receivables Asset Trust 2016-2 3.160% 11/20/23 40 40
3 Capital Auto Receivables Asset Trust 2016-3 1.540% 8/20/20 250 250
3 Capital Auto Receivables Asset Trust 2016-3 2.350% 9/20/21 140 138
3 Capital Auto Receivables Asset Trust 2016-3 2.650% 1/20/24 80 79
3 Capital One Multi-Asset Execution Trust 2015-        
  A4 2.750% 5/15/25 830 844
3 Capital One Multi-Asset Execution Trust 2015-        
  A8 2.050% 8/15/23 370 368
3,5 Capital One Multi-Asset Execution Trust 2016-        
  A2 1.542% 2/15/24 375 380
3,5,6CARDS II Trust 2016-1A 1.612% 7/15/21 1,355 1,360
3 CarMax Auto Owner Trust 2013-3 2.850% 2/18/20 85 85
3 CarMax Auto Owner Trust 2014-1 1.690% 8/15/19 50 50
3 CarMax Auto Owner Trust 2014-1 1.930% 11/15/19 100 100
3 CarMax Auto Owner Trust 2015-2 3.040% 11/15/21 140 140
3 CarMax Auto Owner Trust 2015-3 2.280% 4/15/21 107 107
3 CarMax Auto Owner Trust 2015-3 2.680% 6/15/21 150 151
3 CarMax Auto Owner Trust 2016-2 2.160% 12/15/21 120 119
3 CarMax Auto Owner Trust 2016-2 3.250% 11/15/22 140 141
3 CarMax Auto Owner Trust 2016-3 2.200% 6/15/22 140 137
3 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 100 99
3 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 35 33
3 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 830 854
3 CenterPoint Energy Transition Bond Co. IV        
  LLC 2012-1 2.161% 10/15/21 700 703

 

 

3,6 CFCRE Commercial Mortgage Trust 2011-C2 5.755% 12/15/47 390 440
3 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 502 500
3,6 Chesapeake Funding II LLC 2016-2A 1.880% 6/15/28 2,190 2,184
3 CHL Mortgage Pass-Through Trust 2003-        
  HYB3 3.061% 11/19/33 25 25
3,7 CHL Mortgage Pass-Through Trust 2006-        
  HYB1 3.222% 3/20/36 249 217
3,7 CHL Mortgage Pass-Through Trust 2007-        
  HYB2 3.363% 2/25/47 264 219
3,6 Chrysler Capital Auto Receivables Trust 2013-        
  AA 1.830% 3/15/19 100 100
3,6 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.280% 7/15/19 115 115
3,6 Chrysler Capital Auto Receivables Trust 2013-        
  AA 2.930% 8/17/20 125 125
3,6 Chrysler Capital Auto Receivables Trust 2014-        
  AA 2.280% 11/15/19 240 240
3,6 Chrysler Capital Auto Receivables Trust 2014-        
  BA 3.440% 8/16/21 10 10
3,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.260% 10/15/20 500 502
3,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 2.700% 12/15/20 160 161
3,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 3.260% 4/15/21 245 247
3,6 Chrysler Capital Auto Receivables Trust 2015-        
  BA 4.170% 1/16/23 375 378
3,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 2.880% 2/15/22 120 121
3,6 Chrysler Capital Auto Receivables Trust 2016-        
  AA 4.220% 2/15/23 630 642
3,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.640% 7/15/21 240 239
3,6 Chrysler Capital Auto Receivables Trust 2016-        
  BA 1.870% 2/15/22 130 128
3 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.024% 9/10/45 153 156
3,6 Citigroup Commercial Mortgage Trust 2012-        
  GC8 3.683% 9/10/45 52 54
3 Citigroup Commercial Mortgage Trust 2013-        
  GC11 1.987% 4/10/46 90 90
3 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 156 159
3 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 546 556
3 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.942% 9/10/46 200 209
3 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.371% 9/10/46 90 98
3 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 490 519
3 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.477% 5/10/47 270 281
3 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.575% 5/10/47 175 180
3 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 1,165 1,220

 

 

3 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 570 590
3 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.863% 7/10/47 310 319
3 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.175% 7/10/47 130 137
3 Citigroup Commercial Mortgage Trust 2014-        
  GC23 4.466% 7/10/47 153 157
3 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.372% 10/10/47 400 407
3 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 1,213 1,249
3 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.345% 10/10/47 170 177
3 Citigroup Commercial Mortgage Trust 2014-        
  GC25 4.532% 10/10/47 20 20
3 Citigroup Commercial Mortgage Trust 2015-        
  GC27 2.944% 2/10/48 180 183
3 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 770 766
3 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 415 431
3 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 580 603
3 Citigroup Commercial Mortgage Trust 2015-        
  GC33 4.571% 9/10/58 100 98
3 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.209% 5/10/49 795 792
3,7 Citigroup Mortgage Loan Trust 2007-AR8 3.166% 7/25/37 196 182
3,6 CKE Restaurant Holdings Inc. 2013-1A 4.474% 3/20/43 535 531
3,6 CLI Funding V LLC 2013-1A 2.830% 3/18/28 385 372
3 COBALT CMBS Commercial Mortgage Trust        
  2007-C2 5.484% 4/15/47 18 18
3,5,6Colony American Homes 2014-1A 2.093% 5/17/31 275 275
3,5,6Colony American Homes 2014-1A 2.293% 5/17/31 395 394
3,5,6Colony American Homes 2014-2 2.293% 7/17/31 350 348
3,5,6Colony American Homes 2015-1 2.443% 7/17/32 20 20
3,5,6Colony American Homes 2015-1A 2.143% 7/17/32 268 268
3,5,6Colony Starwood Homes 2016-1A Trust 2.443% 7/17/33 239 240
3,5,6Colony Starwood Homes 2016-1A Trust 3.093% 7/17/33 105 106
3 COMM 2007-C9 Mortgage Trust 5.807% 12/10/49 158 159
3 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 75 77
3 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 100 105
3 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 510 515
3,6 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 260 266
3 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 264 266
3 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 40 41
3 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 70 70
3 COMM 2013-CCRE10 Mortgage Trust 2.972% 8/10/46 529 538
3 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 250 264
3 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 270 287
3 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 1,047 1,128
3 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 350 367
3 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 180 189
3 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 1,000 1,066
3 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/23 656 706
3 COMM 2013-CCRE13 Mortgage Trust 4.746% 12/10/23 110 121

 

 

3 COMM 2013-CCRE13 Mortgage Trust 4.746% 12/10/23 200 214
3,6 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 250 251
3,6 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 70 70
3 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 70 72
3 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 1,165 1,217
3 COMM 2013-CCRE9 Mortgage Trust 4.232% 7/10/45 699 757
3,6 COMM 2013-CCRE9 Mortgage Trust 4.256% 7/10/45 250 266
3,6 COMM 2013-CCRE9 Mortgage Trust 4.256% 7/10/45 280 290
3 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 501 507
3,6 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 250 264
3 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 315 339
3,6 COMM 2013-LC13 Mortgage Trust 4.557% 8/10/46 435 468
3 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 100 101
3,6 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 110 111
3,6 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 980 1,016
3 COMM 2014-CCRE14 Mortgage Trust 3.743% 2/10/47 130 137
3 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 50 53
3 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 420 450
3 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 300 305
3 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 450 478
3 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 250 267
3 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 40 42
3 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 1,130 1,193
3 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 650 685
3 COMM 2014-CCRE17 Mortgage Trust 4.895% 5/10/47 200 213
3 COMM 2014-CCRE18 Mortgage Trust 3.452% 7/15/47 300 312
3 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 90 93
3 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 729 762
3 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 30 30
3 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 926 953
3 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 880 901
3 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 465 489
3 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 825 829
3 COMM 2015-CCRE24 Mortgage Trust 3.445% 8/10/48 200 209
3 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 415 428
3 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 750 778
3 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 753 771
3 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 405 415
3 COMM 2015-CCRE27 Mortgage Trust 4.472% 10/10/48 210 212
3 COMM 2015-LC19 Mortgage Trust 3.040% 2/10/48 90 92
3 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 360 361
6 Commonwealth Bank of Australia 2.000% 6/18/19 600 600
6 Commonwealth Bank of Australia 2.125% 7/22/20 630 628
3,6 Core Industrial Trust 2015-TEXW 3.077% 2/10/34 1,040 1,062
3 Credit Suisse Commercial Mortgage Trust        
  Series 2008-C1 6.062% 2/15/41 764 781
3 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 290 296
3 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 1,000 1,018
3 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 414 427
3 CSAIL 2015-C3 Commercial Mortgage Trust 4.360% 8/15/48 240 241
3 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 738 767
3 CSAIL 2016-C5 Commercial Mortgage Trust 4.537% 11/15/48 220 228
3 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 830 842
3,6 DB Master Finance LLC 2015-1A 3.262% 2/20/45 214 215
3 DBJPM 16-C1 Mortgage Trust 3.352% 5/10/49 60 56
3,6 Drive Auto Receivables Trust 2015-AA 2.280% 6/17/19 18 18
3,6 Drive Auto Receivables Trust 2015-AA 3.060% 5/17/21 190 191

 

 

3,6 Drive Auto Receivables Trust 2015-AA 4.120% 7/15/22 140 142
3,6 Drive Auto Receivables Trust 2015-BA 2.120% 6/17/19 1 1
3,6 Drive Auto Receivables Trust 2015-BA 2.760% 7/15/21 420 422
3,6 Drive Auto Receivables Trust 2015-BA 3.840% 7/15/21 250 255
3,6 Drive Auto Receivables Trust 2015-CA 2.230% 9/16/19 44 44
3,6 Drive Auto Receivables Trust 2015-CA 3.010% 5/17/21 515 519
3,6 Drive Auto Receivables Trust 2015-CA 4.200% 9/15/21 380 386
3,6 Drive Auto Receivables Trust 2015-DA 2.590% 12/16/19 408 409
3,6 Drive Auto Receivables Trust 2015-DA 3.380% 11/15/21 750 760
3,6 Drive Auto Receivables Trust 2015-DA 4.590% 1/17/23 750 776
3,6 Drive Auto Receivables Trust 2016-AA 2.110% 5/15/19 91 91
3,6 Drive Auto Receivables Trust 2016-AA 3.910% 5/17/21 170 173
3,6 Drive Auto Receivables Trust 2016-BA 1.670% 7/15/19 28 28
3,6 Drive Auto Receivables Trust 2016-BA 2.560% 6/15/20 200 201
3,6 Drive Auto Receivables Trust 2016-BA 3.190% 7/15/22 340 344
3,6 Drive Auto Receivables Trust 2016-BA 4.530% 8/15/23 480 492
3,6 Drive Auto Receivables Trust 2016-C 1.670% 11/15/19 630 630
3,6 Drive Auto Receivables Trust 2016-C 2.370% 11/16/20 490 491
3,6 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 540 551
3,5,6Edsouth Indenture No 9 LLC 2015-1 1.782% 10/25/56 578 572
3,6 Enterprise Fleet Financing LLC Series 2015-1 1.740% 9/20/20 140 139
3,6 Enterprise Fleet Financing LLC Series 2015-2 2.090% 2/22/21 600 600
3,6 Enterprise Fleet Financing LLC Series 2016-2 2.040% 2/22/22 240 238
3,5,6Evergreen Credit Card Trust Series 2016-3 1.412% 11/16/20 650 652
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C03 2.482% 7/25/25 8 8
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C03 2.482% 7/25/25 75 75
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.582% 4/25/28 144 144
3,4,5Fannie Mae Connecticut Avenue Securities        
  2015-C04 2.682% 4/25/28 86 86
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C04 2.432% 1/25/29 154 155
3,4,5Fannie Mae Connecticut Avenue Securities        
  2016-C05 2.332% 1/25/29 91 91
3,4 FHLMC Multifamily Structured Pass Through        
  Certificates K054 2.745% 1/25/26 380 376
3,4 FHLMC Multifamily Structured Pass Through        
  Certificates K056 2.525% 5/25/26 160 155
3,4 FHLMC Multifamily Structured Pass Through        
  Certificates K057 2.570% 7/25/26 140 136
3,4 FHLMC Multifamily Structured Pass Through        
  Certificates K061 3.347% 11/25/26 670 691
3,4 FHLMC Multifamily Structured Pass Through        
  Certificates K062 3.413% 12/25/26 650 673
3,7 First Horizon Mortgage Pass-Through Trust        
  2006-AR3 2.411% 11/25/36 167 150
7 First Horizon Mortgage Pass-Through Trust        
  2006-AR4 3.034% 1/25/37 356 313
3,6 Flagship Credit Auto Trust 2016-4 1.960% 2/16/21 380 379
3 Ford Credit Auto Lease Trust 2015-B 1.920% 3/15/19 380 379
3 Ford Credit Auto Owner Trust 2013-D 1.720% 7/15/19 310 311
3,6 Ford Credit Auto Owner Trust 2014-REV1 2.260% 11/15/25 620 625
3,6 Ford Credit Auto Owner Trust 2014-REV1 2.410% 11/15/25 260 261
3,6 Ford Credit Auto Owner Trust 2014-REV2 2.310% 4/15/26 580 585
3,6 Ford Credit Auto Owner Trust 2014-REV2 2.510% 4/15/26 140 141

 

 

3 Ford Credit Auto Owner Trust 2015-C 2.010% 3/15/21 295 295
3 Ford Credit Auto Owner Trust 2015-C 2.260% 3/15/22 135 135
3,6 Ford Credit Auto Owner Trust 2015-REV2 2.440% 1/15/27 1,500 1,514
3 Ford Credit Auto Owner Trust 2016-B 1.850% 9/15/21 170 168
3,6 Ford Credit Auto Owner Trust 2016-REV1 2.310% 8/15/27 660 661
3,6 Ford Credit Auto Owner Trust 2016-REV2 2.030% 12/15/27 1,700 1,677
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 1.690% 9/15/19 200 200
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2012-5 2.140% 9/15/19 200 200
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.100% 6/15/20 150 151
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.290% 6/15/20 150 150
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2013-4 2.790% 6/15/20 60 60
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-2 2.310% 2/15/21 100 100
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2014-4 1.400% 8/15/19 1,680 1,680
3 Ford Credit Floorplan Master Owner Trust A        
  Series 2015-5 2.390% 8/15/22 600 603
3,5 Ford Credit Floorplan Master Owner Trust A        
  Series 2016-4 1.442% 7/15/20 1,150 1,153
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 2.232% 10/25/28 130 131
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA2 3.182% 10/25/28 250 255
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.082% 12/25/28 179 179
3,4,5Freddie Mac Structured Agency Credit Risk        
  Debt Notes 2016-DNA3 2.982% 12/25/28 250 255
3,6 FRS I LLC 2013-1A 1.800% 4/15/43 62 61
3,6 FRS I LLC 2013-1A 3.080% 4/15/43 488 479
3,5 GE Dealer Floorplan Master Note Trust Series        
  2015-2 1.628% 1/20/22 395 397
3 GM Financial Automobile Leasing Trust 2015-        
  1 1.730% 6/20/19 150 150
3 GM Financial Automobile Leasing Trust 2015-        
  2 2.420% 7/22/19 140 140
3 GM Financial Automobile Leasing Trust 2015-        
  2 2.990% 7/22/19 120 121
3 GM Financial Automobile Leasing Trust 2015-        
  3 1.690% 3/20/19 670 671
3 GM Financial Automobile Leasing Trust 2015-        
  3 2.320% 11/20/19 90 90
3 GM Financial Automobile Leasing Trust 2015-        
  3 2.980% 11/20/19 190 191
3 GM Financial Automobile Leasing Trust 2015-        
  3 3.480% 8/20/20 190 191
3 GM Financial Automobile Leasing Trust 2016-        
  2 2.580% 3/20/20 150 150
3,7 GMACM Mortgage Loan Trust 2005-AR6 3.431% 11/19/35 68 64
3,6 GMF Floorplan Owner Revolving Trust 2015-1 1.650% 5/15/20 1,450 1,448
3,6 GMF Floorplan Owner Revolving Trust 2015-1 1.970% 5/15/20 250 249
3,5,6GMF Floorplan Owner Revolving Trust 2016-1 1.762% 5/17/21 980 989
3,6 GMF Floorplan Owner Revolving Trust 2016-1 2.410% 5/17/21 290 291

 

 

3,6 GMF Floorplan Owner Revolving Trust 2016-1 2.850% 5/17/21 220 219
3,5,6Golden Credit Card Trust 2015-1A 1.352% 2/15/20 1,200 1,201
3,6 Golden Credit Card Trust 2015-2A 2.020% 4/15/22 1,345 1,344
3,6 Golden Credit Card Trust 2016-5A 1.600% 9/15/21 1,370 1,357
3,6 GRACE 2014-GRCE Mortgage Trust 3.369% 6/10/28 500 518
3,6 GreatAmerica Leasing Receivables Funding        
  LLC Series 2015-1 2.020% 6/21/21 120 120
3,6 GS Mortgage Securities Corporation II 2012-        
  BWTR 2.954% 11/5/34 860 871
3 GS Mortgage Securities Corporation II 2015-        
  GC30 3.382% 5/10/50 600 608
3,6 GS Mortgage Securities Corporation Trust        
  2012-ALOHA 3.551% 4/10/34 790 827
3,6 GS Mortgage Securities Trust 2010-C2 5.184% 12/10/43 100 110
3,6 GS Mortgage Securities Trust 2011-GC3 5.633% 3/10/44 70 76
3,6 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 25 27
3 GS Mortgage Securities Trust 2012-GCJ7 5.715% 5/10/45 210 226
3 GS Mortgage Securities Trust 2013-GC13 4.033% 7/10/46 543 585
3,6 GS Mortgage Securities Trust 2013-GC13 4.066% 7/10/46 140 142
3 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 306 311
3 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 200 205
3 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 453 458
3 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 200 208
3 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 575 609
3 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 1,015 1,093
3 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 892 944
3 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 20 21
3 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 1,007 1,060
3 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 380 398
3 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 270 287
3 GS Mortgage Securities Trust 2014-GC24 4.529% 9/10/47 410 420
3 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 530 546
3 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 930 935
3 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 770 780
3 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 309 321
3 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 698 710
3 GS Mortgage Securities Trust 2015-GC34 4.655% 10/10/48 310 311
6 GTP Acquisition Partners I LLC 3.482% 6/16/25 630 626
3,6 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 400 397
3,6 Hertz Vehicle Financing LLC 2013-1A 1.830% 8/25/19 1,500 1,495
3,6 Hertz Vehicle Financing LLC 2016-2A 2.950% 3/25/22 840 837
3,6 Hertz Vehicle Financing LLC 2016-3A 2.270% 7/25/20 570 566
3,6 Hertz Vehicle Financing LLC 2016-4A 2.650% 7/25/22 640 619
3,6 Hilton USA Trust 2016-HHV 3.719% 11/5/38 60 61
3,6 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 770 764
3,6 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 500 509
3,6 Hyundai Auto Lease Securitization Trust        
  2015-A 2.070% 11/15/19 500 501
3,6 Hyundai Auto Lease Securitization Trust        
  2015-B 2.210% 5/15/20 375 376
3 Hyundai Auto Receivables Trust 2013-B 2.480% 9/16/19 250 251
3 Hyundai Auto Receivables Trust 2013-C 2.480% 3/15/19 150 151
3 Hyundai Auto Receivables Trust 2013-C 3.090% 1/15/20 130 131
3 Hyundai Auto Receivables Trust 2014-A 2.020% 8/15/19 200 200
3 Hyundai Auto Receivables Trust 2014-A 2.530% 7/15/20 140 141
3 Hyundai Auto Receivables Trust 2014-B 2.100% 11/15/19 250 250
3 Hyundai Auto Receivables Trust 2015-C 2.150% 11/15/21 90 90

 

 

3 Hyundai Auto Receivables Trust 2015-C 2.550% 11/15/21 210 211
3,6 Icon Brands Holdings LLC 2012-1A 4.229% 1/25/43 339 310
5 Illinois Student Assistance Commission Series        
  2010-1 2.088% 4/25/22 176 176
3,5,6Invitation Homes 2014-SFR1 Trust 2.443% 6/17/31 317 317
3,5,6Invitation Homes 2014-SFR2 Trust 2.013% 9/17/31 279 279
3,5,6Invitation Homes 2014-SFR2 Trust 2.543% 9/17/31 220 220
3,5,6Invitation Homes 2015-SFR2 Trust 2.293% 6/17/32 195 196
3,5,6Invitation Homes 2015-SFR2 Trust 2.593% 6/17/32 70 70
3,5,6Invitation Homes 2015-SFR3 Trust 2.693% 8/17/32 80 80
3,6 Irvine Core Office Trust 2013-IRV 3.174% 5/15/48 358 362
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-C1 5.716% 2/15/51 86 87
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-CIBC20 5.746% 2/12/51 600 605
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2007-LDP12 5.850% 2/15/51 376 379
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C1 4.608% 6/15/43 72 75
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 3.616% 11/15/43 53 53
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 4.070% 11/15/43 74 78
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.540% 11/15/43 150 160
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2010-C2 5.540% 11/15/43 170 179
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.388% 2/15/46 382 390
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 4.717% 2/15/46 651 703
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C3 5.360% 2/15/46 70 75
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2011-C5 5.409% 8/15/46 100 110
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C6 3.507% 5/15/45 407 424
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 2.829% 10/15/45 440 444
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-C8 3.424% 10/15/45 100 101
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-CIBX 4.271% 6/15/45 650 686
3,6 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-HSBC 3.093% 7/5/32 150 154
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2012-LC9 2.840% 12/15/47 950 956
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 3.994% 1/15/46 365 388
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C13 4.053% 1/15/46 170 169
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.674% 12/15/46 280 294
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 3.881% 12/15/46 30 32
3 JP Morgan Chase Commercial Mortgage        
  Securities Trust 2013-C16 4.166% 12/15/46 410 439

 

 

3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 4.517% 12/15/46 400 429
3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 4.910% 12/15/46 550 597
3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 4.975% 12/15/46 270 281
3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-LC11 1.855% 4/15/46 15 15
3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-LC11 2.960% 4/15/46 354 357
3 JP Morgan Chase Commercial Mortgage        
Securities Trust 2016-JP4 3.648% 12/15/49 290 298
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 3.664% 7/15/45 439 459
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 4.026% 7/15/45 180 189
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 3.761% 8/15/46 360 379
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 4.133% 8/15/46 300 322
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 2.977% 11/15/45 247 251
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 3.659% 11/15/45 100 105
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.131% 11/15/45 800 856
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.927% 11/15/45 430 465
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 5.047% 11/15/45 340 357
3 JPMBB Commercial Mortgage Securities        
Trust 2013-C17 4.199% 1/15/47 497 533
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.079% 2/15/47 900 955
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.439% 2/15/47 300 320
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.814% 2/15/47 300 321
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.814% 2/15/47 150 152
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C21 3.428% 8/15/47 220 229
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C24 3.639% 11/15/47 300 310
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.231% 1/15/48 590 595
3 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.494% 1/15/48 1,030 1,054
3 JPMBB Commercial Mortgage Securities        
Trust 2015-C27 3.179% 2/15/48 350 350
3 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.551% 7/15/48 580 594
3 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.559% 7/15/48 210 219
3 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.822% 7/15/48 1,010 1,050

 

 

3 JPMBB Commercial Mortgage Securities        
  Trust 2015-C30 4.226% 7/15/48 385 403
3 JPMBB Commercial Mortgage Securities        
  Trust 2015-C31 3.801% 8/15/48 270 280
3 JPMBB Commercial Mortgage Securities        
  Trust 2015-C32 3.598% 11/15/48 263 269
3 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.562% 12/15/48 145 151
3 JPMBB Commercial Mortgage Securities        
  Trust 2015-C33 3.770% 12/15/48 513 532
3 JPMCC Commercial Mortgage Securities        
  Trust 2017-JP5 3.723% 3/15/50 800 827
3 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 662 673
3,6 LCCM 2014-909 Mortgage Trust 3.388% 5/15/31 450 456
3,6 Madison Avenue Trust 2013-650M 3.843% 10/12/32 295 309
3 MASTR Adjustable Rate Mortgages Trust        
  2004-3 2.920% 4/25/34 19 17
3,5 MBNA Credit Card Master Note Trust 2004-        
  A3 1.172% 8/16/21 755 757
3 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A2 2.850% 2/25/33 44 43
3 Merrill Lynch Mortgage Investors Trust MLMI        
  Series 2003-A4 3.188% 7/25/33 13 13
3 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 166 167
3,6 Miramax LLC 2014-1A 3.340% 7/20/26 72 71
3,6 MMAF Equipment Finance LLC 2011-AA 3.040% 8/15/28 247 248
3,6 MMAF Equipment Finance LLC 2012-AA 1.980% 6/10/32 370 371
3,6 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 800 795
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.176% 8/15/45 506 517
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C5 3.792% 8/15/45 50 52
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2012-C6 2.858% 11/15/45 142 144
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.084% 7/15/46 70 71
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C10 4.084% 7/15/46 683 734
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.085% 8/15/46 168 171
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 3.960% 8/15/46 270 286
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C11 4.170% 8/15/46 1,080 1,174
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 3.824% 10/15/46 190 200
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C12 4.259% 10/15/46 80 87
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C13 4.039% 11/15/46 200 212
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 2.918% 2/15/46 130 132
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C7 3.214% 2/15/46 60 60
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2013-C9 3.102% 5/15/46 595 604

 

 

3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.064% 2/15/47 450 479
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C14 4.384% 2/15/47 450 480
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 3.773% 4/15/47 890 934
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.051% 4/15/47 575 610
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C15 4.894% 4/15/47 50 52
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 3.892% 6/15/47 905 954
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.094% 6/15/47 230 243
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.324% 6/15/47 300 320
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C16 4.757% 6/15/47 300 307
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 3.741% 8/15/47 620 646
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C17 4.011% 8/15/47 160 166
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C18 3.923% 10/15/47 490 516
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.326% 12/15/47 310 321
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2014-C19 3.526% 12/15/47 380 390
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.069% 2/15/48 175 179
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C20 3.249% 2/15/48 935 938
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C22 3.306% 4/15/48 845 852
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.451% 7/15/50 90 92
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C23 3.719% 7/15/50 422 437
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.479% 5/15/48 420 431
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C24 3.732% 5/15/48 715 739
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.383% 10/15/48 410 423
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2015-C25 3.635% 10/15/48 338 349
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C29 4.753% 5/15/49 40 42
3 Morgan Stanley Bank of America Merrill Lynch        
  Trust 2016-C32 3.720% 12/15/49 571 589
3 Morgan Stanley Capital I Trust 2007-IQ15 5.942% 6/11/49 464 467
3 Morgan Stanley Capital I Trust 2007-IQ16 5.688% 12/12/49 997 1,005
3 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 380 391
3 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 60 62
3,6 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 411 411
3,6 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 675 706
3,6 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 600 620

 

 

3,6 Morgan Stanley Capital I Trust 2015-420 3.727% 10/11/50 699 723
3 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 514 534
3 Morgan Stanley Capital I Trust 2015-UBS8 4.590% 12/15/48 350 351
3 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 133 128
3 Morgan Stanley Mortgage Loan Trust 2006-        
  8AR 2.996% 6/25/36 152 146
3,6 MSBAM Commercial Mortgage Securities        
  Trust 2012-CKSV 3.277% 10/15/30 815 809
6 National Australia Bank Ltd. 2.250% 3/16/21 245 244
3,5 Navient Student Loan Trust 2015-3 1.632% 6/26/56 560 558
3,5,6Navient Student Loan Trust 2016-3 1.832% 6/25/65 200 201
3,5,6Navient Student Loan Trust 2016-6A 1.732% 3/25/66 610 612
3,5,6Navistar Financial Dealer Note Master Trust II        
  2016-1A 2.332% 9/27/21 670 670
3,5 New Mexico Educational Assistance        
  Foundation 2013-1 1.484% 1/2/25 366 361
3,6 NextGear Floorplan Master Owner Trust        
  2016-1A 2.740% 4/15/21 370 373
5 North Carolina State Education Assistance        
  Authority 2011-1 1.938% 1/26/26 177 177
3,6 OBP Depositor LLC Trust 2010-OBP 4.646% 7/15/45 225 240
3,6 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 200 199
3,5,6Pepper Residential Securities Trust 2017A-        
  A1UA 1.958% 3/10/58 827 827
3,5,6Pepper Residential Securities Trust 2018A 1.950% 3/12/47 120 120
3,5,6PFS Financing Corp. 2015-AA 1.532% 4/15/20 250 250
3,5,6PHEAA Student Loan Trust 2016-2A 1.932% 11/25/65 936 937
3,6 Porsche Innovative Lease Owner Trust 2015-        
  1 1.430% 5/21/21 340 340
3,6 Progress Residential 2015-SFR2 Trust 2.740% 6/12/32 178 177
3,6 Progress Residential 2015-SFR3 Trust 3.067% 11/12/32 618 618
3,6 Progress Residential 2015-SFR3 Trust 3.733% 11/12/32 230 232
3,5,6Resimac Premier Series 2014-1A 1.821% 12/12/45 326 324
3,5,6Resimac Premier Series 2016-1A 2.248% 10/10/47 1,291 1,292
3,7 RFMSI Series 2006-SA2 Trust 4.146% 8/25/36 399 351
3,7 RFMSI Series 2006-SA3 Trust 4.244% 9/25/36 120 110
  Royal Bank of Canada 2.200% 9/23/19 177 178
  Royal Bank of Canada 2.100% 10/14/20 950 946
3 Royal Bank of Canada 1.875% 2/5/21 215 214
  Royal Bank of Canada 2.300% 3/22/21 545 545
3 Santander Drive Auto Receivables Trust        
  2013-2 1.950% 3/15/19 136 136
3 Santander Drive Auto Receivables Trust        
  2015-3 1.490% 6/17/19 20 20
3 Santander Drive Auto Receivables Trust        
  2015-3 3.490% 5/17/21 355 361
3 Santander Drive Auto Receivables Trust        
  2015-4 1.580% 9/16/19 70 70
3 Santander Drive Auto Receivables Trust        
  2015-4 2.260% 6/15/20 600 603
3 Santander Drive Auto Receivables Trust        
  2015-4 2.970% 3/15/21 600 608
3 Santander Drive Auto Receivables Trust        
  2016-1 2.470% 12/15/20 720 726
3 Santander Drive Auto Receivables Trust        
  2016-2 2.080% 2/16/21 170 170

 

 

3 Santander Drive Auto Receivables Trust        
  2016-2 2.660% 11/15/21 110 111
3 Santander Drive Auto Receivables Trust        
  2016-2 3.390% 4/15/22 100 101
3 Santander Drive Auto Receivables Trust        
  2016-3 1.890% 6/15/21 490 489
3 Santander Drive Auto Receivables Trust        
  2016-3 2.460% 3/15/22 770 769
6 SBA Tower Trust 3.156% 10/15/20 270 271
3,6 Securitized Term Auto Receivables Trust        
  2016-1A 1.524% 3/25/20 270 269
3,6 Securitized Term Auto Receivables Trust        
  2016-1A 1.794% 2/25/21 250 248
3,5,6Silver Bay Realty 2014-1 Trust 1.913% 9/17/31 248 248
3,5,6Silver Bay Realty 2014-1 Trust 2.393% 9/17/31 160 160
3,6 SLM Private Education Loan Trust 2011-A 4.370% 4/17/28 214 218
3,6 SLM Private Education Loan Trust 2011-B 3.740% 2/15/29 1,094 1,116
3,6 SLM Private Education Loan Trust 2011-C 4.540% 10/17/44 455 472
3,6 SLM Private Education Loan Trust 2012-B 3.480% 10/15/30 218 220
3,5,6SLM Private Education Loan Trust 2013-A 1.962% 5/17/27 600 604
3,6 SLM Private Education Loan Trust 2013-A 2.500% 3/15/47 200 194
3,6 SLM Private Education Loan Trust 2013-B 1.850% 6/17/30 250 248
3,6 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 300 298
3,6 SLM Private Education Loan Trust 2013-C 3.500% 6/15/44 140 141
3,6 SLM Private Education Loan Trust 2014-A 2.590% 1/15/26 100 101
3,6 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 100 100
3,5 SLM Student Loan Trust 2005-5 1.138% 4/25/25 491 491
3 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 110 107
3,6 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 345 345
3,5,6SMB Private Education Loan Trust 2016-B 2.362% 2/17/32 310 317
3,5,6SMB Private Education Loan Trust 2016-C 2.012% 9/15/34 300 301
3,5,6SMB Private Education Loan Trust 2017-A 1.680% 9/15/34 300 298
3,6 SoFi Professional Loan Program 2016-B LLC 2.740% 10/25/32 240 241
3,6 SoFi Professional Loan Program 2016-C LLC 2.360% 12/27/32 145 143
3,6 SoFi Professional Loan Program 2016-D LLC 2.340% 4/25/33 155 152
3,5,6SoFi Professional Loan Program 2016-D LLC 1.932% 1/25/39 180 182
3,6 SoFi Professional Loan Program 2017-A LLC 2.400% 3/26/40 50 49
3,6 SoFi Professional Loan Program 2017-B LLC 2.740% 5/25/40 340 340
6 Stadshypotek AB 1.750% 4/9/20 388 381
3,5,6SWAY Residential 2014-1 Trust 2.243% 1/17/32 388 389
3 Synchrony Credit Card Master Note Trust        
  2015-1 2.370% 3/15/23 200 202
3 Synchrony Credit Card Master Note Trust        
  2015-4 2.380% 9/15/23 1,140 1,150
3 Synchrony Credit Card Master Note Trust        
  2016-1 2.390% 3/15/22 1,170 1,174
3 Synchrony Credit Card Master Note Trust        
  2016-3 1.580% 9/15/22 740 734
3 Synchrony Credit Card Master Note Trust        
  2016-3 1.910% 9/15/22 610 604
3 Synchrony Credit Card Master Note Trust        
  Series 2012-2 2.220% 1/15/22 2,000 2,016
3 Synchrony Credit Card Master Note Trust        
  Series 2012-6 1.360% 8/17/20 445 445
3,6 Taco Bell Funding LLC 2016-1A 3.832% 5/25/46 219 221
3,6 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 209 211
3,6 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 328 334

 

 

3,6 Tidewater Auto Receivables Trust 2016-AA 2.300% 9/15/19 176 176
3,6 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 540 550
6 Toronto-Dominion Bank 1.950% 4/2/20 385 383
6 Toronto-Dominion Bank 2.250% 3/15/21 730 728
3,5,6Trafigura Securitisation Finance plc 2014-1A 1.862% 10/15/18 510 509
3,5,6Trillium Credit Card Trust II 2016-1A 1.702% 5/26/21 3,050 3,064
3 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 30 32
3,6 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 606 622
3 UBS-Barclays Commercial Mortgage Trust        
  2012-C4 2.850% 12/10/45 223 225
3 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.244% 4/10/46 150 154
3 UBS-Barclays Commercial Mortgage Trust        
  2013-C6 3.469% 4/10/46 50 51
3,6 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 297 301
3,6 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 270 283
3,6 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 80 82
3,6 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 60 62
3,6 Volkswagen Credit Auto Master Trust 2014-        
  1A 1.400% 7/22/19 1,210 1,209
3,6 Volvo Financial Equipment LLC Series 2015-        
  1A 1.910% 1/15/20 220 219
3,6 Volvo Financial Equipment LLC Series 2016-        
  1A 1.890% 9/15/20 230 229
3 WaMu Mortgage Pass-Through Certificates        
  Series 2002-AR18 Trust 3.002% 1/25/33 9 8
3 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR7 Trust 2.676% 8/25/33 14 14
3 WaMu Mortgage Pass-Through Certificates        
  Series 2003-AR9 Trust 2.785% 9/25/33 19 19
3 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 2.918% 10/15/45 705 716
3 Wells Fargo Commercial Mortgage Trust        
  2012-LC5 3.539% 10/15/45 40 41
3 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 3.928% 7/15/46 185 196
3 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.218% 7/15/46 768 826
3 Wells Fargo Commercial Mortgage Trust        
  2013-LC12 4.296% 7/15/46 110 118
3 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.477% 8/15/50 500 521
3 Wells Fargo Commercial Mortgage Trust        
  2014-LC16 3.817% 8/15/50 1,100 1,150
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.020% 8/15/50 200 209
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.322% 8/15/50 350 372
  Wells Fargo Commercial Mortgage Trust        
  2014-LC16 4.458% 8/15/50 220 225
3 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.244% 12/15/47 690 710
3 Wells Fargo Commercial Mortgage Trust        
  2014-LC18 3.405% 12/15/47 80 82
3 Wells Fargo Commercial Mortgage Trust        
  2015-C26 2.991% 2/15/48 290 294

 

 

3 Wells Fargo Commercial Mortgage Trust        
  2015-C26 3.166% 2/15/48 555 553
3 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.190% 2/15/48 750 749
3 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.278% 2/15/48 170 175
3 Wells Fargo Commercial Mortgage Trust        
  2015-C27 3.451% 2/15/48 820 832
3 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.400% 6/15/48 100 104
3 Wells Fargo Commercial Mortgage Trust        
  2015-C29 3.637% 6/15/48 872 897
3 Wells Fargo Commercial Mortgage Trust        
  2015-C29 4.225% 6/15/48 270 264
3 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.411% 9/15/58 486 492
3 Wells Fargo Commercial Mortgage Trust        
  2015-C30 3.664% 9/15/58 420 433
3 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.067% 9/15/58 350 365
3 Wells Fargo Commercial Mortgage Trust        
  2015-C30 4.496% 9/15/58 270 276
3 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 3.839% 9/15/58 609 635
3 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.207% 9/15/58 275 289
3 Wells Fargo Commercial Mortgage Trust        
  2015-LC22 4.541% 9/15/58 315 314
3 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.556% 9/15/48 190 198
3 Wells Fargo Commercial Mortgage Trust        
  2015-SG1 3.789% 9/15/48 600 621
3 Wells Fargo Commercial Mortgage Trust        
  2016-C32 3.560% 1/15/59 640 654
3 Wells Fargo Commercial Mortgage Trust        
  2016-C37 3.794% 12/15/49 230 239
3 Wells Fargo Commercial Mortgage Trust        
  2017-RC1 3.631% 1/15/60 410 420
3,5 Wells Fargo Dealer Floorplan Master Note        
  Trust Series 2012-2 1.728% 4/22/19 900 900
3,7 Wells Fargo Mortgage Backed Securities        
  2006-AR14 Trust 3.074% 10/25/36 284 265
3,6 Wendys Funding LLC 2015-1A 3.371% 6/15/45 276 277
3,6 Wendys Funding LLC 2015-1A 4.080% 6/15/45 394 397
3,6 Wendys Funding LLC 2015-1A 4.497% 6/15/45 148 144
6 Westpac Banking Corp. 2.000% 3/3/20 745 742
6 Westpac Banking Corp. 2.250% 11/9/20 615 615
3,6 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 875 908
3,6 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 274 293
3 WFRBS Commercial Mortgage Trust 2012-        
  C10 2.875% 12/15/45 265 268
3 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 274 285
3 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 135 142
3 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 102 104
3 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 587 595
3 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 70 71

 

 

3 WFRBS Commercial Mortgage Trust 2013-        
  C13 3.345% 5/15/45 50 51
3 WFRBS Commercial Mortgage Trust 2013-        
  C15 3.720% 8/15/46 480 503
3 WFRBS Commercial Mortgage Trust 2013-        
  C15 4.153% 8/15/46 355 380
3 WFRBS Commercial Mortgage Trust 2013-        
  C16 4.415% 9/15/46 350 380
3 WFRBS Commercial Mortgage Trust 2013-        
  C17 3.558% 12/15/46 85 89
3 WFRBS Commercial Mortgage Trust 2013-        
  C17 4.023% 12/15/46 230 245
3 WFRBS Commercial Mortgage Trust 2013-        
  C18 3.676% 12/15/46 160 168
3 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.162% 12/15/46 665 712
3 WFRBS Commercial Mortgage Trust 2013-        
  C18 4.664% 12/15/46 140 153
3 WFRBS Commercial Mortgage Trust 2014-        
  C19 3.829% 3/15/47 80 84
3 WFRBS Commercial Mortgage Trust 2014-        
  C19 4.101% 3/15/47 530 562
3 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.638% 5/15/47 503 527
3 WFRBS Commercial Mortgage Trust 2014-        
  C20 3.995% 5/15/47 965 1,018
3 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.378% 5/15/47 280 295
3 WFRBS Commercial Mortgage Trust 2014-        
  C20 4.513% 5/15/47 90 90
3 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.410% 8/15/47 30 31
3 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.678% 8/15/47 985 1,022
3 WFRBS Commercial Mortgage Trust 2014-        
  C21 3.891% 8/15/47 170 174
3 WFRBS Commercial Mortgage Trust 2014-        
  C21 4.234% 8/15/47 300 293
3 WFRBS Commercial Mortgage Trust 2014-        
  C23 3.917% 10/15/57 340 358
3 WFRBS Commercial Mortgage Trust 2014-        
  C24 3.607% 11/15/47 515 531
3 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.522% 3/15/47 35 36
3 WFRBS Commercial Mortgage Trust 2014-        
  LC14 3.766% 3/15/47 60 63
3 WFRBS Commercial Mortgage Trust 2014-        
  LC14 4.045% 3/15/47 980 1,040
3,5 World Financial Network Credit Card Master        
  Note Trust Series 2015-A 1.392% 2/15/22 510 511
3 World Omni Auto Receivables Trust 2016-B 1.300% 2/15/22 375 371
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $261,005)   262,024
Corporate Bonds (51.8%)        
Finance (24.6%)        
  Banking (20.2%)        
6 ABN AMRO Bank NV 1.800% 6/4/18 675 674
6 ABN AMRO Bank NV 2.500% 10/30/18 400 403

 

 

8 ABN AMRO Bank NV 3.250% 4/9/20 100 77
  American Express Centurion Bank 6.000% 9/13/17 1,650 1,683
  American Express Co. 6.150% 8/28/17 490 499
  American Express Co. 7.000% 3/19/18 463 486
  American Express Credit Corp. 1.875% 11/5/18 899 900
  American Express Credit Corp. 2.125% 3/18/19 236 237
  American Express Credit Corp. 2.250% 8/15/19 602 606
  American Express Credit Corp. 1.700% 10/30/19 311 309
  American Express Credit Corp. 2.200% 3/3/20 1,530 1,535
  American Express Credit Corp. 2.375% 5/26/20 800 804
  American Express Credit Corp. 2.250% 5/5/21 643 637
  American Express Credit Corp. 2.700% 3/3/22 500 499
6 ANZ New Zealand International Ltd. 1.750% 3/29/18 695 695
  Australia & New Zealand Banking Group Ltd. 1.450% 5/15/18 400 399
  Australia & New Zealand Banking Group Ltd. 2.000% 11/16/18 790 792
  Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 1,235 1,228
5,8 Australia & New Zealand Banking Group Ltd. 4.480% 5/17/26 350 276
  Bank of America Corp. 5.700% 5/2/17 162 162
  Bank of America Corp. 6.400% 8/28/17 391 399
  Bank of America Corp. 6.000% 9/1/17 1,040 1,059
  Bank of America Corp. 2.000% 1/11/18 783 785
  Bank of America Corp. 6.875% 4/25/18 1,077 1,133
  Bank of America Corp. 5.650% 5/1/18 391 407
  Bank of America Corp. 1.950% 5/12/18 700 701
  Bank of America Corp. 6.500% 7/15/18 200 211
  Bank of America Corp. 2.600% 1/15/19 2,940 2,971
  Bank of America Corp. 2.151% 11/9/20 585 579
  Bank of America Corp. 2.503% 10/21/22 580 565
3 Bank of America Corp. 3.124% 1/20/23 1,070 1,074
3 Bank of America Corp. 3.824% 1/20/28 1,175 1,177
  Bank of America NA 6.100% 6/15/17 160 161
  Bank of America NA 1.650% 3/26/18 1,685 1,686
  Bank of America NA 1.750% 6/5/18 1,160 1,163
5,8 Bank of America NA 2.870% 11/5/18 600 461
  Bank of Montreal 1.300% 7/14/17 450 450
  Bank of Montreal 1.400% 9/11/17 510 510
  Bank of Montreal 1.450% 4/9/18 250 250
  Bank of Montreal 1.400% 4/10/18 700 699
  Bank of New York Mellon Corp. 1.969% 6/20/17 200 200
  Bank of New York Mellon Corp. 2.100% 1/15/19 81 82
  Bank of New York Mellon Corp. 2.200% 5/15/19 1,060 1,068
  Bank of New York Mellon Corp. 2.300% 9/11/19 710 716
  Bank of New York Mellon Corp. 2.150% 2/24/20 500 501
  Bank of New York Mellon Corp. 2.600% 8/17/20 461 465
  Bank of New York Mellon Corp. 2.450% 11/27/20 425 426
  Bank of Nova Scotia 1.250% 4/11/17 235 235
  Bank of Nova Scotia 1.450% 4/25/18 425 424
  Bank of Nova Scotia 1.700% 6/11/18 760 761
  Bank of Nova Scotia 2.050% 6/5/19 220 221
  Bank of Nova Scotia 1.650% 6/14/19 615 611
  Bank of Nova Scotia 2.700% 3/7/22 700 703
  Bank of Nova Scotia 4.500% 12/16/25 125 130
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.150% 9/14/18 800 801
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/10/19 250 250
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.300% 3/5/20 1,385 1,379
6 Bank of Tokyo-Mitsubishi UFJ Ltd. 2.750% 9/14/20 1,917 1,928
6 Banque Federative du Credit Mutuel SA 2.000% 4/12/19 570 567

 

 

6 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 1,275 1,276
6 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 425 420
  Barclays plc 3.684% 1/10/23 1,125 1,131
  Barclays plc 4.375% 1/12/26 200 203
  BB&T Corp. 4.900% 6/30/17 250 252
  BB&T Corp. 1.600% 8/15/17 180 180
  BB&T Corp. 2.050% 6/19/18 430 432
  BB&T Corp. 2.450% 1/15/20 1,115 1,126
  Bear Stearns Cos. LLC 6.400% 10/2/17 945 967
  Bear Stearns Cos. LLC 7.250% 2/1/18 710 742
  BNP Paribas SA 2.700% 8/20/18 1,898 1,918
6 BNP Paribas SA 3.800% 1/10/24 840 838
  BPCE SA 1.613% 7/25/17 396 396
8 BPCE SA 4.500% 4/17/18 200 155
  BPCE SA 2.500% 12/10/18 880 886
5,8 BPCE SA 3.080% 4/24/20 430 329
8 BPCE SA 3.500% 4/24/20 1,000 768
  BPCE SA 2.750% 12/2/21 255 253
  Branch Banking & Trust Co. 1.350% 10/1/17 720 720
  Branch Banking & Trust Co. 2.100% 1/15/20 500 501
  Branch Banking & Trust Co. 2.625% 1/15/22 1,950 1,952
6 Caisse Centrale Desjardins 1.750% 1/29/18 1,630 1,629
  Canadian Imperial Bank of Commerce 1.550% 1/23/18 630 629
  Capital One Bank USA NA 2.150% 11/21/18 350 350
  Capital One Bank USA NA 2.250% 2/13/19 580 581
  Capital One Bank USA NA 2.300% 6/5/19 540 541
  Capital One Financial Corp. 2.450% 4/24/19 611 614
  Capital One Financial Corp. 3.050% 3/9/22 640 639
  Capital One NA 1.500% 9/5/17 430 430
  Capital One NA 1.650% 2/5/18 700 700
  Capital One NA 1.500% 3/22/18 1,405 1,402
  Citigroup Inc. 1.850% 11/24/17 1,450 1,452
  Citigroup Inc. 1.800% 2/5/18 860 860
  Citigroup Inc. 1.700% 4/27/18 1,990 1,989
  Citigroup Inc. 1.750% 5/1/18 1,302 1,302
  Citigroup Inc. 2.150% 7/30/18 118 118
  Citigroup Inc. 2.500% 9/26/18 1,275 1,286
  Citigroup Inc. 2.550% 4/8/19 701 707
  Citigroup Inc. 2.500% 7/29/19 540 545
5,8 Citigroup Inc. 3.020% 8/7/19 600 461
  Citigroup Inc. 2.900% 12/8/21 1,010 1,012
  Citigroup Inc. 4.600% 3/9/26 118 121
3,6,9Colonial BancGroup Inc. 7.114% 5/29/49 560 —
  Commonwealth Bank of Australia 1.900% 9/18/17 470 471
  Commonwealth Bank of Australia 1.625% 3/12/18 295 295
  Commonwealth Bank of Australia 2.500% 9/20/18 1,380 1,394
  Commonwealth Bank of Australia 1.750% 11/2/18 546 545
  Commonwealth Bank of Australia 2.250% 3/13/19 1,635 1,642
5,8 Commonwealth Bank of Australia 2.660% 4/24/19 480 369
8 Commonwealth Bank of Australia 4.250% 4/24/19 200 158
  Commonwealth Bank of Australia 2.300% 9/6/19 1,105 1,112
5,8 Commonwealth Bank of Australia 2.630% 10/18/19 200 154
  Commonwealth Bank of Australia 2.300% 3/12/20 510 510
  Commonwealth Bank of Australia 2.400% 11/2/20 1,090 1,088
5,8 Commonwealth Bank of Australia 2.990% 7/12/21 1,000 775
6 Commonwealth Bank of Australia 2.000% 9/6/21 165 161
6 Commonwealth Bank of Australia 2.750% 3/10/22 2,575 2,575

 

 

5,8 Commonwealth Bank of Australia 3.720% 11/5/24 1,400 1,084
6 Commonwealth Bank of Australia 4.500% 12/9/25 395 412
5,8 Commonwealth Bank of Australia 4.435% 6/3/26 700 552
  Cooperatieve Rabobank UA 1.700% 3/19/18 860 861
8 Cooperatieve Rabobank UA 7.250% 4/20/18 250 201
  Cooperatieve Rabobank UA 2.250% 1/14/19 2,020 2,031
  Cooperatieve Rabobank UA 2.250% 1/14/20 1,445 1,449
  Cooperatieve Rabobank UA 2.500% 1/19/21 50 50
5,8 Cooperatieve Rabobank UA 3.285% 3/4/21 250 195
  Cooperatieve Rabobank UA 4.625% 12/1/23 250 263
8 Cooperatieve Rabobank UA 4.300% 7/2/25 400 310
3,8 Cooperatieve Rabobank UA 5.000% 7/2/25 300 236
6 Credit Agricole SA 3.375% 1/10/22 720 719
10 Credit Agricole SA 2.625% 3/17/27 615 666
  Credit Suisse AG 1.700% 4/27/18 1,405 1,404
  Credit Suisse AG 2.300% 5/28/19 990 994
6 Credit Suisse Group AG 3.574% 1/9/23 1,275 1,272
6 Credit Suisse Group AG 4.282% 1/9/28 720 717
  Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 95 95
  Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 585 588
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 1,070 1,070
6 Danske Bank A/S 2.750% 9/17/20 572 576
6 Danske Bank A/S 2.800% 3/10/21 326 329
6 Danske Bank A/S 2.700% 3/2/22 160 159
  Deutsche Bank AG 1.875% 2/13/18 345 344
  Deutsche Bank AG 2.500% 2/13/19 176 176
6 Deutsche Bank AG 4.250% 10/14/21 2,110 2,164
  Discover Bank 2.600% 11/13/18 588 593
  Fifth Third Bank 2.150% 8/20/18 778 782
  Fifth Third Bank 2.300% 3/15/19 670 674
  Fifth Third Bank 2.375% 4/25/19 614 619
  Fifth Third Bank 1.625% 9/27/19 1,015 1,003
  Fifth Third Bank 2.250% 6/14/21 686 678
  First Republic Bank 2.375% 6/17/19 1,185 1,184
11 Goldman Sachs Group Inc. 6.125% 5/14/17 892 1,124
5,8 Goldman Sachs Group Inc. 3.730% 11/29/17 140 108
  Goldman Sachs Group Inc. 5.950% 1/18/18 2,670 2,757
  Goldman Sachs Group Inc. 2.375% 1/22/18 2,020 2,031
  Goldman Sachs Group Inc. 6.150% 4/1/18 862 899
  Goldman Sachs Group Inc. 2.900% 7/19/18 1,960 1,985
5,8 Goldman Sachs Group Inc. 3.470% 8/8/18 880 680
8 Goldman Sachs Group Inc. 5.000% 8/8/18 440 347
  Goldman Sachs Group Inc. 2.625% 1/31/19 1,550 1,567
5,8 Goldman Sachs Group Inc. 3.080% 8/21/19 50 38
8 Goldman Sachs Group Inc. 5.000% 8/21/19 1,230 986
  Goldman Sachs Group Inc. 2.550% 10/23/19 640 646
  Goldman Sachs Group Inc. 2.300% 12/13/19 2,435 2,434
  Goldman Sachs Group Inc. 5.375% 3/15/20 501 543
  Goldman Sachs Group Inc. 2.750% 9/15/20 1,703 1,717
  Goldman Sachs Group Inc. 2.600% 12/27/20 1,235 1,235
  Goldman Sachs Group Inc. 2.875% 2/25/21 1,736 1,749
  Goldman Sachs Group Inc. 2.625% 4/25/21 984 981
  Goldman Sachs Group Inc. 5.750% 1/24/22 927 1,044
  Goldman Sachs Group Inc. 3.000% 4/26/22 2,505 2,511
10 Goldman Sachs Group Inc. 1.250% 5/1/25 263 277
6 HSBC Bank plc 1.500% 5/15/18 535 533
  HSBC Bank USA NA 6.000% 8/9/17 290 294

 

 

  HSBC Holdings plc 3.400% 3/8/21 1,120 1,146
  HSBC Holdings plc 2.950% 5/25/21 1,590 1,592
  HSBC Holdings plc 2.650% 1/5/22 3,690 3,639
3 HSBC Holdings plc 3.262% 3/13/23 1,525 1,533
  HSBC Holdings plc 3.600% 5/25/23 430 437
  HSBC USA Inc. 1.625% 1/16/18 1,355 1,355
  HSBC USA Inc. 2.625% 9/24/18 865 873
  HSBC USA Inc. 2.375% 11/13/19 1,170 1,175
  HSBC USA Inc. 2.350% 3/5/20 1,231 1,234
  Huntington Bancshares Inc. 2.600% 8/2/18 810 817
  Huntington National Bank 2.000% 6/30/18 1,280 1,283
  Huntington National Bank 2.200% 11/6/18 525 527
  Huntington National Bank 2.375% 3/10/20 1,325 1,331
  Huntington National Bank 2.875% 8/20/20 819 831
6 ING Bank NV 1.800% 3/16/18 203 204
6 ING Bank NV 2.500% 10/1/19 400 403
6 ING Bank NV 2.450% 3/16/20 570 572
6 ING Bank NV 2.700% 8/17/20 93 94
  ING Groep NV 3.150% 3/29/22 705 705
  Intesa Sanpaolo SPA 3.875% 1/16/18 556 562
  JPMorgan Chase & Co. 1.800% 1/25/18 470 471
  JPMorgan Chase & Co. 1.700% 3/1/18 2,277 2,277
  JPMorgan Chase & Co. 1.625% 5/15/18 63 63
  JPMorgan Chase & Co. 2.350% 1/28/19 1,550 1,569
  JPMorgan Chase & Co. 2.200% 10/22/19 1,404 1,411
  JPMorgan Chase & Co. 2.250% 1/23/20 1,532 1,537
  JPMorgan Chase & Co. 2.750% 6/23/20 2,870 2,905
  JPMorgan Chase & Co. 4.250% 10/15/20 139 147
  JPMorgan Chase & Co. 2.550% 10/29/20 1,977 1,983
  JPMorgan Chase & Co. 2.550% 3/1/21 495 495
  JPMorgan Chase & Co. 2.400% 6/7/21 550 547
  JPMorgan Chase & Co. 2.295% 8/15/21 1,195 1,182
  JPMorgan Chase & Co. 2.972% 1/15/23 1,884 1,883
  JPMorgan Chase & Co. 2.700% 5/18/23 409 400
3 JPMorgan Chase & Co. 3.782% 2/1/28 580 585
3 JPMorgan Chase & Co. 4.260% 2/22/48 265 264
  JPMorgan Chase Bank NA 6.000% 7/5/17 215 218
  JPMorgan Chase Bank NA 6.000% 10/1/17 775 792
  KeyBank NA 1.650% 2/1/18 136 136
  KeyBank NA 1.700% 6/1/18 250 250
  KeyBank NA 2.350% 3/8/19 1,246 1,256
  KeyBank NA 2.500% 11/22/21 250 248
8 Lloyds Bank plc 3.250% 4/1/20 600 460
  Lloyds Banking Group plc 3.750% 1/11/27 1,270 1,247
6 Macquarie Bank Ltd. 1.600% 10/27/17 1,400 1,398
5,8 Macquarie Bank Ltd. 2.820% 10/26/18 390 299
6 Macquarie Bank Ltd. 2.400% 1/21/20 865 864
6 Macquarie Bank Ltd. 4.875% 6/10/25 300 316
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 925 955
  Manufacturers & Traders Trust Co. 1.450% 3/7/18 855 854
  Manufacturers & Traders Trust Co. 2.300% 1/30/19 970 978
  Manufacturers & Traders Trust Co. 2.250% 7/25/19 990 997
  Manufacturers & Traders Trust Co. 2.100% 2/6/20 470 469
5 Manufacturers & Traders Trust Co. 1.695% 12/1/21 245 241
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 1,200 1,210
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 165 161
  Mitsubishi UFJ Financial Group Inc. 2.998% 2/22/22 80 81

 

 

6 Mitsubishi UFJ Trust & Banking Corp. 1.600% 10/16/17 710 710
6 Mitsubishi UFJ Trust & Banking Corp. 2.450% 10/16/19 1,055 1,058
6 Mitsubishi UFJ Trust & Banking Corp. 2.650% 10/19/20 760 761
  Mizuho Financial Group Inc. 2.953% 2/28/22 815 815
  Morgan Stanley 5.550% 4/27/17 455 456
  Morgan Stanley 6.250% 8/28/17 335 341
  Morgan Stanley 5.950% 12/28/17 1,179 1,216
  Morgan Stanley 1.875% 1/5/18 1,495 1,498
  Morgan Stanley 6.625% 4/1/18 529 554
  Morgan Stanley 2.125% 4/25/18 740 743
  Morgan Stanley 2.500% 1/24/19 1,090 1,101
  Morgan Stanley 2.450% 2/1/19 872 880
  Morgan Stanley 2.375% 7/23/19 988 993
  Morgan Stanley 5.625% 9/23/19 182 197
  Morgan Stanley 5.500% 1/26/20 364 395
  Morgan Stanley 2.650% 1/27/20 148 149
  Morgan Stanley 2.800% 6/16/20 489 495
  Morgan Stanley 2.500% 4/21/21 1,033 1,028
  Morgan Stanley 2.625% 11/17/21 2,650 2,633
  Morgan Stanley 3.875% 1/27/26 140 142
  Morgan Stanley 3.625% 1/20/27 410 406
11 Morgan Stanley 2.625% 3/9/27 1,205 1,509
  MUFG Americas Holdings Corp. 1.625% 2/9/18 300 300
  MUFG Americas Holdings Corp. 2.250% 2/10/20 700 699
  MUFG Union Bank NA 2.625% 9/26/18 945 954
  MUFG Union Bank NA 2.250% 5/6/19 580 582
  National Australia Bank Ltd. 2.300% 7/25/18 500 504
  National Australia Bank Ltd. 2.000% 1/14/19 556 557
  National Australia Bank Ltd. 1.375% 7/12/19 500 493
  National Australia Bank Ltd. 2.250% 1/10/20 820 821
  National Australia Bank Ltd. 1.875% 7/12/21 400 388
  National Australia Bank Ltd. 2.800% 1/10/22 975 980
6 National Australia Bank Ltd. 3.500% 1/10/27 60 61
  National Bank of Canada 2.100% 12/14/18 675 678
  National City Bank 5.800% 6/7/17 375 378
  National City Corp. 6.875% 5/15/19 190 209
6 Nordea Bank AB 1.625% 9/30/19 495 490
6 Nordea Bank AB 2.500% 9/17/20 307 307
  PNC Bank NA 4.875% 9/21/17 565 574
  PNC Bank NA 6.000% 12/7/17 115 118
  PNC Bank NA 1.500% 2/23/18 1,300 1,299
  PNC Bank NA 6.875% 4/1/18 100 105
  PNC Bank NA 1.600% 6/1/18 1,900 1,899
  PNC Bank NA 1.850% 7/20/18 740 742
  PNC Bank NA 1.800% 11/5/18 1,122 1,123
  PNC Bank NA 2.200% 1/28/19 1,185 1,193
  PNC Bank NA 2.250% 7/2/19 1,010 1,017
  PNC Bank NA 2.400% 10/18/19 1,791 1,809
  PNC Bank NA 2.300% 6/1/20 364 365
  PNC Bank NA 2.600% 7/21/20 1,135 1,145
  PNC Bank NA 2.450% 11/5/20 439 441
  PNC Bank NA 2.150% 4/29/21 352 348
  PNC Bank NA 2.550% 12/9/21 1,035 1,034
  PNC Bank NA 2.625% 2/17/22 2,890 2,890
  PNC Funding Corp. 5.125% 2/8/20 180 194
  Regions Bank 7.500% 5/15/18 250 265
  Royal Bank of Canada 1.250% 6/16/17 480 480

 

 

  Royal Bank of Canada 1.500% 1/16/18 95 95
  Royal Bank of Canada 2.200% 7/27/18 600 604
  Royal Bank of Canada 1.800% 7/30/18 439 440
  Royal Bank of Canada 2.000% 12/10/18 530 532
  Royal Bank of Canada 2.150% 3/15/19 825 830
  Royal Bank of Canada 1.500% 7/29/19 1,420 1,406
  Royal Bank of Canada 2.125% 3/2/20 3,550 3,553
  Royal Bank of Canada 2.350% 10/30/20 187 188
  Royal Bank of Canada 2.750% 2/1/22 115 116
  Santander Bank NA 8.750% 5/30/18 795 852
  Santander Holdings USA Inc. 2.700% 5/24/19 950 953
6 Santander Holdings USA Inc. 3.700% 3/28/22 730 731
  Santander UK Group Holdings plc 3.571% 1/10/23 900 901
  Santander UK plc 1.650% 9/29/17 125 125
  Santander UK plc 3.050% 8/23/18 1,130 1,147
  Santander UK plc 2.000% 8/24/18 386 388
  Santander UK plc 2.500% 3/14/19 1,510 1,522
  Santander UK plc 2.350% 9/10/19 1,599 1,608
6 Skandinaviska Enskilda Banken AB 1.750% 3/19/18 450 450
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 250 251
  Skandinaviska Enskilda Banken AB 1.875% 9/13/21 1,200 1,164
  Sumitomo Mitsui Banking Corp. 2.450% 1/16/20 705 705
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 170 171
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 182 177
5,8 Sumitomo Mitsui Financial Group Inc. 3.065% 3/29/22 1,100 840
8 Sumitomo Mitsui Financial Group Inc. 3.662% 3/29/22 500 384
  SunTrust Bank 2.250% 1/31/20 815 817
  SunTrust Banks Inc. 6.000% 9/11/17 205 209
  SunTrust Banks Inc. 2.900% 3/3/21 580 587
  Svenska Handelsbanken AB 2.500% 1/25/19 548 554
5,8 Svenska Handelsbanken AB 2.730% 4/10/19 200 153
8 Svenska Handelsbanken AB 4.500% 4/10/19 390 308
  Svenska Handelsbanken AB 1.500% 9/6/19 585 577
  Svenska Handelsbanken AB 2.450% 3/30/21 1,800 1,796
  Svenska Handelsbanken AB 1.875% 9/7/21 1,105 1,074
6 Swedbank AB 2.800% 3/14/22 1,295 1,297
  Synchrony Financial 3.000% 8/15/19 1,874 1,903
  Synchrony Financial 2.700% 2/3/20 912 915
  Synchrony Financial 4.250% 8/15/24 140 143
  Synchrony Financial 4.500% 7/23/25 195 200
  Synchrony Financial 3.700% 8/4/26 761 737
  Toronto-Dominion Bank 1.625% 3/13/18 1,140 1,142
  Toronto-Dominion Bank 2.125% 7/2/19 1,560 1,568
  Toronto-Dominion Bank 1.450% 8/13/19 500 495
  Toronto-Dominion Bank 2.250% 11/5/19 1,015 1,021
  Toronto-Dominion Bank 2.500% 12/14/20 565 571
  Toronto-Dominion Bank 2.125% 4/7/21 1,175 1,164
  UBS AG 1.800% 3/26/18 1,895 1,896
  UBS AG 2.375% 8/14/19 282 284
6 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 1,005 1,012
6 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 450 450
6 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 1,151 1,125
10 UBS Group Funding Jersey Ltd. 1.500% 11/30/24 350 377
6 UBS Group Funding Switzerland AG 3.491% 5/23/23 105 105
6 UBS Group Funding Switzerland AG 4.253% 3/23/28 265 269
  US Bank NA 1.375% 9/11/17 1,010 1,010
  US Bank NA 1.350% 1/26/18 502 501

 

 

  US Bank NA 2.125% 10/28/19 508 510
  Wachovia Corp. 5.750% 6/15/17 717 723
  Wachovia Corp. 5.750% 2/1/18 1,316 1,359
9 Washington Mutual Bank / Debt not acquired        
  by JPMorgan 6.875% 6/15/11 517 —
  Wells Fargo & Co. 5.625% 12/11/17 480 493
  Wells Fargo & Co. 1.500% 1/16/18 980 979
8 Wells Fargo & Co. 4.250% 1/25/18 120 93
8 Wells Fargo & Co. 4.000% 8/8/19 600 471
  Wells Fargo & Co. 2.600% 7/22/20 680 687
  Wells Fargo & Co. 2.100% 7/26/21 445 436
8 Wells Fargo & Co. 3.000% 7/27/21 1,150 869
5,8 Wells Fargo & Co. 3.090% 7/27/21 250 193
  Wells Fargo & Co. 3.069% 1/24/23 365 367
11 Wells Fargo & Co. 2.000% 7/28/25 159 197
  Wells Fargo Bank NA 6.000% 11/15/17 1,413 1,451
  Wells Fargo Bank NA 1.800% 11/28/18 620 622
  Wells Fargo Bank NA 1.750% 5/24/19 1,778 1,772
  Wells Fargo Bank NA 2.150% 12/6/19 2,060 2,067
  Westpac Banking Corp. 1.500% 12/1/17 1,175 1,175
  Westpac Banking Corp. 1.600% 1/12/18 1,025 1,025
  Westpac Banking Corp. 2.250% 7/30/18 500 503
  Westpac Banking Corp. 1.950% 11/23/18 485 486
  Westpac Banking Corp. 2.250% 1/17/19 1,040 1,046
  Westpac Banking Corp. 1.600% 8/19/19 965 954
  Westpac Banking Corp. 4.875% 11/19/19 845 903
  Westpac Banking Corp. 2.300% 5/26/20 70 70
5,8 Westpac Banking Corp. 2.850% 10/28/20 200 154
  Westpac Banking Corp. 2.600% 11/23/20 1,505 1,516
  Westpac Banking Corp. 2.100% 5/13/21 1,276 1,253
5,8 Westpac Banking Corp. 2.955% 6/3/21 1,100 852
  Westpac Banking Corp. 2.000% 8/19/21 1,900 1,853
  Westpac Banking Corp. 2.800% 1/11/22 1,020 1,025
5,8 Westpac Banking Corp. 3.845% 3/14/24 1,500 1,160
5,8 Westpac Banking Corp. 4.885% 3/10/26 400 320
  Westpac Banking Corp. 3.350% 3/8/27 390 388
3 Westpac Banking Corp. 4.322% 11/23/31 965 975
 
  Brokerage (0.3%)        
6 Apollo Management Holdings LP 4.400% 5/27/26 105 107
  Charles Schwab Corp. 6.375% 9/1/17 140 143
  Charles Schwab Corp. 1.500% 3/10/18 465 465
  Franklin Resources Inc. 1.375% 9/15/17 380 380
  Jefferies Group LLC 5.125% 4/13/18 365 376
  Jefferies Group LLC 4.850% 1/15/27 490 501
  Legg Mason Inc. 2.700% 7/15/19 140 141
9 Lehman Brothers Holdings E-Capital Trust I 3.589% 8/19/65 210 —
  Nomura Holdings Inc. 2.750% 3/19/19 620 625
  NYSE Euronext 2.000% 10/5/17 418 419
  Stifel Financial Corp. 3.500% 12/1/20 620 632
  Stifel Financial Corp. 4.250% 7/18/24 75 76
  TD Ameritrade Holding Corp. 2.950% 4/1/22 415 420
 
  Finance Companies (0.6%)        
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 3.750% 5/15/19 315 323

 

 

  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.250% 7/1/20 165 172
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.625% 10/30/20 450 475
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 4.500% 5/15/21 1,345 1,409
  AerCap Ireland Capital Ltd. / AerCap Global        
  Aviation Trust 3.950% 2/1/22 635 651
  Air Lease Corp. 5.625% 4/1/17 1,993 1,993
  Air Lease Corp. 3.375% 1/15/19 755 770
  Air Lease Corp. 4.250% 9/15/24 80 83
  GE Capital International Funding Co. 2.342% 11/15/20 2,724 2,735
  GE Capital International Funding Co. 4.418% 11/15/35 200 211
  International Lease Finance Corp. 4.625% 4/15/21 235 247
6 SMBC Aviation Capital Finance DAC 2.650% 7/15/21 645 627
 
  Insurance (2.0%)        
  Aetna Inc. 1.700% 6/7/18 435 435
  Aetna Inc. 2.800% 6/15/23 235 233
  Aflac Inc. 3.625% 6/15/23 140 145
6 AIG Global Funding 2.700% 12/15/21 315 314
  Alleghany Corp. 5.625% 9/15/20 210 230
  Alterra Finance LLC 6.250% 9/30/20 235 263
  American Financial Group Inc. 9.875% 6/15/19 770 895
  American International Group Inc. 2.300% 7/16/19 142 143
  American International Group Inc. 4.875% 6/1/22 205 222
  American International Group Inc. 4.125% 2/15/24 150 154
  American International Group Inc. 3.750% 7/10/25 200 199
  Anthem Inc. 1.875% 1/15/18 465 465
  Aon plc 4.750% 5/15/45 140 140
  Aspen Insurance Holdings Ltd. 6.000% 12/15/20 625 688
  Assurant Inc. 2.500% 3/15/18 700 704
3,10 AXA SA 5.125% 7/4/43 105 130
3,10 AXA SA 3.375% 7/6/47 300 330
3,11 AXA SA 5.625% 1/16/54 200 266
  AXIS Specialty Finance LLC 5.875% 6/1/20 300 330
  AXIS Specialty Finance plc 2.650% 4/1/19 350 353
  Berkshire Hathaway Finance Corp. 5.400% 5/15/18 600 627
  Berkshire Hathaway Finance Corp. 1.300% 8/15/19 880 871
  Berkshire Hathaway Finance Corp. 3.000% 5/15/22 115 118
  Berkshire Hathaway Inc. 2.100% 8/14/19 125 126
  Berkshire Hathaway Inc. 2.750% 3/15/23 965 965
  Chubb INA Holdings Inc. 2.875% 11/3/22 250 252
  Chubb INA Holdings Inc. 2.700% 3/13/23 140 139
  CNA Financial Corp. 7.350% 11/15/19 100 113
3,10 Credit Agricole Assurances SA 4.750% 9/27/48 100 111
  Enstar Group Ltd. 4.500% 3/10/22 685 691
6,10 Liberty Mutual Finance Europe DAC 1.750% 3/27/24 400 433
10 Liberty Mutual Group Inc. 2.750% 5/4/26 261 297
  Manulife Financial Corp. 4.150% 3/4/26 175 185
  Marsh & McLennan Cos. Inc. 2.550% 10/15/18 125 127
  Marsh & McLennan Cos. Inc. 2.350% 3/6/20 340 341
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 80 87
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 920 924
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 50 51
6 MassMutual Global Funding II 2.100% 8/2/18 300 302
6 MassMutual Global Funding II 2.500% 10/17/22 365 357

 

 

  MetLife Inc. 1.756% 12/15/17 300 300
  MetLife Inc. 6.817% 8/15/18 315 336
  MetLife Inc. 7.717% 2/15/19 220 243
  MetLife Inc. 4.368% 9/15/23 86 92
3 MetLife Inc. 5.250% 12/29/49 165 171
6 Metropolitan Life Global Funding I 1.500% 1/10/18 650 650
8 Metropolitan Life Global Funding I 4.500% 10/10/18 1,040 816
6 Metropolitan Life Global Funding I 2.300% 4/10/19 275 277
6 Metropolitan Life Global Funding I 1.950% 9/15/21 465 452
6 Metropolitan Life Global Funding I 3.000% 1/10/23 300 301
6 Metropolitan Life Global Funding I 3.450% 12/18/26 140 141
6 New York Life Global Funding 1.950% 2/11/20 430 429
6 New York Life Global Funding 2.900% 1/17/24 450 451
10 NN Group NV 1.000% 3/18/22 310 337
3,10 NN Group NV 4.625% 4/8/44 616 704
11 PGH Capital plc 5.750% 7/7/21 200 281
11 Phoenix Group Holdings 4.125% 7/20/22 325 412
6 Pricoa Global Funding I 2.550% 11/24/20 235 236
6 Pricoa Global Funding I 2.200% 6/3/21 260 256
6 Principal Life Global Funding II 2.200% 4/8/20 685 681
3 Progressive Corp. 6.700% 6/15/67 765 758
  Prudential Financial Inc. 7.375% 6/15/19 255 284
  Prudential Financial Inc. 4.500% 11/16/21 300 325
3 Prudential Financial Inc. 5.375% 5/15/45 290 303
  Reinsurance Group of America Inc. 6.450% 11/15/19 505 557
  Reinsurance Group of America Inc. 3.950% 9/15/26 620 627
6 Reliance Standard Life Global Funding II 2.150% 10/15/18 680 682
6 Reliance Standard Life Global Funding II 2.500% 1/15/20 1,255 1,254
6 Reliance Standard Life Global Funding II 2.375% 5/4/20 430 424
6 Reliance Standard Life Global Funding II 3.050% 1/20/21 205 207
6 TIAA Asset Management Finance Co. LLC 2.950% 11/1/19 1,463 1,488
  Torchmark Corp. 9.250% 6/15/19 170 196
  Travelers Cos. Inc. 5.800% 5/15/18 55 58
  Travelers Cos. Inc. 5.900% 6/2/19 70 76
  Travelers Cos. Inc. 3.900% 11/1/20 105 111
  UnitedHealth Group Inc. 1.900% 7/16/18 480 482
  UnitedHealth Group Inc. 2.700% 7/15/20 350 357
  UnitedHealth Group Inc. 4.250% 4/15/47 200 204
 
  Real Estate Investment Trusts (1.5%)        
  Alexandria Real Estate Equities Inc. 2.750% 1/15/20 715 718
10 ATF Netherlands BV 2.125% 3/13/23 400 432
10 ATF Netherlands BV 1.500% 7/15/24 800 820
  Boston Properties LP 3.700% 11/15/18 100 102
  Boston Properties LP 5.875% 10/15/19 781 846
  Brandywine Operating Partnership LP 5.700% 5/1/17 305 306
  Brandywine Operating Partnership LP 4.950% 4/15/18 475 488
  Brandywine Operating Partnership LP 3.950% 2/15/23 314 314
  Brandywine Operating Partnership LP 4.100% 10/1/24 185 185
  Brixmor Operating Partnership LP 3.850% 2/1/25 146 145
  Brixmor Operating Partnership LP 4.125% 6/15/26 725 726
  Brixmor Operating Partnership LP 3.900% 3/15/27 470 461
  Camden Property Trust 4.875% 6/15/23 50 54
  Camden Property Trust 4.250% 1/15/24 150 156
  Camden Property Trust 3.500% 9/15/24 45 45
  DDR Corp. 4.750% 4/15/18 725 741
  DDR Corp. 7.875% 9/1/20 170 197

 

 

DDR Corp. 3.625% 2/1/25 65 62
DDR Corp. 4.250% 2/1/26 305 303
8 DEXUS Finance Pty Ltd. 4.200% 11/9/22 200 156
Digital Realty Trust LP 3.400% 10/1/20 706 725
Digital Realty Trust LP 3.950% 7/1/22 840 877
Digital Realty Trust LP 4.750% 10/1/25 165 175
Duke Realty LP 6.500% 1/15/18 75 78
Duke Realty LP 3.250% 6/30/26 107 104
ERP Operating LP 2.375% 7/1/19 125 126
ERP Operating LP 4.750% 7/15/20 53 57
Essex Portfolio LP 3.500% 4/1/25 53 53
Federal Realty Investment Trust 2.550% 1/15/21 232 232
8 General Property Trust 4.500% 9/11/20 90 71
6 Goodman Australia Industrial Fund 3.400% 9/30/26 410 398
8 GPT Wholesale Office Fund No. 1 4.000% 5/18/22 50 39
HCP Inc. 2.625% 2/1/20 295 296
HCP Inc. 4.250% 11/15/23 180 186
HCP Inc. 4.200% 3/1/24 195 200
HCP Inc. 3.400% 2/1/25 365 353
HCP Inc. 4.000% 6/1/25 210 211
Healthcare Trust of America Holdings LP 3.700% 4/15/23 320 321
Healthcare Trust of America Holdings LP 3.500% 8/1/26 250 240
Kilroy Realty LP 4.800% 7/15/18 435 448
Kimco Realty Corp. 3.800% 4/1/27 485 484
Liberty Property LP 4.750% 10/1/20 260 277
Liberty Property LP 3.750% 4/1/25 85 86
Omega Healthcare Investors Inc. 4.375% 8/1/23 1,000 1,012
Omega Healthcare Investors Inc. 4.500% 1/15/25 485 483
Omega Healthcare Investors Inc. 5.250% 1/15/26 524 545
Realty Income Corp. 2.000% 1/31/18 130 130
Realty Income Corp. 5.750% 1/15/21 95 105
Realty Income Corp. 4.125% 10/15/26 455 468
6 Scentre Group Trust 1 / Scentre Group Trust        
2 3.750% 3/23/27 690 694
8 Scentre Group Trust 2 5.000% 10/23/19 200 160
Senior Housing Properties Trust 3.250% 5/1/19 850 857
Simon Property Group LP 2.150% 9/15/17 40 40
Simon Property Group LP 2.500% 9/1/20 269 274
Simon Property Group LP 4.375% 3/1/21 175 186
Simon Property Group LP 2.350% 1/30/22 295 291
Ventas Realty LP 3.125% 6/15/23 111 109
Ventas Realty LP 3.500% 2/1/25 165 162
Ventas Realty LP 3.850% 4/1/27 485 482
Ventas Realty LP / Ventas Capital Corp. 2.000% 2/15/18 560 561
Vereit Operating Partnership LP 3.000% 2/6/19 505 507
Welltower Inc. 4.700% 9/15/17 365 370
Welltower Inc. 2.250% 3/15/18 385 387
Welltower Inc. 4.125% 4/1/19 1,137 1,175
Welltower Inc. 4.000% 6/1/25 170 172
        370,139
Industrial (24.2%)        
Basic Industry (0.8%)        
Agrium Inc. 6.750% 1/15/19 1,087 1,172
6 Air Liquide Finance SA 1.375% 9/27/19 510 502
6 Air Liquide Finance SA 1.750% 9/27/21 580 555
Air Products & Chemicals Inc. 1.200% 10/15/17 275 275
Air Products & Chemicals Inc. 4.375% 8/21/19 170 180

 

 

  Airgas Inc. 1.650% 2/15/18 555 556
  Airgas Inc. 2.375% 2/15/20 240 241
  Airgas Inc. 3.050% 8/1/20 300 308
8 BHP Billiton Finance Ltd. 3.750% 10/18/17 340 262
  CF Industries Inc. 6.875% 5/1/18 640 666
6 CF Industries Inc. 3.400% 12/1/21 230 229
  CF Industries Inc. 3.450% 6/1/23 155 146
  EI du Pont de Nemours & Co. 6.000% 7/15/18 658 694
  EI du Pont de Nemours & Co. 4.625% 1/15/20 270 288
8 Glencore Australia Holdings Pty Ltd. 4.500% 9/19/19 100 78
  Goldcorp Inc. 2.125% 3/15/18 360 360
  International Paper Co. 7.950% 6/15/18 125 134
  LyondellBasell Industries NV 5.000% 4/15/19 120 126
  Monsanto Co. 1.150% 6/30/17 230 230
  Monsanto Co. 5.125% 4/15/18 535 552
  Monsanto Co. 1.850% 11/15/18 75 75
  Potash Corp. of Saskatchewan Inc. 3.250% 12/1/17 693 699
  Potash Corp. of Saskatchewan Inc. 6.500% 5/15/19 275 297
  PPG Industries Inc. 2.300% 11/15/19 680 686
  Praxair Inc. 4.500% 8/15/19 710 752
  Praxair Inc. 4.050% 3/15/21 165 175
  Praxair Inc. 3.000% 9/1/21 25 26
  Rio Tinto Finance USA Ltd. 9.000% 5/1/19 120 137
  Vale Overseas Ltd. 5.625% 9/15/19 230 244
  Vale Overseas Ltd. 5.875% 6/10/21 1,170 1,252
 
  Capital Goods (2.3%)        
  Acuity Brands Lighting Inc. 6.000% 12/15/19 200 219
  Caterpillar Financial Services Corp. 7.150% 2/15/19 1,135 1,243
  Caterpillar Financial Services Corp. 1.350% 5/18/19 810 802
  Caterpillar Financial Services Corp. 2.100% 1/10/20 820 820
  Caterpillar Financial Services Corp. 1.700% 8/9/21 1,000 965
  Caterpillar Financial Services Corp. 1.931% 10/1/21 2,387 2,320
  Caterpillar Inc. 7.900% 12/15/18 1,460 1,604
  Embraer Netherlands Finance BV 5.400% 2/1/27 705 724
6 Embraer Overseas Ltd. 5.696% 9/16/23 263 283
  General Electric Capital Corp. 5.625% 5/1/18 145 152
  General Electric Capital Corp. 6.000% 8/7/19 731 803
  General Electric Capital Corp. 2.200% 1/9/20 736 745
  General Electric Capital Corp. 5.550% 5/4/20 1,357 1,502
  General Electric Capital Corp. 4.375% 9/16/20 750 807
  General Electric Capital Corp. 4.625% 1/7/21 1,877 2,037
  General Electric Capital Corp. 5.300% 2/11/21 163 180
  General Electric Capital Corp. 4.650% 10/17/21 470 516
6 General Electric Co. / LJ VP Holdings LLC 3.800% 6/18/19 555 577
  Illinois Tool Works Inc. 3.375% 9/15/21 425 444
  Illinois Tool Works Inc. 2.650% 11/15/26 1,015 978
  John Deere Capital Corp. 5.350% 4/3/18 655 680
  John Deere Capital Corp. 5.750% 9/10/18 680 720
  John Deere Capital Corp. 1.250% 10/9/19 450 444
  John Deere Capital Corp. 2.375% 7/14/20 1,245 1,254
  John Deere Capital Corp. 2.450% 9/11/20 1,075 1,084
  John Deere Capital Corp. 2.550% 1/8/21 360 363
  John Deere Capital Corp. 2.800% 3/4/21 815 828
  John Deere Capital Corp. 3.900% 7/12/21 240 254
8 John Deere Financial Ltd. 3.500% 12/18/19 890 690
10 Leonardo SPA 4.500% 1/19/21 100 120

 

 

  Masco Corp. 7.125% 3/15/20 1,225 1,380
  Parker-Hannifin Corp. 5.500% 5/15/18 85 89
6,10 Parker-Hannifin Corp. 1.125% 3/1/25 500 533
  Precision Castparts Corp. 2.500% 1/15/23 645 636
  Raytheon Co. 6.400% 12/15/18 1,620 1,752
  Raytheon Co. 4.400% 2/15/20 55 59
  Raytheon Co. 3.125% 10/15/20 222 229
  Rockwell Automation Inc. 5.650% 12/1/17 115 118
  Roper Technologies Inc. 2.800% 12/15/21 315 315
  Roper Technologies Inc. 3.800% 12/15/26 840 844
6 Siemens Financieringsmaatschappij NV 2.200% 3/16/20 1,545 1,551
6 Siemens Financieringsmaatschappij NV 2.700% 3/16/22 1,245 1,246
  Textron Inc. 7.250% 10/1/19 250 279
  Textron Inc. 3.875% 3/1/25 240 244
  United Rentals North America Inc. 4.625% 7/15/23 1,120 1,152
  United Rentals North America Inc. 5.875% 9/15/26 165 172
  United Rentals North America Inc. 5.500% 5/15/27 235 237
 
  Communication (2.8%)        
  21st Century Fox America Inc. 7.250% 5/18/18 175 185
6 Activision Blizzard Inc. 2.300% 9/15/21 350 343
6 Activision Blizzard Inc. 6.125% 9/15/23 520 564
  America Movil SAB de CV 5.625% 11/15/17 805 825
  America Movil SAB de CV 5.000% 10/16/19 500 534
  America Movil SAB de CV 5.000% 3/30/20 1,845 1,982
  American Tower Corp. 4.500% 1/15/18 510 521
10 American Tower Corp. 1.375% 4/4/25 1,015 1,073
11 AT&T Inc. 5.875% 4/28/17 700 880
  AT&T Inc. 1.700% 6/1/17 275 275
  AT&T Inc. 1.400% 12/1/17 600 600
  AT&T Inc. 5.500% 2/1/18 309 319
  AT&T Inc. 5.600% 5/15/18 175 183
  AT&T Inc. 5.800% 2/15/19 780 833
  AT&T Inc. 5.875% 10/1/19 1,370 1,482
  AT&T Inc. 5.200% 3/15/20 395 427
  AT&T Inc. 4.600% 2/15/21 100 106
  AT&T Inc. 3.200% 3/1/22 340 343
  CBS Corp. 4.625% 5/15/18 60 62
  CBS Corp. 2.300% 8/15/19 20 20
  Comcast Cable Communications LLC 8.875% 5/1/17 375 377
  Comcast Corp. 5.875% 2/15/18 410 426
  Comcast Corp. 3.375% 8/15/25 315 318
  Crown Castle International Corp. 3.400% 2/15/21 700 712
  Crown Castle International Corp. 2.250% 9/1/21 400 389
  Crown Castle International Corp. 4.450% 2/15/26 400 416
  Deutsche Telekom International Finance BV 6.750% 8/20/18 275 293
  Deutsche Telekom International Finance BV 6.000% 7/8/19 175 190
  Discovery Communications LLC 3.800% 3/13/24 245 243
  Electronic Arts Inc. 3.700% 3/1/21 350 363
  Grupo Televisa SAB 6.000% 5/15/18 250 261
  Grupo Televisa SAB 6.625% 3/18/25 100 116
  Grupo Televisa SAB 5.000% 5/13/45 400 366
  GTE Corp. 6.840% 4/15/18 60 63
  Interpublic Group of Cos. Inc. 2.250% 11/15/17 78 79
6 KT Corp. 1.750% 4/22/17 815 815
  Moody's Corp. 2.750% 7/15/19 1,425 1,443
  Moody's Corp. 5.500% 9/1/20 220 241

 

 

6 NBCUniversal Enterprise Inc. 1.974% 4/15/19 1,610 1,613
  NBCUniversal Media LLC 4.375% 4/1/21 585 628
  NBCUniversal Media LLC 2.875% 1/15/23 550 550
  Omnicom Group Inc. 6.250% 7/15/19 125 136
  Omnicom Group Inc. 4.450% 8/15/20 120 128
  Orange SA 2.750% 2/6/19 720 728
  Orange SA 1.625% 11/3/19 1,200 1,180
  Qwest Corp. 6.500% 6/1/17 185 186
6 SES Global Americas Holdings GP 2.500% 3/25/19 1,295 1,289
6 Sky plc 2.625% 9/16/19 300 301
  Telefonica Emisiones SAU 6.221% 7/3/17 380 384
8 Telstra Corp. Ltd. 4.500% 11/13/18 590 464
8 Telstra Corp. Ltd. 4.000% 9/16/22 270 214
6 Telstra Corp. Ltd. 3.125% 4/7/25 408 406
  Thomson Reuters Corp. 6.500% 7/15/18 730 772
  Time Warner Cable LLC 5.850% 5/1/17 800 802
  Time Warner Cable LLC 8.750% 2/14/19 395 441
  Time Warner Cable LLC 8.250% 4/1/19 555 619
  Verizon Communications Inc. 5.500% 2/15/18 25 26
  Verizon Communications Inc. 6.100% 4/15/18 380 398
  Verizon Communications Inc. 3.650% 9/14/18 1,525 1,565
  Verizon Communications Inc. 4.500% 9/15/20 2,310 2,463
  Verizon Communications Inc. 3.450% 3/15/21 800 819
  Verizon Communications Inc. 1.750% 8/15/21 500 479
  Verizon Communications Inc. 3.000% 11/1/21 200 201
6 Verizon Communications Inc. 2.946% 3/15/22 3,049 3,035
  Verizon Communications Inc. 5.150% 9/15/23 930 1,021
  Verizon Communications Inc. 4.125% 3/16/27 910 926
  Verizon Communications Inc. 4.522% 9/15/48 65 59
  Viacom Inc. 5.625% 9/15/19 75 81
  Viacom Inc. 3.875% 12/15/21 400 415
  Viacom Inc. 3.450% 10/4/26 200 190
  Vodafone Group plc 1.250% 9/26/17 305 305
 
  Consumer Cyclical (3.7%)        
10 Accor SA 1.250% 1/25/24 200 211
  Alibaba Group Holding Ltd. 1.625% 11/28/17 905 904
  Alibaba Group Holding Ltd. 2.500% 11/28/19 391 393
  American Honda Finance Corp. 0.950% 5/5/17 380 380
  American Honda Finance Corp. 1.600% 7/13/18 255 255
  American Honda Finance Corp. 2.125% 10/10/18 1,005 1,013
  American Honda Finance Corp. 1.500% 11/19/18 350 349
  American Honda Finance Corp. 1.700% 2/22/19 350 350
  American Honda Finance Corp. 2.000% 2/14/20 1,200 1,204
  American Honda Finance Corp. 2.450% 9/24/20 415 418
  American Honda Finance Corp. 1.700% 9/9/21 395 384
  AutoZone Inc. 7.125% 8/1/18 480 513
  AutoZone Inc. 1.625% 4/21/19 205 203
  Block Financial LLC 4.125% 10/1/20 245 251
6 BMW US Capital LLC 2.000% 4/11/21 735 719
  CVS Health Corp. 1.900% 7/20/18 395 396
  CVS Health Corp. 2.250% 12/5/18 480 483
  CVS Health Corp. 2.800% 7/20/20 3,130 3,179
6 Daimler Finance North America LLC 2.400% 4/10/17 260 260
6 Daimler Finance North America LLC 1.375% 8/1/17 475 475
  Delphi Automotive plc 3.150% 11/19/20 365 372
  Dollar General Corp. 4.125% 7/15/17 305 307

 

 

  Dollar General Corp. 1.875% 4/15/18 235 235
  DR Horton Inc. 4.375% 9/15/22 160 169
6 Experian Finance plc 2.375% 6/15/17 1,105 1,107
  Ford Motor Credit Co. LLC 2.145% 1/9/18 335 336
  Ford Motor Credit Co. LLC 2.375% 1/16/18 365 367
  Ford Motor Credit Co. LLC 5.000% 5/15/18 1,715 1,772
  Ford Motor Credit Co. LLC 2.240% 6/15/18 350 351
8 Ford Motor Credit Co. LLC 4.050% 12/10/18 1,880 1,463
  Ford Motor Credit Co. LLC 2.375% 3/12/19 115 115
  Ford Motor Credit Co. LLC 2.597% 11/4/19 320 322
  Ford Motor Credit Co. LLC 2.459% 3/27/20 465 463
8 Ford Motor Credit Co. LLC 3.588% 6/2/20 790 609
  Ford Motor Credit Co. LLC 3.157% 8/4/20 340 345
  Ford Motor Credit Co. LLC 3.200% 1/15/21 570 577
  Ford Motor Credit Co. LLC 5.750% 2/1/21 200 220
  Ford Motor Credit Co. LLC 3.336% 3/18/21 1,705 1,725
  Ford Motor Credit Co. LLC 5.875% 8/2/21 400 445
  Ford Motor Credit Co. LLC 3.339% 3/28/22 725 728
  Ford Motor Credit Co. LLC 4.250% 9/20/22 365 380
  General Motors Co. 3.500% 10/2/18 885 904
  General Motors Financial Co. Inc. 3.250% 5/15/18 1,535 1,557
  General Motors Financial Co. Inc. 6.750% 6/1/18 1,110 1,170
  General Motors Financial Co. Inc. 3.100% 1/15/19 130 132
  General Motors Financial Co. Inc. 2.400% 5/9/19 760 761
  General Motors Financial Co. Inc. 3.500% 7/10/19 700 719
  General Motors Financial Co. Inc. 3.200% 7/13/20 935 951
  General Motors Financial Co. Inc. 3.700% 11/24/20 720 740
  General Motors Financial Co. Inc. 4.200% 3/1/21 895 933
  General Motors Financial Co. Inc. 3.200% 7/6/21 550 552
  General Motors Financial Co. Inc. 4.375% 9/25/21 60 63
  General Motors Financial Co. Inc. 3.450% 1/14/22 835 843
6 Harley-Davidson Financial Services Inc. 1.550% 11/17/17 85 85
6 Harley-Davidson Financial Services Inc. 2.400% 9/15/19 235 236
6 Harley-Davidson Financial Services Inc. 2.150% 2/26/20 255 253
6 Harley-Davidson Funding Corp. 6.800% 6/15/18 90 95
6 Hyundai Capital America 4.000% 6/8/17 193 194
6 Hyundai Capital America 3.100% 4/5/22 500 499
6 Hyundai Capital Services Inc. 3.000% 3/6/22 315 314
  Lowe's Cos. Inc. 1.625% 4/15/17 1,016 1,016
  Lowe's Cos. Inc. 1.150% 4/15/19 295 291
  Lowe's Cos. Inc. 4.625% 4/15/20 460 492
  Macy's Retail Holdings Inc. 7.450% 7/15/17 175 178
  Macy's Retail Holdings Inc. 3.450% 1/15/21 485 487
  Marriott International Inc. 6.375% 6/15/17 195 197
  Mastercard Inc. 2.000% 4/1/19 225 227
  McDonald's Corp. 2.100% 12/7/18 290 292
6 Nissan Motor Acceptance Corp. 2.000% 3/8/19 775 774
  Nordstrom Inc. 6.250% 1/15/18 264 274
  NVR Inc. 3.950% 9/15/22 165 171
  PACCAR Financial Corp. 1.750% 8/14/18 160 160
  PACCAR Financial Corp. 2.200% 9/15/19 450 453
  PACCAR Financial Corp. 2.500% 8/14/20 70 71
10 Priceline Group Inc. 0.800% 3/10/22 1,000 1,064
  QVC Inc. 3.125% 4/1/19 230 233
  Smithsonian Institute Washington DC GO 3.434% 9/1/23 150 159
  Starbucks Corp. 2.100% 2/4/21 310 311
  TJX Cos. Inc. 2.750% 6/15/21 450 458

 

 

8 Toyota Finance Australia Ltd. 4.250% 5/15/19 460 363
  Toyota Motor Credit Corp. 1.450% 1/12/18 650 650
  Toyota Motor Credit Corp. 1.550% 7/13/18 400 400
  Toyota Motor Credit Corp. 2.000% 10/24/18 255 256
  Toyota Motor Credit Corp. 2.100% 1/17/19 470 474
  Toyota Motor Credit Corp. 2.125% 7/18/19 985 992
  Toyota Motor Credit Corp. 2.750% 5/17/21 165 167
8 Toyota Motor Credit Corp. 2.750% 7/26/21 70 53
  Toyota Motor Credit Corp. 3.400% 9/15/21 150 156
  Toyota Motor Credit Corp. 2.600% 1/11/22 265 266
  VF Corp. 5.950% 11/1/17 140 144
  Visa Inc. 1.200% 12/14/17 830 830
  Visa Inc. 2.200% 12/14/20 2,070 2,078
8 Volkswagen Financial Services Australia Pty        
  Ltd. 4.250% 4/4/18 80 62
8 Volkswagen Financial Services Australia Pty        
  Ltd. 3.250% 8/13/19 680 521
6 Volkswagen Group of America Finance LLC 1.250% 5/23/17 815 815
6 Volkswagen Group of America Finance LLC 1.600% 11/20/17 200 200
6 Volkswagen Group of America Finance LLC 1.650% 5/22/18 200 199
6 Volkswagen Group of America Finance LLC 2.125% 5/23/19 290 289
  Wal-Mart Stores Inc. 3.625% 7/8/20 715 754
  Wal-Mart Stores Inc. 3.250% 10/25/20 457 477
  Walgreens Boots Alliance Inc. 1.750% 5/30/18 440 441
  Walgreens Boots Alliance Inc. 2.600% 6/1/21 1,110 1,112
  Walgreens Boots Alliance Inc. 3.800% 11/18/24 160 163
6 Wesfarmers Ltd. 1.874% 3/20/18 425 425
 
  Consumer Noncyclical (5.4%)        
  Abbott Laboratories 2.350% 11/22/19 2,250 2,259
  Abbott Laboratories 2.800% 9/15/20 500 505
  Abbott Laboratories 2.900% 11/30/21 2,000 2,007
  AbbVie Inc. 1.800% 5/14/18 3,140 3,143
  AbbVie Inc. 2.000% 11/6/18 415 416
  AbbVie Inc. 2.500% 5/14/20 2,270 2,286
  AbbVie Inc. 2.300% 5/14/21 710 701
  Actavis Funding SCS 2.350% 3/12/18 5,400 5,420
  Actavis Funding SCS 2.450% 6/15/19 235 236
  Actavis Funding SCS 3.000% 3/12/20 685 695
  Actavis Funding SCS 3.450% 3/15/22 1,810 1,842
  Actavis Inc. 1.875% 10/1/17 512 513
  Actavis Inc. 6.125% 8/15/19 235 256
  Agilent Technologies Inc. 6.500% 11/1/17 99 102
  Agilent Technologies Inc. 5.000% 7/15/20 265 286
  Allergan Inc. 1.350% 3/15/18 200 199
  Altria Group Inc. 9.250% 8/6/19 1,714 1,991
  Altria Group Inc. 4.750% 5/5/21 941 1,019
  AmerisourceBergen Corp. 3.500% 11/15/21 300 309
  Anheuser-Busch Cos. LLC 5.500% 1/15/18 150 155
  Anheuser-Busch InBev Finance Inc. 1.250% 1/17/18 65 65
  Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 1,700 1,702
  Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 415 418
  Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 4,730 4,759
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 400 407
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 150 151
  Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 400 422
10 Anheuser-Busch InBev SA/NV 3.250% 1/24/33 100 124

 

 

10 Anheuser-Busch InBev SA/NV 2.750% 3/17/36 455 518
  Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 750 825
  Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 1,150 1,249
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 100 99
  Baxalta Inc. 2.875% 6/23/20 2,400 2,433
  Biogen Inc. 6.875% 3/1/18 120 126
  Biogen Inc. 2.900% 9/15/20 560 570
  Boston Scientific Corp. 2.650% 10/1/18 540 546
10 Bunge Finance Europe BV 1.850% 6/16/23 312 345
  Cardinal Health Inc. 1.900% 6/15/17 170 170
6 Cargill Inc. 6.000% 11/27/17 300 309
6 Cargill Inc. 7.350% 3/6/19 500 551
6 Cargill Inc. 3.250% 11/15/21 250 257
  Catholic Health Initiatives Colorado GO 2.600% 8/1/18 100 101
  Celgene Corp. 2.125% 8/15/18 300 301
  Clorox Co. 5.950% 10/15/17 120 123
10 Coca-Cola Co. 0.500% 3/8/24 775 816
  Coca-Cola Femsa SAB de CV 2.375% 11/26/18 600 602
  Conagra Brands Inc. 4.950% 8/15/20 61 65
  Constellation Brands Inc. 3.875% 11/15/19 600 623
  Constellation Brands Inc. 3.750% 5/1/21 520 539
  Constellation Brands Inc. 6.000% 5/1/22 400 453
  Constellation Brands Inc. 4.750% 11/15/24 305 329
  Constellation Brands Inc. 4.750% 12/1/25 385 414
  Covidien International Finance SA 6.000% 10/15/17 1,218 1,245
  Diageo Capital plc 1.125% 4/29/18 170 169
  Edwards Lifesciences Corp. 2.875% 10/15/18 600 608
  Express Scripts Holding Co. 3.300% 2/25/21 300 305
  Express Scripts Holding Co. 3.000% 7/15/23 900 872
  Express Scripts Holding Co. 4.500% 2/25/26 200 204
8 FBG Finance Pty Ltd. 3.750% 8/7/20 470 367
8 Fonterra Co-operative Group Ltd. 4.500% 6/30/21 100 80
10 Fresenius SE & Co. KGaA 4.000% 2/1/24 700 875
  Gilead Sciences Inc. 2.550% 9/1/20 3,490 3,521
  Gilead Sciences Inc. 4.500% 4/1/21 270 290
  Gilead Sciences Inc. 4.400% 12/1/21 490 525
  Gilead Sciences Inc. 1.950% 3/1/22 470 455
  Gilead Sciences Inc. 2.500% 9/1/23 470 454
6 Grupo Bimbo SAB de CV 4.500% 1/25/22 300 316
6 Grupo Bimbo SAB de CV 3.875% 6/27/24 200 200
  Hershey Co. 1.600% 8/21/18 60 60
  Ingredion Inc. 1.800% 9/25/17 144 144
  Kraft Foods Group Inc. 2.250% 6/5/17 228 228
  Kraft Foods Group Inc. 6.125% 8/23/18 291 308
  Kraft Heinz Foods Co. 2.000% 7/2/18 250 250
10 Kraft Heinz Foods Co. 2.250% 5/25/28 200 214
  McKesson Corp. 2.284% 3/15/19 750 755
11 McKesson Corp. 3.125% 2/17/29 400 517
  Mead Johnson Nutrition Co. 3.000% 11/15/20 500 509
  Medtronic Inc. 1.500% 3/15/18 675 675
  Medtronic Inc. 1.375% 4/1/18 100 100
  Medtronic Inc. 2.500% 3/15/20 1,765 1,790
  Medtronic Inc. 3.150% 3/15/22 500 514
  Medtronic Inc. 3.625% 3/15/24 100 104
  Merck Sharp & Dohme Corp. 5.000% 6/30/19 180 193
10 Mylan NV 3.125% 11/22/28 162 181
  Newell Brands Inc. 2.600% 3/29/19 94 95

 

 

Newell Brands Inc. 3.150% 4/1/21 800 817
Newell Brands Inc. 3.850% 4/1/23 500 517
Newell Brands Inc. 5.375% 4/1/36 100 113
PepsiCo Inc. 2.250% 1/7/19 100 101
PepsiCo Inc. 4.500% 1/15/20 400 429
PepsiCo Inc. 1.850% 4/30/20 900 898
6 Pernod Ricard SA 5.750% 4/7/21 150 166
6 Pernod Ricard SA 4.450% 1/15/22 150 160
Perrigo Co. plc 2.300% 11/8/18 616 619
Perrigo Co. plc 4.000% 11/15/23 310 315
Perrigo Co. plc 5.300% 11/15/43 305 312
Perrigo Finance Unlimited Co. 3.500% 3/15/21 200 203
Perrigo Finance Unlimited Co. 3.500% 12/15/21 200 203
Perrigo Finance Unlimited Co. 3.900% 12/15/24 1,135 1,129
Perrigo Finance Unlimited Co. 4.900% 12/15/44 1,020 992
Pharmacia LLC 6.500% 12/1/18 200 216
Philip Morris International Inc. 1.125% 8/21/17 125 125
Quest Diagnostics Inc. 2.700% 4/1/19 465 471
Reynolds American Inc. 8.125% 6/23/19 1,216 1,371
Reynolds American Inc. 3.250% 6/12/20 383 393
6 Roche Holdings Inc. 2.250% 9/30/19 705 711
6 Roche Holdings Inc. 1.750% 1/28/22 905 873
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 1,400 1,363
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 300 290
Stryker Corp. 2.000% 3/8/19 150 150
Teva Pharmaceutical Finance Netherlands III        
BV 2.200% 7/21/21 2,855 2,750
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 425 405
Teva Pharmaceutical Finance Netherlands III        
BV 3.150% 10/1/26 125 115
The Kroger Co. 6.800% 12/15/18 150 162
The Kroger Co. 2.000% 1/15/19 300 301
The Kroger Co. 2.300% 1/15/19 760 765
The Kroger Co. 6.150% 1/15/20 250 276
The Kroger Co. 2.600% 2/1/21 450 448
The Kroger Co. 2.950% 11/1/21 490 493
Thermo Fisher Scientific Inc. 2.150% 12/14/18 400 402
Tyson Foods Inc. 2.650% 8/15/19 755 763
Wyeth LLC 5.450% 4/1/17 80 80
 
Energy (4.1%)        
Anadarko Petroleum Corp. 4.850% 3/15/21 550 589
Anadarko Petroleum Corp. 3.450% 7/15/24 200 195
Anadarko Petroleum Corp. 6.600% 3/15/46 200 242
BP Capital Markets plc 1.846% 5/5/17 725 725
BP Capital Markets plc 1.375% 11/6/17 550 550
BP Capital Markets plc 1.375% 5/10/18 2,575 2,569
BP Capital Markets plc 2.241% 9/26/18 705 709
8 BP Capital Markets plc 4.750% 11/15/18 550 434
BP Capital Markets plc 4.750% 3/10/19 930 980
BP Capital Markets plc 1.676% 5/3/19 250 249
BP Capital Markets plc 2.237% 5/10/19 500 503
BP Capital Markets plc 2.521% 1/15/20 720 728
BP Capital Markets plc 2.315% 2/13/20 1,600 1,612
BP Capital Markets plc 4.500% 10/1/20 600 646
BP Capital Markets plc 2.112% 9/16/21 200 196

 

 

BP Capital Markets plc 3.062% 3/17/22 250 253
BP Capital Markets plc 3.216% 11/28/23 350 351
BP Capital Markets plc 3.814% 2/10/24 300 311
Chevron Corp. 1.718% 6/24/18 1,060 1,063
Chevron Corp. 4.950% 3/3/19 700 742
Chevron Corp. 2.193% 11/15/19 200 202
Chevron Corp. 1.961% 3/3/20 1,095 1,095
Chevron Corp. 2.427% 6/24/20 515 520
Chevron Corp. 2.419% 11/17/20 450 454
ConocoPhillips 5.750% 2/1/19 1,150 1,231
ConocoPhillips Co. 4.200% 3/15/21 2,455 2,613
ConocoPhillips Co. 2.875% 11/15/21 250 253
ConocoPhillips Co. 4.950% 3/15/26 450 500
Devon Energy Corp. 4.000% 7/15/21 470 486
Devon Energy Corp. 3.250% 5/15/22 500 494
Dominion Gas Holdings LLC 2.500% 12/15/19 500 504
Dominion Gas Holdings LLC 2.800% 11/15/20 300 304
Dominion Gas Holdings LLC 3.550% 11/1/23 300 305
El Paso Natural Gas Co. LLC 5.950% 4/15/17 250 250
Enbridge Energy Partners LP 4.375% 10/15/20 25 26
3 Enbridge Energy Partners LP 8.050% 10/1/77 30 29
Encana Corp. 3.900% 11/15/21 150 153
Energy Transfer Partners LP 2.500% 6/15/18 450 452
Energy Transfer Partners LP 6.700% 7/1/18 990 1,044
Energy Transfer Partners LP 4.150% 10/1/20 981 1,018
Energy Transfer Partners LP 4.650% 6/1/21 545 573
Energy Transfer Partners LP 5.200% 2/1/22 195 209
EOG Resources Inc. 5.875% 9/15/17 50 51
EOG Resources Inc. 5.625% 6/1/19 425 457
EOG Resources Inc. 2.450% 4/1/20 300 302
EOG Resources Inc. 2.625% 3/15/23 200 195
Hess Corp. 4.300% 4/1/27 200 196
Kinder Morgan Energy Partners LP 2.650% 2/1/19 50 50
Kinder Morgan Energy Partners LP 9.000% 2/1/19 125 140
Kinder Morgan Energy Partners LP 6.850% 2/15/20 315 351
Kinder Morgan Energy Partners LP 6.500% 4/1/20 425 470
Kinder Morgan Energy Partners LP 5.300% 9/15/20 125 135
Kinder Morgan Inc. 7.000% 6/15/17 570 577
Kinder Morgan Inc. 3.050% 12/1/19 40 41
Kinder Morgan Inc. 7.800% 8/1/31 150 188
Kinder Morgan Inc. 7.750% 1/15/32 200 249
Marathon Oil Corp. 5.900% 3/15/18 340 352
Marathon Oil Corp. 2.700% 6/1/20 300 298
Marathon Oil Corp. 2.800% 11/1/22 1,400 1,342
Marathon Oil Corp. 3.850% 6/1/25 200 196
MPLX LP 4.500% 7/15/23 780 809
Nabors Industries Inc. 6.150% 2/15/18 235 244
Nabors Industries Inc. 5.000% 9/15/20 200 207
Nabors Industries Inc. 4.625% 9/15/21 225 227
6 Nabors Industries Inc. 5.500% 1/15/23 340 348
Occidental Petroleum Corp. 1.500% 2/15/18 1,140 1,140
Occidental Petroleum Corp. 2.600% 4/15/22 805 802
ONEOK Partners LP 2.000% 10/1/17 25 25
ONEOK Partners LP 3.200% 9/15/18 280 284
Petro-Canada 6.050% 5/15/18 115 120
Phillips 66 2.950% 5/1/17 1,035 1,036
Pioneer Natural Resources Co. 6.875% 5/1/18 225 237

 

 

  Pioneer Natural Resources Co. 3.450% 1/15/21 600 614
  Regency Energy Partners LP / Regency        
  Energy Finance Corp. 5.875% 3/1/22 240 263
  Regency Energy Partners LP / Regency        
  Energy Finance Corp. 5.000% 10/1/22 205 217
  Sabine Pass Liquefaction LLC 5.625% 2/1/21 1,835 1,977
  Sabine Pass Liquefaction LLC 6.250% 3/15/22 850 941
  Sabine Pass Liquefaction LLC 5.625% 4/15/23 250 272
  Sabine Pass Liquefaction LLC 5.750% 5/15/24 440 480
6 Schlumberger Holdings Corp. 2.350% 12/21/18 100 101
  Shell International Finance BV 1.900% 8/10/18 100 100
  Shell International Finance BV 1.625% 11/10/18 500 499
  Shell International Finance BV 2.000% 11/15/18 325 326
  Shell International Finance BV 1.375% 5/10/19 1,600 1,585
  Shell International Finance BV 1.375% 9/12/19 1,500 1,482
  Shell International Finance BV 4.300% 9/22/19 750 792
  Shell International Finance BV 2.125% 5/11/20 1,300 1,301
  Shell International Finance BV 2.250% 11/10/20 1,250 1,251
  Shell International Finance BV 1.875% 5/10/21 2,100 2,055
  Shell International Finance BV 1.750% 9/12/21 400 388
6 Southern Natural Gas Co. LLC 5.900% 4/1/17 270 270
  Southern Natural Gas Co. LLC / Southern        
  Natural Issuing Corp. 4.400% 6/15/21 155 164
  Spectra Energy Partners LP 2.950% 9/25/18 230 233
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28 40 48
  Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 200 243
  Total Capital Canada Ltd. 1.450% 1/15/18 1,045 1,046
  Total Capital International SA 1.550% 6/28/17 485 485
  Total Capital International SA 2.125% 1/10/19 1,130 1,136
  Total Capital International SA 2.100% 6/19/19 400 402
8 Total Capital International SA 4.250% 11/26/21 134 107
  Total Capital SA 2.125% 8/10/18 275 277
  Total Capital SA 4.450% 6/24/20 950 1,017
  Total Capital SA 4.250% 12/15/21 475 510
  TransCanada PipeLines Ltd. 2.500% 8/1/22 40 39
  TransCanada PipeLines Ltd. 4.625% 3/1/34 165 173
  Transocean Inc. 4.250% 10/15/17 1,555 1,563
  Williams Partners LP 5.250% 3/15/20 120 129
  Williams Partners LP 4.000% 11/15/21 395 409
  Williams Partners LP 3.600% 3/15/22 200 203
  Williams Partners LP 3.900% 1/15/25 253 252
6 Woodside Finance Ltd. 8.750% 3/1/19 250 278
 
  Other Industrial (0.4%)        
6 CK Hutchison International 17 Ltd. 2.875% 4/5/22 1,400 1,400
10 Fluor Corp. 1.750% 3/21/23 540 600
6 Hutchison Whampoa Finance CI Ltd. 7.450% 8/1/17 255 259
6 Hutchison Whampoa International 09 Ltd. 7.625% 4/9/19 2,990 3,304
6 Hutchison Whampoa International 14 Ltd. 1.625% 10/31/17 970 969
10 Kennedy Wilson Europe Real Estate plc 3.250% 11/12/25 300 333
 
  Technology (3.0%)        
  Altera Corp. 2.500% 11/15/18 100 101
  Amphenol Corp. 2.550% 1/30/19 115 116
  Apple Inc. 1.300% 2/23/18 365 365
  Apple Inc. 2.100% 5/6/19 1,330 1,344
5,8 Apple Inc. 2.430% 8/28/19 790 605

 

 

8 Apple Inc. 2.850% 8/28/19 510 394
Apple Inc. 1.550% 2/7/20 465 462
Apple Inc. 2.000% 5/6/20 615 618
Apple Inc. 2.250% 2/23/21 2,400 2,407
Apple Inc. 2.850% 5/6/21 875 896
Apple Inc. 2.150% 2/9/22 230 227
Apple Inc. 2.500% 2/9/22 1,170 1,175
Apple Inc. 2.700% 5/13/22 330 334
Applied Materials Inc. 2.625% 10/1/20 580 589
Avnet Inc. 3.750% 12/1/21 80 81
Baidu Inc. 2.250% 11/28/17 385 386
Baidu Inc. 3.250% 8/6/18 825 836
Baidu Inc. 2.750% 6/9/19 425 429
6 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 2.375% 1/15/20 1,385 1,385
6 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 3.000% 1/15/22 1,385 1,382
Cisco Systems Inc. 4.450% 1/15/20 650 696
Cisco Systems Inc. 2.200% 2/28/21 1,090 1,090
6 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 3.480% 6/1/19 1,910 1,958
6 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 4.420% 6/15/21 1,780 1,861
6 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 5.450% 6/15/23 175 188
6 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 8.100% 7/15/36 160 201
6 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 8.350% 7/15/46 160 207
Equifax Inc. 6.300% 7/1/17 120 121
6 Everett Spinco Inc. 2.875% 3/27/20 330 332
6 Everett Spinco Inc. 4.250% 4/15/24 705 715
Fidelity National Information Services Inc. 1.450% 6/5/17 445 445
Fidelity National Information Services Inc. 2.000% 4/15/18 110 110
Fidelity National Information Services Inc. 2.850% 10/15/18 1,175 1,191
Fidelity National Information Services Inc. 3.625% 10/15/20 1,500 1,555
Fidelity National Information Services Inc. 2.250% 8/15/21 350 343
Fiserv Inc. 2.700% 6/1/20 175 177
Hewlett Packard Enterprise Co. 2.450% 10/5/17 960 966
Hewlett Packard Enterprise Co. 2.850% 10/5/18 1,125 1,139
Hewlett Packard Enterprise Co. 3.600% 10/15/20 1,480 1,521
Intel Corp. 1.350% 12/15/17 792 793
8 Intel Corp. 3.250% 12/1/19 400 310
Intel Corp. 2.450% 7/29/20 475 482
International Business Machines Corp. 5.700% 9/14/17 691 705
International Business Machines Corp. 2.500% 1/27/22 700 704
KLA-Tencor Corp. 2.375% 11/1/17 335 336
Lam Research Corp. 2.750% 3/15/20 580 587
Microsoft Corp. 2.400% 2/6/22 2,325 2,339
Microsoft Corp. 2.875% 2/6/24 2,090 2,096
Oracle Corp. 2.375% 1/15/19 925 937
Oracle Corp. 5.000% 7/8/19 400 429
Pitney Bowes Inc. 5.750% 9/15/17 20 20
Pitney Bowes Inc. 5.600% 3/15/18 120 124
Pitney Bowes Inc. 3.375% 10/1/21 315 309
Seagate HDD Cayman 3.750% 11/15/18 340 348
6 Seagate HDD Cayman 4.250% 3/1/22 395 391

 

 

  Seagate HDD Cayman 4.750% 6/1/23 415 415
  Tech Data Corp. 3.700% 2/15/22 680 682
  Total System Services Inc. 2.375% 6/1/18 880 884
  Tyco Electronics Group SA 6.550% 10/1/17 205 210
  Tyco Electronics Group SA 2.375% 12/17/18 350 353
  Tyco Electronics Group SA 2.350% 8/1/19 455 458
  Tyco Electronics Group SA 4.875% 1/15/21 45 48
  Tyco Electronics Group SA 3.500% 2/3/22 80 82
  Xerox Corp. 6.350% 5/15/18 180 188
  Xerox Corp. 2.800% 5/15/20 50 50
  Xerox Corp. 2.750% 9/1/20 170 169
  Xerox Corp. 4.500% 5/15/21 805 840
  Xilinx Inc. 2.125% 3/15/19 490 491
 
  Transportation (1.7%)        
3,6 AA Aircraft Financing 2013-1 LLC 6.500% 11/1/17 395 395
6 Air Canada 7.750% 4/15/21 1,150 1,295
3,6 American Airlines 2013-2 Class A Pass        
  Through Trust 3.596% 11/1/19 459 455
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 200 209
  Burlington Northern Santa Fe LLC 3.000% 3/15/23 225 228
  Burlington Northern Santa Fe LLC 3.850% 9/1/23 1,185 1,254
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 100 105
  Canadian National Railway Co. 5.850% 11/15/17 370 380
3 Continental Airlines 1997-4 Class A Pass        
  Through Trust 6.900% 7/2/19 11 11
3 Continental Airlines 1998-1 Class A Pass        
  Through Trust 6.648% 3/15/19 4 4
3 Continental Airlines 1999-1 Class B Pass        
  Through Trust 6.795% 2/2/20 4 4
3 Continental Airlines 2000-1 Class A-1 Pass        
  Through Trust 8.048% 11/1/20 94 103
3 Continental Airlines 2005-ERJ1 Pass Through        
  Trust 9.798% 10/1/22 809 888
3 Continental Airlines 2012-2 Class B Pass        
  Through Trust 5.500% 4/29/22 54 57
  Continental Airlines 2012-3 Class C Pass        
  Thru Certificates 6.125% 4/29/18 1,480 1,530
3,12 Delta Air Lines 2002-1 Class G-1 Pass        
  Through Trust 6.718% 7/2/24 506 569
3 Delta Air Lines 2007-1 Class A Pass Through        
  Trust 6.821% 2/10/24 955 1,099
3 Delta Air Lines 2007-1 Class B Pass Through        
  Trust 8.021% 8/10/22 216 246
3 Delta Air Lines 2009-1 Class A Pass Through        
  Trust 7.750% 6/17/21 508 559
3 Delta Air Lines 2010-1 Class A Pass Through        
  Trust 6.200% 1/2/20 254 267
3 Delta Air Lines 2010-2 Class A Pass Through        
  Trust 4.950% 11/23/20 89 93
3 Delta Air Lines 2012-1 Class A Pass Through        
  Trust 4.750% 11/7/21 55 58
  Delta Air Lines Inc. 2.875% 3/13/20 1,735 1,748
  Delta Air Lines Inc. 3.625% 3/15/22 2,150 2,188
6 ERAC USA Finance LLC 6.375% 10/15/17 795 814
6 ERAC USA Finance LLC 2.800% 11/1/18 430 435
6 ERAC USA Finance LLC 2.350% 10/15/19 285 285

 

 

6 ERAC USA Finance LLC 2.700% 11/1/23 815 784
3,6 Heathrow Funding Ltd. 4.875% 7/15/23 200 214
6 HPHT Finance 15 Ltd. 2.250% 3/17/18 695 695
  JB Hunt Transport Services Inc. 2.400% 3/15/19 120 121
  Kansas City Southern 2.350% 5/15/20 1,255 1,242
  Kansas City Southern 4.950% 8/15/45 440 445
3 Northwest Airlines 2007-1 Class B Pass        
  Through Trust 8.028% 11/1/17 511 529
8 Qantas Airways Ltd. 7.500% 6/11/21 1,250 1,085
  Ryder System Inc. 2.500% 3/1/18 190 191
  Ryder System Inc. 2.250% 9/1/21 350 343
3 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.650% 8/1/22 306 335
3 Southwest Airlines Co. 2007-1 Pass Through        
  Trust 6.150% 2/1/24 115 126
3 Spirit Airlines 2015-1 Pass Through Trust B 4.450% 10/1/25 323 330
3 UAL 2007-1 Pass Through Trust 6.636% 7/2/22 458 494
  Union Pacific Corp. 5.750% 11/15/17 225 231
  Union Pacific Corp. 5.700% 8/15/18 710 749
  Union Pacific Corp. 2.250% 2/15/19 385 389
  Union Pacific Corp. 1.800% 2/1/20 200 199
  Union Pacific Corp. 2.250% 6/19/20 575 579
  United Continental Holdings Inc. 6.375% 6/1/18 140 146
3 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 165 181
6 WestJet Airlines Ltd. 3.500% 6/16/21 470 471
          363,309
Utilities (3.0%)        
  Electric (2.8%)        
  Arizona Public Service Co. 8.750% 3/1/19 691 779
8 AusNet Services Holdings Pty Ltd. 4.400% 8/16/27 100 77
  Baltimore Gas & Electric Co. 3.500% 11/15/21 150 156
  Baltimore Gas & Electric Co. 2.800% 8/15/22 100 100
  Berkshire Hathaway Energy Co. 5.750% 4/1/18 910 946
  Berkshire Hathaway Energy Co. 2.000% 11/15/18 890 893
  Berkshire Hathaway Energy Co. 2.400% 2/1/20 400 403
6 Cleco Corporate Holdings LLC 3.743% 5/1/26 667 659
  CMS Energy Corp. 6.250% 2/1/20 225 248
  Commonwealth Edison Co. 6.150% 9/15/17 705 719
  Commonwealth Edison Co. 5.800% 3/15/18 880 915
  Commonwealth Edison Co. 2.150% 1/15/19 160 161
  Commonwealth Edison Co. 4.000% 8/1/20 675 711
  Commonwealth Edison Co. 3.400% 9/1/21 200 207
  Connecticut Light & Power Co. 5.500% 2/1/19 250 266
  Dominion Resources Inc. 1.875% 1/15/19 785 784
  Dominion Resources Inc. 5.200% 8/15/19 100 107
  Dynegy Inc. 6.750% 11/1/19 35 36
  Dynegy Inc. 7.375% 11/1/22 330 327
6 EDP Finance BV 4.900% 10/1/19 868 910
6 EDP Finance BV 4.125% 1/15/20 1,405 1,438
6 EDP Finance BV 5.250% 1/14/21 310 331
11 EDP Finance BV 8.625% 1/4/24 100 167
  Emera US Finance LP 2.150% 6/15/19 465 465
  Emera US Finance LP 2.700% 6/15/21 810 805
  Emera US Finance LP 3.550% 6/15/26 95 93
  Emera US Finance LP 4.750% 6/15/46 160 161
  Exelon Corp. 1.550% 6/9/17 600 600
  Exelon Corp. 2.850% 6/15/20 510 517

 

 

  Exelon Corp. 2.450% 4/15/21 215 213
  Exelon Corp. 2.500% 6/1/22 501 506
  Exelon Corp. 3.950% 6/15/25 240 247
  Exelon Generation Co. LLC 2.950% 1/15/20 320 324
  FirstEnergy Corp. 2.750% 3/15/18 755 758
  FirstEnergy Corp. 4.250% 3/15/23 188 194
6 FirstEnergy Transmission LLC 4.350% 1/15/25 1,249 1,299
6 Fortis Inc. 2.100% 10/4/21 535 519
6 Fortis Inc. 3.055% 10/4/26 350 329
  Georgia Power Co. 5.400% 6/1/18 185 192
  Georgia Power Co. 2.400% 4/1/21 1,245 1,242
  Great Plains Energy Inc. 2.500% 3/9/20 470 473
  Great Plains Energy Inc. 3.150% 4/1/22 820 826
  LG&E & KU Energy LLC 3.750% 11/15/20 325 337
  MidAmerican Energy Co. 5.300% 3/15/18 893 925
  National Rural Utilities Cooperative Finance        
  Corp. 10.375% 11/1/18 150 170
  National Rural Utilities Cooperative Finance        
  Corp. 2.350% 6/15/20 715 716
  Nevada Power Co. 6.500% 5/15/18 771 813
  Nevada Power Co. 6.500% 8/1/18 225 239
  Oncor Electric Delivery Co. LLC 5.000% 9/30/17 610 620
  Oncor Electric Delivery Co. LLC 6.800% 9/1/18 190 203
  Oncor Electric Delivery Co. LLC 7.000% 9/1/22 350 421
  Pacific Gas & Electric Co. 5.625% 11/30/17 1,220 1,252
  Pacific Gas & Electric Co. 8.250% 10/15/18 770 843
  Pacific Gas & Electric Co. 3.500% 10/1/20 1,315 1,366
  Pacific Gas & Electric Co. 4.250% 5/15/21 360 383
  Pacific Gas & Electric Co. 3.250% 9/15/21 560 573
  Pacific Gas & Electric Co. 4.450% 4/15/42 40 42
  Pacific Gas & Electric Co. 4.000% 12/1/46 40 39
  PacifiCorp 5.650% 7/15/18 490 515
  PacifiCorp 5.500% 1/15/19 114 121
  PacifiCorp 3.850% 6/15/21 100 106
  PPL Capital Funding Inc. 4.200% 6/15/22 50 53
  PPL Capital Funding Inc. 3.500% 12/1/22 225 230
  PPL Capital Funding Inc. 3.100% 5/15/26 960 922
  Puget Energy Inc. 5.625% 7/15/22 645 714
  SCANA Corp. 4.750% 5/15/21 185 193
  South Carolina Electric & Gas Co. 5.250% 11/1/18 130 137
  South Carolina Electric & Gas Co. 6.500% 11/1/18 294 315
  Southern Co. 1.550% 7/1/18 1,000 996
  Southern Co. 1.850% 7/1/19 1,180 1,173
  Southern Co. 2.150% 9/1/19 350 350
  Southern Co. 2.750% 6/15/20 1,120 1,129
  Southern Co. 2.350% 7/1/21 1,645 1,611
3 Southern Co. 5.500% 3/15/57 325 333
  Southern Power Co. 1.950% 12/15/19 990 983
10 Southern Power Co. 1.000% 6/20/22 165 175
  Southwestern Electric Power Co. 5.875% 3/1/18 245 254
  Southwestern Electric Power Co. 6.450% 1/15/19 1,215 1,307
8 United Energy Distribution Pty Ltd. 3.500% 9/12/23 740 552
  Virginia Electric & Power Co. 2.950% 1/15/22 350 356
 
  Natural Gas (0.2%)        
6 Engie SA 2.875% 10/10/22 175 173
  Sempra Energy 2.300% 4/1/17 945 945

 

 

  Sempra Energy 6.150% 6/15/18 580 611
  Sempra Energy 2.400% 3/15/20 235 237
  Sempra Energy 2.850% 11/15/20 230 232
  Southern Co. Gas Capital Corp. 2.450% 10/1/23 155 149
          44,917
Total Corporate Bonds (Cost $777,333)       778,365
Sovereign Bonds (5.7%)        
  Arab Republic of Egypt 6.125% 1/31/22 260 270
  Argentine Republic 7.000% 4/17/17 240 240
  Argentine Republic 8.750% 6/2/17 190 192
  Argentine Republic 5.625% 1/26/22 450 460
  Argentine Republic 6.875% 1/26/27 150 152
6 Avi Funding Co. Ltd. 2.850% 9/16/20 275 275
6 Banco de Costa Rica 5.250% 8/12/18 200 204
6 Banco del Estado de Chile 2.000% 11/9/17 200 200
6 Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 100 100
  Banco Latinoamericano de Comercio Exterior        
  SA 3.750% 4/4/17 950 950
  Banco Nacional de Desenvolvimento        
  Economico e Social 6.369% 6/16/18 170 177
6 Bank Nederlandse Gemeenten NV 1.125% 5/25/18 730 727
6 Bank Nederlandse Gemeenten NV 2.500% 1/23/23 50 50
10 Banque Centrale de Tunisie SA 5.625% 2/17/24 260 277
6 Banque Ouest Africaine de Developpement 5.500% 5/6/21 200 209
6 Bermuda 5.603% 7/20/20 455 501
6 Bermuda 4.138% 1/3/23 200 205
6 Bermuda 4.854% 2/6/24 200 210
6 BOC Aviation Ltd. 2.375% 9/15/21 350 338
6 Caisse d'Amortissement de la Dette Sociale 1.375% 1/29/18 125 125
6 Caixa Economica Federal 2.375% 11/6/17 125 125
  Caixa Economica Federal 4.250% 5/13/19 200 203
6 CDP Financial Inc. 4.400% 11/25/19 500 531
6 CDP Financial Inc. 3.150% 7/24/24 670 682
  CNOOC Nexen Finance 2014 ULC 1.625% 4/30/17 825 825
6 CNPC General Capital Ltd. 2.750% 4/19/17 125 125
6 CNPC General Capital Ltd. 2.750% 5/14/19 235 237
  Corp. Andina de Fomento 1.500% 8/8/17 210 210
  Corp. Andina de Fomento 2.125% 9/27/21 755 738
  Corp. Andina de Fomento 4.375% 6/15/22 750 800
6 Corp. Financiera de Desarrollo SA 4.750% 2/8/22 150 159
  Corp. Nacional del Cobre de Chile 3.875% 11/3/21 780 816
6 Corp. Nacional del Cobre de Chile 3.875% 11/3/21 400 419
6 CPPIB Capital Inc. 1.250% 9/20/19 1,400 1,384
6,13 Dexia Credit Local SA 1.875% 9/15/21 235 227
  Ecopetrol SA 5.875% 9/18/23 220 239
6 Electricite de France SA 2.150% 1/22/19 810 811
8 Emirates NBD PJSC 5.750% 5/8/19 300 239
  Export-Import Bank of Korea 2.875% 9/17/18 300 304
  Export-Import Bank of Korea 1.500% 10/21/19 1,345 1,327
  Export-Import Bank of Korea 5.125% 6/29/20 500 542
  Federative Republic of Brazil 6.000% 4/7/26 719 780
6 Fondo MIVIVIENDA SA 3.375% 4/2/19 500 509
  Fondo MIVIVIENDA SA 3.375% 4/2/19 150 153
10 French Republic 0.000% 5/25/22 1,250 1,325
6 ICBCIL Finance Co. Ltd. 2.375% 5/19/19 200 199

 

 

  Industrial & Commercial Bank of China Ltd. 2.351% 11/13/17 355 355
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 400 408
  International Bank for Reconstruction &        
  Development 1.375% 5/24/21 1,100 1,075
14 Japan 0.000% 5/12/17 690,000 6,202
15 Japan Bank for International Cooperation 1.750% 7/31/18 700 700
15 Japan Finance Organization for Municipalities 4.000% 1/13/21 250 263
  KazMunayGas National Co. JSC 9.125% 7/2/18 1,075 1,158
  Kingdom of Saudi Arabia 2.375% 10/26/21 1,600 1,572
  Kingdom of Saudi Arabia 3.250% 10/26/26 620 603
6 Kommunalbanken AS 1.125% 5/23/18 700 698
  Korea Development Bank 3.875% 5/4/17 675 676
  Korea Development Bank 2.250% 8/7/17 555 556
  Korea Development Bank 3.500% 8/22/17 575 578
  Korea Development Bank 1.500% 1/22/18 600 599
6 Korea Expressway Corp. 1.625% 4/28/17 200 200
  Korea Expressway Corp. 1.625% 4/28/17 200 200
  Korea Expressway Corp. 1.875% 10/22/17 515 515
  Korea Gas Corp. 2.875% 7/29/18 200 202
  Korea National Oil Corp. 2.750% 1/23/19 350 353
6 Korea Resources Corp. 2.125% 5/2/18 125 125
6 Korea Western Power Co. Ltd. 2.875% 10/10/18 200 202
  Majapahit Holding BV 8.000% 8/7/19 400 449
16 Mexican Bonos 5.750% 3/5/26 25,500 1,250
  National Savings Bank 8.875% 9/18/18 200 213
6 Nederlandse Waterschapsbank NV 1.250% 9/9/19 475 469
6 NongHyup Bank 1.875% 9/12/21 235 225
  North American Development Bank 2.300% 10/10/18 150 151
6 OCP SA 5.625% 4/25/24 200 213
6 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.125% 3/20/22 632 639
6 Ontario Teachers' Cadillac Fairview        
  Properties Trust 3.875% 3/20/27 200 203
6 Ooredoo International Finance Ltd. 3.250% 2/21/23 125 124
  Ooredoo International Finance Ltd. 5.000% 10/19/25 200 216
3 Oriental Republic of Uruguay 5.100% 6/18/50 230 222
6 Perusahaan Penerbit SBSN Indonesia II 4.000% 11/21/18 200 206
  Petrobras Global Finance BV 8.750% 5/23/26 175 203
  Petrobras Global Finance BV 7.375% 1/17/27 735 781
  Petroleos Mexicanos 5.750% 3/1/18 274 283
  Petroleos Mexicanos 5.500% 2/4/19 1,174 1,232
  Petroleos Mexicanos 8.000% 5/3/19 30 33
  Petroleos Mexicanos 5.500% 1/21/21 1,674 1,773
  Petroleos Mexicanos 5.375% 3/13/22 65 68
6 Petroleos Mexicanos 5.375% 3/13/22 140 147
  Petroleos Mexicanos 4.625% 9/21/23 1 1
  Province of British Columbia 1.200% 4/25/17 225 225
  Province of Manitoba 1.300% 4/3/17 775 775
  Province of New Brunswick 2.750% 6/15/18 10 10
  Province of Ontario 1.200% 2/14/18 300 299
  Province of Ontario 3.000% 7/16/18 275 279
  Province of Ontario 1.625% 1/18/19 1,480 1,476
  Province of Ontario 1.250% 6/17/19 595 588
  Province of Ontario 1.875% 5/21/20 230 229
  Province of Ontario 2.500% 4/27/26 135 131
  Province of Quebec 3.500% 7/29/20 250 260
  Province of Quebec 2.750% 8/25/21 715 726

 

 

  Province of Quebec 2.375% 1/31/22 835 834
  Province of Quebec 2.625% 2/13/23 150 150
3,6 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 75 79
3 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298% 9/30/20 277 291
  Republic of Colombia 4.375% 7/12/21 200 211
  Republic of Croatia 6.250% 4/27/17 1,755 1,758
  Republic of Hungary 4.000% 3/25/19 800 830
  Republic of Hungary 6.250% 1/29/20 1,015 1,113
  Republic of Hungary 6.375% 3/29/21 300 338
  Republic of Indonesia 6.875% 1/17/18 280 291
  Republic of Indonesia 5.875% 3/13/20 520 568
  Republic of Indonesia 4.875% 5/5/21 1,230 1,316
10 Republic of Indonesia 2.875% 7/8/21 615 700
10 Republic of Indonesia 2.625% 6/14/23 380 424
10 Republic of Indonesia 3.375% 7/30/25 430 489
  Republic of Kazakhstan 3.875% 10/14/24 200 202
  Republic of Kazakhstan 4.875% 10/14/44 200 197
  Republic of Lithuania 7.375% 2/11/20 1,160 1,319
6 Republic of Lithuania 7.375% 2/11/20 1,345 1,532
6 Republic of Lithuania 6.125% 3/9/21 195 220
  Republic of Lithuania 6.125% 3/9/21 1,005 1,134
  Republic of Namibia 5.500% 11/3/21 100 106
  Republic of Namibia 5.250% 10/29/25 200 201
  Republic of Panama 9.375% 4/1/29 55 81
  Republic of Poland 6.375% 7/15/19 1,440 1,580
  Republic of Poland 5.125% 4/21/21 580 635
  Republic of Poland 5.000% 3/23/22 1,020 1,121
  Republic of Romania 6.750% 2/7/22 300 347
  Republic of Romania 4.375% 8/22/23 300 316
10 Republic of Romania 2.750% 10/29/25 365 411
  Republic of Serbia 5.250% 11/21/17 400 408
6 Republic of Serbia 5.250% 11/21/17 530 541
  Republic of Slovenia 5.500% 10/26/22 280 314
6 Republic of Slovenia 5.250% 2/18/24 300 336
  Republic of South Africa 5.875% 9/16/25 200 215
  Republic of Turkey 7.500% 7/14/17 2,185 2,221
  Republic of Turkey 6.750% 4/3/18 1,155 1,200
  Republic of Turkey 7.000% 3/11/19 965 1,031
  Republic of Turkey 5.625% 3/30/21 275 287
  SABIC Capital II BV 2.625% 10/3/18 400 403
  Sinopec Group Overseas Development 2013        
  Ltd. 2.500% 10/17/18 235 236
6 Sinopec Group Overseas Development 2013        
  Ltd. 4.375% 10/17/23 600 635
  State Bank of India 4.125% 8/1/17 800 805
  State of Israel 4.000% 6/30/22 400 426
  State of Israel 2.875% 3/16/26 215 211
  State of Kuwait 2.750% 3/20/22 1,148 1,150
  Statoil ASA 3.125% 8/17/17 175 176
  Statoil ASA 1.200% 1/17/18 1,225 1,220
  Statoil ASA 2.250% 11/8/19 500 503
  Sultanate of Oman 5.375% 3/8/27 200 209
  Svensk Exportkredit AB 1.750% 5/30/17 100 100
  Svensk Exportkredit AB 1.125% 4/5/18 250 249
6 Temasek Financial I Ltd. 4.300% 10/25/19 250 264
  United Mexican States 3.625% 3/15/22 1,685 1,734
  United Mexican States 4.000% 10/2/23 115 119

 

 

16 United Mexican States 7.500% 6/3/27 4,500 248
Vnesheconombank Via VEB Finance plc 5.450% 11/22/17 100 102
YPF SA 8.875% 12/19/18 60 65
Total Sovereign Bonds (Cost $84,869)       85,312
Taxable Municipal Bonds (0.2%)        
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 1.871% 12/1/19 5 5
California Department of Water Resources        
Water System Revenue (Central Valley        
Project) 1.871% 12/1/19 195 196
California GO 5.950% 3/1/18 650 676
California GO 6.200% 10/1/19 350 388
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.107% 7/1/18 150 151
George Washington University District of        
Columbia GO 3.485% 9/15/22 200 207
Harris County TX Toll Road Revenue 1.361% 8/15/17 250 250
Illinois GO 5.665% 3/1/18 110 113
JobsOhio Beverage System Statewide Liquor        
Profits Revenue 2.217% 1/1/19 150 152
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-EGSL 3.220% 2/1/21 426 432
Louisiana Local Government Environmental        
Facilities & Community Development        
Authority Revenue 2010-ELL 3.450% 2/1/22 315 321
5 Mississippi GO (Nissan North America, Inc.        
Project) 1.484% 11/1/17 300 300
University of California Revenue 2.054% 5/15/18 100 101
University of California Revenue 1.745% 5/15/19 250 251
Total Taxable Municipal Bonds (Cost $3,495)       3,543
      Shares  
Convertible Preferred Stocks (0.0%)        
9 Lehman Brothers Holdings Inc. Pfd. (Cost $695) 7.250%   700 —
 
Temporary Cash Investments (8.8%)        
Money Market Fund (6.3%)        
17 Vanguard Market Liquidity Fund 0.965%   945,305 94,549
 
 
      Face  
      Amount  
      ($000)  
Certificates of Deposit (1.5%)        
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.520% 8/9/17 2,895 2,897
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.570% 10/27/17 3,435 3,437
Bank of Tokyo-Mitsubishi UFJ Ltd. (New York        
Branch) 1.700% 1/26/18 2,200 2,203
Royal Bank of Canada (New York Branch) 1.360% 10/5/17 2,865 2,865
Royal Bank of Canada (New York Branch) 1.290% 10/27/17 4,600 4,596
Svenska HandelsBanken AB (New York        
Branch) 1.280% 5/12/17 2,175 2,176

 

 

Toronto Dominion Bank (New York Branch) 1.350% 8/11/17 1,870 1,870
Wells Fargo Bank NA 1.320% 10/27/17 3,390 3,388
        23,432
Commercial Paper (1.0%)        
6,18 Commonwealth Bank of Australia 1.399% 9/1/17 1,640 1,631
6,18 Danske Corp. 1.502% 8/28/17 1,055 1,049
6,18 Danske Corp. 1.471% 10/16/17 1,160 1,151
6,18 Electricite de France 1.543% 8/9/17 450 448
6,18 Electricite de France 1.543% 8/10/17 115 114
6,18 Electricite de France 1.906% 1/5/18 860 847
6,18 Electricite de France 1.832% 1/10/18 600 592
6,18 Engie SA 1.490% 10/2/17 320 317
6,18 Engie SA 1.490%–1.543% 10/6/17 865 858
6,18 Engie SA 1.543% 10/10/17 505 501
6,18 Engie SA 1.520% 10/12/17 675 669
6,18 Engie SA 1.520% 10/13/17 290 287
6,18 Engie SA 1.520% 10/16/17 1,580 1,566
6,18 Engie SA 1.520% 10/18/17 780 773
6,18 Engie SA 1.543% 10/19/17 1,045 1,035
6,18 Engie SA 1.543% 10/20/17 1,395 1,382
6,18 Engie SA 1.544% 11/9/17 490 485
6,18 Engie SA 1.565% 11/10/17 485 480
6,18 Engie SA 1.565% 11/15/17 455 450
        14,635
Total Temporary Cash Investments (Cost $132,609)     132,616
    Expiration Date Contracts  
Options Purchased (0.0%)        
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $122.00        
(Cost $14)   4/21/17 91 3
Total Investments (101.6%) (Cost $1,525,051)       1,525,672
 
Liability for Options Written (0.0%)        
Written Options on Futures (0.0%)        
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $125.50   4/21/17 10 (2)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $127.00   5/26/17 208 (45)
Call Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $126.50   5/26/17 26 (8)
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $122.50   4/21/17 10 —
Put Options on 10-year U.S. Treasury Note        
Futures Contracts, Strike Price $121.50   5/26/17 91 (10)
Total Options on Futures Written (Premiums Received $115)     (65)
      Notional  
      Amount  
  Counterparty   ($000)  
Written Swaptions (0.0%)        
Call Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 67.5% GSCM 5/17/17 3,220 (5)
Call Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 62.5% GSCM 5/17/17 1,610 (1)
Put Swaptions on CDX.NA.IG.28.V1 5-Year        
Index, Strike: 72.5% GSCM 5/17/17 3,220 (3)

 

 

Total Swaptions Written (Premiums Received $10) (9)
Total Liabilities on Options Written (0.0%) (Premiums Received $124) (74)
Other Asset and Liabilities-Net (-1.6%) (23,325)
Net Assets (100%) 1,502,273

1 Securities with a value of $811,000 have been segregated as initial margin for open cleared swap contracts.
2 Securities with a value of $1,950,000 have been segregated as initial margin for open futures contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Adjustable-rate security.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the aggregate
value of these securities was $223,078,000, representing 14.8% of net assets.
7 Security made only partial principal and/or interest payments during the period ended March 31, 2017.
8 Face amount denominated in Australian dollars.
9 Non-income-producing security--security in default.
10 Face amount denominated in euro.
11 Face amount denominated in British pounds.
12 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
13 Guaranteed by multiple countries.
14 Face amount denominated in Japanese yen.
15 Guaranteed by the Government of Japan.
16 Face amount denominated in Mexican peso.
17 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
18 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At March 31,
2017, the aggregate value of these securities was $14,635,000, representing 1.0% of net assets.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.

 

Vanguard Short-Term Investment-Grade Portfolio

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 portfolio'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 portfolio'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 portfolio's own assumptions used to determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 263,809 —
Asset-Backed/Commercial Mortgage-Backed Securities — 261,904 120
Corporate Bonds — 778,365 —
Sovereign Bonds — 85,312 —
Taxable Municipal Bonds — 3,543 —
Convertible Preferred Stocks — — —
Temporary Cash Investments 94,549 38,067 —
Options Purchased 3 — —
Liability for Options Written (65) (9) —
Futures Contracts—Assets1 190 — —
Futures Contracts—Liabilities1 (264) — —
Forward Currency Contracts—Assets — 361 —
Forward Currency Contracts—Liabilities — (391) —
Swap Contracts—Assets 31 369 —
Swap Contracts—Liabilities (13)1 (395) —
Total 94,403 1,430,935 120
1 Represents variation margin on the last day of the reporting period.

 

D. Futures Contracts: The portfolio 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 portfolio and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is

 

Vanguard Short-Term Investment-Grade Portfolio

the counterparty instead of the clearing broker. To further mitigate counterparty risk, the portfolio 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 portfolio'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 March 31, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
5-Year U.S. Treasury Note June 2017 969 114,077 333
Ultra 10-Year U.S. Treasury Note June 2017 (368) (49,272) (298)
2-Year U.S. Treasury Note June 2017 212 45,888 28
AUD 90-Day Bank Bill June 2017 (56) (42,597) (4)
10-Year U.S. Treasury Note June 2017 (328) (40,857) 13
AUD 3-Year Treasury Bond June 2017 (111) (9,477) (49)
Euro-Bund June 2017 (47) (8,094) (27)
Ultra Long U.S. Treasury Bond June 2017 (43) (6,907) (53)
Euro-Bobl June 2017 (38) (5,343) 6
Long Gilt June 2017 (18) (2,877) (29)
30-Year U.S. Treasury Bond June 2017 (9) (1,358) (33)
Euro-Buxl June 2017 (4) (719) (6)
AUD 10-Year Treasury Bond June 2017 (5) (491) (7)
        (126)

 

Unrealized appreciation (depreciation) on open futures contracts, except for AUD 90-Day Bank Bill, AUD 3-Year Treasury Bond, and AUD 10-Year Treasury Bond futures contracts, is required to be treated as realized gain (loss) for tax purposes.

E. Forward Currency Contracts: The portfolio enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The portfolio'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 portfolio mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate the forward currency contracts, determine the net amount owed by either party in

 

Vanguard Short-Term Investment-Grade Portfolio

accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio's net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

At March 31, 2017, the portfolio had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.

    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date Receive Deliver ($000)
Goldman Sachs Bank AG 4/13/17 EUR 700 USD 745 2
Goldman Sachs Bank AG 4/13/17 EUR 440 USD 479 (10)
Citibank, N.A. 4/13/17 EUR 275 USD 294 —
JPMorgan Chase Bank N.A. 4/12/17 MXN 741 USD 38 2
Citibank, N.A. 4/13/17 USD 23,028 AUD 30,396 (190)
Credit Suisse International 4/13/17 USD 13,975 EUR 13,069 25
JPMorgan Chase Bank N.A. 5/12/17 USD 6,526 JPY 690,000 319
Barclays Capital 4/13/17 USD 4,029 GBP 3,294 (100)
Goldman Sachs Bank AG 4/12/17 USD 1,429 MXN 28,155 (72)
JPMorgan Chase Bank N.A. 4/13/17 USD 1,191 AUD 1,555 3
JPMorgan Chase Bank N.A. 4/13/17 USD 898 EUR 850 (9)
Morgan Stanley Capital Services LLC 4/13/17 USD 573 AUD 750 —
Barclays Capital 4/13/17 USD 538 EUR 500 4
JPMorgan Chase Bank N.A. 4/13/17 USD 531 AUD 700 (3)
Goldman Sachs Bank AG 4/13/17 USD 466 GBP 375 (4)
Citibank, N.A. 4/13/17 USD 432 EUR 400 5
BNP Paribas 4/13/17 USD 214 AUD 280 1
Citibank, N.A. 4/13/17 USD 213 EUR 200 —
Goldman Sachs Bank AG 4/13/17 USD 212 EUR 200 (1)
Barclays Capital 4/13/17 USD 106 EUR 100 (1)
Bank of America N.A. 4/13/17 USD 96 EUR 90 —
Barclays Capital 4/13/17 USD 77 AUD 100 —
Barclays Capital 4/13/17 USD 62 AUD 81 (1)

 

 

Vanguard Short-Term Investment-Grade Portfolio

Bank of America N.A. 4/13/17 USD 54 EUR 50 —
Goldman Sachs Bank AG 4/13/17 USD 41 AUD 54 —
            (30)
AUD—Australian dollar.
EUR—Euro.
GBP—British pound.
JPY—Japanese yen.
MXN—Mexican peso.
USD—U.S. dollar.

 

F. Swap Contracts: The portfolio invests in credit default swaps to adjust the overall credit risk of the portfolio or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The portfolio 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 portfolio 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 portfolio enters into interest rate swap transactions to adjust the portfolio'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 portfolio invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.

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

 

Vanguard Short-Term Investment-Grade Portfolio

swap, the debt instruments used to determine the settlement payment by the portfolio) will be significantly less than the amount paid by the portfolio and, in a physically settled swap, the portfolio 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 portfolio. The portfolio's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The portfolio mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the portfolio 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 portfolio under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio's net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The portfolio enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the portfolio's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the portfolio 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 March 31, 2017, the portfolio had the following open swap contracts:

Centrally Cleared Credit Default Swaps        
        Periodic  
        Premium Unrealized
      Notional Received Appreciation
  Termination   Amount (Paid)  (Depreciation)
Reference Entity Date Clearinghouse (000) (%) ($000)
Credit Protection Purchased          
 
CDX-NA-IG-28-V1 6/20/22 ICE USD 1,560 (1.000) —
iTraxx Europe Crossover Index-          
S27-V1 6/20/22 ICE EUR 1,200 (5.000) (4)
iTraxx Europe Senior          
Financials-S27-V1 6/20/22 ICE EUR 11,650 (1.000) (26)
 
iTraxx Europe-S27-V1 6/20/22 ICE EUR 4,300 (1.000) (8)
          (38)
EUR—Euro.
ICE—Intercontinental Exchange.

 

 

Vanguard Short-Term Investment-Grade Portfolio

USD—U.S. dollar.            
 
 
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          
 
Berkshire Hathaway            
Inc./Aa2 6/20/21 JPMC 245 (1) 1.000 4
Berkshire Hathaway            
Inc./Aa2 6/20/21 GSI 160 (1) 1.000 2
Berkshire Hathaway            
Inc./Aa2 12/20/21 GSI 350 (3) 1.000 4
Berkshire Hathaway            
Inc./Aa2 6/20/22 BARC 835 (15) 1.000 (1)
Energy Transfer            
Partners LP/Baa3 6/20/17 BOANA 370 1 1.000 2
Federation of            
Malaysia/A3 6/20/22 BARC 290 3 1.000 2
Federation of            
Malaysia/A3 6/20/22 GSI 220 1 1.000 -
General Electric            
Capital Corp./A1 12/20/19 DBAG 710 (8) 1.000 6
Hartford Financial            
Services Group            
Inc./Baa2 3/20/18 GSCM 250 - 1.000 2
 
Kohls Corp./Baa2 6/20/21 GSI 160 4 1.000 -
 
Kohls Corp./Baa2 6/20/21 GSI 80 2 1.000 -
 
Kohls Corp./Baa2 6/20/21 GSI 80 2 1.000 -
 
Metlife Inc./A3 12/20/20 GSCM 350 - 1.000 6
 
Metlife Inc./A3 12/20/21 BARC 160 - 1.000 1
People’s Republic of            
China/Aa3 6/20/22 BARC 1,298 (11) 1.000 (1)
 
Republic of Chile/Aa3 6/20/22 BNPSW 1,085 (14) 1.000 -
 
Republic of Chile/Aa3 6/20/22 BARC 325 (3) 1.000 1
 
Republic of Chile/Aa3 6/20/22 CITNA 240 (2) 1.000 1
Republic of            
Indonesia/Baa3 6/20/22 BNPSW 475 7 1.000 -
Republic of            
Philippines/Baa2 6/20/22 BARC 440 (3) 1.000 -
Russian            
Federation/Ba1 6/20/17 GSCM 460 2 1.000 3
Russian            
Federation/Ba1 6/20/17 GSCM 380 2 1.000 2
Russian            
Federation/Ba1 6/20/17 GSCM 200 1 1.000 1

 

 

Vanguard Short-Term Investment-Grade Portfolio        
 
 
Total           35
Credit Protection            
Purchased            
Aetna Inc. 12/20/19 CSFBI 475 8 (1.000) (3)
Aetna Inc. 6/20/20 GSCM 470 12 (1.000) (1)
Altria Group Inc. 12/20/21 GSI 1,740 49 (1.000) (11)
Altria Group Inc. 12/20/21 GSI 350 10 (1.000) (2)
Altria Group Inc. 12/20/21 GSI 230 6 (1.000) (1)
American International            
Group Inc. 6/20/20 BOANA 280 3 (1.000) (2)
American International            
Group Inc. 6/20/20 BOANA 280 3 (1.000) (2)
American International            
Group Inc. 12/20/20 GSCM 350 6 (1.000) -
American International            
Group Inc. 12/20/20 GSCM 175 (2) (1.000) (5)
Autozone Inc. 12/20/20 GSCM 240 6 (1.000) -
Avnet Inc. 12/20/21 GSI 80 - (1.000) (1)
Banco Bilbao Vizcaya            
Argentaria SA 6/20/21 BOANA 585 (4) (1.000) (5)
Bank of America Corp. 3/20/20 GSCM 520 5 (1.000) (5)
Bank of China Ltd. 12/20/21 BNPSW 300 (1) (1.000) (3)
CMBX-NA-AAA-9 9/17/58 GSI 910 (34) (0.500) (15)
CMBX-NA-AAA-9 9/17/58 GSI 475 (28) (0.500) (17)
CMBX-NA-AAA-9 9/17/58 GSI 475 (17) (0.500) (6)
CMBX-NA-AAA-9 9/17/58 CSFBI 475 (17) (0.500) (6)
CMBX-NA-AAA-9 9/17/58 DBAG 470 (27) (0.500) (17)
CMBX-NA-AAA-9 9/17/58 JPM 470 (24) (0.500) (13)
CMBX-NA-AAA-9 9/17/58 MSCS 470 (20) (0.500) (10)
CMBX-NA-AAA-9 9/17/58 MSCS 470 (25) (0.500) (15)
CMBX-NA-AAA-9 9/17/58 JPM 460 (17) (0.500) (7)
CMBX-NA-AAA-9 9/17/58 DBAG 440 (17) (0.500) (7)
CMBX-NA-AAA-9 9/17/58 GSI 90 (4) (0.500) (2)
Commerzbank AG 6/20/21 BOANA 590 (6) (1.000) (8)
CVS Health Corp. 12/20/20 BOANA 240 6 (1.000) -
CVS Health Corp. 12/20/20 BOANA 240 6 (1.000) -

 

 

Vanguard Short-Term Investment-Grade Portfolio        
 
 
 
CVS Health Corp. 12/20/20 BOANA 120 2 (1.000) (1)
CVS Health Corp. 12/20/20 BOANA 120 3 (1.000) -
CVS Health Corp. 12/20/21 JPMC 700 19 (1.000) (1)
CVS Health Corp. 12/20/21 BARC 465 14 (1.000) 1
CVS Health Corp. 12/20/21 BARC 160 5 (1.000) -
EI du Pont de Nemours            
& Co. 12/20/20 JPMC 625 11 (1.000) (5)
Engie SA 12/20/21 BNPSW 4001 7 (1.000) (1)
Federal Express Corp. 12/20/18 GSCM 520 3 (1.000) (6)
Federation of Malaysia 6/20/22 BARC 500 (5) (1.000) (3)
Federative Republic of            
Brazil 6/20/22 DBAG 815 (51) (1.000) (4)
Federative Republic of            
Brazil 6/20/22 BARC 645 (39) (1.000) (2)
Federative Republic of            
Brazil 6/20/22 JPMC 500 (32) (1.000) (3)
Federative Republic of            
Brazil 6/20/22 BOANA 500 (31) (1.000) (2)
Federative Republic of            
Brazil 6/20/22 BOANA 442 (27) (1.000) (2)
Federative Republic of            
Brazil 6/20/22 BNPSW 350 (23) (1.000) (3)
Federative Republic of            
Brazil 12/20/25 BOANA 578 (144) (1.000) (68)
Federative Republic of            
Brazil 12/20/25 GSCM 275 (64) (1.000) (28)
Lincoln National Corp. 6/20/21 BARC 80 (2) (1.000) (3)
Lincoln National Corp. 6/20/21 BARC 80 2 (1.000) 1
Lincoln National Corp. 12/20/21 BARC 160 - (1.000) (2)
McKesson Corp. 3/20/19 JPMC 430 6 (1.000) (2)
McKesson Corp. 3/20/19 JPMC 430 6 (1.000) (2)
People’s Republic of            
China 6/20/22 GSI 700 4 (1.000) (2)
PPG Industries Inc. 3/20/18 GSCM 240 1 (1.000) (1)
Qantas Airways Ltd. 12/20/21 DBAG 160 (4) (1.000) (4)
Raytheon Co. 12/20/21 GSI 585 20 (1.000) (3)
Raytheon Co. 12/20/21 GSI 580 20 (1.000) (2)
Republic of Colombia 6/20/22 BARC 500 (11) (1.000) (3)
Republic of Colombia 6/20/22 GSI 416 (8) (1.000) (1)
Republic of Colombia 6/20/22 BARC 280 (6) (1.000) (2)
Republic of Indonesia 6/20/22 BARC 500 (10) (1.000) (4)

 

 

Vanguard Short-Term Investment-Grade Portfolio        
 
 
Republic of Korea 9/20/18 JPMC 200 1 (1.000) (2)
Republic of Korea 6/20/22 GSI 500 14 (1.000) 2
Republic of Korea 6/20/22 BNPSW 490 13 (1.000) 1
Republic of Korea 6/20/22 GSI 60 2 (1.000) -
Republic of South            
Africa 12/20/20 JPMC 550 (32) (1.000) (23)
Republic of South            
Africa 6/20/22 BOANA 900 (41) (1.000) 8
Republic of Turkey 3/20/19 BNPSW 485 - (1.000) (1)
Republic of Turkey 3/20/19 BNPSW 480 - (1.000) (1)
Republic of Turkey 12/20/19 GSCM 825 (12) (1.000) (6)
Republic of Turkey 12/20/19 GSCM 815 (11) (1.000) (6)
Republic of Turkey 6/20/22 BNPSW 1,000 (64) (1.000) (2)
Royal Bank of Scotland            
plc 12/20/20 BNPSW 430 3 (1.000) (2)
Societe General SA 12/20/21 JPMC 235 1 (1.000) (1)
Standard Chartered            
Bank 12/20/21 JPMC 395 (1) (1.000) (6)
United Mexican States 12/20/18 DBAG 100 - (1.000) (1)
United Mexican States 6/20/22 JPMC 1,000 (21) (1.000) (7)
UnitedHealth Group            
Inc. 12/20/19 CSFBI 475 8 (1.000) (3)
UnitedHealth Group            
Inc. 6/20/20 CSFBI 470 11 (1.000) (2)
Wells Fargo & Co. 9/20/20 BOANA 620 9 (1.000) (6)
Total           (380)
            (345)

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

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

 

Vanguard Short-Term Investment-Grade Portfolio

Centrally Cleared Interest Rate Swaps          
 
          Fixed      
          Interest Floating    
          Rate Interest   Unrealized
    Future   Notional Received Rate   Appreciation
  Termination Effective   Amount (Paid) Received   (Depreciation)
  Date Date Clearinghouse ($000) (%) (Paid) (%)   ($000)
  6/21/18 6/21/171 CME 6,522 1.000 (0.000) 2 5
  6/21/19 6/21/171 CME 3,830 (1.250) 0.000 2 (9)
  6/21/20 6/21/171 CME 2,700 (1.250) 0.000 2 (12)
  6/21/21 6/21/171 CME 500 1.250 (0.000) 2 3
  6/21/22 6/21/171 CME 570 1.250 (0.000) 2 5
  6/21/24 6/21/171 CME 2,254 (1.500) 0.000 2 (26)
                (34)
 
  CME—Chicago Mercantile Exchange.
  Forward interest rate swap. In a forward interest rate swap, the portfolio and the counterparty agree to make
1 periodic net payments beginning on a specified future effective date.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.

 

Cross-Currency Swaps          
 
 
 
        Notional    
        Amount Notional  
        of Amount of Unrealized
Fixed Interest       Currency Currency Appreciation
Rate Fixed Interest Termination   Received Delivered (Depreciation)
Received Rate Paid Date Counterparty ($000) (000) ($000)
 
USD 5.453% GBP 5.875% 4/28/17 MSCS 586 GBP 350 148
 
USD 5.693% GBP 6.125% 5/14/17 BARC 381 GBP 230 93
 
USD 5.686% GBP 6.125% 5/14/17 BARC 317 GBP 191 78
 
            319

 

 

Vanguard Short-Term Investment-Grade Portfolio

BARC—Barclays Bank plc.
GBP—British pound.
MSCS—Morgan Stanley Capital Services LLC.
USD—U.S. dollar.

At March 31, 2017, counterparties had deposited in segregated accounts securities with a value of $832,000 in connection with open swap contracts and forward currency contracts.

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

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

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

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

H. At March 31, 2017, the cost of investment securities for tax purposes was $1,525,098,000. Net unrealized appreciation of investment securities for tax purposes was $571,000, consisting of unrealized gains of $8,685,000 on securities that had risen in value since their purchase and $8,114,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Total Bond Market Index Portfolio        
 
 
 
Schedule of Investments (unaudited)      
As of March 31, 2017        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (62.6%)        
U.S. Government Securities (39.0%)        
United States Treasury Note/Bond 0.625% 4/30/18 4,507 4,484
United States Treasury Note/Bond 1.000% 5/15/18 3,470 3,465
United States Treasury Note/Bond 9.125% 5/15/18 50 54
United States Treasury Note/Bond 0.875% 5/31/18 4,425 4,413
United States Treasury Note/Bond 2.375% 5/31/18 1,299 1,317
United States Treasury Note/Bond 1.125% 6/15/18 783 783
United States Treasury Note/Bond 0.625% 6/30/18 274 272
United States Treasury Note/Bond 2.375% 6/30/18 4,429 4,496
United States Treasury Note/Bond 0.875% 7/15/18 4,473 4,458
United States Treasury Note/Bond 0.750% 7/31/18 115 114
United States Treasury Note/Bond 2.250% 7/31/18 2,778 2,818
United States Treasury Note/Bond 1.000% 8/15/18 1,755 1,751
United States Treasury Note/Bond 1.500% 8/31/18 13,725 13,787
United States Treasury Note/Bond 1.000% 9/15/18 5,499 5,485
United States Treasury Note/Bond 0.750% 9/30/18 5,725 5,689
United States Treasury Note/Bond 1.375% 9/30/18 14,903 14,945
United States Treasury Note/Bond 0.875% 10/15/18 2,415 2,404
United States Treasury Note/Bond 0.750% 10/31/18 80 79
United States Treasury Note/Bond 1.250% 10/31/18 3,975 3,978
United States Treasury Note/Bond 1.750% 10/31/18 5,575 5,624
United States Treasury Note/Bond 1.250% 11/15/18 2,719 2,721
United States Treasury Note/Bond 1.000% 11/30/18 3,850 3,837
United States Treasury Note/Bond 1.250% 11/30/18 2,655 2,657
United States Treasury Note/Bond 1.375% 11/30/18 3,030 3,039
United States Treasury Note/Bond 1.250% 12/15/18 7,058 7,062
United States Treasury Note/Bond 1.250% 12/31/18 2,095 2,096
United States Treasury Note/Bond 1.375% 12/31/18 9,800 9,824
United States Treasury Note/Bond 1.500% 12/31/18 9,117 9,160
United States Treasury Note/Bond 1.125% 1/15/19 3,461 3,454
United States Treasury Note/Bond 1.125% 1/31/19 1,525 1,522
United States Treasury Note/Bond 1.250% 1/31/19 1,300 1,300
United States Treasury Note/Bond 1.500% 1/31/19 11,025 11,075
United States Treasury Note/Bond 2.750% 2/15/19 2,050 2,107
United States Treasury Note/Bond 8.875% 2/15/19 110 126
United States Treasury Note/Bond 1.125% 2/28/19 7,635 7,617
United States Treasury Note/Bond 1.375% 2/28/19 8,575 8,595
United States Treasury Note/Bond 1.500% 2/28/19 6,500 6,529
United States Treasury Note/Bond 1.000% 3/15/19 10,780 10,724
United States Treasury Note/Bond 1.250% 3/31/19 4,300 4,299
United States Treasury Note/Bond 1.500% 3/31/19 575 578
United States Treasury Note/Bond 1.625% 3/31/19 5,100 5,136
United States Treasury Note/Bond 0.875% 4/15/19 8,975 8,902
United States Treasury Note/Bond 1.250% 4/30/19 66 66
United States Treasury Note/Bond 1.625% 4/30/19 12,543 12,629
United States Treasury Note/Bond 0.875% 5/15/19 16,139 15,998
United States Treasury Note/Bond 3.125% 5/15/19 5,200 5,397
United States Treasury Note/Bond 1.125% 5/31/19 5,650 5,629
United States Treasury Note/Bond 1.500% 5/31/19 5,100 5,121
United States Treasury Note/Bond 0.875% 6/15/19 6,053 5,994

 

 

United States Treasury Note/Bond 1.000% 6/30/19 441 438
United States Treasury Note/Bond 1.625% 6/30/19 3,702 3,726
United States Treasury Note/Bond 0.750% 7/15/19 10,440 10,301
United States Treasury Note/Bond 1.625% 7/31/19 2,487 2,503
United States Treasury Note/Bond 0.750% 8/15/19 8,514 8,393
United States Treasury Note/Bond 3.625% 8/15/19 1,800 1,895
United States Treasury Note/Bond 8.125% 8/15/19 64 74
United States Treasury Note/Bond 1.000% 8/31/19 175 173
United States Treasury Note/Bond 1.625% 8/31/19 4,236 4,261
United States Treasury Note/Bond 0.875% 9/15/19 6,355 6,276
United States Treasury Note/Bond 1.000% 9/30/19 2,075 2,055
United States Treasury Note/Bond 1.750% 9/30/19 2,150 2,169
United States Treasury Note/Bond 1.000% 10/15/19 9,915 9,816
United States Treasury Note/Bond 1.250% 10/31/19 625 622
United States Treasury Note/Bond 1.500% 10/31/19 500 501
United States Treasury Note/Bond 1.000% 11/15/19 9,075 8,976
United States Treasury Note/Bond 3.375% 11/15/19 10,318 10,837
United States Treasury Note/Bond 1.500% 11/30/19 4,242 4,248
United States Treasury Note/Bond 1.375% 12/15/19 7,160 7,145
United States Treasury Note/Bond 1.125% 12/31/19 500 496
United States Treasury Note/Bond 1.625% 12/31/19 3,275 3,289
United States Treasury Note/Bond 1.250% 1/31/20 424 421
United States Treasury Note/Bond 1.375% 1/31/20 664 662
United States Treasury Note/Bond 1.375% 2/15/20 9,610 9,580
United States Treasury Note/Bond 3.625% 2/15/20 11,175 11,849
United States Treasury Note/Bond 8.500% 2/15/20 887 1,062
United States Treasury Note/Bond 1.250% 2/29/20 2,143 2,128
United States Treasury Note/Bond 1.375% 2/29/20 2,094 2,086
United States Treasury Note/Bond 1.625% 3/15/20 14,960 15,011
United States Treasury Note/Bond 1.125% 3/31/20 5,900 5,832
United States Treasury Note/Bond 1.375% 3/31/20 7,070 7,038
United States Treasury Note/Bond 1.125% 4/30/20 7,175 7,083
United States Treasury Note/Bond 1.375% 4/30/20 12,273 12,208
United States Treasury Note/Bond 3.500% 5/15/20 3,515 3,722
United States Treasury Note/Bond 1.375% 5/31/20 900 894
United States Treasury Note/Bond 1.500% 5/31/20 4,508 4,496
United States Treasury Note/Bond 1.625% 6/30/20 1,110 1,111
United States Treasury Note/Bond 1.875% 6/30/20 9,825 9,914
United States Treasury Note/Bond 1.625% 7/31/20 5,119 5,119
United States Treasury Note/Bond 2.000% 7/31/20 2,419 2,449
United States Treasury Note/Bond 2.625% 8/15/20 2,258 2,330
United States Treasury Note/Bond 8.750% 8/15/20 8,425 10,384
United States Treasury Note/Bond 1.375% 8/31/20 1,825 1,808
United States Treasury Note/Bond 2.125% 8/31/20 967 982
United States Treasury Note/Bond 2.000% 9/30/20 597 604
United States Treasury Note/Bond 1.375% 10/31/20 2,685 2,655
United States Treasury Note/Bond 1.750% 10/31/20 8,461 8,480
United States Treasury Note/Bond 2.625% 11/15/20 4,305 4,444
United States Treasury Note/Bond 1.625% 11/30/20 5,586 5,569
United States Treasury Note/Bond 2.000% 11/30/20 8,575 8,662
United States Treasury Note/Bond 1.750% 12/31/20 5,856 5,859
United States Treasury Note/Bond 2.375% 12/31/20 8,150 8,341
United States Treasury Note/Bond 1.375% 1/31/21 1,933 1,906
United States Treasury Note/Bond 2.125% 1/31/21 4,171 4,228
United States Treasury Note/Bond 3.625% 2/15/21 6,833 7,316
United States Treasury Note/Bond 7.875% 2/15/21 1,180 1,449
United States Treasury Note/Bond 1.125% 2/28/21 580 566

 

 

United States Treasury Note/Bond 2.000% 2/28/21 4,050 4,086
United States Treasury Note/Bond 1.250% 3/31/21 12,340 12,086
United States Treasury Note/Bond 2.250% 3/31/21 9,450 9,615
United States Treasury Note/Bond 1.375% 4/30/21 650 639
United States Treasury Note/Bond 2.250% 4/30/21 5,375 5,469
United States Treasury Note/Bond 3.125% 5/15/21 5,975 6,285
United States Treasury Note/Bond 1.375% 5/31/21 4,340 4,263
United States Treasury Note/Bond 2.000% 5/31/21 9,483 9,554
United States Treasury Note/Bond 1.125% 6/30/21 6,671 6,478
United States Treasury Note/Bond 1.125% 7/31/21 9,520 9,233
United States Treasury Note/Bond 2.250% 7/31/21 6,425 6,530
United States Treasury Note/Bond 2.125% 8/15/21 3,845 3,890
United States Treasury Note/Bond 1.125% 8/31/21 1,578 1,529
United States Treasury Note/Bond 2.000% 8/31/21 7,250 7,288
United States Treasury Note/Bond 1.125% 9/30/21 1,417 1,371
United States Treasury Note/Bond 2.125% 9/30/21 1,900 1,920
United States Treasury Note/Bond 1.250% 10/31/21 4,654 4,523
United States Treasury Note/Bond 2.000% 10/31/21 4,670 4,690
United States Treasury Note/Bond 2.000% 11/15/21 1,065 1,070
United States Treasury Note/Bond 8.000% 11/15/21 2,570 3,262
United States Treasury Note/Bond 1.750% 11/30/21 4,860 4,828
United States Treasury Note/Bond 1.875% 11/30/21 5,058 5,052
United States Treasury Note/Bond 2.000% 12/31/21 2,895 2,906
United States Treasury Note/Bond 2.125% 12/31/21 5,953 6,009
United States Treasury Note/Bond 1.500% 1/31/22 1,850 1,814
United States Treasury Note/Bond 1.875% 1/31/22 8,835 8,816
United States Treasury Note/Bond 2.000% 2/15/22 235 236
United States Treasury Note/Bond 1.750% 2/28/22 7,479 7,412
United States Treasury Note/Bond 1.875% 2/28/22 5,015 5,004
United States Treasury Note/Bond 1.750% 3/31/22 10,649 10,546
United States Treasury Note/Bond 1.875% 3/31/22 12,610 12,576
United States Treasury Note/Bond 1.750% 4/30/22 6,175 6,111
United States Treasury Note/Bond 1.875% 5/31/22 5,650 5,624
United States Treasury Note/Bond 2.125% 6/30/22 1,040 1,047
United States Treasury Note/Bond 2.000% 7/31/22 6,975 6,972
United States Treasury Note/Bond 1.625% 8/15/22 205 201
United States Treasury Note/Bond 7.250% 8/15/22 100 127
United States Treasury Note/Bond 1.875% 8/31/22 4,459 4,424
United States Treasury Note/Bond 1.750% 9/30/22 10,287 10,130
United States Treasury Note/Bond 1.875% 10/31/22 6,520 6,457
United States Treasury Note/Bond 1.625% 11/15/22 4,125 4,029
United States Treasury Note/Bond 7.625% 11/15/22 40 52
United States Treasury Note/Bond 2.000% 11/30/22 9,450 9,413
United States Treasury Note/Bond 2.125% 12/31/22 8,629 8,648
United States Treasury Note/Bond 1.750% 1/31/23 5,625 5,520
United States Treasury Note/Bond 2.000% 2/15/23 123 122
United States Treasury Note/Bond 7.125% 2/15/23 1,690 2,162
United States Treasury Note/Bond 1.500% 2/28/23 2,070 2,001
United States Treasury Note/Bond 1.500% 3/31/23 9,130 8,813
United States Treasury Note/Bond 1.625% 4/30/23 5,215 5,066
United States Treasury Note/Bond 1.750% 5/15/23 8,100 7,922
United States Treasury Note/Bond 1.625% 5/31/23 7,175 6,963
United States Treasury Note/Bond 1.375% 6/30/23 5,050 4,823
United States Treasury Note/Bond 1.250% 7/31/23 5,300 5,015
United States Treasury Note/Bond 2.500% 8/15/23 4,760 4,855
United States Treasury Note/Bond 6.250% 8/15/23 6,565 8,179
United States Treasury Note/Bond 1.375% 8/31/23 7,935 7,558

 

 

United States Treasury Note/Bond 1.375% 9/30/23 1,615 1,537
United States Treasury Note/Bond 1.625% 10/31/23 3,750 3,623
United States Treasury Note/Bond 2.750% 11/15/23 7,111 7,362
United States Treasury Note/Bond 2.125% 11/30/23 6,400 6,376
United States Treasury Note/Bond 2.250% 12/31/23 3,975 3,988
United States Treasury Note/Bond 2.250% 1/31/24 6,325 6,343
United States Treasury Note/Bond 2.750% 2/15/24 8,910 9,219
United States Treasury Note/Bond 2.125% 2/29/24 7,415 7,373
United States Treasury Note/Bond 2.125% 3/31/24 5,825 5,789
United States Treasury Note/Bond 2.500% 5/15/24 9,960 10,134
United States Treasury Note/Bond 2.375% 8/15/24 11,564 11,654
United States Treasury Note/Bond 2.250% 11/15/24 10,181 10,154
United States Treasury Note/Bond 7.500% 11/15/24 25 34
United States Treasury Note/Bond 2.000% 2/15/25 3,325 3,250
United States Treasury Note/Bond 2.125% 5/15/25 9,810 9,660
United States Treasury Note/Bond 2.000% 8/15/25 10,781 10,498
United States Treasury Note/Bond 6.875% 8/15/25 1,957 2,638
United States Treasury Note/Bond 2.250% 11/15/25 8,496 8,422
United States Treasury Note/Bond 1.625% 2/15/26 10,542 9,911
United States Treasury Note/Bond 6.000% 2/15/26 4,160 5,376
United States Treasury Note/Bond 1.625% 5/15/26 9,289 8,713
United States Treasury Note/Bond 1.500% 8/15/26 4,949 4,579
United States Treasury Note/Bond 6.750% 8/15/26 630 862
United States Treasury Note/Bond 2.000% 11/15/26 10,355 10,002
United States Treasury Note/Bond 6.500% 11/15/26 765 1,035
United States Treasury Note/Bond 2.250% 2/15/27 14,347 14,163
United States Treasury Note/Bond 6.625% 2/15/27 1,065 1,461
United States Treasury Note/Bond 6.375% 8/15/27 185 252
United States Treasury Note/Bond 6.125% 11/15/27 346 465
United States Treasury Note/Bond 5.500% 8/15/28 955 1,240
United States Treasury Note/Bond 5.250% 11/15/28 1,435 1,833
United States Treasury Note/Bond 6.125% 8/15/29 830 1,149
United States Treasury Note/Bond 6.250% 5/15/30 1,350 1,913
United States Treasury Note/Bond 5.375% 2/15/31 1,170 1,562
United States Treasury Note/Bond 4.500% 2/15/36 2,900 3,677
United States Treasury Note/Bond 4.750% 2/15/37 400 522
United States Treasury Note/Bond 4.375% 2/15/38 2,400 2,995
United States Treasury Note/Bond 3.500% 2/15/39 2,395 2,635
United States Treasury Note/Bond 4.250% 5/15/39 3,782 4,618
United States Treasury Note/Bond 4.500% 8/15/39 2,306 2,911
United States Treasury Note/Bond 4.375% 11/15/39 2,817 3,496
United States Treasury Note/Bond 4.625% 2/15/40 5,050 6,486
United States Treasury Note/Bond 4.375% 5/15/40 3,735 4,637
United States Treasury Note/Bond 3.875% 8/15/40 3,680 4,253
United States Treasury Note/Bond 4.250% 11/15/40 1,480 1,806
United States Treasury Note/Bond 4.750% 2/15/41 3,956 5,179
United States Treasury Note/Bond 4.375% 5/15/41 1,340 1,668
United States Treasury Note/Bond 3.750% 8/15/41 3,030 3,436
United States Treasury Note/Bond 3.125% 11/15/41 1,916 1,961
United States Treasury Note/Bond 3.125% 2/15/42 1,081 1,106
United States Treasury Note/Bond 3.000% 5/15/42 3,875 3,874
United States Treasury Note/Bond 2.750% 8/15/42 4,510 4,299
United States Treasury Note/Bond 2.750% 11/15/42 13,296 12,660
United States Treasury Note/Bond 3.125% 2/15/43 5,200 5,302
United States Treasury Note/Bond 2.875% 5/15/43 5,350 5,208
United States Treasury Note/Bond 3.625% 8/15/43 6,980 7,770
United States Treasury Note/Bond 3.750% 11/15/43 4,617 5,253

 

 

United States Treasury Note/Bond 3.625% 2/15/44 3,224 3,591
United States Treasury Note/Bond 3.375% 5/15/44 6,129 6,538
1 United States Treasury Note/Bond 3.125% 8/15/44 8,006 8,160
United States Treasury Note/Bond 3.000% 11/15/44 10,540 10,491
United States Treasury Note/Bond 2.500% 2/15/45 6,460 5,803
United States Treasury Note/Bond 3.000% 5/15/45 4,767 4,738
United States Treasury Note/Bond 2.875% 8/15/45 9,208 8,927
United States Treasury Note/Bond 3.000% 11/15/45 3,799 3,774
United States Treasury Note/Bond 2.500% 2/15/46 8,128 7,282
United States Treasury Note/Bond 2.500% 5/15/46 6,381 5,711
United States Treasury Note/Bond 2.250% 8/15/46 4,236 3,583
United States Treasury Note/Bond 2.875% 11/15/46 10,882 10,554
United States Treasury Note/Bond 3.000% 2/15/47 3,600 3,585
        1,172,326
Agency Bonds and Notes (2.1%)        
2 AID-Iraq 2.149% 1/18/22 100 100
2 AID-Israel 5.500% 12/4/23 50 59
2 AID-Israel 5.500% 4/26/24 475 565
2 AID-Jordan 1.945% 6/23/19 200 202
2 AID-Jordan 2.503% 10/30/20 225 231
2 AID-Jordan 2.578% 6/30/22 200 204
2 AID-Ukraine 1.844% 5/16/19 200 202
2 AID-Ukraine 1.847% 5/29/20 200 203
2 AID-Ukraine 1.471% 9/29/21 175 171
3 Federal Farm Credit Banks 0.750% 4/18/18 250 249
3 Federal Farm Credit Banks 1.100% 6/1/18 100 100
3 Federal Farm Credit Banks 5.150% 11/15/19 500 546
3 Federal Farm Credit Banks 3.500% 12/20/23 75 80
3 Federal Home Loan Banks 1.125% 4/25/18 550 550
3 Federal Home Loan Banks 0.875% 6/29/18 1,175 1,171
3 Federal Home Loan Banks 0.625% 8/7/18 550 546
3 Federal Home Loan Banks 5.375% 8/15/18 150 158
3 Federal Home Loan Banks 0.875% 10/1/18 1,000 994
3 Federal Home Loan Banks 1.250% 1/16/19 500 499
3 Federal Home Loan Banks 1.375% 3/18/19 500 500
3 Federal Home Loan Banks 1.125% 6/21/19 1,200 1,192
3 Federal Home Loan Banks 0.875% 8/5/19 550 543
3 Federal Home Loan Banks 1.000% 9/26/19 600 593
3 Federal Home Loan Banks 1.375% 11/15/19 400 399
3 Federal Home Loan Banks 1.875% 3/13/20 75 76
3 Federal Home Loan Banks 4.125% 3/13/20 300 322
3 Federal Home Loan Banks 5.250% 12/11/20 425 478
3 Federal Home Loan Banks 1.375% 2/18/21 450 443
3 Federal Home Loan Banks 5.625% 6/11/21 35 40
3 Federal Home Loan Banks 1.125% 7/14/21 525 508
3 Federal Home Loan Banks 1.875% 11/29/21 500 498
3 Federal Home Loan Banks 2.125% 3/10/23 970 966
3 Federal Home Loan Banks 5.500% 7/15/36 1,400 1,841
4 Federal Home Loan Mortgage Corp. 0.750% 4/9/18 500 498
4 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 550 574
4 Federal Home Loan Mortgage Corp. 0.875% 10/12/18 1,000 994
4 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 625 654
4 Federal Home Loan Mortgage Corp. 1.125% 4/15/19 600 597
4 Federal Home Loan Mortgage Corp. 1.750% 5/30/19 1,150 1,158
4 Federal Home Loan Mortgage Corp. 0.875% 7/19/19 871 860
4 Federal Home Loan Mortgage Corp. 1.250% 8/1/19 479 477
4 Federal Home Loan Mortgage Corp. 1.250% 10/2/19 1,150 1,143

 

 

4 Federal Home Loan Mortgage Corp. 1.500% 1/17/20 500 499
4 Federal Home Loan Mortgage Corp. 1.375% 5/1/20 1,300 1,290
4 Federal Home Loan Mortgage Corp. 1.125% 8/12/21 1,000 966
4 Federal Home Loan Mortgage Corp. 2.375% 1/13/22 800 814
4 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 127 177
4 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 1,525 2,174
4 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 502 696
4 Federal National Mortgage Assn. 0.875% 5/21/18 510 508
4 Federal National Mortgage Assn. 1.125% 7/20/18 1,500 1,499
4 Federal National Mortgage Assn. 1.875% 9/18/18 1,483 1,496
4 Federal National Mortgage Assn. 1.125% 10/19/18 700 698
4 Federal National Mortgage Assn. 1.625% 11/27/18 1,330 1,337
4 Federal National Mortgage Assn. 1.125% 12/14/18 1,315 1,311
4 Federal National Mortgage Assn. 1.375% 1/28/19 600 600
4 Federal National Mortgage Assn. 1.875% 2/19/19 500 505
4 Federal National Mortgage Assn. 1.000% 2/26/19 550 546
4 Federal National Mortgage Assn. 1.750% 6/20/19 1,000 1,007
4 Federal National Mortgage Assn. 0.875% 8/2/19 1,000 986
4 Federal National Mortgage Assn. 1.000% 8/28/19 1,700 1,681
4 Federal National Mortgage Assn. 1.750% 9/12/19 2,000 2,013
4 Federal National Mortgage Assn. 0.000% 10/9/19 570 545
4 Federal National Mortgage Assn. 1.000% 10/24/19 500 494
4 Federal National Mortgage Assn. 1.750% 11/26/19 1,000 1,006
4 Federal National Mortgage Assn. 1.625% 1/21/20 1,000 1,002
4 Federal National Mortgage Assn. 1.500% 2/28/20 632 630
4 Federal National Mortgage Assn. 1.500% 6/22/20 1,000 995
4 Federal National Mortgage Assn. 1.500% 11/30/20 1,000 991
4 Federal National Mortgage Assn. 1.875% 12/28/20 1,000 1,004
4 Federal National Mortgage Assn. 1.375% 2/26/21 550 541
4 Federal National Mortgage Assn. 1.250% 8/17/21 525 510
4 Federal National Mortgage Assn. 1.375% 10/7/21 1,200 1,170
4 Federal National Mortgage Assn. 2.000% 1/5/22 500 500
4 Federal National Mortgage Assn. 2.625% 9/6/24 500 508
4 Federal National Mortgage Assn. 2.125% 4/24/26 575 548
4 Federal National Mortgage Assn. 1.875% 9/24/26 500 465
4 Federal National Mortgage Assn. 6.250% 5/15/29 175 234
4 Federal National Mortgage Assn. 7.125% 1/15/30 925 1,334
4 Federal National Mortgage Assn. 7.250% 5/15/30 300 439
4 Federal National Mortgage Assn. 6.625% 11/15/30 300 421
4 Federal National Mortgage Assn. 5.625% 7/15/37 275 369
3 Financing Corp. 9.650% 11/2/18 225 254
Private Export Funding Corp. 1.875% 7/15/18 100 101
Private Export Funding Corp. 4.375% 3/15/19 200 211
Private Export Funding Corp. 1.450% 8/15/19 125 125
Private Export Funding Corp. 2.250% 3/15/20 150 152
Private Export Funding Corp. 2.300% 9/15/20 50 51
Private Export Funding Corp. 4.300% 12/15/21 100 109
Private Export Funding Corp. 2.800% 5/15/22 125 129
Private Export Funding Corp. 2.050% 11/15/22 1,075 1,061
Private Export Funding Corp. 3.550% 1/15/24 100 106
Private Export Funding Corp. 2.450% 7/15/24 100 99
Private Export Funding Corp. 3.250% 6/15/25 50 52
3 Tennessee Valley Authority 4.500% 4/1/18 175 181
3 Tennessee Valley Authority 1.750% 10/15/18 150 151
3 Tennessee Valley Authority 3.875% 2/15/21 250 269
3 Tennessee Valley Authority 1.875% 8/15/22 175 172
3 Tennessee Valley Authority 2.875% 9/15/24 191 196

 

 

3 Tennessee Valley Authority 6.750% 11/1/25 134 175
3 Tennessee Valley Authority 7.125% 5/1/30 1,000 1,425
3 Tennessee Valley Authority 4.650% 6/15/35 175 203
3 Tennessee Valley Authority 5.880% 4/1/36 250 329
3 Tennessee Valley Authority 5.500% 6/15/38 100 128
3 Tennessee Valley Authority 5.250% 9/15/39 412 520
3 Tennessee Valley Authority 4.875% 1/15/48 100 117
3 Tennessee Valley Authority 5.375% 4/1/56 50 64
3 Tennessee Valley Authority 4.625% 9/15/60 180 204
3 Tennessee Valley Authority 4.250% 9/15/65 200 211
          63,488
Conventional Mortgage-Backed Securities (21.3%)        
4,5 Fannie Mae Pool 2.000% 8/1/28–8/1/31 1,410 1,378
4,5,6Fannie Mae Pool 2.500% 1/1/27–10/1/46 23,029 23,101
4,5,6Fannie Mae Pool 3.000% 11/1/25–4/1/47 73,780 73,994
4,5,6Fannie Mae Pool 3.500% 10/1/20–4/1/47 69,799 71,758
4,5,6Fannie Mae Pool 4.000% 8/1/18–4/1/47 42,689 45,000
4,5 Fannie Mae Pool 4.500% 2/1/18–4/1/47 19,795 21,314
4,5 Fannie Mae Pool 5.000% 9/1/17–1/1/44 10,260 11,213
4,5 Fannie Mae Pool 5.500% 9/1/17–4/1/40 8,774 9,741
4,5 Fannie Mae Pool 6.000% 6/1/17–5/1/41 5,525 6,246
4,5 Fannie Mae Pool 6.500% 11/1/18–10/1/39 1,650 1,840
4,5 Fannie Mae Pool 7.000% 6/1/23–11/1/37 496 567
4,5 Fannie Mae Pool 7.500% 11/1/22–2/1/32 50 54
4,5 Fannie Mae Pool 8.000% 6/1/22–11/1/30 39 41
4,5 Fannie Mae Pool 8.500% 7/1/22–4/1/31 10 12
4,5 Fannie Mae Pool 9.000% 7/1/22–12/1/24 2 2
4,5 Fannie Mae Pool 9.500% 12/1/18–2/1/25 2 2
4,5 Freddie Mac Gold Pool 2.000% 8/1/28–1/1/29 642 628
4,5,6Freddie Mac Gold Pool 2.500% 4/1/27–10/1/46 16,817 16,833
4,5,6Freddie Mac Gold Pool 3.000% 10/1/26–4/1/47 51,135 51,206
4,5,6Freddie Mac Gold Pool 3.500% 9/1/25–4/1/47 45,505 46,791
4,5,6Freddie Mac Gold Pool 4.000% 7/1/18–4/1/47 26,641 28,041
4,5 Freddie Mac Gold Pool 4.500% 1/1/18–5/1/46 10,989 11,765
4,5 Freddie Mac Gold Pool 5.000% 10/1/17–10/1/41 5,921 6,429
4,5 Freddie Mac Gold Pool 5.500% 4/1/17–6/1/41 4,828 5,371
4,5 Freddie Mac Gold Pool 6.000% 5/1/17–3/1/39 3,391 3,819
4,5 Freddie Mac Gold Pool 6.500% 6/1/17–4/1/39 1,053 1,175
4,5 Freddie Mac Gold Pool 7.000% 4/1/23–2/1/37 336 392
4,5 Freddie Mac Gold Pool 7.500% 11/1/19–4/1/28 27 32
4,5 Freddie Mac Gold Pool 8.000% 1/1/22–7/1/30 26 31
4,5 Freddie Mac Gold Pool 8.500% 4/1/23–11/1/30 18 21
4,5 Freddie Mac Gold Pool 9.000% 5/1/27–5/1/30 5 6
5 Ginnie Mae I Pool 3.000% 1/15/26–12/15/45 3,513 3,562
5,6 Ginnie Mae I Pool 3.500% 11/15/25–4/1/47 4,097 4,260
5,6 Ginnie Mae I Pool 4.000% 10/15/24–4/1/47 5,435 5,750
5 Ginnie Mae I Pool 4.500% 8/15/18–3/15/41 5,971 6,416
5 Ginnie Mae I Pool 5.000% 1/15/18–4/15/41 3,877 4,260
5 Ginnie Mae I Pool 5.500% 6/15/18–12/15/40 2,267 2,541
5 Ginnie Mae I Pool 6.000% 1/15/24–3/15/40 1,651 1,878
5 Ginnie Mae I Pool 6.500% 11/15/23–2/15/39 428 482
5 Ginnie Mae I Pool 7.000% 5/15/23–10/15/31 114 127
5 Ginnie Mae I Pool 7.500% 4/15/22–1/15/31 48 52
5 Ginnie Mae I Pool 8.000% 2/15/22–10/15/30 32 36
5 Ginnie Mae I Pool 8.500% 6/15/24–9/15/26 5 5
5 Ginnie Mae I Pool 9.000%  12/15/19–10/15/26 2 2
5 Ginnie Mae I Pool 9.500% 12/15/21 1 1

 

 

5 Ginnie Mae II Pool 2.500% 6/20/27–11/20/46 1,307 1,302
5,6 Ginnie Mae II Pool 3.000% 2/20/27–4/1/47 52,003 52,592
5,6 Ginnie Mae II Pool 3.500% 9/20/25–4/1/47 62,473 64,929
5,6 Ginnie Mae II Pool 4.000% 9/20/25–4/1/47 28,224 29,878
5 Ginnie Mae II Pool 4.500% 2/20/39–1/20/46 11,980 12,947
5 Ginnie Mae II Pool 5.000% 3/20/18–7/20/44 4,914 5,330
5 Ginnie Mae II Pool 5.500% 6/20/34–9/20/41 1,760 1,935
5 Ginnie Mae II Pool 6.000% 3/20/33–7/20/39 907 1,020
5 Ginnie Mae II Pool 6.500%  12/20/35–11/20/39 317 363
5 Ginnie Mae II Pool 7.000% 8/20/36–4/20/38 35 42
          638,513
Nonconventional Mortgage-Backed Securities (0.2%)        
4,5 Fannie Mae Pool 2.110% 3/1/43 189 189
4,5 Fannie Mae Pool 2.185% 10/1/42 82 83
4,5 Fannie Mae Pool 2.187% 6/1/43 145 146
4,5 Fannie Mae Pool 2.217% 9/1/42 112 116
4,5,7Fannie Mae Pool 2.233% 4/1/37 26 27
4,5 Fannie Mae Pool 2.262% 7/1/43 198 197
4,5 Fannie Mae Pool 2.430% 5/1/43 308 309
4,5 Fannie Mae Pool 2.441% 10/1/42 105 106
4,5 Fannie Mae Pool 2.452% 9/1/43 20 21
4,5,7Fannie Mae Pool 2.551% 9/1/37 62 66
4,5,7Fannie Mae Pool 2.655% 6/1/37 28 30
4,5,7Fannie Mae Pool 2.678% 5/1/42 143 149
4,5 Fannie Mae Pool 2.713% 1/1/42 73 75
4,5,7Fannie Mae Pool 2.738% 7/1/38 8 9
4,5,7Fannie Mae Pool 2.750% 12/1/41 58 60
4,5 Fannie Mae Pool 2.753% 3/1/42 110 114
4,5,7Fannie Mae Pool 2.854% 8/1/35 105 112
4,5,7Fannie Mae Pool 2.893% 12/1/35 53 56
4,5,7Fannie Mae Pool 2.905% 5/1/40 25 26
4,5 Fannie Mae Pool 2.909% 12/1/40 34 36
4,5,7Fannie Mae Pool 2.910% 9/1/40 44 47
4,5,7Fannie Mae Pool 2.915% 6/1/36 1 1
4,5,7Fannie Mae Pool 2.931% 9/1/43 138 145
4,5,7Fannie Mae Pool 2.945% 7/1/39 11 11
4,5,7Fannie Mae Pool 2.950% 7/1/37 11 12
4,5,7Fannie Mae Pool 2.955% 3/1/41 45 48
4,5,7Fannie Mae Pool 2.964% 8/1/40 46 48
4,5,7Fannie Mae Pool 3.005% 5/1/41 39 41
4,5,7Fannie Mae Pool 3.006% 9/1/34–7/1/42 105 113
4,5,7Fannie Mae Pool 3.032% 12/1/33 14 15
4,5,7Fannie Mae Pool 3.041% 5/1/40 13 13
4,5,7Fannie Mae Pool 3.042% 1/1/35 66 71
4,5 Fannie Mae Pool 3.063% 2/1/41 42 44
4,5,7Fannie Mae Pool 3.086% 10/1/40 56 58
4,5 Fannie Mae Pool 3.088% 2/1/41 32 34
4,5,7Fannie Mae Pool 3.090% 8/1/39 19 20
4,5,7Fannie Mae Pool 3.107% 7/1/36 11 12
4,5,7Fannie Mae Pool 3.110% 11/1/36 37 39
4,5,7Fannie Mae Pool 3.127% 10/1/39 19 20
4,5,7Fannie Mae Pool 3.152% 8/1/37 44 46
4,5,7Fannie Mae Pool 3.162% 5/1/36 3 4
4,5,7Fannie Mae Pool 3.180% 2/1/36 15 16
4,5,7Fannie Mae Pool 3.194% 11/1/39 11 12
4,5,7Fannie Mae Pool 3.250% 11/1/34 19 20
4,5,7Fannie Mae Pool 3.257% 12/1/39 54 56

 

 

4,5,7Fannie Mae Pool 3.279% 11/1/41 54 57
4,5,7Fannie Mae Pool 3.286% 10/1/40 39 41
4,5,7Fannie Mae Pool 3.295% 5/1/42 26 27
4,5,7Fannie Mae Pool 3.296% 12/1/40 52 55
4,5,7Fannie Mae Pool 3.305% 11/1/41 56 60
4,5,7Fannie Mae Pool 3.308% 12/1/41 53 56
4,5,7Fannie Mae Pool 3.310% 11/1/39 28 29
4,5,7Fannie Mae Pool 3.315% 11/1/40 16 17
4,5,7Fannie Mae Pool 3.334% 12/1/40 43 46
4,5 Fannie Mae Pool 3.344% 8/1/42 104 105
4,5,7Fannie Mae Pool 3.362% 1/1/37 38 40
4,5,7Fannie Mae Pool 3.396% 1/1/42 51 54
4,5,7Fannie Mae Pool 3.435% 11/1/33–12/1/40 55 58
4,5,7Fannie Mae Pool 3.445% 1/1/40 29 31
4,5,7Fannie Mae Pool 3.474% 2/1/41 27 27
4,5,7Fannie Mae Pool 3.491% 3/1/41 81 85
4,5 Fannie Mae Pool 3.569% 7/1/41 127 135
4,5 Fannie Mae Pool 3.619% 4/1/41 51 52
4,5 Fannie Mae Pool 3.675% 6/1/41 12 13
4,5 Fannie Mae Pool 3.771% 6/1/41 70 74
4,5,7Fannie Mae Pool 3.781% 9/1/40 90 96
4,5,7Fannie Mae Pool 3.829% 11/1/39 20 20
4,5,7Fannie Mae Pool 3.866% 8/1/39 51 52
4,5,7Fannie Mae Pool 4.482% 10/1/37 37 38
4,5 Fannie Mae Pool 5.188% 3/1/38 9 10
4,5,7Fannie Mae Pool 5.542% 4/1/37 28 29
4,5,7Fannie Mae Pool 5.562% 10/1/37 43 44
4,5 Fannie Mae Pool 5.860% 12/1/37 43 45
4,5,7Freddie Mac Non Gold Pool 2.235% 10/1/37 2 2
4,5 Freddie Mac Non Gold Pool 2.355% 5/1/42 19 19
4,5 Freddie Mac Non Gold Pool 2.582% 6/1/37 28 28
4,5 Freddie Mac Non Gold Pool 2.712% 7/1/35 24 25
4,5 Freddie Mac Non Gold Pool 2.734% 2/1/42 51 52
4,5 Freddie Mac Non Gold Pool 2.795% 1/1/41 54 57
4,5,7Freddie Mac Non Gold Pool 2.799% 11/1/34 35 37
4,5,7Freddie Mac Non Gold Pool 2.852% 5/1/36 13 14
4,5 Freddie Mac Non Gold Pool 2.875% 5/1/38 3 3
4,5 Freddie Mac Non Gold Pool 3.005% 5/1/40 18 19
4,5 Freddie Mac Non Gold Pool 3.051% 1/1/41 13 13
4,5,7Freddie Mac Non Gold Pool 3.072% 10/1/36 16 17
4,5 Freddie Mac Non Gold Pool 3.074% 5/1/40 14 15
4,5,7Freddie Mac Non Gold Pool 3.075% 10/1/37 20 21
4,5 Freddie Mac Non Gold Pool 3.109% 2/1/36 12 13
4,5,7Freddie Mac Non Gold Pool 3.130% 6/1/40–6/1/41 49 51
4,5 Freddie Mac Non Gold Pool 3.131% 6/1/40 42 44
4,5 Freddie Mac Non Gold Pool 3.157% 12/1/36 18 19
4,5,7Freddie Mac Non Gold Pool 3.221% 12/1/34 28 29
4,5,7Freddie Mac Non Gold Pool 3.222% 12/1/36 42 43
4,5 Freddie Mac Non Gold Pool 3.250% 1/1/38 10 11
4,5,7Freddie Mac Non Gold Pool 3.262% 3/1/37 5 6
4,5,7Freddie Mac Non Gold Pool 3.265% 12/1/36 9 10
4,5,7Freddie Mac Non Gold Pool 3.272% 12/1/35 28 29
4,5 Freddie Mac Non Gold Pool 3.352% 1/1/35 6 6
4,5 Freddie Mac Non Gold Pool 3.362% 2/1/37 11 11
4,5,7Freddie Mac Non Gold Pool 3.363% 11/1/40 41 42
4,5,7Freddie Mac Non Gold Pool 3.364% 12/1/40 48 50
4,5,7Freddie Mac Non Gold Pool 3.380% 11/1/40 17 18

 

 

4,5,7Freddie Mac Non Gold Pool 3.397% 2/1/42 38 40
4,5,7Freddie Mac Non Gold Pool 3.505% 12/1/40 22 22
4,5,7Freddie Mac Non Gold Pool 3.544% 3/1/41 18 19
4,5 Freddie Mac Non Gold Pool 3.574% 6/1/40 65 68
4,5,7Freddie Mac Non Gold Pool 3.653% 2/1/41 15 16
4,5,7Freddie Mac Non Gold Pool 3.660% 2/1/41 45 47
4,5 Freddie Mac Non Gold Pool 3.679% 9/1/40 58 61
4,5,7Freddie Mac Non Gold Pool 4.560% 9/1/37 18 19
4,5 Freddie Mac Non Gold Pool 5.125% 3/1/38 41 43
4,5 Freddie Mac Non Gold Pool 5.761% 5/1/37 28 29
5,7 Ginnie Mae II Pool 2.000% 1/20/41–3/20/43 229 236
5,7 Ginnie Mae II Pool 2.125% 7/20/38–6/20/43 195 201
5,7 Ginnie Mae II Pool 2.250% 10/20/38–12/20/42 293 301
5,7 Ginnie Mae II Pool 2.500% 1/20/41–1/20/42 236 242
5,7 Ginnie Mae II Pool 2.625% 5/20/41 35 36
5,7 Ginnie Mae II Pool 3.000%  11/20/40–10/20/41 107 110
          6,463
Total U.S. Government and Agency Obligations (Cost $1,877,857)     1,880,790
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%)      
5 AEP Texas Central Transition Funding II LLC        
  2006-A 5.170% 1/1/18 32 33
5 Ally Auto Receivables Trust 2013-2 1.240% 11/15/18 13 13
5 Ally Auto Receivables Trust 2014-1 0.970% 10/15/18 12 12
5 Ally Auto Receivables Trust 2014-1 1.530% 4/15/19 25 25
5 Ally Auto Receivables Trust 2014-3 1.280% 6/17/19 52 52
5 Ally Auto Receivables Trust 2014-3 1.720% 3/16/20 55 55
5 Ally Auto Receivables Trust 2015-1 1.390% 9/16/19 22 22
5 Ally Auto Receivables Trust 2015-1 1.750% 5/15/20 50 50
5 Ally Auto Receivables Trust 2015-2 1.490% 11/15/19 96 96
5 Ally Auto Receivables Trust 2015-2 1.840% 6/15/20 50 50
5 Ally Master Owner Trust Series 2014-4 1.430% 6/17/19 100 100
5 Ally Master Owner Trust Series 2015-3 1.630% 5/15/20 150 150
5 American Express Credit Account Master        
  Trust 2014-3 1.490% 4/15/20 175 175
5 American Express Credit Account Master        
  Trust 2014-4 1.430% 6/15/20 100 100
5 American Express Credit Account Master        
  Trust 2017-1 1.930% 9/15/22 250 250
5 AmeriCredit Automobile Receivables Trust        
  2014-1 1.680% 7/8/19 22 22
5 AmeriCredit Automobile Receivables Trust        
  2014-3 1.150% 6/10/19 15 15
5 AmeriCredit Automobile Receivables Trust        
  2015-2 1.270% 1/8/20 56 56
5 AmeriCredit Automobile Receivables Trust        
  2016-3 1.460% 5/10/21 75 75
5 BA Credit Card Trust 2017-A1 1.950% 8/15/22 250 250
5 Banc of America Commercial Mortgage Trust        
  2008-1 6.231% 2/10/51 334 338
5 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.429% 9/15/48 50 52
5 Banc of America Commercial Mortgage Trust        
  2015-UBS7 3.705% 9/15/48 75 78
5 Banc of America Commercial Mortgage Trust        
  2017-BNK3 3.574% 2/15/50 72 74

 

 

5 Banc of America Commercial Mortgage Trust        
2017-BNK3 3.748% 2/15/50 28 29
Bank of Nova Scotia 2.125% 9/11/19 250 250
Bank of Nova Scotia 1.850% 4/14/20 450 446
Bank of Nova Scotia 1.875% 4/26/21 175 172
5 Barclays Dryrock Issuance Trust 2015-2 1.560% 3/15/21 100 100
5 Barclays Dryrock Issuance Trust 2016-1 1.520% 5/16/22 125 124
5 BBCMS MORTGAGE TRUST 2017-C1 3.674% 2/15/50 325 334
5 BBCMS MORTGAGE TRUST 2017-C1 3.898% 2/15/50 100 103
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-PWR16 5.768% 6/11/40 114 114
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-PWR17 5.694% 6/11/50 178 178
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-PWR17 5.895% 6/11/50 235 239
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-PWR18 5.700% 6/11/50 488 492
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-TOP26 5.513% 1/12/45 122 121
5 Bear Stearns Commercial Mortgage        
Securities Trust 2007-TOP28 5.742% 9/11/42 391 394
5 BMW Vehicle Lease Trust 2015-1 1.240% 12/20/17 40 40
5 BMW Vehicle Lease Trust 2015-2 1.400% 9/20/18 100 100
5 BMW Vehicle Lease Trust 2015-2 1.550% 2/20/19 50 50
5 BMW Vehicle Owner Trust 2014-A 0.970% 11/26/18 25 25
5 BMW Vehicle Owner Trust 2014-A 1.500% 2/25/21 75 75
5 Capital Auto Receivables Asset Trust 2014-2 1.620% 10/22/18 14 14
5 Capital Auto Receivables Asset Trust 2014-3 1.480% 11/20/18 20 20
5 Capital Auto Receivables Asset Trust 2014-3 1.830% 4/22/19 25 25
5 Capital Auto Receivables Asset Trust 2015-1 1.610% 6/20/19 200 200
5 Capital Auto Receivables Asset Trust 2015-1 1.860% 10/21/19 50 50
5 Capital Auto Receivables Asset Trust 2015-2 1.730% 9/20/19 125 125
5 Capital Auto Receivables Asset Trust 2015-2 1.970% 1/21/20 75 75
5 Capital Auto Receivables Asset Trust 2015-3 1.720% 1/22/19 100 100
5 Capital Auto Receivables Asset Trust 2015-3 1.940% 1/21/20 100 100
5 Capital Auto Receivables Asset Trust 2015-3 2.130% 5/20/20 75 75
5 Capital Auto Receivables Asset Trust 2015-4 1.830% 3/20/20 75 75
5 Capital Auto Receivables Asset Trust 2015-4 2.010% 7/20/20 75 75
5 Capital Auto Receivables Asset Trust 2016-3 1.690% 3/20/21 50 50
5 Capital One Multi-Asset Execution Trust 2007-        
A7 5.750% 7/15/20 225 229
5 Capital One Multi-Asset Execution Trust 2014-        
A5 1.480% 7/15/20 150 150
5 Capital One Multi-Asset Execution Trust 2015-        
A2 2.080% 3/15/23 250 251
5 Capital One Multi-Asset Execution Trust 2015-        
A5 1.600% 5/17/21 100 100
5 Capital One Multi-Asset Execution Trust 2015-        
A8 2.050% 8/15/23 150 149
5 Capital One Multi-Asset Execution Trust 2016-        
A3 1.340% 4/15/22 170 169
5 Capital One Multi-Asset Execution Trust 2016-        
A4 1.330% 6/15/22 200 198
5 Capital One Multi-Asset Execution Trust 2016-        
A6 1.820% 9/15/22 100 100
5 CarMax Auto Owner Trust 2013-2 0.840% 11/15/18 17 17
5 CarMax Auto Owner Trust 2013-3 1.490% 1/15/19 29 29

 

 

5 CarMax Auto Owner Trust 2013-4 1.280% 5/15/19 23 23
5 CarMax Auto Owner Trust 2014-1 0.790% 10/15/18 4 4
5 CarMax Auto Owner Trust 2014-1 1.320% 7/15/19 25 25
5 CarMax Auto Owner Trust 2014-2 0.980% 1/15/19 20 20
5 CarMax Auto Owner Trust 2014-3 1.160% 6/17/19 32 32
5 CarMax Auto Owner Trust 2014-3 1.730% 2/18/20 25 25
5 CarMax Auto Owner Trust 2014-4 1.250% 11/15/19 73 73
5 CarMax Auto Owner Trust 2015-2 1.370% 3/16/20 46 46
5 CarMax Auto Owner Trust 2015-2 1.800% 3/15/21 50 50
5 CarMax Auto Owner Trust 2015-3 1.630% 5/15/20 100 100
5 CarMax Auto Owner Trust 2015-3 1.980% 2/16/21 50 50
5 CarMax Auto Owner Trust 2015-4 1.560% 11/16/20 100 100
5 CarMax Auto Owner Trust 2015-4 1.830% 6/15/21 50 50
5 CarMax Auto Owner Trust 2016-3 1.390% 5/17/21 100 99
5 CarMax Auto Owner Trust 2016-3 1.600% 1/18/22 50 49
5 CD 2007-CD5 Commercial Mortgage Trust 5.886% 11/15/44 183 184
5 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 150 143
5 CD 2016-CD2 Commercial Mortgage Trust 3.526% 11/10/49 100 102
5 CD 2017-CD3 Commercial Mortgage Trust 3.453% 2/10/50 25 26
5 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 144 148
5 CD 2017-CD3 Commercial Mortgage Trust 3.833% 2/10/50 31 32
5 CenterPoint Energy Transition Bond Co. II        
LLC 2005-A 5.170% 8/1/19 2 2
5 CenterPoint Energy Transition Bond Co. II        
LLC 2005-A 5.302% 8/1/20 26 27
5 CenterPoint Energy Transition Bond Co. IV        
LLC 2012-1 3.028% 10/15/25 350 359
5 CFCRE Commercial Mortgage Trust 2016-C3 3.865% 1/10/48 125 130
5 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 150 149
5 CFCRE Commercial Mortgage Trust 2016-C4 3.691% 5/10/58 100 101
5 CFCRE Commercial Mortgage Trust 2016-C6 3.217% 11/10/49 250 247
5 Chase Issuance Trust 2012-A4 1.580% 8/16/21 150 149
5 Chase Issuance Trust 2012-A7 2.160% 9/16/24 313 307
5 Chase Issuance Trust 2013-A1 1.300% 2/18/20 275 275
5 Chase Issuance Trust 2014-A2 2.770% 3/15/23 225 229
5 Chase Issuance Trust 2014-A6 1.260% 7/15/19 300 300
5 Chase Issuance Trust 2014-A7 1.380% 11/15/19 225 225
5 Chase Issuance Trust 2015-A4 1.840% 4/15/22 150 149
5 Chase Issuance Trust 2015-A5 1.360% 4/15/20 325 325
5 Chase Issuance Trust 2016-A2 1.370% 6/15/21 225 223
5 Chase Issuance Trust 2016-A4 1.490% 7/15/22 200 197
5 Chase Issuance Trust 2016-A5 1.270% 7/15/21 225 222
5 Citibank Credit Card Issuance Trust 2007-A8 5.650% 9/20/19 250 255
5 Citibank Credit Card Issuance Trust 2008-A1 5.350% 2/7/20 245 253
5 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 100 103
5 Citibank Credit Card Issuance Trust 2014-A4 1.230% 4/24/19 425 425
5 Citibank Credit Card Issuance Trust 2014-A5 2.680% 6/7/23 200 204
5 Citibank Credit Card Issuance Trust 2014-A6 2.150% 7/15/21 500 504
5 Citibank Credit Card Issuance Trust 2014-A8 1.730% 4/9/20 325 326
5 Citibank Credit Card Issuance Trust 2016-A2 2.190% 11/20/23 200 200
5 Citibank Credit Card Issuance Trust 2017-A2 1.740% 1/19/21 325 325
5 Citigroup Commercial Mortgage Trust 2007-        
C6 5.779% 12/10/49 351 352
5 Citigroup Commercial Mortgage Trust 2008-        
C7 6.127% 12/10/49 406 410
5 Citigroup Commercial Mortgage Trust 2012-        
GC8 3.024% 9/10/45 75 76

 

 

5 Citigroup Commercial Mortgage Trust 2013-        
  GC11 3.093% 4/10/46 100 102
5 Citigroup Commercial Mortgage Trust 2013-        
  GC15 3.161% 9/10/46 75 76
5 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.371% 9/10/46 50 54
5 Citigroup Commercial Mortgage Trust 2013-        
  GC15 4.649% 9/10/46 75 82
5 Citigroup Commercial Mortgage Trust 2014-        
  GC19 2.790% 3/10/47 37 38
5 Citigroup Commercial Mortgage Trust 2014-        
  GC19 3.552% 3/10/47 25 26
5 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.023% 3/10/47 25 27
5 Citigroup Commercial Mortgage Trust 2014-        
  GC19 4.345% 3/10/47 25 27
5 Citigroup Commercial Mortgage Trust 2014-        
  GC21 3.855% 5/10/47 50 52
5 Citigroup Commercial Mortgage Trust 2014-        
  GC21 4.328% 5/10/47 50 52
5 Citigroup Commercial Mortgage Trust 2014-        
  GC23 3.622% 7/10/47 100 104
5 Citigroup Commercial Mortgage Trust 2014-        
  GC25 3.635% 10/10/47 175 180
5 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.137% 2/10/48 225 224
5 Citigroup Commercial Mortgage Trust 2015-        
  GC27 3.571% 2/10/48 100 102
5 Citigroup Commercial Mortgage Trust 2015-        
  GC29 2.674% 4/10/48 50 51
5 Citigroup Commercial Mortgage Trust 2015-        
  GC29 3.192% 4/10/48 175 175
5 Citigroup Commercial Mortgage Trust 2015-        
  GC29 3.758% 4/10/48 84 84
5 Citigroup Commercial Mortgage Trust 2015-        
  GC31 3.762% 6/10/48 100 104
5 Citigroup Commercial Mortgage Trust 2015-        
  GC33 3.778% 9/10/58 100 104
5 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.003% 5/10/49 55 55
5 Citigroup Commercial Mortgage Trust 2016-        
  C1 3.209% 5/10/49 125 125
5 Citigroup Commercial Mortgage Trust 2016-        
  GC36 3.616% 2/10/49 225 231
5 Citigroup Commercial Mortgage Trust 2016-        
  P4 2.902% 7/10/49 75 73
5 COBALT CMBS Commercial Mortgage Trust        
  2007-C3 5.880% 5/15/46 157 158
5 COMM 2007-C9 Mortgage Trust 5.807% 12/10/49 155 155
5 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 58 60
5 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 65 68
5,8 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 78 80
5 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 125 126
5 COMM 2013-CCRE10 Mortgage Trust 4.210% 8/10/46 20 22
5 COMM 2013-CCRE11 Mortgage Trust 3.047% 8/10/50 30 30
5 COMM 2013-CCRE11 Mortgage Trust 3.660% 8/10/50 30 32
5 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 40 42

 

 

5 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 150 162
5 COMM 2013-CCRE11 Mortgage Trust 4.715% 8/10/50 30 33
5 COMM 2013-CCRE12 Mortgage Trust 1.295% 10/10/46 10 10
5 COMM 2013-CCRE12 Mortgage Trust 2.904% 10/10/46 50 51
5 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 50 52
5 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 50 52
5 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 50 53
5 COMM 2013-CCRE12 Mortgage Trust 4.300% 10/10/46 25 27
5 COMM 2013-CCRE12 Mortgage Trust 4.762% 10/10/46 25 27
5 COMM 2013-CCRE6 Mortgage Trust 3.101% 3/10/46 65 66
5 COMM 2013-CCRE7 Mortgage Trust 3.213% 3/10/46 50 51
5 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 71 74
5 COMM 2013-CCRE9 Mortgage Trust 4.232% 7/10/45 90 97
5 COMM 2013-LC13 Mortgage Trust 3.009% 8/10/46 40 41
5 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 40 43
5 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 104 105
5 COMM 2013-LC6 Mortgage Trust 3.282% 1/10/46 58 59
5 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 87 88
5 COMM 2014-CCRE15 Mortgage Trust 3.595% 2/10/47 30 31
5 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 56 59
5 COMM 2014-CCRE15 Mortgage Trust 4.711% 2/10/47 28 30
5 COMM 2014-CCRE16 Mortgage Trust 3.653% 4/10/47 50 53
5 COMM 2014-CCRE16 Mortgage Trust 4.278% 4/10/47 75 79
5 COMM 2014-CCRE17 Mortgage Trust 3.012% 5/10/47 50 51
5 COMM 2014-CCRE17 Mortgage Trust 3.598% 5/10/47 25 26
5 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 50 53
5 COMM 2014-CCRE17 Mortgage Trust 4.377% 5/10/47 25 26
5 COMM 2014-CCRE18 Mortgage Trust 3.452% 7/15/47 50 52
5 COMM 2014-CCRE19 Mortgage Trust 3.796% 8/10/47 175 183
5 COMM 2014-CCRE19 Mortgage Trust 4.080% 8/10/47 50 52
5 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 50 51
5 COMM 2014-CCRE21 Mortgage Trust 3.095% 12/10/47 86 88
5 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 175 179
5 COMM 2014-LC15 Mortgage Trust 2.840% 4/10/47 50 51
5 COMM 2014-LC15 Mortgage Trust 4.006% 4/10/47 150 158
5 COMM 2014-LC17 Mortgage Trust 3.164% 10/10/47 100 102
5 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 50 53
5 COMM 2014-UBS2 Mortgage Trust 2.820% 3/10/47 24 24
5 COMM 2014-UBS2 Mortgage Trust 3.472% 3/10/47 22 23
5 COMM 2014-UBS2 Mortgage Trust 3.961% 3/10/47 54 57
5 COMM 2014-UBS2 Mortgage Trust 4.199% 3/10/47 15 16
COMM 2014-UBS2 Mortgage Trust 4.701% 3/10/47 10 11
5 COMM 2014-UBS3 Mortgage Trust 2.844% 6/10/47 50 51
5 COMM 2014-UBS3 Mortgage Trust 3.819% 6/10/47 100 104
5 COMM 2014-UBS4 Mortgage Trust 3.694% 8/10/47 125 129
5 COMM 2014-UBS4 Mortgage Trust 3.968% 8/10/47 44 45
5 COMM 2014-UBS5 Mortgage Trust 3.838% 9/10/47 125 130
5 COMM 2014-UBS6 Mortgage Trust 2.935% 12/10/47 125 127
5 COMM 2014-UBS6 Mortgage Trust 3.387% 12/10/47 125 129
5 COMM 2014-UBS6 Mortgage Trust 3.644% 12/10/47 225 231
5 COMM 2014-UBS6 Mortgage Trust 4.048% 12/10/47 50 52
5 COMM 2015-CCRE22 Mortgage Trust 2.856% 3/10/48 50 51
5 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 150 151
5 COMM 2015-CCRE22 Mortgage Trust 3.603% 3/10/48 50 51
5 COMM 2015-CCRE23 Mortgage Trust 3.257% 5/10/48 75 77
5 COMM 2015-CCRE23 Mortgage Trust 3.497% 5/10/48 100 102
5 COMM 2015-CCRE23 Mortgage Trust 3.801% 5/10/48 50 51

 

 

5 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 125 130
5 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 225 230
5 COMM 2015-CCRE27 Mortgage Trust 3.404% 10/10/48 125 129
5 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 125 128
5 COMM 2015-LC19 Mortgage Trust 3.040% 2/10/48 25 26
5 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 125 125
5 COMM 2015-LC19 Mortgage Trust 3.527% 2/10/48 50 51
5 COMM 2016-CCRE28 Mortgage Trust 3.762% 2/10/49 150 155
5 COMM 2016-DC2 Mortgage Trust 3.550% 2/10/49 125 130
5 Credit Suisse Commercial Mortgage Trust        
  Series 2007-C3 5.715% 6/15/39 22 22
5 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 100 102
5 CSAIL 2015-C1 Commercial Mortgage Trust 3.791% 4/15/50 75 78
5 CSAIL 2015-C1 Commercial Mortgage Trust 4.044% 4/15/50 50 51
5 CSAIL 2015-C2 Commercial Mortgage Trust 1.454% 6/15/57 64 64
5 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 150 153
5 CSAIL 2015-C2 Commercial Mortgage Trust 3.849% 6/15/57 75 78
5 CSAIL 2015-C3 Commercial Mortgage Trust 3.448% 8/15/48 85 88
5 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 100 103
5 CSAIL 2015-C3 Commercial Mortgage Trust 4.110% 8/15/48 50 52
5 CSAIL 2015-C4 Commercial Mortgage Trust 3.617% 11/15/48 50 52
5 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 75 78
5 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 200 203
5 DBJPM 16-C1 Mortgage Trust 3.276% 5/10/49 75 75
5 DBJPM 16-C3 Mortgage Trust 2.890% 9/10/49 100 97
5 Discover Card Execution Note Trust 2007-A1 5.650% 3/16/20 275 280
5 Discover Card Execution Note Trust 2014-A3 1.220% 10/15/19 200 200
5 Discover Card Execution Note Trust 2014-A5 1.390% 4/15/20 300 300
5 Discover Card Execution Note Trust 2015-A2 1.900% 10/17/22 275 275
5 Discover Card Execution Note Trust 2015-A3 1.450% 3/15/21 225 225
5 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 225 226
5 Discover Card Execution Note Trust 2016-A1 1.640% 7/15/21 350 350
5 Discover Card Execution Note Trust 2017-A2 2.390% 7/15/24 150 151
4,5 Fannie Mae-Aces 2011-M2 3.764% 4/25/21 150 157
4,5 Fannie Mae-Aces 2011-M4 3.726% 6/25/21 335 350
4,5 Fannie Mae-Aces 2013-M12 2.399% 3/25/23 253 249
4,5 Fannie Mae-Aces 2013-M14 2.533% 4/25/23 296 291
4,5 Fannie Mae-Aces 2013-M14 3.329% 10/25/23 350 364
4,5 Fannie Mae-Aces 2013-M4 2.608% 3/25/22 24 24
4,5 Fannie Mae-Aces 2013-M7 2.280% 12/27/22 100 99
4,5 Fannie Mae-Aces 2014-M1 2.323% 11/25/18 330 333
4,5 Fannie Mae-Aces 2014-M1 3.246% 7/25/23 450 465
4,5 Fannie Mae-Aces 2014-M10 2.171% 9/25/19 200 200
4,5 Fannie Mae-Aces 2014-M12 2.614% 10/25/21 350 354
4,5 Fannie Mae-Aces 2014-M13 1.637% 11/25/17 24 24
4,5 Fannie Mae-Aces 2014-M13 2.566% 8/25/24 45 45
4,5 Fannie Mae-Aces 2014-M13 3.021% 8/25/24 125 127
4,5 Fannie Mae-Aces 2014-M2 3.513% 12/25/23 346 364
4,5 Fannie Mae-Aces 2014-M3 2.613% 1/25/24 122 124
4,5 Fannie Mae-Aces 2014-M3 3.472% 1/25/24 175 184
4,5 Fannie Mae-Aces 2014-M4 3.346% 3/25/24 175 182
4,5 Fannie Mae-Aces 2014-M6 2.679% 5/25/21 325 329
4,5 Fannie Mae-Aces 2014-M7 3.249% 6/25/24 338 349
4,5 Fannie Mae-Aces 2014-M8 2.346% 6/25/24 40 40
4,5 Fannie Mae-Aces 2014-M8 3.056% 6/25/24 175 176
4,5 Fannie Mae-Aces 2014-M9 1.462% 4/25/17 11 11
4,5 Fannie Mae-Aces 2014-M9 3.103% 7/25/24 200 204

 

 

4,5 Fannie Mae-Aces 2015-M1 1.626% 2/25/18 56 56
4,5 Fannie Mae-Aces 2015-M1 2.532% 9/25/24 300 294
4,5 Fannie Mae-Aces 2015-M10 3.092% 4/25/27 100 100
4,5 Fannie Mae-Aces 2015-M12 2.792% 5/25/25 225 224
4,5 Fannie Mae-Aces 2015-M15 2.923% 10/25/25 275 275
4,5 Fannie Mae-Aces 2015-M2 2.620% 12/25/24 215 208
4,5 Fannie Mae-Aces 2015-M3 2.723% 10/25/24 100 99
4,5 Fannie Mae-Aces 2015-M4 2.509% 7/25/22 150 150
4,5 Fannie Mae-Aces 2015-M7 1.550% 4/25/18 50 50
4,5 Fannie Mae-Aces 2015-M7 2.590% 12/25/24 200 196
4,5 Fannie Mae-Aces 2015-M8 2.344% 1/25/25 111 111
4,5 Fannie Mae-Aces 2015-M8 2.900% 1/25/25 100 100
4,5 Fannie Mae-Aces 2016-M11 2.369% 7/25/26 250 237
4,5 Fannie Mae-Aces 2016-M12 2.449% 9/25/26 250 242
4,5 Fannie Mae-Aces 2016-M2 2.152% 1/25/23 200 196
4,5 Fannie Mae-Aces 2016-M3 2.702% 2/25/26 100 98
4,5 Fannie Mae-Aces 2016-M4 2.576% 3/25/26 100 97
4,5 Fannie Mae-Aces 2016-M5 2.469% 4/25/26 200 192
4,5 Fannie Mae-Aces 2016-M7 2.157% 10/25/23 50 49
4,5 Fannie Mae-Aces 2016-M7 2.499% 9/25/26 75 71
4,5 Fannie Mae-Aces 2017-M1 2.417% 10/25/26 200 190
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K005 3.484% 4/25/19 73 74
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K006 3.398% 7/25/19 83 85
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K007 3.342% 12/25/19 11 11
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K009 2.757% 5/25/20 153 154
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K010 3.320% 7/25/20 167 168
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K011 4.084% 11/25/20 250 267
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K014 3.871% 4/25/21 133 142
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K017 2.873% 12/25/21 350 359
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K019 2.272% 3/25/22 150 150
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K020 2.373% 5/25/22 350 351
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K021 2.396% 6/25/22 225 226
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K026 2.510% 11/25/22 325 327
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K027 2.637% 1/25/23 325 329
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K028 3.111% 2/25/23 475 492
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K029 3.320% 2/25/23 325 340
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K030 2.779% 9/25/22 249 255
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K030 3.250% 4/25/23 325 339
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K031 3.300% 4/25/23 340 355

 

 

4,5 FHLMC Multifamily Structured Pass Through        
Certificates K032 3.016% 2/25/23 260 265
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K032 3.310% 5/25/23 340 355
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K033 2.871% 2/25/23 270 277
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K033 3.060% 7/25/23 325 335
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K034 3.531% 7/25/23 288 304
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K035 3.458% 8/25/23 400 421
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K036 3.527% 10/25/23 325 344
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K038 2.604% 10/25/23 103 105
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K038 3.389% 3/25/24 400 419
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K039 2.683% 12/25/23 63 63
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K039 3.303% 7/25/24 225 235
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K040 2.768% 4/25/24 91 92
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K040 3.241% 9/25/24 275 285
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K041 3.171% 10/25/24 275 284
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K042 2.267% 6/25/24 46 45
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K043 2.532% 10/25/23 47 47
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K043 3.062% 12/25/24 150 153
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K045 2.493% 11/25/24 118 118
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K045 3.023% 1/25/25 175 178
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K046 3.205% 3/25/25 175 180
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K047 2.827% 12/25/24 96 97
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K047 3.329% 5/25/25 175 181
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K048 3.284% 6/25/25 225 233
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K049 3.010% 7/25/25 125 127
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K050 3.334% 8/25/25 200 208
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K052 3.151% 11/25/25 125 128
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K053 2.995% 12/25/25 75 76
4,5 FHLMC Multifamily Structured Pass Through        
Certificates K054 2.745% 1/25/26 200 198

 

 

4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K056 2.525% 5/25/26 150 145
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K058 2.653% 8/25/26 100 98
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K063 3.430% 1/25/27 475 493
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K152 3.080% 1/25/31 100 99
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K503 1.384% 1/25/19 129 128
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K503 2.456% 8/25/19 325 329
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K504 2.566% 9/25/20 100 102
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K702 3.154% 2/25/18 528 534
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K704 2.412% 8/25/18 74 74
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K706 2.323% 10/25/18 99 100
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K707 2.220% 12/25/18 150 151
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K710 1.883% 5/25/19 25 25
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K711 1.321% 12/25/18 124 123
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K711 1.730% 7/25/19 425 424
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K712 1.869% 11/25/19 200 200
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K713 2.313% 3/25/20 525 531
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K714 3.034% 10/25/20 400 413
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K716 3.130% 6/25/21 370 384
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K716 2.413% 8/25/47 54 55
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K717 2.991% 9/25/21 225 232
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K718 2.375% 9/25/21 205 206
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates K718 2.791% 1/25/22 225 230
4,5 FHLMC Multifamily Structured Pass Through        
  Certificates KW01 2.853% 1/25/26 200 200
4,5 FHLMC Multifamily Structures Pass Through        
  Certificates K715 2.856% 1/25/21 125 128
4,5 FHLMC Multifamily Structures Pass Through        
  Certificates K720 2.716% 6/25/22 150 153
4,5 FHLMC Multifamily Structures Pass Through        
  Certificates K723 2.454% 8/25/23 125 124
4,5 FHLMC Multifamily Structures Pass Through        
  Certificates K724 3.062% 11/25/23 100 103
5 Fifth Third Auto Trust 2014-1 1.140% 10/15/20 38 38
5 Fifth Third Auto Trust 2014-2 0.890% 11/15/18 8 8
5 Fifth Third Auto Trust 2015-1 1.420% 3/16/20 100 100

 

 

5 Ford Credit Auto Lease Trust 2015-A 1.130% 6/15/18 49 49
5 Ford Credit Auto Lease Trust 2015-A 1.310% 8/15/18 50 50
5 Ford Credit Auto Lease Trust 2015-B 1.380% 12/15/18 75 75
5 Ford Credit Auto Lease Trust 2015-B 1.540% 2/15/19 75 75
5 Ford Credit Auto Owner Trust 2013-B 0.760% 8/15/18 1 1
5 Ford Credit Auto Owner Trust 2013-C 1.250% 10/15/18 7 7
5 Ford Credit Auto Owner Trust 2014-B 0.900% 10/15/18 18 18
5 Ford Credit Auto Owner Trust 2015-A 1.280% 9/15/19 35 35
5 Ford Credit Auto Owner Trust 2015-A 1.640% 6/15/20 25 25
5 Ford Credit Auto Owner Trust 2015-B 1.160% 11/15/19 60 60
5 Ford Credit Auto Owner Trust 2015-B 1.580% 8/15/20 50 50
5 Ford Credit Auto Owner Trust 2015-C 1.410% 2/15/20 50 50
5 Ford Credit Auto Owner Trust 2015-C 1.740% 2/15/21 50 50
5 Ford Credit Auto Owner Trust 2017-A 1.670% 6/15/21 100 100
5 Ford Credit Auto Owner Trust 2017-A 1.920% 4/15/22 75 75
5 Ford Credit Floorplan Master Owner Trust A        
Series 2014-4 1.400% 8/15/19 225 225
5 Ford Credit Floorplan Master Owner Trust A        
Series 2016-1 1.760% 2/15/21 225 225
5 GE Commercial Mortgage Corp. Series 2007-        
C1 Trust 5.543% 12/10/49 2 2
5 GM Financial Automobile Leasing Trust 2015-        
2 1.680% 12/20/18 100 100
5 GM Financial Automobile Leasing Trust 2015-        
2 1.850% 7/22/19 50 50
5 GM Financial Automobile Leasing Trust 2015-        
3 1.690% 3/20/19 50 50
5 GM Financial Automobile Leasing Trust 2015-        
3 1.810% 11/20/19 50 50
5 GM Financial Automobile Leasing Trust 2016-        
1 1.790% 3/20/20 100 100
5 GM Financial Automobile Leasing Trust 2016-        
2 1.620% 9/20/19 100 100
5 GM Financial Automobile Leasing Trust 2016-        
3 1.610% 12/20/19 75 75
5 GS Mortgage Securities Corporation II 2013-        
GC10 2.943% 2/10/46 92 93
5 GS Mortgage Securities Corporation II 2013-        
GC10 3.279% 2/10/46 35 35
5 GS Mortgage Securities Corporation II 2015-        
GC30 2.726% 5/10/50 100 101
5 GS Mortgage Securities Corporation II 2015-        
GC30 3.382% 5/10/50 150 152
5 GS Mortgage Securities Trust 2011-GC5 3.707% 8/10/44 80 84
5 GS Mortgage Securities Trust 2012-GC6 3.482% 1/10/45 299 311
5 GS Mortgage Securities Trust 2012-GCJ7 3.377% 5/10/45 175 181
5 GS Mortgage Securities Trust 2012-GCJ9 2.773% 11/10/45 125 126
5 GS Mortgage Securities Trust 2013-GC13 4.033% 7/10/46 20 22
5 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 90 92
5 GS Mortgage Securities Trust 2013-GCJ12 3.375% 6/10/46 39 39
5 GS Mortgage Securities Trust 2013-GCJ14 2.995% 8/10/46 45 45
5 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 30 31
5 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 150 162
5 GS Mortgage Securities Trust 2014-GC22 3.467% 6/10/47 50 52
5 GS Mortgage Securities Trust 2014-GC22 3.862% 6/10/47 50 52
5 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 125 132
5 GS Mortgage Securities Trust 2014-GC24 4.508% 9/10/47 25 27

 

 

5 GS Mortgage Securities Trust 2014-GC26 2.902% 11/10/47 50 51
5 GS Mortgage Securities Trust 2014-GC26 3.365% 11/10/47 75 78
5 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 225 232
5 GS Mortgage Securities Trust 2014-GC26 3.964% 11/10/47 50 51
5 GS Mortgage Securities Trust 2014-GC26 4.215% 11/10/47 50 53
5 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 150 152
5 GS Mortgage Securities Trust 2015-GC32 3.513% 7/10/48 125 130
5 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 50 52
5 GS Mortgage Securities Trust 2015-GC34 3.278% 10/10/48 125 128
5 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 100 102
5 GS Mortgage Securities Trust 2016-GS2 3.050% 5/10/49 75 74
5 GS Mortgage Securities Trust 2016-GS3 2.850% 10/10/49 200 194
5 GS Mortgage Securities Trust 2016-GS4 3.442% 11/10/49 75 76
5 GS Mortgage Securities Trust 2016-GS4 3.645% 11/10/49 50 50
5 GS Mortgage Securities Trust 2017-GS5 3.674% 3/10/50 150 155
5 GS Mortgage Securities Trust 2017-GS5 3.826% 3/10/50 50 52
5 Honda Auto Receivables 2014-1 Owner Trust 1.040% 2/21/20 29 29
5 Honda Auto Receivables 2014-2 Owner Trust 0.770% 3/19/18 7 7
5 Honda Auto Receivables 2014-3 Owner Trust 0.880% 6/15/18 23 23
5 Honda Auto Receivables 2014-3 Owner Trust 1.310% 10/15/20 50 50
5 Honda Auto Receivables 2015-1 Owner Trust 1.050% 10/15/18 54 54
5 Honda Auto Receivables 2015-1 Owner Trust 1.320% 11/16/20 75 75
5 Honda Auto Receivables 2015-2 Owner Trust 1.040% 2/21/19 52 52
5 Honda Auto Receivables 2015-2 Owner Trust 1.470% 8/23/21 50 50
5 Honda Auto Receivables 2015-3 Owner Trust 1.270% 4/18/19 92 92
5 Honda Auto Receivables 2015-3 Owner Trust 1.560% 10/18/21 50 50
5 Honda Auto Receivables 2015-4 Owner Trust 1.230% 9/23/19 125 125
5 Huntington Auto Trust 2015-1 1.240% 9/16/19 82 82
5 Hyundai Auto Receivables Trust 2013-B 1.010% 2/15/19 4 4
5 Hyundai Auto Receivables Trust 2013-C 1.550% 3/15/19 31 31
5 Hyundai Auto Receivables Trust 2014-A 0.790% 7/16/18 2 2
5 Hyundai Auto Receivables Trust 2014-B 0.900% 12/17/18 21 21
5 Hyundai Auto Receivables Trust 2015-A 1.370% 7/15/20 50 50
5 Hyundai Auto Receivables Trust 2015-C 1.460% 2/18/20 50 50
5 Hyundai Auto Receivables Trust 2015-C 1.780% 11/15/21 50 50
5 Hyundai Auto Receivables Trust 2016-B 1.290% 4/15/21 75 74
5 Hyundai Auto Receivables Trust 2016-B 1.450% 11/15/22 75 73
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2006-LDP7 5.939% 4/17/45 2 2
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2007-CIBC20 5.794% 2/12/51 277 279
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2007-CIBC20 5.981% 2/12/51 75 76
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2007-LDP11 5.841% 6/15/49 142 142
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2012-C6 3.507% 5/15/45 218 227
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2012-C8 2.829% 10/15/45 150 151
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2012-CIBX 3.483% 6/15/45 176 183
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C10 3.143% 12/15/47 52 53
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C10 3.372% 12/15/47 39 39
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-C16 4.166% 12/15/46 100 107

 

 

5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2013-LC11 2.960% 4/15/46 208 210
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2014-C20 2.872% 7/15/47 50 51
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2015-JP1 3.914% 1/15/49 75 79
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2016-JP3 2.870% 8/15/49 250 242
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2016-JP4 3.648% 12/15/49 100 103
5 JP Morgan Chase Commercial Mortgage        
Securities Trust 2016-JP4 3.870% 12/15/49 75 77
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 3.664% 7/15/45 39 41
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C12 4.026% 7/15/45 26 27
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 3.761% 8/15/46 40 42
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 4.133% 8/15/46 100 107
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C14 4.409% 8/15/46 30 32
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 2.977% 11/15/45 66 67
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 3.659% 11/15/45 10 10
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.131% 11/15/45 65 70
5 JPMBB Commercial Mortgage Securities        
Trust 2013-C15 4.420% 11/15/45 35 37
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.079% 2/15/47 127 135
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.439% 2/15/47 25 27
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C18 4.814% 2/15/47 30 32
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C19 3.046% 4/15/47 50 51
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C19 3.669% 4/15/47 50 52
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C19 3.997% 4/15/47 95 100
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C19 4.243% 4/15/47 50 53
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C21 3.428% 8/15/47 30 31
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C21 3.775% 8/15/47 25 26
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C22 3.801% 9/15/47 175 181
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C22 4.110% 9/15/47 50 52
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C23 3.934% 9/15/47 85 90
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C23 4.202% 9/15/47 50 53

 

 

5 JPMBB Commercial Mortgage Securities        
Trust 2014-C24 2.940% 11/15/47 50 51
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C24 3.639% 11/15/47 50 52
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C24 3.914% 11/15/47 75 77
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C25 3.672% 11/15/47 200 207
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C25 4.065% 11/15/47 50 52
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.019% 1/15/48 125 128
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.494% 1/15/48 175 179
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.800% 1/15/48 50 51
5 JPMBB Commercial Mortgage Securities        
Trust 2014-C26 3.951% 1/15/48 50 50
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C27 2.734% 2/15/48 100 102
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C27 3.017% 2/15/48 110 112
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C27 3.179% 2/15/48 59 59
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C28 2.773% 10/15/48 125 127
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C28 3.227% 10/15/48 125 125
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C28 3.532% 10/15/48 50 50
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C29 2.921% 5/15/48 100 102
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C29 3.304% 5/15/48 57 59
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C29 3.611% 5/15/48 100 103
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.559% 7/15/48 125 131
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 3.822% 7/15/48 100 104
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C30 4.226% 7/15/48 50 52
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C31 3.540% 8/15/48 53 55
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C31 3.801% 8/15/48 57 59
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C32 3.358% 11/15/48 125 129
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C32 3.598% 11/15/48 125 128
5 JPMBB Commercial Mortgage Securities        
Trust 2015-C33 3.770% 12/15/48 82 85
5 JPMBB Commercial Mortgage Securities        
Trust 2016-C1 3.316% 3/15/49 75 77
5 JPMCC Commercial Mortgage Securities        
Trust 2017-JP5 3.723% 3/15/50 400 414

 

 

5 JPMDB Commercial Mortgage Securities        
Trust 2016-C2 3.144% 6/15/49 75 74
5 JPMDB Commercial Mortgage Securities        
Trust 2016-C2 3.484% 6/15/49 50 50
5 LB-UBS Commercial Mortgage Trust 2007-C7 5.866% 9/15/45 463 471
5 LB-UBS Commercial Mortgage Trust 2008-C1 6.126% 4/15/41 143 147
5 Mercedes-Benz Auto Lease Trust 2015-B 1.340% 7/16/18 50 50
5 Mercedes-Benz Auto Lease Trust 2015-B 1.530% 5/17/21 50 50
5 Mercedes-Benz Auto Receivables Trust 2014-        
1 0.870% 10/15/18 12 12
5 Mercedes-Benz Auto Receivables Trust 2015-        
1 1.340% 12/16/19 50 50
5 Mercedes-Benz Auto Receivables Trust 2015-        
1 1.750% 12/15/21 25 25
5 Merrill Lynch Mortgage Trust 2007-C1 5.841% 6/12/50 560 561
5 Merrill Lynch Mortgage Trust 2008-C1 5.690% 2/12/51 307 310
5 ML-CFC Commercial Mortgage Trust 2007-7 5.790% 6/12/50 58 58
5 ML-CFC Commercial Mortgage Trust 2007-9 5.700% 9/12/49 94 95
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2012-C5 3.176% 8/15/45 100 102
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C11 4.170% 8/15/46 40 43
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C11 4.370% 8/15/46 20 22
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C12 3.001% 10/15/46 50 51
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C12 4.259% 10/15/46 100 108
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C7 2.918% 2/15/46 68 69
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C7 3.214% 2/15/46 14 14
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C8 3.134% 12/15/48 100 101
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C8 3.376% 12/15/48 50 51
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C9 3.102% 5/15/46 50 51
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2013-C9 3.456% 5/15/46 50 52
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C14 1.250% 2/15/47 45 45
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C14 2.916% 2/15/47 100 102
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C14 3.669% 2/15/47 110 114
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C14 4.064% 2/15/47 100 106
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C14 4.640% 2/15/47 100 106
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C16 3.477% 6/15/47 25 26
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C16 3.892% 6/15/47 100 105
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C16 4.324% 6/15/47 50 53

 

 

5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C18 3.194% 10/15/47 100 102
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C18 4.442% 10/15/47 50 53
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C19 3.101% 12/15/47 125 128
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C19 3.326% 12/15/47 50 52
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2014-C19 3.526% 12/15/47 75 77
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C20 3.069% 2/15/48 50 51
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C20 3.249% 2/15/48 200 201
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C22 3.040% 4/15/48 100 102
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C22 3.306% 4/15/48 75 76
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C22 3.883% 4/15/48 50 50
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C23 2.982% 7/15/50 75 77
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C23 3.398% 7/15/50 50 52
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C23 3.719% 7/15/50 125 129
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C25 3.383% 10/15/48 125 129
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C25 3.635% 10/15/48 75 77
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C26 3.323% 10/15/48 75 78
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C26 3.531% 10/15/48 75 78
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C27 3.557% 12/15/47 50 52
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2015-C27 3.753% 12/15/47 75 78
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2016-C28 3.288% 1/15/49 100 102
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2016-C28 3.544% 1/15/49 225 231
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2016-C30 2.860% 9/15/49 200 194
5 Morgan Stanley Bank of America Merrill Lynch        
Trust 2016-C31 3.102% 11/15/49 250 245
5 Morgan Stanley Capital I Trust 2007-IQ15 5.942% 6/11/49 146 147
5 Morgan Stanley Capital I Trust 2007-IQ16 5.809% 12/12/49 387 391
5 Morgan Stanley Capital I Trust 2007-IQ16 6.068% 12/12/49 125 128
5 Morgan Stanley Capital I Trust 2007-TOP27 5.791% 6/11/42 134 135
5 Morgan Stanley Capital I Trust 2008-TOP29 6.301% 1/11/43 356 364
5 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 350 360
5 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 75 78
5 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 75 78
5 Morgan Stanley Capital I Trust 2016-BNK2 3.049% 11/15/49 100 98
5 Morgan Stanley Capital I Trust 2016-BNK2 3.282% 11/15/49 83 82
5 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 200 192

 

 

5 Morgan Stanley Capital I Trust 2016-UBS12 3.596% 12/15/49 200 204
5 Nissan Auto Lease Trust 2015-B 1.540% 4/16/18 100 100
5 Nissan Auto Lease Trust 2015-B 1.700% 4/15/21 50 50
5 Nissan Auto Lease Trust 2016-B 1.610% 1/18/22 100 100
5 Nissan Auto Receivables 2013-A Owner Trust 0.750% 7/15/19 34 34
5 Nissan Auto Receivables 2013-B Owner Trust 1.310% 10/15/19 20 20
5 Nissan Auto Receivables 2013-C Owner Trust 0.670% 8/15/18 2 2
5 Nissan Auto Receivables 2013-C Owner Trust 1.300% 6/15/20 25 25
5 Nissan Auto Receivables 2014-A Owner Trust 0.720% 8/15/18 5 5
5 Nissan Auto Receivables 2014-A Owner Trust 1.340% 8/17/20 75 75
5 Nissan Auto Receivables 2014-B Owner Trust 1.110% 5/15/19 25 25
5 Nissan Auto Receivables 2015-A Owner Trust 1.050% 10/15/19 69 69
5 Nissan Auto Receivables 2015-B Owner Trust 1.340% 3/16/20 75 75
5 Nissan Auto Receivables 2015-B Owner Trust 1.790% 1/17/22 50 50
5 Nissan Auto Receivables 2015-C Owner Trust 1.370% 5/15/20 50 50
5 Nissan Auto Receivables 2015-C Owner Trust 1.670% 2/15/22 75 75
5 Nissan Auto Receivables 2016-C Owner Trust 1.180% 1/15/21 100 99
5 Nissan Auto Receivables 2016-C Owner Trust 1.380% 1/17/23 75 73
5 Nissan Master Owner Trust Receivables        
Series 2016-A 1.540% 6/15/21 100 99
Royal Bank of Canada 2.200% 9/23/19 225 226
5 Royal Bank of Canada 2.000% 10/1/19 400 401
Royal Bank of Canada 2.100% 10/14/20 800 797
5 Royal Bank of Canada 1.875% 2/5/21 400 398
Royal Bank of Canada 2.300% 3/22/21 175 175
5 Synchrony Credit Card Master Note Trust        
2014-1 1.610% 11/15/20 100 100
5 Synchrony Credit Card Master Note Trust        
2016-2 2.210% 5/15/24 98 97
5 Synchrony Credit Card Master Note Trust        
2016-3 1.580% 9/15/22 150 149
5 Synchrony Credit Card Master Note Trust        
Series 2012-7 1.760% 9/15/22 148 147
5 TIAA Seasoned Commercial Mortgage Trust        
2007-C4 5.474% 8/15/39 13 13
8 Toronto-Dominion Bank 2.250% 3/15/21 250 249
5 Toyota Auto Receivables 2014-A Owner Trust 1.180% 6/17/19 24 24
5 Toyota Auto Receivables 2014-B Owner Trust 0.760% 3/15/18 5 5
5 Toyota Auto Receivables 2014-B Owner Trust 1.310% 9/16/19 25 25
5 Toyota Auto Receivables 2015-B Owner Trust 1.270% 5/15/19 152 152
5 Toyota Auto Receivables 2015-B Owner Trust 1.740% 9/15/20 125 125
5 Toyota Auto Receivables 2015-C Owner Trust 1.340% 6/17/19 100 100
5 Toyota Auto Receivables 2015-C Owner Trust 1.690% 12/15/20 75 75
5 Toyota Auto Receivables 2016-B Owner Trust 1.300% 4/15/20 50 50
5 Toyota Auto Receivables 2016-B Owner Trust 1.520% 8/16/21 75 74
5 Toyota Auto Receivables 2016-C Owner Trust 1.140% 8/17/20 75 74
5 Toyota Auto Receivables 2016-C Owner Trust 1.320% 11/15/21 50 49
5 UBS-Barclays Commercial Mortgage Trust        
2013-C5 3.185% 3/10/46 104 106
5 UBS-Barclays Commercial Mortgage Trust        
2013-C6 3.244% 4/10/46 165 169
5 UBS-Barclays Commercial Mortgage Trust        
2013-C6 3.469% 4/10/46 25 25
5 USAA Auto Owner Trust 2014-1 0.940% 5/15/19 14 14
5 Volkswagen Auto Loan Enhanced Trust 2014-        
1 0.910% 10/22/18 17 17

 

 

5 Volkswagen Auto Loan Enhanced Trust 2014-        
1 1.450% 9/21/20 50 50
5 Volkswagen Auto Loan Enhanced Trust 2014-        
2 0.950% 4/22/19 69 69
5 Volkswagen Auto Loan Enhanced Trust 2014-        
2 1.390% 5/20/21 75 75
5 Wachovia Bank Commercial Mortgage Trust        
Series 2007-C33 6.053% 2/15/51 26 26
5 Wells Fargo Commercial Mortgage Trust        
2012-LC5 2.918% 10/15/45 70 71
5 Wells Fargo Commercial Mortgage Trust        
2014-LC16 2.819% 8/15/50 50 51
5 Wells Fargo Commercial Mortgage Trust        
2014-LC16 3.817% 8/15/50 75 78
5 Wells Fargo Commercial Mortgage Trust        
2014-LC18 2.954% 12/15/47 100 102
5 Wells Fargo Commercial Mortgage Trust        
2014-LC18 3.271% 12/15/47 75 77
5 Wells Fargo Commercial Mortgage Trust        
2014-LC18 3.405% 12/15/47 125 128
5 Wells Fargo Commercial Mortgage Trust        
2014-LC18 3.808% 12/15/47 75 77
5 Wells Fargo Commercial Mortgage Trust        
2015-C26 2.991% 2/15/48 125 127
5 Wells Fargo Commercial Mortgage Trust        
2015-C26 3.166% 2/15/48 75 75
5 Wells Fargo Commercial Mortgage Trust        
2015-C26 3.580% 2/15/48 50 51
5 Wells Fargo Commercial Mortgage Trust        
2015-C27 3.190% 2/15/48 275 275
5 Wells Fargo Commercial Mortgage Trust        
2015-C28 3.540% 5/15/48 175 179
5 Wells Fargo Commercial Mortgage Trust        
2015-C28 3.872% 5/15/48 31 32
5 Wells Fargo Commercial Mortgage Trust        
2015-C29 3.400% 6/15/48 125 129
5 Wells Fargo Commercial Mortgage Trust        
2015-C29 3.637% 6/15/48 175 180
5 Wells Fargo Commercial Mortgage Trust        
2015-LC20 2.978% 4/15/50 29 29
5 Wells Fargo Commercial Mortgage Trust        
2015-LC20 3.184% 4/15/50 225 224
5 Wells Fargo Commercial Mortgage Trust        
2015-LC20 3.719% 4/15/50 50 50
5 Wells Fargo Commercial Mortgage Trust        
2015-LC22 3.571% 9/15/58 50 52
5 Wells Fargo Commercial Mortgage Trust        
2015-LC22 3.839% 9/15/58 75 78
5 Wells Fargo Commercial Mortgage Trust        
2015-LC22 4.207% 9/15/58 75 79
5 Wells Fargo Commercial Mortgage Trust        
2015-NXS1 2.632% 5/15/48 50 51
5 Wells Fargo Commercial Mortgage Trust        
2015-NXS1 2.934% 5/15/48 50 51
5 Wells Fargo Commercial Mortgage Trust        
2015-NXS1 3.148% 5/15/48 50 50

 

 

5 Wells Fargo Commercial Mortgage Trust        
2015-P2 3.656% 12/15/48 100 104
5 Wells Fargo Commercial Mortgage Trust        
2015-P2 3.809% 12/15/48 50 52
5 Wells Fargo Commercial Mortgage Trust        
2015-SG1 3.789% 9/15/48 100 104
5 Wells Fargo Commercial Mortgage Trust        
2016-BNK1 2.652% 8/15/49 150 143
5 Wells Fargo Commercial Mortgage Trust        
2016-C32 3.324% 1/15/59 58 59
5 Wells Fargo Commercial Mortgage Trust        
2016-C32 3.560% 1/15/59 125 128
5 Wells Fargo Commercial Mortgage Trust        
2016-C33 3.426% 3/15/59 50 51
5 Wells Fargo Commercial Mortgage Trust        
2016-C34 3.096% 6/15/49 75 74
5 Wells Fargo Commercial Mortgage Trust        
2016-C37 3.794% 12/15/49 100 104
5 Wells Fargo Commercial Mortgage Trust        
2016-LC24 2.825% 10/15/49 100 99
5 Wells Fargo Commercial Mortgage Trust        
2016-LC24 2.942% 10/15/49 162 157
5 WFRBS Commercial Mortgage Trust 2012-C6 3.440% 4/15/45 175 182
5 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 125 130
5 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 100 105
5 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 75 77
5 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 140 142
5 WFRBS Commercial Mortgage Trust 2013-        
C11 3.071% 3/15/45 94 96
5 WFRBS Commercial Mortgage Trust 2013-        
C12 3.198% 3/15/48 39 40
5 WFRBS Commercial Mortgage Trust 2013-        
C12 3.560% 3/15/48 18 18
5 WFRBS Commercial Mortgage Trust 2013-        
C13 3.001% 5/15/45 76 77
5 WFRBS Commercial Mortgage Trust 2013-        
C13 3.345% 5/15/45 15 15
5 WFRBS Commercial Mortgage Trust 2013-        
C14 3.337% 6/15/46 150 154
5 WFRBS Commercial Mortgage Trust 2013-        
C14 3.488% 6/15/46 75 77
5 WFRBS Commercial Mortgage Trust 2013-        
C15 3.720% 8/15/46 20 21
5 WFRBS Commercial Mortgage Trust 2013-        
C15 4.153% 8/15/46 100 107
5 WFRBS Commercial Mortgage Trust 2013-        
C15 4.358% 8/15/46 20 21
5 WFRBS Commercial Mortgage Trust 2013-        
C16 3.223% 9/15/46 50 51
5 WFRBS Commercial Mortgage Trust 2013-        
C16 3.963% 9/15/46 30 32
5 WFRBS Commercial Mortgage Trust 2013-        
C16 4.415% 9/15/46 30 33
5 WFRBS Commercial Mortgage Trust 2013-        
C16 4.668% 9/15/46 50 54
5 WFRBS Commercial Mortgage Trust 2013-        
C17 2.921% 12/15/46 25 25

 

 

5 WFRBS Commercial Mortgage Trust 2013-        
C17 3.558% 12/15/46 25 26
5 WFRBS Commercial Mortgage Trust 2013-        
C17 4.023% 12/15/46 25 27
5 WFRBS Commercial Mortgage Trust 2013-        
C17 4.255% 12/15/46 25 27
5 WFRBS Commercial Mortgage Trust 2013-        
C17 4.788% 12/15/46 25 27
5 WFRBS Commercial Mortgage Trust 2014-        
C19 1.233% 3/15/47 11 11
5 WFRBS Commercial Mortgage Trust 2014-        
C19 3.618% 3/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C19 3.660% 3/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C19 4.101% 3/15/47 50 53
5 WFRBS Commercial Mortgage Trust 2014-        
C19 4.723% 3/15/47 25 27
5 WFRBS Commercial Mortgage Trust 2014-        
C20 3.036% 5/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C20 3.638% 5/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C20 3.995% 5/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C20 4.176% 5/15/47 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C21 3.678% 8/15/47 75 78
5 WFRBS Commercial Mortgage Trust 2014-        
C22 3.752% 9/15/57 150 156
5 WFRBS Commercial Mortgage Trust 2014-        
C22 4.371% 9/15/57 25 26
5 WFRBS Commercial Mortgage Trust 2014-        
C23 3.636% 10/15/57 76 80
5 WFRBS Commercial Mortgage Trust 2014-        
C23 3.917% 10/15/57 50 53
5 WFRBS Commercial Mortgage Trust 2014-        
C24 3.428% 11/15/47 65 66
5 WFRBS Commercial Mortgage Trust 2014-        
C24 3.607% 11/15/47 65 67
5 WFRBS Commercial Mortgage Trust 2014-        
LC14 1.193% 3/15/47 19 19
5 WFRBS Commercial Mortgage Trust 2014-        
LC14 2.862% 3/15/47 25 25
5 WFRBS Commercial Mortgage Trust 2014-        
LC14 3.522% 3/15/47 60 62
5 WFRBS Commercial Mortgage Trust 2014-        
LC14 4.045% 3/15/47 140 149
5 WFRBS Commercial Mortgage Trust 2014-        
LC14 4.351% 3/15/47 60 64
5 World Omni Auto Receivables Trust 2013-B 1.320% 1/15/20 24 24
5 World Omni Auto Receivables Trust 2014-A 0.940% 4/15/19 11 11
5 World Omni Auto Receivables Trust 2014-A 1.530% 6/15/20 50 50
5 World Omni Auto Receivables Trust 2014-B 1.140% 1/15/20 42 42
5 World Omni Auto Receivables Trust 2015-B 1.490% 12/15/20 50 50
5 World Omni Auto Receivables Trust 2015-B 1.840% 1/17/22 50 50

 

 

5 World Omni Automobile Lease Securitization        
Trust 2014-A 1.370% 1/15/20 12 12
5 World Omni Automobile Lease Securitization        
Trust 2015-A 1.540% 10/15/18 100 100
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $83,693)   83,888
Corporate Bonds (27.9%)        
Finance (8.7%)        
Banking (6.2%)        
American Express Co. 7.000% 3/19/18 650 683
American Express Co. 3.625% 12/5/24 150 151
American Express Co. 4.050% 12/3/42 67 66
American Express Credit Corp. 2.250% 8/15/19 1,000 1,007
American Express Credit Corp. 2.200% 3/3/20 250 251
American Express Credit Corp. 2.375% 5/26/20 330 332
American Express Credit Corp. 2.600% 9/14/20 300 303
American Express Credit Corp. 2.250% 5/5/21 275 273
American Express Credit Corp. 2.700% 3/3/22 250 250
Australia & New Zealand Banking Group Ltd. 2.000% 11/16/18 300 301
Australia & New Zealand Banking Group Ltd. 1.600% 7/15/19 425 421
Australia & New Zealand Banking Group Ltd. 2.050% 9/23/19 250 250
Australia & New Zealand Banking Group Ltd. 2.700% 11/16/20 300 303
Australia & New Zealand Banking Group Ltd. 2.300% 6/1/21 325 321
Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 250 249
Australia & New Zealand Banking Group Ltd. 3.700% 11/16/25 250 260
Banco Bilbao Vizcaya Argentaria SA 3.000% 10/20/20 250 253
Bank of America Corp. 6.000% 9/1/17 1 1
Bank of America Corp. 6.875% 4/25/18 1,125 1,184
Bank of America Corp. 5.650% 5/1/18 900 936
Bank of America Corp. 6.500% 7/15/18 75 79
Bank of America Corp. 2.600% 1/15/19 1,188 1,200
Bank of America Corp. 2.650% 4/1/19 400 405
Bank of America Corp. 7.625% 6/1/19 300 335
Bank of America Corp. 2.250% 4/21/20 500 498
Bank of America Corp. 2.625% 10/19/20 575 577
Bank of America Corp. 2.625% 4/19/21 755 754
Bank of America Corp. 5.700% 1/24/22 125 140
Bank of America Corp. 2.503% 10/21/22 300 292
Bank of America Corp. 3.300% 1/11/23 650 654
5 Bank of America Corp. 3.124% 1/20/23 145 146
Bank of America Corp. 4.100% 7/24/23 300 314
Bank of America Corp. 4.125% 1/22/24 325 339
Bank of America Corp. 4.000% 4/1/24 725 752
Bank of America Corp. 4.200% 8/26/24 475 486
Bank of America Corp. 4.000% 1/22/25 455 454
Bank of America Corp. 3.950% 4/21/25 500 498
Bank of America Corp. 3.875% 8/1/25 800 814
Bank of America Corp. 4.450% 3/3/26 200 206
Bank of America Corp. 3.500% 4/19/26 100 99
Bank of America Corp. 4.250% 10/22/26 350 355
Bank of America Corp. 3.248% 10/21/27 400 381
5 Bank of America Corp. 3.824% 1/20/28 325 325
Bank of America Corp. 6.110% 1/29/37 435 509
Bank of America Corp. 7.750% 5/14/38 240 330
Bank of America Corp. 5.875% 2/7/42 200 242
Bank of America Corp. 5.000% 1/21/44 600 654
Bank of America Corp. 4.875% 4/1/44 300 322
Bank of America Corp. 4.750% 4/21/45 100 100

 

 

5 Bank of America Corp. 4.443% 1/20/48 100 101
Bank of America NA 1.750% 6/5/18 300 301
Bank of America NA 2.050% 12/7/18 250 251
Bank of America NA 6.000% 10/15/36 250 307
Bank of Montreal 1.400% 4/10/18 250 250
Bank of Montreal 1.800% 7/31/18 250 250
Bank of Montreal 1.350% 8/28/18 100 100
Bank of Montreal 2.375% 1/25/19 150 151
Bank of Montreal 1.500% 7/18/19 400 396
Bank of Montreal 2.100% 12/12/19 175 176
Bank of Montreal 1.900% 8/27/21 325 317
Bank of Montreal 2.550% 11/6/22 150 149
Bank of New York Mellon Corp. 2.100% 1/15/19 250 252
Bank of New York Mellon Corp. 2.200% 5/15/19 275 277
Bank of New York Mellon Corp. 5.450% 5/15/19 200 214
Bank of New York Mellon Corp. 2.300% 9/11/19 500 505
Bank of New York Mellon Corp. 2.600% 8/17/20 175 177
Bank of New York Mellon Corp. 2.450% 11/27/20 150 150
Bank of New York Mellon Corp. 2.050% 5/3/21 250 246
Bank of New York Mellon Corp. 3.550% 9/23/21 300 312
Bank of New York Mellon Corp. 2.600% 2/7/22 200 200
Bank of New York Mellon Corp. 2.200% 8/16/23 225 216
Bank of New York Mellon Corp. 3.250% 9/11/24 150 152
Bank of New York Mellon Corp. 3.000% 2/24/25 250 247
Bank of New York Mellon Corp. 2.800% 5/4/26 200 193
Bank of New York Mellon Corp. 2.450% 8/17/26 125 117
5 Bank of New York Mellon Corp. 3.442% 2/7/28 150 151
Bank of New York Mellon Corp. 3.000% 10/30/28 200 190
Bank of Nova Scotia 1.700% 6/11/18 200 200
Bank of Nova Scotia 1.950% 1/15/19 175 176
Bank of Nova Scotia 2.350% 10/21/20 1,000 1,003
Bank of Nova Scotia 2.450% 3/22/21 230 230
Bank of Nova Scotia 2.800% 7/21/21 420 427
Bank of Nova Scotia 4.500% 12/16/25 300 313
Barclays plc 2.750% 11/8/19 100 101
Barclays plc 2.875% 6/8/20 250 251
Barclays plc 3.250% 1/12/21 300 302
Barclays plc 3.200% 8/10/21 150 150
Barclays plc 3.684% 1/10/23 800 804
Barclays plc 4.375% 9/11/24 200 201
Barclays plc 3.650% 3/16/25 350 341
Barclays plc 4.375% 1/12/26 300 305
Barclays plc 5.200% 5/12/26 225 230
Barclays plc 4.337% 1/10/28 500 501
Barclays plc 5.250% 8/17/45 250 262
Barclays plc 4.950% 1/10/47 200 199
BB&T Corp. 1.450% 1/12/18 250 250
BB&T Corp. 6.850% 4/30/19 400 438
BB&T Corp. 5.250% 11/1/19 100 108
BB&T Corp. 2.450% 1/15/20 130 131
BB&T Corp. 2.050% 5/10/21 225 221
BB&T Corp. 2.750% 4/1/22 175 176
Bear Stearns Cos. LLC 7.250% 2/1/18 525 549
Bear Stearns Cos. LLC 4.650% 7/2/18 340 351
BNP Paribas SA 2.700% 8/20/18 275 278
BNP Paribas SA 2.400% 12/12/18 225 226
BNP Paribas SA 2.450% 3/17/19 75 76

 

 

  BNP Paribas SA 2.375% 5/21/20 375 374
  BNP Paribas SA 5.000% 1/15/21 475 513
  BPCE SA 2.500% 12/10/18 175 176
  BPCE SA 2.500% 7/15/19 250 251
  BPCE SA 2.250% 1/27/20 125 124
  BPCE SA 2.650% 2/3/21 275 274
  BPCE SA 2.750% 12/2/21 250 248
  BPCE SA 4.000% 4/15/24 325 338
  BPCE SA 3.375% 12/2/26 250 246
  Branch Banking & Trust Co. 1.450% 5/10/19 175 173
  Branch Banking & Trust Co. 3.625% 9/16/25 500 512
  Canadian Imperial Bank of Commerce 1.600% 9/6/19 175 173
  Capital One Bank USA NA 2.150% 11/21/18 100 100
  Capital One Bank USA NA 2.300% 6/5/19 400 401
  Capital One Bank USA NA 8.800% 7/15/19 350 399
  Capital One Bank USA NA 3.375% 2/15/23 235 234
  Capital One Financial Corp. 2.450% 4/24/19 200 201
  Capital One Financial Corp. 4.750% 7/15/21 50 54
  Capital One Financial Corp. 3.050% 3/9/22 175 175
  Capital One Financial Corp. 3.500% 6/15/23 27 27
  Capital One Financial Corp. 3.750% 4/24/24 175 178
  Capital One Financial Corp. 4.200% 10/29/25 175 176
  Capital One Financial Corp. 3.750% 7/28/26 500 485
  Capital One NA 2.400% 9/5/19 100 100
  Capital One NA 1.850% 9/13/19 225 223
  Capital One NA 2.250% 9/13/21 175 171
5,8 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 372 425
  Citigroup Inc. 6.125% 5/15/18 314 329
  Citigroup Inc. 2.150% 7/30/18 400 401
  Citigroup Inc. 2.500% 9/26/18 475 479
  Citigroup Inc. 2.050% 12/7/18 500 501
  Citigroup Inc. 2.550% 4/8/19 800 807
  Citigroup Inc. 2.050% 6/7/19 150 150
  Citigroup Inc. 2.450% 1/10/20 350 352
  Citigroup Inc. 2.400% 2/18/20 325 326
  Citigroup Inc. 5.375% 8/9/20 50 55
  Citigroup Inc. 2.700% 3/30/21 675 676
  Citigroup Inc. 2.350% 8/2/21 150 148
  Citigroup Inc. 2.900% 12/8/21 200 200
  Citigroup Inc. 4.500% 1/14/22 1,275 1,365
  Citigroup Inc. 3.375% 3/1/23 150 151
  Citigroup Inc. 3.875% 10/25/23 350 362
  Citigroup Inc. 4.000% 8/5/24 200 202
  Citigroup Inc. 3.875% 3/26/25 350 347
  Citigroup Inc. 3.300% 4/27/25 250 245
  Citigroup Inc. 4.400% 6/10/25 1,400 1,426
  Citigroup Inc. 5.500% 9/13/25 75 82
  Citigroup Inc. 4.600% 3/9/26 275 282
  Citigroup Inc. 3.400% 5/1/26 25 24
  Citigroup Inc. 3.200% 10/21/26 350 335
  Citigroup Inc. 4.300% 11/20/26 75 76
  Citigroup Inc. 4.450% 9/29/27 1,000 1,015
5 Citigroup Inc. 3.887% 1/10/28 325 326
  Citigroup Inc. 4.125% 7/25/28 250 247
  Citigroup Inc. 6.625% 6/15/32 100 122
  Citigroup Inc. 6.125% 8/25/36 75 87
  Citigroup Inc. 8.125% 7/15/39 562 826

 

 

Citigroup Inc. 5.875% 1/30/42 100 121
Citigroup Inc. 5.300% 5/6/44 375 401
Citigroup Inc. 4.650% 7/30/45 200 207
Citizens Bank NA 1.600% 12/4/17 100 100
Citizens Bank NA 2.300% 12/3/18 125 125
Citizens Bank NA 2.450% 12/4/19 100 101
Citizens Bank NA 2.250% 3/2/20 175 175
Citizens Bank NA 2.550% 5/13/21 200 199
Citizens Financial Group Inc. 4.300% 12/3/25 125 129
Comerica Bank 4.000% 7/27/25 50 50
Commonwealth Bank of Australia 1.750% 11/2/18 175 175
Commonwealth Bank of Australia 2.050% 3/15/19 125 125
Commonwealth Bank of Australia 2.300% 9/6/19 100 101
Commonwealth Bank of Australia 2.400% 11/2/20 350 349
Commonwealth Bank of Australia 2.550% 3/15/21 175 175
Compass Bank 1.850% 9/29/17 100 100
Compass Bank 2.750% 9/29/19 100 100
Cooperatieve Rabobank UA 2.250% 1/14/19 500 503
Cooperatieve Rabobank UA 2.250% 1/14/20 250 251
Cooperatieve Rabobank UA 4.500% 1/11/21 150 161
Cooperatieve Rabobank UA 2.500% 1/19/21 600 600
Cooperatieve Rabobank UA 2.750% 1/10/22 250 252
Cooperatieve Rabobank UA 3.875% 2/8/22 525 553
Cooperatieve Rabobank UA 3.950% 11/9/22 125 128
Cooperatieve Rabobank UA 4.625% 12/1/23 175 184
Cooperatieve Rabobank UA 3.375% 5/21/25 275 277
Cooperatieve Rabobank UA 4.375% 8/4/25 600 613
Cooperatieve Rabobank UA 3.750% 7/21/26 225 219
Cooperatieve Rabobank UA 5.250% 5/24/41 100 116
Cooperatieve Rabobank UA 5.750% 12/1/43 250 287
Cooperatieve Rabobank UA 5.250% 8/4/45 350 376
Credit Suisse AG 1.700% 4/27/18 100 100
Credit Suisse AG 2.300% 5/28/19 400 401
Credit Suisse AG 5.300% 8/13/19 175 188
Credit Suisse AG 5.400% 1/14/20 325 349
Credit Suisse AG 3.000% 10/29/21 600 605
Credit Suisse AG 3.625% 9/9/24 650 660
8 Credit Suisse Group AG 3.574% 1/9/23 500 499
8 Credit Suisse Group AG 4.282% 1/9/28 250 249
Credit Suisse Group Funding Guernsey Ltd. 2.750% 3/26/20 250 251
Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 250 251
Credit Suisse Group Funding Guernsey Ltd. 3.450% 4/16/21 275 279
Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22 300 304
Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 550 550
Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 250 246
Credit Suisse Group Funding Guernsey Ltd. 4.875% 5/15/45 375 380
Deutsche Bank AG 2.500% 2/13/19 150 150
Deutsche Bank AG 2.950% 8/20/20 100 100
Deutsche Bank AG 3.125% 1/13/21 100 100
8 Deutsche Bank AG 4.250% 10/14/21 700 718
Deutsche Bank AG 3.700% 5/30/24 225 221
Deutsche Bank AG 4.100% 1/13/26 100 100
Discover Bank 3.200% 8/9/21 100 101
Discover Bank 4.200% 8/8/23 300 312
Discover Bank 3.450% 7/27/26 100 96
Discover Financial Services 3.850% 11/21/22 200 204
Discover Financial Services 3.950% 11/6/24 375 378

 

 

Discover Financial Services 3.750% 3/4/25 100 98
Fifth Third Bancorp 3.500% 3/15/22 125 128
Fifth Third Bancorp 4.300% 1/16/24 275 288
Fifth Third Bancorp 8.250% 3/1/38 225 320
Fifth Third Bank 2.150% 8/20/18 575 578
Fifth Third Bank 2.300% 3/15/19 250 252
Fifth Third Bank 1.625% 9/27/19 125 124
Fifth Third Bank 2.250% 6/14/21 300 296
Fifth Third Bank 3.850% 3/15/26 200 202
First Horizon National Corp. 3.500% 12/15/20 100 102
First Niagara Financial Group Inc. 6.750% 3/19/20 50 56
First Republic Bank 4.375% 8/1/46 75 72
FirstMerit Bank NA 4.270% 11/25/26 150 152
FirstMerit Corp. 4.350% 2/4/23 50 52
Goldman Sachs Capital I 6.345% 2/15/34 225 268
Goldman Sachs Group Inc. 6.150% 4/1/18 200 209
Goldman Sachs Group Inc. 2.625% 1/31/19 450 455
Goldman Sachs Group Inc. 7.500% 2/15/19 75 82
Goldman Sachs Group Inc. 2.550% 10/23/19 450 454
Goldman Sachs Group Inc. 2.300% 12/13/19 600 600
Goldman Sachs Group Inc. 5.375% 3/15/20 475 514
Goldman Sachs Group Inc. 2.600% 4/23/20 775 779
Goldman Sachs Group Inc. 6.000% 6/15/20 480 532
Goldman Sachs Group Inc. 2.750% 9/15/20 275 277
Goldman Sachs Group Inc. 2.875% 2/25/21 500 504
Goldman Sachs Group Inc. 2.625% 4/25/21 200 199
Goldman Sachs Group Inc. 5.250% 7/27/21 475 521
Goldman Sachs Group Inc. 2.350% 11/15/21 500 490
Goldman Sachs Group Inc. 5.750% 1/24/22 1,175 1,323
Goldman Sachs Group Inc. 3.000% 4/26/22 525 526
Goldman Sachs Group Inc. 3.625% 1/22/23 375 384
Goldman Sachs Group Inc. 4.000% 3/3/24 525 544
Goldman Sachs Group Inc. 3.850% 7/8/24 175 179
Goldman Sachs Group Inc. 3.500% 1/23/25 450 448
Goldman Sachs Group Inc. 4.250% 10/21/25 200 204
Goldman Sachs Group Inc. 3.750% 2/25/26 200 201
Goldman Sachs Group Inc. 3.500% 11/16/26 1,250 1,223
Goldman Sachs Group Inc. 5.950% 1/15/27 400 457
Goldman Sachs Group Inc. 3.850% 1/26/27 350 352
Goldman Sachs Group Inc. 6.125% 2/15/33 125 151
Goldman Sachs Group Inc. 6.450% 5/1/36 225 269
Goldman Sachs Group Inc. 6.750% 10/1/37 975 1,204
Goldman Sachs Group Inc. 6.250% 2/1/41 675 847
Goldman Sachs Group Inc. 4.800% 7/8/44 200 211
Goldman Sachs Group Inc. 5.150% 5/22/45 475 498
Goldman Sachs Group Inc. 4.750% 10/21/45 200 211
HSBC Bank USA NA 4.875% 8/24/20 250 268
HSBC Bank USA NA 5.625% 8/15/35 250 291
HSBC Bank USA NA 7.000% 1/15/39 250 334
HSBC Holdings plc 5.100% 4/5/21 625 679
HSBC Holdings plc 2.950% 5/25/21 600 601
HSBC Holdings plc 2.650% 1/5/22 500 493
HSBC Holdings plc 4.875% 1/14/22 160 173
HSBC Holdings plc 4.000% 3/30/22 290 305
5 HSBC Holdings plc 3.262% 3/13/23 400 402
HSBC Holdings plc 3.600% 5/25/23 200 203
HSBC Holdings plc 4.250% 3/14/24 250 253

 

 

HSBC Holdings plc 4.250% 8/18/25 150 151
HSBC Holdings plc 4.300% 3/8/26 1,100 1,142
HSBC Holdings plc 3.900% 5/25/26 450 455
HSBC Holdings plc 4.375% 11/23/26 350 353
5 HSBC Holdings plc 4.041% 3/13/28 400 404
HSBC Holdings plc 7.625% 5/17/32 100 131
HSBC Holdings plc 7.350% 11/27/32 100 127
HSBC Holdings plc 6.500% 5/2/36 500 610
HSBC Holdings plc 6.500% 9/15/37 550 677
HSBC Holdings plc 6.800% 6/1/38 200 255
HSBC Holdings plc 5.250% 3/14/44 250 268
HSBC USA Inc. 2.000% 8/7/18 300 300
HSBC USA Inc. 2.625% 9/24/18 50 50
HSBC USA Inc. 2.375% 11/13/19 400 402
HSBC USA Inc. 2.350% 3/5/20 275 276
HSBC USA Inc. 2.750% 8/7/20 150 152
HSBC USA Inc. 5.000% 9/27/20 300 322
HSBC USA Inc. 3.500% 6/23/24 100 102
Huntington Bancshares Inc. 2.600% 8/2/18 50 50
Huntington Bancshares Inc. 7.000% 12/15/20 25 29
Huntington Bancshares Inc. 3.150% 3/14/21 175 178
Huntington Bancshares Inc. 2.300% 1/14/22 200 195
Huntington National Bank 1.375% 4/24/17 200 200
Huntington National Bank 2.000% 6/30/18 250 251
Huntington National Bank 2.200% 11/6/18 175 176
Huntington National Bank 2.375% 3/10/20 250 251
Huntington National Bank 2.400% 4/1/20 150 150
ING Groep NV 3.150% 3/29/22 200 200
ING Groep NV 3.950% 3/29/27 300 300
Intesa Sanpaolo SPA 3.875% 1/15/19 185 189
Intesa Sanpaolo SPA 5.250% 1/12/24 225 237
JPMorgan Chase & Co. 1.700% 3/1/18 570 570
JPMorgan Chase & Co. 1.625% 5/15/18 275 275
JPMorgan Chase & Co. 2.350% 1/28/19 175 177
JPMorgan Chase & Co. 6.300% 4/23/19 775 842
JPMorgan Chase & Co. 2.250% 1/23/20 476 478
JPMorgan Chase & Co. 2.750% 6/23/20 1,015 1,027
JPMorgan Chase & Co. 4.400% 7/22/20 475 506
JPMorgan Chase & Co. 4.250% 10/15/20 250 265
JPMorgan Chase & Co. 2.550% 3/1/21 350 350
JPMorgan Chase & Co. 4.625% 5/10/21 300 323
JPMorgan Chase & Co. 2.400% 6/7/21 275 274
JPMorgan Chase & Co. 2.295% 8/15/21 125 124
JPMorgan Chase & Co. 4.350% 8/15/21 205 219
JPMorgan Chase & Co. 4.500% 1/24/22 25 27
JPMorgan Chase & Co. 3.250% 9/23/22 750 763
JPMorgan Chase & Co. 2.972% 1/15/23 445 445
JPMorgan Chase & Co. 3.200% 1/25/23 750 757
JPMorgan Chase & Co. 3.375% 5/1/23 300 300
JPMorgan Chase & Co. 2.700% 5/18/23 250 244
JPMorgan Chase & Co. 3.875% 9/10/24 500 507
JPMorgan Chase & Co. 3.125% 1/23/25 400 393
JPMorgan Chase & Co. 3.900% 7/15/25 300 310
JPMorgan Chase & Co. 3.300% 4/1/26 635 622
JPMorgan Chase & Co. 3.200% 6/15/26 300 291
JPMorgan Chase & Co. 2.950% 10/1/26 525 500
JPMorgan Chase & Co. 4.125% 12/15/26 450 459

 

 

JPMorgan Chase & Co. 3.625% 12/1/27 1,000 970
5 JPMorgan Chase & Co. 3.782% 2/1/28 1,225 1,237
JPMorgan Chase & Co. 6.400% 5/15/38 450 580
JPMorgan Chase & Co. 5.500% 10/15/40 250 292
JPMorgan Chase & Co. 5.600% 7/15/41 450 537
JPMorgan Chase & Co. 5.400% 1/6/42 150 175
JPMorgan Chase & Co. 5.625% 8/16/43 300 342
JPMorgan Chase & Co. 4.950% 6/1/45 100 105
5 JPMorgan Chase & Co. 4.260% 2/22/48 300 299
JPMorgan Chase Bank NA 1.450% 9/21/18 40 40
JPMorgan Chase Bank NA 1.650% 9/23/19 300 298
KeyBank NA 1.700% 6/1/18 250 250
KeyBank NA 2.500% 12/15/19 100 101
KeyBank NA 2.250% 3/16/20 500 501
KeyBank NA 3.300% 6/1/25 125 125
KeyCorp 2.300% 12/13/18 125 126
KeyCorp 5.100% 3/24/21 25 27
Lloyds Bank plc 1.750% 5/14/18 100 100
Lloyds Bank plc 2.300% 11/27/18 225 226
Lloyds Bank plc 2.050% 1/22/19 400 400
Lloyds Bank plc 2.400% 3/17/20 50 50
Lloyds Bank plc 6.375% 1/21/21 175 198
Lloyds Banking Group plc 3.000% 1/11/22 500 498
Lloyds Banking Group plc 4.582% 12/10/25 700 712
Lloyds Banking Group plc 3.750% 1/11/27 200 196
Lloyds Banking Group plc 5.300% 12/1/45 200 212
Manufacturers & Traders Trust Co. 2.300% 1/30/19 550 555
Manufacturers & Traders Trust Co. 2.250% 7/25/19 100 101
Manufacturers & Traders Trust Co. 2.100% 2/6/20 175 175
Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 700 706
Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 400 391
Mitsubishi UFJ Financial Group Inc. 2.527% 9/13/23 100 97
Mitsubishi UFJ Financial Group Inc. 3.850% 3/1/26 525 540
Mitsubishi UFJ Financial Group Inc. 2.757% 9/13/26 250 235
Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 500 506
Morgan Stanley 5.550% 4/27/17 50 50
Morgan Stanley 6.625% 4/1/18 450 471
Morgan Stanley 2.125% 4/25/18 425 427
Morgan Stanley 2.200% 12/7/18 250 251
Morgan Stanley 2.500% 1/24/19 150 151
Morgan Stanley 7.300% 5/13/19 525 580
Morgan Stanley 2.375% 7/23/19 400 402
Morgan Stanley 5.625% 9/23/19 900 972
Morgan Stanley 5.500% 1/26/20 275 298
Morgan Stanley 2.650% 1/27/20 250 252
Morgan Stanley 2.800% 6/16/20 1,050 1,062
Morgan Stanley 5.500% 7/24/20 175 191
Morgan Stanley 5.750% 1/25/21 250 277
Morgan Stanley 2.500% 4/21/21 250 249
Morgan Stanley 5.500% 7/28/21 75 83
Morgan Stanley 2.625% 11/17/21 500 497
Morgan Stanley 4.875% 11/1/22 425 459
Morgan Stanley 3.750% 2/25/23 675 697
Morgan Stanley 4.100% 5/22/23 350 361
Morgan Stanley 3.875% 4/29/24 545 561
Morgan Stanley 3.700% 10/23/24 650 660
Morgan Stanley 4.000% 7/23/25 230 237

 

 

Morgan Stanley 5.000% 11/24/25 300 322
Morgan Stanley 3.875% 1/27/26 225 228
Morgan Stanley 3.125% 7/27/26 700 669
Morgan Stanley 6.250% 8/9/26 450 531
Morgan Stanley 4.350% 9/8/26 975 994
Morgan Stanley 3.625% 1/20/27 350 347
Morgan Stanley 3.950% 4/23/27 325 322
Morgan Stanley 7.250% 4/1/32 150 204
Morgan Stanley 6.375% 7/24/42 325 415
Morgan Stanley 4.300% 1/27/45 500 495
Morgan Stanley 4.375% 1/22/47 350 351
MUFG Americas Holdings Corp. 1.625% 2/9/18 200 200
MUFG Americas Holdings Corp. 2.250% 2/10/20 200 200
MUFG Americas Holdings Corp. 3.500% 6/18/22 175 179
MUFG Americas Holdings Corp. 3.000% 2/10/25 100 97
MUFG Union Bank NA 2.125% 6/16/17 50 50
MUFG Union Bank NA 2.625% 9/26/18 125 126
MUFG Union Bank NA 2.250% 5/6/19 300 301
National Australia Bank Ltd. 2.300% 7/25/18 175 176
National Australia Bank Ltd. 2.000% 1/14/19 200 200
National Australia Bank Ltd. 1.375% 7/12/19 175 172
National Australia Bank Ltd. 1.875% 7/12/21 175 170
National Australia Bank Ltd. 3.000% 1/20/23 250 250
National Australia Bank Ltd. 3.375% 1/14/26 100 101
National Australia Bank Ltd. 2.500% 7/12/26 200 187
National Bank of Canada 1.450% 11/7/17 100 100
National City Corp. 6.875% 5/15/19 100 110
Northern Trust Corp. 3.450% 11/4/20 100 105
Northern Trust Corp. 3.375% 8/23/21 100 104
Northern Trust Corp. 3.950% 10/30/25 150 158
People's United Bank NA 4.000% 7/15/24 100 100
People's United Financial Inc. 3.650% 12/6/22 100 102
PNC Bank NA 1.600% 6/1/18 150 150
PNC Bank NA 1.800% 11/5/18 200 200
PNC Bank NA 1.700% 12/7/18 100 100
PNC Bank NA 1.950% 3/4/19 150 150
PNC Bank NA 2.250% 7/2/19 600 604
PNC Bank NA 2.400% 10/18/19 75 76
PNC Bank NA 2.300% 6/1/20 150 150
PNC Bank NA 2.450% 11/5/20 180 181
PNC Bank NA 2.150% 4/29/21 250 247
PNC Bank NA 2.550% 12/9/21 100 100
PNC Bank NA 2.625% 2/17/22 175 175
PNC Bank NA 3.300% 10/30/24 200 202
PNC Bank NA 2.950% 2/23/25 150 148
PNC Bank NA 3.250% 6/1/25 100 101
PNC Financial Services Group Inc. 3.900% 4/29/24 625 648
PNC Funding Corp. 6.700% 6/10/19 25 27
PNC Funding Corp. 5.125% 2/8/20 150 162
PNC Funding Corp. 4.375% 8/11/20 475 506
PNC Funding Corp. 3.300% 3/8/22 440 453
Regions Bank 6.450% 6/26/37 250 282
Regions Financial Corp. 3.200% 2/8/21 100 102
Royal Bank of Canada 1.800% 7/30/18 575 576
Royal Bank of Canada 1.625% 4/15/19 125 124
Royal Bank of Canada 1.500% 7/29/19 375 371
Royal Bank of Canada 2.125% 3/2/20 1,200 1,201

 

 

Royal Bank of Canada 2.500% 1/19/21 200 201
Royal Bank of Canada 2.750% 2/1/22 300 303
Royal Bank of Canada 4.650% 1/27/26 250 264
Royal Bank of Scotland Group plc 3.875% 9/12/23 800 787
Santander Bank NA 8.750% 5/30/18 75 80
Santander Holdings USA Inc. 3.450% 8/27/18 50 51
Santander Holdings USA Inc. 2.700% 5/24/19 300 301
8 Santander Holdings USA Inc. 3.700% 3/28/22 500 501
Santander Holdings USA Inc. 4.500% 7/17/25 125 127
Santander Issuances SAU 5.179% 11/19/25 450 466
Santander UK Group Holdings plc 2.875% 10/16/20 300 300
Santander UK Group Holdings plc 3.125% 1/8/21 250 252
Santander UK Group Holdings plc 2.875% 8/5/21 225 223
Santander UK Group Holdings plc 3.571% 1/10/23 200 200
Santander UK plc 3.050% 8/23/18 150 152
Santander UK plc 2.500% 3/14/19 950 957
Santander UK plc 2.350% 9/10/19 175 176
Santander UK plc 2.375% 3/16/20 150 150
Santander UK plc 4.000% 3/13/24 150 157
Skandinaviska Enskilda Banken AB 2.300% 3/11/20 250 250
Skandinaviska Enskilda Banken AB 2.625% 3/15/21 300 301
Skandinaviska Enskilda Banken AB 1.875% 9/13/21 250 243
Skandinaviska Enskilda Banken AB 2.800% 3/11/22 250 250
Societe Generale SA 2.625% 10/1/18 125 126
State Street Corp. 4.956% 3/15/18 275 283
State Street Corp. 1.350% 5/15/18 275 274
State Street Corp. 1.950% 5/19/21 125 123
State Street Corp. 3.100% 5/15/23 150 151
State Street Corp. 3.700% 11/20/23 83 87
State Street Corp. 3.550% 8/18/25 225 231
State Street Corp. 2.650% 5/19/26 125 120
Sumitomo Mitsui Banking Corp. 1.950% 7/23/18 250 250
Sumitomo Mitsui Banking Corp. 1.762% 10/19/18 250 249
Sumitomo Mitsui Banking Corp. 2.450% 1/10/19 150 151
Sumitomo Mitsui Banking Corp. 1.966% 1/11/19 250 250
Sumitomo Mitsui Banking Corp. 2.250% 7/11/19 250 250
Sumitomo Mitsui Banking Corp. 2.450% 10/20/20 200 199
Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 250 253
Sumitomo Mitsui Banking Corp. 3.950% 7/19/23 100 105
Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 250 262
Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 250 253
Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 340 342
Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 250 243
Sumitomo Mitsui Financial Group Inc. 2.442% 10/19/21 475 468
Sumitomo Mitsui Financial Group Inc. 2.846% 1/11/22 250 250
Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26 150 153
Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 125 116
Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 175 168
SunTrust Bank 2.250% 1/31/20 200 201
SunTrust Bank 3.300% 5/15/26 200 194
SunTrust Banks Inc. 2.350% 11/1/18 40 40
SunTrust Banks Inc. 2.500% 5/1/19 300 303
SunTrust Banks Inc. 2.900% 3/3/21 75 76
SunTrust Banks Inc. 2.700% 1/27/22 125 125
SVB Financial Group 3.500% 1/29/25 100 98
Svenska Handelsbanken AB 2.500% 1/25/19 225 227
Svenska Handelsbanken AB 2.250% 6/17/19 225 226

 

 

Svenska Handelsbanken AB 1.500% 9/6/19 350 345
Svenska Handelsbanken AB 2.450% 3/30/21 300 299
Svenska Handelsbanken AB 1.875% 9/7/21 350 340
Synchrony Financial 2.600% 1/15/19 175 176
Synchrony Financial 2.700% 2/3/20 425 427
Synchrony Financial 4.250% 8/15/24 250 256
Synchrony Financial 4.500% 7/23/25 500 514
Synchrony Financial 3.700% 8/4/26 125 121
Toronto-Dominion Bank 1.400% 4/30/18 250 250
Toronto-Dominion Bank 1.750% 7/23/18 350 351
Toronto-Dominion Bank 2.625% 9/10/18 300 304
Toronto-Dominion Bank 2.125% 7/2/19 100 101
Toronto-Dominion Bank 1.450% 8/13/19 200 198
Toronto-Dominion Bank 2.250% 11/5/19 500 503
Toronto-Dominion Bank 2.500% 12/14/20 100 101
Toronto-Dominion Bank 2.125% 4/7/21 175 173
Toronto-Dominion Bank 1.800% 7/13/21 150 146
UBS AG 1.375% 6/1/17 225 225
UBS AG 5.750% 4/25/18 100 104
UBS AG 2.375% 8/14/19 604 608
UBS AG 2.350% 3/26/20 175 175
UBS AG 4.875% 8/4/20 50 54
US Bancorp 1.950% 11/15/18 325 327
US Bancorp 2.200% 4/25/19 100 101
US Bancorp 2.350% 1/29/21 175 175
US Bancorp 4.125% 5/24/21 250 266
US Bancorp 2.625% 1/24/22 200 201
US Bancorp 3.000% 3/15/22 125 127
US Bancorp 2.950% 7/15/22 400 404
US Bancorp 3.600% 9/11/24 50 51
US Bancorp 3.100% 4/27/26 300 294
US Bank NA 2.125% 10/28/19 1,000 1,004
US Bank NA 2.800% 1/27/25 500 490
Wachovia Bank NA 5.850% 2/1/37 300 361
Wachovia Corp. 6.605% 10/1/25 590 698
Wells Fargo & Co. 2.600% 7/22/20 350 353
Wells Fargo & Co. 2.550% 12/7/20 350 352
Wells Fargo & Co. 2.500% 3/4/21 350 349
Wells Fargo & Co. 4.600% 4/1/21 1,325 1,424
Wells Fargo & Co. 2.100% 7/26/21 350 343
Wells Fargo & Co. 3.500% 3/8/22 450 466
Wells Fargo & Co. 3.069% 1/24/23 1,500 1,507
Wells Fargo & Co. 3.300% 9/9/24 400 401
Wells Fargo & Co. 3.000% 2/19/25 100 98
Wells Fargo & Co. 3.000% 4/22/26 525 504
Wells Fargo & Co. 4.100% 6/3/26 575 587
Wells Fargo & Co. 3.000% 10/23/26 625 598
Wells Fargo & Co. 4.300% 7/22/27 325 338
Wells Fargo & Co. 5.375% 2/7/35 200 232
Wells Fargo & Co. 5.375% 11/2/43 300 334
Wells Fargo & Co. 5.606% 1/15/44 600 687
Wells Fargo & Co. 4.650% 11/4/44 325 327
Wells Fargo & Co. 3.900% 5/1/45 500 479
Wells Fargo & Co. 4.900% 11/17/45 250 259
Wells Fargo & Co. 4.400% 6/14/46 300 290
Wells Fargo Bank NA 1.750% 5/24/19 275 274
Wells Fargo Bank NA 2.150% 12/6/19 500 502

 

 

Wells Fargo Bank NA 5.950% 8/26/36 200 242
Wells Fargo Bank NA 6.600% 1/15/38 225 295
Westpac Banking Corp. 2.250% 7/30/18 325 327
Westpac Banking Corp. 1.950% 11/23/18 200 200
Westpac Banking Corp. 2.250% 1/17/19 225 226
Westpac Banking Corp. 1.650% 5/13/19 200 199
Westpac Banking Corp. 1.600% 8/19/19 275 272
Westpac Banking Corp. 4.875% 11/19/19 250 267
Westpac Banking Corp. 2.150% 3/6/20 300 300
Westpac Banking Corp. 2.600% 11/23/20 250 252
Westpac Banking Corp. 2.100% 5/13/21 1,000 982
Westpac Banking Corp. 2.000% 8/19/21 275 268
Westpac Banking Corp. 2.800% 1/11/22 250 251
Westpac Banking Corp. 2.850% 5/13/26 400 385
Westpac Banking Corp. 2.700% 8/19/26 175 166
Westpac Banking Corp. 3.350% 3/8/27 250 248
5 Westpac Banking Corp. 4.322% 11/23/31 500 505
 
Brokerage (0.2%)        
Affiliated Managers Group Inc. 4.250% 2/15/24 100 104
Affiliated Managers Group Inc. 3.500% 8/1/25 125 122
Ameriprise Financial Inc. 5.300% 3/15/20 125 136
Ameriprise Financial Inc. 4.000% 10/15/23 150 159
Ameriprise Financial Inc. 3.700% 10/15/24 100 103
Apollo Investment Corp. 5.250% 3/3/25 50 50
BGC Partners Inc. 5.375% 12/9/19 50 52
BGC Partners Inc. 5.125% 5/27/21 50 52
BlackRock Inc. 5.000% 12/10/19 160 173
BlackRock Inc. 4.250% 5/24/21 125 134
BlackRock Inc. 3.375% 6/1/22 125 130
BlackRock Inc. 3.500% 3/18/24 225 235
BlackRock Inc. 3.200% 3/15/27 100 100
Brookfield Asset Management Inc. 4.000% 1/15/25 105 106
Brookfield Finance Inc. 4.250% 6/2/26 50 50
Brookfield Finance LLC 4.000% 4/1/24 125 126
CBOE Holdings Inc. 3.650% 1/12/27 85 85
Charles Schwab Corp. 3.225% 9/1/22 300 306
Charles Schwab Corp. 3.200% 3/2/27 250 249
CME Group Inc. 3.000% 9/15/22 125 127
CME Group Inc. 3.000% 3/15/25 125 125
CME Group Inc. 5.300% 9/15/43 125 149
E*TRADE Financial Corp. 5.375% 11/15/22 100 105
E*TRADE Financial Corp. 4.625% 9/15/23 75 76
Eaton Vance Corp. 3.625% 6/15/23 50 51
Franklin Resources Inc. 4.625% 5/20/20 50 53
Franklin Resources Inc. 2.800% 9/15/22 225 226
Intercontinental Exchange Inc. 2.500% 10/15/18 25 25
Intercontinental Exchange Inc. 2.750% 12/1/20 350 355
Intercontinental Exchange Inc. 4.000% 10/15/23 150 159
Intercontinental Exchange Inc. 3.750% 12/1/25 300 310
Invesco Finance plc 3.125% 11/30/22 175 177
Invesco Finance plc 4.000% 1/30/24 100 105
Invesco Finance plc 3.750% 1/15/26 170 175
Invesco Finance plc 5.375% 11/30/43 75 85
Janus Capital Group Inc. 4.875% 8/1/25 75 80
Jefferies Group LLC 5.125% 4/13/18 150 155
Jefferies Group LLC 8.500% 7/15/19 25 28

 

 

Jefferies Group LLC 6.875% 4/15/21 155 177
Jefferies Group LLC 5.125% 1/20/23 100 107
Jefferies Group LLC 4.850% 1/15/27 200 205
Jefferies Group LLC 6.450% 6/8/27 50 57
Jefferies Group LLC 6.250% 1/15/36 75 79
Jefferies Group LLC 6.500% 1/20/43 75 81
Lazard Group LLC 3.750% 2/13/25 50 50
Lazard Group LLC 3.625% 3/1/27 100 98
Legg Mason Inc. 4.750% 3/15/26 100 105
Legg Mason Inc. 5.625% 1/15/44 100 102
Leucadia National Corp. 5.500% 10/18/23 150 159
Leucadia National Corp. 6.625% 10/23/43 25 25
Nasdaq Inc. 5.550% 1/15/20 175 189
Nasdaq Inc. 4.250% 6/1/24 75 78
Nomura Holdings Inc. 2.750% 3/19/19 250 252
Nomura Holdings Inc. 6.700% 3/4/20 200 222
OM Asset Management plc 4.800% 7/27/26 100 100
Raymond James Financial Inc. 4.950% 7/15/46 50 49
Stifel Financial Corp. 3.500% 12/1/20 50 51
Stifel Financial Corp. 4.250% 7/18/24 150 151
TD Ameritrade Holding Corp. 5.600% 12/1/19 50 54
TD Ameritrade Holding Corp. 2.950% 4/1/22 125 126
TD Ameritrade Holding Corp. 3.625% 4/1/25 100 102
 
Finance Companies (0.3%)        
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 3.500% 5/26/22 100 101
AerCap Ireland Capital DAC / AerCap Global        
Aviation Trust 4.625% 7/1/22 175 185
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 3.750% 5/15/19 155 159
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 4.250% 7/1/20 350 364
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 4.625% 10/30/20 150 158
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 4.500% 5/15/21 150 157
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 5.000% 10/1/21 200 213
AerCap Ireland Capital Ltd. / AerCap Global        
Aviation Trust 3.950% 2/1/22 125 128
Air Lease Corp. 2.625% 9/4/18 100 101
Air Lease Corp. 3.375% 1/15/19 125 127
Air Lease Corp. 4.750% 3/1/20 75 80
Air Lease Corp. 3.875% 4/1/21 75 78
Air Lease Corp. 3.375% 6/1/21 100 102
Air Lease Corp. 3.750% 2/1/22 300 308
Air Lease Corp. 4.250% 9/15/24 75 78
Air Lease Corp. 3.625% 4/1/27 75 73
Ares Capital Corp. 4.875% 11/30/18 125 129
Ares Capital Corp. 3.875% 1/15/20 100 102
FS Investment Corp. 4.000% 7/15/19 75 76
FS Investment Corp. 4.750% 5/15/22 100 102
GATX Corp. 2.375% 7/30/18 40 40
GATX Corp. 2.500% 7/30/19 50 50
GATX Corp. 3.250% 3/30/25 125 121
GATX Corp. 3.250% 9/15/26 50 48

 

 

GATX Corp. 3.850% 3/30/27 175 175
GATX Corp. 4.500% 3/30/45 50 46
GE Capital International Funding Co. 2.342% 11/15/20 1,637 1,644
GE Capital International Funding Co. 3.373% 11/15/25 558 572
GE Capital International Funding Co. 4.418% 11/15/35 2,068 2,183
HSBC Finance Corp. 6.676% 1/15/21 465 525
International Lease Finance Corp. 3.875% 4/15/18 110 112
8 International Lease Finance Corp. 7.125% 9/1/18 226 242
International Lease Finance Corp. 5.875% 4/1/19 133 142
International Lease Finance Corp. 6.250% 5/15/19 222 239
International Lease Finance Corp. 8.250% 12/15/20 200 235
International Lease Finance Corp. 4.625% 4/15/21 89 93
International Lease Finance Corp. 8.625% 1/15/22 115 141
International Lease Finance Corp. 5.875% 8/15/22 160 178
Prospect Capital Corp. 5.000% 7/15/19 50 51
Prospect Capital Corp. 5.875% 3/15/23 40 41
 
Insurance (1.3%)        
ACE Capital Trust II 9.700% 4/1/30 50 74
AEGON Funding Co. LLC 5.750% 12/15/20 81 89
Aetna Inc. 1.700% 6/7/18 300 300
Aetna Inc. 2.200% 3/15/19 60 60
Aetna Inc. 2.750% 11/15/22 200 200
Aetna Inc. 2.800% 6/15/23 225 223
Aetna Inc. 3.500% 11/15/24 125 128
Aetna Inc. 6.625% 6/15/36 130 170
Aetna Inc. 6.750% 12/15/37 100 134
Aetna Inc. 4.500% 5/15/42 75 78
Aetna Inc. 4.125% 11/15/42 75 74
Aflac Inc. 2.400% 3/16/20 100 101
Aflac Inc. 4.000% 2/15/22 50 53
Aflac Inc. 3.625% 6/15/23 125 130
Aflac Inc. 3.625% 11/15/24 125 129
Aflac Inc. 3.250% 3/17/25 75 75
Aflac Inc. 2.875% 10/15/26 325 313
Aflac Inc. 4.000% 10/15/46 50 47
Alleghany Corp. 5.625% 9/15/20 100 110
Alleghany Corp. 4.900% 9/15/44 100 102
Allied World Assurance Co. Holdings Ltd. 5.500% 11/15/20 50 54
Allied World Assurance Co. Holdings Ltd. 4.350% 10/29/25 75 74
Allstate Corp. 3.150% 6/15/23 350 356
Allstate Corp. 5.550% 5/9/35 75 90
Allstate Corp. 4.500% 6/15/43 125 133
Allstate Corp. 4.200% 12/15/46 275 280
5 Allstate Corp. 5.750% 8/15/53 75 80
5 Allstate Corp. 6.500% 5/15/67 100 114
Alterra Finance LLC 6.250% 9/30/20 55 61
American Financial Group Inc. 9.875% 6/15/19 50 58
American Financial Group Inc. 3.500% 8/15/26 50 49
American International Group Inc. 3.375% 8/15/20 125 128
American International Group Inc. 6.400% 12/15/20 385 436
American International Group Inc. 4.875% 6/1/22 250 271
American International Group Inc. 4.125% 2/15/24 170 175
American International Group Inc. 3.875% 1/15/35 200 183
American International Group Inc. 4.700% 7/10/35 75 76
American International Group Inc. 6.250% 5/1/36 475 563
American International Group Inc. 4.500% 7/16/44 500 477

 

 

American International Group Inc. 4.375% 1/15/55 125 111
5 American International Group Inc. 8.175% 5/15/68 95 121
Anthem Inc. 2.250% 8/15/19 150 151
Anthem Inc. 4.350% 8/15/20 100 106
Anthem Inc. 3.700% 8/15/21 125 129
Anthem Inc. 3.125% 5/15/22 150 151
Anthem Inc. 3.300% 1/15/23 475 479
Anthem Inc. 3.500% 8/15/24 125 126
Anthem Inc. 5.950% 12/15/34 75 86
Anthem Inc. 5.850% 1/15/36 125 145
Anthem Inc. 6.375% 6/15/37 110 135
Anthem Inc. 4.625% 5/15/42 175 178
Anthem Inc. 4.650% 1/15/43 175 179
Anthem Inc. 5.100% 1/15/44 100 108
Anthem Inc. 4.850% 8/15/54 50 52
Aon Corp. 5.000% 9/30/20 200 216
Aon Corp. 8.205% 1/1/27 25 32
Aon Corp. 6.250% 9/30/40 100 119
Aon plc 3.500% 6/14/24 100 100
Aon plc 3.875% 12/15/25 200 204
Aon plc 4.450% 5/24/43 50 47
Aon plc 4.600% 6/14/44 175 169
Aon plc 4.750% 5/15/45 100 100
Arch Capital Finance LLC 4.011% 12/15/26 100 103
Arch Capital Finance LLC 5.031% 12/15/46 100 107
Arch Capital Group Ltd. 7.350% 5/1/34 50 66
Arch Capital Group US Inc. 5.144% 11/1/43 50 54
Aspen Insurance Holdings Ltd. 4.650% 11/15/23 175 184
Assurant Inc. 4.000% 3/15/23 100 101
Assurant Inc. 6.750% 2/15/34 50 60
Assured Guaranty US Holdings Inc. 5.000% 7/1/24 75 81
AXA SA 8.600% 12/15/30 225 312
AXIS Specialty Finance LLC 5.875% 6/1/20 75 82
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 550 574
Berkshire Hathaway Finance Corp. 2.000% 8/15/18 50 50
Berkshire Hathaway Finance Corp. 1.700% 3/15/19 150 150
Berkshire Hathaway Finance Corp. 1.300% 8/15/19 200 198
Berkshire Hathaway Finance Corp. 2.900% 10/15/20 275 284
Berkshire Hathaway Finance Corp. 4.250% 1/15/21 125 134
Berkshire Hathaway Finance Corp. 3.000% 5/15/22 150 154
Berkshire Hathaway Finance Corp. 5.750% 1/15/40 75 93
Berkshire Hathaway Finance Corp. 4.400% 5/15/42 125 131
Berkshire Hathaway Inc. 1.150% 8/15/18 200 199
Berkshire Hathaway Inc. 2.100% 8/14/19 125 126
Berkshire Hathaway Inc. 3.000% 2/11/23 125 127
Berkshire Hathaway Inc. 2.750% 3/15/23 450 450
Berkshire Hathaway Inc. 3.125% 3/15/26 725 723
Berkshire Hathaway Inc. 4.500% 2/11/43 150 161
Black Knight InfoServ LLC / Black Knight        
Lending Solutions Inc. 5.750% 4/15/23 65 68
Brown & Brown Inc. 4.200% 9/15/24 100 103
Chubb Corp. 5.750% 5/15/18 50 52
Chubb Corp. 6.000% 5/11/37 125 159
Chubb Corp. 6.500% 5/15/38 50 67
Chubb INA Holdings Inc. 5.900% 6/15/19 25 27
Chubb INA Holdings Inc. 2.875% 11/3/22 150 151
Chubb INA Holdings Inc. 2.700% 3/13/23 125 124

 

 

Chubb INA Holdings Inc. 3.350% 5/15/24 100 102
Chubb INA Holdings Inc. 3.150% 3/15/25 250 251
Chubb INA Holdings Inc. 3.350% 5/3/26 375 379
Chubb INA Holdings Inc. 4.150% 3/13/43 100 102
Chubb INA Holdings Inc. 4.350% 11/3/45 400 422
Cigna Corp. 5.125% 6/15/20 50 54
Cigna Corp. 4.375% 12/15/20 45 48
Cigna Corp. 4.500% 3/15/21 50 53
Cigna Corp. 4.000% 2/15/22 125 131
Cigna Corp. 3.250% 4/15/25 450 445
Cigna Corp. 7.875% 5/15/27 50 67
Cigna Corp. 5.375% 2/15/42 75 87
Cincinnati Financial Corp. 6.125% 11/1/34 150 180
CNA Financial Corp. 7.350% 11/15/19 25 28
CNA Financial Corp. 5.875% 8/15/20 75 83
CNA Financial Corp. 5.750% 8/15/21 75 84
CNA Financial Corp. 4.500% 3/1/26 225 238
Coventry Health Care Inc. 5.450% 6/15/21 100 111
Endurance Specialty Holdings Ltd. 7.000% 7/15/34 75 91
Enstar Group Ltd. 4.500% 3/10/22 50 50
Everest Reinsurance Holdings Inc. 4.868% 6/1/44 100 100
First American Financial Corp. 4.600% 11/15/24 100 101
Hanover Insurance Group Inc. 4.500% 4/15/26 100 104
Hartford Financial Services Group Inc. 6.000% 1/15/19 25 27
Hartford Financial Services Group Inc. 5.125% 4/15/22 150 166
Hartford Financial Services Group Inc. 5.950% 10/15/36 50 58
Hartford Financial Services Group Inc. 4.300% 4/15/43 175 169
Humana Inc. 7.200% 6/15/18 100 106
Humana Inc. 3.850% 10/1/24 150 154
Humana Inc. 3.950% 3/15/27 200 205
Humana Inc. 8.150% 6/15/38 175 243
Humana Inc. 4.625% 12/1/42 75 76
Humana Inc. 4.800% 3/15/47 75 78
Kemper Corp. 4.350% 2/15/25 50 50
Lincoln National Corp. 6.250% 2/15/20 25 27
Lincoln National Corp. 4.850% 6/24/21 50 54
Lincoln National Corp. 4.200% 3/15/22 50 53
Lincoln National Corp. 4.000% 9/1/23 50 52
Lincoln National Corp. 3.625% 12/12/26 200 199
Lincoln National Corp. 6.150% 4/7/36 10 12
Lincoln National Corp. 6.300% 10/9/37 75 90
Lincoln National Corp. 7.000% 6/15/40 160 207
Loews Corp. 2.625% 5/15/23 75 73
Loews Corp. 6.000% 2/1/35 50 60
Loews Corp. 4.125% 5/15/43 175 168
Manulife Financial Corp. 4.900% 9/17/20 275 296
Manulife Financial Corp. 4.150% 3/4/26 175 185
5 Manulife Financial Corp. 4.061% 2/24/32 220 221
Manulife Financial Corp. 5.375% 3/4/46 100 116
Markel Corp. 4.900% 7/1/22 125 135
Markel Corp. 5.000% 3/30/43 50 51
Markel Corp. 5.000% 4/5/46 100 103
Marsh & McLennan Cos. Inc. 2.350% 3/6/20 500 502
Marsh & McLennan Cos. Inc. 4.800% 7/15/21 295 320
Marsh & McLennan Cos. Inc. 3.500% 6/3/24 100 102
Marsh & McLennan Cos. Inc. 3.500% 3/10/25 100 102
Marsh & McLennan Cos. Inc. 3.750% 3/14/26 100 103

 

 

Mercury General Corp. 4.400% 3/15/27 75 75
MetLife Inc. 6.817% 8/15/18 25 27
MetLife Inc. 7.717% 2/15/19 50 55
MetLife Inc. 4.750% 2/8/21 550 596
MetLife Inc. 3.048% 12/15/22 225 228
MetLife Inc. 3.600% 4/10/24 175 181
MetLife Inc. 3.000% 3/1/25 250 245
MetLife Inc. 3.600% 11/13/25 500 511
MetLife Inc. 6.500% 12/15/32 175 225
MetLife Inc. 6.375% 6/15/34 100 128
MetLife Inc. 5.700% 6/15/35 200 240
MetLife Inc. 5.875% 2/6/41 25 31
MetLife Inc. 4.125% 8/13/42 125 122
MetLife Inc. 4.875% 11/13/43 175 191
MetLife Inc. 4.721% 12/15/44 63 67
MetLife Inc. 4.600% 5/13/46 120 127
5 MetLife Inc. 6.400% 12/15/66 210 230
Montpelier Re Holdings Ltd. 4.700% 10/15/22 100 106
Old Republic International Corp. 4.875% 10/1/24 125 132
Old Republic International Corp. 3.875% 8/26/26 100 99
PartnerRe Finance B LLC 5.500% 6/1/20 100 109
Primerica Inc. 4.750% 7/15/22 25 27
Principal Financial Group Inc. 3.300% 9/15/22 50 51
Principal Financial Group Inc. 3.125% 5/15/23 100 100
Principal Financial Group Inc. 3.100% 11/15/26 100 97
Principal Financial Group Inc. 4.625% 9/15/42 50 53
Principal Financial Group Inc. 4.350% 5/15/43 50 51
Principal Financial Group Inc. 4.300% 11/15/46 75 75
5 Principal Financial Group Inc. 4.700% 5/15/55 65 66
Progressive Corp. 3.750% 8/23/21 75 79
Progressive Corp. 2.450% 1/15/27 150 141
Progressive Corp. 6.625% 3/1/29 125 161
Progressive Corp. 4.350% 4/25/44 50 52
Prudential Financial Inc. 2.300% 8/15/18 25 25
Prudential Financial Inc. 5.375% 6/21/20 100 110
Prudential Financial Inc. 4.500% 11/15/20 325 349
Prudential Financial Inc. 4.500% 11/16/21 75 81
Prudential Financial Inc. 3.500% 5/15/24 125 129
Prudential Financial Inc. 5.750% 7/15/33 100 117
Prudential Financial Inc. 5.400% 6/13/35 100 114
Prudential Financial Inc. 5.900% 3/17/36 150 178
Prudential Financial Inc. 5.700% 12/14/36 125 148
Prudential Financial Inc. 6.625% 12/1/37 175 225
Prudential Financial Inc. 6.625% 6/21/40 300 390
5 Prudential Financial Inc. 5.875% 9/15/42 175 190
5 Prudential Financial Inc. 5.625% 6/15/43 375 402
Prudential Financial Inc. 5.100% 8/15/43 50 56
5 Prudential Financial Inc. 5.200% 3/15/44 85 87
Prudential Financial Inc. 4.600% 5/15/44 125 132
5 Prudential Financial Inc. 5.375% 5/15/45 250 262
Reinsurance Group of America Inc. 6.450% 11/15/19 75 83
Reinsurance Group of America Inc. 5.000% 6/1/21 75 82
Reinsurance Group of America Inc. 4.700% 9/15/23 75 81
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 75 93
Torchmark Corp. 3.800% 9/15/22 50 52
Transatlantic Holdings Inc. 8.000% 11/30/39 175 230
Travelers Cos. Inc. 5.900% 6/2/19 300 327

 

 

Travelers Cos. Inc. 3.900% 11/1/20 125 132
Travelers Cos. Inc. 6.250% 6/15/37 150 195
Travelers Cos. Inc. 4.300% 8/25/45 150 157
UnitedHealth Group Inc. 1.900% 7/16/18 250 251
UnitedHealth Group Inc. 1.700% 2/15/19 200 200
UnitedHealth Group Inc. 1.625% 3/15/19 100 100
UnitedHealth Group Inc. 2.300% 12/15/19 125 126
UnitedHealth Group Inc. 2.700% 7/15/20 250 255
UnitedHealth Group Inc. 4.700% 2/15/21 75 81
UnitedHealth Group Inc. 2.125% 3/15/21 225 223
UnitedHealth Group Inc. 3.375% 11/15/21 100 104
UnitedHealth Group Inc. 2.875% 12/15/21 125 127
UnitedHealth Group Inc. 3.350% 7/15/22 180 186
UnitedHealth Group Inc. 2.750% 2/15/23 175 175
UnitedHealth Group Inc. 2.875% 3/15/23 25 25
UnitedHealth Group Inc. 3.750% 7/15/25 450 470
UnitedHealth Group Inc. 3.100% 3/15/26 225 223
UnitedHealth Group Inc. 3.450% 1/15/27 75 76
UnitedHealth Group Inc. 3.375% 4/15/27 350 353
UnitedHealth Group Inc. 4.625% 7/15/35 175 191
UnitedHealth Group Inc. 6.500% 6/15/37 50 65
UnitedHealth Group Inc. 6.625% 11/15/37 125 166
UnitedHealth Group Inc. 6.875% 2/15/38 245 335
UnitedHealth Group Inc. 5.950% 2/15/41 60 76
UnitedHealth Group Inc. 4.625% 11/15/41 110 117
UnitedHealth Group Inc. 4.375% 3/15/42 50 52
UnitedHealth Group Inc. 3.950% 10/15/42 175 170
UnitedHealth Group Inc. 4.250% 3/15/43 125 127
UnitedHealth Group Inc. 4.750% 7/15/45 305 337
UnitedHealth Group Inc. 4.200% 1/15/47 135 137
UnitedHealth Group Inc. 4.250% 4/15/47 500 510
Unum Group 5.625% 9/15/20 50 55
Unum Group 3.000% 5/15/21 100 101
Unum Group 4.000% 3/15/24 50 51
Unum Group 5.750% 8/15/42 25 28
Voya Financial Inc. 5.700% 7/15/43 75 83
Voya Financial Inc. 4.800% 6/15/46 100 99
WR Berkley Corp. 5.375% 9/15/20 175 191
XLIT Ltd. 5.750% 10/1/21 105 116
XLIT Ltd. 4.450% 3/31/25 100 101
XLIT Ltd. 6.250% 5/15/27 125 147
XLIT Ltd. 5.500% 3/31/45 100 100
 
Real Estate Investment Trusts (0.7%)        
Alexandria Real Estate Equities Inc. 2.750% 1/15/20 100 100
Alexandria Real Estate Equities Inc. 4.600% 4/1/22 125 133
Alexandria Real Estate Equities Inc. 3.950% 1/15/27 75 75
Alexandria Real Estate Equities Inc. 3.950% 1/15/28 50 50
Alexandria Real Estate Equities Inc. 4.500% 7/30/29 100 103
American Campus Communities Operating        
Partnership LP 3.350% 10/1/20 50 51
American Campus Communities Operating        
Partnership LP 4.125% 7/1/24 100 104
AvalonBay Communities Inc. 2.850% 3/15/23 25 25
AvalonBay Communities Inc. 4.200% 12/15/23 75 79
AvalonBay Communities Inc. 3.450% 6/1/25 300 301
AvalonBay Communities Inc. 2.950% 5/11/26 150 144

 

 

AvalonBay Communities Inc. 2.900% 10/15/26 50 47
Boston Properties LP 5.625% 11/15/20 325 358
Boston Properties LP 4.125% 5/15/21 75 79
Boston Properties LP 3.850% 2/1/23 225 233
Boston Properties LP 3.125% 9/1/23 275 273
Boston Properties LP 3.650% 2/1/26 100 99
Boston Properties LP 2.750% 10/1/26 50 46
Brandywine Operating Partnership LP 4.950% 4/15/18 250 257
Brixmor Operating Partnership LP 3.875% 8/15/22 100 102
Brixmor Operating Partnership LP 3.850% 2/1/25 125 124
Brixmor Operating Partnership LP 4.125% 6/15/26 200 200
Brixmor Operating Partnership LP 3.900% 3/15/27 75 74
Care Capital Properties LP 5.125% 8/15/26 25 25
CBL & Associates LP 5.250% 12/1/23 100 97
CBL & Associates LP 4.600% 10/15/24 100 92
Columbia Property Trust Operating        
Partnership LP 4.150% 4/1/25 100 102
Columbia Property Trust Operating        
Partnership LP 3.650% 8/15/26 25 24
Corporate Office Properties LP 3.700% 6/15/21 50 51
Corporate Office Properties LP 3.600% 5/15/23 150 147
CubeSmart LP 4.375% 12/15/23 100 104
CubeSmart LP 4.000% 11/15/25 50 51
CubeSmart LP 3.125% 9/1/26 100 94
DCT Industrial Operating Partnership LP 4.500% 10/15/23 50 52
DDR Corp. 4.750% 4/15/18 25 26
DDR Corp. 3.500% 1/15/21 75 76
DDR Corp. 4.625% 7/15/22 200 210
DDR Corp. 3.375% 5/15/23 275 266
DDR Corp. 3.625% 2/1/25 200 192
DDR Corp. 4.250% 2/1/26 70 69
Digital Realty Trust LP 5.250% 3/15/21 75 81
Digital Realty Trust LP 3.950% 7/1/22 75 78
Digital Realty Trust LP 3.625% 10/1/22 575 589
Duke Realty LP 3.250% 6/30/26 175 169
EPR Properties 5.750% 8/15/22 25 27
EPR Properties 5.250% 7/15/23 125 131
EPR Properties 4.500% 4/1/25 50 50
EPR Properties 4.750% 12/15/26 100 101
ERP Operating LP 4.750% 7/15/20 50 53
ERP Operating LP 4.625% 12/15/21 129 139
ERP Operating LP 3.000% 4/15/23 125 124
ERP Operating LP 3.375% 6/1/25 125 124
ERP Operating LP 2.850% 11/1/26 50 47
ERP Operating LP 4.500% 7/1/44 150 152
ERP Operating LP 4.500% 6/1/45 125 128
Essex Portfolio LP 5.200% 3/15/21 50 54
Essex Portfolio LP 3.375% 1/15/23 175 175
Essex Portfolio LP 3.250% 5/1/23 25 25
Essex Portfolio LP 3.500% 4/1/25 100 100
Essex Portfolio LP 3.375% 4/15/26 100 97
Federal Realty Investment Trust 2.750% 6/1/23 25 24
Federal Realty Investment Trust 4.500% 12/1/44 300 305
HCP Inc. 3.750% 2/1/19 50 51
HCP Inc. 2.625% 2/1/20 375 377
HCP Inc. 5.375% 2/1/21 15 16
HCP Inc. 3.150% 8/1/22 75 75

 

 

HCP Inc. 4.000% 12/1/22 210 217
HCP Inc. 4.250% 11/15/23 250 258
HCP Inc. 3.400% 2/1/25 75 73
HCP Inc. 6.750% 2/1/41 100 123
Healthcare Trust of America Holdings LP 3.375% 7/15/21 100 102
Healthcare Trust of America Holdings LP 3.700% 4/15/23 25 25
Healthcare Trust of America Holdings LP 3.500% 8/1/26 100 96
Highwoods Realty LP 3.200% 6/15/21 100 101
Hospitality Properties Trust 4.650% 3/15/24 140 143
Hospitality Properties Trust 5.250% 2/15/26 100 105
Hospitality Properties Trust 4.950% 2/15/27 100 103
Host Hotels & Resorts LP 6.000% 10/1/21 100 111
Host Hotels & Resorts LP 4.750% 3/1/23 50 53
Host Hotels & Resorts LP 3.750% 10/15/23 336 338
Host Hotels & Resorts LP 3.875% 4/1/24 75 76
Host Hotels & Resorts LP 4.000% 6/15/25 50 50
Kilroy Realty LP 4.800% 7/15/18 175 180
Kilroy Realty LP 3.800% 1/15/23 200 205
Kimco Realty Corp. 6.875% 10/1/19 50 56
Kimco Realty Corp. 3.125% 6/1/23 25 25
Kimco Realty Corp. 2.800% 10/1/26 125 115
Kimco Realty Corp. 3.800% 4/1/27 375 374
Kimco Realty Corp. 4.125% 12/1/46 50 46
Kite Realty Group LP 4.000% 10/1/26 200 193
Liberty Property LP 3.375% 6/15/23 50 50
Liberty Property LP 4.400% 2/15/24 100 106
Liberty Property LP 3.750% 4/1/25 325 329
LifeStorage LP 3.500% 7/1/26 325 310
Mack-Cali Realty LP 4.500% 4/18/22 75 76
Mid-America Apartments LP 4.300% 10/15/23 150 158
Mid-America Apartments LP 3.750% 6/15/24 50 51
National Retail Properties Inc. 3.800% 10/15/22 200 208
Omega Healthcare Investors Inc. 4.375% 8/1/23 500 506
Omega Healthcare Investors Inc. 4.950% 4/1/24 100 103
Omega Healthcare Investors Inc. 4.500% 1/15/25 100 100
Omega Healthcare Investors Inc. 5.250% 1/15/26 100 104
Omega Healthcare Investors Inc. 4.500% 4/1/27 300 294
Omega Healthcare Investors Inc. 4.750% 1/15/28 70 69
Physicians Realty LP 4.300% 3/15/27 150 150
Piedmont Operating Partnership LP 3.400% 6/1/23 50 48
ProLogis LP 2.750% 2/15/19 150 152
Realty Income Corp. 6.750% 8/15/19 200 221
Realty Income Corp. 3.250% 10/15/22 50 51
Realty Income Corp. 3.875% 7/15/24 50 51
Realty Income Corp. 4.125% 10/15/26 100 103
Realty Income Corp. 3.000% 1/15/27 100 94
Realty Income Corp. 4.650% 3/15/47 150 153
Regency Centers LP 4.400% 2/1/47 100 98
Select Income REIT 4.150% 2/1/22 100 100
Select Income REIT 4.500% 2/1/25 50 50
Senior Housing Properties Trust 3.250% 5/1/19 100 101
Senior Housing Properties Trust 4.750% 5/1/24 100 102
Simon Property Group LP 2.200% 2/1/19 575 578
Simon Property Group LP 5.650% 2/1/20 75 82
Simon Property Group LP 4.375% 3/1/21 125 133
Simon Property Group LP 2.500% 7/15/21 120 120
Simon Property Group LP 4.125% 12/1/21 250 265

 

 

Simon Property Group LP 2.350% 1/30/22 150 148
Simon Property Group LP 3.375% 3/15/22 100 103
Simon Property Group LP 2.750% 2/1/23 25 25
Simon Property Group LP 3.750% 2/1/24 150 155
Simon Property Group LP 3.500% 9/1/25 100 101
Simon Property Group LP 3.300% 1/15/26 175 173
Simon Property Group LP 3.250% 11/30/26 150 147
Simon Property Group LP 4.750% 3/15/42 75 79
Simon Property Group LP 4.250% 11/30/46 200 193
Tanger Properties LP 3.875% 12/1/23 25 25
Tanger Properties LP 3.125% 9/1/26 175 163
UDR Inc. 4.250% 6/1/18 125 128
UDR Inc. 3.700% 10/1/20 25 26
UDR Inc. 4.625% 1/10/22 50 53
UDR Inc. 2.950% 9/1/26 150 140
Ventas Realty LP 3.750% 5/1/24 200 202
Ventas Realty LP 4.125% 1/15/26 75 76
Ventas Realty LP 3.250% 10/15/26 75 71
Ventas Realty LP 3.850% 4/1/27 50 50
Ventas Realty LP 5.700% 9/30/43 75 85
Ventas Realty LP / Ventas Capital Corp. 4.000% 4/30/19 150 155
Ventas Realty LP / Ventas Capital Corp. 4.750% 6/1/21 250 268
Ventas Realty LP / Ventas Capital Corp. 3.250% 8/15/22 200 201
Washington Prime Group LP 3.850% 4/1/20 50 50
Washington REIT 4.950% 10/1/20 25 27
Washington REIT 3.950% 10/15/22 75 76
Weingarten Realty Investors 3.375% 10/15/22 50 50
Weingarten Realty Investors 3.500% 4/15/23 100 100
Welltower Inc. 4.125% 4/1/19 200 207
Welltower Inc. 4.950% 1/15/21 75 80
Welltower Inc. 5.250% 1/15/22 100 110
Welltower Inc. 3.750% 3/15/23 75 77
Welltower Inc. 4.000% 6/1/25 200 203
Welltower Inc. 4.250% 4/1/26 150 154
Welltower Inc. 6.500% 3/15/41 25 31
WP Carey Inc. 4.600% 4/1/24 75 78
WP Carey Inc. 4.000% 2/1/25 50 49
WP Carey Inc. 4.250% 10/1/26 75 74
        262,559
Industrial (17.1%)        
Basic Industry (1.0%)        
Agrium Inc. 6.750% 1/15/19 100 108
Agrium Inc. 3.500% 6/1/23 299 301
Agrium Inc. 3.375% 3/15/25 250 247
Agrium Inc. 4.125% 3/15/35 250 241
Agrium Inc. 6.125% 1/15/41 25 30
Agrium Inc. 4.900% 6/1/43 50 52
Agrium Inc. 5.250% 1/15/45 200 219
Air Products & Chemicals Inc. 3.000% 11/3/21 75 77
Air Products & Chemicals Inc. 2.750% 2/3/23 50 50
Air Products & Chemicals Inc. 3.350% 7/31/24 75 77
Airgas Inc. 3.050% 8/1/20 100 103
Airgas Inc. 3.650% 7/15/24 100 104
Albemarle Corp. 4.150% 12/1/24 75 78
Albemarle Corp. 5.450% 12/1/44 75 83
Barrick Gold Corp. 4.100% 5/1/23 157 167
Barrick North America Finance LLC 4.400% 5/30/21 31 33

 

 

Barrick North America Finance LLC 5.700% 5/30/41 450 513
Barrick North America Finance LLC 5.750% 5/1/43 150 174
Barrick PD Australia Finance Pty Ltd. 5.950% 10/15/39 50 57
BHP Billiton Finance USA Ltd. 2.875% 2/24/22 176 179
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 100 106
BHP Billiton Finance USA Ltd. 4.125% 2/24/42 150 150
BHP Billiton Finance USA Ltd. 5.000% 9/30/43 575 644
Celulosa Arauco y Constitucion SA 5.000% 1/21/21 25 26
Celulosa Arauco y Constitucion SA 4.750% 1/11/22 75 79
Domtar Corp. 6.250% 9/1/42 25 25
Domtar Corp. 6.750% 2/15/44 100 106
Dow Chemical Co. 8.550% 5/15/19 325 368
Dow Chemical Co. 4.250% 11/15/20 125 132
Dow Chemical Co. 4.125% 11/15/21 566 600
Dow Chemical Co. 3.500% 10/1/24 50 51
Dow Chemical Co. 7.375% 11/1/29 25 34
Dow Chemical Co. 4.250% 10/1/34 50 50
Dow Chemical Co. 9.400% 5/15/39 350 551
Dow Chemical Co. 5.250% 11/15/41 100 110
Eastman Chemical Co. 5.500% 11/15/19 175 190
Eastman Chemical Co. 2.700% 1/15/20 150 152
Eastman Chemical Co. 4.500% 1/15/21 6 6
Eastman Chemical Co. 3.600% 8/15/22 49 51
Eastman Chemical Co. 4.800% 9/1/42 225 230
Eastman Chemical Co. 4.650% 10/15/44 150 151
Ecolab Inc. 4.350% 12/8/21 200 216
Ecolab Inc. 2.700% 11/1/26 200 190
EI du Pont de Nemours & Co. 6.000% 7/15/18 275 290
EI du Pont de Nemours & Co. 4.625% 1/15/20 400 426
EI du Pont de Nemours & Co. 2.800% 2/15/23 125 124
EI du Pont de Nemours & Co. 6.500% 1/15/28 100 124
EI du Pont de Nemours & Co. 4.900% 1/15/41 200 217
EI du Pont de Nemours & Co. 4.150% 2/15/43 175 171
Fibria Overseas Finance Ltd. 5.250% 5/12/24 100 103
FMC Corp. 3.950% 2/1/22 50 51
FMC Corp. 4.100% 2/1/24 250 256
Georgia-Pacific LLC 8.000% 1/15/24 250 320
Georgia-Pacific LLC 7.375% 12/1/25 100 127
Georgia-Pacific LLC 8.875% 5/15/31 250 381
Goldcorp Inc. 3.700% 3/15/23 200 204
Goldcorp Inc. 5.450% 6/9/44 100 106
International Flavors & Fragrances Inc. 3.200% 5/1/23 25 25
International Paper Co. 7.500% 8/15/21 450 536
International Paper Co. 3.650% 6/15/24 100 102
International Paper Co. 3.800% 1/15/26 75 76
International Paper Co. 3.000% 2/15/27 200 187
International Paper Co. 5.000% 9/15/35 100 107
International Paper Co. 7.300% 11/15/39 100 130
International Paper Co. 4.800% 6/15/44 200 199
International Paper Co. 5.150% 5/15/46 200 209
International Paper Co. 4.400% 8/15/47 300 282
LYB International Finance BV 5.250% 7/15/43 200 218
LYB International Finance II BV 3.500% 3/2/27 100 98
LyondellBasell Industries NV 5.000% 4/15/19 275 290
LyondellBasell Industries NV 6.000% 11/15/21 175 198
LyondellBasell Industries NV 5.750% 4/15/24 175 200
LyondellBasell Industries NV 4.625% 2/26/55 425 400

 

 

Meadwestvaco Corp. 7.950% 2/15/31 125 168
Methanex Corp. 3.250% 12/15/19 200 201
Monsanto Co. 2.125% 7/15/19 100 100
Monsanto Co. 2.750% 7/15/21 200 200
Monsanto Co. 5.500% 8/15/25 325 367
Monsanto Co. 4.200% 7/15/34 100 99
Monsanto Co. 5.875% 4/15/38 75 87
Monsanto Co. 3.950% 4/15/45 200 182
Monsanto Co. 4.700% 7/15/64 300 279
Mosaic Co. 3.750% 11/15/21 150 155
Mosaic Co. 5.450% 11/15/33 100 105
Mosaic Co. 5.625% 11/15/43 100 103
Newmont Mining Corp. 5.875% 4/1/35 100 110
Newmont Mining Corp. 4.875% 3/15/42 250 251
Nucor Corp. 5.850% 6/1/18 150 157
Nucor Corp. 6.400% 12/1/37 100 127
Nucor Corp. 5.200% 8/1/43 200 227
Packaging Corp. of America 3.900% 6/15/22 100 104
Packaging Corp. of America 4.500% 11/1/23 350 374
Placer Dome Inc. 6.450% 10/15/35 75 87
Plum Creek Timberlands LP 4.700% 3/15/21 75 80
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 125 132
Potash Corp. of Saskatchewan Inc. 3.000% 4/1/25 250 237
Potash Corp. of Saskatchewan Inc. 4.000% 12/15/26 100 102
Potash Corp. of Saskatchewan Inc. 5.625% 12/1/40 275 308
PPG Industries Inc. 2.300% 11/15/19 300 303
Praxair Inc. 4.500% 8/15/19 50 53
Praxair Inc. 3.000% 9/1/21 75 77
Praxair Inc. 2.450% 2/15/22 450 450
Praxair Inc. 2.200% 8/15/22 200 196
Praxair Inc. 3.550% 11/7/42 50 48
Rayonier Inc. 3.750% 4/1/22 50 50
Reliance Steel & Aluminum Co. 4.500% 4/15/23 75 78
Rio Tinto Alcan Inc. 6.125% 12/15/33 225 256
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 218 249
Rio Tinto Finance USA Ltd. 3.750% 9/20/21 300 314
Rio Tinto Finance USA Ltd. 3.750% 6/15/25 820 849
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 75 98
Rio Tinto Finance USA Ltd. 5.200% 11/2/40 125 143
Rio Tinto Finance USA plc 3.500% 3/22/22 10 10
Rio Tinto Finance USA plc 2.875% 8/21/22 10 10
Rio Tinto Finance USA plc 4.750% 3/22/42 150 163
Rohm & Haas Co. 7.850% 7/15/29 250 349
RPM International Inc. 6.125% 10/15/19 25 27
RPM International Inc. 3.450% 11/15/22 100 101
RPM International Inc. 3.750% 3/15/27 50 50
Sherwin-Williams Co. 3.450% 8/1/25 225 226
Sherwin-Williams Co. 4.550% 8/1/45 90 91
Southern Copper Corp. 5.375% 4/16/20 75 81
Southern Copper Corp. 3.500% 11/8/22 400 401
Southern Copper Corp. 3.875% 4/23/25 50 50
Southern Copper Corp. 7.500% 7/27/35 100 122
Southern Copper Corp. 6.750% 4/16/40 125 141
Southern Copper Corp. 5.875% 4/23/45 700 728
Syngenta Finance NV 3.125% 3/28/22 100 100
Syngenta Finance NV 4.375% 3/28/42 50 46
Vale Overseas Ltd. 5.625% 9/15/19 75 80

 

 

Vale Overseas Ltd. 5.875% 6/10/21 500 535
Vale Overseas Ltd. 4.375% 1/11/22 700 714
Vale Overseas Ltd. 6.250% 8/10/26 300 324
Vale Overseas Ltd. 8.250% 1/17/34 50 59
Vale Overseas Ltd. 6.875% 11/21/36 275 295
Vale Overseas Ltd. 6.875% 11/10/39 450 480
Vale SA 5.625% 9/11/42 300 283
Valspar Corp. 7.250% 6/15/19 100 110
Valspar Corp. 3.950% 1/15/26 200 203
8 Westlake Chemical Corp. 3.600% 8/15/26 500 490
8 Westlake Chemical Corp. 5.000% 8/15/46 200 205
WestRock RKT Co. 3.500% 3/1/20 150 154
WestRock RKT Co. 4.900% 3/1/22 100 108
Weyerhaeuser Co. 7.375% 10/1/19 250 280
Weyerhaeuser Co. 8.500% 1/15/25 50 66
Weyerhaeuser Co. 7.375% 3/15/32 100 131
Weyerhaeuser Co. 6.875% 12/15/33 50 61
Yamana Gold Inc. 4.950% 7/15/24 110 111
 
Capital Goods (1.4%)        
3M Co. 1.375% 8/7/18 100 100
3M Co. 2.000% 8/7/20 100 101
3M Co. 1.625% 9/19/21 150 146
3M Co. 3.000% 8/7/25 100 101
3M Co. 2.250% 9/19/26 150 140
3M Co. 6.375% 2/15/28 100 129
3M Co. 5.700% 3/15/37 125 155
3M Co. 3.125% 9/19/46 75 66
ABB Finance USA Inc. 4.375% 5/8/42 25 26
Acuity Brands Lighting Inc. 6.000% 12/15/19 50 55
Bemis Co. Inc. 3.100% 9/15/26 50 48
Boeing Co. 6.000% 3/15/19 400 432
Boeing Co. 4.875% 2/15/20 175 190
Boeing Co. 1.650% 10/30/20 100 99
Boeing Co. 2.125% 3/1/22 50 49
Boeing Co. 2.200% 10/30/22 100 98
Boeing Co. 1.875% 6/15/23 100 95
Boeing Co. 2.500% 3/1/25 500 482
Boeing Co. 2.250% 6/15/26 50 47
Boeing Co. 2.800% 3/1/27 50 49
Boeing Co. 6.625% 2/15/38 50 68
Boeing Co. 6.875% 3/15/39 75 106
Boeing Co. 5.875% 2/15/40 275 352
Boeing Co. 3.375% 6/15/46 75 69
Boeing Co. 3.650% 3/1/47 50 48
Carlisle Cos. Inc. 3.750% 11/15/22 75 74
Caterpillar Financial Services Corp. 1.800% 11/13/18 250 250
Caterpillar Financial Services Corp. 7.150% 2/15/19 325 356
Caterpillar Financial Services Corp. 2.250% 12/1/19 550 554
Caterpillar Financial Services Corp. 2.100% 1/10/20 200 200
Caterpillar Financial Services Corp. 2.000% 3/5/20 250 249
Caterpillar Financial Services Corp. 2.500% 11/13/20 50 50
Caterpillar Financial Services Corp. 1.700% 8/9/21 300 289
Caterpillar Financial Services Corp. 2.750% 8/20/21 100 101
Caterpillar Financial Services Corp. 3.300% 6/9/24 250 252
Caterpillar Financial Services Corp. 2.400% 8/9/26 100 95
Caterpillar Inc. 3.900% 5/27/21 125 132

 

 

Caterpillar Inc. 2.600% 6/26/22 50 50
Caterpillar Inc. 3.400% 5/15/24 250 257
Caterpillar Inc. 5.200% 5/27/41 150 172
Caterpillar Inc. 3.803% 8/15/42 343 325
Crane Co. 2.750% 12/15/18 50 51
Crane Co. 4.450% 12/15/23 50 52
CRH America Inc. 8.125% 7/15/18 100 108
CRH America Inc. 5.750% 1/15/21 75 83
Deere & Co. 4.375% 10/16/19 175 186
Deere & Co. 2.600% 6/8/22 125 125
Deere & Co. 5.375% 10/16/29 125 150
Deere & Co. 7.125% 3/3/31 100 137
Deere & Co. 3.900% 6/9/42 75 75
Dover Corp. 3.150% 11/15/25 200 201
Dover Corp. 6.600% 3/15/38 75 97
Eaton Corp. 5.600% 5/15/18 300 312
Eaton Corp. 2.750% 11/2/22 200 199
Eaton Corp. 4.000% 11/2/32 25 25
Eaton Corp. 4.150% 11/2/42 50 49
Eaton Electric Holdings LLC 3.875% 12/15/20 100 105
Embraer Netherlands Finance BV 5.050% 6/15/25 200 206
Embraer Netherlands Finance BV 5.400% 2/1/27 100 103
8 Embraer Overseas Ltd. 5.696% 9/16/23 100 108
Emerson Electric Co. 4.875% 10/15/19 25 27
Emerson Electric Co. 4.250% 11/15/20 25 27
Emerson Electric Co. 2.625% 12/1/21 150 152
Emerson Electric Co. 3.150% 6/1/25 200 205
Emerson Electric Co. 6.000% 8/15/32 100 124
FLIR Systems Inc. 3.125% 6/15/21 50 50
Flowserve Corp. 3.500% 9/15/22 250 253
Flowserve Corp. 4.000% 11/15/23 50 52
8 Fortive Corp. 2.350% 6/15/21 100 99
8 Fortive Corp. 3.150% 6/15/26 150 148
8 Fortive Corp. 4.300% 6/15/46 100 100
Fortune Brands Home & Security Inc. 3.000% 6/15/20 75 76
Fortune Brands Home & Security Inc. 4.000% 6/15/25 100 103
General Dynamics Corp. 1.875% 8/15/23 300 285
General Dynamics Corp. 3.600% 11/15/42 100 95
General Electric Capital Corp. 2.300% 1/14/19 150 152
General Electric Capital Corp. 6.000% 8/7/19 194 213
General Electric Capital Corp. 2.100% 12/11/19 25 25
General Electric Capital Corp. 5.500% 1/8/20 211 231
General Electric Capital Corp. 2.200% 1/9/20 165 167
General Electric Capital Corp. 5.550% 5/4/20 108 120
General Electric Capital Corp. 4.375% 9/16/20 128 138
General Electric Capital Corp. 4.625% 1/7/21 201 218
General Electric Capital Corp. 5.300% 2/11/21 172 190
General Electric Capital Corp. 4.650% 10/17/21 347 381
General Electric Capital Corp. 3.150% 9/7/22 91 94
General Electric Capital Corp. 3.100% 1/9/23 224 230
General Electric Capital Corp. 3.450% 5/15/24 160 166
General Electric Capital Corp. 6.750% 3/15/32 705 950
General Electric Capital Corp. 6.150% 8/7/37 161 209
General Electric Capital Corp. 5.875% 1/14/38 510 644
General Electric Capital Corp. 6.875% 1/10/39 413 586
General Electric Co. 2.700% 10/9/22 1,100 1,108
General Electric Co. 4.125% 10/9/42 375 381

 

 

General Electric Co. 4.500% 3/11/44 350 375
Harris Corp. 1.999% 4/27/18 125 125
Harris Corp. 2.700% 4/27/20 75 75
Harris Corp. 4.400% 12/15/20 75 80
Harris Corp. 3.832% 4/27/25 200 204
Harris Corp. 4.854% 4/27/35 100 107
Harris Corp. 6.150% 12/15/40 75 91
Hexcel Corp. 4.700% 8/15/25 100 106
Honeywell International Inc. 1.400% 10/30/19 125 124
Honeywell International Inc. 4.250% 3/1/21 450 484
Honeywell International Inc. 1.850% 11/1/21 100 98
Honeywell International Inc. 2.500% 11/1/26 100 95
Honeywell International Inc. 5.700% 3/15/37 200 251
Honeywell International Inc. 5.375% 3/1/41 150 182
Hubbell Inc. 3.350% 3/1/26 75 75
Illinois Tool Works Inc. 1.950% 3/1/19 100 101
Illinois Tool Works Inc. 6.250% 4/1/19 100 109
Illinois Tool Works Inc. 3.375% 9/15/21 100 105
Illinois Tool Works Inc. 3.500% 3/1/24 200 208
Illinois Tool Works Inc. 2.650% 11/15/26 300 289
Illinois Tool Works Inc. 4.875% 9/15/41 75 85
Illinois Tool Works Inc. 3.900% 9/1/42 175 174
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 300 321
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 50 51
Ingersoll-Rand Global Holding Co. Ltd. 4.250% 6/15/23 175 186
Ingersoll-Rand Global Holding Co. Ltd. 5.750% 6/15/43 25 30
John Deere Capital Corp. 1.750% 8/10/18 75 75
John Deere Capital Corp. 5.750% 9/10/18 125 132
John Deere Capital Corp. 1.650% 10/15/18 100 100
John Deere Capital Corp. 1.950% 1/8/19 200 201
John Deere Capital Corp. 1.250% 10/9/19 500 493
John Deere Capital Corp. 1.700% 1/15/20 125 124
John Deere Capital Corp. 2.050% 3/10/20 250 250
John Deere Capital Corp. 2.200% 3/13/20 150 151
John Deere Capital Corp. 2.450% 9/11/20 75 76
John Deere Capital Corp. 2.550% 1/8/21 350 353
John Deere Capital Corp. 2.800% 3/4/21 100 102
John Deere Capital Corp. 3.900% 7/12/21 100 106
John Deere Capital Corp. 3.150% 10/15/21 25 26
John Deere Capital Corp. 2.650% 1/6/22 300 301
John Deere Capital Corp. 2.800% 1/27/23 50 50
John Deere Capital Corp. 2.800% 3/6/23 300 301
John Deere Capital Corp. 3.400% 9/11/25 75 77
John Deere Capital Corp. 2.650% 6/10/26 100 96
Johnson Controls International plc 5.000% 3/30/20 125 134
Johnson Controls International plc 4.250% 3/1/21 150 159
Johnson Controls International plc 3.750% 12/1/21 100 104
Johnson Controls International plc 3.625% 7/2/24 135 138
Johnson Controls International plc 3.900% 2/14/26 100 104
Johnson Controls International plc 6.000% 1/15/36 50 60
Johnson Controls International plc 5.125% 9/14/45 100 110
Johnson Controls International plc 4.950% 7/2/64 100 102
Kennametal Inc. 2.650% 11/1/19 75 75
Kennametal Inc. 3.875% 2/15/22 50 50
L3 Technologies Inc. 5.200% 10/15/19 100 107
L3 Technologies Inc. 4.750% 7/15/20 75 80
L3 Technologies Inc. 4.950% 2/15/21 75 81

 

 

L3 Technologies Inc. 3.950% 5/28/24 103 106
L3 Technologies Inc. 3.850% 12/15/26 50 51
Lafarge SA 7.125% 7/15/36 100 124
Leggett & Platt Inc. 3.800% 11/15/24 100 102
Lennox International Inc. 3.000% 11/15/23 100 99
Lockheed Martin Corp. 1.850% 11/23/18 75 75
Lockheed Martin Corp. 2.500% 11/23/20 140 141
Lockheed Martin Corp. 3.350% 9/15/21 725 750
Lockheed Martin Corp. 3.100% 1/15/23 200 203
Lockheed Martin Corp. 3.550% 1/15/26 280 284
Lockheed Martin Corp. 3.600% 3/1/35 150 143
Lockheed Martin Corp. 4.500% 5/15/36 100 106
Lockheed Martin Corp. 6.150% 9/1/36 375 474
Lockheed Martin Corp. 5.500% 11/15/39 25 29
Lockheed Martin Corp. 4.700% 5/15/46 375 404
Martin Marietta Materials Inc. 6.600% 4/15/18 50 52
Martin Marietta Materials Inc. 4.250% 7/2/24 100 104
Masco Corp. 7.125% 3/15/20 80 90
Masco Corp. 3.500% 4/1/21 70 71
Masco Corp. 4.450% 4/1/25 50 52
Masco Corp. 4.375% 4/1/26 100 104
Masco Corp. 7.750% 8/1/29 50 64
Mohawk Industries Inc. 3.850% 2/1/23 100 103
Northrop Grumman Corp. 1.750% 6/1/18 275 275
Northrop Grumman Corp. 3.500% 3/15/21 200 207
Northrop Grumman Corp. 3.250% 8/1/23 150 153
Northrop Grumman Corp. 3.200% 2/1/27 250 247
Northrop Grumman Corp. 5.050% 11/15/40 50 56
Northrop Grumman Corp. 4.750% 6/1/43 275 297
Owens Corning 4.200% 12/15/22 150 156
Owens Corning 3.400% 8/15/26 200 193
Parker-Hannifin Corp. 5.500% 5/15/18 50 52
Parker-Hannifin Corp. 3.500% 9/15/22 100 105
Parker-Hannifin Corp. 3.300% 11/21/24 100 102
8 Parker-Hannifin Corp. 3.250% 3/1/27 125 124
Parker-Hannifin Corp. 6.250% 5/15/38 25 32
Parker-Hannifin Corp. 4.450% 11/21/44 200 212
8 Parker-Hannifin Corp. 4.100% 3/1/47 75 75
Pentair Finance SA 2.650% 12/1/19 250 252
Precision Castparts Corp. 2.250% 6/15/20 150 151
Precision Castparts Corp. 2.500% 1/15/23 75 74
Precision Castparts Corp. 3.250% 6/15/25 100 101
Precision Castparts Corp. 3.900% 1/15/43 75 73
Precision Castparts Corp. 4.375% 6/15/45 300 315
Raytheon Co. 4.400% 2/15/20 100 107
Raytheon Co. 3.125% 10/15/20 25 26
Raytheon Co. 2.500% 12/15/22 275 274
Raytheon Co. 7.200% 8/15/27 25 33
Raytheon Co. 4.700% 12/15/41 350 388
Republic Services Inc. 3.800% 5/15/18 150 153
Republic Services Inc. 5.500% 9/15/19 150 162
Republic Services Inc. 5.000% 3/1/20 125 135
Republic Services Inc. 5.250% 11/15/21 175 195
Republic Services Inc. 3.550% 6/1/22 50 52
Republic Services Inc. 3.200% 3/15/25 250 249
Republic Services Inc. 6.200% 3/1/40 50 63
Republic Services Inc. 5.700% 5/15/41 100 120

 

 

Rockwell Collins Inc. 5.250% 7/15/19 25 27
Rockwell Collins Inc. 3.100% 11/15/21 50 51
Rockwell Collins Inc. 2.800% 3/15/22 170 170
Rockwell Collins Inc. 3.200% 3/15/24 100 100
Rockwell Collins Inc. 4.800% 12/15/43 65 69
Rockwell Collins Inc. 4.350% 4/15/47 100 100
Roper Technologies Inc. 2.050% 10/1/18 200 201
Roper Technologies Inc. 6.250% 9/1/19 75 82
Roper Technologies Inc. 3.000% 12/15/20 125 127
Roper Technologies Inc. 2.800% 12/15/21 200 200
Roper Technologies Inc. 3.850% 12/15/25 100 102
Roper Technologies Inc. 3.800% 12/15/26 120 121
Snap-on Inc. 6.125% 9/1/21 75 86
Snap-on Inc. 3.250% 3/1/27 50 50
Sonoco Products Co. 5.750% 11/1/40 145 168
Spirit AeroSystems Inc. 5.250% 3/15/22 600 622
Spirit AeroSystems Inc. 3.850% 6/15/26 65 64
Stanley Black & Decker Inc. 1.622% 11/17/18 100 100
Stanley Black & Decker Inc. 2.451% 11/17/18 100 100
Stanley Black & Decker Inc. 3.400% 12/1/21 150 156
Stanley Black & Decker Inc. 5.200% 9/1/40 125 139
Textron Inc. 3.875% 3/1/25 250 254
Textron Inc. 4.000% 3/15/26 100 102
Textron Inc. 3.650% 3/15/27 50 50
Timken CO 3.875% 9/1/24 100 98
United Technologies Corp. 1.500% 11/1/19 100 99
United Technologies Corp. 4.500% 4/15/20 100 108
United Technologies Corp. 1.950% 11/1/21 100 98
United Technologies Corp. 3.100% 6/1/22 485 498
United Technologies Corp. 2.650% 11/1/26 100 96
United Technologies Corp. 6.700% 8/1/28 100 130
United Technologies Corp. 7.500% 9/15/29 125 174
United Technologies Corp. 5.400% 5/1/35 150 174
United Technologies Corp. 6.050% 6/1/36 100 125
United Technologies Corp. 6.125% 7/15/38 300 383
United Technologies Corp. 5.700% 4/15/40 100 122
United Technologies Corp. 4.500% 6/1/42 600 635
United Technologies Corp. 4.150% 5/15/45 100 100
United Technologies Corp. 3.750% 11/1/46 200 188
Vulcan Materials Co. 7.500% 6/15/21 100 117
Vulcan Materials Co. 4.500% 4/1/25 200 211
8 Wabtec Corp. 3.450% 11/15/26 150 146
Waste Management Inc. 4.600% 3/1/21 50 54
Waste Management Inc. 2.400% 5/15/23 175 172
Waste Management Inc. 3.500% 5/15/24 100 104
Waste Management Inc. 3.900% 3/1/35 250 249
Waste Management Inc. 4.100% 3/1/45 100 100
WW Grainger Inc. 4.600% 6/15/45 200 216
WW Grainger Inc. 3.750% 5/15/46 75 71
Xylem Inc. 3.250% 11/1/26 100 99
Xylem Inc. 4.375% 11/1/46 100 99
 
Communication (2.6%)        
21st Century Fox America Inc. 4.500% 2/15/21 550 586
21st Century Fox America Inc. 3.000% 9/15/22 150 150
21st Century Fox America Inc. 3.700% 10/15/25 100 101
21st Century Fox America Inc. 6.550% 3/15/33 200 243

 

 

21st Century Fox America Inc. 6.200% 12/15/34 350 414
21st Century Fox America Inc. 6.400% 12/15/35 365 442
21st Century Fox America Inc. 8.150% 10/17/36 175 244
21st Century Fox America Inc. 6.150% 3/1/37 175 207
21st Century Fox America Inc. 6.900% 8/15/39 100 128
21st Century Fox America Inc. 6.150% 2/15/41 250 298
21st Century Fox America Inc. 4.750% 9/15/44 100 100
21st Century Fox America Inc. 7.750% 12/1/45 100 139
8 Activision Blizzard Inc. 2.300% 9/15/21 125 123
8 Activision Blizzard Inc. 3.400% 9/15/26 175 171
America Movil SAB de CV 5.000% 10/16/19 400 427
America Movil SAB de CV 3.125% 7/16/22 275 277
America Movil SAB de CV 6.375% 3/1/35 175 206
America Movil SAB de CV 6.125% 11/15/37 150 175
America Movil SAB de CV 6.125% 3/30/40 375 438
America Movil SAB de CV 4.375% 7/16/42 250 238
American Tower Corp. 2.800% 6/1/20 75 76
American Tower Corp. 3.450% 9/15/21 475 483
American Tower Corp. 5.900% 11/1/21 475 531
American Tower Corp. 2.250% 1/15/22 125 120
American Tower Corp. 3.500% 1/31/23 50 50
American Tower Corp. 5.000% 2/15/24 150 162
American Tower Corp. 4.000% 6/1/25 100 101
American Tower Corp. 4.400% 2/15/26 100 103
American Tower Corp. 3.125% 1/15/27 100 93
AT&T Inc. 5.600% 5/15/18 450 469
AT&T Inc. 2.375% 11/27/18 400 403
AT&T Inc. 5.800% 2/15/19 250 267
AT&T Inc. 2.300% 3/11/19 100 101
AT&T Inc. 5.875% 10/1/19 175 189
AT&T Inc. 2.450% 6/30/20 500 500
AT&T Inc. 4.600% 2/15/21 175 186
AT&T Inc. 5.000% 3/1/21 450 487
AT&T Inc. 4.450% 5/15/21 275 292
AT&T Inc. 3.875% 8/15/21 250 260
AT&T Inc. 3.000% 2/15/22 300 299
AT&T Inc. 3.200% 3/1/22 250 252
AT&T Inc. 3.000% 6/30/22 500 497
AT&T Inc. 2.625% 12/1/22 350 342
AT&T Inc. 3.600% 2/17/23 1,125 1,140
AT&T Inc. 3.800% 3/1/24 125 126
AT&T Inc. 3.950% 1/15/25 200 201
AT&T Inc. 3.400% 5/15/25 895 864
AT&T Inc. 4.125% 2/17/26 275 279
AT&T Inc. 4.250% 3/1/27 600 609
AT&T Inc. 6.450% 6/15/34 265 302
AT&T Inc. 4.500% 5/15/35 200 189
AT&T Inc. 5.250% 3/1/37 400 407
AT&T Inc. 6.500% 9/1/37 175 205
AT&T Inc. 6.300% 1/15/38 275 316
AT&T Inc. 6.550% 2/15/39 50 59
AT&T Inc. 6.350% 3/15/40 100 114
AT&T Inc. 6.000% 8/15/40 300 329
AT&T Inc. 5.350% 9/1/40 756 772
AT&T Inc. 5.550% 8/15/41 225 238
AT&T Inc. 5.150% 3/15/42 375 372
AT&T Inc. 4.300% 12/15/42 271 241

 

 

AT&T Inc. 4.800% 6/15/44 600 561
AT&T Inc. 4.350% 6/15/45 699 615
AT&T Inc. 4.750% 5/15/46 550 512
AT&T Inc. 5.450% 3/1/47 400 409
AT&T Inc. 4.500% 3/9/48 582 517
AT&T Inc. 4.550% 3/9/49 62 55
AT&T Inc. 5.700% 3/1/57 200 205
AT&T Mobility LLC 7.125% 12/15/31 75 94
Bellsouth Capital Funding Corp. 7.875% 2/15/30 78 97
BellSouth LLC 6.875% 10/15/31 78 91
BellSouth LLC 6.550% 6/15/34 79 89
BellSouth LLC 6.000% 11/15/34 64 69
BellSouth Telecommunications LLC 6.375% 6/1/28 45 51
British Telecommunications plc 2.350% 2/14/19 200 201
British Telecommunications plc 9.125% 12/15/30 441 660
CBS Corp. 4.300% 2/15/21 275 291
CBS Corp. 3.700% 8/15/24 175 178
CBS Corp. 3.500% 1/15/25 300 298
CBS Corp. 2.900% 1/15/27 125 116
CBS Corp. 5.900% 10/15/40 275 314
CBS Corp. 4.850% 7/1/42 100 101
CBS Corp. 4.600% 1/15/45 125 122
CC Holdings GS V LLC / Crown Castle GS III        
Corp. 3.849% 4/15/23 250 256
Charter Communications Operating LLC /        
Charter Communications Operating Capital 3.579% 7/23/20 375 386
Charter Communications Operating LLC /        
Charter Communications Operating Capital 4.464% 7/23/22 250 263
Charter Communications Operating LLC /        
Charter Communications Operating Capital 4.908% 7/23/25 825 871
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.384% 10/23/35 350 398
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.484% 10/23/45 600 691
8 Charter Communications Operating LLC /        
Charter Communications Operating Capital 5.375% 5/1/47 225 227
Charter Communications Operating LLC /        
Charter Communications Operating Capital 6.834% 10/23/55 75 87
Comcast Cable Communications Holdings        
Inc. 9.455% 11/15/22 139 186
Comcast Corp. 5.700% 5/15/18 175 183
Comcast Corp. 5.700% 7/1/19 850 921
Comcast Corp. 5.150% 3/1/20 325 354
Comcast Corp. 3.000% 2/1/24 385 384
Comcast Corp. 3.375% 2/15/25 150 152
Comcast Corp. 3.375% 8/15/25 250 252
Comcast Corp. 3.150% 3/1/26 400 393
Comcast Corp. 3.300% 2/1/27 200 198
Comcast Corp. 4.250% 1/15/33 275 283
Comcast Corp. 4.200% 8/15/34 175 177
Comcast Corp. 5.650% 6/15/35 400 471
Comcast Corp. 4.400% 8/15/35 200 207
Comcast Corp. 6.500% 11/15/35 750 958
Comcast Corp. 3.200% 7/15/36 175 155
Comcast Corp. 6.450% 3/15/37 75 96
Comcast Corp. 6.950% 8/15/37 225 302
Comcast Corp. 4.650% 7/15/42 535 558

 

 

Comcast Corp. 4.500% 1/15/43 125 127
Comcast Corp. 4.750% 3/1/44 175 184
Comcast Corp. 4.600% 8/15/45 250 258
Comcast Corp. 3.400% 7/15/46 250 213
Crown Castle International Corp. 3.400% 2/15/21 300 305
Crown Castle International Corp. 2.250% 9/1/21 125 122
Crown Castle International Corp. 4.875% 4/15/22 125 134
Crown Castle International Corp. 5.250% 1/15/23 275 300
Crown Castle International Corp. 4.450% 2/15/26 250 260
Crown Castle International Corp. 3.700% 6/15/26 175 172
Crown Castle International Corp. 4.000% 3/1/27 75 76
Deutsche Telekom International Finance BV 6.750% 8/20/18 75 80
Deutsche Telekom International Finance BV 6.000% 7/8/19 150 163
Deutsche Telekom International Finance BV 8.750% 6/15/30 700 1,021
Discovery Communications LLC 5.625% 8/15/19 75 81
Discovery Communications LLC 4.375% 6/15/21 25 26
Discovery Communications LLC 3.300% 5/15/22 125 124
Discovery Communications LLC 3.250% 4/1/23 100 98
Discovery Communications LLC 3.800% 3/13/24 100 99
Discovery Communications LLC 3.450% 3/15/25 150 142
Discovery Communications LLC 4.900% 3/11/26 200 208
Discovery Communications LLC 4.875% 4/1/43 125 113
Electronic Arts Inc. 3.700% 3/1/21 100 104
Electronic Arts Inc. 4.800% 3/1/26 100 108
Grupo Televisa SAB 6.625% 3/18/25 100 116
Grupo Televisa SAB 4.625% 1/30/26 500 515
Grupo Televisa SAB 6.625% 1/15/40 175 191
Historic TW Inc. 9.150% 2/1/23 195 251
Historic TW Inc. 6.625% 5/15/29 66 80
Interpublic Group of Cos. Inc. 3.750% 2/15/23 100 102
Interpublic Group of Cos. Inc. 4.200% 4/15/24 175 180
Koninklijke KPN NV 8.375% 10/1/30 175 234
Moody's Corp. 4.500% 9/1/22 175 187
Moody's Corp. 4.875% 2/15/24 250 274
Moody's Corp. 5.250% 7/15/44 250 279
NBCUniversal Media LLC 5.150% 4/30/20 125 136
NBCUniversal Media LLC 4.375% 4/1/21 175 188
NBCUniversal Media LLC 2.875% 1/15/23 225 225
NBCUniversal Media LLC 6.400% 4/30/40 300 382
NBCUniversal Media LLC 5.950% 4/1/41 150 182
NBCUniversal Media LLC 4.450% 1/15/43 325 326
New Cingular Wireless Services Inc. 8.750% 3/1/31 75 106
Omnicom Group Inc. 4.450% 8/15/20 175 187
Omnicom Group Inc. 3.625% 5/1/22 225 233
Omnicom Group Inc. 3.650% 11/1/24 125 126
Omnicom Group Inc. 3.600% 4/15/26 275 275
Orange SA 1.625% 11/3/19 175 172
Orange SA 4.125% 9/14/21 325 343
Orange SA 9.000% 3/1/31 425 626
Orange SA 5.375% 1/13/42 175 194
Orange SA 5.500% 2/6/44 165 187
Pacific Bell Telephone Co. 7.125% 3/15/26 50 61
Qwest Corp. 6.750% 12/1/21 200 219
Qwest Corp. 6.875% 9/15/33 296 293
Qwest Corp. 7.125% 11/15/43 100 98
RELX Capital Inc. 3.125% 10/15/22 282 281
Rogers Communications Inc. 6.800% 8/15/18 150 160

 

 

Rogers Communications Inc. 3.000% 3/15/23 205 205
Rogers Communications Inc. 4.100% 10/1/23 175 184
Rogers Communications Inc. 2.900% 11/15/26 100 95
Rogers Communications Inc. 4.500% 3/15/43 65 65
Rogers Communications Inc. 5.000% 3/15/44 190 204
S&P Global Inc. 2.500% 8/15/18 75 76
S&P Global Inc. 3.300% 8/14/20 125 128
S&P Global Inc. 4.000% 6/15/25 125 128
S&P Global Inc. 4.400% 2/15/26 200 212
8 S&P Global Inc. 2.950% 1/22/27 100 94
S&P Global Inc. 6.550% 11/15/37 150 180
Scripps Networks Interactive Inc. 2.750% 11/15/19 125 127
Scripps Networks Interactive Inc. 2.800% 6/15/20 100 101
Scripps Networks Interactive Inc. 3.900% 11/15/24 50 51
Telefonica Emisiones SAU 3.192% 4/27/18 325 329
Telefonica Emisiones SAU 5.877% 7/15/19 100 108
Telefonica Emisiones SAU 5.134% 4/27/20 225 242
Telefonica Emisiones SAU 5.462% 2/16/21 225 247
Telefonica Emisiones SAU 4.570% 4/27/23 200 214
Telefonica Emisiones SAU 4.103% 3/8/27 250 251
Telefonica Emisiones SAU 7.045% 6/20/36 425 522
Telefonica Emisiones SAU 5.213% 3/8/47 400 403
TELUS Corp. 2.800% 2/16/27 100 94
Thomson Reuters Corp. 4.700% 10/15/19 300 319
Thomson Reuters Corp. 3.850% 9/29/24 100 102
Thomson Reuters Corp. 5.500% 8/15/35 75 81
Thomson Reuters Corp. 5.850% 4/15/40 150 167
Thomson Reuters Corp. 5.650% 11/23/43 325 360
Time Warner Cable LLC 6.750% 7/1/18 850 899
Time Warner Cable LLC 8.750% 2/14/19 200 224
Time Warner Cable LLC 8.250% 4/1/19 200 223
Time Warner Cable LLC 5.000% 2/1/20 350 372
Time Warner Cable LLC 6.550% 5/1/37 200 229
Time Warner Cable LLC 7.300% 7/1/38 50 62
Time Warner Cable LLC 6.750% 6/15/39 200 235
Time Warner Cable LLC 5.875% 11/15/40 500 533
Time Warner Cable LLC 4.500% 9/15/42 350 317
Time Warner Entertainment Co. LP 8.375% 3/15/23 175 218
Time Warner Entertainment Co. LP 8.375% 7/15/33 250 331
Time Warner Inc. 4.875% 3/15/20 350 375
Time Warner Inc. 4.700% 1/15/21 50 54
Time Warner Inc. 4.750% 3/29/21 425 456
Time Warner Inc. 3.600% 7/15/25 275 272
Time Warner Inc. 3.875% 1/15/26 100 100
Time Warner Inc. 3.800% 2/15/27 500 495
Time Warner Inc. 7.625% 4/15/31 200 269
Time Warner Inc. 7.700% 5/1/32 275 376
Time Warner Inc. 6.200% 3/15/40 100 114
Time Warner Inc. 6.100% 7/15/40 175 197
Time Warner Inc. 6.250% 3/29/41 50 57
Time Warner Inc. 4.900% 6/15/42 325 319
Time Warner Inc. 5.350% 12/15/43 25 26
Time Warner Inc. 4.650% 6/1/44 100 94
Verizon Communications Inc. 3.650% 9/14/18 560 575
Verizon Communications Inc. 1.375% 8/15/19 200 197
Verizon Communications Inc. 2.625% 2/21/20 389 394
Verizon Communications Inc. 4.500% 9/15/20 560 597

 

 

Verizon Communications Inc. 3.450% 3/15/21 300 307
Verizon Communications Inc. 4.600% 4/1/21 475 507
Verizon Communications Inc. 1.750% 8/15/21 225 215
Verizon Communications Inc. 3.000% 11/1/21 600 603
Verizon Communications Inc. 3.500% 11/1/21 100 102
8 Verizon Communications Inc. 2.946% 3/15/22 552 550
Verizon Communications Inc. 3.125% 3/16/22 300 301
Verizon Communications Inc. 5.150% 9/15/23 1,230 1,351
Verizon Communications Inc. 4.150% 3/15/24 300 311
Verizon Communications Inc. 3.500% 11/1/24 100 99
Verizon Communications Inc. 2.625% 8/15/26 475 434
Verizon Communications Inc. 4.125% 3/16/27 700 712
Verizon Communications Inc. 5.050% 3/15/34 365 371
Verizon Communications Inc. 4.400% 11/1/34 575 542
Verizon Communications Inc. 4.272% 1/15/36 688 633
Verizon Communications Inc. 5.250% 3/16/37 875 904
8 Verizon Communications Inc. 4.812% 3/15/39 150 146
Verizon Communications Inc. 4.750% 11/1/41 375 361
Verizon Communications Inc. 3.850% 11/1/42 250 208
Verizon Communications Inc. 4.125% 8/15/46 650 558
Verizon Communications Inc. 4.862% 8/21/46 256 244
Verizon Communications Inc. 5.500% 3/16/47 275 288
Verizon Communications Inc. 4.522% 9/15/48 788 717
8 Verizon Communications Inc. 5.012% 4/15/49 716 690
Verizon Communications Inc. 5.012% 8/21/54 1,074 1,016
Verizon Communications Inc. 4.672% 3/15/55 888 792
Viacom Inc. 5.625% 9/15/19 125 134
Viacom Inc. 3.875% 12/15/21 25 26
Viacom Inc. 3.125% 6/15/22 50 49
Viacom Inc. 4.250% 9/1/23 75 77
Viacom Inc. 3.875% 4/1/24 300 300
Viacom Inc. 6.875% 4/30/36 190 218
Viacom Inc. 4.375% 3/15/43 656 568
Viacom Inc. 5.850% 9/1/43 75 79
Viacom Inc. 5.250% 4/1/44 50 49
Vodafone Group plc 5.450% 6/10/19 150 161
Vodafone Group plc 2.500% 9/26/22 175 171
Vodafone Group plc 2.950% 2/19/23 715 702
Vodafone Group plc 7.875% 2/15/30 150 199
Vodafone Group plc 6.150% 2/27/37 125 144
Vodafone Group plc 4.375% 2/19/43 400 366
Walt Disney Co. 1.500% 9/17/18 100 100
Walt Disney Co. 1.650% 1/8/19 100 100
Walt Disney Co. 1.850% 5/30/19 50 50
Walt Disney Co. 2.150% 9/17/20 150 151
Walt Disney Co. 2.300% 2/12/21 250 252
Walt Disney Co. 2.750% 8/16/21 100 102
Walt Disney Co. 2.550% 2/15/22 75 76
Walt Disney Co. 2.450% 3/4/22 75 75
Walt Disney Co. 2.350% 12/1/22 75 74
Walt Disney Co. 3.150% 9/17/25 150 153
Walt Disney Co. 3.000% 2/13/26 300 300
Walt Disney Co. 1.850% 7/30/26 250 226
Walt Disney Co. 4.375% 8/16/41 75 79
Walt Disney Co. 4.125% 12/1/41 225 230
Walt Disney Co. 3.700% 12/1/42 125 120
Walt Disney Co. 4.125% 6/1/44 50 52

 

 

WPP Finance 2010 4.750% 11/21/21 208 224
WPP Finance 2010 3.625% 9/7/22 200 204
WPP Finance 2010 3.750% 9/19/24 100 101
WPP Finance 2010 5.625% 11/15/43 50 53
 
Consumer Cyclical (2.0%)        
Advance Auto Parts Inc. 5.750% 5/1/20 125 136
Alibaba Group Holding Ltd. 2.500% 11/28/19 360 362
Alibaba Group Holding Ltd. 3.125% 11/28/21 300 302
Alibaba Group Holding Ltd. 3.600% 11/28/24 200 202
Alibaba Group Holding Ltd. 4.500% 11/28/34 80 83
Amazon.com Inc. 2.600% 12/5/19 300 306
Amazon.com Inc. 3.300% 12/5/21 200 208
Amazon.com Inc. 2.500% 11/29/22 150 149
Amazon.com Inc. 3.800% 12/5/24 120 127
Amazon.com Inc. 4.800% 12/5/34 225 249
Amazon.com Inc. 4.950% 12/5/44 250 281
American Honda Finance Corp. 1.600% 7/13/18 100 100
American Honda Finance Corp. 2.125% 10/10/18 125 126
American Honda Finance Corp. 1.200% 7/12/19 200 197
American Honda Finance Corp. 2.250% 8/15/19 275 277
American Honda Finance Corp. 2.000% 2/14/20 100 100
American Honda Finance Corp. 2.450% 9/24/20 225 227
American Honda Finance Corp. 1.650% 7/12/21 150 145
American Honda Finance Corp. 1.700% 9/9/21 200 194
American Honda Finance Corp. 2.900% 2/16/24 100 100
American Honda Finance Corp. 2.300% 9/9/26 50 46
Automatic Data Processing Inc. 2.250% 9/15/20 175 177
Automatic Data Processing Inc. 3.375% 9/15/25 200 206
AutoNation Inc. 6.750% 4/15/18 50 52
AutoNation Inc. 5.500% 2/1/20 55 59
AutoNation Inc. 3.350% 1/15/21 60 61
AutoNation Inc. 4.500% 10/1/25 150 155
AutoZone Inc. 7.125% 8/1/18 50 53
AutoZone Inc. 3.700% 4/15/22 350 363
AutoZone Inc. 2.875% 1/15/23 50 49
AutoZone Inc. 3.125% 7/15/23 125 124
AutoZone Inc. 3.125% 4/21/26 100 95
Bed Bath & Beyond Inc. 4.915% 8/1/34 50 47
Bed Bath & Beyond Inc. 5.165% 8/1/44 150 133
Best Buy Co. Inc. 5.500% 3/15/21 25 27
Block Financial LLC 4.125% 10/1/20 94 96
Block Financial LLC 5.500% 11/1/22 75 80
Block Financial LLC 5.250% 10/1/25 100 104
BorgWarner Inc. 4.625% 9/15/20 25 27
BorgWarner Inc. 3.375% 3/15/25 75 75
BorgWarner Inc. 4.375% 3/15/45 100 98
Carnival Corp. 3.950% 10/15/20 100 105
Coach Inc. 4.250% 4/1/25 70 71
Costco Wholesale Corp. 1.700% 12/15/19 200 200
Costco Wholesale Corp. 1.750% 2/15/20 200 200
Costco Wholesale Corp. 2.250% 2/15/22 100 100
Cummins Inc. 7.125% 3/1/28 100 130
Cummins Inc. 4.875% 10/1/43 125 139
CVS Health Corp. 1.900% 7/20/18 400 401
CVS Health Corp. 2.250% 8/12/19 100 101
CVS Health Corp. 2.800% 7/20/20 475 482

 

 

CVS Health Corp. 2.125% 6/1/21 250 245
CVS Health Corp. 3.500% 7/20/22 150 155
CVS Health Corp. 2.750% 12/1/22 150 148
CVS Health Corp. 4.750% 12/1/22 150 163
CVS Health Corp. 4.000% 12/5/23 195 205
CVS Health Corp. 3.375% 8/12/24 750 751
CVS Health Corp. 5.000% 12/1/24 100 109
CVS Health Corp. 3.875% 7/20/25 465 479
CVS Health Corp. 2.875% 6/1/26 325 310
CVS Health Corp. 5.300% 12/5/43 50 56
CVS Health Corp. 5.125% 7/20/45 675 743
Daimler Finance North America LLC 8.500% 1/18/31 50 75
Delphi Automotive plc 3.150% 11/19/20 150 153
Delphi Automotive plc 4.250% 1/15/26 150 157
Delphi Automotive plc 4.400% 10/1/46 50 48
Delphi Corp. 4.150% 3/15/24 125 131
Dollar General Corp. 3.250% 4/15/23 150 150
Dollar General Corp. 4.150% 11/1/25 105 108
Dollar General Corp. 3.875% 4/15/27 50 50
DR Horton Inc. 3.750% 3/1/19 25 26
DR Horton Inc. 4.375% 9/15/22 100 106
DR Horton Inc. 4.750% 2/15/23 100 107
DR Horton Inc. 5.750% 8/15/23 100 113
eBay Inc. 2.200% 8/1/19 300 301
eBay Inc. 3.250% 10/15/20 75 77
eBay Inc. 2.875% 8/1/21 125 126
eBay Inc. 3.800% 3/9/22 100 104
eBay Inc. 2.600% 7/15/22 450 443
eBay Inc. 3.450% 8/1/24 125 125
eBay Inc. 4.000% 7/15/42 25 21
Expedia Inc. 5.950% 8/15/20 75 82
Expedia Inc. 4.500% 8/15/24 100 105
Expedia Inc. 5.000% 2/15/26 275 294
Ford Motor Co. 4.346% 12/8/26 100 102
Ford Motor Co. 6.625% 10/1/28 425 505
Ford Motor Co. 6.375% 2/1/29 100 115
Ford Motor Co. 7.450% 7/16/31 375 470
Ford Motor Co. 4.750% 1/15/43 100 93
Ford Motor Co. 7.400% 11/1/46 100 128
Ford Motor Co. 5.291% 12/8/46 300 300
Ford Motor Credit Co. LLC 5.000% 5/15/18 650 672
Ford Motor Credit Co. LLC 2.551% 10/5/18 200 202
Ford Motor Credit Co. LLC 2.375% 3/12/19 550 552
Ford Motor Credit Co. LLC 2.597% 11/4/19 550 553
Ford Motor Credit Co. LLC 2.681% 1/9/20 200 201
Ford Motor Credit Co. LLC 8.125% 1/15/20 250 287
Ford Motor Credit Co. LLC 2.459% 3/27/20 200 199
Ford Motor Credit Co. LLC 3.157% 8/4/20 200 203
Ford Motor Credit Co. LLC 3.200% 1/15/21 250 253
Ford Motor Credit Co. LLC 5.750% 2/1/21 250 275
Ford Motor Credit Co. LLC 3.336% 3/18/21 200 202
Ford Motor Credit Co. LLC 5.875% 8/2/21 325 361
Ford Motor Credit Co. LLC 3.339% 3/28/22 150 151
Ford Motor Credit Co. LLC 4.375% 8/6/23 225 235
Ford Motor Credit Co. LLC 3.810% 1/9/24 150 150
Ford Motor Credit Co. LLC 3.664% 9/8/24 200 197
Ford Motor Credit Co. LLC 4.134% 8/4/25 300 301

 

 

Ford Motor Credit Co. LLC 4.389% 1/8/26 200 204
General Motors Co. 3.500% 10/2/18 50 51
General Motors Co. 4.875% 10/2/23 250 267
General Motors Co. 4.000% 4/1/25 100 100
General Motors Co. 5.000% 4/1/35 165 163
General Motors Co. 6.600% 4/1/36 50 57
General Motors Co. 6.250% 10/2/43 210 230
General Motors Co. 5.200% 4/1/45 280 277
General Motors Co. 6.750% 4/1/46 130 152
General Motors Financial Co. Inc. 3.250% 5/15/18 90 91
General Motors Financial Co. Inc. 6.750% 6/1/18 335 353
General Motors Financial Co. Inc. 3.100% 1/15/19 275 279
General Motors Financial Co. Inc. 2.400% 5/9/19 100 100
General Motors Financial Co. Inc. 3.500% 7/10/19 230 236
General Motors Financial Co. Inc. 2.350% 10/4/19 200 200
General Motors Financial Co. Inc. 3.150% 1/15/20 65 66
General Motors Financial Co. Inc. 3.200% 7/13/20 700 712
General Motors Financial Co. Inc. 3.700% 11/24/20 275 283
General Motors Financial Co. Inc. 4.200% 3/1/21 175 182
General Motors Financial Co. Inc. 3.200% 7/6/21 225 226
General Motors Financial Co. Inc. 4.375% 9/25/21 100 105
General Motors Financial Co. Inc. 3.450% 1/14/22 125 126
General Motors Financial Co. Inc. 3.450% 4/10/22 205 206
General Motors Financial Co. Inc. 3.700% 5/9/23 200 202
General Motors Financial Co. Inc. 4.250% 5/15/23 225 232
General Motors Financial Co. Inc. 4.000% 1/15/25 175 176
General Motors Financial Co. Inc. 4.300% 7/13/25 300 304
General Motors Financial Co. Inc. 5.250% 3/1/26 150 161
General Motors Financial Co. Inc. 4.000% 10/6/26 100 98
General Motors Financial Co. Inc. 4.350% 1/17/27 200 202
Harley-Davidson Inc. 3.500% 7/28/25 100 102
Harley-Davidson Inc. 4.625% 7/28/45 25 25
Harman International Industries Inc. 4.150% 5/15/25 50 51
Home Depot Inc. 3.950% 9/15/20 100 106
Home Depot Inc. 2.000% 4/1/21 75 75
Home Depot Inc. 4.400% 4/1/21 975 1,053
Home Depot Inc. 2.625% 6/1/22 215 217
Home Depot Inc. 3.750% 2/15/24 200 212
Home Depot Inc. 3.000% 4/1/26 125 125
Home Depot Inc. 2.125% 9/15/26 100 93
Home Depot Inc. 5.875% 12/16/36 825 1,044
Home Depot Inc. 5.400% 9/15/40 75 90
Home Depot Inc. 5.950% 4/1/41 75 96
Home Depot Inc. 4.200% 4/1/43 100 103
Home Depot Inc. 4.875% 2/15/44 200 226
Home Depot Inc. 4.250% 4/1/46 330 343
Home Depot Inc. 3.500% 9/15/56 225 196
Hyatt Hotels Corp. 5.375% 8/15/21 50 55
Hyatt Hotels Corp. 3.375% 7/15/23 25 25
Hyatt Hotels Corp. 4.850% 3/15/26 50 54
Kohl's Corp. 4.000% 11/1/21 525 534
Kohl's Corp. 4.250% 7/17/25 100 96
Kohl's Corp. 5.550% 7/17/45 75 67
Lear Corp. 5.250% 1/15/25 200 210
Lowe's Cos. Inc. 3.750% 4/15/21 400 422
Lowe's Cos. Inc. 3.875% 9/15/23 275 292
Lowe's Cos. Inc. 3.125% 9/15/24 100 101

 

 

Lowe's Cos. Inc. 3.375% 9/15/25 200 204
Lowe's Cos. Inc. 2.500% 4/15/26 250 237
Lowe's Cos. Inc. 6.875% 2/15/28 25 33
Lowe's Cos. Inc. 6.500% 3/15/29 200 259
Lowe's Cos. Inc. 5.800% 10/15/36 175 213
Lowe's Cos. Inc. 5.125% 11/15/41 325 371
Lowe's Cos. Inc. 4.650% 4/15/42 100 108
Lowe's Cos. Inc. 5.000% 9/15/43 50 56
Lowe's Cos. Inc. 4.375% 9/15/45 50 52
Lowe's Cos. Inc. 3.700% 4/15/46 250 232
Macy's Retail Holdings Inc. 3.450% 1/15/21 100 100
Macy's Retail Holdings Inc. 6.900% 4/1/29 225 238
Macy's Retail Holdings Inc. 4.500% 12/15/34 100 87
Macy's Retail Holdings Inc. 6.375% 3/15/37 125 127
Macy's Retail Holdings Inc. 5.125% 1/15/42 175 152
Magna International Inc. 3.625% 6/15/24 120 123
Magna International Inc. 4.150% 10/1/25 100 106
Marriott International Inc. 3.000% 3/1/19 50 51
Marriott International Inc. 3.375% 10/15/20 225 231
Marriott International Inc. 2.875% 3/1/21 75 76
Marriott International Inc. 3.125% 10/15/21 50 51
Marriott International Inc. 2.300% 1/15/22 100 98
Marriott International Inc. 3.125% 2/15/23 100 99
Marriott International Inc. 3.750% 3/15/25 175 178
Marriott International Inc. 3.750% 10/1/25 65 66
Marriott International Inc. 3.125% 6/15/26 183 176
Marriott International Inc. 4.500% 10/1/34 50 50
Mastercard Inc. 2.000% 4/1/19 75 76
Mastercard Inc. 2.000% 11/21/21 100 99
Mastercard Inc. 3.375% 4/1/24 150 155
Mastercard Inc. 2.950% 11/21/26 100 99
Mastercard Inc. 3.800% 11/21/46 100 98
McDonald's Corp. 5.000% 2/1/19 100 106
McDonald's Corp. 1.875% 5/29/19 75 75
McDonald's Corp. 2.750% 12/9/20 75 76
McDonald's Corp. 3.625% 5/20/21 175 183
McDonald's Corp. 2.625% 1/15/22 475 474
McDonald's Corp. 3.375% 5/26/25 175 175
McDonald's Corp. 3.700% 1/30/26 300 306
McDonald's Corp. 3.500% 3/1/27 200 200
McDonald's Corp. 4.700% 12/9/35 200 209
McDonald's Corp. 6.300% 10/15/37 50 62
McDonald's Corp. 5.700% 2/1/39 100 116
McDonald's Corp. 3.700% 2/15/42 375 339
McDonald's Corp. 3.625% 5/1/43 25 22
McDonald's Corp. 4.600% 5/26/45 210 212
McDonald's Corp. 4.875% 12/9/45 300 318
McDonald's Corp. 4.450% 3/1/47 200 201
Metropolitan Museum of Art New York        
Revenue 3.400% 7/1/45 75 69
NIKE Inc. 2.375% 11/1/26 200 187
NIKE Inc. 3.625% 5/1/43 50 46
NIKE Inc. 3.875% 11/1/45 150 145
NIKE Inc. 3.375% 11/1/46 50 44
Nordstrom Inc. 4.750% 5/1/20 100 106
Nordstrom Inc. 4.000% 10/15/21 125 130
Nordstrom Inc. 4.000% 3/15/27 100 100

 

 

Nordstrom Inc. 5.000% 1/15/44 165 156
NVR Inc. 3.950% 9/15/22 100 103
O'Reilly Automotive Inc. 4.875% 1/14/21 25 27
O'Reilly Automotive Inc. 3.800% 9/1/22 100 103
O'Reilly Automotive Inc. 3.850% 6/15/23 75 78
O'Reilly Automotive Inc. 3.550% 3/15/26 100 100
PACCAR Financial Corp. 1.750% 8/14/18 50 50
PACCAR Financial Corp. 1.300% 5/10/19 150 149
PACCAR Financial Corp. 2.200% 9/15/19 50 50
PACCAR Financial Corp. 2.500% 8/14/20 75 76
PACCAR Financial Corp. 2.250% 2/25/21 75 75
Priceline Group Inc. 3.650% 3/15/25 100 101
Priceline Group Inc. 3.600% 6/1/26 300 298
QVC Inc. 3.125% 4/1/19 125 127
QVC Inc. 5.125% 7/2/22 25 26
QVC Inc. 4.850% 4/1/24 125 126
QVC Inc. 4.450% 2/15/25 100 97
QVC Inc. 5.950% 3/15/43 125 115
Ralph Lauren Corp. 2.125% 9/26/18 50 50
Ralph Lauren Corp. 2.625% 8/18/20 50 50
Signet UK Finance plc 4.700% 6/15/24 75 73
Staples Inc. 4.375% 1/12/23 100 102
Starbucks Corp. 2.100% 2/4/21 75 75
Starbucks Corp. 2.700% 6/15/22 75 76
Starbucks Corp. 3.850% 10/1/23 250 268
Starbucks Corp. 2.450% 6/15/26 100 96
Starbucks Corp. 4.300% 6/15/45 50 53
Target Corp. 2.300% 6/26/19 200 202
Target Corp. 2.900% 1/15/22 175 178
Target Corp. 3.500% 7/1/24 325 333
Target Corp. 2.500% 4/15/26 200 187
Target Corp. 6.350% 11/1/32 140 178
Target Corp. 6.500% 10/15/37 103 135
Target Corp. 4.000% 7/1/42 260 252
Target Corp. 3.625% 4/15/46 200 181
TJX Cos. Inc. 2.750% 6/15/21 125 127
TJX Cos. Inc. 2.500% 5/15/23 100 98
TJX Cos. Inc. 2.250% 9/15/26 200 183
Toyota Motor Credit Corp. 1.200% 4/6/18 100 100
Toyota Motor Credit Corp. 2.000% 10/24/18 25 25
Toyota Motor Credit Corp. 1.700% 1/9/19 100 100
Toyota Motor Credit Corp. 1.700% 2/19/19 300 300
Toyota Motor Credit Corp. 1.400% 5/20/19 300 298
Toyota Motor Credit Corp. 2.125% 7/18/19 500 504
Toyota Motor Credit Corp. 1.550% 10/18/19 200 199
Toyota Motor Credit Corp. 2.150% 3/12/20 300 301
Toyota Motor Credit Corp. 4.250% 1/11/21 125 134
Toyota Motor Credit Corp. 1.900% 4/8/21 200 197
Toyota Motor Credit Corp. 2.750% 5/17/21 200 203
Toyota Motor Credit Corp. 3.400% 9/15/21 75 78
Toyota Motor Credit Corp. 2.600% 1/11/22 200 201
Toyota Motor Credit Corp. 3.300% 1/12/22 175 181
Toyota Motor Credit Corp. 2.800% 7/13/22 100 101
Toyota Motor Credit Corp. 2.625% 1/10/23 100 100
Toyota Motor Credit Corp. 2.250% 10/18/23 200 193
Toyota Motor Credit Corp. 3.200% 1/11/27 100 100
VF Corp. 3.500% 9/1/21 200 208

 

 

VF Corp. 6.450% 11/1/37 50 64
Visa Inc. 2.200% 12/14/20 500 502
Visa Inc. 2.800% 12/14/22 250 252
Visa Inc. 3.150% 12/14/25 675 678
Visa Inc. 4.150% 12/14/35 275 288
Visa Inc. 4.300% 12/14/45 600 629
Wal-Mart Stores Inc. 1.125% 4/11/18 150 150
Wal-Mart Stores Inc. 1.950% 12/15/18 75 76
Wal-Mart Stores Inc. 3.625% 7/8/20 25 26
Wal-Mart Stores Inc. 3.250% 10/25/20 325 339
Wal-Mart Stores Inc. 4.250% 4/15/21 100 108
Wal-Mart Stores Inc. 2.550% 4/11/23 150 150
Wal-Mart Stores Inc. 3.300% 4/22/24 250 259
Wal-Mart Stores Inc. 5.875% 4/5/27 625 772
Wal-Mart Stores Inc. 7.550% 2/15/30 175 252
Wal-Mart Stores Inc. 5.250% 9/1/35 150 176
Wal-Mart Stores Inc. 6.500% 8/15/37 900 1,201
Wal-Mart Stores Inc. 6.200% 4/15/38 300 388
Wal-Mart Stores Inc. 5.000% 10/25/40 245 278
Wal-Mart Stores Inc. 5.625% 4/15/41 435 534
Wal-Mart Stores Inc. 4.000% 4/11/43 274 272
Wal-Mart Stores Inc. 4.300% 4/22/44 175 182
Walgreen Co. 3.100% 9/15/22 250 252
Walgreen Co. 4.400% 9/15/42 75 72
Walgreens Boots Alliance Inc. 1.750% 5/30/18 200 200
Walgreens Boots Alliance Inc. 2.700% 11/18/19 250 253
Walgreens Boots Alliance Inc. 2.600% 6/1/21 300 301
Walgreens Boots Alliance Inc. 3.300% 11/18/21 225 231
Walgreens Boots Alliance Inc. 3.800% 11/18/24 275 280
Walgreens Boots Alliance Inc. 3.450% 6/1/26 325 318
Walgreens Boots Alliance Inc. 4.500% 11/18/34 125 125
Walgreens Boots Alliance Inc. 4.800% 11/18/44 250 254
Walgreens Boots Alliance Inc. 4.650% 6/1/46 175 174
Western Union Co. 5.253% 4/1/20 133 143
Western Union Co. 3.600% 3/15/22 100 101
Western Union Co. 6.200% 11/17/36 75 77
Western Union Co. 6.200% 6/21/40 35 36
Wyndham Worldwide Corp. 4.250% 3/1/22 175 182
Wyndham Worldwide Corp. 3.900% 3/1/23 50 51
Wyndham Worldwide Corp. 4.500% 4/1/27 50 50
 
Consumer Noncyclical (4.4%)        
Abbott Laboratories 5.125% 4/1/19 350 371
Abbott Laboratories 2.350% 11/22/19 300 301
Abbott Laboratories 2.000% 3/15/20 200 198
Abbott Laboratories 4.125% 5/27/20 25 26
Abbott Laboratories 2.800% 9/15/20 100 101
Abbott Laboratories 2.900% 11/30/21 425 426
Abbott Laboratories 2.550% 3/15/22 775 762
Abbott Laboratories 3.250% 4/15/23 175 175
Abbott Laboratories 3.400% 11/30/23 400 404
Abbott Laboratories 2.950% 3/15/25 175 167
Abbott Laboratories 3.875% 9/15/25 75 76
Abbott Laboratories 3.750% 11/30/26 500 500
Abbott Laboratories 4.750% 11/30/36 300 309
Abbott Laboratories 5.300% 5/27/40 125 135
Abbott Laboratories 4.750% 4/15/43 75 76

 

 

Abbott Laboratories 4.900% 11/30/46 650 673
AbbVie Inc. 1.800% 5/14/18 600 601
AbbVie Inc. 2.000% 11/6/18 225 226
AbbVie Inc. 2.500% 5/14/20 650 655
AbbVie Inc. 2.300% 5/14/21 175 173
AbbVie Inc. 2.900% 11/6/22 800 795
AbbVie Inc. 3.200% 11/6/22 275 277
AbbVie Inc. 2.850% 5/14/23 200 196
AbbVie Inc. 3.600% 5/14/25 525 525
AbbVie Inc. 3.200% 5/14/26 350 335
AbbVie Inc. 4.500% 5/14/35 475 471
AbbVie Inc. 4.300% 5/14/36 175 169
AbbVie Inc. 4.400% 11/6/42 426 406
AbbVie Inc. 4.700% 5/14/45 452 448
AbbVie Inc. 4.450% 5/14/46 300 286
Actavis Funding SCS 3.000% 3/12/20 624 633
Actavis Funding SCS 3.450% 3/15/22 507 516
Actavis Funding SCS 3.850% 6/15/24 200 203
Actavis Funding SCS 3.800% 3/15/25 690 694
Actavis Funding SCS 4.550% 3/15/35 400 401
Actavis Funding SCS 4.850% 6/15/44 295 298
Actavis Funding SCS 4.750% 3/15/45 425 428
Actavis Inc. 3.250% 10/1/22 300 302
Actavis Inc. 4.625% 10/1/42 175 171
Agilent Technologies Inc. 5.000% 7/15/20 100 108
Agilent Technologies Inc. 3.200% 10/1/22 300 303
Agilent Technologies Inc. 3.875% 7/15/23 100 104
Agilent Technologies Inc. 3.050% 9/22/26 75 72
Allergan Inc. 2.800% 3/15/23 100 96
Altria Group Inc. 9.250% 8/6/19 185 215
Altria Group Inc. 2.625% 1/14/20 500 506
Altria Group Inc. 4.750% 5/5/21 125 135
Altria Group Inc. 2.850% 8/9/22 325 326
Altria Group Inc. 2.950% 5/2/23 350 348
Altria Group Inc. 2.625% 9/16/26 75 71
Altria Group Inc. 4.250% 8/9/42 115 113
Altria Group Inc. 4.500% 5/2/43 200 203
Altria Group Inc. 5.375% 1/31/44 350 399
Altria Group Inc. 3.875% 9/16/46 225 208
AmerisourceBergen Corp. 4.875% 11/15/19 25 27
AmerisourceBergen Corp. 3.500% 11/15/21 200 206
AmerisourceBergen Corp. 3.400% 5/15/24 75 76
AmerisourceBergen Corp. 3.250% 3/1/25 50 50
AmerisourceBergen Corp. 4.250% 3/1/45 50 49
Amgen Inc. 5.700% 2/1/19 75 80
Amgen Inc. 2.125% 5/1/20 175 175
Amgen Inc. 3.450% 10/1/20 225 234
Amgen Inc. 4.100% 6/15/21 150 159
Amgen Inc. 1.850% 8/19/21 125 121
Amgen Inc. 3.875% 11/15/21 350 368
Amgen Inc. 2.700% 5/1/22 75 75
Amgen Inc. 3.625% 5/15/22 225 234
Amgen Inc. 2.250% 8/19/23 150 143
Amgen Inc. 3.625% 5/22/24 500 512
Amgen Inc. 3.125% 5/1/25 325 319
Amgen Inc. 2.600% 8/19/26 225 208
Amgen Inc. 4.950% 10/1/41 250 262

 

 

Amgen Inc. 4.400% 5/1/45 375 364
Amgen Inc. 4.563% 6/15/48 591 587
Amgen Inc. 4.663% 6/15/51 634 634
Anheuser-Busch Cos. LLC 5.000% 3/1/19 100 106
Anheuser-Busch Cos. LLC 6.800% 8/20/32 50 68
Anheuser-Busch Cos. LLC 5.750% 4/1/36 115 138
Anheuser-Busch Cos. LLC 6.500% 5/1/42 125 167
Anheuser-Busch InBev Finance Inc. 1.900% 2/1/19 750 751
Anheuser-Busch InBev Finance Inc. 2.150% 2/1/19 425 428
Anheuser-Busch InBev Finance Inc. 2.650% 2/1/21 1,300 1,308
Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 250 246
Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 1,030 1,049
Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 250 258
Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 2,075 2,096
Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 1,070 1,128
Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 300 285
Anheuser-Busch InBev Finance Inc. 4.625% 2/1/44 200 207
Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 1,910 2,062
Anheuser-Busch InBev Worldwide Inc. 7.750% 1/15/19 700 770
Anheuser-Busch InBev Worldwide Inc. 6.875% 11/15/19 175 197
Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 500 543
Anheuser-Busch InBev Worldwide Inc. 5.000% 4/15/20 150 163
Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 75 80
Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 525 519
Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 150 228
Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 75 98
Anheuser-Busch InBev Worldwide Inc. 4.950% 1/15/42 250 269
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 325 298
Archer-Daniels-Midland Co. 4.479% 3/1/21 163 177
Archer-Daniels-Midland Co. 2.500% 8/11/26 200 190
Archer-Daniels-Midland Co. 5.935% 10/1/32 80 98
Archer-Daniels-Midland Co. 5.375% 9/15/35 95 109
Archer-Daniels-Midland Co. 4.535% 3/26/42 50 53
Archer-Daniels-Midland Co. 4.016% 4/16/43 25 25
Ascension Health 3.945% 11/15/46 125 123
5 Ascension Health 4.847% 11/15/53 75 83
AstraZeneca plc 1.750% 11/16/18 200 200
AstraZeneca plc 1.950% 9/18/19 25 25
AstraZeneca plc 2.375% 11/16/20 350 350
AstraZeneca plc 3.375% 11/16/25 250 252
AstraZeneca plc 6.450% 9/15/37 450 587
AstraZeneca plc 4.375% 11/16/45 150 153
Baxalta Inc. 2.000% 6/22/18 75 75
Baxalta Inc. 2.875% 6/23/20 175 177
Baxalta Inc. 3.600% 6/23/22 50 51
Baxalta Inc. 4.000% 6/23/25 300 305
Baxalta Inc. 5.250% 6/23/45 180 197
Baxter International Inc. 1.700% 8/15/21 150 145
Baxter International Inc. 3.500% 8/15/46 100 86
Baylor Scott & White Holdings Texas        
Revenue 4.185% 11/15/45 100 99
Beam Suntory Inc. 3.250% 5/15/22 50 51
Becton Dickinson & Co. 2.675% 12/15/19 175 178
Becton Dickinson & Co. 3.250% 11/12/20 150 155
Becton Dickinson & Co. 3.125% 11/8/21 65 66
Becton Dickinson & Co. 3.300% 3/1/23 50 50
Becton Dickinson & Co. 3.734% 12/15/24 272 280

 

 

Becton Dickinson & Co. 4.685% 12/15/44 200 209
Biogen Inc. 2.900% 9/15/20 325 331
Biogen Inc. 3.625% 9/15/22 275 283
Biogen Inc. 4.050% 9/15/25 300 310
Biogen Inc. 5.200% 9/15/45 340 368
Boston Children's Hospital Corp. Revenue 4.115% 1/1/47 150 152
Boston Scientific Corp. 2.650% 10/1/18 285 288
Boston Scientific Corp. 6.000% 1/15/20 150 164
Boston Scientific Corp. 2.850% 5/15/20 100 101
Boston Scientific Corp. 3.375% 5/15/22 50 51
Boston Scientific Corp. 3.850% 5/15/25 150 152
Boston Scientific Corp. 7.000% 11/15/35 50 61
Boston Scientific Corp. 7.375% 1/15/40 50 63
Bristol-Myers Squibb Co. 2.000% 8/1/22 275 266
Bristol-Myers Squibb Co. 7.150% 6/15/23 200 248
Bristol-Myers Squibb Co. 5.875% 11/15/36 62 77
Bristol-Myers Squibb Co. 3.250% 8/1/42 200 175
Brown-Forman Corp. 2.250% 1/15/23 50 49
Brown-Forman Corp. 4.500% 7/15/45 100 106
Bunge Ltd. Finance Corp. 8.500% 6/15/19 275 311
Campbell Soup Co. 3.300% 3/19/25 125 126
Campbell Soup Co. 3.800% 8/2/42 75 70
Cardinal Health Inc. 1.950% 6/15/18 200 201
Cardinal Health Inc. 3.200% 3/15/23 150 152
Cardinal Health Inc. 3.750% 9/15/25 175 180
Cardinal Health Inc. 4.500% 11/15/44 100 99
Cardinal Health Inc. 4.900% 9/15/45 100 103
Catholic Health Initiatives Colorado GO 2.950% 11/1/22 75 73
5 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 200 174
Celgene Corp. 2.125% 8/15/18 125 126
Celgene Corp. 2.300% 8/15/18 100 101
Celgene Corp. 2.250% 5/15/19 125 126
Celgene Corp. 2.875% 8/15/20 250 254
Celgene Corp. 3.950% 10/15/20 125 131
Celgene Corp. 3.250% 8/15/22 175 177
Celgene Corp. 3.550% 8/15/22 50 51
Celgene Corp. 4.000% 8/15/23 125 130
Celgene Corp. 3.625% 5/15/24 175 177
Celgene Corp. 3.875% 8/15/25 425 434
Celgene Corp. 5.700% 10/15/40 50 55
Celgene Corp. 5.250% 8/15/43 175 184
Celgene Corp. 4.625% 5/15/44 175 174
Celgene Corp. 5.000% 8/15/45 250 261
Children's Hospital Medical Center Ohio GO 4.268% 5/15/44 50 52
Church & Dwight Co. Inc. 2.450% 12/15/19 75 76
City of Hope 5.623% 11/15/43 75 89
Cleveland Clinic Foundation Ohio Revenue 4.858% 1/1/14 100 97
Clorox Co. 3.800% 11/15/21 50 53
Clorox Co. 3.500% 12/15/24 250 258
Coca-Cola Bottling Co. Consolidated 3.800% 11/25/25 125 128
Coca-Cola Co. 1.375% 5/30/19 100 100
Coca-Cola Co. 1.875% 10/27/20 250 250
Coca-Cola Co. 2.450% 11/1/20 750 763
Coca-Cola Co. 3.150% 11/15/20 125 130
Coca-Cola Co. 1.550% 9/1/21 300 293
Coca-Cola Co. 3.300% 9/1/21 250 261
Coca-Cola Co. 3.200% 11/1/23 225 232

 

 

Coca-Cola Co. 2.875% 10/27/25 300 297
Coca-Cola Co. 2.550% 6/1/26 100 96
Coca-Cola Co. 2.250% 9/1/26 200 187
Coca-Cola Enterprises Inc. 3.500% 9/15/20 300 311
Coca-Cola Femsa SAB de CV 2.375% 11/26/18 150 150
Coca-Cola Femsa SAB de CV 4.625% 2/15/20 100 105
Coca-Cola Femsa SAB de CV 3.875% 11/26/23 250 257
Coca-Cola Femsa SAB de CV 5.250% 11/26/43 200 220
Colgate-Palmolive Co. 1.750% 3/15/19 75 75
Colgate-Palmolive Co. 2.450% 11/15/21 175 177
Colgate-Palmolive Co. 2.100% 5/1/23 280 272
Colgate-Palmolive Co. 3.250% 3/15/24 100 103
Colgate-Palmolive Co. 4.000% 8/15/45 150 154
Conagra Brands Inc. 3.250% 9/15/22 75 76
Conagra Brands Inc. 3.200% 1/25/23 426 429
Conagra Brands Inc. 8.250% 9/15/30 50 68
Constellation Brands Inc. 3.875% 11/15/19 75 78
Constellation Brands Inc. 3.750% 5/1/21 100 104
Constellation Brands Inc. 6.000% 5/1/22 100 113
Constellation Brands Inc. 4.250% 5/1/23 200 210
Constellation Brands Inc. 4.750% 11/15/24 175 189
Constellation Brands Inc. 3.700% 12/6/26 100 100
Covidien International Finance SA 4.200% 6/15/20 100 106
Covidien International Finance SA 3.200% 6/15/22 200 204
CR Bard Inc. 4.400% 1/15/21 75 80
Danaher Corp. 1.650% 9/15/18 100 100
Danaher Corp. 2.400% 9/15/20 100 101
Danaher Corp. 3.350% 9/15/25 100 103
Danaher Corp. 4.375% 9/15/45 100 105
Delhaize America LLC 9.000% 4/15/31 100 144
Diageo Capital plc 4.828% 7/15/20 125 135
Diageo Capital plc 2.625% 4/29/23 500 495
Diageo Capital plc 5.875% 9/30/36 50 62
Diageo Investment Corp. 2.875% 5/11/22 200 203
Diageo Investment Corp. 4.250% 5/11/42 150 152
Dignity Health California GO 3.125% 11/1/22 50 50
Dignity Health California GO 3.812% 11/1/24 100 100
Dignity Health California GO 4.500% 11/1/42 100 92
Dignity Health California GO 5.267% 11/1/64 75 74
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 36 38
Dr Pepper Snapple Group Inc. 2.000% 1/15/20 75 75
Dr Pepper Snapple Group Inc. 2.700% 11/15/22 50 49
Dr Pepper Snapple Group Inc. 3.130% 12/15/23 100 100
Dr Pepper Snapple Group Inc. 3.400% 11/15/25 100 100
Dr Pepper Snapple Group Inc. 2.550% 9/15/26 75 70
Dr Pepper Snapple Group Inc. 3.430% 6/15/27 75 74
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 75 103
Dr Pepper Snapple Group Inc. 4.420% 12/15/46 50 50
Edwards Lifesciences Corp. 2.875% 10/15/18 100 101
Eli Lilly & Co. 1.950% 3/15/19 125 126
Eli Lilly & Co. 2.750% 6/1/25 150 148
Eli Lilly & Co. 5.550% 3/15/37 100 121
Eli Lilly & Co. 3.700% 3/1/45 160 153
Estee Lauder Cos. Inc. 1.800% 2/7/20 100 100
Estee Lauder Cos. Inc. 1.700% 5/10/21 225 220
Estee Lauder Cos. Inc. 3.150% 3/15/27 125 125
Estee Lauder Cos. Inc. 6.000% 5/15/37 75 91

 

 

Estee Lauder Cos. Inc. 4.375% 6/15/45 100 103
Estee Lauder Cos. Inc. 4.150% 3/15/47 100 100
Express Scripts Holding Co. 4.750% 11/15/21 425 457
Express Scripts Holding Co. 3.900% 2/15/22 200 208
Express Scripts Holding Co. 3.000% 7/15/23 500 484
Express Scripts Holding Co. 4.500% 2/25/26 265 270
Express Scripts Holding Co. 3.400% 3/1/27 300 282
Express Scripts Holding Co. 6.125% 11/15/41 42 48
Express Scripts Holding Co. 4.800% 7/15/46 325 309
Flowers Foods Inc. 4.375% 4/1/22 100 106
Flowers Foods Inc. 3.500% 10/1/26 50 49
Fomento Economico Mexicano SAB de CV 4.375% 5/10/43 100 97
General Mills Inc. 5.650% 2/15/19 275 294
General Mills Inc. 2.200% 10/21/19 200 201
General Mills Inc. 3.150% 12/15/21 25 26
General Mills Inc. 3.200% 2/10/27 150 147
General Mills Inc. 5.400% 6/15/40 100 113
Gilead Sciences Inc. 1.850% 9/4/18 125 125
Gilead Sciences Inc. 2.050% 4/1/19 400 401
Gilead Sciences Inc. 2.350% 2/1/20 105 106
Gilead Sciences Inc. 2.550% 9/1/20 325 328
Gilead Sciences Inc. 4.500% 4/1/21 150 161
Gilead Sciences Inc. 4.400% 12/1/21 725 778
Gilead Sciences Inc. 3.250% 9/1/22 175 179
Gilead Sciences Inc. 2.500% 9/1/23 125 121
Gilead Sciences Inc. 3.700% 4/1/24 350 359
Gilead Sciences Inc. 3.500% 2/1/25 310 312
Gilead Sciences Inc. 3.650% 3/1/26 575 579
Gilead Sciences Inc. 4.600% 9/1/35 150 154
Gilead Sciences Inc. 5.650% 12/1/41 175 201
Gilead Sciences Inc. 4.800% 4/1/44 300 307
Gilead Sciences Inc. 4.500% 2/1/45 275 269
Gilead Sciences Inc. 4.750% 3/1/46 255 260
Gilead Sciences Inc. 4.150% 3/1/47 575 532
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 675 706
GlaxoSmithKline Capital Inc. 2.800% 3/18/23 50 50
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 550 723
GlaxoSmithKline Capital Inc. 4.200% 3/18/43 100 103
GlaxoSmithKline Capital plc 2.850% 5/8/22 100 101
Hasbro Inc. 6.350% 3/15/40 125 149
Hasbro Inc. 5.100% 5/15/44 50 51
Hershey Co. 1.600% 8/21/18 75 75
Hershey Co. 4.125% 12/1/20 75 81
Hershey Co. 2.625% 5/1/23 100 99
Hershey Co. 3.200% 8/21/25 65 66
Hershey Co. 2.300% 8/15/26 100 94
Hillshire Brands Co. 4.100% 9/15/20 50 52
Hormel Foods Corp. 4.125% 4/15/21 25 27
Ingredion Inc. 4.625% 11/1/20 25 27
Ingredion Inc. 3.200% 10/1/26 100 98
JM Smucker Co. 2.500% 3/15/20 75 76
JM Smucker Co. 3.500% 10/15/21 175 182
JM Smucker Co. 3.000% 3/15/22 100 101
JM Smucker Co. 3.500% 3/15/25 175 177
JM Smucker Co. 4.250% 3/15/35 100 100
JM Smucker Co. 4.375% 3/15/45 100 100
Johns Hopkins Health System Corp. 3.837% 5/15/46 100 98

 

 

Johnson & Johnson 5.150% 7/15/18 150 157
Johnson & Johnson 1.125% 3/1/19 150 149
Johnson & Johnson 2.950% 9/1/20 100 104
Johnson & Johnson 1.650% 3/1/21 200 197
Johnson & Johnson 2.250% 3/3/22 400 401
Johnson & Johnson 2.050% 3/1/23 125 122
Johnson & Johnson 3.375% 12/5/23 200 211
Johnson & Johnson 2.450% 3/1/26 350 336
Johnson & Johnson 2.950% 3/3/27 175 175
Johnson & Johnson 6.950% 9/1/29 25 34
Johnson & Johnson 4.950% 5/15/33 150 175
Johnson & Johnson 4.375% 12/5/33 100 110
Johnson & Johnson 3.550% 3/1/36 175 173
Johnson & Johnson 3.625% 3/3/37 150 149
Johnson & Johnson 5.950% 8/15/37 375 491
Johnson & Johnson 4.500% 9/1/40 150 165
Johnson & Johnson 3.700% 3/1/46 350 342
Johnson & Johnson 3.750% 3/3/47 175 173
Kaiser Foundation Hospitals 3.500% 4/1/22 50 52
Kaiser Foundation Hospitals 4.875% 4/1/42 100 112
Kellogg Co. 4.150% 11/15/19 125 131
Kellogg Co. 4.000% 12/15/20 172 182
Kellogg Co. 2.650% 12/1/23 150 146
Kellogg Co. 3.250% 4/1/26 125 122
Kellogg Co. 7.450% 4/1/31 25 32
Kellogg Co. 4.500% 4/1/46 250 246
Kimberly-Clark Corp. 6.250% 7/15/18 50 53
Kimberly-Clark Corp. 1.400% 2/15/19 125 125
Kimberly-Clark Corp. 3.625% 8/1/20 140 147
Kimberly-Clark Corp. 2.650% 3/1/25 125 121
Kimberly-Clark Corp. 3.050% 8/15/25 50 50
Kimberly-Clark Corp. 2.750% 2/15/26 100 98
Kimberly-Clark Corp. 6.625% 8/1/37 250 341
Kimberly-Clark Corp. 3.200% 7/30/46 100 87
Koninklijke Philips NV 3.750% 3/15/22 200 207
Koninklijke Philips NV 5.000% 3/15/42 50 52
Kraft Foods Group Inc. 6.125% 8/23/18 175 185
Kraft Foods Group Inc. 5.375% 2/10/20 138 150
Kraft Foods Group Inc. 6.875% 1/26/39 325 405
Kraft Foods Group Inc. 5.000% 6/4/42 435 440
Kraft Heinz Foods Co. 2.000% 7/2/18 350 351
Kraft Heinz Foods Co. 2.800% 7/2/20 280 284
Kraft Heinz Foods Co. 3.500% 7/15/22 175 179
Kraft Heinz Foods Co. 3.950% 7/15/25 360 365
Kraft Heinz Foods Co. 3.000% 6/1/26 325 305
Kraft Heinz Foods Co. 5.000% 7/15/35 170 176
Kraft Heinz Foods Co. 5.200% 7/15/45 295 306
Kraft Heinz Foods Co. 4.375% 6/1/46 600 563
Kroger Co. 4.450% 2/1/47 125 123
Laboratory Corp. of America Holdings 2.500% 11/1/18 50 50
Laboratory Corp. of America Holdings 2.625% 2/1/20 50 50
Laboratory Corp. of America Holdings 3.200% 2/1/22 100 100
Laboratory Corp. of America Holdings 3.750% 8/23/22 25 26
Laboratory Corp. of America Holdings 3.600% 2/1/25 175 173
Laboratory Corp. of America Holdings 4.700% 2/1/45 145 141
Life Technologies Corp. 6.000% 3/1/20 125 137
Life Technologies Corp. 5.000% 1/15/21 100 107

 

 

Mattel Inc. 2.350% 5/6/19 200 201
Mattel Inc. 2.350% 8/15/21 75 73
Mattel Inc. 3.150% 3/15/23 25 25
Mattel Inc. 5.450% 11/1/41 75 76
5 Mayo Clinic 3.774% 11/15/43 75 71
5 Mayo Clinic 4.128% 11/15/52 50 50
McCormick & Co. Inc. 3.900% 7/15/21 50 53
McKesson Corp. 7.500% 2/15/19 250 274
McKesson Corp. 2.284% 3/15/19 150 151
McKesson Corp. 4.750% 3/1/21 25 27
McKesson Corp. 3.796% 3/15/24 200 207
McKesson Corp. 6.000% 3/1/41 200 232
Mead Johnson Nutrition Co. 4.900% 11/1/19 100 107
Mead Johnson Nutrition Co. 3.000% 11/15/20 150 153
Mead Johnson Nutrition Co. 4.125% 11/15/25 125 131
Mead Johnson Nutrition Co. 5.900% 11/1/39 100 119
Mead Johnson Nutrition Co. 4.600% 6/1/44 75 78
Medtronic Global Holdings SCA 3.350% 4/1/27 150 151
Medtronic Inc. 5.600% 3/15/19 25 27
Medtronic Inc. 2.500% 3/15/20 650 659
Medtronic Inc. 3.125% 3/15/22 760 777
Medtronic Inc. 3.150% 3/15/22 650 669
Medtronic Inc. 3.625% 3/15/24 50 52
Medtronic Inc. 3.500% 3/15/25 850 870
Medtronic Inc. 4.375% 3/15/35 468 491
Medtronic Inc. 6.500% 3/15/39 25 32
Medtronic Inc. 5.550% 3/15/40 150 174
Medtronic Inc. 4.500% 3/15/42 21 22
Medtronic Inc. 4.625% 3/15/44 55 58
Medtronic Inc. 4.625% 3/15/45 775 826
Memorial Sloan-Kettering Cancer Center New        
York GO 5.000% 7/1/42 50 57
Memorial Sloan-Kettering Cancer Center New        
York GO 4.125% 7/1/52 150 148
Memorial Sloan-Kettering Cancer Center New        
York GO 4.200% 7/1/55 25 25
Merck & Co. Inc. 1.300% 5/18/18 400 400
Merck & Co. Inc. 1.850% 2/10/20 200 200
Merck & Co. Inc. 3.875% 1/15/21 250 265
Merck & Co. Inc. 2.350% 2/10/22 225 225
Merck & Co. Inc. 2.400% 9/15/22 250 248
Merck & Co. Inc. 2.750% 2/10/25 200 197
Merck & Co. Inc. 6.500% 12/1/33 75 98
Merck & Co. Inc. 6.550% 9/15/37 125 168
Merck & Co. Inc. 3.600% 9/15/42 75 70
Merck & Co. Inc. 4.150% 5/18/43 200 205
Merck & Co. Inc. 3.700% 2/10/45 475 451
Merck Sharp & Dohme Corp. 5.000% 6/30/19 100 107
Merck Sharp & Dohme Corp. 5.750% 11/15/36 150 184
8 Molson Coors Brewing Co. 1.900% 3/15/19 100 100
Molson Coors Brewing Co. 1.450% 7/15/19 100 99
8 Molson Coors Brewing Co. 2.250% 3/15/20 100 100
Molson Coors Brewing Co. 2.100% 7/15/21 100 98
Molson Coors Brewing Co. 3.500% 5/1/22 25 26
Molson Coors Brewing Co. 3.000% 7/15/26 350 332
Molson Coors Brewing Co. 5.000% 5/1/42 100 106
Molson Coors Brewing Co. 4.200% 7/15/46 425 398

 

 

Mondelez International Inc. 6.500% 2/9/40 100 124
Mylan Inc. 2.600% 6/24/18 20 20
Mylan Inc. 2.550% 3/28/19 275 276
Mylan Inc. 4.200% 11/29/23 150 154
Mylan Inc. 5.400% 11/29/43 75 78
Mylan NV 2.500% 6/7/19 75 75
Mylan NV 3.150% 6/15/21 400 400
Mylan NV 3.950% 6/15/26 400 391
Mylan NV 5.250% 6/15/46 175 179
New York & Presbyterian Hospital 4.024% 8/1/45 130 127
New York & Presbyterian Hospital 4.063% 8/1/56 75 70
New York & Presbyterian Hospital 4.763% 8/1/16 60 56
Newell Brands Inc. 2.150% 10/15/18 50 50
Newell Brands Inc. 2.600% 3/29/19 25 25
Newell Brands Inc. 3.150% 4/1/21 175 179
Newell Brands Inc. 3.850% 4/1/23 310 320
Newell Brands Inc. 4.000% 12/1/24 100 103
Newell Brands Inc. 3.900% 11/1/25 50 51
Newell Brands Inc. 4.200% 4/1/26 475 494
Newell Brands Inc. 5.375% 4/1/36 100 113
Newell Brands Inc. 5.500% 4/1/46 350 397
Northwell Healthcare Inc. 3.979% 11/1/46 150 137
Novant Health Inc. 5.850% 11/1/19 150 164
Novartis Capital Corp. 1.800% 2/14/20 350 349
Novartis Capital Corp. 2.400% 5/17/22 350 348
Novartis Capital Corp. 2.400% 9/21/22 75 75
Novartis Capital Corp. 3.400% 5/6/24 400 413
Novartis Capital Corp. 3.000% 11/20/25 300 299
Novartis Capital Corp. 3.100% 5/17/27 175 175
Novartis Capital Corp. 3.700% 9/21/42 75 72
Novartis Capital Corp. 4.400% 5/6/44 300 319
Novartis Capital Corp. 4.000% 11/20/45 250 251
Novartis Securities Investment Ltd. 5.125% 2/10/19 450 478
NYU Hospitals Center 4.784% 7/1/44 100 105
PepsiCo Inc. 1.250% 4/30/18 325 325
PepsiCo Inc. 5.000% 6/1/18 325 338
PepsiCo Inc. 1.350% 10/4/19 175 174
PepsiCo Inc. 4.500% 1/15/20 25 27
PepsiCo Inc. 1.850% 4/30/20 675 673
PepsiCo Inc. 2.150% 10/14/20 200 201
PepsiCo Inc. 3.000% 8/25/21 150 154
PepsiCo Inc. 1.700% 10/6/21 175 170
PepsiCo Inc. 2.750% 3/5/22 375 381
PepsiCo Inc. 2.750% 4/30/25 200 196
PepsiCo Inc. 3.500% 7/17/25 125 130
PepsiCo Inc. 2.375% 10/6/26 225 212
PepsiCo Inc. 5.500% 1/15/40 250 304
PepsiCo Inc. 4.875% 11/1/40 250 281
PepsiCo Inc. 4.000% 3/5/42 175 174
PepsiCo Inc. 4.250% 10/22/44 200 207
PepsiCo Inc. 4.450% 4/14/46 125 132
PepsiCo Inc. 3.450% 10/6/46 225 203
PerkinElmer Inc. 5.000% 11/15/21 650 705
Perrigo Co. plc 2.300% 11/8/18 310 312
Perrigo Co. plc 5.300% 11/15/43 150 153
Perrigo Finance Unlimited Co. 3.900% 12/15/24 200 199
Perrigo Finance Unlimited Co. 4.375% 3/15/26 225 229

 

 

Pfizer Inc. 1.200% 6/1/18 200 200
Pfizer Inc. 2.100% 5/15/19 450 454
Pfizer Inc. 1.450% 6/3/19 225 224
Pfizer Inc. 1.700% 12/15/19 100 100
Pfizer Inc. 1.950% 6/3/21 225 224
Pfizer Inc. 2.200% 12/15/21 100 100
Pfizer Inc. 3.400% 5/15/24 100 104
Pfizer Inc. 2.750% 6/3/26 240 233
Pfizer Inc. 3.000% 12/15/26 300 296
Pfizer Inc. 4.000% 12/15/36 350 353
Pfizer Inc. 7.200% 3/15/39 275 392
Pfizer Inc. 4.300% 6/15/43 125 129
Pfizer Inc. 4.400% 5/15/44 200 208
Pfizer Inc. 4.125% 12/15/46 275 273
Pharmacia LLC 6.600% 12/1/28 75 96
Philip Morris International Inc. 5.650% 5/16/18 325 340
Philip Morris International Inc. 1.375% 2/25/19 100 99
Philip Morris International Inc. 2.000% 2/21/20 175 175
Philip Morris International Inc. 1.875% 2/25/21 125 123
Philip Morris International Inc. 2.625% 3/6/23 100 98
Philip Morris International Inc. 2.125% 5/10/23 95 90
Philip Morris International Inc. 3.250% 11/10/24 225 226
Philip Morris International Inc. 3.375% 8/11/25 400 403
Philip Morris International Inc. 2.750% 2/25/26 125 120
Philip Morris International Inc. 6.375% 5/16/38 200 254
Philip Morris International Inc. 4.375% 11/15/41 425 425
Philip Morris International Inc. 4.500% 3/20/42 100 102
Philip Morris International Inc. 3.875% 8/21/42 25 23
Philip Morris International Inc. 4.125% 3/4/43 125 120
Philip Morris International Inc. 4.250% 11/10/44 150 148
Premier Health Partners 2.911% 11/15/26 50 46
5 Procter & Gamble - Esop 9.360% 1/1/21 198 229
Procter & Gamble Co. 1.850% 2/2/21 100 100
Procter & Gamble Co. 1.700% 11/3/21 125 122
Procter & Gamble Co. 2.300% 2/6/22 425 427
Procter & Gamble Co. 3.100% 8/15/23 150 155
Procter & Gamble Co. 2.700% 2/2/26 100 98
Procter & Gamble Co. 2.450% 11/3/26 100 95
Procter & Gamble Co. 5.550% 3/5/37 30 39
Providence St. Joseph Health Obligated        
Group 2.746% 10/1/26 50 48
Quest Diagnostics Inc. 2.700% 4/1/19 75 76
Quest Diagnostics Inc. 2.500% 3/30/20 70 70
Quest Diagnostics Inc. 4.250% 4/1/24 100 105
Quest Diagnostics Inc. 3.500% 3/30/25 125 124
Quest Diagnostics Inc. 3.450% 6/1/26 125 123
Quest Diagnostics Inc. 5.750% 1/30/40 13 14
Reynolds American Inc. 2.300% 6/12/18 225 226
Reynolds American Inc. 8.125% 6/23/19 175 197
Reynolds American Inc. 3.250% 6/12/20 370 380
Reynolds American Inc. 4.000% 6/12/22 175 184
Reynolds American Inc. 4.850% 9/15/23 25 27
Reynolds American Inc. 4.450% 6/12/25 475 499
Reynolds American Inc. 5.700% 8/15/35 175 200
Reynolds American Inc. 7.250% 6/15/37 125 165
Reynolds American Inc. 5.850% 8/15/45 325 381
RWJ Barnabas Health Inc. 3.949% 7/1/46 100 94

 

 

Sanofi 1.250% 4/10/18 275 275
Sanofi 4.000% 3/29/21 350 371
Shire Acquisitions Investments Ireland DAC 1.900% 9/23/19 575 570
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 1,000 974
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 650 628
Southern Baptist Hospital of Florida Inc. 4.857% 7/15/45 25 27
Stryker Corp. 2.000% 3/8/19 125 125
Stryker Corp. 4.375% 1/15/20 50 53
Stryker Corp. 2.625% 3/15/21 125 126
Stryker Corp. 3.375% 5/15/24 200 203
Stryker Corp. 3.375% 11/1/25 140 141
Stryker Corp. 3.500% 3/15/26 183 185
Stryker Corp. 4.375% 5/15/44 50 49
Stryker Corp. 4.625% 3/15/46 250 257
Sysco Corp. 1.900% 4/1/19 100 100
Sysco Corp. 2.600% 10/1/20 50 50
Sysco Corp. 2.500% 7/15/21 75 75
Sysco Corp. 3.750% 10/1/25 75 77
Sysco Corp. 3.300% 7/15/26 200 196
Sysco Corp. 5.375% 9/21/35 100 112
Sysco Corp. 4.850% 10/1/45 50 53
Sysco Corp. 4.500% 4/1/46 100 100
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21 300 305
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22 422 411
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21 129 131
Teva Pharmaceutical Finance Netherlands III        
BV 1.400% 7/20/18 300 298
Teva Pharmaceutical Finance Netherlands III        
BV 1.700% 7/19/19 250 247
Teva Pharmaceutical Finance Netherlands III        
BV 2.200% 7/21/21 525 506
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 500 476
Teva Pharmaceutical Finance Netherlands III        
BV 3.150% 10/1/26 600 553
Teva Pharmaceutical Finance Netherlands III        
BV 4.100% 10/1/46 450 388
5 Texas Health Resources 4.330% 11/15/55 25 26
The Kroger Co. 2.000% 1/15/19 50 50
The Kroger Co. 1.500% 9/30/19 100 99
The Kroger Co. 6.150% 1/15/20 125 138
The Kroger Co. 3.300% 1/15/21 250 256
The Kroger Co. 2.600% 2/1/21 50 50
The Kroger Co. 2.950% 11/1/21 150 151
The Kroger Co. 3.400% 4/15/22 250 256
The Kroger Co. 4.000% 2/1/24 175 182
The Kroger Co. 3.500% 2/1/26 100 100
The Kroger Co. 2.650% 10/15/26 125 115
The Kroger Co. 7.700% 6/1/29 50 66
The Kroger Co. 8.000% 9/15/29 125 169
The Kroger Co. 7.500% 4/1/31 100 134
The Kroger Co. 6.900% 4/15/38 75 97
The Kroger Co. 5.400% 7/15/40 50 55
The Kroger Co. 5.150% 8/1/43 100 107
The Kroger Co. 3.875% 10/15/46 50 45
The Pepsi Bottling Group Inc. 7.000% 3/1/29 250 340
Thermo Fisher Scientific Inc. 4.500% 3/1/21 200 214

 

 

Thermo Fisher Scientific Inc. 3.600% 8/15/21 200 208
Thermo Fisher Scientific Inc. 3.300% 2/15/22 200 204
Thermo Fisher Scientific Inc. 3.150% 1/15/23 100 100
Thermo Fisher Scientific Inc. 3.000% 4/15/23 125 124
Thermo Fisher Scientific Inc. 3.650% 12/15/25 500 507
Thermo Fisher Scientific Inc. 2.950% 9/19/26 200 190
Trinity Health Corp. 4.125% 12/1/45 60 58
Tupperware Brands Corp. 4.750% 6/1/21 100 107
Tyson Foods Inc. 2.650% 8/15/19 175 177
Tyson Foods Inc. 4.500% 6/15/22 275 293
Tyson Foods Inc. 3.950% 8/15/24 100 102
Tyson Foods Inc. 4.875% 8/15/34 350 359
Tyson Foods Inc. 5.150% 8/15/44 100 105
Unilever Capital Corp. 2.200% 3/6/19 200 202
Unilever Capital Corp. 2.100% 7/30/20 250 251
Unilever Capital Corp. 4.250% 2/10/21 200 214
Unilever Capital Corp. 1.375% 7/28/21 100 96
Unilever Capital Corp. 3.100% 7/30/25 225 224
Unilever Capital Corp. 2.000% 7/28/26 125 113
Unilever Capital Corp. 5.900% 11/15/32 50 64
Whirlpool Corp. 4.850% 6/15/21 50 54
Whirlpool Corp. 4.700% 6/1/22 100 109
Whirlpool Corp. 4.000% 3/1/24 175 183
Whirlpool Corp. 3.700% 5/1/25 75 77
Whirlpool Corp. 4.500% 6/1/46 150 149
Whole Foods Market Inc. 5.200% 12/3/25 225 238
Wyeth LLC 7.250% 3/1/23 250 310
Wyeth LLC 6.450% 2/1/24 100 121
Wyeth LLC 6.500% 2/1/34 150 194
Wyeth LLC 6.000% 2/15/36 85 105
Wyeth LLC 5.950% 4/1/37 360 445
Zeneca Wilmington Inc. 7.000% 11/15/23 25 31
Zimmer Biomet Holdings Inc. 2.000% 4/1/18 200 200
Zimmer Biomet Holdings Inc. 4.625% 11/30/19 50 53
Zimmer Biomet Holdings Inc. 2.700% 4/1/20 200 201
Zimmer Biomet Holdings Inc. 3.375% 11/30/21 100 101
Zimmer Biomet Holdings Inc. 3.150% 4/1/22 175 176
Zimmer Biomet Holdings Inc. 3.550% 4/1/25 250 247
Zoetis Inc. 3.450% 11/13/20 75 77
Zoetis Inc. 3.250% 2/1/23 300 303
Zoetis Inc. 4.500% 11/13/25 100 108
Zoetis Inc. 4.700% 2/1/43 100 102
 
Energy (2.7%)        
Anadarko Petroleum Corp. 5.550% 3/15/26 200 222
Anadarko Petroleum Corp. 6.450% 9/15/36 200 236
Anadarko Petroleum Corp. 7.950% 6/15/39 25 32
Anadarko Petroleum Corp. 6.200% 3/15/40 275 310
Anadarko Petroleum Corp. 4.500% 7/15/44 700 659
Anadarko Petroleum Corp. 6.600% 3/15/46 200 242
Apache Corp. 6.900% 9/15/18 300 321
Apache Corp. 3.625% 2/1/21 75 77
Apache Corp. 6.000% 1/15/37 350 395
Apache Corp. 5.100% 9/1/40 350 360
Apache Corp. 4.750% 4/15/43 200 200
Baker Hughes Inc. 3.200% 8/15/21 300 307
Baker Hughes Inc. 5.125% 9/15/40 175 192

 

 

Boardwalk Pipelines LP 3.375% 2/1/23 100 97
Boardwalk Pipelines LP 4.950% 12/15/24 150 157
Boardwalk Pipelines LP 5.950% 6/1/26 200 221
Boardwalk Pipelines LP 4.450% 7/15/27 100 101
BP Capital Markets plc 4.750% 3/10/19 175 184
BP Capital Markets plc 1.676% 5/3/19 200 199
BP Capital Markets plc 2.237% 5/10/19 425 428
BP Capital Markets plc 2.315% 2/13/20 500 504
BP Capital Markets plc 4.500% 10/1/20 300 323
BP Capital Markets plc 4.742% 3/11/21 250 271
BP Capital Markets plc 3.062% 3/17/22 25 25
BP Capital Markets plc 3.245% 5/6/22 250 255
BP Capital Markets plc 2.500% 11/6/22 75 74
BP Capital Markets plc 2.750% 5/10/23 300 296
BP Capital Markets plc 3.994% 9/26/23 200 209
BP Capital Markets plc 3.216% 11/28/23 200 201
BP Capital Markets plc 3.814% 2/10/24 400 414
BP Capital Markets plc 3.535% 11/4/24 68 69
BP Capital Markets plc 3.506% 3/17/25 200 201
BP Capital Markets plc 3.119% 5/4/26 350 342
BP Capital Markets plc 3.723% 11/28/28 200 203
Buckeye Partners LP 2.650% 11/15/18 225 226
Buckeye Partners LP 4.150% 7/1/23 75 76
Buckeye Partners LP 3.950% 12/1/26 100 98
Buckeye Partners LP 5.850% 11/15/43 25 26
Buckeye Partners LP 5.600% 10/15/44 75 77
Burlington Resources Finance Co. 7.400% 12/1/31 175 237
Canadian Natural Resources Ltd. 7.200% 1/15/32 225 273
Canadian Natural Resources Ltd. 6.450% 6/30/33 125 142
Canadian Natural Resources Ltd. 5.850% 2/1/35 100 108
Canadian Natural Resources Ltd. 6.500% 2/15/37 50 57
Canadian Natural Resources Ltd. 6.250% 3/15/38 100 114
Cenovus Energy Inc. 5.700% 10/15/19 100 108
Cenovus Energy Inc. 6.750% 11/15/39 300 343
Cenovus Energy Inc. 5.200% 9/15/43 100 98
Chevron Corp. 1.718% 6/24/18 350 351
Chevron Corp. 1.790% 11/16/18 300 301
Chevron Corp. 1.686% 2/28/19 100 100
Chevron Corp. 4.950% 3/3/19 275 291
Chevron Corp. 1.561% 5/16/19 200 200
Chevron Corp. 2.193% 11/15/19 300 303
Chevron Corp. 1.961% 3/3/20 275 275
Chevron Corp. 1.991% 3/3/20 100 100
Chevron Corp. 2.419% 11/17/20 200 202
Chevron Corp. 2.100% 5/16/21 300 297
Chevron Corp. 2.411% 3/3/22 125 125
Chevron Corp. 2.498% 3/3/22 100 100
Chevron Corp. 2.355% 12/5/22 325 320
Chevron Corp. 3.191% 6/24/23 400 410
Chevron Corp. 2.895% 3/3/24 100 100
Chevron Corp. 2.954% 5/16/26 400 395
Cimarex Energy Co. 4.375% 6/1/24 200 208
Columbia Pipeline Group Inc. 2.450% 6/1/18 100 101
Columbia Pipeline Group Inc. 3.300% 6/1/20 125 127
Columbia Pipeline Group Inc. 4.500% 6/1/25 300 315
ConocoPhillips 5.750% 2/1/19 875 937
ConocoPhillips 5.900% 10/15/32 50 60

 

 

ConocoPhillips 5.900% 5/15/38 150 180
ConocoPhillips 6.500% 2/1/39 200 255
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 200 232
ConocoPhillips Co. 4.200% 3/15/21 500 532
ConocoPhillips Co. 2.400% 12/15/22 250 244
ConocoPhillips Co. 3.350% 11/15/24 100 101
ConocoPhillips Co. 4.150% 11/15/34 100 100
ConocoPhillips Co. 4.300% 11/15/44 125 125
ConocoPhillips Co. 5.950% 3/15/46 300 372
ConocoPhillips Holding Co. 6.950% 4/15/29 150 194
Devon Energy Corp. 4.000% 7/15/21 100 103
Devon Energy Corp. 3.250% 5/15/22 200 198
Devon Energy Corp. 7.950% 4/15/32 33 43
Devon Energy Corp. 5.600% 7/15/41 250 264
Devon Energy Corp. 4.750% 5/15/42 200 192
Devon Financing Co. LLC 7.875% 9/30/31 200 258
Dominion Gas Holdings LLC 2.800% 11/15/20 200 202
Dominion Gas Holdings LLC 3.600% 12/15/24 200 202
Dominion Gas Holdings LLC 4.600% 12/15/44 200 201
Enable Midstream Partners LP 2.400% 5/15/19 100 99
Enable Midstream Partners LP 4.400% 3/15/27 150 148
Enable Midstream Partners LP 5.000% 5/15/44 100 92
Enbridge Energy Partners LP 6.500% 4/15/18 75 78
Enbridge Energy Partners LP 9.875% 3/1/19 225 256
Enbridge Energy Partners LP 4.375% 10/15/20 100 105
Enbridge Energy Partners LP 5.875% 10/15/25 150 168
Enbridge Energy Partners LP 7.500% 4/15/38 150 179
Enbridge Energy Partners LP 5.500% 9/15/40 75 75
Enbridge Energy Partners LP 7.375% 10/15/45 25 31
Enbridge Inc. 4.250% 12/1/26 200 204
Enbridge Inc. 4.500% 6/10/44 100 92
Enbridge Inc. 5.500% 12/1/46 200 211
Encana Corp. 6.500% 8/15/34 450 506
Encana Corp. 6.625% 8/15/37 200 226
Energy Transfer Partners LP 2.500% 6/15/18 100 100
Energy Transfer Partners LP 9.000% 4/15/19 229 258
Energy Transfer Partners LP 4.150% 10/1/20 75 78
Energy Transfer Partners LP 4.650% 6/1/21 105 110
Energy Transfer Partners LP 3.600% 2/1/23 475 472
Energy Transfer Partners LP 4.050% 3/15/25 1,000 988
Energy Transfer Partners LP 4.750% 1/15/26 100 103
Energy Transfer Partners LP 4.200% 4/15/27 100 99
Energy Transfer Partners LP 6.625% 10/15/36 150 167
Energy Transfer Partners LP 6.050% 6/1/41 100 103
Energy Transfer Partners LP 6.500% 2/1/42 175 189
Energy Transfer Partners LP 5.150% 3/15/45 100 94
Energy Transfer Partners LP 5.300% 4/15/47 100 96
EnLink Midstream Partners LP 4.400% 4/1/24 100 101
EnLink Midstream Partners LP 4.150% 6/1/25 100 99
EnLink Midstream Partners LP 4.850% 7/15/26 200 206
EnLink Midstream Partners LP 5.600% 4/1/44 125 125
Enterprise Products Operating LLC 6.650% 4/15/18 75 79
Enterprise Products Operating LLC 1.650% 5/7/18 50 50
Enterprise Products Operating LLC 6.500% 1/31/19 50 54
Enterprise Products Operating LLC 2.550% 10/15/19 225 227
Enterprise Products Operating LLC 5.200% 9/1/20 300 326
Enterprise Products Operating LLC 3.350% 3/15/23 200 201

 

 

Enterprise Products Operating LLC 3.900% 2/15/24 375 384
Enterprise Products Operating LLC 3.750% 2/15/25 150 151
Enterprise Products Operating LLC 3.700% 2/15/26 100 100
Enterprise Products Operating LLC 3.950% 2/15/27 200 204
Enterprise Products Operating LLC 6.875% 3/1/33 175 215
Enterprise Products Operating LLC 7.550% 4/15/38 150 196
Enterprise Products Operating LLC 6.125% 10/15/39 150 174
Enterprise Products Operating LLC 5.950% 2/1/41 175 200
Enterprise Products Operating LLC 4.450% 2/15/43 300 285
Enterprise Products Operating LLC 4.850% 3/15/44 300 303
Enterprise Products Operating LLC 5.100% 2/15/45 100 104
Enterprise Products Operating LLC 4.900% 5/15/46 200 205
Enterprise Products Operating LLC 4.950% 10/15/54 100 100
5 Enterprise Products Operating LLC 7.034% 1/15/68 225 232
EOG Resources Inc. 4.400% 6/1/20 100 106
EOG Resources Inc. 4.100% 2/1/21 350 369
EOG Resources Inc. 2.625% 3/15/23 450 439
EOG Resources Inc. 3.900% 4/1/35 75 71
EQT Corp. 6.500% 4/1/18 350 365
EQT Corp. 4.875% 11/15/21 125 134
EQT Midstream Partners LP 4.125% 12/1/26 100 99
Exxon Mobil Corp. 1.819% 3/15/19 45 45
Exxon Mobil Corp. 1.912% 3/6/20 265 265
Exxon Mobil Corp. 2.222% 3/1/21 400 400
Exxon Mobil Corp. 2.397% 3/6/22 350 350
Exxon Mobil Corp. 2.726% 3/1/23 500 501
Exxon Mobil Corp. 2.709% 3/6/25 300 294
Exxon Mobil Corp. 3.043% 3/1/26 300 300
Exxon Mobil Corp. 3.567% 3/6/45 175 164
Exxon Mobil Corp. 4.114% 3/1/46 425 435
Halliburton Co. 2.000% 8/1/18 125 125
Halliburton Co. 3.500% 8/1/23 225 229
Halliburton Co. 3.800% 11/15/25 350 355
Halliburton Co. 4.850% 11/15/35 200 211
Halliburton Co. 6.700% 9/15/38 125 156
Halliburton Co. 7.450% 9/15/39 200 267
Halliburton Co. 4.750% 8/1/43 150 152
Halliburton Co. 5.000% 11/15/45 300 315
Hess Corp. 3.500% 7/15/24 100 96
Hess Corp. 4.300% 4/1/27 250 245
Hess Corp. 7.125% 3/15/33 100 114
Hess Corp. 6.000% 1/15/40 150 153
Hess Corp. 5.600% 2/15/41 300 301
Hess Corp. 5.800% 4/1/47 200 206
Husky Energy Inc. 6.150% 6/15/19 100 108
Husky Energy Inc. 4.000% 4/15/24 150 152
Husky Energy Inc. 6.800% 9/15/37 50 62
Kerr-McGee Corp. 6.950% 7/1/24 250 295
Kerr-McGee Corp. 7.875% 9/15/31 50 64
Kinder Morgan Energy Partners LP 9.000% 2/1/19 365 408
Kinder Morgan Energy Partners LP 6.850% 2/15/20 750 835
Kinder Morgan Energy Partners LP 3.500% 3/1/21 125 127
Kinder Morgan Energy Partners LP 5.000% 10/1/21 150 161
Kinder Morgan Energy Partners LP 3.450% 2/15/23 25 25
Kinder Morgan Energy Partners LP 3.500% 9/1/23 125 123
Kinder Morgan Energy Partners LP 4.300% 5/1/24 400 407
Kinder Morgan Energy Partners LP 7.300% 8/15/33 275 320

 

 

Kinder Morgan Energy Partners LP 5.800% 3/15/35 50 52
Kinder Morgan Energy Partners LP 6.500% 2/1/37 250 272
Kinder Morgan Energy Partners LP 6.950% 1/15/38 50 58
Kinder Morgan Energy Partners LP 6.500% 9/1/39 200 222
Kinder Morgan Energy Partners LP 6.550% 9/15/40 250 276
Kinder Morgan Energy Partners LP 5.000% 8/15/42 25 24
Kinder Morgan Energy Partners LP 4.700% 11/1/42 375 344
Kinder Morgan Energy Partners LP 5.000% 3/1/43 75 72
Kinder Morgan Inc. 4.300% 6/1/25 300 306
Kinder Morgan Inc. 7.800% 8/1/31 90 113
Kinder Morgan Inc. 7.750% 1/15/32 165 206
Kinder Morgan Inc. 5.300% 12/1/34 175 176
Kinder Morgan Inc. 5.550% 6/1/45 200 205
Kinder Morgan Inc. 5.050% 2/15/46 350 342
Magellan Midstream Partners LP 6.550% 7/15/19 75 82
Magellan Midstream Partners LP 4.250% 2/1/21 125 132
Magellan Midstream Partners LP 5.150% 10/15/43 275 291
Magellan Midstream Partners LP 4.250% 9/15/46 200 187
Marathon Oil Corp. 2.700% 6/1/20 150 149
Marathon Oil Corp. 2.800% 11/1/22 175 168
Marathon Oil Corp. 6.800% 3/15/32 300 342
Marathon Oil Corp. 5.200% 6/1/45 100 98
Marathon Petroleum Corp. 2.700% 12/14/18 200 202
Marathon Petroleum Corp. 5.125% 3/1/21 375 406
Marathon Petroleum Corp. 4.750% 9/15/44 250 227
Marathon Petroleum Corp. 5.850% 12/15/45 200 199
MPLX LP 4.500% 7/15/23 350 363
MPLX LP 4.875% 12/1/24 300 315
MPLX LP 4.875% 6/1/25 100 105
MPLX LP 4.125% 3/1/27 300 298
MPLX LP 5.200% 3/1/47 300 302
Nabors Industries Inc. 6.150% 2/15/18 450 466
Nabors Industries Inc. 5.000% 9/15/20 175 181
Nabors Industries Inc. 4.625% 9/15/21 125 126
National Fuel Gas Co. 3.750% 3/1/23 275 274
National Oilwell Varco Inc. 2.600% 12/1/22 25 24
National Oilwell Varco Inc. 3.950% 12/1/42 125 101
Noble Energy Inc. 8.250% 3/1/19 475 528
Noble Energy Inc. 6.000% 3/1/41 100 111
Noble Energy Inc. 5.250% 11/15/43 375 388
Noble Energy Inc. 5.050% 11/15/44 150 153
Occidental Petroleum Corp. 4.100% 2/1/21 350 370
Occidental Petroleum Corp. 2.700% 2/15/23 250 247
Occidental Petroleum Corp. 3.500% 6/15/25 250 252
Occidental Petroleum Corp. 3.400% 4/15/26 250 249
Occidental Petroleum Corp. 4.625% 6/15/45 100 104
Oceaneering International Inc. 4.650% 11/15/24 85 85
ONEOK Partners LP 8.625% 3/1/19 225 251
ONEOK Partners LP 3.375% 10/1/22 100 100
ONEOK Partners LP 6.650% 10/1/36 300 349
ONEOK Partners LP 6.125% 2/1/41 150 167
Petro-Canada 6.800% 5/15/38 225 289
Phillips 66 2.950% 5/1/17 600 601
Phillips 66 4.300% 4/1/22 275 292
Phillips 66 4.650% 11/15/34 200 202
Phillips 66 5.875% 5/1/42 175 200
Phillips 66 4.875% 11/15/44 299 300

 

 

Phillips 66 Partners LP 2.646% 2/15/20 35 35
Phillips 66 Partners LP 3.605% 2/15/25 125 122
Phillips 66 Partners LP 4.680% 2/15/45 50 46
Phillips 66 Partners LP 4.900% 10/1/46 200 190
Pioneer Natural Resources Co. 6.875% 5/1/18 50 53
Pioneer Natural Resources Co. 3.950% 7/15/22 200 208
Pioneer Natural Resources Co. 4.450% 1/15/26 400 421
Plains All American Pipeline LP / PAA        
Finance Corp. 6.500% 5/1/18 25 26
Plains All American Pipeline LP / PAA        
Finance Corp. 8.750% 5/1/19 75 85
Plains All American Pipeline LP / PAA        
Finance Corp. 2.850% 1/31/23 314 301
Plains All American Pipeline LP / PAA        
Finance Corp. 3.600% 11/1/24 790 765
Plains All American Pipeline LP / PAA        
Finance Corp. 4.500% 12/15/26 100 102
Plains All American Pipeline LP / PAA        
Finance Corp. 4.300% 1/31/43 325 275
Plains All American Pipeline LP / PAA        
Finance Corp. 4.700% 6/15/44 200 179
Regency Energy Partners LP / Regency        
Energy Finance Corp. 6.500% 7/15/21 257 265
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.875% 3/1/22 300 329
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.000% 10/1/22 200 212
Regency Energy Partners LP / Regency        
Energy Finance Corp. 5.500% 4/15/23 200 207
Regency Energy Partners LP / Regency        
Energy Finance Corp. 4.500% 11/1/23 100 102
Repsol Oil & Gas Canada Inc. 7.750% 6/1/19 121 131
Repsol Oil & Gas Canada Inc. 3.750% 2/1/21 225 218
Sabine Pass Liquefaction LLC 5.625% 2/1/21 400 431
Sabine Pass Liquefaction LLC 6.250% 3/15/22 325 360
Sabine Pass Liquefaction LLC 5.625% 4/15/23 300 326
Sabine Pass Liquefaction LLC 5.750% 5/15/24 500 545
Sabine Pass Liquefaction LLC 5.625% 3/1/25 400 433
8 Sabine Pass Liquefaction LLC 5.875% 6/30/26 500 551
8 Sabine Pass Liquefaction LLC 5.000% 3/15/27 200 208
8 Sabine Pass Liquefaction LLC 4.200% 3/15/28 100 99
Schlumberger Investment SA 3.650% 12/1/23 225 234
Shell International Finance BV 1.900% 8/10/18 325 326
Shell International Finance BV 2.000% 11/15/18 500 502
Shell International Finance BV 1.375% 9/12/19 200 198
Shell International Finance BV 4.300% 9/22/19 550 581
Shell International Finance BV 4.375% 3/25/20 325 346
Shell International Finance BV 2.125% 5/11/20 450 450
Shell International Finance BV 2.250% 11/10/20 100 100
Shell International Finance BV 1.875% 5/10/21 200 196
Shell International Finance BV 1.750% 9/12/21 200 194
Shell International Finance BV 3.400% 8/12/23 75 77
Shell International Finance BV 3.250% 5/11/25 200 201
Shell International Finance BV 2.875% 5/10/26 500 486
Shell International Finance BV 2.500% 9/12/26 900 844
Shell International Finance BV 4.125% 5/11/35 500 502
Shell International Finance BV 6.375% 12/15/38 475 609

 

 

Shell International Finance BV 5.500% 3/25/40 125 146
Shell International Finance BV 4.550% 8/12/43 400 415
Shell International Finance BV 4.375% 5/11/45 400 405
Shell International Finance BV 4.000% 5/10/46 450 433
Shell International Finance BV 3.750% 9/12/46 200 184
Spectra Energy Capital LLC 6.200% 4/15/18 300 313
Spectra Energy Capital LLC 6.750% 2/15/32 50 57
Spectra Energy Partners LP 2.950% 9/25/18 25 25
Spectra Energy Partners LP 4.750% 3/15/24 400 424
Spectra Energy Partners LP 3.500% 3/15/25 50 49
Spectra Energy Partners LP 4.500% 3/15/45 250 234
Suncor Energy Inc. 6.100% 6/1/18 25 26
Suncor Energy Inc. 5.950% 12/1/34 75 88
Suncor Energy Inc. 6.500% 6/15/38 525 659
Sunoco Logistics Partners Operations LP 4.400% 4/1/21 425 447
Sunoco Logistics Partners Operations LP 3.450% 1/15/23 50 50
Sunoco Logistics Partners Operations LP 4.250% 4/1/24 75 76
Sunoco Logistics Partners Operations LP 4.950% 1/15/43 175 159
Sunoco Logistics Partners Operations LP 5.300% 4/1/44 325 315
8 TechnipFMC plc 3.450% 10/1/22 25 25
Tosco Corp. 7.800% 1/1/27 130 170
Total Capital Canada Ltd. 2.750% 7/15/23 125 124
Total Capital International SA 2.125% 1/10/19 150 151
Total Capital International SA 2.750% 6/19/21 300 303
Total Capital International SA 2.875% 2/17/22 300 303
Total Capital International SA 2.700% 1/25/23 50 49
Total Capital International SA 3.700% 1/15/24 775 804
Total Capital SA 2.125% 8/10/18 250 252
Total Capital SA 4.450% 6/24/20 375 401
Total Capital SA 4.125% 1/28/21 125 133
TransCanada PipeLines Ltd. 6.500% 8/15/18 150 159
TransCanada PipeLines Ltd. 3.800% 10/1/20 175 183
TransCanada PipeLines Ltd. 4.875% 1/15/26 100 111
TransCanada PipeLines Ltd. 4.625% 3/1/34 350 368
TransCanada PipeLines Ltd. 5.600% 3/31/34 150 173
TransCanada PipeLines Ltd. 5.850% 3/15/36 300 357
TransCanada PipeLines Ltd. 6.200% 10/15/37 475 587
TransCanada PipeLines Ltd. 5.000% 10/16/43 150 165
Transcontinental Gas Pipe Line Co. LLC 6.050% 6/15/18 265 277
Valero Energy Corp. 6.125% 2/1/20 75 83
Valero Energy Corp. 7.500% 4/15/32 725 921
Valero Energy Partners LP 4.375% 12/15/26 100 101
Western Gas Partners LP 5.375% 6/1/21 300 322
Western Gas Partners LP 5.450% 4/1/44 120 122
Williams Partners LP 5.250% 3/15/20 475 512
Williams Partners LP 4.125% 11/15/20 275 288
Williams Partners LP 3.600% 3/15/22 475 481
Williams Partners LP 3.350% 8/15/22 125 125
Williams Partners LP 3.900% 1/15/25 325 324
Williams Partners LP 6.300% 4/15/40 100 112
Williams Partners LP 5.400% 3/4/44 400 411
Williams Partners LP 5.100% 9/15/45 350 347
Williams Partners LP / ACMP Finance Corp. 4.875% 5/15/23 150 154
Williams Partners LP / ACMP Finance Corp. 4.875% 3/15/24 300 309
 
Other Industrial (0.1%)        
California Institute of Technology GO 4.321% 8/1/45 70 75

 

 

California Institute of Technology GO 4.700% 11/1/11 50 48
CBRE Services Inc. 5.000% 3/15/23 150 156
CBRE Services Inc. 5.250% 3/15/25 100 106
CBRE Services Inc. 4.875% 3/1/26 100 104
Cintas Corp. No 2 2.900% 4/1/22 100 101
Cintas Corp. No 2 3.250% 6/1/22 75 77
Cintas Corp. No 2 3.700% 4/1/27 100 102
5 Duke University 3.199% 10/1/38 50 46
5 Duke University Revenue 3.299% 10/1/46 100 88
Fluor Corp. 3.375% 9/15/21 75 77
Fluor Corp. 3.500% 12/15/24 250 256
George Washington University District of        
Columbia GO 3.545% 9/15/46 50 44
Howard Hughes Medical Institute Revenue 3.500% 9/1/23 200 210
5 Johns Hopkins University Maryland GO 4.083% 7/1/53 25 26
5 Massachusetts Institute of Technology GO 3.959% 7/1/38 125 132
Massachusetts Institute of Technology GO 5.600% 7/1/11 130 160
Massachusetts Institute of Technology GO 4.678% 7/1/14 175 181
5 Northwestern University Illinois GO 3.688% 12/1/38 100 100
5 Northwestern University Illinois GO 4.643% 12/1/44 75 84
5 University of Notre Dame DU LAC Indiana GO 3.438% 2/15/45 100 95
University of Pennsylvania GO 4.674% 9/1/12 50 51
5 University of Southern California GO 3.028% 10/1/39 100 90
Wesleyan University Connecticut GO 4.781% 7/1/16 50 46
Yale University Connecticut GO 2.086% 4/15/19 50 51
 
Technology (2.3%)        
Adobe Systems Inc. 4.750% 2/1/20 175 188
Adobe Systems Inc. 3.250% 2/1/25 200 202
Alphabet Inc. 3.625% 5/19/21 150 159
Altera Corp. 2.500% 11/15/18 225 228
Altera Corp. 4.100% 11/15/23 75 81
Amphenol Corp. 2.550% 1/30/19 200 202
Amphenol Corp. 2.200% 4/1/20 50 50
Amphenol Corp. 3.125% 9/15/21 100 102
Amphenol Corp. 3.200% 4/1/24 50 50
Analog Devices Inc. 2.875% 6/1/23 450 443
Analog Devices Inc. 3.500% 12/5/26 200 198
Apple Inc. 1.000% 5/3/18 450 448
Apple Inc. 1.550% 2/8/19 75 75
Apple Inc. 2.100% 5/6/19 425 429
Apple Inc. 1.100% 8/2/19 275 271
Apple Inc. 1.550% 2/7/20 225 224
Apple Inc. 1.900% 2/7/20 175 175
Apple Inc. 2.250% 2/23/21 750 752
Apple Inc. 2.850% 5/6/21 875 896
Apple Inc. 1.550% 8/4/21 375 363
Apple Inc. 2.150% 2/9/22 225 222
Apple Inc. 2.500% 2/9/22 300 301
Apple Inc. 2.700% 5/13/22 600 607
Apple Inc. 2.850% 2/23/23 300 302
Apple Inc. 2.400% 5/3/23 1,215 1,194
Apple Inc. 3.000% 2/9/24 300 302
Apple Inc. 3.450% 5/6/24 75 78
Apple Inc. 2.500% 2/9/25 100 97
Apple Inc. 3.200% 5/13/25 350 354
Apple Inc. 3.250% 2/23/26 350 354

 

 

Apple Inc. 2.450% 8/4/26 350 331
Apple Inc. 3.350% 2/9/27 375 378
Apple Inc. 4.500% 2/23/36 225 243
Apple Inc. 3.850% 5/4/43 450 430
Apple Inc. 4.450% 5/6/44 175 180
Apple Inc. 3.450% 2/9/45 225 200
Apple Inc. 4.650% 2/23/46 1,525 1,634
Apple Inc. 3.850% 8/4/46 350 331
Apple Inc. 4.250% 2/9/47 150 152
Applied Materials Inc. 2.625% 10/1/20 150 152
Applied Materials Inc. 4.300% 6/15/21 150 161
Applied Materials Inc. 3.900% 10/1/25 120 127
Applied Materials Inc. 3.300% 4/1/27 200 201
Applied Materials Inc. 5.100% 10/1/35 100 112
Applied Materials Inc. 5.850% 6/15/41 100 121
Applied Materials Inc. 4.350% 4/1/47 175 177
Arrow Electronics Inc. 3.500% 4/1/22 100 101
Arrow Electronics Inc. 4.500% 3/1/23 50 52
Arrow Electronics Inc. 4.000% 4/1/25 100 101
Autodesk Inc. 3.125% 6/15/20 100 102
Autodesk Inc. 3.600% 12/15/22 25 25
Autodesk Inc. 4.375% 6/15/25 50 52
Avnet Inc. 5.875% 6/15/20 200 217
AVNET Inc. 4.625% 4/15/26 100 101
Baidu Inc. 2.750% 6/9/19 200 202
Baidu Inc. 3.500% 11/28/22 500 510
8 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 2.375% 1/15/20 500 500
8 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 3.000% 1/15/22 600 599
8 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 3.625% 1/15/24 450 453
8 Broadcom Corp. / Broadcom Cayman Finance        
Ltd. 3.875% 1/15/27 775 779
Broadridge Financial Solutions Inc. 3.950% 9/1/20 75 79
Broadridge Financial Solutions Inc. 3.400% 6/27/26 100 98
CA Inc. 5.375% 12/1/19 175 189
CA Inc. 3.600% 8/1/20 100 103
Cadence Design Systems Inc. 4.375% 10/15/24 100 100
Cisco Systems Inc. 4.950% 2/15/19 475 504
Cisco Systems Inc. 1.600% 2/28/19 250 250
Cisco Systems Inc. 2.125% 3/1/19 600 606
Cisco Systems Inc. 4.450% 1/15/20 825 883
Cisco Systems Inc. 2.200% 2/28/21 600 600
Cisco Systems Inc. 2.900% 3/4/21 75 77
Cisco Systems Inc. 2.200% 9/20/23 150 145
Cisco Systems Inc. 3.625% 3/4/24 125 131
Cisco Systems Inc. 2.950% 2/28/26 100 99
Cisco Systems Inc. 2.500% 9/20/26 225 213
Cisco Systems Inc. 5.900% 2/15/39 350 444
Cisco Systems Inc. 5.500% 1/15/40 350 426
Corning Inc. 1.500% 5/8/18 75 75
Corning Inc. 6.625% 5/15/19 25 27
Corning Inc. 2.900% 5/15/22 175 176
Corning Inc. 3.700% 11/15/23 200 206
Corning Inc. 4.700% 3/15/37 50 50
Corning Inc. 5.750% 8/15/40 75 86

 

 

8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 3.480% 6/1/19 675 692
8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 4.420% 6/15/21 800 837
8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 5.450% 6/15/23 875 941
8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 6.020% 6/15/26 1,050 1,147
8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 8.100% 7/15/36 60 75
8 Diamond 1 Finance Corp. / Diamond 2        
Finance Corp. 8.350% 7/15/46 355 460
Dun & Bradstreet Corp. 4.625% 12/1/22 50 52
Equifax Inc. 2.300% 6/1/21 200 197
Equifax Inc. 3.250% 6/1/26 100 97
8 Everett Spinco Inc. 2.875% 3/27/20 100 101
8 Everett Spinco Inc. 4.250% 4/15/24 100 101
8 Everett Spinco Inc. 4.750% 4/15/27 200 204
Fidelity National Information Services Inc. 2.000% 4/15/18 25 25
Fidelity National Information Services Inc. 2.850% 10/15/18 100 101
Fidelity National Information Services Inc. 3.625% 10/15/20 425 441
Fidelity National Information Services Inc. 3.500% 4/15/23 175 178
Fidelity National Information Services Inc. 5.000% 10/15/25 625 680
Fidelity National Information Services Inc. 3.000% 8/15/26 350 329
Fidelity National Information Services Inc. 4.500% 8/15/46 125 120
Fiserv Inc. 2.700% 6/1/20 125 126
Fiserv Inc. 3.500% 10/1/22 150 154
Fiserv Inc. 3.850% 6/1/25 300 307
Flex Ltd. 4.625% 2/15/20 85 89
Hewlett Packard Enterprise Co. 2.850% 10/5/18 350 354
Hewlett Packard Enterprise Co. 3.600% 10/15/20 525 539
Hewlett Packard Enterprise Co. 4.400% 10/15/22 375 393
Hewlett Packard Enterprise Co. 4.900% 10/15/25 500 519
Hewlett Packard Enterprise Co. 6.200% 10/15/35 100 105
Hewlett Packard Enterprise Co. 6.350% 10/15/45 400 412
HP Inc. 3.750% 12/1/20 53 55
HP Inc. 4.300% 6/1/21 500 527
HP Inc. 4.375% 9/15/21 200 211
HP Inc. 4.650% 12/9/21 350 375
HP Inc. 6.000% 9/15/41 100 103
Intel Corp. 2.450% 7/29/20 300 304
Intel Corp. 3.300% 10/1/21 100 104
Intel Corp. 3.100% 7/29/22 175 180
Intel Corp. 2.700% 12/15/22 275 276
Intel Corp. 3.700% 7/29/25 200 209
Intel Corp. 4.000% 12/15/32 150 158
Intel Corp. 4.800% 10/1/41 275 303
Intel Corp. 4.250% 12/15/42 300 306
Intel Corp. 4.900% 7/29/45 250 280
Intel Corp. 4.100% 5/19/46 225 224
International Business Machines Corp. 1.950% 2/12/19 225 227
International Business Machines Corp. 1.900% 1/27/20 1,000 1,003
International Business Machines Corp. 1.625% 5/15/20 25 25
International Business Machines Corp. 2.900% 11/1/21 25 26
International Business Machines Corp. 2.500% 1/27/22 585 588
International Business Machines Corp. 2.875% 11/9/22 240 243
International Business Machines Corp. 3.625% 2/12/24 450 472

 

 

International Business Machines Corp. 7.000% 10/30/25 300 383
International Business Machines Corp. 3.300% 1/27/27 225 226
International Business Machines Corp. 6.220% 8/1/27 75 94
International Business Machines Corp. 6.500% 1/15/28 75 96
International Business Machines Corp. 5.600% 11/30/39 98 120
International Business Machines Corp. 4.000% 6/20/42 193 193
International Business Machines Corp. 4.700% 2/19/46 125 137
Jabil Circuit Inc. 5.625% 12/15/20 100 107
Juniper Networks Inc. 3.125% 2/26/19 100 102
Juniper Networks Inc. 3.300% 6/15/20 200 205
Juniper Networks Inc. 4.600% 3/15/21 50 53
Juniper Networks Inc. 4.350% 6/15/25 50 51
Juniper Networks Inc. 5.950% 3/15/41 25 27
Keysight Technologies Inc. 3.300% 10/30/19 100 102
Keysight Technologies Inc. 4.550% 10/30/24 100 102
Keysight Technologies Inc. 4.600% 4/6/27 100 101
KLA-Tencor Corp. 4.125% 11/1/21 300 314
KLA-Tencor Corp. 4.650% 11/1/24 200 213
Lam Research Corp. 2.750% 3/15/20 100 101
Lam Research Corp. 2.800% 6/15/21 125 125
Lam Research Corp. 3.800% 3/15/25 100 100
Maxim Integrated Products Inc. 3.375% 3/15/23 25 25
Microsoft Corp. 1.000% 5/1/18 200 200
Microsoft Corp. 1.300% 11/3/18 425 425
Microsoft Corp. 4.200% 6/1/19 25 26
Microsoft Corp. 1.100% 8/8/19 615 608
Microsoft Corp. 3.000% 10/1/20 225 233
Microsoft Corp. 2.000% 11/3/20 375 376
Microsoft Corp. 1.550% 8/8/21 525 511
Microsoft Corp. 2.400% 2/6/22 325 327
Microsoft Corp. 2.375% 2/12/22 450 451
Microsoft Corp. 2.650% 11/3/22 200 202
Microsoft Corp. 2.125% 11/15/22 200 196
Microsoft Corp. 2.375% 5/1/23 75 74
Microsoft Corp. 2.000% 8/8/23 300 288
Microsoft Corp. 3.625% 12/15/23 300 316
Microsoft Corp. 2.875% 2/6/24 350 351
Microsoft Corp. 2.700% 2/12/25 250 246
Microsoft Corp. 3.125% 11/3/25 850 858
Microsoft Corp. 2.400% 8/8/26 750 709
Microsoft Corp. 3.300% 2/6/27 675 684
Microsoft Corp. 3.500% 2/12/35 325 312
Microsoft Corp. 4.200% 11/3/35 175 183
Microsoft Corp. 3.450% 8/8/36 450 427
Microsoft Corp. 4.100% 2/6/37 475 489
Microsoft Corp. 4.500% 10/1/40 100 108
Microsoft Corp. 5.300% 2/8/41 50 59
Microsoft Corp. 3.500% 11/15/42 280 258
Microsoft Corp. 3.750% 5/1/43 45 43
Microsoft Corp. 3.750% 2/12/45 300 283
Microsoft Corp. 4.450% 11/3/45 725 762
Microsoft Corp. 3.700% 8/8/46 750 704
Microsoft Corp. 4.250% 2/6/47 725 740
Microsoft Corp. 4.000% 2/12/55 400 378
Microsoft Corp. 4.750% 11/3/55 175 187
Microsoft Corp. 4.500% 2/6/57 400 411
Motorola Solutions Inc. 3.500% 9/1/21 150 152

 

 

Motorola Solutions Inc. 3.750% 5/15/22 200 203
Motorola Solutions Inc. 7.500% 5/15/25 50 59
Motorola Solutions Inc. 5.500% 9/1/44 100 96
NetApp Inc. 3.375% 6/15/21 150 153
NVIDIA Corp. 2.200% 9/16/21 175 171
NVIDIA Corp. 3.200% 9/16/26 175 169
Oracle Corp. 5.750% 4/15/18 300 313
Oracle Corp. 2.375% 1/15/19 225 228
Oracle Corp. 5.000% 7/8/19 550 590
Oracle Corp. 2.250% 10/8/19 225 228
Oracle Corp. 1.900% 9/15/21 1,275 1,252
Oracle Corp. 2.400% 9/15/23 450 438
Oracle Corp. 3.400% 7/8/24 450 462
Oracle Corp. 2.950% 5/15/25 900 887
Oracle Corp. 2.650% 7/15/26 800 759
Oracle Corp. 3.250% 5/15/30 100 99
Oracle Corp. 4.300% 7/8/34 300 310
Oracle Corp. 3.900% 5/15/35 75 74
Oracle Corp. 3.850% 7/15/36 300 292
Oracle Corp. 6.500% 4/15/38 200 263
Oracle Corp. 6.125% 7/8/39 150 189
Oracle Corp. 5.375% 7/15/40 600 694
Oracle Corp. 4.500% 7/8/44 200 206
Oracle Corp. 4.125% 5/15/45 50 49
Oracle Corp. 4.000% 7/15/46 525 501
Oracle Corp. 4.375% 5/15/55 150 146
Pitney Bowes Inc. 3.375% 10/1/21 350 344
Pitney Bowes Inc. 4.625% 3/15/24 50 49
QUALCOMM Inc. 1.400% 5/18/18 350 350
QUALCOMM Inc. 2.250% 5/20/20 300 301
QUALCOMM Inc. 3.000% 5/20/22 350 354
QUALCOMM Inc. 3.450% 5/20/25 250 252
QUALCOMM Inc. 4.650% 5/20/35 125 130
QUALCOMM Inc. 4.800% 5/20/45 300 312
Seagate HDD Cayman 3.750% 11/15/18 200 205
8 Seagate HDD Cayman 4.250% 3/1/22 125 124
Seagate HDD Cayman 4.750% 6/1/23 150 150
8 Seagate HDD Cayman 4.875% 3/1/24 75 74
Seagate HDD Cayman 4.750% 1/1/25 100 97
Seagate HDD Cayman 4.875% 6/1/27 175 164
Seagate HDD Cayman 5.750% 12/1/34 100 91
Tech Data Corp. 3.700% 2/15/22 50 50
Tech Data Corp. 4.950% 2/15/27 100 101
Telefonaktiebolaget LM Ericsson 4.125% 5/15/22 150 153
Texas Instruments Inc. 1.650% 8/3/19 525 524
Total System Services Inc. 2.375% 6/1/18 95 95
Total System Services Inc. 3.800% 4/1/21 130 135
Total System Services Inc. 4.800% 4/1/26 350 377
Trimble Navigation Ltd. 4.750% 12/1/24 75 78
Tyco Electronics Group SA 2.350% 8/1/19 50 50
Tyco Electronics Group SA 3.500% 2/3/22 100 103
Tyco Electronics Group SA 3.450% 8/1/24 100 101
Tyco Electronics Group SA 7.125% 10/1/37 200 262
Verisk Analytics Inc. 5.800% 5/1/21 75 83
Verisk Analytics Inc. 4.125% 9/12/22 375 391
Verisk Analytics Inc. 5.500% 6/15/45 50 54
Xerox Corp. 5.625% 12/15/19 25 27

 

 

Xerox Corp. 2.800% 5/15/20 75 74
8 Xerox Corp. 4.070% 3/17/22 87 88
Xerox Corp. 6.750% 12/15/39 175 178
Xilinx Inc. 2.125% 3/15/19 75 75
Xilinx Inc. 3.000% 3/15/21 100 102
 
Transportation (0.6%)        
5 American Airlines 2011-1 Class A Pass        
Through Trust 5.250% 7/31/22 69 74
5 American Airlines 2013-1 Class A Pass        
Through Trust 4.000% 1/15/27 25 26
5 American Airlines 2013-2 Class A Pass        
Through Trust 4.950% 7/15/24 190 202
5 American Airlines 2014-1 Class A Pass        
Through Trust 3.700% 4/1/28 111 111
5 American Airlines 2015-1 Class A Pass        
Through Trust 3.375% 11/1/28 163 160
5 American Airlines 2015-1 Class B Pass        
Through Trust 3.700% 11/1/24 43 42
5 American Airlines 2015-2 Class AA Pass        
Through Trust 3.600% 9/22/27 52 53
5 American Airlines 2016-1 Class A Pass        
Through Trust 4.100% 1/15/28 73 75
5 American Airlines 2016-1 Class AA Pass        
Through Trust 3.575% 1/15/28 146 146
5 American Airlines 2016-2 Class A Pass        
Through Trust 3.650% 6/15/28 100 99
5 American Airlines 2016-2 Class AA Pass        
Through Trust 3.200% 12/15/29 275 269
5 American Airlines 2016-3 Class A Pass        
Through Trust 3.250% 4/15/30 50 48
American Airlines 2016-3 Class AA Pass        
Through Trust 3.000% 10/15/28 150 144
5 American Airlines 2017-1 Class AA Pass        
Through Trust 3.650% 8/15/30 50 50
5 American Airlines 2017-1B Class B Pass        
Through Trust 4.950% 2/15/25 25 26
5 BNSF Funding Trust I 6.613% 12/15/55 65 74
Burlington Northern Santa Fe LLC 3.050% 3/15/22 150 154
Burlington Northern Santa Fe LLC 3.050% 9/1/22 150 154
Burlington Northern Santa Fe LLC 3.000% 3/15/23 175 177
Burlington Northern Santa Fe LLC 3.850% 9/1/23 75 79
Burlington Northern Santa Fe LLC 3.750% 4/1/24 200 211
Burlington Northern Santa Fe LLC 3.400% 9/1/24 150 154
Burlington Northern Santa Fe LLC 3.000% 4/1/25 100 99
Burlington Northern Santa Fe LLC 3.650% 9/1/25 75 78
Burlington Northern Santa Fe LLC 3.250% 6/15/27 125 126
Burlington Northern Santa Fe LLC 6.200% 8/15/36 125 160
Burlington Northern Santa Fe LLC 5.050% 3/1/41 125 141
Burlington Northern Santa Fe LLC 5.400% 6/1/41 250 292
Burlington Northern Santa Fe LLC 4.400% 3/15/42 250 258
Burlington Northern Santa Fe LLC 4.375% 9/1/42 100 103
Burlington Northern Santa Fe LLC 4.450% 3/15/43 75 78
Burlington Northern Santa Fe LLC 5.150% 9/1/43 125 143
Burlington Northern Santa Fe LLC 4.900% 4/1/44 100 110
Burlington Northern Santa Fe LLC 4.550% 9/1/44 150 158
Burlington Northern Santa Fe LLC 4.150% 4/1/45 75 75

 

 

Burlington Northern Santa Fe LLC 4.700% 9/1/45 75 81
Burlington Northern Santa Fe LLC 3.900% 8/1/46 350 336
Burlington Northern Santa Fe LLC 4.125% 6/15/47 125 124
Canadian National Railway Co. 5.550% 3/1/19 100 107
Canadian National Railway Co. 2.850% 12/15/21 75 76
Canadian National Railway Co. 6.250% 8/1/34 75 97
Canadian National Railway Co. 6.200% 6/1/36 75 98
Canadian National Railway Co. 6.375% 11/15/37 100 134
Canadian National Railway Co. 3.200% 8/2/46 50 44
Canadian Pacific Railway Co. 7.250% 5/15/19 150 166
Canadian Pacific Railway Co. 9.450% 8/1/21 50 62
Canadian Pacific Railway Co. 4.450% 3/15/23 225 243
Canadian Pacific Railway Co. 7.125% 10/15/31 100 135
Canadian Pacific Railway Co. 5.950% 5/15/37 450 541
Canadian Pacific Railway Co. 5.750% 1/15/42 115 136
Canadian Pacific Railway Co. 6.125% 9/15/15 70 84
5 Continental Airlines 2007-1 Class A Pass        
Through Trust 5.983% 10/19/23 57 62
5 Continental Airlines 2009-2 Class A Pass        
Through Trust 7.250% 5/10/21 101 112
5 Continental Airlines 2012-2 Class A Pass        
Through Trust 4.000% 4/29/26 85 88
CSX Corp. 4.250% 6/1/21 25 27
CSX Corp. 3.350% 11/1/25 150 150
CSX Corp. 6.220% 4/30/40 152 188
CSX Corp. 5.500% 4/15/41 225 258
CSX Corp. 4.750% 5/30/42 210 220
CSX Corp. 4.100% 3/15/44 150 144
CSX Corp. 3.950% 5/1/50 125 114
CSX Corp. 4.500% 8/1/54 25 24
CSX Corp. 4.250% 11/1/66 150 136
5 Delta Air Lines 2007-1 Class A Pass Through        
Trust 6.821% 2/10/24 126 145
5 Delta Air Lines 2009-1 Class A Pass Through        
Trust 7.750% 6/17/21 48 53
5 Delta Air Lines 2010-2 Class A Pass Through        
Trust 4.950% 11/23/20 34 35
5 Delta Air Lines 2015-1 Class AA Pass        
Through Trust 3.625% 7/30/27 47 48
Delta Air Lines Inc. 2.875% 3/13/20 175 176
Delta Air Lines Inc. 3.625% 3/15/22 175 178
FedEx Corp. 8.000% 1/15/19 100 110
FedEx Corp. 2.625% 8/1/22 75 75
FedEx Corp. 4.000% 1/15/24 125 133
FedEx Corp. 3.250% 4/1/26 100 99
FedEx Corp. 3.875% 8/1/42 125 114
FedEx Corp. 4.100% 4/15/43 75 70
FedEx Corp. 5.100% 1/15/44 100 107
FedEx Corp. 4.750% 11/15/45 200 205
FedEx Corp. 4.550% 4/1/46 150 150
FedEx Corp. 4.500% 2/1/65 60 55
JB Hunt Transport Services Inc. 3.300% 8/15/22 100 101
Kansas City Southern 3.000% 5/15/23 75 73
Kansas City Southern 4.300% 5/15/43 75 69
Kansas City Southern 4.950% 8/15/45 125 126

 

 

5 Latam Airlines 2015-1 Pass Through Trust A 4.200% 8/15/29 117 115
Norfolk Southern Corp. 5.900% 6/15/19 175 190
Norfolk Southern Corp. 2.903% 2/15/23 48 48
Norfolk Southern Corp. 5.590% 5/17/25 50 57
Norfolk Southern Corp. 7.800% 5/15/27 60 80
Norfolk Southern Corp. 4.837% 10/1/41 313 341
Norfolk Southern Corp. 4.450% 6/15/45 75 78
Norfolk Southern Corp. 4.650% 1/15/46 75 80
Norfolk Southern Corp. 6.000% 3/15/05 100 117
Norfolk Southern Corp. 6.000% 5/23/11 140 164
Ryder System Inc. 2.450% 11/15/18 260 262
Ryder System Inc. 2.350% 2/26/19 250 251
Ryder System Inc. 2.550% 6/1/19 300 302
Ryder System Inc. 2.500% 5/11/20 50 50
Ryder System Inc. 2.250% 9/1/21 50 49
Southwest Airlines Co. 2.750% 11/6/19 50 51
Southwest Airlines Co. 2.650% 11/5/20 125 126
Southwest Airlines Co. 3.000% 11/15/26 100 94
5 Southwest Airlines Co. 2007-1 Pass Through        
Trust 6.150% 2/1/24 32 35
5 Spirit Airlines Class A Pass Through        
Certificates Series 2015-1 4.100% 10/1/29 97 98
Trinity Industries Inc. 4.550% 10/1/24 60 60
Union Pacific Corp. 2.250% 6/19/20 225 227
Union Pacific Corp. 4.163% 7/15/22 659 711
Union Pacific Corp. 3.250% 1/15/25 200 203
Union Pacific Corp. 3.250% 8/15/25 150 152
Union Pacific Corp. 2.750% 3/1/26 75 73
Union Pacific Corp. 3.375% 2/1/35 100 96
Union Pacific Corp. 4.050% 11/15/45 150 149
Union Pacific Corp. 4.050% 3/1/46 150 148
Union Pacific Corp. 3.799% 10/1/51 560 522
Union Pacific Corp. 3.875% 2/1/55 100 93
Union Pacific Corp. 4.375% 11/15/65 135 135
5 United Airlines 2013-1 Class A Pass Through        
Trust 4.300% 2/15/27 132 137
5 United Airlines 2014-1 Class A Pass Through        
Trust 4.000% 10/11/27 183 189
5 United Airlines 2015-1 Class A Pass Through        
Trust 3.700% 6/1/24 60 61
5 United Airlines 2015-1 Class AA Pass        
Through Trust 3.450% 12/1/27 171 170
5 United Airlines 2016-1 Class A Pass Through        
Trust 3.450% 1/7/30 50 49
5 United Airlines 2016-1 Class AA Pass        
Through Trust 3.100% 7/7/28 700 688
5 United Airlines 2016-2 Class A Pass Through        
Trust 3.100% 10/7/28 50 48
5 United Airlines 2016-2 Class AA Pass        
Through Trust 2.875% 10/7/28 75 72
United Parcel Service Inc. 5.125% 4/1/19 100 107
United Parcel Service Inc. 3.125% 1/15/21 200 207
United Parcel Service Inc. 2.450% 10/1/22 450 451
United Parcel Service Inc. 2.400% 11/15/26 150 143
United Parcel Service Inc. 6.200% 1/15/38 278 363
United Parcel Service Inc. 4.875% 11/15/40 75 84
United Parcel Service Inc. 3.625% 10/1/42 75 71

 

 

United Parcel Service Inc. 3.400% 11/15/46 85 77
5 US Airways 2013-1 Class A Pass Through        
Trust 3.950% 5/15/27 126 129
5 US Airways Inc. 2012-2 Class A Pass        
Through Trust 4.625% 12/3/26 38 40
        512,440
Utilities (2.1%)        
Electric (1.9%)        
AEP Texas Central Co. 6.650% 2/15/33 200 245
Alabama Power Co. 6.125% 5/15/38 50 61
Alabama Power Co. 5.500% 3/15/41 50 58
Alabama Power Co. 5.200% 6/1/41 175 195
Alabama Power Co. 3.850% 12/1/42 25 24
Alabama Power Co. 4.150% 8/15/44 75 75
Alabama Power Co. 3.750% 3/1/45 150 141
Alabama Power Co. 4.300% 1/2/46 300 307
Ameren Corp. 2.700% 11/15/20 100 101
Ameren Corp. 3.650% 2/15/26 80 81
Ameren Illinois Co. 2.700% 9/1/22 500 503
American Electric Power Co. Inc. 2.950% 12/15/22 25 25
Appalachian Power Co. 4.600% 3/30/21 50 54
Appalachian Power Co. 6.700% 8/15/37 250 321
Arizona Public Service Co. 8.750% 3/1/19 200 225
Arizona Public Service Co. 3.350% 6/15/24 50 51
Arizona Public Service Co. 3.150% 5/15/25 200 200
Arizona Public Service Co. 2.550% 9/15/26 50 47
Arizona Public Service Co. 4.500% 4/1/42 25 26
Arizona Public Service Co. 4.350% 11/15/45 125 129
Arizona Public Service Co. 3.750% 5/15/46 200 188
Atlantic City Electric Co. 7.750% 11/15/18 100 109
Baltimore Gas & Electric Co. 3.500% 11/15/21 350 364
Baltimore Gas & Electric Co. 2.400% 8/15/26 50 47
Baltimore Gas & Electric Co. 3.500% 8/15/46 100 91
Berkshire Hathaway Energy Co. 5.750% 4/1/18 575 598
Berkshire Hathaway Energy Co. 2.000% 11/15/18 125 125
Berkshire Hathaway Energy Co. 3.750% 11/15/23 100 105
Berkshire Hathaway Energy Co. 3.500% 2/1/25 100 102
Berkshire Hathaway Energy Co. 5.950% 5/15/37 225 277
Berkshire Hathaway Energy Co. 6.500% 9/15/37 200 260
Berkshire Hathaway Energy Co. 5.150% 11/15/43 150 170
Berkshire Hathaway Energy Co. 4.500% 2/1/45 100 104
Black Hills Corp. 3.950% 1/15/26 75 77
Black Hills Corp. 4.200% 9/15/46 100 94
CenterPoint Energy Houston Electric LLC 1.850% 6/1/21 250 245
CenterPoint Energy Houston Electric LLC 2.400% 9/1/26 300 282
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 50 67
8 Cleco Corporate Holdings LLC 3.743% 5/1/26 100 99
8 Cleco Corporate Holdings LLC 4.973% 5/1/46 125 129
Cleco Power LLC 6.000% 12/1/40 100 120
Cleveland Electric Illuminating Co. 5.500% 8/15/24 225 257
CMS Energy Corp. 8.750% 6/15/19 200 228
CMS Energy Corp. 5.050% 3/15/22 25 27
CMS Energy Corp. 3.600% 11/15/25 175 175
CMS Energy Corp. 3.000% 5/15/26 75 72
CMS Energy Corp. 2.950% 2/15/27 25 24
Commonwealth Edison Co. 4.000% 8/1/20 25 26
Commonwealth Edison Co. 5.900% 3/15/36 50 61

 

 

Commonwealth Edison Co. 6.450% 1/15/38 175 233
Commonwealth Edison Co. 4.600% 8/15/43 300 324
Commonwealth Edison Co. 4.700% 1/15/44 175 191
Commonwealth Edison Co. 3.700% 3/1/45 300 283
Commonwealth Edison Co. 3.650% 6/15/46 175 164
Connecticut Light & Power Co. 2.500% 1/15/23 125 123
Connecticut Light & Power Co. 4.300% 4/15/44 500 510
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 425 464
Consolidated Edison Co. of New York Inc. 4.450% 6/15/20 200 214
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 200 229
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 275 336
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 75 95
Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 200 211
Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 375 399
Consolidated Edison Co. of New York Inc. 3.850% 6/15/46 145 139
Consolidated Edison Inc. 2.000% 3/15/20 75 75
Consolidated Edison Inc. 2.000% 5/15/21 75 74
Constellation Energy Group Inc. 5.150% 12/1/20 200 217
Consumers Energy Co. 3.375% 8/15/23 275 285
Consumers Energy Co. 3.950% 5/15/43 75 75
Consumers Energy Co. 3.250% 8/15/46 50 45
Consumers Energy Co. 3.950% 7/15/47 50 51
Delmarva Power & Light Co. 3.500% 11/15/23 25 26
Delmarva Power & Light Co. 4.000% 6/1/42 50 48
Delmarva Power & Light Co. 4.150% 5/15/45 100 103
Dominion Resources Inc. 6.400% 6/15/18 342 360
Dominion Resources Inc. 2.500% 12/1/19 50 51
Dominion Resources Inc. 3.625% 12/1/24 50 50
Dominion Resources Inc. 3.900% 10/1/25 125 127
Dominion Resources Inc. 2.850% 8/15/26 100 93
Dominion Resources Inc. 6.300% 3/15/33 100 120
Dominion Resources Inc. 5.950% 6/15/35 225 266
Dominion Resources Inc. 4.050% 9/15/42 200 188
Dominion Resources Inc. 4.700% 12/1/44 175 180
5 Dominion Resources Inc. 5.750% 10/1/54 100 104
DTE Electric Co. 3.650% 3/15/24 175 184
DTE Electric Co. 3.375% 3/1/25 150 153
DTE Electric Co. 4.000% 4/1/43 225 227
DTE Electric Co. 3.700% 6/1/46 50 48
DTE Energy Co. 1.500% 10/1/19 100 98
DTE Energy Co. 2.400% 12/1/19 300 302
DTE Energy Co. 2.850% 10/1/26 700 655
DTE Energy Co. 3.800% 3/15/27 75 76
Duke Energy Carolinas LLC 4.300% 6/15/20 325 347
Duke Energy Carolinas LLC 3.900% 6/15/21 500 528
Duke Energy Carolinas LLC 2.950% 12/1/26 175 172
Duke Energy Carolinas LLC 6.000% 12/1/28 125 155
Duke Energy Carolinas LLC 6.100% 6/1/37 100 125
Duke Energy Carolinas LLC 6.000% 1/15/38 25 31
Duke Energy Carolinas LLC 6.050% 4/15/38 25 32
Duke Energy Carolinas LLC 5.300% 2/15/40 150 177
Duke Energy Carolinas LLC 4.000% 9/30/42 75 74
Duke Energy Corp. 2.100% 6/15/18 75 75
Duke Energy Corp. 5.050% 9/15/19 250 267
Duke Energy Corp. 3.050% 8/15/22 75 76
Duke Energy Corp. 3.750% 4/15/24 325 334
Duke Energy Corp. 3.750% 9/1/46 150 134

 

 

Duke Energy Florida Llc 5.650% 6/15/18 75 79
Duke Energy Florida LLC 6.350% 9/15/37 225 295
Duke Energy Florida LLC 6.400% 6/15/38 200 265
Duke Energy Florida LLC 3.850% 11/15/42 200 195
Duke Energy Florida LLC 3.400% 10/1/46 100 90
5 Duke Energy Florida Project Finance LLC 1.196% 3/1/22 40 40
5 Duke Energy Florida Project Finance LLC 1.731% 9/1/22 50 49
5 Duke Energy Florida Project Finance LLC 2.538% 9/1/29 100 96
5 Duke Energy Florida Project Finance LLC 2.858% 3/1/33 50 45
5 Duke Energy Florida Project Finance LLC 3.112% 9/1/36 75 68
Duke Energy Indiana LLC 3.750% 7/15/20 25 26
Duke Energy Indiana LLC 6.350% 8/15/38 225 298
Duke Energy Indiana LLC 4.200% 3/15/42 400 405
Duke Energy Indiana LLC 3.750% 5/15/46 225 213
Duke Energy Ohio Inc. 3.700% 6/15/46 25 23
Duke Energy Progress Llc 5.300% 1/15/19 175 186
Duke Energy Progress Llc 2.800% 5/15/22 100 101
Duke Energy Progress LLC 4.375% 3/30/44 400 419
Duke Energy Progress LLC 3.700% 10/15/46 50 48
Edison International 2.950% 3/15/23 200 200
El Paso Electric Co. 6.000% 5/15/35 50 58
El Paso Electric Co. 5.000% 12/1/44 75 80
Emera US Finance LP 2.150% 6/15/19 50 50
Emera US Finance LP 2.700% 6/15/21 75 74
Emera US Finance LP 3.550% 6/15/26 100 98
Emera US Finance LP 4.750% 6/15/46 305 308
Entergy Arkansas Inc. 3.750% 2/15/21 75 78
Entergy Corp. 2.950% 9/1/26 200 188
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 200 209
Entergy Louisiana LLC 5.400% 11/1/24 475 545
Entergy Louisiana LLC 2.400% 10/1/26 75 70
Entergy Louisiana LLC 3.050% 6/1/31 175 166
Entergy Louisiana LLC 4.950% 1/15/45 150 154
Entergy Texas Inc. 7.125% 2/1/19 175 191
Eversource Energy 1.450% 5/1/18 100 100
Eversource Energy 4.500% 11/15/19 75 80
Eversource Energy 3.150% 1/15/25 125 124
Eversource Energy 3.350% 3/15/26 100 99
Exelon Corp. 2.850% 6/15/20 75 76
Exelon Corp. 2.500% 6/1/22 200 202
Exelon Corp. 3.950% 6/15/25 200 206
Exelon Corp. 3.400% 4/15/26 200 197
Exelon Corp. 4.950% 6/15/35 225 238
Exelon Corp. 5.625% 6/15/35 20 23
Exelon Corp. 5.100% 6/15/45 250 271
Exelon Corp. 4.450% 4/15/46 175 174
Exelon Generation Co. LLC 2.950% 1/15/20 400 405
Exelon Generation Co. LLC 4.000% 10/1/20 100 104
Exelon Generation Co. LLC 5.600% 6/15/42 205 195
FirstEnergy Corp. 7.375% 11/15/31 125 163
Florida Power & Light Co. 5.550% 11/1/17 75 77
Florida Power & Light Co. 5.625% 4/1/34 25 30
Florida Power & Light Co. 5.960% 4/1/39 375 480
Florida Power & Light Co. 3.800% 12/15/42 75 74
8 Fortis Inc. 2.100% 10/4/21 50 49
8 Fortis Inc. 3.055% 10/4/26 475 446
Georgia Power Co. 1.950% 12/1/18 140 140

 

 

Georgia Power Co. 2.400% 4/1/21 350 349
Georgia Power Co. 3.250% 4/1/26 100 98
Georgia Power Co. 5.650% 3/1/37 50 56
Georgia Power Co. 5.400% 6/1/40 300 335
Georgia Power Co. 4.750% 9/1/40 100 105
Georgia Power Co. 4.300% 3/15/43 100 96
Great Plains Energy Inc. 4.850% 6/1/21 250 267
Great Plains Energy Inc. 3.900% 4/1/27 250 251
Great Plains Energy Inc. 4.850% 4/1/47 175 179
Iberdrola International BV 6.750% 7/15/36 75 94
Interstate Power & Light Co. 6.250% 7/15/39 50 63
Interstate Power & Light Co. 3.700% 9/15/46 125 116
ITC Holdings Corp. 4.050% 7/1/23 75 78
ITC Holdings Corp. 5.300% 7/1/43 175 195
5 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 70 75
Kansas City Power & Light Co. 6.050% 11/15/35 50 60
Kansas City Power & Light Co. 5.300% 10/1/41 100 106
Kentucky Utilities Co. 3.250% 11/1/20 50 52
Kentucky Utilities Co. 5.125% 11/1/40 125 144
Kentucky Utilities Co. 4.375% 10/1/45 25 26
LG&E & KU Energy LLC 4.375% 10/1/21 75 79
Louisville Gas & Electric Co. 4.650% 11/15/43 25 27
MidAmerican Energy Co. 3.100% 5/1/27 150 150
MidAmerican Energy Co. 6.750% 12/30/31 125 169
MidAmerican Energy Co. 5.750% 11/1/35 125 152
MidAmerican Energy Co. 3.950% 8/1/47 100 99
Mississippi Power Co. 4.250% 3/15/42 150 129
National Rural Utilities Cooperative Finance        
Corp. 1.650% 2/8/19 200 200
National Rural Utilities Cooperative Finance        
Corp. 2.300% 11/15/19 175 176
National Rural Utilities Cooperative Finance        
Corp. 2.000% 1/27/20 300 299
National Rural Utilities Cooperative Finance        
Corp. 2.350% 6/15/20 375 376
National Rural Utilities Cooperative Finance        
Corp. 2.300% 11/1/20 200 199
National Rural Utilities Cooperative Finance        
Corp. 2.700% 2/15/23 200 199
National Rural Utilities Cooperative Finance        
Corp. 2.950% 2/7/24 250 251
National Rural Utilities Cooperative Finance        
Corp. 4.023% 11/1/32 204 213
5 National Rural Utilities Cooperative Finance        
Corp. 4.750% 4/30/43 25 26
5 National Rural Utilities Cooperative Finance        
Corp. 5.250% 4/20/46 75 78
Nevada Power Co. 7.125% 3/15/19 550 606
NextEra Energy Capital Holdings Inc. 2.400% 9/15/19 425 429
Northern States Power Co. 2.200% 8/15/20 50 50
Northern States Power Co. 6.250% 6/1/36 75 97
Northern States Power Co. 6.200% 7/1/37 50 65
Northern States Power Co. 5.350% 11/1/39 175 207
Northern States Power Co. 4.000% 8/15/45 50 50
Northern States Power Co. 3.600% 5/15/46 50 47
NSTAR Electric Co. 2.375% 10/15/22 50 49
NSTAR Electric Co. 5.500% 3/15/40 75 90

 

 

Oglethorpe Power Corp. 6.100% 3/15/19 65 70
Oglethorpe Power Corp. 5.950% 11/1/39 50 59
Oglethorpe Power Corp. 5.375% 11/1/40 125 141
Oglethorpe Power Corp. 4.250% 4/1/46 75 70
Ohio Power Co. 5.375% 10/1/21 325 361
Oklahoma Gas & Electric Co. 4.150% 4/1/47 50 50
Oncor Electric Delivery Co. LLC 4.100% 6/1/22 175 186
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 50 68
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 125 179
Pacific Gas & Electric Co. 8.250% 10/15/18 220 241
Pacific Gas & Electric Co. 3.250% 6/15/23 300 306
Pacific Gas & Electric Co. 3.750% 2/15/24 50 52
Pacific Gas & Electric Co. 3.400% 8/15/24 50 51
Pacific Gas & Electric Co. 3.500% 6/15/25 50 51
Pacific Gas & Electric Co. 6.050% 3/1/34 375 469
Pacific Gas & Electric Co. 6.350% 2/15/38 100 130
Pacific Gas & Electric Co. 5.400% 1/15/40 250 295
Pacific Gas & Electric Co. 4.450% 4/15/42 225 236
Pacific Gas & Electric Co. 4.600% 6/15/43 375 401
Pacific Gas & Electric Co. 4.750% 2/15/44 150 164
Pacific Gas & Electric Co. 4.250% 3/15/46 175 179
Pacific Gas & Electric Co. 4.000% 12/1/46 75 74
PacifiCorp 5.650% 7/15/18 100 105
PacifiCorp 3.600% 4/1/24 125 129
PacifiCorp 7.700% 11/15/31 600 867
PacifiCorp 5.250% 6/15/35 100 115
PacifiCorp 4.100% 2/1/42 200 200
PECO Energy Co. 2.375% 9/15/22 75 74
PG&E Corp. 2.400% 3/1/19 100 100
Potomac Electric Power Co. 6.500% 11/15/37 100 133
PPL Capital Funding Inc. 1.900% 6/1/18 50 50
PPL Capital Funding Inc. 3.500% 12/1/22 115 117
PPL Capital Funding Inc. 3.400% 6/1/23 100 101
PPL Capital Funding Inc. 3.950% 3/15/24 50 51
PPL Capital Funding Inc. 3.100% 5/15/26 100 96
PPL Capital Funding Inc. 4.700% 6/1/43 25 25
PPL Capital Funding Inc. 5.000% 3/15/44 200 211
PPL Electric Utilities Corp. 3.000% 9/15/21 275 282
PPL Electric Utilities Corp. 4.125% 6/15/44 50 51
Progress Energy Inc. 7.050% 3/15/19 400 437
Progress Energy Inc. 4.400% 1/15/21 100 106
Progress Energy Inc. 3.150% 4/1/22 40 40
Progress Energy Inc. 7.000% 10/30/31 119 156
Progress Energy Inc. 6.000% 12/1/39 25 30
PSEG Power LLC 8.625% 4/15/31 371 456
Public Service Co. of Colorado 5.125% 6/1/19 275 294
Public Service Co. of Colorado 3.200% 11/15/20 25 26
Public Service Co. of Colorado 3.600% 9/15/42 175 165
Public Service Co. of New Hampshire 3.500% 11/1/23 50 52
Public Service Co. of Oklahoma 6.625% 11/15/37 200 256
Public Service Electric & Gas Co. 5.300% 5/1/18 85 88
Public Service Electric & Gas Co. 2.300% 9/15/18 125 127
Public Service Electric & Gas Co. 1.800% 6/1/19 50 50
Public Service Electric & Gas Co. 1.900% 3/15/21 150 148
Public Service Electric & Gas Co. 3.000% 5/15/25 80 80
Public Service Electric & Gas Co. 2.250% 9/15/26 250 232
Public Service Electric & Gas Co. 3.800% 3/1/46 250 246

 

 

Puget Energy Inc. 6.000% 9/1/21 100 111
Puget Energy Inc. 3.650% 5/15/25 400 395
Puget Sound Energy Inc. 5.483% 6/1/35 25 29
Puget Sound Energy Inc. 6.274% 3/15/37 125 158
Puget Sound Energy Inc. 5.757% 10/1/39 75 91
Puget Sound Energy Inc. 5.764% 7/15/40 100 121
Puget Sound Energy Inc. 4.434% 11/15/41 150 155
San Diego Gas & Electric Co. 2.500% 5/15/26 250 238
San Diego Gas & Electric Co. 4.500% 8/15/40 150 162
SCANA Corp. 4.750% 5/15/21 125 131
SCANA Corp. 4.125% 2/1/22 50 50
Sierra Pacific Power Co. 3.375% 8/15/23 50 51
Sierra Pacific Power Co. 2.600% 5/1/26 100 96
Sierra Pacific Power Co. 6.750% 7/1/37 150 195
South Carolina Electric & Gas Co. 6.500% 11/1/18 200 214
South Carolina Electric & Gas Co. 6.050% 1/15/38 25 29
South Carolina Electric & Gas Co. 5.450% 2/1/41 100 115
South Carolina Electric & Gas Co. 4.100% 6/15/46 350 344
South Carolina Electric & Gas Co. 4.500% 6/1/64 100 97
Southern California Edison Co. 3.875% 6/1/21 275 291
5 Southern California Edison Co. 1.845% 2/1/22 71 71
Southern California Edison Co. 2.400% 2/1/22 300 299
Southern California Edison Co. 3.500% 10/1/23 175 182
Southern California Edison Co. 6.650% 4/1/29 75 94
Southern California Edison Co. 5.750% 4/1/35 75 91
Southern California Edison Co. 5.350% 7/15/35 100 117
Southern California Edison Co. 5.625% 2/1/36 125 151
Southern California Edison Co. 4.500% 9/1/40 75 80
Southern California Edison Co. 4.050% 3/15/42 125 126
Southern California Edison Co. 4.650% 10/1/43 85 94
Southern Co. 1.550% 7/1/18 100 100
Southern Co. 1.850% 7/1/19 75 75
Southern Co. 2.150% 9/1/19 50 50
Southern Co. 2.750% 6/15/20 250 252
Southern Co. 2.350% 7/1/21 175 171
Southern Co. 3.250% 7/1/26 100 95
Southern Co. 4.250% 7/1/36 250 242
Southern Co. 4.400% 7/1/46 300 287
Southern Power Co. 1.500% 6/1/18 75 75
Southern Power Co. 2.375% 6/1/20 50 50
Southern Power Co. 2.500% 12/15/21 400 392
Southern Power Co. 4.150% 12/1/25 100 103
Southern Power Co. 5.150% 9/15/41 100 101
Southern Power Co. 5.250% 7/15/43 50 52
Southern Power Co. 4.950% 12/15/46 75 75
Southwestern Electric Power Co. 6.450% 1/15/19 100 108
Southwestern Electric Power Co. 6.200% 3/15/40 50 62
Southwestern Electric Power Co. 3.900% 4/1/45 200 189
Southwestern Public Service Co. 3.300% 6/15/24 315 321
Southwestern Public Service Co. 4.500% 8/15/41 100 106
Southwestern Public Service Co. 3.400% 8/15/46 375 338
System Energy Resources Inc. 4.100% 4/1/23 50 52
Tampa Electric Co. 2.600% 9/15/22 75 74
Tampa Electric Co. 6.550% 5/15/36 25 31
Tampa Electric Co. 4.100% 6/15/42 50 49
Tampa Electric Co. 4.200% 5/15/45 250 241
TECO Finance Inc. 5.150% 3/15/20 50 53

 

 

Toledo Edison Co. 6.150% 5/15/37 25 30
TransAlta Corp. 6.900% 5/15/18 150 156
TransAlta Corp. 4.500% 11/15/22 100 100
Tucson Electric Power Co. 3.050% 3/15/25 50 48
UIL Holdings Corp. 4.625% 10/1/20 75 78
Union Electric Co. 3.500% 4/15/24 225 232
Union Electric Co. 8.450% 3/15/39 150 234
Union Electric Co. 3.650% 4/15/45 125 118
Virginia Electric & Power Co. 3.450% 2/15/24 50 51
Virginia Electric & Power Co. 3.500% 3/15/27 500 509
Virginia Electric & Power Co. 6.000% 1/15/36 125 155
Virginia Electric & Power Co. 6.350% 11/30/37 50 64
Virginia Electric & Power Co. 4.000% 1/15/43 250 246
Virginia Electric & Power Co. 4.450% 2/15/44 475 500
WEC Energy Group Inc. 1.650% 6/15/18 50 50
WEC Energy Group Inc. 2.450% 6/15/20 75 75
WEC Energy Group Inc. 3.550% 6/15/25 200 204
Westar Energy Inc. 2.550% 7/1/26 150 143
Westar Energy Inc. 3.100% 4/1/27 100 99
Westar Energy Inc. 4.125% 3/1/42 200 202
Westar Energy Inc. 4.100% 4/1/43 50 50
Westar Energy Inc. 4.625% 9/1/43 25 26
Westar Energy Inc. 4.250% 12/1/45 25 24
Wisconsin Electric Power Co. 2.950% 9/15/21 75 77
Wisconsin Electric Power Co. 4.250% 6/1/44 100 101
Wisconsin Power & Light Co. 5.000% 7/15/19 65 69
Wisconsin Power & Light Co. 6.375% 8/15/37 100 130
Xcel Energy Inc. 4.700% 5/15/20 100 106
Xcel Energy Inc. 2.400% 3/15/21 100 100
Xcel Energy Inc. 2.600% 3/15/22 75 74
Xcel Energy Inc. 3.300% 6/1/25 525 525
Xcel Energy Inc. 3.350% 12/1/26 75 75
 
Natural Gas (0.2%)        
Atmos Energy Corp. 8.500% 3/15/19 75 84
Atmos Energy Corp. 5.500% 6/15/41 200 240
British Transco Finance Inc. 6.625% 6/1/18 50 53
CenterPoint Energy Resources Corp. 4.500% 1/15/21 25 26
CenterPoint Energy Resources Corp. 5.850% 1/15/41 250 297
NiSource Finance Corp. 6.800% 1/15/19 75 81
NiSource Finance Corp. 5.450% 9/15/20 225 246
NiSource Finance Corp. 6.125% 3/1/22 75 86
NiSource Finance Corp. 6.250% 12/15/40 150 182
NiSource Finance Corp. 5.800% 2/1/42 150 174
NiSource Finance Corp. 4.800% 2/15/44 125 131
ONE Gas Inc. 2.070% 2/1/19 75 75
ONE Gas Inc. 4.658% 2/1/44 25 26
Piedmont Natural Gas Co. Inc. 4.650% 8/1/43 50 52
Piedmont Natural Gas Co. Inc. 3.640% 11/1/46 50 45
Sempra Energy 6.150% 6/15/18 548 577
Sempra Energy 1.625% 10/7/19 100 99
Sempra Energy 2.850% 11/15/20 395 400
Sempra Energy 2.875% 10/1/22 100 100
Sempra Energy 3.750% 11/15/25 105 107
Sempra Energy 6.000% 10/15/39 50 60
Southern California Gas Co. 2.600% 6/15/26 200 193
Southern California Gas Co. 3.750% 9/15/42 25 24

 

 

Southern California Gas Co. 4.450% 3/15/44 50 53
Southern Co. Gas Capital Corp. 3.500% 9/15/21 325 335
Southern Co. Gas Capital Corp. 3.250% 6/15/26 75 73
Southern Co. Gas Capital Corp. 5.875% 3/15/41 75 88
Southern Co. Gas Capital Corp. 4.400% 6/1/43 50 49
Southern Co. Gas Capital Corp. 3.950% 10/1/46 100 91
Washington Gas Light Co. 3.796% 9/15/46 75 70
 
Other Utility (0.0%)        
American Water Capital Corp. 3.400% 3/1/25 75 77
American Water Capital Corp. 6.593% 10/15/37 150 202
American Water Capital Corp. 4.300% 9/1/45 100 105
United Utilities plc 5.375% 2/1/19 225 235
        61,773
Total Corporate Bonds (Cost $815,599)       836,772
Sovereign Bonds (5.2%)        
African Development Bank 1.625% 10/2/18 300 301
African Development Bank 1.000% 11/2/18 350 347
African Development Bank 1.000% 5/15/19 200 197
African Development Bank 1.875% 3/16/20 500 502
African Development Bank 1.250% 7/26/21 500 483
African Development Bank 2.375% 9/23/21 300 303
Agricultural Bank of China Ltd. (New York) 2.000% 5/21/18 250 249
Asian Development Bank 0.875% 4/26/18 600 598
Asian Development Bank 5.593% 7/16/18 275 289
Asian Development Bank 1.750% 9/11/18 225 226
Asian Development Bank 0.875% 10/5/18 550 546
Asian Development Bank 1.875% 10/23/18 950 957
Asian Development Bank 1.375% 1/15/19 500 499
Asian Development Bank 1.750% 3/21/19 25 25
Asian Development Bank 1.875% 4/12/19 50 50
Asian Development Bank 1.000% 8/16/19 300 296
Asian Development Bank 1.750% 1/10/20 600 602
Asian Development Bank 1.500% 1/22/20 700 697
Asian Development Bank 1.625% 3/16/21 500 494
Asian Development Bank 2.000% 2/16/22 650 648
Asian Development Bank 1.875% 2/18/22 600 594
Asian Development Bank 2.000% 1/22/25 300 290
Asian Development Bank 2.000% 4/24/26 100 96
Asian Development Bank 2.625% 1/12/27 200 202
8 Bank of England 1.250% 3/14/19 50 50
Canada 1.125% 3/19/18 450 450
CNOOC Finance 2013 Ltd. 3.000% 5/9/23 150 146
CNOOC Finance 2015 Australia Pty Ltd. 2.625% 5/5/20 300 299
CNOOC Finance 2015 USA LLC 3.500% 5/5/25 500 496
CNOOC Nexen Finance 2014 ULC 4.250% 4/30/24 300 313
Corp. Andina de Fomento 8.125% 6/4/19 300 336
Corp. Andina de Fomento 2.125% 9/27/21 200 196
Council Of Europe Development Bank 1.000% 3/7/18 275 274
Council Of Europe Development Bank 1.125% 5/31/18 200 199
Council Of Europe Development Bank 1.625% 3/10/20 300 299
Council Of Europe Development Bank 1.625% 3/16/21 200 197
Ecopetrol SA 4.250% 9/18/18 100 103
Ecopetrol SA 5.875% 9/18/23 225 244
Ecopetrol SA 4.125% 1/16/25 775 749
Ecopetrol SA 5.375% 6/26/26 250 257

 

 

Ecopetrol SA 7.375% 9/18/43 100 107
Ecopetrol SA 5.875% 5/28/45 200 182
Emirates Telecommunications Group Co.        
PJSC 3.500% 6/18/24 200 201
European Bank for Reconstruction &        
Development 1.000% 9/17/18 150 149
European Bank for Reconstruction &        
Development 1.625% 11/15/18 200 200
European Bank for Reconstruction &        
Development 1.750% 6/14/19 275 276
European Bank for Reconstruction &        
Development 0.875% 7/22/19 850 835
European Bank for Reconstruction &        
Development 1.750% 11/26/19 500 501
European Bank for Reconstruction &        
Development 1.500% 3/16/20 350 347
European Bank for Reconstruction &        
Development 1.875% 2/23/22 200 197
European Investment Bank 1.250% 5/15/18 900 900
European Investment Bank 1.000% 6/15/18 650 648
European Investment Bank 1.125% 8/15/18 350 349
European Investment Bank 1.625% 12/18/18 400 401
European Investment Bank 1.875% 3/15/19 1,500 1,509
European Investment Bank 1.750% 6/17/19 885 887
European Investment Bank 1.125% 8/15/19 2,500 2,468
European Investment Bank 1.625% 3/16/20 275 274
European Investment Bank 1.375% 6/15/20 1,825 1,798
European Investment Bank 2.875% 9/15/20 1,025 1,057
European Investment Bank 1.625% 12/15/20 125 123
European Investment Bank 4.000% 2/16/21 25 27
European Investment Bank 2.000% 3/15/21 1,550 1,548
European Investment Bank 2.500% 4/15/21 850 865
European Investment Bank 1.625% 6/15/21 1,000 981
European Investment Bank 1.375% 9/15/21 100 97
European Investment Bank 2.125% 10/15/21 100 100
European Investment Bank 2.375% 6/15/22 1,400 1,397
European Investment Bank 3.250% 1/29/24 400 419
European Investment Bank 2.500% 10/15/24 200 200
European Investment Bank 1.875% 2/10/25 1,050 998
Export Development Canada 1.000% 6/15/18 575 572
9 Export Development Canada 1.750% 8/19/19 100 100
9 Export Development Canada 1.625% 12/3/19 150 150
9 Export Development Canada 1.625% 1/17/20 450 449
Export Development Canada 1.500% 5/26/21 500 488
Export Development Canada 1.375% 10/21/21 200 194
Export-Import Bank of Korea 1.750% 2/27/18 325 325
Export-Import Bank of Korea 2.875% 9/17/18 200 203
Export-Import Bank of Korea 2.375% 8/12/19 200 201
Export-Import Bank of Korea 1.500% 10/21/19 175 173
Export-Import Bank of Korea 2.500% 5/10/21 300 298
Export-Import Bank of Korea 4.375% 9/15/21 75 80
Export-Import Bank of Korea 1.875% 10/21/21 250 241
Export-Import Bank of Korea 5.000% 4/11/22 275 303
Export-Import Bank of Korea 4.000% 1/14/24 650 686
Export-Import Bank of Korea 2.625% 5/26/26 200 192
FMS Wertmanagement AoeR 1.625% 11/20/18 500 501
FMS Wertmanagement AoeR 1.000% 8/16/19 500 493

 

 

10 FMS Wertmanagement AoeR 1.750% 1/24/20 500 499
  FMS Wertmanagement AoeR 1.750% 3/17/20 150 150
  Hydro-Quebec 8.400% 1/15/22 775 960
  Hydro-Quebec 8.050% 7/7/24 200 261
  Industrial & Commercial Bank of China Ltd. 3.231% 11/13/19 250 255
  Industrial & Commercial Bank of China Ltd. 2.635% 5/26/21 250 247
  Inter-American Development Bank 0.875% 3/15/18 150 149
  Inter-American Development Bank 1.750% 8/24/18 275 276
  Inter-American Development Bank 1.125% 8/28/18 500 499
  Inter-American Development Bank 4.250% 9/10/18 1,050 1,092
  Inter-American Development Bank 1.000% 5/13/19 300 297
  Inter-American Development Bank 1.125% 9/12/19 100 99
  Inter-American Development Bank 3.875% 9/17/19 1,000 1,054
  Inter-American Development Bank 1.750% 10/15/19 600 602
  Inter-American Development Bank 3.875% 2/14/20 50 53
  Inter-American Development Bank 1.875% 6/16/20 275 276
  Inter-American Development Bank 2.125% 1/18/22 700 703
  Inter-American Development Bank 1.750% 4/14/22 800 786
  Inter-American Development Bank 3.000% 2/21/24 650 674
  Inter-American Development Bank 2.125% 1/15/25 400 391
  Inter-American Development Bank 7.000% 6/15/25 100 126
  Inter-American Development Bank 2.000% 6/2/26 1,000 955
  International Bank for Reconstruction &        
  Development 1.375% 4/10/18 550 551
  International Bank for Reconstruction &        
  Development 1.000% 6/15/18 1,000 996
  International Bank for Reconstruction &        
  Development 0.875% 7/19/18 1,100 1,094
  International Bank for Reconstruction &        
  Development 1.875% 3/15/19 1,225 1,234
  International Bank for Reconstruction &        
  Development 1.250% 7/26/19 1,200 1,192
  International Bank for Reconstruction &        
  Development 0.875% 8/15/19 925 911
  International Bank for Reconstruction &        
  Development 1.875% 10/7/19 600 604
  International Bank for Reconstruction &        
  Development 1.125% 11/27/19 525 518
  International Bank for Reconstruction &        
  Development 1.375% 3/30/20 100 99
  International Bank for Reconstruction &        
  Development 1.875% 4/21/20 1,000 1,005
  International Bank for Reconstruction &        
  Development 1.625% 3/9/21 1,100 1,088
  International Bank for Reconstruction &        
  Development 1.375% 5/24/21 1,100 1,075
  International Bank for Reconstruction &        
  Development 2.250% 6/24/21 450 455
  International Bank for Reconstruction &        
  Development 1.375% 9/20/21 2,250 2,185
  International Bank for Reconstruction &        
  Development 1.625% 2/10/22 1,025 1,002
  International Bank for Reconstruction &        
  Development 2.500% 7/29/25 1,000 995
  International Bank for Reconstruction &        
  Development 4.750% 2/15/35 400 489
  International Finance Corp. 0.625% 12/21/17 250 248

 

 

  International Finance Corp. 0.875% 6/15/18 300 298
  International Finance Corp. 1.250% 7/16/18 150 149
  International Finance Corp. 1.750% 9/4/18 350 351
  International Finance Corp. 1.750% 9/16/19 300 300
  International Finance Corp. 1.750% 3/30/20 450 450
  International Finance Corp. 2.125% 4/7/26 1,100 1,057
11 Japan Bank for International Cooperation 1.750% 7/31/18 150 150
11 Japan Bank for International Cooperation 1.750% 11/13/18 400 400
11 Japan Bank for International Cooperation 1.875% 4/20/21 300 293
11 Japan Bank for International Cooperation 1.500% 7/21/21 750 719
11 Japan Bank for International Cooperation 2.000% 11/4/21 1,650 1,609
11 Japan Bank for International Cooperation 3.375% 7/31/23 100 104
11 Japan Bank for International Cooperation 3.000% 5/29/24 500 509
11 Japan Bank for International Cooperation 2.125% 2/10/25 200 191
11 Japan Bank for International Cooperation 2.500% 5/28/25 200 195
11 Japan Bank for International Cooperation 2.375% 4/20/26 200 192
11 Japan Finance Organization for Municipalities 4.000% 1/13/21 300 316
10 KFW 4.375% 3/15/18 250 257
10 KFW 0.875% 4/19/18 2,000 1,993
10 KFW 1.000% 6/11/18 300 299
10 KFW 1.125% 8/6/18 600 599
10 KFW 1.000% 9/7/18 300 299
10 KFW 1.875% 4/1/19 775 781
10 KFW 4.875% 6/17/19 1,350 1,445
10 KFW 1.000% 7/15/19 650 642
10 KFW 1.750% 10/15/19 200 201
10 KFW 4.000% 1/27/20 50 53
10 KFW 1.500% 4/20/20 625 620
10 KFW 1.875% 6/30/20 1,100 1,103
10 KFW 2.750% 9/8/20 3,200 3,292
10 KFW 2.750% 10/1/20 200 206
10 KFW 1.625% 3/15/21 900 889
10 KFW 1.500% 6/15/21 1,700 1,666
10 KFW 2.000% 11/30/21 600 597
10 KFW 2.125% 3/7/22 1,000 999
10 KFW 2.000% 10/4/22 650 641
10 KFW 2.125% 1/17/23 1,025 1,016
10 KFW 2.500% 11/20/24 800 806
10 KFW 2.000% 5/2/25 300 290
10 KFW 0.000% 4/18/36 400 217
  Korea Development Bank 3.000% 3/17/19 200 204
  Korea Development Bank 4.625% 11/16/21 150 162
  Korea Development Bank 3.000% 9/14/22 750 757
  Korea Development Bank 3.750% 1/22/24 400 416
10 Landwirtschaftliche Rentenbank 1.000% 4/4/18 100 100
10 Landwirtschaftliche Rentenbank 1.875% 9/17/18 150 151
10 Landwirtschaftliche Rentenbank 1.750% 4/15/19 75 75
10 Landwirtschaftliche Rentenbank 1.375% 10/23/19 50 50
10 Landwirtschaftliche Rentenbank 2.250% 10/1/21 75 75
10 Landwirtschaftliche Rentenbank 2.000% 12/6/21 275 273
10 Landwirtschaftliche Rentenbank 2.000% 1/13/25 850 819
10 Landwirtschaftliche Rentenbank 2.375% 6/10/25 475 469
10 Landwirtschaftliche Rentenbank 1.750% 7/27/26 275 255
  Nexen Energy ULC 7.875% 3/15/32 50 69
  Nexen Energy ULC 6.400% 5/15/37 450 558
  Nexen Energy ULC 7.500% 7/30/39 200 280
  Nordic Investment Bank 0.875% 9/27/18 200 198

 

 

  Nordic Investment Bank 1.875% 6/14/19 300 302
  Nordic Investment Bank 1.500% 9/29/20 200 198
  Nordic Investment Bank 1.250% 8/2/21 400 387
  North American Development Bank 4.375% 2/11/20 100 106
12 Oesterreichische Kontrollbank AG 1.125% 4/26/19 350 346
12 Oesterreichische Kontrollbank AG 1.750% 1/24/20 250 250
12 Oesterreichische Kontrollbank AG 1.375% 2/10/20 700 691
12 Oesterreichische Kontrollbank AG 1.500% 10/21/20 300 295
5 Oriental Republic of Uruguay 4.500% 8/14/24 225 238
5 Oriental Republic of Uruguay 4.375% 10/27/27 75 78
5 Oriental Republic of Uruguay 7.625% 3/21/36 400 517
5 Oriental Republic of Uruguay 4.125% 11/20/45 300 264
5 Oriental Republic of Uruguay 5.100% 6/18/50 850 819
  Petroleos Mexicanos 5.500% 2/4/19 500 525
  Petroleos Mexicanos 6.000% 3/5/20 100 108
  Petroleos Mexicanos 3.500% 7/23/20 100 101
  Petroleos Mexicanos 5.500% 1/21/21 400 424
  Petroleos Mexicanos 6.375% 2/4/21 1,451 1,575
  Petroleos Mexicanos 4.875% 1/24/22 425 438
  Petroleos Mexicanos 3.500% 1/30/23 365 348
  Petroleos Mexicanos 4.625% 9/21/23 487 491
  Petroleos Mexicanos 4.875% 1/18/24 350 355
  Petroleos Mexicanos 2.378% 4/15/25 43 42
  Petroleos Mexicanos 4.500% 1/23/26 125 120
  Petroleos Mexicanos 6.875% 8/4/26 429 478
8 Petroleos Mexicanos 6.500% 3/13/27 300 323
  Petroleos Mexicanos 6.625% 6/15/35 625 644
  Petroleos Mexicanos 6.625% 6/15/38 150 152
  Petroleos Mexicanos 6.500% 6/2/41 400 399
  Petroleos Mexicanos 5.500% 6/27/44 184 163
  Petroleos Mexicanos 5.625% 1/23/46 1,059 954
  Petroleos Mexicanos 6.750% 9/21/47 688 700
13 Power Sector Assets & Liabilities        
  Management Corp. 9.625% 5/15/28 35 53
  Province of Alberta Canada 1.900% 12/6/19 400 400
  Province of British Columbia 2.000% 10/23/22 200 195
  Province of British Columbia 2.250% 6/2/26 300 286
  Province of Manitoba 1.750% 5/30/19 175 175
  Province of Manitoba 2.050% 11/30/20 300 300
  Province of Manitoba 2.100% 9/6/22 150 147
  Province of Manitoba 3.050% 5/14/24 250 255
  Province of Manitoba 2.125% 6/22/26 90 84
  Province of Ontario 3.000% 7/16/18 225 229
  Province of Ontario 2.000% 9/27/18 200 201
  Province of Ontario 1.250% 6/17/19 500 494
  Province of Ontario 1.650% 9/27/19 225 224
  Province of Ontario 4.000% 10/7/19 575 605
  Province of Ontario 4.400% 4/14/20 700 747
  Province of Ontario 2.500% 9/10/21 575 578
  Province of Ontario 2.400% 2/8/22 650 650
  Province of Ontario 2.450% 6/29/22 150 150
  Province of Ontario 3.200% 5/16/24 150 154
  Province of Ontario 2.500% 4/27/26 250 242
  Province of Quebec 4.625% 5/14/18 575 594
  Province of Quebec 3.500% 7/29/20 350 365
  Province of Quebec 2.750% 8/25/21 325 330
  Province of Quebec 2.375% 1/31/22 100 100

 

 

Province of Quebec 2.625% 2/13/23 400 400
Province of Quebec 2.500% 4/20/26 200 195
Province of Quebec 7.500% 9/15/29 475 668
Republic of Chile 2.250% 10/30/22 175 171
Republic of Chile 3.125% 1/21/26 735 742
Republic of Chile 3.625% 10/30/42 75 74
Republic of Colombia 7.375% 3/18/19 400 441
Republic of Colombia 4.375% 7/12/21 450 476
Republic of Colombia 4.000% 2/26/24 700 720
Republic of Colombia 8.125% 5/21/24 100 127
5 Republic of Colombia 4.500% 1/28/26 522 551
5 Republic of Colombia 3.875% 4/25/27 200 200
Republic of Colombia 7.375% 9/18/37 100 128
Republic of Colombia 6.125% 1/18/41 575 656
5 Republic of Colombia 5.625% 2/26/44 200 218
5 Republic of Colombia 5.000% 6/15/45 800 812
Republic of Hungary 6.250% 1/29/20 350 384
Republic of Hungary 6.375% 3/29/21 2,450 2,759
Republic of Hungary 7.625% 3/29/41 100 145
Republic of Italy 6.875% 9/27/23 475 556
Republic of Italy 5.375% 6/15/33 175 189
Republic of Korea 7.125% 4/16/19 600 663
Republic of Korea 5.625% 11/3/25 100 121
Republic of Panama 5.200% 1/30/20 200 216
5 Republic of Panama 4.000% 9/22/24 200 208
5 Republic of Panama 3.750% 3/16/25 200 204
Republic of Panama 7.125% 1/29/26 400 505
5 Republic of Panama 3.875% 3/17/28 300 305
Republic of Panama 9.375% 4/1/29 300 442
5 Republic of Panama 6.700% 1/26/36 292 369
5 Republic of Panama 4.300% 4/29/53 200 189
Republic of Peru 7.350% 7/21/25 425 552
Republic of Peru 8.750% 11/21/33 645 977
5 Republic of Peru 6.550% 3/14/37 225 291
Republic of Peru 5.625% 11/18/50 350 418
Republic of Poland 6.375% 7/15/19 961 1,055
Republic of Poland 5.125% 4/21/21 275 301
Republic of Poland 5.000% 3/23/22 775 852
Republic of Poland 3.000% 3/17/23 325 325
Republic of Poland 4.000% 1/22/24 150 157
Republic of Poland 3.250% 4/6/26 150 149
Republic of South Africa 5.500% 3/9/20 350 372
Republic of South Africa 4.665% 1/17/24 625 632
Republic of South Africa 5.875% 9/16/25 300 322
Republic of South Africa 4.875% 4/14/26 275 276
Republic of South Africa 4.300% 10/12/28 500 469
Republic of South Africa 6.250% 3/8/41 200 224
Republic of South Africa 5.000% 10/12/46 100 95
Republic of the Philippines 4.000% 1/15/21 350 372
Republic of the Philippines 9.500% 10/21/24 350 503
Republic of the Philippines 10.625% 3/16/25 100 152
Republic of the Philippines 5.500% 3/30/26 225 265
Republic of the Philippines 9.500% 2/2/30 225 355
Republic of the Philippines 7.750% 1/14/31 400 570
Republic of the Philippines 6.375% 1/15/32 500 645
Republic of the Philippines 6.375% 10/23/34 550 730
Republic of the Philippines 3.950% 1/20/40 100 103

 

 

Republic of the Philippines 3.700% 3/1/41 200 197
State of Israel 5.125% 3/26/19 350 373
State of Israel 3.150% 6/30/23 400 405
State of Israel 2.875% 3/16/26 200 196
State of Israel 4.500% 1/30/43 200 206
Statoil ASA 3.125% 8/17/17 400 402
Statoil ASA 1.250% 11/9/17 200 200
Statoil ASA 1.200% 1/17/18 125 125
Statoil ASA 5.250% 4/15/19 25 27
Statoil ASA 2.250% 11/8/19 250 251
Statoil ASA 2.750% 11/10/21 300 302
Statoil ASA 3.150% 1/23/22 150 153
Statoil ASA 2.450% 1/17/23 150 147
Statoil ASA 2.650% 1/15/24 100 98
Statoil ASA 3.250% 11/10/24 50 50
Statoil ASA 7.250% 9/23/27 400 529
Statoil ASA 5.100% 8/17/40 125 141
Statoil ASA 4.250% 11/23/41 175 175
Statoil ASA 3.950% 5/15/43 125 121
Statoil ASA 4.800% 11/8/43 175 192
Svensk Exportkredit AB 1.250% 4/12/19 300 298
Svensk Exportkredit AB 1.875% 6/17/19 200 201
Svensk Exportkredit AB 1.125% 8/28/19 300 296
Svensk Exportkredit AB 1.875% 6/23/20 200 200
Svensk Exportkredit AB 1.750% 3/10/21 250 247
United Mexican States 5.950% 3/19/19 150 162
United Mexican States 5.125% 1/15/20 200 217
United Mexican States 3.500% 1/21/21 100 104
United Mexican States 3.625% 3/15/22 958 986
United Mexican States 4.000% 10/2/23 1,026 1,059
United Mexican States 3.600% 1/30/25 600 599
United Mexican States 4.125% 1/21/26 200 206
United Mexican States 7.500% 4/8/33 100 131
United Mexican States 6.750% 9/27/34 533 662
United Mexican States 6.050% 1/11/40 1,145 1,311
United Mexican States 4.750% 3/8/44 765 744
United Mexican States 4.600% 1/23/46 600 576
United Mexican States 4.350% 1/15/47 350 322
United Mexican States 5.750% 10/12/10 342 341
Total Sovereign Bonds (Cost $153,937)       155,376
Taxable Municipal Bonds (0.8%)        
Alabama Economic Settlement Authority BP        
Settlement Revenue 3.163% 9/15/25 100 100
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 5.939% 2/15/47 150 177
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 6.270% 2/15/50 50 60
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 7.499% 2/15/50 50 68
American Municipal Power Ohio Inc. Revenue        
(Prairie State Energy Campus Project) 8.084% 2/15/50 125 192
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.793% 4/1/30 50 61
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.918% 4/1/40 100 135
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 250 341

 

 

Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.907% 10/1/50 200 286
California Department of Water Resources        
Power Supply Revenue 2.000% 5/1/22 250 246
California GO 6.200% 10/1/19 275 305
California GO 5.700% 11/1/21 250 284
California GO 7.500% 4/1/34 600 849
California GO 7.300% 10/1/39 75 105
California GO 7.350% 11/1/39 925 1,307
California GO 7.625% 3/1/40 205 299
California GO 7.600% 11/1/40 200 298
California State University Systemwide        
Revenue 3.899% 11/1/47 50 50
Central Puget Sound WA Regional Transit        
Authority Sales & Use Tax Revenue 5.491% 11/1/39 50 62
Chicago IL GO 7.045% 1/1/29 50 51
Chicago IL GO 7.375% 1/1/33 150 153
Chicago IL GO 7.781% 1/1/35 50 52
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 125 164
Chicago IL Transit Authority Sales Tax        
Receipts Revenue 6.200% 12/1/40 150 176
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 125 156
Chicago IL Water Revenue 6.742% 11/1/40 175 217
Clark County NV Airport System Revenue 6.881% 7/1/42 100 111
Clark County NV Airport System Revenue 6.820% 7/1/45 100 140
Connecticut GO 5.090% 10/1/30 175 195
Connecticut GO 5.850% 3/15/32 200 240
Connecticut Special Tax Revenue        
(Transportation Infrastructure) 5.459% 11/1/30 50 58
Cook County IL GO 6.229% 11/15/34 50 59
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 100 129
Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 50 58
Dallas TX Convention Center Hotel        
Development Corp. Hotel Revenue 7.088% 1/1/42 100 130
Dallas TX Independent School District GO 6.450% 2/15/35 100 115
Denver CO City & County School District No.        
1 GO 5.664% 12/1/33 50 61
District of Columbia Income Tax Revenue 5.591% 12/1/34 50 61
District of Columbia Water & Sewer Authority        
Public Utility Revenue 4.814% 10/1/14 150 150
Energy Northwest Washington Electric        
Revenue (Columbia Generating Station) 2.197% 7/1/19 100 101
Florida Board of Administration Finance Corp        
Revenue 2.638% 7/1/21 150 151
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.107% 7/1/18 125 126
Florida Hurricane Catastrophe Fund Finance        
Corp. Revenue 2.995% 7/1/20 450 462
George Washington University District of        
Columbia GO 3.485% 9/15/22 200 207
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 250 284
Georgia Municipal Electric Power Authority        
Revenue 6.655% 4/1/57 150 169

 

 

  Georgia Municipal Electric Power Authority        
  Revenue 7.055% 4/1/57 75 79
  Houston TX GO 6.290% 3/1/32 145 171
  Houston TX Utility System Revenue 3.828% 5/15/28 75 78
  Illinois GO 5.877% 3/1/19 250 263
  Illinois GO 4.950% 6/1/23 550 560
  Illinois GO 5.100% 6/1/33 1,200 1,093
  Illinois GO 7.350% 7/1/35 300 319
  Illinois Toll Highway Authority Revenue 6.184% 1/1/34 150 189
  Illinois Toll Highway Authority Revenue 5.851% 12/1/34 50 62
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 3.985% 1/1/29 150 159
  JobsOhio Beverage System Statewide Liquor        
  Profits Revenue 4.532% 1/1/35 100 108
  Kansas Development Finance Authority        
  Revenue 4.727% 4/15/37 200 205
  Los Angeles CA Community College District        
  GO 6.600% 8/1/42 200 277
  Los Angeles CA Department of Water &        
  Power Revenue 6.166% 7/1/40 25 28
  Los Angeles CA Department of Water &        
  Power Revenue 6.574% 7/1/45 100 138
  Los Angeles CA Department of Water &        
  Power Revenue 6.603% 7/1/50 100 140
  Los Angeles CA Unified School District GO 5.755% 7/1/29 200 244
  Los Angeles CA Unified School District GO 5.750% 7/1/34 125 154
  Los Angeles CA Unified School District GO 6.758% 7/1/34 200 268
  Los Angeles County CA Metropolitan        
  Transportation Authority Sales Tax        
  Revenue 5.735% 6/1/39 75 92
  Los Angeles County CA Public Works        
  Financing Authority Lease Revenue 7.488% 8/1/33 100 134
  Los Angeles County CA Public Works        
  Financing Authority Lease Revenue 7.618% 8/1/40 50 72
  Maryland Transportation Authority Facilities        
  Projects Revenue 5.888% 7/1/43 50 62
  Massachusetts GO 4.200% 12/1/21 125 133
  Massachusetts GO 5.456% 12/1/39 150 184
  Massachusetts School Building Authority        
  Dedicated Sales Tax Revenue 5.715% 8/15/39 100 124
  Massachusetts Transportation Fund Revenue 5.731% 6/1/40 50 63
  Massachusetts Water Pollution Abatement        
  Trust Revenue 5.192% 8/1/40 75 86
  Metropolitan Government of Nashville &        
  Davidson County TN Convention Center        
  Authority Tourism Tax Revenue 6.731% 7/1/43 50 65
  Metropolitan Washington DC/VA Airports        
  Authority Dulles Toll Road Revenue 7.462% 10/1/46 50 71
  Mississippi GO 5.245% 11/1/34 50 60
  Missouri Highways & Transportation        
  Commission Road Revenue 5.445% 5/1/33 50 59
14 New Jersey Economic Development Authority        
  Revenue (State Pension Funding) 7.425% 2/15/29 225 269
  New Jersey Transportation Trust Fund        
  Authority Transportation System Revenue 6.104% 12/15/28 100 104
  New Jersey Transportation Trust Fund        
  Authority Transportation System Revenue 6.561% 12/15/40 400 437

 

 

  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 100 144
  New York City NY GO 6.246% 6/1/35 25 28
  New York City NY GO 5.968% 3/1/36 100 126
  New York City NY GO 5.985% 12/1/36 50 62
  New York City NY GO 5.517% 10/1/37 50 60
  New York City NY GO 6.271% 12/1/37 100 130
  New York City NY GO 5.846% 6/1/40 50 63
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.750% 6/15/41 50 65
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.952% 6/15/42 50 65
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 6.011% 6/15/42 50 65
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.440% 6/15/43 100 125
  New York City NY Municipal Water Finance        
  Authority Water & Sewer System Revenue 5.882% 6/15/44 175 226
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.767% 8/1/36 150 182
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.508% 8/1/37 100 121
  New York City NY Transitional Finance        
  Authority Future Tax Revenue 5.572% 11/1/38 75 91
  New York Metropolitan Transportation        
  Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 400 582
  New York Metropolitan Transportation        
  Authority Revenue (Transit Revenue) 5.871% 11/15/39 50 60
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.289% 3/15/33 100 117
  New York State Dormitory Authority Revenue        
  (Personal Income Tax) 5.628% 3/15/39 100 120
  New York State Urban Development Corp.        
  Revenue (Personal Income Tax) 5.770% 3/15/39 150 180
  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 100 140
  Ohio State University General Receipts        
  Revenue 4.910% 6/1/40 100 115
  Ohio State University General Receipts        
  Revenue 4.800% 6/1/11 100 98
  Ohio Water Development Authority Water        
  Pollution Control Loan Fund Revenue 4.879% 12/1/34 75 85
  Oregon Department of Transportation        
  Highway User Tax Revenue 5.834% 11/15/34 150 189
  Oregon GO 5.762% 6/1/23 200 223
  Oregon GO 5.892% 6/1/27 75 90
15 Oregon School Boards Association GO 4.759% 6/30/28 75 83
16 Oregon School Boards Association GO 5.528% 6/30/28 50 58
  Pennsylvania Public School Building Authority        
  Lease Revenue (School District of        
  Philadelphia) 5.000% 9/15/27 50 53
  Pennsylvania Turnpike Commission Revenue 5.511% 12/1/45 50 60
  Port Authority of New York & New Jersey        
  Revenue 6.040% 12/1/29 75 94
  Port Authority of New York & New Jersey        
  Revenue 4.960% 8/1/46 250 284
  Port Authority of New York & New Jersey        
  Revenue 5.310% 8/1/46 100 107

 

 

  Port Authority of New York & New Jersey        
  Revenue 4.458% 10/1/62 550 574
  Port Authority of New York & New Jersey        
  Revenue 4.810% 10/15/65 100 110
  President & Fellows of Harvard College        
  Massachusetts GO 4.875% 10/15/40 25 30
  President & Fellows of Harvard College        
  Massachusetts GO 3.150% 7/15/46 100 92
  Regional Transportation District of Colorado        
  Sales Tax Revenue 5.844% 11/1/50 100 130
  Rutgers State University New Jersey Revenue 5.665% 5/1/40 50 59
  Salt River Project Arizona Agricultural        
  Improvement & Power District Revenue 4.839% 1/1/41 150 172
  San Antonio TX Electric & Gas Systems        
  Revenue 5.985% 2/1/39 125 160
  San Antonio TX Electric & Gas Systems        
  Revenue 5.718% 2/1/41 50 62
  San Antonio TX Electric & Gas Systems        
  Revenue 5.808% 2/1/41 125 157
  San Diego County CA Water Authority        
  Revenue 6.138% 5/1/49 100 129
  San Francisco CA City & County Public        
  Utilities Commission Water Revenue 6.950% 11/1/50 100 141
  Santa Clara Valley CA Transportation        
  Authority Sales Tax Revenue 5.876% 4/1/32 200 244
  South Carolina Public Service Authority        
  Revenue 2.388% 12/1/23 100 92
  South Carolina Public Service Authority        
  Revenue 6.454% 1/1/50 100 111
  Texas GO 5.517% 4/1/39 50 63
  Texas Transportation Commission Revenue 5.028% 4/1/26 50 56
  Texas Transportation Commission Revenue 5.178% 4/1/30 175 205
  Texas Transportation Commission Revenue 4.631% 4/1/33 350 395
  Texas Transportation Commission Revenue 4.681% 4/1/40 50 56
  Tufts University Massachusetts GO 5.017% 4/15/12 150 149
  University of California Regents Medical        
  Center Revenue 6.548% 5/15/48 250 324
  University of California Regents Medical        
  Center Revenue 6.583% 5/15/49 50 65
  University of California Revenue 6.270% 5/15/31 500 543
  University of California Revenue 5.946% 5/15/45 175 216
  University of Southern California GO 5.250% 10/1/11 100 117
  University of Texas System Revenue        
  Financing System Revenue 5.262% 7/1/39 50 60
  University of Texas System Revenue        
  Financing System Revenue 6.276% 8/15/41 25 27
  University of Texas System Revenue        
  Financing System Revenue 5.134% 8/15/42 100 117
  University of Texas System Revenue        
  Financing System Revenue 4.794% 8/15/46 75 85
  Utah GO 4.554% 7/1/24 50 55
  Utah GO 3.539% 7/1/25 50 52
  Washington GO 5.140% 8/1/40 150 180
  Wisconsin Annual Appropriation Revenue 3.954% 5/1/36 250 252
16 Wisconsin GO 5.700% 5/1/26 75 88
Total Taxable Municipal Bonds (Cost $22,561)       25,410

 

 

    Shares  
Temporary Cash Investment (2.1%)      
Money Market Fund (2.1%)      
17 Vanguard Market Liquidity Fund      
(Cost $64,121) 0.965% 641,190 64,132
Total Investments (101.4%) (Cost $3,017,768)     3,046,368
Other Assets and Liabilities-Net (-1.4%)     (41,386)
Net Assets (100%)     3,004,982

1 Securities with a value of $224,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the portfolio has not taken
delivery as of March 31, 2017.
7 Adjustable-rate security.
8 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 March 31, 2017, the aggregate
value of these securities was $15,813,000, representing 0.5% of net assets.
9 Guaranteed by the Government of Canada.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Government of Japan.
12 Guaranteed by the Republic of Austria.
13 Guaranteed by the Republic of the Philippines.
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
16 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
17 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

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

 

Vanguard Total Bond Market Index Portfolio

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 portfolio 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 portfolio 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 portfolio 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 portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio 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 portfolio under the master netting arrangements.

C. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio 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 portfolio 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 portfolio has also entered into mortgage-dollar-roll transactions in which the portfolio 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 portfolio 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 portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

D. Various inputs may be used to determine the value of the portfolio's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value

 

Vanguard Total Bond Market Index Portfolio

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 portfolio's own assumptions used to determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations — 1,880,790 —
Asset-Backed/Commercial Mortgage Backed      
Securities — 83,888 —
Corporate Bonds — 836,772 —
Sovereign Bonds — 155,376 —
Taxable Municipal Bonds — 25,410 —
Temporary Cash Investments 64,132 — —
Futures Contracts—Liabilities1 — — —
Total 64,132 2,982,236 —
1 Represents variation margin on the last day of the reporting period.

 

E. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio’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).

 

Vanguard Total Bond Market Index Portfolio

At March 31, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
    Number of Aggregate  
    Long ) Settlement Unrealized
    (Short Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
5-Year U.S. Treasury Note June 2017 (3) (353) —

 

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

F. At March 31, 2017, the cost of investment securities for tax purposes was $3,017,768,000. Net unrealized appreciation of investment securities for tax purposes was $28,600,000, consisting of unrealized gains of $56,958,000 on securities that had risen in value since their purchase and $28,358,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Balanced Portfolio

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

    Market
    Value
  Shares ($000)
Common Stocks (64.9%)    
Consumer Discretionary (4.2%)    
Comcast Corp. Class A 1,189,138 44,700
Twenty-First Century Fox Inc. Class A 533,824 17,291
Ford Motor Co. 1,474,530 17,163
Lowe's Cos. Inc. 168,710 13,870
Bayerische Motoren Werke AG 60,433 5,514
L Brands Inc. 112,620 5,304
Hilton Worldwide Holdings Inc. 68,128 3,983
VF Corp. 65,990 3,627
    111,452
Consumer Staples (5.3%)    
PepsiCo Inc. 217,590 24,340
Unilever NV 387,714 19,250
Walgreens Boots Alliance Inc. 221,740 18,415
Philip Morris International Inc. 157,930 17,830
Diageo plc 500,633 14,336
Mondelez International Inc. Class A 332,655 14,331
CVS Health Corp. 164,550 12,917
Costco Wholesale Corp. 74,260 12,453
British American Tobacco plc 83,176 5,518
    139,390
Energy (6.3%)    
Chevron Corp. 430,500 46,223
TOTAL SA 471,804 23,856
Exxon Mobil Corp. 282,487 23,167
Suncor Energy Inc. 458,200 14,068
Royal Dutch Shell plc Class B 504,402 13,866
Anadarko Petroleum Corp. 207,350 12,856
ConocoPhillips 198,320 9,890
Hess Corp. 166,560 8,030
Eni SPA 321,085 5,257
Halliburton Co. 102,770 5,057
Valero Energy Corp. 75,750 5,021
    167,291
Financials (15.6%)    
JPMorgan Chase & Co. 550,783 48,381
Bank of America Corp. 1,932,937 45,598
Wells Fargo & Co. 692,340 38,536
Chubb Ltd. 282,500 38,491
Prudential Financial Inc. 339,410 36,208
PNC Financial Services Group Inc. 243,500 29,278
Marsh & McLennan Cos. Inc. 243,730 18,009
Mitsubishi UFJ Financial Group Inc. 2,409,130 15,176
Northern Trust Corp. 174,320 15,093
BlackRock Inc. 38,309 14,692
Intercontinental Exchange Inc. 239,075 14,313
Synchrony Financial 403,480 13,839
Goldman Sachs Group Inc. 58,100 13,347
MetLife Inc. 249,873 13,198

 

 

Bank of Nova Scotia 194,010 11,363
BNP Paribas SA 141,838 9,438
Hartford Financial Services Group Inc. 179,250 8,617
Zurich Insurance Group AG 21,183 5,653
American International Group Inc. 89,425 5,583
UBS Group AG 270,203 4,310
Tokio Marine Holdings Inc. 91,200 3,854
US Bancorp 72,845 3,752
ING Groep NV 177,812 2,686
Capital One Financial Corp. 21,200 1,837
    411,252
Health Care (10.5%)    
Merck & Co. Inc. 617,019 39,205
Bristol-Myers Squibb Co. 615,580 33,475
^ AstraZeneca plc ADR 900,868 28,053
Johnson & Johnson 208,880 26,016
Medtronic plc 301,655 24,301
Pfizer Inc. 672,718 23,014
Eli Lilly & Co. 222,555 18,719
Cardinal Health Inc. 224,790 18,332
UnitedHealth Group Inc. 98,975 16,233
Novartis AG 209,658 15,569
* HCA Holdings Inc. 107,870 9,599
Roche Holding AG 29,053 7,430
McKesson Corp. 41,130 6,098
Abbott Laboratories 116,434 5,171
* Regeneron Pharmaceuticals Inc. 12,190 4,724
    275,939
Industrials (7.2%)    
United Parcel Service Inc. Class B 287,724 30,873
Honeywell International Inc. 148,405 18,531
Lockheed Martin Corp. 67,050 17,943
Canadian National Railway Co. 214,348 15,847
Caterpillar Inc. 162,001 15,027
Eaton Corp. plc 202,540 15,018
FedEx Corp. 68,187 13,307
Siemens AG 96,460 13,212
Boeing Co. 69,330 12,262
^ ABB Ltd. ADR 497,198 11,634
CSX Corp. 194,682 9,063
Airbus SE 118,290 9,021
Schneider Electric SE 93,810 6,892
    188,630
Information Technology (9.5%)    
Microsoft Corp. 829,778 54,649
Intel Corp. 1,203,990 43,428
Apple Inc. 296,062 42,532
* Alphabet Inc. Class A 49,850 42,263
Cisco Systems Inc. 652,036 22,039
Accenture plc Class A 161,060 19,308
* eBay Inc. 391,440 13,140
Texas Instruments Inc. 113,690 9,159
International Business Machines Corp. 19,650 3,422
    249,940
Materials (1.9%)    
Dow Chemical Co. 285,370 18,132

 

 

International Paper Co.     236,410 12,005
Monsanto Co.     62,631 7,090
Linde AG     38,437 6,404
BHP Billiton plc     409,202 6,312
        49,943
Real Estate (0.8%)        
American Tower Corporation     149,122 18,124
AvalonBay Communities Inc.     15,670 2,877
        21,001
Telecommunication Services (1.1%)        
Verizon Communications Inc.     572,300 27,900
 
Utilities (2.5%)        
NextEra Energy Inc.     231,910 29,770
Dominion Resources Inc.     292,110 22,659
Exelon Corp.     400,160 14,398
        66,827
Total Common Stocks (Cost $1,262,275)       1,709,565
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (5.7%)        
U.S. Government Securities (5.6%)        
United States Treasury Note/Bond 0.750% 6/30/17 4,800 4,799
United States Treasury Note/Bond 0.625% 7/31/17 8,000 7,995
United States Treasury Note/Bond 1.000% 9/15/17 17,240 17,248
United States Treasury Note/Bond 0.750% 10/31/17 9,200 9,190
United States Treasury Note/Bond 0.625% 11/30/17 5,575 5,562
United States Treasury Note/Bond 0.875% 3/31/18 750 748
United States Treasury Note/Bond 0.750% 4/30/18 1,500 1,494
United States Treasury Note/Bond 1.000% 5/31/18 5,500 5,491
United States Treasury Note/Bond 0.750% 8/31/18 1,300 1,293
United States Treasury Note/Bond 1.375% 9/30/18 14,700 14,741
United States Treasury Note/Bond 0.750% 7/15/19 4,300 4,243
United States Treasury Note/Bond 1.750% 9/30/19 13,000 13,114
United States Treasury Note/Bond 1.375% 2/15/20 1,300 1,296
United States Treasury Note/Bond 1.375% 2/29/20 2,130 2,122
United States Treasury Note/Bond 1.625% 6/30/20 2,840 2,843
United States Treasury Note/Bond 1.250% 3/31/21 3,000 2,938
United States Treasury Note/Bond 1.375% 5/31/21 3,500 3,438
United States Treasury Note/Bond 2.000% 2/15/25 11,180 10,930
United States Treasury Note/Bond 2.000% 8/15/25 7,095 6,909
United States Treasury Note/Bond 2.250% 11/15/25 180 178
United States Treasury Note/Bond 1.625% 2/15/26 1,000 940
United States Treasury Note/Bond 1.625% 5/15/26 2,500 2,345
United States Treasury Note/Bond 1.500% 8/15/26 2,700 2,498
United States Treasury Note/Bond 2.875% 5/15/43 6,738 6,559
United States Treasury Note/Bond 3.375% 5/15/44 4,410 4,704
United States Treasury Note/Bond 3.125% 8/15/44 1,740 1,773
United States Treasury Note/Bond 2.500% 2/15/45 2,610 2,345
United States Treasury Note/Bond 2.875% 8/15/45 1,910 1,852
United States Treasury Note/Bond 2.500% 2/15/46 465 417
United States Treasury Note/Bond 2.500% 5/15/46 1,260 1,128
United States Treasury Note/Bond 2.250% 8/15/46 6,203 5,246
        146,379

 

 

Conventional Mortgage-Backed Securities (0.0%)        
1,2 Freddie Mac Gold Pool 4.000% 9/1/41 7 7
1 Ginnie Mae I Pool 7.000%  11/15/31–11/15/33 114 132
1 Ginnie Mae I Pool 8.000% 9/15/30 61 63
          202
Nonconventional Mortgage-Backed Securities (0.1%)        
1,2 Fannie Mae REMICS 3.500% 4/25/31 245 254
1,2 Fannie Mae REMICS 4.000% 9/25/29–5/25/31 470 499
1,2 Freddie Mac REMICS 3.500% 3/15/31 145 150
1,2 Freddie Mac REMICS 4.000% 12/15/30–4/15/31 2,709 2,887
          3,790
Total U.S. Government and Agency Obligations (Cost $150,578)     150,371
Asset-Backed/Commercial Mortgage-Backed Securities (1.2%)      
3 American Tower Trust I 1.551% 3/15/18 380 379
3 American Tower Trust I 3.070% 3/15/23 1,100 1,098
1,3,4Apidos CLO XVII 2.333% 4/17/26 1,295 1,298
1,3,4Ares XXIX CLO Ltd. 2.220% 4/17/26 1,195 1,195
1,3,4Atlas Senior Loan Fund VI Ltd. 2.284% 10/15/26 355 355
1,3,4Avery Point IV CLO Ltd. 0.000% 4/25/26 1,190 1,190
1,3,4Avery Point IV CLO Ltd. 2.558% 4/25/26 1,190 1,190
3 Bank of Montreal 2.500% 1/11/22 1,700 1,702
1,3,4BlueMountain CLO 2014-1 Ltd. 2.275% 4/30/26 725 728
1,3,4Cent CLO 20 Ltd. 2.518% 1/25/26 1,300 1,300
1,3,4Cent CLO 21 Ltd. 2.247% 7/27/26 415 415
1,3,4Cent CLO 22 Ltd. 2.444% 11/7/26 930 933
1,3,4CIFC Funding Ltd. 2.524% 4/18/25 1,185 1,188
1 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 480 493
3 DNB Boligkreditt AS 2.500% 3/28/22 1,315 1,313
1,3,4Dryden Senior Loan Fund 2.374% 4/18/26 1,165 1,165
1,3,4Dryden XXXI Senior Loan Fund 0.000% 4/18/26 1,160 1,158
1,3 Enterprise Fleet Financing LLC Series 2017-        
  1 2.130% 7/20/22 210 210
1,4 LB-UBS Commercial Mortgage Trust 2008-        
  C1 6.126% 4/15/41 575 592
1,3,4Limerock CLO II Ltd. 2.310% 4/18/26 1,300 1,300
1,3,4Madison Park Funding XII Ltd. 2.275% 7/20/26 920 921
1,3,4Madison Park Funding XIII Ltd. 1.988% 1/19/25 745 744
1,3 OneMain Financial Issuance Trust 2016-2 4.100% 3/20/28 770 789
1 Santander Drive Auto Receivables Trust        
  2013-2 2.570% 3/15/19 515 518
1 Santander Drive Auto Receivables Trust        
  2014-2 2.330% 11/15/19 307 309
3 SBA Tower Trust 2.898% 10/15/19 1,205 1,213
1,3,4Seneca Park CLO Ltd. 2.503% 7/17/26 680 680
1,3,4Seneca Park CLO Ltd. 2014-1 0.000% 7/17/26 680 680
1,3,4SFAVE Commercial Mortgage Securities        
  Trust 2015-5AVE 4.144% 1/5/43 700 689
1,3,4Shackleton CLO Ltd. 2.503% 7/17/26 660 661
1,3 Springleaf Funding Trust 3.160% 11/15/24 1,375 1,388
1,3 Springleaf Funding Trust 2015-B 3.480% 5/15/28 590 598
1,3,4Symphony CLO XIV Ltd. 2.285% 7/14/26 1,125 1,129
1,3,4Thacher Park CLO Ltd. 2.644% 10/20/26 505 505
3 Toronto-Dominion Bank 2.500% 1/18/22 2,100 2,100
1 Utility Debt Securitization Authority Series        
  2013T 3.435% 12/15/25 210 217

 

 

1,3,4Voya CLO 2014-1 Ltd. 2.354% 4/18/26 525 526
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $32,847)   32,869
Corporate Bonds (22.0%)        
Finance (8.7%)        
  Banking (6.9%)        
  American Express Centurion Bank 6.000% 9/13/17 500 510
  American Express Co. 1.550% 5/22/18 1,635 1,632
  American Express Credit Corp. 2.125% 7/27/18 1,235 1,241
  American Express Credit Corp. 2.250% 8/15/19 800 806
  American Express Credit Corp. 2.700% 3/3/22 1,505 1,503
  Bank of America Corp. 6.000% 9/1/17 1,010 1,028
  Bank of America Corp. 5.750% 12/1/17 500 513
  Bank of America Corp. 6.875% 4/25/18 1,250 1,315
  Bank of America Corp. 5.625% 7/1/20 85 93
  Bank of America Corp. 5.875% 1/5/21 3,000 3,338
  Bank of America Corp. 3.300% 1/11/23 120 121
  Bank of America Corp. 4.000% 1/22/25 875 873
  Bank of America Corp. 5.875% 2/7/42 260 314
  Bank of America Corp. 5.000% 1/21/44 1,000 1,091
  Bank of America Corp. 4.875% 4/1/44 420 451
  Bank of New York Mellon Corp. 2.150% 2/24/20 1,580 1,585
  Bank of New York Mellon Corp. 2.200% 8/16/23 460 442
4 Bank of New York Mellon Corp. 2.089% 10/30/23 1,145 1,170
  Bank of New York Mellon Corp. 3.000% 2/24/25 720 712
  Bank of Nova Scotia 2.050% 10/30/18 1,600 1,612
  Bank of Nova Scotia 2.800% 7/21/21 750 762
3 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.700% 3/5/18 1,390 1,390
3 Banque Federative du Credit Mutuel SA 2.750% 10/15/20 1,200 1,201
3 Barclays Bank plc 6.050% 12/4/17 1,400 1,437
  Barclays Bank plc 5.140% 10/14/20 160 171
  Barclays plc 3.684% 1/10/23 700 704
  BB&T Corp. 4.900% 6/30/17 1,000 1,007
  BB&T Corp. 2.750% 4/1/22 1,700 1,710
  Bear Stearns Cos. LLC 6.400% 10/2/17 235 241
  Bear Stearns Cos. LLC 7.250% 2/1/18 425 444
  BNP Paribas SA 2.400% 12/12/18 1,300 1,307
  BNP Paribas SA 3.250% 3/3/23 305 307
3 BNP Paribas SA 3.800% 1/10/24 1,170 1,167
  BPCE SA 2.500% 12/10/18 220 221
  BPCE SA 2.500% 7/15/19 1,400 1,406
  BPCE SA 4.000% 4/15/24 775 805
3 BPCE SA 5.150% 7/21/24 1,260 1,294
  Branch Banking & Trust Co. 2.625% 1/15/22 1,250 1,251
  Capital One Bank USA NA 2.150% 11/21/18 1,215 1,217
  Capital One Financial Corp. 4.750% 7/15/21 400 429
  Capital One Financial Corp. 3.750% 4/24/24 1,305 1,326
  Capital One Financial Corp. 3.200% 2/5/25 1,050 1,017
  Capital One Financial Corp. 4.200% 10/29/25 310 312
  Citigroup Inc. 1.750% 5/1/18 500 500
  Citigroup Inc. 2.500% 9/26/18 500 504
  Citigroup Inc. 2.550% 4/8/19 1,800 1,816
  Citigroup Inc. 2.500% 7/29/19 965 973
  Citigroup Inc. 2.400% 2/18/20 800 802
  Citigroup Inc. 4.500% 1/14/22 1,975 2,115
  Citigroup Inc. 6.625% 6/15/32 2,000 2,440
  Citigroup Inc. 8.125% 7/15/39 101 148
  Compass Bank 2.750% 9/29/19 375 376

 

 

Cooperatieve Rabobank UA 2.250% 1/14/19 1,350 1,357
3 Credit Agricole SA 2.500% 4/15/19 1,460 1,468
Credit Suisse AG 2.300% 5/28/19 2,845 2,855
Credit Suisse AG 3.000% 10/29/21 735 742
Credit Suisse AG 3.625% 9/9/24 250 254
Credit Suisse AG New York NY 1.750% 1/29/18 840 840
3 Credit Suisse Group AG 3.574% 1/9/23 550 549
Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22 1,335 1,352
Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 1,595 1,567
3 Danske Bank A/S 2.000% 9/8/21 1,120 1,088
Deutsche Bank AG 1.875% 2/13/18 195 195
Deutsche Bank AG 2.500% 2/13/19 270 270
3 Deutsche Bank AG 4.250% 10/14/21 1,215 1,246
Fifth Third Bank 2.875% 10/1/21 425 430
Fifth Third Bank 3.850% 3/15/26 830 836
Goldman Sachs Group Inc. 5.950% 1/18/18 1,325 1,368
Goldman Sachs Group Inc. 2.375% 1/22/18 555 558
Goldman Sachs Group Inc. 5.375% 3/15/20 405 439
Goldman Sachs Group Inc. 2.600% 4/23/20 170 171
Goldman Sachs Group Inc. 6.000% 6/15/20 3,350 3,716
Goldman Sachs Group Inc. 5.250% 7/27/21 865 949
Goldman Sachs Group Inc. 5.750% 1/24/22 360 405
Goldman Sachs Group Inc. 3.625% 1/22/23 1,980 2,028
Goldman Sachs Group Inc. 3.500% 11/16/26 2,000 1,957
Goldman Sachs Group Inc. 3.850% 1/26/27 740 743
Goldman Sachs Group Inc. 6.450% 5/1/36 2,000 2,390
Goldman Sachs Group Inc. 6.750% 10/1/37 835 1,031
Goldman Sachs Group Inc. 4.750% 10/21/45 680 716
3 HSBC Bank plc 4.750% 1/19/21 1,700 1,825
HSBC Holdings plc 3.400% 3/8/21 1,535 1,570
HSBC Holdings plc 4.000% 3/30/22 2,395 2,519
HSBC Holdings plc 3.600% 5/25/23 1,600 1,626
1 HSBC Holdings plc 4.041% 3/13/28 890 899
HSBC Holdings plc 6.500% 5/2/36 1,000 1,221
HSBC Holdings plc 6.100% 1/14/42 375 470
HSBC Holdings plc 5.250% 3/14/44 440 472
HSBC USA Inc. 1.625% 1/16/18 1,005 1,005
HSBC USA Inc. 2.350% 3/5/20 1,825 1,829
HSBC USA Inc. 3.500% 6/23/24 620 631
Huntington Bancshares Inc. 3.150% 3/14/21 800 813
Huntington National Bank 2.200% 4/1/19 560 561
Huntington National Bank 2.400% 4/1/20 1,160 1,161
3 ING Bank NV 1.800% 3/16/18 1,340 1,345
ING Groep NV 3.150% 3/29/22 365 365
ING Groep NV 3.950% 3/29/27 820 819
JPMorgan Chase & Co. 6.300% 4/23/19 465 505
JPMorgan Chase & Co. 4.950% 3/25/20 650 700
JPMorgan Chase & Co. 4.350% 8/15/21 4,862 5,202
JPMorgan Chase & Co. 4.500% 1/24/22 495 533
JPMorgan Chase & Co. 3.250% 9/23/22 970 987
JPMorgan Chase & Co. 3.375% 5/1/23 875 875
JPMorgan Chase & Co. 3.875% 2/1/24 800 832
JPMorgan Chase & Co. 3.900% 7/15/25 2,270 2,347
JPMorgan Chase & Co. 4.125% 12/15/26 765 780
JPMorgan Chase & Co. 4.250% 10/1/27 2,295 2,354
JPMorgan Chase & Co. 5.400% 1/6/42 750 874
3 Macquarie Bank Ltd. 2.400% 1/21/20 330 330

 

 

Manufacturers & Traders Trust Co. 2.100% 2/6/20 495 494
Manufacturers & Traders Trust Co. 2.900% 2/6/25 685 673
Morgan Stanley 5.550% 4/27/17 2,801 2,808
Morgan Stanley 1.875% 1/5/18 255 256
Morgan Stanley 2.125% 4/25/18 1,375 1,381
Morgan Stanley 2.500% 1/24/19 2,500 2,524
Morgan Stanley 5.625% 9/23/19 645 696
Morgan Stanley 5.750% 1/25/21 1,740 1,929
Morgan Stanley 2.500% 4/21/21 1,175 1,170
Morgan Stanley 2.625% 11/17/21 800 795
Morgan Stanley 3.700% 10/23/24 750 761
Morgan Stanley 3.125% 7/27/26 1,345 1,285
Morgan Stanley 6.250% 8/9/26 3,000 3,541
Morgan Stanley 3.625% 1/20/27 1,250 1,238
Morgan Stanley 4.300% 1/27/45 850 842
National City Corp. 6.875% 5/15/19 1,000 1,098
3 Nationwide Building Society 2.350% 1/21/20 785 785
Northern Trust Corp. 3.450% 11/4/20 255 267
PNC Bank NA 4.875% 9/21/17 1,500 1,523
PNC Bank NA 3.300% 10/30/24 460 465
PNC Bank NA 2.950% 2/23/25 1,105 1,091
PNC Bank NA 4.200% 11/1/25 255 272
PNC Financial Services Group Inc. 3.900% 4/29/24 580 601
Royal Bank of Canada 2.750% 2/1/22 1,195 1,208
Santander Holdings USA Inc. 2.700% 5/24/19 800 802
Santander Holdings USA Inc. 2.650% 4/17/20 580 578
3 Santander Holdings USA Inc. 3.700% 3/28/22 725 726
3 Skandinaviska Enskilda Banken AB 2.450% 5/27/20 1,600 1,603
3 Societe Generale SA 3.250% 1/12/22 1,515 1,498
State Street Corp. 5.375% 4/30/17 2,775 2,783
SunTrust Bank 3.300% 5/15/26 340 330
Svenska Handelsbanken AB 2.875% 4/4/17 1,000 1,000
Svenska Handelsbanken AB 1.875% 9/7/21 1,050 1,020
Synchrony Financial 3.000% 8/15/19 1,055 1,071
Synchrony Financial 2.700% 2/3/20 1,605 1,611
Toronto-Dominion Bank 2.500% 12/14/20 985 995
UBS AG 1.800% 3/26/18 1,020 1,021
3 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 1,160 1,169
3 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 1,250 1,222
US Bancorp 2.625% 1/24/22 1,305 1,310
US Bancorp 3.700% 1/30/24 1,560 1,635
Wachovia Corp. 7.500% 4/15/35 1,000 1,310
Wells Fargo & Co. 5.625% 12/11/17 820 842
Wells Fargo & Co. 2.150% 1/15/19 2,915 2,930
Wells Fargo & Co. 3.000% 1/22/21 505 514
Wells Fargo & Co. 3.500% 3/8/22 640 663
Wells Fargo & Co. 3.450% 2/13/23 930 938
Wells Fargo & Co. 4.480% 1/16/24 1,199 1,278
Wells Fargo & Co. 3.000% 2/19/25 890 869
Wells Fargo & Co. 3.550% 9/29/25 860 867
Wells Fargo & Co. 3.000% 4/22/26 1,045 1,003
Wells Fargo & Co. 3.000% 10/23/26 510 488
Wells Fargo & Co. 5.606% 1/15/44 2,276 2,607
Wells Fargo & Co. 4.900% 11/17/45 515 534
Wells Fargo & Co. 4.750% 12/7/46 620 632

 

 

  Brokerage (0.0%)        
  Ameriprise Financial Inc. 5.300% 3/15/20 305 331
  Charles Schwab Corp. 3.200% 3/2/27 545 542
 
  Finance Companies (0.4%)        
  GE Capital International Funding Co. 2.342% 11/15/20 1,192 1,197
  GE Capital International Funding Co. 3.373% 11/15/25 3,460 3,545
  GE Capital International Funding Co. 4.418% 11/15/35 4,955 5,231
 
  Insurance (1.2%)        
  Aetna Inc. 1.750% 5/15/17 60 60
  Aetna Inc. 2.800% 6/15/23 680 675
1 Allstate Corp. 6.125% 5/15/67 985 963
  Anthem Inc. 2.300% 7/15/18 375 377
  Anthem Inc. 3.125% 5/15/22 1,610 1,619
  Anthem Inc. 3.300% 1/15/23 1,100 1,110
  Anthem Inc. 4.650% 8/15/44 426 435
  Berkshire Hathaway Inc. 2.750% 3/15/23 1,050 1,050
  Berkshire Hathaway Inc. 3.125% 3/15/26 715 713
  Chubb INA Holdings Inc. 5.800% 3/15/18 1,295 1,347
  Chubb INA Holdings Inc. 2.300% 11/3/20 170 170
  Chubb INA Holdings Inc. 3.350% 5/15/24 555 567
  Chubb INA Holdings Inc. 4.350% 11/3/45 800 845
  Cigna Corp. 3.250% 4/15/25 880 870
  CNA Financial Corp. 3.950% 5/15/24 135 139
3 Five Corners Funding Trust 4.419% 11/15/23 210 224
3 Liberty Mutual Group Inc. 4.250% 6/15/23 360 379
  Loews Corp. 2.625% 5/15/23 440 430
1,3 Massachusetts Mutual Life Insurance Co. 7.625% 11/15/23 2,000 2,407
  MetLife Inc. 1.903% 12/15/17 225 226
  MetLife Inc. 3.600% 4/10/24 580 598
  MetLife Inc. 4.125% 8/13/42 145 141
  MetLife Inc. 4.875% 11/13/43 530 578
3 Metropolitan Life Global Funding I 1.500% 1/10/18 1,480 1,479
3 Metropolitan Life Global Funding I 1.875% 6/22/18 950 952
3 Metropolitan Life Global Funding I 3.450% 12/18/26 640 644
3 New York Life Global Funding 1.650% 5/15/17 600 600
3 New York Life Global Funding 2.900% 1/17/24 810 812
3 New York Life Insurance Co. 5.875% 5/15/33 2,100 2,556
3 QBE Insurance Group Ltd. 2.400% 5/1/18 235 236
3 Teachers Insurance & Annuity Assn. of        
  America 4.900% 9/15/44 375 405
  UnitedHealth Group Inc. 6.000% 6/15/17 500 505
  UnitedHealth Group Inc. 6.000% 2/15/18 700 727
  UnitedHealth Group Inc. 3.875% 10/15/20 601 635
  UnitedHealth Group Inc. 2.875% 3/15/22 27 27
  UnitedHealth Group Inc. 2.875% 3/15/23 1,175 1,179
  UnitedHealth Group Inc. 3.100% 3/15/26 430 427
  UnitedHealth Group Inc. 4.625% 7/15/35 815 892
  UnitedHealth Group Inc. 4.250% 3/15/43 1,600 1,623
  UnitedHealth Group Inc. 4.750% 7/15/45 760 839
 
  Other Finance (0.0%)        
3 LeasePlan Corp. NV 2.875% 1/22/19 970 973
 
  Real Estate Investment Trusts (0.2%)        
  AvalonBay Communities Inc. 3.625% 10/1/20 520 540

 

 

Boston Properties LP 3.125% 9/1/23 355 353
Boston Properties LP 3.800% 2/1/24 45 46
Duke Realty LP 6.500% 1/15/18 210 218
Realty Income Corp. 4.650% 8/1/23 640 690
Simon Property Group LP 3.750% 2/1/24 90 93
Simon Property Group LP 3.375% 10/1/24 275 277
3 WEA Finance LLC / Westfield UK & Europe        
Finance plc 1.750% 9/15/17 375 375
3 WEA Finance LLC / Westfield UK & Europe        
Finance plc 2.700% 9/17/19 1,330 1,342
        227,886
Industrial (11.2%)        
Basic Industry (0.1%)        
BHP Billiton Finance USA Ltd. 3.850% 9/30/23 750 795
LyondellBasell Industries NV 4.625% 2/26/55 650 611
Monsanto Co. 4.700% 7/15/64 60 56
Rio Tinto Finance USA plc 3.500% 3/22/22 42 44
 
Capital Goods (0.9%)        
3 BAE Systems Holdings Inc. 2.850% 12/15/20 160 161
3 BAE Systems Holdings Inc. 3.850% 12/15/25 1,085 1,108
Caterpillar Financial Services Corp. 2.625% 3/1/23 1,360 1,346
Caterpillar Inc. 3.900% 5/27/21 1,170 1,237
Caterpillar Inc. 2.600% 6/26/22 705 706
Caterpillar Inc. 3.400% 5/15/24 810 833
Caterpillar Inc. 4.300% 5/15/44 745 758
General Dynamics Corp. 3.875% 7/15/21 355 378
General Electric Capital Corp. 4.625% 1/7/21 321 348
General Electric Capital Corp. 5.300% 2/11/21 228 252
General Electric Capital Corp. 3.150% 9/7/22 967 999
General Electric Capital Corp. 3.100% 1/9/23 360 370
General Electric Capital Corp. 6.750% 3/15/32 135 182
General Electric Capital Corp. 6.150% 8/7/37 633 821
General Electric Capital Corp. 5.875% 1/14/38 443 560
General Electric Capital Corp. 6.875% 1/10/39 187 265
General Electric Co. 2.700% 10/9/22 210 212
General Electric Co. 4.500% 3/11/44 1,050 1,125
Honeywell International Inc. 4.250% 3/1/21 1,002 1,078
Illinois Tool Works Inc. 3.500% 3/1/24 1,295 1,347
John Deere Capital Corp. 2.250% 4/17/19 1,465 1,482
John Deere Capital Corp. 1.700% 1/15/20 520 516
Lockheed Martin Corp. 2.900% 3/1/25 610 597
Lockheed Martin Corp. 4.500% 5/15/36 211 223
Lockheed Martin Corp. 4.700% 5/15/46 520 561
Parker-Hannifin Corp. 4.450% 11/21/44 450 478
3 Siemens Financieringsmaatschappij NV 2.900% 5/27/22 1,050 1,056
3 Siemens Financieringsmaatschappij NV 3.125% 3/16/24 1,680 1,692
3 Siemens Financieringsmaatschappij NV 4.400% 5/27/45 800 833
United Technologies Corp. 3.100% 6/1/22 535 550
United Technologies Corp. 7.500% 9/15/29 770 1,073
United Technologies Corp. 6.050% 6/1/36 675 843
United Technologies Corp. 4.500% 6/1/42 325 344
 
Communication (1.6%)        
21st Century Fox America Inc. 3.000% 9/15/22 245 245
America Movil SAB de CV 3.125% 7/16/22 1,880 1,892
America Movil SAB de CV 6.125% 3/30/40 390 455

 

 

  American Tower Corp. 3.450% 9/15/21 1,125 1,145
  American Tower Corp. 5.000% 2/15/24 220 237
  AT&T Inc. 1.400% 12/1/17 1,090 1,090
  AT&T Inc. 5.600% 5/15/18 1,000 1,043
  AT&T Inc. 5.200% 3/15/20 255 276
  AT&T Inc. 2.450% 6/30/20 225 225
  AT&T Inc. 4.600% 2/15/21 100 106
  AT&T Inc. 4.500% 3/9/48 1,077 957
  CBS Corp. 4.300% 2/15/21 675 713
  Comcast Corp. 3.600% 3/1/24 2,900 2,974
  Comcast Corp. 3.375% 2/15/25 70 71
  Comcast Corp. 2.350% 1/15/27 540 495
  Comcast Corp. 4.250% 1/15/33 1,032 1,062
  Comcast Corp. 4.200% 8/15/34 620 628
  Comcast Corp. 5.650% 6/15/35 110 129
  Comcast Corp. 4.400% 8/15/35 700 725
  Comcast Corp. 6.500% 11/15/35 115 147
  Comcast Corp. 6.400% 5/15/38 120 153
  Comcast Corp. 4.650% 7/15/42 1,290 1,345
  Comcast Corp. 4.500% 1/15/43 500 508
  Comcast Corp. 4.750% 3/1/44 525 553
  Comcast Corp. 4.600% 8/15/45 1,110 1,144
3 Cox Communications Inc. 4.800% 2/1/35 1,540 1,445
3 Deutsche Telekom International Finance BV 3.600% 1/19/27 975 973
  Discovery Communications LLC 5.625% 8/15/19 49 53
  Grupo Televisa SAB 6.625% 1/15/40 630 686
  Grupo Televisa SAB 6.125% 1/31/46 410 426
3 GTP Acquisition Partners I LLC 2.350% 6/15/20 580 575
3 NBCUniversal Enterprise Inc. 1.974% 4/15/19 2,530 2,535
  NBCUniversal Media LLC 4.375% 4/1/21 600 644
  NBCUniversal Media LLC 2.875% 1/15/23 240 240
  Omnicom Group Inc. 3.600% 4/15/26 660 660
  Orange SA 4.125% 9/14/21 1,740 1,834
  Orange SA 9.000% 3/1/31 530 781
1,3 SBA Tower Trust 2.933% 12/15/42 840 840
3 Sky plc 2.625% 9/16/19 975 977
3 Sky plc 3.750% 9/16/24 1,435 1,442
  Time Warner Cable LLC 5.850% 5/1/17 1,030 1,033
  Time Warner Cable LLC 8.750% 2/14/19 25 28
  Time Warner Cable LLC 8.250% 4/1/19 364 406
  Time Warner Entertainment Co. LP 8.375% 3/15/23 95 118
  Time Warner Inc. 4.875% 3/15/20 700 750
  Time Warner Inc. 4.750% 3/29/21 350 376
  Verizon Communications Inc. 4.500% 9/15/20 1,280 1,365
  Verizon Communications Inc. 3.500% 11/1/21 1,040 1,066
3 Verizon Communications Inc. 4.812% 3/15/39 2,406 2,339
  Verizon Communications Inc. 4.750% 11/1/41 290 279
  Verizon Communications Inc. 4.862% 8/21/46 1,151 1,098
3 Verizon Communications Inc. 5.012% 4/15/49 1,133 1,091
  Walt Disney Co. 4.125% 6/1/44 560 577
 
  Consumer Cyclical (1.5%)        
  Alibaba Group Holding Ltd. 3.600% 11/28/24 1,065 1,074
  Amazon.com Inc. 2.500% 11/29/22 885 880
  Amazon.com Inc. 4.800% 12/5/34 995 1,101
  Amazon.com Inc. 4.950% 12/5/44 580 653
3 American Honda Finance Corp. 1.500% 9/11/17 490 490

 

 

3 American Honda Finance Corp. 1.600% 2/16/18 810 811
American Honda Finance Corp. 2.125% 10/10/18 1,110 1,118
AutoZone Inc. 3.700% 4/15/22 1,371 1,421
AutoZone Inc. 3.125% 7/15/23 600 596
3 BMW US Capital LLC 2.000% 4/11/21 585 573
3 BMW US Capital LLC 2.250% 9/15/23 2,500 2,397
3 BMW US Capital LLC 2.800% 4/11/26 151 145
CVS Health Corp. 2.750% 12/1/22 965 955
CVS Health Corp. 4.875% 7/20/35 315 339
CVS Health Corp. 5.125% 7/20/45 1,310 1,442
3 Daimler Finance North America LLC 2.375% 8/1/18 900 906
3 Daimler Finance North America LLC 2.250% 7/31/19 1,575 1,582
3 Daimler Finance North America LLC 3.250% 8/1/24 160 160
Ford Motor Co. 4.346% 12/8/26 1,225 1,247
Ford Motor Credit Co. LLC 2.375% 3/12/19 900 903
Ford Motor Credit Co. LLC 3.157% 8/4/20 710 721
Home Depot Inc. 2.250% 9/10/18 975 986
Home Depot Inc. 2.700% 4/1/23 720 726
Home Depot Inc. 4.400% 3/15/45 780 828
3 Hyundai Capital America 2.550% 4/3/20 790 790
Lowe's Cos. Inc. 6.875% 2/15/28 710 931
Lowe's Cos. Inc. 6.500% 3/15/29 1,000 1,297
McDonald's Corp. 2.625% 1/15/22 195 195
McDonald's Corp. 3.250% 6/10/24 140 144
McDonald's Corp. 4.875% 12/9/45 260 275
3 Nissan Motor Acceptance Corp. 1.950% 9/12/17 1,186 1,187
3 Nissan Motor Acceptance Corp. 1.800% 3/15/18 1,100 1,101
3 Nissan Motor Acceptance Corp. 2.650% 9/26/18 585 590
Toyota Motor Credit Corp. 1.750% 5/22/17 1,200 1,201
Toyota Motor Credit Corp. 1.250% 10/5/17 900 900
3 Volkswagen Group of America Finance LLC 2.450% 11/20/19 440 441
Wal-Mart Stores Inc. 3.250% 10/25/20 742 774
Wal-Mart Stores Inc. 4.250% 4/15/21 1,000 1,083
Wal-Mart Stores Inc. 2.550% 4/11/23 1,250 1,250
Wal-Mart Stores Inc. 5.625% 4/15/41 2,790 3,427
Wal-Mart Stores Inc. 4.300% 4/22/44 525 547
 
Consumer Noncyclical (3.8%)        
Actavis Funding SCS 3.000% 3/12/20 985 1,000
Actavis Funding SCS 3.450% 3/15/22 950 967
Actavis Funding SCS 4.550% 3/15/35 375 376
Actavis Funding SCS 4.850% 6/15/44 450 455
Altria Group Inc. 4.750% 5/5/21 590 639
Altria Group Inc. 2.850% 8/9/22 455 456
Altria Group Inc. 4.500% 5/2/43 245 249
AmerisourceBergen Corp. 3.500% 11/15/21 1,310 1,352
Amgen Inc. 3.875% 11/15/21 310 326
Amgen Inc. 5.150% 11/15/41 945 1,011
Amgen Inc. 4.563% 6/15/48 125 124
Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 2,000 2,037
Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 1,805 1,823
Anheuser-Busch InBev Finance Inc. 4.700% 2/1/36 4,915 5,180
Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 2,640 2,850
Anheuser-Busch InBev Worldwide Inc. 3.750% 1/15/22 400 419
Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 3,780 3,735
Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 520 476
AstraZeneca plc 1.950% 9/18/19 390 389

 

 

AstraZeneca plc 2.375% 11/16/20 1,180 1,180
AstraZeneca plc 6.450% 9/15/37 615 803
AstraZeneca plc 4.375% 11/16/45 800 814
3 BAT International Finance plc 2.750% 6/15/20 550 553
3 BAT International Finance plc 3.250% 6/7/22 1,480 1,492
3 BAT International Finance plc 3.500% 6/15/22 235 239
3 Bayer US Finance LLC 2.375% 10/8/19 200 201
3 Bayer US Finance LLC 3.000% 10/8/21 1,980 2,006
Biogen Inc. 2.900% 9/15/20 550 560
Boston Children's Hospital Corp. Revenue 4.115% 1/1/47 905 918
Cardinal Health Inc. 1.700% 3/15/18 75 75
Cardinal Health Inc. 2.400% 11/15/19 625 629
Cardinal Health Inc. 3.200% 3/15/23 1,065 1,077
Cardinal Health Inc. 3.500% 11/15/24 580 591
Cardinal Health Inc. 4.500% 11/15/44 665 659
3 Cargill Inc. 4.307% 5/14/21 2,092 2,237
3 Cargill Inc. 6.875% 5/1/28 645 812
3 Cargill Inc. 4.760% 11/23/45 635 691
Catholic Health Initiatives Colorado GO 1.600% 11/1/17 55 55
Catholic Health Initiatives Colorado GO 2.600% 8/1/18 255 257
1 Catholic Health Initiatives Colorado GO 4.350% 11/1/42 736 641
Celgene Corp. 2.250% 5/15/19 160 161
Celgene Corp. 3.550% 8/15/22 475 488
Coca-Cola Co. 3.300% 9/1/21 300 313
Coca-Cola Enterprises Inc. 3.500% 9/15/20 500 519
Coca-Cola Femsa SAB de CV 2.375% 11/26/18 768 770
Coca-Cola Femsa SAB de CV 3.875% 11/26/23 850 872
Colgate-Palmolive Co. 7.600% 5/19/25 480 619
Diageo Capital plc 2.625% 4/29/23 1,230 1,218
Diageo Investment Corp. 2.875% 5/11/22 525 534
Dignity Health California GO 2.637% 11/1/19 140 141
Dignity Health California GO 3.812% 11/1/24 300 301
Eli Lilly & Co. 3.700% 3/1/45 635 608
3 EMD Finance LLC 2.950% 3/19/22 605 607
3 EMD Finance LLC 3.250% 3/19/25 1,200 1,185
3 Forest Laboratories Inc. 4.875% 2/15/21 575 617
Gilead Sciences Inc. 2.550% 9/1/20 615 620
Gilead Sciences Inc. 3.700% 4/1/24 1,010 1,037
Gilead Sciences Inc. 3.500% 2/1/25 560 563
Gilead Sciences Inc. 4.500% 2/1/45 825 807
Gilead Sciences Inc. 4.750% 3/1/46 195 199
GlaxoSmithKline Capital Inc. 2.800% 3/18/23 385 385
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 2,000 2,345
3 Imperial Tobacco Finance plc 3.750% 7/21/22 1,680 1,725
3 Japan Tobacco Inc. 2.100% 7/23/18 545 546
Kaiser Foundation Hospitals 3.500% 4/1/22 560 580
Kaiser Foundation Hospitals 4.875% 4/1/42 365 408
Kraft Foods Group Inc. 2.250% 6/5/17 295 295
Kraft Heinz Foods Co. 3.000% 6/1/26 530 497
Kraft Heinz Foods Co. 5.000% 7/15/35 230 238
Kraft Heinz Foods Co. 4.375% 6/1/46 1,110 1,041
Kroger Co. 4.450% 2/1/47 1,000 980
McKesson Corp. 2.700% 12/15/22 195 193
McKesson Corp. 2.850% 3/15/23 190 187
McKesson Corp. 3.796% 3/15/24 305 316
McKesson Corp. 4.883% 3/15/44 718 741
Medtronic Inc. 1.375% 4/1/18 225 225

 

 

Medtronic Inc. 2.500% 3/15/20 935 948
Medtronic Inc. 3.150% 3/15/22 1,690 1,738
Medtronic Inc. 3.625% 3/15/24 270 280
Medtronic Inc. 3.500% 3/15/25 2,196 2,247
Medtronic Inc. 4.375% 3/15/35 249 261
Memorial Sloan-Kettering Cancer Center        
New York GO 4.125% 7/1/52 275 271
Memorial Sloan-Kettering Cancer Center        
New York GO 4.200% 7/1/55 405 401
Merck & Co. Inc. 2.350% 2/10/22 790 789
Merck & Co. Inc. 2.800% 5/18/23 1,175 1,180
Merck & Co. Inc. 2.750% 2/10/25 1,210 1,194
Merck & Co. Inc. 4.150% 5/18/43 760 778
Molson Coors Brewing Co. 3.500% 5/1/22 690 715
Molson Coors Brewing Co. 5.000% 5/1/42 160 169
New York & Presbyterian Hospital 4.024% 8/1/45 735 716
Novartis Capital Corp. 3.400% 5/6/24 415 428
Novartis Capital Corp. 4.400% 5/6/44 640 681
Partners Healthcare System Massachusetts        
GO 3.443% 7/1/21 50 51
PepsiCo Inc. 3.125% 11/1/20 330 342
PepsiCo Inc. 2.750% 3/5/22 670 680
PepsiCo Inc. 2.375% 10/6/26 1,945 1,836
PepsiCo Inc. 4.000% 3/5/42 845 842
PepsiCo Inc. 3.450% 10/6/46 1,215 1,098
Pfizer Inc. 3.000% 6/15/23 755 769
Pfizer Inc. 3.000% 12/15/26 1,200 1,184
Philip Morris International Inc. 4.500% 3/26/20 250 267
Philip Morris International Inc. 4.125% 5/17/21 1,025 1,090
Philip Morris International Inc. 2.500% 8/22/22 575 568
Philip Morris International Inc. 2.625% 3/6/23 1,150 1,127
Philip Morris International Inc. 4.875% 11/15/43 145 156
1 Procter & Gamble - Esop 9.360% 1/1/21 833 962
Providence St. Joseph Health Obligated        
Group 2.746% 10/1/26 490 468
1 Providence St. Joseph Health Obligated        
Group 3.744% 10/1/47 305 283
3 Roche Holdings Inc. 2.875% 9/29/21 850 866
3 Roche Holdings Inc. 2.375% 1/28/27 1,650 1,547
Sanofi 4.000% 3/29/21 1,130 1,199
3 Sigma Alimentos SA de CV 4.125% 5/2/26 510 499
Teva Pharmaceutical Finance Netherlands III        
BV 2.800% 7/21/23 980 933
Teva Pharmaceutical Finance Netherlands III        
BV 3.150% 10/1/26 240 221
Teva Pharmaceutical Finance Netherlands III        
BV 4.100% 10/1/46 865 746
The Kroger Co. 3.850% 8/1/23 270 280
The Kroger Co. 4.000% 2/1/24 540 561
The Kroger Co. 3.875% 10/15/46 785 704
The Pepsi Bottling Group Inc. 7.000% 3/1/29 500 679
Unilever Capital Corp. 4.250% 2/10/21 2,805 3,002
 
Energy (1.6%)        
3 BG Energy Capital plc 4.000% 10/15/21 555 585
BP Capital Markets plc 1.846% 5/5/17 650 650
BP Capital Markets plc 4.750% 3/10/19 795 838

 

 

BP Capital Markets plc 2.315% 2/13/20 160 161
BP Capital Markets plc 4.500% 10/1/20 400 430
BP Capital Markets plc 3.062% 3/17/22 1,100 1,114
BP Capital Markets plc 3.245% 5/6/22 650 664
BP Capital Markets plc 2.500% 11/6/22 500 490
BP Capital Markets plc 3.994% 9/26/23 420 439
BP Capital Markets plc 3.814% 2/10/24 1,700 1,761
BP Capital Markets plc 3.506% 3/17/25 1,280 1,286
Chevron Corp. 3.191% 6/24/23 1,235 1,265
ConocoPhillips 5.200% 5/15/18 1,500 1,558
ConocoPhillips 5.750% 2/1/19 200 214
ConocoPhillips 6.000% 1/15/20 95 105
ConocoPhillips Co. 2.875% 11/15/21 686 695
ConocoPhillips Co. 3.350% 11/15/24 1,040 1,051
ConocoPhillips Co. 3.350% 5/15/25 245 246
ConocoPhillips Co. 4.950% 3/15/26 115 128
ConocoPhillips Co. 4.300% 11/15/44 1,570 1,565
Devon Energy Corp. 3.250% 5/15/22 495 489
Dominion Gas Holdings LLC 3.550% 11/1/23 470 478
EOG Resources Inc. 5.625% 6/1/19 425 457
Exxon Mobil Corp. 2.222% 3/1/21 380 380
Exxon Mobil Corp. 2.726% 3/1/23 320 321
Exxon Mobil Corp. 3.043% 3/1/26 225 225
Exxon Mobil Corp. 4.114% 3/1/46 320 328
Halliburton Co. 3.500% 8/1/23 1,980 2,013
Noble Energy Inc. 4.150% 12/15/21 425 446
Occidental Petroleum Corp. 4.100% 2/1/21 1,120 1,185
Occidental Petroleum Corp. 2.700% 2/15/23 250 247
Occidental Petroleum Corp. 3.400% 4/15/26 790 788
Occidental Petroleum Corp. 4.400% 4/15/46 625 632
Phillips 66 4.875% 11/15/44 280 281
3 Schlumberger Holdings Corp. 3.000% 12/21/20 800 818
3 Schlumberger Investment SA 2.400% 8/1/22 630 612
Schlumberger Investment SA 3.650% 12/1/23 1,120 1,164
Shell International Finance BV 4.375% 3/25/20 800 853
Shell International Finance BV 2.250% 11/10/20 1,600 1,601
Shell International Finance BV 2.875% 5/10/26 445 433
Shell International Finance BV 4.125% 5/11/35 930 934
Shell International Finance BV 5.500% 3/25/40 345 403
Shell International Finance BV 4.375% 5/11/45 2,500 2,534
Suncor Energy Inc. 6.100% 6/1/18 400 421
Suncor Energy Inc. 5.950% 12/1/34 500 588
Sunoco Logistics Partners Operations LP 4.400% 4/1/21 1,225 1,288
Total Capital International SA 1.550% 6/28/17 1,365 1,365
Total Capital International SA 2.700% 1/25/23 885 876
Total Capital International SA 3.750% 4/10/24 1,400 1,455
Total Capital SA 2.125% 8/10/18 850 855
TransCanada PipeLines Ltd. 3.800% 10/1/20 1,220 1,279
TransCanada PipeLines Ltd. 4.875% 1/15/26 1,255 1,393
1 Transcanada Trust 5.300% 3/15/77 635 630
 
Other Industrial (0.0%)        
1 Johns Hopkins University Maryland GO 4.083% 7/1/53 690 711
 
Technology (1.2%)        
Apple Inc. 2.850% 5/6/21 1,100 1,126
Apple Inc. 3.000% 2/9/24 620 625

 

 

Apple Inc. 3.450% 5/6/24 1,000 1,035
Apple Inc. 3.250% 2/23/26 1,020 1,031
Apple Inc. 2.450% 8/4/26 1,170 1,105
Apple Inc. 3.350% 2/9/27 1,545 1,558
Apple Inc. 3.850% 5/4/43 430 411
Apple Inc. 4.450% 5/6/44 120 124
Apple Inc. 3.850% 8/4/46 985 930
Applied Materials Inc. 3.300% 4/1/27 875 878
3 Broadcom Corp. / Broadcom Cayman        
Finance Ltd. 3.625% 1/15/24 1,485 1,494
Cisco Systems Inc. 4.450% 1/15/20 605 648
Cisco Systems Inc. 2.900% 3/4/21 320 328
Cisco Systems Inc. 2.500% 9/20/26 431 408
Intel Corp. 4.100% 5/19/46 1,360 1,353
International Business Machines Corp. 3.375% 8/1/23 1,750 1,816
International Business Machines Corp. 5.875% 11/29/32 1,010 1,282
Microsoft Corp. 2.375% 2/12/22 635 637
Microsoft Corp. 3.625% 12/15/23 500 527
Microsoft Corp. 2.875% 2/6/24 1,385 1,389
Microsoft Corp. 2.700% 2/12/25 760 747
Microsoft Corp. 3.125% 11/3/25 845 853
Microsoft Corp. 2.400% 8/8/26 1,890 1,787
Microsoft Corp. 3.500% 2/12/35 605 580
Microsoft Corp. 3.450% 8/8/36 1,725 1,638
Microsoft Corp. 4.100% 2/6/37 1,225 1,260
Microsoft Corp. 4.450% 11/3/45 380 400
Microsoft Corp. 3.700% 8/8/46 1,615 1,516
Microsoft Corp. 4.250% 2/6/47 2,500 2,551
Oracle Corp. 2.800% 7/8/21 375 383
Oracle Corp. 2.500% 5/15/22 1,210 1,206
Oracle Corp. 2.950% 5/15/25 355 350
 
Transportation (0.5%)        
Burlington Northern Santa Fe LLC 3.000% 3/15/23 565 572
Burlington Northern Santa Fe LLC 3.850% 9/1/23 1,630 1,725
Burlington Northern Santa Fe LLC 3.250% 6/15/27 335 337
1 Continental Airlines 2007-1 Class A Pass        
Through Trust 5.983% 10/19/23 709 778
3 ERAC USA Finance LLC 2.350% 10/15/19 610 611
3 ERAC USA Finance LLC 4.500% 8/16/21 325 346
3 ERAC USA Finance LLC 3.300% 10/15/22 40 40
3 ERAC USA Finance LLC 7.000% 10/15/37 1,150 1,452
1 Federal Express Corp. 1998 Pass Through        
Trust 6.720% 1/15/22 794 879
FedEx Corp. 2.700% 4/15/23 255 251
FedEx Corp. 4.900% 1/15/34 230 247
FedEx Corp. 3.875% 8/1/42 120 110
FedEx Corp. 4.100% 4/15/43 500 467
FedEx Corp. 5.100% 1/15/44 340 365
FedEx Corp. 4.550% 4/1/46 415 415
Kansas City Southern 4.950% 8/15/45 905 915
Norfolk Southern Corp. 7.700% 5/15/17 1,500 1,511
1 Southwest Airlines Co. 2007-1 Pass Through        
Trust 6.150% 2/1/24 357 393
United Parcel Service Inc. 2.450% 10/1/22 425 426
United Parcel Service Inc. 4.875% 11/15/40 460 518
        294,035

 

 

Utilities (2.1%)        
Electric (2.0%)        
Alabama Power Co. 3.750% 3/1/45 630 591
Ameren Illinois Co. 6.125% 12/15/28 1,000 1,196
Berkshire Hathaway Energy Co. 6.125% 4/1/36 1,190 1,482
Berkshire Hathaway Energy Co. 6.500% 9/15/37 575 748
Commonwealth Edison Co. 4.350% 11/15/45 220 230
Connecticut Light & Power Co. 5.650% 5/1/18 465 485
Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 980 1,042
Consolidated Edison Co. of New York Inc. 4.625% 12/1/54 1,365 1,450
Delmarva Power & Light Co. 3.500% 11/15/23 305 316
4 Dominion Resources Inc. 2.962% 7/1/19 495 502
Dominion Resources Inc. 5.200% 8/15/19 750 801
Dominion Resources Inc. 3.625% 12/1/24 1,515 1,524
DTE Energy Co. 3.800% 3/15/27 250 254
Duke Energy Carolinas LLC 5.250% 1/15/18 275 283
Duke Energy Carolinas LLC 5.100% 4/15/18 590 611
Duke Energy Carolinas LLC 3.900% 6/15/21 1,090 1,151
Duke Energy Carolinas LLC 6.100% 6/1/37 391 487
Duke Energy Corp. 2.650% 9/1/26 315 292
Duke Energy Corp. 4.800% 12/15/45 1,200 1,266
Duke Energy Corp. 3.750% 9/1/46 265 238
Duke Energy Florida LLC 6.350% 9/15/37 200 263
Duke Energy Progress LLC 6.300% 4/1/38 365 471
Duke Energy Progress LLC 4.200% 8/15/45 845 861
Eversource Energy 4.500% 11/15/19 90 95
Eversource Energy 3.150% 1/15/25 110 109
Florida Power & Light Co. 5.650% 2/1/35 1,000 1,192
Florida Power & Light Co. 4.950% 6/1/35 1,000 1,140
Florida Power & Light Co. 5.950% 2/1/38 785 1,002
3 Fortis Inc. 3.055% 10/4/26 1,195 1,123
Georgia Power Co. 5.400% 6/1/18 1,165 1,212
Georgia Power Co. 3.250% 3/30/27 850 824
Georgia Power Co. 5.950% 2/1/39 218 254
Georgia Power Co. 5.400% 6/1/40 1,163 1,298
Georgia Power Co. 4.750% 9/1/40 168 176
Georgia Power Co. 4.300% 3/15/42 950 915
Great Plains Energy Inc. 3.150% 4/1/22 325 328
Great Plains Energy Inc. 3.900% 4/1/27 270 271
National Rural Utilities Cooperative Finance        
Corp. 5.450% 2/1/18 1,500 1,548
National Rural Utilities Cooperative Finance        
Corp. 2.950% 2/7/24 415 416
National Rural Utilities Cooperative Finance        
Corp. 2.850% 1/27/25 1,040 1,024
Northern States Power Co. 6.250% 6/1/36 2,000 2,582
Pacific Gas & Electric Co. 4.250% 5/15/21 300 319
Pacific Gas & Electric Co. 3.850% 11/15/23 450 473
Pacific Gas & Electric Co. 3.750% 2/15/24 305 319
Pacific Gas & Electric Co. 5.125% 11/15/43 285 327
PacifiCorp 6.250% 10/15/37 2,000 2,580
PECO Energy Co. 5.350% 3/1/18 565 584
Potomac Electric Power Co. 6.500% 11/15/37 750 995
Public Service Electric & Gas Co. 5.300% 5/1/18 1,900 1,977
San Diego Gas & Electric Co. 6.000% 6/1/26 600 723
Sierra Pacific Power Co. 3.375% 8/15/23 850 870
South Carolina Electric & Gas Co. 6.050% 1/15/38 1,140 1,336

 

 

  South Carolina Electric & Gas Co. 5.450% 2/1/41 35 40
  South Carolina Electric & Gas Co. 4.350% 2/1/42 165 164
  South Carolina Electric & Gas Co. 4.100% 6/15/46 525 515
  South Carolina Electric & Gas Co. 5.100% 6/1/65 715 740
  Southern California Edison Co. 2.400% 2/1/22 170 169
  Southern California Edison Co. 6.000% 1/15/34 1,000 1,245
  Southern California Edison Co. 5.550% 1/15/37 2,250 2,692
  Southern California Edison Co. 3.600% 2/1/45 141 133
  Southern Co. 2.450% 9/1/18 225 227
  Southern Co. 2.950% 7/1/23 1,280 1,246
  Virginia Electric & Power Co. 2.750% 3/15/23 690 685
  Virginia Electric & Power Co. 3.500% 3/15/27 435 443
  Wisconsin Electric Power Co. 5.700% 12/1/36 690 847
 
  Natural Gas (0.1%)        
3 KeySpan Gas East Corp. 2.742% 8/15/26 670 640
  Nisource Finance Corp. 5.250% 2/15/43 390 431
  NiSource Finance Corp. 4.800% 2/15/44 1,355 1,425
  Sempra Energy 2.875% 10/1/22 750 747
  Southern California Gas Co. 2.600% 6/15/26 820 791
          55,736
Total Corporate Bonds (Cost $559,815)       577,657
Sovereign Bonds (1.5%)        
3 CDP Financial Inc. 4.400% 11/25/19 1,000 1,061
3 Electricite de France SA 4.600% 1/27/20 1,200 1,272
3 Electricite de France SA 4.875% 1/22/44 50 50
3 Electricite de France SA 4.950% 10/13/45 400 406
1,3 Electricite de France SA 5.250% 1/29/49 235 231
  Export-Import Bank of Korea 1.750% 5/26/19 2,000 1,989
  International Bank for Reconstruction &        
  Development 4.750% 2/15/35 2,000 2,444
5 Japan Bank for International Cooperation 2.250% 2/24/20 1,190 1,191
6 Japan Treasury Discount Bill 0.000% 4/10/17 250,000 2,245
6 Japan Treasury Discount Bill 0.000% 4/17/17 240,000 2,156
6 Japan Treasury Discount Bill 0.000% 5/22/17 250,000 2,246
6 Japan Treasury Discount Bill 0.000% 5/29/17 250,000 2,257
3 Kingdom of Saudi Arabia 2.375% 10/26/21 850 835
  Korea Development Bank 2.875% 8/22/18 505 512
  Korea Development Bank 2.500% 3/11/20 2,000 2,006
  Petroleos Mexicanos 5.500% 2/4/19 330 346
  Province of Ontario 2.500% 4/27/26 2,150 2,083
  Province of Quebec 2.500% 4/20/26 3,820 3,721
3 Sinopec Group Overseas Development 2015        
  Ltd. 2.500% 4/28/20 1,615 1,607
3 Sinopec Group Overseas Development 2015        
  Ltd. 3.250% 4/28/25 1,615 1,574
3 State Grid Overseas Investment 2014 Ltd. 2.750% 5/7/19 1,305 1,319
  Statoil ASA 2.250% 11/8/19 580 583
  Statoil ASA 2.900% 11/8/20 1,410 1,439
  Statoil ASA 2.750% 11/10/21 850 856
  Statoil ASA 2.450% 1/17/23 382 375
  Statoil ASA 2.650% 1/15/24 360 352
  Statoil ASA 3.700% 3/1/24 640 665
  Statoil ASA 3.250% 11/10/24 795 803
3 Temasek Financial I Ltd. 2.375% 1/23/23 1,130 1,108
  United Mexican States 3.500% 1/21/21 342 355

 

 

United Mexican States 4.150% 3/28/27 1,021 1,039
United Mexican States 4.750% 3/8/44 170 165
Total Sovereign Bonds (Cost $38,515)       39,291
Taxable Municipal Bonds (1.7%)        
Atlanta GA Downtown Development        
Authority Revenue 6.875% 2/1/21 245 274
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 6.263% 4/1/49 685 935
Bay Area Toll Authority California Toll Bridge        
Revenue (San Francisco Bay Area) 7.043% 4/1/50 1,025 1,475
California GO 5.700% 11/1/21 265 301
California GO 7.550% 4/1/39 1,170 1,714
California GO 7.300% 10/1/39 300 421
California GO 7.350% 11/1/39 2,000 2,825
California GO 7.625% 3/1/40 90 131
California GO 7.600% 11/1/40 920 1,372
Chicago IL Metropolitan Water Reclamation        
District GO 5.720% 12/1/38 215 257
Chicago IL O'Hare International Airport        
Revenue 6.845% 1/1/38 530 591
Chicago IL O'Hare International Airport        
Revenue 6.395% 1/1/40 425 558
Chicago IL Transit Authority Transfer Tax        
Receipts Revenue 6.899% 12/1/40 1,560 1,944
Chicago Transit Authority 6.899% 12/1/40 695 866
Commonwealth Financing Authority 4.144% 6/1/38 635 615
Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 750 969
Georgia Municipal Electric Power Authority        
Revenue 6.637% 4/1/57 1,346 1,531
Grand Parkway Transportation Corp. Texas        
System Toll Revenue 5.184% 10/1/42 1,015 1,184
Houston TX GO 6.290% 3/1/32 560 660
Illinois Finance Authority 4.545% 10/1/18 810 839
Illinois GO 5.100% 6/1/33 1,600 1,458
Illinois Toll Highway Authority Revenue 6.184% 1/1/34 750 946
7 Kansas Development Finance Authority        
Revenue (Public Employees Retirement        
System) 5.501% 5/1/34 2,000 2,294
Los Angeles CA Community College District        
GO 6.750% 8/1/49 405 588
Los Angeles CA Unified School District GO 5.750% 7/1/34 1,400 1,718
Maryland Transportation Authority Facilities        
Projects Revenue 5.888% 7/1/43 545 679
Massachusetts School Building Authority        
Dedicated Sales Tax Revenue 5.715% 8/15/39 1,000 1,243
New Jersey Turnpike Authority Revenue 7.414% 1/1/40 410 590
New Jersey Turnpike Authority Revenue 7.102% 1/1/41 600 838
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.790% 6/15/41 115 127
New York City NY Municipal Water Finance        
Authority Water & Sewer System Revenue 5.882% 6/15/44 80 103
New York Metropolitan Transportation        
Authority Revenue 6.814% 11/15/40 150 202
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 325 473
New York Metropolitan Transportation        
Authority Revenue (Dedicated Tax Fund) 6.089% 11/15/40 445 564

 

 

  North Texas Tollway Authority System        
  Revenue 6.718% 1/1/49 1,555 2,169
  Oregon Department of Transportation        
  Highway User Tax Revenue 5.834% 11/15/34 655 825
  Oregon GO 5.902% 8/1/38 490 615
7 Oregon School Boards Association GO 5.528% 6/30/28 2,000 2,330
  Port Authority of New York & New Jersey        
  Revenue 5.859% 12/1/24 325 389
  Port Authority of New York & New Jersey        
  Revenue 6.040% 12/1/29 265 333
  Port Authority of New York & New Jersey        
  Revenue 4.458% 10/1/62 1,300 1,357
  Port Authority of New York & New Jersey        
  Revenue 4.810% 10/15/65 640 703
  San Antonio TX Electric & Gas Systems        
  Revenue 5.985% 2/1/39 305 390
  University of California 3.931% 5/15/45 570 564
  University of California Regents Medical        
  Center Revenue 6.548% 5/15/48 295 382
  University of California Regents Medical        
  Center Revenue 6.583% 5/15/49 900 1,170
  University of California Revenue 4.601% 5/15/31 590 648
  University of California Revenue 5.770% 5/15/43 1,010 1,238
  University of California Revenue 4.765% 5/15/44 145 151
Total Taxable Municipal Bonds (Cost $39,902)       44,549
        Shares  
Temporary Cash Investments (3.1%)        
Money Market Fund (0.6%)        
8,9 Vanguard Market Liquidity Fund 0.965%   161 16,104
 
        Face  
        Amount  
        ($000)  
Commercial Paper (0.7%)        
  Bank of Tokyo-Mitsubishi UFJ Ltd. (New        
  York Branch) 0.920% 4/10/17 3,000 2,999
10 BK Nederlandse Gemeenten 0.970% 4/20/17 6,000 5,997
  BNP Paribas (New York Branch) 0.910% 4/5/17 3,000 3,000
10 BPCE SA 0.920% 5/8/17 2,000 1,998
10 DNB Bank ASA 0.920% 4/21/17 3,000 2,998
10 Societe Generale SA 0.870% 4/10/17 2,000 1,999
          18,991
Repurchase Agreement (1.8%)        
  RBS Securities, Inc.        
  (Dated 3/31/17, Repurchase Value        
  $47,603,000 collateralized by U.S.        
  Treasury Note/Bond, 0.625%, 4/30/18,        
  with a value of $48,428,000) 0.780% 4/3/17 47,600 47,600
Total Temporary Cash Investments (Cost $82,695)       82,695
Total Investments (100.1%) (Cost $2,166,627)       2,636,997
Conventional Mortgage-Backed Securities—Sale Commitments (Net) (0.0%)    
1,2,12 Freddie Mac Gold Pool 3.000% 4/1/45-4/1/47 (35) (24)
Total Conventional Mortgage-Backed Securities—Sale Commitments (Net Proceeds ($114)) (24)
Other Asset and Liabilities-Net (-0.1%)11       (2,023)
Net Assets (100%)       2,634,950

 

 

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $15,667,000.
* Non-income-producing security.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 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 March 31, 2017, the aggregate
value of these securities was $126,714,000, representing 4.8% of net assets.
4 Adjustable-rate security.
5 Guaranteed by the Government of Japan.
6 Face amount denominated in Japanese yen.
7 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
9 Includes $16,098,000 of collateral received for securities on loan.
10 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration only to dealers in that program or other "accredited investors." At March
31, 2017, the aggregate value of these securities was $12,992,000, representing 0.5% of net assets.
11 Cash of $231,000 has been segregated as initial margin for open futures contracts.
12 Represents the net TBA purchases, long positions, and sale commitments in the same issuer and coupon.
ADR—American Depositary Receipt.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net

 

asset value may differ from quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the portfolio'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. 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 portfolio 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 portfolio 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 portfolio 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 portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio 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 portfolio under the master netting arrangements.

D. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio 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 portfolio 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 portfolio has also entered into mortgage-dollar-roll transactions in which the portfolio 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 portfolio 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 portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Other Assets and Liabilities in the Schedule of Investments.

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

F. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,520,320 189,245 —
U.S. Government and Agency Obligations — 150,371 —
Asset-Backed/Commercial Mortgage-Backed Securities — 32,189 680
Corporate Bonds — 577,657 —
Sovereign Bonds — 39,291 —
Taxable Municipal Bonds — 44,549 —
Temporary Cash Investments 16,104 66,591 —
Conventional Mortgage-Backed Securities—Sale      
Commitments (Net) — (24) —
Futures Contracts—Liabilities1 (36) — —

 

 

Forward Currency Contracts—Liabilities — (207) —
Total 1,536,388 1,099,662 680
1 Represents variation margin on the last day of the
reporting period.

 

G. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio'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 March 31, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
      Aggregate  
    Number of Settlement
    Long  Value Unrealized
    (Short) Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
2-Year U.S. Treasury        
Note June 2017 (78) (16,883) (17)
10-Year U.S. Treasury        
Note June 2017 (100) (12,456) (26)
5-Year U.S. Treasury June 2017 (51) (6,004) (13)
Note        
 
        (56)
Unrealized appreciation (depreciation) on open futures contracts is
required to be treated as realized gain (loss) for tax purposes.

 

 

H. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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

At March 31, 2017, 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.


 


I. At March 31, 2017, the cost of investment securities for tax purposes was $2,167,543,000. Net unrealized appreciation of investment securities for tax purposes was $469,430,000, consisting of unrealized gains of $492,243,000 on securities that had risen in value since their purchase and $22,813,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Capital Growth Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (92.8%)    
Consumer Discretionary (7.1%)    
Ross Stores Inc. 175,100 11,534
Sony Corp. ADR 337,200 11,374
TJX Cos. Inc. 133,000 10,518
L Brands Inc. 205,700 9,688
Walt Disney Co. 85,100 9,650
Carnival Corp. 140,800 8,295
Royal Caribbean Cruises Ltd. 55,100 5,406
* Amazon.com Inc. 3,500 3,103
Whirlpool Corp. 9,800 1,679
Bed Bath & Beyond Inc. 41,700 1,645
Comcast Corp. Class A 27,200 1,022
VF Corp. 13,500 742
    74,656
Consumer Staples (0.3%)    
CVS Health Corp. 29,700 2,331
Tyson Foods Inc. Class A 16,100 994
    3,325
Energy (1.1%)    
EOG Resources Inc. 41,700 4,068
Schlumberger Ltd. 45,700 3,569
* Transocean Ltd. 169,200 2,107
Noble Energy Inc. 43,000 1,477
Exxon Mobil Corp. 11,200 918
    12,139
Financials (6.7%)    
JPMorgan Chase & Co. 218,700 19,211
Charles Schwab Corp. 414,600 16,920
Wells Fargo & Co. 224,700 12,507
Marsh & McLennan Cos. Inc. 138,400 10,226
Progressive Corp. 100,200 3,926
US Bancorp 66,400 3,420
Discover Financial Services 29,700 2,031
CME Group Inc. 16,500 1,960
American Express Co. 7,800 617
    70,818
Health Care (22.6%)    
Eli Lilly & Co. 578,400 48,649
* Biogen Inc. 156,200 42,708
Amgen Inc. 255,971 41,997
Roche Holding AG 109,900 28,105
Novartis AG ADR 246,250 18,289
* Boston Scientific Corp. 544,502 13,542
AstraZeneca plc ADR 358,700 11,170
Medtronic plc 131,100 10,562
Thermo Fisher Scientific Inc. 49,700 7,634
Abbott Laboratories 123,300 5,476
* Bioverativ Inc. 78,100 4,253

 

 

Johnson & Johnson 19,100 2,379
Sanofi ADR 36,800 1,665
GlaxoSmithKline plc ADR 25,100 1,058
Merck & Co. Inc. 15,800 1,004
AbbVie Inc. 14,000 912
    239,403
Industrials (16.6%)    
FedEx Corp. 192,500 37,566
Southwest Airlines Co. 682,750 36,705
Airbus SE 227,700 17,365
American Airlines Group Inc. 351,700 14,877
Alaska Air Group Inc. 100,700 9,286
Honeywell International Inc. 69,600 8,691
* United Continental Holdings Inc. 117,900 8,328
Caterpillar Inc. 89,400 8,293
Delta Air Lines Inc. 144,900 6,660
Deere & Co. 59,500 6,477
Union Pacific Corp. 48,100 5,095
United Parcel Service Inc. Class B 43,550 4,673
Boeing Co. 16,800 2,971
United Technologies Corp. 22,600 2,536
CSX Corp. 42,500 1,978
Pentair plc 28,300 1,777
Safran SA 18,900 1,411
Textron Inc. 20,700 985
    175,674
Information Technology (36.1%)    
Texas Instruments Inc. 578,300 46,588
* Adobe Systems Inc. 355,700 46,287
Microsoft Corp. 685,100 45,121
* Alphabet Inc. Class C 29,170 24,198
NVIDIA Corp. 218,950 23,850
* Alphabet Inc. Class A 27,500 23,315
* Micron Technology Inc. 654,800 18,924
* Alibaba Group Holding Ltd. ADR 166,400 17,943
Hewlett Packard Enterprise Co. 586,250 13,894
Intel Corp. 376,500 13,580
KLA-Tencor Corp. 137,300 13,053
HP Inc. 618,550 11,060
NetApp Inc. 255,400 10,689
QUALCOMM Inc. 182,000 10,436
Intuit Inc. 86,500 10,033
Cisco Systems Inc. 291,400 9,849
Oracle Corp. 141,300 6,303
Activision Blizzard Inc. 116,000 5,784
^ Telefonaktiebolaget LM Ericsson ADR 717,500 4,764
Plantronics Inc. 71,650 3,877
Analog Devices Inc. 42,400 3,475
Visa Inc. Class A 35,400 3,146
Corning Inc. 98,350 2,655
* Dell Technologies Inc. Class V 37,974 2,433
* BlackBerry Ltd. 195,800 1,517
Apple Inc. 9,500 1,365
* PayPal Holdings Inc. 31,700 1,364
* Yahoo! Inc. 26,600 1,235
Mastercard Inc. Class A 9,800 1,102

 

 

* Entegris Inc.   46,900 1,097
* eBay Inc.   31,700 1,064
* salesforce.com Inc.   12,700 1,048
        381,049
Materials (1.4%)      
  Monsanto Co.   115,400 13,063
  Praxair Inc.   17,400 2,064
        15,127
Telecommunication Services (0.9%)      
  AT&T Inc.   217,508 9,037
Total Common Stocks (Cost $594,331)     981,228
    Coupon    
Temporary Cash Investment (8.6%)      
Money Market Fund (8.6%)      
1,2 Vanguard Market Liquidity Fund (Cost      
  $90,869) 0.965% 908,562 90,874
Total Investments (101.4%) (Cost $685,200)     1,072,102
Other Asset and Liabilities-Net (-1.4%)2     (15,299)
Net Assets (100%)     1,056,803

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,470,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
2 Includes $2,604,000 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 portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio 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.

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 portfolio'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 portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 934,347 46,881 —
Temporary Cash Investments 90,874 — —
Total 1,025,221 46,881 —

 

D. At March 31, 2017, the cost of investment securities for tax purposes was $685,200,000. Net unrealized appreciation of investment securities for tax purposes was $386,902,000, consisting of unrealized gains of $402,733,000 on securities that had risen in value since their purchase and $15,831,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Diversified Value Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (99.3%)    
Consumer Discretionary (8.1%)    
Twenty-First Century Fox Inc. Class A 868,400 28,128
Carnival Corp. 356,500 21,001
Target Corp. 286,000 15,784
Lowe's Cos. Inc. 162,200 13,335
Ford Motor Co. 870,900 10,137
Adient plc 69,941 5,083
    93,468
Consumer Staples (13.6%)    
Philip Morris International Inc. 400,600 45,228
Imperial Brands plc ADR 778,600 38,463
Altria Group Inc. 526,100 37,574
CVS Health Corp. 450,000 35,325
    156,590
Energy (10.3%)    
ConocoPhillips 746,544 37,230
Phillips 66 305,572 24,207
Occidental Petroleum Corp. 379,700 24,058
BP plc ADR 614,700 21,220
Chevron Corp. 114,000 12,240
    118,955
Financials (15.6%)    
Wells Fargo & Co. 780,800 43,459
JPMorgan Chase & Co. 421,450 37,020
American Express Co. 406,200 32,134
Bank of America Corp. 1,277,046 30,126
Citigroup Inc. 366,030 21,896
Navient Corp. 584,400 8,626
* SLM Corp. 584,400 7,071
    180,332
Health Care (25.0%)    
Cardinal Health Inc. 479,100 39,070
Sanofi ADR 842,700 38,132
Medtronic plc 453,100 36,502
Johnson & Johnson 291,600 36,319
Anthem Inc. 195,600 32,348
Pfizer Inc. 940,714 32,182
* Express Scripts Holding Co. 485,100 31,973
Teva Pharmaceutical Industries Ltd. ADR 786,900 25,252
Merck & Co. Inc. 253,000 16,076
    287,854
Industrials (9.9%)    
United Technologies Corp. 332,900 37,355
Johnson Controls International plc 803,812 33,856
Honeywell International Inc. 183,800 22,951
General Dynamics Corp. 103,200 19,319
    113,481

 

 

Information Technology (8.8%)      
Oracle Corp.   860,400 38,382
QUALCOMM Inc.   570,200 32,695
Microsoft Corp.   464,800 30,612
      101,689
Materials (4.0%)      
Air Products & Chemicals Inc.   248,400 33,606
EI du Pont de Nemours & Co.   153,800 12,355
      45,961
Telecommunication Services (4.0%)      
Verizon Communications Inc.   702,560 34,250
AT&T Inc.   294,627 12,241
      46,491
Total Common Stocks (Cost $1,002,244)     1,144,821
 
 
  Coupon    
Temporary Cash Investment (0.7%)      
Money Market Fund (0.7%)      
1 Vanguard Market Liquidity Fund (Cost $8,382) 0.965% 83,811 8,383
Total Investments (100.0%) (Cost $1,010,626)     1,153,204
Other Asset and Liabilities-Net (0.0%)     (348)
Net Assets (100%)     1,152,856

* Non-income-producing security.
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.
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 materially affected by events occurring before the portfolio'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.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

At March 31, 2017, 100% of the market value of the portfolio's investments was determined based on Level 1 inputs.

 

C. At March 31, 2017, the cost of investment securities for tax purposes was $1,010,626,000. Net unrealized appreciation of investment securities for tax purposes was $142,578,000, consisting of unrealized gains of $232,502,000 on securities that had risen in value since their purchase and $89,924,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Equity Income Portfolio

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

    Market
    Value
  Shares ($000)
Common Stocks (95.5%)1    
Consumer Discretionary (4.9%)    
Home Depot Inc. 106,000 15,564
McDonald's Corp. 82,302 10,667
VF Corp. 150,770 8,288
General Motors Co. 112,685 3,985
Best Buy Co. Inc. 57,913 2,846
Darden Restaurants Inc. 33,537 2,806
L Brands Inc. 51,600 2,430
Regal Entertainment Group Class A 93,990 2,122
Tailored Brands Inc. 140,519 2,099
Carnival Corp. 33,149 1,953
International Game Technology plc 72,432 1,717
Tupperware Brands Corp. 21,133 1,326
Coach Inc. 22,509 930
Ford Motor Co. 59,092 688
Ralph Lauren Corp. Class A 8,426 688
Hasbro Inc. 5,203 519
Chico's FAS Inc. 29,826 424
Meredith Corp. 4,215 272
    59,324
Consumer Staples (12.3%)    
Philip Morris International Inc. 322,756 36,439
PepsiCo Inc. 130,736 14,624
Coca-Cola Co. 308,011 13,072
Unilever NV 262,300 13,031
Procter & Gamble Co. 142,114 12,769
British American Tobacco plc 178,254 11,827
Kraft Heinz Co. 118,146 10,729
Wal-Mart Stores Inc. 137,908 9,940
Altria Group Inc. 122,304 8,735
Diageo plc ADR 43,040 4,974
Conagra Brands Inc. 71,045 2,866
Bunge Ltd. 30,628 2,428
Nu Skin Enterprises Inc. Class A 41,502 2,305
Universal Corp. 30,403 2,151
Kellogg Co. 13,495 980
Reynolds American Inc. 1,321 83
    146,953
Energy (9.6%)    
Exxon Mobil Corp. 294,949 24,189
Chevron Corp. 211,839 22,745
Suncor Energy Inc. 466,600 14,348
^ TransCanada Corp. 195,100 9,003
Occidental Petroleum Corp. 140,691 8,914
Canadian Natural Resources Ltd. 268,990 8,820
Phillips 66 98,700 7,819
Valero Energy Corp. 51,331 3,403
ConocoPhillips 57,752 2,880

 

 

ONEOK Inc. 46,510 2,578
Cosan Ltd. 264,830 2,262
Kinder Morgan Inc. 100,457 2,184
Enbridge Inc. 46,600 1,950
Archrock Inc. 157,205 1,949
Williams Cos. Inc. 49,902 1,477
Delek US Holdings Inc. 25,603 621
Marathon Petroleum Corp. 8,343 422
    115,564
Financials (16.6%)    
JPMorgan Chase & Co. 489,979 43,040
Wells Fargo & Co. 678,510 37,766
Marsh & McLennan Cos. Inc. 259,100 19,145
PNC Financial Services Group Inc. 106,990 12,864
MetLife Inc. 221,420 11,695
BlackRock Inc. 29,370 11,264
Chubb Ltd. 79,302 10,805
Principal Financial Group Inc. 144,011 9,089
M&T Bank Corp. 50,100 7,752
Thomson Reuters Corp. 153,490 6,635
US Bancorp 114,840 5,914
Prudential Financial Inc. 38,648 4,123
Aflac Inc. 45,934 3,327
Ameriprise Financial Inc. 23,207 3,009
Regions Financial Corp. 198,224 2,880
Fifth Third Bancorp 101,478 2,578
Navient Corp. 151,342 2,234
LPL Financial Holdings Inc. 34,737 1,384
Travelers Cos. Inc. 9,775 1,178
SunTrust Banks Inc. 21,139 1,169
AmTrust Financial Services Inc. 26,030 480
CME Group Inc. 2,921 347
FNF Group 2,171 85
CNA Financial Corp. 1,815 80
    198,843
Health Care (13.0%)    
Johnson & Johnson 303,865 37,846
Merck & Co. Inc. 407,394 25,886
Pfizer Inc. 696,192 23,817
Eli Lilly & Co. 171,522 14,427
Bristol-Myers Squibb Co. 201,500 10,958
Cardinal Health Inc. 109,600 8,938
Novartis AG 117,627 8,735
Roche Holding AG 30,803 7,877
Amgen Inc. 41,855 6,867
AbbVie Inc. 82,076 5,348
Abbott Laboratories 87,600 3,890
Gilead Sciences Inc. 21,070 1,431
Owens & Minor Inc. 3,931 136
    156,156
Industrials (11.1%)    
General Electric Co. 974,269 29,033
Eaton Corp. plc 182,870 13,560
Union Pacific Corp. 124,330 13,169

 

 

3M Co. 67,696 12,952
Honeywell International Inc. 83,910 10,478
United Technologies Corp. 63,800 7,159
Raytheon Co. 45,350 6,916
Boeing Co. 36,168 6,397
Lockheed Martin Corp. 20,369 5,451
Caterpillar Inc. 54,818 5,085
United Parcel Service Inc. Class B 37,121 3,983
Emerson Electric Co. 52,954 3,170
Copa Holdings SA Class A 21,264 2,387
General Cable Corp. 122,562 2,200
Greenbrier Cos. Inc. 46,111 1,987
West Corp. 61,430 1,500
Brady Corp. Class A 36,570 1,413
^ American Railcar Industries Inc. 28,814 1,184
Ryder System Inc. 15,257 1,151
Applied Industrial Technologies Inc. 16,112 996
Norfolk Southern Corp. 8,654 969
Aircastle Ltd. 39,609 956
Knoll Inc. 19,642 468
    132,564
Information Technology (13.6%)    
Microsoft Corp. 821,856 54,127
Cisco Systems Inc. 864,466 29,219
Intel Corp. 592,834 21,384
Analog Devices Inc. 171,879 14,085
QUALCOMM Inc. 142,076 8,147
International Business Machines Corp. 45,173 7,866
Maxim Integrated Products Inc. 146,260 6,576
Texas Instruments Inc. 69,797 5,623
KLA-Tencor Corp. 30,337 2,884
HP Inc. 159,150 2,846
Seagate Technology plc 57,570 2,644
Brooks Automation Inc. 103,747 2,324
Science Applications International Corp. 25,227 1,877
ManTech International Corp. Class A 54,164 1,876
Computer Sciences Corp. 14,678 1,013
    162,491
Materials (3.1%)    
Dow Chemical Co. 230,099 14,620
International Paper Co. 145,980 7,413
LyondellBasell Industries NV Class A 36,698 3,346
Huntsman Corp. 103,544 2,541
Steel Dynamics Inc. 63,566 2,210
Greif Inc. Class A 39,407 2,171
Rayonier Advanced Materials Inc. 149,345 2,009
Innophos Holdings Inc. 19,107 1,031
WestRock Co. 18,256 950
EI du Pont de Nemours & Co. 9,224 741
    37,032

 

 

Other (0.8%)    
2 Vanguard High Dividend Yield ETF 119,332 9,266
 
Telecommunication Services (3.4%)    
Verizon Communications Inc. 384,841 18,761
AT&T Inc. 314,200 13,055
BCE Inc. 183,480 8,124
Windstream Holdings Inc. 77,491 422
    40,362
Utilities (7.1%)    
Dominion Resources Inc. 180,860 14,029
NextEra Energy Inc. 70,048 8,992
Eversource Energy 146,010 8,583
Sempra Energy 68,820 7,605
Xcel Energy Inc. 153,140 6,807
Duke Energy Corp. 61,149 5,015
UGI Corp. 98,166 4,850
PG&E Corp. 51,889 3,443
Edison International 42,068 3,349
CenterPoint Energy Inc. 98,235 2,708
FirstEnergy Corp. 85,020 2,705
Southwest Gas Holdings Inc. 28,284 2,345
National Fuel Gas Co. 38,695 2,307
MDU Resources Group Inc. 83,802 2,294
AES Corp. 203,807 2,279
Entergy Corp. 27,673 2,102
Exelon Corp. 37,936 1,365
Atlantica Yield plc 50,709 1,063
ONE Gas Inc. 12,175 823
Hawaiian Electric Industries Inc. 12,558 418
NRG Energy Inc. 18,211 341
PPL Corp. 8,562 320
Otter Tail Corp. 7,497 284
South Jersey Industries Inc. 7,835 279
Great Plains Energy Inc. 4,309 126
OGE Energy Corp. 2,696 94
    84,526
Total Common Stocks (Cost $911,507)   1,143,081

 

 

    Coupon      
Temporary Cash Investments (5.1%)1        
Money Market Fund (2.7%)        
3,4 Vanguard Market Liquidity Fund 0.965%   320,072 32,013
 
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (2.2%)        
  BNP Paribas Securities Corp.        
  (Dated 3/31/17, Repurchase Value        
  $26,002,000 collateralized by Federal        
  Home Loan Mortgage Corp. 2.174%-        
  4.500%, 3/1/39-2/1/47, Federal National        
  Mortgage Assn. 2.267%-7.500%, 9/1/26-        
  3/1/46, and Government National Mortgage        
  Assn. 2.125%-3.000%, 3/20/25-12/20/43,        
  with a value of $26,520,000) 0.800% 4/3/17 26,000 26,000
 
U.S. Government and Agency Obligations (0.2%)      
5 United States Treasury Bill 0.564%–0.579% 5/4/17 600 600
5 United States Treasury Bill 0.574% 5/11/17 1,500 1,499
5 United States Treasury Bill 0.597% 5/25/17 500 499
          2,598
Total Temporary Cash Investments (Cost $60,609)     60,611
Total Investments (100.6%) (Cost $972,116)       1,203,692
Other Assets and Liabilities-Net (-0.6%)4       (6,962)
Net Assets (100%)       1,196,730

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,155,000.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 97.9% and 2.7%, respectively, of net assets.
2 Considered an affiliated company of the portfolio as the issuer is another member of The Vanguard Group.
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 $6,527,000 of collateral received for securities on loan.
5 Securities with a value of $1,449,000 have been segregated as initial margin for open futures contracts.
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 portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

B. 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 portfolio's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

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

D. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,114,642 28,439 —
Temporary Cash Investments 32,013 28,598 —
Futures Contracts—Liabilities1 (64) — —
Total 1,146,591 57,037 —
1 Represents variation margin on the last day of the reporting period.

 

E. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio 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 portfolio 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 portfolio 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 portfolio'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 March 31, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

      ($000)
 
      Aggregate Unrealized
    Number of Long ) Settlement Value Appreciation
Futures Contracts Expiration (Short Contracts Long (Short) (Depreciation)
E-mini S&P 500 Index June 2017 238 28,074 (107)

 

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

At March 31, 2017, the cost of investment securities for tax purposes was $972,116,000. Net unrealized appreciation of investment securities for tax purposes was $231,576,000, consisting of unrealized gains of $247,816,000 on securities that had risen in value since their purchase and $16,240,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Growth Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (95.0%)1    
Consumer Discretionary (14.8%)    
* Amazon.com Inc. 10,599 9,396
Home Depot Inc. 60,592 8,897
* Liberty Interactive Corp. QVC Group Class A 338,079 6,768
* Liberty Global plc 136,601 4,787
* TripAdvisor Inc. 106,291 4,588
* O'Reilly Automotive Inc. 16,538 4,463
* Netflix Inc. 26,771 3,957
Starbucks Corp. 60,203 3,515
Dollar General Corp. 48,816 3,404
* Priceline Group Inc. 1,542 2,745
NIKE Inc. Class B 48,996 2,731
Ross Stores Inc. 28,829 1,899
Hilton Worldwide Holdings Inc. 30,159 1,763
* AutoZone Inc. 2,072 1,498
Las Vegas Sands Corp. 25,538 1,457
* Liberty Global plc Class A 36,429 1,307
* Chipotle Mexican Grill Inc. Class A 2,730 1,216
* Under Armour Inc. 62,533 1,144
Lennar Corp. Class A 22,311 1,142
    66,677
Consumer Staples (3.4%)    
* Monster Beverage Corp. 92,198 4,257
Estee Lauder Cos. Inc. Class A 32,819 2,783
Constellation Brands Inc. Class A 15,520 2,515
Walgreens Boots Alliance Inc. 28,340 2,354
Kroger Co. 71,230 2,100
PepsiCo Inc. 11,522 1,289
    15,298
Energy (0.2%)    
Schlumberger Ltd. 11,220 876
 
Financials (6.1%)    
Intercontinental Exchange Inc. 179,317 10,736
Charles Schwab Corp. 122,562 5,002
Marsh & McLennan Cos. Inc. 32,456 2,398
* Markel Corp. 2,372 2,315
MarketAxess Holdings Inc. 9,013 1,690
MSCI Inc. Class A 17,197 1,671
Affiliated Managers Group Inc. 8,880 1,456
TD Ameritrade Holding Corp. 28,500 1,107
Bank of America Corp. 40,230 949
    27,324
Health Care (14.6%)    
* Celgene Corp. 94,649 11,777
Allergan plc 36,377 8,691
* Biogen Inc. 31,089 8,500
* Quintiles IMS Holdings Inc. 74,046 5,963
Bristol-Myers Squibb Co. 109,193 5,938

 

 

UnitedHealth Group Inc. 32,745 5,371
Dentsply Sirona Inc. 78,755 4,918
* Edwards Lifesciences Corp. 30,425 2,862
Zoetis Inc. 41,470 2,213
Thermo Fisher Scientific Inc. 12,000 1,843
Danaher Corp. 18,510 1,583
* Cerner Corp. 24,460 1,440
* Regeneron Pharmaceuticals Inc. 3,614 1,400
* ABIOMED Inc. 9,464 1,185
* Vertex Pharmaceuticals Inc. 10,345 1,131
Medtronic plc 5,064 408
* Illumina Inc. 2,136 365
    65,588
Industrials (8.9%)    
FedEx Corp. 28,081 5,480
Nielsen Holdings plc 119,511 4,937
* Verisk Analytics Inc. Class A 37,008 3,003
Union Pacific Corp. 27,980 2,964
Equifax Inc. 18,912 2,586
* TransUnion 66,267 2,541
AMETEK Inc. 46,637 2,522
Fastenal Co. 47,535 2,448
Lockheed Martin Corp. 8,964 2,399
* IHS Markit Ltd. 56,807 2,383
Fortune Brands Home & Security Inc. 29,063 1,768
Northrop Grumman Corp. 7,376 1,754
JB Hunt Transport Services Inc. 15,761 1,446
Fortive Corp. 23,845 1,436
TransDigm Group Inc. 5,860 1,290
Snap-on Inc. 6,928 1,169
    40,126
Information Technology (42.0%)    
Microsoft Corp. 286,951 18,899
* Facebook Inc. Class A 123,787 17,584
* Alphabet Inc. Class C 19,645 16,297
Mastercard Inc. Class A 142,221 15,996
Visa Inc. Class A 165,427 14,701
* PayPal Holdings Inc. 303,304 13,048
Apple Inc. 83,814 12,041
* eBay Inc. 306,448 10,287
* Alphabet Inc. Class A 11,859 10,054
* Electronic Arts Inc. 71,661 6,415
Symantec Corp. 197,838 6,070
* Adobe Systems Inc. 38,928 5,066
QUALCOMM Inc. 66,712 3,825
Intuit Inc. 31,356 3,637
* ServiceNow Inc. 33,352 2,917
ASML Holding NV 21,624 2,872
* Autodesk Inc. 32,161 2,781
Texas Instruments Inc. 33,780 2,721
Alliance Data Systems Corp. 10,836 2,698
CDW Corp. 44,761 2,583
Global Payments Inc. 30,492 2,460
* salesforce.com Inc. 28,910 2,385
* FleetCor Technologies Inc. 14,671 2,222
* Red Hat Inc. 25,390 2,196

 

 

* Workday Inc. Class A     23,760 1,979
* Alibaba Group Holding Ltd. ADR     18,161 1,958
  Microchip Technology Inc.     20,630 1,522
  Accenture plc Class A     12,160 1,458
  NVIDIA Corp.     12,238 1,333
* Zillow Group Inc.     35,341 1,190
          189,195
Materials (0.7%)        
  Sherwin-Williams Co.     5,846 1,813
  PPG Industries Inc.     11,620 1,221
          3,034
Other (0.0%)        
*,2 WeWork Class A PP     4,015 208
 
Real Estate (4.3%)        
  Crown Castle International Corp.     89,606 8,463
  Equinix Inc.     11,397 4,563
  American Tower Corporation     26,168 3,181
  Public Storage     8,834 1,934
* SBA Communications Corp. Class A     10,720 1,290
  Park Hotels & Resorts Inc.     1,030 26
          19,457
Total Common Stocks (Cost $332,286)       427,783
Convertible Preferred Stocks (0.2%)        
*,2 Airbnb Inc. (Cost $928)     9,972 1,047
Preferred Stocks (1.8%)        
*,2 Uber Technologies PP     104,984 5,121
*,2 WeWork Pfd. D1 PP     19,954 1,034
*,2 WeWork Pfd. D2 PP     15,678 812
*,2 Pinterest Prf G PP     124,325 798
*,2 Cloudera, Inc. Pfd.     21,972 458
Total Preferred Stocks (Cost $3,435)       8,223
    Coupon      
Temporary Cash Investments (3.3%)1        
Money Market Fund (2.6%)        
3 Vanguard Market Liquidity Fund 0.965%   117,668 11,769
 
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (0.3%)        
  Bank of America Securities, LLC        
  (Dated 3/31/17, Repurchase Value        
  $1,300,000, collateralized by Government        
  National Mortgage Assn. 3.500%, 2/20/47,        
  with a value of $1,326,000) 0.800% 4/3/17 1,300 1,300
U.S. Government and Agency Obligations (0.4%)        
4 United States Treasury Bill 0.713% 6/1/17 700 699
  United States Treasury Bill 0.741% 6/8/17 800 799
          1,498
Total Temporary Cash Investments (Cost $14,567)       14,567

 

 

Total Investments (100.3%) (Cost $351,216) 451,620
Other Assets and Liabilities-Net (-0.3%) (1,192)
Net Assets (100%) 450,428

* Non-income-producing security.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 97.6% and 0.7%, respectively, of net assets.
2 Restricted securities totaling $9,478,000, representing 2.1% 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 Securities with a value of $699,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
PP—Private Placement.

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 portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

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

C. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 427,575 — 208
Convertible Preferred Stocks — — 1,047
Preferred Stocks — — 8,223
Temporary Cash Investments 11,769 2,798 —
Futures Contracts—Liabilities1 (27) — —
Total 439,317 2,798 9,478

1 Represents variation margin on the last day of the reporting period.

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

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2017. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

    Investments in  
    Convertible  
  Investments in Preferred Investments in
  Common Stocks Stocks Preferred Stocks
  ($000) ($000) ($000)
Amount Valued Based on Level 3 Inputs      
Balance as of December 31, 2016 201 1,047 8,006
Change in Unrealized Appreciation      
(Depreciation) 7 — 217
Balance as of March 31, 2017 208 1,047 8,223

Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2017, was
$224,000.

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

Security Type Fair Value
($000)		 Valuation Technique Unobservable Input Amount
Common Stocks 208 Market Approach Recent Market Transaction $51.810

 

 

Convertible 1,047 Market Approach Recent Market Transaction 105.000
Preferred Stocks        
Preferred Stocks 8,223 Market Approach Recent Market Transaction 51.810
      Recent Market Transaction 48.772
      Comparable Company
      Approach  20.850
      Comparable Company
      Approach  6.420

 

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

D. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio 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 portfolio 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 portfolio 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 portfolio'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 March 31, 2017, 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 June 2017 100 11,796 (42)

 

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

E. At March 31, 2017, the cost of investment securities for tax purposes was $351,216,000. Net unrealized appreciation of investment securities for tax purposes was $100,404,000, consisting of unrealized gains of $113,289,000 on securities that had risen in value since their purchase and $12,885,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard International Portfolio

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

      Market
      Value
    Shares ($000)
Common Stocks (96.7%)1    
Australia (0.4%)    
  Brambles Ltd. 1,239,087 8,849
 
Belgium (0.2%)    
  Umicore SA 94,189 5,364
 
Brazil (0.9%)    
  BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 1,347,600 8,303
  Telefonica Brasil SA Preference Shares 487,900 7,286
  Raia Drogasil SA 377,286 7,071
      22,660
Canada (1.6%)    
  Toronto-Dominion Bank 480,932 24,089
  Canadian Pacific Railway Ltd. 66,054 9,703
  Goldcorp Inc. 416,545 6,077
      39,869
China (15.7%)    
  Tencent Holdings Ltd. 4,317,400 124,382
* Alibaba Group Holding Ltd. ADR 917,993 98,987
* Baidu Inc. ADR 403,200 69,560
* Ctrip.com International Ltd. ADR 717,364 35,259
* TAL Education Group ADR 198,896 21,196
* New Oriental Education & Technology Group Inc. ADR 349,685 21,114
  China Pacific Insurance Group Co. Ltd. 2,326,800 8,410
      378,908
Denmark (2.8%)    
* Genmab A/S 207,128 39,858
  Novozymes A/S 338,400 13,407
  Chr Hansen Holding A/S 163,100 10,462
* Vestas Wind Systems A/S 61,833 5,030
      68,757
France (4.3%)    
  L'Oreal SA 142,580 27,424
  Kering 89,975 23,255
  Schneider Electric SE 244,328 17,951
  Essilor International SA 147,637 17,925
  LVMH Moet Hennessy Louis Vuitton SE 42,173 9,269
  Danone SA 101,519 6,906
      102,730
Germany (8.9%)    
*,2 Zalando SE 1,013,535 40,964
  BASF SE 327,729 32,450
  Bayer AG 186,251 21,459
  Bayerische Motoren Werke AG 218,745 19,959
  SAP SE 195,435 19,174
  Continental AG 68,908 15,108
  Deutsche Telekom AG 828,942 14,525
  HeidelbergCement AG 116,760 10,934

 

 

  GEA Group AG 184,823 7,852
  adidas AG 35,186 6,694
*,3 HOME 24AG 2,691 5,144
*,3 HELLOFRESH 286,769 4,932
 
*,2,^ Rocket Internet SE 278,557 4,757
* MorphoSys AG 67,732 3,976
*,3 CureVac GmbH 1,452 3,307
  Fresenius Medical Care AG & Co. KGaA 29,960 2,526
* AIXTRON SE 274,000 1,017
      214,778
Hong Kong (4.2%)    
  AIA Group Ltd. 11,339,000 71,571
  Jardine Matheson Holdings Ltd. 254,951 16,378
  Hong Kong Exchanges & Clearing Ltd. 490,260 12,371
      100,320
India (2.4%)    
  Housing Development Finance Corp. Ltd. 810,964 18,762
  HDFC Bank Ltd. 692,127 15,389
  Zee Entertainment Enterprises Ltd. 1,238,546 10,214
  Idea Cellular Ltd. 3,593,996 4,752
*,3 ANI Technologies 19,170 3,693
 
*,2,3 Flipkart G Series 37,575 2,782
 
*,2,3 Flipkart H Series 16,044 1,332
      56,924
Indonesia (0.3%)    
  Bank Mandiri Persero Tbk PT 7,977,300 7,006
  Bank Central Asia Tbk PT 723,200 898
      7,904
Ireland (0.3%)    
  Kerry Group plc Class A 100,301 7,886
 
Israel (1.9%)    
* Check Point Software Technologies Ltd. 279,723 28,716
* Mobileye NV 294,035 18,054
      46,770
Italy (3.5%)    
  Ferrari NV 519,887 38,748
* EXOR NV 331,840 17,159
* Fiat Chrysler Automobiles NV 1,376,016 15,033
  Intesa Sanpaolo SPA (Registered) 4,749,613 12,920
      83,860
Japan (11.3%)    
  SoftBank Group Corp. 666,100 47,237
  SMC Corp. 135,200 40,082
  M3 Inc. 1,308,600 32,614
  Bridgestone Corp. 428,200 17,382
  Rakuten Inc. 1,584,500 15,920
  KDDI Corp. 524,500 13,795
  Sekisui Chemical Co. Ltd. 746,500 12,584
  Kubota Corp. 818,500 12,338
  ORIX Corp. 792,900 11,769
  Sumitomo Mitsui Financial Group Inc. 317,700 11,564

 

 

  Recruit Holdings Co. Ltd. 223,000 11,405
  Pigeon Corp. 319,600 10,255
  Keyence Corp. 22,800 9,147
  Suntory Beverage & Food Ltd. 189,600 8,010
  Suzuki Motor Corp. 182,900 7,596
  SBI Holdings Inc. 477,700 6,675
  Fuji Heavy Industries Ltd. 118,500 4,346
      272,719
Luxembourg (0.3%)    
*,3 Spotify Technology SA 2,961 6,599
 
Mexico (0.3%)    
  Grupo Financiero Banorte SAB de CV 1,381,363 7,943
 
Netherlands (3.3%)    
  ASML Holding NV 597,081 79,229
 
Norway (1.1%)    
  Statoil ASA 417,155 7,170
  DNB ASA 442,549 7,027
  Schibsted ASA Class A 214,063 5,510
  Norsk Hydro ASA 726,320 4,233
  Schibsted ASA Class B 153,788 3,524
      27,464
Other (0.6%)    
4 Vanguard FTSE All-World ex-US ETF 298,796 14,291
 
Peru (0.2%)    
  Credicorp Ltd. 26,371 4,306
 
Portugal (0.3%)    
  Jeronimo Martins SGPS SA 343,323 6,135
 
South Korea (2.0%)    
  NAVER Corp. 44,000 33,645
*,^ Celltrion Inc. 192,456 15,504
      49,149
Spain (5.2%)    
  Industria de Diseno Textil SA 2,040,646 71,865
  Banco Bilbao Vizcaya Argentaria SA 4,822,275 37,434
  Distribuidora Internacional de Alimentacion SA 1,347,136 7,786
*,^ Banco Popular Espanol SA 7,866,506 7,628
      124,713
Sweden (5.4%)    
  Atlas Copco AB Class A 1,258,070 44,346
^ Svenska Handelsbanken AB Class A 2,808,511 38,488
* Kinnevik AB 1,012,007 26,976
  Assa Abloy AB Class B 633,192 13,017
^ Elekta AB Class B 668,047 6,526
      129,353
Switzerland (2.8%)    
  Nestle SA 283,943 21,793
  Roche Holding AG 77,222 19,748
  Cie Financiere Richemont SA 184,483 14,586

 

 

  Lonza Group AG     54,701 10,340
          66,467
Taiwan (1.1%)        
  Taiwan Semiconductor Manufacturing Co. Ltd.     4,299,000 26,957
 
Thailand (0.3%)        
  Kasikornbank PCL     1,551,700 8,539
 
United Kingdom (7.4%)        
  Rolls-Royce Holdings plc     3,819,412 36,083
  Diageo plc     767,660 21,982
  Royal Dutch Shell plc Class A     820,537 21,604
  Burberry Group plc     861,317 18,588
  Reckitt Benckiser Group plc     160,758 14,676
  BHP Billiton plc     894,979 13,804
* Standard Chartered plc     1,351,923 12,931
  Aviva plc     1,586,410 10,586
  Aggreko plc     729,423 8,067
  Barclays plc     2,817,816 7,954
  Lloyds Banking Group plc     8,014,915 6,666
*,^ Ocado Group plc     1,403,300 4,233
  Antofagasta plc     214,248 2,237
          179,411
United States (7.7%)        
* Amazon.com Inc.     82,512 73,150
* Illumina Inc.     223,073 38,065
*,^ Tesla Inc.     135,910 37,824
  MercadoLibre Inc.     147,899 31,276
  Philip Morris International Inc.     23,075 2,605
* Priceline Group Inc.     1,446 2,574
          185,494
Total Common Stocks (Cost $1,905,295)       2,334,348
Preferred Stocks (0.6%)        
*,3 Internet Plus Holdings Ltd.     2,083,522 8,044
*,3 You & Mr. Jones     5,200,000 5,861
Total Preferred Stocks (Cost $13,244)       13,905
    Coupon      
Temporary Cash Investments (5.1%)1        
Money Market Fund (4.9%)        
5,6 Vanguard Market Liquidity Fund 0.965%   1,186,474 118,671
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.2%)      
7 United States Treasury Bill 0.731% 5/11/17 100 100
7,8 United States Treasury Bill 0.577%–0.618% 5/25/17 3,100 3,097
7 United States Treasury Bill 0.729% 6/8/17 300 299
7 United States Treasury Bill 0.724% 6/15/17 200 200
          3,696
Total Temporary Cash Investments (Cost $122,356)     122,367
Total Investments (102.4%) (Cost $2,040,895)       2,470,620
Other Assets and Liabilities-Net (-2.4%)6,7       (57,532)
Net Assets (100%)       2,413,088

 

 
 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $57,063,000.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 99.2% and 2.6%, respectively, of net assets.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the aggregate
value of these securities was $49,835,000, representing 2.1% of net assets.
3 Restricted securities totaling $41,694,000, representing 1.7% of net assets.
4 Considered an affiliated company of the portfolio as the issuer is another member of The Vanguard Group.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
6 Includes $60,104,000 of collateral received for securities on loan.
7 Securities with a value of $3,384,000 and cash of $150,000 have been segregated as initial margin for open
futures contracts.
8 Securities with a value of $312,000 have been segregated as collateral for open forward currency contracts.
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 portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

B. 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 portfolio'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 portfolio'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.).

 

Vanguard International Portfolio

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

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks—North and South America 260,272 — —
Common Stocks—Other 307,177 1,739,110 27,789
Preferred Stocks — — 13,905
Temporary Cash Investments 118,671 3,696 —
Futures Contracts—Assets1 122 — —
Futures Contracts—Liabilities1 (241) — —
Forward Currency Contracts—Assets — 534 —
Forward Currency Contracts—Liabilities — (37) —
Total 686,001 1,743,303 41,694
1 Represents variation margin on the last day of the reporting period.

 

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended March 31, 2017. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

 

  Investments in Investments in
  Common Stocks Preferred Stocks
Amount valued based on Level 3 Inputs ($000) ($000)
Balance as of December 31, 2016 27,166 14,013
Purchases 39 —
Change in Unrealized Appreciation (Depreciation) 584 (108)
Balance as of March 31, 2017 27,789 13,905

 

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

 

Vanguard International Portfolio

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


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

D. Futures and Forward Currency Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio 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 portfolio 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 portfolio 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 portfolio's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

The portfolio enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts or to protect the value of securities and related receivables and payables against changes in foreign exchange rates. The portfolio'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 portfolio mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified

 

Vanguard International Portfolio

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

Futures contracts are valued at their quoted daily settlement prices. 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 March 31, 2017, 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)
Dow Jones EURO STOXX 50 Index June 2017 771 28,252 696
Topix Index June 2017 102 13,845 (227)
S&P ASX 200 Index June 2017 124 13,830 253
FTSE 100 Index June 2017 39 3,548 54
        776

 

Unrealized appreciation (depreciation) on open Dow Jones EURO STOXX 50 Index and FTSE 100 Index futures contracts is required to be treated as realized gain (loss) for tax purposes.

At March 31, 2017, the portfolio 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.

 

Vanguard International Portfolio

    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date Receive Deliver ($000)
Morgan Stanley Capital            
Services LLC 6/21/17 EUR 22,834 USD 24,449 8
The Toronto-Dominion Bank 6/20/17 AUD 15,782 USD 11,911 128
Credit Suisse International 6/13/17 JPY 952,238 USD 8,394 184
Barclays Bank plc 6/13/17 JPY 476,950 USD 4,214 83
The Toronto-Dominion Bank 6/21/17 GBP 2,548 USD 3,103 96
Goldman Sachs International 6/21/17 EUR 1,245 USD 1,351 (18)
BNP Paribas 6/13/17 JPY 143,471 USD 1,268 25
BNP Paribas 6/21/17 EUR 1,162 USD 1,253 (8)
Bank of America, N.A. 6/21/17 EUR 631 USD 678 (2)
BNP Paribas 6/20/17 AUD 865 USD 665 (6)
Citibank, N.A. 6/20/17 AUD 720 USD 553 (3)
Barclays Bank plc 6/20/17 AUD 456 USD 345 4
Bank of America, N.A. 6/21/17 GBP 145 USD 179 4
Goldman Sachs International 6/21/17 GBP 74 USD 92 —
BNP Paribas 6/21/17 GBP 66 USD 81 2
            497
AUD—Australian dollar.
EUR—Euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.

 

E. At March 31, 2017, the cost of investment securities for tax purposes was $2,041,568,000. Net unrealized appreciation of investment securities for tax purposes was $429,052,000, consisting of unrealized gains of $573,194,000 on securities that had risen in value since their purchase and $144,142,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Small Company Growth Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (92.5%)1    
Consumer Discretionary (16.1%)    
ServiceMaster Global Holdings Inc. 487,769 20,364
Carter's Inc. 173,707 15,599
Sally Beauty Holdings Inc. 677,378 13,846
Grand Canyon Education Inc. 166,305 11,909
Wolverine World Wide Inc. 464,200 11,591
Dunkin' Brands Group Inc. 183,605 10,040
National CineMedia Inc. 775,032 9,789
^ Polaris Industries Inc. 96,287 8,069
Lear Corp. 45,407 6,429
Dick's Sporting Goods Inc. 122,590 5,965
Five Below Inc. 127,343 5,515
* Burlington Stores Inc. 54,173 5,270
* iRobot Corp. 74,800 4,947
* Scientific Games Corp. Class A 199,700 4,723
Interpublic Group of Cos. Inc. 183,944 4,520
Bloomin' Brands Inc. 227,583 4,490
* Dave & Buster's Entertainment Inc. 72,300 4,417
Hibbett Sports Inc. 147,010 4,337
Cheesecake Factory Inc. 64,526 4,088
CalAtlantic Group Inc. 103,300 3,869
AMC Entertainment Holdings Inc. Class A 120,777 3,798
Tailored Brands Inc. 248,500 3,713
Group 1 Automotive Inc. 49,400 3,660
Monro Muffler Brake Inc. 70,043 3,649
Big Lots Inc. 74,100 3,607
Children's Place Inc. 28,430 3,413
Tupperware Brands Corp. 53,908 3,381
* Cooper-Standard Holdings Inc. 27,390 3,038
* American Outdoor Brands Corp. 151,503 3,001
Brinker International Inc. 66,540 2,925
Bob Evans Farms Inc. 44,883 2,912
^ Regal Entertainment Group Class A 112,726 2,545
Brunswick Corp. 39,600 2,424
* Hyatt Hotels Corp. Class A 44,111 2,381
Chico's FAS Inc. 167,500 2,379
* American Axle & Manufacturing Holdings Inc. 124,796 2,344
Papa John's International Inc. 26,794 2,145
* Boyd Gaming Corp. 95,316 2,098
Capella Education Co. 24,400 2,075
DR Horton Inc. 58,343 1,943
MCBC Holdings Inc. 117,169 1,895
^ Sturm Ruger & Co. Inc. 34,383 1,841
Strayer Education Inc. 22,763 1,832
Tenneco Inc. 20,000 1,248
* Malibu Boats Inc. Class A 54,200 1,217
Ruth's Hospitality Group Inc. 60,661 1,216
American Eagle Outfitters Inc. 81,351 1,141
Callaway Golf Co. 82,871 917
* Taylor Morrison Home Corp. Class A 42,800 913

 

 

* MSG Networks Inc. 36,852 860
  Leggett & Platt Inc. 15,433 777
  Culp Inc. 23,700 739
* Penn National Gaming Inc. 39,300 724
  Cinemark Holdings Inc. 16,100 714
* Genesco Inc. 11,900 660
* Potbelly Corp. 46,043 640
  Finish Line Inc. Class A 44,600 635
  Domino's Pizza Inc. 3,400 627
* tronc Inc. 36,600 509
* Francesca's Holdings Corp. 30,090 462
* Denny's Corp. 33,600 416
  Bassett Furniture Industries Inc. 14,400 387
  Libbey Inc. 24,740 361
  La-Z-Boy Inc. 13,300 359
* Liberty Media Corp-Liberty Formula One Class A 9,400 307
* Weight Watchers International Inc. 14,900 232
* Pinnacle Entertainment Inc. 9,500 185
  Pier 1 Imports Inc. 21,700 155
* Stoneridge Inc. 6,600 120
  LCI Industries 900 90
      239,387
Consumer Staples (2.3%)    
  Casey's General Stores Inc. 45,776 5,138
  Pilgrim's Pride Corp. 166,800 3,754
  Fresh Del Monte Produce Inc. 61,655 3,652
* HRG Group Inc. 187,500 3,622
* US Foods Holding Corp. 122,500 3,428
* Post Holdings Inc. 28,366 2,483
  Dean Foods Co. 99,759 1,961
  Ingredion Inc. 16,169 1,947
  Nu Skin Enterprises Inc. Class A 31,400 1,744
  Ingles Markets Inc. Class A 38,400 1,657
  Omega Protein Corp. 72,100 1,446
  John B Sanfilippo & Son Inc. 14,400 1,054
  Medifast Inc. 12,900 572
* SUPERVALU Inc. 122,300 472
  AdvancePierre Foods Holdings Inc. 11,200 349
^ Natural Health Trends Corp. 11,100 321
* Darling Ingredients Inc. 14,700 213
  PriceSmart Inc. 1,800 166
      33,979
Energy (1.0%)    
  RigNet Inc. 195,391 4,191
* Newfield Exploration Co. 99,009 3,654
  Dril-Quip Inc. 57,053 3,112
* Sanchez Energy Corp. 188,940 1,803
^,* Chesapeake Energy Corp. 207,800 1,234
* Southwestern Energy Co. 150,706 1,231
* Carrizo Oil & Gas Inc. 15,338 440
      15,665
Financials (5.9%)    
  LPL Financial Holdings Inc. 508,613 20,258
^ Financial Engines Inc. 225,406 9,816
^ WisdomTree Investments Inc. 760,245 6,903
  MSCI Inc. Class A 67,953 6,604

 

 

  CBOE Holdings Inc. 66,920 5,425
  Bank of the Ozarks Inc. 103,314 5,373
  Primerica Inc. 59,035 4,853
* Essent Group Ltd. 127,110 4,598
* SVB Financial Group 23,600 4,392
  Evercore Partners Inc. Class A 43,400 3,381
* Walker & Dunlop Inc. 68,000 2,835
* INTL. FCStone Inc. 57,400 2,179
  FactSet Research Systems Inc. 12,700 2,094
  Universal Insurance Holdings Inc. 80,754 1,979
  National Bank Holdings Corp. Class A 51,100 1,661
* World Acceptance Corp. 30,230 1,565
  OM Asset Management plc 79,500 1,202
  Banc of California Inc. 49,949 1,034
* Regional Management Corp. 51,700 1,005
^,* Credit Acceptance Corp. 2,274 453
* Nationstar Mortgage Holdings Inc. 23,100 364
  Greenhill & Co. Inc. 11,500 337
  GAMCO Investors Inc. Class A 5,800 172
      88,483
Health Care (19.3%)    
* INC Research Holdings Inc. Class A 374,560 17,174
  Cooper Cos. Inc. 74,770 14,946
  STERIS plc 186,849 12,978
* Align Technology Inc. 74,501 8,546
* IDEXX Laboratories Inc. 54,937 8,494
* Prestige Brands Holdings Inc. 146,915 8,163
  Spectranetics Corp. 243,487 7,091
  Patterson Cos. Inc. 155,255 7,022
  Medidata Solutions Inc. 121,721 7,022
* Quintiles IMS Holdings Inc. 85,433 6,880
^ Exact Sciences Corp. 283,444 6,695
  Catalent Inc. 231,345 6,552
  MEDNAX Inc. 92,637 6,427
  athenahealth Inc. 52,110 5,872
* Veeva Systems Inc. Class A 111,834 5,735
  ABIOMED Inc. 45,777 5,731
* WellCare Health Plans Inc. 40,106 5,623
  DexCom Inc. 65,946 5,588
  Endologix Inc. 756,003 5,473
  Hill-Rom Holdings Inc. 75,600 5,337
* Masimo Corp. 56,059 5,228
* Charles River Laboratories International Inc. 56,600 5,091
* Exelixis Inc. 222,000 4,811
^ Atara Biotherapeutics Inc. 227,864 4,683
  Chemed Corp. 25,367 4,634
* Hologic Inc. 107,629 4,580
* PRA Health Sciences Inc. 68,366 4,459
  Revance Therapeutics Inc. 207,396 4,314
  Bluebird Bio Inc. 46,779 4,252
  Alnylam Pharmaceuticals Inc. 80,012 4,101
  Quidel Corp. 176,150 3,988
  Insulet Corp. 90,764 3,911
^ Novadaq Technologies Inc. 499,845 3,894
  DBV Technologies SA ADR 107,863 3,799
  Neurocrine Biosciences Inc. 87,168 3,774
  Nevro Corp. 40,251 3,771

 

 

^ Juno Therapeutics Inc. 165,470 3,672
* Array BioPharma Inc. 389,900 3,486
* OraSure Technologies Inc. 251,425 3,251
^,* Lexicon Pharmaceuticals Inc. 221,900 3,182
* Coherus Biosciences Inc. 150,100 3,175
* Inogen Inc. 38,042 2,950
* BioCryst Pharmaceuticals Inc. 339,713 2,854
* NxStage Medical Inc. 96,839 2,598
* Mettler-Toledo International Inc. 5,291 2,534
  Bruker Corp. 108,254 2,526
* FibroGen Inc. 100,846 2,486
* BioTelemetry Inc. 83,554 2,419
* Cardiovascular Systems Inc. 82,500 2,333
* Spectrum Pharmaceuticals Inc. 301,140 1,957
* United Therapeutics Corp. 13,545 1,834
* Emergent BioSolutions Inc. 61,471 1,785
  Owens & Minor Inc. 43,200 1,495
* Medpace Holdings Inc. 49,000 1,463
* Orthofix International NV 29,425 1,123
* HMS Holdings Corp. 48,050 977
* Cytokinetics Inc. 71,700 921
* Rigel Pharmaceuticals Inc. 243,981 808
* Infinity Pharmaceuticals Inc. 226,677 732
* Progenics Pharmaceuticals Inc. 75,800 715
  LeMaitre Vascular Inc. 27,958 689
  Teleflex Inc. 3,142 609
* Ophthotech Corp. 161,800 592
* Vanda Pharmaceuticals Inc. 40,400 566
* Amphastar Pharmaceuticals Inc. 38,200 554
* Integra LifeSciences Holdings Corp. 12,600 531
^,* ImmunoGen Inc. 133,760 518
* Cotiviti Holdings Inc. 12,400 516
* Heska Corp. 4,700 493
* Vocera Communications Inc. 18,379 456
  Phibro Animal Health Corp. Class A 16,032 450
* Natus Medical Inc. 8,717 342
* Merrimack Pharmaceuticals Inc. 106,900 329
* Corcept Therapeutics Inc. 16,500 181
* PAREXEL International Corp. 2,337 147
* Aratana Therapeutics Inc. 27,400 145
* Applied Genetic Technologies Corp. 20,400 141
* Agenus Inc. 37,200 140
^,* Reata Pharmaceuticals Inc. Class A 5,800 131
* Akorn Inc. 5,100 123
* Depomed Inc. 9,700 122
* Ionis Pharmaceuticals Inc. 2,900 117
* SciClone Pharmaceuticals Inc. 10,600 104
* Genomic Health Inc. 2,900 91
* American Renal Associates Holdings Inc. 4,500 76
* Aptevo Therapeutics Inc. 35,185 72
* CTI BioPharma Corp. 16,946 71
      286,221
Industrials (20.5%)    
* TriNet Group Inc. 737,761 21,321
^ Sensata Technologies Holding NV 372,988 16,288
  Clean Harbors Inc. 275,258 15,310
  CEB Inc. 173,456 13,634

 

 

  Kirby Corp. 154,803 10,921
  Tennant Co. 140,632 10,217
  Forward Air Corp. 203,214 9,667
  HEICO Corp. Class A 125,613 9,421
  Wabtec Corp. 118,296 9,227
  Heartland Express Inc. 441,769 8,857
  Multi-Color Corp. 111,213 7,896
  Woodward Inc. 112,887 7,667
* United Rentals Inc. 56,446 7,059
  MSC Industrial Direct Co. Inc. Class A 67,502 6,936
  Huntington Ingalls Industries Inc. 30,981 6,204
  Toro Co. 96,300 6,015
  Kennametal Inc. 147,558 5,789
  Proto Labs Inc. 112,380 5,743
  Allegion plc 65,948 4,992
  Ritchie Bros Auctioneers Inc. 151,471 4,983
  Donaldson Co. Inc. 108,800 4,953
  Spirit AeroSystems Holdings Inc. Class A 84,415 4,889
* MasTec Inc. 116,900 4,682
* Hawaiian Holdings Inc. 94,093 4,371
  Curtiss-Wright Corp. 46,800 4,271
  Quad/Graphics Inc. 163,729 4,133
* Trex Co. Inc. 58,791 4,079
  EnerSys 51,300 4,050
  Advisory Board Co. 85,710 4,011
  Argan Inc. 59,600 3,943
  Wabash National Corp. 179,356 3,711
* Atkore International Group Inc. 139,600 3,669
* Avis Budget Group Inc. 123,000 3,638
  Saia Inc. 77,294 3,424
  John Bean Technologies Corp. 38,089 3,350
* Gibraltar Industries Inc. 80,261 3,307
  Brink's Co. 56,451 3,017
* Ply Gem Holdings Inc. 149,460 2,944
  Global Brass & Copper Holdings Inc. 84,623 2,911
* Meritor Inc. 159,512 2,732
  Insperity Inc. 30,194 2,677
* Continental Building Products Inc. 105,050 2,574
  Dun & Bradstreet Corp. 23,056 2,489
  General Cable Corp. 135,301 2,429
* TrueBlue Inc. 81,700 2,234
* Swift Transportation Co. 103,384 2,123
  West Corp. 85,381 2,085
  Greenbrier Cos. Inc. 41,217 1,776
  Brady Corp. Class A 38,108 1,473
  Insteel Industries Inc. 38,268 1,383
  Kforce Inc. 57,639 1,369
  Knoll Inc. 55,777 1,328
* Veritiv Corp. 24,466 1,267
^,* Energy Recovery Inc. 151,998 1,265
* Quanta Services Inc. 33,700 1,251
  Kimball International Inc. Class B 68,000 1,122
* Moog Inc. Class A 16,600 1,118
  LSC Communications Inc. 41,200 1,037
  Supreme Industries Inc. Class A 50,667 1,027
  Roadrunner Transportation Systems Inc. 144,350 992
  Herman Miller Inc. 31,040 979

 

 

  American Railcar Industries Inc. 21,902 900
* YRC Worldwide Inc. 79,793 879
  Applied Industrial Technologies Inc. 13,000 804
* JetBlue Airways Corp. 35,500 732
  Watts Water Technologies Inc. Class A 8,300 517
  Landstar System Inc. 5,700 488
  Barrett Business Services Inc. 8,700 475
* HD Supply Holdings Inc. 10,520 433
  Raven Industries Inc. 13,100 381
  Astec Industries Inc. 5,300 326
* TriMas Corp. 13,366 277
* Sparton Corp. 11,500 241
* Orion Group Holdings Inc. 32,200 241
* Neff Corp. Class A 10,100 196
* Vectrus Inc. 5,700 127
      305,247
Information Technology (20.6%)    
* Cadence Design Systems Inc. 547,518 17,192
  CDW Corp. 290,308 16,754
  2U Inc. 333,825 13,239
  SS&C Technologies Holdings Inc. 372,698 13,194
* Gartner Inc. 119,532 12,908
  MAXIMUS Inc. 194,136 12,075
  Trimble Inc. 316,583 10,134
  RealPage Inc. 268,959 9,387
  Descartes Systems Group Inc. 306,506 7,019
^ Shutterstock Inc. 166,366 6,879
  Stratasys Ltd. 307,691 6,305
  Callidus Software Inc. 294,844 6,295
  New Relic Inc. 165,081 6,120
* NCR Corp. 125,879 5,750
* Advanced Micro Devices Inc. 388,737 5,656
  Cimpress NV 62,733 5,407
  CoStar Group Inc. 26,056 5,399
  CSRA Inc. 180,144 5,276
* Cirrus Logic Inc. 84,065 5,102
  Booz Allen Hamilton Holding Corp. Class A 135,842 4,807
  Science Applications International Corp. 62,937 4,683
* Extreme Networks Inc. 593,211 4,455
  Euronet Worldwide Inc. 50,803 4,345
  ChannelAdvisor Corp. 389,271 4,340
  SPS Commerce Inc. 73,783 4,316
* Cardtronics plc Class A 92,076 4,305
* Itron Inc. 70,872 4,302
* Ciena Corp. 182,141 4,300
^ 3D Systems Corp. 271,611 4,063
* Amkor Technology Inc. 345,200 4,001
* Unisys Corp. 275,527 3,844
* Barracuda Networks Inc. 164,632 3,805
* Carbonite Inc. 186,700 3,790
^,* Match Group Inc. 228,600 3,733
* Zillow Group Inc. Class A 110,400 3,733
* Five9 Inc. 225,033 3,704
  Hackett Group Inc. 187,691 3,658
* Aspen Technology Inc. 61,841 3,644
* CommScope Holding Co. Inc. 83,300 3,474
* Teradata Corp. 110,282 3,432

 

 

* A10 Networks Inc. 367,125 3,359
  Travelport Worldwide Ltd. 271,502 3,196
* Wix.com Ltd. 40,759 2,768
  TeleTech Holdings Inc. 86,964 2,574
* Square Inc. 146,335 2,529
* GoDaddy Inc. Class A 64,260 2,435
  CSG Systems International Inc. 56,911 2,152
^,* Nutanix Inc. 111,550 2,094
^,* TrueCar Inc. 129,159 1,998
* Synaptics Inc. 40,356 1,998
  Avnet Inc. 43,101 1,972
* Sykes Enterprises Inc. 61,898 1,820
* MaxLinear Inc. 52,014 1,459
* Manhattan Associates Inc. 27,330 1,423
* Workiva Inc. 82,800 1,296
* Lumentum Holdings Inc. 24,146 1,288
* Jive Software Inc. 289,585 1,245
* Oclaro Inc. 109,500 1,075
* RingCentral Inc. Class A 37,715 1,067
* Eastman Kodak Co. 91,893 1,057
* Care.com Inc. 74,000 926
* Zebra Technologies Corp. 9,600 876
* Blucora Inc. 48,786 844
* Box Inc. 50,900 830
* Synopsys Inc. 10,900 786
* Avid Technology Inc. 156,948 731
* Xcerra Corp. 63,500 565
* Bazaarvoice Inc. 127,769 549
* PFSweb Inc. 73,268 478
* Super Micro Computer Inc. 18,800 477
* NETGEAR Inc. 9,513 471
* ePlus Inc. 3,417 461
* Take-Two Interactive Software Inc. 7,700 456
* Rosetta Stone Inc. 43,200 421
* Brightcove Inc. 39,600 352
* CommerceHub Inc. Class A 19,300 299
* Angie's List Inc. 52,239 298
* Plexus Corp. 4,837 280
* MINDBODY Inc. Class A 8,700 239
* NeoPhotonics Corp. 24,079 217
* Radisys Corp. 52,098 208
* Varonis Systems Inc. 6,000 191
* ShoreTel Inc. 30,684 189
* EnerNOC Inc. 31,000 186
  NIC Inc. 9,200 186
* Exa Corp. 13,800 175
* Xactly Corp. 11,200 133
* DHI Group Inc. 27,769 110
  InterDigital Inc. 1,100 95
* Lattice Semiconductor Corp. 12,900 89
      305,748
Materials (3.3%)    
  Chemours Co. 160,203 6,168
* Louisiana-Pacific Corp. 194,978 4,839
* Owens-Illinois Inc. 219,200 4,467
  Trinseo SA 61,572 4,131
  Silgan Holdings Inc. 69,600 4,131

 

 

  Steel Dynamics Inc.     115,928 4,030
* Koppers Holdings Inc.     88,113 3,732
^ Valvoline Inc.     151,700 3,724
  Rayonier Advanced Materials Inc.     251,909 3,388
* Crown Holdings Inc.     61,527 3,258
  Huntsman Corp.     95,871 2,353
  Worthington Industries Inc.     28,319 1,277
  Sealed Air Corp.     27,900 1,216
* Coeur Mining Inc.     149,090 1,205
  Innophos Holdings Inc.     12,500 675
  American Vanguard Corp.     40,500 672
* Ryerson Holding Corp.     22,190 280
          49,546
Other (0.0%)        
* NuPathe Inc. CVR     345,900 —
 
Real Estate (3.0%)        
  National Storage Affiliates Trust     298,273 7,129
  Omega Healthcare Investors Inc.     131,988 4,354
  Ryman Hospitality Properties Inc.     67,943 4,201
  Sabra Health Care REIT Inc.     138,479 3,868
  Care Capital Properties Inc.     142,273 3,823
  Senior Housing Properties Trust     183,089 3,707
  Outfront Media Inc.     134,037 3,559
  STAG Industrial Inc.     140,100 3,505
  Medical Properties Trust Inc.     205,500 2,649
  Washington Prime Group Inc.     227,310 1,975
  DuPont Fabros Technology Inc.     33,754 1,674
  GEO Group Inc.     29,200 1,354
* Forestar Group Inc.     73,500 1,003
  Potlatch Corp.     18,000 823
  Hersha Hospitality Trust Class A     30,500 573
          44,197
Telecommunication Services (0.3%)        
  Windstream Holdings Inc.     338,677 1,846
* Zayo Group Holdings Inc.     43,600 1,434
* Boingo Wireless Inc.     77,800 1,011
  IDT Corp. Class B     7,900 100
          4,391
Utilities (0.2%)        
  Southwest Gas Holdings Inc.     26,476 2,195
^ Spark Energy Inc. Class A     10,020 320
          2,515
Total Common Stocks (Cost $1,239,949)       1,375,379
 
    Coupon      
Temporary Cash Investments (8.7%)1        
Money Market Fund (8.3%)        
2,3 Vanguard Market Liquidity Fund 0.965%   1,229,710 122,995
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.4%)        
4 United States Treasury Bill 0.591% 5/4/17 100 100

 

 

United States Treasury Bill 0.731% 5/11/17 900 899
4 United States Treasury Bill 0.540%-0.623% 5/18/17 200 200
4 United States Treasury Bill 0.597% 5/25/17 1,500 1,499
4 United States Treasury Bill 0.729%-0.741% 6/8/17 1,600 1,598
4 United States Treasury Bill 0.556%-0.759% 6/15/17 1,100 1,098
        5,394
Total Temporary Cash Investments (Cost $128,379)     128,389
Total Investments (101.2%) (Cost $1,368,328)       1,503,768
Other Assets and Liabilities-Net (-1.2%)3       (17,440)
Net Assets (100%)       1,486,328

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $17,525,000.
* Non-income-producing security.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 98.5% and 2.7%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $18,244,000 of collateral received for securities on loan.
4 Securities with a value of $4,490,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
CVR—Contingent Value Rights.
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 affected by events occurring before the portfolio'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 portfolio's pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio 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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

B. 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 portfolio'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 portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,375,379 — —
Temporary Cash Investments 122,995 5,394 —
Futures Contracts—Assets1 200 — —
Total 1,498,574 5,394 —

1 Represents variation margin on the last day of the reporting period.

D. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio 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 portfolio 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 portfolio 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 portfolio'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 March 31, 2017, 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 Russell 2000 Index June 2017 1,288 89,155 2,057

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized

 

gain (loss) for tax purposes.

E. At March 31, 2017, the cost of investment securities for tax purposes was $1,368,328,000. Net unrealized appreciation of investment securities for tax purposes was $135,440,000, consisting of unrealized gains of $177,614,000 on securities that had risen in value since their purchase and $42,174,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Conservative Allocation Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Investment Companies (99.9%)    
U.S. Stock Funds (28.0%)    
Vanguard Variable Insurance Fund - Equity Index Portfolio 1,604,919 57,584
Vanguard Extended Market Index Fund Investor Shares 164,110 12,448
    70,032
International Stock Fund (12.1%)    
Vanguard Total International Stock Index Fund Investor Shares 1,897,696 30,212
 
U.S. Bond Fund (47.9%)    
Vanguard Variable Insurance Fund - Total Bond Market Index Portfolio 10,358,547 119,641
 
International Bond Fund (11.9%)    
Vanguard Total International Bond Index Fund Investor Shares 2,747,430 29,700
Total Investment Companies (Cost $246,890)   249,585
Temporary Cash Investment (0.0%)    
Money Market Fund (0.0%)    
1 Vanguard Market Liquidity Fund, 0.965% (Cost $--) 1 —
 
Total Investments (99.9%) (Cost $246,890)   249,585
Other Assets and Liabilities-Net (0.1%)   210
Net Assets (100%)   249,795

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: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

At March 31, 2017, 100% of the market value of the portfolio's investments was determined based on Level 1 inputs.

C. At March 31, 2017, the cost of investment securities for tax purposes was $246,890,000. Net unrealized appreciation of investment securities for tax purposes was $2,695,000, consisting of unrealized gains of $8,366,000 on securities that had risen in value since their purchase and $5,671,000 in unrealized losses on securities that had fallen in value since their purchase.

 

D. Transactions during the period in affiliated underlying Vanguard funds were as follows:

    Current Period Transactions  
      Proceeds      
  Dec. 31, 2016   from   Capital Gain Mar. 31, 2017
  Market Purchases Securities   Distributions Market
  Value at Cost Sold1 Income Received Value
  ($000) ($000) ($000) ($000) ($000) ($000)
Vanguard Extended Market Index            
Fund 11,856 417 339 32 — 12,448
Vanguard Market Liquidity Fund 25 NA2 NA2 — — —
Vanguard Total International Bond            
Index Fund 28,144 1,845 213 72 — 29,700
Vanguard Total International Stock            
Index Fund 28,157 865 1,069 91 — 30,212
Vanguard Variable Insurance            
Fund- Equity Index Portfolio 52,677 6,912 2,373 1,058 1,806 57,584
Vanguard Variable Insurance            
Fund- Total Bond Market Index            
Portfolio 111,880 12,604 2,604 2,857 385 119,641
Total 232,739 22,643 6,598 4,110 2,191 249,585

1 Includes net realized gain (loss) on affiliated investment securities sold of $750,000.
2 Not applicable—purchases and sales are for temporary cash investment purposes.


Vanguard Equity Index Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (99.5%)1    
Consumer Discretionary (12.3%)    
* Amazon.com Inc. 89,782 79,595
Home Depot Inc. 276,211 40,556
Comcast Corp. Class A 1,072,816 40,327
Walt Disney Co. 329,835 37,400
McDonald's Corp. 185,691 24,067
* Priceline Group Inc. 11,149 19,845
Starbucks Corp. 330,402 19,292
Time Warner Inc. 175,551 17,153
NIKE Inc. Class B 300,478 16,746
Lowe's Cos. Inc. 196,401 16,146
* Charter Communications Inc. Class A 48,764 15,961
* Netflix Inc. 97,641 14,432
TJX Cos. Inc. 147,825 11,690
General Motors Co. 309,027 10,927
Ford Motor Co. 884,881 10,300
Twenty-First Century Fox Inc. Class A 238,571 7,727
Target Corp. 125,904 6,949
Marriott International Inc. Class A 71,121 6,698
Ross Stores Inc. 89,352 5,886
CBS Corp. Class B 84,081 5,832
* O'Reilly Automotive Inc. 20,777 5,606
Carnival Corp. 94,825 5,586
Newell Brands Inc. 109,035 5,143
Delphi Automotive plc 61,119 4,920
Yum! Brands Inc. 76,245 4,872
* AutoZone Inc. 6,463 4,673
Omnicom Group Inc. 53,015 4,570
* Dollar Tree Inc. 53,387 4,189
VF Corp. 74,840 4,114
Dollar General Corp. 57,688 4,023
* Ulta Beauty Inc. 13,263 3,783
Royal Caribbean Cruises Ltd. 37,992 3,727
Viacom Inc. Class B 78,526 3,661
Twenty-First Century Fox Inc. 110,057 3,498
Expedia Inc. 27,217 3,434
* Mohawk Industries Inc. 14,298 3,281
* DISH Network Corp. Class A 51,159 3,248
Genuine Parts Co. 33,518 3,097
Best Buy Co. Inc. 61,591 3,027
* Chipotle Mexican Grill Inc. Class A 6,506 2,899
Whirlpool Corp. 16,815 2,881
Coach Inc. 63,661 2,631
L Brands Inc. 54,589 2,571
DR Horton Inc. 76,827 2,559
* CarMax Inc. 42,687 2,528
Hasbro Inc. 25,190 2,515
Advance Auto Parts Inc. 16,676 2,472
Harley-Davidson Inc. 40,036 2,422
Darden Restaurants Inc. 28,049 2,347

 

 

  Lennar Corp. Class A 45,845 2,347
  Tiffany & Co. 24,107 2,297
  Foot Locker Inc. 30,378 2,273
  Interpublic Group of Cos. Inc. 88,667 2,179
  Wynn Resorts Ltd. 18,155 2,081
  Macy's Inc. 69,123 2,049
* LKQ Corp. 69,818 2,044
  Tractor Supply Co. 29,546 2,038
  Goodyear Tire & Rubber Co. 56,584 2,037
  Mattel Inc. 77,658 1,989
  Wyndham Worldwide Corp. 23,576 1,987
  BorgWarner Inc. 45,250 1,891
  PVH Corp. 18,005 1,863
  Hanesbrands Inc. 85,935 1,784
  Scripps Networks Interactive Inc. Class A 21,871 1,714
  Kohl's Corp. 39,671 1,579
  PulteGroup Inc. 66,425 1,564
  Leggett & Platt Inc. 30,144 1,517
  News Corp. Class A 112,923 1,468
* Michael Kors Holdings Ltd. 36,659 1,397
* Discovery Communications Inc. 49,218 1,393
  Garmin Ltd. 26,415 1,350
  Bed Bath & Beyond Inc. 34,108 1,346
  Staples Inc. 147,351 1,292
  TEGNA Inc. 49,632 1,272
^ Nordstrom Inc. 26,646 1,241
  Gap Inc. 50,209 1,220
* TripAdvisor Inc. 25,817 1,114
  Signet Jewelers Ltd. 15,720 1,089
  H&R Block Inc. 46,318 1,077
  Ralph Lauren Corp. Class A 12,932 1,056
* Discovery Communications Inc. Class A 34,818 1,013
*,^ Under Armour Inc. Class A 41,467 820
* Under Armour Inc. 41,752 764
* AutoNation Inc. 15,181 642
      566,593
Consumer Staples (9.3%)    
  Procter & Gamble Co. 579,549 52,072
  Philip Morris International Inc. 351,700 39,707
  Coca-Cola Co. 875,987 37,177
  PepsiCo Inc. 323,600 36,198
  Altria Group Inc. 439,675 31,402
  Wal-Mart Stores Inc. 341,429 24,610
  CVS Health Corp. 232,561 18,256
  Costco Wholesale Corp. 99,572 16,697
  Walgreens Boots Alliance Inc. 193,335 16,056
  Mondelez International Inc. Class A 346,055 14,908
  Colgate-Palmolive Co. 200,172 14,651
  Kraft Heinz Co. 135,220 12,279
  Reynolds American Inc. 187,556 11,820
  Kimberly-Clark Corp. 80,712 10,624
  General Mills Inc. 131,514 7,761
  Constellation Brands Inc. Class A 39,105 6,338
  Kroger Co. 209,538 6,179
  Archer-Daniels-Midland Co. 129,312 5,954
  Sysco Corp. 112,308 5,831
  Estee Lauder Cos. Inc. Class A 50,268 4,262

 

 

* Monster Beverage Corp. 90,866 4,195
  Kellogg Co. 57,118 4,147
  Dr Pepper Snapple Group Inc. 41,542 4,068
  Tyson Foods Inc. Class A 65,132 4,019
  Molson Coors Brewing Co. Class B 41,860 4,006
  Clorox Co. 29,087 3,922
  Conagra Brands Inc. 93,571 3,775
  Mead Johnson Nutrition Co. 41,581 3,704
  JM Smucker Co. 26,395 3,460
  Hershey Co. 31,590 3,451
  Church & Dwight Co. Inc. 57,988 2,892
  Campbell Soup Co. 44,016 2,519
  McCormick & Co. Inc. 25,665 2,504
  Whole Foods Market Inc. 72,240 2,147
  Hormel Foods Corp. 61,320 2,124
  Coty Inc. Class A 105,784 1,918
  Brown-Forman Corp. Class B 39,750 1,836
      427,469
Energy (6.5%)    
  Exxon Mobil Corp. 940,027 77,092
  Chevron Corp. 429,161 46,079
  Schlumberger Ltd. 316,075 24,685
  ConocoPhillips 280,187 13,973
  EOG Resources Inc. 130,782 12,758
  Occidental Petroleum Corp. 173,345 10,983
  Halliburton Co. 196,570 9,673
  Kinder Morgan Inc. 435,284 9,463
  Phillips 66 100,040 7,925
  Anadarko Petroleum Corp. 126,809 7,862
  Pioneer Natural Resources Co. 38,447 7,160
  Valero Energy Corp. 102,335 6,784
  Marathon Petroleum Corp. 119,804 6,055
  Baker Hughes Inc. 96,485 5,772
  Williams Cos. Inc. 187,231 5,540
  Devon Energy Corp. 118,523 4,945
  Apache Corp. 85,789 4,409
* Concho Resources Inc. 33,618 4,315
  National Oilwell Varco Inc. 85,622 3,433
* TechnipFMC plc 105,510 3,429
  Noble Energy Inc. 98,886 3,396
  Marathon Oil Corp. 191,483 3,025
  Hess Corp. 60,843 2,933
  ONEOK Inc. 47,812 2,651
  Cimarex Energy Co. 21,606 2,582
  Cabot Oil & Gas Corp. 107,024 2,559
  EQT Corp. 39,157 2,392
  Tesoro Corp. 26,663 2,161
* Newfield Exploration Co. 44,938 1,659
  Helmerich & Payne Inc. 24,328 1,619
  Range Resources Corp. 42,381 1,233
* Transocean Ltd. 87,758 1,093
  Murphy Oil Corp. 36,637 1,047
*,^ Chesapeake Energy Corp. 171,143 1,017
* Southwestern Energy Co. 112,475 919
      302,621

 

 

Financials (14.3%)    
JPMorgan Chase & Co. 809,732 71,127
* Berkshire Hathaway Inc. Class B 399,063 66,516
Wells Fargo & Co. 1,020,760 56,815
Bank of America Corp. 2,272,546 53,609
Citigroup Inc. 628,127 37,575
Goldman Sachs Group Inc. 83,986 19,293
US Bancorp 360,982 18,591
Chubb Ltd. 105,632 14,392
Morgan Stanley 325,816 13,958
American Express Co. 171,690 13,582
PNC Financial Services Group Inc. 110,296 13,262
American International Group Inc. 210,960 13,170
MetLife Inc. 246,468 13,018
Charles Schwab Corp. 275,461 11,242
Bank of New York Mellon Corp. 235,268 11,112
BlackRock Inc. 27,588 10,580
Prudential Financial Inc. 97,565 10,408
Capital One Financial Corp. 109,028 9,448
CME Group Inc. 77,035 9,152
Marsh & McLennan Cos. Inc. 116,771 8,628
BB&T Corp. 183,290 8,193
Intercontinental Exchange Inc. 135,125 8,090
S&P Global Inc. 58,645 7,667
Travelers Cos. Inc. 63,251 7,624
Aon plc 59,386 7,049
Allstate Corp. 82,584 6,730
Aflac Inc. 91,064 6,595
State Street Corp. 81,400 6,480
SunTrust Banks Inc. 111,531 6,168
Synchrony Financial 174,639 5,990
Discover Financial Services 87,143 5,960
M&T Bank Corp. 34,859 5,394
* Berkshire Hathaway Inc. Class A 21 5,247
Progressive Corp. 131,179 5,140
Ameriprise Financial Inc. 34,927 4,529
KeyCorp 242,682 4,315
Fifth Third Bancorp 169,714 4,311
Northern Trust Corp. 48,847 4,229
Moody's Corp. 37,540 4,206
Hartford Financial Services Group Inc. 84,864 4,079
Citizens Financial Group Inc. 115,015 3,974
Regions Financial Corp. 273,253 3,970
Principal Financial Group Inc. 60,664 3,828
Willis Towers Watson plc 28,931 3,787
T. Rowe Price Group Inc. 55,239 3,765
Lincoln National Corp. 51,350 3,361
Franklin Resources Inc. 78,324 3,301
Huntington Bancshares Inc. 245,345 3,285
Loews Corp. 62,627 2,929
Invesco Ltd. 91,554 2,804
Comerica Inc. 39,628 2,718
Cincinnati Financial Corp. 34,015 2,458
Unum Group 51,923 2,435
XL Group Ltd. 60,843 2,425
Arthur J Gallagher & Co. 40,374 2,283
Raymond James Financial Inc. 28,792 2,196

 

 

* E*TRADE Financial Corp. 62,151 2,168
Affiliated Managers Group Inc. 12,808 2,100
Zions Bancorporation 46,095 1,936
Leucadia National Corp. 74,314 1,932
Torchmark Corp. 24,634 1,898
Nasdaq Inc. 26,017 1,807
CBOE Holdings Inc. 20,897 1,694
People's United Financial Inc. 74,647 1,359
Assurant Inc. 12,887 1,233
Navient Corp. 67,635 998
Suffolk Bancorp 1,322 53
    660,171
Health Care (13.8%)    
Johnson & Johnson 615,150 76,617
Pfizer Inc. 1,349,170 46,155
Merck & Co. Inc. 622,461 39,551
UnitedHealth Group Inc. 218,100 35,771
Amgen Inc. 166,946 27,391
Medtronic plc 310,347 25,002
AbbVie Inc. 361,374 23,547
* Celgene Corp. 176,380 21,947
Bristol-Myers Squibb Co. 379,196 20,621
Gilead Sciences Inc. 296,338 20,127
Eli Lilly & Co. 220,109 18,513
Allergan plc 75,989 18,155
Abbott Laboratories 391,729 17,397
Thermo Fisher Scientific Inc. 88,539 13,600
* Biogen Inc. 48,948 13,383
Danaher Corp. 138,392 11,837
Aetna Inc. 79,786 10,177
Anthem Inc. 59,958 9,916
Stryker Corp. 70,188 9,240
* Express Scripts Holding Co. 137,310 9,050
Becton Dickinson and Co. 48,147 8,832
Cigna Corp. 58,309 8,542
* Boston Scientific Corp. 309,162 7,689
McKesson Corp. 47,974 7,113
Humana Inc. 33,864 6,981
* Regeneron Pharmaceuticals Inc. 17,243 6,682
* Intuitive Surgical Inc. 8,302 6,363
* Alexion Pharmaceuticals Inc. 50,803 6,159
* Vertex Pharmaceuticals Inc. 56,185 6,144
Zoetis Inc. 111,171 5,933
* HCA Holdings Inc. 65,480 5,827
Cardinal Health Inc. 71,369 5,820
Baxter International Inc. 110,193 5,715
* Illumina Inc. 33,262 5,676
Zimmer Biomet Holdings Inc. 45,515 5,558
* Incyte Corp. 40,006 5,348
* Edwards Lifesciences Corp. 48,222 4,536
CR Bard Inc. 16,334 4,060
* Mylan NV 104,032 4,056
* Cerner Corp. 66,576 3,918
Agilent Technologies Inc. 72,731 3,845
AmerisourceBergen Corp. Class A 37,506 3,319
* Laboratory Corp. of America Holdings 23,078 3,311
Dentsply Sirona Inc. 52,004 3,247

 

 

* IDEXX Laboratories Inc. 20,070 3,103
* Henry Schein Inc. 17,950 3,051
Quest Diagnostics Inc. 30,980 3,042
* Waters Corp. 18,107 2,830
* Mettler-Toledo International Inc. 5,858 2,805
* Centene Corp. 38,903 2,772
* Hologic Inc. 63,169 2,688
Universal Health Services Inc. Class B 20,152 2,508
* DaVita Inc. 35,604 2,420
Cooper Cos. Inc. 11,107 2,220
Perrigo Co. plc 32,554 2,161
* Varian Medical Systems Inc. 21,272 1,939
* Envision Healthcare Corp. 26,393 1,618
PerkinElmer Inc. 24,856 1,443
* Mallinckrodt plc 23,761 1,059
Patterson Cos. Inc. 19,000 859
    639,189
Industrials (10.0%)    
General Electric Co. 1,977,742 58,937
3M Co. 135,237 25,875
Boeing Co. 129,156 22,843
Honeywell International Inc. 172,623 21,555
Union Pacific Corp. 184,566 19,549
United Technologies Corp. 169,938 19,069
United Parcel Service Inc. Class B 156,295 16,770
Lockheed Martin Corp. 56,596 15,145
Caterpillar Inc. 133,033 12,340
General Dynamics Corp. 64,532 12,080
FedEx Corp. 55,655 10,861
Raytheon Co. 66,410 10,128
CSX Corp. 210,049 9,778
Northrop Grumman Corp. 39,587 9,415
Illinois Tool Works Inc. 70,710 9,367
Johnson Controls International plc 212,832 8,965
Emerson Electric Co. 146,310 8,758
Delta Air Lines Inc. 165,732 7,617
Eaton Corp. plc 101,977 7,562
Southwest Airlines Co. 139,489 7,499
Norfolk Southern Corp. 65,961 7,386
Deere & Co. 66,491 7,238
Waste Management Inc. 91,735 6,689
PACCAR Inc. 79,330 5,331
Cummins Inc. 34,984 5,290
Parker-Hannifin Corp. 30,312 4,860
American Airlines Group Inc. 114,308 4,835
Ingersoll-Rand plc 58,679 4,772
Roper Technologies Inc. 23,017 4,753
Stanley Black & Decker Inc. 34,627 4,601
* United Continental Holdings Inc. 64,905 4,585
Rockwell Automation Inc. 29,056 4,524
Fortive Corp. 68,046 4,098
Equifax Inc. 27,220 3,722
Fastenal Co. 65,668 3,382
Republic Services Inc. Class A 52,002 3,266
Nielsen Holdings plc 76,245 3,150
Textron Inc. 61,290 2,917
L3 Technologies Inc. 17,581 2,906

 

 

Rockwell Collins Inc. 29,561 2,872
WW Grainger Inc. 12,300 2,863
* Verisk Analytics Inc. Class A 35,172 2,854
Dover Corp. 35,054 2,817
AMETEK Inc. 52,004 2,812
Arconic Inc. 99,559 2,622
Alaska Air Group Inc. 27,914 2,574
TransDigm Group Inc. 11,238 2,474
CH Robinson Worldwide Inc. 31,982 2,472
Cintas Corp. 19,450 2,461
Masco Corp. 72,055 2,449
Pentair plc 37,974 2,384
* United Rentals Inc. 19,058 2,383
Expeditors International of Washington Inc. 40,558 2,291
Snap-on Inc. 13,036 2,199
Fortune Brands Home & Security Inc. 34,633 2,107
Kansas City Southern 24,257 2,080
Xylem Inc. 40,848 2,051
Acuity Brands Inc. 10,008 2,042
JB Hunt Transport Services Inc. 19,680 1,805
Fluor Corp. 31,276 1,646
Allegion plc 21,593 1,635
* Stericycle Inc. 19,312 1,601
Jacobs Engineering Group Inc. 27,372 1,513
Flowserve Corp. 29,644 1,435
Robert Half International Inc. 28,739 1,403
* Quanta Services Inc. 34,894 1,295
Ryder System Inc. 12,283 927
Dun & Bradstreet Corp. 8,367 903
    463,388
Information Technology (22.0%)    
Apple Inc. 1,189,359 170,863
Microsoft Corp. 1,751,744 115,370
* Facebook Inc. Class A 533,888 75,839
* Alphabet Inc. Class A 67,352 57,101
* Alphabet Inc. Class C 66,991 55,573
Intel Corp. 1,071,789 38,659
Cisco Systems Inc. 1,135,243 38,371
Visa Inc. Class A 421,258 37,437
International Business Machines Corp. 194,652 33,897
Oracle Corp. 679,377 30,307
Mastercard Inc. Class A 213,650 24,029
Broadcom Ltd. 90,914 19,907
QUALCOMM Inc. 334,863 19,201
Texas Instruments Inc. 226,669 18,260
Accenture plc Class A 141,165 16,923
* Adobe Systems Inc. 112,379 14,624
NVIDIA Corp. 133,606 14,554
* salesforce.com Inc. 148,520 12,251
* PayPal Holdings Inc. 254,574 10,952
Automatic Data Processing Inc. 101,833 10,427
Applied Materials Inc. 244,804 9,523
* Yahoo! Inc. 198,979 9,235
Hewlett Packard Enterprise Co. 377,440 8,945
* Cognizant Technology Solutions Corp. Class A 138,044 8,216
Activision Blizzard Inc. 156,815 7,819
* eBay Inc. 229,174 7,693

 

 

HP Inc. 383,240 6,852
* Micron Technology Inc. 234,999 6,792
Analog Devices Inc. 82,612 6,770
Intuit Inc. 55,159 6,398
* Electronic Arts Inc. 69,960 6,263
TE Connectivity Ltd. 80,679 6,015
Fidelity National Information Services Inc. 74,674 5,946
Corning Inc. 210,388 5,681
* Fiserv Inc. 48,530 5,596
Western Digital Corp. 65,398 5,397
Amphenol Corp. Class A 69,500 4,946
Lam Research Corp. 36,925 4,740
Symantec Corp. 139,652 4,285
Paychex Inc. 72,099 4,247
Skyworks Solutions Inc. 41,887 4,104
* Autodesk Inc. 44,471 3,845
Microchip Technology Inc. 48,907 3,608
* Red Hat Inc. 40,468 3,501
KLA-Tencor Corp. 35,493 3,374
Xilinx Inc. 56,576 3,275
Motorola Solutions Inc. 37,223 3,209
Alliance Data Systems Corp. 12,699 3,162
Harris Corp. 28,159 3,133
Seagate Technology plc 66,750 3,066
* Citrix Systems Inc. 35,496 2,960
Global Payments Inc. 34,705 2,800
NetApp Inc. 61,673 2,581
* Advanced Micro Devices Inc. 173,681 2,527
* Synopsys Inc. 34,222 2,468
Juniper Networks Inc. 86,671 2,412
* Akamai Technologies Inc. 39,052 2,331
CA Inc. 71,147 2,257
Western Union Co. 109,099 2,220
* F5 Networks Inc. 14,606 2,082
Total System Services Inc. 37,148 1,986
* Qorvo Inc. 28,749 1,971
* VeriSign Inc. 20,250 1,764
Xerox Corp. 191,944 1,409
FLIR Systems Inc. 31,063 1,127
CSRA Inc. 33,514 982
* Teradata Corp. 30,008 934
Computer Sciences Corp. 5,539 382
    1,015,374
Materials (2.8%)    
Dow Chemical Co. 253,048 16,079
EI du Pont de Nemours & Co. 196,012 15,746
Monsanto Co. 99,480 11,261
Praxair Inc. 64,634 7,666
Ecolab Inc. 59,375 7,442
LyondellBasell Industries NV Class A 74,896 6,830
Air Products & Chemicals Inc. 49,235 6,661
PPG Industries Inc. 58,146 6,110
Sherwin-Williams Co. 18,343 5,690
International Paper Co. 92,906 4,718
Nucor Corp. 72,060 4,303
* Freeport-McMoRan Inc. 300,390 4,013
Newmont Mining Corp. 120,081 3,958

 

 

Vulcan Materials Co. 30,077 3,624
Martin Marietta Materials Inc. 14,254 3,111
WestRock Co. 56,840 2,957
Ball Corp. 39,772 2,953
Albemarle Corp. 25,540 2,698
Eastman Chemical Co. 33,006 2,667
International Flavors & Fragrances Inc. 17,942 2,378
Mosaic Co. 79,443 2,318
FMC Corp. 30,094 2,094
Sealed Air Corp. 43,496 1,896
Avery Dennison Corp. 20,428 1,646
CF Industries Holdings Inc. 53,465 1,569
    130,388
Real Estate (2.9%)    
Simon Property Group Inc. 72,498 12,472
American Tower Corporation 96,840 11,770
Crown Castle International Corp. 81,529 7,700
Public Storage 33,859 7,412
Equinix Inc. 17,624 7,056
Prologis Inc. 119,621 6,206
Welltower Inc. 81,931 5,802
Weyerhaeuser Co. 169,225 5,750
AvalonBay Communities Inc. 31,220 5,732
Ventas Inc. 80,097 5,210
Equity Residential 83,304 5,183
Boston Properties Inc. 34,787 4,606
Vornado Realty Trust 38,894 3,901
Digital Realty Trust Inc. 36,041 3,834
Realty Income Corp. 61,609 3,668
Essex Property Trust Inc. 14,807 3,428
HCP Inc. 105,831 3,310
Host Hotels & Resorts Inc. 167,618 3,128
* GGP Inc. 132,482 3,071
Mid-America Apartment Communities Inc. 25,747 2,620
SL Green Realty Corp. 22,654 2,415
* CBRE Group Inc. Class A 68,216 2,373
Alexandria Real Estate Equities Inc. 20,010 2,212
Regency Centers Corp. 33,181 2,203
UDR Inc. 60,678 2,200
Federal Realty Investment Trust 16,298 2,176
Extra Space Storage Inc. 28,582 2,126
Kimco Realty Corp. 96,222 2,126
Iron Mountain Inc. 55,069 1,964
Macerich Co. 27,477 1,770
Apartment Investment & Management Co. 35,233 1,563
    134,987
Telecommunication Services (2.4%)    
AT&T Inc. 1,392,226 57,847
Verizon Communications Inc. 924,108 45,050
* Level 3 Communications Inc. 66,065 3,780
CenturyLink Inc. 123,574 2,913
Frontier Communications Corp. 9,870 21
    109,611
Utilities (3.2%)    
NextEra Energy Inc. 106,089 13,619
Duke Energy Corp. 158,612 13,008

 

 

  Southern Co.     224,692 11,185
  Dominion Resources Inc.     142,468 11,051
  PG&E Corp.     114,925 7,626
  Exelon Corp.     210,123 7,560
  American Electric Power Co. Inc.     111,463 7,483
  Sempra Energy     56,911 6,289
  Edison International     74,013 5,892
  PPL Corp.     154,269 5,768
  Consolidated Edison Inc.     68,967 5,356
  Xcel Energy Inc.     114,640 5,096
  Public Service Enterprise Group Inc.     114,387 5,073
  WEC Energy Group Inc.     71,602 4,341
  Eversource Energy     71,834 4,222
  DTE Energy Co.     40,548 4,140
  FirstEnergy Corp.     99,702 3,173
  American Water Works Co. Inc.     40,485 3,149
  Entergy Corp.     40,593 3,083
  Ameren Corp.     54,811 2,992
  CMS Energy Corp.     63,260 2,830
  CenterPoint Energy Inc.     97,689 2,693
  SCANA Corp.     32,451 2,121
  Pinnacle West Capital Corp.     25,257 2,106
  Alliant Energy Corp.     51,753 2,050
  NiSource Inc.     73,551 1,750
  AES Corp.     148,070 1,655
  NRG Energy Inc.     71,474 1,337
          146,648
Total Common Stocks (Cost $3,230,320)       4,596,439
    Coupon      
Temporary Cash Investments (0.9%)1        
Money Market Fund (0.8%)        
2,3 Vanguard Market Liquidity Fund 0.965%   383,118 38,319
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.1%)      
4 United States Treasury Bill 0.557% 4/27/17 700 700
4 United States Treasury Bill 0.587% 5/18/17 300 300
4 United States Treasury Bill 0.577%–0.607% 5/25/17 400 399
4 United States Treasury Bill 0.724%–0.759% 6/15/17 200 200
          1,599
Total Temporary Cash Investments (Cost $39,916)     39,918
Total Investments (100.4%) (Cost $3,270,236)       4,636,357
Other Assets and Liabilities-Net (-0.4%)3       (17,691)
Net Assets (100%)       4,618,666

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $859,000.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 100.0% and 0.4%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $902,000 of collateral received for securities on loan.

 

4 Securities with a value of $1,099,000 have been segregated as initial margin for open futures contracts.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 portfolio's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 4,596,439 — —
Temporary Cash Investments 38,319 1,599 —
Futures Contracts—Liabilities1 (51) — —
Total 4,634,707 1,599 —

1 Represents variation margin on the last day of the reporting period.

C. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The portfolio may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’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 March 31, 2017, 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 June 2017 190 22,412 (57)

 

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

D. At March 31, 2017, the cost of investment securities for tax purposes was $3,270,236,000. Net unrealized appreciation of investment securities for tax purposes was $1,366,121,000, consisting of unrealized gains of $1,537,735,000 on securities that had risen in value since their purchase and $171,614,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Mid-Cap Index Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Common Stocks (99.6%)1    
Basic Materials (4.5%)    
Newmont Mining Corp. 244,312 8,053
* Freeport-McMoRan Inc. 596,573 7,970
Celanese Corp. Class A 64,941 5,835
Albemarle Corp. 51,764 5,468
Arconic Inc. 201,902 5,318
Eastman Chemical Co. 64,161 5,184
Mosaic Co. 161,249 4,705
International Flavors & Fragrances Inc. 32,833 4,352
FMC Corp. 61,562 4,284
Ashland Global Holdings Inc. 28,664 3,549
Avery Dennison Corp. 40,562 3,269
* Axalta Coating Systems Ltd. 99,399 3,201
CF Industries Holdings Inc. 107,030 3,141
Reliance Steel & Aluminum Co. 31,656 2,533
WR Grace & Co. 31,316 2,183
* Alcoa Corp. 37,767 1,299
Westlake Chemical Corp. 17,902 1,183
    71,527
Consumer Goods (12.9%)    
* Electronic Arts Inc. 141,852 12,699
Newell Brands Inc. 221,931 10,469
Dr Pepper Snapple Group Inc. 84,248 8,250
Conagra Brands Inc. 200,235 8,078
Clorox Co. 59,047 7,961
Molson Coors Brewing Co. Class B 80,524 7,707
JM Smucker Co. 50,880 6,669
* Mohawk Industries Inc. 29,017 6,659
Genuine Parts Co. 65,001 6,007
Church & Dwight Co. Inc. 118,977 5,933
Whirlpool Corp. 34,287 5,874
DR Horton Inc. 163,332 5,441
Coach Inc. 128,939 5,329
Hasbro Inc. 51,444 5,135
McCormick & Co. Inc. 52,342 5,106
Bunge Ltd. 64,169 5,086
Delphi Automotive plc 62,110 4,999
Harley-Davidson Inc. 81,210 4,913
Lennar Corp. Class A 92,887 4,755
* WhiteWave Foods Co. Class A 81,427 4,572
Lear Corp. 31,981 4,528
Snap-on Inc. 26,721 4,507
Hormel Foods Corp. 121,808 4,218
BorgWarner Inc. 97,682 4,082
Mattel Inc. 157,285 4,028
* LKQ Corp. 134,229 3,929
Leucadia National Corp. 148,822 3,869
Tyson Foods Inc. Class A 62,606 3,863
PVH Corp. 36,497 3,776

 

 

Coty Inc. Class A 205,932 3,734
Hanesbrands Inc. 174,015 3,613
* NVR Inc. 1,620 3,413
PulteGroup Inc. 131,423 3,095
Lamb Weston Holdings Inc. 67,045 2,820
* WABCO Holdings Inc. 23,862 2,802
* Michael Kors Holdings Ltd. 70,855 2,700
* Lululemon Athletica Inc. 43,978 2,281
^ Polaris Industries Inc. 26,081 2,186
Ralph Lauren Corp. Class A 25,819 2,107
Goodyear Tire & Rubber Co. 57,810 2,081
Ingredion Inc. 16,558 1,994
* Under Armour Inc. Class A 84,970 1,681
* Under Armour Inc. 86,591 1,585
* Edgewell Personal Care Co. 13,175 964
^ Pilgrim's Pride Corp. 23,322 525
Lennar Corp. Class B 4,820 201
    206,224
Consumer Services (11.1%)    
* Dollar Tree Inc. 103,148 8,093
* Ulta Beauty Inc. 27,197 7,757
Royal Caribbean Cruises Ltd. 78,973 7,748
Expedia Inc. 56,768 7,162
Nielsen Holdings plc 164,473 6,794
MGM Resorts International 237,186 6,499
Best Buy Co. Inc. 122,831 6,037
Ross Stores Inc. 90,626 5,970
* Chipotle Mexican Grill Inc. Class A 13,221 5,890
Alaska Air Group Inc. 56,724 5,231
Tiffany & Co. 54,331 5,178
* CarMax Inc. 86,064 5,097
Darden Restaurants Inc. 57,286 4,793
Advance Auto Parts Inc. 32,144 4,766
Foot Locker Inc. 60,897 4,556
Interpublic Group of Cos. Inc. 180,373 4,432
Whole Foods Market Inc. 146,330 4,349
Wynn Resorts Ltd. 37,492 4,297
Aramark 113,787 4,195
Macy's Inc. 140,768 4,172
Tractor Supply Co. 60,469 4,171
* United Continental Holdings Inc. 58,300 4,118
Wyndham Worldwide Corp. 48,395 4,079
* Liberty Interactive Corp. QVC Group Class A 190,938 3,823
* Norwegian Cruise Line Holdings Ltd. 73,044 3,706
AmerisourceBergen Corp. Class A 37,508 3,320
Kohl's Corp. 81,046 3,227
* Liberty Media Corp-Liberty SiriusXM Class C 81,825 3,173
FactSet Research Systems Inc. 18,255 3,011
News Corp. Class A 230,453 2,996
Scripps Networks Interactive Inc. Class A 37,187 2,914
* Discovery Communications Inc. 102,376 2,898
Gap Inc. 110,024 2,673
Staples Inc. 302,429 2,652
^ Nordstrom Inc. 55,709 2,594
Bed Bath & Beyond Inc. 65,543 2,586
Signet Jewelers Ltd. 32,095 2,223
* TripAdvisor Inc. 51,258 2,212

 

 

* Discovery Communications Inc. Class A 70,692 2,056
* Liberty Media Corp-Liberty SiriusXM Class A 40,253 1,567
* AutoNation Inc. 32,971 1,394
H&R Block Inc. 47,535 1,105
* Rite Aid Corp. 243,749 1,036
Williams-Sonoma Inc. 18,086 970
* Hyatt Hotels Corp. Class A 15,530 838
    178,358
Financials (22.9%)    
Equinix Inc. 35,360 14,157
M&T Bank Corp. 63,874 9,883
KeyCorp 497,139 8,839
Moody's Corp. 74,730 8,373
Principal Financial Group Inc. 132,405 8,356
Hartford Financial Services Group Inc. 173,756 8,352
Regions Financial Corp. 566,198 8,227
Citizens Financial Group Inc. 235,486 8,136
Willis Towers Watson plc 59,789 7,826
Digital Realty Trust Inc. 73,224 7,790
Equifax Inc. 55,167 7,544
Realty Income Corp. 124,046 7,384
Essex Property Trust Inc. 30,156 6,982
Lincoln National Corp. 103,621 6,782
* SBA Communications Corp. Class A 56,201 6,765
Huntington Bancshares Inc. 499,818 6,693
* IHS Markit Ltd. 159,214 6,679
First Republic Bank 70,736 6,636
Host Hotels & Resorts Inc. 340,615 6,356
* Markel Corp. 6,118 5,970
AvalonBay Communities Inc. 31,577 5,798
* Liberty Broadband Corp. 66,815 5,773
Invesco Ltd. 185,907 5,694
Comerica Inc. 80,887 5,547
Mid-America Apartment Communities Inc. 52,266 5,318
Cincinnati Financial Corp. 72,077 5,209
Annaly Capital Management Inc. 468,127 5,201
* Arch Capital Group Ltd. 53,743 5,093
Unum Group 105,585 4,951
SL Green Realty Corp. 46,315 4,938
XL Group Ltd. 121,738 4,852
Arthur J Gallagher & Co. 82,119 4,643
FNF Group 118,957 4,632
* CBRE Group Inc. Class A 131,741 4,583
Raymond James Financial Inc. 59,422 4,532
Alexandria Real Estate Equities Inc. 40,891 4,519
Western Union Co. 220,988 4,497
UDR Inc. 122,822 4,454
Federal Realty Investment Trust 33,208 4,433
Regency Centers Corp. 66,496 4,415
* E*TRADE Financial Corp. 126,531 4,415
Ally Financial Inc. 216,785 4,407
Duke Realty Corp. 163,375 4,292
Macerich Co. 66,054 4,254
* Alleghany Corp. 6,731 4,137
Affiliated Managers Group Inc. 25,226 4,136
Iron Mountain Inc. 115,112 4,106
Kimco Realty Corp. 185,474 4,097

 

 

MSCI Inc. Class A 42,113 4,093
Extra Space Storage Inc. 54,898 4,084
Torchmark Corp. 51,852 3,995
CIT Group Inc. 92,802 3,984
Zions Bancorporation 93,593 3,931
VEREIT Inc. 447,623 3,800
Reinsurance Group of America Inc. Class A 29,574 3,755
Nasdaq Inc. 53,206 3,695
SEI Investments Co. 65,808 3,319
Voya Financial Inc. 87,014 3,303
Everest Re Group Ltd. 14,080 3,292
Camden Property Trust 40,219 3,236
AGNC Investment Corp. 152,115 3,026
Brixmor Property Group Inc. 139,852 3,001
WR Berkley Corp. 42,221 2,982
New York Community Bancorp Inc. 212,613 2,970
People's United Financial Inc. 158,117 2,878
Lazard Ltd. Class A 59,584 2,740
Axis Capital Holdings Ltd. 39,692 2,661
Jones Lang LaSalle Inc. 20,750 2,313
* SVB Financial Group 11,969 2,227
* Athene Holding Ltd. Class A 39,836 1,991
Assurant Inc. 12,764 1,221
Navient Corp. 69,823 1,031
* Liberty Broadband Corp. Class A 11,612 988
* Invitation Homes Inc. 43,335 946
* Santander Consumer USA Holdings Inc. 24,438 326
    366,444
Health Care (8.1%)    
* Incyte Corp. 69,692 9,316
* Edwards Lifesciences Corp. 97,770 9,197
CR Bard Inc. 33,129 8,234
* BioMarin Pharmaceutical Inc. 79,160 6,949
* Laboratory Corp. of America Holdings 47,407 6,801
Dentsply Sirona Inc. 106,191 6,630
* IDEXX Laboratories Inc. 40,492 6,260
Quest Diagnostics Inc. 63,374 6,223
* Henry Schein Inc. 36,488 6,202
* Waters Corp. 35,199 5,502
* Hologic Inc. 128,579 5,471
* Centene Corp. 75,343 5,369
* Quintiles IMS Holdings Inc. 65,146 5,246
Universal Health Services Inc. Class B 41,276 5,137
* DaVita Inc. 72,561 4,932
ResMed Inc. 65,258 4,697
Cooper Cos. Inc. 22,508 4,499
Perrigo Co. plc 62,566 4,154
* Alkermes plc 70,542 4,127
* Varian Medical Systems Inc. 42,925 3,912
* Jazz Pharmaceuticals plc 26,127 3,792
* Mallinckrodt plc 48,112 2,144
* Envision Healthcare Corp. 27,290 1,673
* Seattle Genetics Inc. 21,400 1,345
* TESARO Inc. 8,590 1,322
    129,134

 

 

Industrials (16.3%)    
* Fiserv Inc. 98,700 11,381
Amphenol Corp. Class A 141,513 10,072
Roper Technologies Inc. 46,656 9,634
Vulcan Materials Co. 60,990 7,348
Waste Connections Inc. 80,665 7,116
Fastenal Co. 133,072 6,853
Martin Marietta Materials Inc. 29,213 6,376
Alliance Data Systems Corp. 25,264 6,291
* FleetCor Technologies Inc. 40,547 6,140
WestRock Co. 115,335 6,001
Ball Corp. 80,529 5,980
Rockwell Collins Inc. 60,190 5,848
Dover Corp. 71,513 5,746
* Mettler-Toledo International Inc. 11,948 5,722
AMETEK Inc. 105,696 5,716
Global Payments Inc. 70,061 5,653
* Verisk Analytics Inc. Class A 68,969 5,596
WW Grainger Inc. 23,315 5,427
Textron Inc. 111,955 5,328
L3 Technologies Inc. 32,229 5,327
CH Robinson Worldwide Inc. 65,070 5,029
Masco Corp. 147,193 5,003
Cintas Corp. 38,701 4,897
* United Rentals Inc. 38,814 4,854
TransDigm Group Inc. 21,900 4,822
* Vantiv Inc. Class A 74,051 4,748
Pentair plc 75,155 4,718
Expeditors International of Washington Inc. 82,842 4,680
Fortune Brands Home & Security Inc. 71,038 4,323
Kansas City Southern 49,081 4,209
Xylem Inc. 82,440 4,140
Acuity Brands Inc. 20,262 4,133
Total System Services Inc. 76,000 4,063
Sealed Air Corp. 89,131 3,884
JB Hunt Transport Services Inc. 40,974 3,759
* Trimble Inc. 115,070 3,683
* Sensata Technologies Holding NV 78,481 3,427
* Crown Holdings Inc. 64,369 3,408
Fluor Corp. 64,020 3,369
* Stericycle Inc. 39,080 3,239
ManpowerGroup Inc. 31,113 3,191
Owens Corning 51,634 3,169
Wabtec Corp. 39,686 3,096
Jacobs Engineering Group Inc. 55,588 3,073
Hubbell Inc. Class B 25,450 3,055
* Arrow Electronics Inc. 40,934 3,005
B/E Aerospace Inc. 46,761 2,998
Macquarie Infrastructure Corp. 36,135 2,912
Xerox Corp. 395,916 2,906
Flowserve Corp. 59,906 2,901
Robert Half International Inc. 55,745 2,722
Avnet Inc. 59,348 2,716
Allison Transmission Holdings Inc. 72,217 2,604
* First Data Corp. Class A 155,836 2,415
Huntington Ingalls Industries Inc. 10,577 2,118

 

 

  FLIR Systems Inc. 31,367 1,138
      261,962
Oil & Gas (4.6%)    
* Concho Resources Inc. 68,167 8,749
  National Oilwell Varco Inc. 174,395 6,991
  Marathon Oil Corp. 390,010 6,162
  Cimarex Energy Co. 43,729 5,225
  Cabot Oil & Gas Corp. 213,705 5,110
  EQT Corp. 79,880 4,881
  Devon Energy Corp. 114,711 4,786
  Tesoro Corp. 53,747 4,357
* Cheniere Energy Inc. 91,724 4,336
  Range Resources Corp. 114,625 3,336
  OGE Energy Corp. 91,734 3,209
  Helmerich & Payne Inc. 44,878 2,987
  Targa Resources Corp. 42,335 2,536
  Core Laboratories NV 20,267 2,341
* Antero Resources Corp. 102,164 2,330
  HollyFrontier Corp. 82,105 2,327
* Weatherford International plc 228,096 1,517
* Energen Corp. 22,455 1,222
  Murphy Oil Corp. 37,752 1,079
* Continental Resources Inc. 21,615 982
      74,463
Technology (13.3%)    
  Western Digital Corp. 132,667 10,949
  Lam Research Corp. 74,920 9,617
  Symantec Corp. 284,621 8,732
* Autodesk Inc. 97,292 8,413
  Skyworks Solutions Inc. 85,102 8,338
* Cerner Corp. 136,493 8,033
  Microchip Technology Inc. 99,555 7,345
* Red Hat Inc. 82,126 7,104
* Micron Technology Inc. 241,095 6,968
  KLA-Tencor Corp. 72,086 6,853
* ServiceNow Inc. 76,318 6,676
  Xilinx Inc. 114,672 6,638
* Dell Technologies Inc. Class V 102,549 6,571
  Motorola Solutions Inc. 75,781 6,534
  Harris Corp. 57,376 6,384
  Seagate Technology plc 135,787 6,237
  Maxim Integrated Products Inc. 130,047 5,847
* Citrix Systems Inc. 68,324 5,698
* Advanced Micro Devices Inc. 367,463 5,347
  NetApp Inc. 126,527 5,295
* Synopsys Inc. 69,237 4,994
* Workday Inc. Class A 57,529 4,791
  Juniper Networks Inc. 165,998 4,620
* Akamai Technologies Inc. 75,806 4,526
* Palo Alto Networks Inc. 40,082 4,516
  CDK Global Inc. 66,716 4,337
* F5 Networks Inc. 29,834 4,253
* ANSYS Inc. 39,291 4,199
* Qorvo Inc. 58,245 3,993
* Twitter Inc. 262,780 3,929
* Gartner Inc. 36,157 3,905

 

 

* Splunk Inc.     62,485 3,892
* VeriSign Inc.     40,040 3,488
  Marvell Technology Group Ltd.     174,995 2,670
  LogMeIn Inc.     24,466 2,385
  CA Inc.     72,125 2,288
  Computer Sciences Corp.     32,779 2,262
  Garmin Ltd.     43,250 2,211
* Nuance Communications Inc.     67,012 1,160
* Premier Inc. Class A     23,232 739
          212,737
Telecommunications (0.8%)        
* Level 3 Communications Inc.     132,507 7,582
  CenturyLink Inc.     125,585 2,960
* Zayo Group Holdings Inc.     72,980 2,401
  Frontier Communications Corp.     9,841 21
          12,964
Utilities (5.1%)        
  WEC Energy Group Inc.     145,197 8,803
  Eversource Energy     145,780 8,569
  DTE Energy Co.     82,576 8,432
  American Water Works Co. Inc.     82,069 6,382
  Entergy Corp.     82,495 6,266
  Ameren Corp.     111,774 6,102
  CMS Energy Corp.     128,910 5,767
  ONEOK Inc.     96,880 5,371
  CenterPoint Energy Inc.     188,016 5,184
  Pinnacle West Capital Corp.     51,219 4,271
  Alliant Energy Corp.     104,746 4,149
  SCANA Corp.     59,180 3,867
  NiSource Inc.     149,749 3,563
  AES Corp.     302,902 3,386
  Avangrid Inc.     28,516 1,219
          81,331
Total Common Stocks (Cost $1,238,796)       1,595,144
    Coupon      
Temporary Cash Investments (0.5%)1        
Money Market Fund (0.5%)        
2,3 Vanguard Market Liquidity Fund 0.965%   82,592 8,261
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4 United States Treasury Bill 0.618% 5/25/17 100 100
4 United States Treasury Bill 0.551% 6/8/17 100 100
4 United States Treasury Bill 0.724% 6/15/17 100 99
          299
Total Temporary Cash Investments (Cost $8,560)       8,560
Total Investments (100.1%) (Cost $1,247,356)       1,603,704
Other Asset and Liabilities-Net (-0.1%)3       (2,036)
Net Assets (100%)       1,601,668

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,406,000.

 

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective common stock and temporary cash investment
positions represent 99.9% and 0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $1,444,000 of collateral received for securities on loan.
4 Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 portfolio's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,595,144 — —
Temporary Cash Investments 8,261 299 —
Futures Contracts—Assets1 1 — —
Futures Contracts—Liabilities1 (2) — —
Total 1,603,404 299 —

1 Represents variation margin on the last day of the reporting period.

C. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The portfolio may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’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 March 31, 2017, 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 June 2017 7 826 (5)
E-mini S&P Mid-Cap 400 Index June 2017 29 4,983 9
        4

 

D. At March 31, 2017, the cost of investment securities for tax purposes was $1,247,356,000. Net unrealized appreciation of investment securities for tax purposes was $356,348,000, consisting of unrealized gains of $405,199,000 on securities that had risen in value since their purchase and $48,851,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Moderate Allocation Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Investment Companies (99.9%)    
U.S. Stock Funds (42.4%)    
Vanguard Variable Insurance Fund - Equity Index Portfolio 3,125,907 112,158
Vanguard Extended Market Index Fund Investor Shares 319,227 24,213
    136,371
International Stock Fund (17.6%)    
Vanguard Total International Stock Index Fund Investor Shares 3,550,381 56,522
 
U.S. Bond Fund (32.0%)    
Vanguard Variable Insurance Fund - Total Bond Market Index Portfolio 8,910,074 102,911
 
International Bond Fund (7.9%)    
Vanguard Total International Bond Index Fund Investor Shares 2,364,997 25,566
 
Total Investment Companies (Cost $307,777)   321,370
Money Market Fund (0.0%)    
1 Vanguard Market Liquidity Fund, 0.965% (Cost $132) 1,315 132
Total Investments (99.9%) (Cost $307,909)   321,502
Other Assets and Liabilities-Net (0.1%)   250
Net Assets (100%)   321,752

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: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

At March 31, 2017, 100% of the market value of the portfolio's investments was determined based on Level 1 inputs.

C. At March 31, 2017, the cost of investment securities for tax purposes was $307,909,000. Net unrealized appreciation of investment securities for tax purposes was $13,593,000, consisting of unrealized gains of $18,198,000 on securities that had risen in value since their purchase and $4,605,000 in unrealized losses on securities that had fallen in value since their purchase.

 

D. Transactions during the period in affiliated underlying Vanguard funds were as follows:

    Current Period Transactions  
      Proceeds     March 31,
  Dec. 31, 2016   from   Capital Gain 2017
  Market Purchases Securities   Distributions Market
  Value at Cost Sold1 Income Received Value
  ($000) ($000) ($000) ($000) ($000) ($000)
Vanguard Extended Market Index            
Fund 22,557 1,262 574 63 — 24,213
Vanguard Market Liquidity Fund — NA2 NA2 — — 132
Vanguard Total International            
Bond Index Fund 23,533 2,095 — 60 — 25,566
Vanguard Total International            
Stock Index Fund 53,104 2,538 3,406 176 — 56,522
Vanguard Variable Insurance            
Fund- Equity Index Portfolio 100,103 13,475 2,016 2,033 3,473 112,158
Vanguard Variable Insurance            
Fund- Total Bond Market Index            
Portfolio 94,261 13,811 3,233 2,449 330 102,911
Total 293,558 33,181 9,229 4,781 3,803 321,502

1 Includes net realized gain (loss) on affiliated investment securities sold of $1,129,000.
2 Not applicable—purchases and sales are for temporary cash investment purposes.


Vanguard REIT Index Portfolio

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

    Market
    Value
  Shares ($000)
Equity Real Estate Investment Trusts (REITs) (99.8%)1    
Diversified REITs (7.6%)    
VEREIT Inc. 1,270,543 10,787
Colony NorthStar Inc. Class A 686,133 8,858
WP Carey Inc. 130,914 8,145
Liberty Property Trust 190,649 7,349
Forest City Realty Trust Inc. Class A 313,262 6,823
Spirit Realty Capital Inc. 626,828 6,350
STORE Capital Corp. 219,662 5,245
Gramercy Property Trust 183,506 4,826
Empire State Realty Trust Inc. 177,116 3,656
PS Business Parks Inc. 26,438 3,034
Washington REIT 96,969 3,033
Lexington Realty Trust 277,176 2,766
Select Income REIT 86,883 2,241
American Assets Trust Inc. 43,538 1,822
Global Net Lease Inc. 74,243 1,788
* iStar Inc. 93,283 1,101
Investors Real Estate Trust 158,131 938
First Potomac Realty Trust 74,404 765
Armada Hoffler Properties Inc. 47,798 664
Gladstone Commercial Corp. 31,150 644
One Liberty Properties Inc. 17,617 411
RAIT Financial Trust 121,023 387
Winthrop Realty Trust 32,397 260
    81,893
Health Care REITs (12.5%)    
Welltower Inc. 472,424 33,457
Ventas Inc. 461,360 30,007
HCP Inc. 609,892 19,077
Omega Healthcare Investors Inc. 254,567 8,398
Senior Housing Properties Trust 310,198 6,282
Healthcare Trust of America Inc. Class A 185,037 5,821
Medical Properties Trust Inc. 417,940 5,387
Healthcare Realty Trust Inc. 150,999 4,907
Physicians Realty Trust 195,822 3,891
National Health Investors Inc. 51,947 3,773
Care Capital Properties Inc. 109,003 2,929
Sabra Health Care REIT Inc. 84,584 2,362
LTC Properties Inc. 48,800 2,338
* Quality Care Properties Inc. 121,298 2,288
CareTrust REIT Inc. 82,926 1,395
Universal Health Realty Income Trust 16,877 1,089
New Senior Investment Group Inc. 100,024 1,020
    134,421
Hotel & Resort REITs (6.3%)    
Host Hotels & Resorts Inc. 964,969 18,006
Hospitality Properties Trust 212,790 6,709
Apple Hospitality REIT Inc. 276,979 5,290
Sunstone Hotel Investors Inc. 282,143 4,325

 

 

Park Hotels & Resorts Inc. 167,679 4,304
LaSalle Hotel Properties 147,336 4,266
RLJ Lodging Trust 161,760 3,803
Ryman Hospitality Properties Inc. 59,635 3,687
DiamondRock Hospitality Co. 260,256 2,902
Pebblebrook Hotel Trust 93,419 2,729
Xenia Hotels & Resorts Inc. 138,582 2,366
MGM Growth Properties LLC Class A 75,325 2,038
Chesapeake Lodging Trust 77,645 1,860
Summit Hotel Properties Inc. 112,947 1,805
FelCor Lodging Trust Inc. 171,723 1,290
Hersha Hospitality Trust Class A 54,829 1,030
Chatham Lodging Trust 49,376 975
Ashford Hospitality Trust Inc. 126,095 803
Ashford Hospitality Prime Inc. 33,251 353
    68,541
Industrial REITs (6.3%)    
Prologis Inc. 688,856 35,738
Duke Realty Corp. 462,575 12,152
DCT Industrial Trust Inc. 118,672 5,711
First Industrial Realty Trust Inc. 152,249 4,054
EastGroup Properties Inc. 42,272 3,108
STAG Industrial Inc. 98,078 2,454
Rexford Industrial Realty Inc. 85,352 1,922
Terreno Realty Corp. 60,791 1,702
Monmouth Real Estate Investment Corp. 82,561 1,178
    68,019
Office REITs (13.4%)    
Boston Properties Inc. 200,594 26,561
Vornado Realty Trust 221,832 22,252
SL Green Realty Corp. 132,183 14,093
Alexandria Real Estate Equities Inc. 103,612 11,451
Kilroy Realty Corp. 120,399 8,678
Douglas Emmett Inc. 186,627 7,166
Hudson Pacific Properties Inc. 201,885 6,993
Highwoods Properties Inc. 129,798 6,377
* Equity Commonwealth 155,407 4,852
Cousins Properties Inc. 546,043 4,516
Corporate Office Properties Trust 123,390 4,084
Piedmont Office Realty Trust Inc. Class A 189,185 4,045
Paramount Group Inc. 230,515 3,737
Brandywine Realty Trust 228,016 3,701
Columbia Property Trust Inc. 153,052 3,405
Mack-Cali Realty Corp. 110,726 2,983
New York REIT Inc. 214,726 2,081
Government Properties Income Trust 90,716 1,899
Franklin Street Properties Corp. 131,463 1,596
Parkway Inc. 57,876 1,151
Tier REIT Inc. 62,597 1,087
Easterly Government Properties Inc. 46,021 911
NorthStar Realty Europe Corp. 73,445 851
    144,470
Residential REITs (15.9%)    
AvalonBay Communities Inc. 178,828 32,833
Equity Residential 476,381 29,641
Essex Property Trust Inc. 85,446 19,783

 

 

Mid-America Apartment Communities Inc. 148,139 15,072
UDR Inc. 348,580 12,640
Camden Property Trust 114,112 9,182
Apartment Investment & Management Co. 204,691 9,078
American Campus Communities Inc. 172,310 8,200
Equity LifeStyle Properties Inc. 105,452 8,126
Sun Communities Inc. 90,489 7,269
American Homes 4 Rent Class A 299,534 6,877
Colony Starwood Homes 130,755 4,439
Education Realty Trust Inc. 95,379 3,896
Monogram Residential Trust Inc. 205,184 2,046
Silver Bay Realty Trust Corp. 44,067 946
Independence Realty Trust Inc. 90,532 848
NexPoint Residential Trust Inc. 21,987 531
* Invitation Homes Inc. 2,824 62
    171,469
Retail REITs (20.8%)    
Simon Property Group Inc. 409,447 70,437
Realty Income Corp. 337,336 20,082
GGP Inc. 750,955 17,407
Regency Centers Corp. 199,351 13,235
Federal Realty Investment Trust 93,622 12,498
Kimco Realty Corp. 554,359 12,246
Macerich Co. 159,406 10,266
Brixmor Property Group Inc. 396,903 8,517
National Retail Properties Inc. 191,917 8,371
Weingarten Realty Investors 158,705 5,299
Taubman Centers Inc. 78,863 5,206
DDR Corp. 406,683 5,096
Retail Properties of America Inc. 309,415 4,462
Tanger Factory Outlet Centers Inc. 125,119 4,100
Urban Edge Properties 129,766 3,413
Acadia Realty Trust 105,141 3,161
Retail Opportunity Investments Corp. 141,942 2,985
Kite Realty Group Trust 108,552 2,334
CBL & Associates Properties Inc. 222,062 2,118
Washington Prime Group Inc. 242,661 2,109
Agree Realty Corp. 34,229 1,642
Ramco-Gershenson Properties Trust 102,757 1,441
Pennsylvania REIT 91,196 1,381
^ Seritage Growth Properties Class A 30,319 1,308
Alexander's Inc. 3,009 1,299
Saul Centers Inc. 16,758 1,033
Getty Realty Corp. 35,612 900
Urstadt Biddle Properties Inc. Class A 38,578 793
Cedar Realty Trust Inc. 111,940 562
Whitestone REIT 38,376 531
    224,232
Specialized REITs (17.0%)    
Public Storage 192,137 42,061
Equinix Inc. 99,907 40,000
Digital Realty Trust Inc. 207,292 22,054
Extra Space Storage Inc. 164,070 12,205
Iron Mountain Inc. 326,422 11,643
Gaming and Leisure Properties Inc. 265,785 8,883
EPR Properties 83,048 6,115

 

 

CubeSmart     234,147 6,078
CyrusOne Inc.     97,911 5,039
Life Storage Inc.     60,594 4,976
DuPont Fabros Technology Inc.     98,448 4,882
GEO Group Inc.     104,742 4,857
CoreCivic Inc.     153,364 4,819
CoreSite Realty Corp.     44,144 3,975
QTS Realty Trust Inc. Class A     61,954 3,020
Four Corners Property Trust Inc.     74,592 1,703
National Storage Affiliates Trust     55,556 1,328
        183,638
Total Equity Real Estate Investment Trusts (REITs) (Cost $1,053,856)     1,076,683
  Coupon      
Temporary Cash Investments (0.1%)1        
Money Market Fund (0.1%)        
2,3 Vanguard Market Liquidity Fund 0.965%   16,159 1,616
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4 United States Treasury Bill 0.566% 5/4/17 100 100
Total Temporary Cash Investments (Cost $1,716)       1,716
Total Investments (99.9%) (Cost $1,055,572)       1,078,399
Other Assets and Liabilities-Net (0.1%)3       677
Net Assets (100%)       1,079,076

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $104,000.
1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts.
After giving effect to futures investments, the portfolio's effective equity real estate investment trusts and
temporary cash investment positions represent 99.9% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $106,000 of collateral received for securities on loan.
4 Securities with a value of $100,000 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 portfolio's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

 

Vanguard REIT Index Portfolio

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to determine the fair value of investments).

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

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Equity Real Estate Investment Trusts 1,076,423 — 260
Temporary Cash Investments 1,616 100 —
Futures Contracts—Assets1 9 — —
Total 1,078,048 100 260
1 Represents variation margin on the last day of the reporting period.

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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).

 

Vanguard REIT Index Portfolio

At March 31, 2017, 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)
Dow Jones U.S. Real Estate Index June 2017 65 2,019 65

 

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

D. At March 31, 2017, the cost of investment securities for tax purposes was $1,055,572,000. Net unrealized appreciation of investment securities for tax purposes was $22,827,000, consisting of unrealized gains of $106,961,000 on securities that had risen in value since their purchase and $84,134,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Total Stock Market Index Portfolio

Schedule of Investments (unaudited)

As of March 31, 2017

    Market
    Value
  Shares ($000)
Investment Companies (100.0%)    
U.S. Stock Funds (100.0%)    
Vanguard Variable Insurance Fund - Equity Index Portfolio 42,683,659 1,531,490
Vanguard Extended Market Index Fund Investor Shares 4,304,657 326,508
Total Investment Companies (Cost $1,581,731)   1,857,998
Temporary Cash Investment (0.0%)    
Money Market Fund (0.0%)    
1 Vanguard Market Liquidity Fund, 0.965% (Cost $0) 3 —
Total Investments (100.0%) (Cost $1,581,731)   1,857,998
Other Assets and Liabilities-Net (0.0%)   238
Net Assets (100%)   1,858,236

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: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

B. Various inputs may be used to determine the value of the portfolio'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 portfolio's own assumptions used to
determine the fair value of investments).

At March 31, 2017, 100% of the market value of the portfolio's investments was determined based on Level 1 inputs.

C. At March 31, 2017, the cost of investment securities for tax purposes was $1,581,731,000. Net unrealized appreciation of investment securities for tax purposes was $276,267,000, consisting entirely of unrealized gains on securities that had risen in value since their purchase.

 

D. Transactions during the period in affiliated underlying Vanguard funds were as follows:

    Current Period Transactions  
      Proceeds     March 31,
  Dec. 31, 2016   from   Capital Gain 2017
  Market Purchases Securities   Distributions Market
  Value at Cost Sold1 Income Received Value
  ($000) ($000) ($000) ($000) ($000) ($000)
Vanguard Extended Market Index            
Fund 319,586 7,513 14,137 871 — 326,508
Vanguard Market Liquidity Fund 607 NA2 NA2 1 — —
Vanguard Variable Insurance            
Fund – Equity Index Portfolio 1,415,925 115,040 8,930 28,142 48,067 1,531,490
Total 1,736,118 122,553 23,067 29,014 48,067 1,857,998

1Includes net realized gain (loss) on affiliated investment securities sold of 7,502,000.
2Not applicable—purchases and sales are for temporary cash investment purposes.


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 VARIABLE INSURANCE FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date:  May 18, 2017

 

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

 

  VANGUARD VARIABLE INSURANCE FUNDS

 

By:

 /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date:  May 18, 2017

 

 

 VANGUARD VARIABLE INSURANCE FUNDS

 

By:

 /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date:  May 18, 2017

 

* By:/s/ ANNE E. ROBINSON
Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016, see file Number
33-32548, Incorporated by Reference.